def start_up(self, env, mod_config):
env.set_price_board(StockLimitUpDownPriceBoard())
type_ = DataSourceType(mod_config.source)
if type_ in [DataSourceType.MONGO, DataSourceType.REAL_TIME]:
args = (env.config.base.data_bundle_path, mod_config.mongo_url)
data_source_cls = MongoCacheDataSource if mod_config.enable_cache else MongoDataSource
elif type_ == DataSourceType.BUNDLE:
args = (env.config.base.data_bundle_path, mod_config.bundle_path)
data_source_cls = BundleCacheDataSource if mod_config.enable_cache else BundleDataSource
else:
raise RuntimeError("data source type [%s] is not supported" %
mod_config.source)
if mod_config.enable_cache:
if mod_config.cache_length:
CacheMixin.set_cache_length(int(mod_config.cache_length))
if mod_config.max_cache_space:
CacheMixin.set_cache_length(int(mod_config.cache_length))
data_source = data_source_cls(*args)
mod_config.redis_uri = mod_config.redis_url # fit rqalpha
if env.config.base.run_type is RUN_TYPE.BACKTEST and env.config.base.persist_mode == PERSIST_MODE.ON_NORMAL_EXIT:
# generate user context using backtest
persist_provider = DiskPersistProvider(mod_config.persist_path)
env.set_persist_provider(persist_provider)
is_real_time = env.config.base.run_type in (RUN_TYPE.PAPER_TRADING,
RUN_TYPE.LIVE_TRADING)
if is_real_time or type_ == DataSourceType.REAL_TIME:
user_system_log.warn(
_("[Warning] When you use this version of RealtimeTradeMod, history_bars can only "
"get data from yesterday."))
if mod_config.redis_url:
data_source = RedisDataSource(env.config.base.data_bundle_path,
mod_config.redis_url,
datasource=data_source)
system_log.info(_("RealtimeTradeMod using market from redis"))
else:
data_source = DirectDataSource(
env.config.base.data_bundle_path)
system_log.info(
_("RealtimeTradeMod using market from network"))
if is_real_time:
event_source = RealTimeEventSource(mod_config.fps, mod_config)
# add persist
persist_provider = DiskPersistProvider(mod_config.persist_path)
env.set_persist_provider(persist_provider)
env.config.base.persist = True
env.config.base.persist_mode = PERSIST_MODE.REAL_TIME
else:
event_source = IntervalEventSource(env)
env.set_data_source(data_source)
# a patch to start_date since it's real time mod
if env.config.base.start_date == datetime.now().date():
trading_dates = data_source.get_trading_calendar()
pos = trading_dates.searchsorted(env.config.base.start_date)
if trading_dates[pos].to_pydatetime().date(
) != env.config.base.start_date:
env.config.base.start_date = trading_dates[max(
0, pos - 1)].to_pydatetime().date()
env.set_event_source(event_source)
def start_up(self, env, mod_config):
if env.config.base.run_type in (RUN_TYPE.PAPER_TRADING,
RUN_TYPE.LIVE_TRADING):
user_system_log.warn(
_("[Warning] When you use this version of RealtimeTradeMod, history_bars can only get data from yesterday."
))
if mod_config.redis_uri:
env.set_data_source(
RedisDataSource(env.config.base.data_bundle_path,
mod_config.redis_uri))
system_log.info(_("RealtimeTradeMod using market from redis"))
else:
env.set_data_source(
DirectDataSource(env.config.base.data_bundle_path))
system_log.info(
_("RealtimeTradeMod using market from network"))
env.set_event_source(
RealtimeEventSource(mod_config.fps, mod_config))
# add persist
persist_provider = DiskPersistProvider(mod_config.persist_path)
env.set_persist_provider(persist_provider)
env.config.base.persist = True
env.config.base.persist_mode = PERSIST_MODE.REAL_TIME
def start_up(self, env, mod_config):
if env.config.base.run_type == RUN_TYPE.PAPER_TRADING:
env.set_data_source(DataSource(env.config.base.data_bundle_path))
env.set_event_source(RealtimeEventSource(mod_config.fps))
persist_provider = DiskPersistProvider(mod_config.persist_path)
env.set_persist_provider(persist_provider)
env.config.base.persist = True
env.config.base.persist_mode = PERSIST_MODE.REAL_TIME
def _init(self, event):
env = self._env
mod_config = self._mod_config
system_log.info("use recorder {}", mod_config.recorder)
if mod_config.recorder == "CsvRecorder":
if not mod_config.persist_folder:
raise RuntimeError(
_(u"You need to set persist_folder to use CsvRecorder"))
persist_provider = DiskPersistProvider(
os.path.join(mod_config.persist_folder, "persist"))
self._recorder = recorders.CsvRecorder(mod_config.persist_folder)
elif mod_config.recorder == "MongodbRecorder":
if mod_config.strategy_id is None:
raise RuntimeError(_(u"You need to set strategy_id"))
persist_provider = persist_providers.MongodbPersistProvider(
mod_config.strategy_id, mod_config.mongo_url,
mod_config.mongo_dbname)
self._recorder = recorders.MongodbRecorder(mod_config.strategy_id,
mod_config.mongo_url,
mod_config.mongo_dbname)
else:
raise RuntimeError(
_(u"unknown recorder {}").format(mod_config.recorder))
if env.persist_provider is None:
env.set_persist_provider(persist_provider)
self._meta = {
"strategy_id":
mod_config.strategy_id,
"origin_start_date":
self._env.config.base.start_date.strftime("%Y-%m-%d"),
"start_date":
self._env.config.base.start_date.strftime("%Y-%m-%d"),
"end_date":
self._env.config.base.end_date.strftime("%Y-%m-%d"),
"last_run_time":
datetime.datetime.now().strftime("%Y-%m-%d %H:%M:%S"),
}
persist_meta = self._recorder.load_meta()
if persist_meta:
if persist_meta["end_date"] >= self._meta["start_date"]:
raise RuntimeError(
_(u"current start_date {} is before last end_date {}").
format(self._meta["start_date"], persist_meta["end_date"]))
else:
self._meta["origin_start_date"] = persist_meta[
"origin_start_date"]
env.event_bus.add_listener(EVENT.TRADE, self.on_trade)
env.event_bus.add_listener(EVENT.POST_SETTLEMENT, self.on_settlement)
def _set_env_and_data_source(self):
env = self._env
mod_config = self._mod_config
system_log.info("use recorder {}", mod_config.recorder)
if mod_config.recorder == "CsvRecorder":
if not mod_config.persist_folder:
raise RuntimeError(
_(u"You need to set persist_folder to use CsvRecorder"))
persist_provider = DiskPersistProvider(
os.path.join(mod_config.persist_folder, "persist"))
self._recorder = recorders.CsvRecorder(mod_config.persist_folder)
elif mod_config.recorder == "MongodbRecorder":
if mod_config.strategy_id is None:
raise RuntimeError(_(u"You need to set strategy_id"))
persist_provider = persist_providers.MongodbPersistProvider(
mod_config.strategy_id, mod_config.mongo_url,
mod_config.mongo_dbname)
self._recorder = recorders.MongodbRecorder(mod_config.strategy_id,
mod_config.mongo_url,
mod_config.mongo_dbname)
else:
raise RuntimeError(
_(u"unknown recorder {}").format(mod_config.recorder))
if env.persist_provider is None:
env.set_persist_provider(persist_provider)
self._meta = {
"strategy_id":
mod_config.strategy_id,
"origin_start_date":
self._env.config.base.start_date.strftime("%Y-%m-%d"),
"start_date":
self._env.config.base.start_date.strftime("%Y-%m-%d"),
"end_date":
self._env.config.base.end_date.strftime("%Y-%m-%d"),
"last_end_time":
self._env.config.base.end_date.strftime("%Y-%m-%d"),
"last_run_time":
datetime.datetime.now().strftime("%Y-%m-%d %H:%M:%S"),
}
event_start_time = self._env.config.base.start_date
persist_meta = self._recorder.load_meta()
if persist_meta:
# 不修改回测开始时间
self._env.config.base.start_date = persist_meta['start_date']
event_start_time = datetime.datetime.strptime(
persist_meta['last_end_time'],
'%Y-%m-%d').date() + datetime.timedelta(days=1)
# 代表历史有运行过，根据历史上次运行的end_date下一天设为事件发送的start_time
self._meta["origin_start_date"] = persist_meta["origin_start_date"]
self._meta["start_date"] = persist_meta["start_date"]
self._meta[
"last_end_time"] = self._env.config.base.end_date.strftime(
"%Y-%m-%d")
env.set_data_source(
IncrementcalDataSource(
self._env.config.base.data_bundle_path,
getattr(self._env.config.base, "future_info", {}),
self._env.config.base.start_date))
event_source = IncrementalEventSource(env, event_start_time,
self._env.config.base.end_date)
env.set_event_source(event_source)