xtquant.qmttools.stgframe

  1#coding:utf-8
  2
  3from . import contextinfo
  4from . import functions
  5
  6import os
  7import uuid
  8
  9from xtquant import xtdata
 10from xtquant import xtbson as bson
 11from xtquant import xtdata_config
 12
 13class StrategyLoader:
 14    def __init__(this):
 15        this.C = None
 16        this.main_quote_subid = 0
 17        return
 18
 19    def init(this):
 20        C = this.C
 21
 22        C.guid = C._param.get('guid', str(uuid.uuid4()))
 23        C.request_id = C._param.get('requestid', C.guid)
 24        C.quote_mode = C._param.get('quote_mode', 'history') #'realtime' 'history' 'all'
 25        C.trade_mode = C._param.get('trade_mode', 'backtest') #'simulation' 'trading' 'backtest'
 26        C.title = C._param.get('title', '')
 27
 28        C.stock_code = C._param.get('stock_code', '')
 29        C.period = C._param.get('period', '')
 30        if type(C.period) == int:
 31            C.period = {
 32                0               :'tick'
 33                , 60000         :'1m'
 34                , 180000        :'3m'
 35                , 300000        :'5m'
 36                , 600000        :'10m'
 37                , 900000        :'15m'
 38                , 1800000       :'30m'
 39                , 3600000       :'1h'
 40                , 86400000      :'1d'
 41                , 604800000     :'1w'
 42                , 2592000000    :'1mon'
 43                , 7776000000    :'1q'
 44                , 15552000000   :'1hy'
 45                , 31536000000   :'1y'
 46            }.get(C.period, '')
 47        C.dividend_type = C._param.get('dividend_type', 'none')
 48
 49        functions._request_id = C.request_id
 50        xtdata_config.client_guid = C._param.get('clientguid')
 51
 52        if 1: #register
 53            this.create_formula()
 54
 55        C.init()
 56
 57        if 1: #fix param
 58            if '.' in C.stock_code:
 59                pos = C.stock_code.rfind('.')
 60                C.stockcode = C.stock_code[0:pos]
 61                C.market = C.stock_code[pos + 1:].upper()
 62
 63                if C.stockcode and C.market:
 64                    C.stock_code = C.stockcode + '.' + C.market
 65            C.period = C.period.lower()
 66
 67        if 1: #create view
 68            if not C._param.get('requestid'):
 69                if not C.title:
 70                    C.title = os.path.basename(os.path.abspath(C.user_script).replace('.py',''))
 71                this.create_view(C.title)
 72
 73        if 1: #post initcomplete
 74            init_result = {}
 75
 76            config_ar = ['request_id', 'quote_mode', 'trade_mode']
 77            init_result['config'] = {ar: C.__getattribute__(ar) for ar in config_ar}
 78
 79            quote_ar = [
 80                'stock_code', 'stockcode', 'market', 'period'
 81                , 'start_time', 'end_time', 'dividend_type'
 82            ]
 83            init_result['quote'] = {ar: C.__getattribute__(ar) for ar in quote_ar}
 84
 85            trade_ar = []
 86            init_result['trade'] = {ar: C.__getattribute__(ar) for ar in trade_ar}
 87
 88            backtest_ar = [
 89                'asset', 'margin_ratio', 'slippage_type', 'slippage'
 90                , 'max_vol_rate', 'comsisson_type', 'open_tax', 'close_tax'
 91                , 'min_commission', 'open_commission', 'close_commission'
 92                , 'close_today_commission', 'benchmark'
 93            ]
 94            init_result['backtest'] = {ar: C.__getattribute__(ar) for ar in backtest_ar}
 95
 96            this.call_formula('initcomplete', init_result)
 97
 98        if 1:
 99            this.C.register_callback(0)
100        return
101
102    def shutdown(this):
103        return
104
105    def start(this):
106        C = this.C
107
108        if C.quote_mode in ['history', 'all']:
109            this.load_main_history()
110
111        C.after_init()
112        this.run_bar()
113
114        if C.quote_mode in ['realtime', 'all']:
115            this.load_main_realtime()
116        return
117
118    def stop(this):
119        if this.main_quote_subid:
120            xtdata.unsubscribe_quote(this.main_quote_subid)
121
122        this.C.stop()
123        return
124
125    def run(this):
126        C = this.C
127
128        if C.quote_mode in ['realtime', 'all']:
129            xtdata.run()
130        return
131
132    def load_main_history(this):
133        C = this.C
134
135        data = xtdata.get_market_data_ex(
136            field_list = ['time'], stock_list = [C.stock_code], period = C.period
137            , start_time = '', end_time = '', count = -1
138            , fill_data = False
139        )
140
141        C.timelist = list(data[C.stock_code]['time'])
142        return
143
144    def load_main_realtime(this):
145        C = this.C
146
147        def on_data(data):
148            data = data.get(C.stock_code, [])
149            if data:
150                tt = data[-1]['time']
151                this.on_main_quote(tt)
152            return
153
154        this.main_quote_subid = xtdata.subscribe_quote(
155            stock_code = C.stock_code, period = C.period
156            , start_time = '', end_time = '', count = 0
157            , callback = on_data
158        )
159        return
160
161    def on_main_quote(this, timetag):
162        if not this.C.timelist or this.C.timelist[-1] < timetag:
163            this.C.timelist.append(timetag)
164        this.run_bar()
165        return
166
167    def run_bar(this):
168        C = this.C
169
170        push_timelist = []
171        for i in range(max(C.lastrunbarpos, 0), len(C.timelist)):
172            C.barpos = i
173            bartime = C.timelist[i]
174            push_timelist.append(bartime)
175
176            this.call_formula('runbar', {'timelist': [bartime]})
177
178            C.handlebar()
179            C.lastrunbarpos = i
180
181        if 1:
182            push_result = {}
183            push_result['timelist'] = push_timelist
184            push_result['outputs'] = C.push_result
185            C.push_result = {}
186            this.call_formula('index', push_result)
187        return
188
189    def create_formula(this):
190        C = this.C
191        client = xtdata.get_client()
192        data = {'formulaname': C.guid}
193        client.createFormula(C.request_id, bson.BSON.encode(data))
194        return
195
196    def call_formula(this, func, data):
197        C = this.C
198        client = xtdata.get_client()
199        bresult = client.callFormula(C.request_id, func, bson.BSON.encode(data))
200        return bson.BSON.decode(bresult)
201
202    def create_view(this, title):
203        C = this.C
204        client = xtdata.get_client()
205        data = {'viewtype': 0,'title':title, 'groupid':-1,'stockcode':C.market + C.stockcode,'period':C.period}
206        client.createView(C.request_id, bson.BSON.encode(data))
207        return