├── .gitignore
├── .idea
├── PythonLab.iml
├── misc.xml
├── modules.xml
├── vcs.xml
└── workspace.xml
├── Cpp64
├── CppBt.pyd
├── libbson-1.0.dll
├── libcrypto-1_1-x64.dll
├── libmongoc-1.0.dll
├── libssl-1_1-x64.dll
├── msvcp120.dll
└── msvcr120.dll
├── CppBt.pyd
├── QIPythonWidget.py
├── README.md
├── __init__.py
├── cppStruct.py
├── css.qss
├── cta.ico
├── ctaBacktesting.py
├── ctaBase.py
├── ctaBasicModel.py
├── ctaEngine.py
├── ctaFunction
├── __init__.py
├── calcFunction.py
├── dataFunction.py
└── visFunction.py
├── ctaSetting.py
├── ctaTask.py
├── ctaTaskPool.py
├── ctaTemplate.py
├── eventEngine.py
├── eventType.py
├── func-button
├── klAna.py
├── klBacktest.py
├── klClearSig.py
├── klHeatmap.py
├── klLoad.py
├── klPlay.py
├── klPnl.py
├── klReload.py
├── klShowdown.py
├── klShowmain.py
└── klSigmode.py
├── historyData
└── .gitignore
├── json
├── CTA_setting.json
├── ContractInfo.json
├── DATA_setting.json
├── uiCtaKLine_button.json
└── uiCtaKLine_input.json
├── libbson-1.0.dll
├── libcrypto-1_1.dll
├── libmongoc-1.0.dll
├── libssl-1_1.dll
├── log
└── .gitignore
├── msvcp120.dll
├── msvcr120.dll
├── notebook
├── .ipynb_checkpoints
│ ├── 主成分分析-checkpoint.ipynb
│ ├── 数据库函数测试-checkpoint.ipynb
│ ├── 策略分析-checkpoint.ipynb
│ └── 策略组合优化-checkpoint.ipynb
├── VT_setting.json
├── __pycache__
│ ├── ctaBase.cpython-36.pyc
│ ├── vtConstant.cpython-36.pyc
│ └── vtFunction.cpython-36.pyc
├── ctaBase.py
├── ctaBase.pyc
├── vtBase.py
├── vtConstant.py
├── vtConstant.pyc
├── vtFunction.py
├── vtFunction.pyc
└── 策略组合优化.ipynb
├── opResults
└── .gitignore
├── strategy
├── BASICStrategy.py
├── __init__.py
└── 期货趋势
│ └── DMAStrategy.py
├── tools
├── .ctaHistoryData.py.un~
├── .peakdetect.py.un~
├── __init__.py
├── __init__.pyc
├── ctaBase.py
├── ctaBase.pyc
├── ctaHistoryData.py
├── ctaHistoryData.pyc
├── ctaHistoryData.py~
├── downcsv.py
├── downcsv.pyc
├── peakdetect.py
├── peakdetect.pyc
├── peakdetect.py~
├── utils.py
├── utils.pyc
├── vtConstant.py
└── vtConstant.pyc
├── trade
└── .gitignore
├── uiBasicIO.py
├── uiBasicWidget.py
├── uiCrosshair.py
├── uiCtaKLine.py
├── uiCtaTaskWidget.py
├── uiCtaWidget.py
├── uiKLine.py
├── vecsig
├── reverse.py
└── trends.py
├── vtConstant.py
├── vtObject.py
├── 启动界面.cmd
└── 研究环境.cmd
/.gitignore:
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1 | *.pyc
2 | *.pyo
3 | *.swp
4 | *.un~
5 | *~
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109 | timedelta
110 | QtGui
111 | pyqtSignal
112 | Signal
113 | signal
114 |
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133 |
134 | true
135 | DEFINITION_ORDER
136 |
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146 |
147 |
148 |
149 |
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153 |
154 |
155 | '
154 | for sig in self.master.sigData:
155 | val = self.master.sigData[sig][xAxis]
156 | col = self.master.sigColor[sig]
157 | html+= u' %s：%.2f' %(col,sig,val)
158 | html+=u'
'
159 | self.__textSig.setHtml(html)
160 |
161 | # 显示所有的主图技术指标
162 | html = u''
163 | for sig in self.master.subSigData:
164 | val = self.master.subSigData[sig][xAxis]
165 | col = self.master.subSigColor[sig]
166 | html+= u' %s：%.2f' %(col,sig,val)
167 | html+=u'
'
168 | self.__textSubSig.setHtml(html)
169 |
170 |
171 | # 和上一个收盘价比较，决定K线信息的字符颜色
172 | cOpen = 'red' if openPrice > preClosePrice else 'green'
173 | cClose = 'red' if closePrice > preClosePrice else 'green'
174 | cHigh = 'red' if highPrice > preClosePrice else 'green'
175 | cLow = 'red' if lowPrice > preClosePrice else 'green'
176 |
177 | self.__textInfo.setHtml(
178 | u'\
179 | 日期
\
180 | %s
\
181 | 时间
\
182 | %s
\
183 | 价格
\
184 | (开) %.3f
\
185 | (高) %.3f
\
186 | (低) %.3f
\
187 | (收) %.3f
\
188 | 成交量
\
189 | (量) %d
\
190 | 成交价
\
191 | (价) %.3f
\
192 |
'\
193 | % (dateText,timeText,cOpen,openPrice,cHigh,highPrice,\
194 | cLow,lowPrice,cClose,closePrice,volume,tradePrice))
195 | self.__textDate.setHtml(
196 | '\
197 | %s\
198 |
'\
199 | % (datetimeText))
200 |
201 | self.__textVolume.setHtml(
202 | '\
203 | VOL : %.3f\
204 |
'\
205 | % (volume))
206 | # 坐标轴宽度
207 | rightAxisWidth = self.views[0].getAxis('right').width()
208 | bottomAxisHeight = self.views[2].getAxis('bottom').height()
209 | offset = QtCore.QPointF(rightAxisWidth,bottomAxisHeight)
210 |
211 | # 各个顶点
212 | tl = [self.views[i].vb.mapSceneToView(self.rects[i].topLeft()) for i in range(3)]
213 | br = [self.views[i].vb.mapSceneToView(self.rects[i].bottomRight()-offset) for i in range(3)]
214 |
215 | # 显示价格
216 | for i in range(3):
217 | if self.showHLine[i]:
218 | self.textPrices[i].setHtml(
219 | '\
220 | \
221 | %0.3f\
222 | \
223 |
'\
224 | % (yAxis if i==0 else self.yAxises[i]))
225 | self.textPrices[i].setPos(br[i].x(),yAxis if i==0 else self.yAxises[i])
226 | self.textPrices[i].show()
227 | else:
228 | self.textPrices[i].hide()
229 |
230 |
231 | # 设置坐标
232 | self.__textInfo.setPos(tl[0])
233 | self.__textSig.setPos(br[0].x(),tl[0].y())
234 | self.__textSubSig.setPos(br[2].x(),tl[2].y())
235 | self.__textVolume.setPos(br[1].x(),tl[1].y())
236 |
237 | # 修改对称方式防止遮挡
238 | self.__textDate.anchor = Point((1,1)) if xAxis > self.master.index else Point((0,1))
239 | self.__textDate.setPos(xAxis,br[2].y())
240 |
--------------------------------------------------------------------------------
/uiCtaKLine.py:
--------------------------------------------------------------------------------
1 | # -*- coding: utf-8 -*-
2 | from uiBasicIO import uiBasicIO
3 | from uiKLine import KLineWidget
4 | # PyQt
5 | from qtpy.QtGui import *
6 | from qtpy.QtCore import *
7 | from qtpy.QtWidgets import *
8 | from qtpy import QtGui,QtCore
9 |
10 | from collections import deque
11 |
12 | import pandas as pd
13 |
14 |
15 |
16 | ########################################################################
17 | class ctaKLine(uiBasicIO):
18 |
19 | """K线向量化回测工具"""
20 |
21 | dbClient = None
22 | signal = QtCore.Signal(type({}))
23 |
24 | # ----------------------------------------------------------------------
25 | def __init__(self, ctaEngine, eventEngine, parent=None):
26 | """初始化函数"""
27 | import ctaBase
28 | super(ctaKLine,self).__init__(parent,\
29 | 'json\\uiCtaKLine_input.json',\
30 | 'json\\uiCtaKLine_button.json') # 输入配置文件,按钮配置文件
31 |
32 | # 用于计算因子的数据
33 | self.bars = deque([])
34 | self.pdBars = pd.DataFrame()
35 | self.signals = deque([])
36 | self.signalsOpen = deque([])
37 | self.states = []
38 | self.pnl = []
39 | self.stateData = {}
40 |
41 | self.spdData = pd.DataFrame()
42 |
43 | self.datas = None
44 | self.vtSymbol = ""
45 | self.vtSymbol1 = ""
46 | self.mode = 'deal'
47 |
48 | self.canvas = KLineWidget(self)
49 | self.signal.connect(self.loadData)
50 |
51 | self.initUi()
52 |
53 | # -----------------------------------------------
54 | def loadData(self,data):
55 | """载入所有数据"""
56 | self.bars = data['bar']
57 | self.states = data['state']
58 | self.pnl = data['pnl']
59 | self.signals = data['deal']
60 | self.signalsOpen = data['dealOpen']
61 | kTool = self.canvas
62 | for sig in kTool.sigPlots:
63 | kTool.pwKL.removeItem(kTool.sigPlots[sig])
64 | kTool.sigData = {}
65 | kTool.sigPlots = {}
66 | for sig in kTool.subSigPlots:
67 | kTool.pwOI.removeItem(kTool.subSigPlots[sig])
68 | kTool.subSigData = {}
69 | kTool.subSigPlots = {}
70 | print u'正在准备回测结果数据....'
71 | self.canvas.clearData()
72 | self.pdBars = pd.DataFrame(list(self.bars))
73 | self.pdBars = self.pdBars[['datetime','open','close','low','high','volume','openInterest']].set_index('datetime')
74 | self.canvas.loadData(self.pdBars)
75 | self.canvas.updateSig(self.signals,self.signalsOpen)
76 | self.spdData = pd.DataFrame(self.states)
77 | self.stateData = self.spdData.to_records()
78 | allState = filter(lambda s:s not in ['trading','inited','pos'],self.spdData.columns)
79 | allState = filter(lambda s:isinstance(self.spdData[s][0], (int, long, float)),allState)
80 | self.spdData['pnl'] = self.pnl
81 | self.spdData = self.spdData[self.spdData['pnl']!=0][allState+['pnl']]
82 | #self.spdData['pnl'] = ['p' if p > 0 else 'l' for p in self.pnl]
83 | self.editDict['signalName'].clear()
84 | self.editDict['signalName'].addItems(allState)
85 | print u'数据准备完成！'
86 |
87 | #-----------------------------------------------
88 | def loadSig(self,data):
89 | """载入K线信号"""
90 | self.states = data['state']
91 | self.pnl = data['pnl']
92 | self.signals = data['deal']
93 | self.signalsOpen = data['dealOpen']
94 | kTool = self.canvas
95 | for sig in kTool.sigPlots:
96 | kTool.pwKL.removeItem(kTool.sigPlots[sig])
97 | kTool.sigData = {}
98 | kTool.sigPlots = {}
99 | for sig in kTool.subSigPlots:
100 | kTool.pwOI.removeItem(kTool.subSigPlots[sig])
101 | kTool.subSigData = {}
102 | kTool.subSigPlots = {}
103 | self.canvas.updateSig(self.signals)
104 | self.spdData = pd.DataFrame(self.states)
105 | self.stateData = self.spdData.to_records()
106 | allState = filter(lambda s:s not in ['trading','inited','pos'],self.spdData.columns)
107 | allState = filter(lambda s:isinstance(self.spdData[s][0], (int, long, float)),allState)
108 | self.spdData['pnl'] = self.pnl
109 | self.spdData = self.spdData[self.spdData['pnl']!=0][allState+['pnl']]
110 | #self.spdData['pnl'] = ['p' if p > 0 else 'l' for p in self.pnl]
111 | self.editDict['signalName'].clear()
112 | self.editDict['signalName'].addItems(allState)
113 |
114 | #----------------------------------------------------------------------
115 | def initUi(self):
116 | """初始化界面"""
117 | hbox = QHBoxLayout()
118 | hbox.addWidget(self.groupInput)
119 | hbox.addWidget(self.groupProcess)
120 | vbox = QVBoxLayout()
121 | vbox.addLayout(hbox)
122 | vbox.addWidget(self.canvas)
123 | self.setLayout(vbox)
124 |
125 | #----------------------------------------------------------------------
126 | def setSymbol(self, symbol):
127 | """设置合约信息"""
128 | self.vtSymbol = symbol
129 | self.editDict['symbol'].setText(symbol)
130 | if '-' in symbol:
131 | self.vtSymbol = symbol.split('-')[0]
132 | self.vtSymbol1 = symbol.split('-')[1]
133 | else:
134 | self.vtSymbol1 = None
135 |
136 | ########################################################################
137 | import sys
138 | if __name__ == '__main__':
139 | app = QApplication(sys.argv)
140 | # 界面设置
141 | cfgfile = QtCore.QFile('css.qss')
142 | cfgfile.open(QtCore.QFile.ReadOnly)
143 | styleSheet = cfgfile.readAll()
144 | styleSheet = unicode(styleSheet, encoding='utf8')
145 | app.setStyleSheet(styleSheet)
146 | # K线界面
147 | ui = ctaKLine()
148 | ui.show()
149 | app.exec_()
150 |
--------------------------------------------------------------------------------
/uiCtaTaskWidget.py:
--------------------------------------------------------------------------------
1 | # encoding: UTF-8
2 | '''
3 | CTA回测任务模块相关的GUI控制组件
4 | '''
5 | import ctaTaskPool
6 | import pandas as pd
7 | from eventEngine import *
8 | from uiBasicWidget import QtGui, QtCore, BASIC_FONT, BasicDialog
9 | from qtpy.QtWidgets import *
10 |
11 | STYLESHEET_START = 'background-color: rgb(111,255,244); color: black'
12 | STYLESHEET_STOP = 'background-color: rgb(255,201,111); color: black'
13 |
14 | # 字符串转换
15 | #---------------------------------------------------------------------------------------
16 | try:
17 | _fromUtf8 = QtCore.QString.fromUtf8
18 | except AttributeError:
19 | def _fromUtf8(s):
20 | return s
21 |
22 | kLoader = None
23 | ########################################################################
24 | class TaskActiveButton(QPushButton):
25 | """激活按钮"""
26 | #----------------------------------------------------------------------
27 | def __init__(self, taskName='', parent=None):
28 | """Constructor"""
29 | super(TaskActiveButton, self).__init__(parent)
30 |
31 | self.active = ctaTaskPool.taskPool.getTask(taskName).state
32 | self.taskName = taskName
33 | if not (self.active == u'已完成' or self.active==u'已停止'):
34 | self.setStarted()
35 | else:
36 | self.setStopped()
37 |
38 | self.clicked.connect(self.buttonClicked)
39 |
40 | #----------------------------------------------------------------------
41 | def buttonClicked(self):
42 | """改变运行模式"""
43 | if not (self.active == u'已完成' or self.active==u'已停止'):
44 | self.stop()
45 |
46 | #----------------------------------------------------------------------
47 | def stop(self):
48 | """停止"""
49 | ctaTaskPool.taskPool.stopTask(self.taskName)
50 | self.setStopped()
51 |
52 | #----------------------------------------------------------------------
53 | def start(self):
54 | """启动"""
55 | ctaTaskPool.taskPool.startTask(self.taskName)
56 | self.setStarted()
57 |
58 | #----------------------------------------------------------------------
59 | def setStarted(self):
60 | """算法启动"""
61 | self.setText(self.active)
62 | self.setStyleSheet(STYLESHEET_START)
63 |
64 | #----------------------------------------------------------------------
65 | def setStopped(self):
66 | """算法停止"""
67 | self.active = u'已停止'
68 | self.setText(self.active)
69 | self.setStyleSheet(STYLESHEET_STOP)
70 |
71 | ########################################################################
72 | class TaskDisplayButton(QPushButton):
73 | """显示回测结果"""
74 | #----------------------------------------------------------------------
75 | def __init__(self, taskName='', parent=None):
76 | """Constructor"""
77 | super(TaskDisplayButton, self).__init__(parent)
78 | name = ctaTaskPool.taskPool.getTask(taskName).results.get('capital',0)
79 | self.setText(str(name))
80 | self.setStyleSheet(STYLESHEET_STOP)
81 |
82 | self.active = False
83 | self.taskName = taskName
84 | self.clicked.connect(self.buttonClicked)
85 |
86 | #----------------------------------------------------------------------
87 | def buttonClicked(self):
88 | """显示回测结果"""
89 | ctaTaskPool.taskPool.getTask(self.taskName).show()
90 | datas = ctaTaskPool.taskPool.getTask(self.taskName).results.get('datas')
91 | if datas:
92 | kLoader.loadData(datas)
93 |
94 | ########################################################################
95 | class TaskLogButton(QPushButton):
96 | """显示回测结果"""
97 | #----------------------------------------------------------------------
98 | def __init__(self, taskName='', parent=None):
99 | """Constructor"""
100 | super(TaskLogButton, self).__init__(parent)
101 | name = ctaTaskPool.taskPool.getTask(taskName).results.get('totalResult',0)
102 | self.setText(str(name))
103 | self.setStyleSheet(STYLESHEET_STOP)
104 |
105 | self.active = False
106 | self.taskName = taskName
107 | self.clicked.connect(self.buttonClicked)
108 |
109 | #----------------------------------------------------------------------
110 | def buttonClicked(self):
111 | """显示回测结果"""
112 | ctaTaskPool.taskPool.getTask(self.taskName).log()
113 |
114 | ########################################################################
115 | class TaskParamButton(QPushButton):
116 | """查看参数按钮"""
117 | tp = None
118 | #----------------------------------------------------------------------
119 | def __init__(self, taskName='', parent=None):
120 | """Constructor"""
121 | super(TaskParamButton, self).__init__(parent)
122 | name = ctaTaskPool.taskPool.getTask(taskName).setting.get('symbolList','None')
123 | self.setText(str(name))
124 | self.setStyleSheet(STYLESHEET_STOP)
125 |
126 | self.taskName = taskName
127 | self.clicked.connect(self.buttonClicked)
128 |
129 | #----------------------------------------------------------------------
130 | def buttonClicked(self):
131 | """显示回测结果"""
132 | filterList = ['name','className','mPrice','backtesting']
133 | kvList = ctaTaskPool.taskPool.getTask(self.taskName).setting.items()
134 | param = dict([it for it in kvList if it[0] not in filterList])
135 | self.__class__.tp = TaskParamWidget(param)
136 | self.__class__.tp.show()
137 |
138 | ########################################################################
139 | class TaskTable(QTableWidget):
140 | """任务管理组件"""
141 |
142 | #----------------------------------------------------------------------
143 | def __init__(self, parent=None):
144 | """Constructor"""
145 | super(TaskTable, self).__init__(parent)
146 |
147 | self.buttonActiveDict = {}
148 |
149 | self.initUi()
150 |
151 | #----------------------------------------------------------------------
152 | def initUi(self):
153 | """初始化表格"""
154 | headers = [u'任务名',
155 | u'策略类',
156 | u'耗时',
157 | u'模式',
158 | u'起止时间',
159 | u'状态',
160 | u'参数',
161 | u'日志',
162 | u'结果']
163 |
164 | self.setColumnCount(len(headers))
165 | self.setHorizontalHeaderLabels(headers)
166 | self.horizontalHeader().setResizeMode(QHeaderView.Interactive)
167 | self.setColumnWidth(0, 100)
168 | self.setColumnWidth(1, 150)
169 | self.setColumnWidth(2, 200)
170 | self.setColumnWidth(3, 100)
171 | self.setColumnWidth(4, 350)
172 | self.setColumnWidth(5, 100)
173 | self.setColumnWidth(6, 150)
174 | self.setColumnWidth(7, 150)
175 | self.setColumnWidth(8, 150)
176 |
177 | self.verticalHeader().setVisible(False)
178 | self.setEditTriggers(self.NoEditTriggers)
179 | self.setSortingEnabled(False)
180 | self.setSelectionBehavior(QTableWidget.SelectRows)
181 |
182 | #----------------------------------------------------------------------
183 | def initCells(self):
184 | """初始化单元格"""
185 |
186 | l = ctaTaskPool.taskPool.allTask.items()
187 | self.setRowCount(len(l))
188 | row = 0
189 |
190 | for name, task in l:
191 | cellTaskName = QTableWidgetItem(name)
192 | cellTaskTime = QTableWidgetItem(str(task.runTM))
193 | cellTaskRunM = QTableWidgetItem(task.runmode)
194 | cellStrCls = QTableWidgetItem(task.setting.get('className'))
195 | timeStr = ' ~ '.join([task.setting.get('StartTime'),task.setting.get('EndTime')])
196 | cellStrTime = QTableWidgetItem(timeStr)
197 | buttonActive = TaskActiveButton(name)
198 | buttonParam = TaskParamButton(name)
199 | buttonDisplay = TaskDisplayButton(name)
200 | buttonLog = TaskLogButton(name)
201 |
202 | self.setItem(row, 0, cellTaskName)
203 | self.setItem(row, 1, cellStrCls)
204 | self.setItem(row, 2, cellTaskTime)
205 | self.setItem(row, 3, cellTaskRunM)
206 | self.setItem(row, 4, cellStrTime)
207 | self.setCellWidget(row, 5, buttonActive)
208 | self.setCellWidget(row, 6, buttonParam)
209 | self.setCellWidget(row, 7, buttonLog)
210 | self.setCellWidget(row, 8, buttonDisplay)
211 |
212 | self.buttonActiveDict[name] = buttonActive
213 | row += 1
214 |
215 | #----------------------------------------------------------------------
216 | def stopAll(self):
217 | """停止所有"""
218 | for button in self.buttonActiveDict.values():
219 | button.stop()
220 |
221 | #----------------------------------------------------------------------
222 | def clearAll(self):
223 | """清空所有"""
224 | ctaTaskPool.taskPool.allTask = {}
225 | self.initCells()
226 |
227 | #----------------------------------------------------------------------
228 | def showAll(self):
229 | """合并显示所有"""
230 | from ctaBacktesting import showBtResult
231 | allres = None
232 | def mergeBtRes(d0,d1):
233 | d = {}
234 | cap0 = d0['capitalList'][-1]
235 | ddn0 = d0['drawdownList'][-1]
236 | d['name'] = 'res'
237 | d['stTime'] = d0['stTime']
238 | d['capital'] = d0['capital']+d1['capital']
239 | d['maxCapital'] = max(d0['maxCapital'],cap0+d1['maxCapital'])
240 | d['drawdown'] = d0['drawdown']+d1['drawdown']
241 | d['totalResult'] = d0['totalResult']+d1['totalResult']
242 | d['totalTurnover'] = d0['totalTurnover']+d1['totalTurnover']
243 | d['totalCommission'] = d0['totalCommission']+d1['totalCommission']
244 | d['totalSlippage'] = d0['totalSlippage']+d1['totalSlippage']
245 | d['timeList'] = d0['timeList']+d1['timeList']
246 | d['pnlList'] = d0['pnlList']+d1['pnlList']
247 | d['capitalList'] = d0['capitalList']+[c+cap0 for c in d1['capitalList']]
248 | d['drawdownList'] = d0['drawdownList']+[c+ddn0 for c in d1['drawdownList']]
249 | d['winningRate'] = (d0['winningRate']*d0['totalResult']+d1['winningRate']*d1['totalResult'])/d['totalResult']
250 | d['averageWinning'] = (d0['winningRate']*d0['averageWinning']*d0['totalResult']+d1['winningRate']*d1['averageWinning']*d1['totalResult'])/d['totalResult']
251 | d['averageLosing'] = ((1-d0['winningRate'])*d0['averageLosing']*d0['totalResult']+(1-d1['winningRate'])*d1['averageLosing']*d1['totalResult'])/d['totalResult']
252 | d['profitLossRatio'] = d['averageWinning']/d['averageLosing']
253 | d['resList'] = d0['resList']+d1['resList']
254 | return d
255 | results = [td.results for td in ctaTaskPool.taskPool.allTask.values() if td.results.get('timeList',[])]
256 | allres = reduce(mergeBtRes,sorted(results,key=lambda d:d['stTime']))
257 | if allres: showBtResult(allres)
258 |
259 |
260 | ########################################################################
261 | class TaskManager(QWidget):
262 | """任务管理主界面"""
263 | signal = QtCore.Signal(type(Event()))
264 | #----------------------------------------------------------------------
265 | def __init__(self, ctaEngine, eventEngine, parent=None):
266 | """Constructor"""
267 | super(TaskManager, self).__init__(parent)
268 |
269 | self.taskTab = TaskTable()
270 | self.eventEngine = eventEngine
271 | self.initUi()
272 | self.signal.connect(self.init)
273 | self.eventEngine.register(EVENT_TIMER, self.signal.emit)
274 |
275 | #----------------------------------------------------------------------
276 | def initUi(self):
277 | """初始化界面"""
278 | self.setWindowTitle(u'任务管理')
279 |
280 | buttonStopAll = QPushButton(u'全部停止')
281 | buttonStopAll.setObjectName(_fromUtf8('redButton'))
282 | buttonStopAll.clicked.connect(self.taskTab.stopAll)
283 | buttonClearAll = QPushButton(u'清空所有')
284 | buttonClearAll.setObjectName(_fromUtf8('blueButton'))
285 | buttonClearAll.clicked.connect(self.taskTab.clearAll)
286 | buttonShowAll = QPushButton(u'连续显示')
287 | buttonShowAll.setObjectName(_fromUtf8('greenButton'))
288 | buttonShowAll.clicked.connect(self.taskTab.showAll)
289 | hbox11 = QHBoxLayout()
290 | hbox11.addWidget(buttonStopAll)
291 | hbox11.addWidget(buttonClearAll)
292 | hbox11.addWidget(buttonShowAll)
293 | hbox11.addStretch()
294 |
295 | grid = QVBoxLayout()
296 | grid.addLayout(hbox11)
297 | grid.addWidget(self.taskTab)
298 |
299 | self.setLayout(grid)
300 |
301 | #----------------------------------------------------------------------
302 | def show(self):
303 | """重载显示"""
304 | self.showMaximized()
305 |
306 | #----------------------------------------------------------------------
307 | def init(self):
308 | """初始化"""
309 | self.taskTab.initCells()
310 |
311 | ########################################################################
312 | class TaskParamWidget(BasicDialog):
313 | """策略配置对话框"""
314 |
315 | index = 0
316 | name = ''
317 | paramDict = {}
318 | valueEdit = {}
319 |
320 | #----------------------------------------------------------------------
321 | def __init__(self, paramDict, parent=None):
322 | """Constructor"""
323 | super(TaskParamWidget, self).__init__(parent)
324 | self.valueEdit = {}
325 | self.paramDict = paramDict
326 | self.initUi()
327 |
328 | #----------------------------------------------------------------------
329 | def initUi(self):
330 | """"""
331 | QWidget.__init__(self) # 调用父类初始化方法
332 | self.setWindowTitle(u'设置参数')
333 | self.resize(300,400) # 设置窗口大小
334 | gridlayout = QGridLayout() # 创建布局组件
335 | i = 0
336 | lName = QLabel(u'参数')
337 | lValue = QLabel(u'数值')
338 | gridlayout.addWidget(lName, i, 0 )
339 | gridlayout.addWidget(lValue, i, 1 )
340 | for name in self.paramDict:
341 | i += 1
342 | label = QLabel(name) # 创建单选框
343 | self.valueEdit[name] = QLineEdit()
344 | self.valueEdit[name].setText(str(self.paramDict[name]))
345 | self.valueEdit[name].setFocusPolicy(QtCore.Qt.NoFocus)
346 | gridlayout.addWidget(label, i, 0 ) # 添加文本
347 | gridlayout.addWidget(self.valueEdit[name], i, 1) # 添加文本框
348 |
349 | vbox = QVBoxLayout()
350 | vbox.addLayout(gridlayout)
351 | self.addButton(vbox)
352 | self.setLayout(vbox)
353 |
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/vecsig/reverse.py:
--------------------------------------------------------------------------------
1 | # encoding: UTF-8
2 | import talib
3 | import numpy as np
4 |
5 | def reverse(pdBars,rLimit=0.01):
6 | size = len(pdBars.index)
7 | pclose = pdBars['close'].values
8 | phigh = pdBars['high'].values
9 | plow = pdBars['low'].values
10 | popen = pdBars['open'].values
11 | pratio = (pclose-popen)/pclose
12 | hhv = popen + rLimit*pclose
13 | llv = popen - rLimit*pclose
14 | sigOpen = np.zeros(size)
15 | sigOpen[pratio>rLimit] = -1
16 | sigOpen[pratio<-rLimit] = 1
17 | return {"dealOpen":sigOpen,
18 | "deal":sigOpen,
19 | "pnl":np.zeros(size),
20 | "state":{'hhv':hhv,'llv':llv}}
21 |
--------------------------------------------------------------------------------
/vecsig/trends.py:
--------------------------------------------------------------------------------
1 | # encoding: UTF-8
2 | import talib
3 | import numpy as np
4 |
5 | def trends(pdBars):
6 | size = len(pdBars.index)
7 | close = pdBars['close'].values
8 | ma10 = talib.SMA(close,5)
9 | ma20 = talib.SMA(close,26)
10 | sigOpen = np.zeros(size)
11 | sigOpen[(ma10ma20,1)] = -1
12 | sigOpen[(ma10>ma20)&np.roll(ma10