├── .gitignore ├── .travis.yml ├── LICENSE ├── Makefile ├── README.md ├── backtradercn ├── __init__.py ├── analyzers │ ├── __init__.py │ └── drawdown.py ├── datas │ ├── __init__.py │ ├── tushare.py │ └── utils.py ├── libs │ ├── __init__.py │ ├── log.py │ ├── models.py │ ├── sina.py │ ├── wechat.py │ ├── xq_client.py │ └── xueqiu_trader.py ├── settings │ ├── __init__.py │ ├── common.py │ ├── dev.py │ ├── prod.py │ └── test.py ├── strategies │ ├── __init__.py │ ├── ma.py │ └── utils.py └── tasks.py ├── daily_alert.py ├── data_main.py ├── dev-requirements.txt ├── docs ├── Makefile ├── conf.py ├── content.rst.inc ├── getting_started.rst ├── index.rst ├── make.bat └── usage.rst ├── frm_main.py ├── issue_template.md ├── pylintrc ├── requirements.txt ├── stock_match.py ├── tests ├── libs │ └── test_models.py ├── test_datas_tushare.py ├── test_datas_utils.py ├── test_strategies_ma.py └── test_strategies_utils.py └── train_main.py /.gitignore: -------------------------------------------------------------------------------- 1 | # Byte-compiled / optimized / DLL files 2 | __pycache__/ 3 | *.py[cod] 4 | *$py.class 5 | 6 | # C extensions 7 | *.so 8 | 9 | # Distribution / packaging 10 | .Python 11 | env/ 12 | build/ 13 | develop-eggs/ 14 | dist/ 15 | downloads/ 16 | eggs/ 17 | .eggs/ 18 | lib/ 19 | lib64/ 20 | parts/ 21 | sdist/ 22 | var/ 23 | wheels/ 24 | *.egg-info/ 25 | .installed.cfg 26 | *.egg 27 | 28 | # PyInstaller 29 | # Usually these files are written by a python script from a template 30 | # before PyInstaller builds the exe, so as to inject date/other infos into it. 31 | *.manifest 32 | *.spec 33 | 34 | # Installer logs 35 | pip-log.txt 36 | pip-delete-this-directory.txt 37 | 38 | # Unit test / coverage reports 39 | htmlcov/ 40 | .tox/ 41 | .coverage 42 | .coverage.* 43 | .cache 44 | nosetests.xml 45 | coverage.xml 46 | *.cover 47 | .hypothesis/ 48 | 49 | # Translations 50 | *.mo 51 | *.pot 52 | 53 | # Django stuff: 54 | *.log 55 | local_settings.py 56 | 57 | # Flask stuff: 58 | instance/ 59 | .webassets-cache 60 | 61 | # Scrapy stuff: 62 | .scrapy 63 | 64 | # Sphinx documentation 65 | docs/_build/ 66 | 67 | # PyBuilder 68 | target/ 69 | 70 | # Jupyter Notebook 71 | .ipynb_checkpoints 72 | 73 | # pyenv 74 | .python-version 75 | 76 | # celery beat schedule file 77 | celerybeat-schedule 78 | 79 | # SageMath parsed files 80 | *.sage.py 81 | 82 | # dotenv 83 | .env 84 | 85 | # virtualenv 86 | .venv 87 | venv/ 88 | ENV/ 89 | 90 | # Spyder project settings 91 | .spyderproject 92 | .spyproject 93 | 94 | # Rope project settings 95 | .ropeproject 96 | 97 | # mkdocs documentation 98 | /site 99 | 100 | # mypy 101 | .mypy_cache/ 102 | .idea 103 | .DS_Store 104 | backtradercn.tar.gz 105 | -------------------------------------------------------------------------------- /.travis.yml: -------------------------------------------------------------------------------- 1 | language: python 2 | python: 3 | - "3.6" 4 | 5 | # email notification 6 | notifications: 7 | email: 8 | recipients: 9 | - 23249735@qq.com 10 | on_success: never # default: change 11 | on_failure: never # default: always 12 | 13 | # services 14 | services: 15 | - mongodb 16 | 17 | # command to install dependencies 18 | install: 19 | - make pip 20 | 21 | # command to run tests coverage report 22 | script: 23 | - make coverage 24 | 25 | after_success: 26 | - codecov 27 | - make webhook 28 | -------------------------------------------------------------------------------- /LICENSE: -------------------------------------------------------------------------------- 1 | GNU GENERAL PUBLIC LICENSE 2 | Version 3, 29 June 2007 3 | 4 | Copyright (C) 2007 Free Software Foundation, Inc. 5 | Everyone is permitted to copy and distribute verbatim copies 6 | of this license document, but changing it is not allowed. 7 | 8 | Preamble 9 | 10 | The GNU General Public License is a free, copyleft license for 11 | software and other kinds of works. 12 | 13 | The licenses for most software and other practical works are designed 14 | to take away your freedom to share and change the works. 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If the Program does not specify a version number of the 576 | GNU General Public License, you may choose any version ever published 577 | by the Free Software Foundation. 578 | 579 | If the Program specifies that a proxy can decide which future 580 | versions of the GNU General Public License can be used, that proxy's 581 | public statement of acceptance of a version permanently authorizes you 582 | to choose that version for the Program. 583 | 584 | Later license versions may give you additional or different 585 | permissions. However, no additional obligations are imposed on any 586 | author or copyright holder as a result of your choosing to follow a 587 | later version. 588 | 589 | 15. Disclaimer of Warranty. 590 | 591 | THERE IS NO WARRANTY FOR THE PROGRAM, TO THE EXTENT PERMITTED BY 592 | APPLICABLE LAW. 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It is safest 630 | to attach them to the start of each source file to most effectively 631 | state the exclusion of warranty; and each file should have at least 632 | the "copyright" line and a pointer to where the full notice is found. 633 | 634 | {one line to give the program's name and a brief idea of what it does.} 635 | Copyright (C) {year} {name of author} 636 | 637 | This program is free software: you can redistribute it and/or modify 638 | it under the terms of the GNU General Public License as published by 639 | the Free Software Foundation, either version 3 of the License, or 640 | (at your option) any later version. 641 | 642 | This program is distributed in the hope that it will be useful, 643 | but WITHOUT ANY WARRANTY; without even the implied warranty of 644 | MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the 645 | GNU General Public License for more details. 646 | 647 | You should have received a copy of the GNU General Public License 648 | along with this program. If not, see . 649 | 650 | Also add information on how to contact you by electronic and paper mail. 651 | 652 | If the program does terminal interaction, make it output a short 653 | notice like this when it starts in an interactive mode: 654 | 655 | {project} Copyright (C) {year} {fullname} 656 | This program comes with ABSOLUTELY NO WARRANTY; for details type `show w'. 657 | This is free software, and you are welcome to redistribute it 658 | under certain conditions; type `show c' for details. 659 | 660 | The hypothetical commands `show w' and `show c' should show the appropriate 661 | parts of the General Public License. Of course, your program's commands 662 | might be different; for a GUI interface, you would use an "about box". 663 | 664 | You should also get your employer (if you work as a programmer) or school, 665 | if any, to sign a "copyright disclaimer" for the program, if necessary. 666 | For more information on this, and how to apply and follow the GNU GPL, see 667 | . 668 | 669 | The GNU General Public License does not permit incorporating your program 670 | into proprietary programs. If your program is a subroutine library, you 671 | may consider it more useful to permit linking proprietary applications with 672 | the library. If this is what you want to do, use the GNU Lesser General 673 | Public License instead of this License. But first, please read 674 | . 675 | -------------------------------------------------------------------------------- /Makefile: -------------------------------------------------------------------------------- 1 | .PHONY: all, pip, install-dev, deploy, test, coverage, webhook, lint, docs, clean 2 | 3 | all: test 4 | 5 | pip: 6 | @echo 'pip install Python modules ...' 7 | @grep -Ev '^#' requirements.txt | awk -F'# ' '{print $$1}' | xargs -n 1 -L 1 pip install 8 | 9 | install-dev: 10 | @pip install -U -r dev-requirements.txt 11 | 12 | deploy: clean 13 | @echo "upload source code to remote server ..." 14 | @rsync -raPH -e ssh --delete ./ gvm-2c8g:/data/web/backtrader-cn 15 | @rsync -raPH -e ssh --delete ./ gvm-4c8g:/root/web/backtrader-cn 16 | 17 | test: clean install-dev 18 | pytest 19 | 20 | coverage: clean install-dev 21 | coverage run --source backtradercn -m pytest -v 22 | coverage report 23 | 24 | webhook: 25 | @echo "trigger webhooks ..." 26 | @curl -X POST http://35.194.246.210/hooks/travis 27 | @curl -X POST http://35.189.182.250/webhook 28 | 29 | lint: 30 | pylint *.py backtradercn 31 | 32 | docs: clean install-dev 33 | $(MAKE) -C docs html 34 | 35 | clean: 36 | @echo "make clean ..." 37 | @find ./ -name '*.pyc' -exec rm -f {} + 38 | @find ./ -name '*.pyo' -exec rm -f {} + 39 | @find ./ -name '*~' -exec rm -f {} + 40 | @find ./ -name '__pycache__' -exec rm -rf {} + 41 | -------------------------------------------------------------------------------- /README.md: -------------------------------------------------------------------------------- 1 | ## backtrader-cn 2 | 3 | [![Build Status](https://travis-ci.org/pandalibin/backtrader-cn.svg?branch=master)](https://travis-ci.org/pandalibin/backtrader-cn) 4 | [![Coverage Status](https://codecov.io/gh/pandalibin/backtrader-cn/branch/master/graph/badge.svg)](https://codecov.io/gh/pandalibin/backtrader-cn) 5 | [![Doc Status](https://readthedocs.org/projects/backtrader-cn/badge/?version=latest)](http://backtrader-cn.readthedocs.io/en/latest/?badge=latest) 6 | 7 | ### 快速上手 8 | 9 | python 版本 10 | 11 | $ python --version 12 | Python 3.6.0 13 | 14 | 注： 15 | 16 | - 项目中使用了 `f-string`，所以，需要 `Python 3.6` 以上的版本。 17 | - 可以使用 `pyenv` 安装不同版本的 `Python`，用 `pyenv virtualenv` 创建彼此独立的环境。 18 | 19 | #### 下载代码 20 | 21 | $ git clone https://github.com/pandalibin/backtrader-cn.git 22 | 23 | #### 安装 `mongodb` 24 | 25 | ##### Mac OSX 26 | 27 | 安装项目需要的软件包： 28 | 29 | $ brew install mongodb 30 | $ brew services start mongodb 31 | $ xcode-select --install # 安装`arctic`模块报错提示缺少`limits.h` 32 | 33 | ##### Ubuntu/Debian 34 | 35 | 安装项目需要的软件包： 36 | 37 | $ sudo apt-get install gcc build-essential # arctic 38 | $ sudo apt-get install mongodb 39 | 40 | 安装 Python modules 41 | 42 | > ~~$ pip install -U -r requirements.txt~~ 43 | 44 | > `pip install -r requirements.txt` 会并行安装 Python modules。 45 | > 46 | > `tushare` 没有将它安装时依赖的包在 `setup.py` 的 `install_requires` 中做声明，导致如果在 `lxml` 安装之前安装 `tushare` 就会报错。 47 | 48 | $ make pip 49 | 50 | 获取股票数据 51 | 52 | $ python data_main.py 53 | 54 | 计算入场信号 55 | 56 | $ python frm_main.py 57 | 58 | ### 参与项目开发 59 | 60 | #### 安装项目需要的 `Python modules` 61 | 62 | $ make pip 63 | 64 | #### Python code check 65 | 66 | ##### git hooks 67 | 68 | 提交代码前运行 `git-pylint-commit-hook` 69 | 70 | `.git/hooks/pre-commit` 文件内容： 71 | 72 | $ cat .git/hooks/pre-commit 73 | #!/usr/bin/env bash 74 | git-pylint-commit-hook 75 | 76 | 添加执行权限: 77 | 78 | $ chmod +x .git/hooks/pre-commit 79 | 80 | ##### 自己运行 `pylint` 81 | 82 | $ make lint 83 | 84 | ##### 集成 Pylint 到 PyCharm 85 | 86 | [Integrate Pylint with PyCharm](https://docs.pylint.org/en/latest/user_guide/ide-integration.html#integrate-pylint-with-pycharm) 87 | -------------------------------------------------------------------------------- /backtradercn/__init__.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/pandalibin/backtrader-cn/1dd18d00d0e8cfbb9d34cc36b1bab7fc70dd0477/backtradercn/__init__.py -------------------------------------------------------------------------------- /backtradercn/analyzers/__init__.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/pandalibin/backtrader-cn/1dd18d00d0e8cfbb9d34cc36b1bab7fc70dd0477/backtradercn/analyzers/__init__.py -------------------------------------------------------------------------------- /backtradercn/analyzers/drawdown.py: -------------------------------------------------------------------------------- 1 | # -*- coding: utf-8 -*- 2 | from __future__ import (absolute_import, division, print_function, 3 | unicode_literals) 4 | 5 | import backtrader as bt 6 | 7 | 8 | __all__ = ['TimeDrawDown'] 9 | 10 | 11 | class TimeDrawDown(bt.TimeFrameAnalyzerBase): 12 | """ 13 | This analyzer calculates trading system drawdowns on the chosen 14 | timeframe which can be different from the one used in the underlying data 15 | Params: 16 | 17 | - ``timeframe`` (default: ``None``) 18 | If ``None`` the ``timeframe`` of the 1st data in the system will be 19 | used 20 | 21 | Pass ``TimeFrame.NoTimeFrame`` to consider the entire dataset with no 22 | time constraints 23 | 24 | - ``compression`` (default: ``None``) 25 | 26 | Only used for sub-day timeframes to for example work on an hourly 27 | timeframe by specifying "TimeFrame.Minutes" and 60 as compression 28 | 29 | If ``None`` then the compression of the 1st data of the system will be 30 | used 31 | - *None* 32 | 33 | - ``fund`` (default: ``None``) 34 | 35 | If ``None`` the actual mode of the broker (fundmode - True/False) will 36 | be autodetected to decide if the returns are based on the total net 37 | asset value or on the fund value. See ``set_fundmode`` in the broker 38 | documentation 39 | 40 | Set it to ``True`` or ``False`` for a specific behavior 41 | 42 | Methods: 43 | 44 | - ``get_analysis`` 45 | 46 | Returns a dictionary (with . notation support and subdctionaries) with 47 | drawdown stats as values, the following keys/attributes are available: 48 | 49 | - ``drawdown`` - drawdown value in 0.xx % 50 | - ``maxdrawdown`` - drawdown value in monetary units 51 | - ``maxdrawdownperiod`` - drawdown length 52 | 53 | - Those are available during runs as attributes 54 | - ``dd`` 55 | - ``maxdd`` 56 | - ``maxddlen`` 57 | """ 58 | 59 | params = ( 60 | ('fund', None), 61 | ) 62 | 63 | def start(self): 64 | super(TimeDrawDown, self).start() 65 | if self.p.fund is None: 66 | self._fundmode = self.strategy.broker.fundmode 67 | else: 68 | self._fundmode = self.p.fund 69 | self.dd = 0.0 70 | self.maxdd = 0.0 71 | self.maxddlen = 0 72 | self.peak = float('-inf') 73 | self.ddlen = 0 74 | self.tmpmaxdd = 0 75 | self.tmpmaxddlen = 0 76 | self.drawdown_points = [] 77 | self.tmpdatetime = None 78 | 79 | def on_dt_over(self): 80 | 81 | if not self._fundmode: 82 | value = self.strategy.broker.getvalue() 83 | else: 84 | value = self.strategy.broker.fundvalue 85 | 86 | # update the maximum seen peak 87 | if value >= self.peak: 88 | self.peak = value 89 | self.ddlen = 0 # start of streak 90 | 91 | if self.tmpdatetime and self.tmpmaxdd and self.tmpmaxddlen: 92 | tmpdrawdown = dict( 93 | datetime=self.tmpdatetime.date(), 94 | drawdown=self.tmpmaxdd, 95 | drawdownlen=self.tmpmaxddlen 96 | ) 97 | self.drawdown_points.append(tmpdrawdown) 98 | 99 | self.tmpdatetime_updated = False 100 | self.tmpmaxdd = 0 101 | self.tmpmaxddlen = 0 102 | self.tmpdatetime = None 103 | 104 | # draw down period 105 | else: 106 | # calculate the current drawdown 107 | self.dd = dd = 100.0 * (self.peak - value) / self.peak 108 | self.ddlen += bool(dd) # if peak == value -> dd = 0 109 | 110 | if not self.tmpdatetime_updated: 111 | self.tmpdatetime = self.strategy.datas[0].datetime 112 | self.tmpdatetime_updated = True 113 | 114 | self.tmpmaxdd = max(self.tmpmaxdd, dd) 115 | self.tmpmaxddlen += bool(self.dd) 116 | 117 | # update the maxdrawdown if needed 118 | self.maxdd = max(self.maxdd, dd) 119 | self.maxddlen = max(self.maxddlen, self.ddlen) 120 | 121 | def stop(self): 122 | self.rets['maxdrawdown'] = self.maxdd 123 | self.rets['maxdrawdownperiod'] = self.maxddlen 124 | self.rets['drawdownpoints'] = self.drawdown_points 125 | -------------------------------------------------------------------------------- /backtradercn/datas/__init__.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/pandalibin/backtrader-cn/1dd18d00d0e8cfbb9d34cc36b1bab7fc70dd0477/backtradercn/datas/__init__.py -------------------------------------------------------------------------------- /backtradercn/datas/tushare.py: -------------------------------------------------------------------------------- 1 | # -*- coding: utf-8 -*- 2 | import datetime as dt 3 | import tushare as ts 4 | 5 | import backtradercn.datas.utils as bdu 6 | from backtradercn.settings import settings as conf 7 | from backtradercn.libs.log import get_logger 8 | from backtradercn.libs.models import get_or_create_library 9 | 10 | 11 | logger = get_logger(__name__) 12 | 13 | 14 | class TsHisData(object): 15 | """ 16 | Mapping one collection in 'ts_his_lib' library, download and 17 | maintain history data from tushare, and provide other modules with the data. 18 | columns: open, high, close, low, volume 19 | Attributes: 20 | coll_name(string): stock id like '000651' for gree. 21 | 22 | """ 23 | 24 | def __init__(self, coll_name): 25 | self._lib_name = conf.CN_STOCK_LIBNAME 26 | self._coll_name = coll_name 27 | self._library = get_or_create_library(self._lib_name) 28 | self._unused_cols = ['price_change', 'p_change', 'ma5', 'ma10', 'ma20', 29 | 'v_ma5', 'v_ma10', 'v_ma20', 'turnover'] 30 | self._new_added_colls = [] 31 | 32 | @classmethod 33 | def download_one_delta_data(cls, coll_name): 34 | """ 35 | Download all the collections' delta data. 36 | :param coll_name: a stock code 37 | :return: None 38 | """ 39 | ts_his_data = TsHisData(coll_name) 40 | ts_his_data.download_delta_data() 41 | 42 | @classmethod 43 | def download_all_delta_data(cls, *coll_names): 44 | """ 45 | Download all the collections' delta data. 46 | :param coll_names: list of the collections. 47 | :return: None 48 | """ 49 | for coll_name in coll_names: 50 | ts_his_data = TsHisData(coll_name) 51 | ts_his_data.download_delta_data() 52 | 53 | def download_delta_data(self): 54 | """ 55 | Get yesterday's data and append it to collection, 56 | this method is planned to be executed at each day's 8:30am to update the data. 57 | 1. Connect to arctic and get the library. 58 | 2. Get today's history data from tushare and strip the unused columns. 59 | 3. Store the data to arctic. 60 | :return: None 61 | """ 62 | 63 | self._init_coll() 64 | 65 | if self._coll_name in self._new_added_colls: 66 | return 67 | 68 | # 15:00 PM can get today data 69 | # start = latest_date + 1 day 70 | latest_date = self.get_data().index[-1] 71 | start = latest_date + dt.timedelta(days=1) 72 | start = dt.datetime.strftime(start, '%Y-%m-%d') 73 | 74 | his_data = ts.get_hist_data( 75 | code=self._coll_name, 76 | start=start, 77 | retry_count=5 78 | ) 79 | 80 | # delta data is empty 81 | if len(his_data) == 0: 82 | logger.info( 83 | f'delta data of stock {self._coll_name} is empty, after {start}') 84 | return 85 | 86 | his_data = bdu.Utils.strip_unused_cols(his_data, *self._unused_cols) 87 | 88 | logger.info(f'got delta data of stock: {self._coll_name}, after {start}') 89 | self._library.append(self._coll_name, his_data) 90 | 91 | def get_data(self): 92 | """ 93 | Get all the data of one collection. 94 | :return: data(DataFrame) 95 | """ 96 | 97 | data = self._library.read(self._coll_name).data 98 | # parse the date 99 | data.index = data.index.map(bdu.Utils.parse_date) 100 | 101 | return data 102 | 103 | def _init_coll(self): 104 | """ 105 | Get all the history data when initiate the library. 106 | 1. Connect to arctic and create the library. 107 | 2. Get all the history data from tushare and strip the unused columns. 108 | 3. Store the data to arctic. 109 | :return: None 110 | """ 111 | 112 | # if collection is not initialized 113 | if self._coll_name not in self._library.list_symbols(): 114 | self._new_added_colls.append(self._coll_name) 115 | his_data = ts.get_hist_data(code=self._coll_name, retry_count=5).sort_index() 116 | if len(his_data) == 0: 117 | logger.warning( 118 | f'data of stock {self._coll_name} when initiation is empty' 119 | ) 120 | return 121 | 122 | his_data = bdu.Utils.strip_unused_cols(his_data, *self._unused_cols) 123 | 124 | logger.debug(f'write history data for stock: {self._coll_name}.') 125 | self._library.write(self._coll_name, his_data) 126 | -------------------------------------------------------------------------------- /backtradercn/datas/utils.py: -------------------------------------------------------------------------------- 1 | # -*- coding: utf-8 -*- 2 | import datetime 3 | 4 | 5 | class Utils(object): 6 | """ 7 | Tools set for datas. 8 | """ 9 | 10 | @classmethod 11 | def strip_unused_cols(cls, data, *unused_cols): 12 | """ 13 | Strip the unused columns of data frame. 14 | :param data(DataFrame): input data frame. 15 | :param unused_cols(array): unused columns 16 | :return: None 17 | """ 18 | for unused_col in unused_cols: 19 | data = data.drop(unused_col, axis=1) 20 | 21 | return data 22 | 23 | @classmethod 24 | def parse_date(cls, date_string): 25 | return datetime.datetime.strptime(date_string, '%Y-%m-%d') 26 | -------------------------------------------------------------------------------- /backtradercn/libs/__init__.py: -------------------------------------------------------------------------------- 1 | # -*- coding: utf-8 -*- 2 | -------------------------------------------------------------------------------- /backtradercn/libs/log.py: -------------------------------------------------------------------------------- 1 | # -*- coding: utf-8 -*- 2 | import os 3 | import logging 4 | from datetime import datetime 5 | from logging.config import dictConfig 6 | from backtradercn.settings import settings as conf 7 | 8 | 9 | __all__ = ['get_logger'] 10 | 11 | 12 | LOG_PATH = os.path.join( 13 | conf.LOG_DIR, 14 | f'{datetime.now().strftime("%Y%m%d-%H%M%S-%f")}.log' 15 | ) 16 | 17 | logging_config = dict( 18 | version=1, 19 | formatters={ 20 | 'standard': { 21 | 'format': 22 | '%(asctime)s %(name)s:%(funcName)s:%(lineno)d %(levelname)s: %(message)s', 23 | 'default_msec_format': '%s.%03d', 24 | 'converter': 'time.gmtime' 25 | } 26 | }, 27 | handlers={ 28 | 'console': { 29 | 'class': 'logging.StreamHandler', 30 | 'formatter': 'standard', 31 | 'level': conf.LOG_LEVEL, 32 | 'stream': 'ext://sys.stdout' 33 | }, 34 | 'file': { 35 | 'class': 'logging.FileHandler', 36 | 'formatter': 'standard', 37 | 'level': conf.LOG_LEVEL, 38 | 'filename': LOG_PATH, 39 | 'mode': 'a', 40 | } 41 | }, 42 | root={ 43 | 'handlers': ['console', 'file'], 44 | 'level': conf.LOG_LEVEL, 45 | }, 46 | ) 47 | 48 | dictConfig(logging_config) 49 | 50 | # replace comma with period 51 | # e.g.: 2010-09-06 22:38:15,292 => 2010-09-06 22:38:15.292 52 | for h in logging.getLogger().handlers: 53 | h.formatter.default_msec_format = '%s.%03d' 54 | 55 | 56 | def get_logger(name=None): 57 | return logging.getLogger(name) 58 | -------------------------------------------------------------------------------- /backtradercn/libs/models.py: -------------------------------------------------------------------------------- 1 | # -*- coding: utf-8 -*- 2 | import arctic 3 | import pandas as pd 4 | from backtradercn.libs.log import get_logger 5 | from backtradercn.settings import settings as conf 6 | 7 | 8 | logger = get_logger(__name__) 9 | 10 | 11 | def get_store(): 12 | """ 13 | get Arctic store connection 14 | :return: arctic connection 15 | """ 16 | 17 | mongo_host = conf.MONGO_HOST 18 | store = arctic.Arctic(mongo_host) 19 | return store 20 | 21 | 22 | def get_library(lib_name): 23 | """ 24 | get library by name 25 | :param lib_name: str, library name 26 | :return: arctic library object 27 | """ 28 | 29 | store = get_store() 30 | 31 | lib = None 32 | if lib_name not in store.list_libraries(): 33 | logger.debug(f'can not find library: {lib_name}.') 34 | else: 35 | lib = store.get_library(lib_name) 36 | 37 | return lib 38 | 39 | 40 | def create_library(lib_name): 41 | """ 42 | create library with name: `lib_name` 43 | :param lib_name: str, library name 44 | :return: arctic library object 45 | """ 46 | 47 | store = get_store() 48 | if lib_name not in store.list_libraries(): 49 | logger.info(f'initialize library: {lib_name}') 50 | try: 51 | store.initialize_library(lib_name) 52 | except Exception as e: 53 | logger.error(f'initialize library failed: {e}', exc_info=True) 54 | else: 55 | logger.debug(f'library: {lib_name} exist, skip.') 56 | 57 | return store.get_library(lib_name) 58 | 59 | 60 | def get_or_create_library(lib_name): 61 | """ 62 | get library by `lib_name`, if not exists, then create it. 63 | :param lib_name: str, library name 64 | :return: arctic library object 65 | """ 66 | 67 | lib = get_library(lib_name) 68 | if not lib: 69 | lib = create_library(lib_name) 70 | 71 | return lib 72 | 73 | 74 | def drop_library(lib_name): 75 | """ 76 | drop library by name: `lib_name` 77 | :param lib_name: str, library name 78 | :return: None 79 | """ 80 | 81 | store = get_store() 82 | if lib_name in store.list_libraries(): 83 | logger.info(f'drop library: {lib_name}') 84 | store.delete_library(lib_name) 85 | else: 86 | logger.warning(f'can not find library: {lib_name}') 87 | 88 | 89 | def get_cn_stocks(): 90 | """ 91 | get all chinese stock ids from arctic library. 92 | :return: list, stock id list. e.g.: ['000651', '601988' ...] 93 | """ 94 | 95 | lib = get_library(conf.CN_STOCK_LIBNAME) 96 | return lib.list_symbols() 97 | 98 | 99 | def save_training_params(symbol, params): 100 | """ 101 | save training params to library. 102 | :param symbol: str, arctic symbol 103 | :param params: dict, e.g.: {"ma_period_s": 1, "ma_period_l": 2, "stock_id": "600909"} 104 | :return: None 105 | """ 106 | 107 | stock_id = params.ma_periods['stock_id'] 108 | params_to_save = dict(params=params) 109 | df = pd.DataFrame([params_to_save], columns=params_to_save.keys(), index=[stock_id]) 110 | 111 | # write to database 112 | # if library does not exist, create it 113 | lib = get_or_create_library(conf.STRATEGY_PARAMS_LIBNAME) 114 | 115 | if lib.has_symbol(symbol): 116 | logger.debug( 117 | f'symbol: {symbol} already exists, ' 118 | f'change the params of stock {stock_id}, ' 119 | f'then delete and write symbol: {symbol}.' 120 | ) 121 | params_df = lib.read(symbol).data 122 | params_df.loc[stock_id, 'params'] = params 123 | lib.delete(symbol) 124 | lib.write(symbol, params_df) 125 | else: 126 | logger.debug( 127 | f'write the params of stock {stock_id} to symbol: {symbol}' 128 | ) 129 | lib.write(symbol, df) 130 | -------------------------------------------------------------------------------- /backtradercn/libs/sina.py: -------------------------------------------------------------------------------- 1 | # -*- coding: utf-8 -*- 2 | import base64 3 | import json 4 | import random 5 | import re 6 | import string 7 | import time 8 | import urllib.parse 9 | from collections import namedtuple 10 | from datetime import datetime 11 | from enum import IntEnum 12 | from pprint import pprint 13 | 14 | import demjson 15 | import requests 16 | from retrying import retry 17 | 18 | from backtradercn.libs.log import get_logger 19 | from backtradercn.settings import settings as conf 20 | 21 | logger = get_logger(__name__) 22 | 23 | 24 | def enable_debug_requests(): 25 | # Enabling debugging at http.client level (requests->urllib3->http.client) 26 | # you will see the REQUEST, including HEADERS and DATA, and RESPONSE with HEADERS but without DATA. 27 | # the only thing missing will be the response.body which is not logged. 28 | from http.client import HTTPConnection 29 | import logging 30 | 31 | HTTPConnection.debuglevel = 1 32 | logger.setLevel(logging.DEBUG) 33 | requests_log = logging.getLogger("requests.packages.urllib3") 34 | requests_log.setLevel(logging.DEBUG) 35 | requests_log.propagate = True 36 | 37 | 38 | # 去掉注释，开启调试模式 39 | # enable_debug_requests() 40 | 41 | def pretty_print(data): 42 | print(json.dumps(data, indent=4, ensure_ascii=False)) 43 | 44 | 45 | def pretty_print_namedtuple(namedtuple_obj): 46 | pprint(dict(namedtuple_obj._asdict())) 47 | 48 | 49 | def _json_object_hook(d): 50 | class_name = d.pop('_class_name', 'NamedTuple') 51 | return namedtuple(class_name, d.keys())(*d.values()) 52 | 53 | 54 | def json2obj(data): 55 | """将json转换为对象""" 56 | return json.loads(data, object_hook=_json_object_hook) 57 | 58 | 59 | def get_unix_timestamp(with_millisecond=True): 60 | """ 61 | get unix时间戳 62 | :param with_millisecond: 是否返回毫秒信息 63 | :return: 64 | """ 65 | return int(time.time() * 1000) if with_millisecond else int(time.time()) 66 | 67 | 68 | def get_random_string(length=8, digits_only=True): 69 | """ 70 | 获取随机字符串长度 71 | :param length: 72 | :param digits_only: 73 | :return: 74 | """ 75 | random_str = "" 76 | random_list = string.digits if digits_only else string.ascii_letters + string.digits 77 | for i in range(length): 78 | random_str += random.choice(random_list) 79 | return random_str 80 | 81 | 82 | def extract_stock_info(stock_str): 83 | """解析股票信息 84 | :param stock_str: 85 | :return: 86 | >>> empty_stock_str="var suggestdata_1511245999245="";" 87 | >>> extract_stock_info(empty_stock_str) 88 | [] 89 | >>> cn_stock_str='var suggestdata_1511246914696="格力电器,111,000651,sz000651,格力电器,gldq,格力电器,0;格力地产,111,600185,sh600185,格力地产,gldc,格力地产,0";' 90 | >>> extract_stock_info(cn_stock_str) 91 | [{'name': '格力电器', 'type': '111', 'stock_code': '000651', 'symbol': 'sz000651', 'first_letters': 'gldq'}, {'name': '格力地产', 'type': '111', 'stock_code': '600185', 'symbol': 'sh600185', 'first_letters': 'gldc'}] 92 | 93 | >>> us_stock_str='var suggestdata_1511246560937="阿里巴巴,41,baba,alibaba group,阿里巴巴,albb,阿里巴巴,10;阿里那,41,arna,arena pharmaceuticals,阿里那,aln,阿里那,0;阿里阿德,41,aria,ariad pharmaceuticals,阿里阿德,alad,阿里阿德,0";' 94 | >>> extract_stock_info(us_stock_str) 95 | [{'name': '阿里巴巴', 'type': '41', 'stock_code': 'baba', 'symbol': 'alibaba group', 'first_letters': 'albb'}, {'name': '阿里那', 'type': '41', 'stock_code': 'arna', 'symbol': 'arena pharmaceuticals', 'first_letters': 'aln'}, {'name': '阿里阿德', 'type': '41', 'stock_code': 'aria', 'symbol': 'ariad pharmaceuticals', 'first_letters': 'alad'}] 96 | """ 97 | stocks = [] 98 | match = re.search(r'"(.*)"', stock_str) 99 | if not match: 100 | return stocks 101 | stock_info = match.groups()[0] 102 | str_stocks = stock_info.split(";") 103 | for stock in str_stocks: 104 | search_key, market_type, stock_code, symbol, name, first_letters, _, _ = stock.split( 105 | ',') 106 | stocks.append( 107 | { 108 | "name": name, 109 | "type": market_type, 110 | "stock_code": stock_code, 111 | "symbol": symbol, 112 | "first_letters": first_letters, 113 | } 114 | ) 115 | return stocks 116 | 117 | 118 | def jsonp2dict(jsonp): 119 | """ 120 | 解析jsonp类型的返回 121 | :param jsonp: 122 | :return: 123 | """ 124 | 125 | try: 126 | l_index = jsonp.index("(") + 2 127 | r_index = jsonp.rindex(")") - 1 128 | jsonp_info = jsonp[l_index:r_index] 129 | except ValueError: 130 | logger.error("Input is not in a jsonp format. %s" % jsonp) 131 | return 132 | try: 133 | return demjson.decode(jsonp_info) 134 | except demjson.JSONDecodeError as e: 135 | if jsonp_info == "new Boolean(true)": 136 | return True 137 | elif jsonp_info == "null": 138 | return None 139 | else: 140 | logger.error("解析jsonp返回失败") 141 | logger.error(jsonp) 142 | raise e 143 | 144 | 145 | def check_error(res_dict): 146 | """ 147 | 检测返回值中是否包含错误的返回码。 148 | 如果返回码提示有错误，抛出一个异常 149 | """ 150 | logger.error(json.dumps(res_dict, ensure_ascii=False)) 151 | if "retcode" in res_dict: 152 | if res_dict['retcode'] == 1005: 153 | logger.warning("下单失败, 操作过快，即将重试!") 154 | raise HighFrequencyError("{}: {}".format(res_dict["retcode"], res_dict["msg"])) 155 | raise StockMatchError("{}: {}".format(res_dict["retcode"], res_dict["msg"])) 156 | raise StockMatchError(json.dumps(res_dict)) 157 | 158 | 159 | def retry_if_if_high_frequency(exception): 160 | """Return True if we should retry (in this case when it's an IOError), False otherwise""" 161 | return isinstance(exception, HighFrequencyError) 162 | 163 | 164 | class OrderStatus(IntEnum): 165 | # 未成交 166 | undealt = 0 167 | # 成交 168 | dealt = 1 169 | # 已经撤销 170 | canceled = 2 171 | 172 | def __str__(self): 173 | return '%s' % self.value 174 | 175 | 176 | class StockMatchError(Exception): 177 | """异常处理""" 178 | 179 | def __init__(self, message=None): 180 | super(StockMatchError, self).__init__() 181 | self.message = message 182 | 183 | 184 | class LoginFailedError(StockMatchError): 185 | """登录失败""" 186 | pass 187 | 188 | 189 | class HighFrequencyError(StockMatchError): 190 | """操作频率太快""" 191 | pass 192 | 193 | 194 | class StockMatch(object): 195 | """ 196 | 新浪模拟炒股 197 | 沪深练习场 198 | 199 | http://jiaoyi.sina.com.cn/jy/index.php 200 | """ 201 | 202 | def __init__(self, username, password): 203 | self.session, self.uid = self.login(username, password) 204 | 205 | # 注意: 目前采用的登录方式没有对密码做RSA加密 206 | # 参考 207 | # http://lovenight.github.io/2015/11/23/Python-%E6%A8%A1%E6%8B%9F%E7%99%BB%E5%BD%95%E6%96%B0%E6%B5%AA%E5%BE%AE%E5%8D%9A/ 208 | # http://www.jianshu.com/p/816594c83c74 209 | def login(self, username, password): 210 | """ 211 | # 新浪微博登录 212 | :param username: 微博手机号 213 | :param password: 微博密码 214 | :return: 215 | """ 216 | if username == "" or password == "": 217 | raise StockMatchError("用户名或密码不能为空") 218 | post_data = { 219 | "entry": "finance", 220 | "gateway": "1", 221 | "from": None, 222 | "savestate": "30", 223 | "qrcode_flag": True, 224 | "useticket": "0", 225 | "pagerefer": "http://jiaoyi.sina.com.cn/jy/index.php", 226 | "vsnf": "1", 227 | "su": base64.b64encode(username.encode("utf-8")).decode("utf-8"), 228 | "service": "sso", 229 | "servertime": get_unix_timestamp(False), 230 | "nonce": "RA12UM", 231 | # "pwencode": "rsa2", # 取消掉使用rsa2加密密码 232 | "sp": password, 233 | "sr": "1280*800", 234 | "encoding": "UTF-8", 235 | "cdult": "3", 236 | "domain": "sina.com.cn", 237 | "prelt": "56", 238 | "returntype": "TEXT", 239 | } 240 | session = requests.Session() 241 | session.headers.update(conf.SINA_CONFIG["request_headers"]) 242 | res = session.post(conf.SINA_CONFIG["login_url"], data=post_data, params={ 243 | "client": "ssologin.js(v1.4.19)", 244 | "_": get_unix_timestamp(), 245 | }) 246 | res.encoding = "gb2312" 247 | info = json.loads(res.content) 248 | if info["retcode"] != "0": 249 | logger.error(info["reason"]) 250 | raise LoginFailedError(info["reason"]) 251 | logger.info("用户%s登录成功" % username) 252 | return session, info['uid'] 253 | 254 | @property 255 | def available_fund(self): 256 | """获取当前可用资产""" 257 | return self.get_account_info()['AvailableFund'] 258 | 259 | # 返回字段含义参考 260 | # http://n.sinaimg.cn/finance/jiaoyi/js/STP.js 261 | def get_account_info(self): 262 | """ 263 | 获取账户基本信息 264 | :return: 265 | { 266 | "sid": 1768615155, # 用户ID 267 | "contest_id": 10000, # 比赛ID 268 | "match_id": "1", # 比赛ID 269 | "StockFund": "500000.000", # 资产 270 | "AvailableFund": "500000.000", # 可用资金 271 | "WarrantFund": "0.000", 272 | "LastTotalFund": "500000.000", 273 | "ctime": "2017-11-20 11:32:03", 274 | "ProfitRatio": "0.000", 275 | "StockProfit": "0.000", # 当日盈亏 276 | "StockCode": "", 277 | "StockName": "", 278 | "max_profit_ratio": "", 279 | "rank": "--", # 比赛排名 280 | "rank_yesterday": "", 281 | "rank_week": "", # 周排行 282 | "rank_month": "", # 月排行 283 | "profit_ratio": "--", # 比赛收益 284 | "profit_ratio_day": "", # 当日收益 285 | "profit_ratio_week": "", # 周收益率 286 | "profit_ratio_month": "", #月收益率 287 | "success_ratio": "", 288 | "frequency": "", 289 | "industry": "", 290 | "stockhold": "" 291 | } 292 | """ 293 | 294 | url = "http://jiaoyi.sina.com.cn/api/jsonp_v2.php/jsonp_%s_%s/Account_Service.getAccountinfo" % ( 295 | get_unix_timestamp(), get_random_string()) 296 | 297 | r = self.session.get(url, params={ 298 | "sid": self.uid, 299 | "contest_id": 10000, 300 | }) 301 | return jsonp2dict(r.text) 302 | 303 | def _query_orders(self, from_position=0, per_page=10): 304 | """ 305 | 查询当日委托 306 | :param from_position: 从第几个开始 307 | :param per_page: 每页返回个数 308 | :return: 309 | """ 310 | url = "http://jiaoyi.sina.com.cn/api/jsonp_v2.php/jsonp_%s_%s/V2_CN_Order_Service.getOrder" % ( 311 | get_unix_timestamp(), get_random_string()) 312 | r = self.session.get( 313 | url, params={ 314 | "sid": self.uid, 315 | "cid": 10000, 316 | "sdate": datetime.strftime(datetime.now(), '%Y-%m-%d'), 317 | "edate": "", 318 | "from": from_position, # 请求偏移0 319 | "count": per_page, # 每个返回个数 320 | "sort": 1 321 | }) 322 | return jsonp2dict(r.text) 323 | 324 | # fixme: 325 | # 调用新浪接口发现返回的是所有委托，请求时的传递的时间参数没有任何作用 326 | def get_today_orders(self, status=None): 327 | """ 328 | 获取当日委托, 329 | :param status: 委托状态: "0": 未成交委托, "1": 成交的委托, "2":已撤销委托，默认返回当天所有委托 330 | :return: 331 | [Order(og_id='120350', contest_id='10000', sid='5175517774', StockCode='sz000651', StockName='格力电器', SellBuy='0', OrderPrice='47.800', DealAmount='100', OrderAmount='100', IfDealt='2', OrderTime='2017-11-21 17:30:10', mtime='2017-11-21 17:33:40')] 332 | 333 | { 334 | "data": [ 335 | { 336 | "og_id": "120350", # 委托ID 337 | "contest_id": "10000", # 比赛ID 338 | "sid": "5175517774", 339 | "StockCode": "sz000651", 340 | "StockName": "格力电器", 341 | "SellBuy": "0", # 0表示买入 342 | "OrderPrice": "47.800", 343 | "DealAmount": "100", 344 | "OrderAmount": "100", 345 | "IfDealt": "2", # 成交状态: 0: 未成交，2: 已撤销 346 | "OrderTime": "2017-11-21 17:30:10", # 委托创建时间 347 | "mtime": "2017-11-21 17:33:40" 348 | }, 349 | """ 350 | if isinstance(status, int): 351 | status = str(status) 352 | from_position = 0 353 | per_page = 10 354 | obj_stocks = [] 355 | while True: 356 | json_stocks = self._query_orders(from_position, per_page) 357 | for stock in json_stocks['data']: 358 | stock['_class_name'] = 'Order' 359 | if status is None: 360 | obj_stocks.append(json2obj(json.dumps(stock))) 361 | elif stock['IfDealt'] == status: 362 | obj_stocks.append(json2obj(json.dumps(stock))) 363 | if from_position + per_page >= int(json_stocks['count']): 364 | break 365 | from_position += per_page 366 | 367 | return obj_stocks 368 | 369 | def cancel_all_orders(self): 370 | """ 371 | 撤销所有未成交的委托 372 | :return: 373 | """ 374 | orders = self.get_today_orders(OrderStatus.undealt) 375 | for order in orders: 376 | self.cancel_order(order) 377 | 378 | def cancel_order(self, order): 379 | """ 380 | 撤销委托 381 | :param order: 382 | :return: 383 | """ 384 | url = "http://jiaoyi.sina.com.cn/api/jsonp_v2.php/jsonp_%s_%s/Order_Service.cancel" % ( 385 | get_unix_timestamp(), get_random_string()) 386 | r = self.session.get(url, params={ 387 | "sid": self.uid, 388 | "cid": 10000, 389 | "order_id": order.og_id 390 | }) 391 | res = jsonp2dict(r.text) 392 | if isinstance(res, bool) and res: 393 | logger.info("撤销委托成功。%s" % str(order)) 394 | else: 395 | logger.warning("撤销委托失败, 无效的委托号或重复撤销的委托: %s" % str(order)) 396 | 397 | def search_stocks(self, key, market="cn"): 398 | """ 399 | 搜索股票信息 400 | :param market: 股票市场: cn: 沪深, us: 美股, hk:港股 401 | :param key: 搜索关键字: 股票名称/代码/拼音 402 | :return: 403 | """ 404 | key = urllib.parse.quote(key) 405 | assert market in ["cn", "us", "hk"] 406 | type = "111" # cn 407 | if market == "us": 408 | type = "41" 409 | elif market == "hk": 410 | type = "31" 411 | url = "http://suggest3.sinajs.cn/suggest/type=%s&key=%s&name=suggestdata_%s" % ( 412 | type, key, get_unix_timestamp() 413 | ) 414 | r = self.session.get(url) 415 | return extract_stock_info(r.text) 416 | 417 | def get_stock_price(self, symbol): 418 | """ 419 | 获取股票当前价格 420 | :param symbol: 421 | :return: 422 | """ 423 | url = "http://hq.sinajs.cn/list=s_%s" % symbol 424 | r = self.session.get(url) 425 | m = re.search(r'"(.*)"', r.text) 426 | if m and m.groups()[0]: 427 | name, price, _, _, _, _ = m.groups()[0].split(',') 428 | logger.info("股票[%s](%s)当前价格为: %s" % (name, symbol, price)) 429 | return price 430 | else: 431 | logger.error("获取股票%s当前价格失败" % symbol) 432 | raise StockMatchError() 433 | 434 | # fixme: 该方法暂时只支持买入A股，不支持操作美股和港股 435 | @retry(wait_random_min=3000, wait_random_max=5000, retry_on_exception=retry_if_if_high_frequency) 436 | def buy(self, stock_code, amount=100, price=None): 437 | """ 438 | 买入股票, 该方法调用频率不能太快，调用频率不能高于3s/次 439 | :param stock_code: 股票代码 440 | :param price: 委托买入股票的价格，默认为股票当前价格 441 | :param amount: 买入股票数，必须为100的倍数 442 | :return: 443 | """ 444 | assert amount >= 100 and amount % 100 == 0 445 | stocks = self.search_stocks(stock_code, market='cn') 446 | if len(stocks) != 1: 447 | raise StockMatchError("无法确定股票代码%s对应的股票。\r\n%s" % (stock_code, stocks)) 448 | stock = stocks[0] 449 | if price is None: 450 | price = self.get_stock_price(stock['symbol']) 451 | 452 | url = "http://jiaoyi.sina.com.cn/api/jsonp_v2.php/jsonp_%s_%s/V2_CN_Order_Service.order" % ( 453 | get_unix_timestamp(), get_random_string()) 454 | 455 | r = self.session.get(url, params={ 456 | "sid": self.uid, 457 | "cid": 10000, # 该参数可能是比赛类型的参数，不同比赛时，该值可能不同 458 | "symbol": stock['symbol'], 459 | "price": price, 460 | "amount": amount, 461 | "type": "buy", 462 | "toweibo": 0, 463 | "enc": "utf8" 464 | }) 465 | logger.info("准备买入股票[%s](%s), 买入价格: %s, 买入数量: %s" % ( 466 | (stock['name'], stock['symbol'], price, amount) 467 | )) 468 | res = jsonp2dict(r.text) 469 | if isinstance(res, bool) and res: 470 | logger.info("下单成功") 471 | elif isinstance(res, dict): 472 | check_error(res) 473 | else: 474 | logger.error("未处理的返回情况: %s" % r.text) 475 | 476 | def _query_stock_hold(self, from_position=0, per_page=10): 477 | url = "http://jiaoyi.sina.com.cn/api/jsonp_v2.php/jsonp_%s_%s/V2_CN_Stockhold_Service.getStockhold" % ( 478 | get_unix_timestamp(), get_random_string()) 479 | r = self.session.get(url, params={ 480 | "sid": self.uid, 481 | "cid": 10000, 482 | "count": per_page, 483 | "from": from_position 484 | }) 485 | return jsonp2dict(r.text) 486 | 487 | def get_stock_hold(self): 488 | """ 489 | 获取当前持仓 490 | 491 | { 492 | "data": [ 493 | { 494 | "sg_id": "117989", 495 | "contest_id": "10000", 496 | "sid": "1768615155", 497 | "zs_price": null, 498 | "zy_price": null, 499 | "HoldPercent": 0.6, # 仓位 500 | "StockCode": "sz000001", 501 | "StockName": "平安银行", 502 | "StockAmount": "200", # 当前持股 503 | "AvailSell": "0", # 可用股数 504 | "TodayBuy": "200", 505 | "TodaySell": "0", 506 | "T4AvailSell": "0", 507 | "T3AvailSell": "0", 508 | "T2AvailSell": "0", 509 | "T1AvailSell": "0", 510 | "CurrentValue": null, 511 | "cost": "14.920", # 持仓成本 512 | "StartDate": "2017-11-22 10:24:36", 513 | "EndDate": "0000-00-00 00:00:00", 514 | "mtime": "0000-00-00 00:00:00", 515 | "CostFund": "2983.980", # 持仓花费金额 516 | "newcost": 14.99, # 最新价格 517 | "dealvalue": "2983.980", 518 | "newvalue": 2998, # 持股市值 519 | "profit": 14, # 浮动盈亏 520 | "profitRate": 0.47 # 盈亏比例 521 | } 522 | ], 523 | "count": "1", 524 | "status": "2" 525 | } 526 | """ 527 | from_position = 0 528 | per_page = 10 529 | obj_stocks = [] 530 | while True: 531 | json_stocks = self._query_stock_hold(from_position, per_page) 532 | for stock in json_stocks['data']: 533 | obj_stocks.append(json2obj(json.dumps(stock))) 534 | if from_position + per_page >= int(json_stocks['count']): 535 | break 536 | from_position += per_page 537 | 538 | return obj_stocks 539 | 540 | def sell(self, stock_code): 541 | """ 542 | 卖出股票 543 | :param stock_code: 544 | :return: 545 | """ 546 | pass 547 | 548 | 549 | if __name__ == "__main__": 550 | user = StockMatch(conf.SINA_CONFIG["username"], conf.SINA_CONFIG["password"]) 551 | # stock_code = '000001' 552 | # user.buy(stock_code) 553 | # pretty_print(user.get_stock_hold()) 554 | # print(len(user.get_today_orders())) 555 | # print(len(user.get_stock_hold())) 556 | for order in user.get_today_orders(status=OrderStatus.undealt): 557 | pretty_print_namedtuple(order) 558 | -------------------------------------------------------------------------------- /backtradercn/libs/wechat.py: -------------------------------------------------------------------------------- 1 | # -*- coding: utf-8 -*- 2 | from backtradercn.settings import settings as conf 3 | from backtradercn.libs.log import get_logger 4 | from werobot.client import Client 5 | 6 | 7 | logger = get_logger(__name__) 8 | 9 | 10 | class WeChatClient(Client): 11 | def send_all_text_message(self, content): 12 | ''' 13 | 群发文本消息。 14 | 15 | :param content: 消息正文 16 | :return: 返回的 JSON 数据包 17 | ''' 18 | return self.post( 19 | url='https://api.weixin.qq.com/cgi-bin/message/mass/sendall', 20 | data={ 21 | 'filter': { 22 | 'is_to_all': True, 23 | }, 24 | 'text': { 25 | 'content': content, 26 | }, 27 | 'msgtype': 'text' 28 | } 29 | ) 30 | 31 | 32 | if __name__ == '__main__': 33 | client = WeChatClient({ 34 | 'APP_ID': conf.WECHAT_APP_ID, 35 | 'APP_SECRET': conf.WECHAT_APP_SECRET, 36 | }) 37 | response = client.send_all_text_message('just test') 38 | logger.debug(response) 39 | -------------------------------------------------------------------------------- /backtradercn/libs/xq_client.py: -------------------------------------------------------------------------------- 1 | # -*- coding: utf-8 -*- 2 | import json 3 | import os 4 | from json import JSONDecodeError 5 | 6 | import re 7 | import requests 8 | 9 | from easytrader.log import log 10 | from easytrader.webtrader import NotLoginError, TradeError 11 | from easytrader.webtrader import WebTrader 12 | import easytrader.xqtrader 13 | 14 | 15 | class XueQiuClient(WebTrader): 16 | config_path = os.path.dirname(easytrader.xqtrader.__file__) + '/config/xq.json' 17 | 18 | def __init__(self, **kwargs): 19 | super(XueQiuClient, self).__init__() 20 | headers = { 21 | 'User-Agent': 'Mozilla/5.0 (Windows NT 6.1; WOW64; rv:32.0) Gecko/20100101 Firefox/32.0', 22 | 'Host': 'xueqiu.com', 23 | 'Pragma': 'no-cache', 24 | 'Connection': 'keep-alive', 25 | 'Accept': '*/*', 26 | 'Accept-Encoding': 'gzip,deflate,sdch', 27 | 'Cache-Control': 'no-cache', 28 | 'Referer': 'http://xueqiu.com/P/ZH003694', 29 | 'X-Requested-With': 'XMLHttpRequest', 30 | 'Accept-Language': 'zh-CN,zh;q=0.8' 31 | } 32 | self.session = requests.Session() 33 | self.session.headers.update(headers) 34 | self.account_config = None 35 | self.config.update({ 36 | "create_cubes_url": "https://xueqiu.com/cubes/create.json", 37 | "get_token_url": "https://xueqiu.com/service/csrf", 38 | "get_cubes_list": "https://xueqiu.com/v4/stock/portfolio/stocks.json", 39 | "get_cubes_detail": "https://xueqiu.com/cubes/quote.json", 40 | }) 41 | 42 | def autologin(self, **kwargs): 43 | """ 44 | 重写自动登录方法 45 | 避免重试导致的帐号封停 46 | :return: 47 | """ 48 | self.login() 49 | 50 | def login(self, throw=False): 51 | """ 52 | 登录 53 | :param throw: 54 | :return: 55 | """ 56 | login_status, result = self.post_login_data() 57 | if login_status is False and throw: 58 | raise NotLoginError(result) 59 | log.debug('login status: %s' % result) 60 | return login_status 61 | 62 | def _prepare_account(self, user='', password='', **kwargs): 63 | """ 64 | 转换参数到登录所需的字典格式 65 | :param user: 雪球邮箱(邮箱手机二选一) 66 | :param password: 雪球密码 67 | :param account: 雪球手机号(邮箱手机二选一) 68 | :param portfolio_market: 交易市场， 可选['cn', 'us', 'hk'] 默认 'cn' 69 | :return: 70 | """ 71 | if 'portfolio_market' not in kwargs: 72 | kwargs['portfolio_market'] = 'cn' 73 | if 'account' not in kwargs: 74 | kwargs['account'] = '' 75 | self.account_config = { 76 | 'username': user, 77 | 'account': kwargs['account'], 78 | 'password': password, 79 | 'portfolio_market': kwargs['portfolio_market'] 80 | } 81 | 82 | def post_login_data(self): 83 | login_post_data = { 84 | 'username': self.account_config.get('username', ''), 85 | 'areacode': '86', 86 | 'telephone': self.account_config['account'], 87 | 'remember_me': '0', 88 | 'password': self.account_config['password'] 89 | } 90 | login_response = self.session.post(self.config['login_api'], data=login_post_data) 91 | login_status = login_response.json() 92 | if 'error_description' in login_status: 93 | return False, login_status['error_description'] 94 | return True, "SUCCESS" 95 | 96 | def __search_stock_info(self, code): 97 | """ 98 | 通过雪球的接口获取股票详细信息 99 | :param code: 股票代码 000001 100 | 101 | :return: 查询到的股票 102 | {"code":"SZ000651","name":"格力电器","enName":null,"hasexist":null,"flag":1,"type":null,"current":45.46,"chg":0.6,"percent":"1.34","stock_id":1001306,"ind_id":100007,"ind_name":"家用电器","ind_color":"#82b952","textname":"格力电器(SZ000651)","segment_name":"家用电器","weight":30,"url":"/S/SZ000651","proactive":true,"price":"45.46"} 103 | ** flag : 未上市(0)、正常(1)、停牌(2)、涨跌停(3)、退市(4) 104 | """ 105 | data = { 106 | 'code': str(code), 107 | 'size': '300', 108 | 'key': '47bce5c74f', 109 | 'market': self.account_config['portfolio_market'], 110 | } 111 | r = self.session.get(self.config['search_stock_url'], params=data) 112 | stocks = json.loads(r.text) 113 | stocks = stocks['stocks'] 114 | stock = None 115 | if len(stocks) > 0: 116 | stock = stocks[0] 117 | return stock 118 | 119 | def __get_create_cube_token(self): 120 | """获取创建组合时需要的token信息 121 | :return: token 122 | """ 123 | response = self.session.get(self.config["get_token_url"], params={ 124 | "api": "/cubes/create.json" 125 | }) 126 | try: 127 | token_response = json.loads(response.text) 128 | except JSONDecodeError: 129 | raise TradeError("解析创建组合的token信息失败: %s" % response.text) 130 | if 'token' not in token_response: 131 | raise TradeError("获取创建组合的token信息失败: %s" % response.text) 132 | return token_response['token'] 133 | 134 | @staticmethod 135 | def get_cube_name(cube_prefix, stock_code): 136 | return "%s%s" % (cube_prefix, stock_code) 137 | 138 | def create_cube(self, stock_code, weight, cube_prefix="SC", description="", market='cn'): 139 | """创建组合, 并设置股票初始买入的百分比 140 | ** 组合名称默认格式为前缀 + 股票代码 141 | :param stock_code: str 股票代码 142 | :param weight: int 初始仓位的百分比， 0 - 100 之间的整数 143 | :param cube_prefix: 组合名字的前缀 144 | :param description: 组合描述信息 145 | :param market: 市场范围, cn: 沪深, us: 美股, hk: 港股 146 | :return: (是否创建成功, 组合代码, 组合名称) 147 | """ 148 | cube_name = self.get_cube_name(cube_prefix, stock_code) 149 | stock = self.__search_stock_info(stock_code) 150 | if stock is None: 151 | raise TradeError(u"没有查询要操作的股票信息") 152 | if stock['flag'] != 1: 153 | raise TradeError(u"未上市、停牌、涨跌停、退市的股票无法操作。") 154 | holdings = [ 155 | { 156 | "code": stock['code'], 157 | "name": stock['name'], 158 | "enName": stock['enName'], 159 | "hasexist": stock['hasexist'], 160 | "flag": stock['flag'], 161 | "type": stock['type'], 162 | "current": stock['current'], 163 | "chg": stock['chg'], 164 | "percent": str(stock['percent']), 165 | "stock_id": stock['stock_id'], 166 | "ind_id": stock['ind_id'], 167 | "ind_name": stock['ind_name'], 168 | "ind_color": stock['ind_color'], 169 | "textname": "%s(%s)" % (stock['name'], stock['code']), 170 | "segment_name": stock['ind_name'], 171 | "weight": weight, 172 | "url": "/S/" + stock['code'], 173 | "proactive": True, 174 | "price": str(stock['current']) 175 | } 176 | ] 177 | 178 | create_cube_data = { 179 | "name": cube_name, 180 | "cash": 100 - weight, 181 | "description": description, 182 | "market": market, 183 | "holdings": json.dumps(holdings), 184 | "session_token": self.__get_create_cube_token(), 185 | } 186 | try: 187 | cube_res = self.session.post(self.config['create_cubes_url'], data=create_cube_data) 188 | except Exception as e: 189 | log.warn('创建组合%s失败: %s ' % (cube_name, e)) 190 | return (False, None, None) 191 | else: 192 | log.debug('创建组合%s: 持仓比例%d' % (cube_name, weight)) 193 | cube_res_status = json.loads(cube_res.text) 194 | if 'error_description' in cube_res_status.keys() and cube_res.status_code != 200: 195 | log.error('创建组合错误: %s, error_no: %s, error_info: %s' % ( 196 | cube_res_status['error_description'], 197 | cube_res_status['error_code'], 198 | cube_res_status['error_description'], 199 | )) 200 | if cube_res_status['error_code'] == '20912': 201 | log.error("组合名称: %s 不符合要求, 请尝试换一个组合名称，组合名称只能是中文，英文，数字(测试时发现某些情况下可以包含下划线)" % cube_name) 202 | return (False, None, None) 203 | log.debug('创建组合成功 %s: 持仓比例%d, 创建信息: \n%s' % ( 204 | cube_name, weight, json.dumps(cube_res_status, ensure_ascii=False, indent=4))) 205 | return (True, cube_res_status['symbol'], cube_name) 206 | 207 | def get_cubes_list(self, type=4): 208 | """获取组合详情，默认获取自选组合 209 | :param type: 组合名字的前缀, 1: 全部组合。 4: 我的组合。 5: 只看沪深组合。 6: 只看美股。7: 只看港股 210 | :return: 组合列表 211 | """ 212 | response = self.session.get(self.config['get_cubes_list'], params={ 213 | "category": 1, 214 | "type": type 215 | }) 216 | try: 217 | cubes_response = json.loads(response.text) 218 | except JSONDecodeError: 219 | log.warning(response.text) 220 | raise TradeError("解析组合列表失败: %s" % response.text) 221 | if 'stocks' not in cubes_response: 222 | log.warning(cubes_response) 223 | raise TradeError("获取组合信息失败: %s" % response.text) 224 | cubes_code_list = [cube['code'] for cube in cubes_response['stocks']] 225 | 226 | response = self.session.get(self.config['get_cubes_detail'], params={ 227 | "code": ','.join(cubes_code_list), 228 | "return_hasexist": False, 229 | }) 230 | try: 231 | cubes_detail_response = json.loads(response.text) 232 | except JSONDecodeError: 233 | raise TradeError("解析组合详情失败: %s" % response.text) 234 | if 'stocks' not in cubes_response: 235 | raise TradeError("获取组合信息失败: %s" % response.text) 236 | return cubes_detail_response 237 | 238 | def get_portfolio_info(self, portfolio_code): 239 | """ 240 | 获取组合信息 241 | :return: 字典 242 | """ 243 | url = self.config['portfolio_url'] + portfolio_code 244 | html = self.__get_html(url) 245 | match_info = re.search(r'(?<=SNB.cubeInfo = ).*(?=;\n)', html) 246 | if match_info is None: 247 | raise Exception('cant get portfolio info, portfolio html : {}'.format(html)) 248 | try: 249 | portfolio_info = json.loads(match_info.group()) 250 | except Exception as e: 251 | raise Exception('get portfolio info error: {}'.format(e)) 252 | return portfolio_info 253 | 254 | def __get_html(self, url): 255 | return self.session.get(url).text 256 | 257 | if __name__ == '__main__': 258 | from backtradercn.settings import settings as conf 259 | 260 | client = XueQiuClient() 261 | client.prepare(account=conf.XQ_ACCOUNT, password=conf.XQ_PASSWORD, portfolio_market=conf.XQ_PORTFOLIO_MARKET) 262 | # 创建股票代码为000651的组合 263 | response = client.create_cube(stock_code="000651", weight=5, cube_prefix=conf.XQ_CUBES_PREFIX) 264 | print(response) 265 | # 获取自定义组合信息 266 | cubes_list = client.get_cubes_list() 267 | print(cubes_list) 268 | -------------------------------------------------------------------------------- /backtradercn/libs/xueqiu_trader.py: -------------------------------------------------------------------------------- 1 | # -*- coding: utf-8 -*- 2 | import easytrader 3 | from easytrader import log 4 | from backtradercn.settings import settings as conf 5 | from backtradercn.libs.xq_client import XueQiuClient 6 | from easytrader.exceptions import TradeError 7 | 8 | 9 | class XueQiuTrader(object): 10 | """ 11 | 雪球组合操作类，适用于每个组合只能包含一直股票的买入和卖出操作 12 | """ 13 | 14 | def __init__(self, xq_account, xq_password, xq_portfolio_market, xq_cube_prefix): 15 | self.xq_account = xq_account 16 | self.xq_password = xq_password 17 | self.xq_portfolio_market = xq_portfolio_market 18 | self.cube_prefix = xq_cube_prefix 19 | 20 | @property 21 | def client(self): 22 | """获取操作雪球组合的客户端 23 | :return: 24 | """ 25 | if not hasattr(self, '_client'): 26 | self._client = XueQiuClient() 27 | self._client.prepare( 28 | account=self.xq_account, 29 | password=self.xq_password, 30 | portfolio_market=self.xq_portfolio_market 31 | ) 32 | return self._client 33 | 34 | def get_current_weight(self, symbol): 35 | """获取组合股票当前百分比 36 | :param symbol: 组合编码 37 | :return: 38 | """ 39 | portfolio_info = self.client.get_portfolio_info(symbol) 40 | position = portfolio_info['view_rebalancing'] # 仓位结构 41 | stocks = position['holdings'] # 持仓股票 42 | # 当前股票持仓为0% 43 | if len(stocks) == 0: 44 | return 0 45 | if len(stocks) > 1: 46 | raise TradeError("当前组合%s包含%d支股票，不适合当前的策略" % (symbol, len(stocks))) 47 | return stocks[0]['weight'] 48 | 49 | def adjust_weight(self, symbol, stock_code, weight): 50 | """调整组合中股票的百分比 51 | :param symbol: 组合编码 52 | :param stock_code: 股票编码 53 | :param weight: 股票百分比 54 | :return: 55 | """ 56 | user = easytrader.use('xq') 57 | user.prepare( 58 | account=self.xq_account, 59 | password=self.xq_password, 60 | portfolio_market=self.xq_portfolio_market, 61 | portfolio_code=symbol 62 | ) 63 | user.adjust_weight(stock_code, weight) 64 | 65 | def buy(self, stock_code, weight=conf.XQ_DEFAULT_BUY_WEIGHT): 66 | """买入股票，默认一次买入指定的百分比数 67 | :param stock_code: 股票编码 68 | :param weight: 股票百分比 69 | :return: 70 | """ 71 | symbol = self.is_cube_exist(stock_code) 72 | if symbol: 73 | current_weight = self.get_current_weight(symbol) 74 | if current_weight == 100: 75 | log.info("已经满仓，无法再买入股票%s" % stock_code) 76 | return 77 | new_weight = current_weight + weight 78 | if new_weight > 100: 79 | log.info("买入后, 股票%s的百分数超出100, 按照100买入" % stock_code) 80 | new_weight = 100 81 | self.adjust_weight(symbol, stock_code, new_weight) 82 | log.info("组合%s, 股票%s持仓由%s调整到%s" % (symbol, stock_code, current_weight, new_weight)) 83 | else: 84 | created_success, symbol, cube_name = self.client.create_cube(stock_code, weight, 85 | cube_prefix=self.cube_prefix) 86 | if created_success: 87 | log.info("建仓成功。股票: %s, 组合名字: %s。组合代码: %s。" % (stock_code, cube_name, symbol)) 88 | else: 89 | log.info("建仓失败。股票: %s" % stock_code) 90 | 91 | def is_cube_exist(self, stock_code): 92 | """检查满足组合前缀和股票代码的组合是否存在 93 | :param stock_code: 股票编码 94 | """ 95 | cube_name = XueQiuClient.get_cube_name(self.cube_prefix, stock_code) 96 | cubes_list = self.client.get_cubes_list() 97 | for symbol, detail in cubes_list.items(): 98 | if detail['name'] == cube_name: 99 | return symbol 100 | 101 | def sell(self, stock_code): 102 | """清仓 103 | :param stock_code: 股票编码 104 | """ 105 | symbol = self.is_cube_exist(stock_code) 106 | if not symbol: 107 | log.info("当前没有包含股票%s的组合, 不需要卖出" % stock_code) 108 | return 109 | current_weight = self.get_current_weight(symbol) 110 | if current_weight == 0: 111 | log.info("组合%s, 股票%s已经处于空仓状态，不需要卖出" % (symbol, stock_code)) 112 | return 113 | self.adjust_weight(symbol, stock_code, 0) 114 | log.info("组合%s, 股票%s清仓" % (symbol, stock_code)) 115 | 116 | 117 | if __name__ == '__main__': 118 | trader = XueQiuTrader( 119 | xq_account=conf.XQ_ACCOUNT, 120 | xq_password=conf.XQ_PASSWORD, 121 | xq_portfolio_market=conf.XQ_PORTFOLIO_MARKET, 122 | xq_cube_prefix=conf.XQ_CUBES_PREFIX, 123 | ) 124 | trader.buy('601088') 125 | trader.sell('601088') 126 | -------------------------------------------------------------------------------- /backtradercn/settings/__init__.py: -------------------------------------------------------------------------------- 1 | # -*- coding: utf-8 -*- 2 | import os 3 | import logging 4 | 5 | from backtradercn.settings import dev 6 | from backtradercn.settings import test 7 | from backtradercn.settings import prod 8 | 9 | 10 | __all_ = ['settings'] 11 | 12 | 13 | settings = None 14 | 15 | if os.environ.get('DEPLOY_ENV') == 'dev': 16 | settings = dev 17 | elif os.environ.get('DEPLOY_ENV') == 'test': 18 | settings = test 19 | elif os.environ.get('DEPLOY_ENV') == 'prod': 20 | settings = prod 21 | else: 22 | # raise Exception('You must set the environment variable: `DEPLOY_ENV`' 23 | # 'to one of ["dev", "test", "prod"]') 24 | 25 | log_format = '%(name)s:%(lineno)d %(levelname)s: %(message)s' 26 | logging.basicConfig(format=log_format) 27 | logger = logging.getLogger(__name__) 28 | logger.warning( 29 | 'Do not set the environment variable: `DEPLOY_ENV`, ' 30 | 'using the default value: `dev`.' 31 | ) 32 | settings = dev 33 | -------------------------------------------------------------------------------- /backtradercn/settings/common.py: -------------------------------------------------------------------------------- 1 | # -*- coding: utf-8 -*- 2 | import os 3 | 4 | PROJECT_NAME = 'backtradercn' 5 | 6 | # log setting 7 | LOG_DIR = '/tmp/' 8 | LOG_LEVEL = os.getenv('LOG_LEVEL', 'DEBUG') 9 | 10 | # database setting 11 | MONGO_HOST = 'localhost' 12 | CN_STOCK_LIBNAME = 'ts_his_lib' 13 | DAILY_STOCK_ALERT_LIBNAME = 'daily_stock_alert' 14 | STRATEGY_PARAMS_LIBNAME = 'strategy_params' 15 | STRATEGY_PARAMS_MA_SYMBOL = 'ma_trend' 16 | 17 | # wechat 18 | WECHAT_APP_ID = 'wx5e8e3c4779887f32' 19 | WECHAT_APP_SECRET = 'd4624c36b6795d1d99dcf0547af5443d' 20 | 21 | # xueqiu account 22 | XQ_ACCOUNT = os.getenv('XQ_ACCOUNT', '18628391725') 23 | XQ_PASSWORD = os.getenv('XQ_PASSWORD', 'gupiao999') 24 | XQ_PORTFOLIO_MARKET = os.getenv('XQ_PORTFOLIO_MARKET', 'cn') 25 | # 默认的组合前缀，组合名称格式为 组合前缀 + 股票代码 26 | # 组合名字 27 | XQ_CUBES_PREFIX = 'SC' 28 | # 默认创建组合时股票的初始百分数 29 | XQ_DEFAULT_BUY_WEIGHT = 5 30 | 31 | SINA_CONFIG = { 32 | "username": os.getenv('WEIBO_USERNAME', '18628391725'), 33 | "password": os.getenv('WEIBO_PASSWORD', 'Gupiao888'), 34 | "request_headers": { 35 | 'User-Agent': 'Mozilla/5.0 (Macintosh; Intel Mac OS X 10_13_0) AppleWebKit/537.36 (KHTML, like Gecko) Chrome/62.0.3202.94 Safari/537.36', 36 | 'Pragma': 'no-cache', 37 | 'Connection': 'keep-alive', 38 | 'Accept': 'text/html,application/xhtml+xml,application/xml;q=0.9,image/webp,image/apng,*/*;q=0.8', 39 | 'Accept-Encoding': 'gzip, deflate', 40 | 'Cache-Control': 'no-cache', 41 | 'Referer': 'http://jiaoyi.sina.com.cn/jy/index.php', 42 | 'Accept-Language': 'zh-CN,zh;q=0.8' 43 | }, 44 | "login_url": "https://login.sina.com.cn/sso/login.php", 45 | } 46 | -------------------------------------------------------------------------------- /backtradercn/settings/dev.py: -------------------------------------------------------------------------------- 1 | # pylint: disable=wildcard-import, unused-wildcard-import 2 | # -*- coding: utf-8 -*- 3 | from .common import * 4 | -------------------------------------------------------------------------------- /backtradercn/settings/prod.py: -------------------------------------------------------------------------------- 1 | # pylint: disable=wildcard-import, unused-wildcard-import 2 | # -*- coding: utf-8 -*- 3 | from .common import * 4 | -------------------------------------------------------------------------------- /backtradercn/settings/test.py: -------------------------------------------------------------------------------- 1 | # pylint: disable=wildcard-import, unused-wildcard-import 2 | # -*- coding: utf-8 -*- 3 | from .common import * 4 | -------------------------------------------------------------------------------- /backtradercn/strategies/__init__.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/pandalibin/backtrader-cn/1dd18d00d0e8cfbb9d34cc36b1bab7fc70dd0477/backtradercn/strategies/__init__.py -------------------------------------------------------------------------------- /backtradercn/strategies/ma.py: -------------------------------------------------------------------------------- 1 | # -*- coding: utf-8 -*- 2 | import datetime as dt 3 | import math 4 | 5 | import backtrader as bt 6 | 7 | import backtradercn.analyzers.drawdown as bad 8 | import backtradercn.datas.tushare as bdt 9 | import backtradercn.strategies.utils as bsu 10 | from backtradercn.settings import settings as conf 11 | from backtradercn.libs.log import get_logger 12 | from backtradercn.libs.models import get_or_create_library 13 | 14 | logger = get_logger(__name__) 15 | 16 | 17 | class MATrendStrategy(bt.Strategy): 18 | """ 19 | If short ma > long ma, then go to long market, else, go to short market. 20 | Attributes: 21 | sma_s(DataFrame): short term moving average. 22 | sma_l(DataFrame): long term moving average. 23 | """ 24 | 25 | name = conf.STRATEGY_PARAMS_MA_SYMBOL 26 | 27 | params = dict( 28 | ma_periods=dict( 29 | ma_period_s=15, 30 | ma_period_l=60, 31 | stock_id='0' 32 | ) 33 | ) 34 | 35 | def __init__(self): 36 | super().__init__() 37 | 38 | self.sma_s = bt.indicators.MovingAverageSimple( 39 | self.datas[0], period=self.params.ma_periods.get('ma_period_s') 40 | ) 41 | self.sma_l = bt.indicators.MovingAverageSimple( 42 | self.datas[0], period=self.params.ma_periods.get('ma_period_l') 43 | ) 44 | 45 | self.order = None 46 | 47 | def start(self): 48 | logger.debug('>Starting strategy, ma_period_s is %d, ma_period_l is %d' % ( 49 | self.params.ma_periods.get('ma_period_s'), 50 | self.params.ma_periods.get('ma_period_l') 51 | )) 52 | 53 | def next(self): 54 | 55 | if self.order: 56 | return 57 | 58 | if not self.position: 59 | if self.sma_s[0] > self.sma_l[0]: 60 | # Using the current close price to calculate the size to buy, but use 61 | # the next open price to executed, so it is possible that the order 62 | # can not be executed due to margin, so set the target to 0.8 instead 63 | # of 1.0 to reduce the odds of not being executed 64 | target_long = 0.8 65 | self.order = self.order_target_percent(target=target_long, valid=bt.Order.DAY) 66 | if self.datas[0].datetime.date() == dt.datetime.now().date() - dt.timedelta(days=1): 67 | stock_id = self.params.ma_periods.get('stock_id') 68 | action = 'buy' 69 | bsu.Utils.log( 70 | self.datas[0].datetime.date(), 71 | f'Market Signal: stock {stock_id}, action: {action}, ' 72 | f'adjust position to {target_long:.2f}') 73 | symbol = dt.datetime.now().strftime('%Y-%m-%d') 74 | bsu.Utils.write_daily_alert(symbol, stock_id, action) 75 | else: 76 | if self.sma_s[0] <= self.sma_l[0]: 77 | target_short = 0.0 78 | self.order = self.order_target_percent(target=target_short, valid=bt.Order.DAY) 79 | if self.datas[0].datetime.date() == dt.datetime.now().date() - dt.timedelta(days=1): 80 | stock_id = self.params.ma_periods.get('stock_id') 81 | action = 'sell' 82 | bsu.Utils.log( 83 | self.datas[0].datetime.date(), 84 | f'Market Signal: stock {stock_id}, action: {action}, ' 85 | f'adjust position to {target_short:.2f}') 86 | symbol = dt.datetime.now().strftime('%Y-%m-%d') 87 | bsu.Utils.write_daily_alert(symbol, stock_id, action) 88 | 89 | def notify_order(self, order): 90 | if order.status in [order.Completed]: 91 | if order.isbuy(): 92 | bsu.Utils.log(self.datas[0].datetime.date(), 93 | 'Stock %s buy Executed, portfolio value is %.2f' % 94 | (self.params.ma_periods.get('stock_id'), 95 | self.broker.get_value())) 96 | else: 97 | bsu.Utils.log(self.datas[0].datetime.date(), 98 | 'Stock %s sell Executed, portfolio value is %.2f' % 99 | (self.params.ma_periods.get('stock_id'), 100 | self.broker.get_value())) 101 | 102 | elif order.status in [order.Canceled, order.Margin, order.Rejected]: 103 | if order.isbuy(): 104 | bsu.Utils.log(self.datas[0].datetime.date(), 105 | 'Stock %s buy order Canceled/Margin/Rejected, order_status is %d' % 106 | (self.params.ma_periods.get('stock_id'), 107 | order.status)) 108 | else: 109 | bsu.Utils.log(self.datas[0].datetime.date(), 110 | 'Stock %s sell order Canceled/Margin/Rejected, order_status is %d' % 111 | (self.params.ma_periods.get('stock_id'), 112 | order.status)) 113 | 114 | self.order = None 115 | 116 | @classmethod 117 | def get_data(cls, coll_name): 118 | """ 119 | Get the time serials used by strategy. 120 | :param coll_name: stock id (string). 121 | :return: time serials(DataFrame). 122 | """ 123 | ts_his_data = bdt.TsHisData(coll_name) 124 | 125 | return ts_his_data.get_data() 126 | 127 | @classmethod 128 | def get_params_list(cls, training_data, stock_id): 129 | """ 130 | Get the params list for finding the best strategy. 131 | :param training_data(DateFrame): data for training. 132 | :param stock_id(integer): stock on which strategy works. 133 | :return: list(dict) 134 | """ 135 | params_list = [] 136 | 137 | data_len = len(training_data) 138 | ma_l_len = math.floor(data_len * 0.2) 139 | # data_len = 10 140 | 141 | # ma_s_len is [1, data_len * 0.1) 142 | ma_s_len = math.floor(data_len * 0.1) 143 | 144 | for i in range(1, int(ma_s_len)): 145 | for j in range(i + 1, int(ma_l_len), 5): 146 | params = dict( 147 | ma_period_s=i, 148 | ma_period_l=j, 149 | stock_id=stock_id 150 | ) 151 | params_list.append(params) 152 | 153 | return params_list 154 | 155 | @classmethod 156 | def train_strategy(cls, training_data, stock_id): 157 | """ 158 | Find the optimized parameter of the stategy by using training data. 159 | :param training_data(DataFrame): data used to train the strategy. 160 | :param stock_id(integer): stock on which the strategy works. 161 | :return: params(dict like {ma_periods: dict{ma_period_s: 1, ma_period_l: 2, stock_id: '0'}} 162 | """ 163 | # get the params list 164 | params_list = cls.get_params_list(training_data, stock_id) 165 | 166 | al_results = [] 167 | 168 | cerebro = bt.Cerebro() 169 | data = bt.feeds.PandasData(dataname=training_data) 170 | 171 | cerebro.adddata(data) 172 | cerebro.optstrategy(cls, ma_periods=params_list) 173 | cerebro.addanalyzer(bt.analyzers.TimeReturn, _name='al_return', 174 | timeframe=bt.analyzers.TimeFrame.NoTimeFrame) 175 | cerebro.addanalyzer(bt.analyzers.TimeDrawDown, _name='al_max_drawdown') 176 | 177 | cerebro.broker.setcash(bsu.Utils.DEFAULT_CASH) 178 | 179 | logger.debug(f'Starting train the strategy for stock {stock_id}...') 180 | 181 | results = cerebro.run() 182 | 183 | for result in results: 184 | params = result[0].params 185 | analyzers = result[0].analyzers 186 | al_return_rate = analyzers.al_return.get_analysis() 187 | total_return_rate = 0.0 188 | for k, v in al_return_rate.items(): 189 | total_return_rate = v 190 | al_result = dict( 191 | params=params, 192 | total_return_rate=total_return_rate, 193 | max_drawdown=analyzers.al_max_drawdown.get_analysis().get('maxdrawdown'), 194 | max_drawdown_period=analyzers.al_max_drawdown.get_analysis().get('maxdrawdownperiod') 195 | ) 196 | al_results.append(al_result) 197 | 198 | # Get the best params 199 | best_al_result = bsu.Utils.get_best_params(al_results) 200 | 201 | params = best_al_result.get('params') 202 | ma_periods = params.ma_periods 203 | 204 | logger.debug( 205 | 'Stock %s best parma is ma_period_s: %d, ma_period_l: %d' % 206 | ( 207 | ma_periods.get('stock_id'), 208 | ma_periods.get('ma_period_s'), 209 | ma_periods.get('ma_period_l') 210 | )) 211 | 212 | return params 213 | 214 | @classmethod 215 | def run_training(cls, stock_id): 216 | # get the data 217 | data = cls.get_data(stock_id) 218 | 219 | # train the strategy for this stock_id to get the params 220 | params = cls.train_strategy(data, stock_id) 221 | 222 | return params 223 | 224 | @classmethod 225 | def run_back_testing(cls, stock_id): 226 | """ 227 | Run the back testing, return the analysis data. 228 | :param stock_id(string) 229 | :return(dict): analysis data. 230 | """ 231 | # get the data 232 | data = cls.get_data(stock_id) 233 | length = len(data) 234 | # get the params 235 | best_params = cls.get_params(stock_id) 236 | 237 | cerebro = bt.Cerebro() 238 | data = bt.feeds.PandasData(dataname=data) 239 | 240 | cerebro.adddata(data) 241 | ma_periods = best_params.ma_periods 242 | cerebro.addstrategy(cls, ma_periods=dict(ma_period_s=ma_periods.get('ma_period_s'), 243 | ma_period_l=ma_periods.get('ma_period_l'), 244 | stock_id=ma_periods.get('stock_id'))) 245 | cerebro.addanalyzer(bt.analyzers.TimeReturn, _name='al_return', 246 | timeframe=bt.analyzers.TimeFrame.NoTimeFrame) 247 | 248 | cerebro.addanalyzer(bad.TimeDrawDown, _name='al_max_drawdown') 249 | 250 | cerebro.broker.set_cash(bsu.Utils.DEFAULT_CASH) 251 | 252 | logger.debug( 253 | 'Starting back testing, stock is %s, params is ma_period_s: %d, ma_period_l: %d...' % 254 | ( 255 | ma_periods.get('stock_id'), 256 | ma_periods.get('ma_period_s'), 257 | ma_periods.get('ma_period_l') 258 | )) 259 | 260 | strats = cerebro.run() 261 | strat = strats[0] 262 | 263 | for k, v in strat.analyzers.al_return.get_analysis().items(): 264 | total_return_rate = v 265 | 266 | al_result = dict( 267 | stock_id=ma_periods.get('stock_id'), 268 | trading_days=length, 269 | total_return_rate=total_return_rate, 270 | max_drawdown=strat.analyzers.al_max_drawdown.get_analysis().get('maxdrawdown'), 271 | max_drawdown_period=strat.analyzers.al_max_drawdown.get_analysis().get('maxdrawdownperiod'), 272 | drawdown_points=strat.analyzers.al_max_drawdown.get_analysis().get('drawdownpoints') 273 | ) 274 | 275 | # cerebro.plot() 276 | 277 | return al_result 278 | 279 | @classmethod 280 | def get_params(cls, stock_id): 281 | """ 282 | Get the params of the stock_id for this strategy. 283 | :param stockid: 284 | :return: dict(like dict(ma_periods=dict(ma_period_s=0, ma_period_l=0, stock_id='0'))) 285 | """ 286 | lib = get_or_create_library(conf.STRATEGY_PARAMS_LIBNAME) 287 | symbol = cls.name 288 | 289 | params_list = lib.read(symbol).data 290 | params = params_list.loc[stock_id, 'params'] 291 | 292 | return params 293 | 294 | @classmethod 295 | def is_stock_in_symbol(cls, stock_id, symbol, lib): 296 | params_list = lib.read(symbol).data 297 | 298 | if stock_id in params_list.index: 299 | return True 300 | else: 301 | return False 302 | -------------------------------------------------------------------------------- /backtradercn/strategies/utils.py: -------------------------------------------------------------------------------- 1 | # -*- coding: utf-8 -*- 2 | import math 3 | 4 | import pandas as pd 5 | 6 | from backtradercn.settings import settings as conf 7 | from backtradercn.libs.log import get_logger 8 | from backtradercn.libs.models import get_or_create_library 9 | 10 | logger = get_logger(__name__) 11 | 12 | 13 | class Utils(object): 14 | 15 | DEFAULT_CASH = 10000.0 16 | 17 | @classmethod 18 | def split_data(cls, data, percent=0.3): 19 | """ 20 | Split the data into training data and test data. 21 | :param data(DataFrame): data to be split. 22 | :param percent(float): percent of data used as training data. 23 | :return: training data(DataFrame) and testing data(DataFrame) 24 | """ 25 | 26 | rows = len(data) 27 | train_rows = math.floor(rows * percent) 28 | test_rows = rows - train_rows 29 | 30 | return data.iloc[:train_rows], data.iloc[-test_rows:] 31 | 32 | @classmethod 33 | def log(cls, dt, txt): 34 | """ 35 | Logging function for strategy, level is info. 36 | :param dt(datetime): datetime for bar. 37 | :param txt(string): txt to be logged. 38 | :return: None 39 | """ 40 | logger.debug('%s, %s' % (dt.isoformat(), txt)) 41 | 42 | @classmethod 43 | def get_best_params(cls, al_results): 44 | """ 45 | Get the best params, current algorithm is the largest total return rate. 46 | :param al_results(list): all the optional params and corresponding analysis data. 47 | :return: best params and corresponding analysis data(dict) 48 | """ 49 | al_results_df = pd.DataFrame.from_dict(al_results) 50 | al_results_df = al_results_df.sort_values('total_return_rate', ascending=False) 51 | 52 | al_result_dict = al_results_df.iloc[0].to_dict() 53 | 54 | return al_result_dict 55 | 56 | @classmethod 57 | def write_daily_alert(cls, symbol, stock_id, action): 58 | """ 59 | write daily stock alert to MongoDB. 60 | :param symbol: Arctic symbol 61 | :param data: dict, like: {'stock': '000651', 'action': 'buy/sell'} 62 | :return: None 63 | """ 64 | 65 | lib = get_or_create_library(conf.DAILY_STOCK_ALERT_LIBNAME) 66 | 67 | data = { 68 | 'stock': stock_id, 69 | 'action': action 70 | } 71 | df = pd.DataFrame([data], columns=data.keys()) 72 | if symbol in lib.list_symbols(): 73 | lib.append(symbol, df) 74 | else: 75 | lib.write(symbol, df) 76 | -------------------------------------------------------------------------------- /backtradercn/tasks.py: -------------------------------------------------------------------------------- 1 | # -*- coding: utf-8 -*- 2 | 3 | 4 | class Task(object): 5 | """ 6 | Task for each stock's back testing. 7 | Attributes: 8 | Strategy(Strategy): class of strategy used for back testing. 9 | stock_id(string): id of stock to be back tested. 10 | """ 11 | 12 | def __init__(self, Strategy, stock_id): 13 | self._Strategy = Strategy 14 | self._stock_id = stock_id 15 | 16 | def task(self): 17 | """ 18 | Task for each stock's back testing. 19 | 1. Execute the back testing. 20 | 2. Get the analysis data of the back testing(average annual return rate, 21 | max draw down, draw down length, average annual draw down). 22 | :return: analysis of this back testing(dict). 23 | """ 24 | # Get the data 25 | # data = self._Strategy.get_data(self._stock_id) 26 | 27 | # Split the data 28 | # training_data, testing_data = bsu.Utils.split_data(data) 29 | 30 | # Find the optimized parameter by using training data 31 | # best_param = self._Strategy.train_strategy(training_data, self._stock_id) 32 | 33 | # best_param = dict( 34 | # ma_periods=dict( 35 | # ma_period_s=10, 36 | # ma_period_l=20, 37 | # stock_id=self._stock_id 38 | # 39 | # ) 40 | # ) 41 | 42 | # Run back testing, get the analysis data 43 | # result = self._Strategy.run_back_testing(data, best_param) 44 | 45 | result = self._Strategy.run_back_testing(self._stock_id) 46 | 47 | return result 48 | 49 | def train(self): 50 | return self._Strategy.run_training(self._stock_id) 51 | -------------------------------------------------------------------------------- /daily_alert.py: -------------------------------------------------------------------------------- 1 | import datetime as dt 2 | import json 3 | 4 | from backtradercn.libs.log import get_logger 5 | from backtradercn.libs.wechat import WeChatClient 6 | from backtradercn.settings import settings as conf 7 | from backtradercn.libs.xueqiu_trader import XueQiuTrader 8 | from backtradercn.libs.models import get_library 9 | 10 | logger = get_logger(__name__) 11 | 12 | 13 | def get_market_signal_by_date(date): 14 | msg = { 15 | 'buy': [], 16 | 'sell': [], 17 | } 18 | 19 | lib = get_library(conf.DAILY_STOCK_ALERT_LIBNAME) 20 | if lib: 21 | if date in lib.list_symbols(): 22 | data = lib.read(date).data 23 | data = data.to_dict('records') 24 | for item in data: 25 | if item['action'] == 'buy': 26 | msg['buy'].append(item['stock']) 27 | elif item['action'] == 'sell': 28 | msg['sell'].append(item['stock']) 29 | 30 | return msg 31 | 32 | 33 | def send_daily_alert(): 34 | date = dt.datetime.now().strftime('%Y-%m-%d') 35 | msg = get_market_signal_by_date(date) 36 | 37 | # send notification via wechat 38 | wx_client = WeChatClient({ 39 | 'APP_ID': conf.WECHAT_APP_ID, 40 | 'APP_SECRET': conf.WECHAT_APP_SECRET, 41 | }) 42 | 43 | try: 44 | response = wx_client.send_all_text_message( 45 | json.dumps(msg, ensure_ascii=False)) 46 | logger.debug(response) 47 | except Exception as e: 48 | logger.error(e, exc_info=True) 49 | 50 | 51 | def update_xueqiu_cubes(): 52 | date = dt.datetime.now().strftime('%Y-%m-%d') 53 | msg = get_market_signal_by_date(date) 54 | trader = XueQiuTrader( 55 | xq_account=conf.XQ_ACCOUNT, 56 | xq_password=conf.XQ_PASSWORD, 57 | xq_portfolio_market=conf.XQ_PORTFOLIO_MARKET, 58 | xq_cube_prefix=conf.XQ_CUBES_PREFIX 59 | ) 60 | 61 | for stock_code in msg['buy']: 62 | trader.buy(stock_code) 63 | 64 | for stock_code in msg['sell']: 65 | trader.sell(stock_code) 66 | 67 | 68 | if __name__ == '__main__': 69 | send_daily_alert() 70 | -------------------------------------------------------------------------------- /data_main.py: -------------------------------------------------------------------------------- 1 | # -*- coding: utf-8 -*- 2 | import gevent.pool 3 | import gevent.monkey 4 | import tushare as ts 5 | import backtradercn.datas.tushare as bdt 6 | from backtradercn.libs.log import get_logger 7 | from backtradercn.libs import models 8 | from backtradercn.settings import settings as conf 9 | 10 | 11 | gevent.monkey.patch_all() 12 | logger = get_logger(__name__) 13 | 14 | 15 | def download_delta_data(stocks, pool_size=40): 16 | """ 17 | Download delta data for all stocks collections of all libraries. 18 | :param stocks: stock code list. 19 | :param pool_size: the pool size of gevent.pool.Pool. 20 | :return: None 21 | """ 22 | 23 | pool = gevent.pool.Pool(pool_size) 24 | for i in range(len(stocks) // pool_size + 1): 25 | start = i * pool_size 26 | end = (i + 1) * pool_size 27 | lst = stocks[start:end] 28 | logger.debug(f'download delta data for stock list: {lst}') 29 | for stock in lst: 30 | pool.spawn(bdt.TsHisData.download_one_delta_data, stock) 31 | pool.join(timeout=30) 32 | 33 | 34 | if __name__ == '__main__': 35 | # make sure the library exists 36 | models.get_or_create_library(conf.CN_STOCK_LIBNAME) 37 | 38 | # download_delta_data(['000651', '000001']) 39 | 40 | hs300s = ts.get_hs300s() 41 | stock_pools = hs300s['code'].tolist() if 'code' in hs300s else [] 42 | if not stock_pools: 43 | logger.warning('can not ts.geths300s() return empty.') 44 | stock_pools = models.get_cn_stocks() 45 | download_delta_data(stock_pools) 46 | -------------------------------------------------------------------------------- /dev-requirements.txt: -------------------------------------------------------------------------------- 1 | coverage 2 | codecov 3 | pytest 4 | pylint 5 | git-pylint-commit-hook 6 | sphinx 7 | sphinx_rtd_theme 8 | -------------------------------------------------------------------------------- /docs/Makefile: -------------------------------------------------------------------------------- 1 | # Minimal makefile for Sphinx documentation 2 | # 3 | 4 | # You can set these variables from the command line. 5 | SPHINXOPTS = 6 | SPHINXBUILD = sphinx-build 7 | SPHINXPROJ = backtrader-cn 8 | SOURCEDIR = . 9 | BUILDDIR = _build 10 | 11 | # Put it first so that "make" without argument is like "make help". 12 | help: 13 | @$(SPHINXBUILD) -M help "$(SOURCEDIR)" "$(BUILDDIR)" $(SPHINXOPTS) $(O) 14 | 15 | .PHONY: help Makefile 16 | 17 | # Catch-all target: route all unknown targets to Sphinx using the new 18 | # "make mode" option. $(O) is meant as a shortcut for $(SPHINXOPTS). 19 | %: Makefile 20 | @$(SPHINXBUILD) -M $@ "$(SOURCEDIR)" "$(BUILDDIR)" $(SPHINXOPTS) $(O) -------------------------------------------------------------------------------- /docs/conf.py: -------------------------------------------------------------------------------- 1 | #!/usr/bin/env python3 2 | # -*- coding: utf-8 -*- 3 | # 4 | # backtrader-cn documentation build configuration file, created by 5 | # sphinx-quickstart on Sat Oct 7 20:20:47 2017. 6 | # 7 | # This file is execfile()d with the current directory set to its 8 | # containing dir. 9 | # 10 | # Note that not all possible configuration values are present in this 11 | # autogenerated file. 12 | # 13 | # All configuration values have a default; values that are commented out 14 | # serve to show the default. 15 | 16 | # If extensions (or modules to document with autodoc) are in another directory, 17 | # add these directories to sys.path here. If the directory is relative to the 18 | # documentation root, use os.path.abspath to make it absolute, like shown here. 19 | # 20 | # import os 21 | # import sys 22 | # sys.path.insert(0, os.path.abspath('.')) 23 | # from recommonmark.parser import CommonMarkParser 24 | 25 | # source_parsers = { 26 | # '.md': CommonMarkParser, 27 | # } 28 | 29 | # -- General configuration ------------------------------------------------ 30 | 31 | # If your documentation needs a minimal Sphinx version, state it here. 32 | # 33 | # needs_sphinx = '1.0' 34 | 35 | # Add any Sphinx extension module names here, as strings. They can be 36 | # extensions coming with Sphinx (named 'sphinx.ext.*') or your custom 37 | # ones. 38 | extensions = [] 39 | 40 | # Add any paths that contain templates here, relative to this directory. 41 | templates_path = ['_templates'] 42 | 43 | # The suffix(es) of source filenames. 44 | # You can specify multiple suffix as a list of string: 45 | # 46 | # source_suffix = ['.rst', '.md'] 47 | source_suffix = '.rst' 48 | 49 | # The master toctree document. 50 | master_doc = 'index' 51 | 52 | # General information about the project. 53 | project = 'backtrader-cn' 54 | copyright = '2017, pandalibin' 55 | author = 'pandalibin' 56 | 57 | # The version info for the project you're documenting, acts as replacement for 58 | # |version| and |release|, also used in various other places throughout the 59 | # built documents. 60 | # 61 | # The short X.Y version. 62 | version = '0.0.1' 63 | # The full version, including alpha/beta/rc tags. 64 | release = '0.0.1' 65 | 66 | # The language for content autogenerated by Sphinx. Refer to documentation 67 | # for a list of supported languages. 68 | # 69 | # This is also used if you do content translation via gettext catalogs. 70 | # Usually you set "language" from the command line for these cases. 71 | language = None 72 | 73 | # List of patterns, relative to source directory, that match files and 74 | # directories to ignore when looking for source files. 75 | # This patterns also effect to html_static_path and html_extra_path 76 | exclude_patterns = ['_build', 'Thumbs.db', '.DS_Store'] 77 | 78 | # The name of the Pygments (syntax highlighting) style to use. 79 | pygments_style = 'sphinx' 80 | 81 | # If true, `todo` and `todoList` produce output, else they produce nothing. 82 | todo_include_todos = False 83 | 84 | # -- Options for HTML output ---------------------------------------------- 85 | 86 | # The theme to use for HTML and HTML Help pages. See the documentation for 87 | # a list of builtin themes. 88 | # 89 | html_theme = 'sphinx_rtd_theme' 90 | 91 | # Theme options are theme-specific and customize the look and feel of a theme 92 | # further. For a list of options available for each theme, see the 93 | # documentation. 94 | # 95 | # html_theme_options = {} 96 | 97 | # Add any paths that contain custom static files (such as style sheets) here, 98 | # relative to this directory. They are copied after the builtin static files, 99 | # so a file named "default.css" will overwrite the builtin "default.css". 100 | html_static_path = ['_static'] 101 | 102 | # -- Options for HTMLHelp output ------------------------------------------ 103 | 104 | # Output file base name for HTML help builder. 105 | htmlhelp_basename = 'backtrader-cndoc' 106 | 107 | # -- Options for LaTeX output --------------------------------------------- 108 | 109 | latex_elements = { 110 | # The paper size ('letterpaper' or 'a4paper'). 111 | # 112 | # 'papersize': 'letterpaper', 113 | 114 | # The font size ('10pt', '11pt' or '12pt'). 115 | # 116 | # 'pointsize': '10pt', 117 | 118 | # Additional stuff for the LaTeX preamble. 119 | # 120 | # 'preamble': '', 121 | 122 | # Latex figure (float) alignment 123 | # 124 | # 'figure_align': 'htbp', 125 | } 126 | 127 | # Grouping the document tree into LaTeX files. List of tuples 128 | # (source start file, target name, title, 129 | # author, documentclass [howto, manual, or own class]). 130 | latex_documents = [ 131 | (master_doc, 'backtrader-cn.tex', 'backtrader-cn Documentation', 132 | 'pandalibin', 'manual'), 133 | ] 134 | 135 | # -- Options for manual page output --------------------------------------- 136 | 137 | # One entry per manual page. List of tuples 138 | # (source start file, name, description, authors, manual section). 139 | man_pages = [ 140 | (master_doc, 'backtrader-cn', 'backtrader-cn Documentation', 141 | [author], 1) 142 | ] 143 | 144 | # -- Options for Texinfo output ------------------------------------------- 145 | 146 | # Grouping the document tree into Texinfo files. List of tuples 147 | # (source start file, target name, title, author, 148 | # dir menu entry, description, category) 149 | texinfo_documents = [ 150 | (master_doc, 'backtrader-cn', 'backtrader-cn Documentation', 151 | author, 'backtrader-cn', 'One line description of project.', 152 | 'Miscellaneous'), 153 | ] 154 | -------------------------------------------------------------------------------- /docs/content.rst.inc: -------------------------------------------------------------------------------- 1 | User's Guide 2 | ============ 3 | 4 | .. toctree:: 5 | :maxdepth: 2 6 | 7 | getting_started 8 | usage -------------------------------------------------------------------------------- /docs/getting_started.rst: -------------------------------------------------------------------------------- 1 | Getting started with backtrader-cn 2 | ================================== 3 | 4 | Installation 5 | ------------ 6 | 7 | Quick start 8 | ----------- 9 | -------------------------------------------------------------------------------- /docs/index.rst: -------------------------------------------------------------------------------- 1 | :orphan: 2 | 3 | .. include :: ../README.rst 4 | .. include :: content.rst.inc 5 | -------------------------------------------------------------------------------- /docs/make.bat: -------------------------------------------------------------------------------- 1 | @ECHO OFF 2 | 3 | pushd %~dp0 4 | 5 | REM Command file for Sphinx documentation 6 | 7 | if "%SPHINXBUILD%" == "" ( 8 | set SPHINXBUILD=sphinx-build 9 | ) 10 | set SOURCEDIR=. 11 | set BUILDDIR=_build 12 | set SPHINXPROJ=backtrader-cn 13 | 14 | if "%1" == "" goto help 15 | 16 | %SPHINXBUILD% >NUL 2>NUL 17 | if errorlevel 9009 ( 18 | echo. 19 | echo.The 'sphinx-build' command was not found. Make sure you have Sphinx 20 | echo.installed, then set the SPHINXBUILD environment variable to point 21 | echo.to the full path of the 'sphinx-build' executable. Alternatively you 22 | echo.may add the Sphinx directory to PATH. 23 | echo. 24 | echo.If you don't have Sphinx installed, grab it from 25 | echo.http://sphinx-doc.org/ 26 | exit /b 1 27 | ) 28 | 29 | %SPHINXBUILD% -M %1 %SOURCEDIR% %BUILDDIR% %SPHINXOPTS% 30 | goto end 31 | 32 | :help 33 | %SPHINXBUILD% -M help %SOURCEDIR% %BUILDDIR% %SPHINXOPTS% 34 | 35 | :end 36 | popd 37 | -------------------------------------------------------------------------------- /docs/usage.rst: -------------------------------------------------------------------------------- 1 | Using backtrader-cn 2 | =================== 3 | -------------------------------------------------------------------------------- /frm_main.py: -------------------------------------------------------------------------------- 1 | # -*- coding: utf-8 -*- 2 | import multiprocessing 3 | 4 | import backtradercn.strategies.ma as bsm 5 | import backtradercn.tasks as btasks 6 | from backtradercn.libs.log import get_logger 7 | from backtradercn.libs import models 8 | 9 | logger = get_logger(__name__) 10 | 11 | 12 | def back_test(stock): 13 | """ 14 | Run back testing tasks via multiprocessing 15 | :return: None 16 | """ 17 | 18 | task = btasks.Task(bsm.MATrendStrategy, stock) 19 | result = task.task() 20 | 21 | stock_id = result.get('stock_id') 22 | trading_days = result.get('trading_days') 23 | total_return_rate = result.get('total_return_rate') 24 | max_drawdown = result.get('max_drawdown') 25 | max_drawdown_period = result.get('max_drawdown_period') 26 | logger.debug( 27 | f'Stock {stock_id} back testing result, trading days: {trading_days:.2f}, ' 28 | f'total return rate: {total_return_rate:.2f}, ' 29 | f'max drawdown: {max_drawdown:.2f}, ' 30 | f'max drawdown period: {max_drawdown_period:.2f}' 31 | ) 32 | 33 | drawdown_points = result.get('drawdown_points') 34 | logger.debug('Draw down points:') 35 | for drawdown_point in drawdown_points: 36 | drawdown_point_dt = drawdown_point.get("datetime").isoformat() 37 | drawdown = drawdown_point.get('drawdown') 38 | drawdownlen = drawdown_point.get('drawdownlen') 39 | logger.debug( 40 | f'stock: {stock_id}, drawdown_point: {drawdown_point_dt}, ' 41 | f'drawdown: {drawdown:.2f}, drawdownlen: {drawdownlen}' 42 | ) 43 | 44 | 45 | def main(stock_pools): 46 | """ 47 | Get all stocks and run back test. 48 | :param stock_pools: list, the stock code list. 49 | :return: None 50 | """ 51 | 52 | pool = multiprocessing.Pool() 53 | for stock in stock_pools: 54 | pool.apply_async(back_test, args=(stock, )) 55 | pool.close() 56 | pool.join() 57 | 58 | 59 | if __name__ == '__main__': 60 | cn_stocks = models.get_cn_stocks() 61 | main(cn_stocks) 62 | -------------------------------------------------------------------------------- /issue_template.md: -------------------------------------------------------------------------------- 1 | ### Description 2 | 3 | ### Expected behavior 4 | 5 | ### Actual behavior 6 | 7 | ### Steps to reproduce the behavior 8 | 1. 9 | 2. 10 | 3. 11 | 12 | ### Specifications 13 | * Version: 14 | -------------------------------------------------------------------------------- /pylintrc: -------------------------------------------------------------------------------- 1 | [MASTER] 2 | 3 | # Specify a configuration file. 4 | #rcfile= 5 | 6 | # Python code to execute, usually for sys.path manipulation such as 7 | # pygtk.require(). 8 | #init-hook= 9 | 10 | # Add files or directories to the blacklist. They should be base names, not 11 | # paths. 12 | ignore=CVS 13 | 14 | # Pickle collected data for later comparisons. 15 | persistent=yes 16 | 17 | # List of plugins (as comma separated values of python modules names) to load, 18 | # usually to register additional checkers. 19 | load-plugins= 20 | 21 | # Use multiple processes to speed up Pylint. 22 | jobs=1 23 | 24 | # Allow loading of arbitrary C extensions. Extensions are imported into the 25 | # active Python interpreter and may run arbitrary code. 26 | unsafe-load-any-extension=no 27 | 28 | # A comma-separated list of package or module names from where C extensions may 29 | # be loaded. Extensions are loading into the active Python interpreter and may 30 | # run arbitrary code 31 | extension-pkg-whitelist= 32 | 33 | # Allow optimization of some AST trees. This will activate a peephole AST 34 | # optimizer, which will apply various small optimizations. For instance, it can 35 | # be used to obtain the result of joining multiple strings with the addition 36 | # operator. Joining a lot of strings can lead to a maximum recursion error in 37 | # Pylint and this flag can prevent that. It has one side effect, the resulting 38 | # AST will be different than the one from reality. 39 | optimize-ast=no 40 | 41 | 42 | [MESSAGES CONTROL] 43 | 44 | # Only show warnings with the listed confidence levels. Leave empty to show 45 | # all. Valid levels: HIGH, INFERENCE, INFERENCE_FAILURE, UNDEFINED 46 | confidence= 47 | 48 | # Enable the message, report, category or checker with the given id(s). You can 49 | # either give multiple identifier separated by comma (,) or put this option 50 | # multiple time (only on the command line, not in the configuration file where 51 | # it should appear only once). See also the "--disable" option for examples. 52 | #enable= 53 | 54 | # Disable the message, report, category or checker with the given id(s). You 55 | # can either give multiple identifiers separated by comma (,) or put this 56 | # option multiple times (only on the command line, not in the configuration 57 | # file where it should appear only once).You can also use "--disable=all" to 58 | # disable everything first and then reenable specific checks. For example, if 59 | # you want to run only the similarities checker, you can use "--disable=all 60 | # --enable=similarities". If you want to run only the classes checker, but have 61 | # no Warning level messages displayed, use"--disable=all --enable=classes 62 | # --disable=W" 63 | disable= 64 | # disabled by me, 65 | locally-disabled, 66 | missing-docstring, 67 | fixme, 68 | # disabled by default, 69 | import-star-module-level, 70 | old-octal-literal, 71 | oct-method, 72 | print-statement, 73 | unpacking-in-except, 74 | parameter-unpacking, 75 | backtick, 76 | old-raise-syntax, 77 | old-ne-operator, 78 | long-suffix, 79 | dict-view-method, 80 | dict-iter-method, 81 | metaclass-assignment, 82 | next-method-called, 83 | raising-string, 84 | indexing-exception, 85 | raw_input-builtin, 86 | long-builtin, 87 | file-builtin, 88 | execfile-builtin, 89 | coerce-builtin, 90 | cmp-builtin, 91 | buffer-builtin, 92 | basestring-builtin, 93 | apply-builtin, 94 | filter-builtin-not-iterating, 95 | using-cmp-argument, 96 | useless-suppression, 97 | range-builtin-not-iterating, 98 | suppressed-message, 99 | no-absolute-import, 100 | old-division, 101 | cmp-method, 102 | reload-builtin, 103 | zip-builtin-not-iterating, 104 | intern-builtin, 105 | unichr-builtin, 106 | reduce-builtin, 107 | standarderror-builtin, 108 | unicode-builtin, 109 | xrange-builtin, 110 | coerce-method, 111 | delslice-method, 112 | getslice-method, 113 | setslice-method, 114 | input-builtin, 115 | round-builtin, 116 | hex-method, 117 | nonzero-method, 118 | map-builtin-not-iterating, 119 | 120 | 121 | [REPORTS] 122 | 123 | # Set the output format. Available formats are text, parseable, colorized, msvs 124 | # (visual studio) and html. You can also give a reporter class, eg 125 | # mypackage.mymodule.MyReporterClass. 126 | output-format=text 127 | 128 | # Put messages in a separate file for each module / package specified on the 129 | # command line instead of printing them on stdout. Reports (if any) will be 130 | # written in a file name "pylint_global.[txt|html]". 131 | files-output=no 132 | 133 | # Tells whether to display a full report or only the messages 134 | reports=yes 135 | 136 | # Python expression which should return a note less than 10 (10 is the highest 137 | # note). You have access to the variables errors warning, statement which 138 | # respectively contain the number of errors / warnings messages and the total 139 | # number of statements analyzed. This is used by the global evaluation report 140 | # (RP0004). 141 | evaluation=10.0 - ((float(5 * error + warning + refactor + convention) / statement) * 10) 142 | 143 | # Template used to display messages. This is a python new-style format string 144 | # used to format the message information. See doc for all details 145 | #msg-template= 146 | 147 | 148 | [FORMAT] 149 | 150 | # Maximum number of characters on a single line. 151 | max-line-length=100 152 | 153 | # Regexp for a line that is allowed to be longer than the limit. 154 | ignore-long-lines=^\s*(# )??$ 155 | 156 | # Allow the body of an if to be on the same line as the test if there is no 157 | # else. 158 | single-line-if-stmt=no 159 | 160 | # List of optional constructs for which whitespace checking is disabled. `dict- 161 | # separator` is used to allow tabulation in dicts, etc.: {1 : 1,\n222: 2}. 162 | # `trailing-comma` allows a space between comma and closing bracket: (a, ). 163 | # `empty-line` allows space-only lines. 164 | no-space-check=trailing-comma,dict-separator 165 | 166 | # Maximum number of lines in a module 167 | max-module-lines=1000 168 | 169 | # String used as indentation unit. This is usually " " (4 spaces) or "\t" (1 170 | # tab). 171 | indent-string=' ' 172 | 173 | # Number of spaces of indent required inside a hanging or continued line. 174 | indent-after-paren=4 175 | 176 | # Expected format of line ending, e.g. empty (any line ending), LF or CRLF. 177 | expected-line-ending-format= 178 | 179 | 180 | [SPELLING] 181 | 182 | # Spelling dictionary name. Available dictionaries: none. To make it working 183 | # install python-enchant package. 184 | spelling-dict= 185 | 186 | # List of comma separated words that should not be checked. 187 | spelling-ignore-words= 188 | 189 | # A path to a file that contains private dictionary; one word per line. 190 | spelling-private-dict-file= 191 | 192 | # Tells whether to store unknown words to indicated private dictionary in 193 | # --spelling-private-dict-file option instead of raising a message. 194 | spelling-store-unknown-words=no 195 | 196 | 197 | [LOGGING] 198 | 199 | # Logging modules to check that the string format arguments are in logging 200 | # function parameter format 201 | logging-modules=logging 202 | 203 | 204 | [BASIC] 205 | 206 | # List of builtins function names that should not be used, separated by a comma 207 | bad-functions=map,filter,input 208 | 209 | # Good variable names which should always be accepted, separated by a comma 210 | good-names=i,j,e,s,_,fd,fp,df,k,v 211 | 212 | # Bad variable names which should always be refused, separated by a comma 213 | bad-names=foo,bar,baz,toto,tutu,tata 214 | 215 | # Colon-delimited sets of names that determine each other's naming style when 216 | # the name regexes allow several styles. 217 | name-group= 218 | 219 | # Include a hint for the correct naming format with invalid-name 220 | include-naming-hint=no 221 | 222 | # Regular expression matching correct function names 223 | # original: 224 | #function-rgx=[a-z_][a-z0-9_]{2,30}$ 225 | function-rgx=[a-zA-Z_][a-zA-Z0-9_]{2,40}$ 226 | 227 | # Naming hint for function names 228 | function-name-hint=[a-z_][a-z0-9_]{2,30}$ 229 | 230 | # Regular expression matching correct variable names 231 | variable-rgx=[a-z_][a-z0-9_]{2,30}$ 232 | 233 | # Naming hint for variable names 234 | variable-name-hint=[a-z_][a-z0-9_]{2,30}$ 235 | 236 | # Regular expression matching correct constant names 237 | # original: 238 | #const-rgx=(([A-Z_][A-Z0-9_]*)|(__.*__))$ 239 | const-rgx=(([a-zA-Z_][a-zA-Z0-9_]*)|(__.*__))$ 240 | 241 | # Naming hint for constant names 242 | const-name-hint=(([A-Z_][A-Z0-9_]*)|(__.*__))$ 243 | 244 | # Regular expression matching correct attribute names 245 | attr-rgx=[a-z_][a-z0-9_]{2,30}$ 246 | 247 | # Naming hint for attribute names 248 | attr-name-hint=[a-z_][a-z0-9_]{2,30}$ 249 | 250 | # Regular expression matching correct argument names 251 | argument-rgx=[a-z_][a-z0-9_]{2,30}$ 252 | 253 | # Naming hint for argument names 254 | argument-name-hint=[a-z_][a-z0-9_]{2,30}$ 255 | 256 | # Regular expression matching correct class attribute names 257 | # original: 258 | #class-attribute-rgx=([A-Za-z_][A-Za-z0-9_]{2,30}|(__.*__))$ 259 | class-attribute-rgx=([A-Za-z_][A-Za-z0-9_]{2,40}|(__.*__))$ 260 | 261 | # Naming hint for class attribute names 262 | class-attribute-name-hint=([A-Za-z_][A-Za-z0-9_]{2,30}|(__.*__))$ 263 | 264 | # Regular expression matching correct inline iteration names 265 | inlinevar-rgx=[A-Za-z_][A-Za-z0-9_]*$ 266 | 267 | # Naming hint for inline iteration names 268 | inlinevar-name-hint=[A-Za-z_][A-Za-z0-9_]*$ 269 | 270 | # Regular expression matching correct class names 271 | # original: 272 | #class-rgx=[A-Z_][a-zA-Z0-9]+$ 273 | class-rgx=[a-zA-Z_][a-zA-Z0-9]+$ 274 | 275 | # Naming hint for class names 276 | class-name-hint=[A-Z_][a-zA-Z0-9]+$ 277 | 278 | # Regular expression matching correct module names 279 | module-rgx=(([a-z_][a-z0-9_]*)|([A-Z][a-zA-Z0-9]+))$ 280 | 281 | # Naming hint for module names 282 | module-name-hint=(([a-z_][a-z0-9_]*)|([A-Z][a-zA-Z0-9]+))$ 283 | 284 | # Regular expression matching correct method names 285 | # original: 286 | #method-rgx=[a-z_][a-z0-9_]{2,30}$ 287 | method-rgx=[a-zA-Z_][a-zA-Z0-9_]{2,40}$ 288 | 289 | # Naming hint for method names 290 | method-name-hint=[a-z_][a-z0-9_]{2,30}$ 291 | 292 | # Regular expression which should only match function or class names that do 293 | # not require a docstring. 294 | no-docstring-rgx=^_ 295 | 296 | # Minimum line length for functions/classes that require docstrings, shorter 297 | # ones are exempt. 298 | docstring-min-length=-1 299 | 300 | 301 | [ELIF] 302 | 303 | # Maximum number of nested blocks for function / method body 304 | max-nested-blocks=5 305 | 306 | 307 | [SIMILARITIES] 308 | 309 | # Minimum lines number of a similarity. 310 | min-similarity-lines=4 311 | 312 | # Ignore comments when computing similarities. 313 | ignore-comments=yes 314 | 315 | # Ignore docstrings when computing similarities. 316 | ignore-docstrings=yes 317 | 318 | # Ignore imports when computing similarities. 319 | ignore-imports=no 320 | 321 | 322 | [TYPECHECK] 323 | 324 | # Tells whether missing members accessed in mixin class should be ignored. A 325 | # mixin class is detected if its name ends with "mixin" (case insensitive). 326 | ignore-mixin-members=yes 327 | 328 | # List of module names for which member attributes should not be checked 329 | # (useful for modules/projects where namespaces are manipulated during runtime 330 | # and thus existing member attributes cannot be deduced by static analysis. It 331 | # supports qualified module names, as well as Unix pattern matching. 332 | ignored-modules= 333 | 334 | # List of classes names for which member attributes should not be checked 335 | # (useful for classes with attributes dynamically set). This supports can work 336 | # with qualified names. 337 | ignored-classes= 338 | 339 | # List of members which are set dynamically and missed by pylint inference 340 | # system, and so shouldn't trigger E1101 when accessed. Python regular 341 | # expressions are accepted. 342 | generated-members= 343 | 344 | 345 | [MISCELLANEOUS] 346 | 347 | # List of note tags to take in consideration, separated by a comma. 348 | notes=FIXME,XXX,TODO 349 | 350 | 351 | [VARIABLES] 352 | 353 | # Tells whether we should check for unused import in __init__ files. 354 | init-import=no 355 | 356 | # A regular expression matching the name of dummy variables (i.e. expectedly 357 | # not used). 358 | dummy-variables-rgx=_$|dummy 359 | 360 | # List of additional names supposed to be defined in builtins. Remember that 361 | # you should avoid to define new builtins when possible. 362 | additional-builtins= 363 | 364 | # List of strings which can identify a callback function by name. A callback 365 | # name must start or end with one of those strings. 366 | callbacks=cb_,_cb 367 | 368 | 369 | [CLASSES] 370 | 371 | # List of method names used to declare (i.e. assign) instance attributes. 372 | defining-attr-methods=__init__,__new__,setUp 373 | 374 | # List of valid names for the first argument in a class method. 375 | valid-classmethod-first-arg=cls 376 | 377 | # List of valid names for the first argument in a metaclass class method. 378 | valid-metaclass-classmethod-first-arg=mcs 379 | 380 | # List of member names, which should be excluded from the protected access 381 | # warning. 382 | exclude-protected=_asdict,_fields,_replace,_source,_make 383 | 384 | 385 | [DESIGN] 386 | 387 | # Maximum number of arguments for function / method 388 | max-args=5 389 | 390 | # Argument names that match this expression will be ignored. Default to name 391 | # with leading underscore 392 | ignored-argument-names=_.* 393 | 394 | # Maximum number of locals for function / method body 395 | max-locals=15 396 | 397 | # Maximum number of return / yield for function / method body 398 | max-returns=6 399 | 400 | # Maximum number of branch for function / method body 401 | max-branches=12 402 | 403 | # Maximum number of statements in function / method body 404 | max-statements=50 405 | 406 | # Maximum number of parents for a class (see R0901). 407 | max-parents=7 408 | 409 | # Maximum number of attributes for a class (see R0902). 410 | max-attributes=7 411 | 412 | # Minimum number of public methods for a class (see R0903). 413 | min-public-methods=2 414 | 415 | # Maximum number of public methods for a class (see R0904). 416 | max-public-methods=20 417 | 418 | # Maximum number of boolean expressions in a if statement 419 | max-bool-expr=5 420 | 421 | 422 | [IMPORTS] 423 | 424 | # Deprecated modules which should not be used, separated by a comma 425 | deprecated-modules=regsub,TERMIOS,Bastion,rexec 426 | 427 | # Create a graph of every (i.e. internal and external) dependencies in the 428 | # given file (report RP0402 must not be disabled) 429 | import-graph= 430 | 431 | # Create a graph of external dependencies in the given file (report RP0402 must 432 | # not be disabled) 433 | ext-import-graph= 434 | 435 | # Create a graph of internal dependencies in the given file (report RP0402 must 436 | # not be disabled) 437 | int-import-graph= 438 | 439 | 440 | [EXCEPTIONS] 441 | 442 | # Exceptions that will emit a warning when being caught. Defaults to 443 | # "Exception" 444 | overgeneral-exceptions=Exception 445 | -------------------------------------------------------------------------------- /requirements.txt: -------------------------------------------------------------------------------- 1 | beautifulsoup4 # tushare require 2 | lxml # tushare require 3 | xlrd # tushare require 4 | requests # tushae require 5 | pandas==0.20.1 6 | backtrader 7 | tushare 8 | arctic 9 | WeRoBot==1.1.1 10 | gevent 11 | easytrader==0.12.3 12 | demjson==2.2.4 13 | retrying==1.3.3 14 | -------------------------------------------------------------------------------- /stock_match.py: -------------------------------------------------------------------------------- 1 | # -*- coding: utf-8 -*- 2 | import time 3 | from datetime import datetime, timedelta 4 | from backtradercn.settings import settings as conf 5 | from backtradercn.libs.sina import StockMatch 6 | from daily_alert import get_market_signal_by_date 7 | from backtradercn.libs.log import get_logger 8 | 9 | logger = get_logger(__name__) 10 | 11 | 12 | def update_sina_stock_match(): 13 | date = (datetime.now() - timedelta(days=1)).strftime('%Y-%m-%d') 14 | msg = get_market_signal_by_date(date) 15 | user = StockMatch( 16 | username=conf.SINA_CONFIG['username'], 17 | password=conf.SINA_CONFIG['password'], 18 | ) 19 | for stock_code in msg['buy']: 20 | user.buy(stock_code) 21 | # 经过测试，每隔3S进行一次买入操作的频率最合适 22 | time.sleep(3) 23 | else: 24 | logger.info("没有股票需要买入") 25 | 26 | 27 | if __name__ == '__main__': 28 | update_sina_stock_match() 29 | -------------------------------------------------------------------------------- /tests/libs/test_models.py: -------------------------------------------------------------------------------- 1 | """ 2 | Test cases for libs.moels.py 3 | """ 4 | import random 5 | import arctic 6 | 7 | from backtradercn.libs import models 8 | 9 | 10 | RUN_TEST_LIBRARY = 'just_for_run_test_library' 11 | 12 | 13 | def test_get_store(): 14 | store = models.get_store() 15 | assert isinstance(store, arctic.arctic.Arctic) 16 | 17 | def test_create_library(): 18 | lib = models.create_library(RUN_TEST_LIBRARY) 19 | assert isinstance(lib, arctic.store.version_store.VersionStore) 20 | 21 | def test_get_library_exist(): 22 | lib = models.get_library(RUN_TEST_LIBRARY) 23 | assert isinstance(lib, arctic.store.version_store.VersionStore) 24 | 25 | def test_get_library_not_exist(): 26 | lib_name = '{}{}'.format(RUN_TEST_LIBRARY, random.randint(1, 100)) 27 | lib = models.get_library(lib_name) 28 | assert lib is None 29 | 30 | def test_get_or_create_library_exist(): 31 | lib = models.get_or_create_library(RUN_TEST_LIBRARY) 32 | assert isinstance(lib, arctic.store.version_store.VersionStore) 33 | 34 | def test_get_or_create_library_not_exist(): 35 | lib_name = '{}{}'.format(RUN_TEST_LIBRARY, random.randint(1, 100)) 36 | lib = models.get_or_create_library(lib_name) 37 | assert isinstance(lib, arctic.store.version_store.VersionStore) 38 | 39 | models.drop_library(lib_name) 40 | assert models.get_library(lib_name) is None 41 | 42 | def test_drop_library_exist(): 43 | models.drop_library(RUN_TEST_LIBRARY) 44 | assert models.get_library(RUN_TEST_LIBRARY) is None 45 | 46 | def test_get_cn_stocks(): 47 | stocks = models.get_cn_stocks() 48 | assert isinstance(stocks, list) 49 | -------------------------------------------------------------------------------- /tests/test_datas_tushare.py: -------------------------------------------------------------------------------- 1 | import unittest 2 | import unittest.mock as um 3 | import datetime as dt 4 | import pandas as pd 5 | import backtradercn.datas.tushare as bdt 6 | 7 | from backtradercn.settings import settings as conf 8 | from backtradercn.libs import models 9 | 10 | 11 | class TsHisDataTestCase(unittest.TestCase): 12 | def test_run(self): 13 | self._test_download_delta_data_initial_no_data() 14 | self._test_download_delta_data_initial() 15 | self._test_download_delta_data_no_data() 16 | self._test_download_delta_data() 17 | 18 | @um.patch('tushare.get_hist_data') 19 | def _test_download_delta_data_initial_no_data(self, mock_get_hist_data): 20 | mock_hist_data = pd.DataFrame() 21 | 22 | mock_get_hist_data.return_value = mock_hist_data 23 | 24 | coll_name = '000651' 25 | ts_his_data = bdt.TsHisData(coll_name) 26 | 27 | lib = models.get_library(conf.CN_STOCK_LIBNAME) 28 | lib.delete(coll_name) 29 | 30 | ts_his_data.download_delta_data() 31 | 32 | self.assertFalse(lib.has_symbol(coll_name)) 33 | 34 | @um.patch('tushare.get_hist_data') 35 | def _test_download_delta_data_initial(self, mock_get_hist_data): 36 | mock_hist_data = pd.DataFrame(data={ 37 | 'open': [10, 11], 38 | 'high': [12, 13], 39 | 'close': [14, 15], 40 | 'low': [16, 17], 41 | 'volume': [18, 19], 42 | 'price_change': [20, 21], 43 | 'p_change': [22, 23], 44 | 'ma5': [24, 25], 45 | 'ma10': [26, 27], 46 | 'ma20': [28, 29], 47 | 'v_ma5': [30, 31], 48 | 'v_ma10': [32, 33], 49 | 'v_ma20': [34, 35], 50 | 'turnover': [36, 37] 51 | }, index=['2017-01-01', '2017-01-02']) 52 | 53 | mock_get_hist_data.return_value = mock_hist_data 54 | 55 | coll_name = '000651' 56 | ts_his_data = bdt.TsHisData(coll_name) 57 | 58 | lib = models.get_library(conf.CN_STOCK_LIBNAME) 59 | lib.delete(coll_name) 60 | 61 | ts_his_data.download_delta_data() 62 | 63 | hist_data_000651 = ts_his_data.get_data() 64 | 65 | self.assertEqual(len(hist_data_000651), 2) 66 | 67 | @um.patch('tushare.get_hist_data') 68 | def _test_download_delta_data_no_data(self, mock_get_hist_data): 69 | coll_name = '000651' 70 | ts_his_data = bdt.TsHisData(coll_name) 71 | 72 | mock_delta_data = pd.DataFrame() 73 | mock_get_hist_data.return_value = mock_delta_data 74 | 75 | ts_his_data.download_delta_data() 76 | 77 | hist_data_000651 = ts_his_data.get_data() 78 | 79 | self.assertEqual(len(hist_data_000651), 2) 80 | 81 | @um.patch('tushare.get_hist_data') 82 | def _test_download_delta_data(self, mock_get_hist_data): 83 | coll_name = '000651' 84 | ts_his_data = bdt.TsHisData(coll_name) 85 | 86 | yesterday = dt.datetime.now() - dt.timedelta(days=1) 87 | mock_delta_data = pd.DataFrame(data={ 88 | 'open': 38, 89 | 'high': 39, 90 | 'close': 40, 91 | 'low': 41, 92 | 'volume': 42, 93 | 'price_change': 43, 94 | 'p_change': 44, 95 | 'ma5': 45, 96 | 'ma10': 46, 97 | 'ma20': 47, 98 | 'v_ma5': 48, 99 | 'v_ma10': 49, 100 | 'v_ma20': 50, 101 | 'turnover': 51 102 | }, index=[dt.datetime.strftime(yesterday, '%Y-%m-%d')]) 103 | 104 | mock_get_hist_data.return_value = mock_delta_data 105 | 106 | ts_his_data.download_delta_data() 107 | 108 | hist_data_000651 = ts_his_data.get_data() 109 | 110 | self.assertEqual(len(hist_data_000651), 3) 111 | self.assertEqual(dt.datetime.strftime(hist_data_000651.index[-1], '%Y-%m-%d'), 112 | dt.datetime.strftime(yesterday, '%Y-%m-%d')) 113 | lib = models.get_library(conf.CN_STOCK_LIBNAME) 114 | lib.delete(coll_name) 115 | -------------------------------------------------------------------------------- /tests/test_datas_utils.py: -------------------------------------------------------------------------------- 1 | # -*- coding: utf-8 -*- 2 | import unittest 3 | import backtradercn.datas.utils as bdu 4 | import pandas as pd 5 | import datetime as dt 6 | 7 | 8 | class UtilsTestCase(unittest.TestCase): 9 | def test_run(self): 10 | self._test_strip_unused_cols() 11 | self._test_parse_data() 12 | 13 | def _test_parse_data(self): 14 | date_string = '2017-01-01' 15 | parsed_date = bdu.Utils.parse_date(date_string) 16 | 17 | self.assertEqual(parsed_date, dt.datetime(2017, 1, 1)) 18 | 19 | def _test_strip_unused_cols(self): 20 | data = pd.DataFrame({ 21 | 'name': ['tom', 'jack'], 22 | 'age': [24, 56], 23 | 'gender': ['male', 'male'], 24 | 'address': ['cn', 'us'] 25 | }) 26 | data.index = pd.date_range(start='2017-01-01', periods=2) 27 | 28 | origin_cols = ['name', 'age', 'gender', 'address'] 29 | unused_cols = ['address', 'gender'] 30 | new_cols = ['name', 'age'] 31 | 32 | self.assertEqual(list(data.columns).sort(), origin_cols.sort()) 33 | 34 | bdu.Utils.strip_unused_cols(data, *unused_cols) 35 | 36 | self.assertEqual(list(data.columns).sort(), new_cols.sort()) 37 | -------------------------------------------------------------------------------- /tests/test_strategies_ma.py: -------------------------------------------------------------------------------- 1 | # -*- coding: utf-8 -*- 2 | import unittest 3 | import pandas as pd 4 | import numpy as np 5 | import backtradercn.strategies.ma as bsm 6 | 7 | 8 | class MATrendStrategyTestCase(unittest.TestCase): 9 | def test_run(self): 10 | self._test_get_params_list() 11 | 12 | def _test_get_params_list(self): 13 | training_data = pd.DataFrame(np.random.rand(100, 2)) 14 | params_list = bsm.MATrendStrategy.get_params_list(training_data, '000651') 15 | 16 | self.assertEqual(len(params_list), 29) 17 | -------------------------------------------------------------------------------- /tests/test_strategies_utils.py: -------------------------------------------------------------------------------- 1 | # -*- coding: utf-8 -*- 2 | import unittest 3 | import backtradercn.strategies.utils as bsu 4 | import datetime as dt 5 | import pandas as pd 6 | import numpy as np 7 | 8 | 9 | class UtilsTestCase(unittest.TestCase): 10 | def test_run(self): 11 | self._test_split_data() 12 | self._test_get_best_params() 13 | 14 | def _test_split_data(self): 15 | data = pd.DataFrame(np.random.rand(10, 2)) 16 | data.index = ['2017-01-01', '2017-01-02', '2017-01-03', '2017-01-04', '2017-01-05', 17 | '2017-01-06', '2017-01-07', '2017-01-08', '2017-01-09', '2017-01-10'] 18 | 19 | training_data, testing_data = bsu.Utils.split_data(data, 0.3) 20 | training_data_len = len(training_data) 21 | 22 | training_data_last = training_data[1][-1] 23 | training_data_target = data[1][training_data_len - 1] 24 | testing_data_first = testing_data[0][0] 25 | testing_data_target = data[0][training_data_len] 26 | self.assertEqual(training_data_last, training_data_target) 27 | self.assertEqual(testing_data_first, testing_data_target) 28 | 29 | def _test_get_best_params(self): 30 | al_results = [] 31 | 32 | for i in range(10): 33 | al_result = dict( 34 | params=None, 35 | total_return_rate=np.random.randint(1, 10), 36 | max_drawdown=0, 37 | max_drawdown_period=0 38 | ) 39 | al_results.append(al_result) 40 | 41 | best_al_result = bsu.Utils.get_best_params(al_results) 42 | 43 | best_return_rate = best_al_result.get('total_return_rate') 44 | for i in range(10): 45 | self.assertGreaterEqual(best_return_rate, al_results[i].get('total_return_rate')) 46 | -------------------------------------------------------------------------------- /train_main.py: -------------------------------------------------------------------------------- 1 | # -*- coding: utf-8 -*- 2 | import backtradercn.strategies.ma as bsm 3 | import backtradercn.tasks as btasks 4 | from backtradercn.libs.log import get_logger 5 | from backtradercn.settings import settings as conf 6 | from backtradercn.libs import models 7 | 8 | 9 | logger = get_logger(__name__) 10 | 11 | 12 | def train(stock): 13 | """ 14 | Run training tasks via multiprocessing and save training params to arctic store. 15 | :param stock: str, stock code 16 | :return: None 17 | """ 18 | 19 | task = btasks.Task(bsm.MATrendStrategy, stock) 20 | params = task.train() 21 | # write stock params to MongoDB 22 | symbol = conf.STRATEGY_PARAMS_MA_SYMBOL 23 | models.save_training_params(symbol, params) 24 | 25 | 26 | def main(stock_pools): 27 | """ 28 | Get all stocks and train params for each stock. 29 | :param stock_pools: list, the stock code list. 30 | :return: None 31 | """ 32 | 33 | for stock in stock_pools: 34 | train(stock) 35 | 36 | 37 | if __name__ == '__main__': 38 | # create params library if not exist 39 | models.get_or_create_library(conf.STRATEGY_PARAMS_LIBNAME) 40 | 41 | cn_stocks = models.get_cn_stocks() 42 | main(cn_stocks) 43 | 44 | # training 时会写数据到 `conf.DAILY_STOCK_ALERT_LIBNAME` 45 | models.drop_library(conf.DAILY_STOCK_ALERT_LIBNAME) 46 | --------------------------------------------------------------------------------