├── rqalpha_mod_tushare ├── VERSION.txt ├── __init__.py ├── mod.py └── data_source.py ├── requirements.txt ├── README.rst ├── .gitignore ├── setup.py └── LICENSE /rqalpha_mod_tushare/VERSION.txt: -------------------------------------------------------------------------------- 1 | 0.2.0 -------------------------------------------------------------------------------- /requirements.txt: -------------------------------------------------------------------------------- 1 | rqalpha>=2.0.0 2 | tushare>=0.7.4 -------------------------------------------------------------------------------- /README.rst: -------------------------------------------------------------------------------- 1 | ============================ 2 | rqalpha-mod-tushare 3 | ============================ 4 | 5 | Make Tushare compatible with RQAlpha 6 | 7 | 这个 mod 暂时处于 demo 阶段，由于没有对数据进行完整地还原，使用起来可能会出现诸多 bug。 8 | 在这个 mod 达到可用的状态前暂时不会发包到 pypi，所以暂时不能通过 pip 或者 rqalpha mod install 命令进行安装。 9 | 欢迎各位同学提交代码一起完成 tushare 数据源的对接。 10 | -------------------------------------------------------------------------------- /rqalpha_mod_tushare/__init__.py: -------------------------------------------------------------------------------- 1 | # -*- coding: utf-8 -*- 2 | # 3 | # Copyright 2017 Ricequant, Inc 4 | # 5 | # Licensed under the Apache License, Version 2.0 (the "License"); 6 | # you may not use this file except in compliance with the License. 7 | # You may obtain a copy of the License at 8 | # 9 | # http://www.apache.org/licenses/LICENSE-2.0 10 | # 11 | # Unless required by applicable law or agreed to in writing, software 12 | # distributed under the License is distributed on an "AS IS" BASIS, 13 | # WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied. 14 | # See the License for the specific language governing permissions and 15 | # limitations under the License. 16 | 17 | __config__ = { 18 | "xxx": True 19 | } 20 | 21 | 22 | def load_mod(): 23 | from .mod import TushareMod 24 | return TushareMod() 25 | -------------------------------------------------------------------------------- /rqalpha_mod_tushare/mod.py: -------------------------------------------------------------------------------- 1 | # -*- coding: utf-8 -*- 2 | # 3 | # Copyright 2017 Ricequant, Inc 4 | # 5 | # Licensed under the Apache License, Version 2.0 (the "License"); 6 | # you may not use this file except in compliance with the License. 7 | # You may obtain a copy of the License at 8 | # 9 | # http://www.apache.org/licenses/LICENSE-2.0 10 | # 11 | # Unless required by applicable law or agreed to in writing, software 12 | # distributed under the License is distributed on an "AS IS" BASIS, 13 | # WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied. 14 | # See the License for the specific language governing permissions and 15 | # limitations under the License. 16 | 17 | from rqalpha.interface import AbstractMod 18 | 19 | from .data_source import TushareKDataSource 20 | 21 | 22 | class TushareMod(AbstractMod): 23 | def __init__(self): 24 | pass 25 | 26 | def start_up(self, env, mod_config): 27 | bundle_path = env.config.base.data_bundle_path 28 | env.set_data_source(TushareKDataSource(bundle_path)) 29 | 30 | def tear_down(self, code, exception=None): 31 | pass 32 | -------------------------------------------------------------------------------- /.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 | *.egg-info/ 24 | .installed.cfg 25 | *.egg 26 | 27 | # PyInstaller 28 | # Usually these files are written by a python script from a template 29 | # before PyInstaller builds the exe, so as to inject date/other infos into it. 30 | *.manifest 31 | *.spec 32 | 33 | # Installer logs 34 | pip-log.txt 35 | pip-delete-this-directory.txt 36 | 37 | # Unit test / coverage reports 38 | htmlcov/ 39 | .tox/ 40 | .coverage 41 | .coverage.* 42 | .cache 43 | nosetests.xml 44 | coverage.xml 45 | *,cover 46 | .hypothesis/ 47 | 48 | # Translations 49 | *.mo 50 | *.pot 51 | 52 | # Django stuff: 53 | *.log 54 | local_settings.py 55 | 56 | # Flask stuff: 57 | instance/ 58 | .webassets-cache 59 | 60 | # Scrapy stuff: 61 | .scrapy 62 | 63 | # Sphinx documentation 64 | docs/_build/ 65 | 66 | # PyBuilder 67 | target/ 68 | 69 | # IPython Notebook 70 | .ipynb_checkpoints 71 | 72 | # pyenv 73 | .python-version 74 | 75 | # celery beat schedule file 76 | celerybeat-schedule 77 | 78 | # dotenv 79 | .env 80 | 81 | # virtualenv 82 | venv/ 83 | ENV/ 84 | 85 | # Spyder project settings 86 | .spyderproject 87 | 88 | # Rope project settings 89 | .ropeproject 90 | 91 | .vscode 92 | .idea 93 | -------------------------------------------------------------------------------- /setup.py: -------------------------------------------------------------------------------- 1 | #!/usr/bin/env python 2 | # -*- coding: utf-8 -*- 3 | # 4 | # Copyright 2017 Ricequant, Inc 5 | # 6 | # Licensed under the Apache License, Version 2.0 (the "License"); 7 | # you may not use this file except in compliance with the License. 8 | # You may obtain a copy of the License at 9 | # 10 | # http://www.apache.org/licenses/LICENSE-2.0 11 | # 12 | # Unless required by applicable law or agreed to in writing, software 13 | # distributed under the License is distributed on an "AS IS" BASIS, 14 | # WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied. 15 | # See the License for the specific language governing permissions and 16 | # limitations under the License. 17 | 18 | from os.path import dirname, join 19 | from pip.req import parse_requirements 20 | 21 | from setuptools import ( 22 | find_packages, 23 | setup, 24 | ) 25 | 26 | 27 | with open(join(dirname(__file__), 'rqalpha_mod_tushare/VERSION.txt'), 'rb') as f: 28 | version = f.read().decode('ascii').strip() 29 | 30 | setup( 31 | name='rqalpha-mod-tushare', 32 | version=version, 33 | description='Make Tushare compatible with RQAlpha', 34 | long_description=open('README.rst').read(), 35 | packages=find_packages(exclude=[]), 36 | author='ricequant', 37 | author_email='public@ricequant.com', 38 | license='Apache License v2', 39 | package_data={'': ['*.*']}, 40 | url='https://github.com/ricequant/rqalpha-mod-tushare', 41 | install_requires=[str(ir.req) for ir in parse_requirements("requirements.txt", session=False)], 42 | zip_safe=False, 43 | classifiers=[ 44 | 'Programming Language :: Python', 45 | 'Operating System :: Microsoft :: Windows', 46 | 'Operating System :: Unix', 47 | 'Programming Language :: Python :: 3.5', 48 | 'Programming Language :: Python :: 3.6', 49 | ], 50 | ) 51 | -------------------------------------------------------------------------------- /rqalpha_mod_tushare/data_source.py: -------------------------------------------------------------------------------- 1 | # -*- coding: utf-8 -*- 2 | # 3 | # Copyright 2017 Ricequant, Inc 4 | # 5 | # Licensed under the Apache License, Version 2.0 (the "License"); 6 | # you may not use this file except in compliance with the License. 7 | # You may obtain a copy of the License at 8 | # 9 | # http://www.apache.org/licenses/LICENSE-2.0 10 | # 11 | # Unless required by applicable law or agreed to in writing, software 12 | # distributed under the License is distributed on an "AS IS" BASIS, 13 | # WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied. 14 | # See the License for the specific language governing permissions and 15 | # limitations under the License. 16 | 17 | import six 18 | import tushare as ts 19 | from datetime import date 20 | from dateutil.relativedelta import relativedelta 21 | from rqalpha.data.base_data_source import BaseDataSource 22 | 23 | 24 | class TushareKDataSource(BaseDataSource): 25 | def __init__(self, path): 26 | super(TushareKDataSource, self).__init__(path) 27 | 28 | @staticmethod 29 | def get_tushare_k_data(instrument, start_dt, end_dt): 30 | order_book_id = instrument.order_book_id 31 | code = order_book_id.split(".")[0] 32 | 33 | if instrument.type == 'CS': 34 | index = False 35 | elif instrument.type == 'INDX': 36 | index = True 37 | else: 38 | return None 39 | 40 | return ts.get_k_data(code, index=index, start=start_dt.strftime('%Y-%m-%d'), end=end_dt.strftime('%Y-%m-%d')) 41 | 42 | def get_bar(self, instrument, dt, frequency): 43 | if frequency != '1d': 44 | return super(TushareKDataSource, self).get_bar(instrument, dt, frequency) 45 | 46 | bar_data = self.get_tushare_k_data(instrument, dt, dt) 47 | 48 | if bar_data is None or bar_data.empty: 49 | return super(TushareKDataSource, self).get_bar(instrument, dt, frequency) 50 | else: 51 | return bar_data.iloc[0].to_dict() 52 | 53 | def history_bars(self, instrument, bar_count, frequency, fields, dt, skip_suspended=True, include_now=False, 54 | adjust_type='pre', adjust_orig=None): 55 | if frequency != '1d' or not skip_suspended: 56 | return super(TushareKDataSource, self).history_bars(instrument, bar_count, frequency, fields, dt, skip_suspended) 57 | 58 | start_dt_loc = self.get_trading_calendar().get_loc(dt.replace(hour=0, minute=0, second=0, microsecond=0)) - bar_count + 1 59 | start_dt = self.get_trading_calendar()[start_dt_loc] 60 | 61 | bar_data = self.get_tushare_k_data(instrument, start_dt, dt) 62 | 63 | if bar_data is None or bar_data.empty: 64 | return super(TushareKDataSource, self).get_bar(instrument, dt, frequency) 65 | else: 66 | if isinstance(fields, six.string_types): 67 | fields = [fields] 68 | fields = [field for field in fields if field in bar_data.columns] 69 | 70 | return bar_data[fields].as_matrix() 71 | 72 | def available_data_range(self, frequency): 73 | return date(2005, 1, 1), date.today() - relativedelta(days=1) 74 | -------------------------------------------------------------------------------- /LICENSE: -------------------------------------------------------------------------------- 1 | Apache License 2 | Version 2.0, January 2004 3 | http://www.apache.org/licenses/ 4 | 5 | TERMS AND CONDITIONS FOR USE, REPRODUCTION, AND DISTRIBUTION 6 | 7 | 1. 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