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Copy pathdata_context.py
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213 lines (176 loc) · 7.38 KB
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# -*- coding: utf-8 -*-
import datetime
import six
from collections import namedtuple
from quantdigger.engine.series import NumberSeries, DateTimeSeries, SeriesBase
from quantdigger.technicals.base import TechnicalBase
from quantdigger.util import log
from quantdigger.datastruct import Bar, PContract
PContractData = namedtuple("PContractData", "s_pcontract original derived")
class DataRef(object):
"""
"""
def __init__(self, data: "Dict((strpcon, DataFrame))"):
self._all_pcontract_data = {}
self._pcontract_data = None
self.ticks = {} # Contract -> float
self.bars = {} # Contract -> Bar
self._tranform_data(data)
self.default_pcontract: str = None
@property
def original(self):
return self._pcontract_data.original
@property
def derived(self):
return self._pcontract_data.derived
def get_technicals(self, s_pcontract: str):
return self.get_data(s_pcontract).derived.technicals
def get_data(self, s_pcontract: str):
return self._all_pcontract_data[s_pcontract]
def switch_to_default_pcontract(self):
self.switch_to_pcontract(self.default_pcontract)
def _tranform_data(self, data: "Dict((strpcon, DataFrame))"):
for s_pcontract, raw_data in six.iteritems(data):
original = OriginalData(PContract.from_string(s_pcontract),
raw_data)
derived = DerivedData()
pcontract_data = PContractData(s_pcontract, original, derived)
self._all_pcontract_data[s_pcontract] = pcontract_data
# PContract -- 'IF000.SHEF-10.Minutes'
# 简化策略用户的合约输入。
symbol_exchange = s_pcontract.split('-')[0]
same_contracts = list(filter(
lambda x: x.startswith(symbol_exchange), data.keys()))
if len(same_contracts) == 1:
self._all_pcontract_data[symbol_exchange] = pcontract_data
symbol = s_pcontract.split('.')[0]
num_same_contract = list(filter(
lambda x: x.startswith(symbol), data.keys()))
if len(same_contracts) == 1:
self._all_pcontract_data[symbol] = pcontract_data
def switch_to_pcontract(self, s_pcontract):
self._pcontract_data = self._all_pcontract_data[s_pcontract]
def datetime_aligned(self, context_dt):
return (self.original.datetime[0] <= context_dt and
self.original.next_datetime <= context_dt)
def rolling_forward(self, context_dt_update_func):
if self.original.has_pending_data:
context_dt_update_func(self.original.next_datetime)
return True
hasnext, data = self.original.rolling_forward()
if not hasnext:
return False
context_dt_update_func(self.original.next_datetime)
return True
def update_derived_vars(self):
""" 更新用户在策略中定义的变量, 如指标等。 """
self.derived.update_vars(self.original._curbar)
def update_original_vars(self):
""" 更新用户在策略中定义的变量, 如指标等。 """
original = self.original
original.update_vars()
self.ticks[original.contract] = original.close[0]
self.bars[original.contract] = original.bar
oldbar = self.bars.setdefault(original.contract, original.bar)
if original.bar.datetime > oldbar.datetime:
# 处理不同周期时间滞后
self.bars[original.contract] = original.bar
def add_item(self, name, value):
self.derived.add_item(name, value)
class RollingHelper(object):
""" 数据源包装器，使相关数据源支持逐步读取操作 """
def __init__(self, max_length):
self.curbar = -1
self._max_length = max_length
def __len__(self):
return self._max_length
def rolling_forward(self):
""" 读取下一个数据"""
self.curbar += 1
if self.curbar == self._max_length:
self.curbar -= 1
return False, self.curbar
else:
return True, self.curbar
class OriginalData(object):
""" A DataContext expose data should be visited by multiple strategie.
which including bars of specific PContract.
"""
def __init__(self, pcontract, raw_data):
self.open = NumberSeries(raw_data.open.values, 'open')
self.close = NumberSeries(raw_data.close.values, 'close')
self.high = NumberSeries(raw_data.high.values, 'high')
self.low = NumberSeries(raw_data.low.values, 'low')
self.volume = NumberSeries(raw_data.volume.values, 'volume')
self.datetime = DateTimeSeries(raw_data.index, 'datetime')
self.bar = Bar(None, None, None, None, None, None)
self.has_pending_data = False
self.next_datetime = datetime.datetime(2100, 1, 1)
self.size = len(raw_data.close)
self.pcontract = pcontract
self._curbar = -1
self._helper = RollingHelper(len(raw_data))
self._raw_data = raw_data
@property
def raw_data(self):
return self._helper.data
@property
def curbar(self):
return self._curbar + 1
@property
def contract(self):
return self.pcontract.contract
def update_vars(self):
self._curbar = self._next_bar
self.open.update_curbar(self._curbar)
self.close.update_curbar(self._curbar)
self.high.update_curbar(self._curbar)
self.low.update_curbar(self._curbar)
self.volume.update_curbar(self._curbar)
self.datetime.update_curbar(self._curbar)
self.bar = Bar(self.datetime[0], self.open[0], self.close[0],
self.high[0], self.low[0], self.volume[0])
def rolling_forward(self):
""" Retrieve data of next step """
self.has_pending_data, self._next_bar = self._helper.rolling_forward()
if not self.has_pending_data:
return False, None
self.next_datetime = self._raw_data.index[self._next_bar]
if self.datetime[0] >= self.next_datetime and self.curbar != 0:
log.error('合约[%s] 数据时间逆序或冗余' % self.pcontract)
raise
return True, self.has_pending_data
def __len__(self):
return len(self._helper)
class DerivedData(object):
def __init__(self):
self._series = {}
self._technicals = {}
self._all_vars = {}
@property
def technicals(self):
return self._technicals
def __getattr__(self, name):
if name in ["_series", "_technicals", "_all_vars"]:
return self.__getattribute__(name)
else:
return self._all_vars[name]
def add_item(self, name, value):
if name in self._all_vars:
log.warning("Atrribute [{0}] exist!".format(name))
self._all_vars[name] = value
if isinstance(value, SeriesBase):
self._series[name] = value
elif isinstance(value, TechnicalBase):
self._technicals[name] = value
def update_vars(self, curbar):
for s in self._series.values():
s.update_curbar(curbar)
s.duplicate_last_element()
for tec in self._technicals.values():
if tec.is_multiple:
for s in tec.series.values():
s.update_curbar(curbar)
else:
for s in tec.series:
s.update_curbar(curbar)