# -*- coding: utf-8 -*-
# 版权所有 2019 深圳米筐科技有限公司（下称“米筐科技”）
#
# 除非遵守当前许可，否则不得使用本软件。
#
# * 非商业用途（非商业用途指个人出于非商业目的使用本软件，或者高校、研究所等非营利机构出于教育、科研等目的使用本软件）：
# 遵守 Apache License 2.0（下称“Apache 2.0 许可”），
# 您可以在以下位置获得 Apache 2.0 许可的副本：http://www.apache.org/licenses/LICENSE-2.0。
# 除非法律有要求或以书面形式达成协议，否则本软件分发时需保持当前许可“原样”不变，且不得附加任何条件。
#
# * 商业用途（商业用途指个人出于任何商业目的使用本软件，或者法人或其他组织出于任何目的使用本软件）：
# 未经米筐科技授权，任何个人不得出于任何商业目的使用本软件（包括但不限于向第三方提供、销售、出租、出借、转让本软件、
# 本软件的衍生产品、引用或借鉴了本软件功能或源代码的产品或服务），任何法人或其他组织不得出于任何目的使用本软件，
# 否则米筐科技有权追究相应的知识产权侵权责任。
# 在此前提下，对本软件的使用同样需要遵守 Apache 2.0 许可，Apache 2.0 许可与本许可冲突之处，以本许可为准。
# 详细的授权流程，请联系 public@ricequant.com 获取。
import six
from datetime import datetime
import numpy as np
from rqalpha.core.execution_context import ExecutionContext
from rqalpha.environment import Environment
from rqalpha.const import RUN_TYPE
from rqalpha.utils.datetime_func import convert_int_to_datetime
from rqalpha.utils.i18n import gettext as _
from rqalpha.utils.logger import system_log
from rqalpha.utils.exception import patch_user_exc
from rqalpha.utils.repr import PropertyReprMeta
from rqalpha.utils.class_helper import cached_property
from rqalpha.const import EXECUTION_PHASE
NAMES = ['open', 'close', 'low', 'high', 'settlement', 'limit_up', 'limit_down', 'volume', 'total_turnover',
'discount_rate', 'acc_net_value', 'unit_net_value', 'open_interest',
'basis_spread', 'prev_settlement', 'datetime']
NANDict = {i: np.nan for i in NAMES}
class PartialBarObject(metaclass=PropertyReprMeta):
# 用于 open_auction
__repr_properties__ = (
"order_book_id", "datetime", "open", "limit_up", "limit_down", "last"
)
def __init__(self, instrument, data, dt=None):
self._dt = dt
self._data = data if data is not None else NANDict
self._instrument = instrument
self._env = Environment.get_instance()
@cached_property
def datetime(self):
"""
[datetime.datetime] 时间戳
"""
if self._dt is not None:
return self._dt
dt = self._data["datetime"]
if isinstance(dt, datetime):
return dt
return convert_int_to_datetime(dt)
@cached_property
def instrument(self):
return self._instrument
@cached_property
def order_book_id(self):
"""
[str] 交易标的代码
"""
return self._instrument.order_book_id
@cached_property
def symbol(self):
"""
[str] 合约简称
"""
return self._instrument.symbol
@cached_property
def open(self):
"""
[float] 开盘价
"""
return self._data["open"]
@cached_property
def limit_up(self):
"""
[float] 涨停价
"""
try:
v = self._data['limit_up']
return v if v != 0 else np.nan
except (KeyError, ValueError):
return np.nan
@cached_property
def limit_down(self):
"""
[float] 跌停价
"""
try:
v = self._data['limit_down']
return v if v != 0 else np.nan
except (KeyError, ValueError):
return np.nan
@cached_property
def last(self):
"""
[float] 当前最新价
"""
return self._data["last"]
@cached_property
def volume(self):
"""
[float] 截止到当前的成交量
"""
return self._data["volume"]
@cached_property
def total_turnover(self):
"""
[float] 截止到当前的成交额
"""
return self._data['total_turnover']
@cached_property
def prev_close(self):
"""
[float] 昨日收盘价
"""
try:
return self._data['prev_close']
except (ValueError, KeyError):
return self._env.data_proxy.get_prev_close(self._instrument.order_book_id, self._env.trading_dt)
@cached_property
def prev_settlement(self):
"""
[float] 昨日结算价（期货专用）
"""
try:
return self._data['prev_settlement']
except (ValueError, KeyError):
return self._env.data_proxy.get_prev_settlement(self._instrument.order_book_id, self._env.trading_dt)
@cached_property
def isnan(self):
return np.isnan(self._data['close'])
[文档]class BarObject(PartialBarObject):
__repr_properties__ = (
"order_book_id", "datetime", "open", "close", "high", "low", "limit_up", "limit_down"
)
[文档] @cached_property
def close(self):
"""
[float] 收盘价
"""
return self._data["close"]
[文档] @cached_property
def low(self):
"""
[float] 最低价
"""
return self._data["low"]
[文档] @cached_property
def high(self):
"""
[float] 最高价
"""
return self._data["high"]
[文档] @cached_property
def last(self):
"""
[float] 当前最新价
"""
return self.close
@cached_property
def discount_rate(self):
return self._data['discount_rate']
@cached_property
def acc_net_value(self):
return self._data['acc_net_value']
@cached_property
def unit_net_value(self):
return self._data['unit_net_value']
INDEX_MAP = {
'IF': '000300.XSHG',
'IH': '000016.XSHG',
'IC': '000905.XSHG',
}
@cached_property
def basis_spread(self):
try:
return self._data['basis_spread']
except (ValueError, KeyError):
if self._instrument.type != 'Future' or Environment.get_instance().config.base.run_type != RUN_TYPE.PAPER_TRADING:
raise
if self._instrument.underlying_symbol in ['IH', 'IC', 'IF']:
order_book_id = self.INDEX_MAP[self._instrument.underlying_symbol]
bar = Environment.get_instance().data_proxy.get_bar(order_book_id, None, '1m')
return self.close - bar.close
else:
return np.nan
[文档] @cached_property
def settlement(self):
"""
[float] 结算价（期货专用）
"""
return self._data['settlement']
[文档] @cached_property
def open_interest(self):
"""
[float] 截止到当前的持仓量（期货专用）
"""
return self._data['open_interest']
[文档] @cached_property
def is_trading(self):
"""
[bool] 是否有成交量
"""
return self._data['volume'] > 0
@cached_property
def isnan(self):
return np.isnan(self._data['close'])
@cached_property
def suspended(self):
if self.isnan:
return True
return Environment.get_instance().data_proxy.is_suspended(self._instrument.order_book_id, int(self._data['datetime'] // 1000000))
def mavg(self, intervals, frequency='1d'):
if frequency == 'day':
frequency = '1d'
if frequency == 'minute':
frequency = '1m'
# copy form history
env = Environment.get_instance()
dt = env.calendar_dt
if (env.config.base.frequency == '1m' and frequency == '1d') or ExecutionContext.phase() == EXECUTION_PHASE.BEFORE_TRADING:
# 在分钟回测获取日线数据, 应该推前一天
dt = env.data_proxy.get_previous_trading_date(env.calendar_dt.date())
bars = env.data_proxy.fast_history(self._instrument.order_book_id, intervals, frequency, 'close', dt)
return bars.mean()
def vwap(self, intervals, frequency='1d'):
if frequency == 'day':
frequency = '1d'
if frequency == 'minute':
frequency = '1m'
# copy form history
env = Environment.get_instance()
dt = env.calendar_dt
if (env.config.base.frequency == '1m' and frequency == '1d') or ExecutionContext.phase() == EXECUTION_PHASE.BEFORE_TRADING:
# 在分钟回测获取日线数据, 应该推前一天
dt = env.data_proxy.get_previous_trading_date(env.calendar_dt.date())
bars = env.data_proxy.fast_history(self._instrument.order_book_id, intervals, frequency, ['close', 'volume'], dt)
sum = bars['volume'].sum()
if sum == 0:
# 全部停牌
return 0
return np.dot(bars['close'], bars['volume']) / sum
def __repr__(self):
base = [
('symbol', repr(self._instrument.symbol)),
('order_book_id', repr(self._instrument.order_book_id)),
('datetime', repr(self.datetime)),
]
if self.isnan:
base.append(('error', repr('DATA UNAVAILABLE')))
return 'Bar({0})'.format(', '.join('{0}: {1}'.format(k, v) for k, v in base) + ' NaN BAR')
if isinstance(self._data, dict):
# in pt
base.extend((k, v) for k, v in self._data.items() if k != 'datetime')
else:
base.extend((n, self._data[n]) for n in self._data.dtype.names if n != 'datetime')
return "Bar({0})".format(', '.join('{0}: {1}'.format(k, v) for k, v in base))
def __getitem__(self, key):
return self.__dict__[key]
def __getattr__(self, item):
try:
value = self._data[item]
except KeyError:
raise AttributeError("'{}' object has no attribute '{}'".format(self.__class__.__name__, item))
else:
if isinstance(value, bytes):
return value.decode("utf-8")
return value
class BarMap(object):
def __init__(self, data_proxy, frequency):
self._dt = None
self._data_proxy = data_proxy
self._frequency = frequency
self._cache = {}
def update_dt(self, dt):
self._dt = dt
self._cache.clear()
def items(self):
return ((o, self.__getitem__(o)) for o in Environment.get_instance().get_universe())
def keys(self):
return (o for o in Environment.get_instance().get_universe())
def values(self):
return (self.__getitem__(o) for o in Environment.get_instance().get_universe())
def __contains__(self, o):
return o in Environment.get_instance().get_universe()
def __len__(self):
return len(Environment.get_instance().get_universe())
def __getitem__(self, key):
if not isinstance(key, six.string_types):
raise patch_user_exc(ValueError('invalid key {} (use order_book_id please)'.format(key)))
instrument = self._data_proxy.instrument(key)
if instrument is None:
raise patch_user_exc(ValueError('invalid order book id or symbol: {}'.format(key)))
order_book_id = instrument.order_book_id
try:
return self._cache[order_book_id]
except KeyError:
try:
if not self._dt:
return BarObject(instrument, NANDict, self._dt)
if ExecutionContext.phase() == EXECUTION_PHASE.OPEN_AUCTION:
bar = self._data_proxy.get_open_auction_bar(order_book_id, self._dt)
else:
bar = self._data_proxy.get_bar(order_book_id, self._dt, self._frequency)
except PermissionError:
raise
except Exception as e:
system_log.exception(e)
raise patch_user_exc(KeyError(_(u"id_or_symbols {} does not exist").format(key)))
if bar is None:
return BarObject(instrument, NANDict, self._dt)
else:
self._cache[order_book_id] = bar
return bar
@cached_property
def dt(self):
return self._dt
def __repr__(self):
keys = list(self.keys())
s = ', '.join(keys[:10]) + (' ...' if len(keys) > 10 else '')
return "{}({})".format(type(self).__name__, s)