rqalpha.model.bar 源代码

# -*- coding: utf-8 -*-
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import six
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"
    )

    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
        return convert_int_to_datetime(self._data['datetime'])

    @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
        """
        try:
            return self._data["last"]
        except KeyError:
            return self.open

    @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.instruments(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)