# -*- coding: utf-8 -*-
"""
author: zengbin93
email: zeng_bin8888@163.com
create_dt: 2021/11/17 22:11
describe: 配合 CzscAdvancedTrader 进行使用的掘金工具
"""
import os
import dill
import czsc
import pandas as pd
from loguru import logger
try:
from gm.api import *
except:
logger.warning(f"gm 模块没有安装")
from datetime import datetime, timedelta
from collections import OrderedDict
from typing import List, Callable
from czsc import CzscAdvancedTrader, create_advanced_trader
from czsc.data import freq_cn2gm
from czsc.utils import qywx as wx
from czsc.utils import BarGenerator
from czsc.objects import RawBar, Freq
dt_fmt = "%Y-%m-%d %H:%M:%S"
date_fmt = "%Y-%m-%d"
assert czsc.__version__ >= "0.8.29"
[docs]def set_gm_token(token):
with open(os.path.join(os.path.expanduser("~"), "gm_token.txt"), 'w', encoding='utf-8') as f:
f.write(token)
file_token = os.path.join(os.path.expanduser("~"), "gm_token.txt")
if not os.path.exists(file_token):
print("{} 文件不存在，请单独启动一个 python 终端，调用 set_gm_token 方法创建该文件，再重新执行。".format(file_token))
else:
gm_token = open(file_token, encoding="utf-8").read()
set_token(gm_token)
[docs]def is_trade_date(dt):
"""判断 dt 时刻是不是交易日期"""
dt = pd.to_datetime(dt)
date_ = dt.strftime("%Y-%m-%d")
trade_dates = get_trading_dates(exchange='SZSE', start_date=date_, end_date=date_)
if trade_dates:
return True
else:
return False
[docs]def is_trade_time(dt):
"""判断 dt 时刻是不是交易时间"""
dt = pd.to_datetime(dt)
date_ = dt.strftime("%Y-%m-%d")
trade_dates = get_trading_dates(exchange='SZSE', start_date=date_, end_date=date_)
if trade_dates and "15:00" > dt.strftime("%H:%M") > "09:30":
return True
else:
return False
[docs]def get_symbol_names():
"""获取股票市场标的列表，包括股票、指数等"""
df = get_instruments(exchanges='SZSE,SHSE', fields="symbol,sec_name", df=True)
shares = {row['symbol']: row['sec_name'] for _, row in df.iterrows()}
return shares
[docs]def get_kline(symbol, end_time, freq='60s', count=33000, adjust=ADJUST_PREV):
"""获取K线数据
:param symbol: 标的代码
:param end_time: 结束时间
:param freq: K线周期
:param count: K线数量
:param adjust: 复权方式
:return:
"""
if isinstance(end_time, datetime):
end_time = end_time.strftime(dt_fmt)
exchange = symbol.split(".")[0]
freq_map_ = {'60s': Freq.F1, '300s': Freq.F5, '900s': Freq.F15, '1800s': Freq.F30,
'3600s': Freq.F60, '1d': Freq.D}
if exchange in ["SZSE", "SHSE"]:
df = history_n(symbol=symbol, frequency=freq, end_time=end_time, adjust=adjust,
fields='symbol,eob,open,close,high,low,volume,amount', count=count, df=True)
else:
df = history_n(symbol=symbol, frequency=freq, end_time=end_time, adjust=adjust,
fields='symbol,eob,open,close,high,low,volume,amount,position', count=count, df=True)
return format_kline(df, freq_map_[freq])
[docs]def get_init_bg(symbol: str,
end_dt: [str, datetime],
base_freq: str,
freqs: List[str],
max_count=1000,
adjust=ADJUST_PREV):
"""获取 symbol 的初始化 bar generator"""
if isinstance(end_dt, str):
end_dt = pd.to_datetime(end_dt, utc=True)
end_dt = end_dt.tz_convert('dateutil/PRC')
# 时区转换之后，要减去8个小时才是设置的时间
end_dt = end_dt - timedelta(hours=8)
else:
assert end_dt.tzinfo._filename == 'PRC'
delta_days = 180
last_day = (end_dt - timedelta(days=delta_days)).replace(hour=16, minute=0)
bg = BarGenerator(base_freq, freqs, max_count)
if "周线" in freqs or "月线" in freqs:
d_bars = get_kline(symbol, last_day, freq_cn2gm["日线"], count=5000, adjust=adjust)
bgd = BarGenerator("日线", ['周线', '月线', '季线', '年线'])
for b in d_bars:
bgd.update(b)
else:
bgd = None
for freq in bg.bars.keys():
if freq in ['周线', '月线', '季线', '年线']:
bars_ = bgd.bars[freq]
else:
bars_ = get_kline(symbol, last_day, freq_cn2gm[freq], max_count, adjust)
bg.init_freq_bars(freq, bars_)
print(f"{symbol} - {freq} - {len(bg.bars[freq])} - last_dt: {bg.bars[freq][-1].dt} - last_day: {last_day}")
bars2 = get_kline(symbol, end_dt, freq_cn2gm[base_freq],
count=int(240 / int(base_freq.strip('分钟')) * delta_days))
data = [x for x in bars2 if x.dt > last_day]
assert len(data) > 0
print(f"{symbol}: bar generator 最新时间 {bg.bars[base_freq][-1].dt.strftime(dt_fmt)}，还有{len(data)}行数据需要update")
return bg, data
order_side_map = {OrderSide_Unknown: '其他', OrderSide_Buy: '买入', OrderSide_Sell: '卖出'}
order_status_map = {
OrderStatus_Unknown: "其他",
OrderStatus_New: "已报",
OrderStatus_PartiallyFilled: "部成",
OrderStatus_Filled: "已成",
OrderStatus_Canceled: "已撤",
OrderStatus_PendingCancel: "待撤",
OrderStatus_Rejected: "已拒绝",
OrderStatus_Suspended: "挂起（无效）",
OrderStatus_PendingNew: "待报",
OrderStatus_Expired: "已过期",
}
pos_side_map = {PositionSide_Unknown: '其他', PositionSide_Long: '多头', PositionSide_Short: '空头'}
pos_effect_map = {
PositionEffect_Unknown: '其他',
PositionEffect_Open: '开仓',
PositionEffect_Close: '平仓',
PositionEffect_CloseToday: '平今仓',
PositionEffect_CloseYesterday: '平昨仓',
}
exec_type_map = {
ExecType_Unknown: "其他",
ExecType_New: "已报",
ExecType_Canceled: "已撤销",
ExecType_PendingCancel: "待撤销",
ExecType_Rejected: "已拒绝",
ExecType_Suspended: "挂起",
ExecType_PendingNew: "待报",
ExecType_Expired: "过期",
ExecType_Trade: "成交(有效)",
ExecType_OrderStatus: "委托状态",
ExecType_CancelRejected: "撤单被拒绝(有效)",
}
[docs]def on_order_status(context, order):
"""
https://www.myquant.cn/docs/python/python_object_trade#007ae8f5c7ec5298
:param context:
:param order:
:return:
"""
if not is_trade_time(context.now):
return
symbol = order.symbol
latest_dt = context.now.strftime("%Y-%m-%d %H:%M:%S")
if symbol not in context.symbols_info.keys():
msg = f"订单状态更新通知：\n{'*' * 31}\n" \
f"更新时间：{latest_dt}\n" \
f"标的名称：{symbol} {context.stocks.get(symbol, '无名')}\n" \
f"操作类型：{order_side_map[order.side]}{pos_effect_map[order.position_effect]}\n" \
f"操作描述：非机器交易标的\n" \
f"下单价格：{round(order.price, 2)}\n" \
f"最新状态：{order_status_map[order.status]}\n" \
f"委托（股）：{int(order.volume)}\n" \
f"已成（股）：{int(order.filled_volume)}\n" \
f"均价（元）：{round(order.filled_vwap, 2)}"
else:
trader: CzscAdvancedTrader = context.symbols_info[symbol]['trader']
if trader.long_pos.operates:
last_op_desc = trader.long_pos.operates[-1]['op_desc']
else:
last_op_desc = ""
msg = f"订单状态更新通知：\n{'*' * 31}\n" \
f"更新时间：{latest_dt}\n" \
f"标的名称：{symbol} {context.stocks.get(symbol, '无名')}\n" \
f"操作类型：{order_side_map[order.side]}{pos_effect_map[order.position_effect]}\n" \
f"操作描述：{last_op_desc}\n" \
f"下单价格：{round(order.price, 2)}\n" \
f"最新状态：{order_status_map[order.status]}\n" \
f"委托（股）：{int(order.volume)}\n" \
f"已成（股）：{int(order.filled_volume)}\n" \
f"均价（元）：{round(order.filled_vwap, 2)}"
logger.info(msg.replace("\n", " - ").replace('*', ""))
if context.mode != MODE_BACKTEST and order.status in [1, 3, 5, 8, 9, 12]:
wx.push_text(content=str(msg), key=context.wx_key)
[docs]def on_execution_report(context, execrpt):
"""响应委托被执行事件，委托成交或者撤单拒绝后被触发。
https://www.myquant.cn/docs/python/python_trade_event#on_execution_report%20-%20%E5%A7%94%E6%89%98%E6%89%A7%E8%A1%8C%E5%9B%9E%E6%8A%A5%E4%BA%8B%E4%BB%B6
https://www.myquant.cn/docs/python/python_object_trade#ExecRpt%20-%20%E5%9B%9E%E6%8A%A5%E5%AF%B9%E8%B1%A1
:param context:
:param execrpt:
:return:
"""
if not is_trade_time(context.now):
return
latest_dt = context.now.strftime(dt_fmt)
msg = f"委托订单被执行通知：\n{'*' * 31}\n" \
f"时间：{latest_dt}\n" \
f"标的：{execrpt.symbol}\n" \
f"名称：{context.stocks.get(execrpt.symbol, '无名')}\n" \
f"方向：{order_side_map[execrpt.side]}{pos_effect_map[execrpt.position_effect]}\n" \
f"成交量：{int(execrpt.volume)}\n" \
f"成交价：{round(execrpt.price, 2)}\n" \
f"执行回报类型：{exec_type_map[execrpt.exec_type]}"
logger.info(msg.replace("\n", " - ").replace('*', ""))
if context.mode != MODE_BACKTEST and execrpt.exec_type in [1, 5, 6, 8, 12, 19]:
wx.push_text(content=str(msg), key=context.wx_key)
[docs]def on_backtest_finished(context, indicator):
"""回测结束回调函数
:param context:
:param indicator:
https://www.myquant.cn/docs/python/python_object_trade#bd7f5adf22081af5
:return:
"""
wx_key = context.wx_key
symbols = context.symbols
data_path = context.data_path
logger.info(str(indicator))
logger.info("回测结束 ... ")
cash = context.account().cash
for k, v in indicator.items():
if isinstance(v, float):
indicator[k] = round(v, 4)
row = OrderedDict({
"标的数量": len(context.symbols_info.keys()),
"开始时间": context.backtest_start_time,
"结束时间": context.backtest_end_time,
"累计收益": indicator['pnl_ratio'],
"最大回撤": indicator['max_drawdown'],
"年化收益": indicator['pnl_ratio_annual'],
"夏普比率": indicator['sharp_ratio'],
"盈利次数": indicator['win_count'],
"亏损次数": indicator['lose_count'],
"交易胜率": indicator['win_ratio'],
"累计出入金": int(cash['cum_inout']),
"累计交易额": int(cash['cum_trade']),
"累计手续费": int(cash['cum_commission']),
"累计平仓收益": int(cash['cum_pnl']),
"净收益": int(cash['pnl']),
})
sdt = pd.to_datetime(context.backtest_start_time).strftime('%Y%m%d')
edt = pd.to_datetime(context.backtest_end_time).strftime('%Y%m%d')
file_xlsx = os.path.join(data_path, f'{context.name}_{sdt}_{edt}.xlsx')
file = pd.ExcelWriter(file_xlsx, mode='w')
dfe = pd.DataFrame({"指标": list(row.keys()), "值": list(row.values())})
dfe.to_excel(file, sheet_name='回测表现', index=False)
logger.info("回测结果：{}".format(row))
content = ""
for k, v in row.items():
content += "{}: {}\n".format(k, v)
wx.push_text(content=content, key=wx_key)
trades = []
operates = []
performances = []
for symbol in symbols:
trader: CzscAdvancedTrader = context.symbols_info[symbol]['trader']
trades.extend(trader.long_pos.pairs)
operates.extend(trader.long_pos.operates)
performances.append(trader.long_pos.evaluate_operates())
df = pd.DataFrame(trades)
df['开仓时间'] = df['开仓时间'].apply(lambda x: x.strftime("%Y-%m-%d %H:%M"))
df['平仓时间'] = df['平仓时间'].apply(lambda x: x.strftime("%Y-%m-%d %H:%M"))
df.to_excel(file, sheet_name='交易汇总', index=False)
dfo = pd.DataFrame(operates)
dfo['dt'] = dfo['dt'].apply(lambda x: x.strftime("%Y-%m-%d %H:%M"))
dfo.to_excel(file, sheet_name='操作汇总', index=False)
dfp = pd.DataFrame(performances)
dfp.to_excel(file, sheet_name='表现汇总', index=False)
file.close()
wx.push_file(file_xlsx, wx_key)
[docs]def on_error(context, code, info):
if not is_trade_time(context.now):
return
msg = "{} - {}".format(code, info)
logger.warning(msg)
if context.mode != MODE_BACKTEST:
wx.push_text(content=msg, key=context.wx_key)
[docs]def on_account_status(context, account):
"""响应交易账户状态更新事件，交易账户状态变化时被触发
https://www.myquant.cn/docs/python/python_trade_event#4f07d24fc4314e3c
"""
status = account['status']
if status['state'] == 3:
return
if not is_trade_time(context.now):
return
msg = f"{str(account)}"
logger.warning(msg)
if context.mode != MODE_BACKTEST:
wx.push_text(content=msg, key=context.wx_key)
[docs]def is_order_exist(context, symbol, side) -> bool:
"""判断同方向订单是否已经存在
:param context:
:param symbol: 交易标的
:param side: 交易方向
:return: bool
"""
uo = context.unfinished_orders
if not uo:
return False
else:
for o in uo:
if o.symbol == symbol and o.side == side:
context.logger.info("同类型订单已存在：{} - {}".format(symbol, side))
return True
return False
[docs]def cancel_timeout_orders(context, max_m=30):
"""实盘仿真，撤销挂单时间超过 max_m 分钟的订单。
:param context:
:param max_m: 最大允许挂单分钟数
:return:
"""
for u_order in context.unfinished_orders:
if context.now - u_order.created_at >= timedelta(minutes=max_m):
order_cancel(u_order)
[docs]def gm_take_snapshot(gm_symbol, end_dt=None, file_html=None,
freqs=('1分钟', '5分钟', '15分钟', '30分钟', '60分钟', '日线', '周线', '月线'),
adjust=ADJUST_PREV, max_count=1000):
"""使用掘金的数据对任意标的、任意时刻的状态进行快照
:param gm_symbol:
:param end_dt:
:param file_html:
:param freqs:
:param adjust:
:param max_count:
:return:
"""
if not end_dt:
end_dt = datetime.now().strftime(dt_fmt)
bg, data = get_init_bg(gm_symbol, end_dt, freqs[0], freqs[1:], max_count, adjust)
ct = CzscAdvancedTrader(bg)
for bar in data:
ct.update(bar)
if file_html:
ct.take_snapshot(file_html)
print(f'saved into {file_html}')
else:
ct.open_in_browser()
return ct
[docs]def strategy_snapshot(symbol, strategy: Callable, end_dt=None, file_html=None, adjust=ADJUST_PREV, max_count=1000):
"""使用掘金的数据对任意标的、任意时刻的状态进行策略快照
:param symbol: 交易标的
:param strategy: 择时交易策略
:param end_dt: 结束时间，精确到分钟
:param file_html: 结果文件
:param adjust: 复权类型
:param max_count: 最大K线数量
:return: trader
"""
tactic = strategy(symbol)
base_freq = tactic['base_freq']
freqs = tactic['freqs']
bg, data = get_init_bg(symbol, end_dt, base_freq, freqs, max_count, adjust)
trader = create_advanced_trader(bg, data, strategy)
if file_html:
trader.take_snapshot(file_html)
print(f'saved into {file_html}')
else:
trader.open_in_browser()
return trader
[docs]def save_traders(context):
"""实盘：保存交易员快照"""
if context.now.isoweekday() > 5:
print(f"save_traders: {context.now} 不是交易时间")
return
for symbol in context.symbols_info.keys():
trader: CzscAdvancedTrader = context.symbols_info[symbol]['trader']
if context.mode != MODE_BACKTEST:
file_trader = os.path.join(context.data_path, f'traders/{symbol}.cat')
dill.dump(trader, open(file_trader, 'wb'))