回测界面的日期加入保存到json

.gitignore

@@ -30,4 +30,9 @@ dist
 # Documents
 _build
 _static
-_templates
+_templates
+
+bar_data/
+st/
+tick_data/
+renko_data/

README.md

@@ -1,9 +1,3 @@
-<p align="center">
-  <img src ="https://github.com/msincenselee/vnpy/blob/vnpy2/huafu_on_premise.jpg"/>
-  <img src ="https://gitee.com/vnpy2/vnpy/blob/vnpy2/huafu_on_premise.jpg"/>
-</p>
-
-
 # “当你想放弃时，想想你为什么开始。埃隆·马斯克”
 
 github 链接： https://github.com/msincenselee/vnpy
@@ -137,10 +131,9 @@ gitee  链接： https://gitee.com/vnpy2/vnpy
 
 
 
-大佳
-QQ/Wechat：28888502
+Kim
 
-2020最新套利课程：http://www.uquant.org/course/43
+QQ：27133
 
 --------------------------------------------------------------------------------------------
 #  原版 vn.py - 基于python的开源交易平台开发框架

prod/jobs/compress_binance_future.py

@@ -0,0 +1,31 @@
+import sys, os, copy, csv, signal, bz2, pickle
+from datetime import datetime
+import pandas as pd
+
+vnpy_root = os.path.abspath(os.path.join(os.path.dirname(__file__), '..', '..'))
+if vnpy_root not in sys.path:
+    sys.path.append(vnpy_root)
+
+if __name__ == "__main__":
+    tick_path = os.path.join(vnpy_root, "tick_data", "binance")
+    today = datetime.now().strftime('%Y%m%d')
+    for path,dir_list,file_list in os.walk(tick_path):
+        if today not in path:
+            dir_day = path.split(os.sep)[-1]
+            for file_name in file_list:
+                if "csv" in file_name:
+                    new_file_name = file_name.replace("_" + dir_day, "")
+                    new_file_name = new_file_name.replace("csv", "pkb2")
+                    old_file = os.path.join(path, file_name)
+                    tick_df = pd.read_csv(old_file)
+                    tick_df.set_index('datetime', inplace=True)
+                    tick_df.to_csv(os.path.join(path, file_name), compression="bz2")
+                    os.unlink(old_file)
+                # if "pkb2" in file_name:
+                #     with bz2.BZ2File(os.path.join(path, file_name), "rb") as f:
+                #         print(os.path.join(path, file_name))
+                #         data = pickle.load(f)
+                #         tick_df = pd.DataFrame(data)
+                #         tick_df.set_index('datetime', inplace=True)
+                #         tick_df.to_csv(os.path.join(path, file_name), compression="bz2")
+    print("压缩完成")

prod/jobs/refill_tdx_future_ticks.py

@@ -0,0 +1,67 @@
+# flake8: noqa
+"""
+下载通达信指数合约tick => vnpy项目目录/tick_data/tdx/
+"""
+import os
+import sys
+import json
+import csv
+from collections import OrderedDict
+import pandas as pd
+from datetime import datetime, timedelta, time
+from time import sleep
+
+vnpy_root = os.path.abspath(os.path.join(os.path.dirname(__file__), '..', '..'))
+if vnpy_root not in sys.path:
+    sys.path.append(vnpy_root)
+
+os.environ["VNPY_TESTING"] = "1"
+
+from vnpy.data.tdx.tdx_future_data import *
+from vnpy.trader.utility import get_csv_last_dt
+
+if __name__ == "__main__":
+
+    if len(sys.argv) > 1:
+        filter_underlying_symbols = [s.upper() for s in sys.argv[1:]]
+    else:
+        filter_underlying_symbols = []
+
+    # 保存的1分钟指数 bar目录
+    tick_data_folder = os.path.abspath(os.path.join(vnpy_root, 'tick_data', "tdx"))
+
+    # 开始日期（每年大概需要几分钟）
+    start_date = '20160101'
+
+    # 创建API对象
+    api_01 = TdxFutureData()
+
+    # 更新本地合约缓存信息
+    api_01.update_mi_contracts()
+
+    # 逐一指数合约下载并更新
+    for underlying_symbol in api_01.future_contracts.keys():
+        if len(filter_underlying_symbols) > 0 and underlying_symbol not in filter_underlying_symbols:
+            continue
+
+        index_symbol = underlying_symbol + '99'
+        print(f'开始更新:{index_symbol}')
+        start_dt = datetime.strptime(start_date, '%Y%m%d')
+        end_date = datetime.combine(datetime.now() + timedelta(days=1), time(16, 0))
+        print(start_dt, end_date)
+        i = 0
+        while start_dt < end_date:
+            api_01.get_history_transaction_data(index_symbol, start_dt, tick_data_folder)
+            start_dt = start_dt + timedelta(days=1)
+            if start_dt.weekday() == 5:
+                start_dt = start_dt + timedelta(days=1)
+            if start_dt.weekday() == 6:
+                start_dt = start_dt + timedelta(days=1)
+
+            i += 1
+            if i > 22:
+                i = 0
+                # sleep(30)
+            print(start_dt)
+    print('更新完毕')
+    os._exit(0)

prod/jobs/refill_tdx_stock_bars.py

@@ -3,6 +3,8 @@
 下载通达信股票合约1分钟bar => vnpy项目目录/bar_data/
 上海股票 => SSE子目录
 深圳股票 => SZSE子目录
+
+stock_list.json 需要下载的股票数据写于这里
 """
 import os
 import sys

prod/linux/tick_record/run.py

@@ -1,3 +1,4 @@
+# -*- coding: utf-8 -*
 import os
 import sys
 import multiprocessing
@@ -7,15 +8,16 @@
 
 
 # 将repostory的目录i，作为根目录，添加到系统环境中。
-ROOT_PATH = os.path.abspath(os.path.join(os.path.dirname(__file__), '..', '..', '..'))
-sys.path.append(ROOT_PATH)
-print(f'append {ROOT_PATH} into sys.path')
+VNPY_ROOT = os.path.abspath(os.path.join(os.path.dirname(__file__), '..', '..', '..'))
+if VNPY_ROOT not in sys.path:
+    sys.path.append(VNPY_ROOT)
+    print(f'append {VNPY_ROOT} into sys.path')
 
 from vnpy.event import EventEngine
 from vnpy.trader.setting import SETTINGS
 from vnpy.trader.engine import MainEngine
 from vnpy.trader.utility import load_json
-from vnpy.gateway.ctp import CtpGateway
+from vnpy.gateway.binancef import BinancefGateway
 from vnpy.app.tick_recorder import TickRecorderApp
 from vnpy.app.cta_strategy.base import EVENT_CTA_LOG
 
@@ -25,7 +27,7 @@
 SETTINGS["log.console"] = True
 
 
-ctp_setting = load_json('connect_ctp.json')
+binance_setting = load_json('connect_binancef.json')
 
 
 def run_child():
@@ -36,16 +38,16 @@ def run_child():
 
     event_engine = EventEngine()
     main_engine = MainEngine(event_engine)
-    main_engine.add_gateway(CtpGateway)
+    main_engine.add_gateway(BinancefGateway)
     main_engine.add_app(TickRecorderApp)
     main_engine.write_log("主引擎创建成功")
 
     log_engine = main_engine.get_engine("log")
     event_engine.register(EVENT_CTA_LOG, log_engine.process_log_event)
     main_engine.write_log("注册日志事件监听")
 
-    main_engine.connect(ctp_setting, "CTP")
-    main_engine.write_log("连接CTP接口")
+    main_engine.connect(binance_setting, "BINANCEF")
+    main_engine.write_log("连接币安接口")
 
     sleep(10)
 
@@ -57,28 +59,12 @@ def run_parent():
     """
     Running in the parent process.
     """
-    print("启动CTA策略守护父进程")
-
-    # Chinese futures market trading period (day/night)
-    DAY_START = time(8, 45)
-    DAY_END = time(15, 30)
-
-    NIGHT_START = time(20, 45)
-    NIGHT_END = time(2, 45)
+    print("启动行情记录守护父进程")
 
     child_process = None
 
     while True:
-        current_time = datetime.now().time()
-        trading = False
-
-        # Check whether in trading period
-        if (
-            (current_time >= DAY_START and current_time <= DAY_END)
-            or (current_time >= NIGHT_START)
-            or (current_time <= NIGHT_END)
-        ):
-            trading = True
+        trading = True
 
         # Start child process in trading period
         if trading and child_process is None:
@@ -87,14 +73,6 @@ def run_parent():
             child_process.start()
             print("子进程启动成功")
 
-        # 非记录时间则退出子进程
-        if not trading and child_process is not None:
-            print("关闭子进程")
-            child_process.terminate()
-            child_process.join()
-            child_process = None
-            print("子进程关闭成功")
-
         sleep(5)
 
 

vnpy/app/cta_backtester/ui/widget.py

@@ -241,6 +241,9 @@ def init_ui(self):
         self.size_line.setText(str(setting["size"]))
         self.pricetick_line.setText(str(setting["pricetick"]))
         self.capital_line.setText(str(setting["capital"]))
+        if setting['start']:
+            self.start_date_edit.setDate(datetime.strptime(setting['start'], "%Y-%m-%d"))
+            self.end_date_edit.setDate(datetime.strptime(setting['end'], "%Y-%m-%d"))
 
         if not setting["inverse"]:
             self.inverse_combo.setCurrentIndex(0)
@@ -319,6 +322,8 @@ def start_backtesting(self):
             "pricetick": pricetick,
             "capital": capital,
             "inverse": inverse,
+            "start": start.strftime("%Y-%m-%d"),
+            "end": end.strftime("%Y-%m-%d"),
         }
         save_json(self.setting_filename, backtesting_setting)