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# encoding: UTF-8
"""
包含一些为CTA因子提供数据的函数
"""
import json
import ctaBase
import pymongo
import pandas as pd
from ctaBase import *
from datetime import datetime
MAX_NUMBER = 10000000000000
MAX_DECIMAL = 4
#----------------------------------------------------------------------
def todayDate():
"""获取当前本机电脑时间的日期"""
return datetime.now().replace(hour=0, minute=0, second=0, microsecond=0)
#---------------------------------------------------------------------------------------
def getDbByMode(mode):
"""获取合约信息"""
with open("./json/DATA_setting.json") as f:
for setting in json.load(f):
mode0 = setting[u'mode']
if mode == mode0:
return setting[u'dbname']
return "VnTrader_1Min_Db"
#----------------------------------------------------------------------
def loadMongoSetting(path=""):
"""载入MongoDB数据库的配置"""
try:
f = file(path+"VT_setting.json")
setting = json.load(f)
host = setting['mongoHost']
port = setting['mongoPort']
except:
host = 'localhost'
port = 27017
return host, port
#----------------------------------------------------------------------
def loadStrategyData(dbName, name, start="20151001", end="",
fields=['date','pnl'],pdformat=True):
"""载入历史数据"""
dataEndDate = None
if 'date' not in fields:
fields.insert(0,'date')
host, port = loadMongoSetting()
dbClient = pymongo.MongoClient(host, port, socketKeepAlive=True)
collection = dbClient[dbName][name]
if len(start) == 8:
dataStartDate = datetime.strptime(start, '%Y%m%d')
else:
dataStartDate = datetime.strptime(start, '%Y%m%d %H:%M:%S')
if len(end) == 8:
dataEndDate = datetime.strptime(end, '%Y%m%d')
elif len(end) > 0:
dataEndDate = datetime.strptime(end, '%Y%m%d %H:%M:%S')
# 载入回测数据
if not dataEndDate:
flt = {'date':{'$gte':dataStartDate}} # 数据过滤条件
else:
flt = {'date':{'$gte':dataStartDate,
'$lte':dataEndDate}}
dbCursor = collection.find(flt,no_cursor_timeout=True).batch_size(1000)
if not pdformat:
return dbCursor
datas = pd.DataFrame([data for data in\
dbCursor],columns=fields,index=range(0,dbCursor.count()))
return datas
#----------------------------------------------------------------------
def loadHistoryData(dbName, symbol, start="20151001", end="",
fields=['datetime','lastPrice'],pdformat=True):
"""载入历史数据"""
# 获得数据库
host, port = loadMongoSetting()
dbClient = pymongo.MongoClient(host, port, socketKeepAlive=True)
collection = dbClient[dbName][symbol]
# 确定过滤条件
dayFmt = '%Y%m%d'
minFmt = '%Y%m%d %H:%M:%S'
dataStartDate = datetime.strptime(start,dayFmt) if len(start) == 8 else datetime.strptime(start,minFmt)
dataEndDate = datetime.strptime(end,dayFmt) if len(end) == 8 else datetime.strptime(end,minFmt) if len(end)>0 else None
flt = {'datetime':{'$gte':dataStartDate}} if not dataEndDate else {'datetime':{'$gte':dataStartDate,'$lte':dataEndDate}}
# 数据库指针
dbCursor = collection.find(flt,no_cursor_timeout=True).batch_size(1000)
if not pdformat:
return dbCursor
if 'datetime' not in fields:
fields.insert(0,'datetime')
allDatas = [data for data in dbCursor]
# 对于某些字段不统一的宏观数据，需要特殊处理
if len(fields)==1:
fields = set([])
for d in allDatas:
fields = fields|set(d.keys())
fields.remove('_id')
fields = [str(f) for f in fields]
datas = pd.DataFrame(allDatas,columns=fields,index=range(0,dbCursor.count()))
datas = datas.set_index('datetime')
return datas
#----------------------------------------------------------------------
def loadHistoryBarByTick(dbName, symbol, start="20151001", end="",
fields=['datetime','open', 'high', 'low', 'close'],nMin=1,pSecond=59,pdformat=True,mode='t'):
"""载入历史数据"""
dbCursor = loadHistoryData(dbName,symbol,start,end,pdformat=False)
bars = [b for b in tick2vbars(dbCursor,nMin)] if mode=='v'\
else [b for b in tick2bars(dbCursor,nMin,pSecond)]
if not pdformat:
return bars
if 'datetime' not in fields:
fields.insert(0,'datetime')
datas = pd.DataFrame([d.__dict__ for d in bars],columns=fields)
datas = datas.set_index('datetime')
return datas
#----------------------------------------------------------------------
def tick2bars(tickers, nMin=1, pSecond=59):
"""tick数据转换为bar数据"""
bar = None
barMinute = 0
for tick_dict in tickers:
# 计算K线
tick = ctaBase.CtaTickData()
tick.__dict__ = tickers.next()
tickMinute,tickSecond = tick.datetime.minute,tick.datetime.second
if tickSecond == pSecond:
tickMinute+=1
if not bar or int(tickMinute/nMin) != int(barMinute/nMin):
if bar:
bar.datetime = tick.datetime
bar.high = max(bar.high, tick.lastPrice)
bar.low = min(bar.low, tick.lastPrice)
bar.close = tick.lastPrice
if tick.volume > bar.volume and bar.volume > 0:
bar.openInterest = tick.openInterest - bar.openInterest
bar.volume = tick.volume - bar.volume
bar.turnover = tick.turnover - bar.turnover
else:
bar.openInterest = 0
bar.volume = 0
bar.turnover = 0
yield bar
bar = ctaBase.CtaBarData()
bar.vtSymbol = tick.vtSymbol
bar.symbol = tick.symbol
bar.exchange = tick.exchange
bar.open = tick.lastPrice
bar.high = tick.lastPrice
bar.low = tick.lastPrice
bar.close = tick.lastPrice
bar.volume = tick.volume
bar.turnover = tick.turnover
bar.date = tick.date
bar.time = tick.time
bar.datetime = tick.datetime
barMinute = tickMinute
bar.openInterest = tick.openInterest
else:
bar.high = max(bar.high, tick.lastPrice)
bar.low = min(bar.low, tick.lastPrice)
bar.close = tick.lastPrice
#----------------------------------------------------------------------
def tick2vbars(tickers, nMin=10000, size=1):
"""tick数据转换为等成交bar数据"""
bar = None
barVolume = 0
lasttick = None
sumvOnAskmBid = 0
sumvolume = 0
for tick_dict in tickers:
# 计算K线
tick = ctaBase.CtaTickData()
tick.__dict__ = tickers.next()
tickVolume = tick.volume
if tickVolume < barVolume or (lasttick and tickVolume < lasttick.volume):
barVolume = 0
bar = None
askPrice = tick.askPrice1
bidPrice = tick.bidPrice1
if lasttick:
turnover = tick.turnover-lasttick.turnover
volume = tick.volume-lasttick.volume
else:
turnover = tick.turnover
volume = tick.volume
if volume == 0:
aprice = 0
else:
aprice = turnover/volume/size
vOnAskmBid = (2*aprice - askPrice - bidPrice)/(askPrice-bidPrice)*volume
sumvOnAskmBid += vOnAskmBid
sumvolume += volume
lasttick = tick
if not bar or int(tickVolume/nMin) != int(barVolume/nMin):
if bar:
bar.datetime = tick.datetime
bar.high = max(bar.high, tick.lastPrice)
bar.low = min(bar.low, tick.lastPrice)
bar.close = tick.lastPrice
bar.openInterest = tick.openInterest - bar.openInterest
bar.volume = tick.volume - bar.volume
bar.turnover = tick.turnover - bar.turnover
if sumvolume != 0:
bar.vpin = sumvOnAskmBid/sumvolume
else:
bar.vpin = 0
sumvOnAskmBid = 0
sumvolume = 0
yield bar
bar = ctaBase.CtaBarData()
bar.vtSymbol = tick.vtSymbol
bar.symbol = tick.symbol
bar.exchange = tick.exchange
bar.open = tick.lastPrice
bar.high = tick.lastPrice
bar.low = tick.lastPrice
bar.close = tick.lastPrice
bar.openInterest = tick.openInterest
bar.volume = tick.volume
bar.turnover = tick.turnover
bar.date = tick.date
bar.time = tick.time
bar.datetime = tick.datetime # K线的时间设为第一个Tick的时间
barVolume = tickVolume # 更新当前的分钟
else: # 否则继续累加新的K线
bar.high = max(bar.high, tick.lastPrice)
bar.low = min(bar.low, tick.lastPrice)
bar.close = tick.lastPrice