增加交易策略、交易指标、量化库代码等文件夹
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157
6.量化库代码/1.Akshare/akshare库使用脚本.ipynb
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157
6.量化库代码/1.Akshare/akshare库使用脚本.ipynb
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{
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"cells": [
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{
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"cell_type": "markdown",
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"metadata": {},
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"source": [
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"# akshare库使用教程\n",
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"### akshare函数\n"
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]
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},
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{
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"cell_type": "code",
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"execution_count": null,
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"metadata": {},
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"outputs": [],
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"source": [
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"import akshare as ak\n",
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"\n",
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"futures_contract_detail_df = ak.futures_contract_detail(symbol='V2001')\n",
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"print(futures_contract_detail_df)"
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]
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},
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{
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"cell_type": "code",
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"execution_count": 3,
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"metadata": {},
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"outputs": [
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{
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"name": "stdout",
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"output_type": "stream",
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"text": [
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" 日期 开盘价 最高价 最低价 收盘价 成交量 持仓量 动态结算价\n",
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"0 2024-09-02 4612.0 4634.8 4508.8 4515.6 89892 142020 0\n",
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"1 2024-09-03 4524.0 4592.8 4514.0 4547.4 95410 140430 0\n",
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"2 2024-09-04 4530.0 4587.0 4507.0 4536.2 95403 134704 0\n",
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"3 2024-09-05 4544.6 4611.4 4544.6 4577.2 88060 131885 0\n",
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"4 2024-09-06 4595.0 4597.4 4482.0 4497.2 90398 127548 0\n",
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"5 2024-09-09 4487.2 4518.6 4445.2 4457.4 85871 125870 0\n",
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"6 2024-09-10 4471.0 4502.4 4378.8 4473.6 116746 129541 0\n",
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"7 2024-09-11 4460.0 4494.4 4439.0 4474.8 86309 111092 0\n",
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"8 2024-09-12 4484.0 4545.0 4461.6 4468.4 86856 106827 0\n",
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"9 2024-09-13 4475.0 4478.6 4414.2 4416.8 80427 94210 0\n",
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"10 2024-09-18 4413.0 4423.0 4337.4 4405.0 90715 75838 0\n",
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"11 2024-09-19 4422.2 4543.2 4380.0 4487.4 92123 42680 0\n",
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"12 2024-09-20 4483.0 4493.0 4437.0 4447.8 35454 17785 0\n",
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"13 2024-09-23 4415.2 4497.8 4402.4 4437.0 78245 101314 0\n",
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"14 2024-09-24 4496.0 4656.8 4438.2 4653.2 156875 127361 0\n",
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"15 2024-09-25 4710.0 4802.8 4672.6 4680.0 130643 110238 0\n",
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"16 2024-09-26 4671.4 4940.0 4662.4 4937.4 152942 119316 0\n",
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"17 2024-09-27 5022.0 5362.6 4954.4 5362.2 212983 109667 0\n"
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]
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}
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],
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"source": [
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"import akshare as ak\n",
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"\n",
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"futures_main_sina_hist = ak.futures_main_sina(symbol=\"IM0\", start_date=\"20240901\", end_date=\"20240927\")\n",
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"print(futures_main_sina_hist)"
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]
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},
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{
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"cell_type": "code",
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"execution_count": null,
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"metadata": {},
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"outputs": [],
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"source": [
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"import akshare as ak\n",
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"from datetime import datetime, timedelta\n",
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" \n",
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"# 获取当前日期的数据\n",
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"today = datetime.now().strftime('%Y%m%d')\n",
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"# 计算20日前的日期\n",
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"start_day = (datetime.now() - timedelta(days=60)).strftime('%Y%m%d')\n",
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"\n",
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"futures_main_sina_hist = ak.futures_main_sina(symbol=\"IM0\", start_date=start_day, end_date=today)\n",
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"print(futures_main_sina_hist)"
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]
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},
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{
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"cell_type": "code",
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"execution_count": null,
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"metadata": {},
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"outputs": [],
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"source": [
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"futures_main_sina_hist['收盘价'].iloc[0]"
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]
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},
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{
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"cell_type": "code",
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"execution_count": null,
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"metadata": {},
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"outputs": [],
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"source": [
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"futures_main_sina_hist['5day_ma'] = futures_main_sina_hist['收盘价'].rolling(window=5).mean()"
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]
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},
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{
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"cell_type": "code",
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"execution_count": null,
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"metadata": {},
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"outputs": [],
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"source": [
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"futures_main_sina_hist['5day_ma'].iloc[-1]"
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]
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},
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{
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"cell_type": "code",
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"execution_count": null,
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"metadata": {},
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"outputs": [],
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"source": [
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"print(futures_main_sina_hist)"
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]
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},
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{
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"cell_type": "code",
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"execution_count": null,
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"metadata": {},
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"outputs": [],
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"source": [
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"import akshare as ak\n",
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"\n",
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"futures_main_sina_hist = ak.futures_main_sina(symbol=\"IM0\", start_date=\"20240901\", end_date=\"20240927\")"
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]
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},
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{
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"cell_type": "code",
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"execution_count": null,
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"metadata": {},
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"outputs": [],
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"source": [
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"from findpeaks import findpeaks "
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]
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}
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],
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"metadata": {
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"kernelspec": {
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"display_name": "Python 3",
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"language": "python",
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"name": "python3"
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},
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"language_info": {
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"codemirror_mode": {
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"name": "ipython",
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"version": 3
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},
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"file_extension": ".py",
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"mimetype": "text/x-python",
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"name": "python",
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"nbconvert_exporter": "python",
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"pygments_lexer": "ipython3",
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"version": "3.10.9"
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}
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},
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"nbformat": 4,
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"nbformat_minor": 2
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}
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71
6.量化库代码/3.Talib/1.talib使用脚本.ipynb
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71
6.量化库代码/3.Talib/1.talib使用脚本.ipynb
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{
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"cells": [
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{
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"cell_type": "code",
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"execution_count": null,
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"id": "2d85dda4",
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"metadata": {},
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"outputs": [],
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"source": [
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"import os\n",
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"import pandas as pd\n",
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"import talib\n",
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"import matplotlib.pyplot as plt"
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]
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},
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{
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"cell_type": "code",
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"execution_count": null,
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"id": "65b4b7aa",
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"metadata": {},
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"outputs": [],
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"source": [
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"df = pd.read_csv('D:/of_data/主力连续/tick生成的OF数据(5M)/data_rs_merged/上期所/ag888/ag888_rs_2021_5T_back_ofdata_dj.csv')"
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]
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},
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{
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"cell_type": "code",
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"execution_count": null,
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"id": "edd4f1e5",
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"metadata": {},
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"outputs": [],
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"source": [
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"df['HT_TRENDLINE'] = talib.HT_TRENDLINE(df['delta'])"
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]
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},
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{
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"cell_type": "code",
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"execution_count": null,
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"id": "25c70609",
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"metadata": {},
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"outputs": [],
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"source": [
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"df[['delta','HT_TRENDLINE']].plot(title = '希尔伯特瞬时变换')\n",
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"plt.grid()\n",
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"plt.legend(['delta','HT_TRENDLINE'])\n",
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"plt.show()"
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]
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}
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],
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"metadata": {
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"kernelspec": {
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"display_name": "Python 3 (ipykernel)",
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"language": "python",
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"name": "python3"
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},
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"language_info": {
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"codemirror_mode": {
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"name": "ipython",
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"version": 3
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},
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"file_extension": ".py",
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"mimetype": "text/x-python",
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"name": "python",
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"nbconvert_exporter": "python",
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"pygments_lexer": "ipython3",
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"version": "3.7.1"
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}
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},
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"nbformat": 4,
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"nbformat_minor": 5
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}
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30
6.量化库代码/4.veighna/Mutiple_Accounts_Config.json
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30
6.量化库代码/4.veighna/Mutiple_Accounts_Config.json
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[
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{
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"account_name": "TEST_2_ACCOUNT",
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"gateway": "CTP",
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"workspace": "C:/TEST_ACCOUNT_2_WORKSPACE/",
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"logon_detail": {
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"用户名": "",
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"密码": "",
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"经纪商代码": "",
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"交易服务器": "",
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"行情服务器": "",
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"产品名称": "",
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"授权编码": ""
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}
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},
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{
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"account_name": "TEST_1_ACCOUNT",
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"gateway": "CTP",
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"workspace": "C:/TEST_ACCOUNT_1_WORKSPACE/",
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"logon_detail": {
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"用户名": "",
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"密码": "",
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"经纪商代码": "",
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"交易服务器": "",
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"行情服务器": "",
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"产品名称": "",
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"授权编码": ""
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}
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}
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]
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142
6.量化库代码/4.veighna/multi_no_ui.py
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142
6.量化库代码/4.veighna/multi_no_ui.py
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@@ -0,0 +1,142 @@
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import multiprocessing
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import json
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from threading import Timer
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import sys
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import os
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from time import sleep
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from datetime import datetime, time
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from logging import INFO
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# Chinese futures market trading period (day/night)
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DAY_START = time(8, 45)
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DAY_END = time(15, 0)
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NIGHT_START = time(20, 45)
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NIGHT_END = time(1, 30)
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def check_trading_period():
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""""""
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current_time = datetime.now().time()
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trading = False
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if (
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(current_time >= DAY_START and current_time <= DAY_END)
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or (current_time >= NIGHT_START)
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or (current_time <= NIGHT_END)
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):
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trading = True
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return trading
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def run_child(account_detail):
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"""
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Running in the child process.
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"""
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account_name = account_detail["account_name"]
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ctp_setting = account_detail["logon_detail"]
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# 更改工作路径
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os.chdir(account_detail["workspace"])
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# 把对vntrader 包的引用放在工作路径更改后，不然工作路径更改无法生效,
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from vnpy.event import EventEngine
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from vnpy.trader.setting import SETTINGS
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from vnpy.trader.engine import MainEngine
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from vnpy.gateway.ctp import CtpGateway
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from vnpy.app.cta_strategy import CtaStrategyApp
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from vnpy.app.cta_strategy.base import EVENT_CTA_LOG
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SETTINGS["log.active"] = True
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SETTINGS["log.level"] = INFO
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SETTINGS["log.console"] = True
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from vnpy.trader.utility import TRADER_DIR, TEMP_DIR
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# 结束引用
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SETTINGS["log.file"] = True
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event_engine = EventEngine()
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main_engine = MainEngine(event_engine)
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main_engine.add_gateway(CtpGateway)
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cta_engine = main_engine.add_app(CtaStrategyApp)
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main_engine.write_log(f" 主引擎创建成功")
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main_engine.write_log(f"工作路径: {TRADER_DIR, TEMP_DIR}")
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log_engine = main_engine.get_engine("log")
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# 更新log 格式。
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event_engine.register(EVENT_CTA_LOG, log_engine.process_log_event)
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main_engine.write_log(f"注册日志事件监听")
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main_engine.connect(ctp_setting, account_detail["gateway"])
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main_engine.write_log(f"连接CTP接口")
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sleep(10)
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cta_engine.init_engine()
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main_engine.write_log(f"CTA策略初始化完成")
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def recheck_thread():
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# 每个10秒检查所有策略是否初始化完成，使用Timer线程每10秒检查，
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all_strategise_inited = False
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for strategy in cta_engine.strategies.values():
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if strategy.inited == False:
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all_strategise_inited = False
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break
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all_strategise_inited = True
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if all_strategise_inited:
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main_engine.write_log(f"CTA策略全部初始化=====")
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cta_engine.start_all_strategies()
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main_engine.write_log(f"CTA策略全部启动=====")
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else:
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newTask = Timer(10, recheck_thread)
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newTask.start()
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cta_engine.init_all_strategies()
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newTask = Timer(5, recheck_thread)
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newTask.start()
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def recheck_trading_period():
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# 每隔10秒检查是否交易时段，否则退出，使用Timer线程每10秒检查，
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trading = check_trading_period()
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if not trading:
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main_engine.write_log(f"关闭子进程")
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main_engine.close()
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sys.exit(0)
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else:
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closeTask = Timer(10, recheck_trading_period)
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closeTask.start()
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closeTask = Timer(5, recheck_trading_period)
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closeTask.start()
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def run_parent():
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"""
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Running in the parent process.
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||||
"""
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print("启动CTA策略守护父进程")
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with open("Mutiple_Accounts_Config.json", mode="r", encoding="UTF-8") as f:
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account_detail_list = json.load(f)
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child_process_list = []
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||||
while True:
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trading = check_trading_period()
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||||
# Start child process in trading period
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if trading and child_process_list == []:
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print("启动子进程")
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# 同时运行account 不应该超过cpu核心数，因为vntrader 可以看成是一个持续循环，在main_engine.close之前不会退出cpu占用；
|
||||
# 等待的运行事务将一直等待
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||||
for account_detail in account_detail_list:
|
||||
new_process = multiprocessing.Process(
|
||||
target=run_child,
|
||||
name=account_detail["account_name"],
|
||||
args=(account_detail,),
|
||||
)
|
||||
new_process.start()
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child_process_list.append(new_process)
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||||
# # 使用进程池更加方便，但是无法给进程命名去查看log 是那个account的，所以不建议
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# pool = multiprocessing.Pool(multiprocessing.cpu_count())
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||||
# child_process_list = pool.map_async(run_child, account_detail_list)
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print("子进程启动成功")
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||||
# 非记录时间则退出子进程
|
||||
if not trading and child_process_list:
|
||||
for process in child_process_list:
|
||||
if not process.is_alive():
|
||||
child_process_list.remove(process)
|
||||
if child_process_list == []:
|
||||
print("子进程关闭成功")
|
||||
sleep(10)
|
||||
|
||||
|
||||
if __name__ == "__main__":
|
||||
run_parent()
|
||||
113
6.量化库代码/4.veighna/noUI运行脚本.py
Normal file
113
6.量化库代码/4.veighna/noUI运行脚本.py
Normal file
@@ -0,0 +1,113 @@
|
||||
import multiprocessing
|
||||
from time import sleep
|
||||
from datetime import datetime, time
|
||||
from logging import INFO
|
||||
|
||||
from vnpy.event import EventEngine
|
||||
from vnpy.trader.setting import SETTINGS
|
||||
from vnpy.trader.engine import MainEngine
|
||||
|
||||
from vnpy.gateway.ctp import CtpGateway
|
||||
from vnpy.app.cta_strategy import CtaStrategyApp
|
||||
from vnpy.app.cta_strategy.base import EVENT_CTA_LOG
|
||||
|
||||
|
||||
SETTINGS["log.active"] = True
|
||||
SETTINGS["log.level"] = INFO
|
||||
SETTINGS["log.console"] = True
|
||||
|
||||
|
||||
ctp_setting = {
|
||||
"用户名": "",
|
||||
"密码": "",
|
||||
"经纪商代码": "",
|
||||
"交易服务器": "",
|
||||
"行情服务器": "",
|
||||
"产品名称": "",
|
||||
"授权编码": "",
|
||||
"产品信息": ""
|
||||
}
|
||||
|
||||
|
||||
def run_child():
|
||||
"""
|
||||
Running in the child process.
|
||||
"""
|
||||
SETTINGS["log.file"] = True
|
||||
|
||||
event_engine = EventEngine()
|
||||
main_engine = MainEngine(event_engine)
|
||||
main_engine.add_gateway(CtpGateway)
|
||||
cta_engine = main_engine.add_app(CtaStrategyApp)
|
||||
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")
|
||||
|
||||
sleep(10)
|
||||
|
||||
cta_engine.init_engine()
|
||||
main_engine.write_log("CTA策略初始化完成")
|
||||
|
||||
cta_engine.init_all_strategies()
|
||||
sleep(60) # Leave enough time to complete strategy initialization
|
||||
main_engine.write_log("CTA策略全部初始化")
|
||||
|
||||
cta_engine.start_all_strategies()
|
||||
main_engine.write_log("CTA策略全部启动")
|
||||
|
||||
while True:
|
||||
sleep(1)
|
||||
|
||||
|
||||
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)
|
||||
|
||||
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
|
||||
|
||||
# Start child process in trading period
|
||||
if trading and child_process is None:
|
||||
print("启动子进程")
|
||||
child_process = multiprocessing.Process(target=run_child)
|
||||
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)
|
||||
|
||||
|
||||
if __name__ == "__main__":
|
||||
run_parent()
|
||||
BIN
6.量化库代码/4.veighna/多进程实现多账户no_ui.pdf
Normal file
BIN
6.量化库代码/4.veighna/多进程实现多账户no_ui.pdf
Normal file
Binary file not shown.
Reference in New Issue
Block a user