StrategiesFramework
Project description
StrategiesManager
这是一个策略回测库,支持内外盘期货历史回测跟实时回测两种模式
例子:
from framework.strategies_manager import StrategiesManager
# 自定义操作函数
def myAction2(data):
print(f'_______> {data}')
time.sleep(2)
def myAction(data):
"""
自定义操作
:param data: 行情数据,字典类型
{'time_key': '2020-07-21 14:53:00', 'open': 4659.2, 'high': 4659.8, 'low': 4657.4, 'close': 4658.8, 'volume': 326.0, 'code': 'CFFEX.IF2008', 'pe_ratio': 0, 'turnover_rate': 0, 'turnover': 0, 'last_close': 4659.2, 'change_rate': -0.0085851648}
:return:
"""
print(f'&&&&&&> {data}')
# rsp = manager.getHistory(stock_code='NYMEX_F_CL_2010', startTime='2020-08-17', endTime='2020-08-17', ktype='1Min')
# print(rsp)
time.sleep(5)
# 创建实例,参数可以不传
manager = StrategiesManager(configPath='./sconfig.conf', tempPath='./temp')
# 注册自定义函数
manager.registAction(myAction)
manager.registAction(myAction2)
# 实时数据使用,支持内外盘合约
manager.runRealTime(stock_code='NYMEX_F_CL_2010', ktype='1Min')
# 历史数据回测使用,支持内外盘合约
# manager.runHistory(stock_code='NYMEX_F_CL_2010', startTime='2020-06-07', endTime='2020-08-17', ktype='1Min')
# manager.runRealTime(stock_code='CFFEX_F_IF_2008', ktype='1Min')
# manager.runHistory(stock_code='CFFEX_F_IF_2008', startTime='2020-06-07', endTime='2020-08-17', ktype='1Min')
注意:实时模拟跟历史回测返回的数据格式不一样
更新日志
-
2020.08.26
- 支持zmq断线重连
- 添加自定义函数异常捕捉
-
2020.08.21
- 修改执行自定义方法为异步
- 修改实时数据订阅合约过滤
-
2020.08.20
- 历史回测数据缓存本地
-
2020.08.17
- 策略框架构建
- 添加获取历史记录接口
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