V0.9.13 更新一批代码 (#133)

* 0.9.13 update * 0.9.13 version start * 0.9.13 fix bug * 0.9.13 update * 0.9.13 fix sig * 0.9.13 新增两个信号函数 * 0.9.13 dummy 方法优化 * 0.9.13 add flow * 0.9.13 新增三买信号 * 0.9.13 新增BE信号 * 0.9.13 新增BE信号 * 0.9.13 新增板块效应分析功能 * 0.9.13 新增信号函数 * 0.9.13 单品种复盘辅助 * 0.9.13 新增笔的表里关系信号 * 0.9.13 新增笔的表里关系信号 * 0.9.13 新增笔的表里关系信号 * 0.9.13 新增信号：100以内质数时序窗口辅助笔结束判断 * 0.9.13 新增交易价格敏感性分析辅助工具 * 0.9.13 SignalsPerformance * 0.9.13 对接掘金终端 * 0.9.13 对接掘金终端 * 0.9.13 update * 0.9.13 优化 plotly K线绘制 * 0.9.13 新增基础信号函数 * 0.9.13 新增 get_raw_bars * 0.9.13 新增 dummy backtest * 0.9.13 新增 dummy backtest * 0.9.13 新增掘金终端对接
waditu · Mar 23, 2023 · 6d9d861 · 6d9d861
1 parent 2d2bc74
commit 6d9d861
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diff --git a/.github/workflows/pythonpackage.yml b/.github/workflows/pythonpackage.yml
@@ -5,7 +5,7 @@ name: Python package
 
 on:
   push:
-    branches: [ master, V0.9.12 ]
+    branches: [ master, V0.9.13 ]
   pull_request:
     branches: [ master ]
 

diff --git a/czsc/__init__.py b/czsc/__init__.py
@@ -16,15 +16,18 @@
 from czsc.utils.cache import home_path, get_dir_size, empty_cache_path
 from czsc.traders import CzscTrader, CzscSignals, generate_czsc_signals, check_signals_acc, get_unique_signals
 from czsc.traders import PairsPerformance, combine_holds_and_pairs, combine_dates_and_pairs, stock_holds_performance
+from czsc.traders import DummyBacktest
 from czsc.strategies import CzscStrategyBase
 from czsc.utils import KlineChart, BarGenerator, resample_bars, dill_dump, dill_load, read_json, save_json
 from czsc.utils import get_sub_elements, get_py_namespace, freqs_sorted, x_round, import_by_name, create_grid_params
+from czsc.utils import cal_trade_price
+from czsc.sensors import holds_concepts_effect, StocksDaySensor, ThsConceptsSensor, SignalsPerformance
 
 
-__version__ = "0.9.12"
+__version__ = "0.9.13"
 __author__ = "zengbin93"
 __email__ = "[email protected]"
-__date__ = "20230312"
+__date__ = "20230314"
 
 
 if envs.get_welcome():

diff --git a/czsc/analyze.py b/czsc/analyze.py
@@ -374,25 +374,24 @@ def last_bi_extend(self):
 
     @property
     def finished_bis(self) -> List[BI]:
-        """返回当下基本确认完成的笔列表"""
+        """已完成的笔"""
         if not self.bi_list:
             return []
-        else:
-            if self.last_bi_extend:
-                return self.bi_list[:-1]
+        if len(self.bars_ubi) < 5:
+            return self.bi_list[:-1]
         return self.bi_list
 
     @property
     def ubi_fxs(self) -> List[FX]:
-        """返回当下基本确认完成的笔列表"""
+        """bars_ubi 中的分型"""
         if not self.bars_ubi:
             return []
         else:
             return check_fxs(self.bars_ubi)
 
     @property
     def fx_list(self) -> List[FX]:
-        """返回当下基本确认完成的笔列表"""
+        """分型列表，包括 bars_ubi 中的分型"""
         fxs = []
         for bi_ in self.bi_list:
             fxs.extend(bi_.fxs[1:])

diff --git a/czsc/connectors/gm_connector.py b/czsc/connectors/gm_connector.py
@@ -13,7 +13,7 @@
 from loguru import logger
 try:
     from gm.api import *
-except:
+except ModuleNotFoundError:
     logger.warning(f"gm 模块没有安装")
 from datetime import datetime, timedelta
 from collections import OrderedDict
@@ -23,6 +23,7 @@
 from czsc.utils import qywx as wx
 from czsc.utils import BarGenerator
 from czsc.objects import RawBar, Freq
+from czsc.fsa import push_message
 
 
 dt_fmt = "%Y-%m-%d %H:%M:%S"
@@ -43,6 +44,37 @@ def set_gm_token(token):
     set_token(gm_token)
 
 
+def gm_push_message(msg: str, msg_type: str = 'text', **kwargs):
+    """统一飞书和企业微信消息推送服务
+
+    :param msg:
+    :param msg_type:
+    :param kwargs:
+    :return:
+    """
+    wx_key = kwargs.get('wx_key')
+    fs_app = kwargs.get('fs_app')
+    if wx_key:
+        try:
+            if msg_type == 'text':
+                wx.push_text(msg, wx_key)
+            elif msg_type == 'file':
+                wx.push_file(msg, wx_key)
+            else:
+                logger.debug(f"企业微信通道仅支持 text 和 file 类型，当前类型为 {msg_type}")
+        except Exception as _e:
+            logger.debug(f"企业微信消息推送失败：{_e}")
+
+    if fs_app:
+        try:
+            push_message(msg=msg, msg_type=msg_type,
+                         feishu_app_secret=fs_app['feishu_app_secret'],
+                         feishu_app_id=fs_app['feishu_app_id'],
+                         feishu_members=fs_app['feishu_members'])
+        except Exception as _e:
+            logger.debug(f"飞书消息推送失败：{_e}")
+
+
 def is_trade_date(dt):
     """判断 dt 时刻是不是交易日期"""
     dt = pd.to_datetime(dt)
@@ -109,6 +141,48 @@ def get_kline(symbol, end_time, freq='60s', count=33000, adjust=ADJUST_PREV):
     return format_kline(df, freq_map_[freq])
 
 
+def to_tz_datetime(dt):
+    """格式化日期时间"""
+    end_dt = pd.to_datetime(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)
+    return end_dt
+
+
+def get_raw_bars(symbol, freq, sdt, edt, fq='前复权', **kwargs):
+    """获取 CZSC 库定义的标准 RawBar 对象列表
+
+    :param symbol: 标的代码
+    :param freq: 周期
+    :param sdt: 开始时间
+    :param edt: 结束时间
+    :param fq: 除权类型
+    :param kwargs:
+    :return:
+    """
+    freq = Freq(freq)
+    sdt = to_tz_datetime(sdt)
+    edt = to_tz_datetime(edt)
+
+    freq_map_ = {'60s': Freq.F1, '300s': Freq.F5, '900s': Freq.F15, '1800s': Freq.F30,
+                 '3600s': Freq.F60, '1d': Freq.D}
+    freq_map_ = {v: k for k, v in freq_map_.items()}
+    period = freq_map_[freq]
+
+    if fq == '前复权':
+        adjust = ADJUST_PREV
+    elif fq == '后复权':
+        adjust = ADJUST_POST
+    else:
+        assert fq == '不复权'
+        adjust = ADJUST_NONE
+
+    bars = get_kline(symbol, freq=period, count=33000, end_time=edt, adjust=adjust)
+    bars = [bar for bar in bars if bar.dt >= sdt]
+    return bars
+
+
 def get_init_bg(symbol: str,
                 end_dt: [str, datetime],
                 base_freq: str,
@@ -215,7 +289,7 @@ def on_order_status(context, order):
 
     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)
+        gm_push_message(str(msg), msg_type='text', **context.push_msg_conf)
 
 
 def on_execution_report(context, execrpt):
@@ -243,7 +317,7 @@ def on_execution_report(context, execrpt):
 
     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)
+        gm_push_message(str(msg), msg_type='text', **context.push_msg_conf)
 
 
 def on_backtest_finished(context, indicator):
@@ -254,10 +328,7 @@ def on_backtest_finished(context, 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
@@ -295,7 +366,7 @@ def on_backtest_finished(context, indicator):
     content = ""
     for k, v in row.items():
         content += "{}: {}\n".format(k, v)
-    wx.push_text(content=content, key=wx_key)
+    gm_push_message(content, msg_type='text', **context.push_msg_conf)
 
 
 def on_error(context, code, info):
@@ -305,7 +376,7 @@ def on_error(context, code, info):
     msg = "{} - {}".format(code, info)
     logger.warning(msg)
     if context.mode != MODE_BACKTEST:
-        wx.push_text(content=msg, key=context.wx_key)
+        gm_push_message(msg, msg_type='text', **context.push_msg_conf)
 
 
 def on_account_status(context, account):
@@ -323,7 +394,7 @@ def on_account_status(context, account):
     msg = f"{str(account)}"
     logger.warning(msg)
     if context.mode != MODE_BACKTEST:
-        wx.push_text(content=msg, key=context.wx_key)
+        gm_push_message(msg, msg_type='text', **context.push_msg_conf)
 
 
 def is_order_exist(context, symbol, side) -> bool:
@@ -447,7 +518,7 @@ def on_bar(context, bars):
             for bar_ in bars_new:
                 trader.update(bar_)
 
-        # sync_long_position(context, trader)
+        sync_long_position(context, trader)
 
 
 def report_account_status(context):
@@ -481,7 +552,7 @@ def report_account_status(context):
                f"可用资金：{int(cash.available)}\n" \
                f"浮动盈亏：{int(cash.fpnl)}\n" \
                f"标的数量：{len(positions)}\n"
-        wx.push_text(msg.strip("\n *"), key=context.wx_key)
+        gm_push_message(msg, msg_type='text', **context.push_msg_conf)
 
         results = []
         for symbol, info in context.symbols_info.items():
@@ -491,7 +562,9 @@ def report_account_status(context):
 
             row = {'交易标的': symbol, '标的名称': name,
                    '最新时间': trader.end_dt.strftime(dt_fmt),
-                   '最新价格': trader.latest_price}
+                   '最新价格': trader.latest_price,
+                   '集成仓位': trader.get_ensemble_pos(),
+                   }
 
             if "日线" in trader.kas.keys():
                 bar1, bar2 = trader.kas['日线'].bars_raw[-2:]
@@ -508,10 +581,10 @@ def report_account_status(context):
             results.append(row)
 
         df = pd.DataFrame(results)
-        df.sort_values(['多头持仓', '多头收益'], ascending=False, inplace=True, ignore_index=True)
+        df.sort_values(['集成仓位'], ascending=False, inplace=True, ignore_index=True)
         file_xlsx = os.path.join(context.data_path, f"holds_{context.now.strftime('%Y%m%d_%H%M')}.xlsx")
         df.to_excel(file_xlsx, index=False)
-        wx.push_file(file_xlsx, key=context.wx_key)
+        gm_push_message(file_xlsx, msg_type='file', **context.push_msg_conf)
         os.remove(file_xlsx)
 
         # 提示非策略交易标的持仓
@@ -584,7 +657,7 @@ def process_out_of_symbols(context):
             # order_target_volume(symbol=symbol, volume=0, position_side=PositionSide_Long,
             #                     order_type=OrderType_Limit, price=p.price, account=account.id)
     if oos:
-        wx.push_text(f"不在交易列表的持仓股：{', '.join(oos)}", context.wx_key)
+        gm_push_message(f"不在交易列表的持仓股：{', '.join(oos)}", msg_type='text', **context.push_msg_conf)
 
 
 def init_context_universal(context, name):
@@ -615,11 +688,7 @@ def init_context_universal(context, name):
 
 
 def init_context_env(context):
-    """通用 context 初始化：2、读入环境变量
-
-    :param context:
-    """
-    context.wx_key = os.environ['wx_key']
+    """通用 context 初始化：2、读入环境变量"""
     context.account_id = os.environ.get('account_id', '')
     if context.mode != MODE_BACKTEST:
         assert len(context.account_id) > 10, "非回测模式，必须设置 account_id "
@@ -671,16 +740,17 @@ def init_context_traders(context, symbols: List[str], strategy):
                 dill.dump(trader, open(file_trader, 'wb'))
 
             symbols_info[symbol]['trader'] = trader
-            logger.info("{} Trader 构建成功，最新时间：{}，多仓：{}".format(symbol, trader.end_dt, trader.long_pos.pos))
+            logger.info("{} Trader 构建成功，最新时间：{}，多仓：{}".format(symbol, trader.end_dt, trader.get_ensemble_pos('mean')))
 
         except Exception as e1:
             del symbols_info[symbol]
             logger.exception(f"{e1}：{symbol} - {context.stocks.get(symbol, '无名')} 初始化失败，当前时间：{context.now}")
+    context.symbols_info = symbols_info
 
+    # 订阅K线数据
     subscribe(",".join(symbols_info.keys()), frequency=frequency, count=300, wait_group=False)
-    logger.info(f"订阅成功数量：{len(symbols_info)}")
+    logger.info(f"订阅成功数量：{len(symbols_info)}，订阅K线周期：{frequency}")
     logger.info(f"交易标的配置：{symbols_info}")
-    context.symbols_info = symbols_info
 
 
 def init_context_schedule(context):

diff --git a/czsc/sensors/__init__.py b/czsc/sensors/__init__.py
@@ -11,7 +11,9 @@
     turn_over_rate,
     discretizer,
     compound_returns,
-    get_index_beta
+    get_index_beta,
+    holds_concepts_effect,
+    SignalsPerformance,
 )
 
 
diff --git a/czsc/sensors/utils.py b/czsc/sensors/utils.py
@@ -4,12 +4,10 @@
 email: [email protected]
 create_dt: 2021/11/17 18:50
 """
-import os
-import traceback
 import pandas as pd
 import numpy as np
 from tqdm import tqdm
-from datetime import timedelta
+from collections import Counter
 from typing import Callable, List, AnyStr
 from sklearn.preprocessing import KBinsDiscretizer
 
@@ -259,3 +257,48 @@ def report(self, file_xlsx=None):
                 df_.to_excel(writer, sheet_name=sn, index=False)
             writer.close()
         return res
+
+
+def holds_concepts_effect(holds: pd.DataFrame, concepts: dict, top_n=20, min_n=3, **kwargs):
+    """股票持仓列表的板块效应
+
+    原理概述：在选股时，如果股票的概念板块与组合中的其他股票的概念板块有重合，那么这个股票的表现会更好。
+
+    :param holds: 组合股票池数据，样例：
+                 成分日期    证券代码       n1b      持仓权重
+            0  2020-01-02  000001.SZ  183.758194  0.001232
+            1  2020-01-02  000002.SZ -156.633896  0.001232
+            2  2020-01-02  000063.SZ  310.296204  0.001232
+            3  2020-01-02  000066.SZ -131.824997  0.001232
+            4  2020-01-02  000069.SZ  -38.561699  0.001232
+    :param concepts: 股票的概念板块，样例：
+            {
+                '002507.SZ': ['电子商务', '超级品牌', '国企改革'],
+                '002508.SZ': ['家用电器', '杭州亚运会', '恒大概念']
+            }
+    :param top_n: 选取前 n 个密集概念
+    :param min_n: 单股票至少要有 n 个概念在 top_n 中
+    :return: 过滤后的选股结果，每个时间点的 top_n 概念
+    """
+    if kwargs.get('copy', True):
+        holds = holds.copy()
+
+    holds['概念板块'] = holds['证券代码'].map(concepts).fillna('')
+    holds['概念数量'] = holds['概念板块'].apply(len)
+    holds = holds[holds['概念数量'] > 0]
+
+    new_holds = []
+    dt_key_concepts = {}
+    for dt, dfg in tqdm(holds.groupby('成分日期'), desc='计算板块效应'):
+        # 计算密集出现的概念
+        key_concepts = [k for k, v in Counter([x for y in dfg['概念板块'] for x in y]).most_common(top_n)]
+        dt_key_concepts[dt] = key_concepts
+
+        # 计算在密集概念中出现次数超过min_n的股票
+        dfg['强势概念'] = dfg['概念板块'].apply(lambda x: ','.join(set(x) & set(key_concepts)))
+        sel = dfg[dfg['强势概念'].apply(lambda x: len(x.split(',')) >= min_n)]
+        new_holds.append(sel)
+
+    dfh = pd.concat(new_holds, ignore_index=True)
+    dfk = pd.DataFrame([{"成分日期": k, '强势概念': v} for k, v in dt_key_concepts.items()])
+    return dfh, dfk