V0.9.8 更新一批代码 (#125)

* 0.9.6 update

* 0.9.6 update

* 0.9.7 新增 tas_kdj_evc_V221201 信号

* 0.9.7 新增 tas_kdj_evc_V221201 信号

* 0.9.7 新增飞书消息发送

* 0.9.7 新增结合大盘择时或股票池的择时优化分析

* 0.9.7 update

* 0.9.7 fix update_bi

* 0.9.7 update

* 0.9.7 update

* 0.9.7 CzscTrader 新增 on_sig 模式

* 0.9.7 fix

* 0.9.7 update

* 0.9.7 增加持仓评价

* 0.9.7 支持自定义仓位集成方法

* 0.9.7 支持自定义仓位集成方法

* 0.9.7 update

* 0.9.7 update

* 0.9.7 update

* 0.9.7 update

* 0.9.7 update

* 0.9.7 update

* 0.9.7 update

* 0.9.7 update

* 0.9.7 fix test

* 0.9.7 fix test

* 0.9.7 update

* 0.9.7 deprecated

* 0.9.7 update

* 0.9.7 update

* 0.9.7 update

* 0.9.7 update

* 0.9.7 update

* 0.9.7 fix bug

* 0.9.7 update

* 0.9.7 update

* 0.9.7 新增 QmtTradeManager 用于实盘仿真

* 0.9.7 新增 QmtTradeManager 用于实盘仿真

* 0.9.7 update examples

* 0.9.7 fix test

* 0.9.8 start coding

* 0.9.8 update

* 0.9.8 update

* 0.9.8 update

* 0.9.8 新增假突破信号

* 0.9.8 新增K线重采样函数

* 0.9.8 新增K线重采样函数

* 0.9.8 fix bug

* 0.9.8 QMT支持任意 base_freq

* 0.9.8 update

* 0.9.8 clean codes

* 0.9.8 update vol signals

* 0.9.8 clean codes

* 0.9.8 update

* 0.9.8 update

* 0.9.8 update

* 0.9.8 Position 对象新增 dump 方法

* 0.9.8 优化信号

* 0.9.8 新增 base_freq

* update

.github/workflows/pythonpackage.yml

@@ -15,7 +15,7 @@ jobs:
     runs-on: ubuntu-latest
     strategy:
       matrix:
-        python-version: [3.7, 3.8, 3.9, 3.10.9, 3.11.1]
+        python-version: [3.7, 3.8, 3.9, 3.10.10, 3.11.2]
 
     steps:
     - uses: actions/checkout@v2

czsc/__init__.py

@@ -11,16 +11,16 @@
 from czsc import sensors
 from czsc import aphorism
 from czsc.analyze import CZSC
-from czsc.traders.advanced import CzscAdvancedTrader, create_advanced_trader
-from czsc.utils.ta import SMA, EMA, MACD, KDJ
 from czsc.objects import Freq, Operate, Direction, Signal, Factor, Event, RawBar, NewBar, Position
 from czsc.utils.cache import home_path, get_dir_size, empty_cache_path
+from czsc.traders import CzscTrader, CzscSignals, generate_czsc_signals
+from czsc.traders import PairsPerformance, combine_holds_and_pairs, combine_dates_and_pairs
 
 
-__version__ = "0.9.7"
+__version__ = "0.9.8"
 __author__ = "zengbin93"
 __email__ = "[email protected]"
-__date__ = "20230123"
+__date__ = "20230210"
 
 
 if envs.get_welcome():

czsc/cmd.py

@@ -29,32 +29,26 @@ def aphorism():
 @click.option('-f', '--file_strategy', type=str, required=True, help="Python择时策略文件路径")
 def dummy(file_strategy):
     """使用 CzscDummyTrader 进行快速的择时策略研究"""
-    from czsc.traders.dummy import DummyBacktest
-    dbt = DummyBacktest(file_strategy)
-    dbt.replay()
-    dbt.execute()
-    dbt.report()
+    pass
 
 
 @czsc.command()
 @click.option('-f', '--file_strategy', type=str, required=True, help="Python择时策略文件路径")
 def replay(file_strategy):
     """执行择时策略在某个品种上的交易回放"""
-    from czsc.traders.dummy import DummyBacktest
-    dbt = DummyBacktest(file_strategy)
-    dbt.replay()
+    pass
 
 
 @czsc.command()
 @click.option('-f', '--file_strategy', type=str, required=True, help="Python信号检查文件路径")
 @click.option('-d', '--delta_days', type=int, required=False, default=1, help="两次相同信号之间的间隔天数")
 def check(file_strategy, delta_days):
     """执行择时策略中使用的信号在某个品种上的校验"""
-    from czsc.sensors.utils import check_signals_acc
+    from czsc.traders import check_signals_acc
     from czsc.utils import get_py_namespace
 
     py = get_py_namespace(file_strategy)
-    strategy = py['trader_strategy']
+    get_signals = py['get_signals']
     check_params = py.get('check_params', None)
 
     if not check_params:
@@ -67,4 +61,4 @@ def check(file_strategy, delta_days):
     bars = py['read_bars'](symbol, sdt, edt)
     logger.info(f"信号检查参数 | {symbol} - sdt: {sdt} - edt: {edt}")
 
-    check_signals_acc(bars, strategy=strategy, delta_days=delta_days)
+    check_signals_acc(bars, get_signals=get_signals, delta_days=delta_days)

czsc/connectors/qmt_connector.py

@@ -16,6 +16,7 @@
 from czsc.objects import Freq, RawBar
 from czsc.fsa.im import IM
 from czsc.traders.base import CzscTrader
+from czsc.utils import resample_bars
 from xtquant import xtconstant
 from xtquant import xtdata
 from xtquant.xttrader import XtQuantTrader, XtQuantTraderCallback
@@ -104,6 +105,41 @@ def get_kline(symbol, period, start_time, end_time, count=-1, dividend_type='fro
         return format_stock_kline(df, freq=freq_map[period])
 
 
+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)
+    if freq == Freq.F1:
+        period = '1m'
+    elif freq in [Freq.F5, Freq.F15, Freq.F30, Freq.F60]:
+        period = '5m'
+    else:
+        period = '1d'
+
+    if fq == '前复权':
+        dividend_type = 'front_ratio'
+    elif fq == '后复权':
+        dividend_type = 'back_ratio'
+    else:
+        assert fq == '不复权'
+        dividend_type = 'none'
+
+    kline = get_kline(symbol, period, sdt, edt, dividend_type=dividend_type,
+                      download_hist=kwargs.get("download_hist", True), df=True)
+    kline['dt'] = pd.to_datetime(kline['time'])
+    kline['vol'] = kline['volume']
+    bars = resample_bars(kline, freq, raw_bars=True)
+    return bars
+
+
 def get_symbols(step):
     """获取择时策略投研不同阶段对应的标的列表
 
@@ -220,9 +256,10 @@ def __init__(self, mini_qmt_dir, account_id, **kwargs):
         self.symbols = kwargs.get('symbols', [])  # 交易标的列表
         self.strategy = kwargs.get('strategy', [])  # 交易策略
         self.symbol_max_pos = kwargs.get('symbol_max_pos', 0.5)  # 每个标的最大持仓比例
+        self.trade_sdt = kwargs.get('trade_sdt', '20220601')     # 交易跟踪开始日期
         self.mini_qmt_dir = mini_qmt_dir
         self.account_id = account_id
-        self.period = kwargs.get('period', '5m')
+        self.base_freq = self.strategy(symbol='symbol').sorted_freqs[0]
         self.delta_days = int(kwargs.get('delta_days', 1))  # 定时执行获取的K线天数
 
         self.session = random.randint(10000, 20000)
@@ -240,12 +277,14 @@ def __create_traders(self, **kwargs):
         traders = {}
         for symbol in tqdm(self.symbols, desc="创建交易对象", unit="个"):
             try:
-                bars = get_kline(symbol, self.period, '20180201', datetime.now(),
-                                 dividend_type='front_ratio', df=False, download_hist=True)
-                trader: CzscTrader = self.strategy(symbol=symbol, data_source='qmt').init_trader(bars, sdt='20220601')
+                bars = get_raw_bars(symbol, self.base_freq, '20180101', datetime.now(), fq="前复权", download_hist=True)
+
+                trader: CzscTrader = self.strategy(symbol=symbol).init_trader(bars, sdt=self.trade_sdt)
                 traders[symbol] = trader
+                pos_info = {x.name: x.pos for x in trader.positions}
+                logger.info(f"{symbol} trader pos：{pos_info} | ensemble_pos: {trader.get_ensemble_pos('mean')}")
             except Exception as e:
-                logger.warning(f'创建交易对象失败，symbol={symbol}, e={e}')
+                logger.exception(f'创建交易对象失败，symbol={symbol}, e={e}')
         return traders
 
     def get_assets(self):
@@ -357,8 +396,7 @@ def update_traders(self):
         for symbol in self.traders.keys():
             try:
                 trader = self.traders[symbol]
-                bars = get_kline(symbol, self.period, kline_sdt, datetime.now(),
-                                 dividend_type='front_ratio', df=False, download_hist=True)
+                bars = get_raw_bars(symbol, self.base_freq, kline_sdt, datetime.now(), fq="前复权", download_hist=True)
 
                 news = [x for x in bars if x.dt > trader.end_dt]
                 if news:
@@ -382,6 +420,9 @@ def update_traders(self):
                 else:
                     logger.info(f"{symbol} 没有需要更新的K线，最新的K线时间是 {trader.end_dt}")
 
+                pos_info = {x.name: x.pos for x in trader.positions}
+                logger.info(f"{symbol} trader pos：{pos_info} | ensemble_pos: {trader.get_ensemble_pos('mean')}")
+
             except Exception as e:
                 logger.error(f"{symbol} 更新交易策略失败，原因是 {e}")