Merge pull request #841 from yutiansut/master

update

.github/ISSUE_TEMPLATE/bug_report.md

@@ -1,35 +1,47 @@
----
-name: Bug report
-about: Create a report to help us improve
+# 问题反馈
 
----
+当您安装/使用QUANTAXIS的时候如果遇到任何问题, 您可以在这里提出,我们会在24小时内给您答复
 
-**Describe the bug**
-A clear and concise description of what the bug is.
+## 您使用的QUANTAXIS版本号是什么?
 
-**To Reproduce**
-Steps to reproduce the behavior:
-1. Go to '...'
-2. Click on '....'
-3. Scroll down to '....'
-4. See error
+```
 
-**Expected behavior**
-A clear and concise description of what you expected to happen.
 
-**Screenshots**
-If applicable, add screenshots to help explain your problem.
 
-**Desktop (please complete the following information):**
- - OS: [e.g. iOS]
- - Browser [e.g. chrome, safari]
- - Version [e.g. 22]
+```
+## 您的系统信息(包括系统版本,系统架构(32/64),内存大小等等)
+```
 
-**Smartphone (please complete the following information):**
- - Device: [e.g. iPhone6]
- - OS: [e.g. iOS8.1]
- - Browser [e.g. stock browser, safari]
- - Version [e.g. 22]
 
-**Additional context**
-Add any other context about the problem here.
+
+
+
+```
+
+## 您的系统环境是什么?
+```
+- monodb
+- nodejs(V9以下版本)
+- python3.5/3.6
+- docker(有无)
+```
+## 您需要反馈的问题
+```
+
+
+```
+## 感谢您的反馈 如有意见和建议,请在此说明:
+```
+
+
+
+```
+## 您的联系方式(QQ/EMAIL)
+```
+
+```
+
+
+THANKS
+by yutiansut
+2017.12

CHANGELOG.md

@@ -69,6 +69,8 @@
 1. 增加了商品期权的分钟线获取
 2. 优化了QA_Account的存储
 3. 修复了QA_PortfolioView的bug
+4. DataStruct 增加了 rolling(N)的方法
+
 
 ## 1.1.7 
 

QUANTAXIS/QAApplication/OldBacktest.py

@@ -0,0 +1,103 @@
+# @Hakase
+import QUANTAXIS as QA
+import numpy as np
+import pandas as pd
+import datetime
+import sys
+import random
+
+class backtest():
+    """依据回测场景的建模
+
+    """
+
+    def __init__(self, start_time='2015-01-01', end_time='2018-09-24', init_cash=500000, code='RBL8', frequence=QA.FREQUENCE.FIFTEEN_MIN):
+        self.start_time = start_time
+        self.end_time = end_time
+        self.frequence = frequence
+        self.code = code
+        self.init_cach = init_cash
+        self.time_ = None
+        self.market_data_ = None
+        self.res= False
+
+    @property
+    def position(self):
+        return self.account.sell_available.get(self.code, 0)
+
+    @property
+    def time(self):
+        return self.time_
+
+    @property
+    def market_data(self):
+        return self.market_data_
+    # 自定义函数-------------------------------------------------------------------
+
+    @property
+    def hold_judge(self):
+        """仓位判断器
+
+        Returns:
+            [type] -- [description]
+        """
+
+        if self.account.cash/self.account.init_cash < 0.3:
+            return False
+        else:
+            return True
+
+    def before_backtest(self):
+        raise NotImplementedError
+
+    def before(self, *args, **kwargs):
+        self.before_backtest()
+        self.data_min = QA.QA_fetch_future_min_adv(
+            self.code, self.start_time, self.end_time, frequence=self.frequence)
+
+        self.data_day = QA.QA_fetch_future_day_adv(
+            self.code, self.start_time, self.end_time)
+
+        self.Broker = QA.QA_BacktestBroker()
+
+    def model(self, *arg, **kwargs):
+        raise NotImplementedError
+
+    def load_strategy(self, *arg, **kwargs):
+        # self.load_model(func1)
+        raise NotImplementedError
+
+    def run(self, *arg, **kwargs):
+        raise NotImplementedError
+
+    def buy(self, pos, towards):
+
+        self.account.receive_simpledeal(code=self.code,
+                                        trade_price=self.market_data.open, trade_amount=pos,
+                                        trade_towards=towards, trade_time=self.time,
+                                        message=towards)
+
+    def sell(self, pos, towards):
+        self.account.receive_simpledeal(code=self.code,
+                                        trade_price=self.market_data.open, trade_amount=pos,
+                                        trade_towards=towards, trade_time=self.time,
+                                        message=towards)
+
+    def main(self,  *arg, **kwargs):
+        print(vars(self))
+        self.identity_code = '_'.join([str(x) for x in list(kwargs.values())])
+
+        self.backtest_cookie = 'future_{}_{}'.format(
+            datetime.datetime.now().time().__str__()[:8], self.identity_code)
+        self.account = QA.QA_Account(allow_sellopen=True, allow_t0=True, account_cookie=self.backtest_cookie,
+                                     market_type=QA.MARKET_TYPE.FUTURE_CN, frequence=self.frequence, init_cash=self.init_cash)
+
+        self.gen = self.data_min.reindex(
+            self.res) if self.res else self.data_min
+
+        for ind, item in self.gen.iterrows:
+            self.time_ = ind[0]
+            self.code = ind[1]
+
+            self.market_data_ = item
+            self.run()

QUANTAXIS/QAApplication/QATradeRealtime.py

@@ -88,18 +88,11 @@ def run(self):
         _date = None
 
         while QA_util_if_tradetime(self.now):
-
-
-
-
-
-
             for data in self.ingest_data:  # 对于在ingest_data中的数据
                 # <class 'QUANTAXIS.QAData.QADataStruct.QA_DataStruct_Stock_day'>
                 date = data.date[0]
                 if self.market_type is MARKET_TYPE.STOCK_CN:  # 如果是股票市场
                     if _date != date:  # 如果新的date
-
                         # 前一天的交易日已经过去
                         # 往 broker 和 account 发送 settle 事件
                         try:

QUANTAXIS/QAData/QAIndicatorStruct.py

@@ -38,7 +38,7 @@ def __init__(self, data):
         self.data = data
 
     def __repr__(self):
-        return '< QA_DATASTRUCT_INDICATOR FROM {} TO {} WITH {} CODES >'.format(self.data.index.levels[0][0],self.data.index.levels[0][-1],len(self.data.index.levels[1]))
+        return '< QA_DATASTRUCT_INDICATOR FROM {} TO {} WITH {} CODES >'.format(self.data.index.levels[0][0], self.data.index.levels[0][-1], len(self.data.index.levels[1]))
 
     @property
     def index(self):
@@ -49,7 +49,7 @@ def get_indicator(self, time, code, indicator_name=None):
         获取某一时间的某一只股票的指标
         """
         try:
-            return self.data.loc[(pd.Timestamp(time), code),indicator_name]
+            return self.data.loc[(pd.Timestamp(time), code), indicator_name]
         except:
             raise ValueError('CANNOT FOUND THIS DATE&CODE')
 
@@ -71,9 +71,9 @@ def get_timerange(self, start, end, code=None):
         except:
             return ValueError('CANNOT FOUND THIS TIME RANGE')
 
-    def groupby(self,by=None, axis=0, level=None, as_index=True, sort=False, group_keys=True, squeeze=False, **kwargs):
+    def groupby(self, by=None, axis=0, level=None, as_index=True, sort=False, group_keys=True, squeeze=False, **kwargs):
         """仿dataframe的groupby写法,但控制了by的code和datetime
-        
+
         Keyword Arguments:
             by {[type]} -- [description] (default: {None})
             axis {int} -- [description] (default: {0})
@@ -83,18 +83,18 @@ def groupby(self,by=None, axis=0, level=None, as_index=True, sort=False, group_k
             group_keys {bool} -- [description] (default: {True})
             squeeze {bool} -- [description] (default: {False})
             observed {bool} -- [description] (default: {False})
-        
+
         Returns:
             [type] -- [description]
         """
 
-        if by==self.index.names[1]:
-            by=None
-            level=1
-        elif by== self.index.names[0]:
-            by =None
-            level=0
-        return self.data.groupby(by=by,axis=axis,level=level,as_index=as_index,sort=sort,group_keys=group_keys,squeeze=squeeze)
+        if by == self.index.names[1]:
+            by = None
+            level = 1
+        elif by == self.index.names[0]:
+            by = None
+            level = 0
+        return self.data.groupby(by=by, axis=axis, level=level, as_index=as_index, sort=sort, group_keys=group_keys, squeeze=squeeze)
 
-    def add_func(self,func,*args,**kwargs):
-        return self.groupby(level=1,as_index=False,group_keys=False).apply(func,*args,**kwargs)
+    def add_func(self, func, *args, **kwargs):
+        return self.groupby(level=1, as_index=False, group_keys=False).apply(func, raw=True, *args, **kwargs)

QUANTAXIS/QAData/base_datastruct.py

@@ -367,6 +367,11 @@ def avg(self):
         except:
             return None
 
+    @property
+    @lru_cache()
+    def ndarray(self):
+        return self.to_numpy()
+
     '''
     ########################################################################################################
     计算统计相关的
@@ -591,6 +596,12 @@ def get_dict(self, time, code):
         except Exception as e:
             raise e
 
+    def reset_index(self):
+        return self.data.reset_index()
+
+    def rolling(self, N):
+        return self.groupby('code').rolling(N)
+
     def plot(self, code=None):
 
         def kline_formater(param):
@@ -829,7 +840,7 @@ def to_numpy(self):
         """
         转换DataStruct为numpy.ndarray
         """
-        return np.asarray(self.data)
+        return np.asarray(self.data.reset_index())
 
     def to_json(self):
         """
@@ -874,7 +885,7 @@ def splits(self):
     #         self.data.loc[(slice(None), x), :], *arg, **kwargs), self.code))).sort_index()
 
     def add_func(self, func, *arg, **kwargs):
-        return self.groupby(level=1, sort=False).apply(func, *arg, **kwargs)
+        return self.groupby(level=1, sort=False).apply(func, raw=True, *arg, **kwargs)
 
     def pivot(self, column_):
         """增加对于多列的支持"""

QUANTAXIS/QAEngine/QABaseEventLoop.py

@@ -5,4 +5,9 @@
 
 class QABaseEventLoop(asyncio.AbstractEventLoop):
     def __init__(self):
-        pass
+        pass
+
+    @property
+    def qa_loop(self):
+        try:
+            self.get_task_factory