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572 lines
17 KiB
C++
572 lines
17 KiB
C++
#!/usr/bin/python
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# -*- coding: utf8 -*-
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# cp936
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#
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# The MIT License (MIT)
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#
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# Copyright (c) 2010-2017 fasiondog
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#
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# Permission is hereby granted, free of charge, to any person obtaining a copy
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# of this software and associated documentation files (the "Software"), to deal
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# in the Software without restriction, including without limitation the rights
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# to use, copy, modify, merge, publish, distribute, sublicense, and/or sell
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# copies of the Software, and to permit persons to whom the Software is
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# furnished to do so, subject to the following conditions:
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#
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# The above copyright notice and this permission notice shall be included in all
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# copies or substantial portions of the Software.
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#
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# THE SOFTWARE IS PROVIDED "AS IS", WITHOUT WARRANTY OF ANY KIND, EXPRESS OR
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# IMPLIED, INCLUDING BUT NOT LIMITED TO THE WARRANTIES OF MERCHANTABILITY,
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# FITNESS FOR A PARTICULAR PURPOSE AND NONINFRINGEMENT. IN NO EVENT SHALL THE
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# AUTHORS OR COPYRIGHT HOLDERS BE LIABLE FOR ANY CLAIM, DAMAGES OR OTHER
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# LIABILITY, WHETHER IN AN ACTION OF CONTRACT, TORT OR OTHERWISE, ARISING FROM,
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# OUT OF OR IN CONNECTION WITH THE SOFTWARE OR THE USE OR OTHER DEALINGS IN THE
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# SOFTWARE.
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# pylint: disable=E0602
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from datetime import date, datetime, timedelta
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from hikyuu.util.unicode import (unicodeFunc, reprFunc)
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from hikyuu.util.slice import list_getitem
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from hikyuu.util.mylog import escapetime
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from .core_doc import *
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import sys
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if sys.version > '3':
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IS_PY3 = True
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else:
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IS_PY3 = False
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# ------------------------------------------------------------------
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# 常量定义，各种C++中Null值
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# ------------------------------------------------------------------
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constant = Constant()
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# ------------------------------------------------------------------
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# 支持Python的__unicode__、__repr
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# ------------------------------------------------------------------
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MarketInfo.__unicode__ = unicodeFunc
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MarketInfo.__repr__ = reprFunc
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StockTypeInfo.__unicode__ = unicodeFunc
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StockTypeInfo.__repr__ = reprFunc
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KQuery.__unicode__ = unicodeFunc
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KQuery.__repr__ = reprFunc
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KRecord.__unicode__ = unicodeFunc
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KRecord.__repr__ = reprFunc
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KData.__unicode__ = unicodeFunc
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KData.__repr__ = reprFunc
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TimeLineRecord.__unicode__ = unicodeFunc
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TimeLineRecord.__repr__ = reprFunc
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TimeLineList.__unicode__ = unicodeFunc
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TimeLineList.__repr__ = reprFunc
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TransRecord.__unicode__ = unicodeFunc
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TransRecord.__repr__ = reprFunc
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TransList.__unicode__ = unicodeFunc
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TransList.__repr__ = reprFunc
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Stock.__unicode__ = unicodeFunc
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Stock.__repr__ = reprFunc
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Block.__unicode__ = unicodeFunc
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Block.__repr__ = reprFunc
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Parameter.__unicode__ = unicodeFunc
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Parameter.__repr__ = reprFunc
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# ------------------------------------------------------------------
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# 增加Datetime、Stock的hash支持，以便可做为dict的key
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# ------------------------------------------------------------------
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def datetime_hash(self):
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return self.number
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def timedelta_hash(self):
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return self.ticks
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def stock_hash(self):
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return self.id
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Datetime.__hash__ = datetime_hash
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TimeDelta.__hash__ = timedelta_hash
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Stock.__hash__ = stock_hash
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# ------------------------------------------------------------------
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# 增强 Datetime
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# ------------------------------------------------------------------
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__old_Datetime_init__ = Datetime.__init__
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__old_Datetime_add__ = Datetime.__add__
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__old_Datetime_sub__ = Datetime.__sub__
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def __new_Datetime_init__(self, *args, **kwargs):
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"""
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日期时间类（精确到秒），通过以下方式构建：
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- 通过字符串：Datetime("2010-1-1 10:00:00")
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- 通过 Python 的date：Datetime(date(2010,1,1))
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- 通过 Python 的datetime：Datetime(datetime(2010,1,1,10)
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- 通过 YYYYMMDDHHMM 形式的整数：Datetime(201001011000)
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- Datetime(year, month, day, hour=0, minute=0, second=0, millisecond=0, microsecond=0)
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获取日期列表参见： :py:func:`getDateRange`
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获取交易日日期参见： :py:meth:`StockManager.getTradingCalendar`
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"""
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if not args:
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__old_Datetime_init__(self, **kwargs)
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# datetime实例同时也是date的实例，判断必须放在date之前
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elif isinstance(args[0], datetime):
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d = args[0]
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milliseconds = d.microsecond // 1000
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microseconds = d.microsecond - milliseconds * 1000
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__old_Datetime_init__(self, d.year, d.month, d.day, d.hour, d.minute, d.second, milliseconds, microseconds)
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elif isinstance(args[0], date):
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d = args[0]
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__old_Datetime_init__(self, d.year, d.month, d.day, 0, 0, 0, 0)
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elif isinstance(args[0], str):
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__old_Datetime_init__(self, args[0])
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else:
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__old_Datetime_init__(self, *args)
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def __new_Datetime_add__(self, td):
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"""加上指定时长，时长对象可为 TimeDelta 或 datetime.timedelta 类型
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:param TimeDelta td: 时长
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:rtype: Datetime
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"""
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if isinstance(td, TimeDelta):
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return __old_Datetime_add__(self, td)
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elif isinstance(td, timedelta):
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return __old_Datetime_add__(self, TimeDelta(td))
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else:
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raise TypeError("unsupported operand type(s) for +: 'TimeDelta' and '{}'".format(type(td)))
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def __new_Datetime_sub__(self, td):
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"""减去指定的时长, 时长对象可为 TimeDelta 或 datetime.timedelta 类型
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:param TimeDelta td: 指定时长
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:rtype: Datetime
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"""
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if isinstance(td, TimeDelta):
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return __old_Datetime_sub__(self, td)
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elif isinstance(td, timedelta):
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return __old_Datetime_sub__(self, TimeDelta(td))
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else:
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raise TypeError("unsupported operand type(s) for +: 'TimeDelta' and '{}'".format(type(td)))
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def Datetime_date(self):
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"""转化生成 python 的 date"""
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return date(self.year, self.month, self.day)
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def Datetime_datetime(self):
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"""转化生成 python 的 datetime"""
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return datetime(self.year, self.month, self.day, self.hour, self.minute, self.second, self.microsecond)
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def Datetime_isNull(self):
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"""是否是Null值, 即是否等于 constant.null_datetime"""
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return True if self == constant.null_datetime else False
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Datetime.__init__ = __new_Datetime_init__
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Datetime.__add__ = __new_Datetime_add__
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Datetime.__radd__ = __new_Datetime_add__
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Datetime.__sub__ = __new_Datetime_sub__
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Datetime.date = Datetime_date
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Datetime.datetime = Datetime_datetime
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Datetime.isNull = Datetime_isNull
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# ------------------------------------------------------------------
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# 增强 TimeDelta
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# ------------------------------------------------------------------
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__old_TimeDelta_init__ = TimeDelta.__init__
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__old_TimeDelta_add__ = TimeDelta.__add__
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__old_TimeDelta_sub__ = TimeDelta.__sub__
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def __new_TimeDelta_init__(self, *args, **kwargs):
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"""
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可通过以下方式构建：
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- 通过 datetime.timedelta 构建。TimdeDelta(timedelta实例)
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- TimeDelta(days=0, hours=0, minutes=0, seconds=0, milliseconds=0, microseconds=0)
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- -99999999 <= days <= 99999999
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- -100000 <= hours <= 100000
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- -100000 <= minutes <= 100000
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- -8639900 <= seconds <= 8639900
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- -86399000000 <= milliseconds <= 86399000000
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- -86399000000 <= microseconds <= 86399000000
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"""
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if not args:
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__old_TimeDelta_init__(self, **kwargs)
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elif isinstance(args[0], timedelta):
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days = args[0].days
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secs = args[0].seconds
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hours = secs // 3600
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mins = secs // 60 - hours * 60
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secs = secs - mins * 60 - hours * 3600
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microsecs = args[0].microseconds
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millisecs = microsecs // 1000
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microsecs = microsecs - millisecs * 1000
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__old_TimeDelta_init__(self, days, hours, mins, secs, millisecs, microsecs)
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else:
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__old_TimeDelta_init__(self, *args)
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def __new_TimeDelta_add__(self, td):
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"""可和 TimeDelta, datetime.timedelta, Datetime执行相加操作"""
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if isinstance(td, TimeDelta):
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return __old_TimeDelta_add__(self, td)
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elif isinstance(td, timedelta):
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return __old_TimeDelta_add__(self, TimeDelta(td))
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elif isinstance(td, Datetime):
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return td + self
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elif isinstance(td, datetime):
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return td + Datetime(datetime)
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else:
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raise TypeError("unsupported operand type(s) for +: 'TimeDelta' and '{}'".format(type(td)))
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def __new_TimeDelta_sub__(self, td):
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"""可减去TimeDelta, datetime.timedelta"""
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return __old_TimeDelta_sub__(self, td) if isinstance(td, TimeDelta) else __old_TimeDelta_sub__(self, TimeDelta(td))
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def TimeDelta_timedelta(self):
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""" 转化为 datetime.timedelta """
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return timedelta(
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days=self.days,
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hours=self.hours,
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minutes=self.minutes,
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seconds=self.seconds,
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milliseconds=self.milliseconds,
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microseconds=self.microseconds
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)
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TimeDelta.__init__ = __new_TimeDelta_init__
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TimeDelta.__add__ = __new_TimeDelta_add__
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TimeDelta.__sub__ = __new_TimeDelta_sub__
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TimeDelta.timedelta = TimeDelta_timedelta
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# ------------------------------------------------------------------
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# 重定义KQuery
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# ------------------------------------------------------------------
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KQuery.INDEX = KQuery.QueryType.INDEX
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KQuery.DATE = KQuery.QueryType.DATE
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KQuery.DAY = "DAY"
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KQuery.WEEK = "WEEK"
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KQuery.MONTH = "MONTH"
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KQuery.QUARTER = "QUARTER"
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KQuery.HALFYEAR = "HALFYEAR"
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KQuery.YEAR = "YEAR"
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KQuery.MIN = "MIN"
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KQuery.MIN5 = "MIN5"
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KQuery.MIN15 = "MIN15"
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KQuery.MIN30 = "MIN30"
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KQuery.MIN60 = "MIN60"
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KQuery.HOUR2 = "HOUR2"
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KQuery.HOUR4 = "HOUR4"
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KQuery.HOUR6 = "HOUR6"
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KQuery.HOUR12 = "HOUR12"
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KQuery.NO_RECOVER = KQuery.RecoverType.NO_RECOVER
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KQuery.FORWARD = KQuery.RecoverType.FORWARD
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KQuery.BACKWARD = KQuery.RecoverType.BACKWARD
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KQuery.EQUAL_FORWARD = KQuery.RecoverType.EQUAL_FORWARD
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KQuery.EQUAL_BACKWARD = KQuery.RecoverType.EQUAL_BACKWARD
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class Query(KQuery):
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"""重新定义KQuery，目的如下：
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1、使用短类名
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2、使用短枚举类型
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3、利用Python命名参数优点
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"""
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INDEX = KQuery.QueryType.INDEX
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DATE = KQuery.QueryType.DATE
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#DAY = KQuery.KType.DAY
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#WEEK = KQuery.KType.WEEK
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#MONTH = KQuery.KType.MONTH
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#QUARTER = KQuery.KType.QUARTER
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#HALFYEAR = KQuery.KType.HALFYEAR
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#YEAR = KQuery.KType.YEAR
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#MIN = KQuery.KType.MIN
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#MIN3 = KQuery.KType.MIN3
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#MIN5 = KQuery.KType.MIN5
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#MIN15 = KQuery.KType.MIN15
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#MIN30 = KQuery.KType.MIN30
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#MIN60 = KQuery.KType.MIN60
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#HOUR2 = KQuery.KType.HOUR2
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#HOUR4 = KQuery.KType.HOUR4
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#HOUR6 = KQuery.KType.HOUR6
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#HOUR12 = KQuery.KType.HOUR12
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NO_RECOVER = KQuery.RecoverType.NO_RECOVER
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FORWARD = KQuery.RecoverType.FORWARD
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BACKWARD = KQuery.RecoverType.BACKWARD
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EQUAL_FORWARD = KQuery.RecoverType.EQUAL_FORWARD
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EQUAL_BACKWARD = KQuery.RecoverType.EQUAL_BACKWARD
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def __init__(self, start=0, end=None, kType=KQuery.DAY, recoverType=KQuery.RecoverType.NO_RECOVER):
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"""
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构建按索引 [start, end) 方式获取K线数据条件
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:param ind start: 起始索引位置或起始日期
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:param ind end: 结束索引位置或结束日期
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:param KQuery.KType kType: K线数据类型（如日线、分钟线等）
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:param KQuery.RecoverType recoverType: 复权类型
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:return: 查询条件
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:rtype: KQuery
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"""
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if isinstance(start, int):
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end_pos = constant.null_int64 if end is None else end
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elif isinstance(start, Datetime):
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end_pos = constant.null_datetime if end is None else end
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else:
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raise TypeError('Incorrect parameter type error!')
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super(Query, self).__init__(start, end_pos, kType, recoverType)
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QueryByIndex = Query
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QueryByDate = Query
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# ------------------------------------------------------------------
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# 增强 KData 的遍历
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# ------------------------------------------------------------------
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def KData_getitem(kdata, i):
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"""
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:param i: int | Datetime | slice | str 类型
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"""
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if isinstance(i, int):
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length = len(kdata)
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index = length + i if i < 0 else i
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if index < 0 or index >= length:
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raise IndexError("index out of range: %d" % i)
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return kdata.getKRecord(index)
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elif isinstance(i, Datetime):
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return kdata.getKRecordByDate(i)
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elif isinstance(i, str):
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return kdata.getKRecordByDate(Datetime(i))
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elif isinstance(i, slice):
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return [kdata.getKRecord(x) for x in range(*i.indices(len(kdata)))]
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else:
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raise IndexError("Error index type")
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def KData_iter(kdata):
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for i in range(len(kdata)):
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yield kdata[i]
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def KData_getPos(kdata, datetime):
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"""
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获取指定时间对应的索引位置
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:param Datetime datetime: 指定的时间
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:return: 对应的索引位置，如果不在数据范围内，则返回 None
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"""
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pos = kdata._getPos(datetime)
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return pos if pos != constant.null_size else None
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KData.__getitem__ = KData_getitem
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KData.__iter__ = KData_iter
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KData.getPos = KData_getPos
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# ------------------------------------------------------------------
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# 封装增强其他C++ vector类型的遍历
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# ------------------------------------------------------------------
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PriceList.__getitem__ = list_getitem
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DatetimeList.__getitem__ = list_getitem
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StringList.__getitem__ = list_getitem
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BlockList.__getitem__ = list_getitem
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TimeLineList.__getitem__ = list_getitem
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TransList.__getitem__ = list_getitem
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# ------------------------------------------------------------------
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# 增加转化为 np.array、pandas.DataFrame 的功能
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# ------------------------------------------------------------------
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try:
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import numpy as np
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import pandas as pd
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def KData_to_np(kdata):
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"""转化为numpy结构数组"""
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if kdata.getQuery().kType in ('DAY', 'WEEK', 'MONTH', 'QUARTER', 'HALFYEAR', 'YEAR'):
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k_type = np.dtype(
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{
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'names': ['datetime', 'open', 'high', 'low', 'close', 'amount', 'volume'],
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'formats': ['datetime64[D]', 'd', 'd', 'd', 'd', 'd', 'd']
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}
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)
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else:
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k_type = np.dtype(
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{
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'names': ['datetime', 'open', 'high', 'low', 'close', 'amount', 'volume'],
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'formats': ['datetime64[ms]', 'd', 'd', 'd', 'd', 'd', 'd']
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}
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)
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return np.array(
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[
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(
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k.datetime.datetime(), k.openPrice, k.highPrice, k.lowPrice, k.closePrice, k.transAmount,
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k.transCount
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) for k in kdata
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],
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dtype=k_type
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)
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def KData_to_df(kdata):
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"""转化为pandas的DataFrame"""
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return pd.DataFrame.from_records(KData_to_np(kdata), index='datetime')
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KData.to_np = KData_to_np
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KData.to_df = KData_to_df
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def PriceList_to_np(data):
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"""仅在安装了numpy模块时生效，转换为numpy.array"""
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return np.array(data, dtype='d')
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def PriceList_to_df(data):
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"""仅在安装了pandas模块时生效，转换为pandas.DataFrame"""
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return pd.DataFrame(data.to_np(), columns=('Value', ))
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PriceList.to_np = PriceList_to_np
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PriceList.to_df = PriceList_to_df
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def DatetimeList_to_np(data):
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"""仅在安装了numpy模块时生效，转换为numpy.array"""
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return np.array(data, dtype='datetime64[D]')
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def DatetimeList_to_df(data):
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"""仅在安装了pandas模块时生效，转换为pandas.DataFrame"""
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return pd.DataFrame(data.to_np(), columns=('Datetime', ))
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DatetimeList.to_np = DatetimeList_to_np
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DatetimeList.to_df = DatetimeList_to_df
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def TimeLine_to_np(data):
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"""转化为numpy结构数组"""
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t_type = np.dtype({'names': ['datetime', 'price', 'vol'], 'formats': ['datetime64[ms]', 'd', 'd']})
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return np.array([(t.datetime.datetime(), t.price, t.vol) for t in data], dtype=t_type)
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def TimeLine_to_df(kdata):
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"""转化为pandas的DataFrame"""
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return pd.DataFrame.from_records(TimeLine_to_np(kdata), index='datetime')
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TimeLineList.to_np = TimeLine_to_np
|
||
TimeLineList.to_df = TimeLine_to_df
|
||
|
||
def TransList_to_np(data):
|
||
"""转化为numpy结构数组"""
|
||
t_type = np.dtype(
|
||
{
|
||
'names': ['datetime', 'price', 'vol', 'direct'],
|
||
'formats': ['datetime64[ms]', 'd', 'd', 'd']
|
||
}
|
||
)
|
||
return np.array([(t.datetime.datetime(), t.price, t.vol, t.direct) for t in data], dtype=t_type)
|
||
|
||
def TransList_to_df(kdata):
|
||
"""转化为pandas的DataFrame"""
|
||
return pd.DataFrame.from_records(TransList_to_np(kdata), index='datetime')
|
||
|
||
TransList.to_np = TransList_to_np
|
||
TransList.to_df = TransList_to_df
|
||
|
||
except:
|
||
pass
|
||
|
||
# ------------------------------------------------------------------
|
||
# 净化命名空间
|
||
# ------------------------------------------------------------------
|
||
# pylint: disable=E0603
|
||
__all__ = [ # 类
|
||
'Block',
|
||
'BlockList',
|
||
'Datetime',
|
||
'DatetimeList',
|
||
'TimeDelta',
|
||
'KData',
|
||
'KQuery',
|
||
'KQueryByDate',
|
||
'KQueryByIndex',
|
||
'KRecord',
|
||
'KRecordList',
|
||
'LOG_LEVEL',
|
||
'MarketInfo',
|
||
'OstreamRedirect',
|
||
'Parameter',
|
||
'PriceList',
|
||
'Query',
|
||
'QueryByDate',
|
||
'QueryByIndex',
|
||
'Stock',
|
||
'StockManager',
|
||
'StockTypeInfo',
|
||
'StockWeight',
|
||
'StockWeightList',
|
||
'StringList',
|
||
'TimeLineRecord',
|
||
'TimeLineList',
|
||
'TransRecord',
|
||
'TransList',
|
||
|
||
# 变量
|
||
'constant',
|
||
'IS_PY3',
|
||
|
||
# 函数
|
||
'getVersion',
|
||
'getDateRange',
|
||
'getStock',
|
||
'hikyuu_init',
|
||
'hku_load',
|
||
'hku_save',
|
||
'roundEx',
|
||
'roundDown',
|
||
'roundUp',
|
||
'get_log_level',
|
||
'set_log_level',
|
||
'toPriceList',
|
||
'Days',
|
||
'Hours',
|
||
'Minutes',
|
||
'Seconds',
|
||
'Milliseconds',
|
||
'Microseconds',
|
||
|
||
# 包
|
||
# 'util'
|
||
]
|