V0.9.44 更新一批代码 (waditu#188)

* 0.9.44 update * 0.9.44 新增协整分析 * 0.9.44 rwc 新增 update_last 方法 * 0.9.44 update * 0.9.44 新增 stats 和 daily_return 属性 * 0.9.44 新增样本内外统计指标对比 * 0.9.44 新增 redis 策略删除和读取函数 * 0.9.44 update * 0.9.44 新增rolling工具函数 * 0.9.44 update * 0.9.44 update * 0.9.44 update * 0.9.44 update
PterX · Mar 8, 2024 · 3e9596b · 3e9596b
1 parent 1593279
commit 3e9596b
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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, V0.9.43 ]
+    branches: [ master, V0.9.44 ]
   pull_request:
     branches: [ master ]
 

diff --git a/czsc/__init__.py b/czsc/__init__.py
@@ -38,6 +38,8 @@
     RedisWeightsClient,
     get_strategy_mates,
     get_heartbeat_time,
+    clear_strategy,
+    get_strategy_weights,
 
     OpensOptimize,
     ExitsOptimize,
@@ -117,6 +119,8 @@
     show_ts_rolling_corr,
     show_ts_self_corr,
     show_stoploss_by_direction,
+    show_cointegration,
+    show_out_in_compare,
 )
 
 from czsc.utils.bi_info import (
@@ -137,12 +141,13 @@
 
 from czsc.features.utils import (
     is_event_feature,
+    rolling_corr,
 )
 
-__version__ = "0.9.43"
+__version__ = "0.9.44"
 __author__ = "zengbin93"
 __email__ = "[email protected]"
-__date__ = "20240222"
+__date__ = "20240302"
 
 
 def welcome():

diff --git a/czsc/connectors/cooperation.py b/czsc/connectors/cooperation.py
@@ -122,6 +122,7 @@ def get_raw_bars(symbol, freq, sdt, edt, fq='前复权', **kwargs):
     :return:
     """
     freq = czsc.Freq(freq)
+    raw_bars = kwargs.get('raw_bars', True)
 
     if "SH" in symbol or "SZ" in symbol:
         fq_map = {"前复权": "qfq", "后复权": "hfq", "不复权": None}
@@ -137,7 +138,7 @@ def get_raw_bars(symbol, freq, sdt, edt, fq='前复权', **kwargs):
 
         df.rename(columns={'code': 'symbol'}, inplace=True)
         df['dt'] = pd.to_datetime(df['dt'])
-        return czsc.resample_bars(df, target_freq=freq)
+        return czsc.resample_bars(df, target_freq=freq, raw_bars=raw_bars)
 
     if symbol.endswith("9001"):
         # https://s0cqcxuy3p.feishu.cn/wiki/WLGQwJLWQiWPCZkPV7Xc3L1engg
@@ -154,7 +155,7 @@ def get_raw_bars(symbol, freq, sdt, edt, fq='前复权', **kwargs):
         df['amount'] = df['vol'] * df['close']
         df = df[['symbol', 'dt', 'open', 'close', 'high', 'low', 'vol', 'amount']].copy().reset_index(drop=True)
         df['dt'] = pd.to_datetime(df['dt'])
-        return czsc.resample_bars(df, target_freq=freq)
+        return czsc.resample_bars(df, target_freq=freq, raw_bars=raw_bars)
 
     if symbol.endswith(".NH"):
         if freq != Freq.D:

diff --git a/czsc/connectors/tq_connector.py b/czsc/connectors/tq_connector.py
@@ -0,0 +1,228 @@
+# -*- coding: utf-8 -*-
+"""
+author: zengbin93
+email: [email protected]
+create_dt: 2024/3/7 18:49
+describe: 对接天勤量化
+
+1. [使用 tqsdk 进行期货交易](https://s0cqcxuy3p.feishu.cn/wiki/wikcn41lQIAJ1f8v41Dj5eAmrub)
+2. [使用 tqsdk 查看期货实时行情](https://s0cqcxuy3p.feishu.cn/wiki/SH3mwOU6piPqnGkRRiocQrhAnrh)
+"""
+import czsc
+import pandas as pd
+from loguru import logger
+from typing import List, Union, Optional
+from datetime import date, datetime, timedelta
+from czsc import Freq, RawBar
+from tqsdk import ( # noqa
+    TqApi, TqAuth, TqSim, TqBacktest, TargetPosTask, BacktestFinished, TqAccount, TqKq
+)
+
+
+def format_kline(df, freq=Freq.F1):
+    """对分钟K线进行格式化"""
+    freq = Freq(freq)
+    rows = df.to_dict('records')
+    raw_bars = []
+    for i, row in enumerate(rows):
+        bar = RawBar(symbol=row['symbol'], id=i, freq=freq,
+                     dt=datetime.fromtimestamp(row["datetime"] / 1e9) + timedelta(minutes=1),
+                     open=row['open'], close=row['close'], high=row['high'],
+                     low=row['low'], vol=row['volume'], amount=row['volume'] * row['close'])
+        raw_bars.append(bar)
+    return raw_bars
+
+
+# https://doc.shinnytech.com/tqsdk/latest/usage/mddatas.html 代码规则
+symbols = [
+    # https://www.jiaoyixingqiu.com/shouxufei/jiaoyisuo/SHFE
+    "[email protected]",
+    "[email protected]",
+    "[email protected]",
+    "[email protected]",
+    "[email protected]",
+    "[email protected]",
+    "[email protected]",
+    "[email protected]",
+    "[email protected]",
+    "[email protected]",
+    "[email protected]",
+    "[email protected]",
+    "[email protected]",
+    "[email protected]",
+    "[email protected]",
+    "[email protected]",
+    # https://www.jiaoyixingqiu.com/shouxufei/jiaoyisuo/CZCE
+    "[email protected]",
+    "[email protected]",
+    "[email protected]",
+    "[email protected]",
+    "[email protected]",
+    "[email protected]",
+    "[email protected]",
+    "[email protected]",
+    "[email protected]",
+    "[email protected]",
+    "[email protected]",
+    "[email protected]",
+    "[email protected]",
+    "[email protected]",
+    "[email protected]",
+    # https://www.jiaoyixingqiu.com/shouxufei/jiaoyisuo/DCE
+    "[email protected]",
+    "[email protected]",
+    "[email protected]",
+    "[email protected]",
+    "[email protected]",
+    "[email protected]",
+    "[email protected]",
+    "[email protected]",
+    "[email protected]",
+    "[email protected]",
+    "[email protected]",
+    "[email protected]",
+    "[email protected]",
+    "[email protected]",
+    "[email protected]",
+    "[email protected]",
+    "[email protected]",
+    "[email protected]",
+    "[email protected]",
+    "[email protected]",
+    # https://www.jiaoyixingqiu.com/shouxufei/jiaoyisuo/GFEX
+    "[email protected]",
+    # https://www.jiaoyixingqiu.com/shouxufei/jiaoyisuo/INE
+    "[email protected]",
+    "[email protected]",
+    "[email protected]",
+    "[email protected]",
+    # https://www.jiaoyixingqiu.com/shouxufei/jiaoyisuo/CFFEX
+    "[email protected]",
+    "[email protected]",
+    "[email protected]",
+    "[email protected]",
+    "[email protected]",
+    "[email protected]",
+    "[email protected]",
+]
+
+
+future_name_map = {
+    'PG': 'LPG',
+    'EB': '苯乙烯',
+    'CS': '玉米淀粉',
+    'C': '玉米',
+    'V': 'PVC',
+    'J': '焦炭',
+    'BB': '胶合板',
+    'M': '豆粕',
+    'A': '豆一',
+    'PP': '聚丙烯',
+    'P': '棕榈油',
+    'FB': '纤维板',
+    'B': '豆二',
+    'JD': '鸡蛋',
+    'JM': '焦煤',
+    'L': '塑料',
+    'I': '铁矿石',
+    'Y': '豆油',
+    'RR': '粳米',
+    'EG': '乙二醇',
+    'LH': '生猪',
+    'CJ': '红枣',
+    'UR': '尿素',
+    'TA': 'PTA',
+    'OI': '菜油',
+    'MA': '甲醇',
+    'RS': '菜籽',
+    'ZC': '动力煤',
+    'LR': '晚籼稻',
+    'PM': '普麦',
+    'SR': '白糖',
+    'RI': '早籼稻',
+    'SF': '硅铁',
+    'WH': '强麦',
+    'JR': '粳稻',
+    'SM': '锰硅',
+    'FG': '玻璃',
+    'CF': '棉花',
+    'RM': '菜粕',
+    'PF': '短纤',
+    'AP': '苹果',
+    'CY': '棉纱',
+    'ER': '早籼稻',
+    'ME': '甲醇',
+    'RO': '菜油',
+    'TC': '动力煤',
+    'WS': '强麦',
+    'WT': '硬麦',
+    'SA': '纯碱',
+    'PK': '花生',
+    'SS': '不锈钢',
+    'AL': '沪铝',
+    'CU': '沪铜',
+    'ZN': '沪锌',
+    'AG': '白银',
+    'RB': '螺纹钢',
+    'SN': '沪锡',
+    'NI': '沪镍',
+    'WR': '线材',
+    'FU': '燃油',
+    'AU': '黄金',
+    'PB': '沪铅',
+    'RU': '橡胶',
+    'HC': '热轧卷板',
+    'BU': '沥青',
+    'SP': '纸浆',
+    'NR': '20号胶',
+    'SC': '原油',
+    'LU': '低硫燃料油',
+    'BC': '国际铜',
+    'SCTAS': '原油TAS指令',
+    'SI': '工业硅',
+}
+
+
+def is_trade_time(trade_time: Optional[str] = None):
+    """判断当前是否是交易时间"""
+    if trade_time is None:
+        trade_time = datetime.now().strftime("%H:%M:%S")
+
+    if trade_time > "09:00:00" and trade_time < "11:30:00":
+        return True
+
+    if trade_time > "13:00:00" and trade_time < "15:00:00":
+        return True
+
+    if trade_time > "21:00:00" and trade_time < "02:30:00":
+        return True
+
+    return False
+
+
+def get_daily_backup(api: TqApi, **kwargs):
+    """获取每日账户中需要备份的信息"""
+    orders = api.get_order()
+    trades = api.get_trade()
+    position = api.get_position()
+    account = api.get_account()
+
+    order_ids = [x for x in list(orders.__dict__.keys()) if x not in ["_data", "_path", "_listener"]]
+    orders = pd.DataFrame([orders.__dict__[x] for x in order_ids])
+
+    trade_ids = [x for x in list(trades.__dict__.keys()) if x not in ["_data", "_path", "_listener"]]
+    trades = pd.DataFrame([trades.__dict__[x] for x in trade_ids])
+
+    position_ids = [x for x in list(position.__dict__.keys()) if x not in ["_data", "_path", "_listener"]]
+    positions = pd.DataFrame([position.__dict__[x] for x in position_ids])
+
+    account_ids = [x for x in list(account.__dict__.keys()) if x not in ["_data", "_path", "_listener", '_api']]
+    account = {x: account.__dict__[x] for x in account_ids}
+
+    backup = {
+        "orders": orders,
+        "trades": trades,
+        "positions": positions,
+        "account": account,
+    }
+    return backup