增加CTA模块下tools中的multiTimeFrame扩展功能

vn.trader/ctaAlgo/tools/README.md

@@ -5,3 +5,6 @@
 * 贡献者：李来佳
 * WeChat/QQ: 28888502
 
+### multiTimeFrame
+* 简介：基于CTA模块扩展了回测和交易功能，允许策略中引用辅助品种信息（其他时间框架、其他合约），同时提供了一个突破策略的例子
+* 贡献者：周正舟

vn.trader/ctaAlgo/tools/multiTimeFrame/ctaBacktestMultiTF.py

@@ -0,0 +1,206 @@
+# encoding: UTF-8
+
+'''
+这个文件加入在CTA回测引擎的基础上加入了辅助品种信息, 保持接口的一致, 可以在原CTA引擎上执行的代码,
+也可以在这个引擎上执行
+This file add multi Time Frame functionalities to CTA backtesting engine, the APIs are the
+same as CTA engine. Real trading code can be directly used for backtesting.
+'''
+
+from __future__ import division
+from vtFunction import loadMongoSetting
+
+from ctaBacktesting import *
+
+class BacktestEngineMultiTF(BacktestingEngine):
+
+    def __init__(self):
+        """Constructor"""
+        super(BacktestEngineMultiTF, self).__init__()
+
+        self.info_symbols   = []        # List, 输入辅助品种的2值tuple, 左边为数据库名, 右边为collection名
+        self.InfoCursor     = {}        # Dict, 放置回测用辅助品种数据库
+        self.initInfoCursor = {}        # Dict, 放置初始化用辅助品种数据库
+        self.infobar        = {}        # Dict, 放置辅助品种最新一个K线数据
+        self.MultiOn        = False     # Boolean, 判断是否传入了辅助品种
+
+    # ----------------------------------------------------------------------
+    def setDatabase(self, dbName, symbol, **kwargs):
+        """set database that provide historical data"""
+
+        self.dbName = dbName
+
+        # Set executed symbol and information symbols
+        self.symbol = symbol
+        if "info_symbol" in kwargs:
+            self.info_symbols = kwargs["info_symbol"]
+
+            # Turn on MultiTF switch
+            if len(self.info_symbols) > 0:
+                self.MultiOn = True
+
+    # ----------------------------------------------------------------------
+    def loadInitData(self, collection, **kwargs):
+        """Load initializing data"""
+        # 载入初始化需要用的数据
+        # Load initialised data
+
+        # $gte means "greater and equal to"
+        # $lt means "less than"
+        flt = {'datetime': {'$gte': self.dataStartDate,
+                            '$lt': self.strategyStartDate}}
+        self.initCursor = collection.find(flt)
+
+        # 初始化辅助品种数据
+        # Initializing information data
+        if "inf" in kwargs:
+            for name in kwargs["inf"]:
+                DB = kwargs["inf"][name]
+                self.initInfoCursor[name] = DB.find(flt)
+
+        # 将数据从查询指针中读取出，并生成列表
+        # Read data from cursor, generate a list
+        self.initData = []
+
+        for d in self.initCursor:
+            data = self.dataClass()
+            data.__dict__ = d
+            self.initData.append(data)
+
+    # ----------------------------------------------------------------------
+    def loadHistoryData(self):
+        """载入历史数据"""
+        """load historical data"""
+
+        host, port = loadMongoSetting()
+
+        self.dbClient = pymongo.MongoClient(host, port)
+        collection = self.dbClient[self.dbName][self.symbol]
+
+        # Load historical data of information symbols, construct a dictionary of Database
+        # Values of dictionary are mongo.Client.
+        info_collection = {}
+        if self.MultiOn is True:
+            for DBname, symbol in self.info_symbols:
+                info_collection[DBname + " " + symbol] = self.dbClient[DBname][symbol]
+
+        self.output("Start loading historical data")
+
+        # 首先根据回测模式，确认要使用的数据类
+        # Choose data type based on backtest mode
+        if self.mode == self.BAR_MODE:
+            self.dataClass = CtaBarData
+            self.func      = self.newBar
+        else:
+            self.dataClass = CtaTickData
+            self.func = self.newTick
+
+        # Load initializing data
+        self.loadInitData(collection, inf=info_collection)
+
+        # 载入回测数据
+        # Load backtest data (exclude initializing data)
+        if not self.dataEndDate:
+            # If "End Date" is not set, retreat data up to today
+            flt = {'datetime': {'$gte': self.strategyStartDate}}
+        else:
+            flt = {'datetime': {'$gte': self.strategyStartDate,
+                                '$lte': self.dataEndDate}}
+        self.dbCursor = collection.find(flt)
+
+        if self.MultiOn is True:
+            for db in info_collection:
+                self.InfoCursor[db] = info_collection[db].find(flt)
+            self.output(
+                "Data loading completed, data volumn: %s" % (self.initCursor.count() + self.dbCursor.count() + \
+                                                             sum([i.count() for i in self.InfoCursor.values()])))
+        else:
+            self.output("Data loading completed, data volumn: %s" % (self.initCursor.count() + self.dbCursor.count()))
+
+    # ----------------------------------------------------------------------
+    def runBacktesting(self):
+        """运行回测"""
+        """Run backtesting"""
+
+        # 载入历史数据
+        # Load historical data
+        self.loadHistoryData()
+
+        self.output("Start backtesing!")
+
+        self.strategy.inited = True
+        self.strategy.onInit()
+        self.output("Strategy initialsing complete")
+
+        self.strategy.trading = True
+        self.strategy.onStart()
+        self.output("Strategy started")
+
+        self.output("Processing historical data...")
+
+        dataClass = self.dataClass
+        func = self.func
+        for d in self.dbCursor:
+            data = dataClass()
+            data.__dict__ = d
+            func(data)
+
+        self.output("No more historical data")
+
+    # ----------------------------------------------------------------------
+    def checkInformationData(self):
+        """Update information symbols' data"""
+
+        # If infobar is empty, which means it is the first time calling this method
+        if self.infobar == {}:
+            for info_symbol in self.InfoCursor:
+                try:
+                    self.infobar[info_symbol] = next(self.InfoCursor[info_symbol])
+                except StopIteration:
+                    print "Data of information symbols is empty! Input must be a list, not str."
+                    raise
+
+        temp = {}
+        for info_symbol in self.infobar:
+
+            data = self.infobar[info_symbol]
+
+            # Update data only when Time Stamp is matched
+            if data['datetime'] <= self.dt:
+                try:
+                    temp[info_symbol] = CtaBarData()
+                    temp[info_symbol].__dict__ = data
+                    self.infobar[info_symbol] = next(self.InfoCursor[info_symbol])
+                except StopIteration:
+                    self.output("No more data in information database.")
+            else:
+                temp[info_symbol] = None
+
+        return temp
+
+    # ----------------------------------------------------------------------
+    def newBar(self, bar):
+        """新的K线"""
+        """new ohlc Bar"""
+        self.bar = bar
+        self.dt = bar.datetime
+        self.updatePosition()  # Update total position value based on new Bar
+        self.crossLimitOrder()  # 先撮合限价单
+        self.crossStopOrder()  # 再撮合停止单
+        if self.MultiOn is True:
+            self.strategy.onBar(bar, infobar=self.checkInformationData())  # 推送K线到策略中
+        else:
+            self.strategy.onBar(bar)  # 推送K线到策略中
+
+    # ----------------------------------------------------------------------
+    def newTick(self, tick):
+        """新的Tick"""
+        """new Tick"""
+        self.tick = tick
+        self.dt = tick.datetime
+        self.crossLimitOrder()
+        self.crossStopOrder()
+        self.strategy.onTick(tick)
+
+########################################################################
+