Merge branch 'dev' into ga——01

.gitignore

@@ -18,4 +18,10 @@ dist
 *.local
 
 # vn.py
-.vntrader
+.vntrader
+
+# Visual Studio intermediate files
+*.exp
+*.iobj
+*.ipdb
+*.pdb

.travis.yml

@@ -2,12 +2,26 @@ language: python
 
 dist: xenial  # required for Python >= 3.7 (travis-ci/travis-ci#9069)
 
+cache: pip
+
+git:
+  depth: 1
+
 python:
   - "3.7"
 
+services:
+  - mongodb
+  - mysql
+  - postgresql
+
+before_script:
+  - psql -d postgresql://postgres:${VNPY_TEST_POSTGRESQL_PASSWORD}@localhost -c "create database vnpy;"
+  - mysql -u root --password=${VNPY_TEST_MYSQL_PASSWORD} -e 'CREATE DATABASE vnpy;'
+
 script:
-  # todo: use python unittest
-  - mkdir run; cd run; python ../tests/load_all.py
+  - cd tests; source travis_env.sh;
+  - python test_all.py
 
 matrix:
   include:
@@ -19,81 +33,36 @@ matrix:
       script:
         - flake8
 
-    - name: "pip install under Windows"
-      os: "windows"
-      # language : cpp is necessary for windows
-      language: "cpp"
-      env:
-        - PATH=/c/Python37:/c/Python37/Scripts:$PATH
-      before_install:
-        - choco install python3 --version 3.7.2
-      install:
-        - python -m pip install --upgrade pip wheel setuptools
-        - pip install https://pip.vnpy.com/colletion/TA_Lib-0.4.17-cp37-cp37m-win_amd64.whl
-        - pip install https://pip.vnpy.com/colletion/ibapi-9.75.1-001-py3-none-any.whl
-        - pip install -r requirements.txt
-        - pip install .
-
     - name: "pip install under Ubuntu: gcc-8"
+      addons:
+        apt:
+          sources:
+            - ubuntu-toolchain-r-test
+          packages:
+            - g++-8
       before_install:
-        # C++17
-        - sudo add-apt-repository -y ppa:ubuntu-toolchain-r/test
-        - sudo apt-get update -y
-      install:
-        # C++17
-        - sudo apt-get install -y gcc-8 g++-8
         - sudo update-alternatives --install /usr/bin/g++ g++ /usr/bin/g++-8 90
         - sudo update-alternatives --install /usr/bin/c++ c++ /usr/bin/g++-8 90
         - sudo update-alternatives --install /usr/bin/gcc cc /usr/bin/gcc-8 90
+      install:
         # update pip & setuptools
         - python -m pip install --upgrade pip wheel setuptools
         # Linux install script
         - pip install https://pip.vnpy.com/colletion/ibapi-9.75.1-001-py3-none-any.whl
         - bash ./install.sh
 
-    - name: "pip install under Ubuntu: gcc-7"
+    - name: "sdist install under Ubuntu: gcc-7"
+      addons:
+        apt:
+          sources:
+            - ubuntu-toolchain-r-test
+          packages:
+            - g++-7
       before_install:
-        # C++17
-        - sudo add-apt-repository -y ppa:ubuntu-toolchain-r/test
-        - sudo apt-get update -y
-      install:
-        # C++17
-        - sudo apt-get install -y gcc-7 g++-7
         - sudo update-alternatives --install /usr/bin/g++ g++ /usr/bin/g++-7 90
         - sudo update-alternatives --install /usr/bin/c++ c++ /usr/bin/g++-7 90
         - sudo update-alternatives --install /usr/bin/gcc cc /usr/bin/gcc-7 90
-        # update pip & setuptools
-        - python -m pip install --upgrade pip wheel setuptools
-        # Linux install script
-        - pip install https://pip.vnpy.com/colletion/ibapi-9.75.1-001-py3-none-any.whl
-        - bash ./install.sh
-
-    - name: "sdist install under Windows"
-      os: "windows"
-      # language : cpp is necessary for windows
-      language: "cpp"
-      env:
-        - PATH=/c/Python37:/c/Python37/Scripts:$PATH
-      before_install:
-        - choco install python3 --version 3.7.2
-      install:
-        - python -m pip install --upgrade pip wheel setuptools
-        - python setup.py sdist
-        - pip install https://pip.vnpy.com/colletion/TA_Lib-0.4.17-cp37-cp37m-win_amd64.whl
-        - pip install https://pip.vnpy.com/colletion/ibapi-9.75.1-001-py3-none-any.whl
-        - pip install dist/`ls dist`
-
-    - name: "sdist install under Ubuntu: gcc-8"
-      before_install:
-        # C++17
-        - sudo add-apt-repository -y ppa:ubuntu-toolchain-r/test
-        - sudo apt-get update -y
       install:
-        # C++17
-        - sudo apt-get install -y gcc-8 g++-8
-        - sudo update-alternatives --install /usr/bin/g++ g++ /usr/bin/g++-8 90
-        - sudo update-alternatives --install /usr/bin/c++ c++ /usr/bin/g++-8 90
-        - sudo update-alternatives --install /usr/bin/gcc cc /usr/bin/gcc-8 90
         # Linux install script
         - python -m pip install --upgrade pip wheel setuptools
         - pushd /tmp
@@ -105,6 +74,20 @@ matrix:
         -   sudo make install
         - popd
         - pip install numpy
+        - pip install --pre --extra-index-url https://rquser:[email protected]/simple/ rqdatac
         - pip install https://pip.vnpy.com/colletion/ibapi-9.75.1-001-py3-none-any.whl
         - python setup.py sdist
         - pip install dist/`ls dist`
+
+    - name: "pip install under osx"
+      os: osx
+      language: shell  # osx supports only shell
+      services: []
+      before_install: []
+      install:
+        - pip3 install https://pip.vnpy.com/colletion/ibapi-9.75.1-001-py3-none-any.whl
+        - bash ./install_osx.sh
+      before_script: []
+      script:
+        - cd tests; source travis_env.sh;
+        - VNPY_TEST_ONLY_SQLITE=1 python3 test_all.py

README.md

@@ -34,10 +34,23 @@ vn.py是一套基于Python的开源量化交易系统开发框架，于2015年1
 
     * BitMEX (bitmex)：数字货币期货、期权、永续合约
 
+    * OKEX (okex)：数字货币现货
+
+    * HUOBI(huobi)：数字货币现货
+
+    * Bitfinex(bitfinex)：数字货币现货
+
+    * 1Token(onetoken)：数字货币券商（现货、期货）
+
+
 3. 开箱即用的各类量化策略交易应用（vnpy.app）：
 
     * cta_strategy：CTA策略引擎模块，在保持易用性的同时，允许用户针对CTA类策略运行过程中委托的报撤行为进行细粒度控制（降低交易滑点、实现高频策略）
 
+    * cta_backtester：CTA策略回测模块，无需使用Jupyter Notebook，直接使用图形界面直接进行策略回测分析、参数优化等相关工作
+
+    * algo_trading：算法交易模块，提供多种常用的智能交易算法：TWAP、Sniper、Iceberg、BestLimit等等，支持常用算法配置保存
+
     * csv_loader：CSV历史数据加载器，用于加载CSV格式文件中的历史数据到平台数据库中，用于策略的回测研究以及实盘初始化等功能，支持自定义数据表头格式
 
 4. Python交易API接口封装（vnpy.api），提供上述交易接口的底层对接实现。

appveyor.yml

@@ -0,0 +1,64 @@
+clone_depth: 1
+
+cache:
+  - '%LOCALAPPDATA%\pip\Cache'
+
+configuration:
+  - pip
+  - sdist
+
+image:
+  - Visual Studio 2017
+
+services:
+  - mysql
+  - mongodb
+  - postgresql
+
+environment:
+  PATH: C:\Python37-x64;C:\Python37-x64\Scripts;C:\Program Files\PostgreSQL\9.6\bin\;%PATH%
+  VNPY_TEST_MYSQL_DATABASE: vnpy
+  VNPY_TEST_MYSQL_HOST: localhost
+  VNPY_TEST_MYSQL_PORT: 3306
+  VNPY_TEST_MYSQL_USER: root
+  VNPY_TEST_MYSQL_PASSWORD: Password12!
+
+  VNPY_TEST_POSTGRESQL_DATABASE: vnpy
+  VNPY_TEST_POSTGRESQL_HOST: localhost
+  VNPY_TEST_POSTGRESQL_PORT: 5432
+  VNPY_TEST_POSTGRESQL_USER: postgres
+  VNPY_TEST_POSTGRESQL_PASSWORD: Password12!
+
+  VNPY_TEST_MONGODB_DATABASE: vnpy
+  VNPY_TEST_MONGODB_HOST: localhost
+  VNPY_TEST_MONGODB_PORT: 27017
+
+  MYSQL_PWD: Password12!
+
+install:
+  - python -m pip install --upgrade pip wheel setuptools
+before_build:
+  - ps: psql -d "postgresql://${ENV:VNPY_TEST_POSTGRESQL_USER}:${ENV:VNPY_TEST_POSTGRESQL_PASSWORD}@localhost" -c "create database vnpy;"
+  - ps: . "C:\Program Files\MySQL\MySQL Server 5.7\bin\mysql" -u $ENV:VNPY_TEST_MYSQL_USER -e 'CREATE DATABASE vnpy;'
+
+for:
+  - matrix:
+      only:
+        - configuration: pip
+    build_script:
+      - call install.bat
+
+  - matrix:
+      only:
+        - configuration: sdist
+    build_script:
+      - python setup.py sdist
+      - pip install --pre --extra-index-url https://rquser:[email protected]/simple/ rqdatac
+      - pip install https://pip.vnpy.com/colletion/TA_Lib-0.4.17-cp37-cp37m-win_amd64.whl
+      - pip install https://pip.vnpy.com/colletion/ibapi-9.75.1-001-py3-none-any.whl
+      - ps: $name=(ls dist).name; pip install "dist/$name"
+
+test_script:
+  - cd tests
+  - python test_all.py
+

docs/contribution.md

@@ -1,10 +1,74 @@
-# 代码贡献说明
+# 贡献代码
 
-## Linter智能提示
+---
+## 创建PR
+我们欢迎任何人贡献代码到vn.py。  
+如果希望贡献代码请使用github的PR(Pull Request)的流程。
 
+PR流程大致如下：
 
-## 代码检查
+---
+1. [创建 Issue][CreateIssue] - 对于较大的改动(如新功能，大型重构等)最好先开issue讨论一下， 较小的improvement(如文档改进，bugfix等)直接发PR即可
 
+2. Fork [vn.py][#GithubVnpy] - 点击右上角**Fork**按钮
 
-## 持续集成
+3. Clone你自己的fork: ```git clone https://github.com/$userid/vnpy.git```
+	> 如果你的fork已经过时，需要手动[sync][GithubDocForSync]
+
+4. 从**dev**创建你自己的branch: ```git checkout -b $my_feature_branch dev```
+
+5. 在$my_feature_branch上修改并将修改push到你Fork之后的仓库上
+
+6. 创建从你的fork的$my_feature_branch分支到主项目的**dev**分支的[Pull Request]:  
+ [点开这里][CreatePR] ，再点击**compare across forks**，选择需要的fork和branch创建PR
+
+---
+
+创建完PR之后请耐心等待：我们一旦有空就会检查PR，一旦你的代码有用且[符合要求](#代码风格)，就会被合并！
+
+
+---
+## 代码风格
+在为vn.py写代码的时候，需要遵循一些基本的规则，否则你的代码可能无法被merge。
+这些规则包括：
+1. [命名规则](#命名规则)
+2. [代码格式](#代码格式)
+3. [代码质量检查](#代码质量检查)
+
+
+### 命名规则
+我们的代码的命名规则如下：
+
+* 类属性、类方法、参数和变量使用小写加下划线的形式
+* 类名使用驼峰式命名
+* 常量使用大写加下划线的形式
+
+例如：
+```python
+DEFAULT_PATH = "/tmp/vn.py/"
+class ClassA:
+    def __init__(self, arg_one: int, arg_two: str):
+        if arg_two is None:
+            arg_two = DEFAULT_PATH
+        self.property_one = arg_one
+        variable_one = "some string"
+```
+
+
+### 代码格式
+我们对代码格式没有特别严格的要求，但是至少要符合pep8标准，并且额外要在类和所有函数下面带上docstring(就是一段"""""")。
+
+要让代码符合pep8标准，写完代码之后使用[autopep8](https://github.com/hhatto/autopep8)格式化你的代码就可以了:  
+```bash
+autopep8 --in-place --recursive . 
+```
+
+### 代码质量检查
+使用[flake8](https://pypi.org/project/flake8/)检查你的代码，确保没有error和warning。
+在项目根目录下运行```flake8```就可以检查出代码中书写不严谨的地方了。如果检查出error或者warning，说明你的代码需要进行一些修改以提升质量。
+
+[GithubVnpy]:https://github.com/vnpy/vnpy
+[GithubDocForSync]:https://help.github.com/articles/syncing-a-fork/
+[CreateIssue]:https://github.com/vnpy/vnpy/issues/new
+[CreatePR]:https://github.com/vnpy/vnpy/compare?expand=1
 

install.bat

@@ -1,4 +1,5 @@
 ::Install talib and ibapi
+pip install https://pip.vnpy.com/colletion/rqdatac-2.1.0.tar.gz
 pip install https://pip.vnpy.com/colletion/TA_Lib-0.4.17-cp37-cp37m-win_amd64.whl
 pip install https://pip.vnpy.com/colletion/ibapi-9.75.1-001-py3-none-any.whl
 

install.sh

@@ -1,27 +1,36 @@
 #!/usr/bin/env bash
 
+python=$1
+pip=$2
+prefix=$3
+
+[[ -z $python ]] && python=python
+[[ -z $pip ]] && pip=pip
+[[ -z $prefix ]] && prefix=/usr
+
 # Get and build ta-lib
 pushd /tmp
 wget http://prdownloads.sourceforge.net/ta-lib/ta-lib-0.4.0-src.tar.gz
 tar -xf ta-lib-0.4.0-src.tar.gz
 cd ta-lib
-./configure --prefix=/usr
-make
+./configure --prefix=$prefix
+make -j
 sudo make install
 popd
 
 # old versions of ta-lib imports numpy in setup.py
-pip install numpy
+$pip install numpy
 
 # Install extra packages
-pip install ta-lib
-pip install https://vnpy-pip.oss-cn-shanghai.aliyuncs.com/colletion/ibapi-9.75.1-py3-none-any.whl
+$pip install --pre --extra-index-url https://rquser:[email protected]/simple/ rqdatac
+$pip install ta-lib
+$pip install https://vnpy-pip.oss-cn-shanghai.aliyuncs.com/colletion/ibapi-9.75.1-py3-none-any.whl
 
 # Install Python Modules
-pip install -r requirements.txt
+$pip install -r requirements.txt
 
 # Install local Chinese language environment
 sudo locale-gen zh_CN.GB18030
 
 # Install vn.py
-pip install .
+$pip install .

install_osx.sh

@@ -0,0 +1,3 @@
+#!/usr/bin/env bash
+
+bash ./install.sh python3 pip3 /usr/local

requirements.txt

@@ -5,11 +5,15 @@ qdarkstyle
 requests
 websocket-client
 peewee
+pymysql
+psycopg2
+mongoengine
 numpy
 pandas
 matplotlib
 seaborn
 futu-api
 tigeropen
+rqdatac
 ta-lib
 ibapi