V0.9.15 更新一批代码 (waditu#138)

* 0.9.15 start coding

* 0.9.15 fix bug

* 0.9.15 fix bug

* 0.9.15 彻底删除 get_signals 参数

* 0.9.15 新增投研数据共享接口

* 0.9.15 update

* 0.9.15 update

* 0.9.15 update

* 0.9.15 update

* 0.9.15 update

* 0.9.15 update

* 0.9.15 update

* 0.9.15 update

* 0.9.15 update docs

* 0.9.15 新增 config_to_keys

* 0.9.15 update

* 0.9.15 优化 get_signals_freqs 方法

* 0.9.15 update

* 0.9.15 update

* 0.9.15 fix bug: dummy 模式下 sdt 不生效

.github/workflows/pythonpackage.yml

@@ -5,7 +5,7 @@ name: Python package
 
 on:
   push:
-    branches: [ master, V0.9.14 ]
+    branches: [ master, V0.9.15 ]
   pull_request:
     branches: [ master ]
 

czsc/__init__.py

@@ -24,10 +24,10 @@
 from czsc.sensors import holds_concepts_effect, StocksDaySensor, ThsConceptsSensor, SignalsPerformance
 
 
-__version__ = "0.9.14"
+__version__ = "0.9.15"
 __author__ = "zengbin93"
 __email__ = "[email protected]"
-__date__ = "20230323"
+__date__ = "20230331"
 
 
 def welcome():

czsc/connectors/gm_connector.py

@@ -598,7 +598,7 @@ def sync_long_position(context, trader: CzscTrader):
 
     symbol = trader.symbol
     name = context.stocks.get(symbol, "无名标的")
-    long_pos = trader.get_ensemble_pos(method='vote')
+    ensemble_pos = trader.get_ensemble_pos(method='vote')
     max_sym_pos = context.symbols_info[symbol]['max_sym_pos']  # 最大标的仓位
     if context.mode == MODE_BACKTEST:
         account = context.account()
@@ -608,20 +608,24 @@ def sync_long_position(context, trader: CzscTrader):
 
     price = trader.latest_price
     sym_position = account.position(symbol, PositionSide_Long)
-    if long_pos == 0 and not sym_position:
+    if ensemble_pos == 0 and not sym_position:
         # 如果多头仓位为0且掘金账户没有对应持仓，直接退出
         return
 
-    if long_pos == 0 and sym_position and sym_position.volume > 0:
+    if ensemble_pos == 0 and sym_position and sym_position.volume > 0:
         # 如果多头仓位为0且掘金账户依然还有持仓，清掉仓位
         order_target_volume(symbol=symbol, volume=0, position_side=PositionSide_Long,
                             order_type=OrderType_Limit, price=price, account=account.id)
         return
 
+    # 没有仓位变化，直接退出
     if not trader.pos_changed:
         return
 
-    assert long_pos > 0
+    # 仓位指向空头，直接退出
+    if ensemble_pos < 0:
+        return
+
     if cash.available < price * 120:
         logger.info(f"{context.now} {symbol} {name} 可用资金不足，无法开多仓，最少所需资金{int(price * 120)}元")
         return
@@ -630,7 +634,7 @@ def sync_long_position(context, trader: CzscTrader):
         logger.info(f"{context.now} {symbol} {name} 同方向订单已存在")
         return
 
-    percent = max_sym_pos * long_pos
+    percent = max_sym_pos * ensemble_pos
     volume = int((cash.nav * percent / price // 100) * 100)     # 单位：股
     order_target_volume(symbol=symbol, volume=volume, position_side=PositionSide_Long,
                         order_type=OrderType_Limit, price=price, account=account.id)
@@ -736,7 +740,7 @@ def init_context_traders(context, symbols: List[str], strategy):
             else:
                 tactic = strategy(symbol=symbol)
                 bg, data = get_init_bg(symbol, context.now, base_freq, freqs, 1000, ADJUST_PREV)
-                trader = CzscTrader(bg, get_signals=tactic.get_signals, positions=tactic.positions)
+                trader = CzscTrader(bg, signals_config=tactic.signals_config, positions=tactic.positions)
                 dill.dump(trader, open(file_trader, 'wb'))
 
             symbols_info[symbol]['trader'] = trader

czsc/connectors/research.py

@@ -0,0 +1,55 @@
+# -*- coding: utf-8 -*-
+"""
+author: zengbin93
+email: [email protected]
+create_dt: 2023/3/5 20:45
+describe: CZSC投研数据共享接口
+
+投研数据共享说明（含下载地址）：https://s0cqcxuy3p.feishu.cn/wiki/wikcnzuPawXtBB7Cj7mqlYZxpDh
+"""
+import os
+import czsc
+import glob
+import pandas as pd
+
+# 投研共享数据的本地缓存路径，需要根据实际情况修改
+cache_path = os.environ.get('czsc_research_cache', r"D:\CZSC投研数据")
+if not os.path.exists(cache_path):
+    raise ValueError(f"请设置环境变量 czsc_research_cache 为投研共享数据的本地缓存路径，当前路径不存在：{cache_path}。\n\n"
+                     f"投研数据共享说明（含下载地址）：https://s0cqcxuy3p.feishu.cn/wiki/wikcnzuPawXtBB7Cj7mqlYZxpDh")
+
+
+def get_symbols(name, **kwargs):
+    """获取指定分组下的所有标的代码
+
+    :param name: 分组名称，可选值：'A股主要指数', 'A股场内基金', '中证500成分股', '期货主力'
+    :param kwargs:
+    :return:
+    """
+    files = glob.glob(os.path.join(cache_path, name, "*.parquet"))
+    return [os.path.basename(x).replace('.parquet', '') for x in files]
+
+
+def get_raw_bars(symbol, freq, sdt, edt, fq='前复权', **kwargs):
+    """获取 CZSC 库定义的标准 RawBar 对象列表
+
+    :param symbol: 标的代码
+    :param freq: 周期，支持 Freq 对象，或者字符串，如
+            '1分钟', '5分钟', '15分钟', '30分钟', '60分钟', '日线', '周线', '月线', '季线', '年线'
+    :param sdt: 开始时间
+    :param edt: 结束时间
+    :param fq: 除权类型，投研共享数据默认都是后复权，不需要再处理
+    :param kwargs:
+    :return:
+    """
+    kwargs['fq'] = fq
+    file = glob.glob(os.path.join(cache_path, "*", f"{symbol}.parquet"))[0]
+    freq = czsc.Freq(freq)
+    kline = pd.read_parquet(file)
+    if 'dt' not in kline.columns:
+        kline['dt'] = pd.to_datetime(kline['datetime'])
+    kline = kline[(kline['dt'] >= sdt) & (kline['dt'] <= edt)]
+    _bars = czsc.resample_bars(kline, freq, raw_bars=True)
+    return _bars
+
+

czsc/signals/__init__.py

@@ -59,9 +59,7 @@
 from czsc.signals.bar import (
     bar_end_V221111,
     bar_operate_span_V221111,
-    bar_zdt_V221110,
-    bar_zdt_V221111,
-    bar_zdt_V230313,
+    bar_zdt_V230331,
     bar_cross_ps_V221112,
     bar_section_momentum_V221112,
     bar_vol_grow_V221112,
@@ -80,6 +78,11 @@
     bar_time_V230327,
     bar_weekday_V230328,
     bar_r_breaker_V230326,
+
+    # 以下是旧版本的信号函数，不再维护，仅供参考，不要使用
+    bar_zdt_V221110,
+    bar_zdt_V221111,
+    bar_zdt_V230313,
 )
 
 from czsc.signals.jcc import (

czsc/signals/bar.py

@@ -9,6 +9,7 @@
 from datetime import datetime
 from typing import List
 from loguru import logger
+from deprecated import deprecated
 from collections import OrderedDict
 from czsc import envs, CZSC, Signal
 from czsc.traders.base import CzscSignals
@@ -60,6 +61,42 @@ def bar_operate_span_V221111(c: CZSC, k1: str = '开多', span=("1400", "1450"))
     return create_single_signal(k1=k1, k2=k2, k3=k3, v1=v)
 
 
+def bar_zdt_V230331(c: CZSC, **kwargs) -> OrderedDict:
+    """计算倒数第di根K线的涨跌停信息
+
+    参数模板："{freq}_D{di}_涨跌停V230331"
+
+    **信号逻辑：**
+
+    - close等于high大于等于前一根K线的close，近似认为是涨停；反之，跌停。
+
+    **信号列表：**
+
+    - Signal('15分钟_D1_涨跌停V230331_涨停_任意_任意_0')
+    - Signal('15分钟_D1_涨跌停V230331_跌停_任意_任意_0')
+
+    :param c: 基础周期的 CZSC 对象
+    :param kwargs:
+        - di: 倒数第 di 根 K 线
+    :return: 信号识别结果
+    """
+    di = int(kwargs.get("di", 1))
+    freq = c.freq.value
+    k1, k2, k3 = f"{freq}_D{di}_涨跌停V230331".split("_")
+    v1 = "其他"
+    if len(c.bars_raw) < di + 2:
+        return create_single_signal(k1=k1, k2=k2, k3=k3, v1=v1)
+
+    b1, b2 = c.bars_raw[-di], c.bars_raw[-di - 1]
+    if b1.close == b1.high >= b2.close:
+        v1 = "涨停"
+    elif b1.close == b1.low <= b2.close:
+        v1 = "跌停"
+
+    return create_single_signal(k1=k1, k2=k2, k3=k3, v1=v1)
+
+
+@deprecated(version="0.9.16", reason="这个信号函数不符合规范；请使用 bar_zdt_V230331")
 def bar_zdt_V221110(c: CZSC, di=1) -> OrderedDict:
     """计算倒数第di根K线的涨跌停信息
 
@@ -95,6 +132,7 @@ def bar_zdt_V221110(c: CZSC, di=1) -> OrderedDict:
     return create_single_signal(k1=k1, k2=k2, k3=k3, v1=v1)
 
 
+@deprecated(version="0.9.16", reason="这个信号函数不符合规范；请使用 bar_zdt_V230331")
 def bar_zdt_V230313(c: CZSC, di=1, **kwargs) -> OrderedDict:
     """计算倒数第di根K线的涨跌停信息
 
@@ -124,6 +162,7 @@ def bar_zdt_V230313(c: CZSC, di=1, **kwargs) -> OrderedDict:
     return create_single_signal(k1=k1, k2=k2, k3=k3, v1=v1)
 
 
+@deprecated(version="0.9.16", reason="这个信号函数不符合规范；请使用 bar_zdt_V230331")
 def bar_zdt_V221111(cat: CzscSignals, freq: str, di: int = 1) -> OrderedDict:
     """更精确地倒数第1根K线的涨跌停计算
 

czsc/signals/tas.py

@@ -698,7 +698,7 @@ def tas_ma_base_V221101(c: CZSC, **kwargs) -> OrderedDict:
     return create_single_signal(k1=k1, k2=k2, k3=k3, v1=v1, v2=v2)
 
 
-def tas_ma_base_V221203(c: CZSC, di: int = 1, ma_type='SMA', timeperiod=5, th=100, **kwargs) -> OrderedDict:
+def tas_ma_base_V221203(c: CZSC, **kwargs) -> OrderedDict:
     """MA 多空和方向信号，加距离限制
 
     参数模板："{freq}_D{di}{ma_type}#{timeperiod}T{th}_分类V221203"
@@ -721,11 +721,12 @@ def tas_ma_base_V221203(c: CZSC, di: int = 1, ma_type='SMA', timeperiod=5, th=10
     - Signal('15分钟_D1SMA#5T100_分类V221203_空头_向上_远离_0')
 
     :param c: CZSC对象
-    :param di: 信号计算截止倒数第i根K线
-    :param ma_type: 均线类型，必须是 `ma_type_map` 中的 key
-    :param timeperiod: 均线计算周期
-    :param th: 距离阈值，单位 BP
-    :return:
+    :param kwargs:
+        - di: 信号计算截止倒数第i根K线
+        - ma_type: 均线类型，必须是 `ma_type_map` 中的 key
+        - timeperiod: 均线计算周期
+        - th: 距离阈值，单位 BP
+    :return: 信号识别结果
     """
     di = int(kwargs.get('di', 1))
     ma_type = kwargs.get('ma_type', 'SMA').upper()
@@ -979,9 +980,9 @@ def update_kdj_cache(c: CZSC, **kwargs):
     :param c: CZSC对象
     :return:
     """
-    fastk_period = kwargs.get('fastk_period', 9)
-    slowk_period = kwargs.get('slowk_period', 3)
-    slowd_period = kwargs.get('slowd_period', 3)
+    fastk_period = int(kwargs.get('fastk_period', 9))
+    slowk_period = int(kwargs.get('slowk_period', 3))
+    slowd_period = int(kwargs.get('slowd_period', 3))
     cache_key = f"KDJ{fastk_period}#{slowk_period}#{slowd_period}"
 
     if c.bars_raw[-1].cache and c.bars_raw[-1].cache.get(cache_key, None):