修改BarData和TickData数据类型

.gitignore

@@ -39,6 +39,7 @@ Release/
 *.local
 *.temp
 *.vt
+*.log
 
 vn.ctp/build/*
 vn.lts/build/*

vnpy/trader/ctaStrategy/ctaBacktesting.py

@@ -13,6 +13,7 @@
 import pymongo
 
 from vnpy.trader.vtGlobal import globalSetting
+from vnpy.trader.vtObject import VtTickData, VtBarData
 from vnpy.trader.vtConstant import *
 from vnpy.trader.vtGateway import VtOrderData, VtTradeData
 
@@ -127,10 +128,10 @@ def loadHistoryData(self):
 
         # 首先根据回测模式，确认要使用的数据类
         if self.mode == self.BAR_MODE:
-            dataClass = CtaBarData
+            dataClass = VtBarData
             func = self.newBar
         else:
-            dataClass = CtaTickData
+            dataClass = VtTickData
             func = self.newTick
 
         # 载入初始化需要用的数据
@@ -163,10 +164,10 @@ def runBacktesting(self):
 
         # 首先根据回测模式，确认要使用的数据类
         if self.mode == self.BAR_MODE:
-            dataClass = CtaBarData
+            dataClass = VtBarData
             func = self.newBar
         else:
-            dataClass = CtaTickData
+            dataClass = VtTickData
             func = self.newTick
 
         self.output(u'开始回测')

vnpy/trader/ctaStrategy/ctaBase.py

@@ -35,8 +35,6 @@
 
 # CTA引擎中涉及的数据类定义
 from vnpy.trader.vtConstant import EMPTY_UNICODE, EMPTY_STRING, EMPTY_FLOAT, EMPTY_INT
-from vnpy.trader.vtObject import VtBarData as CtaBarData
-from vnpy.trader.vtObject import VtTickData as CtaTickData
 
 
 ########################################################################

vnpy/trader/ctaStrategy/ctaEngine.py

@@ -27,6 +27,7 @@
 from vnpy.event import Event
 from vnpy.trader.vtEvent import *
 from vnpy.trader.vtConstant import *
+from vnpy.trader.vtObject import VtTickData, VtBarData
 from vnpy.trader.vtGateway import VtSubscribeReq, VtOrderReq, VtCancelOrderReq, VtLogData
 from vnpy.trader.vtFunction import todayDate
 
@@ -252,19 +253,14 @@ def processTickEvent(self, event):
 
         # 推送tick到对应的策略实例进行处理
         if tick.vtSymbol in self.tickStrategyDict:
-            # 将vtTickData数据转化为ctaTickData
-            ctaTick = CtaTickData()
-            d = ctaTick.__dict__
-            for key in d.keys():
-                if key != 'datetime':
-                    d[key] = tick.__getattribute__(key)
             # 添加datetime字段
-            ctaTick.datetime = datetime.strptime(' '.join([tick.date, tick.time]), '%Y%m%d %H:%M:%S.%f')
+            if not tick.datetime:
+                tick.datetime = datetime.strptime(' '.join([tick.date, tick.time]), '%Y%m%d %H:%M:%S.%f')
 
             # 逐个推送到策略实例中
             l = self.tickStrategyDict[tick.vtSymbol]
             for strategy in l:
-                self.callStrategyFunc(strategy, strategy.onTick, ctaTick)
+                self.callStrategyFunc(strategy, strategy.onTick, tick)
 
     #----------------------------------------------------------------------
     def processOrderEvent(self, event):
@@ -330,7 +326,7 @@ def registerEvent(self):
 
     #----------------------------------------------------------------------
     def insertData(self, dbName, collectionName, data):
-        """插入数据到数据库（这里的data可以是CtaTickData或者CtaBarData）"""
+        """插入数据到数据库（这里的data可以是VtTickData或者VtBarData）"""
         self.mainEngine.dbInsert(dbName, collectionName, data.__dict__)
 
     #----------------------------------------------------------------------
@@ -343,7 +339,7 @@ def loadBar(self, dbName, collectionName, days):
 
         l = []
         for d in barData:
-            bar = CtaBarData()
+            bar = VtBarData()
             bar.__dict__ = d
             l.append(bar)
         return l
@@ -358,7 +354,7 @@ def loadTick(self, dbName, collectionName, days):
 
         l = []
         for d in tickData:
-            tick = CtaTickData()
+            tick = VtTickData()
             tick.__dict__ = d
             l.append(tick)
         return l    

vnpy/trader/ctaStrategy/ctaHistoryData.py

@@ -15,8 +15,8 @@
 
 from vnpy.trader.vtGlobal import globalSetting
 from vnpy.trader.vtConstant import *
+from vnpy.trader.vtObject import VtBarData
 
-from vnpy.trader.ctaStrategy.ctaBase import *
 from vnpy.trader.ctaStrategy.datayesClient import DatayesClient
 
 
@@ -137,7 +137,7 @@ def downloadFuturesDailyBar(self, symbol):
                                                                       unique=True)                
 
             for d in data:
-                bar = CtaBarData()
+                bar = VtBarData()
                 bar.vtSymbol = symbol
                 bar.symbol = symbol
                 try:
@@ -205,7 +205,7 @@ def downloadFuturesIntradayBar(self, symbol):
                                                                       unique=True)                
 
             for d in data:
-                bar = CtaBarData()
+                bar = VtBarData()
                 bar.vtSymbol = symbol
                 bar.symbol = symbol
                 try:
@@ -289,7 +289,7 @@ def downloadEquityDailyBar(self, symbol):
                                                                 unique=True)                
 
             for d in data:
-                bar = CtaBarData()
+                bar = VtBarData()
                 bar.vtSymbol = symbol
                 bar.symbol = symbol
                 try:
@@ -340,7 +340,7 @@ def downloadEquityDailyBarts(self, symbol):
                                                                 unique=True)                
 
             for index, d in data.iterrows():
-                bar = CtaBarData()
+                bar = VtBarData()
                 bar.vtSymbol = symbol
                 bar.symbol = symbol
                 try:
@@ -378,7 +378,7 @@ def loadMcCsv(fileName, dbName, symbol):
     # 读取数据和插入到数据库
     reader = csv.DictReader(file(fileName, 'r'))
     for d in reader:
-        bar = CtaBarData()
+        bar = VtBarData()
         bar.vtSymbol = symbol
         bar.symbol = symbol
         bar.open = float(d['Open'])
@@ -412,7 +412,7 @@ def loadTdxCsv(fileName, dbName, symbol):
     # 读取数据和插入到数据库
     reader = csv.reader(file(fileName, 'r'))
     for d in reader:
-        bar = CtaBarData()
+        bar = VtBarData()
         bar.vtSymbol = symbol
         bar.symbol = symbol
         bar.open = float(d[2])

vnpy/trader/ctaStrategy/strategy/strategyAtrRsi.py

@@ -13,6 +13,7 @@
 import talib
 import numpy as np
 
+from vnpy.trader.vtObject import VtBarData
 from vnpy.trader.vtConstant import EMPTY_STRING
 from vnpy.trader.ctaStrategy.ctaTemplate import CtaTemplate
 
@@ -124,7 +125,7 @@ def onTick(self, tick):
             if self.bar:
                 self.onBar(self.bar)
 
-            bar = CtaBarData()              
+            bar = VtBarData()              
             bar.vtSymbol = tick.vtSymbol
             bar.symbol = tick.symbol
             bar.exchange = tick.exchange

vnpy/trader/ctaStrategy/strategy/strategyDualThrust.py

@@ -6,6 +6,7 @@
 
 from datetime import time
 
+from vnpy.trader.vtObject import VtBarData
 from vnpy.trader.vtConstant import EMPTY_STRING
 from vnpy.trader.ctaStrategy.ctaTemplate import CtaTemplate
 
@@ -100,7 +101,7 @@ def onTick(self, tick):
             if self.bar:
                 self.onBar(self.bar)
 
-            bar = CtaBarData()              
+            bar = VtBarData()              
             bar.vtSymbol = tick.vtSymbol
             bar.symbol = tick.symbol
             bar.exchange = tick.exchange

vnpy/trader/ctaStrategy/strategy/strategyEmaDemo.py

@@ -11,7 +11,9 @@
 也希望社区能做出一个解决了以上潜在风险的Demo出来。
 """
 
+from __future__ import division
 
+from vnpy.trader.vtObject import VtBarData
 from vnpy.trader.vtConstant import EMPTY_STRING, EMPTY_FLOAT
 from vnpy.trader.ctaStrategy.ctaTemplate import CtaTemplate
 
@@ -101,7 +103,7 @@ def onTick(self, tick):
             if self.bar:
                 self.onBar(self.bar)
 
-            bar = CtaBarData()              
+            bar = VtBarData()              
             bar.vtSymbol = tick.vtSymbol
             bar.symbol = tick.symbol
             bar.exchange = tick.exchange

vnpy/trader/ctaStrategy/strategy/strategyKingKeltner.py

@@ -15,6 +15,7 @@
 import talib
 import numpy as np
 
+from vnpy.trader.vtObject import VtBarData
 from vnpy.trader.vtConstant import EMPTY_STRING
 from vnpy.trader.ctaStrategy.ctaTemplate import CtaTemplate
 
@@ -110,7 +111,7 @@ def onTick(self, tick):
             if self.bar:
                 self.onBar(self.bar)
 
-            bar = CtaBarData()              
+            bar = VtBarData()              
             bar.vtSymbol = tick.vtSymbol
             bar.symbol = tick.symbol
             bar.exchange = tick.exchange
@@ -154,7 +155,7 @@ def onBar(self, bar):
         else:
             # 如果没有缓存则新建
             if not self.fiveBar:
-                fiveBar = CtaBarData()
+                fiveBar = VtBarData()
 
                 fiveBar.vtSymbol = bar.vtSymbol
                 fiveBar.symbol = bar.symbol

vnpy/trader/ctaStrategy/tools/ctaLineBar.py

@@ -4,7 +4,7 @@
 # WeChat/QQ: 28888502
 
 from vtConstant import *
-from ctaBase import *
+from vnpy.trader.vtObject import VtBarData
 
 from datetime import datetime
 
@@ -240,7 +240,7 @@ def onBar(self, bar):
 
     def __firstTick(self,tick):
         """ K线的第一个Tick数据"""
-        self.bar = CtaBarData()                  # 创建新的K线
+        self.bar = VtBarData()                  # 创建新的K线
 
         self.bar.vtSymbol = tick.vtSymbol
         self.bar.symbol = tick.symbol

vnpy/trader/ctaStrategy/tools/multiTimeFrame/ctaBacktestMultiTF.py

@@ -9,6 +9,7 @@
 
 from __future__ import division
 
+from vnpy.trader.vtObject import VtTickData, VtBarData
 from ctaBacktesting import *
 
 class BacktestEngineMultiTF(BacktestingEngine):
@@ -84,10 +85,10 @@ def loadHistoryData(self):
         # 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.dataClass = VtBarData
             self.func      = self.newBar
         else:
-            self.dataClass = CtaTickData
+            self.dataClass = VtTickData
             self.func = self.newTick
 
         # Load initializing data
@@ -164,7 +165,7 @@ def checkInformationData(self):
             if (data is not None) and (data['datetime'] <= self.dt):
 
                 try:
-                    temp[info_symbol] = CtaBarData()
+                    temp[info_symbol] = VtBarData()
                     temp[info_symbol].__dict__ = data
                     self.infobar[info_symbol] = next(self.InfoCursor[info_symbol])
                 except StopIteration:

vnpy/trader/ctaStrategy/tools/multiTimeFrame/ctaStrategyMultiTF.py

@@ -3,6 +3,7 @@
 This file tweaks ctaTemplate Module to suit multi-TimeFrame strategies.
 """
 
+
 from strategyAtrRsi import *
 from ctaBase import *
 from ctaTemplate import CtaTemplate