移植 Python 量化交易 TA-Lib 库到函数计算

TA-Lib全称“Technical Analysis Library”, 即技术分析库，是 Python 金融量化的高级库，涵盖了 150 多种股票、期货交易软件中常用的技术分析指标，如 MACD、RSI、KDJ、动量指标、布林带等等。

TA-Lib 可分为 10 个子板块：

• Overlap Studies(重叠指标)
• Momentum Indicators(动量指标)
• Volume Indicators(交易量指标)
• Cycle Indicators(周期指标)
• Price Transform(价格变换)
• Volatility Indicators(波动率指标)
• Pattern Recognition(模式识别)
• Statistic Functions(统计函数)
• Math Transform(数学变换)
• Math Operators(数学运算)

 

本文介绍通过 Funcraft 的模板将 Python 量化交易库 TA-lib 移植到函数计算。

依赖工具

本项目是在 MacOS 下开发的，涉及到的工具是平台无关的，对于 Linux 和 Windows 桌面系统应该也同样适用。在开始本例之前请确保如下工具已经正确的安装，更新到最新版本，并进行正确的配置。

• Docker
• Funcraft

对于 MacOS 用户可以使用 homebrew 进行安装：

brew cask install dockerbrew tap vangie/formulabrew install fun

安装好后，记得先执行 fun config 初始化一下配置。

初始化

使用 fun init 命令可以快捷地将本模板项目初始化到本地。

fun init vangie/ta-lib-example

安装依赖

$ fun installusing template: template.ymlstart installing function dependencies without dockerbuilding ta-lib-example/ta-lib-exampleFunfile exist, Fun will use container to build forcelyStep 1/5 : FROM registry.cn-beijing.aliyuncs.com/aliyunfc/runtime-python3.6:build-1.7.7 ---> 373f5819463bStep 2/5 : COPY ta-lib-0.4.0-src.tar.gz /tmp ---> Using cache ---> 64f9f85112b4Step 3/5 : RUN cd /tmp; tar -xzf ta-lib-0.4.0-src.tar.gz ---> Using cache ---> 9f2d3f836de9Step 4/5 : RUN cd /tmp/ta-lib/ ;     ./configure --prefix=/code/.fun/root/usr ;     make ; make install ---> Using cache ---> 7725836973d4Step 5/5 : RUN TA_LIBRARY_PATH=/code/.fun/root/usr/lib     TA_INCLUDE_PATH=/code/.fun/root/usr/include     fun-install pip install TA-Lib ---> Using cache ---> a338e71895b7sha256:a338e71895b74a0be98278f35da38c48545f04a54e19ec9e689bab976265350bSuccessfully built a338e71895b7Successfully tagged fun-cache-d4ac1d89-5b75-4429-933a-2260e2f7fbec:latestcopying function artifact to /Users/vangie/Workspace/ta-lib-example/{{ projectName }}Install SuccessTips for next step======================* Invoke Event Function: fun local invoke* Invoke Http Function: fun local start* Build Http Function: fun build* Deploy Resources: fun deploy

本地调用

$ fun local invokeusing template: template.ymlMissing invokeName argument, Fun will use the first function ta-lib-example/ta-lib-example as invokeNameskip pulling image aliyunfc/runtime-python3.6:1.7.7...FunctionCompute python3 runtime inited.FC Invoke Start RequestId: dc1495b2-13ec-4ecf-a2dc-a0026d82651aFC Invoke End RequestId: dc1495b2-13ec-4ecf-a2dc-a0026d82651a[    "HT_DCPERIOD",    "HT_DCPHASE",    "HT_PHASOR",    "HT_SINE",    "HT_TRENDMODE"]RequestId: dc1495b2-13ec-4ecf-a2dc-a0026d82651a          Billed Duration: 350 ms         Memory Size: 1998 MB    Max Memory Used: 34 MB

部署

$ fun deployusing template: template.ymlusing region: cn-shanghaiusing accountId: ***********4733using accessKeyId: ***********EUz3using timeout: 600Waiting for service ta-lib-example to be deployed...        Waiting for function ta-lib-example to be deployed...                Waiting for packaging function ta-lib-example code...                The function ta-lib-example has been packaged. A total of 39 files files were compressed and the final size was 3.23 MB        function ta-lib-example deploy successservice ta-lib-example deploy success

执行

$ fun invokeusing template: template.ymlMissing invokeName argument, Fun will use the first function ta-lib-example/ta-lib-example as invokeName========= FC invoke Logs begin =========FC Invoke Start RequestId: 83e23eba-02b4-4380-bbca-daec6856bf4aFC Invoke End RequestId: 83e23eba-02b4-4380-bbca-daec6856bf4aDuration: 213.86 ms, Billed Duration: 300 ms, Memory Size: 128 MB, Max Memory Used: 43.50 MB========= FC invoke Logs end =========FC Invoke Result:[    "HT_DCPERIOD",    "HT_DCPHASE",    "HT_PHASOR",    "HT_SINE",    "HT_TRENDMODE"