打造属于自己的量化投资系统10——基于tick数据进行backtrader回测

1.环境安装：

在backtrader目录下，新建文件夹，并且命名为juexing2020.com
下载download.py和interface.py文件，并保存到juexing2020.com文件夹

2.实时数据回测

运行download.py：从服务端实时下载股票交易数据，以csv格式保存数据到本地目录
运行backtrader，加载csv数据，进行股票实时回测

# -*- coding: utf-8 -*-
"""
Created on Thu Jun  4 16:20:54 2020

文件名：download


@作者: juexing2020
@微信号：sleeping2020
@博客：https://blog.csdn.net/dreamchina8888
@网站地址：www.juexing2020.com

如果需要正式的授权码，那么请加微信联系！

"""

from interface import StockData


class Download():
    
    def downloadRealTimeData():
        
        filePath='..\\datas\\'#下载数据存储目录
        stockCodeList=['000001.sz']#股票代码：股票代码.市场（沪市sh，深市sz）
        start_date='2020-06-03'
        end_date='2020-12-04'
        auth_code='juexing2020.com' #测试的授权码
        
        StockData.getRealTimeData(filePath,auth_code,stockCodeList,start_date,end_date)
        
        
if __name__=='__main__':
    while 1==1:
        Download.downloadRealTimeData()

# -*- coding: utf-8 -*-
"""
Created on Thu Jun  4 16:20:54 2020

文件名：interface.py


@作者: juexing2020
@微信号：sleeping2020
@博客：https://blog.csdn.net/dreamchina8888
@网站地址：www.juexing2020.com

如果需要正式的授权码，那么请加微信联系！

"""


import requests
import pandas as pd
import os


class StockData():
    def getRealTimeData(filePath,authcode,stockcodeList,startdate=None,enddate=None):
        print(filePath)
        '''
        获取实时数据
        '''
        for stockcode in stockcodeList:
            filename=filePath+str(stockcode)
            stockData=StockDataInterface()
            id=StockDataInterface.getMaxId(filename)
            dataframe=stockData.getStockDataRealTime(authcode,stockcode,id,startdate,enddate)
            StockDataInterface.saveDataframeToCSV(filename,dataframe)
            print('数据保存的路径',filename)
        

class StockDataInterface:
    '''
        获取实时交易数据接口
    '''
    
    def __init__(self):
        #交易接口数据
        self.domain_url='http://data.juexing2020.com:8888/api/v1/'
        
    
    def getStockCode(self,auth_code):
        url=str(self.domain_url)+"getStockCode?auth_code="+str(auth_code)
        request = requests.get(url)
        if request.status_code==200:
            request.encoding = 'utf-8'
            dataframe = pd.read_json(request.text)
            return dataframe
        
        print('获取数据失败，状态码是',request.status_code)
    
    def getStockDataDay(self,auth_code,start_date,end_date,stock_code):
        url=str(self.domain_url)+"getStockDataDay?auth_code="+str(auth_code)+"&start_date="+str(start_date)+"&end_date="+str(end_date)+"&stock_code="+str(stock_code)
        
        print(url)
        request = requests.get(url)
        if request.status_code==200:
            request.encoding = 'utf-8'
            dataframe = pd.read_json(request.text)
            return dataframe
        
        print('获取数据失败，状态码是',request.status_code)
        
    def getStockDataRealTime(self,auth_code,stock_code,id=None,start_date=None,end_date=None):
        
        url=str(self.domain_url)+"getStockDataRealTime?auth_code="+str(auth_code)+"&stock_code="+str(stock_code)
        if id !=None:
            url=url+"&id="+str(id)
        
        if start_date !=None:
            url=url+"&start_date="+str(start_date)
            
        
        if end_date !=None:
            url=url+"&end_date="+str(end_date)
            
        
        print(url)
        request = requests.get(url)
        if request.status_code==200:
            request.encoding = 'utf-8'
            dataframe = pd.read_json(request.text)
            return dataframe
        
        print('获取数据失败，状态码是',request.status_code)

    def saveDataframeToCSV(file_name,data_frame):
        '''
        保存dataframe 到csv文件
        '''
        isFile=os.path.isfile(file_name)
        
        if isFile:
            data_frame.to_csv(file_name,encoding = 'gbk',mode='a', header=False)
        else:
            data_frame.to_csv(file_name,encoding = 'gbk')
    
    def getMaxId(file_name):
        '''
        fname为所读xx.txt文件
        输出为：文件第一行和最后一行
        '''
        maxid=-1
        try:
            with open(file_name, 'r') as f:  #打开文件
                lines = f.readlines() #读取所有行
                if len(lines)>1:
                    last_line = lines[-1] #取最后一行     
                    maxid=last_line.split(',')[1]
                    
        except Exception:
            return maxid
        return maxid

3.实时数据回测

# -*- coding: utf-8 -*-

"""
Created on Thu Jun  4 16:20:54 2020

文件名：interface.py


@作者: juexing2020
@微信号：sleeping2020
@博客：https://blog.csdn.net/dreamchina8888
@网站地址：www.juexing2020.com

如果需要正式的授权码，那么请加微信联系！

"""


from __future__ import (absolute_import, division, print_function,
                        unicode_literals)

import datetime
import backtrader as bt # 引入backtrader框架



class StrategyClass(bt.Strategy):
    #'股票策略
    def __init__(self):
        pass
    def next(self):
        pass



class Backtrader():
    
    def run(datapath):
        
        cerebro=bt.Cerebro()
        data=bt.feeds.GenericCSVData(dataname=datapath,
                                     fromdate = datetime.datetime(2020, 6, 1),
                                     todate = datetime.datetime(2020, 9, 1),
                                     nullvalue=0.0,
                                     dtformat=('%Y-%m-%d %H:%M:%S'),
                                     datetime=2,
                                     open=3,
                                     high=5,
                                     low=6,
                                     close=12,
                                     volume=7,
                                     openinterest=-1)
        
        
        cerebro.adddata(data)
        cerebro.addstrategy(StrategyClass)
        #设置金额，默认是100000
        cerebro.broker.set_cash(200000)
        cerebro.run(maxcpu=1)
        cerebro.plot()

if __name__=='__main__':
    
    datapath='.\\datas\\000001.sz'
    Backtrader.run(datapath)