vn.py量化交易平台指标计算源码

包括了大部分指标计算的传参，回传参数

#!/usr/bin/python3
# -*- coding: UTF-8 -*-
# add by gaolong.liu

"""
General utility functions.
"""

import json
import logging
import sys
from pathlib import Path
from typing import Callable, Tuple, Union, Optional
from decimal import Decimal
from math import floor, ceil

import numpy as np
import talib

from .object import BarData, TickData
from base.constant import Exchange, Interval


log_formatter = logging.Formatter('[%(asctime)s] %(message)s')


def extract_vt_symbol(vt_symbol: str) -> Tuple[str, Exchange]:
    """
    :return: (symbol, exchange)
    """
    ind = vt_symbol.rfind(".")
    symbol = vt_symbol[0:ind]
    exchange_str = vt_symbol[ind + 1:]
    # symbol, exchange_str = vt_symbol.split(".")
    return symbol, Exchange(exchange_str)


def generate_vt_symbol(symbol: str, exchange: Exchange) -> str:
    """
    return vt_symbol
    """
    return f"{symbol}.{exchange.value}"


def _get_trader_dir(temp_name: str) -> Tuple[Path, Path]:
    """
    Get path where trader is running in.
    """
    cwd = Path.cwd()
    temp_path = cwd.joinpath(temp_name)

    # If .vntrader folder exists in current working directory,
    # then use it as trader running path.
    if temp_path.exists():
        return cwd, temp_path

    # Otherwise use home path of system.
    home_path = Path.home()
    temp_path = home_path.joinpath(temp_name)

    # Create .vntrader folder under home path if not exist.
    if not temp_path.exists():
        temp_path.mkdir()

    return home_path, temp_path


TRADER_DIR, TEMP_DIR = _get_trader_dir(".vntrader")
sys.path.append(str(TRADER_DIR))


def get_file_path(filename: str) -> Path:
    """
    Get path for temp file with filename.
    """
    return TEMP_DIR.joinpath(filename)


def get_folder_path(folder_name: str) -> Path:
    """
    Get path for temp folder with folder name.
    """
    folder_path = TEMP_DIR.joinpath(folder_name)
    if not folder_path.exists():
        folder_path.mkdir()
    return folder_path


def get_icon_path(filepath: str, ico_name: str) -> str:
    """
    Get path for icon file with ico name.
    """
    ui_path = Path(filepath).parent
    icon_path = ui_path.joinpath("ico", ico_name)
    return str(icon_path)


def load_json(filename: str) -> dict:
    """
    Load data from json file in temp path.
    """
    filepath = get_file_path(filename)

    if filepath.exists():
        with open(filepath, mode="r", encoding="UTF-8") as f:
            data = json.load(f)
        return data
    else:
        save_json(filename, {})
        return {}


def save_json(filename: str, data: dict) -> None:
    """
    Save data into json file in temp path.
    """
    filepath = get_file_path(filename)
    with open(filepath, mode="w+", encoding="UTF-8") as f:
        json.dump(
            data,
            f,
            indent=4,
            ensure_ascii=False
        )


def round_to(value: float, target: float) -> float:
    """
    Round price to price tick value.
    """
    value = Decimal(str(value))
    target = Decimal(str(target))
    rounded = float(int(round(value / target)) * target)
    return rounded


def floor_to(value: float, target: float) -> float:
    """
    Similar to math.floor function, but to target float number.
    """
    value = Decimal(str(value))
    target = Decimal(str(target))
    result = float(int(floor(value / target)) * target)
    return result


def ceil_to(value: float, target: float) -> float:
    """
    Similar to math.ceil function, but to target float number.
    """
    value = Decimal(str(value))
    target = Decimal(str(target))
    result = float(int(ceil(value / target)) * target)
    return result


def get_digits(value: float) -> int:
    """
    Get number of digits after decimal point.
    """
    value_str = str(value)

    if "e-" in value_str:
        _, buf = value_str.split("e-")
        return int(buf)
    elif "." in value_str:
        _, buf = value_str.split(".")
        return len(buf)
    else:
        return 0


class BarGenerator:
    """
    For:
    1. generating 1 minute bar data from tick data
    2. generating x minute bar/x hour bar data from 1 minute data

    Notice:
    1. for x minute bar, x must be able to divide 60: 2, 3, 5, 6, 10, 15, 20, 30
    2. for x hour bar, x can be any number
    """

    def __init__(
        self,
        on_bar: Callable,
        window: int = 0,
        on_window_bar: Callable = None,
        interval: Interval = Interval.MINUTE
    ):
        """Constructor"""
        self.bar: BarData = None
        self.on_bar: Callable = on_bar

        self.interval: Interval = interval
        self.interval_count: int = 0

        self.hour_bar: BarData = None

        self.window: int = window
        self.window_bar: BarData = None
        self.on_window_bar: Callable = on_window_bar

        self.last_tick: TickData = None

    def update_tick(self, tick: TickData) -> None:
        """
        Update new tick data into generator.
        """
        new_minute = False

        # Filter tick data with 0 last price
        if not tick.last_price:
            return

        # Filter tick data with older timestamp
        if self.last_tick and tick.datetime < self.last_tick.datetime:
            return

        if not self.bar:
            new_minute = True
        elif (
            (self.bar.datetime.minute != tick.datetime.minute)
            or (self.bar.datetime.hour != tick.datetime.hour)
        ):
            self.bar.datetime = self.bar.datetime.replace(
                second=0, microsecond=0
            )
            self.on_bar(self.bar)

            new_minute = True

        if new_minute:
            self.bar = BarData(
                symbol=tick.symbol,
                exchange=tick.exchange,
                interval=Interval.MINUTE,
                datetime=tick.datetime,
                gateway_name=tick.gateway_name,
                open_price=tick.last_price,
                high_price=tick.last_price,
                low_price=tick.last_price,
                close_price=tick.last_price,
                open_interest=tick.open_interest
            )
        else:
            self.bar.high_price = max(self.bar.high_price, tick.last_price)
            if tick.high_price > self.last_tick.high_price:
                self.bar.high_price = max(self.bar.high_price, tick.high_price)

            self.bar.low_price = min(self.bar.low_price, tick.last_price)
            if tick.low_price < self.last_tick.low_price:
                self.bar.low_price = min(self.bar.low_price, tick.low_price)

            self.bar.close_price = tick.last_price
            self.bar.open_interest = tick.open_interest
            self.bar.datetime = tick.datetime

        if self.last_tick:
            volume_change = tick.volume - self.last_tick.volume
            self.bar.volume += max(volume_change, 0)

            turnover_change = tick.turnover - self.last_tick.turnover
            self.bar.turnover += max(turnover_change, 0)

        self.last_tick = tick

    def update_bar(self, bar: BarData) -> None:
        """
        Update 1 minute bar into generator
        """
        if self.interval == Interval.MINUTE:
            self.update_bar_minute_window(bar)
        else:
            self.update_bar_hour_window(bar)

    def update_bar_minute_window(self, bar: BarData) -> None:
        """"""
        # If not inited, create window bar object
        if not self.window_bar:
            dt = bar.datetime.replace(second=0, microsecond=0)
            self.window_bar = BarData(
                symbol=bar.symbol,
                exchange=bar.exchange,
                datetime=dt,
                gateway_name=bar.gateway_name,
                open_price=bar.open_price,
                high_price=bar.high_price,
                low_price=bar.low_price
            )
        # Otherwise, update high/low price into window bar
        else:
            self.window_bar.high_price = max(
                self.window_bar.high_price,
                bar.high_price
            )
            self.window_bar.low_price = min(
                self.window_bar.low_price,
                bar.low_price
            )

        # Update close price/volume/turnover into window bar
        self.window_bar.close_price = bar.close_price
        self.window_bar.volume += bar.volume
        self.window_bar.turnover += bar.turnover
        self.window_bar.open_interest = bar.open_interest

        # Check if window bar completed
        if not (bar.datetime.minute + 1) % self.window:
            self.on_window_bar(self.window_bar)
            self.window_bar = None

    def update_bar_hour_window(self, bar: BarData) -> None:
        """"""
        # If not inited, create window bar object
        if not self.hour_bar:
            dt = bar.datetime.replace(minute=0, second=0, microsecond=0)
            self.hour_bar = BarData(
                symbol=bar.symbol,
                exchange=bar.exchange,
                datetime=dt,
                gateway_name=bar.gateway_name,
                open_price=bar.open_price,
                high_price=bar.high_price,
                low_price=bar.low_price,
                close_price=bar.close_price,
                volume=bar.volume,
                turnover=bar.turnover,
                open_interest=bar.open_interest
            )
            return

        finished_bar = None

        # If minute is 59, update minute bar into window bar and push
        if bar.datetime.minute == 59:
            self.hour_bar.high_price = max(
                self.hour_bar.high_price,
                bar.high_price
            )
            self.hour_bar.low_price = min(
                self.hour_bar.low_price,
                bar.low_price
            )

            self.hour_bar.close_price = bar.close_price
            self.hour_bar.volume += bar.volume
            self.hour_bar.turnover += bar.turnover
            self.hour_bar.open_interest = bar.open_interest

            finished_bar = self.hour_bar
            self.hour_bar = None

        # If minute bar of new hour, then push existing window bar
        elif bar.datetime.hour != self.hour_bar.datetime.hour:
            finished_bar = self.hour_bar

            dt = bar.datetime.replace(minute=0, second=0, microsecond=0)
            self.hour_bar = BarData(
                symbol=bar.symbol,
                exchange=bar.exchange,
                datetime=dt,
                gateway_name=bar.gateway_name,
                open_price=bar.open_price,
                high_price=bar.high_price,
                low_price=bar.low_price,
                close_price=bar.close_price,
                volume=bar.volume,
                turnover=bar.turnover,
                open_interest=bar.open_interest
            )
        # Otherwise only update minute bar
        else:
            self.hour_bar.high_price = max(
                self.hour_bar.high_price,
                bar.high_price
            )
            self.hour_bar.low_price = min(
                self.hour_bar.low_price,
                bar.low_price
            )

            self.hour_bar.close_price = bar.close_price
            self.hour_bar.volume += bar.volume
            self.hour_bar.turnover += bar.turnover
            self.hour_bar.open_interest = bar.open_interest

        # Push finished window bar
        if finished_bar:
            self.on_hour_bar(finished_bar)

    def on_hour_bar(self, bar: BarData) -> None:
        """"""
        if self.window == 1:
            self.on_window_bar(bar)
        else:
            if not self.window_bar:
                self.window_bar = BarData(
                    symbol=bar.symbol,
                    exchange=bar.exchange,
                    datetime=bar.datetime,
                    gateway_name=bar.gateway_name,
                    open_price=bar.open_price,
                    high_price=bar.high_price,
                    low_price=bar.low_price
                )
            else:
                self.window_bar.high_price = max(
                    self.window_bar.high_price,
                    bar.high_price
                )
                self.window_bar.low_price = min(
                    self.window_bar.low_price,
                    bar.low_price
                )

            self.window_bar.close_price = bar.close_price
            self.window_bar.volume += bar.volume
            self.window_bar.turnover += bar.turnover
            self.window_bar.open_interest = bar.open_interest

            self.interval_count += 1
            if not self.interval_count % self.window:
                self.interval_count = 0
                self.on_window_bar(self.window_bar)
                self.window_bar = None

    def generate(self) -> Optional[BarData]:
        """
        Generate the bar data and call callback immediately.
        """
        bar = self.bar

        if self.bar:
            bar.datetime = bar.datetime.replace(second=0, microsecond=0)
            self.on_bar(bar)

        self.bar = None
        return bar


class ArrayManager(object):
    """
    For:
    1. time series container of bar data
    2. calculating technical indicator value
    """

    def __init__(self, size: int = 100):
        """Constructor"""
        self.count: int = 0
        self.size: int = size
        self.inited: bool = False

        self.open_array: np.ndarray = np.zeros(size)
        self.high_array: np.ndarray = np.zeros(size)
        self.low_array: np.ndarray = np.zeros(size)
        self.close_array: np.ndarray = np.zeros(size)
        self.volume_array: np.ndarray = np.zeros(size)
        self.turnover_array: np.ndarray = np.zeros(size)
        self.open_interest_array: np.ndarray = np.zeros(size)

    def update_bar(self, bar: BarData) -> None:
        """
        Update new bar data into array manager.
        """
        self.count += 1
        if not self.inited and self.count >= self.size:
            self.inited = True

        self.open_array[:-1] = self.open_array[1:]
        self.high_array[:-1] = self.high_array[1:]
        self.low_array[:-1] = self.low_array[1:]
        self.close_array[:-1] = self.close_array[1:]
        self.volume_array[:-1] = self.volume_array[1:]
        self.turnover_array[:-1] = self.turnover_array[1:]
        self.open_interest_array[:-1] = self.open_interest_array[1:]

        self.open_array[-1] = bar.open_price
        self.high_array[-1] = bar.high_price
        self.low_array[-1] = bar.low_price
        self.close_array[-1] = bar.close_price
        self.volume_array[-1] = bar.volume
        self.turnover_array[-1] = bar.turnover
        self.open_interest_array[-1] = bar.open_interest

    @property
    def open(self) -> np.ndarray:
        """
        Get open price time series.
        """
        return self.open_array

    @property
    def high(self) -> np.ndarray:
        """
        Get high price time series.
        """
        return self.high_array

    @property
    def low(self) -> np.ndarray:
        """
        Get low price time series.
        """
        return self.low_array

    @property
    def close(self) -> np.ndarray:
        """
        Get close price time series.
        """
        return self.close_array

    @property
    def volume(self) -> np.ndarray:
        """
        Get trading volume time series.
        """
        return self.volume_array

    @property
    def turnover(self) -> np.ndarray:
        """
        Get trading turnover time series.
        """
        return self.turnover_array

    @property
    def open_interest(self) -> np.ndarray:
        """
        Get trading volume time series.
        """
        return self.open_interest_array

    def sma(self, n: int, array: bool = False) -> Union[float, np.ndarray]:
        """
        Simple moving average.
        """
        result = talib.SMA(self.close, n)
        if array:
            return result
        return result[-1]

    def ema(self, n: int, array: bool = False) -> Union[float, np.ndarray]:
        """
        Exponential moving average.
        """
        result = talib.EMA(self.close, n)
        if array:
            return result
        return result[-1]

    def kama(self, n: int, array: bool = False) -> Union[float, np.ndarray]:
        """
        KAMA.
        """
        result = talib.KAMA(self.close, n)
        if array:
            return result
        return result[-1]

    def wma(self, n: int, array: bool = False) -> Union[float, np.ndarray]:
        """
        WMA.
        """
        result = talib.WMA(self.close, n)
        if array:
            return result
        return result[-1]

    def apo(
        self,
        fast_period: int,
        slow_period: int,
        matype: int = 0,
        array: bool = False
    ) -> Union[float, np.ndarray]:
        """
        APO.
        """
        result = talib.APO(self.close, fast_period, slow_period, matype)
        if array:
            return result
        return result[-1]

    def cmo(self, n: int, array: bool = False) -> Union[float, np.ndarray]:
        """
        CMO.
        """
        result = talib.CMO(self.close, n)
        if array:
            return result
        return result[-1]

    def mom(self, n: int, array: bool = False) -> Union[float, np.ndarray]:
        """
        MOM.
        """
        result = talib.MOM(self.close, n)
        if array:
            return result
        return result[-1]

    def ppo(
        self,
        fast_period: int,
        slow_period: int,
        matype: int = 0,
        array: bool = False
    ) -> Union[float, np.ndarray]:
        """
        PPO.
        """
        result = talib.PPO(self.close, fast_period, slow_period, matype)
        if array:
            return result
        return result[-1]

    def roc(self, n: int, array: bool = False) -> Union[float, np.ndarray]:
        """
        ROC.
        """
        result = talib.ROC(self.close, n)
        if array:
            return result
        return result[-1]

    def rocr(self, n: int, array: bool = False) -> Union[float, np.ndarray]:
        """
        ROCR.
        """
        result = talib.ROCR(self.close, n)
        if array:
            return result
        return result[-1]

    def rocp(self, n: int, array: bool = False) -> Union[float, np.ndarray]:
        """
        ROCP.
        """
        result = talib.ROCP(self.close, n)
        if array:
            return result
        return result[-1]

    def rocr_100(self, n: int, array: bool = False) -> Union[float, np.ndarray]:
        """
        ROCR100.
        """
        result = talib.ROCR100(self.close, n)
        if array:
            return result
        return result[-1]

    def trix(self, n: int, array: bool = False) -> Union[float, np.ndarray]:
        """
        TRIX.
        """
        result = talib.TRIX(self.close, n)
        if array:
            return result
        return result[-1]

    def std(self, n: int, nbdev: int = 1, array: bool = False) -> Union[float, np.ndarray]:
        """
        Standard deviation.
        """
        result = talib.STDDEV(self.close, n, nbdev)
        if array:
            return result
        return result[-1]

    def obv(self, array: bool = False) -> Union[float, np.ndarray]:
        """
        OBV.
        """
        result = talib.OBV(self.close, self.volume)
        if array:
            return result
        return result[-1]

    def cci(self, n: int, array: bool = False) -> Union[float, np.ndarray]:
        """
        Commodity Channel Index (CCI).
        """
        result = talib.CCI(self.high, self.low, self.close, n)
        if array:
            return result
        return result[-1]

    def atr(self, n: int, array: bool = False) -> Union[float, np.ndarray]:
        """
        Average True Range (ATR).
        """
        result = talib.ATR(self.high, self.low, self.close, n)
        if array:
            return result
        return result[-1]

    def natr(self, n: int, array: bool = False) -> Union[float, np.ndarray]:
        """
        NATR.
        """
        result = talib.NATR(self.high, self.low, self.close, n)
        if array:
            return result
        return result[-1]

    def rsi(self, n: int, array: bool = False) -> Union[float, np.ndarray]:
        """
        Relative Strenght Index (RSI).
        """
        result = talib.RSI(self.close, n)
        if array:
            return result
        return result[-1]

    def macd(
        self,
        fast_period: int,
        slow_period: int,
        signal_period: int,
        array: bool = False
    ) -> Union[
        Tuple[np.ndarray, np.ndarray, np.ndarray],
        Tuple[float, float, float]
    ]:
        """
        MACD.
        """
        macd, signal, hist = talib.MACD(
            self.close, fast_period, slow_period, signal_period
        )
        if array:
            return macd, signal, hist
        return macd[-1], signal[-1], hist[-1]

    def adx(self, n: int, array: bool = False) -> Union[float, np.ndarray]:
        """
        ADX.
        """
        result = talib.ADX(self.high, self.low, self.close, n)
        if array:
            return result
        return result[-1]

    def adxr(self, n: int, array: bool = False) -> Union[float, np.ndarray]:
        """
        ADXR.
        """
        result = talib.ADXR(self.high, self.low, self.close, n)
        if array:
            return result
        return result[-1]

    def dx(self, n: int, array: bool = False) -> Union[float, np.ndarray]:
        """
        DX.
        """
        result = talib.DX(self.high, self.low, self.close, n)
        if array:
            return result
        return result[-1]

    def minus_di(self, n: int, array: bool = False) -> Union[float, np.ndarray]:
        """
        MINUS_DI.
        """
        result = talib.MINUS_DI(self.high, self.low, self.close, n)
        if array:
            return result
        return result[-1]

    def plus_di(self, n: int, array: bool = False) -> Union[float, np.ndarray]:
        """
        PLUS_DI.
        """
        result = talib.PLUS_DI(self.high, self.low, self.close, n)
        if array:
            return result
        return result[-1]

    def willr(self, n: int, array: bool = False) -> Union[float, np.ndarray]:
        """
        WILLR.
        """
        result = talib.WILLR(self.high, self.low, self.close, n)
        if array:
            return result
        return result[-1]

    def ultosc(
        self,
        time_period1: int = 7,
        time_period2: int = 14,
        time_period3: int = 28,
        array: bool = False
    ) -> Union[float, np.ndarray]:
        """
        Ultimate Oscillator.
        """
        result = talib.ULTOSC(self.high, self.low, self.close, time_period1, time_period2, time_period3)
        if array:
            return result
        return result[-1]

    def trange(self, array: bool = False) -> Union[float, np.ndarray]:
        """
        TRANGE.
        """
        result = talib.TRANGE(self.high, self.low, self.close)
        if array:
            return result
        return result[-1]

    def boll(
        self,
        n: int,
        dev: float,
        array: bool = False
    ) -> Union[
        Tuple[np.ndarray, np.ndarray],
        Tuple[float, float]
    ]:
        """
        Bollinger Channel.
        """
        mid = self.sma(n, array)
        std = self.std(n, 1, array)

        up = mid + std * dev
        down = mid - std * dev

        return up, down

    def keltner(
        self,
        n: int,
        dev: float,
        array: bool = False
    ) -> Union[
        Tuple[np.ndarray, np.ndarray],
        Tuple[float, float]
    ]:
        """
        Keltner Channel.
        """
        mid = self.sma(n, array)
        atr = self.atr(n, array)

        up = mid + atr * dev
        down = mid - atr * dev

        return up, down

    def donchian(
        self, n: int, array: bool = False
    ) -> Union[
        Tuple[np.ndarray, np.ndarray],
        Tuple[float, float]
    ]:
        """
        Donchian Channel.
        """
        up = talib.MAX(self.high, n)
        down = talib.MIN(self.low, n)

        if array:
            return up, down
        return up[-1], down[-1]

    def aroon(
        self,
        n: int,
        array: bool = False
    ) -> Union[
        Tuple[np.ndarray, np.ndarray],
        Tuple[float, float]
    ]:
        """
        Aroon indicator.
        """
        aroon_up, aroon_down = talib.AROON(self.high, self.low, n)

        if array:
            return aroon_up, aroon_down
        return aroon_up[-1], aroon_down[-1]

    def aroonosc(self, n: int, array: bool = False) -> Union[float, np.ndarray]:
        """
        Aroon Oscillator.
        """
        result = talib.AROONOSC(self.high, self.low, n)

        if array:
            return result
        return result[-1]

    def minus_dm(self, n: int, array: bool = False) -> Union[float, np.ndarray]:
        """
        MINUS_DM.
        """
        result = talib.MINUS_DM(self.high, self.low, n)

        if array:
            return result
        return result[-1]

    def plus_dm(self, n: int, array: bool = False) -> Union[float, np.ndarray]:
        """
        PLUS_DM.
        """
        result = talib.PLUS_DM(self.high, self.low, n)

        if array:
            return result
        return result[-1]

    def mfi(self, n: int, array: bool = False) -> Union[float, np.ndarray]:
        """
        Money Flow Index.
        """
        result = talib.MFI(self.high, self.low, self.close, self.volume, n)
        if array:
            return result
        return result[-1]

    def ad(self, array: bool = False) -> Union[float, np.ndarray]:
        """
        AD.
        """
        result = talib.AD(self.high, self.low, self.close, self.volume)
        if array:
            return result
        return result[-1]

    def adosc(
        self,
        fast_period: int,
        slow_period: int,
        array: bool = False
    ) -> Union[float, np.ndarray]:
        """
        ADOSC.
        """
        result = talib.ADOSC(self.high, self.low, self.close, self.volume, fast_period, slow_period)
        if array:
            return result
        return result[-1]

    def bop(self, array: bool = False) -> Union[float, np.ndarray]:
        """
        BOP.
        """
        result = talib.BOP(self.open, self.high, self.low, self.close)

        if array:
            return result
        return result[-1]

    def stoch(
        self,
        fastk_period: int,
        slowk_period: int,
        slowk_matype: int,
        slowd_period: int,
        slowd_matype: int,
        array: bool = False
    ) -> Union[
        Tuple[float, float],
        Tuple[np.ndarray, np.ndarray]
    ]:
        """
        Stochastic Indicator
        """
        k, d = talib.STOCH(
            self.high,
            self.low,
            self.close,
            fastk_period,
            slowk_period,
            slowk_matype,
            slowd_period,
            slowd_matype
        )
        if array:
            return k, d
        return k[-1], d[-1]


def virtual(func: Callable) -> Callable:
    """
    mark a function as "virtual", which means that this function can be override.
    any base class should use this or @abstractmethod to decorate all functions
    that can be (re)implemented by subclasses.
    """
    return func