直观图表实时数据/交易
原文： https://www.backtrader.com/blog/posts/2016-07-12-visualchart-feed/visualchart-feed/
从发行版1.5.1.93开始，backtrader 支持可视化图表实时提要和实时交易。
需要的东西：
-
视觉图表 6（此图表在 Windows 上运行）
-
comtypes，特别是这个叉子：https://github.com/mementum/comtypes安装时使用：
pip install https://github.com/mementum/comtypes/archive/master.zip可视化图表API 基于COM，当前
comtypes主分支不支持VT_RECORD的VT_ARRAYS解包。这是视觉图表使用的拉取请求已提交但尚未集成。一旦集成，就可以使用主分支。
-
pytz（可选，但强烈推荐）在许多情况下，数据馈送提供的内部
SymbolInfo.TimeOffset足以在市场时间返回数据馈送（即使默认配置为视觉图表中的LocalTime）
如果您不知道什么是视觉图表和/或其当前的关联经纪人Esfera Capital，请访问以下网站：
初始声明：
-
和往常一样，在冒险之前，测试、测试、测试和再测试一千次。
从本软件中的错误到您自己的软件中的错误以及意外情况的管理：任何事情都可能出错
关于这一点，请注意：
-
数据馈送相当好，支持内置重采样。很好，因为不需要重新采样。
-
数据馈送不支持秒分辨率。不好，但可通过backtrader的内置重采样解决
-
回填是内置的
-
International Indices（交换096）市场上的一些产品具有奇数时区和市场补偿。一些工作已经进入这一阶段，例如在预期的
US/Eastern时区交付096.DJI -
数据提要提供了连续期货，这对于拥有大量历史非常方便。
因此，可以将第二个参数传递给数据，以指示哪一个是实际交易资产。
-
有效截止日期订单的日期时间只能指定为日期。忽略时间分量。
-
没有直接的方法可以找到从本地设备到数据服务器的偏移量，需要一种启发式方法来从会话开始时的实时信号中找到这一点。
-
传递带有时间组件的日期时间（而不是默认的00:00:00）似乎在COMAPI 中创建了一个时间过滤器。例如，如果你说你想要分钟数据，从 3 天前14:30开始，你可以：
```py dt = datetime.now() - timedelta(days=3) dt.replace(hour=14, minute=30)
vcstore.getdata(dataname='001ES', fromdate=dt) ```
然后，数据被跳过，直到14:30，不仅在之前，而且在之后的每一天
因此，请仅传递完整日期，因为默认时间组件未被触及。
-
经纪人支持头寸的概念，但仅当它们未平仓时。关于位置（即大小为 0的位置）的最后一个事件未发送。
因此，头寸的核算完全由反向交易者完成
-
经纪人不报告佣金。
解决方法是在实例化代理时提供您自己的
CommissionInfo派生类。请参阅backtader文档以创建您自己的类。这相当容易。 -
CancelledvsExpired订单。这种区别是不存在的，需要一种启发式方法来消除这种区别。因此，仅报告
Cancelled
一些补充说明：
-
实时滴答声大多不使用。他们产生大量不必要的信息用于反向交易者目的。在被反向交易者完全断开之前，它们有两个主要用途
-
查找符号是否存在。
-
计算到数据服务器的偏移量
当然，这些信息是实时收集的价格信息，但来自于同时提供历史数据的数据源对象。
-
已尽可能多地记录在案，并可通过通常的文档链接获得：
从样本vctest.pye到视觉图表和演示代理的几次运行
第一个：015ES（EuroStoxx50连续），重采样至 1 分钟，具有断开和重新连接功能：
$ ./vctest.py --data0 015ES --timeframe Minutes --compression 1 --fromdate 2016-07-12
输出：
--------------------------------------------------
Strategy Created
--------------------------------------------------
Datetime, Open, High, Low, Close, Volume, OpenInterest, SMA
***** DATA NOTIF: CONNECTED
***** DATA NOTIF: DELAYED
0001, 2016-07-12T08:01:00.000000, 2871.0, 2872.0, 2869.0, 2872.0, 1915.0, 0.0, nan
0002, 2016-07-12T08:02:00.000000, 2872.0, 2872.0, 2870.0, 2871.0, 479.0, 0.0, nan
0003, 2016-07-12T08:03:00.000000, 2871.0, 2871.0, 2869.0, 2870.0, 518.0, 0.0, nan
0004, 2016-07-12T08:04:00.000000, 2870.0, 2871.0, 2870.0, 2871.0, 248.0, 0.0, nan
0005, 2016-07-12T08:05:00.000000, 2870.0, 2871.0, 2870.0, 2871.0, 234.0, 0.0, 2871.0
...
...
0639, 2016-07-12T18:39:00.000000, 2932.0, 2933.0, 2932.0, 2932.0, 1108.0, 0.0, 2932.8
0640, 2016-07-12T18:40:00.000000, 2931.0, 2932.0, 2931.0, 2931.0, 65.0, 0.0, 2932.6
***** DATA NOTIF: LIVE
0641, 2016-07-12T18:41:00.000000, 2932.0, 2932.0, 2930.0, 2930.0, 2093.0, 0.0, 2931.8
***** STORE NOTIF: (u'VisualChart is Disconnected', -65520)
***** DATA NOTIF: CONNBROKEN
***** STORE NOTIF: (u'VisualChart is Connected', -65521)
***** DATA NOTIF: CONNECTED
***** DATA NOTIF: DELAYED
0642, 2016-07-12T18:42:00.000000, 2931.0, 2931.0, 2931.0, 2931.0, 137.0, 0.0, 2931.2
0643, 2016-07-12T18:43:00.000000, 2931.0, 2931.0, 2931.0, 2931.0, 432.0, 0.0, 2931.0
...
0658, 2016-07-12T18:58:00.000000, 2929.0, 2929.0, 2929.0, 2929.0, 4.0, 0.0, 2930.0
0659, 2016-07-12T18:59:00.000000, 2929.0, 2930.0, 2929.0, 2930.0, 353.0, 0.0, 2930.0
***** DATA NOTIF: LIVE
0660, 2016-07-12T19:00:00.000000, 2930.0, 2930.0, 2930.0, 2930.0, 376.0, 0.0, 2930.0
0661, 2016-07-12T19:01:00.000000, 2929.0, 2930.0, 2929.0, 2930.0, 35.0, 0.0, 2929.8
笔记
已安装执行环境pytz
笔记
请注意缺少--resample：对于Minutes而言，重采样是内置的视觉图表
最后是一些交易，用单个Market订单购买015ES的2合同，然后分别以1合同的两个订单出售。
执行：
$ ./vctest.py --data0 015ES --timeframe Minutes --compression 1 --fromdate 2016-07-12 2>&1 --broker --account accname --trade --stake 2
输出相当详细，显示了订单执行的所有部分。总结一下：
--------------------------------------------------
Strategy Created
--------------------------------------------------
Datetime, Open, High, Low, Close, Volume, OpenInterest, SMA
***** DATA NOTIF: CONNECTED
***** DATA NOTIF: DELAYED
0001, 2016-07-12T08:01:00.000000, 2871.0, 2872.0, 2869.0, 2872.0, 1915.0, 0.0, nan
...
0709, 2016-07-12T19:50:00.000000, 2929.0, 2930.0, 2929.0, 2930.0, 11.0, 0.0, 2930.4
***** DATA NOTIF: LIVE
0710, 2016-07-12T19:51:00.000000, 2930.0, 2930.0, 2929.0, 2929.0, 134.0, 0.0, 2930.0
-------------------------------------------------- ORDER BEGIN 2016-07-12 19:52:01.629000
Ref: 1
OrdType: 0
OrdType: Buy
Status: 1
Status: Submitted
Size: 2
Price: None
Price Limit: None
ExecType: 0
ExecType: Market
CommInfo: <backtrader.brokers.vcbroker.VCCommInfo object at 0x000000001100CE10>
End of Session: 736157.916655
Info: AutoOrderedDict()
Broker: <backtrader.brokers.vcbroker.VCBroker object at 0x000000000475D400>
Alive: True
-------------------------------------------------- ORDER END
-------------------------------------------------- ORDER BEGIN 2016-07-12 19:52:01.629000
Ref: 1
OrdType: 0
OrdType: Buy
Status: 2
Status: Accepted
Size: 2
Price: None
Price Limit: None
ExecType: 0
ExecType: Market
CommInfo: <backtrader.brokers.vcbroker.VCCommInfo object at 0x000000001100CE10>
End of Session: 736157.916655
Info: AutoOrderedDict()
Broker: None
Alive: True
-------------------------------------------------- ORDER END
-------------------------------------------------- ORDER BEGIN 2016-07-12 19:52:01.629000
Ref: 1
OrdType: 0
OrdType: Buy
Status: 4
Status: Completed
Size: 2
Price: None
Price Limit: None
ExecType: 0
ExecType: Market
CommInfo: <backtrader.brokers.vcbroker.VCCommInfo object at 0x000000001100CE10>
End of Session: 736157.916655
Info: AutoOrderedDict()
Broker: None
Alive: False
-------------------------------------------------- ORDER END
-------------------------------------------------- TRADE BEGIN 2016-07-12 19:52:01.629000
ref:1
data:<backtrader.feeds.vcdata.VCData object at 0x000000000475D9E8>
tradeid:0
size:2.0
price:2930.0
value:5860.0
commission:0.0
pnl:0.0
pnlcomm:0.0
justopened:True
isopen:True
isclosed:0
baropen:710
dtopen:736157.74375
barclose:0
dtclose:0.0
barlen:0
historyon:False
history:[]
status:1
-------------------------------------------------- TRADE END
...
发生以下情况：
-
数据正常接收
-
针对执行类型为
Market的2发出BUY-
收到
Submitted和Accepted通知（以上仅显示Submitted） -
连续执行
Partial次（仅显示 1 次），直到收到Completed。
未显示实际执行情况，但在
order.executed下接收的order实例中可用 -
-
虽然未显示，但会发出 2 个
Market``SELL命令来撤消该操作屏幕截图显示了在
015ES（EuroStoxx 50）和034EURUS（欧元兑美元外汇对两次不同的运行后视觉图表中的日志
该样品可以做更多的工作，旨在对设施进行彻底测试，如果可能的话，可以发现任何粗糙的边缘。
用法：
$ ./vctest.py --help
usage: vctest.py [-h] [--exactbars EXACTBARS] [--plot] [--stopafter STOPAFTER]
[--nostore] [--qcheck QCHECK] [--no-timeoffset] --data0 DATA0
[--tradename TRADENAME] [--data1 DATA1] [--timezone TIMEZONE]
[--no-backfill_start] [--latethrough] [--historical]
[--fromdate FROMDATE] [--todate TODATE]
[--smaperiod SMAPERIOD] [--replay | --resample]
[--timeframe {Ticks,MicroSeconds,Seconds,Minutes,Days,Weeks,Months,Years}]
[--compression COMPRESSION] [--no-bar2edge] [--no-adjbartime]
[--no-rightedge] [--broker] [--account ACCOUNT] [--trade]
[--donotsell]
[--exectype {Market,Close,Limit,Stop,StopLimit}]
[--price PRICE] [--pstoplimit PSTOPLIMIT] [--stake STAKE]
[--valid VALID] [--cancel CANCEL]
Test Visual Chart 6 integration
optional arguments:
-h, --help show this help message and exit
--exactbars EXACTBARS
exactbars level, use 0/-1/-2 to enable plotting
(default: 1)
--plot Plot if possible (default: False)
--stopafter STOPAFTER
Stop after x lines of LIVE data (default: 0)
--nostore Do not Use the store pattern (default: False)
--qcheck QCHECK Timeout for periodic notification/resampling/replaying
check (default: 0.5)
--no-timeoffset Do not Use TWS/System time offset for non timestamped
prices and to align resampling (default: False)
--data0 DATA0 data 0 into the system (default: None)
--tradename TRADENAME
Actual Trading Name of the asset (default: None)
--data1 DATA1 data 1 into the system (default: None)
--timezone TIMEZONE timezone to get time output into (pytz names)
(default: None)
--historical do only historical download (default: False)
--fromdate FROMDATE Starting date for historical download with format:
YYYY-MM-DD[THH:MM:SS] (default: None)
--todate TODATE End date for historical download with format: YYYY-MM-
DD[THH:MM:SS] (default: None)
--smaperiod SMAPERIOD
Period to apply to the Simple Moving Average (default:
5)
--replay replay to chosen timeframe (default: False)
--resample resample to chosen timeframe (default: False)
--timeframe {Ticks,MicroSeconds,Seconds,Minutes,Days,Weeks,Months,Years}
TimeFrame for Resample/Replay (default: Ticks)
--compression COMPRESSION
Compression for Resample/Replay (default: 1)
--no-bar2edge no bar2edge for resample/replay (default: False)
--no-adjbartime no adjbartime for resample/replay (default: False)
--no-rightedge no rightedge for resample/replay (default: False)
--broker Use VisualChart as broker (default: False)
--account ACCOUNT Choose broker account (else first) (default: None)
--trade Do Sample Buy/Sell operations (default: False)
--donotsell Do not sell after a buy (default: False)
--exectype {Market,Close,Limit,Stop,StopLimit}
Execution to Use when opening position (default:
Market)
--price PRICE Price in Limit orders or Stop Trigger Price (default:
None)
--pstoplimit PSTOPLIMIT
Price for the limit in StopLimit (default: None)
--stake STAKE Stake to use in buy operations (default: 10)
--valid VALID Seconds or YYYY-MM-DD (default: None)
--cancel CANCEL Cancel a buy order after n bars in operation, to be
combined with orders like Limit (default: 0)
守则：
from __future__ import (absolute_import, division, print_function,
unicode_literals)
import argparse
import datetime
# The above could be sent to an independent module
import backtrader as bt
from backtrader.utils import flushfile # win32 quick stdout flushing
from backtrader.utils.py3 import string_types
class TestStrategy(bt.Strategy):
params = dict(
smaperiod=5,
trade=False,
stake=10,
exectype=bt.Order.Market,
stopafter=0,
valid=None,
cancel=0,
donotsell=False,
price=None,
pstoplimit=None,
)
def __init__(self):
# To control operation entries
self.orderid = list()
self.order = None
self.counttostop = 0
self.datastatus = 0
# Create SMA on 2nd data
self.sma = bt.indicators.MovAv.SMA(self.data, period=self.p.smaperiod)
print('--------------------------------------------------')
print('Strategy Created')
print('--------------------------------------------------')
def notify_data(self, data, status, *args, **kwargs):
print('*' * 5, 'DATA NOTIF:', data._getstatusname(status), *args)
if status == data.LIVE:
self.counttostop = self.p.stopafter
self.datastatus = 1
def notify_store(self, msg, *args, **kwargs):
print('*' * 5, 'STORE NOTIF:', msg)
def notify_order(self, order):
if order.status in [order.Completed, order.Cancelled, order.Rejected]:
self.order = None
print('-' * 50, 'ORDER BEGIN', datetime.datetime.now())
print(order)
print('-' * 50, 'ORDER END')
def notify_trade(self, trade):
print('-' * 50, 'TRADE BEGIN', datetime.datetime.now())
print(trade)
print('-' * 50, 'TRADE END')
def prenext(self):
self.next(frompre=True)
def next(self, frompre=False):
txt = list()
txt.append('%04d' % len(self))
dtfmt = '%Y-%m-%dT%H:%M:%S.%f'
txt.append('%s' % self.data.datetime.datetime(0).strftime(dtfmt))
txt.append('{}'.format(self.data.open[0]))
txt.append('{}'.format(self.data.high[0]))
txt.append('{}'.format(self.data.low[0]))
txt.append('{}'.format(self.data.close[0]))
txt.append('{}'.format(self.data.volume[0]))
txt.append('{}'.format(self.data.openinterest[0]))
txt.append('{}'.format(self.sma[0]))
print(', '.join(txt))
if len(self.datas) > 1:
txt = list()
txt.append('%04d' % len(self))
dtfmt = '%Y-%m-%dT%H:%M:%S.%f'
txt.append('%s' % self.data1.datetime.datetime(0).strftime(dtfmt))
txt.append('{}'.format(self.data1.open[0]))
txt.append('{}'.format(self.data1.high[0]))
txt.append('{}'.format(self.data1.low[0]))
txt.append('{}'.format(self.data1.close[0]))
txt.append('{}'.format(self.data1.volume[0]))
txt.append('{}'.format(self.data1.openinterest[0]))
txt.append('{}'.format(float('NaN')))
print(', '.join(txt))
if self.counttostop: # stop after x live lines
self.counttostop -= 1
if not self.counttostop:
self.env.runstop()
return
if not self.p.trade:
return
# if True and len(self.orderid) < 1:
if self.datastatus and not self.position and len(self.orderid) < 1:
self.order = self.buy(size=self.p.stake,
exectype=self.p.exectype,
price=self.p.price,
plimit=self.p.pstoplimit,
valid=self.p.valid)
self.orderid.append(self.order)
elif self.position.size > 0 and not self.p.donotsell:
if self.order is None:
size = self.p.stake // 2
if not size:
size = self.position.size # use the remaining
self.order = self.sell(size=size, exectype=bt.Order.Market)
elif self.order is not None and self.p.cancel:
if self.datastatus > self.p.cancel:
self.cancel(self.order)
if self.datastatus:
self.datastatus += 1
def start(self):
header = ['Datetime', 'Open', 'High', 'Low', 'Close', 'Volume',
'OpenInterest', 'SMA']
print(', '.join(header))
self.done = False
def runstrategy():
args = parse_args()
# Create a cerebro
cerebro = bt.Cerebro()
storekwargs = dict()
if not args.nostore:
vcstore = bt.stores.VCStore(**storekwargs)
if args.broker:
brokerargs = dict(account=args.account, **storekwargs)
if not args.nostore:
broker = vcstore.getbroker(**brokerargs)
else:
broker = bt.brokers.VCBroker(**brokerargs)
cerebro.setbroker(broker)
timeframe = bt.TimeFrame.TFrame(args.timeframe)
if args.resample or args.replay:
datatf = bt.TimeFrame.Ticks
datacomp = 1
else:
datatf = timeframe
datacomp = args.compression
fromdate = None
if args.fromdate:
dtformat = '%Y-%m-%d' + ('T%H:%M:%S' * ('T' in args.fromdate))
fromdate = datetime.datetime.strptime(args.fromdate, dtformat)
todate = None
if args.todate:
dtformat = '%Y-%m-%d' + ('T%H:%M:%S' * ('T' in args.todate))
todate = datetime.datetime.strptime(args.todate, dtformat)
VCDataFactory = vcstore.getdata if not args.nostore else bt.feeds.VCData
datakwargs = dict(
timeframe=datatf, compression=datacomp,
fromdate=fromdate, todate=todate,
historical=args.historical,
qcheck=args.qcheck,
tz=args.timezone
)
if args.nostore and not args.broker: # neither store nor broker
datakwargs.update(storekwargs) # pass the store args over the data
data0 = VCDataFactory(dataname=args.data0, tradename=args.tradename,
**datakwargs)
data1 = None
if args.data1 is not None:
data1 = VCDataFactory(dataname=args.data1, **datakwargs)
rekwargs = dict(
timeframe=timeframe, compression=args.compression,
bar2edge=not args.no_bar2edge,
adjbartime=not args.no_adjbartime,
rightedge=not args.no_rightedge,
)
if args.replay:
cerebro.replaydata(dataname=data0, **rekwargs)
if data1 is not None:
cerebro.replaydata(dataname=data1, **rekwargs)
elif args.resample:
cerebro.resampledata(dataname=data0, **rekwargs)
if data1 is not None:
cerebro.resampledata(dataname=data1, **rekwargs)
else:
cerebro.adddata(data0)
if data1 is not None:
cerebro.adddata(data1)
if args.valid is None:
valid = None
else:
try:
valid = float(args.valid)
except:
dtformat = '%Y-%m-%d' + ('T%H:%M:%S' * ('T' in args.valid))
valid = datetime.datetime.strptime(args.valid, dtformat)
else:
valid = datetime.timedelta(seconds=args.valid)
# Add the strategy
cerebro.addstrategy(TestStrategy,
smaperiod=args.smaperiod,
trade=args.trade,
exectype=bt.Order.ExecType(args.exectype),
stake=args.stake,
stopafter=args.stopafter,
valid=valid,
cancel=args.cancel,
donotsell=args.donotsell,
price=args.price,
pstoplimit=args.pstoplimit)
# Live data ... avoid long data accumulation by switching to "exactbars"
cerebro.run(exactbars=args.exactbars)
if args.plot and args.exactbars < 1: # plot if possible
cerebro.plot()
def parse_args():
parser = argparse.ArgumentParser(
formatter_class=argparse.ArgumentDefaultsHelpFormatter,
description='Test Visual Chart 6 integration')
parser.add_argument('--exactbars', default=1, type=int,
required=False, action='store',
help='exactbars level, use 0/-1/-2 to enable plotting')
parser.add_argument('--plot',
required=False, action='store_true',
help='Plot if possible')
parser.add_argument('--stopafter', default=0, type=int,
required=False, action='store',
help='Stop after x lines of LIVE data')
parser.add_argument('--nostore',
required=False, action='store_true',
help='Do not Use the store pattern')
parser.add_argument('--qcheck', default=0.5, type=float,
required=False, action='store',
help=('Timeout for periodic '
'notification/resampling/replaying check'))
parser.add_argument('--no-timeoffset',
required=False, action='store_true',
help=('Do not Use TWS/System time offset for non '
'timestamped prices and to align resampling'))
parser.add_argument('--data0', default=None,
required=True, action='store',
help='data 0 into the system')
parser.add_argument('--tradename', default=None,
required=False, action='store',
help='Actual Trading Name of the asset')
parser.add_argument('--data1', default=None,
required=False, action='store',
help='data 1 into the system')
parser.add_argument('--timezone', default=None,
required=False, action='store',
help='timezone to get time output into (pytz names)')
parser.add_argument('--historical',
required=False, action='store_true',
help='do only historical download')
parser.add_argument('--fromdate',
required=False, action='store',
help=('Starting date for historical download '
'with format: YYYY-MM-DD[THH:MM:SS]'))
parser.add_argument('--todate',
required=False, action='store',
help=('End date for historical download '
'with format: YYYY-MM-DD[THH:MM:SS]'))
parser.add_argument('--smaperiod', default=5, type=int,
required=False, action='store',
help='Period to apply to the Simple Moving Average')
pgroup = parser.add_mutually_exclusive_group(required=False)
pgroup.add_argument('--replay',
required=False, action='store_true',
help='replay to chosen timeframe')
pgroup.add_argument('--resample',
required=False, action='store_true',
help='resample to chosen timeframe')
parser.add_argument('--timeframe', default=bt.TimeFrame.Names[0],
choices=bt.TimeFrame.Names,
required=False, action='store',
help='TimeFrame for Resample/Replay')
parser.add_argument('--compression', default=1, type=int,
required=False, action='store',
help='Compression for Resample/Replay')
parser.add_argument('--no-bar2edge',
required=False, action='store_true',
help='no bar2edge for resample/replay')
parser.add_argument('--no-adjbartime',
required=False, action='store_true',
help='no adjbartime for resample/replay')
parser.add_argument('--no-rightedge',
required=False, action='store_true',
help='no rightedge for resample/replay')
parser.add_argument('--broker',
required=False, action='store_true',
help='Use VisualChart as broker')
parser.add_argument('--account', default=None,
required=False, action='store',
help='Choose broker account (else first)')
parser.add_argument('--trade',
required=False, action='store_true',
help='Do Sample Buy/Sell operations')
parser.add_argument('--donotsell',
required=False, action='store_true',
help='Do not sell after a buy')
parser.add_argument('--exectype', default=bt.Order.ExecTypes[0],
choices=bt.Order.ExecTypes,
required=False, action='store',
help='Execution to Use when opening position')
parser.add_argument('--price', default=None, type=float,
required=False, action='store',
help='Price in Limit orders or Stop Trigger Price')
parser.add_argument('--pstoplimit', default=None, type=float,
required=False, action='store',
help='Price for the limit in StopLimit')
parser.add_argument('--stake', default=10, type=int,
required=False, action='store',
help='Stake to use in buy operations')
parser.add_argument('--valid', default=None,
required=False, action='store',
help='Seconds or YYYY-MM-DD')
parser.add_argument('--cancel', default=0, type=int,
required=False, action='store',
help=('Cancel a buy order after n bars in operation,'
' to be combined with orders like Limit'))
return parser.parse_args()
if __name__ == '__main__':
runstrategy()
