add research model

ctpbee/app.py

@@ -308,7 +308,7 @@ def running_timer(common_signal):
             self.trader = Trader(self.app_signal, self)
             self.market = Market(self.app_signal)
             print(">>>> 回测接口载入成功")
-            self._start_looper()
+            return self._start_looper()
         else:
             raise ValueError("错误的参数, 仅仅支持")
 
@@ -384,9 +384,11 @@ def _start_looper(self):
             except StopIteration:
                 self.logger.info("回测结束,正在生成结果")
                 break
-            except  ValueError:
+            except ValueError:
                 raise ValueError("数据存在问题, 请检查")
 
+        return self.trader
+
     def remove_extension(self, extension_name: Text) -> None:
         """
         移除插件(策略)

ctpbee/constant.py

@@ -110,6 +110,7 @@ class Exchange(Enum):
     OKEX = "OKEX"
     HUOBI = "HUOBI"
     BITFINEX = "BITFINEX"
+    NONE = "none"
 
 
 TODAY_EXCHANGE = [Exchange.INE, Exchange.SHFE]

ctpbee/interface/ctp/md_api.py

@@ -91,7 +91,7 @@ def onRtnDepthMarketData(self, data: dict):
         symbol = data["InstrumentID"]
         exchange = symbol_exchange_map.get(symbol, "")
         if not exchange:
-            return
+            exchange = Exchange.NONE
 
         timestamp = f"{data['ActionDay']} {data['UpdateTime']}.{int(data['UpdateMillisec'] / 100)}"
         try:
@@ -102,7 +102,7 @@ def onRtnDepthMarketData(self, data: dict):
             symbol=symbol,
             exchange=exchange,
             datetime=datetimed,
-            name=symbol_name_map[symbol],
+            name=symbol_name_map.get(symbol, "None"),
             volume=data["Volume"],
             last_price=data["LastPrice"],
             limit_up=data["UpperLimitPrice"],

ctpbee/research/__init__.py

@@ -0,0 +1,10 @@
+"""
+This module provide some useful tool to help you parse your strategy and market ticks.
+
+I hope it will help you develop strategy easier.
+
+match.py: contain a trade record match algorithm.
+
+lines: contain a tool to help you point the value in the tick lines.
+"""
+from ctpbee.research.lines import Aux, plot_multi

ctpbee/indicator/cator.py → ctpbee/research/lines.py

@@ -1,3 +1,11 @@
+import numpy as np
+import matplotlib.pyplot as plt
+from typing import List
+
+# import matplotlib.text.Text
+from matplotlib.font_manager import FontProperties
+
+
 def plot_multi(data, cols=None, spacing=.1, **kwargs):
     """ 帮助快速绘画出多个图
      从网上找的 QAQ 好用
@@ -35,3 +43,41 @@ def plot_multi(data, cols=None, spacing=.1, **kwargs):
 
     ax.legend(lines, labels, loc=0)
     return ax
+
+
+def Aux(yy: List, xx: List, ovx: dict):
+    """
+    yx: 纵坐标数据
+    ax: 横坐标数据
+    ovx: {
+        "buy": [横坐标下标]
+        "sell": [横坐标下标]
+    }
+
+
+    """
+    fig, ax = plt.subplots()
+
+    line, = ax.plot(xx, yy, lw=2)
+    for index in ovx["buy"]:
+        ax.annotate('↑', xy=(xx[index], yy[index]),
+                    fontproperties=FontProperties(size=20),
+                    color="red",
+                    annotation_clip=True,
+                    )
+    for index in ovx["sell"]:
+        ax.annotate('↓', xy=(xx[index], yy[index]),
+                    fontproperties=FontProperties(size=20),
+                    # arrowprops=dict(facecolor='green', shrink=0.05),
+                    color="green",
+                    annotation_clip=True,
+                    )
+    # ax.set_ylim(-2, 2)
+    return plt
+
+
+if __name__ == '__main__':
+    t = np.arange(0.0, 5.0, 0.01)
+    s = np.cos(5 * np.pi * t)
+    o = Aux(s, t, {"buy": [11, 100], "sell": [200]})
+    o.show()

setup.py

@@ -27,7 +27,8 @@
     long_description = ""
 
 pkgs = ['ctpbee', 'ctpbee.context', 'ctpbee.exceptions', 'ctpbee.data_handle', 'ctpbee.interface',
-        'ctpbee.interface.ctp', "ctpbee.interface.looper", 'ctpbee.jsond', "ctpbee.looper", "ctpbee.indicator"]
+        'ctpbee.interface.ctp', "ctpbee.interface.looper", 'ctpbee.jsond', "ctpbee.looper",
+        "ctpbee.indicator", "ctpbee.research"]
 
 setup(
     name='ctpbee',