Merge remote-tracking branch 'shidenggui/master'

easyquant/easydealutils/time.py

@@ -1,12 +1,13 @@
 import datetime
-from datetime import timedelta
+import doctest
 from functools import lru_cache
 
 import requests
 
 
 @lru_cache()
 def _is_holiday(day):
+    # 该接口可能将于 2016.7.1 过期, 请关注该主页
     api = 'http://www.easybots.cn/api/holiday.php'
     params = {'d': day}
     rep = requests.get(api, params)
@@ -19,6 +20,33 @@ def is_holiday(now_time):
     return _is_holiday(today)
 
 
+def is_trade_date(now_time):
+    return not is_holiday(now_time)
+
+
+def get_next_trade_date(now_time):
+    """
+    :param now_time: datetime.datetime
+    :return:
+    >>> import datetime
+    >>> get_next_trade_date(datetime.date(2016, 5, 5))
+    datetime.date(2016, 5, 6)
+    """
+    now = now_time
+    max_days = 365
+    days = 0
+    while 1:
+        days += 1
+        now += datetime.timedelta(days=1)
+        if is_trade_date(now):
+            if isinstance(now, datetime.date):
+                return now
+            else:
+                return now.date()
+        if days > max_days:
+            raise ValueError('无法确定 %s 下一个交易日' % now_time)
+
+
 OPEN_TIME = (
     (datetime.time(9, 15, 0), datetime.time(11, 30, 0)),
     (datetime.time(13, 0, 0), datetime.time(15, 0, 0)),
@@ -79,27 +107,5 @@ def is_closing(now_time, start=datetime.time(14, 54, 30)):
             return True
     return False
 
-
-# def calc_next_trade_time_delta_seconds():
-#     now_time = datetime.datetime.now()
-#     now = (now_time.hour, now_time.minute, now_time.second)
-#     if now < (9, 15, 0):
-#         next_trade_start = now_time.replace(hour=9, minute=15, second=0, microsecond=0)
-#     elif (12, 0, 0) < now < (13, 0, 0):
-#         next_trade_start = now_time.replace(hour=13, minute=0, second=0, microsecond=0)
-#     elif now > (15, 0, 0):
-#         distance_next_work_day = 1
-#         while True:
-#             target_day = now_time + timedelta(days=distance_next_work_day)
-#             if is_holiday(target_day.strftime('%Y%m%d')):
-#                 distance_next_work_day += 1
-#             else:
-#                 break
-#
-#         day_delta = timedelta(days=distance_next_work_day)
-#         next_trade_start = (now_time + day_delta).replace(hour=9, minute=15,
-#                                                           second=0, microsecond=0)
-#     else:
-#         return 0
-#     time_delta = next_trade_start - now_time
-#     return time_delta.total_seconds()
+if __name__ == "__main__":
+    doctest.testmod()

easyquant/push_engine/clock_engine.py

@@ -3,6 +3,7 @@
 from collections import deque
 from threading import Thread
 
+import pandas as pd
 import arrow
 from dateutil import tz
 
@@ -48,16 +49,18 @@ def __hash__(self):
 
 
 class ClockMomentHandler:
-    def __init__(self, clock_engine, clock_type, moment=None, makeup=False, call=None):
+    def __init__(self, clock_engine, clock_type, moment=None, is_trading_date=True, makeup=False, call=None):
         """
         :param clock_type:
         :param moment: datetime.time
+        :param is_trading_date: bool(是否只有在交易日触发)
         :param makeup: 注册时,如果已经过了触发时机,是否立即触发
         :return:
         """
         self.clock_engine = clock_engine
         self.clock_type = clock_type
         self.moment = moment
+        self.is_trading_date = is_trading_date
         self.makeup = makeup
         self.call = call or (lambda: None)
         self.next_time = datetime.datetime.combine(
@@ -74,12 +77,20 @@ def update_next_time(self):
         :return:
         """
         if self.is_active():
+            if self.is_trading_date:
+                next_date = etime.get_next_trade_date(self.clock_engine.now_dt)
+            else:
+                next_date = self.next_time.date() + datetime.timedelta(days=1)
+
             self.next_time = datetime.datetime.combine(
-                    self.next_time.date() + datetime.timedelta(days=1),
+                    next_date,
                     self.moment
             )
 
     def is_active(self):
+        if self.is_trading_date and etime.is_holiday(self.clock_engine.now_dt):
+            # 仅在交易日触发时的判断
+            return False
         return self.next_time <= self.clock_engine.now_dt
 
 
@@ -118,22 +129,22 @@ def _init_clock_handler(self):
         """
 
         # 开盘事件
-        def open_():
+        def _open():
             self.trading_state = True
 
-        self._register_moment('open', datetime.time(9, tzinfo=self.tzinfo), True, open_)
+        self._register_moment('open', datetime.time(9, tzinfo=self.tzinfo), makeup=True, call=_open)
 
         # 中午休市
-        self._register_moment('pause', datetime.time(11, 30, tzinfo=self.tzinfo), True)
+        self._register_moment('pause', datetime.time(11, 30, tzinfo=self.tzinfo), makeup=True)
 
         # 下午开盘
-        self._register_moment('continue', datetime.time(13, tzinfo=self.tzinfo), True)
+        self._register_moment('continue', datetime.time(13, tzinfo=self.tzinfo), makeup=True)
 
         # 收盘事件
         def close():
             self.trading_state = False
 
-        self._register_moment('close', datetime.time(15, tzinfo=self.tzinfo), True, close)
+        self._register_moment('close', datetime.time(15, tzinfo=self.tzinfo), makeup=True, call=close)
 
         # 间隔事件
         for interval in (0.5, 1, 5, 15, 30, 60):
@@ -165,6 +176,11 @@ def now_dt(self):
         return arrow.get(self.now).to(self.tzinfo)
 
     def reset_now(self, now=None):
+        """
+        调试用接口,请勿在生产环境使用
+        :param now:
+        :return:
+        """
         self.time_delta = self._delta(now)
 
     def start(self):
@@ -215,9 +231,9 @@ def is_tradetime_now(self):
     def register_moment(self, clock_type, moment, makeup=False):
         return self._register_moment(clock_type, moment, makeup)
 
-    def _register_moment(self, clock_type, moment, makeup=False, call=None):
+    def _register_moment(self, clock_type, moment, is_trading_date=True, makeup=False, call=None):
         handlers = list(self.clock_moment_handlers)
-        handler = ClockMomentHandler(self, clock_type, moment, makeup, call)
+        handler = ClockMomentHandler(self, clock_type, moment, is_trading_date, makeup, call)
         handlers.append(handler)
 
         # 触发事件重新排序