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fmz.py
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fmz.py
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# -*- coding: utf-8 -*-
import warnings
warnings.filterwarnings("ignore", category=DeprecationWarning)
import sys
import os
import platform
import base64
import time
import datetime
import json
import tempfile
import zlib
import math
import ctypes
import traceback
import socket
import signal
import copy
import inspect
import io
import struct
import threading
try:
import md5
import urllib2
except:
import hashlib as md5
import urllib.request as urllib2
isPython3 = sys.version_info[0] >= 3
gg = globals()
gg['NaN'] = None
gg['null'] = None
gg['true'] = True
gg['false'] = False
# https://hynek.me/articles/hasattr/
saved_hasattr = hasattr
def hasattr(obj, method):
try:
return saved_hasattr(obj, method)
except:
return False
if isPython3:
gg['xrange'] = range
def json_loads(s):
if isPython3:
return json.loads(s.decode('utf-8'))
return json.loads(s)
def safe_str(s):
if isPython3:
return s.encode('utf-8')
return str(s)
CLUSTER_IP = os.getenv("CLUSTER_IP", "q.fmz.com")
CLUSTER_DOMAIN = os.getenv("CLUSTER_DOMAIN", "q.fmz.com")
BT_Status = 1 << 0
BT_Symbols = 1 << 1
BT_Indicators = 1 << 2
BT_Chart = 1 << 3
BT_ProfitLogs = 1 << 4
BT_RuntimeLogs = 1 << 5
BT_CloseProfitLogs = 1 << 6
BT_Accounts = 1 << 7
BT_Accounts_PnL = 1 << 8
def getCacheDir():
tmpCache = tempfile.gettempdir()+ '/cache'
if not os.path.exists(tmpCache):
try:
os.mkdir(tmpCache)
except:
pass
return tmpCache
def httpGet(url, customHost=None):
req = urllib2.Request(url)
req.add_header('Accept-Encoding', 'gzip, deflate')
if customHost is not None:
req.add_header('Host', customHost)
resp = urllib2.urlopen(req)
data = resp.read()
if resp.info().get('Content-Encoding') == 'gzip':
data = zlib.decompress(data, 16+zlib.MAX_WBITS)
return data
class Std:
@staticmethod
def _skip(arr, period):
k = 0
j = 0
for j in xrange(0, len(arr)):
if arr[j] is not None:
k+=1
if k == period:
break
return j
@staticmethod
def _sum(arr, num):
s = 0.0
for i in xrange(0, num):
if arr[i] is not None:
s += arr[i]
return s
@staticmethod
def _avg(arr, num):
if len(arr) == 0:
return 0
s = 0.0
n = 0
for i in xrange(0, min(len(arr), num)):
if arr[i] is not None:
s += arr[i]
n += 1
if n == 0:
return 0
return s / n
@staticmethod
def _zeros(n):
return [0.0] * n
@staticmethod
def _set(arr, start, end, value):
for i in xrange(start, min(len(arr), end)):
arr[i] = value
@staticmethod
def _diff(a, b):
d = [None] * len(b)
for i in xrange(0, len(b)):
if a[i] is not None and b[i] is not None:
d[i] = a[i] - b[i]
return d
@staticmethod
def _move_diff(a):
d = [None] * (len(a)-1)
for i in xrange(1, len(a)):
d[i-1] = a[i] - a[i-1]
return d
@staticmethod
def _cmp(arr, start, end, cmpFunc):
v = arr[start]
for i in xrange(start, end):
v = cmpFunc(arr[i], v)
return v
@staticmethod
def _filt(records, n, attr, iv, cmpFunc):
if len(records) < 2:
return None
v = iv
pos = 0
if n != 0:
pos = len(records) - min(len(records)-1, n) - 1
for i in xrange(len(records)-2, pos-1, -1):
if records[i] is not None:
if attr is not None:
v = cmpFunc(v, records[i][attr])
else:
v = cmpFunc(v, records[i])
return v
@staticmethod
def _ticks(records):
if len(records) == 0:
return []
if isinstance(records[0], int) or isinstance(records[0], float):
return records
ticks = [None] * len(records)
for i in xrange(0, len(records)):
ticks[i] = records[i]['Close']
return ticks
@staticmethod
def _sma(S, period):
R = Std._zeros(len(S))
j = Std._skip(S, period)
Std._set(R, 0, j, None)
if j < len(S):
s = 0
for i in xrange(j, len(S)):
if i == j:
s = Std._sum(S, i+1)
else:
s += S[i] - S[i-period]
R[i] = s / period
return R
@staticmethod
def _smma(S, period):
R = Std._zeros(len(S))
j = Std._skip(S, period)
Std._set(R, 0, j, None)
if j < len(S):
R[j] = Std._avg(S, j+1)
for i in xrange(j+1, len(S)):
R[i] = (R[i-1] * (period-1) + S[i]) / period
return R
@staticmethod
def _ema(S, period):
R = Std._zeros(len(S))
multiplier = 2.0 / (period + 1)
j = Std._skip(S, period)
Std._set(R, 0, j, None)
if j < len(S):
R[j] = Std._avg(S, j+1)
for i in xrange(j+1, len(S)):
R[i] = ((S[i] - R[i-1] ) * multiplier) + R[i-1]
return R
class TAInstance:
def __init__(self, logPtr = None):
self._logPtr = logPtr
def _log(self, name, *args):
if self._logPtr is not None:
self._logPtr(name, safe_str(','.join(map(str, args))))
@staticmethod
def Highest(records, n, attr=None):
return Std._filt(records, n, attr, 5e-324, max)
@staticmethod
def Lowest(records, n, attr=None):
return Std._filt(records, n, attr, 1.7976931348623157e+308, min)
def MA(self, records, period=9):
self._log('MA', period)
return Std._sma(Std._ticks(records), period)
def SMA(self, records, period=9):
self._log('SMA', period)
return Std._sma(Std._ticks(records), period)
def EMA(self, records, period=9):
self._log('EMA', period)
return Std._ema(Std._ticks(records), period)
def MACD(self, records, fastEMA=12, slowEMA=26, signalEMA=9):
self._log('MACD', fastEMA, slowEMA, signalEMA)
ticks = Std._ticks(records)
slow = Std._ema(ticks, slowEMA)
fast = Std._ema(ticks, fastEMA)
# DIF
dif = Std._diff(fast, slow)
# DEA
sig = Std._ema(dif, signalEMA)
histogram = Std._diff(dif, sig)
return [ dif, sig, histogram]
def BOLL(self, records, period=20, multiplier=2):
self._log('BOLL', period, multiplier)
S = Std._ticks(records)
j = period - 1
while j < len(S) and (S[j] is None):
j+=1
UP = Std._zeros(len(S))
MB = Std._zeros(len(S))
DN = Std._zeros(len(S))
Std._set(UP, 0, j, None)
Std._set(MB, 0, j, None)
Std._set(DN, 0, j, None)
n = 0.0
for i in xrange(j, len(S)):
if i == j:
for k in xrange(0, period):
n += S[k]
else:
n = n + S[i] - S[i - period]
ma = n / period
d = 0
for k in xrange(i+1-period, i+1):
d += (S[k] - ma) * (S[k] - ma)
stdev = math.sqrt(d / period)
up = ma + (multiplier * stdev)
dn = ma - (multiplier * stdev)
UP[i] = up
MB[i] = ma
DN[i] = dn
return [UP, MB, DN]
def KDJ(self, records, n=9, k=3, d=3):
self._log('KDJ', n, k, d)
RSV = Std._zeros(len(records))
Std._set(RSV, 0, n - 1, None)
K = Std._zeros(len(records))
D = Std._zeros(len(records))
J = Std._zeros(len(records))
hs = Std._zeros(len(records))
ls = Std._zeros(len(records))
for i in xrange(0, len(records)):
hs[i] = records[i]['High']
ls[i] = records[i]['Low']
for i in xrange(0, len(records)):
if i >= (n - 1):
c = records[i]['Close']
h = Std._cmp(hs, i - (n - 1), i + 1, max)
l = Std._cmp(ls, i - (n - 1), i + 1, min)
RSV[i] = (100 * ((c - l) / (h - l))) if h != l else 100
K[i] = float(1 * RSV[i] + (k - 1) * K[i - 1]) / k
D[i] = float(1 * K[i] + (d - 1) * D[i - 1]) / d
else:
K[i] = D[i] = 50.0
RSV[i] = 0.0
J[i] = 3 * K[i] - 2 * D[i]
# remove prefix
for i in xrange(0, n-1):
K[i] = D[i] = J[i] = None
return [K, D, J]
def RSI(self, records, period=14):
self._log('RSI', period)
n = period
rsi = Std._zeros(len(records))
Std._set(rsi, 0, len(rsi), None)
if len(records) < n:
return rsi
ticks = Std._ticks(records)
deltas = Std._move_diff(ticks)
seed = deltas[:n]
up = 0.0
down = 0.0
for i in xrange(0, len(seed)):
if seed[i] >= 0:
up += seed[i]
else:
down += seed[i]
up /= n
down /= n
down = -down
if down != 0:
rs = up / down
else:
rs = 0
rsi[n] = 100 - 100 / (1 + rs)
delta = 0.0
upval = 0.0
downval = 0.0
for i in xrange(n+1, len(ticks)):
delta = deltas[i - 1]
if delta > 0:
upval = delta
downval = 0.0
else:
upval = 0.0
downval = -delta
up = (up * (n - 1) + upval) / n
down = (down * (n - 1) + downval) / n
rs = 0 if down == 0 else (up / down)
rsi[i] = 100 - 100 / (1 + rs)
return rsi
def OBV(self, records):
self._log('OBV')
if len(records) == 0:
return []
if 'Close' not in records[0]:
raise "self.OBV argument must KLine"
R = Std._zeros(len(records))
for i in xrange(0, len(records)):
if i == 0:
R[i] = records[i]['Volume']
elif records[i]['Close'] >= records[i - 1]['Close']:
R[i] = R[i - 1] + records[i]['Volume']
else:
R[i] = R[i - 1] - records[i]['Volume']
return R
def ATR(self, records, period=14):
self._log('ATR', period)
if len(records) == 0:
return []
if 'Close' not in records[0]:
raise "self.ATR argument must KLine"
R = Std._zeros(len(records))
m = 0.0
n = 0.0
for i in xrange(0, len(records)):
TR = 0
if i == 0:
TR = records[i]['High'] - records[i]['Low']
else:
TR = max(records[i]['High'] - records[i]['Low'], abs(records[i]['High'] - records[i - 1]['Close']), abs(records[i - 1]['Close'] - records[i]['Low']))
m += TR
if i < period:
n = m / (i + 1)
else:
n = (((period - 1) * n) + TR) / period
R[i] = n
return R
def Alligator(self, records, jawLength=13, teethLength=8, lipsLength=5):
self._log('Alligator', jawLength, teethLength, lipsLength)
ticks = []
for i in xrange(0, len(records)):
ticks.append((records[i]['High'] + records[i]['Low']) / 2)
return [
[None]*8+Std._smma(ticks, jawLength), # // jaw (blue)
[None]*5+Std._smma(ticks, teethLength), # teeth (red)
[None]*3+Std._smma(ticks, lipsLength) # lips (green)
]
def CMF(self, records, period=20):
self._log('CMF', period)
ret = []
sumD = 0.0
sumV = 0.0
arrD = []
arrV = []
for i in xrange(0, len(records)):
d = 0.0
if records[i]['High'] != records[i]['Low']:
d = (2 * records[i]['Close'] - records[i]['Low'] - records[i]['High']) / (records[i]['High'] - records[i]['Low']) * records[i]['Volume']
arrD.append(d)
arrV.append(records[i]['Volume'])
sumD += d
sumV += records[i]['Volume']
if i >= period:
sumD -= arrD.pop(0)
sumV -= arrV.pop(0)
ret.append(sumD / sumV)
return ret
# end of TA
class DummyModule:
def __init__(self, name):
self.__name = name
sys.modules['talib'] = self
def __getattr__(self, attr):
raise Exception('Please install %s module for python' % self.__name)
class MyList(list):
def __init__(self, data):
super(MyList, self).__init__(data)
self.__data = data
def __getattr__(self, attr):
ret = []
for item in self.__data:
ret.append(item[attr])
if HasTALib:
ret = numpy.array(ret)
setattr(self, attr, ret)
return ret
HasTALib = False
try:
import talib
import numpy
HasTALib = True
except ImportError:
talib = DummyModule('talib')
API_ERR_SUCCESS = 0
API_ERR_FAILED = -1
API_ERR_EOF = -2
class dic2obj(dict):
def __getattr__(self, name):
if name in self:
return self[name]
else:
raise AttributeError("no attribute '%s'" % name)
def __setattr__(self, name, value):
self[name] = value
def __delattr__(self, name):
if name in self:
del self[name]
else:
raise AttributeError("no attribute '%s'" % name)
def JoinArgs(args):
arr = []
for item in args:
if hasattr(item, 'savefig') and callable(item.savefig):
d = io.BytesIO()
item.savefig(d, format="png")
arr.append('`data:image/png;base64,%s`'%(base64.b64encode(d.getvalue()).decode('utf-8')))
elif isinstance(item, dict) and item.get('type') == 'table' and item.get('cols'):
arr.append('`%s`' % json.dumps(item))
else:
arr.append(str(item))
return safe_str(' '.join(arr))
class _CSTRUCT(ctypes.Structure):
def toObj(self):
obj = {}
for k, v in self._fields_:
obj[k] = getattr(self, k)
return dic2obj(obj)
class _TICKER(_CSTRUCT):
_fields_ = [("Time", ctypes.c_ulonglong),
("High", ctypes.c_double),
("Low", ctypes.c_double),
("Sell", ctypes.c_double),
("Buy", ctypes.c_double),
("Last", ctypes.c_double),
("Volume", ctypes.c_double)]
class _RECORD(_CSTRUCT):
_fields_ = [("Time", ctypes.c_ulonglong),
("Open", ctypes.c_double),
("High", ctypes.c_double),
("Low", ctypes.c_double),
("Close", ctypes.c_double),
("Volume", ctypes.c_double)]
class _MARKET_ORDER(_CSTRUCT):
_fields_ = [("Price", ctypes.c_double), ("Amount", ctypes.c_double)]
class _ACCOUNT(_CSTRUCT):
_fields_ = [("Balance", ctypes.c_double),
("FrozenBalance", ctypes.c_double),
("Stocks", ctypes.c_double),
("FrozenStocks", ctypes.c_double)]
class _ORDER(_CSTRUCT):
_fields_ = [("Id", ctypes.c_ulonglong),
("Price", ctypes.c_double),
("Amount", ctypes.c_double),
("DealAmount", ctypes.c_double),
("AvgPrice", ctypes.c_double),
("Type", ctypes.c_uint),
("Status", ctypes.c_uint),
("ContractType", ctypes.c_char * 31)]
class _POSITION(_CSTRUCT):
_fields_ = [("MarginLevel", ctypes.c_ulonglong),
("Amount", ctypes.c_double),
("FrozenAmount", ctypes.c_double),
("Price", ctypes.c_double),
("Profit", ctypes.c_double),
("Margin", ctypes.c_double),
("Type", ctypes.c_uint),
("ContractType", ctypes.c_char * 31)]
def EOF():
raise EOFError()
class AsyncRet:
routineId = 0
def __init__(self, v):
self.isWait = False
self.v = v
AsyncRet.routineId += 1
def wait(self, timeout=-1):
if self.isWait:
return (None, False)
self.isWait = True
return (self.v, True)
def __repr__(self):
return '<Go %d>' % AsyncRet.routineId
class Exchange:
def __init__(self, lib, ctx, idx, opt, cfg):
self.lib = lib
self.ctx = ctx
self.idx = ctypes.c_int(idx)
self.opt = opt
self.cfg = cfg
self.name = cfg["Id"]
self.label = cfg["Label"]
self.currency = '%s_%s' % (cfg["BaseCurrency"], cfg["QuoteCurrency"])
self.quoteCurrency = cfg["QuoteCurrency"]
self.maxBarLen = cfg.get('MaxBarLen', 1000)
self.period = opt['Period']
self.ct = ''
self.records_cache = {}
def Go(self, method, *args):
return AsyncRet(getattr(self, method)(*args))
def GetName(self):
return self.name
def GetLabel(self):
return self.label
def GetCurrency(self):
return self.currency
def GetQuoteCurrency(self):
return self.quoteCurrency
def GetUSDCNY(self):
self.lib.api_Exchange_GetUSDCNY.restype = ctypes.c_double
return self.lib.api_Exchange_GetUSDCNY(self.ctx, self.idx)
def SetPrecision(self, a, b):
pass
def GetRate(self):
self.lib.api_Exchange_GetRate.restype = ctypes.c_double
return self.lib.api_Exchange_GetRate(self.ctx, self.idx)
def SetProxy(self, s):
pass
def SetTimeout(self, ms):
pass
def SetRate(self, rate=1.0):
self.lib.api_Exchange_SetRate.restype = ctypes.c_double
return self.lib.api_Exchange_SetRate(self.ctx, self.idx, ctypes.c_double(rate))
def GetTrades(self):
return []
def GetTicker(self):
r = _TICKER()
ret = self.lib.api_Exchange_GetTicker(self.ctx, self.idx, ctypes.byref(r))
if ret == API_ERR_SUCCESS:
return r.toObj()
elif ret == API_ERR_FAILED:
return None
EOF()
def IO(self, k, v = 0):
return self.lib.api_Exchange_IO(self.ctx, self.idx, str(k), int(v))
def GetDepth(self):
ask_len = ctypes.c_uint(0)
bid_len = ctypes.c_uint(0)
buf_ptr = ctypes.c_void_p()
ret = self.lib.api_Exchange_GetDepth(self.ctx, self.idx, ctypes.byref(ask_len), ctypes.byref(bid_len), ctypes.byref(buf_ptr))
if ret == API_ERR_SUCCESS:
n = ask_len.value + bid_len.value
asks = []
bids = []
if n > 0:
group_array = (_MARKET_ORDER * n).from_address(buf_ptr.value)
for i in range(0, n):
if i < ask_len.value:
asks.append(group_array[i].toObj())
else:
bids.append(group_array[i].toObj())
self.lib.api_free(buf_ptr)
return dic2obj({'Asks': asks, 'Bids': bids})
elif ret == API_ERR_FAILED:
return None
EOF()
def GetRecords(self, period=-1):
if period == -1:
period = self.period
r_len = ctypes.c_uint(0)
buf_ptr = ctypes.c_void_p()
ret = self.lib.api_Exchange_GetRecords(self.ctx, self.idx, ctypes.c_long(period), ctypes.byref(r_len), ctypes.byref(buf_ptr))
if ret == API_ERR_SUCCESS:
n = r_len.value
eles = []
if n > 0:
group_array = (_RECORD * n).from_address(buf_ptr.value)
for i in range(0, n):
eles.append(group_array[i].toObj())
self.lib.api_free(buf_ptr)
k = '%s/%d' % (self.ct, period)
c = self.records_cache.get(k, None)
if c is None or len(c) == 0:
self.records_cache[k] = eles[len(eles)-self.maxBarLen:]
else:
preTime = 0 if len(c) == 0 else c[-1]['Time']
for ele in eles:
t = ele['Time']
if t == preTime:
c[-1] = ele
elif t > preTime:
c.append(ele)
if len(c) > self.maxBarLen:
c.pop(0)
preTime = t
return MyList(self.records_cache[k])
elif ret == API_ERR_FAILED:
return None
EOF()
def GetAccount(self):
r = _ACCOUNT()
ret = self.lib.api_Exchange_GetAccount(self.ctx, self.idx, ctypes.byref(r))
if ret == API_ERR_SUCCESS:
return r.toObj()
elif ret == API_ERR_FAILED:
return None
EOF()
def Buy(self, price, amount=None, *extra):
ret = self.lib.api_Exchange_Trade(self.ctx, self.idx, 0, ctypes.c_double(price), ctypes.c_double(amount), JoinArgs(extra))
if ret > 0:
return int(ret)
elif ret == API_ERR_FAILED:
return None
EOF()
def Sell(self, price, amount=None, *extra):
ret = self.lib.api_Exchange_Trade(self.ctx, self.idx, 1, ctypes.c_double(price), ctypes.c_double(amount), JoinArgs(extra))
if ret > 0:
return int(ret)
elif ret == API_ERR_FAILED:
return None
EOF()
def GetOrders(self):
r_len = ctypes.c_uint(0)
buf_ptr = ctypes.c_void_p()
ret = self.lib.api_Exchange_GetOrders(self.ctx, self.idx, ctypes.byref(r_len), ctypes.byref(buf_ptr))
if ret == API_ERR_SUCCESS:
n = r_len.value
eles = []
if n > 0:
group_array = (_ORDER * n).from_address(buf_ptr.value)
for i in range(0, n):
eles.append(group_array[i].toObj())
self.lib.api_free(buf_ptr)
return eles
elif ret == API_ERR_FAILED:
return None
EOF()
def GetOrder(self, orderId):
r = _ORDER()
ret = self.lib.api_Exchange_GetOrder(self.ctx, self.idx, ctypes.c_int(orderId), ctypes.byref(r))
if ret == API_ERR_SUCCESS:
return r.toObj()
elif ret == API_ERR_FAILED:
return None
EOF()
def CancelOrder(self, orderId, *extra):
self.lib.api_Exchange_CancelOrder.restype = ctypes.c_bool
ret = self.lib.api_Exchange_CancelOrder(self.ctx, self.idx, ctypes.c_int(orderId), JoinArgs(extra))
if ret == API_ERR_EOF:
EOF()
return ret == API_ERR_SUCCESS
def SetContractType(self, symbol):
r = ctypes.c_char_p()
ret = self.lib.api_Exchange_SetContractType(self.ctx, self.idx, safe_str(symbol), ctypes.byref(r))
if ret == API_ERR_SUCCESS:
self.ct = symbol
if r:
detail = json_loads(r.value)
self.lib.api_free(r)
return detail
else:
return True
elif ret == API_ERR_FAILED:
return None
EOF()
def SetMarginLevel(self, level):
self.lib.api_Exchange_SetMarginLevel.restype = ctypes.c_bool
return self.lib.api_Exchange_SetMarginLevel(self.ctx, self.idx, ctypes.c_int(level))
def SetDirection(self, direction):
self.lib.api_Exchange_SetMarginLevel.restype = ctypes.c_bool
return self.lib.api_Exchange_SetDirection(self.ctx, self.idx, safe_str(direction))
def GetPosition(self):
r_len = ctypes.c_uint(0)
buf_ptr = ctypes.c_void_p()
ret = self.lib.api_Exchange_GetPosition(self.ctx, self.idx, ctypes.byref(r_len), ctypes.byref(buf_ptr))
if ret == API_ERR_SUCCESS:
n = r_len.value
eles = []
if n > 0:
group_array = (_POSITION * n).from_address(buf_ptr.value)
for i in range(0, n):
eles.append(group_array[i].toObj())
self.lib.api_free(buf_ptr)
return eles
elif ret == API_ERR_FAILED:
return None
EOF()
class Chart(object):
def __init__(self, lib, ctx, js):
self.lib = lib
self.ctx = ctx
self.lib.api_Chart_New(self.ctx, safe_str(json.dumps(js)))
def update(self, js):
self.lib.api_Chart_New(self.ctx, safe_str(json.dumps(js)))
def add(self, seriesIdx, d, replaceId=None):
obj = [seriesIdx, d]
if replaceId is not None:
obj.append(replaceId)
self.lib.api_Chart_Add(self.ctx, safe_str(json.dumps(obj)))
def reset(self, keep=0):
self.lib.api_Chart_Reset(self.ctx, keep)
def parseTask(s):
settings = s
dic = {}
for line in settings.split('\n'):
line = line.strip()
if ':' not in line:
continue
arr = line.split(':', 1)
if len(arr) == 2:
k = arr[0].strip()
v = arr[1].strip()
dic[k] = v
period = 60000 * 60
periodStr = dic.get('period', '1h')
tmp = int(periodStr[:-1])
c = periodStr[-1]
if c == 'd':
period = tmp * 60000 * 60 * 24
elif c == 'm':
period = tmp * 60000
elif c == 'm':
period = tmp * 60000
exchanges = []
for e in json.loads(dic.get('exchanges', '[]')):
arr = e['currency'].upper().split('_')
if len(arr) == 1:
arr.append('CNY' if 'CTP' in e['eid'] else 'USD')
basePeriod = 60000 * 60
if periodStr == '1d':
basePeriod = 60000 * 60
elif periodStr == '1h' or periodStr == '60m':
basePeriod = 60000 * 30
elif periodStr == '30m':
basePeriod = 60000 * 15
elif periodStr == '15m':
basePeriod = 60000 * 5
elif periodStr == '5m':
basePeriod = 60000
cfg = {
"Balance": e.get('balance', 20000.0),
"BaseCurrency": arr[0],
"BasePeriod": e.get('baseperiod', basePeriod),
"BasePrecision": 4,
"DepthDeep": 5,
"DepthAmount": 20,
"FaultTolerant": 0,
"FeeDenominator": 5,
"FeeMaker": e.get('feemaker', 75),
"FeeTaker": e.get('feetaker', 80),
"FeeMin": e.get('feemin', 0),
"Id": e['eid'],
"Label": e['eid'],
"PriceTick": 1e-05,
"QuoteCurrency": arr[1],
"QuotePrecision": 8,
"SlipPoint": 0,
"Stocks": e.get('stocks', 6.0)
}
if e['eid'] == 'Futures_CTP':
cfg['BasePrecision'] = 0
cfg['QuotePrecision'] = 1
cfg['DepthDeep'] = 1
elif e['eid'] == 'Futures_OKCoin':
cfg['BasePrecision'] = 0
cfg['QuotePrecision'] = 5
elif e['eid'] == 'Bitfinex':
cfg['BasePrecision'] = 4
cfg['QuotePrecision'] = 4
cfg['PriceTick'] = 0.001
elif e['eid'] == 'OKCoin_EN':
cfg['BasePrecision'] = 3
cfg['QuotePrecision'] = 3
cfg['PriceTick'] = 0.01
elif 'Futures' not in e['eid']:
cfg['BasePrecision'] = 4
cfg['QuotePrecision'] = 8
cfg['PriceTick'] = 0.00000001
exchanges.append(cfg)
options = {
"DataServer": CLUSTER_DOMAIN,
"MaxChartLogs": 800,
"MaxProfitLogs": 800,
"MaxRuntimeLogs": 800,
"NetDelay": 200,
"Period": period,
"RetFlags": BT_Status | BT_Indicators | BT_Accounts | BT_Chart | BT_RuntimeLogs | BT_ProfitLogs,
"SnapshortPeriod": basePeriod,
"TimeBegin": int(time.mktime(datetime.datetime.strptime(dic.get('start', '2018-02-01 00:00:00'), "%Y-%m-%d %H:%M:%S").timetuple())),
"TimeEnd": int(time.mktime(datetime.datetime.strptime(dic.get('end', '2018-02-05 00:00:00'), "%Y-%m-%d %H:%M:%S").timetuple())),
"UpdatePeriod": 5000
}
return {'Exchanges': exchanges, 'Options': options}
class Templates():
pass
class VCtx(object):
def __init__(self, task = None, autoRun=False, gApis = None, progressCallback=None):
self._joinResult = None
self.gs = threading.Lock()
if gApis is None:
if __name__ == "__main__":
gApis = globals()
else:
gApis = dict(inspect.getmembers(inspect.stack()[1][0]))["f_globals"]
if task is None:
task = parseTask(gApis['__doc__'])
elif hasattr(task, 'upper'):
task = parseTask(task)
if progressCallback is not None:
self.progressCallback = progressCallback
self.httpGetPtr = ctypes.CFUNCTYPE(ctypes.c_int, ctypes.c_char_p, ctypes.POINTER(ctypes.c_char_p), ctypes.POINTER(ctypes.c_int), ctypes.POINTER(ctypes.c_int))(self.httpGetCallback)
self.progessCallbackPtr = ctypes.CFUNCTYPE(None, ctypes.c_char_p)(self.progressCallback)
osName = platform.system()
archName = platform.architecture()[0]
if osName == 'Linux' and hasattr(os, 'uname') and 'arm' in os.uname()[4]:
archName = 'arm'
self.os = '%s/%s' % (osName.lower(), 'amd64' if archName == '64bit' else '386')
soName = 'backtest_py_%s_%s.so' % (osName.lower(), archName)
loader = os.path.join("./depends", soName)
if not os.path.exists(loader):
hdic = {}
tmpCache = getCacheDir()
js = os.path.join(tmpCache, 'md5.json')
if os.path.exists(js):
b = open(js, 'rb').read()
if os.getenv("BOTVS_TASK_UUID") is None or "bfe62471b5f05f7c827cf4057c89040d" in str(b):
hdic = json_loads(b)
loader = os.path.join(tmpCache, soName)
update = False
if not os.path.exists(loader):
update = True
else:
old = md5.md5(open(loader, 'rb').read()).hexdigest()
if old != hdic.get(soName, None):
update = True
backup = os.path.join(tmpCache, old)
try:
os.rename(loader, backup)
os.remove(backup)
except:
pass
if update:
open(loader, 'wb').write(httpGet("http://" + CLUSTER_IP + "/dist/depends/" + soName, CLUSTER_DOMAIN))
open(js, 'wb').write(httpGet("http://" + CLUSTER_IP + "/dist/depends/md5.json", CLUSTER_DOMAIN))
#declare
lib = ctypes.CDLL(loader)
lib.api_backtest.restype = ctypes.c_void_p
ctx = ctypes.c_void_p(lib.api_backtest(json.dumps(task).encode('utf8'), self.httpGetPtr, self.progessCallbackPtr))
if not ctx:
raise 'Initialize backtest engine error'
self.ctx = ctx
self.lib = lib
self.cache = {}
self.kvdb = {}
self.cRetryDelay = 3000
# HOOK
exchanges = []
i = 0
for ele in task["Exchanges"]:
exchanges.append(Exchange(lib, ctx, i, task["Options"], ele))
i += 1
for k in dir(self):
if k.startswith('g_'):