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pyalgotrade tailored for Chinese stock market

License: Other

Shell 0.03% Python 99.97%

pyalgotrade-cn's Introduction

2016-09-03 更新：

合并所有本地化的模块到/cn文件夹中，方便大家使用和跟原版进行对比。
pyalgotrade本体升级为0.18.
加入对tick行情结构的支持，见/stratlib/orderbook.py

Pyalgotrade-cn 在原版的基础上加入了A股历史行情回测，并整合了tushare提供实时行情。以便大家对自己的策略进行回测和模拟测试。

本次更新的内容：

引入tushare实时行情
stratlib提供了两个经典策略(DT, Bollinger_bandit)

历史行情下载，提出需求，参加讨论，请加群：300349971

以下是原版的介绍：

PyAlgoTrade is an event driven algorithmic trading Python library. Although the initial focus was on backtesting, paper trading is now possible using:

Bitstamp for Bitcoins
Xignite for stocks

and live trading is now possible using:

Bitstamp for Bitcoins

To get started with PyAlgoTrade take a look at the tutorial and the full documentation.

Main Features

Event driven.
Supports Market, Limit, Stop and StopLimit orders.
Supports any type of time-series data in CSV format like Yahoo! Finance, Google Finance, Quandl and NinjaTrader.
Xignite realtime feed.
Bitcoin trading support through Bitstamp.
Technical indicators and filters like SMA, WMA, EMA, RSI, Bollinger Bands, Hurst exponent and others.
Performance metrics like Sharpe ratio and drawdown analysis.
Handling Twitter events in realtime.
Event profiler.
TA-Lib integration.

Installation

PyAlgoTrade is developed using Python 2.7 and depends on:

NumPy and SciPy.
pytz.
dateutil.
requests.
matplotlib for plotting support.
ws4py for Bitstamp support.
tornado for Bitstamp support.
tweepy for Twitter support.

You can install PyAlgoTrade using pip like this:

pip install pyalgotrade

pyalgotrade-cn's People

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shiqi0715 dvector89 chen-tam xiwanggit whcobra keel1982 wangbluer woodysseus jgglg cloudfengchao tsjumper chu888chu888 kevinhsu majinke fucheng830 rlcjj songyf frankyzhou guzongyuan hehuichina alexifee liruyuan01 guoyinwang maxtiger faruto jokbull metalworkcolossus talkvip xyicheng wocclyl liyaokaka donaldlee2008 t13m kknet freedream520 chinqkung wangdkchina westlin jianfengyu guoyuwh kimizpb haydengao jackieee fyooc hshunjie worldpride buaaleosat egreaty broodhand mailtostanley cyiwise priestfu cliff007 elonhan6 renzg juexiang001 martin-zheng frankff dongtiger johnsonhongyi chenhbzl complyue zhangkj fallingdust china-quant tigerone1 cjd9023 zhangyuxin lijian8 caitouwh libicc upsea darwinbeing egqm jsonbao yucheng90 zhuyue1314 peterae86 xrshao wdsjiayou gitalexchan lzanetti tommyswei xcjdezh panlei86 dillonhao chenrla dylan-zhang- aaront2000 deanlan dingchundong njiang1987 pumbaapengyong kaihaohust lxzlll goofind andyyang0 foreverpw terrywood yuli-coder

pyalgotrade-cn's Issues

Feed import 问题

在运行setup.py 安装后运行示例策略报错：import Feed 问题。
在setup.py 文件的packages中加入pyalgotrade.cn ,重新运行setup.py 即可

请教 stratlib目录下的演示doubleMA.py如何设置初始资金

_fill_today_bars 中的 bug

if is_holiday(today): # do nothing if holiday
return
elif datetime.date.today().weekday() in [5, 0]:
return

此处的[5,0] 应该是[5,6]吧？

tick 级回测重构fill_strategy ,添加选项使用对手价买卖

ImportError: No module named cn.csvfeed

When I run thrSMA.py, the error ImportError: No module named cn.csvfeed occurs.

运行 setup.py报错

SystemExit: usage: setup.py [global_opts] cmd1 [cmd1_opts] [cmd2 [cmd2_opts] ...]
or: setup.py --help [cmd1 cmd2 ...]
or: setup.py --help-commands
or: setup.py cmd --help

error: no commands supplied

Pyalgotrade 有没有设置合约大小(整点价格)的地方

请教 Pyalgotrade 有没有设置合约大小(整点价格)的地方,就是碰到有杠杆的品种比如国内的商品期货有的是1:10杠杆有的1:5 , 股指是1:300

如何用当前Bar的价格成交，而不是用下一根Bar？

各位兄弟们，我在原版的pyalgotrade底下提了个issue，但不知道有没有理我。
大家有没有知道这个问题的解决方案，或者什么原因机制要做成必须用下一根Bar的价格成交？
希望给解释一下，谢谢。
https://github.com/gbeced/pyalgotrade/issues/77

Windows 10 64bit,
Anaconda2-2.4.1-Windows 36bit
Python 2.7.11 |Anaconda 2.4.1 (32-bit)| (default, Dec 7 2015, 14:13:17) [MSC v.1500 32 bit (Intel)] on win32
运行测试代码thrSMA.py，显示如下错误，是不是我配置有问题。
C:\Users\Ting\pyalgotrade-cn>python C:\Users\Ting\pyalgotrade-cn\stratlib\thrSMA.py Traceback (most recent call last): File "C:\Users\Ting\pyalgotrade-cn\stratlib\thrSMA.py", line 166, in <module> testStrategy() File "C:\Users\Ting\pyalgotrade-cn\stratlib\thrSMA.py", line 123, in testStrategy barfeed.loadBars(instrument, market, fromDate, toDate, filepath) File "build\bdist.win32\egg\pyalgotrade\cn\csvfeed.py", line 37, in loadBars File "C:\Anaconda2\lib\site-packages\pandas\io\parsers.py", line 498, in parser_f return _read(filepath_or_buffer, kwds) File "C:\Anaconda2\lib\site-packages\pandas\io\parsers.py", line 275, in _read parser = TextFileReader(filepath_or_buffer, **kwds) File "C:\Anaconda2\lib\site-packages\pandas\io\parsers.py", line 590, in __init__ self._make_engine(self.engine) File "C:\Anaconda2\lib\site-packages\pandas\io\parsers.py", line 731, in _make_engine self._engine = CParserWrapper(self.f, **self.options) File "C:\Anaconda2\lib\site-packages\pandas\io\parsers.py", line 1103, in __init__ self._reader = _parser.TextReader(src, **kwds) File "pandas\parser.pyx", line 353, in pandas.parser.TextReader.__cinit__ (pandas\parser.c:3246) File "pandas\parser.pyx", line 591, in pandas.parser.TextReader._setup_parser_source (pandas\parser.c:6111) IOError: File ..\histdata\minute\600288SH.csv does not exist