索引, 国际期货市场的回测, 内置沙盒数据融入国际期货

abupy/CoreBu/ABuEnv.py

@@ -154,8 +154,10 @@ class EMarketSourceType(Enum):
  """新浪 美股"""
  E_MARKET_SOURCE_sn_us = 3
 
- """新浪 期货"""
+ """新浪 国内期货"""
  E_MARKET_SOURCE_sn_futures = 100
+ """新浪 国际期货"""
+ E_MARKET_SOURCE_sn_futures_gb = 101
 
  """火币 比特币，莱特币"""
  E_MARKET_SOURCE_hb_tc = 200
@@ -214,6 +216,14 @@ class EMarketSubType(Enum):
  ZZCE = 'ZZCE'
  """上海期货交易所SHFE'"""
  SHFE = 'SHFE'
+
+ """伦敦金属交易所"""
+ LME = 'LME'
+ """芝加哥商品交易所"""
+ CBOT = 'CBOT'
+ """纽约商品交易所"""
+ NYMEX = 'NYMEX'
+
  """币类子市场COIN'"""
  COIN = 'COIN'
 

abupy/MarketBu/ABuDataFeed.py

@@ -21,7 +21,8 @@
 from ..CoreBu import ABuEnv
 from ..MarketBu import ABuNetWork
 from ..MarketBu.ABuDataBase import StockBaseMarket, SupportMixin, FuturesBaseMarket, TCBaseMarket
-from ..MarketBu.ABuDataParser import BDParser, TXParser, NTParser, SNUSParser, SNFuturesParser, HBTCParser
+from ..MarketBu.ABuDataParser import BDParser, TXParser, NTParser, SNUSParser
+from ..MarketBu.ABuDataParser import SNFuturesParser, SNFuturesGBParser, HBTCParser
 from ..UtilBu import ABuStrUtil, ABuDateUtil, ABuMd5
 from ..CoreBu.ABuDeprecated import AbuDeprecated
 # noinspection PyUnresolvedReferences
@@ -339,6 +340,38 @@ def kline(self, n_folds=2, start=None, end=None):
  return FuturesBaseMarket._fix_kline_pd(kl_df, n_folds, start, end)
 
 
+class SNFuturesGBApi(FuturesBaseMarket, SupportMixin):
+ """sn futures数据源，支持国际期货"""
+
+ K_NET_BASE = "http:https://stock2.finance.sina.com.cn/futures/api/jsonp.php/" \
+ "var %s%s=/GlobalFuturesService.getGlobalFuturesDailyKLine?symbol=%s&_=%s"
+
+ def __init__(self, symbol):
+ """
+ :param symbol: Symbol类型对象
+ """
+ super(SNFuturesGBApi, self).__init__(symbol)
+ # 设置数据源解析对象类
+ self.data_parser_cls = SNFuturesGBParser
+
+ def _support_market(self):
+ """声明数据源支持期货数据, 支持国际期货市场"""
+ return [EMarketTargetType.E_MARKET_TARGET_FUTURES_GLOBAL]
+
+ def kline(self, n_folds=2, start=None, end=None):
+ """日k线接口"""
+ today = ABuDateUtil.current_str_date().replace('-', '_')
+ url = SNFuturesGBApi.K_NET_BASE % (self._symbol.symbol_code, today, self._symbol.symbol_code, today)
+ data = ABuNetWork.get(url=url, timeout=(10, 60))
+ text = data.text
+ # 返回的是Javascript字符串解析出dict
+ js_dict = ABuNetWork.parse_js(text[text.find('=(') + 2:text.rfind(')')])
+ kl_df = self.data_parser_cls(self._symbol, js_dict).df
+ if kl_df is None:
+ return None
+ return FuturesBaseMarket._fix_kline_pd(kl_df, n_folds, start, end)
+
+
 class HBApi(TCBaseMarket, SupportMixin):
  """hb数据源，支持币类，比特币，莱特币"""
 

abupy/MarketBu/ABuDataParser.py

@@ -236,6 +236,32 @@ def __init__(self, symbol, json_dict):
  self.volume = [item[5] for item in data]
 
 
+@AbuDataParseWrap()
+class SNFuturesGBParser(object):
+ """示例国际期货数据源解析类，被类装饰器AbuDataParseWrap装饰"""
+ # noinspection PyUnusedLocal
+ def __init__(self, symbol, json_dict):
+ """
+ :param symbol: 请求的symbol str对象
+ :param json_dict: 请求返回的json或者dict数据
+ """
+ data = json_dict
+ # 为AbuDataParseWrap准备类必须的属性序列
+ if len(data) > 0:
+ # 时间日期序列
+ self.date = [item['date'] for item in data]
+ # 开盘价格序列
+ self.open = [item['open'] for item in data]
+ # 最高价格序列
+ self.high = [item['high'] for item in data]
+ # 最低价格序列
+ self.low = [item['low'] for item in data]
+ # 收盘价格序列
+ self.close = [item['close'] for item in data]
+ # 成交量序列
+ self.volume = [item['volume'] for item in data]
+
+
 @AbuDataParseWrap()
 class HBTCParser(object):
  """示例币类市场数据源解析类，被类装饰器AbuDataParseWrap装饰"""

abupy/MarketBu/ABuDataSource.py

@@ -12,7 +12,7 @@
 import numpy as np
 
 from ..MarketBu.ABuDataBase import BaseMarket
-from ..MarketBu.ABuDataFeed import BDApi, TXApi, NTApi, HBApi, SNUSApi, SNFuturesApi
+from ..MarketBu.ABuDataFeed import BDApi, TXApi, NTApi, HBApi, SNUSApi, SNFuturesApi, SNFuturesGBApi
 from .ABuSymbol import Symbol
 from .ABuSymbol import code_to_symbol
 from ..CoreBu import ABuEnv
@@ -36,6 +36,7 @@ class HDF5ExtError(RuntimeError):
  EMarketSourceType.E_MARKET_SOURCE_nt.value: NTApi,
  EMarketSourceType.E_MARKET_SOURCE_sn_us.value: SNUSApi,
  EMarketSourceType.E_MARKET_SOURCE_sn_futures.value: SNFuturesApi,
+ EMarketSourceType.E_MARKET_SOURCE_sn_futures_gb.value: SNFuturesGBApi,
  EMarketSourceType.E_MARKET_SOURCE_hb_tc.value: HBApi}
 
 

abupy/MarketBu/ABuMarket.py

@@ -21,7 +21,7 @@
 from ..CoreBu.ABuFixes import KFold, six
 from ..UtilBu.ABuLazyUtil import LazyFunc
 from ..MarketBu.ABuSymbol import Symbol, code_to_symbol
-from ..MarketBu.ABuSymbolFutures import AbuFuturesCn
+from ..MarketBu.ABuSymbolFutures import AbuFuturesCn, AbuFuturesGB
 from ..MarketBu.ABuSymbolStock import AbuSymbolCN, AbuSymbolUS, AbuSymbolHK
 
 __author__ = '阿布'
@@ -173,12 +173,20 @@ def _all_hk_symbol(index=False):
 
 def _all_futures_cn():
  """
- AbuFuturesCn().symbol获取期货symbol代码，注意这里只取连续合约代码
+ AbuFuturesCn().symbol获取国内期货symbol代码，注意这里只取连续合约代码
  :return:
  """
  return AbuFuturesCn().symbol
 
 
+def _all_futures_gb():
+ """
+ AbuFuturesGB().symbol获取国际期货symbol代码，LME，CBOT，COMEX
+ :return:
+ """
+ return AbuFuturesGB().symbol
+
+
 def _all_tc_symbol():
  """
  获取币类symbol，注意这里只取比特币与莱特币，可自行扩展其它币种
@@ -208,6 +216,8 @@ def all_symbol(market=None, ss=False, index=False, value=True):
  symbols = _all_hk_symbol(index)
  elif market == EMarketTargetType.E_MARKET_TARGET_FUTURES_CN:
  symbols = _all_futures_cn()
+ elif market == EMarketTargetType.E_MARKET_TARGET_FUTURES_GLOBAL:
+ symbols = _all_futures_gb()
  elif market == EMarketTargetType.E_MARKET_TARGET_TC:
  symbols = _all_tc_symbol()
  else:

abupy/MarketBu/ABuSymbol.py

@@ -19,18 +19,14 @@ def code_to_symbol(code):
  :param code: str对象，代码 如：300104，sz300104，usTSLA
  :return: Symbol对象
  """
- from ..MarketBu.ABuSymbolFutures import AbuFuturesCn
+ from ..MarketBu.ABuSymbolFutures import AbuFuturesCn, AbuFuturesGB
  from ..MarketBu.ABuSymbolStock import AbuSymbolCN, AbuSymbolUS
  from ..MarketBu.ABuMarket import all_symbol
 
  if not isinstance(code, six.string_types):
  # code必须是string_types
  raise TypeError('code must be string_types!!!，{} : type is {}'.format(code, type(code)))
 
- if len(code) < 2:
- # code的长度必须 > 2
- raise ValueError('arg code :{} len < 2is error'.format(code))
-
  sub_market = None
  market = None
  # 尝试获取市场信息
@@ -79,6 +75,13 @@ def code_to_symbol(code):
  market = EMarketTargetType.E_MARKET_TARGET_TC
  sub_market = EMarketSubType.COIN
  return Symbol(market, sub_market, code)
+ elif code.isalpha() and code.upper() in all_symbol(EMarketTargetType.E_MARKET_TARGET_FUTURES_GLOBAL):
+ # 全字母且匹配国际期货市场
+ futures_gb_code = code.upper()
+ q_df = AbuFuturesGB().query_symbol(futures_gb_code)
+ sub_market = EMarketSubType(q_df.exchange.values[0])
+ market = EMarketTargetType.E_MARKET_TARGET_FUTURES_GLOBAL
+ return Symbol(market, sub_market, futures_gb_code)
  elif code.isalpha() or (code.startswith('.') and code[1:].isalpha()):
  # 全字母进行美股大盘匹配或者美股股票匹配
  stock_code = code.upper()
@@ -234,6 +237,8 @@ class IndexSymbol(object):
 
  # 国内期货只是使用黄金做为时间标尺，不具备对比大盘作用
  BM_FUTURES_CN = Symbol(EMarketTargetType.E_MARKET_TARGET_FUTURES_CN, EMarketSubType.SHFE, 'AU0')
+ # 国际期货只是使用纽约黄金做为时间标尺，不具备对比大盘作用
+ BM_FUTURES_GB = Symbol(EMarketTargetType.E_MARKET_TARGET_FUTURES_GLOBAL, EMarketSubType.NYMEX, 'GC')
 
  # 币类只是使用btc做为时间标尺，不具备对比大盘作用
  TC_INX = Symbol(EMarketTargetType.E_MARKET_TARGET_TC, EMarketSubType.COIN, 'btc')

abupy/MarketBu/ABuSymbolFutures.py

@@ -21,17 +21,20 @@
 __weixin__ = 'abu_quant'
 
 _rom_dir = ABuEnv.g_project_rom_data_dir
-"""文件定期重新爬取，更新"""
+"""国内期货symbol文件，文件定期重新爬取，更新"""
 _stock_code_futures_cn = os.path.join(_rom_dir, 'futures_cn.csv')
 
+"""国际期货symbol文件，文件定期重新爬取，更新"""
+_stock_code_futures_gb = os.path.join(_rom_dir, 'futures_gb.csv')
+
 
 @singleton
 class AbuFuturesCn(FreezeAttrMixin):
- """AbuFuturesCn单例，混入FreezeAttrMixin在__init__中冻结了接口，外部只可以读取"""
+ """国内期货symbol数据，AbuFuturesCn单例，混入FreezeAttrMixin在__init__中冻结了接口，外部只可以读取"""
 
  def __init__(self):
  """
- self.hk_unit_df表结构如下所示：列分别为
+ self.futures_cn_df表结构如下所示：列分别为
  symbol product min_deposit min_unit commission exchange
 
  0 V0 PVC 0.07 5 2.0 DCE
@@ -142,6 +145,103 @@ def exchange(self):
  """代理获取futures_cn_df.exchange，LazyFunc"""
  return self.futures_cn_df.exchange
 
+
+# TODO 提取AbuFutures基类，删除重复代码
+@singleton
+class AbuFuturesGB(FreezeAttrMixin):
+ """国际期货数据，AbuFuturesGB单例，混入FreezeAttrMixin在__init__中冻结了接口，外部只可以读取"""
+
+ def __init__(self):
+ """
+ self.futures_gb_df表结构如下所示：列分别为
+
+ symbol product min_deposit min_unit exchange
+ 0 NID 伦敦镍 0.07 6 LME
+ 1 PBD 伦敦铅 0.10 25 LME
+ 2 SND 伦敦锡 0.05 5 LME
+ 3 ZSD 伦敦锌 0.10 25 LME
+ 4 AHD 伦敦铝 0.08 25 LME
+ 5 CAD 伦敦铜 0.08 25 LME
+ """
+ # 读取本地csv到内存
+ self.futures_gb_df = pd.read_csv(_stock_code_futures_gb, index_col=0)
+ # __init__中使用FreezeAttrMixin._freeze冻结了接口
+ self._freeze()
+
+ def __str__(self):
+ """打印对象显示：futures_cn_df.info， futures_cn_df.describe"""
+ return 'info:\n{}\ndescribe:\n{}'.format(self.futures_gb_df.info(),
+ self.futures_gb_df.describe())
+
+ __repr__ = __str__
+
+ def __len__(self):
+ """对象长度：futures_cn_df.shape[0]，即行数"""
+ return self.futures_gb_df.shape[0]
+
+ def __contains__(self, item):
+ """成员测试：item in self.futures_cn_df.columns，即item在不在futures_cn_df的列中"""
+ return item in self.futures_gb_df.columns
+
+ def __getitem__(self, key):
+ """索引获取：套接self.futures_cn_df[key]"""
+ if key in self:
+ return self.futures_gb_df[key]
+ # 不在的话，返回整个表格futures_cn_df
+ return self.futures_gb_df
+
+ def __setitem__(self, key, value):
+ """索引设置：对外抛出错误， 即不准许外部设置"""
+ raise AttributeError("AbuFuturesGB set value!!!")
+
+ def query_symbol(self, symbol):
+ """
+ 对外查询接口
+ :param symbol: 可以是Symbol对象，也可以是symbol字符串对象
+ """
+ if isinstance(symbol, Symbol):
+ symbol = symbol.value
+ if symbol in self.symbol.values:
+ return self.futures_gb_df[self.futures_gb_df.symbol.values == symbol]
+ return None
+
+ def query_min_unit(self, symbol):
+ """
+ 对query_symbol的查询一手单位的近一部函数封装
+ :param symbol: 可以是Symbol对象，也可以是symbol字符串对象
+ """
+ min_cnt = 10
+ # 查询最少一手单位
+ q_df = self.query_symbol(symbol)
+ if q_df is not None:
+ min_cnt = q_df.min_unit.values[0]
+ return min_cnt
+
+ @LazyFunc
+ def symbol(self):
+ """代理获取futures_gb_df.symbol，LazyFunc"""
+ return self.futures_gb_df.symbol
+
+ @LazyFunc
+ def product(self):
+ """代理获取futures_gb_df.product，LazyFunc"""
+ return self.futures_gb_df.product
+
+ @LazyFunc
+ def min_deposit(self):
+ """代理获取futures_gb_df.min_deposit，LazyFunc"""
+ return self.futures_gb_df.min_deposit
+
+ @LazyFunc
+ def min_unit(self):
+ """代理获取futures_gb_df.min_unit，LazyFunc"""
+ return self.futures_gb_df.min_unit
+
+ @LazyFunc
+ def exchange(self):
+ """代理获取futures_gb_df.exchange，LazyFunc"""
+ return self.futures_gb_df.exchange
+
 """由于封装对外所以不使用模块单例"""
 # """模块单例"""
 # futures_cn = AbuFuturesCn()

abupy/MarketBu/__init__.py

@@ -7,7 +7,7 @@
 from .ABuSymbol import IndexSymbol, Symbol, code_to_symbol
 from . import ABuSymbol
 from ..MarketBu.ABuSymbolStock import AbuSymbolCN, AbuSymbolUS, AbuSymbolHK
-from .ABuSymbolFutures import AbuFuturesCn
+from .ABuSymbolFutures import AbuFuturesCn, AbuFuturesGB
 from .ABuHkUnit import AbuHkUnit
 from . import ABuMarket
 from .ABuMarket import MarketMixin
@@ -27,6 +27,7 @@
  'get_price',
  'ABuSymbol',
  'AbuSymbolCN',
+ 'AbuFuturesGB',
  'AbuSymbolUS',
  'AbuSymbolHK',
  'AbuFuturesCn',

abupy/SimilarBu/ABuCorrcoef.py

@@ -162,11 +162,14 @@ def rolling_corr(df, ss=None, window=g_rolling_corr_window):
  """
  corr = 0
  if ss is None:
+ # 如果不使用pd_rolling_corr，需要copy，保证df == np.inf的会修改
+ df = df.copy()
+ df[df == np.inf] = 0
  # 迭代rolling_window下的时间窗口，使用np.corrcoef，比使用pd_rolling_corr效果高很多
  for (s, e) in rolling_window:
  # eg. rolling_window第一个即为np.corrcoef(df.iloc[0:60].T)
  window_corr = np.corrcoef(df.iloc[s:e].T)
- window_corr[window_corr == np.inf] = 0
+ window_corr[(window_corr == np.inf) | (window_corr == np.nan)] = 0
  # 当前窗口下的相关系数乘以权重, window_corr * weights[s]为df.shape[1]大小的相关系数二维方阵
  corr += window_corr * weights[s]
  else:

abupy/SimilarBu/ABuSimilar.py

@@ -410,8 +410,8 @@ def multi_corr_df(corr_jobs, cmp_cnt=252, n_folds=None, start=None, end=None):
  # 美股期权暂时也以IXIC做为标尺
  benchmark = IndexSymbol.IXIC
  elif ABuEnv.g_market_target == EMarketTargetType.E_MARKET_TARGET_FUTURES_GLOBAL:
- # 国际期货暂时也以BM_FUTURES_CN做为标尺
- benchmark = IndexSymbol.BM_FUTURES_CN
+ # 国际期货暂时也以BM_FUTURES_GB做为标尺
+ benchmark = IndexSymbol.BM_FUTURES_GB
  else:
  # 没匹配上也不抛错误，随便给一个，因为这里要的benchmark主要目的只是做为时间标尺
  benchmark = IndexSymbol.IXIC

abupy/TradeBu/ABuBenchmark.py

@@ -43,8 +43,8 @@ def __init__(self, benchmark=None, start=None, end=None, n_folds=2, rs=True):
  # 美股期权暂时也以IXIC做为标尺，最好是外部参数中的benchmark设置
  benchmark = IndexSymbol.IXIC
  elif ABuEnv.g_market_target == EMarketTargetType.E_MARKET_TARGET_FUTURES_GLOBAL:
- # 国际期货暂时也以BM_FUTURES_CN做为标尺，最好是外部参数中的benchmark设置
- benchmark = IndexSymbol.BM_FUTURES_CN
+ # 国际期货暂时也以BM_FUTURES_GB做为标尺
+ benchmark = IndexSymbol.BM_FUTURES_GB
  else:
  raise TypeError('benchmark is None AND g_market_target ERROR!')