CN107895005A - A kind of more market historical datas return survey method and computer-readable storage medium - Google Patents
A kind of more market historical datas return survey method and computer-readable storage medium Download PDFInfo
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- CN107895005A CN107895005A CN201711085752.2A CN201711085752A CN107895005A CN 107895005 A CN107895005 A CN 107895005A CN 201711085752 A CN201711085752 A CN 201711085752A CN 107895005 A CN107895005 A CN 107895005A
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- G—PHYSICS
- G06—COMPUTING; CALCULATING OR COUNTING
- G06F—ELECTRIC DIGITAL DATA PROCESSING
- G06F16/00—Information retrieval; Database structures therefor; File system structures therefor
- G06F16/20—Information retrieval; Database structures therefor; File system structures therefor of structured data, e.g. relational data
- G06F16/24—Querying
- G06F16/245—Query processing
- G06F16/2458—Special types of queries, e.g. statistical queries, fuzzy queries or distributed queries
- G06F16/2465—Query processing support for facilitating data mining operations in structured databases
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- G—PHYSICS
- G06—COMPUTING; CALCULATING OR COUNTING
- G06Q—INFORMATION AND COMMUNICATION TECHNOLOGY [ICT] SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES; SYSTEMS OR METHODS SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES, NOT OTHERWISE PROVIDED FOR
- G06Q40/00—Finance; Insurance; Tax strategies; Processing of corporate or income taxes
- G06Q40/06—Asset management; Financial planning or analysis
Abstract
A kind of more market historical datas return survey method and computer-readable storage medium, are related to field of computer technology, it comprises the following steps：Step 1：Merge different marketing datas and distribute data flow to produce event, step 2：The event survey, returns and surveys while can realizing different cultivars using this event driven mode.
Description
Technical field
The present invention relates to field of computer technology, and survey method and calculating are returned more particularly to a kind of more market historical datas
Machine storage medium.
Background technology
In order to meet that investor provides data and gone through to the analysis of data and the checking of tactful thinking, many market platforms
History returns the function of surveying, and can examine transaction thinking according to customized tactful dry run in the historical data.
Although such as MT4/MT5 platforms can realize that the history across kind cross-market returns brake in existing technology,
Data outside platform can not be imported and survey, the history for limiting the finance data of the domestic market overwhelming majority returns survey.
On the other hand, it is to be carried out based on graph object, it is necessary to use similar to complicated MQL language to return survey due to the history of these platforms
Various types of data management, the threshold of introduction are very high.
The content of the invention
A kind of returning for more market historical datas is provided it is an object of the invention to avoid weak point of the prior art
Survey is returned in survey method and computer-readable storage medium, returning while survey method can realize different cultivars for more market historical datas,
The easily exploitation of implementation strategy, it is low to enter gate threshold.
The purpose of the present invention is achieved through the following technical solutions：
There is provided a kind of more market historical datas returns survey method, comprises the following steps：
Step 1：Merge different marketing datas and distribute data flow to produce event,
Step 2：The event survey.
Wherein, the step 1 includes following sub-step：
Sub-step one：Corresponding digital independent and processing class are called automatically for the data in different markets；
Sub-step two：Data are merged to the time series data for the standard that is organized into；
Sub-step three：Mistake existing for processing data or missing；
Sub-step four：According to data corresponding to the interception of the condition for the setting that history time is surveyed and it is distributed to corresponding strategy
In object.
Wherein, the step 2 comprises the following steps：
Step A：Corresponding event is distributed in account object by an independent incident management and according to the type of event；
Step B：Corresponding account object will carry out the change of the record and position in storehouse of accounts information in independent thread
It is dynamic.
Wherein, the event includes Tick/Bar variations event, lower single event peace storehouse event.
Wherein, in the sub-step three, the defects of data are present, includes error in data and/or shortage of data.
Wherein, in the sub-step four, the condition of the setting includes time and/or kind.
A kind of computer-readable storage medium, is stored with computer program, and the program realizes claim 1 to 6 institute when being performed
The step of stating method.
Wherein, write when the computer program is encoded using python language.
Beneficial effects of the present invention：
A kind of more market historical datas of the present invention return survey method, can pass through python (computer program design languages
Speech) write strategy, it is easier to the exploitation of implementation strategy；It is free to select data to carry out history time survey, stock returns survey can
To introduce the system of T+1 mechanism and price limits, more meet the concrete condition of the country；The information such as account are more independent, can analyze
The fluctuation of tactful net value, it can also stand alone as the different account object of each strategy setting；The shifty survey of multi items can be realized
Examination, while the parameter optimization of model is carried out, there is widely calculating storehouse can select；Analysis for particular customer can be done
To customization.
Brief description of the drawings
Invention is described further using accompanying drawing, but the embodiment in accompanying drawing does not form any limitation of the invention,
For one of ordinary skill in the art, on the premise of not paying creative work, it can also be obtained according to the following drawings
Its accompanying drawing.
Fig. 1 is the flow chart that a kind of data for returning survey method of more market historical datas of the present invention merge and distributed.
Fig. 2 is a kind of time flow gauge figure for returning survey method of more market historical datas of the present invention.
Embodiment
The invention will be further described with the following Examples.
The present embodiment calls corresponding digital independent automatically for stock, futures, the data in three different markets of foreign exchange
With processing class；
Data are merged and are organized into the time series data of standard and according to time-sequencing；
All kinds of mistakes, missing and the other problemses of data after processing merges；
Strategy corresponding to according to the conditions such as the setting time of history time survey, kind interception corresponding part and being distributed to is right
As in.
The present embodiment refer to Fig. 1, and it illustrates the flow chart that the marketing data of the present embodiment merges distribution, this method can
Regular merging is carried out with the data that different markets are possessed to different attribute, and forms data flow to be easy to analyze a variety of data common
Information.The specific step of this method is as follows：
It is as follows to read data：
Data (i.e. ReadForexData, ReadStockData and ReadFutureData) use to different markets is more
Thread is read out, and is had corresponding digital independent class per a kind of data, can be read by csv files or Mongodb is straight
Obtain.
It is as follows to perform DataManager (the regular merging of digital independent)：
To each independent data processing class will regular time series (i.e. sequence in DataManager), and replace
Into datetime form, and kind market identifies corresponding to addition；
Merging different data turns into a DataFrame, and is arranged according to the order of time series；Merging data
When, it is necessary to the time of attention Index form, using the time format of character string, it is necessary to which independent set or turn in strategy
Change；
Shortage of data value, improper value after processing merging etc., i.e. cleaning in DataManager.
It is as follows to perform Strategy：
Finally, according to the time span of strategy setting, variety type, data distribution corresponding to interception to Strategy (plans
In OnBar or OnTick function slightly).
The account of the present embodiment and the analogy method that order changes are as follows：
Return three class events of main generation during surveying：Tick/Bar changes event, lower single event peace storehouse event；
Corresponding event by an independent incident management and according to the type of event be distributed to account object (Account,
Order and Position) in；
Corresponding object will carry out the variation of the record, position in storehouse of accounts information in independent thread.
Fig. 2 is refer to, it illustrates the data flowchart that the historical data of the present embodiment returns survey process, this method can be real
The kind in existing different account difference markets is returned simultaneously to be surveyed, and by event driven mode, is allocated and is managed corresponding event.Specifically
It is as follows：
1st, each Strategy object can set corresponding account object, position management object, risk management and control object,
Event manager's object, such setting can be possessed good with one account of each strategy setting or using same account
Expansion；
2nd, Strategy objects receive the data flow in DataManager, pass through calling when strategy returns and surveys beginning
Corresponding function produces Tick events, Bar events, the event that opens a position and event of closing a position；
3rd, EventProcess monitors event caused by Strategy and is added in queue always in independent thread,
Corresponding event handling signal is sent on corresponding account, position and order object simultaneously；
4th, corresponding object is handled accordingly.
The benefit that historical data above returns survey process can be achieved on policy data stream and corresponding order independence, accelerate
The speed of computing, return and survey while can realize different cultivars using this event driven mode during historical data is returned and surveyed.
The present embodiment also provides a kind of computer-readable storage medium, is stored with computer program, and the program is realized when being performed
The step of above method.
Wherein, write when the computer program is encoded using python language.
A kind of more market historical datas of the present embodiment return survey method, can write strategy by python, more hold
The exploitation of easy implementation strategy；It is free to select data to carry out history time survey, stock, which returns survey, can introduce T+1 mechanism and ups and downs
The system stopped, more meet the concrete condition of the country；The information such as account are more independent, can also may be used with the fluctuation of analysis strategy net value
Stand alone as the different account object of each strategy setting；The shifty test of multi items can be realized, while carries out the ginseng of model
Number optimization, there is widely calculating storehouse can select；Analysis for particular customer can be accomplished to customize.
Finally it should be noted that the above embodiments are merely illustrative of the technical solutions of the present invention, rather than the present invention is protected
The limitation of scope is protected, although being explained with reference to preferred embodiment to the present invention, one of ordinary skill in the art should
Work as understanding, technical scheme can be modified or equivalent substitution, without departing from the reality of technical solution of the present invention
Matter and scope.
Claims (8)
1. a kind of more market historical datas return survey method, it is characterised in that：Comprise the following steps：
Step 1：Merge different marketing datas and distribute data flow to produce event,
Step 2：The event survey.
2. a kind of more market historical datas as claimed in claim 1 return survey method, it is characterised in that：The step 1 includes
Following sub-step：
Sub-step one：Corresponding digital independent and processing class are called automatically for the data in different markets；
Sub-step two：Data are merged to the time series data for the standard that is organized into；
Sub-step three：Mistake existing for processing data or missing；
Sub-step four：According to data corresponding to the interception of the condition for the setting that history time is surveyed and it is distributed to corresponding policy object
In.
3. a kind of more market historical datas as claimed in claim 1 or 2 return survey method, it is characterised in that：The step 2
Comprise the following steps：
Step A：Corresponding event is distributed in account object by an independent incident management and according to the type of event；
Step B：Corresponding account object will carry out the variation of the record and position in storehouse of accounts information in independent thread.
4. a kind of more market historical datas as claimed in claim 1 return survey method, it is characterised in that：The event includes
Tick/Bar changes event, lower single event peace storehouse event.
5. a kind of more market historical datas as claimed in claim 2 return survey method, it is characterised in that：The sub-step three
In, the defects of data are present, includes error in data and/or shortage of data.
6. a kind of more market historical datas as claimed in claim 2 return survey method, it is characterised in that：The sub-step four
In, the condition of the setting includes time and/or kind.
7. a kind of computer-readable storage medium, is stored with computer program, it is characterised in that：The program realizes that right will when being performed
The step of seeking 1 to 6 any one methods described.
A kind of 8. computer-readable storage medium as claimed in claim 7, it is characterised in that：The computer program is adopted when being encoded
Write with python language.
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| CN112819640A (en) * | 2021-02-04 | 2021-05-18 | 中山大学 | Financial return error-tolerance system and method for micro-service |
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