From c82fd0782b2eca300cad6ab7d07a8a8ce6bf2cf7 Mon Sep 17 00:00:00 2001 From: aaron yang Date: Sun, 24 Jul 2022 20:07:49 +0800 Subject: [PATCH] =?UTF-8?q?=E2=9C=A8=20feat:=20#58=20cache=20more=20frame?= =?UTF-8?q?=20type=20bras=20and=20to=20real-time=20calc=20with=20lua?= MIME-Version: 1.0 Content-Type: text/plain; charset=UTF-8 Content-Transfer-Encoding: 8bit 1. add lua script and wrappers under scripts 2. load_lua_script during app.init 3. rebuild unclosed bars during app.init 4. realtime calc unclosed bars after 1m bars is fetched and cached --- docs/keyconcept.md | 4 + omega/master/jobs.py | 32 +++-- omega/master/tasks/rebuild_unclosed.py | 103 +++++++++++++++ omega/scripts/__init__.py | 62 +++++++++ omega/scripts/omega.lua | 112 +++++++++++++++++ poetry.lock | 20 +-- pyproject.toml | 3 +- tests/__init__.py | 26 +++- tests/data/test_rebuild_unclosed/1m.pkl | Bin 0 -> 36256 bytes tests/data/test_rebuild_unclosed/days.pkl | Bin 0 -> 11952 bytes tests/master/tasks/test_rebuild_unclosed.py | 118 ++++++++++++++++++ ..._omega_adaptors_jq-1.0.14-py3-none-any.whl | Bin 11067 -> 0 bytes ...lionare_omicron-2.0.0a36-py3-none-any.whl} | Bin 97836 -> 97806 bytes tests/scripts/__init__.py | 0 tests/scripts/test_scripts.py | 115 +++++++++++++++++ tox.ini | 1 - 16 files changed, 569 insertions(+), 27 deletions(-) create mode 100644 docs/keyconcept.md create mode 100644 omega/master/tasks/rebuild_unclosed.py create mode 100644 omega/scripts/__init__.py create mode 100644 omega/scripts/omega.lua create mode 100644 tests/data/test_rebuild_unclosed/1m.pkl create mode 100644 tests/data/test_rebuild_unclosed/days.pkl create mode 100644 tests/master/tasks/test_rebuild_unclosed.py delete mode 100644 tests/packages/zillionare_omega_adaptors_jq-1.0.14-py3-none-any.whl rename tests/packages/{zillionare_omicron-2.0.0a35-py3-none-any.whl => zillionare_omicron-2.0.0a36-py3-none-any.whl} (69%) create mode 100644 tests/scripts/__init__.py create mode 100644 tests/scripts/test_scripts.py diff --git a/docs/keyconcept.md b/docs/keyconcept.md new file mode 100644 index 0000000..24f8250 --- /dev/null +++ b/docs/keyconcept.md @@ -0,0 +1,4 @@ +# 数据存储 +Omega 2.0将数据主要存储在时间序列数据库（influxdb）中。上 +# 数据同步 +# 数据校准 diff --git a/omega/master/jobs.py b/omega/master/jobs.py index 84fe7c9..4a46215 100644 --- a/omega/master/jobs.py +++ b/omega/master/jobs.py @@ -8,9 +8,8 @@ import arrow import cfg4py from cfg4py.config import Config -from coretypes import FrameType -from omicron.dal import cache -from omicron.models.timeframe import TimeFrame +from coretypes import Frame, FrameType +from omicron import cache, tf from omega.core import constants from omega.core.events import Events @@ -27,6 +26,7 @@ sync_xrxd_reports, ) from omega.master.tasks.synctask import BarsSyncTask, master_syncbars_task +from omega.scripts import close_frame, update_unclosed_bar logger = logging.getLogger(__name__) cfg: Config = cfg4py.get_instance() @@ -35,10 +35,10 @@ async def get_after_hour_sync_job_task() -> Optional[BarsSyncTask]: """获取盘后同步的task实例""" now = arrow.now().naive - if not TimeFrame.is_trade_day(now): # pragma: no cover + if not tf.is_trade_day(now): # pragma: no cover logger.info("非交易日，不同步") return - end = TimeFrame.last_min_frame(now, FrameType.MIN1) + end = tf.last_min_frame(now, FrameType.MIN1) if now < end: # pragma: no cover logger.info("当天未收盘，禁止同步") return @@ -74,14 +74,14 @@ async def get_sync_minute_date(): end = arrow.now().naive.replace(second=0, microsecond=0) first = end.replace(hour=9, minute=30, second=0, microsecond=0) # 检查当前时间是否在交易时间内 - if not TimeFrame.is_trade_day(end): # pragma: no cover + if not tf.is_trade_day(end): # pragma: no cover logger.info("非交易日，不同步") return False if end < first: # pragma: no cover logger.info("时间过早，不能拿到k线数据") return False - end = TimeFrame.floor(end, FrameType.MIN1) + end = tf.floor(end, FrameType.MIN1) tail = await cache.sys.get(constants.BAR_SYNC_MINUTE_TAIL) # tail = "2022-02-22 13:29:00" if tail: @@ -93,8 +93,8 @@ async def get_sync_minute_date(): tail = first # 取上次同步截止时间+1 计算出n_bars - tail = TimeFrame.floor(tail + datetime.timedelta(minutes=1), FrameType.MIN1) - n_bars = TimeFrame.count_frames(tail, end, FrameType.MIN1) # 获取到一共有多少根k线 + tail = tf.floor(tail + datetime.timedelta(minutes=1), FrameType.MIN1) + n_bars = tf.count_frames(tail, end, FrameType.MIN1) # 获取到一共有多少根k线 return end, n_bars @@ -128,6 +128,20 @@ async def run_sync_minute_bars_task(task: BarsSyncTask): constants.BAR_SYNC_MINUTE_TAIL, task.end.strftime("%Y-%m-%d %H:%M:00"), ) + frame = task.end + for frame_type in ( + FrameType.MIN5, + FrameType.MIN15, + FrameType.MIN30, + FrameType.MIN60, + FrameType.DAY, + FrameType.WEEK, + FrameType.MONTH, + ): + update_unclosed_bar(frame_type, frame) + + if frame == tf.ceiling(frame, frame_type): + close_frame(frame_type, frame) return task diff --git a/omega/master/tasks/rebuild_unclosed.py b/omega/master/tasks/rebuild_unclosed.py new file mode 100644 index 0000000..fab5a3b --- /dev/null +++ b/omega/master/tasks/rebuild_unclosed.py @@ -0,0 +1,103 @@ +import logging + +import arrow +import numpy as np +from coretypes import FrameType +from omicron import cache, tf +from omicron.models.security import Security +from omicron.models.stock import Stock +from omicron.notify.dingtalk import DingTalkMessage + +logger = logging.getLogger(__name__) + + +async def _rebuild_min_level_unclosed_bars(): + """根据缓存中的分钟线，重建当日已收盘或者未收盘的分钟级别及日线级别数据""" + end = tf.floor(arrow.now().naive, FrameType.MIN1) + keys = await cache.security.keys("bars:1m:*") + + errors = 0 + for key in keys: + try: + sec = key.split(":")[2] + bars = await Stock._get_cached_bars(sec, end, 240, FrameType.MIN1) + except Exception as e: + logger.exception(e) + logger.warning("failed to get cached bars for %s", sec) + errors += 1 + continue + + try: + for frame_type in tf.minute_level_frames[1:]: + resampled = Stock.resample(bars, FrameType.MIN1, frame_type) + if tf.is_bar_closed(resampled[-1]["frame"], frame_type): + await Stock.cache_bars(sec, frame_type, resampled) + else: + await Stock.cache_bars(sec, frame_type, resampled[:-1]) + await Stock.cache_unclosed_bars(sec, frame_type, resampled[-1:]) + + # 重建日线数据 + resampled = Stock.resample(bars, FrameType.MIN1, FrameType.DAY) + await Stock.cache_unclosed_bars(sec, FrameType.DAY, resampled) + except Exception as e: + logger.exception(e) + logger.warning( + "failed to build unclosed bar for %s, frame type is %s", sec, frame_type + ) + errors += 1 + + if errors > 0: + DingTalkMessage.text(f"重建分钟级缓存数据时，出现{errors}个错误。") + + +async def _rebuild_day_level_unclosed_bars(): + """重建当期未收盘的周线、月线 + + !!!Info: + 最终我们需要实时更新年线和季线。目前数据库还没有同步这两种k线。 + """ + codes = await Security.select().eval() + end = arrow.now().date() + # just to cover one month's day bars at most + n = 30 + start = tf.day_shift(end, -n) + + errors = 0 + for code in codes: + try: + bars = await Stock._get_persisted_bars( + code, FrameType.DAY, begin=start, end=end + ) + except Exception as e: + logger.exception(e) + logger.warning("failed to get persisted bars for %s from %s to %s", code, start, end) + errors += 1 + continue + + try: + unclosed_day = await Stock._get_cached_day_bar(code) + bars = np.concatenate([bars, unclosed_day]) + + week = Stock.resample(bars, FrameType.DAY, FrameType.WEEK) + await Stock.cache_unclosed_bars(code, FrameType.WEEK, week[-1:]) + + month = Stock.resample(bars, FrameType.DAY, FrameType.MONTH) + await Stock.cache_unclosed_bars(code, FrameType.MONTH, month[-1:]) + except Exception as e: + logger.exception(e) + logger.warning( + "failed to build unclosed bar for %s, got bars %s", code, len(bars) + ) + errors += 1 + + if errors > 0: + DingTalkMessage.text(f"重建日线级别缓存数据时，出现{errors}个错误。") + + +async def rebuild_unclosed_bars(): + """在omega启动时重建未收盘数据 + + 后续未收盘数据的更新，将在每个分钟线同步完成后，调用lua脚本进行。 + """ + await _rebuild_min_level_unclosed_bars() + await _rebuild_day_level_unclosed_bars() diff --git a/omega/scripts/__init__.py b/omega/scripts/__init__.py new file mode 100644 index 0000000..4006b95 --- /dev/null +++ b/omega/scripts/__init__.py @@ -0,0 +1,62 @@ +import logging +import os + +from coretypes import Frame, FrameType +from omicron import cache, tf +from omicron.notify.dingtalk import DingTalkMessage + +logger = logging.getLogger(__name__) + + +async def load_lua_script(): + """加载lua脚本到redis中""" + dir_ = os.path.dirname(os.path.abspath(__file__)) + for file in os.listdir(dir_): + if not file.endswith(".lua"): + continue + + path = os.path.join(dir_, file) + with open(path, "r", encoding="utf-8") as f: + content = f.read() + + r = await cache.sys.execute("FUNCTION", "LOAD", "REPLACE", content) + print(r) + + +async def update_unclosed_bar(frame_type: FrameType, source_min: Frame): + """wraps the cognominal lua script function + + Args: + frame_type: which frame type to be updated/merged + source_min: the minute bar to be merged from + """ + source = tf.time2int(source_min) + try: + await cache.security.execute( + "fcall", "update_unclosed", 0, frame_type.value, source + ) + except Exception as e: + msg = f"实时合并{frame_type}未收盘行情数据错误：{source_min}" + logger.exception(e) + logging.warning(msg) + DingTalkMessage.text(msg) + + +async def close_frame(frame_type: FrameType, frame: Frame): + """wraps the cognominal lua script function + + Args: + frame_type: which frame type to be closed + frame: the closed frame + """ + dst = ( + tf.date2int(frame) if frame_type in tf.day_level_frames else tf.time2int(frame) + ) + + try: + await cache.security.execute("fcall", "close_frame", 0, frame_type.value, dst) + except Exception as e: + msg = f"缓存收盘{frame_type}数据失败: {frame}" + logger.exception(e) + logger.warning(msg) + DingTalkMessage.text(msg) diff --git a/omega/scripts/omega.lua b/omega/scripts/omega.lua new file mode 100644 index 0000000..8174b43 --- /dev/null +++ b/omega/scripts/omega.lua @@ -0,0 +1,112 @@ +#!lua name=omega + +local function round2(num) + return math.floor(num * 100 + 0.5) / 100 +end + +local function newsplit(delimiter, str) + assert(type(delimiter) == "string") + assert(#delimiter > 0, "Must provide non empty delimiter") + + -- Add escape characters if delimiter requires it + -- delimiter = delimiter:gsub("[%(%)%.%%%+%-%*%?%[%]%^%$]", "%%%0") + + local start_index = 1 + local result = {} + + while true do + local delimiter_index, _ = str:find(delimiter, start_index) + + if delimiter_index == nil then + table.insert(result, str:sub(start_index)) + break + end + + table.insert(result, str:sub(start_index, delimiter_index - 1)) + + start_index = delimiter_index + 1 + end + + return result +end + +local function close_frame(keys_, args) +--local function close_frame(frame_type, frame) + -- close the frame, write unclosed_5m hash to bars:5m:{code} hash. + local frame_type, frame = unpack(args) + local hm = redis.call('hgetall', 'bars:' .. frame_type .. ':unclosed') + + for i = 1, #hm, 2 do + local code = hm[i] + local bar = hm[i + 1] + redis.call('hset', 'bars:' .. frame_type .. ':' .. code, frame, bar) + end + + redis.call('del', 'bars:' .. frame_type .. ':unclosed') +end + +local function decode_bar(bars) + -- 将string表示的bar解码成为正确类型的OHLC,但对frame仍保持为字符串 + local frame, open, high, low, close, volume, amount, factor = unpack(newsplit(',', bars)) + + return frame, round2(tonumber(open)), round2(tonumber(high)), round2(tonumber(low)), round2(tonumber(close)), tonumber(volume), tonumber(amount), tonumber(factor) +end + +local function update_unclosed(keys_, args) +--local function update_unclosed(frame_type, min_frame) + -- merge bars:{frame_type.value}:unclosed with bars:1m:{code} hash. + -- args are: frame_type(str), min_frame(int, minute frame) + + local frame_type, min_frame = unpack(args) + local unclosed_key = 'bars:' .. frame_type .. ':unclosed' + + -- bars:1m:* should contains NO bars:1m:unclosed + local keys = redis.call('keys', 'bars:1m:*') + + for _, key_ in ipairs(keys) do + local code = key_:match('bars:1m:(.*)') + + -- get 1m bar to merge from + local mbar = redis.call('hget', key_, min_frame) + if mbar then + local t2, o2, h2, l2, c2, v2, a2, f2 = decode_bar(mbar) + + -- get unclosed bar and do the merge + local unclosed = redis.call('hget', unclosed_key, code) + + local t, opn, high, low, close, volume, amount, factor = '', o2, h2, l2, c2, v2, a2, f2 + if unclosed then + local _, o1, h1, l1, c1, v1, a1, f1 = decode_bar(unclosed) + opn = o1 + high = math.max(h1, h2) + low = math.min(l1, l2) + close = c2 + volume = v1 + v2 + amount = a1 + a2 + factor = f2 + end + + -- save unclosed bar + local bar = min_frame .. ',' .. opn .. ',' .. high .. ',' .. low .. ',' .. close .. ',' .. volume .. ',' .. amount .. ',' .. factor + redis.call('hset', unclosed_key, code, bar) + end + end +end + +-- update_unclosed('5m', 202207180935, 202207180931) +-- update_unclosed('5m', 202207180935, 202207180932) +-- update_unclosed('5m', 202207180935, 202207180933) +-- update_unclosed('5m', 202207180935, 202207180935) +-- update_unclosed('5m', 202207180935, 202207180936) + + +-- close_frame('5m', "2022020935") + +redis.register_function( + 'close_frame', + close_frame +) +redis.register_function( + 'update_unclosed', + update_unclosed +) diff --git a/poetry.lock b/poetry.lock index d3e7c3b..9eb286e 100644 --- a/poetry.lock +++ b/poetry.lock @@ -1526,7 +1526,7 @@ doc = ["mkdocs (>=1.1.2,<2.0.0)", "mkdocs-include-markdown-plugin (>=1.0.0,<2.0. [[package]] name = "zillionare-omega-adaptors-jq" -version = "1.0.14" +version = "1.1.0" description = "Jqdatasdk adapter for zillionare omega" category = "main" optional = false @@ -1562,7 +1562,7 @@ test = ["pytest", "black", "isort", "doc8", "flake8", "pytest-cov"] [metadata] lock-version = "1.1" python-versions = ">=3.8,<3.9" -content-hash = "b62fcf916ab4c4d99853e308ec3748bcde42ee4b5dd7af1692b0cc309af1599d" +content-hash = "3d105f63afd2cbe8dddab21cb5990c6fbdca532986e39741f9e87b5438223c9c" [metadata.files] aiocache = [ @@ -2174,10 +2174,7 @@ mergedeep = [ {file = "mergedeep-1.3.4-py3-none-any.whl", hash = "sha256:70775750742b25c0d8f36c55aed03d24c3384d17c951b3175d898bd778ef0307"}, {file = "mergedeep-1.3.4.tar.gz", hash = "sha256:0096d52e9dad9939c3d975a774666af186eda617e6ca84df4c94dec30004f2a8"}, ] -minio = [ - {file = "minio-7.1.8-py3-none-any.whl", hash = "sha256:0feadaf4cfd8608ccaf17b092c799bbe4b9e0692f9c15f5e03c5ee21d85e8cdb"}, - {file = "minio-7.1.8.tar.gz", hash = "sha256:c3fe5448ca281c88fe58f0486a73e0df6cdb05e8dbf72eb79e570e71125c1686"}, -] +minio = [] mkdocs = [ {file = "mkdocs-1.3.0-py3-none-any.whl", hash = "sha256:26bd2b03d739ac57a3e6eed0b7bcc86168703b719c27b99ad6ca91dc439aacde"}, {file = "mkdocs-1.3.0.tar.gz", hash = "sha256:b504405b04da38795fec9b2e5e28f6aa3a73bb0960cb6d5d27ead28952bd35ea"}, @@ -2312,7 +2309,6 @@ numpy = [ {file = "numpy-1.22.3-cp310-cp310-macosx_11_0_arm64.whl", hash = "sha256:8251ed96f38b47b4295b1ae51631de7ffa8260b5b087808ef09a39a9d66c97ab"}, {file = "numpy-1.22.3-cp310-cp310-manylinux_2_17_aarch64.manylinux2014_aarch64.whl", hash = "sha256:48a3aecd3b997bf452a2dedb11f4e79bc5bfd21a1d4cc760e703c31d57c84b3e"}, {file = "numpy-1.22.3-cp310-cp310-manylinux_2_17_x86_64.manylinux2014_x86_64.whl", hash = "sha256:a3bae1a2ed00e90b3ba5f7bd0a7c7999b55d609e0c54ceb2b076a25e345fa9f4"}, - {file = "numpy-1.22.3-cp310-cp310-win32.whl", hash = "sha256:f950f8845b480cffe522913d35567e29dd381b0dc7e4ce6a4a9f9156417d2430"}, {file = "numpy-1.22.3-cp310-cp310-win_amd64.whl", hash = "sha256:08d9b008d0156c70dc392bb3ab3abb6e7a711383c3247b410b39962263576cd4"}, {file = "numpy-1.22.3-cp38-cp38-macosx_10_14_x86_64.whl", hash = "sha256:201b4d0552831f7250a08d3b38de0d989d6f6e4658b709a02a73c524ccc6ffce"}, {file = "numpy-1.22.3-cp38-cp38-macosx_11_0_arm64.whl", hash = "sha256:f8c1f39caad2c896bc0018f699882b345b2a63708008be29b1f355ebf6f933fe"}, @@ -2548,10 +2544,7 @@ readme-renderer = [ {file = "readme_renderer-35.0-py3-none-any.whl", hash = "sha256:73b84905d091c31f36e50b4ae05ae2acead661f6a09a9abb4df7d2ddcdb6a698"}, {file = "readme_renderer-35.0.tar.gz", hash = "sha256:a727999acfc222fc21d82a12ed48c957c4989785e5865807c65a487d21677497"}, ] -redis = [ - {file = "redis-4.3.1-py3-none-any.whl", hash = "sha256:84316970995a7adb907a56754d2b92d88fc2d252963dc5ac34c88f0f1a22c25d"}, - {file = "redis-4.3.1.tar.gz", hash = "sha256:94b617b4cd296e94991146f66fc5559756fbefe9493604f0312e4d3298ac63e9"}, -] +redis = [] requests = [ {file = "requests-2.27.1-py2.py3-none-any.whl", hash = "sha256:f22fa1e554c9ddfd16e6e41ac79759e17be9e492b3587efa038054674760e72d"}, {file = "requests-2.27.1.tar.gz", hash = "sha256:68d7c56fd5a8999887728ef304a6d12edc7be74f1cfa47714fc8b414525c9a61"}, @@ -3029,10 +3022,7 @@ zillionare-core-types = [ {file = "zillionare_core_types-0.4.1-py3-none-any.whl", hash = "sha256:d38f03d196e528a523f102f19e97f0041f6c64295f885ea1484dd180e8e26316"}, {file = "zillionare_core_types-0.4.1.tar.gz", hash = "sha256:096eb62669ac5853f2b6b5753f420c07e506fe5d0aa64af8c3647fc3cf163555"}, ] -zillionare-omega-adaptors-jq = [ - {file = "zillionare-omega-adaptors-jq-1.0.14.tar.gz", hash = "sha256:1b9f19409163b9fb5ae211a1e10bc1bc2dca653d62a236a8006ed7b83bb887af"}, - {file = "zillionare_omega_adaptors_jq-1.0.14-py3-none-any.whl", hash = "sha256:0c054850a3c57babe7d8a437ffead93e4a2f86217832ad2ef1a3e7d80fa91e93"}, -] +zillionare-omega-adaptors-jq = [] zipp = [ {file = "zipp-3.8.0-py3-none-any.whl", hash = "sha256:c4f6e5bbf48e74f7a38e7cc5b0480ff42b0ae5178957d564d18932525d5cf099"}, {file = "zipp-3.8.0.tar.gz", hash = "sha256:56bf8aadb83c24db6c4b577e13de374ccfb67da2078beba1d037c17980bf43ad"}, diff --git a/pyproject.toml b/pyproject.toml index 7a93225..2923d14 100644 --- a/pyproject.toml +++ b/pyproject.toml @@ -78,7 +78,7 @@ livereload = {version = "^2.6.3", optional = true} minio = "^7.1.2" zillionare-core-types = "^0.4.1" msgpack = {version = "^1.0.3", optional = true} -zillionare-omega-adaptors-jq = "^1.0.14" +zillionare-omega-adaptors-jq = "^1.1.0" APScheduler = "^3.8.1" Cython = "^0.29.28" numpy = "^1.22" @@ -123,6 +123,7 @@ exclude = ''' | \.mypy_cache | \.tox | \.venv + | \.history | _build | buck-out | build diff --git a/tests/__init__.py b/tests/__init__.py index d365e45..e71871d 100644 --- a/tests/__init__.py +++ b/tests/__init__.py @@ -5751,5 +5751,29 @@ def assert_bars_equal(exp, actual): def test_dir(): + from pathlib import Path + home = os.path.dirname(__file__) - return home + return Path(home) + + +async def reset_influxdb(): + """clean up influxdb""" + import itertools + + from omicron import tf + from omicron.dal.influx.influxclient import InfluxClient + from omicron.models.stock import Stock + + # create influxdb client + url, token, bucket, org = ( + cfg.influxdb.url, + cfg.influxdb.token, + cfg.influxdb.bucket_name, + cfg.influxdb.org, + ) + client = InfluxClient(url, token, bucket, org) + + await client.delete_bucket() + await client.create_bucket() + return client diff --git a/tests/data/test_rebuild_unclosed/1m.pkl b/tests/data/test_rebuild_unclosed/1m.pkl new file mode 100644 index 0000000000000000000000000000000000000000..4fec08b76880071874dfe311724cd6e138c07a11 GIT binary patch literal 36256 zcmdU&dwf;JwZ|bL34~XG1cDGagjaZ_z&Sv8x(CpsQV>KDy{LzG^dcYyi)eLUm1->_ z)z~YoSL4Nx(poJ=6l-aFcv!%4c`4UNQ4h#V@qq}6f_P`GJ!|cKve(3uKX3nNe$1@( z-D|CxJ$q(n3vPo)AAPVM{_kg1Wy>1(h5z*{pFHuBi>j6t&0Tc!{M*W>&s#9F{N_b- 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+ await init_test_env() + await omicron.init() + await Stock.reset_cache() + + file = test_dir() / "data" / "test_rebuild_unclosed" / "days.pkl" + with open(file, "rb") as f: + barss = pickle.load(f) + self.secs = list(barss.keys()) + await Stock.persist_bars(FrameType.DAY, barss) + + file = test_dir() / "data" / "test_rebuild_unclosed" / "1m.pkl" + with open(file, "rb") as f: + barss = pickle.load(f) + for code, bars in barss.items(): + await Stock.cache_bars(code, FrameType.MIN1, bars) + + async def asyncTearDown(self) -> None: + await omicron.close() + + @mock.patch("arrow.now", return_value=arrow.get(2022, 7, 21, 11, 14)) + async def test_rebuild_min_level_unclosed_bars(self, _): + # ensure there's no cache-related data in the database + keys = await cache.security.keys("bars:5m:*") + self.assertEqual(len(keys), 0) + + await _rebuild_min_level_unclosed_bars() + + # check the result + keys = await cache.security.keys("bars:5m:*") + self.assertSetEqual( + set(keys), + set([f"bars:5m:{code}" for code in self.secs] + [f"bars:5m:unclosed"]), + ) + + unclosed = await cache.security.hgetall("bars:5m:unclosed") + self.assertSetEqual(set(unclosed.keys()), set(self.secs)) + bar_04 = unclosed["000004.XSHE"] + self.assertEqual( + "202207211114,8.95,9.0,8.95,9.0,18100.0,162371.0,7.446", bar_04 + ) + + closed = await cache.security.hgetall("bars:30m:000004.XSHE") + self.assertSetEqual( + set(closed.keys()), set(["202207211000", "202207211030", "202207211100"]) + ) + + unclosed_day_bar = await cache.security.hgetall("bars:1d:unclosed") + self.assertSetEqual(set(unclosed_day_bar.keys()), set(self.secs)) + bar_01 = unclosed_day_bar["000001.XSHE"] + exp_bar_01 = "20220721,13.32,13.34,13.22,13.23,55886660.0,740959140.0,121.71913" + self.assertEqual(exp_bar_01, bar_01) + + # should have no bars:1d:000004.XSHE + keys = await cache.security.keys("bars:1d:*") + self.assertEqual(keys, ["bars:1d:unclosed"]) + + # test error handling + with mock.patch("omicron.models.stock.Stock._get_cached_bars", side_effect=Exception): + await _rebuild_min_level_unclosed_bars() + + with mock.patch("omicron.models.stock.Stock.resample", side_effect=Exception): + await _rebuild_min_level_unclosed_bars() + + @mock.patch("arrow.now", return_value=arrow.get(2022, 7, 21, 11, 14)) + async def test_rebuild_day_level_unclosed_bars(self, _): + await _rebuild_min_level_unclosed_bars() + + # ensure there's no cache-related data in the database + keys = await cache.security.keys("bars:1w:*") + self.assertEqual(len(keys), 0) + + keys = await cache.security.keys("bars:1M:*") + self.assertEqual(len(keys), 0) + + with mock.patch("omicron.models.security.Query.eval", return_value=self.secs): + await _rebuild_day_level_unclosed_bars() + + # check the result + unclosed_week_bar = await cache.security.hgetall("bars:1w:unclosed") + self.assertSetEqual(set(unclosed_week_bar.keys()), set(self.secs)) + bar_02 = unclosed_week_bar["300001.XSHE"] + self.assertEqual( + "20220721,18.81,21.4,18.65,19.95,146464648.0,2899841442.0,6.944613", bar_02 + ) + + unclosed_month_bar = await cache.security.hgetall("bars:1M:unclosed") + self.assertSetEqual(set(unclosed_month_bar.keys()), set(self.secs)) + bar_03 = unclosed_month_bar["000004.XSHE"] + exp_bar_03 = "20220721,8.91,10.58,8.14,9.0,58976343.0,543641584.0,7.446" + self.assertEqual(exp_bar_03, bar_03) + + # should have no bars:1w:000004.XSHE + keys = await cache.security.keys("bars:1w:*") + self.assertEqual(keys, ["bars:1w:unclosed"]) + + # test error handling: should raise no exception + with mock.patch("omicron.models.stock.Stock._get_persisted_bars", side_effect=Exception): + await _rebuild_day_level_unclosed_bars() + + with mock.patch("omicron.models.stock.Stock.resample", side_effect=Exception): + await _rebuild_day_level_unclosed_bars() diff --git a/tests/packages/zillionare_omega_adaptors_jq-1.0.14-py3-none-any.whl 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index 0000000..840dd0a --- /dev/null +++ b/tests/scripts/test_scripts.py @@ -0,0 +1,115 @@ +import datetime +import os +import pickle +import unittest +from unittest import mock + +import arrow +import cfg4py +import numpy as np +import omicron +import pandas as pd +from omicron import cache +from coretypes import FrameType + +from omega.scripts import load_lua_script, update_unclosed_bar, close_frame +from tests import init_test_env + +cfg = cfg4py.get_instance() + + +async def prepare_test_data(): + """准备测试数据""" + min_bars = [ + (202207180931, 7.0, 7.20, 6.90, 7.02, 1e6, 1e6 * 7.0, 1.0), + (202207180932, 7.1, 7.21, 6.89, 7.03, 1e6, 1e6 * 7.1, 1.0), + (202207180933, 7.2, 7.22, 6.88, 7.04, 1e6, 1e6 * 7.2, 1.0), + (202207180934, 7.3, 7.23, 6.87, 7.05, 1e6, 1e6 * 7.3, 1.0), + (202207180935, 7.4, 7.24, 6.86, 7.06, 1e6, 1e6 * 7.4, 1.0), + (202207180936, 7.5, 7.25, 6.85, 7.07, 1e6, 1e6 * 7.5, 1.0), + ] + + codes = ["000001.XSHE", "000002.XSHE", "600003.XSHG"] + for code in codes: + for bar in min_bars: + await cache.security.hset( + f"bars:1m:{code}", + bar[0], + f"{bar[0]},{bar[1]:.2f},{bar[2]:.2f},{bar[3]:.2f},{bar[4]:.2f},{bar[5]:.2f},{bar[6]:.2f},{bar[7]:.2f}", + ) + + # unclosed = { + # "000001.XSHE": f"202207180935,7,7.22,6.88,7.04,{1e6},{1e6*7.2},1.0", + # "000002.XSHE": f"202207180935,7,7.22,6.88,7.04,{1e6},{1e6*7.2},1.0", + # "000003.XSHG": f"202207180935,7,7.22,6.88,7.04,{1e6},{1e6*7.2},1.0", + # } + + # await cache.security.hmset_dict("bars:5m:unclosed", **unclosed) + + +class ScriptTest(unittest.IsolatedAsyncioTestCase): + async def asyncSetUp(self) -> None: + await init_test_env() + await omicron.init() + + await cache.sys.execute("FUNCTION", "FLUSH") + await load_lua_script() + + async def asyncTearDown(self) -> None: + return await omicron.close() + + async def test_load_script(self): + r = await cache.sys.execute("FUNCTION", "LIST") + funcs = r[0][5][0][:2] + funcs.extend(r[0][5][1][:2]) + self.assertIn("close_frame", funcs) + self.assertIn("update_unclosed", funcs) + + async def test_close_frame(self): + await prepare_test_data() + await cache.security.delete("bars:5m:unclosed") + await cache.security.delete("bars:5m:000001.XSHE") + + for i in range(5): + await cache.security.execute( + "fcall", "update_unclosed", 0, "5m", 202207180931 + i + ) + + await close_frame(FrameType.MIN5, datetime.datetime(2022, 7, 18, 9, 35)) + unclosed = await cache.security.hgetall("bars:5m:unclosed") + closed = await cache.security.hgetall("bars:5m:000001.XSHE") + exp = f"202207180935,7,7.24,6.86,7.06,{5e6:.0f},{36e6:.0f},1" + + self.assertEqual(exp, closed["202207180935"]) + self.assertTrue(len(unclosed) == 0) + + # raise exception + with mock.patch.object(cache.security, "execute", side_effect=Exception): + await close_frame(FrameType.MIN5, datetime.datetime(2022, 7, 18, 9, 35)) + + async def test_update_unclosed(self): + await prepare_test_data() + await cache.security.delete("bars:5m:unclosed") + + await update_unclosed_bar(FrameType.MIN5, datetime.datetime(2022, 7, 18, 9, 31)) + unclosed = await cache.security.hgetall("bars:5m:unclosed") + self.assertEqual( + f"202207180931,7,7.2,6.9,7.02,{1e6:.0f},{1e6*7:.0f},1", + unclosed["000001.XSHE"], + ) + + await cache.security.execute("fcall", "update_unclosed", 0, "5m", 202207180932) + + await cache.security.execute("fcall", "update_unclosed", 0, "5m", 202207180933) + + # now unclosed bar should have + unclosed = await cache.security.hgetall("bars:5m:unclosed") + closed = await cache.security.hgetall("bars:5m:000001.XSHE") + exp = f"202207180933,7,7.22,6.88,7.04,{3e6:.0f},{1e6*21.3:.0f},1" + self.assertEqual(exp, unclosed["000001.XSHE"]) + + # error handling + with mock.patch.object(cache.security, "execute", side_effect=Exception): + await update_unclosed_bar( + FrameType.MIN5, datetime.datetime(2022, 7, 18, 9, 31) + ) diff --git a/tox.ini b/tox.ini index 82a3084..9a5b27a 100644 --- a/tox.ini +++ b/tox.ini @@ -67,7 +67,6 @@ commands = rm -rf dist poetry build /bin/sh -c "pip uninstall zillionare-omicron -y" - /bin/sh -c "pip uninstall zillionare-omega-adaptors-jq -y" /bin/sh -c "pip install $(echo tests/packages/zillionare*.whl)" /bin/sh ./stop_service.sh /bin/sh ./start_service.sh