python量化交易

1、字符串分割

price_str = '30.14,29.58,26.36,32.56,32.82'
price_array = price_str.split(',')

2、日期叠加

date_array = []
date_base = 20170118
# 索引ind
date_array =[str(date_base+ind) for ind,_ in enumerate(price_array)]

3、日期价格组合成字典

stock_tuple_list = dict((data,price) 
                         for data,price in zip(date_array,price_array))

3、相隔两天的价格

price_float_array =  [float(price) for price in stock_tuple_list.values()]
pp_array = [(price1,price2) for price1,price2 in 
            zip(price_float_array[:-1],price_float_array[1:])]
pp_array

image.png

4、计算每天涨幅

change_array = map(lambda pp : reduce(lambda a,b:round((b-a)/a,3),pp),pp_array)
#pyhton3中map返回结果需要用list转换
change_array = list(change_array)
#第一天涨幅为0
change_array.insert(0,0)
print(change_array)

image.png

4、生成数据

from collections import namedtuple
from collections import OrderedDict

stock_namedtuple = namedtuple('stock',('date,price,change'))
#按照日期排序
stock_dict = OrderedDict((date,stock_namedtuple(date,price,change)) 
           for date,price,change in zip(date_array,price_array,change_array))
stock_dict

image.png

5、选出上涨日期(filter的使用)

up_days = filter(lambda day:day.change>0,stock_dict.values())
up_days = list(up_days)
up_days

image.png

6、使用函数计算算上涨（下跌）日 和 累计涨（跌）幅

def filter_stock(stock_array_list,want_up = True,want_calc_sum=False):
    if not isinstance(stock_array_list,OrderedDict):
        raise TypeError('type error')
    filter_func =(lambda day:day.change>0 ) if want_up else (lambda day:day.change<0)
    
    want_days = filter(filter_func,stock_array_list.values())
    want_days = list(want_days)
    if not want_calc_sum:
        return want_days
    change_sum = 0.0
    for day in want_days:
        change_sum += float(day.change)
    return change_sum


print('所有上涨交易日:',filter_stock(stock_dict))
print('所有上涨日累计涨幅:',filter_stock(stock_dict,want_calc_sum=True))
print('所有下跌日累计跌幅:',filter_stock(stock_dict,want_up=False,want_calc_sum=True))

image.png

7、偏函数的使用 避免filter_stock 参数值过多容易出错

from functools import partial

filter_stock_up_days = partial(filter_stock,want_up = True,want_calc_sum = False)
filter_stock_down_days = partial(filter_stock,want_up = False,want_calc_sum = False)
filter_stock_up_sum = partial(filter_stock,want_up = True,want_calc_sum = True)
filter_stock_down_sum = partial(filter_stock,want_up = False,want_calc_sum = True)

8、面向对象编程

from collections import namedtuple
from collections import OrderedDict

class StockTradeDays(object):
    def __init__(self,price_array,start_day,date_array=None):
        self.__price_array = price_array
        self.__date_array = self.__init_days(start_day,date_array)
        self.__change_array = self.__init_change()
        self.stock_dict = self.__init_stock_dict()
        
    def __init_days(self,start_day,date_array):
        if date_array is None:
            date_array = [str(start_day+ind) for ind,_ in enumerate(self.__price_array)]
        else:
            date_array = [str(date) for date in date_array]
        return date_array
    
    
    def __init_change(self):
        price_float_array = [float(price) for price in self.__price_array]
        pp_array = [(price1,price2) for price1,price2 in zip(price_float_array[:-1],price_float_array[1:])]
        
        change_array = map(lambda pp: reduce(lambda a,b:round((b-a)/a,3),pp),pp_array)
        change_array = list(change_array)
        change_array.insert(0,0)
        return change_array
    
    def __init_stock_dict(self):
        stock_namedtuple = namedtuple('stock',('date','price','chenge'))
        stock_dict = OrderedDict((date,stock_namedtuple(date,price,change)) 
                                for date,price,change in zip(self.__date_array,self.__price_array,self.__change_array))
        return stock_dict
    
    def __filter_stock(self,want_up=True,want_calc_sum=False):
        filter_func = (lambda day:day.change>0) if want_up else (lambda day:day.change<0)
        want_days = filter(filter_func,self.stock_dict.values())
        if not want_calc_sum:
            return want_days
        
        change_sum = 0.0
        for day in want_days:
            change_sum += float(day.change)
        return change_sum
    
    def __str__(self):
        return str(self.stock_dict)
        
    def __iter__(self):
        for key in self.stock_dict:
            yield self.stock_dict[key]
    
    def __getitem__(self,ind):
        date_key = self.__date_array[ind]
        return self.stock_dict[date_key]
    
    def __len__(self):
        return len(self.stock_dict)

price_str = '30.14,29.58,26.36,32.56,32.82'
price_array = price_str.split(',')
date_base = 20170118
trade_days = StockTradeDays(price_array,date_base)
print(trade_days)