開源量化框架backtrader FAQ：開發MySQL data feed

完整技術教程見這裡

有很多人建立了自己本地的行情資料庫，希望能夠從本地資料庫將資料發到backtrader，供策略使用。一個通用的方法是將資料庫的行情資料讀到pandas dataframe裡，然後將這個資料幀的資料傳給backtrader的pandas feed資料物件，這樣策略就能夠使用了。

但是有些同學不想通過pandas dataframe中轉，而是想直接從資料庫將資料餵給backtrader的資料饋送物件，這就需要針對資料庫開發專門的data feed類了。

以下就是backtrader社群提供的一個從MySQL資料庫讀取資料的feed類MySQLData，大家可以試一試。

from __future__ import (absolute_import, division, print_function,
                        unicode_literals)

import datetime
from backtrader.feed import DataBase
from backtrader import date2num
from sqlalchemy import create_engine


class MySQLData(DataBase):
    params = (
        ('dbHost', None),
        ('dbUser', None),
        ('dbPWD', None),
        ('dbName', None),
        ('ticker', 'ISL'),
        ('fromdate', datetime.datetime.min),
        ('todate', datetime.datetime.max),
        ('name', ''),
        )

    def __init__(self):
        self.engine = create_engine('mysql://'+self.p.dbUser+':'+ self.p.dbPWD +'@'+ self.p.dbHost +'/'+ self.p.dbName +'?charset=utf8mb4', echo=False)

    def start(self):
        self.conn = self.engine.connect()
        self.stockdata = self.conn.execute("SELECT id FROM stocks WHERE ticker LIKE '" + self.p.ticker + "' LIMIT 1")
        self.stock_id = self.stockdata.fetchone()[0]
        #self.result = self.engine.execute("SELECT `date`,`open`,`high`,`low`,`close`,`volume` FROM `eoddata` WHERE `stock_id` = 10 AND `date` between '"+self.p.fromdate.strftime("%Y-%m-%d")+"' and '"+self.p.todate.strftime("%Y-%m-%d")+"' ORDER BY `date` ASC")
        self.result = self.conn.execute("SELECT `date`,`open`,`high`,`low`,`close`,`volume` FROM `eoddata` WHERE `stock_id` = " + str(self.stock_id) + " AND `date` between '"+self.p.fromdate.strftime("%Y-%m-%d")+"' and '"+self.p.todate.strftime("%Y-%m-%d")+"' ORDER BY `date` ASC")

    def stop(self):
        #self.conn.close()
        self.engine.dispose()

    def _load(self):
        one_row = self.result.fetchone()
        if one_row is None:
            return False
        self.lines.datetime[0] = date2num(one_row[0])
        self.lines.open[0] = float(one_row[1])
        self.lines.high[0] = float(one_row[2])
        self.lines.low[0] = float(one_row[3])
        self.lines.close[0] = float(one_row[4])
        self.lines.volume[0] = int(one_row[5])
        self.lines.openinterest[0] = -1
        return True

 

釋出於 19 小時前