Archive

Posts Tagged ‘RQAlpha’

RQAlpha Docker容器化Dockerfile

November 12th, 2018 No comments

最近需要使用RQAlpha进行国内的量化分析工作,并对RQAlpha进行了容器化处理,
方便使用docker和ks进行容器化管理

1.基于 jupyter/minimal-notebook jupyter的官方镜像,默认使用python3
2.使用Anaconda的mini-conda进行环境管理,可以自由切换python27和python3运行环境
3.使用pip安装了其他非conda管理的包内容

1
pip install bs4 cx-Oracle docopt future hdfs pyecharts PyMySQL raven typing lxml

4.使用编译方式安装了TA-lib,暂时为32bit版本,安装了国内流行的tushare

1
pip install tushare TA-lib

5.将matplotlib.pyplot自动导入,同时配合安装了国内流行的pyechart
6.安装了HDFS,cx-Oracle,PyMySQL等常用的数据连接包

可以在以下位置找到
https://github.com/limccn/rqalpha/tree/master/docker

Read more…

Categories: 系统管理 Tags: ,

RQAlpha BUG Issue#219

November 12th, 2018 No comments

Pingback https://github.com/ricequant/rqalpha/issues/219

Hello, RQAlpha Team

RQAlpha is really a effective tool for price back-testing.

I found something wrong when using command `# rqalpha plot someresult.pkl` to plot my back-testing result. It came out a blank window. I tried to solve this problem and found something interesting.

in `rqalpha/rqalpha/mod/rqalpha_mod_sys_analyser/plot.py`, line 52-53

 portfolio = result_dict["portfolio"]
 benchmark_portfolio = result_dict.get("benchmark_portfolio")

 print portfolio.index
 print benchmark_portfolio.index

by printing portfolio.index and benchmark_portfolio.index , I found an unreasonable difference.

![image](https://user-images.githubusercontent.com/4476941/33165321-59a13c02-d071-11e7-80e1-b41a5fbdd6db.png)

According to https://github.com/pandas-dev/pandas/issues/8614 says, matplotlib can not plotting when DatetimeIndex is created by pandas > 0.15 .

I found a temporary way to solve this problem. and finally plotting was working functionally.

Use `index.to_pydatetime()` to explicitly convert `DatetimeIndex` type index to Python `Datetime` type.

For example: modify `rqalpha/rqalpha/mod/rqalpha_mod_sys_analyser/plot.py`, line 152
`ax.plot(portfolio[“unit_net_value”] – 1.0, label=_(u”strategy”), alpha=1, linewidth=2, color=red)`
to
`ax.plot(index.to_pydatetime(),portfolio[“unit_net_value”] – 1.0, label=_(u”strategy”), alpha=1, linewidth=2, color=red)`

Although it is not the best way to solve this problem, I know you can find the best one finally.
And I hope these information may help you.

Thanks.

Categories: 算法研究, 系统管理 Tags:

RQAlpha安装 ta-lib进行技术指标分析

November 9th, 2018 No comments

RQAlpha安装 ta-lib进行技术指标分析
RQAlpha安装时需要事先安装ta-lib否则Python引用时会出现错误

STEP1.使用 ta-lib 的源代码编译 ta-lib 的静态库

1
2
3
4
5
6
7
wget https://jaist.dl.sourceforge.net/project/ta-lib/ta-lib/0.4.0/ta-lib-0.4.0-src.tar.gz
tar xf ta-lib-0.4.0-src.tar.gz 
cd ta-lib
# 安装到/usr
./configure --prefix=/usr
make
sudo make install

注意这里需要指定安装位置,编译安装的ta-lib是32位版本,
如果不指定的话在64位操作系统下是无法在lib和/usr/lib下找到的

STEP2.使用pip安装ta-lib

1
pip install TA-Lib

参考
https://stackoverflow.com/questions/41155985/python-ta-lib-install-problems