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移植 Python 量化交易 TA-Lib 库到函数计算

日期:2019-12-22点击:378

TA-Lib,全称“Technical Analysis Library”, 即技术分析库,是 Python 金融量化的高级库,涵盖了 150 多种股票、期货交易软件中常用的技术分析指标,如 MACD、RSI、KDJ、动量指标、布林带等等。

TA-Lib 可分为 10 个子板块:

  • Overlap Studies(重叠指标)
  • Momentum Indicators(动量指标)
  • Volume Indicators(交易量指标)
  • Cycle Indicators(周期指标)
  • Price Transform(价格变换)
  • Volatility Indicators(波动率指标)
  • Pattern Recognition(模式识别)
  • Statistic Functions(统计函数)
  • Math Transform(数学变换)
  • Math Operators(数学运算)


本文介绍通过 Funcraft 的模板将 Python 量化交易库 TA-lib 移植到函数计算

依赖工具

本项目是在 MacOS 下开发的,涉及到的工具是平台无关的,对于 Linux 和 Windows 桌面系统应该也同样适用。在开始本例之前请确保如下工具已经正确的安装,更新到最新版本,并进行正确的配置。

对于 MacOS 用户可以使用 homebrew 进行安装:

brew cask install docker brew tap vangie/formula brew install fun

Windows 和 Linux 用户安装请参考:

https://github.com/aliyun/fun/blob/master/docs/usage/installation.md

安装好后,记得先执行 fun config 初始化一下配置。

初始化

使用 fun init 命令可以快捷地将本模板项目初始化到本地。

fun init vangie/ta-lib-example

安装依赖

$ fun install using template: template.yml start installing function dependencies without docker building ta-lib-example/ta-lib-example Funfile exist, Fun will use container to build forcely Step 1/5 : FROM registry.cn-beijing.aliyuncs.com/aliyunfc/runtime-python3.6:build-1.7.7 ---> 373f5819463b Step 2/5 : COPY ta-lib-0.4.0-src.tar.gz /tmp ---> Using cache ---> 64f9f85112b4 Step 3/5 : RUN cd /tmp; tar -xzf ta-lib-0.4.0-src.tar.gz ---> Using cache ---> 9f2d3f836de9 Step 4/5 : RUN cd /tmp/ta-lib/ ; ./configure --prefix=/code/.fun/root/usr ; make ; make install ---> Using cache ---> 7725836973d4 Step 5/5 : RUN TA_LIBRARY_PATH=/code/.fun/root/usr/lib TA_INCLUDE_PATH=/code/.fun/root/usr/include fun-install pip install TA-Lib ---> Using cache ---> a338e71895b7 sha256:a338e71895b74a0be98278f35da38c48545f04a54e19ec9e689bab976265350b Successfully built a338e71895b7 Successfully tagged fun-cache-d4ac1d89-5b75-4429-933a-2260e2f7fbec:latest copying function artifact to /Users/vangie/Workspace/ta-lib-example/{{ projectName }} Install Success Tips for next step ====================== * Invoke Event Function: fun local invoke * Invoke Http Function: fun local start * Build Http Function: fun build * Deploy Resources: fun deploy

本地调用

$ fun local invoke using template: template.yml Missing invokeName argument, Fun will use the first function ta-lib-example/ta-lib-example as invokeName skip pulling image aliyunfc/runtime-python3.6:1.7.7... FunctionCompute python3 runtime inited. FC Invoke Start RequestId: dc1495b2-13ec-4ecf-a2dc-a0026d82651a FC Invoke End RequestId: dc1495b2-13ec-4ecf-a2dc-a0026d82651a [ "HT_DCPERIOD", "HT_DCPHASE", "HT_PHASOR", "HT_SINE", "HT_TRENDMODE" ] RequestId: dc1495b2-13ec-4ecf-a2dc-a0026d82651a Billed Duration: 350 ms Memory Size: 1998 MB Max Memory Used: 34 MB

部署

$ fun deploy using template: template.yml using region: cn-shanghai using accountId: ***********4733 using accessKeyId: ***********EUz3 using timeout: 600 Waiting for service ta-lib-example to be deployed... Waiting for function ta-lib-example to be deployed... Waiting for packaging function ta-lib-example code... The function ta-lib-example has been packaged. A total of 39 files files were compressed and the final size was 3.23 MB function ta-lib-example deploy success service ta-lib-example deploy success

执行

$ fun invoke using template: template.yml Missing invokeName argument, Fun will use the first function ta-lib-example/ta-lib-example as invokeName ========= FC invoke Logs begin ========= FC Invoke Start RequestId: 83e23eba-02b4-4380-bbca-daec6856bf4a FC Invoke End RequestId: 83e23eba-02b4-4380-bbca-daec6856bf4a Duration: 213.86 ms, Billed Duration: 300 ms, Memory Size: 128 MB, Max Memory Used: 43.50 MB ========= FC invoke Logs end ========= FC Invoke Result: [ "HT_DCPERIOD", "HT_DCPHASE", "HT_PHASOR", "HT_SINE", "HT_TRENDMODE" ]

参考阅读

  1. 函数计算
  2. 【手把手教你】股市技术分析利器之TA-Lib(一)
原文链接:https://yq.aliyun.com/articles/740311
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