vnpy/docker/dockerTrader/ctaStrategy/ctaEngine.py

# encoding: UTF-8

'''
本文件中实现了CTA策略引擎，针对CTA类型的策略，抽象简化了部分底层接口的功能。

关于平今和平昨规则：
1. 普通的平仓OFFSET_CLOSET等于平昨OFFSET_CLOSEYESTERDAY
2. 只有上期所的品种需要考虑平今和平昨的区别
3. 当上期所的期货有今仓时，调用Sell和Cover会使用OFFSET_CLOSETODAY，否则
   会使用OFFSET_CLOSE
4. 以上设计意味着如果Sell和Cover的数量超过今日持仓量时，会导致出错（即用户
   希望通过一个指令同时平今和平昨）
5. 采用以上设计的原因是考虑到vn.trader的用户主要是对TB、MC和金字塔类的平台
   感到功能不足的用户（即希望更高频的交易），交易策略不应该出现4中所述的情况
6. 对于想要实现4中所述情况的用户，需要实现一个策略信号引擎和交易委托引擎分开
   的定制化统结构（没错，得自己写）
'''

from __future__ import division

import traceback
import json
import os
import traceback
from collections import OrderedDict
from datetime import datetime, timedelta

from ctaBase import *
from strategy import STRATEGY_CLASS
from eventEngine import *
from vtConstant import *
from vtGateway import VtSubscribeReq, VtOrderReq, VtCancelOrderReq, VtLogData
from vtFunction import todayDate


########################################################################
class CtaEngine(object):
    """CTA策略引擎"""
    settingFileName = 'CTA_setting.json'
    path = os.path.abspath(os.path.dirname(__file__))
    settingFileName = os.path.join(path, settingFileName)

    #----------------------------------------------------------------------
    def __init__(self, mainEngine, eventEngine):
        """Constructor"""
        self.mainEngine = mainEngine
        self.eventEngine = eventEngine

        # 当前日期
        self.today = todayDate()

        # 保存策略实例的字典
        # key为策略名称，value为策略实例，注意策略名称不允许重复
        self.strategyDict = {}

        # 保存vtSymbol和策略实例映射的字典（用于推送tick数据）
        # 由于可能多个strategy交易同一个vtSymbol，因此key为vtSymbol
        # value为包含所有相关strategy对象的list
        self.tickStrategyDict = {}

        # 保存vtOrderID和strategy对象映射的字典（用于推送order和trade数据）
        # key为vtOrderID，value为strategy对象
        self.orderStrategyDict = {}

        # 本地停止单编号计数
        self.stopOrderCount = 0
        # stopOrderID = STOPORDERPREFIX + str(stopOrderCount)

        # 本地停止单字典
        # key为stopOrderID，value为stopOrder对象
        self.stopOrderDict = {}             # 停止单撤销后不会从本字典中删除
        self.workingStopOrderDict = {}      # 停止单撤销后会从本字典中删除

        # 持仓缓存字典
        # key为vtSymbol，value为PositionBuffer对象
        self.posBufferDict = {}

        # 成交号集合，用来过滤已经收到过的成交推送
        self.tradeSet = set()

        # 引擎类型为实盘
        self.engineType = ENGINETYPE_TRADING

        # 注册事件监听
        self.registerEvent()

    #----------------------------------------------------------------------
    def sendOrder(self, vtSymbol, orderType, price, volume, strategy):
        """发单"""
        contract = self.mainEngine.getContract(vtSymbol)

        req = VtOrderReq()
        req.symbol = contract.symbol
        req.exchange = contract.exchange
        req.price = self.roundToPriceTick(contract.priceTick, price)
        req.volume = volume

        req.productClass = strategy.productClass
        req.currency = strategy.currency

        # 设计为CTA引擎发出的委托只允许使用限价单
        req.priceType = PRICETYPE_LIMITPRICE

        # CTA委托类型映射
        if orderType == CTAORDER_BUY:
            req.direction = DIRECTION_LONG
            req.offset = OFFSET_OPEN

        elif orderType == CTAORDER_SELL:
            req.direction = DIRECTION_SHORT

            # 只有上期所才要考虑平今平昨
            if contract.exchange != EXCHANGE_SHFE:
                req.offset = OFFSET_CLOSE
            else:
                # 获取持仓缓存数据
                posBuffer = self.posBufferDict.get(vtSymbol, None)
                # 如果获取持仓缓存失败，则默认平昨
                if not posBuffer:
                    req.offset = OFFSET_CLOSE
                # 否则如果有多头今仓，则使用平今
                elif posBuffer.longToday:
                    req.offset= OFFSET_CLOSETODAY
                # 其他情况使用平昨
                else:
                    req.offset = OFFSET_CLOSE

        elif orderType == CTAORDER_SHORT:
            req.direction = DIRECTION_SHORT
            req.offset = OFFSET_OPEN

        elif orderType == CTAORDER_COVER:
            req.direction = DIRECTION_LONG

            # 只有上期所才要考虑平今平昨
            if contract.exchange != EXCHANGE_SHFE:
                req.offset = OFFSET_CLOSE
            else:
                # 获取持仓缓存数据
                posBuffer = self.posBufferDict.get(vtSymbol, None)
                # 如果获取持仓缓存失败，则默认平昨
                if not posBuffer:
                    req.offset = OFFSET_CLOSE
                # 否则如果有空头今仓，则使用平今
                elif posBuffer.shortToday:
                    req.offset= OFFSET_CLOSETODAY
                # 其他情况使用平昨
                else:
                    req.offset = OFFSET_CLOSE

        vtOrderID = self.mainEngine.sendOrder(req, contract.gatewayName)    # 发单
        self.orderStrategyDict[vtOrderID] = strategy        # 保存vtOrderID和策略的映射关系

        self.writeCtaLog(u'策略%s发送委托，%s，%s，%s@%s'
                         %(strategy.name, vtSymbol, req.direction, volume, price))

        return vtOrderID

    #----------------------------------------------------------------------
    def cancelOrder(self, vtOrderID):
        """撤单"""
        # 查询报单对象
        order = self.mainEngine.getOrder(vtOrderID)

        # 如果查询成功
        if order:
            # 检查是否报单还有效，只有有效时才发出撤单指令
            orderFinished = (order.status==STATUS_ALLTRADED or order.status==STATUS_CANCELLED)
            if not orderFinished:
                req = VtCancelOrderReq()
                req.symbol = order.symbol
                req.exchange = order.exchange
                req.frontID = order.frontID
                req.sessionID = order.sessionID
                req.orderID = order.orderID
                self.mainEngine.cancelOrder(req, order.gatewayName)

    #----------------------------------------------------------------------
    def sendStopOrder(self, vtSymbol, orderType, price, volume, strategy):
        """发停止单（本地实现）"""
        self.stopOrderCount += 1
        stopOrderID = STOPORDERPREFIX + str(self.stopOrderCount)

        so = StopOrder()
        so.vtSymbol = vtSymbol
        so.orderType = orderType
        so.price = price
        so.volume = volume
        so.strategy = strategy
        so.stopOrderID = stopOrderID
        so.status = STOPORDER_WAITING

        if orderType == CTAORDER_BUY:
            so.direction = DIRECTION_LONG
            so.offset = OFFSET_OPEN
        elif orderType == CTAORDER_SELL:
            so.direction = DIRECTION_SHORT
            so.offset = OFFSET_CLOSE
        elif orderType == CTAORDER_SHORT:
            so.direction = DIRECTION_SHORT
            so.offset = OFFSET_OPEN
        elif orderType == CTAORDER_COVER:
            so.direction = DIRECTION_LONG
            so.offset = OFFSET_CLOSE

        # 保存stopOrder对象到字典中
        self.stopOrderDict[stopOrderID] = so
        self.workingStopOrderDict[stopOrderID] = so

        return stopOrderID

    #----------------------------------------------------------------------
    def cancelStopOrder(self, stopOrderID):
        """撤销停止单"""
        # 检查停止单是否存在
        if stopOrderID in self.workingStopOrderDict:
            so = self.workingStopOrderDict[stopOrderID]
            so.status = STOPORDER_CANCELLED
            del self.workingStopOrderDict[stopOrderID]

    #----------------------------------------------------------------------
    def processStopOrder(self, tick):
        """收到行情后处理本地停止单（检查是否要立即发出）"""
        vtSymbol = tick.vtSymbol

        # 首先检查是否有策略交易该合约
        if vtSymbol in self.tickStrategyDict:
            # 遍历等待中的停止单，检查是否会被触发
            for so in self.workingStopOrderDict.values():
                if so.vtSymbol == vtSymbol:
                    longTriggered = so.direction==DIRECTION_LONG and tick.lastPrice>=so.price        # 多头停止单被触发
                    shortTriggered = so.direction==DIRECTION_SHORT and tick.lastPrice<=so.price     # 空头停止单被触发

                    if longTriggered or shortTriggered:
                        # 买入和卖出分别以涨停跌停价发单（模拟市价单）
                        if so.direction==DIRECTION_LONG:
                            price = tick.upperLimit
                        else:
                            price = tick.lowerLimit

                        so.status = STOPORDER_TRIGGERED
                        self.sendOrder(so.vtSymbol, so.orderType, price, so.volume, so.strategy)
                        del self.workingStopOrderDict[so.stopOrderID]

    #----------------------------------------------------------------------
    def processTickEvent(self, event):
        """处理行情推送"""
        tick = event.dict_['data']
        # 收到tick行情后，先处理本地停止单（检查是否要立即发出）
        self.processStopOrder(tick)

        # 推送tick到对应的策略实例进行处理
        if tick.vtSymbol in self.tickStrategyDict:
            # 将vtTickData数据转化为ctaTickData
            ctaTick = CtaTickData()
            d = ctaTick.__dict__
            for key in d.keys():
                if key != 'datetime':
                    d[key] = tick.__getattribute__(key)
            # 添加datetime字段
            ctaTick.datetime = datetime.strptime(' '.join([tick.date, tick.time]), '%Y%m%d %H:%M:%S.%f')

            # 逐个推送到策略实例中
            l = self.tickStrategyDict[tick.vtSymbol]
            for strategy in l:
                self.callStrategyFunc(strategy, strategy.onTick, ctaTick)

    #----------------------------------------------------------------------
    def processOrderEvent(self, event):
        """处理委托推送"""
        order = event.dict_['data']

        if order.vtOrderID in self.orderStrategyDict:
            strategy = self.orderStrategyDict[order.vtOrderID]
            self.callStrategyFunc(strategy, strategy.onOrder, order)

    #----------------------------------------------------------------------
    def processTradeEvent(self, event):
        """处理成交推送"""
        trade = event.dict_['data']

        # 过滤已经收到过的成交回报
        if trade.vtTradeID in self.tradeSet:
            return
        self.tradeSet.add(trade.vtTradeID)

        # 将成交推送到策略对象中
        if trade.vtOrderID in self.orderStrategyDict:
            strategy = self.orderStrategyDict[trade.vtOrderID]

            # 计算策略持仓
            if trade.direction == DIRECTION_LONG:
                strategy.pos += trade.volume
            else:
                strategy.pos -= trade.volume

            self.callStrategyFunc(strategy, strategy.onTrade, trade)

        # 更新持仓缓存数据
        if trade.vtSymbol in self.tickStrategyDict:
            posBuffer = self.posBufferDict.get(trade.vtSymbol, None)
            if not posBuffer:
                posBuffer = PositionBuffer()
                posBuffer.vtSymbol = trade.vtSymbol
                self.posBufferDict[trade.vtSymbol] = posBuffer
            posBuffer.updateTradeData(trade)

    #----------------------------------------------------------------------
    def processPositionEvent(self, event):
        """处理持仓推送"""
        pos = event.dict_['data']

        # 更新持仓缓存数据
        if pos.vtSymbol in self.tickStrategyDict:
            posBuffer = self.posBufferDict.get(pos.vtSymbol, None)
            if not posBuffer:
                posBuffer = PositionBuffer()
                posBuffer.vtSymbol = pos.vtSymbol
                self.posBufferDict[pos.vtSymbol] = posBuffer
            posBuffer.updatePositionData(pos)

    #----------------------------------------------------------------------
    def registerEvent(self):
        """注册事件监听"""
        self.eventEngine.register(EVENT_TICK, self.processTickEvent)
        self.eventEngine.register(EVENT_ORDER, self.processOrderEvent)
        self.eventEngine.register(EVENT_TRADE, self.processTradeEvent)
        self.eventEngine.register(EVENT_POSITION, self.processPositionEvent)

    #----------------------------------------------------------------------
    def insertData(self, dbName, collectionName, data):
        """插入数据到数据库（这里的data可以是CtaTickData或者CtaBarData）"""
        self.mainEngine.dbInsert(dbName, collectionName, data.__dict__)

    #----------------------------------------------------------------------
    def loadBar(self, dbName, collectionName, days):
        """从数据库中读取Bar数据，startDate是datetime对象"""
        startDate = self.today - timedelta(days)

        d = {'datetime':{'$gte':startDate}}
        barData = self.mainEngine.dbQuery(dbName, collectionName, d)

        l = []
        for d in barData:
            bar = CtaBarData()
            bar.__dict__ = d
            l.append(bar)
        return l

    #----------------------------------------------------------------------
    def loadTick(self, dbName, collectionName, days):
        """从数据库中读取Tick数据，startDate是datetime对象"""
        startDate = self.today - timedelta(days)

        d = {'datetime':{'$gte':startDate}}
        tickData = self.mainEngine.dbQuery(dbName, collectionName, d)

        l = []
        for d in tickData:
            tick = CtaTickData()
            tick.__dict__ = d
            l.append(tick)
        return l

    #----------------------------------------------------------------------
    def writeCtaLog(self, content):
        """快速发出CTA模块日志事件"""
        log = VtLogData()
        log.logContent = content
        event = Event(type_=EVENT_CTA_LOG)
        event.dict_['data'] = log
        self.eventEngine.put(event)

    #----------------------------------------------------------------------
    def loadStrategy(self, setting):
        """载入策略"""
        try:
            name = setting['name']
            className = setting['className']
        except:
            self.writeCtaLog(u'载入策略出错：%s' %traceback.format_exc())
            return

        # 获取策略类
        strategyClass = STRATEGY_CLASS.get(className, None)
        if not strategyClass:
            self.writeCtaLog(u'找不到策略类：%s' %className)
            return

        # 防止策略重名
        if name in self.strategyDict:
            self.writeCtaLog(u'策略实例重名：%s' %name)
        else:
            # 创建策略实例
            strategy = strategyClass(self, setting)
            self.strategyDict[name] = strategy

            # 保存Tick映射关系
            if strategy.vtSymbol in self.tickStrategyDict:
                l = self.tickStrategyDict[strategy.vtSymbol]
            else:
                l = []
                self.tickStrategyDict[strategy.vtSymbol] = l
            l.append(strategy)

            # 订阅合约
            contract = self.mainEngine.getContract(strategy.vtSymbol)
            if contract:
                req = VtSubscribeReq()
                req.symbol = contract.symbol
                req.exchange = contract.exchange

                # 对于IB接口订阅行情时所需的货币和产品类型，从策略属性中获取
                req.currency = strategy.currency
                req.productClass = strategy.productClass

                self.mainEngine.subscribe(req, contract.gatewayName)
            else:
                self.writeCtaLog(u'%s的交易合约%s无法找到' %(name, strategy.vtSymbol))

    #----------------------------------------------------------------------
    def initStrategy(self, name):
        """初始化策略"""
        if name in self.strategyDict:
            strategy = self.strategyDict[name]

            if not strategy.inited:
                strategy.inited = True
                self.callStrategyFunc(strategy, strategy.onInit)
            else:
                self.writeCtaLog(u'请勿重复初始化策略实例：%s' %name)
        else:
            self.writeCtaLog(u'策略实例不存在：%s' %name)

    #---------------------------------------------------------------------
    def startStrategy(self, name):
        """启动策略"""
        if name in self.strategyDict:
            strategy = self.strategyDict[name]

            if strategy.inited and not strategy.trading:
                strategy.trading = True
                self.callStrategyFunc(strategy, strategy.onStart)
        else:
            self.writeCtaLog(u'策略实例不存在：%s' %name)

    #----------------------------------------------------------------------
    def stopStrategy(self, name):
        """停止策略"""
        if name in self.strategyDict:
            strategy = self.strategyDict[name]

            if strategy.trading:
                strategy.trading = False
                self.callStrategyFunc(strategy, strategy.onStop)

                # 对该策略发出的所有限价单进行撤单
                for vtOrderID, s in self.orderStrategyDict.items():
                    if s is strategy:
                        self.cancelOrder(vtOrderID)

                # 对该策略发出的所有本地停止单撤单
                for stopOrderID, so in self.workingStopOrderDict.items():
                    if so.strategy is strategy:
                        self.cancelStopOrder(stopOrderID)
        else:
            self.writeCtaLog(u'策略实例不存在：%s' %name)

    #----------------------------------------------------------------------
    def saveSetting(self):
        """保存策略配置"""
        with open(self.settingFileName, 'w') as f:
            l = []

            for strategy in self.strategyDict.values():
                setting = {}
                for param in strategy.paramList:
                    setting[param] = strategy.__getattribute__(param)
                l.append(setting)

            jsonL = json.dumps(l, indent=4)
            f.write(jsonL)

    #----------------------------------------------------------------------
    def loadSetting(self):
        """读取策略配置"""
        with open(self.settingFileName) as f:
            l = json.load(f)

            for setting in l:
                self.loadStrategy(setting)

        self.loadPosition()

    #----------------------------------------------------------------------
    def getStrategyVar(self, name):
        """获取策略当前的变量字典"""
        if name in self.strategyDict:
            strategy = self.strategyDict[name]
            varDict = OrderedDict()

            for key in strategy.varList:
                varDict[key] = strategy.__getattribute__(key)

            return varDict
        else:
            self.writeCtaLog(u'策略实例不存在：' + name)
            return None

    #----------------------------------------------------------------------
    def getStrategyParam(self, name):
        """获取策略的参数字典"""
        if name in self.strategyDict:
            strategy = self.strategyDict[name]
            paramDict = OrderedDict()

            for key in strategy.paramList:
                paramDict[key] = strategy.__getattribute__(key)

            return paramDict
        else:
            self.writeCtaLog(u'策略实例不存在：' + name)
            return None

    #----------------------------------------------------------------------
    def putStrategyEvent(self, name):
        """触发策略状态变化事件（通常用于通知GUI更新）"""
        event = Event(EVENT_CTA_STRATEGY+name)
        self.eventEngine.put(event)

    #----------------------------------------------------------------------
    def callStrategyFunc(self, strategy, func, params=None):
        """调用策略的函数，若触发异常则捕捉"""
        try:
            if params:
                func(params)
            else:
                func()
        except Exception:
            # 停止策略，修改状态为未初始化
            strategy.trading = False
            strategy.inited = False

            # 发出日志
            content = '\n'.join([u'策略%s触发异常已停止' %strategy.name,
                                traceback.format_exc()])
            self.writeCtaLog(content)

    #----------------------------------------------------------------------
    def savePosition(self):
        """保存所有策略的持仓情况到数据库"""
        for strategy in self.strategyDict.values():
            flt = {'name': strategy.name,
                   'vtSymbol': strategy.vtSymbol}

            d = {'name': strategy.name,
                 'vtSymbol': strategy.vtSymbol,
                 'pos': strategy.pos}

            self.mainEngine.dbUpdate(POSITION_DB_NAME, strategy.className,
                                     d, flt, True)

            content = '策略%s持仓保存成功' %strategy.name
            self.writeCtaLog(content)

    #----------------------------------------------------------------------
    def loadPosition(self):
        """从数据库载入策略的持仓情况"""
        for strategy in self.strategyDict.values():
            flt = {'name': strategy.name,
                   'vtSymbol': strategy.vtSymbol}
            posData = self.mainEngine.dbQuery(POSITION_DB_NAME, strategy.className, flt)

            for d in posData:
                strategy.pos = d['pos']

    #----------------------------------------------------------------------
    def roundToPriceTick(self, priceTick, price):
        """取整价格到合约最小价格变动"""
        if not priceTick:
            return price

        newPrice = round(price/priceTick, 0) * priceTick
        return newPrice


########################################################################
class PositionBuffer(object):
    """持仓缓存信息（本地维护的持仓数据）"""

    #----------------------------------------------------------------------
    def __init__(self):
        """Constructor"""
        self.vtSymbol = EMPTY_STRING

        # 多头
        self.longPosition = EMPTY_INT
        self.longToday = EMPTY_INT
        self.longYd = EMPTY_INT

        # 空头
        self.shortPosition = EMPTY_INT
        self.shortToday = EMPTY_INT
        self.shortYd = EMPTY_INT

    #----------------------------------------------------------------------
    def updatePositionData(self, pos):
        """更新持仓数据"""
        if pos.direction == DIRECTION_LONG:
            self.longPosition = pos.position
            self.longYd = pos.ydPosition
            self.longToday = self.longPosition - self.longYd
        else:
            self.shortPosition = pos.position
            self.shortYd = pos.ydPosition
            self.shortToday = self.shortPosition - self.shortYd

    #----------------------------------------------------------------------
    def updateTradeData(self, trade):
        """更新成交数据"""
        if trade.direction == DIRECTION_LONG:
            # 多方开仓，则对应多头的持仓和今仓增加
            if trade.offset == OFFSET_OPEN:
                self.longPosition += trade.volume
                self.longToday += trade.volume
            # 多方平今，对应空头的持仓和今仓减少
            elif trade.offset == OFFSET_CLOSETODAY:
                self.shortPosition -= trade.volume
                self.shortToday -= trade.volume
            # 多方平昨，对应空头的持仓和昨仓减少
            else:
                self.shortPosition -= trade.volume
                self.shortYd -= trade.volume
        else:
            # 空头和多头相同
            if trade.offset == OFFSET_OPEN:
                self.shortPosition += trade.volume
                self.shortToday += trade.volume
            elif trade.offset == OFFSET_CLOSETODAY:
                self.longPosition -= trade.volume
                self.longToday -= trade.volume
            else:
                self.longPosition -= trade.volume
                self.longYd -= trade.volume