vnpy/vn.trader/ctaAlgo/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）
'''

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

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


########################################################################
class CtaEngine(object):
    """CTA策略引擎"""

    # 策略配置文件
    settingFileName = 'CTA_setting.json'
    settingFileName = os.getcwd() + '/ctaAlgo/' + 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 = {}
        
        # 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        # 合约代码
        req.exchange = contract.exchange    # 交易所
        req.price = price                   # 价格
        req.volume = volume                 # 数量

        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     # 价格类型
        
        # CTA委托类型映射
        if orderType == CTAORDER_BUY:
            req.direction = DIRECTION_LONG      # 合约方向
            req.offset = OFFSET_OPEN            # 开/平
        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@%s'
                         %(strategy.name, vtSymbol, req.offset, req.direction, volume, price))
        
        return vtOrderID
    
    # ----------------------------------------------------------------------
    def cancelOrder(self, vtOrderID):
        """撤单"""
        # 查询报单对象
        # 1.调用主引擎接口，查询委托单对象
        order = self.mainEngine.getOrder(vtOrderID)
        
        # 如果查询成功
        if order:
            # 2.检查是否报单（委托单）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)
            else:
                if order.status == STATUS_ALLTRADED:
                    self.writeCtaLog(u'委托单({0}已执行，无法撤销'.format(vtOrderID))
                if order.status == STATUS_CANCELLED:
                    self.writeCtaLog(u'委托单({0}已撤销，无法再次撤销'.format(vtOrderID))
        # 查询不成功
        else:
            self.writeCtaLog(u'委托单({0}不存在'.format(vtOrderID))

    # ----------------------------------------------------------------------
    def cancelOrders(self, symbol, offset=EMPTY_STRING):
        """撤销所有单"""
        # Symbol参数:指定合约的撤单；
        # OFFSET参数:指定Offset的撤单,缺省不填写时，为所有

        l = self.mainEngine.getAllWorkingOrders()

        self.writeCtaLog(u'从所有订单{0}中撤销{1}'.format(len(l), symbol))

        for order in l:
            if offset == EMPTY_STRING:
                offsetCond = True
            else:
                offsetCond = order.offset == offset

            if order.symbol == symbol and offsetCond:
                req = VtCancelOrderReq()
                req.symbol = order.symbol
                req.exchange = order.exchange
                req.frontID = order.frontID
                req.sessionID = order.sessionID
                req.orderID = order.orderID
                self.writeCtaLog(u'撤单:{0}/{1},{2}{3}手'
                                 .format(order.symbol, order.orderID, order.offset, order.totalVolume-order.tradedVolume))
                self.mainEngine.cancelOrder(req, order.gatewayName)

    # ----------------------------------------------------------------------
    def sendStopOrder(self, vtSymbol, orderType, price, volume, strategy):
        """发停止单（本地实现）"""

        # 1.生成本地停止单ID
        self.stopOrderCount += 1
        stopOrderID = STOPORDERPREFIX + str(self.stopOrderCount)

        # 2.创建停止单对象
        so = StopOrder()
        so.vtSymbol = vtSymbol          # 代码
        so.orderType = orderType        # 停止单类型
        so.price = price                # 价格
        so.volume = volume              # 数量
        so.strategy = strategy          # 来源策略
        so.stopOrderID = stopOrderID    # Id
        so.status = STOPORDER_WAITING   # 状态
        
        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            # 字典中不会删除
        self.workingStopOrderDict[stopOrderID] = so     # 字典中会删除

        self.writeCtaLog(u'发停止单成功，'
                         u'Id:{0},Symbol:{1},Type:{2},Price:{3},Volume:{4}'
                         u'.'.format(stopOrderID, vtSymbol, orderType, price, volume))
        
        return stopOrderID
    
    # ----------------------------------------------------------------------
    def cancelStopOrder(self, stopOrderID):
        """撤销停止单
        Incense Li modified 20160124：
        增加返回True 和 False
        """
        # 1.检查停止单是否存在
        if stopOrderID in self.workingStopOrderDict:
            so = self.workingStopOrderDict[stopOrderID]
            so.status = STOPORDER_CANCELLED                 # STOPORDER_WAITING =》STOPORDER_CANCELLED
            del self.workingStopOrderDict[stopOrderID]      # 删除
            self.writeCtaLog(u'撤销停止单:{0}成功.'.format(stopOrderID))
            return True
        else:
            self.writeCtaLog(u'撤销停止单:{0}失败，不存在Id.'.format(stopOrderID))
            return False

    # ----------------------------------------------------------------------
    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
        
        # 1.首先检查是否有策略交易该合约
        if vtSymbol in self.tickStrategyDict:
            # 2.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:
                    # 3. 触发标识判断
                    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.lasatPrice <= so.price     # 空头停止单被触发

                    # 4.触发处理
                    if longTriggered or shortTriggered:

                        # 5.设定价格，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

                        # 6.更新停止单状态，触发
                        so.status = STOPORDER_TRIGGERED

                        # 7.发单
                        self.sendOrder(so.vtSymbol, so.orderType, price, so.volume, so.strategy)

                        # 8.删除停止单
                        del self.workingStopOrderDict[so.stopOrderID]

    # ----------------------------------------------------------------------
    def procecssTickEvent(self, event):
        """处理行情推送事件"""

        # 1. 获取事件的Tick数据
        tick = event.dict_['data']

        # 2.收到tick行情后，优先处理本地停止单（检查是否要立即发出）
        self.processStopOrder(tick)
        
        # 3.推送tick到对应的策略对象进行处理
        if tick.vtSymbol in self.tickStrategyDict:

            # 4.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)

            # 5.添加datetime字段
            ctaTick.datetime = datetime.strptime(' '.join([tick.date, tick.time]), '%Y%m%d %H:%M:%S.%f')

            # 修正，交易日期不一定是OpenDate
            dt = datetime.now()
            if (ctaTick.datetime - dt).seconds > 10:
                today = dt.strftime('%Y%m%d')
                if today == tick.date:
                    ctaTick.datetime = dt
                else:
                    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:
                strategy.onTick(ctaTick)
    
    # ----------------------------------------------------------------------
    def processOrderEvent(self, event):
        """处理委托推送事件"""
        # 1.获取事件的Order数据
        order = event.dict_['data']

        # order.vtOrderID 在gateway中，已经格式化为 gatewayName.vtOrderID

        # 2.判断order是否在映射字典中
        if order.vtOrderID in self.orderStrategyDict:
            # 3.提取对应的策略
            strategy = self.orderStrategyDict[order.vtOrderID]
            # 4.触发策略的委托推送事件方法
            strategy.onOrder(order)
    
    # ----------------------------------------------------------------------
    def processTradeEvent(self, event):
        """处理成交推送事件"""

        # 1.获取事件的Trade数据
        trade = event.dict_['data']

        # 2.判断Trade是否在映射字典中
        if trade.vtOrderID in self.orderStrategyDict:

            # 3.提取对应的策略
            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

            # 4.触发策略的成交推送事件。
            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"""

        # 注册行情数据推送（Tick数据到达）的响应事件
        self.eventEngine.register(EVENT_TICK, self.procecssTickEvent)

        # 注册订单推送的响应事件
        self.eventEngine.register(EVENT_ORDER, self.processOrderEvent)

        # 注册成交推送（交易）的响应时间
        self.eventEngine.register(EVENT_TRADE, self.processTradeEvent)

        # 注册持仓更新事件
        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}}
        cursor = self.mainEngine.dbQuery(dbName, collectionName, d)
        
        l = []
        if cursor:
            for d in cursor:
                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}}
        cursor = self.mainEngine.dbQuery(dbName, collectionName, d)
        
        l = []
        if cursor:
            for d in cursor:
                tick = CtaTickData()
                tick.__dict__ = d
                l.append(tick)
        
        return l    
    
    # ----------------------------------------------------------------------
    def getToday(self):
        """获取代表今日的datetime对象"""
        today = datetime.today()
        today = today.replace(hour=0, minute=0, second=0, microsecond=0)
        return today

    # ----------------------------------------------------------------------
    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)

        # 写入本地log日志
        logging.info(content)
    
    # ----------------------------------------------------------------------
    def loadStrategy(self, setting):
        """载入策略"""
        try:
            name = setting['name']
            className = setting['className']
        except Exception, e:
            self.writeCtaLog(u'载入策略出错：%s' %e)
            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:
            # 1.创建策略对象
            strategy = strategyClass(self, setting)  
            self.strategyDict[name] = strategy
            
            # 2.保存Tick映射关系（symbol <==> Strategy[] )
            if strategy.vtSymbol in self.tickStrategyDict:
                l = self.tickStrategyDict[strategy.vtSymbol]
            else:
                l = []
                self.tickStrategyDict[strategy.vtSymbol] = l
            l.append(strategy)
            
            # 3.订阅合约
            contract = self.mainEngine.getContract(strategy.vtSymbol)
            if contract:
                # 4.构造订阅请求包
                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

                # 5.调用主引擎的订阅接口
                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, force = False):
        """初始化策略"""
        if name in self.strategyDict:
            strategy = self.strategyDict[name]
            
            if not strategy.inited or force == True:
                strategy.onInit(force=force)
                #strategy.inited = True
            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"""

        # 1.判断策略名称是否存在字典中
        if name in self.strategyDict:

            # 2.提取策略
            strategy = self.strategyDict[name]

            # 3.判断策略是否运行
            if strategy.inited and not strategy.trading:
                # 4.设置运行状态
                strategy.trading = True
                # 5.启动策略
                strategy.onStart()
        else:
            self.writeCtaLog(u'策略实例不存在：%s' %name)
    
    # ----------------------------------------------------------------------
    def stopStrategy(self, name):
        """停止策略运行"""

        # 1.判断策略名称是否存在字典中
        if name in self.strategyDict:
            # 2.提取策略
            strategy = self.strategyDict[name]

            # 3.停止交易
            if strategy.trading:

                # 4.设置交易状态为False
                strategy.trading = False
                # 5.调用策略的停止方法
                strategy.onStop()
                
                # 6.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)
                
                # 7.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 = []
            # 逐一循环：name，策略实例名称，strategy，策略
            for strategy in self.strategyDict.values():
                # 配置串
                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)
    
    # ----------------------------------------------------------------------
    def getStrategyVar(self, name):
        """获取策略当前的变量字典"""
        if name in self.strategyDict:
            # 获取策略实例
            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:
            # 获取策略实例
            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)
        


########################################################################
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