From 5cd34118957d309452ea8ca1a174de1b240f6d37 Mon Sep 17 00:00:00 2001 From: "vn.py" Date: Mon, 15 Jan 2018 17:31:09 +0800 Subject: [PATCH] =?UTF-8?q?[Add]=E6=96=B0=E5=A2=9EOptionMaster=E6=A8=A1?= =?UTF-8?q?=E5=9D=97=E7=9A=84=E7=AD=96=E7=95=A5=E4=BA=A4=E6=98=93=E5=BC=95?= =?UTF-8?q?=E6=93=8E?= MIME-Version: 1.0 Content-Type: text/plain; charset=UTF-8 Content-Transfer-Encoding: 8bit --- vnpy/trader/app/optionMaster/omBase.py | 2 + vnpy/trader/app/optionMaster/omEngine.py | 204 ++++++++++++++++++++- vnpy/trader/app/optionMaster/omStrategy.py | 106 +++++++++++ 3 files changed, 306 insertions(+), 6 deletions(-) create mode 100644 vnpy/trader/app/optionMaster/omStrategy.py diff --git a/vnpy/trader/app/optionMaster/omBase.py b/vnpy/trader/app/optionMaster/omBase.py index d5a4f1c6..8b325d13 100644 --- a/vnpy/trader/app/optionMaster/omBase.py +++ b/vnpy/trader/app/optionMaster/omBase.py @@ -15,6 +15,8 @@ from .omDate import getTimeToMaturity CALL = 1 PUT = -1 +OM_DB_NAME = 'VnTrader_OptionMaster_Db' + # 事件定义 EVENT_OM_LOG = 'eOmLog' diff --git a/vnpy/trader/app/optionMaster/omEngine.py b/vnpy/trader/app/optionMaster/omEngine.py index fc9be9bc..2e2e789c 100644 --- a/vnpy/trader/app/optionMaster/omEngine.py +++ b/vnpy/trader/app/optionMaster/omEngine.py @@ -8,20 +8,29 @@ import traceback from collections import OrderedDict from vnpy.event import Event -from vnpy.trader.vtEvent import EVENT_TICK, EVENT_TRADE, EVENT_CONTRACT +from vnpy.trader.vtEvent import (EVENT_TICK, EVENT_TRADE, EVENT_CONTRACT, + EVENT_ORDER) from vnpy.trader.vtFunction import getTempPath, getJsonPath -from vnpy.trader.vtObject import VtLogData, VtSubscribeReq -from vnpy.trader.vtConstant import PRODUCT_OPTION, OPTION_CALL, OPTION_PUT -from vnpy.pricing import black +from vnpy.trader.vtObject import (VtLogData, VtSubscribeReq, + VtOrderReq, VtCancelOrderReq) +from vnpy.trader.vtConstant import (PRODUCT_OPTION, OPTION_CALL, OPTION_PUT, + DIRECTION_LONG, DIRECTION_SHORT, + OFFSET_OPEN, OFFSET_CLOSE, + PRICETYPE_LIMITPRICE) +from vnpy.pricing import black, bs, crr from .omBase import (OmOption, OmUnderlying, OmChain, OmPortfolio, - EVENT_OM_LOG) + EVENT_OM_LOG, + OM_DB_NAME) # 定价模型字典 MODEL_DICT = {} MODEL_DICT['black'] = black +MODEL_DICT['bs'] = bs +MODEL_DICT['crr'] = crr + @@ -210,4 +219,187 @@ class OmEngine(object): event = Event(EVENT_OM_LOG) event.dict_['data'] = log - self.eventEngine.put(event) + self.eventEngine.put(event) + + +######################################################################## +class OmStrategyEngine(object): + """策略引擎""" + + #---------------------------------------------------------------------- + def __init__(self, omEngine, eventEngine): + """Constructor""" + self.omEngine = omEngine + self.mainEngine = omEngine.mainEngine + self.eventEngine = eventEngine + + self.portfolio = None + + self.strategyDict = {} # name: strategy + self.symbolStrategyDict = {} # vtSymbol：strategy list + self.orderStrategyDict= {} # vtOrderID: strategy + + #---------------------------------------------------------------------- + def registerEvent(self): + """注册事件监听""" + self.eventEngine.register(EVENT_TICK, self.processTickEvent) + self.eventEngine.register(EVENT_TRADE, self.processTradeEvent) + self.eventEngine.register(EVENT_ORDER, self.processOrdervent) + + #---------------------------------------------------------------------- + def writeLog(self, content): + """快速发出日志事件""" + self.omEngine.writeLog(content) + + #---------------------------------------------------------------------- + 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.writeLog(content) + + #---------------------------------------------------------------------- + def processTickEvent(self, event): + """处理行情事件""" + tick = event.dict_['data'] + l = self.symbolStrategyDict.get(tick.vtSymbol, None) + if l: + for strategy in l: + self.callStrategyFunc(strategy, strategy.onTick, tick) + + #---------------------------------------------------------------------- + def processTradeEvent(self, event): + """处理成交事件""" + trade = event.dict_['data'] + strategy = self.orderStrategyDict.get(trade.vtOrderID, None) + if strategy: + self.callStrategyFunc(strategy, strategy.onTrade, trade) + + #---------------------------------------------------------------------- + def processOrderEvent(self, event): + """处理委托事件""" + order = event.dict_['data'] + strategy = self.orderStrategyDict.get(order.vtOrderID, None) + if strategy: + self.callStrategyFunc(strategy, strategy.onOrder, order) + + #---------------------------------------------------------------------- + def loadSetting(self): + """加载配置""" + self.portfolio = self.omEngine.portfolio + + #---------------------------------------------------------------------- + def initStrategy(self, name): + """初始化策略""" + strategy = self.strategyDict[name] + self.callStrategyFunc(strategy, strategy.onInit) + + #---------------------------------------------------------------------- + def startStrategy(self, name): + """启动策略""" + strategy = self.strategyDict[name] + self.callStrategyFunc(strategy, strategy.onStart) + + #---------------------------------------------------------------------- + def stopStrategy(self, name): + """停止策略""" + strategy = self.strategyDict[name] + self.callStrategyFunc(strategy, strategy.onStop) + + #---------------------------------------------------------------------- + def sendOrder(self, vtSymbol, direction, offset, price, volume): + """发单""" + contract = self.mainEngine.getContract(vtSymbol) + if not contract: + return '' + + req = VtOrderReq() + req.symbol = contract.symbol + req.exchange = contract.exchange + req.vtSymbol = vtSymbol + req.price = price + req.volume = volume + req.direction = direction + req.offset = offset + req.priceType = PRICETYPE_LIMITPRICE + + return self.mainEngine.sendOrder(req, contract.gatewayName) + + #---------------------------------------------------------------------- + def cancelorder(self, vtOrderID): + """撤单""" + order = self.mainEngine.getOrder(vtOrderID) + if not order: + return + + req = VtCancelOrderReq() + req.symbol = order.symbol + req.exchange = order.exchange + req.orderID = order.orderID + req.symbol = order.symbol + req.vtSymbol = order.vtSymbo + + self.mainEngine.cancelOrder(req, order.gatewayName) + + #---------------------------------------------------------------------- + def buy(self, vtSymbol, price, volume): + """开多""" + return self.sendOrder(vtSymbol, DIRECTION_LONG, OFFSET_OPEN, price, volume) + + #---------------------------------------------------------------------- + def short(self, vtSymbol, price, volume): + """开空""" + return self.sendOrder(vtSymbol, DIRECTION_SHORT, OFFSET_OPEN, price, volume) + + #---------------------------------------------------------------------- + def sell(self, vtSymbol, price, volume): + """平多""" + return self.sendOrder(vtSymbol, DIRECTION_SHORT, OFFSET_CLOSE, price, volume) + + #---------------------------------------------------------------------- + def cover(self, vtSymbol, price, volume): + """平空""" + return self.sendOrder(vtSymbol, DIRECTION_LONG, OFFSET_CLOSE, price, volume) + + #---------------------------------------------------------------------- + def dbQuery(self, collectionName, flt): + """查询数据""" + return self.mainEngine.dbQuery(OM_DB_NAME, collectionName, flt) + + #---------------------------------------------------------------------- + def dbUpdate(self, collectionName, d, flt): + """更新数据""" + self.mainEngine.dbUpdate(OM_DB_NAME, collectionName, d, flt, True) + + #---------------------------------------------------------------------- + def getOption(self, vtSymbol): + """获取期权信息""" + return self.portfolio.optionDict.get(vtSymbol, None) + + #---------------------------------------------------------------------- + def getUnderlying(self, vtSymbol): + """获取标的信息""" + return self.portfolio.underlyingDict.get(vtSymbol, None) + + #---------------------------------------------------------------------- + def getChain(self, symbol): + """获取期权链信息""" + return self.portfolio.chainDict.get(symbol, None) + + #---------------------------------------------------------------------- + def getPortfolio(self): + """获取持仓组合信息""" + return self.portfolio + + diff --git a/vnpy/trader/app/optionMaster/omStrategy.py b/vnpy/trader/app/optionMaster/omStrategy.py new file mode 100644 index 00000000..f5c6a784 --- /dev/null +++ b/vnpy/trader/app/optionMaster/omStrategy.py @@ -0,0 +1,106 @@ +# encoding: UTF-8 + +from vnpy.trader.vtConstant import (DIRECTION_LONG, DIRECTION_SHORT, + OFFSET_OPEN, OFFSET_CLOSE) + + +######################################################################## +class OmStrategyTemplate(object): + """策略模板""" + + #---------------------------------------------------------------------- + def __init__(self, engine): + """Constructor""" + self.engine = engine + + self.name = '' + + self.inited = False + self.trading = False + + #---------------------------------------------------------------------- + def onInit(self): + """初始化""" + raise NotImplementedError + + #---------------------------------------------------------------------- + def onStart(self): + """启动""" + raise NotImplementedError + + #---------------------------------------------------------------------- + def onStop(self): + """停止""" + raise NotImplementedError + + #---------------------------------------------------------------------- + def onTick(self, tick): + """行情推送""" + raise NotImplementedError + + #---------------------------------------------------------------------- + def onTrade(self, trade): + """成交推送""" + raise NotImplementedError + + #---------------------------------------------------------------------- + def onOrder(self, order): + """委托推送""" + raise NotImplementedError + + #---------------------------------------------------------------------- + def cancelOrder(self, vtOrderID): + """撤单""" + self.engine.cancelOrder(vtOrderID) + + #---------------------------------------------------------------------- + def buy(self, vtSymbol, price, volume): + """开多""" + return self.engine.buy(vtSymbol, price, volume) + + #---------------------------------------------------------------------- + def short(self, vtSymbol, price, volume): + """开空""" + return self.engine.short(vtSymbol, price, volume) + + #---------------------------------------------------------------------- + def sell(self, vtSymbol, price, volume): + """平多""" + return self.engine.sell(vtSymbol, price, volume) + + #---------------------------------------------------------------------- + def cover(self, vtSymbol, price, volume): + """平空""" + return self.engine.cover(vtSymbol, price, volume) + + #---------------------------------------------------------------------- + def dbQuery(self, flt): + """查询数据""" + return self.engine.dbQuery(self.name, flt) + + #---------------------------------------------------------------------- + def dbUpdate(self, d, flt): + """更新数据""" + return self.engine.dbUpdate(self.name, d, flt) + + #---------------------------------------------------------------------- + def getOption(self, vtSymbol): + """查询期权数据""" + return self.engine.getOption(vtSymbol) + + #---------------------------------------------------------------------- + def getUnderlying(self, vtSymbol): + """获取标的信息""" + return self.engine.getUnderlying(vtSymbol) + + #---------------------------------------------------------------------- + def getChain(self, symbol): + """获取期权链信息""" + return self.engine.getChain(symbol) + + #---------------------------------------------------------------------- + def getPortfolio(self): + """获取持仓组合信息""" + return self.engine.getPortfolio() + +