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[Add]新增OptionMaster模块的策略交易引擎

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This commit is contained in:
vn.py 2018-01-15 17:31:09 +08:00
parent b0902d2c65
commit 5cd3411895
3 changed files with 306 additions and 6 deletions
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2
vnpy/trader/app/optionMaster/omBase.py
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@ -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'

202
vnpy/trader/app/optionMaster/omEngine.py
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@ -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
@ -211,3 +220,186 @@ class OmEngine(object):
event = Event(EVENT_OM_LOG)
event.dict_['data'] = log
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

106
vnpy/trader/app/optionMaster/omStrategy.py Normal file
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@ -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()