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vn.py 2016-08-04 23:32:17 +08:00 committed by GitHub
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7
README.md
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@ -1,5 +1,12 @@
# vn.py - 基于python的开源交易平台开发框架
### 论坛
新的论坛[维恩的派](http://www.vnpie.com)已经上线（感谢量衍投资对vn.py项目的支持）。
如果你在使用vn.py的过程中有任何疑问想求助或者经验想分享，欢迎到维恩的派上面发帖，项目作者和其他主要贡献者也会每天阅帖，保证回复的效率。
---
### Quick Start

50
vn.lts/vnltstd/test/tdtest.py
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@ -330,7 +330,7 @@ def main():
api.subscribePublicTopic(1)
# 注册前置机地址，测试通过
api.registerFront("tcp://211.144.195.163:34505")
api.registerFront("tcp://211.144.195.163:54505")
# 初始化api，连接前置机，测试通过
api.init()
@ -367,30 +367,30 @@ def main():
#sleep(0.5)
###############################################
# 发单测试, 测试通过
reqid = reqid + 1
req = {}
req['InvestorID'] = api.userID
req['UserID'] = api.userID
req['BrokerID'] = api.brokerID
req['InstrumentID'] = '510050'
req['ExchangeID'] = 'SSE'
req['OrderPriceType'] = defineDict['SECURITY_FTDC_OPT_LimitPrice']
req['LimitPrice'] = '0.1850'
req['VolumeTotalOriginal'] = 1
req['Direction'] = defineDict['SECURITY_FTDC_D_Buy']
req['CombOffsetFlag'] = defineDict['SECURITY_FTDC_OF_Open']
req['OrderRef'] = '10'
req['CombHedgeFlag'] = defineDict['SECURITY_FTDC_HF_Speculation']
req['ContingentCondition'] = defineDict['SECURITY_FTDC_CC_Immediately']
req['ForceCloseReason'] = defineDict['SECURITY_FTDC_FCC_NotForceClose']
req['IsAutoSuspend'] = 0
req['UserForceClose'] = 0
req['TimeCondition'] = defineDict['SECURITY_FTDC_TC_GFD']
req['VolumeCondition'] = defineDict['SECURITY_FTDC_VC_AV']
req['MinVolume'] = 1
i = api.reqOrderInsert(req, reqid)
sleep(1.0)
# # 发单测试, 测试通过
# reqid = reqid + 1
# req = {}
# req['InvestorID'] = api.userID
# req['UserID'] = api.userID
# req['BrokerID'] = api.brokerID
# req['InstrumentID'] = '510050'
# req['ExchangeID'] = 'SSE'
# req['OrderPriceType'] = defineDict['SECURITY_FTDC_OPT_LimitPrice']
# req['LimitPrice'] = '0.1850'
# req['VolumeTotalOriginal'] = 1
# req['Direction'] = defineDict['SECURITY_FTDC_D_Buy']
# req['CombOffsetFlag'] = defineDict['SECURITY_FTDC_OF_Open']
# req['OrderRef'] = '10'
# req['CombHedgeFlag'] = defineDict['SECURITY_FTDC_HF_Speculation']
# req['ContingentCondition'] = defineDict['SECURITY_FTDC_CC_Immediately']
# req['ForceCloseReason'] = defineDict['SECURITY_FTDC_FCC_NotForceClose']
# req['IsAutoSuspend'] = 0
# req['UserForceClose'] = 0
# req['TimeCondition'] = defineDict['SECURITY_FTDC_TC_GFD']
# req['VolumeCondition'] = defineDict['SECURITY_FTDC_VC_AV']
# req['MinVolume'] = 1
# i = api.reqOrderInsert(req, reqid)
# sleep(1.0)
# 撤单测试，测试通过
#reqid = reqid + 1

36
vn.okcoin/README.md Normal file
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@ -0,0 +1,36 @@
# vn.okcoin
贡献者：量衍投资
### 简介
OkCoin的比特币交易接口，基于Websocket API开发，实现了以下功能：
1. 发送、撤销委托
2. 查询委托、持仓、资金、成交历史
3. 实时行情、成交、资金更新的推送
### 特点
相比较于[OkCoin官方](http://github.com/OKCoin/websocket/tree/master/python)给出的Python API实现，vn.okcoin的一些特点：
1. 同时支持OkCoin的中国站和国际站交易，根据用户连接的站点会在内部自动切换结算货币（CNY、USD）
2. 采用面向对象的接口设计模式，接近国内CTP接口的风格，并对主动函数的调用参数做了大幅简化
3. 数据解包和签名生成两个热点函数使用了更加高效的实现方式
### 参数命名
函数的参数命名针对金融领域用户的习惯做了一些修改，具体对应如下：
* expiry：原生命名的contract_type
* order: 原生命名的match_price
* leverage：原生命名的lever_rate
* page：原生命名的current_page
* length：原生命名的page_length
### API版本
日期：2016-06-29
链接：[http://www.okcoin.com/about/ws_getStarted.do](http://www.okcoin.com/about/ws_getStarted.do)

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vn.okcoin/test.py Normal file
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@ -0,0 +1,47 @@
# encoding: UTF-8
from vnokcoin import *
# 在OkCoin网站申请这两个Key，分别对应用户名和密码
apiKey = ''
secretKey = ''
# 创建API对象
api = OkCoinApi()
# 连接服务器，并等待1秒
api.connect(OKCOIN_USD, apiKey, secretKey, True)
sleep(1)
# 测试现货行情API
#api.subscribeSpotTicker(SYMBOL_BTC)
#api.subscribeSpotTradeData(SYMBOL_BTC)
api.subscribeSpotDepth(SYMBOL_BTC, DEPTH_20)
#api.subscribeSpotKline(SYMBOL_BTC, INTERVAL_1M)
# 测试现货交易API
#api.subscribeSpotTrades()
#api.subscribeSpotUserInfo()
#api.spotUserInfo()
#api.spotTrade(symbol, type_, price, amount)
#api.spotCancelOrder(symbol, orderid)
#api.spotOrderInfo(symbol, orderid)
# 测试期货行情API
#api.subscribeFutureTicker(SYMBOL_BTC, FUTURE_EXPIRY_THIS_WEEK)
#api.subscribeFutureTradeData(SYMBOL_BTC, FUTURE_EXPIRY_THIS_WEEK)
#api.subscribeFutureDepth(SYMBOL_BTC, FUTURE_EXPIRY_THIS_WEEK, DEPTH_20)
#api.subscribeFutureKline(SYMBOL_BTC, FUTURE_EXPIRY_THIS_WEEK, INTERVAL_1M)
#api.subscribeFutureIndex(SYMBOL_BTC)
# 测试期货交易API
#api.subscribeFutureTrades()
#api.subscribeFutureUserInfo()
#api.subscribeFuturePositions()
#api.futureUserInfo()
#api.futureTrade(symbol, expiry, type_, price, amount, order, leverage)
#api.futureCancelOrder(symbol, expiry, orderid)
#api.futureOrderInfo(symbol, expiry, orderid, status, page, length)
raw_input()

382
vn.okcoin/vnokcoin.py Normal file
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@ -0,0 +1,382 @@
# encoding: UTF-8
import hashlib
import zlib
import json
from time import sleep
from threading import Thread
import websocket
# OKCOIN网站
OKCOIN_CNY = 'wss://real.okcoin.cn:10440/websocket/okcoinapi'
OKCOIN_USD = 'wss://real.okcoin.com:10440/websocket/okcoinapi'
# 账户货币代码
CURRENCY_CNY = 'cny'
CURRENCY_USD = 'usd'
# 电子货币代码
SYMBOL_BTC = 'btc'
SYMBOL_LTC = 'ltc'
# 行情深度
DEPTH_20 = 20
DEPTH_60 = 60
# K线时间区间
INTERVAL_1M = '1min'
INTERVAL_3M = '3min'
INTERVAL_5M = '5min'
INTERVAL_15M = '15min'
INTERVAL_30M = '30min'
INTERVAL_1H = '1hour'
INTERVAL_2H = '2hour'
INTERVAL_4H = '4hour'
INTERVAL_6H = '6hour'
INTERVAL_1D = 'day'
INTERVAL_3D = '3day'
INTERVAL_1W = 'week'
# 交易代码，需要后缀货币名才能完整
TRADING_SYMBOL_BTC = 'btc_'
TRADING_SYMBOL_LTC = 'ltc_'
# 委托类型
TYPE_BUY = 'buy'
TYPE_SELL = 'sell'
TYPE_BUY_MARKET = 'buy_market'
TYPE_SELL_MARKET = 'sell_market'
# 期货合约到期类型
FUTURE_EXPIRY_THIS_WEEK = 'this_week'
FUTURE_EXPIRY_NEXT_WEEK = 'next_week'
FUTURE_EXPIRY_QUARTER = 'quarter'
# 期货委托类型
FUTURE_TYPE_LONG = 1
FUTURE_TYPE_SHORT = 2
FUTURE_TYPE_SELL = 3
FUTURE_TYPE_COVER = 4
# 期货是否用现价
FUTURE_ORDER_MARKET = 1
FUTURE_ORDER_LIMIT = 0
# 期货杠杆
FUTURE_LEVERAGE_10 = 10
FUTURE_LEVERAGE_20 = 20
# 委托状态
ORDER_STATUS_NOTTRADED = 0
ORDER_STATUS_PARTTRADED = 1
ORDER_STATUS_ALLTRADED = 2
ORDER_STATUS_CANCELLED = -1
ORDER_STATUS_CANCELLING = 4
########################################################################
class OkCoinApi(object):
"""基于Websocket的API对象"""
#----------------------------------------------------------------------
def __init__(self):
"""Constructor"""
self.apiKey = '' # 用户名
self.secretKey = '' # 密码
self.host = '' # 服务器地址
self.currency = '' # 货币类型（usd或者cny）
self.ws = None # websocket应用对象
self.thread = None # 工作线程
#######################
## 通用函数
#######################
#----------------------------------------------------------------------
def readData(self, evt):
"""解压缩推送收到的数据"""
# 创建解压器
decompress = zlib.decompressobj(-zlib.MAX_WBITS)
# 将原始数据解压成字符串
inflated = decompress.decompress(evt) + decompress.flush()
# 通过json解析字符串
data = json.loads(inflated)
return data
#----------------------------------------------------------------------
def generateSign(self, params):
"""生成签名"""
l = []
for key in sorted(params.keys()):
l.append('%s=%s' %(key, params[key]))
l.append('secret_key=%s' %self.secretKey)
sign = '&'.join(l)
return hashlib.md5(sign.encode('utf-8')).hexdigest().upper()
#----------------------------------------------------------------------
def onMessage(self, ws, evt):
"""信息推送"""
print 'onMessage'
data = self.readData(evt)
print data
#----------------------------------------------------------------------
def onError(self, ws, evt):
"""错误推送"""
print 'onError'
print evt
#----------------------------------------------------------------------
def onClose(self, ws):
"""接口断开"""
print 'onClose'
#----------------------------------------------------------------------
def onOpen(self, ws):
"""接口打开"""
print 'onOpen'
#----------------------------------------------------------------------
def connect(self, host, apiKey, secretKey, trace=False):
"""连接服务器"""
self.host = host
self.apiKey = apiKey
self.secretKey = secretKey
if self.host == OKCOIN_CNY:
self.currency = CURRENCY_CNY
else:
self.currency = CURRENCY_USD
websocket.enableTrace(trace)
self.ws = websocket.WebSocketApp(host,
on_message=self.onMessage,
on_error=self.onError,
on_close=self.onClose,
on_open=self.onOpen)
self.thread = Thread(target=self.ws.run_forever)
self.thread.start()
#----------------------------------------------------------------------
def sendMarketDataRequest(self, channel):
"""发送行情请求"""
# 生成请求
d = {}
d['event'] = 'addChannel'
d['binary'] = True
d['channel'] = channel
# 使用json打包并发送
j = json.dumps(d)
self.ws.send(j)
#----------------------------------------------------------------------
def sendTradingRequest(self, channel, params):
"""发送交易请求"""
# 在参数字典中加上api_key和签名字段
params['api_key'] = self.apiKey
params['sign'] = self.generateSign(params)
# 生成请求
d = {}
d['event'] = 'addChannel'
d['binary'] = True
d['channel'] = channel
d['parameters'] = params
# 使用json打包并发送
j = json.dumps(d)
self.ws.send(j)
#######################
## 现货相关
#######################
#----------------------------------------------------------------------
def subscribeSpotTicker(self, symbol):
"""订阅现货普通报价"""
self.sendMarketDataRequest('ok_sub_spot%s_%s_ticker' %(self.currency, symbol))
#----------------------------------------------------------------------
def subscribeSpotDepth(self, symbol, depth):
"""订阅现货深度报价"""
self.sendMarketDataRequest('ok_sub_spot%s_%s_depth_%s' %(self.currency, symbol, depth))
#----------------------------------------------------------------------
def subscribeSpotTradeData(self, symbol):
"""订阅现货成交记录"""
self.sendMarketDataRequest('ok_sub_spot%s_%s_trades' %(self.currency, symbol))
#----------------------------------------------------------------------
def subscribeSpotKline(self, symbol, interval):
"""订阅现货K线"""
self.sendMarketDataRequest('ok_sub_spot%s_%s_kline_%s' %(self.currency, symbol, interval))
#----------------------------------------------------------------------
def spotTrade(self, symbol, type_, price, amount):
"""现货委托"""
params = {}
params['symbol'] = str(symbol+self.currency)
params['type'] = str(type_)
params['price'] = str(price)
params['amount'] = str(amount)
channel = 'ok_spot%s_trade' %(self.currency)
self.sendTradingRequest(channel, params)
#----------------------------------------------------------------------
def spotCancelOrder(self, symbol, orderid):
"""现货撤单"""
params = {}
params['symbol'] = str(symbol+self.currency)
params['order_id'] = str(orderid)
channel = 'ok_spot%s_cancel_order' %(self.currency)
self.sendTradingRequest(channel, params)
#----------------------------------------------------------------------
def spotUserInfo(self):
"""查询现货账户"""
channel = 'ok_spot%s_userinfo' %(self.currency)
self.sendTradingRequest(channel, {})
#----------------------------------------------------------------------
def spotOrderInfo(self, symbol, orderid):
"""查询现货委托信息"""
params = {}
params['symbol'] = str(symbol+self.currency)
params['order_id'] = str(orderid)
channel = 'ok_spot%s_orderinfo' %(self.currency)
self.sendTradingRequest(channel, params)
#----------------------------------------------------------------------
def subscribeSpotTrades(self):
"""订阅现货成交信息"""
channel = 'ok_sub_spot%s_trades' %(self.currency)
self.sendTradingRequest(channel, {})
#----------------------------------------------------------------------
def subscribeSpotUserInfo(self):
"""订阅现货账户信息"""
channel = 'ok_sub_spot%s_userinfo' %(self.currency)
self.sendTradingRequest(channel, {})
#######################
## 期货相关
#######################
#----------------------------------------------------------------------
def subscribeFutureTicker(self, symbol, expiry):
"""订阅期货普通报价"""
self.sendMarketDataRequest('ok_sub_future%s_%s_ticker_%s' %(self.currency, symbol, expiry))
#----------------------------------------------------------------------
def subscribeFutureDepth(self, symbol, expiry, depth):
"""订阅期货深度报价"""
self.sendMarketDataRequest('ok_sub_future%s_%s_depth_%s_%s' %(self.currency, symbol,
expiry, depth))
#----------------------------------------------------------------------
def subscribeFutureTradeData(self, symbol, expiry):
"""订阅期货成交记录"""
self.sendMarketDataRequest('ok_sub_future%s_%s_trade_%s' %(self.currency, symbol, expiry))
#----------------------------------------------------------------------
def subscribeFutureKline(self, symbol, expiry, interval):
"""订阅期货K线"""
self.sendMarketDataRequest('ok_sub_future%s_%s_kline_%s_%s' %(self.currency, symbol,
expiry, interval))
#----------------------------------------------------------------------
def subscribeFutureIndex(self, symbol):
"""订阅期货指数"""
self.sendMarketDataRequest('ok_sub_future%s_%s_index' %(self.currency, symbol))
#----------------------------------------------------------------------
def futureTrade(self, symbol, expiry, type_, price, amount, order, leverage):
"""期货委托"""
params = {}
params['symbol'] = str(symbol+self.currency)
params['type'] = str(type_)
params['price'] = str(price)
params['amount'] = str(amount)
params['contract_type'] = str(expiry)
params['match_price'] = str(order)
params['lever_rate'] = str(leverage)
channel = 'ok_future%s_trade' %(self.currency)
self.sendTradingRequest(channel, params)
#----------------------------------------------------------------------
def futureCancelOrder(self, symbol, expiry, orderid):
"""期货撤单"""
params = {}
params['symbol'] = str(symbol+self.currency)
params['order_id'] = str(orderid)
params['contract_type'] = str(expiry)
channel = 'ok_future%s_cancel_order' %(self.currency)
self.sendTradingRequest(channel, params)
#----------------------------------------------------------------------
def futureUserInfo(self):
"""查询期货账户"""
channel = 'ok_future%s_userinfo' %(self.currency)
self.sendTradingRequest(channel, {})
#----------------------------------------------------------------------
def futureOrderInfo(self, symbol, expiry, orderid, status, page, length):
"""查询期货委托信息"""
params = {}
params['symbol'] = str(symbol+self.currency)
params['order_id'] = str(orderid)
params['contract_type'] = expiry
params['status'] = status
params['current_page'] = page
params['page_length'] = length
channel = 'ok_future%s_orderinfo'
self.sendTradingRequest(channel, params)
#----------------------------------------------------------------------
def subscribeFutureTrades(self):
"""订阅期货成交信息"""
channel = 'ok_sub_future%s_trades' %(self.currency)
self.sendTradingRequest(channel, {})
#----------------------------------------------------------------------
def subscribeFutureUserInfo(self):
"""订阅期货账户信息"""
channel = 'ok_sub_future%s_userinfo' %(self.currency)
self.sendTradingRequest(channel, {})
#----------------------------------------------------------------------
def subscribeFuturePositions(self):
"""订阅期货持仓信息"""
channel = 'ok_sub_future%s_positions' %(self.currency)
self.sendTradingRequest(channel, {})

387
vn.trader/ctaAlgo/ctaBacktesting.py
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@ -4,9 +4,11 @@
本文件中包含的是CTA模块的回测引擎，回测引擎的API和CTA引擎一致，
可以使用和实盘相同的代码进行回测。
'''
from __future__ import division
from datetime import datetime, timedelta
from collections import OrderedDict
from itertools import product
import pymongo
from ctaBase import *
@ -40,6 +42,9 @@ class BacktestingEngine(object):
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
# 引擎类型为回测
self.engineType = ENGINETYPE_BACKTESTING
# 回测相关
self.strategy = None # 回测策略
self.mode = self.BAR_MODE # 回测模式，默认为K线
@ -55,6 +60,9 @@ class BacktestingEngine(object):
self.initData = [] # 初始化用的数据
#self.backtestingData = [] # 回测用的数据
self.dbName = '' # 回测数据库名
self.symbol = '' # 回测集合名
self.dataStartDate = None # 回测数据开始日期，datetime对象
self.dataEndDate = None # 回测数据结束日期，datetime对象
self.strategyStartDate = None # 策略启动日期（即前面的数据用于初始化），datetime对象
@ -91,14 +99,20 @@ class BacktestingEngine(object):
def setBacktestingMode(self, mode):
"""设置回测模式"""
self.mode = mode
#----------------------------------------------------------------------
def loadHistoryData(self, dbName, symbol):
def setDatabase(self, dbName, symbol):
"""设置历史数据所用的数据库"""
self.dbName = dbName
self.symbol = symbol
#----------------------------------------------------------------------
def loadHistoryData(self):
"""载入历史数据"""
host, port = loadMongoSetting()
self.dbClient = pymongo.MongoClient(host, port)
collection = self.dbClient[dbName][symbol]
collection = self.dbClient[self.dbName][self.symbol]
self.output(u'开始载入数据')
@ -134,6 +148,9 @@ class BacktestingEngine(object):
#----------------------------------------------------------------------
def runBacktesting(self):
"""运行回测"""
# 载入历史数据
self.loadHistoryData()
# 首先根据回测模式，确认要使用的数据类
if self.mode == self.BAR_MODE:
dataClass = CtaBarData
@ -279,13 +296,15 @@ class BacktestingEngine(object):
"""基于最新数据撮合限价单"""
# 先确定会撮合成交的价格
if self.mode == self.BAR_MODE:
buyCrossPrice = self.bar.low # 若买入方向限价单价格高于该价格，则会成交
sellCrossPrice = self.bar.high # 若卖出方向限价单价格低于该价格，则会成交
bestCrossPrice = self.bar.open # 在当前时间点前发出的委托可能的最优成交价
buyCrossPrice = self.bar.low # 若买入方向限价单价格高于该价格，则会成交
sellCrossPrice = self.bar.high # 若卖出方向限价单价格低于该价格，则会成交
buyBestCrossPrice = self.bar.open # 在当前时间点前发出的买入委托可能的最优成交价
sellBestCrossPrice = self.bar.open # 在当前时间点前发出的卖出委托可能的最优成交价
else:
buyCrossPrice = self.tick.lastPrice
sellCrossPrice = self.tick.lastPrice
bestCrossPrice = self.tick.lastPrice
buyCrossPrice = self.tick.askPrice1
sellCrossPrice = self.tick.bidPrice1
buyBestCrossPrice = self.tick.askPrice1
sellBestCrossPrice = self.tick.bidPrice1
# 遍历限价单字典中的所有限价单
for orderID, order in self.workingLimitOrderDict.items():
@ -312,10 +331,10 @@ class BacktestingEngine(object):
# 2. 假设在上一根K线结束(也是当前K线开始)的时刻，策略发出的委托为限价105
# 3. 则在实际中的成交价会是100而不是105，因为委托发出时市场的最优价格是100
if buyCross:
trade.price = min(order.price, bestCrossPrice)
trade.price = min(order.price, buyBestCrossPrice)
self.strategy.pos += order.totalVolume
else:
trade.price = max(order.price, bestCrossPrice)
trade.price = max(order.price, sellBestCrossPrice)
self.strategy.pos -= order.totalVolume
trade.volume = order.totalVolume
@ -429,23 +448,21 @@ class BacktestingEngine(object):
#----------------------------------------------------------------------
def output(self, content):
"""输出内容"""
print content
print str(datetime.now()) + "\t" + content
#----------------------------------------------------------------------
def showBacktestingResult(self):
def calculateBacktestingResult(self):
"""
显示回测结果
计算回测结果
"""
self.output(u'显示回测结果')
self.output(u'计算回测结果')
# 首先基于回测后的成交记录，计算每笔交易的盈亏
pnlDict = OrderedDict() # 每笔盈亏的记录
resultList = [] # 交易结果列表
longTrade = [] # 未平仓的多头交易
shortTrade = [] # 未平仓的空头交易
# 计算滑点，一个来回包括两次
totalSlippage = self.slippage * 2
for trade in self.tradeDict.values():
# 多头交易
if trade.direction == DIRECTION_LONG:
@ -454,71 +471,191 @@ class BacktestingEngine(object):
longTrade.append(trade)
# 当前多头交易为平空
else:
entryTrade = shortTrade.pop(0)
# 计算比例佣金
commission = (trade.price+entryTrade.price) * self.rate
# 计算盈亏
pnl = ((trade.price - entryTrade.price)*(-1) - totalSlippage - commission) \
* trade.volume * self.size
pnlDict[trade.dt] = pnl
while True:
entryTrade = shortTrade[0]
exitTrade = trade
# 清算开平仓交易
closedVolume = min(exitTrade.volume, entryTrade.volume)
result = TradingResult(entryTrade.price, entryTrade.dt,
exitTrade.price, exitTrade.dt,
-closedVolume, self.rate, self.slippage, self.size)
resultList.append(result)
# 计算未清算部分
entryTrade.volume -= closedVolume
exitTrade.volume -= closedVolume
# 如果开仓交易已经全部清算，则从列表中移除
if not entryTrade.volume:
shortTrade.pop(0)
# 如果平仓交易已经全部清算，则退出循环
if not exitTrade.volume:
break
# 如果平仓交易未全部清算，
if exitTrade.volume:
# 且开仓交易已经全部清算完，则平仓交易剩余的部分
# 等于新的反向开仓交易，添加到队列中
if not shortTrade:
longTrade.append(exitTrade)
break
# 如果开仓交易还有剩余，则进入下一轮循环
else:
pass
# 空头交易
else:
# 如果尚无多头交易
if not longTrade:
shortTrade.append(trade)
# 当前空头交易为平多
else:
entryTrade = longTrade.pop(0)
# 计算比例佣金
commission = (trade.price+entryTrade.price) * self.rate
# 计算盈亏
pnl = ((trade.price - entryTrade.price) - totalSlippage - commission) \
* trade.volume * self.size
pnlDict[trade.dt] = pnl
else:
while True:
entryTrade = longTrade[0]
exitTrade = trade
# 清算开平仓交易
closedVolume = min(exitTrade.volume, entryTrade.volume)
result = TradingResult(entryTrade.price, entryTrade.dt,
exitTrade.price, exitTrade.dt,
closedVolume, self.rate, self.slippage, self.size)
resultList.append(result)
# 计算未清算部分
entryTrade.volume -= closedVolume
exitTrade.volume -= closedVolume
# 如果开仓交易已经全部清算，则从列表中移除
if not entryTrade.volume:
longTrade.pop(0)
# 如果平仓交易已经全部清算，则退出循环
if not exitTrade.volume:
break
# 如果平仓交易未全部清算，
if exitTrade.volume:
# 且开仓交易已经全部清算完，则平仓交易剩余的部分
# 等于新的反向开仓交易，添加到队列中
if not longTrade:
shortTrade.append(exitTrade)
break
# 如果开仓交易还有剩余，则进入下一轮循环
else:
pass
# 检查是否有交易
if not resultList:
self.output(u'无交易结果')
return {}
# 然后基于每笔交易的结果，我们可以计算具体的盈亏曲线和最大回撤等
timeList = pnlDict.keys()
pnlList = pnlDict.values()
# 然后基于每笔交易的结果，我们可以计算具体的盈亏曲线和最大回撤等
capital = 0 # 资金
maxCapital = 0 # 资金最高净值
drawdown = 0 # 回撤
capital = 0
maxCapital = 0
drawdown = 0
totalResult = 0 # 总成交数量
totalTurnover = 0 # 总成交金额（合约面值）
totalCommission = 0 # 总手续费
totalSlippage = 0 # 总滑点
timeList = [] # 时间序列
pnlList = [] # 每笔盈亏序列
capitalList = [] # 盈亏汇总的时间序列
maxCapitalList = [] # 最高盈利的时间序列
drawdownList = [] # 回撤的时间序列
for pnl in pnlList:
capital += pnl
winningResult = 0 # 盈利次数
losingResult = 0 # 亏损次数
totalWinning = 0 # 总盈利金额
totalLosing = 0 # 总亏损金额
for result in resultList:
capital += result.pnl
maxCapital = max(capital, maxCapital)
drawdown = capital - maxCapital
pnlList.append(result.pnl)
timeList.append(result.exitDt) # 交易的时间戳使用平仓时间
capitalList.append(capital)
maxCapitalList.append(maxCapital)
drawdownList.append(drawdown)
# 输出
self.output('-' * 50)
self.output(u'第一笔交易时间：%s' % timeList[0])
self.output(u'最后一笔交易时间：%s' % timeList[-1])
self.output(u'总交易次数：%s' % len(pnlList))
self.output(u'总盈亏：%s' % capitalList[-1])
self.output(u'最大回撤: %s' % min(drawdownList))
totalResult += 1
totalTurnover += result.turnover
totalCommission += result.commission
totalSlippage += result.slippage
if result.pnl >= 0:
winningResult += 1
totalWinning += result.pnl
else:
losingResult += 1
totalLosing += result.pnl
# 计算盈亏相关数据
winningRate = winningResult/totalResult*100 # 胜率
averageWinning = totalWinning/winningResult # 平均每笔盈利
averageLosing = totalLosing/losingResult # 平均每笔亏损
profitLossRatio = -averageWinning/averageLosing # 盈亏比
# 返回回测结果
d = {}
d['capital'] = capital
d['maxCapital'] = maxCapital
d['drawdown'] = drawdown
d['totalResult'] = totalResult
d['totalTurnover'] = totalTurnover
d['totalCommission'] = totalCommission
d['totalSlippage'] = totalSlippage
d['timeList'] = timeList
d['pnlList'] = pnlList
d['capitalList'] = capitalList
d['drawdownList'] = drawdownList
d['winningRate'] = winningRate
d['averageWinning'] = averageWinning
d['averageLosing'] = averageLosing
d['profitLossRatio'] = profitLossRatio
return d
#----------------------------------------------------------------------
def showBacktestingResult(self):
"""显示回测结果"""
d = self.calculateBacktestingResult()
# 输出
self.output('-' * 30)
self.output(u'第一笔交易：\t%s' % d['timeList'][0])
self.output(u'最后一笔交易：\t%s' % d['timeList'][-1])
self.output(u'总交易次数：\t%s' % formatNumber(d['totalResult']))
self.output(u'总盈亏：\t%s' % formatNumber(d['capital']))
self.output(u'最大回撤: \t%s' % formatNumber(min(d['drawdownList'])))
self.output(u'平均每笔盈利：\t%s' %formatNumber(d['capital']/d['totalResult']))
self.output(u'平均每笔滑点：\t%s' %formatNumber(d['totalSlippage']/d['totalResult']))
self.output(u'平均每笔佣金：\t%s' %formatNumber(d['totalCommission']/d['totalResult']))
self.output(u'胜率\t\t%s%%' %formatNumber(d['winningRate']))
self.output(u'平均每笔盈利\t%s' %formatNumber(d['averageWinning']))
self.output(u'平均每笔亏损\t%s' %formatNumber(d['averageLosing']))
self.output(u'盈亏比：\t%s' %formatNumber(d['profitLossRatio']))
# 绘图
import matplotlib.pyplot as plt
pCapital = plt.subplot(3, 1, 1)
pCapital.set_ylabel("capital")
pCapital.plot(capitalList)
pCapital.plot(d['capitalList'])
pDD = plt.subplot(3, 1, 2)
pDD.set_ylabel("DD")
pDD.bar(range(len(drawdownList)), drawdownList)
pDD.bar(range(len(d['drawdownList'])), d['drawdownList'])
pPnl = plt.subplot(3, 1, 3)
pPnl.set_ylabel("pnl")
pPnl.hist(pnlList, bins=20)
pPnl.hist(d['pnlList'], bins=50)
plt.show()
@ -529,7 +666,7 @@ class BacktestingEngine(object):
#----------------------------------------------------------------------
def setSlippage(self, slippage):
"""设置滑点"""
"""设置滑点点数"""
self.slippage = slippage
#----------------------------------------------------------------------
@ -542,6 +679,142 @@ class BacktestingEngine(object):
"""设置佣金比例"""
self.rate = rate
#----------------------------------------------------------------------
def runOptimization(self, strategyClass, optimizationSetting):
"""优化参数"""
# 获取优化设置
settingList = optimizationSetting.generateSetting()
targetName = optimizationSetting.optimizeTarget
# 检查参数设置问题
if not settingList or not targetName:
self.output(u'优化设置有问题，请检查')
# 遍历优化
resultList = []
for setting in settingList:
self.clearBacktestingResult()
self.output('-' * 30)
self.output('setting: %s' %str(setting))
self.initStrategy(strategyClass, setting)
self.runBacktesting()
d = self.calculateBacktestingResult()
try:
targetValue = d[targetName]
except KeyError:
targetValue = 0
resultList.append(([str(setting)], targetValue))
# 显示结果
resultList.sort(reverse=True, key=lambda result:result[1])
self.output('-' * 30)
self.output(u'优化结果：')
for result in resultList:
self.output(u'%s: %s' %(result[0], result[1]))
#----------------------------------------------------------------------
def clearBacktestingResult(self):
"""清空之前回测的结果"""
# 清空限价单相关
self.limitOrderCount = 0
self.limitOrderDict.clear()
self.workingLimitOrderDict.clear()
# 清空停止单相关
self.stopOrderCount = 0
self.stopOrderDict.clear()
self.workingStopOrderDict.clear()
# 清空成交相关
self.tradeCount = 0
self.tradeDict.clear()
########################################################################
class TradingResult(object):
"""每笔交易的结果"""
#----------------------------------------------------------------------
def __init__(self, entryPrice, entryDt, exitPrice,
exitDt, volume, rate, slippage, size):
"""Constructor"""
self.entryPrice = entryPrice # 开仓价格
self.exitPrice = exitPrice # 平仓价格
self.entryDt = entryDt # 开仓时间datetime
self.exitDt = exitDt # 平仓时间
self.volume = volume # 交易数量（+/-代表方向）
self.turnover = (self.entryPrice+self.exitPrice)*size*abs(volume) # 成交金额
self.commission = self.turnover*rate # 手续费成本
self.slippage = slippage*2*size*abs(volume) # 滑点成本
self.pnl = ((self.exitPrice - self.entryPrice) * volume * size
- self.commission - self.slippage) # 净盈亏
########################################################################
class OptimizationSetting(object):
"""优化设置"""
#----------------------------------------------------------------------
def __init__(self):
"""Constructor"""
self.paramDict = OrderedDict()
self.optimizeTarget = '' # 优化目标字段
#----------------------------------------------------------------------
def addParameter(self, name, start, end, step):
"""增加优化参数"""
if end <= start:
print u'参数起始点必须小于终止点'
return
if step <= 0:
print u'参数布进必须大于0'
return
l = []
param = start
while param <= end:
l.append(param)
param += step
self.paramDict[name] = l
#----------------------------------------------------------------------
def generateSetting(self):
"""生成优化参数组合"""
# 参数名的列表
nameList = self.paramDict.keys()
paramList = self.paramDict.values()
# 使用迭代工具生产参数对组合
productList = list(product(*paramList))
# 把参数对组合打包到一个个字典组成的列表中
settingList = []
for p in productList:
d = dict(zip(nameList, p))
settingList.append(d)
return settingList
#----------------------------------------------------------------------
def setOptimizeTarget(self, target):
"""设置优化目标字段"""
self.optimizeTarget = target
#----------------------------------------------------------------------
def formatNumber(n):
"""格式化数字到字符串"""
n = round(n, 2) # 保留两位小数
return format(n, ',') # 加上千分符
if __name__ == '__main__':
@ -560,7 +833,7 @@ if __name__ == '__main__':
engine.setStartDate('20110101')
# 载入历史数据到引擎中
engine.loadHistoryData(MINUTE_DB_NAME, 'IF0000')
engine.setDatabase(MINUTE_DB_NAME, 'IF0000')
# 设置产品相关参数
engine.setSlippage(0.2) # 股指1跳

3
vn.trader/ctaAlgo/ctaBase.py
View File

@ -33,6 +33,9 @@ TICK_DB_NAME = 'VnTrader_Tick_Db'
DAILY_DB_NAME = 'VnTrader_Daily_Db'
MINUTE_DB_NAME = 'VnTrader_1Min_Db'
# 引擎类型，用于区分当前策略的运行环境
ENGINETYPE_BACKTESTING = 'backtesting' # 回测
ENGINETYPE_TRADING = 'trading' # 实盘
# CTA引擎中涉及的数据类定义
from vtConstant import EMPTY_UNICODE, EMPTY_STRING, EMPTY_FLOAT, EMPTY_INT

7
vn.trader/ctaAlgo/ctaDemo.py
View File

@ -61,6 +61,13 @@ class DoubleEmaDemo(CtaTemplate):
"""Constructor"""
super(DoubleEmaDemo, self).__init__(ctaEngine, setting)
# 注意策略类中的可变对象属性（通常是list和dict等），在策略初始化时需要重新创建，
# 否则会出现多个策略实例之间数据共享的情况，有可能导致潜在的策略逻辑错误风险，
# 策略类中的这些可变对象属性可以选择不写，全都放在__init__下面，写主要是为了阅读
# 策略时方便（更多是个编程习惯的选择）
self.fastMa = []
self.slowMa = []
#----------------------------------------------------------------------
def onInit(self):
"""初始化策略（必须由用户继承实现）"""

3
vn.trader/ctaAlgo/ctaEngine.py
View File

@ -70,6 +70,9 @@ class CtaEngine(object):
# key为vtSymbol，value为PositionBuffer对象
self.posBufferDict = {}
# 引擎类型为实盘
self.engineType = ENGINETYPE_TRADING
# 注册事件监听
self.registerEvent()

2
vn.trader/ctaAlgo/ctaHistoryData.py
View File

@ -278,7 +278,7 @@ class HistoryDataEngine(object):
params = {}
params['ticker'] = symbol
if last:
params['startDate'] = last['date']
params['beginDate'] = last['date']
data = self.datayesClient.downloadData(path, params)

2
vn.trader/ctaAlgo/ctaSetting.py
View File

@ -8,9 +8,7 @@
在CTA_setting.json中写入具体每个策略对象的类和合约设置。
'''
from ctaTemplate import DataRecorder
from ctaDemo import DoubleEmaDemo
STRATEGY_CLASS = {}
STRATEGY_CLASS['DataRecorder'] = DataRecorder
STRATEGY_CLASS['DoubleEmaDemo'] = DoubleEmaDemo

116
vn.trader/ctaAlgo/ctaTemplate.py
View File

@ -120,11 +120,16 @@ class CtaTemplate(object):
vtOrderID = self.ctaEngine.sendOrder(self.vtSymbol, orderType, price, volume, self)
return vtOrderID
else:
return None
# 交易停止时发单返回空字符串
return ''
#----------------------------------------------------------------------
def cancelOrder(self, vtOrderID):
"""撤单"""
# 如果发单号为空字符串，则不进行后续操作
if not vtOrderID:
return
if STOPORDERPREFIX in vtOrderID:
self.ctaEngine.cancelStopOrder(vtOrderID)
else:
@ -160,112 +165,9 @@ class CtaTemplate(object):
def putEvent(self):
"""发出策略状态变化事件"""
self.ctaEngine.putStrategyEvent(self.name)
########################################################################
class DataRecorder(CtaTemplate):
"""
纯粹用来记录历史数据的工具（基于CTA策略），
建议运行在实际交易程序外的一个vn.trader实例中，
本工具会记录Tick和1分钟K线数据。
"""
className = 'DataRecorder'
author = u'用Python的交易员'
# 策略的基本参数
name = EMPTY_UNICODE # 策略实例名称
vtSymbol = EMPTY_STRING # 交易的合约vt系统代码
# 策略的变量
bar = None # K线数据对象
barMinute = EMPTY_STRING # 当前的分钟，初始化设为-1
# 变量列表，保存了变量的名称
varList = ['inited',
'trading',
'pos',
'barMinute']
#----------------------------------------------------------------------
def __init__(self, ctaEngine, setting):
"""Constructor"""
super(DataRecorder, self).__init__(ctaEngine, setting)
#----------------------------------------------------------------------
def onInit(self):
"""初始化"""
self.writeCtaLog(u'数据记录工具初始化')
#----------------------------------------------------------------------
def onStart(self):
"""启动策略（必须由用户继承实现）"""
self.writeCtaLog(u'数据记录工具启动')
self.putEvent()
def getEngineType(self):
"""查询当前运行的环境"""
return self.ctaEngine.engineType
#----------------------------------------------------------------------
def onStop(self):
"""停止策略（必须由用户继承实现）"""
self.writeCtaLog(u'数据记录工具停止')
self.putEvent()
#----------------------------------------------------------------------
def onTick(self, tick):
"""收到行情TICK推送"""
# 收到Tick后，首先插入到数据库里
self.insertTick(tick)
# 计算K线
tickMinute = tick.datetime.minute
if tickMinute != self.barMinute: # 如果分钟变了，则把旧的K线插入数据库，并生成新的K线
if self.bar:
self.onBar(self.bar)
bar = CtaBarData() # 创建新的K线，目的在于防止之前K线对象在插入Mongo中被再次修改，导致出错
bar.vtSymbol = tick.vtSymbol
bar.symbol = tick.symbol
bar.exchange = tick.exchange
bar.open = tick.lastPrice
bar.high = tick.lastPrice
bar.low = tick.lastPrice
bar.close = tick.lastPrice
bar.date = tick.date
bar.time = tick.time
bar.datetime = tick.datetime # K线的时间设为第一个Tick的时间
bar.volume = tick.volume
bar.openInterest = tick.openInterest
self.bar = bar # 这种写法为了减少一层访问，加快速度
self.barMinute = tickMinute # 更新当前的分钟
else: # 否则继续累加新的K线
bar = self.bar # 写法同样为了加快速度
bar.high = max(bar.high, tick.lastPrice)
bar.low = min(bar.low, tick.lastPrice)
bar.close = tick.lastPrice
bar.volume = bar.volume + tick.volume # 成交量是累加的
bar.openInterest = tick.openInterest # 持仓量直接更新
#----------------------------------------------------------------------
def onOrder(self, order):
"""收到委托变化推送"""
pass
#----------------------------------------------------------------------
def onTrade(self, trade):
"""收到成交推送"""
pass
#----------------------------------------------------------------------
def onBar(self, bar):
"""收到Bar推送"""
self.insertBar(bar)

33
vn.trader/ctaAlgo/strategyAtrRsi.py
View File

@ -80,6 +80,11 @@ class AtrRsiStrategy(CtaTemplate):
def __init__(self, ctaEngine, setting):
"""Constructor"""
super(AtrRsiStrategy, self).__init__(ctaEngine, setting)
# 注意策略类中的可变对象属性（通常是list和dict等），在策略初始化时需要重新创建，
# 否则会出现多个策略实例之间数据共享的情况，有可能导致潜在的策略逻辑错误风险，
# 策略类中的这些可变对象属性可以选择不写，全都放在__init__下面，写主要是为了阅读
# 策略时方便（更多是个编程习惯的选择）
#----------------------------------------------------------------------
def onInit(self):
@ -194,14 +199,12 @@ class AtrRsiStrategy(CtaTemplate):
if self.rsiValue > self.rsiBuy:
# 这里为了保证成交，选择超价5个整指数点下单
self.buy(bar.close+5, 1)
return
if self.rsiValue < self.rsiSell:
elif self.rsiValue < self.rsiSell:
self.short(bar.close-5, 1)
return
# 持有多头仓位
if self.pos == 1:
elif self.pos > 0:
# 计算多头持有期内的最高价，以及重置最低价
self.intraTradeHigh = max(self.intraTradeHigh, bar.high)
self.intraTradeLow = bar.low
@ -210,17 +213,15 @@ class AtrRsiStrategy(CtaTemplate):
# 发出本地止损委托，并且把委托号记录下来，用于后续撤单
orderID = self.sell(longStop, 1, stop=True)
self.orderList.append(orderID)
return
# 持有空头仓位
if self.pos == -1:
elif self.pos < 0:
self.intraTradeLow = min(self.intraTradeLow, bar.low)
self.intraTradeHigh = bar.high
shortStop = self.intraTradeLow * (1+self.trailingPercent/100)
orderID = self.cover(shortStop, 1, stop=True)
self.orderList.append(orderID)
return
# 发出状态更新事件
self.putEvent()
@ -250,16 +251,17 @@ if __name__ == '__main__':
# 设置回测用的数据起始日期
engine.setStartDate('20120101')
# 载入历史数据到引擎中
engine.loadHistoryData(MINUTE_DB_NAME, 'IF0000')
# 设置产品相关参数
engine.setSlippage(0.2) # 股指1跳
engine.setRate(0.3/10000) # 万0.3
engine.setSize(300) # 股指合约大小
engine.setSize(300) # 股指合约大小
# 设置使用的历史数据库
engine.setDatabase(MINUTE_DB_NAME, 'IF0000')
# 在引擎中创建策略对象
engine.initStrategy(AtrRsiStrategy, {})
d = {'atrLength': 11}
engine.initStrategy(AtrRsiStrategy, d)
# 开始跑回测
engine.runBacktesting()
@ -267,4 +269,11 @@ if __name__ == '__main__':
# 显示回测结果
engine.showBacktestingResult()
## 跑优化
#setting = OptimizationSetting() # 新建一个优化任务设置对象
#setting.setOptimizeTarget('capital') # 设置优化排序的目标是策略净盈利
#setting.addParameter('atrLength', 11, 12, 1) # 增加第一个优化参数atrLength，起始11，结束12，步进1
#setting.addParameter('atrMa', 20, 30, 5) # 增加第二个优化参数atrMa，起始20，结束30，步进1
#engine.runOptimization(AtrRsiStrategy, setting) # 运行优化函数，自动输出结果

789
vn.trader/ctpGateway/ctpDataType.py
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File diff suppressed because it is too large Load Diff

377
vn.trader/ctpGateway/ctpGateway.py
View File

@ -41,14 +41,11 @@ offsetMapReverse = {v:k for k,v in offsetMap.items()}
# 交易所类型映射
exchangeMap = {}
#exchangeMap[EXCHANGE_CFFEX] = defineDict['THOST_FTDC_EIDT_CFFEX']
#exchangeMap[EXCHANGE_SHFE] = defineDict['THOST_FTDC_EIDT_SHFE']
#exchangeMap[EXCHANGE_CZCE] = defineDict['THOST_FTDC_EIDT_CZCE']
#exchangeMap[EXCHANGE_DCE] = defineDict['THOST_FTDC_EIDT_DCE']
exchangeMap[EXCHANGE_CFFEX] = 'CFFEX'
exchangeMap[EXCHANGE_SHFE] = 'SHFE'
exchangeMap[EXCHANGE_CZCE] = 'CZCE'
exchangeMap[EXCHANGE_DCE] = 'DCE'
exchangeMap[EXCHANGE_SSE] = 'SSE'
exchangeMap[EXCHANGE_UNKNOWN] = ''
exchangeMapReverse = {v:k for k,v in exchangeMap.items()}
@ -59,6 +56,14 @@ posiDirectionMap[DIRECTION_LONG] = defineDict["THOST_FTDC_PD_Long"]
posiDirectionMap[DIRECTION_SHORT] = defineDict["THOST_FTDC_PD_Short"]
posiDirectionMapReverse = {v:k for k,v in posiDirectionMap.items()}
# 产品类型映射
productClassMap = {}
productClassMap[PRODUCT_FUTURES] = defineDict["THOST_FTDC_PC_Futures"]
productClassMap[PRODUCT_OPTION] = defineDict["THOST_FTDC_PC_Options"]
productClassMap[PRODUCT_COMBINATION] = defineDict["THOST_FTDC_PC_Combination"]
productClassMapReverse = {v:k for k,v in productClassMap.items()}
########################################################################
class CtpGateway(VtGateway):
@ -284,7 +289,7 @@ class CtpMdApi(MdApi):
# 如果登出成功，推送日志信息
if error['ErrorID'] == 0:
self.loginStatus = False
self.gateway.tdConnected = False
self.gateway.mdConnected = False
log = VtLogData()
log.gatewayName = self.gatewayName
@ -439,41 +444,43 @@ class CtpTdApi(TdApi):
self.sessionID = EMPTY_INT # 会话编号
self.posBufferDict = {} # 缓存持仓数据的字典
self.symbolExchangeDict = {} # 保存合约代码和交易所的印射关系
self.symbolSizeDict = {} # 保存合约代码和合约大小的印射关系
#----------------------------------------------------------------------
def onFrontConnected(self):
"""服务器连接"""
self.connectionStatus = True
log = VtLogData()
log.gatewayName = self.gatewayName
log.logContent = u'交易服务器连接成功'
self.gateway.onLog(log)
self.login()
self.login()
#----------------------------------------------------------------------
def onFrontDisconnected(self, n):
"""服务器断开"""
self.connectionStatus = False
self.loginStatus = False
self.gateway.tdConnected = False
log = VtLogData()
log.gatewayName = self.gatewayName
log.logContent = u'交易服务器连接断开'
self.gateway.onLog(log)
self.gateway.onLog(log)
#----------------------------------------------------------------------
def onHeartBeatWarning(self, n):
""""""
pass
#----------------------------------------------------------------------
def onRspAuthenticate(self, data, error, n, last):
""""""
pass
#----------------------------------------------------------------------
def onRspUserLogin(self, data, error, n, last):
"""登陆回报"""
@ -482,7 +489,7 @@ class CtpTdApi(TdApi):
self.frontID = str(data['FrontID'])
self.sessionID = str(data['SessionID'])
self.loginStatus = True
self.gateway.mdConnected = True
self.gateway.tdConnected = True
log = VtLogData()
log.gatewayName = self.gatewayName
@ -503,7 +510,7 @@ class CtpTdApi(TdApi):
err.errorID = error['ErrorID']
err.errorMsg = error['ErrorMsg'].decode('gbk')
self.gateway.onError(err)
#----------------------------------------------------------------------
def onRspUserLogout(self, data, error, n, last):
"""登出回报"""
@ -524,17 +531,17 @@ class CtpTdApi(TdApi):
err.errorID = error['ErrorID']
err.errorMsg = error['ErrorMsg'].decode('gbk')
self.gateway.onError(err)
#----------------------------------------------------------------------
def onRspUserPasswordUpdate(self, data, error, n, last):
""""""
pass
#----------------------------------------------------------------------
def onRspTradingAccountPasswordUpdate(self, data, error, n, last):
""""""
pass
#----------------------------------------------------------------------
def onRspOrderInsert(self, data, error, n, last):
"""发单错误（柜台）"""
@ -543,17 +550,17 @@ class CtpTdApi(TdApi):
err.errorID = error['ErrorID']
err.errorMsg = error['ErrorMsg'].decode('gbk')
self.gateway.onError(err)
#----------------------------------------------------------------------
def onRspParkedOrderInsert(self, data, error, n, last):
""""""
pass
#----------------------------------------------------------------------
def onRspParkedOrderAction(self, data, error, n, last):
""""""
pass
#----------------------------------------------------------------------
def onRspOrderAction(self, data, error, n, last):
"""撤单错误（柜台）"""
@ -562,12 +569,12 @@ class CtpTdApi(TdApi):
err.errorID = error['ErrorID']
err.errorMsg = error['ErrorMsg'].decode('gbk')
self.gateway.onError(err)
#----------------------------------------------------------------------
def onRspQueryMaxOrderVolume(self, data, error, n, last):
""""""
pass
#----------------------------------------------------------------------
def onRspSettlementInfoConfirm(self, data, error, n, last):
"""确认结算信息回报"""
@ -575,7 +582,7 @@ class CtpTdApi(TdApi):
log.gatewayName = self.gatewayName
log.logContent = u'结算信息确认完成'
self.gateway.onLog(log)
# 查询合约代码
self.reqID += 1
self.reqQryInstrument({}, self.reqID)
@ -584,47 +591,57 @@ class CtpTdApi(TdApi):
def onRspRemoveParkedOrder(self, data, error, n, last):
""""""
pass
#----------------------------------------------------------------------
def onRspRemoveParkedOrderAction(self, data, error, n, last):
""""""
pass
#----------------------------------------------------------------------
def onRspExecOrderInsert(self, data, error, n, last):
""""""
pass
#----------------------------------------------------------------------
def onRspExecOrderAction(self, data, error, n, last):
""""""
pass
#----------------------------------------------------------------------
def onRspForQuoteInsert(self, data, error, n, last):
""""""
pass
#----------------------------------------------------------------------
def onRspQuoteInsert(self, data, error, n, last):
""""""
pass
#----------------------------------------------------------------------
def onRspQuoteAction(self, data, error, n, last):
""""""
pass
#----------------------------------------------------------------------
def onRspLockInsert(self, data, error, n, last):
""""""
pass
#----------------------------------------------------------------------
def onRspCombActionInsert(self, data, error, n, last):
""""""
pass
#----------------------------------------------------------------------
def onRspQryOrder(self, data, error, n, last):
""""""
pass
#----------------------------------------------------------------------
def onRspQryTrade(self, data, error, n, last):
""""""
pass
#----------------------------------------------------------------------
def onRspQryInvestorPosition(self, data, error, n, last):
"""持仓查询回报"""
@ -638,19 +655,24 @@ class CtpTdApi(TdApi):
self.posBufferDict[positionName] = posBuffer
# 更新持仓缓存，并获取VT系统中持仓对象的返回值
pos = posBuffer.updateBuffer(data)
exchange = self.symbolExchangeDict.get(data['InstrumentID'], EXCHANGE_UNKNOWN)
size = self.symbolSizeDict.get(data['InstrumentID'], 1)
if exchange == EXCHANGE_SHFE:
pos = posBuffer.updateShfeBuffer(data, size)
else:
pos = posBuffer.updateBuffer(data, size)
self.gateway.onPosition(pos)
#----------------------------------------------------------------------
def onRspQryTradingAccount(self, data, error, n, last):
"""资金账户查询回报"""
account = VtAccountData()
account.gatewayName = self.gatewayName
# 账户代码
account.accountID = data['AccountID']
account.vtAccountID = '.'.join([self.gatewayName, account.accountID])
# 数值相关
account.preBalance = data['PreBalance']
account.available = data['Available']
@ -658,46 +680,46 @@ class CtpTdApi(TdApi):
account.margin = data['CurrMargin']
account.closeProfit = data['CloseProfit']
account.positionProfit = data['PositionProfit']
# 这里的balance和快期中的账户不确定是否一样，需要测试
account.balance = (data['PreBalance'] - data['PreCredit'] - data['PreMortgage'] +
data['Mortgage'] - data['Withdraw'] + data['Deposit'] +
data['CloseProfit'] + data['PositionProfit'] + data['CashIn'] -
data['Commission'])
# 推送
self.gateway.onAccount(account)
#----------------------------------------------------------------------
def onRspQryInvestor(self, data, error, n, last):
"""投资者查询回报"""
""""""
pass
#----------------------------------------------------------------------
def onRspQryTradingCode(self, data, error, n, last):
""""""
pass
#----------------------------------------------------------------------
def onRspQryInstrumentMarginRate(self, data, error, n, last):
""""""
pass
#----------------------------------------------------------------------
def onRspQryInstrumentCommissionRate(self, data, error, n, last):
""""""
pass
#----------------------------------------------------------------------
def onRspQryExchange(self, data, error, n, last):
""""""
pass
#----------------------------------------------------------------------
def onRspQryProduct(self, data, error, n, last):
""""""
pass
#----------------------------------------------------------------------
def onRspQryInstrument(self, data, error, n, last):
"""合约查询回报"""
@ -708,143 +730,179 @@ class CtpTdApi(TdApi):
contract.exchange = exchangeMapReverse[data['ExchangeID']]
contract.vtSymbol = contract.symbol #'.'.join([contract.symbol, contract.exchange])
contract.name = data['InstrumentName'].decode('GBK')
# 合约数值
contract.size = data['VolumeMultiple']
contract.priceTick = data['PriceTick']
contract.strikePrice = data['StrikePrice']
contract.underlyingSymbol = data['UnderlyingInstrID']
# 合约类型
if data['ProductClass'] == '1':
contract.productClass = PRODUCT_FUTURES
elif data['ProductClass'] == '2':
contract.productClass = PRODUCT_OPTION
elif data['ProductClass'] == '3':
contract.productClass = PRODUCT_COMBINATION
else:
contract.productClass = PRODUCT_UNKNOWN
contract.productClass = productClassMapReverse.get(data['ProductClass'], PRODUCT_UNKNOWN)
# 期权类型
if data['OptionsType'] == '1':
contract.optionType = OPTION_CALL
elif data['OptionsType'] == '2':
contract.optionType = OPTION_PUT
# 缓存代码和交易所的印射关系
self.symbolExchangeDict[contract.symbol] = contract.exchange
self.symbolSizeDict[contract.symbol] = contract.size
# 推送
self.gateway.onContract(contract)
if last:
log = VtLogData()
log.gatewayName = self.gatewayName
log.logContent = u'交易合约信息获取完成'
self.gateway.onLog(log)
#----------------------------------------------------------------------
def onRspQryDepthMarketData(self, data, error, n, last):
""""""
pass
#----------------------------------------------------------------------
def onRspQrySettlementInfo(self, data, error, n, last):
"""查询结算信息回报"""
""""""
pass
#----------------------------------------------------------------------
def onRspQryTransferBank(self, data, error, n, last):
""""""
pass
#----------------------------------------------------------------------
def onRspQryInvestorPositionDetail(self, data, error, n, last):
""""""
pass
#----------------------------------------------------------------------
def onRspQryNotice(self, data, error, n, last):
""""""
pass
#----------------------------------------------------------------------
def onRspQrySettlementInfoConfirm(self, data, error, n, last):
""""""
pass
#----------------------------------------------------------------------
def onRspQryInvestorPositionCombineDetail(self, data, error, n, last):
""""""
pass
#----------------------------------------------------------------------
def onRspQryCFMMCTradingAccountKey(self, data, error, n, last):
""""""
pass
#----------------------------------------------------------------------
def onRspQryEWarrantOffset(self, data, error, n, last):
""""""
pass
#----------------------------------------------------------------------
def onRspQryInvestorProductGroupMargin(self, data, error, n, last):
""""""
pass
#----------------------------------------------------------------------
def onRspQryExchangeMarginRate(self, data, error, n, last):
""""""
pass
#----------------------------------------------------------------------
def onRspQryExchangeMarginRateAdjust(self, data, error, n, last):
""""""
pass
#----------------------------------------------------------------------
def onRspQryExchangeRate(self, data, error, n, last):
""""""
pass
#----------------------------------------------------------------------
def onRspQrySecAgentACIDMap(self, data, error, n, last):
""""""
pass
#----------------------------------------------------------------------
def onRspQryProductExchRate(self, data, error, n, last):
""""""
pass
#----------------------------------------------------------------------
def onRspQryProductGroup(self, data, error, n, last):
""""""
pass
#----------------------------------------------------------------------
def onRspQryOptionInstrTradeCost(self, data, error, n, last):
""""""
pass
#----------------------------------------------------------------------
def onRspQryOptionInstrCommRate(self, data, error, n, last):
""""""
pass
#----------------------------------------------------------------------
def onRspQryExecOrder(self, data, error, n, last):
""""""
pass
#----------------------------------------------------------------------
def onRspQryForQuote(self, data, error, n, last):
""""""
pass
#----------------------------------------------------------------------
def onRspQryQuote(self, data, error, n, last):
""""""
pass
#----------------------------------------------------------------------
def onRspQryLock(self, data, error, n, last):
""""""
pass
#----------------------------------------------------------------------
def onRspQryLockPosition(self, data, error, n, last):
""""""
pass
#----------------------------------------------------------------------
def onRspQryInvestorLevel(self, data, error, n, last):
""""""
pass
#----------------------------------------------------------------------
def onRspQryExecFreeze(self, data, error, n, last):
""""""
pass
#----------------------------------------------------------------------
def onRspQryCombInstrumentGuard(self, data, error, n, last):
""""""
pass
#----------------------------------------------------------------------
def onRspQryCombAction(self, data, error, n, last):
""""""
pass
#----------------------------------------------------------------------
def onRspQryTransferSerial(self, data, error, n, last):
""""""
pass
#----------------------------------------------------------------------
def onRspQryAccountregister(self, data, error, n, last):
""""""
pass
#----------------------------------------------------------------------
def onRspError(self, error, n, last):
"""错误回报"""
@ -853,7 +911,7 @@ class CtpTdApi(TdApi):
err.errorID = error['ErrorID']
err.errorMsg = error['ErrorMsg'].decode('gbk')
self.gateway.onError(err)
#----------------------------------------------------------------------
def onRtnOrder(self, data):
"""报单回报"""
@ -917,7 +975,7 @@ class CtpTdApi(TdApi):
# 推送
self.gateway.onOrder(order)
#----------------------------------------------------------------------
def onRtnTrade(self, data):
"""成交回报"""
@ -949,7 +1007,7 @@ class CtpTdApi(TdApi):
# 推送
self.gateway.onTrade(trade)
#----------------------------------------------------------------------
def onErrRtnOrderInsert(self, data, error):
"""发单错误回报（交易所）"""
@ -958,7 +1016,7 @@ class CtpTdApi(TdApi):
err.errorID = error['ErrorID']
err.errorMsg = error['ErrorMsg'].decode('gbk')
self.gateway.onError(err)
#----------------------------------------------------------------------
def onErrRtnOrderAction(self, data, error):
"""撤单错误回报（交易所）"""
@ -967,202 +1025,233 @@ class CtpTdApi(TdApi):
err.errorID = error['ErrorID']
err.errorMsg = error['ErrorMsg'].decode('gbk')
self.gateway.onError(err)
#----------------------------------------------------------------------
def onRtnInstrumentStatus(self, data):
""""""
pass
#----------------------------------------------------------------------
def onRtnTradingNotice(self, data):
""""""
pass
#----------------------------------------------------------------------
def onRtnErrorConditionalOrder(self, data):
""""""
pass
#----------------------------------------------------------------------
def onRtnExecOrder(self, data):
""""""
pass
#----------------------------------------------------------------------
def onErrRtnExecOrderInsert(self, data, error):
""""""
pass
#----------------------------------------------------------------------
def onErrRtnExecOrderAction(self, data, error):
""""""
pass
#----------------------------------------------------------------------
def onErrRtnForQuoteInsert(self, data, error):
""""""
pass
#----------------------------------------------------------------------
def onRtnQuote(self, data):
""""""
pass
#----------------------------------------------------------------------
def onErrRtnQuoteInsert(self, data, error):
""""""
pass
#----------------------------------------------------------------------
def onErrRtnQuoteAction(self, data, error):
""""""
pass
#----------------------------------------------------------------------
def onRtnForQuoteRsp(self, data):
""""""
pass
#----------------------------------------------------------------------
def onRtnCFMMCTradingAccountToken(self, data):
""""""
pass
#----------------------------------------------------------------------
def onRtnLock(self, data):
""""""
pass
#----------------------------------------------------------------------
def onErrRtnLockInsert(self, data, error):
""""""
pass
#----------------------------------------------------------------------
def onRtnCombAction(self, data):
""""""
pass
#----------------------------------------------------------------------
def onErrRtnCombActionInsert(self, data, error):
""""""
pass
#----------------------------------------------------------------------
def onRspQryContractBank(self, data, error, n, last):
""""""
pass
#----------------------------------------------------------------------
def onRspQryParkedOrder(self, data, error, n, last):
""""""
pass
#----------------------------------------------------------------------
def onRspQryParkedOrderAction(self, data, error, n, last):
""""""
pass
#----------------------------------------------------------------------
def onRspQryTradingNotice(self, data, error, n, last):
""""""
pass
#----------------------------------------------------------------------
def onRspQryBrokerTradingParams(self, data, error, n, last):
""""""
pass
#----------------------------------------------------------------------
def onRspQryBrokerTradingAlgos(self, data, error, n, last):
""""""
pass
#----------------------------------------------------------------------
def onRspQueryCFMMCTradingAccountToken(self, data, error, n, last):
""""""
pass
#----------------------------------------------------------------------
def onRtnFromBankToFutureByBank(self, data):
""""""
pass
#----------------------------------------------------------------------
def onRtnFromFutureToBankByBank(self, data):
""""""
pass
#----------------------------------------------------------------------
def onRtnRepealFromBankToFutureByBank(self, data):
""""""
pass
#----------------------------------------------------------------------
def onRtnRepealFromFutureToBankByBank(self, data):
""""""
pass
#----------------------------------------------------------------------
def onRtnFromBankToFutureByFuture(self, data):
""""""
pass
#----------------------------------------------------------------------
def onRtnFromFutureToBankByFuture(self, data):
""""""
pass
#----------------------------------------------------------------------
def onRtnRepealFromBankToFutureByFutureManual(self, data):
""""""
pass
#----------------------------------------------------------------------
def onRtnRepealFromFutureToBankByFutureManual(self, data):
""""""
pass
#----------------------------------------------------------------------
def onRtnQueryBankBalanceByFuture(self, data):
""""""
pass
#----------------------------------------------------------------------
def onErrRtnBankToFutureByFuture(self, data, error):
""""""
pass
#----------------------------------------------------------------------
def onErrRtnFutureToBankByFuture(self, data, error):
""""""
pass
#----------------------------------------------------------------------
def onErrRtnRepealBankToFutureByFutureManual(self, data, error):
""""""
pass
#----------------------------------------------------------------------
def onErrRtnRepealFutureToBankByFutureManual(self, data, error):
""""""
pass
#----------------------------------------------------------------------
def onErrRtnQueryBankBalanceByFuture(self, data, error):
""""""
pass
#----------------------------------------------------------------------
def onRtnRepealFromBankToFutureByFuture(self, data):
""""""
pass
#----------------------------------------------------------------------
def onRtnRepealFromFutureToBankByFuture(self, data):
""""""
pass
#----------------------------------------------------------------------
def onRspFromBankToFutureByFuture(self, data, error, n, last):
""""""
pass
#----------------------------------------------------------------------
def onRspFromFutureToBankByFuture(self, data, error, n, last):
""""""
pass
#----------------------------------------------------------------------
def onRspQueryBankAccountMoneyByFuture(self, data, error, n, last):
""""""
pass
#----------------------------------------------------------------------
def onRtnOpenAccountByBank(self, data):
""""""
pass
#----------------------------------------------------------------------
def onRtnCancelAccountByBank(self, data):
""""""
pass
#----------------------------------------------------------------------
def onRtnChangeAccountByBank(self, data):
""""""
pass
#----------------------------------------------------------------------
def connect(self, userID, password, brokerID, address):
"""初始化连接"""
@ -1313,15 +1402,16 @@ class PositionBuffer(object):
self.pos = pos
#----------------------------------------------------------------------
def updateBuffer(self, data):
"""更新缓存，返回更新后的持仓数据"""
def updateShfeBuffer(self, data, size):
"""更新上期所缓存，返回更新后的持仓数据"""
# 昨仓和今仓的数据更新是分在两条记录里的，因此需要判断检查该条记录对应仓位
if data['TodayPosition']:
self.todayPosition = data['Position']
self.todayPositionCost = data['PositionCost']
elif data['YdPosition']:
# 因为今仓字段TodayPosition可能变为0（被全部平仓），因此分辨今昨仓需要用YdPosition字段
if data['YdPosition']:
self.ydPosition = data['Position']
self.ydPositionCost = data['PositionCost']
self.ydPositionCost = data['PositionCost']
else:
self.todayPosition = data['Position']
self.todayPositionCost = data['PositionCost']
# 持仓的昨仓和今仓相加后为总持仓
self.pos.position = self.todayPosition + self.ydPosition
@ -1330,12 +1420,27 @@ class PositionBuffer(object):
# 如果手头还有持仓，则通过加权平均方式计算持仓均价
if self.todayPosition or self.ydPosition:
self.pos.price = ((self.todayPositionCost + self.ydPositionCost)/
(self.todayPosition + self.ydPosition))
((self.todayPosition + self.ydPosition) * size))
# 否则价格为0
else:
self.pos.price = 0
return copy(self.pos)
#----------------------------------------------------------------------
def updateBuffer(self, data, size):
"""更新其他交易所的缓存，返回更新后的持仓数据"""
# 其他交易所并不区分今昨，因此只关心总仓位，昨仓设为0
self.pos.position = data['Position']
self.pos.ydPosition = 0
if data['Position']:
self.pos.price = data['PositionCost'] / (data['Position'] * size)
else:
self.pos.price = 0
return copy(self.pos)
#----------------------------------------------------------------------
def test():

2
vn.trader/dataRecorder/DR_setting.json
View File

@ -3,7 +3,7 @@
"tick":
[
["IF1605", "SGIT"],
["m1609", "XSPEED"],
["IF1606", "SGIT"],
["IH1606", "SGIT"],
["IH1606", "SGIT"],

38
vn.trader/dataRecorder/drEngine.py
View File

@ -11,6 +11,8 @@ import os
import copy
from collections import OrderedDict
from datetime import datetime, timedelta
from Queue import Queue
from threading import Thread
from eventEngine import *
from vtGateway import VtSubscribeReq, VtLogData
@ -43,6 +45,11 @@ class DrEngine(object):
# K线对象字典
self.barDict = {}
# 负责执行数据库插入的单独线程相关
self.active = False # 工作状态
self.queue = Queue() # 队列
self.thread = Thread(target=self.run) # 线程
# 载入设置，订阅行情
self.loadSetting()
@ -111,9 +118,12 @@ class DrEngine(object):
# 注意这里的vtSymbol对于IB和LTS接口，应该后缀.交易所
for activeSymbol, vtSymbol in d.items():
self.activeSymbolDict[vtSymbol] = activeSymbol
# 启动数据插入线程
self.start()
# 注册事件监听
self.registerEvent()
self.registerEvent()
#----------------------------------------------------------------------
def procecssTickEvent(self, event):
@ -187,7 +197,29 @@ class DrEngine(object):
#----------------------------------------------------------------------
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__)
self.queue.put((dbName, collectionName, data.__dict__))
#----------------------------------------------------------------------
def run(self):
"""运行插入线程"""
while self.active:
try:
dbName, collectionName, d = self.queue.get(block=True, timeout=1)
self.mainEngine.dbInsert(dbName, collectionName, d)
except Empty:
pass
#----------------------------------------------------------------------
def start(self):
"""启动"""
self.active = True
self.thread.start()
#----------------------------------------------------------------------
def stop(self):
"""退出"""
if self.active:
self.active = False
self.thread.join()
#----------------------------------------------------------------------
def writeDrLog(self, content):

8
vn.trader/ltsGateway/ltsGateway.py
View File

@ -193,7 +193,7 @@ class LtsGateway(VtGateway):
########################################################################
class LtsMdApi(MdApi):
class LtsMdApi(MdApi):
"""Lts行情API实现"""
#----------------------------------------------------------------------
@ -733,6 +733,10 @@ class LtsTdApi(TdApi):
os.makedirs(path)
self.createFtdcTraderApi(path)
# 设置数据同步模式为推送从今日开始所有数据
self.subscribePrivateTopic(0)
self.subscribePublicTopic(0)
# 注册服务器地址
self.registerFront(self.address)
@ -1153,7 +1157,7 @@ class LtsQryApi(QryApi):
# 持仓均价
if pos.position:
pos.price = data['PositionCost'] / pos.position
pos.price = data['OpenCost'] / pos.position
# VT系统持仓名
pos.vtPositionName = '.'.join([pos.vtSymbol, pos.direction])

7
vn.trader/okcoinGateway/OKCOIN_connect.json Normal file
View File

@ -0,0 +1,7 @@
{
"host": "CNY",
"apiKey": "OKCOIN网站申请",
"secretKey": "OKCOIN网站申请",
"trace": false,
"leverage": 20
}

0
vn.trader/okcoinGateway/__init__.py Normal file
View File

657
vn.trader/okcoinGateway/okcoinGateway.py Normal file
View File

@ -0,0 +1,657 @@
# encoding: UTF-8
'''
vn.okcoin的gateway接入
注意：
1. 该接口尚处于测试阶段，用于实盘请谨慎
2. 目前仅支持USD和CNY的现货交易，USD的期货合约交易暂不支持
'''
import os
import json
from datetime import datetime
from copy import copy
from threading import Condition
import vnokcoin
from vtGateway import *
# 价格类型映射
priceTypeMap = {}
priceTypeMap['buy'] = (DIRECTION_LONG, PRICETYPE_LIMITPRICE)
priceTypeMap['buy_market'] = (DIRECTION_LONG, PRICETYPE_MARKETPRICE)
priceTypeMap['sell'] = (DIRECTION_SHORT, PRICETYPE_LIMITPRICE)
priceTypeMap['sell_market'] = (DIRECTION_SHORT, PRICETYPE_MARKETPRICE)
priceTypeMapReverse = {v: k for k, v in priceTypeMap.items()}
# 方向类型映射
directionMap = {}
directionMapReverse = {v: k for k, v in directionMap.items()}
# 委托状态印射
statusMap = {}
statusMap[-1] = STATUS_CANCELLED
statusMap[0] = STATUS_NOTTRADED
statusMap[1] = STATUS_PARTTRADED
statusMap[2] = STATUS_ALLTRADED
statusMap[4] = STATUS_UNKNOWN
############################################
## 交易合约代码
############################################
# USD
BTC_USD_SPOT = 'BTC_USD_SPOT'
BTC_USD_THISWEEK = 'BTC_USD_THISWEEK'
BTC_USD_NEXTWEEK = 'BTC_USD_NEXTWEEK'
BTC_USD_QUARTER = 'BTC_USD_QUARTER'
LTC_USD_SPOT = 'LTC_USD_SPOT'
LTC_USD_THISWEEK = 'LTC_USD_THISWEEK'
LTC_USD_NEXTWEEK = 'LTC_USD_NEXTWEEK'
LTC_USD_QUARTER = 'LTC_USD_QUARTER'
# CNY
BTC_CNY_SPOT = 'BTC_CNY_SPOT'
LTC_CNY_SPOT = 'LTC_CNY_SPOT'
# 印射字典
spotSymbolMap = {}
spotSymbolMap['ltc_usd'] = LTC_USD_SPOT
spotSymbolMap['btc_usd'] = BTC_USD_SPOT
spotSymbolMap['ltc_cny'] = LTC_CNY_SPOT
spotSymbolMap['btc_cny'] = BTC_CNY_SPOT
spotSymbolMapReverse = {v: k for k, v in spotSymbolMap.items()}
############################################
## Channel和Symbol的印射
############################################
channelSymbolMap = {}
# USD
channelSymbolMap['ok_sub_spotusd_btc_ticker'] = BTC_USD_SPOT
channelSymbolMap['ok_sub_spotusd_ltc_ticker'] = LTC_USD_SPOT
channelSymbolMap['ok_sub_spotusd_btc_depth_20'] = BTC_USD_SPOT
channelSymbolMap['ok_sub_spotusd_ltc_depth_20'] = LTC_USD_SPOT
# CNY
channelSymbolMap['ok_sub_spotcny_btc_ticker'] = BTC_CNY_SPOT
channelSymbolMap['ok_sub_spotcny_ltc_ticker'] = LTC_CNY_SPOT
channelSymbolMap['ok_sub_spotcny_btc_depth_20'] = BTC_CNY_SPOT
channelSymbolMap['ok_sub_spotcny_ltc_depth_20'] = LTC_CNY_SPOT
########################################################################
class OkcoinGateway(VtGateway):
"""OkCoin接口"""
#----------------------------------------------------------------------
def __init__(self, eventEngine, gatewayName='OKCOIN'):
"""Constructor"""
super(OkcoinGateway, self).__init__(eventEngine, gatewayName)
self.api = Api(self)
self.leverage = 0
self.connected = False
#----------------------------------------------------------------------
def connect(self):
"""连接"""
# 载入json文件
fileName = self.gatewayName + '_connect.json'
fileName = os.getcwd() + '/okcoinGateway/' + fileName
try:
f = file(fileName)
except IOError:
log = VtLogData()
log.gatewayName = self.gatewayName
log.logContent = u'读取连接配置出错，请检查'
self.onLog(log)
return
# 解析json文件
setting = json.load(f)
try:
host = str(setting['host'])
apiKey = str(setting['apiKey'])
secretKey = str(setting['secretKey'])
trace = setting['trace']
leverage = setting['leverage']
except KeyError:
log = VtLogData()
log.gatewayName = self.gatewayName
log.logContent = u'连接配置缺少字段，请检查'
self.onLog(log)
return
# 初始化接口
self.leverage = leverage
if host == 'CNY':
host = vnokcoin.OKCOIN_CNY
else:
host = vnokcoin.OKCOIN_USD
self.api.connect(host, apiKey, secretKey, trace)
log = VtLogData()
log.gatewayName = self.gatewayName
log.logContent = u'接口初始化成功'
self.onLog(log)
# 启动查询
self.initQuery()
self.startQuery()
#----------------------------------------------------------------------
def subscribe(self, subscribeReq):
"""订阅行情"""
pass
#----------------------------------------------------------------------
def sendOrder(self, orderReq):
"""发单"""
return self.api.spotSendOrder(orderReq)
#----------------------------------------------------------------------
def cancelOrder(self, cancelOrderReq):
"""撤单"""
self.api.spotCancel(cancelOrderReq)
#----------------------------------------------------------------------
def qryAccount(self):
"""查询账户资金"""
self.api.spotUserInfo()
#----------------------------------------------------------------------
def qryPosition(self):
"""查询持仓"""
pass
#----------------------------------------------------------------------
def close(self):
"""关闭"""
pass
#----------------------------------------------------------------------
def initQuery(self):
"""初始化连续查询"""
if self.qryEnabled:
# 需要循环的查询函数列表
self.qryFunctionList = [self.qryAccount]
self.qryCount = 0 # 查询触发倒计时
self.qryTrigger = 2 # 查询触发点
self.qryNextFunction = 0 # 上次运行的查询函数索引
self.startQuery()
#----------------------------------------------------------------------
def query(self, event):
"""注册到事件处理引擎上的查询函数"""
self.qryCount += 1
if self.qryCount > self.qryTrigger:
# 清空倒计时
self.qryCount = 0
# 执行查询函数
function = self.qryFunctionList[self.qryNextFunction]
function()
# 计算下次查询函数的索引，如果超过了列表长度，则重新设为0
self.qryNextFunction += 1
if self.qryNextFunction == len(self.qryFunctionList):
self.qryNextFunction = 0
#----------------------------------------------------------------------
def startQuery(self):
"""启动连续查询"""
self.eventEngine.register(EVENT_TIMER, self.query)
#----------------------------------------------------------------------
def setQryEnabled(self, qryEnabled):
"""设置是否要启动循环查询"""
self.qryEnabled = qryEnabled
########################################################################
class Api(vnokcoin.OkCoinApi):
"""OkCoin的API实现"""
#----------------------------------------------------------------------
def __init__(self, gateway):
"""Constructor"""
super(Api, self).__init__()
self.gateway = gateway # gateway对象
self.gatewayName = gateway.gatewayName # gateway对象名称
self.cbDict = {}
self.tickDict = {}
self.orderDict = {}
self.lastOrderID = ''
self.orderCondition = Condition()
self.initCallback()
#----------------------------------------------------------------------
def onMessage(self, ws, evt):
"""信息推送"""
data = self.readData(evt)[0]
channel = data['channel']
callback = self.cbDict[channel]
callback(data)
#----------------------------------------------------------------------
def onError(self, ws, evt):
"""错误推送"""
error = VtErrorData()
error.gatewayName = self.gatewayName
error.errorMsg = str(evt)
self.gateway.onError(error)
#----------------------------------------------------------------------
def onClose(self, ws):
"""接口断开"""
self.gateway.connected = True
self.writeLog(u'服务器连接断开')
#----------------------------------------------------------------------
def onOpen(self, ws):
self.gateway.connected = True
self.writeLog(u'服务器连接成功')
# 连接后查询账户和委托数据
self.spotUserInfo()
self.spotOrderInfo(vnokcoin.TRADING_SYMBOL_LTC, '-1')
self.spotOrderInfo(vnokcoin.TRADING_SYMBOL_BTC, '-1')
# 连接后订阅现货的成交和账户数据
self.subscribeSpotTrades()
self.subscribeSpotUserInfo()
self.subscribeSpotTicker(vnokcoin.SYMBOL_BTC)
self.subscribeSpotTicker(vnokcoin.SYMBOL_LTC)
self.subscribeSpotDepth(vnokcoin.SYMBOL_BTC, vnokcoin.DEPTH_20)
self.subscribeSpotDepth(vnokcoin.SYMBOL_LTC, vnokcoin.DEPTH_20)
# 如果连接的是USD网站则订阅期货相关回报数据
if self.currency == vnokcoin.CURRENCY_USD:
self.subscribeFutureTrades()
self.subscribeFutureUserInfo()
self.subscribeFuturePositions()
# 返回合约信息
if self.currency == vnokcoin.CURRENCY_CNY:
l = self.generateCnyContract()
else:
l = self.generateUsdContract()
for contract in l:
contract.gatewayName = self.gatewayName
self.gateway.onContract(contract)
#----------------------------------------------------------------------
def writeLog(self, content):
"""快速记录日志"""
log = VtLogData()
log.gatewayName = self.gatewayName
log.logContent = content
self.gateway.onLog(log)
#----------------------------------------------------------------------
def initCallback(self):
"""初始化回调函数"""
# USD_SPOT
self.cbDict['ok_sub_spotusd_btc_ticker'] = self.onTicker
self.cbDict['ok_sub_spotusd_ltc_ticker'] = self.onTicker
self.cbDict['ok_sub_spotusd_btc_depth_20'] = self.onDepth
self.cbDict['ok_sub_spotusd_ltc_depth_20'] = self.onDepth
self.cbDict['ok_spotusd_userinfo'] = self.onSpotUserInfo
self.cbDict['ok_spotusd_orderinfo'] = self.onSpotOrderInfo
self.cbDict['ok_sub_spotusd_userinfo'] = self.onSpotSubUserInfo
self.cbDict['ok_sub_spotusd_trades'] = self.onSpotSubTrades
self.cbDict['ok_spotusd_trade'] = self.onSpotTrade
self.cbDict['ok_spotusd_cancel_order'] = self.onSpotCancelOrder
# CNY_SPOT
self.cbDict['ok_sub_spotcny_btc_ticker'] = self.onTicker
self.cbDict['ok_sub_spotcny_ltc_ticker'] = self.onTicker
self.cbDict['ok_sub_spotcny_btc_depth_20'] = self.onDepth
self.cbDict['ok_sub_spotcny_ltc_depth_20'] = self.onDepth
self.cbDict['ok_spotcny_userinfo'] = self.onSpotUserInfo
self.cbDict['ok_spotcny_orderinfo'] = self.onSpotOrderInfo
self.cbDict['ok_sub_spotcny_userinfo'] = self.onSpotSubUserInfo
self.cbDict['ok_sub_spotcny_trades'] = self.onSpotSubTrades
self.cbDict['ok_spotcny_trade'] = self.onSpotTrade
self.cbDict['ok_spotcny_cancel_order'] = self.onSpotCancelOrder
# USD_FUTURES
#----------------------------------------------------------------------
def onTicker(self, data):
""""""
if 'data' not in data:
return
channel = data['channel']
symbol = channelSymbolMap[channel]
if symbol not in self.tickDict:
tick = VtTickData()
tick.symbol = symbol
tick.vtSymbol = symbol
tick.gatewayName = self.gatewayName
self.tickDict[symbol] = tick
else:
tick = self.tickDict[symbol]
rawData = data['data']
tick.highPrice = float(rawData['high'])
tick.lowPrice = float(rawData['low'])
tick.lastPrice = float(rawData['last'])
tick.volume = float(rawData['vol'].replace(',', ''))
tick.date, tick.time = generateDateTime(rawData['timestamp'])
newtick = copy(tick)
self.gateway.onTick(newtick)
#----------------------------------------------------------------------
def onDepth(self, data):
""""""
if 'data' not in data:
return
channel = data['channel']
symbol = channelSymbolMap[channel]
if symbol not in self.tickDict:
tick = VtTickData()
tick.symbol = symbol
tick.vtSymbol = symbol
tick.gatewayName = self.gatewayName
self.tickDict[symbol] = tick
else:
tick = self.tickDict[symbol]
if 'data' not in data:
return
rawData = data['data']
tick.bidPrice1, tick.bidVolume1 = rawData['bids'][0]
tick.bidPrice2, tick.bidVolume2 = rawData['bids'][1]
tick.bidPrice3, tick.bidVolume3 = rawData['bids'][2]
tick.bidPrice4, tick.bidVolume4 = rawData['bids'][3]
tick.bidPrice5, tick.bidVolume5 = rawData['bids'][4]
tick.askPrice1, tick.askVolume1 = rawData['asks'][0]
tick.askPrice2, tick.askVolume2 = rawData['asks'][1]
tick.askPrice3, tick.askVolume3 = rawData['asks'][2]
tick.askPrice4, tick.askVolume4 = rawData['asks'][3]
tick.askPrice5, tick.askVolume5 = rawData['asks'][4]
newtick = copy(tick)
self.gateway.onTick(newtick)
#----------------------------------------------------------------------
def onSpotUserInfo(self, data):
"""现货账户资金推送"""
rawData = data['data']
info = rawData['info']
funds = rawData['info']['funds']
# 持仓信息
for symbol in ['btc', 'ltc', self.currency]:
if symbol in funds['free']:
pos = VtPositionData()
pos.gatewayName = self.gatewayName
pos.symbol = symbol
pos.vtSymbol = symbol
pos.vtPositionName = symbol
pos.direction = DIRECTION_NET
pos.frozen = float(funds['freezed'][symbol])
pos.position = pos.frozen + float(funds['free'][symbol])
self.gateway.onPosition(pos)
# 账户资金
account = VtAccountData()
account.gatewayName = self.gatewayName
account.accountID = self.gatewayName
account.vtAccountID = account.accountID
account.balance = float(funds['asset']['net'])
self.gateway.onAccount(account)
#----------------------------------------------------------------------
def onSpotSubUserInfo(self, data):
"""现货账户资金推送"""
if 'data' not in data:
return
rawData = data['data']
info = rawData['info']
# 持仓信息
for symbol in ['btc', 'ltc', self.currency]:
if symbol in info['free']:
pos = VtPositionData()
pos.gatewayName = self.gatewayName
pos.symbol = symbol
pos.vtSymbol = symbol
pos.vtPositionName = symbol
pos.direction = DIRECTION_NET
pos.frozen = float(info['freezed'][symbol])
pos.position = pos.frozen + float(info['free'][symbol])
self.gateway.onPosition(pos)
#----------------------------------------------------------------------
def onSpotSubTrades(self, data):
"""成交和委托推送"""
if 'data' not in data:
return
rawData = data['data']
# 委托信息
orderID = str(rawData['orderId'])
if orderID not in self.orderDict:
order = VtOrderData()
order.gatewayName = self.gatewayName
order.symbol = spotSymbolMap[rawData['symbol']]
order.vtSymbol = order.symbol
order.orderID = str(rawData['orderId'])
order.vtOrderID = '.'.join([self.gatewayName, order.orderID])
order.price = float(rawData['tradeUnitPrice'])
order.totalVolume = float(rawData['tradeAmount'])
order.direction, priceType = priceTypeMap[rawData['tradeType']]
self.orderDict[orderID] = order
else:
order = self.orderDict[orderID]
order.tradedVolume = float(rawData['completedTradeAmount'])
order.status = statusMap[rawData['status']]
self.gateway.onOrder(copy(order))
# 成交信息
if 'sigTradeAmount' in rawData and float(rawData['sigTradeAmount'])>0:
trade = VtTradeData()
trade.gatewayName = self.gatewayName
trade.symbol = spotSymbolMap[rawData['symbol']]
trade.vtSymbol = order.symbol
trade.tradeID = str(rawData['id'])
trade.vtTradeID = '.'.join([self.gatewayName, trade.tradeID])
trade.orderID = str(rawData['orderId'])
trade.vtOrderID = '.'.join([self.gatewayName, trade.orderID])
trade.price = float(rawData['sigTradePrice'])
trade.volume = float(rawData['sigTradeAmount'])
trade.direction, priceType = priceTypeMap[rawData['tradeType']]
trade.tradeTime = datetime.now().strftime('%H:%M:%S')
self.gateway.onTrade(trade)
#----------------------------------------------------------------------
def onSpotOrderInfo(self, data):
"""委托信息查询回调"""
rawData = data['data']
for d in rawData['orders']:
orderID = str(d['order_id'])
if orderID not in self.orderDict:
order = VtOrderData()
order.gatewayName = self.gatewayName
order.symbol = spotSymbolMap[d['symbol']]
order.vtSymbol = order.symbol
order.orderID = str(d['order_id'])
order.vtOrderID = '.'.join([self.gatewayName, order.orderID])
order.price = d['price']
order.totalVolume = d['amount']
order.direction, priceType = priceTypeMap[d['type']]
self.orderDict[orderID] = order
else:
order = self.orderDict[orderID]
order.tradedVolume = d['deal_amount']
order.status = statusMap[d['status']]
self.gateway.onOrder(copy(order))
#----------------------------------------------------------------------
def generateSpecificContract(self, contract, symbol):
"""生成合约"""
new = copy(contract)
new.symbol = symbol
new.vtSymbol = symbol
new.name = symbol
return new
#----------------------------------------------------------------------
def generateCnyContract(self):
"""生成CNY合约信息"""
contractList = []
contract = VtContractData()
contract.exchange = EXCHANGE_OKCOIN
contract.productClass = PRODUCT_SPOT
contract.size = 1
contract.priceTick = 0.01
contractList.append(self.generateSpecificContract(contract, BTC_CNY_SPOT))
contractList.append(self.generateSpecificContract(contract, LTC_CNY_SPOT))
return contractList
#----------------------------------------------------------------------
def generateUsdContract(self):
"""生成USD合约信息"""
contractList = []
# 现货
contract = VtContractData()
contract.exchange = EXCHANGE_OKCOIN
contract.productClass = PRODUCT_SPOT
contract.size = 1
contract.priceTick = 0.01
contractList.append(self.generateSpecificContract(contract, BTC_USD_SPOT))
contractList.append(self.generateSpecificContract(contract, LTC_USD_SPOT))
# 期货
contract.productClass = PRODUCT_FUTURES
contractList.append(self.generateSpecificContract(contract, BTC_USD_THISWEEK))
contractList.append(self.generateSpecificContract(contract, BTC_USD_NEXTWEEK))
contractList.append(self.generateSpecificContract(contract, BTC_USD_QUARTER))
contractList.append(self.generateSpecificContract(contract, LTC_USD_THISWEEK))
contractList.append(self.generateSpecificContract(contract, LTC_USD_NEXTWEEK))
contractList.append(self.generateSpecificContract(contract, LTC_USD_QUARTER))
return contractList
#----------------------------------------------------------------------
def onSpotTrade(self, data):
"""委托回报"""
rawData = data['data']
self.lastOrderID = rawData['order_id']
# 收到委托号后，通知发送委托的线程返回委托号
self.orderCondition.acquire()
self.orderCondition.notify()
self.orderCondition.release()
#----------------------------------------------------------------------
def onSpotCancelOrder(self, data):
"""撤单回报"""
pass
#----------------------------------------------------------------------
def spotSendOrder(self, req):
"""发单"""
symbol = spotSymbolMapReverse[req.symbol][:4]
type_ = priceTypeMapReverse[(req.direction, req.priceType)]
self.spotTrade(symbol, type_, str(req.price), str(req.volume))
# 等待发单回调推送委托号信息
self.orderCondition.acquire()
self.orderCondition.wait()
self.orderCondition.release()
vtOrderID = '.'.join([self.gatewayName, self.lastOrderID])
self.lastOrderID = ''
return vtOrderID
#----------------------------------------------------------------------
def spotCancel(self, req):
"""撤单"""
symbol = spotSymbolMapReverse[req.symbol][:4]
self.spotCancelOrder(symbol, req.orderID)
#----------------------------------------------------------------------
def generateDateTime(s):
"""生成时间"""
dt = datetime.fromtimestamp(float(s)/1e3)
time = dt.strftime("%H:%M:%S.%f")
date = dt.strftime("%Y%m%d")
return date, time

382
vn.trader/okcoinGateway/vnokcoin.py Normal file
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# encoding: UTF-8
import hashlib
import zlib
import json
from time import sleep
from threading import Thread
import websocket
# OKCOIN网站
OKCOIN_CNY = 'wss://real.okcoin.cn:10440/websocket/okcoinapi'
OKCOIN_USD = 'wss://real.okcoin.com:10440/websocket/okcoinapi'
# 账户货币代码
CURRENCY_CNY = 'cny'
CURRENCY_USD = 'usd'
# 电子货币代码
SYMBOL_BTC = 'btc'
SYMBOL_LTC = 'ltc'
# 行情深度
DEPTH_20 = 20
DEPTH_60 = 60
# K线时间区间
INTERVAL_1M = '1min'
INTERVAL_3M = '3min'
INTERVAL_5M = '5min'
INTERVAL_15M = '15min'
INTERVAL_30M = '30min'
INTERVAL_1H = '1hour'
INTERVAL_2H = '2hour'
INTERVAL_4H = '4hour'
INTERVAL_6H = '6hour'
INTERVAL_1D = 'day'
INTERVAL_3D = '3day'
INTERVAL_1W = 'week'
# 交易代码，需要后缀货币名才能完整
TRADING_SYMBOL_BTC = 'btc_'
TRADING_SYMBOL_LTC = 'ltc_'
# 委托类型
TYPE_BUY = 'buy'
TYPE_SELL = 'sell'
TYPE_BUY_MARKET = 'buy_market'
TYPE_SELL_MARKET = 'sell_market'
# 期货合约到期类型
FUTURE_EXPIRY_THIS_WEEK = 'this_week'
FUTURE_EXPIRY_NEXT_WEEK = 'next_week'
FUTURE_EXPIRY_QUARTER = 'quarter'
# 期货委托类型
FUTURE_TYPE_LONG = 1
FUTURE_TYPE_SHORT = 2
FUTURE_TYPE_SELL = 3
FUTURE_TYPE_COVER = 4
# 期货是否用现价
FUTURE_ORDER_MARKET = 1
FUTURE_ORDER_LIMIT = 0
# 期货杠杆
FUTURE_LEVERAGE_10 = 10
FUTURE_LEVERAGE_20 = 20
# 委托状态
ORDER_STATUS_NOTTRADED = 0
ORDER_STATUS_PARTTRADED = 1
ORDER_STATUS_ALLTRADED = 2
ORDER_STATUS_CANCELLED = -1
ORDER_STATUS_CANCELLING = 4
########################################################################
class OkCoinApi(object):
"""基于Websocket的API对象"""
#----------------------------------------------------------------------
def __init__(self):
"""Constructor"""
self.apiKey = '' # 用户名
self.secretKey = '' # 密码
self.host = '' # 服务器地址
self.currency = '' # 货币类型（usd或者cny）
self.ws = None # websocket应用对象
self.thread = None # 工作线程
#######################
## 通用函数
#######################
#----------------------------------------------------------------------
def readData(self, evt):
"""解压缩推送收到的数据"""
# 创建解压器
decompress = zlib.decompressobj(-zlib.MAX_WBITS)
# 将原始数据解压成字符串
inflated = decompress.decompress(evt) + decompress.flush()
# 通过json解析字符串
data = json.loads(inflated)
return data
#----------------------------------------------------------------------
def generateSign(self, params):
"""生成签名"""
l = []
for key in sorted(params.keys()):
l.append('%s=%s' %(key, params[key]))
l.append('secret_key=%s' %self.secretKey)
sign = '&'.join(l)
return hashlib.md5(sign.encode('utf-8')).hexdigest().upper()
#----------------------------------------------------------------------
def onMessage(self, ws, evt):
"""信息推送"""
print 'onMessage'
data = self.readData(evt)
print data
#----------------------------------------------------------------------
def onError(self, ws, evt):
"""错误推送"""
print 'onError'
print evt
#----------------------------------------------------------------------
def onClose(self, ws):
"""接口断开"""
print 'onClose'
#----------------------------------------------------------------------
def onOpen(self, ws):
"""接口打开"""
print 'onOpen'
#----------------------------------------------------------------------
def connect(self, host, apiKey, secretKey, trace=False):
"""连接服务器"""
self.host = host
self.apiKey = apiKey
self.secretKey = secretKey
if self.host == OKCOIN_CNY:
self.currency = CURRENCY_CNY
else:
self.currency = CURRENCY_USD
websocket.enableTrace(trace)
self.ws = websocket.WebSocketApp(host,
on_message=self.onMessage,
on_error=self.onError,
on_close=self.onClose,
on_open=self.onOpen)
self.thread = Thread(target=self.ws.run_forever)
self.thread.start()
#----------------------------------------------------------------------
def sendMarketDataRequest(self, channel):
"""发送行情请求"""
# 生成请求
d = {}
d['event'] = 'addChannel'
d['binary'] = True
d['channel'] = channel
# 使用json打包并发送
j = json.dumps(d)
self.ws.send(j)
#----------------------------------------------------------------------
def sendTradingRequest(self, channel, params):
"""发送交易请求"""
# 在参数字典中加上api_key和签名字段
params['api_key'] = self.apiKey
params['sign'] = self.generateSign(params)
# 生成请求
d = {}
d['event'] = 'addChannel'
d['binary'] = True
d['channel'] = channel
d['parameters'] = params
# 使用json打包并发送
j = json.dumps(d)
self.ws.send(j)
#######################
## 现货相关
#######################
#----------------------------------------------------------------------
def subscribeSpotTicker(self, symbol):
"""订阅现货普通报价"""
self.sendMarketDataRequest('ok_sub_spot%s_%s_ticker' %(self.currency, symbol))
#----------------------------------------------------------------------
def subscribeSpotDepth(self, symbol, depth):
"""订阅现货深度报价"""
self.sendMarketDataRequest('ok_sub_spot%s_%s_depth_%s' %(self.currency, symbol, depth))
#----------------------------------------------------------------------
def subscribeSpotTradeData(self, symbol):
"""订阅现货成交记录"""
self.sendMarketDataRequest('ok_sub_spot%s_%s_trades' %(self.currency, symbol))
#----------------------------------------------------------------------
def subscribeSpotKline(self, symbol, interval):
"""订阅现货K线"""
self.sendMarketDataRequest('ok_sub_spot%s_%s_kline_%s' %(self.currency, symbol, interval))
#----------------------------------------------------------------------
def spotTrade(self, symbol, type_, price, amount):
"""现货委托"""
params = {}
params['symbol'] = str(symbol+self.currency)
params['type'] = str(type_)
params['price'] = str(price)
params['amount'] = str(amount)
channel = 'ok_spot%s_trade' %(self.currency)
self.sendTradingRequest(channel, params)
#----------------------------------------------------------------------
def spotCancelOrder(self, symbol, orderid):
"""现货撤单"""
params = {}
params['symbol'] = str(symbol+self.currency)
params['order_id'] = str(orderid)
channel = 'ok_spot%s_cancel_order' %(self.currency)
self.sendTradingRequest(channel, params)
#----------------------------------------------------------------------
def spotUserInfo(self):
"""查询现货账户"""
channel = 'ok_spot%s_userinfo' %(self.currency)
self.sendTradingRequest(channel, {})
#----------------------------------------------------------------------
def spotOrderInfo(self, symbol, orderid):
"""查询现货委托信息"""
params = {}
params['symbol'] = str(symbol+self.currency)
params['order_id'] = str(orderid)
channel = 'ok_spot%s_orderinfo' %(self.currency)
self.sendTradingRequest(channel, params)
#----------------------------------------------------------------------
def subscribeSpotTrades(self):
"""订阅现货成交信息"""
channel = 'ok_sub_spot%s_trades' %(self.currency)
self.sendTradingRequest(channel, {})
#----------------------------------------------------------------------
def subscribeSpotUserInfo(self):
"""订阅现货账户信息"""
channel = 'ok_sub_spot%s_userinfo' %(self.currency)
self.sendTradingRequest(channel, {})
#######################
## 期货相关
#######################
#----------------------------------------------------------------------
def subscribeFutureTicker(self, symbol, expiry):
"""订阅期货普通报价"""
self.sendMarketDataRequest('ok_sub_future%s_%s_ticker_%s' %(self.currency, symbol, expiry))
#----------------------------------------------------------------------
def subscribeFutureDepth(self, symbol, expiry, depth):
"""订阅期货深度报价"""
self.sendMarketDataRequest('ok_sub_future%s_%s_depth_%s_%s' %(self.currency, symbol,
expiry, depth))
#----------------------------------------------------------------------
def subscribeFutureTradeData(self, symbol, expiry):
"""订阅期货成交记录"""
self.sendMarketDataRequest('ok_sub_future%s_%s_trade_%s' %(self.currency, symbol, expiry))
#----------------------------------------------------------------------
def subscribeFutureKline(self, symbol, expiry, interval):
"""订阅期货K线"""
self.sendMarketDataRequest('ok_sub_future%s_%s_kline_%s_%s' %(self.currency, symbol,
expiry, interval))
#----------------------------------------------------------------------
def subscribeFutureIndex(self, symbol):
"""订阅期货指数"""
self.sendMarketDataRequest('ok_sub_future%s_%s_index' %(self.currency, symbol))
#----------------------------------------------------------------------
def futureTrade(self, symbol, expiry, type_, price, amount, order, leverage):
"""期货委托"""
params = {}
params['symbol'] = str(symbol+self.currency)
params['type'] = str(type_)
params['price'] = str(price)
params['amount'] = str(amount)
params['contract_type'] = str(expiry)
params['match_price'] = str(order)
params['lever_rate'] = str(leverage)
channel = 'ok_future%s_trade' %(self.currency)
self.sendTradingRequest(channel, params)
#----------------------------------------------------------------------
def futureCancelOrder(self, symbol, expiry, orderid):
"""期货撤单"""
params = {}
params['symbol'] = str(symbol+self.currency)
params['order_id'] = str(orderid)
params['contract_type'] = str(expiry)
channel = 'ok_future%s_cancel_order' %(self.currency)
self.sendTradingRequest(channel, params)
#----------------------------------------------------------------------
def futureUserInfo(self):
"""查询期货账户"""
channel = 'ok_future%s_userinfo' %(self.currency)
self.sendTradingRequest(channel, {})
#----------------------------------------------------------------------
def futureOrderInfo(self, symbol, expiry, orderid, status, page, length):
"""查询期货委托信息"""
params = {}
params['symbol'] = str(symbol+self.currency)
params['order_id'] = str(orderid)
params['contract_type'] = expiry
params['status'] = status
params['current_page'] = page
params['page_length'] = length
channel = 'ok_future%s_orderinfo'
self.sendTradingRequest(channel, params)
#----------------------------------------------------------------------
def subscribeFutureTrades(self):
"""订阅期货成交信息"""
channel = 'ok_sub_future%s_trades' %(self.currency)
self.sendTradingRequest(channel, {})
#----------------------------------------------------------------------
def subscribeFutureUserInfo(self):
"""订阅期货账户信息"""
channel = 'ok_sub_future%s_userinfo' %(self.currency)
self.sendTradingRequest(channel, {})
#----------------------------------------------------------------------
def subscribeFuturePositions(self):
"""订阅期货持仓信息"""
channel = 'ok_sub_future%s_positions' %(self.currency)
self.sendTradingRequest(channel, {})

21
vn.trader/uiBasicWidget.py
View File

@ -70,24 +70,6 @@ class DirectionCell(QtGui.QTableWidgetItem):
self.setText(text)
########################################################################
class NameCell(QtGui.QTableWidgetItem):
"""用来显示合约中文名的单元格"""
#----------------------------------------------------------------------
def __init__(self, text=None, mainEngine=None):
"""Constructor"""
super(NameCell, self).__init__()
self.data = None
if text:
self.setContent(text)
#----------------------------------------------------------------------
def setContent(self, text):
"""设置内容"""
self.setText(text)
########################################################################
class NameCell(QtGui.QTableWidgetItem):
"""用来显示合约中文的单元格"""
@ -458,7 +440,8 @@ class ErrorMonitor(BasicMonitor):
"""Constructor"""
super(ErrorMonitor, self).__init__(mainEngine, eventEngine, parent)
d = OrderedDict()
d = OrderedDict()
d['errorTime'] = {'chinese':u'错误时间', 'cellType':BasicCell}
d['errorID'] = {'chinese':u'错误代码', 'cellType':BasicCell}
d['errorMsg'] = {'chinese':u'错误信息', 'cellType':BasicCell}
d['additionalInfo'] = {'chinese':u'补充信息', 'cellType':BasicCell}

27
vn.trader/uiMainWindow.py
View File

@ -10,6 +10,7 @@ from riskManager.uiRmWidget import RmEngineManager
########################################################################
class MainWindow(QtGui.QMainWindow):
"""主窗口"""
signalStatusBar = QtCore.pyqtSignal(type(Event()))
#----------------------------------------------------------------------
def __init__(self, mainEngine, eventEngine):
@ -88,6 +89,9 @@ class MainWindow(QtGui.QMainWindow):
connectOandaAction = QtGui.QAction(u'连接OANDA', self)
connectOandaAction.triggered.connect(self.connectOanda)
connectOkcoinAction = QtGui.QAction(u'连接OKCOIN', self)
connectOkcoinAction.triggered.connect(self.connectOkcoin)
connectDbAction = QtGui.QAction(u'连接数据库', self)
connectDbAction.triggered.connect(self.mainEngine.dbConnect)
@ -136,6 +140,8 @@ class MainWindow(QtGui.QMainWindow):
sysMenu.addAction(connectIbAction)
if 'OANDA' in self.mainEngine.gatewayDict:
sysMenu.addAction(connectOandaAction)
if 'OKCOIN' in self.mainEngine.gatewayDict:
sysMenu.addAction(connectOkcoinAction)
sysMenu.addSeparator()
if 'Wind' in self.mainEngine.gatewayDict:
sysMenu.addAction(connectWindAction)
@ -169,7 +175,8 @@ class MainWindow(QtGui.QMainWindow):
self.sbCount = 0
self.sbTrigger = 10 # 10秒刷新一次
self.eventEngine.register(EVENT_TIMER, self.updateStatusBar)
self.signalStatusBar.connect(self.updateStatusBar)
self.eventEngine.register(EVENT_TIMER, self.signalStatusBar.emit)
#----------------------------------------------------------------------
def updateStatusBar(self, event):
@ -237,6 +244,11 @@ class MainWindow(QtGui.QMainWindow):
"""连接OANDA"""
self.mainEngine.connect('OANDA')
#----------------------------------------------------------------------
def connectOkcoin(self):
"""连接OKCOIN"""
self.mainEngine.connect('OKCOIN')
#----------------------------------------------------------------------
def test(self):
"""测试按钮用的函数"""
@ -327,8 +339,17 @@ class MainWindow(QtGui.QMainWindow):
def loadWindowSettings(self):
"""载入窗口设置"""
settings = QtCore.QSettings('vn.py', 'vn.trader')
self.restoreState(settings.value('state').toByteArray())
self.restoreGeometry(settings.value('geometry').toByteArray())
# 这里由于PyQt4的版本不同，settings.value('state')调用返回的结果可能是：
# 1. None（初次调用，注册表里无相应记录，因此为空）
# 2. QByteArray（比较新的PyQt4）
# 3. QVariant（以下代码正确执行所需的返回结果）
# 所以为了兼容考虑，这里加了一个try...except，如果是1、2的情况就pass
# 可能导致主界面的设置无法载入（每次退出时的保存其实是成功了）
try:
self.restoreState(settings.value('state').toByteArray())
self.restoreGeometry(settings.value('geometry').toByteArray())
except AttributeError:
pass
########################################################################

1
vn.trader/vtConstant.py
View File

@ -69,6 +69,7 @@ EXCHANGE_GLOBEX = 'GLOBEX' # CME电子交易平台
EXCHANGE_IDEALPRO = 'IDEALPRO' # IB外汇ECN
EXCHANGE_OANDA = 'OANDA' # OANDA外汇做市商
EXCHANGE_OKCOIN = 'OKCOIN' # OKCOIN比特币交易所
# 货币类型
CURRENCY_USD = 'USD' # 美元

14
vn.trader/vtEngine.py
View File

@ -114,6 +114,13 @@ class MainEngine(object):
self.gatewayDict['OANDA'].setQryEnabled(True)
except Exception, e:
print e
try:
from okcoinGateway.okcoinGateway import OkcoinGateway
self.addGateway(OkcoinGateway, 'OKCOIN')
self.gatewayDict['OKCOIN'].setQryEnabled(True)
except Exception, e:
print e
#----------------------------------------------------------------------
def addGateway(self, gateway, gatewayName=None):
@ -165,7 +172,7 @@ class MainEngine(object):
"""查询特定接口的账户"""
if gatewayName in self.gatewayDict:
gateway = self.gatewayDict[gatewayName]
gateway.getAccount()
gateway.qryAccount()
else:
self.writeLog(u'接口不存在：%s' %gatewayName)
@ -174,7 +181,7 @@ class MainEngine(object):
"""查询特定接口的持仓"""
if gatewayName in self.gatewayDict:
gateway = self.gatewayDict[gatewayName]
gateway.getPosition()
gateway.qryPosition()
else:
self.writeLog(u'接口不存在：%s' %gatewayName)
@ -188,6 +195,9 @@ class MainEngine(object):
# 停止事件引擎
self.eventEngine.stop()
# 停止数据记录引擎
self.drEngine.stop()
# 保存数据引擎里的合约数据到硬盘
self.dataEngine.saveContracts()

4
vn.trader/vtGateway.py
View File

@ -331,6 +331,8 @@ class VtErrorData(VtBaseData):
self.errorID = EMPTY_STRING # 错误代码
self.errorMsg = EMPTY_UNICODE # 错误信息
self.additionalInfo = EMPTY_UNICODE # 补充信息
self.errorTime = time.strftime('%X', time.localtime()) # 错误生成时间
########################################################################
@ -353,7 +355,7 @@ class VtContractData(VtBaseData):
#----------------------------------------------------------------------
def __init__(self):
"""Constructor"""
super(VtBaseData, self).__init__()
super(VtContractData, self).__init__()
self.symbol = EMPTY_STRING # 代码
self.exchange = EMPTY_STRING # 交易所代码