bug fixing
This commit is contained in:
msincenselee
parent
9347691f44
commit
5f3e781996
@ -575,7 +575,7 @@ class StrategyTemplate(object):
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raise NotImplementedError
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#----------------------------------------------------------------------
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def buy(self, price, volume, stopOrder=False):
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def buy(self, price, volume, orderTime, stopOrder=False):
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"""买入开仓"""
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if self.trading:
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if stopOrder:
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@ -584,13 +584,13 @@ class StrategyTemplate(object):
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return so
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else:
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ref = self.engine.sendOrder(self.symbol, DIRECTION_BUY,
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OFFSET_OPEN, price, volume, self)
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OFFSET_OPEN, price, volume,orderTime, self)
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return ref
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else:
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return None
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#----------------------------------------------------------------------
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def cover(self, price, volume, StopOrder=False):
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def cover(self, price, volume, orderTime, StopOrder=False):
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"""买入平仓"""
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if self.trading:
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if stopOrder:
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@ -599,13 +599,13 @@ class StrategyTemplate(object):
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return so
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else:
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ref = self.engine.sendOrder(self.symbol, DIRECTION_BUY,
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OFFSET_CLOSE, price, volume, self)
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OFFSET_CLOSE, price, volume,orderTime, self)
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return ref
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else:
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return None
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#----------------------------------------------------------------------
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def sell(self, price, volume, stopOrder=False):
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def sell(self, price, volume, orderTime,stopOrder=False):
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"""卖出平仓"""
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if self.trading:
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if stopOrder:
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@ -614,13 +614,13 @@ class StrategyTemplate(object):
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return so
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else:
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ref = self.engine.sendOrder(self.symbol, DIRECTION_SELL,
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OFFSET_CLOSE, price, volume, self)
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OFFSET_CLOSE, price, volume,orderTime, self)
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return ref
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else:
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return None
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#----------------------------------------------------------------------
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def short(self, price, volume, stopOrder=False):
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def short(self, price, volume, orderTime,stopOrder=False):
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"""卖出开仓"""
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if self.trading:
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if stopOrder:
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@ -629,7 +629,7 @@ class StrategyTemplate(object):
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return so
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else:
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ref = self.engine.sendOrder(self.symbol, DIRECTION_SELL,
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OFFSET_OPEN, price, volume, self)
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OFFSET_OPEN, price, volume,orderTime, self)
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return ref
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else:
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return None
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@ -19,14 +19,14 @@ class LimitOrder(object):
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#----------------------------------------------------------------------
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def __init__(self, symbol):
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"""Constructor"""
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self.symbol = symbol
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self.price = 0
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self.volume = 0
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self.direction = None
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self.offset = None
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self.symbol = symbol # 报单合约
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self.price = 0 # 报单价格
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self.volume = 0 # 报单合约数量
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self.direction = None # 方向
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self.offset = None # 开/平
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#Modified by Incense Lee
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self.orderTime = datetime.now() #下单时间
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self.orderTime = datetime.now() # 下单时间
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########################################################################
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@ -40,10 +40,10 @@ class BacktestingEngine(object):
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#----------------------------------------------------------------------
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def __init__(self):
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"""Constructor"""
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self.eventEngine = EventEngine() # 实例化
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self.eventEngine = EventEngine() # 实例化
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# 策略引擎
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self.strategyEngine = None # 通过setStrategyEngine进行设置
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self.strategyEngine = None # 通过setStrategyEngine进行设置
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# TICK历史数据列表，由于要使用For循环来实现仿真回放
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# 使用list的速度比Numpy和Pandas都要更快
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@ -254,7 +254,7 @@ class BacktestingEngine(object):
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tradeData['OffsetFlag'] = order.offset
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tradeData['Price'] = price
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tradeData['Volume'] = order.volume
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tradeData['TradeTime'] = order.insertTime
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tradeData['TradeTime'] = order.orderTime
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print tradeData
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@ -271,7 +271,7 @@ class BacktestingEngine(object):
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orderData['LimitPrice'] = price
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orderData['VolumeTotalOriginal'] = order.volume
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orderData['VolumeTraded'] = order.volume
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orderData['InsertTime'] = ''
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orderData['InsertTime'] = order.orderTime
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orderData['CancelTime'] = ''
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orderData['FrontID'] = ''
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orderData['SessionID'] = ''
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@ -322,17 +322,18 @@ class BacktestingEngine(object):
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#----------------------------------------------------------------------
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def sendOrder(self, instrumentid, exchangeid, price, pricetype, volume, direction, offset, orderTime=datetime.now()):
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"""回测发单"""
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order = LimitOrder(instrumentid)
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order.price = price
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order.direction = direction
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order.volume = volume
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order = LimitOrder(instrumentid) # 限价报单
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order.price = price # 报单价格
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order.direction = direction # 买卖方向
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order.volume = volume # 报单数量
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order.offset = offset
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order.orderTime = orderTime
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order.orderTime = orderTime # 报单时间
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self.orderRef = self.orderRef + 1 # 报单编号
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self.orderRef = self.orderRef + 1
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self.dictOrder[str(self.orderRef)] = order
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return str(self.orderRef)
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#----------------------------------------------------------------------
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@ -374,15 +375,16 @@ class BacktestingEngine(object):
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def saveTradeDataToMysql(self):
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"""保存交易记录到mysql,added by Incense Lee"""
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if self.__mysqlConnected:
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sql='insert into BackTest.TB_Trade values '
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sql='insert into BackTest.TB_Trade (Id,symbol,orderRef,tradeID,direction,offset,price,volume,tradeTime) values '
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values = ''
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print u'共{0}条交易记录.'.format(len(self.listTrade))
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for tradeItem in self.listTrade:
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if len(values) > 0:
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values = values + ','
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values = values + '(\'{0}\',\'{1}\',\'{2}\',\'{3}\',\'{4}\',\'{5}\',{6},{7})'.format(
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values = values + '(\'{0}\',\'{1}\',{2},{3},{4},{5},{6},{7},\'{8}\')'.format(
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self.Id,
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tradeItem['InstrumentID'],
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tradeItem['OrderRef'],
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@ -390,7 +392,8 @@ class BacktestingEngine(object):
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tradeItem['Direction'],
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tradeItem['OffsetFlag'],
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tradeItem['Price'],
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tradeItem['Volume'])
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tradeItem['Volume'],
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tradeItem['TradeTime'].strftime('%Y-%m-%d %H:%M:%S'))
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cur = self.__mysqlConnection.cursor(MySQLdb.cursors.DictCursor)
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@ -5,32 +5,30 @@ from backtestingEngine import *
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from demoStrategy import SimpleEmaStrategy
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import decimal
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# 回测脚本
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if __name__ == '__main__':
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#symbol = 'IF1506'
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def main():
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"""回测程序主函数"""
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# symbol = 'IF1506'
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symbol = 'a'
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# 创建回测引擎
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be = BacktestingEngine()
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# 创建策略引擎对象
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se = StrategyEngine(be.eventEngine, be, backtesting=True)
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be.setStrategyEngine(se)
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# 初始化回测引擎
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#be.connectMongo()
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# be.connectMongo()
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be.connectMysql()
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#be.loadMongoDataHistory(symbol, datetime(2015,5,1), datetime.today())
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#be.loadMongoDataHistory(symbol, datetime(2012,1,9), datetime(2012,1,14))
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be.loadMysqlDataHistory(symbol, datetime(2012,1,9), datetime(2012,1,30))
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# be.loadMongoDataHistory(symbol, datetime(2015,5,1), datetime.today())
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# be.loadMongoDataHistory(symbol, datetime(2012,1,9), datetime(2012,1,14))
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be.loadMysqlDataHistory(symbol, datetime(2012,1,9), datetime(2012,1,14))
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# 创建策略对象
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setting = {}
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setting['fastAlpha'] = 0.2
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setting['slowAlpha'] = 0.05
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#setting['startDate'] = datetime(year=2015, month=5, day=20)
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# setting['startDate'] = datetime(year=2015, month=5, day=20)
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setting['startDate'] = datetime(year=2012, month=1, day=9)
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se.createStrategy(u'EMA演示策略', symbol, SimpleEmaStrategy, setting)
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@ -42,3 +40,8 @@ if __name__ == '__main__':
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be.startBacktesting()
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# 回测脚本
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if __name__ == '__main__':
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main()
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@ -48,12 +48,12 @@ class SimpleEmaStrategy(StrategyTemplate):
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self.barTime = None
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# 保存K线数据的列表对象
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self.listOpen = []
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self.listHigh = []
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self.listLow = []
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self.listClose = []
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self.listVolume = []
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self.listTime = []
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#self.listOpen = []
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#self.listHigh = []
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#self.listLow = []
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#self.listClose = []
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#self.listVolume = []
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#s#elf.listTime = []
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# 持仓
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self.pos = 0
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@ -70,7 +70,16 @@ class SimpleEmaStrategy(StrategyTemplate):
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self.initCompleted = False
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# 初始化时读取的历史数据的起始日期(可以选择外部设置)
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self.startDate = None
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self.startDate = None
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# Added by Incense Lee
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# 属于updateMarketData推送的第一个Tick数据,忽略交易逻辑
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self.firstMarketTick = True
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self.lineK = [] # K线数据
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self.lineEMA = [] # 快速、慢速EMA数据
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#----------------------------------------------------------------------
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def loadSetting(self, setting):
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@ -186,7 +195,7 @@ class SimpleEmaStrategy(StrategyTemplate):
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self.barTime = ticktime
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else:
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# 如果是当前一分钟内的数据
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if ticktime.minute == self.barTime.minute:
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if ticktime.minute == self.barTime.minute and ticktime.hour == self.barTime.hour:
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# 汇总TICK生成K线
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self.barHigh = max(self.barHigh, tick.lastPrice)
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self.barLow = min(self.barLow, tick.lastPrice)
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@ -196,9 +205,9 @@ class SimpleEmaStrategy(StrategyTemplate):
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# 如果是新一分钟的数据
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else:
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# 首先推送K线数据
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self.onBar(self.barOpen, self.barHigh, self.barLow, self.barClose,
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self.onBar(self.barOpen, self.barHigh, self.barLow, self.barClose,
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self.barVolume, self.barTime)
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# 初始化新的K线数据
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self.barOpen = tick.lastPrice
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self.barHigh = tick.lastPrice
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@ -216,6 +225,7 @@ class SimpleEmaStrategy(StrategyTemplate):
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self.pos = self.pos - trade.volume
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log = self.name + u'当前持仓：' + str(self.pos)
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print log
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self.engine.writeLog(log)
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#----------------------------------------------------------------------
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@ -229,16 +239,28 @@ class SimpleEmaStrategy(StrategyTemplate):
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pass
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#----------------------------------------------------------------------
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def onBar(self, o, h, l, c, volume, time):
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def onBar(self, o, h, l, c, volume, t):
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"""K线数据更新，同时进行策略的买入、卖出逻辑计算"""
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# 保存K线序列数据
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self.listOpen.append(o)
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self.listHigh.append(h)
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self.listLow.append(l)
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self.listClose.append(c)
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self.listVolume.append(volume)
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self.listTime.append(time)
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#self.listOpen.append(o)
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#self.listHigh.append(h)
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#self.listLow.append(l)
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#self.listClose.append(c)
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#self.listVolume.append(volume)
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#self.listTime.append(t)
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# 保存K线数据
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k = Bar()
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k.open = o
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k.high = h
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k.low = l
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k.close = c
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k.volume = volume
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k.date = t.date#
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k.datetime = t
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self.lineK.append(k)
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# 计算EMA
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if self.fastEMA:
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self.fastEMA = c*self.fastAlpha + self.fastEMA*(1-self.fastAlpha)
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@ -246,9 +268,25 @@ class SimpleEmaStrategy(StrategyTemplate):
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else:
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self.fastEMA = c
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self.slowEMA = c
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emaData = EmaData()
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emaData.fastEMA = self.fastEMA
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emaData.slowEMA = self.slowEMA
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emaData.date = t.date
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emaData.time = t.time
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emaData.datetime = t
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self.lineEMA.append(emaData)
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# 交易逻辑
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if self.initCompleted: # 首先检查是否是实盘运行还是数据预处理阶段
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# Added by Incense Lee
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# 属于updateMarketData推送的第一个Tick数据,忽略交易逻辑
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if self.firstMarketTick:
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self.firstMarketTick = False
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return
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# End added
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# 快速EMA在慢速EMA上方，做多
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if self.fastEMA > self.slowEMA:
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# 如果当前手头无仓位，则直接做多
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@ -256,29 +294,29 @@ class SimpleEmaStrategy(StrategyTemplate):
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# 涨停价买入开仓
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# Modified by Incense Lee ：回测时，Tick数据中没有涨停价，只能使用当前价
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#self.buy(self.currentTick.upperLimit, 1)
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self.buy(self.currentTick.lastPrice, 1)
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self.buy(self.currentTick.lastPrice, 1, t) # 价格，数量，下单时间
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# 手头有空仓，则先平空，再开多
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elif self.pos < 0:
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#self.cover(self.currentTick.upperLimit, 1)
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self.cover(self.currentTick.lastPrice, 1)
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self.cover(self.currentTick.lastPrice, 1, t) # 价格，数量， 下单时间
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#self.buy(self.currentTick.upperLimit, 1)
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self.buy(self.currentTick.lastPrice, 1)
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self.buy(self.currentTick.lastPrice, 1, t)
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# 反之，做空
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elif self.fastEMA < self.slowEMA:
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if self.pos == 0:
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# Modified by Incense Lee ：回测时，Tick数据中没有最低价价，只能使用当前价
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#self.short(self.currentTick.lowerLimit, 1)
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self.short(self.currentTick.lastPrice, 1)
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self.short(self.currentTick.lastPrice, 1, t)
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elif self.pos > 0:
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#self.sell(self.currentTick.lowerLimit, 1)
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self.sell(self.currentTick.lastPrice, 1)
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self.sell(self.currentTick.lastPrice, 1, t)
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#self.short(self.currentTick.lowerLimit, 1)
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self.short(self.currentTick.lastPrice, 1)
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self.short(self.currentTick.lastPrice, 1, t)
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# 记录日志
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log = self.name + u'，K线时间：' + str(time) + '\n' + \
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log = self.name + u'，K线时间：' + str(t) + '\n' + \
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u'，快速EMA：' + str(self.fastEMA) + u'，慢速EMA：' + \
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str(self.slowEMA)
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self.engine.writeLog(log)
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@ -12,6 +12,8 @@ print u'demoStrategy.py import pymongo.errors.* success'
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from eventEngine import *
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print u'demoStrategy.py import eventEngine.* success'
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from vtConstant import *
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import MySQLdb
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@ -24,7 +26,11 @@ DIRECTION_SELL = '1' # 卖出
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PRICETYPE_LIMIT = '2' # 限价
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# buy 买入开仓 : DIRECTION_BUY = '0' OFFSET_OPEN = '0'
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# sell 卖出平仓 : DIRECTION_SELL = '1' OFFSET_CLOSE = '1'
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# short 卖出开仓 : DIRECTION_SELL = '1' OFFSET_OPEN = '0'
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# cover 买入平仓 : DIRECTION_BUY = '0' OFFSET_CLOSE = '1'
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########################################################################
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class Tick:
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@ -74,6 +80,47 @@ class Tick:
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self.askVolume5 = 0
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########################################################################
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class Bar(object):
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"""K线数据"""
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#----------------------------------------------------------------------
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def __init__(self):
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"""Constructor"""
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#self.vtSymbol = EMPTY_STRING # vt系统代码
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self.symbol = EMPTY_STRING # 代码
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#self.exchange = EMPTY_STRING # 交易所
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self.open = EMPTY_FLOAT # OHLC
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self.high = EMPTY_FLOAT
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self.low = EMPTY_FLOAT
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self.close = EMPTY_FLOAT
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self.date = EMPTY_STRING # bar开始的时间，日期
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self.time = EMPTY_STRING # 时间
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self.datetime = None # python的datetime时间对象
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self.volume = EMPTY_INT # 成交量
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self.openInterest = EMPTY_INT # 持仓量
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########################################################################
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class EmaData(object):
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"""数据"""
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#----------------------------------------------------------------------
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def __init__(self):
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"""Constructor"""
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self.fastEMA = EMPTY_FLOAT # 快速EMA的数值
|
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self.slowEMA = EMPTY_FLOAT # 慢速EMA的数值
|
||||
|
||||
self.date = EMPTY_STRING # EMA开始的时间，日期
|
||||
self.time = EMPTY_STRING # 时间
|
||||
self.datetime = None # python的datetime时间对象
|
||||
|
||||
|
||||
|
||||
########################################################################
|
||||
class Trade(object):
|
||||
"""成交数据对象"""
|
||||
@ -147,7 +194,7 @@ class StrategyEngine(object):
|
||||
def __init__(self, eventEngine, mainEngine, backtesting=False):
|
||||
"""Constructor"""
|
||||
self.__eventEngine = eventEngine # 引用事件引擎
|
||||
self.mainEngine = mainEngine # 主引擎，在回测中，为backtestingEngin,在交易中，为demoEngine
|
||||
self.mainEngine = mainEngine # 主引擎，在回测中，为backtestingEngine,在交易中，为MainEngine
|
||||
self.backtesting = backtesting # 是否在进行回测
|
||||
|
||||
# 获取代表今日的datetime
|
||||
@ -172,7 +219,7 @@ class StrategyEngine(object):
|
||||
# value为策略对象
|
||||
self.__dictOrderRefStrategy = {}
|
||||
|
||||
# 保存合约代码和相关停止单的字典
|
||||
# 保存合约代码和相关停止单（止损单）的字典
|
||||
# key为合约代码
|
||||
# value为该合约相关的停止单列表
|
||||
self.__dictStopOrder = {}
|
||||
@ -293,13 +340,13 @@ class StrategyEngine(object):
|
||||
'position_vol as OpenInterest,bid1_price as BidPrice1,bid1_vol as BidVolume1, ' \
|
||||
'sell1_price as AskPrice1, sell1_vol as AskVolume1 from TB__{0}MI '.format(symbol)
|
||||
|
||||
self.writeLog(sqlstring)
|
||||
print sqlstring
|
||||
|
||||
count = cur.execute(sqlstring)
|
||||
|
||||
cx = cur.fetchall()
|
||||
|
||||
self.writeLog(u'历史TICK数据载入完成，{1}~{2},共{0}条'.format(count,startDate,endDate))
|
||||
print u'历史TICK数据载入完成，{1}~{2},共{0}条'.format(count,startDate,endDate)
|
||||
|
||||
return cx
|
||||
else:
|
||||
@ -423,7 +470,7 @@ class StrategyEngine(object):
|
||||
# 如果当前有该合约上的止损单
|
||||
if symbol in self.__dictStopOrder:
|
||||
|
||||
print u'strategyEngine.py __processStopOrder() has stop order.'
|
||||
#print u'strategyEngine.py __processStopOrder() has stop order.'
|
||||
|
||||
# 获取止损单列表
|
||||
listSO = self.__dictStopOrder[symbol] # SO:stop order
|
||||
@ -437,7 +484,7 @@ class StrategyEngine(object):
|
||||
# 以当日涨停价发出限价单买入
|
||||
print u'sendOrder({0},{1},{2},{3},{4}'.format(symbol,'Direction_Buy',so.offset,upperLimit,so.volume)
|
||||
ref = self.sendOrder(symbol, DIRECTION_BUY, so.offset,
|
||||
upperLimit, so.volume,tick.time, strategy)
|
||||
upperLimit, so.volume, tick.time, so.strategy)
|
||||
|
||||
# 触发策略的止损单发出更新
|
||||
so.strategy.onStopOrder(ref)
|
||||
@ -449,7 +496,7 @@ class StrategyEngine(object):
|
||||
elif so.direction == DIRECTION_SELL and lastPrice <= so.price:
|
||||
print u'sendOrder({0},{1},{2},{3},{4}'.format(symbol,'Direction_Sell',so.offset,upperLimit,so.volume)
|
||||
ref = self.sendOrder(symbol, DIRECTION_SELL, so.offset,
|
||||
lowerLimit, so.volume,tick.time, strategy)
|
||||
lowerLimit, so.volume,tick.time, so.strategy)
|
||||
|
||||
so.strategy.onStopOrder(ref)
|
||||
|
||||
@ -515,15 +562,17 @@ class StrategyEngine(object):
|
||||
if orderRef in self.__dictOrderRefStrategy:
|
||||
|
||||
# 创建Trade数据对象
|
||||
trade = Trade(data['InstrumentID'])
|
||||
|
||||
trade.orderRef = orderRef
|
||||
trade.tradeID = data['TradeID']
|
||||
trade.direction = data['Direction']
|
||||
trade.offset = data['OffsetFlag']
|
||||
trade = Trade(data['InstrumentID']) # 合约代码
|
||||
|
||||
trade.orderRef = orderRef # 报单号
|
||||
trade.tradeID = data['TradeID'] # 成交编号
|
||||
trade.direction = data['Direction'] # 方向
|
||||
trade.offset = data['OffsetFlag'] # 开平
|
||||
|
||||
trade.price = data['Price']
|
||||
trade.volume = data['Volume']
|
||||
trade.price = data['Price'] # 成交价
|
||||
trade.volume = data['Volume'] # 成交量
|
||||
|
||||
trade.tradeTime = data['TradeTime'] # 成交时间
|
||||
|
||||
# 推送给策略
|
||||
strategy = self.__dictOrderRefStrategy[orderRef]
|
||||
@ -532,7 +581,7 @@ class StrategyEngine(object):
|
||||
#print u'strategyEngine.py updateTrade() end.'
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def sendOrder(self, symbol, direction, offset, price, volume, orderTime, strategy):
|
||||
def sendOrder(self, symbol, direction, offset, price, volume, ordertime, strategy):
|
||||
"""
|
||||
发单（仅允许限价单）
|
||||
symbol：合约代码
|
||||
@ -540,7 +589,7 @@ class StrategyEngine(object):
|
||||
offset：开平，OFFSET_OPEN/OFFSET_CLOSE
|
||||
price：下单价格
|
||||
volume：下单手数
|
||||
orderTime:下单时间（回归测试使用）
|
||||
ordertime:下单时间（回归测试使用）
|
||||
strategy：策略对象
|
||||
"""
|
||||
|
||||
@ -548,7 +597,7 @@ class StrategyEngine(object):
|
||||
contract = self.mainEngine.selectInstrument(symbol)
|
||||
|
||||
if contract:
|
||||
#调用主引擎的发单函数
|
||||
# 调用主引擎的发单函数
|
||||
ref = self.mainEngine.sendOrder(symbol,
|
||||
contract['ExchangeID'],
|
||||
price,
|
||||
@ -556,8 +605,9 @@ class StrategyEngine(object):
|
||||
volume,
|
||||
direction,
|
||||
offset,
|
||||
orderTime)
|
||||
|
||||
ordertime)
|
||||
|
||||
# 添加报单编号及其映射的策略
|
||||
self.__dictOrderRefStrategy[ref] = strategy
|
||||
|
||||
#print u'strategyEngine.py sendOrder() end.'
|
||||
@ -628,7 +678,7 @@ class StrategyEngine(object):
|
||||
注意这里的price是停止单的触发价
|
||||
"""
|
||||
# 创建止损单对象
|
||||
print u'strategyEngine.py placeStopOrder() begin.'
|
||||
print u'strategyEngine.py placeStopOrder() symbol:{0}, direction:{1}, offset:{2}, price:{3}, volume:{4}.'.format(symbol, direction, offset, price, volume)
|
||||
|
||||
so = StopOrder(symbol, direction, offset, price, volume, strategy)
|
||||
|
||||
@ -642,7 +692,7 @@ class StrategyEngine(object):
|
||||
# 将该止损单插入列表中
|
||||
listSO.append(so)
|
||||
|
||||
print u'strategyEngine.py placeStopOrder() end.'
|
||||
#print u'strategyEngine.py placeStopOrder() end.'
|
||||
|
||||
return so
|
||||
|
||||
@ -749,16 +799,19 @@ class StrategyTemplate(object):
|
||||
raise NotImplementedError
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def buy(self, price, volume, stopOrder=False, orderTime=datetime.now()):
|
||||
def buy(self, price, volume, orderTime, stopOrder=False ):
|
||||
"""买入开仓"""
|
||||
print u'strategyEngine.py StrategyTemplate({3}) buy() begin. symbol:{0}, price:{1},volume:{2}'.format(self.symbol, price, volume, self.name)
|
||||
|
||||
print u'strategyEngine.py StrategyTemplate({3}) buy() begin. symbol:{0}, price:{1},volume:{2},time:{4}'.format(self.symbol, price, volume, self.name,orderTime)
|
||||
|
||||
if self.trading:
|
||||
if stopOrder:
|
||||
# 止损单
|
||||
so = self.engine.placeStopOrder(self.symbol, DIRECTION_BUY,
|
||||
OFFSET_OPEN, price, volume, self)
|
||||
return so
|
||||
else:
|
||||
# 委托单
|
||||
ref = self.engine.sendOrder(self.symbol, DIRECTION_BUY,
|
||||
OFFSET_OPEN, price, volume, orderTime, self)
|
||||
return ref
|
||||
@ -768,17 +821,20 @@ class StrategyTemplate(object):
|
||||
#print (u'strategyEngine.py buy() end.')
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def cover(self, price, volume, stopOrder=False, orderTime=datetime.now()):
|
||||
def cover(self, price, volume,orderTime, stopOrder=False):
|
||||
"""买入平仓"""
|
||||
|
||||
print u'strategyEngine.py StrategyTemplate({3}) cover() begin. symbol:{0}, price:{1},volume:{2}'.format(self.symbol, price, volume, self.name)
|
||||
print u'strategyEngine.py StrategyTemplate({3}) cover() begin. symbol:{0}, price:{1},volume:{2},time:{4}'.format(self.symbol, price, volume, self.name, orderTime)
|
||||
|
||||
if self.trading:
|
||||
if stopOrder:
|
||||
|
||||
# 止损单
|
||||
so = self.engine.placeStopOrder(self.symbol, DIRECTION_BUY,
|
||||
OFFSET_CLOSE, price, volume, self)
|
||||
return so
|
||||
else:
|
||||
# 委托单
|
||||
ref = self.engine.sendOrder(self.symbol, DIRECTION_BUY,
|
||||
OFFSET_CLOSE, price, volume, orderTime, self)
|
||||
return ref
|
||||
@ -787,17 +843,19 @@ class StrategyTemplate(object):
|
||||
print (u'strategyEngine.py cover() end.')
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def sell(self, price, volume, stopOrder=False, orderTime=datetime.now()):
|
||||
def sell(self, price, volume, orderTime, stopOrder=False):
|
||||
"""卖出平仓"""
|
||||
|
||||
print u'strategyEngine.py StrategyTemplate({3}) sell() begin. symbol:{0}, price:{1},volume:{2}'.format(self.symbol, price, volume, self.name)
|
||||
print u'strategyEngine.py StrategyTemplate({3}) sell() begin. symbol:{0}, price:{1},volume:{2},time:{4}'.format(self.symbol, price, volume, self.name, orderTime)
|
||||
|
||||
if self.trading:
|
||||
if stopOrder:
|
||||
# 止损单
|
||||
so = self.engine.placeStopOrder(self.symbol, DIRECTION_SELL,
|
||||
OFFSET_CLOSE, price, volume, self)
|
||||
return so
|
||||
else:
|
||||
# 委托单
|
||||
ref = self.engine.sendOrder(self.symbol, DIRECTION_SELL,
|
||||
OFFSET_CLOSE, price, volume, orderTime, self)
|
||||
return ref
|
||||
@ -806,15 +864,17 @@ class StrategyTemplate(object):
|
||||
#print u'strategyEngine.py sell() end.'
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def short(self, price, volume, stopOrder=False, orderTime=datetime.now()):
|
||||
def short(self, price, volume, orderTime, stopOrder=False):
|
||||
"""卖出开仓"""
|
||||
print u'strategyEngine.py StrategyTemplate({3}) short() begin. symbol:{0}, price:{1},volume:{2}'.format(self.symbol, price, volume, self.name)
|
||||
print u'strategyEngine.py StrategyTemplate({3}) short() begin. symbol:{0}, price:{1},volume:{2},time:{4}'.format(self.symbol, price, volume, self.name, orderTime)
|
||||
if self.trading:
|
||||
if stopOrder:
|
||||
# 止损单
|
||||
so = self.engine.placeStopOrder(self.symbol, DIRECTION_SELL,
|
||||
OFFSET_OPEN, price, volume, self)
|
||||
return so
|
||||
else:
|
||||
# 委托单
|
||||
ref = self.engine.sendOrder(self.symbol, DIRECTION_SELL,
|
||||
OFFSET_OPEN, price, volume, orderTime, self)
|
||||
return ref
|
||||
|
||||
57
vn.strategy/strategydemo/vtConstant.py
Normal file
57
vn.strategy/strategydemo/vtConstant.py
Normal file
@ -0,0 +1,57 @@
|
||||
# encoding: UTF-8
|
||||
|
||||
# 默认空值
|
||||
EMPTY_STRING = ''
|
||||
EMPTY_UNICODE = u''
|
||||
EMPTY_INT = 0
|
||||
EMPTY_FLOAT = 0.0
|
||||
|
||||
# 方向常量
|
||||
DIRECTION_NONE = u'无方向'
|
||||
DIRECTION_LONG = u'多'
|
||||
DIRECTION_SHORT = u'空'
|
||||
DIRECTION_UNKNOWN = u'未知'
|
||||
DIRECTION_NET = u'净'
|
||||
|
||||
# 开平常量
|
||||
OFFSET_NONE = u'无开平'
|
||||
OFFSET_OPEN = u'开仓'
|
||||
OFFSET_CLOSE = u'平仓'
|
||||
OFFSET_CLOSETODAY = u'平今'
|
||||
OFFSET_CLOSESYESTERDAY = u'平昨'
|
||||
OFFSET_UNKNOWN = u'未知'
|
||||
|
||||
# 状态常量
|
||||
STATUS_NOTTRADED = u'未成交'
|
||||
STATUS_PARTTRADED = u'部分成交'
|
||||
STATUS_ALLTRADED = u'全部成交'
|
||||
STATUS_CANCELLED = u'已撤销'
|
||||
STATUS_UNKNOWN = u'未知'
|
||||
|
||||
# 合约类型常量
|
||||
PRODUCT_EQUITY = u'股票'
|
||||
PRODUCT_FUTURES = u'期货'
|
||||
PRODUCT_OPTION = u'期权'
|
||||
PRODUCT_INDEX = u'指数'
|
||||
PRODUCT_COMBINATION = u'组合'
|
||||
PRODUCT_UNKNOWN = u'未知'
|
||||
|
||||
# 价格类型常量
|
||||
PRICETYPE_LIMITPRICE = u'限价'
|
||||
PRICETYPE_MARKETPRICE = u'市价'
|
||||
PRICETYPE_FAK = u'FAK'
|
||||
PRICETYPE_FOK = u'FOK'
|
||||
|
||||
# 期权类型
|
||||
OPTION_CALL = u'看涨期权'
|
||||
OPTION_PUT = u'看跌期权'
|
||||
|
||||
# 交易所类型
|
||||
EXCHANGE_SSE = u'SSE' # 上交所
|
||||
EXCHANGE_SZSE = u'SZSE' # 深交所
|
||||
EXCHANGE_CFFEX = u'CFFEX' # 中金所
|
||||
EXCHANGE_SHFE = u'SHFE' # 上期所
|
||||
EXCHANGE_CZCE = u'CZCE' # 郑商所
|
||||
EXCHANGE_DCE = u'DCE' # 大商所
|
||||
EXCHANGE_UNKNOWN = 'UNKNOWN'# 未知交易所
|
||||
EXCHANGE_NONE = '' # 空交易所
|
||||
Loading…
Reference in New Issue
Block a user