From 5f3e7819968d3c3d3e26d40a92b4267bbd300ec4 Mon Sep 17 00:00:00 2001 From: msincenselee Date: Sun, 18 Oct 2015 00:23:24 +0800 Subject: [PATCH] bug fixing --- vn.strategy/strategyEngine.py | 16 +-- vn.strategy/strategydemo/backtestingEngine.py | 45 ++++--- vn.strategy/strategydemo/demoBacktesting.py | 29 +++-- vn.strategy/strategydemo/demoStrategy.py | 90 +++++++++---- vn.strategy/strategydemo/strategyEngine.py | 120 +++++++++++++----- vn.strategy/strategydemo/vtConstant.py | 57 +++++++++ 6 files changed, 259 insertions(+), 98 deletions(-) create mode 100644 vn.strategy/strategydemo/vtConstant.py diff --git a/vn.strategy/strategyEngine.py b/vn.strategy/strategyEngine.py index 0e7e4d6c..450881c6 100644 --- a/vn.strategy/strategyEngine.py +++ b/vn.strategy/strategyEngine.py @@ -575,7 +575,7 @@ class StrategyTemplate(object): raise NotImplementedError #---------------------------------------------------------------------- - def buy(self, price, volume, stopOrder=False): + def buy(self, price, volume, orderTime, stopOrder=False): """买入开仓""" if self.trading: if stopOrder: @@ -584,13 +584,13 @@ class StrategyTemplate(object): return so else: ref = self.engine.sendOrder(self.symbol, DIRECTION_BUY, - OFFSET_OPEN, price, volume, self) + OFFSET_OPEN, price, volume,orderTime, self) return ref else: return None #---------------------------------------------------------------------- - def cover(self, price, volume, StopOrder=False): + def cover(self, price, volume, orderTime, StopOrder=False): """买入平仓""" if self.trading: if stopOrder: @@ -599,13 +599,13 @@ class StrategyTemplate(object): return so else: ref = self.engine.sendOrder(self.symbol, DIRECTION_BUY, - OFFSET_CLOSE, price, volume, self) + OFFSET_CLOSE, price, volume,orderTime, self) return ref else: return None #---------------------------------------------------------------------- - def sell(self, price, volume, stopOrder=False): + def sell(self, price, volume, orderTime,stopOrder=False): """卖出平仓""" if self.trading: if stopOrder: @@ -614,13 +614,13 @@ class StrategyTemplate(object): return so else: ref = self.engine.sendOrder(self.symbol, DIRECTION_SELL, - OFFSET_CLOSE, price, volume, self) + OFFSET_CLOSE, price, volume,orderTime, self) return ref else: return None #---------------------------------------------------------------------- - def short(self, price, volume, stopOrder=False): + def short(self, price, volume, orderTime,stopOrder=False): """卖出开仓""" if self.trading: if stopOrder: @@ -629,7 +629,7 @@ class StrategyTemplate(object): return so else: ref = self.engine.sendOrder(self.symbol, DIRECTION_SELL, - OFFSET_OPEN, price, volume, self) + OFFSET_OPEN, price, volume,orderTime, self) return ref else: return None diff --git a/vn.strategy/strategydemo/backtestingEngine.py b/vn.strategy/strategydemo/backtestingEngine.py index 467b5fbe..df953c1f 100644 --- a/vn.strategy/strategydemo/backtestingEngine.py +++ b/vn.strategy/strategydemo/backtestingEngine.py @@ -19,14 +19,14 @@ class LimitOrder(object): #---------------------------------------------------------------------- def __init__(self, symbol): """Constructor""" - self.symbol = symbol - self.price = 0 - self.volume = 0 - self.direction = None - self.offset = None + self.symbol = symbol # 报单合约 + self.price = 0 # 报单价格 + self.volume = 0 # 报单合约数量 + self.direction = None # 方向 + self.offset = None # 开/平 #Modified by Incense Lee - self.orderTime = datetime.now() #下单时间 + self.orderTime = datetime.now() # 下单时间 ######################################################################## @@ -40,10 +40,10 @@ class BacktestingEngine(object): #---------------------------------------------------------------------- def __init__(self): """Constructor""" - self.eventEngine = EventEngine() # 实例化 + self.eventEngine = EventEngine() # 实例化 # 策略引擎 - self.strategyEngine = None # 通过setStrategyEngine进行设置 + self.strategyEngine = None # 通过setStrategyEngine进行设置 # TICK历史数据列表，由于要使用For循环来实现仿真回放 # 使用list的速度比Numpy和Pandas都要更快 @@ -254,7 +254,7 @@ class BacktestingEngine(object): tradeData['OffsetFlag'] = order.offset tradeData['Price'] = price tradeData['Volume'] = order.volume - tradeData['TradeTime'] = order.insertTime + tradeData['TradeTime'] = order.orderTime print tradeData @@ -271,7 +271,7 @@ class BacktestingEngine(object): orderData['LimitPrice'] = price orderData['VolumeTotalOriginal'] = order.volume orderData['VolumeTraded'] = order.volume - orderData['InsertTime'] = '' + orderData['InsertTime'] = order.orderTime orderData['CancelTime'] = '' orderData['FrontID'] = '' orderData['SessionID'] = '' @@ -322,17 +322,18 @@ class BacktestingEngine(object): #---------------------------------------------------------------------- def sendOrder(self, instrumentid, exchangeid, price, pricetype, volume, direction, offset, orderTime=datetime.now()): """回测发单""" - order = LimitOrder(instrumentid) - order.price = price - order.direction = direction - order.volume = volume + order = LimitOrder(instrumentid) # 限价报单 + order.price = price # 报单价格 + order.direction = direction # 买卖方向 + order.volume = volume # 报单数量 order.offset = offset - order.orderTime = orderTime + order.orderTime = orderTime # 报单时间 + + + self.orderRef = self.orderRef + 1 # 报单编号 - - self.orderRef = self.orderRef + 1 self.dictOrder[str(self.orderRef)] = order - + return str(self.orderRef) #---------------------------------------------------------------------- @@ -374,15 +375,16 @@ class BacktestingEngine(object): def saveTradeDataToMysql(self): """保存交易记录到mysql,added by Incense Lee""" if self.__mysqlConnected: - sql='insert into BackTest.TB_Trade values ' + sql='insert into BackTest.TB_Trade (Id,symbol,orderRef,tradeID,direction,offset,price,volume,tradeTime) values ' values = '' + print u'共{0}条交易记录.'.format(len(self.listTrade)) for tradeItem in self.listTrade: if len(values) > 0: values = values + ',' - values = values + '(\'{0}\',\'{1}\',\'{2}\',\'{3}\',\'{4}\',\'{5}\',{6},{7})'.format( + values = values + '(\'{0}\',\'{1}\',{2},{3},{4},{5},{6},{7},\'{8}\')'.format( self.Id, tradeItem['InstrumentID'], tradeItem['OrderRef'], @@ -390,7 +392,8 @@ class BacktestingEngine(object): tradeItem['Direction'], tradeItem['OffsetFlag'], tradeItem['Price'], - tradeItem['Volume']) + tradeItem['Volume'], + tradeItem['TradeTime'].strftime('%Y-%m-%d %H:%M:%S')) cur = self.__mysqlConnection.cursor(MySQLdb.cursors.DictCursor) diff --git a/vn.strategy/strategydemo/demoBacktesting.py b/vn.strategy/strategydemo/demoBacktesting.py index 9042b402..89f834ae 100644 --- a/vn.strategy/strategydemo/demoBacktesting.py +++ b/vn.strategy/strategydemo/demoBacktesting.py @@ -5,32 +5,30 @@ from backtestingEngine import * from demoStrategy import SimpleEmaStrategy import decimal - - -# 回测脚本 -if __name__ == '__main__': - #symbol = 'IF1506' +def main(): + """回测程序主函数""" + # symbol = 'IF1506' symbol = 'a' - + # 创建回测引擎 be = BacktestingEngine() - + # 创建策略引擎对象 se = StrategyEngine(be.eventEngine, be, backtesting=True) be.setStrategyEngine(se) - + # 初始化回测引擎 - #be.connectMongo() + # be.connectMongo() be.connectMysql() - #be.loadMongoDataHistory(symbol, datetime(2015,5,1), datetime.today()) - #be.loadMongoDataHistory(symbol, datetime(2012,1,9), datetime(2012,1,14)) - be.loadMysqlDataHistory(symbol, datetime(2012,1,9), datetime(2012,1,30)) + # be.loadMongoDataHistory(symbol, datetime(2015,5,1), datetime.today()) + # be.loadMongoDataHistory(symbol, datetime(2012,1,9), datetime(2012,1,14)) + be.loadMysqlDataHistory(symbol, datetime(2012,1,9), datetime(2012,1,14)) # 创建策略对象 setting = {} setting['fastAlpha'] = 0.2 setting['slowAlpha'] = 0.05 - #setting['startDate'] = datetime(year=2015, month=5, day=20) + # setting['startDate'] = datetime(year=2015, month=5, day=20) setting['startDate'] = datetime(year=2012, month=1, day=9) se.createStrategy(u'EMA演示策略', symbol, SimpleEmaStrategy, setting) @@ -42,3 +40,8 @@ if __name__ == '__main__': be.startBacktesting() +# 回测脚本 +if __name__ == '__main__': + main() + + diff --git a/vn.strategy/strategydemo/demoStrategy.py b/vn.strategy/strategydemo/demoStrategy.py index fa605114..2b2e4ab0 100644 --- a/vn.strategy/strategydemo/demoStrategy.py +++ b/vn.strategy/strategydemo/demoStrategy.py @@ -48,12 +48,12 @@ class SimpleEmaStrategy(StrategyTemplate): self.barTime = None # 保存K线数据的列表对象 - self.listOpen = [] - self.listHigh = [] - self.listLow = [] - self.listClose = [] - self.listVolume = [] - self.listTime = [] + #self.listOpen = [] + #self.listHigh = [] + #self.listLow = [] + #self.listClose = [] + #self.listVolume = [] + #s#elf.listTime = [] # 持仓 self.pos = 0 @@ -70,7 +70,16 @@ class SimpleEmaStrategy(StrategyTemplate): self.initCompleted = False # 初始化时读取的历史数据的起始日期(可以选择外部设置) - self.startDate = None + self.startDate = None + + # Added by Incense Lee + # 属于updateMarketData推送的第一个Tick数据,忽略交易逻辑 + self.firstMarketTick = True + + self.lineK = [] # K线数据 + self.lineEMA = [] # 快速、慢速EMA数据 + + #---------------------------------------------------------------------- def loadSetting(self, setting): @@ -186,7 +195,7 @@ class SimpleEmaStrategy(StrategyTemplate): self.barTime = ticktime else: # 如果是当前一分钟内的数据 - if ticktime.minute == self.barTime.minute: + if ticktime.minute == self.barTime.minute and ticktime.hour == self.barTime.hour: # 汇总TICK生成K线 self.barHigh = max(self.barHigh, tick.lastPrice) self.barLow = min(self.barLow, tick.lastPrice) @@ -196,9 +205,9 @@ class SimpleEmaStrategy(StrategyTemplate): # 如果是新一分钟的数据 else: # 首先推送K线数据 - self.onBar(self.barOpen, self.barHigh, self.barLow, self.barClose, + self.onBar(self.barOpen, self.barHigh, self.barLow, self.barClose, self.barVolume, self.barTime) - + # 初始化新的K线数据 self.barOpen = tick.lastPrice self.barHigh = tick.lastPrice @@ -216,6 +225,7 @@ class SimpleEmaStrategy(StrategyTemplate): self.pos = self.pos - trade.volume log = self.name + u'当前持仓：' + str(self.pos) + print log self.engine.writeLog(log) #---------------------------------------------------------------------- @@ -229,16 +239,28 @@ class SimpleEmaStrategy(StrategyTemplate): pass #---------------------------------------------------------------------- - def onBar(self, o, h, l, c, volume, time): + def onBar(self, o, h, l, c, volume, t): """K线数据更新，同时进行策略的买入、卖出逻辑计算""" # 保存K线序列数据 - self.listOpen.append(o) - self.listHigh.append(h) - self.listLow.append(l) - self.listClose.append(c) - self.listVolume.append(volume) - self.listTime.append(time) - + #self.listOpen.append(o) + #self.listHigh.append(h) + #self.listLow.append(l) + #self.listClose.append(c) + #self.listVolume.append(volume) + #self.listTime.append(t) + + # 保存K线数据 + k = Bar() + k.open = o + k.high = h + k.low = l + k.close = c + k.volume = volume + k.date = t.date# + k.datetime = t + + self.lineK.append(k) + # 计算EMA if self.fastEMA: self.fastEMA = c*self.fastAlpha + self.fastEMA*(1-self.fastAlpha) @@ -246,9 +268,25 @@ class SimpleEmaStrategy(StrategyTemplate): else: self.fastEMA = c self.slowEMA = c - + + emaData = EmaData() + emaData.fastEMA = self.fastEMA + emaData.slowEMA = self.slowEMA + emaData.date = t.date + emaData.time = t.time + emaData.datetime = t + self.lineEMA.append(emaData) + # 交易逻辑 if self.initCompleted: # 首先检查是否是实盘运行还是数据预处理阶段 + + # Added by Incense Lee + # 属于updateMarketData推送的第一个Tick数据,忽略交易逻辑 + if self.firstMarketTick: + self.firstMarketTick = False + return + # End added + # 快速EMA在慢速EMA上方，做多 if self.fastEMA > self.slowEMA: # 如果当前手头无仓位，则直接做多 @@ -256,29 +294,29 @@ class SimpleEmaStrategy(StrategyTemplate): # 涨停价买入开仓 # Modified by Incense Lee ：回测时，Tick数据中没有涨停价，只能使用当前价 #self.buy(self.currentTick.upperLimit, 1) - self.buy(self.currentTick.lastPrice, 1) + self.buy(self.currentTick.lastPrice, 1, t) # 价格，数量，下单时间 # 手头有空仓，则先平空，再开多 elif self.pos < 0: #self.cover(self.currentTick.upperLimit, 1) - self.cover(self.currentTick.lastPrice, 1) + self.cover(self.currentTick.lastPrice, 1, t) # 价格，数量， 下单时间 #self.buy(self.currentTick.upperLimit, 1) - self.buy(self.currentTick.lastPrice, 1) + self.buy(self.currentTick.lastPrice, 1, t) # 反之，做空 elif self.fastEMA < self.slowEMA: if self.pos == 0: # Modified by Incense Lee ：回测时，Tick数据中没有最低价价，只能使用当前价 #self.short(self.currentTick.lowerLimit, 1) - self.short(self.currentTick.lastPrice, 1) + self.short(self.currentTick.lastPrice, 1, t) elif self.pos > 0: #self.sell(self.currentTick.lowerLimit, 1) - self.sell(self.currentTick.lastPrice, 1) + self.sell(self.currentTick.lastPrice, 1, t) #self.short(self.currentTick.lowerLimit, 1) - self.short(self.currentTick.lastPrice, 1) + self.short(self.currentTick.lastPrice, 1, t) # 记录日志 - log = self.name + u'，K线时间：' + str(time) + '\n' + \ + log = self.name + u'，K线时间：' + str(t) + '\n' + \ u'，快速EMA：' + str(self.fastEMA) + u'，慢速EMA：' + \ str(self.slowEMA) self.engine.writeLog(log) diff --git a/vn.strategy/strategydemo/strategyEngine.py b/vn.strategy/strategydemo/strategyEngine.py index baa11f8f..40a855ad 100644 --- a/vn.strategy/strategydemo/strategyEngine.py +++ b/vn.strategy/strategydemo/strategyEngine.py @@ -12,6 +12,8 @@ print u'demoStrategy.py import pymongo.errors.* success' from eventEngine import * print u'demoStrategy.py import eventEngine.* success' +from vtConstant import * + import MySQLdb @@ -24,7 +26,11 @@ DIRECTION_SELL = '1' # 卖出 PRICETYPE_LIMIT = '2' # 限价 +# buy 买入开仓 : DIRECTION_BUY = '0' OFFSET_OPEN = '0' +# sell 卖出平仓 : DIRECTION_SELL = '1' OFFSET_CLOSE = '1' +# short 卖出开仓 : DIRECTION_SELL = '1' OFFSET_OPEN = '0' +# cover 买入平仓 : DIRECTION_BUY = '0' OFFSET_CLOSE = '1' ######################################################################## class Tick: @@ -74,6 +80,47 @@ class Tick: self.askVolume5 = 0 +######################################################################## +class Bar(object): + """K线数据""" + + #---------------------------------------------------------------------- + def __init__(self): + """Constructor""" + #self.vtSymbol = EMPTY_STRING # vt系统代码 + self.symbol = EMPTY_STRING # 代码 + #self.exchange = EMPTY_STRING # 交易所 + + self.open = EMPTY_FLOAT # OHLC + self.high = EMPTY_FLOAT + self.low = EMPTY_FLOAT + self.close = EMPTY_FLOAT + + self.date = EMPTY_STRING # bar开始的时间，日期 + self.time = EMPTY_STRING # 时间 + self.datetime = None # python的datetime时间对象 + + self.volume = EMPTY_INT # 成交量 + self.openInterest = EMPTY_INT # 持仓量 + +######################################################################## +class EmaData(object): + """数据""" + + #---------------------------------------------------------------------- + def __init__(self): + """Constructor""" + + + self.fastEMA = EMPTY_FLOAT # 快速EMA的数值 + 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 diff --git a/vn.strategy/strategydemo/vtConstant.py b/vn.strategy/strategydemo/vtConstant.py new file mode 100644 index 00000000..10612119 --- /dev/null +++ b/vn.strategy/strategydemo/vtConstant.py @@ -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 \ No newline at end of file