[Del]移除错误添加：ctaStrategy123
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vn.py
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[
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{
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"name": "double ema",
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"className": "EmaDemoStrategy",
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"vtSymbol": "IF1706"
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},
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{
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"name": "atr rsi",
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"className": "AtrRsiStrategy",
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"vtSymbol": "IC1706"
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},
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{
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"name": "king keltner",
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"className": "KkStrategy",
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"vtSymbol": "IH1706"
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}
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]
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# encoding: UTF-8
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from ctaEngine import CtaEngine
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from uiCtaWidget import CtaEngineManager
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appName = 'CtaStrategy'
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appDisplayName = u'CTA策略'
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appEngine = CtaEngine
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appWidget = CtaEngineManager
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appIco = 'cta.ico'
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# encoding: UTF-8
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'''
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本文件中包含了CTA模块中用到的一些基础设置、类和常量等。
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'''
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# CTA引擎中涉及的数据类定义
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from vnpy.trader.vtConstant import EMPTY_UNICODE, EMPTY_STRING, EMPTY_FLOAT, EMPTY_INT
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# 常量定义
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# CTA引擎中涉及到的交易方向类型
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CTAORDER_BUY = u'买开'
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CTAORDER_SELL = u'卖平'
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CTAORDER_SHORT = u'卖开'
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CTAORDER_COVER = u'买平'
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# 本地停止单状态
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STOPORDER_WAITING = u'等待中'
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STOPORDER_CANCELLED = u'已撤销'
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STOPORDER_TRIGGERED = u'已触发'
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# 本地停止单前缀
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STOPORDERPREFIX = 'CtaStopOrder.'
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# 数据库名称
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SETTING_DB_NAME = 'VnTrader_Setting_Db'
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POSITION_DB_NAME = 'VnTrader_Position_Db'
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TICK_DB_NAME = 'VnTrader_Tick_Db'
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DAILY_DB_NAME = 'VnTrader_Daily_Db'
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MINUTE_DB_NAME = 'VnTrader_1Min_Db'
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# 引擎类型，用于区分当前策略的运行环境
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ENGINETYPE_BACKTESTING = 'backtesting' # 回测
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ENGINETYPE_TRADING = 'trading' # 实盘
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# CTA模块事件
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EVENT_CTA_LOG = 'eCtaLog' # CTA相关的日志事件
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EVENT_CTA_STRATEGY = 'eCtaStrategy.' # CTA策略状态变化事件
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########################################################################
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class StopOrder(object):
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"""本地停止单"""
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#----------------------------------------------------------------------
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def __init__(self):
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"""Constructor"""
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self.vtSymbol = EMPTY_STRING
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self.orderType = EMPTY_UNICODE
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self.direction = EMPTY_UNICODE
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self.offset = EMPTY_UNICODE
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self.price = EMPTY_FLOAT
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self.volume = EMPTY_INT
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self.strategy = None # 下停止单的策略对象
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self.stopOrderID = EMPTY_STRING # 停止单的本地编号
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self.status = EMPTY_STRING # 停止单状态
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# encoding: UTF-8
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'''
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本文件中实现了CTA策略引擎，针对CTA类型的策略，抽象简化了部分底层接口的功能。
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关于平今和平昨规则：
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1. 普通的平仓OFFSET_CLOSET等于平昨OFFSET_CLOSEYESTERDAY
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2. 只有上期所的品种需要考虑平今和平昨的区别
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3. 当上期所的期货有今仓时，调用Sell和Cover会使用OFFSET_CLOSETODAY，否则
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会使用OFFSET_CLOSE
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4. 以上设计意味着如果Sell和Cover的数量超过今日持仓量时，会导致出错（即用户
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希望通过一个指令同时平今和平昨）
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5. 采用以上设计的原因是考虑到vn.trader的用户主要是对TB、MC和金字塔类的平台
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感到功能不足的用户（即希望更高频的交易），交易策略不应该出现4中所述的情况
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6. 对于想要实现4中所述情况的用户，需要实现一个策略信号引擎和交易委托引擎分开
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的定制化统结构（没错，得自己写）
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'''
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from __future__ import division
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import json
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import os
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import traceback
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from collections import OrderedDict
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from datetime import datetime, timedelta
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from vnpy.event import Event
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from vnpy.trader.vtEvent import *
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from vnpy.trader.vtConstant import *
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from vnpy.trader.vtObject import VtTickData, VtBarData
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from vnpy.trader.vtGateway import VtSubscribeReq, VtOrderReq, VtCancelOrderReq, VtLogData
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from vnpy.trader.vtFunction import todayDate, getJsonPath
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from .ctaBase import *
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from .strategy import STRATEGY_CLASS
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########################################################################
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class CtaEngine(object):
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"""CTA策略引擎"""
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settingFileName = 'CTA_setting.json'
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settingfilePath = getJsonPath(settingFileName, __file__)
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STATUS_FINISHED = set([STATUS_REJECTED, STATUS_CANCELLED, STATUS_ALLTRADED])
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#----------------------------------------------------------------------
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def __init__(self, mainEngine, eventEngine):
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"""Constructor"""
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self.mainEngine = mainEngine
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self.eventEngine = eventEngine
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# 当前日期
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self.today = todayDate()
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# 保存策略实例的字典
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# key为策略名称，value为策略实例，注意策略名称不允许重复
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self.strategyDict = {}
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# 保存vtSymbol和策略实例映射的字典（用于推送tick数据）
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# 由于可能多个strategy交易同一个vtSymbol，因此key为vtSymbol
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# value为包含所有相关strategy对象的list
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self.tickStrategyDict = {}
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# 保存vtOrderID和strategy对象映射的字典（用于推送order和trade数据）
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# key为vtOrderID，value为strategy对象
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self.orderStrategyDict = {}
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# 本地停止单编号计数
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self.stopOrderCount = 0
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# stopOrderID = STOPORDERPREFIX + str(stopOrderCount)
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# 本地停止单字典
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# key为stopOrderID，value为stopOrder对象
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self.stopOrderDict = {} # 停止单撤销后不会从本字典中删除
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self.workingStopOrderDict = {} # 停止单撤销后会从本字典中删除
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# 保存策略名称和委托号列表的字典
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# key为name，value为保存orderID（限价+本地停止）的集合
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self.strategyOrderDict = {}
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# 成交号集合，用来过滤已经收到过的成交推送
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self.tradeSet = set()
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# 引擎类型为实盘
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self.engineType = ENGINETYPE_TRADING
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# 注册日式事件类型
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self.mainEngine.registerLogEvent(EVENT_CTA_LOG)
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# 注册事件监听
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self.registerEvent()
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#----------------------------------------------------------------------
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def sendOrder(self, vtSymbol, orderType, price, volume, strategy):
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"""发单"""
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contract = self.mainEngine.getContract(vtSymbol)
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req = VtOrderReq()
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req.symbol = contract.symbol
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req.exchange = contract.exchange
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req.vtSymbol = contract.vtSymbol
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req.price = self.roundToPriceTick(contract.priceTick, price)
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req.volume = volume
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req.productClass = strategy.productClass
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req.currency = strategy.currency
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# 设计为CTA引擎发出的委托只允许使用限价单
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req.priceType = PRICETYPE_LIMITPRICE
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# CTA委托类型映射
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if orderType == CTAORDER_BUY:
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req.direction = DIRECTION_LONG
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req.offset = OFFSET_OPEN
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elif orderType == CTAORDER_SELL:
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req.direction = DIRECTION_SHORT
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req.offset = OFFSET_CLOSE
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elif orderType == CTAORDER_SHORT:
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req.direction = DIRECTION_SHORT
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req.offset = OFFSET_OPEN
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elif orderType == CTAORDER_COVER:
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req.direction = DIRECTION_LONG
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req.offset = OFFSET_CLOSE
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# 委托转换
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reqList = self.mainEngine.convertOrderReq(req)
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vtOrderIDList = []
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if not reqList:
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return vtOrderIDList
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for convertedReq in reqList:
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vtOrderID = self.mainEngine.sendOrder(convertedReq, contract.gatewayName) # 发单
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self.orderStrategyDict[vtOrderID] = strategy # 保存vtOrderID和策略的映射关系
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self.strategyOrderDict[strategy.name].add(vtOrderID) # 添加到策略委托号集合中
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vtOrderIDList.append(vtOrderID)
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self.writeCtaLog(u'策略%s发送委托，%s，%s，%s@%s'
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%(strategy.name, vtSymbol, req.direction, volume, price))
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return vtOrderIDList
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#----------------------------------------------------------------------
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def cancelOrder(self, vtOrderID):
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"""撤单"""
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# 查询报单对象
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order = self.mainEngine.getOrder(vtOrderID)
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# 如果查询成功
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if order:
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# 检查是否报单还有效，只有有效时才发出撤单指令
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orderFinished = (order.status==STATUS_ALLTRADED or order.status==STATUS_CANCELLED)
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if not orderFinished:
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req = VtCancelOrderReq()
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req.symbol = order.symbol
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req.exchange = order.exchange
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req.frontID = order.frontID
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req.sessionID = order.sessionID
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req.orderID = order.orderID
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self.mainEngine.cancelOrder(req, order.gatewayName)
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#----------------------------------------------------------------------
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def sendStopOrder(self, vtSymbol, orderType, price, volume, strategy):
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"""发停止单（本地实现）"""
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self.stopOrderCount += 1
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stopOrderID = STOPORDERPREFIX + str(self.stopOrderCount)
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so = StopOrder()
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so.vtSymbol = vtSymbol
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so.orderType = orderType
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so.price = price
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so.volume = volume
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so.strategy = strategy
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so.stopOrderID = stopOrderID
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so.status = STOPORDER_WAITING
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if orderType == CTAORDER_BUY:
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so.direction = DIRECTION_LONG
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so.offset = OFFSET_OPEN
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elif orderType == CTAORDER_SELL:
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so.direction = DIRECTION_SHORT
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so.offset = OFFSET_CLOSE
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elif orderType == CTAORDER_SHORT:
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so.direction = DIRECTION_SHORT
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so.offset = OFFSET_OPEN
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elif orderType == CTAORDER_COVER:
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so.direction = DIRECTION_LONG
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so.offset = OFFSET_CLOSE
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# 保存stopOrder对象到字典中
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self.stopOrderDict[stopOrderID] = so
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self.workingStopOrderDict[stopOrderID] = so
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# 保存stopOrderID到策略委托号集合中
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self.strategyOrderDict[strategy.name].add(stopOrderID)
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# 推送停止单状态
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strategy.onStopOrder(so)
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return [stopOrderID]
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#----------------------------------------------------------------------
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def cancelStopOrder(self, stopOrderID):
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"""撤销停止单"""
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# 检查停止单是否存在
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if stopOrderID in self.workingStopOrderDict:
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so = self.workingStopOrderDict[stopOrderID]
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strategy = so.strategy
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# 更改停止单状态为已撤销
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so.status = STOPORDER_CANCELLED
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# 从活动停止单字典中移除
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del self.workingStopOrderDict[stopOrderID]
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# 从策略委托号集合中移除
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s = self.strategyOrderDict[strategy.name]
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if stopOrderID in s:
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s.remove(stopOrderID)
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# 通知策略
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strategy.onStopOrder(so)
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#----------------------------------------------------------------------
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def processStopOrder(self, tick):
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"""收到行情后处理本地停止单（检查是否要立即发出）"""
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vtSymbol = tick.vtSymbol
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# 首先检查是否有策略交易该合约
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if vtSymbol in self.tickStrategyDict:
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# 遍历等待中的停止单，检查是否会被触发
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for so in self.workingStopOrderDict.values():
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if so.vtSymbol == vtSymbol:
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longTriggered = so.direction==DIRECTION_LONG and tick.lastPrice>=so.price # 多头停止单被触发
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shortTriggered = so.direction==DIRECTION_SHORT and tick.lastPrice<=so.price # 空头停止单被触发
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if longTriggered or shortTriggered:
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# 买入和卖出分别以涨停跌停价发单（模拟市价单）
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if so.direction==DIRECTION_LONG:
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price = tick.upperLimit
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else:
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price = tick.lowerLimit
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# 发出市价委托
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self.sendOrder(so.vtSymbol, so.orderType, price, so.volume, so.strategy)
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# 从活动停止单字典中移除该停止单
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del self.workingStopOrderDict[so.stopOrderID]
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# 从策略委托号集合中移除
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s = self.strategyOrderDict[so.strategy.name]
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if so.stopOrderID in s:
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s.remove(so.stopOrderID)
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# 更新停止单状态，并通知策略
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so.status = STOPORDER_TRIGGERED
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so.strategy.onStopOrder(so)
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#----------------------------------------------------------------------
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def processTickEvent(self, event):
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"""处理行情推送"""
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tick = event.dict_['data']
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# 收到tick行情后，先处理本地停止单（检查是否要立即发出）
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self.processStopOrder(tick)
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# 推送tick到对应的策略实例进行处理
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if tick.vtSymbol in self.tickStrategyDict:
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# tick时间可能出现异常数据，使用try...except实现捕捉和过滤
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try:
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# 添加datetime字段
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if not tick.datetime:
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tick.datetime = datetime.strptime(' '.join([tick.date, tick.time]), '%Y%m%d %H:%M:%S.%f')
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except ValueError:
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self.writeCtaLog(traceback.format_exc())
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return
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# 逐个推送到策略实例中
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l = self.tickStrategyDict[tick.vtSymbol]
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for strategy in l:
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self.callStrategyFunc(strategy, strategy.onTick, tick)
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#----------------------------------------------------------------------
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def processOrderEvent(self, event):
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"""处理委托推送"""
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order = event.dict_['data']
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vtOrderID = order.vtOrderID
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if vtOrderID in self.orderStrategyDict:
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strategy = self.orderStrategyDict[vtOrderID]
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# 如果委托已经完成（拒单、撤销、全成），则从活动委托集合中移除
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if order.status in self.STATUS_FINISHED:
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s = self.strategyOrderDict[strategy.name]
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if vtOrderID in s:
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s.remove(vtOrderID)
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self.callStrategyFunc(strategy, strategy.onOrder, order)
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#----------------------------------------------------------------------
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def processTradeEvent(self, event):
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"""处理成交推送"""
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trade = event.dict_['data']
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# 过滤已经收到过的成交回报
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if trade.vtTradeID in self.tradeSet:
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return
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self.tradeSet.add(trade.vtTradeID)
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# 将成交推送到策略对象中
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if trade.vtOrderID in self.orderStrategyDict:
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strategy = self.orderStrategyDict[trade.vtOrderID]
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# 计算策略持仓
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if trade.direction == DIRECTION_LONG:
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strategy.pos += trade.volume
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else:
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strategy.pos -= trade.volume
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self.callStrategyFunc(strategy, strategy.onTrade, trade)
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# 保存策略持仓到数据库
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self.savePosition(strategy)
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#----------------------------------------------------------------------
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def registerEvent(self):
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"""注册事件监听"""
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self.eventEngine.register(EVENT_TICK, self.processTickEvent)
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self.eventEngine.register(EVENT_ORDER, self.processOrderEvent)
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self.eventEngine.register(EVENT_TRADE, self.processTradeEvent)
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#----------------------------------------------------------------------
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def insertData(self, dbName, collectionName, data):
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"""插入数据到数据库（这里的data可以是VtTickData或者VtBarData）"""
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self.mainEngine.dbInsert(dbName, collectionName, data.__dict__)
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#----------------------------------------------------------------------
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def loadBar(self, dbName, collectionName, days):
|
||||
"""从数据库中读取Bar数据，startDate是datetime对象"""
|
||||
startDate = self.today - timedelta(days)
|
||||
|
||||
d = {'datetime':{'$gte':startDate}}
|
||||
barData = self.mainEngine.dbQuery(dbName, collectionName, d, 'datetime')
|
||||
|
||||
l = []
|
||||
for d in barData:
|
||||
bar = VtBarData()
|
||||
bar.__dict__ = d
|
||||
l.append(bar)
|
||||
return l
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def loadTick(self, dbName, collectionName, days):
|
||||
"""从数据库中读取Tick数据，startDate是datetime对象"""
|
||||
startDate = self.today - timedelta(days)
|
||||
|
||||
d = {'datetime':{'$gte':startDate}}
|
||||
tickData = self.mainEngine.dbQuery(dbName, collectionName, d, 'datetime')
|
||||
|
||||
l = []
|
||||
for d in tickData:
|
||||
tick = VtTickData()
|
||||
tick.__dict__ = d
|
||||
l.append(tick)
|
||||
return l
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def writeCtaLog(self, content):
|
||||
"""快速发出CTA模块日志事件"""
|
||||
log = VtLogData()
|
||||
log.logContent = content
|
||||
log.gatewayName = 'CTA_STRATEGY'
|
||||
event = Event(type_=EVENT_CTA_LOG)
|
||||
event.dict_['data'] = log
|
||||
self.eventEngine.put(event)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def loadStrategy(self, setting):
|
||||
"""载入策略"""
|
||||
try:
|
||||
name = setting['name']
|
||||
className = setting['className']
|
||||
except Exception, e:
|
||||
self.writeCtaLog(u'载入策略出错：%s' %e)
|
||||
return
|
||||
|
||||
# 获取策略类
|
||||
strategyClass = STRATEGY_CLASS.get(className, None)
|
||||
if not strategyClass:
|
||||
self.writeCtaLog(u'找不到策略类：%s' %className)
|
||||
return
|
||||
|
||||
# 防止策略重名
|
||||
if name in self.strategyDict:
|
||||
self.writeCtaLog(u'策略实例重名：%s' %name)
|
||||
else:
|
||||
# 创建策略实例
|
||||
strategy = strategyClass(self, setting)
|
||||
self.strategyDict[name] = strategy
|
||||
|
||||
# 创建委托号列表
|
||||
self.strategyOrderDict[name] = set()
|
||||
|
||||
# 保存Tick映射关系
|
||||
if strategy.vtSymbol in self.tickStrategyDict:
|
||||
l = self.tickStrategyDict[strategy.vtSymbol]
|
||||
else:
|
||||
l = []
|
||||
self.tickStrategyDict[strategy.vtSymbol] = l
|
||||
l.append(strategy)
|
||||
|
||||
# 订阅合约
|
||||
contract = self.mainEngine.getContract(strategy.vtSymbol)
|
||||
if contract:
|
||||
req = VtSubscribeReq()
|
||||
req.symbol = contract.symbol
|
||||
req.exchange = contract.exchange
|
||||
|
||||
# 对于IB接口订阅行情时所需的货币和产品类型，从策略属性中获取
|
||||
req.currency = strategy.currency
|
||||
req.productClass = strategy.productClass
|
||||
|
||||
self.mainEngine.subscribe(req, contract.gatewayName)
|
||||
else:
|
||||
self.writeCtaLog(u'%s的交易合约%s无法找到' %(name, strategy.vtSymbol))
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def initStrategy(self, name):
|
||||
"""初始化策略"""
|
||||
if name in self.strategyDict:
|
||||
strategy = self.strategyDict[name]
|
||||
|
||||
if not strategy.inited:
|
||||
strategy.inited = True
|
||||
self.callStrategyFunc(strategy, strategy.onInit)
|
||||
else:
|
||||
self.writeCtaLog(u'请勿重复初始化策略实例：%s' %name)
|
||||
else:
|
||||
self.writeCtaLog(u'策略实例不存在：%s' %name)
|
||||
|
||||
#---------------------------------------------------------------------
|
||||
def startStrategy(self, name):
|
||||
"""启动策略"""
|
||||
if name in self.strategyDict:
|
||||
strategy = self.strategyDict[name]
|
||||
|
||||
if strategy.inited and not strategy.trading:
|
||||
strategy.trading = True
|
||||
self.callStrategyFunc(strategy, strategy.onStart)
|
||||
else:
|
||||
self.writeCtaLog(u'策略实例不存在：%s' %name)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def stopStrategy(self, name):
|
||||
"""停止策略"""
|
||||
if name in self.strategyDict:
|
||||
strategy = self.strategyDict[name]
|
||||
|
||||
if strategy.trading:
|
||||
strategy.trading = False
|
||||
self.callStrategyFunc(strategy, strategy.onStop)
|
||||
|
||||
# 对该策略发出的所有限价单进行撤单
|
||||
for vtOrderID, s in self.orderStrategyDict.items():
|
||||
if s is strategy:
|
||||
self.cancelOrder(vtOrderID)
|
||||
|
||||
# 对该策略发出的所有本地停止单撤单
|
||||
for stopOrderID, so in self.workingStopOrderDict.items():
|
||||
if so.strategy is strategy:
|
||||
self.cancelStopOrder(stopOrderID)
|
||||
else:
|
||||
self.writeCtaLog(u'策略实例不存在：%s' %name)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def initAll(self):
|
||||
"""全部初始化"""
|
||||
for name in self.strategyDict.keys():
|
||||
self.initStrategy(name)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def startAll(self):
|
||||
"""全部启动"""
|
||||
for name in self.strategyDict.keys():
|
||||
self.startStrategy(name)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def stopAll(self):
|
||||
"""全部停止"""
|
||||
for name in self.strategyDict.keys():
|
||||
self.stopStrategy(name)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def saveSetting(self):
|
||||
"""保存策略配置"""
|
||||
with open(self.settingfilePath, 'w') as f:
|
||||
l = []
|
||||
|
||||
for strategy in self.strategyDict.values():
|
||||
setting = {}
|
||||
for param in strategy.paramList:
|
||||
setting[param] = strategy.__getattribute__(param)
|
||||
l.append(setting)
|
||||
|
||||
jsonL = json.dumps(l, indent=4)
|
||||
f.write(jsonL)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def loadSetting(self):
|
||||
"""读取策略配置"""
|
||||
with open(self.settingfilePath) as f:
|
||||
l = json.load(f)
|
||||
|
||||
for setting in l:
|
||||
self.loadStrategy(setting)
|
||||
|
||||
self.loadPosition()
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def getStrategyVar(self, name):
|
||||
"""获取策略当前的变量字典"""
|
||||
if name in self.strategyDict:
|
||||
strategy = self.strategyDict[name]
|
||||
varDict = OrderedDict()
|
||||
|
||||
for key in strategy.varList:
|
||||
varDict[key] = strategy.__getattribute__(key)
|
||||
|
||||
return varDict
|
||||
else:
|
||||
self.writeCtaLog(u'策略实例不存在：' + name)
|
||||
return None
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def getStrategyParam(self, name):
|
||||
"""获取策略的参数字典"""
|
||||
if name in self.strategyDict:
|
||||
strategy = self.strategyDict[name]
|
||||
paramDict = OrderedDict()
|
||||
|
||||
for key in strategy.paramList:
|
||||
paramDict[key] = strategy.__getattribute__(key)
|
||||
|
||||
return paramDict
|
||||
else:
|
||||
self.writeCtaLog(u'策略实例不存在：' + name)
|
||||
return None
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def putStrategyEvent(self, name):
|
||||
"""触发策略状态变化事件（通常用于通知GUI更新）"""
|
||||
event = Event(EVENT_CTA_STRATEGY+name)
|
||||
self.eventEngine.put(event)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def callStrategyFunc(self, strategy, func, params=None):
|
||||
"""调用策略的函数，若触发异常则捕捉"""
|
||||
try:
|
||||
if params:
|
||||
func(params)
|
||||
else:
|
||||
func()
|
||||
except Exception:
|
||||
# 停止策略，修改状态为未初始化
|
||||
strategy.trading = False
|
||||
strategy.inited = False
|
||||
|
||||
# 发出日志
|
||||
content = '\n'.join([u'策略%s触发异常已停止' %strategy.name,
|
||||
traceback.format_exc()])
|
||||
self.writeCtaLog(content)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def savePosition(self, strategy):
|
||||
"""保存策略的持仓情况到数据库"""
|
||||
flt = {'name': strategy.name,
|
||||
'vtSymbol': strategy.vtSymbol}
|
||||
|
||||
d = {'name': strategy.name,
|
||||
'vtSymbol': strategy.vtSymbol,
|
||||
'pos': strategy.pos}
|
||||
|
||||
self.mainEngine.dbUpdate(POSITION_DB_NAME, strategy.className,
|
||||
d, flt, True)
|
||||
|
||||
content = '策略%s持仓保存成功，当前持仓%s' %(strategy.name, strategy.pos)
|
||||
self.writeCtaLog(content)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def loadPosition(self):
|
||||
"""从数据库载入策略的持仓情况"""
|
||||
for strategy in self.strategyDict.values():
|
||||
flt = {'name': strategy.name,
|
||||
'vtSymbol': strategy.vtSymbol}
|
||||
posData = self.mainEngine.dbQuery(POSITION_DB_NAME, strategy.className, flt)
|
||||
|
||||
for d in posData:
|
||||
strategy.pos = d['pos']
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def roundToPriceTick(self, priceTick, price):
|
||||
"""取整价格到合约最小价格变动"""
|
||||
if not priceTick:
|
||||
return price
|
||||
|
||||
newPrice = round(price/priceTick, 0) * priceTick
|
||||
return newPrice
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def stop(self):
|
||||
"""停止"""
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def cancelAll(self, name):
|
||||
"""全部撤单"""
|
||||
s = self.strategyOrderDict[name]
|
||||
|
||||
# 遍历列表，全部撤单
|
||||
# 这里不能直接遍历集合s，因为撤单时会修改s中的内容，导致出错
|
||||
for orderID in list(s):
|
||||
if STOPORDERPREFIX in orderID:
|
||||
self.cancelStopOrder(orderID)
|
||||
else:
|
||||
self.cancelOrder(orderID)
|
||||
|
||||
@ -1,507 +0,0 @@
|
||||
# encoding: UTF-8
|
||||
|
||||
"""
|
||||
本模块中主要包含：
|
||||
1. 从通联数据下载历史行情的引擎
|
||||
2. 用来把MultiCharts导出的历史数据载入到MongoDB中用的函数
|
||||
3. 增加从通达信导出的历史数据载入到MongoDB中的函数
|
||||
"""
|
||||
|
||||
from datetime import datetime, timedelta
|
||||
from time import time
|
||||
from multiprocessing.pool import ThreadPool
|
||||
|
||||
import pymongo
|
||||
|
||||
from vnpy.data.datayes import DatayesApi
|
||||
from vnpy.trader.vtGlobal import globalSetting
|
||||
from vnpy.trader.vtConstant import *
|
||||
from vnpy.trader.vtObject import VtBarData
|
||||
from .ctaBase import SETTING_DB_NAME, TICK_DB_NAME, MINUTE_DB_NAME, DAILY_DB_NAME
|
||||
|
||||
|
||||
# 以下为vn.trader和通联数据规定的交易所代码映射
|
||||
VT_TO_DATAYES_EXCHANGE = {}
|
||||
VT_TO_DATAYES_EXCHANGE[EXCHANGE_CFFEX] = 'CCFX' # 中金所
|
||||
VT_TO_DATAYES_EXCHANGE[EXCHANGE_SHFE] = 'XSGE' # 上期所
|
||||
VT_TO_DATAYES_EXCHANGE[EXCHANGE_CZCE] = 'XZCE' # 郑商所
|
||||
VT_TO_DATAYES_EXCHANGE[EXCHANGE_DCE] = 'XDCE' # 大商所
|
||||
DATAYES_TO_VT_EXCHANGE = {v:k for k,v in VT_TO_DATAYES_EXCHANGE.items()}
|
||||
|
||||
|
||||
########################################################################
|
||||
class HistoryDataEngine(object):
|
||||
"""CTA模块用的历史数据引擎"""
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def __init__(self, token):
|
||||
"""Constructor"""
|
||||
self.dbClient = pymongo.MongoClient(globalSetting['mongoHost'], globalSetting['mongoPort'])
|
||||
self.datayesClient = DatayesApi(token)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def lastTradeDate(self):
|
||||
"""获取最近交易日（只考虑工作日，无法检查国内假期）"""
|
||||
today = datetime.now()
|
||||
oneday = timedelta(1)
|
||||
|
||||
if today.weekday() == 5:
|
||||
today = today - oneday
|
||||
elif today.weekday() == 6:
|
||||
today = today - oneday*2
|
||||
|
||||
return today.strftime('%Y%m%d')
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def readFuturesProductSymbol(self):
|
||||
"""查询所有期货产品代码"""
|
||||
cx = self.dbClient[SETTING_DB_NAME]['FuturesSymbol'].find()
|
||||
return set([d['productSymbol'] for d in cx]) # 这里返回的是集合（因为会重复）
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def readFuturesSymbol(self):
|
||||
"""查询所有期货合约代码"""
|
||||
cx = self.dbClient[SETTING_DB_NAME]['FuturesSymbol'].find()
|
||||
return [d['symbol'] for d in cx] # 这里返回的是列表
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def downloadFuturesSymbol(self, tradeDate=''):
|
||||
"""下载所有期货的代码"""
|
||||
if not tradeDate:
|
||||
tradeDate = self.lastTradeDate()
|
||||
|
||||
self.dbClient[SETTING_DB_NAME]['FuturesSymbol'].ensure_index([('symbol', pymongo.ASCENDING)],
|
||||
unique=True)
|
||||
|
||||
|
||||
path = 'api/market/getMktMFutd.json'
|
||||
|
||||
params = {}
|
||||
params['tradeDate'] = tradeDate
|
||||
|
||||
data = self.datayesClient.downloadData(path, params)
|
||||
|
||||
if data:
|
||||
for d in data:
|
||||
symbolDict = {}
|
||||
symbolDict['symbol'] = d['ticker']
|
||||
symbolDict['productSymbol'] = d['contractObject']
|
||||
flt = {'symbol': d['ticker']}
|
||||
|
||||
self.dbClient[SETTING_DB_NAME]['FuturesSymbol'].update_one(flt, {'$set':symbolDict},
|
||||
upsert=True)
|
||||
print u'期货合约代码下载完成'
|
||||
else:
|
||||
print u'期货合约代码下载失败'
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def downloadFuturesDailyBar(self, symbol):
|
||||
"""
|
||||
下载期货合约的日行情，symbol是合约代码，
|
||||
若最后四位为0000（如IF0000），代表下载连续合约。
|
||||
"""
|
||||
print u'开始下载%s日行情' %symbol
|
||||
|
||||
# 查询数据库中已有数据的最后日期
|
||||
cl = self.dbClient[DAILY_DB_NAME][symbol]
|
||||
cx = cl.find(sort=[('datetime', pymongo.DESCENDING)])
|
||||
if cx.count():
|
||||
last = cx[0]
|
||||
else:
|
||||
last = ''
|
||||
|
||||
# 主力合约
|
||||
if '0000' in symbol:
|
||||
path = 'api/market/getMktMFutd.json'
|
||||
|
||||
params = {}
|
||||
params['contractObject'] = symbol.replace('0000', '')
|
||||
params['mainCon'] = 1
|
||||
if last:
|
||||
params['startDate'] = last['date']
|
||||
# 交易合约
|
||||
else:
|
||||
path = 'api/market/getMktFutd.json'
|
||||
|
||||
params = {}
|
||||
params['ticker'] = symbol
|
||||
if last:
|
||||
params['startDate'] = last['date']
|
||||
|
||||
# 开始下载数据
|
||||
data = self.datayesClient.downloadData(path, params)
|
||||
|
||||
if data:
|
||||
# 创建datetime索引
|
||||
self.dbClient[DAILY_DB_NAME][symbol].ensure_index([('datetime', pymongo.ASCENDING)],
|
||||
unique=True)
|
||||
|
||||
for d in data:
|
||||
bar = VtBarData()
|
||||
bar.vtSymbol = symbol
|
||||
bar.symbol = symbol
|
||||
try:
|
||||
bar.exchange = DATAYES_TO_VT_EXCHANGE.get(d.get('exchangeCD', ''), '')
|
||||
bar.open = d.get('openPrice', 0)
|
||||
bar.high = d.get('highestPrice', 0)
|
||||
bar.low = d.get('lowestPrice', 0)
|
||||
bar.close = d.get('closePrice', 0)
|
||||
bar.date = d.get('tradeDate', '').replace('-', '')
|
||||
bar.time = ''
|
||||
bar.datetime = datetime.strptime(bar.date, '%Y%m%d')
|
||||
bar.volume = d.get('turnoverVol', 0)
|
||||
bar.openInterest = d.get('openInt', 0)
|
||||
except KeyError:
|
||||
print d
|
||||
|
||||
flt = {'datetime': bar.datetime}
|
||||
self.dbClient[DAILY_DB_NAME][symbol].update_one(flt, {'$set':bar.__dict__}, upsert=True)
|
||||
|
||||
print u'%s下载完成' %symbol
|
||||
else:
|
||||
print u'找不到合约%s' %symbol
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def downloadAllFuturesDailyBar(self):
|
||||
"""下载所有期货的主力合约日行情"""
|
||||
start = time()
|
||||
print u'开始下载所有期货的主力合约日行情'
|
||||
|
||||
productSymbolSet = self.readFuturesProductSymbol()
|
||||
|
||||
print u'代码列表读取成功，产品代码：%s' %productSymbolSet
|
||||
|
||||
# 这里也测试了线程池，但可能由于下载函数中涉及较多的数据格
|
||||
# 式转换，CPU开销较大，多线程效率并无显著改变。
|
||||
#p = ThreadPool(10)
|
||||
#p.map(self.downloadFuturesDailyBar, productSymbolSet)
|
||||
#p.close()
|
||||
#p.join()
|
||||
|
||||
for productSymbol in productSymbolSet:
|
||||
self.downloadFuturesDailyBar(productSymbol+'0000')
|
||||
|
||||
print u'所有期货的主力合约日行情已经全部下载完成, 耗时%s秒' %(time()-start)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def downloadFuturesIntradayBar(self, symbol):
|
||||
"""下载期货的日内分钟行情"""
|
||||
print u'开始下载%s日内分钟行情' %symbol
|
||||
|
||||
# 日内分钟行情只有具体合约
|
||||
path = 'api/market/getFutureBarRTIntraDay.json'
|
||||
|
||||
params = {}
|
||||
params['instrumentID'] = symbol
|
||||
params['unit'] = 1
|
||||
|
||||
data = self.datayesClient.downloadData(path, params)
|
||||
|
||||
if data:
|
||||
today = datetime.now().strftime('%Y%m%d')
|
||||
|
||||
# 创建datetime索引
|
||||
self.dbClient[MINUTE_DB_NAME][symbol].ensure_index([('datetime', pymongo.ASCENDING)],
|
||||
unique=True)
|
||||
|
||||
for d in data:
|
||||
bar = VtBarData()
|
||||
bar.vtSymbol = symbol
|
||||
bar.symbol = symbol
|
||||
try:
|
||||
bar.exchange = DATAYES_TO_VT_EXCHANGE.get(d.get('exchangeCD', ''), '')
|
||||
bar.open = d.get('openPrice', 0)
|
||||
bar.high = d.get('highestPrice', 0)
|
||||
bar.low = d.get('lowestPrice', 0)
|
||||
bar.close = d.get('closePrice', 0)
|
||||
bar.date = today
|
||||
bar.time = d.get('barTime', '')
|
||||
bar.datetime = datetime.strptime(bar.date + ' ' + bar.time, '%Y%m%d %H:%M')
|
||||
bar.volume = d.get('totalVolume', 0)
|
||||
bar.openInterest = 0
|
||||
except KeyError:
|
||||
print d
|
||||
|
||||
flt = {'datetime': bar.datetime}
|
||||
self.dbClient[MINUTE_DB_NAME][symbol].update_one(flt, {'$set':bar.__dict__}, upsert=True)
|
||||
|
||||
print u'%s下载完成' %symbol
|
||||
else:
|
||||
print u'找不到合约%s' %symbol
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def downloadEquitySymbol(self, tradeDate=''):
|
||||
"""下载所有股票的代码"""
|
||||
if not tradeDate:
|
||||
tradeDate = self.lastTradeDate()
|
||||
|
||||
self.dbClient[SETTING_DB_NAME]['EquitySymbol'].ensure_index([('symbol', pymongo.ASCENDING)],
|
||||
unique=True)
|
||||
|
||||
|
||||
path = 'api/market/getMktEqud.json'
|
||||
|
||||
params = {}
|
||||
params['tradeDate'] = tradeDate
|
||||
|
||||
data = self.datayesClient.downloadData(path, params)
|
||||
|
||||
if data:
|
||||
for d in data:
|
||||
symbolDict = {}
|
||||
symbolDict['symbol'] = d['ticker']
|
||||
flt = {'symbol': d['ticker']}
|
||||
|
||||
self.dbClient[SETTING_DB_NAME]['EquitySymbol'].update_one(flt, {'$set':symbolDict},
|
||||
upsert=True)
|
||||
print u'股票代码下载完成'
|
||||
else:
|
||||
print u'股票代码下载失败'
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def downloadEquityDailyBar(self, symbol):
|
||||
"""
|
||||
下载股票的日行情，symbol是股票代码
|
||||
"""
|
||||
print u'开始下载%s日行情' %symbol
|
||||
|
||||
# 查询数据库中已有数据的最后日期
|
||||
cl = self.dbClient[DAILY_DB_NAME][symbol]
|
||||
cx = cl.find(sort=[('datetime', pymongo.DESCENDING)])
|
||||
if cx.count():
|
||||
last = cx[0]
|
||||
else:
|
||||
last = ''
|
||||
|
||||
# 开始下载数据
|
||||
path = 'api/market/getMktEqud.json'
|
||||
|
||||
params = {}
|
||||
params['ticker'] = symbol
|
||||
if last:
|
||||
params['beginDate'] = last['date']
|
||||
|
||||
data = self.datayesClient.downloadData(path, params)
|
||||
|
||||
if data:
|
||||
# 创建datetime索引
|
||||
self.dbClient[DAILY_DB_NAME][symbol].ensure_index([('datetime', pymongo.ASCENDING)],
|
||||
unique=True)
|
||||
|
||||
for d in data:
|
||||
bar = VtBarData()
|
||||
bar.vtSymbol = symbol
|
||||
bar.symbol = symbol
|
||||
try:
|
||||
bar.exchange = DATAYES_TO_VT_EXCHANGE.get(d.get('exchangeCD', ''), '')
|
||||
bar.open = d.get('openPrice', 0)
|
||||
bar.high = d.get('highestPrice', 0)
|
||||
bar.low = d.get('lowestPrice', 0)
|
||||
bar.close = d.get('closePrice', 0)
|
||||
bar.date = d.get('tradeDate', '').replace('-', '')
|
||||
bar.time = ''
|
||||
bar.datetime = datetime.strptime(bar.date, '%Y%m%d')
|
||||
bar.volume = d.get('turnoverVol', 0)
|
||||
except KeyError:
|
||||
print d
|
||||
|
||||
flt = {'datetime': bar.datetime}
|
||||
self.dbClient[DAILY_DB_NAME][symbol].update_one(flt, {'$set':bar.__dict__}, upsert=True)
|
||||
|
||||
print u'%s下载完成' %symbol
|
||||
else:
|
||||
print u'找不到合约%s' %symbol
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def downloadEquityDailyBarts(self, symbol):
|
||||
"""
|
||||
下载股票的日行情，symbol是股票代码
|
||||
"""
|
||||
print u'开始下载%s日行情' %symbol
|
||||
|
||||
# 查询数据库中已有数据的最后日期
|
||||
cl = self.dbClient[DAILY_DB_NAME][symbol]
|
||||
cx = cl.find(sort=[('datetime', pymongo.DESCENDING)])
|
||||
if cx.count():
|
||||
last = cx[0]
|
||||
else:
|
||||
last = ''
|
||||
# 开始下载数据
|
||||
import tushare as ts
|
||||
|
||||
if last:
|
||||
start = last['date'][:4]+'-'+last['date'][4:6]+'-'+last['date'][6:]
|
||||
|
||||
data = ts.get_k_data(symbol,start)
|
||||
|
||||
if not data.empty:
|
||||
# 创建datetime索引
|
||||
self.dbClient[DAILY_DB_NAME][symbol].ensure_index([('datetime', pymongo.ASCENDING)],
|
||||
unique=True)
|
||||
|
||||
for index, d in data.iterrows():
|
||||
bar = VtBarData()
|
||||
bar.vtSymbol = symbol
|
||||
bar.symbol = symbol
|
||||
try:
|
||||
bar.open = d.get('open')
|
||||
bar.high = d.get('high')
|
||||
bar.low = d.get('low')
|
||||
bar.close = d.get('close')
|
||||
bar.date = d.get('date').replace('-', '')
|
||||
bar.time = ''
|
||||
bar.datetime = datetime.strptime(bar.date, '%Y%m%d')
|
||||
bar.volume = d.get('volume')
|
||||
except KeyError:
|
||||
print d
|
||||
|
||||
flt = {'datetime': bar.datetime}
|
||||
self.dbClient[DAILY_DB_NAME][symbol].update_one(flt, {'$set':bar.__dict__}, upsert=True)
|
||||
|
||||
print u'%s下载完成' %symbol
|
||||
else:
|
||||
print u'找不到合约%s' %symbol
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def loadMcCsv(fileName, dbName, symbol):
|
||||
"""将Multicharts导出的csv格式的历史数据插入到Mongo数据库中"""
|
||||
import csv
|
||||
|
||||
start = time()
|
||||
print u'开始读取CSV文件%s中的数据插入到%s的%s中' %(fileName, dbName, symbol)
|
||||
|
||||
# 锁定集合，并创建索引
|
||||
client = pymongo.MongoClient(globalSetting['mongoHost'], globalSetting['mongoPort'])
|
||||
collection = client[dbName][symbol]
|
||||
collection.ensure_index([('datetime', pymongo.ASCENDING)], unique=True)
|
||||
|
||||
# 读取数据和插入到数据库
|
||||
reader = csv.DictReader(file(fileName, 'r'))
|
||||
for d in reader:
|
||||
bar = VtBarData()
|
||||
bar.vtSymbol = symbol
|
||||
bar.symbol = symbol
|
||||
bar.open = float(d['Open'])
|
||||
bar.high = float(d['High'])
|
||||
bar.low = float(d['Low'])
|
||||
bar.close = float(d['Close'])
|
||||
bar.date = datetime.strptime(d['Date'], '%Y-%m-%d').strftime('%Y%m%d')
|
||||
bar.time = d['Time']
|
||||
bar.datetime = datetime.strptime(bar.date + ' ' + bar.time, '%Y%m%d %H:%M:%S')
|
||||
bar.volume = d['TotalVolume']
|
||||
|
||||
flt = {'datetime': bar.datetime}
|
||||
collection.update_one(flt, {'$set':bar.__dict__}, upsert=True)
|
||||
print bar.date, bar.time
|
||||
|
||||
print u'插入完毕，耗时：%s' % (time()-start)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def loadTbCsv(fileName, dbName, symbol):
|
||||
"""将TradeBlazer导出的csv格式的历史分钟数据插入到Mongo数据库中"""
|
||||
import csv
|
||||
|
||||
start = time()
|
||||
print u'开始读取CSV文件%s中的数据插入到%s的%s中' %(fileName, dbName, symbol)
|
||||
|
||||
# 锁定集合，并创建索引
|
||||
client = pymongo.MongoClient(globalSetting['mongoHost'], globalSetting['mongoPort'])
|
||||
collection = client[dbName][symbol]
|
||||
collection.ensure_index([('datetime', pymongo.ASCENDING)], unique=True)
|
||||
|
||||
# 读取数据和插入到数据库
|
||||
reader = csv.reader(file(fileName, 'r'))
|
||||
for d in reader:
|
||||
bar = VtBarData()
|
||||
bar.vtSymbol = symbol
|
||||
bar.symbol = symbol
|
||||
bar.open = float(d[1])
|
||||
bar.high = float(d[2])
|
||||
bar.low = float(d[3])
|
||||
bar.close = float(d[4])
|
||||
bar.date = datetime.strptime(d[0].split(' ')[0], '%Y/%m/%d').strftime('%Y%m%d')
|
||||
bar.time = d[0].split(' ')[1]+":00"
|
||||
bar.datetime = datetime.strptime(bar.date + ' ' + bar.time, '%Y%m%d %H:%M:%S')
|
||||
bar.volume = d[5]
|
||||
bar.openInterest = d[6]
|
||||
|
||||
flt = {'datetime': bar.datetime}
|
||||
collection.update_one(flt, {'$set':bar.__dict__}, upsert=True)
|
||||
print bar.date, bar.time
|
||||
|
||||
print u'插入完毕，耗时：%s' % (time()-start)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def loadTbPlusCsv(fileName, dbName, symbol):
|
||||
"""将TB极速版导出的csv格式的历史分钟数据插入到Mongo数据库中"""
|
||||
import csv
|
||||
|
||||
start = time()
|
||||
print u'开始读取CSV文件%s中的数据插入到%s的%s中' %(fileName, dbName, symbol)
|
||||
|
||||
# 锁定集合，并创建索引
|
||||
client = pymongo.MongoClient(globalSetting['mongoHost'], globalSetting['mongoPort'])
|
||||
collection = client[dbName][symbol]
|
||||
collection.ensure_index([('datetime', pymongo.ASCENDING)], unique=True)
|
||||
|
||||
# 读取数据和插入到数据库
|
||||
reader = csv.reader(file(fileName, 'r'))
|
||||
for d in reader:
|
||||
bar = VtBarData()
|
||||
bar.vtSymbol = symbol
|
||||
bar.symbol = symbol
|
||||
bar.open = float(d[2])
|
||||
bar.high = float(d[3])
|
||||
bar.low = float(d[4])
|
||||
bar.close = float(d[5])
|
||||
bar.date = str(d[0])
|
||||
|
||||
tempstr=str(round(float(d[1])*10000)).split(".")[0].zfill(4)
|
||||
bar.time = tempstr[:2]+":"+tempstr[2:4]+":00"
|
||||
|
||||
bar.datetime = datetime.strptime(bar.date + ' ' + bar.time, '%Y%m%d %H:%M:%S')
|
||||
bar.volume = d[6]
|
||||
bar.openInterest = d[7]
|
||||
flt = {'datetime': bar.datetime}
|
||||
collection.update_one(flt, {'$set':bar.__dict__}, upsert=True)
|
||||
print bar.date, bar.time
|
||||
|
||||
print u'插入完毕，耗时：%s' % (time()-start)
|
||||
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def loadTdxCsv(fileName, dbName, symbol):
|
||||
"""将通达信导出的csv格式的历史分钟数据插入到Mongo数据库中"""
|
||||
import csv
|
||||
|
||||
start = time()
|
||||
print u'开始读取CSV文件%s中的数据插入到%s的%s中' %(fileName, dbName, symbol)
|
||||
|
||||
# 锁定集合，并创建索引
|
||||
client = pymongo.MongoClient(globalSetting['mongoHost'], globalSetting['mongoPort'])
|
||||
collection = client[dbName][symbol]
|
||||
collection.ensure_index([('datetime', pymongo.ASCENDING)], unique=True)
|
||||
|
||||
# 读取数据和插入到数据库
|
||||
reader = csv.reader(file(fileName, 'r'))
|
||||
for d in reader:
|
||||
bar = VtBarData()
|
||||
bar.vtSymbol = symbol
|
||||
bar.symbol = symbol
|
||||
bar.open = float(d[2])
|
||||
bar.high = float(d[3])
|
||||
bar.low = float(d[4])
|
||||
bar.close = float(d[5])
|
||||
bar.date = datetime.strptime(d[0], '%Y/%m/%d').strftime('%Y%m%d')
|
||||
bar.time = d[1][:2]+':'+d[1][2:4]+':00'
|
||||
bar.datetime = datetime.strptime(bar.date + ' ' + bar.time, '%Y%m%d %H:%M:%S')
|
||||
bar.volume = d[6]
|
||||
bar.openInterest = d[7]
|
||||
|
||||
flt = {'datetime': bar.datetime}
|
||||
collection.update_one(flt, {'$set':bar.__dict__}, upsert=True)
|
||||
print bar.date, bar.time
|
||||
|
||||
print u'插入完毕，耗时：%s' % (time()-start)
|
||||
|
||||
|
||||
@ -1,580 +0,0 @@
|
||||
# encoding: UTF-8
|
||||
|
||||
'''
|
||||
本文件包含了CTA引擎中的策略开发用模板，开发策略时需要继承CtaTemplate类。
|
||||
'''
|
||||
|
||||
import numpy as np
|
||||
import talib
|
||||
|
||||
from vnpy.trader.vtConstant import *
|
||||
from vnpy.trader.vtObject import VtBarData
|
||||
|
||||
from .ctaBase import *
|
||||
|
||||
|
||||
########################################################################
|
||||
class CtaTemplate(object):
|
||||
"""CTA策略模板"""
|
||||
|
||||
# 策略类的名称和作者
|
||||
className = 'CtaTemplate'
|
||||
author = EMPTY_UNICODE
|
||||
|
||||
# MongoDB数据库的名称，K线数据库默认为1分钟
|
||||
tickDbName = TICK_DB_NAME
|
||||
barDbName = MINUTE_DB_NAME
|
||||
|
||||
# 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
|
||||
productClass = EMPTY_STRING # 产品类型（只有IB接口需要）
|
||||
currency = EMPTY_STRING # 货币（只有IB接口需要）
|
||||
|
||||
# 策略的基本变量，由引擎管理
|
||||
inited = False # 是否进行了初始化
|
||||
trading = False # 是否启动交易，由引擎管理
|
||||
pos = 0 # 持仓情况
|
||||
|
||||
# 参数列表，保存了参数的名称
|
||||
paramList = ['name',
|
||||
'className',
|
||||
'author',
|
||||
'vtSymbol']
|
||||
|
||||
# 变量列表，保存了变量的名称
|
||||
varList = ['inited',
|
||||
'trading',
|
||||
'pos']
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def __init__(self, ctaEngine, setting):
|
||||
"""Constructor"""
|
||||
self.ctaEngine = ctaEngine
|
||||
|
||||
# 设置策略的参数
|
||||
if setting:
|
||||
d = self.__dict__
|
||||
for key in self.paramList:
|
||||
if key in setting:
|
||||
d[key] = setting[key]
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def onInit(self):
|
||||
"""初始化策略（必须由用户继承实现）"""
|
||||
raise NotImplementedError
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def onStart(self):
|
||||
"""启动策略（必须由用户继承实现）"""
|
||||
raise NotImplementedError
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def onStop(self):
|
||||
"""停止策略（必须由用户继承实现）"""
|
||||
raise NotImplementedError
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def onTick(self, tick):
|
||||
"""收到行情TICK推送（必须由用户继承实现）"""
|
||||
raise NotImplementedError
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def onOrder(self, order):
|
||||
"""收到委托变化推送（必须由用户继承实现）"""
|
||||
raise NotImplementedError
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def onTrade(self, trade):
|
||||
"""收到成交推送（必须由用户继承实现）"""
|
||||
raise NotImplementedError
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def onBar(self, bar):
|
||||
"""收到Bar推送（必须由用户继承实现）"""
|
||||
raise NotImplementedError
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def onStopOrder(self, so):
|
||||
"""收到停止单推送（必须由用户继承实现）"""
|
||||
raise NotImplementedError
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def buy(self, price, volume, stop=False):
|
||||
"""买开"""
|
||||
return self.sendOrder(CTAORDER_BUY, price, volume, stop)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def sell(self, price, volume, stop=False):
|
||||
"""卖平"""
|
||||
return self.sendOrder(CTAORDER_SELL, price, volume, stop)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def short(self, price, volume, stop=False):
|
||||
"""卖开"""
|
||||
return self.sendOrder(CTAORDER_SHORT, price, volume, stop)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def cover(self, price, volume, stop=False):
|
||||
"""买平"""
|
||||
return self.sendOrder(CTAORDER_COVER, price, volume, stop)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def sendOrder(self, orderType, price, volume, stop=False):
|
||||
"""发送委托"""
|
||||
if self.trading:
|
||||
# 如果stop为True，则意味着发本地停止单
|
||||
if stop:
|
||||
vtOrderIDList = self.ctaEngine.sendStopOrder(self.vtSymbol, orderType, price, volume, self)
|
||||
else:
|
||||
vtOrderIDList = self.ctaEngine.sendOrder(self.vtSymbol, orderType, price, volume, self)
|
||||
return vtOrderIDList
|
||||
else:
|
||||
# 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:
|
||||
self.ctaEngine.cancelOrder(vtOrderID)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def cancelAll(self):
|
||||
"""全部撤单"""
|
||||
self.ctaEngine.cancelAll(self.name)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def insertTick(self, tick):
|
||||
"""向数据库中插入tick数据"""
|
||||
self.ctaEngine.insertData(self.tickDbName, self.vtSymbol, tick)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def insertBar(self, bar):
|
||||
"""向数据库中插入bar数据"""
|
||||
self.ctaEngine.insertData(self.barDbName, self.vtSymbol, bar)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def loadTick(self, days):
|
||||
"""读取tick数据"""
|
||||
return self.ctaEngine.loadTick(self.tickDbName, self.vtSymbol, days)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def loadBar(self, days):
|
||||
"""读取bar数据"""
|
||||
return self.ctaEngine.loadBar(self.barDbName, self.vtSymbol, days)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def writeCtaLog(self, content):
|
||||
"""记录CTA日志"""
|
||||
content = self.name + ':' + content
|
||||
self.ctaEngine.writeCtaLog(content)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def putEvent(self):
|
||||
"""发出策略状态变化事件"""
|
||||
self.ctaEngine.putStrategyEvent(self.name)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def getEngineType(self):
|
||||
"""查询当前运行的环境"""
|
||||
return self.ctaEngine.engineType
|
||||
|
||||
|
||||
########################################################################
|
||||
class TargetPosTemplate(CtaTemplate):
|
||||
"""
|
||||
允许直接通过修改目标持仓来实现交易的策略模板
|
||||
|
||||
开发策略时，无需再调用buy/sell/cover/short这些具体的委托指令，
|
||||
只需在策略逻辑运行完成后调用setTargetPos设置目标持仓，底层算法
|
||||
会自动完成相关交易，适合不擅长管理交易挂撤单细节的用户。
|
||||
|
||||
使用该模板开发策略时，请在以下回调方法中先调用母类的方法：
|
||||
onTick
|
||||
onBar
|
||||
onOrder
|
||||
|
||||
假设策略名为TestStrategy，请在onTick回调中加上：
|
||||
super(TestStrategy, self).onTick(tick)
|
||||
|
||||
其他方法类同。
|
||||
"""
|
||||
|
||||
className = 'TargetPosTemplate'
|
||||
author = u'量衍投资'
|
||||
|
||||
# 目标持仓模板的基本变量
|
||||
tickAdd = 1 # 委托时相对基准价格的超价
|
||||
lastTick = None # 最新tick数据
|
||||
lastBar = None # 最新bar数据
|
||||
targetPos = EMPTY_INT # 目标持仓
|
||||
orderList = [] # 委托号列表
|
||||
|
||||
# 变量列表，保存了变量的名称
|
||||
varList = ['inited',
|
||||
'trading',
|
||||
'pos',
|
||||
'targetPos']
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def __init__(self, ctaEngine, setting):
|
||||
"""Constructor"""
|
||||
super(TargetPosTemplate, self).__init__(ctaEngine, setting)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def onTick(self, tick):
|
||||
"""收到行情推送"""
|
||||
self.lastTick = tick
|
||||
|
||||
# 实盘模式下，启动交易后，需要根据tick的实时推送执行自动开平仓操作
|
||||
if self.trading:
|
||||
self.trade()
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def onBar(self, bar):
|
||||
"""收到K线推送"""
|
||||
self.lastBar = bar
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def onOrder(self, order):
|
||||
"""收到委托推送"""
|
||||
if order.status == STATUS_ALLTRADED or order.status == STATUS_CANCELLED:
|
||||
self.orderList.remove(order.vtOrderID)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def setTargetPos(self, targetPos):
|
||||
"""设置目标仓位"""
|
||||
self.targetPos = targetPos
|
||||
|
||||
self.trade()
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def trade(self):
|
||||
"""执行交易"""
|
||||
# 先撤销之前的委托
|
||||
for vtOrderID in self.orderList:
|
||||
self.cancelOrder(vtOrderID)
|
||||
self.orderList = []
|
||||
|
||||
# 如果目标仓位和实际仓位一致，则不进行任何操作
|
||||
posChange = self.targetPos - self.pos
|
||||
if not posChange:
|
||||
return
|
||||
|
||||
# 确定委托基准价格，有tick数据时优先使用，否则使用bar
|
||||
longPrice = 0
|
||||
shortPrice = 0
|
||||
|
||||
if self.lastTick:
|
||||
if posChange > 0:
|
||||
longPrice = self.lastTick.askPrice1 + self.tickAdd
|
||||
else:
|
||||
shortPrice = self.lastTick.bidPrice1 - self.tickAdd
|
||||
else:
|
||||
if posChange > 0:
|
||||
longPrice = self.lastBar.close + self.tickAdd
|
||||
else:
|
||||
shortPrice = self.lastBar.close - self.tickAdd
|
||||
|
||||
# 回测模式下，采用合并平仓和反向开仓委托的方式
|
||||
if self.getEngineType() == ENGINETYPE_BACKTESTING:
|
||||
if posChange > 0:
|
||||
l = self.buy(longPrice, abs(posChange))
|
||||
else:
|
||||
l = self.short(shortPrice, abs(posChange))
|
||||
self.orderList.extend(l)
|
||||
|
||||
# 实盘模式下，首先确保之前的委托都已经结束（全成、撤销）
|
||||
# 然后先发平仓委托，等待成交后，再发送新的开仓委托
|
||||
else:
|
||||
# 检查之前委托都已结束
|
||||
if self.orderList:
|
||||
return
|
||||
|
||||
# 买入
|
||||
if posChange > 0:
|
||||
if self.pos < 0:
|
||||
l = self.cover(longPrice, abs(self.pos))
|
||||
else:
|
||||
l = self.buy(longPrice, abs(posChange))
|
||||
# 卖出
|
||||
else:
|
||||
if self.pos > 0:
|
||||
l = self.sell(shortPrice, abs(self.pos))
|
||||
else:
|
||||
l = self.short(shortPrice, abs(posChange))
|
||||
self.orderList.extend(l)
|
||||
|
||||
|
||||
########################################################################
|
||||
class BarManager(object):
|
||||
"""
|
||||
K线合成器，支持：
|
||||
1. 基于Tick合成1分钟K线
|
||||
2. 基于1分钟K线合成X分钟K线（X可以是2、3、5、10、15、30、60）
|
||||
"""
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def __init__(self, onBar, xmin=0, onXminBar=None):
|
||||
"""Constructor"""
|
||||
self.bar = None # 1分钟K线对象
|
||||
self.onBar = onBar # 1分钟K线回调函数
|
||||
|
||||
self.xminBar = None # X分钟K线对象
|
||||
self.xmin = xmin # X的值
|
||||
self.onXminBar = onXminBar # X分钟K线的回调函数
|
||||
|
||||
self.lastTick = None # 上一TICK缓存对象
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def updateTick(self, tick):
|
||||
"""TICK更新"""
|
||||
newMinute = False # 默认不是新的一分钟
|
||||
|
||||
# 尚未创建对象
|
||||
if not self.bar:
|
||||
self.bar = VtBarData()
|
||||
newMinute = True
|
||||
# 新的一分钟
|
||||
elif self.bar.datetime.minute != tick.datetime.minute:
|
||||
# 生成上一分钟K线的时间戳
|
||||
self.bar.datetime = self.bar.datetime.replace(second=0, microsecond=0) # 将秒和微秒设为0
|
||||
self.bar.date = self.bar.datetime.strftime('%Y%m%d')
|
||||
self.bar.time = self.bar.datetime.strftime('%H:%M:%S.%f')
|
||||
|
||||
# 推送已经结束的上一分钟K线
|
||||
self.onBar(self.bar)
|
||||
|
||||
# 创建新的K线对象
|
||||
self.bar = VtBarData()
|
||||
newMinute = True
|
||||
|
||||
# 初始化新一分钟的K线数据
|
||||
if newMinute:
|
||||
self.bar.vtSymbol = tick.vtSymbol
|
||||
self.bar.symbol = tick.symbol
|
||||
self.bar.exchange = tick.exchange
|
||||
|
||||
self.bar.open = tick.lastPrice
|
||||
self.bar.high = tick.lastPrice
|
||||
self.bar.low = tick.lastPrice
|
||||
# 累加更新老一分钟的K线数据
|
||||
else:
|
||||
self.bar.high = max(self.bar.high, tick.lastPrice)
|
||||
self.bar.low = min(self.bar.low, tick.lastPrice)
|
||||
|
||||
# 通用更新部分
|
||||
self.bar.close = tick.lastPrice
|
||||
self.bar.datetime = tick.datetime
|
||||
self.bar.openInterest = tick.openInterest
|
||||
|
||||
if self.lastTick:
|
||||
self.bar.volume += (tick.volume - self.lastTick.volume) # 当前K线内的成交量
|
||||
|
||||
# 缓存Tick
|
||||
self.lastTick = tick
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def updateBar(self, bar):
|
||||
"""1分钟K线更新"""
|
||||
# 尚未创建对象
|
||||
if not self.xminBar:
|
||||
self.xminBar = VtBarData()
|
||||
|
||||
self.xminBar.vtSymbol = bar.vtSymbol
|
||||
self.xminBar.symbol = bar.symbol
|
||||
self.xminBar.exchange = bar.exchange
|
||||
|
||||
self.xminBar.open = bar.open
|
||||
self.xminBar.high = bar.high
|
||||
self.xminBar.low = bar.low
|
||||
# 累加老K线
|
||||
else:
|
||||
self.xminBar.high = max(self.xminBar.high, bar.high)
|
||||
self.xminBar.low = min(self.xminBar.low, bar.low)
|
||||
|
||||
# 通用部分
|
||||
self.xminBar.close = bar.close
|
||||
self.xminBar.datetime = bar.datetime
|
||||
self.xminBar.openInterest = bar.openInterest
|
||||
self.xminBar.volume += int(bar.volume)
|
||||
|
||||
# X分钟已经走完
|
||||
if not bar.datetime.minute % self.xmin: # 可以用X整除
|
||||
# 生成上一X分钟K线的时间戳
|
||||
self.xminBar.datetime = self.xminBar.datetime.replace(second=0, microsecond=0) # 将秒和微秒设为0
|
||||
self.xminBar.date = self.xminBar.datetime.strftime('%Y%m%d')
|
||||
self.xminBar.time = self.xminBar.datetime.strftime('%H:%M:%S.%f')
|
||||
|
||||
# 推送
|
||||
self.onXminBar(self.xminBar)
|
||||
|
||||
# 清空老K线缓存对象
|
||||
self.xminBar = None
|
||||
|
||||
|
||||
########################################################################
|
||||
class ArrayManager(object):
|
||||
"""
|
||||
K线序列管理工具，负责：
|
||||
1. K线时间序列的维护
|
||||
2. 常用技术指标的计算
|
||||
"""
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def __init__(self, size=100):
|
||||
"""Constructor"""
|
||||
self.count = 0 # 缓存计数
|
||||
self.size = size # 缓存大小
|
||||
self.inited = False # True if count>=size
|
||||
|
||||
self.openArray = np.zeros(size) # OHLC
|
||||
self.highArray = np.zeros(size)
|
||||
self.lowArray = np.zeros(size)
|
||||
self.closeArray = np.zeros(size)
|
||||
self.volumeArray = np.zeros(size)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def updateBar(self, bar):
|
||||
"""更新K线"""
|
||||
self.count += 1
|
||||
if not self.inited and self.count >= self.size:
|
||||
self.inited = True
|
||||
|
||||
self.openArray[0:self.size-1] = self.openArray[1:self.size]
|
||||
self.highArray[0:self.size-1] = self.highArray[1:self.size]
|
||||
self.lowArray[0:self.size-1] = self.lowArray[1:self.size]
|
||||
self.closeArray[0:self.size-1] = self.closeArray[1:self.size]
|
||||
self.volumeArray[0:self.size-1] = self.volumeArray[1:self.size]
|
||||
|
||||
self.openArray[-1] = bar.open
|
||||
self.highArray[-1] = bar.high
|
||||
self.lowArray[-1] = bar.low
|
||||
self.closeArray[-1] = bar.close
|
||||
self.volumeArray[-1] = bar.volume
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
@property
|
||||
def open(self):
|
||||
"""获取开盘价序列"""
|
||||
return self.openArray
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
@property
|
||||
def high(self):
|
||||
"""获取最高价序列"""
|
||||
return self.highArray
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
@property
|
||||
def low(self):
|
||||
"""获取最低价序列"""
|
||||
return self.lowArray
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
@property
|
||||
def close(self):
|
||||
"""获取收盘价序列"""
|
||||
return self.closeArray
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
@property
|
||||
def volume(self):
|
||||
"""获取成交量序列"""
|
||||
return self.volumeArray
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def sma(self, n, array=False):
|
||||
"""简单均线"""
|
||||
result = talib.SMA(self.close, n)
|
||||
if array:
|
||||
return result
|
||||
return result[-1]
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def std(self, n, array=False):
|
||||
"""标准差"""
|
||||
result = talib.STDDEV(self.close, n)
|
||||
if array:
|
||||
return result
|
||||
return result[-1]
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def cci(self, n, array=False):
|
||||
"""CCI指标"""
|
||||
result = talib.CCI(self.high, self.low, self.close, n)
|
||||
if array:
|
||||
return result
|
||||
return result[-1]
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def atr(self, n, array=False):
|
||||
"""ATR指标"""
|
||||
result = talib.ATR(self.high, self.low, self.close, n)
|
||||
if array:
|
||||
return result
|
||||
return result[-1]
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def rsi(self, n, array=False):
|
||||
"""RSI指标"""
|
||||
result = talib.RSI(self.close, n)
|
||||
if array:
|
||||
return result
|
||||
return result[-1]
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def macd(self, fastPeriod, slowPeriod, signalPeriod, array=False):
|
||||
"""MACD指标"""
|
||||
macd, signal, hist = talib.MACD(self.close, fastPeriod,
|
||||
slowPeriod, signalPeriod)
|
||||
if array:
|
||||
return macd, signal, hist
|
||||
return macd[-1], signal[-1], hist[-1]
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def adx(self, n, array=False):
|
||||
"""ADX指标"""
|
||||
result = talib.ADX(self.high, self.low, self.close, n)
|
||||
if array:
|
||||
return result
|
||||
return result[-1]
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def boll(self, n, dev, array=False):
|
||||
"""布林通道"""
|
||||
mid = self.sma(n, array)
|
||||
std = self.std(n, array)
|
||||
|
||||
up = mid + std * dev
|
||||
down = mid - std * dev
|
||||
|
||||
return up, down
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def keltner(self, n, dev, array=False):
|
||||
"""肯特纳通道"""
|
||||
mid = self.sma(n, array)
|
||||
atr = self.atr(n, array)
|
||||
|
||||
up = mid + atr * dev
|
||||
down = mid - atr * dev
|
||||
|
||||
return up, down
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def donchian(self, n, array=False):
|
||||
"""唐奇安通道"""
|
||||
up = talib.MAX(self.high, n)
|
||||
down = talib.MIN(self.low, n)
|
||||
|
||||
if array:
|
||||
return up, down
|
||||
return up[-1], down[-1]
|
||||
@ -1,5 +0,0 @@
|
||||
{
|
||||
"domain": "http://api.wmcloud.com/data",
|
||||
"version": "v1",
|
||||
"token": "575593eb7696aec7339224c0fac2313780d8645f68b77369dcb35f8bcb419a0b"
|
||||
}
|
||||
@ -1,83 +0,0 @@
|
||||
# encoding: UTF-8
|
||||
|
||||
'''一个简单的通联数据客户端，主要使用requests开发，比通联官网的python例子更为简洁。'''
|
||||
|
||||
import os
|
||||
import requests
|
||||
import json
|
||||
|
||||
FILENAME = 'datayes.json'
|
||||
HTTP_OK = 200
|
||||
|
||||
|
||||
########################################################################
|
||||
class DatayesClient(object):
|
||||
"""通联数据客户端"""
|
||||
|
||||
name = u'通联数据客户端'
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def __init__(self):
|
||||
"""Constructor"""
|
||||
self.domain = '' # 主域名
|
||||
self.version = '' # API版本
|
||||
self.token = '' # 授权码
|
||||
self.header = {} # http请求头部
|
||||
self.settingLoaded = False # 配置是否已经读取
|
||||
|
||||
self.loadSetting()
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def loadSetting(self):
|
||||
"""载入配置"""
|
||||
try:
|
||||
path = os.path.abspath(os.path.dirname(__file__))
|
||||
FILENAME = os.path.join(path, FILENAME)
|
||||
f = file(FILENAME)
|
||||
except IOError:
|
||||
print u'%s无法打开配置文件' % self.name
|
||||
return
|
||||
|
||||
setting = json.load(f)
|
||||
try:
|
||||
self.domain = str(setting['domain'])
|
||||
self.version = str(setting['version'])
|
||||
self.token = str(setting['token'])
|
||||
except KeyError:
|
||||
print u'%s配置文件字段缺失' % self.name
|
||||
return
|
||||
|
||||
self.header['Connection'] = 'keep_alive'
|
||||
self.header['Authorization'] = 'Bearer ' + self.token
|
||||
self.settingLoaded = True
|
||||
|
||||
print u'%s配置载入完成' % self.name
|
||||
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def downloadData(self, path, params):
|
||||
"""下载数据"""
|
||||
if not self.settingLoaded:
|
||||
print u'%s配置未载入' % self.name
|
||||
return None
|
||||
else:
|
||||
url = '/'.join([self.domain, self.version, path])
|
||||
r = requests.get(url=url, headers=self.header, params=params)
|
||||
|
||||
if r.status_code != HTTP_OK:
|
||||
print u'%shttp请求失败，状态代码%s' %(self.name, r.status_code)
|
||||
return None
|
||||
else:
|
||||
result = r.json()
|
||||
if 'retMsg' in result and result['retMsg'] == 'Success':
|
||||
return result['data']
|
||||
else:
|
||||
if 'retMsg' in result:
|
||||
print u'%s查询失败，返回信息%s' %(self.name, result['retMsg'])
|
||||
elif 'message' in result:
|
||||
print u'%s查询失败，返回信息%s' %(self.name, result['message'])
|
||||
return None
|
||||
|
||||
|
||||
|
||||
|
||||
@ -1,13 +0,0 @@
|
||||
# encoding: UTF-8
|
||||
|
||||
import json
|
||||
import os
|
||||
import traceback
|
||||
|
||||
# 默认设置
|
||||
from chinese import text
|
||||
|
||||
# 是否要使用英文
|
||||
from vnpy.trader.vtGlobal import globalSetting
|
||||
if globalSetting['language'] == 'english':
|
||||
from english import text
|
||||
@ -1,18 +0,0 @@
|
||||
# encoding: UTF-8
|
||||
|
||||
INIT = u'初始化'
|
||||
START = u'启动'
|
||||
STOP = u'停止'
|
||||
|
||||
CTA_ENGINE_STARTED = u'CTA引擎启动成功'
|
||||
|
||||
CTA_STRATEGY = u'CTA策略'
|
||||
LOAD_STRATEGY = u'加载策略'
|
||||
INIT_ALL = u'全部初始化'
|
||||
START_ALL = u'全部启动'
|
||||
STOP_ALL = u'全部停止'
|
||||
SAVE_POSITION_DATA = u'保存持仓'
|
||||
|
||||
STRATEGY_LOADED = u'策略加载成功'
|
||||
|
||||
SAVE_POSITION_QUESTION = u'是否要保存策略持仓数据到数据库？'
|
||||
@ -1,18 +0,0 @@
|
||||
# encoding: UTF-8
|
||||
|
||||
INIT = u'Init'
|
||||
START = u'Start'
|
||||
STOP = u'Stop'
|
||||
|
||||
CTA_ENGINE_STARTED = u'CTA engine started.'
|
||||
|
||||
CTA_STRATEGY = u'CTA Strategy'
|
||||
LOAD_STRATEGY = u'Load Strategy'
|
||||
INIT_ALL = u'Init All'
|
||||
START_ALL = u'Start All'
|
||||
STOP_ALL = u'Stop All'
|
||||
SAVE_POSITION_DATA = u'Save Position Data'
|
||||
|
||||
STRATEGY_LOADED = u'Strategy loaded.'
|
||||
|
||||
SAVE_POSITION_QUESTION = u'Do you want to save strategy position data into database?'
|
||||
@ -1,50 +0,0 @@
|
||||
# encoding: UTF-8
|
||||
|
||||
'''
|
||||
动态载入所有的策略类
|
||||
'''
|
||||
|
||||
import os
|
||||
import importlib
|
||||
import traceback
|
||||
|
||||
# 用来保存策略类的字典
|
||||
STRATEGY_CLASS = {}
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def loadStrategyModule(moduleName):
|
||||
"""使用importlib动态载入模块"""
|
||||
try:
|
||||
module = importlib.import_module(moduleName)
|
||||
|
||||
# 遍历模块下的对象，只有名称中包含'Strategy'的才是策略类
|
||||
for k in dir(module):
|
||||
if 'Strategy' in k:
|
||||
v = module.__getattribute__(k)
|
||||
STRATEGY_CLASS[k] = v
|
||||
except:
|
||||
print '-' * 20
|
||||
print ('Failed to import strategy file %s:' %moduleName)
|
||||
traceback.print_exc()
|
||||
|
||||
|
||||
# 遍历strategy目录下的文件
|
||||
path = os.path.abspath(os.path.dirname(__file__))
|
||||
for root, subdirs, files in os.walk(path):
|
||||
for name in files:
|
||||
# 只有文件名中包含strategy且非.pyc的文件，才是策略文件
|
||||
if 'strategy' in name and '.pyc' not in name:
|
||||
# 模块名称需要模块路径前缀
|
||||
moduleName = 'vnpy.trader.app.ctaStrategy.strategy.' + name.replace('.py', '')
|
||||
loadStrategyModule(moduleName)
|
||||
|
||||
|
||||
# 遍历工作目录下的文件
|
||||
workingPath = os.getcwd()
|
||||
for root, subdirs, files in os.walk(workingPath):
|
||||
for name in files:
|
||||
# 只有文件名中包含strategy且非.pyc的文件，才是策略文件
|
||||
if 'strategy' in name and '.pyc' not in name:
|
||||
# 模块名称无需前缀
|
||||
moduleName = name.replace('.py', '')
|
||||
loadStrategyModule(moduleName)
|
||||
@ -1,184 +0,0 @@
|
||||
# encoding: UTF-8
|
||||
|
||||
"""
|
||||
一个ATR-RSI指标结合的交易策略，适合用在股指的1分钟和5分钟线上。
|
||||
|
||||
注意事项：
|
||||
1. 作者不对交易盈利做任何保证，策略代码仅供参考
|
||||
2. 本策略需要用到talib，没有安装的用户请先参考www.vnpy.org上的教程安装
|
||||
3. 将IF0000_1min.csv用ctaHistoryData.py导入MongoDB后，直接运行本文件即可回测策略
|
||||
|
||||
"""
|
||||
|
||||
from vnpy.trader.vtObject import VtBarData
|
||||
from vnpy.trader.vtConstant import EMPTY_STRING
|
||||
from vnpy.trader.app.ctaStrategy.ctaTemplate import (CtaTemplate,
|
||||
BarManager,
|
||||
ArrayManager)
|
||||
|
||||
|
||||
########################################################################
|
||||
class AtrRsiStrategy(CtaTemplate):
|
||||
"""结合ATR和RSI指标的一个分钟线交易策略"""
|
||||
className = 'AtrRsiStrategy'
|
||||
author = u'用Python的交易员'
|
||||
|
||||
# 策略参数
|
||||
atrLength = 22 # 计算ATR指标的窗口数
|
||||
atrMaLength = 10 # 计算ATR均线的窗口数
|
||||
rsiLength = 5 # 计算RSI的窗口数
|
||||
rsiEntry = 16 # RSI的开仓信号
|
||||
trailingPercent = 0.8 # 百分比移动止损
|
||||
initDays = 10 # 初始化数据所用的天数
|
||||
fixedSize = 1 # 每次交易的数量
|
||||
|
||||
# 策略变量
|
||||
atrValue = 0 # 最新的ATR指标数值
|
||||
atrMa = 0 # ATR移动平均的数值
|
||||
rsiValue = 0 # RSI指标的数值
|
||||
rsiBuy = 0 # RSI买开阈值
|
||||
rsiSell = 0 # RSI卖开阈值
|
||||
intraTradeHigh = 0 # 移动止损用的持仓期内最高价
|
||||
intraTradeLow = 0 # 移动止损用的持仓期内最低价
|
||||
|
||||
# 参数列表，保存了参数的名称
|
||||
paramList = ['name',
|
||||
'className',
|
||||
'author',
|
||||
'vtSymbol',
|
||||
'atrLength',
|
||||
'atrMaLength',
|
||||
'rsiLength',
|
||||
'rsiEntry',
|
||||
'trailingPercent']
|
||||
|
||||
# 变量列表，保存了变量的名称
|
||||
varList = ['inited',
|
||||
'trading',
|
||||
'pos',
|
||||
'atrValue',
|
||||
'atrMa',
|
||||
'rsiValue',
|
||||
'rsiBuy',
|
||||
'rsiSell']
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def __init__(self, ctaEngine, setting):
|
||||
"""Constructor"""
|
||||
super(AtrRsiStrategy, self).__init__(ctaEngine, setting)
|
||||
|
||||
# 创建K线合成器对象
|
||||
self.bm = BarManager(self.onBar)
|
||||
self.am = ArrayManager()
|
||||
|
||||
# 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):
|
||||
"""初始化策略（必须由用户继承实现）"""
|
||||
self.writeCtaLog(u'%s策略初始化' %self.name)
|
||||
|
||||
# 初始化RSI入场阈值
|
||||
self.rsiBuy = 50 + self.rsiEntry
|
||||
self.rsiSell = 50 - self.rsiEntry
|
||||
|
||||
# 载入历史数据，并采用回放计算的方式初始化策略数值
|
||||
initData = self.loadBar(self.initDays)
|
||||
for bar in initData:
|
||||
self.onBar(bar)
|
||||
|
||||
self.putEvent()
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def onStart(self):
|
||||
"""启动策略（必须由用户继承实现）"""
|
||||
self.writeCtaLog(u'%s策略启动' %self.name)
|
||||
self.putEvent()
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def onStop(self):
|
||||
"""停止策略（必须由用户继承实现）"""
|
||||
self.writeCtaLog(u'%s策略停止' %self.name)
|
||||
self.putEvent()
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def onTick(self, tick):
|
||||
"""收到行情TICK推送（必须由用户继承实现）"""
|
||||
self.bm.updateTick(tick)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def onBar(self, bar):
|
||||
"""收到Bar推送（必须由用户继承实现）"""
|
||||
self.cancelAll()
|
||||
|
||||
# 保存K线数据
|
||||
am = self.am
|
||||
am.updateBar(bar)
|
||||
if not am.inited:
|
||||
return
|
||||
|
||||
# 计算指标数值
|
||||
atrArray = am.atr(self.atrLength, array=True)
|
||||
self.atrValue = atrArray[-1]
|
||||
self.atrMa = atrArray[-self.atrMaLength:].mean()
|
||||
|
||||
self.rsiValue = am.rsi(self.rsiLength)
|
||||
|
||||
# 判断是否要进行交易
|
||||
|
||||
# 当前无仓位
|
||||
if self.pos == 0:
|
||||
self.intraTradeHigh = bar.high
|
||||
self.intraTradeLow = bar.low
|
||||
|
||||
# ATR数值上穿其移动平均线，说明行情短期内波动加大
|
||||
# 即处于趋势的概率较大，适合CTA开仓
|
||||
if self.atrValue > self.atrMa:
|
||||
# 使用RSI指标的趋势行情时，会在超买超卖区钝化特征，作为开仓信号
|
||||
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, self.fixedSize)
|
||||
|
||||
elif self.rsiValue < self.rsiSell:
|
||||
self.short(bar.close-5, self.fixedSize)
|
||||
|
||||
# 持有多头仓位
|
||||
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
|
||||
|
||||
# 计算多头移动止损
|
||||
longStop = self.intraTradeHigh * (1-self.trailingPercent/100)
|
||||
|
||||
# 发出本地止损委托，并且把委托号记录下来，用于后续撤单
|
||||
self.sell(longStop, abs(self.pos), stop=True)
|
||||
|
||||
# 持有空头仓位
|
||||
elif self.pos < 0:
|
||||
self.intraTradeLow = min(self.intraTradeLow, bar.low)
|
||||
self.intraTradeHigh = bar.high
|
||||
|
||||
shortStop = self.intraTradeLow * (1+self.trailingPercent/100)
|
||||
self.cover(shortStop, abs(self.pos), stop=True)
|
||||
|
||||
# 发出状态更新事件
|
||||
self.putEvent()
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def onOrder(self, order):
|
||||
"""收到委托变化推送（必须由用户继承实现）"""
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def onTrade(self, trade):
|
||||
# 发出状态更新事件
|
||||
self.putEvent()
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def onStopOrder(self, so):
|
||||
"""停止单推送"""
|
||||
pass
|
||||
@ -1,187 +0,0 @@
|
||||
# encoding: UTF-8
|
||||
|
||||
"""
|
||||
感谢Darwin Quant贡献的策略思路。
|
||||
知乎专栏原文：https://zhuanlan.zhihu.com/p/24448511
|
||||
|
||||
策略逻辑：
|
||||
1. 布林通道（信号）
|
||||
2. CCI指标（过滤）
|
||||
3. ATR指标（止损）
|
||||
|
||||
适合品种：螺纹钢
|
||||
适合周期：15分钟
|
||||
|
||||
这里的策略是作者根据原文结合vn.py实现，对策略实现上做了一些修改，仅供参考。
|
||||
|
||||
"""
|
||||
|
||||
from __future__ import division
|
||||
|
||||
from vnpy.trader.vtObject import VtBarData
|
||||
from vnpy.trader.vtConstant import EMPTY_STRING
|
||||
from vnpy.trader.app.ctaStrategy.ctaTemplate import (CtaTemplate,
|
||||
BarManager,
|
||||
ArrayManager)
|
||||
|
||||
|
||||
########################################################################
|
||||
class BollChannelStrategy(CtaTemplate):
|
||||
"""基于布林通道的交易策略"""
|
||||
className = 'BollChannelStrategy'
|
||||
author = u'用Python的交易员'
|
||||
|
||||
# 策略参数
|
||||
bollWindow = 18 # 布林通道窗口数
|
||||
bollDev = 3.4 # 布林通道的偏差
|
||||
cciWindow = 10 # CCI窗口数
|
||||
atrWindow = 30 # ATR窗口数
|
||||
slMultiplier = 5.2 # 计算止损距离的乘数
|
||||
initDays = 10 # 初始化数据所用的天数
|
||||
fixedSize = 1 # 每次交易的数量
|
||||
|
||||
# 策略变量
|
||||
bollUp = 0 # 布林通道上轨
|
||||
bollDown = 0 # 布林通道下轨
|
||||
cciValue = 0 # CCI指标数值
|
||||
atrValue = 0 # ATR指标数值
|
||||
|
||||
intraTradeHigh = 0 # 持仓期内的最高点
|
||||
intraTradeLow = 0 # 持仓期内的最低点
|
||||
longStop = 0 # 多头止损
|
||||
shortStop = 0 # 空头止损
|
||||
|
||||
# 参数列表，保存了参数的名称
|
||||
paramList = ['name',
|
||||
'className',
|
||||
'author',
|
||||
'vtSymbol',
|
||||
'bollWindow',
|
||||
'bollDev',
|
||||
'cciWindow',
|
||||
'atrWindow',
|
||||
'slMultiplier',
|
||||
'initDays',
|
||||
'fixedSize']
|
||||
|
||||
# 变量列表，保存了变量的名称
|
||||
varList = ['inited',
|
||||
'trading',
|
||||
'pos',
|
||||
'bollUp',
|
||||
'bollDown',
|
||||
'cciValue',
|
||||
'atrValue',
|
||||
'intraTradeHigh',
|
||||
'intraTradeLow',
|
||||
'longStop',
|
||||
'shortStop']
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def __init__(self, ctaEngine, setting):
|
||||
"""Constructor"""
|
||||
super(BollChannelStrategy, self).__init__(ctaEngine, setting)
|
||||
|
||||
self.bm = BarManager(self.onBar, 15, self.onXminBar) # 创建K线合成器对象
|
||||
self.am = ArrayManager()
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def onInit(self):
|
||||
"""初始化策略（必须由用户继承实现）"""
|
||||
self.writeCtaLog(u'%s策略初始化' %self.name)
|
||||
|
||||
# 载入历史数据，并采用回放计算的方式初始化策略数值
|
||||
initData = self.loadBar(self.initDays)
|
||||
for bar in initData:
|
||||
self.onBar(bar)
|
||||
|
||||
self.putEvent()
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def onStart(self):
|
||||
"""启动策略（必须由用户继承实现）"""
|
||||
self.writeCtaLog(u'%s策略启动' %self.name)
|
||||
self.putEvent()
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def onStop(self):
|
||||
"""停止策略（必须由用户继承实现）"""
|
||||
self.writeCtaLog(u'%s策略停止' %self.name)
|
||||
self.putEvent()
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def onTick(self, tick):
|
||||
"""收到行情TICK推送（必须由用户继承实现）"""
|
||||
self.bm.updateTick(tick)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def onBar(self, bar):
|
||||
"""收到Bar推送（必须由用户继承实现）"""
|
||||
self.bm.updateBar(bar)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def onXminBar(self, bar):
|
||||
"""收到X分钟K线"""
|
||||
# 全撤之前发出的委托
|
||||
self.cancelAll()
|
||||
|
||||
# 保存K线数据
|
||||
am = self.am
|
||||
|
||||
am.updateBar(bar)
|
||||
|
||||
if not am.inited:
|
||||
return
|
||||
|
||||
# 计算指标数值
|
||||
self.bollUp, self.bollDown = am.boll(self.bollWindow, self.bollDev)
|
||||
self.cciValue = am.cci(self.cciWindow)
|
||||
self.atrValue = am.atr(self.atrWindow)
|
||||
|
||||
# 判断是否要进行交易
|
||||
|
||||
# 当前无仓位，发送开仓委托
|
||||
if self.pos == 0:
|
||||
self.intraTradeHigh = bar.high
|
||||
self.intraTradeLow = bar.low
|
||||
|
||||
if self.cciValue > 0:
|
||||
self.buy(self.bollUp, self.fixedSize, True)
|
||||
|
||||
elif self.cciValue < 0:
|
||||
self.short(self.bollDown, self.fixedSize, True)
|
||||
|
||||
# 持有多头仓位
|
||||
elif self.pos > 0:
|
||||
self.intraTradeHigh = max(self.intraTradeHigh, bar.high)
|
||||
self.intraTradeLow = bar.low
|
||||
self.longStop = self.intraTradeHigh - self.atrValue * self.slMultiplier
|
||||
|
||||
self.sell(self.longStop, abs(self.pos), True)
|
||||
|
||||
# 持有空头仓位
|
||||
elif self.pos < 0:
|
||||
self.intraTradeHigh = bar.high
|
||||
self.intraTradeLow = min(self.intraTradeLow, bar.low)
|
||||
self.shortStop = self.intraTradeLow + self.atrValue * self.slMultiplier
|
||||
|
||||
self.cover(self.shortStop, abs(self.pos), True)
|
||||
|
||||
# 发出状态更新事件
|
||||
self.putEvent()
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def onOrder(self, order):
|
||||
"""收到委托变化推送（必须由用户继承实现）"""
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def onTrade(self, trade):
|
||||
# 发出状态更新事件
|
||||
self.putEvent()
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def onStopOrder(self, so):
|
||||
"""停止单推送"""
|
||||
pass
|
||||
|
||||
@ -1,155 +0,0 @@
|
||||
# encoding: UTF-8
|
||||
|
||||
"""
|
||||
这里的Demo是一个最简单的双均线策略实现，并未考虑太多实盘中的交易细节，如：
|
||||
1. 委托价格超出涨跌停价导致的委托失败
|
||||
2. 委托未成交，需要撤单后重新委托
|
||||
3. 断网后恢复交易状态
|
||||
4. 等等
|
||||
这些点是作者选择特意忽略不去实现，因此想实盘的朋友请自己多多研究CTA交易的一些细节，
|
||||
做到了然于胸后再去交易，对自己的money和时间负责。
|
||||
也希望社区能做出一个解决了以上潜在风险的Demo出来。
|
||||
"""
|
||||
|
||||
from __future__ import division
|
||||
|
||||
from vnpy.trader.vtConstant import EMPTY_STRING, EMPTY_FLOAT
|
||||
from vnpy.trader.app.ctaStrategy.ctaTemplate import (CtaTemplate,
|
||||
BarManager,
|
||||
ArrayManager)
|
||||
|
||||
|
||||
########################################################################
|
||||
class DoubleMaStrategy(CtaTemplate):
|
||||
"""双指数均线策略Demo"""
|
||||
className = 'DoubleMaStrategy'
|
||||
author = u'用Python的交易员'
|
||||
|
||||
# 策略参数
|
||||
fastWindow = 10 # 快速均线参数
|
||||
slowWindow = 60 # 慢速均线参数
|
||||
initDays = 10 # 初始化数据所用的天数
|
||||
|
||||
# 策略变量
|
||||
fastMa0 = EMPTY_FLOAT # 当前最新的快速EMA
|
||||
fastMa1 = EMPTY_FLOAT # 上一根的快速EMA
|
||||
|
||||
slowMa0 = EMPTY_FLOAT
|
||||
slowMa1 = EMPTY_FLOAT
|
||||
|
||||
# 参数列表，保存了参数的名称
|
||||
paramList = ['name',
|
||||
'className',
|
||||
'author',
|
||||
'vtSymbol',
|
||||
'fastWindow',
|
||||
'slowWindow']
|
||||
|
||||
# 变量列表，保存了变量的名称
|
||||
varList = ['inited',
|
||||
'trading',
|
||||
'pos',
|
||||
'fastMa0',
|
||||
'fastMa1',
|
||||
'slowMa0',
|
||||
'slowMa1']
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def __init__(self, ctaEngine, setting):
|
||||
"""Constructor"""
|
||||
super(DoubleMaStrategy, self).__init__(ctaEngine, setting)
|
||||
|
||||
self.bm = BarManager(self.onBar)
|
||||
self.am = ArrayManager()
|
||||
|
||||
# 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):
|
||||
"""初始化策略（必须由用户继承实现）"""
|
||||
self.writeCtaLog(u'双EMA演示策略初始化')
|
||||
|
||||
initData = self.loadBar(self.initDays)
|
||||
for bar in initData:
|
||||
self.onBar(bar)
|
||||
|
||||
self.putEvent()
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def onStart(self):
|
||||
"""启动策略（必须由用户继承实现）"""
|
||||
self.writeCtaLog(u'双EMA演示策略启动')
|
||||
self.putEvent()
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def onStop(self):
|
||||
"""停止策略（必须由用户继承实现）"""
|
||||
self.writeCtaLog(u'双EMA演示策略停止')
|
||||
self.putEvent()
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def onTick(self, tick):
|
||||
"""收到行情TICK推送（必须由用户继承实现）"""
|
||||
self.bm.updateTick(tick)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def onBar(self, bar):
|
||||
"""收到Bar推送（必须由用户继承实现）"""
|
||||
am = self.am
|
||||
am.updateBar(bar)
|
||||
if not am.inited:
|
||||
return
|
||||
|
||||
# 计算快慢均线
|
||||
fastMa = am.sma(self.fastWindow, array=True)
|
||||
self.fastMa0 = fastMa[-1]
|
||||
self.fastMa1 = fastMa[-2]
|
||||
|
||||
slowMa = am.sma(self.slowWindow, array=True)
|
||||
self.slowMa0 = slowMa[-1]
|
||||
self.slowMa1 = slowMa[-2]
|
||||
|
||||
# 判断买卖
|
||||
crossOver = self.fastMa0>self.slowMa0 and self.fastMa1<self.slowMa1 # 金叉上穿
|
||||
crossBelow = self.fastMa0<self.slowMa0 and self.fastMa1>self.slowMa1 # 死叉下穿
|
||||
|
||||
# 金叉和死叉的条件是互斥
|
||||
# 所有的委托均以K线收盘价委托（这里有一个实盘中无法成交的风险，考虑添加对模拟市价单类型的支持）
|
||||
if crossOver:
|
||||
# 如果金叉时手头没有持仓，则直接做多
|
||||
if self.pos == 0:
|
||||
self.buy(bar.close, 1)
|
||||
# 如果有空头持仓，则先平空，再做多
|
||||
elif self.pos < 0:
|
||||
self.cover(bar.close, 1)
|
||||
self.buy(bar.close, 1)
|
||||
# 死叉和金叉相反
|
||||
elif crossBelow:
|
||||
if self.pos == 0:
|
||||
self.short(bar.close, 1)
|
||||
elif self.pos > 0:
|
||||
self.sell(bar.close, 1)
|
||||
self.short(bar.close, 1)
|
||||
|
||||
# 发出状态更新事件
|
||||
self.putEvent()
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def onOrder(self, order):
|
||||
"""收到委托变化推送（必须由用户继承实现）"""
|
||||
# 对于无需做细粒度委托控制的策略，可以忽略onOrder
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def onTrade(self, trade):
|
||||
"""收到成交推送（必须由用户继承实现）"""
|
||||
# 对于无需做细粒度委托控制的策略，可以忽略onOrder
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def onStopOrder(self, so):
|
||||
"""停止单推送"""
|
||||
pass
|
||||
@ -1,187 +0,0 @@
|
||||
# encoding: UTF-8
|
||||
|
||||
"""
|
||||
DualThrust交易策略
|
||||
"""
|
||||
|
||||
from datetime import time
|
||||
|
||||
from vnpy.trader.vtObject import VtBarData
|
||||
from vnpy.trader.vtConstant import EMPTY_STRING
|
||||
from vnpy.trader.app.ctaStrategy.ctaTemplate import CtaTemplate, BarManager
|
||||
|
||||
|
||||
########################################################################
|
||||
class DualThrustStrategy(CtaTemplate):
|
||||
"""DualThrust交易策略"""
|
||||
className = 'DualThrustStrategy'
|
||||
author = u'用Python的交易员'
|
||||
|
||||
# 策略参数
|
||||
fixedSize = 100
|
||||
k1 = 0.4
|
||||
k2 = 0.6
|
||||
|
||||
initDays = 10
|
||||
|
||||
# 策略变量
|
||||
barList = [] # K线对象的列表
|
||||
|
||||
dayOpen = 0
|
||||
dayHigh = 0
|
||||
dayLow = 0
|
||||
|
||||
range = 0
|
||||
longEntry = 0
|
||||
shortEntry = 0
|
||||
exitTime = time(hour=14, minute=55)
|
||||
|
||||
longEntered = False
|
||||
shortEntered = False
|
||||
|
||||
# 参数列表，保存了参数的名称
|
||||
paramList = ['name',
|
||||
'className',
|
||||
'author',
|
||||
'vtSymbol',
|
||||
'k1',
|
||||
'k2']
|
||||
|
||||
# 变量列表，保存了变量的名称
|
||||
varList = ['inited',
|
||||
'trading',
|
||||
'pos',
|
||||
'range',
|
||||
'longEntry',
|
||||
'shortEntry',
|
||||
'exitTime']
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def __init__(self, ctaEngine, setting):
|
||||
"""Constructor"""
|
||||
super(DualThrustStrategy, self).__init__(ctaEngine, setting)
|
||||
|
||||
self.bm = BarManager(self.onBar)
|
||||
self.barList = []
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def onInit(self):
|
||||
"""初始化策略（必须由用户继承实现）"""
|
||||
self.writeCtaLog(u'%s策略初始化' %self.name)
|
||||
|
||||
# 载入历史数据，并采用回放计算的方式初始化策略数值
|
||||
initData = self.loadBar(self.initDays)
|
||||
for bar in initData:
|
||||
self.onBar(bar)
|
||||
|
||||
self.putEvent()
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def onStart(self):
|
||||
"""启动策略（必须由用户继承实现）"""
|
||||
self.writeCtaLog(u'%s策略启动' %self.name)
|
||||
self.putEvent()
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def onStop(self):
|
||||
"""停止策略（必须由用户继承实现）"""
|
||||
self.writeCtaLog(u'%s策略停止' %self.name)
|
||||
self.putEvent()
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def onTick(self, tick):
|
||||
"""收到行情TICK推送（必须由用户继承实现）"""
|
||||
self.bm.updateTick(tick)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def onBar(self, bar):
|
||||
"""收到Bar推送（必须由用户继承实现）"""
|
||||
# 撤销之前发出的尚未成交的委托（包括限价单和停止单）
|
||||
self.cancelAll()
|
||||
|
||||
# 计算指标数值
|
||||
self.barList.append(bar)
|
||||
|
||||
if len(self.barList) <= 2:
|
||||
return
|
||||
else:
|
||||
self.barList.pop(0)
|
||||
lastBar = self.barList[-2]
|
||||
|
||||
# 新的一天
|
||||
if lastBar.datetime.date() != bar.datetime.date():
|
||||
# 如果已经初始化
|
||||
if self.dayHigh:
|
||||
self.range = self.dayHigh - self.dayLow
|
||||
self.longEntry = bar.open + self.k1 * self.range
|
||||
self.shortEntry = bar.open - self.k2 * self.range
|
||||
|
||||
self.dayOpen = bar.open
|
||||
self.dayHigh = bar.high
|
||||
self.dayLow = bar.low
|
||||
|
||||
self.longEntered = False
|
||||
self.shortEntered = False
|
||||
else:
|
||||
self.dayHigh = max(self.dayHigh, bar.high)
|
||||
self.dayLow = min(self.dayLow, bar.low)
|
||||
|
||||
# 尚未到收盘
|
||||
if not self.range:
|
||||
return
|
||||
|
||||
if bar.datetime.time() < self.exitTime:
|
||||
if self.pos == 0:
|
||||
if bar.close > self.dayOpen:
|
||||
if not self.longEntered:
|
||||
self.buy(self.longEntry, self.fixedSize, stop=True)
|
||||
else:
|
||||
if not self.shortEntered:
|
||||
self.short(self.shortEntry, self.fixedSize, stop=True)
|
||||
|
||||
# 持有多头仓位
|
||||
elif self.pos > 0:
|
||||
self.longEntered = True
|
||||
|
||||
# 多头止损单
|
||||
self.sell(self.shortEntry, self.fixedSize, stop=True)
|
||||
|
||||
# 空头开仓单
|
||||
if not self.shortEntered:
|
||||
self.short(self.shortEntry, self.fixedSize, stop=True)
|
||||
|
||||
# 持有空头仓位
|
||||
elif self.pos < 0:
|
||||
self.shortEntered = True
|
||||
|
||||
# 空头止损单
|
||||
self.cover(self.longEntry, self.fixedSize, stop=True)
|
||||
|
||||
# 多头开仓单
|
||||
if not self.longEntered:
|
||||
self.buy(self.longEntry, self.fixedSize, stop=True)
|
||||
|
||||
# 收盘平仓
|
||||
else:
|
||||
if self.pos > 0:
|
||||
self.sell(bar.close * 0.99, abs(self.pos))
|
||||
elif self.pos < 0:
|
||||
self.cover(bar.close * 1.01, abs(self.pos))
|
||||
|
||||
# 发出状态更新事件
|
||||
self.putEvent()
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def onOrder(self, order):
|
||||
"""收到委托变化推送（必须由用户继承实现）"""
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def onTrade(self, trade):
|
||||
# 发出状态更新事件
|
||||
self.putEvent()
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def onStopOrder(self, so):
|
||||
"""停止单推送"""
|
||||
pass
|
||||
@ -1,198 +0,0 @@
|
||||
# encoding: UTF-8
|
||||
|
||||
"""
|
||||
基于King Keltner通道的交易策略，适合用在股指上，
|
||||
展示了OCO委托和5分钟K线聚合的方法。
|
||||
|
||||
注意事项：
|
||||
1. 作者不对交易盈利做任何保证，策略代码仅供参考
|
||||
2. 本策略需要用到talib，没有安装的用户请先参考www.vnpy.org上的教程安装
|
||||
3. 将IF0000_1min.csv用ctaHistoryData.py导入MongoDB后，直接运行本文件即可回测策略
|
||||
"""
|
||||
|
||||
from __future__ import division
|
||||
|
||||
from vnpy.trader.vtObject import VtBarData
|
||||
from vnpy.trader.vtConstant import EMPTY_STRING
|
||||
from vnpy.trader.app.ctaStrategy.ctaTemplate import (CtaTemplate,
|
||||
BarManager,
|
||||
ArrayManager)
|
||||
|
||||
|
||||
########################################################################
|
||||
class KkStrategy(CtaTemplate):
|
||||
"""基于King Keltner通道的交易策略"""
|
||||
className = 'KkStrategy'
|
||||
author = u'用Python的交易员'
|
||||
|
||||
# 策略参数
|
||||
kkLength = 11 # 计算通道中值的窗口数
|
||||
kkDev = 1.6 # 计算通道宽度的偏差
|
||||
trailingPrcnt = 0.8 # 移动止损
|
||||
initDays = 10 # 初始化数据所用的天数
|
||||
fixedSize = 1 # 每次交易的数量
|
||||
|
||||
# 策略变量
|
||||
kkUp = 0 # KK通道上轨
|
||||
kkDown = 0 # KK通道下轨
|
||||
intraTradeHigh = 0 # 持仓期内的最高点
|
||||
intraTradeLow = 0 # 持仓期内的最低点
|
||||
|
||||
buyOrderIDList = [] # OCO委托买入开仓的委托号
|
||||
shortOrderIDList = [] # OCO委托卖出开仓的委托号
|
||||
orderList = [] # 保存委托代码的列表
|
||||
|
||||
# 参数列表，保存了参数的名称
|
||||
paramList = ['name',
|
||||
'className',
|
||||
'author',
|
||||
'vtSymbol',
|
||||
'kkLength',
|
||||
'kkDev']
|
||||
|
||||
# 变量列表，保存了变量的名称
|
||||
varList = ['inited',
|
||||
'trading',
|
||||
'pos',
|
||||
'kkUp',
|
||||
'kkDown']
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def __init__(self, ctaEngine, setting):
|
||||
"""Constructor"""
|
||||
super(KkStrategy, self).__init__(ctaEngine, setting)
|
||||
|
||||
self.bm = BarManager(self.onBar, 5, self.onFiveBar) # 创建K线合成器对象
|
||||
self.am = ArrayManager()
|
||||
|
||||
self.buyOrderIDList = []
|
||||
self.shortOrderIDList = []
|
||||
self.orderList = []
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def onInit(self):
|
||||
"""初始化策略（必须由用户继承实现）"""
|
||||
self.writeCtaLog(u'%s策略初始化' %self.name)
|
||||
|
||||
# 载入历史数据，并采用回放计算的方式初始化策略数值
|
||||
initData = self.loadBar(self.initDays)
|
||||
for bar in initData:
|
||||
self.onBar(bar)
|
||||
|
||||
self.putEvent()
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def onStart(self):
|
||||
"""启动策略（必须由用户继承实现）"""
|
||||
self.writeCtaLog(u'%s策略启动' %self.name)
|
||||
self.putEvent()
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def onStop(self):
|
||||
"""停止策略（必须由用户继承实现）"""
|
||||
self.writeCtaLog(u'%s策略停止' %self.name)
|
||||
self.putEvent()
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def onTick(self, tick):
|
||||
"""收到行情TICK推送（必须由用户继承实现）"""
|
||||
self.bm.updateTick(tick)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def onBar(self, bar):
|
||||
"""收到Bar推送（必须由用户继承实现）"""
|
||||
self.bm.updateBar(bar)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def onFiveBar(self, bar):
|
||||
"""收到5分钟K线"""
|
||||
# 撤销之前发出的尚未成交的委托（包括限价单和停止单）
|
||||
for orderID in self.orderList:
|
||||
self.cancelOrder(orderID)
|
||||
self.orderList = []
|
||||
|
||||
# 保存K线数据
|
||||
am = self.am
|
||||
am.updateBar(bar)
|
||||
if not am.inited:
|
||||
return
|
||||
|
||||
# 计算指标数值
|
||||
self.kkUp, self.kkDown = am.keltner(self.kkLength, self.kkDev)
|
||||
|
||||
# 判断是否要进行交易
|
||||
|
||||
# 当前无仓位，发送OCO开仓委托
|
||||
if self.pos == 0:
|
||||
self.intraTradeHigh = bar.high
|
||||
self.intraTradeLow = bar.low
|
||||
self.sendOcoOrder(self.kkUp, self.kkDown, self.fixedSize)
|
||||
|
||||
# 持有多头仓位
|
||||
elif self.pos > 0:
|
||||
self.intraTradeHigh = max(self.intraTradeHigh, bar.high)
|
||||
self.intraTradeLow = bar.low
|
||||
|
||||
l = self.sell(self.intraTradeHigh*(1-self.trailingPrcnt/100),
|
||||
abs(self.pos), True)
|
||||
self.orderList.extend(l)
|
||||
|
||||
# 持有空头仓位
|
||||
elif self.pos < 0:
|
||||
self.intraTradeHigh = bar.high
|
||||
self.intraTradeLow = min(self.intraTradeLow, bar.low)
|
||||
|
||||
l = self.cover(self.intraTradeLow*(1+self.trailingPrcnt/100),
|
||||
abs(self.pos), True)
|
||||
self.orderList.extend(l)
|
||||
|
||||
# 发出状态更新事件
|
||||
self.putEvent()
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def onOrder(self, order):
|
||||
"""收到委托变化推送（必须由用户继承实现）"""
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def onTrade(self, trade):
|
||||
if self.pos != 0:
|
||||
# 多头开仓成交后，撤消空头委托
|
||||
if self.pos > 0:
|
||||
for shortOrderID in self.shortOrderIDList:
|
||||
self.cancelOrder(shortOrderID)
|
||||
# 反之同样
|
||||
elif self.pos < 0:
|
||||
for buyOrderID in self.buyOrderIDList:
|
||||
self.cancelOrder(buyOrderID)
|
||||
|
||||
# 移除委托号
|
||||
for orderID in (self.buyOrderIDList + self.shortOrderIDList):
|
||||
if orderID in self.orderList:
|
||||
self.orderList.remove(orderID)
|
||||
|
||||
# 发出状态更新事件
|
||||
self.putEvent()
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def sendOcoOrder(self, buyPrice, shortPrice, volume):
|
||||
"""
|
||||
发送OCO委托
|
||||
|
||||
OCO(One Cancel Other)委托：
|
||||
1. 主要用于实现区间突破入场
|
||||
2. 包含两个方向相反的停止单
|
||||
3. 一个方向的停止单成交后会立即撤消另一个方向的
|
||||
"""
|
||||
# 发送双边的停止单委托，并记录委托号
|
||||
self.buyOrderIDList = self.buy(buyPrice, volume, True)
|
||||
self.shortOrderIDList = self.short(shortPrice, volume, True)
|
||||
|
||||
# 将委托号记录到列表中
|
||||
self.orderList.extend(self.buyOrderIDList)
|
||||
self.orderList.extend(self.shortOrderIDList)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def onStopOrder(self, so):
|
||||
"""停止单推送"""
|
||||
pass
|
||||
@ -1,270 +0,0 @@
|
||||
# encoding: UTF-8
|
||||
|
||||
'''
|
||||
CTA模块相关的GUI控制组件
|
||||
'''
|
||||
|
||||
|
||||
from vnpy.event import Event
|
||||
from vnpy.trader.vtEvent import *
|
||||
from vnpy.trader.uiBasicWidget import QtGui, QtCore, QtWidgets, BasicCell
|
||||
|
||||
from .ctaBase import EVENT_CTA_LOG, EVENT_CTA_STRATEGY
|
||||
from .language import text
|
||||
|
||||
|
||||
########################################################################
|
||||
class CtaValueMonitor(QtWidgets.QTableWidget):
|
||||
"""参数监控"""
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def __init__(self, parent=None):
|
||||
"""Constructor"""
|
||||
super(CtaValueMonitor, self).__init__(parent)
|
||||
|
||||
self.keyCellDict = {}
|
||||
self.data = None
|
||||
self.inited = False
|
||||
|
||||
self.initUi()
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def initUi(self):
|
||||
"""初始化界面"""
|
||||
self.setRowCount(1)
|
||||
self.verticalHeader().setVisible(False)
|
||||
self.setEditTriggers(self.NoEditTriggers)
|
||||
|
||||
self.setMaximumHeight(self.sizeHint().height())
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def updateData(self, data):
|
||||
"""更新数据"""
|
||||
if not self.inited:
|
||||
self.setColumnCount(len(data))
|
||||
self.setHorizontalHeaderLabels(data.keys())
|
||||
|
||||
col = 0
|
||||
for k, v in data.items():
|
||||
cell = QtWidgets.QTableWidgetItem(unicode(v))
|
||||
self.keyCellDict[k] = cell
|
||||
self.setItem(0, col, cell)
|
||||
col += 1
|
||||
|
||||
self.inited = True
|
||||
else:
|
||||
for k, v in data.items():
|
||||
cell = self.keyCellDict[k]
|
||||
cell.setText(unicode(v))
|
||||
|
||||
|
||||
########################################################################
|
||||
class CtaStrategyManager(QtWidgets.QGroupBox):
|
||||
"""策略管理组件"""
|
||||
signal = QtCore.Signal(type(Event()))
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def __init__(self, ctaEngine, eventEngine, name, parent=None):
|
||||
"""Constructor"""
|
||||
super(CtaStrategyManager, self).__init__(parent)
|
||||
|
||||
self.ctaEngine = ctaEngine
|
||||
self.eventEngine = eventEngine
|
||||
self.name = name
|
||||
|
||||
self.initUi()
|
||||
self.updateMonitor()
|
||||
self.registerEvent()
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def initUi(self):
|
||||
"""初始化界面"""
|
||||
self.setTitle(self.name)
|
||||
|
||||
self.paramMonitor = CtaValueMonitor(self)
|
||||
self.varMonitor = CtaValueMonitor(self)
|
||||
|
||||
height = 65
|
||||
self.paramMonitor.setFixedHeight(height)
|
||||
self.varMonitor.setFixedHeight(height)
|
||||
|
||||
buttonInit = QtWidgets.QPushButton(text.INIT)
|
||||
buttonStart = QtWidgets.QPushButton(text.START)
|
||||
buttonStop = QtWidgets.QPushButton(text.STOP)
|
||||
buttonInit.clicked.connect(self.init)
|
||||
buttonStart.clicked.connect(self.start)
|
||||
buttonStop.clicked.connect(self.stop)
|
||||
|
||||
hbox1 = QtWidgets.QHBoxLayout()
|
||||
hbox1.addWidget(buttonInit)
|
||||
hbox1.addWidget(buttonStart)
|
||||
hbox1.addWidget(buttonStop)
|
||||
hbox1.addStretch()
|
||||
|
||||
hbox2 = QtWidgets.QHBoxLayout()
|
||||
hbox2.addWidget(self.paramMonitor)
|
||||
|
||||
hbox3 = QtWidgets.QHBoxLayout()
|
||||
hbox3.addWidget(self.varMonitor)
|
||||
|
||||
vbox = QtWidgets.QVBoxLayout()
|
||||
vbox.addLayout(hbox1)
|
||||
vbox.addLayout(hbox2)
|
||||
vbox.addLayout(hbox3)
|
||||
|
||||
self.setLayout(vbox)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def updateMonitor(self, event=None):
|
||||
"""显示策略最新状态"""
|
||||
paramDict = self.ctaEngine.getStrategyParam(self.name)
|
||||
if paramDict:
|
||||
self.paramMonitor.updateData(paramDict)
|
||||
|
||||
varDict = self.ctaEngine.getStrategyVar(self.name)
|
||||
if varDict:
|
||||
self.varMonitor.updateData(varDict)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def registerEvent(self):
|
||||
"""注册事件监听"""
|
||||
self.signal.connect(self.updateMonitor)
|
||||
self.eventEngine.register(EVENT_CTA_STRATEGY+self.name, self.signal.emit)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def init(self):
|
||||
"""初始化策略"""
|
||||
self.ctaEngine.initStrategy(self.name)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def start(self):
|
||||
"""启动策略"""
|
||||
self.ctaEngine.startStrategy(self.name)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def stop(self):
|
||||
"""停止策略"""
|
||||
self.ctaEngine.stopStrategy(self.name)
|
||||
|
||||
|
||||
########################################################################
|
||||
class CtaEngineManager(QtWidgets.QWidget):
|
||||
"""CTA引擎管理组件"""
|
||||
signal = QtCore.Signal(type(Event()))
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def __init__(self, ctaEngine, eventEngine, parent=None):
|
||||
"""Constructor"""
|
||||
super(CtaEngineManager, self).__init__(parent)
|
||||
|
||||
self.ctaEngine = ctaEngine
|
||||
self.eventEngine = eventEngine
|
||||
|
||||
self.strategyLoaded = False
|
||||
|
||||
self.initUi()
|
||||
self.registerEvent()
|
||||
|
||||
# 记录日志
|
||||
self.ctaEngine.writeCtaLog(text.CTA_ENGINE_STARTED)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def initUi(self):
|
||||
"""初始化界面"""
|
||||
self.setWindowTitle(text.CTA_STRATEGY)
|
||||
|
||||
# 按钮
|
||||
loadButton = QtWidgets.QPushButton(text.LOAD_STRATEGY)
|
||||
initAllButton = QtWidgets.QPushButton(text.INIT_ALL)
|
||||
startAllButton = QtWidgets.QPushButton(text.START_ALL)
|
||||
stopAllButton = QtWidgets.QPushButton(text.STOP_ALL)
|
||||
|
||||
loadButton.clicked.connect(self.load)
|
||||
initAllButton.clicked.connect(self.initAll)
|
||||
startAllButton.clicked.connect(self.startAll)
|
||||
stopAllButton.clicked.connect(self.stopAll)
|
||||
|
||||
# 滚动区域，放置所有的CtaStrategyManager
|
||||
self.scrollArea = QtWidgets.QScrollArea()
|
||||
self.scrollArea.setWidgetResizable(True)
|
||||
|
||||
# CTA组件的日志监控
|
||||
self.ctaLogMonitor = QtWidgets.QTextEdit()
|
||||
self.ctaLogMonitor.setReadOnly(True)
|
||||
self.ctaLogMonitor.setMaximumHeight(200)
|
||||
|
||||
# 设置布局
|
||||
hbox2 = QtWidgets.QHBoxLayout()
|
||||
hbox2.addWidget(loadButton)
|
||||
hbox2.addWidget(initAllButton)
|
||||
hbox2.addWidget(startAllButton)
|
||||
hbox2.addWidget(stopAllButton)
|
||||
hbox2.addStretch()
|
||||
|
||||
vbox = QtWidgets.QVBoxLayout()
|
||||
vbox.addLayout(hbox2)
|
||||
vbox.addWidget(self.scrollArea)
|
||||
vbox.addWidget(self.ctaLogMonitor)
|
||||
self.setLayout(vbox)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def initStrategyManager(self):
|
||||
"""初始化策略管理组件界面"""
|
||||
w = QtWidgets.QWidget()
|
||||
vbox = QtWidgets.QVBoxLayout()
|
||||
|
||||
for name in self.ctaEngine.strategyDict.keys():
|
||||
strategyManager = CtaStrategyManager(self.ctaEngine, self.eventEngine, name)
|
||||
vbox.addWidget(strategyManager)
|
||||
|
||||
vbox.addStretch()
|
||||
|
||||
w.setLayout(vbox)
|
||||
self.scrollArea.setWidget(w)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def initAll(self):
|
||||
"""全部初始化"""
|
||||
self.ctaEngine.initAll()
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def startAll(self):
|
||||
"""全部启动"""
|
||||
self.ctaEngine.startAll()
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def stopAll(self):
|
||||
"""全部停止"""
|
||||
self.ctaEngine.stopAll()
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def load(self):
|
||||
"""加载策略"""
|
||||
if not self.strategyLoaded:
|
||||
self.ctaEngine.loadSetting()
|
||||
self.initStrategyManager()
|
||||
self.strategyLoaded = True
|
||||
self.ctaEngine.writeCtaLog(text.STRATEGY_LOADED)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def updateCtaLog(self, event):
|
||||
"""更新CTA相关日志"""
|
||||
log = event.dict_['data']
|
||||
content = '\t'.join([log.logTime, log.logContent])
|
||||
self.ctaLogMonitor.append(content)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def registerEvent(self):
|
||||
"""注册事件监听"""
|
||||
self.signal.connect(self.updateCtaLog)
|
||||
self.eventEngine.register(EVENT_CTA_LOG, self.signal.emit)
|
||||
|
||||
|
||||
|
||||
|
||||
|
||||
|
||||
|
||||
|
||||
|
||||
|
||||
Loading…
Reference in New Issue
Block a user