[增强功能] 回测引擎增加跨品种套利bar模式; 价差行情模块移动=> gateway.py; kline增加缠论支持
This commit is contained in:
msincenselee
parent
ce1a85b656
commit
bd7280bfaf
@ -8,6 +8,7 @@ from .engine import CtaEngine
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from .template import (
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Direction,
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Offset,
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Exchange,
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Status,
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Color,
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TickData,
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@ -1240,7 +1240,7 @@ class BackTestingEngine(object):
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active_exchange = self.get_exchange(active_symbol)
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active_vt_symbol = active_symbol + '.' + active_exchange.value
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passive_exchange = self.get_exchange(passive_symbol)
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# passive_vt_symbol = active_symbol + '.' + passive_exchange.value
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passive_vt_symbol = passive_symbol + '.' + passive_exchange.value
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# 主动腿成交记录
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act_trade = TradeData(gateway_name=self.gateway_name,
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symbol=active_symbol,
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@ -1438,10 +1438,10 @@ class BackTestingEngine(object):
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# 如果当前没有空单，属于异常行为
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if len(self.short_position_list) == 0:
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self.write_error(u'异常!没有空单持仓，不能cover')
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raise Exception(u'异常!没有空单持仓，不能cover')
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# raise Exception(u'异常!没有空单持仓，不能cover')
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return
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cur_short_pos_list = [s_pos.volume for s_pos in self.short_position_list]
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cur_short_pos_list = [s_pos.volume for s_pos in self.short_position_list if s_pos.vt_symbol == trade.vt_symbol]
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self.write_log(u'{}当前空单:{}'.format(trade.vt_symbol, cur_short_pos_list))
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@ -1450,8 +1450,12 @@ class BackTestingEngine(object):
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val.vt_symbol == trade.vt_symbol and val.strategy_name == trade.strategy_name]
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if len(pop_indexs) < 1:
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self.write_error(u'异常，{}没有对应symbol:{}的空单持仓'.format(trade.strategy_name, trade.vt_symbol))
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raise Exception(u'realtimeCalculate2() Exception,没有对应symbol:{0}的空单持仓'.format(trade.vt_symbol))
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if 'spd' in vt_tradeid:
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self.write_error(f'没有{trade.strategy_name}对应的symbol:{trade.vt_symbol}的空单持仓, 继续')
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break
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else:
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self.write_error(u'异常，{}没有对应symbol:{}的空单持仓, 终止'.format(trade.strategy_name, trade.vt_symbol))
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# raise Exception(u'realtimeCalculate2() Exception,没有对应symbol:{0}的空单持仓'.format(trade.vt_symbol))
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return
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pop_index = pop_indexs[0]
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@ -1494,7 +1498,7 @@ class BackTestingEngine(object):
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self.trade_pnl_list.append(t)
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# 非自定义套利对，才更新到策略盈亏
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if not open_trade.vt_symbol.endswith('SPD'):
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if not (open_trade.vt_symbol.endswith('SPD') or open_trade.vt_symbol.endswith('SPD99')):
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# 更新策略实例的累加盈亏
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self.pnl_strategy_dict.update(
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{open_trade.strategy_name: self.pnl_strategy_dict.get(open_trade.strategy_name,
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@ -1506,6 +1510,8 @@ class BackTestingEngine(object):
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open_trade.volume, result.pnl, result.commission)
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self.write_log(msg)
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# 添加到交易结果汇总
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result_list.append(result)
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if g_result is None:
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@ -1569,6 +1575,9 @@ class BackTestingEngine(object):
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self.write_log(msg)
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# 添加到交易结果汇总
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result_list.append(result)
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# 更新（减少）开仓单的volume,重新推进开仓单列表中
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open_trade.volume = remain_volume
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self.write_log(u'更新（减少）开仓单的volume,重新推进开仓单列表中:{}'.format(open_trade.volume))
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@ -1577,7 +1586,7 @@ class BackTestingEngine(object):
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self.write_log(u'当前空单:{}'.format(cur_short_pos_list))
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cover_volume = 0
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result_list.append(result)
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if g_result is not None:
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# 更新组合的数据
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@ -1606,18 +1615,21 @@ class BackTestingEngine(object):
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while sell_volume > 0:
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if len(self.long_position_list) == 0:
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self.write_error(f'异常，没有{trade.vt_symbol}的多仓')
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raise RuntimeError(u'realtimeCalculate2() Exception,没有开多单')
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# raise RuntimeError(u'realtimeCalculate2() Exception,没有开多单')
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return
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pop_indexs = [i for i, val in enumerate(self.long_position_list) if
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val.vt_symbol == trade.vt_symbol and val.strategy_name == trade.strategy_name]
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if len(pop_indexs) < 1:
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self.write_error(f'没有{trade.strategy_name}对应的symbol{trade.vt_symbol}多单数据,')
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raise RuntimeError(
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f'realtimeCalculate2() Exception,没有对应的symbol{trade.vt_symbol}多单数据,')
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if 'spd' in vt_tradeid:
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self.write_error(f'没有{trade.strategy_name}对应的symbol:{trade.vt_symbol}多单数据, 继续')
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break
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else:
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self.write_error(f'没有{trade.strategy_name}对应的symbol:{trade.vt_symbol}多单数据, 终止')
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# raise RuntimeError(f'realtimeCalculate2() Exception,没有对应的symbol:{trade.vt_symbol}多单数据,')
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return
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cur_long_pos_list = [s_pos.volume for s_pos in self.long_position_list]
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cur_long_pos_list = [s_pos.volume for s_pos in self.long_position_list if s_pos.vt_symbol == trade.vt_symbol]
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self.write_log(u'{}当前多单:{}'.format(trade.vt_symbol, cur_long_pos_list))
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@ -1669,6 +1681,8 @@ class BackTestingEngine(object):
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open_trade.volume, result.pnl, result.commission)
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self.write_log(msg)
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# 添加到交易结果汇总
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result_list.append(result)
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if g_result is None:
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@ -1728,13 +1742,14 @@ class BackTestingEngine(object):
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result.commission)
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self.write_log(msg)
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# 添加到交易结果汇总
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result_list.append(result)
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# 减少开多volume,重新推进多单持仓列表中
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open_trade.volume = remain_volume
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self.long_position_list.append(open_trade)
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sell_volume = 0
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result_list.append(result)
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if g_result is not None:
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# 更新组合的数据
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@ -1786,8 +1801,11 @@ class BackTestingEngine(object):
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continue
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# 当前空单保证金
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if self.use_margin:
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try:
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cur_occupy_money = max(self.get_price(t.vt_symbol), t.price) * abs(t.volume) * self.get_size(
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t.vt_symbol) * self.get_margin_rate(t.vt_symbol)
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except Exception as ex:
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self.write_error(ex)
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else:
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cur_occupy_money = self.get_price(t.vt_symbol) * abs(t.volume) * self.get_size(
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t.vt_symbol) * self.get_margin_rate(t.vt_symbol)
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@ -797,6 +797,10 @@ class CtaEngine(BaseEngine):
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return True
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@lru_cache()
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def get_exchange(self, symbol):
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return self.main_engine.get_exchange(symbol)
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@lru_cache()
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def get_name(self, vt_symbol: str):
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"""查询合约的name"""
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@ -868,6 +872,9 @@ class CtaEngine(BaseEngine):
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def get_contract(self, vt_symbol):
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return self.main_engine.get_contract(vt_symbol)
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def get_custom_contract(self, vt_symbol):
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return self.main_engine.get_custom_contract(vt_symbol.split('.')[0])
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def get_all_contracts(self):
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return self.main_engine.get_all_contracts()
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@ -986,6 +993,7 @@ class CtaEngine(BaseEngine):
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"""
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Add a new strategy.
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"""
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try:
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if strategy_name in self.strategies:
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msg = f"创建策略失败，存在重名{strategy_name}"
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self.write_log(msg=msg,
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@ -1019,6 +1027,14 @@ class CtaEngine(BaseEngine):
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if auto_init:
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self.init_strategy(strategy_name, auto_start=auto_start)
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except Exception as ex:
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msg = f'添加策略实例{strategy_name}失败,{str(ex)}'
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self.write_error(msg)
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self.write_error(traceback.format_exc())
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self.send_wechat(msg)
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return False, f'添加策略实例{strategy_name}失败'
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return True, f'成功添加{strategy_name}'
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def init_strategy(self, strategy_name: str, auto_start: bool = False):
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@ -1804,7 +1820,8 @@ class CtaEngine(BaseEngine):
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symbol_pos.get('策略空单', 0)
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))
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diff_pos_dict.update({vt_symbol: {"long": symbol_pos.get('账号多单', 0) - symbol_pos.get('策略多单', 0),
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"short":symbol_pos.get('账号空单', 0) - symbol_pos.get('策略空单', 0)}})
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"short": symbol_pos.get('账号空单', 0) - symbol_pos.get('策略空单',
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0)}})
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else:
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match = round(symbol_pos.get('账号空单', 0), 7) == round(symbol_pos.get('策略空单', 0), 7) and \
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round(symbol_pos.get('账号多单', 0), 7) == round(symbol_pos.get('策略多单', 0), 7)
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@ -277,7 +277,7 @@ class PortfolioTestingEngine(BackTestingEngine):
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bar.high_price = float(bar_data['high'])
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bar.low_price = float(bar_data['low'])
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bar.volume = int(bar_data['volume'])
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bar.open_interest = int(bar_data.get('open_interest', 0))
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bar.open_interest = float(bar_data.get('open_interest', 0))
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bar.date = bar_datetime.strftime('%Y-%m-%d')
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bar.time = bar_datetime.strftime('%H:%M:%S')
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str_td = str(bar_data.get('trading_day', ''))
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@ -13,7 +13,7 @@ import gc
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import pandas as pd
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import numpy as np
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import traceback
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import random
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import bz2
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import pickle
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@ -21,7 +21,7 @@ from datetime import datetime, timedelta
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from time import sleep
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from vnpy.trader.object import (
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TickData,
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TickData, BarData
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)
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from vnpy.trader.constant import (
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Exchange,
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@ -33,6 +33,7 @@ from vnpy.trader.utility import (
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get_trading_date,
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import_module_by_str
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)
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from vnpy.trader.gateway import TickCombiner
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from .back_testing import BackTestingEngine
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@ -51,8 +52,9 @@ class SpreadTestingEngine(BackTestingEngine):
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CTA套利组合回测引擎, 使用回测引擎作为父类
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函数接口和策略引擎保持一样，
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从而实现同一套代码从回测到实盘。
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针对tick回测
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导入CTA_Settings
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tick回测:
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1,设置tick_path,
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"""
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@ -60,9 +62,17 @@ class SpreadTestingEngine(BackTestingEngine):
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"""Constructor"""
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super().__init__(event_engine)
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self.tick_path = None # tick级别回测， 路径
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self.use_tq = False
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self.use_tq = False # True:使用tq数据; False:使用淘宝购买的数据(19年之前)
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self.strategy_start_date_dict = {}
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self.strategy_end_date_dict = {}
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self.tick_combiner_dict = {} # tick合成器
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self.symbol_combiner_dict = {} # symbol : [combiner]
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self.bar_csv_file = {}
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self.bar_df_dict = {} # 历史数据的df，回测用
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self.bar_df = None # 历史数据的df，时间+symbol作为组合索引
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self.bar_interval_seconds = 60 # bar csv文件，属于K线类型，K线的周期（秒数）,缺省是1分钟
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self.on_tick = self.new_tick # 仿造 gateway的on_tick接口 => new_tick
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def prepare_env(self, test_setting):
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self.output('portfolio prepare_env')
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@ -70,6 +80,38 @@ class SpreadTestingEngine(BackTestingEngine):
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self.use_tq = test_setting.get('use_tq', False)
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def prepare_data(self, data_dict):
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"""
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准备组合数据
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:param data_dict: 合约得配置参数
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:return:
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"""
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# 调用回测引擎，跟新合约得数据
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super().prepare_data(data_dict)
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if len(data_dict) == 0:
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self.write_log(u'请指定回测数据和文件')
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return
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if self.mode == 'tick':
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return
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# 检查/更新bar文件
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for symbol, symbol_data in data_dict.items():
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self.write_log(u'配置{}数据:{}'.format(symbol, symbol_data))
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bar_file = symbol_data.get('bar_file', None)
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if bar_file is None:
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self.write_error(u'{}没有配置数据文件')
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continue
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if not os.path.isfile(bar_file):
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self.write_log(u'{0}文件不存在'.format(bar_file))
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continue
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self.bar_csv_file.update({symbol: bar_file})
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def load_strategy(self, strategy_name: str, strategy_setting: dict = None):
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"""
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装载回测的策略
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@ -112,29 +154,90 @@ class SpreadTestingEngine(BackTestingEngine):
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pas_underly = get_underlying_symbol(pas_symbol).upper()
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act_exchange = self.get_exchange(f'{act_underly}99')
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pas_exchange = self.get_exchange(f'{pas_underly}99')
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idx_contract = self.get_contract(f'{act_underly}99.{act_exchange.value}')
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act_contract = self.get_contract(f'{act_underly}99.{act_exchange.value}')
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if self.get_contract(f'{act_symbol}.{act_exchange.value}') is None:
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self.set_contract(symbol=act_symbol,
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exchange=act_exchange,
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product=idx_contract.product,
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product=act_contract.product,
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name=act_symbol,
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size=idx_contract.size,
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price_tick=idx_contract.pricetick,
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margin_rate=idx_contract.margin_rate)
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size=act_contract.size,
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price_tick=act_contract.pricetick,
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margin_rate=act_contract.margin_rate)
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self.write_log(f'设置主动腿指数合约信息{act_symbol}.{act_exchange.value}')
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if pas_underly != act_underly:
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idx_contract = self.get_contract(f'{pas_underly}99.{pas_exchange.value}')
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pas_contract = self.get_contract(f'{pas_underly}99.{pas_exchange.value}')
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else:
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pas_contract = act_contract
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if self.get_contract(f'{pas_symbol}.{pas_exchange.value}') is None:
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self.set_contract(symbol=pas_symbol,
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exchange=pas_exchange,
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product=idx_contract.product,
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product=pas_contract.product,
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name=act_symbol,
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size=idx_contract.size,
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price_tick=idx_contract.pricetick,
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margin_rate=idx_contract.margin_rate)
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size=pas_contract.size,
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price_tick=pas_contract.pricetick,
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margin_rate=pas_contract.margin_rate)
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self.write_log(f'设置被动腿指数合约信息{pas_symbol}.{pas_exchange.value}')
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idx_spd_symbol=f'{act_underly}99-{act_ratio}-{pas_underly}99-{pas_ratio}-{spread_type}'
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subscribe_symobls.remove(vt_symbol)
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if f'{idx_spd_symbol}.SPD' not in self.contract_dict:
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if spread_type == 'CJ':
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if act_underly == pas_underly:
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spd_price_tick = act_contract.pricetick
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spd_size = act_contract.size
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spd_margin_rate = act_contract.margin_rate
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else:
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spd_price_tick = min(act_contract.pricetick, pas_contract.pricetick)
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spd_size = min(act_contract.size, pas_contract.size)
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spd_margin_rate = max(act_contract.margin_rate, pas_contract.margin_rate)
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else:
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spd_price_tick = 0.01
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spd_size = 100
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spd_margin_rate = 0.1
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self.set_contract(
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symbol=idx_spd_symbol,
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exchange=Exchange.SPD,
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product=act_contract.product,
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name=idx_spd_symbol,
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size=spd_size,
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price_tick=spd_price_tick,
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margin_rate=spd_margin_rate
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)
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self.write_log(f'设置套利合约信息{idx_spd_symbol}.SPD')
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spd_contract =self.contract_dict.get(f'{idx_spd_symbol}.SPD')
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# subscribe_symobls.remove(vt_symbol)
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subscribe_symobls.append(f'{act_symbol}.{act_exchange.value}')
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subscribe_symobls.append(f'{pas_symbol}.{pas_exchange.value}')
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# 价差生成器
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combiner = self.tick_combiner_dict.get(vt_symbol, None)
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act_combiners = self.symbol_combiner_dict.get(act_symbol, [])
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pas_combiners = self.symbol_combiner_dict.get(pas_symbol, [])
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if combiner is None:
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combiner = TickCombiner(
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gateway=self,
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setting={
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"symbol": symbol,
|
||||
"leg1_symbol": act_symbol,
|
||||
"leg1_ratio": int(act_ratio),
|
||||
"leg2_symbol": pas_symbol,
|
||||
"leg2_ratio": int(pas_ratio),
|
||||
"price_tick": spd_contract.pricetick,
|
||||
"is_spread": True if spread_type == "CJ" else False,
|
||||
"is_ratio": True if spread_type == "BJ" else False}
|
||||
)
|
||||
self.tick_combiner_dict[vt_symbol] = combiner
|
||||
self.write_log(f'添加{vt_symbol} tick合成器')
|
||||
if combiner not in act_combiners:
|
||||
act_combiners.append(combiner)
|
||||
self.symbol_combiner_dict.update({act_symbol: act_combiners})
|
||||
self.write_log(f'添加{act_symbol} => {vt_symbol} 合成器映射关系')
|
||||
if combiner not in pas_combiners:
|
||||
pas_combiners.append(combiner)
|
||||
self.symbol_combiner_dict.update({pas_symbol: pas_combiners})
|
||||
self.write_log(f'添加{pas_symbol} => {vt_symbol} 合成器映射关系')
|
||||
|
||||
# 取消自动启动
|
||||
if 'auto_start' in strategy_setting:
|
||||
strategy_setting.update({'auto_start': False})
|
||||
@ -205,7 +308,10 @@ class SpreadTestingEngine(BackTestingEngine):
|
||||
|
||||
self.write_log(u'开始回测:{} ~ {}'.format(self.data_start_date, self.data_end_date))
|
||||
|
||||
if self.mode == 'tick':
|
||||
self.run_tick_test()
|
||||
else:
|
||||
self.run_bar_test()
|
||||
|
||||
def load_csv_file(self, tick_folder, vt_symbol, tick_date):
|
||||
"""从文件中读取tick，返回list[{dict}]"""
|
||||
@ -237,7 +343,7 @@ class SpreadTestingEngine(BackTestingEngine):
|
||||
|
||||
ticks = []
|
||||
if not os.path.isfile(file_path):
|
||||
self.write_log(u'{0}文件不存在'.format(file_path))
|
||||
self.write_log(f'{file_path}文件不存在')
|
||||
return None
|
||||
|
||||
df = pd.read_csv(file_path, encoding='gbk', parse_dates=False)
|
||||
@ -292,7 +398,7 @@ class SpreadTestingEngine(BackTestingEngine):
|
||||
|
||||
ticks = []
|
||||
if not os.path.isfile(file_path):
|
||||
self.write_log(u'{0}文件不存在'.format(file_path))
|
||||
self.write_log(u'{}文件不存在'.format(file_path))
|
||||
return None
|
||||
try:
|
||||
df = pd.read_csv(file_path, parse_dates=False)
|
||||
@ -332,7 +438,7 @@ class SpreadTestingEngine(BackTestingEngine):
|
||||
|
||||
del df
|
||||
except Exception as ex:
|
||||
self.write_log(u'{0}文件读取不成功'.format(file_path))
|
||||
self.write_log(f'{file_path}文件读取不成功: {str(ex)}')
|
||||
return None
|
||||
return ticks
|
||||
|
||||
@ -389,6 +495,186 @@ class SpreadTestingEngine(BackTestingEngine):
|
||||
|
||||
return tick_df
|
||||
|
||||
def load_bar_csv_to_df(self, vt_symbol, bar_file, data_start_date=None, data_end_date=None):
|
||||
"""加载回测bar数据到DataFrame"""
|
||||
self.output(u'loading {} from {}'.format(vt_symbol, bar_file))
|
||||
if vt_symbol in self.bar_df_dict:
|
||||
return True
|
||||
|
||||
if bar_file is None or not os.path.exists(bar_file):
|
||||
self.write_error(u'回测时，{}对应的csv bar文件{}不存在'.format(vt_symbol, bar_file))
|
||||
return False
|
||||
|
||||
try:
|
||||
data_types = {
|
||||
"datetime": str,
|
||||
"open": float,
|
||||
"high": float,
|
||||
"low": float,
|
||||
"close": float,
|
||||
"open_interest": float,
|
||||
"volume": float,
|
||||
"instrument_id": str,
|
||||
"symbol": str,
|
||||
"total_turnover": float,
|
||||
"limit_down": float,
|
||||
"limit_up": float,
|
||||
"trading_day": str,
|
||||
"date": str,
|
||||
"time": str
|
||||
}
|
||||
|
||||
# 加载csv文件 =》 dateframe
|
||||
symbol_df = pd.read_csv(bar_file, dtype=data_types)
|
||||
if len(symbol_df) == 0:
|
||||
self.write_error(f'回测时加载{vt_symbol} csv文件{bar_file}失败。')
|
||||
return False
|
||||
|
||||
first_dt = symbol_df.iloc[0]['datetime']
|
||||
if '.' in first_dt:
|
||||
datetime_format = "%Y-%m-%d %H:%M:%S.%f"
|
||||
else:
|
||||
datetime_format = "%Y-%m-%d %H:%M:%S"
|
||||
# 转换时间，str =》 datetime
|
||||
symbol_df["datetime"] = pd.to_datetime(symbol_df["datetime"], format=datetime_format)
|
||||
# 设置时间为索引
|
||||
symbol_df = symbol_df.set_index("datetime")
|
||||
|
||||
# 裁剪数据
|
||||
symbol_df = symbol_df.loc[self.test_start_date:self.test_end_date]
|
||||
|
||||
self.bar_df_dict.update({vt_symbol: symbol_df})
|
||||
|
||||
except Exception as ex:
|
||||
self.write_error(u'回测时读取{} csv文件{}失败:{}'.format(vt_symbol, bar_file, ex))
|
||||
self.output(u'回测时读取{} csv文件{}失败:{}'.format(vt_symbol, bar_file, ex))
|
||||
return False
|
||||
|
||||
return True
|
||||
|
||||
def comine_bar_df(self):
|
||||
"""
|
||||
合并所有回测合约的bar DataFrame =》集中的DataFrame
|
||||
把bar_df_dict =》bar_df
|
||||
:return:
|
||||
"""
|
||||
self.output('comine_df')
|
||||
if len(self.bar_df_dict) == 0:
|
||||
self.output(f'无加载任何数据,请检查bar文件路径配置')
|
||||
|
||||
self.bar_df = pd.concat(self.bar_df_dict, axis=0).swaplevel(0, 1).sort_index()
|
||||
self.bar_df_dict.clear()
|
||||
|
||||
def run_bar_test(self):
|
||||
"""使用bar进行组合回测"""
|
||||
testdays = (self.data_end_date - self.data_start_date).days
|
||||
|
||||
if testdays < 1:
|
||||
self.write_log(u'回测时间不足')
|
||||
return
|
||||
|
||||
# 加载数据
|
||||
for vt_symbol in self.symbol_strategy_map.keys():
|
||||
symbol, exchange = extract_vt_symbol(vt_symbol)
|
||||
|
||||
# 不读取SPD的bar文件
|
||||
if exchange == Exchange.SPD:
|
||||
continue
|
||||
self.load_bar_csv_to_df(vt_symbol, self.bar_csv_file.get(symbol))
|
||||
|
||||
# 合并数据
|
||||
self.comine_bar_df()
|
||||
|
||||
last_trading_day = None
|
||||
bars_dt = None
|
||||
bars_same_dt = []
|
||||
|
||||
gc_collect_days = 0
|
||||
|
||||
try:
|
||||
for (dt, vt_symbol), bar_data in self.bar_df.iterrows():
|
||||
symbol, exchange = extract_vt_symbol(vt_symbol)
|
||||
|
||||
bar_datetime = dt - timedelta(seconds=self.bar_interval_seconds)
|
||||
|
||||
bar = BarData(
|
||||
gateway_name='backtesting',
|
||||
symbol=symbol,
|
||||
exchange=exchange,
|
||||
datetime=bar_datetime
|
||||
)
|
||||
|
||||
bar.open_price = float(bar_data['open'])
|
||||
bar.close_price = float(bar_data['close'])
|
||||
bar.high_price = float(bar_data['high'])
|
||||
bar.low_price = float(bar_data['low'])
|
||||
bar.volume = int(bar_data['volume'])
|
||||
bar.open_interest = int(bar_data.get('open_interest', 0))
|
||||
bar.date = bar_datetime.strftime('%Y-%m-%d')
|
||||
bar.time = bar_datetime.strftime('%H:%M:%S')
|
||||
str_td = str(bar_data.get('trading_day', ''))
|
||||
if len(str_td) == 8:
|
||||
bar.trading_day = str_td[0:4] + '-' + str_td[4:6] + '-' + str_td[6:8]
|
||||
elif len(str_td) == 10:
|
||||
bar.trading_day = str_td
|
||||
else:
|
||||
bar.trading_day = get_trading_date(bar_datetime)
|
||||
|
||||
if last_trading_day != bar.trading_day:
|
||||
self.output(u'回测数据日期:{},资金:{}'.format(bar.trading_day, self.net_capital))
|
||||
if self.strategy_start_date > bar.datetime:
|
||||
last_trading_day = bar.trading_day
|
||||
|
||||
# bar时间与队列时间一致，添加到队列中
|
||||
if dt == bars_dt:
|
||||
bars_same_dt.append(bar)
|
||||
continue
|
||||
else:
|
||||
# bar时间与队列时间不一致，先推送队列的bars
|
||||
random.shuffle(bars_same_dt)
|
||||
for _bar_ in bars_same_dt:
|
||||
self.new_bar(_bar_)
|
||||
|
||||
# 创建新的队列
|
||||
bars_same_dt = [bar]
|
||||
bars_dt = dt
|
||||
|
||||
# 更新每日净值
|
||||
if self.strategy_start_date <= dt <= self.data_end_date:
|
||||
if last_trading_day != bar.trading_day:
|
||||
if last_trading_day is not None:
|
||||
self.saving_daily_data(datetime.strptime(last_trading_day, '%Y-%m-%d'), self.cur_capital,
|
||||
self.max_net_capital, self.total_commission)
|
||||
last_trading_day = bar.trading_day
|
||||
|
||||
# 第二个交易日,撤单
|
||||
self.cancel_orders()
|
||||
# 更新持仓缓存
|
||||
self.update_pos_buffer()
|
||||
|
||||
gc_collect_days += 1
|
||||
if gc_collect_days >= 10:
|
||||
# 执行内存回收
|
||||
gc.collect()
|
||||
sleep(1)
|
||||
gc_collect_days = 0
|
||||
|
||||
if self.net_capital < 0:
|
||||
self.write_error(u'净值低于0，回测停止')
|
||||
self.output(u'净值低于0，回测停止')
|
||||
return
|
||||
|
||||
self.write_log(u'bar数据回放完成')
|
||||
if last_trading_day is not None:
|
||||
self.saving_daily_data(datetime.strptime(last_trading_day, '%Y-%m-%d'), self.cur_capital,
|
||||
self.max_net_capital, self.total_commission)
|
||||
except Exception as ex:
|
||||
self.write_error(u'回测异常导致停止:{}'.format(str(ex)))
|
||||
self.write_error(u'{},{}'.format(str(ex), traceback.format_exc()))
|
||||
print(str(ex), file=sys.stderr)
|
||||
traceback.print_exc()
|
||||
return
|
||||
|
||||
def run_tick_test(self):
|
||||
"""运行tick级别组合回测"""
|
||||
testdays = (self.data_end_date - self.data_start_date).days
|
||||
@ -432,6 +718,9 @@ class SpreadTestingEngine(BackTestingEngine):
|
||||
|
||||
self.new_tick(tick)
|
||||
|
||||
# 推送至所有tick combiner
|
||||
[c.on_tick(tick) for c in self.symbol_combiner_dict.get(tick.symbol, [])]
|
||||
|
||||
# 结束一个交易日后，更新每日净值
|
||||
self.saving_daily_data(test_day,
|
||||
self.cur_capital,
|
||||
@ -463,6 +752,47 @@ class SpreadTestingEngine(BackTestingEngine):
|
||||
|
||||
self.write_log(u'tick数据回放完成')
|
||||
|
||||
def new_bar(self, bar):
|
||||
"""
|
||||
重载new_bar方法
|
||||
bar => tick => 合成器 => new_tick
|
||||
:param bar:
|
||||
:return:
|
||||
"""
|
||||
tick = self.bar_to_tick(bar)
|
||||
self.new_tick(tick)
|
||||
# 推送至所有tick combiner
|
||||
[c.on_tick(tick) for c in self.symbol_combiner_dict.get(tick.symbol, [])]
|
||||
|
||||
def bar_to_tick(self, bar):
|
||||
""" 通过bar分时bar转换为tick数据 """
|
||||
|
||||
# tick =》 增加一分钟
|
||||
tick = TickData(
|
||||
gateway_name='backtesting',
|
||||
symbol=bar.symbol,
|
||||
exchange=bar.exchange,
|
||||
datetime=bar.datetime + timedelta(minutes=1)
|
||||
)
|
||||
tick.date = tick.datetime.strftime('%Y-%m-%d')
|
||||
tick.time = tick.datetime.strftime('%H:%M:%S.000')
|
||||
tick.trading_day = bar.trading_day if bar.trading_day else get_trading_date(tick.datetime)
|
||||
tick.volume = bar.volume
|
||||
tick.open_interest = bar.open_interest
|
||||
tick.last_price = bar.close_price
|
||||
tick.last_volume = bar.volume
|
||||
tick.limit_up = 0
|
||||
tick.limit_down = 0
|
||||
tick.open_price = 0
|
||||
tick.high_price = 0
|
||||
tick.low_price = 0
|
||||
tick.pre_close = 0
|
||||
tick.bid_price_1 = bar.close_price
|
||||
tick.ask_price_1 = bar.close_price
|
||||
tick.bid_volume_1 = bar.volume
|
||||
tick.ask_volume_1 = bar.volume
|
||||
return tick
|
||||
|
||||
|
||||
def single_test(test_setting: dict, strategy_setting: dict):
|
||||
"""
|
||||
|
||||
@ -1160,7 +1160,7 @@ class CtaProFutureTemplate(CtaProTemplate):
|
||||
:param trade:
|
||||
:return:
|
||||
"""
|
||||
self.write_log(u'{},交易更新事件:{},当前持仓：{} '
|
||||
self.write_log(u'{},交易更新 =>{},\n 当前持仓：{} '
|
||||
.format(self.cur_datetime,
|
||||
trade.__dict__,
|
||||
self.position.pos))
|
||||
@ -1173,6 +1173,8 @@ class CtaProFutureTemplate(CtaProTemplate):
|
||||
dist_record['volume'] = trade.volume
|
||||
dist_record['price'] = trade.price
|
||||
dist_record['symbol'] = trade.vt_symbol
|
||||
|
||||
# 处理股指锁单
|
||||
if trade.exchange == Exchange.CFFEX:
|
||||
if trade.direction == Direction.LONG:
|
||||
if abs(self.position.short_pos) >= trade.volume:
|
||||
@ -1228,7 +1230,7 @@ class CtaProFutureTemplate(CtaProTemplate):
|
||||
def on_order(self, order: OrderData):
|
||||
"""报单更新"""
|
||||
# 未执行的订单中，存在是异常，删除
|
||||
self.write_log(u'{}报单更新，{}'.format(self.cur_datetime, order.__dict__))
|
||||
self.write_log(u'{}报单更新 => {}'.format(self.cur_datetime, order.__dict__))
|
||||
|
||||
# 修正order被拆单得情况"
|
||||
self.fix_order(order)
|
||||
@ -1274,7 +1276,7 @@ class CtaProFutureTemplate(CtaProTemplate):
|
||||
:param order:
|
||||
:return:
|
||||
"""
|
||||
self.write_log(u'委托单全部完成:{}'.format(order.__dict__))
|
||||
self.write_log(u'报单更新 => 委托单全部完成:{}'.format(order.__dict__))
|
||||
active_order = self.active_orders[order.vt_orderid]
|
||||
|
||||
# 通过vt_orderid，找到对应的网格
|
||||
@ -1330,7 +1332,7 @@ class CtaProFutureTemplate(CtaProTemplate):
|
||||
:param order:
|
||||
:return:
|
||||
"""
|
||||
self.write_log(u'委托开仓单撤销:{}'.format(order.__dict__))
|
||||
self.write_log(u'报单更新 => 委托开仓 => 撤销:{}'.format(order.__dict__))
|
||||
|
||||
if not self.trading:
|
||||
if not self.backtesting:
|
||||
@ -1343,7 +1345,7 @@ class CtaProFutureTemplate(CtaProTemplate):
|
||||
|
||||
# 直接更新“未完成委托单”，更新volume,retry次数
|
||||
old_order = self.active_orders[order.vt_orderid]
|
||||
self.write_log(u'{} 委托信息:{}'.format(order.vt_orderid, old_order))
|
||||
self.write_log(u'报单更新 => {} 未完成订单信息:{}'.format(order.vt_orderid, old_order))
|
||||
old_order['traded'] = order.traded
|
||||
order_vt_symbol = copy(old_order['vt_symbol'])
|
||||
order_volume = old_order['volume'] - old_order['traded']
|
||||
@ -1477,7 +1479,7 @@ class CtaProFutureTemplate(CtaProTemplate):
|
||||
else:
|
||||
pre_status = old_order.get('status', Status.NOTTRADED)
|
||||
old_order.update({'status': Status.CANCELLED})
|
||||
self.write_log(u'委托单状态:{}=>{}'.format(pre_status, old_order.get('status')))
|
||||
self.write_log(u'委托单方式{},状态:{}=>{}'.format(order_type, pre_status, old_order.get('status')))
|
||||
if grid:
|
||||
if order.vt_orderid in grid.order_ids:
|
||||
grid.order_ids.remove(order.vt_orderid)
|
||||
@ -1492,7 +1494,7 @@ class CtaProFutureTemplate(CtaProTemplate):
|
||||
|
||||
def on_order_close_canceled(self, order: OrderData):
|
||||
"""委托平仓单撤销"""
|
||||
self.write_log(u'委托平仓单撤销:{}'.format(order.__dict__))
|
||||
self.write_log(u'报单更新 => 委托平仓 => 撤销:{}'.format(order.__dict__))
|
||||
|
||||
if order.vt_orderid not in self.active_orders:
|
||||
self.write_error(u'{}不在未完成的委托单中:{}。'.format(order.vt_orderid, self.active_orders))
|
||||
@ -1504,7 +1506,7 @@ class CtaProFutureTemplate(CtaProTemplate):
|
||||
|
||||
# 直接更新“未完成委托单”，更新volume,Retry次数
|
||||
old_order = self.active_orders[order.vt_orderid]
|
||||
self.write_log(u'{} 订单信息:{}'.format(order.vt_orderid, old_order))
|
||||
self.write_log(u'报单更新 => {} 未完成订单信息:{}'.format(order.vt_orderid, old_order))
|
||||
old_order['traded'] = order.traded
|
||||
# order_time = old_order['order_time']
|
||||
order_vt_symbol = copy(old_order['vt_symbol'])
|
||||
@ -1692,13 +1694,13 @@ class CtaProFutureTemplate(CtaProTemplate):
|
||||
if order_status in [Status.NOTTRADED, Status.SUBMITTING] and (
|
||||
order_type == OrderType.LIMIT or '.SPD' in order_vt_symbol):
|
||||
if over_seconds > self.cancel_seconds or force: # 超过设置的时间还未成交
|
||||
self.write_log(u'超时{}秒未成交，取消委托单：vt_orderid:{},order:{}'
|
||||
self.write_log(u'撤单逻辑 => 超时{}秒未成交，取消委托单：vt_orderid:{},order:{}'
|
||||
.format(over_seconds, vt_orderid, order_info))
|
||||
order_info.update({'status': Status.CANCELLING})
|
||||
self.active_orders.update({vt_orderid: order_info})
|
||||
ret = self.cancel_order(str(vt_orderid))
|
||||
if not ret:
|
||||
self.write_log(u'撤单失败,更新状态为撤单成功')
|
||||
self.write_log(u'撤单逻辑 => 撤单失败,更新状态为撤单成功')
|
||||
order_info.update({'status': Status.CANCELLED})
|
||||
self.active_orders.update({vt_orderid: order_info})
|
||||
if order_grid:
|
||||
@ -1710,13 +1712,13 @@ class CtaProFutureTemplate(CtaProTemplate):
|
||||
|
||||
# 处理状态为‘撤销’的委托单
|
||||
elif order_status == Status.CANCELLED:
|
||||
self.write_log(u'委托单{}已成功撤单，删除{}'.format(vt_orderid, order_info))
|
||||
self.write_log(u'撤单逻辑 => 委托单{}已成功撤单，将删除未完成订单{}'.format(vt_orderid, order_info))
|
||||
canceled_ids.append(vt_orderid)
|
||||
|
||||
if reopen:
|
||||
# 撤销的委托单，属于开仓类，需要重新委托
|
||||
if order_info['offset'] == Offset.OPEN:
|
||||
self.write_log(u'超时撤单后，重新开仓')
|
||||
self.write_log(u'撤单逻辑 => 重新开仓')
|
||||
# 开空委托单
|
||||
if order_info['direction'] == Direction.SHORT:
|
||||
short_price = self.cur_mi_price - self.price_tick
|
||||
@ -1788,17 +1790,29 @@ class CtaProFutureTemplate(CtaProTemplate):
|
||||
else:
|
||||
self.write_error(u'撤单后，重新委托平空仓失败')
|
||||
else:
|
||||
self.write_log(u'撤单逻辑 => 无须重新开仓')
|
||||
if order_info['offset'] == Offset.OPEN \
|
||||
and order_grid \
|
||||
and len(order_grid.order_ids) == 0 \
|
||||
and order_grid.traded_volume == 0:
|
||||
self.write_log(u'移除委托网格{}'.format(order_grid.__dict__))
|
||||
and len(order_grid.order_ids) == 0:
|
||||
|
||||
if order_info['traded'] == 0 and order_grid.traded_volume == 0:
|
||||
self.write_log(u'撤单逻辑 => 无任何成交 => 移除委托网格{}'.format(order_grid.__dict__))
|
||||
order_info['grid'] = None
|
||||
self.gt.remove_grids_by_ids(direction=order_grid.direction, ids=[order_grid.id])
|
||||
elif order_info['traded'] > 0:
|
||||
self.write_log('撤单逻辑 = > 部分开仓')
|
||||
if order_grid.traded_volume < order_info['traded']:
|
||||
self.write_log('撤单逻辑 = > 调整网格开仓数 {} => {}'.format(order_grid.traded_volume, order_grid['traded'] ))
|
||||
order_grid.traded_volume = order_info['traded']
|
||||
self.write_log(f'撤单逻辑 => 调整网格委托状态=> False, 开仓状态:True, 开仓数量:{order_grid.volume}=>{order_grid.traded_volume}')
|
||||
order_grid.order_status = False
|
||||
order_grid.open_status = True
|
||||
order_grid.volume = order_grid.traded_volume
|
||||
order_grid.traded_volume = 0
|
||||
|
||||
# 删除撤单的订单
|
||||
for vt_orderid in canceled_ids:
|
||||
self.write_log(u'删除orderID:{0}'.format(vt_orderid))
|
||||
self.write_log(u'撤单逻辑 => 删除未完成订单:{}'.format(vt_orderid))
|
||||
self.active_orders.pop(vt_orderid, None)
|
||||
|
||||
if len(self.active_orders) == 0:
|
||||
|
||||
@ -1163,19 +1163,19 @@ class CtaSpreadTemplate(CtaTemplate):
|
||||
return True
|
||||
|
||||
# 检查流动性缺失
|
||||
if not self.cur_act_tick.bid_price_1 <= self.cur_act_tick.last_price <= self.cur_act_tick.ask_price_1 \
|
||||
and self.cur_act_tick.volume > 0:
|
||||
self.write_log(u'流动性缺失导致leg1最新价{0} /V:{1}超出买1 {2}卖1 {3}范围,'
|
||||
.format(self.cur_act_tick.last_price, self.cur_act_tick.volume,
|
||||
self.cur_act_tick.bid_price_1, self.cur_act_tick.ask_price_1))
|
||||
return False
|
||||
|
||||
if not self.cur_pas_tick.bid_price_1 <= self.cur_pas_tick.last_price <= self.cur_pas_tick.ask_price_1 \
|
||||
and self.cur_pas_tick.volume > 0:
|
||||
self.write_log(u'流动性缺失导致leg2最新价{0} /V:{1}超出买1 {2}卖1 {3}范围,'
|
||||
.format(self.cur_pas_tick.last_price, self.cur_pas_tick.volume,
|
||||
self.cur_pas_tick.bid_price_1, self.cur_pas_tick.ask_price_1))
|
||||
return False
|
||||
# if not self.cur_act_tick.bid_price_1 <= self.cur_act_tick.last_price <= self.cur_act_tick.ask_price_1 \
|
||||
# and self.cur_act_tick.volume > 0:
|
||||
# self.write_log(u'流动性缺失导致leg1最新价{0} /V:{1}超出买1 {2}卖1 {3}范围,'
|
||||
# .format(self.cur_act_tick.last_price, self.cur_act_tick.volume,
|
||||
# self.cur_act_tick.bid_price_1, self.cur_act_tick.ask_price_1))
|
||||
# return False
|
||||
#
|
||||
# if not self.cur_pas_tick.bid_price_1 <= self.cur_pas_tick.last_price <= self.cur_pas_tick.ask_price_1 \
|
||||
# and self.cur_pas_tick.volume > 0:
|
||||
# self.write_log(u'流动性缺失导致leg2最新价{0} /V:{1}超出买1 {2}卖1 {3}范围,'
|
||||
# .format(self.cur_pas_tick.last_price, self.cur_pas_tick.volume,
|
||||
# self.cur_pas_tick.bid_price_1, self.cur_pas_tick.ask_price_1))
|
||||
# return False
|
||||
|
||||
# 如果设置了方向和volume，检查是否满足
|
||||
if direction==Direction.LONG:
|
||||
|
||||
File diff suppressed because it is too large
Load Diff
@ -9,6 +9,8 @@ import sys
|
||||
import traceback
|
||||
import talib as ta
|
||||
import numpy as np
|
||||
import pandas as pd
|
||||
import csv
|
||||
|
||||
from collections import OrderedDict
|
||||
from datetime import datetime, timedelta
|
||||
@ -20,6 +22,12 @@ from vnpy.trader.constant import Direction, Color
|
||||
from vnpy.component.cta_period import CtaPeriod, Period
|
||||
|
||||
|
||||
try:
|
||||
from vnpy.component.chanlun import ChanGraph, ChanLibrary
|
||||
except Exception as ex:
|
||||
print('can not import pyChanlun from vnpy.component.chanlun')
|
||||
|
||||
|
||||
class CtaRenkoBar(object):
|
||||
"""CTA 砖型K线"""
|
||||
|
||||
@ -75,6 +83,7 @@ class CtaRenkoBar(object):
|
||||
self.param_list.append('para_kdj_smooth_len')
|
||||
|
||||
self.param_list.append('para_active_kf') # 卡尔曼均线
|
||||
self.param_list.append('para_kf_obscov_len') # 卡尔曼均线观测方差的长度
|
||||
|
||||
self.param_list.append('para_active_skd') # 摆动指标
|
||||
self.param_list.append('para_skd_fast_len')
|
||||
@ -91,6 +100,7 @@ class CtaRenkoBar(object):
|
||||
self.param_list.append('para_yb_ref')
|
||||
|
||||
self.param_list.append('para_golden_n') # 黄金分割
|
||||
self.param_list.append('para_active_chanlun') # 激活缠论
|
||||
|
||||
# 输入参数
|
||||
|
||||
@ -322,6 +332,7 @@ class CtaRenkoBar(object):
|
||||
|
||||
# 卡尔曼过滤器
|
||||
self.para_active_kf = False
|
||||
self.para_kf_obscov_len = 1 # t+1时刻的观测协方差
|
||||
self.kf = None
|
||||
self.line_state_mean = []
|
||||
self.line_state_covar = []
|
||||
@ -389,6 +400,7 @@ class CtaRenkoBar(object):
|
||||
self.is_7x24 = False
|
||||
|
||||
# (实时运行时，或者addbar小于bar得周期时，不包含最后一根Bar）
|
||||
self.index_list = []
|
||||
self.open_array = np.zeros(self.max_hold_bars) # 与lineBar一致得开仓价清单
|
||||
self.open_array[:] = np.nan
|
||||
self.high_array = np.zeros(self.max_hold_bars) # 与lineBar一致得最高价清单
|
||||
@ -405,6 +417,16 @@ class CtaRenkoBar(object):
|
||||
self.mid5_array = np.zeros(self.max_hold_bars) # 收盘价*2/开仓价/最高/最低价 的平均价
|
||||
self.mid5_array[:] = np.nan
|
||||
|
||||
self.para_active_chanlun = False # 是否激活缠论
|
||||
self.chan_lib = None
|
||||
self.chan_graph = None
|
||||
self.chanlun_calculated = False # 当前bar是否计算过
|
||||
self._fenxing_list = [] # 分型列表
|
||||
self._bi_list = [] # 笔列表
|
||||
self._bi_zs_list = [] # 笔中枢列表
|
||||
self._duan_list = [] # 段列表
|
||||
self._duan_zs_list = [] # 段中枢列表
|
||||
|
||||
# 导出到csv文件
|
||||
self.export_filename = None
|
||||
self.export_fields = []
|
||||
@ -417,6 +439,7 @@ class CtaRenkoBar(object):
|
||||
|
||||
# 事件回调函数
|
||||
self.cb_dict = {}
|
||||
|
||||
if setting:
|
||||
self.setParam(setting)
|
||||
|
||||
@ -429,6 +452,13 @@ class CtaRenkoBar(object):
|
||||
if self.kilo_height > 0:
|
||||
self.height = self.price_tick * self.kilo_height
|
||||
|
||||
if self.para_active_chanlun:
|
||||
try:
|
||||
self.chan_lib = ChanLibrary(bi_style=2, duan_style=1)
|
||||
except:
|
||||
self.write_log(u'导入缠论组件失败')
|
||||
self.chan_lib = None
|
||||
|
||||
def __getstate__(self):
|
||||
"""移除Pickle dump()时不支持的Attribute"""
|
||||
state = self.__dict__.copy()
|
||||
@ -508,7 +538,8 @@ class CtaRenkoBar(object):
|
||||
observation_matrices=[1],
|
||||
initial_state_mean=self.last_price_list[-1],
|
||||
initial_state_covariance=1,
|
||||
transition_covariance=0.01)
|
||||
transition_covariance=0.01,
|
||||
observation_covariance=self.para_kf_obscov_len)
|
||||
state_means, state_covariances = self.tick_kf.filter(np.array(self.last_price_list, dtype=float))
|
||||
m = state_means[-1].item()
|
||||
c = state_covariances[-1].item()
|
||||
@ -600,6 +631,9 @@ class CtaRenkoBar(object):
|
||||
# 新添加得bar比现有得bar时间晚，不添加
|
||||
if bar.datetime < self.line_bar[-1].datetime:
|
||||
return
|
||||
if bar.datetime == self.line_bar[-1].datetime:
|
||||
if bar.close_price != self.line_bar[-1].close_price:
|
||||
bar.datetime += timedelta(microseconds=1)
|
||||
|
||||
# 更新最后价格
|
||||
self.cur_price = bar.close_price
|
||||
@ -615,7 +649,9 @@ class CtaRenkoBar(object):
|
||||
bar_mid4 = round((2 * bar.close_price + bar.high_price + bar.low_price) / 4, self.round_n)
|
||||
bar_mid5 = round((2 * bar.close_price + bar.open_price + bar.high_price + bar.low_price) / 5, self.round_n)
|
||||
|
||||
# 扩展open,close,high,low numpy array列表
|
||||
# 扩展时间索引,open,close,high,low numpy array列表 平移更新序列最新值
|
||||
self.index_list.append(bar.datetime.strftime('%Y-%m-%d %H:%M:%S.%f'))
|
||||
|
||||
self.open_array[:-1] = self.open_array[1:]
|
||||
self.open_array[-1] = bar.open_price
|
||||
|
||||
@ -654,7 +690,9 @@ class CtaRenkoBar(object):
|
||||
elif bar.close_price < bar.open_price:
|
||||
bar.color = Color.BLUE
|
||||
|
||||
# 扩展open,close,high,low 列表
|
||||
# 扩展时间索引,open,close,high,low numpy array列表 平移更新序列最新值
|
||||
self.index_list.append(bar.datetime.strftime('%Y-%m-%d %H:%M:%S.%f'))
|
||||
|
||||
self.open_array[:-1] = self.open_array[1:]
|
||||
self.open_array[-1] = bar.open_price
|
||||
|
||||
@ -709,6 +747,8 @@ class CtaRenkoBar(object):
|
||||
|
||||
self.runtime_recount()
|
||||
|
||||
self.chanlun_calculated = False
|
||||
|
||||
# 回调上层调用者
|
||||
self.cb_on_bar(bar, self.name)
|
||||
|
||||
@ -2848,13 +2888,14 @@ class CtaRenkoBar(object):
|
||||
observation_matrices=[1],
|
||||
initial_state_mean=self.close_array[-1],
|
||||
initial_state_covariance=1,
|
||||
|
||||
transition_covariance=0.01)
|
||||
transition_covariance=0.01,
|
||||
observation_covariance = self.para_kf_obscov_len
|
||||
)
|
||||
except Exception:
|
||||
self.write_log(u'导入卡尔曼过滤器失败,需先安装 pip install pykalman')
|
||||
self.para_active_kf = False
|
||||
|
||||
state_means, state_covariances = self.kf.filter(np.array(self.close_array, dtype=float))
|
||||
state_means, state_covariances = self.kf.filter(np.array(self.close_array[-1], dtype=float))
|
||||
m = state_means[-1].item()
|
||||
c = state_covariances[-1].item()
|
||||
else:
|
||||
@ -3521,6 +3562,432 @@ class CtaRenkoBar(object):
|
||||
self.write_log(u'call back event{} exception:{}'.format(self.CB_ON_PERIOD, str(ex)))
|
||||
self.write_log(u'traceback:{}'.format(traceback.format_exc()))
|
||||
|
||||
def __count_chanlun(self):
|
||||
"""重新计算缠论"""
|
||||
if self.chanlun_calculated:
|
||||
return
|
||||
|
||||
if not self.chan_lib:
|
||||
return
|
||||
|
||||
if self.bar_len <= 3:
|
||||
return
|
||||
|
||||
if self.chan_graph is not None:
|
||||
del self.chan_graph
|
||||
self.chan_graph = None
|
||||
self.chan_graph = ChanGraph(chan_lib=self.chan_lib,
|
||||
index=self.index_list[-self.bar_len+1:],
|
||||
high=self.high_array[-self.bar_len+1:],
|
||||
low=self.low_array[-self.bar_len+1:])
|
||||
self._fenxing_list = self.chan_graph.fenxing_list
|
||||
self._bi_list = self.chan_graph.bi_list
|
||||
self._bi_zs_list = self.chan_graph.bi_zhongshu_list
|
||||
self._duan_list = self.chan_graph.duan_list
|
||||
self._duan_zs_list = self.chan_graph.duan_zhongshu_list
|
||||
|
||||
self.chanlun_calculated = True
|
||||
|
||||
@property
|
||||
def fenxing_list(self):
|
||||
if not self.chanlun_calculated:
|
||||
self.__count_chanlun()
|
||||
return self._fenxing_list
|
||||
|
||||
@property
|
||||
def bi_list(self):
|
||||
if not self.chanlun_calculated:
|
||||
self.__count_chanlun()
|
||||
return self._bi_list
|
||||
|
||||
@property
|
||||
def bi_zs_list(self):
|
||||
if not self.chanlun_calculated:
|
||||
self.__count_chanlun()
|
||||
return self._bi_zs_list
|
||||
|
||||
@property
|
||||
def duan_list(self):
|
||||
if not self.chanlun_calculated:
|
||||
self.__count_chanlun()
|
||||
return self._duan_list
|
||||
|
||||
@property
|
||||
def duan_zs_list(self):
|
||||
if not self.chanlun_calculated:
|
||||
self.__count_chanlun()
|
||||
return self._duan_zs_list
|
||||
|
||||
def is_bi_beichi_inside_duan(self, direction):
|
||||
"""当前段内的笔，是否形成背驰"""
|
||||
if len(self._duan_list) == 0:
|
||||
return False
|
||||
|
||||
# Direction => int
|
||||
if isinstance(direction, Direction):
|
||||
direction = 1 if direction == Direction.LONG else -1
|
||||
|
||||
# 分型需要确认
|
||||
if self.fenxing_list[-1].is_rt:
|
||||
return False
|
||||
|
||||
# 当前段
|
||||
duan = self._duan_list[-1]
|
||||
if duan.direction != direction:
|
||||
return False
|
||||
|
||||
# 当前段包含的分笔，必须大于等于5(缠论里面，如果只有三个分笔，背驰的力度比较弱）
|
||||
if len(duan.bi_list) < 5:
|
||||
return False
|
||||
|
||||
# 获取最近2个匹配direction的分型
|
||||
fx_list = [fx for fx in self._fenxing_list[-4:] if fx.direction == direction]
|
||||
if len(fx_list) != 2:
|
||||
return False
|
||||
|
||||
# 这里是排除段的信号出错，获取了很久之前的一段，而不是最新的一段
|
||||
if duan.end < fx_list[0].index:
|
||||
return False
|
||||
|
||||
# 分笔与段同向
|
||||
if duan.bi_list[-1].direction != direction \
|
||||
or duan.bi_list[-3].direction != direction \
|
||||
or duan.bi_list[-5].direction != direction:
|
||||
return False
|
||||
|
||||
# 背驰: 同向分笔，逐笔提升，最后一笔，比上一同向笔，短,斜率也比上一同向笔小
|
||||
if direction == 1:
|
||||
if duan.bi_list[-1].low > duan.bi_list[-3].low > duan.bi_list[-5].low \
|
||||
and duan.bi_list[-1].low > duan.bi_list[-5].high \
|
||||
and duan.bi_list[-1].height < duan.bi_list[-3].height \
|
||||
and duan.bi_list[-1].atan < duan.bi_list[-3].atan:
|
||||
return True
|
||||
|
||||
if direction == -1:
|
||||
if duan.bi_list[-1].high < duan.bi_list[-3].high < duan.bi_list[-5].high \
|
||||
and duan.bi_list[-1].high < duan.bi_list[-5].low \
|
||||
and duan.bi_list[-1].height < duan.bi_list[-3].height\
|
||||
and duan.bi_list[-1].atan < duan.bi_list[-3].atan:
|
||||
return True
|
||||
|
||||
return False
|
||||
|
||||
def is_fx_macd_divergence(self, direction):
|
||||
"""
|
||||
分型的macd背离
|
||||
:param direction: 1，-1 或者 Direction.LONG（判断是否顶背离）, Direction.SHORT（判断是否底背离）
|
||||
|
||||
:return:
|
||||
"""
|
||||
if isinstance(direction, Direction):
|
||||
direction = 1 if direction == Direction.LONG else -1
|
||||
# 当前段
|
||||
duan = self._duan_list[-1]
|
||||
|
||||
if duan.direction != direction:
|
||||
return False
|
||||
|
||||
# 当前段包含的分笔，必须大于3
|
||||
if len(duan.bi_list) <= 3:
|
||||
return False
|
||||
|
||||
# 获取最近2个匹配direction的分型
|
||||
fx_list = [fx for fx in self._fenxing_list[-4:] if fx.direction == direction]
|
||||
if len(fx_list) != 2:
|
||||
return False
|
||||
|
||||
# 这里是排除段的信号出错，获取了很久之前的一段，而不是最新的一段
|
||||
if duan.end < fx_list[0].index:
|
||||
return False
|
||||
|
||||
pre_dif = self.get_dif_by_dt(fx_list[0].index)
|
||||
cur_dif = self.get_dif_by_dt(fx_list[1].index)
|
||||
if pre_dif is None or cur_dif is None:
|
||||
return False
|
||||
if direction == 1:
|
||||
# 前顶分型顶部价格
|
||||
pre_price = fx_list[0].high
|
||||
# 当前顶分型顶部价格
|
||||
cur_price = fx_list[1].high
|
||||
if pre_price < cur_price and pre_dif >= cur_dif and 0 < self.line_dif[-1] < self.line_dif[-2]:
|
||||
return True
|
||||
else:
|
||||
pre_price = fx_list[0].low
|
||||
cur_price = fx_list[1].low
|
||||
if pre_price > cur_price and pre_dif <= cur_dif and self.line_dif[-2] < self.line_dif[-1] < 0:
|
||||
return True
|
||||
|
||||
return False
|
||||
|
||||
def is_2nd_opportunity(self, direction):
|
||||
"""
|
||||
是二买、二卖机会
|
||||
【二买】当前线段下行，最后2笔不在线段中，最后一笔与下行线段同向，该笔底部不破线段底部，底分型出现且确认
|
||||
【二卖】当前线段上行，最后2笔不在线段中，最后一笔与上行线段同向，该笔顶部不破线段顶部，顶分型出现且确认
|
||||
:param direction: 1、Direction.LONG, 当前线段的方向, 判断是否二卖机会； -1 Direction.SHORT， 判断是否二买
|
||||
:return:
|
||||
"""
|
||||
# Direction => int
|
||||
if isinstance(direction, Direction):
|
||||
direction = 1 if direction == Direction.LONG else -1
|
||||
|
||||
# 具备段
|
||||
if len(self.duan_list) < 1:
|
||||
return False
|
||||
cur_duan = self.duan_list[-1]
|
||||
if cur_duan.direction != direction:
|
||||
return False
|
||||
|
||||
# 当前段到最新bar之间的笔列表（此时未出现中枢）
|
||||
extra_bi_list = [bi for bi in self.bi_list[-3:] if bi.end > cur_duan.end]
|
||||
if len(extra_bi_list) < 2:
|
||||
return False
|
||||
|
||||
# 最后一笔是同向
|
||||
if extra_bi_list[-1].direction != direction:
|
||||
return False
|
||||
|
||||
# 线段外一笔的高度，不能超过线段最后一笔高度
|
||||
if extra_bi_list[0].height > cur_duan.bi_list[-1].height:
|
||||
return False
|
||||
|
||||
# 最后一笔的高度，不能超过最后一段的高度的黄金分割38%
|
||||
if extra_bi_list[-1].height > cur_duan.height * 0.38:
|
||||
return False
|
||||
|
||||
# 最后的分型，不是实时。
|
||||
if not self.fenxing_list[-1].is_rt:
|
||||
return True
|
||||
|
||||
return False
|
||||
|
||||
def is_contain_zs_inside_duan(self, direction, zs_num):
|
||||
"""最近段，符合方向，并且至少包含zs_num个中枢"""
|
||||
|
||||
# Direction => int
|
||||
if isinstance(direction, Direction):
|
||||
direction = 1 if direction == Direction.LONG else -1
|
||||
|
||||
# 具备中枢
|
||||
if len(self.bi_zs_list) < zs_num:
|
||||
return False
|
||||
# 具备段
|
||||
if len(self.duan_list) < 1:
|
||||
return False
|
||||
|
||||
cur_duan = self.duan_list[-1]
|
||||
if cur_duan.direction != direction:
|
||||
return False
|
||||
|
||||
# 段的开始时间，至少大于前zs_num个中枢的结束时间
|
||||
if cur_duan.start > self.bi_zs_list[-zs_num].end:
|
||||
return False
|
||||
|
||||
return True
|
||||
|
||||
def is_contain_zs_with_direction(self, start, direction, zs_num):
|
||||
"""从start开始计算，至少包含zs_num(>1)个中枢，且最后两个中枢符合方向"""
|
||||
|
||||
if zs_num < 2:
|
||||
return False
|
||||
|
||||
# Direction => int
|
||||
if isinstance(direction, Direction):
|
||||
direction = 1 if direction == Direction.LONG else -1
|
||||
|
||||
# 具备中枢
|
||||
if len(self.bi_zs_list) < zs_num:
|
||||
return False
|
||||
|
||||
bi_zs_list = [zs for zs in self.bi_zs_list[-zs_num:] if zs.end > start]
|
||||
|
||||
if len(bi_zs_list) != zs_num:
|
||||
return False
|
||||
|
||||
if direction == 1 and bi_zs_list[-2].high < bi_zs_list[-1].high:
|
||||
return True
|
||||
|
||||
if direction == -1 and bi_zs_list[-2].high > bi_zs_list[-1].high:
|
||||
return True
|
||||
|
||||
return False
|
||||
|
||||
def is_zs_beichi_inside_duan(self, direction):
|
||||
"""是否中枢盘整背驰，进入笔、离去笔，高度，能量背驰"""
|
||||
|
||||
# Direction => int
|
||||
if isinstance(direction, Direction):
|
||||
direction = 1 if direction == Direction.LONG else -1
|
||||
|
||||
# 具备中枢
|
||||
if len(self.bi_zs_list) < 1:
|
||||
return False
|
||||
# 具备段
|
||||
if len(self.duan_list) < 1:
|
||||
return False
|
||||
# 最后线段
|
||||
cur_duan = self.duan_list[-1]
|
||||
if cur_duan.direction != direction:
|
||||
return False
|
||||
|
||||
# 线段内的笔中枢（取前三个就可以了）
|
||||
zs_list_inside_duan = [zs for zs in self.bi_zs_list[-3:] if zs.start >= cur_duan.start]
|
||||
|
||||
# 无中枢，或者超过1个中枢，都不符合中枢背驰
|
||||
if len(zs_list_inside_duan) != 1:
|
||||
return False
|
||||
# 当前中枢
|
||||
cur_zs = zs_list_inside_duan[0]
|
||||
|
||||
# 当前中枢最后一笔，与段最后一笔不一致
|
||||
if cur_duan.bi_list[-1].end != cur_zs.bi_list[-1].end:
|
||||
return False
|
||||
|
||||
# 分型需要确认
|
||||
if self.fenxing_list[-1].is_rt:
|
||||
return False
|
||||
|
||||
# 找出中枢得进入笔
|
||||
entry_bi = cur_zs.bi_list[0]
|
||||
if entry_bi.direction != direction:
|
||||
# 找出中枢之前，与段同向得笔
|
||||
before_bi_list = [bi for bi in cur_duan.bi_list if bi.start < entry_bi.start and bi.direction==direction]
|
||||
# 中枢之前得同向笔，不存在（一般不可能，因为中枢得第一笔不同向，该中枢存在与段中间)
|
||||
if len(before_bi_list) == 0:
|
||||
return False
|
||||
entry_bi = before_bi_list[-1]
|
||||
|
||||
# 中枢第一笔，与最后一笔，比较力度和能量
|
||||
if entry_bi.height > cur_zs.bi_list[-1].height\
|
||||
and entry_bi.atan > cur_zs.bi_list[-1].atan:
|
||||
return True
|
||||
|
||||
return False
|
||||
|
||||
def is_zs_fangda(self, cur_bi_zs = None, start=False, last_bi=False):
|
||||
"""
|
||||
判断中枢，是否为放大型中枢。
|
||||
中枢放大，一般是反向力量的强烈试探导致；
|
||||
cur_bi_zs: 指定的笔中枢，若不指定，则默认为最后一个中枢
|
||||
start: True，从中枢开始的笔进行计算前三， False： 从最后三笔计算
|
||||
last_bi: 采用缺省最后一笔时，是否要求最后一笔，必须等于中枢得最后一笔
|
||||
"""
|
||||
if cur_bi_zs is None:
|
||||
# 具备中枢
|
||||
if len(self.bi_zs_list) < 1:
|
||||
return False
|
||||
cur_bi_zs = self.bi_zs_list[-1]
|
||||
if last_bi:
|
||||
cur_bi = self.bi_list[-1]
|
||||
# 要求最后一笔，必须等于中枢得最后一笔
|
||||
if cur_bi.start != cur_bi_zs.bi_list[-1].start:
|
||||
return False
|
||||
|
||||
if len(cur_bi_zs.bi_list) < 3:
|
||||
return False
|
||||
|
||||
# 从开始前三笔计算
|
||||
if start and cur_bi_zs.bi_list[2].height > cur_bi_zs.bi_list[1].height > cur_bi_zs.bi_list[0].height:
|
||||
return True
|
||||
|
||||
# 从最后的三笔计算
|
||||
if not start and cur_bi_zs.bi_list[-1].height > cur_bi_zs.bi_list[-2].height > cur_bi_zs.bi_list[-3].height:
|
||||
return True
|
||||
|
||||
return False
|
||||
|
||||
def is_zs_shoulian(self, cur_bi_zs=None, start=False, last_bi=False):
|
||||
"""
|
||||
判断中枢，是否为收殓型中枢。
|
||||
中枢收敛，一般是多空力量的趋于平衡，如果是段中的第二个或以上中枢，可能存在变盘；
|
||||
cur_bi_zs: 指定的中枢，或者最后一个中枢
|
||||
start: True，从中枢开始的笔进行计算前三， False： 从最后三笔计算
|
||||
"""
|
||||
if cur_bi_zs is None:
|
||||
# 具备中枢
|
||||
if len(self.bi_zs_list) < 1:
|
||||
return False
|
||||
|
||||
cur_bi_zs = self.bi_zs_list[-1]
|
||||
if last_bi:
|
||||
cur_bi = self.bi_list[-1]
|
||||
# 要求最后一笔，必须等于中枢得最后一笔
|
||||
if cur_bi.start != cur_bi_zs.bi_list[-1].start:
|
||||
return False
|
||||
|
||||
if len(cur_bi_zs.bi_list) < 3:
|
||||
return False
|
||||
|
||||
if start and cur_bi_zs.bi_list[2].height < cur_bi_zs.bi_list[1].height < cur_bi_zs.bi_list[0].height:
|
||||
return True
|
||||
|
||||
if not start and cur_bi_zs.bi_list[-1].height < cur_bi_zs.bi_list[-2].height < cur_bi_zs.bi_list[-3].height:
|
||||
return True
|
||||
|
||||
return False
|
||||
|
||||
def is_zoushi_beichi(self, direction):
|
||||
"""
|
||||
判断是否走势背驰
|
||||
:param direction:
|
||||
:return:
|
||||
"""
|
||||
# Direction => int
|
||||
if isinstance(direction, Direction):
|
||||
direction = 1 if direction == Direction.LONG else -1
|
||||
|
||||
# 具备中枢
|
||||
if len(self.bi_zs_list) < 1:
|
||||
return False
|
||||
# 具备段
|
||||
if len(self.duan_list) < 1:
|
||||
return False
|
||||
# 最后线段
|
||||
cur_duan = self.duan_list[-1]
|
||||
if cur_duan.direction != direction:
|
||||
return False
|
||||
|
||||
# 线段内的笔中枢（取前三个就可以了）
|
||||
zs_list_inside_duan = [zs for zs in self.bi_zs_list[-3:] if zs.start >= cur_duan.start]
|
||||
|
||||
# 少于2个中枢，都不符合走势背驰
|
||||
if len(zs_list_inside_duan) < 2:
|
||||
return False
|
||||
# 当前中枢
|
||||
cur_zs = zs_list_inside_duan[-1]
|
||||
# 上一个中枢
|
||||
pre_zs = zs_list_inside_duan[-2]
|
||||
bi_list_between_zs = [bi for bi in cur_duan.bi_list if bi.direction == direction and bi.end > pre_zs.end and bi.start < cur_zs.start]
|
||||
if len(bi_list_between_zs) ==0:
|
||||
return False
|
||||
|
||||
# 最后一笔，作为2个中枢间的笔
|
||||
bi_between_zs = bi_list_between_zs[-1]
|
||||
|
||||
bi_list_after_cur_zs = [bi for bi in cur_duan.bi_list if bi.direction==direction and bi.end > cur_zs.end]
|
||||
if len(bi_list_after_cur_zs) == 0:
|
||||
return False
|
||||
|
||||
# 离开中枢的一笔
|
||||
bi_leave_cur_zs = bi_list_after_cur_zs[0]
|
||||
|
||||
# 离开中枢的一笔，不是段的最后一笔
|
||||
if bi_leave_cur_zs.start != cur_duan.bi_list[-1].start:
|
||||
return False
|
||||
|
||||
# 离开中枢的一笔，不是最后一笔
|
||||
if bi_leave_cur_zs.start != self.bi_list[-1].start:
|
||||
return False
|
||||
|
||||
fx = [fx for fx in self.fenxing_list[-2:] if fx.direction==direction][-1]
|
||||
if fx.is_rt:
|
||||
return False
|
||||
|
||||
# 中枢间的分笔，能量大于最后分笔，形成走势背驰
|
||||
if bi_between_zs.height > bi_leave_cur_zs.height and bi_between_zs.atan > bi_leave_cur_zs.atan:
|
||||
return True
|
||||
|
||||
return False
|
||||
# ----------------------------------------------------------------------
|
||||
def write_log(self, content):
|
||||
"""记录CTA日志"""
|
||||
|
||||
@ -54,7 +54,7 @@ from vnpy.trader.constant import (
|
||||
OptionType,
|
||||
Interval
|
||||
)
|
||||
from vnpy.trader.gateway import BaseGateway
|
||||
from vnpy.trader.gateway import BaseGateway, TickCombiner
|
||||
from vnpy.trader.object import (
|
||||
TickData,
|
||||
BarData,
|
||||
@ -2091,226 +2091,3 @@ class TqMdApi():
|
||||
except Exception as e:
|
||||
self.gateway.write_log('退出天勤行情api异常:{}'.format(str(e)))
|
||||
|
||||
|
||||
class TickCombiner(object):
|
||||
"""
|
||||
Tick合成类
|
||||
"""
|
||||
|
||||
def __init__(self, gateway, setting):
|
||||
self.gateway = gateway
|
||||
self.gateway_name = self.gateway.gateway_name
|
||||
self.gateway.write_log(u'创建tick合成类:{}'.format(setting))
|
||||
|
||||
self.symbol = setting.get('symbol', None)
|
||||
self.leg1_symbol = setting.get('leg1_symbol', None)
|
||||
self.leg2_symbol = setting.get('leg2_symbol', None)
|
||||
self.leg1_ratio = setting.get('leg1_ratio', 1) # 腿1的数量配比
|
||||
self.leg2_ratio = setting.get('leg2_ratio', 1) # 腿2的数量配比
|
||||
self.price_tick = setting.get('price_tick', 1) # 合成价差加比后的最小跳动
|
||||
# 价差
|
||||
self.is_spread = setting.get('is_spread', False)
|
||||
# 价比
|
||||
self.is_ratio = setting.get('is_ratio', False)
|
||||
|
||||
self.last_leg1_tick = None
|
||||
self.last_leg2_tick = None
|
||||
|
||||
# 价差日内最高/最低价
|
||||
self.spread_high = None
|
||||
self.spread_low = None
|
||||
|
||||
# 价比日内最高/最低价
|
||||
self.ratio_high = None
|
||||
self.ratio_low = None
|
||||
|
||||
# 当前交易日
|
||||
self.trading_day = None
|
||||
|
||||
if self.is_ratio and self.is_spread:
|
||||
self.gateway.write_error(u'{}参数有误，不能同时做价差/加比.setting:{}'.format(self.symbol, setting))
|
||||
return
|
||||
|
||||
self.gateway.write_log(u'初始化{}合成器成功'.format(self.symbol))
|
||||
if self.is_spread:
|
||||
self.gateway.write_log(
|
||||
u'leg1:{} * {} - leg2:{} * {}'.format(self.leg1_symbol, self.leg1_ratio, self.leg2_symbol,
|
||||
self.leg2_ratio))
|
||||
if self.is_ratio:
|
||||
self.gateway.write_log(
|
||||
u'leg1:{} * {} / leg2:{} * {}'.format(self.leg1_symbol, self.leg1_ratio, self.leg2_symbol,
|
||||
self.leg2_ratio))
|
||||
|
||||
def on_tick(self, tick):
|
||||
"""OnTick处理"""
|
||||
combinable = False
|
||||
|
||||
if tick.symbol == self.leg1_symbol:
|
||||
# leg1合约
|
||||
self.last_leg1_tick = tick
|
||||
if self.last_leg2_tick is not None:
|
||||
if self.last_leg1_tick.datetime.replace(microsecond=0) == self.last_leg2_tick.datetime.replace(
|
||||
microsecond=0):
|
||||
combinable = True
|
||||
|
||||
elif tick.symbol == self.leg2_symbol:
|
||||
# leg2合约
|
||||
self.last_leg2_tick = tick
|
||||
if self.last_leg1_tick is not None:
|
||||
if self.last_leg2_tick.datetime.replace(microsecond=0) == self.last_leg1_tick.datetime.replace(
|
||||
microsecond=0):
|
||||
combinable = True
|
||||
|
||||
# 不能合并
|
||||
if not combinable:
|
||||
return
|
||||
|
||||
if not self.is_ratio and not self.is_spread:
|
||||
return
|
||||
|
||||
# 以下情况，基本为单腿涨跌停，不合成价差/价格比 Tick
|
||||
if (self.last_leg1_tick.ask_price_1 == 0 or self.last_leg1_tick.bid_price_1 == self.last_leg1_tick.limit_up) \
|
||||
and self.last_leg1_tick.ask_volume_1 == 0:
|
||||
self.gateway.write_log(
|
||||
u'leg1:{0}涨停{1}，不合成价差Tick'.format(self.last_leg1_tick.vt_symbol, self.last_leg1_tick.bid_price_1))
|
||||
return
|
||||
if (self.last_leg1_tick.bid_price_1 == 0 or self.last_leg1_tick.ask_price_1 == self.last_leg1_tick.limit_down) \
|
||||
and self.last_leg1_tick.bid_volume_1 == 0:
|
||||
self.gateway.write_log(
|
||||
u'leg1:{0}跌停{1}，不合成价差Tick'.format(self.last_leg1_tick.vt_symbol, self.last_leg1_tick.ask_price_1))
|
||||
return
|
||||
if (self.last_leg2_tick.ask_price_1 == 0 or self.last_leg2_tick.bid_price_1 == self.last_leg2_tick.limit_up) \
|
||||
and self.last_leg2_tick.ask_volume_1 == 0:
|
||||
self.gateway.write_log(
|
||||
u'leg2:{0}涨停{1}，不合成价差Tick'.format(self.last_leg2_tick.vt_symbol, self.last_leg2_tick.bid_price_1))
|
||||
return
|
||||
if (self.last_leg2_tick.bid_price_1 == 0 or self.last_leg2_tick.ask_price_1 == self.last_leg2_tick.limit_down) \
|
||||
and self.last_leg2_tick.bid_volume_1 == 0:
|
||||
self.gateway.write_log(
|
||||
u'leg2:{0}跌停{1}，不合成价差Tick'.format(self.last_leg2_tick.vt_symbol, self.last_leg2_tick.ask_price_1))
|
||||
return
|
||||
|
||||
if self.trading_day != tick.trading_day:
|
||||
self.trading_day = tick.trading_day
|
||||
self.spread_high = None
|
||||
self.spread_low = None
|
||||
self.ratio_high = None
|
||||
self.ratio_low = None
|
||||
|
||||
if self.is_spread:
|
||||
spread_tick = TickData(gateway_name=self.gateway_name,
|
||||
symbol=self.symbol,
|
||||
exchange=Exchange.SPD,
|
||||
datetime=tick.datetime)
|
||||
|
||||
spread_tick.trading_day = tick.trading_day
|
||||
spread_tick.date = tick.date
|
||||
spread_tick.time = tick.time
|
||||
|
||||
# 叫卖价差=leg1.ask_price_1 * 配比 - leg2.bid_price_1 * 配比，volume为两者最小
|
||||
spread_tick.ask_price_1 = round_to(target=self.price_tick,
|
||||
value=self.last_leg1_tick.ask_price_1 * self.leg1_ratio - self.last_leg2_tick.bid_price_1 * self.leg2_ratio)
|
||||
spread_tick.ask_volume_1 = min(self.last_leg1_tick.ask_volume_1, self.last_leg2_tick.bid_volume_1)
|
||||
|
||||
# 叫买价差=leg1.bid_price_1 * 配比 - leg2.ask_price_1 * 配比，volume为两者最小
|
||||
spread_tick.bid_price_1 = round_to(target=self.price_tick,
|
||||
value=self.last_leg1_tick.bid_price_1 * self.leg1_ratio - self.last_leg2_tick.ask_price_1 * self.leg2_ratio)
|
||||
spread_tick.bid_volume_1 = min(self.last_leg1_tick.bid_volume_1, self.last_leg2_tick.ask_volume_1)
|
||||
|
||||
# 最新价
|
||||
spread_tick.last_price = round_to(target=self.price_tick,
|
||||
value=(spread_tick.ask_price_1 + spread_tick.bid_price_1) / 2)
|
||||
# 昨收盘价
|
||||
if self.last_leg2_tick.pre_close > 0 and self.last_leg1_tick.pre_close > 0:
|
||||
spread_tick.pre_close = round_to(target=self.price_tick,
|
||||
value=self.last_leg1_tick.pre_close * self.leg1_ratio - self.last_leg2_tick.pre_close * self.leg2_ratio)
|
||||
# 开盘价
|
||||
if self.last_leg2_tick.open_price > 0 and self.last_leg1_tick.open_price > 0:
|
||||
spread_tick.open_price = round_to(target=self.price_tick,
|
||||
value=self.last_leg1_tick.open_price * self.leg1_ratio - self.last_leg2_tick.open_price * self.leg2_ratio)
|
||||
# 最高价
|
||||
if self.spread_high:
|
||||
self.spread_high = max(self.spread_high, spread_tick.ask_price_1)
|
||||
else:
|
||||
self.spread_high = spread_tick.ask_price_1
|
||||
spread_tick.high_price = self.spread_high
|
||||
|
||||
# 最低价
|
||||
if self.spread_low:
|
||||
self.spread_low = min(self.spread_low, spread_tick.bid_price_1)
|
||||
else:
|
||||
self.spread_low = spread_tick.bid_price_1
|
||||
|
||||
spread_tick.low_price = self.spread_low
|
||||
|
||||
self.gateway.on_tick(spread_tick)
|
||||
|
||||
if self.is_ratio:
|
||||
ratio_tick = TickData(
|
||||
gateway_name=self.gateway_name,
|
||||
symbol=self.symbol,
|
||||
exchange=Exchange.SPD,
|
||||
datetime=tick.datetime
|
||||
)
|
||||
|
||||
ratio_tick.trading_day = tick.trading_day
|
||||
ratio_tick.date = tick.date
|
||||
ratio_tick.time = tick.time
|
||||
|
||||
# 比率tick = (腿1 * 腿1 手数 / 腿2价格 * 腿2手数) 百分比
|
||||
ratio_tick.ask_price_1 = 100 * self.last_leg1_tick.ask_price_1 * self.leg1_ratio \
|
||||
/ (self.last_leg2_tick.bid_price_1 * self.leg2_ratio) # noqa
|
||||
ratio_tick.ask_price_1 = round_to(
|
||||
target=self.price_tick,
|
||||
value=ratio_tick.ask_price_1
|
||||
)
|
||||
|
||||
ratio_tick.ask_volume_1 = min(self.last_leg1_tick.ask_volume_1, self.last_leg2_tick.bid_volume_1)
|
||||
ratio_tick.bid_price_1 = 100 * self.last_leg1_tick.bid_price_1 * self.leg1_ratio \
|
||||
/ (self.last_leg2_tick.ask_price_1 * self.leg2_ratio) # noqa
|
||||
ratio_tick.bid_price_1 = round_to(
|
||||
target=self.price_tick,
|
||||
value=ratio_tick.bid_price_1
|
||||
)
|
||||
|
||||
ratio_tick.bid_volume_1 = min(self.last_leg1_tick.bid_volume_1, self.last_leg2_tick.ask_volume_1)
|
||||
ratio_tick.last_price = (ratio_tick.ask_price_1 + ratio_tick.bid_price_1) / 2
|
||||
ratio_tick.last_price = round_to(
|
||||
target=self.price_tick,
|
||||
value=ratio_tick.last_price
|
||||
)
|
||||
|
||||
# 昨收盘价
|
||||
if self.last_leg2_tick.pre_close > 0 and self.last_leg1_tick.pre_close > 0:
|
||||
ratio_tick.pre_close = 100 * self.last_leg1_tick.pre_close * self.leg1_ratio / (
|
||||
self.last_leg2_tick.pre_close * self.leg2_ratio) # noqa
|
||||
ratio_tick.pre_close = round_to(
|
||||
target=self.price_tick,
|
||||
value=ratio_tick.pre_close
|
||||
)
|
||||
|
||||
# 开盘价
|
||||
if self.last_leg2_tick.open_price > 0 and self.last_leg1_tick.open_price > 0:
|
||||
ratio_tick.open_price = 100 * self.last_leg1_tick.open_price * self.leg1_ratio / (
|
||||
self.last_leg2_tick.open_price * self.leg2_ratio) # noqa
|
||||
ratio_tick.open_price = round_to(
|
||||
target=self.price_tick,
|
||||
value=ratio_tick.open_price
|
||||
)
|
||||
|
||||
# 最高价
|
||||
if self.ratio_high:
|
||||
self.ratio_high = max(self.ratio_high, ratio_tick.ask_price_1)
|
||||
else:
|
||||
self.ratio_high = ratio_tick.ask_price_1
|
||||
ratio_tick.high_price = self.spread_high
|
||||
|
||||
# 最低价
|
||||
if self.ratio_low:
|
||||
self.ratio_low = min(self.ratio_low, ratio_tick.bid_price_1)
|
||||
else:
|
||||
self.ratio_low = ratio_tick.bid_price_1
|
||||
|
||||
ratio_tick.low_price = self.spread_low
|
||||
|
||||
self.gateway.on_tick(ratio_tick)
|
||||
|
||||
@ -374,8 +374,8 @@ class PbGateway(BaseGateway):
|
||||
product_id=product_id,
|
||||
unit_id=unit_id,
|
||||
holder_ids=holder_ids)
|
||||
self.tq_api = TqMdApi(self)
|
||||
self.tq_api.connect()
|
||||
#self.tq_api = TqMdApi(self)
|
||||
#self.tq_api.connect()
|
||||
self.init_query()
|
||||
|
||||
def close(self) -> None:
|
||||
|
||||
@ -507,6 +507,8 @@ class OmsEngine(BaseEngine):
|
||||
self.main_engine.get_position = self.get_position
|
||||
self.main_engine.get_account = self.get_account
|
||||
self.main_engine.get_contract = self.get_contract
|
||||
self.main_engine.get_exchange = self.get_exchange
|
||||
self.main_engine.get_custom_contract = self.get_custom_contract
|
||||
self.main_engine.get_all_ticks = self.get_all_ticks
|
||||
self.main_engine.get_all_orders = self.get_all_orders
|
||||
self.main_engine.get_all_trades = self.get_all_trades
|
||||
@ -650,6 +652,13 @@ class OmsEngine(BaseEngine):
|
||||
self.today_contracts[contract.vt_symbol] = contract
|
||||
self.today_contracts[contract.symbol] = contract
|
||||
|
||||
def get_exchange(self, symbol: str) -> Exchange:
|
||||
"""获取合约对应的交易所"""
|
||||
contract = self.contracts.get(symbol, None)
|
||||
if contract is None:
|
||||
return Exchange.LOCAL
|
||||
return contract.exchange
|
||||
|
||||
def get_tick(self, vt_symbol: str) -> Optional[TickData]:
|
||||
"""
|
||||
Get latest market tick data by vt_symbol.
|
||||
@ -746,6 +755,27 @@ class OmsEngine(BaseEngine):
|
||||
]
|
||||
return active_orders
|
||||
|
||||
def get_custom_contract(self, symbol):
|
||||
"""
|
||||
获取自定义合约的设置
|
||||
:param symbol: "pb2012-1-pb2101-1-CJ"
|
||||
:return: {
|
||||
"name": "pb跨期价差",
|
||||
"exchange": "SPD",
|
||||
"leg1_symbol": "pb2012",
|
||||
"leg1_exchange": "SHFE",
|
||||
"leg1_ratio": 1,
|
||||
"leg2_symbol": "pb2101",
|
||||
"leg2_exchange": "SHFE",
|
||||
"leg2_ratio": 1,
|
||||
"is_spread": true,
|
||||
"size": 1,
|
||||
"margin_rate": 0.1,
|
||||
"price_tick": 5
|
||||
}
|
||||
"""
|
||||
return self.custom_settings.get(symbol, None)
|
||||
|
||||
def get_all_custom_contracts(self, rtn_setting=False):
|
||||
"""
|
||||
获取所有自定义合约
|
||||
@ -759,6 +789,7 @@ class OmsEngine(BaseEngine):
|
||||
|
||||
if len(self.custom_contracts) == 0:
|
||||
c = CustomContract()
|
||||
self.custom_settings = c.get_config()
|
||||
self.custom_contracts = c.get_contracts()
|
||||
return self.custom_contracts
|
||||
|
||||
|
||||
@ -34,7 +34,7 @@ from .object import (
|
||||
Exchange
|
||||
)
|
||||
|
||||
from vnpy.trader.utility import get_folder_path
|
||||
from vnpy.trader.utility import get_folder_path, round_to
|
||||
from vnpy.trader.util_logger import setup_logger
|
||||
|
||||
|
||||
@ -329,6 +329,229 @@ class BaseGateway(ABC):
|
||||
return self.status
|
||||
|
||||
|
||||
class TickCombiner(object):
|
||||
"""
|
||||
Tick合成类
|
||||
"""
|
||||
|
||||
def __init__(self, gateway, setting):
|
||||
self.gateway = gateway
|
||||
self.gateway_name = self.gateway.gateway_name
|
||||
self.gateway.write_log(u'创建tick合成类:{}'.format(setting))
|
||||
|
||||
self.symbol = setting.get('symbol', None)
|
||||
self.leg1_symbol = setting.get('leg1_symbol', None)
|
||||
self.leg2_symbol = setting.get('leg2_symbol', None)
|
||||
self.leg1_ratio = setting.get('leg1_ratio', 1) # 腿1的数量配比
|
||||
self.leg2_ratio = setting.get('leg2_ratio', 1) # 腿2的数量配比
|
||||
self.price_tick = setting.get('price_tick', 1) # 合成价差加比后的最小跳动
|
||||
# 价差
|
||||
self.is_spread = setting.get('is_spread', False)
|
||||
# 价比
|
||||
self.is_ratio = setting.get('is_ratio', False)
|
||||
|
||||
self.last_leg1_tick = None
|
||||
self.last_leg2_tick = None
|
||||
|
||||
# 价差日内最高/最低价
|
||||
self.spread_high = None
|
||||
self.spread_low = None
|
||||
|
||||
# 价比日内最高/最低价
|
||||
self.ratio_high = None
|
||||
self.ratio_low = None
|
||||
|
||||
# 当前交易日
|
||||
self.trading_day = None
|
||||
|
||||
if self.is_ratio and self.is_spread:
|
||||
self.gateway.write_error(u'{}参数有误，不能同时做价差/加比.setting:{}'.format(self.symbol, setting))
|
||||
return
|
||||
|
||||
self.gateway.write_log(u'初始化{}合成器成功'.format(self.symbol))
|
||||
if self.is_spread:
|
||||
self.gateway.write_log(
|
||||
u'leg1:{} * {} - leg2:{} * {}'.format(self.leg1_symbol, self.leg1_ratio, self.leg2_symbol,
|
||||
self.leg2_ratio))
|
||||
if self.is_ratio:
|
||||
self.gateway.write_log(
|
||||
u'leg1:{} * {} / leg2:{} * {}'.format(self.leg1_symbol, self.leg1_ratio, self.leg2_symbol,
|
||||
self.leg2_ratio))
|
||||
|
||||
def on_tick(self, tick):
|
||||
"""OnTick处理"""
|
||||
combinable = False
|
||||
|
||||
if tick.symbol == self.leg1_symbol:
|
||||
# leg1合约
|
||||
self.last_leg1_tick = tick
|
||||
if self.last_leg2_tick is not None:
|
||||
if self.last_leg1_tick.datetime.replace(microsecond=0) == self.last_leg2_tick.datetime.replace(
|
||||
microsecond=0):
|
||||
combinable = True
|
||||
|
||||
elif tick.symbol == self.leg2_symbol:
|
||||
# leg2合约
|
||||
self.last_leg2_tick = tick
|
||||
if self.last_leg1_tick is not None:
|
||||
if self.last_leg2_tick.datetime.replace(microsecond=0) == self.last_leg1_tick.datetime.replace(
|
||||
microsecond=0):
|
||||
combinable = True
|
||||
|
||||
# 不能合并
|
||||
if not combinable:
|
||||
return
|
||||
|
||||
if not self.is_ratio and not self.is_spread:
|
||||
return
|
||||
|
||||
# 以下情况，基本为单腿涨跌停，不合成价差/价格比 Tick
|
||||
if (self.last_leg1_tick.ask_price_1 == 0 or self.last_leg1_tick.bid_price_1 == self.last_leg1_tick.limit_up) \
|
||||
and self.last_leg1_tick.ask_volume_1 == 0:
|
||||
self.gateway.write_log(
|
||||
u'leg1:{0}涨停{1}，不合成价差Tick'.format(self.last_leg1_tick.vt_symbol, self.last_leg1_tick.bid_price_1))
|
||||
return
|
||||
if (self.last_leg1_tick.bid_price_1 == 0 or self.last_leg1_tick.ask_price_1 == self.last_leg1_tick.limit_down) \
|
||||
and self.last_leg1_tick.bid_volume_1 == 0:
|
||||
self.gateway.write_log(
|
||||
u'leg1:{0}跌停{1}，不合成价差Tick'.format(self.last_leg1_tick.vt_symbol, self.last_leg1_tick.ask_price_1))
|
||||
return
|
||||
if (self.last_leg2_tick.ask_price_1 == 0 or self.last_leg2_tick.bid_price_1 == self.last_leg2_tick.limit_up) \
|
||||
and self.last_leg2_tick.ask_volume_1 == 0:
|
||||
self.gateway.write_log(
|
||||
u'leg2:{0}涨停{1}，不合成价差Tick'.format(self.last_leg2_tick.vt_symbol, self.last_leg2_tick.bid_price_1))
|
||||
return
|
||||
if (self.last_leg2_tick.bid_price_1 == 0 or self.last_leg2_tick.ask_price_1 == self.last_leg2_tick.limit_down) \
|
||||
and self.last_leg2_tick.bid_volume_1 == 0:
|
||||
self.gateway.write_log(
|
||||
u'leg2:{0}跌停{1}，不合成价差Tick'.format(self.last_leg2_tick.vt_symbol, self.last_leg2_tick.ask_price_1))
|
||||
return
|
||||
|
||||
if self.trading_day != tick.trading_day:
|
||||
self.trading_day = tick.trading_day
|
||||
self.spread_high = None
|
||||
self.spread_low = None
|
||||
self.ratio_high = None
|
||||
self.ratio_low = None
|
||||
|
||||
if self.is_spread:
|
||||
spread_tick = TickData(gateway_name=self.gateway_name,
|
||||
symbol=self.symbol,
|
||||
exchange=Exchange.SPD,
|
||||
datetime=tick.datetime)
|
||||
|
||||
spread_tick.trading_day = tick.trading_day
|
||||
spread_tick.date = tick.date
|
||||
spread_tick.time = tick.time
|
||||
|
||||
# 叫卖价差=leg1.ask_price_1 * 配比 - leg2.bid_price_1 * 配比，volume为两者最小
|
||||
spread_tick.ask_price_1 = round_to(target=self.price_tick,
|
||||
value=self.last_leg1_tick.ask_price_1 * self.leg1_ratio - self.last_leg2_tick.bid_price_1 * self.leg2_ratio)
|
||||
spread_tick.ask_volume_1 = min(self.last_leg1_tick.ask_volume_1, self.last_leg2_tick.bid_volume_1)
|
||||
|
||||
# 叫买价差=leg1.bid_price_1 * 配比 - leg2.ask_price_1 * 配比，volume为两者最小
|
||||
spread_tick.bid_price_1 = round_to(target=self.price_tick,
|
||||
value=self.last_leg1_tick.bid_price_1 * self.leg1_ratio - self.last_leg2_tick.ask_price_1 * self.leg2_ratio)
|
||||
spread_tick.bid_volume_1 = min(self.last_leg1_tick.bid_volume_1, self.last_leg2_tick.ask_volume_1)
|
||||
|
||||
# 最新价
|
||||
spread_tick.last_price = round_to(target=self.price_tick,
|
||||
value=(spread_tick.ask_price_1 + spread_tick.bid_price_1) / 2)
|
||||
# 昨收盘价
|
||||
if self.last_leg2_tick.pre_close > 0 and self.last_leg1_tick.pre_close > 0:
|
||||
spread_tick.pre_close = round_to(target=self.price_tick,
|
||||
value=self.last_leg1_tick.pre_close * self.leg1_ratio - self.last_leg2_tick.pre_close * self.leg2_ratio)
|
||||
# 开盘价
|
||||
if self.last_leg2_tick.open_price > 0 and self.last_leg1_tick.open_price > 0:
|
||||
spread_tick.open_price = round_to(target=self.price_tick,
|
||||
value=self.last_leg1_tick.open_price * self.leg1_ratio - self.last_leg2_tick.open_price * self.leg2_ratio)
|
||||
# 最高价
|
||||
if self.spread_high:
|
||||
self.spread_high = max(self.spread_high, spread_tick.ask_price_1)
|
||||
else:
|
||||
self.spread_high = spread_tick.ask_price_1
|
||||
spread_tick.high_price = self.spread_high
|
||||
|
||||
# 最低价
|
||||
if self.spread_low:
|
||||
self.spread_low = min(self.spread_low, spread_tick.bid_price_1)
|
||||
else:
|
||||
self.spread_low = spread_tick.bid_price_1
|
||||
|
||||
spread_tick.low_price = self.spread_low
|
||||
|
||||
self.gateway.on_tick(spread_tick)
|
||||
|
||||
if self.is_ratio:
|
||||
ratio_tick = TickData(
|
||||
gateway_name=self.gateway_name,
|
||||
symbol=self.symbol,
|
||||
exchange=Exchange.SPD,
|
||||
datetime=tick.datetime
|
||||
)
|
||||
|
||||
ratio_tick.trading_day = tick.trading_day
|
||||
ratio_tick.date = tick.date
|
||||
ratio_tick.time = tick.time
|
||||
|
||||
# 比率tick = (腿1 * 腿1 手数 / 腿2价格 * 腿2手数) 百分比
|
||||
ratio_tick.ask_price_1 = 100 * self.last_leg1_tick.ask_price_1 * self.leg1_ratio \
|
||||
/ (self.last_leg2_tick.bid_price_1 * self.leg2_ratio) # noqa
|
||||
ratio_tick.ask_price_1 = round_to(
|
||||
target=self.price_tick,
|
||||
value=ratio_tick.ask_price_1
|
||||
)
|
||||
|
||||
ratio_tick.ask_volume_1 = min(self.last_leg1_tick.ask_volume_1, self.last_leg2_tick.bid_volume_1)
|
||||
ratio_tick.bid_price_1 = 100 * self.last_leg1_tick.bid_price_1 * self.leg1_ratio \
|
||||
/ (self.last_leg2_tick.ask_price_1 * self.leg2_ratio) # noqa
|
||||
ratio_tick.bid_price_1 = round_to(
|
||||
target=self.price_tick,
|
||||
value=ratio_tick.bid_price_1
|
||||
)
|
||||
|
||||
ratio_tick.bid_volume_1 = min(self.last_leg1_tick.bid_volume_1, self.last_leg2_tick.ask_volume_1)
|
||||
ratio_tick.last_price = (ratio_tick.ask_price_1 + ratio_tick.bid_price_1) / 2
|
||||
ratio_tick.last_price = round_to(
|
||||
target=self.price_tick,
|
||||
value=ratio_tick.last_price
|
||||
)
|
||||
|
||||
# 昨收盘价
|
||||
if self.last_leg2_tick.pre_close > 0 and self.last_leg1_tick.pre_close > 0:
|
||||
ratio_tick.pre_close = 100 * self.last_leg1_tick.pre_close * self.leg1_ratio / (
|
||||
self.last_leg2_tick.pre_close * self.leg2_ratio) # noqa
|
||||
ratio_tick.pre_close = round_to(
|
||||
target=self.price_tick,
|
||||
value=ratio_tick.pre_close
|
||||
)
|
||||
|
||||
# 开盘价
|
||||
if self.last_leg2_tick.open_price > 0 and self.last_leg1_tick.open_price > 0:
|
||||
ratio_tick.open_price = 100 * self.last_leg1_tick.open_price * self.leg1_ratio / (
|
||||
self.last_leg2_tick.open_price * self.leg2_ratio) # noqa
|
||||
ratio_tick.open_price = round_to(
|
||||
target=self.price_tick,
|
||||
value=ratio_tick.open_price
|
||||
)
|
||||
|
||||
# 最高价
|
||||
if self.ratio_high:
|
||||
self.ratio_high = max(self.ratio_high, ratio_tick.ask_price_1)
|
||||
else:
|
||||
self.ratio_high = ratio_tick.ask_price_1
|
||||
ratio_tick.high_price = self.spread_high
|
||||
|
||||
# 最低价
|
||||
if self.ratio_low:
|
||||
self.ratio_low = min(self.ratio_low, ratio_tick.bid_price_1)
|
||||
else:
|
||||
self.ratio_low = ratio_tick.bid_price_1
|
||||
|
||||
ratio_tick.low_price = self.spread_low
|
||||
|
||||
self.gateway.on_tick(ratio_tick)
|
||||
|
||||
class LocalOrderManager:
|
||||
"""
|
||||
Management tool to support use local order id for trading.
|
||||
|
||||
Loading…
Reference in New Issue
Block a user