daily
This commit is contained in:
msincenselee
parent
ab4ef8ff1f
commit
decec65092
@ -132,6 +132,7 @@ class BacktestingEngine(object):
|
||||
self.writeLog(u'历史TICK数据从Cache载入')
|
||||
return
|
||||
|
||||
# 每次获取日期周期
|
||||
intervalDays = 10
|
||||
|
||||
for i in range (0,(endDate - startDate).days +1, intervalDays):
|
||||
@ -142,47 +143,58 @@ class BacktestingEngine(object):
|
||||
else:
|
||||
d2 = endDate
|
||||
|
||||
# 从Mysql 提取数据
|
||||
self.loadMysqlDataHistory(symbol, d1, d2)
|
||||
|
||||
self.writeLog(u'历史TICK数据共载入{0}条'.format(len(self.listDataHistory)))
|
||||
|
||||
# 保存本地cache文件
|
||||
self.__saveDataHistoryToLocalCache(symbol, startDate, endDate)
|
||||
|
||||
|
||||
def __loadDataHistoryFromLocalCache(self, symbol, startDate, endDate):
|
||||
"""看本地缓存是否存在"""
|
||||
|
||||
# 运行路径下cache子目录
|
||||
cacheFolder = os.getcwd()+'\/cache'
|
||||
|
||||
|
||||
cacheFile = u'{0}\/{1}_{2}_{3}.pickle'.format(cacheFolder,symbol, startDate.strftime('%Y-%m-%d'), endDate.strftime('%Y-%m-%d'))
|
||||
# cache文件
|
||||
cacheFile = u'{0}\/{1}_{2}_{3}.pickle'.\
|
||||
format(cacheFolder, symbol, startDate.strftime('%Y-%m-%d'), endDate.strftime('%Y-%m-%d'))
|
||||
|
||||
if not os.path.isfile(cacheFile):
|
||||
return False
|
||||
|
||||
else:
|
||||
# 从cache文件加载
|
||||
cache = open(cacheFile,mode='r')
|
||||
self.listDataHistory = cPickle.load(cache)
|
||||
cache.close()
|
||||
return True
|
||||
|
||||
def __saveDataHistoryToLocalCache(self, symbol, startDate, endDate):
|
||||
"""保存本地缓存"""
|
||||
|
||||
# 运行路径下cache子目录
|
||||
cacheFolder = os.getcwd()+'\/cache'
|
||||
|
||||
# 创建cache子目录
|
||||
if not os.path.isdir(cacheFolder):
|
||||
os.mkdir(cacheFolder)
|
||||
|
||||
cacheFile = u'{0}\/{1}_{2}_{3}.pickle'.format(cacheFolder,symbol, startDate.strftime('%Y-%m-%d'), endDate.strftime('%Y-%m-%d'))
|
||||
# cache 文件名
|
||||
cacheFile = u'{0}\/{1}_{2}_{3}.pickle'.\
|
||||
format(cacheFolder, symbol, startDate.strftime('%Y-%m-%d'), endDate.strftime('%Y-%m-%d'))
|
||||
|
||||
# 重复存在 返回
|
||||
if os.path.isfile(cacheFile):
|
||||
return False
|
||||
|
||||
else:
|
||||
cache= open(cacheFile, mode='w')
|
||||
|
||||
# 写入cache文件
|
||||
cache = open(cacheFile, mode='w')
|
||||
cPickle.dump(self.listDataHistory,cache)
|
||||
|
||||
cache.close()
|
||||
|
||||
return True
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
@ -194,40 +206,48 @@ class BacktestingEngine(object):
|
||||
if self.__mysqlConnected:
|
||||
|
||||
|
||||
#获取指针
|
||||
# 获取指针
|
||||
cur = self.__mysqlConnection.cursor(MySQLdb.cursors.DictCursor)
|
||||
|
||||
if endDate:
|
||||
|
||||
sqlstring = ' select \'{0}\' as InstrumentID, str_to_date(concat(ndate,\' \', ntime),' \
|
||||
# 开始日期 ~ 结束日期
|
||||
sqlstring = ' select \'{0}\' as InstrumentID, str_to_date(concat(ndate,\' \', ntime),' \
|
||||
'\'%Y-%m-%d %H:%i:%s\') as UpdateTime,price as LastPrice,vol as Volume,' \
|
||||
'position_vol as OpenInterest,bid1_price as BidPrice1,bid1_vol as BidVolume1, ' \
|
||||
'sell1_price as AskPrice1, sell1_vol as AskVolume1 from TB_{0}MI ' \
|
||||
'where ndate between cast(\'{1}\' as date) and cast(\'{2}\' as date)'.format(symbol, startDate, endDate)
|
||||
'where ndate between cast(\'{1}\' as date) and cast(\'{2}\' as date)'.\
|
||||
format(symbol, startDate, endDate)
|
||||
|
||||
elif startDate:
|
||||
|
||||
sqlstring = ' select \'{0}\' as InstrumentID,str_to_date(concat(ndate,\' \', ntime),' \
|
||||
# 开始日期 - 当前
|
||||
sqlstring = ' select \'{0}\' as InstrumentID,str_to_date(concat(ndate,\' \', ntime),' \
|
||||
'\'%Y-%m-%d %H:%i:%s\') as UpdateTime,price as LastPrice,vol as Volume,' \
|
||||
'position_vol as OpenInterest,bid1_price as BidPrice1,bid1_vol as BidVolume1, ' \
|
||||
'sell1_price as AskPrice1, sell1_vol as AskVolume1 from TB__{0}MI ' \
|
||||
'where ndate > cast(\'{1}\' as date)'.format( symbol, startDate)
|
||||
'where ndate > cast(\'{1}\' as date)'.\
|
||||
format( symbol, startDate)
|
||||
|
||||
else:
|
||||
|
||||
sqlstring =' select \'{0}\' as InstrumentID,str_to_date(concat(ndate,\' \', ntime),' \
|
||||
# 所有数据
|
||||
sqlstring =' select \'{0}\' as InstrumentID,str_to_date(concat(ndate,\' \', ntime),' \
|
||||
'\'%Y-%m-%d %H:%i:%s\') as UpdateTime,price as LastPrice,vol as Volume,' \
|
||||
'position_vol as OpenInterest,bid1_price as BidPrice1,bid1_vol as BidVolume1, ' \
|
||||
'sell1_price as AskPrice1, sell1_vol as AskVolume1 from TB__{0}MI '.format(symbol)
|
||||
'sell1_price as AskPrice1, sell1_vol as AskVolume1 from TB__{0}MI '.\
|
||||
format(symbol)
|
||||
|
||||
self.writeLog(sqlstring)
|
||||
# self.writeLog(sqlstring)
|
||||
|
||||
# 执行查询
|
||||
count = cur.execute(sqlstring)
|
||||
#self.writeLog(u'历史TICK数据共{0}条'.format(count))
|
||||
|
||||
# 将TICK数据读入内存
|
||||
# 将TICK数据一次性读入内存
|
||||
#self.listDataHistory = cur.fetchall()
|
||||
|
||||
# 分批次读取
|
||||
fetch_counts = 0
|
||||
fetch_size = 1000
|
||||
|
||||
@ -240,7 +260,6 @@ class BacktestingEngine(object):
|
||||
fetch_counts = fetch_counts + len(results)
|
||||
|
||||
if not self.listDataHistory:
|
||||
|
||||
self.listDataHistory =results
|
||||
|
||||
else:
|
||||
@ -251,7 +270,9 @@ class BacktestingEngine(object):
|
||||
|
||||
else:
|
||||
self.writeLog(u'MysqlDB未连接，请检查')
|
||||
|
||||
except MySQLdb.Error, e:
|
||||
|
||||
self.writeLog(u'MysqlDB载入数据失败，请检查.Error {0}'.format(e))
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
@ -260,18 +281,19 @@ class BacktestingEngine(object):
|
||||
try:
|
||||
if self.__mysqlConnected:
|
||||
|
||||
#获取指针
|
||||
# 获取mysql指针
|
||||
cur = self.__mysqlConnection.cursor()
|
||||
|
||||
sqlstring='select distinct ndate from TB_{0}MI where ndate < ' \
|
||||
'cast(\'{1}\' as date) order by ndate desc limit {2},1'.format(symbol, startDate, decreaseDays-1)
|
||||
|
||||
self.writeLog(sqlstring)
|
||||
# self.writeLog(sqlstring)
|
||||
|
||||
count = cur.execute(sqlstring)
|
||||
|
||||
if count > 0:
|
||||
|
||||
# 提取第一条记录
|
||||
result = cur.fetchone()
|
||||
|
||||
return result[0]
|
||||
@ -283,11 +305,11 @@ class BacktestingEngine(object):
|
||||
self.writeLog(u'MysqlDB未连接，请检查')
|
||||
|
||||
except MySQLdb.Error, e:
|
||||
|
||||
self.writeLog(u'MysqlDB载入数据失败，请检查.Error {0}: {1}'.format(e.arg[0],e.arg[1]))
|
||||
|
||||
td = timedelta(days=3)
|
||||
|
||||
return startDate-td;
|
||||
# 出错后缺省返回
|
||||
return startDate-timedelta(days=3)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def processLimitOrder(self):
|
||||
|
||||
@ -31,10 +31,10 @@ class SimpleEmaStrategy(StrategyTemplate):
|
||||
super(SimpleEmaStrategy, self).__init__(name, symbol, engine)
|
||||
|
||||
# 策略在外部设置的参数
|
||||
#self.fastAlpha = 0.2 # 快速EMA的参数
|
||||
# self.fastAlpha = 0.2 # 快速EMA的参数
|
||||
self.fastAlpha = 0.2
|
||||
#self.slowAlpha = 0.05 # 慢速EMA的参数
|
||||
self.fastAlpha = 0.05
|
||||
# self.slowAlpha = 0.05 # 慢速EMA的参数
|
||||
self.slowAlpha = 0.05
|
||||
|
||||
# 最新TICK数据（市场报价）
|
||||
self.currentTick = None
|
||||
@ -48,12 +48,12 @@ class SimpleEmaStrategy(StrategyTemplate):
|
||||
self.barTime = None
|
||||
|
||||
# 保存K线数据的列表对象
|
||||
#self.listOpen = []
|
||||
#self.listHigh = []
|
||||
#self.listLow = []
|
||||
#self.listClose = []
|
||||
#self.listVolume = []
|
||||
#s#elf.listTime = []
|
||||
# self.listOpen = []
|
||||
# self.listHigh = []
|
||||
# self.listLow = []
|
||||
# self.listClose = []
|
||||
# self.listVolume = []
|
||||
# s#elf.listTime = []
|
||||
|
||||
# 持仓
|
||||
self.pos = 0
|
||||
@ -102,71 +102,61 @@ class SimpleEmaStrategy(StrategyTemplate):
|
||||
self.engine.writeLog(u'读取3天的历史TICK数据')
|
||||
td = timedelta(days=1)
|
||||
|
||||
|
||||
if startDate:
|
||||
#读取历史Tick数据
|
||||
#cx = self.engine.loadTickFromMongo(self.symbol, startDate-td)
|
||||
historyStartDate=self.engine.getMysqlDeltaDate(self.symbol,startDate,3)
|
||||
# 读取历史Tick数据
|
||||
# cx = self.engine.loadTickFromMongo(self.symbol, startDate-td)
|
||||
historyStartDate = self.engine.getMysqlDeltaDate(self.symbol,startDate,3)
|
||||
cx = self.engine.loadTickFromMysql(self.symbol, historyStartDate, startDate-td)
|
||||
|
||||
else:
|
||||
today = datetime.today().replace(hour=0, minute=0, second=0, microsecond=0)
|
||||
#cx = self.engine.loadTickFromMongo(self.symbol, today-td)
|
||||
historyStartDate=self.engine.getMysqlDeltaDate(self.symbol,today,3)
|
||||
# cx = self.engine.loadTickFromMongo(self.symbol, today-td)
|
||||
historyStartDate = self.engine.getMysqlDeltaDate(self.symbol,today,3)
|
||||
cx = self.engine.loadTickFromMysql(self.symbol, historyStartDate,today-td)
|
||||
|
||||
if cx:
|
||||
for data in cx:
|
||||
#InstrumentID, UpdateTime, LastPrice, Volume, OpenInterest, BidPrice1, BidVolume1, AskPrice1, AskVolume1 = data
|
||||
|
||||
tick = Tick(data['InstrumentID'])
|
||||
#tick = Tick(InstrumentID)
|
||||
# tick = Tick(InstrumentID)
|
||||
|
||||
#tick.openPrice = data['OpenPrice']
|
||||
#tick.highPrice = data['HighestPrice']
|
||||
#tick.lowPrice = data['LowestPrice']
|
||||
# tick.openPrice = data['OpenPrice']
|
||||
# tick.highPrice = data['HighestPrice']
|
||||
# tick.lowPrice = data['LowestPrice']
|
||||
tick.lastPrice = float(data['LastPrice'])
|
||||
#tick.lastPrice = LastPrice
|
||||
|
||||
|
||||
tick.volume = data['Volume']
|
||||
tick.openInterest = data['OpenInterest']
|
||||
#tick.volume = Volume
|
||||
#tick.openInterest = OpenInterest
|
||||
|
||||
#tick.upperLimit = data['UpperLimitPrice']
|
||||
#tick.lowerLimit = data['LowerLimitPrice']
|
||||
# tick.upperLimit = data['UpperLimitPrice']
|
||||
# tick.lowerLimit = data['LowerLimitPrice']
|
||||
|
||||
tick.time = data['UpdateTime']
|
||||
#tick.ms = data['UpdateMillisec']
|
||||
#tick.time = UpdateTime
|
||||
# tick.ms = data['UpdateMillisec']
|
||||
|
||||
tick.bidPrice1 =float(data['BidPrice1'])
|
||||
#tick.bidPrice2 = data['BidPrice2']
|
||||
#tick.bidPrice3 = data['BidPrice3']
|
||||
#tick.bidPrice4 = data['BidPrice4']
|
||||
#tick.bidPrice5 = data['BidPrice5']
|
||||
#tick.bidPrice1 = BidPrice1
|
||||
tick.bidPrice1 = float(data['BidPrice1'])
|
||||
# tick.bidPrice2 = data['BidPrice2']
|
||||
# tick.bidPrice3 = data['BidPrice3']
|
||||
# tick.bidPrice4 = data['BidPrice4']
|
||||
# tick.bidPrice5 = data['BidPrice5']
|
||||
|
||||
tick.askPrice1 = float(data['AskPrice1'])
|
||||
#tick.askPrice2 = data['AskPrice2']
|
||||
#tick.askPrice3 = data['AskPrice3']
|
||||
#tick.askPrice4 = data['AskPrice4']
|
||||
#tick.askPrice5 = data['AskPrice5']
|
||||
#tick.askPrice1 = AskPrice1
|
||||
|
||||
# tick.askPrice2 = data['AskPrice2']
|
||||
# tick.askPrice3 = data['AskPrice3']
|
||||
# tick.askPrice4 = data['AskPrice4']
|
||||
# tick.askPrice5 = data['AskPrice5']
|
||||
|
||||
tick.bidVolume1 = data['BidVolume1']
|
||||
#tick.bidVolume2 = data['BidVolume2']
|
||||
#tick.bidVolume3 = data['BidVolume3']
|
||||
#tick.bidVolume4 = data['BidVolume4']
|
||||
#tick.bidVolume5 = data['BidVolume5']
|
||||
#tick.bidVolume1 = BidVolume1
|
||||
# tick.bidVolume2 = data['BidVolume2']
|
||||
# tick.bidVolume3 = data['BidVolume3']
|
||||
# tick.bidVolume4 = data['BidVolume4']
|
||||
# tick.bidVolume5 = data['BidVolume5']
|
||||
|
||||
tick.askVolume1 = data['AskVolume1']
|
||||
#tick.askVolume2 = data['AskVolume2']
|
||||
#tick.askVolume3 = data['AskVolume3']
|
||||
#tick.askVolume4 = data['AskVolume4']
|
||||
#tick.askVolume5 = data['AskVolume5']
|
||||
#tick.askVolume1 = AskVolume1
|
||||
# tick.askVolume2 = data['AskVolume2']
|
||||
# tick.askVolume3 = data['AskVolume3']
|
||||
# tick.askVolume4 = data['AskVolume4']
|
||||
# tick.askVolume5 = data['AskVolume5']
|
||||
|
||||
self.onTick(tick)
|
||||
|
||||
@ -176,12 +166,14 @@ class SimpleEmaStrategy(StrategyTemplate):
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def onTick(self, tick):
|
||||
"""行情更新"""
|
||||
"""行情更新
|
||||
:type tick: object
|
||||
"""
|
||||
# 保存最新的TICK
|
||||
self.currentTick = tick
|
||||
|
||||
# 首先生成datetime.time格式的时间（便于比较）
|
||||
#ticktime = self.strToTime(tick.time, tick.ms)
|
||||
# ticktime = self.strToTime(tick.time, tick.ms)
|
||||
ticktime = tick.time
|
||||
|
||||
# 假设是收到的第一个TICK
|
||||
@ -201,7 +193,8 @@ class SimpleEmaStrategy(StrategyTemplate):
|
||||
self.barLow = min(self.barLow, tick.lastPrice)
|
||||
self.barClose = tick.lastPrice
|
||||
self.barVolume = self.barVolume + tick.volume
|
||||
self.barTime = ticktime
|
||||
self.barTime = ticktime
|
||||
|
||||
# 如果是新一分钟的数据
|
||||
else:
|
||||
# 首先推送K线数据
|
||||
@ -242,12 +235,12 @@ class SimpleEmaStrategy(StrategyTemplate):
|
||||
def onBar(self, o, h, l, c, volume, t):
|
||||
"""K线数据更新，同时进行策略的买入、卖出逻辑计算"""
|
||||
# 保存K线序列数据
|
||||
#self.listOpen.append(o)
|
||||
#self.listHigh.append(h)
|
||||
#self.listLow.append(l)
|
||||
#self.listClose.append(c)
|
||||
#self.listVolume.append(volume)
|
||||
#self.listTime.append(t)
|
||||
# self.listOpen.append(o)
|
||||
# self.listHigh.append(h)
|
||||
# self.listLow.append(l)
|
||||
# self.listClose.append(c)
|
||||
# self.listVolume.append(volume)
|
||||
# self.listTime.append(t)
|
||||
|
||||
# 保存K线数据
|
||||
bar = Bar()
|
||||
@ -260,7 +253,6 @@ class SimpleEmaStrategy(StrategyTemplate):
|
||||
bar.date = t.strftime('%Y-%m-%d')
|
||||
bar.time = t.strftime('%H:%M:%S')
|
||||
bar.datetime = t
|
||||
|
||||
self.lineBar.append(bar)
|
||||
|
||||
# 计算EMA
|
||||
@ -296,26 +288,27 @@ class SimpleEmaStrategy(StrategyTemplate):
|
||||
if self.pos == 0:
|
||||
# 涨停价买入开仓
|
||||
# Modified by Incense Lee ：回测时，Tick数据中没有涨停价，只能使用当前价
|
||||
#self.buy(self.currentTick.upperLimit, 1)
|
||||
# self.buy(self.currentTick.upperLimit, 1)
|
||||
self.buy(self.currentTick.lastPrice, 1, t) # 价格，数量，下单时间
|
||||
|
||||
# 手头有空仓，则先平空，再开多
|
||||
elif self.pos < 0:
|
||||
#self.cover(self.currentTick.upperLimit, 1)
|
||||
# self.cover(self.currentTick.upperLimit, 1)
|
||||
self.cover(self.currentTick.lastPrice, 1, t) # 价格，数量， 下单时间
|
||||
#self.buy(self.currentTick.upperLimit, 1)
|
||||
# self.buy(self.currentTick.upperLimit, 1)
|
||||
self.buy(self.currentTick.lastPrice, 1, t)
|
||||
|
||||
|
||||
# 反之，做空
|
||||
elif self.fastEMA < self.slowEMA:
|
||||
if self.pos == 0:
|
||||
# Modified by Incense Lee ：回测时，Tick数据中没有最低价价，只能使用当前价
|
||||
#self.short(self.currentTick.lowerLimit, 1)
|
||||
# self.short(self.currentTick.lowerLimit, 1)
|
||||
self.short(self.currentTick.lastPrice, 1, t)
|
||||
elif self.pos > 0:
|
||||
#self.sell(self.currentTick.lowerLimit, 1)
|
||||
# self.sell(self.currentTick.lowerLimit, 1)
|
||||
self.sell(self.currentTick.lastPrice, 1, t)
|
||||
|
||||
#self.short(self.currentTick.lowerLimit, 1)
|
||||
# self.short(self.currentTick.lowerLimit, 1)
|
||||
self.short(self.currentTick.lastPrice, 1, t)
|
||||
|
||||
# 记录日志
|
||||
@ -333,13 +326,13 @@ class SimpleEmaStrategy(StrategyTemplate):
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def saveData(self, id):
|
||||
"""保存过程数据"""
|
||||
# 保存K线
|
||||
print u'{0}保存K线'.format(self.name)
|
||||
self.engine.saveBarToMysql(id, self.lineBar)
|
||||
"""保存过程数据"""
|
||||
# 保存K线
|
||||
print u'{0}保存K线'.format(self.name)
|
||||
self.engine.saveBarToMysql(id, self.lineBar)
|
||||
|
||||
# 保存快速EMA和慢速EMA
|
||||
self.engine.saveEmaToMysql(id, self.lineEMA)
|
||||
# 保存快速EMA和慢速EMA
|
||||
self.engine.saveEmaToMysql(id, self.lineEMA)
|
||||
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
@ -360,7 +353,6 @@ def main():
|
||||
me = MainEngine()
|
||||
print u'demoStrategy.py Main call MainEngine() success'
|
||||
|
||||
|
||||
# 注册事件监听
|
||||
me.ee.register(EVENT_LOG, print_log)
|
||||
|
||||
@ -383,7 +375,7 @@ def main():
|
||||
setting = {}
|
||||
setting['fastAlpha'] = 0.2
|
||||
setting['slowAlpha'] = 0.09
|
||||
#se.createStrategy(u'EMA演示策略', 'IF1506', SimpleEmaStrategy, setting)
|
||||
# se.createStrategy(u'EMA演示策略', 'IF1506', SimpleEmaStrategy, setting)
|
||||
se.createStrategy(u'EMA演示策略', 'a', SimpleEmaStrategy, setting)
|
||||
|
||||
# 启动所有策略
|
||||
@ -392,7 +384,7 @@ def main():
|
||||
# 让程序连续运行
|
||||
sys.exit(app.exec_())
|
||||
|
||||
|
||||
|
||||
if __name__ == '__main__':
|
||||
main()
|
||||
|
||||
|
||||
@ -461,7 +461,10 @@ class StrategyEngine(object):
|
||||
self.__connectMysql()
|
||||
|
||||
if self.__mysqlConnected:
|
||||
sql='insert into BackTest.TB_Bar (Id, symbol ,open ,high ,low ,close ,date ,time ,datetime, volume, openInterest) values '
|
||||
sql = 'insert into BackTest.TB_Bar ' \
|
||||
'(Id, symbol, open,high, low,close,date,time,datetime, volume, openInterest) ' \
|
||||
'values '
|
||||
|
||||
values = ''
|
||||
|
||||
print u'共{0}条Bar记录.'.format(len(barList))
|
||||
@ -523,17 +526,17 @@ class StrategyEngine(object):
|
||||
os.mkdir(resultPath)
|
||||
|
||||
resultFile = u'{0}\\{1}_Ema.pickle'.format(resultPath, id)
|
||||
|
||||
cache= open(resultFile, mode='w')
|
||||
|
||||
cPickle.dump(emaList,cache)
|
||||
|
||||
cache.close()
|
||||
|
||||
self.__connectMysql()
|
||||
|
||||
if self.__mysqlConnected:
|
||||
sql='insert into BackTest.TB_Ema (Id, symbol ,fastEMA,slowEMA ,date ,time ,datetime) values '
|
||||
sql = 'insert into BackTest.TB_Ema ' \
|
||||
'(Id, symbol ,fastEMA,slowEMA ,date ,time ,datetime) ' \
|
||||
'values '
|
||||
|
||||
values = ''
|
||||
|
||||
print u'共{0}条EMA记录.'.format(len(emaList))
|
||||
@ -578,61 +581,50 @@ class StrategyEngine(object):
|
||||
def updateMarketData(self, event):
|
||||
"""行情更新"""
|
||||
data = event.dict_['data']
|
||||
#InstrumentID, UpdateTime, LastPrice, Volume, OpenInterest, BidPrice1, BidVolume1, AskPrice1, AskVolume1 = data
|
||||
|
||||
symbol = data['InstrumentID']
|
||||
#symbol = InstrumentID
|
||||
|
||||
# 检查是否存在交易该合约的策略
|
||||
if symbol in self.__dictSymbolStrategy:
|
||||
# 创建TICK数据对象并更新数据
|
||||
tick = Tick(symbol)
|
||||
|
||||
#tick.openPrice = data['OpenPrice']
|
||||
#tick.highPrice = data['HighestPrice']
|
||||
#tick.lowPrice = data['LowestPrice']
|
||||
# tick.openPrice = data['OpenPrice']
|
||||
# tick.highPrice = data['HighestPrice']
|
||||
# tick.lowPrice = data['LowestPrice']
|
||||
tick.lastPrice = float(data['LastPrice'])
|
||||
#tick.lastPrice = LastPrice
|
||||
|
||||
tick.volume = data['Volume']
|
||||
tick.openInterest = data['OpenInterest']
|
||||
#tick.volume = Volume
|
||||
#tick.openInterest = OpenInterest
|
||||
|
||||
#tick.upperLimit = data['UpperLimitPrice']
|
||||
#tick.lowerLimit = data['LowerLimitPrice']
|
||||
# tick.upperLimit = data['UpperLimitPrice']
|
||||
# tick.lowerLimit = data['LowerLimitPrice']
|
||||
|
||||
tick.time = data['UpdateTime']
|
||||
#tick.time = UpdateTime
|
||||
#tick.ms = data['UpdateMillisec']
|
||||
|
||||
tick.bidPrice1 = float(data['BidPrice1'])
|
||||
#tick.bidPrice2 = data['BidPrice2']
|
||||
#tick.bidPrice3 = data['BidPrice3']
|
||||
#tick.bidPrice4 = data['BidPrice4']
|
||||
#tick.bidPrice5 = data['BidPrice5']
|
||||
#tick.bidPrice1 = BidPrice1
|
||||
# tick.bidPrice2 = data['BidPrice2']
|
||||
# tick.bidPrice3 = data['BidPrice3']
|
||||
# tick.bidPrice4 = data['BidPrice4']
|
||||
# tick.bidPrice5 = data['BidPrice5']
|
||||
|
||||
tick.askPrice1 = float(data['AskPrice1'])
|
||||
#tick.askPrice2 = data['AskPrice2']
|
||||
#tick.askPrice3 = data['AskPrice3']
|
||||
#tick.askPrice4 = data['AskPrice4']
|
||||
#tick.askPrice5 = data['AskPrice5']
|
||||
#tick.askPrice1 = AskPrice1
|
||||
# tick.askPrice2 = data['AskPrice2']
|
||||
# tick.askPrice3 = data['AskPrice3']
|
||||
# tick.askPrice4 = data['AskPrice4']
|
||||
# tick.askPrice5 = data['AskPrice5']
|
||||
|
||||
tick.bidVolume1 = data['BidVolume1']
|
||||
#tick.bidVolume2 = data['BidVolume2']
|
||||
#tick.bidVolume3 = data['BidVolume3']
|
||||
#tick.bidVolume4 = data['BidVolume4']
|
||||
#tick.bidVolume5 = data['BidVolume5']
|
||||
#tick.bidVolume1 = BidVolume1
|
||||
# tick.bidVolume2 = data['BidVolume2']
|
||||
# tick.bidVolume3 = data['BidVolume3']
|
||||
# tick.bidVolume4 = data['BidVolume4']
|
||||
# tick.bidVolume5 = data['BidVolume5']
|
||||
|
||||
tick.askVolume1 = data['AskVolume1']
|
||||
#tick.askVolume2 = data['AskVolume2']
|
||||
#tick.askVolume3 = data['AskVolume3']
|
||||
#tick.askVolume4 = data['AskVolume4']
|
||||
#tick.askVolume5 = data['AskVolume5']
|
||||
#tick.askVolume1 = AskVolume1
|
||||
# tick.askVolume2 = data['AskVolume2']
|
||||
# tick.askVolume3 = data['AskVolume3']
|
||||
# tick.askVolume4 = data['AskVolume4']
|
||||
# tick.askVolume5 = data['AskVolume5']
|
||||
|
||||
# 首先检查停止单是否需要发出
|
||||
self.__processStopOrder(tick)
|
||||
@ -643,7 +635,7 @@ class StrategyEngine(object):
|
||||
|
||||
# 将数据插入MongoDB/Mysql数据库，实盘建议另开程序记录TICK数据
|
||||
if not self.backtesting:
|
||||
#self.__recordTickToMongo(data)
|
||||
# self.__recordTickToMongo(data)
|
||||
self.__recordTickToMysql(data)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
@ -657,8 +649,6 @@ class StrategyEngine(object):
|
||||
# 如果当前有该合约上的止损单
|
||||
if symbol in self.__dictStopOrder:
|
||||
|
||||
#print u'strategyEngine.py __processStopOrder() has stop order.'
|
||||
|
||||
# 获取止损单列表
|
||||
listSO = self.__dictStopOrder[symbol] # SO:stop order
|
||||
|
||||
@ -704,8 +694,6 @@ class StrategyEngine(object):
|
||||
def updateOrder(self, event):
|
||||
"""事件响应：报单更新"""
|
||||
|
||||
#print u'strategyEngine.py updateOrder() begin.'
|
||||
|
||||
data = event.dict_['data']
|
||||
orderRef = data['OrderRef']
|
||||
|
||||
@ -736,13 +724,10 @@ class StrategyEngine(object):
|
||||
# 记录该Order的数据
|
||||
self.__dictOrder[orderRef] = data
|
||||
|
||||
#print u'strategyEngine.py updateOrder() end.'
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def updateTrade(self, event):
|
||||
"""事件响应：成交更新"""
|
||||
|
||||
#print u'strategyEngine.py updateTrade() begin.'
|
||||
data = event.dict_['data']
|
||||
orderRef = data['OrderRef']
|
||||
|
||||
@ -765,8 +750,6 @@ class StrategyEngine(object):
|
||||
strategy = self.__dictOrderRefStrategy[orderRef]
|
||||
strategy.onTrade(trade)
|
||||
|
||||
#print u'strategyEngine.py updateTrade() end.'
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def sendOrder(self, symbol, direction, offset, price, volume, ordertime, strategy):
|
||||
"""
|
||||
@ -780,7 +763,6 @@ class StrategyEngine(object):
|
||||
strategy：策略对象
|
||||
"""
|
||||
|
||||
#print u'strategyEngine.py sendOrder() begin.'
|
||||
contract = self.mainEngine.selectInstrument(symbol)
|
||||
|
||||
if contract:
|
||||
@ -797,7 +779,6 @@ class StrategyEngine(object):
|
||||
# 添加报单编号及其映射的策略
|
||||
self.__dictOrderRefStrategy[ref] = strategy
|
||||
|
||||
#print u'strategyEngine.py sendOrder() end.'
|
||||
|
||||
return ref
|
||||
|
||||
@ -825,13 +806,13 @@ class StrategyEngine(object):
|
||||
def __registerEvent(self):
|
||||
"""注册事件监听"""
|
||||
|
||||
#注册订阅行情数据更新事件
|
||||
# 注册 订阅行情数据更新事件
|
||||
self.__eventEngine.register(EVENT_MARKETDATA, self.updateMarketData)
|
||||
|
||||
#注册订阅订单更新事件
|
||||
# 注册 订阅订单更新事件
|
||||
self.__eventEngine.register(EVENT_ORDER, self.updateOrder)
|
||||
|
||||
#注册订阅交易响应事件
|
||||
# 注册 订阅交易响应事件
|
||||
self.__eventEngine.register(EVENT_TRADE ,self.updateTrade)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
@ -865,7 +846,8 @@ class StrategyEngine(object):
|
||||
注意这里的price是停止单的触发价
|
||||
"""
|
||||
# 创建止损单对象
|
||||
print u'strategyEngine.py placeStopOrder() symbol:{0}, direction:{1}, offset:{2}, price:{3}, volume:{4}.'.format(symbol, direction, offset, price, volume)
|
||||
print u'strategyEngine.py placeStopOrder() symbol:{0}, direction:{1}, offset:{2}, price:{3}, volume:{4}.'\
|
||||
.format(symbol, direction, offset, price, volume)
|
||||
|
||||
so = StopOrder(symbol, direction, offset, price, volume, strategy)
|
||||
|
||||
@ -879,16 +861,12 @@ class StrategyEngine(object):
|
||||
# 将该止损单插入列表中
|
||||
listSO.append(so)
|
||||
|
||||
#print u'strategyEngine.py placeStopOrder() end.'
|
||||
|
||||
return so
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def cancelStopOrder(self, so):
|
||||
"""撤销停止单"""
|
||||
|
||||
print u'strategyEngine.py cancelStopOrder() begin.'
|
||||
|
||||
symbol = so.symbol
|
||||
|
||||
try:
|
||||
@ -902,7 +880,6 @@ class StrategyEngine(object):
|
||||
except KeyError:
|
||||
pass
|
||||
|
||||
print u'strategyEngine.py cancelStopOrder() end.'
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def startAll(self):
|
||||
@ -1000,7 +977,8 @@ class StrategyTemplate(object):
|
||||
def buy(self, price, volume, orderTime, stopOrder=False ):
|
||||
"""买入开仓"""
|
||||
|
||||
print u'strategyEngine.py StrategyTemplate({3}) buy() begin. symbol:{0}, price:{1},volume:{2},time:{4}'.format(self.symbol, price, volume, self.name,orderTime)
|
||||
print u'strategyEngine.py StrategyTemplate({3}) buy(symbol:{0}, price:{1},volume:{2},time:{4})'.\
|
||||
format(self.symbol, price, volume, self.name,orderTime)
|
||||
|
||||
if self.trading:
|
||||
if stopOrder:
|
||||
@ -1022,7 +1000,8 @@ class StrategyTemplate(object):
|
||||
def cover(self, price, volume,orderTime, stopOrder=False):
|
||||
"""买入平仓"""
|
||||
|
||||
print u'strategyEngine.py StrategyTemplate({3}) cover() begin. symbol:{0}, price:{1},volume:{2},time:{4}'.format(self.symbol, price, volume, self.name, orderTime)
|
||||
print u'strategyEngine.py StrategyTemplate({3}) cover(symbol:{0}, price:{1},volume:{2},time:{4})'.\
|
||||
format(self.symbol, price, volume, self.name, orderTime)
|
||||
|
||||
if self.trading:
|
||||
if stopOrder:
|
||||
@ -1044,7 +1023,8 @@ class StrategyTemplate(object):
|
||||
def sell(self, price, volume, orderTime, stopOrder=False):
|
||||
"""卖出平仓"""
|
||||
|
||||
print u'strategyEngine.py StrategyTemplate({3}) sell() begin. symbol:{0}, price:{1},volume:{2},time:{4}'.format(self.symbol, price, volume, self.name, orderTime)
|
||||
print u'strategyEngine.py StrategyTemplate({3}) sell(symbol:{0}, price:{1},volume:{2},time:{4})'.\
|
||||
format(self.symbol, price, volume, self.name, orderTime)
|
||||
|
||||
if self.trading:
|
||||
if stopOrder:
|
||||
@ -1064,7 +1044,8 @@ class StrategyTemplate(object):
|
||||
#----------------------------------------------------------------------
|
||||
def short(self, price, volume, orderTime, stopOrder=False):
|
||||
"""卖出开仓"""
|
||||
print u'strategyEngine.py StrategyTemplate({3}) short() begin. symbol:{0}, price:{1},volume:{2},time:{4}'.format(self.symbol, price, volume, self.name, orderTime)
|
||||
print u'strategyEngine.py StrategyTemplate({3}) short(symbol:{0}, price:{1},volume:{2},time:{4})'.\
|
||||
format(self.symbol, price, volume, self.name, orderTime)
|
||||
if self.trading:
|
||||
if stopOrder:
|
||||
# 止损单
|
||||
@ -1078,7 +1059,7 @@ class StrategyTemplate(object):
|
||||
return ref
|
||||
else:
|
||||
return None
|
||||
#print u'strategyEngine.py short() end.'
|
||||
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def cancelOrder(self, orderRef):
|
||||
|
||||
Loading…
Reference in New Issue
Block a user