From e8f9f8ac70947873017844dab0114b789b0b9e08 Mon Sep 17 00:00:00 2001 From: msincenselee Date: Sun, 9 Apr 2017 20:25:20 +0800 Subject: [PATCH] =?UTF-8?q?=E5=A5=97=E5=88=A9=E7=BD=91=E6=A0=BC?= MIME-Version: 1.0 Content-Type: text/plain; charset=UTF-8 Content-Transfer-Encoding: 8bit --- vn.trader/ctaAlgo/ctaGridTrade.py | 548 ++++++++++++++++++++++++++++++ 1 file changed, 548 insertions(+) create mode 100644 vn.trader/ctaAlgo/ctaGridTrade.py diff --git a/vn.trader/ctaAlgo/ctaGridTrade.py b/vn.trader/ctaAlgo/ctaGridTrade.py new file mode 100644 index 00000000..36886ff7 --- /dev/null +++ b/vn.trader/ctaAlgo/ctaGridTrade.py @@ -0,0 +1,548 @@ +# encoding: UTF-8 + +from ctaBase import * +from vtConstant import * +import json +import os +from datetime import datetime + +DEBUGCTALOG = True + +""" + 网格交易，用于套利单 + 作者：李来佳，QQ/Wechat:28888502 +ChangeLog: + 0713,修改closeGrid，增加volume字段，关闭网格时，根据价格和交易量进行双重匹配. + 0715,增加保存json和重启后加载本地json文件 +""" + +class CtaGrid(object): + """网格类 + 它是网格交易的最小单元 + 包括交易方向，开仓价格，平仓价格，止损价格，开仓状态，平仓状态 + + """ + + def __init__(self, direction, openprice, closeprice, stopprice=EMPTY_FLOAT, volume=1): + + self.direction = direction # 交易方向 + self.openPrice = openprice # 开仓价格 + self.closePrice = closeprice # 平仓价格 + self.stopPrice = stopprice # 止损价格 + + self.volume = volume # 开仓数量 + self.tradedVolume = EMPTY_INT # 成交数量 开仓时，为开仓数量，平仓时，为平仓数量 + + self.orderStatus = False # 挂单状态: True,已挂单，False，未挂单 + self.orderRef = EMPTY_STRING # OrderId + self.openStatus = False # 开仓状态 + self.closeStatus = False # 平仓状态 + + self.openDatetime = None + self.orderDatetime = None # 委托时间 + + def toJson(self): + """输出JSON""" + + j = {} + j['direction'] = self.direction + j['openPrice'] = self.openPrice # 开仓价格 + j['closePrice'] = self.closePrice # 平仓价格 + j['stopPrice'] = self.stopPrice # 止损价格 + + j['volume'] = self.volume # 开仓数量 + + j['tradedVolume'] = self.tradedVolume # 成交数量 + + j['orderStatus'] = self.orderStatus # 挂单状态: True,已挂单，False，未挂单 + j['orderRef'] = self.orderRef # OrderId + j['openStatus'] = self.openStatus # 开仓状态 + j['closeStatus'] = self.closeStatus # 平仓状态 + + if type(self.openDatetime) == type(None): + j['openDatetime'] = EMPTY_STRING + else: + try: + j['openDatetime'] = self.openDatetime.strftime('%Y-%m-%d %H:%M:%S') + except Exception: + j['openDatetime'] = EMPTY_STRING + + return j + + def toStr(self): + """输入字符串""" + + str = u'o:{0}/{1};c:{2}/{3},r:{4}/opentime:{5}/ordertime:{6}'\ + .format(self.openPrice, self.openStatus, self.closePrice, + self.closeStatus, self.orderRef, self.openDatetime, self.orderDatetime) + return str + +class CtaGridTrade(object): + """网格交易类 + 包括两个方向的网格队列， + """ + + def __init__(self, strategy, maxlots=5, height=2, win=2, vol=1): + """初始化 + maxlots,最大网格数 + height，网格高度（绝对值，包含minDiff） + win，盈利数（包含minDiff） + vol，网格开仓数 + """ + + self.strategy = strategy + + self.jsonName = self.strategy.name #策略名称 + + self.maxLots = maxlots # 缺省网格数量 + self.gridHeight = height # 最小网格高度（包含minDiff） + self.gridWin = win # 最小止盈高度（包含minDiff） + + self.volume = vol # 每次网格开仓数量 + self.volumeList = [1, 1, 1, 1, 1, 1, 1, 1, 1, 1] # 梯级开仓数量比例 + + self.upGrids = [] # 上网格列表，专门做空 + self.dnGrids = [] # 下网格列表，专门做多 + + def getVolume(self, gridIndex=EMPTY_INT): + """获取网格索引对应的开仓数量比例""" + + if gridIndex >= len(self.volumeList) or gridIndex < 0: + return 1 + rate = self.volumeList[gridIndex] + + if rate == 0: + return 1 + else: + return rate + + def initGrid(self, upline=EMPTY_FLOAT, dnline=EMPTY_FLOAT): + """初始化网格队列 + upline，上支撑线 + dnline，下阻力线 + """ + self.writeCtaLog(u'初始化网格队列，upline:{0},dnline:{1}'.format(upline, dnline)) + # 初始化上网格列表 + if len(self.upGrids) == 0: + + self.upGrids = self.load(direction= DIRECTION_SHORT) + + if len(self.upGrids) >0: + self.writeCtaLog(u'上网格从文件加载完成') + else: + # 做空，开仓价为上阻力线+网格高度*i，平仓价为开仓价-止盈高度，开仓数量为缺省 + for i in range(0, self.maxLots, 1): + grid = CtaGrid(direction=DIRECTION_SHORT, + openprice=upline+self.gridHeight*i, + closeprice=upline+self.gridHeight*i-self.gridWin, + volume=self.volume*self.getVolume(i)) + self.upGrids.append(grid) + + self.writeCtaLog(u'上网格{0}~{1}初始化完成'.format(upline,upline+self.gridHeight*self.maxLots)) + self.save(direction=DIRECTION_SHORT) + + + # 初始化下网格列表 + if len(self.dnGrids) == 0: + + self.dnGrids = self.load(direction= DIRECTION_LONG) + + if len(self.dnGrids) >0: + self.writeCtaLog(u'下网格从文件加载完成') + else: + + for i in range(0, self.maxLots, 1): + + # 做多，开仓价为下阻力线-网格高度*i，平仓价为开仓价+止盈高度，开仓数量为缺省 + grid = CtaGrid(direction=DIRECTION_LONG, + openprice=dnline - self.gridHeight * i, + closeprice=dnline - self.gridHeight * i + self.gridWin, + volume=self.volume*self.getVolume(i)) + self.dnGrids.append(grid) + + self.writeCtaLog(u'下网格{0}~{1}初始化完成'.format(dnline,dnline-self.gridHeight*self.maxLots)) + self.save(direction=DIRECTION_LONG) + + def writeCtaLog(self, log): + self.strategy.writeCtaLog(log) + + def toStr(self,direction): + """显示网格""" + + pendingCloseList = u'' # 平仓清单 + pendingOpenList = u'' # 开仓清单 + deactiveList = u'' # 待激活清单 + + if direction == DIRECTION_LONG: + for grid in self.dnGrids: + # 待平仓 + if grid.openStatus : + + if grid.tradedVolume == EMPTY_INT: + pendingCloseList = pendingCloseList + u'[{0}->{1},v:{2}];'\ + .format(grid.openPrice, grid.closePrice, grid.volume) + else: + pendingCloseList = pendingCloseList + u'[{0}->{1},v:{2}/{3}];'\ + .format(grid.openPrice, grid.closePrice, grid.volume, grid.tradedVolume) + + # 待开仓成交 + elif not grid.openStatus and grid.orderStatus: + if grid.tradedVolume == EMPTY_INT: + pendingOpenList = pendingOpenList + u'[{0},v:{1}];'.format(grid.openPrice, grid.volume) + else: + pendingOpenList = pendingOpenList + u'[{0},v:{1}/{2}];'\ + .format(grid.openPrice, grid.volume, grid.tradedVolume) + + # 等待挂单 + else: + deactiveList = deactiveList + u'[{0}];'.format(grid.openPrice) + + + return u'平:{0};开:{1};待:{2}'.format(pendingCloseList,pendingOpenList,deactiveList) + + if direction == DIRECTION_SHORT: + for grid in self.upGrids: + # 待平仓 + if grid.openStatus: + if grid.tradedVolume == EMPTY_INT: + pendingCloseList = pendingCloseList + u'[{0}->{1},v:{2}];'\ + .format(grid.openPrice, grid.closePrice, grid.volume) + else: + pendingCloseList = pendingCloseList + u'[{0}->{1},v:{2}/{3}];'\ + .format(grid.openPrice, grid.closePrice, grid.volume, grid.tradedVolume) + + # 待开仓成交 + elif not grid.openStatus and grid.orderStatus: + if grid.tradedVolume == EMPTY_INT: + pendingOpenList = pendingOpenList + u'[{0},v:{1}];'.format(grid.openPrice, grid.volume) + else: + pendingOpenList = pendingOpenList + u'[{0},v:{1}/{2}];'\ + .format(grid.openPrice, grid.volume, grid.tradedVolume) + + # 等待挂单 + else: + deactiveList = deactiveList + u'[{0}];'.format(grid.openPrice) + + return u'平:{0};开:{1};待:{2}'.format(pendingCloseList,pendingOpenList,deactiveList) + + def getGrids(self, direction, ordered=False, opened=False, closed=False, begin=EMPTY_FLOAT, end=EMPTY_FLOAT): + """获取未挂单的网格 + direction:做多、做空方向: 做多方向时，从dnGrids中获取; 做空方向时，从upGrids中获取 + ordered:是否已提交至服务器 + opened：是否已开仓 + closed：是否已平仓 + begin：开始价格, + end：结束价格， + """ + + # 状态一致，价格大于最低价格 + if direction == DIRECTION_LONG: + if begin == EMPTY_FLOAT: begin = 99999 + if end == EMPTY_FLOAT: end = - 99999 + grids = [x for x in self.dnGrids + if x.orderStatus == ordered + and x.openStatus == opened + and x.closeStatus == closed + and x.openPrice <= begin + and x.openPrice >= end] + + return grids + + # 状态一致，开仓价格小于最高价格 + if direction == DIRECTION_SHORT: + if begin == EMPTY_FLOAT: begin = -99999 + if end == EMPTY_FLOAT: end = 99999 + grids = [x for x in self.upGrids + if x.orderStatus == ordered + and x.openStatus == opened + and x.closeStatus == closed + and x.openPrice >= begin + and x.openPrice <= end] + + return grids + + def updateOrderRef(self, direction, openPrice, orderRef): + """更新网格的orderId""" + if direction == DIRECTION_LONG: + for x in self.dnGrids: + if x.openPrice == openPrice: + x.orderRef = orderRef + x.orderStatus = True + + if direction == DIRECTION_SHORT: + for x in self.upGrids: + if x.openPrice == openPrice: + x.orderRef = orderRef + x.orderStatus = True + + def cancelOrderRef(self,direction, openPrice): + """网格撤单""" + if direction == DIRECTION_LONG: + for x in self.dnGrids: + if x.openPrice == openPrice and x.orderRef != EMPTY_STRING and x.orderStatus==True and x.openStatus==False: + x.orderRef = EMPTY_STRING + x.orderStatus = False + self.writeCtaLog(u'下网格撤单[{0}]'.format(x.openPrice)) + + if direction == DIRECTION_SHORT: + for x in self.upGrids: + if x.openPrice == openPrice and x.orderRef != EMPTY_STRING and x.orderStatus==True and x.openStatus==False: + x.orderRef = EMPTY_STRING + x.orderStatus = False + self.writeCtaLog(u'上网格撤单[{0}]'.format(x.openPrice)) + + def getGrid(self, direction, openPrice=EMPTY_FLOAT, closePrice=EMPTY_FLOAT, orderRef=EMPTY_STRING, t=EMPTY_STRING): + """获取网格""" + + if direction == DIRECTION_LONG: + for x in self.dnGrids: + # 优先匹配价格 + if t == u'OpenPrice' and x.openPrice == openPrice: + return x + elif t == u'ClosePrice' and x.closePrice == closePrice: + return x + elif t == u'OrderRef' and x.orderRef == orderRef: + return x + + if direction == DIRECTION_SHORT: + for x in self.upGrids: + # 优先匹配价格 + if t == u'OpenPrice' and x.openPrice == openPrice: + return x + elif t == u'ClosePrice' and x.closePrice == closePrice: + return x + elif t == u'OrderRef' and x.orderRef == orderRef: + return x + + self.writeCtaLog(u'异常，找不到网格[{0},{1},{2},{3},{4}]'.format(direction, openPrice, closePrice, orderRef, t)) + return None + + def closeGrid(self, direction, closePrice, closeVolume): + """网格交易结束""" + if direction == DIRECTION_LONG: + for x in self.dnGrids: + if x.closePrice == closePrice and x.openStatus and x.volume == closeVolume: + self.writeCtaLog(u'下网格交易结束[{0}->{1}]，仓位:{2},移除网格'.format(x.openPrice, x.closePrice,closeVolume)) + self.dnGrids.remove(x) + return + + if x.closePrice == closePrice and x.openStatus and x.volume > closeVolume: + self.writeCtaLog(u'下网格交易部分结束[{0}->{1}],减少仓位:{2}'.format(x.openPrice, x.closePrice,closeVolume)) + x.volume = x.volume - closeVolume + + if x.closePrice == closePrice and x.openStatus and x.volume < closeVolume: + self.writeCtaLog(u'下网格交易结束[{0}->{1}],移除网格，剩余仓位:{2}'.format(x.openPrice, x.closePrice, closeVolume-x.volume)) + closeVolume = closeVolume - x.volume + self.dnGrids.remove(x) + + if direction == DIRECTION_SHORT: + for x in self.upGrids: + if x.closePrice == closePrice and x.openStatus and x.volume == closeVolume: + self.writeCtaLog(u'上网格交易结束[{0}->{1}]，仓位:{2},移除网格'.format(x.openPrice, x.closePrice,closeVolume)) + self.upGrids.remove(x) + return + + if x.closePrice == closePrice and x.openStatus and x.volume > closeVolume: + self.writeCtaLog(u'上网格交易结束[{0}->{1}]，仓位减少:{2}'.format(x.openPrice, x.closePrice,closeVolume)) + x.volume = x.volume - closeVolume + + if x.closePrice == closePrice and x.openStatus and x.volume < closeVolume: + self.writeCtaLog(u'上网格交易结束[{0}->{1}]，移除网格，剩余仓位:{2}'.format(x.openPrice, x.closePrice,closeVolume-x.volume)) + closeVolume = closeVolume - x.volume + self.upGrids.remove(x) + + + def removeGrids(self, direction, priceline): + """清除网格""" + if direction == DIRECTION_LONG: + for x in self.dnGrids[:]: + if x.openPrice > priceline and not x.orderStatus and not x.openStatus and not x.closeStatus: + self.writeCtaLog(u'清除下网格[open={0}]'.format(x.openPrice)) + self.dnGrids.remove(x) + + if direction == DIRECTION_SHORT: + for x in self.upGrids[:]: + if x.openPrice < priceline and not x.orderStatus and not x.openStatus and not x.closeStatus: + self.writeCtaLog(u'清除上网格[open={0}]'.format(x.openPrice)) + self.upGrids.remove(x) + + def rebuildGrids(self, direction, upline=EMPTY_FLOAT, dnline=EMPTY_FLOAT, midline=EMPTY_FLOAT): + """重新拉网 + 清除未挂单的网格， + 在上轨/下轨位置重新挂单 + """ + self.writeCtaLog(u'重新拉网:upline:{0},dnline:{1}'.format(upline, dnline)) + + if direction == DIRECTION_LONG: + minPriceInOrder = midline + removePrices = [] + # 移除未挂单的下网格 + for x in self.dnGrids[:]: + if not x.orderStatus and not x.openStatus and not x.closeStatus: + removePrices.append(x.openPrice) + self.dnGrids.remove(x) + else: + self.writeCtaLog(u'保留网格[open={0}]'.format(x.openPrice)) + if x.openPrice < minPriceInOrder : + minPriceInOrder = x.openPrice + + self.writeCtaLog(u'清除下网格[{0}]'.format(removePrices)) + + # 需要重建的剩余网格数量 + remainLots = len(self.dnGrids) + lots = self.maxLots - remainLots + + dnline = min(dnline, minPriceInOrder-self.gridHeight) + self.writeCtaLog(u'需要重建的网格数量:{0},起点:{1}'.format(lots, dnline)) + + if lots > 0: + + for i in range(0, lots, 1): + # 做多，开仓价为下阻力线-网格高度*i，平仓价为开仓价+止盈高度，开仓数量为缺省 + grid = CtaGrid(direction=DIRECTION_LONG, + openprice=dnline - self.gridHeight * i, + closeprice=dnline - self.gridHeight * i + self.gridWin, + volume=self.volume*self.getVolume(remainLots+i)) + + self.dnGrids.append(grid) + self.writeCtaLog(u'重新拉下网格:[{0}~{1}]'.format(dnline, dnline-self.gridHeight * lots)) + + if direction == DIRECTION_SHORT: + maxPriceInOrder = midline + removePrices = [] + # 移除未挂单的上网格 + for x in self.upGrids[:]: + if not x.orderStatus and not x.openStatus and not x.closeStatus: + removePrices.append(x.openPrice) + self.upGrids.remove(x) + else: + self.writeCtaLog(u'保留网格[open={0}]'.format(x.openPrice)) + if x.openPrice > maxPriceInOrder : + maxPriceInOrder = x.openPrice + + self.writeCtaLog(u'清除上网格[{0}]'.format(removePrices)) + + # 需要重建的剩余网格数量 + remainLots = len(self.upGrids) + lots = self.maxLots - remainLots + upline = max(upline, maxPriceInOrder+self.gridHeight) + self.writeCtaLog(u'需要重建的网格数量:{0},起点:{1}'.format(lots, upline)) + + if lots > 0: + # 做空，开仓价为上阻力线+网格高度*i，平仓价为开仓价-止盈高度，开仓数量为缺省 + for i in range(0, lots, 1): + grid = CtaGrid(direction=DIRECTION_SHORT, + openprice=upline+self.gridHeight*i, + closeprice=upline+self.gridHeight*i-self.gridWin, + volume=self.volume*self.getVolume(remainLots+i)) + self.upGrids.append(grid) + + self.writeCtaLog(u'重新拉上网格:[{0}~{1}]'.format(upline, upline+self.gridHeight * lots)) + + def save(self,direction): + """保存网格至本地Json文件""" + + # 保存上网格列表 + if len(self.upGrids) > 0 and direction == DIRECTION_SHORT: + + jsonFileName = self.jsonName + u'_upGrids.json' + + l = [] + for grid in self.upGrids: + l.append(grid.toJson()) + + with open(jsonFileName, 'w') as f: + + jsonL = json.dumps(l, indent=4) + f.write(jsonL) + + #self.writeCtaLog(u'上网格保存文件{0}完成'.format(jsonFileName)) + + # 保存上网格列表 + if len(self.dnGrids) > 0 and direction == DIRECTION_LONG: + + jsonFileName = self.jsonName + u'_dnGrids.json' + + l = [] + for grid in self.dnGrids: + l.append(grid.toJson()) + + with open(jsonFileName, 'w') as f: + + jsonL = json.dumps(l, indent=4) + f.write(jsonL) + + #self.writeCtaLog(u'下网格保存文件{0}完成'.format(jsonFileName)) + + def load(self, direction): + """加载本地Json至网格""" + + if direction == DIRECTION_SHORT: + jsonFileName = self.jsonName + u'_upGrids.json' + self.writeCtaLog(u'开始加载上网格文件{0}'.format(jsonFileName)) + if direction == DIRECTION_LONG: + jsonFileName = self.jsonName + u'_dnGrids.json' + self.writeCtaLog(u'开始加载上网格文件{0}'.format(jsonFileName)) + + if not os.path.isfile(jsonFileName) : + self.writeCtaLog(u'网格保存文件{0}不存在'.format(jsonFileName)) + return [] + + try: + f = file(jsonFileName) + except IOError: + self.writeCtaLog(u'读取网格出错，请检查') + return [] + + # 解析json文件 + l = json.load(f) + + grids = [] + + if len(l) > 0: + + for i in l: + closePrice = float(i['closePrice']) + openPrice = float(i['openPrice']) + stopPrice = float(i['stopPrice']) + + self.writeCtaLog(u'load Grid:open:{0},close:{1},stop:{2}'.format(openPrice, closePrice, stopPrice)) + + grid = CtaGrid(direction=i['direction'], openprice=openPrice, closeprice=closePrice, + stopprice=stopPrice, volume=i['volume']) + grid.orderStatus = i['orderStatus'] # 挂单状态: True,已挂单，False，未挂单 + grid.orderRef = i['orderRef'] # OrderId + grid.openStatus = i['openStatus'] # 开仓状态 + grid.closeStatus = i['closeStatus'] # 平仓状态 + strTime = i['openDatetime'] + if strTime == EMPTY_STRING or type(strTime)==type(None): + grid.openDatetime = None + else: + grid.openDatetime = datetime.strptime(strTime, '%Y-%m-%d %H:%M:%S') + + try: + grid.tradedVolume = i['tradedVolume'] # 已交易的合约数量 + except KeyError: + grid.tradedVolume = EMPTY_INT + + self.writeCtaLog(grid.toStr()) + + grids.append(grid) + + else: + self.writeCtaLog(u'解析网格出错，设置为空列表') + + f.close() + return grids + + + + + + + + + + + +