update

vn.trader/ctaStrategy/ctaBacktesting.py

@@ -1133,17 +1133,17 @@ class BacktestingEngine(object):
 
         self.writeCtaLog(u'加载回测日期:{0}的价差tick'.format(testday))
         p = re.compile(r"([A-Z]+)[0-9]+",re.I)
-
         leg1_shortSymbol = p.match(leg1Symbol)
         leg2_shortSymbol = p.match(leg2Symbol)
 
         if leg1_shortSymbol is None or leg2_shortSymbol is None:
-            self.writeCtaLog(u'{0},{1}不能正则分解'.format(leg1Symbol,leg2Symbol))
+            self.writeCtaLog(u'{0},{1}不能正则分解'.format(leg1Symbol, leg2Symbol))
             return
 
         leg1_shortSymbol = leg1_shortSymbol.group(1)
         leg2_shortSymbol = leg2_shortSymbol.group(1)
 
+
         # E:\Ticks\SQ\2014\201401\20140102\ag01_20140102.csv
         leg1File = u'e:\\ticks\\{0}\\{1}\\{2}\\{3}\\{4}{5}_{3}.csv' \
             .format(leg1MainPath, testday.strftime('%Y'), testday.strftime('%Y%m'), testday.strftime('%Y%m%d'), leg1_shortSymbol, leg1Symbol[-2:])

vn.trader/ctaStrategy/ctaBase.py

@@ -7,11 +7,6 @@
 from __future__ import division
 
 
-# 把vn.trader根目录添加到python环境变量中
-import sys
-sys.path.append('..')
-
-
 # 常量定义
 # CTA引擎中涉及到的交易方向类型
 CTAORDER_BUY = u'买开'
@@ -59,6 +54,13 @@ MINUTE_DB_NAME = 'VnTrader_1Min_Db'
 ENGINETYPE_BACKTESTING = 'backtesting'  # 回测
 ENGINETYPE_TRADING = 'trading'          # 实盘
 
+import sys
+import os
+
+trader_path = os.path.abspath(os.path.join(os.path.dirname(__file__), '..'))
+if trader_path not in sys.path:
+    sys.path.append(trader_path)
+
 # CTA引擎中涉及的数据类定义
 from vtConstant import *
 

vn.trader/ctaStrategy/ctaEngine.py

@@ -33,6 +33,7 @@ from vtConstant import *
 from vtGateway import VtSubscribeReq, VtOrderReq, VtCancelOrderReq, VtLogData
 from vtFunction import todayDate
 import logging
+import re
 
 
 ########################################################################
@@ -646,6 +647,16 @@ class CtaEngine(object):
         for symbol in self.pendingSubcribeSymbols.keys():
             contract = self.mainEngine.getContract(symbol)
             if contract:
+                # 获取合约的缩写号
+                s = self.getShortSymbol(symbol)
+                if s == symbol:    # 合约缩写提取失败
+                    continue
+
+                dt = datetime.now()
+                # 若为中金所的合约，白天才提交订阅请求
+                if s in MARKET_ZJ and not(8 < dt.hour < 16):
+                    continue
+
                 self.writeCtaLog(u'重新提交合约{0}订阅请求'.format(symbol))
                 strategy = self.pendingSubcribeSymbols[symbol]
                 self.subscribe(strategy=strategy, symbol=symbol)
@@ -869,6 +880,18 @@ class CtaEngine(object):
         self.posBufferDict = {}
         self.stopOrderDict = {}
 
+    def getShortSymbol(self, symbol):
+        """取得合约的短号"""
+        p = re.compile(r"([A-Z]+)[0-9]+", re.I)
+        shortSymbol = p.match(symbol)
+
+        if shortSymbol is None :
+            self.writeCtaLog(u'{0}不能正则分解'.format(symbol))
+            return symbol
+
+        return shortSymbol.group(1)
+
+
 ########################################################################
 class PositionBuffer(object):
     """持仓缓存信息（本地维护的持仓数据）"""

vn.trader/ctaStrategy/ctaGridTrade.py

@@ -159,7 +159,6 @@ class CtaGridTrade(object):
             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
@@ -408,13 +407,13 @@ class CtaGridTrade(object):
             remainLots = len(self.dnGrids)
             lots = self.maxLots - remainLots
 
-            dnline = min(dnline, minPriceInOrder-self.gridHeight)
+            dnline = min(dnline, minPriceInOrder-self.gridHeight*dnRate)
             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
-                    open_price = int((dnline - self.gridHeight * (i - 1 + dnRate)* dnRate) / self.minDiff ) * self.minDiff
+                    open_price = int((dnline - self.gridHeight * i * dnRate) / self.minDiff ) * self.minDiff
                     close_price = int((open_price + self.gridWin* dnRate)/self.minDiff) * self.minDiff
 
                     grid = CtaGrid(direction=DIRECTION_LONG,
@@ -443,13 +442,13 @@ class CtaGridTrade(object):
             # 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)
+            upline = max(upline, maxPriceInOrder+self.gridHeight*upRate)
             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):
-                    open_price = int((upline + self.gridHeight *( i -1 + upRate) * upRate) / self.minDiff) * self.minDiff
+                    open_price = int((upline + self.gridHeight * i * upRate) / self.minDiff) * self.minDiff
                     close_price = int((open_price - self.gridWin * upRate) / self.minDiff) * self.minDiff
 
                     grid = CtaGrid(direction=DIRECTION_SHORT,

vn.trader/ctaStrategy/ctaLineBar.py

@@ -1412,10 +1412,16 @@ class CtaLineBar(object):
 
     def __recountKF(self):
         """计算卡尔曼过滤器均线"""
-        min_len = 200
+        min_len = 20
         if not self.inputKF or self.kf is None:
             return
+
         if len(self.lineBar) < min_len:
+            # 数量不足时，不做滤波处理，直接吻合（若改为EMA更好）
+            if self.mode == self.TICK_MODE and len(self.lineBar)>1:
+                self.lineStateMean.append(self.lineBar[-2].close)
+            else:
+                self.lineStateMean.append(self.lineBar[-1].close)
             return
 
         if len(self.lineStateMean) ==0 or len(self.lineStateCovar) ==0:
@@ -1448,7 +1454,7 @@ class CtaLineBar(object):
         if len(self.lineStateCovar) > min_len:
             del self.lineStateCovar[0]
 
-        self.lineStateMean.append(m )
+        self.lineStateMean.append(m)
         self.lineStateCovar.append(c)
 
     # ----------------------------------------------------------------------

vn.trader/language/__init__.py

@@ -3,6 +3,7 @@
 import json
 import os
 
+
 # 默认设置
 from chinese import text, constant
 

vn.trader/language/chinese/constant.py

@@ -1,15 +1,5 @@
 # encoding: UTF-8
 
-# 默认空值
-EMPTY_STRING = ''
-EMPTY_UNICODE = u''
-EMPTY_INT = 0
-EMPTY_FLOAT = 0.0
-
-# k线颜色
-COLOR_RED = u'Red'      # 上升K线
-COLOR_BLUE = u'Blue'    # 下降K线
-COLOR_EQUAL = u'Equal'  # 平K线
 
 # 方向常量
 DIRECTION_NONE = u'无方向'

vn.trader/language/english/constant.py

@@ -1,16 +1,5 @@
 # encoding: UTF-8
 
-# 默认空值
-EMPTY_STRING = ''
-EMPTY_UNICODE = u''
-EMPTY_INT = 0
-EMPTY_FLOAT = 0.0
-
-# k线颜色
-COLOR_RED = u'Red'      # 上升K线
-COLOR_BLUE = u'Blue'    # 下降K线
-COLOR_EQUAL = u'Equal'  # 平K线
-
 
 # 方向常量
 DIRECTION_NONE = u'none'

vn.trader/utilSinaClient.py

@@ -6,8 +6,8 @@ from __future__ import print_function
 import requests
 from time import sleep
 import execjs
-from datetime import datetime,timedelta
+from datetime import datetime, timedelta
-from ctaBase import CtaBarData,CtaTickData
+from ctaStrategy.ctaBase import CtaBarData, CtaTickData
 
 class UtilSinaClient(object):
 
@@ -64,10 +64,10 @@ class UtilSinaClient(object):
 
     def getTicks2(self, symbol, callback):
 
-        # 从sina加载最新的M1数据
+        # 从sina加载最新的M1数据(针对中金所）
         try:
 
-            url = url = u'http://stock2.finance.sina.com.cn/futures/api/jsonp.php/var%20t1nf_{0}=/InnerFuturesNewService.getMinLine?symbol={0}'.format(symbol)
+            #url = u'http://stock2.finance.sina.com.cn/futures/api/jsonp.php/var%20t1nf_{0}=/InnerFuturesNewService.getMinLine?symbol={0}'.format(symbol)
             self.strategy.writeCtaLog(u'从sina下载{0}Tick数据 {1}'.format(symbol, url))
 
             response_data= self.session.get(url).content
@@ -106,6 +106,50 @@ class UtilSinaClient(object):
             self.strategy.writeCtaLog(u'加载sina历史Tick数据失败：' + str(e))
             return False
 
+    def getTicks3(self, symbol, callback):
+
+        # 从sina加载最新的5日内M1数据(针对中金所）
+        try:
+            url = u'http://stock2.finance.sina.com.cn/futures/api/jsonp.php/var%20t5nf_{0}=/InnerFuturesNewService.getFourDaysLine?symbol={0}'.format(symbol)
+
+            self.strategy.writeCtaLog(u'从sina下载{0}Tick数据 {1}'.format(symbol, url))
+
+            response_data= self.session.get(url).content
+            response_data = response_data.decode('gbk').split('=')[-1]
+            response_data = response_data.replace('(', '')
+            response_data = response_data.replace(');', '')
+            responses= execjs.eval(response_data)
+            datevalue = datetime.now().strftime('%Y-%m-%d')
+
+            for j, day_item in enumerate(responses):
+                for i, item in enumerate(day_item):
+
+                    tick = CtaTickData()
+                    tick.vtSymbol = symbol
+                    tick.symbol = symbol
+
+                    if len(item) >= 6:
+                        datevalue = item[6]
+
+                    tick.date = datevalue
+                    tick.time = item[0] + u':00'
+                    tick.datetime = datetime.strptime(tick.date + ' ' + tick.time, '%Y-%m-%d %H:%M:%S')
+
+                    tick.lastPrice = float(item[1])
+                    tick.volume = int(item[3])
+
+                    if type(item[4]) == type(None):
+                        tick.openInterest = 0
+                    else:
+                        tick.openInterest = int(item[4])
+
+                    callback(tick)
+
+            return True
+
+        except Exception as e:
+            self.strategy.writeCtaLog(u'加载sina历史Tick数据失败：' + str(e))
+            return False
 
     def getMinBars(self, symbol, minute, callback):
         """# 从sina加载最新的M5,M15,M30,M60数据"""
@@ -256,4 +300,5 @@ if __name__ == '__main__':
 
     #rt = sina.getTicks(symbol='RB1705', callback=t.addTick)
 
-    rt = sina.getTicks2(symbol='TF1706', callback=t.addTick)
+    #rt = sina.getTicks2(symbol='TF1706', callback=t.addTick)
+    rt = sina.getTicks3(symbol='TF1709', callback=t.addTick)

vn.trader/vtConstant.py

@@ -1,6 +1,19 @@
 # encoding: UTF-8
 
 print 'laoding vntrader.vtConstant'
+
+# 默认空值
+EMPTY_STRING = ''
+EMPTY_UNICODE = u''
+EMPTY_INT = 0
+EMPTY_FLOAT = 0.0
+
+# k线颜色
+COLOR_RED = u'Red'      # 上升K线
+COLOR_BLUE = u'Blue'    # 下降K线
+COLOR_EQUAL = u'Equal'  # 平K线
+
+
 from language import constant
 
 # 将常量定义添加到vtConstant.py的局部字典中