update
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msincenselee
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2b0f13069b
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@ -1133,7 +1133,6 @@ class BacktestingEngine(object):
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self.writeCtaLog(u'加载回测日期:{0}的价差tick'.format(testday))
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p = re.compile(r"([A-Z]+)[0-9]+",re.I)
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leg1_shortSymbol = p.match(leg1Symbol)
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leg2_shortSymbol = p.match(leg2Symbol)
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@ -1144,6 +1143,7 @@ class BacktestingEngine(object):
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leg1_shortSymbol = leg1_shortSymbol.group(1)
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leg2_shortSymbol = leg2_shortSymbol.group(1)
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# E:\Ticks\SQ\2014\201401\20140102\ag01_20140102.csv
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leg1File = u'e:\\ticks\\{0}\\{1}\\{2}\\{3}\\{4}{5}_{3}.csv' \
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.format(leg1MainPath, testday.strftime('%Y'), testday.strftime('%Y%m'), testday.strftime('%Y%m%d'), leg1_shortSymbol, leg1Symbol[-2:])
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@ -7,11 +7,6 @@
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from __future__ import division
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# 把vn.trader根目录添加到python环境变量中
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import sys
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sys.path.append('..')
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# 常量定义
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# CTA引擎中涉及到的交易方向类型
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CTAORDER_BUY = u'买开'
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@ -59,6 +54,13 @@ MINUTE_DB_NAME = 'VnTrader_1Min_Db'
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ENGINETYPE_BACKTESTING = 'backtesting' # 回测
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ENGINETYPE_TRADING = 'trading' # 实盘
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import sys
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import os
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trader_path = os.path.abspath(os.path.join(os.path.dirname(__file__), '..'))
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if trader_path not in sys.path:
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sys.path.append(trader_path)
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# CTA引擎中涉及的数据类定义
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from vtConstant import *
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@ -33,6 +33,7 @@ from vtConstant import *
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from vtGateway import VtSubscribeReq, VtOrderReq, VtCancelOrderReq, VtLogData
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from vtFunction import todayDate
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import logging
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import re
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########################################################################
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@ -646,6 +647,16 @@ class CtaEngine(object):
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for symbol in self.pendingSubcribeSymbols.keys():
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contract = self.mainEngine.getContract(symbol)
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if contract:
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# 获取合约的缩写号
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s = self.getShortSymbol(symbol)
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if s == symbol: # 合约缩写提取失败
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continue
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dt = datetime.now()
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# 若为中金所的合约，白天才提交订阅请求
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if s in MARKET_ZJ and not(8 < dt.hour < 16):
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continue
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self.writeCtaLog(u'重新提交合约{0}订阅请求'.format(symbol))
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strategy = self.pendingSubcribeSymbols[symbol]
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self.subscribe(strategy=strategy, symbol=symbol)
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@ -869,6 +880,18 @@ class CtaEngine(object):
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self.posBufferDict = {}
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self.stopOrderDict = {}
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def getShortSymbol(self, symbol):
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"""取得合约的短号"""
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p = re.compile(r"([A-Z]+)[0-9]+", re.I)
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shortSymbol = p.match(symbol)
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if shortSymbol is None :
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self.writeCtaLog(u'{0}不能正则分解'.format(symbol))
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return symbol
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return shortSymbol.group(1)
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########################################################################
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class PositionBuffer(object):
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"""持仓缓存信息（本地维护的持仓数据）"""
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@ -159,7 +159,6 @@ class CtaGridTrade(object):
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if len(self.dnGrids) >0:
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self.writeCtaLog(u'下网格从文件加载完成')
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else:
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for i in range(0, self.maxLots, 1):
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# 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
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@ -408,13 +407,13 @@ class CtaGridTrade(object):
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remainLots = len(self.dnGrids)
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lots = self.maxLots - remainLots
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dnline = min(dnline, minPriceInOrder-self.gridHeight)
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dnline = min(dnline, minPriceInOrder-self.gridHeight*dnRate)
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self.writeCtaLog(u'需要重建的网格数量:{0},起点:{1}'.format(lots, dnline))
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if lots > 0:
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for i in range(0, lots, 1):
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# 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
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open_price = int((dnline - self.gridHeight * (i - 1 + dnRate)* dnRate) / self.minDiff ) * self.minDiff
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open_price = int((dnline - self.gridHeight * i * dnRate) / self.minDiff ) * self.minDiff
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close_price = int((open_price + self.gridWin* dnRate)/self.minDiff) * self.minDiff
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grid = CtaGrid(direction=DIRECTION_LONG,
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@ -443,13 +442,13 @@ class CtaGridTrade(object):
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# 需要重建的剩余网格数量
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remainLots = len(self.upGrids)
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lots = self.maxLots - remainLots
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upline = max(upline, maxPriceInOrder+self.gridHeight)
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upline = max(upline, maxPriceInOrder+self.gridHeight*upRate)
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self.writeCtaLog(u'需要重建的网格数量:{0},起点:{1}'.format(lots, upline))
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if lots > 0:
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# 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
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for i in range(0, lots, 1):
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open_price = int((upline + self.gridHeight *( i -1 + upRate) * upRate) / self.minDiff) * self.minDiff
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open_price = int((upline + self.gridHeight * i * upRate) / self.minDiff) * self.minDiff
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close_price = int((open_price - self.gridWin * upRate) / self.minDiff) * self.minDiff
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grid = CtaGrid(direction=DIRECTION_SHORT,
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@ -1412,10 +1412,16 @@ class CtaLineBar(object):
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def __recountKF(self):
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"""计算卡尔曼过滤器均线"""
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min_len = 200
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min_len = 20
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if not self.inputKF or self.kf is None:
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return
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if len(self.lineBar) < min_len:
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# 数量不足时，不做滤波处理，直接吻合（若改为EMA更好）
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if self.mode == self.TICK_MODE and len(self.lineBar)>1:
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self.lineStateMean.append(self.lineBar[-2].close)
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else:
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self.lineStateMean.append(self.lineBar[-1].close)
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return
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if len(self.lineStateMean) ==0 or len(self.lineStateCovar) ==0:
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@ -3,6 +3,7 @@
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import json
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import os
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# 默认设置
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from chinese import text, constant
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@ -1,15 +1,5 @@
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# encoding: UTF-8
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# 默认空值
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EMPTY_STRING = ''
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EMPTY_UNICODE = u''
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EMPTY_INT = 0
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EMPTY_FLOAT = 0.0
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# k线颜色
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COLOR_RED = u'Red' # 上升K线
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COLOR_BLUE = u'Blue' # 下降K线
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COLOR_EQUAL = u'Equal' # 平K线
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# 方向常量
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DIRECTION_NONE = u'无方向'
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@ -1,16 +1,5 @@
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# encoding: UTF-8
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# 默认空值
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EMPTY_STRING = ''
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EMPTY_UNICODE = u''
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EMPTY_INT = 0
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EMPTY_FLOAT = 0.0
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# k线颜色
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COLOR_RED = u'Red' # 上升K线
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COLOR_BLUE = u'Blue' # 下降K线
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COLOR_EQUAL = u'Equal' # 平K线
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# 方向常量
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DIRECTION_NONE = u'none'
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@ -7,7 +7,7 @@ import requests
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from time import sleep
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import execjs
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from datetime import datetime, timedelta
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from ctaBase import CtaBarData,CtaTickData
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from ctaStrategy.ctaBase import CtaBarData, CtaTickData
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class UtilSinaClient(object):
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@ -64,10 +64,10 @@ class UtilSinaClient(object):
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def getTicks2(self, symbol, callback):
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# 从sina加载最新的M1数据
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# 从sina加载最新的M1数据(针对中金所）
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try:
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url = url = u'http://stock2.finance.sina.com.cn/futures/api/jsonp.php/var%20t1nf_{0}=/InnerFuturesNewService.getMinLine?symbol={0}'.format(symbol)
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#url = u'http://stock2.finance.sina.com.cn/futures/api/jsonp.php/var%20t1nf_{0}=/InnerFuturesNewService.getMinLine?symbol={0}'.format(symbol)
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self.strategy.writeCtaLog(u'从sina下载{0}Tick数据 {1}'.format(symbol, url))
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response_data= self.session.get(url).content
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@ -106,6 +106,50 @@ class UtilSinaClient(object):
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self.strategy.writeCtaLog(u'加载sina历史Tick数据失败：' + str(e))
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return False
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def getTicks3(self, symbol, callback):
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# 从sina加载最新的5日内M1数据(针对中金所）
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try:
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url = u'http://stock2.finance.sina.com.cn/futures/api/jsonp.php/var%20t5nf_{0}=/InnerFuturesNewService.getFourDaysLine?symbol={0}'.format(symbol)
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self.strategy.writeCtaLog(u'从sina下载{0}Tick数据 {1}'.format(symbol, url))
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response_data= self.session.get(url).content
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response_data = response_data.decode('gbk').split('=')[-1]
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response_data = response_data.replace('(', '')
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response_data = response_data.replace(');', '')
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responses= execjs.eval(response_data)
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datevalue = datetime.now().strftime('%Y-%m-%d')
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for j, day_item in enumerate(responses):
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for i, item in enumerate(day_item):
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tick = CtaTickData()
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tick.vtSymbol = symbol
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tick.symbol = symbol
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if len(item) >= 6:
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datevalue = item[6]
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tick.date = datevalue
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tick.time = item[0] + u':00'
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tick.datetime = datetime.strptime(tick.date + ' ' + tick.time, '%Y-%m-%d %H:%M:%S')
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tick.lastPrice = float(item[1])
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tick.volume = int(item[3])
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if type(item[4]) == type(None):
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tick.openInterest = 0
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else:
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tick.openInterest = int(item[4])
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callback(tick)
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return True
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except Exception as e:
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self.strategy.writeCtaLog(u'加载sina历史Tick数据失败：' + str(e))
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return False
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def getMinBars(self, symbol, minute, callback):
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"""# 从sina加载最新的M5,M15,M30,M60数据"""
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@ -256,4 +300,5 @@ if __name__ == '__main__':
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#rt = sina.getTicks(symbol='RB1705', callback=t.addTick)
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rt = sina.getTicks2(symbol='TF1706', callback=t.addTick)
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#rt = sina.getTicks2(symbol='TF1706', callback=t.addTick)
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rt = sina.getTicks3(symbol='TF1709', callback=t.addTick)
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@ -1,6 +1,19 @@
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# encoding: UTF-8
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print 'laoding vntrader.vtConstant'
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# 默认空值
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EMPTY_STRING = ''
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EMPTY_UNICODE = u''
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EMPTY_INT = 0
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EMPTY_FLOAT = 0.0
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# k线颜色
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COLOR_RED = u'Red' # 上升K线
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COLOR_BLUE = u'Blue' # 下降K线
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COLOR_EQUAL = u'Equal' # 平K线
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from language import constant
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# 将常量定义添加到vtConstant.py的局部字典中
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