# encoding: UTF-8 # 首先写系统内置模块 import sys print u'demoStrategy.py import sys success' from datetime import datetime, timedelta, time print u'demoStrategy.py import datetime.datetime/timedelta/time success' from time import sleep print u'demoStrategy.py import time.sleep success' # 然后是第三方库模块（如PyQt4等） import sip print u'demoStrategy.py import sip success' from PyQt4 import QtCore print u'demoStrategy.py import PyQt4.QtCore success' # 然后是自己编写的模块 from demoEngine import MainEngine print u'demoStrategy.py import demoEngine.MainEngine success' from strategyEngine import * ######################################################################## class SimpleEmaStrategy(StrategyTemplate): """简单双指数移动均线EMA演示策略""" #---------------------------------------------------------------------- def __init__(self, name, symbol, engine): """Constructor""" 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 # 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 # K线缓存对象 self.barOpen = 0 self.barHigh = 0 self.barLow = 0 self.barClose = 0 self.barVolume = 0 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 = [] # 持仓 self.pos = 0 # 报单代码列表 self.listOrderRef = [] # 报单号列表 self.listStopOrder = [] # 停止单对象列表 # EMA均线 self.fastEMA = 0 # 快速EMA的数值 self.slowEMA = 0 # 慢速EMA的数值 # 是否完成了初始化 self.initCompleted = False # 初始化时读取的历史数据的起始日期(可以选择外部设置) self.startDate = None # Added by Incense Lee # 属于updateMarketData推送的第一个Tick数据,忽略交易逻辑 self.firstMarketTick = True self.lineBar = [] # K线数据 self.lineEMA = [] # 快速、慢速EMA数据 #---------------------------------------------------------------------- def loadSetting(self, setting): """读取参数设定""" try: self.fastAlpha = setting['fastAlpha'] self.slowAlpha = setting['slowAlpha'] self.engine.writeLog(self.name + u'读取参数成功') except KeyError: self.engine.writeLog(self.name + u'读取参数设定出错，请检查参数字典') try: self.initStrategy(setting['startDate']) except KeyError: self.initStrategy() #---------------------------------------------------------------------- def initStrategy(self, startDate=None): """初始化""" 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) 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.loadTickFromMysql(self.symbol, historyStartDate,today-td) if cx: for data in cx: tick = Tick(data['InstrumentID']) # tick = Tick(InstrumentID) # tick.openPrice = data['OpenPrice'] # tick.highPrice = data['HighestPrice'] # tick.lowPrice = data['LowestPrice'] tick.lastPrice = float(data['LastPrice']) tick.volume = data['Volume'] tick.openInterest = data['OpenInterest'] # tick.upperLimit = data['UpperLimitPrice'] # tick.lowerLimit = data['LowerLimitPrice'] tick.time = data['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.askPrice1 = float(data['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.askVolume1 = data['AskVolume1'] # tick.askVolume2 = data['AskVolume2'] # tick.askVolume3 = data['AskVolume3'] # tick.askVolume4 = data['AskVolume4'] # tick.askVolume5 = data['AskVolume5'] self.onTick(tick) self.initCompleted = True self.engine.writeLog(self.name + u'初始化完成') #---------------------------------------------------------------------- def onTick(self, tick): """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 = tick.time # 假设是收到的第一个TICK if self.barOpen == 0: # 初始化新的K线数据 self.barOpen = tick.lastPrice self.barHigh = tick.lastPrice self.barLow = tick.lastPrice self.barClose = tick.lastPrice self.barVolume = tick.volume self.barTime = ticktime else: # 如果是当前一分钟内的数据 if ticktime.minute == self.barTime.minute and ticktime.hour == self.barTime.hour: # 汇总TICK生成K线 self.barHigh = max(self.barHigh, tick.lastPrice) self.barLow = min(self.barLow, tick.lastPrice) self.barClose = tick.lastPrice self.barVolume = self.barVolume + tick.volume self.barTime = ticktime # 如果是新一分钟的数据 else: # 首先推送K线数据 self.onBar(self.barOpen, self.barHigh, self.barLow, self.barClose, self.barVolume, self.barTime) # 初始化新的K线数据 self.barOpen = tick.lastPrice self.barHigh = tick.lastPrice self.barLow = tick.lastPrice self.barClose = tick.lastPrice self.barVolume = tick.volume self.barTime = ticktime #---------------------------------------------------------------------- def onTrade(self, trade): """交易更新""" if trade.direction == DIRECTION_BUY: self.pos = self.pos + trade.volume else: self.pos = self.pos - trade.volume log = self.name + u'当前持仓：' + str(self.pos) print log self.engine.writeLog(log) #---------------------------------------------------------------------- def onOrder(self, order): """报单更新""" pass #---------------------------------------------------------------------- def onStopOrder(self, orderRef): """停止单更新""" pass #---------------------------------------------------------------------- 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) # 保存K线数据 bar = Bar() bar.symbol = self.symbol bar.open = o bar.high = h bar.low = l bar.close = c bar.volume = volume bar.date = t.strftime('%Y-%m-%d') bar.time = t.strftime('%H:%M:%S') bar.datetime = t self.lineBar.append(bar) # 计算EMA if self.fastEMA: self.fastEMA = c*self.fastAlpha + self.fastEMA*(1-self.fastAlpha) self.slowEMA = c*self.slowAlpha + self.slowEMA*(1-self.slowAlpha) else: self.fastEMA = c self.slowEMA = c emaData = EmaData() emaData.symbol = self.symbol emaData.fastEMA = self.fastEMA emaData.slowEMA = self.slowEMA emaData.date = t.strftime('%Y-%m-%d') emaData.time = t.strftime('%H:%M:%S') emaData.datetime = t self.lineEMA.append(emaData) # 交易逻辑 if self.initCompleted: # 首先检查是否是实盘运行还是数据预处理阶段 # Added by Incense Lee # 属于updateMarketData推送的第一个Tick数据,忽略交易逻辑 if self.firstMarketTick: self.firstMarketTick = False return # End added # 快速EMA在慢速EMA上方，做多 if self.fastEMA > self.slowEMA: # 如果当前手头无仓位，则直接做多 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.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.lastPrice, 1, t) # 价格，数量， 下单时间 # 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.lastPrice, 1, t) elif self.pos > 0: # self.sell(self.currentTick.lowerLimit, 1) self.sell(self.currentTick.lastPrice, 1, t) # self.short(self.currentTick.lowerLimit, 1) self.short(self.currentTick.lastPrice, 1, t) # 记录日志 log = self.name + u'，K线时间：' + str(t) + '\n' + \ u'，快速EMA：' + str(self.fastEMA) + u'，慢速EMA：' + \ str(self.slowEMA) self.engine.writeLog(log) #---------------------------------------------------------------------- def strToTime(self, t, ms): """从字符串时间转化为time格式的时间""" hh, mm, ss = t.split(':') tt = time(int(hh), int(mm), int(ss), microsecond=ms) return tt #---------------------------------------------------------------------- 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) # 保存快速EMA和慢速EMA self.engine.saveEmaToMysql(id, self.lineEMA) #---------------------------------------------------------------------- def print_log(event): """打印日志""" log = event.dict_['log'] print str(datetime.now()), ':', log #---------------------------------------------------------------------- def main(): """运行在CMD中的演示程度""" # 创建PyQt4应用对象 app = QtCore.QCoreApplication(sys.argv) print u'demoStrategy.py Main call QtCore.QCoreApplication(sys.argv) success' # 创建主引擎对象 me = MainEngine() print u'demoStrategy.py Main call MainEngine() success' # 注册事件监听 me.ee.register(EVENT_LOG, print_log) # 登录 userid = '033513' password = 'jiajia' brokerid = '9999' mdAddress = 'tcp://180.168.146.187:10010' tdAddress = 'tcp://180.168.146.187:10000' me.login(userid, password, brokerid, mdAddress, tdAddress) # 等待10秒钟（初始化合约数据等） sleep(5) # 创建策略引擎对象 se = StrategyEngine(me.ee, me) # 创建策略对象 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', 'a', SimpleEmaStrategy, setting) # 启动所有策略 se.startAll() # 让程序连续运行 sys.exit(app.exec_()) if __name__ == '__main__': main()