# encoding: UTF-8 from datetime import datetime,timedelta print u'StragegyEngine.py import datetime.datetime success' from pymongo import MongoClient as Connection print u'demoStrategy.py import pymongo.Connection success' from pymongo.errors import * print u'demoStrategy.py import pymongo.errors.* success' from eventEngine import * print u'demoStrategy.py import eventEngine.* success' from vtConstant import * import MySQLdb import os import sys import cPickle import json # 常量定义 OFFSET_OPEN = '0' # 开仓 OFFSET_CLOSE = '1' # 平仓 DIRECTION_BUY = '0' # 买入 多 DIRECTION_SELL = '1' # 卖出 空 PRICETYPE_LIMIT = '2' # 限价 # buy 买入开仓 开多 : DIRECTION_BUY = '0' OFFSET_OPEN = '0' # sell 卖出平仓 平多 : DIRECTION_SELL = '1' OFFSET_CLOSE = '1' # short 卖出开仓 开空 : DIRECTION_SELL = '1' OFFSET_OPEN = '0' # cover 买入平仓 平空 : DIRECTION_BUY = '0' OFFSET_CLOSE = '1' ######################################################################## class Tick: """Tick数据对象""" #---------------------------------------------------------------------- def __init__(self, symbol): """Constructor""" self.symbol = symbol # 合约代码 self.openPrice = 0 # OHLC self.highPrice = 0 self.lowPrice = 0 self.lastPrice = 0 self.volume = 0 # 成交量 self.openInterest = 0 # 持仓量 self.upperLimit = 0 # 涨停价 self.lowerLimit = 0 # 跌停价 self.time = '' # 更新时间和毫秒 self.ms= 0 self.bidPrice1 = 0 # 深度行情 self.bidPrice2 = 0 self.bidPrice3 = 0 self.bidPrice4 = 0 self.bidPrice5 = 0 self.askPrice1 = 0 self.askPrice2 = 0 self.askPrice3 = 0 self.askPrice4 = 0 self.askPrice5 = 0 self.bidVolume1 = 0 self.bidVolume2 = 0 self.bidVolume3 = 0 self.bidVolume4 = 0 self.bidVolume5 = 0 self.askVolume1 = 0 self.askVolume2 = 0 self.askVolume3 = 0 self.askVolume4 = 0 self.askVolume5 = 0 ######################################################################## class Bar(object): """K线数据""" #---------------------------------------------------------------------- def __init__(self): """Constructor""" self.symbol = EMPTY_STRING # 代码 #self.exchange = EMPTY_STRING # 交易所 self.open = EMPTY_FLOAT # OHLC self.high = EMPTY_FLOAT self.low = EMPTY_FLOAT self.close = EMPTY_FLOAT self.date = EMPTY_STRING # bar开始的时间，日期 self.time = EMPTY_STRING # 时间 self.datetime = None # python的datetime时间对象 self.volume = EMPTY_INT # 成交量 self.openInterest = EMPTY_INT # 持仓量 ######################################################################## class EmaData(object): """数据""" #---------------------------------------------------------------------- def __init__(self): """Constructor""" self.symbol = EMPTY_STRING # 代码 self.fastEMA = EMPTY_FLOAT # 快速EMA的数值 self.slowEMA = EMPTY_FLOAT # 慢速EMA的数值 self.date = EMPTY_STRING # EMA开始的时间，日期 self.time = EMPTY_STRING # 时间 self.datetime = None # python的datetime时间对象 ######################################################################## class Trade(object): """成交数据对象""" #---------------------------------------------------------------------- def __init__(self, symbol): """Constructor""" self.symbol = symbol # 合约代码 self.orderRef = '' # 报单号 self.tradeID = '' # 成交编号 self.direction = None # 方向 self.offset = None # 开平 self.price = 0 # 成交价 self.volume = 0 # 成交量 self.tradeTime = '' # 成交时间 ######################################################################## class Order(object): """报单数据对象""" #---------------------------------------------------------------------- def __init__(self, symbol): """Constructor""" self.symbol = symbol # 合约代码 self.orderRef = '' # 报单编号 self.direction = None # 方向 self.offset = None # 开平 self.price = 0 # 委托价 self.volumeOriginal = 0 # 报单量 self.volumeTraded = 0 # 已成交数量 self.insertTime = '' # 报单时间 self.cancelTime = '' # 撤单时间 self.frontID = 0 # 前置机编号 self.sessionID = 0 # 会话编号 self.status = '' # 报单状态代码 self.preTradeID = '' # 上一成交单编号（用于平仓） ######################################################################## class StopOrder(object): """ 停止单对象 用于实现价格突破某一水平后自动追入 即通常的条件单和止损单 """ #---------------------------------------------------------------------- def __init__(self, symbol, direction, offset, price, volume, strategy): """Constructor""" self.symbol = symbol self.direction = direction self.offset = offset self.price = price self.volume = volume self.strategy = strategy ######################################################################## class StrategyEngine(object): """策略引擎""" #---------------------------------------------------------------------- def __init__(self, eventEngine, mainEngine, backtesting=False): """Constructor""" self.__eventEngine = eventEngine # 引用事件引擎 self.mainEngine = mainEngine # 主引擎，在回测中，为backtestingEngine,在交易中，为MainEngine self.backtesting = backtesting # 是否在进行回测 # 获取代表今日的datetime t = datetime.today() self.today = t.replace(hour=0, minute=0, second=0, microsecond=0) # 保存所有报单数据的字典 self.__dictOrder = {} # 保存策略对象的字典 # key为策略名称 # value为策略对象 self.dictStrategy = {} # 保存合约代码和策略对象映射关系的字典 # key为合约代码 # value为交易该合约的策略列表 self.__dictSymbolStrategy = {} # 保存报单编号和策略对象映射关系的字典 # key为报单编号 # value为策略对象 self.__dictOrderRefStrategy = {} # 保存合约代码和相关停止单（止损单）的字典 # key为合约代码 # value为该合约相关的停止单列表 self.__dictStopOrder = {} # MongoDB/Mysql数据库相关 #self.__mongoConnected = False self.__mysqlConnected = False #self.__mongoConnection = None self.__mysqlConnection = None #self.__mongoTickDB = None # 调用函数 #self.__connectMongo() self.__connectMysql() self.__registerEvent() #---------------------------------------------------------------------- def createStrategy(self, strategyName, strategySymbol, strategyClass, strategySetting): """创建策略（实例化）""" strategy = strategyClass(strategyName, strategySymbol, self) self.writeLog(u"创建策略:{0}".format(strategyName)) self.dictStrategy[strategyName] = strategy strategy.loadSetting(strategySetting) # 订阅合约行情，注意这里因为是CTP，所以ExchangeID可以忽略 self.mainEngine.subscribe(strategySymbol, None) # 注册策略监听 self.registerStrategy(strategySymbol, strategy) #---------------------------------------------------------------------- #def __connectMongo(self): # """连接MongoDB数据库""" # try: # self.__mongoConnection = Connection() # self.__mongoConnected = True # self.__mongoTickDB = self.__mongoConnection['TickDB'] # self.writeLog(u'策略引擎连接MongoDB成功') # except ConnectionFailure: # self.writeLog(u'策略引擎连接MongoDB失败') #-------------------------------------------#--------------------------- # def __recordTickToMongo(self, data): # """将Tick数据插入到MongoDB中""" # if self.__mongoConnected: # symbol = data['InstrumentID'] # data['date'] = self.today # self.__mongoTickDB[symbol].insert(data) # # #---------------------------------------------------------------------- # def loadTickFromMongo(self, symbol, startDate, endDate=None): # """从MongoDB中读取Tick数据""" # if self.__mongoConnected: # collection = self.__mongoTickDB[symbol] # # # 如果输入了读取TICK的最后日期 # if endDate: # cx = collection.find({'date':{'$gte':startDate, '$lte':endDate}}) # else: # cx = collection.find({'date':{'$gte':startDate}}) # return cx # else: # return None #---------------------------------------------------------------------- def __connectMysql(self): """连接MysqlDB""" # 载入json文件 fileName = 'mysql_connect.json' try: f = file(fileName) except IOError: self.writeLog(u'回测引擎读取Mysql_connect.json失败') return # 解析json文件 setting = json.load(f) try: mysql_host = str(setting['host']) mysql_port = int(setting['port']) mysql_user = str(setting['user']) mysql_passwd = str(setting['passwd']) mysql_db = str(setting['db']) except IOError: self.writeLog(u'回测引擎读取Mysql_connect.json,连接配置缺少字段，请检查') return try: self.__mysqlConnection = MySQLdb.connect(host=mysql_host, user=mysql_user, passwd=mysql_passwd, db=mysql_db, port=mysql_port) self.__mysqlConnected = True self.writeLog(u'策略引擎连接MysqlDB成功') except ConnectionFailure: self.writeLog(u'策略引擎连接MysqlDB失败') #---------------------------------------------------------------------- def __recordTickToMysql(self, data): """将Tick数据插入到MysqlDB中""" #if self.__mongoConnected: # symbol = data['InstrumentID'] # data['date'] = self.today # self.__mongoTickDB[symbol].insert(data) pass #---------------------------------------------------------------------- def __executeMysql(self, sql): """执行mysql语句""" if not self.__mysqlConnected: self.__connectMysql() cur = self.__mysqlConnection.cursor(MySQLdb.cursors.DictCursor) try: cur.execute(sql) self.__mysqlConnection.commit() except Exception, e: print e print sql self.__connectMysql() cur = self.__mysqlConnection.cursor(MySQLdb.cursors.DictCursor) cur.execute(sql) self.__mysqlConnection.commit() #---------------------------------------------------------------------- def loadTickFromMysql(self, symbol, startDate, endDate=None): """从MysqlDB中读取Tick数据""" if self.__mysqlConnected: #获取指针 cur = self.__mysqlConnection.cursor(MySQLdb.cursors.DictCursor) if endDate: #指定开始与结束日期 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) elif startDate: #指定开始日期 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 > cast(\'{1}\' as date)'.format( symbol, startDate) else: #没有指定，所有日期数据 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) print sqlstring count = cur.execute(sqlstring) # cx = cur.fetchall() fetch_counts = 0 cx = None fetch_size = 1000 while True: results = cur.fetchmany(fetch_size) if not results: break if fetch_counts == 0: cx = results else: cx = cx + results fetch_counts = fetch_counts+fetch_size print u'历史TICK数据载入{0}条'.format(fetch_counts) self.writeLog(u'历史TICK数据载入完成，{1}~{2},共{0}条'.format(count,startDate,endDate)) print u'策略引擎：历史TICK数据载入完成，{1}~{2},共{0}条'.format(count,startDate,endDate) return cx else: return None #---------------------------------------------------------------------- def loadBarFromMysql(self, symbol, startDate, endDate, barType='M5'): """从MysqlDB中读取Bar数据 startDate,（包含）开始日期 endDate， （包含）结束日期 barType ='M1' K线类型,1分钟线 barType ='M5' K线类型，5分钟线 barType = 'D1' K线类型，日线 """ if self.__mysqlConnected: #获取指针 cur = self.__mysqlConnection.cursor(MySQLdb.cursors.DictCursor) if endDate: # 指定开始与结束日期 sqlstring = 'select open,high,low,close,volume,date,time,datetime from TB_{0}{1} ' \ 'where date between cast(\'{2}\' as date) and cast(\'{3}\' as date) ' \ 'order by datetime'.format(symbol, barType, startDate, endDate) elif startDate: # 指定开始日期 sqlstring = 'select open,high,low,close,volume,date,time,datetime from TB_{0}{1} ' \ 'where date > cast(\'{2}\' as date) order by datetime'.format(symbol, barType, startDate) else: # 没有指定，所有日期数据 sqlstring = 'select open,high,low,close,volume,date,time,datetime from TB_{0}{1} ' \ ' order by datetime'.format(symbol, barType) print sqlstring count = cur.execute(sqlstring) # cx = cur.fetchall() fetch_counts = 0 cx = None fetch_size = 1000 while True: results = cur.fetchmany(fetch_size) if not results: break if fetch_counts == 0: cx = results else: cx = cx + results fetch_counts = fetch_counts+fetch_size print u'历史{0}Bar数据载入{1}条'.format(barType, fetch_counts) self.writeLog(u'历史{0}Bar数据载入完成，{1}~{2},共{3}条'.format(barType,startDate, endDate, count)) print u'策略引擎：历史{0}Bar数据载入完成，{1}~{2},共{3}条'.format(barType,startDate, endDate, count) return cx else: return None #---------------------------------------------------------------------- def getMysqlDeltaDate(self,symbol, startDate, decreaseDays): """从mysql获取交易日天数差""" try: if self.__mysqlConnected: #获取指针 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) count = cur.execute(sqlstring) if count > 0: result = cur.fetchone() return result[0] else: self.writeLog(u'MysqlDB没有查询结果，请检查日期') 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 %s'.format(e)) td = timedelta(days=3) return startDate-td; #---------------------------------------------------------------------- def saveBarToMysql(self,id, barList): """ 保存K线数据到数据库 id， 回测ID barList， 对象为Bar的列表 """ # 保存本地pickle文件 resultPath=os.getcwd()+'/result' if not os.path.isdir(resultPath): os.mkdir(resultPath) resultFile = u'{0}/{1}_Bar.pickle'.format(resultPath,id) cache= open(resultFile, mode='w') cPickle.dump(barList,cache) cache.close() # 保存数据库 self.__connectMysql() if self.__mysqlConnected: 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)) if len(barList) == 0: return counts = 0 for bar in barList: if len(values) > 0: values = values + ',' values = values + '(\'{0}\',\'{1}\',{2},{3},{4},{5},\'{6}\',\'{7}\',\'{8}\',{9},{10})'.format( id, bar.symbol, bar.open, bar.high, bar.low, bar.close, bar.date, bar.time, bar.datetime.strftime('%Y-%m-%d %H:%M:%S'), bar.volume, bar.openInterest) if counts >= 3600: self.__executeMysql(sql+values) print u'写入{0}条Bar记录'.format(counts) counts = 0 values = '' else: counts = counts + 1 if counts > 0: self.__executeMysql(sql+values) print u'写入{0}条Bar记录'.format(counts) #---------------------------------------------------------------------- def saveEmaToMysql(self, id, emaList): """ 保存EMA到数据库 id,回测的编号 """ # 保存本地pickle文件 resultPath=os.getcwd()+'/result' if not os.path.isdir(resultPath): 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 ' values = '' print u'共{0}条EMA记录.'.format(len(emaList)) if len(emaList) == 0: return counts = 0 for ema in emaList: if len(values) > 0: values = values + ',' values = values + '(\'{0}\',\'{1}\',{2},{3},\'{4}\',\'{5}\',\'{6}\')'.format( id, ema.symbol, ema.fastEMA, ema.slowEMA, ema.date, ema.time, ema.datetime.strftime('%Y-%m-%d %H:%M:%S')) if counts >= 3600: self.__executeMysql(sql+values) print u'写入{0}条EMA记录'.format(counts) counts = 0 values = '' else: counts = counts + 1 if counts > 0: self.__executeMysql(sql+values) print u'写入{0}条EMA记录'.format(counts) #---------------------------------------------------------------------- def updateMarketData(self, event): """行情更新""" data = event.dict_['data'] symbol = data['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.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.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'] # 首先检查停止单是否需要发出 self.__processStopOrder(tick) # 将该TICK数据推送给每个策略 for strategy in self.__dictSymbolStrategy[symbol]: strategy.onTick(tick) # 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.__recordTickToMysql(data) #---------------------------------------------------------------------- def __processStopOrder(self, tick): """处理停止单""" symbol = tick.symbol lastPrice = tick.lastPrice upperLimit = tick.upperLimit lowerLimit = tick.lowerLimit # 如果当前有该合约上的止损单 if symbol in self.__dictStopOrder: # 获取止损单列表 listSO = self.__dictStopOrder[symbol] # SO:stop order # 准备一个空的已发止损单列表 listSent = [] for so in listSO: # 如果是买入停止单，且最新成交价大于停止触发价 if so.direction == DIRECTION_BUY and lastPrice >= so.price: # 以当日涨停价发出限价单买入 print u'sendOrder({0},{1},{2},{3},{4}'.format(symbol,'Direction_Buy',so.offset,upperLimit,so.volume) ref = self.sendOrder(symbol, DIRECTION_BUY, so.offset, upperLimit, so.volume, tick.time, so.strategy) # 触发策略的止损单发出更新 so.strategy.onStopOrder(ref) # 将该止损单对象保存到已发送列表中 listSent.append(so) # 如果是卖出停止单，且最新成交价小于停止触发价 elif so.direction == DIRECTION_SELL and lastPrice <= so.price: print u'sendOrder({0},{1},{2},{3},{4}'.format(symbol,'Direction_Sell',so.offset,upperLimit,so.volume) ref = self.sendOrder(symbol, DIRECTION_SELL, so.offset, lowerLimit, so.volume,tick.time, so.strategy) so.strategy.onStopOrder(ref) listSent.append(so) # 从停止单列表中移除已经发单的停止单对象 if listSent: for so in listSent: listSO.remove(so) # 检查停止单列表是否为空，若为空，则从停止单字典中移除该合约代码 if not listSO: del self.__dictStopOrder[symbol] #---------------------------------------------------------------------- def updateOrder(self, event): """事件响应：报单更新""" data = event.dict_['data'] orderRef = data['OrderRef'] # 检查是否存在监听该报单的策略 if orderRef in self.__dictOrderRefStrategy: # 创建Order数据对象 order = Order(data['InstrumentID']) order.orderRef = data['OrderRef'] order.direction = data['Direction'] order.offset = data['CombOffsetFlag'] order.price = data['LimitPrice'] order.volumeOriginal = data['VolumeTotalOriginal'] order.volumeTraded = data['VolumeTraded'] order.insertTime = data['InsertTime'] order.cancelTime = data['CancelTime'] order.frontID = data['FrontID'] order.sessionID = data['SessionID'] order.status = data['OrderStatus'] # 推送给策略 strategy = self.__dictOrderRefStrategy[orderRef] strategy.onOrder(order) # 记录该Order的数据 self.__dictOrder[orderRef] = data #---------------------------------------------------------------------- def updateTrade(self, event): """事件响应：成交更新""" data = event.dict_['data'] orderRef = data['OrderRef'] if orderRef in self.__dictOrderRefStrategy: # 创建Trade数据对象 trade = Trade(data['InstrumentID']) # 合约代码 trade.orderRef = orderRef # 报单号 trade.tradeID = data['TradeID'] # 成交编号 trade.direction = data['Direction'] # 方向 trade.offset = data['OffsetFlag'] # 开平 trade.price = data['Price'] # 成交价 trade.volume = data['Volume'] # 成交量 trade.tradeTime = data['TradeTime'] # 成交时间 # 推送给策略 strategy = self.__dictOrderRefStrategy[orderRef] strategy.onTrade(trade) #---------------------------------------------------------------------- def sendOrder(self, symbol, direction, offset, price, volume, ordertime, strategy): """ 发单（仅允许限价单） symbol：合约代码 direction：方向，DIRECTION_BUY/DIRECTION_SELL offset：开平，OFFSET_OPEN/OFFSET_CLOSE price：下单价格 volume：下单手数 ordertime:下单时间（回归测试使用） strategy：策略对象 """ contract = self.mainEngine.selectInstrument(symbol) if contract: # 调用主引擎的发单函数 ref = self.mainEngine.sendOrder(symbol, contract['ExchangeID'], price, PRICETYPE_LIMIT, volume, direction, offset, ordertime) # 添加报单编号及其映射的策略 self.__dictOrderRefStrategy[ref] = strategy return ref #---------------------------------------------------------------------- def cancelOrder(self, orderRef): """ 撤单 """ print u'strategyEngine.py cancelOrder() begin.' order = self.__dictOrder[orderRef] symbol = order['InstrumentID'] contract = self.mainEngine.selectInstrument(symbol) if contract: #调用主引擎的撤单函数 self.mainEngine.cancelOrder(symbol, contract['ExchangeID'], orderRef, order['FrontID'], order['SessionID']) print u'strategyEngine.py cancelOrder() end.' #---------------------------------------------------------------------- def __registerEvent(self): """注册事件监听""" # 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 self.__eventEngine.register(EVENT_ORDER, self.updateOrder) # 注册 订阅交易响应事件 self.__eventEngine.register(EVENT_TRADE ,self.updateTrade) #---------------------------------------------------------------------- def writeLog(self, log): """写日志""" event = Event(type_=EVENT_LOG) event.dict_['log'] = log self.__eventEngine.put(event) #---------------------------------------------------------------------- def registerStrategy(self, symbol, strategy): """注册策略对合约TICK数据的监听""" print u'strategyEngine.py registerStrategy() begin.' # 尝试获取监听该合约代码的策略的列表，若无则创建 try: listStrategy = self.__dictSymbolStrategy[symbol] except KeyError: listStrategy = [] self.__dictSymbolStrategy[symbol] = listStrategy # 防止重复注册 if strategy not in listStrategy: listStrategy.append(strategy) print u'strategyEngine.py registerStrategy() end.' #---------------------------------------------------------------------- def placeStopOrder(self, symbol, direction, offset, price, volume, strategy): """ 下停止单（止损单，运行于本地引擎中） 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) so = StopOrder(symbol, direction, offset, price, volume, strategy) # 获取该合约相关的止损单列表 try: listSO = self.__dictStopOrder[symbol] except KeyError: listSO = [] self.__dictStopOrder[symbol] = listSO # 将该止损单插入列表中 listSO.append(so) return so #---------------------------------------------------------------------- def cancelStopOrder(self, so): """撤销停止单""" symbol = so.symbol try: listSO = self.__dictStopOrder[symbol] if so in listSO: listSO.remove(so) if not listSO: del self.__dictStopOrder[symbol] except KeyError: pass #---------------------------------------------------------------------- def startAll(self): """启动所有策略""" print( u'启动所有策略') for strategy in self.dictStrategy.values(): strategy.start() #---------------------------------------------------------------------- def stopAll(self): """停止所有策略""" print(u'停止所有策略') for strategy in self.dictStrategy.values(): strategy.stop() #---------------------------------------------------------------------- def saveData(self,id): """保存所有策略的过程数据""" print(u'保存所有策略的过程数据') for strategy in self.dictStrategy.values(): strategy.saveData(id) ######################################################################## class StrategyTemplate(object): """策略模板""" #---------------------------------------------------------------------- def __init__(self, name, symbol, engine): """Constructor""" self.name = name # 策略名称（注意唯一性） self.symbol = symbol # 策略交易的合约 self.engine = engine # 策略引擎对象 self.trading = False # 策略是否启动交易 #---------------------------------------------------------------------- def onTick(self, tick): """行情更新""" raise NotImplementedError #---------------------------------------------------------------------- def onTrade(self, trade): """交易更新""" raise NotImplementedError #---------------------------------------------------------------------- def onOrder(self, order): """报单更新""" raise NotImplementedError #---------------------------------------------------------------------- def onStopOrder(self, orderRef): """停止单更新""" raise NotImplementedError #---------------------------------------------------------------------- def onBar(self, o, h, l, c, volume, time): """K线数据更新""" raise NotImplementedError #---------------------------------------------------------------------- def start(self): """ 启动交易 这里是最简单的改变self.trading 有需要可以重新实现更复杂的操作 """ self.trading = True self.engine.writeLog(self.name + u'开始运行') #---------------------------------------------------------------------- def saveData(self,Id): """保存数据""" raise NotImplementedError #---------------------------------------------------------------------- def stop(self): """ 停止交易 同上 """ self.trading = False self.engine.writeLog(self.name + u'停止运行') #---------------------------------------------------------------------- def loadSetting(self, setting): """ 载入设置 setting通常是一个包含了参数设置的字典 """ raise NotImplementedError #---------------------------------------------------------------------- def buy(self, price, volume, orderTime, stopOrder=False ): """买入开仓""" 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: # 止损单 so = self.engine.placeStopOrder(self.symbol, DIRECTION_BUY, OFFSET_OPEN, price, volume, self) return so else: # 委托单 ref = self.engine.sendOrder(self.symbol, DIRECTION_BUY, OFFSET_OPEN, price, volume, orderTime, self) return ref else: return None #print (u'strategyEngine.py buy() end.') #---------------------------------------------------------------------- def cover(self, price, volume,orderTime, stopOrder=False): """买入平仓""" 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: # 止损单 so = self.engine.placeStopOrder(self.symbol, DIRECTION_BUY, OFFSET_CLOSE, price, volume, self) return so else: # 委托单 ref = self.engine.sendOrder(self.symbol, DIRECTION_BUY, OFFSET_CLOSE, price, volume, orderTime, self) return ref else: return None print (u'strategyEngine.py cover() end.') #---------------------------------------------------------------------- def sell(self, price, volume, orderTime, stopOrder=False): """卖出平仓""" 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: # 止损单 so = self.engine.placeStopOrder(self.symbol, DIRECTION_SELL, OFFSET_CLOSE, price, volume, self) return so else: # 委托单 ref = self.engine.sendOrder(self.symbol, DIRECTION_SELL, OFFSET_CLOSE, price, volume, orderTime, self) return ref else: return None #print u'strategyEngine.py sell() end.' #---------------------------------------------------------------------- def short(self, price, volume, orderTime, stopOrder=False): """卖出开仓""" 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 so = self.engine.placeStopOrder(self.symbol, DIRECTION_SELL, OFFSET_OPEN, price, volume, self) return so else: # 委托单 ref = self.engine.sendOrder(self.symbol, DIRECTION_SELL, OFFSET_OPEN, price, volume, orderTime, self) return ref else: return None #---------------------------------------------------------------------- def cancelOrder(self, orderRef): """撤单""" self.engine.cancelOrder(orderRef) #---------------------------------------------------------------------- def cancelStopOrder(self, so): """撤销停止单""" self.engine.cancelStopOrder(so)