# encoding: UTF-8 ''' 本文件包含了CTA引擎中的策略开发用模板，开发策略时需要继承CtaTemplate类。 ''' from ctaBase import * from vtConstant import * from datetime import datetime ######################################################################## class CtaTemplate(object): """CTA策略模板""" # 策略类的名称和作者 className = 'CtaTemplate' author = EMPTY_UNICODE # MongoDB数据库的名称，K线数据库默认为1分钟 tickDbName = TICK_DB_NAME barDbName = MINUTE_DB_NAME # 策略的基本参数 name = EMPTY_UNICODE # 策略实例名称 vtSymbol = EMPTY_STRING # 交易的合约vt系统代码 symbol = EMPTY_STRING # 交易的合约代码（除郑商所外与vtSymbol一致，一般为两位代码+两位年份+两位月份）AU1606，SR1605 shortSymbol = EMPTY_STRING # 合约类型代码 productClass = EMPTY_STRING # 产品类型（只有IB接口需要） currency = EMPTY_STRING # 货币（只有IB接口需要） # 策略的基本变量，由引擎管理 inited = False # 是否进行了初始化 trading = False # 是否启动交易，由引擎管理 pos = 0 # 持仓情况 # 参数列表，保存了参数的名称 paramList = ['name', 'className', 'author', 'vtSymbol', 'symbol', 'shortSymbol'] # 变量列表，保存了变量的名称 varList = ['inited', 'trading', 'pos'] # ---------------------------------------------------------------------- def __init__(self, ctaEngine, setting): """Constructor""" self.ctaEngine = ctaEngine # 委托单状态 self.entrust = 0 # 0 表示没有委托，1 表示存在多仓的委托，-1 表示存在空仓的委托 # 保存委托单编号和相关委托单的字典 # key为委托单编号 # value为该合约相关的委托单 self.uncompletedOrders = {} # 设置策略的参数 if setting: self.writeCtaLog(u'基类设置参数') d = self.__dict__ for key in self.paramList: if key in setting: d[key] = setting[key] # ---------------------------------------------------------------------- def onInit(self): """初始化策略（必须由用户继承实现）""" raise NotImplementedError # ---------------------------------------------------------------------- def onStart(self): """启动策略（必须由用户继承实现）""" raise NotImplementedError # ---------------------------------------------------------------------- def onStop(self): """停止策略（必须由用户继承实现）""" raise NotImplementedError # ---------------------------------------------------------------------- def onTick(self, tick): """收到行情TICK推送（必须由用户继承实现）""" raise NotImplementedError # ---------------------------------------------------------------------- def onOrder(self, order): """收到委托变化推送（必须由用户继承实现）""" raise NotImplementedError # ---------------------------------------------------------------------- def onTrade(self, trade): """收到成交推送（必须由用户继承实现）""" raise NotImplementedError #---------------------------------------------------------------------- def onBar(self, bar): """收到Bar推送（必须由用户继承实现）""" raise NotImplementedError # ---------------------------------------------------------------------- def buy(self, price, volume, stop=False ,orderTime=datetime.now()): """买开""" orderID = self.sendOrder(CTAORDER_BUY, price, volume, stop) if orderID: self.entrust = 1 # 委托状态 self.uncompletedOrders[orderID] = {'DIRECTION': DIRECTION_LONG, 'OFFSET': OFFSET_OPEN, 'Volume': volume, 'Price': price, 'OrderTime': orderTime } return orderID else: return None # ---------------------------------------------------------------------- def sell(self, price, volume, stop=False, orderTime=datetime.now()): """卖平""" orderID = self.sendOrder(CTAORDER_SELL, price, volume, stop) if orderID: self.entrust = -1 # 置当前策略的委托单状态 # 记录委托单 self.uncompletedOrders[orderID] = {'DIRECTION': DIRECTION_SHORT, 'OFFSET': OFFSET_CLOSE, 'Volume': volume, 'Price': price, 'OrderTime': orderTime } return orderID else: return None # ---------------------------------------------------------------------- def short(self, price, volume, stop=False, orderTime=datetime.now()): """卖开""" orderID = self.sendOrder(CTAORDER_SHORT, price, volume, stop) if orderID: self.entrust = -1 # 委托状态 self.uncompletedOrders[orderID] = {'DIRECTION': DIRECTION_SHORT, 'OFFSET': OFFSET_OPEN, 'Volume': volume, 'Price': price, 'OrderTime': orderTime } return orderID else: return None # ---------------------------------------------------------------------- def cover(self, price, volume, stop=False, orderTime=datetime.now()): """买平""" orderID = self.sendOrder(CTAORDER_COVER, price, volume, stop) if orderID: self.entrust = -1 # 置当前策略的委托单状态 # 记录委托单 self.uncompletedOrders[orderID] = {'DIRECTION': DIRECTION_LONG, 'OFFSET': OFFSET_CLOSE, 'Volume': volume, 'Price': price, 'OrderTime': orderTime } return orderID else: return None # ---------------------------------------------------------------------- def sendOrder(self, orderType, price, volume, stop=False): """发送委托""" if self.trading: # 如果stop为True，则意味着发本地停止单 if stop: vtOrderID = self.ctaEngine.sendStopOrder(self.vtSymbol, orderType, price, volume, self) else: vtOrderID = self.ctaEngine.sendOrder(self.vtSymbol, orderType, price, volume, self) return vtOrderID else: return None #---------------------------------------------------------------------- def cancelOrder(self, vtOrderID): """撤单""" if STOPORDERPREFIX in vtOrderID: self.ctaEngine.cancelStopOrder(vtOrderID) else: self.ctaEngine.cancelOrder(vtOrderID) #---------------------------------------------------------------------- def insertTick(self, tick): """向数据库中插入tick数据""" self.ctaEngine.insertData(self.tickDbName, self.vtSymbol, tick) #---------------------------------------------------------------------- def insertBar(self, bar): """向数据库中插入bar数据""" self.ctaEngine.insertData(self.barDbName, self.vtSymbol, bar) #---------------------------------------------------------------------- def loadTick(self, days): """读取tick数据""" return self.ctaEngine.loadTick(self.tickDbName, self.vtSymbol, days) #---------------------------------------------------------------------- def loadBar(self, days): """读取bar数据""" return self.ctaEngine.loadBar(self.barDbName, self.vtSymbol, days) # ---------------------------------------------------------------------- def setParam(self, setting): """设置参数""" d = self.__dict__ for key in self.paramList: if key in setting: d[key] = setting[key] # ---------------------------------------------------------------------- def getToday(self): """查询当前日期""" return self.ctaEngine.getToday() # ---------------------------------------------------------------------- def writeCtaLog(self, content): """记录CTA日志""" content = self.name + ':' + content self.ctaEngine.writeCtaLog(content) #---------------------------------------------------------------------- def putEvent(self): """发出策略状态变化事件""" self.ctaEngine.putStrategyEvent(self.name) ######################################################################## class DataRecorder(CtaTemplate): """ 纯粹用来记录历史数据的工具（基于CTA策略）， 建议运行在实际交易程序外的一个vn.trader实例中， 本工具会记录Tick和1分钟K线数据。 """ className = 'DataRecorder' author = u'用Python的交易员' # 策略的基本参数 name = EMPTY_UNICODE # 策略实例名称 vtSymbol = EMPTY_STRING # 交易的合约vt系统代码 # 策略的变量 bar = None # K线数据对象 barMinute = EMPTY_STRING # 当前的分钟，初始化设为-1 # 变量列表，保存了变量的名称 varList = ['inited', 'trading', 'pos', 'barMinute'] #---------------------------------------------------------------------- def __init__(self, ctaEngine, setting): """Constructor""" super(DataRecorder, self).__init__(ctaEngine, setting) #---------------------------------------------------------------------- def onInit(self): """初始化""" self.writeCtaLog(u'数据记录工具初始化') #---------------------------------------------------------------------- def onStart(self): """启动策略（必须由用户继承实现）""" self.writeCtaLog(u'数据记录工具启动') self.putEvent() #---------------------------------------------------------------------- def onStop(self): """停止策略（必须由用户继承实现）""" self.writeCtaLog(u'数据记录工具停止') self.putEvent() #---------------------------------------------------------------------- def onTick(self, tick): """收到行情TICK推送""" # 收到Tick后，首先插入到数据库里 self.insertTick(tick) # 计算K线 tickMinute = tick.datetime.minute if tickMinute != self.barMinute: # 如果分钟变了，则把旧的K线插入数据库，并生成新的K线 if self.bar: self.onBar(self.bar) bar = CtaBarData() # 创建新的K线，目的在于防止之前K线对象在插入Mongo中被再次修改，导致出错 bar.vtSymbol = tick.vtSymbol bar.symbol = tick.symbol bar.exchange = tick.exchange bar.open = tick.lastPrice bar.high = tick.lastPrice bar.low = tick.lastPrice bar.close = tick.lastPrice bar.date = tick.date bar.time = tick.time bar.datetime = tick.datetime # K线的时间设为第一个Tick的时间 bar.volume = tick.volume bar.openInterest = tick.openInterest self.bar = bar # 这种写法为了减少一层访问，加快速度 self.barMinute = tickMinute # 更新当前的分钟 else: # 否则继续累加新的K线 bar = self.bar # 写法同样为了加快速度 bar.high = max(bar.high, tick.lastPrice) bar.low = min(bar.low, tick.lastPrice) bar.close = tick.lastPrice bar.volume = bar.volume + tick.volume # 成交量是累加的 bar.openInterest = tick.openInterest # 持仓量直接更新 #---------------------------------------------------------------------- def onOrder(self, order): """收到委托变化推送""" pass #---------------------------------------------------------------------- def onTrade(self, trade): """收到成交推送""" pass #---------------------------------------------------------------------- def onBar(self, bar): """收到Bar推送""" self.insertBar(bar)