# encoding: UTF-8 # 首先写系统内置模块 import sys from datetime import datetime, timedelta, time from time import sleep # 然后是第三方库模块（如PyQt4等） import sip from PyQt4 import QtCore # 然后是自己编写的模块 from demoEngine import MainEngine from strategyEngine import * ######################################################################## class SimpleEmaStrategy(StrategyTemplate): """简单双指数移动均线EMA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.slowAlpha = 0.05 # 慢速EMA的参数 # 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 = [] self.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 #---------------------------------------------------------------------- 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') self.initStrategy() #---------------------------------------------------------------------- def initStrategy(self): """初始化""" td = timedelta(days=3) # 读取3天的历史TICK数据 today = datetime.today().replace(hour=0, minute=0, second=0, microsecond=0) cx = self.engine.loadTick(self.symbol, today-td) if cx: for data in cx: tick = Tick(data['InstrumentID']) tick.openPrice = data['OpenPrice'] tick.highPrice = data['HighestPrice'] tick.lowPrice = data['LowestPrice'] tick.lastPrice = 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 = data['BidPrice1'] tick.bidPrice2 = data['BidPrice2'] tick.bidPrice3 = data['BidPrice3'] tick.bidPrice4 = data['BidPrice4'] tick.bidPrice5 = data['BidPrice5'] tick.askPrice1 = 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""" # 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) # 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: # 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) 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, time): """K线数据更新""" # 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(time) # 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 # 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 # 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 self.buy(self.currentTick.upperLimit, 1) # 手头有空仓，则先平空，再开多 elif self.pos < 0: self.cover(self.currentTick.upperLimit, 1) self.buy(self.currentTick.upperLimit, 1) # 反之，做空 elif self.fastEMA < self.slowEMA: if self.pos == 0: self.short(self.currentTick.lowerLimit, 1) elif self.pos > 0: self.sell(self.currentTick.lowerLimit, 1) self.short(self.currentTick.lowerLimit, 1) # 记录日志 log = self.name + u'当前时间：' + str(time) + \ u'，快速EMA：' + str(self.fastEMA) + u'，慢速EMA：' + \ str(self.slowEMA) self.engine.writeLog(log) print 'onBar', o, h, l, c, time print 'fastEMA:', self.fastEMA, '|slowEMA:', self.slowEMA #---------------------------------------------------------------------- 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 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) # 创建主引擎对象 me = MainEngine() # 注册事件监听 me.ee.register(EVENT_LOG, print_log) # 登录 userid = '' password = '' brokerid = '' mdAddress = '' tdAddress = '' me.login(userid, password, brokerid, mdAddress, tdAddress) # 等待10秒钟（初始化合约数据等） sleep(10) # 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'] = 0.05 se.createStrategy(u'EMA演示策略', 'IF1506', 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()