# 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 = 'StrategyName' # 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 backtesting = False # 是否回测 # 参数列表，保存了参数的名称 paramList = ['name', 'className', 'author', 'vtSymbol', 'symbol', 'shortSymbol', 'backtesting'] # 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: # 交易停止时发单返回空字符串 return '' # ---------------------------------------------------------------------- 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: # 交易停止时发单返回空字符串 return '' # ---------------------------------------------------------------------- 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: # 交易停止时发单返回空字符串 return '' # ---------------------------------------------------------------------- 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: # 交易停止时发单返回空字符串 return '' # ---------------------------------------------------------------------- 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: # 交易停止时发单返回空字符串 return '' #---------------------------------------------------------------------- def cancelOrder(self, vtOrderID): """撤单""" # 如果发单号为空字符串，则不进行后续操作 if not vtOrderID or vtOrderID == '': return 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 saveBar(self): """保持bar数据""" pass def onTimer(self): """定时执行任务 由mainEngine驱动""" pass # ---------------------------------------------------------------------- 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 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) #---------------------------------------------------------------------- def getEngineType(self): """查询当前运行的环境""" return self.ctaEngine.engineType ######################################################################## class TargetPosTemplate(CtaTemplate): """ 允许直接通过修改目标持仓来实现交易的策略模板 开发策略时，无需再调用buy/sell/cover/short这些具体的委托指令， 只需在策略逻辑运行完成后调用setTargetPos设置目标持仓，底层算法 会自动完成相关交易，适合不擅长管理交易挂撤单细节的用户。 使用该模板开发策略时，请在以下回调方法中先调用母类的方法： onTick onBar onOrder 假设策略名为TestStrategy，请在onTick回调中加上： super(TestStrategy, self).onTick(tick) 其他方法类同。 """ className = 'TargetPosTemplate' author = u'量衍投资' # 目标持仓模板的基本变量 tickAdd = 1 # 委托时相对基准价格的超价 lastTick = None # 最新tick数据 lastBar = None # 最新bar数据 targetPos = EMPTY_INT # 目标持仓 orderList = [] # 委托号列表 # 变量列表，保存了变量的名称 varList = ['inited', 'trading', 'pos', 'targetPos'] #---------------------------------------------------------------------- def __init__(self, ctaEngine, setting): """Constructor""" super(TargetPosTemplate, self).__init__(ctaEngine, setting) #---------------------------------------------------------------------- def onTick(self, tick): """收到行情推送""" self.lastTick = tick # 实盘模式下，启动交易后，需要根据tick的实时推送执行自动开平仓操作 if self.trading: self.trade() #---------------------------------------------------------------------- def onBar(self, bar): """收到K线推送""" self.lastBar = bar #---------------------------------------------------------------------- def onOrder(self, order): """收到委托推送""" if order.status == STATUS_ALLTRADED or order.status == STATUS_CANCELLED: self.orderList.remove(order.vtOrderID) #---------------------------------------------------------------------- def setTargetPos(self, targetPos): """设置目标仓位""" self.targetPos = targetPos self.trade() #---------------------------------------------------------------------- def trade(self): """执行交易""" # 先撤销之前的委托 for vtOrderID in self.orderList: self.cancelOrder(vtOrderID) self.orderList = [] # 如果目标仓位和实际仓位一致，则不进行任何操作 posChange = self.targetPos - self.pos if not posChange: return # 确定委托基准价格，有tick数据时优先使用，否则使用bar longPrice = 0 shortPrice = 0 if self.lastTick: if posChange > 0: longPrice = self.lastTick.askPrice1 + self.tickAdd else: shortPrice = self.lastTick.bidPrice1 - self.tickAdd else: if posChange > 0: longPrice = self.lastBar.close + self.tickAdd else: shortPrice = self.lastBar.close - self.tickAdd # 回测模式下，采用合并平仓和反向开仓委托的方式 if self.getEngineType() == ENGINETYPE_BACKTESTING: if posChange > 0: vtOrderID = self.buy(longPrice, abs(posChange)) else: vtOrderID = self.short(shortPrice, abs(posChange)) self.orderList.append(vtOrderID) # 实盘模式下，首先确保之前的委托都已经结束（全成、撤销） # 然后先发平仓委托，等待成交后，再发送新的开仓委托 else: # 检查之前委托都已结束 if self.orderList: return # 买入 if posChange > 0: if self.pos < 0: vtOrderID = self.cover(longPrice, abs(self.pos)) else: vtOrderID = self.buy(longPrice, abs(posChange)) # 卖出 else: if self.pos > 0: vtOrderID = self.sell(shortPrice, abs(self.pos)) else: vtOrderID = self.short(shortPrice, abs(posChange)) self.orderList.append(vtOrderID)