# encoding: UTF-8 from datetime import datetime import json from collections import OrderedDict from eventEngine import * from vtConstant import * from vtGateway import VtSubscribeReq, VtOrderReq, VtCancelOrderReq, VtLogData from ctaConstant import * from ctaObject import * from ctaStrategies import strategyClassDict ######################################################################## class CtaEngine(object): """CTA策略引擎""" # 策略配置文件 settingFileName = 'CTA_setting.json' # ---------------------------------------------------------------------- def __init__(self, mainEngine, eventEngine, dataEngine): """Constructor""" self.mainEngine = mainEngine self.eventEngine = eventEngine self.dataEngine = dataEngine # 保存策略对象的字典 # key为策略名称，value为策略对象，注意策略名称不允许重复 self.strategyDict = {} # 保存vtSymbol和策略对象映射的字典（用于推送tick数据） # 由于可能多个strategy交易同一个vtSymbol，因此key为vtSymbol # value为包含所有相关strategy对象的list self.tickStrategyDict = {} # 保存vtOrderID和strategy对象映射的字典（用于推送order和trade数据） # key为vtOrderID，value为strategy对象 self.orderStrategyDict = {} # 本地停止单编号计数 self.stopOrderCount = 0 # stopOrderID = STOPORDERPREFIX + str(stopOrderCount) # 本地停止单字典 # key为stopOrderID，value为stopOrder对象 self.stopOrderDict = {} # 停止单撤销后不会从本字典中删除 self.workingStopOrderDict = {} # 停止单撤销后会从本字典中删除 # 注册事件监听 self.registerEvent() # ---------------------------------------------------------------------- def sendOrder(self, vtSymbol, orderType, price, volume, strategy): """发单""" # 1.查询合约对象 contract = self.dataEngine.getContract(vtSymbol) # 2. 创建发单传入对象 req = VtOrderReq() req.symbol = contract.symbol # 合约代码 req.exchange = contract.exchange # 交易所 req.price = price # 价格 req.volume = volume # 数量 # 设计为CTA引擎发出的委托只允许使用限价单 req.priceType = PRICETYPE_LIMITPRICE # 价格类型 # CTA委托类型映射 # 对于中金所，只有close有用 # 对于上期所，应该分别使用closeYesterday或者closeToday if orderType == CTAORDER_BUY: req.direction = DIRECTION_LONG # 合约方向 req.offset = OFFSET_OPEN # 开/平 elif orderType == CTAORDER_SELL: req.direction = DIRECTION_SHORT req.offset = OFFSET_CLOSETODAY #OFFSET_CLOSE elif orderType == CTAORDER_SHORT: req.direction = DIRECTION_SHORT req.offset = OFFSET_OPEN elif orderType == CTAORDER_COVER: req.direction = DIRECTION_LONG req.offset = OFFSET_CLOSETODAY #OFFSET_CLOSE # 3.调用主引擎的发单接口进行发单，保存OrderID与策略映射关系 vtOrderID = self.mainEngine.sendOrder(req, contract.gatewayName) # 发单 self.orderStrategyDict[vtOrderID] = strategy # 保存vtOrderID和策略的映射关系 return vtOrderID # ---------------------------------------------------------------------- def cancelOrder(self, vtOrderID): """撤单""" # 1.调用主引擎接口，查询委托单对象 order = self.dataEngine.getOrder(vtOrderID) # 如果查询成功 if order: # 2.检查是否报单（委托单）还有效，只有有效时才发出撤单指令 orderFinished = (order.status == STATUS_ALLTRADED or order.status == STATUS_CANCELLED) if not orderFinished: req = VtCancelOrderReq() req.symbol = order.symbol req.exchange = order.exchange req.frontID = order.frontID req.sessionID = order.sessionID req.orderID = order.orderID self.mainEngine.cancelOrder(req, order.gatewayName) else: if order.status == STATUS_ALLTRADED: self.writeCtaLog(u'委托单({0}已执行，无法撤销'.format(vtOrderID)) if order.status == STATUS_CANCELLED: self.writeCtaLog(u'委托单({0}已撤销，无法再次撤销'.format(vtOrderID)) # 查询不成功 else: self.writeCtaLog(u'委托单({0}不存在'.format(vtOrderID)) # ---------------------------------------------------------------------- def sendStopOrder(self, vtSymbol, orderType, price, volume, strategy): """发停止单（本地实现）""" # 1.生成本地停止单ID self.stopOrderCount += 1 stopOrderID = STOPORDERPREFIX + str(self.stopOrderCount) # 2.创建停止单对象 so = StopOrder() so.vtSymbol = vtSymbol # 代码 so.orderType = orderType # 停止单类型 so.price = price # 价格 so.volume = volume # 数量 so.strategy = strategy # 来源策略 so.stopOrderID = stopOrderID # Id so.status = STOPORDER_WAITING # 状态 # 3.保存stopOrder对象到字典中 self.stopOrderDict[stopOrderID] = so # 字典中不会删除 self.workingStopOrderDict[stopOrderID] = so # 字典中会删除 self.writeCtaLog(u'发停止单成功，' u'Id:{0},Symbol:{1},Type:{2},Price:{3},Volume:{4}' u'.'.format(stopOrderID, vtSymbol, orderType, price, volume)) return stopOrderID # ---------------------------------------------------------------------- def cancelStopOrder(self, stopOrderID): """撤销停止单""" # 1.检查停止单是否存在 if stopOrderID in self.workingStopOrderDict: so = self.workingStopOrderDict[stopOrderID] so.status = STOPORDER_CANCELLED # STOPORDER_WAITING =》STOPORDER_CANCELLED del self.workingStopOrderDict[stopOrderID] # 删除 self.writeCtaLog(u'撤销停止单:{0}成功.'.format(stopOrderID)) else: self.writeCtaLog(u'撤销停止单:{0}失败，不存在Id.'.format(stopOrderID)) # ---------------------------------------------------------------------- def processStopOrder(self, tick): """收到行情后处理本地停止单（检查是否要立即发出）""" vtSymbol = tick.vtSymbol # 1.首先检查是否有策略交易该合约 if vtSymbol in self.tickStrategyDict: # 2.遍历等待中的停止单，检查是否会被触发 for so in self.workingStopOrderDict.values(): if so.vtSymbol == vtSymbol: # 3. 触发标识判断 longTriggered = so.direction == DIRECTION_LONG and tick.lastPrice >= so.price # 多头停止单被触发 shortTriggered = so.direction == DIRECTION_SHORT and tick.lasatPrice <= so.price # 空头停止单被触发 # 4.触发处理 if longTriggered or shortTriggered: # 5.设定价格，买入和卖出分别以涨停跌停价发单（模拟市价单） if so.direction == DIRECTION_LONG: price = tick.upperLimit else: price = tick.lowerLimit # 6.更新停止单状态，触发 so.status = STOPORDER_TRIGGERED # 7.发单 self.sendOrder(so.vtSymbol, so.orderType, price, so.volume, so.strategy) # 8.删除停止单 del self.workingStopOrderDict[so.stopOrderID] # ---------------------------------------------------------------------- def procecssTickEvent(self, event): """处理行情推送事件""" # 1. 获取事件的Tick数据 tick = event.dict_['data'] # 2.收到tick行情后，优先处理本地停止单（检查是否要立即发出） self.processStopOrder(tick) # 3.推送tick到对应的策略对象进行处理 if tick.vtSymbol in self.tickStrategyDict: # 4.将vtTickData数据转化为ctaTickData ctaTick = CtaTickData() d = ctaTick.__dict__ for key in d.keys(): if key != 'datetime': d[key] = tick.__getattribute__(key) # 5.添加datetime字段 ctaTick.datetime = datetime.strptime(' '.join([tick.date, tick.time]), '%Y%m%d %H:%M:%S.%f') l = self.tickStrategyDict[tick.vtSymbol] for strategy in l: strategy.onTick(ctaTick) # ---------------------------------------------------------------------- def processOrderEvent(self, event): """处理委托推送事件""" # 1.获取事件的Order数据 order = event.dict_['data'] # 2.判断order是否在映射字典中 if order.vtOrderID in self.orderStrategyDict: # 3.提取对应的策略 strategy = self.orderStrategyDict[order.vtOrderID] # 4.触发策略的委托推送事件方法 strategy.onOrder(order) # ---------------------------------------------------------------------- def processTradeEvent(self, event): """处理成交推送事件""" # 1.获取事件的Trade数据 trade = event.dict_['data'] # 2.判断Trade是否在映射字典中 if trade.vtOrderID in self.orderStrategyDict: # 3.提取对应的策略 strategy = self.orderStrategyDict[trade.vtOrderID] # 4.触发策略的成交推送事件。 strategy.onTrade(trade) # ---------------------------------------------------------------------- def registerEvent(self): """注册事件监听""" # 注册行情数据推送（Tick数据到达）的响应事件 self.eventEngine.register(EVENT_TICK, self.procecssTickEvent) # 注册订单推送的响应事件 self.eventEngine.register(EVENT_ORDER, self.processOrderEvent) # 注册成交推送（交易）的响应时间 self.eventEngine.register(EVENT_TRADE, self.processTradeEvent) # ---------------------------------------------------------------------- def insertData(self, dbName, collectionName, data): """插入数据到数据库（这里的data可以是CtaTickData或者CtaBarData）""" self.mainEngine.dbInsert(dbName, collectionName, data.__dict__) # ---------------------------------------------------------------------- def loadBar(self, dbName, collectionName, startDate): """从数据库中读取Bar数据 startDate是datetime对象""" d = {'datetime':{'$gte':startDate}} cursor = self.mainEngine.dbQuery(dbName, collectionName, d) l = [] for d in cursor: bar = CtaBarData() bar.__dict__ = d l.append(bar) return l # ---------------------------------------------------------------------- def loadTick(self, dbName, collectionName, startDate): """从数据库中读取Tick数据，startDate是datetime对象""" d = {'datetime':{'$gte':startDate}} cursor = self.mainEngine.dbQuery(dbName, collectionName, d) l = [] for d in cursor: tick = CtaTickData() tick.__dict__ = d l.append(tick) return l # ---------------------------------------------------------------------- def getToday(self): """获取代表今日的datetime对象""" today = datetime.today() today = today.replace(hour=0, minute=0, second=0, microsecond=0) return today # ---------------------------------------------------------------------- def writeCtaLog(self, content): """快速发出CTA模块日志事件""" log = VtLogData() log.logContent = content event = Event(type_=EVENT_CTA_LOG) event.dict_['data'] = log self.eventEngine.put(event) # ---------------------------------------------------------------------- def initStrategy(self, name, strategyClass, paramDict=None): """初始化策略""" # 防止策略重名 if name not in self.strategyDict: # 1.创建策略对象 strategy = strategyClass(self, name, paramDict) self.strategyDict[name] = strategy # 2.保存Tick映射关系（symbol <==> Strategy[] ) if strategy.vtSymbol in self.tickStrategyDict: l = self.tickStrategyDict[strategy.vtSymbol] else: l = [] self.tickStrategyDict[strategy.vtSymbol] = l l.append(strategy) # 3.订阅合约 contract = self.dataEngine.getContract(strategy.vtSymbol) if contract: # 4.构造订阅请求包 req = VtSubscribeReq() req.symbol = contract.symbol req.exchange = contract.exchange # 5.调用主引擎的订阅接口 self.mainEngine.subscribe(req, contract.gatewayName) else: self.writeCtaLog(u'%s的交易合约%s无法找到' %(name, strategy.vtSymbol)) else: self.writeCtaLog(u'存在策略对象重名：' + name) # --------------------------------------------------------------------- def startStrategy(self, name): """启动策略""" # 1.判断策略名称是否存在字典中 if name in self.strategyDict: # 2.提取策略 strategy = self.strategyDict[name] # 3.判断策略是否运行 if not strategy.trading: # 4.设置运行状态 strategy.trading = True # 5.启动策略 strategy.start() else: self.writeCtaLog(u'策略对象不存在：' + name) # ---------------------------------------------------------------------- def stopStrategy(self, name): """停止策略运行""" # 1.判断策略名称是否存在字典中 if name in self.strategyDict: # 2.提取策略 strategy = self.strategyDict[name] # 3.停止交易 if strategy.trading: # 4.设置交易状态为False strategy.trading = False # 5.调用策略的停止方法 strategy.stop() # 6.对该策略发出的所有限价单进行撤单 for vtOrderID, s in self.orderStrategyDict.items(): if s is strategy: self.cancelOrder(vtOrderID) # 7.对该策略发出的所有本地停止单撤单 for stopOrderID, so in self.workingStopOrderDict.items(): if so.strategy is strategy: self.cancelStopOrder(stopOrderID) else: self.writeCtaLog(u'策略对象不存在：' + name) # ---------------------------------------------------------------------- def saveStrategySetting(self): """保存引擎中的策略配置""" with open(self.settingFileName, 'w') as f: d = {} # 逐一循环：name，策略实例名称，strategy，策略 for name, strategy in self.strategyDict.items(): # 配置串 setting = {} # 策略的类名称 setting['strategyClassName'] = strategy.strategyClassName # 策略的参数 for param in strategy.paramList: setting[param] = strategy.__getattribute__(param) # 策略实例名，保存配置 d[name] = setting # Json对象=》Json字符串 jsonD = json.dumps(d, indent=4) # 保存文件 f.write(jsonD) # ---------------------------------------------------------------------- def loadStrategySetting(self): """读取引擎中的策略配置""" with open(self.settingFileName) as f: # 读取文件内容串=》Json对象 d = json.load(f) # 策略实例名称，配置内容 for name, setting in d.items(): # 策略的类名称 strategyClassName = setting['strategyClassName'] if strategyClassName in strategyClassDict: # 透过策略类字典，反射获取策略 strategyClass = strategyClassDict[strategyClassName] # 初始化策略的设置 self.initStrategy(name, strategyClass, setting) else: self.writeCtaLog(u'无法找到策略类：' + strategyClassName) break # ---------------------------------------------------------------------- def getStrategyVar(self, name): """获取策略当前的变量字典""" if name in self.strategyDict: # 获取策略实例 strategy = self.strategyDict[name] # 策略实例的所有属性 d = strategy.__dict__ # 变量字典 varDict = OrderedDict() # 策略中的变量名称列表 for key in strategy.varList: # 如果匹配就增加 if key in d: varDict[key] = d[key] return varDict else: self.writeCtaLog(u'策略对象不存在：' + name) return None # ---------------------------------------------------------------------- def getStrategyParam(self, name): """获取策略的参数字典""" if name in self.strategyDict: # 获取策略实例 strategy = self.strategyDict[name] # 策略实例的所有属性 d = strategy.__dict__ # 参数字典 paramDict = OrderedDict() # 策略内的参数名称列表 for key in strategy.paramList: # 匹配的就添加 if key in d: paramDict[key] = d[key] return paramDict else: self.writeCtaLog(u'策略对象不存在：' + name) return None