# encoding: UTF-8 from vtConstant import * from ctaConstant import * ######################################################################## class CtaStrategyTemplate(object): """CTA策略模板""" # 策略类的名称 strategyClassName = 'Template' # 参数列表，保存了参数的名称 paramList = ['vtSymbol'] # 变量列表，保存了变量的名称 varList = ['trading'] # ---------------------------------------------------------------------- def __init__(self, ctaEngine, name, setting=None): """Constructor""" self.ctaEngine = ctaEngine self.name = name self.vtSymbol = EMPTY_STRING # 交易的合约vt系统代码 AU1606，SR605 self.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 self.tickDbName = EMPTY_STRING # tick数据库名称 self.barDbName = EMPTY_STRING # bar数据库名称 self.trading = False # 控制是否启动交易 #self.init() # 初始化策略 Move to inhert strategy #if setting: # self.setParam(setting) # ---------------------------------------------------------------------- def init(self): """初始化策略（必须由用户继承实现）""" raise NotImplementedError # ---------------------------------------------------------------------- def start(self): """启动策略（必须由用户继承实现）""" raise NotImplementedError # ---------------------------------------------------------------------- def stop(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): """买开""" # 如果stop为True，则意味着发本地停止单 if self.trading: if stop: self.writeCtaLog(u'本地停止单，Buy买开,Price:{0},Volume:{1}'.format(price, volume)) orderID = self.ctaEngine.sendStopOrder(self.vtSymbol, CTAORDER_BUY, price, volume, self) else: self.writeCtaLog(u'Buy买开,Price:{0},Volume:{1}'.format(price, volume)) orderID = self.ctaEngine.sendOrder(self.vtSymbol, CTAORDER_BUY, price, volume, self) return orderID else: return None # ---------------------------------------------------------------------- def sell(self, price, volume, stop=False): """卖平""" # 如果stop为True，则意味着发本地停止单 if self.trading: if stop: self.writeCtaLog(u'本地停止单，sell卖平,Price:{0},Volume:{1}'.format(price, volume)) orderID = self.ctaEngine.sendStopOrder(self.vtSymbol, CTAORDER_SELL, price, volume, self) else: self.writeCtaLog(u'sell卖平,Price:{0},Volume:{1}'.format(price, volume)) orderID = self.ctaEngine.sendOrder(self.vtSymbol, CTAORDER_SELL, price, volume, self) return orderID else: return None # ---------------------------------------------------------------------- def short(self, price, volume, stop=False): """卖开""" # 如果stop为True，则意味着发本地停止单 if self.trading: if stop: self.writeCtaLog(u'本地停止单，short卖开,Price:{0},Volume:{1}'.format(price, volume)) orderID = self.ctaEngine.sendStopOrder(self.vtSymbol, CTAORDER_SHORT, price, volume, self) else: self.writeCtaLog(u'short卖开,Price:{0},Volume:{1}'.format(price, volume)) orderID = self.ctaEngine.sendOrder(self.vtSymbol, CTAORDER_SHORT, price, volume, self) return orderID else: return None # ---------------------------------------------------------------------- def cover(self, price, volume, stop=False): """买平""" if self.trading: # 如果stop为True，则意味着发本地停止单 if stop: self.writeCtaLog(u'本地停止单，cover，买平,Price:{0},Volume:{1}'.format(price, volume)) orderID = self.ctaEngine.sendStopOrder(self.vtSymbol, CTAORDER_COVER, price, volume, self) else: self.writeCtaLog(u'Short卖开,cover:{0},Volume:{1}'.format(price, volume)) orderID = self.ctaEngine.sendOrder(self.vtSymbol, CTAORDER_COVER, price, volume, self) return orderID else: return None # ---------------------------------------------------------------------- def cancelOrder(self, orderID): """撤单""" if STOPORDERPREFIX in orderID: self.ctaEngine.cancelStopOrder(orderID) else: self.ctaEngine.cancelOrder(orderID) # ---------------------------------------------------------------------- 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, startDate): """读取tick数据""" return self.ctaEngine.loadTick(self.tickDbName, self.vtSymbol, startDate) # ---------------------------------------------------------------------- def loadBar(self, startDate): """读取bar数据""" return self.ctaEngine.loadBar(self.barDbName, self.vtSymbol, startDate) # ---------------------------------------------------------------------- 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""" self.ctaEngine.writeCtaLog(self.name+':'+content) ######################################################################## class TestStrategy(CtaStrategyTemplate): """测试策略""" # ---------------------------------------------------------------------- def __init__(self, ctaEngine, name, setting=None): """Constructor""" super(TestStrategy, self).__init__(ctaEngine, name, setting) self.strategyClassName = 'TestStrategy' self.author = u'用Python的交易员' # 作者 self.pos = EMPTY_INT # 持仓 self.lastPrice = EMPTY_FLOAT # 最新价 # 参数和变量列表设置 self.paramList.append('author') self.varList.append('pos') self.varList.append('lastPrice') # ---------------------------------------------------------------------- def init(self): """初始化策略（必须由用户继承实现）""" self.writeCtaLog(u'测试策略%s初始化' %self.name) # ---------------------------------------------------------------------- def start(self): """启动策略（必须由用户继承实现）""" self.writeCtaLog(u'测试策略%s启动' %self.name) # ---------------------------------------------------------------------- def stop(self): """停止策略（必须由用户继承实现）""" self.writeCtaLog(u'测试策略%s停止' %self.name) # ---------------------------------------------------------------------- def onTick(self, tick): """收到行情TICK推送（必须由用户继承实现）""" self.writeCtaLog(u'测试策略%s收到Tick' %self.name) self.lastPrice = tick.lastPrice # ---------------------------------------------------------------------- def onOrder(self, order): """收到委托变化推送（必须由用户继承实现）""" self.writeCtaLog(u'onOrder不会被调用') # ---------------------------------------------------------------------- def onTrade(self, trade): """收到成交推送（必须由用户继承实现）""" self.writeCtaLog(u'onTrade不会被调用') # ---------------------------------------------------------------------- def onBar(self, bar): """收到Bar推送（必须由用户继承实现）""" self.writeCtaLog(u'测试策略%s收到Bar' %self.name)