vnpy/archive/vn.strategy/strategydemo/strategyEngine.py
2017-05-05 23:24:39 +08:00

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# encoding: UTF-8
from datetime import datetime
from pymongo import Connection
from pymongo.errors import *
from eventEngine import *
# 常量定义
OFFSET_OPEN = '0' # 开仓
OFFSET_CLOSE = '1' # 平仓
DIRECTION_BUY = '0' # 买入
DIRECTION_SELL = '1' # 卖出
PRICETYPE_LIMIT = '2' # 限价
########################################################################
class Tick:
"""Tick数据对象"""
#----------------------------------------------------------------------
def __init__(self, symbol):
"""Constructor"""
self.symbol = symbol # 合约代码
self.openPrice = 0 # OHLC
self.highPrice = 0
self.lowPrice = 0
self.lastPrice = 0
self.volume = 0 # 成交量
self.openInterest = 0 # 持仓量
self.upperLimit = 0 # 涨停价
self.lowerLimit = 0 # 跌停价
self.time = '' # 更新时间和毫秒
self.ms= 0
self.bidPrice1 = 0 # 深度行情
self.bidPrice2 = 0
self.bidPrice3 = 0
self.bidPrice4 = 0
self.bidPrice5 = 0
self.askPrice1 = 0
self.askPrice2 = 0
self.askPrice3 = 0
self.askPrice4 = 0
self.askPrice5 = 0
self.bidVolume1 = 0
self.bidVolume2 = 0
self.bidVolume3 = 0
self.bidVolume4 = 0
self.bidVolume5 = 0
self.askVolume1 = 0
self.askVolume2 = 0
self.askVolume3 = 0
self.askVolume4 = 0
self.askVolume5 = 0
########################################################################
class Trade(object):
"""成交数据对象"""
#----------------------------------------------------------------------
def __init__(self, symbol):
"""Constructor"""
self.symbol = symbol # 合约代码
self.orderRef = '' # 报单号
self.tradeID = '' # 成交编号
self.direction = None # 方向
self.offset = None # 开平
self.price = 0 # 成交价
self.volume = 0 # 成交量
########################################################################
class Order(object):
"""报单数据对象"""
#----------------------------------------------------------------------
def __init__(self, symbol):
"""Constructor"""
self.symbol = symbol # 合约代码
self.orderRef = '' # 报单编号
self.direction = None # 方向
self.offset = None # 开平
self.price = 0 # 委托价
self.volumeOriginal = 0 # 报单量
self.volumeTraded = 0 # 已成交数量
self.insertTime = '' # 报单时间
self.cancelTime = '' # 撤单时间
self.frontID = 0 # 前置机编号
self.sessionID = 0 # 会话编号
self.status = '' # 报单状态代码
########################################################################
class StopOrder(object):
"""
停止单对象
用于实现价格突破某一水平后自动追入
即通常的条件单和止损单
"""
#----------------------------------------------------------------------
def __init__(self, symbol, direction, offset, price, volume, strategy):
"""Constructor"""
self.symbol = symbol
self.direction = direction
self.offset = offset
self.price = price
self.volume = volume
self.strategy = strategy
########################################################################
class StrategyEngine(object):
"""策略引擎"""
#----------------------------------------------------------------------
def __init__(self, eventEngine, mainEngine, backtesting=False):
"""Constructor"""
self.__eventEngine = eventEngine
self.mainEngine = mainEngine
self.backtesting = backtesting # 是否在进行回测
# 获取代表今日的datetime
t = datetime.today()
self.today = t.replace(hour=0, minute=0, second=0, microsecond=0)
# 保存所有报单数据的字典
self.__dictOrder = {}
# 保存策略对象的字典
# key为策略名称
# value为策略对象
self.dictStrategy = {}
# 保存合约代码和策略对象映射关系的字典
# key为合约代码
# value为交易该合约的策略列表
self.__dictSymbolStrategy = {}
# 保存报单编号和策略对象映射关系的字典
# key为报单编号
# value为策略对象
self.__dictOrderRefStrategy = {}
# 保存合约代码和相关停止单的字典
# key为合约代码
# value为该合约相关的停止单列表
self.__dictStopOrder = {}
# MongoDB数据库相关
self.__mongoConnected = False
self.__mongoConnection = None
self.__mongoTickDB = None
# 调用函数
self.__connectMongo()
self.__registerEvent()
#----------------------------------------------------------------------
def createStrategy(self, strategyName, strategySymbol, strategyClass, strategySetting):
"""创建策略"""
strategy = strategyClass(strategyName, strategySymbol, self)
self.dictStrategy[strategyName] = strategy
strategy.loadSetting(strategySetting)
# 订阅合约行情注意这里因为是CTP所以ExchangeID可以忽略
self.mainEngine.subscribe(strategySymbol, None)
# 注册策略监听
self.registerStrategy(strategySymbol, strategy)
#----------------------------------------------------------------------
def __connectMongo(self):
"""连接MongoDB数据库"""
try:
self.__mongoConnection = Connection()
self.__mongoConnected = True
self.__mongoTickDB = self.__mongoConnection['TickDB']
self.writeLog(u'策略引擎连接MongoDB成功')
except ConnectionFailure:
self.writeLog(u'策略引擎连接MongoDB失败')
#----------------------------------------------------------------------
def __recordTick(self, data):
"""将Tick数据插入到MongoDB中"""
if self.__mongoConnected:
symbol = data['InstrumentID']
data['date'] = self.today
self.__mongoTickDB[symbol].insert(data)
#----------------------------------------------------------------------
def loadTick(self, symbol, startDate, endDate=None):
"""从MongoDB中读取Tick数据"""
if self.__mongoConnected:
collection = self.__mongoTickDB[symbol]
# 如果输入了读取TICK的最后日期
if endDate:
cx = collection.find({'date':{'$gte':startDate, '$lte':endDate}})
else:
cx = collection.find({'date':{'$gte':startDate}})
return cx
else:
return None
#----------------------------------------------------------------------
def updateMarketData(self, event):
"""行情更新"""
data = event.dict_['data']
symbol = data['InstrumentID']
# 检查是否存在交易该合约的策略
if symbol in self.__dictSymbolStrategy:
# 创建TICK数据对象并更新数据
tick = Tick(symbol)
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']
# 首先检查停止单是否需要发出
self.__processStopOrder(tick)
# 将该TICK数据推送给每个策略
for strategy in self.__dictSymbolStrategy[symbol]:
strategy.onTick(tick)
# 将数据插入MongoDB数据库实盘建议另开程序记录TICK数据
if not self.backtesting:
self.__recordTick(data)
#----------------------------------------------------------------------
def __processStopOrder(self, tick):
"""处理停止单"""
symbol = tick.symbol
lastPrice = tick.lastPrice
upperLimit = tick.upperLimit
lowerLimit = tick.lowerLimit
# 如果当前有该合约上的止损单
if symbol in self.__dictStopOrder:
# 获取止损单列表
listSO = self.__dictStopOrder[symbol] # SO:stop order
# 准备一个空的已发止损单列表
listSent = []
for so in listSO:
# 如果是买入停止单,且最新成交价大于停止触发价
if so.direction == DIRECTION_BUY and lastPrice >= so.price:
# 以当日涨停价发出限价单买入
ref = self.sendOrder(symbol, DIRECTION_BUY, so.offset,
upperLimit, so.volume, strategy)
# 触发策略的止损单发出更新
so.strategy.onStopOrder(ref)
# 将该止损单对象保存到已发送列表中
listSent.append(so)
# 如果是卖出停止单,且最新成交价小于停止触发价
elif so.direction == DIRECTION_SELL and lastPrice <= so.price:
ref = self.sendOrder(symbol, DIRECTION_SELL, so.offset,
lowerLimit, so.volume, strategy)
so.strategy.onStopOrder(ref)
listSent.append(so)
# 从停止单列表中移除已经发单的停止单对象
if listSent:
for so in listSent:
listSO.remove(so)
# 检查停止单列表是否为空,若为空,则从停止单字典中移除该合约代码
if not listSO:
del self.__dictStopOrder[symbol]
#----------------------------------------------------------------------
def updateOrder(self, event):
"""报单更新"""
data = event.dict_['data']
orderRef = data['OrderRef']
# 检查是否存在监听该报单的策略
if orderRef in self.__dictOrderRefStrategy:
# 创建Order数据对象
order = Order(data['InstrumentID'])
order.orderRef = data['OrderRef']
order.direction = data['Direction']
order.offset = data['CombOffsetFlag']
order.price = data['LimitPrice']
order.volumeOriginal = data['VolumeTotalOriginal']
order.volumeTraded = data['VolumeTraded']
order.insertTime = data['InsertTime']
order.cancelTime = data['CancelTime']
order.frontID = data['FrontID']
order.sessionID = data['SessionID']
order.status = data['OrderStatus']
# 推送给策略
strategy = self.__dictOrderRefStrategy[orderRef]
strategy.onOrder(order)
# 记录该Order的数据
self.__dictOrder[orderRef] = data
#----------------------------------------------------------------------
def updateTrade(self, event):
"""成交更新"""
data = event.dict_['data']
orderRef = data['OrderRef']
if orderRef in self.__dictOrderRefStrategy:
# 创建Trade数据对象
trade = Trade(data['InstrumentID'])
trade.orderRef = orderRef
trade.tradeID = data['TradeID']
trade.direction = data['Direction']
trade.offset = data['OffsetFlag']
trade.price = data['Price']
trade.volume = data['Volume']
# 推送给策略
strategy = self.__dictOrderRefStrategy[orderRef]
strategy.onTrade(trade)
#----------------------------------------------------------------------
def sendOrder(self, symbol, direction, offset, price, volume, strategy):
"""
发单(仅允许限价单)
symbol合约代码
direction方向DIRECTION_BUY/DIRECTION_SELL
offset开平OFFSET_OPEN/OFFSET_CLOSE
price下单价格
volume下单手数
strategy策略对象
"""
contract = self.mainEngine.selectInstrument(symbol)
if contract:
ref = self.mainEngine.sendOrder(symbol,
contract['ExchangeID'],
price,
PRICETYPE_LIMIT,
volume,
direction,
offset)
self.__dictOrderRefStrategy[ref] = strategy
return ref
#----------------------------------------------------------------------
def cancelOrder(self, orderRef):
"""
撤单
"""
order = self.__dictOrder[orderRef]
symbol = order['InstrumentID']
contract = self.mainEngine.selectInstrument(symbol)
if contract:
self.mainEngine.cancelOrder(symbol,
contract['ExchangeID'],
orderRef,
order['FrontID'],
order['SessionID'])
#----------------------------------------------------------------------
def __registerEvent(self):
"""注册事件监听"""
self.__eventEngine.register(EVENT_MARKETDATA, self.updateMarketData)
self.__eventEngine.register(EVENT_ORDER, self.updateOrder)
self.__eventEngine.register(EVENT_TRADE ,self.updateTrade)
#----------------------------------------------------------------------
def writeLog(self, log):
"""写日志"""
event = Event(type_=EVENT_LOG)
event.dict_['log'] = log
self.__eventEngine.put(event)
#----------------------------------------------------------------------
def registerStrategy(self, symbol, strategy):
"""注册策略对合约TICK数据的监听"""
# 尝试获取监听该合约代码的策略的列表,若无则创建
try:
listStrategy = self.__dictSymbolStrategy[symbol]
except KeyError:
listStrategy = []
self.__dictSymbolStrategy[symbol] = listStrategy
# 防止重复注册
if strategy not in listStrategy:
listStrategy.append(strategy)
#----------------------------------------------------------------------
def placeStopOrder(self, symbol, direction, offset, price, volume, strategy):
"""
下停止单(运行于本地引擎中)
注意这里的price是停止单的触发价
"""
# 创建止损单对象
so = StopOrder(symbol, direction, offset, price, volume, strategy)
# 获取该合约相关的止损单列表
try:
listSO = self.__dictStopOrder[symbol]
except KeyError:
listSO = []
self.__dictStopOrder[symbol] = listSO
# 将该止损单插入列表中
listSO.append(so)
return so
#----------------------------------------------------------------------
def cancelStopOrder(self, so):
"""撤销停止单"""
symbol = so.symbol
try:
listSO = self.__dictStopOrder[symbol]
if so in listSO:
listSO.remove(so)
if not listSO:
del self.__dictStopOrder[symbol]
except KeyError:
pass
#----------------------------------------------------------------------
def startAll(self):
"""启动所有策略"""
for strategy in self.dictStrategy.values():
strategy.start()
#----------------------------------------------------------------------
def stopAll(self):
"""停止所有策略"""
for strategy in self.dictStrategy.values():
strategy.stop()
########################################################################
class StrategyTemplate(object):
"""策略模板"""
#----------------------------------------------------------------------
def __init__(self, name, symbol, engine):
"""Constructor"""
self.name = name # 策略名称(注意唯一性)
self.symbol = symbol # 策略交易的合约
self.engine = engine # 策略引擎对象
self.trading = False # 策略是否启动交易
#----------------------------------------------------------------------
def onTick(self, tick):
"""行情更新"""
raise NotImplementedError
#----------------------------------------------------------------------
def onTrade(self, trade):
"""交易更新"""
raise NotImplementedError
#----------------------------------------------------------------------
def onOrder(self, order):
"""报单更新"""
raise NotImplementedError
#----------------------------------------------------------------------
def onStopOrder(self, orderRef):
"""停止单更新"""
raise NotImplementedError
#----------------------------------------------------------------------
def onBar(self, o, h, l, c, volume, time):
"""K线数据更新"""
raise NotImplementedError
#----------------------------------------------------------------------
def start(self):
"""
启动交易
这里是最简单的改变self.trading
有需要可以重新实现更复杂的操作
"""
self.trading = True
self.engine.writeLog(self.name + u'开始运行')
#----------------------------------------------------------------------
def stop(self):
"""
停止交易
同上
"""
self.trading = False
self.engine.writeLog(self.name + u'停止运行')
#----------------------------------------------------------------------
def loadSetting(self, setting):
"""
载入设置
setting通常是一个包含了参数设置的字典
"""
raise NotImplementedError
#----------------------------------------------------------------------
def buy(self, price, volume, stopOrder=False):
"""买入开仓"""
if self.trading:
if stopOrder:
so = self.engine.placeStopOrder(self.symbol, DIRECTION_BUY,
OFFSET_OPEN, price, volume, self)
return so
else:
ref = self.engine.sendOrder(self.symbol, DIRECTION_BUY,
OFFSET_OPEN, price, volume, self)
return ref
else:
return None
#----------------------------------------------------------------------
def cover(self, price, volume, stopOrder=False):
"""买入平仓"""
if self.trading:
if stopOrder:
so = self.engine.placeStopOrder(self.symbol, DIRECTION_BUY,
OFFSET_CLOSE, price, volume, self)
return so
else:
ref = self.engine.sendOrder(self.symbol, DIRECTION_BUY,
OFFSET_CLOSE, price, volume, self)
return ref
else:
return None
#----------------------------------------------------------------------
def sell(self, price, volume, stopOrder=False):
"""卖出平仓"""
if self.trading:
if stopOrder:
so = self.engine.placeStopOrder(self.symbol, DIRECTION_SELL,
OFFSET_CLOSE, price, volume, self)
return so
else:
ref = self.engine.sendOrder(self.symbol, DIRECTION_SELL,
OFFSET_CLOSE, price, volume, self)
return ref
else:
return None
#----------------------------------------------------------------------
def short(self, price, volume, stopOrder=False):
"""卖出开仓"""
if self.trading:
if stopOrder:
so = self.engine.placeStopOrder(self.symbol, DIRECTION_SELL,
OFFSET_OPEN, price, volume, self)
return so
else:
ref = self.engine.sendOrder(self.symbol, DIRECTION_SELL,
OFFSET_OPEN, price, volume, self)
return ref
else:
return None
#----------------------------------------------------------------------
def cancelOrder(self, orderRef):
"""撤单"""
self.engine.cancelOrder(orderRef)
#----------------------------------------------------------------------
def cancelStopOrder(self, so):
"""撤销停止单"""
self.engine.cancelStopOrder(so)