354 lines
14 KiB
Python
354 lines
14 KiB
Python
# encoding: UTF-8
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'''
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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。
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'''
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from ctaBase import *
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from vtConstant import *
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from datetime import datetime
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########################################################################
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class CtaTemplate(object):
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"""CTA策略模板"""
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# 策略类的名称和作者
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className = 'CtaTemplate'
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author = EMPTY_UNICODE
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# MongoDB数据库的名称，K线数据库默认为1分钟
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tickDbName = TICK_DB_NAME
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barDbName = MINUTE_DB_NAME
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# 策略的基本参数
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name = 'StrategyName' # 策略实例名称
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vtSymbol = EMPTY_STRING # 交易的合约vt系统代码
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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
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shortSymbol = EMPTY_STRING # 合约类型代码
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productClass = EMPTY_STRING # 产品类型（只有IB接口需要）
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currency = EMPTY_STRING # 货币（只有IB接口需要）
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# 策略的基本变量，由引擎管理
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inited = False # 是否进行了初始化
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trading = False # 是否启动交易，由引擎管理
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pos = 0 # 持仓情况
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backtesting = False # 是否回测
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# 参数列表，保存了参数的名称
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paramList = ['name',
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'className',
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'author',
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'vtSymbol',
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'symbol',
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'shortSymbol',
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'backtesting']
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# 变量列表，保存了变量的名称
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varList = ['inited',
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'trading',
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'pos']
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# ----------------------------------------------------------------------
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def __init__(self, ctaEngine, setting):
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"""Constructor"""
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self.ctaEngine = ctaEngine
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# 委托单状态
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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
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# 保存委托单编号和相关委托单的字典
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# key为委托单编号
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# value为该合约相关的委托单
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self.uncompletedOrders = {}
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# 设置策略的参数
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if setting:
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self.writeCtaLog(u'基类设置参数')
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d = self.__dict__
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for key in self.paramList:
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if key in setting:
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d[key] = setting[key]
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# ----------------------------------------------------------------------
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def onInit(self):
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"""初始化策略（必须由用户继承实现）"""
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raise NotImplementedError
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# ----------------------------------------------------------------------
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def onStart(self):
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"""启动策略（必须由用户继承实现）"""
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raise NotImplementedError
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# ----------------------------------------------------------------------
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def onStop(self):
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"""停止策略（必须由用户继承实现）"""
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raise NotImplementedError
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# ----------------------------------------------------------------------
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def onTick(self, tick):
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"""收到行情TICK推送（必须由用户继承实现）"""
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raise NotImplementedError
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# ----------------------------------------------------------------------
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def onOrder(self, order):
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"""收到委托变化推送（必须由用户继承实现）"""
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raise NotImplementedError
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# ----------------------------------------------------------------------
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def onTrade(self, trade):
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"""收到成交推送（必须由用户继承实现）"""
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raise NotImplementedError
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#----------------------------------------------------------------------
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def onBar(self, bar):
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"""收到Bar推送（必须由用户继承实现）"""
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raise NotImplementedError
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# ----------------------------------------------------------------------
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def buy(self, price, volume, stop=False ,orderTime=datetime.now()):
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"""买开"""
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orderID = self.sendOrder(CTAORDER_BUY, price, volume, stop)
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if orderID !='':
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self.entrust = 1 # 委托状态
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self.uncompletedOrders[orderID] = {'DIRECTION': DIRECTION_LONG,
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'OFFSET': OFFSET_OPEN,
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'Volume': volume,
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'Price': price,
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'OrderTime': orderTime
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}
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return orderID
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else:
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# 交易停止时发单返回空字符串
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return ''
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# ----------------------------------------------------------------------
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def sell(self, price, volume, stop=False, orderTime=datetime.now()):
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"""卖平"""
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orderID = self.sendOrder(CTAORDER_SELL, price, volume, stop)
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if orderID !='':
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self.entrust = -1 # 置当前策略的委托单状态
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# 记录委托单
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self.uncompletedOrders[orderID] = {'DIRECTION': DIRECTION_SHORT,
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'OFFSET': OFFSET_CLOSE,
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'Volume': volume,
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'Price': price,
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'OrderTime': orderTime
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}
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return orderID
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else:
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# 交易停止时发单返回空字符串
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return ''
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# ----------------------------------------------------------------------
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def short(self, price, volume, stop=False, orderTime=datetime.now()):
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"""卖开"""
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orderID = self.sendOrder(CTAORDER_SHORT, price, volume, stop)
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if orderID !='':
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self.entrust = -1 # 委托状态
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self.uncompletedOrders[orderID] = {'DIRECTION': DIRECTION_SHORT,
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'OFFSET': OFFSET_OPEN,
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'Volume': volume,
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'Price': price,
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'OrderTime': orderTime
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}
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return orderID
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else:
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# 交易停止时发单返回空字符串
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return ''
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# ----------------------------------------------------------------------
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def cover(self, price, volume, stop=False, orderTime=datetime.now()):
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"""买平"""
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orderID = self.sendOrder(CTAORDER_COVER, price, volume, stop)
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if orderID !='':
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self.entrust = 1 # 置当前策略的委托单状态
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# 记录委托单
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self.uncompletedOrders[orderID] = {'DIRECTION': DIRECTION_LONG,
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'OFFSET': OFFSET_CLOSE,
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'Volume': volume,
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'Price': price,
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'OrderTime': orderTime
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}
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return orderID
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else:
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# 交易停止时发单返回空字符串
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return ''
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# ----------------------------------------------------------------------
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def sendOrder(self, orderType, price, volume, stop=False):
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"""发送委托"""
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if self.trading:
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# 如果stop为True，则意味着发本地停止单
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if stop:
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vtOrderID = self.ctaEngine.sendStopOrder(self.vtSymbol, orderType, price, volume, self)
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else:
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vtOrderID = self.ctaEngine.sendOrder(self.vtSymbol, orderType, price, volume, self)
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return vtOrderID
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else:
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# 交易停止时发单返回空字符串
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return ''
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#----------------------------------------------------------------------
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def cancelOrder(self, vtOrderID):
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"""撤单"""
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# 如果发单号为空字符串，则不进行后续操作
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if not vtOrderID or vtOrderID == '':
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return
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if STOPORDERPREFIX in vtOrderID:
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self.ctaEngine.cancelStopOrder(vtOrderID)
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else:
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self.ctaEngine.cancelOrder(vtOrderID)
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#----------------------------------------------------------------------
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def insertTick(self, tick):
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"""向数据库中插入tick数据"""
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self.ctaEngine.insertData(self.tickDbName, self.vtSymbol, tick)
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#----------------------------------------------------------------------
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def insertBar(self, bar):
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"""向数据库中插入bar数据"""
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self.ctaEngine.insertData(self.barDbName, self.vtSymbol, bar)
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#----------------------------------------------------------------------
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def loadTick(self, days):
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"""读取tick数据"""
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return self.ctaEngine.loadTick(self.tickDbName, self.vtSymbol, days)
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#----------------------------------------------------------------------
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def loadBar(self, days):
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"""读取bar数据"""
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return self.ctaEngine.loadBar(self.barDbName, self.vtSymbol, days)
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# ----------------------------------------------------------------------
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def setParam(self, setting):
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"""设置参数"""
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d = self.__dict__
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for key in self.paramList:
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if key in setting:
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d[key] = setting[key]
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# ----------------------------------------------------------------------
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def getToday(self):
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"""查询当前日期"""
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return self.ctaEngine.getToday()
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# ----------------------------------------------------------------------
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def writeCtaLog(self, content):
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"""记录CTA日志"""
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content = self.name + ':' + content
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self.ctaEngine.writeCtaLog(content)
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#----------------------------------------------------------------------
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def putEvent(self):
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"""发出策略状态变化事件"""
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self.ctaEngine.putStrategyEvent(self.name)
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########################################################################
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class DataRecorder(CtaTemplate):
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"""
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纯粹用来记录历史数据的工具（基于CTA策略），
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建议运行在实际交易程序外的一个vn.trader实例中，
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本工具会记录Tick和1分钟K线数据。
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"""
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className = 'DataRecorder'
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author = u'用Python的交易员'
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# 策略的基本参数
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name = EMPTY_UNICODE # 策略实例名称
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vtSymbol = EMPTY_STRING # 交易的合约vt系统代码
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# 策略的变量
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bar = None # K线数据对象
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barMinute = EMPTY_STRING # 当前的分钟，初始化设为-1
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# 变量列表，保存了变量的名称
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varList = ['inited',
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'trading',
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'pos',
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'barMinute']
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#----------------------------------------------------------------------
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def __init__(self, ctaEngine, setting):
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"""Constructor"""
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super(DataRecorder, self).__init__(ctaEngine, setting)
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#----------------------------------------------------------------------
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def onInit(self):
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"""初始化"""
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self.writeCtaLog(u'数据记录工具初始化')
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#----------------------------------------------------------------------
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def onStart(self):
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"""启动策略（必须由用户继承实现）"""
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self.writeCtaLog(u'数据记录工具启动')
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self.putEvent()
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#----------------------------------------------------------------------
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def onStop(self):
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"""停止策略（必须由用户继承实现）"""
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self.writeCtaLog(u'数据记录工具停止')
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self.putEvent()
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#----------------------------------------------------------------------
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def onTick(self, tick):
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"""收到行情TICK推送"""
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# 收到Tick后，首先插入到数据库里
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self.insertTick(tick)
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# 计算K线
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tickMinute = tick.datetime.minute
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if tickMinute != self.barMinute: # 如果分钟变了，则把旧的K线插入数据库，并生成新的K线
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if self.bar:
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self.onBar(self.bar)
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bar = CtaBarData() # 创建新的K线，目的在于防止之前K线对象在插入Mongo中被再次修改，导致出错
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bar.vtSymbol = tick.vtSymbol
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bar.symbol = tick.symbol
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bar.exchange = tick.exchange
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bar.open = tick.lastPrice
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bar.high = tick.lastPrice
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bar.low = tick.lastPrice
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bar.close = tick.lastPrice
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bar.date = tick.date
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bar.time = tick.time
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bar.datetime = tick.datetime # K线的时间设为第一个Tick的时间
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bar.volume = tick.volume
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bar.openInterest = tick.openInterest
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self.bar = bar # 这种写法为了减少一层访问，加快速度
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self.barMinute = tickMinute # 更新当前的分钟
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else: # 否则继续累加新的K线
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bar = self.bar # 写法同样为了加快速度
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bar.high = max(bar.high, tick.lastPrice)
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bar.low = min(bar.low, tick.lastPrice)
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bar.close = tick.lastPrice
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bar.volume = bar.volume + tick.volume # 成交量是累加的
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bar.openInterest = tick.openInterest # 持仓量直接更新
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#----------------------------------------------------------------------
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def onOrder(self, order):
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"""收到委托变化推送"""
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pass
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#----------------------------------------------------------------------
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def onTrade(self, trade):
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"""收到成交推送"""
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pass
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#----------------------------------------------------------------------
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def onBar(self, bar):
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"""收到Bar推送"""
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self.insertBar(bar) |