1164 lines
41 KiB
Python
1164 lines
41 KiB
Python
# encoding: UTF-8
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from datetime import datetime,timedelta
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print u'StragegyEngine.py import datetime.datetime success'
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from pymongo import MongoClient as Connection
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print u'demoStrategy.py import pymongo.Connection success'
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from pymongo.errors import *
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print u'demoStrategy.py import pymongo.errors.* success'
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from eventEngine import *
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print u'demoStrategy.py import eventEngine.* success'
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from vtConstant import *
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import MySQLdb
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import os
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import sys
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import cPickle
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import json
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# 常量定义
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OFFSET_OPEN = '0' # 开仓
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OFFSET_CLOSE = '1' # 平仓
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DIRECTION_BUY = '0' # 买入 多
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DIRECTION_SELL = '1' # 卖出 空
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PRICETYPE_LIMIT = '2' # 限价
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# buy 买入开仓 开多 : DIRECTION_BUY = '0' OFFSET_OPEN = '0'
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# sell 卖出平仓 平多 : DIRECTION_SELL = '1' OFFSET_CLOSE = '1'
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# short 卖出开仓 开空 : DIRECTION_SELL = '1' OFFSET_OPEN = '0'
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# cover 买入平仓 平空 : DIRECTION_BUY = '0' OFFSET_CLOSE = '1'
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########################################################################
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class Tick:
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"""Tick数据对象"""
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#----------------------------------------------------------------------
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def __init__(self, symbol):
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"""Constructor"""
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self.symbol = symbol # 合约代码
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self.openPrice = 0 # OHLC
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self.highPrice = 0
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self.lowPrice = 0
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self.lastPrice = 0
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self.volume = 0 # 成交量
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self.openInterest = 0 # 持仓量
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self.upperLimit = 0 # 涨停价
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self.lowerLimit = 0 # 跌停价
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self.time = '' # 更新时间和毫秒
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self.ms= 0
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self.bidPrice1 = 0 # 深度行情
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self.bidPrice2 = 0
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self.bidPrice3 = 0
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self.bidPrice4 = 0
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self.bidPrice5 = 0
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self.askPrice1 = 0
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self.askPrice2 = 0
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self.askPrice3 = 0
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self.askPrice4 = 0
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self.askPrice5 = 0
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self.bidVolume1 = 0
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self.bidVolume2 = 0
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self.bidVolume3 = 0
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self.bidVolume4 = 0
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self.bidVolume5 = 0
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self.askVolume1 = 0
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self.askVolume2 = 0
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self.askVolume3 = 0
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self.askVolume4 = 0
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self.askVolume5 = 0
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########################################################################
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class Bar(object):
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"""K线数据"""
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#----------------------------------------------------------------------
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def __init__(self):
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"""Constructor"""
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self.symbol = EMPTY_STRING # 代码
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#self.exchange = EMPTY_STRING # 交易所
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self.open = EMPTY_FLOAT # OHLC
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self.high = EMPTY_FLOAT
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self.low = EMPTY_FLOAT
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self.close = EMPTY_FLOAT
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self.date = EMPTY_STRING # bar开始的时间，日期
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self.time = EMPTY_STRING # 时间
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self.datetime = None # python的datetime时间对象
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self.volume = EMPTY_INT # 成交量
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self.openInterest = EMPTY_INT # 持仓量
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########################################################################
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class EmaData(object):
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"""数据"""
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#----------------------------------------------------------------------
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def __init__(self):
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"""Constructor"""
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self.symbol = EMPTY_STRING # 代码
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self.fastEMA = EMPTY_FLOAT # 快速EMA的数值
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self.slowEMA = EMPTY_FLOAT # 慢速EMA的数值
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self.date = EMPTY_STRING # EMA开始的时间，日期
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self.time = EMPTY_STRING # 时间
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self.datetime = None # python的datetime时间对象
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########################################################################
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class Trade(object):
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"""成交数据对象"""
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#----------------------------------------------------------------------
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def __init__(self, symbol):
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"""Constructor"""
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self.symbol = symbol # 合约代码
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self.orderRef = '' # 报单号
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self.tradeID = '' # 成交编号
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self.direction = None # 方向
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self.offset = None # 开平
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self.price = 0 # 成交价
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self.volume = 0 # 成交量
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self.tradeTime = '' # 成交时间
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########################################################################
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class Order(object):
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"""报单数据对象"""
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#----------------------------------------------------------------------
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def __init__(self, symbol):
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"""Constructor"""
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self.symbol = symbol # 合约代码
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self.orderRef = '' # 报单编号
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self.direction = None # 方向
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self.offset = None # 开平
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self.price = 0 # 委托价
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self.volumeOriginal = 0 # 报单量
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self.volumeTraded = 0 # 已成交数量
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self.insertTime = '' # 报单时间
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self.cancelTime = '' # 撤单时间
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self.frontID = 0 # 前置机编号
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self.sessionID = 0 # 会话编号
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self.status = '' # 报单状态代码
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self.preTradeID = '' # 上一成交单编号（用于平仓）
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########################################################################
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class StopOrder(object):
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"""
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停止单对象
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用于实现价格突破某一水平后自动追入
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即通常的条件单和止损单
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"""
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#----------------------------------------------------------------------
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def __init__(self, symbol, direction, offset, price, volume, strategy):
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"""Constructor"""
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self.symbol = symbol
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self.direction = direction
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self.offset = offset
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self.price = price
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self.volume = volume
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self.strategy = strategy
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########################################################################
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class StrategyEngine(object):
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"""策略引擎"""
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#----------------------------------------------------------------------
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def __init__(self, eventEngine, mainEngine, backtesting=False):
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"""Constructor"""
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self.__eventEngine = eventEngine # 引用事件引擎
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self.mainEngine = mainEngine # 主引擎，在回测中，为backtestingEngine,在交易中，为MainEngine
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self.backtesting = backtesting # 是否在进行回测
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# 获取代表今日的datetime
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t = datetime.today()
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self.today = t.replace(hour=0, minute=0, second=0, microsecond=0)
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# 保存所有报单数据的字典
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self.__dictOrder = {}
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# 保存策略对象的字典
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# key为策略名称
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# value为策略对象
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self.dictStrategy = {}
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# 保存合约代码和策略对象映射关系的字典
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# key为合约代码
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# value为交易该合约的策略列表
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self.__dictSymbolStrategy = {}
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# 保存报单编号和策略对象映射关系的字典
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# key为报单编号
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# value为策略对象
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self.__dictOrderRefStrategy = {}
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# 保存合约代码和相关停止单（止损单）的字典
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# key为合约代码
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# value为该合约相关的停止单列表
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self.__dictStopOrder = {}
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# MongoDB/Mysql数据库相关
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#self.__mongoConnected = False
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self.__mysqlConnected = False
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#self.__mongoConnection = None
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self.__mysqlConnection = None
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#self.__mongoTickDB = None
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# 调用函数
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#self.__connectMongo()
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self.__connectMysql()
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self.__registerEvent()
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#----------------------------------------------------------------------
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def createStrategy(self, strategyName, strategySymbol, strategyClass, strategySetting):
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"""创建策略（实例化）"""
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strategy = strategyClass(strategyName, strategySymbol, self)
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self.writeLog(u"创建策略:{0}".format(strategyName))
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self.dictStrategy[strategyName] = strategy
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strategy.loadSetting(strategySetting)
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# 订阅合约行情，注意这里因为是CTP，所以ExchangeID可以忽略
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self.mainEngine.subscribe(strategySymbol, None)
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# 注册策略监听
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self.registerStrategy(strategySymbol, strategy)
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#----------------------------------------------------------------------
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#def __connectMongo(self):
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# """连接MongoDB数据库"""
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# try:
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# self.__mongoConnection = Connection()
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# self.__mongoConnected = True
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# self.__mongoTickDB = self.__mongoConnection['TickDB']
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# self.writeLog(u'策略引擎连接MongoDB成功')
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# except ConnectionFailure:
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# self.writeLog(u'策略引擎连接MongoDB失败')
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#-------------------------------------------#---------------------------
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# def __recordTickToMongo(self, data):
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# """将Tick数据插入到MongoDB中"""
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# if self.__mongoConnected:
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# symbol = data['InstrumentID']
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# data['date'] = self.today
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# self.__mongoTickDB[symbol].insert(data)
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#
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# #----------------------------------------------------------------------
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# def loadTickFromMongo(self, symbol, startDate, endDate=None):
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# """从MongoDB中读取Tick数据"""
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# if self.__mongoConnected:
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# collection = self.__mongoTickDB[symbol]
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#
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# # 如果输入了读取TICK的最后日期
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# if endDate:
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# cx = collection.find({'date':{'$gte':startDate, '$lte':endDate}})
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# else:
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# cx = collection.find({'date':{'$gte':startDate}})
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# return cx
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# else:
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# return None
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#----------------------------------------------------------------------
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def __connectMysql(self):
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"""连接MysqlDB"""
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# 载入json文件
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fileName = 'mysql_connect.json'
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try:
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f = file(fileName)
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except IOError:
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self.writeLog(u'回测引擎读取Mysql_connect.json失败')
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return
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# 解析json文件
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setting = json.load(f)
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try:
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mysql_host = str(setting['host'])
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mysql_port = int(setting['port'])
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mysql_user = str(setting['user'])
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mysql_passwd = str(setting['passwd'])
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mysql_db = str(setting['db'])
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except IOError:
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self.writeLog(u'回测引擎读取Mysql_connect.json,连接配置缺少字段，请检查')
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return
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try:
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self.__mysqlConnection = MySQLdb.connect(host=mysql_host, user=mysql_user,
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passwd=mysql_passwd, db=mysql_db, port=mysql_port)
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self.__mysqlConnected = True
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self.writeLog(u'策略引擎连接MysqlDB成功')
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except ConnectionFailure:
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self.writeLog(u'策略引擎连接MysqlDB失败')
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#----------------------------------------------------------------------
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def __recordTickToMysql(self, data):
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"""将Tick数据插入到MysqlDB中"""
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#if self.__mongoConnected:
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# symbol = data['InstrumentID']
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# data['date'] = self.today
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# self.__mongoTickDB[symbol].insert(data)
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pass
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#----------------------------------------------------------------------
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def __executeMysql(self, sql):
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"""执行mysql语句"""
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if not self.__mysqlConnected:
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self.__connectMysql()
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cur = self.__mysqlConnection.cursor(MySQLdb.cursors.DictCursor)
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try:
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cur.execute(sql)
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self.__mysqlConnection.commit()
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except Exception, e:
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print e
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print sql
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self.__connectMysql()
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cur = self.__mysqlConnection.cursor(MySQLdb.cursors.DictCursor)
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cur.execute(sql)
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self.__mysqlConnection.commit()
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#----------------------------------------------------------------------
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def loadTickFromMysql(self, symbol, startDate, endDate=None):
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"""从MysqlDB中读取Tick数据"""
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if self.__mysqlConnected:
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#获取指针
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cur = self.__mysqlConnection.cursor(MySQLdb.cursors.DictCursor)
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if endDate:
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#指定开始与结束日期
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sqlstring = ' select \'{0}\' as InstrumentID, str_to_date(concat(ndate,\' \', ntime),' \
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'\'%Y-%m-%d %H:%i:%s\') as UpdateTime,price as LastPrice,vol as Volume,' \
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'position_vol as OpenInterest,bid1_price as BidPrice1,bid1_vol as BidVolume1, ' \
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'sell1_price as AskPrice1, sell1_vol as AskVolume1 from TB_{0}MI ' \
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'where ndate between cast(\'{1}\' as date) and cast(\'{2}\' as date)'.format(symbol, startDate, endDate)
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elif startDate:
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#指定开始日期
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sqlstring = ' select \'{0}\' as InstrumentID,str_to_date(concat(ndate,\' \', ntime),' \
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'\'%Y-%m-%d %H:%i:%s\') as UpdateTime,price as LastPrice,vol as Volume,' \
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'position_vol as OpenInterest,bid1_price as BidPrice1,bid1_vol as BidVolume1, ' \
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'sell1_price as AskPrice1, sell1_vol as AskVolume1 from TB__{0}MI ' \
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'where ndate > cast(\'{1}\' as date)'.format( symbol, startDate)
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else:
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#没有指定，所有日期数据
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sqlstring =' select \'{0}\' as InstrumentID,str_to_date(concat(ndate,\' \', ntime),' \
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'\'%Y-%m-%d %H:%i:%s\') as UpdateTime,price as LastPrice,vol as Volume,' \
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'position_vol as OpenInterest,bid1_price as BidPrice1,bid1_vol as BidVolume1, ' \
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'sell1_price as AskPrice1, sell1_vol as AskVolume1 from TB__{0}MI '.format(symbol)
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print sqlstring
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count = cur.execute(sqlstring)
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# cx = cur.fetchall()
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fetch_counts = 0
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cx = None
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fetch_size = 1000
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while True:
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results = cur.fetchmany(fetch_size)
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if not results:
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break
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if fetch_counts == 0:
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cx = results
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else:
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cx = cx + results
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fetch_counts = fetch_counts+fetch_size
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print u'历史TICK数据载入{0}条'.format(fetch_counts)
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self.writeLog(u'历史TICK数据载入完成，{1}~{2},共{0}条'.format(count,startDate,endDate))
|
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|
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print u'策略引擎：历史TICK数据载入完成，{1}~{2},共{0}条'.format(count,startDate,endDate)
|
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return cx
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else:
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return None
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|
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#----------------------------------------------------------------------
|
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def loadBarFromMysql(self, symbol, startDate, endDate, barType='M5'):
|
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"""从MysqlDB中读取Bar数据
|
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startDate,（包含）开始日期
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endDate， （包含）结束日期
|
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barType ='M1' K线类型,1分钟线
|
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barType ='M5' K线类型，5分钟线
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barType = 'D1' K线类型，日线
|
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"""
|
||
|
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if self.__mysqlConnected:
|
||
|
||
#获取指针
|
||
cur = self.__mysqlConnection.cursor(MySQLdb.cursors.DictCursor)
|
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|
||
if endDate:
|
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# 指定开始与结束日期
|
||
sqlstring = 'select open,high,low,close,volume,date,time,datetime from TB_{0}{1} ' \
|
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'where date between cast(\'{2}\' as date) and cast(\'{3}\' as date) ' \
|
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'order by datetime'.format(symbol, barType, startDate, endDate)
|
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|
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elif startDate:
|
||
# 指定开始日期
|
||
sqlstring = 'select open,high,low,close,volume,date,time,datetime from TB_{0}{1} ' \
|
||
'where date > cast(\'{2}\' as date) order by datetime'.format(symbol,
|
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barType, startDate)
|
||
|
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else:
|
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# 没有指定，所有日期数据
|
||
sqlstring = 'select open,high,low,close,volume,date,time,datetime from TB_{0}{1} ' \
|
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' order by datetime'.format(symbol, barType)
|
||
|
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print sqlstring
|
||
|
||
count = cur.execute(sqlstring)
|
||
|
||
# cx = cur.fetchall()
|
||
fetch_counts = 0
|
||
|
||
cx = None
|
||
|
||
fetch_size = 1000
|
||
|
||
while True:
|
||
results = cur.fetchmany(fetch_size)
|
||
|
||
if not results:
|
||
break
|
||
|
||
if fetch_counts == 0:
|
||
cx = results
|
||
else:
|
||
cx = cx + results
|
||
|
||
fetch_counts = fetch_counts+fetch_size
|
||
|
||
print u'历史{0}Bar数据载入{1}条'.format(barType, fetch_counts)
|
||
|
||
self.writeLog(u'历史{0}Bar数据载入完成，{1}~{2},共{3}条'.format(barType,startDate, endDate, count))
|
||
|
||
print u'策略引擎：历史{0}Bar数据载入完成，{1}~{2},共{3}条'.format(barType,startDate, endDate, count)
|
||
|
||
return cx
|
||
else:
|
||
return None
|
||
|
||
#----------------------------------------------------------------------
|
||
def getMysqlDeltaDate(self,symbol, startDate, decreaseDays):
|
||
"""从mysql获取交易日天数差"""
|
||
try:
|
||
if self.__mysqlConnected:
|
||
|
||
#获取指针
|
||
cur = self.__mysqlConnection.cursor()
|
||
|
||
sqlstring='select distinct ndate from TB_{0}MI where ndate < ' \
|
||
'cast(\'{1}\' as date) order by ndate desc limit {2},1'.format(symbol, startDate, decreaseDays-1)
|
||
|
||
self.writeLog(sqlstring)
|
||
|
||
count = cur.execute(sqlstring)
|
||
|
||
if count > 0:
|
||
|
||
result = cur.fetchone()
|
||
|
||
return result[0]
|
||
|
||
else:
|
||
self.writeLog(u'MysqlDB没有查询结果，请检查日期')
|
||
|
||
else:
|
||
self.writeLog(u'MysqlDB未连接，请检查')
|
||
|
||
except MySQLdb.Error, e:
|
||
self.writeLog(u'MysqlDB载入数据失败，请检查.Error %s'.format(e))
|
||
|
||
td = timedelta(days=3)
|
||
|
||
return startDate-td;
|
||
#----------------------------------------------------------------------
|
||
def saveBarToMysql(self,id, barList):
|
||
"""
|
||
保存K线数据到数据库
|
||
id， 回测ID
|
||
barList， 对象为Bar的列表
|
||
"""
|
||
|
||
# 保存本地pickle文件
|
||
resultPath=os.getcwd()+'/result'
|
||
|
||
if not os.path.isdir(resultPath):
|
||
os.mkdir(resultPath)
|
||
|
||
resultFile = u'{0}/{1}_Bar.pickle'.format(resultPath,id)
|
||
|
||
cache= open(resultFile, mode='w')
|
||
|
||
cPickle.dump(barList,cache)
|
||
|
||
cache.close()
|
||
|
||
# 保存数据库
|
||
|
||
self.__connectMysql()
|
||
|
||
if self.__mysqlConnected:
|
||
sql = 'insert into BackTest.TB_Bar ' \
|
||
'(Id, symbol, open,high, low,close,date,time,datetime, volume, openInterest) ' \
|
||
'values '
|
||
|
||
values = ''
|
||
|
||
print u'共{0}条Bar记录.'.format(len(barList))
|
||
|
||
if len(barList) == 0:
|
||
return
|
||
|
||
counts = 0
|
||
|
||
for bar in barList:
|
||
|
||
if len(values) > 0:
|
||
values = values + ','
|
||
|
||
values = values + '(\'{0}\',\'{1}\',{2},{3},{4},{5},\'{6}\',\'{7}\',\'{8}\',{9},{10})'.format(
|
||
id,
|
||
bar.symbol,
|
||
bar.open,
|
||
bar.high,
|
||
bar.low,
|
||
bar.close,
|
||
bar.date,
|
||
bar.time,
|
||
bar.datetime.strftime('%Y-%m-%d %H:%M:%S'),
|
||
bar.volume,
|
||
bar.openInterest)
|
||
|
||
if counts >= 3600:
|
||
|
||
self.__executeMysql(sql+values)
|
||
|
||
print u'写入{0}条Bar记录'.format(counts)
|
||
|
||
counts = 0
|
||
values = ''
|
||
|
||
else:
|
||
counts = counts + 1
|
||
|
||
if counts > 0:
|
||
|
||
self.__executeMysql(sql+values)
|
||
print u'写入{0}条Bar记录'.format(counts)
|
||
|
||
|
||
#----------------------------------------------------------------------
|
||
def saveEmaToMysql(self, id, emaList):
|
||
"""
|
||
保存EMA到数据库
|
||
id,回测的编号
|
||
"""
|
||
|
||
# 保存本地pickle文件
|
||
resultPath=os.getcwd()+'/result'
|
||
|
||
if not os.path.isdir(resultPath):
|
||
os.mkdir(resultPath)
|
||
|
||
resultFile = u'{0}/{1}_Ema.pickle'.format(resultPath, id)
|
||
cache= open(resultFile, mode='w')
|
||
cPickle.dump(emaList,cache)
|
||
cache.close()
|
||
|
||
self.__connectMysql()
|
||
|
||
if self.__mysqlConnected:
|
||
sql = 'insert into BackTest.TB_Ema ' \
|
||
'(Id, symbol ,fastEMA,slowEMA ,date ,time ,datetime) ' \
|
||
'values '
|
||
|
||
values = ''
|
||
|
||
print u'共{0}条EMA记录.'.format(len(emaList))
|
||
|
||
if len(emaList) == 0:
|
||
return
|
||
|
||
counts = 0
|
||
|
||
for ema in emaList:
|
||
|
||
if len(values) > 0:
|
||
values = values + ','
|
||
|
||
values = values + '(\'{0}\',\'{1}\',{2},{3},\'{4}\',\'{5}\',\'{6}\')'.format(
|
||
id,
|
||
ema.symbol,
|
||
ema.fastEMA,
|
||
ema.slowEMA,
|
||
ema.date,
|
||
ema.time,
|
||
ema.datetime.strftime('%Y-%m-%d %H:%M:%S'))
|
||
|
||
if counts >= 3600:
|
||
|
||
self.__executeMysql(sql+values)
|
||
print u'写入{0}条EMA记录'.format(counts)
|
||
|
||
counts = 0
|
||
values = ''
|
||
|
||
else:
|
||
counts = counts + 1
|
||
|
||
if counts > 0:
|
||
|
||
self.__executeMysql(sql+values)
|
||
print u'写入{0}条EMA记录'.format(counts)
|
||
|
||
|
||
#----------------------------------------------------------------------
|
||
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 = float(data['LastPrice'])
|
||
|
||
tick.volume = data['Volume']
|
||
tick.openInterest = data['OpenInterest']
|
||
|
||
# tick.upperLimit = data['UpperLimitPrice']
|
||
# tick.lowerLimit = data['LowerLimitPrice']
|
||
|
||
tick.time = data['UpdateTime']
|
||
|
||
tick.bidPrice1 = float(data['BidPrice1'])
|
||
# tick.bidPrice2 = data['BidPrice2']
|
||
# tick.bidPrice3 = data['BidPrice3']
|
||
# tick.bidPrice4 = data['BidPrice4']
|
||
# tick.bidPrice5 = data['BidPrice5']
|
||
|
||
tick.askPrice1 = float(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/Mysql数据库，实盘建议另开程序记录TICK数据
|
||
if not self.backtesting:
|
||
# self.__recordTickToMongo(data)
|
||
self.__recordTickToMysql(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
|
||
print u'sendOrder({0},{1},{2},{3},{4}'.format(symbol,'Direction_Buy',so.offset,upperLimit,so.volume)
|
||
ref = self.sendOrder(symbol, DIRECTION_BUY, so.offset,
|
||
upperLimit, so.volume, tick.time, so.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:
|
||
print u'sendOrder({0},{1},{2},{3},{4}'.format(symbol,'Direction_Sell',so.offset,upperLimit,so.volume)
|
||
ref = self.sendOrder(symbol, DIRECTION_SELL, so.offset,
|
||
lowerLimit, so.volume,tick.time, so.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):
|
||
"""事件响应：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):
|
||
"""事件响应：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']) # 合约代码
|
||
|
||
trade.orderRef = orderRef # 报单号
|
||
trade.tradeID = data['TradeID'] # 成交编号
|
||
trade.direction = data['Direction'] # 方向
|
||
trade.offset = data['OffsetFlag'] # 开平
|
||
|
||
trade.price = data['Price'] # 成交价
|
||
trade.volume = data['Volume'] # 成交量
|
||
|
||
trade.tradeTime = data['TradeTime'] # 成交时间
|
||
|
||
# 推送给策略
|
||
strategy = self.__dictOrderRefStrategy[orderRef]
|
||
strategy.onTrade(trade)
|
||
|
||
#----------------------------------------------------------------------
|
||
def sendOrder(self, symbol, direction, offset, price, volume, ordertime, 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
|
||
ordertime:下单时间（回归测试使用）
|
||
strategy：策略对象
|
||
"""
|
||
|
||
contract = self.mainEngine.selectInstrument(symbol)
|
||
|
||
if contract:
|
||
# 调用主引擎的发单函数
|
||
ref = self.mainEngine.sendOrder(symbol,
|
||
contract['ExchangeID'],
|
||
price,
|
||
PRICETYPE_LIMIT,
|
||
volume,
|
||
direction,
|
||
offset,
|
||
ordertime)
|
||
|
||
# 添加报单编号及其映射的策略
|
||
self.__dictOrderRefStrategy[ref] = strategy
|
||
|
||
|
||
return ref
|
||
|
||
#----------------------------------------------------------------------
|
||
def cancelOrder(self, orderRef):
|
||
"""
|
||
撤单
|
||
"""
|
||
print u'strategyEngine.py cancelOrder() begin.'
|
||
order = self.__dictOrder[orderRef]
|
||
symbol = order['InstrumentID']
|
||
contract = self.mainEngine.selectInstrument(symbol)
|
||
|
||
if contract:
|
||
#调用主引擎的撤单函数
|
||
self.mainEngine.cancelOrder(symbol,
|
||
contract['ExchangeID'],
|
||
orderRef,
|
||
order['FrontID'],
|
||
order['SessionID'])
|
||
|
||
print u'strategyEngine.py cancelOrder() end.'
|
||
|
||
#----------------------------------------------------------------------
|
||
def __registerEvent(self):
|
||
"""注册事件监听"""
|
||
|
||
# 注册 订阅行情数据更新事件
|
||
self.__eventEngine.register(EVENT_MARKETDATA, self.updateMarketData)
|
||
|
||
# 注册 订阅订单更新事件
|
||
self.__eventEngine.register(EVENT_ORDER, self.updateOrder)
|
||
|
||
# 注册 订阅交易响应事件
|
||
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"""
|
||
print u'strategyEngine.py registerStrategy() begin.'
|
||
# 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)
|
||
|
||
print u'strategyEngine.py registerStrategy() end.'
|
||
|
||
#----------------------------------------------------------------------
|
||
def placeStopOrder(self, symbol, direction, offset, price, volume, strategy):
|
||
"""
|
||
下停止单（止损单，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
|
||
print u'strategyEngine.py placeStopOrder() symbol:{0}, direction:{1}, offset:{2}, price:{3}, volume:{4}.'\
|
||
.format(symbol, direction, offset, price, volume)
|
||
|
||
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"""
|
||
print( u'启动所有策略')
|
||
for strategy in self.dictStrategy.values():
|
||
|
||
strategy.start()
|
||
|
||
#----------------------------------------------------------------------
|
||
def stopAll(self):
|
||
"""停止所有策略"""
|
||
print(u'停止所有策略')
|
||
for strategy in self.dictStrategy.values():
|
||
strategy.stop()
|
||
|
||
#----------------------------------------------------------------------
|
||
def saveData(self,id):
|
||
"""保存所有策略的过程数据"""
|
||
print(u'保存所有策略的过程数据')
|
||
for strategy in self.dictStrategy.values():
|
||
strategy.saveData(id)
|
||
|
||
########################################################################
|
||
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 saveData(self,Id):
|
||
"""保存数据"""
|
||
raise NotImplementedError
|
||
|
||
#----------------------------------------------------------------------
|
||
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, orderTime, stopOrder=False ):
|
||
"""买入开仓"""
|
||
|
||
print u'strategyEngine.py StrategyTemplate({3}) buy(symbol:{0}, price:{1},volume:{2},time:{4})'.\
|
||
format(self.symbol, price, volume, self.name,orderTime)
|
||
|
||
if self.trading:
|
||
if stopOrder:
|
||
# 止损单
|
||
so = self.engine.placeStopOrder(self.symbol, DIRECTION_BUY,
|
||
OFFSET_OPEN, price, volume, self)
|
||
return so
|
||
else:
|
||
# 委托单
|
||
ref = self.engine.sendOrder(self.symbol, DIRECTION_BUY,
|
||
OFFSET_OPEN, price, volume, orderTime, self)
|
||
return ref
|
||
else:
|
||
return None
|
||
|
||
#print (u'strategyEngine.py buy() end.')
|
||
|
||
#----------------------------------------------------------------------
|
||
def cover(self, price, volume,orderTime, stopOrder=False):
|
||
"""买入平仓"""
|
||
|
||
print u'strategyEngine.py StrategyTemplate({3}) cover(symbol:{0}, price:{1},volume:{2},time:{4})'.\
|
||
format(self.symbol, price, volume, self.name, orderTime)
|
||
|
||
if self.trading:
|
||
if stopOrder:
|
||
|
||
# 止损单
|
||
so = self.engine.placeStopOrder(self.symbol, DIRECTION_BUY,
|
||
OFFSET_CLOSE, price, volume, self)
|
||
return so
|
||
else:
|
||
# 委托单
|
||
ref = self.engine.sendOrder(self.symbol, DIRECTION_BUY,
|
||
OFFSET_CLOSE, price, volume, orderTime, self)
|
||
return ref
|
||
else:
|
||
return None
|
||
|
||
print (u'strategyEngine.py cover() end.')
|
||
|
||
#----------------------------------------------------------------------
|
||
def sell(self, price, volume, orderTime, stopOrder=False):
|
||
"""卖出平仓"""
|
||
|
||
print u'strategyEngine.py StrategyTemplate({3}) sell(symbol:{0}, price:{1},volume:{2},time:{4})'.\
|
||
format(self.symbol, price, volume, self.name, orderTime)
|
||
|
||
if self.trading:
|
||
if stopOrder:
|
||
# 止损单
|
||
so = self.engine.placeStopOrder(self.symbol, DIRECTION_SELL,
|
||
OFFSET_CLOSE, price, volume, self)
|
||
return so
|
||
else:
|
||
# 委托单
|
||
ref = self.engine.sendOrder(self.symbol, DIRECTION_SELL,
|
||
OFFSET_CLOSE, price, volume, orderTime, self)
|
||
return ref
|
||
else:
|
||
return None
|
||
#print u'strategyEngine.py sell() end.'
|
||
|
||
#----------------------------------------------------------------------
|
||
def short(self, price, volume, orderTime, stopOrder=False):
|
||
"""卖出开仓"""
|
||
print u'strategyEngine.py StrategyTemplate({3}) short(symbol:{0}, price:{1},volume:{2},time:{4})'.\
|
||
format(self.symbol, price, volume, self.name, orderTime)
|
||
if self.trading:
|
||
if stopOrder:
|
||
# 止损单
|
||
so = self.engine.placeStopOrder(self.symbol, DIRECTION_SELL,
|
||
OFFSET_OPEN, price, volume, self)
|
||
return so
|
||
else:
|
||
# 委托单
|
||
ref = self.engine.sendOrder(self.symbol, DIRECTION_SELL,
|
||
OFFSET_OPEN, price, volume, orderTime, 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)
|
||
|
||
|