631 lines
22 KiB
Python
631 lines
22 KiB
Python
# encoding: UTF-8
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from datetime import datetime
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from pymongo import Connection
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from pymongo.errors import *
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from eventEngine import *
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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
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DIRECTION_SELL = '1' # 卖出
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PRICETYPE_LIMIT = '2' # 限价
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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 Trade:
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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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########################################################################
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class Order:
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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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########################################################################
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class StopOrder:
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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):
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"""Constructor"""
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self.__eventEngine = eventEngine
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self.mainEngine = mainEngine
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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数据库相关
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self.__mongoConnected = False
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self.__mongoConnection = 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.createStrategy()
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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"""
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strategy = strategyClass(strategyName, strategySymbol, self)
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self.dictStrategy[strategyName] = strategy
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strategy.initSetting(strategySetting)
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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 __recordTick(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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def loadTick(self, symbol, dt):
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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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cx = collection.find({'date':{'$gte':dt}})
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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 __updateMarketData(self, event):
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"""行情更新"""
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data = event.dict_['data']
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symbol = data['InstrumentID']
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# 检查是否存在交易该合约的策略
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if symbol in self.__dictSymbolStrategy:
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# 创建TICK数据对象并更新数据
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tick = Tick(symbol)
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tick.openPrice = data['OpenPrice']
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tick.highPrice = data['HighestPrice']
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tick.lowPrice = data['LowestPrice']
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tick.lastPrice = data['LastPrice']
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tick.volume = data['Volume']
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tick.openInterest = data['OpenInterest']
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tick.upperLimit = data['UpperLimitPrice']
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tick.lowerLimit = data['LowerLimitPrice']
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tick.time = data['UpdateTime']
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tick.ms = data['UpdateMillisec']
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tick.bidPrice1 = data['BidPrice1']
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tick.bidPrice2 = data['BidPrice2']
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tick.bidPrice3 = data['BidPrice3']
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tick.bidPrice4 = data['BidPrice4']
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tick.bidPrice5 = data['BidPrice5']
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tick.askPrice1 = data['AskPrice1']
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tick.askPrice2 = data['AskPrice2']
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tick.askPrice3 = data['AskPrice3']
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tick.askPrice4 = data['AskPrice4']
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tick.askPrice5 = data['AskPrice5']
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tick.bidVolume1 = data['BidVolume1']
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tick.bidVolume2 = data['BidVolume2']
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tick.bidVolume3 = data['BidVolume3']
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tick.bidVolume4 = data['BidVolume4']
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tick.bidVolume5 = data['BidVolume5']
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tick.askVolume1 = data['AskVolume1']
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tick.askVolume2 = data['AskVolume2']
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tick.askVolume3 = data['AskVolume3']
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tick.askVolume4 = data['AskVolume4']
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tick.askVolume5 = data['AskVolume5']
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# 首先检查停止单是否需要发出
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self.__processStopOrder(tick)
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# 将该TICK数据推送给每个策略
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for strategy in self.__dictSymbolStrategy[symbol]:
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strategy.onTick(tick)
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# 将数据插入MongoDB数据库，实盘建议另开程序记录TICK数据
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self.__recordTick(data)
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#----------------------------------------------------------------------
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def __processStopOrder(self, tick):
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"""处理停止单"""
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symbol = tick.symbol
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lastPrice = tick.lastPrice
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upperLimit = tick.upperLimit
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lowerLimit = tick.lowerLimit
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# 如果当前有该合约上的止损单
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if symbol in self.__dictStopOrder:
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# 获取止损单列表
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listSO = self.__dictStopOrder[symbol] # SO:stop order
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# 准备一个空的已发止损单列表
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listSent = []
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for so in listSO:
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# 如果是买入停止单，且最新成交价大于停止触发价
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if so.direction == DIRECTION_BUY and lastPrice >= so.price:
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# 以当日涨停价发出限价单买入
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ref = self.sendOrder(symbol, DIRECTION_BUY, so.offset,
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upperLimit, so.volume, strategy)
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# 触发策略的止损单发出更新
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so.strategy.onStopOrder(ref)
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# 将该止损单对象保存到已发送列表中
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listSent.append(so)
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# 如果是卖出停止单，且最新成交价小于停止触发价
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elif so.direction == DIRECTION_SELL and lastPrice <= so.price:
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ref = self.sendOrder(symbol, DIRECTION_SELL, so.offset,
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lowerLimit, so.volume, strategy)
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so.strategy.onStopOrder(ref)
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listSent.append(so)
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# 从停止单列表中移除已经发单的停止单对象
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if listSent:
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for so in listSent:
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listSO.remove(so)
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# 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
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if not listSO:
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del self.__dictStopOrder[symbol]
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#----------------------------------------------------------------------
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def __updateOrder(self, event):
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"""报单更新"""
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data = event.dict_['data']
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orderRef = data['OrderRef']
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# 检查是否存在监听该报单的策略
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if orderRef in self.__dictOrderRefStrategy:
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# 创建Order数据对象
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order = Order(data['InstrumentID'])
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order.orderRef = data['OrderRef']
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order.direction = data['Direction']
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order.offset = data['ComboOffsetFlag']
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order.price = data['LimitPrice']
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order.volumeOriginal = data['VolumeTotalOriginal']
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order.volumeTraded = data['VolumeTraded']
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order.insertTime = data['InsertTime']
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order.cancelTime = data['CancelTime']
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order.frontID = data['FrontID']
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order.sessionID = data['SessionID']
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order.status = data['OrderStatus']
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# 推送给策略
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strategy = self.__dictOrderRefStrategy[orderRef]
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strategy.onOrder(order)
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# 记录该Order的数据
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self.__dictOrder[orderRef] = data
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#----------------------------------------------------------------------
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def __updateTrade(self, event):
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"""成交更新"""
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data = event.dict_['data']
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orderRef = data['OrderRef']
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if orderRef in self.__dictOrderRefStrategy:
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# 创建Trade数据对象
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trade = Trade(data['InstrumentID'])
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trade.orderRef = orderRef
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trade.tradeID = data['TradeID']
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trade.direction = data['Direction']
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trade.offset = data['OffsetFlag']
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trade.price = data['Price']
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trade.volume = data['Volume']
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# 推送给策略
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strategy = self.__dictOrderRefStrategy[orderRef]
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strategy.onTrade(trade)
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#----------------------------------------------------------------------
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def sendOrder(self, symbol, direction, offset, price, volume, strategy):
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"""
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发单（仅允许限价单）
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symbol：合约代码
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direction：方向，DIRECTION_BUY/DIRECTION_SELL
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offset：开平，OFFSET_OPEN/OFFSET_CLOSE
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price：下单价格
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volume：下单手数
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strategy：策略对象
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"""
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contract = self.mainEngine.selectInstrument(symbol)
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if contract:
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ref = self.mainEngine.sendOrder(symbol,
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contract['ExchangeID'],
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price,
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PRICETYPE_LIMIT,
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volume,
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direction,
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offset)
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self.__dictOrderRefStrategy[ref] = strategy
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return ref
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#----------------------------------------------------------------------
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def cancelOrder(self, orderRef):
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"""
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撤单
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"""
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order = self.__dictOrder[orderRef]
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symbol = order['InstrumentID']
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contract = self.mainEngine.selectInstrument(symbol)
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if contract:
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self.mainEngine.cancelOrder(symbol,
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contract['ExchangeID'],
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orderRef,
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order['FrontID'],
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order['SessionID'])
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#----------------------------------------------------------------------
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def __registerEvent(self):
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"""注册事件监听"""
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self.__eventEngine.register(EVENT_MARKETDATA, self.__updateMarketData)
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self.__eventEngine.register(EVENT_ORDER, self.__updateOrder)
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self.__eventEngine.register(EVENT_TRADE ,self.__updateTrade)
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#----------------------------------------------------------------------
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def writeLog(self, log):
|
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"""写日志"""
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event = Event(type_=EVENT_LOG)
|
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event.dict_['log'] = log
|
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self.__eventEngine.put(event)
|
||
|
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#----------------------------------------------------------------------
|
||
def registerStrategy(self, symbol, strategy):
|
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"""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
|
||
|
||
#----------------------------------------------------------------------
|
||
def stop(self):
|
||
"""
|
||
停止交易
|
||
同上
|
||
"""
|
||
self.trading = False
|
||
|
||
#----------------------------------------------------------------------
|
||
def initSetting(self, setting):
|
||
"""
|
||
初始化设置
|
||
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)
|
||
|
||
|