632 lines
25 KiB
Python
632 lines
25 KiB
Python
# encoding: UTF-8
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'''
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本文件中实现了CTA策略引擎，针对CTA类型的策略，抽象简化了部分底层接口的功能。
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关于平今和平昨规则：
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1. 普通的平仓OFFSET_CLOSET等于平昨OFFSET_CLOSEYESTERDAY
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2. 只有上期所的品种需要考虑平今和平昨的区别
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3. 当上期所的期货有今仓时，调用Sell和Cover会使用OFFSET_CLOSETODAY，否则
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会使用OFFSET_CLOSE
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4. 以上设计意味着如果Sell和Cover的数量超过今日持仓量时，会导致出错（即用户
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希望通过一个指令同时平今和平昨）
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5. 采用以上设计的原因是考虑到vn.trader的用户主要是对TB、MC和金字塔类的平台
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感到功能不足的用户（即希望更高频的交易），交易策略不应该出现4中所述的情况
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6. 对于想要实现4中所述情况的用户，需要实现一个策略信号引擎和交易委托引擎分开
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的定制化统结构（没错，得自己写）
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'''
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from __future__ import division
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import json
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import os
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import traceback
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from collections import OrderedDict
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from datetime import datetime, timedelta
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from vnpy.event import Event
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from vnpy.trader.vtEvent import *
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from vnpy.trader.vtConstant import *
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from vnpy.trader.vtObject import VtTickData, VtBarData
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from vnpy.trader.vtGateway import VtSubscribeReq, VtOrderReq, VtCancelOrderReq, VtLogData
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from vnpy.trader.vtFunction import todayDate, getJsonPath
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from .ctaBase import *
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from .strategy import STRATEGY_CLASS
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########################################################################
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class CtaEngine(object):
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"""CTA策略引擎"""
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settingFileName = 'CTA_setting.json'
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settingfilePath = getJsonPath(settingFileName, __file__)
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STATUS_FINISHED = set([STATUS_REJECTED, STATUS_CANCELLED, STATUS_ALLTRADED])
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#----------------------------------------------------------------------
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def __init__(self, mainEngine, eventEngine):
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"""Constructor"""
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self.mainEngine = mainEngine
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self.eventEngine = eventEngine
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# 当前日期
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self.today = todayDate()
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# 保存策略实例的字典
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# key为策略名称，value为策略实例，注意策略名称不允许重复
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self.strategyDict = {}
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# 保存vtSymbol和策略实例映射的字典（用于推送tick数据）
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# 由于可能多个strategy交易同一个vtSymbol，因此key为vtSymbol
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# value为包含所有相关strategy对象的list
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self.tickStrategyDict = {}
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# 保存vtOrderID和strategy对象映射的字典（用于推送order和trade数据）
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# key为vtOrderID，value为strategy对象
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self.orderStrategyDict = {}
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# 本地停止单编号计数
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self.stopOrderCount = 0
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# stopOrderID = STOPORDERPREFIX + str(stopOrderCount)
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# 本地停止单字典
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# key为stopOrderID，value为stopOrder对象
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self.stopOrderDict = {} # 停止单撤销后不会从本字典中删除
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self.workingStopOrderDict = {} # 停止单撤销后会从本字典中删除
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# 保存策略名称和委托号列表的字典
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# key为name，value为保存orderID（限价+本地停止）的集合
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self.strategyOrderDict = {}
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# 成交号集合，用来过滤已经收到过的成交推送
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self.tradeSet = set()
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# 引擎类型为实盘
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self.engineType = ENGINETYPE_TRADING
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# 注册日式事件类型
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self.mainEngine.registerLogEvent(EVENT_CTA_LOG)
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# 注册事件监听
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self.registerEvent()
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#----------------------------------------------------------------------
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def sendOrder(self, vtSymbol, orderType, price, volume, strategy):
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"""发单"""
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contract = self.mainEngine.getContract(vtSymbol)
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req = VtOrderReq()
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req.symbol = contract.symbol
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req.exchange = contract.exchange
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req.vtSymbol = contract.vtSymbol
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req.price = self.roundToPriceTick(contract.priceTick, price)
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req.volume = volume
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req.productClass = strategy.productClass
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req.currency = strategy.currency
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# 设计为CTA引擎发出的委托只允许使用限价单
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req.priceType = PRICETYPE_LIMITPRICE
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# CTA委托类型映射
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if orderType == CTAORDER_BUY:
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req.direction = DIRECTION_LONG
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req.offset = OFFSET_OPEN
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elif orderType == CTAORDER_SELL:
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req.direction = DIRECTION_SHORT
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req.offset = OFFSET_CLOSE
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elif orderType == CTAORDER_SHORT:
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req.direction = DIRECTION_SHORT
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req.offset = OFFSET_OPEN
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elif orderType == CTAORDER_COVER:
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req.direction = DIRECTION_LONG
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req.offset = OFFSET_CLOSE
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# 委托转换
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reqList = self.mainEngine.convertOrderReq(req)
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vtOrderIDList = []
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if not reqList:
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return vtOrderIDList
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for convertedReq in reqList:
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vtOrderID = self.mainEngine.sendOrder(convertedReq, contract.gatewayName) # 发单
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self.orderStrategyDict[vtOrderID] = strategy # 保存vtOrderID和策略的映射关系
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self.strategyOrderDict[strategy.name].add(vtOrderID) # 添加到策略委托号集合中
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vtOrderIDList.append(vtOrderID)
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self.writeCtaLog(u'策略%s发送委托，%s，%s，%s@%s'
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%(strategy.name, vtSymbol, req.direction, volume, price))
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return vtOrderIDList
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#----------------------------------------------------------------------
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def cancelOrder(self, vtOrderID):
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"""撤单"""
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# 查询报单对象
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order = self.mainEngine.getOrder(vtOrderID)
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# 如果查询成功
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if order:
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# 检查是否报单还有效，只有有效时才发出撤单指令
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orderFinished = (order.status==STATUS_ALLTRADED or order.status==STATUS_CANCELLED)
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if not orderFinished:
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req = VtCancelOrderReq()
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req.symbol = order.symbol
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req.exchange = order.exchange
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req.frontID = order.frontID
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req.sessionID = order.sessionID
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req.orderID = order.orderID
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self.mainEngine.cancelOrder(req, order.gatewayName)
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#----------------------------------------------------------------------
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def sendStopOrder(self, vtSymbol, orderType, price, volume, strategy):
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"""发停止单（本地实现）"""
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self.stopOrderCount += 1
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stopOrderID = STOPORDERPREFIX + str(self.stopOrderCount)
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so = StopOrder()
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so.vtSymbol = vtSymbol
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so.orderType = orderType
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so.price = price
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so.volume = volume
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so.strategy = strategy
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so.stopOrderID = stopOrderID
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so.status = STOPORDER_WAITING
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if orderType == CTAORDER_BUY:
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so.direction = DIRECTION_LONG
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so.offset = OFFSET_OPEN
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elif orderType == CTAORDER_SELL:
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so.direction = DIRECTION_SHORT
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so.offset = OFFSET_CLOSE
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elif orderType == CTAORDER_SHORT:
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so.direction = DIRECTION_SHORT
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so.offset = OFFSET_OPEN
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elif orderType == CTAORDER_COVER:
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so.direction = DIRECTION_LONG
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so.offset = OFFSET_CLOSE
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# 保存stopOrder对象到字典中
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self.stopOrderDict[stopOrderID] = so
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self.workingStopOrderDict[stopOrderID] = so
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# 保存stopOrderID到策略委托号集合中
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self.strategyOrderDict[strategy.name].add(stopOrderID)
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# 推送停止单状态
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strategy.onStopOrder(so)
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return [stopOrderID]
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#----------------------------------------------------------------------
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def cancelStopOrder(self, stopOrderID):
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"""撤销停止单"""
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# 检查停止单是否存在
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if stopOrderID in self.workingStopOrderDict:
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so = self.workingStopOrderDict[stopOrderID]
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strategy = so.strategy
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# 更改停止单状态为已撤销
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so.status = STOPORDER_CANCELLED
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# 从活动停止单字典中移除
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del self.workingStopOrderDict[stopOrderID]
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# 从策略委托号集合中移除
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s = self.strategyOrderDict[strategy.name]
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if stopOrderID in s:
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s.remove(stopOrderID)
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# 通知策略
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strategy.onStopOrder(so)
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#----------------------------------------------------------------------
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def processStopOrder(self, tick):
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"""收到行情后处理本地停止单（检查是否要立即发出）"""
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vtSymbol = tick.vtSymbol
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# 首先检查是否有策略交易该合约
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if vtSymbol in self.tickStrategyDict:
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# 遍历等待中的停止单，检查是否会被触发
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for so in self.workingStopOrderDict.values():
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if so.vtSymbol == vtSymbol:
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longTriggered = so.direction==DIRECTION_LONG and tick.lastPrice>=so.price # 多头停止单被触发
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shortTriggered = so.direction==DIRECTION_SHORT and tick.lastPrice<=so.price # 空头停止单被触发
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if longTriggered or shortTriggered:
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# 买入和卖出分别以涨停跌停价发单（模拟市价单）
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if so.direction==DIRECTION_LONG:
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price = tick.upperLimit
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else:
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price = tick.lowerLimit
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# 发出市价委托
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self.sendOrder(so.vtSymbol, so.orderType, price, so.volume, so.strategy)
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# 从活动停止单字典中移除该停止单
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del self.workingStopOrderDict[so.stopOrderID]
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# 从策略委托号集合中移除
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s = self.strategyOrderDict[so.strategy.name]
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if so.stopOrderID in s:
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s.remove(so.stopOrderID)
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# 更新停止单状态，并通知策略
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so.status = STOPORDER_TRIGGERED
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so.strategy.onStopOrder(so)
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#----------------------------------------------------------------------
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def processTickEvent(self, event):
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"""处理行情推送"""
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tick = event.dict_['data']
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# 收到tick行情后，先处理本地停止单（检查是否要立即发出）
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self.processStopOrder(tick)
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# 推送tick到对应的策略实例进行处理
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if tick.vtSymbol in self.tickStrategyDict:
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# tick时间可能出现异常数据，使用try...except实现捕捉和过滤
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try:
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# 添加datetime字段
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if not tick.datetime:
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tick.datetime = datetime.strptime(' '.join([tick.date, tick.time]), '%Y%m%d %H:%M:%S.%f')
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except ValueError:
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self.writeCtaLog(traceback.format_exc())
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return
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# 逐个推送到策略实例中
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l = self.tickStrategyDict[tick.vtSymbol]
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for strategy in l:
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self.callStrategyFunc(strategy, strategy.onTick, tick)
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#----------------------------------------------------------------------
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def processOrderEvent(self, event):
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"""处理委托推送"""
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order = event.dict_['data']
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vtOrderID = order.vtOrderID
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if vtOrderID in self.orderStrategyDict:
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strategy = self.orderStrategyDict[vtOrderID]
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# 如果委托已经完成（拒单、撤销、全成），则从活动委托集合中移除
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if order.status in self.STATUS_FINISHED:
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s = self.strategyOrderDict[strategy.name]
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if vtOrderID in s:
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s.remove(vtOrderID)
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self.callStrategyFunc(strategy, strategy.onOrder, order)
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#----------------------------------------------------------------------
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def processTradeEvent(self, event):
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"""处理成交推送"""
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trade = event.dict_['data']
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# 过滤已经收到过的成交回报
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if trade.vtTradeID in self.tradeSet:
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return
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self.tradeSet.add(trade.vtTradeID)
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# 将成交推送到策略对象中
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if trade.vtOrderID in self.orderStrategyDict:
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strategy = self.orderStrategyDict[trade.vtOrderID]
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# 计算策略持仓
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if trade.direction == DIRECTION_LONG:
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strategy.pos += trade.volume
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else:
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strategy.pos -= trade.volume
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self.callStrategyFunc(strategy, strategy.onTrade, trade)
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# 保存策略持仓到数据库
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self.savePosition(strategy)
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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_TICK, self.processTickEvent)
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self.eventEngine.register(EVENT_ORDER, self.processOrderEvent)
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self.eventEngine.register(EVENT_TRADE, self.processTradeEvent)
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#----------------------------------------------------------------------
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def insertData(self, dbName, collectionName, data):
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"""插入数据到数据库（这里的data可以是VtTickData或者VtBarData）"""
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self.mainEngine.dbInsert(dbName, collectionName, data.__dict__)
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#----------------------------------------------------------------------
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def loadBar(self, dbName, collectionName, days):
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"""从数据库中读取Bar数据，startDate是datetime对象"""
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startDate = self.today - timedelta(days)
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d = {'datetime':{'$gte':startDate}}
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barData = self.mainEngine.dbQuery(dbName, collectionName, d, 'datetime')
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l = []
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for d in barData:
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bar = VtBarData()
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bar.__dict__ = d
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l.append(bar)
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return l
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#----------------------------------------------------------------------
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def loadTick(self, dbName, collectionName, days):
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"""从数据库中读取Tick数据，startDate是datetime对象"""
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startDate = self.today - timedelta(days)
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d = {'datetime':{'$gte':startDate}}
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tickData = self.mainEngine.dbQuery(dbName, collectionName, d, 'datetime')
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l = []
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for d in tickData:
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tick = VtTickData()
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tick.__dict__ = d
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l.append(tick)
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return l
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#----------------------------------------------------------------------
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def writeCtaLog(self, content):
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"""快速发出CTA模块日志事件"""
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log = VtLogData()
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log.logContent = content
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log.gatewayName = 'CTA_STRATEGY'
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event = Event(type_=EVENT_CTA_LOG)
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event.dict_['data'] = log
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self.eventEngine.put(event)
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#----------------------------------------------------------------------
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def loadStrategy(self, setting):
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"""载入策略"""
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try:
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name = setting['name']
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className = setting['className']
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except Exception, e:
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self.writeCtaLog(u'载入策略出错：%s' %e)
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return
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# 获取策略类
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strategyClass = STRATEGY_CLASS.get(className, None)
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if not strategyClass:
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self.writeCtaLog(u'找不到策略类：%s' %className)
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return
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# 防止策略重名
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if name in self.strategyDict:
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self.writeCtaLog(u'策略实例重名：%s' %name)
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else:
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# 创建策略实例
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strategy = strategyClass(self, setting)
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self.strategyDict[name] = strategy
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# 创建委托号列表
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self.strategyOrderDict[name] = set()
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# 保存Tick映射关系
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if strategy.vtSymbol in self.tickStrategyDict:
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l = self.tickStrategyDict[strategy.vtSymbol]
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else:
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l = []
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self.tickStrategyDict[strategy.vtSymbol] = l
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l.append(strategy)
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# 订阅合约
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contract = self.mainEngine.getContract(strategy.vtSymbol)
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if contract:
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req = VtSubscribeReq()
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req.symbol = contract.symbol
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req.exchange = contract.exchange
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# 对于IB接口订阅行情时所需的货币和产品类型，从策略属性中获取
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req.currency = strategy.currency
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req.productClass = strategy.productClass
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self.mainEngine.subscribe(req, contract.gatewayName)
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else:
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self.writeCtaLog(u'%s的交易合约%s无法找到' %(name, strategy.vtSymbol))
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#----------------------------------------------------------------------
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def initStrategy(self, name):
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"""初始化策略"""
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if name in self.strategyDict:
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strategy = self.strategyDict[name]
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if not strategy.inited:
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strategy.inited = True
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self.callStrategyFunc(strategy, strategy.onInit)
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else:
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self.writeCtaLog(u'请勿重复初始化策略实例：%s' %name)
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else:
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self.writeCtaLog(u'策略实例不存在：%s' %name)
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#---------------------------------------------------------------------
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def startStrategy(self, name):
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"""启动策略"""
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if name in self.strategyDict:
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strategy = self.strategyDict[name]
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if strategy.inited and not strategy.trading:
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strategy.trading = True
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self.callStrategyFunc(strategy, strategy.onStart)
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else:
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self.writeCtaLog(u'策略实例不存在：%s' %name)
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#----------------------------------------------------------------------
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def stopStrategy(self, name):
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"""停止策略"""
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if name in self.strategyDict:
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strategy = self.strategyDict[name]
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if strategy.trading:
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strategy.trading = False
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self.callStrategyFunc(strategy, strategy.onStop)
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# 对该策略发出的所有限价单进行撤单
|
||
for vtOrderID, s in self.orderStrategyDict.items():
|
||
if s is strategy:
|
||
self.cancelOrder(vtOrderID)
|
||
|
||
# 对该策略发出的所有本地停止单撤单
|
||
for stopOrderID, so in self.workingStopOrderDict.items():
|
||
if so.strategy is strategy:
|
||
self.cancelStopOrder(stopOrderID)
|
||
else:
|
||
self.writeCtaLog(u'策略实例不存在：%s' %name)
|
||
|
||
#----------------------------------------------------------------------
|
||
def initAll(self):
|
||
"""全部初始化"""
|
||
for name in self.strategyDict.keys():
|
||
self.initStrategy(name)
|
||
|
||
#----------------------------------------------------------------------
|
||
def startAll(self):
|
||
"""全部启动"""
|
||
for name in self.strategyDict.keys():
|
||
self.startStrategy(name)
|
||
|
||
#----------------------------------------------------------------------
|
||
def stopAll(self):
|
||
"""全部停止"""
|
||
for name in self.strategyDict.keys():
|
||
self.stopStrategy(name)
|
||
|
||
#----------------------------------------------------------------------
|
||
def saveSetting(self):
|
||
"""保存策略配置"""
|
||
with open(self.settingfilePath, 'w') as f:
|
||
l = []
|
||
|
||
for strategy in self.strategyDict.values():
|
||
setting = {}
|
||
for param in strategy.paramList:
|
||
setting[param] = strategy.__getattribute__(param)
|
||
l.append(setting)
|
||
|
||
jsonL = json.dumps(l, indent=4)
|
||
f.write(jsonL)
|
||
|
||
#----------------------------------------------------------------------
|
||
def loadSetting(self):
|
||
"""读取策略配置"""
|
||
with open(self.settingfilePath) as f:
|
||
l = json.load(f)
|
||
|
||
for setting in l:
|
||
self.loadStrategy(setting)
|
||
|
||
self.loadPosition()
|
||
|
||
#----------------------------------------------------------------------
|
||
def getStrategyVar(self, name):
|
||
"""获取策略当前的变量字典"""
|
||
if name in self.strategyDict:
|
||
strategy = self.strategyDict[name]
|
||
varDict = OrderedDict()
|
||
|
||
for key in strategy.varList:
|
||
varDict[key] = strategy.__getattribute__(key)
|
||
|
||
return varDict
|
||
else:
|
||
self.writeCtaLog(u'策略实例不存在：' + name)
|
||
return None
|
||
|
||
#----------------------------------------------------------------------
|
||
def getStrategyParam(self, name):
|
||
"""获取策略的参数字典"""
|
||
if name in self.strategyDict:
|
||
strategy = self.strategyDict[name]
|
||
paramDict = OrderedDict()
|
||
|
||
for key in strategy.paramList:
|
||
paramDict[key] = strategy.__getattribute__(key)
|
||
|
||
return paramDict
|
||
else:
|
||
self.writeCtaLog(u'策略实例不存在：' + name)
|
||
return None
|
||
|
||
#----------------------------------------------------------------------
|
||
def putStrategyEvent(self, name):
|
||
"""触发策略状态变化事件（通常用于通知GUI更新）"""
|
||
event = Event(EVENT_CTA_STRATEGY+name)
|
||
self.eventEngine.put(event)
|
||
|
||
#----------------------------------------------------------------------
|
||
def callStrategyFunc(self, strategy, func, params=None):
|
||
"""调用策略的函数，若触发异常则捕捉"""
|
||
try:
|
||
if params:
|
||
func(params)
|
||
else:
|
||
func()
|
||
except Exception:
|
||
# 停止策略，修改状态为未初始化
|
||
strategy.trading = False
|
||
strategy.inited = False
|
||
|
||
# 发出日志
|
||
content = '\n'.join([u'策略%s触发异常已停止' %strategy.name,
|
||
traceback.format_exc()])
|
||
self.writeCtaLog(content)
|
||
|
||
#----------------------------------------------------------------------
|
||
def savePosition(self, strategy):
|
||
"""保存策略的持仓情况到数据库"""
|
||
flt = {'name': strategy.name,
|
||
'vtSymbol': strategy.vtSymbol}
|
||
|
||
d = {'name': strategy.name,
|
||
'vtSymbol': strategy.vtSymbol,
|
||
'pos': strategy.pos}
|
||
|
||
self.mainEngine.dbUpdate(POSITION_DB_NAME, strategy.className,
|
||
d, flt, True)
|
||
|
||
content = '策略%s持仓保存成功，当前持仓%s' %(strategy.name, strategy.pos)
|
||
self.writeCtaLog(content)
|
||
|
||
#----------------------------------------------------------------------
|
||
def loadPosition(self):
|
||
"""从数据库载入策略的持仓情况"""
|
||
for strategy in self.strategyDict.values():
|
||
flt = {'name': strategy.name,
|
||
'vtSymbol': strategy.vtSymbol}
|
||
posData = self.mainEngine.dbQuery(POSITION_DB_NAME, strategy.className, flt)
|
||
|
||
for d in posData:
|
||
strategy.pos = d['pos']
|
||
|
||
#----------------------------------------------------------------------
|
||
def roundToPriceTick(self, priceTick, price):
|
||
"""取整价格到合约最小价格变动"""
|
||
if not priceTick:
|
||
return price
|
||
|
||
newPrice = round(price/priceTick, 0) * priceTick
|
||
return newPrice
|
||
|
||
#----------------------------------------------------------------------
|
||
def stop(self):
|
||
"""停止"""
|
||
pass
|
||
|
||
#----------------------------------------------------------------------
|
||
def cancelAll(self, name):
|
||
"""全部撤单"""
|
||
s = self.strategyOrderDict[name]
|
||
|
||
# 遍历列表，全部撤单
|
||
# 这里不能直接遍历集合s，因为撤单时会修改s中的内容，导致出错
|
||
for orderID in list(s):
|
||
if STOPORDERPREFIX in orderID:
|
||
self.cancelStopOrder(orderID)
|
||
else:
|
||
self.cancelOrder(orderID)
|
||
|