389 lines
15 KiB
Python
389 lines
15 KiB
Python
# encoding: UTF-8
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'''
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本文件包含了CTA引擎中的策略开发用模板，开发策略时需要继承CtaTemplate类。
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'''
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from ctaBase import *
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from vtConstant import *
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from datetime import datetime
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########################################################################
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class CtaTemplate(object):
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"""CTA策略模板"""
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# 策略类的名称和作者
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className = 'CtaTemplate'
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author = EMPTY_UNICODE
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# MongoDB数据库的名称，K线数据库默认为1分钟
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tickDbName = TICK_DB_NAME
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barDbName = MINUTE_DB_NAME
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# 策略的基本参数
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name = 'StrategyName' # 策略实例名称
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vtSymbol = EMPTY_STRING # 交易的合约vt系统代码
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symbol = EMPTY_STRING # 交易的合约代码（除郑商所外与vtSymbol一致，一般为两位代码+两位年份+两位月份）AU1606，SR1605
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shortSymbol = EMPTY_STRING # 合约类型代码
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productClass = EMPTY_STRING # 产品类型（只有IB接口需要）
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currency = EMPTY_STRING # 货币（只有IB接口需要）
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# 策略的基本变量，由引擎管理
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inited = False # 是否进行了初始化
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trading = False # 是否启动交易，由引擎管理
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pos = 0 # 持仓情况
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backtesting = False # 是否回测
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# 参数列表，保存了参数的名称
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paramList = ['name',
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'className',
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'author',
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'vtSymbol',
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'symbol',
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'shortSymbol',
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'backtesting']
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# 变量列表，保存了变量的名称
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varList = ['inited',
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'trading',
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'pos']
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# ----------------------------------------------------------------------
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def __init__(self, ctaEngine, setting):
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"""Constructor"""
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self.ctaEngine = ctaEngine
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# 委托单状态
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self.entrust = 0 # 0 表示没有委托，1 表示存在多仓的委托，-1 表示存在空仓的委托
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# 保存委托单编号和相关委托单的字典
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# key为委托单编号
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# value为该合约相关的委托单
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self.uncompletedOrders = {}
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# 设置策略的参数
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if setting:
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self.writeCtaLog(u'基类设置参数')
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d = self.__dict__
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for key in self.paramList:
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if key in setting:
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d[key] = setting[key]
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# ----------------------------------------------------------------------
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def onInit(self):
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"""初始化策略（必须由用户继承实现）"""
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raise NotImplementedError
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# ----------------------------------------------------------------------
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def onStart(self):
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"""启动策略（必须由用户继承实现）"""
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raise NotImplementedError
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# ----------------------------------------------------------------------
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def onStop(self):
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"""停止策略（必须由用户继承实现）"""
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raise NotImplementedError
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# ----------------------------------------------------------------------
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def onTick(self, tick):
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"""收到行情TICK推送（必须由用户继承实现）"""
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raise NotImplementedError
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# ----------------------------------------------------------------------
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def onOrder(self, order):
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"""收到委托变化推送（必须由用户继承实现）"""
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raise NotImplementedError
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# ----------------------------------------------------------------------
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def onTrade(self, trade):
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"""收到成交推送（必须由用户继承实现）"""
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raise NotImplementedError
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#----------------------------------------------------------------------
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def onBar(self, bar):
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"""收到Bar推送（必须由用户继承实现）"""
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raise NotImplementedError
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# ----------------------------------------------------------------------
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def buy(self, price, volume, stop=False ,orderTime=datetime.now()):
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"""买开"""
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orderID = self.sendOrder(CTAORDER_BUY, price, volume, stop)
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if orderID !='':
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self.entrust = 1 # 委托状态
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self.uncompletedOrders[orderID] = {'DIRECTION': DIRECTION_LONG,
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'OFFSET': OFFSET_OPEN,
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'Volume': volume,
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'Price': price,
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'OrderTime': orderTime
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}
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return orderID
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else:
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# 交易停止时发单返回空字符串
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return ''
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# ----------------------------------------------------------------------
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def sell(self, price, volume, stop=False, orderTime=datetime.now()):
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"""卖平"""
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orderID = self.sendOrder(CTAORDER_SELL, price, volume, stop)
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if orderID !='':
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self.entrust = -1 # 置当前策略的委托单状态
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# 记录委托单
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self.uncompletedOrders[orderID] = {'DIRECTION': DIRECTION_SHORT,
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'OFFSET': OFFSET_CLOSE,
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'Volume': volume,
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'Price': price,
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'OrderTime': orderTime
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}
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return orderID
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else:
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# 交易停止时发单返回空字符串
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return ''
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# ----------------------------------------------------------------------
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def short(self, price, volume, stop=False, orderTime=datetime.now()):
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"""卖开"""
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orderID = self.sendOrder(CTAORDER_SHORT, price, volume, stop)
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if orderID !='':
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self.entrust = -1 # 委托状态
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self.uncompletedOrders[orderID] = {'DIRECTION': DIRECTION_SHORT,
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'OFFSET': OFFSET_OPEN,
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'Volume': volume,
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'Price': price,
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'OrderTime': orderTime
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}
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return orderID
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else:
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# 交易停止时发单返回空字符串
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return ''
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# ----------------------------------------------------------------------
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def cover(self, price, volume, stop=False, orderTime=datetime.now()):
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"""买平"""
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orderID = self.sendOrder(CTAORDER_COVER, price, volume, stop)
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if orderID !='':
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self.entrust = 1 # 置当前策略的委托单状态
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# 记录委托单
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self.uncompletedOrders[orderID] = {'DIRECTION': DIRECTION_LONG,
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'OFFSET': OFFSET_CLOSE,
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'Volume': volume,
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'Price': price,
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'OrderTime': orderTime
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}
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return orderID
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else:
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# 交易停止时发单返回空字符串
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return ''
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# ----------------------------------------------------------------------
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def sendOrder(self, orderType, price, volume, stop=False):
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"""发送委托"""
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if self.trading:
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# 如果stop为True，则意味着发本地停止单
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if stop:
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vtOrderID = self.ctaEngine.sendStopOrder(self.vtSymbol, orderType, price, volume, self)
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else:
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vtOrderID = self.ctaEngine.sendOrder(self.vtSymbol, orderType, price, volume, self)
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return vtOrderID
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else:
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# 交易停止时发单返回空字符串
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return ''
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#----------------------------------------------------------------------
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def cancelOrder(self, vtOrderID):
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"""撤单"""
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# 如果发单号为空字符串，则不进行后续操作
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if not vtOrderID or vtOrderID == '':
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return
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if STOPORDERPREFIX in vtOrderID:
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self.ctaEngine.cancelStopOrder(vtOrderID)
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else:
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self.ctaEngine.cancelOrder(vtOrderID)
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#----------------------------------------------------------------------
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def insertTick(self, tick):
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"""向数据库中插入tick数据"""
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self.ctaEngine.insertData(self.tickDbName, self.vtSymbol, tick)
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#----------------------------------------------------------------------
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def insertBar(self, bar):
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"""向数据库中插入bar数据"""
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self.ctaEngine.insertData(self.barDbName, self.vtSymbol, bar)
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#----------------------------------------------------------------------
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def loadTick(self, days):
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"""读取tick数据"""
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return self.ctaEngine.loadTick(self.tickDbName, self.vtSymbol, days)
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#----------------------------------------------------------------------
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def loadBar(self, days):
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"""读取bar数据"""
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return self.ctaEngine.loadBar(self.barDbName, self.vtSymbol, days)
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def saveBar(self):
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"""保持bar数据"""
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pass
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def onTimer(self):
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"""定时执行任务
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由mainEngine驱动"""
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pass
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# ----------------------------------------------------------------------
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def setParam(self, setting):
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"""设置参数"""
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d = self.__dict__
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for key in self.paramList:
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if key in setting:
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d[key] = setting[key]
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# ----------------------------------------------------------------------
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def writeCtaLog(self, content):
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"""记录CTA日志"""
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content = self.name + ':' + content
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self.ctaEngine.writeCtaLog(content)
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#----------------------------------------------------------------------
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def putEvent(self):
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"""发出策略状态变化事件"""
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self.ctaEngine.putStrategyEvent(self.name)
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#----------------------------------------------------------------------
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def getEngineType(self):
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"""查询当前运行的环境"""
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return self.ctaEngine.engineType
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########################################################################
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class TargetPosTemplate(CtaTemplate):
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"""
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允许直接通过修改目标持仓来实现交易的策略模板
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开发策略时，无需再调用buy/sell/cover/short这些具体的委托指令，
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只需在策略逻辑运行完成后调用setTargetPos设置目标持仓，底层算法
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会自动完成相关交易，适合不擅长管理交易挂撤单细节的用户。
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使用该模板开发策略时，请在以下回调方法中先调用母类的方法：
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onTick
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onBar
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onOrder
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假设策略名为TestStrategy，请在onTick回调中加上：
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super(TestStrategy, self).onTick(tick)
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其他方法类同。
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"""
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className = 'TargetPosTemplate'
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author = u'量衍投资'
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# 目标持仓模板的基本变量
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tickAdd = 1 # 委托时相对基准价格的超价
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lastTick = None # 最新tick数据
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lastBar = None # 最新bar数据
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targetPos = EMPTY_INT # 目标持仓
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orderList = [] # 委托号列表
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# 变量列表，保存了变量的名称
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varList = ['inited',
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'trading',
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'pos',
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'targetPos']
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#----------------------------------------------------------------------
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def __init__(self, ctaEngine, setting):
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"""Constructor"""
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super(TargetPosTemplate, self).__init__(ctaEngine, setting)
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#----------------------------------------------------------------------
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def onTick(self, tick):
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"""收到行情推送"""
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self.lastTick = tick
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# 实盘模式下，启动交易后，需要根据tick的实时推送执行自动开平仓操作
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if self.trading:
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self.trade()
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#----------------------------------------------------------------------
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def onBar(self, bar):
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"""收到K线推送"""
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self.lastBar = bar
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#----------------------------------------------------------------------
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def onOrder(self, order):
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"""收到委托推送"""
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if order.status == STATUS_ALLTRADED or order.status == STATUS_CANCELLED:
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self.orderList.remove(order.vtOrderID)
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#----------------------------------------------------------------------
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def setTargetPos(self, targetPos):
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"""设置目标仓位"""
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self.targetPos = targetPos
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self.trade()
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#----------------------------------------------------------------------
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def trade(self):
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"""执行交易"""
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# 先撤销之前的委托
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for vtOrderID in self.orderList:
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self.cancelOrder(vtOrderID)
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self.orderList = []
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# 如果目标仓位和实际仓位一致，则不进行任何操作
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posChange = self.targetPos - self.pos
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if not posChange:
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return
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# 确定委托基准价格，有tick数据时优先使用，否则使用bar
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longPrice = 0
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shortPrice = 0
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if self.lastTick:
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if posChange > 0:
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longPrice = self.lastTick.askPrice1 + self.tickAdd
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else:
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shortPrice = self.lastTick.bidPrice1 - self.tickAdd
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else:
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if posChange > 0:
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longPrice = self.lastBar.close + self.tickAdd
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else:
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shortPrice = self.lastBar.close - self.tickAdd
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# 回测模式下，采用合并平仓和反向开仓委托的方式
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if self.getEngineType() == ENGINETYPE_BACKTESTING:
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if posChange > 0:
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vtOrderID = self.buy(longPrice, abs(posChange))
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else:
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vtOrderID = self.short(shortPrice, abs(posChange))
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self.orderList.append(vtOrderID)
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# 实盘模式下，首先确保之前的委托都已经结束（全成、撤销）
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# 然后先发平仓委托，等待成交后，再发送新的开仓委托
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else:
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# 检查之前委托都已结束
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if self.orderList:
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return
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# 买入
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if posChange > 0:
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if self.pos < 0:
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vtOrderID = self.cover(longPrice, abs(self.pos))
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else:
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vtOrderID = self.buy(longPrice, abs(posChange))
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# 卖出
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else:
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if self.pos > 0:
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vtOrderID = self.sell(shortPrice, abs(self.pos))
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else:
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vtOrderID = self.short(shortPrice, abs(posChange))
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self.orderList.append(vtOrderID)
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