244 lines
9.1 KiB
Python
244 lines
9.1 KiB
Python
# encoding: UTF-8
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from vtConstant import *
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from ctaConstant import *
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########################################################################
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class CtaStrategyTemplate(object):
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"""CTA策略模板"""
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# 策略类的名称
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strategyClassName = 'Template'
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# 参数列表，保存了参数的名称
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paramList = ['vtSymbol']
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# 变量列表，保存了变量的名称
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varList = ['trading']
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#----------------------------------------------------------------------
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def __init__(self, ctaEngine, name, setting=None):
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"""Constructor"""
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self.ctaEngine = ctaEngine
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self.name = name
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self.vtSymbol = EMPTY_STRING # 交易的合约vt系统代码
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self.tickDbName = EMPTY_STRING # tick数据库名称
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self.barDbName = EMPTY_STRING # bar数据库名称
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self.trading = False # 控制是否启动交易
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self.init() # 初始化策略
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if setting:
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self.setParam(setting)
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#----------------------------------------------------------------------
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def init(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 start(self):
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"""启动策略（必须由用户继承实现）"""
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self.trading = True
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#----------------------------------------------------------------------
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def stop(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):
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"""买开"""
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# 如果stop为True，则意味着发本地停止单
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if self.trading:
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if stop:
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orderID = self.ctaEngine.sendStopOrder(self.vtSymbol, CTAORDER_BUY, price, volume, self)
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else:
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orderID = self.ctaEngine.sendOrder(self.vtSymbol, CTAORDER_BUY, price, volume, self)
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return orderID
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else:
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return None
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#----------------------------------------------------------------------
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def sell(self, price, volume, stop=False):
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"""卖平"""
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# 如果stop为True，则意味着发本地停止单
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if self.trading:
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if stop:
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orderID = self.ctaEngine.sendStopOrder(self.vtSymbol, CTAORDER_SELL, price, volume, self)
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else:
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orderID = self.ctaEngine.sendOrder(self.vtSymbol, CTAORDER_SELL, price, volume, self)
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return orderID
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else:
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return None
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#----------------------------------------------------------------------
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def short(self, price, volume, stop=False):
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"""卖开"""
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# 如果stop为True，则意味着发本地停止单
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if self.trading:
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if stop:
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orderID = self.ctaEngine.sendStopOrder(self.vtSymbol, CTAORDER_SHORT, price, volume, self)
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else:
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orderID = self.ctaEngine.sendOrder(self.vtSymbol, CTAORDER_SHORT, price, volume, self)
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return orderID
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else:
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return None
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#----------------------------------------------------------------------
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def cover(self, price, volume, stop=False):
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"""买平"""
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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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orderID = self.ctaEngine.sendStopOrder(self.vtSymbol, CTAORDER_COVER, price, volume, self)
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else:
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orderID = self.ctaEngine.sendOrder(self.vtSymbol, CTAORDER_COVER, price, volume, self)
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return orderID
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else:
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return None
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#----------------------------------------------------------------------
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def cancelOrder(self, orderID):
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"""撤单"""
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if STOPORDERPREFIX in orderID:
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self.ctaEngine.cancelStopOrder(orderID)
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else:
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self.ctaEngine.cancelOrder(orderID)
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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, startDate):
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"""读取tick数据"""
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return self.ctaEngine.loadTick(self.tickDbName, self.vtSymbol, startDate)
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#----------------------------------------------------------------------
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def loadBar(self, startDate):
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"""读取bar数据"""
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return self.ctaEngine.loadBar(self.barDbName, self.vtSymbol, startDate)
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#----------------------------------------------------------------------
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def setParam(self, setting):
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"""设置参数"""
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d = self.__dict__
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for key in self.paramList:
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if key in setting:
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d[key] = setting[key]
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#----------------------------------------------------------------------
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def getToday(self):
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"""查询当前日期"""
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return self.ctaEngine.getToday()
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#----------------------------------------------------------------------
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def writeCtaLog(self, content):
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"""记录CTA日志"""
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self.ctaEngine.writeCtaLog(content)
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########################################################################
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class TestStrategy(CtaStrategyTemplate):
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"""测试策略"""
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#----------------------------------------------------------------------
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def __init__(self, ctaEngine, name, setting=None):
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"""Constructor"""
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super(TestStrategy, self).__init__(ctaEngine, name, setting)
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self.strategyClassName = 'TestStrategy'
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self.author = u'用Python的交易员' # 作者
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self.pos = EMPTY_INT # 持仓
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self.lastPrice = EMPTY_FLOAT # 最新价
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# 参数和变量列表设置
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self.paramList.append('author')
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self.varList.append('pos')
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self.varList.append('lastPrice')
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# 测试用计数
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self.count = 0
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#----------------------------------------------------------------------
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def init(self):
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"""初始化策略（必须由用户继承实现）"""
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self.writeCtaLog(u'测试策略%s初始化' %self.name)
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#----------------------------------------------------------------------
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def start(self):
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"""启动策略（必须由用户继承实现）"""
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self.writeCtaLog(u'测试策略%s启动' %self.name)
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#----------------------------------------------------------------------
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def stop(self):
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"""停止策略（必须由用户继承实现）"""
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self.writeCtaLog(u'测试策略%s停止' %self.name)
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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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self.writeCtaLog(u'测试策略%s收到Tick' %self.name)
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self.lastPrice = tick.lastPrice
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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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print u'收到委托回报，委托编号%s' %order.orderID
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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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print u'收到成交回报，成交编号%s' %order.orderID
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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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self.count += 1
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if self.count == 10:
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self.buy(bar.close, 1)
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if self.count == 20:
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self.sell(bar.close, 1)
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self.count = 0
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#print u'收到推送'
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