163 lines
5.9 KiB
Python
163 lines
5.9 KiB
Python
# encoding: UTF-8
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'''
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本文件中包含了CTA模块中用到的一些基础设置、类和常量等。
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'''
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from __future__ import division
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# 把vn.trader根目录添加到python环境变量中
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import sys
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sys.path.append('..')
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# 常量定义
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# CTA引擎中涉及到的交易方向类型
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CTAORDER_BUY = u'买开'
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CTAORDER_SELL = u'卖平'
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CTAORDER_SHORT = u'卖开'
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CTAORDER_COVER = u'买平'
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CTAORDER_OPEN_REJECT = u'开单拒绝'
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CTAORDER_OPEN_FAIL = u'开单失败'
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CTAORDER_CLOSE_FAIL = u'平单失败'
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# 本地停止单状态
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STOPORDER_WAITING = u'等待中'
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STOPORDER_CANCELLED = u'已撤销'
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STOPORDER_TRIGGERED = u'已触发'
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# ATR 仓位管理
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ATRRATE_STOPLOSS = 3
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ATRRATE_YOYOLOSS = 2
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ATRRATE_JUMP = 1
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# 本地停止单前缀
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STOPORDERPREFIX = 'CtaStopOrder.'
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# 各类商品所在市场
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NIGHT_MARKET_SQ1 = {'AU': 0, 'AG': 0}
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NIGHT_MARKET_SQ2 = {'CU': 0, 'PB': 0, 'AL': 0, 'ZN': 0, 'FU': 0, 'BU': 0, 'RB': 0, 'WR': 0, 'HC': 0}
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NIGHT_MARKET_SQ3 = {'RU': 0}
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NIGHT_MARKET_ZZ = {'TA': 0, 'JR': 0, 'OI': 0, 'RO': 0, 'PM': 0, 'WT': 0, 'WS': 0, 'WH': 0, 'CF': 0, 'SR': 0, 'FG': 0,
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'ME': 0, 'MA': 0, 'RS': 0, 'RM': 0, 'TC': 0, 'RI': 0, 'ER': 0}
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NIGHT_MARKET_DL = {'V': 0, 'L': 0, 'BB': 0, 'I': 0, 'FB': 0, 'C': 0, 'PP': 0, 'A': 0, 'B': 0, 'M': 0, 'Y': 0, 'P': 0,
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'JM': 0, 'J': 0}
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# 数据库名称
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SETTING_DB_NAME = 'VnTrader_Setting_Db'
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TICK_DB_NAME = 'VnTrader_Tick_Db'
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DAILY_DB_NAME = 'VnTrader_Daily_Db'
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MINUTE_DB_NAME = 'VnTrader_1Min_Db'
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# CTA引擎中涉及的数据类定义
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from vtConstant import EMPTY_UNICODE, EMPTY_STRING, EMPTY_FLOAT, EMPTY_INT, COLOR_EQUAL
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########################################################################
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class StopOrder(object):
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"""本地停止单"""
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#----------------------------------------------------------------------
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def __init__(self):
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"""Constructor"""
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self.vtSymbol = EMPTY_STRING
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self.orderType = EMPTY_UNICODE
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self.direction = EMPTY_UNICODE
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self.offset = EMPTY_UNICODE
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self.price = EMPTY_FLOAT
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self.volume = EMPTY_INT
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self.strategy = None # 下停止单的策略对象
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self.stopOrderID = EMPTY_STRING # 停止单的本地编号
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self.status = EMPTY_STRING # 停止单状态
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########################################################################
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class CtaBarData(object):
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"""K线数据"""
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#----------------------------------------------------------------------
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def __init__(self):
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"""Constructor"""
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self.vtSymbol = EMPTY_STRING # vt系统代码
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self.symbol = EMPTY_STRING # 代码
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self.exchange = EMPTY_STRING # 交易所
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self.open = EMPTY_FLOAT # OHLC
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self.high = EMPTY_FLOAT
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self.low = EMPTY_FLOAT
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self.close = EMPTY_FLOAT
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self.date = EMPTY_STRING # bar开始的时间，日期
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self.time = EMPTY_STRING # 时间
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self.datetime = None # python的datetime时间对象
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self.volume = EMPTY_INT # 成交量
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self.openInterest = EMPTY_INT # 持仓量
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self.color = COLOR_EQUAL # k 线颜色,COLOR_RED，COLOR_BLUE,COLOR_EQUAL
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self.traded = False
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self.tradeStatus = EMPTY_STRING # 当前bar的交易情况: CTAORDER_BUY 、CTAORDER_SELL、
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# CTAORDER_SHORT 、CTAORDER_COVER 、 CTAORDER_OPEN_REJECT 、
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# CTAORDER_OPEN_FAIL 、CTAORDER_CLOSE_FAIL
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self.seconds = EMPTY_INT # 当前Bar的秒数（针对RenkoBar)
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self.highSeconds = -1 # 当前Bar的上限秒数
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self.lowSeconds = -1 # 当前bar的下限秒数
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self.height = EMPTY_FLOAT # 当前Bar的高度限制（针对RenkoBar和RangeBar类）
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self.upBand = EMPTY_FLOAT # 高位区域的基线
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self.downBand = EMPTY_FLOAT # 低位区域的基线
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self.lowTime = None # 最后一次进入低位区域的时间
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self.highTime = None # 最后一次进入高位区域的时间
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########################################################################
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class CtaTickData(object):
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"""Tick数据"""
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#----------------------------------------------------------------------
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def __init__(self):
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"""Constructor"""
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self.vtSymbol = EMPTY_STRING # vt系统代码
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self.symbol = EMPTY_STRING # 合约代码
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self.exchange = EMPTY_STRING # 交易所代码
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# 成交数据
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self.lastPrice = EMPTY_FLOAT # 最新成交价
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self.volume = EMPTY_INT # 最新成交量
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self.openInterest = EMPTY_INT # 持仓量
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self.upperLimit = EMPTY_FLOAT # 涨停价
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self.lowerLimit = EMPTY_FLOAT # 跌停价
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# tick的时间
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self.date = EMPTY_STRING # 日期
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self.time = EMPTY_STRING # 时间
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self.datetime = None # python的datetime时间对象
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# 五档行情
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self.bidPrice1 = EMPTY_FLOAT
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self.bidPrice2 = EMPTY_FLOAT
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self.bidPrice3 = EMPTY_FLOAT
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self.bidPrice4 = EMPTY_FLOAT
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self.bidPrice5 = EMPTY_FLOAT
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self.askPrice1 = EMPTY_FLOAT
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self.askPrice2 = EMPTY_FLOAT
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self.askPrice3 = EMPTY_FLOAT
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self.askPrice4 = EMPTY_FLOAT
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self.askPrice5 = EMPTY_FLOAT
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self.bidVolume1 = EMPTY_INT
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self.bidVolume2 = EMPTY_INT
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self.bidVolume3 = EMPTY_INT
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self.bidVolume4 = EMPTY_INT
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self.bidVolume5 = EMPTY_INT
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self.askVolume1 = EMPTY_INT
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self.askVolume2 = EMPTY_INT
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self.askVolume3 = EMPTY_INT
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self.askVolume4 = EMPTY_INT
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self.askVolume5 = EMPTY_INT |