434 lines
17 KiB
Python
434 lines
17 KiB
Python
# encoding: UTF-8
|
||
|
||
'''
|
||
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。
|
||
'''
|
||
|
||
import json
|
||
import os
|
||
from collections import OrderedDict
|
||
from datetime import datetime, timedelta
|
||
|
||
from ctaBase import *
|
||
from ctaSetting import STRATEGY_CLASS
|
||
from eventEngine import *
|
||
from vtConstant import *
|
||
from vtGateway import VtSubscribeReq, VtOrderReq, VtCancelOrderReq, VtLogData
|
||
|
||
|
||
########################################################################
|
||
class CtaEngine(object):
|
||
"""CTA策略引擎"""
|
||
settingFileName = 'CTA_setting.json'
|
||
settingFileName = os.getcwd() + '/ctaAlgo/' + settingFileName
|
||
|
||
#----------------------------------------------------------------------
|
||
def __init__(self, mainEngine, eventEngine):
|
||
"""Constructor"""
|
||
self.mainEngine = mainEngine
|
||
self.eventEngine = eventEngine
|
||
|
||
# 当前日期
|
||
self.today = datetime.now().replace(hour=0, minute=0, second=0, microsecond=0)
|
||
|
||
# 保存策略实例的字典
|
||
# key为策略名称，value为策略实例，注意策略名称不允许重复
|
||
self.strategyDict = {}
|
||
|
||
# 保存vtSymbol和策略实例映射的字典（用于推送tick数据）
|
||
# 由于可能多个strategy交易同一个vtSymbol，因此key为vtSymbol
|
||
# value为包含所有相关strategy对象的list
|
||
self.tickStrategyDict = {}
|
||
|
||
# 保存vtOrderID和strategy对象映射的字典（用于推送order和trade数据）
|
||
# key为vtOrderID，value为strategy对象
|
||
self.orderStrategyDict = {}
|
||
|
||
# 本地停止单编号计数
|
||
self.stopOrderCount = 0
|
||
# stopOrderID = STOPORDERPREFIX + str(stopOrderCount)
|
||
|
||
# 本地停止单字典
|
||
# key为stopOrderID，value为stopOrder对象
|
||
self.stopOrderDict = {} # 停止单撤销后不会从本字典中删除
|
||
self.workingStopOrderDict = {} # 停止单撤销后会从本字典中删除
|
||
|
||
# 注册事件监听
|
||
self.registerEvent()
|
||
|
||
#----------------------------------------------------------------------
|
||
def sendOrder(self, vtSymbol, orderType, price, volume, strategy):
|
||
"""发单"""
|
||
contract = self.mainEngine.getContract(vtSymbol)
|
||
|
||
req = VtOrderReq()
|
||
req.symbol = contract.symbol
|
||
req.exchange = contract.exchange
|
||
req.price = price
|
||
req.volume = volume
|
||
|
||
# 设计为CTA引擎发出的委托只允许使用限价单
|
||
req.priceType = PRICETYPE_LIMITPRICE
|
||
|
||
# CTA委托类型映射
|
||
if orderType == CTAORDER_BUY:
|
||
req.direction = DIRECTION_LONG
|
||
req.offset = OFFSET_OPEN
|
||
elif orderType == CTAORDER_SELL:
|
||
req.direction = DIRECTION_SHORT
|
||
req.offset = OFFSET_CLOSE
|
||
elif orderType == CTAORDER_SHORT:
|
||
req.direction = DIRECTION_SHORT
|
||
req.offset = OFFSET_OPEN
|
||
elif orderType == CTAORDER_COVER:
|
||
req.direction = DIRECTION_LONG
|
||
req.offset = OFFSET_CLOSE
|
||
|
||
vtOrderID = self.mainEngine.sendOrder(req, contract.gatewayName) # 发单
|
||
self.orderStrategyDict[vtOrderID] = strategy # 保存vtOrderID和策略的映射关系
|
||
|
||
#self.writeCtaLog(u'发送委托：' + str(req.__dict__))
|
||
|
||
return vtOrderID
|
||
|
||
#----------------------------------------------------------------------
|
||
def cancelOrder(self, vtOrderID):
|
||
"""撤单"""
|
||
# 查询报单对象
|
||
order = self.mainEngine.getOrder(vtOrderID)
|
||
|
||
# 如果查询成功
|
||
if order:
|
||
# 检查是否报单还有效，只有有效时才发出撤单指令
|
||
orderFinished = (order.status==STATUS_ALLTRADED or order.status==STATUS_CANCELLED)
|
||
if not orderFinished:
|
||
req = VtCancelOrderReq()
|
||
req.symbol = order.symbol
|
||
req.exchange = order.exchange
|
||
req.frontID = order.frontID
|
||
req.sessionID = order.sessionID
|
||
req.orderID = order.orderID
|
||
self.mainEngine.cancelOrder(req, order.gatewayName)
|
||
|
||
#----------------------------------------------------------------------
|
||
def sendStopOrder(self, vtSymbol, orderType, price, volume, strategy):
|
||
"""发停止单（本地实现）"""
|
||
self.stopOrderCount += 1
|
||
stopOrderID = STOPORDERPREFIX + str(self.stopOrderCount)
|
||
|
||
so = StopOrder()
|
||
so.vtSymbol = vtSymbol
|
||
so.orderType = orderType
|
||
so.price = price
|
||
so.volume = volume
|
||
so.strategy = strategy
|
||
so.stopOrderID = stopOrderID
|
||
so.status = STOPORDER_WAITING
|
||
|
||
if orderType == CTAORDER_BUY:
|
||
so.direction = DIRECTION_LONG
|
||
so.offset = OFFSET_OPEN
|
||
elif orderType == CTAORDER_SELL:
|
||
so.direction = DIRECTION_SHORT
|
||
so.offset = OFFSET_CLOSE
|
||
elif orderType == CTAORDER_SHORT:
|
||
so.direction = DIRECTION_SHORT
|
||
so.offset = OFFSET_OPEN
|
||
elif orderType == CTAORDER_COVER:
|
||
so.direction = DIRECTION_LONG
|
||
so.offset = OFFSET_CLOSE
|
||
|
||
# 保存stopOrder对象到字典中
|
||
self.stopOrderDict[stopOrderID] = so
|
||
self.workingStopOrderDict[stopOrderID] = so
|
||
|
||
return stopOrderID
|
||
|
||
#----------------------------------------------------------------------
|
||
def cancelStopOrder(self, stopOrderID):
|
||
"""撤销停止单"""
|
||
# 检查停止单是否存在
|
||
if stopOrderID in self.workingStopOrderDict:
|
||
so = self.workingStopOrderDict[stopOrderID]
|
||
so.status = STOPORDER_CANCELLED
|
||
del self.workingStopOrderDict[stopOrderID]
|
||
|
||
#----------------------------------------------------------------------
|
||
def processStopOrder(self, tick):
|
||
"""收到行情后处理本地停止单（检查是否要立即发出）"""
|
||
vtSymbol = tick.vtSymbol
|
||
|
||
# 首先检查是否有策略交易该合约
|
||
if vtSymbol in self.tickStrategyDict:
|
||
# 遍历等待中的停止单，检查是否会被触发
|
||
for so in self.workingStopOrderDict.values():
|
||
if so.vtSymbol == vtSymbol:
|
||
longTriggered = so.direction==DIRECTION_LONG and tick.lastPrice>=so.price # 多头停止单被触发
|
||
shortTriggered = so.direction==DIRECTION_SHORT and tick.lastPrice<=so.price # 空头停止单被触发
|
||
|
||
if longTriggered or shortTriggered:
|
||
# 买入和卖出分别以涨停跌停价发单（模拟市价单）
|
||
if so.direction==DIRECTION_LONG:
|
||
price = tick.upperLimit
|
||
else:
|
||
price = tick.lowerLimit
|
||
|
||
so.status = STOPORDER_TRIGGERED
|
||
self.sendOrder(so.vtSymbol, so.orderType, price, so.volume, so.strategy)
|
||
del self.workingStopOrderDict[so.stopOrderID]
|
||
|
||
#----------------------------------------------------------------------
|
||
def procecssTickEvent(self, event):
|
||
"""处理行情推送"""
|
||
tick = event.dict_['data']
|
||
# 收到tick行情后，先处理本地停止单（检查是否要立即发出）
|
||
self.processStopOrder(tick)
|
||
|
||
# 推送tick到对应的策略实例进行处理
|
||
if tick.vtSymbol in self.tickStrategyDict:
|
||
# 将vtTickData数据转化为ctaTickData
|
||
ctaTick = CtaTickData()
|
||
d = ctaTick.__dict__
|
||
for key in d.keys():
|
||
if key != 'datetime':
|
||
d[key] = tick.__getattribute__(key)
|
||
# 添加datetime字段
|
||
ctaTick.datetime = datetime.strptime(' '.join([tick.date, tick.time]), '%Y%m%d %H:%M:%S.%f')
|
||
|
||
# 逐个推送到策略实例中
|
||
l = self.tickStrategyDict[tick.vtSymbol]
|
||
for strategy in l:
|
||
strategy.onTick(ctaTick)
|
||
|
||
#----------------------------------------------------------------------
|
||
def processOrderEvent(self, event):
|
||
"""处理委托推送"""
|
||
order = event.dict_['data']
|
||
|
||
if order.vtOrderID in self.orderStrategyDict:
|
||
strategy = self.orderStrategyDict[order.vtOrderID]
|
||
strategy.onOrder(order)
|
||
|
||
#----------------------------------------------------------------------
|
||
def processTradeEvent(self, event):
|
||
"""处理成交推送"""
|
||
trade = event.dict_['data']
|
||
|
||
if trade.vtOrderID in self.orderStrategyDict:
|
||
strategy = self.orderStrategyDict[trade.vtOrderID]
|
||
|
||
# 计算策略持仓
|
||
if trade.direction == DIRECTION_LONG:
|
||
strategy.pos += trade.volume
|
||
else:
|
||
strategy.pos -= trade.volume
|
||
|
||
strategy.onTrade(trade)
|
||
|
||
#----------------------------------------------------------------------
|
||
def registerEvent(self):
|
||
"""注册事件监听"""
|
||
self.eventEngine.register(EVENT_TICK, self.procecssTickEvent)
|
||
self.eventEngine.register(EVENT_ORDER, self.processOrderEvent)
|
||
self.eventEngine.register(EVENT_TRADE, self.processTradeEvent)
|
||
|
||
#----------------------------------------------------------------------
|
||
def insertData(self, dbName, collectionName, data):
|
||
"""插入数据到数据库（这里的data可以是CtaTickData或者CtaBarData）"""
|
||
self.mainEngine.dbInsert(dbName, collectionName, data.__dict__)
|
||
|
||
#----------------------------------------------------------------------
|
||
def loadBar(self, dbName, collectionName, days):
|
||
"""从数据库中读取Bar数据，startDate是datetime对象"""
|
||
startDate = self.today - timedelta(days)
|
||
|
||
d = {'datetime':{'$gte':startDate}}
|
||
cursor = self.mainEngine.dbQuery(dbName, collectionName, d)
|
||
|
||
l = []
|
||
if cursor:
|
||
for d in cursor:
|
||
bar = CtaBarData()
|
||
bar.__dict__ = d
|
||
l.append(bar)
|
||
|
||
return l
|
||
|
||
#----------------------------------------------------------------------
|
||
def loadTick(self, dbName, collectionName, days):
|
||
"""从数据库中读取Tick数据，startDate是datetime对象"""
|
||
startDate = self.today - timedelta(days)
|
||
|
||
d = {'datetime':{'$gte':startDate}}
|
||
cursor = self.mainEngine.dbQuery(dbName, collectionName, d)
|
||
|
||
l = []
|
||
if cursor:
|
||
for d in cursor:
|
||
tick = CtaTickData()
|
||
tick.__dict__ = d
|
||
l.append(tick)
|
||
|
||
return l
|
||
|
||
#----------------------------------------------------------------------
|
||
def writeCtaLog(self, content):
|
||
"""快速发出CTA模块日志事件"""
|
||
log = VtLogData()
|
||
log.logContent = content
|
||
event = Event(type_=EVENT_CTA_LOG)
|
||
event.dict_['data'] = log
|
||
self.eventEngine.put(event)
|
||
|
||
#----------------------------------------------------------------------
|
||
def loadStrategy(self, setting):
|
||
"""载入策略"""
|
||
try:
|
||
name = setting['name']
|
||
className = setting['className']
|
||
except Exception, e:
|
||
self.writeCtaLog(u'载入策略出错：%s' %e)
|
||
return
|
||
|
||
# 获取策略类
|
||
strategyClass = STRATEGY_CLASS.get(className, None)
|
||
if not strategyClass:
|
||
self.writeCtaLog(u'找不到策略类：%s' %className)
|
||
return
|
||
|
||
# 防止策略重名
|
||
if name in self.strategyDict:
|
||
self.writeCtaLog(u'策略实例重名：%s' %name)
|
||
else:
|
||
# 创建策略实例
|
||
strategy = strategyClass(self, setting)
|
||
self.strategyDict[name] = strategy
|
||
|
||
# 保存Tick映射关系
|
||
if strategy.vtSymbol in self.tickStrategyDict:
|
||
l = self.tickStrategyDict[strategy.vtSymbol]
|
||
else:
|
||
l = []
|
||
self.tickStrategyDict[strategy.vtSymbol] = l
|
||
l.append(strategy)
|
||
|
||
# 订阅合约
|
||
contract = self.mainEngine.getContract(strategy.vtSymbol)
|
||
if contract:
|
||
req = VtSubscribeReq()
|
||
req.symbol = contract.symbol
|
||
req.exchange = contract.exchange
|
||
self.mainEngine.subscribe(req, contract.gatewayName)
|
||
else:
|
||
self.writeCtaLog(u'%s的交易合约%s无法找到' %(name, strategy.vtSymbol))
|
||
|
||
#----------------------------------------------------------------------
|
||
def initStrategy(self, name):
|
||
"""初始化策略"""
|
||
if name in self.strategyDict:
|
||
strategy = self.strategyDict[name]
|
||
|
||
if not strategy.inited:
|
||
strategy.inited = True
|
||
strategy.onInit()
|
||
else:
|
||
self.writeCtaLog(u'请勿重复初始化策略实例：%s' %name)
|
||
else:
|
||
self.writeCtaLog(u'策略实例不存在：%s' %name)
|
||
|
||
#---------------------------------------------------------------------
|
||
def startStrategy(self, name):
|
||
"""启动策略"""
|
||
if name in self.strategyDict:
|
||
strategy = self.strategyDict[name]
|
||
|
||
if strategy.inited and not strategy.trading:
|
||
strategy.trading = True
|
||
strategy.onStart()
|
||
else:
|
||
self.writeCtaLog(u'策略实例不存在：%s' %name)
|
||
|
||
#----------------------------------------------------------------------
|
||
def stopStrategy(self, name):
|
||
"""停止策略"""
|
||
if name in self.strategyDict:
|
||
strategy = self.strategyDict[name]
|
||
|
||
if strategy.trading:
|
||
strategy.trading = False
|
||
strategy.onStop()
|
||
|
||
# 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 saveSetting(self):
|
||
"""保存策略配置"""
|
||
with open(self.settingFileName, '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.settingFileName) as f:
|
||
l = json.load(f)
|
||
|
||
for setting in l:
|
||
self.loadStrategy(setting)
|
||
|
||
#----------------------------------------------------------------------
|
||
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)
|
||
|
||
|