395 lines
14 KiB
Python
395 lines
14 KiB
Python
# encoding: UTF-8
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# 首先写系统内置模块
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import sys
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print u'demoStrategy.py import sys success'
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from datetime import datetime, timedelta, time
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print u'demoStrategy.py import datetime.datetime/timedelta/time success'
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from time import sleep
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print u'demoStrategy.py import time.sleep success'
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# 然后是第三方库模块（如PyQt4等）
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import sip
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print u'demoStrategy.py import sip success'
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from PyQt4 import QtCore
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print u'demoStrategy.py import PyQt4.QtCore success'
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# 然后是自己编写的模块
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from demoEngine import MainEngine
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print u'demoStrategy.py import demoEngine.MainEngine success'
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from strategyEngine import *
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########################################################################
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class SimpleEmaStrategy(StrategyTemplate):
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"""简单双指数移动均线EMA演示策略"""
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#----------------------------------------------------------------------
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def __init__(self, name, symbol, engine):
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"""Constructor"""
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super(SimpleEmaStrategy, self).__init__(name, symbol, engine)
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# 策略在外部设置的参数
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# self.fastAlpha = 0.2 # 快速EMA的参数
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self.fastAlpha = 0.2
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# self.slowAlpha = 0.05 # 慢速EMA的参数
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self.slowAlpha = 0.05
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# 最新TICK数据（市场报价）
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self.currentTick = None
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# K线缓存对象
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self.barOpen = 0
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self.barHigh = 0
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self.barLow = 0
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self.barClose = 0
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self.barVolume = 0
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self.barTime = None
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# 保存K线数据的列表对象
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# self.listOpen = []
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# self.listHigh = []
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# self.listLow = []
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# self.listClose = []
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# self.listVolume = []
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# s#elf.listTime = []
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# 持仓
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self.pos = 0
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# 报单代码列表
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self.listOrderRef = [] # 报单号列表
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self.listStopOrder = [] # 停止单对象列表
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# EMA均线
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self.fastEMA = 0 # 快速EMA的数值
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self.slowEMA = 0 # 慢速EMA的数值
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# 是否完成了初始化
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self.initCompleted = False
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# 初始化时读取的历史数据的起始日期(可以选择外部设置)
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self.startDate = None
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# Added by Incense Lee
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# 属于updateMarketData推送的第一个Tick数据,忽略交易逻辑
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self.firstMarketTick = True
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self.lineBar = [] # K线数据
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self.lineEMA = [] # 快速、慢速EMA数据
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#----------------------------------------------------------------------
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def loadSetting(self, setting):
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"""读取参数设定"""
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try:
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self.fastAlpha = setting['fastAlpha']
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self.slowAlpha = setting['slowAlpha']
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self.engine.writeLog(self.name + u'读取参数成功')
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except KeyError:
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self.engine.writeLog(self.name + u'读取参数设定出错，请检查参数字典')
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try:
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self.initStrategy(setting['startDate'])
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except KeyError:
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self.initStrategy()
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#----------------------------------------------------------------------
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def initStrategy(self, startDate=None):
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"""初始化"""
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self.engine.writeLog(u'读取3天的历史TICK数据')
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td = timedelta(days=1)
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if startDate:
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# 读取历史Tick数据
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# cx = self.engine.loadTickFromMongo(self.symbol, startDate-td)
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historyStartDate = self.engine.getMysqlDeltaDate(self.symbol,startDate,3)
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cx = self.engine.loadTickFromMysql(self.symbol, historyStartDate, startDate-td)
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else:
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today = datetime.today().replace(hour=0, minute=0, second=0, microsecond=0)
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# cx = self.engine.loadTickFromMongo(self.symbol, today-td)
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historyStartDate = self.engine.getMysqlDeltaDate(self.symbol,today,3)
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cx = self.engine.loadTickFromMysql(self.symbol, historyStartDate,today-td)
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if cx:
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for data in cx:
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tick = Tick(data['InstrumentID'])
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# tick = Tick(InstrumentID)
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# tick.openPrice = data['OpenPrice']
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# tick.highPrice = data['HighestPrice']
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# tick.lowPrice = data['LowestPrice']
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tick.lastPrice = float(data['LastPrice'])
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tick.volume = data['Volume']
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tick.openInterest = data['OpenInterest']
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# tick.upperLimit = data['UpperLimitPrice']
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# tick.lowerLimit = data['LowerLimitPrice']
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tick.time = data['UpdateTime']
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# tick.ms = data['UpdateMillisec']
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tick.bidPrice1 = float(data['BidPrice1'])
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# tick.bidPrice2 = data['BidPrice2']
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# tick.bidPrice3 = data['BidPrice3']
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# tick.bidPrice4 = data['BidPrice4']
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# tick.bidPrice5 = data['BidPrice5']
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tick.askPrice1 = float(data['AskPrice1'])
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# tick.askPrice2 = data['AskPrice2']
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# tick.askPrice3 = data['AskPrice3']
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# tick.askPrice4 = data['AskPrice4']
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# tick.askPrice5 = data['AskPrice5']
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tick.bidVolume1 = data['BidVolume1']
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# tick.bidVolume2 = data['BidVolume2']
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# tick.bidVolume3 = data['BidVolume3']
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# tick.bidVolume4 = data['BidVolume4']
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# tick.bidVolume5 = data['BidVolume5']
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tick.askVolume1 = data['AskVolume1']
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# tick.askVolume2 = data['AskVolume2']
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# tick.askVolume3 = data['AskVolume3']
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# tick.askVolume4 = data['AskVolume4']
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# tick.askVolume5 = data['AskVolume5']
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self.onTick(tick)
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self.initCompleted = True
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self.engine.writeLog(self.name + u'初始化完成')
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#----------------------------------------------------------------------
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def onTick(self, tick):
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"""行情更新
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:type tick: object
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"""
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# 保存最新的TICK
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self.currentTick = tick
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# 首先生成datetime.time格式的时间（便于比较）
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# ticktime = self.strToTime(tick.time, tick.ms)
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ticktime = tick.time
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# 假设是收到的第一个TICK
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if self.barOpen == 0:
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# 初始化新的K线数据
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self.barOpen = tick.lastPrice
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self.barHigh = tick.lastPrice
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self.barLow = tick.lastPrice
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self.barClose = tick.lastPrice
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self.barVolume = tick.volume
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self.barTime = ticktime
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else:
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# 如果是当前一分钟内的数据
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if ticktime.minute == self.barTime.minute and ticktime.hour == self.barTime.hour:
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# 汇总TICK生成K线
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self.barHigh = max(self.barHigh, tick.lastPrice)
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self.barLow = min(self.barLow, tick.lastPrice)
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self.barClose = tick.lastPrice
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self.barVolume = self.barVolume + tick.volume
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self.barTime = ticktime
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# 如果是新一分钟的数据
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else:
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# 首先推送K线数据
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self.onBar(self.barOpen, self.barHigh, self.barLow, self.barClose,
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self.barVolume, self.barTime)
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# 初始化新的K线数据
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self.barOpen = tick.lastPrice
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self.barHigh = tick.lastPrice
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self.barLow = tick.lastPrice
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self.barClose = tick.lastPrice
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self.barVolume = tick.volume
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self.barTime = ticktime
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#----------------------------------------------------------------------
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def onTrade(self, trade):
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"""交易更新"""
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if trade.direction == DIRECTION_BUY:
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self.pos = self.pos + trade.volume
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else:
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self.pos = self.pos - trade.volume
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log = self.name + u'当前持仓：' + str(self.pos)
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print log
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self.engine.writeLog(log)
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#----------------------------------------------------------------------
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def onOrder(self, order):
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"""报单更新"""
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pass
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#----------------------------------------------------------------------
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def onStopOrder(self, orderRef):
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"""停止单更新"""
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pass
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#----------------------------------------------------------------------
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def onBar(self, o, h, l, c, volume, t):
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"""K线数据更新，同时进行策略的买入、卖出逻辑计算"""
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# 保存K线序列数据
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# self.listOpen.append(o)
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# self.listHigh.append(h)
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# self.listLow.append(l)
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# self.listClose.append(c)
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# self.listVolume.append(volume)
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# self.listTime.append(t)
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# 保存K线数据
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bar = Bar()
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bar.symbol = self.symbol
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bar.open = o
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bar.high = h
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bar.low = l
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bar.close = c
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bar.volume = volume
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bar.date = t.strftime('%Y-%m-%d')
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bar.time = t.strftime('%H:%M:%S')
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bar.datetime = t
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self.lineBar.append(bar)
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# 计算EMA
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if self.fastEMA:
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self.fastEMA = c*self.fastAlpha + self.fastEMA*(1-self.fastAlpha)
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self.slowEMA = c*self.slowAlpha + self.slowEMA*(1-self.slowAlpha)
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else:
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self.fastEMA = c
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self.slowEMA = c
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emaData = EmaData()
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emaData.symbol = self.symbol
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emaData.fastEMA = self.fastEMA
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emaData.slowEMA = self.slowEMA
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emaData.date = t.strftime('%Y-%m-%d')
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emaData.time = t.strftime('%H:%M:%S')
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emaData.datetime = t
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self.lineEMA.append(emaData)
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# 交易逻辑
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if self.initCompleted: # 首先检查是否是实盘运行还是数据预处理阶段
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# Added by Incense Lee
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# 属于updateMarketData推送的第一个Tick数据,忽略交易逻辑
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if self.firstMarketTick:
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self.firstMarketTick = False
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return
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# End added
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# 快速EMA在慢速EMA上方，做多
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if self.fastEMA > self.slowEMA:
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# 如果当前手头无仓位，则直接做多
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if self.pos == 0:
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# 涨停价买入开仓
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# Modified by Incense Lee ：回测时，Tick数据中没有涨停价，只能使用当前价
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# self.buy(self.currentTick.upperLimit, 1)
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self.buy(self.currentTick.lastPrice, 1, t) # 价格，数量，下单时间
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# 手头有空仓，则先平空，再开多
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elif self.pos < 0:
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# self.cover(self.currentTick.upperLimit, 1)
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self.cover(self.currentTick.lastPrice, 1, t) # 价格，数量， 下单时间
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# self.buy(self.currentTick.upperLimit, 1)
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self.buy(self.currentTick.lastPrice, 1, t)
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# 反之，做空
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elif self.fastEMA < self.slowEMA:
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if self.pos == 0:
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# Modified by Incense Lee ：回测时，Tick数据中没有最低价价，只能使用当前价
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# self.short(self.currentTick.lowerLimit, 1)
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self.short(self.currentTick.lastPrice, 1, t)
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elif self.pos > 0:
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# self.sell(self.currentTick.lowerLimit, 1)
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self.sell(self.currentTick.lastPrice, 1, t)
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# self.short(self.currentTick.lowerLimit, 1)
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self.short(self.currentTick.lastPrice, 1, t)
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# 记录日志
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log = self.name + u'，K线时间：' + str(t) + '\n' + \
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u'，快速EMA：' + str(self.fastEMA) + u'，慢速EMA：' + \
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str(self.slowEMA)
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self.engine.writeLog(log)
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#----------------------------------------------------------------------
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def strToTime(self, t, ms):
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"""从字符串时间转化为time格式的时间"""
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hh, mm, ss = t.split(':')
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tt = time(int(hh), int(mm), int(ss), microsecond=ms)
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return tt
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#----------------------------------------------------------------------
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def saveData(self, id):
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"""保存过程数据"""
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# 保存K线
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print u'{0}保存K线'.format(self.name)
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self.engine.saveBarToMysql(id, self.lineBar)
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# 保存快速EMA和慢速EMA
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self.engine.saveEmaToMysql(id, self.lineEMA)
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#----------------------------------------------------------------------
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def print_log(event):
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"""打印日志"""
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log = event.dict_['log']
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print str(datetime.now()), ':', log
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#----------------------------------------------------------------------
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def main():
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"""运行在CMD中的演示程度"""
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# 创建PyQt4应用对象
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app = QtCore.QCoreApplication(sys.argv)
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print u'demoStrategy.py Main call QtCore.QCoreApplication(sys.argv) success'
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# 创建主引擎对象
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me = MainEngine()
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print u'demoStrategy.py Main call MainEngine() success'
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# 注册事件监听
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me.ee.register(EVENT_LOG, print_log)
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# 登录
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userid = '033513'
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password = 'jiajia'
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brokerid = '9999'
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mdAddress = 'tcp://180.168.146.187:10010'
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tdAddress = 'tcp://180.168.146.187:10000'
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me.login(userid, password, brokerid, mdAddress, tdAddress)
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# 等待10秒钟（初始化合约数据等）
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sleep(5)
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# 创建策略引擎对象
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se = StrategyEngine(me.ee, me)
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# 创建策略对象
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setting = {}
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setting['fastAlpha'] = 0.2
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setting['slowAlpha'] = 0.09
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# se.createStrategy(u'EMA演示策略', 'IF1506', SimpleEmaStrategy, setting)
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se.createStrategy(u'EMA演示策略', 'a', SimpleEmaStrategy, setting)
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# 启动所有策略
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se.startAll()
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# 让程序连续运行
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sys.exit(app.exec_())
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if __name__ == '__main__':
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main()
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