179 lines
6.7 KiB
Python
179 lines
6.7 KiB
Python
# encoding: UTF-8
|
||
|
||
'''
|
||
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。
|
||
'''
|
||
|
||
from __future__ import division
|
||
|
||
|
||
# 常量定义
|
||
# CTA引擎中涉及到的交易方向类型
|
||
CTAORDER_BUY = u'买开'
|
||
CTAORDER_SELL = u'卖平'
|
||
CTAORDER_SHORT = u'卖开'
|
||
CTAORDER_COVER = u'买平'
|
||
|
||
CTAORDER_OPEN_REJECT = u'开单拒绝'
|
||
CTAORDER_OPEN_FAIL = u'开单失败'
|
||
CTAORDER_CLOSE_FAIL = u'平单失败'
|
||
|
||
|
||
# 本地停止单状态
|
||
STOPORDER_WAITING = u'等待中'
|
||
STOPORDER_CANCELLED = u'已撤销'
|
||
STOPORDER_TRIGGERED = u'已触发'
|
||
|
||
# ATR 仓位管理
|
||
ATRRATE_STOPLOSS = 3
|
||
ATRRATE_YOYOLOSS = 2
|
||
ATRRATE_JUMP = 1
|
||
|
||
# 本地停止单前缀
|
||
STOPORDERPREFIX = 'CtaStopOrder.'
|
||
|
||
# 各类商品所在市场
|
||
NIGHT_MARKET_SQ1 = {'AU': 0, 'AG': 0}
|
||
NIGHT_MARKET_SQ2 = {'CU': 0, 'PB': 0, 'AL': 0, 'ZN': 0, 'FU': 0, 'BU': 0, 'WR': 0, 'HC': 0}
|
||
NIGHT_MARKET_SQ3 = {'RU': 0, 'RB': 0}
|
||
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,
|
||
'ME': 0, 'MA': 0, 'RS': 0, 'RM': 0, 'TC': 0, 'RI': 0, 'ER': 0}
|
||
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,
|
||
'JM': 0, 'J': 0}
|
||
MARKET_ZJ = {'IC': 0, 'IF': 0, 'IH': 0, 'T': 0, 'TF': 0}
|
||
|
||
# 数据库名称
|
||
SETTING_DB_NAME = 'VnTrader_Setting_Db'
|
||
POSITION_DB_NAME = 'VnTrader_Position_Db'
|
||
|
||
TICK_DB_NAME = 'VnTrader_Tick_Db'
|
||
DAILY_DB_NAME = 'VnTrader_Daily_Db'
|
||
MINUTE_DB_NAME = 'VnTrader_1Min_Db'
|
||
|
||
# 引擎类型，用于区分当前策略的运行环境
|
||
ENGINETYPE_BACKTESTING = 'backtesting' # 回测
|
||
ENGINETYPE_TRADING = 'trading' # 实盘
|
||
|
||
import sys
|
||
import os
|
||
|
||
trader_path = os.path.abspath(os.path.join(os.path.dirname(__file__), '..'))
|
||
if trader_path not in sys.path:
|
||
sys.path.append(trader_path)
|
||
|
||
# CTA引擎中涉及的数据类定义
|
||
from vtConstant import *
|
||
|
||
########################################################################
|
||
class StopOrder(object):
|
||
"""本地停止单"""
|
||
|
||
#----------------------------------------------------------------------
|
||
def __init__(self):
|
||
"""Constructor"""
|
||
self.vtSymbol = EMPTY_STRING
|
||
self.orderType = EMPTY_UNICODE
|
||
self.direction = EMPTY_UNICODE
|
||
self.offset = EMPTY_UNICODE
|
||
self.price = EMPTY_FLOAT
|
||
self.volume = EMPTY_INT
|
||
|
||
self.strategy = None # 下停止单的策略对象
|
||
self.stopOrderID = EMPTY_STRING # 停止单的本地编号
|
||
self.status = EMPTY_STRING # 停止单状态
|
||
|
||
|
||
########################################################################
|
||
class CtaBarData(object):
|
||
"""K线数据"""
|
||
|
||
#----------------------------------------------------------------------
|
||
def __init__(self):
|
||
"""Constructor"""
|
||
self.vtSymbol = EMPTY_STRING # vt系统代码
|
||
self.symbol = EMPTY_STRING # 代码
|
||
self.exchange = EMPTY_STRING # 交易所
|
||
|
||
self.open = EMPTY_FLOAT # OHLC
|
||
self.high = EMPTY_FLOAT
|
||
self.low = EMPTY_FLOAT
|
||
self.close = EMPTY_FLOAT
|
||
|
||
self.tradingDay = EMPTY_STRING # 交易日期
|
||
self.date = EMPTY_STRING # bar开始的日期（通过tick生成的bar时间，为开始时间，其他为结束时间）
|
||
self.time = EMPTY_STRING # 时间
|
||
self.datetime = None # python的datetime时间对象
|
||
|
||
self.volume = EMPTY_INT # 成交量
|
||
self.dayVolume = EMPTY_INT # 当日累计成交量（ctp是提供这个的）
|
||
self.openInterest = EMPTY_INT # 持仓量
|
||
self.color = COLOR_EQUAL # k 线颜色,COLOR_RED，COLOR_BLUE,COLOR_EQUAL
|
||
|
||
self.traded = False
|
||
self.tradeStatus = EMPTY_STRING # 当前bar的交易情况: CTAORDER_BUY 、CTAORDER_SELL、
|
||
# CTAORDER_SHORT 、CTAORDER_COVER 、 CTAORDER_OPEN_REJECT 、
|
||
# CTAORDER_OPEN_FAIL 、CTAORDER_CLOSE_FAIL
|
||
|
||
self.mid4 = EMPTY_FLOAT # (2*CLOSE+HIGH+LOW)/4;
|
||
self.mid5 = EMPTY_FLOAT # (2*CLOSE+HIGH+LOW+OPEN)/5
|
||
|
||
self.seconds = EMPTY_INT # 当前Bar的秒数（针对RenkoBar)
|
||
self.highSeconds = -1 # 当前Bar的上限秒数
|
||
self.lowSeconds = -1 # 当前bar的下限秒数
|
||
self.height = EMPTY_FLOAT # 当前Bar的高度限制（针对RenkoBar和RangeBar类）
|
||
self.upBand = EMPTY_FLOAT # 高位区域的基线
|
||
self.downBand = EMPTY_FLOAT # 低位区域的基线
|
||
self.lowTime = None # 最后一次进入低位区域的时间
|
||
self.highTime = None # 最后一次进入高位区域的时间
|
||
|
||
|
||
########################################################################
|
||
class CtaTickData(object):
|
||
"""Tick数据"""
|
||
|
||
#----------------------------------------------------------------------
|
||
def __init__(self):
|
||
"""Constructor"""
|
||
self.vtSymbol = EMPTY_STRING # vt系统代码 CF705
|
||
self.symbol = EMPTY_STRING # 合约代码 CF1705
|
||
self.exchange = EMPTY_STRING # 交易所代码
|
||
|
||
# 成交数据
|
||
self.lastPrice = EMPTY_FLOAT # 最新成交价
|
||
self.volume = EMPTY_INT # 最新成交量
|
||
self.preOpenInterest = EMPTY_INT # 昨持仓量
|
||
self.openInterest = EMPTY_INT # 持仓量
|
||
|
||
self.upperLimit = EMPTY_FLOAT # 涨停价
|
||
self.lowerLimit = EMPTY_FLOAT # 跌停价
|
||
|
||
# tick的时间
|
||
self.tradingDay = EMPTY_STRING # 交易日期
|
||
self.date = EMPTY_STRING # 日期
|
||
self.time = EMPTY_STRING # 时间
|
||
self.datetime = None # python的datetime时间对象
|
||
|
||
# 五档行情
|
||
self.bidPrice1 = EMPTY_FLOAT
|
||
self.bidPrice2 = EMPTY_FLOAT
|
||
self.bidPrice3 = EMPTY_FLOAT
|
||
self.bidPrice4 = EMPTY_FLOAT
|
||
self.bidPrice5 = EMPTY_FLOAT
|
||
|
||
self.askPrice1 = EMPTY_FLOAT
|
||
self.askPrice2 = EMPTY_FLOAT
|
||
self.askPrice3 = EMPTY_FLOAT
|
||
self.askPrice4 = EMPTY_FLOAT
|
||
self.askPrice5 = EMPTY_FLOAT
|
||
|
||
self.bidVolume1 = EMPTY_INT
|
||
self.bidVolume2 = EMPTY_INT
|
||
self.bidVolume3 = EMPTY_INT
|
||
self.bidVolume4 = EMPTY_INT
|
||
self.bidVolume5 = EMPTY_INT
|
||
|
||
self.askVolume1 = EMPTY_INT
|
||
self.askVolume2 = EMPTY_INT
|
||
self.askVolume3 = EMPTY_INT
|
||
self.askVolume4 = EMPTY_INT
|
||
self.askVolume5 = EMPTY_INT |