508 lines
19 KiB
Python
508 lines
19 KiB
Python
# encoding: UTF-8
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from datetime import datetime
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import json
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from collections import OrderedDict
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from eventEngine import *
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from vtConstant import *
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from vtGateway import VtSubscribeReq, VtOrderReq, VtCancelOrderReq, VtLogData
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from ctaConstant import *
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from ctaObject import *
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from ctaStrategies import strategyClassDict
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########################################################################
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class CtaEngine(object):
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"""CTA策略引擎"""
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# 策略配置文件
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settingFileName = 'CTA_setting.json'
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# ----------------------------------------------------------------------
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def __init__(self, mainEngine, eventEngine, dataEngine):
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"""Constructor"""
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self.mainEngine = mainEngine
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self.eventEngine = eventEngine
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self.dataEngine = dataEngine
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# 保存策略对象的字典
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# key为策略名称，value为策略对象，注意策略名称不允许重复
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self.strategyDict = {}
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# 保存vtSymbol和策略对象映射的字典（用于推送tick数据）
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# 由于可能多个strategy交易同一个vtSymbol，因此key为vtSymbol
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# value为包含所有相关strategy对象的list
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self.tickStrategyDict = {}
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# 保存vtOrderID和strategy对象映射的字典（用于推送order和trade数据）
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# key为vtOrderID，value为strategy对象
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self.orderStrategyDict = {}
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# 本地停止单编号计数
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self.stopOrderCount = 0
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# stopOrderID = STOPORDERPREFIX + str(stopOrderCount)
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# 本地停止单字典
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# key为stopOrderID，value为stopOrder对象
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self.stopOrderDict = {} # 停止单撤销后不会从本字典中删除
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self.workingStopOrderDict = {} # 停止单撤销后会从本字典中删除
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# 注册事件监听
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self.registerEvent()
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# ----------------------------------------------------------------------
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def sendOrder(self, vtSymbol, orderType, price, volume, strategy):
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"""发单"""
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# 1.查询合约对象
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contract = self.dataEngine.getContract(vtSymbol)
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# 2. 创建发单传入对象
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req = VtOrderReq()
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req.symbol = contract.symbol # 合约代码
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req.exchange = contract.exchange # 交易所
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req.price = price # 价格
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req.volume = volume # 数量
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# 设计为CTA引擎发出的委托只允许使用限价单
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req.priceType = PRICETYPE_LIMITPRICE # 价格类型
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# CTA委托类型映射
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# 对于中金所，只有close有用
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# 对于上期所，应该分别使用closeYesterday或者closeToday
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if orderType == CTAORDER_BUY:
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req.direction = DIRECTION_LONG # 合约方向
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req.offset = OFFSET_OPEN # 开/平
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elif orderType == CTAORDER_SELL:
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req.direction = DIRECTION_SHORT
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req.offset = OFFSET_CLOSETODAY #OFFSET_CLOSE
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elif orderType == CTAORDER_SHORT:
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req.direction = DIRECTION_SHORT
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req.offset = OFFSET_OPEN
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elif orderType == CTAORDER_COVER:
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req.direction = DIRECTION_LONG
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req.offset = OFFSET_CLOSETODAY #OFFSET_CLOSE
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# 3.调用主引擎的发单接口进行发单，保存OrderID与策略映射关系
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vtOrderID = self.mainEngine.sendOrder(req, contract.gatewayName) # 发单
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self.orderStrategyDict[vtOrderID] = strategy # 保存vtOrderID和策略的映射关系
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return vtOrderID
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# ----------------------------------------------------------------------
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def cancelOrder(self, vtOrderID):
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"""撤单"""
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# 1.调用主引擎接口，查询委托单对象
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order = self.dataEngine.getOrder(vtOrderID)
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# 如果查询成功
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if order:
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# 2.检查是否报单（委托单）还有效，只有有效时才发出撤单指令
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orderFinished = (order.status == STATUS_ALLTRADED or order.status == STATUS_CANCELLED)
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if not orderFinished:
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req = VtCancelOrderReq()
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req.symbol = order.symbol
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req.exchange = order.exchange
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req.frontID = order.frontID
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req.sessionID = order.sessionID
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req.orderID = order.orderID
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self.mainEngine.cancelOrder(req, order.gatewayName)
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else:
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if order.status == STATUS_ALLTRADED:
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self.writeCtaLog(u'委托单({0}已执行，无法撤销'.format(vtOrderID))
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if order.status == STATUS_CANCELLED:
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self.writeCtaLog(u'委托单({0}已撤销，无法再次撤销'.format(vtOrderID))
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# 查询不成功
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else:
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self.writeCtaLog(u'委托单({0}不存在'.format(vtOrderID))
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# ----------------------------------------------------------------------
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def sendStopOrder(self, vtSymbol, orderType, price, volume, strategy):
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"""发停止单（本地实现）"""
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# 1.生成本地停止单ID
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self.stopOrderCount += 1
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stopOrderID = STOPORDERPREFIX + str(self.stopOrderCount)
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# 2.创建停止单对象
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so = StopOrder()
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so.vtSymbol = vtSymbol # 代码
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so.orderType = orderType # 停止单类型
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so.price = price # 价格
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so.volume = volume # 数量
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so.strategy = strategy # 来源策略
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so.stopOrderID = stopOrderID # Id
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so.status = STOPORDER_WAITING # 状态
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# 3.保存stopOrder对象到字典中
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self.stopOrderDict[stopOrderID] = so # 字典中不会删除
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self.workingStopOrderDict[stopOrderID] = so # 字典中会删除
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self.writeCtaLog(u'发停止单成功，'
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u'Id:{0},Symbol:{1},Type:{2},Price:{3},Volume:{4}'
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u'.'.format(stopOrderID, vtSymbol, orderType, price, volume))
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return stopOrderID
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# ----------------------------------------------------------------------
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def cancelStopOrder(self, stopOrderID):
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"""撤销停止单"""
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# 1.检查停止单是否存在
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if stopOrderID in self.workingStopOrderDict:
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so = self.workingStopOrderDict[stopOrderID]
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so.status = STOPORDER_CANCELLED # STOPORDER_WAITING =》STOPORDER_CANCELLED
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del self.workingStopOrderDict[stopOrderID] # 删除
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self.writeCtaLog(u'撤销停止单:{0}成功.'.format(stopOrderID))
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else:
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self.writeCtaLog(u'撤销停止单:{0}失败，不存在Id.'.format(stopOrderID))
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# ----------------------------------------------------------------------
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def processStopOrder(self, tick):
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"""收到行情后处理本地停止单（检查是否要立即发出）"""
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vtSymbol = tick.vtSymbol
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# 1.首先检查是否有策略交易该合约
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if vtSymbol in self.tickStrategyDict:
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# 2.遍历等待中的停止单，检查是否会被触发
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for so in self.workingStopOrderDict.values():
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if so.vtSymbol == vtSymbol:
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# 3. 触发标识判断
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longTriggered = so.direction == DIRECTION_LONG and tick.lastPrice >= so.price # 多头停止单被触发
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shortTriggered = so.direction == DIRECTION_SHORT and tick.lasatPrice <= so.price # 空头停止单被触发
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# 4.触发处理
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if longTriggered or shortTriggered:
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# 5.设定价格，买入和卖出分别以涨停跌停价发单（模拟市价单）
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if so.direction == DIRECTION_LONG:
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price = tick.upperLimit
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else:
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price = tick.lowerLimit
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# 6.更新停止单状态，触发
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so.status = STOPORDER_TRIGGERED
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# 7.发单
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self.sendOrder(so.vtSymbol, so.orderType, price, so.volume, so.strategy)
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# 8.删除停止单
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del self.workingStopOrderDict[so.stopOrderID]
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# ----------------------------------------------------------------------
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def procecssTickEvent(self, event):
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"""处理行情推送事件"""
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# 1. 获取事件的Tick数据
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tick = event.dict_['data']
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# 2.收到tick行情后，优先处理本地停止单（检查是否要立即发出）
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self.processStopOrder(tick)
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# 3.推送tick到对应的策略对象进行处理
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if tick.vtSymbol in self.tickStrategyDict:
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# 4.将vtTickData数据转化为ctaTickData
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ctaTick = CtaTickData()
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d = ctaTick.__dict__
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for key in d.keys():
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if key != 'datetime':
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d[key] = tick.__getattribute__(key)
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# 5.添加datetime字段
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ctaTick.datetime = datetime.strptime(' '.join([tick.date, tick.time]), '%Y%m%d %H:%M:%S.%f')
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l = self.tickStrategyDict[tick.vtSymbol]
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for strategy in l:
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strategy.onTick(ctaTick)
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# ----------------------------------------------------------------------
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def processOrderEvent(self, event):
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"""处理委托推送事件"""
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# 1.获取事件的Order数据
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order = event.dict_['data']
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# 2.判断order是否在映射字典中
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if order.vtOrderID in self.orderStrategyDict:
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# 3.提取对应的策略
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strategy = self.orderStrategyDict[order.vtOrderID]
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# 4.触发策略的委托推送事件方法
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strategy.onOrder(order)
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# ----------------------------------------------------------------------
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def processTradeEvent(self, event):
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"""处理成交推送事件"""
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# 1.获取事件的Trade数据
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trade = event.dict_['data']
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# 2.判断Trade是否在映射字典中
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if trade.vtOrderID in self.orderStrategyDict:
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# 3.提取对应的策略
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strategy = self.orderStrategyDict[trade.vtOrderID]
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# 4.触发策略的成交推送事件。
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strategy.onTrade(trade)
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# ----------------------------------------------------------------------
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def registerEvent(self):
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"""注册事件监听"""
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# 注册行情数据推送（Tick数据到达）的响应事件
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self.eventEngine.register(EVENT_TICK, self.procecssTickEvent)
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# 注册订单推送的响应事件
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self.eventEngine.register(EVENT_ORDER, self.processOrderEvent)
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# 注册成交推送（交易）的响应时间
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self.eventEngine.register(EVENT_TRADE, self.processTradeEvent)
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# ----------------------------------------------------------------------
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def insertData(self, dbName, collectionName, data):
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"""插入数据到数据库（这里的data可以是CtaTickData或者CtaBarData）"""
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self.mainEngine.dbInsert(dbName, collectionName, data.__dict__)
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# ----------------------------------------------------------------------
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def loadBar(self, dbName, collectionName, startDate):
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"""从数据库中读取Bar数据
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startDate是datetime对象"""
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d = {'datetime':{'$gte':startDate}}
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cursor = self.mainEngine.dbQuery(dbName, collectionName, d)
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l = []
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for d in cursor:
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bar = CtaBarData()
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bar.__dict__ = d
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l.append(bar)
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return l
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# ----------------------------------------------------------------------
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def loadTick(self, dbName, collectionName, startDate):
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"""从数据库中读取Tick数据，startDate是datetime对象"""
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d = {'datetime':{'$gte':startDate}}
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cursor = self.mainEngine.dbQuery(dbName, collectionName, d)
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l = []
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for d in cursor:
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tick = CtaTickData()
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tick.__dict__ = d
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l.append(tick)
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return l
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# ----------------------------------------------------------------------
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def getToday(self):
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"""获取代表今日的datetime对象"""
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today = datetime.today()
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today = today.replace(hour=0, minute=0, second=0, microsecond=0)
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return today
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# ----------------------------------------------------------------------
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def writeCtaLog(self, content):
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"""快速发出CTA模块日志事件"""
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log = VtLogData()
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log.logContent = content
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event = Event(type_=EVENT_CTA_LOG)
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event.dict_['data'] = log
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self.eventEngine.put(event)
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# ----------------------------------------------------------------------
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def initStrategy(self, name, strategyClass, paramDict=None):
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"""初始化策略"""
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# 防止策略重名
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if name not in self.strategyDict:
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# 1.创建策略对象
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strategy = strategyClass(self, name, paramDict)
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self.strategyDict[name] = strategy
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# 2.保存Tick映射关系（symbol <==> Strategy[] )
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if strategy.vtSymbol in self.tickStrategyDict:
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l = self.tickStrategyDict[strategy.vtSymbol]
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else:
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l = []
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self.tickStrategyDict[strategy.vtSymbol] = l
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l.append(strategy)
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# 3.订阅合约
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contract = self.dataEngine.getContract(strategy.vtSymbol)
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if contract:
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# 4.构造订阅请求包
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req = VtSubscribeReq()
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req.symbol = contract.symbol
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req.exchange = contract.exchange
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# 5.调用主引擎的订阅接口
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self.mainEngine.subscribe(req, contract.gatewayName)
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else:
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self.writeCtaLog(u'%s的交易合约%s无法找到' %(name, strategy.vtSymbol))
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else:
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self.writeCtaLog(u'存在策略对象重名：' + name)
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# ---------------------------------------------------------------------
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def startStrategy(self, name):
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"""启动策略"""
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# 1.判断策略名称是否存在字典中
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if name in self.strategyDict:
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# 2.提取策略
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strategy = self.strategyDict[name]
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# 3.判断策略是否运行
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if not strategy.trading:
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# 4.设置运行状态
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strategy.trading = True
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# 5.启动策略
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strategy.start()
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else:
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self.writeCtaLog(u'策略对象不存在：' + name)
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# ----------------------------------------------------------------------
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def stopStrategy(self, name):
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"""停止策略运行"""
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# 1.判断策略名称是否存在字典中
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if name in self.strategyDict:
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# 2.提取策略
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strategy = self.strategyDict[name]
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# 3.停止交易
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if strategy.trading:
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# 4.设置交易状态为False
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strategy.trading = False
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# 5.调用策略的停止方法
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strategy.stop()
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# 6.对该策略发出的所有限价单进行撤单
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for vtOrderID, s in self.orderStrategyDict.items():
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if s is strategy:
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self.cancelOrder(vtOrderID)
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# 7.对该策略发出的所有本地停止单撤单
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for stopOrderID, so in self.workingStopOrderDict.items():
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if so.strategy is strategy:
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self.cancelStopOrder(stopOrderID)
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else:
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self.writeCtaLog(u'策略对象不存在：' + name)
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# ----------------------------------------------------------------------
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def saveStrategySetting(self):
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"""保存引擎中的策略配置"""
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with open(self.settingFileName, 'w') as f:
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d = {}
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# 逐一循环：name，策略实例名称，strategy，策略
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for name, strategy in self.strategyDict.items():
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# 配置串
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setting = {}
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# 策略的类名称
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setting['strategyClassName'] = strategy.strategyClassName
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# 策略的参数
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for param in strategy.paramList:
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setting[param] = strategy.__getattribute__(param)
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# 策略实例名，保存配置
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d[name] = setting
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# Json对象=》Json字符串
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jsonD = json.dumps(d, indent=4)
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# 保存文件
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f.write(jsonD)
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# ----------------------------------------------------------------------
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def loadStrategySetting(self):
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"""读取引擎中的策略配置"""
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with open(self.settingFileName) as f:
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# 读取文件内容串=》Json对象
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d = json.load(f)
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# 策略实例名称，配置内容
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for name, setting in d.items():
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# 策略的类名称
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strategyClassName = setting['strategyClassName']
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if strategyClassName in strategyClassDict:
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# 透过策略类字典，反射获取策略
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strategyClass = strategyClassDict[strategyClassName]
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# 初始化策略的设置
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self.initStrategy(name, strategyClass, setting)
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else:
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self.writeCtaLog(u'无法找到策略类：' + strategyClassName)
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break
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# ----------------------------------------------------------------------
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def getStrategyVar(self, name):
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"""获取策略当前的变量字典"""
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if name in self.strategyDict:
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# 获取策略实例
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strategy = self.strategyDict[name]
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# 策略实例的所有属性
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d = strategy.__dict__
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# 变量字典
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varDict = OrderedDict()
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# 策略中的变量名称列表
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for key in strategy.varList:
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# 如果匹配就增加
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if key in d:
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varDict[key] = d[key]
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return varDict
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else:
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self.writeCtaLog(u'策略对象不存在：' + name)
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return None
|
||
|
||
# ----------------------------------------------------------------------
|
||
def getStrategyParam(self, name):
|
||
"""获取策略的参数字典"""
|
||
if name in self.strategyDict:
|
||
# 获取策略实例
|
||
strategy = self.strategyDict[name]
|
||
|
||
# 策略实例的所有属性
|
||
d = strategy.__dict__
|
||
|
||
# 参数字典
|
||
paramDict = OrderedDict()
|
||
|
||
# 策略内的参数名称列表
|
||
for key in strategy.paramList:
|
||
|
||
# 匹配的就添加
|
||
if key in d:
|
||
paramDict[key] = d[key]
|
||
|
||
return paramDict
|
||
|
||
else:
|
||
self.writeCtaLog(u'策略对象不存在：' + name)
|
||
return None
|
||
|
||
|