245 lines
9.9 KiB
Python
245 lines
9.9 KiB
Python
# encoding: UTF-8
|
||
|
||
from vtConstant import *
|
||
|
||
from ctaConstant import *
|
||
|
||
|
||
########################################################################
|
||
class CtaStrategyTemplate(object):
|
||
"""CTA策略模板"""
|
||
# 策略类的名称
|
||
strategyClassName = 'Template'
|
||
|
||
# 参数列表，保存了参数的名称
|
||
paramList = ['vtSymbol']
|
||
|
||
# 变量列表，保存了变量的名称
|
||
|
||
varList = ['trading']
|
||
|
||
# ----------------------------------------------------------------------
|
||
def __init__(self, ctaEngine, name, setting=None):
|
||
"""Constructor"""
|
||
self.ctaEngine = ctaEngine
|
||
self.name = name
|
||
|
||
self.vtSymbol = EMPTY_STRING # 交易的合约vt系统代码 AU1606，SR605
|
||
self.symbol = EMPTY_STRING # 交易的合约代码（除郑商所外与vtSymbol一致，一般为两位代码+两位年份+两位月份）AU1606，SR1605
|
||
|
||
self.tickDbName = EMPTY_STRING # tick数据库名称
|
||
self.barDbName = EMPTY_STRING # bar数据库名称
|
||
|
||
self.trading = False # 控制是否启动交易
|
||
|
||
#self.init() # 初始化策略 Move to inhert strategy
|
||
#if setting:
|
||
# self.setParam(setting)
|
||
|
||
# ----------------------------------------------------------------------
|
||
def init(self):
|
||
"""初始化策略（必须由用户继承实现）"""
|
||
raise NotImplementedError
|
||
|
||
# ----------------------------------------------------------------------
|
||
def start(self):
|
||
"""启动策略（必须由用户继承实现）"""
|
||
raise NotImplementedError
|
||
|
||
# ----------------------------------------------------------------------
|
||
def stop(self):
|
||
"""停止策略（必须由用户继承实现）"""
|
||
raise NotImplementedError
|
||
|
||
# ----------------------------------------------------------------------
|
||
def onTick(self, tick):
|
||
"""收到行情TICK推送（必须由用户继承实现）"""
|
||
raise NotImplementedError
|
||
|
||
# ----------------------------------------------------------------------
|
||
def onOrder(self, order):
|
||
"""收到委托变化推送（必须由用户继承实现）"""
|
||
raise NotImplementedError
|
||
|
||
# ----------------------------------------------------------------------
|
||
def onTrade(self, trade):
|
||
"""收到成交推送（必须由用户继承实现）"""
|
||
raise NotImplementedError
|
||
|
||
# ----------------------------------------------------------------------
|
||
def onBar(self, bar):
|
||
"""收到Bar推送（必须由用户继承实现）"""
|
||
raise NotImplementedError
|
||
|
||
# ----------------------------------------------------------------------
|
||
def buy(self, price, volume, stop=False):
|
||
"""买开"""
|
||
# 如果stop为True，则意味着发本地停止单
|
||
if self.trading:
|
||
if stop:
|
||
self.writeCtaLog(u'本地停止单，Buy买开,Price:{0},Volume:{1}'.format(price, volume))
|
||
orderID = self.ctaEngine.sendStopOrder(self.vtSymbol, CTAORDER_BUY, price, volume, self)
|
||
else:
|
||
self.writeCtaLog(u'Buy买开,Price:{0},Volume:{1}'.format(price, volume))
|
||
orderID = self.ctaEngine.sendOrder(self.vtSymbol, CTAORDER_BUY, price, volume, self)
|
||
return orderID
|
||
else:
|
||
return None
|
||
|
||
# ----------------------------------------------------------------------
|
||
def sell(self, price, volume, stop=False):
|
||
"""卖平"""
|
||
# 如果stop为True，则意味着发本地停止单
|
||
if self.trading:
|
||
if stop:
|
||
self.writeCtaLog(u'本地停止单，sell卖平,Price:{0},Volume:{1}'.format(price, volume))
|
||
orderID = self.ctaEngine.sendStopOrder(self.vtSymbol, CTAORDER_SELL, price, volume, self)
|
||
else:
|
||
self.writeCtaLog(u'sell卖平,Price:{0},Volume:{1}'.format(price, volume))
|
||
orderID = self.ctaEngine.sendOrder(self.vtSymbol, CTAORDER_SELL, price, volume, self)
|
||
return orderID
|
||
else:
|
||
return None
|
||
|
||
# ----------------------------------------------------------------------
|
||
def short(self, price, volume, stop=False):
|
||
"""卖开"""
|
||
# 如果stop为True，则意味着发本地停止单
|
||
if self.trading:
|
||
if stop:
|
||
self.writeCtaLog(u'本地停止单，short卖开,Price:{0},Volume:{1}'.format(price, volume))
|
||
orderID = self.ctaEngine.sendStopOrder(self.vtSymbol, CTAORDER_SHORT, price, volume, self)
|
||
else:
|
||
self.writeCtaLog(u'short卖开,Price:{0},Volume:{1}'.format(price, volume))
|
||
orderID = self.ctaEngine.sendOrder(self.vtSymbol, CTAORDER_SHORT, price, volume, self)
|
||
return orderID
|
||
else:
|
||
return None
|
||
|
||
# ----------------------------------------------------------------------
|
||
def cover(self, price, volume, stop=False):
|
||
"""买平"""
|
||
if self.trading:
|
||
# 如果stop为True，则意味着发本地停止单
|
||
if stop:
|
||
self.writeCtaLog(u'本地停止单，cover，买平,Price:{0},Volume:{1}'.format(price, volume))
|
||
orderID = self.ctaEngine.sendStopOrder(self.vtSymbol, CTAORDER_COVER, price, volume, self)
|
||
else:
|
||
self.writeCtaLog(u'Short卖开,cover:{0},Volume:{1}'.format(price, volume))
|
||
|
||
orderID = self.ctaEngine.sendOrder(self.vtSymbol, CTAORDER_COVER, price, volume, self)
|
||
return orderID
|
||
else:
|
||
return None
|
||
|
||
# ----------------------------------------------------------------------
|
||
def cancelOrder(self, orderID):
|
||
"""撤单"""
|
||
if STOPORDERPREFIX in orderID:
|
||
self.ctaEngine.cancelStopOrder(orderID)
|
||
else:
|
||
self.ctaEngine.cancelOrder(orderID)
|
||
|
||
# ----------------------------------------------------------------------
|
||
def insertTick(self, tick):
|
||
"""向数据库中插入tick数据"""
|
||
self.ctaEngine.insertData(self.tickDbName, self.vtSymbol, tick)
|
||
|
||
# ----------------------------------------------------------------------
|
||
def insertBar(self, bar):
|
||
"""向数据库中插入bar数据"""
|
||
self.ctaEngine.insertData(self.barDbName, self.vtSymbol, bar)
|
||
|
||
# ----------------------------------------------------------------------
|
||
def loadTick(self, startDate):
|
||
"""读取tick数据"""
|
||
return self.ctaEngine.loadTick(self.tickDbName, self.vtSymbol, startDate)
|
||
|
||
# ----------------------------------------------------------------------
|
||
def loadBar(self, startDate):
|
||
"""读取bar数据"""
|
||
return self.ctaEngine.loadBar(self.barDbName, self.vtSymbol, startDate)
|
||
|
||
# ----------------------------------------------------------------------
|
||
def setParam(self, setting):
|
||
"""设置参数"""
|
||
d = self.__dict__
|
||
for key in self.paramList:
|
||
if key in setting:
|
||
|
||
d[key] = setting[key]
|
||
|
||
# ----------------------------------------------------------------------
|
||
def getToday(self):
|
||
"""查询当前日期"""
|
||
return self.ctaEngine.getToday()
|
||
|
||
|
||
# ----------------------------------------------------------------------
|
||
def writeCtaLog(self, content):
|
||
"""记录CTA日志"""
|
||
self.ctaEngine.writeCtaLog(self.name+':'+content)
|
||
|
||
|
||
|
||
########################################################################
|
||
class TestStrategy(CtaStrategyTemplate):
|
||
"""测试策略"""
|
||
|
||
# ----------------------------------------------------------------------
|
||
def __init__(self, ctaEngine, name, setting=None):
|
||
"""Constructor"""
|
||
super(TestStrategy, self).__init__(ctaEngine, name, setting)
|
||
|
||
self.strategyClassName = 'TestStrategy'
|
||
|
||
self.author = u'用Python的交易员' # 作者
|
||
|
||
self.pos = EMPTY_INT # 持仓
|
||
self.lastPrice = EMPTY_FLOAT # 最新价
|
||
|
||
# 参数和变量列表设置
|
||
self.paramList.append('author')
|
||
|
||
self.varList.append('pos')
|
||
self.varList.append('lastPrice')
|
||
|
||
# ----------------------------------------------------------------------
|
||
def init(self):
|
||
"""初始化策略（必须由用户继承实现）"""
|
||
self.writeCtaLog(u'测试策略%s初始化' %self.name)
|
||
|
||
# ----------------------------------------------------------------------
|
||
def start(self):
|
||
"""启动策略（必须由用户继承实现）"""
|
||
self.writeCtaLog(u'测试策略%s启动' %self.name)
|
||
|
||
# ----------------------------------------------------------------------
|
||
def stop(self):
|
||
"""停止策略（必须由用户继承实现）"""
|
||
self.writeCtaLog(u'测试策略%s停止' %self.name)
|
||
|
||
# ----------------------------------------------------------------------
|
||
def onTick(self, tick):
|
||
"""收到行情TICK推送（必须由用户继承实现）"""
|
||
self.writeCtaLog(u'测试策略%s收到Tick' %self.name)
|
||
self.lastPrice = tick.lastPrice
|
||
|
||
# ----------------------------------------------------------------------
|
||
def onOrder(self, order):
|
||
"""收到委托变化推送（必须由用户继承实现）"""
|
||
self.writeCtaLog(u'onOrder不会被调用')
|
||
|
||
# ----------------------------------------------------------------------
|
||
def onTrade(self, trade):
|
||
"""收到成交推送（必须由用户继承实现）"""
|
||
self.writeCtaLog(u'onTrade不会被调用')
|
||
|
||
# ----------------------------------------------------------------------
|
||
def onBar(self, bar):
|
||
"""收到Bar推送（必须由用户继承实现）"""
|
||
self.writeCtaLog(u'测试策略%s收到Bar' %self.name)
|
||
|
||
|
||
|