586 lines
23 KiB
Python
586 lines
23 KiB
Python
# encoding: UTF-8
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'''
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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。
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关于平今和平昨规则：
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1. 普通的平仓OFFSET_CLOSET等于平昨OFFSET_CLOSEYESTERDAY
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2. 只有上期所的品种需要考虑平今和平昨的区别
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3. 当上期所的期货有今仓时，调用Sell和Cover会使用OFFSET_CLOSETODAY，否则
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会使用OFFSET_CLOSE
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4. 以上设计意味着如果Sell和Cover的数量超过今日持仓量时，会导致出错（即用户
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希望通过一个指令同时平今和平昨）
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5. 采用以上设计的原因是考虑到vn.trader的用户主要是对TB、MC和金字塔类的平台
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感到功能不足的用户（即希望更高频的交易），交易策略不应该出现4中所述的情况
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6. 对于想要实现4中所述情况的用户，需要实现一个策略信号引擎和交易委托引擎分开
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的定制化统结构（没错，得自己写）
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'''
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import json
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import os
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from collections import OrderedDict
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from datetime import datetime, timedelta
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from ctaBase import *
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from ctaSetting import STRATEGY_CLASS
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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 vtFunction import todayDate
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########################################################################
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class CtaEngine(object):
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"""CTA策略引擎"""
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settingFileName = 'CTA_setting.json'
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path = os.path.abspath(os.path.dirname(__file__))
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settingFileName = os.path.join(path, settingFileName)
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#----------------------------------------------------------------------
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def __init__(self, mainEngine, eventEngine):
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"""Constructor"""
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self.mainEngine = mainEngine
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self.eventEngine = eventEngine
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# 当前日期
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self.today = todayDate()
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# 保存策略实例的字典
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# key为策略名称，value为策略实例，注意策略名称不允许重复
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self.strategyDict = {}
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# 保存vtSymbol和策略实例映射的字典（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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# 持仓缓存字典
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# key为vtSymbol，value为PositionBuffer对象
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self.posBufferDict = {}
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# 引擎类型为实盘
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self.engineType = ENGINETYPE_TRADING
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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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contract = self.mainEngine.getContract(vtSymbol)
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req = VtOrderReq()
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req.symbol = contract.symbol
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req.exchange = contract.exchange
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req.price = price
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req.volume = volume
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req.productClass = strategy.productClass
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req.currency = strategy.currency
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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
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# CTA委托类型映射
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if orderType == CTAORDER_BUY:
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req.direction = DIRECTION_LONG
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req.offset = OFFSET_OPEN
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elif orderType == CTAORDER_SELL:
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req.direction = DIRECTION_SHORT
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# 只有上期所才要考虑平今平昨
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if contract.exchange != EXCHANGE_SHFE:
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req.offset = OFFSET_CLOSE
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else:
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# 获取持仓缓存数据
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posBuffer = self.posBufferDict.get(vtSymbol, None)
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# 如果获取持仓缓存失败，则默认平昨
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if not posBuffer:
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req.offset = OFFSET_CLOSE
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# 否则如果有多头今仓，则使用平今
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elif posBuffer.longToday:
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req.offset= OFFSET_CLOSETODAY
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# 其他情况使用平昨
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else:
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req.offset = 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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# 只有上期所才要考虑平今平昨
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if contract.exchange != EXCHANGE_SHFE:
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req.offset = OFFSET_CLOSE
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else:
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# 获取持仓缓存数据
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posBuffer = self.posBufferDict.get(vtSymbol, None)
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# 如果获取持仓缓存失败，则默认平昨
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if not posBuffer:
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req.offset = OFFSET_CLOSE
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# 否则如果有空头今仓，则使用平今
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elif posBuffer.shortToday:
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req.offset= OFFSET_CLOSETODAY
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# 其他情况使用平昨
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else:
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req.offset = OFFSET_CLOSE
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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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self.writeCtaLog(u'策略%s发送委托，%s，%s，%s@%s'
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%(strategy.name, vtSymbol, req.direction, volume, price))
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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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# 查询报单对象
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order = self.mainEngine.getOrder(vtOrderID)
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# 如果查询成功
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if order:
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# 检查是否报单还有效，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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#----------------------------------------------------------------------
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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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self.stopOrderCount += 1
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stopOrderID = STOPORDERPREFIX + str(self.stopOrderCount)
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so = StopOrder()
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so.vtSymbol = vtSymbol
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so.orderType = orderType
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so.price = price
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so.volume = volume
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so.strategy = strategy
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so.stopOrderID = stopOrderID
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so.status = STOPORDER_WAITING
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if orderType == CTAORDER_BUY:
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so.direction = DIRECTION_LONG
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so.offset = OFFSET_OPEN
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elif orderType == CTAORDER_SELL:
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so.direction = DIRECTION_SHORT
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so.offset = OFFSET_CLOSE
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elif orderType == CTAORDER_SHORT:
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so.direction = DIRECTION_SHORT
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so.offset = OFFSET_OPEN
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elif orderType == CTAORDER_COVER:
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so.direction = DIRECTION_LONG
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so.offset = OFFSET_CLOSE
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# 保存stopOrder对象到字典中
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self.stopOrderDict[stopOrderID] = so
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self.workingStopOrderDict[stopOrderID] = so
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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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# 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
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del self.workingStopOrderDict[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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# 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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# 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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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.lastPrice<=so.price # 空头停止单被触发
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if longTriggered or shortTriggered:
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# 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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so.status = STOPORDER_TRIGGERED
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self.sendOrder(so.vtSymbol, so.orderType, price, so.volume, so.strategy)
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del self.workingStopOrderDict[so.stopOrderID]
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#----------------------------------------------------------------------
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def processTickEvent(self, event):
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"""处理行情推送"""
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tick = event.dict_['data']
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# 收到tick行情后，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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# 推送tick到对应的策略实例进行处理
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if tick.vtSymbol in self.tickStrategyDict:
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# 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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# 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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# 逐个推送到策略实例中
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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"""
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order = event.dict_['data']
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if order.vtOrderID in self.orderStrategyDict:
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strategy = self.orderStrategyDict[order.vtOrderID]
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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"""
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trade = event.dict_['data']
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if trade.vtOrderID in self.orderStrategyDict:
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strategy = self.orderStrategyDict[trade.vtOrderID]
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# 计算策略持仓
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if trade.direction == DIRECTION_LONG:
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strategy.pos += trade.volume
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else:
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strategy.pos -= trade.volume
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strategy.onTrade(trade)
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# 更新持仓缓存数据
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if trade.vtSymbol in self.tickStrategyDict:
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posBuffer = self.posBufferDict.get(trade.vtSymbol, None)
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if not posBuffer:
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posBuffer = PositionBuffer()
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posBuffer.vtSymbol = trade.vtSymbol
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self.posBufferDict[trade.vtSymbol] = posBuffer
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posBuffer.updateTradeData(trade)
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#----------------------------------------------------------------------
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def processPositionEvent(self, event):
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"""处理持仓推送"""
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pos = event.dict_['data']
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# 更新持仓缓存数据
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if pos.vtSymbol in self.tickStrategyDict:
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posBuffer = self.posBufferDict.get(pos.vtSymbol, None)
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if not posBuffer:
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posBuffer = PositionBuffer()
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posBuffer.vtSymbol = pos.vtSymbol
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self.posBufferDict[pos.vtSymbol] = posBuffer
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posBuffer.updatePositionData(pos)
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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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self.eventEngine.register(EVENT_TICK, self.processTickEvent)
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self.eventEngine.register(EVENT_ORDER, self.processOrderEvent)
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self.eventEngine.register(EVENT_TRADE, self.processTradeEvent)
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self.eventEngine.register(EVENT_POSITION, self.processPositionEvent)
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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, days):
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"""从数据库中读取Bar数据，startDate是datetime对象"""
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startDate = self.today - timedelta(days)
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d = {'datetime':{'$gte':startDate}}
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cursor = self.mainEngine.dbQuery(dbName, collectionName, d)
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l = []
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if cursor:
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for d in cursor:
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bar = CtaBarData()
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bar.__dict__ = d
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l.append(bar)
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return l
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#----------------------------------------------------------------------
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def loadTick(self, dbName, collectionName, days):
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"""从数据库中读取Tick数据，startDate是datetime对象"""
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startDate = self.today - timedelta(days)
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d = {'datetime':{'$gte':startDate}}
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cursor = self.mainEngine.dbQuery(dbName, collectionName, d)
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l = []
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if cursor:
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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 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 loadStrategy(self, setting):
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"""载入策略"""
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try:
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name = setting['name']
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className = setting['className']
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except Exception, e:
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self.writeCtaLog(u'载入策略出错：%s' %e)
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return
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# 获取策略类
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strategyClass = STRATEGY_CLASS.get(className, None)
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if not strategyClass:
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self.writeCtaLog(u'找不到策略类：%s' %className)
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return
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# 防止策略重名
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if name in self.strategyDict:
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self.writeCtaLog(u'策略实例重名：%s' %name)
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else:
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# 创建策略实例
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strategy = strategyClass(self, setting)
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self.strategyDict[name] = strategy
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# 保存Tick映射关系
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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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# 订阅合约
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contract = self.mainEngine.getContract(strategy.vtSymbol)
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if contract:
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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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# 对于IB接口订阅行情时所需的货币和产品类型，从策略属性中获取
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req.currency = strategy.currency
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req.productClass = strategy.productClass
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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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#----------------------------------------------------------------------
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def initStrategy(self, name):
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"""初始化策略"""
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if name in self.strategyDict:
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strategy = self.strategyDict[name]
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if not strategy.inited:
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strategy.inited = True
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strategy.onInit()
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else:
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self.writeCtaLog(u'请勿重复初始化策略实例：%s' %name)
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else:
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self.writeCtaLog(u'策略实例不存在：%s' %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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if name in self.strategyDict:
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strategy = self.strategyDict[name]
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if strategy.inited and not strategy.trading:
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strategy.trading = True
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strategy.onStart()
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else:
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self.writeCtaLog(u'策略实例不存在：%s' %name)
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#----------------------------------------------------------------------
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def stopStrategy(self, name):
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"""停止策略"""
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if name in self.strategyDict:
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strategy = self.strategyDict[name]
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if strategy.trading:
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strategy.trading = False
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strategy.onStop()
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# 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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# 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'策略实例不存在：%s' %name)
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#----------------------------------------------------------------------
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def saveSetting(self):
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"""保存策略配置"""
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with open(self.settingFileName, 'w') as f:
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l = []
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for strategy in self.strategyDict.values():
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setting = {}
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for param in strategy.paramList:
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setting[param] = strategy.__getattribute__(param)
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l.append(setting)
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jsonL = json.dumps(l, indent=4)
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f.write(jsonL)
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#----------------------------------------------------------------------
|
||
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)
|
||
|
||
|
||
|
||
########################################################################
|
||
class PositionBuffer(object):
|
||
"""持仓缓存信息（本地维护的持仓数据）"""
|
||
|
||
#----------------------------------------------------------------------
|
||
def __init__(self):
|
||
"""Constructor"""
|
||
self.vtSymbol = EMPTY_STRING
|
||
|
||
# 多头
|
||
self.longPosition = EMPTY_INT
|
||
self.longToday = EMPTY_INT
|
||
self.longYd = EMPTY_INT
|
||
|
||
# 空头
|
||
self.shortPosition = EMPTY_INT
|
||
self.shortToday = EMPTY_INT
|
||
self.shortYd = EMPTY_INT
|
||
|
||
#----------------------------------------------------------------------
|
||
def updatePositionData(self, pos):
|
||
"""更新持仓数据"""
|
||
if pos.direction == DIRECTION_LONG:
|
||
self.longPosition = pos.position
|
||
self.longYd = pos.ydPosition
|
||
self.longToday = self.longPosition - self.longYd
|
||
else:
|
||
self.shortPosition = pos.position
|
||
self.shortYd = pos.ydPosition
|
||
self.shortToday = self.shortPosition - self.shortYd
|
||
|
||
#----------------------------------------------------------------------
|
||
def updateTradeData(self, trade):
|
||
"""更新成交数据"""
|
||
if trade.direction == DIRECTION_LONG:
|
||
# 多方开仓，则对应多头的持仓和今仓增加
|
||
if trade.offset == OFFSET_OPEN:
|
||
self.longPosition += trade.volume
|
||
self.longToday += trade.volume
|
||
# 多方平今，对应空头的持仓和今仓减少
|
||
elif trade.offset == OFFSET_CLOSETODAY:
|
||
self.shortPosition -= trade.volume
|
||
self.shortToday -= trade.volume
|
||
# 多方平昨，对应空头的持仓和昨仓减少
|
||
else:
|
||
self.shortPosition -= trade.volume
|
||
self.shortYd -= trade.volume
|
||
else:
|
||
# 空头和多头相同
|
||
if trade.offset == OFFSET_OPEN:
|
||
self.shortPosition += trade.volume
|
||
self.shortToday += trade.volume
|
||
elif trade.offset == OFFSET_CLOSETODAY:
|
||
self.longPosition -= trade.volume
|
||
self.longToday -= trade.volume
|
||
else:
|
||
self.longPosition -= trade.volume
|
||
self.longYd -= trade.volume
|
||
|
||
|
||
|
||
|
||
|
||
|