599 lines
25 KiB
Python
599 lines
25 KiB
Python
# encoding: UTF-8
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from ctaBase import *
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from vtConstant import *
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import json
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import os
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from datetime import datetime
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DEBUGCTALOG = True
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"""
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网格交易，用于套利单
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作者：李来佳，QQ/Wechat:28888502
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ChangeLog:
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0713,修改closeGrid，增加volume字段，关闭网格时，根据价格和交易量进行双重匹配.
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0715,增加保存json和重启后加载本地json文件
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"""
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class CtaGrid(object):
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"""网格类
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它是网格交易的最小单元
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包括交易方向，开仓价格，平仓价格，止损价格，开仓状态，平仓状态
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"""
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def __init__(self, direction, openprice, closeprice, stopprice=EMPTY_FLOAT, volume=1):
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self.direction = direction # 交易方向（LONG：多，正套；SHORT：空，反套）
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self.openPrice = openprice # 开仓价格
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self.closePrice = closeprice # 平仓价格
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self.stopPrice = stopprice # 止损价格
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self.volume = volume # 开仓数量
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self.tradedVolume = EMPTY_INT # 成交数量 开仓时，为开仓数量，平仓时，为平仓数量
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self.orderStatus = False # 挂单状态: True,已挂单，False，未挂单
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self.orderRef = EMPTY_STRING # OrderId
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self.openStatus = False # 开仓状态
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self.closeStatus = False # 平仓状态
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self.openDatetime = None
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self.orderDatetime = None # 委托时间
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def toJson(self):
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"""输出JSON"""
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j = {}
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j['direction'] = self.direction
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j['openPrice'] = self.openPrice # 开仓价格
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j['closePrice'] = self.closePrice # 平仓价格
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j['stopPrice'] = self.stopPrice # 止损价格
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j['volume'] = self.volume # 开仓数量
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j['tradedVolume'] = self.tradedVolume # 成交数量
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j['orderStatus'] = self.orderStatus # 挂单状态: True,已挂单，False，未挂单
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j['orderRef'] = self.orderRef # OrderId
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j['openStatus'] = self.openStatus # 开仓状态
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j['closeStatus'] = self.closeStatus # 平仓状态
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if type(self.openDatetime) == type(None):
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j['openDatetime'] = EMPTY_STRING
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else:
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try:
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j['openDatetime'] = self.openDatetime.strftime('%Y-%m-%d %H:%M:%S')
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except Exception:
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j['openDatetime'] = EMPTY_STRING
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return j
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def toStr(self):
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"""输入字符串"""
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str = u'o:{0}/{1};c:{2}/{3},r:{4}/opentime:{5}/ordertime:{6}'\
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.format(self.openPrice, self.openStatus, self.closePrice,
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self.closeStatus, self.orderRef, self.openDatetime, self.orderDatetime)
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return str
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class CtaGridTrade(object):
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"""网格交易类
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包括两个方向的网格队列，
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v1, 基本版
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v2，增加更新最小价格跳动，增加动态上下网格间距
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"""
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def __init__(self, strategy, maxlots=5, height=2, win=2, vol=1, minDiff = 1):
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"""初始化
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maxlots,最大网格数
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height，网格高度（绝对值，包含minDiff）
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win，盈利数（包含minDiff）
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vol，网格开仓数
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minDiff, 最小价格跳动
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"""
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self.minDiff = minDiff
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self.strategy = strategy
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self.jsonName = self.strategy.name #策略名称
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self.maxLots = maxlots # 缺省网格数量
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self.gridHeight = height # 最小网格高度
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self.gridWin = win # 最小止盈高度
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self.volume = vol # 每次网格开仓数量
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self.volumeList = [1, 1, 1, 1, 1, 1, 1, 1, 1, 1] # 梯级开仓数量比例
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self.upGrids = [] # 上网格列表，专门做空
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self.dnGrids = [] # 下网格列表，专门做多
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self.avg_up_open_price = EMPTY_FLOAT # 上网格开仓均价
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self.avg_dn_open_price = EMPTY_FLOAT # 下网格开仓均价
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self.max_up_open_price = EMPTY_FLOAT # 上网格开仓均价
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self.min_dn_open_price = EMPTY_FLOAT # 下网格开仓均价
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def getVolumeRate(self, gridIndex=EMPTY_INT):
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"""获取网格索引对应的开仓数量比例"""
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if gridIndex >= len(self.volumeList) or gridIndex < 0:
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return 1
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rate = self.volumeList[gridIndex]
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if rate == 0:
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return 1
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else:
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return rate
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def initGrid(self, upline=EMPTY_FLOAT, dnline=EMPTY_FLOAT):
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"""初始化网格队列
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upline，上支撑线
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dnline，下阻力线
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"""
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self.writeCtaLog(u'初始化网格队列，upline:{0},dnline:{1}'.format(upline, dnline))
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# 初始化上网格列表
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if len(self.upGrids) == 0:
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self.upGrids = self.load(direction= DIRECTION_SHORT)
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if len(self.upGrids) >0:
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self.writeCtaLog(u'上网格从文件加载完成')
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else:
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# 做空，开仓价为上阻力线+网格高度*i，平仓价为开仓价-止盈高度，开仓数量为缺省
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for i in range(0, self.maxLots, 1):
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grid = CtaGrid(direction=DIRECTION_SHORT,
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openprice=upline+self.gridHeight*i,
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closeprice=upline+self.gridHeight*i-self.gridWin,
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volume=self.volume*self.getVolumeRate(i))
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self.upGrids.append(grid)
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self.writeCtaLog(u'上网格{0}~{1}初始化完成'.format(upline,upline+self.gridHeight*self.maxLots))
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self.save(direction=DIRECTION_SHORT)
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# 初始化下网格列表
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if len(self.dnGrids) == 0:
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self.dnGrids = self.load(direction= DIRECTION_LONG)
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if len(self.dnGrids) >0:
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self.writeCtaLog(u'下网格从文件加载完成')
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else:
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for i in range(0, self.maxLots, 1):
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# 做多，开仓价为下阻力线-网格高度*i，平仓价为开仓价+止盈高度，开仓数量为缺省
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grid = CtaGrid(direction=DIRECTION_LONG,
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openprice=dnline - self.gridHeight * i,
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closeprice=dnline - self.gridHeight * i + self.gridWin,
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volume=self.volume*self.getVolumeRate(i))
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self.dnGrids.append(grid)
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self.writeCtaLog(u'下网格{0}~{1}初始化完成'.format(dnline,dnline-self.gridHeight*self.maxLots))
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self.save(direction=DIRECTION_LONG)
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def writeCtaLog(self, log):
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self.strategy.writeCtaLog(log)
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def toStr(self,direction):
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"""显示网格"""
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pendingCloseList = u'' # 平仓清单
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pendingOpenList = u'' # 开仓清单
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deactiveList = u'' # 待激活清单
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if direction == DIRECTION_LONG:
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for grid in self.dnGrids:
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# 待平仓
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if grid.openStatus :
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if grid.tradedVolume == EMPTY_INT:
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pendingCloseList = pendingCloseList + u'[{0}->{1},v:{2}];'\
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.format(grid.openPrice, grid.closePrice, grid.volume)
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else:
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pendingCloseList = pendingCloseList + u'[{0}->{1},v:{2}/{3}];'\
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.format(grid.openPrice, grid.closePrice, grid.volume, grid.tradedVolume)
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# 待开仓成交
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elif not grid.openStatus and grid.orderStatus:
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if grid.tradedVolume == EMPTY_INT:
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pendingOpenList = pendingOpenList + u'[{0},v:{1}];'.format(grid.openPrice, grid.volume)
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else:
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pendingOpenList = pendingOpenList + u'[{0},v:{1}/{2}];'\
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.format(grid.openPrice, grid.volume, grid.tradedVolume)
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# 等待挂单
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else:
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deactiveList = deactiveList + u'[{0}];'.format(grid.openPrice)
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return u'多:待平:{0};开:{1};待:{2}'.format(pendingCloseList,pendingOpenList,deactiveList)
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if direction == DIRECTION_SHORT:
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for grid in self.upGrids:
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# 待平仓
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if grid.openStatus:
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if grid.tradedVolume == EMPTY_INT:
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pendingCloseList = pendingCloseList + u'[{0}->{1},v:{2}];'\
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.format(grid.openPrice, grid.closePrice, grid.volume)
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else:
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pendingCloseList = pendingCloseList + u'[{0}->{1},v:{2}/{3}];'\
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.format(grid.openPrice, grid.closePrice, grid.volume, grid.tradedVolume)
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# 待开仓成交
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elif not grid.openStatus and grid.orderStatus:
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if grid.tradedVolume == EMPTY_INT:
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pendingOpenList = pendingOpenList + u'[{0},v:{1}];'.format(grid.openPrice, grid.volume)
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else:
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pendingOpenList = pendingOpenList + u'[{0},v:{1}/{2}];'\
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.format(grid.openPrice, grid.volume, grid.tradedVolume)
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# 等待挂单
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else:
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deactiveList = deactiveList + u'[{0}];'.format(grid.openPrice)
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return u'空:待平:{0};开:{1};待:{2}'.format(pendingCloseList,pendingOpenList,deactiveList)
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def getGrids(self, direction, ordered=False, opened=False, closed=False, begin=EMPTY_FLOAT, end=EMPTY_FLOAT):
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"""获取未挂单的网格
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direction:做多、做空方向: 做多方向时，从dnGrids中获取; 做空方向时，从upGrids中获取
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ordered:是否已提交至服务器
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opened：是否已开仓
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closed：是否已平仓
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begin：开始价格,
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end：结束价格，
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"""
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# 状态一致，价格大于最低价格
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if direction == DIRECTION_LONG:
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if begin == EMPTY_FLOAT: begin = 99999
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if end == EMPTY_FLOAT: end = - 99999
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grids = [x for x in self.dnGrids
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if x.orderStatus == ordered
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and x.openStatus == opened
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and x.closeStatus == closed
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and x.openPrice <= begin
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and x.openPrice >= end]
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return grids
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# 状态一致，开仓价格小于最高价格
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if direction == DIRECTION_SHORT:
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if begin == EMPTY_FLOAT: begin = -99999
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if end == EMPTY_FLOAT: end = 99999
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grids = [x for x in self.upGrids
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if x.orderStatus == ordered
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and x.openStatus == opened
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and x.closeStatus == closed
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and x.openPrice >= begin
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and x.openPrice <= end]
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return grids
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def updateOrderRef(self, direction, openPrice, orderRef):
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"""更新网格的orderId"""
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if direction == DIRECTION_LONG:
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for x in self.dnGrids:
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if x.openPrice == openPrice:
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x.orderRef = orderRef
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x.orderStatus = True
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if direction == DIRECTION_SHORT:
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for x in self.upGrids:
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if x.openPrice == openPrice:
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x.orderRef = orderRef
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x.orderStatus = True
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def cancelOrderRef(self,direction, openPrice):
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"""网格撤单"""
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if direction == DIRECTION_LONG:
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for x in self.dnGrids:
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if x.openPrice == openPrice and x.orderRef != EMPTY_STRING and x.orderStatus==True and x.openStatus==False:
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x.orderRef = EMPTY_STRING
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x.orderStatus = False
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self.writeCtaLog(u'下网格撤单[{0}]'.format(x.openPrice))
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if direction == DIRECTION_SHORT:
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for x in self.upGrids:
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if x.openPrice == openPrice and x.orderRef != EMPTY_STRING and x.orderStatus==True and x.openStatus==False:
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x.orderRef = EMPTY_STRING
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x.orderStatus = False
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self.writeCtaLog(u'上网格撤单[{0}]'.format(x.openPrice))
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def getGrid(self, direction, openPrice=EMPTY_FLOAT, closePrice=EMPTY_FLOAT, orderRef=EMPTY_STRING, t=EMPTY_STRING):
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"""获取网格"""
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if direction == DIRECTION_LONG:
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for x in self.dnGrids:
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# 优先匹配价格
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if t == u'OpenPrice' and x.openPrice == openPrice:
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return x
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elif t == u'ClosePrice' and x.closePrice == closePrice:
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return x
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elif t == u'OrderRef' and x.orderRef == orderRef:
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return x
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if direction == DIRECTION_SHORT:
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for x in self.upGrids:
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# 优先匹配价格
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if t == u'OpenPrice' and x.openPrice == openPrice:
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return x
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elif t == u'ClosePrice' and x.closePrice == closePrice:
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return x
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elif t == u'OrderRef' and x.orderRef == orderRef:
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return x
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self.writeCtaLog(u'异常，找不到网格[{0},{1},{2},{3},{4}]'.format(direction, openPrice, closePrice, orderRef, t))
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return None
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def closeGrid(self, direction, closePrice, closeVolume):
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"""网格交易结束"""
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if direction == DIRECTION_LONG:
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for x in self.dnGrids:
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if x.closePrice == closePrice and x.openStatus and x.volume == closeVolume:
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self.writeCtaLog(u'下网格交易结束[{0}->{1}]，仓位:{2},移除网格'.format(x.openPrice, x.closePrice,closeVolume))
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self.dnGrids.remove(x)
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return
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if x.closePrice == closePrice and x.openStatus and x.volume > closeVolume:
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self.writeCtaLog(u'下网格交易部分结束[{0}->{1}],减少仓位:{2}'.format(x.openPrice, x.closePrice,closeVolume))
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x.volume = x.volume - closeVolume
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if x.closePrice == closePrice and x.openStatus and x.volume < closeVolume:
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self.writeCtaLog(u'下网格交易结束[{0}->{1}],移除网格，剩余仓位:{2}'.format(x.openPrice, x.closePrice, closeVolume-x.volume))
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closeVolume = closeVolume - x.volume
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self.dnGrids.remove(x)
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if direction == DIRECTION_SHORT:
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for x in self.upGrids:
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if x.closePrice == closePrice and x.openStatus and x.volume == closeVolume:
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self.writeCtaLog(u'上网格交易结束[{0}->{1}]，仓位:{2},移除网格'.format(x.openPrice, x.closePrice,closeVolume))
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self.upGrids.remove(x)
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return
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if x.closePrice == closePrice and x.openStatus and x.volume > closeVolume:
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self.writeCtaLog(u'上网格交易结束[{0}->{1}]，仓位减少:{2}'.format(x.openPrice, x.closePrice,closeVolume))
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x.volume = x.volume - closeVolume
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if x.closePrice == closePrice and x.openStatus and x.volume < closeVolume:
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self.writeCtaLog(u'上网格交易结束[{0}->{1}]，移除网格，剩余仓位:{2}'.format(x.openPrice, x.closePrice,closeVolume-x.volume))
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closeVolume = closeVolume - x.volume
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self.upGrids.remove(x)
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def removeGrids(self, direction, priceline):
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"""清除网格"""
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if direction == DIRECTION_LONG:
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for x in self.dnGrids[:]:
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if x.openPrice > priceline and not x.orderStatus and not x.openStatus and not x.closeStatus:
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self.writeCtaLog(u'清除下网格[open={0}]'.format(x.openPrice))
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self.dnGrids.remove(x)
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if direction == DIRECTION_SHORT:
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for x in self.upGrids[:]:
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if x.openPrice < priceline and not x.orderStatus and not x.openStatus and not x.closeStatus:
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self.writeCtaLog(u'清除上网格[open={0}]'.format(x.openPrice))
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self.upGrids.remove(x)
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def rebuildGrids(self, direction, upline=EMPTY_FLOAT, dnline=EMPTY_FLOAT, midline=EMPTY_FLOAT, upRate=1, dnRate = 1):
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"""重新拉网
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清除未挂单的网格，
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在上轨/下轨位置重新挂单
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upRate , 上轨网格高度比率
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dnRate， 下轨网格高度比率
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"""
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self.writeCtaLog(u'重新拉网:upline:{0},dnline:{1}'.format(upline, dnline))
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# 检查上下网格的高度比率，不能低于0.5
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if upRate < 0.5 or dnRate < 0.5:
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upRate = max(0.5, upRate)
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dnRate = max(0.5, dnRate)
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if direction == DIRECTION_LONG:
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minPriceInOrder = midline
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removePrices = []
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# 移除未挂单的下网格
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for x in self.dnGrids[:]:
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if not x.orderStatus and not x.openStatus and not x.closeStatus:
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removePrices.append(x.openPrice)
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self.dnGrids.remove(x)
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else:
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self.writeCtaLog(u'保留网格[open={0}]'.format(x.openPrice))
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if x.openPrice < minPriceInOrder :
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minPriceInOrder = x.openPrice
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self.writeCtaLog(u'清除下网格[{0}]'.format(removePrices))
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# 需要重建的剩余网格数量
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remainLots = len(self.dnGrids)
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lots = self.maxLots - remainLots
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dnline = min(dnline, minPriceInOrder-self.gridHeight*dnRate)
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self.writeCtaLog(u'需要重建的网格数量:{0},起点:{1}'.format(lots, dnline))
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if lots > 0:
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for i in range(0, lots, 1):
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# 做多，开仓价为下阻力线-网格高度*i，平仓价为开仓价+止盈高度，开仓数量为缺省
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open_price = int((dnline - self.gridHeight * i * dnRate) / self.minDiff ) * self.minDiff
|
||
close_price = int((open_price + self.gridWin* dnRate)/self.minDiff) * self.minDiff
|
||
|
||
grid = CtaGrid(direction=DIRECTION_LONG,
|
||
openprice=open_price,
|
||
closeprice=close_price,
|
||
volume=self.volume*self.getVolumeRate(remainLots + i))
|
||
|
||
self.dnGrids.append(grid)
|
||
self.writeCtaLog(u'重新拉下网格:[{0}~{1}]'.format(dnline, dnline-self.gridHeight * lots))
|
||
|
||
if direction == DIRECTION_SHORT:
|
||
maxPriceInOrder = midline
|
||
removePrices = []
|
||
# 移除未挂单的上网格
|
||
for x in self.upGrids[:]:
|
||
if not x.orderStatus and not x.openStatus and not x.closeStatus:
|
||
removePrices.append(x.openPrice)
|
||
self.upGrids.remove(x)
|
||
else:
|
||
self.writeCtaLog(u'保留网格[open={0}]'.format(x.openPrice))
|
||
if x.openPrice > maxPriceInOrder :
|
||
maxPriceInOrder = x.openPrice
|
||
|
||
self.writeCtaLog(u'清除上网格[{0}]'.format(removePrices))
|
||
|
||
# 需要重建的剩余网格数量
|
||
remainLots = len(self.upGrids)
|
||
lots = self.maxLots - remainLots
|
||
upline = max(upline, maxPriceInOrder+self.gridHeight*upRate)
|
||
self.writeCtaLog(u'需要重建的网格数量:{0},起点:{1}'.format(lots, upline))
|
||
|
||
if lots > 0:
|
||
# 做空，开仓价为上阻力线+网格高度*i，平仓价为开仓价-止盈高度，开仓数量为缺省
|
||
for i in range(0, lots, 1):
|
||
open_price = int((upline + self.gridHeight * i * upRate) / self.minDiff) * self.minDiff
|
||
close_price = int((open_price - self.gridWin * upRate) / self.minDiff) * self.minDiff
|
||
|
||
grid = CtaGrid(direction=DIRECTION_SHORT,
|
||
openprice=open_price,
|
||
closeprice=close_price,
|
||
volume=self.volume*self.getVolumeRate(remainLots + i))
|
||
self.upGrids.append(grid)
|
||
|
||
self.writeCtaLog(u'重新拉上网格:[{0}~{1}]'.format(upline, upline+self.gridHeight * lots))
|
||
|
||
def recount_avg_open_price(self):
|
||
"""计算网格的平均开仓价"""
|
||
up_open_list = [x for x in self.upGrids if x.openStatus]
|
||
|
||
self.max_up_open_price = -99999
|
||
self.avg_up_open_price = -99999
|
||
self.min_dn_open_price = 99999
|
||
self.avg_dn_open_price = 99999
|
||
|
||
total_price = EMPTY_FLOAT
|
||
total_volume = EMPTY_INT
|
||
for x in up_open_list:
|
||
self.max_up_open_price = max(self.max_up_open_price, x.openPrice)
|
||
total_price += x.openPrice*x.volume
|
||
total_volume += x.volume
|
||
|
||
if total_volume > 0:
|
||
self.avg_up_open_price = total_price/total_volume
|
||
|
||
total_price = EMPTY_FLOAT
|
||
total_volume = EMPTY_INT
|
||
|
||
dn_open_list = [x for x in self.dnGrids if x.openStatus]
|
||
for x in dn_open_list:
|
||
self.min_dn_open_price = min(self.min_dn_open_price,x.openPrice)
|
||
total_price += x.openPrice*x.volume
|
||
total_volume += x.volume
|
||
|
||
if total_volume > 0:
|
||
self.avg_dn_open_price = total_price/total_volume
|
||
|
||
def save(self, direction):
|
||
"""保存网格至本地Json文件"""
|
||
|
||
# 更新开仓均价
|
||
self.recount_avg_open_price()
|
||
|
||
path = os.path.abspath(os.path.dirname(__file__))
|
||
|
||
# 保存上网格列表
|
||
if len(self.upGrids) > 0 and direction == DIRECTION_SHORT:
|
||
jsonFileName = os.path.join(path, u'data', u'{0}_upGrids.json'.format(self.jsonName))
|
||
|
||
l = []
|
||
for grid in self.upGrids:
|
||
l.append(grid.toJson())
|
||
|
||
with open(jsonFileName, 'w') as f:
|
||
|
||
jsonL = json.dumps(l, indent=4)
|
||
f.write(jsonL)
|
||
|
||
#self.writeCtaLog(u'上网格保存文件{0}完成'.format(jsonFileName))
|
||
|
||
# 保存上网格列表
|
||
if len(self.dnGrids) > 0 and direction == DIRECTION_LONG:
|
||
jsonFileName = os.path.join(path, u'data', u'{0}_dnGrids.json'.format(self.jsonName))
|
||
|
||
l = []
|
||
for grid in self.dnGrids:
|
||
l.append(grid.toJson())
|
||
|
||
with open(jsonFileName, 'w') as f:
|
||
|
||
jsonL = json.dumps(l, indent=4)
|
||
f.write(jsonL)
|
||
|
||
#self.writeCtaLog(u'下网格保存文件{0}完成'.format(jsonFileName))
|
||
|
||
def load(self, direction):
|
||
"""加载本地Json至网格"""
|
||
|
||
path = os.path.abspath(os.path.dirname(__file__))
|
||
|
||
if direction == DIRECTION_SHORT:
|
||
jsonFileName = os.path.join(path, u'data', u'{0}_upGrids.json'.format(self.jsonName))
|
||
self.writeCtaLog(u'开始加载上网格文件{0}'.format(jsonFileName))
|
||
if direction == DIRECTION_LONG:
|
||
jsonFileName = os.path.join(path, u'data', u'{0}_dnGrids.json'.format(self.jsonName))
|
||
self.writeCtaLog(u'开始加载上网格文件{0}'.format(jsonFileName))
|
||
|
||
if not os.path.isfile(jsonFileName):
|
||
self.writeCtaLog(u'网格保存文件{0}不存在'.format(jsonFileName))
|
||
return []
|
||
|
||
try:
|
||
f = file(jsonFileName)
|
||
except IOError:
|
||
self.writeCtaLog(u'读取网格出错，请检查')
|
||
return []
|
||
|
||
# 解析json文件
|
||
l = json.load(f)
|
||
|
||
grids = []
|
||
|
||
if len(l) > 0:
|
||
|
||
for i in l:
|
||
closePrice = float(i['closePrice'])
|
||
openPrice = float(i['openPrice'])
|
||
stopPrice = float(i['stopPrice'])
|
||
|
||
self.writeCtaLog(u'load Grid:open:{0},close:{1},stop:{2}'.format(openPrice, closePrice, stopPrice))
|
||
|
||
grid = CtaGrid(direction=i['direction'], openprice=openPrice, closeprice=closePrice,
|
||
stopprice=stopPrice, volume=i['volume'])
|
||
grid.orderStatus = i['orderStatus'] # 挂单状态: True,已挂单，False，未挂单
|
||
grid.orderRef = i['orderRef'] # OrderId
|
||
grid.openStatus = i['openStatus'] # 开仓状态
|
||
grid.closeStatus = i['closeStatus'] # 平仓状态
|
||
strTime = i['openDatetime']
|
||
if strTime == EMPTY_STRING or type(strTime)==type(None):
|
||
grid.openDatetime = None
|
||
else:
|
||
grid.openDatetime = datetime.strptime(strTime, '%Y-%m-%d %H:%M:%S')
|
||
|
||
try:
|
||
grid.tradedVolume = i['tradedVolume'] # 已交易的合约数量
|
||
except KeyError:
|
||
grid.tradedVolume = EMPTY_INT
|
||
|
||
self.writeCtaLog(grid.toStr())
|
||
|
||
grids.append(grid)
|
||
|
||
else:
|
||
self.writeCtaLog(u'解析网格出错，设置为空列表')
|
||
|
||
f.close()
|
||
return grids
|
||
|
||
|
||
|
||
|
||
|
||
|