300 lines
11 KiB
Python
300 lines
11 KiB
Python
# encoding: UTF-8
|
||
|
||
'''
|
||
本文件包含了CTA引擎中的策略开发用模板，开发策略时需要继承CtaTemplate类。
|
||
'''
|
||
|
||
from ctaBase import *
|
||
from vtConstant import *
|
||
|
||
|
||
########################################################################
|
||
class CtaTemplate(object):
|
||
"""CTA策略模板"""
|
||
|
||
# 策略类的名称和作者
|
||
className = 'CtaTemplate'
|
||
author = EMPTY_UNICODE
|
||
|
||
# MongoDB数据库的名称，K线数据库默认为1分钟
|
||
tickDbName = TICK_DB_NAME
|
||
barDbName = MINUTE_DB_NAME
|
||
|
||
# 策略的基本参数
|
||
name = EMPTY_UNICODE # 策略实例名称
|
||
vtSymbol = EMPTY_STRING # 交易的合约vt系统代码
|
||
productClass = EMPTY_STRING # 产品类型（只有IB接口需要）
|
||
currency = EMPTY_STRING # 货币（只有IB接口需要）
|
||
|
||
# 策略的基本变量，由引擎管理
|
||
inited = False # 是否进行了初始化
|
||
trading = False # 是否启动交易，由引擎管理
|
||
pos = 0 # 持仓情况
|
||
|
||
# 参数列表，保存了参数的名称
|
||
paramList = ['name',
|
||
'className',
|
||
'author',
|
||
'vtSymbol']
|
||
|
||
# 变量列表，保存了变量的名称
|
||
varList = ['inited',
|
||
'trading',
|
||
'pos']
|
||
|
||
#----------------------------------------------------------------------
|
||
def __init__(self, ctaEngine, setting):
|
||
"""Constructor"""
|
||
self.ctaEngine = ctaEngine
|
||
|
||
# 设置策略的参数
|
||
if setting:
|
||
d = self.__dict__
|
||
for key in self.paramList:
|
||
if key in setting:
|
||
d[key] = setting[key]
|
||
|
||
#----------------------------------------------------------------------
|
||
def onInit(self):
|
||
"""初始化策略（必须由用户继承实现）"""
|
||
raise NotImplementedError
|
||
|
||
#----------------------------------------------------------------------
|
||
def onStart(self):
|
||
"""启动策略（必须由用户继承实现）"""
|
||
raise NotImplementedError
|
||
|
||
#----------------------------------------------------------------------
|
||
def onStop(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"""
|
||
return self.sendOrder(CTAORDER_BUY, price, volume, stop)
|
||
|
||
#----------------------------------------------------------------------
|
||
def sell(self, price, volume, stop=False):
|
||
"""卖平"""
|
||
return self.sendOrder(CTAORDER_SELL, price, volume, stop)
|
||
|
||
#----------------------------------------------------------------------
|
||
def short(self, price, volume, stop=False):
|
||
"""卖开"""
|
||
return self.sendOrder(CTAORDER_SHORT, price, volume, stop)
|
||
|
||
#----------------------------------------------------------------------
|
||
def cover(self, price, volume, stop=False):
|
||
"""买平"""
|
||
return self.sendOrder(CTAORDER_COVER, price, volume, stop)
|
||
|
||
#----------------------------------------------------------------------
|
||
def sendOrder(self, orderType, price, volume, stop=False):
|
||
"""发送委托"""
|
||
if self.trading:
|
||
# 如果stop为True，则意味着发本地停止单
|
||
if stop:
|
||
vtOrderID = self.ctaEngine.sendStopOrder(self.vtSymbol, orderType, price, volume, self)
|
||
else:
|
||
vtOrderID = self.ctaEngine.sendOrder(self.vtSymbol, orderType, price, volume, self)
|
||
return vtOrderID
|
||
else:
|
||
# 交易停止时发单返回空字符串
|
||
return ''
|
||
|
||
#----------------------------------------------------------------------
|
||
def cancelOrder(self, vtOrderID):
|
||
"""撤单"""
|
||
# 如果发单号为空字符串，则不进行后续操作
|
||
if not vtOrderID:
|
||
return
|
||
|
||
if STOPORDERPREFIX in vtOrderID:
|
||
self.ctaEngine.cancelStopOrder(vtOrderID)
|
||
else:
|
||
self.ctaEngine.cancelOrder(vtOrderID)
|
||
|
||
#----------------------------------------------------------------------
|
||
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, days):
|
||
"""读取tick数据"""
|
||
return self.ctaEngine.loadTick(self.tickDbName, self.vtSymbol, days)
|
||
|
||
#----------------------------------------------------------------------
|
||
def loadBar(self, days):
|
||
"""读取bar数据"""
|
||
return self.ctaEngine.loadBar(self.barDbName, self.vtSymbol, days)
|
||
|
||
#----------------------------------------------------------------------
|
||
def writeCtaLog(self, content):
|
||
"""记录CTA日志"""
|
||
content = self.name + ':' + content
|
||
self.ctaEngine.writeCtaLog(content)
|
||
|
||
#----------------------------------------------------------------------
|
||
def putEvent(self):
|
||
"""发出策略状态变化事件"""
|
||
self.ctaEngine.putStrategyEvent(self.name)
|
||
|
||
#----------------------------------------------------------------------
|
||
def getEngineType(self):
|
||
"""查询当前运行的环境"""
|
||
return self.ctaEngine.engineType
|
||
|
||
|
||
|
||
########################################################################
|
||
class TargetPosTemplate(CtaTemplate):
|
||
"""
|
||
允许直接通过修改目标持仓来实现交易的策略模板
|
||
|
||
开发策略时，无需再调用buy/sell/cover/short这些具体的委托指令，
|
||
只需在策略逻辑运行完成后调用setTargetPos设置目标持仓，底层算法
|
||
会自动完成相关交易，适合不擅长管理交易挂撤单细节的用户。
|
||
|
||
使用该模板开发策略时，请在以下回调方法中先调用母类的方法：
|
||
onTick
|
||
onBar
|
||
onOrder
|
||
|
||
假设策略名为TestStrategy，请在onTick回调中加上：
|
||
super(TestStrategy, self).onTick(tick)
|
||
|
||
其他方法类同。
|
||
"""
|
||
|
||
className = 'TargetPosTemplate'
|
||
author = u'量衍投资'
|
||
|
||
# 目标持仓模板的基本变量
|
||
tickAdd = 1 # 委托时相对基准价格的超价
|
||
lastTick = None # 最新tick数据
|
||
lastBar = None # 最新bar数据
|
||
targetPos = EMPTY_INT # 目标持仓
|
||
orderList = [] # 委托号列表
|
||
|
||
# 变量列表，保存了变量的名称
|
||
varList = ['inited',
|
||
'trading',
|
||
'pos',
|
||
'targetPos']
|
||
|
||
#----------------------------------------------------------------------
|
||
def __init__(self, ctaEngine, setting):
|
||
"""Constructor"""
|
||
super(TargetPosTemplate, self).__init__(ctaEngine, setting)
|
||
|
||
#----------------------------------------------------------------------
|
||
def onTick(self, tick):
|
||
"""收到行情推送"""
|
||
self.lastTick = tick
|
||
|
||
# 实盘模式下，启动交易后，需要根据tick的实时推送执行自动开平仓操作
|
||
if self.trading:
|
||
self.trade()
|
||
|
||
#----------------------------------------------------------------------
|
||
def onBar(self, bar):
|
||
"""收到K线推送"""
|
||
self.lastBar = bar
|
||
|
||
#----------------------------------------------------------------------
|
||
def onOrder(self, order):
|
||
"""收到委托推送"""
|
||
if order.status == STATUS_ALLTRADED or order.status == STATUS_CANCELLED:
|
||
self.orderList.remove(order.vtOrderID)
|
||
|
||
#----------------------------------------------------------------------
|
||
def setTargetPos(self, targetPos):
|
||
"""设置目标仓位"""
|
||
self.targetPos = targetPos
|
||
|
||
self.trade()
|
||
|
||
#----------------------------------------------------------------------
|
||
def trade(self):
|
||
"""执行交易"""
|
||
# 先撤销之前的委托
|
||
for vtOrderID in self.orderList:
|
||
self.cancelOrder(vtOrderID)
|
||
self.orderList = []
|
||
|
||
# 如果目标仓位和实际仓位一致，则不进行任何操作
|
||
posChange = self.targetPos - self.pos
|
||
if not posChange:
|
||
return
|
||
|
||
# 确定委托基准价格，有tick数据时优先使用，否则使用bar
|
||
longPrice = 0
|
||
shortPrice = 0
|
||
|
||
if self.lastTick:
|
||
if posChange > 0:
|
||
longPrice = self.lastTick.askPrice1 + self.tickAdd
|
||
else:
|
||
shortPrice = self.lastTick.bidPrice1 - self.tickAdd
|
||
else:
|
||
if posChange > 0:
|
||
longPrice = self.lastBar.close + self.tickAdd
|
||
else:
|
||
shortPrice = self.lastBar.close - self.tickAdd
|
||
|
||
# 回测模式下，采用合并平仓和反向开仓委托的方式
|
||
if self.getEngineType() == ENGINETYPE_BACKTESTING:
|
||
if posChange > 0:
|
||
vtOrderID = self.buy(longPrice, abs(posChange))
|
||
else:
|
||
vtOrderID = self.short(shortPrice, abs(posChange))
|
||
self.orderList.append(vtOrderID)
|
||
|
||
# 实盘模式下，首先确保之前的委托都已经结束（全成、撤销）
|
||
# 然后先发平仓委托，等待成交后，再发送新的开仓委托
|
||
else:
|
||
# 检查之前委托都已结束
|
||
if self.orderList:
|
||
return
|
||
|
||
# 买入
|
||
if posChange > 0:
|
||
if self.pos < 0:
|
||
vtOrderID = self.cover(longPrice, abs(self.pos))
|
||
else:
|
||
vtOrderID = self.buy(longPrice, abs(posChange))
|
||
# 卖出
|
||
else:
|
||
if self.pos > 0:
|
||
vtOrderID = self.sell(shortPrice, abs(self.pos))
|
||
else:
|
||
vtOrderID = self.short(shortPrice, abs(posChange))
|
||
self.orderList.append(vtOrderID)
|
||
|