def __init__(self, is_backtest=False):
"""Constructor"""
self.__event_engine = EventEngine() # 事件处理引擎
self.__account_manager = AccountManager() # 账户管理
self.__trade_manager = TradeManager(self, is_backtest) # 交易管理器
self.__data_cache = DataCache(self) # 数据中继站
self.__strategys = {} # 策略管理器
def __init__(self, backtesting=False):
"""Constructor"""
self.__event_engine = EventEngine() # 事件处理引擎
self.__account_manager = AccountManager() # 账户管理
self.__backtesting = backtesting # 是否为回测
self.__orders_done = {} # 保存所有已处理报单数据的字典
self.__orders_todo = {} # 保存所有未处理报单（即挂单）数据的字典
self.__deals = {} # 保存所有成交数据的字典
self.__positions = {} # Key:id, value:position with responding id
self.__strategys = {} # 保存策略对象的字典,key为策略名称,value为策略对象
self.__data = {} # 统一的数据视图
self.__symbols = {} # key:(symbol,timeframe),value:maxlen
self.start_time = None
self.end_time = None
self.__current_positions = {} # key：symbol，value：current position
self.__initial_positions = {} # key：symbol，value：initial position
def __init__(self, parent=None):
"""Constructor"""
LoggerInterface.__init__(self, parent=parent)
Runnable.__init__(self)
ConfigInterface.__init__(self, parent=parent)
APIInterface.__init__(self)
self.__event_engine = EventEngine(parent=self) # 事件处理引擎
self.__quotation_manager = QuotationManager(self, parent=self) # 行情数据管理器
if self.config.running_mode == RunningMode.backtest:
self.__account_manager = BfAccountManager(parent=self) # 账户管理
else:
self.__account_manager = FDTAccountManager(parent=self)
self.mongo_user = MongoUser(self.config.user)
self.__trading_manager = TradingManager(self, self.__quotation_manager, self.__account_manager,
parent=self) # 交易管理器
if self.config.running_mode == RunningMode.backtest:
self.__account_manager.set_trading_manager(self.__trading_manager)
self.__strategys = {} # 策略管理器
self.__profit_records = [] # 保存账户净值的列表
self.logger_name = "StrategyEngine"
def __init__(self, is_backtest=False, **config):
"""Constructor"""
self.__config = config
self.__event_engine = EventEngine() # 事件处理引擎
if is_backtest:
self.__account_manager = AccountManager(self, **config) # 账户管理
else:
self.__account_manager = FDTAccountManager(self, **config)
self.mongo_user = MongoUser(self.__config['user'])
self.__trade_manager = TradeManager(self, is_backtest, **config) # 交易管理器
self.__data_cache = DataCache(self, is_backtest) # 数据中继站
self.__strategys = {} # 策略管理器
self.__profit_records = [] # 保存账户净值的列表
def __init__(self, backtesting=False):
"""Constructor"""
self.__event_engine = EventEngine() # 事件处理引擎
self.__account_manager = AccountManager() #账户管理
self.__backtesting = backtesting # 是否为回测
self.__orders_done = {} # 保存所有已处理报单数据的字典
self.__orders_todo = {} # 保存所有未处理报单（即挂单）数据的字典
self.__deals = {} # 保存所有成交数据的字典
self.__positions = {} # Key:id, value:position with responding id
self.__strategys = {} # 保存策略对象的字典,key为策略名称,value为策略对象
self.__datas = {} # 统一的数据视图
self.__symbols = {} # key:(symbol,timeframe),value:maxlen
self.start_time = None
self.end_time = None
self.__current_positions = {} # key：symbol，value：current position
self.__initial_positions = {}# key：symbol，value：initial position
class StrategyEngine(object):
"""策略引擎"""
CACHE_MAXLEN = 10000
# ----------------------------------------------------------------------
def __init__(self, backtesting=False):
"""Constructor"""
self.__event_engine = EventEngine() # 事件处理引擎
self.__account_manager = AccountManager() # 账户管理
self.__backtesting = backtesting # 是否为回测
self.__orders_done = {} # 保存所有已处理报单数据的字典
self.__orders_todo = {} # 保存所有未处理报单（即挂单）数据的字典
self.__deals = {} # 保存所有成交数据的字典
self.__positions = {} # Key:id, value:position with responding id
self.__strategys = {} # 保存策略对象的字典,key为策略名称,value为策略对象
self.__data = {} # 统一的数据视图
self.__symbols = {} # key:(symbol,timeframe),value:maxlen
self.start_time = None
self.end_time = None
self.__current_positions = {} # key：symbol，value：current position
self.__initial_positions = {} # key：symbol，value：initial position
# TODO单独放入utils中
symbols = property(partial(get_attr, attr='symbols'), None, None)
start_time = property(partial(get_attr, attr='start_time'),
partial(set_attr, attr='start_time'), None)
end_time = property(partial(get_attr, attr='end_time'),
partial(set_attr, attr='end_time'), None)
# ----------------------------------------------------------------------
def get_current_contracts(self):
# TODO 现在持仓手数
return ()
# ----------------------------------------------------------------------
def get_current_positions(self):
# TODO 读取每个品种的有效Position
return self.__current_positions
def get_deals(self):
return self.__deals
def get_positions(self):
return self.__positions
# ----------------------------------------------------------------------
def get_data(self):
return self.__data
# ----------------------------------------------------------------------
def get_profit_records(self):
"""获取平仓收益记录"""
return self.__account_manager.get_profit_records()
# ----------------------------------------------------------------------
def get_traceback(self):
pass
# ----------------------------------------------------------------------
def get_position_records(self):
"""获取仓位收益记录"""
def get_point(deal, entry, volume):
if entry == DEAL_ENTRY_IN:
if deal.type == DEAL_TYPE_BUY:
return ({
'type': 'point',
'x': deal.time + deal.time_msc / (10**6),
'y': deal.price,
'color': 'buy',
'text': 'Buy %s' % volume
})
elif deal.type == DEAL_TYPE_SELL:
return ({
'type': 'point',
'x': deal.time + deal.time_msc / (10**6),
'y': deal.price,
'color': 'short',
'text': 'Short %s' % volume
})
elif entry == DEAL_ENTRY_OUT:
if deal.type == DEAL_TYPE_BUY:
return ({
'type': 'point',
'x': deal.time + deal.time_msc / (10**6),
'y': deal.price,
'color': 'cover',
'text': 'Cover %s' % volume
})
elif deal.type == DEAL_TYPE_SELL:
return ({
'type': 'point',
'x': deal.time + deal.time_msc / (10**6),
'y': deal.price,
'color': 'sell',
'text': 'Sell %s' % volume
})
def get_lines(position_start, position_end):
deal_start = self.__deals[position_start.deal]
deal_end = self.__deals[position_end.deal]
start_time = deal_start.time + deal_start.time_msc / (10**6)
end_time = deal_end.time + deal_end.time_msc / (10**6)
result = {
'type': 'line',
'x_start': start_time,
'x_end': end_time,
'y_start': deal_start.price,
'y_end': deal_end.price
}
if (deal_end.type
== DEAL_TYPE_BUY) ^ (deal_start.price >= deal_end.price):
result['color'] = 'win'
else:
result['color'] = 'lose'
def next_position(position):
return self.__positions.get(position.next_id, None)
def prev_position(position):
return self.__positions.get(position.prev_id, None)
result = []
stack = []
for symbol in {symbol for (symbol, _) in self.__symbols}:
position = next_position(self.__init_positions[symbol])
while (position != None):
deal = self.__deals[position.deal]
if deal.entry == DEAL_ENTRY_IN: # open or overweight position
result.append(get_point(deal, DEAL_ENTRY_IN, deal.volume))
stack.append((position, deal.volume))
else:
if deal.entry == DEAL_ENTRY_INOUT: # reverse position
volume_left = deal.volume - position.volume
result.append(
get_point(deal, DEAL_ENTRY_IN, position.volume))
else: # underweight position
volume_left = deal.volume
result.append(get_point(deal, DEAL_ENTRY_OUT, volume_left))
while volume_left > 0:
position_start, volume = stack.pop()
result.append(get_lines(position_start, position))
volume_left -= volume
if volume_left < 0:
stack.append(position_start, -volume_left)
elif deal.entry == DEAL_ENTRY_INOUT and position.volume > 0:
stack.append((position, position.volume))
position = next_position(position)
return result
# ----------------------------------------------------------------------
def set_capital_base(self, base):
self.__account_manager.set_capital_base(base)
# ----------------------------------------------------------------------
def add_symbols(self, symbols, time_frame, max_length=0):
for symbol in symbols:
if (symbol, time_frame) not in self.__symbols:
self.__symbols[(symbol, time_frame)] = max_length
self.__symbols[(symbol, time_frame)] = max(
max_length, self.__symbols[(symbol, time_frame)])
self.register_event(EVENT_BAR_SYMBOL[symbol][time_frame],
self.update_bar_data)
# ----------------------------------------------------------------------
def initialize(self):
# TODO 数据结构还需修改
self.__deals.clear()
self.__positions.clear()
self.__data.clear()
# TODO 这里的auto_inc是模块级别的，需要修改成对象级别的。
Deal.set_auto_inc(0)
Position.set_auto_inc(0)
self.__current_positions.clear()
for (symbol, time_frame), maxlen in self.__symbols.items():
if symbol not in self.__data:
self.__data[symbol] = {}
if time_frame not in self.__data[symbol]:
self.__data[symbol][time_frame] = {}
if maxlen == 0:
maxlen = self.CACHE_MAXLEN
for field in ['open', 'high', 'low', 'close', 'time', 'volume']:
self.__data[symbol][time_frame][field] = deque(maxlen=maxlen)
if symbol not in self.__current_positions:
position = Position(symbol)
self.__current_positions[symbol] = position
self.__initial_positions[symbol] = position
self.__positions[position.get_id()] = position
# ----------------------------------------------------------------------
def add_file(self, file):
self.__event_engine.add_file(file)
# ----------------------------------------------------------------------
def add_strategy(self, strategy):
"""添加已创建的策略实例"""
self.__strategys[strategy.get_id()] = strategy
strategy.engine = self
# ----------------------------------------------------------------------
def update_market_data(self, event):
"""行情更新"""
# TODO行情数据
pass
# ----------------------------------------------------------------------
def update_bar_data(self, event):
bar = event.content['data']
symbol = bar.symbol
time_frame = bar.time_frame
for field in ['open', 'high', 'low', 'close', 'time', 'volume']:
self.__data[symbol][time_frame][field].appendleft(
getattr(bar, field))
# ----------------------------------------------------------------------
def __process_order(self, tick):
"""处理停止单"""
pass
# ----------------------------------------------------------------------
def update_order(self, event):
"""报单更新"""
# TODO 成交更新
# ----------------------------------------------------------------------
def update_trade(self, event):
"""成交更新"""
# TODO 成交更新
pass
# ----------------------------------------------------------------------
def __update_position(self, deal):
def sign(num):
if abs(num) <= 10**-7:
return 0
elif num > 0:
return 1
else:
return -1
if deal.volume == 0: return
position_prev = self.__current_positions[deal.symbol]
position_now = Position(deal.symbol, deal.strategy, deal.handle)
position_now.prev_id = position_prev.get_id()
position_prev.next_id = position_now.get_id()
position = position_prev.type
# XXX常量定义改变这里的映射函数也可能改变
if deal.type * position >= 0:
deal.entry = DEAL_ENTRY_IN
if position == 0: # open position
position_now.price_open = deal.price
position_now.time_open = deal.time
position_now.time_open_msc = deal.time_msc
else: # overweight position
position_now.time_open = position_prev.time_open
position_now.time_open_msc = position_prev.time_open_msc
position_now.volume = deal.volume + position_prev.volume
position_now.type = deal.type
position_now.price_current = (
position_prev.price_current * position_prev.volume +
deal.price * deal.volume) / position_now.volume
else:
contracts = position_prev.volume - deal.volume
position_now.volume = abs(contracts)
position_now.type = position * sign(contracts)
if position_now.type == 0: # close position
deal.entry = DEAL_ENTRY_OUT
deal.profit = (deal.price - position_prev.price_current
) * position * position_prev.volume
position_now.price_current = 0
position_now.volume = 0 # 防止浮点数精度可能引起的问题
position_now.time_open = position_prev.time_open
position_now.time_open_msc = position_prev.time_open_msc
elif position_now != position: # reverse position
deal.entry = DEAL_ENTRY_INOUT
deal.profit = (deal.price - position_prev.price_current
) * position * position_prev.volume
position_now.price_current = deal.price
position_now.time_open = deal.time
position_now.time_open_msc = deal.time_msc
position_now.price_open = position_now.price_current
else: # underweight position
# XXX 平部分仓位是直接计算入平仓收益还是将收益暂时算在浮动中
deal.entry = DEAL_ENTRY_OUT
deal.profit = (deal.price - position_prev.price_current
) * position * deal.volume
position_now.price_current = position_prev.price_current
position_now.time_open = position_prev.time_open
position_now.time_open_msc = position_prev.time_open_msc
position_now.time_update = deal.time
position_now.time_update_msc = deal.time_msc
deal.position = position_now.get_id()
position_now.deal = deal.get_id()
self.__current_positions[deal.symbol] = position_now
self.__positions[position_now.get_id()] = position_now
self.__deals[deal.get_id()] = deal
if deal.profit != 0:
self.__account_manager.update_deal(deal)
# ----------------------------------------------------------------------
@staticmethod
def check_order(order):
if not isinstance(order, Order):
return False
# TODO更多关于订单合法性的检查
return True
# ----------------------------------------------------------------------
def __send_order_to_broker(self, order):
if self.__backtesting:
time_frame = SymbolsListener.get_by_id(
order.handle).get_time_frame()
time_ = self.__data[order.symbol][time_frame]["time"][
0] + time_frame_to_seconds(time_frame)
order.time_done = int(time_)
order.time_done_msc = int((time_ - int(time_)) * (10**6))
order.volume_current = order.volume_initial
deal = Deal(order.symbol, order.strategy, order.handle)
deal.volume = order.volume_current
deal.time = order.time_done
deal.time_msc = order.time_done_msc
deal.type = 1 - (
(order.type & 1) << 1) # 参见ENUM_ORDER_TYPE和ENUM_DEAL_TYPE的定义
deal.price = self.__data[order.symbol][time_frame]["close"][0]
# TODO加入手续费等
order.deal = deal.get_id()
deal.order = order.get_id()
return [deal], {}
# TODO 市价单成交
else:
pass
# TODO 实盘交易
# ----------------------------------------------------------------------
def send_order(self, order):
"""
发单（仅允许限价单）
symbol：合约代码
direction：方向，DIRECTION_BUY/DIRECTION_SELL
offset：开平，OFFSET_OPEN/OFFSET_CLOSE
price：下单价格
volume：下单手数
strategy：策略对象
"""
# TODO 更多属性的处理
if self.check_order(order):
if order.type <= 1: # market order
# send_order_to_broker = async_handle(self.__event_engine, self.__update_position)(self.__send_order_to_broker)
# send_order_to_broker(order)
result = self.__send_order_to_broker(order)
self.__update_position(*result[0])
else:
self.__orders_todo[order.get_id()] = order
return True
else:
return False
# ----------------------------------------------------------------------
def cancel_order(self, order_id):
"""
撤单
"""
if order_id == 0:
self.__orders_todo = {}
else:
if order_id in self.__orders_todo:
del (self.__orders_todo[order_id])
# ----------------------------------------------------------------------
def put_event(self, event):
# TODO 加入验证
# TODO 多了一层函数调用，尝试用绑定的形式
self.__event_engine.put(event)
# ----------------------------------------------------------------------
def register_event(self, event_type, handle):
"""注册事件监听"""
# TODO 加入验证
self.__event_engine.register(event_type, handle)
def unregister_event(self, event_type, handle):
"""取消事件监听"""
self.__event_engine.unregister(event_type, handle)
# ----------------------------------------------------------------------
def writeLog(self, log):
"""写日志"""
event = Event(type_=EVENT_LOG)
event.content['log'] = log
self.__event_engine.put(event)
# ----------------------------------------------------------------------
def start(self):
"""启动所有策略"""
self.__event_engine.start()
for strategy in self.__strategys.values():
strategy.start()
# ----------------------------------------------------------------------
def stop(self):
"""停止所有策略"""
self.__event_engine.stop()
for strategy in self.__strategys.values():
strategy.stop()
def wait(self):
"""等待所有事件处理完毕"""
self.__event_engine.wait()
self.stop()
# TODO 对限价单的支持
# ----------------------------------------------------------------------
def sell(self,
symbol,
volume=1,
price=None,
stop=False,
limit=False,
strategy=None,
listener=None):
if volume == 0:
return
position = self.__current_positions.get(symbol, None)
if not position or position.type <= 0:
return # XXX可能的返回值
order = Order(symbol, ORDER_TYPE_SELL, strategy, listener)
order.volume_initial = volume
if self.__backtesting:
time_ = self.__data[symbol][SymbolsListener.get_by_id(
listener).get_time_frame()]['time'][0]
else:
time_ = time.time()
order.time_setup = int(time_)
order.time_setup_msc = int((time_ - int(time_)) * (10**6))
return self.send_order(order)
# ----------------------------------------------------------------------
def buy(self,
symbol,
volume=1,
price=None,
stop=False,
limit=False,
strategy=None,
listener=None):
if self.__backtesting:
time_ = self.__data[symbol][SymbolsListener.get_by_id(
listener).get_time_frame()]['time'][0]
else:
time_ = time.time()
position = self.__current_positions.get(symbol, None)
if position and position.type < 0:
order = Order(symbol, ORDER_TYPE_BUY, strategy, listener)
order.volume_initial = position.volume
order.time_setup = int(time_)
order.time_setup_msc = int((time_ - int(time_)) * (10**6))
# TODO 这里应该要支持事务性的下单操作
self.send_order(order)
if volume == 0:
return
order = Order(symbol, ORDER_TYPE_BUY, strategy, listener)
order.volume_initial = volume
order.time_setup = int(time_)
order.time_setup_msc = int((time_ - int(time_)) * (10**6))
return self.send_order(order)
# ----------------------------------------------------------------------
def cover(self,
symbol,
volume=1,
price=None,
stop=False,
limit=False,
strategy=None,
listener=None):
if volume == 0:
return
position = self.__current_positions.get(symbol, None)
order = Order(symbol, ORDER_TYPE_BUY, strategy, listener)
if not position or position.type >= 0:
return # XXX可能的返回值
order.volume_initial = volume
if self.__backtesting:
time_ = self.__data[symbol][SymbolsListener.get_by_id(
listener).get_time_frame()]['time'][0]
else:
time_ = time.time()
order.time_setup = int(time_)
order.time_setup_msc = int((time_ - int(time_)) * (10**6))
return self.send_order(order)
# ----------------------------------------------------------------------
def short(self,
symbol,
volume=1,
price=None,
stop=False,
limit=False,
strategy=None,
listener=None):
if self.__backtesting:
time_ = self.__data[symbol][SymbolsListener.get_by_id(
listener).get_time_frame()]['time'][0]
else:
time_ = time.time()
position = self.__current_positions.get(symbol, None)
if position and position.type > 0:
order = Order(symbol, ORDER_TYPE_SELL, strategy, listener)
order.volume_initial = position.volume
order.time_setup = int(time_)
order.time_setup_msc = int((time_ - int(time_)) * (10**6))
# TODO 这里应该要支持事务性的下单操作
self.send_order(order)
if volume == 0:
return
order = Order(symbol, ORDER_TYPE_SELL, strategy, listener)
order.volume_initial = volume
order.time_setup = int(time_)
order.time_setup_msc = int((time_ - int(time_)) * (10**6))
return self.send_order(order)
class StrategyEngine(object):
"""策略引擎"""
CACHE_MAXLEN = 10000
# ----------------------------------------------------------------------
def __init__(self, is_backtest=False):
"""Constructor"""
self.__event_engine = EventEngine() # 事件处理引擎
self.__account_manager = AccountManager() # 账户管理
self.__trade_manager = TradeManager(self, is_backtest) # 交易管理器
self.__data_cache = DataCache(self) # 数据中继站
self.__strategys = {} # 策略管理器
def get_data(self):
return self.__data_cache.data
def get_symbol_pool(self):
return self.__data_cache.symbol_pool
def get_current_positions(self):
return self.__trade_manager.current_positions
def get_current_time(self):
return self.__data_cache.current_time
def get_positions(self):
return self.__trade_manager.positions
def get_deals(self):
return self.__trade_manager.deals
def get_strategys(self):
return self.__strategys
def get_profit_records(self):
"""获取平仓收益记录"""
return self.__account_manager.get_profit_records()
def get_symbol_timeframe(self):
return self.__data_cache.get_cache_info().keys()
# XXX之所以不用装饰器的方式是考虑到不知经过一层property会不会影响效率，所以保留用get_XXX直接访问
# property:
current_time = property(get_current_time)
symbol_pool = property(get_symbol_pool)
data = property(get_data)
current_positions = property(get_current_positions)
positions = property(get_positions)
deal = property(get_deals)
strategys = property(get_strategys)
profit_records = property(get_profit_records)
symbol_timeframe = property(get_symbol_timeframe)
def update_deal(self, deal):
self.__account_manager.update_deal(deal)
def open_position(self, *args, **kwargs):
self.__trade_manager.open_position(*args, **kwargs)
def close_position(self, *args, **kwargs):
self.__trade_manager.close_position(*args, **kwargs)
def set_capital_base(self, base):
self.__account_manager.set_capital_base(base)
# ----------------------------------------------------------------------
def add_cache_info(self, *args, **kwargs):
self.__data_cache.add_cache_info(*args, **kwargs)
# TODO 从全局的品种池中查询
# ----------------------------------------------------------------------
def add_file(self, file):
self.__event_engine.add_file(file)
# ----------------------------------------------------------------------
def add_strategy(self, strategy):
"""添加已创建的策略实例"""
self.__strategys[strategy.get_id()] = strategy
strategy.engine = self
# ----------------------------------------------------------------------
def put_event(self, event):
# TODO 加入验证
# TODO 多了一层函数调用，尝试用绑定的形式
self.__event_engine.put(event)
# ----------------------------------------------------------------------
def register_event(self, event_type, handle):
"""注册事件监听"""
# TODO 加入验证
self.__event_engine.register(event_type, handle)
def unregister_event(self, event_type, handle):
"""取消事件监听"""
self.__event_engine.unregister(event_type, handle)
# ----------------------------------------------------------------------
def write_log(self, log):
"""写日志"""
self.__event_engine.put(Event(type=EVENT_LOG, log=log))
# ----------------------------------------------------------------------
def start(self):
"""启动所有策略"""
for strategy in self.__strategys.values():
strategy.start()
self.__data_cache.start()
self.__trade_manager.init()
self.__event_engine.start()
# ----------------------------------------------------------------------
def stop(self):
"""停止所有策略"""
self.__event_engine.stop()
self.__data_cache.stop()
for strategy in self.__strategys.values():
strategy.stop()
self._recycle() # 释放资源
# ----------------------------------------------------------------------
def _recycle(self):
self.__data_cache.stop()
self.__trade_manager.recycle()
self.__account_manager.initialize()
def wait(self, call_back=None, finished=True, *args, **kwargs):
"""等待所有事件处理完毕
:param call_back: 运行完成时的回调函数
:param finish: 向下兼容，finish为True时，事件队列处理完成时结束整个回测引擎；为False时只是调用回调函数，继续挂起回测引擎。
"""
self.__event_engine.wait()
result = call_back(*args, **kwargs)
if finished:
self._set_finished()
self.stop()
return result
def _set_finished(self): # 标记即不会再有新数据到来
self.__event_engine.set_finished()
class StrategyEngine(object):
"""策略引擎"""
CACHE_MAXLEN = 10000
#----------------------------------------------------------------------
def __init__(self, backtesting=False):
"""Constructor"""
self.__event_engine = EventEngine() # 事件处理引擎
self.__account_manager = AccountManager() #账户管理
self.__backtesting = backtesting # 是否为回测
self.__orders_done = {} # 保存所有已处理报单数据的字典
self.__orders_todo = {} # 保存所有未处理报单（即挂单）数据的字典
self.__deals = {} # 保存所有成交数据的字典
self.__positions = {} # Key:id, value:position with responding id
self.__strategys = {} # 保存策略对象的字典,key为策略名称,value为策略对象
self.__datas = {} # 统一的数据视图
self.__symbols = {} # key:(symbol,timeframe),value:maxlen
self.start_time = None
self.end_time = None
self.__current_positions = {} # key：symbol，value：current position
self.__initial_positions = {}# key：symbol，value：initial position
#TODO单独放入utils中
symbols = property(partial(get_attr,attr='symbols'), None, None)
start_time = property(partial(get_attr,attr='start_time'), partial(set_attr,attr='start_time'),None)
end_time = property(partial(get_attr,attr='end_time'), partial(set_attr,attr='end_time'),None)
#----------------------------------------------------------------------
def get_current_contracts(self):
#TODO 现在持仓手数
return()
#----------------------------------------------------------------------
def get_current_positions(self):
#TODO 读取每个品种的有效Position
return(self.__current_positions)
#----------------------------------------------------------------------
def get_datas(self):
return(self.__datas)
#----------------------------------------------------------------------
def get_profit_records(self):
"""获取平仓收益记录"""
return(self.__account_manager.get_profit_records())
#----------------------------------------------------------------------
def get_position_records(self):
"""获取仓位收益记录"""
def get_point(deal, entry, volume):
if entry == DEAL_ENTRY_IN:
if deal.type == DEAL_TYPE_BUY:
return({'type':'point','x':deal.time+deal.time_msc/(10**6),
'y':deal.price,'color':'buy','text':'Buy %s'%volume})
elif deal.type == DEAL_TYPE_SELL:
return({'type':'point','x':deal.time+deal.time_msc/(10**6),
'y':deal.price,'color':'short','text':'Short %s'%volume})
elif entry == DEAL_ENTRY_OUT:
if deal.type == DEAL_TYPE_BUY:
return({'type':'point','x':deal.time+deal.time_msc/(10**6),
'y':deal.price,'color':'cover','text':'Cover %s'%volume})
elif deal.type == DEAL_TYPE_SELL:
return({'type':'point','x':deal.time+deal.time_msc/(10**6),
'y':deal.price,'color':'sell','text':'Sell %s'%volume})
def get_lines(position_start, position_end):
deal_start = self.__deals[position_start.deal]
deal_end = self.__deals[position_end.deal]
start_time = deal_start.time+deal_start.time_msc/(10**6)
end_time = deal_end.time+deal_end.time_msc/(10**6)
result = {'type':'line','x_start':start_time,'x_end':end_time,'y_start':deal_start.price,
'y_end':deal_end.price}
if (deal_end.type == DEAL_TYPE_BUY)^(deal_start.price>=deal_end.price):
result['color'] = 'win'
else:
result['color'] = 'lose'
def next_position(position):
return(self.__positions.get(position.next_id,None))
def prev_position(position):
return(self.__positions.get(position_prev_id,None))
result = []
stack = []
for symbol in {symbol for (symbol, _) in self.__symbols}:
position = next_postion(self.__init_positions[symbol])
while (position != None):
deal = self.__deals[position.deal]
if deal.entry == DEAL_ENTRY_IN: #open or overweight position
result.append(get_point(deal, DEAL_ENTRY_IN, deal.volume))
stack.append((postion,deal.volume))
else:
if deal.entry == DEAL_ENTRY_INOUT: #reverse position
volume_left = deal.volume - position.volume
result.append(get_point(deal, DEAL_ENTRY_IN, position.volume))
else: #underweight position
volume_left = deal.volume
result.append(get_point(deal, DEAL_ENTYR_OUT, volume_left))
while volume_left > 0:
position_start, volume = stack.pop()
result.append(get_line(position_start, position))
volume_left -= volume
if volume_left < 0:
stack.append(position_start, -volume_left)
elif deal.entry == DEAL_ENTRY_INOUT and position.volume > 0:
stack.append((position, position.volume))
position = next_postion(position)
return(result)
#----------------------------------------------------------------------
def set_capital_base(self, base):
self.__account_manager.set_capital_base(base)
#----------------------------------------------------------------------
def add_symbols(self, symbols, time_frame, max_length = 0):
for symbol in symbols:
if (symbol,time_frame) not in self.__symbols:
self.__symbols[(symbol,time_frame)] = max_length
self.__symbols[(symbol,time_frame)] = max(max_length, self.__symbols[(symbol,time_frame)])
self.register_event(EVENT_BAR_SYMBOL[symbol][time_frame],self.update_bar_data)
#----------------------------------------------------------------------
def initialize(self):
#TODO数据结构还需修改
for (symbol, time_frame), maxlen in self.__symbols.items():
for field in ['open','high','low','close','time','volume']:
if not symbol in self.__datas:
self.__datas[symbol] = {}
if not time_frame in self.__datas[symbol]:
self.__datas[symbol][time_frame] = {}
if maxlen == 0:
maxlen = self.CACHE_MAXLEN
for field in ['open','high','low','close','time','volume']:
self.__datas[symbol][time_frame][field] = deque(maxlen=maxlen)
if symbol not in self.__current_positions:
position = Position(symbol)
self.__current_positions[symbol] = position
self.__initial_positions[symbol] = position
self.__positions[position.get_id()] = position
#----------------------------------------------------------------------
def add_strategy(self,strategy):
"""添加已创建的策略实例"""
self.__strategys[strategy.get_id()] = strategy
strategy.engine = self
#----------------------------------------------------------------------
def update_market_data(self, event):
"""行情更新"""
#TODO行情数据
pass
#----------------------------------------------------------------------
def update_bar_data(self,event):
bar = event.content['data']
symbol = bar.symbol
time_frame = bar.time_frame
for field in ['open','high','low','close','time','volume']:
self.__datas[symbol][time_frame][field].appendleft(getattr(bar,field))
#----------------------------------------------------------------------
def __process_order(self, tick):
"""处理停止单"""
pass
#----------------------------------------------------------------------
def update_order(self, event):
"""报单更新"""
#TODO 成交更新
#----------------------------------------------------------------------
def update_trade(self, event):
"""成交更新"""
#TODO 成交更新
pass
#----------------------------------------------------------------------
def __update_position(self, deal):
def sign(num):
if abs(num) <= 10**-7:
return(0)
elif num > 0:
return(1)
else:
return(-1)
if deal.volume == 0: return
position_prev = self.__current_positions[deal.symbol]
position_now = Position(deal.symbol, deal.strategy, deal.handle)
position_now.prev_id = position_prev.get_id()
position_prev.next_id = position_now.get_id()
position = position_prev.type
#XXX常量定义改变这里的映射函数也可能改变
if deal.type * position >= 0:
deal.entry = DEAL_ENTRY_IN
if position == 0: #open position
position_now.price_open = deal.price
position_now.time_open = deal.time
position_now.time_open_msc = deal.time_msc
else: #overweight position
position_now.time_open = position_prev.time_open
position_now.time_open_msc = position_prev.time_open_msc
position_now.volume = deal.volume + position_prev.volume
position_now.type = deal.type
position_now.price_current = (position_prev.price_current*position_prev.volume
+deal.price*deal.volume)/position_now.volume
else:
contracts = position_prev.volume - deal.volume
position_now.volume = abs(contracts)
position_now.type = position * sign(contracts)
if position_now.type == 0: #close position
deal.entry = DEAL_ENTRY_OUT
deal.profit = (deal.price-position_prev.price_current)*position*position_prev.volume
position_now.price_current = 0
position_now.volume = 0 #防止浮点数精度可能引起的问题
position_now.time_open = position_prev.time_open
position_now.time_open_msc = position_prev.time_open_msc
elif position_now != position: #reverse position
deal.entry = DEAL_ENTRY_INOUT
deal.profit = (deal.price-position_prev.price_current)*position*position_prev.volume
position_now.price_current = deal.price
position_now.time_open = deal.time
position_now.time_open_msc = deal.time_msc
position_now.price_open = price_now.price_current
else: #underweight position
#XXX 平部分仓位是直接计算入平仓收益还是将收益暂时算在浮动中
deal.entry = DEAL_ENTRY_OUT
deal.profit = (deal.price-position_prev.price_current)*position*deal.volume
position_now.price_current = position_prev.price_current
position_now.time_open = position_prev.time_open
position_now.time_open_msc = position_prev.time_open_msc
position_now.time_update = deal.time
position_now.time_update_msc = deal.time_msc
deal.position = position_now.get_id()
position_now.deal = deal.get_id()
self.__current_positions[deal.symbol] = position_now
self.__positions[position_now.get_id()] = position_now
self.__deals[deal.get_id()] = deal
if deal.profit != 0:
self.__account_manager.update_deal(deal)
#----------------------------------------------------------------------
@staticmethod
def check_order(order):
if not isinstance(order, Order):
return(False)
#TODO更多关于订单合法性的检查
return(True)
#----------------------------------------------------------------------
def __send_order_to_broker(self,order):
if self.__backtesting:
time_frame = SymbolsListener.get_by_id(order.handle).get_time_frame()
time_ = self.__datas[order.symbol][time_frame]["time"][0]
order.time_done = int(time_)
order.time_done_msc = int((time_-int(time_))*(10**6))
order.volume_current = order.volume_initial
deal = Deal(order.symbol, order.strategy, order.handle)
deal.volume = order.volume_current
deal.time = order.time_done
deal.time_msc = order.time_done_msc
deal.type = 1-((order.type&1)<<1) #参见ENUM_ORDER_TYPE和ENUM_DEAL_TYPE的定义
deal.price = self.__datas[order.symbol][time_frame]["close"][0]
#TODO加入手续费等
order.deal = deal.get_id()
deal.order = order.get_id()
return([deal],{})
#TODO 市价单成交
else:
pass
#TODO 实盘交易
#----------------------------------------------------------------------
def send_order(self, order):
"""
发单（仅允许限价单）
symbol：合约代码
direction：方向，DIRECTION_BUY/DIRECTION_SELL
offset：开平，OFFSET_OPEN/OFFSET_CLOSE
price：下单价格
volume：下单手数
strategy：策略对象
"""
#TODO 更多属性的处理
if self.check_order(order):
if order.type <= 1:#market order
#send_order_to_broker = async_handle(self.__event_engine, self.__update_position)(self.__send_order_to_broker)
#send_order_to_broker(order)
result = self.__send_order_to_broker(order)
self.__update_position(*result[0])
else:
self.__orders_todo[order.get_id()] = order
return(True)
else:
return(False)
#----------------------------------------------------------------------
def cancel_order(self, order_id):
"""
撤单
"""
if order_id == 0:
self.__orders_todo = {}
else:
if order_id in self.__orders_todo:
del(self.__orders_todo[order_id])
#----------------------------------------------------------------------
def put_event(self, event):
#TODO 加入验证
#TODO 多了一层函数调用，尝试用绑定的形式
self.__event_engine.put(event)
#----------------------------------------------------------------------
def register_event(self, event_type, handle):
"""注册事件监听"""
#TODO 加入验证
self.__event_engine.register(event_type, handle)
def unregister_event(self, event_type, handle):
"""取消事件监听"""
self.__event_engine.unregister(event_type, handle)
#----------------------------------------------------------------------
def writeLog(self, log):
"""写日志"""
event = Event(type_=EVENT_LOG)
event.content['log'] = log
self.__event_engine.put(event)
#----------------------------------------------------------------------
def start(self):
"""启动所有策略"""
self.__event_engine.start()
for strategy in self.__strategys.values():
strategy.start()
#----------------------------------------------------------------------
def stop(self):
"""停止所有策略"""
self.__event_engine.stop()
for strategy in self.__strategys.values():
strategy.stop()
def wait(self):
"""等待所有事件处理完毕"""
self.__event_engine.wait()
self.stop()
#TODO 对限价单的支持
#----------------------------------------------------------------------
def sell(self, symbol, volume=1, price=None, stop=False ,limit=False, strategy=None, listener=None):
if volume == 0: return
position = self.__current_positions.get(symbol,None)
if not position or position.type <= 0:
return#XXX可能的返回值
order = Order(symbol, ORDER_TYPE_SELL, strategy, listener)
order.volume_initial = volume
if self.__backtesting:
time_ = self.__datas[symbol][SymbolsListener.get_by_id(listener).get_time_frame()]['time'][0]
else:
time_ = time.time()
order.time_setup = int(time_)
order.time_setup_msc = int((time_ - int(time_))*(10**6))
return(self.send_order(order))
#----------------------------------------------------------------------
def buy(self, symbol, volume=1, price=None, stop=False, limit=False, strategy=None, listener=None):
if volume == 0: return
position = self.__current_positions.get(symbol,None)
order = Order(symbol, ORDER_TYPE_BUY, strategy, listener)
if position and position.type < 0:
order.volume_initial = volume + position.volume
else:
order.volume_initial = volume
if self.__backtesting:
time_ = self.__datas[symbol][SymbolsListener.get_by_id(listener).get_time_frame()]['time'][0]
else:
time_ = time.time()
order.time_setup = int(time_)
order.time_setup_msc = int((time_ - int(time_))*(10**6))
return(self.send_order(order))
#----------------------------------------------------------------------
def cover(self, symbol, volume=1, price=None, stop=False, limit=False, strategy=None, listener=None):
if volume == 0: return
position = self.__current_positions.get(symbol,None)
order = Order(symbol, ORDER_TYPE_BUY, strategy, listener)
if not position or position.type >= 0:
return#XXX可能的返回值
order.volume_initial = volume
if self.__backtesting:
time_ = self.__datas[symbol][SymbolsListener.get_by_id(listener).get_time_frame()]['time'][0]
else:
time_ = time.time()
order.time_setup = int(time_)
order.time_setup_msc = int((time_ - int(time_))*(10**6))
return(self.send_order(order))
#----------------------------------------------------------------------
def short(self, symbol, volume=1, price=None, stop=False, limit=False, strategy=None, listener=None):
if volume == 0: return
position = self.__current_positions.get(symbol,None)
order = Order(symbol, ORDER_TYPE_SELL, strategy, listener)
if position and position.type > 0:
order.volume_initial = volume + position.volume
else:
order.volume_initial = volume
if self.__backtesting:
time_ = self.__datas[symbol][SymbolsListener.get_by_id(listener).get_time_frame()]['time'][0]
else:
time_ = time.time()
order.time_setup = int(time_)
order.time_setup_msc = int((time_ - int(time_))*(10**6))
return(self.send_order(order))
class StrategyEngine(object):
"""策略引擎"""
CACHE_MAXLEN = 10000
# ----------------------------------------------------------------------
def __init__(self, is_backtest=False, **config):
"""Constructor"""
self.__config = config
self.__event_engine = EventEngine() # 事件处理引擎
if is_backtest:
self.__account_manager = AccountManager(self, **config) # 账户管理
else:
self.__account_manager = FDTAccountManager(self, **config)
self.mongo_user = MongoUser(self.__config['user'])
self.__trade_manager = TradeManager(self, is_backtest, **config) # 交易管理器
self.__data_cache = DataCache(self, is_backtest) # 数据中继站
self.__strategys = {} # 策略管理器
self.__profit_records = [] # 保存账户净值的列表
def set_account(self, account):
assert isinstance(account, AccountManager)
self.__account_manager = account
def get_data(self):
return self.__data_cache.data
def get_symbol_pool(self):
return self.__data_cache.symbol_pool
def get_current_positions(self):
return self.__trade_manager.current_positions
def get_current_time(self):
return self.__data_cache.current_time
def get_positions(self):
return self.__trade_manager.positions
def get_deals(self):
return self.__trade_manager.deals
def get_strategys(self):
return self.__strategys
def get_profit_records(self):
"""获取平仓收益记录"""
return self.__profit_records
def get_symbol_timeframe(self):
return self.__data_cache.get_cache_info().keys()
def get_capital_cash(self):
return self.__account_manager.capital_cash
def get_capital_net(self):
return self.__account_manager.capital_net
def get_capital_available(self):
return self.__account_manager.capital_available
# XXX之所以不用装饰器的方式是考虑到不知经过一层property会不会影响效率，所以保留用get_XXX直接访问
# property:
current_time = property(get_current_time)
symbol_pool = property(get_symbol_pool)
data = property(get_data)
current_positions = property(get_current_positions)
positions = property(get_positions)
deal = property(get_deals)
strategys = property(get_strategys)
profit_records = property(get_profit_records)
symbol_timeframe = property(get_symbol_timeframe)
capital_cash = property(get_capital_cash)
capital_net = property(get_capital_net)
capital_available = property(get_capital_available)
def get_counter_price(self, code, time_frame):
"""
计算当前对应货币对的报价货币(counter currency)兑美元的价格
:param code: 品种代码
:param time_frame: 时间尺度
:return: 当前对应货币对的报价货币(counter currency)兑美元的价格
"""
symbol = self.symbol_pool[code]
if symbol.code.endswith('USD'): # 间接报价
base_price = 1
elif symbol.code.startswith('USD'): # 直接报价
base = symbol.code[-3:]
base_price = 1 / self.data[time_frame]['close']['USD' + base][0]
else: # 交叉盘
base = symbol.code[-3:]
if base + 'USD' in symbol.ALL.index:
base_price = self.data[time_frame]['close'][base + 'USD'][0]
elif 'USD' + base in symbol.ALL.index:
base_price = 1 / self.data[time_frame]['close']['USD' + base][0]
else:
raise ValueError('找不到基准报价:%s' % base)
return base_price
def get_base_price(self, code, time_frame):
"""
计算当前对应货币对的基准货币(base currency)兑美元的价格
:param code: 品种代码
:param time_frame: 时间尺度
:return: 当前对应货币对的报价货币(base currency)兑美元的价格
"""
symbol = self.symbol_pool[code]
if symbol.code.startswith('USD'): # 间接报价
base_price = 1
elif symbol.code.endswith('USD'): # 直接报价
base = symbol.code[:3]
base_price = self.data[time_frame]['close'][base + 'USD'][0]
else: # 交叉盘
base = symbol.code[:3]
if base + 'USD' in symbol.ALL.index:
base_price = self.data[time_frame]['close'][base + 'USD'][0]
elif 'USD' + base in symbol.ALL.index:
base_price = 1 / self.data[time_frame]['close']['USD' + base][0]
else:
raise ValueError('找不到基准报价:%s' % base)
return base_price
def get_capital(self):
return self.__account_manager.get_api()
def profit_record(self, *args, **kwargs):
return self.__account_manager.profit_record(*args, **kwargs)
def update_cash(self, deal):
return self.__account_manager.update_cash(deal)
def send_order_to_broker(self, order):
return self.__account_manager.send_order_to_broker(order)
def order_status(self):
return self.__account_manager.order_status()
def position_status(self, *args, **kwargs):
return self.__account_manager.position_status(*args, **kwargs)
def open_position(self, *args, **kwargs):
return self.__trade_manager.open_position(*args, **kwargs)
def close_position(self, *args, **kwargs):
return self.__trade_manager.close_position(*args, **kwargs)
def set_capital_base(self, base):
self.__account_manager.capital_base = base
# ----------------------------------------------------------------------
def add_cache_info(self, *args, **kwargs):
self.__data_cache.add_cache_info(*args, **kwargs)
# TODO 从全局的品种池中查询
# ----------------------------------------------------------------------
def add_file(self, file):
self.__event_engine.add_file(file)
# ----------------------------------------------------------------------
def add_strategy(self, strategy):
"""添加已创建的策略实例"""
self.__strategys[strategy.get_id()] = strategy
strategy.engine = self
# ----------------------------------------------------------------------
def put_event(self, event):
# TODO 加入验证
# TODO 多了一层函数调用，尝试用绑定的形式
self.__event_engine.put(event)
# ----------------------------------------------------------------------
def register_event(self, event_type, handle):
"""注册事件监听"""
# TODO 加入验证
self.__event_engine.register(event_type, handle)
def unregister_event(self, event_type, handle):
"""取消事件监听"""
self.__event_engine.unregister(event_type, handle)
# ----------------------------------------------------------------------
def write_log(self, log):
"""写日志"""
self.__event_engine.put(Event(type=EVENT_LOG, log=log))
# ----------------------------------------------------------------------
def start(self):
"""启动所有策略"""
for strategy in self.__strategys.values():
strategy.start()
self.__profit_records.clear()
self.__data_cache.start()
self.__trade_manager.init()
self.__event_engine.start()
self.__account_manager.initialize()
# ----------------------------------------------------------------------
def stop(self):
"""停止所有策略"""
self.__event_engine.stop()
self.__data_cache.stop()
for strategy in self.__strategys.values():
strategy.stop()
self._recycle() # 释放资源
# ----------------------------------------------------------------------
def _recycle(self):
self.__data_cache.stop()
self.__trade_manager.recycle()
def wait(self, call_back=None, finished=True, *args, **kwargs):
"""等待所有事件处理完毕
:param call_back: 运行完成时的回调函数
:param finish: 向下兼容，finish为True时，事件队列处理完成时结束整个回测引擎；为False时只是调用回调函数，继续挂起回测引擎。
"""
self.__event_engine.wait()
if call_back:
result = call_back(*args, **kwargs)
else:
result = None
if finished:
self.stop()
return result
class StrategyEngine(LoggerInterface, Runnable, ConfigInterface, APIInterface):
"""策略引擎"""
def __init__(self, parent=None):
"""Constructor"""
LoggerInterface.__init__(self, parent=parent)
Runnable.__init__(self)
ConfigInterface.__init__(self, parent=parent)
APIInterface.__init__(self)
self.__event_engine = EventEngine(parent=self) # 事件处理引擎
self.__quotation_manager = QuotationManager(self, parent=self) # 行情数据管理器
if self.config.running_mode == RunningMode.backtest:
self.__account_manager = BfAccountManager(parent=self) # 账户管理
else:
self.__account_manager = FDTAccountManager(parent=self)
self.mongo_user = MongoUser(self.config.user)
self.__trading_manager = TradingManager(self, self.__quotation_manager, self.__account_manager,
parent=self) # 交易管理器
if self.config.running_mode == RunningMode.backtest:
self.__account_manager.set_trading_manager(self.__trading_manager)
self.__strategys = {} # 策略管理器
self.__profit_records = [] # 保存账户净值的列表
self.logger_name = "StrategyEngine"
def set_account(self, account):
assert isinstance(account, AccountManager)
self.__account_manager = account
@property
def current_time(self):
return self.__quotation_manager.current_time
@property
def positions(self):
return self.__trading_manager.positions
@property
def deals(self):
return self.__trading_manager.deals
@property
def strategys(self):
return self.__strategys
@property
def profit_records(self):
"""获取平仓收益记录"""
return self.__profit_records
@property
def max_margin(self):
return self.__trading_manager.max_margin
def profit_record(self, *args, **kwargs):
return self.__account_manager.profit_record(*args, **kwargs)
def realize_order(self):
self.__trading_manager.realize_order()
def add_cache_info(self, *args, **kwargs):
self.__quotation_manager.add_cache_info(*args, **kwargs)
# TODO 从全局的品种池中查询
def add_file(self, file):
self.__event_engine.add_file(file)
def add_strategy(self, strategy):
"""添加已创建的策略实例"""
self.__strategys[strategy.get_id()] = strategy
strategy.engine = self
def put_event(self, event):
# TODO 加入验证
# TODO 多了一层函数调用，尝试用绑定的形式
self.__event_engine.put(event)
def register_event(self, event_type, handle):
"""注册事件监听"""
# TODO 加入验证
self.__event_engine.register(event_type, handle)
def unregister_event(self, event_type, handle):
"""取消事件监听"""
self.__event_engine.unregister(event_type, handle)
def write_log(self, log):
"""写日志"""
self.__event_engine.put(Event(type=EVENT_LOG, log=log))
def _start(self):
"""启动所有策略"""
self.__profit_records.clear()
self.__quotation_manager.start()
self.__trading_manager.init()
self.__event_engine.start()
self.__account_manager.initialize()
for strategy in self.__strategys.values():
strategy.start()
def _stop(self):
"""停止所有策略"""
for strategy in self.__strategys.values():
strategy.stop()
self.__event_engine.stop()
self.__quotation_manager.stop()
self._recycle() # 释放资源
def _recycle(self):
self.__quotation_manager.stop()
self.__trading_manager.recycle()
# TODO finished的参数设计有点问题
def wait(self, call_back=None, finished=True, *args, **kwargs):
"""等待所有事件处理完毕
:param call_back: 运行完成时的回调函数
:param finished: 向下兼容，finish为True时，事件队列处理完成时结束整个回测引擎；为False时只是调用回调函数，继续挂起回测引擎。
"""
self.__event_engine.wait()
if call_back:
result = call_back(*args, **kwargs)
else:
result = None
if finished:
self.stop()
return result
def get_APIs(self, strategy=None, signal=None, symbols=None, time_frame=None) -> Globals:
APIs = Globals({}, {})
APIs.update(self.__account_manager.get_APIs())
APIs.update(self.__quotation_manager.get_APIs(symbols=symbols, time_frame=time_frame))
APIs.update(self.__trading_manager.get_APIs(strategy=strategy, signal=signal, symbol=symbols[0]))
return APIs