def __new_strategy_detail(self, is_init=False):
self.open_steps.clear()
self.last_step = None
init_cash = self.strategy.budget
#close old strategy_detail
if self.strategy_detail:
self.logger.info('__new_strategy_detail: close old strategy_detail(id=%s)', self.strategy_detail.id)
remaining_qty = TradeOrder.calc_end_qty(self.strategy_detail.id, include_today=True)
if remaining_qty>0:
self.logger.warning('__new_strategy_detail: cannot close old strategy_detail cause remaining_qty=%s', remaining_qty)
return
self.strategy_detail.end_cash = ahelper.format_money(self.strategy_detail.init_cash+TradeOrder.calc_revenue(self.strategy_detail.id))
self.strategy_detail.is_active = False
self.strategy_detail.updated_at = atime.now()
self.strategy_detail.save()
self.is_pending_close=False
init_cash = self.strategy_detail.end_cash
self.strategy_detail = None
#stop this strategy
actual_loss = self.strategy.budget-init_cash
if self.strategy.type==StrategyType.SINGLE or actual_loss >=self.strategy.fix_loss:
self.logger.info('__new_strategy_detail: close strategy(actual_loss=%s, allowed_loss=%s)', actual_loss, self.strategy.fix_loss)
self.__close_strategy()
return
if not is_init and atime.today().weekday()>0:
self.logger.info('__new_strategy_detail: Only Monday we can recreate new strategy_detail')
return
#create new strategy detail
_start = atime.date2str(atime.calc_date(atime.today(), -30))
_end = atime.date2str(atime.today())
df = ts.get_hist_data(code=self.strategy.symbol,start=_start,end=_end,ktype='W')
top_price = ahelper.format_money(df[0:2]['high'].max())
bottom_price = ahelper.format_money(df[0:2]['low'].min())
_count = min(int((top_price-bottom_price)//(top_price*0.01)),self.strategy.param2)
step_delta_price = ahelper.format_money((top_price-bottom_price)/_count)
_tmp = sum([(bottom_price+(_count-n)*step_delta_price)*(1+(n-1)*self.strategy.param1) for n in range(1,_count+1)])
init_qty = int(init_cash/_tmp//100*100)
_total_qty = sum([(1+(n-1)*self.strategy.param1)*init_qty for n in range(1,_count+1)])
start_price = ahelper.format_money(init_qty*_tmp/_total_qty)
new_sd = StrategyDetail(strategy=self.strategy,
top_price = top_price,
bottom_price = bottom_price,
start_price=start_price,
step_delta_price=step_delta_price,
step_count=_count+1,
init_qty=init_qty,
step_delta_qty=int(init_qty*self.strategy.param1),
high_stop_ratio=0.025,
low_stop_ratio=0.025,
init_cash=init_cash
)
new_sd.save()
self.logger.info('__new_strategy_detail: created new strategy_detail(id=%s)', new_sd.id)
self.strategy_detail = new_sd
self.lot_available = 0
self.cash_available = init_cash
def __place_order(self):
if self.open_steps:
self.logger.info(
'__place_order: Not place order - existing open_steps: %s',
self.open_steps)
return
stock_data = self.account.get_real_stocks([self.strategy.symbol])
_close = stock_data[self.strategy.symbol]['close']
self.price_limit_down = ahelper.format_money(_close * 0.9)
self.price_limit_up = ahelper.format_money(_close * 1.1)
c_price = stock_data[self.strategy.symbol]['now']
_no = self.strategy_detail.step_no(c_price)
self.logger.info('__place_order: _no=%s, c_price=%s, last_step=%s',
_no, c_price, self.last_step)
if _no == FixedFlag.BUY_ALL:
self.__new_open_steps(self.strategy_detail.step_count - 1, c_price)
elif _no == FixedFlag.SELL_ALL:
self.__new_open_steps(0, c_price)
elif _no in (FixedFlag.HIGH_STOP, FixedFlag.LOW_STOP):
self.__new_open_steps(0, c_price) #sell all
if self.open_steps:
self.is_pending_close = True
else:
self.__new_strategy_detail()
elif self.last_step is None:
m_price = min(c_price, self.strategy_detail.start_price)
self.__new_open_steps(self.strategy_detail.step_no(m_price),
m_price)
elif self.last_step.step_no - _no > 1:
#sell
self.__new_open_steps(_no + 1, c_price)
#buy
self.__new_open_steps(
self.last_step.step_no + 1,
self.strategy_detail.step_price(self.last_step.step_no + 1))
elif _no - self.last_step.step_no >= 1:
#buy
self.__new_open_steps(_no, c_price)
#sell
if self.last_step.step_no > 0:
self.__new_open_steps(
self.last_step.step_no - 1,
self.strategy_detail.step_price(self.last_step.step_no -
1))
elif _no == self.last_step.step_no:
if _no > 0:
self.__new_open_steps(_no - 1,
self.strategy_detail.step_price(_no - 1))
self.__new_open_steps(_no + 1,
self.strategy_detail.step_price(_no + 1))
elif self.last_step.step_no - _no == 1:
self.__new_open_steps(_no, self.strategy_detail.step_price(_no))
self.__new_open_steps(_no + 2,
self.strategy_detail.step_price(_no + 2))
def __save_trade_order(self, code, price, qty, bs_type):
self.logger.info('__save_trade_order: code=%s, %s qty=%s, price=%s', code, bs_type, qty, price)
order = TradeOrder(strategy_detail=self.strategy_detail,
order_code=code,
price=price,
qty=qty,
bs_type=bs_type)
order.calc_fee()
order.save()
if bs_type==BsType.BUY:
self.cash_available = ahelper.format_money(self.cash_available - order.fee - order.qty*order.price)
else:
self.cash_available = ahelper.format_money(self.cash_available - order.fee + order.qty*order.price)
self.lot_available = self.lot_available-order.qty
self.logger.info('__save_trade_order: cash_available=%s, lot_available=%s',self.cash_available,self.lot_available)
def low_stop_price(self):
if not hasattr(self, '_low_stop_price'):
self._low_stop_price = ahelper.format_money(
self.start_price * (1 - self.step_ratio *
(self.total_num - 1)) *
(1 - self.low_stop_ratio))
return self._low_stop_price
def __place_order(self):
if self.open_steps:
self.logger.info('__place_order: Not place order - existing open_steps: %s', self.open_steps)
return
stock_data = self.account.get_real_stocks([self.strategy.symbol])
_close = stock_data[self.strategy.symbol]['close']
self.price_limit_down = ahelper.format_money(_close*0.9)
self.price_limit_up = ahelper.format_money(_close*1.1)
c_price = stock_data[self.strategy.symbol]['now']
_no = self.strategy_detail.step_no(c_price)
self.logger.info('__place_order: _no=%s, c_price=%s, last_step=%s', _no, c_price, self.last_step)
if _no==FixedFlag.BUY_ALL:
self.__new_open_steps(self.strategy_detail.step_count-1, c_price)
elif _no==FixedFlag.SELL_ALL:
self.__new_open_steps(0, c_price)
elif _no in (FixedFlag.HIGH_STOP, FixedFlag.LOW_STOP):
self.__new_open_steps(0, c_price)#sell all
if self.open_steps:
self.is_pending_close = True
else:
self.__new_strategy_detail()
elif self.last_step is None:
m_price = min(c_price, self.strategy_detail.start_price)
self.__new_open_steps(self.strategy_detail.step_no(m_price), m_price)
elif self.last_step.step_no-_no>1:
#sell
self.__new_open_steps(_no+1, c_price)
#buy
self.__new_open_steps(self.last_step.step_no+1, self.strategy_detail.step_price(self.last_step.step_no+1))
elif _no-self.last_step.step_no>=1:
#buy
self.__new_open_steps(_no, c_price)
#sell
if self.last_step.step_no>0:
self.__new_open_steps(self.last_step.step_no-1, self.strategy_detail.step_price(self.last_step.step_no-1))
elif _no==self.last_step.step_no:
if _no>0:
self.__new_open_steps(_no-1, self.strategy_detail.step_price(_no-1))
self.__new_open_steps(_no+1, self.strategy_detail.step_price(_no+1))
elif self.last_step.step_no-_no==1:
self.__new_open_steps(_no, self.strategy_detail.step_price(_no))
self.__new_open_steps(_no+2, self.strategy_detail.step_price(_no+2))
def fetch_quotation(self):
if Config.IS_TEST:
_dict = dict()
for s in self.stock_codes:
p = ahelper.format_money(DummyQuotationServer(s).price())
_dict[s] = {"now": p, "ask1": p + 0.01, "bid1": p - 0.01}
return _dict
else:
_data = self.source.stocks(self.stock_codes)
_dict = dict()
for s in self.stock_codes:
_dict[s] = {"now": _data[s]["now"]}
return _dict
def fetch_quotation(self):
if Config.IS_TEST:
_dict = dict()
for s in self.stock_codes:
p = ahelper.format_money(DummyQuotationServer(s).price())
_dict[s] = {"now":p,"ask1":p+0.01, "bid1":p-0.01}
return _dict
else:
_data = self.source.stocks(self.stock_codes)
_dict = dict()
for s in self.stock_codes:
_dict[s] = {"now":_data[s]["now"]}
return _dict
def __save_trade_order(self, code, price, qty, bs_type):
self.logger.info('__save_trade_order: code=%s, %s qty=%s, price=%s',
code, bs_type, qty, price)
order = TradeOrder(strategy_detail=self.strategy_detail,
order_code=code,
price=price,
qty=qty,
bs_type=bs_type)
order.calc_fee()
order.save()
if bs_type == BsType.BUY:
self.cash_available = ahelper.format_money(self.cash_available -
order.fee -
order.qty * order.price)
else:
self.cash_available = ahelper.format_money(self.cash_available -
order.fee +
order.qty * order.price)
self.lot_available = self.lot_available - order.qty
self.logger.info(
'__save_trade_order: cash_available=%s, lot_available=%s',
self.cash_available, self.lot_available)
def low_stop_price(self):
if not hasattr(self, '_low_stop_price'):
self._low_stop_price = ahelper.format_money(
self.bottom_price * (1 - self.low_stop_ratio))
return self._low_stop_price
def calc_revenue(cls, sd_id):
orders = cls.select().join(StrategyDetail).where(StrategyDetail.id==sd_id)
return ahelper.format_money(sum([_calc_money(o) for o in orders]))
def step_margin(self):
if not hasattr(self, '_step_margin'):
self._step_margin = ahelper.format_money(self.start_price *
self.step_ratio)
return self._step_margin
def __new_strategy_detail(self, is_init=False):
self.open_steps.clear()
self.last_step = None
init_cash = self.strategy.budget
#close old strategy_detail
if self.strategy_detail:
self.logger.info(
'__new_strategy_detail: close old strategy_detail(id=%s)',
self.strategy_detail.id)
remaining_qty = TradeOrder.calc_end_qty(self.strategy_detail.id,
include_today=True)
if remaining_qty > 0:
self.logger.warning(
'__new_strategy_detail: cannot close old strategy_detail cause remaining_qty=%s',
remaining_qty)
return
self.strategy_detail.end_cash = ahelper.format_money(
self.strategy_detail.init_cash +
TradeOrder.calc_revenue(self.strategy_detail.id))
self.strategy_detail.is_active = False
self.strategy_detail.updated_at = atime.now()
self.strategy_detail.save()
self.is_pending_close = False
init_cash = self.strategy_detail.end_cash
self.strategy_detail = None
#stop this strategy
actual_loss = self.strategy.budget - init_cash
if self.strategy.type == StrategyType.SINGLE or actual_loss >= self.strategy.fix_loss:
self.logger.info(
'__new_strategy_detail: close strategy(actual_loss=%s, allowed_loss=%s)',
actual_loss, self.strategy.fix_loss)
self.__close_strategy()
return
if not is_init and atime.today().weekday() > 0:
self.logger.info(
'__new_strategy_detail: Only Monday we can recreate new strategy_detail'
)
return
#create new strategy detail
_start = atime.date2str(atime.calc_date(atime.today(), -30))
_end = atime.date2str(atime.today())
df = ts.get_hist_data(code=self.strategy.symbol,
start=_start,
end=_end,
ktype='W')
top_price = ahelper.format_money(df[0:2]['high'].max())
bottom_price = ahelper.format_money(df[0:2]['low'].min())
_count = min(int((top_price - bottom_price) // (top_price * 0.01)),
self.strategy.param2)
step_delta_price = ahelper.format_money(
(top_price - bottom_price) / _count)
_tmp = sum([(bottom_price + (_count - n) * step_delta_price) *
(1 + (n - 1) * self.strategy.param1)
for n in range(1, _count + 1)])
init_qty = int(init_cash / _tmp // 100 * 100)
_total_qty = sum([(1 + (n - 1) * self.strategy.param1) * init_qty
for n in range(1, _count + 1)])
start_price = ahelper.format_money(init_qty * _tmp / _total_qty)
new_sd = StrategyDetail(strategy=self.strategy,
top_price=top_price,
bottom_price=bottom_price,
start_price=start_price,
step_delta_price=step_delta_price,
step_count=_count + 1,
init_qty=init_qty,
step_delta_qty=int(init_qty *
self.strategy.param1),
high_stop_ratio=0.025,
low_stop_ratio=0.025,
init_cash=init_cash)
new_sd.save()
self.logger.info(
'__new_strategy_detail: created new strategy_detail(id=%s)',
new_sd.id)
self.strategy_detail = new_sd
self.lot_available = 0
self.cash_available = init_cash
def high_stop_price(self):
if not hasattr(self, '_high_stop_price'):
self._high_stop_price = ahelper.format_money(
(self.start_price + self.step_margin) *
(1 + self.high_stop_ratio))
return self._high_stop_price
def high_stop_price(self):
if not hasattr(self, '_high_stop_price'):
self._high_stop_price = ahelper.format_money((self.start_price+self.step_margin)*(1+self.high_stop_ratio))
return self._high_stop_price
def low_stop_price(self):
if not hasattr(self, '_low_stop_price'):
self._low_stop_price = ahelper.format_money(self.start_price*(1-self.step_ratio*(self.total_num-1))*(1-self.low_stop_ratio))
return self._low_stop_price
def step_price(self, _no):
return ahelper.format_money(self.top_price -
_no * self.step_delta_price)
def step_margin(self):
if not hasattr(self, '_step_margin'):
self._step_margin = ahelper.format_money(self.start_price*self.step_ratio)
return self._step_margin
def calc_fee(self):
if self.bs_type==BsType.BUY:
self.fee = ahelper.format_money(self.qty*self.price*0.0003)
else:
_amount = self.qty*self.price
self.fee = ahelper.format_money(_amount*0.0003+max(_amount*0.001,5))
def high_stop_price(self):
if not hasattr(self, '_high_stop_price'):
self._high_stop_price = ahelper.format_money(
self.top_price * (1 + self.high_stop_ratio))
return self._high_stop_price
def step_price(self, _no):
return ahelper.format_money(self.top_price-_no*self.step_delta_price)
def low_stop_price(self):
if not hasattr(self, '_low_stop_price'):
self._low_stop_price = ahelper.format_money(self.bottom_price*(1-self.low_stop_ratio))
return self._low_stop_price
def high_stop_price(self):
if not hasattr(self, '_high_stop_price'):
self._high_stop_price = ahelper.format_money(self.top_price*(1+self.high_stop_ratio))
return self._high_stop_price