def deal_single_ins(item):
r = False
if item['ins'] == 'down_sell':
df = ts.get_realtime_quotes(item['code'])
b3_price = float(df.at[0, 'b3_p'])
if b3_price <= item['price'] and b3_price > 0:
item['ins'] = 'sell_order'
send_instruction(item)
r = True
if item['ins'] == 'up_warn':
df = ts.get_realtime_quotes(item['code'])
b3_price = float(df.at[0, 'b3_p'])
if b3_price >= item['price']:
to_log('reach price by up_warn ins ')
send_email(dss, 'up_warn', str(item))
r = True
if item['ins'] == 'down_warn':
df = ts.get_realtime_quotes(item['code'])
b3_price = float(df.at[0, 'b3_p'])
if b3_price <= item['price'] and b3_price > 0:
send_email(dss, 'down_warn', str(item))
r = True
if item['ins'] in ['sell_order', 'buy_order']:
send_instruction(item)
r = True
return r
def get_tick_service(self):
print('in get_tick_service ')
while True:
try:
with Listener(address, authkey=b'secret password') as listener:
with listener.accept() as conn:
s = conn.recv()
tick = ''
if self.q is not None:
if s in self.q.ticks_dict:
tick = self.q.ticks_dict[s][-1]
cols = [
'Localtime', 'Instrument', 'LastPrice',
'Volume', 'OpenInterest', 'AveragePrice',
'UpperLimitPrice', 'LowerLimitPrice',
'PreSettlementPrice', 'AskPrice',
'AskVolume', 'BidPrice', 'BidVolume',
'UpdateDate', 'UpdateTime'
]
tick = dict(zip(cols, tick))
else:
now = datetime.now()
today = now.strftime('%Y%m%d')
fn = self.dss + 'fut/tick/tick_' + today + '_' + s + '.csv'
if os.path.exists(fn):
df = pd.read_csv(fn)
rec = df.iloc[-1, :]
tick = dict(rec)
conn.send(str(tick))
except Exception as e:
# print(e)
s = traceback.format_exc()
to_log(s)
def compass(date):
listfile = os.listdir(dirname)
for fn in listfile:
os.remove(dirname + fn)
d2 = get_dss() + 'info/hold/img/'
listfile = os.listdir(d2)
for fn in listfile:
os.remove(d2 + fn)
fn = get_dss() + 'fut/cfg/opt_mature.csv'
df2 = pd.read_csv(fn)
df2 = df2[pd.notnull(df2.flag)]
fn_list = []
for func in [CF, m, RM, al, IO]:
# for func in [m]:
try:
fn_list += func(date, df2)
except Exception as e:
s = traceback.format_exc()
to_log(s)
# print(fn_list)
send_email(get_dss(), 'compass', '', fn_list)
def df_hv(code, date):
try:
now = datetime.now()
start_day = now - timedelta(days=480)
start_day = start_day.strftime('%Y-%m-%d')
if code[:2] == 'IO':
df = get_inx('000300', start_day)
else:
fn = get_dss() + 'fut/bar/day_' + code + '.csv'
df = pd.read_csv(fn)
df = df[(df.date >= start_day) & (df.date <= date)]
df = df.set_index('date')
df = df.sort_index()
df['ln'] = np.log(df.close)
df['rt'] = df['ln'].diff(1)
df['hv'] = df['rt'].rolling(20).std()
df['hv'] *= np.sqrt(242) * 100
df = df.iloc[-242:, ]
df['value'] = df['hv']
df = df[['value']]
df.index.name = code + '_hv'
return df
except Exception as e:
s = traceback.format_exc()
to_log(s)
return None
def _OnFrontDisConnected(self, reason: int):
""""""
to_log('in CtpQuote._OnFrontDisConnected')
# 确保隔夜或重新登录时的第1个tick不被发送到客户端
self.inst_tick.clear()
self.logined = False
self.OnDisConnected(self, reason)
def worker_close(self):
"""盘后保存及展示数据"""
try:
if self.working == False:
return
# 保存信号参数
for p in self.portfolio_list:
p.daily_close()
self.portfolio_list = [] # 组合
self.working = False
# print('seq_tm: ', self.seq_tm)
# if self.seq_tm == 'morning':
# print('begin pandian_run')
# pandian_run()
# print('end pandian_run')
print('begin gateway release ')
if self.gateway is not None:
self.gateway.release()
self.gateway = None # 路由
self.vtSymbol_list = []
now = datetime.now()
print('in worker close, now time is: ', now)
except Exception as e:
s = traceback.format_exc()
to_log(s)
def mail_1515():
to_log('in mail_1515')
try:
now = datetime.now()
today = now.strftime('%Y-%m-%d')
weekday = int(now.strftime('%w'))
if 1 <= weekday <= 5:
r = []
logfile = dss + 'log/autotrade.log'
df = pd.read_csv(logfile, sep=' ', header=None, encoding='ansi')
df = df[df[0] == today]
for i, row in df.iterrows():
r.append(str(list(row)[:7]))
send_email(dss, 'show log', '\n'.join(r))
r = []
txtfile = dss + 'csv/ins.txt'
with open(txtfile, 'r', encoding='utf-8') as f:
line = f.readline()
while line:
if line[0] == '{':
#line_dict = eval(line)
r.append(line)
line = f.readline()
send_email(dss, 'show ins ', '\n'.join(r))
except Exception as e:
print('error')
print(e)
def ReqSubscribeMarketData(self, pInstrument: str):
"""订阅合约行情
:param pInstrument:
"""
to_log('in CtpQuote.ReqSubscribeMarketData')
self.q.SubscribeMarketData(pInstrument)
def run_down_opt():
try:
now = datetime.datetime.now()
weekday = int(now.strftime('%w'))
if 1 <= weekday <= 5 and is_market_date():
print('\n' + str(now) + " down_opt begin...")
down_opt()
print(" down_opt end ")
time.sleep(180)
now = datetime.datetime.now()
print('\n' + str(now) + " calc_greeks begin...")
calc_greeks()
print(" calc_greeks end ")
now = datetime.datetime.now()
print('\n' + str(now) + " calc_sigma begin...")
calc_sigma()
print(" calc_sigma end ")
now = datetime.datetime.now()
print('\n' + str(now) + " calc_skew begin...")
calc_skew()
print(" calc_skew end ")
except Exception as e:
s = traceback.format_exc()
to_log(s)
def kqgj_short(code, price, num):
"""卖开仓"""
r = True
try:
to_log('in kqgj_short')
time.sleep(0.1)
dlg_spec.Edit1.set_text(code) #合约
time.sleep(0.1)
dlg_spec['买入'].uncheck()
time.sleep(0.1)
dlg_spec['卖出'].check() #买卖
time.sleep(0.1)
dlg_spec['平仓'].uncheck()
time.sleep(0.1)
dlg_spec['平今'].uncheck()
time.sleep(0.1)
dlg_spec['开仓'].check() #开平
time.sleep(0.1)
dlg_spec.Edit2.set_text(num) #手数
time.sleep(0.1)
dlg_spec.Edit3.set_text(price) #价格
time.sleep(0.1)
dlg_spec['下单'].click()
except:
r = False
print('error, 下单异常')
return r
def on_bar_minx(self, bar):
self.am.updateBar(bar)
if not self.am.inited:
return
# 涨跌停时暂停交易
if bar.close == bar.UpperLimitPrice:
self.pause = True
to_log(self.vtSymbol + ' 已涨停，该品种dali策略暂停交易')
if bar.close == bar.LowerLimitPrice:
self.pause = True
to_log(self.vtSymbol + ' 已跌停，该品种dali策略暂停交易')
if self.paused == True and self.backtest == False:
self.counter += 1
if self.counter == 3:
filename = get_dss() + 'gateway_closed.csv'
if os.path.exists(filename):
pass
else:
send_email(get_dss(), self.vtSymbol + ' 挂单未成交！！！', '')
return
self.calculateIndicator() # 计算指标
self.generateSignal(bar) # 触发信号，产生交易指令
def send_email(dss, subject, content, attach_list=[]):
try:
# # 第三方 SMTP 服务
# mail_host = 'smtp.yeah.net' # 设置服务器
# mail_username = '******' # 用户名
# mail_auth_password = "******" # 授权密码
# 加载配置
config = open(dss + 'csv/config.json')
setting = json.load(config)
mail_host = setting['mail_host'] # 设置服务器
mail_username = setting['mail_username'] # 用户名
mail_auth_password = setting['mail_auth_password'] # 授权密码
# print(mail_host, mail_username, mail_auth_password)
# # 第三方 SMTP 服务
# mail_host = 'smtp.qq.com' # 设置服务器
# mail_username = '******' # 用户名
# mail_auth_password = "******" # 授权密码
sender = setting['sender']
receivers = setting['receivers']
#receivers = '[email protected], [email protected]' # 多个收件人
message = MIMEMultipart()
message['From'] = sender
message['To'] = receivers
message['Subject'] = str(subject)
message.attach(MIMEText(content, 'plain', 'utf-8'))
if attach_list == []:
pass
else:
# 构造附件
now = datetime.now()
today = now.strftime("%Y%m%d_")
for i, attach in enumerate(attach_list):
att = MIMEText(open(attach, "rb").read(), "base64", "utf-8")
att["Content-Type"] = "application/octet-stream"
# 附件名称非中文时的写法
att["Content-Disposition"] = 'attachment; filename=' + today + str(
i) + attach[-4:]
# 附件名称为中文时的写法
# att.add_header("Content-Disposition", "attachment", filename=("gbk", "", "测试结果.txt"))
# att.add_header("Content-Disposition", "attachment", filename="测试结果.txt")
message.attach(att)
#smtpObj = smtplib.SMTP(mail_host, 25) # 生成smtpObj对象，使用非SSL协议端口号25
smtpObj = smtplib.SMTP_SSL(mail_host, 465) # 生成smtpObj对象，使用SSL协议端口号465
smtpObj.login(mail_username, mail_auth_password) # 登录邮箱
smtpObj.sendmail(sender, receivers, message.as_string()) # 发送给一人
# smtpObj.sendmail(sender, receivers.split(','), message.as_string()) # 发送给多人
print("邮件发送成功")
except smtplib.SMTPException as e:
print("Error: 无法发送邮件")
print(e)
s = traceback.format_exc()
to_log(s)
def _record_buy_order(self, ins_dict):
df = pd.read_csv(self.holdFilename, dtype={'code': 'str'})
portfolio_index = df[(df.portfolio == ins_dict['portfolio'])
& (df.code == 'profit') &
(df.agent == ins_dict['agent'])].index.tolist()
if len(portfolio_index) == 1: #已开组合
#获得原来的cash, 并减少cash
pre_cash_index = df[(df.portfolio == 'cash') & (
df.agent == ins_dict['agent'])].index.tolist()
df.loc[pre_cash_index[0], 'cost'] -= ins_dict['cost']
#文件中不需要保存这两个字段
if 'ins' in ins_dict:
ins_dict.pop('ins')
if 'price' in ins_dict:
ins_dict.pop('price')
#新增一条记录
df_dict = pd.DataFrame([ins_dict])
df = df.append(df_dict, sort=False)
#print(df)
df = df[['portfolio', 'code', 'cost', 'num', 'agent']]
df.to_csv(self.holdFilename, index=False)
else:
to_log('error, 组合未开，buy_order无法处理')
def loadPortfolio(self, PortfolioClass, name):
"""每日重新加载投资组合"""
to_log('in TradeEngine.loadPortfolio')
p = PortfolioClass(self, name)
p.init()
self.portfolio_list.append(p)
def _bc_sendOrder(self, vtSymbol, direction, offset, price, volume,
pfName):
"""记录交易数据（由portfolio调用）"""
# 记录成交数据
dt = time.strftime('%Y-%m-%d %H:%M:%S', time.localtime())
time.sleep(0.01)
order_id = str(int(time.time()))
r = [[
dt, pfName, order_id, 'minx', vtSymbol, direction, offset, price,
volume
]]
#print('send order: ', r)
to_log(str(r)[3:-2])
fn = 'fut/engine/engine_deal.csv'
a_file(fn, str(r)[2:-2])
priceTick = get_contract(vtSymbol).price_tick
price = int(round(price / priceTick, 0)) * priceTick
if self.gateway is not None:
# self.gateway._bc_sendOrder(dt, vtSymbol, direction, offset, price_deal, volume, pfName)
threading.Thread(target=self.gateway._bc_sendOrder,
args=(dt, vtSymbol, direction, offset, price,
volume, pfName)).start()
def send_email(dss, subject, content):
to_log('in send_email')
# # 第三方 SMTP 服务
# mail_host = 'smtp.yeah.net' # 设置服务器
# mail_username = '******' # 用户名
# mail_auth_password = "******" # 授权密码
# 加载配置
config = open(dss + 'csv/config.json')
setting = json.load(config)
mail_host = setting['mail_host'] # 设置服务器
mail_username = setting['mail_username'] # 用户名
mail_auth_password = setting['mail_auth_password'] # 授权密码
# print(mail_host, mail_username, mail_auth_password)
sender = setting['sender']
receivers = setting['receivers'] # 一个收件人
#receivers = '[email protected], [email protected]' # 多个收件人
try:
message = MIMEText(content, 'plain', 'utf-8')
message['From'] = sender
message['To'] = receivers
message['Subject'] = str(subject)
#smtpObj = smtplib.SMTP(mail_host, 25) # 生成smtpObj对象，使用非SSL协议端口号25
smtpObj = smtplib.SMTP_SSL(mail_host, 465) # 生成smtpObj对象，使用SSL协议端口号465
smtpObj.login(mail_username, mail_auth_password) # 登录邮箱
# smtpObj.sendmail(sender, receivers, message.as_string()) # 发送给一人
smtpObj.sendmail(sender, receivers.split(','),
message.as_string()) # 发送给多人
print("邮件发送成功")
except smtplib.SMTPException as e:
print("Error: 无法发送邮件")
print(e)
def worker_open(self):
"""盘前加载配置及数据"""
try:
if is_market_date() == False:
self.working = False
return
now = datetime.now()
tm = now.strftime('%H:%M:%S')
print('-' * 60)
print('in worker open, now time is: ', now)
print('\n')
if tm > '08:30:00' and tm < '14:30:00':
self.seq_tm = 'morning'
if tm > '20:30:00' and tm < '22:30:00':
self.seq_tm = 'night'
self.init_daily()
self.working = True
time.sleep(600)
if self.gateway is not None:
self.gateway.check_risk()
except Exception as e:
s = traceback.format_exc()
to_log(s)
def control_in_p(self, bar):
try:
for k in self.spread_dict.keys():
s0 = self.spread_dict[k][0]
s1 = self.spread_dict[k][1]
if s0 not in self.got_dict or s1 not in self.got_dict:
continue
if self.got_dict[s0] and self.got_dict[
s1] and self.process_dict[k] == False:
self.process_dict[k] = True
s0 = self.signalDict[s0][0]
s1 = self.signalDict[s1][0]
bar_s = VtBarData()
bar_s.vtSymbol = k
bar_s.symbol = k
bar_s.exchange = s0.bar.exchange
bar_s.date = s0.bar.date
bar_s.time = s0.bar.time
bar_s.close = s0.bar.close - s1.bar.close
bar_s.AskPrice = s0.bar.AskPrice - s1.bar.BidPrice
bar_s.BidPrice = s0.bar.BidPrice - s1.bar.AskPrice
# print(bar_s.time, bar_s.vtSymbol, bar_s.close, bar_s.AskPrice, bar_s.BidPrice)
self.engine.lock.acquire()
self.engine.bar_list.append(bar_s)
self.engine.lock.release()
except Exception as e:
s = traceback.format_exc()
to_log(s)
def _record_sell_order(self, ins_dict):
to_log('in record_sell_order')
df = pd.read_csv(self.holdFilename, dtype={'code': 'str'})
#获得原来的stock
pre_stock_index = df[(df.portfolio == ins_dict['portfolio'])
& (df.code == ins_dict['code']) &
(df.num == ins_dict['num']) &
(df.agent == ins_dict['agent'])].index.tolist()
if len(pre_stock_index) > 0:
pre_row = df.loc[pre_stock_index[0]]
#更新组合的profit
profit = ins_dict['cost'] * (1 - 0.0015) - pre_row['cost']
profit_index = df[(df.portfolio == ins_dict['portfolio'])
& (df.code == 'profit') &
(df.agent == ins_dict['agent'])].index.tolist()
df.loc[profit_index[0], 'cost'] += profit
#获得原来的cash, 并增加cash
pre_cash_index = df[(df.portfolio == 'cash') & (
df.agent == ins_dict['agent'])].index.tolist()
df.loc[pre_cash_index[0],
'cost'] += ins_dict['cost'] * (1 - 0.0015)
#删除原来的记录
df = df.drop(index=[pre_stock_index[0]])
#print(df)
df = df[['portfolio', 'code', 'cost', 'num', 'agent']]
df.to_csv(self.holdFilename, index=False)
else:
to_log('error, 原持仓记录不存在，sell_order无法处理')
def loadPortfolio(self, PortfolioClass, name):
"""加载投资组合"""
to_log('in FutEngine.loadPortfolio')
p = PortfolioClass(self, name)
p.init()
p.loadParam()
self.portfolio_list.append(p)
def down_data_0100():
to_log('in down_data_0100')
now = datetime.now()
weekday = int(now.strftime('%w'))
if 2 <= weekday <= 6:
print('\n' + str(now) + " down_data begin...")
down_data(dss)
def worker_open(self):
"""盘前加载配置及数据"""
try:
self.init_daily()
except Exception as e:
s = traceback.format_exc()
to_log(s)
def worker_close(self):
"""盘后保存及展示数据"""
to_log('in FutEngine.worker_close')
print('begin worker_close')
# 保存信号参数
for p in self.portfolio_list:
p.saveParam()
def get_cost_cap(self):
to_log('in Book.get_cost_cap')
cost, cap = 0, 0
for tactic in self.tactic_List:
cost1, cap1 = tactic.get_cost_cap()
cost += cost1
cap += cap1
return cost, cap
def ReqUserLogin(self, user: str, pwd: str, broker: str):
"""登录
:param user:
:param pwd:
:param broker:
"""
to_log('in CtpQuote.ReqUserLogin')
self.q.ReqUserLogin(BrokerID=broker, UserID=user, Password=pwd)
def ReqUserLogout(self):
"""退出接口(正常退出,不会触发OnFrontDisconnected)"""
to_log('in CtpQuote.ReqUserLogout')
self.q.Release()
# 确保隔夜或重新登录时的第1个tick不被发送到客户端
self.inst_tick.clear()
self.logined = False
self.OnDisConnected(self, 0)
def worker_1450(self):
"""盘中推送bar"""
to_log('in TradeEngine.worker_1450')
for p in self.portfolio_list:
for vtSymbol in p.vtSymbolList:
#print(vtSymbol)
df = None
i = 0
while df is None and i < 2:
try:
i += 1
df = ts.get_realtime_quotes(vtSymbol)
except Exception as e:
print('error get_realtime_quotes')
print(e)
time.sleep(0.1)
if df is None:
continue
code = vtSymbol
df1 = None
i = 0
while df1 is None and i < 2:
try:
i += 1
df1 = get_adj_factor(self.dss, code)
except Exception as e:
print('error adj_factor ' + code)
print(e)
time.sleep(0.1)
if df1 is None:
continue
factor = float(df1.at[0, 'adj_factor'])
d = df.loc[0, :]
bar = VtBarData()
bar.vtSymbol = vtSymbol
bar.symbol = vtSymbol
bar.open = float(d['open']) * factor
bar.high = float(d['high']) * factor
bar.low = float(d['low']) * factor
bar.close = float(d['price']) * factor
bar.close_bfq = float(d['price'])
date = d['date'].split('-') #去掉字符串中间的'-'
date = ''.join(date)
bar.date = date
bar.time = '00:00:00'
bar.datetime = datetime.strptime(bar.date + ' ' + bar.time,
'%Y%m%d %H:%M:%S')
bar.volume = float(d['volume'])
p.onBar(bar)
send_email(self.dss, 'worker_1450处理完毕', '')
def _OnRspUserLogin(self, pRspUserLogin: CThostFtdcRspUserLoginField,
pRspInfo: CThostFtdcRspInfoField, nRequestID: int,
bIsLast: bool):
""""""
to_log('in CtpQuote._OnRspUserLogin')
info = InfoField()
info.ErrorID = pRspInfo.getErrorID()
info.ErrorMsg = pRspInfo.getErrorMsg()
self.logined = True
self.OnUserLogin(self, info)
def mail_pdf(s):
try:
# 将url页面转化为pdf
url = 'http://114.116.190.167:5000/show_' + s
fn = 'web/static/out3.pdf'
pdfkit.from_url(url, fn)
send_email(dss, url[33:], '', [fn])
except Exception as e:
s = traceback.format_exc()
to_log(s)
def loadPortfolio(self, PortfolioClass, symbol_list):
"""加载投资组合"""
try:
p = PortfolioClass(self, symbol_list, {})
p.daily_open()
self.portfolio_list.append(p)
except Exception as e:
s = traceback.format_exc()
to_log(s)
to_log('加载投资组合出现异常')
