}
q_signals.put(signal)
knum = len(H)
signalall = buysigdetail.count(True)
avsigp = knum / signalall
sigsum2 = buysigdetail[(knum - avsigp):-2].count(
True) + sellsigdetail[(knum - avsigp):-2].count(True)
sigsum3 = sigsum2 * 2
pp = min((sigsum3 + 1), 8)
order_price = tick.LastPrice
# td.PrepareOrder(tick.InstrumentID, b, k, pp, order_price)
log.info(log.printfNow() + '下多单:' + str(pp) + ',orderprice:' +
str(order_price))
print('buy order issued.')
if sellsigdetail[-1]:
initFund += bkprofit * pp * instMultifier
skprofits = []
signal = {
'date_time': time.time(),
'signaltype': 'SK',
'signalprice': tick.LastPrice
}
q_signals.put(signal)
order_price = tick.LastPrice
class Trader(TraderApi):
def __init__(self,
broker_id,
investor_id,
password,
appid,
authcode,
productinfo,
request_id=1):
self.request_id = request_id
self.broker_id = broker_id.encode()
self.investor_id = investor_id.encode()
self.password = password.encode()
self.appid = appid.encode()
self.authcode = authcode.encode()
self.productinfo = productinfo
self.q_order = Queue.Queue()
self.logger = Logger()
@staticmethod
def is_error_rsp_info(info):
# print info
if info.ErrorID != 0:
print "ErrorID=", info.ErrorID, ", ErrorMsg=", info.ErrorMsg.decode(
'gbk')
return info.ErrorID != 0
def OnRspError(self, pRspInfo, nRequestID, bIsLast):
self.ErrorRspInfo(pRspInfo, nRequestID)
def ErrorRspInfo(self, info, request_id):
"""
:param info:
:return:
"""
if info.ErrorID != 0:
print('request_id=%s ErrorID=%d, ErrorMsg=%s', request_id,
info.ErrorID, info.ErrorMsg.decode('gbk'))
return info.ErrorID != 0
def OnHeartBeatWarning(self, nTimeLapse):
"""心跳超时警告。当长时间未收到报文时，该方法被调用。
@param nTimeLapse 距离上次接收报文的时间
"""
print("on OnHeartBeatWarning time: ", nTimeLapse)
def OnFrontDisconnected(self, nReason):
print("on FrontDisConnected disconnected", nReason)
def OnFrontConnected(self):
print('Front connected....')
req = ApiStruct.ReqAuthenticate(
BrokerID=self.broker_id,
UserID=self.investor_id,
UserProductInfo="client_vnpy",
# Password=self.password,
AppID=self.appid,
AuthCode=self.authcode)
r = self.ReqAuthenticate(req, self.inc_request_id())
print(r)
print('Req Authenticate finished...')
time.sleep(3)
# req = ApiStructure.ReqUserLoginField(BrokerID=self.broker_id,
# UserID=self.investor_id,
# Password=self.password)
# self.ReqUserLogin(req, self.request_id)
# print("trader on front connection")
def OnRspAuthenticate(self, pRspAuthenticateField, pRspInfo, nRequestID,
bIsLast):
# print(pRspAuthenticateField.AppType)
info.append(copy.deepcopy(pRspAuthenticateField))
print('client authenticate done. Req User login....')
time.sleep(3)
req = ApiStruct.ReqUserLogin(BrokerID=self.broker_id,
UserID=self.investor_id,
Password=self.password)
r = self.ReqUserLogin(req, self.inc_request_id())
print(r)
def OnRspUserLogin(self, pRspUserLogin, pRspInfo, nRequestID, bIsLast):
print('系统登录完成。user login done.')
print datetime.datetime.now(
), u"登录交易服务器...", bIsLast, pRspInfo.ErrorMsg.decode('gbk')
print datetime.datetime.now(), 'user_login:'******'交易服务器登录成功。', pRspUserLogin.BrokerID, pRspUserLogin.UserID
# Logger.info('OnRspUserLogin %s' % is_last)
req = ApiStruct.SettlementInfoConfirm(BrokerID=self.broker_id,
InvestorID=self.investor_id)
self.ReqSettlementInfoConfirm(req, self.inc_request_id())
print datetime.datetime.now(), 'SettlementInfo Confirm Requested.'
print datetime.datetime.now(), "get today's trading day:", repr(
self.GetTradingDay())
else:
print('something wrong, connect failed....')
#
#
# if pRspInfo.ErrorID != 0:
# print("server OnRspUserLogin failed error_id=%s msg:%s",
# pRspInfo.ErrorID, pRspInfo.ErrorMsg.decode('gbk'))
# else:
# print("Trader user login successfully")
#
# inv = ApiStruct.QryInvestor(BrokerID=self.broker_id, InvestorID=self.investor_id)
#
# self.ReqQryInvestor(inv, self.inc_request_id())
#
# req = ApiStruct.SettlementInfoConfirm(BrokerID = self.broker_id, InvestorID = self.investor_id)
#
# self.ReqSettlementInfoConfirm(req, self.inc_request_id())
# time.sleep(1)
def OnRspSettlementInfoConfirm(self, pSettlementInfoConfirm, pRspInfo,
nRequestID, bIsLast):
print(pSettlementInfoConfirm, pRspInfo)
"""投资者结算结果确认响应"""
print datetime.datetime.now(
), 'pSettlementInfoConfirm: ', pSettlementInfoConfirm
print datetime.datetime.now(
), 'pRspInfo: ', pRspInfo, pRspInfo.ErrorMsg.decode('gbk')
print datetime.datetime.now(), 'nRequestID: ', nRequestID
print datetime.datetime.now(), 'bIsLast: ', bIsLast
# info.append(pSettlementInfoConfirm)
print(pRspInfo.ErrorMsg.decode("GBK"))
def inc_request_id(self):
self.request_id += 1
return self.request_id
def OnRspQryInvestor(self, pInvestor, pRspInfo, nRequestID, bIsLast):
print(pInvestor, pRspInfo)
print pInvestor.InvestorName.decode('gbk'), pInvestor.Address.decode(
'gbk')
def OnRtnOrder(self, pOrder):
''' 报单通知
CTP、交易所接受报单
Agent中不区分，所得信息只用于撤单
'''
q_rtn_order.put(deepcopy(pOrder))
self.q_order.put(deepcopy(pOrder))
# print repr(pOrder)
self.logger.info(u'报单响应,Order=%s' % str(pOrder))
# print pOrder
if pOrder.OrderStatus == 'a':
# CTP接受，但未发到交易所
# print u'CTP接受Order，但未发到交易所, BrokerID=%s,BrokerOrderSeq = %s,TraderID=%s, OrderLocalID=%s' % (pOrder.BrokerID, pOrder.BrokerOrderSeq, pOrder.TraderID, pOrder.OrderLocalID)
self.logger.info(
u'TD:CTP接受Order，但未发到交易所, BrokerID=%s,BrokerOrderSeq = %s,TraderID=%s, OrderLocalID=%s'
% (pOrder.BrokerID, pOrder.BrokerOrderSeq, pOrder.TraderID,
pOrder.OrderLocalID))
# self.agent.rtn_order(pOrder)
else:
# print u'交易所接受Order,exchangeID=%s,OrderSysID=%s,TraderID=%s, OrderLocalID=%s' % (pOrder.ExchangeID, pOrder.OrderSysID, pOrder.TraderID, pOrder.OrderLocalID)
self.logger.info(
u'TD:交易所接受Order,exchangeID=%s,OrderSysID=%s,TraderID=%s, OrderLocalID=%s'
% (pOrder.ExchangeID, pOrder.OrderSysID, pOrder.TraderID,
pOrder.OrderLocalID))
# self.agent.rtn_order_exchange(pOrder)
# self.agent.rtn_order(pOrder)
def OnRtnTrade(self, pTrade):
'''成交通知'''
self.logger.info(
u'TD:成交通知,BrokerID=%s,BrokerOrderSeq = %s,exchangeID=%s,OrderSysID=%s,TraderID=%s, OrderLocalID=%s'
% (pTrade.BrokerID, pTrade.BrokerOrderSeq, pTrade.ExchangeID,
pTrade.OrderSysID, pTrade.TraderID, pTrade.OrderLocalID))
self.logger.info(u'TD:成交回报,Trade=%s' % repr(pTrade))
pt = deepcopy(pTrade)
# print u'报单成交：', pt.UserID, pt.InstrumentID, pt.Direction, pt.OffsetFlag, pt.Price
q_rtn_trade.put(pt)
# self.agent.rtn_trade(pTrade)
def sendOrder(traderSpi, order):
global mutex
mutex.acquire()
# print order
traderSpi.ReqOrderInsert(order, traderSpi.inc_request_id())
# DatabaseController.insert_SendOrder(order)
# print("sendOrder = " + order.InstrumentID + " dir = " + order.Direction)
# + " strategy = " + self.__module__)
# time.sleep(1)
mutex.release()
def formatOrder(self, inst, direc, open_close, volume, price):
orderp = ApiStruct.InputOrder(
InstrumentID=inst,
Direction=direc, # ApiStruct.D_Buy or ApiStruct.D_Sell
OrderRef=str(self.inc_request_id()),
LimitPrice=price,
VolumeTotalOriginal=volume,
OrderPriceType=ApiStruct.OPT_LimitPrice,
BrokerID=self.broker_id,
InvestorID=self.investor_id,
UserID=self.investor_id,
CombOffsetFlag=open_close, # OF_Open, OF_Close, OF_CloseToday
CombHedgeFlag=ApiStruct.HF_Speculation,
VolumeCondition=ApiStruct.VC_AV,
MinVolume=1,
ForceCloseReason=ApiStruct.FCC_NotForceClose,
IsAutoSuspend=1,
UserForceClose=0,
TimeCondition=ApiStruct.TC_GFD)
# print orderp
return orderp
def PrepareOrder(self, inst, direc, open_close, volume, price):
order = self.formatOrder(inst, direc, open_close, volume, price)
# print u'send order:', inst, u'price: ', price, u'amount:', volume
self.sendOrder(order)
def qryPosition(self, InstrumentID=''):
self.requestid += 1
if InstrumentID:
req = ApiStruct.QryInvestorPosition(BrokerID=self.broker_id,
InvestorID=self.investor_id,
InstrumentID=InstrumentID)
else:
req = ApiStruct.QryInvestorPosition(BrokerID=self.broker_id,
InvestorID=self.investor_id)
self.ReqQryInvestorPosition(req, self.requestid)
def OnRspQryInvestorPosition(self, pInvestorPosition, pRspInfo, nRequestID,
bIsLast):
# print pInvestorPosition
if pInvestorPosition is not None:
q_positions.put(copy.deepcopy(pInvestorPosition))
# if bIsLast:
# print pInvestorPosition,'tete'
# print pRspInfo
def fetch_investor_position_detail(self, instrument_id):
'''
获取合约的当前持仓明细，目前没用
'''
# logging.info(u'A:获取合约%s的当前持仓..' % (instrument_id,))
print
'get posi'
req = ApiStruct.QryInvestorPositionDetail(BrokerID=self.broker_id,
InvestorID=self.investor_id,
InstrumentID=instrument_id)
self.ReqQryInvestorPositionDetail(req, self.inc_request_id())
# logging.info(u'A:查询持仓, 函数发出返回值:%s' % r)
def fetch_instrument_marginrate(self, instrument_id):
req = ApiStruct.QryInstrumentMarginRate(
BrokerID=self.cuser.broker_id,
InvestorID=self.cuser.investor_id,
InstrumentID=instrument_id,
HedgeFlag=ApiStruct.HF_Speculation)
r = self.trader.ReqQryInstrumentMarginRate(req, self.inc_request_id())
logging.info(u'A:查询保证金率, 函数发出返回值:%s' % r)
def fetch_instrument(self, instrument_id):
req = ApiStruct.QryInstrument(InstrumentID=instrument_id, )
time.sleep(1)
r = self.trader.ReqQryInstrument(req, self.inc_request_id())
logging.info(u'A:查询合约, 函数发出返回值:%s' % r)
def rsp_qry_position(self, position):
'''
查询持仓回报, 每个合约最多得到4个持仓回报，历史多/空、今日多/空
'''
logging.info(u'agent 持仓:%s' % str(position))
if position != None:
cur_position = self.instruments[position.InstrumentID].position
if position.PosiDirection == ApiStruct.PD_Long:
if position.PositionDate == ApiStruct.PSD_Today:
cur_position.clong = position.Position # TodayPosition
else:
cur_position.hlong = position.Position # YdPosition
else: # 空头
if position.PositionDate == ApiStruct.PSD_Today:
cur_position.cshort = position.Position # TodayPosition
else:
cur_position.hshort = position.Position # YdPosition
else: # 无持仓信息，保持默认设置
pass
self.check_qry_commands()
def rsp_qry_instrument_marginrate(self, marginRate):
'''
查询保证金率回报.
'''
self.instruments[marginRate.InstrumentID].marginrate = (
marginRate.LongMarginRatioByMoney,
marginRate.ShortMarginRatioByMoney)
# print marginRate.InstrumentID,self.instruments[marginRate.InstrumentID].marginrate
self.check_qry_commands()
def rsp_qry_trading_account(self, account):
'''
查询资金帐户回报
'''
self.available = account.Available
self.check_qry_commands()
def rsp_qry_instrument(self, pinstrument):
'''
获得合约数量乘数.
这里的保证金率应该是和期货公司无关，所以不能使用
'''
if pinstrument.InstrumentID not in self.instruments:
logging.warning(u'A_RQI:收到未监控的合约查询:%s' %
(pinstrument.InstrumentID))
return
self.instruments[
pinstrument.InstrumentID].multiple = pinstrument.VolumeMultiple
self.instruments[pinstrument.InstrumentID].tick_base = int(
pinstrument.PriceTick * 10 + 0.1)
# print 'tick_base = %s' % (pinstrument.PriceTick,)
self.check_qry_commands()
def rsp_qry_position_detail(self, position_detail):
'''
查询持仓明细回报, 得到每一次成交的持仓,其中若已经平仓,则持量为0,平仓量>=1
必须忽略
'''
print
str(position_detail)
self.check_qry_commands()
def rsp_qry_order(self, sorder):
'''
查询报单
可以忽略
'''
self.check_qry_commands()
def rsp_qry_trade(self, strade):
'''
查询成交
可以忽略
'''
self.check_qry_commands()
def MovingBreak():
lastErrorID = 0
logfilename = BROKER_ID + '_' + INVESTOR_ID + '_交易日志' + str(today) + '.log'
log = Logger(logfilename=logfilename)
pc_grid = grid
s = S = ApiStruct.D_Sell
b = B = ApiStruct.D_Buy
k = K = ApiStruct.OF_Open
p = P = ApiStruct.OF_Close
pj = PJ = ApiStruct.OF_CloseToday
pz = PZ = ApiStruct.OF_CloseYesterday
# T['TE_RESUME'] = 'int' # 流重传方式
# TERT_RESTART = 0 # 从本交易日开始重传
# TERT_RESUME = 1 # 从上次收到的续传
# TERT_QUICK = 2 # 只传送登录后的流内容
# 登录行情服务器
md = MyMdApi(instruments=['rb1905'], broker_id=BROKER_ID, investor_id='*', password='******')
md.Create(INVESTOR_ID + "data")
md.RegisterFront(ADDR_MD)
md.Init()
td = MyTradeApi(broker_id=BROKER_ID, investor_id=INVESTOR_ID, passwd=PASSWORD)
td.Create(LOGS_DIR + INVESTOR_ID + "_trader")
td.RegisterFront(ADDR_TD)
td.SubscribePublicTopic(2)
td.SubscribePrivateTopic(2)
td.Init()
last_time = None
buy_order = 0
sell_order = 0
bp_total = 0
sp_total = 0
bk_limit = 1
sk_limit = 1
up_trader_flag = False
down_trader_flag = False
buy_rec = list()
sell_rec = list()
while True:
if not q_server_info.empty():
info = q_server_info.get()
# print info.ErrorID
lastErrorID = info.ErrorID
print('the last ErrorID is: ', lastErrorID)
if lastErrorID != 0:
# print 'release the api...'
# td.Release()
print(datetime.now(), 'reconnect the trading server.')
del td
sleep(60)
td = MyTradeApi(broker_id=BROKER_ID, investor_id=INVESTOR_ID, passwd=PASSWORD)
td.Create(LOGS_DIR + INVESTOR_ID + "_trader")
td.RegisterFront(ADDR_TD)
td.SubscribePublicTopic(2)
td.SubscribePrivateTopic(2)
# td.ReqUserLogout()
td.Init()
sleep(60)
if not q_depth_market_data.empty():
tick = q_depth_market_data.get()
tickToBar(tick,granularity=180)
D_open = tick.OpenPrice
lastk = get_last_k_line(bars, inst, granularity)
last_k_line = get_last_k_line(bars, inst, granularity)
print((lastk, datetime.now()))
O = get_k_line_column(bars, inst, granularity, ohlc='open')
H = get_k_line_column(bars, inst, granularity, ohlc='high')
L = get_k_line_column(bars, inst, granularity, ohlc='low')
C = get_k_line_column(bars, inst, granularity, ohlc='close')
# print(H[-3:],L[-3:], type(H[-1]))
HL = HLV(H, L)
MHL = max(HL)
MminHL = min(HL)
AVHL = sum(HL) / len(HL)
vgrid = int(AVHL * 0.8)
# calculate the uppper and lower band
HV = HHV(H, 23)
LV = LLV(L, 23)
# #middle line
Mid = MID(HV, LV)
# 根据叮当值调整仓位控制参数
# bk_limit = 2 if C[-1] > Mid[-1] else 0
# bk_limit = 2
# sk_limit = 2 if C[-1] < Mid[-1] else 0
# sk_limit = 2
# print tick.InstrumentID, strategy_inst
if lastk is not None and tick.InstrumentID == strategy_inst:
if last_time != last_k_line['date_time']:
last_time = last_k_line['date_time']
up_trader_flag = False
down_trader_flag = False
dingdang = 'Buy!' if tick.LastPrice > Mid[-1] else 'Sell'
bkvol = buy_order - sp_total if buy_order - sp_total > 0 else 0
skvol = sell_order - bp_total if sell_order - bp_total > 0 else 0
# bkvol = get_day_bkvol(td, strategy_inst)
# skvol = get_day_skvol(td, strategy_inst)
# outformat = "当前时间:{tick.UpdateTime}, High:{last_k_line['high']}"
# print(outformat)
print('当前时间: ', tick.UpdateTime, 'HIGH:', last_k_line['high'], ' ', 'LOW:', last_k_line[
'low'], '当前价: ', tick.LastPrice, '叮当值:', Mid[
-1], dingdang, 'buy_limit:', bk_limit, 'sell_limit:', sk_limit)
print('buy_order: ', buy_order, 'sell_order: ', sell_order, BROKER_ID, INVESTOR_ID, tick.InstrumentID, 'sp_total: ', sp_total, 'bp_total: ', bp_total, '日多:', bkvol, '日空:', skvol)
if not up_trader_flag and tick.LastPrice > last_k_line['high'] and bkvol < bk_limit:
# 下多单
print(bkvol, bk_limit)
up_trader_flag = True
order_price = tick.LastPrice
buy_rec.append([datetime.now(), order_price])
# if sell_order > 0:
# td.PrepareOrder(tick.InstrumentID, B, P, sell_order, order_price)
# sell_order -= sell_order
td.PrepareOrder(tick.InstrumentID, b, k, single_volume, order_price)
log.info(log.printfNow() + '下空单:' + str(single_volume) + ',orderprice:' + str(
order_price) + 'skvol:' + str(skvol) + 'sk_limit:' + str(sk_limit))
# td.PrepareOrder(tick.InstrumentID, s, pz, single_volume, tick.LastPrice)
info = 'buy: ' + tick.InstrumentID +' '+ str(order_price)
mailsender(info, receivers)
print('下多单', tick.InstrumentID, INVESTOR_ID, str(single_volume) + ',orderprice:' + str(
order_price) + 'skvol:' + str(skvol) + 'sk_limit:' + str(sk_limit))
print('lastHigh:', last_k_line['high'], 'lastLow: ', last_k_line[
'low'], 'lastPrice: ', tick.LastPrice)
if not down_trader_flag and tick.LastPrice < last_k_line['low'] and skvol < sk_limit:
# 下空单
down_trader_flag = True
order_price = tick.LastPrice
# if buy_order > 0:
# td.PrepareOrder(tick.InstrumentID, S, P, buy_order, tick.LastPrice - pc_grid)
# buy_order -= buy_order
td.PrepareOrder(tick.InstrumentID, s, k, single_volume, order_price)
log.info(log.printfNow() + '下空单:' + str(single_volume) + ',orderprice:' + str(
order_price) + 'skvol:' + str(skvol) + 'sk_limit:' + str(sk_limit))
# td.PrepareOrder(tick.InstrumentID, b, pz, single_volume, tick.LastPrice)
info = 'sell: ' + tick.InstrumentID + ' ' + str(order_price)
mailsender(info, receivers)
print('下空单', tick.InstrumentID, INVESTOR_ID, ', orderprice:' + str(order_price) + ', skvol:' + str(
skvol) + ', sk_limit:' + str(sk_limit))
print('lastHigh:', last_k_line['high'], 'lastLow: ', last_k_line[
'low'], 'lastPrice: ', tick.LastPrice)
if not q_bar.empty():
bartmp = q_bar.get()
bars[barinterval].append(bartmp)
if not q_rtn_order.empty():
rtn_order = q_rtn_order.get()
print(rtn_order)
print('下单成功，请注意。。。')
if not q_rtn_trade.empty():
rtn_td = q_rtn_trade.get()
print('下单成交', rtn_td)
'''
Trade(BrokerID='0127', InvestorID='200277', InstrumentID='ni1811', OrderRef='69169', UserID='200277',
ExchangeID='SHFE', TradeID=' 652868', Direction='0', OrderSysID=' 2413585',
ParticipantID='0011', ClientID='01789993', TradingRole='\x00', ExchangeInstID='ni1811',
OffsetFlag='0', HedgeFlag='1', Price=112560.0, Volume=1, TradeDate='20180727',
TradeTime='23:52:48', TradeType='\x00', PriceSource='\x00', TraderID='0011c6c',
OrderLocalID=' 684', ClearingPartID='0011', BusinessUnit='', SequenceNo=1536,
TradingDay='20180730', SettlementID=1, BrokerOrderSeq=2310, TradeSource='0')
'''
# k
if rtn_td.Direction == B: # 方向 多
if rtn_td.OffsetFlag == K and rtn_td.InstrumentID == strategy_inst: # 多单开仓成交，下平仓指令， 开盘价+30
buy_order += rtn_td.Volume
order_price = rtn_td.Price + grid
bkvol += rtn_td.Volume
td.PrepareOrder(rtn_td.InstrumentID, s, pj, rtn_td.Volume, order_price)
info = tick.InstrumentID + '多单建仓成交，平仓单挂单。。。' + str(order_price)
print(info)
# mailsender(info, receivers)
elif rtn_td.OffsetFlag in [P, PJ, PZ] and rtn_td.InstrumentID == strategy_inst: # 平仓，
print(rtn_td)
bp_total += rtn_td.Volume
sell_order -= rtn_td.Volume
skvol -= rtn_td.Volume
info = '平仓单成交。。。'
print(info)
# mailsender(info,receivers)
elif rtn_td.Direction == S: # 方向：空
if rtn_td.OffsetFlag == K and rtn_td.InstrumentID == strategy_inst: # 开仓
# 空单建仓成交
sell_order += rtn_td.Volume
skvol += rtn_td.Volume
order_price = rtn_td.Price - grid
td.PrepareOrder(rtn_td.InstrumentID, b, pj, rtn_td.Volume, order_price)
info = '空单建仓成交，平仓单挂单。。。'
print(info)
# mailsender(info, receivers)
elif rtn_td.OffsetFlag in [P, PJ, PZ] and rtn_td.InstrumentID == strategy_inst:
sp_total += rtn_td.Volume
buy_order -= rtn_td.Volume
bkvol -= rtn_td.Volume
info = '平仓单成交' + str(rtn_td.TradeTime)+ rtn_td.InstrumentID
print(info)
# mailsender(info, receivers)
print(rtn_td.TradeTime, rtn_td.InstrumentID)
def DingDangNo6():
logfilename = BROKER_ID + '_' + INVESTOR_ID + '_交易日志' + str(today) + '.log'
log = Logger(logfilename=logfilename)
config = incept_config()
load_data_from_file()
init_k_line_pump()
workdays = TradingPeriod.get_workdays(begin=config['begin'],
end=config['end'])
workdays_exchange_trading_period_by_ts = \
TradingPeriod.get_workdays_exchange_trading_period(
_workdays=workdays, exchange_trading_period=EXCHANGE_TRADING_PERIOD)
inst = 'rb1905'
granularity = 780
serverport = 'http://192.168.1.19:8008'
bars = dict()
barss = load_data_from_server(server_base=serverport,
instruments_id=inst,
granularity=granularity)
barinterval = inst + '_' + str(granularity)
bars[barinterval] = barss
if today in workdays_exchange_trading_period_by_ts:
trading_period_by_ts = workdays_exchange_trading_period_by_ts[today]
else:
print('Not trading day, return to system.')
return
pc_grid = grid
s = S = ApiStruct.D_Sell
b = B = ApiStruct.D_Buy
k = K = ApiStruct.OF_Open
p = P = ApiStruct.OF_Close
pj = PJ = ApiStruct.OF_CloseToday
pz = PZ = ApiStruct.OF_CloseYesterday
# T['TE_RESUME'] = 'int' # 流重传方式
# TERT_RESTART = 0 # 从本交易日开始重传
# TERT_RESUME = 1 # 从上次收到的续传
# TERT_QUICK = 2 # 只传送登录后的流内容
# 登录行情服务器
md = MyMdApi(instruments=inst,
broker_id=BROKER_ID,
investor_id=INVESTOR_ID,
password=PASSWORD)
md.Create(INVESTOR_ID + "data")
md.RegisterFront(ADDR_MD)
md.Init()
td = MyTradeApi(broker_id=BROKER_ID,
investor_id=INVESTOR_ID,
passwd=PASSWORD)
td.Create(LOGS_DIR + INVESTOR_ID + "_trader")
td.RegisterFront(ADDR_TD)
td.SubscribePublicTopic(1)
td.SubscribePrivateTopic(1)
td.Init()
last_time = None
up_trader_flag = False
down_trader_flag = False
while True:
if not q_depth_market_data.empty():
tick = q_depth_market_data.get()
sewing_data_to_file_and_depositary(depth_market_data=tick)
last_k_line = get_last_k_line(instrument_id=inst[0],
interval=period)
DayOpen = tick.OpenPrice
DayHigh = tick.HighestPrice
DayLow = tick.LowestPrice
H = get_k_line_column(strategy_inst, strategy_period, ohlc='high')
L = get_k_line_column(strategy_inst, strategy_period, ohlc='low')
C = get_k_line_column(strategy_inst, strategy_period, ohlc='close')
HL = HLV(H, L)
MHL = max(HL)
MminHL = min(HL)
AVHL = sum(HL) / len(HL)
vgrid = int(AVHL * 0.8)
# calculate the uppper and lower band
HV = HHV(H, 23)
LV = LLV(L, 23)
# #middle line
DingDang = MID(HV, LV)
allsig = cross(C, DingDang)[0] * 2
if last_k_line is not None and tick.InstrumentID == strategy_inst:
if last_time != last_k_line['date_time']:
last_time = last_k_line['date_time']
up_trader_flag = False
down_trader_flag = False
dingdang = 'Buy!' if tick.LastPrice > Mid[-1] else 'Sell'
bkvol = buy_order - sp_total if buy_order - sp_total > 0 else 0
skvol = sell_order - bp_total if sell_order - bp_total > 0 else 0
# bkvol = get_day_bkvol(td, strategy_inst)
# skvol = get_day_skvol(td, strategy_inst)
print('当前时间: ', tick.UpdateTime, 'HIGH:', last_k_line['high'],
' ', 'LOW:', last_k_line['low'], '当前价: ',
tick.LastPrice, '叮当值:', Mid[-1], dingdang, 'buy_limit:',
bk_limit, 'sell_limit:', sk_limit)
print('buy_order: ', buy_order, 'sell_order: ', sell_order,
BROKER_ID, INVESTOR_ID, tick.InstrumentID, 'sp_total: ',
sp_total, 'bp_total: ', bp_total, '日多:', bkvol, '日空:',
skvol)
if (not up_trader_flag and not last_k_line['low'] == last_k_line['high']) and tick.LastPrice > \
last_k_line['high'] and tick.LastPrice - last_k_line['high'] < 30 and bkvol < bk_limit:
# 下多单
print(bkvol, bk_limit)
up_trader_flag = True
order_price = tick.LastPrice
buy_rec.append([datetime.now(), order_price])
# if sell_order > 0:
# td.PrepareOrder(tick.InstrumentID, B, P, sell_order, tick.LastPrice + pc_grid)
# sell_order -= sell_order
td.PrepareOrder(tick.InstrumentID, b, k, single_volume,
order_price)
log.info(log.printfNow() + '下空单:' + str(single_volume) +
',orderprice:' + str(order_price) + 'skvol:' +
str(skvol) + 'sk_limit:' + str(sk_limit))
# td.PrepareOrder(tick.InstrumentID, s, pz, single_volume, tick.LastPrice)
print()
print(
'下多单', tick.InstrumentID, INVESTOR_ID,
str(single_volume) + ',orderprice:' +
str(order_price) + 'skvol:' + str(skvol) +
'sk_limit:' + str(sk_limit))
print('lastHigh:', last_k_line['high'], 'lastLow: ',
last_k_line['low'], 'lastPrice: ', tick.LastPrice)
if (not down_trader_flag and not last_k_line['low'] == last_k_line['high']) and tick.LastPrice < \
last_k_line['low'] and (last_k_line['low'] - tick.LastPrice < 30) and skvol < sk_limit:
# 下空单
down_trader_flag = True
order_price = tick.LastPrice
# if buy_order > 0:
# td.PrepareOrder(tick.InstrumentID, S, P, buy_order, tick.LastPrice - pc_grid)
#
# buy_order -= buy_order
td.PrepareOrder(tick.InstrumentID, s, k, single_volume,
order_price)
log.info(log.printfNow() + '下空单:' + str(single_volume) +
',orderprice:' + str(order_price) + 'skvol:' +
str(skvol) + 'sk_limit:' + str(sk_limit))
# td.PrepareOrder(tick.InstrumentID, b, pz, single_volume, tick.LastPrice)
print()
print(
'下空单', tick.InstrumentID, INVESTOR_ID,
', orderprice:' + str(order_price) + ', skvol:' +
str(skvol) + ', sk_limit:' + str(sk_limit))
print('lastHigh:', last_k_line['high'], 'lastLow: ',
last_k_line['low'], 'lastPrice: ', tick.LastPrice)
if not q_rtn_order.empty():
rtn_order = q_rtn_order.get()
print(rtn_order)
print('下单成功，请注意。。。')
if not q_rtn_trade.empty():
rtn_td = q_rtn_trade.get()
print(rtn_td)
'''
Trade(BrokerID='0127', InvestorID='200277', InstrumentID='ni1811', OrderRef='69169', UserID='200277',
ExchangeID='SHFE', TradeID=' 652868', Direction='0', OrderSysID=' 2413585',
ParticipantID='0011', ClientID='01789993', TradingRole='\x00', ExchangeInstID='ni1811',
OffsetFlag='0', HedgeFlag='1', Price=112560.0, Volume=1, TradeDate='20180727',
TradeTime='23:52:48', TradeType='\x00', PriceSource='\x00', TraderID='0011c6c',
OrderLocalID=' 684', ClearingPartID='0011', BusinessUnit='', SequenceNo=1536,
TradingDay='20180730', SettlementID=1, BrokerOrderSeq=2310, TradeSource='0')
'''
# k
if rtn_td.Direction == B: # 方向 多
if rtn_td.OffsetFlag == K and rtn_td.InstrumentID == strategy_inst: # 多单开仓成交，下平仓指令， 开盘价+30
buy_order += rtn_td.Volume
order_price = rtn_td.Price + grid
td.PrepareOrder(rtn_td.InstrumentID, s, pj, rtn_td.Volume,
order_price)
print('多单建仓成交，平仓单挂单。。。')
elif rtn_td.OffsetFlag in [
P, PJ, PZ
] and rtn_td.InstrumentID == strategy_inst: # 平仓，
bp_total += rtn_td.Volume
elif rtn_td.Direction == S: # 方向：空
if rtn_td.OffsetFlag == K and rtn_td.InstrumentID == strategy_inst: # 开仓
# 空单建仓成交
sell_order += rtn_td.Volume
order_price = rtn_td.Price - grid
td.PrepareOrder(rtn_td.InstrumentID, b, pj, rtn_td.Volume,
order_price)
print('空单建仓成交，平仓单挂单。。。')
elif rtn_td.OffsetFlag in [
P, PJ, PZ
] and rtn_td.InstrumentID == strategy_inst:
sp_total += rtn_td.Volume
print(rtn_td.TradeTime, rtn_td.InstrumentID)