def run_config(name, config_file, tday = datetime.date.today(), agent_class = 'agent.Agent'):
base.config_logging("ctp_" + name + ".log", level=logging.DEBUG,
format = '%(name)s:%(funcName)s:%(lineno)d:%(asctime)s %(levelname)s %(message)s',
to_console = True,
console_level = logging.INFO)
myApp = MainApp(name, tday, config_file, agent_class = agent_class, master = None)
myGui = Gui(myApp)
# myGui.iconbitmap(r'c:\Python27\DLLs\thumbs-up-emoticon.ico')
myGui.mainloop()
def prod_trade(tday, name='prod_trade'):
base.config_logging(
"ctp_" + name + ".log",
level=logging.DEBUG,
format=
'%(name)s:%(funcName)s:%(lineno)d:%(asctime)s %(levelname)s %(message)s',
to_console=True,
console_level=logging.INFO)
trader_cfg = misc.HT_DN_TD
user_cfg = misc.HT_DN_MD
ins_setup = {
'm1605': (1, 0.7, 0.0, 2, False),
'RM605': (1, 0.6, 0.0, 2, False),
'y1605': (0, 0.8, 0.0, 1, False),
'p1605': (1, 0.9, 0.0, 1, False),
'OI601': (0, 0.7, 0.0, 0, False),
'a1601': (0, 1.0, 0.0, 2, False),
'rb1605': (0, 0.6, 0.0, 4, False),
'l1605': (0, 0.7, 0.0, 1, False),
'pp1601': (4, 0.3, 0.0, 1, False),
'TA601': (1, 0.6, 0.0, 1, False),
'MA601': (1, 0.8, 0.0, 2, False),
'jd1601': (1, 0.8, 0.0, 1, False),
'SR605': (1, 0.8, 0.0, 1, False),
}
insts = ins_setup.keys()
units_dt = [ins_setup[inst][3] for inst in insts]
under_dt = [[inst] for inst in insts]
vol_dt = [[1] for inst in insts]
ratios = [[ins_setup[inst][1], ins_setup[inst][2]] for inst in insts]
lookbacks = [ins_setup[inst][0] for inst in insts]
daily_close = [ins_setup[inst][4] for inst in insts]
dt_strat = strat_dt.DTTrader('ProdDT',
under_dt,
vol_dt,
trade_unit=units_dt,
ratios=ratios,
lookbacks=lookbacks,
agent=None,
daily_close=daily_close,
email_notify=[],
ma_win=10)
strategies = [dt_strat]
folder = misc.get_prod_folder()
strat_cfg = {'strategies': strategies, \
'folder': folder, \
'daily_data_days':4, \
'min_data_days':1 }
myApp = MainApp(name,
trader_cfg,
user_cfg,
strat_cfg,
tday,
master=None,
save_test=False)
myGui = Gui(myApp)
myGui.mainloop()
def option_test(tday, name='option_test'):
base.config_logging("ctp_" + name + ".log", level=logging.DEBUG,
format = '%(name)s:%(funcName)s:%(lineno)d:%(asctime)s %(levelname)s %(message)s',
to_console = True,
console_level = logging.INFO)
trader_cfg = misc.TEST_TRADER
user_cfg = misc.TEST_USER
opt_strat = optionarb.OptionArbStrat(name,
['IF1509', 'IF1512'],
[201509, 201512],
[[3400, 3500, 3600, 3650, 3700, 3750, 3800, 3850, 3900, 4000, 4100]]*2)
ins_setup = {'IF1509':1}
insts = ins_setup.keys()
units_tl = [ins_setup[inst] for inst in insts]
under_tl = [[inst] for inst in insts]
vol_tl = [[1] for inst in insts]
tl_strat = strat_tl.TurtleTrader('ProdTL', under_tl, vol_tl, trade_unit = units_tl,
agent = None, email_notify = [])
ins_setup = {'IF1509':(0, 0.7, 0.0, 1, False)}
insts = ins_setup.keys()
units_dt = [ins_setup[inst][3] for inst in insts]
under_dt = [[inst] for inst in insts]
vol_dt = [[1] for inst in insts]
ratios = [[ins_setup[inst][1], ins_setup[inst][2]] for inst in insts]
lookbacks = [ins_setup[inst][0] for inst in insts]
daily_close = [ins_setup[inst][4] for inst in insts]
dt_strat = strat_dt.DTTrader('ProdDT', under_dt, vol_dt, trade_unit = units_dt,
ratios = ratios, lookbacks = lookbacks,
agent = None, daily_close = daily_close,
email_notify = [])
ins_setup = {'IF1509': [[0.3, 0.07, 0.2], 1, 30, 1]}
insts = ins_setup.keys()
units_rb = [ins_setup[inst][1] for inst in insts]
under_rb = [[inst] for inst in insts]
vol_rb = [[1] for inst in insts]
ratios = [ins_setup[inst][0] for inst in insts]
min_rng = [ins_setup[inst][2] for inst in insts]
freq = [ins_setup[inst][3] for inst in insts]
stop_loss = 0.015
rb_strat = strat_rb.RBreakerTrader('ProdRB', under_rb, vol_rb, trade_unit = units_rb,
ratios = ratios, min_rng = min_rng, trail_loss = stop_loss, freq = freq,
agent = None, email_notify = [])
strategies = [tl_strat, dt_strat, rb_strat]
folder = misc.get_prod_folder()
strat_cfg = {'strategies': strategies, \
'folder': folder, \
'daily_data_days':21, \
'min_data_days':1,
'enable_option': True }
myApp = MainApp(name, trader_cfg, user_cfg, strat_cfg, tday, master = None, save_test = False)
myGui = Gui(myApp)
myGui.mainloop()
def Soymeal_Opt(tday, name='Soymeal_Opt'):
base.config_logging("ctp_" + name + ".log", level=logging.DEBUG,
format = '%(name)s:%(funcName)s:%(lineno)d:%(asctime)s %(levelname)s %(message)s',
to_console = True,
console_level = logging.INFO)
trader_cfg = misc.HT_OPTSIM_TRADER
user_cfg = misc.HT_OPTSIM_USER
ins_setup = {'m1601':5,
'm1605':5}
insts = ins_setup.keys()
units_tl = [ins_setup[inst] for inst in insts]
under_tl = [[inst] for inst in insts]
vol_tl = [[1] for inst in insts]
tl_strat = strat_tl.TurtleTrader('ProdTL', under_tl, vol_tl, trade_unit = units_tl,
agent = None, email_notify = [])
ins_setup = {'m1601':(0, 0.5, 0.0, 10, False),
'm1605':(0, 0.5, 0.0, 10, False)}
insts = ins_setup.keys()
units_dt = [ins_setup[inst][3] for inst in insts]
under_dt = [[inst] for inst in insts]
vol_dt = [[1] for inst in insts]
ratios = [[ins_setup[inst][1], ins_setup[inst][2]] for inst in insts]
lookbacks = [ins_setup[inst][0] for inst in insts]
daily_close = [ins_setup[inst][4] for inst in insts]
dt_strat = strat_dt.DTTrader('ProdDT', under_dt, vol_dt, trade_unit = units_dt,
ratios = ratios, lookbacks = lookbacks,
agent = None, daily_close = daily_close,
email_notify = [])
ins_setup = {'m1601': [[0.3, 0.07, 0.2], 1, 30, 5],
'm1605': [[0.3, 0.07, 0.2], 1, 30, 5]}
insts = ins_setup.keys()
units_rb = [ins_setup[inst][1] for inst in insts]
under_rb = [[inst] for inst in insts]
vol_rb = [[1] for inst in insts]
ratios = [ins_setup[inst][0] for inst in insts]
min_rng = [ins_setup[inst][2] for inst in insts]
freq = [ins_setup[inst][3] for inst in insts]
stop_loss = 0.015
rb_strat = strat_rb.RBreakerTrader('ProdRB', under_rb, vol_rb, trade_unit = units_rb,
ratios = ratios, min_rng = min_rng, trail_loss = stop_loss, freq = freq,
agent = None, email_notify = [])
strategies = [tl_strat, dt_strat, rb_strat]
folder = misc.get_prod_folder()
strat_cfg = {'strategies': strategies, \
'folder': folder, \
'daily_data_days':21, \
'min_data_days':1,
'enable_option': True }
myApp = MainApp(name, trader_cfg, user_cfg, strat_cfg, tday, master = None, save_test = True)
myGui = Gui(myApp)
myGui.mainloop()
def run_gui(config_file, tday):
with open(config_file, 'r') as infile:
config = json.load(infile)
name = config.get('name', 'test_agent')
base.config_logging(
name + "/" + name + ".log",
level=logging.DEBUG,
format=
'%(name)s:%(funcName)s:%(lineno)d:%(asctime)s %(levelname)s %(message)s',
to_console=True,
console_level=logging.INFO)
scur_day = datetime.datetime.strptime(tday, '%Y%m%d').date()
myApp = MainApp(scur_day, config, master=None)
myGui = Gui(myApp)
# myGui.iconbitmap(r'c:\Python27\DLLs\thumbs-up-emoticon.ico')
myGui.mainloop()
def run_gui(name, config_file, tday, agent_class='agent.Agent'):
base.config_logging(
name + "\\" + name + ".log",
level=logging.DEBUG,
format=
'%(name)s:%(funcName)s:%(lineno)d:%(asctime)s %(levelname)s %(message)s',
to_console=True,
console_level=logging.INFO)
scur_day = datetime.datetime.strptime(tday, '%Y%m%d').date()
myApp = MainApp(name,
scur_day,
config_file,
agent_class=agent_class,
master=None)
myGui = Gui(myApp)
# myGui.iconbitmap(r'c:\Python27\DLLs\thumbs-up-emoticon.ico')
myGui.mainloop()
def save_ctp(tday, config_file, filter = False):
base.config_logging("save_all_agent.log", level=logging.DEBUG,
format = '%(name)s:%(funcName)s:%(lineno)d:%(asctime)s %(levelname)s %(message)s',
to_console = True,
console_level = logging.INFO)
app_name = 'SaveAgent'
scur_day = datetime.datetime.strptime(tday, '%Y%m%d').date()
save_agent = agent.SaveAgent(name = app_name, tday = scur_day, config_file = config_file)
curr_insts = filter_main_cont(tday, False)
for inst in curr_insts:
save_agent.add_instrument(inst)
try:
save_agent.restart()
while 1:
time.sleep(1)
except KeyboardInterrupt:
save_agent.exit()
def save_lts_test(tday):
prod_md = misc.LTS_SO_USER
base.config_logging("save_lts_test.log", level=logging.DEBUG,
format = '%(name)s:%(funcName)s:%(lineno)d:%(asctime)s %(levelname)s %(message)s',
to_console = True,
console_level = logging.INFO)
save_insts = ['510050']
app_name = 'SaveAgent'
config = {'daily_data_days': 0, 'min_data_days': 0}
my_agent = agent.SaveAgent(name = app_name, trader = None, cuser = None, instruments=save_insts, tday = tday, config = config)
lts_api.make_user(my_agent, prod_md)
try:
my_agent.resume()
while 1:
time.sleep(1)
except KeyboardInterrupt:
my_agent.exit()
def save_ctp(tday):
prod_md = misc.HT_PROD_MD
base.config_logging("save_all_agent.log", level=logging.DEBUG,
format = '%(name)s:%(funcName)s:%(lineno)d:%(asctime)s %(levelname)s %(message)s',
to_console = True,
console_level = logging.INFO)
save_insts = filter_main_cont(tday, filter = False)
print "total inst = %s" % len(save_insts)
app_name = 'SaveAgent'
config = {'daily_data_days': 0, 'min_data_days': 0}
my_agent = agent.SaveAgent(name = app_name, trader = None, cuser = None, instruments=save_insts,tday = tday, config = config)
ctp_api.make_user(my_agent, prod_md)
try:
my_agent.resume()
while 1:
time.sleep(1)
except KeyboardInterrupt:
my_agent.exit()
def run_proxy_server(config_file, tday):
with open(config_file, 'r') as infile:
config = json.load(infile)
name = config.get('name', 'test_agent')
base.config_logging(name + "/" + name + ".log", level=logging.DEBUG,
format='%(name)s:%(funcName)s:%(lineno)d:%(asctime)s %(levelname)s %(message)s',
to_console=True,
console_level=logging.INFO)
scur_day = datetime.datetime.strptime(tday, '%Y%m%d').date()
rep_address = config.get('rep_address', 'tcp://*:10010')
pub_address = config.get('pub_address', 'tcp://*:10020')
proxy_app = ProxyRpcServer(rep_address, pub_address, config, scur_day)
proxy_app.start()
try:
while 1:
time.sleep(1)
except KeyboardInterrupt:
proxy_app.exit_agent()
def save(name, config_file, tday, filter):
base.config_logging(name + "\\" + name + ".log", level=logging.DEBUG,
format = '%(name)s:%(funcName)s:%(lineno)d:%(asctime)s %(levelname)s %(message)s',
to_console = True,
console_level = logging.INFO)
scur_day = datetime.datetime.strptime(tday, '%Y%m%d').date()
filter_flag = (int(filter)>0)
with open(config_file, 'r') as infile:
config = json.load(infile)
save_agent = agent.SaveAgent(name = name, tday = scur_day, config = config)
curr_insts = misc.filter_main_cont(tday, filter_flag)
for inst in curr_insts:
save_agent.add_instrument(inst)
try:
save_agent.restart()
while 1:
time.sleep(1)
except KeyboardInterrupt:
save_agent.exit()
def save_ctp(tday, config_file, filter = False):
base.config_logging("save_all_agent.log", level=logging.DEBUG,
format = '%(name)s:%(funcName)s:%(lineno)d:%(asctime)s %(levelname)s %(message)s',
to_console = True,
console_level = logging.INFO)
app_name = 'SaveAgent'
scur_day = datetime.datetime.strptime(tday, '%Y%m%d').date()
config = {}
with open(config_file, 'r') as infile:
config = json.load(infile)
save_agent = agent.SaveAgent(name = app_name, tday = scur_day, config = config)
curr_insts = filter_main_cont(tday, False)
for inst in curr_insts:
save_agent.add_instrument(inst)
try:
save_agent.restart()
while 1:
time.sleep(1)
except KeyboardInterrupt:
save_agent.exit()
def run(name, config_file, tday, agent_class='agent.Agent'):
base.config_logging(
name + "\\" + name + ".log",
level=logging.DEBUG,
format=
'%(name)s:%(funcName)s:%(lineno)d:%(asctime)s %(levelname)s %(message)s',
to_console=True,
console_level=logging.INFO)
scur_day = datetime.datetime.strptime(tday, '%Y%m%d').date()
cls_str = agent_class.split('.')
with open(config_file, 'r') as infile:
config = json.load(infile)
agent_cls = getattr(__import__(str(cls_str[0])), str(cls_str[1]))
agent = agent_cls(name=name, tday=scur_day, config=config)
try:
agent.restart()
while 1:
time.sleep(1)
except KeyboardInterrupt:
agent.exit()
def prod_trade(tday, name='prod_trade'):
base.config_logging("ctp_" + name + ".log", level=logging.DEBUG,
format = '%(name)s:%(funcName)s:%(lineno)d:%(asctime)s %(levelname)s %(message)s',
to_console = True,
console_level = logging.INFO)
trader_cfg = misc.HT_DN_TD
user_cfg = misc.HT_DN_MD
ins_setup = {'m1605':(1, 0.7, 0.0, 2, False),
'RM605': (1, 0.6, 0.0, 2, False),
'y1605': (0, 0.8, 0.0, 1, False),
'p1605': (1, 0.9, 0.0, 1, False),
'OI601': (0, 0.7, 0.0, 0, False),
'a1601': (0, 1.0, 0.0, 2, False),
'rb1605':(0, 0.6, 0.0, 4, False),
'l1605': (0, 0.7, 0.0, 1, False),
'pp1601':(4, 0.3, 0.0, 1, False),
'TA601' :(1, 0.6, 0.0, 1, False),
'MA601' :(1, 0.8, 0.0, 2, False),
'jd1601':(1 ,0.8, 0.0, 1, False),
'SR605': (1, 0.8, 0.0, 1, False),
}
insts = ins_setup.keys()
units_dt = [ins_setup[inst][3] for inst in insts]
under_dt = [[inst] for inst in insts]
vol_dt = [[1] for inst in insts]
ratios = [[ins_setup[inst][1], ins_setup[inst][2]] for inst in insts]
lookbacks = [ins_setup[inst][0] for inst in insts]
daily_close = [ins_setup[inst][4] for inst in insts]
dt_strat = strat_dt.DTTrader('ProdDT', under_dt, vol_dt, trade_unit = units_dt,
ratios = ratios, lookbacks = lookbacks,
agent = None, daily_close = daily_close,
email_notify = [], ma_win = 10)
strategies = [dt_strat]
folder = misc.get_prod_folder()
strat_cfg = {'strategies': strategies, \
'folder': folder, \
'daily_data_days':4, \
'min_data_days':1 }
myApp = MainApp(name, trader_cfg, user_cfg, strat_cfg, tday, master = None, save_test = False)
myGui = Gui(myApp)
myGui.mainloop()
def run_proxy_server(config_file, tday):
with open(config_file, 'r') as infile:
config = json.load(infile)
name = config.get('name', 'test_agent')
base.config_logging(
name + "/" + name + ".log",
level=logging.DEBUG,
format=
'%(name)s:%(funcName)s:%(lineno)d:%(asctime)s %(levelname)s %(message)s',
to_console=True,
console_level=logging.INFO)
scur_day = datetime.datetime.strptime(tday, '%Y%m%d').date()
rep_address = config.get('rep_address', 'tcp://*:10010')
pub_address = config.get('pub_address', 'tcp://*:10020')
proxy_app = ProxyRpcServer(rep_address, pub_address, config, scur_day)
proxy_app.start()
try:
while 1:
time.sleep(1)
except KeyboardInterrupt:
proxy_app.exit_agent()
def save(name, config_file, tday, filter):
base.config_logging(
name + "\\" + name + ".log",
level=logging.DEBUG,
format=
'%(name)s:%(funcName)s:%(lineno)d:%(asctime)s %(levelname)s %(message)s',
to_console=True,
console_level=logging.INFO)
scur_day = datetime.datetime.strptime(tday, '%Y%m%d').date()
filter_flag = (int(filter) > 0)
with open(config_file, 'r') as infile:
config = json.load(infile)
save_agent = agent.SaveAgent(name=name, tday=scur_day, config=config)
curr_insts = misc.filter_main_cont(tday, filter_flag)
for inst in curr_insts:
save_agent.add_instrument(inst)
try:
save_agent.restart()
while 1:
time.sleep(1)
except KeyboardInterrupt:
save_agent.exit()
def prod_test(tday, name='prod_test'):
base.config_logging("ctp_" + name + ".log", level=logging.DEBUG,
format = '%(name)s:%(funcName)s:%(lineno)d:%(asctime)s %(levelname)s %(message)s',
to_console = True,
console_level = logging.INFO)
trader_cfg = None
user_cfg = misc.HT_PROD_MD
# ins_setup = {'ru1605': [[0.35, 0.08, 0.25], 1, 120, 3],
# 'rb1605': [[0.25, 0.05, 0.15], 5, 20, 3],
# 'RM605' : [[0.35, 0.07, 0.25], 4, 20, 1],
# 'm1605' : [[0.35, 0.07, 0.25], 4, 30, 3],
# 'ag1606': [[0.4, 0.1, 0.3], 4, 40, 5],
# 'y1605' : [[0.25, 0.05, 0.15], 4, 60, 1],
# 'cu1603': [[0.25, 0.05, 0.15], 1, 700, 1]}
# insts = ins_setup.keys()
# units_rb = [ins_setup[inst][1] for inst in insts]
# under_rb = [[inst] for inst in insts]
# vol_rb = [[1] for inst in insts]
# ratios = [ins_setup[inst][0] for inst in insts]
# min_rng = [ins_setup[inst][2] for inst in insts]
# freq = [ins_setup[inst][3] for inst in insts]
# stop_loss = 0.015
# rb_strat = strat_rb.RBreakerTrader('ProdRB', under_rb, vol_rb, trade_unit = units_rb,
# ratios = ratios, min_rng = min_rng, trail_loss = stop_loss, freq = freq,
# agent = None, email_notify = [])
ins_setup ={
'TF1603':(2, 0.5, 0.0, 1, False, 0.0),
'm1605': (0,0.8, 0.0, 2, False, 0.004),
'RM605': (0,0.8, 0.0, 2, False, 0.004),
'y1605': (0,0.7, 0.0, 2, False, 0.004),
'p1605': (0,0.9, 0.0, 2, False, 0.004),
'a1605' :(0,1.0, 0.0, 2, False, 0.004),
'rb1605':(0,0.7, 0.5, 4, False, 0.004),
'l1605': (2,0.4, 0.0, 4, False, 0.004),
'pp1605':(4,0.4, 0.0, 2, False, 0.004),
'TA605' :(0, 0.6, 0.0, 3, False, 0.004),
'MA605' :(0, 0.8, 0.0, 3, False, 0.004),
'jd1605':(4, 0.4, 0.0, 4, False, 0.004),
'SR605': (1, 0.9, 0.0, 2, False, 0.004),
'i1605' :(2, 0.4,0.0, 2, False, 0.004),
'cs1605' :(0, 1.0, 0.0, 3, False, 0.004),
}
insts = ins_setup.keys()
units_dt = [ins_setup[inst][3] for inst in insts]
under_dt = [[inst] for inst in insts]
vol_dt = [[1] for inst in insts]
ratios = [[ins_setup[inst][1], ins_setup[inst][2]] for inst in insts]
lookbacks = [ins_setup[inst][0] for inst in insts]
daily_close = [ins_setup[inst][4] for inst in insts]
min_rng = [ins_setup[inst][5] for inst in insts]
#dt_strat = dt_bar.DTBarTrader('ProdDT', under_dt, vol_dt, trade_unit = units_dt,
# ratios = ratios, lookbacks = lookbacks,
# agent = None, daily_close = daily_close, ma_win = 10,
# email_notify = [], min_rng = min_rng)
ins_setup = {
'TF1603': (2, 0.6, 0.0, 1, False, 0.0),
'm1605': (0, 0.7, 0.0, 2, False, 0.004),
'RM605': (0, 0.6, 0.0, 2, False, 0.004),
'y1605': (0, 0.6, 0.0, 2, False, 0.004),
'p1605': (0, 1.1, 0.0, 2, False, 0.004),
'a1605' : (0, 0.8, 0.0, 2, False, 0.004),
'rb1605': (0, 0.6, 0.0, 4, False, 0.004),
'l1605': (0, 0.7, 0.0, 4, False, 0.004),
'pp1605': (4, 0.35, 0.0, 2, False, 0.004),
'TA605' : (0, 1.0, 0.0, 3, False, 0.004),
'MA605' : (0, 0.9, 0.0, 3, False, 0.004),
'jd1605': (4, 0.3, 0.0, 4, False, 0.004),
'SR605': (1, 0.8, 0.0, 2, False, 0.004),
'i1605' : (2, 0.5,0.0, 2, False, 0.004),
'cs1605' :(0, 1.1, 0.0, 3, False, 0.004),
}
insts = ins_setup.keys()
units_dt = [ins_setup[inst][3] for inst in insts]
under_dt = [[inst] for inst in insts]
vol_dt = [[1] for inst in insts]
ratios = [[ins_setup[inst][1], ins_setup[inst][2]] for inst in insts]
lookbacks = [ins_setup[inst][0] for inst in insts]
daily_close = [ins_setup[inst][4] for inst in insts]
min_rng = [ins_setup[inst][5] for inst in insts]
#dtma_strat = dt_bar.DTBarTrader('DTMA10', under_dt, vol_dt, trade_unit = units_dt,
# ratios = ratios, lookbacks = lookbacks,
# agent = None, daily_close = daily_close,
# email_notify = [], min_rng = min_rng)
ins_setup = {
'ag1606': (1, 0.8, 0.0, 2, False),
'm1605': (0, 0.8, 0.0, 2, False),
'RM605': (0, 0.8, 0.0, 2, False),
'y1605': (0, 0.9, 0.0, 2, False),
'p1605': (1, 1.0, 0.0, 2, False),
'a1605': (1, 0.9, 0.0, 2, False),
'rb1605': (2, 0.5, 0.0, 4, False),
'TA605' : (1, 0.7, 0.0, 3, False),
'MA605' : (1, 0.7, 0.0, 3, False),
'SR605' : (2, 0.9, 0.0, 2, False),
'i1605' : (4, 0.4, 0.0, 2, False),
}
insts = ins_setup.keys()
units_dt = [ins_setup[inst][3] for inst in insts]
under_dt = [[inst] for inst in insts]
vol_dt = [[1] for inst in insts]
ratios = [[ins_setup[inst][1], ins_setup[inst][2]] for inst in insts]
lookbacks = [ins_setup[inst][0] for inst in insts]
daily_close = [ins_setup[inst][4] for inst in insts]
#dtsplit_strat1 = dt_split.DTSplitTrader('DTSp1', under_dt, vol_dt, trade_unit = units_dt,
# ratios = ratios, lookbacks = lookbacks,
# agent = None, daily_close = daily_close, ma_win = 10,
# email_notify = [], min_rng = [0.004])
ins_setup = {
'ag1606': (1, 1.1, 0.0, 2, False),
'm1605': (0, 1.0, 0.0, 2, False),
'RM605': (0, 1.0, 0.0, 2, False),
'y1605': (0, 1.0, 0.0, 2, False),
'p1605': (1, 1.1, 0.0, 2, False),
'a1605': (1, 1.1, 0.0, 2, False),
'rb1605': (0, 0.9, 0.0, 4, False),
'TA605' : (1, 0.9, 0.0, 3, False),
'MA605' : (1, 0.9, 0.0, 3, False),
'SR605' : (4,0.45, 0.0, 2, False),
'i1605' : (4, 0.5, 0.0, 2, False),
}
insts = ins_setup.keys()
units_dt = [ins_setup[inst][3] for inst in insts]
under_dt = [[inst] for inst in insts]
vol_dt = [[1] for inst in insts]
ratios = [[ins_setup[inst][1], ins_setup[inst][2]] for inst in insts]
lookbacks = [ins_setup[inst][0] for inst in insts]
daily_close = [ins_setup[inst][4] for inst in insts]
#dtsplit_strat2 = dt_split.DTSplitTrader('DTSp2', under_dt, vol_dt, trade_unit = units_dt,
# ratios = ratios, lookbacks = lookbacks,
# agent = None, daily_close = daily_close, ma_win = 10,
# email_notify = [], min_rng = [0.004])
ins_setup = {
'p1605': (1, 0.9, 0.0, 2, False),
'rb1605': (0, 0.7, 0.0, 2, False),
'pp1605': (2, 0.25,0.0, 1, False),
'TF1603': (2, 0.5, 0.0, 1, False),
'MA605' : (2, 0.25,0.0, 3, False),
'SR605' : (1, 0.9, 0.0, 2, False),
}
insts = ins_setup.keys()
units_dt = [ins_setup[inst][3] for inst in insts]
under_dt = [[inst] for inst in insts]
vol_dt = [[1] for inst in insts]
ratios = [[ins_setup[inst][1], ins_setup[inst][2]] for inst in insts]
lookbacks = [ins_setup[inst][0] for inst in insts]
daily_close = [ins_setup[inst][4] for inst in insts]
chan_func ={'high_func': max,
'high_args': {},
'low_func': min,
'low_args': {}}
#dtchan5_sp1 = dt_dfilter.DTSplitChanFilter('DTChan5Sp1',
# under_dt,
# vol_dt,
# trade_unit = units_dt,
# ratios = ratios,
# lookbacks = lookbacks,
# agent = None,
# daily_close = daily_close,
# chan_func = chan_func,
# channels = [5],
# open_period = [300, 2115],
# email_notify = [],
# min_rng = [0.003])
ins_setup = {
'p1605': (1, 1.0, 0.0, 2, False),
'rb1605': (0, 0.6, 0.0, 2, False),
'pp1605': (2, 0.3, 0.0, 1, False),
'TF1603': (1, 0.7, 0.0, 1, False),
'MA605' : (2, 0.3, 0.0, 3, False),
'SR605' : (1, 1.0, 0.0, 2, False),
}
insts = ins_setup.keys()
units_dt = [ins_setup[inst][3] for inst in insts]
under_dt = [[inst] for inst in insts]
vol_dt = [[1] for inst in insts]
ratios = [[ins_setup[inst][1], ins_setup[inst][2]] for inst in insts]
lookbacks = [ins_setup[inst][0] for inst in insts]
daily_close = [ins_setup[inst][4] for inst in insts]
#dtchan5_sp2 = dt_dfilter.DTSplitChanFilter('DTChan5Sp2',
# under_dt,
# vol_dt,
# trade_unit = units_dt,
# ratios = ratios,
# lookbacks = lookbacks,
# agent = None,
# daily_close = daily_close,
# chan_func = chan_func,
# channels = [5],
# open_period = [300, 2115],
# email_notify = [],
# min_rng = [0.003])
ins_setup = {
'cs1605': (1, 1.1, 0.0, 3, False),
'l1605': (0, 0.7, 0.0, 1, False),
'i1605': (0, 0.7, 0.0, 2, False),
'j1605': (2, 0.35,0.0, 2, False),
'cu1603': (1, 0.6, 0.0, 1, False),
}
insts = ins_setup.keys()
units_dt = [ins_setup[inst][3] for inst in insts]
under_dt = [[inst] for inst in insts]
vol_dt = [[1] for inst in insts]
ratios = [[ins_setup[inst][1], ins_setup[inst][2]] for inst in insts]
lookbacks = [ins_setup[inst][0] for inst in insts]
daily_close = [ins_setup[inst][4] for inst in insts]
chan_func ={'high_func': np.percentile,
'high_args': {'q':90,},
'low_func': np.percentile,
'low_args': {'q':10,}}
# dtchan10_sp1 = dt_dfilter.DTSplitChanFilter('DTChan10Sp1',
# under_dt,
# vol_dt,
# trade_unit = units_dt,
# ratios = ratios,
# lookbacks = lookbacks,
# agent = None,
# daily_close = daily_close,
# chan_func = chan_func,
# channels = [10],
# open_period = [300, 2115],
# email_notify = [],
# min_rng = [0.003])
ins_setup = {
'cs1605': (1, 1.0, 0.0, 3, False),
'l1605': (2, 0.4, 0.0, 1, False),
'i1605': (0, 0.9, 0.0, 2, False),
'j1605': (2, 0.4, 0.0, 2, False),
'cu1603': (2,0.35, 0.0, 1, False),
}
insts = ins_setup.keys()
units_dt = [ins_setup[inst][3] for inst in insts]
under_dt = [[inst] for inst in insts]
vol_dt = [[1] for inst in insts]
ratios = [[ins_setup[inst][1], ins_setup[inst][2]] for inst in insts]
lookbacks = [ins_setup[inst][0] for inst in insts]
daily_close = [ins_setup[inst][4] for inst in insts]
chan_func ={'high_func': np.percentile,
'high_args': {'q':80,},
'low_func': np.percentile,
'low_args': {'q':20,}}
# dtchan10_sp2 = dt_dfilter.DTSplitChanFilter('DTChan10Sp2',
# under_dt,
# vol_dt,
# trade_unit = units_dt,
# ratios = ratios,
# lookbacks = lookbacks,
# agent = None,
# daily_close = daily_close,
# chan_func = chan_func,
# channels = [10],
# open_period = [300, 2115],
# email_notify = [],
# min_rng = [0.003])
ins_setup = {
'm1605': (1, 0.7, 0.0, 3, False),
'RM605': (2,0.25, 0.0, 3, False),
'y1605': (1, 0.8, 0.0, 2, False),
'l1605': (0, 0.7, 0.0, 1, False),
'TF1603': (2, 0.45,0.0, 1, False),
'TA605' : (0, 0.7, 0.0, 2, False),
'i1605' : (2, 0.35,0.0, 2, False),
}
insts = ins_setup.keys()
units_dt = [ins_setup[inst][3] for inst in insts]
under_dt = [[inst] for inst in insts]
vol_dt = [[1] for inst in insts]
ratios = [[ins_setup[inst][1], ins_setup[inst][2]] for inst in insts]
lookbacks = [ins_setup[inst][0] for inst in insts]
daily_close = [ins_setup[inst][4] for inst in insts]
chan_func ={'high_func': np.percentile,
'high_args': {'q':90,},
'low_func': np.percentile,
'low_args': {'q':10,}}
# dtchan20_sp1 = dt_dfilter.DTSplitChanFilter('DTChan20Sp1',
# under_dt,
# vol_dt,
# trade_unit = units_dt,
# ratios = ratios,
# lookbacks = lookbacks,
# agent = None,
# daily_close = daily_close,
# chan_func = chan_func,
# channels = [20],
# open_period = [300, 2115],
# email_notify = [],
# min_rng = [0.003])
ins_setup = {
'm1605': (1, 0.8, 0.0, 3, False),
'RM605': (2, 0.3, 0.0, 3, False),
'y1605': (1, 1.0, 0.0, 2, False),
'l1605': (0, 1.0, 0.0, 1, False),
'TF1603': (2, 0.5, 0.0, 1, False),
'TA605' : (1, 0.8, 0.0, 2, False),
'i1605' : (2, 0.4, 0.0, 2, False),
}
insts = ins_setup.keys()
units_dt = [ins_setup[inst][3] for inst in insts]
under_dt = [[inst] for inst in insts]
vol_dt = [[1] for inst in insts]
ratios = [[ins_setup[inst][1], ins_setup[inst][2]] for inst in insts]
lookbacks = [ins_setup[inst][0] for inst in insts]
daily_close = [ins_setup[inst][4] for inst in insts]
chan_func ={'high_func': np.percentile,
'high_args': {'q':80,},
'low_func': np.percentile,
'low_args': {'q':20,}}
# dtchan20_sp2 = dt_dfilter.DTSplitChanFilter('DTChan20Sp2',
# under_dt,
# vol_dt,
# trade_unit = units_dt,
# ratios = ratios,
# lookbacks = lookbacks,
# agent = None,
# daily_close = daily_close,
# chan_func = chan_func,
# channels = [20],
# open_period = [300, 2115],
# email_notify = [],
# min_rng = [0.003])
ins_setup = {
'bu1601':[2, 1, 1],
'i1605': [1, 1, 2],
'TA605': [2, 2, 2],
'ZC605': [2, 3, 1],
}
insts = ins_setup.keys()
units_tl = [ins_setup[inst][2] for inst in insts]
under_tl = [[inst] for inst in insts]
vol_tl = [[1] for inst in insts]
trail_loss = [ins_setup[inst][0] for inst in insts]
max_pos = [ins_setup[inst][1] for inst in insts]
# tl_strat = strat_tl.TurtleTrader('ProdTL', under_tl, vol_tl, trade_unit = units_tl,
# agent = None, email_notify = ['*****@*****.**'],
# windows = [5, 15],
# max_pos = max_pos,
# trail_loss = trail_loss)
ins_setup = {
'j1605': [1, 2, 1],
'ZC605': [2, 3, 2],
'i1605': [2, 2, 1],
}
insts = ins_setup.keys()
units_tl = [ins_setup[inst][2] for inst in insts]
under_tl = [[inst] for inst in insts]
vol_tl = [[1] for inst in insts]
trail_loss = [ins_setup[inst][0] for inst in insts]
max_pos = [ins_setup[inst][1] for inst in insts]
def Soymeal_Opt(tday, name='Soymeal_Opt'):
base.config_logging(
"ctp_" + name + ".log",
level=logging.DEBUG,
format=
'%(name)s:%(funcName)s:%(lineno)d:%(asctime)s %(levelname)s %(message)s',
to_console=True,
console_level=logging.INFO)
trader_cfg = misc.HT_OPTSIM_TRADER
user_cfg = misc.HT_OPTSIM_USER
ins_setup = {'m1601': 5, 'm1605': 5}
insts = ins_setup.keys()
units_tl = [ins_setup[inst] for inst in insts]
under_tl = [[inst] for inst in insts]
vol_tl = [[1] for inst in insts]
tl_strat = strat_tl.TurtleTrader('ProdTL',
under_tl,
vol_tl,
trade_unit=units_tl,
agent=None,
email_notify=[])
ins_setup = {
'm1601': (0, 0.5, 0.0, 10, False),
'm1605': (0, 0.5, 0.0, 10, False)
}
insts = ins_setup.keys()
units_dt = [ins_setup[inst][3] for inst in insts]
under_dt = [[inst] for inst in insts]
vol_dt = [[1] for inst in insts]
ratios = [[ins_setup[inst][1], ins_setup[inst][2]] for inst in insts]
lookbacks = [ins_setup[inst][0] for inst in insts]
daily_close = [ins_setup[inst][4] for inst in insts]
dt_strat = strat_dt.DTTrader('ProdDT',
under_dt,
vol_dt,
trade_unit=units_dt,
ratios=ratios,
lookbacks=lookbacks,
agent=None,
daily_close=daily_close,
email_notify=[])
ins_setup = {
'm1601': [[0.3, 0.07, 0.2], 1, 30, 5],
'm1605': [[0.3, 0.07, 0.2], 1, 30, 5]
}
insts = ins_setup.keys()
units_rb = [ins_setup[inst][1] for inst in insts]
under_rb = [[inst] for inst in insts]
vol_rb = [[1] for inst in insts]
ratios = [ins_setup[inst][0] for inst in insts]
min_rng = [ins_setup[inst][2] for inst in insts]
freq = [ins_setup[inst][3] for inst in insts]
stop_loss = 0.015
rb_strat = strat_rb.RBreakerTrader('ProdRB',
under_rb,
vol_rb,
trade_unit=units_rb,
ratios=ratios,
min_rng=min_rng,
trail_loss=stop_loss,
freq=freq,
agent=None,
email_notify=[])
strategies = [tl_strat, dt_strat, rb_strat]
folder = misc.get_prod_folder()
strat_cfg = {'strategies': strategies, \
'folder': folder, \
'daily_data_days':21, \
'min_data_days':1,
'enable_option': True }
myApp = MainApp(name,
trader_cfg,
user_cfg,
strat_cfg,
tday,
master=None,
save_test=True)
myGui = Gui(myApp)
myGui.mainloop()
def option_test(tday, name='option_test'):
base.config_logging(
"ctp_" + name + ".log",
level=logging.DEBUG,
format=
'%(name)s:%(funcName)s:%(lineno)d:%(asctime)s %(levelname)s %(message)s',
to_console=True,
console_level=logging.INFO)
trader_cfg = misc.TEST_TRADER
user_cfg = misc.TEST_USER
opt_strat = optionarb.OptionArbStrat(
name, ['IF1509', 'IF1512'], [201509, 201512],
[[3400, 3500, 3600, 3650, 3700, 3750, 3800, 3850, 3900, 4000, 4100]] *
2)
ins_setup = {'IF1509': 1}
insts = ins_setup.keys()
units_tl = [ins_setup[inst] for inst in insts]
under_tl = [[inst] for inst in insts]
vol_tl = [[1] for inst in insts]
tl_strat = strat_tl.TurtleTrader('ProdTL',
under_tl,
vol_tl,
trade_unit=units_tl,
agent=None,
email_notify=[])
ins_setup = {'IF1509': (0, 0.7, 0.0, 1, False)}
insts = ins_setup.keys()
units_dt = [ins_setup[inst][3] for inst in insts]
under_dt = [[inst] for inst in insts]
vol_dt = [[1] for inst in insts]
ratios = [[ins_setup[inst][1], ins_setup[inst][2]] for inst in insts]
lookbacks = [ins_setup[inst][0] for inst in insts]
daily_close = [ins_setup[inst][4] for inst in insts]
dt_strat = strat_dt.DTTrader('ProdDT',
under_dt,
vol_dt,
trade_unit=units_dt,
ratios=ratios,
lookbacks=lookbacks,
agent=None,
daily_close=daily_close,
email_notify=[])
ins_setup = {'IF1509': [[0.3, 0.07, 0.2], 1, 30, 1]}
insts = ins_setup.keys()
units_rb = [ins_setup[inst][1] for inst in insts]
under_rb = [[inst] for inst in insts]
vol_rb = [[1] for inst in insts]
ratios = [ins_setup[inst][0] for inst in insts]
min_rng = [ins_setup[inst][2] for inst in insts]
freq = [ins_setup[inst][3] for inst in insts]
stop_loss = 0.015
rb_strat = strat_rb.RBreakerTrader('ProdRB',
under_rb,
vol_rb,
trade_unit=units_rb,
ratios=ratios,
min_rng=min_rng,
trail_loss=stop_loss,
freq=freq,
agent=None,
email_notify=[])
strategies = [tl_strat, dt_strat, rb_strat]
folder = misc.get_prod_folder()
strat_cfg = {'strategies': strategies, \
'folder': folder, \
'daily_data_days':21, \
'min_data_days':1,
'enable_option': True }
myApp = MainApp(name,
trader_cfg,
user_cfg,
strat_cfg,
tday,
master=None,
save_test=False)
myGui = Gui(myApp)
myGui.mainloop()
def prod_test(tday, name='prod_test'):
base.config_logging("ctp_" + name + ".log", level=logging.DEBUG,
format = '%(name)s:%(funcName)s:%(lineno)d:%(asctime)s %(levelname)s %(message)s',
to_console = True,
console_level = logging.INFO)
trader_cfg = None
user_cfg = misc.HT_PROD_MD
ins_setup = {'IF1510': [[0.3, 0.07, 0.2], 1, 30, 1],
'IH1510': [[0.3, 0.07, 0.2], 1, 30, 1],
'ru1601': [[0.35, 0.08, 0.25], 1, 120, 3],
'rb1601': [[0.25, 0.05, 0.15], 5, 20, 3],
'RM601' : [[0.35, 0.07, 0.25], 4, 20, 1],
'm1601' : [[0.35, 0.07, 0.25], 4, 30, 3],
'ag1512': [[0.4, 0.1, 0.3], 4, 40, 5],
'y1601' : [[0.25, 0.05, 0.15], 4, 60, 1],
'cu1512': [[0.25, 0.05, 0.15], 1, 700, 1]}
insts = ins_setup.keys()
units_rb = [ins_setup[inst][1] for inst in insts]
under_rb = [[inst] for inst in insts]
vol_rb = [[1] for inst in insts]
ratios = [ins_setup[inst][0] for inst in insts]
min_rng = [ins_setup[inst][2] for inst in insts]
freq = [ins_setup[inst][3] for inst in insts]
stop_loss = 0.015
rb_strat = strat_rb.RBreakerTrader('ProdRB', under_rb, vol_rb, trade_unit = units_rb,
ratios = ratios, min_rng = min_rng, trail_loss = stop_loss, freq = freq,
agent = None, email_notify = [])
ins_setup = {'m1601':(0,0.7, 0.0, 8, False, 0.004),
'RM601': (-1,0.5, 0.0, 8, False, 0.004),
'rb1601':(0,0.7, 0.0, 8, False, 0.004),
'l1601': (0,0.7, 0.0, 2, False, 0.004),
'pp1601':(0,0.7, 0.0, 2, False, 0.004),
'TA601' :(-1,0.4, 0.0, 4, False, 0.004),
'ru1601':(0, 0.7, 0.0, 1, False, 0.004),
'SR601' :(0, 0.7, 0.0, 4, False, 0.004),
'MA601' :(0, 0.7, 0.0, 3, False, 0.004),
'au1512':(0, 0.7, 0.0, 1, False, 0.004),
'i1601' :(2, 0.4, 0.0, 1, False, 0.004),
'IF1510':(0, 0.6, 0.0, 1, False, 0.004),
'IH1510':(0, 0.6, 0.0, 1, False, 0.004),
'y1601': (0,0.7, 0.0, 4, False, 0.004),
'p1601': (0,0.7, 0.0, 4, False, 0.004),
'TF1512':(2, 0.5, 0.0, 1, False, 0.0),
}
insts = ins_setup.keys()
units_dt = [ins_setup[inst][3] for inst in insts]
under_dt = [[inst] for inst in insts]
vol_dt = [[1] for inst in insts]
ratios = [[ins_setup[inst][1], ins_setup[inst][2]] for inst in insts]
lookbacks = [ins_setup[inst][0] for inst in insts]
daily_close = [ins_setup[inst][4] for inst in insts]
min_rng = [ins_setup[inst][5] for inst in insts]
dt_strat = strat_dt.DTTrader('ProdDT', under_dt, vol_dt, trade_unit = units_dt,
ratios = ratios, lookbacks = lookbacks,
agent = None, daily_close = daily_close, ma_win = 10,
email_notify = [], min_rng = min_rng)
ins_setup = {'rb1601':(1,0.6, 0.5, 4, False, 0.004),
'l1601' :(0,0.5, 0.5, 1, False, 0.004),
'pp1601':(0,0.5, 0.5, 1, False, 0.004),
'TA601' :(0,0.4, 0.5, 2, False, 0.004),
'MA601' :(-1,0.5, 0.5, 2, False, 0.004),
'jd1601':(2,0.4, 0.5, 2, False, 0.004),
'a1601' :(2,0.4, 0.5, 2, False, 0.004),
'SR601' :(1,0.6, 0.5, 1, False, 0.004),
'm1601':(2,0.3, 0.5, 2, False, 0.004),
'RM601' :(-1,0.3, 0.5, 2, False, 0.004),
'i1601' :(4, 0.3, 0.5, 1, False, 0.004),
'TF1512':(2, 0.4, 0.5, 1, False, 0.0),
}
insts = ins_setup.keys()
units_dt = [ins_setup[inst][3] for inst in insts]
under_dt = [[inst] for inst in insts]
vol_dt = [[1] for inst in insts]
ratios = [[ins_setup[inst][1], ins_setup[inst][2]] for inst in insts]
lookbacks = [ins_setup[inst][0] for inst in insts]
daily_close = [ins_setup[inst][4] for inst in insts]
min_rng = [ins_setup[inst][5] for inst in insts]
dtma_strat = strat_dt.DTTrader('DTMA10', under_dt, vol_dt, trade_unit = units_dt,
ratios = ratios, lookbacks = lookbacks,
agent = None, daily_close = daily_close,
email_notify = [], min_rng = min_rng)
ins_setup = {'m1601': (0, 0.8, 0.0, 2, False),
'RM601': (0, 0.8, 0.0, 2, False),
'y1601': (0, 0.9, 0.0, 2, False),
'p1601': (1, 1.0, 0.0, 2, False),
'a1601': (1, 0.9, 0.0, 3, False),
'rb1601': (2, 0.5, 0.0, 5, False),
'TA601' : (1, 0.7, 0.0, 3, False),
'MA601' : (1, 0.7, 0.0, 5, False),
'SR601' : (2, 0.9, 0.0, 3, False),
'i1601' : (4, 0.4, 0.0, 1, False),
'ag1512': (1, 0.8, 0.0, 2, False),
}
insts = ins_setup.keys()
units_dt = [ins_setup[inst][3] for inst in insts]
under_dt = [[inst] for inst in insts]
vol_dt = [[1] for inst in insts]
ratios = [[ins_setup[inst][1], ins_setup[inst][2]] for inst in insts]
lookbacks = [ins_setup[inst][0] for inst in insts]
daily_close = [ins_setup[inst][4] for inst in insts]
dtsplit_strat1 = dt_split.DTSplitTrader('DTSp1', under_dt, vol_dt, trade_unit = units_dt,
ratios = ratios, lookbacks = lookbacks,
agent = None, daily_close = daily_close, ma_win = 10,
email_notify = [], min_rng = [0.004])
ins_setup = {'m1601': (0, 1.0, 0.0, 2, False),
'RM601': (0, 1.0, 0.0, 2, False),
'y1601': (0, 1.0, 0.0, 2, False),
'p1601': (1, 1.1, 0.0, 2, False),
'a1601': (1, 1.1, 0.0, 3, False),
'rb1601': (0, 0.9, 0.0, 5, False),
'TA601' : (1, 0.9, 0.0, 3, False),
'MA601' : (1, 0.9, 0.0, 5, False),
'SR601' : (4,0.45, 0.0, 3, False),
'i1601' : (4, 0.5, 0.0, 1, False),
'ag1512': (1, 1.1, 0.0, 2, False),
}
insts = ins_setup.keys()
units_dt = [ins_setup[inst][3] for inst in insts]
under_dt = [[inst] for inst in insts]
vol_dt = [[1] for inst in insts]
ratios = [[ins_setup[inst][1], ins_setup[inst][2]] for inst in insts]
lookbacks = [ins_setup[inst][0] for inst in insts]
daily_close = [ins_setup[inst][4] for inst in insts]
dtsplit_strat2 = dt_split.DTSplitTrader('DTSp2', under_dt, vol_dt, trade_unit = units_dt,
ratios = ratios, lookbacks = lookbacks,
agent = None, daily_close = daily_close, ma_win = 10,
email_notify = [], min_rng = [0.004])
ins_setup = {'i1601': [2, 2, 2],
#'jm1601': [1, 1, 1],
'TF1512': [1, 1, 1],
'TC601': [2, 4, 1],
'TA601': [2, 3, 2],
#'bu1512': [1, 1, 1],
'CF601': [2, 1, 2],
'ru1601': [1, 1, 1],
}
insts = ins_setup.keys()
units_tl = [ins_setup[inst][2] for inst in insts]
under_tl = [[inst] for inst in insts]
vol_tl = [[1] for inst in insts]
trail_loss = [ins_setup[inst][0] for inst in insts]
max_pos = [ins_setup[inst][1] for inst in insts]
tl_strat = strat_tl.TurtleTrader('ProdTL', under_tl, vol_tl, trade_unit = units_tl,
agent = None, email_notify = ['*****@*****.**'],
windows = [5, 15],
max_pos = max_pos,
trail_loss = trail_loss)
ins_setup = {'j1601': [1, 1, 1],
'rb1601': [1, 1, 1],
#'bu1512' :[2, 4, 1],
'p1601' :[1, 1, 2],
'jd1601':[2, 2, 1],
}
insts = ins_setup.keys()
units_tl = [ins_setup[inst][2] for inst in insts]
under_tl = [[inst] for inst in insts]
vol_tl = [[1] for inst in insts]
trail_loss = [ins_setup[inst][0] for inst in insts]
max_pos = [ins_setup[inst][1] for inst in insts]
tl_strat2 = strat_tl.TurtleTrader('ProdTL2', under_tl, vol_tl, trade_unit = units_tl,
agent = None, email_notify = ['*****@*****.**'],
windows = [10, 20],
max_pos = max_pos,
trail_loss = trail_loss )
strategies = [rb_strat, dt_strat, dtma_strat, tl_strat, tl_strat2, dtsplit_strat1, dtsplit_strat2]
folder = misc.get_prod_folder()
strat_cfg = {'strategies': strategies, \
'folder': folder, \
'daily_data_days':21, \
'min_data_days':4 }
myApp = MainApp(name, trader_cfg, user_cfg, strat_cfg, tday, master = None, save_test = False)
myGui = Gui(myApp)
#myGui.iconbitmap(r'c:\Python27\DLLs\thumbs-up-emoticon.ico')
myGui.mainloop()
def prod_trade2(tday, name='prod_trade2'):
base.config_logging("ctp_" + name + ".log", level=logging.DEBUG,
format = '%(name)s:%(funcName)s:%(lineno)d:%(asctime)s %(levelname)s %(message)s',
to_console = True,
console_level = logging.INFO)
trader_cfg = misc.HT_PROD_TD
user_cfg = misc.HT_PROD_MD
ins_setup ={'m1601': (0,0.7, 0.0, 2, False, 0.004),
'RM601': (0,0.8, 0.0, 2, False, 0.004),
'y1601': (0,0.7, 0.0, 1, False, 0.004),
'p1601': (0,0.8, 0.0, 1, False, 0.004),
'a1601' :(0,0.9, 0.0, 1, False, 0.004),
'rb1601':(0,0.7, 0.5, 2, False, 0.004),
'l1601': (2,0.4, 0.0, 3, False, 0.004),
'pp1601':(2,0.3, 0.0, 2, False, 0.004),
'TA601' :(0, 0.6, 0.0, 2, False, 0.004),
'MA601' :(0, 0.8, 0.0, 3, False, 0.004),
'jd1601':(4, 0.4, 0.0, 3, False, 0.004),
'SR601': (1, 0.9, 0.0, 1, False, 0.004),
'TF1512':(2, 0.5, 0.0, 1, False, 0.0),
'i1601' :(2, 0.45,0.0, 1, False, 0.004),
}
insts = ins_setup.keys()
units_dt = [ins_setup[inst][3] for inst in insts]
under_dt = [[inst] for inst in insts]
vol_dt = [[1] for inst in insts]
ratios = [[ins_setup[inst][1], ins_setup[inst][2]] for inst in insts]
lookbacks = [ins_setup[inst][0] for inst in insts]
daily_close = [ins_setup[inst][4] for inst in insts]
min_rng = [ins_setup[inst][5] for inst in insts]
dt_strat1 = strat_dt.DTTrader('DT1', under_dt, vol_dt, trade_unit = units_dt,
ratios = ratios, lookbacks = lookbacks,
agent = None, daily_close = daily_close,
email_notify = [], ma_win = 10, min_rng = min_rng)
ins_setup ={'m1601': (0, 0.7, 0.0, 2, False, 0.004),
'RM601': (0, 0.6, 0.0, 2, False, 0.004),
'y1601': (0, 0.6, 0.0, 1, False, 0.004),
'p1601': (0, 0.9, 0.0, 1, False, 0.004),
'a1601' : (0, 0.8, 0.0, 2, False, 0.004),
'rb1601': (0, 0.6, 0.0, 3, False, 0.004),
'l1601': (0, 0.7, 0.0, 3, False, 0.004),
'pp1601': (0, 0.6, 0.0, 2, False, 0.004),
'TA601' : (0, 1.0, 0.0, 2, False, 0.004),
'MA601' : (0, 0.8, 0.0, 3, False, 0.004),
'jd1601': (4, 0.3, 0.0, 3, False, 0.004),
'SR601': (1, 0.8, 0.0, 1, False, 0.004),
'TF1512': (2, 0.6, 0.0, 1, False, 0.0),
'i1601' : (2, 0.45,0.0, 1, False, 0.004),
}
insts = ins_setup.keys()
units_dt = [ins_setup[inst][3] for inst in insts]
under_dt = [[inst] for inst in insts]
vol_dt = [[1] for inst in insts]
ratios = [[ins_setup[inst][1], ins_setup[inst][2]] for inst in insts]
lookbacks = [ins_setup[inst][0] for inst in insts]
daily_close = [ins_setup[inst][4] for inst in insts]
min_rng = [ins_setup[inst][5] for inst in insts]
dt_strat2 = strat_dt.DTTrader('DT2', under_dt, vol_dt, trade_unit = units_dt,
ratios = ratios, lookbacks = lookbacks,
agent = None, daily_close = daily_close,
email_notify = [], ma_win = 10, min_rng = min_rng)
ins_setup = {'m1601': (0, 0.8, 0.0, 2, False),
'RM601': (0, 0.8, 0.0, 2, False),
'y1601': (0, 0.9, 0.0, 2, False),
'p1601': (1, 1.0, 0.0, 2, False),
'a1601': (1, 0.9, 0.0, 3, False),
'rb1601': (2, 0.5, 0.0, 5, False),
'TA601' : (1, 0.7, 0.0, 3, False),
'MA601' : (1, 0.7, 0.0, 5, False),
'SR601' : (2, 0.9, 0.0, 3, False),
'i1601' : (4, 0.4, 0.0, 1, False),
'ag1512': (1, 0.8, 0.0, 2, False),
}
insts = ins_setup.keys()
units_dt = [ins_setup[inst][3] for inst in insts]
under_dt = [[inst] for inst in insts]
vol_dt = [[1] for inst in insts]
ratios = [[ins_setup[inst][1], ins_setup[inst][2]] for inst in insts]
lookbacks = [ins_setup[inst][0] for inst in insts]
daily_close = [ins_setup[inst][4] for inst in insts]
dtsplit_strat1 = dt_split.DTSplitTrader('DTSp1', under_dt, vol_dt, trade_unit = units_dt,
ratios = ratios, lookbacks = lookbacks,
agent = None, daily_close = daily_close, ma_win = 10,
email_notify = [], min_rng = [0.004])
ins_setup = {'m1601': (0, 1.0, 0.0, 2, False),
'RM601': (0, 1.0, 0.0, 2, False),
'y1601': (0, 1.0, 0.0, 2, False),
'p1601': (1, 1.1, 0.0, 2, False),
'a1601': (1, 1.1, 0.0, 3, False),
'rb1601': (0, 0.9, 0.0, 5, False),
'TA601' : (1, 0.9, 0.0, 3, False),
'MA601' : (1, 0.9, 0.0, 5, False),
'SR601' : (4,0.45, 0.0, 3, False),
'i1601' : (4, 0.5, 0.0, 1, False),
'ag1512': (1, 1.1, 0.0, 2, False),
}
insts = ins_setup.keys()
units_dt = [ins_setup[inst][3] for inst in insts]
under_dt = [[inst] for inst in insts]
vol_dt = [[1] for inst in insts]
ratios = [[ins_setup[inst][1], ins_setup[inst][2]] for inst in insts]
lookbacks = [ins_setup[inst][0] for inst in insts]
daily_close = [ins_setup[inst][4] for inst in insts]
dtsplit_strat2 = dt_split.DTSplitTrader('DTSp2', under_dt, vol_dt, trade_unit = units_dt,
ratios = ratios, lookbacks = lookbacks,
agent = None, daily_close = daily_close, ma_win = 10,
email_notify = [], min_rng = [0.004])
ins_setup = {'i1601': [1, 1, 2],
'TA601': [2, 2, 2],
#'bu1512':[2, 1, 1],
}
insts = ins_setup.keys()
units_tl = [ins_setup[inst][2] for inst in insts]
under_tl = [[inst] for inst in insts]
vol_tl = [[1] for inst in insts]
trail_loss = [ins_setup[inst][0] for inst in insts]
max_pos = [ins_setup[inst][1] for inst in insts]
tl_strat1 = strat_tl.TurtleTrader('TL1', under_tl, vol_tl, trade_unit = units_tl,
agent = None, email_notify = [],
windows = [5, 15],
max_pos = max_pos,
trail_loss = trail_loss)
ins_setup = {'j1601': [1, 2, 1],
'TC601': [2, 4, 1],
#'bu1512' :[2, 1, 1],
}
insts = ins_setup.keys()
units_tl = [ins_setup[inst][2] for inst in insts]
under_tl = [[inst] for inst in insts]
vol_tl = [[1] for inst in insts]
trail_loss = [ins_setup[inst][0] for inst in insts]
max_pos = [ins_setup[inst][1] for inst in insts]
tl_strat2 = strat_tl.TurtleTrader('TL2', under_tl, vol_tl, trade_unit = units_tl,
agent = None, email_notify = [],
windows = [10, 20],
max_pos = max_pos,
trail_loss = trail_loss )
strategies = [dt_strat1, dt_strat2, tl_strat1, tl_strat2]
folder = misc.get_prod_folder()
strat_cfg = {'strategies': strategies, \
'folder': folder, \
'daily_data_days':22, \
'min_data_days':5 }
myApp = MainApp(name, trader_cfg, user_cfg, strat_cfg, tday, master = None, save_test = False)
myGui = Gui(myApp)
#myGui.iconbitmap(r'c:\Python27\DLLs\thumbs-up-emoticon.ico')
myGui.mainloop()
def prod_test(tday, name='prod_test'):
base.config_logging(
"ctp_" + name + ".log",
level=logging.DEBUG,
format=
'%(name)s:%(funcName)s:%(lineno)d:%(asctime)s %(levelname)s %(message)s',
to_console=True,
console_level=logging.INFO)
trader_cfg = None
user_cfg = misc.HT_PROD_MD
ins_setup = {
'IF1510': [[0.3, 0.07, 0.2], 1, 30, 1],
'IH1510': [[0.3, 0.07, 0.2], 1, 30, 1],
'ru1601': [[0.35, 0.08, 0.25], 1, 120, 3],
'rb1601': [[0.25, 0.05, 0.15], 5, 20, 3],
'RM601': [[0.35, 0.07, 0.25], 4, 20, 1],
'm1601': [[0.35, 0.07, 0.25], 4, 30, 3],
'ag1512': [[0.4, 0.1, 0.3], 4, 40, 5],
'y1601': [[0.25, 0.05, 0.15], 4, 60, 1],
'cu1512': [[0.25, 0.05, 0.15], 1, 700, 1]
}
insts = ins_setup.keys()
units_rb = [ins_setup[inst][1] for inst in insts]
under_rb = [[inst] for inst in insts]
vol_rb = [[1] for inst in insts]
ratios = [ins_setup[inst][0] for inst in insts]
min_rng = [ins_setup[inst][2] for inst in insts]
freq = [ins_setup[inst][3] for inst in insts]
stop_loss = 0.015
rb_strat = strat_rb.RBreakerTrader('ProdRB',
under_rb,
vol_rb,
trade_unit=units_rb,
ratios=ratios,
min_rng=min_rng,
trail_loss=stop_loss,
freq=freq,
agent=None,
email_notify=[])
ins_setup = {
'm1601': (0, 0.7, 0.0, 8, False, 0.004),
'RM601': (-1, 0.5, 0.0, 8, False, 0.004),
'rb1601': (0, 0.7, 0.0, 8, False, 0.004),
'l1601': (0, 0.7, 0.0, 2, False, 0.004),
'pp1601': (0, 0.7, 0.0, 2, False, 0.004),
'TA601': (-1, 0.4, 0.0, 4, False, 0.004),
'ru1601': (0, 0.7, 0.0, 1, False, 0.004),
'SR601': (0, 0.7, 0.0, 4, False, 0.004),
'MA601': (0, 0.7, 0.0, 3, False, 0.004),
'au1512': (0, 0.7, 0.0, 1, False, 0.004),
'i1601': (2, 0.4, 0.0, 1, False, 0.004),
'IF1510': (0, 0.6, 0.0, 1, False, 0.004),
'IH1510': (0, 0.6, 0.0, 1, False, 0.004),
'y1601': (0, 0.7, 0.0, 4, False, 0.004),
'p1601': (0, 0.7, 0.0, 4, False, 0.004),
'TF1512': (2, 0.5, 0.0, 1, False, 0.0),
}
insts = ins_setup.keys()
units_dt = [ins_setup[inst][3] for inst in insts]
under_dt = [[inst] for inst in insts]
vol_dt = [[1] for inst in insts]
ratios = [[ins_setup[inst][1], ins_setup[inst][2]] for inst in insts]
lookbacks = [ins_setup[inst][0] for inst in insts]
daily_close = [ins_setup[inst][4] for inst in insts]
min_rng = [ins_setup[inst][5] for inst in insts]
dt_strat = strat_dt.DTTrader('ProdDT',
under_dt,
vol_dt,
trade_unit=units_dt,
ratios=ratios,
lookbacks=lookbacks,
agent=None,
daily_close=daily_close,
ma_win=10,
email_notify=[],
min_rng=min_rng)
ins_setup = {
'rb1601': (1, 0.6, 0.5, 4, False, 0.004),
'l1601': (0, 0.5, 0.5, 1, False, 0.004),
'pp1601': (0, 0.5, 0.5, 1, False, 0.004),
'TA601': (0, 0.4, 0.5, 2, False, 0.004),
'MA601': (-1, 0.5, 0.5, 2, False, 0.004),
'jd1601': (2, 0.4, 0.5, 2, False, 0.004),
'a1601': (2, 0.4, 0.5, 2, False, 0.004),
'SR601': (1, 0.6, 0.5, 1, False, 0.004),
'm1601': (2, 0.3, 0.5, 2, False, 0.004),
'RM601': (-1, 0.3, 0.5, 2, False, 0.004),
'i1601': (4, 0.3, 0.5, 1, False, 0.004),
'TF1512': (2, 0.4, 0.5, 1, False, 0.0),
}
insts = ins_setup.keys()
units_dt = [ins_setup[inst][3] for inst in insts]
under_dt = [[inst] for inst in insts]
vol_dt = [[1] for inst in insts]
ratios = [[ins_setup[inst][1], ins_setup[inst][2]] for inst in insts]
lookbacks = [ins_setup[inst][0] for inst in insts]
daily_close = [ins_setup[inst][4] for inst in insts]
min_rng = [ins_setup[inst][5] for inst in insts]
dtma_strat = strat_dt.DTTrader('DTMA10',
under_dt,
vol_dt,
trade_unit=units_dt,
ratios=ratios,
lookbacks=lookbacks,
agent=None,
daily_close=daily_close,
email_notify=[],
min_rng=min_rng)
ins_setup = {
'm1601': (0, 0.7, 0.0, 8, False),
'RM601': (-1, 0.5, 0.0, 8, False),
'rb1601': (0, 0.7, 0.0, 8, False),
'TA601': (-1, 0.4, 0.0, 4, False),
'ru1601': (0, 0.7, 0.0, 1, False),
'SR601': (0, 0.7, 0.0, 4, False),
'MA601': (0, 0.7, 0.0, 3, False),
'ag1512': (0, 0.7, 0.0, 1, False),
'i1601': (2, 0.4, 0.0, 1, False),
'y1601': (0, 0.7, 0.0, 4, False),
'p1601': (0, 0.7, 0.0, 4, False),
}
insts = ins_setup.keys()
units_dt = [ins_setup[inst][3] for inst in insts]
under_dt = [[inst] for inst in insts]
vol_dt = [[1] for inst in insts]
ratios = [[ins_setup[inst][1], ins_setup[inst][2]] for inst in insts]
lookbacks = [ins_setup[inst][0] for inst in insts]
daily_close = [ins_setup[inst][4] for inst in insts]
dtsplit_strat = dt_split.DTSplitTrader('DTSplit',
under_dt,
vol_dt,
trade_unit=units_dt,
ratios=ratios,
lookbacks=lookbacks,
agent=None,
daily_close=daily_close,
ma_win=10,
email_notify=[],
min_rng=[0.004])
ins_setup = {
'i1601': [2, 2, 2],
#'jm1601': [1, 1, 1],
'TF1512': [1, 1, 1],
'TC601': [2, 4, 1],
'TA601': [2, 3, 2],
#'bu1512': [1, 1, 1],
'CF601': [2, 1, 2],
'ru1601': [1, 1, 1],
}
insts = ins_setup.keys()
units_tl = [ins_setup[inst][2] for inst in insts]
under_tl = [[inst] for inst in insts]
vol_tl = [[1] for inst in insts]
trail_loss = [ins_setup[inst][0] for inst in insts]
max_pos = [ins_setup[inst][1] for inst in insts]
tl_strat = strat_tl.TurtleTrader('ProdTL',
under_tl,
vol_tl,
trade_unit=units_tl,
agent=None,
email_notify=['*****@*****.**'],
windows=[5, 15],
max_pos=max_pos,
trail_loss=trail_loss)
ins_setup = {
'j1601': [1, 1, 1],
'rb1601': [1, 1, 1],
#'bu1512' :[2, 4, 1],
'p1601': [1, 1, 2],
'jd1601': [2, 2, 1],
}
insts = ins_setup.keys()
units_tl = [ins_setup[inst][2] for inst in insts]
under_tl = [[inst] for inst in insts]
vol_tl = [[1] for inst in insts]
trail_loss = [ins_setup[inst][0] for inst in insts]
max_pos = [ins_setup[inst][1] for inst in insts]
tl_strat2 = strat_tl.TurtleTrader('ProdTL2',
under_tl,
vol_tl,
trade_unit=units_tl,
agent=None,
email_notify=['*****@*****.**'],
windows=[10, 20],
max_pos=max_pos,
trail_loss=trail_loss)
strategies = [
rb_strat, dt_strat, dtma_strat, tl_strat, tl_strat2, dtsplit_strat
]
folder = misc.get_prod_folder()
strat_cfg = {'strategies': strategies, \
'folder': folder, \
'daily_data_days':21, \
'min_data_days':4 }
myApp = MainApp(name,
trader_cfg,
user_cfg,
strat_cfg,
tday,
master=None,
save_test=False)
myGui = Gui(myApp)
#myGui.iconbitmap(r'c:\Python27\DLLs\thumbs-up-emoticon.ico')
myGui.mainloop()
def prod_trade2(tday, name='prod_trade2'):
base.config_logging(
"ctp_" + name + ".log",
level=logging.DEBUG,
format=
'%(name)s:%(funcName)s:%(lineno)d:%(asctime)s %(levelname)s %(message)s',
to_console=True,
console_level=logging.INFO)
trader_cfg = misc.HT_PROD_TD
user_cfg = misc.HT_PROD_MD
ins_setup = {
'm1601': (0, 0.8, 0.0, 0, False, 0.004),
'RM601': (0, 0.8, 0.0, 0, False, 0.004),
'y1601': (0, 0.7, 0.0, 0, False, 0.004),
'p1601': (0, 0.9, 0.0, 0, False, 0.004),
'a1601': (0, 1.0, 0.0, 0, False, 0.004),
'rb1601': (0, 0.7, 0.5, 0, False, 0.004),
'l1601': (2, 0.4, 0.0, 0, False, 0.004),
'pp1601': (4, 0.4, 0.0, 0, False, 0.004),
'TA601': (0, 0.6, 0.0, 0, False, 0.004),
'MA601': (0, 0.8, 0.0, 0, False, 0.004),
'jd1601': (4, 0.4, 0.0, 0, False, 0.004),
'SR601': (1, 0.9, 0.0, 0, False, 0.004),
'i1601': (2, 0.4, 0.0, 0, False, 0.004),
#'TF1512':(2, 0.5, 0.0, 1, False, 0.0),
'm1605': (0, 0.8, 0.0, 2, False, 0.004),
'RM605': (0, 0.8, 0.0, 2, False, 0.004),
'y1605': (0, 0.7, 0.0, 2, False, 0.004),
'p1605': (0, 0.9, 0.0, 2, False, 0.004),
'a1605': (0, 1.0, 0.0, 2, False, 0.004),
'rb1605': (0, 0.7, 0.5, 4, False, 0.004),
'l1605': (2, 0.4, 0.0, 4, False, 0.004),
'pp1605': (4, 0.4, 0.0, 2, False, 0.004),
'TA605': (0, 0.6, 0.0, 3, False, 0.004),
'MA605': (0, 0.8, 0.0, 3, False, 0.004),
'jd1605': (4, 0.4, 0.0, 4, False, 0.004),
'SR605': (1, 0.9, 0.0, 2, False, 0.004),
'i1605': (2, 0.4, 0.0, 2, False, 0.004),
'cs1605': (0, 1.0, 0.0, 3, False, 0.004),
}
insts = ins_setup.keys()
units_dt = [ins_setup[inst][3] for inst in insts]
under_dt = [[inst] for inst in insts]
vol_dt = [[1] for inst in insts]
ratios = [[ins_setup[inst][1], ins_setup[inst][2]] for inst in insts]
lookbacks = [ins_setup[inst][0] for inst in insts]
daily_close = [ins_setup[inst][4] for inst in insts]
min_rng = [ins_setup[inst][5] for inst in insts]
dt_strat1 = strat_dt.DTTrader('DT1',
under_dt,
vol_dt,
trade_unit=units_dt,
ratios=ratios,
lookbacks=lookbacks,
agent=None,
daily_close=daily_close,
email_notify=[],
ma_win=10,
min_rng=min_rng)
ins_setup = {
'm1601': (0, 0.7, 0.0, 0, False, 0.004),
'RM601': (0, 0.6, 0.0, 0, False, 0.004),
'y1601': (0, 0.6, 0.0, 0, False, 0.004),
'p1601': (0, 1.1, 0.0, 0, False, 0.004),
'a1601': (0, 0.8, 0.0, 0, False, 0.004),
'rb1601': (0, 0.6, 0.0, 0, False, 0.004),
'l1601': (0, 0.7, 0.0, 0, False, 0.004),
'pp1601': (4, 0.35, 0.0, 0, False, 0.004),
'TA601': (0, 1.0, 0.0, 0, False, 0.004),
'MA601': (0, 0.9, 0.0, 0, False, 0.004),
'jd1601': (4, 0.3, 0.0, 0, False, 0.004),
'SR601': (1, 0.8, 0.0, 0, False, 0.004),
'i1601': (2, 0.5, 0.0, 0, False, 0.004),
#'TF1512': (2, 0.6, 0.0, 1, False, 0.0),
'm1605': (0, 0.7, 0.0, 2, False, 0.004),
'RM605': (0, 0.6, 0.0, 2, False, 0.004),
'y1605': (0, 0.6, 0.0, 2, False, 0.004),
'p1605': (0, 1.1, 0.0, 2, False, 0.004),
'a1605': (0, 0.8, 0.0, 2, False, 0.004),
'rb1605': (0, 0.6, 0.0, 4, False, 0.004),
'l1605': (0, 0.7, 0.0, 4, False, 0.004),
'pp1605': (4, 0.35, 0.0, 2, False, 0.004),
'TA605': (0, 1.0, 0.0, 3, False, 0.004),
'MA605': (0, 0.9, 0.0, 3, False, 0.004),
'jd1605': (4, 0.3, 0.0, 4, False, 0.004),
'SR605': (1, 0.8, 0.0, 2, False, 0.004),
'i1605': (2, 0.5, 0.0, 2, False, 0.004),
'cs1605': (0, 1.1, 0.0, 3, False, 0.004),
}
insts = ins_setup.keys()
units_dt = [ins_setup[inst][3] for inst in insts]
under_dt = [[inst] for inst in insts]
vol_dt = [[1] for inst in insts]
ratios = [[ins_setup[inst][1], ins_setup[inst][2]] for inst in insts]
lookbacks = [ins_setup[inst][0] for inst in insts]
daily_close = [ins_setup[inst][4] for inst in insts]
min_rng = [ins_setup[inst][5] for inst in insts]
dt_strat2 = strat_dt.DTTrader('DT2',
under_dt,
vol_dt,
trade_unit=units_dt,
ratios=ratios,
lookbacks=lookbacks,
agent=None,
daily_close=daily_close,
email_notify=[],
ma_win=10,
min_rng=min_rng)
ins_setup = {
'm1601': (0, 0.8, 0.0, 0, False),
'RM601': (0, 0.8, 0.0, 0, False),
'y1601': (0, 0.9, 0.0, 0, False),
'p1601': (1, 1.0, 0.0, 0, False),
'a1601': (1, 0.9, 0.0, 0, False),
'rb1601': (2, 0.5, 0.0, 0, False),
'TA601': (1, 0.7, 0.0, 0, False),
'MA601': (1, 0.7, 0.0, 0, False),
'SR601': (2, 0.9, 0.0, 0, False),
'i1601': (4, 0.4, 0.0, 0, False),
'ag1512': (1, 0.6, 0.0, 0, False),
'ag1606': (1, 0.8, 0.0, 2, False),
'm1605': (0, 0.8, 0.0, 2, False),
'RM605': (0, 0.8, 0.0, 2, False),
'y1605': (0, 0.9, 0.0, 2, False),
'p1605': (1, 1.0, 0.0, 2, False),
'a1605': (1, 0.9, 0.0, 2, False),
'rb1605': (2, 0.5, 0.0, 4, False),
'TA605': (1, 0.7, 0.0, 3, False),
'MA605': (1, 0.7, 0.0, 3, False),
'SR605': (2, 0.9, 0.0, 2, False),
'i1605': (4, 0.4, 0.0, 2, False),
}
insts = ins_setup.keys()
units_dt = [ins_setup[inst][3] for inst in insts]
under_dt = [[inst] for inst in insts]
vol_dt = [[1] for inst in insts]
ratios = [[ins_setup[inst][1], ins_setup[inst][2]] for inst in insts]
lookbacks = [ins_setup[inst][0] for inst in insts]
daily_close = [ins_setup[inst][4] for inst in insts]
dtsplit_strat1 = dt_split.DTSplitTrader('DTSp1',
under_dt,
vol_dt,
trade_unit=units_dt,
ratios=ratios,
lookbacks=lookbacks,
agent=None,
daily_close=daily_close,
ma_win=10,
email_notify=[],
min_rng=[0.004])
ins_setup = {
'm1601': (0, 1.0, 0.0, 0, False),
'RM601': (0, 1.0, 0.0, 0, False),
'y1601': (0, 1.0, 0.0, 0, False),
'p1601': (1, 1.1, 0.0, 0, False),
'a1601': (1, 1.1, 0.0, 0, False),
'rb1601': (0, 0.9, 0.0, 0, False),
'TA601': (1, 0.9, 0.0, 0, False),
'MA601': (1, 0.9, 0.0, 0, False),
'SR601': (4, 0.45, 0.0, 0, False),
'i1601': (4, 0.5, 0.0, 0, False),
'ag1512': (1, 1.1, 0.0, 0, False),
'ag1606': (1, 1.1, 0.0, 2, False),
'm1605': (0, 1.0, 0.0, 2, False),
'RM605': (0, 1.0, 0.0, 2, False),
'y1605': (0, 1.0, 0.0, 2, False),
'p1605': (1, 1.1, 0.0, 2, False),
'a1605': (1, 1.1, 0.0, 2, False),
'rb1605': (0, 0.9, 0.0, 4, False),
'TA605': (1, 0.9, 0.0, 3, False),
'MA605': (1, 0.9, 0.0, 3, False),
'SR605': (4, 0.45, 0.0, 2, False),
'i1605': (4, 0.5, 0.0, 2, False),
}
insts = ins_setup.keys()
units_dt = [ins_setup[inst][3] for inst in insts]
under_dt = [[inst] for inst in insts]
vol_dt = [[1] for inst in insts]
ratios = [[ins_setup[inst][1], ins_setup[inst][2]] for inst in insts]
lookbacks = [ins_setup[inst][0] for inst in insts]
daily_close = [ins_setup[inst][4] for inst in insts]
dtsplit_strat2 = dt_split.DTSplitTrader('DTSp2',
under_dt,
vol_dt,
trade_unit=units_dt,
ratios=ratios,
lookbacks=lookbacks,
agent=None,
daily_close=daily_close,
ma_win=10,
email_notify=[],
min_rng=[0.004])
ins_setup = {
'i1601': [1, 1, 2],
'TA601': [2, 2, 2],
'bu1512': [2, 1, 1],
'bu1601': [2, 1, 1],
'i1605': [1, 1, 2],
'TA605': [2, 2, 2],
'ZC605': [2, 3, 1],
}
insts = ins_setup.keys()
units_tl = [ins_setup[inst][2] for inst in insts]
under_tl = [[inst] for inst in insts]
vol_tl = [[1] for inst in insts]
trail_loss = [ins_setup[inst][0] for inst in insts]
max_pos = [ins_setup[inst][1] for inst in insts]
tl_strat1 = strat_tl.TurtleTrader('TL1',
under_tl,
vol_tl,
trade_unit=units_tl,
agent=None,
email_notify=[],
windows=[5, 15],
max_pos=max_pos,
trail_loss=trail_loss)
ins_setup = {
'j1601': [1, 2, 1],
#'TC605': [2, 3, 2],
'i1601': [2, 2, 1],
'j1605': [1, 2, 1],
'ZC605': [2, 3, 2],
'i1605': [2, 2, 1],
}
insts = ins_setup.keys()
units_tl = [ins_setup[inst][2] for inst in insts]
under_tl = [[inst] for inst in insts]
vol_tl = [[1] for inst in insts]
trail_loss = [ins_setup[inst][0] for inst in insts]
max_pos = [ins_setup[inst][1] for inst in insts]
tl_strat2 = strat_tl.TurtleTrader('TL2',
under_tl,
vol_tl,
trade_unit=units_tl,
agent=None,
email_notify=[],
windows=[10, 20],
max_pos=max_pos,
trail_loss=trail_loss)
strategies = [
dtsplit_strat1, dtsplit_strat2, dt_strat1, dt_strat2, tl_strat1,
tl_strat2
]
folder = misc.get_prod_folder()
strat_cfg = {'strategies': strategies, \
'folder': folder, \
'daily_data_days':21, \
'min_data_days':3 }
myApp = MainApp(name,
trader_cfg,
user_cfg,
strat_cfg,
tday,
master=None,
save_test=False)
myGui = Gui(myApp)
#myGui.iconbitmap(r'c:\Python27\DLLs\thumbs-up-emoticon.ico')
myGui.mainloop()
def prod_test(tday, name='prod_test'):
base.config_logging("ctp_" + name + ".log", level=logging.DEBUG,
format = '%(name)s:%(funcName)s:%(lineno)d:%(asctime)s %(levelname)s %(message)s',
to_console = True,
console_level = logging.INFO)
trader_cfg = None
user_cfg = misc.HT_PROD_MD
ins_setup = {'ru1605': [[0.35, 0.08, 0.25], 1, 120, 3],
'rb1605': [[0.25, 0.05, 0.15], 5, 20, 3],
'RM605' : [[0.35, 0.07, 0.25], 4, 20, 1],
'm1605' : [[0.35, 0.07, 0.25], 4, 30, 3],
'ag1606': [[0.4, 0.1, 0.3], 4, 40, 5],
'y1605' : [[0.25, 0.05, 0.15], 4, 60, 1],
'cu1603': [[0.25, 0.05, 0.15], 1, 700, 1]}
insts = ins_setup.keys()
units_rb = [ins_setup[inst][1] for inst in insts]
under_rb = [[inst] for inst in insts]
vol_rb = [[1] for inst in insts]
ratios = [ins_setup[inst][0] for inst in insts]
min_rng = [ins_setup[inst][2] for inst in insts]
freq = [ins_setup[inst][3] for inst in insts]
stop_loss = 0.015
rb_strat = strat_rb.RBreakerTrader('ProdRB', under_rb, vol_rb, trade_unit = units_rb,
ratios = ratios, min_rng = min_rng, trail_loss = stop_loss, freq = freq,
agent = None, email_notify = [])
ins_setup ={
'TF1603':(2, 0.5, 0.0, 1, False, 0.0),
'm1605': (0,0.8, 0.0, 2, False, 0.004),
'RM605': (0,0.8, 0.0, 2, False, 0.004),
'y1605': (0,0.7, 0.0, 2, False, 0.004),
'p1605': (0,0.9, 0.0, 2, False, 0.004),
'a1605' :(0,1.0, 0.0, 2, False, 0.004),
'rb1605':(0,0.7, 0.5, 4, False, 0.004),
'l1605': (2,0.4, 0.0, 4, False, 0.004),
'pp1605':(4,0.4, 0.0, 2, False, 0.004),
'TA605' :(0, 0.6, 0.0, 3, False, 0.004),
'MA605' :(0, 0.8, 0.0, 3, False, 0.004),
'jd1605':(4, 0.4, 0.0, 4, False, 0.004),
'SR605': (1, 0.9, 0.0, 2, False, 0.004),
'i1605' :(2, 0.4,0.0, 2, False, 0.004),
'cs1605' :(0, 1.0, 0.0, 3, False, 0.004),
}
insts = ins_setup.keys()
units_dt = [ins_setup[inst][3] for inst in insts]
under_dt = [[inst] for inst in insts]
vol_dt = [[1] for inst in insts]
ratios = [[ins_setup[inst][1], ins_setup[inst][2]] for inst in insts]
lookbacks = [ins_setup[inst][0] for inst in insts]
daily_close = [ins_setup[inst][4] for inst in insts]
min_rng = [ins_setup[inst][5] for inst in insts]
dt_strat = dt_bar.DTBarTrader('ProdDT', under_dt, vol_dt, trade_unit = units_dt,
ratios = ratios, lookbacks = lookbacks,
agent = None, daily_close = daily_close, ma_win = 10,
email_notify = [], min_rng = min_rng)
ins_setup = {
'TF1603': (2, 0.6, 0.0, 1, False, 0.0),
'm1605': (0, 0.7, 0.0, 2, False, 0.004),
'RM605': (0, 0.6, 0.0, 2, False, 0.004),
'y1605': (0, 0.6, 0.0, 2, False, 0.004),
'p1605': (0, 1.1, 0.0, 2, False, 0.004),
'a1605' : (0, 0.8, 0.0, 2, False, 0.004),
'rb1605': (0, 0.6, 0.0, 4, False, 0.004),
'l1605': (0, 0.7, 0.0, 4, False, 0.004),
'pp1605': (4, 0.35, 0.0, 2, False, 0.004),
'TA605' : (0, 1.0, 0.0, 3, False, 0.004),
'MA605' : (0, 0.9, 0.0, 3, False, 0.004),
'jd1605': (4, 0.3, 0.0, 4, False, 0.004),
'SR605': (1, 0.8, 0.0, 2, False, 0.004),
'i1605' : (2, 0.5,0.0, 2, False, 0.004),
'cs1605' :(0, 1.1, 0.0, 3, False, 0.004),
}
insts = ins_setup.keys()
units_dt = [ins_setup[inst][3] for inst in insts]
under_dt = [[inst] for inst in insts]
vol_dt = [[1] for inst in insts]
ratios = [[ins_setup[inst][1], ins_setup[inst][2]] for inst in insts]
lookbacks = [ins_setup[inst][0] for inst in insts]
daily_close = [ins_setup[inst][4] for inst in insts]
min_rng = [ins_setup[inst][5] for inst in insts]
dtma_strat = dt_bar.DTBarTrader('DTMA10', under_dt, vol_dt, trade_unit = units_dt,
ratios = ratios, lookbacks = lookbacks,
agent = None, daily_close = daily_close,
email_notify = [], min_rng = min_rng)
ins_setup = {
'ag1606': (1, 0.8, 0.0, 2, False),
'm1605': (0, 0.8, 0.0, 2, False),
'RM605': (0, 0.8, 0.0, 2, False),
'y1605': (0, 0.9, 0.0, 2, False),
'p1605': (1, 1.0, 0.0, 2, False),
'a1605': (1, 0.9, 0.0, 2, False),
'rb1605': (2, 0.5, 0.0, 4, False),
'TA605' : (1, 0.7, 0.0, 3, False),
'MA605' : (1, 0.7, 0.0, 3, False),
'SR605' : (2, 0.9, 0.0, 2, False),
'i1605' : (4, 0.4, 0.0, 2, False),
}
insts = ins_setup.keys()
units_dt = [ins_setup[inst][3] for inst in insts]
under_dt = [[inst] for inst in insts]
vol_dt = [[1] for inst in insts]
ratios = [[ins_setup[inst][1], ins_setup[inst][2]] for inst in insts]
lookbacks = [ins_setup[inst][0] for inst in insts]
daily_close = [ins_setup[inst][4] for inst in insts]
dtsplit_strat1 = dt_split.DTSplitTrader('DTSp1', under_dt, vol_dt, trade_unit = units_dt,
ratios = ratios, lookbacks = lookbacks,
agent = None, daily_close = daily_close, ma_win = 10,
email_notify = [], min_rng = [0.004])
ins_setup = {
'ag1606': (1, 1.1, 0.0, 2, False),
'm1605': (0, 1.0, 0.0, 2, False),
'RM605': (0, 1.0, 0.0, 2, False),
'y1605': (0, 1.0, 0.0, 2, False),
'p1605': (1, 1.1, 0.0, 2, False),
'a1605': (1, 1.1, 0.0, 2, False),
'rb1605': (0, 0.9, 0.0, 4, False),
'TA605' : (1, 0.9, 0.0, 3, False),
'MA605' : (1, 0.9, 0.0, 3, False),
'SR605' : (4,0.45, 0.0, 2, False),
'i1605' : (4, 0.5, 0.0, 2, False),
}
insts = ins_setup.keys()
units_dt = [ins_setup[inst][3] for inst in insts]
under_dt = [[inst] for inst in insts]
vol_dt = [[1] for inst in insts]
ratios = [[ins_setup[inst][1], ins_setup[inst][2]] for inst in insts]
lookbacks = [ins_setup[inst][0] for inst in insts]
daily_close = [ins_setup[inst][4] for inst in insts]
dtsplit_strat2 = dt_split.DTSplitTrader('DTSp2', under_dt, vol_dt, trade_unit = units_dt,
ratios = ratios, lookbacks = lookbacks,
agent = None, daily_close = daily_close, ma_win = 10,
email_notify = [], min_rng = [0.004])
ins_setup = {
'p1605': (1, 0.9, 0.0, 2, False),
'rb1605': (0, 0.7, 0.0, 2, False),
'pp1605': (2, 0.25,0.0, 1, False),
'TF1603': (2, 0.5, 0.0, 1, False),
'MA605' : (2, 0.25,0.0, 3, False),
'SR605' : (1, 0.9, 0.0, 2, False),
}
insts = ins_setup.keys()
units_dt = [ins_setup[inst][3] for inst in insts]
under_dt = [[inst] for inst in insts]
vol_dt = [[1] for inst in insts]
ratios = [[ins_setup[inst][1], ins_setup[inst][2]] for inst in insts]
lookbacks = [ins_setup[inst][0] for inst in insts]
daily_close = [ins_setup[inst][4] for inst in insts]
chan_func ={'func_high': [data_handler.DONCH_H, data_handler.donch_h], 'high_name': 'DONCH_H', \
'func_low': [data_handler.DONCH_L, data_handler.donch_l], 'low_name': 'DONCH_L', \
'func_args': {'n': 5}}
dtchan5_sp1 = dt_chansplit.DTChanSplitTrader('DTChan5Sp1',
under_dt,
vol_dt,
trade_unit = units_dt,
ratios = ratios,
lookbacks = lookbacks,
agent = None,
daily_close = daily_close,
chan_func = chan_func,
open_period = [300, 2115],
email_notify = [],
min_rng = [0.002])
ins_setup = {
'p1605': (1, 1.0, 0.0, 2, False),
'rb1605': (0, 0.6, 0.0, 2, False),
'pp1605': (2, 0.3, 0.0, 1, False),
'TF1603': (1, 0.7, 0.0, 1, False),
'MA605' : (2, 0.3, 0.0, 3, False),
'SR605' : (1, 1.0, 0.0, 2, False),
}
insts = ins_setup.keys()
units_dt = [ins_setup[inst][3] for inst in insts]
under_dt = [[inst] for inst in insts]
vol_dt = [[1] for inst in insts]
ratios = [[ins_setup[inst][1], ins_setup[inst][2]] for inst in insts]
lookbacks = [ins_setup[inst][0] for inst in insts]
daily_close = [ins_setup[inst][4] for inst in insts]
chan_func ={'func_high': [data_handler.DONCH_H, data_handler.donch_h], 'high_name': 'DONCH_H', \
'func_low': [data_handler.DONCH_L, data_handler.donch_l], 'low_name': 'DONCH_L', \
'func_args': {'n': 5}}
dtchan5_sp2 = dt_chansplit.DTChanSplitTrader('DTChan5Sp2',
under_dt,
vol_dt,
trade_unit = units_dt,
ratios = ratios,
lookbacks = lookbacks,
agent = None,
daily_close = daily_close,
chan_func = chan_func,
open_period = [300, 2115],
email_notify = [],
min_rng = [0.002])
ins_setup = {
'cs1605': (1, 1.1, 0.0, 3, False),
'l1605': (0, 0.7, 0.0, 1, False),
'i1605': (0, 0.7, 0.0, 2, False),
'j1605': (2, 0.35,0.0, 2, False),
'cu1603': (1, 0.6, 0.0, 1, False),
}
insts = ins_setup.keys()
units_dt = [ins_setup[inst][3] for inst in insts]
under_dt = [[inst] for inst in insts]
vol_dt = [[1] for inst in insts]
ratios = [[ins_setup[inst][1], ins_setup[inst][2]] for inst in insts]
lookbacks = [ins_setup[inst][0] for inst in insts]
daily_close = [ins_setup[inst][4] for inst in insts]
chan_func ={'func_high': [data_handler.DONCH_H, data_handler.donch_h], 'high_name': 'DONCH_H', \
'func_low': [data_handler.DONCH_L, data_handler.donch_l], 'low_name': 'DONCH_L', \
'func_args': {'n': 10}}
dtchan10_sp1 = dt_chansplit.DTChanSplitTrader('DTChan10Sp1',
under_dt,
vol_dt,
trade_unit = units_dt,
ratios = ratios,
lookbacks = lookbacks,
agent = None,
daily_close = daily_close,
chan_func = chan_func,
open_period = [300, 2115],
email_notify = [],
min_rng = [0.002])
ins_setup = {
'cs1605': (1, 1.0, 0.0, 3, False),
'l1605': (2, 0.4, 0.0, 1, False),
'i1605': (0, 0.9, 0.0, 2, False),
'j1605': (2, 0.4, 0.0, 2, False),
'cu1603': (2,0.35, 0.0, 1, False),
}
insts = ins_setup.keys()
units_dt = [ins_setup[inst][3] for inst in insts]
under_dt = [[inst] for inst in insts]
vol_dt = [[1] for inst in insts]
ratios = [[ins_setup[inst][1], ins_setup[inst][2]] for inst in insts]
lookbacks = [ins_setup[inst][0] for inst in insts]
daily_close = [ins_setup[inst][4] for inst in insts]
chan_func ={'func_high': [data_handler.DONCH_H, data_handler.donch_h], 'high_name': 'DONCH_H', \
'func_low': [data_handler.DONCH_L, data_handler.donch_l], 'low_name': 'DONCH_L', \
'func_args': {'n': 10}}
dtchan10_sp2 = dt_chansplit.DTChanSplitTrader('DTChan10Sp2',
under_dt,
vol_dt,
trade_unit = units_dt,
ratios = ratios,
lookbacks = lookbacks,
agent = None,
daily_close = daily_close,
chan_func = chan_func,
open_period = [300, 2115],
email_notify = [],
min_rng = [0.002])
ins_setup = {
'm1605': (1, 0.7, 0.0, 3, False),
'RM605': (2,0.25, 0.0, 3, False),
'y1605': (1, 0.8, 0.0, 2, False),
'l1605': (0, 0.7, 0.0, 1, False),
'TF1603': (2, 0.45,0.0, 1, False),
'TA605' : (0, 0.7, 0.0, 2, False),
'i1605' : (2, 0.35,0.0, 2, False),
}
insts = ins_setup.keys()
units_dt = [ins_setup[inst][3] for inst in insts]
under_dt = [[inst] for inst in insts]
vol_dt = [[1] for inst in insts]
ratios = [[ins_setup[inst][1], ins_setup[inst][2]] for inst in insts]
lookbacks = [ins_setup[inst][0] for inst in insts]
daily_close = [ins_setup[inst][4] for inst in insts]
chan_func ={'func_high': [data_handler.DONCH_H, data_handler.donch_h], 'high_name': 'DONCH_H', \
'func_low': [data_handler.DONCH_L, data_handler.donch_l], 'low_name': 'DONCH_L', \
'func_args': {'n': 20}}
dtchan20_sp1 = dt_chansplit.DTChanSplitTrader('DTChan20Sp1',
under_dt,
vol_dt,
trade_unit = units_dt,
ratios = ratios,
lookbacks = lookbacks,
agent = None,
daily_close = daily_close,
chan_func = chan_func,
open_period = [300, 2115],
email_notify = [],
min_rng = [0.002])
ins_setup = {
'm1605': (1, 0.8, 0.0, 3, False),
'RM605': (2, 0.3, 0.0, 3, False),
'y1605': (1, 1.0, 0.0, 2, False),
'l1605': (0, 1.0, 0.0, 1, False),
'TF1603': (2, 0.5, 0.0, 1, False),
'TA605' : (1, 0.8, 0.0, 2, False),
'i1605' : (2, 0.4, 0.0, 2, False),
}
insts = ins_setup.keys()
units_dt = [ins_setup[inst][3] for inst in insts]
under_dt = [[inst] for inst in insts]
vol_dt = [[1] for inst in insts]
ratios = [[ins_setup[inst][1], ins_setup[inst][2]] for inst in insts]
lookbacks = [ins_setup[inst][0] for inst in insts]
daily_close = [ins_setup[inst][4] for inst in insts]
chan_func ={'func_high': [data_handler.DONCH_H, data_handler.donch_h], 'high_name': 'DONCH_H', \
'func_low': [data_handler.DONCH_L, data_handler.donch_l], 'low_name': 'DONCH_L', \
'func_args': {'n': 20}}
dtchan20_sp2 = dt_chansplit.DTChanSplitTrader('DTChan20Sp2',
under_dt,
vol_dt,
trade_unit = units_dt,
ratios = ratios,
lookbacks = lookbacks,
agent = None,
daily_close = daily_close,
chan_func = chan_func,
open_period = [300, 2115],
email_notify = [],
min_rng = [0.002])
ins_setup = {
'bu1601':[2, 1, 1],
'i1605': [1, 1, 2],
'TA605': [2, 2, 2],
'ZC605': [2, 3, 1],
}
insts = ins_setup.keys()
units_tl = [ins_setup[inst][2] for inst in insts]
under_tl = [[inst] for inst in insts]
vol_tl = [[1] for inst in insts]
trail_loss = [ins_setup[inst][0] for inst in insts]
max_pos = [ins_setup[inst][1] for inst in insts]
tl_strat = strat_tl.TurtleTrader('ProdTL', under_tl, vol_tl, trade_unit = units_tl,
agent = None, email_notify = ['*****@*****.**'],
windows = [5, 15],
max_pos = max_pos,
trail_loss = trail_loss)
ins_setup = {
'j1605': [1, 2, 1],
'ZC605': [2, 3, 2],
'i1605': [2, 2, 1],
}
insts = ins_setup.keys()
units_tl = [ins_setup[inst][2] for inst in insts]
under_tl = [[inst] for inst in insts]
vol_tl = [[1] for inst in insts]
trail_loss = [ins_setup[inst][0] for inst in insts]
max_pos = [ins_setup[inst][1] for inst in insts]
tl_strat2 = strat_tl.TurtleTrader('ProdTL2', under_tl, vol_tl, trade_unit = units_tl,
agent = None, email_notify = ['*****@*****.**'],
windows = [10, 20],
max_pos = max_pos,
trail_loss = trail_loss )
strategies = [rb_strat, dt_strat, dtma_strat,\
tl_strat, tl_strat2, \
dtsplit_strat1, dtsplit_strat2, \
dtchan5_sp1, dtchan5_sp2, \
dtchan10_sp1, dtchan10_sp2, \
dtchan20_sp1, dtchan20_sp2]
folder = misc.get_prod_folder()
strat_cfg = {'strategies': strategies, \
'folder': folder, \
'daily_data_days':22, \
'min_data_days':4 }
myApp = MainApp(name, trader_cfg, user_cfg, strat_cfg, tday, master = None, save_test = False)
myGui = Gui(myApp)
#myGui.iconbitmap(r'c:\Python27\DLLs\thumbs-up-emoticon.ico')
myGui.mainloop()