def order(self, n0, mode, uid, df0, isstop=0):
# BS 配置文件，查询ratio 和 每手吨数
b0 = self.BS[self.mCode]
if mode != 0:
self.batchId = uuid.uuid1()
# 交易量
if self.iniVolume != 0:
hands = self.iniVolume
elif np.isnan(n0['atr']) :
hands = int(self.iniAmount/10/n0['close']/b0["contract_multiplier"])
else:
hands = int(self.iniAmount * self.stopLine / 2 / n0['atr'] / b0["contract_multiplier"])
v0 = hands * b0["contract_multiplier"]
# 费率
fee0 = (hands * b0["ratio"] * 1.1) if b0["ratio"] > 0.5 else ((b0["ratio"] * 1.1) * n0["close"] * v0)
ps = n0["close"]
amount = v0 * ps * float(b0['margin_rate'])
doc = copy.deepcopy(n0.to_dict())
doc.update({
"createdate": n0["datetime"],
"code": self.codes[0],
"pid": self.mCode,
"price": ps,
"vol": self.preNode[0]["vol"] if self.preNode else v0,
"hands": self.preNode[0]["hands"] if self.preNode else hands,
"amount": amount if not self.preNode else self.preNode[0]["amount"],
"mode": int(mode) if not self.preNode else -self.preNode[0]["mode"],
"isopen": 0 if mode == 0 else 1,
"fee": fee0,
"income": 0,
"isstop": isstop,
"options": int(n0['options']) if 'options' in n0 else 0,
"atr": n0['atr'] if 'atr' in n0 else 0,
"macd": n0['ma'] if 'ma' in n0 else 0,
"rel_std": n0["std"] if 'std' in n0 else 0,
"delta": n0['diss'] if 'diss' in n0 else 0,
"batchid": self.batchId,
"diff": 0 if mode != 0 else self.Rice.timeDiff(str(self.preNode[0]['createdate']), str(n0["datetime"])),
"uid": uid
})
if mode == 0 and self.preNode:
p0 = self.preNode[0]
doc['income'], doc['highIncome'], doc['lowIncome'] = self.calcIncome(n0, p0, df0)
doc["diff"] = int(public.timeDiff(str(n0['datetime']), str(p0['createdate'])) / 60)
self.preNode = None
else:
doc["income"] = -doc["fee"]
self.preNode = [doc]
return doc
def order(self, n0, n1, mode, uid, df0, isstop=0):
# baseInfo 配置文件，查询ratio 和 每手吨数
b0 = self.baseInfo[self.mCodes[0]]
if mode != 0:
self.batchId = uuid.uuid1()
# 交易量
v0 = self.iniVolume * b0["contract_multiplier"]
# 费率
fee0 = (self.iniVolume *
b0["ratio"]) if b0["ratio"] > 0.5 else ((b0["ratio"]) *
n0["close"] * v0)
type = mode if not self.preNode else -self.preNode[0]["mode"]
doc = {
"createdate": n0["datetime"],
"code": self.codes[0],
"price": n0["close"],
"vol": self.preNode[0]["vol"] if self.preNode else v0,
"mode": int(type),
"isopen": 0 if mode == 0 else 1,
"fee": fee0,
"income": 0,
"isstop": isstop,
"rel_price": n0["rel_price"],
"rel_std": n0["std"],
"atr": n0['atr'] if 'atr' in n0 else 0,
"batchid": self.batchId,
'p_l': n0["p_l"],
'p_h': n0["p_h"],
#'mastd': n0['pow'],
#'macd2d':n0['macd2d'],
"method": self.stage,
"diff": 0,
"uid": uid
}
if mode == 0:
if self.preNode is not None:
p0 = self.preNode[0]
doc['income'], doc['highIncome'], doc[
'lowIncome'] = self.calcIncome(n0, p0, df0)
doc["diff"] = int(
public.timeDiff(str(n0['datetime']), str(p0['createdate']))
/ 60)
self.preNode = None
else:
doc["income"] = -doc["fee"]
self.preNode = [doc]
self.mon_saveTick(n0, doc)
self.records.append(doc)
return True
def order(self, n0, n1, mode, uid, df0, isstop=0):
# baseInfo 配置文件，查询ratio 和 每手吨数
b0 = self.baseInfo[self.mCodes[0]]
if mode != 0:
self.batchId = uuid.uuid1()
# 交易量
v0 = self.iniVolume * b0["contract_multiplier"]
# 费率
fee0 = (self.iniVolume *
b0["ratio"]) if b0["ratio"] > 0.5 else ((b0["ratio"]) *
n0["close"] * v0)
doc = {
"createdate": n0["datetime"],
"code": self.codes[0],
"price": n0["close"],
"vol": self.preNode[0]["vol"] if self.preNode else v0,
"mode": mode if not self.preNode else -self.preNode[0]["mode"],
"isopen": 0 if mode == 0 else 1,
"fee": fee0,
"income": 0,
"isstop": isstop,
"rel_price": n0["rel_price"],
"rel_std": n0["std"],
"bullwidth": n0["width"],
#"widthDelta": n0["widthDelta"],
#"price_diff": n0["widthDelta2"],
"shift": n0["slope"],
"delta": n0["rsi"],
"batchid": self.batchId,
'p_l': n0["p_l"],
'p_h': n0["p_h"],
#'macd': n0['macd'],
#'mastd': n0['pow'],
#'macd2d':n0['macd2d'],
"diff": 0,
"uid": uid
}
if mode == 0:
if self.preNode is not None:
p0 = self.preNode[0]
doc['income'], doc['highIncome'], doc[
'lowIncome'] = self.calcIncome(n0, p0, df0)
doc["diff"] = int(
public.timeDiff(str(n0['datetime']), str(p0['createdate']))
/ 60)
self.preNode = None
else:
doc["income"] = -doc["fee"]
self.preNode = [doc]
return doc
def order(self, n0, mode, uid):
# baseInfo 配置文件，查询ratio 和 每手吨数
b0 = self.baseInfo[self.mCodes[0]]
if mode != 0:
self.batchId = uuid.uuid1()
# 交易量
v0 = self.iniVolume * b0["contract_multiplier"]
# 费率
fee0 = (self.iniVolume *
b0["ratio"]) if b0["ratio"] > 0.5 else ((b0["ratio"]) *
n0["close"] * v0)
doc = {
"createdate": n0["datetime"],
"code": self.codes[0],
"price": n0["close"],
"vol": self.preNode["vol"] if self.preNode else v0,
"mode": mode if not self.preNode else -self.preNode["mode"],
"isopen": 0 if mode == 0 else 1,
"fee": fee0,
"income": 0,
"rel_price": n0["rel_price"],
"rel_std": n0["std"],
"bullwidth": n0["bullwidth"],
"widthDelta": n0["widthDelta"],
"delta": n0["delta"],
"batchid": self.batchId,
"atr": n0["atr"],
'p_l': n0["p_l"],
'p_h': n0["p_h"],
"diff": 0,
"uid": uid
}
if mode == 0 and self.preNode:
p0 = self.preNode
doc["income"] = p0["mode"] * (
n0["close"] - p0["price"] -
2 * p0["mode"] * self.shift[0]) * p0["vol"] - p0["fee"]
doc["diff"] = int(
public.timeDiff(str(n0['datetime']), str(p0['createdate'])) /
60)
self.preNode = None
else:
doc["income"] = -doc["fee"]
self.preNode = doc
return doc
def closeOrder(self, n0, p0, df0, amount, isstop):
doc = copy.deepcopy(p0)
doc.update({
"createdate": n0["datetime"],
"price": n0['close'],
"amount": amount,
"mode": -p0['mode'],
"isopen": 0,
"isstop": isstop
})
doc['income'], doc['highIncome'], doc['lowIncome'] = self.calcIncome(
n0, p0, df0)
doc["diff"] = int(
public.timeDiff(str(n0['datetime']), str(p0['createdate'])) / 60)
return doc
def order(self, n0, mode, uid, df0, isstop=0, startPrice=None):
# BS 配置文件，查询ratio 和 每手吨数
b0 = self.BS[self.mCode]
if mode != 0:
self.batchId = uuid.uuid1()
# 交易量
v0 = self.iniVolume * b0["contract_multiplier"]
# 费率
fee0 = (self.iniVolume * b0["ratio"] * 1.1) if b0["ratio"] > 0.5 else ((b0["ratio"] * 1.1) * n0["close"] * v0)
ps = startPrice if startPrice is not None else n0["close"]
amount = v0 * ps * float(b0['margin_rate'])
doc = {
"createdate": n0["datetime"],
"code": self.codes[0],
"price": ps,
"vol": self.preNode[0]["vol"] if self.preNode else v0,
"hands": self.iniVolume,
"amount": amount if not self.preNode else self.preNode[0]["amount"],
"mode": int(mode) if not self.preNode else -self.preNode[0]["mode"],
"isopen": 0 if mode == 0 else 1,
"fee": fee0,
"income": 0,
"isstop": isstop,
"shift": n0['slope'] if 'slope' in n0 else 0,
"rel_std": n0["std"] if 'std' in n0 else 0,
"delta": n0['diss'] if 'diss' in n0 else 0,
"batchid": self.batchId,
"diff": 0 if mode != 0 else self.Rice.timeDiff(str(self.preNode[0]['createdate']), str(n0["datetime"])),
"uid": uid
}
if mode == 0 and self.preNode:
p0 = self.preNode[0]
doc['income'], doc['highIncome'], doc['lowIncome'], doc['atr'], doc['macd'] = self.calcIncome(n0, p0, df0)
doc["diff"] = int(public.timeDiff(str(n0['datetime']), str(p0['createdate'])) / 60)
self.preNode = None
else:
doc["income"] = -doc["fee"]
self.preNode = [doc]
return doc
def setTimeArea(self, nightEnd):
# 设置交易对的收盘时间和间隔区间
self.TimeArea, self.TimeDiffArea = [], []
for n in self.iniTimeArea:
self.TimeArea.append(n)
for n in self.iniTimeDiffArea:
self.TimeDiffArea.append(n)
date = public.getDate()
if ("21:00:00" < nightEnd < "23:59:00") or ("00:00:00" < nightEnd <
"05:00:00"):
diff = int(
public.timeDiff(date + ' ' + '09:00:00',
date + ' ' + nightEnd[0:8]) / 60)
# 夜盘隔日
if diff < 0: diff = 24 * 60 + diff
self.TimeArea.append(("21:00:00", nightEnd[0:8], 720 - diff))
self.TimeDiffArea.append(("07:00:00", diff))
else:
self.TimeDiffArea[1] = ('16:00', 18 * 60)
def timeDiff(self, preDate, curDate=None, quick=0):
#
if curDate is None:
curDate = public.getDatetime(style='%Y-%m-%d %H:%M:%S')
preDate = str(preDate)
if preDate.find('.') > -1:
preDate = preDate[:preDate.find(".")]
elif len(preDate) == 8:
preDate = public.parseTime(preDate,
format='%Y%m%d',
style='%Y-%m-%d %H:%M:%S')
diff = public.timeDiff(str(curDate), preDate) / 60
# 快速比较
if quick > 0 and diff < quick: return 1
# 间隔小于120，为非跨区
if diff < 120: return int(diff)
# 间隔周末
if diff > (24 * 60 * 2): diff -= 24 * 60 * 2
# 日内跨区
m0, m1 = (public.parseTime(d, style='%H:%M:%S')
for d in [preDate, curDate])
for ta in self.TimeDiffArea[:-1]:
if m0 < ta[0] < m1:
diff -= ta[1]
if diff < 120: return int(diff)
# 夜盘隔日
date = public.parseTime(curDate, style='%Y-%m-%d')
ta = self.TimeDiffArea[-1]
taTime = str(date) + ' ' + ta[0]
if preDate < taTime < curDate:
diff -= ta[1]
return int(diff)
def main():
action = {
"kline": 1,
"area":0
}
if action["kline"] == 1:
obj = train_future_jump_sg()
obj.Pool()
if action["area"] == 1:
obj = train_future_jump_sg()
Rice = interface_Rice()
for t in [1, 2]:
lists = obj.getList(t)
df = pd.DataFrame(lists)
if t==1:
df['diff'] = df.apply(lambda r: public.timeDiff(r['enddate'], r['startdate'])//86400, axis=1)
else:
df['diff'] = df.apply(lambda r: public.dayDiff(r['enddate'], r['startdate']), axis=1)
file = Rice.basePath + 'area_%s_sg.csv' % (t)
df.to_csv(file, index=0, columns=['code', 'name', 'startdate', 'enddate', 'diff'])
def timeDiff(self, t1, t2):
diff = public.timeDiff(
t1 + " 00:00:00",
str(t2) + " 00:00:00") / 60.0 / 60.0 / 24.0 / 365.0
return 1 if diff == 0 else diff
def order(self, n0, n1, mode, uid, isstop=0):
# baseInfo 配置文件，查询ratio 和 每手吨数
b0, b1 = self.baseInfo[self.mCodes[0]], self.baseInfo[self.mCodes[1]]
if mode != 0:
self.batchId = uuid.uuid1()
# 交易量
v0 = self.iniVolume * b0["contract_multiplier"]
v1 = int(v0 * n0["close"] / n1["close"] / b1["contract_multiplier"]) * b1["contract_multiplier"]
# 费率
fee0 = (self.iniVolume * b0["ratio"]) if b0["ratio"] > 0.5 else ((b0["ratio"]) * n0["close"] * v0)
fee1 = (v1 / b1["contract_multiplier"] * b1["ratio"]) if b1["ratio"] > 0.5 else (b1["ratio"] * n1["close"] * v1)
doc = {
"createdate": n0["datetime"],
"code": self.codes[0],
"price": n0["close"],
"vol": self.preNode[0]["vol"] if self.preNode else v0,
"mode": mode if not self.preNode else -self.preNode[0]["mode"],
"isopen": 0 if mode == 0 else 1,
"fee": fee0,
"income": 0,
"isstop": isstop,
"rel_price": n0["rel_price"],
"rel_std": n0["std"],
"bullwidth": n0["bullwidth"],
"widthDelta": n0["widthDelta"],
"delta": n0["delta"],
"batchid": self.batchId,
'p_l': n0["p_l"],
'p_h': n0["p_h"],
"diff": 0 if mode!=0 else self.Rice.timeDiff(str(self.preNode[0]['createdate']), str(n0["datetime"])),
"uid": uid
}
doc1 = {}
doc1.update(doc)
doc1.update({
"code": self.codes[1],
"price": n1["close"],
"vol": self.preNode[1]["vol"] if self.preNode else v1,
"mode": -mode if not self.preNode else -self.preNode[1]["mode"],
"fee": fee1,
})
if mode == 0 and self.preNode:
p0, p1 = self.preNode[0], self.preNode[1]
sign = p0["mode"] / abs(p0["mode"])
doc["income"] = sign * (n0["close"] - p0["price"] - 2 * sign * self.shift[0]) * p0["vol"] - p0[
"fee"]
doc1["income"] = - sign * (n1["close"] - p1["price"] + 2 * sign * self.shift[1]) * p1["vol"] - p1[
"fee"]
doc["diff"] = int(public.timeDiff(str(n0['datetime']), str(p0['createdate'])) / 60)
self.preNode = None
else:
doc["income"] = -doc["fee"]
doc1["income"] = -doc1["fee"]
self.preNode = (doc, doc1)
return doc, doc1
def order(self, n0, n1, mode, uid, df0, isstop=0):
# baseInfo 配置文件，查询ratio 和 每手吨数
b0 = self.baseInfo[self.mCodes[0]]
if mode != 0:
self.batchId = uuid.uuid1()
dp = n0['td_d'] if mode > 0 else n0['tu_d']
if np.isnan(dp) or dp == n0['close']:
dp = n0['close'] * (1 - 0.0025)
if self.preNode is not None:
iniVolume = self.preNode[0]['hands']
# 交易量
else:
iniVolume = int(self.iniAmount * self.stopLine /
abs(n0['close'] - dp) / b0["contract_multiplier"])
if iniVolume == 0: iniVolume = 1
v0 = iniVolume * b0["contract_multiplier"]
# 费率
fee0 = (iniVolume *
b0["ratio"]) if b0["ratio"] > 0.5 else ((b0["ratio"]) *
n0["close"] * v0)
type = mode if not self.preNode else -self.preNode[0]["mode"]
doc = {
"createdate":
n0["datetime"],
"code":
self.codes[0],
"price":
n0["close"],
"vol":
self.preNode[0]["vol"] if self.preNode else v0,
"mode":
int(type),
"isopen":
0 if mode == 0 else 1,
"fee":
fee0,
"income":
0,
"isstop":
isstop,
"rel_price":
n0["rel_price"],
"atr":
n0['atr'] if 'atr' in n0 else 0,
"batchid":
self.batchId,
'p_l':
n0["p_l"],
'p_h':
n0["p_h"],
'hands':
iniVolume,
'stop_price':
0 if mode == 0 else n0['td_d'] if mode > 0 else n0['tu_d'],
'method':
self.method,
"diff":
0,
"uid":
uid
}
if mode == 0:
if self.preNode is not None:
p0 = self.preNode[0]
doc['income'], doc['highIncome'], doc[
'lowIncome'] = self.calcIncome(n0, p0, df0)
doc["diff"] = int(
public.timeDiff(str(n0['datetime']), str(p0['createdate']))
/ 60)
self.preNode = None
else:
doc["income"] = -doc["fee"]
self.preNode = [doc]
self.records.append(doc)
return doc
def total(self, df0, df1=None, scale=1, period=60):
uid = self.uid
df0["rel_price"] = close = df0["close"] / df1["close"]
df0["datetime"] = df0.index
s0, s1 = self.shift[0], self.shift[1]
p_l = df0["p_l"] = (df0["close"] + s0) / (df1["close"] - s1)
p_h = df0["p_h"] = (df0["close"] - s0) / (df1["close"] + s1)
num = len(df0)
ma = ta.MA(close[0:num], timeperiod=period)
df0["std"] = std = ta.STDDEV(close, timeperiod=period, nbdev=1)
# 上下柜
top, lower = ma + scale * std, ma - scale * std
# bullWidth
df0["bullwidth"] = width = (4 * std / ma * 100).fillna(0)
# 近三分钟width变动
df0["widthDelta"] = wd1 = ta.MA(width - width.shift(1),
timeperiod=3).fillna(0)
df0["delta"] = (p_l - p_h) / std
wd2 = wd1 - wd1.shift(1)
wd2m = wd2 * wd2.shift(1)
# 其他参数计算
min, max = ta.MINMAX(close, timeperiod=period)
df0["atr"] = ta.WMA((max.dropna() - min.dropna()),
timeperiod=period / 2)
# 协整
result = sm.tsa.stattools.coint(df0["close"], df1["close"])
df0.fillna(0, inplace=True)
isOpen, preDate, prePrice = 0, None, 0
doc, doc1, docs = {}, {}, []
sline, wline = self.stopTimeDiff, self.widthDeltaLine
for i in range(period, num):
isRun, isstop = False, 0
# 开仓2
if isOpen == 0:
cond1, cond2 = True, False
if wline > 0:
# 布林宽带变化率
cond1 = not ((wd1[i] > wline) or (wd2[i] > (wline / 2)))
# 最大值
cond2 = wd2m[i] < 0
# 突变状态开始
# 大于上线轨迹
if p_h[i] >= top[i] and not cond1:
isOpen = -1
isRun = True
elif p_l[i] <= lower[i] and not cond1:
isOpen = 1
isRun = True
elif p_h[i] >= top[i] and cond1 and cond2:
isOpen = -2
isRun = True
elif p_l[i] <= lower[i] and cond1 and cond2:
isOpen = 2
isRun = True
# 平仓
else:
# 回归ma则平仓 或 超过24分钟 或到收盘时间 强制平仓
if (isOpen *
((p_h[i] if isOpen == 1 else p_l[i]) - ma[i])) >= 0:
isOpen = 0
isRun = True
# 止损
elif sline > 0 and self.preNode and len(self.preNode) == 2:
timediff = public.timeDiff(
df0['datetime'].values,
self.preNode[0]['createdate']) / 60
if timediff > sline:
isOpen, isstop = 0, 1
isRun = True
if isRun:
doc, doc1 = self.order(df0.iloc[i],
df1.iloc[i],
isOpen,
uid,
isstop=isstop)
if doc1 is not None:
docs.append(doc)
docs.append(doc1)
res = pd.DataFrame(docs).fillna(0).replace(np.inf,
0).replace(-np.inf, 0)
if self.saveDetail:
self.Train.insertAll(res.to_dict(orient='records'))
if len(res) > 0:
return {
"scale":
scale,
"code":
self.codes[0],
"code1":
self.codes[1],
"period":
period,
"count":
int(len(docs) / 4),
"amount":
(doc["price"] * doc["vol"] +
doc1["price"] * doc1["vol"]) if doc is not None else 0,
"price":
doc["price"] / doc1["price"],
"income":
res["income"].sum(),
"uid":
uid,
"relative":
per(df0["close"], df1["close"]),
"std":
std.mean(),
"shift": (p_l - p_h).mean(),
"delta": (p_l - p_h).mean() / std.mean(),
"coint":
0 if np.isnan(result[1]) else result[1],
"createdate":
public.getDatetime()
}
else:
return None
