def _order_open(self,price,direction,vol=1):
"""开仓"""
cs = self.cs
if not vol:
vol = self.get_max_order_num(price) # 计算开仓数量
if direction == stbase.Constants.Long: # 买开
price = self.last_tick.price.last + 2
self.buy(self.code, price, vol, stbase.Constants.Open,stbase.futures.Constants.OrderPriceType.LimitPrice,exchange_id=cs.exchange_id,
cc = stbase.futures.Constants.ContingentConditionType.Immediately, tc = stbase.futures.Constants.TimeConditionType.IOC
)
elif direction == stbase.Constants.Short: # 卖开
price = self.last_tick.price.last - 2
# self.sell('rb2001', 0, vol, stbase.Constants.Open,stbase.futures.Constants.OrderPriceType.LimitPrice,exchange_id='SHFE')
self.sell(self.code, price, vol, stbase.Constants.Open,stbase.futures.Constants.OrderPriceType.LimitPrice,
exchange_id=cs.exchange_id,
cc = stbase.futures.Constants.ContingentConditionType.Immediately,tc = stbase.futures.Constants.TimeConditionType.IOC
)
else:
print 'Error: Empty Operatoin "order_close()" '
return
data = OrderedDict(strategy_id=self.id, code=self.code, issue_time=datetime.datetime.now(),
oc=stbase.Constants.Close, direction=direction, vol=vol)
record = model.TradeOrder()
object_assign(record, data, True)
record.save()
cs.open_date = datetime.datetime.now().replace(hour=0,minute=0,second=0,microsecond=0) # 记录开仓日期
cs.save()
def getHistoryBars(self,code,cycle='1m',limit=100,lasttime=None,inc_last=False):
"""获取历史k线
剔除最后一根活动k线(盘中不能使用最后一根k线，或许是未完成计算的中间结果)
result 以时间升序排列
"""
from mantis.sg.fisher.stbase.futures import BarData
result = [] # stbase.BarData()
stock= self.product.getOrNewTradeObject(code)
cycle_cat_map = {
'1m': 1,'5m': 5,'15m': 15,
'30m': 30,'60m': 60,'d': 'd'
}
scale = cycle_cat_map[cycle]
db_conn = self.cfgs.get('db_conn')
if not db_conn:
return []
dbname = 'Ctp_Bar_'+str(scale)
coll = db_conn[dbname][code]
if lasttime:
if isinstance(lasttime,str):
lasttime = parse(lasttime)
rs = coll.find({'datetime':{'$lte':lasttime}}).sort( 'datetime',-1).limit(limit)
else:
rs = coll.find().sort( 'datetime',-1 ).limit(limit)
rs = list(rs)
rs.reverse()
result = []
for r in list(rs):
bar = BarData()
object_assign(bar,r,add_new=True)
result.append(bar)
return result
def getPosition(self, code='', strategy_id='', direction=''):
"""查询指定 代码或者指定策略的持仓记录"""
url = self.cfgs.get("td_api_url") + '/ctp/position/list'
result = []
try:
res = requests.get(url)
values = res.json().get('result', [])
for _ in values:
pos = Position()
object_assign(pos, _)
okay = pos
if code:
if code != pos.InstrumentID:
okay = None
if okay and direction:
if direction == stbase.Constants.Buy and pos.PosiDirection != stbase.futures.Constants.PositionDirection.Long:
okay = None
if direction == stbase.Constants.Sell and pos.PosiDirection != stbase.futures.Constants.PositionDirection.Short:
okay = None
if okay:
result.append(pos)
except:
traceback.print_exc()
return result
def query_resp_funds(self):
"""资金返回"""
url = self.cfgs.get("td_api_url") + '/ctp/account'
try:
res = requests.get(url)
data = res.json().get('result', {})
self.stat = AccountStat()
object_assign(self.stat, data)
except:
self.logger.error("Request Trader Service Fail Down.")
def getTrades(self):
url = self.cfgs.get("td_api_url") + '/ctp/trade/list'
orders = []
try:
res = requests.get(url)
values = res.json().get('result', [])
for _ in values:
tr = TradeReturn()
object_assign(tr, _)
orders.append(tr)
except:
traceback.print_exc()
return orders
def quoteBarRecv(self):
"""一次读取指定条件的k线记录，并开始回放"""
symbol = self.cfgs.get('symbol')
cycle =self.cfgs.get('cycle')
freq = self.cfgs.get('freq',0.5)
db = self.cfgs.get('db_conn')['Ctp_Bar_{}'.format(cycle)]
coll = db[symbol]
wait = self.cfgs.get('wait',1)
print 'wait for ',wait, 'seconds ..'
time.sleep(wait)
start = self.cfgs.get('start')
end = self.cfgs.get('end')
if isinstance(start,(str,unicode)):
start = parse(start)
if not end:
end = datetime.datetime.now()
else:
end = parse(end)
rs = coll.find({'datetime':{'$gte':start,'$lte':end }}).sort('datetime',1)
# rs = coll.find().sort('datetime',1).limit(10)
for data in list(rs):
if freq:
time.sleep(freq)
bar = BarData()
object_assign(bar,data,add_new=True)
# ktype = '{}m'.format(data['cycle'])
if cycle in ('D','d'):
bar.cycle = cycle
else:
bar.cycle = '{}m'.format(cycle) # 必须是 sc1907-1m 的格式
bar.code = symbol
bar.time = data['datetime']
bar.sys_time = datetime.datetime.now()
bar.trade_object = stbase.controller.futures.getTradeObject(symbol)
self.putData(bar) # 置入处理队列等待线程读取
endflag = BarDataEndFlag()
endflag.code = symbol
if cycle in ('D', 'd'):
endflag.cycle = cycle
else:
endflag.cycle = '{}m'.format(cycle)
self.putData(endflag)
def _getTradeRecords(self):
url = self.cfgs.get("td_api_url") + '/ctp/trade/list'
orders = []
try:
res = requests.get(url,timeout=3)
values = res.json().get('result',[])
if not values:
values =[]
for _ in values:
tr = TradeReturn()
object_assign(tr,_)
tr.normalize()
orders.append(tr)
except:
traceback.print_exc()
return orders
def quoteBarRecv(self, message, ctx):
data = message
data = json.loads(data)
ktype = '{}m'.format(data['cycle'])
code = data['symbol']
name = '{}-{}'.format(code, ktype)
last = self.bar_last_data[name].get('last')
# self.bar_last_data[name]['last'] = current
bar = BarData()
object_assign(bar, data, add_new=True)
bar.cycle = ktype
bar.code = code
bar.sys_time = datetime.datetime.now()
bar.trade_object = stbase.controller.futures.getTradeObject(code)
self.putData(bar) # 置入处理队列等待线程读取
def getOrders(self, order_id='', code='', strategy_id=''):
"""查询委托信息，状态包括： 未成、部分成、全成、错误
strategy_id 作为 委托的 orign source 字段
"""
url = self.cfgs.get("td_api_url") + '/ctp/order/list'
orders = []
try:
res = requests.get(url)
values = res.json().get('result', [])
for _ in values:
order = OrderRecord()
object_assign(order, _)
if order_id:
if order_id in (order.order_id, order.user_order_id):
orders.append(order)
except:
traceback.print_exc()
return orders
def _order_close(self,price , direction):
"""平仓 默认多头"""
cs = self.cs
vol = self.get_position(direction)
if direction == stbase.Constants.Long: # 平多
price = self.last_tick.price.last - 2
self.sell(self.code,price,vol,stbase.Constants.Close,stbase.futures.Constants.OrderPriceType.LimitPrice,exchange_id=cs.exchange_id,cc = stbase.futures.Constants.ContingentConditionType.Immediately,tc = stbase.futures.Constants.TimeConditionType.IOC)
elif direction == stbase.Constants.Short: # 平空
price = self.last_tick.price.last + 2
self.buy(self.code,price,vol,stbase.Constants.Close,stbase.futures.Constants.OrderPriceType.LimitPrice,exchange_id=cs.exchange_id,cc = stbase.futures.Constants.ContingentConditionType.Immediately,tc = stbase.futures.Constants.TimeConditionType.IOC)
else:
print 'Error: Empty Operatoin "order_close()" '
return
data = OrderedDict(strategy_id=self.id, code=self.code, issue_time=datetime.datetime.now(),
oc=stbase.Constants.Close, direction=direction, vol=vol)
record = model.TradeRecord()
object_assign(record, data, True)
record.save()
def quoteTickRecv(self,message,ctx):
data = message
tick = json.loads(data)
dt = datetime.datetime.fromtimestamp(tick['Timestamp'])
tick['DateTime'] = datetime.datetime.strptime(tick['DateTime'], '%Y%m%d %H:%M:%S.%f')
tick['SaveTime'] = datetime.datetime.now()
code = tick['InstrumentID']
data = stbase.TickData()
data.code = code
data.trade_object = stbase.controller.futures.getOrNewTradeObject(code)
data.sys_time = datetime.datetime.now()
price = Price()
price.time = data.sys_time
object_assign(price,tick)
data.price = price
data.trade_object.price = data.price
self.putData(data) # 置入处理队列等待线程读取
def eventRecv(self,data,ctx):
"""ctpTradeCxx 推送过来的 委托和成交事件
event : 'event_order' , 'event_trade'
"""
from mantis.sg.fisher.model import model
from mantis.sg.fisher.ctp.errors import error_defs
message = json.loads(data)
event = message["event"]
print event
if event == "event_order": # 处理委托通知
order = OrderRecord()
object_assign(order, message)
order.normalize()
self.orders[order.user_order_id] = order
log = model.StrategyOrderLog()
log.strategy_id = self.cfgs.get('strategy_id')
object_assign(log,hash_object(order),True )
log.save()
elif event == "event_trade":
tr = TradeReturn()
object_assign(tr, message)
tr.normalize()
log = model.StrategyTradeLog()
log.strategy_id = self.cfgs.get('strategy_id')
object_assign(log, hash_object(tr),True )
log.save()
elif event == "event_error":
log = model.StrategyErrorLog()
log.strategy_id = self.cfgs.get('strategy_id')
object_assign(log, message, True)
errcode = message.get('errcode',0)
errmsg = error_defs.get(int(errcode),'')
log.detail = errmsg
log.save()
def loadHistBars(self,*args,**kwargs):
cfgs = {}
cfgs.update(self.cfgs)
cfgs.update(kwargs)
symbol = cfgs.get('symbol')
cycle = cfgs.get('cycle')
freq = cfgs.get('freq', 0.5)
dataset = cfgs.get('dataset')
db = cfgs.get('db_conn')['Ctp_Bar_{}'.format(cycle)]
coll = db[dataset]
start = cfgs.get('start')
end = cfgs.get('end')
if isinstance(start, (str, unicode)):
start = parse(start)
if not end:
end = datetime.datetime.now()
else:
end = parse(end)
rs = coll.find({'datetime': {'$gte': start, '$lte': end}}).sort('datetime', 1)
bars =[]
for data in list(rs):
bar = BarData()
object_assign(bar, data, add_new=True)
if cycle in ('D', 'd'):
bar.cycle = cycle
else:
bar.cycle = '{}m'.format(cycle) # 必须是 sc1907-1m 的格式
bar.code = symbol
bar.time = data['datetime']
bar.sys_time = datetime.datetime.now()
# bar.trade_object = stbase.controller.futures.getTradeObject(symbol)
# self.putData(bar) # 置入处理队列等待线程读取
bars.append(bar)
return bars
def order_close(self,price , direction ,volume=1):
"""平仓 默认多头"""
# self.test_shfe()
self.siglog_print('order_close: ', price=price, direction=direction, volume=volume)
self.siglog_print(**self.sig_params)
if not self.order_enable:
return
cs = self.cs
if not volume:
volume = cs.open_pos
times = 3
time_wait = 10
finished = False
order_id = ''
vol = volume
for _ in xrange(times):
if direction == stbase.Constants.Long: # 买开
price = self.last_tick.price.BidPrice1 # 买一价
oc = self.normalizeCloseYdFlag(cs.exchange_id)
tc = self.normalizeTimeContition(stbase.futures.Constants.TimeConditionType.GFD)
order_id = self.sell(self.code, price, vol, oc,
stbase.futures.Constants.OrderPriceType.LimitPrice, exchange_id=cs.exchange_id,
cc=stbase.futures.Constants.ContingentConditionType.Immediately,
tc=tc
)
elif direction == stbase.Constants.Short: # 卖开
price = self.last_tick.price.AskPrice1
oc = self.normalizeCloseYdFlag(cs.exchange_id)
tc = self.normalizeTimeContition(stbase.futures.Constants.TimeConditionType.GFD)
order_id = self.buy(self.code, price, vol, oc,
stbase.futures.Constants.OrderPriceType.LimitPrice,
exchange_id=cs.exchange_id, tc=tc
)
self.log_print(level=model.TradeMessageLog.INFO, title='order_close_limitprice',
message='price={} direction={} volume={} order_id={}'.format(price, direction, vol,order_id))
num = self.product.trader.waitOrder(order_id, 10)
if num == vol:
finished = True
break
# cancelOrder
self.cancelOrder(order_id)
vol = volume - num
if vol <= 0:
finished = True
break
# 执行市价单
# pos = self.get_position(direction)
# pos_water = pos
if not finished:
order_id = ''
finished = False
# vol = pos_water - pos_down
price = 0
self.log_print(level=model.TradeMessageLog.INFO, title='order_close_anyprice',
message='price={} direction={} volume={}'.format(price, direction, vol))
if direction == stbase.Constants.Long: # 买开
oc = self.normalizeCloseYdFlag(cs.exchange_id)
tc = self.normalizeTimeContition(stbase.futures.Constants.TimeConditionType.GFD)
order_id = self.buy(self.code, price, vol, oc,
stbase.futures.Constants.OrderPriceType.AnyPrice, exchange_id=cs.exchange_id,
tc=tc)
elif direction == stbase.Constants.Short: # 卖开
oc = self.normalizeCloseYdFlag(cs.exchange_id)
tc = self.normalizeTimeContition(stbase.futures.Constants.TimeConditionType.GFD)
order_id = self.sell(self.code, price, vol, oc,
stbase.futures.Constants.OrderPriceType.AnyPrice,
exchange_id=cs.exchange_id, tc=tc)
self.log_print(level=model.TradeMessageLog.INFO, title='order_close_anyprice',
message='<< Return order_id={}'.format(order_id))
num = self.product.trader.waitOrder(order_id, 10)
if num != vol:
finished = False
self.log_print(level=model.TradeMessageLog.ERROR, title='order_close_anyprice_error',
message='{} order volume:{} , traded num:{}'.format(order_id, vol, num))
else:
finished = True
# 限价->市价 均委托不成功，则报警并退出
if not finished:
self.log_print(level=model.TradeMessageLog.INFO, title='order_close_error', message='Order Failed , Terminating..')
self.onTerminated()
return
# 记录成交委托事件
data = OrderedDict(strategy_id=self.id, code=self.code, issue_time=datetime.datetime.now(),
oc=stbase.Constants.Close, direction=direction, vol=volume)
record = model.TradeOrder()
object_assign(record, data, True)
record.save()
cs.open_date = datetime.datetime.now().replace(hour=0, minute=0, second=0, microsecond=0) # 记录开仓日期
cs.save()
self.log_print(level=model.TradeMessageLog.INFO, title='order_close_okay', message=' Order Success!')
def order_open(self,price,direction,volume =1):
"""开仓
n次超时限价委托保证所有量成交，否则下市价单,最终未成功报警处理，程序退出
"""
self.siglog_print('order_open: ',price=price,direction=direction,volume = volume)
self.siglog_print(**self.sig_params)
if not self.order_enable :
return
cs = self.cs
if not volume:
volume = self.get_max_order_num(price) # 计算开仓数量
# pos_water = self.get_position(direction)
# pos_up = pos_water + volume
times = 3
time_wait = 10
finished = False
order_id = ''
# vol = pos_up - pos_water
vol = volume
for _ in xrange(times):
self.log_print(level=model.TradeMessageLog.INFO, title='order_open_limitprice',
message='price={} direction={} volume={}'.format(price, direction, vol))
if direction == stbase.Constants.Long: # 买开
price = self.last_tick.price.BidPrice1
# price = 4920
tc = self.normalizeTimeContition(stbase.futures.Constants.TimeConditionType.GFD)
order_id = self.buy(self.code, price, vol, stbase.Constants.Open,stbase.futures.Constants.OrderPriceType.LimitPrice,exchange_id=cs.exchange_id,
cc = stbase.futures.Constants.ContingentConditionType.Immediately, tc = tc
)
elif direction == stbase.Constants.Short: # 卖开
price = self.last_tick.price.AskPrice1
# price = 4900
tc = self.normalizeTimeContition(stbase.futures.Constants.TimeConditionType.GFD)
order_id = self.sell(self.code, price, vol, stbase.Constants.Open,stbase.futures.Constants.OrderPriceType.LimitPrice,
exchange_id=cs.exchange_id,tc = tc
)
self.log_print(level=model.TradeMessageLog.INFO, title='order_open_limitprice',
message='<< Return order_id={}'.format(order_id))
num = self.product.trader.waitOrder(order_id,10)
if num == vol:
finished = True
break
# cancelOrder
self.cancelOrder(order_id)
#
vol = volume - num
if vol <= 0 :
finished = True
break
if not finished:
order_id = ''
# if pos_water < pos_up:
# finished = False
# vol = pos_up - pos_water
price = 0
self.log_print(level=model.TradeMessageLog.INFO, title='order_open_anyprice',
message='price={} direction={} volume={}'.format(price, direction, vol))
if direction == stbase.Constants.Long: # 买开
tc = self.normalizeTimeContition(stbase.futures.Constants.TimeConditionType.GFD)
order_id = self.buy(self.code, price, vol, stbase.Constants.Open,stbase.futures.Constants.OrderPriceType.AnyPrice,exchange_id=cs.exchange_id,
tc = tc)
elif direction == stbase.Constants.Short: # 卖开
tc = self.normalizeTimeContition(stbase.futures.Constants.TimeConditionType.GFD)
order_id = self.sell(self.code, price, vol, stbase.Constants.Open,stbase.futures.Constants.OrderPriceType.AnyPrice,
exchange_id=cs.exchange_id,tc = tc )
self.log_print(level=model.TradeMessageLog.INFO, title='order_open_anyprice',
message='<< Return order_id={}'.format(order_id))
num = self.product.trader.waitOrder(order_id,10)
if num != vol:
finished = False
self.log_print(level=model.TradeMessageLog.ERROR, title='order_open_anyprice_error',
message='{} order volume:{} , traded num:{}'.format(order_id,vol,num ))
else:
finished = True
#限价->市价 均委托不成功，则报警并退出
if not finished:
self.log_print(level=model.TradeMessageLog.INFO, title='order_open_error',message='委托失败, 关闭..')
self.onTerminated()
return
#记录成交委托事件
data = OrderedDict(strategy_id=self.id, code=self.code, issue_time=datetime.datetime.now(),
oc=stbase.Constants.Open, direction=direction, vol=volume)
record = model.TradeOrder()
object_assign(record, data, True)
record.save()
cs.open_date = datetime.datetime.now().replace(hour=0,minute=0,second=0,microsecond=0) # 记录开仓日期
cs.open_pos = volume # 记录开仓数量
cs.save()
self.log_print(level=model.TradeMessageLog.INFO, title='order_open_okay', message='委托成功')
