class Turtle:
def __init__(self,
account_id,
symbol,
donchian_channel_open_position=20,
donchian_channel_stop_profit=10,
atr_day_length=20):
self.account_id = account_id
self.symbol = symbol # 合约代码
self.donchian_channel_open_position = donchian_channel_open_position # 唐奇安通道的天数周期(开仓)
self.donchian_channel_stop_profit = donchian_channel_stop_profit # 唐奇安通道的天数周期(止盈)
self.atr_day_length = atr_day_length # ATR计算所用天数
self.state = {
"position": 0, # 本策略净持仓数(正数表示多头，负数表示空头，0表示空仓)
"last_price": float("nan"), # 上次调仓价
}
self.n = 0
self.unit = 0
self.donchian_channel_high = 0
self.donchian_channel_low = 0
self.api = TqApi(self.account_id)
self.quote = self.api.get_quote(self.symbol)
# 由于ATR是路径依赖函数，因此使用更长的数据序列进行计算以便使其值稳定下来
kline_length = max(donchian_channel_open_position + 1,
donchian_channel_stop_profit + 1,
atr_day_length * 5)
self.klines = self.api.get_kline_serial(self.symbol,
24 * 60 * 60,
data_length=kline_length)
self.account = self.api.get_account()
self.target_pos = TargetPosTask(self.api,
self.symbol,
init_pos=self.state["position"])
def recalc_paramter(self):
try:
df = self.klines.to_dataframe()
# 本交易日的平均真实波幅(N值)
self.n = talib.ATR(df["high"],
df["low"],
df["close"],
timeperiod=self.atr_day_length).iloc[-1]
# 买卖单位
self.unit = int((self.account["balance"] * 0.01) /
(self.quote["volume_multiple"] * self.n))
print('atr:', self.n, " unit:", self.unit)
# 唐奇安通道上轨：前N个交易日的最高价
self.donchian_channel_high = max(
self.klines.high[-self.donchian_channel_open_position - 1:-1])
# 唐奇安通道下轨：前N个交易日的最低价
self.donchian_channel_low = min(
self.klines.low[-self.donchian_channel_open_position - 1:-1])
print("唐其安通道上下轨:", self.donchian_channel_high,
self.donchian_channel_low)
except Exception: # 若尚未接收到数据, 即数据为NaN, 则在ATR或unit计算时会报错
return False
return True
def set_position(self, pos):
self.state["position"] = pos
self.state["last_price"] = self.quote["last_price"]
self.target_pos.set_target_volume(self.state["position"])
def try_open(self):
"""开仓策略"""
while self.state["position"] == 0:
self.api.wait_update()
if self.api.is_changing(self.klines[-1],
"datetime"): # 如果产生新k线,则重新计算唐奇安通道及买卖单位
self.recalc_paramter()
if self.api.is_changing(self.quote, "last_price"):
print("最新价: ", self.quote["last_price"])
if self.quote[
"last_price"] > self.donchian_channel_high: # 当前价>唐奇安通道上轨，买入1个Unit；(持多仓)
print("当前价>唐奇安通道上轨，买入1个Unit(持多仓):", self.unit, "手")
self.set_position(self.state["position"] + self.unit)
elif self.quote[
"last_price"] < self.donchian_channel_low: # 当前价<唐奇安通道下轨，卖出1个Unit；(持空仓)
print("当前价<唐奇安通道下轨，卖出1个Unit(持空仓):", self.unit, "手")
self.set_position(self.state["position"] - self.unit)
def try_close(self):
"""交易策略"""
while self.state["position"] != 0:
self.api.wait_update()
if self.api.is_changing(self.quote, "last_price"):
print("最新价: ", self.quote["last_price"])
if self.state["position"] > 0: # 持多单
# 加仓策略: 如果是多仓且资产的价格在上一次建仓（或者加仓）的基础上又上涨了0.5N，就再加一个Unit的多仓
if self.quote["last_price"] >= self.state[
"last_price"] + 0.5 * self.n:
print("加仓:加1个Unit的多仓")
self.set_position(self.state["position"] + self.unit)
# 止损策略: 如果是多仓且资产的价格在上一次建仓（或者加仓）的基础上又下跌了2N，就卖出全部头寸止损
elif self.quote["last_price"] <= self.state[
"last_price"] - 2 * self.n:
print("止损:卖出全部头寸")
self.set_position(0)
# 止盈策略: 如果是多仓且当前资产价格跌破了10日唐奇安通道的下轨，就清空所有头寸结束策略,离场
if self.quote["last_price"] <= min(
self.klines.
low[-self.donchian_channel_stop_profit - 1:-1]):
print("止盈:清空所有头寸结束策略,离场")
self.set_position(0)
elif self.state["position"] < 0: # 持空单
# 加仓策略: 如果是空仓且资产的价格在上一次建仓（或者加仓）的基础上又下跌了0.5N，就再加一个Unit的空仓
if self.quote["last_price"] <= self.state[
"last_price"] - 0.5 * self.n:
print("加仓:加1个Unit的空仓")
self.set_position(self.state["position"] - self.unit)
# 止损策略: 如果是空仓且资产的价格在上一次建仓（或者加仓）的基础上又上涨了2N，就平仓止损
elif self.quote["last_price"] >= self.state[
"last_price"] + 2 * self.n:
print("止损:卖出全部头寸")
self.set_position(0)
# 止盈策略: 如果是空仓且当前资产价格升破了10日唐奇安通道的上轨，就清空所有头寸结束策略,离场
if self.quote["last_price"] >= max(
self.klines.
high[-self.donchian_channel_stop_profit - 1:-1]):
print("止盈:清空所有头寸结束策略,离场")
self.set_position(0)
def strategy(self):
"""海龟策略"""
print("等待K线及账户数据...")
deadline = time.time() + 5
while not self.recalc_paramter():
if not self.api.wait_update(deadline=deadline):
raise Exception("获取数据失败，请确认行情连接正常并已经登录交易账户")
while True:
self.try_open()
self.try_close()
def test_lib_insert_order_time_check_7(self):
"""
lib下单时间判断测试7
订阅合约：
订阅周六有行情的和周六无行情的
测试：
(测试:回测从周六开始时 可交易时间段的计算、判断)
1 回测刚开始:current_datetime 为 0:00 , 只有cu能下单，另外两个合约直到白盘9点下单
"""
# 预设服务器端响应
dir_path = os.path.dirname(os.path.realpath(__file__))
self.mock.run(
os.path.join(dir_path, "log_file",
"test_lib_insert_order_time_check_7.script.lzma"))
TqApi.RD = random.Random(4)
api = TqApi(backtest=TqBacktest(
datetime.datetime(2019, 11, 30, 0, 0, 0),
datetime.datetime(2019, 12, 2, 9, 30)),
_ins_url=self.ins_url_2019_12_04)
symbol1 = "SHFE.cu2002" # 有夜盘,凌晨1点结束夜盘
symbol2 = "SHFE.rb2002" # 夜盘23点结束
symbol3 = "DCE.jd2002" # 无夜盘
quote1 = api.get_quote(symbol1)
quote2 = api.get_quote(symbol2)
quote3 = api.get_quote(symbol3)
position1 = api.get_position(symbol1)
position2 = api.get_position(symbol2)
position3 = api.get_position(symbol3)
target_pos1 = TargetPosTask(api, symbol1)
target_pos2 = TargetPosTask(api, symbol2)
target_pos3 = TargetPosTask(api, symbol3)
orders = api.get_order()
try:
# 1 回测刚开始:current_datetime 为 0:00 , 只有cu能下单，另外两个合约直到白盘9点下单
target_pos1.set_target_volume(1)
target_pos2.set_target_volume(2)
target_pos3.set_target_volume(3)
while max(quote1.datetime, quote2.datetime,
quote3.datetime) < "2019-11-30 00:02:00.000000":
api.wait_update()
self.assertEqual(len(orders), 1)
while max(quote1.datetime, quote2.datetime,
quote3.datetime) < "2019-11-30 00:15:00.000000":
api.wait_update()
self.assertEqual(len(orders), 1)
self.assertEqual(position1.pos, 1)
self.assertEqual(position2.pos, 0)
self.assertEqual(position3.pos, 0)
while max(quote1.datetime, quote2.datetime,
quote3.datetime) < "2019-12-02 09:05:00.000000":
api.wait_update()
self.assertEqual(len(orders), 3)
self.assertEqual(position1.pos, 1)
self.assertEqual(position2.pos, 2)
self.assertEqual(position3.pos, 3)
while True:
api.wait_update()
except BacktestFinished:
self.assertEqual(position1.pos, 1)
self.assertEqual(position2.pos, 2)
self.assertEqual(position3.pos, 3)
api.close()
class Turtle:
def __init__(self,
symbol,
account=None,
donchian_channel_open_position=20,
donchian_channel_stop_profit=10,
atr_day_length=20,
max_risk_ratio=0.5):
self.account = account # 交易账号
self.symbol = symbol # 合约代码
self.donchian_channel_open_position = donchian_channel_open_position # 唐奇安通道的天数周期(开仓)
self.donchian_channel_stop_profit = donchian_channel_stop_profit # 唐奇安通道的天数周期(止盈)
self.atr_day_length = atr_day_length # ATR计算所用天数
self.max_risk_ratio = max_risk_ratio # 最高风险度
self.state = {
"position": 0, # 本策略净持仓数(正数表示多头，负数表示空头，0表示空仓)
"last_price": float("nan"), # 上次调仓价
}
self.n = 0 # 平均真实波幅(N值)
self.unit = 0 # 买卖单位
self.donchian_channel_high = 0 # 唐奇安通道上轨
self.donchian_channel_low = 0 # 唐奇安通道下轨
self.api = TqApi(self.account)
self.quote = self.api.get_quote(self.symbol)
# 由于ATR是路径依赖函数，因此使用更长的数据序列进行计算以便使其值稳定下来
kline_length = max(donchian_channel_open_position + 1,
donchian_channel_stop_profit + 1,
atr_day_length * 5)
self.klines = self.api.get_kline_serial(self.symbol,
24 * 60 * 60,
data_length=kline_length)
self.account = self.api.get_account()
self.target_pos = TargetPosTask(self.api, self.symbol)
def recalc_paramter(self):
# 平均真实波幅(N值)
self.n = ATR(self.klines, self.atr_day_length)["atr"].iloc[-1]
# 买卖单位
self.unit = int((self.account.balance * 0.01) /
(self.quote.volume_multiple * self.n))
# 唐奇安通道上轨：前N个交易日的最高价
self.donchian_channel_high = max(
self.klines.high[-self.donchian_channel_open_position - 1:-1])
# 唐奇安通道下轨：前N个交易日的最低价
self.donchian_channel_low = min(
self.klines.low[-self.donchian_channel_open_position - 1:-1])
print("唐其安通道上下轨: %f, %f" %
(self.donchian_channel_high, self.donchian_channel_low))
return True
def set_position(self, pos):
self.state["position"] = pos
self.state["last_price"] = self.quote["last_price"]
self.target_pos.set_target_volume(self.state["position"])
def try_open(self):
"""开仓策略"""
while self.state["position"] == 0:
self.api.wait_update()
if self.api.is_changing(self.klines.iloc[-1],
"datetime"): # 如果产生新k线,则重新计算唐奇安通道及买卖单位
self.recalc_paramter()
if self.api.is_changing(self.quote, "last_price"):
print("最新价: %f" % self.quote.last_price)
if self.quote.last_price > self.donchian_channel_high: # 当前价>唐奇安通道上轨，买入1个Unit；(持多仓)
print("当前价>唐奇安通道上轨，买入1个Unit(持多仓): %d 手" % self.unit)
self.set_position(self.state["position"] + self.unit)
elif self.quote.last_price < self.donchian_channel_low: # 当前价<唐奇安通道下轨，卖出1个Unit；(持空仓)
print("当前价<唐奇安通道下轨，卖出1个Unit(持空仓): %d 手" % self.unit)
self.set_position(self.state["position"] - self.unit)
def try_close(self):
"""交易策略"""
while self.state["position"] != 0:
self.api.wait_update()
if self.api.is_changing(self.quote, "last_price"):
print("最新价: ", self.quote.last_price)
if self.state["position"] > 0: # 持多单
# 加仓策略: 如果是多仓且行情最新价在上一次建仓（或者加仓）的基础上又上涨了0.5N，就再加一个Unit的多仓,并且风险度在设定范围内(以防爆仓)
if self.quote.last_price >= self.state[
"last_price"] + 0.5 * self.n and self.account.risk_ratio <= self.max_risk_ratio:
print("加仓:加1个Unit的多仓")
self.set_position(self.state["position"] + self.unit)
# 止损策略: 如果是多仓且行情最新价在上一次建仓（或者加仓）的基础上又下跌了2N，就卖出全部头寸止损
elif self.quote.last_price <= self.state[
"last_price"] - 2 * self.n:
print("止损:卖出全部头寸")
self.set_position(0)
# 止盈策略: 如果是多仓且行情最新价跌破了10日唐奇安通道的下轨，就清空所有头寸结束策略,离场
if self.quote.last_price <= min(
self.klines.
low[-self.donchian_channel_stop_profit - 1:-1]):
print("止盈:清空所有头寸结束策略,离场")
self.set_position(0)
elif self.state["position"] < 0: # 持空单
# 加仓策略: 如果是空仓且行情最新价在上一次建仓（或者加仓）的基础上又下跌了0.5N，就再加一个Unit的空仓,并且风险度在设定范围内(以防爆仓)
if self.quote.last_price <= self.state[
"last_price"] - 0.5 * self.n and self.account.risk_ratio <= self.max_risk_ratio:
print("加仓:加1个Unit的空仓")
self.set_position(self.state["position"] - self.unit)
# 止损策略: 如果是空仓且行情最新价在上一次建仓（或者加仓）的基础上又上涨了2N，就平仓止损
elif self.quote.last_price >= self.state[
"last_price"] + 2 * self.n:
print("止损:卖出全部头寸")
self.set_position(0)
# 止盈策略: 如果是空仓且行情最新价升破了10日唐奇安通道的上轨，就清空所有头寸结束策略,离场
if self.quote.last_price >= max(
self.klines.
high[-self.donchian_channel_stop_profit - 1:-1]):
print("止盈:清空所有头寸结束策略,离场")
self.set_position(0)
def strategy(self):
"""海龟策略"""
print("等待K线及账户数据...")
deadline = time.time() + 5
while not self.recalc_paramter():
if not self.api.wait_update(deadline=deadline):
raise Exception("获取数据失败，请确认行情连接正常并已经登录交易账户")
while True:
self.try_open()
self.try_close()
def test_insert_order(self):
"""
下单
"""
# 预设服务器端响应
dir_path = os.path.dirname(os.path.realpath(__file__))
self.mock.run(
os.path.join(dir_path, "log_file",
"test_td_basic_insert_order_simulate.script.lzma"))
# 测试: 模拟账户下单
# 测试脚本重新生成后，数据根据实际情况有变化
TqApi.RD = random.Random(2)
api = TqApi(_ins_url=self.ins_url,
_td_url=self.td_url,
_md_url=self.md_url)
order1 = api.insert_order("DCE.jd2001", "BUY", "OPEN", 1)
order2 = api.insert_order("SHFE.cu2001",
"BUY",
"OPEN",
2,
limit_price=49200)
while order1.status == "ALIVE" or order2.status == "ALIVE":
api.wait_update()
self.assertEqual(order1.order_id, "5c6e433715ba2bdd177219d30e7a269f")
self.assertEqual(order1.direction, "BUY")
self.assertEqual(order1.offset, "OPEN")
self.assertEqual(order1.volume_orign, 1)
self.assertEqual(order1.volume_left, 0)
self.assertEqual(order1.limit_price != order1.limit_price,
True) # 判断nan
self.assertEqual(order1.price_type, "ANY")
self.assertEqual(order1.volume_condition, "ANY")
self.assertEqual(order1.time_condition, "IOC")
self.assertEqual(order1.insert_date_time, 631123200000000000)
self.assertEqual(order1.status, "FINISHED")
for k, v in order1.trade_records.items(): # 模拟交易为一次性全部成交
self.assertEqual(
str(v),
"{'order_id': '5c6e433715ba2bdd177219d30e7a269f', 'trade_id': '5c6e433715ba2bdd177219d30e7a269f|1', 'exchange_trade_id': '5c6e433715ba2bdd177219d30e7a269f|1', 'exchange_id': 'DCE', 'instrument_id': 'jd2001', 'direction': 'BUY', 'offset': 'OPEN', 'price': 4087.0, 'volume': 1, 'trade_date_time': 1576121399900001000, 'symbol': 'DCE.jd2001', 'user_id': 'TQSIM', 'commission': 6.122999999999999}"
)
self.assertEqual(order2.order_id, "cf1822ffbc6887782b491044d5e34124")
self.assertEqual(order2.direction, "BUY")
self.assertEqual(order2.offset, "OPEN")
self.assertEqual(order2.volume_orign, 2)
self.assertEqual(order2.volume_left, 0)
self.assertEqual(order2.limit_price, 49200.0)
self.assertEqual(order2.price_type, "LIMIT")
self.assertEqual(order2.volume_condition, "ANY")
self.assertEqual(order2.time_condition, "GFD")
self.assertEqual(order2.insert_date_time, 631123200000000000)
self.assertEqual(order2.status, "FINISHED")
for k, v in order2.trade_records.items(): # 模拟交易为一次性全部成交
self.assertEqual(
str(v),
"{'order_id': 'cf1822ffbc6887782b491044d5e34124', 'trade_id': 'cf1822ffbc6887782b491044d5e34124|2', 'exchange_trade_id': 'cf1822ffbc6887782b491044d5e34124|2', 'exchange_id': 'SHFE', 'instrument_id': 'cu2001', 'direction': 'BUY', 'offset': 'OPEN', 'price': 49200.0, 'volume': 2, 'trade_date_time': 1576121399900001000, 'symbol': 'SHFE.cu2001', 'user_id': 'TQSIM', 'commission': 23.189999999999998}"
)
api.close()
def test_lib_insert_order_time_check_4(self):
'''
lib下单时间判断测试4
回测时间：
起始交易日（datetime.date）为周一
订阅合约：
cu（有夜盘,凌晨1点结束夜盘）,rb（夜盘23点结束）,jd（无夜盘）
测试：
(测试周五夜盘21点到周六凌晨1点及周一夜盘、周二白盘)
1 周五晚21：00之后: cu、rb能下单, jd到周一的9点后下单
2 周六凌晨1点前：cu能下单
3 周一早9点后都能下单
4 周一晚21点后cu、rb能下单
5 周二白盘开始后，jd能下单
'''
# 预设服务器端响应
dir_path = os.path.dirname(os.path.realpath(__file__))
self.mock.run(
os.path.join(dir_path, "log_file",
"test_lib_insert_order_time_check_4.script.lzma"))
TqApi.RD = random.Random(4)
api = TqApi(backtest=TqBacktest(datetime.date(2019, 12, 2),
datetime.date(2019, 12, 3)),
_ins_url=self.ins_url_2019_12_04) # 2019.12.2:周一
symbol1 = "SHFE.cu2002" # 有夜盘,凌晨1点结束夜盘
symbol2 = "SHFE.rb2002" # 夜盘23点结束
symbol3 = "DCE.jd2002" # 无夜盘
quote1 = api.get_quote(symbol1)
quote2 = api.get_quote(symbol2)
quote3 = api.get_quote(symbol3)
position1 = api.get_position(symbol1)
position2 = api.get_position(symbol2)
position3 = api.get_position(symbol3)
target_pos1 = TargetPosTask(api, symbol1)
target_pos2 = TargetPosTask(api, symbol2)
target_pos3 = TargetPosTask(api, symbol3)
orders = api.get_order()
try:
# 1 周五晚21：00之后: cu、rb能下单, jd到周一的9点后下单
target_pos1.set_target_volume(1)
target_pos2.set_target_volume(2)
target_pos3.set_target_volume(3)
while max(quote1.datetime, quote2.datetime,
quote3.datetime) < "2019-11-29 21:05:00.000000":
api.wait_update()
self.assertEqual(len(orders), 2)
self.assertEqual(position1.pos, 1)
self.assertEqual(position2.pos, 2)
self.assertEqual(position3.pos, 0)
# 2 周五23点后到周六凌晨1点前：cu能下单
while max(quote1.datetime, quote2.datetime,
quote3.datetime) < "2019-11-29 23:00:00.000000":
api.wait_update()
target_pos1.set_target_volume(4)
target_pos2.set_target_volume(5)
target_pos3.set_target_volume(6)
while max(quote1.datetime, quote2.datetime,
quote3.datetime) < "2019-11-29 23:05:00.000000":
api.wait_update()
self.assertEqual(len(orders), 3)
self.assertEqual(position1.pos, 4)
self.assertEqual(position2.pos, 2)
self.assertEqual(position3.pos, 0)
# 3 周一早9点后都能下单
while max(quote1.datetime, quote2.datetime,
quote3.datetime) < "2019-12-02 09:05:00.000000":
api.wait_update()
self.assertEqual(len(orders), 5)
self.assertEqual(position1.pos, 4)
self.assertEqual(position2.pos, 5)
self.assertEqual(position3.pos, 6)
# 4 周一晚21点后cu、rb能下单
while max(quote1.datetime, quote2.datetime,
quote3.datetime) < "2019-12-02 21:00:00.000000":
api.wait_update()
target_pos1.set_target_volume(0)
target_pos2.set_target_volume(0)
target_pos3.set_target_volume(0)
while max(quote1.datetime, quote2.datetime,
quote3.datetime) < "2019-12-02 21:15:00.000000":
api.wait_update()
self.assertEqual(len(orders), 7)
self.assertEqual(position1.pos, 0)
self.assertEqual(position2.pos, 0)
self.assertEqual(position3.pos, 6)
# 5 周二白盘开始后，jd能下单
while max(quote1.datetime, quote2.datetime,
quote3.datetime) < "2019-12-03 09:02:00.000000":
api.wait_update()
self.assertEqual(len(orders), 8)
while True:
api.wait_update()
except BacktestFinished:
self.assertEqual(len(orders), 8)
self.assertEqual(position1.pos, 0)
self.assertEqual(position2.pos, 0)
self.assertEqual(position3.pos, 0)
api.close()
def test_get_position_option(self):
"""
获取持仓
"""
# 预设服务器端响应
dir_path = os.path.dirname(os.path.realpath(__file__))
self.mock.run(
os.path.join(
dir_path, "log_file",
"test_td_basic_get_position_simulate_option.script.lzma"))
# 测试: 获取数据
api = TqApi(_ins_url=self.ins_url_2020_04_02,
_td_url=self.td_url,
_md_url=self.md_url)
order1 = api.insert_order("CZCE.SR007C5600",
"BUY",
"OPEN",
2,
limit_price=55)
order2 = api.insert_order("CZCE.SR007C5600",
"BUY",
"OPEN",
3,
limit_price=55)
order3 = api.insert_order("CZCE.SR007C5600",
"SELL",
"OPEN",
3,
limit_price=10)
order4 = api.insert_order("CZCE.SR007C5600", "SELL", "OPEN",
3) # 只有郑商所支持期权市价单
order5 = api.insert_order("DCE.m2007-P-2900", "BUY", "OPEN",
1) # 只有郑商所支持期权市价单
while order1.status == "ALIVE" or order2.status == "ALIVE" or order3.status == "ALIVE" or order4.status == "ALIVE" or order5.status == "ALIVE":
api.wait_update()
self.assertEqual(order4.volume_left, 0)
self.assertEqual(order5.volume_left, 1)
position = api.get_position("CZCE.SR007C5600")
position2 = api.get_position("DCE.m2007-P-2900")
self.assertEqual(0, position2.pos_long)
self.assertEqual(0, position2.pos_short)
# 测试脚本重新生成后，数据根据实际情况有变化
self.assertEqual(
"{'exchange_id': 'CZCE', 'instrument_id': 'SR007C5600', 'pos_long_his': 0, 'pos_long_today': 5, 'pos_short_his': 0, 'pos_short_today': 6, 'volume_long_today': 5, 'volume_long_his': 0, 'volume_long': 5, 'volume_long_frozen_today': 0, 'volume_long_frozen_his': 0, 'volume_long_frozen': 0, 'volume_short_today': 6, 'volume_short_his': 0, 'volume_short': 6, 'volume_short_frozen_today': 0, 'volume_short_frozen_his': 0, 'volume_short_frozen': 0, 'open_price_long': 55.0, 'open_price_short': 22.5, 'open_cost_long': 2750.0, 'open_cost_short': 1350.0, 'position_price_long': 55.0, 'position_price_short': 22.5, 'position_cost_long': 2750.0, 'position_cost_short': 1350.0, 'float_profit_long': -1000.0, 'float_profit_short': -750.0, 'float_profit': -1750.0, 'position_profit_long': 0.0, 'position_profit_short': 0.0, 'position_profit': 0.0, 'margin_long': 0.0, 'margin_short': 8156.4000000000015, 'margin': 8156.4000000000015, 'market_value_long': 1750.0, 'market_value_short': -2100.0, 'market_value': -350.0, 'last_price': 35.0}",
str(position))
self.assertEqual(-1, position.pos)
self.assertEqual(5, position.pos_long)
self.assertEqual(6, position.pos_short)
self.assertEqual(position.exchange_id, "CZCE")
self.assertEqual(position.instrument_id, "SR007C5600")
self.assertEqual(position.pos_long_his, 0)
self.assertEqual(position.pos_long_today, 5)
self.assertEqual(position.pos_short_his, 0)
self.assertEqual(position.pos_short_today, 6)
self.assertEqual(position.volume_long_today, 5)
self.assertEqual(position.volume_long_his, 0)
self.assertEqual(position.volume_long, 5)
self.assertEqual(position.volume_long_frozen_today, 0)
self.assertEqual(position.volume_long_frozen_his, 0)
self.assertEqual(position.volume_long_frozen, 0)
self.assertEqual(position.volume_short_today, 6)
self.assertEqual(position.volume_short_his, 0)
self.assertEqual(position.volume_short, 6)
self.assertEqual(position.volume_short_frozen_today, 0)
self.assertEqual(position.volume_short_frozen_his, 0)
self.assertEqual(position.volume_short_frozen, 0)
self.assertEqual(position.open_price_long, 55.0)
self.assertEqual(position.open_price_short, 22.5)
self.assertEqual(position.open_cost_long, 2750.0)
self.assertEqual(position.open_cost_short, 1350.0)
self.assertEqual(position.position_price_long, 55.0)
self.assertEqual(position.position_price_short, 22.5)
self.assertEqual(position.position_cost_long, 2750.0)
self.assertEqual(position.position_cost_short, 1350.0)
self.assertEqual(position.float_profit_long, -1000.0)
self.assertEqual(position.float_profit_short, -750.0)
self.assertEqual(position.float_profit, -1750.0)
self.assertEqual(position.position_profit_long, 0.0)
self.assertEqual(position.position_profit_short, 0.0)
self.assertEqual(position.position_profit, 0.0)
self.assertEqual(position.margin_long, 0.0)
self.assertEqual(position.margin_short, 8156.4000000000015)
self.assertEqual(position.margin, 8156.4000000000015)
self.assertEqual(position.market_value_long, 1750.0)
self.assertEqual(position.market_value_short, -2100.0)
self.assertEqual(position.market_value, -350.0)
self.assertEqual(position.last_price, 35.0)
# 其他取值方式测试
self.assertEqual(position["pos_long_today"], 5)
self.assertEqual(position["pos_short_today"], 6)
self.assertEqual(position["volume_long_his"], 0)
self.assertEqual(position["volume_long"], 5)
api.close()
def test_get_position(self):
"""
获取持仓
"""
# 预设服务器端响应
dir_path = os.path.dirname(os.path.realpath(__file__))
self.mock.run(
os.path.join(dir_path, "log_file",
"test_td_basic_get_position_simulate.script.lzma"))
# 测试: 获取数据
api = TqApi(_ins_url=self.ins_url,
_td_url=self.td_url,
_md_url=self.md_url)
order1 = api.insert_order("DCE.jd2001",
"BUY",
"OPEN",
1,
limit_price=4592)
order2 = api.insert_order("DCE.jd2001", "BUY", "OPEN", 3)
order3 = api.insert_order("DCE.jd2001", "SELL", "OPEN", 3)
while order1.status == "ALIVE" or order2.status == "ALIVE" or order3.status == "ALIVE":
api.wait_update()
position = api.get_position("DCE.jd2001")
# 测试脚本重新生成后，数据根据实际情况有变化
self.assertEqual(
"{'exchange_id': 'DCE', 'instrument_id': 'jd2001', 'pos_long_his': 0, 'pos_long_today': 4, 'pos_short_his': 0, 'pos_short_today': 3, 'volume_long_today': 4, 'volume_long_his': 0, 'volume_long': 4, 'volume_long_frozen_today': 0, 'volume_long_frozen_his': 0, 'volume_long_frozen': 0, 'volume_short_today': 3, 'volume_short_his': 0, 'volume_short': 3, 'volume_short_frozen_today': 0, 'volume_short_frozen_his': 0, 'volume_short_frozen': 0, 'open_price_long': 4193.0, 'open_price_short': 4059.0, 'open_cost_long': 167720.0, 'open_cost_short': 121770.0, 'position_price_long': 4193.0, 'position_price_short': 4059.0, 'position_cost_long': 167720.0, 'position_cost_short': 121770.0, 'float_profit_long': -5320.0, 'float_profit_short': -30.0, 'float_profit': -5350.0, 'position_profit_long': -5320.0, 'position_profit_short': -30.0, 'position_profit': -5350.0, 'margin_long': 11429.6, 'margin_short': 8572.2, 'margin': 20001.800000000003, 'symbol': 'DCE.jd2001', 'last_price': 4060.0}",
str(position))
self.assertEqual(1, position.pos)
self.assertEqual(4, position.pos_long)
self.assertEqual(3, position.pos_short)
self.assertEqual(position.exchange_id, "DCE")
self.assertEqual(position.instrument_id, "jd2001")
self.assertEqual(position.pos_long_his, 0)
self.assertEqual(position.pos_long_today, 4)
self.assertEqual(position.pos_short_his, 0)
self.assertEqual(position.pos_short_today, 3)
self.assertEqual(position.volume_long_today, 4)
self.assertEqual(position.volume_long_his, 0)
self.assertEqual(position.volume_long, 4)
self.assertEqual(position.volume_long_frozen_today, 0)
self.assertEqual(position.volume_long_frozen_his, 0)
self.assertEqual(position.volume_long_frozen, 0)
self.assertEqual(position.volume_short_today, 3)
self.assertEqual(position.volume_short_his, 0)
self.assertEqual(position.volume_short, 3)
self.assertEqual(position.volume_short_frozen_today, 0)
self.assertEqual(position.volume_short_frozen_his, 0)
self.assertEqual(position.volume_short_frozen, 0)
self.assertEqual(position.open_price_long, 4193.0)
self.assertEqual(position.open_price_short, 4059.0)
self.assertEqual(position.open_cost_long, 167720.0)
self.assertEqual(position.open_cost_short, 121770.0)
self.assertEqual(position.position_price_long, 4193.0)
self.assertEqual(position.position_price_short, 4059.0)
self.assertEqual(position.position_cost_long, 167720.0)
self.assertEqual(position.position_cost_short, 121770.0)
self.assertEqual(position.float_profit_long, -5320.0)
self.assertEqual(position.float_profit_short, -30.0)
self.assertEqual(position.float_profit, -5350.0)
self.assertEqual(position.position_profit_long, -5320.0)
self.assertEqual(position.position_profit_short, -30.0)
self.assertEqual(position.position_profit, -5350.0)
self.assertEqual(position.margin_long, 11429.6)
self.assertEqual(position.margin_short, 8572.2)
self.assertEqual(position.margin, 20001.800000000003)
self.assertEqual(position.symbol, "DCE.jd2001")
self.assertEqual(position.last_price, 4060.0)
# 其他取值方式测试
self.assertEqual(position["pos_long_today"], 4)
self.assertEqual(position["pos_short_today"], 3)
self.assertEqual(position["volume_long_his"], 0)
self.assertEqual(position["volume_long"], 4)
api.close()
def test_sim_insert_order_time_check_1(self):
"""
模拟交易下单时间判断测试1
测试时间段：
2019.12.2(周一) 21:00 - 25:00
订阅合约的条件:
1. 无夜盘
2. 有夜盘, 在23：00结束
3. 有夜盘, 在25：00结束
测试：
1. 21：00起始时刻两个有夜盘合约下单，无夜盘合约不能下单；
2. 在正常夜盘可下单时段两个有夜盘合约能下单,无夜盘合约不能成；
3. 23：00某一夜盘合约停止交易后不能下单，另一有夜盘合约能下单；
"""
# 预设服务器端响应
dir_path = os.path.dirname(os.path.realpath(__file__))
self.mock.run(os.path.join(dir_path, "log_file", "test_sim_insert_order_time_check_1.script.lzma"))
# 测试
utils.RD = random.Random(4)
api = TqApi(
backtest=TqBacktest(datetime.datetime(2019, 12, 2, 21, 0, 0), datetime.datetime(2019, 12, 3, 1, 0, 0)),
_ins_url=self.ins_url_2019_12_04, _td_url=self.td_url, _md_url=self.md_url) # 2019.12.2周一
symbol1 = "DCE.jd2002" # 无夜盘
symbol2 = "SHFE.rb2002" # 夜盘23点结束
symbol3 = "SHFE.cu2002" # 夜盘凌晨1点结束
quote1 = api.get_quote(symbol1)
quote2 = api.get_quote(symbol2)
quote3 = api.get_quote(symbol3)
position1 = api.get_position(symbol1)
position2 = api.get_position(symbol2)
position3 = api.get_position(symbol3)
try:
# 1 回测起始时间(21:00:00)下单
order1 = api.insert_order(symbol=symbol1, direction="BUY", offset="OPEN", volume=1,
limit_price=quote1.last_price)
order2 = api.insert_order(symbol=symbol2, direction="BUY", offset="OPEN", volume=2,
limit_price=quote2.last_price)
order3 = api.insert_order(symbol=symbol3, direction="BUY", offset="OPEN", volume=3,
limit_price=quote3.last_price)
while order1.status != "FINISHED" or order2.status != "FINISHED" or order3.status != "FINISHED":
api.wait_update()
self.assertEqual(order1.order_id, "8534f45738d048ec0f1099c6c3e1b258")
self.assertEqual(order1.direction, 'BUY')
self.assertEqual(order1.offset, 'OPEN')
self.assertEqual(order1.volume_orign, 1)
self.assertEqual(order1.volume_left, 1)
self.assertEqual(order1.limit_price, 3963.0)
self.assertEqual(order1.price_type, 'LIMIT')
self.assertEqual(order1.volume_condition, 'ANY')
self.assertEqual(order1.time_condition, 'GFD')
self.assertEqual(1575291600000000000, order1.insert_date_time)
self.assertEqual(order2.order_id, "c79d679346d4ac7a5c3902b38963dc6e")
self.assertEqual(order2.direction, 'BUY')
self.assertEqual(order2.offset, 'OPEN')
self.assertEqual(order2.volume_orign, 2)
self.assertEqual(order2.volume_left, 0)
self.assertEqual(order2.limit_price, 3522.0)
self.assertEqual(order2.price_type, 'LIMIT')
self.assertEqual(order2.volume_condition, 'ANY')
self.assertEqual(order2.time_condition, 'GFD')
self.assertEqual(1575291600000000000, order2.insert_date_time)
self.assertEqual(order3.order_id, "43000de01b2ed40ed3addccb2c33be0a")
self.assertEqual(order3.direction, 'BUY')
self.assertEqual(order3.offset, 'OPEN')
self.assertEqual(order3.volume_orign, 3)
self.assertEqual(order3.volume_left, 0)
self.assertEqual(order3.limit_price, 47390.0)
self.assertEqual(order3.price_type, 'LIMIT')
self.assertEqual(order3.volume_condition, 'ANY')
self.assertEqual(order3.time_condition, 'GFD')
self.assertEqual(1575291600000000000, order3.insert_date_time)
# 2 正常夜盘时间下单
while datetime.datetime.strptime(quote3.datetime, "%Y-%m-%d %H:%M:%S.%f") < datetime.datetime(2019, 12, 2,
21, 15):
api.wait_update()
order1 = api.insert_order(symbol=symbol1, direction="BUY", offset="OPEN", volume=1,
limit_price=quote1.last_price)
order2 = api.insert_order(symbol=symbol2, direction="BUY", offset="OPEN", volume=2,
limit_price=quote2.last_price)
order3 = api.insert_order(symbol=symbol3, direction="BUY", offset="OPEN", volume=3,
limit_price=quote3.last_price)
while order1.status != "FINISHED" or order2.status != "FINISHED" or order3.status != "FINISHED":
api.wait_update()
self.assertEqual(order1.volume_orign, 1)
self.assertEqual(order1.volume_left, 1)
self.assertEqual(order2.volume_orign, 2)
self.assertEqual(order2.volume_left, 0)
self.assertEqual(order3.volume_orign, 3)
self.assertEqual(order3.volume_left, 0)
self.assertEqual(1575292559999999000, order1.insert_date_time)
self.assertEqual(1575292559999999000, order2.insert_date_time)
self.assertEqual(1575292559999999000, order3.insert_date_time)
# 3 23：00rb2002停止交易后不能下单，cu2002能下单；
while datetime.datetime.strptime(quote3.datetime, "%Y-%m-%d %H:%M:%S.%f") < datetime.datetime(2019, 12, 2,
23, 0, 0):
api.wait_update()
order1 = api.insert_order(symbol=symbol1, direction="BUY", offset="OPEN", volume=1,
limit_price=quote1.last_price)
order2 = api.insert_order(symbol=symbol2, direction="BUY", offset="OPEN", volume=2,
limit_price=quote2.last_price)
order3 = api.insert_order(symbol=symbol3, direction="BUY", offset="OPEN", volume=3,
limit_price=quote3.last_price)
while order1.status != "FINISHED" or order2.status != "FINISHED" or order3.status != "FINISHED":
api.wait_update()
self.assertEqual(order1.volume_orign, 1)
self.assertEqual(order1.volume_left, 1)
self.assertEqual(order2.volume_orign, 2)
self.assertEqual(order2.volume_left, 2)
self.assertEqual(order3.volume_orign, 3)
self.assertEqual(order3.volume_left, 0)
self.assertEqual(1575298859999999000, order1.insert_date_time)
self.assertEqual(1575298859999999000, order2.insert_date_time)
self.assertEqual(1575298859999999000, order3.insert_date_time)
while True:
api.wait_update()
except BacktestFinished:
self.assertEqual(position1.pos, 0)
self.assertEqual(position2.pos, 4)
self.assertEqual(position3.pos, 9)
api.close()
def test_sim_insert_order_time_check_2(self):
"""
模拟交易下单时间判断测试2
测试时间段：
2020.2.17(周一) 10:15 - 10:45
订阅合约的条件:
IF、T（无盘中休息时间）,cu（有盘中休息时间）
测试：
1. 10:15 - 10:30期间 IF和T能下单，cu不能下单
2. 10:15 - 10:30之间 IF、T能下单
3. 10:30 - 10:45之间 IF、T、cu都能下单
"""
# 预设服务器端响应
dir_path = os.path.dirname(os.path.realpath(__file__))
self.mock.run(os.path.join(dir_path, "log_file", "test_sim_insert_order_time_check_2.script.lzma"))
# 测试
utils.RD = random.Random(4)
api = TqApi(
backtest=TqBacktest(datetime.datetime(2020, 2, 17, 10, 15, 0), datetime.datetime(2020, 2, 17, 10, 45, 0)),
_ins_url=self.ins_url_2020_02_18, _td_url=self.td_url, _md_url=self.md_url)
symbol1 = "SHFE.cu2003"
symbol2 = "CFFEX.T2003"
symbol3 = "CFFEX.IF2003"
quote1 = api.get_quote(symbol1)
quote2 = api.get_quote(symbol2)
quote3 = api.get_quote(symbol3)
position1 = api.get_position(symbol1)
position2 = api.get_position(symbol2)
position3 = api.get_position(symbol3)
try:
# 1 10:15 - 10:30期间IF和T能下单，cu不能下单
order1 = api.insert_order(symbol=symbol1, direction="SELL", offset="OPEN", volume=1,
limit_price=quote1.last_price)
order2 = api.insert_order(symbol=symbol2, direction="BUY", offset="OPEN", volume=2,
limit_price=quote2.last_price)
order3 = api.insert_order(symbol=symbol3, direction="BUY", offset="OPEN", volume=3,
limit_price=quote3.last_price)
while order1.status != "FINISHED" or order2.status != "FINISHED" or order3.status != "FINISHED":
api.wait_update()
self.assertEqual(order1.volume_orign, 1)
self.assertEqual(order1.volume_left, 1)
self.assertEqual(order2.volume_orign, 2)
self.assertEqual(order2.volume_left, 0)
self.assertEqual(order3.volume_orign, 3)
self.assertEqual(order3.volume_left, 0)
self.assertEqual(1581905700000000000, order1.insert_date_time)
self.assertEqual(1581905700000000000, order2.insert_date_time)
self.assertEqual(1581905700000000000, order3.insert_date_time)
# 2 10:15 - 10:30之间 IF、T能下单；
while datetime.datetime.strptime(quote3.datetime, "%Y-%m-%d %H:%M:%S.%f") < datetime.datetime(2020, 2, 17,
10, 20):
api.wait_update()
order1 = api.insert_order(symbol=symbol1, direction="BUY", offset="OPEN", volume=1,
limit_price=quote1.last_price)
order2 = api.insert_order(symbol=symbol2, direction="BUY", offset="OPEN", volume=2)
order3 = api.insert_order(symbol=symbol3, direction="BUY", offset="OPEN", volume=3)
while order1.status != "FINISHED" or order2.status != "FINISHED" or order3.status != "FINISHED":
api.wait_update()
self.assertEqual(order1.volume_orign, 1)
self.assertEqual(order1.volume_left, 1)
self.assertEqual(order2.volume_orign, 2)
self.assertEqual(order2.volume_left, 0)
self.assertEqual(order3.volume_orign, 3)
self.assertEqual(order3.volume_left, 0)
self.assertEqual(1581906059999999000, order1.insert_date_time)
self.assertEqual(1581906059999999000, order2.insert_date_time)
self.assertEqual(1581906059999999000, order3.insert_date_time)
# 3 10:30 - 10:45之间 IF、T、cu都能下单；
while datetime.datetime.strptime(quote3.datetime, "%Y-%m-%d %H:%M:%S.%f") < datetime.datetime(2020, 2, 17,
10, 30):
api.wait_update()
order1 = api.insert_order(symbol=symbol1, direction="BUY", offset="OPEN", volume=1,
limit_price=quote1.last_price)
order2 = api.insert_order(symbol=symbol2, direction="BUY", offset="OPEN", volume=2)
order3 = api.insert_order(symbol=symbol3, direction="BUY", offset="OPEN", volume=3)
while order1.status != "FINISHED" or order2.status != "FINISHED" or order3.status != "FINISHED":
api.wait_update()
self.assertEqual(order1.volume_orign, 1)
self.assertEqual(order1.volume_left, 0)
self.assertEqual(order2.volume_orign, 2)
self.assertEqual(order2.volume_left, 0)
self.assertEqual(order3.volume_orign, 3)
self.assertEqual(order3.volume_left, 0)
self.assertEqual(1581906659999999000, order1.insert_date_time)
self.assertEqual(1581906659999999000, order2.insert_date_time)
self.assertEqual(1581906659999999000, order3.insert_date_time)
while True:
api.wait_update()
except BacktestFinished:
self.assertEqual(position1.pos, 1)
self.assertEqual(position2.pos, 6)
self.assertEqual(position3.pos, 9)
api.close()
def run_tianqin_code(bid, user_id, pwd, td_url):
api = TqApi(TqAccount(bid, user_id, pwd), auth="[email protected],MaYanQiong", _stock=True)
# api = TqApi(TqAccount(bid, user_id, pwd), auth="[email protected],MaYanQiong", _stock=True)
is_ctp = False if bid == "快期模拟" else True
account = api.get_account()
if bid == "快期模拟":
assert account.ctp_balance == '-' or math.isnan(account.ctp_balance)
assert account.ctp_available == '-' or math.isnan(account.ctp_available)
else:
logger.info(f"{account.ctp_balance}, {account.ctp_available}")
logger.info(f"{'='*30} 登录成功后，账户初始状态 {'='*30}")
positions = api._data["trade"][user_id]["positions"]
orders = api._data["trade"][user_id]["orders"]
check_orders(orders, api, is_ctp)
check_positions(positions, api, is_ctp)
check_account(account, positions, is_ctp)
logger.info(f"{'='*12} 期权 开仓 {'='*12}")
quote = api.get_quote("CZCE.CF009C11600") # ETF 期权
# 挂单
# order = api.insert_order(symbol="SSE.10002513", direction="BUY", offset="OPEN", limit_price=quote.lower_limit + quote.price_tick, volume=2)
# 可成交
order = api.insert_order(symbol="CZCE.CF009C11600", direction="BUY", offset="OPEN", limit_price=quote.ask_price1, volume=1)
# 可成交 FAK 下单失败,CTP:交易所不支持的价格类型
# order = api.insert_order(symbol="SSE.10002513", direction="BUY", offset="OPEN", limit_price=quote.ask_price1, volume=2, advanced="FAK")
# 可成交 FOK
# order = api.insert_order(symbol="SSE.10002513", direction="BUY", offset="OPEN", limit_price=quote.ask_price1, volume=2, advanced="FOK")
# any_price 通知: 下单失败,CTP:交易所不支持的价格类型
# order = api.insert_order(symbol="SSE.10002513", direction="BUY", offset="OPEN", volume=3)
# BEST
# order = api.insert_order(symbol="CFFEX.IF2008", direction="BUY", offset="OPEN", limit_price="BEST", volume=3)
# BEST FOK 下单失败,已撤单报单被拒绝12038，合约代码:SSE.10002513，下单方向:买，开平标志:开仓，委托价格:最优价，委托手数:3
# order = api.insert_order(symbol="SSE.10002513", direction="BUY", offset="OPEN", limit_price="BEST", volume=3, advanced="FOK")
# BEST FOK 成交？？？？
# order = api.insert_order(symbol="SSE.10002513", direction="BUY", offset="OPEN", limit_price="BEST", volume=3, advanced="FOK")
# FIVELEVEL 通知: 下单失败,CTP:交易所不支持的价格类型
# order = api.insert_order(symbol="SSE.10002513", direction="BUY", offset="OPEN", limit_price="FIVELEVEL", volume=3)
# end = time.time() + 90
# i = 0
# while time.time() < end:
# i = i + 1
# print(i)
# order = api.insert_order(symbol="SSE.10002513", direction="BUY", offset="OPEN", limit_price="BEST", volume=1)
# while order.status == "ALIVE":
# api.wait_update()
api.wait_update()
api.wait_update()
api.wait_update()
api.wait_update()
api.wait_update()
check_all(api, bid, user_id)
# logger.info(f"{'='*30} 发平仓挂单 {'='*30}")
# positions = api._data["trade"][user_id]["positions"]
# for pos in positions.values():
# symbol = f"{pos.exchange_id}.{pos.instrument_id}"
# quote = api.get_quote(symbol)
# if pos.pos_long > 0:
# api.insert_order(symbol=symbol, direction="SELL", offset="CLOSE",
# limit_price=quote.upper_limit - quote.price_tick,
# volume=pos.pos_long)
# if pos.pos_short > 0:
# api.insert_order(symbol=symbol, direction="BUY", offset="CLOSE",
# limit_price=quote.lower_limit + quote.price_tick,
# volume=pos.pos_short)
# check_all(api, bid, user_id)
api.close()
class TianqinClient:
"""
Client for querying history data from Tianqin.
"""
def __init__(self):
""""""
self.inited: bool = False
self.symbols: set = set()
self.api = None
self.username: str = SETTINGS["tqdata.username"]
self.password: str = SETTINGS["tqdata.password"]
def init(self) -> bool:
""""""
if self.inited:
return True
if not self.username or not self.password:
return False
try:
self.api = TqApi(auth=TqAuth(self.username, self.password))
# 获得全部合约
self.symbols = [k for k, v in self.api._data["quotes"].items()]
except:
return False
self.inited = True
return True
def to_tq_symbol(self, symbol: str, exchange: Exchange) -> str:
"""
TQSdk exchange first
"""
for count, word in enumerate(symbol):
if word.isdigit():
break
# Check for index symbol
time_str = symbol[count:]
if "88" in time_str:
return f"KQ.m@{exchange.value}.{symbol[:count]}"
if "99" in time_str:
return f"KQ.i@{exchange.value}.{symbol[:count]}"
return f"{exchange.value}.{symbol}"
def query_history(self, req: HistoryRequest) -> Optional[List[BarData]]:
"""
Query history bar data from TqSdk.
"""
symbol = req.symbol
exchange = req.exchange
interval = req.interval
start = req.start
end = req.end
tq_symbol = self.to_tq_symbol(symbol, exchange)
if tq_symbol not in self.symbols:
return None
tq_interval = INTERVAL_VT2TQ.get(interval)
if not tq_interval:
return None
# For querying night trading period data
end += timedelta(1)
total_num = int((end - start).total_seconds() / tq_interval)
if total_num > 8964:
df = self.download_history(start, end, tq_symbol, tq_interval)
else:
# 只能用来补充最新的数据，无法指定日期
df = self.api.get_kline_serial(tq_symbol, tq_interval,
8000).sort_values(by=["datetime"])
# 时间戳对齐
df["datetime"] = pd.DatetimeIndex(
pd.to_datetime(df["datetime"] + TIME_GAP)).tz_localize(
'UTC').tz_convert('Asia/Shanghai')
# 过滤开始结束时间
df = df[(df['datetime'] >= start - timedelta(days=1))
& (df['datetime'] < end)]
data: List[BarData] = []
if df is not None:
for ix, row in df.iterrows():
bar = BarData(
symbol=symbol,
exchange=exchange,
interval=interval,
datetime=row["datetime"].to_pydatetime(),
open_price=row["open"],
high_price=row["high"],
low_price=row["low"],
close_price=row["close"],
volume=row["volume"],
open_interest=row.get("open_oi", 0),
gateway_name="TQ",
)
data.append(bar)
return data
def download_history(self, start, end, symbol, interval):
"""
下载CSV文件回来，并转换成dataframe
"""
csv_file = "tqdata.csv"
status = DataDownloader(api=self.api,
symbol_list=[symbol],
start_dt=start,
end_dt=end,
dur_sec=interval,
csv_file_name=csv_file)
while not status.is_finished():
self.api.wait_update()
if os.path.exists(csv_file):
df = pd.read_csv(csv_file)
df["datetime"] = pd.to_datetime(df["datetime"])
if interval > 0:
df = df.rename(columns={f"{symbol}.open": "open"})
df = df.rename(columns={f"{symbol}.high": "high"})
df = df.rename(columns={f"{symbol}.low": "low"})
df = df.rename(columns={f"{symbol}.close": "close"})
df = df.rename(columns={f"{symbol}.volume": "volume"})
df = df.rename(columns={f"{symbol}.open_oi": "open_oi"})
os.unlink(csv_file)
return df
else:
return None
def test_lib_insert_order_time_check_5(self):
'''
lib下单时间判断测试5
回测时间：
起始交易日（datetime.date）在非周一
订阅:
cu（有夜盘,凌晨1点结束夜盘）,rb（夜盘23点结束）,jd（无夜盘）
测试：
1 起始回测在21点后rb、cu下单，到第二日9点后jd下单
2 本交易日白盘9：00后jd下单
'''
# 预设服务器端响应
dir_path = os.path.dirname(os.path.realpath(__file__))
self.mock.run(
os.path.join(dir_path, "log_file",
"test_lib_insert_order_time_check_5.script.lzma"))
utils.RD = random.Random(4)
api = TqApi(backtest=TqBacktest(datetime.date(2019, 12, 3),
datetime.date(2019, 12, 4)),
_ins_url=self.ins_url_2019_12_04,
_td_url=self.td_url,
_md_url=self.md_url) # 2019, 12, 3:周二
symbol1 = "SHFE.cu2002" # 有夜盘,凌晨1点结束夜盘
symbol2 = "SHFE.rb2002" # 夜盘23点结束
symbol3 = "DCE.jd2002" # 无夜盘
quote1 = api.get_quote(symbol1)
quote2 = api.get_quote(symbol2)
quote3 = api.get_quote(symbol3)
position1 = api.get_position(symbol1)
position2 = api.get_position(symbol2)
position3 = api.get_position(symbol3)
target_pos1 = TargetPosTask(api, symbol1)
target_pos2 = TargetPosTask(api, symbol2)
target_pos3 = TargetPosTask(api, symbol3)
orders = api.get_order()
try:
# 1 起始回测在21点后rb、cu下单，到第二日9点后jd下单
target_pos1.set_target_volume(1)
target_pos2.set_target_volume(2)
target_pos3.set_target_volume(3)
while max(quote1.datetime, quote2.datetime,
quote3.datetime) < "2019-12-02 21:05:00.000000":
api.wait_update()
self.assertEqual(len(orders), 2)
self.assertEqual(position1.pos, 1)
self.assertEqual(position2.pos, 2)
self.assertEqual(position3.pos, 0)
# 2 本交易日白盘9：00后jd下单
while max(quote1.datetime, quote2.datetime,
quote3.datetime) < "2019-12-03 09:02:00.000000":
api.wait_update()
self.assertEqual(len(orders), 3)
while True:
api.wait_update()
except BacktestFinished:
self.assertEqual(len(orders), 3)
self.assertEqual(position1.pos, 1)
self.assertEqual(position2.pos, 2)
self.assertEqual(position3.pos, 3)
api.close()
class doubleMA():
def __init__(self, account, symbol, MA1, MA2, max_value, mini_value,
trading_direction, trading_cycle, volume_number):
self.account = account #交易账号
self.symbol = symbol #合约代码
self.MA1 = MA1 #小周期
self.MA2 = MA2 #大周期
self.max_value = max_value #震荡区间的最高点
self.mini_value = mini_value #震荡区间的最低点
self.trading_direction = trading_direction #交易方向 1为涨 0为跌 以下均以 1 0 为定义
self.trading_cycle = trading_cycle #交易周期（以分钟记）
self.volume_number = volume_number #交易数量
self.position_flag = 0 #持仓标记
self.kline_flag = 0 #K线标记 避免单根K线上多次开仓
self.open_flag = 0 #开仓标记，避免止损点移动
self.api = TqApi(self.account)
self.kline = self.api.get_kline_serial(self.symbol,
self.trading_cycle * 60,
data_length=200)
self.position = self.api.get_position(self.symbol) #获得持仓状态
self.sell_list = []
self.buy_list = [] #存放开仓时的两个k线的最高或者最低点,在开仓时记录平仓时清空
def open_json(self):
try:
fp = open(
'F:\python\PythonApplication1\PythonApplication1\doubleMA.json',
'r')
result = json.load(fp)
self.buy_list = result['self.buy_list']
self.sell_list = result['self.sell_list']
print('buy_list: ', self.buy_list)
print('sell_list: ', self.sell_list)
except:
print("还没有json")
def save_json(self):
fp = open(
'F:\python\PythonApplication1\PythonApplication1\doubleMA.json',
'w')
save = {
'self.buy_list': self.buy_list,
'self.sell_list': self.sell_list
}
json.dump(save, fp)
def ma(self, daytime):
close_list = []
for i in range(1, daytime + 1):
close_list.append(self.kline[-i]["close"])
avg = sum(close_list) / daytime
return avg
def account_trading(self, trading_direction, offset_flag, td_price):
if self.position["volume_long"] or self.position["volume_short"] != 0:
self.position_flag = 1
if offset_flag == "OPEN":
if self.position_flag != 1:
self.api.insert_order(symbol=self.symbol,
direction=trading_direction,
offset=offset_flag,
volume=self.volume_number,
limit_price=td_price)
self.position_flag = 1
if offset_flag == "CLOSE":
if self.position_flag == 1:
if self.position["volume_long_today"] or self.position[
"volume_short_today"] != 0:
self.api.insert_order(symbol=self.symbol,
direction=trading_direction,
offset="CLOSETODAY",
volume=self.volume_number,
limit_price=td_price)
self.position_flag = 0
elif self.position["volume_long_his"] or self.position[
"volume_short_his"] != 0:
self.api.insert_order(symbol=self.symbol,
direction=trading_direction,
offset="CLOSE",
volume=self.volume_number,
limit_price=td_price)
self.position_flag = 0
def close_buy(self):
if self.position_flag == 1:
if (self.trading_direction == 1): #平多
while True:
self.api.wait_update()
if (self.kline[-1]["close"] < self.buy_list[-1]):
self.account_trading("SELL", "CLOSE",
self.kline[-1]["close"])
self.kline_flag += 1
self.buy_list.clear()
self.save_json()
self.open_flag -= 1
break
if (self.kline[-1]["close"] > self.max_value):
break
if (self.trading_direction == 0):
while True:
self.api.wait_update()
if (self.kline[-1]["close"] > self.sell_list[-1]):
self.account_trading("BUY", "CLOSE",
self.kline[-1]["close"])
self.kline_flag += 1
self.open_flag -= 1
self.sell_list.clear()
self.save_json()
break
if (self.kline[-1]["close"] < self.mini_value):
break
def open_buy(self):
if self.position_flag == 0:
if (self.trading_direction == 1): #交易方向为涨
if self.kline_flag == 0:
while True:
self.api.wait_update()
ma1 = self.ma(self.MA1)
ma2 = self.ma(self.MA2)
if (self.kline[-1]["close"] >=
self.kline[-2]["high"]): #突破最高点开仓
self.account_trading("BUY", "OPEN",
self.kline[-1]["close"])
if self.open_flag == 0:
self.buy_list.append(int(
self.kline[-1]["low"]))
self.buy_list.append(int(
self.kline[-2]["low"]))
self.buy_list.sort()
self.buy_list.pop() #抛弃掉最大的
self.save_json()
self.open_flag += 1
self.kline_flag += 1
print("止损点：", self.buy_list[-1])
break
if (self.kline[-1]["close"] <
self.mini_value) or (ma1 > ma2):
break
elif (self.trading_direction == 0): #交易方向为跌
if self.kline_flag == 0:
while True:
self.api.wait_update()
ma1 = self.ma(self.MA1)
ma2 = self.ma(self.MA2)
if (self.kline[-1]["close"] <= self.kline[-2]["low"]):
self.account_trading("SELL", "OPEN",
self.kline[-1]["close"])
if self.open_flag == 0:
self.sell_list.append(
int(self.kline[-1]["high"]))
self.sell_list.append(
int(self.kline[-2]["high"]))
self.sell_list.sort(reverse=True)
self.sell_list.pop() #抛弃掉最小的
self.open_flag += 1
self.save_json()
self.kline_flag += 1
print("止损点：", self.sell_list[-1])
break
if (self.kline[-1]["close"] > self.max_value) or (ma1 <
ma2):
break
def star(self):
self.open_json()
if self.position["volume_long"] or self.position["volume_short"] != 0:
self.position_flag = 1
while True:
self.api.wait_update()
if self.api.is_changing(self.kline[-1], "datetime"):
self.kline_flag = 0
#开仓方法
ma1 = self.ma(self.MA1)
ma2 = self.ma(self.MA2)
if self.trading_direction == 1: #做多
if self.kline[-1]["close"] > self.mini_value and self.kline[
-1]["close"] < self.max_value:
if ma2 > ma1:
#print('震荡区间中')
self.open_buy()
self.close_buy()
elif self.kline[-1]["close"] < self.mini_value:
self.close_buy()
break
elif self.kline[-1]["close"] > self.max_value:
if ma1 < ma2:
self.account_trading("SELL", "CLOSE",
self.kline[-1]["close"])
break
else:
self.open_buy()
self.close_buy()
elif self.trading_direction == 0: #做空
if self.kline[-1]["close"] > self.mini_value and self.kline[
-1]["close"] < self.max_value:
if ma1 > ma2:
self.open_buy()
self.close_buy()
elif self.kline[-1]["close"] > self.max_value:
self.close_buy()
break
elif self.kline[-1]["close"] < self.mini_value:
if ma1 > ma2:
self.account_trading("BUY", "CLOSE",
self.kline[-1]["close"])
break
else:
self.open_buy()
self.close_buy()
self.api.close()
def test_insert_order_fak(self):
"""
下单
"""
# 预设服务器端响应
dir_path = os.path.dirname(os.path.realpath(__file__))
self.mock.run(
os.path.join(
dir_path, "log_file",
"test_td_basic_insert_order_fak_simulate.script.lzma"))
# 测试: 模拟账户下单
# 非回测, 则需在盘中生成测试脚本: 测试脚本重新生成后，数据根据实际情况有变化,因此需要修改assert语句的内容
utils.RD = random.Random(2)
api = TqApi(_ins_url=self.ins_url_2020_05_07,
_td_url=self.td_url,
_md_url=self.md_url)
order1 = api.insert_order("SHFE.au2012",
"BUY",
"OPEN",
2,
limit_price=419,
advanced="FAK")
order2 = api.insert_order("SHFE.cu2010",
"BUY",
"OPEN",
2,
limit_price=49100,
advanced="FAK")
while order1.status == "ALIVE" or order2.status == "ALIVE":
api.wait_update()
self.assertEqual(order1.order_id,
"PYSDK_insert_5c6e433715ba2bdd177219d30e7a269f")
self.assertEqual(order1.direction, "BUY")
self.assertEqual(order1.offset, "OPEN")
self.assertEqual(order1.volume_orign, 2)
self.assertEqual(order1.volume_left, 0)
self.assertEqual(order1.limit_price, 419.0) # 判断nan
self.assertEqual(order1.price_type, "LIMIT")
self.assertEqual(order1.volume_condition, "ANY")
self.assertEqual(order1.time_condition, "IOC")
self.assertAlmostEqual(1593671890008459000 / 1e9,
order1.insert_date_time / 1e9,
places=1)
self.assertEqual(order1.status, "FINISHED")
for k, v in order1.trade_records.items(): # 模拟交易为一次性全部成交，因此只有一条成交记录
self.assertAlmostEqual(1593671890008850000 / 1e9,
v.trade_date_time / 1e9,
places=1)
del v.trade_date_time
self.assertEqual(
str(v),
"{'order_id': 'PYSDK_insert_5c6e433715ba2bdd177219d30e7a269f', 'trade_id': 'PYSDK_insert_5c6e433715ba2bdd177219d30e7a269f|2', 'exchange_trade_id': 'PYSDK_insert_5c6e433715ba2bdd177219d30e7a269f|2', 'exchange_id': 'SHFE', 'instrument_id': 'au2012', 'direction': 'BUY', 'offset': 'OPEN', 'price': 419.0, 'volume': 2, 'user_id': 'TQSIM', 'commission': 20.0}"
)
self.assertEqual(order2.order_id,
"PYSDK_insert_cf1822ffbc6887782b491044d5e34124")
self.assertEqual(order2.direction, "BUY")
self.assertEqual(order2.offset, "OPEN")
self.assertEqual(order2.volume_orign, 2)
self.assertEqual(order2.volume_left, 2)
self.assertEqual(order2.limit_price, 49100.0)
self.assertEqual(order2.price_type, "LIMIT")
self.assertEqual(order2.volume_condition, "ANY")
self.assertEqual(order2.time_condition, "IOC")
self.assertAlmostEqual(1593671890009772000 / 1e9,
order2.insert_date_time / 1e9,
places=1)
self.assertEqual(order2.status, "FINISHED")
self.assertEqual(len(order2.trade_records.items()), 0) # 没有成交记录
api.close()
def test_insert_order(self):
"""
下单
"""
# 预设服务器端响应
dir_path = os.path.dirname(os.path.realpath(__file__))
self.mock.run(
os.path.join(dir_path, "log_file",
"test_td_basic_insert_order_simulate.script.lzma"))
# 测试: 模拟账户下单
# 非回测, 则需在盘中生成测试脚本: 测试脚本重新生成后，数据根据实际情况有变化,因此需要修改assert语句的内容
TqApi.RD = random.Random(2)
api = TqApi(_ins_url=self.ins_url_2019_07_03,
_td_url=self.td_url,
_md_url=self.md_url)
order1 = api.insert_order("DCE.jd2005", "BUY", "OPEN", 1)
order2 = api.insert_order("SHFE.cu2004",
"BUY",
"OPEN",
2,
limit_price=49200)
while order1.status == "ALIVE" or order2.status == "ALIVE":
api.wait_update()
self.assertEqual(order1.order_id, "5c6e433715ba2bdd177219d30e7a269f")
self.assertEqual(order1.direction, "BUY")
self.assertEqual(order1.offset, "OPEN")
self.assertEqual(order1.volume_orign, 1)
self.assertEqual(order1.volume_left, 0)
self.assertNotEqual(order1.limit_price, order1.limit_price) # 判断nan
self.assertEqual(order1.price_type, "ANY")
self.assertEqual(order1.volume_condition, "ANY")
self.assertEqual(order1.time_condition, "IOC")
self.assertAlmostEqual(1584423143664478000 / 1e9,
order1.insert_date_time / 1e9,
places=1)
self.assertEqual(order1.status, "FINISHED")
for k, v in order1.trade_records.items(): # 模拟交易为一次性全部成交，因此只有一条成交记录
self.assertAlmostEqual(1584423143664478000 / 1e9,
v.trade_date_time / 1e9,
places=1)
del v.trade_date_time
self.assertEqual(
str(v),
"{'order_id': '5c6e433715ba2bdd177219d30e7a269f', 'trade_id': '5c6e433715ba2bdd177219d30e7a269f|1', 'exchange_trade_id': '5c6e433715ba2bdd177219d30e7a269f|1', 'exchange_id': 'DCE', 'instrument_id': 'jd2005', 'direction': 'BUY', 'offset': 'OPEN', 'price': 3205.0, 'volume': 1, 'user_id': 'TQSIM', 'commission': 6.122999999999999}"
)
self.assertEqual(order2.order_id, "cf1822ffbc6887782b491044d5e34124")
self.assertEqual(order2.direction, "BUY")
self.assertEqual(order2.offset, "OPEN")
self.assertEqual(order2.volume_orign, 2)
self.assertEqual(order2.volume_left, 0)
self.assertEqual(order2.limit_price, 49200.0)
self.assertEqual(order2.price_type, "LIMIT")
self.assertEqual(order2.volume_condition, "ANY")
self.assertEqual(order2.time_condition, "GFD")
self.assertAlmostEqual(1584423143666130000 / 1e9,
order2.insert_date_time / 1e9,
places=1)
self.assertEqual(order2.status, "FINISHED")
for k, v in order2.trade_records.items(): # 模拟交易为一次性全部成交，因此只有一条成交记录
self.assertAlmostEqual(1584423143666130000 / 1e9,
v.trade_date_time / 1e9,
places=1)
del v.trade_date_time
self.assertEqual(
str(v),
"{'order_id': 'cf1822ffbc6887782b491044d5e34124', 'trade_id': 'cf1822ffbc6887782b491044d5e34124|2', 'exchange_trade_id': 'cf1822ffbc6887782b491044d5e34124|2', 'exchange_id': 'SHFE', 'instrument_id': 'cu2004', 'direction': 'BUY', 'offset': 'OPEN', 'price': 49200.0, 'volume': 2, 'user_id': 'TQSIM', 'commission': 23.189999999999998}"
)
api.close()
def test_sim_insert_order_time_check_3(self):
"""
模拟交易下单时间判断测试3
测试时间段：
2020.2.17(周一) 10:29:29 - 15:18
订阅合约条件：
IF、T（无盘中休息时间）,cu（有盘中休息时间）
测试：
1. 10：29：29 IF、T能下单, cu不能下单
2. 10:30 之后都能下单
3. 11：29：29.999999 能下单
4. 13:00 之后T、IF能下单，cu不能下单
5. 13:30 之后都能下单
6. 15:00 - 15:15 : T能下单，IF、cu不能下单;
7. 15:14:59 只有T2003能下单
"""
# 预设服务器端响应
dir_path = os.path.dirname(os.path.realpath(__file__))
self.mock.run(os.path.join(dir_path, "log_file", "test_sim_insert_order_time_check_3.script.lzma"))
# 测试
utils.RD = random.Random(4)
api = TqApi(
backtest=TqBacktest(datetime.datetime(2020, 2, 17, 10, 29, 29), datetime.datetime(2020, 2, 17, 15, 18, 0)),
_ins_url=self.ins_url_2020_02_18) # 2019.12.2周一
symbol1 = "SHFE.cu2003"
symbol2 = "CFFEX.T2003"
symbol3 = "CFFEX.IF2003"
quote1 = api.get_quote(symbol1)
quote2 = api.get_quote(symbol2)
quote3 = api.get_quote(symbol3)
position1 = api.get_position(symbol1)
position2 = api.get_position(symbol2)
position3 = api.get_position(symbol3)
try:
# 1 10：29：29 IF、T能下单, cu不能下单
order1 = api.insert_order(symbol=symbol1, direction="SELL", offset="OPEN", volume=1,
limit_price=quote1.last_price)
order2 = api.insert_order(symbol=symbol2, direction="BUY", offset="OPEN", volume=2,
limit_price=quote2.last_price)
order3 = api.insert_order(symbol=symbol3, direction="BUY", offset="OPEN", volume=3,
limit_price=quote3.last_price)
while order1.status != "FINISHED" or order2.status != "FINISHED" or order3.status != "FINISHED":
api.wait_update()
self.assertEqual(order1.volume_orign, 1)
self.assertEqual(order1.volume_left, 1)
self.assertEqual(order2.volume_orign, 2)
self.assertEqual(order2.volume_left, 0)
self.assertEqual(order3.volume_orign, 3)
self.assertEqual(order3.volume_left, 0)
self.assertEqual(1581906569000000000, order1.insert_date_time)
self.assertEqual(1581906569000000000, order2.insert_date_time)
self.assertEqual(1581906569000000000, order3.insert_date_time)
# 2 10:30 之后都能下单；
while max(quote1.datetime, quote2.datetime, quote3.datetime) < "2020-02-17 10:30:00.000000":
api.wait_update()
order1 = api.insert_order(symbol=symbol1, direction="SELL", offset="OPEN", volume=1,
limit_price=quote1.last_price)
order2 = api.insert_order(symbol=symbol2, direction="BUY", offset="OPEN", volume=2,
limit_price=quote2.last_price)
order3 = api.insert_order(symbol=symbol3, direction="BUY", offset="OPEN", volume=3,
limit_price=quote3.last_price)
while order1.status != "FINISHED" or order2.status != "FINISHED" or order3.status != "FINISHED":
api.wait_update()
self.assertEqual(order1.volume_orign, 1)
self.assertEqual(order1.volume_left, 0)
self.assertEqual(order2.volume_orign, 2)
self.assertEqual(order2.volume_left, 0)
self.assertEqual(order3.volume_orign, 3)
self.assertEqual(order3.volume_left, 0)
self.assertEqual(1581906659999999000, order1.insert_date_time)
self.assertEqual(1581906659999999000, order2.insert_date_time)
self.assertEqual(1581906659999999000, order3.insert_date_time)
# 3 11：29：29.999999 能下单
while max(quote1.datetime, quote2.datetime, quote3.datetime) != "2020-02-17 11:29:59.999999":
api.wait_update()
order1 = api.insert_order(symbol=symbol1, direction="SELL", offset="OPEN", volume=1,
limit_price=quote1.bid_price1) # 使用quote1.bid_price1使其立即成交
order2 = api.insert_order(symbol=symbol2, direction="BUY", offset="OPEN", volume=2,
limit_price=quote2.last_price)
order3 = api.insert_order(symbol=symbol3, direction="BUY", offset="OPEN", volume=3,
limit_price=quote3.last_price)
while order1.status != "FINISHED" or order2.status != "FINISHED" or order3.status != "FINISHED":
api.wait_update()
self.assertEqual(order1.volume_orign, 1)
self.assertEqual(order1.volume_left, 0)
self.assertEqual(order2.volume_orign, 2)
self.assertEqual(order2.volume_left, 0)
self.assertEqual(order3.volume_orign, 3)
self.assertEqual(order3.volume_left, 0)
self.assertEqual(1581910199999999000, order1.insert_date_time)
self.assertEqual(1581910199999999000, order2.insert_date_time)
self.assertEqual(1581910199999999000, order3.insert_date_time)
# 4 13:00 之后T、IF能下单，cu不能下单
while max(quote1.datetime, quote2.datetime, quote3.datetime) < "2020-02-17 13:00:00.000000":
api.wait_update()
order1 = api.insert_order(symbol=symbol1, direction="SELL", offset="OPEN", volume=1,
limit_price=quote1.last_price)
order2 = api.insert_order(symbol=symbol2, direction="BUY", offset="OPEN", volume=2,
limit_price=quote2.last_price)
order3 = api.insert_order(symbol=symbol3, direction="BUY", offset="OPEN", volume=3,
limit_price=quote3.last_price)
while order1.status != "FINISHED" or order2.status != "FINISHED" or order3.status != "FINISHED":
api.wait_update()
self.assertEqual(order1.volume_orign, 1)
self.assertEqual(order1.volume_left, 1)
self.assertEqual(order2.volume_orign, 2)
self.assertEqual(order2.volume_left, 0)
self.assertEqual(order3.volume_orign, 3)
self.assertEqual(order3.volume_left, 0)
self.assertEqual(1581915839999999000, order1.insert_date_time)
self.assertEqual(1581915839999999000, order2.insert_date_time)
self.assertEqual(1581915839999999000, order3.insert_date_time)
# 5 13:30 之后都能下单
while max(quote1.datetime, quote2.datetime, quote3.datetime) < "2020-02-17 13:30:00.000000":
api.wait_update()
order1 = api.insert_order(symbol=symbol1, direction="SELL", offset="OPEN", volume=1,
limit_price=quote1.last_price)
order2 = api.insert_order(symbol=symbol2, direction="BUY", offset="OPEN", volume=2,
limit_price=quote2.last_price)
order3 = api.insert_order(symbol=symbol3, direction="BUY", offset="OPEN", volume=3,
limit_price=quote3.last_price)
while order1.status != "FINISHED" or order2.status != "FINISHED" or order3.status != "FINISHED":
api.wait_update()
self.assertEqual(order1.volume_orign, 1)
self.assertEqual(order1.volume_left, 0)
self.assertEqual(order2.volume_orign, 2)
self.assertEqual(order2.volume_left, 0)
self.assertEqual(order3.volume_orign, 3)
self.assertEqual(order3.volume_left, 0)
self.assertEqual(1581917459999999000, order1.insert_date_time)
self.assertEqual(1581917459999999000, order2.insert_date_time)
self.assertEqual(1581917459999999000, order3.insert_date_time)
# 6 15:00 - 15:15 : T能下单，IF、cu不能下单;
while max(quote1.datetime, quote2.datetime, quote3.datetime) < "2020-02-17 15:00:00.000000":
api.wait_update()
order1 = api.insert_order(symbol=symbol1, direction="SELL", offset="OPEN", volume=1,
limit_price=quote1.last_price)
order2 = api.insert_order(symbol=symbol2, direction="BUY", offset="OPEN", volume=2,
limit_price=quote2.last_price)
order3 = api.insert_order(symbol=symbol3, direction="BUY", offset="OPEN", volume=3,
limit_price=quote3.last_price)
while order1.status != "FINISHED" or order2.status != "FINISHED" or order3.status != "FINISHED":
api.wait_update()
self.assertEqual(order1.volume_orign, 1)
self.assertEqual(order1.volume_left, 1)
self.assertEqual(order2.volume_orign, 2)
self.assertEqual(order2.volume_left, 0)
self.assertEqual(order3.volume_orign, 3)
self.assertEqual(order3.volume_left, 3)
self.assertEqual(1581922859999999000, order1.insert_date_time)
self.assertEqual(1581922859999999000, order2.insert_date_time)
self.assertEqual(1581922859999999000, order3.insert_date_time)
# 7 15:14:59 只有T2003能下单
while max(quote1.datetime, quote2.datetime, quote3.datetime) != "2020-02-17 15:14:59.999999":
api.wait_update()
order1 = api.insert_order(symbol=symbol1, direction="SELL", offset="OPEN", volume=1,
limit_price=quote1.last_price)
order2 = api.insert_order(symbol=symbol2, direction="BUY", offset="OPEN", volume=2)
order3 = api.insert_order(symbol=symbol3, direction="BUY", offset="OPEN", volume=3)
while order1.status != "FINISHED" or order2.status != "FINISHED" or order3.status != "FINISHED":
api.wait_update()
self.assertEqual(order1.volume_orign, 1)
self.assertEqual(order1.volume_left, 1)
self.assertEqual(order2.volume_orign, 2)
self.assertEqual(order2.volume_left, 0)
self.assertEqual(order3.volume_orign, 3)
self.assertEqual(order3.volume_left, 3)
self.assertEqual(1581923699999999000, order1.insert_date_time)
self.assertEqual(1581923699999999000, order2.insert_date_time)
self.assertEqual(1581923699999999000, order3.insert_date_time)
while True:
api.wait_update()
except BacktestFinished:
self.assertEqual(position1.pos, -3)
self.assertEqual(position2.pos, 14)
self.assertEqual(position3.pos, 15)
api.close()
def test_insert_order_option(self):
"""
期权下单
"""
# 预设服务器端响应
dir_path = os.path.dirname(os.path.realpath(__file__))
self.mock.run(
os.path.join(
dir_path, "log_file",
"test_td_basic_insert_order_simulate_option.script.lzma"))
# 测试: 模拟账户下单
# 非回测, 则需在盘中生成测试脚本: 测试脚本重新生成后，数据根据实际情况有变化,因此需要修改assert语句的内容
TqApi.RD = random.Random(2)
api = TqApi(_ins_url=self.ins_url_2020_04_02,
_td_url=self.td_url,
_md_url=self.md_url)
order1 = api.insert_order("SHFE.cu2006C47000",
"BUY",
"OPEN",
1,
limit_price=135)
order2 = api.insert_order("CZCE.SR007C5600",
"SELL",
"OPEN",
2,
limit_price=30)
order3 = api.insert_order("DCE.m2007-P-2900",
"BUY",
"OPEN",
3,
limit_price=192)
while order1.status == "ALIVE" or order2.status == "ALIVE" or order3.status == "ALIVE":
api.wait_update()
self.assertEqual(order1.order_id, "5c6e433715ba2bdd177219d30e7a269f")
self.assertEqual(order1.direction, "BUY")
self.assertEqual(order1.offset, "OPEN")
self.assertEqual(order1.volume_orign, 1)
self.assertEqual(order1.volume_left, 0)
self.assertEqual(order1.limit_price, 135.0)
self.assertEqual(order1.price_type, "LIMIT")
self.assertEqual(order1.volume_condition, "ANY")
self.assertEqual(order1.time_condition, "GFD")
self.assertAlmostEqual(1586829882005334000 / 1e9,
order1.insert_date_time / 1e9,
places=1)
self.assertEqual(order1.status, "FINISHED")
for k, v in order1.trade_records.items(): # 模拟交易为一次性全部成交，因此只有一条成交记录
self.assertAlmostEqual(1586829882005979000 / 1e9,
v.trade_date_time / 1e9,
places=1)
del v.trade_date_time
self.assertEqual(
str(v),
"{'order_id': '5c6e433715ba2bdd177219d30e7a269f', 'trade_id': '5c6e433715ba2bdd177219d30e7a269f|1', 'exchange_trade_id': '5c6e433715ba2bdd177219d30e7a269f|1', 'exchange_id': 'SHFE', 'instrument_id': 'cu2006C47000', 'direction': 'BUY', 'offset': 'OPEN', 'price': 135.0, 'volume': 1, 'user_id': 'TQSIM', 'commission': 10}"
)
self.assertEqual(order2.order_id, "cf1822ffbc6887782b491044d5e34124")
self.assertEqual(order2.direction, "SELL")
self.assertEqual(order2.offset, "OPEN")
self.assertEqual(order2.volume_orign, 2)
self.assertEqual(order2.volume_left, 0)
self.assertEqual(order2.limit_price, 30.0)
self.assertEqual(order2.price_type, "LIMIT")
self.assertEqual(order2.volume_condition, "ANY")
self.assertEqual(order2.time_condition, "GFD")
self.assertAlmostEqual(1586829882236154000 / 1e9,
order2.insert_date_time / 1e9,
places=1)
self.assertEqual(order2.status, "FINISHED")
for k, v in order2.trade_records.items(): # 模拟交易为一次性全部成交，因此只有一条成交记录
self.assertAlmostEqual(1586829882236518000 / 1e9,
v.trade_date_time / 1e9,
places=1)
del v.trade_date_time
self.assertEqual(
str(v),
"{'order_id': 'cf1822ffbc6887782b491044d5e34124', 'trade_id': 'cf1822ffbc6887782b491044d5e34124|2', 'exchange_trade_id': 'cf1822ffbc6887782b491044d5e34124|2', 'exchange_id': 'CZCE', 'instrument_id': 'SR007C5600', 'direction': 'SELL', 'offset': 'OPEN', 'price': 30.0, 'volume': 2, 'user_id': 'TQSIM', 'commission': 20}"
)
self.assertEqual(order3.order_id, "4067c3584ee207f8da94e3e8ab73738f")
self.assertEqual(order3.direction, "BUY")
self.assertEqual(order3.offset, "OPEN")
self.assertEqual(order3.volume_orign, 3)
self.assertEqual(order3.volume_left, 0)
self.assertEqual(order3.limit_price, 192.0)
self.assertEqual(order3.price_type, "LIMIT")
self.assertEqual(order3.volume_condition, "ANY")
self.assertEqual(order3.time_condition, "GFD")
self.assertAlmostEqual(1586829882228039000 / 1e9,
order3.insert_date_time / 1e9,
places=1)
self.assertEqual(order3.status, "FINISHED")
for k, v in order3.trade_records.items(): # 模拟交易为一次性全部成交，因此只有一条成交记录
self.assertAlmostEqual(1586829882228603000 / 1e9,
v.trade_date_time / 1e9,
places=1)
del v.trade_date_time
self.assertEqual(
str(v),
"{'order_id': '4067c3584ee207f8da94e3e8ab73738f', 'trade_id': '4067c3584ee207f8da94e3e8ab73738f|3', 'exchange_trade_id': '4067c3584ee207f8da94e3e8ab73738f|3', 'exchange_id': 'DCE', 'instrument_id': 'm2007-P-2900', 'direction': 'BUY', 'offset': 'OPEN', 'price': 192.0, 'volume': 3, 'user_id': 'TQSIM', 'commission': 30}"
)
api.close()
def test_sim_insert_order_time_check_4(self):
"""
模拟交易下单时间判断测试4
测试时间段：
交易日(datetime.date)为周一, 夜盘从周五21点到周六凌晨1点
订阅合约：
cu(有夜盘,凌晨1点结束夜盘), rb(夜盘23点结束), jd(无夜盘)
测试：
1. 回测刚开始:current_datetime 为 18:00 , 都无法下单
2. 周五晚21：00之后: cu和rb能下单
3. 周五23点到周六凌晨1点前：cu能下单
4. 周一早9点后都能下单
5. 周一晚21点后cu和rb能下单
"""
# 预设服务器端响应
dir_path = os.path.dirname(os.path.realpath(__file__))
self.mock.run(os.path.join(dir_path, "log_file", "test_sim_insert_order_time_check_4.script.lzma"))
utils.RD = random.Random(4)
api = TqApi(backtest=TqBacktest(datetime.date(2019, 12, 2), datetime.date(2019, 12, 3)),
_ins_url=self.ins_url_2019_12_04)
symbol1 = "SHFE.cu2002" # 有夜盘,凌晨1点结束夜盘
symbol2 = "SHFE.rb2002" # 夜盘23点结束
symbol3 = "DCE.jd2002" # 无夜盘
quote1 = api.get_quote(symbol1)
quote2 = api.get_quote(symbol2)
quote3 = api.get_quote(symbol3)
position1 = api.get_position(symbol1)
position2 = api.get_position(symbol2)
position3 = api.get_position(symbol3)
try:
# 1 回测刚开始:current_datetime 为 18:00 , 都无法下单
order1 = api.insert_order(symbol=symbol1, direction="SELL", offset="OPEN", volume=1,
limit_price=quote1.last_price)
order2 = api.insert_order(symbol=symbol2, direction="BUY", offset="OPEN", volume=2,
limit_price=quote2.last_price)
order3 = api.insert_order(symbol=symbol3, direction="BUY", offset="OPEN", volume=3,
limit_price=quote3.last_price)
while order1.status != "FINISHED" or order2.status != "FINISHED" or order3.status != "FINISHED":
api.wait_update()
self.assertEqual(order1.volume_orign, 1)
self.assertEqual(order1.volume_left, 1)
self.assertEqual(order2.volume_orign, 2)
self.assertEqual(order2.volume_left, 2)
self.assertEqual(order3.volume_orign, 3)
self.assertEqual(order3.volume_left, 3)
self.assertEqual(1575021600000000000, order1.insert_date_time)
self.assertEqual(1575021600000000000, order2.insert_date_time)
self.assertEqual(1575021600000000000, order3.insert_date_time)
# 2 周五晚21：00之后: cu和rb能下单
while max(quote1.datetime, quote2.datetime, quote3.datetime) < "2019-11-29 21:00:00.000000":
api.wait_update()
order1 = api.insert_order(symbol=symbol1, direction="SELL", offset="OPEN", volume=1,
limit_price=quote1.last_price)
order2 = api.insert_order(symbol=symbol2, direction="BUY", offset="OPEN", volume=2,
limit_price=quote2.last_price)
order3 = api.insert_order(symbol=symbol3, direction="BUY", offset="OPEN", volume=3,
limit_price=quote3.last_price)
while order1.status != "FINISHED" or order2.status != "FINISHED" or order3.status != "FINISHED":
api.wait_update()
self.assertEqual(order1.volume_orign, 1)
self.assertEqual(order1.volume_left, 0)
self.assertEqual(order2.volume_orign, 2)
self.assertEqual(order2.volume_left, 0)
self.assertEqual(order3.volume_orign, 3)
self.assertEqual(order3.volume_left, 3)
self.assertEqual(1575032459999999000, order1.insert_date_time)
self.assertEqual(1575032459999999000, order2.insert_date_time)
self.assertEqual(1575032459999999000, order3.insert_date_time)
# 3 周六凌晨1点前：cu能下单
while max(quote1.datetime, quote2.datetime, quote3.datetime) < "2019-11-30 00:01:00.000000":
api.wait_update()
order1 = api.insert_order(symbol=symbol1, direction="SELL", offset="OPEN", volume=1,
limit_price=quote1.last_price)
order2 = api.insert_order(symbol=symbol2, direction="BUY", offset="OPEN", volume=2,
limit_price=quote2.last_price)
order3 = api.insert_order(symbol=symbol3, direction="BUY", offset="OPEN", volume=3,
limit_price=quote3.last_price)
while order1.status != "FINISHED" or order2.status != "FINISHED" or order3.status != "FINISHED":
api.wait_update()
self.assertEqual(order1.volume_orign, 1)
self.assertEqual(order1.volume_left, 0)
self.assertEqual(order2.volume_orign, 2)
self.assertEqual(order2.volume_left, 2)
self.assertEqual(order3.volume_orign, 3)
self.assertEqual(order3.volume_left, 3)
self.assertEqual(1575043319999999000, order1.insert_date_time)
self.assertEqual(1575043319999999000, order2.insert_date_time)
self.assertEqual(1575043319999999000, order3.insert_date_time)
# 4 周一早9点后都能下单
while max(quote1.datetime, quote2.datetime, quote3.datetime) < "2019-12-02 09:00:00.000000":
api.wait_update()
order1 = api.insert_order(symbol=symbol1, direction="SELL", offset="OPEN", volume=1,
limit_price=quote1.last_price)
order2 = api.insert_order(symbol=symbol2, direction="BUY", offset="OPEN", volume=2,
limit_price=quote2.last_price)
order3 = api.insert_order(symbol=symbol3, direction="BUY", offset="OPEN", volume=3,
limit_price=quote3.last_price)
while order1.status != "FINISHED" or order2.status != "FINISHED" or order3.status != "FINISHED":
api.wait_update()
self.assertEqual(order1.volume_orign, 1)
self.assertEqual(order1.volume_left, 0)
self.assertEqual(order2.volume_orign, 2)
self.assertEqual(order2.volume_left, 0)
self.assertEqual(order3.volume_orign, 3)
self.assertEqual(order3.volume_left, 0)
self.assertEqual(1575248459999999000, order1.insert_date_time)
self.assertEqual(1575248459999999000, order2.insert_date_time)
self.assertEqual(1575248459999999000, order3.insert_date_time)
# 5 周一晚21点后cu和rb能下单
while max(quote1.datetime, quote2.datetime, quote3.datetime) < "2019-12-02 21:00:00.000000":
api.wait_update()
order1 = api.insert_order(symbol=symbol1, direction="BUY", offset="OPEN", volume=1,
limit_price=quote1.last_price)
order2 = api.insert_order(symbol=symbol2, direction="BUY", offset="OPEN", volume=2,
limit_price=quote2.last_price)
order3 = api.insert_order(symbol=symbol3, direction="BUY", offset="OPEN", volume=3,
limit_price=quote3.last_price)
while order1.status != "FINISHED" or order2.status != "FINISHED" or order3.status != "FINISHED":
api.wait_update()
self.assertEqual(order1.volume_orign, 1)
self.assertEqual(order1.volume_left, 0)
self.assertEqual(order2.volume_orign, 2)
self.assertEqual(order2.volume_left, 0)
self.assertEqual(order3.volume_orign, 3)
self.assertEqual(order3.volume_left, 3)
self.assertEqual(1575291659999999000, order1.insert_date_time)
self.assertEqual(1575291659999999000, order2.insert_date_time)
self.assertEqual(1575291659999999000, order3.insert_date_time)
while True:
api.wait_update()
except BacktestFinished:
self.assertEqual(position1.pos, -2)
self.assertEqual(position2.pos, 6)
self.assertEqual(position3.pos, 3)
api.close()
def run_tianqin_code(bid, user_id, pwd, td_url):
api = TqApi(TqAccount(bid, user_id, pwd),
auth="[email protected],MaYanQiong",
_td_url=td_url)
is_ctp = False if bid == "快期模拟" else True
account = api.get_account()
if bid == "快期模拟":
assert account.ctp_balance == '-' or math.isnan(account.ctp_balance)
assert account.ctp_available == '-' or math.isnan(
account.ctp_available)
else:
logger.info(f"{account.ctp_balance}, {account.ctp_available}")
logger.info(f"{'='*30} 登录成功后，账户初始状态 {'='*30}")
positions = api._data["trade"][user_id]["positions"]
orders = api._data["trade"][user_id]["orders"]
check_orders(orders, api, is_ctp)
check_positions(positions, api, is_ctp)
check_account(account, positions, is_ctp)
logger.info(f"{'='*30} 全部撤单 & 全部平仓 {'='*30}")
for order in orders.values():
if order.status != "FINISHED":
api.cancel_order(order)
for pos in positions.values():
symbol = f"{pos.exchange_id}.{pos.instrument_id}"
quote = api.get_quote(symbol)
if pos.pos_long > 0:
api.insert_order(symbol=symbol,
direction="SELL",
offset="CLOSE",
limit_price=quote.bid_price1,
volume=pos.pos_long)
if pos.pos_short > 0:
api.insert_order(symbol=symbol,
direction="BUY",
offset="CLOSE",
limit_price=quote.ask_price1,
volume=pos.pos_short)
while True:
api.wait_update(deadline=time.time() + 30)
# 全部持仓清 0
is_all_clear = True
for pos in positions.values():
if pos.pos_long > 0 or pos.pos_short > 0:
is_all_clear = False
for order in orders.values():
if order.status != "FINISHED":
is_all_clear = False
if is_all_clear:
logger.info("全部撤单 & 全部平仓 ok")
break
else:
logger.info("还没完成全部撤单 & 全部平仓")
logger.info(f"{'='*12} 期货 开仓 {'='*12}")
quote = api.get_quote("CZCE.RM105")
api.insert_order(symbol="CZCE.RM105",
direction="BUY",
offset="OPEN",
limit_price=quote.lower_limit + quote.price_tick,
volume=2)
api.insert_order(symbol="CZCE.RM105",
direction="BUY",
offset="OPEN",
limit_price=quote.ask_price1,
volume=3)
quote1 = api.get_quote("CZCE.CF105")
api.insert_order(symbol="CZCE.CF105",
direction="SELL",
offset="OPEN",
limit_price=quote1.upper_limit - quote1.price_tick,
volume=2)
api.insert_order(symbol="CZCE.CF105",
direction="SELL",
offset="OPEN",
limit_price=quote1.bid_price1,
volume=3)
check_all(api, bid, user_id)
# logger.info(f"{'='*12} 期权 开仓 {'='*12}")
# quote = api.get_quote("CZCE.RM009C2300")
# api.insert_order(symbol="CZCE.RM009C2300", direction="BUY", offset="OPEN",
# limit_price=quote.lower_limit + quote.price_tick,
# volume=2)
# api.insert_order(symbol="CZCE.RM009C2300", direction="BUY", offset="OPEN", limit_price=quote.ask_price1,
# volume=3)
# quote1 = api.get_quote("CZCE.CF009C11600")
# api.insert_order(symbol="CZCE.CF009C11600", direction="SELL", offset="OPEN",
# limit_price=quote1.upper_limit - quote1.price_tick,
# volume=2)
# api.insert_order(symbol="CZCE.CF009C11600", direction="SELL", offset="OPEN", limit_price=quote1.bid_price1,
# volume=3)
#
# quote2 = api.get_quote("CZCE.RM009P2300")
# api.insert_order(symbol="CZCE.RM009P2300", direction="BUY", offset="OPEN",
# limit_price=quote2.lower_limit + quote2.price_tick,
# volume=2)
# api.insert_order(symbol="CZCE.RM009P2300", direction="BUY", offset="OPEN", limit_price=quote2.ask_price1,
# volume=3)
# quote3 = api.get_quote("CZCE.CF009C11600")
# api.insert_order(symbol="CZCE.CF009P11600", direction="SELL", offset="OPEN",
# limit_price=quote3.upper_limit - quote3.price_tick,
# volume=2)
# api.insert_order(symbol="CZCE.CF009P11600", direction="SELL", offset="OPEN", limit_price=quote3.bid_price1,
# volume=3)
# PUT
# check_all(api, bid, user_id)
# logger.info(f"{'='*30} 发平仓挂单 {'='*30}")
# positions = api._data["trade"][user_id]["positions"]
# for pos in positions.values():
# symbol = f"{pos.exchange_id}.{pos.instrument_id}"
# quote = api.get_quote(symbol)
# if pos.pos_long > 0:
# api.insert_order(symbol=symbol, direction="SELL", offset="CLOSE",
# limit_price=quote.upper_limit - quote.price_tick,
# volume=pos.pos_long)
# if pos.pos_short > 0:
# api.insert_order(symbol=symbol, direction="BUY", offset="CLOSE",
# limit_price=quote.lower_limit + quote.price_tick,
# volume=pos.pos_short)
# check_all(api, bid, user_id)
api.close()
def test_sim_insert_order_time_check_5(self):
"""
模拟交易下单时间判断测试5
测试时间段：
交易日(datetime.date)在非周一，订阅有夜盘合约，判断其可交易时间段
合约：
cu(有夜盘,凌晨1点结束夜盘), rb(夜盘23点结束), jd(无夜盘)
测试：
1 回测刚开始:current_datetime 为 18:00 , 都无法下单
2 前一日21点以后rb、cu能下单
3 本交易日9：00后都能下单
"""
# 预设服务器端响应
dir_path = os.path.dirname(os.path.realpath(__file__))
self.mock.run(os.path.join(dir_path, "log_file", "test_sim_insert_order_time_check_5.script.lzma"))
utils.RD = random.Random(4)
api = TqApi(backtest=TqBacktest(datetime.date(2019, 12, 3), datetime.date(2019, 12, 4)),
_ins_url=self.ins_url_2019_12_04)
symbol1 = "SHFE.cu2002" # 有夜盘,凌晨1点结束夜盘
symbol2 = "SHFE.rb2002" # 夜盘23点结束
symbol3 = "DCE.jd2002" # 无夜盘
quote1 = api.get_quote(symbol1)
quote2 = api.get_quote(symbol2)
quote3 = api.get_quote(symbol3)
position1 = api.get_position(symbol1)
position2 = api.get_position(symbol2)
position3 = api.get_position(symbol3)
try:
# 1 回测刚开始:current_datetime 为 18:00 , 都无法下单
order1 = api.insert_order(symbol=symbol1, direction="SELL", offset="OPEN", volume=1,
limit_price=quote1.last_price)
order2 = api.insert_order(symbol=symbol2, direction="BUY", offset="OPEN", volume=2,
limit_price=quote2.last_price)
order3 = api.insert_order(symbol=symbol3, direction="BUY", offset="OPEN", volume=3,
limit_price=quote3.last_price)
while order1.status != "FINISHED" or order2.status != "FINISHED" or order3.status != "FINISHED":
api.wait_update()
self.assertEqual(order1.volume_orign, 1)
self.assertEqual(order1.volume_left, 1)
self.assertEqual(order2.volume_orign, 2)
self.assertEqual(order2.volume_left, 2)
self.assertEqual(order3.volume_orign, 3)
self.assertEqual(order3.volume_left, 3)
self.assertEqual(1575280800000000000, order1.insert_date_time)
self.assertEqual(1575280800000000000, order2.insert_date_time)
self.assertEqual(1575280800000000000, order3.insert_date_time)
# 2 前一日21点以后rb、cu能下单
while max(quote1.datetime, quote2.datetime, quote3.datetime) < "2019-12-02 21:00:00.000000":
api.wait_update()
order1 = api.insert_order(symbol=symbol1, direction="BUY", offset="OPEN", volume=1,
limit_price=quote1.last_price)
order2 = api.insert_order(symbol=symbol2, direction="BUY", offset="OPEN", volume=2,
limit_price=quote2.last_price)
order3 = api.insert_order(symbol=symbol3, direction="BUY", offset="OPEN", volume=3,
limit_price=quote3.last_price)
while order1.status != "FINISHED" or order2.status != "FINISHED" or order3.status != "FINISHED":
api.wait_update()
self.assertEqual(order1.volume_orign, 1)
self.assertEqual(order1.volume_left, 0)
self.assertEqual(order2.volume_orign, 2)
self.assertEqual(order2.volume_left, 0)
self.assertEqual(order3.volume_orign, 3)
self.assertEqual(order3.volume_left, 3)
self.assertEqual(1575291659999999000, order1.insert_date_time)
self.assertEqual(1575291659999999000, order2.insert_date_time)
self.assertEqual(1575291659999999000, order3.insert_date_time)
# 3 本交易日9：00后都能下单
while max(quote1.datetime, quote2.datetime, quote3.datetime) < "2019-12-03 09:00:00.000000":
api.wait_update()
order1 = api.insert_order(symbol=symbol1, direction="BUY", offset="OPEN", volume=1,
limit_price=quote1.last_price)
order2 = api.insert_order(symbol=symbol2, direction="BUY", offset="OPEN", volume=2,
limit_price=quote2.last_price)
order3 = api.insert_order(symbol=symbol3, direction="BUY", offset="OPEN", volume=3,
limit_price=quote3.last_price)
while order1.status != "FINISHED" or order2.status != "FINISHED" or order3.status != "FINISHED":
api.wait_update()
self.assertEqual(order1.volume_orign, 1)
self.assertEqual(order1.volume_left, 0)
self.assertEqual(order2.volume_orign, 2)
self.assertEqual(order2.volume_left, 0)
self.assertEqual(order3.volume_orign, 3)
self.assertEqual(order3.volume_left, 0)
self.assertEqual(1575334859999999000, order1.insert_date_time)
self.assertEqual(1575334859999999000, order2.insert_date_time)
self.assertEqual(1575334859999999000, order3.insert_date_time)
while True:
api.wait_update()
except BacktestFinished:
self.assertEqual(position1.pos, 2)
self.assertEqual(position2.pos, 4)
self.assertEqual(position3.pos, 3)
api.close()
def test_get_order(self):
"""
获取委托单信息
"""
# 预设服务器端响应
dir_path = os.path.dirname(os.path.realpath(__file__))
self.mock.run(
os.path.join(dir_path, "log_file",
"test_td_basic_get_order_simulate.script.lzma"))
# 测试: 模拟账户下单
TqApi.RD = random.Random(4)
api = TqApi(_ins_url=self.ins_url,
_td_url=self.td_url,
_md_url=self.md_url)
order1 = api.insert_order("DCE.jd2001", "BUY", "OPEN", 1)
order2 = api.insert_order("SHFE.cu2001",
"SELL",
"OPEN",
2,
limit_price=47040)
while order1.status == "ALIVE" or order2.status == "ALIVE":
api.wait_update()
get_order1 = api.get_order(order1.order_id)
get_order2 = api.get_order(order2.order_id)
self.assertEqual(
str(get_order1),
"{'order_id': '1710cf5327ac435a7a97c643656412a9', 'exchange_order_id': '1710cf5327ac435a7a97c643656412a9', 'exchange_id': 'DCE', 'instrument_id': 'jd2001', 'direction': 'BUY', 'offset': 'OPEN', 'volume_orign': 1, 'volume_left': 0, 'limit_price': nan, 'price_type': 'ANY', 'volume_condition': 'ANY', 'time_condition': 'IOC', 'insert_date_time': 631123200000000000, 'last_msg': '全部成交', 'status': 'FINISHED', 'user_id': 'TQSIM', 'symbol': 'DCE.jd2001', 'frozen_margin': 0.0}"
)
self.assertEqual(
str(get_order2),
"{'order_id': '8ca5996666ceab360512bd1311072231', 'exchange_order_id': '8ca5996666ceab360512bd1311072231', 'exchange_id': 'SHFE', 'instrument_id': 'cu2001', 'direction': 'SELL', 'offset': 'OPEN', 'volume_orign': 2, 'volume_left': 0, 'limit_price': 47040.0, 'price_type': 'LIMIT', 'volume_condition': 'ANY', 'time_condition': 'GFD', 'insert_date_time': 631123200000000000, 'last_msg': '全部成交', 'status': 'FINISHED', 'user_id': 'TQSIM', 'symbol': 'SHFE.cu2001', 'frozen_margin': 0.0}"
)
self.assertEqual(get_order1.order_id,
"1710cf5327ac435a7a97c643656412a9")
self.assertEqual(get_order1.direction, "BUY")
self.assertEqual(get_order1.offset, "OPEN")
self.assertEqual(get_order1.volume_orign, 1)
self.assertEqual(get_order1.volume_left, 0)
self.assertEqual(get_order1.limit_price != get_order1.limit_price,
True) # 判断nan
self.assertEqual(get_order1.price_type, "ANY")
self.assertEqual(get_order1.volume_condition, "ANY")
self.assertEqual(get_order1.time_condition, "IOC")
self.assertEqual(get_order1.insert_date_time, 631123200000000000)
self.assertEqual(get_order1.last_msg, "全部成交")
self.assertEqual(get_order1.status, "FINISHED")
self.assertEqual(get_order1.symbol, "DCE.jd2001")
self.assertEqual(get_order1.frozen_margin, 0)
self.assertEqual(get_order2.order_id,
"8ca5996666ceab360512bd1311072231")
self.assertEqual(get_order2.direction, "SELL")
self.assertEqual(get_order2.offset, "OPEN")
self.assertEqual(get_order2.volume_orign, 2)
self.assertEqual(get_order2.volume_left, 0)
self.assertEqual(get_order2.limit_price, 47040)
self.assertEqual(get_order2.price_type, "LIMIT")
self.assertEqual(get_order2.volume_condition, "ANY")
self.assertEqual(get_order2.time_condition, "GFD")
self.assertEqual(get_order2["insert_date_time"], 631123200000000000)
self.assertEqual(get_order2["last_msg"], "全部成交")
self.assertEqual(get_order2["status"], "FINISHED")
self.assertEqual(get_order2.symbol, "SHFE.cu2001")
self.assertEqual(get_order2.frozen_margin, 0)
api.close()
def test_sim_insert_order_time_check_7(self):
"""
模拟交易下单时间判断测试7
订阅合约：
订阅周六有行情的和周六无行情的
测试：
（回测从周六开始）
1 回测刚开始:current_datetime 为 0:00 , 只有cu能下单
2 白盘开始后,都能下单
"""
# 预设服务器端响应
dir_path = os.path.dirname(os.path.realpath(__file__))
self.mock.run(os.path.join(dir_path, "log_file", "test_sim_insert_order_time_check_7.script.lzma"))
utils.RD = random.Random(4)
api = TqApi(
backtest=TqBacktest(datetime.datetime(2019, 11, 30, 0, 0, 0), datetime.datetime(2019, 12, 2, 9, 30)),
_ins_url=self.ins_url_2019_12_04)
symbol1 = "SHFE.cu2002" # 有夜盘,凌晨1点结束夜盘
symbol2 = "SHFE.rb2002" # 夜盘23点结束
symbol3 = "DCE.jd2002" # 无夜盘
quote1 = api.get_quote(symbol1)
quote2 = api.get_quote(symbol2)
quote3 = api.get_quote(symbol3)
position1 = api.get_position(symbol1)
position2 = api.get_position(symbol2)
position3 = api.get_position(symbol3)
try:
# 1 回测刚开始:current_datetime 为 0:00 , 只有cu能下单
order1 = api.insert_order(symbol=symbol1, direction="SELL", offset="OPEN", volume=1,
limit_price=quote1.last_price)
order2 = api.insert_order(symbol=symbol2, direction="BUY", offset="OPEN", volume=2,
limit_price=quote2.last_price)
order3 = api.insert_order(symbol=symbol3, direction="BUY", offset="OPEN", volume=3,
limit_price=quote3.last_price)
while order1.status != "FINISHED" or order2.status != "FINISHED" or order3.status != "FINISHED":
api.wait_update()
self.assertEqual(order1.volume_orign, 1)
self.assertEqual(order1.volume_left, 0)
self.assertEqual(order2.volume_orign, 2)
self.assertEqual(order2.volume_left, 2)
self.assertEqual(order3.volume_orign, 3)
self.assertEqual(order3.volume_left, 3)
self.assertEqual(1575043200000000000, order1.insert_date_time)
self.assertEqual(1575043200000000000, order2.insert_date_time)
self.assertEqual(1575043200000000000, order3.insert_date_time)
# 2 白盘开始后,都能下单
while max(quote1.datetime, quote2.datetime, quote3.datetime) < "2019-12-02 09:00:00.000000":
api.wait_update()
order1 = api.insert_order(symbol=symbol1, direction="BUY", offset="OPEN", volume=1,
limit_price=quote1.last_price)
order2 = api.insert_order(symbol=symbol2, direction="BUY", offset="OPEN", volume=2,
limit_price=quote2.last_price)
order3 = api.insert_order(symbol=symbol3, direction="BUY", offset="OPEN", volume=3,
limit_price=quote3.last_price)
while order1.status != "FINISHED" or order2.status != "FINISHED" or order3.status != "FINISHED":
api.wait_update()
self.assertEqual(order1.volume_orign, 1)
self.assertEqual(order1.volume_left, 0)
self.assertEqual(order2.volume_orign, 2)
self.assertEqual(order2.volume_left, 0)
self.assertEqual(order3.volume_orign, 3)
self.assertEqual(order3.volume_left, 0)
self.assertEqual(1575248459999999000, order1.insert_date_time)
self.assertEqual(1575248459999999000, order2.insert_date_time)
self.assertEqual(1575248459999999000, order3.insert_date_time)
while True:
api.wait_update()
except BacktestFinished:
self.assertEqual(position1.pos, 0)
self.assertEqual(position2.pos, 2)
self.assertEqual(position3.pos, 3)
api.close()
def test_lib_insert_order_time_check_3(self):
'''
lib下单时间判断测试3
回测时间：
第一日白盘11:30 - 第二日白盘9：40
订阅合约：
IF、T（无盘中休息时间）,cu（有盘中休息时间）
测试：
1 T、IF在13：00后下单，cu到13：30后下单
2 15:00 - 15:15 : T能下单，IF、cu不能下单
3 2020.2.18 交易所通知cu这段时间没有夜盘，因此之前set的手数到第二个交易日开盘后下单
4 cu在9点开盘下单，IF在9:30开盘下单
'''
# 预设服务器端响应
dir_path = os.path.dirname(os.path.realpath(__file__))
self.mock.run(
os.path.join(dir_path, "log_file",
"test_lib_insert_order_time_check_3.script.lzma"))
TqApi.RD = random.Random(4)
api = TqApi(backtest=TqBacktest(datetime.datetime(2020, 2, 17, 11, 30),
datetime.datetime(2020, 2, 18, 9, 40)),
_ins_url=self.ins_url_2020_02_18)
symbol1 = "SHFE.cu2003"
symbol2 = "CFFEX.T2003"
symbol3 = "CFFEX.IF2003"
quote1 = api.get_quote(symbol1)
quote2 = api.get_quote(symbol2)
quote3 = api.get_quote(symbol3)
position1 = api.get_position(symbol1)
position2 = api.get_position(symbol2)
position3 = api.get_position(symbol3)
target_pos1 = TargetPosTask(api, symbol1)
target_pos2 = TargetPosTask(api, symbol2)
target_pos3 = TargetPosTask(api, symbol3)
orders = api.get_order()
try:
# 1 T、IF在13：00后下单，cu到13：30后下单
target_pos1.set_target_volume(1)
target_pos2.set_target_volume(2)
target_pos3.set_target_volume(3)
while max(quote1.datetime, quote2.datetime,
quote3.datetime) < "2020-02-17 13:15:00.000000":
api.wait_update()
self.assertEqual(len(orders), 2)
self.assertEqual(position1.pos, 0)
self.assertEqual(position2.pos, 2)
self.assertEqual(position3.pos, 3)
while max(quote1.datetime, quote2.datetime,
quote3.datetime) < "2020-02-17 13:31:00.000000":
api.wait_update()
self.assertEqual(len(orders), 3)
while max(quote1.datetime, quote2.datetime,
quote3.datetime) < "2020-02-17 13:40:00.000000":
api.wait_update()
self.assertEqual(position1.pos, 1)
self.assertEqual(position2.pos, 2)
self.assertEqual(position3.pos, 3)
while max(quote1.datetime, quote2.datetime,
quote3.datetime) < "2020-02-17 15:00:00.000000":
api.wait_update()
# 2 15:00 - 15:15 : T能下单，IF、cu不能下单
target_pos1.set_target_volume(4)
target_pos2.set_target_volume(5)
target_pos3.set_target_volume(6)
while max(quote1.datetime, quote2.datetime,
quote3.datetime) < "2020-02-17 15:13:59.000000":
api.wait_update()
self.assertEqual(len(orders), 4)
self.assertEqual(position1.pos, 1)
self.assertEqual(position2.pos, 5)
self.assertEqual(position3.pos, 3)
# 3 2020.2.18 交易所通知cu这段时间没有夜盘，因此之前set的手数到第二个交易日开盘后下单
while max(quote1.datetime, quote2.datetime,
quote3.datetime) < "2020-02-18 09:00:00.0000":
api.wait_update()
self.assertEqual(len(orders), 4)
self.assertEqual(position1.pos, 1)
self.assertEqual(position2.pos, 5)
self.assertEqual(position3.pos, 3)
# 4 cu在9点开盘下单，IF在9:30开盘下单
while max(quote1.datetime, quote2.datetime,
quote3.datetime) < "2020-02-18 09:20:00.0000":
api.wait_update()
self.assertEqual(len(orders), 5)
self.assertEqual(position1.pos, 4)
self.assertEqual(position2.pos, 5)
self.assertEqual(position3.pos, 3)
while max(quote1.datetime, quote2.datetime,
quote3.datetime) < "2020-02-18 09:35:00.0000":
api.wait_update()
self.assertEqual(len(orders), 6)
self.assertEqual(position1.pos, 4)
self.assertEqual(position2.pos, 5)
self.assertEqual(position3.pos, 6)
while True:
api.wait_update()
except BacktestFinished:
self.assertEqual(len(orders), 6)
self.assertEqual(position1.pos, 4)
self.assertEqual(position2.pos, 5)
self.assertEqual(position3.pos, 6)
api.close()
def test_get_trade_option(self):
"""
获取成交记录
"""
# 预设服务器端响应
dir_path = os.path.dirname(os.path.realpath(__file__))
self.mock.run(
os.path.join(
dir_path, "log_file",
"test_td_basic_get_trade_simulate_option.script.lzma"))
# 测试: 模拟账户
utils.RD = random.Random(4)
api = TqApi(_ins_url=self.ins_url_2020_04_02,
_td_url=self.td_url,
_md_url=self.md_url)
order1 = api.insert_order("CZCE.SR007C5600",
"SELL",
"OPEN",
1,
limit_price=50)
order2 = api.insert_order("DCE.m2007-P-2900",
"BUY",
"OPEN",
2,
limit_price=180)
while order1.status == "ALIVE" or order2.status == "ALIVE":
api.wait_update()
trade1 = api.get_trade(
"PYSDK_insert_1710cf5327ac435a7a97c643656412a9|1")
trade2 = api.get_trade(
"PYSDK_insert_8ca5996666ceab360512bd1311072231|2")
self.assertAlmostEqual(1586501231007428000 / 1e9,
trade1.trade_date_time / 1e9,
places=1)
self.assertAlmostEqual(1586501233361505000 / 1e9,
trade2.trade_date_time / 1e9,
places=1)
del trade1["trade_date_time"]
del trade2["trade_date_time"]
self.assertEqual(
str(trade1),
"{'order_id': 'PYSDK_insert_1710cf5327ac435a7a97c643656412a9', 'trade_id': 'PYSDK_insert_1710cf5327ac435a7a97c643656412a9|1', 'exchange_trade_id': 'PYSDK_insert_1710cf5327ac435a7a97c643656412a9|1', 'exchange_id': 'CZCE', 'instrument_id': 'SR007C5600', 'direction': 'SELL', 'offset': 'OPEN', 'price': 50.0, 'volume': 1, 'user_id': 'TQSIM', 'commission': 10}"
)
self.assertEqual(
str(trade2),
"{'order_id': 'PYSDK_insert_8ca5996666ceab360512bd1311072231', 'trade_id': 'PYSDK_insert_8ca5996666ceab360512bd1311072231|2', 'exchange_trade_id': 'PYSDK_insert_8ca5996666ceab360512bd1311072231|2', 'exchange_id': 'DCE', 'instrument_id': 'm2007-P-2900', 'direction': 'BUY', 'offset': 'OPEN', 'price': 180.0, 'volume': 2, 'user_id': 'TQSIM', 'commission': 20}"
)
self.assertEqual(trade1.direction, "SELL")
self.assertEqual(trade1.offset, "OPEN")
self.assertEqual(trade1.price, 50.0)
self.assertEqual(trade1.volume, 1)
self.assertEqual(trade1.commission, 10)
self.assertEqual(trade2.direction, "BUY")
self.assertEqual(trade2.offset, "OPEN")
self.assertEqual(trade2.price, 180.0)
self.assertEqual(trade2.volume, 2)
self.assertEqual(trade2.commission, 20)
api.close()
def test_lib_insert_order_time_check_1(self):
"""
lib下单时间判断测试1
回测时间:
周一21:00 - 周二10:00
合约订阅：
无夜盘; 有夜盘24：00结束; 有夜盘25：00结束
测试：
21：00起始时刻两个有夜盘合约立即下單，无夜盘合约第二日白盘下单；
23：00某一夜盘合约停止交易后不能下單，另一合约能下單；
"""
# 预设服务器端响应
dir_path = os.path.dirname(os.path.realpath(__file__))
self.mock.run(
os.path.join(dir_path, "log_file",
"test_lib_insert_order_time_check_1.script.lzma"))
TqApi.RD = random.Random(4)
api = TqApi(backtest=TqBacktest(
datetime.datetime(2019, 12, 2, 21, 0, 0),
datetime.datetime(2019, 12, 3, 10, 0, 0)),
_ins_url=self.ins_url_2019_12_04) # 2019.12.2周一
symbol1 = "DCE.jd2002" # 无夜盘
symbol2 = "SHFE.rb2002" # 夜盘23点结束
symbol3 = "SHFE.cu2002" # 夜盘凌晨1点结束
quote3 = api.get_quote(symbol3)
target_pos1 = TargetPosTask(api, symbol1)
target_pos2 = TargetPosTask(api, symbol2)
target_pos3 = TargetPosTask(api, symbol3)
position1 = api.get_position(symbol1)
position2 = api.get_position(symbol2)
position3 = api.get_position(symbol3)
orders = api.get_order()
try:
# 1 21：00起始时刻有夜盘合约立即下單，无夜盘合约第二日白盘下单；
target_pos1.set_target_volume(1)
target_pos2.set_target_volume(2)
target_pos3.set_target_volume(3)
while datetime.datetime.strptime(
quote3.datetime,
"%Y-%m-%d %H:%M:%S.%f") < datetime.datetime(
2019, 12, 2, 21, 2):
api.wait_update()
self.assertEqual(len(orders), 2)
self.assertEqual(position1.pos, 0)
self.assertEqual(position2.pos, 2)
self.assertEqual(position3.pos, 3)
# 2 23：00某一夜盘合约停止交易后不能下單，另一合约能下單；
while datetime.datetime.strptime(
quote3.datetime,
"%Y-%m-%d %H:%M:%S.%f") < datetime.datetime(
2019, 12, 3, 0, 0):
api.wait_update()
target_pos1.set_target_volume(4)
target_pos2.set_target_volume(5)
target_pos3.set_target_volume(6)
while datetime.datetime.strptime(
quote3.datetime,
"%Y-%m-%d %H:%M:%S.%f") < datetime.datetime(
2019, 12, 3, 0, 30):
api.wait_update()
self.assertEqual(len(orders), 3)
self.assertEqual(position1.pos, 0)
self.assertEqual(position2.pos, 2)
self.assertEqual(position3.pos, 6)
while True:
api.wait_update()
except BacktestFinished:
# 验证下單情況
# 第二个交易日白盘，将所有合约调整到目标手数
self.assertEqual(len(orders), 5)
self.assertEqual(position1.pos, 4)
self.assertEqual(position2.pos, 5)
self.assertEqual(position3.pos, 6)
print("回测结束")
api.close()
def linear(data1,data2):
regr = linear_model.LinearRegression()
data1=np.transpose(np.array(data1)).reshape(1,-1)
data2=np.transpose(np.array(data2)).reshape(1,-1)
result=regr.fit(data1,data2)
alpha = np.mean(result.intercept_)
beta = np.mean(result.coef_)
data1_adj = alpha + beta * data2
residuals = data1_adj - data1
mean = np.mean(residuals)
std = np.std(residuals)
result_all = [mean,std,beta,alpha]
return (result_all)
while True: #判断开仓条件的主循环
api.wait_update() #等待业务数据更新
if api.is_changing(klines_b):
linear_result = linear(klines_a.close_oi,klines_b.close_oi)
print(linear_result)
spread = linear_result[3]+linear_result[2]*klines_a['close'].tolist()[-1]-klines_b['close'].tolist()[-1]
print(spread)
if spread < linear_result[0]+ 2*linear_result[1]: #实际调整为2个sigma
print("此为多头市场")
target_pos.set_target_volume(50)
elif spread > linear_result[0]- 2*linear_result[1]:
print("此为空头市场")
target_pos.set_target_volume(-50) #如果触发了，则通过 target_pos 将 目标持仓设置为多头 1 手，具体的调仓工作则由 target_pos 在后台完成
break #跳出开仓循环，进入下面的平仓循环
while True: #判断平仓条件的主循环
api.wait_update() #等待业务数据更新
symbol = "SHFE.cu1905" # 合约代码
close_hour, close_minute = 14, 50 # 平仓时间
api = TqApi(TqSim()) # 使用模拟帐号直连行情和交易服务器
quote = api.get_quote(symbol) # 获取指定合约的盘口行情
klines = api.get_kline_serial(symbol, 24 * 60 * 60) # 获取日线
position = api.get_position(symbol) # 持仓信息
target_pos = TargetPosTask(api, symbol) # 目标持仓
top_rail = klines.high.iloc[-2] # 上轨: 昨日高点
bottom_rail = klines.low.iloc[-2] # 下轨: 昨日低点
print("上轨:", top_rail, ",下轨:", bottom_rail, ",昨日收盘价:", klines.close.iloc[-2],
",今日开盘价:", klines.open.iloc[-1])
while True:
api.wait_update()
if api.is_changing(klines.iloc[-1],
"datetime"): # 如果产生一根新日线 (即到达下一个交易日): 重新获取上下轨
top_rail = klines.high.iloc[-2]
bottom_rail = klines.low.iloc[-2]
print("上轨:", top_rail, ",下轨:", bottom_rail, ",昨日收盘价:",
klines.close.iloc[-2], ",今日开盘价:", klines.open.iloc[-1])
if api.is_changing(quote, "last_price"): # 如果行情最新价发生变化
print("当前最新价", quote.last_price)
# 开仓突破
if quote.last_price > top_rail and position.volume_long == 0: # 如果价格突破上轨: 买入开仓
print("最新价:", quote.last_price, ", 价格突破上轨,买入开仓")
target_pos.set_target_volume(3) # 设置目标持仓手数，将指定合约调整到目标头寸
elif quote.last_price < bottom_rail and position.volume_short == 0: # 如果价格跌破下轨: 卖出开仓
print("最新价:", quote.last_price, ", 价格跌破下轨, 卖出开仓")
def test_get_order(self):
"""
获取委托单信息
"""
# 预设服务器端响应
dir_path = os.path.dirname(os.path.realpath(__file__))
self.mock.run(
os.path.join(dir_path, "log_file",
"test_td_basic_get_order_simulate.script.lzma"))
# 测试: 模拟账户下单
TqApi.RD = random.Random(4)
api = TqApi(_ins_url=self.ins_url_2019_07_03,
_td_url=self.td_url,
_md_url=self.md_url)
order1 = api.insert_order("DCE.jd2005", "BUY", "OPEN", 1)
order2 = api.insert_order("SHFE.cu2005",
"SELL",
"OPEN",
2,
limit_price=40750)
while order1.status == "ALIVE" or order2.status == "ALIVE":
api.wait_update()
get_order1 = api.get_order(order1.order_id)
get_order2 = api.get_order(order2.order_id)
self.assertEqual(get_order1.order_id,
"1710cf5327ac435a7a97c643656412a9")
self.assertEqual(get_order1.direction, "BUY")
self.assertEqual(get_order1.offset, "OPEN")
self.assertEqual(get_order1.volume_orign, 1)
self.assertEqual(get_order1.volume_left, 0)
self.assertNotEqual(get_order1.limit_price,
get_order1.limit_price) # 判断nan
self.assertEqual(get_order1.price_type, "ANY")
self.assertEqual(get_order1.volume_condition, "ANY")
self.assertEqual(get_order1.time_condition, "IOC")
# 因为TqSim模拟交易的 insert_date_time 不是固定值，所以改为判断范围（前后100毫秒）
self.assertAlmostEqual(1586415071223454000 / 1e9,
get_order1.insert_date_time / 1e9,
places=1)
self.assertEqual(get_order1.last_msg, "全部成交")
self.assertEqual(get_order1.status, "FINISHED")
self.assertEqual(get_order1.frozen_margin, 0)
self.assertEqual(get_order2.order_id,
"8ca5996666ceab360512bd1311072231")
self.assertEqual(get_order2.direction, "SELL")
self.assertEqual(get_order2.offset, "OPEN")
self.assertEqual(get_order2.volume_orign, 2)
self.assertEqual(get_order2.volume_left, 0)
self.assertEqual(get_order2.limit_price, 40750)
self.assertEqual(get_order2.price_type, "LIMIT")
self.assertEqual(get_order2.volume_condition, "ANY")
self.assertEqual(get_order2.time_condition, "GFD")
self.assertAlmostEqual(1586415071224110000 / 1e9,
get_order2["insert_date_time"] / 1e9,
places=1)
self.assertEqual(get_order2["last_msg"], "全部成交")
self.assertEqual(get_order2["status"], "FINISHED")
self.assertEqual(get_order2.frozen_margin, 0)
del get_order1["insert_date_time"]
del get_order2["insert_date_time"]
self.assertEqual(
str(get_order1),
"{'order_id': '1710cf5327ac435a7a97c643656412a9', 'exchange_order_id': '1710cf5327ac435a7a97c643656412a9', 'exchange_id': 'DCE', 'instrument_id': 'jd2005', 'direction': 'BUY', 'offset': 'OPEN', 'volume_orign': 1, 'volume_left': 0, 'limit_price': nan, 'price_type': 'ANY', 'volume_condition': 'ANY', 'time_condition': 'IOC', 'last_msg': '全部成交', 'status': 'FINISHED', 'user_id': 'TQSIM', 'frozen_margin': 0.0, 'frozen_premium': 0.0}"
)
self.assertEqual(
str(get_order2),
"{'order_id': '8ca5996666ceab360512bd1311072231', 'exchange_order_id': '8ca5996666ceab360512bd1311072231', 'exchange_id': 'SHFE', 'instrument_id': 'cu2005', 'direction': 'SELL', 'offset': 'OPEN', 'volume_orign': 2, 'volume_left': 0, 'limit_price': 40750.0, 'price_type': 'LIMIT', 'volume_condition': 'ANY', 'time_condition': 'GFD', 'last_msg': '全部成交', 'status': 'FINISHED', 'user_id': 'TQSIM', 'frozen_margin': 0.0, 'frozen_premium': 0.0}"
)
api.close()
symbol = "DCE.jd1905" # 交易合约代码
history_day_length = 20 # 使用多少天的历史数据用来计算每个时间单元的下单手数
time_slot_start = datetime.time(9, 35) # 计划交易时段起始时间点
time_slot_end = datetime.time(10, 50) # 计划交易时段终点时间点
api = TqApi(TqSim())
# 根据 history_day_length 推算出需要订阅的历史数据长度, 需要注意history_day_length与time_cell的比例关系以避免超过订阅限制
klines = api.get_kline_serial(symbol,
time_cell,
data_length=int(10 * 60 * 60 / time_cell *
history_day_length))
target_pos = TargetPosTask(api, symbol)
position = api.get_position(symbol) # 持仓信息
while not klines.is_ready(): # 等待数据
api.wait_update()
df = klines.to_dataframe() # 将k线数据转为DataFrame
def get_kline_time(kline_datetime):
"""获取k线的时间(不包含日期)"""
kline_time = datetime.datetime.fromtimestamp(kline_datetime //
1000000000).time() # 每根k线的时间
return kline_time
def get_market_day(kline_datetime):
"""获取k线所对应的交易日"""
kline_dt = datetime.datetime.fromtimestamp(kline_datetime //
1000000000) # 每根k线的日期和时间
def test_get_position(self):
"""
获取持仓
"""
# 预设服务器端响应
self.mock.run("test_td_basic_get_position_simulate.script")
# 测试: 获取数据
api = TqApi(_ins_url=self.ins_url,
_td_url=self.td_url,
_md_url=self.md_url)
order1 = api.insert_order("DCE.jd2001",
"BUY",
"OPEN",
1,
limit_price=4592)
order2 = api.insert_order("DCE.jd2001", "BUY", "OPEN", 3)
order3 = api.insert_order("DCE.jd2001", "SELL", "OPEN", 3)
while order1.status == "ALIVE" or order2.status == "ALIVE" or order3.status == "ALIVE":
api.wait_update()
position = api.get_position("DCE.jd2001")
self.assertEqual(
"{'exchange_id': 'DCE', 'instrument_id': 'jd2001', 'pos_long_his': 0, 'pos_long_today': 4, 'pos_short_his': 0, 'pos_short_today': 3, 'volume_long_today': 4, 'volume_long_his': 0, 'volume_long': 4, 'volume_long_frozen_today': 0, 'volume_long_frozen_his': 0, 'volume_long_frozen': 0, 'volume_short_today': 3, 'volume_short_his': 0, 'volume_short': 3, 'volume_short_frozen_today': 0, 'volume_short_frozen_his': 0, 'volume_short_frozen': 0, 'open_price_long': 4574.75, 'open_price_short': 4568.0, 'open_cost_long': 182990.0, 'open_cost_short': 137040.0, 'position_price_long': 4574.75, 'position_price_short': 4568.0, 'position_cost_long': 182990.0, 'position_cost_short': 137040.0, 'float_profit_long': -270.0, 'float_profit_short': 0.0, 'float_profit': -270.0, 'position_profit_long': -270.0, 'position_profit_short': 0.0, 'position_profit': -270.0, 'margin_long': 11429.6, 'margin_short': 8572.2, 'margin': 20001.800000000003, 'symbol': 'DCE.jd2001', 'last_price': 4568.0}",
str(position))
self.assertEqual(1, position.pos)
self.assertEqual(4, position.pos_long)
self.assertEqual(3, position.pos_short)
self.assertEqual(position.exchange_id, "DCE")
self.assertEqual(position.instrument_id, "jd2001")
self.assertEqual(position.pos_long_his, 0)
self.assertEqual(position.pos_long_today, 4)
self.assertEqual(position.pos_short_his, 0)
self.assertEqual(position.pos_short_today, 3)
self.assertEqual(position.volume_long_today, 4)
self.assertEqual(position.volume_long_his, 0)
self.assertEqual(position.volume_long, 4)
self.assertEqual(position.volume_long_frozen_today, 0)
self.assertEqual(position.volume_long_frozen_his, 0)
self.assertEqual(position.volume_long_frozen, 0)
self.assertEqual(position.volume_short_today, 3)
self.assertEqual(position.volume_short_his, 0)
self.assertEqual(position.volume_short, 3)
self.assertEqual(position.volume_short_frozen_today, 0)
self.assertEqual(position.volume_short_frozen_his, 0)
self.assertEqual(position.volume_short_frozen, 0)
self.assertEqual(position.open_price_long, 4574.75)
self.assertEqual(position.open_price_short, 4568.0)
self.assertEqual(position.open_cost_long, 182990.0)
self.assertEqual(position.open_cost_short, 137040.0)
self.assertEqual(position.position_price_long, 4574.75)
self.assertEqual(position.position_price_short, 4568.0)
self.assertEqual(position.position_cost_long, 182990.0)
self.assertEqual(position.position_cost_short, 137040.0)
self.assertEqual(position.float_profit_long, -270.0)
self.assertEqual(position.float_profit_short, 0.0)
self.assertEqual(position.float_profit, -270.0)
self.assertEqual(position.position_profit_long, -270.0)
self.assertEqual(position.position_profit_short, 0.0)
self.assertEqual(position.position_profit, -270.0)
self.assertEqual(position.margin_long, 11429.6)
self.assertEqual(position.margin_short, 8572.2)
self.assertEqual(position.margin, 20001.800000000003)
self.assertEqual(position.symbol, "DCE.jd2001")
self.assertEqual(position.last_price, 4568.0)
# 其他取值方式测试
self.assertEqual(position["pos_long_today"], 4)
self.assertEqual(position["pos_short_today"], 3)
self.assertEqual(position["volume_long_his"], 0)
self.assertEqual(position["volume_long"], 4)
api.close()