def notifyUnLockDuo(security):
security = util.futureName(security)
currentTimeString = util.getYMDHMS()
a = '<a href="http://107.182.31.161:5288/">查看行情</a>'
sendEmail(subject='[' + str(currentTimeString) + '] 解锁多（重新开多仓）_' +
security,
content='' + a)
def notifyCloseKon(security, currentTimeString=None):
if currentTimeString is None:
currentTimeString = util.getYMDHMS()
a = '<a href="http://107.182.31.161:5288/">查看行情</a>'
sendEmail(subject='[' + str(currentTimeString) + '] Kon平_' +
util.futureName(security),
content='' + a)
def getNowEarningRate(df, preCount=0):
pricePositions = getPricePosiArray(df)
indexList = df[df.EMA60 == df.EMA60].index.tolist()
if preCount > 0:
pricePositions = pricePositions[0:-preCount - 1]
indexList = indexList[0:-preCount - 1]
closes = []
for index in indexList:
closes.append(df.loc[index, 'close'])
i = pricePositions.__len__() - 1
nowPricePosition = pricePositions[-1]
while (i - 1) > 0:
pp = pricePositions[i - 1]
if pp == nowPricePosition:
i = i - 1
else:
break
closes = closes[i:]
isDouing = getNearMaxClosePrice(df) is not None
startPrice = closes[0]
nowPrice = closes[-1]
if isDouing is True:
return util.getRate(startPrice, nowPrice)
else:
return util.getRate(nowPrice, startPrice)
def appendTreses(tmp_rates_every_step):
tmp_treses = util.getProperty('tmp_treses')
if tmp_treses is not None:
tmp_treses.append(tmp_rates_every_step)
else:
tmp_treses = [tmp_rates_every_step]
util.setProperty('tmp_treses', tmp_treses)
def notifyVolumeUnusual(security, volumeArrowCount=0):
currentTimeString = util.getYMDHMS()
content = '<div style="padding: 10px">' \
'<a href="http://107.182.31.161:5288/candle_sticks?security='+security+'" style="font-weight: bold;">查看走势</a>' \
'</div>'
sendEmail(subject='[' + str(currentTimeString) + '] 成交量大增:' +
str(volumeArrowCount) + '_' + util.futureName(security),
content='' + content)
def notifyTrade(security, nowRate="?"):
currentTimeString = util.getYMDHMS()
duo = str(int(dao.readDuoPosition(security=security)))
kon = str(int(dao.readKongPosition(security=security)))
max = str(int(dao.readMaxPosition(security=security)))
a = '<p>duo: <strong>' + duo + '</strong></p><p>kon: <strong>' + kon + '</strong></p><p>max: <strong>' + max + '</strong></p>'
sendEmail(subject='[' + str(currentTimeString) + '] 触发交易动作_' +
util.futureName(security),
content='rate: ' + nowRate + ' duo: ' + duo + ' kon: ' + kon +
' max: ' + max)
def getDangerRate(df, preCount=0):
indexList = df[df.EMA60 == df.EMA60].index.tolist()
if preCount > 0:
indexList = indexList[0:-preCount - 1]
nowPrice = df.loc[indexList[-1], 'close']
maxClosePrice = getNearMaxClosePrice(df, preCount)
minClosePrice = getNearMinClosePrice(df, preCount)
if maxClosePrice is not None:
rate = util.getRate(fromPrice=maxClosePrice, toPrice=nowPrice)
else:
rate = util.getRate(fromPrice=nowPrice, toPrice=minClosePrice)
return rate
def notify10min():
# --------------------------------------------------------------------------------------------------------------------------------------------
items = dao.select(
"select f_code, f_name, f_price, f_pre_close, f_createtime from t_future_tick where"
" f_createtime > date_add(now(), interval - 10 minute) order by f_createtime desc",
())
code_items_rel = {}
for item in items:
code = item['f_code']
if code not in code_items_rel.keys():
code_items_rel.setdefault(code, [item])
else:
code_items_rel[code].append(item)
for code in code_items_rel.keys():
items = code_items_rel[code]
if items.__len__() < 2:
continue
lastest = items[0]
pre_close = float(lastest['f_pre_close'])
price = float(lastest['f_price'])
rate = round((price - pre_close) / pre_close * 100, 2)
speed = getRateBetweenMaxAndMin_Speed(items)
if speed < -0.7:
# Ôٴη¢ËÍ֪ͨµÄCDʱ¼ä
if code in coolDown_10min.keys():
now = util.getYMDHMS()
coolDown_10min_starttime = coolDown_10min[code]
durSec = util.timeDur_ReturnSec(coolDown_10min_starttime, now)
if durSec < 60 * 30:
return
else:
coolDown_10min.pop(code)
# ·¢ËÍ֪ͨ
log.log("Send Notification: " + code + " speed: " + str(speed))
url = 'http://' + SmtpClient_Host + ':' + str(
SmtpClient_Port
) + '/smtpclient/sendFuture/(Rate: ' + str(rate) + ' Speed: ' + str(
speed
) + ')This is ' + code + '/This is ' + code + '/[email protected]'
#util.Async_req(url).start()
dao.update(
"insert into t_future_unusual_action(f_code, f_name, f_speed, f_rate, f_createtime)"
" values(%s,%s,%s,%s,%s)",
(code, code_name_rel[code], speed, rate, util.getYMDHMS()))
coolDown_10min.setdefault(code, util.getYMDHMS())
def log(content):
string = "[Time: " + util.getYMDHMS() + "]: " + str(content)
print(string)
file = open("log.out", "a")
file.write(string + "\n")
file.close()
return string
def action(msg):
ts = util.string2timestamp(str(nowTimeString))
frequencyLimitFlag = int(time.strftime('%M', time.localtime(ts))) % int(
frequency[0:-1]) == 0
if frequencyLimitFlag is False:
return msg
if util.isFutureTradingTime(nowTimeString=nowTimeString
) is False or util.isFutureCommonTradingTime(
security=security,
nowTimeString=nowTimeString) is False:
return msg
msg = loop(security=security,
frequency=frequency,
nowTimeString=nowTimeString,
msg=msg)
return msg
def listen():
while True:
if util.isOpenTime_wide() is False:
time.sleep(10)
continue
url = getUrl(code_name_rel.keys())
ctn = requests.get(url).text
strs = ctn.split("\n")
values = []
count = 0
for line in strs:
if line == '': continue
try:
code = line[line.index("str_") + 4:line.index('=') - 1].upper()
except:
continue
if util.isOpenTime_Kind(code) is False:
continue
if '"' not in line: continue
line = line[line.index('"') + 1:line.rindex('"')]
if line.__len__() == 0: continue
cols = line.split(",")
name = cols[0]
pre_close = float(cols[5])
price = float(cols[8])
position = float(cols[13])
settlement_price = float(cols[9])
date = cols[17]
log.log("Ãû³Æ£º" + name + " ×òÊÕ£º" + str(pre_close) + " ÏÖ¼Û£º" +
str(price) + " ÊÕÅ̼ۣº" +
str(round((price - pre_close) / pre_close * 100, 2)))
values.append((code, name, date, price, pre_close, position,
settlement_price, util.getHMS(), util.getYMDHMS()))
count = count + 1
dao.updatemany(
"insert into"
" t_future_tick(f_code, f_name, f_date, f_price, f_pre_close,"
" f_position, f_settlement_price, f_time, f_createtime)"
" values(%s,%s,%s,%s,%s,%s,%s,%s,%s)", values)
notify5min()
notify10min()
notify15min()
print("loop next need sleep")
time.sleep(25)
def get_bar_rates(df=None, len=20):
bar_rates = []
closes = [float(x) for x in df['close']]
opens = [float(x) for x in df['open']]
i = 0
while i < len:
rate = util.getRate(fromPrice=opens[-i - 1], toPrice=closes[-i - 1])
bar_rates.append(rate)
i = i + 1
return bar_rates
def _handleOneTick(msg=None, nowTimeString=None):
if security is None:
print('请确认Security')
ts = util.string2timestamp(str(nowTimeString))
frequencyLimitFlag = int(time.strftime('%M', time.localtime(ts))) % int(
frequency[0:-1]) == 0
if frequencyLimitFlag is False:
return msg
if util.isFutureTradingTime(nowTimeString=nowTimeString
) is False or util.isFutureCommonTradingTime(
security=security,
nowTimeString=nowTimeString) is False:
return msg
msg = loop(security=security,
frequency=frequency,
nowTimeString=nowTimeString,
msg=msg)
return msg
def pushPosition(position):
o = {
'available': True,
'position': position,
'createtime': util.getYMDHMS()
}
position_flow = util.getProperty('position_flow')
if position_flow is None:
util.setProperty('position_flow', [o])
else:
position_flow.append(o)
util.removeProperty('position_flow')
util.setProperty('position_flow', position_flow)
def getOpen2CloseRates(df):
opens = [float(x) for x in df['open']]
closes = [float(x) for x in df['close']]
arr = []
i = 0
for open in opens:
close = closes[i]
rate = util.getRate(open, close)
i = i + 1
arr.append(rate)
return arr
def loop(security=None, frequency=None, nowTimeString=None, msg=None):
df = msg.get('df')
position = msg.get('position')
force_waiting_count = msg.get('force_waiting_count')
open = msg.get('open')
real_open = msg.get('real_open')
clearRates = msg.get('clearRates')
tmp_rates_every_step = msg.get('tmp_rates_every_step')
open_after_next_change = msg.get('open_after_next_change')
df = getAdvancedData(df,
security=security,
frequency=frequency,
nowTimeString=nowTimeString)
# atr = getATR(df=df, len=20)
closes = [float(x) for x in df['close']]
if force_waiting_count > 0:
force_waiting_count = force_waiting_count - 1
print(nowTimeString + ": ForceWaiting...")
return {
'df': df,
'position': position,
'force_waiting_count': force_waiting_count,
'open': open,
'clearRates': clearRates,
'tmp_rates_every_step': tmp_rates_every_step,
'open_after_next_change': open_after_next_change
}
status = isChangeTo(df)
ADXs = [float(x) for x in df[df.ADX == df.ADX]['ADX']][-200:]
cfn_count = changeFromNowCount(df)
dangerRate = getDangerRate(
df) # dangerRate的容忍度应该由earningRate决定，两个是正相关。能容忍利润做筹码，厌恶本金损失
earningRate = 0
pricePosis = getPricePosiArray(df)
pricePosi = pricePosis[-1]
if open is not None and open != 0:
if pricePosis[-2] == 0:
earningRate = util.getRate(open, closes[-1])
else:
earningRate = util.getRate(closes[-1], open)
if real_open is not None and real_open != 0:
if pricePosis[-2] == 0:
earningRate = util.getRate(real_open, closes[-1])
else:
earningRate = util.getRate(closes[-1], real_open)
# 趋势持续
if status == 'STILL':
# 止损止盈平仓
if position != 0 and (
(earningRate <= cond_er and dangerRate < -cond_before_er) or
(earningRate > cond_er and dangerRate < -cond_after_er)):
if real_open != 0:
clearRates.append(round((1 + earningRate / 100), 4))
else:
clearRates.append(1)
tmp_rates_every_step.append(earningRate)
#print(str(tmp_rates_every_step.__len__()) + '@@@@@@@@@@tmp_rates_every_step: ' + str(tmp_rates_every_step))
appendTreses(tmp_rates_every_step)
tmp_rates_every_step = []
print('!***********************# clear Position 止损止盈平仓 -> ' +
str(earningRate) + ' r:' +
str(reduce(lambda x, y: x * y, clearRates)) +
'!!! ----- !!!')
position = 0
open = 0
real_open = 0
# open_after_next_change = True
open_after_next_change = False
# pushPosition(0)
else:
# 高位回落平仓后再此处等待，或瞬间变化时ADX条件不符合正在等待机会
if position == 0:
if open_after_next_change is False:
# 等到adx条件符合，开空仓
if pricePosi == 1 and (ADXs[-1] > adx_edge):
print(
' 平仓后再此处等待 adx条件符合，开空仓 ### ### ### ### ### ### ### ### ### ### ### ### Down Position'
+ ' adx:' + str(ADXs[-1]))
position = -1
open = closes[-1]
dangerRate = 0
# 等到adx条件符合，开多仓
elif pricePosi == 0 and (ADXs[-1] > adx_edge):
print(
' 平仓后再此处等待 adx条件符合，开多仓 ### ### ### ### ### ### ### ### ### ### ### ### Up Position'
+ ' adx:' + str(ADXs[-1]))
position = 1
open = closes[-1]
dangerRate = 0
else:
print(nowTimeString + ':' + " WAITING..." +
' close: ' + str(closes[-1]))
else:
print(nowTimeString + ':' + " WAITING..." + ' adx: ' +
str(ADXs[-1]))
# 持有多仓
if position > 0:
print(nowTimeString + ':' + " Still Holding DUO..." + " dr:" +
str(dangerRate) + ' er:' + str(earningRate) + ' adx:' +
str(ADXs[-1]))
tmp_rates_every_step.append(earningRate)
if earningRate > real_open_rate and real_open == 0:
closes = closes[-100:]
real_open = closes[-1]
print('!***********************#正式做多：' + str(closes[-1]))
# 持有空仓
if position < 0:
print(nowTimeString + ':' + " Still Holding KON..." + " dr:" +
str(dangerRate) + ' er:' + str(earningRate) + ' adx:' +
str(ADXs[-1]))
tmp_rates_every_step.append(earningRate)
if earningRate > real_open_rate and real_open == 0:
real_open = closes[-1]
print('!***********************#正式做空：' + str(closes[-1]))
# 瞬间 Down
elif status == 'DOWN':
# 前个趋势还在持仓，而现在趋势反转，应该反手做空
if position != 0:
position = 0
if real_open != 0:
clearRates.append(round((1 + earningRate / 100), 4))
else:
clearRates.append(1)
tmp_rates_every_step.append(earningRate)
#print(str(tmp_rates_every_step.__len__()) + '@@@@@@@@@@tmp_rates_every_step: ' + str(tmp_rates_every_step))
appendTreses(tmp_rates_every_step)
tmp_rates_every_step = []
print(nowTimeString +
':!***********************# clear Position 趋势反转 ------> ' +
str(earningRate) + ' r:' +
str(reduce(lambda x, y: x * y, clearRates)) +
'!!! ----- !!!')
if ADXs[-1] < adx_edge: force_waiting_count = 5
open = 0
real_open = 0
# -------------------------------------------------------------------
# 变为Down瞬间，adx也符合要求，开空仓
elif (ADXs[-1] > adx_edge and cfn_count < 10) and position == 0:
print(
' 变为Down瞬间，adx也符合要求，开空仓 ### ### ### ### ### ### ### ### ### ### ### ### Down Position'
+ ' adx:' + str(ADXs[-1]))
position = -1
open = closes[-1]
# pushPosition(1)
open_after_next_change = False
# 瞬间 Up
elif status == 'UP':
# 前个趋势还在持仓，而现在趋势反转，应该反手做多
if position != 0:
position = 0
if real_open != 0:
clearRates.append(round((1 + earningRate / 100), 4))
else:
clearRates.append(1)
print(nowTimeString +
':!***********************# clear Position 趋势反转 ------> ' +
str(earningRate) + ' r:' +
str(reduce(lambda x, y: x * y, clearRates)) +
'!!! ----- !!!')
tmp_rates_every_step.append(earningRate)
#print(str(tmp_rates_every_step.__len__()) + '@@@@@@@@@@tmp_rates_every_step: ' + str(tmp_rates_every_step))
appendTreses(tmp_rates_every_step)
tmp_rates_every_step = []
if ADXs[-1] < adx_edge: force_waiting_count = 5
open = 0
real_open = 0
if earningRate > 2:
print()
# -------------------------------------------------------------------
# 变为Up瞬间，adx也符合要求，开多仓
elif (ADXs[-1] > adx_edge and cfn_count < 10) and position == 0:
print(
' 变为Up瞬间，adx也符合要求，开多仓 ### ### ### ### ### ### ### ### ### ### ### ### Up Position'
+ ' adx:' + str(ADXs[-1]))
position = 1
open = closes[-1]
open_after_next_change = False
# pushPosition(-1)
if clearRates.__len__() > 500:
clearRates.pop(0)
return {
'df': df,
'position': position,
'force_waiting_count': force_waiting_count,
'open': open,
'real_open': real_open,
'clearRates': clearRates,
'tmp_rates_every_step': tmp_rates_every_step,
'open_after_next_change': open_after_next_change
}
def removeTreses():
util.removeProperty('tmp_treses')
def getNowPosition():
position_flow = util.getProperty('position_flow')
if position_flow is None:
return 0
else:
return int(position_flow[-1].get('position'))
def notifyError(content):
currentTimeString = util.getYMDHMS()
sendEmail(subject='[' + str(currentTimeString) + '] 错误：' + content,
content=str(content))
import StrategyBody as sb
from StrategyBody import TickHandler
import PyBase.Util as util
th = TickHandler()
sb.security = 'L8888.XDCE'
timeArr = util.getTimeSerial(starttime='2019-03-15 14:15:00', count=200000, periodSec=61)
for nowTimeString in timeArr:
msg = th.handleOneTick(nowTimeString=nowTimeString)
import talib
import jqdatasdk
import numpy as np
import PyBase.Util as util
import time
from functools import reduce
cond_er = 0.8
cond_before_er = 0.8
cond_after_er = 1.2
adx_timeperiod = 4
adx_edge = 30
fast_ema = 6
slow_ema = 11
timeArr = util.getTimeSerial(starttime='2018-11-06 09:20:00',
count=2000000,
periodSec=61)
df = None
security = 'SC8888.XINE'
frequency = '30m'
msg = {
'df': df,
'position': 0,
'force_waiting_count': 0,
'open': 0,
'clearRates': [],
'tmp_rates_every_step': [],
'open_after_next_change': False
}
