def create_trader(trader_cfg,
instruments,
strat_cfg,
agent_name,
tday=datetime.date.today()):
#logging.basicConfig(filename="ctp_trade.log",level=logging.DEBUG,format='%(name)s:%(funcName)s:%(lineno)d:%(asctime)s %(levelname)s %(message)s')
#logging.info(u'broker_id=%s,investor_id=%s,passwd=%s' % (trader_cfg.broker_id,trader_cfg.investor_id,trader_cfg.passwd))
strategies = strat_cfg['strategies']
folder = strat_cfg['folder']
daily_days = strat_cfg['daily_data_days']
min_days = strat_cfg['min_data_days']
myagent = Agent(agent_name, None, None, instruments, strategies, tday,
folder, daily_days, min_days)
if trader_cfg == None:
myagent, trader = emulator.create_agent_with_mocktrader(
agent_name, instruments, strat_cfg, tday)
else:
myagent.trader = trader = TraderSpiDelegate(
instruments=myagent.instruments,
broker_id=trader_cfg.broker_id,
investor_id=trader_cfg.investor_id,
passwd=trader_cfg.passwd,
agent=myagent,
)
trader.Create('trader')
trader.SubscribePublicTopic(trader.ApiStruct.TERT_QUICK)
trader.SubscribePrivateTopic(trader.ApiStruct.TERT_QUICK)
for port in trader_cfg.ports:
trader.RegisterFront(port)
trader.Init()
return trader, myagent
def create_trader(trader_cfg, instruments, strat_cfg, agent_name, tday=datetime.date.today()):
#logging.basicConfig(filename="ctp_trade.log",level=logging.DEBUG,format='%(name)s:%(funcName)s:%(lineno)d:%(asctime)s %(levelname)s %(message)s')
#logging.info(u'broker_id=%s,investor_id=%s,passwd=%s' % (trader_cfg.broker_id,trader_cfg.investor_id,trader_cfg.passwd))
strategies = strat_cfg['strategies']
config = {}
config['folder'] = strat_cfg['folder']
config['daily_data_days'] = strat_cfg['daily_data_days']
config['min_data_days'] = strat_cfg['min_data_days']
if 'enable_option' in strat_cfg:
config['enable_option'] = strat_cfg['enable_option']
else:
config['enable_option'] = False
agent_class = Agent
if config['enable_option'] == True:
agent_class = optagent.OptionAgent
myagent = agent_class(agent_name, None, None, instruments, strategies, tday, config)
if trader_cfg == None:
myagent, trader = emulator.create_agent_with_mocktrader(agent_name, instruments, strat_cfg, tday)
else:
myagent.trader = trader = TraderSpiDelegate(instruments=myagent.instruments,
broker_id=trader_cfg.broker_id,
investor_id= trader_cfg.investor_id,
passwd= trader_cfg.passwd,
agent = myagent,
)
trader.Create('trader')
trader.SubscribePublicTopic(trader.ApiStruct.TERT_QUICK)
trader.SubscribePrivateTopic(trader.ApiStruct.TERT_QUICK)
for port in trader_cfg.ports:
trader.RegisterFront(port)
trader.Init()
return trader, myagent
def prod_test(tday, name='prod_test'):
logging.basicConfig(
filename="ctp_" + name + ".log",
level=logging.DEBUG,
format=
'%(name)s:%(funcName)s:%(lineno)d:%(asctime)s %(levelname)s %(message)s'
)
#trader_cfg = TEST_TRADER
user_cfg = PROD_USER
agent_name = name
ins_setup = {
'm1505': (0, 0.5, 8, False),
'RM505': (0, 0.5, 10, False),
'rb1505': (0, 0.5, 10, False),
'y1505': (0, 0.5, 4, False),
'l1505': (0, 0.5, 4, False),
'pp1505': (0, 0.5, 4, False),
'ru1505': (0, 0.5, 1, False),
'ag1506': (0, 0.5, 6, False),
'au1506': (0, 0.5, 1, False),
'j1505': (0, 0.5, 2, False),
'al1505': (0, 0.5, 5, False),
'IF1504': (0, 0.5, 1, True)
}
insts = ins_setup.keys()
units_dt = [ins_setup[inst][2] for inst in insts]
under_dt = [[inst] for inst in insts]
vol_dt = [[1] for inst in insts]
ratios = [[ins_setup[inst][1], ins_setup[inst][1]] for inst in insts]
lookbacks = [ins_setup[inst][0] for inst in insts]
daily_close = [ins_setup[inst][3] for inst in insts]
dt_strat = strat_dt.DTTrader('ProdDT',
under_dt,
vol_dt,
trade_unit=units_dt,
ratios=ratios,
lookbacks=lookbacks,
agent=None,
daily_close=False,
email_notify=['*****@*****.**'])
dt_strat.close_tday = daily_close
strategies = [dt_strat]
strat_cfg = {'strategies': strategies, \
'folder': 'C:\\dev\\src\\ktlib\\pythonctp\\pyctp\\', \
'daily_data_days':3, \
'min_data_days':1 }
#myagent = create_agent(agent_name, user_cfg, trader_cfg, insts, strat_cfg)
all_insts = ins_setup.keys()
myagent, my_trader = emulator.create_agent_with_mocktrader(
agent_name, all_insts, strat_cfg, tday)
fut_api.make_user(myagent, user_cfg)
myagent.resume()
try:
while 1:
time.sleep(1)
except KeyboardInterrupt:
myagent.mdapis = []
myagent.trader = None
def rbreaker_test(tday, name='rbreaker_test'):
logging.basicConfig(
filename="ctp_" + name + ".log",
level=logging.DEBUG,
format=
'%(name)s:%(funcName)s:%(lineno)d:%(asctime)s %(levelname)s %(message)s'
)
#trader_cfg = TEST_TRADER
user_cfg = PROD_USER
agent_name = name
ins_setup = {
'IF1504': [[0.35, 0.07, 0.25], 1, 30],
'ru1509': [[0.35, 0.07, 0.25], 1, 120],
'rb1510': [[0.35, 0.07, 0.25], 10, 20],
'RM509': [[0.35, 0.07, 0.25], 8, 20],
'm1509': [[0.35, 0.07, 0.25], 8, 30],
'ag1506': [[0.35, 0.07, 0.25], 8, 40],
'y1509': [[0.35, 0.07, 0.25], 8, 60]
}
insts = ins_setup.keys()
units_rb = [ins_setup[inst][1] for inst in insts]
under_rb = [[inst] for inst in insts]
vol_rb = [[1] for inst in insts]
ratios = [ins_setup[inst][0] for inst in insts]
min_rng = [ins_setup[inst][2] for inst in insts]
stop_loss = 0.02
rb_strat = strat_rb.RBreakerTrader('RBreaker',
under_rb,
vol_rb,
trade_unit=units_rb,
ratios=ratios,
min_rng=min_rng,
trail_loss=stop_loss,
freq=1,
agent=None,
email_notify=['*****@*****.**'])
strategies = [rb_strat]
strat_cfg = {'strategies': strategies, \
'folder': 'C:\\dev\\src\\ktlib\\pythonctp\\pyctp\\', \
'daily_data_days':1, \
'min_data_days':1 }
#myagent = create_agent(agent_name, user_cfg, trader_cfg, insts, strat_cfg)
all_insts = ins_setup.keys()
myagent, my_trader = emulator.create_agent_with_mocktrader(
agent_name, all_insts, strat_cfg, tday)
fut_api.make_user(myagent, user_cfg)
myagent.resume()
try:
while 1:
time.sleep(1)
except KeyboardInterrupt:
myagent.mdapis = []
myagent.trader = None
def prod_test(tday, name='prod_test'):
logging.basicConfig(filename="ctp_" + name + ".log",level=logging.DEBUG,format='%(name)s:%(funcName)s:%(lineno)d:%(asctime)s %(levelname)s %(message)s')
#trader_cfg = TEST_TRADER
user_cfg = PROD_USER
agent_name = name
ins_setup = {'m1505':(0, 0.5, 8, False),
'RM505':(0, 0.5, 10, False),
'rb1505':(0,0.5, 10, False),
'y1505':(0, 0.5, 4, False),
'l1505':(0, 0.5, 4, False),
'pp1505':(0,0.5, 4, False),
'ru1505':(0, 0.5, 1, False),
'ag1506':(0, 0.5, 6, False),
'au1506':(0, 0.5, 1, False),
'j1505':(0, 0.5, 2, False),
'al1505':(0, 0.5, 5, False),
'IF1504':(0, 0.5, 1, True)}
insts = ins_setup.keys()
units_dt = [ins_setup[inst][2] for inst in insts]
under_dt = [[inst] for inst in insts]
vol_dt = [[1] for inst in insts]
ratios = [[ins_setup[inst][1], ins_setup[inst][1]] for inst in insts]
lookbacks = [ins_setup[inst][0] for inst in insts]
daily_close = [ins_setup[inst][3] for inst in insts]
dt_strat = strat_dt.DTTrader('ProdDT', under_dt, vol_dt, trade_unit = units_dt,
ratios = ratios, lookbacks = lookbacks,
agent = None, daily_close = False,
email_notify = ['*****@*****.**'])
dt_strat.close_tday = daily_close
strategies = [dt_strat]
strat_cfg = {'strategies': strategies, \
'folder': 'C:\\dev\\src\\ktlib\\pythonctp\\pyctp\\', \
'daily_data_days':3, \
'min_data_days':1 }
#myagent = create_agent(agent_name, user_cfg, trader_cfg, insts, strat_cfg)
all_insts = ins_setup.keys()
myagent, my_trader = emulator.create_agent_with_mocktrader(agent_name, all_insts, strat_cfg, tday)
fut_api.make_user(myagent,user_cfg)
myagent.resume()
try:
while 1: time.sleep(1)
except KeyboardInterrupt:
myagent.mdapis = []
myagent.trader = None
def rbreaker_test(tday, name='rbreaker_test'):
logging.basicConfig(filename="ctp_" + name + ".log",level=logging.DEBUG,format='%(name)s:%(funcName)s:%(lineno)d:%(asctime)s %(levelname)s %(message)s')
#trader_cfg = TEST_TRADER
user_cfg = PROD_USER
agent_name = name
ins_setup = {'IF1504': [[0.35, 0.07, 0.25], 1, 30],
'ru1509': [[0.35, 0.07, 0.25], 1, 120],
'rb1510': [[0.35, 0.07, 0.25], 10, 20],
'RM509' : [[0.35, 0.07, 0.25], 8, 20],
'm1509' : [[0.35, 0.07, 0.25], 8, 30],
'ag1506': [[0.35, 0.07, 0.25], 8, 40],
'y1509' : [[0.35, 0.07, 0.25], 8, 60]}
insts = ins_setup.keys()
units_rb = [ins_setup[inst][1] for inst in insts]
under_rb = [[inst] for inst in insts]
vol_rb = [[1] for inst in insts]
ratios = [ins_setup[inst][0] for inst in insts]
min_rng = [ins_setup[inst][2] for inst in insts]
stop_loss = 0.02
rb_strat = strat_rb.RBreakerTrader('RBreaker', under_rb, vol_rb, trade_unit = units_rb,
ratios = ratios, min_rng = min_rng, trail_loss = stop_loss, freq = 1,
agent = None, email_notify = ['*****@*****.**'])
strategies = [rb_strat]
strat_cfg = {'strategies': strategies, \
'folder': 'C:\\dev\\src\\ktlib\\pythonctp\\pyctp\\', \
'daily_data_days':1, \
'min_data_days':1 }
#myagent = create_agent(agent_name, user_cfg, trader_cfg, insts, strat_cfg)
all_insts = ins_setup.keys()
myagent, my_trader = emulator.create_agent_with_mocktrader(agent_name, all_insts, strat_cfg, tday)
fut_api.make_user(myagent,user_cfg)
myagent.resume()
try:
while 1: time.sleep(1)
except KeyboardInterrupt:
myagent.mdapis = []
myagent.trader = None
