# -*- coding: utf-8 -*-
import sys
import xml.etree.cElementTree as ET
from eod_aps.model.schema_common import Instrument
from eod_aps.model.eod_const import CustomEnumUtils
from eod_aps.server_python import *
date_utils = DateUtils()
Instrument_Type_Enum = const.INSTRUMENT_TYPE_ENUMS
Exchange_Type_Enum = const.EXCHANGE_TYPE_ENUMS
Market_Sector_Type_Enum = const.MARKETSECTOR_TYPE_ENUMS
custom_enum_utils = CustomEnumUtils()
SecruityIDSource_xml_dict = custom_enum_utils.enum(CS='102')
class XmlModel(object):
"""
XmlModel
"""
def __init__(self):
pass
def __read_securities_xml():
try:
tree = ET.parse(
"Z:/dailyjob/daily_files/ETF/securities_20171220.xml") # 打开xml文档
# root = ET.fromstring(country_string) #从字符串传递xml
root = tree.getroot() # 获得root节点
# -*- coding: utf-8 -*-
from eod_aps.model.eod_const import const, CustomEnumUtils
from eod_aps.tools.tradeplat_message_tools import *
custom_enum_utils = CustomEnumUtils()
exchange_type_dict = custom_enum_utils.enum_to_dict(const.EXCHANGE_TYPE_ENUMS)
class InstrumentView(object):
"""
Instrument数据展示类
"""
def __init__(self, instrument_msg, market_msg):
self.Index = instrument_msg.index
self.ID = instrument_msg.id
self.Ticker = instrument_msg.ticker
# self.ExchangeID = exchange_type_dict[instrument_msg.ExchangeIDWire]
self.ExchangeID = instrument_msg.ExchangeIDWire
self.UniqueSymbol = '%s %s' % (self.Ticker, self.ExchangeID)
self.MarketSectorID = instrument_msg.MarketSectorIDWire
self.TypeID = instrument_msg.TypeIDWire
self.Type2ID = instrument_msg.Type2IDWire
self.Name = instrument_msg.name
self.BidMargin = instrument_msg.BidMargin
self.AskMargin = instrument_msg.AskMargin
self.ValPT = instrument_msg.ValPT
self.BuyCommission = instrument_msg.BuyCommission
self.SellCommission = instrument_msg.SellCommission
self.ShortSellCommission = instrument_msg.ShortSellCommission
self.Slippage = instrument_msg.Slippage
from eod_aps.model.schema_common import Instrument
from eod_aps.model.market_data_bar_info import MinuteBarInfo, QuoteBarInfo
from eod_aps.server_python import *
instrument_dict = dict()
trading_time_dict = dict()
quote_dict = dict()
minbar_dict = dict()
interval_time = 60
quote_size = 4000
minbar_size = 500
Exchange_Type_Enum = const.EXCHANGE_TYPE_ENUMS
custom_enum_utils = CustomEnumUtils()
exchange_type_inversion_dict = custom_enum_utils.enum_to_dict(
Exchange_Type_Enum, inversion_flag=True)
def start_build_file():
build_quotes_minbar_file()
def start(ctp_file_name):
global server_host
server_host = server_constant_local.get_server_model('host')
start_build_quotes_base(ctp_file_name)
build_quotes_minbar_file()
server_host.close()
# -*- coding: utf-8 -*-
from eod_aps.model.schema_history import PhoneTradeInfo
from eod_aps.model.server_constans import server_constant
from eod_aps.tools.date_utils import DateUtils
from eod_aps.tools.email_utils import EmailUtils
from eod_aps.tools.tradeplat_message_tools import socket_init, send_phone_trade_request_msg
from eod_aps.model.eod_const import CustomEnumUtils, const
date_utils = DateUtils()
email_utils = EmailUtils(const.EMAIL_DICT['group2'])
custom_enum_utils = CustomEnumUtils()
inversion_direction_dict = custom_enum_utils.enum_to_dict(
const.DIRECTION_ENUMS, inversion_flag=True)
inversion_trade_type_dict = custom_enum_utils.enum_to_dict(
const.TRADE_TYPE_ENUMS, inversion_flag=True)
inversion_hedge_flag_dict = custom_enum_utils.enum_to_dict(
const.HEDGEFLAG_TYPE_ENUMS, inversion_flag=True)
inversion_io_type_dict = custom_enum_utils.enum_to_dict(const.IO_TYPE_ENUMS,
inversion_flag=True)
direction_dict = custom_enum_utils.enum_to_dict(const.DIRECTION_ENUMS)
trade_type_dict = custom_enum_utils.enum_to_dict(const.TRADE_TYPE_ENUMS)
io_type_dict = custom_enum_utils.enum_to_dict(const.IO_TYPE_ENUMS)
table_title = 'fund,strategy1,symbol,direction,trade_type,hedge_flag,exprice,exqty,io_type,strategy2,\
connect_address'
def send_phone_trade(server_name, phone_trade_list):
"""
发送phone_trade
from eod_aps.tools.tradeplat_message_tools import *
from eod_aps.model.eod_const import const, CustomEnumUtils
from eod_aps.tools.tradeplat_position_tools import RiskView
from eod_aps.tools.tradeplat_position_tools import InstrumentView
ip = const.EOD_CONFIG_DICT['redis_address'].split('|')[0]
port = const.EOD_CONFIG_DICT['redis_address'].split('|')[1]
r = redis.Redis(host=ip, port=port, db=3)
pipeline_redis = r.pipeline()
market_latest_receive_time = None
order_latest_receive_time = None
trade_latest_receive_time = None
custom_enum_utils = CustomEnumUtils()
order_type_dict = custom_enum_utils.enum_to_dict(const.ORDER_TYPE_ENUMS,
inversion_flag=True)
hedgeflag_type_dict = custom_enum_utils.enum_to_dict(
const.HEDGEFLAG_TYPE_ENUMS, True)
order_status_dict = custom_enum_utils.enum_to_dict(const.ORDER_STATUS_ENUMS,
True)
operation_status_dict = custom_enum_utils.enum_to_dict(
const.OPERATION_STATUS_ENUMS, True)
trade_type_dict = custom_enum_utils.enum_to_dict(const.TRADE_TYPE_ENUMS, True)
def __save_instrument_all(socket):
# 往aggregator发送tradeserver的订阅消息
trade_server_info_msg = send_tradeserverinfo_request_msg(socket)
trade_server_info_list = []
# -*- coding: utf-8 -*-
import os
import traceback
from decimal import Decimal
import pandas as pd
import numpy as np
from eod_aps.model.eod_const import const, CustomEnumUtils
from eod_aps.model.schema_jobs import DailyVwapAnalyse
from eod_aps.model.server_constans import server_constant
data_path = const.EOD_CONFIG_DICT['data_file_folder']
Algo_Type_Enums = const.ALGO_TYPE_ENUMS
custom_enum_utils = CustomEnumUtils()
algo_type_dict = custom_enum_utils.enum_to_dict(Algo_Type_Enums,
inversion_flag=True)
include_algo_types = [
Algo_Type_Enums.SigmaVWAP_AI, Algo_Type_Enums.SigmaVWAP,
Algo_Type_Enums.SigmaVWAP_3
]
def direct(x):
if x > 0:
return 'b'
else:
return 's'
class VwapCalTools():
def __init__(self, start_date):
self.__start_date = start_date
# BASE_STKINTRADAY_MODEL_FOLDER = '%s/model' % INTRADAY_DEEP_LEARNING_PATH
# BASE_STKINTRADAY_CONFIG_FOLDER = '%s/config' % INTRADAY_DEEP_LEARNING_PATH
# BASE_VWAP_CONFIG_VWAP_FOLDER = '%s/config_vwap' % INTRADAY_DEEP_LEARNING_PATH
# BASE_VWAP_CONFIG_COMBINE_FOLDER = '%s/config_combine' % INTRADAY_DEEP_LEARNING_PATH
# BASE_PARAMETER_DICT_FILE_PATH = '%s/parameter_dict.csv' % INTRADAY_DEEP_LEARNING_PATH
INTRADAY_DEEP_LEARNING_PATH = const.EOD_CONFIG_DICT['intraday_stock_path']
BASE_STKINTRADAY_MODEL_FOLDER = '%s/model' % INTRADAY_DEEP_LEARNING_PATH
BASE_STKINTRADAY_CONFIG_FOLDER = '%s/config' % INTRADAY_DEEP_LEARNING_PATH
BASE_PARAMETER_DICT_FILE_PATH = '%s/parameter_dict.csv' % INTRADAY_DEEP_LEARNING_PATH
INTRADAY_INDEX_FUTURE_PATH = const.EOD_CONFIG_DICT[
'intraday_index_future_path']
BASE_INTRADAY_INDEX_MODEL_FOLDER = '%s/model' % INTRADAY_INDEX_FUTURE_PATH
BASE_INTRADAY_INDEX_CONFIG_FOLDER = '%s/config' % INTRADAY_INDEX_FUTURE_PATH
# --------------------常用字典数据----------------------------------------
ORDER_ROUTE_LOG_DICT = {
'guoxin': 'logon fail|Login CTP order route fail',
'huabao': 'Login LTS Order Route fail|Login CTP order route fail',
'nanhua': 'Login CTP order route fail',
'zhongxin': 'Login CTP order route fail'
}
custom_enum_utils = CustomEnumUtils()
Instrument_Type_Enums = const.INSTRUMENT_TYPE_ENUMS
Exchange_Type_Enums = const.EXCHANGE_TYPE_ENUMS
Direction_Enums = const.DIRECTION_ENUMS
Trade_Type_Enums = const.TRADE_TYPE_ENUMS
Hedge_Flag_Type_Enums = const.HEDGEFLAG_TYPE_ENUMS
IO_Type_Enums = const.IO_TYPE_ENUMS