new_row = { "dt": kline_start['end_dt'],
"date_str": DataMatrixAPI.datetime_to_str(DataMatrixAPI.milli_timestamp_to_datetime(kline_start['end_dt'])),
"next_1min_ret": lead_rets[0],
"next_2min_ret": lead_rets[1],
"next_5min_ret": lead_rets[2],
"next_10min_ret": lead_rets[3],
"next_30min_ret": lead_rets[4],
"next_60min_ret": lead_rets[5],
"arc30": arc30,
"arc60": arc60,
"arc120": arc120,
"arc240": arc240,
"vrc30": vrc30,
"vrc60": vrc60,
"vrc120": vrc120,
"vrc240": vrc240 }
await self.add_row(new_row)
async def on_orderbook_update_callback(self, orderbook: Orderbook): ...
async def on_trade_update_callback(self, trade: Trade): ...
async def on_ticker_update_callback(self, ticker: Ticker): ...
async def on_order_update_callback(self, order: Order): ...
async def on_fill_update_callback(self, fill: Fill): ...
async def on_position_update_callback(self, position: Position): ...
async def on_asset_update_callback(self, asset: Asset): ...
if __name__ == '__main__':
default_main(DataMatrixDemo)
# -*- coding:utf-8 -*-
"""
huobi_future行情采集模块
Project: alphahunter
Author: HJQuant
Description: Asynchronous driven quantitative trading framework
"""
from quant.collect import Collect
from quant.startup import default_main
if __name__ == '__main__':
default_main(Collect)
logger.info("trade:", trade, caller=self)
async def on_ticker_update_callback(self, ticker: Ticker):
""" 市场行情tick更新
"""
logger.info("ticker:", ticker, caller=self)
async def on_order_update_callback(self, order: Order):
""" 订单状态更新
"""
logger.info("order:", order, caller=self)
async def on_fill_update_callback(self, fill: Fill):
""" 订单成交通知
"""
logger.info("fill:", fill, caller=self)
async def on_position_update_callback(self, position: Position):
""" 持仓更新
"""
logger.info("position:", position, caller=self)
async def on_asset_update_callback(self, asset: Asset):
""" 账户资产更新
"""
logger.info("asset:", asset, caller=self)
if __name__ == '__main__':
default_main(DemoStrategy)
prev_kline = None
return new_kline, prev_kline
def handle_documents(self, documents):
sum_amount = 0
sum_volume = 0
for document in documents:
sum_amount += document["volume"]*document["tradeprice"]
sum_volume += document["volume"]
return {
"avg_price": sum_amount / sum_volume,
"sum_volume": sum_volume,
"sum_amount": sum_amount,
}
async def on_state_update_callback(self, state: State, **kwargs): ...
async def on_kline_update_callback(self, kline: Kline): ...
async def on_orderbook_update_callback(self, orderbook: Orderbook): ...
async def on_trade_update_callback(self, trade: Trade): ...
async def on_ticker_update_callback(self, ticker: Ticker): ...
async def on_order_update_callback(self, order: Order): ...
async def on_fill_update_callback(self, fill: Fill): ...
async def on_position_update_callback(self, position: Position): ...
async def on_asset_update_callback(self, asset: Asset): ...
if __name__ == '__main__':
default_main(klinesrv)
async def on_position_update_callback(self, position: Position): ...
async def on_order_update_callback(self, order: Order):
""" 订单状态更新
"""
logger.info("order:", order, caller=self)
async def on_fill_update_callback(self, fill: Fill):
""" 订单成交通知
"""
logger.info("fill:", fill, caller=self)
async def submit_orders(self, delta_position):
""" 根据当前最新的delta_position来执行下单操作
"""
delta = tools.nearest(delta_position['BTC'], self.syminfo.size_tick) #下单量
if abs(delta) < 0.01: #原因是现货买入交易手续费从'货'中扣,极为恶心的设计
return
if delta > 0: #做多
s, e = await self.create_order(self.gw, self.symbols[0], ORDER_ACTION_BUY, self.last_kline.close+100, abs(delta)) #限价单模拟市价单
if e:
logger.error("error:", e, caller=self)
elif delta < 0: #做空
s, e = await self.create_order(self.gw, self.symbols[0], ORDER_ACTION_SELL, self.last_kline.close-100, abs(delta)) #限价单模拟市价单
if e:
logger.error("error:", e, caller=self)
if __name__ == '__main__':
default_main(CTAMultiTimeframeStrategy)
... #策略进程运行过程中如果收到某些错误通知,可以根据实际情况判断,比如可以做一些策略善后工作,然后结束本策略进程
return
async def on_kline_update_callback(self, kline: Kline):
...
async def on_orderbook_update_callback(self, orderbook: Orderbook):
...
async def on_trade_update_callback(self, trade: Trade):
...
async def on_ticker_update_callback(self, ticker: Ticker):
...
async def on_order_update_callback(self, order: Order):
...
async def on_fill_update_callback(self, fill: Fill):
...
async def on_position_update_callback(self, position: Position):
...
async def on_asset_update_callback(self, asset: Asset):
...
if __name__ == '__main__':
default_main(SymInfoWriter)
async def on_fill_update_callback(self, fill: Fill):
""" 订单成交通知
"""
logger.info("fill:", fill, caller=self)
async def submit_orders(self, delta_position):
""" 根据当前最新的delta_position来执行下单操作
"""
delta = tools.nearest(delta_position['BTC'],
self.syminfo.size_tick) #下单量
if abs(delta) < 0.01: #原因是现货买入交易手续费从'货'中扣,极为恶心的设计
return
if delta > 0: #做多
s, e = await self.create_order(self.gw, self.symbols[0],
ORDER_ACTION_BUY,
self.last_kline.close + 100,
abs(delta)) #限价单模拟市价单
if e:
logger.error("error:", e, caller=self)
elif delta < 0: #做空
s, e = await self.create_order(self.gw, self.symbols[0],
ORDER_ACTION_SELL,
self.last_kline.close - 100,
abs(delta)) #限价单模拟市价单
if e:
logger.error("error:", e, caller=self)
if __name__ == '__main__':
default_main(CTAMultiSignalStrategy)
"""
logger.info("fill:", fill, caller=self)
async def on_asset_update_callback(self, asset: Asset):
""" 账户资产更新
"""
logger.info("asset:", asset, caller=self)
balance = asset.assets #e.g. {"BTC": {"free": 1.1, "locked": 2.2, "total": 3.3}, ... }
if asset.platform == self.platform_main: #获取[主交易所]的资产信息
self.eth_available_main = balance["ETH"]["free"]
self.usdt_available_main = balance["USDT"]["free"]
if not self.eth_initial_main:
self.eth_initial_main = self.eth_available_main #策略开始时的初始资产
if not self.usdt_initial_main:
self.usdt_initial_main = self.usdt_available_main #策略开始时的初始资产
elif asset.platform == self.platform_reference: #获取[从交易所]的资产信息
self.eth_available_reference = balance["ETH"]["free"]
self.usdt_available_reference = balance["USDT"]["free"]
if not self.eth_initial_reference:
self.eth_initial_reference = self.eth_available_reference #策略开始时的初始资产
if not self.usdt_initial_reference:
self.usdt_initial_reference = self.usdt_available_reference #策略开始时的初始资产
async def on_position_update_callback(self, position: Position):
...
if __name__ == '__main__':
default_main(CarryBrickStrategy)
async def on_fill_update_callback(self, fill: Fill):
""" 订单成交通知
"""
logger.info("fill:", fill, caller=self)
async def submit_orders(self, delta_position):
""" 根据当前最新的delta_position来执行下单操作
"""
delta = tools.nearest(delta_position['BTC'],
self.syminfo.size_tick) #下单量
if abs(delta) < 0.01: #原因是现货买入交易手续费从'货'中扣,极为恶心的设计
return
if delta > 0: #做多
s, e = await self.create_order(self.gw, self.symbols[0],
ORDER_ACTION_BUY,
self.last_kline.close + 100,
abs(delta)) #限价单模拟市价单
if e:
logger.error("error:", e, caller=self)
elif delta < 0: #做空
s, e = await self.create_order(self.gw, self.symbols[0],
ORDER_ACTION_SELL,
self.last_kline.close - 100,
abs(delta)) #限价单模拟市价单
if e:
logger.error("error:", e, caller=self)
if __name__ == '__main__':
default_main(CTAStrategy)
await asyncio.sleep(1)
for sym in self.symbols: #开始建立索引
t_depth = self.t_depth_map[sym]
s, e = await t_depth.create_index({'dt':1})
if e:
logger.error("create_index depth:", e, caller=self)
t_trade = self.t_trade_map[sym]
s, e = await t_trade.create_index({'dt':1})
if e:
logger.error("create_index trade:", e, caller=self)
t_kline = self.t_kline_map[sym]
s, e = await t_kline.create_index({'begin_dt':1})
if e:
logger.error("create_index kline:", e, caller=self)
#结束进程
self.stop()
async def on_state_update_callback(self, state: State, **kwargs): ...
async def on_kline_update_callback(self, kline: Kline): ...
async def on_orderbook_update_callback(self, orderbook: Orderbook): ...
async def on_trade_update_callback(self, trade: Trade): ...
async def on_ticker_update_callback(self, ticker: Ticker): ...
async def on_order_update_callback(self, order: Order): ...
async def on_fill_update_callback(self, fill: Fill): ...
async def on_position_update_callback(self, position: Position): ...
async def on_asset_update_callback(self, asset: Asset): ...
if __name__ == '__main__':
default_main(CreateIndex)