def __init__(self, api, symbol_list, backtest_timestamp, *args, **kwargs):
self.__dict__["_api"] = api
self.__dict__["_symbol_list"] = symbol_list
self.__dict__["_backtest_timestamp"] = backtest_timestamp
self.__dict__["_columns"] = [
"ins_class", "instrument_id", "instrument_name", "price_tick",
"volume_multiple", "max_limit_order_volume",
"max_market_order_volume", "underlying_symbol", "strike_price",
"exchange_id", "product_id", "expired", "expire_datetime",
"expire_rest_days", "delivery_year", "delivery_month",
"last_exercise_datetime", "exercise_year", "exercise_month",
"option_class", "upper_limit", "lower_limit", "pre_settlement",
"pre_open_interest", "pre_close", "trading_time_day",
"trading_time_night"
]
default_quote = Quote(None)
data = [{
k: (s if k == "instrument_id" else default_quote.get(k, None))
for k in self.__dict__["_columns"]
} for s in symbol_list]
super(TqSymbolDataFrame,
self).__init__(data=data,
columns=self.__dict__["_columns"],
*args,
**kwargs)
self.__dict__["_task"] = api.create_task(self.async_update(),
_caller_api=True)
def set_commission(self, symbol: str, commission: float=float('nan')):
"""
设置指定合约模拟交易的每手手续费。
Args:
symbol (str): 合约代码
commission (float): 每手手续费
Returns:
float: 设置的每手手续费
Example::
from tqsdk import TqSim, TqApi, TqAuth
sim = TqSim()
api = TqApi(sim, auth=TqAuth("信易账户", "账户密码"))
sim.set_commission("SHFE.cu2112", 50)
print(sim.get_commission("SHFE.cu2112"))
"""
if commission != commission:
raise Exception("合约手续费不可以设置为 float('nan')")
quote = _get_obj(self._data, ["quotes", symbol], Quote(self._api if hasattr(self, "_api") else None))
quote["user_commission"] = commission
if self._quote_tasks.get(symbol):
self._quote_tasks[symbol]["quote_chan"].send_nowait({
"quotes": {symbol: {"user_commission": commission}}
})
return commission
def __init__(
self, account_id, init_balance,
trade_class: Union[Type[SimTrade], Type[SimTradeStock]]) -> None:
self._account_id = account_id
super(BaseSim, self).__init__()
self.trade_log = {} # 日期->交易记录及收盘时的权益及持仓
self.tqsdk_stat = {} # 回测结束后储存回测报告信息
self._init_balance = init_balance
self._current_datetime = "1990-01-01 00:00:00.000000" # 当前行情时间（最新的 quote 时间）
self._trading_day_end = "1990-01-01 18:00:00.000000"
self._local_time_record = float("nan") # 记录获取最新行情时的本地时间
self._sim_trade = trade_class(
account_key=self._account_key,
account_id=self._account_id,
init_balance=self._init_balance,
get_trade_timestamp=self._get_trade_timestamp,
is_in_trading_time=self._is_in_trading_time)
self._data = Entity()
self._data._instance_entity([])
self._prototype = {
"quotes": {
"#": Quote(self), # 行情的数据原型
}
}
self._quote_tasks = {}
def _symbols_to_quotes(symbols, keys=set(Quote(None).keys())):
"""将 symbols 转为 quotes，只输出 keys 包括的字段"""
result = symbols.get("result", {})
quotes = {}
for k in result:
for symbol in result[k]:
quote = quotes.setdefault(symbol["instrument_id"], {})
quote.update(_convert_symbol_to_quote(symbol, keys))
if symbol.get("underlying"):
for edge in symbol["underlying"]["edges"]:
underlying_symbol = edge["node"]
if "underlying_symbol" in keys:
quote["underlying_symbol"] = underlying_symbol["instrument_id"]
underlying_quote = quotes.setdefault(underlying_symbol["instrument_id"], {})
underlying_quote.update(_convert_symbol_to_quote(underlying_symbol, keys))
# 为期权合约补充 delivery_year delivery_month 商品期权根据标的赋值；金融期权与 exercise_year exercise_month 相同
# 为期权补充 delivery_year delivery_month 完全是为了兼容旧版合约服务
for key in ["delivery_year", "delivery_month"]:
if key in keys and symbol["class"] == "OPTION":
if symbol["exchange_id"] in ["DCE", "CZCE", "SHFE"]:
quote[key] = underlying_quote[key]
if symbol["exchange_id"] == "CFFEX" and "last_exercise_datetime" in symbol:
if key == "delivery_year":
quote[key] = datetime.fromtimestamp(symbol["last_exercise_datetime"] / 1e9).year
else:
quote[key] = datetime.fromtimestamp(symbol["last_exercise_datetime"] / 1e9).month
for k in quotes:
if quotes[k].get("ins_class", "") == "COMBINE":
# 为组合合约补充 volume_multiple
leg1_quote = quotes.get(quotes[k].get("leg1_symbol", ""), {})
if leg1_quote:
if leg1_quote.get("volume_multiple"):
quotes[k]["volume_multiple"] = leg1_quote["volume_multiple"]
return quotes
async def _ensure_quote(self, symbol, quote_chan):
"""quote收到行情后返回"""
quote = _get_obj(self._data, ["quotes", symbol], Quote(self._api))
_register_update_chan(quote, quote_chan)
if quote.get("datetime", ""):
return quote.copy()
async for _ in quote_chan:
quote_chan.task_done()
if quote.get("datetime", ""):
return quote.copy()
async def _ensure_quote_info(self, symbol, quote_chan):
"""quote收到合约信息后返回"""
quote = _get_obj(self._data, ["quotes", symbol], Quote(self._api))
if quote.get("price_tick") == quote.get("price_tick"):
return quote.copy()
if quote.get("price_tick") != quote.get("price_tick"):
await self._md_send_chan.send(_query_for_quote(symbol))
async for _ in quote_chan:
quote_chan.task_done()
if quote.get("price_tick") == quote.get("price_tick"):
return quote.copy()
async def _ensure_quote(self, symbol, quote_chan):
"""quote收到行情以及合约信息后返回"""
quote = _get_obj(self._data, ["quotes", symbol], Quote(self._api))
_register_update_chan(quote, quote_chan)
if quote.get("datetime", "") and quote.get("price_tick") == quote.get("price_tick"):
return quote.copy()
if quote.get("price_tick") != quote.get("price_tick"):
# 对于没有合约信息的 quote，发送查询合约信息的请求
await self._md_send_chan.send(_query_for_quote(symbol))
async for _ in quote_chan:
quote_chan.task_done()
if quote.get("datetime", "") and quote.get("price_tick") == quote.get("price_tick"):
return quote.copy()
def set_margin(self, symbol: str, margin: float = float('nan')):
"""
设置指定合约模拟交易的每手保证金。
Args:
symbol (str): 合约代码 (只支持期货合约)
margin (float): 每手保证金
Returns:
float: 设置的每手保证金
Example::
from tqsdk import TqSim, TqApi, TqAuth
sim = TqSim()
api = TqApi(sim, auth=TqAuth("信易账户", "账户密码"))
sim.set_margin("SHFE.cu2112", 26000)
print(sim.get_margin("SHFE.cu2112"))
"""
if margin != margin:
raise Exception("合约手续费不可以设置为 float('nan')")
quote = _get_obj(self._data, ["quotes", symbol],
Quote(self._api if hasattr(self, "_api") else None))
quote["user_margin"] = margin
if self._quote_tasks.get(symbol):
self._quote_tasks[symbol]["quote_chan"].send_nowait(
{"quotes": {
symbol: {
"user_margin": margin
}
}})
# 当用户设置保证金时，用户应该得到的效果是：
# 在调用 sim.set_margin() 之后，立即调用 api.get_position(symbol)，得到的 margin 字段应该按照新设置的保证金调整过，而且中间没有收到过行情更新包
# 以下代码可以保证这个效果，说明：
# 1. 持仓已经调整过:
# sim_trade 中持仓的 future_margin 字段更新，margin 会同时调整，那么 api 中持仓的 future_margin 更新时，margin 一定也已经更新
# 2. 中间没有收到过行情更新包:
# 前提1：根据 diff 协议，sim 收到 peek_message 时，会将缓存的 diffs 发给用户，当缓存的 diffs 为空，会转发 peek_message；
# 前提2：api.wait_update() 会等到所有 task 都执行到 pending 状态，然后发送 peek_message 给 sim
# 当用户代码执行到 sim.set_margin()，立即向 quote_chan 中发送一个数据包，quote_task 就会到 ready 状态，此时调用 wait_update()，
# 到所有 task 执行到 pending 状态时，sim 的 diffs 中有数据了，此时收到 api 发来 peek_message 不会转发给上游，用户会先收到 sim 本身的账户数据，
# 在下一次 wait_update，sim 的 diffs 为空，才会收到行情数据
# 在回测时，以下代码应该只经历一次 wait_update
while margin != self.get_position(symbol).get("future_margin"):
self._api.wait_update()
return margin
async def _run(self, api, sim_send_chan, sim_recv_chan, md_send_chan, md_recv_chan):
"""回测task"""
self._api = api
self._sim_send_chan = sim_send_chan
self._sim_recv_chan = sim_recv_chan
self._md_send_chan = md_send_chan
self._md_recv_chan = md_recv_chan
self._quotes_all_keys = set(Quote(None).keys())
self._quotes_all_keys = self._quotes_all_keys.union({'margin', 'commission'})
# 以下字段合约服务也会请求，但是不应该记在 quotes 中，quotes 中的这些字段应该有行情服务负责
self._quotes_all_keys.difference_update({'pre_open_interest', 'pre_close', 'upper_limit', 'lower_limit'})
sim_task = self._api.create_task(self._sim_handler())
try:
async for pack in self._md_recv_chan:
if pack.get("aid") == "rtn_data":
data = pack.setdefault("data", [])
# 对于收到的数据，全部转发给下游
# 对于合约服务信息，query_id 为 PYSDK_quote_xxx 开头的，一定是请求了合约的全部合约信息，需要转为 quotes 转发给下游
for d in data:
for query_id, query_result in d.get("symbols", {}).items():
if query_result:
if query_result.get("error", None):
raise Exception(f"查询合约服务报错 {query_result['error']}")
elif query_id.startswith("PYSDK_quote"):
quotes = self._api._symbols_to_quotes(query_result, self._quotes_all_keys)
for quote in quotes.values():
if not (quote["ins_class"] == "OPTION" and quote["exchange_id"] == "SSE"):
# quotes 中的 pre_settlement 字段应该由行情服务负责，行情没有上交所期权的 pre_settlement，需要从合约服务取，其他合约不变
quote.pop("pre_settlement", None)
data.append(
{"quotes": quotes}
)
self._md_send_chan.send_nowait({
"aid": "ins_query",
"query_id": query_id,
"query": ""
})
await self._sim_recv_chan.send(pack)
finally:
sim_task.cancel()
await asyncio.gather(sim_task, return_exceptions=True)
def _quotes_to_dataframe(self, quotes):
default_quote = Quote(None)
for col in self.__dict__["_columns"]:
if col == "expire_rest_days":
current_dt = self._api._get_current_datetime().timestamp()
self.loc[:, col] = [
_get_expire_rest_days(quotes[s]['expire_datetime'],
current_dt)
if quotes[s].get('expire_datetime') else float('nan')
for s in self.__dict__["_symbol_list"]
]
elif col == "trading_time_day" or col == "trading_time_night":
k = 'day' if col == "trading_time_day" else 'night'
self.loc[:, col] = Series([
self._get_trading_time(quotes, s, k)
for s in self.__dict__["_symbol_list"]
])
else:
self.loc[:, col] = Series([
quotes[s].get(col, default_quote[col])
for s in self.__dict__["_symbol_list"]
])
def __init__(self, init_balance: float = 10000000.0, account_id: str = None) -> None:
"""
Args:
init_balance (float): [可选]初始资金, 默认为一千万
account_id (str): [可选]帐号, 默认为 TQSIM
Example::
# 修改TqSim模拟帐号的初始资金为100000
from tqsdk import TqApi, TqSim, TqAuth
api = TqApi(TqSim(init_balance=100000), auth=TqAuth("信易账户", "账户密码"))
"""
self.trade_log = {} # 日期->交易记录及收盘时的权益及持仓
self.tqsdk_stat = {} # 回测结束后储存回测报告信息
self._account_id = "TQSIM" if account_id is None else account_id
self._account_type = "FUTURE"
self._broker_id = "TQSIM" if self._account_type == "FUTURE" else "TQSIM_STOCK"
self._account_key = str(id(self))
self._init_balance = float(init_balance)
if self._init_balance <= 0:
raise Exception("初始资金(init_balance) %s 错误, 请检查 init_balance 是否填写正确" % (init_balance))
self._current_datetime = "1990-01-01 00:00:00.000000" # 当前行情时间（最新的 quote 时间）
self._trading_day_end = "1990-01-01 18:00:00.000000"
self._local_time_record = float("nan") # 记录获取最新行情时的本地时间
self._sim_trade = SimTrade(account_key=self._account_key, init_balance=self._init_balance,
get_trade_timestamp=self._get_trade_timestamp,
is_in_trading_time=self._is_in_trading_time)
self._data = Entity()
self._data._instance_entity([])
self._prototype = {
"quotes": {
"#": Quote(self), # 行情的数据原型
}
}
self._quote_tasks = {}
async def _run(self, api, api_send_chan, api_recv_chan, md_send_chan, md_recv_chan):
"""模拟交易task"""
self._api = api
self._tqsdk_backtest = {} # 储存可能的回测信息
self._tqsdk_stat = {} # 回测结束后储存回测报告信息
self._logger = api._logger.getChild("TqSim") # 调试信息输出
self._api_send_chan = api_send_chan
self._api_recv_chan = api_recv_chan
self._md_send_chan = md_send_chan
self._md_recv_chan = md_recv_chan
self._pending_peek = False
self._diffs = []
self._account = {
"currency": "CNY",
"pre_balance": self._init_balance,
"static_balance": self._init_balance,
"balance": self._init_balance,
"available": self._init_balance,
"float_profit": 0.0,
"position_profit": 0.0, # 期权没有持仓盈亏
"close_profit": 0.0,
"frozen_margin": 0.0,
"margin": 0.0,
"frozen_commission": 0.0,
"commission": 0.0,
"frozen_premium": 0.0,
"premium": 0.0,
"deposit": 0.0,
"withdraw": 0.0,
"risk_ratio": 0.0,
"market_value": 0.0,
"ctp_balance": float("nan"),
"ctp_available": float("nan"),
}
self._positions = {}
self._orders = {}
self._data = Entity()
self._data._instance_entity([])
self._prototype = {
"quotes": {
"#": Quote(self), # 行情的数据原型
}
}
self._quote_tasks = {}
self._all_subscribe = set() # 客户端+模拟交易模块订阅的合约集合
# 是否已经发送初始账户信息
self._has_send_init_account = False
md_task = self._api.create_task(self._md_handler()) # 将所有 md_recv_chan 上收到的包投递到 api_send_chan 上
try:
async for pack in self._api_send_chan:
self._logger.debug("TqSim message received: %s", pack)
if "_md_recv" in pack:
if pack["aid"] == "rtn_data":
self._md_recv(pack) # md_recv 中会发送 wait_count 个 quotes 包给各个 quote_chan
await asyncio.gather(*[quote_task["quote_chan"].join() for quote_task in self._quote_tasks.values()])
await self._send_diff()
elif pack["aid"] == "subscribe_quote":
await self._subscribe_quote(set(pack["ins_list"].split(",")))
elif pack["aid"] == "peek_message":
self._pending_peek = True
await self._send_diff()
if self._pending_peek: # 控制"peek_message"发送: 当没有新的事件需要用户处理时才推进到下一个行情
await self._md_send_chan.send(pack)
elif pack["aid"] == "insert_order":
symbol = pack["exchange_id"] + "." + pack["instrument_id"]
if symbol not in self._quote_tasks:
quote_chan = TqChan(self._api)
order_chan = TqChan(self._api)
self._quote_tasks[symbol] = {
"quote_chan": quote_chan,
"order_chan": order_chan,
"task": self._api.create_task(self._quote_handler(symbol, quote_chan, order_chan))
}
await self._quote_tasks[symbol]["order_chan"].send(pack)
elif pack["aid"] == "cancel_order":
# pack 里只有 order_id 信息，发送到每一个合约的 order_chan, 交由 quote_task 判断是不是当前合约下的委托单
for symbol in self._quote_tasks:
await self._quote_tasks[symbol]["order_chan"].send(pack)
else:
await self._md_send_chan.send(pack)
if self._tqsdk_backtest != {} and self._tqsdk_backtest["current_dt"] >= self._tqsdk_backtest["end_dt"] \
and not self._tqsdk_stat:
# 回测情况下，把 _send_stat_report 在循环中回测结束时执行
await self._send_stat_report()
finally:
if not self._tqsdk_stat:
await self._send_stat_report()
md_task.cancel()
tasks = [md_task]
for symbol in self._quote_tasks:
self._quote_tasks[symbol]["task"].cancel()
tasks.append(self._quote_tasks[symbol]["task"])
await asyncio.gather(*tasks, return_exceptions=True)
