def GenerateLoad():
PrintColor.print_bold("Generating Load...")
sourceFilesPath = os.environ["LT_SOURCE_FILES_PATH"]
inputFilesPath = os.environ["LT_INPUT_FILES_PATH"]
outputFilesPath = os.environ["LT_OUTPUT_FILES_PATH"]
serverListString = ""
shippingFileName = inputFilesPath + "/ShippingFilesList.txt"
cmdToWrite = "scp -q " + outputFilesPath + "/set"
fp = open(shippingFileName, "w")
numberOfServers = int(
raw_input(
"Enter the number of Servers From where you want to run X-Stream FIX Load:"
))
for i in list(range(numberOfServers)):
serverName = raw_input("Enter server # " + str(i + 1) + " : ")
serverList.append(serverName.strip('\n'))
if (i != 0):
serverListString = serverListString + ":" + serverName
else:
serverListString = serverName
cmdText = "ssh -q " + serverName + " mkdir -p " + outputFilesPath + "/set" + str(
i + 1)
fp.write(cmdText + "\n")
cmdText = cmdToWrite + str(
i +
1) + "/* " + serverName + ":" + outputFilesPath + "/set" + str(i +
1)
fp.write(cmdText + "\n")
fp.close()
cmdToExecute = sourceFilesPath + "/generateFIXRattlerConfig.py " + inputFilesPath + "/LoadPattern.txt " + inputFilesPath + "/OrderbookInput.txt " + inputFilesPath + "/AccountInput.txt " + inputFilesPath + "/MemberOrderRatio.txt " + serverListString
os.system(cmdToExecute)
option = raw_input("Do you want to ship the files now ?(y/n)")
if (option.upper() == 'Y'):
fp = open(shippingFileName, "r")
for line in fp:
cmdToExecute = line.strip('\n')
os.system(cmdToExecute)
fp.close()
PrintColor.print_bold(
"Load Generation Done.. Press enter to continue to main menu...")
response = raw_input()
MainMenu()
def SetMarketStates(preOpenTime):
PrintColor.print_bold("Going to generate Market states");
sourceFilesPath=os.environ["LT_SOURCE_FILES_PATH"];
inputFilesPath=os.environ["LT_INPUT_FILES_PATH"];
outputFilesPath=os.environ["LT_OUTPUT_FILES_PATH"];
cmdToExecute=sourceFilesPath+"/SetMarketTiming.py "+inputFilesPath+"/LoadPattern.txt "+preOpenTime;
os.system(cmdToExecute);
#hostname="sa01xewspe01";
#logFile=outputFilesPath+"/MarketStatelog.out";
#fpout=open(logFile,"w");
PrintColor.print_info("Removing All Trade Events");
#cmdArguments=sourceFilesPath+"~/.setenviron;qtestcsv -c "+inputFilesPath+"/RemoveTrdEvents.csv";
#proc=subprocess.Popen(['ssh','-q',hostname],stdin=subprocess.PIPE,stdout=fpout,stderr=fpout);
#proc.stdin.write(cmdArguments);
#outs, errs = proc.communicate();
#PrintColor.print_info("Process Id of process is :"+str(proc1.pid));
option=raw_input("Do you want to remove all trade events now (y/n) ? ");
if (option.upper() == "Y"):
cmdToExecute="ssh -q sa01xewspe01 ~/.setenviron;qtestcsv -c "+inputFilesPath+"/RemoveTrdEvents.csv >"+outputFilesPath+"/MarketStateLog.out";
os.system(cmdToExecute);
option=raw_input("Do you want to add all trade events now (y/n) ? ");
if (option.upper() == "Y"):
cmdToExecute="ssh -q sa01xewspe01 ~/.setenviron;qtestcsv -c "+inputFilesPath+"/AddTrdEvents.csv >>"+outputFilesPath+"/MarketStateLog.out";
os.system(cmdToExecute);
option=raw_input("Do you want to schedule Measurement points now (y/n) ? ");
if (option.upper() == "Y"):
ScheduleMeasurementPoints(preOpenTime);
PrintColor.print_bold("Press enter to continue to main menu...");
response=raw_input();
MainMenu();
def SetMarketStates(preOpenTime):
PrintColor.print_bold("Going to generate Market states")
sourceFilesPath = os.environ["LT_SOURCE_FILES_PATH"]
inputFilesPath = os.environ["LT_INPUT_FILES_PATH"]
outputFilesPath = os.environ["LT_OUTPUT_FILES_PATH"]
cmdToExecute = sourceFilesPath + "/SetMarketTiming.py " + inputFilesPath + "/LoadPattern.txt " + preOpenTime
os.system(cmdToExecute)
#hostname="sa01xewspe01";
#logFile=outputFilesPath+"/MarketStatelog.out";
#fpout=open(logFile,"w");
PrintColor.print_info("Removing All Trade Events")
#cmdArguments=sourceFilesPath+"~/.setenviron;qtestcsv -c "+inputFilesPath+"/RemoveTrdEvents.csv";
#proc=subprocess.Popen(['ssh','-q',hostname],stdin=subprocess.PIPE,stdout=fpout,stderr=fpout);
#proc.stdin.write(cmdArguments);
#outs, errs = proc.communicate();
#PrintColor.print_info("Process Id of process is :"+str(proc1.pid));
option = raw_input("Do you want to remove all trade events now (y/n) ? ")
if (option.upper() == "Y"):
cmdToExecute = "ssh -q sa01xewspe01 ~/.setenviron;qtestcsv -c " + inputFilesPath + "/RemoveTrdEvents.csv >" + outputFilesPath + "/MarketStateLog.out"
os.system(cmdToExecute)
option = raw_input("Do you want to add all trade events now (y/n) ? ")
if (option.upper() == "Y"):
cmdToExecute = "ssh -q sa01xewspe01 ~/.setenviron;qtestcsv -c " + inputFilesPath + "/AddTrdEvents.csv >>" + outputFilesPath + "/MarketStateLog.out"
os.system(cmdToExecute)
option = raw_input(
"Do you want to schedule Measurement points now (y/n) ? ")
if (option.upper() == "Y"):
ScheduleMeasurementPoints(preOpenTime)
PrintColor.print_bold("Press enter to continue to main menu...")
response = raw_input()
MainMenu()
def MainMenu():
PrintColor.print_header(
"This will guide you to set up the Load Test and Start it.Choose the option you want to proceed with."
)
PrintColor.print_bold(
"1. Generate Load\n2. Set Reference Price\n3. Set Market Timing \n4. Set Load Start Time\n5. Quit\n"
)
option = int(raw_input('Enter Option:'))
if (option == 1):
GenerateLoad()
elif (option == 2):
SetReferencePrice()
elif (option == 3):
timeToStart = raw_input(
"Enter the time you want to pre-open the market in HH:MM:SS.To skip press \"n\":"
)
if (timeToStart.upper() != "N"):
SetMarketStates(timeToStart)
elif (option == 4):
timeToStart = raw_input(
"Enter the time you want to start the Load in HH:MM:SS or \"now\" for immediate.To skip press \"n\":"
)
if (timeToStart.upper() != "N"):
StartLoad(timeToStart)
elif (option == 5):
sys.exit(0)
else:
os.system("clear")
PrintColor.print_warn("Invalid Option. Please try Again..\n\n")
MainMenu()
def StartLoad(loadStartTime):
sourceFilesPath = os.environ["LT_SOURCE_FILES_PATH"]
inputFilesPath = os.environ["LT_INPUT_FILES_PATH"]
outputFilesPath = os.environ["LT_OUTPUT_FILES_PATH"]
logFile = outputFilesPath + "/StartLoadlog.out"
fpout = open(logFile, "w")
if len(serverList) == 0:
PrintColor.print_error("Server List is empty. First Generate Load..")
return
i = 1
processList = []
for hostname in serverList:
PrintColor.print_info("Going to start load in server:" + hostname)
cmdArguments = sourceFilesPath + "/.set_environ;" + sourceFilesPath + "/FIXRattler.py " + outputFilesPath + "/set" + str(
i) + "/FIXRattlerStart.txt " + loadStartTime
cmdToExecute = "nohup ssh -q " + hostname + " \"" + cmdArguments + "\" &"
#print(cmdToExecute);
os.system(cmdToExecute)
#proc1=subprocess.Popen(['ssh','-q',hostname],stdin=subprocess.PIPE,stdout=fpout,stderr=fpout,SHELL=);
#proc1.stdin.write(cmdArguments);
#PrintColor.print_info("Process Id of process is :"+str(proc1.pid));
i = i + 1
PrintColor.print_bold(
"FIX Load Triggered.Press enter to continue to main menu...")
response = raw_input()
MainMenu()
def GenerateLoad():
PrintColor.print_bold("Generating Load...");
sourceFilesPath=os.environ["LT_SOURCE_FILES_PATH"];
inputFilesPath=os.environ["LT_INPUT_FILES_PATH"];
outputFilesPath=os.environ["LT_OUTPUT_FILES_PATH"];
serverListString="";
shippingFileName=inputFilesPath+"/ShippingFilesList.txt";
cmdToWrite="scp -q "+outputFilesPath+"/set";
fp=open(shippingFileName,"w");
numberOfServers=int(raw_input("Enter the number of Servers From where you want to run X-Stream FIX Load:"));
for i in list(range(numberOfServers)):
serverName=raw_input("Enter server # "+str(i+1)+" : ");
serverList.append(serverName.strip('\n'));
if (i != 0):
serverListString=serverListString+":"+serverName;
else:
serverListString=serverName;
cmdText="ssh -q "+serverName+" mkdir -p "+outputFilesPath+"/set"+str(i+1);
fp.write(cmdText+"\n");
cmdText=cmdToWrite+str(i+1)+"/* "+serverName+":"+outputFilesPath+"/set"+str(i+1);
fp.write(cmdText+"\n");
fp.close();
cmdToExecute=sourceFilesPath+"/generateFIXRattlerConfig.py "+inputFilesPath+"/LoadPattern.txt "+inputFilesPath+"/OrderbookInput.txt "+inputFilesPath+"/AccountInput.txt "+inputFilesPath+"/MemberOrderRatio.txt "+serverListString;
os.system(cmdToExecute);
option=raw_input("Do you want to ship the files now ?(y/n)");
if (option.upper()=='Y'):
fp=open(shippingFileName,"r");
for line in fp:
cmdToExecute=line.strip('\n');
os.system(cmdToExecute);
fp.close();
PrintColor.print_bold("Load Generation Done.. Press enter to continue to main menu...");
response=raw_input();
MainMenu();
def SetReferencePrice():
PrintColor.print_bold("Going to create Reference Price Files");
sourceFilesPath=os.environ["LT_SOURCE_FILES_PATH"];
inputFilesPath=os.environ["LT_INPUT_FILES_PATH"];
cmdToExecute=sourceFilesPath+"/qtestcsv_set_ref_price_cmd_creation.sh "+inputFilesPath+"/OrderbookInput.txt > "+inputFilesPath+"/Temp1.csv";
os.system(cmdToExecute);
cmdToExecute="cat "+inputFilesPath+"/Temp1.csv | sed s/\\\"//g > "+inputFilesPath+"/SetRefPrice.csv";
os.system(cmdToExecute);
cmdToExecute="rm "+inputFilesPath+"/Temp1.csv";
os.system(cmdToExecute);
PrintColor.print_info("Reference Price input file created.Going to set Reference Price");
cmdToExecute="ssh sa01xewspe01 ~/.setenviron;qtestcsv -c "+inputFilesPath+"/SetRefPrice.csv";
os.system(cmdToExecute);
PrintColor.print_bold("Reference Price has been set.. Press enter to continue to main menu...");
response=raw_input();
MainMenu();
def SetReferencePrice():
PrintColor.print_bold("Going to create Reference Price Files")
sourceFilesPath = os.environ["LT_SOURCE_FILES_PATH"]
inputFilesPath = os.environ["LT_INPUT_FILES_PATH"]
cmdToExecute = sourceFilesPath + "/qtestcsv_set_ref_price_cmd_creation.sh " + inputFilesPath + "/OrderbookInput.txt > " + inputFilesPath + "/Temp1.csv"
os.system(cmdToExecute)
cmdToExecute = "cat " + inputFilesPath + "/Temp1.csv | sed s/\\\"//g > " + inputFilesPath + "/SetRefPrice.csv"
os.system(cmdToExecute)
cmdToExecute = "rm " + inputFilesPath + "/Temp1.csv"
os.system(cmdToExecute)
PrintColor.print_info(
"Reference Price input file created.Going to set Reference Price")
cmdToExecute = "ssh sa01xewspe01 ~/.setenviron;qtestcsv -c " + inputFilesPath + "/SetRefPrice.csv"
os.system(cmdToExecute)
PrintColor.print_bold(
"Reference Price has been set.. Press enter to continue to main menu..."
)
response = raw_input()
MainMenu()
def MainMenu():
PrintColor.print_header("This will guide you to set up the Load Test and Start it.Choose the option you want to proceed with.")
PrintColor.print_bold("1. Generate Load\n2. Set Reference Price\n3. Set Market Timing \n4. Set Load Start Time\n5. Quit\n");
option=int(raw_input('Enter Option:'));
if (option == 1):
GenerateLoad();
elif (option == 2):
SetReferencePrice();
elif (option == 3):
timeToStart=raw_input("Enter the time you want to pre-open the market in HH:MM:SS.To skip press \"n\":");
if (timeToStart.upper()!="N"):
SetMarketStates(timeToStart);
elif (option == 4):
timeToStart=raw_input("Enter the time you want to start the Load in HH:MM:SS or \"now\" for immediate.To skip press \"n\":");
if (timeToStart.upper()!="N"):
StartLoad(timeToStart);
elif (option == 5):
sys.exit(0);
else:
os.system("clear");
PrintColor.print_warn("Invalid Option. Please try Again..\n\n");
MainMenu();
def StartLoad(loadStartTime):
sourceFilesPath=os.environ["LT_SOURCE_FILES_PATH"];
inputFilesPath=os.environ["LT_INPUT_FILES_PATH"];
outputFilesPath=os.environ["LT_OUTPUT_FILES_PATH"];
logFile=outputFilesPath+"/StartLoadlog.out";
fpout=open(logFile,"w");
if len(serverList) == 0:
PrintColor.print_error("Server List is empty. First Generate Load..");
return;
i=1;
processList=[];
for hostname in serverList:
PrintColor.print_info("Going to start load in server:"+hostname);
cmdArguments=sourceFilesPath+"/.set_environ;"+sourceFilesPath+"/FIXRattler.py "+outputFilesPath+"/set"+str(i)+"/FIXRattlerStart.txt "+loadStartTime;
cmdToExecute="nohup ssh -q "+hostname+" \""+cmdArguments +"\" &";
#print(cmdToExecute);
os.system(cmdToExecute);
#proc1=subprocess.Popen(['ssh','-q',hostname],stdin=subprocess.PIPE,stdout=fpout,stderr=fpout,SHELL=);
#proc1.stdin.write(cmdArguments);
#PrintColor.print_info("Process Id of process is :"+str(proc1.pid));
i=i+1;
PrintColor.print_bold("FIX Load Triggered.Press enter to continue to main menu...");
response=raw_input();
MainMenu();
class StrategyCore(BfTraderClient):
#gatewayserver=EMPTY_CLASS()
#dataserver=dataserver.bfDataFeed()
reconnect = True #在bftraderclient._tryconnect中添加"client.reconnect=False",用于判断是否需要盘中补数据
clrPrint = PrintColor.Color()
# 策略变量
orderData = {} # 订单
orderFollow = {}
pos = {
'td_long': EMPTY_INT,
'yd_long': EMPTY_INT,
'td_short': EMPTY_INT,
'yd_short': EMPTY_INT
} # 仓位
#frozenPos={'long': EMPTY_INT, 'short': EMPTY_INT,'shtd_long':EMPTY_INT,'shtd_short': EMPTY_INT} #冻结仓位,上交所今仓单独,其他今昨合并
frozenPos = {
DIRECTION_LONG: {
OFFSET_CLOSE: 0,
OFFSET_CLOSETODAY: 0
},
DIRECTION_SHORT: {
OFFSET_CLOSE: 0,
OFFSET_CLOSETODAY: 0
}
}
#冻结仓位的方向与持单方向相反， 空单减仓冻结多单买平未成交部分
bidvol = EMPTY_INT
bidprice = EMPTY_FLOAT
askvol = EMPTY_INT
askprice = EMPTY_FLOAT
lastprice = EMPTY_FLOAT
lastvol = EMPTY_INT
#策略参数,在算法实例中初始化
clientID = EMPTY_STRING
clientMT = [("clientid", clientID)]
symbol = EMPTY_STRING
exchange = EMPTY_STRING
leastBars = EMPTY_INT #计算需要的bar数
period = {
'bfPeriod': EMPTY_INT,
'TALIB_NAME': EMPTY_STRING,
'secondsOfPeriod': EMPTY_INT,
'ticksOfSecond': 2
}
#bfPeriod----------------bf周期:PERIOD_M01,PERIOD_M03,PERIOD_M05,PERIOD_M15,PERIOD_M60,PERIOD_D01,PERIOD_W01
#TALIB_NAME--------------tablib 周期: 1MIN 5MIN 15MIN 60MIN 1D 1W 1M
#secondsOfPeriod=60 -----每周期秒数
#ticksOfSecond=2.0--------tick/秒，用于计算 补数据的条数
offsetNum = EMPTY_INT #每次交易手数
strategyMulti = False #多策略运行于同一合约, 仓位/订单均独立,不与网关同步,仅接收myTaskData
def __init__(self):
BfTraderClient.__init__(self)
self.clientID = "StrategyCore"
self.clientMT = [("clientid", self.clientID)]
self.strategyMulti = False #多策略运行于同一合约, 仓位/订单均独立,不与网关同步,仅接收myTaskData
self.tickHandler = True
self.tradeHandler = True
self.logHandler = True
self.symbol = "rb1610"
self.exchange = "SHFE"
self.period = {
'bfPeriod': PERIOD_M01,
'TALIB_NAME': '1MIN',
'secondsOfPeriod': 60,
'ticksOfSecond': 2
}
self.leastBars = 10
#----------------------------------------------------------------------
#数据补充
def datafeedBarCount(self, count, period):
#print 'count:',count , 'periond:',period
self.bar = dataserver.getBarData(self, count, period)
print self.bar
def datafeedBarFrmDateTime(self, tickDateTime, period):
#处理,补数据时收到新的Tick
#ToDo:datefeed增加获取tick方向后,简化
start = pd.to_datetime(
self.bar.tail(1).index.values[0]) #从最后一个bar的开始取,倒序
end = tickDateTime
temp_bar = dataserver.getTick2BarFrmTo(self, start, end, period)
self.bar = pd.concat([self.bar[:-1], temp_bar])
#----------------------------------------------------------------------
#下单函数
def buy(self, price, volume):
"""买开"""
req = BfSendOrderReq(symbol=self.symbol,
exchange=self.exchange,
price=price,
volume=volume,
priceType=PRICETYPE_LIMITPRICE,
direction=DIRECTION_LONG,
offset=OFFSET_OPEN)
order_open = self.SendOrder(req)
print TR_Direction[req.direction], TR_Offset[
req.offset], req.price, req.volume
self.orderData[order_open.bfOrderId] = order_open
return order_open
def sell(self, price, volume): #返回两个单号
"""卖平"""
# 只有上期所才要考虑平今平昨
order1 = None
order2 = None
td_AvailablePos = self.pos['td_long'] - self.frozenPos[
DIRECTION_SHORT][OFFSET_CLOSETODAY]
if self.exchange == 'SHFE' and td_AvailablePos > 0: #今仓优先平
tdVolume = min(td_AvailablePos, volume)
req = BfSendOrderReq(symbol=self.symbol,
exchange=self.exchange,
price=price,
volume=tdVolume,
priceType=PRICETYPE_LIMITPRICE,
direction=DIRECTION_SHORT,
offset=OFFSET_CLOSETODAY)
order1 = self.SendOrder(req)
print TR_Direction[req.direction], TR_Offset[
req.offset], req.price, req.volume
self.frozenPos[req.direction][req.offset] += tdVolume
self.orderData[order1.bfOrderId] = order1
volume -= tdVolume #更新volume
if volume > 0:
self.frozenPos['long'] += volume
req = BfSendOrderReq(symbol=self.symbol,
exchange=self.exchange,
price=price,
volume=volume,
priceType=PRICETYPE_LIMITPRICE,
direction=DIRECTION_SHORT,
offset=OFFSET_CLOSE)
order2 = self.SendOrder(req)
print TR_Direction[req.direction], TR_Offset[
req.offset], req.price, req.volume
self.frozenPos[req.direction][req.offset] += Volume
self.orderData[order2.bfOrderId] = order2
return order1, order2
def short(self, price, volume):
"""卖开"""
req = BfSendOrderReq(symbol=self.symbol,
exchange=self.exchange,
price=price,
volume=volume,
priceType=PRICETYPE_LIMITPRICE,
direction=DIRECTION_SHORT,
offset=OFFSET_OPEN)
order_open = self.SendOrder(req)
print TR_Direction[req.direction], TR_Offset[
req.offset], req.price, req.volume
self.orderData[order_open.bfOrderId] = order_open
return order_open
def cover(self, price, volume): #返回两个单号
# 只有上期所才要考虑平今平昨
order1 = None
order2 = None
td_AvailablePos = self.pos['td_short'] - self.frozenPos[
DIRECTION_LONG][OFFSET_CLOSETODAY]
if self.exchange == 'SHFE' and td_AvailablePos > 0: #今仓优先平
tdVolume = min(td_AvailablePos, volume)
req = BfSendOrderReq(symbol=self.symbol,
exchange=self.exchange,
price=price,
volume=tdVolume,
priceType=PRICETYPE_LIMITPRICE,
direction=DIRECTION_LONG,
offset=OFFSET_CLOSETODAY)
order1 = self.SendOrder(req)
print TR_Direction[req.direction], TR_Offset[
req.offset], req.price, req.volume
self.frozenPos[req.direction][req.offset] += tdVolume
self.orderData[order1.bfOrderId] = order1
volume -= tdVolume #更新volume
if volume > 0:
req = BfSendOrderReq(symbol=self.symbol,
exchange=self.exchange,
price=price,
volume=volume,
priceType=PRICETYPE_LIMITPRICE,
direction=DIRECTION_LONG,
offset=OFFSET_CLOSE)
order2 = self.SendOrder(req)
print TR_Direction[req.direction], TR_Offset[
req.offset], req.price, req.volume
self.frozenPos[req.direction][req.offset] += Volume
self.orderData[order2.bfOrderId] = order2
return order1, order2
def SP_BK(self, price, volume): #空翻多, 返回三个单号---平今 平昨 开仓
order_close1 = None
order_close2 = None
toltal_pos=self.pos['td_short']+self.pos['yd_short'] \
-self.frozenPos[DIRECTION_LONG][OFFSET_CLOSETODAY]-self.frozenPos[DIRECTION_LONG][OFFSET_CLOSE]
#有反向仓位,先全平
if toltal_pos > 0:
order_close1, order_close2 = self.cover(price, toltal_pos)
order_open = self.buy(price, volume)
return order_close1, order_close2, order_open
def BP_SK(self, price, volume): #多翻空, 返回三个单号---平今 平昨 开仓
order_close1 = None
order_close2 = None
#有反向仓位,先全平
toltal_pos=self.pos['td_long']+self.pos['yd_long'] \
-self.frozenPos[DIRECTION_SHORT][OFFSET_CLOSETODAY]-self.frozenPos[DIRECTION_SHORT][OFFSET_CLOSE]
#有反向仓位,先全平
if toltal_pos > 0:
order_close, order2 = self.sell(price, toltal_pos)
order_open = self.short(price, volume)
return order_close1, order_close2, order_open
#----------------------------------------------------------------------
#定单管理
#参数:orderId 定单号 bfOrderId, price 价差 , seconds 超时秒数, b_After 连续追单
#
def orderMNG_insert(self,
orderId,
price_dif=999999,
seconds=999999,
b_After=False):
self.orderFollow[orderId] = [price_dif, seconds, b_After,
0] #0：撤单成功标志 0未处理;1 已提交撤单;2 撤单成功
#0 临时存放部分成交 的交易量 #测试后简化
def orderMNG_DO(self):
for k, v in self.orderFollow.items():
if k in self.orderData:
order = self.orderData[k]
if type(order) != BfOrderData: break # !=BfSendOrderReq
signNeg = -1 if order.direction == DIRECTION_SHORT else 1
if v[3]==0 and (order.status == STATUS_PARTTRADED or order.status==STATUS_NOTTRADED) and \
( signNeg*(self.lastprice-order.price)>=v[0] or \
(pd.to_datetime(self.ticktime)-pd.to_datetime(order.insertDate+' '+order.insertTime)).total_seconds()>=v[1]):
print u'撤单:', TR_Direction[order.direction], TR_Offset[
order.
offset], order.price, order.totalVolume, ORDER_STATUS[
order.status], order.bfOrderId
req = BfCancelOrderReq(symbol=order.symbol,
exchange=order.exchange,
bfOrderId=order.bfOrderId)
self.CancelOrder(req)
self.orderFollow[k][3] = 1
#if order.status == STATUS_PARTTRADED:
# self.orderFollow[k][4] = max(v[4],order.tradedVolume )#测试后简化:部分成交的撤单tradedVolume返回值
# print order
if order.status == STATUS_CANCELLED and v[2] == 1 and v[3] == 1:
#撤单成功，对价追
#部分成交的剩余量????
print u'**************撤单成功，对价追************************'
volume_after = order.totalVolume - order.tradedVolume
price_after = self.bidprice if order.direction == DIRECTION_SHORT else self.askprice
req = BfSendOrderReq(symbol=order.symbol,
exchange=order.exchange,
price=price_after,
volume=volume_after,
priceType=PRICETYPE_LIMITPRICE,
direction=order.direction,
offset=order.offset)
order_after = self.SendOrder(req)
self.orderData[order_after.bfOrderId] = order_after
self.orderMNG_insert(order_after.bfOrderId, 1, 3,
True) #连续追单
if order.offset == OFFSET_CLOSETODAY or order.offset == OFFSET_CLOSE:
self.frozenPos[order.direction][
order.offset] += volume_after
print u'对价追:', TR_Direction[order.direction], TR_Offset[
order.
offset], price_after, volume_after, order_after.bfOrderId
if order.status == STATUS_ALLTRADED or order.status == STATUS_CANCELLED:
del self.orderFollow[k]
#----------------------------------------------------------------------
#交易信号
def singalOnTick(self):
pass
def singalOnBarOpen(self):
pass
def singalOnBarclose(self):
#raise NotImplementedError
pass
#----------------------------------------------------------------------
def OnStart(self):
print "====================================OnStart================="
self.datafeedBarCount(self.leastBars, self.period)
print 'finish OnInit'
def OnTradeWillBegin(self, response):
print "===============================OnTradeWillBegin"
print response
def OnGotContracts(self, response):
print "==================================OnGotContracts"
print response
#
# save contract
#
req = BfGetContractReq(symbol="*", exchange="*")
resps = self.GwGetContract(req)
for resp in resps:
#print resp
self.InsertContract(resp)
def OnPing(self, response):
#print "OnPing"
#print response
pass
def OnTick(self, tick):
#处理实盘"0" 值tick
start_do_tick = time.clock()
self.bidvol = tick.bidVolume1 if tick.bidVolume1 > 0 else self.bidvol
self.askvol = tick.askVolume1 if tick.askVolume1 > 0 else self.askvol
self.bidprice = tick.bidPrice1 if tick.bidPrice1 > 0 else self.bidprice
self.askprice = tick.askPrice1 if tick.askPrice1 > 0 else self.askprice
self.lastprice = tick.lastPrice if tick.lastPrice > 0 else self.lastprice
self.lastvol = tick.lastVolume if tick.lastVolume > 0 else 0
self.ticktime = tick.tickTime
tickDateTime = pd.to_datetime(tick.actionDate + ' ' + tick.tickTime)
tickPrice = self.lastprice
tickVolume = self.lastvol
self.orderMNG_DO() #定单管理
if self.reconnect == True: #client 中断5秒重连，补数据 更新仓位
print 'Reconnect:get tick from datafeed,and update bar '
self.datafeedBarFrmDateTime(tickDateTime, self.period)
self.reconnect = False
self.tickInbar = 1
if self.strategyMulti == False:
self.QueryPosition() #多策略独立维护仓位,不需要同步
else:
lastbar = self.bar.tail(1)
lastbarDateTime = pd.to_datetime(lastbar.index.values[0])
tickSecondsOfLastbar = (tickDateTime -
lastbarDateTime).total_seconds()
if tickSecondsOfLastbar < self.period['secondsOfPeriod']:
self.tickInbar = self.tickInbar + 1
lastbarOpen = lastbar.open[0]
lastbarHigh = max(lastbar.high[0], tickPrice)
lastbarLow = min(lastbar.low[0], tickPrice)
lastbarClose = tickPrice
lastbarVolume = lastbar.volume[0] + tickVolume
self.bar.iloc[-1] = (lastbarOpen, lastbarHigh, lastbarLow,
lastbarClose, lastbarVolume) #直接修改原始对象
print lastbarDateTime, '', lastbarOpen, '', lastbarHigh, '', lastbarLow, '',
if lastbarClose > self.bidprice:
self.clrPrint.print_red_text_oneline(lastbarClose)
print '', lastbarVolume,
self.clrPrint.print_red_text_oneline(self.lastvol)
else:
self.clrPrint.print_green_text_oneline(lastbarClose)
print '', lastbarVolume,
self.clrPrint.print_green_text_oneline(self.lastvol)
print ' \r',
#计算Tick交易信号
self.singalOnTick()
else:
#new bar
self.tickInbar = 1
#防止bar的开始时间点没有的tick, 若周期内无tick(小节间),则不生成bar,不能使用tickDateTime:作为新bar的开始
newBarDateTime = lastbarDateTime + pd.Timedelta(
seconds=self.period['secondsOfPeriod'] *
int(tickSecondsOfLastbar / self.period['secondsOfPeriod']))
newbar = pd.DataFrame(
[(tickPrice, tickPrice, tickPrice, tickPrice, tickVolume)],
columns=['open', 'high', 'low', 'close', 'volume'],
index=[newBarDateTime])
#上根bar收盘,计算交易信号
self.singalOnBarclose()
self.bar = pd.concat([self.bar, newbar])
print '\n concatbar**********************\n', self.bar.tail(
self.leastBars)
#新bar开盘,计算交易信号
self.singalOnBarOpen()
#监测Tick处理时长
time_dowith_tick = time.clock() - start_do_tick
if time_dowith_tick > 0.3:
self.clrPrint.print_red_text(
"=================time to Do tick=============",
time_dowith_tick)
if time_dowith_tick > 1 / float(self.period['ticksOfSecond']):
self.reconnect = True #重连则从datafeed补tick
def OnError(self, response):
print "====================OnError================"
print response.message.encode("GBK")
def OnLog(self, response):
print "================OnLog=================="
print response.message.encode("GBK")
#--------------------------------------------------------------------------
#仓位数据
def OnTrade(self, tradeData):
isMyData = self.strategyMulti == False or tradeData.bfOrderId in self.orderData #多策略独立维护仓位,不需要同步
if tradeData.symbol == self.symbol and isMyData:
if tradeData.direction == DIRECTION_LONG and tradeData.offset == OFFSET_OPEN:
self.pos['td_long'] += tradeData.volume
if tradeData.direction == DIRECTION_SHORT and tradeData.offset == OFFSET_OPEN:
self.pos['td_short'] += tradeData.volume
if tradeData.direction == DIRECTION_LONG and tradeData.offset == OFFSET_CLOSE:
self.pos['td_short'] -= tradeData.volume
if self.pos['td_short'] < 0: #非上期所,平仓数是昨仓和今仓的和 , 大于昨仓
self.pos['yd_short'] += self.pos['td_short']
self.pos['td_short'] = 0
if tradeData.direction == DIRECTION_SHORT and tradeData.offset == OFFSET_CLOSE:
self.pos['td_long'] -= tradeData.volume
if self.pos['td_long'] < 0: #非上期所,平仓数是昨仓和今仓的和 , 大于昨仓
self.pos['yd_long'] += self.pos['td_long']
self.pos['td_long'] = 0
if tradeData.direction == DIRECTION_LONG and tradeData.offset == OFFSET_CLOSETODAY:
self.pos['td_short'] -= tradeData.volume
if tradeData.direction == DIRECTION_SHORT and tradeData.offset == OFFSET_CLOSETODAY:
self.pos['td_long'] -= tradeData.volume
print u'\n成交回报:',tradeData.symbol,TR_Direction[tradeData.direction], \
TR_Offset[tradeData.offset],tradeData.price,tradeData.volume,tradeData.bfOrderId
self.clrPrint.print_blue_text(self.pos)
def OnOrder(self, orderData):
isMyData = orderData.bfOrderId in self.orderData
if orderData.symbol == self.symbol and isMyData:
self.orderData[orderData.bfOrderId] = orderData
if orderData.status > 1 and orderData.offset == OFFSET_CLOSETODAY or orderData.offset == OFFSET_CLOSE:
freeValume = orderData.totalVolume - orderData.tradedVolume if orderData.status == STATUS_CANCELLED else orderData.tradedVolume
self.frozenPos[orderData.direction][
orderData.offset] -= freeValume
def OnPosition(self, posData):
if self.strategyMulti == True: return #多策略独立维护仓位,不需要同步
if posData.symbol == self.symbol:
print posData
if posData.direction == DIRECTION_LONG:
if posData.ydPosition == 0 and posData.position > 0: #昨仓为0，是今仓数据
self.pos['td_long'] = posData.position
if posData.ydPosition > 0 and posData.position > 0:
self.pos['yd_long'] = posData.ydPosition
if posData.direction == DIRECTION_SHORT:
if posData.ydPosition == 0 and posData.position > 0:
self.pos['td_short'] = posData.position
if posData.ydPosition > 0 and posData.position > 0:
self.pos['yd_short'] = posData.ydPosition
self.clrPrint.print_blue_text(self.pos)
if posData.frozen > 0:
#开仓委托未成交部分,用于冻结保证金???有无postion区别??
print posData
#-----------------------------------------------------------------------
def OnAccount(self, response):
print "OnAccount"
print response
def OnStop(self):
print "=======================================OnStop"
def ScheduleMeasurementPoints(preOpenTime):
PrintColor.print_bold("Going to Schedule Measurement Points");
sourceFilesPath=os.environ["LT_SOURCE_FILES_PATH"];
cmdToExecute="nohup "+sourceFilesPath+"/ScheduleEvents.py "+preOpenTime +" >/dev/null &";
os.system(cmdToExecute);
def ScheduleMeasurementPoints(preOpenTime):
PrintColor.print_bold("Going to Schedule Measurement Points")
sourceFilesPath = os.environ["LT_SOURCE_FILES_PATH"]
cmdToExecute = "nohup " + sourceFilesPath + "/ScheduleEvents.py " + preOpenTime + " >/dev/null &"
os.system(cmdToExecute)