def login():
# 登录行情服务器
user = MyMdApi(instruments=inst,
broker_id=BROKER_ID,
investor_id=INVESTOR_ID,
password=PASSWORD)
user.Create("data")
user.RegisterFront(ADDRESS_MD)
user.Init()
print('行情服务器登录成功')
bars = load_data_from_server(server_base='http://106.14.119.122',
instruments_id=inst[0],
granularity=granularity)
while True:
if Utils.exit_flag:
msg = 'Thread CTPDataCollectEngine say bye-bye'
print(msg)
logger.info(msg=msg)
return
try:
payload = q_depth_market_data.get(timeout=1)
q_depth_market_data.task_done()
instrument_id = payload.InstrumentID
action_day = payload.ActionDay
update_time = payload.UpdateTime.replace(':', '')
last_price = payload.LastPrice
volume = payload.Volume
if volume == 0:
continue
tickToBar(payload, 13)
if not q_bar.empty():
bar = q_bar.get()
bars.append(bar)
high = get_k_line_column(data=bars, depth=20)
low = get_k_line_column(data=bars, ohlc='low')
ma_5 = ma(elements=high, step=5)
ma_10 = ma(elements=high, step=10)
print(high)
print(ma_5)
print(ma_10)
cu = cross(ma_5, ma_10)
print(cu)
far = be_apart_from(cu)
print(far)
except queue.Empty as e:
pass
def dingdangNo6():
st = time.time()
lastsig = ''
initFund = 500000
fundNow = initFund
fundTemp = fundNow
pp = 0
fundList = list()
initFundReal = 500000
fundNowReal = initFundReal
fundTempReal = fundNowReal
sigAllReal = list()
PPReal = 0
fundListReal = list()
skprofitReal = 0
bkprofitReal = 0
profitlist = []
losslist = []
Signals = list()
skprofit = 0
bkprofit = 0
bkloss = 0
skloss = 0
feeRatio = 0.0065
instMultifier = 10
signalslist = list()
while True:
if not q_depth_market_data.empty():
tick = q_depth_market_data.get()
tickToBar(tick, granularity)
# dayopen = tick.OpenPrice
# dayhigh = tick.HighestPrice
# daylow = tick.LowestPrice
# dayavp = int(tick.AveragePrice / 10)
# BB = (tick.LastPrice - daylow) / (dayhigh - daylow) if dayhigh != daylow else 0.5
# siglast = min(be_apart_from(buysigdetail), be_apart_from(sellsigdetail))
# quote_info = "合约：{0},当前价格:{price},时间:{ttime},日内振幅：{1},价格位置：{2} 做多信号：{3},做空信号：{4}"
# # print quote_info.format(tick.InstrumentID,dayhigh - daylow,BB, buysigdetail.count(True),sellsigdetail.count(True), price=tick.LastPrice, ttime = tick.UpdateTime)
# quote_info1 = "合约：{instid},日内振幅：{zhenfu},价格位置：{BB:.3f} 做多信号：{buynum},做空信号：{sellnum},信号距离:{siglast}"
# info= {'instid': tick.InstrumentID,
# 'zhenfu' : dayhigh - daylow,
# 'buynum' : buysigdetail.count(True),
# 'sellnum' : sellsigdetail.count(True),
# 'BB':BB,
# 'siglast': siglast}
# # print quote_info1.format(**info)
# knum = len(H)
# signalall = buysigdetail.count(True)
# avsigp = knum / signalall
# buysigprice = C[len(C) - be_apart_from(buysigdetail)]
# sellsigprice = C[len(C) - be_apart_from(sellsigdetail)]
# sellsigprice1 = C[-1] if sellsigdetail[-1] else 0 # 另外一种方法。
#
# lastsig = 'SK' if be_apart_from(buysigdetail) > be_apart_from(sellsigdetail) else 'BK'
if not q_signals.empty():
lastsigdict = q_signals.get()
allSignal.append(lastsigdict)
print(lastsigdict)
# O = get_k_line_column(bars, inst, granularity, ohlc='open')
# H = get_k_line_column(bars, inst, granularity, ohlc='high')
# L = get_k_line_column(bars, inst, granularity, ohlc='low')
# C = get_k_line_column(bars, inst, granularity, ohlc='close')
#
# lastk = get_last_k_line(bars, 'rb1905', 780)
# print lastk
#
# uperband = HHV(H, 23)
# lowerband = LLV(L, 23)
# dingdangline = MID(uperband, lowerband)
# signalList = cross(C, dingdangline)
# buysigdetail = CROSS(C, dingdangline)
# sellsigdetail = CROSS(dingdangline, C)
#
# knum = len(H)
#
# signalall = buysigdetail.count(True)
#
# avsigp = knum / signalall if signalall > 0 else knum
#
# # print(buysigdetail.count(True))
# # print(sellsigdetail.count(True))
# print u'叮 当: ', dingdangline[(knum - avsigp):]
# print u'收盘价: ', C[(knum - avsigp):]
# # print('buy signal:', avsigp, buysigdetail[(knum - avsigp):])
# # print('sell signal:', avsigp, sellsigdetail[(knum - avsigp):])
if not q_bar.empty():
bar = q_bar.get()
bars[barinterval].append(bar)
# with open(bardatafile, 'a') as f:
# f.writelines(json.dumps(bar, ensure_ascii=False) + '\n')
# print len(bars[barinterval])
ed = time.time()
lastk = get_last_k_line(bars, inst, granularity)
print(lastk, len(bars[barinterval]), ed-st)
O = get_k_line_column(bars, inst, granularity, ohlc='open')
H = get_k_line_column(bars, inst, granularity, ohlc='high')
L = get_k_line_column(bars, inst, granularity, ohlc='low')
C = get_k_line_column(bars, inst, granularity, ohlc='close')
dt = lastk['date_time']
HH = H[-50:]
LL = L[-50:]
CC = C[-50:]
uperband = HHV(HH, 23)
lowerband = LLV(LL, 23)
dingdangline = MID(uperband, lowerband)
if cross2(C[-2:], dingdangline[-2:]):
signalslist.append('bk')
elif cross2(dingdangline[-2:], C[-2:], ):
signalslist.append('sk')
else:
signalslist.append(None)
signalList = cross(CC, dingdangline)
buysigdetail = CROSS(CC, dingdangline)
sellsigdetail = CROSS(dingdangline, CC)
knum = len(H)
signalall = signalslist.count('bk') + signalslist.count('sk') + signalslist.count('bp') + signalslist.count(
'sp')
# signalall1 = buysigdetail.count(True) + sellsigdetail.count(True)
#
# avsigp = knum / signalall if signalall > 0 else knum
# print('buysig all:',buysigdetail.count(True))
# print('sellsig all:', sellsigdetail.count(True))
# print('buy signal:', avsigp, buysigdetail[(knum - avsigp):])
# print('sell signal:', avsigp, sellsigdetail[(knum - avsigp):])
# print min(be_apart_from(buysigdetail), be_apart_from(sellsigdetail))
# print be_apart_from(sellsigdetail)
# pp= getPositionRatio(buysigdetail)
if buysigdetail[-1]:
fundTemp += skprofit * pp * instMultifier - (pp * instMultifier * C[-1] * 1.11 / 10000) * 2
fundratio = getPositionRatio(sellsigdetail)
fundToUse = fundratio * fundTemp
unitPrice = C[-1]*10*0.15
pp = int(fundToUse/unitPrice)
if skprofit >0:
profitlist.append(skprofit)
else:
losslist.append(skprofit)
bkprofits = []
signal = {'date_time': dt, 'signaltype': 'BK', 'signalprice': C[-1], 'pos': pp}
q_signals.put(signal)
Signals.append(signal)
# with open('allsignal.json', 'a') as f:
# f.writelines(json.dumps(signal, ensure_ascii=False) + '\n')
order_price = C[-1]
# td.PrepareOrder(tick.InstrumentID, b, k, pp, order_price)
# log.info(log.printfNow() + u'下多单:' + str(pp) + ',orderprice:'+str(order_price))
print('buy order issued.')
lastsig = 'BK'
buysigprice = C[-1]
print('buysigprice', buysigprice)
if sellsigdetail[-1]:
fundTemp += bkprofit * pp * instMultifier - (pp * instMultifier * C[-1] * 1.11 / 10000) * 2
fundratio = getPositionRatio(buysigdetail)
fundToUse = fundTemp * fundratio
unitPrice = C[-1] * 10 * 0.15
pp = int(fundToUse / unitPrice)
if bkprofit >0:
profitlist.append(bkprofit)
else:
losslist.append(bkprofit)
skprofits = []
signal = {'date_time': dt, 'signaltype': 'SK', 'signalprice': C[-1], 'pos': pp}
q_signals.put(signal)
Signals.append(signal)
# with open('allsignal.json', 'a') as f:
# f.writelines(json.dumps(signal, ensure_ascii=False) + '\n')
# order_price = tick.LastPrice
#
# # TODO 暂时没有处理平昨仓和今仓,待处理... 应该有个完整的策略持仓管理模块
#
# td.PrepareOrder(tick.InstrumentID, s, p, pp, order_price)
#
# log.info(log.printfNow() + u'平多单:' + str(pp) + ',orderprice:'+str(order_price))
# print('close order issued...')
lastsig = 'SK'
sellsigprice = C[-1]
print('sellsigprice', sellsigprice)
if lastsig == 'BK':
# print tick.LastPrice, buysigprice
bkprofit = C[-1] - buysigprice
print('多单盈利价差', bkprofit)
bkprofits.append(bkprofit)
bkpmax = max(bkprofits) if bkprofits else 0
bkpmin = min(bkprofits) if bkprofits else 0
print('当前信号:', lastsig, '信号价:', buysigprice, '当前价: ', C[
-1], '仓位', pp, '盈利价差:', bkprofit, '最大:', bkpmax, '最小', bkpmin, '持续周期:', be_apart_from(
buysigdetail), '理论持仓', pp)
sigprofit_info.append([lastsig, bkpmax, bkpmin])
# print('buy signal:', avsigp, buysigdetail[(knum - avsigp):], pp)
if len(bkprofits) >= 2:
fundNow = fundTemp + (bkprofits[-1]-bkprofits[-2]) * pp * instMultifier
elif lastsig == 'SK':
skprofit = sellsigprice - C[-1]
skprofits.append(skprofit)
skpmax = max(skprofits) if skprofits else 0
skpmin = min(skprofits) if skprofits else 0
# print u'当前信号:', lastsig, u'信号价：', sellsigprice, u'当前价: ', C[
# -1], u'盈利价差:', skprofit, u'最大:', skpmax, u'最小', skpmin, u'持续周期:', be_apart_from(sellsigdetail)
print('当前信号:', lastsig, '信号价:', sellsigprice, '当前价: ', C[
-1], '仓位', pp, '盈利价差:', skprofit, '最大:', skpmax, '最小', skpmin, '持续周期:', be_apart_from(
buysigdetail), '理论持仓', pp)
sigprofit_info.append([lastsig, max(skprofits), min(skprofits)])
# print('sell signal:', avsigp, sellsigdetail[(knum - avsigp):], pp)
if len(skprofits) >= 2:
fundNow = fundTemp + (skprofits[-1]-skprofits[-2]) * pp * instMultifier
fundList.append(fundNow)
fundListMa = MA(fundList, 23)
getinlist = CROSS(fundList, fundListMa)
getoutlist = CROSS(fundListMa, fundList)
# print getinlist.count(True)
if getinlist[-1]:
sigReal = {'date_time':dt, 'signaltype':signal['signaltype'], 'signalprice': C[-1], 'pos':signal['pos']}
# if len(sigAllReal)>1 and sigAllReal[-1]['signaltype']==sigReal['signalprice']:
# continue
# else:
sigAllReal.append(sigReal)
elif getoutlist[-1]:
sigReal = {'date_time': dt, 'signaltype': signal['signaltype'], 'signalprice': C[-1],
'pos': signal['pos']}
# if len(sigAllReal)>1 and sigAllReal[-1]['signaltype']==sigReal['signalprice']:
# continue
# else:
sigAllReal.append(sigReal)
sigNow = sigAllReal[-1]
sigNow1 = sigReal
if sigNow['signaltype'] == 'BK':
profitReal = C[-1] - sigNow['signalprice']
if sigNow['signaltype'] == 'SK':
profitReal = sigNow['signalprice'] - C[-1]
fundTempReal += profitReal * sigNow['pos'] * instMultifier - (pp * instMultifier * C[-1] * 1.11 / 10000) * 2
print(max(fundList), min(fundList))
print('初始权益：', initFund, '策略当前权益: ', fundNow, '账号1权益', fundTempReal)
td.Init()
time.sleep(60)
if not q_depth_market_data.empty():
tick = q_depth_market_data.get()
tickToBar(tick, granularity)
dayopen = tick.OpenPrice
dayhigh = tick.HighestPrice
daylow = tick.LowestPrice
dayavp = int(tick.AveragePrice / 10)
BB = (tick.LastPrice - daylow) / (dayhigh -
daylow) if dayhigh != daylow else 0.5
siglast = min(be_apart_from(buysigdetail),
be_apart_from(sellsigdetail))
quote_info = "合约：{0},当前价格:{price},时间:{ttime},日内振幅：{1},价格位置：{2} 做多信号：{3},做空信号：{4}"
print(
quote_info.format(tick.InstrumentID,
dayhigh - daylow,
BB,
buysigdetail.count(True),
sellsigdetail.count(True),
price=tick.LastPrice,
ttime=tick.UpdateTime))
quote_info1 = "合约：{instid},日内振幅：{zhenfu},价格位置：{BB:.3f} 做多信号：{buynum},做空信号：{sellnum},信号距离:{siglast}"
info = {
'instid': tick.InstrumentID,
def dingdangno6bksp(md, td, instid, instrumentid):
while True:
time.sleep(0.3)
if not md.q_depth_market_data.empty():
tick = q_depth_market_data.get()
tickToBar(tick, granularity)
dayopen = tick.OpenPrice
dayhigh = tick.HighestPrice
daylow = tick.LowestPrice
dayavp = int(tick.AveragePrice / 10)
BB = (tick.LastPrice -
daylow) / (dayhigh - daylow) if dayhigh != daylow else 0.5
siglast = min(be_apart_from(buysigdetail),
be_apart_from(sellsigdetail))
quote_info = "合约：{0},当前价格:{price},时间:{ttime},日内振幅：{1},价格位置：{2} 做多信号：{3},做空信号：{4}"
print(
quote_info.format(tick.InstrumentID,
dayhigh - daylow,
BB,
buysigdetail.count(True),
sellsigdetail.count(True),
price=tick.LastPrice,
ttime=tick.UpdateTime))
quote_info1 = "合约：{instid},日内振幅：{zhenfu},价格位置：{BB:.3f} 做多信号：{buynum},做空信号：{sellnum},信号距离:{siglast}"
info = {
'instid': tick.InstrumentID,
'zhenfu': dayhigh - daylow,
'buynum': buysigdetail.count(True),
'sellnum': sellsigdetail.count(True),
'BB': BB,
'siglast': siglast
}
print(quote_info1.format(**info))
knum = len(H)
signalall = buysigdetail.count(True)
avsigp = knum / signalall
# sigsum2 = buysigdetail[(knum - avsigp):-2].count(True) + sellsigdetail[(knum - avsigp):-2].count(True)
# sigsum4 = sigsum2 * 2
# sigsum5 = sigsum4 if sellsigdetail[-1] or buysigdetail[-1] else 0
#
# pp = min((sigsum5 + 1), 8)
buysigprice = C[len(C) - be_apart_from(buysigdetail)]
sellsigprice = C[len(C) - be_apart_from(sellsigdetail)]
sellsigprice1 = C[-1] if sellsigdetail[-1] else 0 # 另外一种方法。
lastsig = 'SK' if be_apart_from(buysigdetail) > be_apart_from(
sellsigdetail) else 'BK'
# if buysigdetail[-1] or sellsigdetail[-1]:
# knum = len(H)
# signalall = buysigdetail.count(True)
# avsigp = knum / signalall
# sigsum2 = buysigdetail[(knum - avsigp):-2].count(True) + sellsigdetail[(knum - avsigp):-2].count(True)
# sigsum3 = sigsum2 * 2
#
# pp = min((sigsum3 + 1), 8)
# posratio.append(pp)
if lastsig == 'BK':
bkprofit = tick.LastPrice - buysigprice
bkprofits.append(bkprofit)
bkpmax = max(bkprofits) if bkprofits else 0
bkpmin = min(bkprofits) if bkprofits else 0
print(INVESTOR_ID, '当前信号:', lastsig, '信号价:', buysigprice,
tick.LastPrice, '盈利价差:', bkprofit, '最大:', bkpmax, '最小',
bkpmin, '持续周期:', be_apart_from(buysigdetail), '理论持仓', pp)
sigprofit_info.append([lastsig, bkpmax, bkpmin])
print(('buy signal:', avsigp, buysigdetail[(knum - avsigp):],
pp))
elif lastsig == 'SK':
skprofit = sellsigprice - tick.LastPrice
skprofits.append(skprofit)
skpmax = max(skprofits) if skprofits else 0
skpmin = min(skprofits) if skprofits else 0
print('当前信号:', lastsig, '信号价：', sellsigprice, sellsigprice1,
tick.LastPrice, '盈利价差:', skprofit, '最大:', skpmax, '最小',
skpmin, '持续周期:', be_apart_from(sellsigdetail))
sigprofit_info.append(
[lastsig, max(skprofits),
min(skprofits)])
print(('sell signal:', avsigp, sellsigdetail[(knum - avsigp):],
pp))
# print tick.InstrumentID, dayhigh - daylow, BB, buysigdetail.count(True), sellsigdetail.count(True), min(
# be_apart_from(buysigdetail), be_apart_from(sellsigdetail))
if not q_signals.empty():
lastsig = q_signals.get()
print(lastsig)
O = get_k_line_column(bars, inst, granularity, ohlc='open')
H = get_k_line_column(bars, inst, granularity, ohlc='high')
L = get_k_line_column(bars, inst, granularity, ohlc='low')
C = get_k_line_column(bars, inst, granularity, ohlc='close')
lastk = get_last_k_line(bars, 'rb1905', 780)
print(lastk)
uperband = HHV(H, 23)
lowerband = LLV(L, 23)
dingdangline = MID(uperband, lowerband)
signalList = cross(C, dingdangline)
buysigdetail = CROSS(C, dingdangline)
sellsigdetail = CROSS(dingdangline, C)
knum = len(H)
signalall = buysigdetail.count(True)
avsigp = knum / signalall
# print(buysigdetail.count(True))
# print(sellsigdetail.count(True))
print('叮 当: ', dingdangline[(knum - avsigp):])
print('收盘价: ', C[(knum - avsigp):])
print(('buy signal:', avsigp, buysigdetail[(knum - avsigp):]))
print(('sell signal:', avsigp, sellsigdetail[(knum - avsigp):]))
if not q_bar.empty():
bar = q_bar.get()
bars[barinterval].append(bar)
with open(bardatafile, 'a') as f:
f.writelines(json.dumps(bar, ensure_ascii=False) + '\n')
print(len(bars[barinterval]))
# bar_s = dict()
# barss = load_data_from_server(server_base=serverport, instruments_id=inst, granularity=granularity)
# barinterval = inst + '_' + str(granularity)
# bar_s[barinterval] = barss
# print len(bar_s[barinterval])
lastk = get_last_k_line(bars, 'rb1905', 780)
print(lastk)
# O30 = get_k_line_column(bars, inst, 300, ohlc='open')
O = get_k_line_column(bars, inst, granularity, ohlc='open')
H = get_k_line_column(bars, inst, granularity, ohlc='high')
L = get_k_line_column(bars, inst, granularity, ohlc='low')
C = get_k_line_column(bars, inst, granularity, ohlc='close')
uperband = HHV(H, 23)
lowerband = LLV(L, 23)
dingdangline = MID(uperband, lowerband)
signalList = cross(C, dingdangline)
buysigdetail = CROSS(C, dingdangline)
sellsigdetail = CROSS(dingdangline, C)
knum = len(H)
signalall = buysigdetail.count(True)
avsigp = knum / signalall
# print(buysigdetail.count(True))
# print(sellsigdetail.count(True))
print(('buy signal:', avsigp, buysigdetail[(knum - avsigp):]))
print(('sell signal:', avsigp, sellsigdetail[(knum - avsigp):]))
print(
min(be_apart_from(buysigdetail), be_apart_from(sellsigdetail)))
# print be_apart_from(sellsigdetail)
# if buysigdetail[-1] or sellsigdetail[-1]: # 发出交易信号并确认，计算下单仓位
# knum = len(H)
# signalall = buysigdetail.count(True)
# avsigp = knum / signalall
# sigsum2 = buysigdetail[(knum - avsigp):-2].count(True) + sellsigdetail[(knum - avsigp):-2].count(True)
# sigsum3 = sigsum2 * 2
#
# pp = min((sigsum3 + 1), 8)
# posratio.append(pp)
if buysigdetail[-1]:
bkprofits = []
signal = {
'date_time': time.time(),
'signaltype': 'BK',
'signalprice': tick.LastPrice
}
q_signals.put(signal)
knum = len(H)
signalall = buysigdetail.count(True)
avsigp = knum / signalall
sigsum2 = buysigdetail[(knum - avsigp):-2].count(
True) + sellsigdetail[(knum - avsigp):-2].count(True)
sigsum3 = sigsum2 * 2
pp = min((sigsum3 + 1), 8)
order_price = tick.LastPrice
td.PrepareOrder(tick.InstrumentID, b, k, pp, order_price)
if sellsigdetail[-1]:
skprofits = []
signal = {
'date_time': time.time(),
'signaltype': 'SK',
'signalprice': tick.LastPrice
}
q_signals.put(signal)
order_price = tick.LastPrice
# TODO 暂时没有处理平昨仓和今仓,待处理... 应该有个完整的策略持仓管理模块
if bkprofit > 0:
td.PrepareOrder(tick.InstrumentID, s, p, pp, order_price)
# spk
sellcount = 0
down_trading_flag = False
def dingdangNo6():
lastsig = ''
initFund = 20000
fundNow = 0
skprofit = 0
bkprofit = 0
initFund = 20000
feeRatio = 0.0065
instMultifier = 10
signalslist = list()
while True:
if not q_depth_market_data.empty():
tick = q_depth_market_data.get()
tickToBar(tick, granularity)
# dayopen = tick.OpenPrice
# dayhigh = tick.HighestPrice
# daylow = tick.LowestPrice
# dayavp = int(tick.AveragePrice / 10)
# BB = (tick.LastPrice - daylow) / (dayhigh - daylow) if dayhigh != daylow else 0.5
# siglast = min(be_apart_from(buysigdetail), be_apart_from(sellsigdetail))
# quote_info = "合约：{0},当前价格:{price},时间:{ttime},日内振幅：{1},价格位置：{2} 做多信号：{3},做空信号：{4}"
# # print quote_info.format(tick.InstrumentID,dayhigh - daylow,BB, buysigdetail.count(True),sellsigdetail.count(True), price=tick.LastPrice, ttime = tick.UpdateTime)
# quote_info1 = "合约：{instid},日内振幅：{zhenfu},价格位置：{BB:.3f} 做多信号：{buynum},做空信号：{sellnum},信号距离:{siglast}"
# info= {'instid': tick.InstrumentID,
# 'zhenfu' : dayhigh - daylow,
# 'buynum' : buysigdetail.count(True),
# 'sellnum' : sellsigdetail.count(True),
# 'BB':BB,
# 'siglast': siglast}
# # print quote_info1.format(**info)
# knum = len(H)
# signalall = buysigdetail.count(True)
#
# avsigp = knum / signalall
#
#
# buysigprice = C[len(C) - be_apart_from(buysigdetail)]
# sellsigprice = C[len(C) - be_apart_from(sellsigdetail)]
#
# sellsigprice1 = C[-1] if sellsigdetail[-1] else 0 # 另外一种方法。
#
# lastsig = 'SK' if be_apart_from(buysigdetail) > be_apart_from(sellsigdetail) else 'BK'
#
#
if not q_signals.empty():
lastsigdict = q_signals.get()
print(lastsigdict)
# O = get_k_line_column(bars, inst, granularity, ohlc='open')
# H = get_k_line_column(bars, inst, granularity, ohlc='high')
# L = get_k_line_column(bars, inst, granularity, ohlc='low')
# C = get_k_line_column(bars, inst, granularity, ohlc='close')
#
# lastk = get_last_k_line(bars, 'rb1905', 780)
# print lastk
#
# uperband = HHV(H, 23)
# lowerband = LLV(L, 23)
# dingdangline = MID(uperband, lowerband)
# signalList = cross(C, dingdangline)
# buysigdetail = CROSS(C, dingdangline)
# sellsigdetail = CROSS(dingdangline, C)
#
# knum = len(H)
#
# signalall = buysigdetail.count(True)
#
# avsigp = knum / signalall if signalall > 0 else knum
#
# # print(buysigdetail.count(True))
# # print(sellsigdetail.count(True))
# print u'叮 当: ', dingdangline[(knum - avsigp):]
# print u'收盘价: ', C[(knum - avsigp):]
# # print('buy signal:', avsigp, buysigdetail[(knum - avsigp):])
# # print('sell signal:', avsigp, sellsigdetail[(knum - avsigp):])
if not q_bar.empty():
bar = q_bar.get()
bars[barinterval].append(bar)
# with open(bardatafile, 'a') as f:
# f.writelines(json.dumps(bar, ensure_ascii=False) + '\n')
print(len(bars[barinterval]))
lastk = get_last_k_line(bars, 'rb1905', 780)
print(lastk)
# O30 = get_k_line_column(bars, inst, 300, ohlc='open')
O = get_k_line_column(bars, inst, granularity, ohlc='open')
H = get_k_line_column(bars, inst, granularity, ohlc='high')
L = get_k_line_column(bars, inst, granularity, ohlc='low')
C = get_k_line_column(bars, inst, granularity, ohlc='close')
uperband = HHV(H, 23)
lowerband = LLV(L, 23)
dingdangline = MID(uperband, lowerband)
if cross2(C[-2:], dingdangline[-2:]):
signalslist.append('bk')
elif cross2(
dingdangline[-2:],
C[-2:],
):
signalslist.append('sk')
else:
signalslist.append(None)
signalList = cross(C, dingdangline)
buysigdetail = CROSS(C, dingdangline)
sellsigdetail = CROSS(dingdangline, C)
knum = len(H)
signalall = signalslist.count('bk') + signalslist.count(
'sk') + signalslist.count('bp') + signalslist.count('sp')
signalall1 = buysigdetail.count(True) + sellsigdetail.count(True)
avsigp = knum / signalall if signalall > 0 else knum
print(('buysig all:', buysigdetail.count(True)))
print(('sellsig all:', sellsigdetail.count(True)))
print(('buy signal:', avsigp, buysigdetail[(knum - avsigp):]))
print(('sell signal:', avsigp, sellsigdetail[(knum - avsigp):]))
# print min(be_apart_from(buysigdetail), be_apart_from(sellsigdetail))
# print be_apart_from(sellsigdetail)
# pp= getPositionRatio(buysigdetail)
if buysigdetail[-1]:
pp = getPositionRatio(sellsigdetail)
initFund += skprofit * pp * instMultifier - (
pp * instMultifier * tick.LastPrice / 10000) * 2
bkprofits = []
signal = {
'date_time': time.time(),
'signaltype': 'BK',
'signalprice': tick.LastPrice
}
q_signals.put(signal)
knum = len(H)
signalall = buysigdetail.count(True)
avsigp = knum / signalall
sigsum2 = buysigdetail[(knum - avsigp):-2].count(
True) + sellsigdetail[(knum - avsigp):-2].count(True)
sigsum3 = sigsum2 * 2
pp = min((sigsum3 + 1), 8)
order_price = tick.LastPrice
# td.PrepareOrder(tick.InstrumentID, b, k, pp, order_price)
# log.info(log.printfNow() + u'下多单:' + str(pp) + ',orderprice:'+str(order_price))
print('buy order issued.')
lastsig = 'BK'
buysigprice = tick.LastPrice
print('buysigprice', buysigprice)
if sellsigdetail[-1]:
pp = getPositionRatio(buysigdetail)
initFund += bkprofit * pp * instMultifier - (
pp * instMultifier * tick.LastPrice / 10000) * 2
skprofits = []
signal = {
'date_time': time.time(),
'signaltype': 'SK',
'signalprice': tick.LastPrice
}
q_signals.put(signal)
# order_price = tick.LastPrice
#
# # TODO 暂时没有处理平昨仓和今仓,待处理... 应该有个完整的策略持仓管理模块
#
# td.PrepareOrder(tick.InstrumentID, s, p, pp, order_price)
#
# log.info(log.printfNow() + u'平多单:' + str(pp) + ',orderprice:'+str(order_price))
# print('close order issued...')
lastsig = 'SK'
sellsigprice = tick.LastPrice
print('sellsigprice', sellsigprice)
if lastsig == 'BK':
print(tick.LastPrice, buysigprice)
bkprofit = tick.LastPrice - buysigprice
print(bkprofit)
bkprofits.append(bkprofit)
bkpmax = max(bkprofits) if bkprofits else 0
bkpmin = min(bkprofits) if bkprofits else 0
print('当前信号:', lastsig, '信号价:', buysigprice, tick.LastPrice,
'盈利价差:', bkprofit, '最大:', bkpmax, '最小', bkpmin, '持续周期:',
be_apart_from(buysigdetail), '理论持仓', pp)
sigprofit_info.append([lastsig, bkpmax, bkpmin])
# print('buy signal:', avsigp, buysigdetail[(knum - avsigp):], pp)
fundNow = initFund + bkprofit * pp * instMultifier
elif lastsig == 'SK':
skprofit = sellsigprice - tick.LastPrice
skprofits.append(skprofit)
skpmax = max(skprofits) if skprofits else 0
skpmin = min(skprofits) if skprofits else 0
print('当前信号:', lastsig, '信号价：', sellsigprice, sellsigprice,
tick.LastPrice, '盈利价差:', skprofit, '最大:', skpmax, '最小',
skpmin, '持续周期:', be_apart_from(sellsigdetail))
sigprofit_info.append(
[lastsig, max(skprofits),
min(skprofits)])
print(('sell signal:', avsigp, sellsigdetail[(knum - avsigp):],
pp))
fundNow = initFund + skprofit * pp * instMultifier
print('初始权益：', initFund, '策略当前权益: ', fundNow)
def login():
# 登录行情服务器
user = MyMdApi(instruments=inst, broker_id=BROKER_ID, investor_id=INVESTOR_ID, password=PASSWORD)
user.Create("data")
user.RegisterFront(ADDR_MD)
user.Init()
print('行情服务器登录成功')
while True:
if Utils.exit_flag:
msg = 'Thread CTPDataCollectEngine say bye-bye'
print(msg)
logger.info(msg=msg)
return
try:
payload = q_depth_market_data.get(timeout=1)
print(payload)
q_depth_market_data.task_done()
instrument_id = payload.InstrumentID
action_day = payload.ActionDay
update_time = payload.UpdateTime.replace(':', '')
last_price = payload.LastPrice
volume = payload.Volume
if volume == 0:
continue
if update_time.find('.') != -1:
dt = datetime.strptime(' '.join([action_day, update_time]), "%Y%m%d %H%M%S.%f")
timestamp = time.mktime(dt.timetuple()) + (dt.microsecond / 1e6)
else:
timestamp = int(time.mktime(time.strptime(' '.join([action_day, update_time]), "%Y%m%d %H%M%S")))
date_time = time.strftime("%Y-%m-%d %H:%M:%S", time.localtime(timestamp))
ohlc_key = generate_ohlc_key(instrument_id=instrument_id, granularity=granularity, timestamp=timestamp)
if ohlc_key not in nest:
nest[ohlc_key] = {
'date_time': date_time,
'last_timestamp': timestamp,
'high': last_price,
'low': last_price,
'close': last_price,
'open': last_price
}
nest[ohlc_key]['last_timestamp'] = timestamp
nest[ohlc_key]['date_time'] = date_time
nest[ohlc_key]['close'] = last_price
if last_price > decimal.Decimal(nest[ohlc_key]['high']):
nest[ohlc_key]['high'] = last_price
elif last_price < decimal.Decimal(nest[ohlc_key]['low']):
nest[ohlc_key]['low'] = last_price
if nest.__len__() > 1:
for k, v in list(nest.items()):
if k == ohlc_key:
continue
data.append(nest[k]) #
del nest[k]
high = get_k_line_column(data=data, depth=20)
ma_5 = ma(elements=high, step=5)
ma_10 = ma(elements=high, step=10)
# print high
# print ma_5
# print ma_10
cu = cross(ma_5, ma_10)
print(cu)
far = be_apart_from(cu)
print(far)
print(nest)
except queue.Empty as e:
pass
td.Init()
time.sleep(60)
if not q_depth_market_data.empty():
tick = q_depth_market_data.get()
tickToBar(tick, granularity)
dayopen = tick.OpenPrice
dayhigh = tick.HighestPrice
daylow = tick.LowestPrice
dayavp = int(tick.AveragePrice / 10)
BB = (tick.LastPrice - daylow) / (dayhigh - daylow) if dayhigh != daylow else 0.5
siglast = min(be_apart_from(buysigdetail), be_apart_from(sellsigdetail))
quote_info = "合约：{0},当前价格:{price},时间:{ttime},日内振幅：{1},价格位置：{2} 做多信号：{3},做空信号：{4}"
print(quote_info.format(tick.InstrumentID,dayhigh - daylow,BB, buysigdetail.count(True),sellsigdetail.count(True), price=tick.LastPrice, ttime = tick.UpdateTime))
quote_info1 = "合约：{instid},日内振幅：{zhenfu},价格位置：{BB:.3f} 做多信号：{buynum},做空信号：{sellnum},信号距离:{siglast}"
info= {'instid': tick.InstrumentID,
'zhenfu' : dayhigh - daylow,
'buynum' : buysigdetail.count(True),
'sellnum' : sellsigdetail.count(True),
'BB':BB,
'siglast': siglast}
print(quote_info1.format(**info))
knum = len(H)
signalall = buysigdetail.count(True)
