def GetDataAndBars(self):
""""""
stra = self.stra
orders = stra.Orders
# orders = [{"Direction": 0, "DateTime": "20161019 14:00:00", "Price": 2300},
# # {"Direction":1,"DateTime":"20161019 09:00:00","Price":2400}]
orders_json = []
for i in range(0, len(orders)):
# 遇到diction=Diction.Buy转换后:diction:<Diction.Buy:1> 后面报错
# orders_str.append(ord.__dict__)
ord = orders[i]
orders_json.append({"DateTime": ord.DateTime.replace('-', ''), "Direction": (0 if ord.Direction == DirectType.Buy else 1), "Offset": 0 if ord.Offset == OffsetType.Open else 1, "Price": ord.Price})
it = 'year'
for case in switch(stra.IntervalType):
if case(IntervalType.Minute):
it = 'min'
break
if case(IntervalType.Hour):
it = 'hour'
break
if case(IntervalType.Day):
it = 'day'
break
if case(IntervalType.Month):
it = 'month'
break
data_req = {
'instrument': stra.Instrument,
'begin': stra.BeginDate,
'end': stra.EndDate,
'interval': stra.Interval,
'intervalType': it,
}
indexes_json = []
for key, values in stra.IndexDict.items():
array = []
for value in values:
array.append(value)
indexes_json.append({'name': key, 'array': array})
bars_json = []
for bar in stra.Bars:
bars_json.append({"Open": bar.O, "High": bar.H, "Low": bar.L, "Close": bar.C, "Date": bar.D})
report_json = self.Report
# data_req = json.dumps(data_req)
# orders_json = json.dumps(orders_json)
# indexes_json = json.dumps(indexes_json)
# report = json.dumps(report, ensure_ascii=False)
data = {'data_req': data_req, 'orders': orders_json, 'indexes': indexes_json, 'report': report_json}
return data, bars_json
def __order__(self, direction, offset, price, volume, remark):
"""策略执行信号"""
if self.SingleOrderOneBar and (self.LastEntryDateLong == self.D[-1]
or self.LastEntryDateShort == self.D[-1]
or self.ExitDateLong == self.D[-1]
or self.ExitDateShort == self.D[-1]):
return
order = OrderItem()
order.Instrument = self.Instrument
order.DateTime = self.D[-1]
order.Direction = direction
order.Offset = offset
order.Price = price
order.Volume = volume
order.Remark = remark
self.Orders.append(order)
# 处理策略相关属性
order.IndexEntryLong = self._lastOrder.IndexEntryLong
order.IndexExitLong = self._lastOrder.IndexExitLong
order.IndexEntryShort = self._lastOrder.IndexEntryShort
order.IndexExitShort = self._lastOrder.IndexExitShort
order.IndexLastEntryLong = self._lastOrder.IndexLastEntryLong
order.IndexLastEntryShort = self._lastOrder.IndexLastEntryShort
order.AvgEntryPriceLong = self._lastOrder.AvgEntryPriceLong
order.AvgEntryPriceShort = self._lastOrder.AvgEntryPriceShort
order.PositionLong = self._lastOrder.PositionLong
order.PositionShort = self._lastOrder.PositionShort
order.EntryDateLong = self._lastOrder.EntryDateLong
order.EntryDateShort = self._lastOrder.EntryDateShort
order.EntryPriceLong = self._lastOrder.EntryPriceLong
order.EntryPriceShort = self._lastOrder.EntryPriceShort
order.ExitDateLong = self._lastOrder.ExitDateLong
order.ExitDateShort = self._lastOrder.ExitDateShort
order.ExitPriceLong = self._lastOrder.ExitPriceLong
order.ExitPriceShort = self._lastOrder.ExitPriceShort
order.LastEntryDateLong = self._lastOrder.LastEntryDateLong
order.LastEntryDateShort = self._lastOrder.LastEntryDateShort
order.LastEntryPriceLong = self._lastOrder.LastEntryPriceLong
order.LastEntryPriceShort = self._lastOrder.LastEntryPriceShort
diroff = '{0}-{1}'.format(order.Direction.name, order.Offset.name)
for case in switch(diroff):
if case('Buy-Open'):
order.PositionLong += order.Volume
order.AvgEntryPriceLong = (
self._lastOrder.PositionLong *
self._lastOrder.AvgEntryPriceLong + order.Volume *
order.Price) / (self._lastOrder.Volume + order.Volume)
if self._lastOrder.PositionLong == 0:
order.IndexEntryLong = len(self.Bars) - 1
order.EntryDateLong = self.D[-1] # str '20160630 21:25:00'
order.EntryPriceLong = order.Price
order.IndexLastEntryLong = len(self.Bars) - 1
order.LastEntryPriceLong = order.Price
order.LastEntryDateLong = self.D[-1]
break
if case('Buy-Close'):
c_lots = min(self._lastOrder.PositionShort,
order.Volume) # 能够平掉的数量
if c_lots <= 0: # 无仓可平
print('平仓量>持仓量')
break
order.PositionShort -= c_lots
order.IndexExitShort = len(self.Bars) - 1
order.ExitDateShort = self.D[-1]
order.ExitPriceShort = order.Price
break
if case('Sell-Open'):
order.PositionShort += order.Volume
order.AvgEntryPriceShort = (
self._lastOrder.PositionShort *
self._lastOrder.AvgEntryPriceShort + order.Volume *
order.Price) / (self._lastOrder.Volume + order.Volume)
if self._lastOrder.PositionShort == 0:
order.IndexEntryShort = len(self.Bars) - 1
order.EntryDateShort = self.D[
-1] # time or double or str ???
order.EntryPriceShort = order.Price
order.IndexLastEntryShort = len(self.Bars) - 1
order.LastEntryPriceShort = order.Price
order.LastEntryDateShort = self.D[-1]
break
if case('Sell-Close'):
c_lots = min(self._lastOrder.PositionLong,
order.Volume) # 能够平掉的数量
if c_lots <= 0: # 无仓可平
print('平仓量>持仓量')
break
order.PositionLong -= c_lots
order.IndexExitLong = len(self.Bars) - 1
order.ExitDateLong = self.D[-1]
order.ExitPriceLong = order.Price
break
self._lastOrder = order
self.stra_onorder(self, order)
def __new_min_bar__(self, bar):
"""有新min_bar添加"""
bar_time = time.strptime(bar.D, "%Y%m%d %H:%M:%S")
year = bar_time.tm_year
mon = bar_time.tm_mon
day = bar_time.tm_mday
hour = bar_time.tm_hour
mins = bar_time.tm_min
for case in switch(self.IntervalType):
if case(IntervalType.Minute):
mins = bar_time.tm_min // self.Interval * self.Interval
break
if case(IntervalType.Hour):
hour = hour // self.Interval
mins = 0
break
if case(IntervalType.Day):
hour = 0
mins = 0
break
if case(IntervalType.Month):
hour = 0
mins = 0
day = 1
break
if case(IntervalType.Year):
hour = 0
mins = 0
day = 1
mon = 1
break
if case(IntervalType.Week):
hour = 0
mins = 0
# 用周号替换日期
day = time.strftime('%W', bar_time)
break
bar_time = time.strptime(
'{0}{1}{2} {3}:{4}'.format(year, mon, day, hour, mins),
'%Y%m%d %H:%M')
# time -> str
bar_time = time.strftime('%Y%m%d %H:%M:%S', bar_time)
if len(self.Bars) == 0 or self.Bars[-1].D != bar_time:
bar.D = bar_time
self.Bars.append(bar)
self.D = np.append(self.D, bar.D)
self.H = np.append(self.H, bar.H)
self.L = np.append(self.L, bar.L)
self.O = np.append(self.O, bar.O)
self.C = np.append(self.C, bar.C)
self.V = np.append(self.V, bar.V)
self.I = np.append(self.I, bar.I)
else:
old_bar = self.Bars[-1]
self.H[-1] = old_bar.H = max(bar.H, old_bar.H)
self.L[-1] = old_bar.L = min(bar.L, old_bar.L)
self.C[-1] = old_bar.C = bar.C
old_bar.V += bar.V
self.V[-1] = old_bar.V
self.I[-1] = old_bar.I = bar.I
# bar.A = tick.AveragePrice
self.stra_uppdate(self, bar)
def ReqOrderInsert(self,
pInstrument='',
pDirection=DirectType,
pOffset=OffsetType,
pPrice=0.0,
pVolume=1,
pType=OrderType.Limit,
pCustom=0):
""""""
OrderPriceType = OrderPriceTypeType.AnyPrice
TimeCondition = TimeConditionType.IOC
LimitPrice = 0.0
VolumeCondition = VolumeConditionType.AV
for case in switch(pType):
if case(OrderType.Market): # 市价
OrderPriceType = OrderPriceTypeType.AnyPrice
TimeCondition = TimeConditionType.IOC
LimitPrice = 0.0
VolumeCondition = VolumeConditionType.AV
break
if case(OrderType.Limit): # 限价
OrderPriceType = OrderPriceTypeType.LimitPrice
TimeCondition = TimeConditionType.GFD
LimitPrice = pPrice
VolumeCondition = VolumeConditionType.AV
break
if case(OrderType.FAK): # FAK
OrderPriceType = OrderPriceTypeType.LimitPrice
TimeCondition = TimeConditionType.IOC
LimitPrice = pPrice
VolumeCondition = VolumeConditionType.AV
break
if case(OrderType.FOK): # FOK
OrderPriceType = OrderPriceTypeType.LimitPrice
TimeCondition = TimeConditionType.IOC
LimitPrice = pPrice
VolumeCondition = VolumeConditionType.CV # 全部数量
break
self._req += 1
self.t.ReqOrderInsert(
BrokerID=self.BrokerID,
InvestorID=self.Investor,
InstrumentID=pInstrument,
OrderRef="%06d%06d" % (self._req, pCustom % 1000000),
UserID=self.Investor,
# 此处ctp_enum与at_struct名称冲突
Direction=DirectionType.Buy
if pDirection == DirectType.Buy else DirectionType.Sell,
CombOffsetFlag=chr(
OffsetFlagType.Open if pOffset == OffsetType.Open else (
OffsetFlagType.CloseToday if pOffset ==
OffsetType.CloseToday else OffsetFlagType.Close)),
CombHedgeFlag=HedgeFlagType.Speculation.__char__(),
IsAutoSuspend=0,
ForceCloseReason=ForceCloseReasonType.NotForceClose,
IsSwapOrder=0,
ContingentCondition=ContingentConditionType.Immediately,
VolumeCondition=VolumeCondition,
MinVolume=1,
VolumeTotalOriginal=pVolume,
OrderPriceType=OrderPriceType,
TimeCondition=TimeCondition,
LimitPrice=LimitPrice,
)