def getHotContractNextTDays(self, symbol, currTDays):
# 获取下一个主力合约 代码
if not self.__mainContractData is None:
# 获取下一个交易日
nextTradeDates = self.calendarObj.tradingDaysOffset(currTDays, 1)
# 下一个交易日存在
if not nextTradeDates is None:
mainContract = commonHelpBylw.getMainContinContract(symbol)
nextSymbol = self.__mainContractData.loc[nextTradeDates,
mainContract]
return nextSymbol
def __init__(self, symbol, **kwargs):
i = 1
self.symbol = symbol
# context 来提供持仓的信息
self.context = kwargs.get('context', None)
self.exitTime = kwargs.get('exitTime', None)
underLySym = commonHelpBylw.getMainContinContract(symbol)
self.orderLog = loggerHelpbylw.getFileLogger(
self.context.bTestID + '-' + underLySym + '-orderlog',
'log\\' + self.context.bTestID + '\\' + underLySym +
'-orderRecord.txt',
mode_='a')
def getVolofwangzong(aSymbol):
sharesDict = {}
sharesDict['SHFE.RB'] = 25
sharesDict['SHFE.NI'] = 10
sharesDict['SHFE.CU'] = 4
sharesDict['DCE.J'] = 4
sharesDict['SHFE.BU'] = 25
sharesDict['CZCE.MA'] = 30
sharesDict['DCE.PP'] = 20
sharesDict['DCE.P'] = 20
sharesDict['CZCE.SM'] = 25
sharesDict['CFFEX.T'] = 1
sharesDict['CZCE.SR'] = 20
sharesDict['CZCE.CF'] = 15
mainContract = commonHelpBylw.getMainContinContract(aSymbol)
vol = sharesDict[mainContract]
return vol
def create_trailing_order(self, aOrderPosition, trailing_type,
trailingThresh, stop_type, stopThresh):
# assert atradeOrder.status == ORDER_STATUS.FILLED
# if atradeOrder.status == ORDER_STATUS.FILLED:
underLySym = commonHelpBylw.getMainContinContract(
aOrderPosition.symbol)
orderLog = loggerHelpbylw.getFileLogger(
self.bTestID + '-' + underLySym + '-orderlog',
'log\\' + self.bTestID + '\\' + underLySym + '-orderRecord.txt',
mode_='a')
o = trailingOrder(aOrderPosition,
stop_type,
stopThresh,
trailing_type,
trailingThresh,
orderLog=orderLog)
self.addStopOrder(o)
def create_stop_order(self,
aOrderPosition,
stopThresh,
stopCommand='stoploss'):
# if atradeOrder.status == ORDER_STATUS.FILLED:
# aOrderPosition = OrderHoldingPostion(atradeOrder)
# # o = stop_loss_by_order(aOrderPosition, 'percent', stopProfitThresh,)
# if stopCommand=='stoploss':
# o = StopLossOrder.__from_create__(aOrderPosition, 'percent', stopThresh)
# if stopCommand=='stopprofit':
# o = StopProfitOrder.__from_create__(aOrderPosition, 'percent', stopThresh)
# self.addStopOrder(o)
# self.addOrderPosition(aOrderPosition)
#
# self.stoplossOrderCreatedEvent.emit(atradeOrder.symbol) #大概是订阅的tick函数要执行下
underLySym = commonHelpBylw.getMainContinContract(
aOrderPosition.symbol)
orderLog = loggerHelpbylw.getFileLogger(
self.bTestID + '-' + underLySym + '-orderlog',
'log\\' + self.bTestID + '\\' + underLySym + '-orderRecord.txt',
mode_='a')
# o = stop_loss_by_order(aOrderPosition, 'percent', stopProfitThresh,)
if stopCommand == 'stoploss':
o = StopLossOrder.__from_create__(aOrderPosition,
'percent',
stopThresh,
orderLog=orderLog)
if stopCommand == 'stopprofit':
o = StopProfitOrder.__from_create__(aOrderPosition,
'percent',
stopThresh,
orderLog=orderLog)
self.addStopOrder(o)
def getContractsByUnderlyingSymbols(symbolsCode, sDateTime, eDateTime):
#sDateTime是字符串类型。只有日期
#symbolsCode 是标的资产的代码。是个list
#10g个
exchangelist = []
for asym in symbolsCode:
exchangelist.append(getExchangeFromGmSymbol(asym))
exchangelist = list(set(exchangelist))
month159 = month159CZCE + month159DCE + month159SHFE
month1to12 = month1to12SHFE + month1to12INE
month1510 = month1510SHFE + month1510CZCE
month612 = month612SHFE
currAllFutureContract = get_instruments(
symbols=None,
exchanges=exchangelist,
sec_types=[SEC_TYPE_FUTURE],
names=None,
skip_suspended=True,
skip_st=True,
fields='symbol,exchange,sec_id,listed_date,delisted_date',
df=True)
currAllFutureContract['listed_date'] = currAllFutureContract[
'listed_date'].dt.strftime('%Y-%m-%d %H:%M:%S')
currAllFutureContract['listed_date'] = currAllFutureContract[
'listed_date'].str[0:10]
currAllFutureContract['delisted_date'] = currAllFutureContract[
'delisted_date'].dt.strftime('%Y-%m-%d %H:%M:%S')
currAllFutureContract['delisted_date'] = currAllFutureContract[
'delisted_date'].str[0:10]
if sDateTime and eDateTime:
currAllFutureContract=currAllFutureContract[(currAllFutureContract['listed_date']<=sDateTime) & \
(currAllFutureContract['delisted_date']>=eDateTime)]
tempContract = currAllFutureContract
finalDf = pd.DataFrame(columns=currAllFutureContract.columns)
for inx, row in tempContract.iterrows():
underLyingSymbol = commonHelpBylw.getMainContinContract(row['symbol'])
#确认当前品种是我们需要的品种
if underLyingSymbol in symbolsCode:
if underLyingSymbol in month159:
if row['sec_id'][-2:] in ['01', '05', '09']:
finalDf.loc[finalDf.shape[0]] = row
if underLyingSymbol in month1to12:
if row['sec_id'][-2:] in ['01', '03', '05', '07', '09', '11']:
finalDf.loc[finalDf.shape[0]] = row
if underLyingSymbol in month1510:
if row['sec_id'][-2:] in ['01', '05', '10']:
finalDf.loc[finalDf.shape[0]] = row
if underLyingSymbol in month612:
if row['sec_id'][-2:] in ['06', '12']:
finalDf.loc[finalDf.shape[0]] = row
if underLyingSymbol in allCon:
finalDf.loc[finalDf.shape[0]] = row
i = 1
return finalDf
def plotResultMulContract(logDataPathDir,plotSDateTime,plotEDateTime,bTestParams,
firstYVarsname=[],secondYVarsname=[]):
import os
import re
def getOrder(filePath):
fileNameList = os.listdir(filePath)
absPath = os.path.abspath(filePath)
dfOrderSingal = pd.DataFrame(columns=["createdAt", "symbol", 'signalname'])
for afName in fileNameList:
fDirAndName = os.path.join(absPath, afName)
try:
with open(fDirAndName, encoding='gbk')as f:
# with open(r'log\tradeRecord.txt',encoding='gbk')as f:
tmpd = pd.read_csv(f, header=None, sep=",")
tmpd.columns = ["createdAt", "symbol", 'signalname']
dfOrderSingal = dfOrderSingal.append(tmpd, ignore_index=True)
except Exception as e:
print(e)
return dfOrderSingal
dfOrderSingal=getOrder(logDataPathDir+'orderRecord')
lastPath=os.path.abspath(os.path.join(logDataPathDir, "../.."))
stopFilePath=lastPath+'\\stopLossProfitLog\\livemode\\'
stopOrder=getOrder(stopFilePath+''+'orderRecord')
dfOrderSingal=dfOrderSingal.append(stopOrder)
# #取委托记录
# fileNameList=os.listdir(logDataPathDir+'orderRecord')
# absPath=os.path.abspath(logDataPathDir+'orderRecord')
#
# dfOrderSingal=pd.DataFrame(columns = ["createdAt", "symbol", 'signalname'])
# for afName in fileNameList:
# fDirAndName = os.path.join(absPath, afName)
#
#
#
# try:
# with open(fDirAndName, encoding='gbk')as f:
# # with open(r'log\tradeRecord.txt',encoding='gbk')as f:
# tmpd=pd.read_csv(f, header=None, sep=",")
# tmpd.columns = ["createdAt", "symbol", 'signalname']
# dfOrderSingal = dfOrderSingal.append(tmpd,ignore_index=True)
#
#
# except Exception as e:
# print(e)
dfOrderSingal = dfOrderSingal.loc[
(dfOrderSingal['createdAt'] >= plotSDateTime) & (dfOrderSingal['createdAt'] <= plotEDateTime)]
dfOrderSingal['date'] = pd.to_datetime(dfOrderSingal['createdAt'], format='%Y-%m-%d %H:%M:%S')
dfOrderSingal['date'] = dfOrderSingal['date'].dt.tz_localize(tz=timezone(timedelta(hours=8)))
def addASeries(varsname, yaxisindex):
interResultAbsPath = os.path.abspath(logDataPathDir + 'interResult')
for aname in varsname:
filenameAndPath= os.path.join(interResultAbsPath, asymbol+'-'+aname+'.txt')
with open(filenameAndPath, encoding='gbk')as f:
# with open('log\\%s.txt'%(aname),encoding='gbk')as f:
aVar = pd.read_csv(f, header=None, sep=",")
aVar.columns = ["createdAt", aname]
aVar = aVar.loc[(aVar['createdAt'] >= plotSDateTime) & (aVar['createdAt'] <= plotEDateTime)]
aVar['date'] = pd.to_datetime(aVar['createdAt'], format='%Y-%m-%d %H:%M:%S')
aVar['date'] = aVar['date'].dt.tz_localize(tz=timezone(timedelta(hours=8)))
if aname == 'macd':
plotHelpbylw.addASeries(H, aVar[['date', aname]], aname, yaxisIndex=yaxisindex,
seriesType='column')
else:
plotHelpbylw.addASeries(H, aVar[['date', aname]], aname, yaxisIndex=yaxisindex)
symlist=list(dfOrderSingal['symbol'].drop_duplicates().values)
for asymbol in symlist:
#先画合约的k线，然后委托标记 打上去。
aUnderLyAsset = commonHelpBylw.getMainContinContract(asymbol)
# print(asymbol)
# if aUnderLyAsset!='CZCE.MA':
# continue
if asymbol=='DCE.j2001':
i=1
sfrestr = bTestParams[aUnderLyAsset]['fre']
gmFreStr = parseToGmFre(sfrestr)
H = plotHelpbylw.plotAContractCandle(asymbol, plotSDateTime, plotEDateTime, fre=gmFreStr)
currDf = dfOrderSingal.loc[dfOrderSingal['symbol'] == asymbol]
plotHelpbylw.plotSingal(H, currDf, asymbol)
#画该品种的中间结果
# interResultFileNameList = os.listdir(logDataPathDir + 'interResult')
# interResultAbsPath = os.path.abspath(logDataPathDir + 'interResult')
#
# for afile in interResultFileNameList:
#
# splits=re.split('-|.',afile)
#
# sym=splits[0]
# varName=splits[1]
#
#
# interResultFilePath = os.path.join(interResultFileNameList, interResultAbsPath)
addASeries(firstYVarsname, 0)
# 如果外界参数显示，需要画图的中间变量至少有1个
# 设置y
if len(secondYVarsname) >= 1:
yAxis = [{'height': '70%', 'resize': {'enabled': True}},
{'top': '70%', 'height': '30%'}]
H.set_options('yAxis', yAxis)
addASeries(secondYVarsname, 1)
filename = logDataPathDir + asymbol
H.save_file(filename)
def onTrade(self, tradedict, context):
#如果是开仓指令的trade来了，那么就考虑tradeorder是否已经全部成交了，成交了则考虑 建立止盈止损指令了
#如果是平仓指令，那么就是考察orderposition是不是有影响
#如果是开仓动作的交易回报，那么去处理 tradeorder，这个tradeorder就是记录开仓的委托的
if tradedict['position_effect'] == PositionEffect_Open:
# 在这里给委托补充持仓均价字段。
atradeOrder = self.trade_orders.get(tradedict['orderID'])
if atradeOrder is not None:
atradeOrder.fill(tradedict)
#order 完全成交了，那么创建orderposition ,创建止盈止损指令。
if atradeOrder.status == ORDER_STATUS.FILLED:
aOrderPosition = OrderHoldingPostion(atradeOrder)
self.addOrderPosition(aOrderPosition)
#给aOrderPosition 中的 startStopEvent 引用订阅行情的动作，这样当aOrderPosition第一次建立了
#止盈止损的时候，需要取订阅行情
subgmFun = partial(context.subscribe, frequency='tick')
aOrderPosition.startStopEvent.subscribe(subgmFun)
lwSubscribeFun = partial(context.subcribeObj.add,
fre='tick')
aOrderPosition.startStopEvent.subscribe(lwSubscribeFun)
aSymbol = aOrderPosition.symbol
underLyingSymbol = commonHelpBylw.getMainContinContract(
aSymbol)
stopLossThresh = context.bTestParams[underLyingSymbol][
'stopLossRatio']
stopProfitThresh = context.bTestParams[underLyingSymbol][
'stopProfitRatio']
trailing_type = context.bTestParams[underLyingSymbol][
'trailing_type']
trailingThresh = context.bTestParams[underLyingSymbol][
'trailingThresh']
trailing_stop_type = context.bTestParams[underLyingSymbol][
'trailing_stop_type']
trailing_stopThresh = context.bTestParams[
underLyingSymbol]['trailing_stopThresh']
self.create_stop_order(aOrderPosition,
stopThresh=stopLossThresh,
stopCommand='stoploss')
# 再创建一个止盈指令
# stopProfit = partial(context.simuBroker4StopLossProfit.create_stop_order,
# stopThresh=stopProfitThresh, stopCommand='stopprofit')
# tradeo.orderTotalFIlledEvent.subscribe(stopProfit)
self.create_stop_order(aOrderPosition,
stopThresh=stopProfitThresh,
stopCommand='stopprofit')
self.create_trailing_order(aOrderPosition, trailing_type,
trailingThresh,
trailing_stop_type,
trailing_stopThresh)
self._deleteTradeOrders(
) #因为tradeorder已经完成了，stoporder会建立起来，所以应该清除掉了。
if tradedict['position_effect'] in [
PositionEffect_Close, PositionEffect_CloseToday,
PositionEffect_CloseYesterday
]:
# for aSLOrder in self._stoploss_orders:
# aSLOrder.onTrade(tradedict)
for aOP in self.orderPostions:
aOP.onTrade(tradedict)
# self.deleteSLOrdersByClearPosition()
self.deleteOrderPositions() #因为持仓可能为0，所以清除掉
self.deleteSLOrders() #因为持仓可能为0，所以清除掉可能导致order的状态变为失效
def getHotContractCurrDays(self, symbol, currTDays):
# 获取下一个主力合约 代码
mainContract = commonHelpBylw.getMainContinContract(symbol)
currMainSymbol = self.__mainContractData.loc[currTDays, mainContract]
return currMainSymbol