def connect(self, userID, password, brokerID, address):
"""初始化连接"""
self.userID = userID # 账号
self.password = password # 密码
self.brokerID = brokerID # 经纪商代码
self.address = address # 服务器地址
# 如果尚未建立服务器连接，则进行连接
if not self.connectionStatus:
# 创建C++环境中的API对象，这里传入的参数是需要用来保存.con文件的文件夹路径
path = getTempPath(self.gatewayName + '_')
self.createFtdcTraderApi(path)
# 订阅主题
self.subscribePrivateTopic(0)
self.subscribePublicTopic(0)
# self.subscribeUserTopic(0)
# 注册服务器地址
self.registerFront(self.address)
# 初始化连接，成功会调用onFrontConnected
self.init()
# 若已经连接但尚未登录，则进行登录
else:
if not self.loginStatus:
self.login()
def connect(self, userID, password, brokerID, address, productInfo,
authCode):
"""初始化连接"""
self.userID = userID # 账号
self.password = password # 密码
self.brokerID = brokerID # 经纪商代码
self.address = address # 服务器地址
self.productInfo = productInfo
self.authCode = authCode
# 如果尚未建立服务器连接，则进行连接
if not self.connectionStatus:
# 创建C++环境中的API对象，这里传入的参数是需要用来保存.con文件的文件夹路径
path = getTempPath(self.gatewayName + '_')
self.createFtdcQueryApi(path)
# 注册服务器地址
self.registerFront(self.address)
# 初始化连接，成功会调用onFrontConnected
self.init()
# 若已经连接但尚未登录，则进行登录
else:
if not self.loginStatus:
self.login()
def addFileHandler(self):
"""添加文件输出"""
if not self.fileHandler:
filename = 'vt_' + datetime.now().strftime('%Y%m%d') + '.log'
filepath = getTempPath(filename)
self.fileHandler = logging.FileHandler(filepath)
self.fileHandler.setLevel(self.level)
self.fileHandler.setFormatter(self.formatter)
self.logger.addHandler(self.fileHandler)
def addFileHandler(self, filename=''):
"""添加文件输出"""
if not self.fileHandler:
if not filename:
filename = 'vt_' + datetime.now().strftime('%Y%m%d') + '.log'
filepath = getTempPath(filename)
self.fileHandler = logging.FileHandler(filepath,
mode='w',
encoding='utf-8')
self.fileHandler.setLevel(self.level)
self.fileHandler.setFormatter(self.formatter)
self.logger.addHandler(self.fileHandler)
class DataEngine(object):
"""数据引擎"""
contractFileName = 'ContractData.vt'
contractFilePath = getTempPath(contractFileName)
FINISHED_STATUS = [STATUS_ALLTRADED, STATUS_REJECTED, STATUS_CANCELLED]
#----------------------------------------------------------------------
def __init__(self, eventEngine):
"""Constructor"""
self.eventEngine = eventEngine
# 保存合约详细信息的字典
self.contractDict = {}
# 保存委托数据的字典
self.orderDict = {}
# 保存活动委托数据的字典（即可撤销）
self.workingOrderDict = {}
# 持仓细节相关
self.detailDict = {} # vtSymbol:PositionDetail
self.tdPenaltyList = globalSetting['tdPenalty'] # 平今手续费惩罚的产品代码列表
# 读取保存在硬盘的合约数据
self.loadContracts()
# 注册事件监听
self.registerEvent()
#----------------------------------------------------------------------
def registerEvent(self):
"""注册事件监听"""
self.eventEngine.register(EVENT_CONTRACT, self.processContractEvent)
self.eventEngine.register(EVENT_ORDER, self.processOrderEvent)
self.eventEngine.register(EVENT_TRADE, self.processTradeEvent)
self.eventEngine.register(EVENT_POSITION, self.processPositionEvent)
#----------------------------------------------------------------------
def processContractEvent(self, event):
"""处理合约事件"""
contract = event.dict_['data']
self.contractDict[contract.vtSymbol] = contract
self.contractDict[contract.symbol] = contract # 使用常规代码（不包括交易所）可能导致重复
#----------------------------------------------------------------------
def processOrderEvent(self, event):
"""处理委托事件"""
order = event.dict_['data']
self.orderDict[order.vtOrderID] = order
# 如果订单的状态是全部成交或者撤销，则需要从workingOrderDict中移除
if order.status in self.FINISHED_STATUS and order.vtOrderID in self.workingOrderDict:
del self.workingOrderDict[order.vtOrderID]
# 否则则更新字典中的数据
else:
self.workingOrderDict[order.vtOrderID] = order
# 更新到持仓细节中
detail = self.getPositionDetail(order.vtSymbol)
detail.updateOrder(order)
#----------------------------------------------------------------------
def processTradeEvent(self, event):
"""处理成交事件"""
trade = event.dict_['data']
# 更新到持仓细节中
detail = self.getPositionDetail(trade.vtSymbol)
detail.updateTrade(trade)
#----------------------------------------------------------------------
def processPositionEvent(self, event):
"""处理持仓事件"""
pos = event.dict_['data']
# 更新到持仓细节中
detail = self.getPositionDetail(pos.vtSymbol)
detail.updatePosition(pos)
#----------------------------------------------------------------------
def getContract(self, vtSymbol):
"""查询合约对象"""
try:
return self.contractDict[vtSymbol]
except KeyError:
return None
#----------------------------------------------------------------------
def getAllContracts(self):
"""查询所有合约对象（返回列表）"""
return self.contractDict.values()
#----------------------------------------------------------------------
def saveContracts(self):
"""保存所有合约对象到硬盘"""
f = shelve.open(self.contractFilePath)
f['data'] = self.contractDict
f.close()
#----------------------------------------------------------------------
def loadContracts(self):
"""从硬盘读取合约对象"""
f = shelve.open(self.contractFilePath)
if 'data' in f:
d = f['data']
for key, value in d.items():
self.contractDict[key] = value
f.close()
#----------------------------------------------------------------------
def getOrder(self, vtOrderID):
"""查询委托"""
try:
return self.orderDict[vtOrderID]
except KeyError:
return None
#----------------------------------------------------------------------
def getAllWorkingOrders(self):
"""查询所有活动委托（返回列表）"""
return self.workingOrderDict.values()
#----------------------------------------------------------------------
def getPositionDetail(self, vtSymbol):
"""查询持仓细节"""
if vtSymbol in self.detailDict:
detail = self.detailDict[vtSymbol]
else:
detail = PositionDetail(vtSymbol)
self.detailDict[vtSymbol] = detail
# 设置持仓细节的委托转换模式
contract = self.getContract(vtSymbol)
if contract:
detail.exchange = contract.exchange
# 上期所合约
if contract.exchange == EXCHANGE_SHFE:
detail.mode = detail.MODE_SHFE
# 检查是否有平今惩罚
for productID in self.tdPenaltyList:
if str(productID) in contract.symbol:
detail.mode = detail.MODE_TDPENALTY
return detail
#----------------------------------------------------------------------
def updateOrderReq(self, req, vtOrderID):
"""委托请求更新"""
vtSymbol = req.vtSymbol
detail = self.getPositionDetail(vtSymbol)
detail.updateOrderReq(req, vtOrderID)
#----------------------------------------------------------------------
def convertOrderReq(self, req):
"""根据规则转换委托请求"""
detail = self.detailDict.get(req.vtSymbol, None)
if not detail:
return [req]
else:
return detail.convertOrderReq(req)
class StAlgoEngine(object):
"""价差算法交易引擎"""
algoFileName = 'SpreadTradingAlgo.vt'
algoFilePath = getTempPath(algoFileName)
#----------------------------------------------------------------------
def __init__(self, dataEngine, mainEngine, eventEngine):
"""Constructor"""
self.dataEngine = dataEngine
self.mainEngine = mainEngine
self.eventEngine = eventEngine
self.algoDict = {} # spreadName:algo
self.vtSymbolAlgoDict = {} # vtSymbol:algo
self.registerEvent()
#----------------------------------------------------------------------
def registerEvent(self):
"""注册事件监听"""
self.eventEngine.register(EVENT_SPREADTRADING_TICK,
self.processSpreadTickEvent)
self.eventEngine.register(EVENT_SPREADTRADING_POS,
self.processSpreadPosEvent)
self.eventEngine.register(EVENT_TRADE, self.processTradeEvent)
self.eventEngine.register(EVENT_ORDER, self.processOrderEvent)
self.eventEngine.register(EVENT_TIMER, self.processTimerEvent)
#----------------------------------------------------------------------
def processSpreadTickEvent(self, event):
"""处理价差行情事件"""
spread = event.dict_['data']
algo = self.algoDict.get(spread.name, None)
if algo:
algo.updateSpreadTick(spread)
#----------------------------------------------------------------------
def processSpreadPosEvent(self, event):
"""处理价差持仓事件"""
spread = event.dict_['data']
algo = self.algoDict.get(spread.name, None)
if algo:
algo.updateSpreadPos(spread)
#----------------------------------------------------------------------
def processTradeEvent(self, event):
"""处理成交事件"""
trade = event.dict_['data']
algo = self.vtSymbolAlgoDict.get(trade.vtSymbol, None)
if algo:
algo.updateTrade(trade)
#----------------------------------------------------------------------
def processOrderEvent(self, event):
"""处理委托事件"""
order = event.dict_['data']
algo = self.vtSymbolAlgoDict.get(order.vtSymbol, None)
if algo:
algo.updateOrder(order)
#----------------------------------------------------------------------
def processTimerEvent(self, event):
""""""
for algo in self.algoDict.values():
algo.updateTimer()
#----------------------------------------------------------------------
def sendOrder(self, vtSymbol, direction, offset, price, volume, payup=0):
"""发单"""
contract = self.mainEngine.getContract(vtSymbol)
if not contract:
return ''
req = VtOrderReq()
req.symbol = contract.symbol
req.exchange = contract.exchange
req.vtSymbol = contract.vtSymbol
req.direction = direction
req.offset = offset
req.volume = int(volume)
req.priceType = PRICETYPE_LIMITPRICE
if direction == DIRECTION_LONG:
req.price = price + payup * contract.priceTick
else:
req.price = price - payup * contract.priceTick
vtOrderID = self.mainEngine.sendOrder(req, contract.gatewayName)
return vtOrderID
#----------------------------------------------------------------------
def cancelOrder(self, vtOrderID):
"""撤单"""
order = self.mainEngine.getOrder(vtOrderID)
if not order:
return
req = VtCancelOrderReq()
req.symbol = order.symbol
req.exchange = order.exchange
req.frontID = order.frontID
req.sessionID = order.sessionID
req.orderID = order.orderID
self.mainEngine.cancelOrder(req, order.gatewayName)
#----------------------------------------------------------------------
def buy(self, vtSymbol, price, volume, payup=0):
"""买入"""
vtOrderID = self.sendOrder(vtSymbol, DIRECTION_LONG, OFFSET_OPEN,
price, volume, payup)
l = []
if vtOrderID:
l.append(vtOrderID)
return l
#----------------------------------------------------------------------
def sell(self, vtSymbol, price, volume, payup=0):
"""卖出"""
vtOrderID = self.sendOrder(vtSymbol, DIRECTION_SHORT, OFFSET_CLOSE,
price, volume, payup)
l = []
if vtOrderID:
l.append(vtOrderID)
return l
#----------------------------------------------------------------------
def short(self, vtSymbol, price, volume, payup=0):
"""卖空"""
vtOrderID = self.sendOrder(vtSymbol, DIRECTION_SHORT, OFFSET_OPEN,
price, volume, payup)
l = []
if vtOrderID:
l.append(vtOrderID)
return l
#----------------------------------------------------------------------
def cover(self, vtSymbol, price, volume, payup=0):
"""平空"""
vtOrderID = self.sendOrder(vtSymbol, DIRECTION_LONG, OFFSET_CLOSE,
price, volume, payup)
l = []
if vtOrderID:
l.append(vtOrderID)
return l
#----------------------------------------------------------------------
def putAlgoEvent(self, algo):
"""发出算法状态更新事件"""
event = Event(EVENT_SPREADTRADING_ALGO + algo.name)
self.eventEngine.put(event)
#----------------------------------------------------------------------
def writeLog(self, content):
"""输出日志"""
log = VtLogData()
log.logContent = content
event = Event(EVENT_SPREADTRADING_ALGOLOG)
event.dict_['data'] = log
self.eventEngine.put(event)
#----------------------------------------------------------------------
def saveSetting(self):
"""保存算法配置"""
setting = {}
for algo in self.algoDict.values():
setting[algo.spreadName] = algo.getAlgoParams()
f = shelve.open(self.algoFilePath)
f['setting'] = setting
f.close()
#----------------------------------------------------------------------
def loadSetting(self):
"""加载算法配置"""
# 创建算法对象
l = self.dataEngine.getAllSpreads()
for spread in l:
algo = SniperAlgo(self, spread)
self.algoDict[spread.name] = algo
# 保存腿代码和算法对象的映射
for leg in spread.allLegs:
self.vtSymbolAlgoDict[leg.vtSymbol] = algo
# 加载配置
f = shelve.open(self.algoFilePath)
setting = f.get('setting', None)
f.close()
if not setting:
return
for algo in self.algoDict.values():
if algo.spreadName in setting:
d = setting[algo.spreadName]
algo.setAlgoParams(d)
#----------------------------------------------------------------------
def stopAll(self):
"""停止全部算法"""
for algo in self.algoDict.values():
algo.stop()
#----------------------------------------------------------------------
def startAlgo(self, spreadName):
"""启动算法"""
algo = self.algoDict[spreadName]
algoActive = algo.start()
return algoActive
#----------------------------------------------------------------------
def stopAlgo(self, spreadName):
"""停止算法"""
algo = self.algoDict[spreadName]
algoActive = algo.stop()
return algoActive
#----------------------------------------------------------------------
def getAllAlgoParams(self):
"""获取所有算法的参数"""
return [algo.getAlgoParams() for algo in self.algoDict.values()]
#----------------------------------------------------------------------
def setAlgoBuyPrice(self, spreadName, buyPrice):
"""设置算法买开价格"""
algo = self.algoDict[spreadName]
algo.setBuyPrice(buyPrice)
#----------------------------------------------------------------------
def setAlgoSellPrice(self, spreadName, sellPrice):
"""设置算法卖平价格"""
algo = self.algoDict[spreadName]
algo.setSellPrice(sellPrice)
#----------------------------------------------------------------------
def setAlgoShortPrice(self, spreadName, shortPrice):
"""设置算法卖开价格"""
algo = self.algoDict[spreadName]
algo.setShortPrice(shortPrice)
#----------------------------------------------------------------------
def setAlgoCoverPrice(self, spreadName, coverPrice):
"""设置算法买平价格"""
algo = self.algoDict[spreadName]
algo.setCoverPrice(coverPrice)
#----------------------------------------------------------------------
def setAlgoMode(self, spreadName, mode):
"""设置算法工作模式"""
algo = self.algoDict[spreadName]
algo.setMode(mode)
#----------------------------------------------------------------------
def setAlgoMaxOrderSize(self, spreadName, maxOrderSize):
"""设置算法单笔委托限制"""
algo = self.algoDict[spreadName]
algo.setMaxOrderSize(maxOrderSize)
#----------------------------------------------------------------------
def setAlgoMaxPosSize(self, spreadName, maxPosSize):
"""设置算法持仓限制"""
algo = self.algoDict[spreadName]
algo.setMaxPosSize(maxPosSize)
class DataEngine(object):
"""数据引擎"""
contractFileName = 'ContractData.vt'
contractFilePath = getTempPath(contractFileName)
FINISHED_STATUS = [STATUS_ALLTRADED, STATUS_REJECTED, STATUS_CANCELLED]
#----------------------------------------------------------------------
def __init__(self, eventEngine):
"""Constructor"""
self.eventEngine = eventEngine
# 保存数据的字典和列表
self.tickDict = {}
self.contractDict = {}
self.orderDict = {}
self.workingOrderDict = {} # 可撤销委托
self.tradeDict = {}
self.accountDict = {}
self.positionDict = {}
self.logList = []
self.errorList = []
# 持仓细节相关
self.detailDict = {} # vtSymbol:PositionDetail
self.tdPenaltyList = globalSetting['tdPenalty'] # 平今手续费惩罚的产品代码列表
# 读取保存在硬盘的合约数据
self.loadContracts()
# 注册事件监听
self.registerEvent()
#----------------------------------------------------------------------
def registerEvent(self):
"""注册事件监听"""
self.eventEngine.register(EVENT_TICK, self.processTickEvent)
self.eventEngine.register(EVENT_CONTRACT, self.processContractEvent)
self.eventEngine.register(EVENT_ORDER, self.processOrderEvent)
self.eventEngine.register(EVENT_TRADE, self.processTradeEvent)
self.eventEngine.register(EVENT_POSITION, self.processPositionEvent)
self.eventEngine.register(EVENT_ACCOUNT, self.processAccountEvent)
self.eventEngine.register(EVENT_LOG, self.processLogEvent)
self.eventEngine.register(EVENT_ERROR, self.processErrorEvent)
#----------------------------------------------------------------------
def processTickEvent(self, event):
"""处理成交事件"""
tick = event.dict_['data']
self.tickDict[tick.vtSymbol] = tick
#----------------------------------------------------------------------
def processContractEvent(self, event):
"""处理合约事件"""
contract = event.dict_['data']
self.contractDict[contract.vtSymbol] = contract
self.contractDict[contract.symbol] = contract # 使用常规代码（不包括交易所）可能导致重复
#----------------------------------------------------------------------
def processOrderEvent(self, event):
"""处理委托事件"""
order = event.dict_['data']
self.orderDict[order.vtOrderID] = order
# 如果订单的状态是全部成交或者撤销，则需要从workingOrderDict中移除
if order.status in self.FINISHED_STATUS:
if order.vtOrderID in self.workingOrderDict:
del self.workingOrderDict[order.vtOrderID]
# 否则则更新字典中的数据
else:
self.workingOrderDict[order.vtOrderID] = order
# 更新到持仓细节中
detail = self.getPositionDetail(order.vtSymbol)
detail.updateOrder(order)
#----------------------------------------------------------------------
def processTradeEvent(self, event):
"""处理成交事件"""
trade = event.dict_['data']
self.tradeDict[trade.vtTradeID] = trade
# 更新到持仓细节中
detail = self.getPositionDetail(trade.vtSymbol)
detail.updateTrade(trade)
#----------------------------------------------------------------------
def processPositionEvent(self, event):
"""处理持仓事件"""
pos = event.dict_['data']
self.positionDict[pos.vtPositionName] = pos
# 更新到持仓细节中
detail = self.getPositionDetail(pos.vtSymbol)
detail.updatePosition(pos)
#----------------------------------------------------------------------
def processAccountEvent(self, event):
"""处理账户事件"""
account = event.dict_['data']
self.accountDict[account.vtAccountID] = account
#----------------------------------------------------------------------
def processLogEvent(self, event):
"""处理日志事件"""
log = event.dict_['data']
self.logList.append(log)
#----------------------------------------------------------------------
def processErrorEvent(self, event):
"""处理错误事件"""
error = event.dict_['data']
self.errorList.append(error)
#----------------------------------------------------------------------
def getTick(self, vtSymbol):
"""查询行情对象"""
try:
return self.tickDict[vtSymbol]
except KeyError:
return None
#----------------------------------------------------------------------
def getContract(self, vtSymbol):
"""查询合约对象"""
try:
return self.contractDict[vtSymbol]
except KeyError:
return None
#----------------------------------------------------------------------
def getAllContracts(self):
"""查询所有合约对象（返回列表）"""
return self.contractDict.values()
#----------------------------------------------------------------------
def saveContracts(self):
"""保存所有合约对象到硬盘"""
f = shelve.open(self.contractFilePath)
f['data'] = self.contractDict
f.close()
#----------------------------------------------------------------------
def loadContracts(self):
"""从硬盘读取合约对象"""
f = shelve.open(self.contractFilePath)
if 'data' in f:
d = f['data']
for key, value in d.items():
self.contractDict[key] = value
f.close()
#----------------------------------------------------------------------
def getOrder(self, vtOrderID):
"""查询委托"""
try:
return self.orderDict[vtOrderID]
except KeyError:
return None
#----------------------------------------------------------------------
def getAllWorkingOrders(self):
"""查询所有活动委托（返回列表）"""
return self.workingOrderDict.values()
#----------------------------------------------------------------------
def getAllOrders(self):
"""获取所有委托"""
return self.orderDict.values()
#----------------------------------------------------------------------
def getAllTrades(self):
"""获取所有成交"""
return self.tradeDict.values()
#----------------------------------------------------------------------
def getAllPositions(self):
"""获取所有持仓"""
return self.positionDict.values()
#----------------------------------------------------------------------
def getAllAccounts(self):
"""获取所有资金"""
return self.accountDict.values()
#----------------------------------------------------------------------
def getPositionDetail(self, vtSymbol):
"""查询持仓细节"""
if vtSymbol in self.detailDict:
detail = self.detailDict[vtSymbol]
else:
contract = self.getContract(vtSymbol)
detail = PositionDetail(vtSymbol, contract)
self.detailDict[vtSymbol] = detail
# 设置持仓细节的委托转换模式
contract = self.getContract(vtSymbol)
if contract:
detail.exchange = contract.exchange
# 上期所合约
if contract.exchange == EXCHANGE_SHFE:
detail.mode = detail.MODE_SHFE
# 检查是否有平今惩罚
for productID in self.tdPenaltyList:
if str(productID) in contract.symbol:
detail.mode = detail.MODE_TDPENALTY
return detail
#----------------------------------------------------------------------
def getAllPositionDetails(self):
"""查询所有本地持仓缓存细节"""
return self.detailDict.values()
#----------------------------------------------------------------------
def updateOrderReq(self, req, vtOrderID):
"""委托请求更新"""
vtSymbol = req.vtSymbol
detail = self.getPositionDetail(vtSymbol)
detail.updateOrderReq(req, vtOrderID)
#----------------------------------------------------------------------
def convertOrderReq(self, req):
"""根据规则转换委托请求"""
detail = self.detailDict.get(req.vtSymbol, None)
if not detail:
return [req]
else:
return detail.convertOrderReq(req)
#----------------------------------------------------------------------
def getLog(self):
"""获取日志"""
return self.logList
#----------------------------------------------------------------------
def getError(self):
"""获取错误"""
return self.errorList
class OmEngine(object):
"""期权主引擎"""
impvFileName = 'PricingImpv.vt'
impvFilePath = getTempPath(impvFileName)
#----------------------------------------------------------------------
def __init__(self, mainEngine, eventEngine):
"""Constructor"""
self.mainEngine = mainEngine
self.eventEngine = eventEngine
self.portfolio = None
self.optionContractDict = {} # symbol:contract
self.strategyEngine = OmStrategyEngine(self, eventEngine)
self.registerEvent()
#----------------------------------------------------------------------
def registerEvent(self):
"""注册事件监听"""
self.eventEngine.register(EVENT_CONTRACT, self.processContractEvent)
#----------------------------------------------------------------------
def processTickEvent(self, event):
"""行情事件"""
tick = event.dict_['data']
self.portfolio.newTick(tick)
#----------------------------------------------------------------------
def processTradeEvent(self, event):
"""成交事件"""
trade = event.dict_['data']
self.portfolio.newTrade(trade)
#----------------------------------------------------------------------
def processContractEvent(self, event):
"""合约事件"""
contract = event.dict_['data']
if contract.symbol and contract.productClass == PRODUCT_OPTION:
self.optionContractDict[contract.symbol] = contract
#----------------------------------------------------------------------
def subscribeEvent(self, symbol):
"""订阅对应合约的事件"""
contract = self.mainEngine.getContract(symbol)
if not contract:
self.writeLog(u'行情订阅失败，找不到合约：%s' % symbol)
return
vtSymbol = contract.vtSymbol
# 订阅行情
req = VtSubscribeReq()
req.symbol = contract.symbol
req.exchange = contract.exchange
self.mainEngine.subscribe(req, contract.gatewayName)
# 订阅事件
self.eventEngine.register(EVENT_TICK + vtSymbol, self.processTickEvent)
self.eventEngine.register(EVENT_TRADE + vtSymbol,
self.processTradeEvent)
#----------------------------------------------------------------------
def initEngine(self, fileName):
"""初始化引擎"""
if self.portfolio:
return False
f = open(fileName)
setting = json.load(f)
f.close()
# 读取定价模型
model = MODEL_DICT.get(setting['model'], None)
if not model:
self.writeLog(u'找不到定价模型%s' % setting['model'])
return
# 创建标的对象
underlyingDict = OrderedDict()
for underlyingSymbol in setting['underlying']:
contract = self.mainEngine.getContract(underlyingSymbol)
if not contract:
self.writeLog(u'找不到标的物合约%s' % underlyingSymbol)
continue
detail = self.mainEngine.getPositionDetail(contract.vtSymbol)
underlying = OmUnderlying(contract, detail)
underlyingDict[underlyingSymbol] = underlying
# 创建期权链对象并初始化
chainList = []
for d in setting['chain']:
chainSymbol = d['chainSymbol']
r = d['r']
# 锁定标的对象
underlying = underlyingDict.get(d['underlyingSymbol'], None)
if not underlying:
self.writeLog(u'%s期权链的标的合约%s尚未创建，请检查配置文件' %
(chainSymbol, underlyingSymbol))
continue
# 创建期权对象并初始化
callDict = {}
putDict = {}
for symbol, contract in self.optionContractDict.items():
if contract.underlyingSymbol == d['chainSymbol']:
detail = self.mainEngine.getPositionDetail(
contract.vtSymbol)
option = OmOption(contract, detail, underlying, model, r)
if contract.optionType is OPTION_CALL:
callDict[option.k] = option
else:
putDict[option.k] = option
# 期权排序
strikeList = sorted(callDict.keys())
callList = [callDict[k] for k in strikeList]
putList = [putDict[k] for k in strikeList]
# 创建期权链
chain = OmChain(chainSymbol, callList, putList)
chainList.append(chain)
# 添加标的映射关系
underlying.addChain(chain)
# 创建持仓组合对象并初始化
self.portfolio = OmPortfolio(setting['name'], model,
underlyingDict.values(), chainList)
# 载入波动率配置
self.loadImpvSetting()
# 订阅行情和事件
for underlying in underlyingDict.values():
self.subscribeEvent(underlying.vtSymbol)
for chain in chainList:
for option in chain.optionDict.values():
self.subscribeEvent(option.vtSymbol)
# 载入成功返回
return True
#----------------------------------------------------------------------
def loadImpvSetting(self):
"""载入波动率配置"""
f = shelve.open(self.impvFilePath)
for chain in self.portfolio.chainDict.values():
for option in chain.optionDict.values():
option.pricingImpv = f.get(option.symbol, 0)
f.close()
#----------------------------------------------------------------------
def saveImpvSetting(self):
"""保存波动率配置"""
if not self.portfolio:
return
f = shelve.open(self.impvFilePath)
for chain in self.portfolio.chainDict.values():
for option in chain.optionDict.values():
f[option.symbol] = option.pricingImpv
f.close()
#----------------------------------------------------------------------
def stop(self):
"""关闭函数"""
self.saveImpvSetting()
#----------------------------------------------------------------------
def writeLog(self, content):
"""发出日志 """
log = VtLogData()
log.logContent = content
event = Event(EVENT_OM_LOG)
event.dict_['data'] = log
self.eventEngine.put(event)
#----------------------------------------------------------------------
def adjustR(self):
"""调整折现率"""
if self.portfolio:
self.portfolio.adjustR()
for chain in self.portfolio.chainDict.values():
self.writeLog(u'期权链%s的折现率r拟合为%.3f' % (chain.symbol, chain.r))
