def pool(self, func=None):
print(1222)
self.Rice = Rice = interface_Rice()
self.Rice.setIndexList(self.indexCodeList)
self.Base = Base = future_baseInfo()
self.Tick = mon_tick()
codes = Base.getUsedMap(hasIndex=True)
BI = BaseInfo(codes)
mCodes = Rice.getMain(codes)
period = 14
self.count = count = 300
self.preDict = {}
self.exKtype = self.getKtype()
self.renewQuicktype()
self.klines = self.quickPeriodList + self.periodList
docs, ex, trends = [], [], []
for mcode in mCodes:
print(mcode)
code = BI.parseCode(mcode)
nt = BI.att(code, 'nightEnd')
Rice.setTimeArea(BI.att(code, 'nightEnd'))
doc, base = {"code": code}, 1
for ktype in self.klines:
start = self.getStart(nt, ktype)
df0 = Rice.kline([mcode], period=ktype, start=start,
pre=0)[mcode]
if func is not None:
res = func(df0, period)
if isinstance(res, dict):
doc.update({'kline': res})
else:
doc.update({
'k_' + ktype: res,
'r_' + ktype: res / base
})
if ktype == self.quickPeriodList[0]:
doc.update({'r_' + ktype: 1})
base = res
docs.append(doc)
if len(docs) > 0:
#columns = [ ('k_'+ k, 'r_'+ k) for k in (self.klines)]
self.saveCsv(docs, 'atrCompare_%s_.csv')
def getDf(self, codes, period='1d'):
Rice = interface_Rice()
Rice.setIndexList(self.indexCodeList)
Base = future_baseInfo()
BI = BaseInfo([])
if len(codes) == 0:
codes = Base.getUsedMap(hasIndex=True)
mCodes = Rice.getMain(codes)
dfs = Rice.kline(mCodes,
period=period,
start=public.getDate(diff=-10),
pre=200)
i = 0
for mcode in mCodes:
c = codes[i]
last = BI.att(c, 'nightEnd')[0:6].replace(':', '')
file = Rice.basePath + 'future_%s_%s_%s.csv' % (
mcode, last, public.getDatetime(style='%Y%m%d_%H%M%S'))
print(mcode, last)
df = dfs[mcode]
df['datetime'] = df.index
df0 = df[df['datetime'] > '2019-01-17 13:47:40.000']
print(df0.index, len(df0))
#df.to_csv(file, index=0)
i += 1
break
def csv(self):
dates = ['226']
BI = BaseInfo([])
self.T0.empty()
for d in dates:
file = self.filepath + 'future_sg.csv'
# 去除
df = pd.read_csv(file, encoding='gb2312')
df['createdate'] = df['date'] + ' ' + df['time']
df['name'] = df['code'].apply(lambda x: BI.parseCode(x))
df['vol'] = df.apply(
lambda row:
(BI.att(row['name'], 'contract_multiplier') * row['hands']),
axis=1)
df.sort_values(['code', 'createdate'],
ascending=[True, True],
inplace=True)
df = df.reset_index(drop=True)
df = self.setIncome1(df)
print(df['income'].sum())
pc = 1500
df.sort_values(['createdate'], ascending=[True], inplace=True)
df = df.reset_index(drop=True)
if len(df) > pc:
pages = len(df) // pc + 1
for p in range(pages):
s, e = p * pc, (p + 1) * pc
if e > len(df): e - len(df)
docs = df.iloc[s:e].to_dict(orient='records')
print(s, e)
self.T0.insertAll(docs)
else:
docs = df.to_dict(orient='records')
self.T0.insertAll(docs)
class data_future_Rice(object):
# 更新夜盘收盘时间和最新价格
sql_nightEnd = """
update future_baseInfo
set lastPrice = %s,
lastVolume = %s
where code = '%s'
"""
# 更新夜盘收盘时间和最新价格
sql_width15 = """
update future_baseInfo
set width15 = %s, slope=%s, range = %s , atr=%s
where code = '%s'
"""
ch_index = ['零', '一', '二', '三', '四', '五', '三特', '无']
trend_index = ['无', '多', '空']
def __init__(self):
self.indexCodeList = [('IH', '000016.XSHG'), ('IF', '399300.XSHE'),
('IC', '399905.XSHE')]
mZhao = model_future_zhao_v1()
self.banCodeList = mZhao.banCodeList # 暂时不操作的code（不列交易量低的)
self.longCodeList = mZhao.longCodeList # 只做多仓的list
self.shortCodeList = mZhao.shortCodeList # 只做空仓的list
self.oneCodeList = ['SC', 'IH', 'IF', 'IC'] # 最低为1手单的
self.columns_posiDetail = [
'InstrumentID', 'Direction', 'OpenPrice', 'Volume',
'CloseProfitByTrade', 'PositionProfitByTrade', 'ExchangeID',
'OpenDate'
]
#
def getAllMain(self):
Rice = interface_Rice()
codes = Rice.allFuture(isSave=True)
print(codes)
def k_fix(self, row, mode):
close, open, high, low = (row[key]
for key in ['close', 'open', 'high', 'low'])
d0 = abs(close - open) / open
lim, rate = 0.003, 0.075
if mode == 1:
if close > open and open != 0:
trend = 1 if high == open else abs(close - open) / (high -
open)
opt = (d0 < lim and trend < rate) or (d0 > lim
and trend < rate * 2)
return close if opt else high
else:
return high
elif mode == -1:
if close < open and open != 0:
trend = 1 if low == open else abs(open - close) / (open - low)
opt = (d0 < lim and trend < rate) or (d0 > lim
and trend < rate * 2)
return close if opt else low
else:
return low
# 买入后的最高/最低价
def getMax(self, df0, s, e, mode):
s = str(s)[:10]
if mode > 0:
ss = df0[(df0['datetime'] >= s) & (df0['datetime'] <= e)]
mm = ss.ix[:-1, 'close'].max()
if np.isnan(mm): print(s, e, ss)
return df0[(df0['datetime'] >= s)
& (df0['datetime'] <= e)].ix[:-1, 'close'].max()
else:
return df0[(df0['datetime'] >= s)
& (df0['datetime'] <= e)].ix[:-1, 'close'].min()
def isout0(self, row):
close, ma20, ma55 = (row[key] for key in "close,ma20,ma55".split(","))
return 0 if np.isnan(ma55) else 1 if close > ma55 else -1
def isout(self, row, pos):
close, ma20, ma55, trend = (
row[key] for key in "close,ma20,ma55,trend".split(","))
pt = pos if pos != 0 else trend if trend != 0 else 1 if ma20 < ma55 else -1
return 1 if close > ma55 and pt > 0 else -1 if close < ma55 and pt < 0 else 0
def isMam(self, row):
#
mad, mac, mac2, mac3 = (row[key]
for key in "mad,mac,mac2,mac3".split(","))
opt = np.isnan(mad) or mad > 0 or mac == 0
# 为零时同向偏转
opt1 = (mad == 0
and (mac * mac2 > 0 or (mac2 == 0 and mac * mac3) > 0))
return 0 if (opt or opt1) else 1 if mac > 0 else -1
# 每日自动计算ATR和最新
def autoCreateAtr(self, type=0):
Rice = interface_Rice()
Rice.setIndexList(self.indexCodeList)
Base = future_baseInfo()
Record = self.Record = future_orderForm()
Model = model_future_zhao_v1()
methods = ['mZhao', 'mZhao55']
self.iniAmount, self.stopLine = 15400000, 0.0025
if type == 1:
methods = ['zhao', 'zhao55']
self.iniAmount, self.stopLine = 20000000, 0.0025
codes = Base.getUsedMap(hasIndex=True)
BI = BaseInfo(codes)
mCodes = Rice.getMain(codes)
#print(codes)
end = None
dd = str(public.getTime(style='%H:%M:%S'))
valids = Rice.getValidDate(start=-15, end=0)
if ('18:15:00' < dd < '23:59:59'):
end = public.getDate(diff=0)
else:
end = str(valids[-2])
dfs = Rice.kline(mCodes,
period='1d',
start=public.getDate(diff=-150),
end=end,
pre=20)
docs = []
Tmap = Record.trendMap(methods)
Pos = []
j = 0
for m in methods:
Pos.append(Record.getOpenMap(method=m, batchNum=1))
for mcode in mCodes:
code = BI.parseCode(mcode)
if code in self.banCodeList: continue
df = dfs[mcode]
close = df['close']
df["datetime"] = df.index
df["ma10"] = ma10 = ta.MA(close, timeperiod=10)
df["ma20"] = ma20 = ta.MA(close, timeperiod=20)
df["ma55"] = ta.MA(close, timeperiod=55)
atr21 = ta.ATR(df['high'], df['low'], close, timeperiod=21)
df['3atr'] = atr21 * 3
# 计算ma10-ma20 穿越线间距
df['mac'] = mac = ma10 - ma20
df['mac2'] = mac.shift(2)
df['mac3'] = mac.shift(3)
# isPoint
df['mad'] = mac * mac.shift(1)
df['mam'] = mam = df.apply(lambda row: self.isMam(row), axis=1)
minidx, maxidx = ta.MINMAXINDEX(mam, timeperiod=75)
df['interval'] = abs(minidx - maxidx)
# 修正不正常K线
df['high'] = df.apply(lambda row: self.k_fix(row, 1), axis=1)
df['low'] = df.apply(lambda row: self.k_fix(row, -1), axis=1)
# 唐奇安线18日
df['tu_s'] = ta.MAX(df['high'], timeperiod=18 - 1)
df['td_s'] = ta.MIN(df['low'], timeperiod=18 - 1)
# 唐奇安线27日
df['tu_s1'] = ta.MAX(df['high'], timeperiod=27 - 1)
df['td_s1'] = ta.MIN(df['low'], timeperiod=27 - 1)
# 唐奇安线34日
df['tu_34'] = ta.MAX(df['high'], timeperiod=33)
df['td_34'] = ta.MIN(df['low'], timeperiod=33)
# 40日低点
ld = close[close.notnull()]
p = 40 if len(ld) > 40 else len(ld) - 1
df['tu_d'] = ta.MAX(df['high'], timeperiod=p - 1)
df['td_d'] = ta.MIN(df['low'], timeperiod=p - 1)
fp, fd = 27, 5
# 计算穿越值
out = df.apply(lambda row: self.isout0(row), axis=1)
df['out_s'] = ta.SUM(out, timeperiod=fp)
df['trend'] = df['out_s'].apply(lambda x: -1 if x > fd else 1
if x < -fd else 0)
#posTrend = 0 if code not in trendMap else trendMap[code]['trend']
df['isout'] = isout = df.apply(lambda row: self.isout(row, 0),
axis=1)
df['isout3'] = ta.SUM(isout, timeperiod=3)
df['isout5'] = ta.SUM(isout, timeperiod=5)
param = copy.deepcopy(df.iloc[-1]).to_dict()
isLong, type = 1, 0
if code in Tmap:
isLong = Tmap[code]['trend']
type = 1
elif param['trend'] != 0:
isLong = param['trend']
type = 2
else:
isLong = -1 if param['ma20'] > param['ma55'] else 1
type = 3
j += 1
isL = -1 if code in self.shortCodeList else 1 if code in self.longCodeList else 0
if code in []:
print(code, isLong, isL, param['trend'])
file = Rice.basePath + '%s_%s_%s.csv' % (
code, public.getDatetime(style='%Y%m%d_%H%M%S'),
methods[0])
df.to_csv(file, index=0)
# 计算交易手数
mul = BI.att(code, "contract_multiplier")
dp = param['td_d'] if isLong > 0 else param['tu_d']
p18 = param['tu_s'] if isLong > 0 else param['td_s']
p27 = param['tu_s1'] if isLong > 0 else param['td_s1']
if np.isnan(param['ma55']) or np.isnan(p18):
print('period no long:', code)
continue
ma20v_18 = (self.iniAmount * self.stopLine / abs(p18 - dp) / mul)
ma20v_18 = int(ma20v_18 + 0.2)
ma20v_27 = (self.iniAmount * self.stopLine / abs(p27 - dp) / mul)
ma20v_27 = int(ma20v_27 + 0.2)
#
ma55v = (self.iniAmount * self.stopLine / param['3atr'] / mul)
ma55v = int(ma55v + 0.2)
# 固定一手交易
if code in self.oneCodeList:
ma55v = ma20v_18 = ma20v_27 = 1
# 计算持仓和止损
p = np.zeros((2, 3))
i = 0
mp = 0
for pos in Pos:
if code in pos:
d = pos[code][0]
# 最近高点
sign = np.sign(int(d['mode']))
p[i][0] = sign * d['hands']
p[i][2] = mul * d['hands'] * (param['close'] -
d['price']) * sign
if i == 0:
p[i][1] = param['td_d'] if sign > 0 else param['tu_d']
else:
mp = self.getMax(df, d['createdate'],
public.getDate(diff=1), d['mode'])
if np.isnan(mp):
print('no max Price:', code, mp)
p[i][1] = round(mp, 1) - sign * round(param['3atr'], 1)
i += 1
param.update({
'code': mcode,
'方向': '多' if isLong == 1 else '空',
'price_18': p18,
'vol_18': ma20v_18,
'price_27': p27,
'vol_27': ma20v_27,
'vol_55': ma55v,
'乘数': mul,
'3ATR': round(param['3atr'], 1),
'系统1持仓': p[0][0],
'price_40': dp,
'40日止损价': p[0][1],
'浮盈1': p[0][2],
'系统2持仓': p[1][0],
'最高点': mp,
'3ATR止损价': p[1][1],
'浮盈2': p[1][2],
'状态': Model.getStatus(methods, code),
'指定方向': Model.getTrend(code),
})
docs.append(param)
res = pd.DataFrame(docs,
columns=[
'code', 'close', '方向', 'price_40', 'price_18',
'vol_18', 'price_27', 'vol_27', '3ATR',
'vol_55', '乘数', '系统1持仓', '40日止损价', '浮盈1',
'系统2持仓', '最高点', '3ATR止损价', '浮盈2', '状态', '指定方向'
])
res = res.sort_values('code', ascending=True)
file = Rice.basePath + 'future_%s_%s.csv' % (public.getDate(),
methods[0])
res.to_csv(file, index=0)
logger.info(('autoCreateAtr finished:', len(docs)))
return res
def getStatus(self, methods, code):
posMode = self.Record.openMode(methods, code)
lastStop = self.Record.lastStop(methods, code)
trend = self.getTrend(code)
status = -1
if posMode[1] == 0:
if lastStop[0] == 6 or (lastStop[0] == 0 and trend == 0):
status = 0
elif lastStop[0] in [3, 5] or (lastStop[0] == 0 and trend != 0):
status = 1
elif lastStop[0] == 2:
status = 2
elif posMode[1] == 1:
if posMode[0].find('55') > -1:
status = 5
elif lastStop[0] == 3:
status = 3.5
else:
status = 3
elif posMode[1] == 2:
status = 4
return status
def getTrend(self, code):
return 1 if code in self.longCodeList else -1 if code in self.shortCodeList else 0
def getMaps(self):
orderMap, codes, mCodes = {}, [], []
b = BaseInfo([])
obj = interface_pyctp(baseInfo=b, userkey='zhao')
res = obj.qryPositionDetail()
methodName = 'mZhao'
codes55 = ['J1905', 'Y1905', 'P1905', 'NI1905', 'HC1905']
for r in res:
if r['Volume'] > 0:
s = r['InstrumentID'].decode('gbk')
if s not in orderMap:
m = b.parseMCode(s)
c = b.parseCode(m)
order = {
"symbol":
s,
"code":
m,
"mode":
1 if r['Direction'].decode('gbk') == '0' else -1,
"isopen":
1,
"hands":
r['Volume'],
"price":
r['OpenPrice'],
"method":
methodName,
"createdate":
public.parseTime(r['OpenDate'].decode('utf-8'),
format='%Y%m%d',
style='%Y-%m-%d %H:%M:%S')
}
orderMap[s] = order
else:
orderMap[s]["hands"] += r['Volume']
orders = []
for key in orderMap.keys():
doc = orderMap[key]
if doc['code'] in codes55:
v = doc['hands']
v0 = int(v / 2)
doc['hands'] = v0
orders.append(doc)
# method55
v1 = v - v0
doc1 = copy.deepcopy(doc)
doc1['hands'] = v1
doc1['method'] = 'mZhao55'
orders.append(doc1)
else:
orders.append(doc)
return orders
def getMaps2(self, mapList):
codes = [c[0] for c in mapList]
orders = []
mCodes = self.Rice.getMain(codes)
snaps = self.Rice.snap(mCodes)
i = 0
for m in mCodes:
s = self.BI.ctpCode(m)
order = {
"symbol": s,
"code": m,
"name": mapList[i][0],
"mode": mapList[i][1],
"isopen": mapList[i][2],
"hands": mapList[i][3],
"price":
snaps[m]['last'] if len(mapList[i]) < 6 else mapList[i][5],
"method": mapList[i][4],
"createdate": public.getDatetime(diff=0),
}
orders.append(order)
i += 1
return orders
# 平仓
def closeFuture(self, id='278231', price=5059, isstop=2, date=None):
self.Record = future_orderForm()
self.BI = BaseInfo([])
doc = self.Record.getById(id)
docnew = copy.deepcopy(doc)
base = self.BI.doc(doc['name'])
amount = price * doc['hands'] * base['contract_multiplier']
r = base['ratio']
fee = doc['hands'] * r if r >= 0.5 else amount * r
docnew.update({
"isopen":
0,
"isstop":
isstop,
"price":
price,
"mode":
-doc["mode"],
"vol":
doc['hands'] * base['contract_multiplier'],
"status":
6,
"fee":
fee,
"createdate":
public.getDatetime() if date is None else date,
"income":
np.sign(doc["mode"]) * (price - doc['price']) * doc['hands'] *
base['contract_multiplier'] - fee,
"memo":
''
})
print(docnew)
self.Record.insert(docnew)
# 平仓
def newFuture(self,
id='278231',
price=5059,
mode=2,
hands=5,
date=None,
test=False,
new_method=None,
mcode=None,
memo=''):
self.Record = future_orderForm()
self.BI = BaseInfo([])
doc = self.Record.getById(id)
docnew = copy.deepcopy(doc)
base = self.BI.doc(doc['name'])
amount = price * hands * base['contract_multiplier']
r = base['ratio'] * 1.1
fee = hands * r if r >= 0.5 else amount * r
del docnew['id']
name = doc['name']
# 替换method
if new_method is None:
mode_old = doc['mode']
uid, method = doc['uid'], doc['method']
m0 = method[:-2] if method.find('55') != -1 else method + '55'
print(mode_old, uid, m0)
if (abs(mode_old) < 5 and abs(mode) > 4) or (abs(mode_old) > 4
and abs(mode) < 5):
uid = uid.replace(method, m0)
method = method.replace(method, m0)
else:
uid, method = doc['uid'], doc['method']
uid = uid.replace(method, new_method)
method = new_method
docnew.update({
"code": self.BI.mCode(name) if mcode is None else mcode,
"symbol": self.BI.ctpCode(name),
"isopen": 1,
"isstop": 0,
"price": price,
"mode": mode,
"hands": hands,
"ini_hands": hands,
"ini_price": price,
"vol": hands * base['contract_multiplier'],
"status": 6,
"fee": round(fee, 2),
"batchid": str(uuid.uuid1()),
"createdate": public.getDatetime() if date is None else date,
"income": round(-fee, 2),
"method": method,
"uid": uid,
"memo": memo
})
print(docnew)
if not test:
self.Record.insert(docnew)
def alterFuture(self, id='278231', price0=0, price1=0, mCode=None):
# 平仓
self.closeFuture(id=id, price=price0, isstop=4)
# 开仓
Rice = interface_Rice()
doc = self.Record.getById(id)
docnew = copy.deepcopy(doc)
if mCode is None:
m = Rice.getMain([doc['name']])[0]
else:
m = mCode
docnew.update({
"price": price1,
"ini_price": price1,
"code": m,
"symbol": self.BI.parseCtpCode(m),
"status": 6,
#"createdate": str(doc['createdate']),
"batchid": str(uuid.uuid1())
})
print(docnew)
self.Record.insert(docnew)
def orderStart(self):
self.BI = BaseInfo([])
self.Rice = interface_Rice()
self.Record = future_orderForm()
self.Record.tablename = 'future_orderForm_1'
self.Rice.setIndexList([('IH', '000016.XSHG'), ('IF', '399300.XSHE'),
('IC', '399905.XSHE')])
map = [
['AP', 1, 1, 5, 'mZhao', 11087],
#['IH', 1, 1, 1, 'mZhao55']
]
orderMap = self.getMaps2(map)
self.addOrder(orderMap)
#
def addOrder(self, orderMap):
res = []
for order in orderMap:
m = order['code']
dfs = self.Rice.kline([m],
period='1d',
start=public.getDate(diff=-100),
pre=10)
df0 = dfs[m]
# 计算40天最小值
df0['high'] = df0.apply(lambda row: self.k_fix(row, 1), axis=1)
df0['low'] = df0.apply(lambda row: self.k_fix(row, -1), axis=1)
period = 40 if len(df0) >= 40 else len(df0)
print(m, period)
mx = ta.MAX(df0['high'], timeperiod=period).values[-1]
mi = ta.MIN(df0['low'], timeperiod=period).values[-1]
dp = mx if order['mode'] < 0 else mi
ra, mul = self.BI.att(m, 'ratio'), self.BI.att(
m, 'contract_multiplier')
fee0 = (order['hands'] *
ra) if ra > 0.5 else (mul * order['hands'] *
order['price'] * ra)
doc = copy.deepcopy(order)
doc.update({
"vol":
order['hands'] * mul,
"fee":
fee0,
"ini_hands":
order['hands'], # 提交单数
"ini_price":
order['price'], # 提交价格
"isstop":
0,
"income":
-fee0,
'stop_price':
dp,
"batchid":
uuid.uuid1(),
"status":
6, # 定单P执行CT返回状态
"uid":
'%s_40_2.0_1_0_%s' % (self.BI.parseCode(m), order['method'])
})
res.append(doc)
self.Record.insertAll(res)
def getMonTick(self, codes=None, method='dema5', num=4000):
Tick = mon_tick()
Rice = interface_Rice()
if codes is None: codes = ['MA', 'A']
diff = -1
for c in codes:
docs = Tick.getTick(c, count=num, method=method)
print(c, len(docs))
if len(docs) > 0:
f = Rice.basePath + "%s_%s.csv" % (c, public.getDate())
r = [d for d in docs]
r.reverse()
df = pd.DataFrame(r)
df.drop(['_id'], axis=1, inplace=True)
try:
df.to_csv(f, index=0)
print("%s output" % f)
except:
continue
def getDf(self, codes, period='1d'):
Rice = interface_Rice()
Rice.setIndexList(self.indexCodeList)
Base = future_baseInfo()
BI = BaseInfo([])
if len(codes) == 0:
codes = Base.getUsedMap(hasIndex=True)
mCodes = Rice.getMain(codes)
dfs = Rice.kline(mCodes,
period=period,
start=public.getDate(diff=-10),
pre=200)
i = 0
for mcode in mCodes:
c = codes[i]
last = BI.att(c, 'nightEnd')[0:6].replace(':', '')
file = Rice.basePath + 'future_%s_%s_%s.csv' % (
mcode, last, public.getDatetime(style='%Y%m%d_%H%M%S'))
print(mcode, last)
df = dfs[mcode]
df['datetime'] = df.index
df0 = df[df['datetime'] > '2019-01-17 13:47:40.000']
print(df0.index, len(df0))
#df.to_csv(file, index=0)
i += 1
break
def compare(self, type=''):
if type == 'm':
user = '******'
methods = ['mZhao', 'mZhao55']
else:
user = '******'
methods = ['zhao', 'zhao55']
b = BaseInfo([])
Ctp = interface_pyctp(baseInfo=b, userkey=user)
map = Ctp.posMap
Rice = interface_Rice()
Orders = future_orderForm()
posMap = {}
for pos in Orders.posByCode(methods):
posMap[pos[0]] = pos[1]
if pos[0] in map and pos[1] == map[pos[0]][0]:
print('match ', pos, map[pos[0]])
else:
if pos[0] in map:
print('unmatch ', pos, map[pos[0]])
else:
print('no purchase', pos)
# 检查是否调仓
pCode, name = pos[2], pos[0].split("_")[0]
mCode = Rice.getMain([name])[0]
if pCode != mCode:
print(' --------- Need alter position:', pCode, mCode)
for key in map:
if len(key) < 6 and key not in posMap:
print('no record', key, map[key])
print(len(posMap.keys()))
def autoCreateAtr(self, type=0):
Rice = interface_Rice()
Rice.setIndexList(self.indexCodeList)
Base = future_baseInfo()
Record = self.Record = future_orderForm()
Model = model_future_zhao_v1()
methods = ['mZhao', 'mZhao55']
self.iniAmount, self.stopLine = 15400000, 0.0025
if type == 1:
methods = ['zhao', 'zhao55']
self.iniAmount, self.stopLine = 20000000, 0.0025
codes = Base.getUsedMap(hasIndex=True)
BI = BaseInfo(codes)
mCodes = Rice.getMain(codes)
#print(codes)
end = None
dd = str(public.getTime(style='%H:%M:%S'))
valids = Rice.getValidDate(start=-15, end=0)
if ('18:15:00' < dd < '23:59:59'):
end = public.getDate(diff=0)
else:
end = str(valids[-2])
dfs = Rice.kline(mCodes,
period='1d',
start=public.getDate(diff=-150),
end=end,
pre=20)
docs = []
Tmap = Record.trendMap(methods)
Pos = []
j = 0
for m in methods:
Pos.append(Record.getOpenMap(method=m, batchNum=1))
for mcode in mCodes:
code = BI.parseCode(mcode)
if code in self.banCodeList: continue
df = dfs[mcode]
close = df['close']
df["datetime"] = df.index
df["ma10"] = ma10 = ta.MA(close, timeperiod=10)
df["ma20"] = ma20 = ta.MA(close, timeperiod=20)
df["ma55"] = ta.MA(close, timeperiod=55)
atr21 = ta.ATR(df['high'], df['low'], close, timeperiod=21)
df['3atr'] = atr21 * 3
# 计算ma10-ma20 穿越线间距
df['mac'] = mac = ma10 - ma20
df['mac2'] = mac.shift(2)
df['mac3'] = mac.shift(3)
# isPoint
df['mad'] = mac * mac.shift(1)
df['mam'] = mam = df.apply(lambda row: self.isMam(row), axis=1)
minidx, maxidx = ta.MINMAXINDEX(mam, timeperiod=75)
df['interval'] = abs(minidx - maxidx)
# 修正不正常K线
df['high'] = df.apply(lambda row: self.k_fix(row, 1), axis=1)
df['low'] = df.apply(lambda row: self.k_fix(row, -1), axis=1)
# 唐奇安线18日
df['tu_s'] = ta.MAX(df['high'], timeperiod=18 - 1)
df['td_s'] = ta.MIN(df['low'], timeperiod=18 - 1)
# 唐奇安线27日
df['tu_s1'] = ta.MAX(df['high'], timeperiod=27 - 1)
df['td_s1'] = ta.MIN(df['low'], timeperiod=27 - 1)
# 唐奇安线34日
df['tu_34'] = ta.MAX(df['high'], timeperiod=33)
df['td_34'] = ta.MIN(df['low'], timeperiod=33)
# 40日低点
ld = close[close.notnull()]
p = 40 if len(ld) > 40 else len(ld) - 1
df['tu_d'] = ta.MAX(df['high'], timeperiod=p - 1)
df['td_d'] = ta.MIN(df['low'], timeperiod=p - 1)
fp, fd = 27, 5
# 计算穿越值
out = df.apply(lambda row: self.isout0(row), axis=1)
df['out_s'] = ta.SUM(out, timeperiod=fp)
df['trend'] = df['out_s'].apply(lambda x: -1 if x > fd else 1
if x < -fd else 0)
#posTrend = 0 if code not in trendMap else trendMap[code]['trend']
df['isout'] = isout = df.apply(lambda row: self.isout(row, 0),
axis=1)
df['isout3'] = ta.SUM(isout, timeperiod=3)
df['isout5'] = ta.SUM(isout, timeperiod=5)
param = copy.deepcopy(df.iloc[-1]).to_dict()
isLong, type = 1, 0
if code in Tmap:
isLong = Tmap[code]['trend']
type = 1
elif param['trend'] != 0:
isLong = param['trend']
type = 2
else:
isLong = -1 if param['ma20'] > param['ma55'] else 1
type = 3
j += 1
isL = -1 if code in self.shortCodeList else 1 if code in self.longCodeList else 0
if code in []:
print(code, isLong, isL, param['trend'])
file = Rice.basePath + '%s_%s_%s.csv' % (
code, public.getDatetime(style='%Y%m%d_%H%M%S'),
methods[0])
df.to_csv(file, index=0)
# 计算交易手数
mul = BI.att(code, "contract_multiplier")
dp = param['td_d'] if isLong > 0 else param['tu_d']
p18 = param['tu_s'] if isLong > 0 else param['td_s']
p27 = param['tu_s1'] if isLong > 0 else param['td_s1']
if np.isnan(param['ma55']) or np.isnan(p18):
print('period no long:', code)
continue
ma20v_18 = (self.iniAmount * self.stopLine / abs(p18 - dp) / mul)
ma20v_18 = int(ma20v_18 + 0.2)
ma20v_27 = (self.iniAmount * self.stopLine / abs(p27 - dp) / mul)
ma20v_27 = int(ma20v_27 + 0.2)
#
ma55v = (self.iniAmount * self.stopLine / param['3atr'] / mul)
ma55v = int(ma55v + 0.2)
# 固定一手交易
if code in self.oneCodeList:
ma55v = ma20v_18 = ma20v_27 = 1
# 计算持仓和止损
p = np.zeros((2, 3))
i = 0
mp = 0
for pos in Pos:
if code in pos:
d = pos[code][0]
# 最近高点
sign = np.sign(int(d['mode']))
p[i][0] = sign * d['hands']
p[i][2] = mul * d['hands'] * (param['close'] -
d['price']) * sign
if i == 0:
p[i][1] = param['td_d'] if sign > 0 else param['tu_d']
else:
mp = self.getMax(df, d['createdate'],
public.getDate(diff=1), d['mode'])
if np.isnan(mp):
print('no max Price:', code, mp)
p[i][1] = round(mp, 1) - sign * round(param['3atr'], 1)
i += 1
param.update({
'code': mcode,
'方向': '多' if isLong == 1 else '空',
'price_18': p18,
'vol_18': ma20v_18,
'price_27': p27,
'vol_27': ma20v_27,
'vol_55': ma55v,
'乘数': mul,
'3ATR': round(param['3atr'], 1),
'系统1持仓': p[0][0],
'price_40': dp,
'40日止损价': p[0][1],
'浮盈1': p[0][2],
'系统2持仓': p[1][0],
'最高点': mp,
'3ATR止损价': p[1][1],
'浮盈2': p[1][2],
'状态': Model.getStatus(methods, code),
'指定方向': Model.getTrend(code),
})
docs.append(param)
res = pd.DataFrame(docs,
columns=[
'code', 'close', '方向', 'price_40', 'price_18',
'vol_18', 'price_27', 'vol_27', '3ATR',
'vol_55', '乘数', '系统1持仓', '40日止损价', '浮盈1',
'系统2持仓', '最高点', '3ATR止损价', '浮盈2', '状态', '指定方向'
])
res = res.sort_values('code', ascending=True)
file = Rice.basePath + 'future_%s_%s.csv' % (public.getDate(),
methods[0])
res.to_csv(file, index=0)
logger.info(('autoCreateAtr finished:', len(docs)))
return res
def create(self):
self.Rice = Rice = interface_Rice()
self.Rice.setIndexList(self.indexCodeList)
self.Base = Base = future_baseInfo()
self.Tick = mon_tick()
codes = Base.getUsedMap(hasIndex=True)
BI = BaseInfo(codes)
mCodes = Rice.getMain(codes)
period = 14
self.count = count = 300
self.preDict = {}
self.exKtype = self.getKtype()
self.renewQuicktype()
docs, ex, trends = [], [], []
for mcode in mCodes:
code = BI.parseCode(mcode)
nt = BI.att(code, 'nightEnd')
Rice.setTimeArea(BI.att(code, 'nightEnd'))
#if code in self.banCodeList: continue
doc = {'code': code, 'qtype': ''}
std0v, maxDiss = 0, 0
ptick = self.getTick(code)
doc['qtype'] = self.quickPeriodList[-1]
for ktype in self.quickPeriodList + self.periodList:
start = self.getStart(nt, ktype)
df0 = Rice.kline([mcode], period=ktype, start=start,
pre=0)[mcode]
close = df0["close"]
# bull
ma = ta.MA(close, timeperiod=period)
std = ta.STDDEV(close, timeperiod=period, nbdev=1)
std0 = std / ma * 100
std0v = std0.mean()
# ss = std0v if 0.3 < std0v < 0.5 else -1
doc[ktype] = std0v
tick = BI.att(code, 'tick_size') / ma.mean() * 100
tick0 = ptick / ma.mean() * 100
tick = tick0 if tick0 > tick else tick
# 快速线大于5个tick
if ktype in self.quickPeriodList:
sub = 3 * tick
if std0v > sub and doc['qtype'] == '':
doc['qtype'] = ktype
doc['qtick'] = std0v
continue
# sub = 0.2 if code in ['AU', 'AL', 'AG', 'I'] else 0.28
sub = 8 * tick
if sub > 0.4: sub = 0.4
if sub < 0.2: sub = 0.2
if sub < std0v and not code in ex:
doc['ktype'] = ktype
doc['stdv'] = std0v
doc['tick'] = tick
ex.append(code)
# kdj顶点
kd = 5
kdjK, kdjD = ta.STOCH(df0["high"],
df0["low"],
close,
fastk_period=kd,
slowk_period=3,
slowk_matype=1,
slowd_period=3,
slowd_matype=1)
df0["kdj_d2"] = kdj_d2 = kdjK - kdjD
df0["kdjm"] = kdj_d2 * kdj_d2.shift(1)
df0["kdjm"] = df0.apply(
lambda row: self.turn(row['kdjm'], row['kdj_d2'], 1),
axis=1)
ah = df0[df0["kdjm"] == 1]
diss = count / len(ah)
doc['d' + ktype] = diss
if diss > maxDiss:
doc['diss'] = diss
doc['dtype'] = ktype
maxDiss = diss
# 最小trend
if code not in ex:
doc['ktype'] = '60m'
doc['stdv'] = std0v
minx = 100
#I = self.periodList.index('30m')
#line = 0.20 if doc['ktype'] in ['30m', '60m'] else 0.40 if doc['ktype'] in ['5m'] else 0.30
line = 0.35
#line = 0.3
for k in self.periodList:
v = (doc['diss'] -
doc['d' + k]) / doc['diss'] + abs(doc[k] - line) / 0.2
if v < minx:
doc['mtype'] = k
minx = v
if code in self.exKtype:
if not doc['mtype'] == self.exKtype[code]:
print(code, doc['mtype'])
self.updateKtype(code, doc['mtype'])
if doc['qtype'] != '':
kc = self.klineCompare(doc['mtype'], doc['qtype'])
if kc > 4:
print(code, doc['qtype'])
self.updateQuicktype(code, doc['qtype'])
docs.append(doc)
#break
df = pd.DataFrame(docs)
file = Rice.basePath + 'std_%s_.csv' % (public.getDatetime(
style='%Y%m%d_%H%M%S'))
df.to_csv(
file,
columns=[
'code', 'mtype', 'qtype', 'qtick', 'ktype', 'stdv', 'tick'
] + self.quickPeriodList + self.periodList + ['dtype', 'diss'] +
['d' + c for c in self.periodList],
index=0)