def run():
# 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 u'行情服务器登录成功'
last_time = None
up_trader_flag = False
down_trader_flag = False
while True:
try:
payload = q_depth_market_data.get(timeout=1)
sewing_data_to_file_and_depositary(depth_market_data=payload)
last_k_line = get_last_k_line(instrument_id=inst[0], interval=60)
if last_k_line is not None:
if last_time != last_k_line['date_time']:
last_time = last_k_line['date_time']
up_trader_flag = False
down_trader_flag = False
if not up_trader_flag and payload.LastPrice > last_k_line[
'high']:
# 下多单
up_trader_flag = True
print
print u'下多单'
print last_k_line
print payload.LastPrice
if not down_trader_flag and payload.LastPrice < last_k_line[
'low']:
# 下空单
down_trader_flag = True
print
print u'下空单'
print last_k_line
print payload.LastPrice
print get_mac(instrument_id='rb1805',
interval='120',
mac='2c5')
except Queue.Empty as e:
pass
def DingDangNo6():
logfilename = BROKER_ID + '_' + INVESTOR_ID + '_交易日志' + str(today) + '.log'
log = Logger(logfilename=logfilename)
config = incept_config()
load_data_from_file()
init_k_line_pump()
workdays = TradingPeriod.get_workdays(begin=config['begin'],
end=config['end'])
workdays_exchange_trading_period_by_ts = \
TradingPeriod.get_workdays_exchange_trading_period(
_workdays=workdays, exchange_trading_period=EXCHANGE_TRADING_PERIOD)
inst = 'rb1905'
granularity = 780
serverport = 'http://192.168.1.19:8008'
bars = dict()
barss = load_data_from_server(server_base=serverport,
instruments_id=inst,
granularity=granularity)
barinterval = inst + '_' + str(granularity)
bars[barinterval] = barss
if today in workdays_exchange_trading_period_by_ts:
trading_period_by_ts = workdays_exchange_trading_period_by_ts[today]
else:
print('Not trading day, return to system.')
return
pc_grid = grid
s = S = ApiStruct.D_Sell
b = B = ApiStruct.D_Buy
k = K = ApiStruct.OF_Open
p = P = ApiStruct.OF_Close
pj = PJ = ApiStruct.OF_CloseToday
pz = PZ = ApiStruct.OF_CloseYesterday
# T['TE_RESUME'] = 'int' # 流重传方式
# TERT_RESTART = 0 # 从本交易日开始重传
# TERT_RESUME = 1 # 从上次收到的续传
# TERT_QUICK = 2 # 只传送登录后的流内容
# 登录行情服务器
md = MyMdApi(instruments=inst,
broker_id=BROKER_ID,
investor_id=INVESTOR_ID,
password=PASSWORD)
md.Create(INVESTOR_ID + "data")
md.RegisterFront(ADDR_MD)
md.Init()
td = MyTradeApi(broker_id=BROKER_ID,
investor_id=INVESTOR_ID,
passwd=PASSWORD)
td.Create(LOGS_DIR + INVESTOR_ID + "_trader")
td.RegisterFront(ADDR_TD)
td.SubscribePublicTopic(1)
td.SubscribePrivateTopic(1)
td.Init()
last_time = None
up_trader_flag = False
down_trader_flag = False
while True:
if not q_depth_market_data.empty():
tick = q_depth_market_data.get()
sewing_data_to_file_and_depositary(depth_market_data=tick)
last_k_line = get_last_k_line(instrument_id=inst[0],
interval=period)
DayOpen = tick.OpenPrice
DayHigh = tick.HighestPrice
DayLow = tick.LowestPrice
H = get_k_line_column(strategy_inst, strategy_period, ohlc='high')
L = get_k_line_column(strategy_inst, strategy_period, ohlc='low')
C = get_k_line_column(strategy_inst, strategy_period, ohlc='close')
HL = HLV(H, L)
MHL = max(HL)
MminHL = min(HL)
AVHL = sum(HL) / len(HL)
vgrid = int(AVHL * 0.8)
# calculate the uppper and lower band
HV = HHV(H, 23)
LV = LLV(L, 23)
# #middle line
DingDang = MID(HV, LV)
allsig = cross(C, DingDang)[0] * 2
if last_k_line is not None and tick.InstrumentID == strategy_inst:
if last_time != last_k_line['date_time']:
last_time = last_k_line['date_time']
up_trader_flag = False
down_trader_flag = False
dingdang = 'Buy!' if tick.LastPrice > Mid[-1] else 'Sell'
bkvol = buy_order - sp_total if buy_order - sp_total > 0 else 0
skvol = sell_order - bp_total if sell_order - bp_total > 0 else 0
# bkvol = get_day_bkvol(td, strategy_inst)
# skvol = get_day_skvol(td, strategy_inst)
print('当前时间: ', tick.UpdateTime, 'HIGH:', last_k_line['high'],
' ', 'LOW:', last_k_line['low'], '当前价: ',
tick.LastPrice, '叮当值:', Mid[-1], dingdang, 'buy_limit:',
bk_limit, 'sell_limit:', sk_limit)
print('buy_order: ', buy_order, 'sell_order: ', sell_order,
BROKER_ID, INVESTOR_ID, tick.InstrumentID, 'sp_total: ',
sp_total, 'bp_total: ', bp_total, '日多:', bkvol, '日空:',
skvol)
if (not up_trader_flag and not last_k_line['low'] == last_k_line['high']) and tick.LastPrice > \
last_k_line['high'] and tick.LastPrice - last_k_line['high'] < 30 and bkvol < bk_limit:
# 下多单
print(bkvol, bk_limit)
up_trader_flag = True
order_price = tick.LastPrice
buy_rec.append([datetime.now(), order_price])
# if sell_order > 0:
# td.PrepareOrder(tick.InstrumentID, B, P, sell_order, tick.LastPrice + pc_grid)
# sell_order -= sell_order
td.PrepareOrder(tick.InstrumentID, b, k, single_volume,
order_price)
log.info(log.printfNow() + '下空单:' + str(single_volume) +
',orderprice:' + str(order_price) + 'skvol:' +
str(skvol) + 'sk_limit:' + str(sk_limit))
# td.PrepareOrder(tick.InstrumentID, s, pz, single_volume, tick.LastPrice)
print()
print(
'下多单', tick.InstrumentID, INVESTOR_ID,
str(single_volume) + ',orderprice:' +
str(order_price) + 'skvol:' + str(skvol) +
'sk_limit:' + str(sk_limit))
print('lastHigh:', last_k_line['high'], 'lastLow: ',
last_k_line['low'], 'lastPrice: ', tick.LastPrice)
if (not down_trader_flag and not last_k_line['low'] == last_k_line['high']) and tick.LastPrice < \
last_k_line['low'] and (last_k_line['low'] - tick.LastPrice < 30) and skvol < sk_limit:
# 下空单
down_trader_flag = True
order_price = tick.LastPrice
# if buy_order > 0:
# td.PrepareOrder(tick.InstrumentID, S, P, buy_order, tick.LastPrice - pc_grid)
#
# buy_order -= buy_order
td.PrepareOrder(tick.InstrumentID, s, k, single_volume,
order_price)
log.info(log.printfNow() + '下空单:' + str(single_volume) +
',orderprice:' + str(order_price) + 'skvol:' +
str(skvol) + 'sk_limit:' + str(sk_limit))
# td.PrepareOrder(tick.InstrumentID, b, pz, single_volume, tick.LastPrice)
print()
print(
'下空单', tick.InstrumentID, INVESTOR_ID,
', orderprice:' + str(order_price) + ', skvol:' +
str(skvol) + ', sk_limit:' + str(sk_limit))
print('lastHigh:', last_k_line['high'], 'lastLow: ',
last_k_line['low'], 'lastPrice: ', tick.LastPrice)
if not q_rtn_order.empty():
rtn_order = q_rtn_order.get()
print(rtn_order)
print('下单成功，请注意。。。')
if not q_rtn_trade.empty():
rtn_td = q_rtn_trade.get()
print(rtn_td)
'''
Trade(BrokerID='0127', InvestorID='200277', InstrumentID='ni1811', OrderRef='69169', UserID='200277',
ExchangeID='SHFE', TradeID=' 652868', Direction='0', OrderSysID=' 2413585',
ParticipantID='0011', ClientID='01789993', TradingRole='\x00', ExchangeInstID='ni1811',
OffsetFlag='0', HedgeFlag='1', Price=112560.0, Volume=1, TradeDate='20180727',
TradeTime='23:52:48', TradeType='\x00', PriceSource='\x00', TraderID='0011c6c',
OrderLocalID=' 684', ClearingPartID='0011', BusinessUnit='', SequenceNo=1536,
TradingDay='20180730', SettlementID=1, BrokerOrderSeq=2310, TradeSource='0')
'''
# k
if rtn_td.Direction == B: # 方向 多
if rtn_td.OffsetFlag == K and rtn_td.InstrumentID == strategy_inst: # 多单开仓成交，下平仓指令， 开盘价+30
buy_order += rtn_td.Volume
order_price = rtn_td.Price + grid
td.PrepareOrder(rtn_td.InstrumentID, s, pj, rtn_td.Volume,
order_price)
print('多单建仓成交，平仓单挂单。。。')
elif rtn_td.OffsetFlag in [
P, PJ, PZ
] and rtn_td.InstrumentID == strategy_inst: # 平仓，
bp_total += rtn_td.Volume
elif rtn_td.Direction == S: # 方向：空
if rtn_td.OffsetFlag == K and rtn_td.InstrumentID == strategy_inst: # 开仓
# 空单建仓成交
sell_order += rtn_td.Volume
order_price = rtn_td.Price - grid
td.PrepareOrder(rtn_td.InstrumentID, b, pj, rtn_td.Volume,
order_price)
print('空单建仓成交，平仓单挂单。。。')
elif rtn_td.OffsetFlag in [
P, PJ, PZ
] and rtn_td.InstrumentID == strategy_inst:
sp_total += rtn_td.Volume
print(rtn_td.TradeTime, rtn_td.InstrumentID)
def Strategy_fairy_std():
pc_grid = grid
s = S = ApiStruct.D_Sell
b = B = ApiStruct.D_Buy
k = K = ApiStruct.OF_Open
p = P = ApiStruct.OF_Close
pj = PJ = ApiStruct.OF_CloseToday
pz = PZ = ApiStruct.OF_CloseYesterday
# T['TE_RESUME'] = 'int' # 流重传方式
# TERT_RESTART = 0 # 从本交易日开始重传
# TERT_RESUME = 1 # 从上次收到的续传
# TERT_QUICK = 2 # 只传送登录后的流内容
# 登录行情服务器
md = MyMdApi(instruments=inst,
broker_id=BROKER_ID,
investor_id=INVESTOR_ID,
password=PASSWORD)
md.Create(INVESTOR_ID + "data")
md.RegisterFront(ADDR_MD)
md.Init()
td = MyTradeApi(broker_id=BROKER_ID,
investor_id=INVESTOR_ID,
passwd=PASSWORD)
td.Create(LOGS_DIR + INVESTOR_ID + "_trader")
td.RegisterFront(ADDR_TD)
td.SubscribePublicTopic(1)
td.SubscribePrivateTopic(1)
td.Init()
last_time = None
buy_order = 0
sell_order = 0
up_trader_flag = False
down_trader_flag = False
while True:
if not q_depth_market_data.empty():
tick = q_depth_market_data.get()
sewing_data_to_file_and_depositary(depth_market_data=tick)
last_k_line = get_last_k_line(instrument_id=inst[0],
interval=period)
# print last_k_line['low'], last_k_line['high'], tick.LastPrice
if last_k_line is not None and tick.InstrumentID == strategy_inst:
if last_time != last_k_line['date_time']:
last_time = last_k_line['date_time']
up_trader_flag = False
down_trader_flag = False
print u'当前时间: ', tick.UpdateTime, u'HIGH: ', last_k_line[
'high'], u'LOW: ', last_k_line[
'low'], u'当前价: ', tick.LastPrice
print u'buy_order: ', buy_order, u'sell_order: ', sell_order, BROKER_ID, INVESTOR_ID, tick.InstrumentID
if (not up_trader_flag
and not last_k_line['low'] == last_k_line['high']
) and tick.LastPrice > last_k_line[
'high'] and buy_order <= buy_limit:
# 下多单
up_trader_flag = True
# if sell_order > 0:
# td.PrepareOrder(tick.InstrumentID, B, P, sell_order, tick.LastPrice + pc_grid)
# sell_order -= sell_order
td.PrepareOrder(tick.InstrumentID, b, k, single_volume,
tick.LastPrice - 30)
buy_order += single_volume
td.PrepareOrder(tick.InstrumentID, s, pj, single_volume,
tick.LastPrice + 30)
pc_grid -= step
pc_grid = max(6, pc_grid)
print
print u'下多单', tick.InstrumentID, INVESTOR_ID
print u'lastHigh:', last_k_line[
'high'], u'lastLow: ', last_k_line[
'low'], 'lastPrice: ', tick.LastPrice
# if (not down_trader_flag and not last_k_line['low'] == last_k_line['high']) and tick.LastPrice < last_k_line['low']:
# # 下空单
# down_trader_flag = True
#
# # if buy_order > 0:
# # td.PrepareOrder(tick.InstrumentID, S, P, buy_order, tick.LastPrice - pc_grid)
# #
# # buy_order -= buy_order
#
# td.PrepareOrder(tick.InstrumentID, s, k, single_volume, tick.LastPrice)
# sell_order += single_volume
#
# td.PrepareOrder(tick.InstrumentID, b, pj, single_volume, tick.LastPrice - 4)
#
# pc_grid -= step
# pc_grid = max(6, pc_grid)
#
# print
# print u'下空单', tick.InstrumentID, INVESTOR_ID
# print u'lastHigh:', last_k_line['high'], u'lastLow: ', last_k_line['low'], 'lastPrice: ', tick.LastPrice
#
if not q_rtn_trade.empty():
rtn_td = q_rtn_trade.get()
print rtn_td
'''
Trade(BrokerID='0127', InvestorID='200277', InstrumentID='ni1811', OrderRef='69169', UserID='200277',
ExchangeID='SHFE', TradeID=' 652868', Direction='0', OrderSysID=' 2413585',
ParticipantID='0011', ClientID='01789993', TradingRole='\x00', ExchangeInstID='ni1811',
OffsetFlag='0', HedgeFlag='1', Price=112560.0, Volume=1, TradeDate='20180727',
TradeTime='23:52:48', TradeType='\x00', PriceSource='\x00', TraderID='0011c6c',
OrderLocalID=' 684', ClearingPartID='0011', BusinessUnit='', SequenceNo=1536,
TradingDay='20180730', SettlementID=1, BrokerOrderSeq=2310, TradeSource='0')
'''
print rtn_td.TradeTime, rtn_td.InstrumentID
time.sleep(0.2)
def run():
strategy_parameters = [['AP901', 180], ['rb1810', 780]]
strategy_inst = ['rb1810']
# strategy_parameters[1][0]
strategy_period = strategy_parameters[1][1]
import shelve
acinfo = shelve.open(cfgfile)
# BROKER_ID = acinfo['BROKER_ID']
BROKER_ID = '7030'
INVESTOR_ID = acinfo['INVESTOR_ID']
PASSWORD = acinfo['PASSWORD']
# ADDR_MD = acinfo['ADDR_MD']
ADDR_MD = 'tcp://210.5.151.247:41213' # 海通实盘
ADDR_TD = acinfo['ADDR_TRADE']
acinfo.close()
s = S = ApiStruct.D_Sell
b = B = ApiStruct.D_Buy
k = K = ApiStruct.OF_Open
p = P = ApiStruct.OF_Close
# T['TE_RESUME'] = 'int' # 流重传方式
# TERT_RESTART = 0 # 从本交易日开始重传
# TERT_RESUME = 1 # 从上次收到的续传
# TERT_QUICK = 2 # 只传送登录后的流内容
# 登录行情服务器
user = MyMdApi(instruments=strategy_inst,
broker_id=BROKER_ID,
investor_id=INVESTOR_ID,
password=PASSWORD)
user.Create("data")
user.RegisterFront(ADDR_MD)
user.Init()
print u'行情服务器登录成功'
td = MyTradeApi(broker_id=BROKER_ID,
investor_id=INVESTOR_ID,
passwd=PASSWORD)
td.Create(LOGS_DIR + INVESTOR_ID + "_trader")
td.RegisterFront(ADDR_TD)
td.SubscribePublicTopic(1)
td.SubscribePrivateTopic(1)
td.Init()
print BROKER_ID, INVESTOR_ID, u'交易服务器登录成功。'
last_time = None
up_trader_flag = False
down_trader_flag = False
while True:
if not q_depth_market_data.empty():
payload = q_depth_market_data.get()
tick = deepcopy(payload)
sewing_data_to_file_and_depositary(depth_market_data=payload)
last_k_line = get_last_k_line(instrument_id='rb1810',
interval=strategy_period)
# print last_k_line['low'], last_k_line['high'], payload.LastPrice
if last_k_line is not None:
# get the h,l c,serieses.
stra_inst = 'rb1810'
H = get_k_line_column(stra_inst, strategy_period, ohlc='high')
L = get_k_line_column(stra_inst, strategy_period, ohlc='low')
C = get_k_line_column(stra_inst, strategy_period, ohlc='close')
# calculate the uppper and lower band
HV = HHV(H, 23)
LV = LLV(L, 23)
# middle line
Mid = list(map(lambda x: (x[0] + x[1]) / 2, zip(HV, LV)))
num, detail = cross(C, Mid)
# print 'High:', High[-20:]
# print 'Low:', Low[-20:]
#
# print 'HHV: ', HV[-20:]
# print 'LLV: ', LV[-20:]
print 'MID: ', Mid[-20:]
print 'Close: ', C[-20:]
print 'cross num: ', num
print 'cross detail: ', detail
if last_time != last_k_line['date_time']:
last_time = last_k_line['date_time']
up_trader_flag = False
down_trader_flag = False
if not up_trader_flag and payload.LastPrice > last_k_line[
'high'] and C[-1] > Mid[-1]:
# 下多单
up_trader_flag = True
td.PrepareOrder(tick.InstrumentID, b, k, single_volume,
tick.LastPrice)
td.PrepareOrder(tick.InstrumentID, S, P, single_volume,
tick.LastPrice + grid)
print
print u'下多单'
print last_k_line
print payload.LastPrice
if not down_trader_flag and payload.LastPrice < last_k_line[
'low'] and C[-1] <= Mid[-1]:
# 下空单
down_trader_flag = True
td.PrepareOrder(tick.InstrumentID, s, k, single_volume,
tick.LastPrice)
td.PrepareOrder(tick.InstrumentID, B, P, single_volume,
tick.LastPrice - grid)
print
print u'下空单'
print last_k_line
print payload.LastPrice
if not q_rtn_trade.empty():
rtn_td = q_rtn_trade.get()
print rtn_td.TradeTime
def Strategy_fairy_std():
pc_grid = grid
s = S = ApiStruct.D_Sell
b = B = ApiStruct.D_Buy
k = K = ApiStruct.OF_Open
p = P = ApiStruct.OF_Close
pj = PJ = ApiStruct.OF_CloseToday
pz = PZ = ApiStruct.OF_CloseYesterday
# T['TE_RESUME'] = 'int' # 流重传方式
# TERT_RESTART = 0 # 从本交易日开始重传
# TERT_RESUME = 1 # 从上次收到的续传
# TERT_QUICK = 2 # 只传送登录后的流内容
# 登录行情服务器
md = MyMdApi(instruments=inst, broker_id=BROKER_ID, investor_id=INVESTOR_ID, password=PASSWORD)
md.Create(INVESTOR_ID+"data")
md.RegisterFront(ADDR_MD)
md.Init()
td = MyTradeApi(broker_id=BROKER_ID, investor_id=INVESTOR_ID, passwd=PASSWORD)
td.Create(LOGS_DIR + INVESTOR_ID + "_trader")
td.RegisterFront(ADDR_TD)
td.SubscribePublicTopic(1)
td.SubscribePrivateTopic(1)
td.Init()
last_time = None
buy_order = 0
sell_order = 0
up_trader_flag = False
down_trader_flag = False
while True:
if not q_depth_market_data.empty():
tick = q_depth_market_data.get()
sewing_data_to_file_and_depositary(depth_market_data=tick)
last_k_line = get_last_k_line(instrument_id=inst[0], interval= period)
# print last_k_line['low'], last_k_line['high'], tick.LastPrice
if last_k_line is not None and tick.InstrumentID == strategy_inst:
if last_time != last_k_line['date_time']:
last_time = last_k_line['date_time']
up_trader_flag = False
down_trader_flag = False
print u'当前时间: ',tick.UpdateTime,u'HIGH: ',last_k_line['high'],u'LOW: ', last_k_line['low'], u'当前价: ', tick.LastPrice
print u'buy_order: ', buy_order, u'sell_order: ', sell_order, BROKER_ID, INVESTOR_ID, tick.InstrumentID
if (not up_trader_flag and not last_k_line['low'] == last_k_line['high']) and tick.LastPrice > last_k_line['high']:
# 下多单
up_trader_flag = True
# if sell_order > 0:
# td.PrepareOrder(tick.InstrumentID, B, P, sell_order, tick.LastPrice + pc_grid)
# sell_order -= sell_order
td.PrepareOrder(tick.InstrumentID, b, k, single_volume, tick.LastPrice)
buy_order += single_volume
td.PrepareOrder(tick.InstrumentID, s, pj, single_volume, tick.LastPrice + 5)
pc_grid -= step
pc_grid = max(6,pc_grid)
print
print u'下多单', tick.InstrumentID, INVESTOR_ID
print u'lastHigh:', last_k_line['high'], u'lastLow: ',last_k_line['low'], 'lastPrice: ', tick.LastPrice
if (not down_trader_flag and not last_k_line['low'] == last_k_line['high']) and tick.LastPrice < last_k_line['low']:
# 下空单
down_trader_flag = True
# if buy_order > 0:
# td.PrepareOrder(tick.InstrumentID, S, P, buy_order, tick.LastPrice - pc_grid)
#
# buy_order -= buy_order
td.PrepareOrder(tick.InstrumentID, s, k, single_volume, tick.LastPrice)
sell_order += single_volume
td.PrepareOrder(tick.InstrumentID, b, pj, single_volume, tick.LastPrice - 4)
pc_grid -= step
pc_grid = max(6, pc_grid)
print
print u'下空单', tick.InstrumentID, INVESTOR_ID
print u'lastHigh:', last_k_line['high'], u'lastLow: ', last_k_line['low'], 'lastPrice: ', tick.LastPrice
if not q_rtn_trade.empty():
rtn_td = q_rtn_trade.get()
print rtn_td
print rtn_td.TradeTime, rtn_td.InstrumentID
time.sleep(0.2)
def dingdang_three():
config = incept_config()
load_data_from_file()
init_k_line_pump()
workdays = TradingPeriod.get_workdays(begin=config['begin'],
end=config['end'])
workdays_exchange_trading_period_by_ts = \
TradingPeriod.get_workdays_exchange_trading_period(
_workdays=workdays, exchange_trading_period=EXCHANGE_TRADING_PERIOD)
pc_grid = grid
s = S = ApiStruct.D_Sell
b = B = ApiStruct.D_Buy
k = K = ApiStruct.OF_Open
p = P = ApiStruct.OF_Close
pj = PJ = ApiStruct.OF_CloseToday
pz = PZ = ApiStruct.OF_CloseYesterday
# T['TE_RESUME'] = 'int' # 流重传方式
# TERT_RESTART = 0 # 从本交易日开始重传
# TERT_RESUME = 1 # 从上次收到的续传
# TERT_QUICK = 2 # 只传送登录后的流内容
# 登录行情服务器
md = MyMdApi(instruments=inst,
broker_id=BROKER_ID,
investor_id=INVESTOR_ID,
password=PASSWORD)
md.Create(INVESTOR_ID + "data")
md.RegisterFront(ADDR_MD)
md.Init()
td = MyTradeApi(broker_id=BROKER_ID,
investor_id=INVESTOR_ID,
passwd=PASSWORD)
td.Create(LOGS_DIR + INVESTOR_ID + "_trader")
td.RegisterFront(ADDR_TD)
td.SubscribePublicTopic(1)
td.SubscribePrivateTopic(1)
td.Init()
last_time = None
buy_order = 0
sell_order = 0
bp_total = 0
sp_total = 0
bk_limit = 0
sk_limit = 2
up_trader_flag = False
down_trader_flag = False
while True:
if not q_depth_market_data.empty():
tick = q_depth_market_data.get()
sewing_data_to_file_and_depositary(depth_market_data=tick)
last_k_line = get_last_k_line(instrument_id=inst[0],
interval=strategy_period)
D_open = tick.OpenPrice
H = get_k_line_column(strategy_inst, strategy_period, ohlc='high')
L = get_k_line_column(strategy_inst, strategy_period, ohlc='low')
C = get_k_line_column(strategy_inst, strategy_period, ohlc='close')
if last_k_line is not None and tick.InstrumentID == strategy_inst:
HL = HLV(H, L)
MHL = max(HL)
MminHL = min(HL)
AVHL = sum(HL) / len(HL)
vgrid = int(AVHL * 0.8)
# calculate the uppper and lower band
HV = HHV(H, 23)
LV = LLV(L, 23)
# #middle line
Mid = MID(HV, LV)
ups = crossup(C, Mid)
dns = crossup(Mid, C)
avp = len(ups) / (ups.count(True) + dns.count(True))
uptotal = ups.count(True)
dntotal = dns.count(True)
print(ups.count(True), dns.count(True), avp)
print('Mid:', Mid[-23:])
print('C:', C[-23:])
print('ups:', ups[-23:])
print('dns:', dns[-23:])
print()
if last_time != last_k_line['date_time']:
last_time = last_k_line['date_time']
up_trader_flag = False
down_trader_flag = False
dingdang = 'Buy!' if tick.LastPrice > Mid[-1] else 'Sell'
bkvol = buy_order - sp_total if buy_order - sp_total > 0 else 0
skvol = sell_order - bp_total if sell_order - bp_total > 0 else 0
# bkvol = get_day_bkvol(td, strategy_inst)
# skvol = get_day_skvol(td, strategy_inst)
print('当前时间: ', tick.UpdateTime, 'HIGH:', last_k_line['high'],
' ', 'LOW:', last_k_line['low'], '当前价: ',
tick.LastPrice, '叮当值:', Mid[-1], dingdang)
print('buy_order: ', buy_order, 'sell_order: ', sell_order,
BROKER_ID, INVESTOR_ID, tick.InstrumentID, 'sp_total: ',
sp_total, 'bp_total: ', bp_total, '日多:', bkvol, '日空:',
skvol)
if ups[-1] and not up_trader_flag:
# 下多单
print(bkvol, bk_limit)
up_trader_flag = True
# if sell_order > 0:
# td.PrepareOrder(tick.InstrumentID, B, PJ, sell_order, tick.LastPrice + pc_grid)
td.PrepareOrder(tick.InstrumentID, b, k, single_volume,
tick.LastPrice)
print()
print('下多单', tick.InstrumentID, INVESTOR_ID)
print('lastHigh:', last_k_line['high'], 'lastLow: ',
last_k_line['low'], 'lastPrice: ', tick.LastPrice)
if dns[-1] and not down_trader_flag:
# 下空单
down_trader_flag = True
# if buy_order > 0:
# td.PrepareOrder(tick.InstrumentID, S, PJ, buy_order, tick.LastPrice)
td.PrepareOrder(tick.InstrumentID, s, k, single_volume,
tick.LastPrice)
print()
print('做空信号发出，下空单', tick.InstrumentID, INVESTOR_ID)
print('lastHigh:', last_k_line['high'], 'lastLow: ',
last_k_line['low'], 'lastPrice: ', tick.LastPrice)
if not q_rtn_order.empty():
rtn_order = q_rtn_order.get()
print(rtn_order)
print('下单成功，请注意。。。')
if not q_rtn_trade.empty():
rtn_td = q_rtn_trade.get()
print(rtn_td)
'''
Trade(BrokerID='0127', InvestorID='200277', InstrumentID='ni1811', OrderRef='69169', UserID='200277',
ExchangeID='SHFE', TradeID=' 652868', Direction='0', OrderSysID=' 2413585',
ParticipantID='0011', ClientID='01789993', TradingRole='\x00', ExchangeInstID='ni1811',
OffsetFlag='0', HedgeFlag='1', Price=112560.0, Volume=1, TradeDate='20180727',
TradeTime='23:52:48', TradeType='\x00', PriceSource='\x00', TraderID='0011c6c',
OrderLocalID=' 684', ClearingPartID='0011', BusinessUnit='', SequenceNo=1536,
TradingDay='20180730', SettlementID=1, BrokerOrderSeq=2310, TradeSource='0')
'''
#k
if rtn_td.Direction == B: # 方向 多
if rtn_td.OffsetFlag == K and rtn_td.InstrumentID == strategy_inst: #多单开仓成交，下平仓指令， 开盘价+30
buy_order += rtn_td.Volume
order_price = rtn_td.Price + grid
# td.PrepareOrder(rtn_td.InstrumentID, s, pj, rtn_td.Volume, order_price)
print('多单建仓成交，平仓单挂单。。。')
elif rtn_td.OffsetFlag in [
P, PJ, PZ
] and rtn_td.InstrumentID == strategy_inst: #平仓，
bp_total += rtn_td.Volume
elif rtn_td.Direction == S: #方向：空
if rtn_td.OffsetFlag == K and rtn_td.InstrumentID == strategy_inst: # 开仓
#空单建仓成交
sell_order += rtn_td.Volume
order_price = rtn_td.Price - grid
# td.PrepareOrder(rtn_td.InstrumentID, b, pj, rtn_td.Volume, order_price)
print('空单建仓成交，平仓单挂单。。。')
elif rtn_td.OffsetFlag in [
P, PJ, PZ
] and rtn_td.InstrumentID == strategy_inst:
sp_total += rtn_td.Volume
print(rtn_td.TradeTime, rtn_td.InstrumentID)