def __init__(self):
"""
Futu Trading Engine Constructor
"""
self.config = configparser.ConfigParser()
self.config.read("config.ini")
self.quote_ctx = OpenQuoteContext(
host=self.config['FutuOpenD.Config'].get('Host'),
port=self.config['FutuOpenD.Config'].getint('Port'))
self.trade_ctx = OpenHKTradeContext(
host=self.config['FutuOpenD.Config'].get('Host'),
port=self.config['FutuOpenD.Config'].getint('Port'))
self.username = self.config['FutuOpenD.Credential'].get('Username')
# self.password = self.config['FutuOpenD.Credential'].get('Password')
self.password_md5 = self.config['FutuOpenD.Credential'].get(
'Password_md5')
self.futu_data = data_engine.DatabaseInterface(
database_path=self.config['Database'].get('Database_path'))
self.default_logger = logger.get_logger("futu_trade")
self.trd_env = TrdEnv.REAL if self.config.get(
'FutuOpenD.Config', 'TrdEnv') == 'REAL' else TrdEnv.SIMULATE
# Futu-Specific Variables
self.market_list = [
Market.HK, Market.US, Market.SH, Market.SZ, Market.HK_FUTURE,
Market.SG, Market.JP
]
self.security_type_list = [
SecurityType.BOND, SecurityType.BWRT, SecurityType.STOCK,
SecurityType.WARRANT, SecurityType.IDX, SecurityType.ETF,
SecurityType.FUTURE, SecurityType.PLATE, SecurityType.PLATESET
]
self.reference_type_list = [
SecurityReferenceType.WARRANT, SecurityReferenceType.FUTURE
]
def update_filtered_equity_pools(self):
"""
Use User-Defined Filters to filter bad equities away.
Based on history data extracted from Yahoo Finance
:return: Filtered Stock Code List in Futu Stock Code Format
"""
pool = Pool(cpu_count())
filtered_stock_list = pool.map(self.validate_stock_individual,
self.full_equity_list)
pool.close()
pool.join()
# filtered_stock_list = []
# for stock_code in self.full_equity_list:
# filtered_stock_list.append(self.validate_stock_individual(stock_code))
# Remove Redundant Records (If Exists)
database = data_engine.DatabaseInterface(
database_path=self.config['Database'].get('Database_path'))
database.delete_stock_pool_from_date(date.today().strftime("%Y-%m-%d"))
database.commit()
# Flatten Nested List
for sublist in filtered_stock_list:
for record in sublist:
database.add_stock_pool(date.today().strftime("%Y-%m-%d"),
record[0], record[1])
self.default_logger.info(
f"Added Filtered Stock {record[1]} based on Filter {record[0]}"
)
database.commit()
def main():
# Initialize Argument Parser
parser = argparse.ArgumentParser()
parser.add_argument("-u", "--update", help="Daily Update Data (Execute Before Market Starts)",
action="store_true")
parser.add_argument("-fu", "--force_update",
help="Force Update All Data Up to Max. Allowed Years (USE WITH CAUTION)", action="store_true")
parser.add_argument("-d", "--database", help="Store All CSV Data to Database", action="store_true")
# Retrieve file names for all strategies as the argument option
strategy_list = [Path(file_name).name[:-3] for file_name in glob.glob("./strategies/*.py") if
"__init__" not in file_name and "Strategies" not in file_name]
parser.add_argument("-s", "--strategy", type=str, choices=strategy_list,
help="Execute HFT using Pre-defined Strategy")
# Retrieve file names for all strategies as the argument option
filter_list = [Path(file_name).name[:-3] for file_name in glob.glob("./filters/*.py") if
"__init__" not in file_name and "Filters" not in file_name]
parser.add_argument("-f", "--filter", type=str, choices=filter_list, nargs="+",
help="Filter Stock List based on Pre-defined Filters")
parser.add_argument("-en", "--email_name", type=str, help="Name of the applied stock filtering techniques")
# Evaluate Arguments
args = parser.parse_args()
# Initialization Connection
futu_trade = trading_engine.FutuTrade()
email_handler = email_engine.Email()
# Initialize Config Parser
config = configparser.ConfigParser()
config.read("config.ini")
# Initialize Stock List
stock_list = json.loads(config.get('TradePreference', 'StockList'))
if not stock_list:
stock_list = data_engine.DatabaseInterface(
database_path=config.get('Database', 'Database_path')).get_stock_list()
if args.filter:
filtered_stock_list = init_stock_filter(args.filter)
filtered_stock_dict = YahooFinanceInterface.get_stocks_email(filtered_stock_list)
subscription_list = json.loads(config.get('Email', 'SubscriptionList'))
for subscriber in subscription_list:
filter_name = args.email_name if args.email_name else "Default Stock Filter"
email_handler.write_daily_stock_filter_email(subscriber, filter_name, filtered_stock_dict)
if args.update:
# Daily Update Data
daily_update_data(futu_trade=futu_trade, stock_list=stock_list, force_update=args.force_update)
if args.database:
# Update ALl Data to Database
futu_trade.store_all_data_database()
if args.strategy:
# Initialize Strategies
stock_list = filtered_stock_list if args.filter else stock_list
stock_list.extend(data_engine.YahooFinanceInterface.get_top_30_hsi_constituents())
init_day_trading(futu_trade, stock_list, args.strategy)
futu_trade.display_quota()
def __init__(self):
"""
Futu Trading Engine Constructor
"""
self.config = configparser.ConfigParser()
self.config.read("config.ini")
self.quote_ctx = OpenQuoteContext(
host=self.config['FutuOpenD.Config'].get('Host'),
port=self.config['FutuOpenD.Config'].getint('Port'))
self.trade_ctx = OpenHKTradeContext(
host=self.config['FutuOpenD.Config'].get('Host'),
port=self.config['FutuOpenD.Config'].getint('Port'))
self.username = self.config['FutuOpenD.Credential'].get('Username')
# self.password = self.config['FutuOpenD.Credential'].get('Password')
self.password_md5 = self.config['FutuOpenD.Credential'].get(
'Password_md5')
self.futu_data = data_engine.DatabaseInterface(
database_path=self.config['Database'].get('Database_path'))
self.default_logger = logger.get_logger("futu_trade")
self.trd_env = TrdEnv.REAL if self.config.get(
'FutuOpenD.Config', 'TrdEnv') == 'REAL' else TrdEnv.SIMULATE
def daily_update_data(futu_trade, force_update: bool = False):
# Daily Update Filtered Security
# filters = list(__init_filter(filter_name='all'))
# stock_filter = StockFilter(stock_filters=filters)
# stock_filter.update_filtered_equity_pools()
# Daily Update Stock Info (Need to Rethink!!!)
# stock_filter.update_stock_info()
# Daily Update HKEX Security List & Subscribed Data
data_engine.HKEXInterface.update_security_list_full()
# Daily Update FuTu Historical Data
stock_list = data_engine.DatabaseInterface(
database_path='./database/stock_data.sqlite').get_stock_list()
for stock_code in stock_list:
futu_trade.update_DW_data(stock_code,
force_update=force_update,
k_type=KLType.K_DAY)
futu_trade.update_DW_data(stock_code,
force_update=force_update,
k_type=KLType.K_WEEK)
futu_trade.update_1M_data(stock_code, force_update=force_update)