def context_setting(self):
"""
API trading and quote context setting
:returns: trade context, quote context
"""
if self.unlock_password == "":
raise Exception("请先配置交易解锁密码! password: {}".format(
self.unlock_password))
quote_ctx = ft.OpenQuoteContext(host=self.api_svr_ip,
port=self.api_svr_port)
if 'HK.' in self.stock:
trade_ctx = ft.OpenHKTradeContext(host=self.api_svr_ip,
port=self.api_svr_port)
if self.trade_env == ft.TrdEnv.REAL:
ret_code, ret_data = trade_ctx.unlock_trade(
self.unlock_password)
if ret_code == ft.RET_OK:
print('解锁交易成功!')
else:
raise Exception("请求交易解锁失败: {}".format(ret_data))
else:
print('解锁交易成功!')
elif 'US.' in self.stock:
if self.trade_env != 0:
raise Exception("美股交易接口不支持仿真环境 trade_env: {}".format(
self.trade_env))
trade_ctx = ft.OpenUSTradeContext(host=self.api_svr_ip,
port=self.api_svr_port)
else:
raise Exception("stock输入错误 stock: {}".format(self.stock))
return quote_ctx, trade_ctx
def connectTrade(self):
"""连接交易功能"""
# 连接交易接口
if self.market == 'US':
self.tradeCtx = ft.OpenUSTradeContext(self.host, self.port)
OrderHandlerBase = USTradeOrderHandlerBase
DealHandlerBase = USTradeDealHandlerBase
else:
self.tradeCtx = ft.OpenHKTradeContext(self.host, self.port)
OrderHandlerBase = HKTradeOrderHandlerBase
DealHandlerBase = HKTradeDealHandlerBase
# 继承实现处理器类
class OrderHandler(OrderHandlerBase):
"""委托处理器"""
gateway = self # 缓存Gateway对象
def on_recv_rsp(self, rsp_str):
ret_code, content = super(OrderHandler,
self).on_recv_rsp(rsp_str)
if ret_code != RET_OK:
return RET_ERROR, content
self.gateway.processOrder(content)
return RET_OK, content
class DealHandler(DealHandlerBase):
"""订单簿处理器"""
gateway = self
def on_recv_rsp(self, rsp_str):
ret_code, content = super(DealHandler,
self).on_recv_rsp(rsp_str)
if ret_code != RET_OK:
return RET_ERROR, content
self.gateway.processDeal(content)
return RET_OK, content
# 只有港股实盘交易才需要解锁
if self.market == 'HK' and self.env == 0:
self.tradeCtx.unlock_trade(self.password)
# 设置回调处理对象
self.tradeCtx.set_handler(OrderHandler())
self.tradeCtx.set_handler(DealHandler())
# 启动交易接口
self.tradeCtx.start()
# 订阅委托推送
self.tradeCtx.subscribe_order_deal_push([],
order_deal_push=True,
envtype=self.env)
self.writeLog(u'交易接口连接成功')
def test_maxReqPerSec_deal_list_query(self):
trade_ctx = futuquant.OpenHKTradeContext(host='127.0.0.1', port=11111)
trade_ctx.unlock_trade(password='******')
req_times_succ = 0
req_times_total = 0
t_start = time.time()
while time.time() <= (t_start + 1):
ret_code, ret_data = trade_ctx.deal_list_query()
req_times_total += 1
if ret_code is RET_OK:
req_times_succ += 1
else:
self.logger.info('deal_list_query req_times_total = ' +
str(req_times_total) + ' ret_code = ' +
str(ret_code) + ' ret_data = ' + ret_data)
trade_ctx.close()
self.logger.info('deal_list_query req_times_total = ' +
str(req_times_total) + ' req_times_succ = ' +
str(req_times_succ))
def _process_init_api(self):
if type(self._quote_ctx) != int or type(self._trade_ctx) != int:
return
# 创建futu api对象
if self._quote_ctx == 0:
self._quote_ctx = ft.OpenQuoteContext(self._api_ip, self._api_port)
if self._trade_ctx == 0:
if self._market == MARKET_HK:
self._trade_ctx = ft.OpenHKTradeContext(
self._api_ip, self._api_port)
elif self._market == MARKET_US:
self._trade_ctx = ft.OpenUSTradeContext(
self._api_ip, self._api_port)
else:
raise Exception("error param!")
if self._env_type == ft.TrdEnv.REAL:
ret, _ = self._trade_ctx.unlock_trade(self._trade_password)
if 0 != ret:
raise Exception("error param!")
# 开始futu api异步数据推送
self._quote_ctx.start()
self._trade_ctx.start()
# 市场状态检查
self._check_market_event = FutuMarketEvent(self._market,
self._quote_ctx,
self._event_engine)
#定阅行情数据
self._futu_data_event = FutuDataEvent(self, self._quote_ctx,
self._event_engine,
self._tiny_strate.symbol_pools)
# 启动事件
self._tiny_strate.on_start()
def make_order_and_cancel(api_svr_ip, api_svr_port, unlock_password, test_code, trade_env, acc_id):
"""
使用请先配置正确参数:
:param api_svr_ip: (string) ip
:param api_svr_port: (string) ip
:param unlock_password: (string) 交易解锁密码, 必需修改!
:param test_code: (string) 股票
:param trade_env: 参见 ft.TrdEnv的定义
:param acc_id: 交易子账号id
"""
if unlock_password == "":
raise Exception("请先配置交易解锁密码!")
quote_ctx = ft.OpenQuoteContext(host=api_svr_ip, port=api_svr_port) # 创建行情api
quote_ctx.subscribe(test_code, ft.SubType.ORDER_BOOK) # 定阅摆盘
# 创建交易api
is_hk_trade = 'HK.' in test_code
if is_hk_trade:
trade_ctx = ft.OpenHKTradeContext(host=api_svr_ip, port=api_svr_port)
else:
trade_ctx = ft.OpenUSTradeContext(host=api_svr_ip, port=api_svr_port)
# 每手股数
lot_size = 0
is_unlock_trade = False
is_fire_trade = False
while not is_fire_trade:
sleep(2)
# 解锁交易
if not is_unlock_trade and trade_env == ft.TrdEnv.REAL:
print("unlocking trade...")
ret_code, ret_data = trade_ctx.unlock_trade(unlock_password)
is_unlock_trade = (ret_code == ft.RET_OK)
if not is_unlock_trade:
print("请求交易解锁失败：{}".format(ret_data))
break
if lot_size == 0:
print("get lotsize...")
ret, data = quote_ctx.get_market_snapshot(test_code)
lot_size = data.iloc[0]['lot_size'] if ret == ft.RET_OK else 0
if ret != ft.RET_OK:
print("取不到每手信息，重试中: {}".format(data))
continue
elif lot_size <= 0:
raise BaseException("该股票每手信息错误，可能不支持交易 code ={}".format(test_code))
print("get order book...")
ret, data = quote_ctx.get_order_book(test_code) # 得到第十档数据
if ret != ft.RET_OK:
continue
# 计算交易价格
bid_order_arr = data['Bid']
if is_hk_trade:
if len(bid_order_arr) != 10:
continue
# 港股下单: 价格定为第十档
price, _, _ = bid_order_arr[9]
else:
if len(bid_order_arr) == 0:
continue
# 美股下单： 价格定为一档降10%
price, _, _ = bid_order_arr[0]
price = round(price * 0.9, 2)
qty = lot_size
# 价格和数量判断
if qty == 0 or price == 0.0:
continue
# 下单
order_id = 0
print("place order : price={} qty={} code={}".format(price, qty, test_code))
ret_code, ret_data = trade_ctx.place_order(price=price, qty=qty, code=test_code, trd_side=ft.TrdSide.BUY,
order_type=ft.OrderType.NORMAL, trd_env=trade_env, acc_id=acc_id)
is_fire_trade = True
print('下单ret={} data={}'.format(ret_code, ret_data))
if ret_code == ft.RET_OK:
row = ret_data.iloc[0]
order_id = row['order_id']
# 循环撤单
sleep(2)
if order_id:
while True:
ret_code, ret_data = trade_ctx.order_list_query(order_id=order_id, status_filter_list=[], code='',
start='', end='', trd_env=trade_env, acc_id=acc_id)
if ret_code != ft.RET_OK:
sleep(2)
continue
order_status = ret_data.iloc[0]['order_status']
if order_status in [ft.OrderStatus.SUBMIT_FAILED, ft.OrderStatus.TIMEOUT, ft.OrderStatus.FILLED_ALL,
ft.OrderStatus.FAILED, ft.OrderStatus.DELETED]:
break
print("cancel order...")
ret_code, ret_data = trade_ctx.modify_order(modify_order_op=ft.ModifyOrderOp.CANCEL, order_id=order_id,
price=price, qty=qty, adjust_limit=0, trd_env=trade_env, acc_id=acc_id)
print("撤单ret={} data={}".format(ret_code, ret_data))
if ret_code == ft.RET_OK:
break
else:
sleep(2)
# destroy object
quote_ctx.close()
trade_ctx.close()
return RET_OK, content
if __name__ == '__main__':
ip = '127.0.0.1'
port = 22221
quote_all = {}
tick_data = {}
code = 'HK.00123'
unlock_pwd = '887886'
trd_env = ft.TrdEnv.SIMULATE
order_type = ft.OrderType.SPECIAL_LIMIT
quote_ctx = ft.OpenQuoteContext(ip, port)
trd_ctx = ft.OpenHKTradeContext(ip, port)
# 获取登录账号信息
user_info = np.loadtxt('user_info.txt', dtype=str, delimiter=',')
# 登录账户
clientId = tda.login(user_info[0], user_info[1], user_info[2],
user_info[3], user_info[4], user_info[5],
user_info[6], user_info[7])
if clientId == 0:
print "账户登录成功"
else:
print "账户登录失败，请检查登录信息"
# data = xlrd.open_workbook('d:/monitor_harden.xlsx')
# table = data.sheets()[1]#通过索引顺序获取
# col=table.col_values(0);
quote_ctx.get_stock_basicinfo(market, stock_type='STOCK') # 获取股票信息 quote_ctx.get_history_kline(code, start=None, end=None, ktype='K_DAY', autype='qfq') # 获取历史K线 quote_ctx.get_autype_list(code_list) # 获取复权因子 quote_ctx.get_market_snapshot(code_list) # 获取市场快照 quote_ctx.get_plate_list(market, plate_class) # 获取板块集合下的子板块列表 quote_ctx.get_plate_stock(market, stock_code) # 获取板块下的股票列表 # 高频数据接口 quote_ctx.get_stock_quote(code_list) # 获取报价 quote_ctx.get_rt_ticker(code, num) # 获取逐笔 quote_ctx.get_cur_kline(code, num, ktype=' K_DAY', autype='qfq') # 获取当前K线 quote_ctx.get_order_book(code) # 获取摆盘 quote_ctx.get_rt_data(code) # 获取分时数据 quote_ctx.get_broker_queue(code) # 获取经纪队列 # 实例化港股交易上下文对象 trade_hk_ctx = ft.OpenHKTradeContext(host="127.0.0.1", port=11111) # 实例化美股交易上下文对象 trade_us_ctx = ft.OpenUSTradeContext(host="127.0.0.1", port=11111) # 交易接口列表 ret_code, ret_data = trade_hk_ctx.unlock_trade(password='******') # 解锁接口 ret_code, ret_data = trade_hk_ctx.place_order(price, qty, strcode, orderside, ordertype=0, envtype=0) # 下单接口 ret_code, ret_data = trade_hk_ctx.set_order_status(status, orderid=0, envtype=0) # 设置订单状态 ret_code, ret_data = trade_hk_ctx.change_order(price, qty, orderid=0, envtype=0) # 修改订单 ret_code, ret_data = trade_hk_ctx.accinfo_query(envtype=0) # 查询账户信息 ret_code, ret_data = trade_hk_ctx.order_list_query(statusfilter="", envtype=0) # 查询订单列表 ret_code, ret_data = trade_hk_ctx.position_list_query(envtype=0) # 查询持仓列表 ret_code, ret_data = trade_hk_ctx.deal_list_query(envtype=0) # 查询成交列表
def __init__(self):
self.trd_ctx = ft.OpenHKTradeContext(host='127.0.0.1', port=11111)
def trailing_stop(api_svr_ip='127.0.0.1',
api_svr_port=11111,
unlock_password="",
code='HK.00700',
trade_env=ft.TrdEnv.SIMULATE,
method=TrailingMethod.DROP_ABS,
drop=1.0,
volume=100,
how_to_sell=SellMethod.SMART_SELL,
diff=0,
rest_time=2,
enable_email_notification=False,
receiver=''):
"""
止损策略函数
:param api_svr_ip: (string)ip
:param api_svr_port: (int)port
:param unlock_password: (string)交易解锁密码, 必需修改! 模拟交易设为一个非空字符串即可
:param code: (string)股票
:param trade_env: ft.TrdEnv.REAL: 真实交易 ft.TrdEnv.SIMULATE: 模拟交易
:param method: method == TrailingMethod.DROP_ABS: 股票下跌drop价格就会止损 railingMethod.DROP_PER: 股票下跌drop的百分比就会止损
:param drop: method == TrailingMethod.DROP_ABS, 股票下跌的价格 method == TrailingMethod.DROP_PER，股票下跌的百分比，0.01表示下跌1%则止损
:param volume: 需要卖掉的股票数量
:param how_to_sell: 以何种方式卖出股票， SellMethod 类型
:param diff: 默认为0，当how_to_sell为SellMethod.DROP_ABS时，以(市价-diff)的价格卖出
:param rest_time: 每隔REST_TIME秒，会检查订单状态, 需要>=2
:param enable_email_notification: 激活email功能
:param receiver: 邮件接收者
"""
EmailNotification.set_enable(enable_email_notification)
if how_to_sell not in [SellMethod.SIMPLE_SELL, SellMethod.SMART_SELL]:
raise Exception('how_to_sell value error')
if method not in [TrailingMethod.DROP_ABS, TrailingMethod.DROP_PER]:
raise Exception('method value error')
quote_ctx = ft.OpenQuoteContext(host=api_svr_ip, port=api_svr_port)
is_hk_trade = 'HK.' in code
if is_hk_trade:
trade_ctx = ft.OpenHKTradeContext(host=api_svr_ip, port=api_svr_port)
else:
trade_ctx = ft.OpenUSTradeContext(host=api_svr_ip, port=api_svr_port)
if unlock_password == "":
raise Exception('请先配置交易密码')
ret, data = trade_ctx.unlock_trade(unlock_password)
if ret != ft.RET_OK:
raise Exception('解锁交易失败')
ret, data = trade_ctx.position_list_query(trd_env=trd_env)
if ret != ft.RET_OK:
raise Exception("无法获取持仓列表")
try:
qty = data[data['code'] == code].iloc[0]['qty']
except:
raise Exception('你没有持仓！无法买卖')
qty = int(qty)
if volume == 0:
volume = qty
if volume < 0:
raise Exception('volume lower than 0')
elif qty < volume:
raise Exception('持仓不足')
ret, data = quote_ctx.get_market_snapshot(code)
if ret != ft.RET_OK:
raise Exception('获取lot size失败')
lot_size = data.iloc[0]['lot_size']
if volume % lot_size != 0:
raise Exception('volume 必须是{}的整数倍'.format(lot_size))
ret, data = quote_ctx.subscribe(code, ft.SubType.QUOTE)
if ret != ft.RET_OK:
raise Exception('订阅QUOTE错误: error {}:{}'.format(ret, data))
ret, data = quote_ctx.subscribe(code, ft.SubType.ORDER_BOOK)
if ret != ft.RET_OK:
print('error {}:{}'.format(ret, data))
raise Exception('订阅order book失败: error {}:{}'.format(ret, data))
if diff:
if is_hk_trade:
ret, data = quote_ctx.get_order_book(code)
if ret != ft.RET_OK:
raise Exception(
'获取order book失败: cannot get order book'.format(data))
min_diff = round(abs(data['Bid'][0][0] - data['Bid'][1][0]), 3)
if floor(diff / min_diff) * min_diff != diff:
raise Exception('diff 应是{}的整数倍'.format(min_diff))
else:
if round(diff, 2) != diff:
raise Exception('美股价差保留2位小数{}->{}'.format(
diff, round(diff, 2)))
if method == TrailingMethod.DROP_ABS:
if is_hk_trade:
if floor(drop / min_diff) * min_diff != drop:
raise Exception('drop必须是{}的整数倍'.format(min_diff))
else:
if round(drop, 2) != drop:
raise Exception('drop必须保留2位小数{}->{}'.format(
drop, round(drop, 2)))
elif method == TrailingMethod.DROP_PER:
if drop < 0 or drop > 1:
raise Exception('drop must in [0, 1] if method is DROP_PER')
trailing_stop_handler = TrailingStopHandler(quote_ctx, is_hk_trade, method,
drop)
quote_ctx.set_handler(trailing_stop_handler)
quote_ctx.start()
while True:
if trailing_stop_handler.finished:
# sell the stock
qty = volume
sell_price = trailing_stop_handler.stop
while qty > 0:
if how_to_sell == SellMethod.SIMPLE_SELL:
data = simple_sell(quote_ctx, trade_ctx, code,
sell_price - diff, qty, trade_env,
ft.OrderType.SPECIAL_LIMIT)
else:
data = smart_sell(quote_ctx, trade_ctx, code, qty,
trade_env, ft.OrderType.SPECIAL_LIMIT)
if data is None:
print('下单失败')
EmailNotification.send_email(
receiver, '下单失败', '股票代码{}，数量{}'.format(code, volume))
sleep(rest_time)
continue
order_id = data.iloc[0]['order_id']
sleep(rest_time)
while True:
ret, data = trade_ctx.order_list_query(order_id=order_id,
trd_env=trade_env)
if ret != ft.RET_OK:
sleep(rest_time)
continue
status = data.iloc[0]['order_status']
dealt_qty = int(data.iloc[0]['dealt_qty'])
order_price = data.iloc[0]['price']
qty -= dealt_qty
if status == ft.OrderStatus.FILLED_ALL:
print('全部成交:股票代码{}, 成交总数{}，价格{}'.format(
code, dealt_qty, order_price))
EmailNotification.send_email(
receiver, '全部成交', '股票代码{}，成交总数{}，价格{}'.format(
code, dealt_qty, order_price))
break
elif status == ft.OrderStatus.FILLED_PART:
print('部分成交:股票代码{}，成交总数{}，价格{}'.format(
code, dealt_qty, order_price))
EmailNotification.send_email(
receiver, '部分成交', '股票代码{}，成交总数{}，价格{}'.format(
code, dealt_qty, order_price))
break
elif status == ft.OrderStatus.FAILED or status == ft.OrderStatus.SUBMIT_FAILED or \
status == ft.OrderStatus.CANCELLED_ALL or status == ft.OrderStatus.DELETED:
break
else:
trade_ctx.modify_order(ft.ModifyOrderOp.CANCEL,
order_id, 0, 0)
sleep(rest_time)
continue
if how_to_sell == SellMethod.SIMPLE_SELL:
ret, data = quote_ctx.get_order_book(code)
if ret != ft.RET_OK:
raise Exception('获取order_book失败')
sell_price = data['Bid'][0][0]
# draw price and stop
price_lst = trailing_stop_handler.price_lst
plt.plot(np.arange(len(price_lst)), price_lst)
stop_list = trailing_stop_handler.stop_lst
plt.plot(np.arange(len(stop_list)), stop_list)
break
quote_ctx.close()
trade_ctx.close()
