def __init__(self, engine, symbol_list, signal_param={}):
self.name = 'sdiffer'
self.tm = '00:00:00'
self.got_dict = {}
for symbol in symbol_list:
self.got_dict[symbol] = False
self.be_run = 'stop'
self.d_low_open = -100.0
self.d_high_open = 100.0
self.d_low_mail = -100.0
self.d_high_mail = 100.0
self.mailed_low = False
self.mailed_high = False
self.load_switch()
self.stop = False
self.basic_m0 = None
self.basic_m1 = None
self.cacl_vars()
self.symbol_obj = None
self.d_base_dict = {}
Portfolio.__init__(self, Fut_SdifferSignal, engine, symbol_list,
signal_param)
def __init__(self, engine, symbol_list, signal_param={}):
self.name = 'ic'
assert len(symbol_list) == 2
self.symbol_g = symbol_list[0]
self.symbol_d = symbol_list[1]
self.dual_name = self.symbol_g + '_' + self.symbol_d
symbol_list.append(self.dual_name)
self.direction_g = 'direction_g'
self.num_g = 0
self.direction_d = 'direction_d'
self.num_d = 0
self.got_dict = {}
self.got_dict[self.symbol_g] = False
self.got_dict[self.symbol_d] = False
df = self.load_param()
if df is not None:
for i, row in df.iterrows():
if row.symbol_g in symbol_list and row.symbol_d in symbol_list:
self.direction_g = row.symbol_g
self.num_g = row.direction_g
self.direction_d = row.num_g
self.num_d = row.num_d
Portfolio.__init__(self, Fut_IcSignal, engine, symbol_list, signal_param)
self.name_second = 'ic_' + self.dual_name
def __init__(self, engine, symbol_list, signal_param={}):
self.name = 'ratio'
assert len(symbol_list) == 2
self.symbol_c = symbol_list[0]
self.symbol_p = symbol_list[1]
self.dual_name = self.symbol_c + '_' + self.symbol_p
self.got_dict = {}
self.got_dict[self.symbol_c] = False
self.got_dict[self.symbol_p] = False
self.price_c = 0
self.price_p = 0
self.hold_c = 0
self.hold_p = 0
self.profit_c = 0
self.profit_p = 0
self.fixed_size = 1
self.gap = 100
self.profit = 100
self.load_param(self.symbol_c, self.symbol_p)
Portfolio.__init__(self, Fut_RatioSignal, engine, symbol_list,
signal_param)
self.name_second = 'ratio_' + self.dual_name
def __init__(self, engine, symbol_list, signal_param={}):
self.name = 'turtle'
self.multiplierDict = {} # 按照波动幅度计算的委托量单位字典
self.totalLong = 0 # 总的多头持仓
self.totalShort = 0 # 总的空头持仓
Portfolio.__init__(self, Fut_TurtleSignal, engine, symbol_list,
signal_param)
def __init__(self, engine, symbol_list, signal_param={}):
self.name = 'dalicta'
s_param = {}
for symbol in symbol_list:
s_param[symbol] = {'fixedSize': 6}
Portfolio.__init__(self, Fut_DaLictaSignal, engine, symbol_list,
s_param)
def __init__(self, engine, symbol_list, signal_param={}):
self.name = 'ratio'
self.tm = '00:00:00'
self.got_dict = {}
for symbol in symbol_list:
self.got_dict[symbol] = False
Portfolio.__init__(self, Fut_RatioSignal, engine, symbol_list,
signal_param)
def __init__(self, engine, name):
Portfolio.__init__(self, engine)
self.name = name
self.vtSymbolList = []
self.SIZE_DICT = {}
self.PRICETICK_DICT = {}
self.VARIABLE_COMMISSION_DICT = {}
self.FIXED_COMMISSION_DICT = {}
self.SLIPPAGE_DICT = {}
def __init__(self, engine, symbol_list, signal_param={}):
self.name = 'straddle'
self.tm = '00:00:00'
self.got_dict = {}
for symbol in symbol_list:
self.got_dict[symbol] = False
Portfolio.__init__(self, Fut_StraddleSignal, engine, symbol_list,
signal_param)
self.promote = True
def __init__(self, engine, symbol_list, signal_param={}):
self.name = 'skew_strd'
self.tm = '00:00:00'
self.got_dict = {}
for symbol in symbol_list:
self.got_dict[symbol] = False
# self.d_base_dict = {}
Portfolio.__init__(self, Fut_Skew_StrdSignal, engine, symbol_list,
signal_param)
def __init__(self, engine, symbol_list, signal_param={}):
self.name = 'short_put'
self.open_dict = {}
self.close_dict = {}
for symbol in symbol_list:
self.open_dict[self.symbol] = False
self.close_dict[self.symbol] = False
Portfolio.__init__(self, Opt_Short_PutSignal, engine, symbol_list,
signal_param)
self.name_second = 'short_put_' + str(get_contract(symbol_list[0]).pz)
def __init__(self, engine, symbol_list, signal_param={}):
self.name = 'arbitrage'
self.tm = '00:00:00'
self.got_dict = {}
for symbol in symbol_list:
self.got_dict[symbol] = False
config = open(get_dss()+'fut/cfg/config.json')
setting = json.load(config)
symbols = setting['symbols_arbitrage']
self.pz_list = symbols.split(',') # 进行套利监控的品种
self.slice_dict = {} # 每分种产生一个行情切片
self.id = 100 # 唯一标识套利机会，便于后续手工下单
Portfolio.__init__(self, Fut_ArbitrageSignal, engine, symbol_list, signal_param)
def __init__(self, engine, symbol_list, signal_param={}):
self.name = 'spread'
self.tm = '00:00:00'
self.got_dict = {}
for symbol in symbol_list:
self.got_dict[symbol] = False
self.spread_dict = {}
self.process_dict = {}
fn = get_dss() + 'fut/engine/spread/portfolio_spread_param.csv'
df = pd.read_csv(fn)
for i, row in df.iterrows():
self.spread_dict[row.nm] = [row.s0, row.s1]
self.process_dict[row.nm] = False
Portfolio.__init__(self, Fut_SpreadSignal, engine, symbol_list,
signal_param)
def __init__(self, engine, symbol_list, signal_param={}):
self.name = 'avenger'
assert len(symbol_list) == 3
self.symbol_o = symbol_list[0]
self.symbol_c = symbol_list[1]
self.symbol_p = symbol_list[2]
self.got_dict = {}
self.got_dict[self.symbol_o] = False
self.got_dict[self.symbol_c] = False
self.got_dict[self.symbol_p] = False
self.price_o = 0
self.price_o_high = 0
self.price_o_low = 0
self.price_c = 0
self.price_p = 0
self.hold_o = 0
self.hold_c = 0
self.hold_p = 0
self.profit_o = 0
self.profit_c = 0
self.profit_p = 0
self.switch_state = 'off'
pz = str(get_contract(self.symbol_c).pz)
fn = get_dss() + 'fut/engine/avenger/avenger_switch_' + pz + '.csv'
if os.path.exists(fn):
df = pd.read_csv(fn)
if len(df) > 0:
rec = df.iloc[-1, :]
if rec.state == 'on':
self.switch_state = 'on'
rec.state = 'off'
df2 = pd.DataFrame([rec])
df2.to_csv(fn, index=False) # 回写文件
Portfolio.__init__(self, Fut_AvengerSignal, engine, symbol_list,
signal_param)
def __init__(self, engine, symbol_list, signal_param={}):
self.name = 'follow'
self.symbol_o = ''
self.symbol_c = ''
self.symbol_p = ''
for symbol in symbol_list:
if symbol[:2] == 'IF':
self.symbol_o = symbol
break
self.got_dict = {}
self.strike_high = 0
self.strike_low = 0
self.price_o = 0
self.price_o_high = 0
self.price_o_low = 0
self.price_c = 0
self.price_p = 0
self.hold_o = 0
self.hold_c = 0
self.hold_p = 0
self.profit_o = 0
self.profit_c = 0
self.profit_p = 0
self.switch_state = 'off'
fn = get_dss() + 'fut/engine/follow/follow_switch.csv'
if os.path.exists(fn):
df = pd.read_csv(fn)
if len(df) > 0:
rec = df.iloc[-1, :]
if rec.state == 'on':
self.switch_state = 'on'
Portfolio.__init__(self, Fut_FollowSignal, engine, symbol_list,
signal_param)
def __init__(self, engine, symbol_list, signal_param={}):
self.name = 'yue'
assert len(symbol_list) == 2
self.symbol_a = symbol_list[0]
self.symbol_b = symbol_list[1]
self.dual_name = self.symbol_a + '_' + self.symbol_b
symbol_list.append(self.dual_name)
self.got_dict = {}
self.got_dict[self.symbol_a] = False
self.got_dict[self.symbol_b] = False
df = self.load_param()
if df is not None:
for i, row in df.iterrows():
if row.symbol_a in symbol_list and row.symbol_b in symbol_list:
pass
Portfolio.__init__(self, Fut_YueSignal, engine, symbol_list,
signal_param)
self.name_second = 'yue_' + self.dual_name
def __init__(self, engine, symbol_list, signal_param={}):
self.name = 'follow'
assert len(symbol_list) == 3
self.symbol_o = symbol_list[0]
self.symbol_c = symbol_list[1]
self.symbol_p = symbol_list[2]
if self.symbol_o[:2] == 'IF':
self.symbol_future = 'IO' + self.symbol_o[2:]
else:
self.symbol_future = self.symbol_o
self.dual_name = self.symbol_future
self.got_dict = {}
self.got_dict[self.symbol_o] = False
self.got_dict[self.symbol_c] = False
self.got_dict[self.symbol_p] = False
self.price_o = 0
self.price_o_high = 0
self.price_o_low = 0
self.price_c = 0
self.price_p = 0
self.hold_o = 0
self.hold_c = 0
self.hold_p = 0
self.profit_o = 0
self.profit_c = 0
self.profit_p = 0
self.flag_c, self.flag_p, self.strike_high, self.strike_low, self.fixed_size, self.switch_state, self.percent, self.gap = self.load_param(self.symbol_c, self.symbol_p)
Portfolio.__init__(self, Fut_FollowSignal, engine, symbol_list, signal_param)
self.name_second = 'follow_' + self.dual_name
def __init__(self, engine, symbol_list, signal_param={}):
self.name = 'ic'
self.got_dict = {}
self.dual_dict = {}
df = self.load_param()
if df is not None:
for i, row in df.iterrows():
if row.symbol_g in symbol_list and row.symbol_d in symbol_list:
symbol_list.append(row.symbol_dual)
self.dual_dict[row.symbol_dual] = {
'symbol_g': row.symbol_g,
'direction_g': row.direction_g,
'num_g': row.num_g,
'symbol_d': row.symbol_d,
'direction_d': row.direction_d,
'num_d': row.num_d,
}
# 将品种对加入symbol_list
symbol_list += self.dual_dict.keys()
Portfolio.__init__(self, Fut_IcSignal, engine, symbol_list,
signal_param)
def __init__(self, engine, symbol_list, signal_param={}):
self.name = 'swap'
self.symbol_o = ''
self.symbol_a = ''
for symbol in symbol_list:
if len(symbol) == 6:
self.symbol_o = symbol
break
assert self.symbol_o != ''
self.got_dict = {}
self.price_o = 0
self.price_a = 0
self.hold_o = 0
self.hold_a = 0
self.profit_o = 0
self.profit_a = 0
self.can_duo = False
self.can_kong = False
self.switch_state = 'on'
pz = str(get_contract(self.symbol_c).pz)
fn = get_dss() + 'fut/engine/swap/swap_switch_' + pz + '.csv'
if os.path.exists(fn):
df = pd.read_csv(fn)
if len(df) > 0:
rec = df.iloc[-1, :]
if rec.state == 'off':
self.switch_state = 'off'
Portfolio.__init__(self, Fut_SwapSignal, engine, symbol_list,
signal_param)
def __init__(self, engine, symbol_list, signal_param={}):
#Portfolio.__init__(self, Fut_AberrationSignal_Duo, engine, symbol_list, signal_param, Fut_AberrationSignal_Kong, signal_param)
#Portfolio.__init__(self, Fut_AberrationSignal_Duo, engine, symbol_list, signal_param, None, None)
Portfolio.__init__(self, Fut_AberrationSignal_Kong, engine,
symbol_list, signal_param, None, None)
self.name = 'aberration'
def __init__(self, engine, symbol_list, signal_param={}):
self.name = 'kama_raw'
Portfolio.__init__(self, Fut_Kama_RawSignal_Duo, engine, symbol_list,
signal_param, Fut_Kama_RawSignal_Kong, signal_param)
def __init__(self, engine, symbol_list, signal_param={}):
self.name = 'ma'
Portfolio.__init__(self, Fut_MaSignal_Duo, engine, symbol_list,
signal_param, Fut_MaSignal_Kong, signal_param)
def __init__(self, engine, symbol_list, signal_param={}):
self.name = 'owl'
Portfolio.__init__(self, Fut_OwlSignal, engine, symbol_list,
signal_param)
def __init__(self, engine, symbol_list, signal_param={}):
self.name = 'rsiboll'
Portfolio.__init__(self, Fut_RsiBollSignal_Duo, engine, symbol_list, signal_param, Fut_RsiBollSignal_Kong, signal_param)
def __init__(self, engine, symbol_list, signal_param={}):
self.name = 'donchian'
Portfolio.__init__(self, Fut_DonchianSignal_Duo, engine, symbol_list,
signal_param, Fut_DonchianSignal_Kong, signal_param)
def __init__(self, engine, symbol_list, signal_param={}):
self.name = 'dalicta'
Portfolio.__init__(self, Fut_DaLictaSignal_Duo, engine, symbol_list,
signal_param, Fut_DaLictaSignal_Kong, signal_param)
self.name_second = 'dalicta_' + str(get_contract(symbol_list[0]).pz)
def __init__(self, engine, symbol_list, signal_param={}):
self.name = 'atrrsi'
Portfolio.__init__(self, Fut_AtrRsiSignal, engine, symbol_list,
signal_param)
def __init__(self, engine, symbol_list, signal_param={}):
self.name = 'cci_enhance'
Portfolio.__init__(self, Fut_Cci_EnhanceSignal_Duo, engine,
symbol_list, signal_param,
Fut_Cci_EnhanceSignal_Kong, signal_param)
def __init__(self, engine, symbol_list, signal_param={}):
self.name = 'aberration_raw'
Portfolio.__init__(self, Fut_Aberration_RawSignal_Duo, engine,
symbol_list, signal_param,
Fut_Aberration_RawSignal_Kong, signal_param)
def __init__(self, engine, symbol_list, signal_param={}):
self.name = 'dali'
Portfolio.__init__(self, Fut_DaLiSignal, engine, symbol_list,
signal_param)
def __init__(self, engine, symbol_list, signal_param={}):
Portfolio.__init__(self, Fut_AberrationSignal, engine, symbol_list,
signal_param)
self.name = 'aberration'
