def positions_control(runtime):
for symbol in ['A001.PSE', 'B001.PSE', 'A002.PSE', 'B002.PSE']:
positions_info = runtime['positions_info'].info[symbol]
currLongPos = positions_info['long_positions'].volume + positions_info[
'long_positions'].locked_volume
currShortPos = positions_info[
'short_positions'].volume + positions_info[
'short_positions'].locked_volume
#//首先进行市场中性平仓
if currLongPos - currShortPos > 100:
response = broker_stub.new_order(
api.TraderRequest_new_order(symbol,
1,
0,
currLongPos - currShortPos,
is_market=True))
print(response)
#//之后进行开平仓控制
if currShortPos + 100 > 200:
runtime['isOpen_' + symbol] = False
else:
runtime['isOpen_' + symbol] = True
elif currShortPos - currLongPos > 100:
response = broker_stub.new_order(
api.TraderRequest_new_order(symbol,
0,
1,
currShortPos - currLongPos,
is_market=True))
print(response)
#//之后进行开平仓控制
if currLongPos + 100 > 200:
runtime['isOpen_' + symbol] = False
else:
runtime['isOpen_' + symbol] = True
def trading_B002(runtime):
"""
price_arr = np.array([[-0.15,-0.13,-0.11,-0.1,-0.07,-0.05],
[ 0.05, 0.07, 0.1, 0.11, 0.13, 0.15]])
volume_arr = np.array([[10,6,2,2,4,6],
[6,4,2,2,6,10]])
"""
price_arr = np.array([[-0.07, -0.05], [0.05, 0.07]])
volume_arr = np.array([[10, 12], [12, 10]])
while True:
snapshot = getattr(runtime['snapshots'], 'B002.PSE')
last_price = snapshot.last_price
bid1 = snapshot.bid_levels[0].price
ask1 = snapshot.ask_levels[0].price
if runtime['net_B002.PSE'] == 1:
buy_trm = dict(zip(price_arr[0, :] + bid1 - 0.02,
volume_arr[0, :]))
sell_trm = dict(
zip(price_arr[1, :] + bid1 - 0.02, volume_arr[1, :]))
elif runtime['net_B002.PSE'] == -1:
buy_trm = dict(zip(price_arr[0, :] + ask1 + 0.02,
volume_arr[0, :]))
sell_trm = dict(
zip(price_arr[1, :] + bid1 + 0.02, volume_arr[1, :]))
else:
buy_trm = dict(zip(price_arr[0, :] + last_price, volume_arr[0, :]))
sell_trm = dict(zip(price_arr[1, :] + last_price,
volume_arr[1, :]))
curr_buy_order_info, curr_sell_order_info = func_order_info2level(
runtime['order_info'].info['B002.PSE'])
#//计算订单更新
order_to_cancel = []
buy_new_orders, tmp = func_calc_order_delta(curr_buy_order_info,
buy_trm)
order_to_cancel += tmp
sell_new_orders, tmp = func_calc_order_delta(curr_sell_order_info,
sell_trm)
order_to_cancel += tmp
buy_new_orders = sorted(buy_new_orders,
key=lambda x: x[0],
reverse=True)
sell_new_orders = sorted(sell_new_orders,
key=lambda x: x[0],
reverse=True)
#//计算下单
maxLen = max(len(buy_new_orders), len(sell_new_orders))
for i in range(maxLen):
if runtime['isOpen_B002.PSE']:
#//开平仓控制
try:
buy_new_order = buy_new_orders[i]
broker_stub.new_order(
api.TraderRequest_new_order('B002.PSE', 0, 0,
buy_new_order[1],
buy_new_order[0]))
except:
pass
try:
sell_new_order = sell_new_orders[i]
broker_stub.new_order(
api.TraderRequest_new_order('B002.PSE', 1, 1,
sell_new_order[1],
sell_new_order[0]))
except:
pass
else:
try:
buy_new_order = buy_new_orders[i]
broker_stub.new_order(
api.TraderRequest_new_order('B002.PSE', 0, 1,
buy_new_order[1],
buy_new_order[0]))
except:
pass
try:
sell_new_order = sell_new_orders[i]
broker_stub.new_order(
api.TraderRequest_new_order('B002.PSE', 1, 0,
sell_new_order[1],
sell_new_order[0]))
except:
pass
#//进行撤单
for order_id in order_to_cancel:
broker_stub.cancel_order(api.TraderRequest_cancel_order(order_id))
print('B002.PSE完成一次操作循环！')
runtime['loopCount_B002.PSE'] += 1
md_stub = broker_pb2_grpc.MarketDataStub(data_channel)
api.set_stub(broker_stub, md_stub)
"""
Demo: 下单
"""
TraderRequest_new_order = broker_pb2.TraderRequest(trader_id=ID,
trader_pin=PIN,
request_type=0,
order_id=0,
side=0,
symbol='A000.PSE',
volume=1,
is_market=True,
pos_type=1)
TraderRequest_new_order_test = proto_wrapper.TraderRequest_new_order(
"A000.PSE", side=0, pos_type=0, volume=1, is_market=False, price=90)
response_new_order = broker_stub.new_order(TraderRequest_new_order_test)
print(response_new_order)
print("##########################################")
"""
Demo: 撤单
"""
TraderRequest_cancel_order = proto_wrapper.TraderRequest_cancel_order(
order_id=tuple(response_new_order.orders.orders.keys())[0])
response_cancel_order = broker_stub.cancel_order(TraderRequest_cancel_order)
print(response_cancel_order)
print("##########################################")
"""
获取增量账户信息和完整的账户信息
"""
data_stub = broker_pb2_grpc.MarketDataStub(CHANNEL_DATA)
#//创建客户端
data_stream = data_stub.subscribe(
broker_pb2.TraderRequest(trader_id=ID, trader_pin=PIN))
api.set_stub(broker=broker_stub, data=data_stub)
api.set_stream(data_stream)
print("Set up stub used %.9f" % (time_ns() - time_now))
time_now = time_ns()
#//测试行情订阅
for i in range(1000):
snapshot_new = data_stream.next()
print('Subscribe one snapshot used %.9f' % ((time_ns() - time_now) / 1000))
time_now = time_ns()
#//下单
for i in range(1000):
broker_stub.new_order(api.TraderRequest_new_order('A002', 0, 0, 1, 100))
print('Place one new order used %.9f' % ((time_ns() - time_now) / 1000))
time_now = time_ns()
#//获取用户信息
for i in range(1000):
info = broker_stub.get_trader(api.TraderRequest_get_trader_full())
print('Get my info used %.9f' % ((time_ns() - time_now) / 1000))
