def __init__(self, eType: EngineType):
self.__wrapper__ = WtWrapper() #api接口转换器
self.__cta_ctxs__ = dict() #CTA策略ctx映射表
self.__sel_ctxs__ = dict() #SEL策略ctx映射表
self.__hft_ctxs__ = dict() #HFT策略ctx映射表
self.__config__ = dict() #框架配置项
self.__cfg_commited__ = False #配置是否已提交
self.__writer__ = None #指标输出模块
self.__reporter__ = None #数据提交模块
self.__engine_type = eType
if eType == EngineType.ET_CTA:
self.__wrapper__.initialize_cta(self) #初始化api接口
elif eType == EngineType.ET_HFT:
self.__wrapper__.initialize_hft(self)
elif eType == EngineType.ET_SEL:
self.__wrapper__.initialize_sel(self) #初始化api接口
def __init__(self,
eType: EngineType,
logCfg: str = "logCfg.json",
genDir: str = "generated",
bDumpCfg: bool = False):
'''
WtEngine构造函数\n
@eType 引擎类型：EngineType.ET_CTA、EngineType.ET_HFT、EngineType.ET_SEL\n
@logCfg 日志配置文件\n
@genDir 数据输出目录\n
@bDumpCfg 是否保存最终配置文件
'''
self.__wrapper__ = WtWrapper() #api接口转换器
self.__cta_ctxs__ = dict() #CTA策略ctx映射表
self.__sel_ctxs__ = dict() #SEL策略ctx映射表
self.__hft_ctxs__ = dict() #HFT策略ctx映射表
self.__config__ = dict() #框架配置项
self.__cfg_commited__ = False #配置是否已提交
self.__writer__ = None #指标输出模块
self.__reporter__ = None #数据提交模块
self.__ext_parsers__ = dict() #外接的行情接入模块
self.__ext_executers__ = dict() #外接的执行器
self.__dump_config__ = bDumpCfg #是否保存最终配置
self.__engine_type = eType
if eType == EngineType.ET_CTA:
self.__wrapper__.initialize_cta(self,
logCfg=logCfg,
isFile=True,
genDir=genDir)
elif eType == EngineType.ET_HFT:
self.__wrapper__.initialize_hft(self,
logCfg=logCfg,
isFile=True,
genDir=genDir)
elif eType == EngineType.ET_SEL:
self.__wrapper__.initialize_sel(self,
logCfg=logCfg,
isFile=True,
genDir=genDir)
class WtEngine:
def __init__(self, eType: EngineType):
self.__wrapper__ = WtWrapper() #api接口转换器
self.__cta_ctxs__ = dict() #CTA策略ctx映射表
self.__sel_ctxs__ = dict() #SEL策略ctx映射表
self.__hft_ctxs__ = dict() #HFT策略ctx映射表
self.__config__ = dict() #框架配置项
self.__cfg_commited__ = False #配置是否已提交
self.__writer__ = None #指标输出模块
self.__reporter__ = None #数据提交模块
self.__engine_type = eType
if eType == EngineType.ET_CTA:
self.__wrapper__.initialize_cta(self) #初始化api接口
elif eType == EngineType.ET_HFT:
self.__wrapper__.initialize_hft(self)
elif eType == EngineType.ET_SEL:
self.__wrapper__.initialize_sel(self) #初始化api接口
def __check_config__(self):
'''
检查设置项\n
主要会补充一些默认设置项
'''
if "basefiles" not in self.__config__:
self.__config__["basefiles"] = dict()
if "env" not in self.__config__:
self.__config__["env"] = dict()
self.__config__["env"]["name"] = "cta"
self.__config__["env"]["mode"] = "product"
self.__config__["env"]["product"] = {"session": "TRADING"}
def getEngineType(self):
return self.__engine_type
def set_writer(self, writer: BaseIndexWriter):
'''
设置指标输出模块
'''
self.__writer__ = writer
def write_indicator(self, id, tag, time, data):
'''
写入指标数据
'''
if self.__writer__ is not None:
self.__writer__.write_indicator(id, tag, time, data)
def set_data_reporter(self, reporter: BaseDataReporter):
'''
设置数据报告器
'''
self.__reporter__ = reporter
def init(self,
folder: str,
cfgfile: str = "config.json",
commfile: str = "commodities.json",
contractfile: str = "contracts.json"):
'''
初始化\n
@folder 基础数据文件目录，\\结尾\n
@cfgfile 配置文件，json格式
'''
f = open(cfgfile, "r")
content = f.read()
self.__config__ = json.loads(content)
f.close()
self.__check_config__()
self.__config__["basefiles"]["commodity"] = folder + commfile
self.__config__["basefiles"]["contract"] = folder + contractfile
self.__config__["basefiles"]["holiday"] = folder + "holidays.json"
self.__config__["basefiles"]["session"] = folder + "sessions.json"
self.__config__["basefiles"]["hot"] = folder + "hots.json"
self.productMgr = ProductMgr()
self.productMgr.load(folder + commfile)
self.contractMgr = ContractMgr()
self.contractMgr.load(folder + contractfile)
self.sessionMgr = SessionMgr()
self.sessionMgr.load(folder + "sessions.json")
def configEngine(self, name: str, mode: str = "product"):
'''
设置引擎和运行模式
'''
self.__config__["env"]["name"] = name
self.__config__["env"]["mode"] = mode
def addExternalCtaStrategy(self, id: str, params: dict):
'''
添加外部的CTA策略
'''
if "strategies" not in self.__config__:
self.__config__["strategies"] = dict()
if "cta" not in self.__config__["strategies"]:
self.__config__["strategies"]["cta"] = list()
params["id"] = id
self.__config__["strategies"]["cta"].append(params)
def addExternalHftStrategy(self, id: str, params: dict):
'''
添加外部的HFT策略
'''
if "strategies" not in self.__config__:
self.__config__["strategies"] = dict()
if "hft" not in self.__config__["strategies"]:
self.__config__["strategies"]["hft"] = list()
params["id"] = id
self.__config__["strategies"]["hft"].append(params)
def configStorage(self, path: str, module: str = ""):
'''
配置数据存储\n
@mode 存储模式，csv-表示从csv直接读取，一般回测使用，wtp-表示使用wt框架自带数据存储
'''
self.__config__["data"]["store"]["module"] = module
self.__config__["data"]["store"]["path"] = path
def commitConfig(self):
'''
提交配置\n
只有第一次调用会生效，不可重复调用\n
如果执行run之前没有调用，run会自动调用该方法
'''
if self.__cfg_commited__:
return
cfgfile = "config_run.json"
f = open(cfgfile, "w")
f.write(json.dumps(self.__config__, indent=4, sort_keys=True))
f.close()
self.__wrapper__.config(cfgfile)
os.remove(cfgfile)
self.__cfg_commited__ = True
def regCtaStraFactories(self, factFolder: str):
'''
向底层模块注册CTA工厂模块目录\n
!!!CTA策略只会被CTA引擎加载!!!\n
@factFolder 工厂模块所在的目录
'''
return self.__wrapper__.reg_cta_factories(factFolder)
def regHftStraFactories(self, factFolder: str):
'''
向底层模块注册HFT工厂模块目录\n
!!!HFT策略只会被HFT引擎加载!!!\n
@factFolder 工厂模块所在的目录
'''
return self.__wrapper__.reg_hft_factories(factFolder)
def regExecuterFactories(self, factFolder: str):
'''
向底层模块注册执行器模块目录\n
!!!执行器只在CTA引擎有效!!!\n
@factFolder 工厂模块所在的目录
'''
return self.__wrapper__.reg_exe_factories(factFolder)
def addExecuter(self,
id: str,
trader: str,
policies: dict,
scale: int = 1):
if "executers" not in self.__config__:
self.__config__["executers"] = list()
exeItem = {
"active": True,
"id": id,
"scale": scale,
"policy": policies,
"trader": trader
}
self.__config__["executers"].append(exeItem)
def addTrader(self, id: str, params: dict):
if "traders" not in self.__config__:
self.__config__["traders"] = list()
tItem = params
tItem["active"] = True
tItem["id"] = id
self.__config__["traders"].append(tItem)
def getSessionByCode(self, code: str) -> SessionInfo:
'''
通过合约代码获取交易时间模板\n
@code 合约代码，格式如SHFE.rb.HOT
'''
pid = CodeHelper.stdCodeToStdCommID(code)
pInfo = self.productMgr.getProductInfo(pid)
if pInfo is None:
return None
return self.sessionMgr.getSession(pInfo.session)
def getSessionByName(self, sname: str) -> SessionInfo:
'''
通过模板名获取交易时间模板\n
@sname 模板名
'''
return self.sessionMgr.getSession(sname)
def getProductInfo(self, code: str) -> ProductInfo:
'''
获取品种信息\n
@code 合约代码，格式如SHFE.rb.HOT
'''
return self.productMgr.getProductInfo(code)
def getContractInfo(self, code: str) -> ContractInfo:
'''
获取品种信息\n
@code 合约代码，格式如SHFE.rb.HOT
'''
return self.contractMgr.getContractInfo(code)
def getAllCodes(self):
'''
获取全部合约代码
'''
return self.contractMgr.getTotalCodes()
def add_cta_strategy(self, strategy: BaseCtaStrategy):
'''
添加CTA策略\n
@strategy 策略对象
'''
id = self.__wrapper__.create_cta_context(strategy.name())
self.__cta_ctxs__[id] = CtaContext(id, strategy, self.__wrapper__,
self)
def add_hft_strategy(self, strategy: BaseHftStrategy, trader: str):
'''
添加HFT策略\n
@strategy 策略对象
'''
id = self.__wrapper__.create_hft_context(strategy.name(), trader)
self.__hft_ctxs__[id] = HftContext(id, strategy, self.__wrapper__,
self)
def add_sel_strategy(self, strategy: BaseSelStrategy, date: int, time: int,
period: str):
id = self.__wrapper__.create_sel_context(strategy.name(), date, time,
period)
self.__sel_ctxs__[id] = SelContext(id, strategy, self.__wrapper__,
self)
def get_context(self, id: int):
'''
根据ID获取策略上下文\n
@id 上下文id，一般添加策略的时候会自动生成一个唯一的上下文id
'''
if self.__engine_type == EngineType.ET_CTA:
if id not in self.__cta_ctxs__:
return None
return self.__cta_ctxs__[id]
elif self.__engine_type == EngineType.ET_HFT:
if id not in self.__hft_ctxs__:
return None
return self.__hft_ctxs__[id]
elif self.__engine_type == EngineType.ET_SEL:
if id not in self.__sel_ctxs__:
return None
return self.__sel_ctxs__[id]
def run(self):
'''
运行框架
'''
if not self.__cfg_commited__: #如果配置没有提交，则自动提交一下
self.commitConfig()
self.__wrapper__.run()
def release(self):
'''
释放框架
'''
self.__wrapper__.release()
def on_init(self):
if self.__reporter__ is not None:
self.__reporter__.report_init_data()
return
def on_schedule(self, date: int, time: int, taskid: int = 0):
# print("engine scheduled")
if self.__reporter__ is not None:
self.__reporter__.report_rt_data()
def on_session_begin(self, date: int):
# print("session begin")
return
def on_session_end(self, date: int):
if self.__reporter__ is not None:
self.__reporter__.report_settle_data()
return