-
Notifications
You must be signed in to change notification settings - Fork 31
/
proxy_rpc_agent.py
216 lines (201 loc) · 9.81 KB
/
proxy_rpc_agent.py
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
87
88
89
90
91
92
93
94
95
96
97
98
99
100
101
102
103
104
105
106
107
108
109
110
111
112
113
114
115
116
117
118
119
120
121
122
123
124
125
126
127
128
129
130
131
132
133
134
135
136
137
138
139
140
141
142
143
144
145
146
147
148
149
150
151
152
153
154
155
156
157
158
159
160
161
162
163
164
165
166
167
168
169
170
171
172
173
174
175
176
177
178
179
180
181
182
183
184
185
186
187
188
189
190
191
192
193
194
195
196
197
198
199
200
201
202
203
204
205
206
207
208
209
210
211
212
213
214
215
216
from cmq_rpc import RpcServer, RpcClient, DataPacker
from gui_misc import field2variable, variable2field
import base
import logging
import datetime
import sys
import time
import json
class ProxyRpcServer(RpcServer):
def __init__(self, rep_address, pub_address, config = {}, tday = datetime.date.today()):
super(ProxyRpcServer, self).__init__(rep_address, pub_address)
self.scur_day = tday
self.name = config.get('name', 'test_agent')
agent_class = config.get('agent_class', 'agent.Agent')
cls_str = agent_class.split('.')
agent_cls = getattr(__import__(str(cls_str[0])), str(cls_str[1]))
self.agent = agent_cls(config = config, tday = tday)
self.restart()
self.register(self.restart)
self.register(self.get_agent_params)
self.register(self.set_agent_params)
self.register(self.set_gateway_params)
self.register(self.get_strat_params)
self.register(self.set_strat_params)
self.register(self.run_agent_func)
self.register(self.run_gateway_func)
self.register(self.run_strat_func)
self.register(self.get_hist_data)
self.register(self.exit_agent)
def restart(self):
if self.agent != None:
self.scur_day = self.agent.scur_day
self.agent.restart()
def get_agent_params(self, fields):
res = {}
for f in fields:
field_list = f.split('.')
field = field_list[0]
if field not in res:
res[field] = {}
if field == 'Positions':
positions = {}
for gway in self.agent.gateways:
gateway = self.agent.gateways[gway]
positions[gway] = {}
for inst in gateway.positions:
pos = gateway.positions[inst]
positions[gway][inst] = {'currlong' : pos.curr_pos.long,
'currshort': pos.curr_pos.short,
'locklong' : pos.locked_pos.long,
'lockshort': pos.locked_pos.short,
'ydaylong': pos.pos_yday.long,
'ydayshort': pos.pos_yday.short}
res[field] = positions
elif field == 'Risk':
risk_list = field_list[1:]
sum_risk, risk_dict = self.agent.risk_by_strats(risk_list)
res[field] = {'total': sum_risk, 'strats': risk_dict }
elif field == 'Account':
gateway = self.agent.gateways[field_list[1]]
res[field][gateway.gatewayName] = dict([(variable2field(var), gateway.account_info[var]) for var in gateway.account_info])
elif field ==' Orderstats':
gateway = self.agent.gateways[field_list[1]]
res[field][gateway.gatewayName] = dict([(variable2field(var), gateway.order_stats[var]) for var in gateway.order_stats])
elif field == 'Orders':
order_list = []
gateway = self.agent.gateways[field_list[1]]
for o in gateway.id2order.values():
inst = o.position.instrument.name
order_list.append([o.order_ref, o.sys_id, inst, o.diretion, o.volume, o.filled_volume, o.limit_price, o.status])
res[field][gateway.gatewayName] = order_list
elif field == 'Trades':
trade_list = []
for etrade in self.agent.etrades:
insts = ' '.join(etrade.instIDs)
volumes = ' '.join([str(i) for i in etrade.volumes])
filled_vol = ' '.join([str(i) for i in etrade.filled_vol])
filled_price = ' '.join([str(i) for i in etrade.filled_price])
trade_list.append([etrade.id, insts, volumes, filled_vol, filled_price, etrade.limit_price, etrade.valid_time,
etrade.strategy, etrade.book, etrade.status])
res[field] = trade_list
elif field == 'Insts':
if len(field_list) > 1:
insts = field_list[1:]
else:
insts = self.agent.instruments.keys()
inst_dict = {}
for inst in insts:
inst_obj = self.agent.instruments[inst]
inst_dict[inst] = {'Name': inst, 'Price': inst_obj.price, 'MidPrice': inst_obj.mid_price,
'BidPrice': inst_obj.bid_price1, 'BidVol': inst_obj.bid_vol1,
'AskPrice': inst_obj.ask_price1, 'AskVol': inst_obj.ask_vol1,
'PrevClose': inst_obj.prev_close, 'MarginRate': inst_obj.marginrate,
'Updated': inst_obj.last_update, 'Traded': inst_obj.last_traded,
'UpLimit': inst_obj.up_limit, 'DownLimit': inst_obj.down_limit,
'Volume': inst_obj.volume, 'OI': inst_obj.open_interest }
if 'Option' in inst_obj.__class__.__name__:
inst_dict[inst]['PV'] = inst_obj.pv
inst_dict[inst]['Delta'] = inst_obj.delta
inst_dict[inst]['Gamma'] = inst_obj.gamma
inst_dict[inst]['Vega'] = inst_obj.vega
inst_dict[inst]['Theta'] = inst_obj.theta
inst_dict[inst]['Otype'] = inst_obj.otype
inst_dict[inst]['Strike'] = inst_obj.strike
inst_dict[inst]['Underlying'] = inst_obj.underlying
inst_dict[inst]['RiskPrice'] = inst_obj.risk_price
inst_dict[inst]['RiskUpdated'] = inst_obj.risk_updated
res[field] = inst_dict
elif field == 'Volgrids':
prod = field_list[1]
vg_param = {}
if prod in self.agent.volgrids:
vg = self.agent.volgrids[prod]
for expiry in vg.volnode:
vg_param[expiry] = {}
vg_param[expiry]['Fwd'] = vg.fwd[expiry]
vg_param[expiry]['Updated'] = vg.last_update[expiry]
vg_param[expiry]['T2expiry'] = vg.t2expiry[expiry]
vg_param[expiry]['Under'] = vg.underlier[expiry]
vg_param[expiry]['Df'] = vg.df[expiry]
vol_param = vg.volparam[expiry]
vg_param[expiry]['Atm'] = vol_param[0]
vg_param[expiry]['V90'] = vol_param[1]
vg_param[expiry]['V75'] = vol_param[2]
vg_param[expiry]['V25'] = vol_param[3]
vg_param[expiry]['V10'] = vol_param[4]
res[field] = {prod: vg_param}
else:
var = field2variable(field)
res[field] = getattr(self.agent, var)
return res
def set_agent_params(self, params):
for field in params:
var = field2variable(field)
value = params[field]
setattr(self.agent, var, value)
def set_gateway_params(self, gway, params):
gateway = self.agent.gateways[gway]
for field in params:
var = field2variable(field)
value = params[field]
setattr(gateway, var, value)
def get_strat_params(self, strat_name, fields):
params = {}
strat = self.agent.strategies[strat_name]
for field in fields:
var = field2variable(field)
params[field] = getattr(strat, var)
return params
def set_strat_params(self, strat_name, params):
strat = self.agent.strategies[strat_name]
for field in params:
var = field2variable(field)
value = params[field]
setattr(strat, var, value)
def run_strat_func(self, strat_name, func_name):
strat = self.agent.strategies[strat_name]
getattr(strat, func_name)()
def run_agent_func(self, func_name, params):
return getattr(self.agent, func_name)(*params)
def run_gateway_func(self, gway, func_name, params):
gateway = self.agent.gateways[gway]
return getattr(gateway, func_name)(*params)
def get_hist_data(self, inst, freq, nlen = 20):
data = []
if freq in ['D', 'd']:
if inst in self.agent.day_data:
data = self.agent.day_data[inst].data[-nlen:]
elif ('m' in freq) or ('M' in freq):
f = int(freq[:-1])
if (inst in self.agent.min_data) and (f in self.agent.min_data[inst]):
data = self.agent.min_data[inst][f].data[-nlen:]
return data
def exit_agent(self):
if self.agent != None:
self.agent.exit()
def run_proxy_server(config_file, tday):
with open(config_file, 'r') as infile:
config = json.load(infile)
name = config.get('name', 'test_agent')
base.config_logging(name + "/" + name + ".log", level=logging.DEBUG,
format='%(name)s:%(funcName)s:%(lineno)d:%(asctime)s %(levelname)s %(message)s',
to_console=True,
console_level=logging.INFO)
scur_day = datetime.datetime.strptime(tday, '%Y%m%d').date()
rep_address = config.get('rep_address', 'tcp://*:10010')
pub_address = config.get('pub_address', 'tcp://*:10020')
proxy_app = ProxyRpcServer(rep_address, pub_address, config, scur_day)
proxy_app.start()
try:
while 1:
time.sleep(1)
except KeyboardInterrupt:
proxy_app.exit_agent()
def run_proxy_client(config_file, tday):
pass
if __name__=="__main__":
args = sys.argv[1:]
app_name = args[0]
params = (args[1], args[2],)
getattr(sys.modules[__name__], app_name)(*params)