base.config_logging("ctp_" + 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)

trader_cfg = None

user_cfg = misc.HT_PROD_MD

# ins_setup = {'ru1605': [[0.35, 0.08, 0.25], 1, 120, 3],

# 'rb1605': [[0.25, 0.05, 0.15], 5, 20, 3],

# 'RM605' : [[0.35, 0.07, 0.25], 4, 20, 1],

# 'm1605' : [[0.35, 0.07, 0.25], 4, 30, 3],

# 'ag1606': [[0.4, 0.1, 0.3], 4, 40, 5],

# 'y1605' : [[0.25, 0.05, 0.15], 4, 60, 1],

# 'cu1603': [[0.25, 0.05, 0.15], 1, 700, 1]}

# insts = ins_setup.keys()

# units_rb = [ins_setup[inst][1] for inst in insts]

# under_rb = [[inst] for inst in insts]

# vol_rb = [[1] for inst in insts]

# ratios = [ins_setup[inst][0] for inst in insts]

# min_rng = [ins_setup[inst][2] for inst in insts]

# freq = [ins_setup[inst][3] for inst in insts]

# stop_loss = 0.015

# rb_strat = strat_rb.RBreakerTrader('ProdRB', under_rb, vol_rb, trade_unit = units_rb,

# ratios = ratios, min_rng = min_rng, trail_loss = stop_loss, freq = freq,

# agent = None, email_notify = [])

ins_setup ={

'TF1603':(2, 0.5, 0.0, 1, False, 0.0),

'm1605': (0,0.8, 0.0, 2, False, 0.004),

'RM605': (0,0.8, 0.0, 2, False, 0.004),

'y1605': (0,0.7, 0.0, 2, False, 0.004),

'p1605': (0,0.9, 0.0, 2, False, 0.004),

'a1605' :(0,1.0, 0.0, 2, False, 0.004),

'rb1605':(0,0.7, 0.5, 4, False, 0.004),

'l1605': (2,0.4, 0.0, 4, False, 0.004),

'pp1605':(4,0.4, 0.0, 2, False, 0.004),

'TA605' :(0, 0.6, 0.0, 3, False, 0.004),

'MA605' :(0, 0.8, 0.0, 3, False, 0.004),

'jd1605':(4, 0.4, 0.0, 4, False, 0.004),

'SR605': (1, 0.9, 0.0, 2, False, 0.004),

'i1605' :(2, 0.4,0.0, 2, False, 0.004),

'cs1605' :(0, 1.0, 0.0, 3, False, 0.004),

}

insts = ins_setup.keys()

units_dt = [ins_setup[inst][3] for inst in insts]

under_dt = [[inst] for inst in insts]

vol_dt = [[1] for inst in insts]

ratios = [[ins_setup[inst][1], ins_setup[inst][2]] for inst in insts]

lookbacks = [ins_setup[inst][0] for inst in insts]

daily_close = [ins_setup[inst][4] for inst in insts]

min_rng = [ins_setup[inst][5] for inst in insts]

#dt_strat = dt_bar.DTBarTrader('ProdDT', under_dt, vol_dt, trade_unit = units_dt,

# ratios = ratios, lookbacks = lookbacks,

# agent = None, daily_close = daily_close, ma_win = 10,

# email_notify = [], min_rng = min_rng)

ins_setup = {

'TF1603': (2, 0.6, 0.0, 1, False, 0.0),

'm1605': (0, 0.7, 0.0, 2, False, 0.004),

'RM605': (0, 0.6, 0.0, 2, False, 0.004),

'y1605': (0, 0.6, 0.0, 2, False, 0.004),

'p1605': (0, 1.1, 0.0, 2, False, 0.004),

'a1605' : (0, 0.8, 0.0, 2, False, 0.004),

'rb1605': (0, 0.6, 0.0, 4, False, 0.004),

'l1605': (0, 0.7, 0.0, 4, False, 0.004),

'pp1605': (4, 0.35, 0.0, 2, False, 0.004),

'TA605' : (0, 1.0, 0.0, 3, False, 0.004),

'MA605' : (0, 0.9, 0.0, 3, False, 0.004),

'jd1605': (4, 0.3, 0.0, 4, False, 0.004),

'SR605': (1, 0.8, 0.0, 2, False, 0.004),

'i1605' : (2, 0.5,0.0, 2, False, 0.004),

'cs1605' :(0, 1.1, 0.0, 3, False, 0.004),

}

insts = ins_setup.keys()

units_dt = [ins_setup[inst][3] for inst in insts]

under_dt = [[inst] for inst in insts]

vol_dt = [[1] for inst in insts]

ratios = [[ins_setup[inst][1], ins_setup[inst][2]] for inst in insts]

lookbacks = [ins_setup[inst][0] for inst in insts]

daily_close = [ins_setup[inst][4] for inst in insts]

min_rng = [ins_setup[inst][5] for inst in insts]

#dtma_strat = dt_bar.DTBarTrader('DTMA10', under_dt, vol_dt, trade_unit = units_dt,

# ratios = ratios, lookbacks = lookbacks,

# agent = None, daily_close = daily_close,

# email_notify = [], min_rng = min_rng)

ins_setup = {

'ag1606': (1, 0.8, 0.0, 2, False),

'm1605': (0, 0.8, 0.0, 2, False),

'RM605': (0, 0.8, 0.0, 2, False),

'y1605': (0, 0.9, 0.0, 2, False),

'p1605': (1, 1.0, 0.0, 2, False),

'a1605': (1, 0.9, 0.0, 2, False),

'rb1605': (2, 0.5, 0.0, 4, False),

'TA605' : (1, 0.7, 0.0, 3, False),

'MA605' : (1, 0.7, 0.0, 3, False),

'SR605' : (2, 0.9, 0.0, 2, False),

'i1605' : (4, 0.4, 0.0, 2, False),

}

insts = ins_setup.keys()

units_dt = [ins_setup[inst][3] for inst in insts]

under_dt = [[inst] for inst in insts]

vol_dt = [[1] for inst in insts]

ratios = [[ins_setup[inst][1], ins_setup[inst][2]] for inst in insts]

lookbacks = [ins_setup[inst][0] for inst in insts]

daily_close = [ins_setup[inst][4] for inst in insts]

#dtsplit_strat1 = dt_split.DTSplitTrader('DTSp1', under_dt, vol_dt, trade_unit = units_dt,

# ratios = ratios, lookbacks = lookbacks,

# agent = None, daily_close = daily_close, ma_win = 10,

# email_notify = [], min_rng = [0.004])

ins_setup = {

'ag1606': (1, 1.1, 0.0, 2, False),

'm1605': (0, 1.0, 0.0, 2, False),

'RM605': (0, 1.0, 0.0, 2, False),

'y1605': (0, 1.0, 0.0, 2, False),

'p1605': (1, 1.1, 0.0, 2, False),

'a1605': (1, 1.1, 0.0, 2, False),

'rb1605': (0, 0.9, 0.0, 4, False),

'TA605' : (1, 0.9, 0.0, 3, False),

'MA605' : (1, 0.9, 0.0, 3, False),

'SR605' : (4,0.45, 0.0, 2, False),

'i1605' : (4, 0.5, 0.0, 2, False),

}

insts = ins_setup.keys()

units_dt = [ins_setup[inst][3] for inst in insts]

under_dt = [[inst] for inst in insts]

vol_dt = [[1] for inst in insts]

ratios = [[ins_setup[inst][1], ins_setup[inst][2]] for inst in insts]

lookbacks = [ins_setup[inst][0] for inst in insts]

daily_close = [ins_setup[inst][4] for inst in insts]

#dtsplit_strat2 = dt_split.DTSplitTrader('DTSp2', under_dt, vol_dt, trade_unit = units_dt,

# ratios = ratios, lookbacks = lookbacks,

# agent = None, daily_close = daily_close, ma_win = 10,

# email_notify = [], min_rng = [0.004])

ins_setup = {

'p1605': (1, 0.9, 0.0, 2, False),

'rb1605': (0, 0.7, 0.0, 2, False),

'pp1605': (2, 0.25,0.0, 1, False),

'TF1603': (2, 0.5, 0.0, 1, False),

'MA605' : (2, 0.25,0.0, 3, False),

'SR605' : (1, 0.9, 0.0, 2, False),

}

insts = ins_setup.keys()

units_dt = [ins_setup[inst][3] for inst in insts]

under_dt = [[inst] for inst in insts]

vol_dt = [[1] for inst in insts]

ratios = [[ins_setup[inst][1], ins_setup[inst][2]] for inst in insts]

lookbacks = [ins_setup[inst][0] for inst in insts]

daily_close = [ins_setup[inst][4] for inst in insts]

chan_func ={'high_func': max,

'high_args': {},

'low_func': min,

'low_args': {}}

#dtchan5_sp1 = dt_dfilter.DTSplitChanFilter('DTChan5Sp1',

# under_dt,

# vol_dt,

# trade_unit = units_dt,

# ratios = ratios,

# lookbacks = lookbacks,

# agent = None,

# daily_close = daily_close,

# chan_func = chan_func,

# channels = [5],

# open_period = [300, 2115],

# email_notify = [],

# min_rng = [0.003])

ins_setup = {

'p1605': (1, 1.0, 0.0, 2, False),

'rb1605': (0, 0.6, 0.0, 2, False),

'pp1605': (2, 0.3, 0.0, 1, False),

'TF1603': (1, 0.7, 0.0, 1, False),

'MA605' : (2, 0.3, 0.0, 3, False),

'SR605' : (1, 1.0, 0.0, 2, False),

}

insts = ins_setup.keys()

units_dt = [ins_setup[inst][3] for inst in insts]

under_dt = [[inst] for inst in insts]

vol_dt = [[1] for inst in insts]

ratios = [[ins_setup[inst][1], ins_setup[inst][2]] for inst in insts]

lookbacks = [ins_setup[inst][0] for inst in insts]

daily_close = [ins_setup[inst][4] for inst in insts]

#dtchan5_sp2 = dt_dfilter.DTSplitChanFilter('DTChan5Sp2',

# under_dt,

# vol_dt,

# trade_unit = units_dt,

# ratios = ratios,

# lookbacks = lookbacks,

# agent = None,

# daily_close = daily_close,

# chan_func = chan_func,

# channels = [5],

# open_period = [300, 2115],

# email_notify = [],

# min_rng = [0.003])

ins_setup = {

'cs1605': (1, 1.1, 0.0, 3, False),

'l1605': (0, 0.7, 0.0, 1, False),

'i1605': (0, 0.7, 0.0, 2, False),

'j1605': (2, 0.35,0.0, 2, False),

'cu1603': (1, 0.6, 0.0, 1, False),

}

insts = ins_setup.keys()

units_dt = [ins_setup[inst][3] for inst in insts]

under_dt = [[inst] for inst in insts]

vol_dt = [[1] for inst in insts]

ratios = [[ins_setup[inst][1], ins_setup[inst][2]] for inst in insts]

lookbacks = [ins_setup[inst][0] for inst in insts]

daily_close = [ins_setup[inst][4] for inst in insts]

chan_func ={'high_func': np.percentile,

'high_args': {'q':90,},

'low_func': np.percentile,

'low_args': {'q':10,}}

# dtchan10_sp1 = dt_dfilter.DTSplitChanFilter('DTChan10Sp1',

# under_dt,

# vol_dt,

# trade_unit = units_dt,

# ratios = ratios,

# lookbacks = lookbacks,

# agent = None,

# daily_close = daily_close,

# chan_func = chan_func,

# channels = [10],

# open_period = [300, 2115],

# email_notify = [],

# min_rng = [0.003])

ins_setup = {

'cs1605': (1, 1.0, 0.0, 3, False),

'l1605': (2, 0.4, 0.0, 1, False),

'i1605': (0, 0.9, 0.0, 2, False),

'j1605': (2, 0.4, 0.0, 2, False),

'cu1603': (2,0.35, 0.0, 1, False),

}

insts = ins_setup.keys()

units_dt = [ins_setup[inst][3] for inst in insts]

under_dt = [[inst] for inst in insts]

vol_dt = [[1] for inst in insts]

ratios = [[ins_setup[inst][1], ins_setup[inst][2]] for inst in insts]

lookbacks = [ins_setup[inst][0] for inst in insts]

daily_close = [ins_setup[inst][4] for inst in insts]

chan_func ={'high_func': np.percentile,

'high_args': {'q':80,},

'low_func': np.percentile,

'low_args': {'q':20,}}

# dtchan10_sp2 = dt_dfilter.DTSplitChanFilter('DTChan10Sp2',

# under_dt,

# vol_dt,

# trade_unit = units_dt,

# ratios = ratios,

# lookbacks = lookbacks,

# agent = None,

# daily_close = daily_close,

# chan_func = chan_func,

# channels = [10],

# open_period = [300, 2115],

# email_notify = [],

# min_rng = [0.003])

ins_setup = {

'm1605': (1, 0.7, 0.0, 3, False),

'RM605': (2,0.25, 0.0, 3, False),

'y1605': (1, 0.8, 0.0, 2, False),

'l1605': (0, 0.7, 0.0, 1, False),

'TF1603': (2, 0.45,0.0, 1, False),

'TA605' : (0, 0.7, 0.0, 2, False),

'i1605' : (2, 0.35,0.0, 2, False),

}

insts = ins_setup.keys()

units_dt = [ins_setup[inst][3] for inst in insts]

under_dt = [[inst] for inst in insts]

vol_dt = [[1] for inst in insts]

ratios = [[ins_setup[inst][1], ins_setup[inst][2]] for inst in insts]

lookbacks = [ins_setup[inst][0] for inst in insts]

daily_close = [ins_setup[inst][4] for inst in insts]

chan_func ={'high_func': np.percentile,

'high_args': {'q':90,},

'low_func': np.percentile,

'low_args': {'q':10,}}

# dtchan20_sp1 = dt_dfilter.DTSplitChanFilter('DTChan20Sp1',

# under_dt,

# vol_dt,

# trade_unit = units_dt,

# ratios = ratios,

# lookbacks = lookbacks,

# agent = None,

# daily_close = daily_close,

# chan_func = chan_func,

# channels = [20],

# open_period = [300, 2115],

# email_notify = [],

# min_rng = [0.003])

ins_setup = {

'm1605': (1, 0.8, 0.0, 3, False),

'RM605': (2, 0.3, 0.0, 3, False),

'y1605': (1, 1.0, 0.0, 2, False),

'l1605': (0, 1.0, 0.0, 1, False),

'TF1603': (2, 0.5, 0.0, 1, False),

'TA605' : (1, 0.8, 0.0, 2, False),

'i1605' : (2, 0.4, 0.0, 2, False),

}

insts = ins_setup.keys()

units_dt = [ins_setup[inst][3] for inst in insts]

under_dt = [[inst] for inst in insts]

vol_dt = [[1] for inst in insts]

ratios = [[ins_setup[inst][1], ins_setup[inst][2]] for inst in insts]

lookbacks = [ins_setup[inst][0] for inst in insts]

daily_close = [ins_setup[inst][4] for inst in insts]

chan_func ={'high_func': np.percentile,

'high_args': {'q':80,},

'low_func': np.percentile,

'low_args': {'q':20,}}

# dtchan20_sp2 = dt_dfilter.DTSplitChanFilter('DTChan20Sp2',

# under_dt,

# vol_dt,

# trade_unit = units_dt,

# ratios = ratios,

# lookbacks = lookbacks,

# agent = None,

# daily_close = daily_close,

# chan_func = chan_func,

# channels = [20],

# open_period = [300, 2115],

# email_notify = [],

# min_rng = [0.003])

ins_setup = {

'bu1601':[2, 1, 1],

'i1605': [1, 1, 2],

'TA605': [2, 2, 2],

'ZC605': [2, 3, 1],

}

insts = ins_setup.keys()

units_tl = [ins_setup[inst][2] for inst in insts]

under_tl = [[inst] for inst in insts]

vol_tl = [[1] for inst in insts]

trail_loss = [ins_setup[inst][0] for inst in insts]

max_pos = [ins_setup[inst][1] for inst in insts]

# tl_strat = strat_tl.TurtleTrader('ProdTL', under_tl, vol_tl, trade_unit = units_tl,

# agent = None, email_notify = ['harvey_wwu@hotmail.com'],

# windows = [5, 15],

# max_pos = max_pos,

# trail_loss = trail_loss)

ins_setup = {

'j1605': [1, 2, 1],

'ZC605': [2, 3, 2],

'i1605': [2, 2, 1],

}

insts = ins_setup.keys()

units_tl = [ins_setup[inst][2] for inst in insts]

under_tl = [[inst] for inst in insts]

vol_tl = [[1] for inst in insts]

trail_loss = [ins_setup[inst][0] for inst in insts]

max_pos = [ins_setup[inst][1] for inst in insts]

# tl_strat2 = strat_tl.TurtleTrader('ProdTL2', under_tl, vol_tl, trade_unit = units_tl,

# agent = None, email_notify = ['harvey_wwu@hotmail.com'],

# windows = [10, 20],

# max_pos = max_pos,

# trail_loss = trail_loss )

# strategies = [dt_strat, dtma_strat,\

# tl_strat, tl_strat2, \

# dtsplit_strat1, dtsplit_strat2, \

# dtchan5_sp1, dtchan5_sp2, \

# dtchan10_sp1, dtchan10_sp2, \

# dtchan20_sp1, dtchan20_sp2]

# folder = misc.get_prod_folder()

# strat_cfg = {'strategies': strategies, \

# 'folder': folder, \

# 'daily_data_days':22, \

# 'min_data_days':4 }

# myApp = MainApp(name, trader_cfg, user_cfg, strat_cfg, tday, master = None, save_test = False)

# myGui = Gui(myApp)

# #myGui.iconbitmap(r'c:\Python27\DLLs\thumbs-up-emoticon.ico')

ins_setup ={

'TF1603':(2, 0.5, 1, False, 0.0),

'm1605': (0, 0.8, 2, False, 0.004),

'RM605': (0, 0.8, 2, False, 0.004),

'y1605': (0, 0.7, 2, False, 0.004),

'p1605': (0, 0.9, 2, False, 0.004),

'a1605' :(0, 1.0, 2, False, 0.004),

'rb1605':(0, 0.7, 4, False, 0.004),

'l1605': (2, 0.4, 4, False, 0.004),

'pp1605':(4, 0.4, 2, False, 0.004),

'TA605' :(0, 0.6, 3, False, 0.004),

'MA605' :(0, 0.8, 3, False, 0.004),

'jd1605':(4, 0.4, 4, False, 0.004),

'SR605': (1, 0.9, 2, False, 0.004),

'i1605' :(2, 0.4, 2, False, 0.004),

'cs1605':(0, 1.0, 3, False, 0.004),

}

config = {'name': 'DT1',

'trade_valid_time': 600,

'num_tick': 1,

'daily_close_buffer':5,

'use_chan': False,

'open_period': [300, 2115],

'filename': 'StratDT1.json',

'input_keys': ['lookbacks', 'ratios', 'trade_unit', 'close_tday', 'min_rng'],

}

create_strat_file(config, ins_setup)

ins_setup = {

'TF1603': (2, 0.6, 1, False, 0.0),

'm1605': (0, 0.7, 2, False, 0.004),

'RM605': (0, 0.6, 2, False, 0.004),

'y1605': (0, 0.6, 2, False, 0.004),

'p1605': (0, 1.1, 2, False, 0.004),

'a1605' : (0, 0.8, 2, False, 0.004),

'rb1605': (0, 0.6, 4, False, 0.004),

'l1605': (0, 0.7, 4, False, 0.004),

'pp1605': (4, 0.35, 2, False, 0.004),

'TA605' : (0, 1.0, 3, False, 0.004),

'MA605' : (0, 0.9, 3, False, 0.004),

'jd1605': (4, 0.3, 4, False, 0.004),

'SR605': (1, 0.8, 2, False, 0.004),

'i1605' : (2, 0.5, 2, False, 0.004),

'cs1605' :(0, 1.1, 3, False, 0.004),

}

config = {'name': 'DT2',

'trade_valid_time': 600,

'num_tick': 1,

'daily_close_buffer':5,

'use_chan': False,

'open_period': [300, 2115],

'filename': 'StratDT2.json',

'input_keys': ['lookbacks', 'ratios', 'trade_unit', 'close_tday', 'min_rng'],

}

create_strat_file(config, ins_setup)

ins_setup = {

'ag1606': (1, 0.8, 2, False, 0.003),

'm1605': (0, 0.8, 2, False, 0.003),

'RM605': (0, 0.8, 2, False, 0.003),

'y1605': (0, 0.9, 2, False, 0.003),

'p1605': (1, 1.0, 2, False, 0.003),

'a1605': (1, 0.9, 2, False, 0.003),

'rb1605': (2, 0.5, 4, False, 0.003),

'TA605' : (1, 0.7, 3, False, 0.003),

'MA605' : (1, 0.7, 3, False, 0.003),

'SR605' : (2, 0.9, 2, False, 0.003),

'i1605' : (4, 0.4, 2, False, 0.003),

}

config = {'name': 'DTSp1',

'trade_valid_time': 600,

'num_tick': 1,

'daily_close_buffer':5,

'use_chan': False,

'open_period': [300, 1500, 2115],

'filename': 'StratDTSp1.json',

'input_keys': ['lookbacks', 'ratios', 'trade_unit', 'close_tday', 'min_rng'],

}

create_strat_file(config, ins_setup)

ins_setup = {

'ag1606': (1, 1.1, 2, False, 0.003),

'm1605': (0, 1.0, 2, False, 0.003),

'RM605': (0, 1.0, 2, False, 0.003),

'y1605': (0, 1.0, 2, False, 0.003),

'p1605': (1, 1.1, 2, False, 0.003),

'a1605': (1, 1.1, 2, False, 0.003),

'rb1605': (0, 0.9, 4, False, 0.003),

'TA605' : (1, 0.9, 3, False, 0.003),

'MA605' : (1, 0.9, 3, False, 0.003),

'SR605' : (4,0.45, 2, False, 0.003),

'i1605' : (4, 0.5, 2, False, 0.003),

}

config = {'name': 'DTSp2',

'trade_valid_time': 600,

'num_tick': 1,

'daily_close_buffer':5,

'use_chan': False,

'open_period': [300, 1500, 2115],

'filename': 'StratDTSp2.json',

'input_keys': ['lookbacks', 'ratios', 'trade_unit', 'close_tday', 'min_rng'],

}

insts = ins_setup.keys()

config_list = []

for inst in insts:

asset_dict = {}

asset_dict['underliers'] = [inst]

asset_dict['volumes'] = [1]

for key, val in zip(config['input_keys'], ins_setup[inst]) :

asset_dict[key] = val

config_list.append(asset_dict)

strat_conf = {

'class': 'strat_dt_dfilter.DTSplitDChanFilter',

'config': {'name': config['name'],

'num_tick': config.get('num_tick', 0),

'trade_valid_time': config.get('trade_valid_time', 300),

'use_chan': config.get('use_chan', False),

'open_period': config.get('open_period', [300, 2115]),

'assets': config_list}

}

fname = config['filename']

try:

with open(fname, 'w') as ofile:

json.dump(strat_conf, ofile)

except: