def func_broker(q_req):
broker_stub_ind = broker_pb2_grpc.BrokerStub(CHANNEL_BROKER)
while True:
req = q_req.get(True)
if req[0] == 0:
broker_stub_ind.new_order(req[1])
else:
broker_stub_ind.cancel_order(req[1])
def __init__(self, trader_id, trader_pin, channel):
self.trader_id = trader_id
self.trader_pin = trader_pin
self.channel = grpc.insecure_channel(channel)
self.stub = broker_pb2_grpc.BrokerStub(self.channel)
#multiprocessing.set_start_method('spawn')
import os
import numpy as np
from time import ctime, sleep, time_ns
import tradingObjects
"""
配置背景参数。
"""
ID = 3
PIN = 'jY0RyHyK9'
CHANNEL_BROKER = grpc.insecure_channel('113.208.112.25:57503')
CHANNEL_DATA = grpc.insecure_channel('113.208.112.25:57600')
broker_stub = broker_pb2_grpc.BrokerStub(CHANNEL_BROKER)
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))
#//获取行情流对象
api.set_stub(broker_stub, data_stub)
api.set_stream(data_stream)
#//设置api客户端
def initStrategy(runtime):
"""
初始化策略。
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]])
broker_stub_ind = broker_pb2_grpc.BrokerStub(CHANNEL_BROKER)
while True:
if runtime['isDigested_B002.PSE'] == 0:
snapshot = getattr(runtime['snapshots'],'B002.PSE')
runtime['isDigested_B002.PSE'] = 1
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_ind.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_ind.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_ind.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_ind.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_ind.cancel_order(api.TraderRequest_cancel_order(order_id))
print('B002.PSE完成一次操作循环！')
runtime['loopCount_B002.PSE'] += 1
def __init__(self):
channel = grpc.insecure_channel(broker_ip_port)
self.stub = broker_pb2_grpc.BrokerStub(channel)
# used in circumstances in which the with statement does not fit the needs
# of the code.
# =============================================================================
# with grpc.insecure_channel('113.208.112.25:57600') as channel:
# stub = broker_pb2_grpc.MarketDataStub(channel)
# response = stub.list_instruments(common_pb2.Empty())
# print("Instruments received: " )
# print(response)
# for data in stub.subscribe(common_pb2.Empty()):
#
# print("Subscription received: ")
# print(data)
#
# =============================================================================
with grpc.insecure_channel('113.208.112.25:57500') as channel:
stub = broker_pb2_grpc.BrokerStub(channel)
response = stub.get_trader(
broker_pb2.TraderRequest(trader_id=42,
trader_pin='NrojE4oZH',
request_type='FULL_INFO'))
print("Instruments received: ")
print(response)
# =============================================================================
# for data in stub.subscribe(common_pb2.Empty()):
# # =============================================================================
# # response=stub.subscribe(common_pb2.Empty())
# # =============================================================================
# print("Subscription received: ")
# print(data)
#
# =============================================================================