def seperate(self):
Base = future_baseInfo()
codes = Base.getUsedMap(hasIndex=True, isquick=True)
dd = str(public.getTime(style='%H:%M:%S'))
maps = {}
# 按结束时间分组分进程
for doc in Base.getInfo(codes):
if doc['code'] in self.banCodeList: continue
uid = self.uidStyle % (doc['code'], doc['quickkline'][:-1],
self.methodName)
self.future_Map.append(uid.split("_"))
key = doc['nightEnd']
if '03:00:00' < key < dd: continue
if key not in maps.keys():
maps[key] = []
maps[key].append(doc['code'])
for key in maps.keys():
if len(maps[key]) < 10:
yield maps[key]
else:
l, t = len(maps[key]), len(maps[key]) // 10
for i in range(t):
s, e = i * 10, l if (i + 1) * 10 > l else (i + 1) * 10
yield maps[key][s:e]
def seperate(self):
Base = future_baseInfo()
maps, codes = {}, []
dd = str(public.getTime(style='%H:%M:%S'))
# 按结束时间分组分进程
for doc in Base.getInfo(self.combinCode()):
key = key0 = doc['nightEnd']
if '03:00:00' < key0 < dd: continue
if '08:30:00' < dd < '15:00:00':
key = '15:00:00' if '09:00:00' < key0 < '15:30:00' else '23:30:00' if '15:30:00' < key0 < '23:35:00' else '02:30:00'
pass
if key not in maps.keys():
maps[key] = []
maps[key].append(doc['code'])
pc = 11
for key in maps.keys():
if len(maps[key]) < pc + 1:
yield maps[key]
else:
l, t = len(maps[key]), len(maps[key]) // pc
for i in range(t + 1):
s, e = i * pc, l if (i + 1) * pc > l else (i + 1) * pc
if s < e:
yield maps[key][s:e]
def getLastDay(self):
dd = str(public.getTime(style='%H:%M:%S'))
valids = self.getValidDate(start=-15, end=0)
if ('18:15:00' < dd < '23:59:59'):
date = public.getDate()
else:
date = str(valids[-2])
return date
def point(self, row, row_1, tsize):
ma, close, open, high, low, std, stdc, atr, atrc, dd = \
(row[key] for key in
"ma,close,open,high,low,std,stdc,atr,atrc,datetime".split(","))
open = row_1['close']
tt = str(public.getTime(style='%H:%M:%S'))
kline = self.procMap.kline
BL = 4.0 - float(kline) / 10
#
apart = (60 * kline) - (int(time.time()) % (60 * kline))
if '09:00:00' <= tt < '09:15:00' or '21:00:00' <= tt < '21:10:00' or '14:45:00' <= tt < '15:00:01':
BL += 5.0
if apart > 10:
BL += 0.5
sign = 1 if high > (ma + 2 * std) else -1 if low < (ma -
2 * std) else 0
# 计算长度、回撤率
max = high if sign > 0 else low if sign < 0 else close
diss = 0 if std == 0 else abs(max - ma) / std
fall = abs(max - close) / abs(max - open) if max != open else 0
# 条件
opt0 = (diss > BL) and atrc > self.atrLine
opt1 = (diss > (BL - 0.25)) and (atrc > (self.atrLine + 1.5))
# 超长
opt2 = diss > (BL + 1)
# 超回收
opt3 = diss > (BL - 0.35) and (fall > 0.5)
opt8 = (abs(max - close) > 3 * tsize)
opt9 = (atr / ma) * 10000 > 8 and std > 3 * tsize
opt10 = stdc > 1.25
powm = 0
if opt8 and opt9:
if opt10:
powm = sign if opt0 else sign * 2 if opt1 else sign * 4 if opt3 else 0
elif opt2:
powm = sign * 3
# 设置整点数据
if int(time.time()) % 5 == 0:
self.setLastClose(close)
return powm, diss, fall
def seperate(self):
Base = future_baseInfo()
maps, codes = {}, []
dd = str(public.getTime(style='%H:%M:%S'))
# 按结束时间分组分进程
for doc in Base.getInfo(self.combinCode()):
key = doc['nightEnd']
#
if '03:00:00' < key < dd: continue
if key not in maps.keys():
maps[key] = []
maps[key].append(doc['code'])
for key in maps.keys():
yield maps[key]
def filterCodes(self):
# 查询每周统计表
if self.topUse:
Top = train_total()
Top.tablename = self.topTableName
self.future_Map = Top.last_top1(num=self.topNumbers,
method=self.methodName,
minVol=self.minVol,
ban=self.banCodeList)
else:
Base = future_baseInfo()
codes = Base.getUsedMap(hasIndex=len(self.indexCodeList) > 0)
for code in codes:
if not code in self.banCodeList:
uid = self.uidStyle % (code, self.methodName)
# if code in ['IC']: print(uid)
self.future_Map.append(uid.split("_"))
num0 = len(self.future_Map)
Record = future_orderForm()
if not self.isWorking: Record.tablename = self.orderFormTest
# 添加未平仓，并不再开仓
codesList = [c[0] for c in self.future_Map]
# 当前开仓清单
openCodes = Record.currentOpenCodes(method=self.methodName,
batchNum=self.batchNum)
if openCodes is not None:
for map in openCodes:
if not map[0] in codesList and not map[0] in self.banCodeList:
self.future_Map.append(map[:-3])
self.noneUsed.append(map[0])
# 调仓处理
dd = str(public.getTime(style='%H:%M:%S'))
if "10:15:00" < dd < "11:00:00":
self.alterPosition(Record, openCodes)
logger.info(('总监控币对：', len(self.future_Map), ' 新列表:', num0, ' 未平仓:',
len(self.noneUsed)))
logger.info(([n[0] for n in self.future_Map]))
logger.info(('暂停币对:', len(self.noneUsed), [n for n in self.noneUsed]))
def onTick(self, tick):
# 计算参数
# 当前时间
tt = str(public.getTime(style='%H:%M:%S'))
for map in self.used_future_Map:
if map[0] in self.banCodeList: continue
# 股指期货时间过滤
if map[0] in self.indexList and '08:59:00' < tt < '09:30:00':
continue
if map[0] not in self.indexList and '13:00:00' < tt < '13:30:00':
continue
self.uid = self.procMap.setUid(map, num=self.batchNum) # uid
self.mCodes = [self.baseInfo.mCode(c)
for c in self.procMap.codes] # 当前主力合约代码
kline = self.procMap.kline
# 按时长读取k线数据
dfs = self.Rice.getKline(self.kTypeMap[kline],
ktype=kline,
key=str(kline) + 'm',
num=1)
# 检查间隔时间
try:
# 计算指标
param = self.paramCalc(dfs, tick)
#if map[0] =='SC' and self.itemCount % 20 ==0:
# print(tick[self.mCodes[0]])
if param is not None and not np.isnan(param["ma"]):
# mongodb Record
self.debugT('', param=param)
# 执行策略，并下单
self.orderCheck(tick, param)
except Exception as e:
print(traceback.format_exc())
def onTick(self, tick):
# 计算参数
ttt = str(public.getTime(style='%H:%M:%S'))
opt0 = ("10:15:00" <= ttt < "10:30:00") or ("13:00:00" < ttt <
"13:30:00")
opt1 = ("09:00:00" < ttt < "09:30:00")
#print(opt0, opt1)
for map in self.used_future_Map:
if map[0] in self.banCodeList: continue
# 上午休息时间，排除指数期货运行时间
opt2 = len(self.indexList) > 0 and map[0] in self.indexList
if (opt2 and opt1) or (not opt2 and opt0): continue
self.uid = self.procMap.setUid(map, num=self.batchNum) # uid
self.mCodes = [self.baseInfo.mCode(c)
for c in self.procMap.codes] # 当前主力合约代码
kline = self.procMap.kline
# 按时长读取k线数据
dfs = self.Rice.getKline(self.kTypeMap[kline],
ktype=kline,
key='1d',
num=120)
# 检查间隔时间
try:
# 计算指标
param = self.paramCalc(dfs, tick)
if param is not None and not np.isnan(param["ma20"]):
# mongodb Record
self.debugT('', param=param)
# 执行策略，并下单
self.orderCheck(tick, param)
pass
except Exception as e:
print(traceback.format_exc())
def autoCreateAtr(self, type=0):
Rice = interface_Rice()
Rice.setIndexList(self.indexCodeList)
Base = future_baseInfo()
Record = self.Record = future_orderForm()
Model = model_future_zhao_v1()
methods = ['mZhao', 'mZhao55']
self.iniAmount, self.stopLine = 15400000, 0.0025
if type == 1:
methods = ['zhao', 'zhao55']
self.iniAmount, self.stopLine = 20000000, 0.0025
codes = Base.getUsedMap(hasIndex=True)
BI = BaseInfo(codes)
mCodes = Rice.getMain(codes)
#print(codes)
end = None
dd = str(public.getTime(style='%H:%M:%S'))
valids = Rice.getValidDate(start=-15, end=0)
if ('18:15:00' < dd < '23:59:59'):
end = public.getDate(diff=0)
else:
end = str(valids[-2])
dfs = Rice.kline(mCodes,
period='1d',
start=public.getDate(diff=-150),
end=end,
pre=20)
docs = []
Tmap = Record.trendMap(methods)
Pos = []
j = 0
for m in methods:
Pos.append(Record.getOpenMap(method=m, batchNum=1))
for mcode in mCodes:
code = BI.parseCode(mcode)
if code in self.banCodeList: continue
df = dfs[mcode]
close = df['close']
df["datetime"] = df.index
df["ma10"] = ma10 = ta.MA(close, timeperiod=10)
df["ma20"] = ma20 = ta.MA(close, timeperiod=20)
df["ma55"] = ta.MA(close, timeperiod=55)
atr21 = ta.ATR(df['high'], df['low'], close, timeperiod=21)
df['3atr'] = atr21 * 3
# 计算ma10-ma20 穿越线间距
df['mac'] = mac = ma10 - ma20
df['mac2'] = mac.shift(2)
df['mac3'] = mac.shift(3)
# isPoint
df['mad'] = mac * mac.shift(1)
df['mam'] = mam = df.apply(lambda row: self.isMam(row), axis=1)
minidx, maxidx = ta.MINMAXINDEX(mam, timeperiod=75)
df['interval'] = abs(minidx - maxidx)
# 修正不正常K线
df['high'] = df.apply(lambda row: self.k_fix(row, 1), axis=1)
df['low'] = df.apply(lambda row: self.k_fix(row, -1), axis=1)
# 唐奇安线18日
df['tu_s'] = ta.MAX(df['high'], timeperiod=18 - 1)
df['td_s'] = ta.MIN(df['low'], timeperiod=18 - 1)
# 唐奇安线27日
df['tu_s1'] = ta.MAX(df['high'], timeperiod=27 - 1)
df['td_s1'] = ta.MIN(df['low'], timeperiod=27 - 1)
# 唐奇安线34日
df['tu_34'] = ta.MAX(df['high'], timeperiod=33)
df['td_34'] = ta.MIN(df['low'], timeperiod=33)
# 40日低点
ld = close[close.notnull()]
p = 40 if len(ld) > 40 else len(ld) - 1
df['tu_d'] = ta.MAX(df['high'], timeperiod=p - 1)
df['td_d'] = ta.MIN(df['low'], timeperiod=p - 1)
fp, fd = 27, 5
# 计算穿越值
out = df.apply(lambda row: self.isout0(row), axis=1)
df['out_s'] = ta.SUM(out, timeperiod=fp)
df['trend'] = df['out_s'].apply(lambda x: -1 if x > fd else 1
if x < -fd else 0)
#posTrend = 0 if code not in trendMap else trendMap[code]['trend']
df['isout'] = isout = df.apply(lambda row: self.isout(row, 0),
axis=1)
df['isout3'] = ta.SUM(isout, timeperiod=3)
df['isout5'] = ta.SUM(isout, timeperiod=5)
param = copy.deepcopy(df.iloc[-1]).to_dict()
isLong, type = 1, 0
if code in Tmap:
isLong = Tmap[code]['trend']
type = 1
elif param['trend'] != 0:
isLong = param['trend']
type = 2
else:
isLong = -1 if param['ma20'] > param['ma55'] else 1
type = 3
j += 1
isL = -1 if code in self.shortCodeList else 1 if code in self.longCodeList else 0
if code in []:
print(code, isLong, isL, param['trend'])
file = Rice.basePath + '%s_%s_%s.csv' % (
code, public.getDatetime(style='%Y%m%d_%H%M%S'),
methods[0])
df.to_csv(file, index=0)
# 计算交易手数
mul = BI.att(code, "contract_multiplier")
dp = param['td_d'] if isLong > 0 else param['tu_d']
p18 = param['tu_s'] if isLong > 0 else param['td_s']
p27 = param['tu_s1'] if isLong > 0 else param['td_s1']
if np.isnan(param['ma55']) or np.isnan(p18):
print('period no long:', code)
continue
ma20v_18 = (self.iniAmount * self.stopLine / abs(p18 - dp) / mul)
ma20v_18 = int(ma20v_18 + 0.2)
ma20v_27 = (self.iniAmount * self.stopLine / abs(p27 - dp) / mul)
ma20v_27 = int(ma20v_27 + 0.2)
#
ma55v = (self.iniAmount * self.stopLine / param['3atr'] / mul)
ma55v = int(ma55v + 0.2)
# 固定一手交易
if code in self.oneCodeList:
ma55v = ma20v_18 = ma20v_27 = 1
# 计算持仓和止损
p = np.zeros((2, 3))
i = 0
mp = 0
for pos in Pos:
if code in pos:
d = pos[code][0]
# 最近高点
sign = np.sign(int(d['mode']))
p[i][0] = sign * d['hands']
p[i][2] = mul * d['hands'] * (param['close'] -
d['price']) * sign
if i == 0:
p[i][1] = param['td_d'] if sign > 0 else param['tu_d']
else:
mp = self.getMax(df, d['createdate'],
public.getDate(diff=1), d['mode'])
if np.isnan(mp):
print('no max Price:', code, mp)
p[i][1] = round(mp, 1) - sign * round(param['3atr'], 1)
i += 1
param.update({
'code': mcode,
'方向': '多' if isLong == 1 else '空',
'price_18': p18,
'vol_18': ma20v_18,
'price_27': p27,
'vol_27': ma20v_27,
'vol_55': ma55v,
'乘数': mul,
'3ATR': round(param['3atr'], 1),
'系统1持仓': p[0][0],
'price_40': dp,
'40日止损价': p[0][1],
'浮盈1': p[0][2],
'系统2持仓': p[1][0],
'最高点': mp,
'3ATR止损价': p[1][1],
'浮盈2': p[1][2],
'状态': Model.getStatus(methods, code),
'指定方向': Model.getTrend(code),
})
docs.append(param)
res = pd.DataFrame(docs,
columns=[
'code', 'close', '方向', 'price_40', 'price_18',
'vol_18', 'price_27', 'vol_27', '3ATR',
'vol_55', '乘数', '系统1持仓', '40日止损价', '浮盈1',
'系统2持仓', '最高点', '3ATR止损价', '浮盈2', '状态', '指定方向'
])
res = res.sort_values('code', ascending=True)
file = Rice.basePath + 'future_%s_%s.csv' % (public.getDate(),
methods[0])
res.to_csv(file, index=0)
logger.info(('autoCreateAtr finished:', len(docs)))
return res
def stageApply(self, df0, df1, period=40, uid=''):
self.records = []
"""
布林带策略：
"""
status, isOpen = 0, 0
adjusts = [c[1] for c in self.adjustDates]
for i in range(period, len(df0)):
isRun, isstop = False, 0
close, date, ma10, ma20, ma55, atrb, tu_s, td_s, tu_d, td_d, tu_s1, td_s1, isout3, isout5, interval = (
df0.ix[i, key] for key in
"close,datetime,ma10,ma20,ma55,atrb,tu_s,td_s,tu_d,td_d,tu_s1,td_s1,isout3,isout5,interval"
.split(","))
if isOpen == 0:
"""
开盘策略
1、20分钟线策略
2、55分钟策略
"""
dd = str(public.getTime(style='%H:%M:%S'))
opt1 = (close > ma55 and (isout3 > 2 or isout5 > 2)) or (
close < ma55 and (isout3 < -2 or isout5 < -2))
if opt1 and (abs(isout3) or abs(isout5)) > 2:
isOpen, isRun = 5 * np.sign(ma10 - ma55), True
elif isOpen != 0:
"""
交叉点: sarm结束点
1、结束突变状态，变为布林带处理
2、根据节点状况开平新仓，状态为6
"""
# 平仓
if self.preNode is not None:
# 掉仓
# 调仓
if date in adjusts:
self.adjustOrder(df0.iloc[i], date)
# 平仓并反向开仓
opt1 = (ma10 > ma20 and close > tu_s
and isOpen < 0) or (ma10 < ma20 and close < td_s
and isOpen > 0)
opt2 = (close < td_s1 and isOpen > 0) or (close > tu_s1
and isOpen < 0)
if (opt1 and interval > 12) or opt2:
# 平仓并反向开仓
if self.order(df0.iloc[i], None, 0, uid, df0,
isstop=2):
isOpen, isRun = np.sign(ma10 - ma20) * 3, True
else:
Pd, s = self.preNode[0]['price'], self.preNode[0][
'createdate']
mp = self.getMax(df0, s, date, isOpen)
mp = close if np.isnan(mp) else mp
# 3倍 atr 平仓
if not np.isnan(mp) and (np.sign(isOpen) *
(mp - close) > 3.0 * atrb):
isOpen, isRun, isstop = 0, True, 3
if isRun:
self.order(df0.iloc[i], None, isOpen, uid, df0, isstop=isstop)
return self.records
