def strategy(ctx, group, name, path, low_latency, replay, session_id):
pass_ctx_from_parent(ctx)
ctx.group = group
ctx.name = name
ctx.path = path
ctx.low_latency = low_latency if not replay else True
ctx.replay = replay
ctx.category = 'strategy'
mode = pyyjj.mode.REPLAY if ctx.replay else pyyjj.mode.LIVE
ctx.mode = pyyjj.get_mode_name(mode)
ctx.location = pyyjj.location(mode, pyyjj.category.STRATEGY, group, name,
ctx.locator)
ctx.logger = create_logger(name, ctx.log_level, ctx.location)
if path.endswith('.py'):
ctx.strategy = Strategy(ctx) # keep strategy alive for pybind11
else:
spec = util.spec_from_file_location(
os.path.basename(path).split('.')[0], path)
cpp = util.module_from_spec(spec)
spec.loader.exec_module(cpp)
ctx.strategy = cpp.Strategy(ctx.location)
runner = Runner(ctx, mode)
runner.add_strategy(ctx.strategy)
if replay:
ctx.session_id = session_id
replay_setup.setup(ctx, session_id, strategy, runner)
runner.run()
def __init__(self, ctx):
pywingchun.AlgoService.__init__(self, ctx.locator, ctx.mode, ctx.low_latency)
self.ctx = ctx
self.ctx.logger = create_logger("algo", ctx.log_level, self.io_device.home)
self.ctx.db = AlgoDB(self.io_device.home, ctx.name)
self.orders = {}
def strategy(ctx, group, name, path, low_latency, replay, session_id,
backtest):
pass_ctx_from_parent(ctx)
ctx.group = group
ctx.name = name
ctx.path = path
ctx.low_latency = low_latency if not replay else True
ctx.md_path = None
assert not (replay and backtest
), "Replay mode and BackTest mode cannot be selected together"
ctx.replay = replay
ctx.backtest = backtest
mode = pyyjj.mode.REPLAY if ctx.replay else pyyjj.mode.BACKTEST if ctx.backtest else pyyjj.mode.LIVE
ctx.logger = create_logger(
name, ctx.log_level,
pyyjj.location(mode, pyyjj.category.STRATEGY, group, name,
ctx.locator))
ctx.strategy = Strategy(ctx) # keep strategy alive for pybind11
runner = Runner(ctx, mode)
runner.add_strategy(ctx.strategy)
ctx.category = 'strategy'
if replay:
ctx.session_id = session_id
replay_setup.setup(ctx, session_id, strategy, runner)
if backtest:
#ctx.md_path = os.path.join(ctx.home, 'md', group, name, 'journal', 'backtest', '00000000.*.journal')
ctx.category = 'md'
ctx.mode = pyyjj.get_mode_name(mode)
ctx.session_id = session_id
backtest_setup.setup(ctx, session_id, strategy, runner)
runner.run()
def strategy(ctx, group, name):
pass_ctx_from_root(ctx)
ctx.group = group
ctx.name = name
ctx.category = 'strategy'
ctx.mode = "live"
ctx.low_latency = False
ctx.logger = create_logger(
ctx.name, ctx.log_level,
pyyjj.location(pyyjj.get_mode_by_name(ctx.mode),
pyyjj.category.STRATEGY, ctx.group, ctx.name,
ctx.locator))
ctx.path = None
ctx.runner = Runner(ctx, pyyjj.get_mode_by_name(ctx.mode))
def init_strategy_patch(self, path):
pass
with patch.object(Strategy, '_Strategy__init_strategy',
init_strategy_patch):
ctx.strategy = Strategy(ctx)
ctx.strategy._pre_start = lambda ctx: None
ctx.strategy._post_start = lambda ctx: None
ctx.strategy._pre_stop = lambda ctx: None
ctx.strategy._post_stop = lambda ctx: None
ctx.strategy._on_trading_day = lambda ctx, daytime: None
ctx.strategy._on_entrust = lambda ctx, entrust: None
ctx.strategy._on_transaction = lambda ctx, transaction: None
ctx.strategy._on_quote = lambda ctx, quote: ctx.logger.info(
"quote received: {}".format(quote))
ctx.strategy._on_order = lambda ctx, order: ctx.logger.info(
"order received: {}".format(order))
ctx.strategy._on_trade = lambda ctx, trade: ctx.logger.info(
"trade received: {}".format(trade))
def ext(ctx):
pass_ctx_from_root(ctx)
ctx.journal_util_location = pyyjj.location(pyyjj.mode.LIVE, pyyjj.category.SYSTEM, 'util', 'extension', ctx.locator)
ctx.logger = create_logger('ext', ctx.log_level, ctx.journal_util_location)
if not os.getenv('KF_NO_EXT'):
pass
else:
print('Extension disabled by KF_NO_EXT')
ctx.logger.warning('Trying to manage extension while disallowed by KF_NO_EXT')
def md(ctx, source, low_latency):
pass_ctx_from_parent(ctx)
ctx.name = 'md_' + source
ctx.source = source
ctx.low_latency = low_latency
ctx.logger = create_logger(
source, ctx.log_level,
pyyjj.location(pyyjj.mode.LIVE, pyyjj.category.MD, source, source,
ctx.locator))
run_extension(ctx, EXTENSION_REGISTRY_MD)
def journal(ctx, mode, category, group, name):
pass_ctx_from_root(ctx)
ctx.low_latency = False
ctx.mode = mode
ctx.category = category
ctx.group = group
ctx.name = name
ctx.location = pyyjj.location(kfj.MODES[mode], kfj.CATEGORIES[category], group, name, ctx.locator)
ctx.journal_util_location = pyyjj.location(pyyjj.mode.LIVE, pyyjj.category.SYSTEM, 'util', 'journal', ctx.locator)
ctx.logger = create_logger('journal', ctx.log_level, ctx.journal_util_location)
pyyjj.setup_log(ctx.journal_util_location, 'journal')
def td(ctx, source, account, low_latency):
pass_ctx_from_parent(ctx)
ctx.name = 'td_' + source + '_' + account
ctx.source = source
ctx.account = account
ctx.low_latency = low_latency
ctx.logger = create_logger(
source, ctx.log_level,
pyyjj.location(pyyjj.mode.LIVE, pyyjj.category.TD, source, account,
ctx.locator))
run_extension(ctx, EXTENSION_REGISTRY_TD)
def __init__(self, low_latency, locator, config_json):
pywingchun.MarketData.__init__(self, low_latency, locator, "sim")
self.config = MakerConfig(base=200.0,
bound=1000,
samples=1000,
variation=4,
randseed=6)
self.orderbooks = {}
self.logger = create_logger(
"sim_md", "info",
pyyjj.location(pyyjj.mode.LIVE, pyyjj.category.MD, "sim", "sim",
locator))
def __init__(self, ctx):
pywingchun.Ledger.__init__(self, ctx.locator, ctx.mode, ctx.low_latency)
self.ctx = ctx
self.ctx.ledger = self
self.ctx.logger = create_logger("ledger", ctx.log_level, self.io_device.home)
self.ctx.calendar = Calendar(ctx)
self.ctx.db = LedgerDB(self.io_device.home, ctx.name)
self.ctx.inst_infos = {}
self.ctx.orders = {}
self.ctx.trading_day = None
self.ctx.ledgers = {}
self.ctx.get_inst_info = self.get_inst_info
def __init__(self, ctx):
self.ctx = ctx
self.ctx.converter = self
self.dest_id = 0 # dest_id 0 should be configurable TODO
self.location = pyyjj.location(kfj.MODES['backtest'],
kfj.CATEGORIES['md'], ctx.group,
ctx.name, ctx.locator)
self.io_device = pyyjj.io_device(self.location, False, True)
self.writer = self.io_device.open_writer(self.dest_id)
self.reader = self.io_device.open_reader_to_subscribe()
self.reader.join(self.location, self.dest_id, 0)
self.logger = create_logger("converter", ctx.log_level, self.location)
def ledger(ctx):
pass_ctx_from_parent(ctx)
commander_location = pyyjj.location(pyyjj.mode.LIVE, pyyjj.category.SYSTEM, 'service', 'ledger', ctx.locator)
ctx.logger = create_logger("ledger_test", ctx.log_level, commander_location)
io_device = pyyjj.io_device(commander_location)
cmd_sock = io_device.connect_socket(commander_location, pyyjj.protocol.REQUEST, 10000)
calendar.calendar_request(cmd_sock, commander_location)
# order.new_order_single(cmd_sock, commander_location, test_account)
# ctx.logger.info('done')
order.cancel_all_order_for_account(cmd_sock, commander_location, test_account)
ctx.logger.info('done')
def run(ctx, path, session_id):
pass_ctx_from_parent(ctx)
ctx.path = path
ctx.low_latency = False
ctx.logger = create_logger(
ctx.name, ctx.log_level,
pyyjj.location(pyyjj.mode.BACKTEST, pyyjj.category.STRATEGY, ctx.group,
ctx.name, ctx.locator))
ctx.strategy = Strategy(ctx)
runner = Runner(ctx, pyyjj.mode.BACKTEST)
runner.add_strategy(ctx.strategy)
ctx.session_id = session_id
setup(ctx, session_id, run, runner)
runner.run()
def __init__(self, ctx):
pywingchun.Ledger.__init__(self, ctx.locator, ctx.mode,
ctx.low_latency)
self.ctx = ctx
self.ctx.logger = create_logger("ledger", ctx.log_level,
self.io_device.home)
self.ctx.calendar = Calendar(ctx)
self.ctx.db = LedgerDB(self.io_device.home, ctx.name)
self.ctx.orders = {}
self.trading_day = None
self.accounts = {}
self.subportfolios = {}
self.portfolios = {}
def backtest(ctx, group, name):
print('entering history')
pass_ctx_from_root(ctx)
ctx.category = 'md'
ctx.group = group
ctx.name = name
ctx.mode = 'backtest'
#ctx.location = pyyjj.location(kfj.MODES[ctx.mode], kfj.CATEGORIES[ctx.category], group, name, ctx.locator)
ctx.journal_util_location = pyyjj.location(pyyjj.mode.LIVE,
pyyjj.category.SYSTEM, 'util',
'journal', ctx.locator)
ctx.logger = create_logger('journal', ctx.log_level,
ctx.journal_util_location)
pyyjj.setup_log(ctx.journal_util_location, 'journal')
def __init__(self, ctx):
pyyjj.master.__init__(
self,
pyyjj.location(kfj.MODES['live'], kfj.CATEGORIES['system'],
'master', 'master', ctx.locator), ctx.low_latency)
self.ctx = ctx
self.ctx.master = self
self.ctx.logger = create_logger("watcher", ctx.log_level,
self.io_device.home)
self.ctx.apprentices = {}
ctx.calendar = Calendar(ctx)
ctx.trading_day = ctx.calendar.trading_day
self.publish_time(yjj_msg.TradingDay, ctx.calendar.trading_day_ns)
ctx.master = self
def strategy(ctx, group, name, path, low_latency, replay, session_id):
pass_ctx_from_parent(ctx)
ctx.group = group
ctx.name = name
ctx.path = path
ctx.low_latency = low_latency if not replay else True
ctx.replay = replay
ctx.session_id = session_id
mode = pyyjj.mode.REPLAY if ctx.replay else pyyjj.mode.LIVE
ctx.logger = create_logger(name, ctx.log_level, pyyjj.location(mode, pyyjj.category.STRATEGY, group, name, ctx.locator))
ctx.strategy = Strategy(ctx) # keep strategy alive for pybind11
runner = Runner(ctx, mode)
runner.add_strategy(ctx.strategy)
if replay:
ctx.category = 'strategy'
replay_setup.setup(ctx, session_id, strategy, runner)
runner.run()
def __init__(self, ctx):
mode = pyyjj.mode.REPLAY if ctx.replay else pyyjj.mode.LIVE
pywingchun.Watcher.__init__(self, ctx.locator, mode, ctx.low_latency)
self.ctx = ctx
self.ctx.logger = create_logger("watcher", ctx.log_level,
self.io_device.home)
self.trading_day = None
location = pyyjj.location(mode, pyyjj.category.SYSTEM, 'watcher',
'watcher', ctx.locator)
url = make_url(ctx.locator, location, ctx.name)
self.data_proxy = DataProxy(url)
self.ledger_holder = LedgerHolder(url)
self.accounts = {}
self.subportfolios = {}
self.portfolios = {}
def __init__(self, ctx):
self.ctx = ctx
self.ctx.converter = self
self.filepath = ctx.filepath
self.from_time = int(ctx.time)
self.data = None
# dest_id 0 should be configurable TODO
self.dest_id = 0
self.location = pyyjj.location(kfj.MODES['backtest'],
kfj.CATEGORIES['md'], ctx.group,
ctx.name, ctx.locator)
self.io_device = pyyjj.io_device(self.location, False, True)
self.writer = self.io_device.open_writer(self.dest_id)
self.reader = self.io_device.open_reader_to_subscribe()
self.reader.join(self.location, self.dest_id, self.from_time)
#self.reader.join(pyyjj.location(kfj.MODES['live'], kfj.CATEGORIES['md'], 'xtp', 'xtp', ctx.locator) , 0, self.from_time)
self.logger = create_logger("converter", ctx.log_level, self.location)
self.logger.info("converter creation success!")
def strategy(ctx, group, name):
pass_ctx_from_root(ctx)
ctx.group = group
ctx.name = name
ctx.category = 'strategy'
ctx.mode = "live"
ctx.low_latency = False
ctx.logger = create_logger(
ctx.name, ctx.log_level,
pyyjj.location(pyyjj.get_mode_by_name(ctx.mode),
pyyjj.category.STRATEGY, ctx.group, ctx.name,
ctx.locator))
ctx.path = None
ctx.runner = Runner(ctx, pyyjj.get_mode_by_name(ctx.mode))
def init_strategy_patch(self, path):
pass
with patch.object(Strategy, '_Strategy__init_strategy',
init_strategy_patch):
ctx.strategy = Strategy(ctx)
def ledger(ctx, protocol, msg_type):
pass_ctx_from_parent(ctx)
commander_location = pyyjj.location(pyyjj.mode.LIVE, pyyjj.category.SYSTEM,
'service', 'ledger', ctx.locator)
ctx.logger = create_logger("ledger_test", ctx.log_level,
commander_location)
io_device = pyyjj.io_device(commander_location)
cmd_sock = io_device.connect_socket(
commander_location, pyyjj.protocol.SUBSCRIBE
if protocol == 'sub' else pyyjj.protocol.REQUEST, 10000)
if protocol == "sub":
cmd_sock.setsockopt(int(pyyjj.protocol.SUBSCRIBE), 1, "")
while True:
cmd_sock.recv()
print(cmd_sock.last_message())
calendar.calendar_request(cmd_sock, commander_location)
broker.broker_state_request(cmd_sock, commander_location)
order.cancel_all_order_for_account(cmd_sock, commander_location,
test_account)
asset.asset_request(cmd_sock, commander_location)
asset.all_asset_info_request(cmd_sock, commander_location)
ctx.logger.info('done')
import kungfu.yijinjing.journal as kfj
from kungfu.yijinjing.log import create_logger
kf_home = os.getenv('KF_HOME')
kfext_log_level = os.getenv('KF_LOG_LEVEL')
if not kfext_log_level:
kfext_log_level = 'error'
kfext_logger = None
if kf_home:
kfext_log_locator = kfj.Locator(kf_home)
kfext_log_location = pyyjj.location(pyyjj.mode.LIVE, pyyjj.category.SYSTEM,
'extensions', 'extensions',
kfext_log_locator)
kfext_logger = create_logger('extensions', kfext_log_level,
kfext_log_location)
else:
kfext_logger = create_logger('extensions', kfext_log_level, None)
class ExtensionRegistry:
def __init__(self, ext_type):
self._registry = {}
self.ext_type = ext_type
def register_extension(self, name, extension):
kfext_logger.debug('Registering %s extension %s', self.ext_type, name)
self._registry[name] = extension
def has_extension(self, name):
return name in self._registry
def package(ctx):
pass_ctx_from_root(ctx)
ctx.location = pyyjj.location(pyyjj.mode.LIVE, pyyjj.category.SYSTEM,
'util', 'package', ctx.locator)
ctx.logger = create_logger('package', ctx.log_level, ctx.location)
