def subscribeMarketData(self, strategy):
"""订阅行情"""
for gateway in self.mainEngine.gatewayDict.keys():
req = VtSubscribeReq()
req.symbol = strategy.vtSymbol
self.mainEngine.subscribe(req, gateway)
'''
def subscribeMarketData(self, strategy):
"""订阅行情"""
# 订阅合约
contract = self.mainEngine.getContract(strategy.vtSymbol)
if contract:
req = VtSubscribeReq()
req.symbol = contract.symbol
req.exchange = contract.exchange
# 对于IB接口订阅行情时所需的货币和产品类型，从策略属性中获取
req.currency = strategy.currency
req.productClass = strategy.productClass
self.mainEngine.subscribe(req, contract.gatewayName)
else:
self.writeCtaLog(u'%s的交易合约%s无法找到' %(strategy.name, strategy.vtSymbol))
def subscribeMarketData(self, vtSymbol):
"""订阅行情"""
# 订阅合约
contract = self.mainEngine.getContract(vtSymbol)
if contract:
req = VtSubscribeReq()
req.symbol = contract.symbol
req.exchange = contract.exchange
# 对于IB接口订阅行情时所需的货币和产品类型，从策略属性中获取
#req.currency = strategy.currency
#req.productClass = strategy.productClass
self.mainEngine.subscribe(req, contract.gatewayName)
else:
self.writeCtaLog(u'交易合约%s无法找到' % (vtSymbol))
def subscribe(self, strategy, symbolList):
name = strategy.name
for vtSymbol in symbolList:
# 保存Tick映射关系
if vtSymbol in self.tickStrategyDict:
l = self.tickStrategyDict[vtSymbol]
else:
l = []
self.tickStrategyDict[vtSymbol] = l
l.append(strategy)
# 订阅合约
contract = self.mainEngine.getContract(vtSymbol)
if contract:
req = VtSubscribeReq()
req.symbol = contract.symbol
req.exchange = contract.exchange
# 对于IB接口订阅行情时所需的货币和产品类型，从策略属性中获取
req.currency = strategy.currency
req.productClass = strategy.productClass
self.mainEngine.subscribe(req, contract.gatewayName)
else:
self.writeArbLog(u'%s的交易合约%s无法找到' % (name, vtSymbol))
self.putStrategyEvent(name)
def initStrategyBySymbol(self, symbol, setting):
# 创建策略实例
# 防止策略重名
if symbol in self.strategyDict:
self.writeCtaLog(u'策略实例重名：%s' % name)
return
setting["vtSymbol"] = symbol
strategy = ZzsdStrategy(self, setting)
self.strategyDict[symbol] = strategy
strategy.setFixSize(self.FIX_SIZE_AUDO)
strategy.initDayBar(self.loadAllBar(DAY_DB_NAME, symbol))
strategy.initDayCurrentBar(
self.getCurrentBar(self.loadCurrentDayMinBar(symbol)))
if setting["strategyCycle"] == "60min":
strategy.initHourBar(self.loadAllBar(MINUTE_60_DB_NAME, symbol))
strategy.initHourCurrentBar(
self.getCurrentBar(self.loadMinuteBar(symbol, 60)))
if setting["strategyCycle"] == "30min":
strategy.initHourBar(self.loadAllBar(MINUTE_30_DB_NAME, symbol))
strategy.initHourCurrentBar(
self.getCurrentBar(self.loadMinuteBar(symbol, 30)))
if setting["strategyCycle"] == "5min":
strategy.initHourBar(self.loadAllBar(MINUTE_5_DB_NAME, symbol))
strategy.initHourCurrentBar(
self.getCurrentBar(self.loadMinuteBar(symbol, 5)))
# 创建委托号列表
self.strategyOrderDict[symbol] = set()
# 保存Tick映射关系
if strategy.vtSymbol in self.tickStrategyDict:
l = self.tickStrategyDict[strategy.vtSymbol]
else:
l = []
self.tickStrategyDict[strategy.vtSymbol] = l
l.append(strategy)
# 订阅合约
contract = self.mainEngine.getContract(strategy.vtSymbol)
if contract:
req = VtSubscribeReq()
req.symbol = contract.symbol
req.exchange = contract.exchange
# 对于IB接口订阅行情时所需的货币和产品类型，从策略属性中获取
req.currency = strategy.currency
req.productClass = strategy.productClass
self.mainEngine.subscribe(req, contract.gatewayName)
else:
self.writeCtaLog(u'%s的交易合约%s无法找到' % (name, strategy.vtSymbol))
def subscribeMarketData(self, strategy):
"""订阅行情"""
for vtSymbol in strategy.symbolList:
contract = self.mainEngine.getContract(vtSymbol)
if contract:
req = VtSubscribeReq()
req.symbol = contract.symbol
req.vtSymbol = contract.vtSymbol
req.exchange = contract.exchange
# 对于IB接口订阅行情时所需的货币和产品类型，从策略属性中获取
req.currency = strategy.currency
req.productClass = strategy.productClass
self.mainEngine.subscribe(req, contract.gatewayName)
else:
self.writeCtaLog(u'策略%s的交易合约%s无法找到' %(strategy.name, vtSymbol))
def loadStrategy(self, setting):
"""载入策略"""
try:
name = setting['name']
className = setting['className']
except Exception:
msg = traceback.format_exc()
self.writeCtaLog(u'载入策略出错：%s' %msg)
return
# 获取策略类
strategyClass = STRATEGY_CLASS.get(className, None)
if not strategyClass:
self.writeCtaLog(u'找不到策略类：%s' %className)
return
# 防止策略重名
if name in self.strategyDict:
self.writeCtaLog(u'策略实例重名：%s' %name)
else:
# 创建策略实例
strategy = strategyClass(self, setting)
self.strategyDict[name] = strategy
# 创建委托号列表
self.strategyOrderDict[name] = set()
# 保存Tick映射关系
if strategy.vtSymbol in self.tickStrategyDict:
l = self.tickStrategyDict[strategy.vtSymbol]
else:
l = []
self.tickStrategyDict[strategy.vtSymbol] = l
l.append(strategy)
# 订阅合约
contract = self.mainEngine.getContract(strategy.vtSymbol)
if contract:
req = VtSubscribeReq()
req.symbol = contract.symbol
req.exchange = contract.exchange
# 对于IB接口订阅行情时所需的货币和产品类型，从策略属性中获取
req.currency = strategy.currency
req.productClass = strategy.productClass
self.mainEngine.subscribe(req, contract.gatewayName)
else:
self.writeCtaLog(u'%s的交易合约%s无法找到' %(name, strategy.vtSymbol))
def subscribeMarketData(self, strategy):
"""订阅行情"""
# 订阅合约
contract = self._mainRoutine.getContract(strategy.vtSymbol)
if contract:
req = VtSubscribeReq()
req.symbol = contract.symbol
req.exchange = contract.exchange
# 对于IB接口订阅行情时所需的货币和产品类型，从策略属性中获取
req.currency = strategy.currency
req.productClass = strategy.productClass
self._mainRoutine.subscribe(req, contract.gatewayName)
else:
self.log(u'%s的交易合约%s无法找到' % (strategy.name, strategy.vtSymbol))
def updateContract(self, name, strategy):
"""更新策略"""
for vtSymbol in self.tickStrategyDict:
if strategy in self.tickStrategyDict[vtSymbol]:
self.tickStrategyDict[vtSymbol].remove(strategy)
# 保存Tick映射关系
if strategy.vtSymbol in self.tickStrategyDict:
l = self.tickStrategyDict[strategy.vtSymbol]
else:
l = []
# 订阅合约
contract = self.mainEngine.getContract(strategy.vtSymbol)
if contract:
req = VtSubscribeReq()
req.symbol = contract.symbol
req.exchange = contract.exchange
self.mainEngine.subscribe(req, contract.gatewayName)
else:
self.writeArbLog(u'%s的交易合约%s无法找到' % (name, strategy.vtSymbol))
self.tickStrategyDict[strategy.vtSymbol] = l
l.append(strategy)
if strategy.vtSymbol1 and strategy.vtSymbol1 in self.tickStrategyDict:
l = self.tickStrategyDict[strategy.vtSymbol1]
else:
l = []
contract = self.mainEngine.getContract(strategy.vtSymbol1)
if contract:
req = VtSubscribeReq()
req.symbol = contract.symbol
req.exchange = contract.exchange
self.mainEngine.subscribe(req, contract.gatewayName)
else:
self.writeArbLog(u'%s的交易合约%s无法找到' % (name, strategy.vtSymbol))
self.tickStrategyDict[strategy.vtSymbol1] = l
l.append(strategy)
def subscribe(self, strategy, symbol):
"""订阅合约，不成功时，加入到待订阅列表"""
contract = self.mainEngine.getContract(symbol)
if contract:
# 4.构造订阅请求包
req = VtSubscribeReq()
req.symbol = contract.symbol
req.exchange = contract.exchange
# 对于IB接口订阅行情时所需的货币和产品类型，从策略属性中获取
req.currency = strategy.currency
req.productClass = strategy.productClass
# 5.调用主引擎的订阅接口
self.mainEngine.subscribe(req, contract.gatewayName)
else:
print u'Warning, can not find {0} in contracts'.format(symbol)
self.writeCtaLog(u'交易合约{}无法找到，添加到待订阅列表'.format(symbol))
self.pendingSubcribeSymbols[symbol] = strategy
def loadStrategy(self, setting):
"""载入策略"""
try:
name = setting['name']
className = setting['className']
except Exception as e:
self.writeCtaLog(u'载入策略出错：%s' %e)
return
# 获取策略类
strategyClass = STRATEGY_CLASS.get(className, None)
if not strategyClass:
self.writeCtaLog(u'找不到策略类：%s' %className)
return
# 防止策略重名
if name in self.strategyDict:
self.writeCtaLog(u'策略实例重名：%s' %name)
else:
# 创建策略实例
strategy = strategyClass(self, setting)
self.strategyDict[name] = strategy
# 创建委托号列表
self.strategyOrderDict[name] = set()
# 保存Tick映射关系
if strategy.vtSymbol in self.tickStrategyDict:
l = self.tickStrategyDict[strategy.vtSymbol]
else:
l = []
self.tickStrategyDict[strategy.vtSymbol] = l
l.append(strategy)
# 订阅合约
# print(strategy.vtSymbol)
contract = self.mainEngine.getContract(strategy.vtSymbol)
# print '222222222222222222222222222222 ctaEngine.py_line471 contract:', contract
if contract:
# print(3333333333333333333333333333, 'ctaEngine.py_line473')
req = VtSubscribeReq()
req.symbol = contract.symbol
req.exchange = contract.exchange
# 对于IB接口订阅行情时所需的货币和产品类型，从策略属性中获取
req.currency = strategy.currency
req.productClass = strategy.productClass
# print(req.productClass) #这个的编码待修改
self.mainEngine.subscribe(req, contract.gatewayName)
else:
# # 下面是zls自己添加的，是否保存待确定
# req = VtSubscribeReq()
# req.symbol = 'USD.CNH'
# req.exchange = 'IDEALPRO'
# # 对于IB接口订阅行情时所需的货币和产品类型，从策略属性中获取
# req.currency = ''
# req.productClass = ''
# self.mainEngine.subscribe(req, 'IB')
self.writeCtaLog(u'%s的交易合约%s无法找到' %(name, strategy.vtSymbol))
def initStrategyBySymbol(self, symbol, setting):
# 创建策略实例
# 防止策略重名
if (symbol + setting['className']) in self.strategyDict:
self.writeCtaLog(u'策略实例重名：%s' % name)
return
setting["vtSymbol"] = symbol
className = setting['className']
# 获取策略类
strategyClass = STRATEGY_CLASS.get(className, None)
if not strategyClass:
self.writeCtaLog(u'找不到策略类：%s' % className)
return
strategy = strategyClass(self, setting)
self.strategyDict[symbol + className] = strategy
strategy.setFixSize(self.FIX_SIZE_AUDO)
# 创建委托号列表
self.strategyOrderDict[symbol + strategy.className] = set()
# 保存Tick映射关系
if strategy.vtSymbol in self.tickStrategyDict:
l = self.tickStrategyDict[strategy.vtSymbol]
else:
l = []
self.tickStrategyDict[strategy.vtSymbol] = l
l.append(strategy)
##读数据库
traderOrd = TraderOrder()
traderOrd.symbol = symbol
traderOrd.strategyName = strategy.className
traderOrd.offset = OFFSET_OPEN
t = self.mainEngine.mysqlClient.dbSelect(SQL_TABLENAME_TRADER,
traderOrd, "one")
if t:
traderOrd.orderID = t["orderID"]
traderOrd.orderUuid = t["orderUuid"]
traderOrd.direction = t["direction"]
traderOrd.orderVolume = t["orderVolume"]
traderOrd.orderPrice = t["orderPrice"]
traderOrd.tradeVolume = t["tradeVolume"]
traderOrd.tradePrice = t["tradePrice"]
if traderOrd.offset == OFFSET_OPEN:
self.lastOpenTrade[traderOrd.symbol] = traderOrd
self.traderDict[traderOrd.orderID] = traderOrd
# 订阅合约
contract = self.mainEngine.getContract(strategy.vtSymbol)
if contract:
strategy.setPriceTick(contract.size, contract.priceTick)
req = VtSubscribeReq()
req.symbol = contract.symbol
req.exchange = contract.exchange
# 对于IB接口订阅行情时所需的货币和产品类型，从策略属性中获取
req.currency = strategy.currency
req.productClass = strategy.productClass
self.mainEngine.subscribe(req, contract.gatewayName)
self.writeCtaLog("subscribe===%s" % (strategy.vtSymbol))
else:
self.writeCtaLog(u'%s的交易合约%s无法找到' % (name, strategy.vtSymbol))
def loadSetting(self):
"""载入设置"""
with open(self.settingFileName) as f:
drSetting = json.load(f)
# 如果working设为False则不启动行情记录功能
working = drSetting['working']
if not working:
return
if 'tick' in drSetting:
l = drSetting['tick']
for setting in l:
symbol = setting[0]
vtSymbol = symbol
req = VtSubscribeReq()
req.symbol = setting[0]
# 针对LTS和IB接口，订阅行情需要交易所代码
if len(setting) >= 3:
req.exchange = setting[2]
vtSymbol = '.'.join([symbol, req.exchange])
# 针对IB接口，订阅行情需要货币和产品类型
if len(setting) >= 5:
req.currency = setting[3]
req.productClass = setting[4]
self.mainEngine.subscribe(req, setting[1])
drTick = DrTickData() # 该tick实例可以用于缓存部分数据（目前未使用）
self.tickDict[vtSymbol] = drTick
if 'bar' in drSetting:
l = drSetting['bar']
for setting in l:
symbol = setting[0]
vtSymbol = symbol
req = VtSubscribeReq()
req.symbol = symbol
if len(setting) >= 3:
req.exchange = setting[2]
vtSymbol = '.'.join([symbol, req.exchange])
if len(setting) >= 5:
req.currency = setting[3]
req.productClass = setting[4]
self.mainEngine.subscribe(req, setting[1])
bar = DrBarData()
self.barDict[vtSymbol] = bar
if 'active' in drSetting:
d = drSetting['active']
# 注意这里的vtSymbol对于IB和LTS接口，应该后缀.交易所
for activeSymbol, vtSymbol in d.items():
self.activeSymbolDict[vtSymbol] = activeSymbol
# 启动数据插入线程
self.start()
# 注册事件监听
self.registerEvent()
def loadStrategy(self, setting):
"""载入策略"""
try:
name = setting['name']
className = setting['className']
except Exception:
msg = traceback.format_exc()
self.writeMmkLog(u'载入策略出错：%s' % msg)
return
# 获取策略类
strategyClass = STRATEGY_CLASS.get(className, None)
if not strategyClass:
self.writeMmkLog(u'找不到策略类：%s' % className)
return
# 防止策略重名
if name in self.strategyDict:
self.writeMmkLog(u'策略实例重名：%s' % name)
else:
# 创建策略实例
strategy = strategyClass(self, setting)
self.strategyDict[name] = strategy
# 创建委托号列表
self.strategyOrderDict[name] = set()
# 保存Tick映射关系
# if strategy.vtSymbol in self.tickStrategyDict:
# l = self.tickStrategyDict[strategy.vtSymbol]
# else:
# l = []
# self.tickStrategyDict[strategy.vtSymbol] = l
# l.append(strategy)
for vtsym in strategy.vtSymbol:
# 初始化posStrategyNameDict
for sym in [vtsym.split('.')[0][:3], vtsym.split('.')[0][3:]]:
if sym not in self.posStrategyNameDict:
self.posStrategyNameDict[sym] = [strategy.name]
elif sym in self.posStrategyNameDict:
if self.posStrategyNameDict[sym][0] != strategy.name:
self.posStrategyNameDict[sym].append(strategy.name)
if vtsym in self.tickStrategyDict:
l = self.tickStrategyDict[vtsym]
else:
l = []
self.tickStrategyDict[vtsym] = l
l.append(strategy)
# 订阅合约
contract = self.mainEngine.getContract(vtsym)
if contract:
req = VtSubscribeReq()
req.symbol = contract.symbol
req.exchange = contract.exchange
# 对于IB接口订阅行情时所需的货币和产品类型，从策略属性中获取
req.currency = strategy.currency
req.productClass = strategy.productClass
self.mainEngine.subscribe(req, contract.gatewayName)
else:
self.writeMmkLog(u'%s的交易合约%s无法找到' % (name, vtsym))
def loadSetting(self):
"""载入设置"""
with open(self.settingFilePath) as f:
drSetting = json.load(f)
# 如果working设为False则不启动行情记录功能
working = drSetting['working']
if not working:
return
if 'tick' in drSetting:
l = drSetting['tick']
for setting in l:
symbol = setting[0]
vtSymbol = symbol
req = VtSubscribeReq()
req.symbol = setting[0]
# 针对LTS和IB接口，订阅行情需要交易所代码
if len(setting)>=3:
req.exchange = setting[2]
vtSymbol = '.'.join([symbol, req.exchange])
# 针对IB接口，订阅行情需要货币和产品类型
if len(setting)>=5:
req.currency = setting[3]
req.productClass = setting[4]
self.mainEngine.subscribe(req, setting[1])
drTick = DrTickData() # 该tick实例可以用于缓存部分数据（目前未使用）
self.tickDict[vtSymbol] = drTick
if 'bar' in drSetting:
l = drSetting['bar']
for setting in l:
symbol = setting[0]
vtSymbol = symbol
req = VtSubscribeReq()
req.symbol = symbol
if len(setting)>=3:
req.exchange = setting[2]
vtSymbol = '.'.join([symbol, req.exchange])
if len(setting)>=5:
req.currency = setting[3]
req.productClass = setting[4]
self.mainEngine.subscribe(req, setting[1])
bar = DrBarData()
self.barDict[vtSymbol] = bar
if 'active' in drSetting:
d = drSetting['active']
# 注意这里的vtSymbol对于IB和LTS接口，应该后缀.交易所
for activeSymbol, vtSymbol in d.items():
self.activeSymbolDict[vtSymbol] = activeSymbol
# 启动数据插入线程
self.start()
# 注册事件监听
self.registerEvent()
class CtaEngine(object):
"""CTA策略引擎"""
settingFileName = 'CTA_setting.json'
settingfilePath = getJsonPath(settingFileName, __file__)
STATUS_FINISHED = set(
[STATUS_REJECTED, STATUS_CANCELLED, STATUS_ALLTRADED])
#----------------------------------------------------------------------
def __init__(self, mainEngine, eventEngine):
"""Constructor"""
self.mainEngine = mainEngine
self.eventEngine = eventEngine
# 当前日期
self.today = todayDate()
# 保存策略实例的字典
# key为策略名称，value为策略实例，注意策略名称不允许重复
self.strategyDict = {}
# 保存vtSymbol和策略实例映射的字典（用于推送tick数据）
# 由于可能多个strategy交易同一个vtSymbol，因此key为vtSymbol
# value为包含所有相关strategy对象的list
self.tickStrategyDict = {}
# 保存vtOrderID和strategy对象映射的字典（用于推送order和trade数据）
# key为vtOrderID，value为strategy对象
self.orderStrategyDict = {}
# 本地停止单编号计数
self.stopOrderCount = 0
# stopOrderID = STOPORDERPREFIX + str(stopOrderCount)
# 本地停止单字典
# key为stopOrderID，value为stopOrder对象
self.stopOrderDict = {} # 停止单撤销后不会从本字典中删除
self.workingStopOrderDict = {} # 停止单撤销后会从本字典中删除
# 保存策略名称和委托号列表的字典
# key为name，value为保存orderID（限价+本地停止）的集合
self.strategyOrderDict = {}
# 成交号集合，用来过滤已经收到过的成交推送
self.tradeSet = set()
# 引擎类型为实盘
self.engineType = ENGINETYPE_TRADING
# 注册日式事件类型
self.mainEngine.registerLogEvent(EVENT_CTA_LOG)
# 注册事件监听
self.registerEvent()
#----------------------------------------------------------------------
def sendOrder(self, vtSymbol, orderType, price, volume, strategy):
"""发单"""
contract = self.mainEngine.getContract(vtSymbol)
req = VtOrderReq()
req.symbol = contract.symbol
req.exchange = contract.exchange
req.vtSymbol = contract.vtSymbol
req.price = self.roundToPriceTick(contract.priceTick, price)
req.volume = volume
req.productClass = strategy.productClass
req.currency = strategy.currency
# 设计为CTA引擎发出的委托只允许使用限价单
req.priceType = PRICETYPE_LIMITPRICE
# CTA委托类型映射
if orderType == CTAORDER_BUY:
req.direction = DIRECTION_LONG
req.offset = OFFSET_OPEN
elif orderType == CTAORDER_SELL:
req.direction = DIRECTION_SHORT
req.offset = OFFSET_CLOSE
elif orderType == CTAORDER_SHORT:
req.direction = DIRECTION_SHORT
req.offset = OFFSET_OPEN
elif orderType == CTAORDER_COVER:
req.direction = DIRECTION_LONG
req.offset = OFFSET_CLOSE
# 委托转换
reqList = self.mainEngine.convertOrderReq(req)
vtOrderIDList = []
if not reqList:
return vtOrderIDList
for convertedReq in reqList:
vtOrderID = self.mainEngine.sendOrder(convertedReq,
contract.gatewayName) # 发单
self.orderStrategyDict[vtOrderID] = strategy # 保存vtOrderID和策略的映射关系
self.strategyOrderDict[strategy.name].add(vtOrderID) # 添加到策略委托号集合中
vtOrderIDList.append(vtOrderID)
self.writeCtaLog(
u'策略%s发送委托，%s，%s，%s@%s' %
(strategy.name, vtSymbol, req.direction, volume, price))
return vtOrderIDList
#----------------------------------------------------------------------
def cancelOrder(self, vtOrderID):
"""撤单"""
# 查询报单对象
order = self.mainEngine.getOrder(vtOrderID)
# 如果查询成功
if order:
# 检查是否报单还有效，只有有效时才发出撤单指令
orderFinished = (order.status == STATUS_ALLTRADED
or order.status == STATUS_CANCELLED)
if not orderFinished:
req = VtCancelOrderReq()
req.symbol = order.symbol
req.exchange = order.exchange
req.frontID = order.frontID
req.sessionID = order.sessionID
req.orderID = order.orderID
self.mainEngine.cancelOrder(req, order.gatewayName)
#----------------------------------------------------------------------
def sendStopOrder(self, vtSymbol, orderType, price, volume, strategy):
"""发停止单（本地实现）"""
self.stopOrderCount += 1
stopOrderID = STOPORDERPREFIX + str(self.stopOrderCount)
so = StopOrder()
so.vtSymbol = vtSymbol
so.orderType = orderType
so.price = price
so.volume = volume
so.strategy = strategy
so.stopOrderID = stopOrderID
so.status = STOPORDER_WAITING
if orderType == CTAORDER_BUY:
so.direction = DIRECTION_LONG
so.offset = OFFSET_OPEN
elif orderType == CTAORDER_SELL:
so.direction = DIRECTION_SHORT
so.offset = OFFSET_CLOSE
elif orderType == CTAORDER_SHORT:
so.direction = DIRECTION_SHORT
so.offset = OFFSET_OPEN
elif orderType == CTAORDER_COVER:
so.direction = DIRECTION_LONG
so.offset = OFFSET_CLOSE
# 保存stopOrder对象到字典中
self.stopOrderDict[stopOrderID] = so
self.workingStopOrderDict[stopOrderID] = so
# 保存stopOrderID到策略委托号集合中
self.strategyOrderDict[strategy.name].add(stopOrderID)
# 推送停止单状态
strategy.onStopOrder(so)
return [stopOrderID]
#----------------------------------------------------------------------
def cancelStopOrder(self, stopOrderID):
"""撤销停止单"""
# 检查停止单是否存在
if stopOrderID in self.workingStopOrderDict:
so = self.workingStopOrderDict[stopOrderID]
strategy = so.strategy
# 更改停止单状态为已撤销
so.status = STOPORDER_CANCELLED
# 从活动停止单字典中移除
del self.workingStopOrderDict[stopOrderID]
# 从策略委托号集合中移除
s = self.strategyOrderDict[strategy.name]
if stopOrderID in s:
s.remove(stopOrderID)
# 通知策略
strategy.onStopOrder(so)
#----------------------------------------------------------------------
def processStopOrder(self, tick):
"""收到行情后处理本地停止单（检查是否要立即发出）"""
vtSymbol = tick.vtSymbol
# 首先检查是否有策略交易该合约
if vtSymbol in self.tickStrategyDict:
# 遍历等待中的停止单，检查是否会被触发
for so in self.workingStopOrderDict.values():
if so.vtSymbol == vtSymbol:
longTriggered = so.direction == DIRECTION_LONG and tick.lastPrice >= so.price # 多头停止单被触发
shortTriggered = so.direction == DIRECTION_SHORT and tick.lastPrice <= so.price # 空头停止单被触发
if longTriggered or shortTriggered:
# 买入和卖出分别以涨停跌停价发单（模拟市价单）
if so.direction == DIRECTION_LONG:
price = tick.upperLimit
else:
price = tick.lowerLimit
# 发出市价委托
self.sendOrder(so.vtSymbol, so.orderType, price,
so.volume, so.strategy)
# 从活动停止单字典中移除该停止单
del self.workingStopOrderDict[so.stopOrderID]
# 从策略委托号集合中移除
s = self.strategyOrderDict[so.strategy.name]
if so.stopOrderID in s:
s.remove(so.stopOrderID)
# 更新停止单状态，并通知策略
so.status = STOPORDER_TRIGGERED
so.strategy.onStopOrder(so)
#----------------------------------------------------------------------
def processTickEvent(self, event):
"""处理行情推送"""
tick = event.dict_['data']
# 收到tick行情后，先处理本地停止单（检查是否要立即发出）
self.processStopOrder(tick)
# 推送tick到对应的策略实例进行处理
if tick.vtSymbol in self.tickStrategyDict:
# tick时间可能出现异常数据，使用try...except实现捕捉和过滤
try:
# 添加datetime字段
if not tick.datetime:
tick.datetime = datetime.strptime(
' '.join([tick.date, tick.time]), '%Y%m%d %H:%M:%S.%f')
except ValueError:
self.writeCtaLog(traceback.format_exc())
return
# 逐个推送到策略实例中
l = self.tickStrategyDict[tick.vtSymbol]
for strategy in l:
self.callStrategyFunc(strategy, strategy.onTick, tick)
#----------------------------------------------------------------------
def processOrderEvent(self, event):
"""处理委托推送"""
order = event.dict_['data']
vtOrderID = order.vtOrderID
if vtOrderID in self.orderStrategyDict:
strategy = self.orderStrategyDict[vtOrderID]
# 如果委托已经完成（拒单、撤销、全成），则从活动委托集合中移除
if order.status in self.STATUS_FINISHED:
s = self.strategyOrderDict[strategy.name]
if vtOrderID in s:
s.remove(vtOrderID)
self.callStrategyFunc(strategy, strategy.onOrder, order)
#----------------------------------------------------------------------
def processTradeEvent(self, event):
"""处理成交推送"""
trade = event.dict_['data']
# 过滤已经收到过的成交回报
if trade.vtTradeID in self.tradeSet:
return
self.tradeSet.add(trade.vtTradeID)
# 将成交推送到策略对象中
if trade.vtOrderID in self.orderStrategyDict:
strategy = self.orderStrategyDict[trade.vtOrderID]
# 计算策略持仓
if trade.direction == DIRECTION_LONG:
strategy.pos += trade.volume
else:
strategy.pos -= trade.volume
self.callStrategyFunc(strategy, strategy.onTrade, trade)
# 保存策略持仓到数据库
self.savePosition(strategy)
#----------------------------------------------------------------------
def registerEvent(self):
"""注册事件监听"""
self.eventEngine.register(EVENT_TICK, self.processTickEvent)
self.eventEngine.register(EVENT_ORDER, self.processOrderEvent)
self.eventEngine.register(EVENT_TRADE, self.processTradeEvent)
#----------------------------------------------------------------------
def insertData(self, dbName, collectionName, data):
"""插入数据到数据库（这里的data可以是VtTickData或者VtBarData）"""
self.mainEngine.dbInsert(dbName, collectionName, data.__dict__)
#----------------------------------------------------------------------
def loadBar(self, dbName, collectionName, days):
"""从数据库中读取Bar数据，startDate是datetime对象"""
startDate = self.today - timedelta(days)
d = {'datetime': {'$gte': startDate}}
barData = self.mainEngine.dbQuery(dbName, collectionName, d,
'datetime')
l = []
for d in barData:
bar = VtBarData()
bar.__dict__ = d
l.append(bar)
return l
#----------------------------------------------------------------------
def loadTick(self, dbName, collectionName, days):
"""从数据库中读取Tick数据，startDate是datetime对象"""
startDate = self.today - timedelta(days)
d = {'datetime': {'$gte': startDate}}
tickData = self.mainEngine.dbQuery(dbName, collectionName, d,
'datetime')
l = []
for d in tickData:
tick = VtTickData()
tick.__dict__ = d
l.append(tick)
return l
#----------------------------------------------------------------------
def writeCtaLog(self, content):
"""快速发出CTA模块日志事件"""
log = VtLogData()
log.logContent = content
log.gatewayName = 'CTA_STRATEGY'
event = Event(type_=EVENT_CTA_LOG)
event.dict_['data'] = log
self.eventEngine.put(event)
#----------------------------------------------------------------------
def loadStrategy(self, setting):
"""载入策略"""
try:
name = setting['name']
className = setting['className']
except Exception, e:
self.writeCtaLog(u'载入策略出错：%s' % e)
return
# 获取策略类
strategyClass = STRATEGY_CLASS.get(className, None)
if not strategyClass:
self.writeCtaLog(u'找不到策略类：%s' % className)
return
# 防止策略重名
if name in self.strategyDict:
self.writeCtaLog(u'策略实例重名：%s' % name)
else:
# 创建策略实例
strategy = strategyClass(self, setting)
self.strategyDict[name] = strategy
# 创建委托号列表
self.strategyOrderDict[name] = set()
# 保存Tick映射关系
if strategy.vtSymbol in self.tickStrategyDict:
l = self.tickStrategyDict[strategy.vtSymbol]
else:
l = []
self.tickStrategyDict[strategy.vtSymbol] = l
l.append(strategy)
# 订阅合约
contract = self.mainEngine.getContract(strategy.vtSymbol)
if contract:
req = VtSubscribeReq()
req.symbol = contract.symbol
req.exchange = contract.exchange
# 对于IB接口订阅行情时所需的货币和产品类型，从策略属性中获取
req.currency = strategy.currency
req.productClass = strategy.productClass
self.mainEngine.subscribe(req, contract.gatewayName)
else:
self.writeCtaLog(u'%s的交易合约%s无法找到' % (name, strategy.vtSymbol))
class CtaEngine(object):
"""CTA策略引擎"""
settingFileName = 'CTA_setting.json'
path = os.path.abspath(os.path.dirname(__file__))
settingFileName = os.path.join(path, settingFileName)
#----------------------------------------------------------------------
def __init__(self, mainEngine, eventEngine):
"""Constructor"""
self.mainEngine = mainEngine
self.eventEngine = eventEngine
# 当前日期
self.today = todayDate()
# 保存策略实例的字典
# key为策略名称，value为策略实例，注意策略名称不允许重复
self.strategyDict = {}
# 保存vtSymbol和策略实例映射的字典（用于推送tick数据）
# 由于可能多个strategy交易同一个vtSymbol，因此key为vtSymbol
# value为包含所有相关strategy对象的list
self.tickStrategyDict = {}
# 保存vtOrderID和strategy对象映射的字典（用于推送order和trade数据）
# key为vtOrderID，value为strategy对象
self.orderStrategyDict = {}
# 本地停止单编号计数
self.stopOrderCount = 0
# stopOrderID = STOPORDERPREFIX + str(stopOrderCount)
# 本地停止单字典
# key为stopOrderID，value为stopOrder对象
self.stopOrderDict = {} # 停止单撤销后不会从本字典中删除
self.workingStopOrderDict = {} # 停止单撤销后会从本字典中删除
# 持仓缓存字典
# key为vtSymbol，value为PositionBuffer对象
self.posBufferDict = {}
# 成交号集合，用来过滤已经收到过的成交推送
self.tradeSet = set()
# 引擎类型为实盘
self.engineType = ENGINETYPE_TRADING
# 注册事件监听
self.registerEvent()
#----------------------------------------------------------------------
def sendOrder(self, vtSymbol, orderType, price, volume, strategy):
"""发单"""
contract = self.mainEngine.getContract(vtSymbol)
req = VtOrderReq()
req.symbol = contract.symbol
req.exchange = contract.exchange
req.price = self.roundToPriceTick(contract.priceTick, price)
req.volume = volume
req.productClass = strategy.productClass
req.currency = strategy.currency
# 设计为CTA引擎发出的委托只允许使用限价单
req.priceType = PRICETYPE_LIMITPRICE
# CTA委托类型映射
if orderType == CTAORDER_BUY:
req.direction = DIRECTION_LONG
req.offset = OFFSET_OPEN
elif orderType == CTAORDER_SELL:
req.direction = DIRECTION_SHORT
# 只有上期所才要考虑平今平昨
if contract.exchange != EXCHANGE_SHFE:
req.offset = OFFSET_CLOSE
else:
# 获取持仓缓存数据
posBuffer = self.posBufferDict.get(vtSymbol, None)
# 如果获取持仓缓存失败，则默认平昨
if not posBuffer:
req.offset = OFFSET_CLOSE
# 否则如果有多头今仓，则使用平今
elif posBuffer.longToday:
req.offset= OFFSET_CLOSETODAY
# 其他情况使用平昨
else:
req.offset = OFFSET_CLOSE
elif orderType == CTAORDER_SHORT:
req.direction = DIRECTION_SHORT
req.offset = OFFSET_OPEN
elif orderType == CTAORDER_COVER:
req.direction = DIRECTION_LONG
# 只有上期所才要考虑平今平昨
if contract.exchange != EXCHANGE_SHFE:
req.offset = OFFSET_CLOSE
else:
# 获取持仓缓存数据
posBuffer = self.posBufferDict.get(vtSymbol, None)
# 如果获取持仓缓存失败，则默认平昨
if not posBuffer:
req.offset = OFFSET_CLOSE
# 否则如果有空头今仓，则使用平今
elif posBuffer.shortToday:
req.offset= OFFSET_CLOSETODAY
# 其他情况使用平昨
else:
req.offset = OFFSET_CLOSE
vtOrderID = self.mainEngine.sendOrder(req, contract.gatewayName) # 发单
self.orderStrategyDict[vtOrderID] = strategy # 保存vtOrderID和策略的映射关系
self.writeCtaLog(u'策略%s发送委托，%s，%s，%s@%s'
%(strategy.name, vtSymbol, req.direction, volume, price))
return vtOrderID
#----------------------------------------------------------------------
def cancelOrder(self, vtOrderID):
"""撤单"""
# 查询报单对象
order = self.mainEngine.getOrder(vtOrderID)
# 如果查询成功
if order:
# 检查是否报单还有效，只有有效时才发出撤单指令
orderFinished = (order.status==STATUS_ALLTRADED or order.status==STATUS_CANCELLED)
if not orderFinished:
req = VtCancelOrderReq()
req.symbol = order.symbol
req.exchange = order.exchange
req.frontID = order.frontID
req.sessionID = order.sessionID
req.orderID = order.orderID
self.mainEngine.cancelOrder(req, order.gatewayName)
#----------------------------------------------------------------------
def sendStopOrder(self, vtSymbol, orderType, price, volume, strategy):
"""发停止单（本地实现）"""
self.stopOrderCount += 1
stopOrderID = STOPORDERPREFIX + str(self.stopOrderCount)
so = StopOrder()
so.vtSymbol = vtSymbol
so.orderType = orderType
so.price = price
so.volume = volume
so.strategy = strategy
so.stopOrderID = stopOrderID
so.status = STOPORDER_WAITING
if orderType == CTAORDER_BUY:
so.direction = DIRECTION_LONG
so.offset = OFFSET_OPEN
elif orderType == CTAORDER_SELL:
so.direction = DIRECTION_SHORT
so.offset = OFFSET_CLOSE
elif orderType == CTAORDER_SHORT:
so.direction = DIRECTION_SHORT
so.offset = OFFSET_OPEN
elif orderType == CTAORDER_COVER:
so.direction = DIRECTION_LONG
so.offset = OFFSET_CLOSE
# 保存stopOrder对象到字典中
self.stopOrderDict[stopOrderID] = so
self.workingStopOrderDict[stopOrderID] = so
return stopOrderID
#----------------------------------------------------------------------
def cancelStopOrder(self, stopOrderID):
"""撤销停止单"""
# 检查停止单是否存在
if stopOrderID in self.workingStopOrderDict:
so = self.workingStopOrderDict[stopOrderID]
so.status = STOPORDER_CANCELLED
del self.workingStopOrderDict[stopOrderID]
#----------------------------------------------------------------------
def processStopOrder(self, tick):
"""收到行情后处理本地停止单（检查是否要立即发出）"""
vtSymbol = tick.vtSymbol
# 首先检查是否有策略交易该合约
if vtSymbol in self.tickStrategyDict:
# 遍历等待中的停止单，检查是否会被触发
for so in self.workingStopOrderDict.values():
if so.vtSymbol == vtSymbol:
longTriggered = so.direction==DIRECTION_LONG and tick.lastPrice>=so.price # 多头停止单被触发
shortTriggered = so.direction==DIRECTION_SHORT and tick.lastPrice<=so.price # 空头停止单被触发
if longTriggered or shortTriggered:
# 买入和卖出分别以涨停跌停价发单（模拟市价单）
if so.direction==DIRECTION_LONG:
price = tick.upperLimit
else:
price = tick.lowerLimit
so.status = STOPORDER_TRIGGERED
self.sendOrder(so.vtSymbol, so.orderType, price, so.volume, so.strategy)
del self.workingStopOrderDict[so.stopOrderID]
#----------------------------------------------------------------------
def processTickEvent(self, event):
"""处理行情推送"""
tick = event.dict_['data']
# 收到tick行情后，先处理本地停止单（检查是否要立即发出）
self.processStopOrder(tick)
# 推送tick到对应的策略实例进行处理
if tick.vtSymbol in self.tickStrategyDict:
# 添加datetime字段
if not tick.datetime:
tick.datetime = datetime.strptime(' '.join([tick.date, tick.time]), '%Y%m%d %H:%M:%S.%f')
# 逐个推送到策略实例中
l = self.tickStrategyDict[tick.vtSymbol]
for strategy in l:
self.callStrategyFunc(strategy, strategy.onTick, tick)
#----------------------------------------------------------------------
def processOrderEvent(self, event):
"""处理委托推送"""
order = event.dict_['data']
if order.vtOrderID in self.orderStrategyDict:
strategy = self.orderStrategyDict[order.vtOrderID]
self.callStrategyFunc(strategy, strategy.onOrder, order)
#----------------------------------------------------------------------
def processTradeEvent(self, event):
"""处理成交推送"""
trade = event.dict_['data']
# 过滤已经收到过的成交回报
if trade.vtTradeID in self.tradeSet:
return
self.tradeSet.add(trade.vtTradeID)
# 将成交推送到策略对象中
if trade.vtOrderID in self.orderStrategyDict:
strategy = self.orderStrategyDict[trade.vtOrderID]
# 计算策略持仓
if trade.direction == DIRECTION_LONG:
strategy.pos += trade.volume
else:
strategy.pos -= trade.volume
self.callStrategyFunc(strategy, strategy.onTrade, trade)
# 更新持仓缓存数据
if trade.vtSymbol in self.tickStrategyDict:
posBuffer = self.posBufferDict.get(trade.vtSymbol, None)
if not posBuffer:
posBuffer = PositionBuffer()
posBuffer.vtSymbol = trade.vtSymbol
self.posBufferDict[trade.vtSymbol] = posBuffer
posBuffer.updateTradeData(trade)
#----------------------------------------------------------------------
def processPositionEvent(self, event):
"""处理持仓推送"""
pos = event.dict_['data']
# 更新持仓缓存数据
if pos.vtSymbol in self.tickStrategyDict:
posBuffer = self.posBufferDict.get(pos.vtSymbol, None)
if not posBuffer:
posBuffer = PositionBuffer()
posBuffer.vtSymbol = pos.vtSymbol
self.posBufferDict[pos.vtSymbol] = posBuffer
posBuffer.updatePositionData(pos)
#----------------------------------------------------------------------
def registerEvent(self):
"""注册事件监听"""
self.eventEngine.register(EVENT_TICK, self.processTickEvent)
self.eventEngine.register(EVENT_ORDER, self.processOrderEvent)
self.eventEngine.register(EVENT_TRADE, self.processTradeEvent)
self.eventEngine.register(EVENT_POSITION, self.processPositionEvent)
#----------------------------------------------------------------------
def insertData(self, dbName, collectionName, data):
"""插入数据到数据库（这里的data可以是VtTickData或者VtBarData）"""
self.mainEngine.dbInsert(dbName, collectionName, data.__dict__)
#----------------------------------------------------------------------
def loadBar(self, dbName, collectionName, days):
"""从数据库中读取Bar数据，startDate是datetime对象"""
startDate = self.today - timedelta(days)
d = {'datetime':{'$gte':startDate}}
barData = self.mainEngine.dbQuery(dbName, collectionName, d)
l = []
for d in barData:
bar = VtBarData()
bar.__dict__ = d
l.append(bar)
return l
#----------------------------------------------------------------------
def loadTick(self, dbName, collectionName, days):
"""从数据库中读取Tick数据，startDate是datetime对象"""
startDate = self.today - timedelta(days)
d = {'datetime':{'$gte':startDate}}
tickData = self.mainEngine.dbQuery(dbName, collectionName, d)
l = []
for d in tickData:
tick = VtTickData()
tick.__dict__ = d
l.append(tick)
return l
#----------------------------------------------------------------------
def writeCtaLog(self, content):
"""快速发出CTA模块日志事件"""
log = VtLogData()
log.logContent = content
event = Event(type_=EVENT_CTA_LOG)
event.dict_['data'] = log
self.eventEngine.put(event)
#----------------------------------------------------------------------
def loadStrategy(self, setting):
"""载入策略"""
try:
name = setting['name']
className = setting['className']
except Exception, e:
self.writeCtaLog(u'载入策略出错：%s' %e)
return
# 获取策略类
strategyClass = STRATEGY_CLASS.get(className, None)
if not strategyClass:
self.writeCtaLog(u'找不到策略类：%s' %className)
return
# 防止策略重名
if name in self.strategyDict:
self.writeCtaLog(u'策略实例重名：%s' %name)
else:
# 创建策略实例
strategy = strategyClass(self, setting)
self.strategyDict[name] = strategy
# 保存Tick映射关系
if strategy.vtSymbol in self.tickStrategyDict:
l = self.tickStrategyDict[strategy.vtSymbol]
else:
l = []
self.tickStrategyDict[strategy.vtSymbol] = l
l.append(strategy)
# 订阅合约
contract = self.mainEngine.getContract(strategy.vtSymbol)
if contract:
req = VtSubscribeReq()
req.symbol = contract.symbol
req.exchange = contract.exchange
# 对于IB接口订阅行情时所需的货币和产品类型，从策略属性中获取
req.currency = strategy.currency
req.productClass = strategy.productClass
self.mainEngine.subscribe(req, contract.gatewayName)
else:
self.writeCtaLog(u'%s的交易合约%s无法找到' %(name, strategy.vtSymbol))
def loadSetting(self):
"""载入设置"""
with open(self.settingFilePath) as f:
drSetting = json.load(f)
# 如果working设为False则不启动行情记录功能
working = drSetting['working']
if not working:
return
if 'tick' in drSetting:
l = drSetting['tick']
for setting in l:
symbol = setting[0]
vtSymbol = symbol
req = VtSubscribeReq()
req.symbol = setting[0]
# 针对LTS和IB接口，订阅行情需要交易所代码
if len(setting) >= 3:
req.exchange = setting[2]
vtSymbol = '.'.join([symbol, req.exchange])
# 针对IB接口，订阅行情需要货币和产品类型
if len(setting) >= 5:
req.currency = setting[3]
req.productClass = setting[4]
self.mainEngine.subscribe(req, setting[1])
drTick = DrTickData() # 该tick实例可以用于缓存部分数据（目前未使用）
self.tickDict[vtSymbol] = drTick
if 'bar' in drSetting:
l = drSetting['bar']
for setting in l:
symbol = setting[0]
vtSymbol = symbol
req = VtSubscribeReq()
req.symbol = symbol
if len(setting) >= 3:
req.exchange = setting[2]
vtSymbol = '.'.join([symbol, req.exchange])
if len(setting) >= 5:
req.currency = setting[3]
req.productClass = setting[4]
self.mainEngine.subscribe(req, setting[1])
bar = DrBarData()
self.barDict[vtSymbol] = bar
if 'renko' in drSetting:
l = drSetting.get('renko')
req_set = set()
for setting in l:
# 获取合约，合约短号，renko的高度（多少个跳）
vtSymbol = setting.get('vtSymbol', None)
if vtSymbol is None:
continue
short_symbol = getShortSymbol(vtSymbol).upper()
height = setting.get('height', 5)
minDiff = setting.get('minDiff', 1)
# 获取vtSymbol的多个renkobar列表，添加新的CtaRenkoBar
renko_list = self.renkoDict.get(vtSymbol, [])
bar_setting = {
'name': '{}_{}'.format(vtSymbol, height),
'shortSymbol': short_symbol,
'vtSymbol': vtSymbol,
'minDiff': minDiff,
'height': minDiff * height
}
renko_bar = CtaRenkoBar(strategy=None,
onBarFunc=self.onRenkoBar,
setting=bar_setting)
renko_list.append(renko_bar)
self.renkoDict.update({vtSymbol: renko_list})
req = VtSubscribeReq()
req.symbol = vtSymbol
req_set.add((req, setting.get('gateway', None)))
# 更新合约的历史数据
self.add_gap_ticks()
# 订阅行情
for req, gw in req_set:
self.mainEngine.subscribe(req, gw)
if 'active' in drSetting:
d = drSetting['active']
# 注意这里的vtSymbol对于IB和LTS接口，应该后缀.交易所
for activeSymbol, vtSymbol in d.items():
self.activeSymbolDict[vtSymbol] = activeSymbol
# 启动数据插入线程
self.start()
# 注册事件监听
self.registerEvent()
