def start(self, codes, time0, kt, shareDict):
print("子进程启动:", self.cindex, codes, time.time() - time0)
self.klineType = kt
# 主力合约
self.codes = codes
self.mCodes = mCodes = [n + '88' for n in codes]
# 查询获得配置 - 费率和每手单量
self.Base = future_baseInfo()
for doc in self.Base.getInfo(codes):
self.baseInfo[doc["code"] + '88'] = doc
cs0, cs1 = self.baseInfo[mCodes[0]], self.baseInfo[mCodes[1]]
if cs0["nightEnd"] != cs1["nightEnd"]: return None
# 计算tick 导致的滑点
sh = [self.baseInfo[d + '88']['tick_size'] for d in codes]
# 子进程共享类
self.Rice = tick_csv_Rice()
self.Train = train_future()
self.Total = train_total()
self.Total.tablename = self.total_tablename
# 查询获得N分钟K线
dfs_l = self.Rice.kline(mCodes,
period=self.klineType,
start=self.startDate,
end=self.endDate)
# 获得1分钟K线作为滚动线
dfs = self.Rice.kline(mCodes,
period='1m',
start=self.startDate,
end=self.endDate)
# 按时间截取并调整
dfs = self.dateAdjust(codes, dfs, sh)
print('kline load:', mCodes, len(dfs[mCodes[0]]), len(dfs[mCodes[1]]))
# 根据配置文件获取最佳交易手数对
self.iniVolume = round(
self.iniAmount / cs0["lastPrice"] / cs0["contract_multiplier"], 0)
# 分参数执行
results = []
for period in self.periodList:
for scale in self.scaleList:
for ss in self.shiftScaleList:
self.shiftScale = ss
self.shift = [sh[i] * ss for i in range(len(sh))]
doc = self.total(dfs, dfs_l, scale=scale, period=period)
if doc is None or doc['amount'] == 0: continue
logger.info((doc['uid'], doc['income'], " time:",
time.time() - time0))
results.append(doc)
# 结果写入共享阈
#shareDict.append(doc)
self.Total.insertAll(results)
def listen(self, main):
listener = Listener(self.address, authkey=self.authkey)
Train = train_future()
Total = train_total()
Total.tablename = self.total_tablename
Train.tablename = self.detail_tablename
while True:
conn = listener.accept()
data = conn.recv()
if 'end' in data and data['end']==1:
print('------------end-------------')
conn.close()
break
result=b'0'
try:
if data[0]==0:
Total.insertAll(data[1])
else:
Train.insertAll(data[1])
result = b'1'
conn.send_bytes(result)
except Exception as e:
print(e)
conn.send_bytes(result)
finally:
conn.close()
def filterCodes(self):
# 查询每周统计表
Top = train_total()
Top.tablename = self.topTableName
self.future_Map = Top.last_top(num=self.topNumbers,
maxsames=self.sameLimit,
minRate=self.minRate)
num0 = len(self.future_Map)
Result = future_orderForm()
# 添加top10
codesList = [[c[0], c[1]] for c in self.future_Map]
for map in Result.topCodes():
if not map[0:2] in codesList:
self.future_Map.append(map)
num1 = len(self.future_Map) - num0
# 添加未平仓，并不再开仓
codesList = [[c[0], c[1]] for c in self.future_Map]
for map in Result.currentOpenCodes(method=self.methodName):
print(map)
if not map[0:2] in codesList:
self.future_Map.append(map)
self.noneUsed.append(map[0:2])
logger.info(
('总监控币对：', len(self.future_Map), ' 新列表:', num0, ' top10:', num1))
logger.info(([n for n in self.future_Map]))
logger.info(('暂停币对:', len(self.noneUsed), [n for n in self.noneUsed]))
def start(self, codes, time0, kt, shareDict):
print("子进程启动:", self.cindex, codes, time.time() - time0)
self.klineType = kt
# 主力合约
self.codes = codes
self.mCodes = mCodes = [n + '88' for n in codes]
# 查询获得配置 - 费率和每手单量
self.Base = future_baseInfo()
for doc in self.Base.getInfo(codes):
self.baseInfo[doc["code"] + '88'] = doc
cs0 = self.baseInfo[mCodes[0]]
# 计算tick 导致的滑点
sh = [self.baseInfo[d + '88']['tick_size'] for d in codes]
self.shift = [sh[i] * self.shiftScale for i in range(len(sh))]
# 子进程共享类
self.Rice = tick_csv_Rice()
self.Rice.setTimeArea(cs0["nightEnd"])
self.Train = train_future()
self.Total = train_total()
self.Total.tablename = self.total_tablename
# 查询获得N分钟K线
dfs_l = self.Rice.kline(mCodes,
period=self.klineType,
start=self.startDate,
end=self.endDate,
pre=60)
# 获得1分钟K线作为滚动线
dfs = self.Rice.kline(mCodes,
period='1m',
start=self.startDate,
end=self.endDate,
pre=0)
# 按时间截取并调整
# dfs= self.dateAdjust(codes, dfs, sh)
print('kline load:', mCodes, len(dfs[mCodes[0]]))
# 根据配置文件获取最佳交易手数对
self.iniVolume = round(
self.iniAmount / cs0["lastPrice"] / cs0["contract_multiplier"], 0)
# 分参数执行
results = []
for period in self.periodList:
docs = self.total(dfs, dfs_l, period=period)
if docs is None or len(docs) == 0: continue
logger.info(
(self.codes, period, self.klineType, len(docs), " time:",
time.time() - time0))
results.extend(docs)
# 结果写入共享阈
self.Total.insertAll(results)
def start(self, codes, time0, kline=None, Base=None, Rice=None):
print("子进程启动:", self.cindex, codes, kline)
# 主力合约
self.codes = codes
self.code, self.mCode = codes[0], codes[0] + '88'
self.mCodes = mCodes = [n + '88' for n in codes]
# 查询获得配置 - 费率和每手单量
self.Base = future_baseInfo()
self.BS = {}
for doc in self.Base.getInfo(codes):
self.BS[doc["code"]] = self.BS[doc["code"] + '88'] = doc
cs = [self.BS[m] for m in self.mCodes]
self.klineType = self.BS[
self.code]['quickkline'] if kline is None else kline
# 子进程共享类
self.Rice = Rice if Rice is not None else interface_Rice()
self.Rice.setTimeArea(cs[0]["nightEnd"])
self.Train = train_future()
self.Total = train_total()
self.Total.tablename = self.total_tablename
self.Train.tablename = self.detail_tablename
if len(self.indexCodeList) > 0:
self.Rice.setIndexList(self.indexCodeList)
self.adjustDates = self.Rice.getAdjustDate(self.code,
start=self.startDate)
print(codes, self.adjustDates)
# 查询获得N分钟K线
dfs = self.Rice.kline(mCodes,
period=self.klineType,
start=self.startDate,
end=self.endDate,
pre=1)
print('kline load:', mCodes, [len(dfs[m]) for m in mCodes])
# 根据配置文件获取最佳交易手数对
self.iniVolume = round(
self.iniAmount / cs[0]["lastPrice"] / cs[0]["contract_multiplier"],
0)
if self.iniVolume == 0: self.iniVolume = 1
# 分参数执行
docs = self.total(dfs, period=self.periodwidth)
if docs is None or len(docs) == 0: return
logger.info((self.codes, self.klineType, len(docs), " time:",
time.time() - time0))
self.Total.insertAll(docs)
def empty(self):
if self.isEmptyUse :
Train = train_future()
Total = train_total()
Total.tablename = self.total_tablename
Train.tablename = self.detail_tablename
Train.empty()
Total.empty()
def top(self, mode=0):
if mode == 0:
Total = train_total()
Total.tablename = self.total_tablename
rs = Total.last_top(10, maxsames=10, minRate = 0.02)
return [l[0] for l in rs]
elif mode==1:
Base = future_baseInfo()
return [ n[0] for n in Base.all(vol=300)]
def empty(self):
if self.isEmptyUse:
Train = train_future()
Total = train_total()
Total.tablename = self.total_tablename
Train.tablename = self.detail_tablename
Train.empty()
Total.empty()
if self.savePoint:
TrainOrder = mon_trainOrder()
TrainOrder.drop(self.stage)
print("empty mongodb trainOrder", self.stage)
def start(self, codes, klinePeriod, time0, shareDict):
print("子进程启动:", codes, time.time()-time0)
self.Rice = interface_Rice()
self.Train = train_future()
self.Train.tablename = self.detail_tablename
self.codes = codes
self.Base = future_baseInfo()
self.Total = train_total()
self.Total.tablename = self.total_tablename
# 主力合约
self.mCodes = mCodes = [n +'88' for n in codes]
self.klinePeriod = klinePeriod
# 查询获得分钟K线
dfs = self.Rice.kline(mCodes, period= klinePeriod, start=self.startDate, end=self.endDate)
print("kline load", self.mCodes)
# 查询获得配置 - 费率和每手单量
i= 0
for doc in self.Base.getInfo(codes):
self.baseInfo[doc["code"]+'88'] = doc
self.shift = doc["tick_size"] * self.shiftRatio
i+=1
# 分参数执行
res = []
for period in self.periodList:
for scale in self.scaleList:
for deltaline in self.widthDeltaLineList:
self.widthDeltaLine = deltaline
doc = self.total(dfs[mCodes[0]], scale=scale, period=period)
if doc is None: continue
doc.update({
"code": codes[0],
# "code1": codes[1],
})
logger.info((doc['uid'], doc['count'], doc['income'], " time:", time.time() - time0))
res.append(doc)
# 结果写入共享阈
#shareDict.append(doc)
self.Total.insertAll(res)
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 filterCodes(self):
# 查询每周统计表
Top = train_total()
Top.tablename = self.topTableName
self.future_Map = Top.last_top(num=self.topNumbers, filter=self.topFilter, maxsames=self.sameLimit,
minRate=self.minRate)
num0 = len(self.future_Map)
Record = future_orderForm()
if not self.isWorking: Record.tablename = self.orderFormTest
# 添加top10
codesList = [[c[0], c[1]] for c in self.future_Map]
for map in Record.topCodes(method=self.methodName, toptable=self.topTableName,batchNum=self.batchNum):
if not map[0:2] in codesList:
self.future_Map.append(map)
num1 = len(self.future_Map) - num0
# 添加未平仓，并不再开仓
codesList = [[c[0], c[1]] for c in self.future_Map]
for map in Record.currentOpenCodes(method=self.methodName, batchNum=self.batchNum):
if not map[0:2] in codesList and map[0]:
self.future_Map.append(map[:-1])
self.noneUsed.append(map[0:2])
# 开盘时调仓处理
if self.isCTPUse and self.isAutoAlterPosition:
codes = self.combinCode()
try:
CTP = interface_pyctp(use=True, userkey=self.ctpuser)
state, orders = CTP.alterPosi(codes)
if len(orders)- state >0:
logger.info(('自动调仓完成', len(orders)- state))
Record.insertAll(orders)
except:
pass
logger.info(('总监控币对：', len(self.future_Map), ' 新列表:', num0, ' top10:', num1, ' 未平仓:', len(self.noneUsed)))
logger.info(([n for n in self.future_Map]))
logger.info(('暂停币对:', len(self.noneUsed), [n for n in self.noneUsed]))
def start(self, codes, klinePeriod, time0, shareDict):
print("子进程启动:", codes, time.time()-time0)
self.Rice = interface_Rice()
self.Train = train_future()
self.Base = future_baseInfo()
self.Total = train_total()
self.Total.tablename = self.total_tablename
self.Train.tablename = self.detail_tablename
# 主力合约
self.mCodes = codes
self.klinePeriod = klinePeriod
# 查询获得分钟K线
dfs = self.Rice.kline(codes, period= klinePeriod, start=self.startDate, end=self.endDate)
print("kline load", self.mCodes)
# 查询获得配置 - 费率和每手单量
self.shift = 0.001 * self.shiftRatio
# 分参数执行
res = []
for period in self.periodList:
for scale in self.scaleList:
for deltaline in self.widthDeltaLineList:
self.widthDeltaLine = deltaline
doc = self.total(dfs[codes[0]], scale=scale, period=period)
if doc is None: continue
doc.update({
"code": codes[0],
# "code1": codes[1],
})
logger.info((doc, " time:", time.time()-time0))
res.append(doc)
# 结果写入共享阈
#shareDict.append(doc)
self.Total.insertAll(res)
def start(self, kline):
# 主力合约
self.codes = codes = self.Cat['shortList'] + self.Cat['longList']
self.mCodes = mCodes = [n + '88' for n in self.codes]
# 查询获得配置 - 费率和每手单量
self.Base = future_baseInfo()
self.BS = {}
for doc in self.Base.getInfo(codes):
self.BS[doc["code"]] = self.BS[doc["code"] + '88'] = doc
cs = [self.BS[m] for m in self.mCodes]
# 子进程共享类
self.Rice = interface_Rice()
self.Rice.setTimeArea(cs[0]["nightEnd"])
self.Train = train_future()
self.Total = train_total()
self.Total.tablename = self.total_tablename
self.Train.tablename = self.detail_tablename
if len(self.indexCodeList) > 0:
self.Rice.setIndexList(self.indexCodeList)
self.klineType = kline
# 查询获得N分钟K线
print(self.startDate, self.endDate)
dfs = self.Rice.kline(mCodes,
period=self.klineType,
start=self.startDate,
end=self.endDate,
pre=1)
print('kline load:', mCodes, [len(dfs[m]) for m in mCodes])
# 分参数执行
self.total(dfs)
def subInit(self, codes, time0, kline=None, Base=None, Rice=None):
self.codes = codes
self.Rice = Rice if Rice is not None else interface_Rice()
# 查询获得配置 - 费率和每手单量
self.Base = future_baseInfo() if Base is None else Base
self.BS = {}
for doc in self.Base.getInfo(codes):
self.BS[doc["code"]] = doc
cs = [self.BS[m] for m in codes]
self.Rice.setTimeArea(cs[0]["nightEnd"])
# 根据配置文件获取最佳交易手数对
self.iniVolume = round(
self.iniAmount / cs[0]["lastPrice"] / cs[0]["contract_multiplier"],
0)
if self.iniVolume == 0: self.iniVolume = 1
#
self.Train = train_future()
self.Total = train_total()
self.Total.tablename = self.total_tablename
self.Train.tablename = self.detail_tablename
def tops(self, num=10):
Total = train_total()
Total.tablename = "train_total"
return [m[0:1] for m in Total.last_top(num=num)]
def start(self, rs, time0, kline=None):
"""
子进程入口
"""
print("子进程启动:", self.cindex, rs, kline)
self.Rice = interface_Rice()
##### 子程序初始化
self.codes = codes = [d['name'] for d in rs]
if self.sourceListType == 1:
self.mCodes = mCodes = [self.Rice.id_convert(d['code']) for d in rs]
self.ctpCode = rs[0]['code']
else:
self.mCodes = mCodes = [d['code'] for d in rs]
self.ctpCode = rs[0]['code']
# 单一合约
self.code, self.mCode = self.codes[0], self.mCodes[0]
self.iniVolume = 0
if 'startdate' in rs[0]:
self.startDate = str(rs[0]['startdate'])[:10]
self.endDate = str(rs[0]['enddate'])[:10]
if 'iniVolume' in rs[0]:
self.iniVolume = rs[0]['iniVolume']
self.klineType = kline
self.Train = train_future()
self.Total = train_total()
self.Total.tablename = self.total_tablename
self.Train.tablename = self.detail_tablename
self.Base = future_baseInfo()
self.BS = {}
# 查询获得配置 - 费率和每手单量
for doc in self.Base.getInfo(codes):
self.BS[doc["code"]] = self.BS[self.mCode] = doc
cs = [self.BS[m] for m in self.mCodes]
# 子进程共享类
self.Rice.setTimeArea(cs[0]["nightEnd"])
if len(self.indexCodeList) > 0:
self.Rice.setIndexList(self.indexCodeList)
""""
-------------- 调用sub程序 -----------------
"""
# 查询获得N分钟K线
dfs = self.Rice.kline(mCodes, period=self.klineType, start=self.startDate, end=self.endDate, pre=1)
print('kline load:', mCodes, self.startDate, self.endDate, [len(dfs[m]) for m in mCodes])
# 分参数执行
docs = self.total(dfs, period=self.periodwidth)
if docs is None or len(docs) == 0: return
logger.info((self.mCodes, self.klineType, docs[0]['count'], docs[0]['income'], ''" time:", time.time() - time0))
self.Total.insertAll(docs)
# 关闭连接
self.Total.closecur()
def tops(self, num=10):
Total = train_total()
Total.tablename = "train_total_0"
return [m[0:2] for m in Total.last_top(num=num)], Total.exits()
def start(self, rs, time0, kline=None, Base=None):
"""
子进程入口
"""
print("子进程启动:", self.cindex, rs, kline)
self.Rice = interface_Rice()
##### 子程序初始化
self.codes = codes = [d['name'] for d in rs]
if self.sourceListType == 1:
self.mCodes = mCodes = [self.Rice.id_convert(d['code']) for d in rs]
self.ctpCode = rs[0]['code']
else:
self.mCodes = mCodes = [d['code'] for d in rs]
self.ctpCode = rs[0]['code']
# 单一合约
self.code, self.mCode = self.codes[0], self.mCodes[0]
self.iniVolume = 0
if 'startdate' in rs[0]:
self.startDate = str(rs[0]['startdate'])[:10]
self.endDate = str(rs[0]['enddate'])[:10]
if 'iniVolume' in rs[0]:
self.iniVolume = rs[0]['iniVolume']
self.klineType = kline
#Base = future_baseInfo()
self.BS = {}
print('1-----------------------')
# 查询获得配置 - 费率和每手单量
docs = Base.getInfo(codes)
print('2-----------------------')
for doc in docs:
self.BS[self.code] = self.BS[self.mCode] = doc
cs = [self.BS[m] for m in self.mCodes]
# 子进程共享类
self.Rice.setTimeArea(cs[0]["nightEnd"])
print('3-----------------------')
if len(self.indexCodeList) > 0:
self.Rice.setIndexList(self.indexCodeList)
""""
-------------- 调用sub程序 -----------------
"""
# 查询获得N分钟K线
dfs = self.Rice.kline(mCodes, period=self.klineType, start=self.startDate, end=self.endDate, pre=1)
print('kline load:', mCodes, self.startDate, self.endDate, [len(dfs[m]) for m in mCodes])
print('4-----------------------')
# 分参数执行
docs = self.total(dfs, period=self.periodwidth)
if docs is None or len(docs) == 0: return
logger.info((self.mCodes, self.klineType, docs[0]['count'], docs[0]['income'], ''" time:", time.time() - time0))
if docs is not None:
if self.isPool:
conn = Client(self.address, authkey=self.authkey)
conn.send([0, docs])
conn.close()
else:
Total = train_total()
Total.tablename = self.total_tablename
Total.insertAll(docs)
def start(self, codes, time0, kt, shareDict):
print("子进程启动:", self.cindex, codes, time.time() - time0)
self.Base = future_baseInfo()
self.klineType = kt
self.codes = codes
# 主力合约
self.mCodes = mCodes = [n + '88' for n in codes]
# 查询获得配置 - 费率和每手单量
for doc in self.Base.getInfo(codes):
self.baseInfo[doc["code"] + '88'] = doc
cs0, cs1 = self.baseInfo[mCodes[0]], self.baseInfo[mCodes[1]]
if cs0["nightEnd"] != cs1["nightEnd"]: return None
shareDict.append(codes)
# 子进程共享类
self.Rice = interface_Rice()
self.Train = train_future()
self.Train.tablename = self.detail_tablename
self.Total = train_total()
self.Total.tablename = self.total_tablename
# 查询获得分钟K线
dfs = self.Rice.kline(mCodes,
period=self.klineType,
start=self.startDate,
end=self.endDate)
print('kline load:', mCodes, len(dfs[mCodes[0]]), len(dfs[mCodes[1]]))
# 计算tick 导致的滑点
sh = [self.baseInfo[d + '88']['tick_size'] for d in codes]
# 根据配置文件获取最佳交易手数对
self.iniVolume = round(
self.iniAmount / cs0["lastPrice"] / cs0["contract_multiplier"], 0)
self.shift = [sh[i] * self.shiftScale for i in range(len(sh))]
# 分参数执行
results = []
for period in self.periodList:
for scale in self.scaleList:
for conds in self.iterCond():
self.uid = self.uidKey % (
"_".join(self.codes), str(period), str(scale),
self.klineType.replace('m', ''), conds)
self.stopTimeDiff = self.stopTimeLine * period * int(
self.klineType[:-1])
doc = self.total(dfs[mCodes[0]],
dfs[mCodes[1]],
scale=scale,
period=period)
if doc is None and doc['amount'] == 0: continue
logger.info(
(doc['uid'], doc['count'], doc['income'], " time:",
time.time() - time0))
results.append(doc)
self.Total.insertAll(results)
