def subscribe(self):
ss = SubscribeRequest()
ss.sym_type = SYMBOL_TYPE.CTP
ss.content = str(self.sym.text())
m = Event(EventType.SUBSCRIBE)
m.msg_type = MSG_TYPE.MSG_TYPE_SUBSCRIBE_MARKET_DATA
m.data = ss
self.subscribe_signal.emit(m)
def write_log(self, msg: str):
""""""
if self.event_engine:
event = Event(type=EventType.BACKTEST_LOG)
event.data = msg
self.event_engine.put(event)
else:
print(str)
def run_optimization(self,
class_name: str,
full_symbol: str,
interval: str,
start: datetime,
end: datetime,
rate: float,
slippage: float,
size: int,
pricetick: float,
capital: int,
optimization_setting: OptimizationSetting,
use_ga: bool,
datasource: str = 'DataBase'):
""""""
if use_ga:
self.write_log("开始遗传算法参数优化")
else:
self.write_log("开始多进程参数优化")
self.result_values = None
engine = self.backtesting_engine
engine.clear_data()
engine.set_parameters(full_symbol=full_symbol,
interval=interval,
start=start,
end=end,
rate=rate,
slippage=slippage,
size=size,
pricetick=pricetick,
capital=capital)
strategy_class = self.classes[class_name]
engine.add_strategy(strategy_class, {})
if use_ga:
self.result_values = engine.run_ga_optimization(
optimization_setting, output=False, datasource=datasource)
else:
self.result_values = engine.run_optimization(optimization_setting,
output=False,
datasource=datasource)
# Clear thread object handler.
self.thread = None
self.write_log("多进程参数优化完成")
# Put optimization done event
if self.event_engine:
event = Event(type=EventType.OPTIMIZATION_FINISH)
self.event_engine.put(event)
def run_batch_bt(self,
class_name: str,
settinglist: dict,
interval: str,
rate: float,
slippage: float,
size: int,
pricetick: float,
capital: int,
setting: dict,
datasource: str = "DataBase"):
""""""
self.result_df = None
self.result_statistics = None
engine = self.backtesting_engine
engine.clear_data()
strategy_class = self.classes[class_name]
fsmlist = settinglist['full_symbol']
startlist = settinglist['start']
endlist = settinglist['end']
for i in range(len(fsmlist)):
full_symbol = fsmlist[i]
start = startlist[i]
end = endlist[i]
engine.set_parameters(full_symbol=full_symbol,
interval=interval,
start=start,
end=end,
rate=rate,
slippage=slippage,
size=size,
pricetick=pricetick,
capital=capital)
engine.add_strategy(strategy_class, setting)
engine.load_data(datasource)
engine.run_backtesting()
self.result_df = engine.calculate_result()
self.result_statistics = engine.calculate_statistics(output=False)
self.result_trades = engine.get_all_trades()
self.result_dailys = engine.get_all_daily_results()
# Clear thread object handler.
self.thread = None
# Put backtesting done event
if self.event_engine:
event = Event(type=EventType.BACKTEST_FINISH)
self.event_engine.put(event)
def qry(self):
qry = Event(EventType.QRY)
if (self.qry_type.currentText() == 'Account'):
qry.msg_type = MSG_TYPE.MSG_TYPE_QRY_ACCOUNT
if (self.qry_type.currentText() == 'Position'):
qry.msg_type = MSG_TYPE.MSG_TYPE_QRY_POS
if (self.qry_type.currentText() == 'Contract'):
qc = QryContractRequest()
qc.sym_type = SYMBOL_TYPE.CTP
qc.content = self.qry_content.text()
qry.msg_type = MSG_TYPE.MSG_TYPE_QRY_CONTRACT
qry.data = qc
if (self.qry_type.currentText() == 'Order'):
qry.msg_type = MSG_TYPE.MSG_TYPE_QRY_ORDER
if (self.qry_type.currentText() == 'Trade'):
qry.msg_type = MSG_TYPE.MSG_TYPE_QRY_TRADE
if (self.qry_type.currentText() == 'PositionDetail'):
qry.msg_type = MSG_TYPE.MSG_TYPE_QRY_POSDETAIL
self.qry_signal.emit(qry)
def unsubscribe(self):
cell = self.currentItem()
if not cell:
return
tick = cell.get_data()
if not tick:
return
req = SubscribeRequest(sym_type=SYMBOL_TYPE.FULL,
content=tick.full_symbol)
m = Event(type=EventType.GENERAL_REQ,
data=req,
des=tick.gateway_name,
src='0',
msgtype=MSG_TYPE.MSG_TYPE_UNSUBSCRIBE)
self.event_engine.put(m)
def place_order_ctp(self, of):
try:
m = Event(EventType.ORDER)
m.msg_type = MSG_TYPE.MSG_TYPE_ORDER_CTP
m.destination = self.gateway.currentText()
m.source = '0'
ot = OrderType.DEFAULT
if (of.OrderPriceType == THOST_FTDC_OPT_AnyPrice) and (
of.ContingentCondition
in [THOST_FTDC_CC_Touch, THOST_FTDC_CC_TouchProfit]):
ot = OrderType.STP
elif (of.OrderPriceType == THOST_FTDC_OPT_LimitPrice) and (
of.ContingentCondition
in [THOST_FTDC_CC_Touch, THOST_FTDC_CC_TouchProfit]):
ot = OrderType.STPLMT
elif (of.OrderPriceType == THOST_FTDC_OPT_AnyPrice) and (
of.ContingentCondition
== THOST_FTDC_CC_Immediately) and (of.TimeCondition
== THOST_FTDC_TC_GFD):
ot = OrderType.MKT
elif (of.OrderPriceType == THOST_FTDC_OPT_LimitPrice) and (
of.ContingentCondition
== THOST_FTDC_CC_Immediately) and (of.TimeCondition
== THOST_FTDC_TC_GFD):
ot = OrderType.LMT
elif (of.ContingentCondition == THOST_FTDC_CC_Immediately) and (
of.TimeCondition
== THOST_FTDC_TC_IOC) and (of.VolumeCondition
== THOST_FTDC_VC_AV):
ot = OrderType.FAK
elif (of.ContingentCondition == THOST_FTDC_CC_Immediately) and (
of.TimeCondition
== THOST_FTDC_TC_IOC) and (of.VolumeCondition
== THOST_FTDC_VC_CV):
ot = OrderType.FOK
o = OrderData(api="CTP.TD",
account=m.destination[7:],
clientID=0,
client_order_id=self.manualorderid,
type=ot,
orderfield=of)
# o.api = "CTP.TD" #self.gateway.currentText()
# o.account = m.destination[7:]
# o.clientID = 0
# o.client_order_id = self.manualorderid
# # o.create_time = datetime.now().strftime('%Y-%m-%d %H:%M:%S.%f')
# o.orderfield = of
m.data = o
self.order_signal.emit(m)
self.manualorderid = self.manualorderid + 1
except:
print('place ctp order error')
def cancel_order(self, cell):
data = cell.get_data()
oid = data.__getattribute__(self.data_key)
row_cells = self.cells[oid]
cell2 = row_cells['status']
order = cell2.get_data()
if not order:
return
if order.status not in ACTIVE_STATUSES:
QtWidgets.QMessageBox().information(None, 'Error',
'Order not active!',
QtWidgets.QMessageBox.Ok)
return
req = order.create_cancel_request()
dest = order.api + '.' + order.account # gateway_name
m = Event(type=EventType.GENERAL_REQ,
data=req,
des=dest,
src='0',
msgtype=MSG_TYPE.MSG_TYPE_CANCEL_ORDER)
self.event_engine.put(m)
def place_order_paper(self, of):
try:
m = Event(EventType.ORDER)
m.msg_type = MSG_TYPE.MSG_TYPE_ORDER_PAPER
m.destination = self.gateway.currentText()
m.source = '0'
o = OrderData()
o.api = "PAPER.TD" # self.api_type.currentText()
o.account = "manual"
o.clientID = 0
o.client_order_id = self.manualorderid
self.manualorderid = self.manualorderid + 1
# o.create_time = datetime.now().strftime('%Y-%m-%d %H:%M:%S.%f')
o.orderfield = of
m.data = o
self.order_signal.emit(m)
except:
print('place paper order error')
def place_local_order_ctp(self, of):
try:
m = Event(EventType.ORDER)
m.msg_type = MSG_TYPE.MSG_TYPE_ORDER_CTP
m.destination = self.gateway.currentText()
m.source = '0'
ot = OrderType.LPT
if of.ContingentCondition in [
THOST_FTDC_CC_Touch, THOST_FTDC_CC_TouchProfit
]:
of.ContingentCondition = THOST_FTDC_CC_Immediately
o = OrderData(api="CTP.TD",
account=m.destination[7:],
clientID=0,
client_order_id=self.manualorderid,
type=ot,
orderfield=of)
m.data = o
self.order_signal.emit(m)
self.manualorderid = self.manualorderid + 1
except:
print('place ctp local order error')
def generate_request(self):
print("ctp request at ", datetime.now())
if (self.request_type.currentText() == 'Order'):
of = CtpOrderField()
of.InstrumentID = self.sym.text()
of.OrderPriceType = self.orderfielddict['pricetype'][
self.order_price_type.currentIndex()]
of.Direction = self.orderfielddict['direction'][
self.direction_type.currentIndex()]
of.CombOffsetFlag = self.orderfielddict['orderflag'][
self.order_flag_type.currentIndex()]
of.CombHedgeFlag = self.orderfielddict['hedge'][
self.hedge_type.currentIndex()]
of.TimeCondition = self.orderfielddict['timecondition'][
self.time_condition_type.currentIndex()]
of.GTDDate = self.time_condition_time.text()
of.VolumeCondition = self.orderfielddict['volumecondition'][
self.volume_condition_type.currentIndex()]
of.ContingentCondition = self.orderfielddict['condition'][
self.order_condition_type.currentIndex()]
of.ForceCloseReason = THOST_FTDC_FCC_NotForceClose
try:
of.LimitPrice = float(self.limit_price.text())
of.VolumeTotalOriginal = int(self.order_quantity.text())
of.MinVolume = int(self.order_minquantity.text())
of.StopPrice = float(self.stop_price.text())
except:
print('ctp request error,please check numerical field')
return
self.orderfield_signal.emit(of)
elif (self.request_type.currentText() == 'LocalOrder'):
of = CtpOrderField()
of.InstrumentID = self.sym.text()
of.OrderPriceType = self.orderfielddict['pricetype'][
self.order_price_type.currentIndex()]
of.Direction = self.orderfielddict['direction'][
self.direction_type.currentIndex()]
of.CombOffsetFlag = self.orderfielddict['orderflag'][
self.order_flag_type.currentIndex()]
of.CombHedgeFlag = self.orderfielddict['hedge'][
self.hedge_type.currentIndex()]
of.TimeCondition = self.orderfielddict['timecondition'][
self.time_condition_type.currentIndex()]
of.GTDDate = self.time_condition_time.text()
of.VolumeCondition = self.orderfielddict['volumecondition'][
self.volume_condition_type.currentIndex()]
of.ContingentCondition = self.orderfielddict['condition'][
self.order_condition_type.currentIndex()]
of.ForceCloseReason = THOST_FTDC_FCC_NotForceClose
try:
of.LimitPrice = float(self.limit_price.text())
of.VolumeTotalOriginal = int(self.order_quantity.text())
of.MinVolume = int(self.order_minquantity.text())
of.StopPrice = float(self.stop_price.text())
except:
print('ctp request error,please check numerical field')
return
if of.StopPrice <= 0:
QtWidgets.QMessageBox().information(
None, 'Error', 'Stop Price must be positive number !',
QtWidgets.QMessageBox.Ok)
return
self.local_orderfield_signal.emit(of)
elif (self.request_type.currentText() == 'CancelAll'):
ss = CancelAllRequest()
ss.sym_type = SYMBOL_TYPE.CTP
ss.content = str(self.sym.text())
m = Event(EventType.CANCEL)
m.msg_type = MSG_TYPE.MSG_TYPE_CANCEL_ALL
m.data = ss
self.cancelall_signal.emit(m)
