class Trader(Constructor):
logger = logging.getLogger(__name__)
security_type: SecurityType = None
def __init__(self,
security_list: List[str] = None,
exchanges: List[str] = ['sh', 'sz'],
codes: List[str] = None,
start_timestamp: Union[str, pd.Timestamp] = None,
end_timestamp: Union[str, pd.Timestamp] = None,
provider: Union[str, Provider] = Provider.JOINQUANT,
level: Union[str, TradingLevel] = TradingLevel.LEVEL_1DAY,
trader_name: str = None,
real_time: bool = False,
kdata_use_begin_time: bool = False) -> None:
assert self.security_type is not None
if trader_name:
self.trader_name = trader_name
else:
self.trader_name = type(self).__name__.lower()
self.trading_signal_listeners = []
self.state_listeners = []
self.selectors: List[TargetSelector] = []
self.security_list = security_list
self.exchanges = exchanges
self.codes = codes
# FIXME:handle this case gracefully
if self.security_list:
security_type, exchange, code = decode_security_id(self.security_list[0])
if not self.security_type:
self.security_type = security_type
if not self.exchanges:
self.exchanges = [exchange]
self.provider = Provider(provider)
# make sure the min level selector correspond to the provider and level
self.level = TradingLevel(level)
self.real_time = real_time
if start_timestamp and end_timestamp:
self.start_timestamp = to_pd_timestamp(start_timestamp)
self.end_timestamp = to_pd_timestamp(end_timestamp)
else:
assert False
if real_time:
logger.info(
'real_time mode, end_timestamp should be future,you could set it big enough for running forever')
assert self.end_timestamp >= now_pd_timestamp()
self.kdata_use_begin_time = kdata_use_begin_time
self.account_service = SimAccountService(trader_name=self.trader_name,
timestamp=self.start_timestamp,
provider=self.provider,
level=self.level)
self.add_trading_signal_listener(self.account_service)
self.init_selectors(security_list=security_list, security_type=self.security_type, exchanges=self.exchanges,
codes=self.codes, start_timestamp=self.start_timestamp, end_timestamp=self.end_timestamp)
self.selectors_comparator = self.init_selectors_comparator()
self.trading_level_asc = list(set([TradingLevel(selector.level) for selector in self.selectors]))
self.trading_level_asc.sort()
self.trading_level_desc = list(self.trading_level_asc)
self.trading_level_desc.reverse()
self.targets_slot: TargetsSlot = TargetsSlot()
self.session = get_db_session('zvt', StoreCategory.business)
trader = get_trader(session=self.session, trader_name=self.trader_name, return_type='domain', limit=1)
if trader:
self.logger.warning("trader:{} has run before,old result would be deleted".format(self.trader_name))
self.session.query(business.Trader).filter(business.Trader.trader_name == self.trader_name).delete()
self.session.commit()
self.on_start()
def on_start(self):
if not self.selectors:
raise Exception('please setup self.selectors in init_selectors at first')
# run all the selectors
technical_factors = []
for selector in self.selectors:
# run for the history data at first
selector.run()
for factor in selector.filter_factors:
if isinstance(factor, TechnicalFactor):
technical_factors.append(factor)
technical_factors = simplejson.dumps(technical_factors, for_json=True)
if self.security_list:
security_list = json.dumps(self.security_list)
else:
security_list = None
if self.exchanges:
exchanges = json.dumps(self.exchanges)
else:
exchanges = None
if self.codes:
codes = json.dumps(self.codes)
else:
codes = None
trader_domain = business.Trader(id=self.trader_name, timestamp=self.start_timestamp,
trader_name=self.trader_name,
security_type=security_list, exchanges=exchanges, codes=codes,
start_timestamp=self.start_timestamp,
end_timestamp=self.end_timestamp, provider=self.provider.value,
level=self.level.value,
real_time=self.real_time, kdata_use_begin_time=self.kdata_use_begin_time,
technical_factors=technical_factors)
self.session.add(trader_domain)
self.session.commit()
def init_selectors(self, security_list, security_type, exchanges, codes, start_timestamp, end_timestamp):
"""
implement this to init selectors
"""
raise NotImplementedError
def init_selectors_comparator(self):
"""
overwrite this to set selectors_comparator
"""
return LimitSelectorsComparator(self.selectors)
def add_trading_signal_listener(self, listener):
if listener not in self.trading_signal_listeners:
self.trading_signal_listeners.append(listener)
def remove_trading_signal_listener(self, listener):
if listener in self.trading_signal_listeners:
self.trading_signal_listeners.remove(listener)
def handle_targets_slot(self, timestamp):
"""
this function would be called in every cycle, you could overwrite it for your custom algorithm to select the
targets of different levels
the default implementation is selecting the targets in all levels
:param timestamp:
:type timestamp:
"""
long_selected = None
short_selected = None
for level in self.trading_level_desc:
targets = self.targets_slot.get_targets(level=level)
if targets:
long_targets = set(targets[0])
short_targets = set(targets[1])
if not long_selected:
long_selected = long_targets
else:
long_selected = long_selected & long_targets
if not short_selected:
short_selected = short_targets
else:
short_selected = short_selected & short_targets
self.logger.debug('timestamp:{},long_selected:{}'.format(timestamp, long_selected))
self.logger.debug('timestamp:{},short_selected:{}'.format(timestamp, short_selected))
self.send_trading_signals(timestamp=timestamp, long_selected=long_selected, short_selected=short_selected)
def send_trading_signals(self, timestamp, long_selected, short_selected):
# current position
account = self.account_service.latest_account
current_holdings = [position['security_id'] for position in account['positions'] if
position['available_long'] > 0]
if long_selected:
# just long the security not in the positions
longed = long_selected - set(current_holdings)
if longed:
position_pct = 1.0 / len(longed)
order_money = account['cash'] * position_pct
for security_id in longed:
trading_signal = TradingSignal(security_id=security_id,
the_timestamp=timestamp,
trading_signal_type=TradingSignalType.trading_signal_open_long,
trading_level=self.level,
order_money=order_money)
for listener in self.trading_signal_listeners:
listener.on_trading_signal(trading_signal)
# just short the security in current_holdings and short_selected
if short_selected:
shorted = set(current_holdings) & short_selected
for security_id in shorted:
trading_signal = TradingSignal(security_id=security_id,
the_timestamp=timestamp,
trading_signal_type=TradingSignalType.trading_signal_close_long,
position_pct=1.0,
trading_level=self.level)
for listener in self.trading_signal_listeners:
listener.on_trading_signal(trading_signal)
def on_finish(self):
# show the result
pass
def run(self):
# iterate timestamp of the min level,e.g,9:30,9:35,9.40...for 5min level
# timestamp represents the timestamp in kdata
for timestamp in iterate_timestamps(security_type=self.security_type, exchange=self.exchanges[0],
start_timestamp=self.start_timestamp, end_timestamp=self.end_timestamp,
level=self.level):
if not is_trading_date(security_type=self.security_type, exchange=self.exchanges[0], timestamp=timestamp):
continue
if self.real_time:
# all selector move on to handle the coming data
if self.kdata_use_begin_time:
real_end_timestamp = timestamp + pd.Timedelta(seconds=self.level.to_second())
else:
real_end_timestamp = timestamp
waiting_seconds, _ = self.level.count_from_timestamp(real_end_timestamp,
one_day_trading_minutes=get_one_day_trading_minutes(
security_type=self.security_type))
# meaning the future kdata not ready yet,we could move on to check
if waiting_seconds and (waiting_seconds > 0):
# iterate the selector from min to max which in finished timestamp kdata
for level in self.trading_level_asc:
if (is_in_finished_timestamps(security_type=self.security_type, exchange=self.exchanges[0],
timestamp=timestamp, level=level)):
for selector in self.selectors:
if selector.level == level:
selector.move_on(timestamp, self.kdata_use_begin_time, timeout=waiting_seconds + 20)
# on_trading_open to setup the account
if self.level == TradingLevel.LEVEL_1DAY or (
self.level != TradingLevel.LEVEL_1DAY and is_open_time(security_type=self.security_type,
exchange=self.exchanges[0],
timestamp=timestamp)):
self.account_service.on_trading_open(timestamp)
# the time always move on by min level step and we could check all level targets in the slot
self.handle_targets_slot(timestamp=timestamp)
for level in self.trading_level_asc:
# in every cycle, all level selector do its job in its time
if (is_in_finished_timestamps(security_type=self.security_type, exchange=self.exchanges[0],
timestamp=timestamp, level=level)):
long_targets, short_targets = self.selectors_comparator.make_decision(timestamp=timestamp,
trading_level=level)
self.targets_slot.input_targets(level, long_targets, short_targets)
# on_trading_close to calculate date account
if self.level == TradingLevel.LEVEL_1DAY or (
self.level != TradingLevel.LEVEL_1DAY and is_close_time(security_type=self.security_type,
exchange=self.exchanges[0],
timestamp=timestamp)):
self.account_service.on_trading_close(timestamp)
self.on_finish()
@classmethod
def get_constructor_meta(cls):
meta = super().get_constructor_meta()
meta.metas['security_type'] = marshal_object_for_ui(cls.security_type)
return meta
class Trader(Constructor):
logger = logging.getLogger(__name__)
def __init__(self,
security_list: List[str] = None,
security_type: Union[str, SecurityType] = SecurityType.stock,
exchanges: List[str] = ['sh', 'sz'],
codes: List[str] = None,
start_timestamp: Union[str, pd.Timestamp] = None,
end_timestamp: Union[str, pd.Timestamp] = None,
provider: Union[str, Provider] = Provider.JOINQUANT,
level: Union[str, TradingLevel] = TradingLevel.LEVEL_1DAY,
trader_name: str = None,
real_time: bool = False,
kdata_use_begin_time: bool = False) -> None:
if trader_name:
self.trader_name = trader_name
else:
self.trader_name = type(self).__name__.lower()
self.trading_signal_listeners = []
self.state_listeners = []
self.selectors: List[TargetSelector] = None
self.security_list = security_list
self.security_type = SecurityType(security_type)
self.exchanges = exchanges
self.codes = codes
self.provider = provider
# make sure the min level selector correspond to the provider and level
self.level = TradingLevel(level)
self.real_time = real_time
if start_timestamp and end_timestamp:
self.start_timestamp = to_pd_timestamp(start_timestamp)
self.end_timestamp = to_pd_timestamp(end_timestamp)
else:
assert False
if real_time:
logger.info(
'real_time mode, end_timestamp should be future,you could set it big enough for running forever'
)
assert self.end_timestamp >= now_pd_timestamp()
self.kdata_use_begin_time = kdata_use_begin_time
self.account_service = SimAccountService(
trader_name=self.trader_name,
timestamp=self.start_timestamp,
provider=self.provider,
level=self.level)
self.add_trading_signal_listener(self.account_service)
self.init_selectors(security_list=security_list,
security_type=self.security_type,
exchanges=self.exchanges,
codes=self.codes,
start_timestamp=self.start_timestamp,
end_timestamp=self.end_timestamp)
self.selectors_comparator = self.init_selectors_comparator()
self.trading_level_asc = list(
set([TradingLevel(selector.level) for selector in self.selectors]))
self.trading_level_asc.sort()
self.trading_level_desc = list(self.trading_level_asc)
self.trading_level_desc.reverse()
self.targets_slot: TargetsSlot = TargetsSlot()
def init_selectors(self, security_list, security_type, exchanges, codes,
start_timestamp, end_timestamp):
"""
implement this to init selectors
"""
raise NotImplementedError
def init_selectors_comparator(self):
"""
overwrite this to set selectors_comparator
"""
return LimitSelectorsComparator(self.selectors)
def add_trading_signal_listener(self, listener):
if listener not in self.trading_signal_listeners:
self.trading_signal_listeners.append(listener)
def remove_trading_signal_listener(self, listener):
if listener in self.trading_signal_listeners:
self.trading_signal_listeners.remove(listener)
def handle_targets_slot(self, timestamp):
"""
this function would be called in every cycle, you could overwrite it for your custom algorithm to select the
targets of different levels
the default implementation is selecting the targets in all levels
:param timestamp:
:type timestamp:
"""
selected = None
for level in self.trading_level_desc:
targets = self.targets_slot.get_targets(level=level)
if not targets:
targets = set()
if not selected:
selected = targets
else:
selected = selected & targets
if selected:
self.logger.debug('timestamp:{},selected:{}'.format(
timestamp, selected))
self.send_trading_signals(timestamp=timestamp, selected=selected)
def send_trading_signals(self, timestamp, selected):
# current position
account = self.account_service.latest_account
current_holdings = [
position['security_id'] for position in account['positions']
if position['available_long'] > 0
]
if selected:
# just long the security not in the positions
longed = selected - set(current_holdings)
if longed:
position_pct = 1.0 / len(longed)
order_money = account['cash'] * position_pct
for security_id in longed:
trading_signal = TradingSignal(
security_id=security_id,
the_timestamp=timestamp,
trading_signal_type=TradingSignalType.
trading_signal_open_long,
trading_level=self.level,
order_money=order_money)
for listener in self.trading_signal_listeners:
listener.on_trading_signal(trading_signal)
# just short the security not in the selected but in current_holdings
if selected:
shorted = set(current_holdings) - selected
else:
shorted = set(current_holdings)
for security_id in shorted:
trading_signal = TradingSignal(
security_id=security_id,
the_timestamp=timestamp,
trading_signal_type=TradingSignalType.
trading_signal_close_long,
position_pct=1.0,
trading_level=self.level)
for listener in self.trading_signal_listeners:
listener.on_trading_signal(trading_signal)
def on_finish(self):
# show the result
pass
def run(self):
# iterate timestamp of the min level,e.g,9:30,9:35,9.40...for 5min level
# timestamp represents the timestamp in kdata
for timestamp in iterate_timestamps(
security_type=self.security_type,
exchange=self.exchanges[0],
start_timestamp=self.start_timestamp,
end_timestamp=self.end_timestamp,
level=self.level):
if self.real_time:
# all selector move on to handle the coming data
if self.kdata_use_begin_time:
real_end_timestamp = timestamp + pd.Timedelta(
seconds=self.level.to_second())
else:
real_end_timestamp = timestamp
waiting_seconds, _ = self.level.count_from_timestamp(
real_end_timestamp,
one_day_trading_minutes=get_one_day_trading_minutes(
security_type=self.security_type))
# meaning the future kdata not ready yet,we could move on to check
if waiting_seconds and (waiting_seconds > 0):
# iterate the selector from min to max which in finished timestamp kdata
for level in self.trading_level_asc:
if (is_in_finished_timestamps(
security_type=self.security_type,
exchange=self.exchanges[0],
timestamp=timestamp,
level=level)):
for selector in self.selectors:
if selector.level == level:
selector.move_on(timestamp,
self.kdata_use_begin_time)
# on_trading_open to setup the account
if self.level == TradingLevel.LEVEL_1DAY or (
self.level != TradingLevel.LEVEL_1DAY
and is_open_time(security_type=self.security_type,
exchange=self.exchanges[0],
timestamp=timestamp)):
self.account_service.on_trading_open(timestamp)
# the time always move on by min level step and we could check all level targets in the slot
self.handle_targets_slot(timestamp=timestamp)
for level in self.trading_level_asc:
# in every cycle, all level selector do its job in its time
if (is_in_finished_timestamps(security_type=self.security_type,
exchange=self.exchanges[0],
timestamp=timestamp,
level=level)):
df = self.selectors_comparator.make_decision(
timestamp=timestamp, trading_level=level)
if not df.empty:
selected = set(df['security_id'].to_list())
else:
selected = {}
self.targets_slot.input_targets(level, selected)
# on_trading_close to calculate date account
if self.level == TradingLevel.LEVEL_1DAY or (
self.level != TradingLevel.LEVEL_1DAY
and is_close_time(security_type=self.security_type,
exchange=self.exchanges[0],
timestamp=timestamp)):
self.account_service.on_trading_close(timestamp)
self.on_finish()