class QAStrategyCTABase():
def __init__(self, code='rb1905', frequence='1min', strategy_id='QA_STRATEGY', risk_check_gap=1, portfolio='default',
start='2019-01-01', end='2019-10-21', init_cash=1000000, send_wx=False,
data_host=eventmq_ip, data_port=eventmq_port, data_user=eventmq_username, data_password=eventmq_password,
trade_host=eventmq_ip, trade_port=eventmq_port, trade_user=eventmq_username, trade_password=eventmq_password,
taskid=None, mongo_ip=mongo_ip, model= 'py'):
"""
code 可以传入单个标的 也可以传入一组标的(list)
会自动基于code来判断是什么市场
TODO: 支持多个市场同时存在
"""
self.trade_host = trade_host
self.code = code
self.frequence = frequence
self.strategy_id = strategy_id
self.portfolio = portfolio
self.data_host = data_host
self.data_port = data_port
self.data_user = data_user
self.data_password = data_password
self.trade_host = trade_host
self.trade_port = trade_port
self.trade_user = trade_user
self.trade_password = trade_password
self.start = start
self.end = end
self.init_cash = init_cash
self.taskid = taskid
self.running_time = ''
self.market_preset = QA.QAARP.MARKET_PRESET()
self._market_data = []
self.risk_check_gap = risk_check_gap
self.latest_price = {}
self.isupdate = False
self.model = model
self.new_data = {}
self._systemvar = {}
self._signal = []
self.send_wx = send_wx
if isinstance(self.code, str):
self.last_order_towards = {self.code: {'BUY': '', 'SELL': ''}}
else:
self.last_order_towards = dict(zip(self.code, [{'BUY': '', 'SELL': ''} for i in range(len(self.code))]))
self.dt = ''
if isinstance(self.code, str):
self.market_type = MARKET_TYPE.FUTURE_CN if re.search(
r'[a-zA-z]+', self.code) else MARKET_TYPE.STOCK_CN
else:
self.market_type = MARKET_TYPE.FUTURE_CN if re.search(
r'[a-zA-z]+', self.code[0]) else MARKET_TYPE.STOCK_CN
self.bar_order = {'BUY_OPEN': 0, 'SELL_OPEN': 0,
'BUY_CLOSE': 0, 'SELL_CLOSE': 0}
self._num_cached = 120
self._cached_data = []
self.user_init()
@property
def bar_id(self):
return len(self._market_data)
def _debug_sim(self):
self.running_mode = 'sim'
if self.frequence.endswith('min'):
if isinstance(self.code, str):
self._old_data = QA.QA_fetch_get_future_min('tdx', self.code.upper(), QA.QA_util_get_last_day(
QA.QA_util_get_real_date(str(datetime.date.today()))), str(datetime.datetime.now()), self.frequence)[:-1].set_index(['datetime', 'code'])
self._old_data = self._old_data.assign(volume=self._old_data.trade).loc[:, [
'open', 'high', 'low', 'close', 'volume']]
else:
self._old_data = pd.concat([QA.QA_fetch_get_future_min('tdx', item.upper(), QA.QA_util_get_last_day(
QA.QA_util_get_real_date(str(datetime.date.today()))), str(datetime.datetime.now()), self.frequence)[:-1].set_index(['datetime', 'code']) for item in self.code], sort=False)
self._old_data = self._old_data.assign(volume=self._old_data.trade).loc[:, [
'open', 'high', 'low', 'close', 'volume']]
else:
self._old_data = pd.DataFrame()
self.database = pymongo.MongoClient(mongo_ip).QAREALTIME
self.client = self.database.account
self.subscriber_client = self.database.subscribe
self.acc = QIFI_Account(
username=self.strategy_id, password=self.strategy_id, trade_host=mongo_ip, init_cash=self.init_cash)
self.acc.initial()
self.pub = publisher_routing(exchange='QAORDER_ROUTER', host=self.trade_host,
port=self.trade_port, user=self.trade_user, password=self.trade_password)
if isinstance(self.code, str):
self.subscribe_data(self.code.lower(), self.frequence, self.data_host,
self.data_port, self.data_user, self.data_password, self.model)
else:
self.subscribe_multi(self.code, self.frequence, self.data_host,
self.data_port, self.data_user, self.data_password, self.model)
print('start sim')
self.database.strategy_schedule.job_control.update(
{'strategy_id': self.strategy_id},
{'strategy_id': self.strategy_id, 'taskid': self.taskid,
'filepath': os.path.abspath(__file__), 'status': 200}, upsert=True)
def debug_sim(self):
self._debug_sim()
threading.Thread(target=self.sub.start, daemon=True).start()
def run_sim(self):
self._debug_sim()
self.sub.start()
def run_backtest(self):
self.debug()
self.acc.save()
risk = QA_Risk(self.acc)
risk.save()
try:
"""add rank flow if exist
QARank是我们内部用于评价策略ELO的库 此处并不影响正常使用
"""
from QARank import QA_Rank
QA_Rank(self.acc).send()
except:
pass
def user_init(self):
"""
用户自定义的init过程
"""
pass
def debug(self):
self.running_mode = 'backtest'
self.database = pymongo.MongoClient(mongo_ip).QUANTAXIS
user = QA_User(username="******", password='******')
port = user.new_portfolio(self.portfolio)
self.acc = port.new_accountpro(
account_cookie=self.strategy_id, init_cash=self.init_cash, market_type=self.market_type)
self.positions = self.acc.get_position(self.code)
print(self.acc)
print(self.acc.market_type)
data = QA.QA_quotation(self.code.upper(), self.start, self.end, source=QA.DATASOURCE.MONGO,
frequence=self.frequence, market=self.market_type, output=QA.OUTPUT_FORMAT.DATASTRUCT)
data.data.apply(self.x1, axis=1)
def x1(self,item):
# print(data)
self.latest_price[item.name[1]] = item['close']
if str(item.name[0])[0:10] != str(self.running_time)[0:10]:
self.on_dailyclose()
self.on_dailyopen()
if self.market_type == QA.MARKET_TYPE.STOCK_CN:
print('backtest: Settle!')
self.acc.settle()
self._on_1min_bar()
self._market_data.append(item)
self.running_time = str(item.name[0])
self.on_bar(item)
def debug_t0(self):
self.running_mode = 'backtest'
self.database = pymongo.MongoClient(mongo_ip).QUANTAXIS
user = QA_User(username="******", password='******')
port = user.new_portfolio(self.portfolio)
self.acc = port.new_accountpro(
account_cookie=self.strategy_id, init_cash=self.init_cash, init_hold={
self.code: 100000},
market_type=self.market_type, running_environment=RUNNING_ENVIRONMENT.TZERO)
self.positions = self.acc.get_position(self.code)
print(self.acc)
print(self.acc.market_type)
data = QA.QA_quotation(self.code.upper(), self.start, self.end, source=QA.DATASOURCE.MONGO,
frequence=self.frequence, market=self.market_type, output=QA.OUTPUT_FORMAT.DATASTRUCT)
def x1(item):
# print(data)
self.latest_price[item.name[1]] = item['close']
if str(item.name[0])[0:10] != str(self.running_time)[0:10]:
self.on_dailyclose()
for order in self.acc.close_positions_order:
order.trade('closebySys', order.price,
order.amount, order.datetime)
self.on_dailyopen()
if self.market_type == QA.MARKET_TYPE.STOCK_CN:
print('backtest: Settle!')
self.acc.settle()
self._on_1min_bar()
self._market_data.append(item)
self.running_time = str(item.name[0])
self.on_bar(item)
data.data.apply(x1, axis=1)
def debug_currenttick(self, freq):
data = QA.QA_fetch_get_future_transaction_realtime(
'tdx', self.code.upper())
self.running_mode = 'backtest'
self.database = pymongo.MongoClient(mongo_ip).QUANTAXIS
user = QA_User(username="******", password='******')
port = user.new_portfolio(self.portfolio)
self.strategy_id = self.strategy_id + 'currenttick_{}_{}'.format(str(datetime.date.today()), freq)
self.acc = port.new_accountpro(
account_cookie=self.strategy_id, init_cash=self.init_cash, market_type=self.market_type)
self.positions = self.acc.get_position(self.code)
data = data.assign(price=data.price/1000).loc[:, ['code', 'price', 'volume']].resample(
freq).apply({'code': 'last', 'price': 'ohlc', 'volume': 'sum'}).dropna()
data.columns = data.columns.droplevel(0)
data = data.reset_index().set_index(['datetime', 'code'])
def x1(item):
self.latest_price[item.name[1]] = item['close']
if str(item.name[0])[0:10] != str(self.running_time)[0:10]:
self.on_dailyclose()
self.on_dailyopen()
self._on_1min_bar()
self._market_data.append(item)
self.running_time = str(item.name[0])
self.on_bar(item)
data.apply(x1, axis=1)
def debug_histick(self, freq):
data = QA.QA_fetch_get_future_transaction(
'tdx', self.code.upper(), self.start, self.end)
self.running_mode = 'backtest'
self.database = pymongo.MongoClient(mongo_ip).QUANTAXIS
user = QA_User(username="******", password='******')
port = user.new_portfolio(self.portfolio)
self.strategy_id = self.strategy_id + 'histick_{}_{}_{}'.format(self.start, self.end, freq)
self.acc = port.new_accountpro(
account_cookie=self.strategy_id, init_cash=self.init_cash, market_type=self.market_type)
self.positions = self.acc.get_position(self.code)
data = data.assign(price=data.price/1000).loc[:, ['code', 'price', 'volume']].resample(
freq).apply({'code': 'last', 'price': 'ohlc', 'volume': 'sum'}).dropna()
data.columns = data.columns.droplevel(0)
data = data.reset_index().set_index(['datetime', 'code'])
def x1(item):
self.latest_price[item.name[1]] = item['close']
if str(item.name[0])[0:10] != str(self.running_time)[0:10]:
self.on_dailyclose()
self.on_dailyopen()
self._on_1min_bar()
self._market_data.append(item)
self.running_time = str(item.name[0])
self.on_bar(item)
data.apply(x1, axis=1)
def subscribe_data(self, code, frequence, data_host, data_port, data_user, data_password, model='py'):
"""[summary]
Arguments:
code {[type]} -- [description]
frequence {[type]} -- [description]
"""
if frequence.endswith('min'):
if model == 'py':
self.sub = subscriber(exchange='realtime_{}_{}'.format(
frequence, code), host=data_host, port=data_port, user=data_user, password=data_password)
elif model == 'rust':
self.sub = subscriber_routing(exchange='realtime_{}'.format(
code), routing_key = frequence, host=data_host, port=data_port, user=data_user, password=data_password)
self.sub.callback = self.callback
elif frequence.endswith('s'):
import re
self._num_cached = 2*int(re.findall(r'\d+',self.frequence)[0])
self.sub = subscriber_routing(exchange='CTPX', routing_key=code, host=data_host, port=data_port, user=data_user, password=data_password)
self.sub.callback = self.second_callback
elif frequence.endswith('tick'):
self._num_cached = 1
self.sub = subscriber_routing(exchange='CTPX', routing_key=code, host=data_host, port=data_port, user=data_user, password=data_password)
self.sub.callback = self.tick_callback
def subscribe_multi(self, codelist, frequence, data_host, data_port, data_user, data_password, model='py'):
if frequence.endswith('min'):
if model == 'rust':
self.sub = subscriber_routing(exchange='realtime_{}'.format(
codelist[0]), routing_key=frequence, host=data_host, port=data_port, user=data_user, password=data_password)
for item in codelist[1:]:
self.sub.add_sub(exchange='realtime_{}'.format(
item), routing_key=frequence)
elif model == 'py':
self.sub = subscriber_routing(exchange='realtime_{}'.format(
codelist[0].lower()), routing_key=frequence, host=data_host, port=data_port, user=data_user, password=data_password)
for item in codelist[1:]:
print(item)
self.sub.add_sub(exchange='realtime_{}'.format(
item.lower()), routing_key=frequence)
self.sub.callback = self.callback
elif frequence.endswith('tick'):
self._num_cached = 1
self.sub = subscriber_routing(exchange='CTPX', routing_key=codelist[0].lower(), host=data_host, port=data_port, user=data_user, password=data_password)
for item in codelist[1:]:
print(item)
self.sub.add_sub(exchange='CTPX', routing_key=item.lower())
self.sub.callback = self.tick_callback
@property
def old_data(self):
return self._old_data
def update(self):
"""
此处是切换bar的时候的节点
"""
self._old_data = self._market_data
self._on_1min_bar()
@property
def market_datetime(self):
return self.market_data.index.levels[0]
@property
def market_data(self):
if self.running_mode == 'sim':
return self._market_data
elif self.running_mode == 'backtest':
return pd.concat(self._market_data[-100:], axis=1, sort=False).T
def force_close(self):
# 强平
if self.positions.volume_long > 0:
self.send_order('SELL', 'CLOSE', price=self.positions.last_price,
volume=self.positions.volume_long)
if self.positions.volume_short > 0:
self.send_order('BUY', 'CLOSE', price=self.positions.last_price,
volume=self.positions.volume_short)
def upcoming_data(self, new_bar):
"""upcoming_bar :
Arguments:
new_bar {pd.DataFrame} -- [description]
"""
code = new_bar.index.levels[1][0]
if len(self._old_data)> 0:
self._market_data = pd.concat([self._old_data, new_bar], sort=False)
else:
self._market_data = new_bar
#QA.QA_util_log_info(self._market_data)
if self.isupdate:
self.update()
self.isupdate = False
self.update_account()
if isinstance(self.code, str):
self.positions.on_price_change(float(self.latest_price[code]))
else:
for item in self.code:
self.acc.get_position(item).on_price_change(float(self.latest_price[code]))
self.on_bar(json.loads(new_bar.reset_index().to_json(orient='records'))[0])
def ind2str(self, ind, ind_type):
z = ind.tail(1).reset_index().to_dict(orient='records')[0]
return json.dumps({'topic': ind_type, 'code': self.code, 'type': self.frequence, 'data': z})
def second_callback(self, a, b, c, body):
"""在strategy的callback中,我们需要的是
1. 更新数据
2. 更新bar
3. 更新策略状态
4. 推送事件
Arguments:
a {[type]} -- [description]
b {[type]} -- [description]
c {[type]} -- [description]
body {[type]} -- [description]
second ==> 2*second tick
b'{"ask_price_1": 4145.0, "ask_price_2": 0, "ask_price_3": 0, "ask_price_4": 0, "ask_price_5": 0,
"ask_volume_1": 69, "ask_volume_2": 0, "ask_volume_3": 0, "ask_volume_4": 0, "ask_volume_5": 0,
"average_price": 61958.14258714826,
"bid_price_1": 4143.0, "bid_price_2": 0, "bid_price_3": 0, "bid_price_4": 0, "bid_price_5": 0,
"bid_volume_1": 30, "bid_volume_2": 0, "bid_volume_3": 0, "bid_volume_4": 0, "bid_volume_5": 0,
"datetime": "2019-11-20 01:57:08", "exchange": "SHFE", "gateway_name": "ctp",
"high_price": 4152.0, "last_price": 4144.0, "last_volume": 0,
"limit_down": 3872.0, "limit_up": 4367.0, "local_symbol": "ag1912.SHFE",
"low_price": 4105.0, "name": "", "open_interest": 277912.0, "open_price": 4140.0,
"preSettlementPrice": 4120.0, "pre_close": 4155.0,
"symbol": "ag1912",
"volume": 114288}'
tick 会基于热数据的量 self._num_cached 来判断更新/重采样
"""
self.new_data = json.loads(str(body, encoding='utf-8'))
self._cached_data.append(self.new_data)
self.latest_price[self.code] = self.new_data['last_price']
# if len(self._cached_data) == self._num_cached:
# self.isupdate = True
if len(self._cached_data) > 3*self._num_cached:
# 控制缓存数据量
self._cached_data = self._cached_data[self._num_cached:]
data= pd.DataFrame(self._cached_data).loc[:,['datetime','last_price', 'volume']]
data = data.assign(datetime= pd.to_datetime(data.datetime)).set_index('datetime').resample(
self.frequence).apply({'last_price': 'ohlc', 'volume': 'last'}).dropna()
data.columns = data.columns.droplevel(0)
data = data.assign(volume=data.volume.diff(), code=self.code)
data = data.reset_index().set_index(['datetime', 'code'])
self.acc.on_price_change(self.code, self.latest_price[self.code])
# .loc[:, ['open', 'high', 'low', 'close', 'volume', 'tradetime']]
now = datetime.datetime.now()
if now.hour == 20 and now.minute == 59 and now.second < 10:
self.daily_func()
time.sleep(10)
self.running_time = self.new_data['datetime']
#print(data.iloc[-1].index[0])
if self.dt != data.index[-1][0]:
self.isupdate = True
self.dt = data.index[-1][0]
self.upcoming_data(data.tail(1))
def tick_callback(self, a, b, c, body):
self.new_data = json.loads(str(body, encoding='utf-8'))
self.on_tick(self.new_data)
def get_code_marketdata(self, code):
return self.market_data.loc[(slice(None), code), :]
def get_current_marketdata(self):
return self.market_data.loc[(self.running_time, slice(None)), :]
def callback(self, a, b, c, body):
"""在strategy的callback中,我们需要的是
1. 更新数据
2. 更新bar
3. 更新策略状态
4. 推送事件
Arguments:
a {[type]} -- [description]
b {[type]} -- [description]
c {[type]} -- [description]
body {[type]} -- [description]
"""
self.new_data = json.loads(str(body, encoding='utf-8'))
#print(self.new_data)
self.latest_price[self.new_data['code']] = self.new_data['close']
if self.dt != str(self.new_data['datetime'])[0:16]:
# [0:16]是分钟线位数
print('update!!!!!!!!!!!!')
self.dt = str(self.new_data['datetime'])[0:16]
self.isupdate = True
self.acc.on_price_change(self.new_data['code'], self.new_data['close'])
# .loc[:, ['open', 'high', 'low', 'close', 'volume', 'tradetime']]
bar = pd.DataFrame([self.new_data]).set_index(['datetime', 'code'])
now = datetime.datetime.now()
if now.hour == 20 and now.minute == 59 and now.second < 10:
self.daily_func()
time.sleep(10)
# res = self.job_control.find_one(
# {'strategy_id': self.strategy_id, 'strategy_id': self.strategy_id})
# self.control_status(res)
self.running_time = self.new_data['datetime']
print('send to upcoming data')
self.upcoming_data(bar)
def control_status(self, res):
print(res)
def add_subscriber(self, qaproid):
"""Add a subscriber
增加订阅者的QAPRO_ID
"""
self.subscriber_client.insert_one(
{'strategy_id': self.strategy_id, 'user_id': qaproid})
@property
def subscriber_list(self):
"""订阅者
Returns:
[type] -- [description]
"""
return list(set([item['user_id'] for item in self.subscriber_client.find({'strategy_id': self.strategy_id})]))
def load_strategy(self):
raise NotImplementedError
def on_dailyopen(self):
pass
def on_dailyclose(self):
pass
def on_bar(self, bar):
raise NotImplementedError
def on_tick(self, tick):
raise NotImplementedError
def _on_1min_bar(self):
#raise NotImplementedError
if len(self._systemvar.keys()) > 0:
self._signal.append(copy.deepcopy(self._systemvar))
try:
self.on_1min_bar()
except:
pass
def on_1min_bar(self):
raise NotImplementedError
def on_5min_bar(self):
raise NotImplementedError
def on_15min_bar(self):
raise NotImplementedError
def on_30min_bar(self):
raise NotImplementedError
def order_handler(self):
self._orders = {}
def daily_func(self):
QA.QA_util_log_info('DAILY FUNC')
def risk_check(self):
pass
def plot(self, name, data, format):
""" plot是可以存储你的临时信息的接口, 后期会接入可视化
Arguments:
name {[type]} -- [description]
data {[type]} -- [description]
format {[type]} -- [description]
"""
self._systemvar[name] = {'datetime': copy.deepcopy(str(
self.running_time)), 'value': data, 'format': format}
def get_code(self):
if isinstance(self.code, str):
return self.code
else:
return self.code[0]
def check_order(self, direction, offset, code= None):
"""[summary]
同方向不开仓 只对期货市场做限制
buy - open
sell - close
"""
if code == None:
code = self.get_code()
if self.market_type == QA.MARKET_TYPE.FUTURE_CN:
if self.last_order_towards[code][direction] == str(offset):
return False
else:
return True
else:
return True
def on_ordererror(self, direction, offset, price, volume):
print('order Error ')
def receive_simpledeal(self,
code: str,
trade_time,
trade_amount,
direction,
offset,
trade_price,
message='sell_open'):
self.send_order(direction=direction, offset=offset,
volume=trade_amount, price=trade_price, order_id=QA.QA_util_random_with_topic(self.strategy_id))
def send_order(self, direction='BUY', offset='OPEN', price=3925, volume=10, order_id='', code = None):
if code == None:
code = self.get_code()
towards = eval('ORDER_DIRECTION.{}_{}'.format(direction, offset))
order_id = str(uuid.uuid4()) if order_id == '' else order_id
if isinstance(price, float):
pass
elif isinstance(price, pd.Series):
price = price.values[0]
if self.running_mode == 'sim':
# 在此处拦截无法下单的订单
if (direction == 'BUY' and self.latest_price[code] <= price) or (direction == 'SELL' and self.latest_price[code] >= price):
QA.QA_util_log_info(
'============ {} SEND ORDER =================='.format(order_id))
QA.QA_util_log_info('direction{} offset {} price{} volume{}'.format(
direction, offset, price, volume))
if self.check_order(direction, offset, code=code):
#self.last_order_towards = {'BUY': '', 'SELL': ''}
self.last_order_towards[code][direction] = offset
now = str(datetime.datetime.now())
order = self.acc.send_order(
code=code, towards=towards, price=price, amount=volume, order_id=order_id)
print(order)
order['topic'] = 'send_order'
self.pub.pub(
json.dumps(order), routing_key=self.strategy_id)
self.acc.make_deal(order)
self.bar_order['{}_{}'.format(
direction, offset)] = self.bar_id
if self.send_wx:
for user in self.subscriber_list:
QA.QA_util_log_info(self.subscriber_list)
try:
requests.post('http://www.yutiansut.com/signal?user_id={}&template={}&strategy_id={}&realaccount={}&code={}&order_direction={}&order_offset={}&price={}&volume={}&order_time={}'.format(
user, "xiadan_report", self.strategy_id, self.acc.user_id, code.lower(), direction, offset, price, volume, now))
except Exception as e:
QA.QA_util_log_info(e)
else:
QA.QA_util_log_info('failed in ORDER_CHECK')
else:
self.on_ordererror(direction, offset, price, volume)
elif self.running_mode == 'backtest':
self.bar_order['{}_{}'.format(direction, offset)] = self.bar_id
if self.market_type == 'stock_cn':
order = self.acc.send_order(
code=self.code, amount=volume, time=self.running_time, towards=towards, price=price)
order.trade(order.order_id, order.price,
order.amount, order.datetime)
else:
self.acc.receive_simpledeal(
code=self.code, trade_time=self.running_time, trade_towards=towards, trade_amount=volume, trade_price=price, order_id=order_id, realorder_id=order_id, trade_id=order_id)
self.positions = self.acc.get_position(self.code)
def update_account(self):
if self.running_mode == 'sim':
QA.QA_util_log_info('{} UPDATE ACCOUNT'.format(
str(datetime.datetime.now())))
self.accounts = self.acc.account_msg
self.orders = self.acc.orders
if isinstance(self.code, str):
self.positions = self.acc.get_position(self.code)
else:
pass
self.trades = self.acc.trades
self.updatetime = self.acc.dtstr
elif self.running_mode == 'backtest':
self.positions = self.acc.get_position(self.code)
def get_exchange(self, code):
return self.market_preset.get_exchange(code)
def get_positions(self, code):
if self.running_mode == 'sim':
self.update_account()
return self.acc.get_position(code)
elif self.running_mode == 'backtest':
return self.acc.get_position(code)
def get_cash(self):
if self.running_mode == 'sim':
self.update_account()
return self.accounts.get('available', '')
elif self.running_mode == 'backtest':
return self.acc.cash_available
def run(self):
while True:
time.sleep(self.risk_check_gap)
self.risk_check()
class QAStrategyStockBase(QAStrategyCTABase):
def __init__(self,
code=['000001'],
frequence='1min',
strategy_id='QA_STRATEGY',
risk_check_gap=1,
portfolio='default',
start='2019-01-01',
end='2019-10-21',
send_wx=False,
market_type='stock_cn',
data_host=eventmq_ip,
data_port=eventmq_port,
data_user=eventmq_username,
data_password=eventmq_password,
trade_host=eventmq_ip,
trade_port=eventmq_port,
trade_user=eventmq_username,
trade_password=eventmq_password,
taskid=None,
mongo_ip=mongo_ip):
super().__init__(code=code,
frequence=frequence,
strategy_id=strategy_id,
risk_check_gap=risk_check_gap,
portfolio=portfolio,
start=start,
end=end,
send_wx=send_wx,
data_host=eventmq_ip,
data_port=eventmq_port,
data_user=eventmq_username,
data_password=eventmq_password,
trade_host=eventmq_ip,
trade_port=eventmq_port,
trade_user=eventmq_username,
trade_password=eventmq_password,
taskid=taskid,
mongo_ip=mongo_ip)
self.code = code
self.send_wx = send_wx
def subscribe_data(self, code, frequence, data_host, data_port, data_user,
data_password):
"""[summary]
Arguments:
code {[type]} -- [description]
frequence {[type]} -- [description]
"""
self.sub = subscriber_topic(
exchange='realtime_stock_{}'.format(frequence),
host=data_host,
port=data_port,
user=data_user,
password=data_password,
routing_key='')
for item in code:
self.sub.add_sub(exchange='realtime_stock_{}'.format(frequence),
routing_key=item)
self.sub.callback = self.callback
def upcoming_data(self, new_bar):
"""upcoming_bar :
Arguments:
new_bar {json} -- [description]
"""
self._market_data = pd.concat([self._old_data, new_bar])
# QA.QA_util_log_info(self._market_data)
if self.isupdate:
self.update()
self.isupdate = False
self.update_account()
# self.positions.on_price_change(float(new_bar['close']))
self.on_bar(new_bar)
def ind2str(self, ind, ind_type):
z = ind.tail(1).reset_index().to_dict(orient='records')[0]
return json.dumps({
'topic': ind_type,
'code': self.code,
'type': self.frequence,
'data': z
})
def callback(self, a, b, c, body):
"""在strategy的callback中,我们需要的是
1. 更新数据
2. 更新bar
3. 更新策略状态
4. 推送事件
Arguments:
a {[type]} -- [description]
b {[type]} -- [description]
c {[type]} -- [description]
body {[type]} -- [description]
"""
self.new_data = json.loads(str(body, encoding='utf-8'))
self.latest_price[self.new_data['code']] = self.new_data['close']
self.running_time = self.new_data['datetime']
if self.dt != str(self.new_data['datetime'])[0:16]:
# [0:16]是分钟线位数
print('update!!!!!!!!!!!!')
self.dt = str(self.new_data['datetime'])[0:16]
self.isupdate = True
self.acc.on_price_change(self.new_data['code'], self.new_data['close'])
bar = pd.DataFrame([self.new_data]).set_index(
['datetime',
'code']).loc[:, ['open', 'high', 'low', 'close', 'volume']]
self.upcoming_data(bar)
def _debug_sim(self):
self.running_mode = 'sim'
self._old_data = QA.QA_fetch_stock_min(
self.code,
QA.QA_util_get_last_day(
QA.QA_util_get_real_date(str(datetime.date.today()))),
str(datetime.datetime.now()),
format='pd',
frequence=self.frequence).set_index(['datetime', 'code'])
self._old_data = self._old_data.loc[:, [
'open', 'high', 'low', 'close', 'volume'
]]
self.database = pymongo.MongoClient(mongo_ip).QAREALTIME
self.client = self.database.account
self.subscriber_client = self.database.subscribe
self.acc = QIFI_Account(username=self.strategy_id,
password=self.strategy_id,
trade_host=mongo_ip)
self.acc.initial()
self.pub = publisher_routing(exchange='QAORDER_ROUTER',
host=self.trade_host,
port=self.trade_port,
user=self.trade_user,
password=self.trade_password)
self.subscribe_data(self.code, self.frequence, self.data_host,
self.data_port, self.data_user, self.data_password)
self.database.strategy_schedule.job_control.update(
{'strategy_id': self.strategy_id}, {
'strategy_id': self.strategy_id,
'taskid': self.taskid,
'filepath': os.path.abspath(__file__),
'status': 200
},
upsert=True)
# threading.Thread(target=, daemon=True).start()
self.sub.start()
def run(self):
while True:
pass
def debug(self):
self.running_mode = 'backtest'
self.database = pymongo.MongoClient(mongo_ip).QUANTAXIS
user = QA_User(username="******", password='******')
port = user.new_portfolio(self.portfolio)
self.acc = port.new_accountpro(account_cookie=self.strategy_id,
init_cash=self.init_cash,
market_type=self.market_type,
frequence=self.frequence)
#self.positions = self.acc.get_position(self.code)
print(self.acc)
print(self.acc.market_type)
data = QA.QA_quotation(self.code,
self.start,
self.end,
source=QA.DATASOURCE.MONGO,
frequence=self.frequence,
market=self.market_type,
output=QA.OUTPUT_FORMAT.DATASTRUCT)
data.data.apply(self.x1, axis=1)
def update_account(self):
if self.running_mode == 'sim':
QA.QA_util_log_info('{} UPDATE ACCOUNT'.format(
str(datetime.datetime.now())))
self.accounts = self.acc.account_msg
self.orders = self.acc.orders
self.positions = self.acc.positions
self.trades = self.acc.trades
self.updatetime = self.acc.dtstr
elif self.running_mode == 'backtest':
#self.positions = self.acc.get_position(self.code)
self.positions = self.acc.positions
def send_order(
self,
direction='BUY',
offset='OPEN',
code=None,
price=3925,
volume=10,
order_id='',
):
towards = eval('ORDER_DIRECTION.{}_{}'.format(direction, offset))
order_id = str(uuid.uuid4()) if order_id == '' else order_id
if self.market_type == QA.MARKET_TYPE.STOCK_CN:
"""
在此对于股票的部分做一些转换
"""
if towards == ORDER_DIRECTION.SELL_CLOSE:
towards = ORDER_DIRECTION.SELL
elif towards == ORDER_DIRECTION.BUY_OPEN:
towards = ORDER_DIRECTION.BUY
if isinstance(price, float):
pass
elif isinstance(price, pd.Series):
price = price.values[0]
if self.running_mode == 'sim':
QA.QA_util_log_info(
'============ {} SEND ORDER =================='.format(
order_id))
QA.QA_util_log_info(
'direction{} offset {} price{} volume{}'.format(
direction, offset, price, volume))
if self.check_order(direction, offset):
self.last_order_towards = {'BUY': '', 'SELL': ''}
self.last_order_towards[direction] = offset
now = str(datetime.datetime.now())
order = self.acc.send_order(code=code,
towards=towards,
price=price,
amount=volume,
order_id=order_id)
order['topic'] = 'send_order'
self.pub.pub(json.dumps(order), routing_key=self.strategy_id)
self.acc.make_deal(order)
self.bar_order['{}_{}'.format(direction, offset)] = self.bar_id
if self.send_wx:
for user in self.subscriber_list:
QA.QA_util_log_info(self.subscriber_list)
try:
"oL-C4w2WlfyZ1vHSAHLXb2gvqiMI"
"""http://www.yutiansut.com/signal?user_id=oL-C4w1HjuPRqTIRcZUyYR0QcLzo&template=xiadan_report&\
strategy_id=test1&realaccount=133496&code=rb1910&order_direction=BUY&\
order_offset=OPEN&price=3600&volume=1&order_time=20190909
"""
requests.post(
'http://www.yutiansut.com/signal?user_id={}&template={}&strategy_id={}&realaccount={}&code={}&order_direction={}&order_offset={}&price={}&volume={}&order_time={}'
.format(user, "xiadan_report",
self.strategy_id, self.acc.user_id,
code, direction, offset, price, volume,
now))
except Exception as e:
QA.QA_util_log_info(e)
else:
QA.QA_util_log_info('failed in ORDER_CHECK')
elif self.running_mode == 'backtest':
self.bar_order['{}_{}'.format(direction, offset)] = self.bar_id
self.acc.receive_simpledeal(code=code,
trade_time=self.running_time,
trade_towards=towards,
trade_amount=volume,
trade_price=price,
order_id=order_id)
class QAStrategyCTABase():
def __init__(self,
code='rb1905',
frequence='1min',
strategy_id='QA_STRATEGY',
risk_check_gap=1,
portfolio='default',
start='2019-01-01',
end='2019-10-21',
init_cash=1000000,
send_wx=False,
data_host=eventmq_ip,
data_port=eventmq_port,
data_user=eventmq_username,
data_password=eventmq_password,
trade_host=eventmq_ip,
trade_port=eventmq_port,
trade_user=eventmq_username,
trade_password=eventmq_password,
taskid=None,
mongo_ip=mongo_ip):
self.trade_host = trade_host
self.code = code
self.frequence = frequence
self.strategy_id = strategy_id
self.portfolio = portfolio
self.data_host = data_host
self.data_port = data_port
self.data_user = data_user
self.data_password = data_password
self.trade_host = trade_host
self.trade_port = trade_port
self.trade_user = trade_user
self.trade_password = trade_password
self.start = start
self.end = end
self.init_cash = init_cash
self.taskid = taskid
self.running_time = ''
self.market_preset = QA.QAARP.MARKET_PRESET()
self._market_data = []
self.risk_check_gap = risk_check_gap
self.isupdate = False
self.new_data = {}
self._systemvar = {}
self._signal = []
self.send_wx = send_wx
self.last_order_towards = {'BUY': '', 'SELL': ''}
self.dt = ''
if isinstance(self.code, str):
self.market_type = MARKET_TYPE.FUTURE_CN if re.search(
r'[a-zA-z]+', self.code) else MARKET_TYPE.STOCK_CN
else:
self.market_type = MARKET_TYPE.FUTURE_CN if re.search(
r'[a-zA-z]+', self.code[0]) else MARKET_TYPE.STOCK_CN
self.bar_order = {
'BUY_OPEN': 0,
'SELL_OPEN': 0,
'BUY_CLOSE': 0,
'SELL_CLOSE': 0
}
@property
def bar_id(self):
return len(self._market_data)
def _debug_sim(self):
self.running_mode = 'sim'
if self.frequence.endswith('min'):
self._old_data = QA.QA_fetch_get_future_min(
'tdx', self.code.upper(),
QA.QA_util_get_last_day(
QA.QA_util_get_real_date(str(datetime.date.today()))),
str(datetime.datetime.now()),
self.frequence)[:-1].set_index(['datetime', 'code'])
self._old_data = self._old_data.assign(
volume=self._old_data.trade
).loc[:, ['open', 'high', 'low', 'close', 'volume']]
else:
pass
self.database = pymongo.MongoClient(mongo_ip).QAREALTIME
self.client = self.database.account
self.subscriber_client = self.database.subscribe
self.acc = QIFI_Account(username=self.strategy_id,
password=self.strategy_id,
trade_host=mongo_ip,
init_cash=self.init_cash)
self.acc.initial()
self.pub = publisher_routing(exchange='QAORDER_ROUTER',
host=self.trade_host,
port=self.trade_port,
user=self.trade_user,
password=self.trade_password)
self.subscribe_data(self.code.lower(), self.frequence, self.data_host,
self.data_port, self.data_user, self.data_password)
self.database.strategy_schedule.job_control.update(
{'strategy_id': self.strategy_id}, {
'strategy_id': self.strategy_id,
'taskid': self.taskid,
'filepath': os.path.abspath(__file__),
'status': 200
},
upsert=True)
def debug_sim(self):
self._debug_sim()
threading.Thread(target=self.sub.start, daemon=True).start()
def run_sim(self):
self._debug_sim()
self.sub.start()
def run_backtest(self):
self.debug()
self.acc.save()
risk = QA_Risk(self.acc)
risk.save()
try:
"""add rank flow if exist
QARank是我们内部用于评价策略ELO的库 此处并不影响正常使用
"""
from QARank import QA_Rank
QA_Rank(self.acc).send()
except:
pass
def debug(self):
self.running_mode = 'backtest'
self.database = pymongo.MongoClient(mongo_ip).QUANTAXIS
user = QA_User(username="******", password='******')
port = user.new_portfolio(self.portfolio)
self.acc = port.new_accountpro(account_cookie=self.strategy_id,
init_cash=self.init_cash,
market_type=self.market_type)
self.positions = self.acc.get_position(self.code)
print(self.acc)
print(self.acc.market_type)
data = QA.QA_quotation(self.code.upper(),
self.start,
self.end,
source=QA.DATASOURCE.MONGO,
frequence=self.frequence,
market=self.market_type,
output=QA.OUTPUT_FORMAT.DATASTRUCT)
def x1(item):
# print(data)
if str(item.name[0])[0:10] != str(self.running_time)[0:10]:
self.on_dailyclose()
self.on_dailyopen()
if self.market_type == QA.MARKET_TYPE.STOCK_CN:
print('backtest: Settle!')
self.acc.settle()
self._on_1min_bar()
self._market_data.append(item)
self.running_time = str(item.name[0])
self.on_bar(item)
data.data.apply(x1, axis=1)
def subscribe_data(self, code, frequence, data_host, data_port, data_user,
data_password):
"""[summary]
Arguments:
code {[type]} -- [description]
frequence {[type]} -- [description]
"""
self.sub = subscriber(exchange='realtime_{}_{}'.format(
frequence, code),
host=data_host,
port=data_port,
user=data_user,
password=data_password)
self.sub.callback = self.callback
def subscribe_multi(self, codelist, frequence, data_host, data_port,
data_user, data_password):
self.sub = subscriber_topic(exchange='realtime_{}'.format(frequence),
host=data_host,
port=data_port,
user=data_user,
password=data_password)
for item in codelist:
self.sub.add_sub(exchange='realtime_{}'.format(frequence),
routing_key=item)
self.sub.callback = self.callback
@property
def old_data(self):
return self._old_data
def update(self):
"""
此处是切换bar的时候的节点
"""
self._old_data = self._market_data
self._on_1min_bar()
@property
def market_datetime(self):
return self.market_data.index.levels[0]
@property
def market_data(self):
if self.running_mode == 'sim':
return self._market_data
elif self.running_mode == 'backtest':
return pd.concat(self._market_data[-100:], axis=1, sort=False).T
def force_close(self):
# 强平
if self.positions.volume_long > 0:
self.send_order('SELL',
'CLOSE',
price=self.positions.last_price,
volume=self.positions.volume_long)
if self.positions.volume_short > 0:
self.send_order('BUY',
'CLOSE',
price=self.positions.last_price,
volume=self.positions.volume_short)
def upcoming_data(self, new_bar):
"""upcoming_bar :
Arguments:
new_bar {json} -- [description]
"""
self._market_data = pd.concat([self._old_data, new_bar])
# QA.QA_util_log_info(self._market_data)
if self.isupdate:
self.update()
self.isupdate = False
self.update_account()
self.positions.on_price_change(float(self.new_data['close']))
self.on_bar(self.new_data)
def ind2str(self, ind, ind_type):
z = ind.tail(1).reset_index().to_dict(orient='records')[0]
return json.dumps({
'topic': ind_type,
'code': self.code,
'type': self.frequence,
'data': z
})
def callback(self, a, b, c, body):
"""在strategy的callback中,我们需要的是
1. 更新数据
2. 更新bar
3. 更新策略状态
4. 推送事件
Arguments:
a {[type]} -- [description]
b {[type]} -- [description]
c {[type]} -- [description]
body {[type]} -- [description]
"""
self.new_data = json.loads(str(body, encoding='utf-8'))
if self.dt != str(self.new_data['datetime'])[0:16]:
print('update!!!!!!!!!!!!')
self.dt = str(self.new_data['datetime'])[0:16]
self.isupdate = True
self.acc.on_price_change(self.code, self.new_data['close'])
# .loc[:, ['open', 'high', 'low', 'close', 'volume', 'tradetime']]
bar = pd.DataFrame([self.new_data]).set_index(['datetime', 'code'])
now = datetime.datetime.now()
if now.hour == 20 and now.minute == 59 and now.second < 10:
self.daily_func()
time.sleep(10)
# res = self.job_control.find_one(
# {'strategy_id': self.strategy_id, 'strategy_id': self.strategy_id})
# self.control_status(res)
self.running_time = self.new_data['datetime']
self.upcoming_data(bar)
def control_status(self, res):
print(res)
def add_subscriber(self, qaproid):
"""Add a subscriber
增加订阅者的QAPRO_ID
"""
self.subscriber_client.insert_one({
'strategy_id': self.strategy_id,
'user_id': qaproid
})
@property
def subscriber_list(self):
"""订阅者
Returns:
[type] -- [description]
"""
return list(
set([
item['user_id'] for item in self.subscriber_client.find(
{'strategy_id': self.strategy_id})
]))
def load_strategy(self):
raise NotImplementedError
def on_dailyopen(self):
pass
def on_dailyclose(self):
pass
def on_bar(self, bar):
raise NotImplementedError
def _on_1min_bar(self):
#raise NotImplementedError
if len(self._systemvar.keys()) > 0:
self._signal.append(copy.deepcopy(self._systemvar))
def on_1min_bar(self):
raise NotImplementedError
def on_5min_bar(self):
raise NotImplementedError
def on_15min_bar(self):
raise NotImplementedError
def on_30min_bar(self):
raise NotImplementedError
def order_handler(self):
self._orders = {}
def daily_func(self):
QA.QA_util_log_info('DAILY FUNC')
def risk_check(self):
pass
def plot(self, name, data, format):
""" plot是可以存储你的临时信息的接口, 后期会接入可视化
Arguments:
name {[type]} -- [description]
data {[type]} -- [description]
format {[type]} -- [description]
"""
self._systemvar[name] = {
'datetime': copy.deepcopy(str(self.running_time)),
'value': data,
'format': format
}
def check_order(self, direction, offset):
"""[summary]
同方向不开仓 只对期货市场做限制
buy - open
sell - close
"""
if self.market_type == QA.MARKET_TYPE.FUTURE_CN:
if self.last_order_towards[direction] == str(offset):
return False
else:
return True
else:
return True
def receive_simpledeal(self,
code: str,
trade_time,
trade_amount,
direction,
offset,
trade_price,
message='sell_open'):
self.send_order(direction=direction,
offset=offset,
volume=trade_amount,
price=trade_price,
order_id=QA.QA_util_random_with_topic(
self.strategy_id))
def send_order(
self,
direction='BUY',
offset='OPEN',
price=3925,
volume=10,
order_id='',
):
towards = eval('ORDER_DIRECTION.{}_{}'.format(direction, offset))
order_id = str(uuid.uuid4()) if order_id == '' else order_id
if isinstance(price, float):
pass
elif isinstance(price, pd.Series):
price = price.values[0]
if self.running_mode == 'sim':
QA.QA_util_log_info(
'============ {} SEND ORDER =================='.format(
order_id))
QA.QA_util_log_info(
'direction{} offset {} price{} volume{}'.format(
direction, offset, price, volume))
if self.check_order(direction, offset):
self.last_order_towards = {'BUY': '', 'SELL': ''}
self.last_order_towards[direction] = offset
now = str(datetime.datetime.now())
order = self.acc.send_order(code=self.code,
towards=towards,
price=price,
amount=volume,
order_id=order_id)
order['topic'] = 'send_order'
self.pub.pub(json.dumps(order), routing_key=self.strategy_id)
self.acc.make_deal(order)
self.bar_order['{}_{}'.format(direction, offset)] = self.bar_id
if self.send_wx:
for user in self.subscriber_list:
QA.QA_util_log_info(self.subscriber_list)
try:
"oL-C4w2WlfyZ1vHSAHLXb2gvqiMI"
"""http://www.yutiansut.com/signal?user_id=oL-C4w1HjuPRqTIRcZUyYR0QcLzo&template=xiadan_report&\
strategy_id=test1&realaccount=133496&code=rb1910&order_direction=BUY&\
order_offset=OPEN&price=3600&volume=1&order_time=20190909
"""
requests.post(
'http://www.yutiansut.com/signal?user_id={}&template={}&strategy_id={}&realaccount={}&code={}&order_direction={}&order_offset={}&price={}&volume={}&order_time={}'
.format(user, "xiadan_report",
self.strategy_id, self.acc.user_id,
self.code.lower(), direction, offset,
price, volume, now))
except Exception as e:
QA.QA_util_log_info(e)
else:
QA.QA_util_log_info('failed in ORDER_CHECK')
elif self.running_mode == 'backtest':
self.bar_order['{}_{}'.format(direction, offset)] = self.bar_id
self.acc.receive_simpledeal(code=self.code,
trade_time=self.running_time,
trade_towards=towards,
trade_amount=volume,
trade_price=price,
order_id=order_id)
self.positions = self.acc.get_position(self.code)
def update_account(self):
if self.running_mode == 'sim':
QA.QA_util_log_info('{} UPDATE ACCOUNT'.format(
str(datetime.datetime.now())))
self.accounts = self.acc.account_msg
self.orders = self.acc.orders
self.positions = self.acc.get_position(self.code)
self.trades = self.acc.trades
self.updatetime = self.acc.dtstr
elif self.running_mode == 'backtest':
self.positions = self.acc.get_position(self.code)
def get_exchange(self, code):
return self.market_preset.get_exchange(code)
def get_positions(self, code):
if self.running_mode == 'sim':
self.update_account()
return self.positions
elif self.running_mode == 'backtest':
return self.acc.get_position(code)
def get_cash(self):
if self.running_mode == 'sim':
self.update_account()
return self.accounts.get('available', '')
elif self.running_mode == 'backtest':
return self.acc.cash_available
def run(self):
while True:
time.sleep(self.risk_check_gap)
self.risk_check()
columnsList.append('rate')
countRange=jyrq #list(range(1,len(jyrq)))
columnsList.extend(countRange)
return pd.DataFrame(columns=columnsList)
dfp = createFrame([ "d{}".format(i) for i in range(0,nday+1)])
dfold=pd.DataFrame(columns = [""])
#print(dfp)
#change_day=get_trade_day_bar(unit='M',n=-1,start_date='2015-01-01',end_date='2021-04-27').date.astype('str').tolist()
#data=QA.QA_fetch_index_day_adv(code=codes,start=start,end=end)
#acc=QIFI_Account('FOF','FOF',model='BACKTEST',trade_host='172.19.0.2',nodatabase=False)
acc = QIFI_Account(username='******', password='******', model= "BACKTEST",init_cash=5000000)
acc.initial()
#acc.reload()
print(trade_day)
print(acc.positions)
print(acc.trades)
for day in trade_day:
#print(stock_list)
start = jy_date_list(day,-1)[-2]
dfp,dfold=ss.get_stock(start,nday)
dfp = ss.op_stock(dfp,dfold)
#print("selected:",dfp)
#z最多购买个数
num=5
#持有5d
class QAStrategyStockBase(QAStrategyCTABase):
def __init__(self,
code='rb1905',
frequence='1min',
strategy_id='QA_STRATEGY',
risk_check_gap=1,
portfolio='default',
start='2019-01-01',
end='2019-10-21',
data_host=eventmq_ip,
data_port=eventmq_port,
data_user=eventmq_username,
data_password=eventmq_password,
trade_host=eventmq_ip,
trade_port=eventmq_port,
trade_user=eventmq_username,
trade_password=eventmq_password,
taskid=None,
mongo_ip=mongo_ip):
super().__init__(code=code,
frequence=frequence,
strategy_id=strategy_id,
risk_check_gap=risk_check_gap,
portfolio=portfolio,
start=start,
end=end,
data_host=eventmq_ip,
data_port=eventmq_port,
data_user=eventmq_username,
data_password=eventmq_password,
trade_host=eventmq_ip,
trade_port=eventmq_port,
trade_user=eventmq_username,
trade_password=eventmq_password,
taskid=taskid,
mongo_ip=mongo_ip)
self.code = code
def subscribe_data(self, code, frequence, data_host, data_port, data_user,
data_password):
"""[summary]
Arguments:
code {[type]} -- [description]
frequence {[type]} -- [description]
"""
self.sub = subscriber_topic(
exchange='realtime_stock_{}'.format(frequence),
host=data_host,
port=data_port,
user=data_user,
password=data_password,
routing_key='')
for item in code:
self.sub.add_sub(exchange='realtime_stock_{}'.format(frequence),
routing_key=item)
self.sub.callback = self.callback
def upcoming_data(self, new_bar):
"""upcoming_bar :
Arguments:
new_bar {json} -- [description]
"""
self._market_data = pd.concat([self._old_data, new_bar])
# QA.QA_util_log_info(self._market_data)
if self.isupdate:
self.update()
self.isupdate = False
self.update_account()
# self.positions.on_price_change(float(new_bar['close']))
self.on_bar(new_bar)
def ind2str(self, ind, ind_type):
z = ind.tail(1).reset_index().to_dict(orient='records')[0]
return json.dumps({
'topic': ind_type,
'code': self.code,
'type': self.frequence,
'data': z
})
def callback(self, a, b, c, body):
"""在strategy的callback中,我们需要的是
1. 更新数据
2. 更新bar
3. 更新策略状态
4. 推送事件
Arguments:
a {[type]} -- [description]
b {[type]} -- [description]
c {[type]} -- [description]
body {[type]} -- [description]
"""
self.new_data = json.loads(str(body, encoding='utf-8'))
self.running_time = self.new_data['datetime']
if float(self.new_data['datetime'][-9:]) == 0:
self.isupdate = True
self.acc.on_price_change(self.new_data['code'], self.new_data['close'])
bar = pd.DataFrame([self.new_data]).set_index(
['datetime',
'code']).loc[:, ['open', 'high', 'low', 'close', 'volume']]
self.upcoming_data(bar)
def run_sim(self):
self.running_mode = 'sim'
self._old_data = QA.QA_fetch_stock_min(
self.code,
QA.QA_util_get_last_day(
QA.QA_util_get_real_date(str(datetime.date.today()))),
str(datetime.datetime.now()),
format='pd',
frequence=self.frequence).set_index(['datetime', 'code'])
self._old_data = self._old_data.loc[:, [
'open', 'high', 'low', 'close', 'volume'
]]
self.database = pymongo.MongoClient(mongo_ip).QAREALTIME
self.client = self.database.account
self.subscriber_client = self.database.subscribe
self.acc = QIFI_Account(username=self.strategy_id,
password=self.strategy_id,
trade_host=mongo_ip)
self.acc.initial()
self.pub = publisher_routing(exchange='QAORDER_ROUTER',
host=self.trade_host,
port=self.trade_port,
user=self.trade_user,
password=self.trade_password)
self.subscribe_data(self.code, self.frequence, self.data_host,
self.data_port, self.data_user, self.data_password)
self.add_subscriber('oL-C4w1HjuPRqTIRcZUyYR0QcLzo')
self.database.strategy_schedule.job_control.update(
{'strategy_id': self.strategy_id}, {
'strategy_id': self.strategy_id,
'taskid': self.taskid,
'filepath': os.path.abspath(__file__),
'status': 200
},
upsert=True)
# threading.Thread(target=, daemon=True).start()
self.sub.start()
def run(self):
while True:
pass
def update_account(self):
if self.running_mode == 'sim':
QA.QA_util_log_info('{} UPDATE ACCOUNT'.format(
str(datetime.datetime.now())))
self.accounts = self.acc.account_msg
self.orders = self.acc.orders
self.positions = self.acc.positions
self.trades = self.acc.trades
self.updatetime = self.acc.dtstr
elif self.running_mode == 'backtest':
#self.positions = self.acc.get_position(self.code)
self.positions = self.acc.positions
class QAStrategyStockBase(QAStrategyCTABase):
def __init__(self,
code=['000001'],
frequence='1min',
strategy_id='QA_STRATEGY',
risk_check_gap=1,
portfolio='default',
start='2019-01-01',
end='2019-10-21',
send_wx=False,
market_type='stock_cn',
data_host=eventmq_ip,
data_port=eventmq_port,
data_user=eventmq_username,
data_password=eventmq_password,
trade_host=eventmq_ip,
trade_port=eventmq_port,
trade_user=eventmq_username,
trade_password=eventmq_password,
taskid=None,
mongo_ip=mongo_ip):
super().__init__(code=code,
frequence=frequence,
strategy_id=strategy_id,
risk_check_gap=risk_check_gap,
portfolio=portfolio,
start=start,
end=end,
send_wx=send_wx,
data_host=eventmq_ip,
data_port=eventmq_port,
data_user=eventmq_username,
data_password=eventmq_password,
trade_host=eventmq_ip,
trade_port=eventmq_port,
trade_user=eventmq_username,
trade_password=eventmq_password,
taskid=taskid,
mongo_ip=mongo_ip)
self.code = code
self.send_wx = send_wx
self.dtcode = {}
stock_pool_pd = pd.read_csv(
"/root/qa_strategy/stock_strategy/stock_pool.csv",
encoding='utf-8',
converters={'code': str})
self.stock_pool_list = stock_pool_pd['code'].tolist()
'''
'''
print('订阅远程行情开始：')
self.subscriber = subscriber_topic(host='www.yutiansut.com',
port='5678',
exchange='QARealtimePro_FIX',
durable=False,
vhost='/',
routing_key='*')
#pymongo.MongoClient(mongo_ip).qa.drop_collection('REALTIMEPRO_FIX')
self.db = pymongo.MongoClient(mongo_ip).qa.REALTIMEPRO_FIX
def subscribe_data(self, code, frequence, data_host, data_port, data_user,
data_password):
"""[summary]
Arguments:
code {[type]} -- [description]
frequence {[type]} -- [description]
"""
self.sub = subscriber_topic(
exchange='realtime_stock_{}'.format(frequence),
host=data_host,
port=data_port,
user=data_user,
password=data_password,
routing_key='')
for item in code:
self.sub.add_sub(exchange='realtime_stock_{}'.format(frequence),
routing_key=item)
self.sub.callback = self.callback
self.subscriber.callback = self.callback
def getSimStock(self, codes, frequence):
code_list = []
for code in codes:
if (code.startswith('3') or code.startswith('0')):
code_list.append('SZ' + str(code))
elif (code.startswith('6')):
code_list.append('SH' + str(code))
cursor = self.db.find(
{
'code': {
'$in': code_list
},
"datetime": {
"$gte": str(datetime.date.today()),
"$lte": str(datetime.datetime.now())
},
'frequence': frequence
}, {"_id": 0},
batch_size=10000)
new_list = []
for item in cursor:
new_list.append(self.format_stock_data(item))
res = pd.DataFrame([item for item in new_list])
try:
# res['datetime'] = pd.to_datetime(res['datetime'])
print(res)
res = res.query('volume>1').drop_duplicates([
'datetime', 'code'
]).set_index(['datetime', 'code'
]).loc[:, ['open', 'high', 'low', 'close', 'volume']]
except:
res = None
return res
def upcoming_data(self, new_bar):
"""upcoming_bar :
Arguments:
new_bar {json} -- [description]
"""
self._market_data = pd.concat([self._old_data.tail(200), new_bar])
# QA.QA_util_log_info(self._market_data)
if self.isupdate:
self.update()
self.isupdate = False
self.update_account()
# self.positions.on_price_change(float(new_bar['close']))
#print('new_bar...',new_bar)
self.on_bar(new_bar)
def ind2str(self, ind, ind_type):
z = ind.tail(1).reset_index().to_dict(orient='records')[0]
return json.dumps({
'topic': ind_type,
'code': self.code,
'type': self.frequence,
'data': z
})
def callback(self, a, b, c, body):
"""在strategy的callback中,我们需要的是
1. 更新数据
2. 更新bar
3. 更新策略状态
4. 推送事件
Arguments:
a {[type]} -- [description]
b {[type]} -- [description]
c {[type]} -- [description]
body {[type]} -- [description]
"""
#print(body)
new_data = json.loads(str(body, encoding='utf-8'))
self.newbar(new_data)
def newbar(self, new_data):
for item in new_data:
new_dict = self.format_stock_data(item)
self.new_data = new_dict
# 只接受5min
if (not self.new_data or self.new_data['type'] != '5min'):
# print('new_data 不存在', new_data)
continue
self.running_time = self.new_data['datetime']
code = self.new_data['code']
if code not in self.dtcode or self.dtcode[code] != str(
self.new_data['datetime'])[0:16]:
# [0:16]是分钟线位数
print('update!!!!!!!!!!!! dt:')
self.dtcode[code] = str(self.new_data['datetime'])[0:16]
self.isupdate = True
self.latest_price[self.new_data['code']] = self.new_data['close']
self.acc.on_price_change(self.new_data['code'],
self.new_data['close'])
bar = pd.DataFrame([self.new_data]).set_index(['datetime', 'code'])
#bar = QA_DataStruct_Stock_min(bar)
bar = bar.loc[:, ['open', 'high', 'low', 'close', 'volume']]
#print('bar:.......',bar)
self.upcoming_data(bar)
def format_stock_data(self, item):
code = item.get('code')
new_code = code[-6:]
d = {}
#and item.get('frequence') == '1min'
if new_code in self.stock_pool_list:
d['code'] = new_code
d['open'] = item.get('open')
d['high'] = item.get('high')
d['close'] = item.get('close')
d['low'] = item.get('low')
d['vol'] = item.get('volume')
d['volume'] = item.get('volume')
d['type'] = item.get('frequence')
# d['amount'] = item.get('volume')
d['date_stamp'] = QA_util_date_stamp(item.get('datetime'))
d['time_stamp'] = QA_util_time_stamp(item.get('datetime'))
d['date'] = item.get('datetime')[0:10] # 2020-10-12
d['datetime'] = pd.to_datetime(
item.get('datetime')) # 2020-10-12 10:02:00
d['tradetime'] = item.get('datetime')[0:16] # 2020-10-12 10:02
return d
def _debug_sim(self):
self.running_mode = 'sim'
self._old_data = QA.QA_fetch_stock_min(
self.code,
QA.QA_util_get_last_day(
QA.QA_util_get_real_date(str(datetime.date.today())), 5),
str(datetime.datetime.now()),
format='pd',
frequence=self.frequence).set_index(['datetime', 'code'])
print('old:', self._old_data)
#当天启动前行情数据
sim_stock_df = self.getSimStock(self.code, self.frequence)
self._old_data = pd.concat([self._old_data, sim_stock_df])
self._old_data = self._old_data.loc[:, [
'open', 'high', 'low', 'close', 'volume'
]]
#print('old_data ;:::::::', self._old_data)
self.database = pymongo.MongoClient(mongo_ip).QAREALTIME
self.client = self.database.account
self.subscriber_client = self.database.subscribe
self.acc = QIFI_Account(username=self.strategy_id,
password=self.strategy_id,
trade_host=mongo_ip)
print(self.acc)
self.acc.initial()
self.pub = publisher_routing(exchange='QAORDER_ROUTER',
host=self.trade_host,
port=self.trade_port,
user=self.trade_user,
password=self.trade_password)
self.subscribe_data(self.code, self.frequence, self.data_host,
self.data_port, self.data_user, self.data_password)
self.database.strategy_schedule.job_control.update(
{'strategy_id': self.strategy_id}, {
'strategy_id': self.strategy_id,
'taskid': self.taskid,
'filepath': os.path.abspath(__file__),
'status': 200
},
upsert=True)
# threading.Thread(target=, daemon=True).start()
# print(self.subscribe_data)
# self.sub.start()
#self.debug_callback()
self.subscriber.start()
def debug_callback(self):
new_data = [{
'datetime': '2021-01-27 18:05:00',
'updatetime': '2021-01-15 10:10:51',
'code': 'SZ000338',
'open': 5.24,
'high': 5.24,
'low': 5.24,
'close': 5.24,
'volume': 39378.0,
'frequence': '5min',
'pctchange': 0.0
}]
self.newbar(new_data)
# 另一个code
new_data = [{
'datetime': '2021-01-27 18:05:00',
'updatetime': '2021-01-15 10:10:51',
'code': 'SZ000545',
'open': 5.24,
'high': 5.24,
'low': 5.24,
'close': 5.24,
'volume': 39378.0,
'frequence': '5min',
'pctchange': 0.0
}]
self.newbar(new_data)
new_data = [{
'datetime': '2021-01-27 18:10:00',
'updatetime': '2021-01-15 10:10:51',
'code': 'SZ000338',
'open': 5.24,
'high': 5.24,
'low': 5.24,
'close': 5.24,
'volume': 39378.0,
'frequence': '5min',
'pctchange': 0.0
}]
self.newbar(new_data)
new_data = [{
'datetime': '2021-01-27 18:10:00',
'updatetime': '2021-01-15 10:10:51',
'code': 'SZ000545',
'open': 5.24,
'high': 5.24,
'low': 5.24,
'close': 5.24,
'volume': 39378.0,
'frequence': '5min',
'pctchange': 0.0
}]
self.newbar(new_data)
new_data = [{
'datetime': '2021-01-27 18:15:00',
'updatetime': '2021-01-15 10:10:51',
'code': 'SZ000338',
'open': 5.24,
'high': 5.24,
'low': 5.24,
'close': 5.24,
'volume': 39378.0,
'frequence': '5min',
'pctchange': 0.0
}]
self.newbar(new_data)
new_data = [{
'datetime': '2021-01-27 18:15:00',
'updatetime': '2021-01-15 10:10:51',
'code': 'SZ000545',
'open': 5.24,
'high': 5.24,
'low': 5.24,
'close': 5.24,
'volume': 39378.0,
'frequence': '5min',
'pctchange': 0.0
}]
self.newbar(new_data)
'''
new_data = [{'datetime': '2021-01-27 18:15:00', 'updatetime': '2021-01-15 10:10:51', 'code': 'SZ000338','open': 5.24,
'high': 5.24, 'low': 5.24, 'close': 5.24, 'volume': 39378.0, 'frequence': '5min', 'pctchange': 0.0}]
self.newbar(new_data)
new_data = [{'datetime': '2021-01-27 18:15:00', 'updatetime': '2021-01-15 10:10:51', 'code': 'SZ000545',
'open': 5.24,
'high': 5.24, 'low': 5.24, 'close': 5.24, 'volume': 39378.0, 'frequence': '5min',
'pctchange': 0.0}]
self.newbar(new_data)
new_data = [{'datetime': '2021-01-27 18:20:00', 'updatetime': '2021-01-15 10:10:51', 'code': 'SZ000338',
'open': 5.24,
'high': 5.24, 'low': 5.24, 'close': 5.24, 'volume': 39378.0, 'frequence': '5min',
'pctchange': 0.0}]
self.newbar(new_data)
'''
def run(self):
while True:
pass
def debug(self):
self.running_mode = 'backtest'
self.database = pymongo.MongoClient(mongo_ip).QUANTAXIS
user = QA_User(username="******", password='******')
port = user.new_portfolio(self.portfolio)
self.acc = port.new_accountpro(account_cookie=self.strategy_id,
init_cash=self.init_cash,
market_type=self.market_type)
# self.positions = self.acc.get_position(self.code)
print('data')
data = QA.QA_quotation(self.code,
self.start,
self.end,
source=QA.DATASOURCE.MONGO,
frequence=self.frequence,
market=self.market_type,
output=QA.OUTPUT_FORMAT.DATASTRUCT)
print(data.data)
data.data.apply(self.x1, axis=1)
def update_account(self):
if self.running_mode == 'sim':
QA.QA_util_log_info('{} UPDATE ACCOUNT'.format(
str(datetime.datetime.now())))
self.accounts = self.acc.account_msg
self.orders = self.acc.orders
self.positions = self.acc.positions
self.trades = self.acc.trades
self.updatetime = self.acc.dtstr
elif self.running_mode == 'backtest':
# self.positions = self.acc.get_position(self.code)
self.positions = self.acc.positions
def send_order(
self,
direction='BUY',
offset='OPEN',
code=None,
price=3925,
volume=10,
order_id='',
):
towards = eval('ORDER_DIRECTION.{}_{}'.format(direction, offset))
order_id = str(uuid.uuid4()) if order_id == '' else order_id
if self.market_type == QA.MARKET_TYPE.STOCK_CN:
"""
在此对于股票的部分做一些转换
"""
if towards == ORDER_DIRECTION.SELL_CLOSE:
towards = ORDER_DIRECTION.SELL
elif towards == ORDER_DIRECTION.BUY_OPEN:
towards = ORDER_DIRECTION.BUY
if isinstance(price, float):
pass
elif isinstance(price, pd.Series):
price = price.values[0]
if self.running_mode == 'sim':
QA.QA_util_log_info(
'============ {} SEND ORDER =================='.format(
order_id))
QA.QA_util_log_info(
'direction{} offset {} price{} volume{}'.format(
direction, offset, price, volume))
if self.check_order(direction, offset):
self.last_order_towards = {'BUY': '', 'SELL': ''}
self.last_order_towards[direction] = offset
now = str(datetime.datetime.now())
order = self.acc.send_order(code=code,
towards=towards,
price=price,
amount=volume,
order_id=order_id)
order['topic'] = 'send_order'
self.pub.pub(json.dumps(order), routing_key=self.strategy_id)
self.acc.make_deal(order)
self.bar_order['{}_{}'.format(direction, offset)] = self.bar_id
if self.send_wx:
for user in self.subscriber_list:
QA.QA_util_log_info(self.subscriber_list)
try:
"oL-C4w2WlfyZ1vHSAHLXb2gvqiMI"
"""http://www.yutiansut.com/signal?user_id=oL-C4w1HjuPRqTIRcZUyYR0QcLzo&template=xiadan_report&\
strategy_id=test1&realaccount=133496&code=rb1910&order_direction=BUY&\
order_offset=OPEN&price=3600&volume=1&order_time=20190909
"""
requests.post(
'http://www.yutiansut.com/signal?user_id={}&template={}&strategy_id={}&realaccount={}&code={}&order_direction={}&order_offset={}&price={}&volume={}&order_time={}'
.format(user, "xiadan_report",
self.strategy_id, self.acc.user_id,
code, direction, offset, price, volume,
now))
except Exception as e:
QA.QA_util_log_info(e)
else:
QA.QA_util_log_info('failed in ORDER_CHECK')
elif self.running_mode == 'backtest':
self.bar_order['{}_{}'.format(direction, offset)] = self.bar_id
self.acc.receive_simpledeal(code=code,
trade_time=self.running_time,
trade_towards=towards,
trade_amount=volume,
trade_price=price,
order_id=order_id)
class QAStrategyCoinBase(QAStrategyCTABase):
def __init__(self, code=['000001'], frequence='1min', strategy_id='QA_STRATEGY', risk_check_gap=1, portfolio='default',
start='2019-01-01', end='2019-10-21', send_wx=False, market_type='stock_cn',
data_host=eventmq_ip, data_port=eventmq_port, data_user=eventmq_username, data_password=eventmq_password,
trade_host=eventmq_ip, trade_port=eventmq_port, trade_user=eventmq_username, trade_password=eventmq_password,
taskid=None, mongo_ip=mongo_ip):
super().__init__(code=code, frequence=frequence, strategy_id=strategy_id, risk_check_gap=risk_check_gap, portfolio=portfolio,
start=start, end=end, send_wx=send_wx,
data_host=eventmq_ip, data_port=eventmq_port, data_user=eventmq_username, data_password=eventmq_password,
trade_host=eventmq_ip, trade_port=eventmq_port, trade_user=eventmq_username, trade_password=eventmq_password,
taskid=taskid, mongo_ip=mongo_ip)
self.code = code
self.dtcode = {}
self.send_wx = send_wx
self.frequenceInt = 0
'''
self.subscriber = subscriber_topic(
host='www.yutiansut.com',
port='5678',
exchange='QARealtimePro_FIX',
durable=False,
vhost='/',
routing_key='*')
'''
def subscribe_data(self, code, frequence, data_host, data_port, data_user, data_password):
"""[summary]
Arguments:
code {[type]} -- [description]
frequence {[type]} -- [description]
"""
self.sub = subscriber_topic(exchange='realtime_stock_{}'.format(
frequence), host=data_host, port=data_port, user=data_user, password=data_password, routing_key='')
for item in code:
self.sub.add_sub(exchange='realtime_stock_{}'.format(
frequence), routing_key=item)
self.sub.callback = self.callback
self.subscriber.callback = self.callback
def upcoming_data(self, new_bar):
"""upcoming_bar :
Arguments:
new_bar {json} -- [description]
"""
self._market_data = pd.concat([self._old_data, new_bar])
# QA.QA_util_log_info(self._market_data)
if self.isupdate:
self.update()
self.isupdate = False
self.update_account()
# self.positions.on_price_change(float(new_bar['close']))
self.on_bar(new_bar)
def ind2str(self, ind, ind_type):
z = ind.tail(1).reset_index().to_dict(orient='records')[0]
return json.dumps({'topic': ind_type, 'code': self.code, 'type': self.frequence, 'data': z})
def callback(self, a, b, c, body):
"""在strategy的callback中,我们需要的是
1. 更新数据
2. 更新bar
3. 更新策略状态
4. 推送事件
Arguments:
a {[type]} -- [description]
b {[type]} -- [description]
c {[type]} -- [description]
body {[type]} -- [description]
"""
print(time.strftime("%H:%M:%S", time.localtime()))
while True:
time_now_min = int(time.strftime("%M", time.localtime()))
time_now_s = int(time.strftime("%S", time.localtime()))
frequence_int = self.frequenceInt
if (time_now_min%frequence_int == 0 and (time_now_s%30 == 0 or time_now_s%59 == 0)) :
time.sleep(1) # 延迟1s 防止上边的if重复执行
QA.QA_util_log_info('{} while开始....'.format(
str(datetime.datetime.now())))
code_list = [huobi_SYMBOL.format(x) for x in self.code]
# new_data = json.loads(str(body, encoding='utf-8'))
lastPreMinTime = (datetime.datetime.now()).strftime(
"%Y-%m-%d %H:%M:%S")
preLastPreMinTime = (datetime.datetime.now() + datetime.timedelta(minutes=-4 * frequence_int)).strftime(
"%Y-%m-%d %H:%M:%S")
print(preLastPreMinTime, lastPreMinTime, self.frequence)
self._new_data = QA.QA_fetch_cryptocurrency_min(code_list, preLastPreMinTime, lastPreMinTime, format='pd',
frequence=self.frequence)
if (self._new_data.empty):
continue
self._new_data = self._new_data.loc[:, ['code','open', 'high', 'low', 'close', 'volume','datetime']]
#self._market_data.iloc[-1:]
print('NEW DATA:', self._new_data)
#整理成一个code的一个frequence为一个bar
for idx, row in self._new_data.iterrows():
#print("当前row:",row)
code = row['code']
self.latest_price[row['code']] = code
self.running_time = row['datetime']
#if self.dt != str(row['datetime'])[0:16]:
if code not in self.dtcode or self.dtcode[code] < str(row['datetime'])[0:16]:
# [0:16]是分钟线位数
print('update!!!!!!!!!!!!')
self.dtcode[code] = str(row['datetime'])[0:16]
self.isupdate = True
self.acc.on_price_change(code, row['close'])
bar = pd.DataFrame([row]).set_index(['datetime', 'code']).loc[:, ['open', 'high', 'low', 'close', 'volume']]
#print(bar)
self.upcoming_data(bar)
def format_stock_data(self, item):
code = item.get('code')
new_code = code[-6:]
d = {}
#print(new_code)
#print(item)
import pandas as pd
stock_pool_pd = pd.read_csv("/root/sim/stock_strategy/stock_pool.csv",encoding='utf-8',converters = {'code':str});
stock_pool_list = stock_pool_pd['code'].tolist()
if new_code in stock_pool_list and item.get('frequence') == '5min':
d['code'] = new_code
d['open'] = item.get('open')
d['high'] = item.get('high')
d['close'] = item.get('close')
d['low'] = item.get('low')
d['vol'] = item.get('volume')
d['type'] = item.get('frequence')
#d['amount'] = item.get('volume')
d['date_stamp'] = QA_util_date_stamp(item.get('datetime'))
d['time_stamp'] = QA_util_time_stamp(item.get('datetime'))
d['date'] = item.get('datetime')[0:10] #2020-10-12
d['datetime'] = item.get('datetime') #2020-10-12 10:02:00
d['tradetime'] = item.get('datetime')[0:16] #2020-10-12 10:02
return d
def _debug_sim(self):
self.running_mode = 'sim'
QA_SU_save_huobi_min(frequency= self.frequence, fetch_range= self.code)
frequence_int = int(re.findall("\d+", self.frequence)[0])
self.frequenceInt = frequence_int
start = (datetime.datetime.now() + datetime.timedelta(minutes=-500 * frequence_int)).strftime(
"%Y-%m-%d %H:%M:%S")
end = (datetime.datetime.now() + datetime.timedelta(minutes=-frequence_int)).strftime(
"%Y-%m-%d %H:%M:%S")
code_list = self.code
self._old_data = QA.QA_fetch_stock_min(code_list, start, end, format='pd', frequence=self.frequence).set_index(['datetime', 'code'])
#print(self._old_data)
self._old_data = self._old_data.loc[:, ['open', 'high', 'low', 'close', 'volume']]
self.database = pymongo.MongoClient(mongo_ip).QAREALTIME
self.client = self.database.account
self.subscriber_client = self.database.subscribe
self.acc = QIFI_Account(
username=self.strategy_id, password=self.strategy_id, trade_host=mongo_ip)
self.acc.initial()
self.pub = publisher_routing(exchange='QAORDER_ROUTER', host=self.trade_host,
port=self.trade_port, user=self.trade_user, password=self.trade_password)
'''
self.subscribe_data(self.code, self.frequence, self.data_host,
self.data_port, self.data_user, self.data_password)
'''
self.database.strategy_schedule.job_control.update(
{'strategy_id': self.strategy_id},
{'strategy_id': self.strategy_id, 'taskid': self.taskid,
'filepath': os.path.abspath(__file__), 'status': 200}, upsert=True)
# threading.Thread(target=, daemon=True).start()
#print(self.subscribe_data)
#self.sub.start()
#self.subscriber.start()
self.callback(1,2,3,4)
def run(self):
while True:
pass
def debug(self):
self.running_mode = 'backtest'
self.database = pymongo.MongoClient(mongo_ip).QUANTAXIS
user = QA_User(username="******", password='******')
port = user.new_portfolio(self.portfolio)
self.acc = port.new_accountpro(
account_cookie=self.strategy_id, init_cash=self.init_cash, market_type=self.market_type)
#self.positions = self.acc.get_position(self.code)
data = QA.QA_quotation(self.code, self.start, self.end, source=QA.DATASOURCE.MONGO,
frequence=self.frequence, market=self.market_type, output=QA.OUTPUT_FORMAT.DATASTRUCT)
#print(data.data)
data.data.apply(self.x1, axis=1)
def update_account(self):
if self.running_mode == 'sim':
QA.QA_util_log_info('{} UPDATE ACCOUNT'.format(
str(datetime.datetime.now())))
self.accounts = self.acc.account_msg
self.orders = self.acc.orders
self.positions = self.acc.positions
self.trades = self.acc.trades
self.updatetime = self.acc.dtstr
elif self.running_mode == 'backtest':
#self.positions = self.acc.get_position(self.code)
self.positions = self.acc.positions
def send_order(self, direction='BUY', offset='OPEN', code=None, price=3925, volume=10, order_id='',):
towards = eval('ORDER_DIRECTION.{}_{}'.format(direction, offset))
order_id = str(uuid.uuid4()) if order_id == '' else order_id
if self.market_type == QA.MARKET_TYPE.STOCK_CN:
"""
在此对于股票的部分做一些转换
"""
if towards == ORDER_DIRECTION.SELL_CLOSE:
towards = ORDER_DIRECTION.SELL
elif towards == ORDER_DIRECTION.BUY_OPEN:
towards = ORDER_DIRECTION.BUY
if isinstance(price, float):
pass
elif isinstance(price, pd.Series):
price = price.values[0]
if self.running_mode == 'sim':
QA.QA_util_log_info(
'============ {} SEND ORDER =================='.format(order_id))
QA.QA_util_log_info('direction{} offset {} price{} volume{}'.format(
direction, offset, price, volume))
if self.check_order(direction, offset, code):
self.last_order_towards = {'BUY': '', 'SELL': ''}
self.last_order_towards[direction] = offset
now = str(datetime.datetime.now())
order = self.acc.send_order(
code=code, towards=towards, price=price, amount=volume, order_id=order_id)
order['topic'] = 'send_order'
self.pub.pub(
json.dumps(order), routing_key=self.strategy_id)
self.acc.make_deal(order)
self.bar_order['{}_{}'.format(direction, offset)] = self.bar_id
if self.send_wx:
for user in self.subscriber_list:
QA.QA_util_log_info(self.subscriber_list)
try:
"oL-C4w2WlfyZ1vHSAHLXb2gvqiMI"
"""http://www.yutiansut.com/signal?user_id=oL-C4w1HjuPRqTIRcZUyYR0QcLzo&template=xiadan_report&\
strategy_id=test1&realaccount=133496&code=rb1910&order_direction=BUY&\
order_offset=OPEN&price=3600&volume=1&order_time=20190909
"""
requests.post('http://www.yutiansut.com/signal?user_id={}&template={}&strategy_id={}&realaccount={}&code={}&order_direction={}&order_offset={}&price={}&volume={}&order_time={}'.format(
user, "xiadan_report", self.strategy_id, self.acc.user_id, code, direction, offset, price, volume, now))
except Exception as e:
QA.QA_util_log_info(e)
else:
QA.QA_util_log_info('failed in ORDER_CHECK')
elif self.running_mode == 'backtest':
self.bar_order['{}_{}'.format(direction, offset)] = self.bar_id
self.acc.receive_simpledeal(
code=code, trade_time=self.running_time, trade_towards=towards, trade_amount=volume, trade_price=price, order_id=order_id)