def on_tick(self, tick: TickData) -> None:
tick.datetime = str(tick.datetime)
data = {
"type": "tick",
"data": tick._to_dict()
}
self.io.emit("tick", data)
def on_tick(self, tick: TickData) -> None:
tick.datetime = str(tick.datetime)
data = {"type": "tick", "data": tick._to_dict()}
self.io.emit("tick", data)
data = {
"type": "position",
"data": self.app.recorder.get_all_positions()
}
self.io.emit("position", data)
def on_tick(self, tick: TickData) -> None:
self.local_status.setdefault(tick.local_symbol, False)
self.global_bar.setdefault(tick.local_symbol, [])
tick.datetime = str(tick.datetime)
data = {"type": "tick", "data": tick._to_dict()}
self.io.emit("tick", data)
data = {
"type": "position",
"data": self.app.recorder.get_all_positions()
}
self.io.emit("position", data)
if not self.local_status.get(tick.local_symbol):
try:
with open(
f"{os.path.dirname(__file__)}/static/json/{tick.symbol}.json",
"r") as f:
from json import load
st = True
try:
data = load(f)
except JSONDecodeError:
st = False
if data.get("data") is not None and st:
klines = data.get("data").get("lines")
assert type(klines) == list
if len(klines) != 0:
self.global_bar.get(
tick.local_symbol).extend(klines)
except FileNotFoundError:
pass
self.local_status[tick.local_symbol] = True
with open(
f"{os.path.dirname(__file__)}/static/json/{tick.symbol}.json",
"w") as f:
from json import dump
update_result = {
"success": True,
"data": {
"lines": self.global_bar.get(tick.local_symbol),
"depths": {
"asks": [[tick.ask_price_1, tick.ask_volume_1]],
"bids": [[tick.bid_price_1, tick.bid_volume_1]]
}
}
}
f.truncate(0)
dump(update_result, f)
self.io.emit("update_all", update_result)
def __call__(self, data):
"""
你必须实现此方法以支持在此层进行中转
"""
if data.local_symbol not in self.instrument_set:
return
if not self.active:
return
if isinstance(data, ContractData):
self.on_contract(data)
elif isinstance(data, OrderData):
self.on_order(data)
elif isinstance(data, TradeData):
self.on_trade(data)
elif isinstance(data, AccountData):
self.on_account(data)
elif isinstance(data, PositionData):
self.on_position(data)
elif data['type'] == "bar":
self.on_bar(BarData(**data))
elif data['type'] == "tick":
self.on_tick(TickData(**data))
else:
raise ValueError("unsupported data")
def close_position(self):
"""平仓"""
row = self.position_table.currentRow()
symbol = self.position_table.item(
row, position_table_column.index('symbol')).text().split(".")[0]
exchange = self.position_table.item(
row, position_table_column.index('exchange')).text()
direction = self.position_table.item(
row, position_table_column.index('direction')).text()
price_type = OrderType.LIMIT if self.price_type.currentText(
) == "限价" else OrderType.MARKET
price = eval(self.price.text())
volume = self.volume.text()
tick = TickData(symbol=symbol, exchange=exchange_map[exchange])
try:
if direction == "long":
self.bee_ext.app.action.cover(price=float(price),
volume=float(volume),
origin=tick,
price_type=price_type)
elif direction == "short":
self.bee_ext.app.action.sell(price=float(price),
volume=float(volume),
origin=tick,
price_type=price_type)
except Exception as e:
QMessageBox().warning(self, "提示", "平仓请求发送失败" + str(e),
QMessageBox.Ok, QMessageBox.Ok)
def close_position(self):
"""平仓"""
row = self.position_table.currentRow()
symbol = self.position_table.item(
row, position_table_column.index('symbol')).text()
direction = self.position_table.item(
row, position_table_column.index('direction')).text()
exchange = self.position_table.item(
row, position_table_column.index('exchange')).text()
volume = self.position_table.item(
row, position_table_column.index('volume')).text()
local_symbol = symbol + '.' + exchange
tick = TickData(symbol=symbol, exchange=exchange_map[exchange])
try:
price = self.bee_ext.app.recorder.get_tick(local_symbol).last_price
except AttributeError:
TipDialog("未订阅此合约行情")
else:
try:
if direction == "long":
self.bee_ext.app.action.cover(price=float(price),
volume=float(volume),
origin=tick)
if direction == "short":
self.bee_ext.app.action.sell(price=float(price),
volume=float(volume),
origin=tick)
TipDialog("平仓请求发送成功")
except Exception as e:
print(e)
QMessageBox().warning(self, "提示", "平仓请求发送失败" + str(e),
QMessageBox.Ok, QMessageBox.Ok)
def post(self):
req_info = request.values.to_dict()
local_symbol = req_info.get("local_symbol")
volume = int(req_info.get("volume"))
direction = req_info.get("direction")
exchange = req_info.get("exchange")
symbol = req_info.get("symbol")
tick = TickData(symbol=symbol, exchange=self.exchange_map[exchange])
price = bee_current_app.recorder.get_tick(local_symbol).last_price
try:
if direction == "long":
bee_current_app.action.cover(price=price,
volume=volume,
origin=tick)
if direction == "short":
bee_current_app.action.sell(price=price,
volume=volume,
origin=tick)
return true_response(msg="平仓请求发送成功")
except Exception:
return false_response(msg="平仓请求发送失败")
def onRtnDepthMarketData(self, data: dict):
"""
Callback of tick data update.
"""
symbol = data["InstrumentID"]
exchange = symbol_exchange_map.get(symbol, "")
if not exchange:
return
timestamp = f"{data['ActionDay']} {data['UpdateTime']}.{int(data['UpdateMillisec'] / 100)}"
try:
datetimed = datetime.strptime(timestamp, "%Y%m%d %H:%M:%S.%f")
except ValueError as e:
datetimed = datetime.strptime(str(date.today()) + " " + timestamp, "%Y-%m-%d %H:%M:%S.%f")
tick = TickData(
symbol=symbol,
exchange=exchange,
datetime=datetimed,
name=symbol_name_map[symbol],
volume=data["Volume"],
last_price=data["LastPrice"],
limit_up=data["UpperLimitPrice"],
limit_down=data["LowerLimitPrice"],
open_interest=data['OpenInterest'],
open_price=data["OpenPrice"],
high_price=data["HighestPrice"],
low_price=data["LowestPrice"],
pre_close=data["PreClosePrice"],
bid_price_1=data["BidPrice1"],
ask_price_1=data["AskPrice1"],
bid_volume_1=data["BidVolume1"],
ask_volume_1=data["AskVolume1"],
average_price=data['AveragePrice'],
pre_settlement_price=data['PreSettlementPrice'],
gateway_name=self.gateway_name
)
self.on_event(type=EVENT_TICK, data=tick)
def __call__(self, *args, **kwargs):
""" 回测周期 """
entity = args[0]
# 日期不相等时, 更新前日结算价格
if self.account.date is None:
self.account.date = self.date
if self.date is None:
self.date = entity.datetime.date()
if not self.auth_time(entity.datetime):
return
self.data_type = entity.type
# 回测的时候自动更新策略的日期
try:
seconds = (entity.datetime - self.datetime).seconds
if seconds >= 60 * 60 * 4 and (entity.datetime.hour >= 21 or (
(14 <= self.datetime.hour <= 15)
and entity.datetime.date() != self.datetime.date())):
self.account.settle(entity.datetime.date())
# 针对于账户的实现 我们需要将昨仓转换为今仓
self.app.recorder.position_manager.covert_to_yesterday_holding(
)
for local_symbol, price in self.price_mapping.items():
self.pre_close_price[local_symbol] = price
# 结算完触发初始化函数
self.on_event(EVENT_INIT_FINISHED, True)
except KeyError:
pass
except AttributeError:
pass
self.data_entity = entity
self.change_month_record["".join(
filter(str.isalpha,
entity.local_symbol.split(".")[0]))] = entity
# 维护一个最新的价格
self.price_mapping[self.data_entity.local_symbol] = self.data_entity.close_price if entity.type == "bar" \
else self.data_entity.last_price
if self.pre_close_price.get(self.data_entity.local_symbol) is None:
self.pre_close_price[
self.data_entity.
local_symbol] = self.data_entity.last_price if entity.type == "tick" else self.data_entity.close_price
self.datetime = entity.datetime
self.match_deal()
if entity.type == "tick":
self.account.position_manager.update_tick(
self.data_entity,
self.pre_close_price[self.data_entity.local_symbol])
self.app.recorder.position_manager.update_tick(
self.data_entity,
self.pre_close_price[self.data_entity.local_symbol])
self.on_event(EVENT_TICK, TickData(**entity))
if entity.type == "bar":
self.account.position_manager.update_bar(
self.data_entity,
self.pre_close_price[self.data_entity.local_symbol])
self.app.recorder.position_manager.update_bar(
self.data_entity,
self.pre_close_price[self.data_entity.local_symbol])
self.on_event(EVENT_BAR, BarData(**entity))
if entity.datetime.hour >= 21:
"""if hour > 21, switch to next trade day"""
index = trade_dates.index(str(entity.datetime.date()))
self.date = datetime.strptime(trade_dates[index + 1],
"%Y-%m-%d").date()
else:
if str(entity.datetime.date()) not in trade_dates:
last_day = entity.datetime + timedelta(days=-1)
self.date = datetime.strptime(
trade_dates[trade_dates.index(str(last_day.date())) + 1],
"%Y-%m-%d").date()
else:
self.date = entity.datetime.date()
# 穿过接口日期检查
self.account.via_aisle()