def _load_ext(self):
"""根据当前配置文件下的信息载入行情api和交易api,记住这个api的选项是可选的"""
self.active = True
if "CONNECT_INFO" in self.config.keys():
info = self.config.get("CONNECT_INFO")
else:
raise ConfigError(message="没有相应的登录信息", args=("没有发现登录信息",))
MdApi, TdApi = Interface.get_interface(self)
if self.config.get("MD_FUNC"):
self.market = MdApi(self.event_engine)
self.market.connect(info)
if self.config.get("TD_FUNC"):
if self.config['INTERFACE'] == "looper":
self.trader = TdApi(self.event_engine, self)
else:
self.trader = TdApi(self.event_engine)
self.trader.connect(info)
show_me = graphic_pattern(__version__, self.engine_method)
print(show_me)
if self.refresh:
if self.r is not None:
self.r_flag = False
sleep(self.config['REFRESH_INTERVAL'] + 1.5)
self.r = Thread(target=refresh_query, args=(self,),daemon=True)
self.r.start()
else:
self.r = Thread(target=refresh_query, args=(self,), daemon=True)
self.r.start()
self.r_flag = True
def cover(self, price: float, volume: float, origin: [BarData, TickData, TradeData, OrderData, PositionData],
price_type: OrderType = OrderType.LIMIT, stop: bool = False, lock: bool = False, **kwargs):
"""
平多头, 注意返回是一个list， 因为单号会涉及到平昨平今组合平仓
Args:
price (float): 价格
volume(float): 手数， 股票会自动*100
origin(Any(BarData, TradeData, TickData, OrderData, PositionData)): 快速获取品种和交易所信息
price_type(OrderType): 价格类型
Returns:
str: 单号
"""
if not isinstance(self.app.config['SLIPPAGE_COVER'], float) and not isinstance(
self.app.config['SLIPPAGE_COVER'], int):
raise ConfigError(message="滑点配置应为浮点小数")
price = price - self.app.config['SLIPPAGE_COVER']
req_list = [helper.generate_order_req_by_var(volume=x[1], price=price, offset=x[0], direction=Direction.SHORT,
type=price_type, exchange=origin.exchange,
symbol=origin.symbol) for x in
self.get_req(origin.local_symbol, Direction.LONG, volume, self.app)]
return [self.send_order(req) for req in req_list if req.volume != 0]
def buy(self, price: float, volume: float, origin: [BarData, TickData, TradeData, OrderData, PositionData],
price_type: OrderType = OrderType.LIMIT, stop: bool = False, lock: bool = False, **kwargs):
"""
多头开仓
Args:
price (float): 价格
volume(float): 手数， 股票会自动*100
origin(Any(BarData, TradeData, TickData, OrderData, PositionData)): 快速获取品种和交易所信息
price_type(OrderType): 价格类型
Returns:
str: 单号
"""
if not isinstance(self.app.config['SLIPPAGE_BUY'], float) and not isinstance(
self.app.config['SLIPPAGE_BUY'], int):
raise ConfigError(message="滑点配置应为浮点小数或者整数")
price = price + self.app.config['SLIPPAGE_BUY']
req = helper.generate_order_req_by_var(volume=volume, price=price, offset=Offset.OPEN, direction=Direction.LONG,
type=price_type, exchange=origin.exchange, symbol=origin.symbol)
return self.send_order(req)
def short(self,
price: float,
volume: float,
origin: [BarData, TickData, TradeData, OrderData, PositionData],
price_type: OrderType = OrderType.LIMIT,
stop: bool = False,
lock: bool = False,
**kwargs):
"""
开仓 空头
"""
if not isinstance(self.app.config['SLIPPAGE_SHORT'],
float) and not isinstance(
self.app.config['SLIPPAGE_SHORT'], int):
raise ConfigError(message="滑点配置应为浮点小数")
price = price + self.app.config['SLIPPAGE_SHORT']
req = helper.generate_order_req_by_var(volume=volume,
price=price,
offset=Offset.OPEN,
direction=Direction.SHORT,
type=price_type,
exchange=origin.exchange,
symbol=origin.symbol)
return self.send_order(req)
def cover(self,
price: float,
volume: float,
origin: [BarData, TickData, TradeData, OrderData, PositionData],
price_type: OrderType = OrderType.LIMIT,
stop: bool = False,
lock: bool = False,
**kwargs):
if not isinstance(self.looper.params['slippage_cover'],
float) and not isinstance(
self.looper.params['slippage_cover'], int):
raise ConfigError(message="滑点配置应为浮点小数")
price = price + self.looper.exec_intercept['slippage_cover']
req_list = [
helper.generate_order_req_by_var(volume=x[1],
price=price,
offset=x[0],
direction=Direction.LONG,
type=price_type,
exchange=origin.exchange,
symbol=origin.symbol)
for x in self.get_req(origin.local_symbol, Direction.SHORT, volume,
self.looper)
]
return [
self.looper.send_order(req) for req in req_list if req.volume != 0
]
def sell(self,
price: float,
volume: float,
origin: [BarData, TickData, TradeData, OrderData] = None,
stop: bool = False,
lock: bool = False,
**kwargs):
""" 平空头 """
if not isinstance(self.app.config['SLIPPAGE_SELL'],
float) and not isinstance(
self.app.config['SLIPPAGE_SELL'], int):
raise ConfigError(message="滑点配置应为浮点小数")
price = price + self.app.config['SLIPPAGE_SELL']
req_list = [
helper.generate_order_req_by_var(volume=x[1],
price=price,
offset=x[0],
direction=Direction.LONG,
type=OrderType.LIMIT,
exchange=origin.exchange,
symbol=origin.symbol)
for x in self.get_req(origin.local_symbol, Direction.SHORT, volume,
self.app)
]
return [self.send_order(req) for req in req_list if req.volume != 0]
def init_interface(self):
if self.config.get("PATTERN",
"real") == "real" and not self._init_interface:
self.active = True
if "CONNECT_INFO" in self.config.keys():
info = self.config.get("CONNECT_INFO")
else:
raise ConfigError(message="没有相应的登录信息", args=("没有发现登录信息", ))
MdApi, TdApi = Interface.get_interface(self)
if self.config.get("MD_FUNC"):
self.market = MdApi(self.app_signal)
self.market.connect(info)
if self.config.get("TD_FUNC"):
self.trader = TdApi(self.app_signal)
self.trader.connect(info)
self._init_interface = True
elif self.config.get("PATTERN",
"real") == "looper" and not self._init_interface:
self.config["INTERFACE"] = "looper"
Market, Trader = Interface.get_interface(app=self)
self.trader = Trader(self.app_signal, self)
self.market = Market(self.app_signal)
self._init_interface = True
def _running(self, logout=True):
"""
根据当前配置文件下的信息载入行情api和交易api
注意此函数同时会根据构造函数中的refresh参数决定开启定时线程， 向CtpBee里面提供定时查询账户持仓功能
"""
self.active = True
if "CONNECT_INFO" in self.config.keys():
info = self.config.get("CONNECT_INFO")
else:
raise ConfigError(message="没有相应的登录信息", args=("没有发现登录信息",))
show_me = graphic_pattern(__version__, self.engine_method)
if logout:
print(show_me)
MdApi, TdApi = Interface.get_interface(self)
if self.config.get("MD_FUNC"):
self.market = MdApi(self.app_signal)
self.market.connect(info)
if self.config.get("TD_FUNC"):
self.trader = TdApi(self.app_signal)
self.trader.connect(info)
if self.refresh:
if self.r is not None:
self.r_flag = False
sleep(self.config['REFRESH_INTERVAL'] + 1.5)
self.r = Thread(target=refresh_query, args=(self,), daemon=True)
self.r.start()
else:
self.r = Thread(target=refresh_query, args=(self,), daemon=True)
self.r.start()
self.r_flag = True
def _load_ext(self):
"""根据当前配置文件下的信息载入行情api和交易api,记住这个api的选项是可选的"""
self.__active = True
if "CONNECT_INFO" in self.config.keys():
info = self.config.get("CONNECT_INFO")
else:
raise ConfigError(message="没有相应的登录信息", args=("没有发现登录信息", ))
if self.config.get("TD_FUNC"):
self.trader = BeeTdApi()
self.trader.connect(info)
sleep(0.5)
self.market = BeeMdApi()
self.market.connect(info)
def short(self,
price,
volume,
origin,
price_type: OrderType = OrderType.LIMIT,
**kwargs):
if not isinstance(self.looper.params['slippage_short'],
float) and not isinstance(
self.looper.params['slippage_short'], int):
raise ConfigError(message="滑点配置应为浮点小数")
req = OrderRequest(price=price,
volume=volume,
exchange=origin.exchange,
offset=Offset.OPEN,
direction=Direction.SHORT,
type=price_type,
symbol=origin.symbol)
return self.looper.send_order(req)
def generate_pointer():
tick_type = current_app.config.get('TICK_DATABASE_TYPE')
bar_type = current_app.config.get('BAR_DATABASE_TYPE')
if tick_type is None or bar_type is None:
raise ConfigError(args=("配置信息异常， 请检查TICK_DATABASE_TYPE和BAR_DATABASE_TYPE有没有被设置",))
tick_pointer = type_map[tick_type](
current_app.config.get('TICK_DATABASE_NAME'),
user=current_app.config.get('TICK_DATABASE_USER'),
password=current_app.config.get('TICK_DATABASE_PWD'),
host=current_app.config.get('TICK_DATABASE_HOST'),
port=current_app.config.get('TICK_DATABASE_PORT')
)
bar_pointer = type_map[tick_type](
database=current_app.config.get('BAR_DATABASE_NAME'),
user=current_app.config.get('BAR_DATABASE_USER'),
password=current_app.config.get('BAR_DATABASE_PWD'),
host=current_app.config.get('BAR_DATABASE_HOST'),
port=current_app.config.get('BAR_DATABASE_PORT')
)
return (tick_pointer, bar_pointer)
def update_trade(self, trade: TradeData) -> None:
"""
当前选择调用这个接口的时候就已经确保了这个单子是可以成交的，
make sure it can be traded if you choose to call this method,
:param trade:交易单子/trade
:return:
"""
# 根据当前成交单子 更新当前的持仓 ----->
if trade.offset == Offset.OPEN:
if self.commission != 0:
commission_expense = trade.price * trade.volume * self.commission
else:
commission_expense = 0
elif trade.offset == Offset.CLOSETODAY:
if self.interface.params.get("today_commission") != 0:
commission_expense = trade.price * trade.volume * self.interface.params.get(
"today_commission")
else:
commission_expense = 0
elif trade.offset == Offset.CLOSEYESTERDAY:
if self.interface.params.get("yesterday_commission") != 0:
commission_expense = trade.price * trade.volume * self.interface.params.get(
"yesterday_commission")
else:
commission_expense = 0
else:
if self.interface.params.get("close_commission") != 0:
commission_expense = trade.price * trade.volume * self.interface.params.get(
"close_commission")
else:
commission_expense = 0
if trade.offset == Offset.CLOSETODAY or trade.offset == Offset.CLOSEYESTERDAY or trade.offset == Offset.CLOSE:
reversed_map = {
Direction.LONG: Direction.SHORT,
Direction.SHORT: Direction.LONG
}
position: PositionData = self.position_manager.get_position_by_ld(
trade.local_symbol, reversed_map[trade.direction])
if self.interface.params.get(
"size_map") is None or self.interface.params.get(
"size_map").get(trade.local_symbol) is None:
raise ConfigError(message="请检查你的回测配置中是否存在着size配置",
args=("回测配置错误", ))
if trade.direction == Direction.LONG:
""" 平空头 """
pnl = (position.price -
trade.price) * trade.volume * self.interface.params.get(
"size_map").get(trade.local_symbol)
else:
""" 平多头 """
pnl = (trade.price - position.price
) * trade.volume * self.interface.params.get(
"size_map").get(trade.local_symbol)
self.balance += pnl
self.balance -= commission_expense
self.commission_expense += commission_expense
self.count_statistics += 1
self.position_manager.update_trade(trade=trade)
if not self.date:
self.date = self.interface.date
if self.interface.date != self.date:
""" 新的一天 """
self.settle()
self.date = self.interface.date
def _load_ext(self):
"""根据当前配置文件下的信息载入行情api和交易api,记住这个api的选项是可选的"""
self.__active = True
if "CONNECT_INFO" in self.config.keys():
info = self.config.get("CONNECT_INFO")
else:
raise ConfigError(message="没有相应的登录信息", args=("没有发现登录信息", ))
MdApi, TdApi = Interface.get_interface(self)
if self.config.get("MD_FUNC"):
self.market = MdApi(self.event_engine)
self.market.connect(info)
if self.config.get("TD_FUNC"):
if self.config['INTERFACE'] == "looper":
self.trader = TdApi(self.event_engine, self)
else:
self.trader = TdApi(self.event_engine)
self.trader.connect(info)
show_me = \
f"""
{"*" * 60}
* *
* ------------------------------------- *
* | | *
* | ctpbee: {__version__.ljust(16, " ")} | *
* | work_mode: {self.work_mode.ljust(16, " ")} | *
* | engine: {self.engine_method.ljust(16, " ")} | *
* | | *
* ------------------------------------- *
* *
{"*" * 60}
"""
print(show_me)
# 检查work_mode
if self.work_mode == "forever":
""" 7×24小时 """
# 启动监视器
if self.p is not None:
self.p_flag = False
sleep(1.5)
self.p = Thread(target=run_forever, args=(self, ))
self.p.start()
else:
self.p = Thread(target=run_forever, args=(self, ))
self.p.start()
self.p_flag = True
else:
pass
if self.refresh:
if self.r is not None:
self.r_flag = False
sleep(self.config['REFRESH_INTERVAL'] + 1.5)
self.r = Thread(target=refresh_query, args=(self, ))
self.r.start()
else:
self.r = Thread(target=refresh_query, args=(self, ))
self.r.start()
self.r_flag = True
self.p_flag = True
