class LooperLogger:
def __init__(self, v_logger=None):
if v_logger:
self.logger = v_logger
else:
self.logger = VLogger(CP, app_name="Vessel")
self.logger.set_default(name=self.logger.app_name, owner='App')
def info(self, msg, **kwargs):
kwargs['owner'] = "Looper"
self.logger.info(msg, **kwargs)
def error(self, msg, **kwargs):
kwargs['owner'] = "Looper"
self.logger.error(msg, **kwargs)
def debug(self, msg, **kwargs):
kwargs['owner'] = "Looper"
self.logger.debug(msg, **kwargs)
def warning(self, msg, **kwargs):
kwargs['owner'] = "Looper"
self.logger.warning(msg, **kwargs)
def __repr__(self):
return "LooperLogger -----> just enjoy it"
class LooperLogger:
def __init__(self, v_logger=None):
if v_logger:
self.logger = v_logger
else:
self.logger = VLogger(app_name="Vessel")
def info(self, msg, **kwargs):
self.logger.info(msg, owner="Looper", **kwargs)
def error(self, msg, **kwargs):
self.logger.error(msg, owner="Looper", **kwargs)
def debug(self, msg, **kwargs):
self.logger.debug(msg, owner="Looper", **kwargs)
def warning(self, msg, **kwargs):
self.logger.warning(msg, owner="Looper", **kwargs)
def __repr__(self):
return "LooperLogger -----> just enjoy it"
class CtpBee(object):
"""
ctpbee 源于我对于做项目的痛点需求, 旨在开发出一套具有完整api的交易微框架
I hope it will help you !
"""
# 默认回测配置参数
default_config = ImmutableDict(
dict(
LOG_OUTPUT=True, # 是否开启输出模式
TD_FUNC=False, # 是否开启交易功能
INTERFACE="ctp", # 接口参数，默认指定国内期货ctp
MD_FUNC=True, # 是否开启行情功能
XMIN=[], # k线序列周期， 支持一小时以内的k线任意生成
ALL_SUBSCRIBE=False,
SHARE_MD=False, # 是否多账户之间共享行情，---> 等待完成
SLIPPAGE_COVER=0, # 平多头滑点设置
SLIPPAGE_SELL=0, # 平空头滑点设置
SLIPPAGE_SHORT=0, # 卖空滑点设置
SLIPPAGE_BUY=0, # 买多滑点设置
SHARED_FUNC=False, # 分时图数据 --> 等待优化
REFRESH_INTERVAL=1.5, # 定时刷新秒数， 需要在CtpBee实例化的时候将refresh设置为True才会生效
INSTRUMENT_INDEPEND=False, # 是否开启独立行情，策略对应相应的行情
CLOSE_PATTERN=
"today", # 面对支持平今的交易所，优先平今或者平昨 ---> today: 平今, yesterday: 平昨， 其他:d
TODAY_EXCHANGE=[Exchange.SHFE.value,
Exchange.INE.value], # 需要支持平今的交易所代码列表
AFTER_TIMEOUT=3, # 设置after线程执行超时,
TIMER_INTERVAL=1,
PATTERN="real"))
config_class = Config
import_name = None
# 交易api与行情api / trade api and market api
market = None
trader = None
tools = {}
def __init__(self,
name: Text,
import_name,
action_class: Action or None = None,
engine_method: str = "thread",
logger_class=None,
logger_config=None,
refresh: bool = False,
risk: RiskLevel = None,
instance_path=None):
"""
name: 创建运行核心的名字
import_name: 导入包的名字， 用__name__即可'
action_class: 执行器 > 默认使用系统自带的Action, 或者由用户继承，然后传入类
engine_method: Actor模型采用的底层的引擎
logger_class: logger类，可以自己定义
refresh: 是否自己主动持仓
risk: 风险管理类, 可以自己继承RiskLevel进行定制
sim: 是否进行模拟
"""
self.start_datetime = datetime.now()
self.basic_info = None
self._extensions = {}
self.name = name if name else 'ctpbee'
self.import_name = import_name
self.engine_method = engine_method
self.refresh = refresh
self.active = False
# 是否加载以使用默认的logger类/ choose if use the default logging class
if logger_class is None:
self.logger = VLogger(CP, app_name=self.name)
self.logger.set_default(name=self.logger.app_name, owner=self.name)
else:
if logger_config:
self.logger = logger_class(logger_config, app_name=self.name)
else:
self.logger = logger_class(CP, app_name=self.name)
self.logger.set_default(name=self.logger.app_name, owner='App')
self.app_signal = AppSignal(self.name)
if engine_method == "thread":
self.recorder = Recorder(self)
else:
raise TypeError("引擎参数错误，只支持 thread 和 async，请检查代码")
"""
If no risk is specified by default, set the risk_decorator to None
如果默认不指定action参数， 那么使用设置风控装饰器为空
"""
if risk is None:
self.risk_decorator = None
else:
self.risk_decorator = risk
"""
If no action is specified by default, use the default Action class
如果默认不指定action参数， 那么使用默认的Action类
"""
if action_class is None:
self.action: Action = Action(self)
else:
self.action: Action = action_class(self)
"""
根据action里面的函数更新到CtpBee上面来
bind the function of action to CtpBee
"""
"""
If engine_method is specified by default, use the default EventEngine and Recorder or use the engine
and recorder basis on your choice
如果不指定engine_method参数，那么使用默认的事件引擎 或者根据你的参数使用不同的引擎和记录器
"""
if instance_path is None:
instance_path = self.auto_find_instance_path()
elif not os.path.isabs(instance_path):
raise ValueError(
'If an instance path is provided it must be absolute.'
' A relative path was given instead.')
self.instance_path = instance_path
self.config = self.make_config()
self.init_finished = False
self.qifi = None
# default monitor and flag
self.p = None
self.p_flag = True
self.r = None
self.r_flag = True
self.center: Center = Center(self)
self._init_interface = False
""" update """
if self.risk_decorator is not None:
self.risk_decorator.update_app(self)
for x in dir(self.action):
func = getattr(self.action, x)
if x.startswith("__"):
continue
if ismethod(func):
setattr(self, func.__name__, func)
_app_context_ctx.push(self.name, self)
self.data = []
def add_data(self, *data):
"""
在回测模式下添加历史数据到系统中去
Args:
data (list): 多个数据载入
Examples:
# first style
app.add_data(data1_iter, data2_iter)
# second style
data = [data1_iter, data2_iter)
app.add_data(*data)
"""
if self.config.get("PATTERN") == "looper":
self.data = data
else:
raise TypeError("此API仅仅接受回测模式, 请通过配置文件 PATTERN 修改运行模式")
def update_action_class(self, action_class):
"""
更新操作类,除了在CtpBee的构造函数中传入action外, 你还可以通过此接口更新Action类
Args:
action_class (Action): 操作类
"""
if isinstance(action_class, Action):
raise TypeError(
f"更新action_class出现错误, 你传入的action_class类型为{type(action_class)}")
self.action = action_class(self)
def update_risk_gateway(self, gateway_class):
"""
更新CtpBee中的风控
Args:
gateway_class (RiskLevel): 风险控制类
"""
self.risk_decorator = gateway_class
self.risk_decorator.update_app(self)
def make_config(self):
"""
生成config实例
"""
defaults = dict(self.default_config)
return self.config_class(self.instance_path, defaults)
def auto_find_instance_path(self):
"""
找到实例地址
"""
prefix, package_path = find_package(self.import_name)
if prefix is None:
return os.path.join(package_path)
return os.path.join(prefix, 'var', self.name + '-instance')
@property
def td_login_status(self):
"""
交易接口状态
交易 API 都应该实现td_status
"""
return self.trader.td_status
@property
def md_login_status(self):
"""
行情接口状态
行情 API 都应该实现md_status
"""
return self.market.md_status
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
"""
show_me = graphic_pattern(__version__, self.engine_method)
if logout:
print(show_me)
self.init_interface()
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 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 start(self, log_output=True, debug=False):
"""
开启处理整个事件处理循环
Args:
log_output(bool): 是否输出log信息
debug(bool): 是否开启调试模式 ----> 等待完成
"""
if self.config.get("PATTERN") == "real":
def running_timer(common_signal):
while True:
event = Event(type=EVENT_TIMER)
common_signal.timer_signal.send(event)
sleep(self.config['TIMER_INTERVAL'])
self.timer = Thread(target=running_timer, args=(common_signals, ))
self.timer.start()
self.config["LOG_OUTPUT"] = log_output
self._running(logout=log_output)
elif self.config.get("PATTERN") == "looper":
self.config["INTERFACE"] = "looper"
show_me = graphic_pattern(__version__, self.engine_method)
if log_output:
print(show_me)
self.init_interface()
print(">>>> 回测接口载入成功")
return self._start_looper()
else:
raise ValueError("错误的参数, 仅仅支持")
def get_result(self, report: bool = False, **kwargs):
"""
计算回测结果，生成回测报告
Args:
report(bool): 是否生成报告
auto_open(bool): 是否让浏览器自动打开回测报告
Return:
Dataframe: 生成结果, 以Dataframe形式.
"""
strategys = list(self._extensions.keys())
end_time = datetime.now()
"""
账户数据
"""
account_data = self.trader.account.get_mapping("balance")
"""
耗费时间
"""
cost_time = f"{str(end_time.hour - self.start_datetime.hour)}" \
f"h {str(end_time.minute - self.start_datetime.minute)}m " \
f"{str(end_time.second - self.start_datetime.second)}s"
"""
每日盈利
"""
net_pnl = self.trader.account.get_mapping("net_pnl")
"""
成交单数据
"""
trade_data = list(map(dumps,
self.trader.traded_order_mapping.values()))
position_data = self.trader.position_detail
if report:
path = render_result(self.trader.account.result,
trade_data=trade_data,
strategy=strategys,
net_pnl=net_pnl,
account_data=account_data,
datetimed=end_time,
position_data=position_data,
cost_time=cost_time,
**kwargs)
print(f"请复制下面的路径到浏览器打开----> \n {path}")
return self.trader.account.result, list(
self.trader.traded_order_mapping.values())
def add_basic_info(self, info):
"""
添加基础手续费以及size_map等信息
todo: 暂未开源data_api
Args:
info(dict): 配置信息
"""
if self.config.get("PATTERN") != "looper":
raise TypeError("此API仅在回测模式下进行调用")
self.basic_info = info
if self.trader is not None:
self.trader.account.basic_info = self.basic_info
def _start_looper(self):
"""
基于现有的数据进行回测数据, 此API用户不需要关注
"""
d = VessData(*self.data)
if self.basic_info is not None:
self.trader.account.basic_info = self.basic_info
""" trader初始化参数"""
self.trader.init_params(params=self.config)
flag = False
while True:
try:
if flag:
p = next(d)
self.trader(p)
else:
print("===> 发送初始化信号")
from ctpbee.constant import EVENT_INIT_FINISHED
self.app_signal.init_signal.send(
Event(type=EVENT_INIT_FINISHED, data=None))
flag = True
except StopIteration:
self.logger.info("回测结束,正在生成结果")
break
except ValueError:
raise ValueError("数据存在问题, 请检查")
return self.trader
def remove_extension(self, extension_name: Text) -> None:
"""
移除插件(策略)
Args:
extension_name(Text): 策略名
"""
if extension_name in self._extensions:
del self._extensions[extension_name]
def add_extension(self, extension: CtpbeeApi) -> None:
"""
添加插件(策略)
Args:
extension(CtpbeeApi): 策略实例
"""
self._extensions.pop(extension.extension_name, None)
extension.init_app(self)
def suspend_extension(self, extension_name: Text) -> bool:
"""
停止插件(策略)
Args:
extension_name(Text): 策略名字
"""
extension = self._extensions.get(extension_name, None)
if not extension:
return False
extension.frozen = True
return True
def get_extension(self, extension_name) -> None or CtpbeeApi:
"""
获取插件(策略)实例
Args:
extension_name(Text): 策略名字
Return:
CtpbeeApi/None: 存在就返回实体，不存在返回None
"""
if extension_name in self._extensions:
return self._extensions.get(extension_name)
else:
return None
def enable_extension(self, extension_name) -> bool:
"""
启用插件(策略)实例
Args:
extension_name(Text): 策略名字
Return:
bool: 操作结果
"""
extension = self._extensions.get(extension_name, None)
if not extension:
return False
extension.frozen = False
return True
def del_extension(self, extension_name: Text):
"""
卸载插件(策略)实例
Args:
extension_name(Text): 策略名字
Return:
None
"""
self._extensions.pop(extension_name, None)
def reload(self):
"""
重新载入接口
"""
if self.market is not None:
self.market.close()
if self.trader is not None:
self.trader.close()
# 清空处理队列
sleep(3)
self.market, self.trader = None, None
self._running()
def release(self):
"""
释放账户,安全退出
todo: fix this API
"""
try:
if self.market is not None:
self.market.close()
if self.trader is not None:
self.trader.close()
self.market, self.trader = None, None
if self.r is not None:
""" 强行终结掉线程 """
end_thread(self.r)
if self.timer is not None:
end_thread(self.timer)
except AttributeError:
pass