def prod_test(tday, name='prod_test'):
logging.basicConfig(
filename="ctp_" + name + ".log",
level=logging.DEBUG,
format=
'%(name)s:%(funcName)s:%(lineno)d:%(asctime)s %(levelname)s %(message)s'
)
#trader_cfg = TEST_TRADER
user_cfg = PROD_USER
agent_name = name
ins_setup = {
'm1505': (0, 0.5, 8, False),
'RM505': (0, 0.5, 10, False),
'rb1505': (0, 0.5, 10, False),
'y1505': (0, 0.5, 4, False),
'l1505': (0, 0.5, 4, False),
'pp1505': (0, 0.5, 4, False),
'ru1505': (0, 0.5, 1, False),
'ag1506': (0, 0.5, 6, False),
'au1506': (0, 0.5, 1, False),
'j1505': (0, 0.5, 2, False),
'al1505': (0, 0.5, 5, False),
'IF1504': (0, 0.5, 1, True)
}
insts = ins_setup.keys()
units_dt = [ins_setup[inst][2] for inst in insts]
under_dt = [[inst] for inst in insts]
vol_dt = [[1] for inst in insts]
ratios = [[ins_setup[inst][1], ins_setup[inst][1]] for inst in insts]
lookbacks = [ins_setup[inst][0] for inst in insts]
daily_close = [ins_setup[inst][3] for inst in insts]
dt_strat = strat_dt.DTTrader('ProdDT',
under_dt,
vol_dt,
trade_unit=units_dt,
ratios=ratios,
lookbacks=lookbacks,
agent=None,
daily_close=False,
email_notify=['*****@*****.**'])
dt_strat.close_tday = daily_close
strategies = [dt_strat]
strat_cfg = {'strategies': strategies, \
'folder': 'C:\\dev\\src\\ktlib\\pythonctp\\pyctp\\', \
'daily_data_days':3, \
'min_data_days':1 }
#myagent = create_agent(agent_name, user_cfg, trader_cfg, insts, strat_cfg)
all_insts = ins_setup.keys()
myagent, my_trader = emulator.create_agent_with_mocktrader(
agent_name, all_insts, strat_cfg, tday)
fut_api.make_user(myagent, user_cfg)
myagent.resume()
try:
while 1:
time.sleep(1)
except KeyboardInterrupt:
myagent.mdapis = []
myagent.trader = None
def onRestart(self):
if self.agent != None:
self.scur_day = self.agent.scur_day
save_insts = filter_main_cont(self.scur_day)
self.agent = agent.SaveAgent(name = self.name, trader = None, cuser = None, instruments=save_insts, daily_data_days=0, min_data_days=0, tday = tday)
self.agent.logger.addHandler(self.text_handler)
fut_api.make_user(self.agent, misc.PROD_USER)
return
def rbreaker_test(tday, name='rbreaker_test'):
logging.basicConfig(
filename="ctp_" + name + ".log",
level=logging.DEBUG,
format=
'%(name)s:%(funcName)s:%(lineno)d:%(asctime)s %(levelname)s %(message)s'
)
#trader_cfg = TEST_TRADER
user_cfg = PROD_USER
agent_name = name
ins_setup = {
'IF1504': [[0.35, 0.07, 0.25], 1, 30],
'ru1509': [[0.35, 0.07, 0.25], 1, 120],
'rb1510': [[0.35, 0.07, 0.25], 10, 20],
'RM509': [[0.35, 0.07, 0.25], 8, 20],
'm1509': [[0.35, 0.07, 0.25], 8, 30],
'ag1506': [[0.35, 0.07, 0.25], 8, 40],
'y1509': [[0.35, 0.07, 0.25], 8, 60]
}
insts = ins_setup.keys()
units_rb = [ins_setup[inst][1] for inst in insts]
under_rb = [[inst] for inst in insts]
vol_rb = [[1] for inst in insts]
ratios = [ins_setup[inst][0] for inst in insts]
min_rng = [ins_setup[inst][2] for inst in insts]
stop_loss = 0.02
rb_strat = strat_rb.RBreakerTrader('RBreaker',
under_rb,
vol_rb,
trade_unit=units_rb,
ratios=ratios,
min_rng=min_rng,
trail_loss=stop_loss,
freq=1,
agent=None,
email_notify=['*****@*****.**'])
strategies = [rb_strat]
strat_cfg = {'strategies': strategies, \
'folder': 'C:\\dev\\src\\ktlib\\pythonctp\\pyctp\\', \
'daily_data_days':1, \
'min_data_days':1 }
#myagent = create_agent(agent_name, user_cfg, trader_cfg, insts, strat_cfg)
all_insts = ins_setup.keys()
myagent, my_trader = emulator.create_agent_with_mocktrader(
agent_name, all_insts, strat_cfg, tday)
fut_api.make_user(myagent, user_cfg)
myagent.resume()
try:
while 1:
time.sleep(1)
except KeyboardInterrupt:
myagent.mdapis = []
myagent.trader = None
def save_all(tday):
logging.basicConfig(filename="save_all_agent.log",level=logging.INFO,format='%(name)s:%(funcName)s:%(lineno)d:%(asctime)s %(levelname)s %(message)s')
save_insts = filter_main_cont(tday)
app_name = 'SaveAgent'
my_agent = agent.SaveAgent(name = app_name, trader = None, cuser = None, instruments=save_insts, daily_data_days=0, min_data_days=0, tday = tday)
fut_api.make_user(my_agent, misc.PROD_USER)
try:
while 1:
time.sleep(1)
except KeyboardInterrupt:
my_agent.mdapis = []; my_agent.trader = None
def semi_mock(curr_date, user_cfg, insts=[['IF1412', 'IF1503']]):
''' 半模拟
实际行情，mock交易
'''
logging.basicConfig(
filename="ctp_semi_mock.log",
level=logging.INFO,
format=
'%(name)s:%(funcName)s:%(lineno)d:%(asctime)s %(levelname)s %(message)s'
)
instruments = list(set(itertools.chain(*insts)))
data_func = [
('d', BaseObject(name = 'ATR_20', sfunc=fcustom(data_handler.ATR, n=20), rfunc=fcustom(data_handler.atr, n=20))), \
('d', BaseObject(name = 'DONCH_L10', sfunc=fcustom(data_handler.DONCH_L, n=10), rfunc=fcustom(data_handler.donch_l, n=10))),\
('d', BaseObject(name = 'DONCH_H10', sfunc=fcustom(data_handler.DONCH_H, n=10), rfunc=fcustom(data_handler.donch_h, n=10))),\
('d', BaseObject(name = 'DONCH_L20', sfunc=fcustom(data_handler.DONCH_L, n=20), rfunc=fcustom(data_handler.donch_l, n=20))),\
('d', BaseObject(name = 'DONCH_H20', sfunc=fcustom(data_handler.DONCH_H, n=20), rfunc=fcustom(data_handler.donch_h, n=20))),\
('1m',BaseObject(name = 'EMA_3', sfunc=fcustom(data_handler.EMA, n=3), rfunc=fcustom(data_handler.ema, n=3))), \
('1m',BaseObject(name = 'EMA_30', sfunc=fcustom(data_handler.EMA, n=30), rfunc=fcustom(data_handler.ema, n=30))) \
]
test_strat = strat.Strategy('TestStrat', [insts], None, data_func,
[[1, -1]])
strat_cfg = {'strategies': [test_strat], \
'folder': 'C:\\dev\\src\\ktlib\\pythonctp\\pyctp\\', \
'daily_data_days':25, \
'min_data_days':2 }
agent_name = "Test"
tday = curr_date
my_agent, my_trader = create_agent_with_mocktrader(agent_name, instruments,
strat_cfg, tday)
fut_api.make_user(my_agent, user_cfg)
req = BaseObject(InstrumentID='cu1502')
my_trader.ReqQryInstrumentMarginRate(req)
my_trader.ReqQryInstrument(req)
my_trader.ReqQryTradingAccount(req)
my_agent.resume()
try:
while 1:
time.sleep(1)
except KeyboardInterrupt:
my_agent.mdapis = []
my_agent.trader = None
pass
def prod_test(tday, name='prod_test'):
logging.basicConfig(filename="ctp_" + name + ".log",level=logging.DEBUG,format='%(name)s:%(funcName)s:%(lineno)d:%(asctime)s %(levelname)s %(message)s')
#trader_cfg = TEST_TRADER
user_cfg = PROD_USER
agent_name = name
ins_setup = {'m1505':(0, 0.5, 8, False),
'RM505':(0, 0.5, 10, False),
'rb1505':(0,0.5, 10, False),
'y1505':(0, 0.5, 4, False),
'l1505':(0, 0.5, 4, False),
'pp1505':(0,0.5, 4, False),
'ru1505':(0, 0.5, 1, False),
'ag1506':(0, 0.5, 6, False),
'au1506':(0, 0.5, 1, False),
'j1505':(0, 0.5, 2, False),
'al1505':(0, 0.5, 5, False),
'IF1504':(0, 0.5, 1, True)}
insts = ins_setup.keys()
units_dt = [ins_setup[inst][2] for inst in insts]
under_dt = [[inst] for inst in insts]
vol_dt = [[1] for inst in insts]
ratios = [[ins_setup[inst][1], ins_setup[inst][1]] for inst in insts]
lookbacks = [ins_setup[inst][0] for inst in insts]
daily_close = [ins_setup[inst][3] for inst in insts]
dt_strat = strat_dt.DTTrader('ProdDT', under_dt, vol_dt, trade_unit = units_dt,
ratios = ratios, lookbacks = lookbacks,
agent = None, daily_close = False,
email_notify = ['*****@*****.**'])
dt_strat.close_tday = daily_close
strategies = [dt_strat]
strat_cfg = {'strategies': strategies, \
'folder': 'C:\\dev\\src\\ktlib\\pythonctp\\pyctp\\', \
'daily_data_days':3, \
'min_data_days':1 }
#myagent = create_agent(agent_name, user_cfg, trader_cfg, insts, strat_cfg)
all_insts = ins_setup.keys()
myagent, my_trader = emulator.create_agent_with_mocktrader(agent_name, all_insts, strat_cfg, tday)
fut_api.make_user(myagent,user_cfg)
myagent.resume()
try:
while 1: time.sleep(1)
except KeyboardInterrupt:
myagent.mdapis = []
myagent.trader = None
def semi_mock(curr_date, user_cfg, insts = [['IF1412', 'IF1503']]):
''' 半模拟
实际行情，mock交易
'''
logging.basicConfig(filename="ctp_semi_mock.log",level=logging.INFO,format='%(name)s:%(funcName)s:%(lineno)d:%(asctime)s %(levelname)s %(message)s')
instruments = list(set(itertools.chain(*insts)))
data_func = [
('d', BaseObject(name = 'ATR_20', sfunc=fcustom(data_handler.ATR, n=20), rfunc=fcustom(data_handler.atr, n=20))), \
('d', BaseObject(name = 'DONCH_L10', sfunc=fcustom(data_handler.DONCH_L, n=10), rfunc=fcustom(data_handler.donch_l, n=10))),\
('d', BaseObject(name = 'DONCH_H10', sfunc=fcustom(data_handler.DONCH_H, n=10), rfunc=fcustom(data_handler.donch_h, n=10))),\
('d', BaseObject(name = 'DONCH_L20', sfunc=fcustom(data_handler.DONCH_L, n=20), rfunc=fcustom(data_handler.donch_l, n=20))),\
('d', BaseObject(name = 'DONCH_H20', sfunc=fcustom(data_handler.DONCH_H, n=20), rfunc=fcustom(data_handler.donch_h, n=20))),\
('1m',BaseObject(name = 'EMA_3', sfunc=fcustom(data_handler.EMA, n=3), rfunc=fcustom(data_handler.ema, n=3))), \
('1m',BaseObject(name = 'EMA_30', sfunc=fcustom(data_handler.EMA, n=30), rfunc=fcustom(data_handler.ema, n=30))) \
]
test_strat = strat.Strategy('TestStrat', [insts], None, data_func, [[1,-1]])
strat_cfg = {'strategies': [test_strat], \
'folder': 'C:\\dev\\src\\ktlib\\pythonctp\\pyctp\\', \
'daily_data_days':25, \
'min_data_days':2 }
agent_name = "Test"
tday = curr_date
my_agent, my_trader = create_agent_with_mocktrader(agent_name, instruments, strat_cfg, tday)
fut_api.make_user(my_agent,user_cfg)
req = BaseObject(InstrumentID='cu1502')
my_trader.ReqQryInstrumentMarginRate(req)
my_trader.ReqQryInstrument(req)
my_trader.ReqQryTradingAccount(req)
my_agent.resume()
try:
while 1: time.sleep(1)
except KeyboardInterrupt:
my_agent.mdapis = [];
my_agent.trader = None
pass
def rbreaker_test(tday, name='rbreaker_test'):
logging.basicConfig(filename="ctp_" + name + ".log",level=logging.DEBUG,format='%(name)s:%(funcName)s:%(lineno)d:%(asctime)s %(levelname)s %(message)s')
#trader_cfg = TEST_TRADER
user_cfg = PROD_USER
agent_name = name
ins_setup = {'IF1504': [[0.35, 0.07, 0.25], 1, 30],
'ru1509': [[0.35, 0.07, 0.25], 1, 120],
'rb1510': [[0.35, 0.07, 0.25], 10, 20],
'RM509' : [[0.35, 0.07, 0.25], 8, 20],
'm1509' : [[0.35, 0.07, 0.25], 8, 30],
'ag1506': [[0.35, 0.07, 0.25], 8, 40],
'y1509' : [[0.35, 0.07, 0.25], 8, 60]}
insts = ins_setup.keys()
units_rb = [ins_setup[inst][1] for inst in insts]
under_rb = [[inst] for inst in insts]
vol_rb = [[1] for inst in insts]
ratios = [ins_setup[inst][0] for inst in insts]
min_rng = [ins_setup[inst][2] for inst in insts]
stop_loss = 0.02
rb_strat = strat_rb.RBreakerTrader('RBreaker', under_rb, vol_rb, trade_unit = units_rb,
ratios = ratios, min_rng = min_rng, trail_loss = stop_loss, freq = 1,
agent = None, email_notify = ['*****@*****.**'])
strategies = [rb_strat]
strat_cfg = {'strategies': strategies, \
'folder': 'C:\\dev\\src\\ktlib\\pythonctp\\pyctp\\', \
'daily_data_days':1, \
'min_data_days':1 }
#myagent = create_agent(agent_name, user_cfg, trader_cfg, insts, strat_cfg)
all_insts = ins_setup.keys()
myagent, my_trader = emulator.create_agent_with_mocktrader(agent_name, all_insts, strat_cfg, tday)
fut_api.make_user(myagent,user_cfg)
myagent.resume()
try:
while 1: time.sleep(1)
except KeyboardInterrupt:
myagent.mdapis = []
myagent.trader = None
