def OnTick(self,Tick): print repr(Tick) if self.tsData.has_key(Tick.InstrumentID): self.tsData[Tick.InstrumentID].append(Tick.LastPrice) self.askData[Tick.InstrumentID].append(Tick.AskPrice1) self.bidData[Tick.InstrumentID].append(Tick.BidPrice1) for i in range(len(self.tradingOrder)): if self.tsData[self.tradingOrder[i][0]]!=[] and self.tsData[self.tradingOrder[i][1]]!=[]: if self.tsData[self.tradingOrder[i][0]][-1]-self.tsData[self.tradingOrder[i][1]][-1]*self.tradingOrder[i][2]>self.tradingOrder[i][4] or self.tsData[self.tradingOrder[i][0]][-1]-self.tsData[self.tradingOrder[i][1]][-1]*self.tradingOrder[i][2]<self.tradingOrder[i][3]: #定义买单下单参数 strategyName="spreadTrading" instrument_id=self.tradingOrder[i][0] limitPrice=self.askData[self.tradingOrder[i][0]][-1] volume=Ygg.dataOperation().findMulti(self.tradingOrder[i][2]) orderPriceType='2' direction='0' combOffSetFlag='0' combHedgeFlag='1' #定义下单结构体 dataBuy=tradingData(self.TD.spi,strategyName).inputOrderField(self.TD.broker_id,self.TD.investor_id,instrument_id,volume,limitPrice,orderPriceType,direction,combOffSetFlag,combHedgeFlag) #定义卖单下单参数 instrument_id=self.tradingOrder[i][1] limitPrice=self.bidData[self.tradingOrder[i][1]][-1] volume=round(self.tradingOrder[i][2]*Ygg.dataOperation().findMulti(self.tradingOrder[i][2])) orderPriceType='2' direction='1' combOffSetFlag='0' combHedgeFlag='1' #定义下单结构体 dataSell=tradingData(self.TD.spi,strategyName).inputOrderField(self.TD.broker_id,self.TD.investor_id,instrument_id,volume,limitPrice,orderPriceType,direction,combOffSetFlag,combHedgeFlag) #下单 self.TD.user.ReqOrderInsert(dataBuy,self.TD.spi.requestid) self.TD.user.ReqOrderInsert(dataSell,self.TD.spi.requestid)
def OnTick(self, Tick):
print repr(Tick)
if self.tsData.has_key(Tick.InstrumentID):
self.tsData[Tick.InstrumentID].append(Tick.LastPrice)
self.askData[Tick.InstrumentID].append(Tick.AskPrice1)
self.bidData[Tick.InstrumentID].append(Tick.BidPrice1)
for i in range(len(self.tradingOrder)):
if self.tsData[self.tradingOrder[i][0]] != [] and self.tsData[
self.tradingOrder[i][1]] != []:
if self.tsData[self.tradingOrder[i][0]][-1] - self.tsData[
self.tradingOrder[i]
[1]][-1] * self.tradingOrder[i][2] > self.tradingOrder[i][
4] or self.tsData[self.tradingOrder[i][0]][
-1] - self.tsData[self.tradingOrder[i]
[1]][-1] * self.tradingOrder[i][
2] < self.tradingOrder[i][3]:
#定义买单下单参数
strategyName = "spreadTrading"
instrument_id = self.tradingOrder[i][0]
limitPrice = self.askData[self.tradingOrder[i][0]][-1]
volume = Ygg.dataOperation().findMulti(
self.tradingOrder[i][2])
orderPriceType = '2'
direction = '0'
combOffSetFlag = '0'
combHedgeFlag = '1'
#定义下单结构体
dataBuy = tradingData(
self.TD.spi, strategyName).inputOrderField(
self.TD.broker_id, self.TD.investor_id,
instrument_id, volume, limitPrice, orderPriceType,
direction, combOffSetFlag, combHedgeFlag)
#定义卖单下单参数
instrument_id = self.tradingOrder[i][1]
limitPrice = self.bidData[self.tradingOrder[i][1]][-1]
volume = round(
self.tradingOrder[i][2] *
Ygg.dataOperation().findMulti(self.tradingOrder[i][2]))
orderPriceType = '2'
direction = '1'
combOffSetFlag = '0'
combHedgeFlag = '1'
#定义下单结构体
dataSell = tradingData(
self.TD.spi, strategyName).inputOrderField(
self.TD.broker_id, self.TD.investor_id,
instrument_id, volume, limitPrice, orderPriceType,
direction, combOffSetFlag, combHedgeFlag)
#下单
self.TD.user.ReqOrderInsert(dataBuy, self.TD.spi.requestid)
self.TD.user.ReqOrderInsert(dataSell,
self.TD.spi.requestid)
def strategySpread(self,startDate,endDate,assetCode,sigmaMultiplier,tableName):
startDate=Ygg.dataOperation().strToDate(startDate)
endDate=Ygg.dataOperation().strToDate(endDate)
folderPath=os.getcwd()
#提取期货数据
data=Ygg.dataOperation().retrieveData(assetCode,startDate,endDate)
#进行价差分析运算
[res0,startDate,endDate]=Ygg.strategy().spreadSpeculation(data,folderPath,sigmaMultiplier)
#写入数据库
Ygg.dataOperation().backtestDBInsert(res0,startDate,endDate,tableName)
def strategySpread(self, startDate, endDate, assetCode, sigmaMultiplier,
tableName):
startDate = Ygg.dataOperation().strToDate(startDate)
endDate = Ygg.dataOperation().strToDate(endDate)
folderPath = os.getcwd()
#提取期货数据
data = Ygg.dataOperation().retrieveData(assetCode, startDate, endDate)
#进行价差分析运算
[res0, startDate,
endDate] = Ygg.strategy().spreadSpeculation(data, folderPath,
sigmaMultiplier)
#写入数据库
Ygg.dataOperation().backtestDBInsert(res0, startDate, endDate,
tableName)
futureAccount = config.get("Trading", "futureAccount")
startDate = config.get("Date", "startDate")
endDate = config.get("Date", "endDate")
commodityCode = config.get("Data", "commodityIndex").split(",")
securityMarginCode = config.get("Data", "securityMargin").split(",")
#提取wind行情参数
quoteStartDate = '1995-01-01'
quoteEndDate = '2013-11-01'
fields = config.get("Data", "fields")
commodityName = "commodityIndex"
securityMarginName = "securityMargin"
#提取wind行情并写入数据库
#Ygg.dataOperation().getLowFreData(commodityName,quoteStartDate,quoteEndDate,fields,commodityCode)
Ygg.dataOperation().getLowFreData(securityMarginName, quoteStartDate,
quoteEndDate, fields, securityMarginCode)
'''
#主力合同位置
#C:\Users\Skywalker\Documents\Python\quantsTrading\configurationFile
path='%s/configurationFile/commodityContract.xlsx'%(os.getcwd()[0:-8])
#价差参数
sigmaMultiplier=config.get("Assumption","sigmaMultiplier").split(",")
#价差策略计算
strategyName='spread'
#strategy=cloud.strategy()
#strategy.strategySpread(startDate,endDate,commodityCode,sigmaMultiplier,strategyName)
#策略选择规则参数
BetaADF=0.1
