def start(self, full_codes, shareDict, CTP):
self.shareDict = shareDict
self.Record = future_orderForm()
if not self.isWorking:
self.Record.tablename = self.orderFormTest
self.Rice = interface_Rice()
# 基础配置信息类
self.baseInfo = BaseInfo(full_codes, self.Rice)
# ctp 接口类
self.CTP = CTP if CTP is not None else interface_pyctp(use=self.isCTPUse,userkey=self.ctpuser)
self.CTP.baseInfo = self.baseInfo
# 进程控制类
self.procMap = ProcessMap()
# 设置交易对的收盘时间
self.Rice.setTimeArea(self.baseInfo.nightEnd)
# 按k线类型分拆组，进行K线数据调用
self.groupByKline(full_codes)
# 初始化节点
try:
self.iniNode(full_codes)
except Exception as e:
print('iniNode error', e)
#return
# 子进程启动
full_mCodes = self.baseInfo.mainCodes #主力合约
logger.info(("model_future_detect start: %s " % ",".join(full_mCodes), self.Rice.TimeArea))
self.Rice.startTick(full_mCodes, callback=self.onTick)
def getDf(self, codes, period='1d'):
Rice = interface_Rice()
Rice.setIndexList(self.indexCodeList)
Base = future_baseInfo()
BI = BaseInfo([])
if len(codes) == 0:
codes = Base.getUsedMap(hasIndex=True)
mCodes = Rice.getMain(codes)
dfs = Rice.kline(mCodes,
period=period,
start=public.getDate(diff=-10),
pre=200)
i = 0
for mcode in mCodes:
c = codes[i]
last = BI.att(c, 'nightEnd')[0:6].replace(':', '')
file = Rice.basePath + 'future_%s_%s_%s.csv' % (
mcode, last, public.getDatetime(style='%Y%m%d_%H%M%S'))
print(mcode, last)
df = dfs[mcode]
df['datetime'] = df.index
df0 = df[df['datetime'] > '2019-01-17 13:47:40.000']
print(df0.index, len(df0))
#df.to_csv(file, index=0)
i += 1
break
def closeFuture(self, id='278231', price=5059, isstop=2, date=None):
self.Record = future_orderForm()
self.BI = BaseInfo([])
doc = self.Record.getById(id)
docnew = copy.deepcopy(doc)
base = self.BI.doc(doc['name'])
amount = price * doc['hands'] * base['contract_multiplier']
r = base['ratio']
fee = doc['hands'] * r if r >= 0.5 else amount * r
docnew.update({
"isopen":
0,
"isstop":
isstop,
"price":
price,
"mode":
-doc["mode"],
"vol":
doc['hands'] * base['contract_multiplier'],
"status":
6,
"fee":
fee,
"createdate":
public.getDatetime() if date is None else date,
"income":
np.sign(doc["mode"]) * (price - doc['price']) * doc['hands'] *
base['contract_multiplier'] - fee,
"memo":
''
})
print(docnew)
self.Record.insert(docnew)
def getMaps(self):
orderMap, codes, mCodes = {}, [], []
b = BaseInfo([])
obj = interface_pyctp(baseInfo=b, userkey='zhao')
res = obj.qryPositionDetail()
methodName = 'mZhao'
codes55 = ['J1905', 'Y1905', 'P1905', 'NI1905', 'HC1905']
for r in res:
if r['Volume'] > 0:
s = r['InstrumentID'].decode('gbk')
if s not in orderMap:
m = b.parseMCode(s)
c = b.parseCode(m)
order = {
"symbol":
s,
"code":
m,
"mode":
1 if r['Direction'].decode('gbk') == '0' else -1,
"isopen":
1,
"hands":
r['Volume'],
"price":
r['OpenPrice'],
"method":
methodName,
"createdate":
public.parseTime(r['OpenDate'].decode('utf-8'),
format='%Y%m%d',
style='%Y-%m-%d %H:%M:%S')
}
orderMap[s] = order
else:
orderMap[s]["hands"] += r['Volume']
orders = []
for key in orderMap.keys():
doc = orderMap[key]
if doc['code'] in codes55:
v = doc['hands']
v0 = int(v / 2)
doc['hands'] = v0
orders.append(doc)
# method55
v1 = v - v0
doc1 = copy.deepcopy(doc)
doc1['hands'] = v1
doc1['method'] = 'mZhao55'
orders.append(doc1)
else:
orders.append(doc)
return orders
def start(self, full_codes, Rice=None, CTP=None):
# print(full_codes)
self.Record = future_orderForm()
self.PStatus = future_status()
if not self.isWorking: self.Record.tablename = self.orderFormTest
if self.isTickSave:
self.Tick = mon_tick()
self.Rice = interface_Rice() if Rice is None else Rice
# 基础配置信息类
self.baseInfo = BaseInfo(full_codes, self.Rice)
# ctp 接口类
self.CTP = interface_pyctp(
use=self.isCTPUse, userkey=self.ctpuser) if CTP is None else CTP
self.CTP.baseInfo = self.baseInfo
# 进程控制类
self.procMap = ProcessMap()
# 趋势预测
self.trendMap = self.Record.trendMap(self.relativeMethods)
# 指数期货
self.indexList = [c[0] for c in self.indexCodeList]
# 设置交易对的收盘时间
self.Rice.setTimeArea(self.baseInfo.nightEnd)
if len(self.indexCodeList) > 0:
self.Rice.setIndexList(self.indexCodeList)
# 按k线类型分拆组，进行K线数据调用
self.groupByKline(full_codes)
# 初始化节点
self.iniNode(full_codes)
# 子进程启动
full_mCodes = self.baseInfo.mainCodes # 主力合约
logger.info(("model_future_detect start: %s " % ",".join(full_codes),
self.Rice.TimeArea))
self.Rice.startTick(full_mCodes,
kmap=self.kTypeMap,
timesleep=self.timeInterval,
source=self.sourceType,
callback=self.onTick)
def pool(self, func=None):
print(1222)
self.Rice = Rice = interface_Rice()
self.Rice.setIndexList(self.indexCodeList)
self.Base = Base = future_baseInfo()
self.Tick = mon_tick()
codes = Base.getUsedMap(hasIndex=True)
BI = BaseInfo(codes)
mCodes = Rice.getMain(codes)
period = 14
self.count = count = 300
self.preDict = {}
self.exKtype = self.getKtype()
self.renewQuicktype()
self.klines = self.quickPeriodList + self.periodList
docs, ex, trends = [], [], []
for mcode in mCodes:
print(mcode)
code = BI.parseCode(mcode)
nt = BI.att(code, 'nightEnd')
Rice.setTimeArea(BI.att(code, 'nightEnd'))
doc, base = {"code": code}, 1
for ktype in self.klines:
start = self.getStart(nt, ktype)
df0 = Rice.kline([mcode], period=ktype, start=start,
pre=0)[mcode]
if func is not None:
res = func(df0, period)
if isinstance(res, dict):
doc.update({'kline': res})
else:
doc.update({
'k_' + ktype: res,
'r_' + ktype: res / base
})
if ktype == self.quickPeriodList[0]:
doc.update({'r_' + ktype: 1})
base = res
docs.append(doc)
if len(docs) > 0:
#columns = [ ('k_'+ k, 'r_'+ k) for k in (self.klines)]
self.saveCsv(docs, 'atrCompare_%s_.csv')
def orderStart(self):
self.BI = BaseInfo([])
self.Rice = interface_Rice()
self.Record = future_orderForm()
self.Record.tablename = 'future_orderForm_1'
self.Rice.setIndexList([('IH', '000016.XSHG'), ('IF', '399300.XSHE'),
('IC', '399905.XSHE')])
map = [
['AP', 1, 1, 5, 'mZhao', 11087],
#['IH', 1, 1, 1, 'mZhao55']
]
orderMap = self.getMaps2(map)
self.addOrder(orderMap)
def pool(self):
pool = Pool(processes=5)
# 初始化codes列表
if self.topUse:
self.filterCodes()
share = Manager2()
Base = BaseInfo([])
CTP = share.interface_pyctp(use=self.isCTPUse,
baseInfo=Base,
userkey=self.ctpuser)
#CTP = None
Rice = None
pid = 0
for codes in self.seperate():
print('pool send:', pid, len(codes))
#if 'TA' not in codes:continue
#self.start(codes, Rice, CTP)
try:
pool.apply_async(self.start, (codes, Rice, CTP))
time.sleep(3)
pid += 1
pass
except Exception as e:
print(e)
continue
pool.close()
pool.join()
def start(self, full_codes):
# print(full_codes)
self.Record = future_orderForm()
if not self.isCTPUse:
self.Record.tablename = 'future_orderForm_1'
self.time0 = time.time()
if self.isTickSave:
self.Tick = mon_tick()
self.Rice = interface_Rice()
# 基础配置信息类
self.baseInfo = BaseInfo(full_codes, self.Rice)
# ctp 接口类
# self.CTP = interface_pyctp(use=self.isCTPUse, baseInfo=self.baseInfo, userkey=self.ctpuser)
# 进程控制类
self.procMap = ProcessMap()
# 设置交易对的收盘时间
self.Rice.setTimeArea(self.baseInfo.nightEnd)
self.indexList = []
if len(self.indexCodeList) > 0:
self.Rice.setIndexList(self.indexCodeList)
self.indexList = [c[0] for c in self.indexCodeList]
# 按k线类型分拆组，进行K线数据调用
self.groupByKline(full_codes)
# 初始化节点
self.iniNode(full_codes)
# return
# 子进程启动
full_mCodes = self.baseInfo.mainCodes # 主力合约
logger.info(
("%s start: %s" % (self.__class__.__name__, ",".join(full_mCodes)),
self.Rice.TimeArea))
self.Rice.startTick(full_mCodes,
kmap=self.kTypeMap,
source='combin',
callback=self.onTick)
def csv(self):
dates = ['226']
BI = BaseInfo([])
self.T0.empty()
for d in dates:
file = self.filepath + 'future_sg.csv'
# 去除
df = pd.read_csv(file, encoding='gb2312')
df['createdate'] = df['date'] + ' ' + df['time']
df['name'] = df['code'].apply(lambda x: BI.parseCode(x))
df['vol'] = df.apply(
lambda row:
(BI.att(row['name'], 'contract_multiplier') * row['hands']),
axis=1)
df.sort_values(['code', 'createdate'],
ascending=[True, True],
inplace=True)
df = df.reset_index(drop=True)
df = self.setIncome1(df)
print(df['income'].sum())
pc = 1500
df.sort_values(['createdate'], ascending=[True], inplace=True)
df = df.reset_index(drop=True)
if len(df) > pc:
pages = len(df) // pc + 1
for p in range(pages):
s, e = p * pc, (p + 1) * pc
if e > len(df): e - len(df)
docs = df.iloc[s:e].to_dict(orient='records')
print(s, e)
self.T0.insertAll(docs)
else:
docs = df.to_dict(orient='records')
self.T0.insertAll(docs)
def testProcess(self):
manager = Manager2()
Rice = manager.interface_Rice()
#Base = manager.BaseInfo([])
Base = BaseInfo([])
CTP = manager.interface_pyctp(use=True, baseInfo=Base, userkey='fz')
pool = Pool(processes=6)
df = Rice.allHisFuture()
u = df["underlying_symbol"].unique()
i = 0
for c in u:
print('main', c)
pool.apply_async(self.sub, (i, Rice, CTP, c))
i += 1
pool.close()
pool.join()
def compare(self, type=''):
if type == 'm':
user = '******'
methods = ['mZhao', 'mZhao55']
else:
user = '******'
methods = ['zhao', 'zhao55']
b = BaseInfo([])
Ctp = interface_pyctp(baseInfo=b, userkey=user)
map = Ctp.posMap
Rice = interface_Rice()
Orders = future_orderForm()
posMap = {}
for pos in Orders.posByCode(methods):
posMap[pos[0]] = pos[1]
if pos[0] in map and pos[1] == map[pos[0]][0]:
print('match ', pos, map[pos[0]])
else:
if pos[0] in map:
print('unmatch ', pos, map[pos[0]])
else:
print('no purchase', pos)
# 检查是否调仓
pCode, name = pos[2], pos[0].split("_")[0]
mCode = Rice.getMain([name])[0]
if pCode != mCode:
print(' --------- Need alter position:', pCode, mCode)
for key in map:
if len(key) < 6 and key not in posMap:
print('no record', key, map[key])
print(len(posMap.keys()))
def create(self):
self.Rice = Rice = interface_Rice()
self.Rice.setIndexList(self.indexCodeList)
self.Base = Base = future_baseInfo()
self.Tick = mon_tick()
codes = Base.getUsedMap(hasIndex=True)
BI = BaseInfo(codes)
mCodes = Rice.getMain(codes)
period = 14
self.count = count = 300
self.preDict = {}
self.exKtype = self.getKtype()
self.renewQuicktype()
docs, ex, trends = [], [], []
for mcode in mCodes:
code = BI.parseCode(mcode)
nt = BI.att(code, 'nightEnd')
Rice.setTimeArea(BI.att(code, 'nightEnd'))
#if code in self.banCodeList: continue
doc = {'code': code, 'qtype': ''}
std0v, maxDiss = 0, 0
ptick = self.getTick(code)
doc['qtype'] = self.quickPeriodList[-1]
for ktype in self.quickPeriodList + self.periodList:
start = self.getStart(nt, ktype)
df0 = Rice.kline([mcode], period=ktype, start=start,
pre=0)[mcode]
close = df0["close"]
# bull
ma = ta.MA(close, timeperiod=period)
std = ta.STDDEV(close, timeperiod=period, nbdev=1)
std0 = std / ma * 100
std0v = std0.mean()
# ss = std0v if 0.3 < std0v < 0.5 else -1
doc[ktype] = std0v
tick = BI.att(code, 'tick_size') / ma.mean() * 100
tick0 = ptick / ma.mean() * 100
tick = tick0 if tick0 > tick else tick
# 快速线大于5个tick
if ktype in self.quickPeriodList:
sub = 3 * tick
if std0v > sub and doc['qtype'] == '':
doc['qtype'] = ktype
doc['qtick'] = std0v
continue
# sub = 0.2 if code in ['AU', 'AL', 'AG', 'I'] else 0.28
sub = 8 * tick
if sub > 0.4: sub = 0.4
if sub < 0.2: sub = 0.2
if sub < std0v and not code in ex:
doc['ktype'] = ktype
doc['stdv'] = std0v
doc['tick'] = tick
ex.append(code)
# kdj顶点
kd = 5
kdjK, kdjD = ta.STOCH(df0["high"],
df0["low"],
close,
fastk_period=kd,
slowk_period=3,
slowk_matype=1,
slowd_period=3,
slowd_matype=1)
df0["kdj_d2"] = kdj_d2 = kdjK - kdjD
df0["kdjm"] = kdj_d2 * kdj_d2.shift(1)
df0["kdjm"] = df0.apply(
lambda row: self.turn(row['kdjm'], row['kdj_d2'], 1),
axis=1)
ah = df0[df0["kdjm"] == 1]
diss = count / len(ah)
doc['d' + ktype] = diss
if diss > maxDiss:
doc['diss'] = diss
doc['dtype'] = ktype
maxDiss = diss
# 最小trend
if code not in ex:
doc['ktype'] = '60m'
doc['stdv'] = std0v
minx = 100
#I = self.periodList.index('30m')
#line = 0.20 if doc['ktype'] in ['30m', '60m'] else 0.40 if doc['ktype'] in ['5m'] else 0.30
line = 0.35
#line = 0.3
for k in self.periodList:
v = (doc['diss'] -
doc['d' + k]) / doc['diss'] + abs(doc[k] - line) / 0.2
if v < minx:
doc['mtype'] = k
minx = v
if code in self.exKtype:
if not doc['mtype'] == self.exKtype[code]:
print(code, doc['mtype'])
self.updateKtype(code, doc['mtype'])
if doc['qtype'] != '':
kc = self.klineCompare(doc['mtype'], doc['qtype'])
if kc > 4:
print(code, doc['qtype'])
self.updateQuicktype(code, doc['qtype'])
docs.append(doc)
#break
df = pd.DataFrame(docs)
file = Rice.basePath + 'std_%s_.csv' % (public.getDatetime(
style='%Y%m%d_%H%M%S'))
df.to_csv(
file,
columns=[
'code', 'mtype', 'qtype', 'qtick', 'ktype', 'stdv', 'tick'
] + self.quickPeriodList + self.periodList + ['dtype', 'diss'] +
['d' + c for c in self.periodList],
index=0)
class model_future_ctp(object):
def __init__(self):
# 统一参数
self.iniAmount = 150000 # 单边50万
self.isWorking = False # 是否正式运行
self.isAutoAlterPosition = True
self.banCodeList = [] # 暂时无权限操作的code
self.isTickSave = True
self.batchNum = 1 # 批处理的交易数量
self.topUse = True # 启用定时统计列表
self.timeInterval = 0.5 # 间隔处理时间
self.indexCodeList = [] # 指数期货
self.isCTPUse = False # 是否启用CTP接口（并区分
self.isDeadCheck = False # 是否启用自动检查并交易沉淀品种
self.topFilter = """(count>10)"""
self.ctpuser = '******'
self.tickIntList = ['kdjm', 'sarm', 'isout', 'isout3', 'isout5']
self.tickInterval = 10 # 间隔处理时间
self.sameLimit = 1 # 同一code允许出现次数
self.topNumbers = 30 # 最大新币对 (监控币对还包括历史10和未平仓对)
self.bestTopNumbers = 10
self.minRate = 0.02 # 最低收益率
self.orderFormTest = 'future_orderForm_test'
self.topTableName = 'train_total_dema5'
self.methodName = 'single' # 策略名称
self.relativeMethods = ['mZhao', 'mZhao55']
self.scaleDiff2 = 0.8
self.powline = 0.25
self.widthTimesPeriod = 3
self.sourceType = 'combin'
#
self.future_Map = []
self.noneUsed = [] # 不再继续的商品对
def pool(self):
pool = Pool(processes=6)
shareDict = Manager().list([])
CTP = None
# 初始化codes列表
if self.topUse:
self.filterCodes()
pid = 0
for codes in self.seperate():
print('pool send:', pid, len(codes))
#self.start(codes, shareDict, CTP)
try:
pool.apply_async(self.start, (codes, shareDict, CTP))
time.sleep(3)
pid += 1
pass
except Exception as e:
print(e)
continue
pool.close()
pool.join()
def setAlterIncome(self, orders, openDocs):
for doc in orders:
c = doc['name']
if doc['isopen'] == 0 and c in openDocs:
p0 = openDocs[c][0]
sign = np.sign(p0['mode'])
doc["income"] = round(
sign * (doc["price"] - p0["price"]) * p0["vol"] -
doc["fee"], 2)
doc["interval"] = self.Rice.timeDiff(p0['createdate']) # 间隔时间
return orders
# 调仓处理
def alterPosition(self, Record, openCodes):
# 开盘时CTP调仓处理
Rice = interface_Rice()
if self.isCTPUse and self.isAutoAlterPosition:
openDocs = Record.getOpenMap(self.methodName,
codes=[],
batchNum=self.batchNum)
try:
CTP = interface_pyctp(use=True, userkey=self.ctpuser)
state, orders = CTP.alterPosi(openDocs)
if len(orders) - state > 0:
logger.info(('自动调仓完成', len(orders) - state))
orders = self.setAlterIncome(orders, openCodes)
Record.insertAll(orders)
except:
logger.info(('alterPosition error:', self.methodName))
elif self.isAutoAlterPosition:
# 非CTP调仓
if openCodes is not None:
openDocs = Record.getOpenMap(self.methodName,
codes=[],
batchNum=self.batchNum)
orders, d0, d1 = [], {}, {}
for key in openDocs:
# 查询最新主力代码
doc, pCode = openDocs[key][0], openDocs[key][0]['code']
mCode = Rice.getMain([key])[0]
if mCode != pCode:
print('start:', pCode, mCode)
# 查询最新价格，调仓前和调仓后
s = Rice.snap([pCode, mCode])
if s is None: continue
price0 = s[pCode]['bids'][0] if doc['mode'] > 0 else s[
pCode]['asks'][0]
price1 = s[mCode]['bids'][0] if doc['mode'] < 0 else s[
mCode]['asks'][0]
d0 = copy.deepcopy(doc)
d0['mode'] = -doc['mode']
d0['isopen'] = 0
d0['price'] = d0['rel_price'] = price0
sign = np.sign(-d0["mode"])
d0["income"] = round(
sign * (price0 - doc["price"]) * d0["vol"] -
doc["fee"], 2)
del d0['id']
# 按原状态买入
d1 = copy.deepcopy(doc)
d1['code'] = mCode
d1['status'] = d0['status'] = 4
d0['method'] = d1['method'] = self.methodName
d1['rel_price'] = d1['price'] = price1
d0['createdate'] = d1[
'createdate'] = public.getDatetime()
d1['batchid'] = uuid.uuid1()
del d1['id']
orders.append(d0)
orders.append(d1)
logger.info(('自动调仓完成：', doc['code'], mCode, 4))
if len(orders) > 0:
Record.insertAll(orders)
pass
def combinCode(self):
codes = []
for n in self.future_Map:
if not n[0] in codes and n[0] not in self.banCodeList:
codes.append(n[0])
return codes
# 按结束时间分割为不同进程
def seperate(self):
Base = future_baseInfo()
maps, codes = {}, []
dd = str(public.getTime(style='%H:%M:%S'))
# 按结束时间分组分进程
for doc in Base.getInfo(self.combinCode()):
key = key0 = doc['nightEnd']
if '03:00:00' < key0 < dd: continue
if '08:30:00' < dd < '15:00:00':
key = '15:00:00' if '09:00:00' < key0 < '15:30:00' else '23:30:00' if '15:30:00' < key0 < '23:35:00' else '02:30:00'
pass
if key not in maps.keys():
maps[key] = []
maps[key].append(doc['code'])
pc = 11
for key in maps.keys():
if len(maps[key]) < pc + 1:
yield maps[key]
else:
l, t = len(maps[key]), len(maps[key]) // pc
for i in range(t + 1):
s, e = i * pc, l if (i + 1) * pc > l else (i + 1) * pc
if s < e:
yield maps[key][s:e]
def start(self, full_codes, Rice=None, CTP=None):
# print(full_codes)
self.Record = future_orderForm()
self.PStatus = future_status()
if not self.isWorking: self.Record.tablename = self.orderFormTest
if self.isTickSave:
self.Tick = mon_tick()
self.Rice = interface_Rice() if Rice is None else Rice
# 基础配置信息类
self.baseInfo = BaseInfo(full_codes, self.Rice)
# ctp 接口类
self.CTP = interface_pyctp(
use=self.isCTPUse, userkey=self.ctpuser) if CTP is None else CTP
self.CTP.baseInfo = self.baseInfo
# 进程控制类
self.procMap = ProcessMap()
# 趋势预测
self.trendMap = self.Record.trendMap(self.relativeMethods)
# 指数期货
self.indexList = [c[0] for c in self.indexCodeList]
# 设置交易对的收盘时间
self.Rice.setTimeArea(self.baseInfo.nightEnd)
if len(self.indexCodeList) > 0:
self.Rice.setIndexList(self.indexCodeList)
# 按k线类型分拆组，进行K线数据调用
self.groupByKline(full_codes)
# 初始化节点
self.iniNode(full_codes)
# 子进程启动
full_mCodes = self.baseInfo.mainCodes # 主力合约
logger.info(("model_future_detect start: %s " % ",".join(full_codes),
self.Rice.TimeArea))
self.Rice.startTick(full_mCodes,
kmap=self.kTypeMap,
timesleep=self.timeInterval,
source=self.sourceType,
callback=self.onTick)
# 按K线类型分组
def groupByKline(self, full_codes):
self.used_future_Map, self.kTypeMap = [], {}
for map in self.future_Map:
if map[0] not in full_codes: continue
self.used_future_Map.append(map)
# 按k线时间框类型初始化 kTypeMap dict,
ktype = int(map[3])
# 字典
self.kTypeMap[map[0]] = ktype
# 分组
if ktype not in self.kTypeMap.keys():
self.kTypeMap[ktype] = []
mCode = self.baseInfo.mCode(map[0])
if mCode not in self.kTypeMap[ktype]:
self.kTypeMap[ktype].append(mCode)
# 初始化节点
def iniNode(self, full_codes):
openMap = self.Record.getOpenMap(self.methodName,
codes=full_codes,
batchNum=self.batchNum)
statusMap = self.PStatus.getStatus(self.topTableName)
# 非CTP方式
for map in self.used_future_Map:
#print(map)
key, uid = map[0], "_".join(map)
self.procMap.new(uid) # 初始化进程参数类
# 初始化品种状态
if key in openMap:
found = True
# CTP方式检查
if self.isCTPUse:
# 检查持仓满足
found = self.CTP.checkPosition(openMap[key],
0,
reverse=-1,
refresh=False) == 0
#if key =='IH': print(openMap[key], found, res)
if found:
status = statusMap[key] if key in statusMap else 0
self.procMap.setIni(uid, openMap[key], status=status)
logger.info(
(uid, key, self.procMap.isOpen, self.procMap.status))
pointColumns = ['wdd', 'pow', 'powm', 'trend', 'isout']
def orderCheck(self, cur, param):
pass
def paramCalc(self, dfs, cur):
pass
def sd(self, x):
s = round(x * 1.6, 0) / 10
return np.sign(s) * 0.8 - 0.1 if abs(s) > 0.8 else s - 0.1
def stand(self, ser):
ser = ser.fillna(0)
return ser / ser.abs().mean()
def turn(self, mm, md, mode):
return 0 if mm > 0 else 1 if mode * md > 0 else -1
def apart(self, PS, ktype):
apart = math.pow(
(int(time.time()) % (60 * ktype)) * 1.0 / (60 * ktype), 0.5)
return PS * apart + PS.shift(1) * (1 - apart)
itemCount = 0
cvsMap, cvsCodes = {}, []
def debugT(self, str, n=1000, param=None):
self.itemCount += 1
if str != '' and self.itemCount % n == 0:
logger.info((self.itemCount, str))
#print(self.isTickSave)
if not self.isTickSave: return
code, method = self.procMap.codes[0], self.procMap.currentUid.split(
"_")[-1]
#print(self.csvCodes)
if param is not None and (code in self.cvsCodes
or self.cvsCodes == []):
# param = param.to_dict()
param['code'] = code
param['method'] = method
param['isopen'] = self.procMap.isOpen
param['status'] = self.procMap.status
for key in self.tickIntList:
if key in param: param[key] = int(param[key])
# 初始化
if code not in self.cvsMap:
self.cvsMap[code] = [param]
self.cvsMap['c_' + code] = 1
else:
self.cvsMap['c_' + code] += 1
c, t = self.cvsMap[code], self.cvsMap['c_' + code]
if len(c) > 2:
if self.isTickSave:
self.Tick.col.insert_many(self.cvsMap[code])
self.cvsMap[code] = []
elif t % self.tickInterval == 0:
#print(param)
self.cvsMap[code].append(param)
def debugR(self, param=None):
if not self.isTickSave: return
code, method = self.procMap.codes[0], self.procMap.currentUid.split(
"_")[-1]
if param is not None:
param['code'] = code
param['method'] = method
for key in self.tickIntList:
if key in param: param[key] = int(param[key])
#print(param)
try:
self.Tick.col.insert_one(param)
except Exception as e:
logger.error((traceback.format_exc()))
def procTemp(self, param):
for key in ['atr', 'powm']:
if key in param:
self.procMap.__setattr__(key, param[key])
# 买入后的最高/最低价
def getMax(self, df0, s, e, mode):
s = str(s)[:10]
if mode > 0:
return df0[(df0['datetime'] >= s)
& (df0['datetime'] < e)].ix[:, 'close'].max()
else:
return df0[(df0['datetime'] >= s)
& (df0['datetime'] < e)].ix[:, 'close'].min()
def order(self, cur, mode, param, isstop=0):
# 当前tick对
n0 = cur[self.mCodes[0]]
# future_baseInfo 参数值
b0 = self.baseInfo.doc(self.procMap.codes[0])
times0 = b0["contract_multiplier"]
preNode = self.procMap.preNode
# 每次交易量
v0 = (round(self.iniAmount / n0["last"] / times0, 0) *
times0) if not preNode else preNode[0]["hands"] * times0
# 开仓 1/ 平仓 -1
isOpen = 0 if mode == 0 else 1
# 买 / 卖 , 若mode=0. 则按持仓方向平仓操作
isBuy = -preNode[0]["mode"] if (mode == 0
and preNode is not None) else mode
# 费率
fee0 = (v0 / times0 * b0["ratio"]) if b0["ratio"] > 0.5 else (
b0["ratio"] * v0 *
(n0["asks"][0] if isBuy == 1 else n0["bids"][0]))
now = public.getDatetime()
# 使用uuid作为批次号
if mode != 0:
self.procMap.batchid = uuid.uuid1()
price = n0["asks"][0] if isBuy == 1 else n0["bids"][0]
if price == 0:
price = n0['close']
doc = {
"createdate": now,
"code": n0["code"],
"symbol": self.baseInfo.ctpCode(n0["code"]),
"price": price,
"vol": v0,
"hands": v0 / times0,
"ini_hands": v0 / times0, # 提交单数
"ini_price":
n0["asks"][0] if isBuy == 1 else n0["bids"][0], # 提交价格
"mode": isBuy,
"isopen": isOpen,
"isstop": isstop,
"fee": fee0,
"income": 0,
"rel_price": param["p_l"] if isBuy == 1 else param["p_h"],
"rel_std": param["std"],
"batchid": self.procMap.batchid,
"delta": param["pow"] if 'pow' in param else 0,
"bullwidth": param["width"],
"widthdelta": param["wd1"],
# "macd": param["macd"],
"status": 0, # 定单P执行CT返回状态
"pstatus": int(self.procMap.status), # 策略状态：0-bull 1,-1: trend状态
"method": self.methodName,
"uid": self.uid
}
# 下单并记录
return self.record([doc], mode)
def setIncome(self, orders, mode):
doc = orders[0]
preNode = self.procMap.preNode
if mode == 0 and preNode is not None:
p0 = preNode[0]
sign = np.sign(p0["mode"])
doc["income"] = round(
sign * (doc["price"] - p0["price"]) * p0["vol"] - doc["fee"],
2)
#doc["interval"] = int(self.Rice.timeDiff(p0['createdate'])) # 间隔时间
else:
doc["income"] = -doc["fee"]
return orders
# 设置过程状态
def setPStatus(self, status):
"""
更改进程状态，并写入数据库，供重新启动程序时调用
"""
self.procMap.status = status
method = self.topTableName
self.PStatus.setStatus('_'.join(self.procMap.codes), method, status)
logger.info(("setPStatus", self.procMap.codes, method, status))
def record(self, orders, mode):
state = 0
isOpen = 0 if mode == 0 else 1
# 发送订单并记录到数据库
if self.isCTPUse and self.CTP is not None and orders[0]['vol'] > 0:
# 检查订单条件
state = self.CTP.checkPosition(orders, isOpen)
if state == 0:
# 发送订单
try:
self.CTP.sendOrder(orders)
# 检查全部执行结果
state, orders = self.CTP.checkResult()
except Exception as e:
print(traceback.format_exc())
state = 2
# 检查结果写入数据库
if state == 0:
# 重新计算实际收入
self.setIncome(orders, mode)
logger.info(
[" purchase record: ", state, self.uid, mode, orders[0]])
# 保存/清空 前一次操作文件 到进程变量
self.procMap.preNode = orders if (mode != 0) else None
self.procMap.isOpen = mode
# 交易成功
self.Record.insertAll(orders)
return True
else:
if state < 0:
logger.info(('----账户持仓检查不符合 ----:', state, self.uid, mode))
elif state == 4:
# 等待状态
logger.info(('----检查通过，交易提交中 挂起 ----:', state, self.uid, mode))
self.banCodeList.append(self.procMap.codes[0])
else:
logger.info(('----检查通过，交易不成功 ----:', state, self.uid, mode))
self.banCodeList.append(self.procMap.codes[0])
time.sleep(3)
return False
def newFuture(self,
id='278231',
price=5059,
mode=2,
hands=5,
date=None,
test=False,
new_method=None,
mcode=None,
memo=''):
self.Record = future_orderForm()
self.BI = BaseInfo([])
doc = self.Record.getById(id)
docnew = copy.deepcopy(doc)
base = self.BI.doc(doc['name'])
amount = price * hands * base['contract_multiplier']
r = base['ratio'] * 1.1
fee = hands * r if r >= 0.5 else amount * r
del docnew['id']
name = doc['name']
# 替换method
if new_method is None:
mode_old = doc['mode']
uid, method = doc['uid'], doc['method']
m0 = method[:-2] if method.find('55') != -1 else method + '55'
print(mode_old, uid, m0)
if (abs(mode_old) < 5 and abs(mode) > 4) or (abs(mode_old) > 4
and abs(mode) < 5):
uid = uid.replace(method, m0)
method = method.replace(method, m0)
else:
uid, method = doc['uid'], doc['method']
uid = uid.replace(method, new_method)
method = new_method
docnew.update({
"code": self.BI.mCode(name) if mcode is None else mcode,
"symbol": self.BI.ctpCode(name),
"isopen": 1,
"isstop": 0,
"price": price,
"mode": mode,
"hands": hands,
"ini_hands": hands,
"ini_price": price,
"vol": hands * base['contract_multiplier'],
"status": 6,
"fee": round(fee, 2),
"batchid": str(uuid.uuid1()),
"createdate": public.getDatetime() if date is None else date,
"income": round(-fee, 2),
"method": method,
"uid": uid,
"memo": memo
})
print(docnew)
if not test:
self.Record.insert(docnew)
class model_future_fellow5_v1(model_future_ctp):
def __init__(self):
# 统一参数
super().__init__()
self.iniAmount = 500000 # 单边50万
self.isAutoAlterPosition = True
self.isTest = False
self.isTickSave = False
self.indexCodeList = [('IH', '000016.XSHG'), ('IF', '399300.XSHE'),
('IC', '399905.XSHE')]
self.banCodeList = [] # 暂时无权限操作的code
self.isCTPUse = False # 是否启用CTP接口（并区分
self.tickIntList = ['powm', 'kdjm', 'mode', 'isopen', 'isstop']
self.cvsCodes = ['SC', 'IH']
self.tickInterval = 1
self.klinePeriod = 14
self.atrLine = 2
self.bullLine = 3.5
self.uidStyle = '%s_14_2.0_%s_3.5_2_%s'
self.future_Map = []
self.batchNum = 1
self.ctpuser = '******'
self.methodName = 'fellow'
def pool(self):
pool = Pool(processes=6)
pid = 0
for codes in self.seperate():
print('pool send:', pid, len(codes), codes)
#if 'SC' not in codes: continue
#self.start(codes)
try:
pool.apply_async(self.start, (codes, ))
time.sleep(1)
pid += 1
# break
except Exception as e:
print(e)
continue
pool.close()
pool.join()
# 按结束时间分割为不同进程
def seperate(self):
Base = future_baseInfo()
codes = Base.getUsedMap(hasIndex=True, isquick=True)
dd = str(public.getTime(style='%H:%M:%S'))
maps = {}
# 按结束时间分组分进程
for doc in Base.getInfo(codes):
if doc['code'] in self.banCodeList: continue
uid = self.uidStyle % (doc['code'], doc['quickkline'][:-1],
self.methodName)
self.future_Map.append(uid.split("_"))
key = doc['nightEnd']
if '03:00:00' < key < dd: continue
if key not in maps.keys():
maps[key] = []
maps[key].append(doc['code'])
for key in maps.keys():
if len(maps[key]) < 10:
yield maps[key]
else:
l, t = len(maps[key]), len(maps[key]) // 10
for i in range(t):
s, e = i * 10, l if (i + 1) * 10 > l else (i + 1) * 10
yield maps[key][s:e]
def start(self, full_codes):
# print(full_codes)
self.Record = future_orderForm()
if not self.isCTPUse:
self.Record.tablename = 'future_orderForm_1'
self.time0 = time.time()
if self.isTickSave:
self.Tick = mon_tick()
self.Rice = interface_Rice()
# 基础配置信息类
self.baseInfo = BaseInfo(full_codes, self.Rice)
# ctp 接口类
# self.CTP = interface_pyctp(use=self.isCTPUse, baseInfo=self.baseInfo, userkey=self.ctpuser)
# 进程控制类
self.procMap = ProcessMap()
# 设置交易对的收盘时间
self.Rice.setTimeArea(self.baseInfo.nightEnd)
self.indexList = []
if len(self.indexCodeList) > 0:
self.Rice.setIndexList(self.indexCodeList)
self.indexList = [c[0] for c in self.indexCodeList]
# 按k线类型分拆组，进行K线数据调用
self.groupByKline(full_codes)
# 初始化节点
self.iniNode(full_codes)
# return
# 子进程启动
full_mCodes = self.baseInfo.mainCodes # 主力合约
logger.info(
("%s start: %s" % (self.__class__.__name__, ",".join(full_mCodes)),
self.Rice.TimeArea))
self.Rice.startTick(full_mCodes,
kmap=self.kTypeMap,
source='combin',
callback=self.onTick)
# 按K线类型分组
def groupByKline(self, full_codes):
self.used_future_Map, self.kTypeMap = [], {}
for map in self.future_Map:
code = map[0]
if map[0] not in full_codes: continue
self.used_future_Map.append(map)
# 按k线时间框类型初始化 kTypeMap dict,
ktype = int(map[3])
# 字典
self.kTypeMap[code] = ktype
# 分组
if ktype not in self.kTypeMap.keys():
self.kTypeMap[ktype] = []
mCode = self.baseInfo.mCode(code)
if mCode not in self.kTypeMap[ktype]:
self.kTypeMap[ktype].append(mCode)
# 初始化节点
def iniNode(self, full_codes):
openMap = self.Record.getOpenMap(self.methodName,
codes=full_codes,
batchNum=1)
# 非CTP方式
for map in self.used_future_Map:
key, uid = map[0], "_".join(map)
self.procMap.new(uid) # 初始化进程参数类
# 初始化品种状态
if key in openMap:
self.procMap.setIni(uid, openMap[key])
logger.info(
(uid, key, self.procMap.isOpen, self.procMap.status))
# Tick 响应
def onTick(self, tick):
# 计算参数
# 当前时间
tt = str(public.getTime(style='%H:%M:%S'))
for map in self.used_future_Map:
if map[0] in self.banCodeList: continue
# 股指期货时间过滤
if map[0] in self.indexList and '08:59:00' < tt < '09:30:00':
continue
if map[0] not in self.indexList and '13:00:00' < tt < '13:30:00':
continue
self.uid = self.procMap.setUid(map, num=self.batchNum) # uid
self.mCodes = [self.baseInfo.mCode(c)
for c in self.procMap.codes] # 当前主力合约代码
kline = self.procMap.kline
# 按时长读取k线数据
dfs = self.Rice.getKline(self.kTypeMap[kline],
ktype=kline,
key=str(kline) + 'm',
num=1)
# 检查间隔时间
try:
# 计算指标
param = self.paramCalc(dfs, tick)
#if map[0] =='SC' and self.itemCount % 20 ==0:
# print(tick[self.mCodes[0]])
if param is not None and not np.isnan(param["ma"]):
# mongodb Record
self.debugT('', param=param)
# 执行策略，并下单
self.orderCheck(tick, param)
except Exception as e:
print(traceback.format_exc())
def apart(self, PS, ktype):
apart = math.pow(
(int(time.time()) % (60 * ktype)) * 1.0 / (60 * ktype), 0.5)
return PS * apart + PS.shift(1) * (1 - apart)
# 买入后的最高/最低价
def getMax(self, df0, s, e, mode):
if mode > 0:
return df0[(df0['datetime'] >= s)
& (df0['datetime'] < e)].ix[:-1, 'close'].max()
else:
return df0[(df0['datetime'] >= s)
& (df0['datetime'] < e)].ix[:-1, 'close'].min()
def setLastClose(self, close):
tt = int(time.time()) // 5
rec = self.procMap.get('Min5')
if tt != rec:
self.procMap.set('Min5', tt)
ss = self.procMap.get('Min5Record')
if ss is None:
ss = []
ss.append(close)
else:
ss.append(close)
if len(ss) > 3: ss.pop(0)
self.procMap.set('Min5Record', ss)
def getLastClose(self):
ss = self.procMap.get('Min5Record')
if ss is None: return 0, 0
if len(ss) < 3: return ss[-1], 0
if len(ss) == 3: return ss[-1], ss[0]
pointColumns = ['powm', 'diss', 'fall']
def point(self, row, row_1, tsize):
ma, close, open, high, low, std, stdc, atr, atrc, dd = \
(row[key] for key in
"ma,close,open,high,low,std,stdc,atr,atrc,datetime".split(","))
open = row_1['close']
tt = str(public.getTime(style='%H:%M:%S'))
kline = self.procMap.kline
BL = 4.0 - float(kline) / 10
#
apart = (60 * kline) - (int(time.time()) % (60 * kline))
if '09:00:00' <= tt < '09:15:00' or '21:00:00' <= tt < '21:10:00' or '14:45:00' <= tt < '15:00:01':
BL += 5.0
if apart > 10:
BL += 0.5
sign = 1 if high > (ma + 2 * std) else -1 if low < (ma -
2 * std) else 0
# 计算长度、回撤率
max = high if sign > 0 else low if sign < 0 else close
diss = 0 if std == 0 else abs(max - ma) / std
fall = abs(max - close) / abs(max - open) if max != open else 0
# 条件
opt0 = (diss > BL) and atrc > self.atrLine
opt1 = (diss > (BL - 0.25)) and (atrc > (self.atrLine + 1.5))
# 超长
opt2 = diss > (BL + 1)
# 超回收
opt3 = diss > (BL - 0.35) and (fall > 0.5)
opt8 = (abs(max - close) > 3 * tsize)
opt9 = (atr / ma) * 10000 > 8 and std > 3 * tsize
opt10 = stdc > 1.25
powm = 0
if opt8 and opt9:
if opt10:
powm = sign if opt0 else sign * 2 if opt1 else sign * 4 if opt3 else 0
elif opt2:
powm = sign * 3
# 设置整点数据
if int(time.time()) % 5 == 0:
self.setLastClose(close)
return powm, diss, fall
# 计算布林参数
klinecolumns = ['high', 'open', 'volume', 'close', 'low']
def paramCalc(self, dfs, cur):
if len(dfs) == 0: return None
period = self.klinePeriod
c0 = cur[self.mCodes[0]]
c0['close'] = c0['last']
# 去掉当前的即时k线
df0 = copy.deepcopy(dfs[self.mCodes[0]].iloc[-35:])
# print(len(df0))
# 计算相关参数
columns = self.klinecolumns
#if self.procMap.codes[0]=='SC':
# print(df0)
# 添加即时K线
df0.loc[public.getDatetime()] = pd.Series([c0[key] for key in columns],
index=columns)
close = df0["close"]
df0["datetime"] = df0.index
df0["ma"] = ma = ta.MA(close, timeperiod=period)
df0["std"] = std = ta.STDDEV(close, timeperiod=period, nbdev=1)
df0["stdc"] = std / ta.MA(std, timeperiod=period)
df0['atr'] = ta.ATR(df0['high'], df0['low'], close, timeperiod=period)
df0['atrc'] = ta.ATR(df0['high'], df0['low'], close,
timeperiod=1) / df0['atr']
df0["slope"] = ta.LINEARREG_SLOPE(ma, timeperiod=5)
# kdj顶点
kdjK, kdjD = ta.STOCH(df0["high"],
df0["low"],
close,
fastk_period=9,
slowk_period=3,
slowk_matype=1,
slowd_period=3,
slowd_matype=1)
df0["kdj_d2"] = kdj_d2 = kdjK - kdjD
df0["kdjm"] = kdj_d2 * kdj_d2.shift(1)
df0["kdjm"] = df0.apply(
lambda row: self.turn(row['kdjm'], row['kdj_d2'], 1), axis=1)
b0 = self.baseInfo.doc(self.procMap.codes[0])
self.df0 = df0
param_1 = copy.deepcopy(df0.iloc[-2]).to_dict()
param = copy.deepcopy(df0.iloc[-1]).to_dict()
powm, diss, fall = self.point(param, param_1, b0['tick_size'])
# 记录最近5/15秒点的数据
param.update(c0)
param.update({
"powm": powm,
"diss": diss,
"fall": fall,
#"last5":last5,
#"last15": last15,
"now": c0['now'],
"p_l": c0["asks"][0],
"p_h": c0["bids"][0],
})
return param
pub = 0
itemCount = 0
def orderCheck(self, cur, param):
isOpen, isRun, isstop = self.procMap.isOpen, False, 0
powm, atr, date, kdjm, close = (
param[key] for key in "powm,atr,datetime,kdjm,close".split(","))
self.preNode = self.procMap.preNode
if isOpen == 0:
if powm != 0:
isRun, isOpen = True, int(-powm)
elif isOpen != 0 and self.preNode is not None:
# 止盈止损
kline = self.procMap.kline
preP, s = self.preNode[0]['price'], self.preNode[0]['createdate']
#
apart = (60 * kline) - (int(time.time()) % (60 * kline))
# 保持时间
keeps = len(self.df0[self.df0['datetime'] > str(s)])
if isOpen * kdjm < 0 and apart < 10 and keeps > 3:
isRun, isOpen, isstop = True, 0, 1
# 反转
elif isOpen * powm > 0:
if self.order(cur, 0, param, isstop=3):
isRun, isOpen = True, int(-powm)
else:
# 止损
mp = self.getMax(self.df0, s, date, isOpen)
sign = np.sign(isOpen)
mp = close if np.isnan(mp) else mp
if sign * (preP - close) > 1.5 * atr:
isRun, isOpen, isstop = True, 0, 4
elif not np.isnan(mp) and (sign * (mp - close) > 3 * atr):
isOpen, isRun, isstop = 0, True, 5
if isRun:
# logger.info((self.procMap.codes[0], param))
self.order(cur, isOpen, param, isstop=isstop)
def order(self, cur, mode, param, isstop=0):
# 当前tick对
n0 = cur[self.mCodes[0]]
# future_baseInfo 参数值
b0 = self.baseInfo.doc(self.procMap.codes[0])
times0 = b0["contract_multiplier"]
preNode = self.procMap.preNode
# 每次交易量
code = self.procMap.codes[0]
if preNode is not None:
v0 = preNode[0]["hands"]
else:
v0 = self.iniAmount / times0 / n0['close']
v0 = int(v0 + 0.2) if v0 > 0.8 else 1
if v0 == 0: v0 = 1
# 开仓 1/ 平仓 -
isOpen = 0 if mode == 0 else 1
# 买 / 卖 , 若mode=0. 则按持仓方向平仓操作
isBuy = -preNode[0]["mode"] if (mode == 0
and preNode is not None) else mode
# 费率
fee0 = (v0 * b0["ratio"]) if b0["ratio"] > 0.5 else (
b0["ratio"] * v0 *
(n0["asks"][0] if isBuy == 1 else n0["bids"][0]))
now = public.getDatetime()
# 使用uuid作为批次号
if mode != 0:
self.procMap.batchid = uuid.uuid1()
price = n0["asks"][0] if isBuy == 1 else n0["bids"][0]
if price == 0:
price = n0['close']
doc = {
"createdate": now,
"code": n0["code"],
"name": code,
"symbol": self.baseInfo.ctpCode(n0["code"]),
"price": price,
"vol": v0 * times0,
"hands": v0,
"ini_hands": v0, # 提交单数
"ini_price": price, # 提交价格
"mode": int(isBuy),
"isopen": isOpen,
"isstop": isstop,
"fee": fee0,
"income": 0.0,
"rel_price": price,
"delta": param['diss'],
"rel_std": param['std'],
"widthDelta": param['atr'],
# 'stop_price': 0 if mode == 0 else dp,
"batchid": self.procMap.batchid,
"status": 0, # 定单P执行CT返回状态
"method": self.methodName,
"uid": self.uid
}
if self.isTickSave:
monR = copy.deepcopy(param)
monR.update(doc)
monR.update({"type": "record"})
self.debugR(monR)
# 下单并记录
if not self.isTest:
return self.record([doc], mode)
def test():
obj = model_future_zhao()
obj.isCTPUse = True
obj.procMap = ProcessMap()
obj.Rice = interface_Rice()
Rec = future_orderForm()
openMap = Rec.getOpenMap('zhao', codes=['RB'], batchNum=1)
obj.CTP = interface_pyctp(use=obj.isCTPUse, userkey=obj.ctpuser)
obj.CTP.baseInfo = BaseInfo(['RB'], obj.Rice)
print('------------', openMap)
key, obj.uid = 'RB', 'RB_40_2.0_1_0_zhao'
obj.procMap.setIni(obj.uid, openMap[key], status=0)
doc = {
'createdate': '2019-06-25 09:40:27',
'code': 'RB1910',
'name': 'RB',
'symbol': 'rb1910',
'price': 3962.0,
'vol': 30.0,
'hands': 1.0,
'ini_hands': 1.0,
'ini_price': 3962.0,
'mode': -2,
'isopen': 0,
'isstop': 1,
'fee': 1.1885999699734384,
'income': 0,
'rel_price': 3962.0,
'stop_price': 3650.0,
'batchid': '359b8070-96ea-11e9-ab77-382c4a6d1b55',
'status': 0,
'method': 'zhao',
'uid': 'RB_40_2.0_1_0_zhao',
'istoday': 1
}
doc1 = {
'createdate': '2019-06-25 10:02:27',
'code': 'EG1909',
'name': 'EG',
'symbol': 'eg1909',
'price': 4552.0,
'vol': 10.0,
'hands': 1,
'ini_hands': 1,
'ini_price': 4552.0,
'mode': 0,
'isopen': 0,
'isstop': 0,
'fee': 9.0,
'income': 0,
'rel_price': 4552.0,
'stop_price': 0,
'batchid': '',
'status': 0,
'method': 'zhao',
'uid': 'EG_40_2.0_1_0_zhao'
}
obj.setIncome([doc], 0)
obj.record([doc], -2)
def autoCreateAtr(self, type=0):
Rice = interface_Rice()
Rice.setIndexList(self.indexCodeList)
Base = future_baseInfo()
Record = self.Record = future_orderForm()
Model = model_future_zhao_v1()
methods = ['mZhao', 'mZhao55']
self.iniAmount, self.stopLine = 15400000, 0.0025
if type == 1:
methods = ['zhao', 'zhao55']
self.iniAmount, self.stopLine = 20000000, 0.0025
codes = Base.getUsedMap(hasIndex=True)
BI = BaseInfo(codes)
mCodes = Rice.getMain(codes)
#print(codes)
end = None
dd = str(public.getTime(style='%H:%M:%S'))
valids = Rice.getValidDate(start=-15, end=0)
if ('18:15:00' < dd < '23:59:59'):
end = public.getDate(diff=0)
else:
end = str(valids[-2])
dfs = Rice.kline(mCodes,
period='1d',
start=public.getDate(diff=-150),
end=end,
pre=20)
docs = []
Tmap = Record.trendMap(methods)
Pos = []
j = 0
for m in methods:
Pos.append(Record.getOpenMap(method=m, batchNum=1))
for mcode in mCodes:
code = BI.parseCode(mcode)
if code in self.banCodeList: continue
df = dfs[mcode]
close = df['close']
df["datetime"] = df.index
df["ma10"] = ma10 = ta.MA(close, timeperiod=10)
df["ma20"] = ma20 = ta.MA(close, timeperiod=20)
df["ma55"] = ta.MA(close, timeperiod=55)
atr21 = ta.ATR(df['high'], df['low'], close, timeperiod=21)
df['3atr'] = atr21 * 3
# 计算ma10-ma20 穿越线间距
df['mac'] = mac = ma10 - ma20
df['mac2'] = mac.shift(2)
df['mac3'] = mac.shift(3)
# isPoint
df['mad'] = mac * mac.shift(1)
df['mam'] = mam = df.apply(lambda row: self.isMam(row), axis=1)
minidx, maxidx = ta.MINMAXINDEX(mam, timeperiod=75)
df['interval'] = abs(minidx - maxidx)
# 修正不正常K线
df['high'] = df.apply(lambda row: self.k_fix(row, 1), axis=1)
df['low'] = df.apply(lambda row: self.k_fix(row, -1), axis=1)
# 唐奇安线18日
df['tu_s'] = ta.MAX(df['high'], timeperiod=18 - 1)
df['td_s'] = ta.MIN(df['low'], timeperiod=18 - 1)
# 唐奇安线27日
df['tu_s1'] = ta.MAX(df['high'], timeperiod=27 - 1)
df['td_s1'] = ta.MIN(df['low'], timeperiod=27 - 1)
# 唐奇安线34日
df['tu_34'] = ta.MAX(df['high'], timeperiod=33)
df['td_34'] = ta.MIN(df['low'], timeperiod=33)
# 40日低点
ld = close[close.notnull()]
p = 40 if len(ld) > 40 else len(ld) - 1
df['tu_d'] = ta.MAX(df['high'], timeperiod=p - 1)
df['td_d'] = ta.MIN(df['low'], timeperiod=p - 1)
fp, fd = 27, 5
# 计算穿越值
out = df.apply(lambda row: self.isout0(row), axis=1)
df['out_s'] = ta.SUM(out, timeperiod=fp)
df['trend'] = df['out_s'].apply(lambda x: -1 if x > fd else 1
if x < -fd else 0)
#posTrend = 0 if code not in trendMap else trendMap[code]['trend']
df['isout'] = isout = df.apply(lambda row: self.isout(row, 0),
axis=1)
df['isout3'] = ta.SUM(isout, timeperiod=3)
df['isout5'] = ta.SUM(isout, timeperiod=5)
param = copy.deepcopy(df.iloc[-1]).to_dict()
isLong, type = 1, 0
if code in Tmap:
isLong = Tmap[code]['trend']
type = 1
elif param['trend'] != 0:
isLong = param['trend']
type = 2
else:
isLong = -1 if param['ma20'] > param['ma55'] else 1
type = 3
j += 1
isL = -1 if code in self.shortCodeList else 1 if code in self.longCodeList else 0
if code in []:
print(code, isLong, isL, param['trend'])
file = Rice.basePath + '%s_%s_%s.csv' % (
code, public.getDatetime(style='%Y%m%d_%H%M%S'),
methods[0])
df.to_csv(file, index=0)
# 计算交易手数
mul = BI.att(code, "contract_multiplier")
dp = param['td_d'] if isLong > 0 else param['tu_d']
p18 = param['tu_s'] if isLong > 0 else param['td_s']
p27 = param['tu_s1'] if isLong > 0 else param['td_s1']
if np.isnan(param['ma55']) or np.isnan(p18):
print('period no long:', code)
continue
ma20v_18 = (self.iniAmount * self.stopLine / abs(p18 - dp) / mul)
ma20v_18 = int(ma20v_18 + 0.2)
ma20v_27 = (self.iniAmount * self.stopLine / abs(p27 - dp) / mul)
ma20v_27 = int(ma20v_27 + 0.2)
#
ma55v = (self.iniAmount * self.stopLine / param['3atr'] / mul)
ma55v = int(ma55v + 0.2)
# 固定一手交易
if code in self.oneCodeList:
ma55v = ma20v_18 = ma20v_27 = 1
# 计算持仓和止损
p = np.zeros((2, 3))
i = 0
mp = 0
for pos in Pos:
if code in pos:
d = pos[code][0]
# 最近高点
sign = np.sign(int(d['mode']))
p[i][0] = sign * d['hands']
p[i][2] = mul * d['hands'] * (param['close'] -
d['price']) * sign
if i == 0:
p[i][1] = param['td_d'] if sign > 0 else param['tu_d']
else:
mp = self.getMax(df, d['createdate'],
public.getDate(diff=1), d['mode'])
if np.isnan(mp):
print('no max Price:', code, mp)
p[i][1] = round(mp, 1) - sign * round(param['3atr'], 1)
i += 1
param.update({
'code': mcode,
'方向': '多' if isLong == 1 else '空',
'price_18': p18,
'vol_18': ma20v_18,
'price_27': p27,
'vol_27': ma20v_27,
'vol_55': ma55v,
'乘数': mul,
'3ATR': round(param['3atr'], 1),
'系统1持仓': p[0][0],
'price_40': dp,
'40日止损价': p[0][1],
'浮盈1': p[0][2],
'系统2持仓': p[1][0],
'最高点': mp,
'3ATR止损价': p[1][1],
'浮盈2': p[1][2],
'状态': Model.getStatus(methods, code),
'指定方向': Model.getTrend(code),
})
docs.append(param)
res = pd.DataFrame(docs,
columns=[
'code', 'close', '方向', 'price_40', 'price_18',
'vol_18', 'price_27', 'vol_27', '3ATR',
'vol_55', '乘数', '系统1持仓', '40日止损价', '浮盈1',
'系统2持仓', '最高点', '3ATR止损价', '浮盈2', '状态', '指定方向'
])
res = res.sort_values('code', ascending=True)
file = Rice.basePath + 'future_%s_%s.csv' % (public.getDate(),
methods[0])
res.to_csv(file, index=0)
logger.info(('autoCreateAtr finished:', len(docs)))
return res
class data_future_Rice(object):
# 更新夜盘收盘时间和最新价格
sql_nightEnd = """
update future_baseInfo
set lastPrice = %s,
lastVolume = %s
where code = '%s'
"""
# 更新夜盘收盘时间和最新价格
sql_width15 = """
update future_baseInfo
set width15 = %s, slope=%s, range = %s , atr=%s
where code = '%s'
"""
ch_index = ['零', '一', '二', '三', '四', '五', '三特', '无']
trend_index = ['无', '多', '空']
def __init__(self):
self.indexCodeList = [('IH', '000016.XSHG'), ('IF', '399300.XSHE'),
('IC', '399905.XSHE')]
mZhao = model_future_zhao_v1()
self.banCodeList = mZhao.banCodeList # 暂时不操作的code（不列交易量低的)
self.longCodeList = mZhao.longCodeList # 只做多仓的list
self.shortCodeList = mZhao.shortCodeList # 只做空仓的list
self.oneCodeList = ['SC', 'IH', 'IF', 'IC'] # 最低为1手单的
self.columns_posiDetail = [
'InstrumentID', 'Direction', 'OpenPrice', 'Volume',
'CloseProfitByTrade', 'PositionProfitByTrade', 'ExchangeID',
'OpenDate'
]
#
def getAllMain(self):
Rice = interface_Rice()
codes = Rice.allFuture(isSave=True)
print(codes)
def k_fix(self, row, mode):
close, open, high, low = (row[key]
for key in ['close', 'open', 'high', 'low'])
d0 = abs(close - open) / open
lim, rate = 0.003, 0.075
if mode == 1:
if close > open and open != 0:
trend = 1 if high == open else abs(close - open) / (high -
open)
opt = (d0 < lim and trend < rate) or (d0 > lim
and trend < rate * 2)
return close if opt else high
else:
return high
elif mode == -1:
if close < open and open != 0:
trend = 1 if low == open else abs(open - close) / (open - low)
opt = (d0 < lim and trend < rate) or (d0 > lim
and trend < rate * 2)
return close if opt else low
else:
return low
# 买入后的最高/最低价
def getMax(self, df0, s, e, mode):
s = str(s)[:10]
if mode > 0:
ss = df0[(df0['datetime'] >= s) & (df0['datetime'] <= e)]
mm = ss.ix[:-1, 'close'].max()
if np.isnan(mm): print(s, e, ss)
return df0[(df0['datetime'] >= s)
& (df0['datetime'] <= e)].ix[:-1, 'close'].max()
else:
return df0[(df0['datetime'] >= s)
& (df0['datetime'] <= e)].ix[:-1, 'close'].min()
def isout0(self, row):
close, ma20, ma55 = (row[key] for key in "close,ma20,ma55".split(","))
return 0 if np.isnan(ma55) else 1 if close > ma55 else -1
def isout(self, row, pos):
close, ma20, ma55, trend = (
row[key] for key in "close,ma20,ma55,trend".split(","))
pt = pos if pos != 0 else trend if trend != 0 else 1 if ma20 < ma55 else -1
return 1 if close > ma55 and pt > 0 else -1 if close < ma55 and pt < 0 else 0
def isMam(self, row):
#
mad, mac, mac2, mac3 = (row[key]
for key in "mad,mac,mac2,mac3".split(","))
opt = np.isnan(mad) or mad > 0 or mac == 0
# 为零时同向偏转
opt1 = (mad == 0
and (mac * mac2 > 0 or (mac2 == 0 and mac * mac3) > 0))
return 0 if (opt or opt1) else 1 if mac > 0 else -1
# 每日自动计算ATR和最新
def autoCreateAtr(self, type=0):
Rice = interface_Rice()
Rice.setIndexList(self.indexCodeList)
Base = future_baseInfo()
Record = self.Record = future_orderForm()
Model = model_future_zhao_v1()
methods = ['mZhao', 'mZhao55']
self.iniAmount, self.stopLine = 15400000, 0.0025
if type == 1:
methods = ['zhao', 'zhao55']
self.iniAmount, self.stopLine = 20000000, 0.0025
codes = Base.getUsedMap(hasIndex=True)
BI = BaseInfo(codes)
mCodes = Rice.getMain(codes)
#print(codes)
end = None
dd = str(public.getTime(style='%H:%M:%S'))
valids = Rice.getValidDate(start=-15, end=0)
if ('18:15:00' < dd < '23:59:59'):
end = public.getDate(diff=0)
else:
end = str(valids[-2])
dfs = Rice.kline(mCodes,
period='1d',
start=public.getDate(diff=-150),
end=end,
pre=20)
docs = []
Tmap = Record.trendMap(methods)
Pos = []
j = 0
for m in methods:
Pos.append(Record.getOpenMap(method=m, batchNum=1))
for mcode in mCodes:
code = BI.parseCode(mcode)
if code in self.banCodeList: continue
df = dfs[mcode]
close = df['close']
df["datetime"] = df.index
df["ma10"] = ma10 = ta.MA(close, timeperiod=10)
df["ma20"] = ma20 = ta.MA(close, timeperiod=20)
df["ma55"] = ta.MA(close, timeperiod=55)
atr21 = ta.ATR(df['high'], df['low'], close, timeperiod=21)
df['3atr'] = atr21 * 3
# 计算ma10-ma20 穿越线间距
df['mac'] = mac = ma10 - ma20
df['mac2'] = mac.shift(2)
df['mac3'] = mac.shift(3)
# isPoint
df['mad'] = mac * mac.shift(1)
df['mam'] = mam = df.apply(lambda row: self.isMam(row), axis=1)
minidx, maxidx = ta.MINMAXINDEX(mam, timeperiod=75)
df['interval'] = abs(minidx - maxidx)
# 修正不正常K线
df['high'] = df.apply(lambda row: self.k_fix(row, 1), axis=1)
df['low'] = df.apply(lambda row: self.k_fix(row, -1), axis=1)
# 唐奇安线18日
df['tu_s'] = ta.MAX(df['high'], timeperiod=18 - 1)
df['td_s'] = ta.MIN(df['low'], timeperiod=18 - 1)
# 唐奇安线27日
df['tu_s1'] = ta.MAX(df['high'], timeperiod=27 - 1)
df['td_s1'] = ta.MIN(df['low'], timeperiod=27 - 1)
# 唐奇安线34日
df['tu_34'] = ta.MAX(df['high'], timeperiod=33)
df['td_34'] = ta.MIN(df['low'], timeperiod=33)
# 40日低点
ld = close[close.notnull()]
p = 40 if len(ld) > 40 else len(ld) - 1
df['tu_d'] = ta.MAX(df['high'], timeperiod=p - 1)
df['td_d'] = ta.MIN(df['low'], timeperiod=p - 1)
fp, fd = 27, 5
# 计算穿越值
out = df.apply(lambda row: self.isout0(row), axis=1)
df['out_s'] = ta.SUM(out, timeperiod=fp)
df['trend'] = df['out_s'].apply(lambda x: -1 if x > fd else 1
if x < -fd else 0)
#posTrend = 0 if code not in trendMap else trendMap[code]['trend']
df['isout'] = isout = df.apply(lambda row: self.isout(row, 0),
axis=1)
df['isout3'] = ta.SUM(isout, timeperiod=3)
df['isout5'] = ta.SUM(isout, timeperiod=5)
param = copy.deepcopy(df.iloc[-1]).to_dict()
isLong, type = 1, 0
if code in Tmap:
isLong = Tmap[code]['trend']
type = 1
elif param['trend'] != 0:
isLong = param['trend']
type = 2
else:
isLong = -1 if param['ma20'] > param['ma55'] else 1
type = 3
j += 1
isL = -1 if code in self.shortCodeList else 1 if code in self.longCodeList else 0
if code in []:
print(code, isLong, isL, param['trend'])
file = Rice.basePath + '%s_%s_%s.csv' % (
code, public.getDatetime(style='%Y%m%d_%H%M%S'),
methods[0])
df.to_csv(file, index=0)
# 计算交易手数
mul = BI.att(code, "contract_multiplier")
dp = param['td_d'] if isLong > 0 else param['tu_d']
p18 = param['tu_s'] if isLong > 0 else param['td_s']
p27 = param['tu_s1'] if isLong > 0 else param['td_s1']
if np.isnan(param['ma55']) or np.isnan(p18):
print('period no long:', code)
continue
ma20v_18 = (self.iniAmount * self.stopLine / abs(p18 - dp) / mul)
ma20v_18 = int(ma20v_18 + 0.2)
ma20v_27 = (self.iniAmount * self.stopLine / abs(p27 - dp) / mul)
ma20v_27 = int(ma20v_27 + 0.2)
#
ma55v = (self.iniAmount * self.stopLine / param['3atr'] / mul)
ma55v = int(ma55v + 0.2)
# 固定一手交易
if code in self.oneCodeList:
ma55v = ma20v_18 = ma20v_27 = 1
# 计算持仓和止损
p = np.zeros((2, 3))
i = 0
mp = 0
for pos in Pos:
if code in pos:
d = pos[code][0]
# 最近高点
sign = np.sign(int(d['mode']))
p[i][0] = sign * d['hands']
p[i][2] = mul * d['hands'] * (param['close'] -
d['price']) * sign
if i == 0:
p[i][1] = param['td_d'] if sign > 0 else param['tu_d']
else:
mp = self.getMax(df, d['createdate'],
public.getDate(diff=1), d['mode'])
if np.isnan(mp):
print('no max Price:', code, mp)
p[i][1] = round(mp, 1) - sign * round(param['3atr'], 1)
i += 1
param.update({
'code': mcode,
'方向': '多' if isLong == 1 else '空',
'price_18': p18,
'vol_18': ma20v_18,
'price_27': p27,
'vol_27': ma20v_27,
'vol_55': ma55v,
'乘数': mul,
'3ATR': round(param['3atr'], 1),
'系统1持仓': p[0][0],
'price_40': dp,
'40日止损价': p[0][1],
'浮盈1': p[0][2],
'系统2持仓': p[1][0],
'最高点': mp,
'3ATR止损价': p[1][1],
'浮盈2': p[1][2],
'状态': Model.getStatus(methods, code),
'指定方向': Model.getTrend(code),
})
docs.append(param)
res = pd.DataFrame(docs,
columns=[
'code', 'close', '方向', 'price_40', 'price_18',
'vol_18', 'price_27', 'vol_27', '3ATR',
'vol_55', '乘数', '系统1持仓', '40日止损价', '浮盈1',
'系统2持仓', '最高点', '3ATR止损价', '浮盈2', '状态', '指定方向'
])
res = res.sort_values('code', ascending=True)
file = Rice.basePath + 'future_%s_%s.csv' % (public.getDate(),
methods[0])
res.to_csv(file, index=0)
logger.info(('autoCreateAtr finished:', len(docs)))
return res
def getStatus(self, methods, code):
posMode = self.Record.openMode(methods, code)
lastStop = self.Record.lastStop(methods, code)
trend = self.getTrend(code)
status = -1
if posMode[1] == 0:
if lastStop[0] == 6 or (lastStop[0] == 0 and trend == 0):
status = 0
elif lastStop[0] in [3, 5] or (lastStop[0] == 0 and trend != 0):
status = 1
elif lastStop[0] == 2:
status = 2
elif posMode[1] == 1:
if posMode[0].find('55') > -1:
status = 5
elif lastStop[0] == 3:
status = 3.5
else:
status = 3
elif posMode[1] == 2:
status = 4
return status
def getTrend(self, code):
return 1 if code in self.longCodeList else -1 if code in self.shortCodeList else 0
def getMaps(self):
orderMap, codes, mCodes = {}, [], []
b = BaseInfo([])
obj = interface_pyctp(baseInfo=b, userkey='zhao')
res = obj.qryPositionDetail()
methodName = 'mZhao'
codes55 = ['J1905', 'Y1905', 'P1905', 'NI1905', 'HC1905']
for r in res:
if r['Volume'] > 0:
s = r['InstrumentID'].decode('gbk')
if s not in orderMap:
m = b.parseMCode(s)
c = b.parseCode(m)
order = {
"symbol":
s,
"code":
m,
"mode":
1 if r['Direction'].decode('gbk') == '0' else -1,
"isopen":
1,
"hands":
r['Volume'],
"price":
r['OpenPrice'],
"method":
methodName,
"createdate":
public.parseTime(r['OpenDate'].decode('utf-8'),
format='%Y%m%d',
style='%Y-%m-%d %H:%M:%S')
}
orderMap[s] = order
else:
orderMap[s]["hands"] += r['Volume']
orders = []
for key in orderMap.keys():
doc = orderMap[key]
if doc['code'] in codes55:
v = doc['hands']
v0 = int(v / 2)
doc['hands'] = v0
orders.append(doc)
# method55
v1 = v - v0
doc1 = copy.deepcopy(doc)
doc1['hands'] = v1
doc1['method'] = 'mZhao55'
orders.append(doc1)
else:
orders.append(doc)
return orders
def getMaps2(self, mapList):
codes = [c[0] for c in mapList]
orders = []
mCodes = self.Rice.getMain(codes)
snaps = self.Rice.snap(mCodes)
i = 0
for m in mCodes:
s = self.BI.ctpCode(m)
order = {
"symbol": s,
"code": m,
"name": mapList[i][0],
"mode": mapList[i][1],
"isopen": mapList[i][2],
"hands": mapList[i][3],
"price":
snaps[m]['last'] if len(mapList[i]) < 6 else mapList[i][5],
"method": mapList[i][4],
"createdate": public.getDatetime(diff=0),
}
orders.append(order)
i += 1
return orders
# 平仓
def closeFuture(self, id='278231', price=5059, isstop=2, date=None):
self.Record = future_orderForm()
self.BI = BaseInfo([])
doc = self.Record.getById(id)
docnew = copy.deepcopy(doc)
base = self.BI.doc(doc['name'])
amount = price * doc['hands'] * base['contract_multiplier']
r = base['ratio']
fee = doc['hands'] * r if r >= 0.5 else amount * r
docnew.update({
"isopen":
0,
"isstop":
isstop,
"price":
price,
"mode":
-doc["mode"],
"vol":
doc['hands'] * base['contract_multiplier'],
"status":
6,
"fee":
fee,
"createdate":
public.getDatetime() if date is None else date,
"income":
np.sign(doc["mode"]) * (price - doc['price']) * doc['hands'] *
base['contract_multiplier'] - fee,
"memo":
''
})
print(docnew)
self.Record.insert(docnew)
# 平仓
def newFuture(self,
id='278231',
price=5059,
mode=2,
hands=5,
date=None,
test=False,
new_method=None,
mcode=None,
memo=''):
self.Record = future_orderForm()
self.BI = BaseInfo([])
doc = self.Record.getById(id)
docnew = copy.deepcopy(doc)
base = self.BI.doc(doc['name'])
amount = price * hands * base['contract_multiplier']
r = base['ratio'] * 1.1
fee = hands * r if r >= 0.5 else amount * r
del docnew['id']
name = doc['name']
# 替换method
if new_method is None:
mode_old = doc['mode']
uid, method = doc['uid'], doc['method']
m0 = method[:-2] if method.find('55') != -1 else method + '55'
print(mode_old, uid, m0)
if (abs(mode_old) < 5 and abs(mode) > 4) or (abs(mode_old) > 4
and abs(mode) < 5):
uid = uid.replace(method, m0)
method = method.replace(method, m0)
else:
uid, method = doc['uid'], doc['method']
uid = uid.replace(method, new_method)
method = new_method
docnew.update({
"code": self.BI.mCode(name) if mcode is None else mcode,
"symbol": self.BI.ctpCode(name),
"isopen": 1,
"isstop": 0,
"price": price,
"mode": mode,
"hands": hands,
"ini_hands": hands,
"ini_price": price,
"vol": hands * base['contract_multiplier'],
"status": 6,
"fee": round(fee, 2),
"batchid": str(uuid.uuid1()),
"createdate": public.getDatetime() if date is None else date,
"income": round(-fee, 2),
"method": method,
"uid": uid,
"memo": memo
})
print(docnew)
if not test:
self.Record.insert(docnew)
def alterFuture(self, id='278231', price0=0, price1=0, mCode=None):
# 平仓
self.closeFuture(id=id, price=price0, isstop=4)
# 开仓
Rice = interface_Rice()
doc = self.Record.getById(id)
docnew = copy.deepcopy(doc)
if mCode is None:
m = Rice.getMain([doc['name']])[0]
else:
m = mCode
docnew.update({
"price": price1,
"ini_price": price1,
"code": m,
"symbol": self.BI.parseCtpCode(m),
"status": 6,
#"createdate": str(doc['createdate']),
"batchid": str(uuid.uuid1())
})
print(docnew)
self.Record.insert(docnew)
def orderStart(self):
self.BI = BaseInfo([])
self.Rice = interface_Rice()
self.Record = future_orderForm()
self.Record.tablename = 'future_orderForm_1'
self.Rice.setIndexList([('IH', '000016.XSHG'), ('IF', '399300.XSHE'),
('IC', '399905.XSHE')])
map = [
['AP', 1, 1, 5, 'mZhao', 11087],
#['IH', 1, 1, 1, 'mZhao55']
]
orderMap = self.getMaps2(map)
self.addOrder(orderMap)
#
def addOrder(self, orderMap):
res = []
for order in orderMap:
m = order['code']
dfs = self.Rice.kline([m],
period='1d',
start=public.getDate(diff=-100),
pre=10)
df0 = dfs[m]
# 计算40天最小值
df0['high'] = df0.apply(lambda row: self.k_fix(row, 1), axis=1)
df0['low'] = df0.apply(lambda row: self.k_fix(row, -1), axis=1)
period = 40 if len(df0) >= 40 else len(df0)
print(m, period)
mx = ta.MAX(df0['high'], timeperiod=period).values[-1]
mi = ta.MIN(df0['low'], timeperiod=period).values[-1]
dp = mx if order['mode'] < 0 else mi
ra, mul = self.BI.att(m, 'ratio'), self.BI.att(
m, 'contract_multiplier')
fee0 = (order['hands'] *
ra) if ra > 0.5 else (mul * order['hands'] *
order['price'] * ra)
doc = copy.deepcopy(order)
doc.update({
"vol":
order['hands'] * mul,
"fee":
fee0,
"ini_hands":
order['hands'], # 提交单数
"ini_price":
order['price'], # 提交价格
"isstop":
0,
"income":
-fee0,
'stop_price':
dp,
"batchid":
uuid.uuid1(),
"status":
6, # 定单P执行CT返回状态
"uid":
'%s_40_2.0_1_0_%s' % (self.BI.parseCode(m), order['method'])
})
res.append(doc)
self.Record.insertAll(res)
def getMonTick(self, codes=None, method='dema5', num=4000):
Tick = mon_tick()
Rice = interface_Rice()
if codes is None: codes = ['MA', 'A']
diff = -1
for c in codes:
docs = Tick.getTick(c, count=num, method=method)
print(c, len(docs))
if len(docs) > 0:
f = Rice.basePath + "%s_%s.csv" % (c, public.getDate())
r = [d for d in docs]
r.reverse()
df = pd.DataFrame(r)
df.drop(['_id'], axis=1, inplace=True)
try:
df.to_csv(f, index=0)
print("%s output" % f)
except:
continue
def getDf(self, codes, period='1d'):
Rice = interface_Rice()
Rice.setIndexList(self.indexCodeList)
Base = future_baseInfo()
BI = BaseInfo([])
if len(codes) == 0:
codes = Base.getUsedMap(hasIndex=True)
mCodes = Rice.getMain(codes)
dfs = Rice.kline(mCodes,
period=period,
start=public.getDate(diff=-10),
pre=200)
i = 0
for mcode in mCodes:
c = codes[i]
last = BI.att(c, 'nightEnd')[0:6].replace(':', '')
file = Rice.basePath + 'future_%s_%s_%s.csv' % (
mcode, last, public.getDatetime(style='%Y%m%d_%H%M%S'))
print(mcode, last)
df = dfs[mcode]
df['datetime'] = df.index
df0 = df[df['datetime'] > '2019-01-17 13:47:40.000']
print(df0.index, len(df0))
#df.to_csv(file, index=0)
i += 1
break
def compare(self, type=''):
if type == 'm':
user = '******'
methods = ['mZhao', 'mZhao55']
else:
user = '******'
methods = ['zhao', 'zhao55']
b = BaseInfo([])
Ctp = interface_pyctp(baseInfo=b, userkey=user)
map = Ctp.posMap
Rice = interface_Rice()
Orders = future_orderForm()
posMap = {}
for pos in Orders.posByCode(methods):
posMap[pos[0]] = pos[1]
if pos[0] in map and pos[1] == map[pos[0]][0]:
print('match ', pos, map[pos[0]])
else:
if pos[0] in map:
print('unmatch ', pos, map[pos[0]])
else:
print('no purchase', pos)
# 检查是否调仓
pCode, name = pos[2], pos[0].split("_")[0]
mCode = Rice.getMain([name])[0]
if pCode != mCode:
print(' --------- Need alter position:', pCode, mCode)
for key in map:
if len(key) < 6 and key not in posMap:
print('no record', key, map[key])
print(len(posMap.keys()))
class model_future_detect_multi(object):
def __init__(self):
# 统一参数
self.config = {} # 配置参数字典表
self.deltaLimit = 0.8 # 浮动/标准差
self.iniAmount = 250000 # 单边50万
self.stopTimeLine = 5 # 止损时间线
self.batchNum = 2
self.banCodeList = [] # 暂时无权限操作的code
self.isWorking = False
self.ctpuser = '******'
#
self.topUse = True # 启用定时统计列表
self.isCTPUse = False # 是否启用CTP接口（并区分
self.isAutoAlterPosition = True # 到期是否自动调仓
self.isDeadCheck = True # 是否启用自动检查并交易沉淀品种
self.topFilter = ' count>10 '
self.sameLimit = 3 # 同一code允许出现次数
self.topNumbers = 30 # 最大新币对 (监控币对还包括历史10和未平仓对)
self.minRate = -0.03 # 最低收益率
self.orderFormTest = 'future_orderForm_test'
self.topTableName = 'train_total_s2'
self.methodName = 'mul' # 策略名称
#
self.future_Map = []
self.noneUsed = [] # 不再继续的商品对
def pool(self):
pool = Pool(processes=6)
shareDict = Manager().list([])
CTP = None
# 初始化codes列表
if self.topUse:
self.filterCodes()
for codes in self.seperate():
#if "" in codes or "AP" not in codes: continue
#self.start(codes, shareDict, CTP)
try:
pool.apply_async(self.start, (codes, shareDict, CTP))
time.sleep(3)
pass
except Exception as e:
print('error', e)
continue
pool.close()
pool.join()
# 同时统计未平仓的对，加入监测，待平仓后不再开仓
def filterCodes(self):
# 查询每周统计表
Top = train_total()
Top.tablename = self.topTableName
self.future_Map = Top.last_top(num=self.topNumbers, filter=self.topFilter, maxsames=self.sameLimit,
minRate=self.minRate)
num0 = len(self.future_Map)
Record = future_orderForm()
if not self.isWorking: Record.tablename = self.orderFormTest
# 添加top10
codesList = [[c[0], c[1]] for c in self.future_Map]
for map in Record.topCodes(method=self.methodName, toptable=self.topTableName,batchNum=self.batchNum):
if not map[0:2] in codesList:
self.future_Map.append(map)
num1 = len(self.future_Map) - num0
# 添加未平仓，并不再开仓
codesList = [[c[0], c[1]] for c in self.future_Map]
for map in Record.currentOpenCodes(method=self.methodName, batchNum=self.batchNum):
if not map[0:2] in codesList and map[0]:
self.future_Map.append(map[:-1])
self.noneUsed.append(map[0:2])
# 开盘时调仓处理
if self.isCTPUse and self.isAutoAlterPosition:
codes = self.combinCode()
try:
CTP = interface_pyctp(use=True, userkey=self.ctpuser)
state, orders = CTP.alterPosi(codes)
if len(orders)- state >0:
logger.info(('自动调仓完成', len(orders)- state))
Record.insertAll(orders)
except:
pass
logger.info(('总监控币对：', len(self.future_Map), ' 新列表:', num0, ' top10:', num1, ' 未平仓:', len(self.noneUsed)))
logger.info(([n for n in self.future_Map]))
logger.info(('暂停币对:', len(self.noneUsed), [n for n in self.noneUsed]))
def combinCode(self):
codes = []
for n in self.future_Map:
for i in [0, 1]:
# 暂时禁止交易的品种FU
if not n[i] in codes and n[i] not in self.banCodeList:
codes.append(n[i])
return codes
# 按结束时间分割为不同进程
def seperate(self):
Base = future_baseInfo()
maps, codes = {}, []
dd = str(public.getTime(style='%H:%M:%S'))
# 按结束时间分组分进程
for doc in Base.getInfo(self.combinCode()):
key = doc['nightEnd']
#
if '03:00:00' < key < dd: continue
if key not in maps.keys():
maps[key] = []
maps[key].append(doc['code'])
for key in maps.keys():
yield maps[key]
def start(self, full_codes, shareDict, CTP):
self.shareDict = shareDict
self.Record = future_orderForm()
if not self.isWorking:
self.Record.tablename = self.orderFormTest
self.Rice = interface_Rice()
# 基础配置信息类
self.baseInfo = BaseInfo(full_codes, self.Rice)
# ctp 接口类
self.CTP = CTP if CTP is not None else interface_pyctp(use=self.isCTPUse,userkey=self.ctpuser)
self.CTP.baseInfo = self.baseInfo
# 进程控制类
self.procMap = ProcessMap()
# 设置交易对的收盘时间
self.Rice.setTimeArea(self.baseInfo.nightEnd)
# 按k线类型分拆组，进行K线数据调用
self.groupByKline(full_codes)
# 初始化节点
try:
self.iniNode(full_codes)
except Exception as e:
print('iniNode error', e)
#return
# 子进程启动
full_mCodes = self.baseInfo.mainCodes #主力合约
logger.info(("model_future_detect start: %s " % ",".join(full_mCodes), self.Rice.TimeArea))
self.Rice.startTick(full_mCodes, callback=self.onTick)
# 按K线类型分组
def groupByKline(self, full_codes):
self.used_future_Map, self.kTypeMap = [], {}
for map in self.future_Map:
if map[0] not in full_codes: continue
self.used_future_Map.append(map)
# 按k线时间框类型初始化 kTypeMap dict,
ktype = int(map[4])
if ktype not in self.kTypeMap.keys():
self.kTypeMap[ktype] = []
for i in [0, 1]:
mCode = self.baseInfo.mCode(map[i])
if mCode not in self.kTypeMap[ktype]:
self.kTypeMap[ktype].append(mCode)
# 初始化节点
def iniNode(self, full_codes):
openMap = self.Record.getOpenMap(self.methodName, full_codes)
# 非CTP方式
if not self.isCTPUse:
for map in self.used_future_Map:
key, uid = "_".join(map[0:2]), "_".join(map)
self.procMap.new(uid)
if key in openMap:
self.procMap.setIni(uid, openMap[key])
print(uid, key, self.procMap.isOpen)
return True
# 先检查有记录
ods = []
for map in self.used_future_Map:
if map[0] in self.banCodeList or map[1] in self.banCodeList: continue
key, uid = "_".join(map[0:2]), "_".join(map)
self.procMap.new(uid) # 初始化uid
if key in openMap:
docs = self.CTP.iniPosition(map[0:2], openMap[key])
# 无position的
if docs is None:
print('--- 0 unmatch ---', key)
for d in openMap[key]: ods.append(str(d['id']))
openMap.pop(key)
else:
print('--1', uid, 'mode', docs[0]["mode"], docs[0]["hands"], docs[1]["hands"])
# 满足position,则设置初始状态
self.procMap.setIni(uid, docs) # 有记录的并有匹配position的
if len(ods) > 0: # 废弃不满足条件的商品对
self.Record.disuse(ods)
pass
# 无交易记录 ，恢复出交易的
res = []
for map in self.used_future_Map:
key, uid = "_".join(map[0:2]), "_".join(map)
if key in openMap.keys(): continue
docs = self.CTP.iniPosition(map[0:2], [])
if docs is not None:
# 补充交易记录
print('--2', uid, 'mode', docs[0]["mode"], docs[0]["hands"], docs[1]["hands"])
batchid = uuid.uuid1()
for d in docs:
d.update({
'batchid': batchid,
'uid': uid,
'method': self.methodName,
'status': 6
})
res.append(d)
self.procMap.setIni(uid, docs) # 有记录的并有匹配position的
if len(res)> 0: # 添加记录
# 测试检查
self.Record.insertAll(res)
# 处理僵尸
if self.isDeadCheck:
self.dead(full_codes)
# 处理僵尸商品对，直接卖出
def dead(self, full_codes):
t, res = self.CTP.orderDead(full_codes)
if res is not None and t < len(res):
logger.info(("dead deal success :", len(res), t))
self.Record.insertAll([d for d in res if d['status']==6])
# Tick 响应
def onTick(self, tick):
# 计算参数
for map in self.used_future_Map:
if map[0] in self.banCodeList: continue
self.uid = self.procMap.setUid(map) # uid
self.mCodes = [self.baseInfo.mCode(c) for c in self.procMap.codes] # 当前主力合约代码
# 挂起项目
if self.procMap.isOpen == -9 : continue
kline = self.procMap.kline
# 按时长读取k线数据
dfs = self.Rice.getKline(self.kTypeMap[kline], ktype=kline, key=kline)
try:
# 计算指标
param = self.paramCalc(dfs, tick)
if param is not None and not np.isnan(param["ma"]):
# 执行策略，并下单
self.orderCheck(tick, param)
except Exception as e:
print(traceback.format_exc())
# 计算布林参数
def paramCalc(self, dfs, cur):
# 分钟线
if dfs is None or len(dfs) == 0: return None
c0, c1 = cur[self.mCodes[0]], cur[self.mCodes[1]]
for key in ["asks", "bids", "ask_vols", "bid_vols"]:
if (c0[key][0] * c1[key][0] == 0): return None
# 周期和标准差倍数
period, scale = self.procMap.period, self.procMap.scale
size = period + 10
# 去掉当前的即时k线
df0, df1 = dfs[self.mCodes[0]][-size:-1], dfs[self.mCodes[1]][-size:-1]
# 计算相关参数
close = (df0["close"] / df1["close"])
# nan 处理
close = close.fillna(close[close.notnull()].mean())
# 添加最新
close = close.append(pd.Series(c0["last"] / c1["last"]))
ma = ta.MA(close, timeperiod=period)
sd = ta.STDDEV(close, timeperiod=period, nbdev=1)
top, lower = ma + scale * sd, ma - scale * sd
#
width = (top - lower) / ma * 100
#
widthDelta = ta.MA(width - width.shift(1), timeperiod=3)
# 即时K线取2点中值
wd2 = widthDelta - widthDelta.shift(1)
wd2m = widthDelta * widthDelta.shift(1)
return {
"ma": ma.values[-1],
"top": top.values[-1],
"lower": lower.values[-1],
"width": width.values[-1],
"std": sd.values[-1],
"close": c0["last"] / c1["last"],
"widthdelta": widthDelta.values[-1], # 布林带变化
"wd2": wd2.values[-1], # 布林带二阶变化率
"wd2m": wd2m.values[-1],
"p_l": c0["asks"][0] / c1["bids"][0], # 买入铜，卖出铅价格
"p_h": c0["bids"][0] / c1["asks"][0], # 买入铅，卖出铜价格
"delta": (c0["asks"][0] / c1["bids"][0] - c0["bids"][0] / c1["asks"][0]) / sd.values[-1],
"interval":0,
}
itemCount = 0
def debugT(self,str, n=1000):
self.itemCount += 1
if self.itemCount % n ==0:
print(self.itemCount, str)
def orderCheck(self, cur, param):
isOpen, isRun, isstop = self.procMap.isOpen, False, 0
wline, sd2 = self.procMap.widthline, self.procMap.scaleDiff2
if param["delta"] > self.deltaLimit: return None
# 开仓
cond1, cond2 = False, False
if wline > 0:
# 布林宽带变化率
cond1 = (param['widthdelta'] < wline and param['wd2'] < (wline / 2))
# 拐点
cond2 = param['wd2m'] < 0
if isOpen == 0:
# 已关闭的交易对只平仓， 不再开仓
if self.procMap.codes in self.noneUsed: return None
# 大于上线轨迹
if (param["p_h"] > param["top"]) and cond1:
isOpen, isRun = -1, True
# 低于下轨线
elif (param["p_l"] < param["lower"]) and cond1:
isOpen, isRun = 1, True
elif ((param["p_h"] + sd2 * param['std']/2) > param["top"]) and not cond1 and cond2:
isOpen = -2
isRun = True
elif ((param["p_l"] - sd2 * param['std']/2) < param["lower"]) and not cond1 and cond2:
isOpen = 2
isRun = True
# 平仓
else:
stopMinutes = self.stopTimeLine * self.procMap.period * self.procMap.kline
preNode = self.procMap.preNode
cond3 = (isOpen * ((param['p_h'] if isOpen > 0 else param['p_l']) - param['ma'])) >= 0
#
cond4 = (isOpen * (
((param['p_h'] + sd2 / 2 * param['std']) if isOpen > 0 else (
param['p_l'] - sd2 / 2 * param['std'])) - param['ma'])) >= 0
# 回归ma则平仓 或 超过24分钟 或到收盘时间 强制平仓
if cond4 and not cond1 and cond2:
isOpen, isRun, isstop = 0, True, 2
elif cond3 and cond1:
isOpen, isRun = 0, True
# 止损
elif stopMinutes > 0 and preNode is not None:
tdiff = self.Rice.timeDiff(preNode[0]['createdate'], quick=stopMinutes)
if tdiff > stopMinutes and cond4 and cond2:
isOpen, isstop = 0, 1
isRun = True
#self.debugT((self.uid,isOpen,isRun))
if isRun:
self.order(cur, isOpen, param, isstop=isstop)
def order(self, cur, mode, param, isstop=0):
# 当前tick对
n0, n1 = cur[self.mCodes[0]], cur[self.mCodes[1]]
# future_baseInfo 参数值
b0, b1 = (self.baseInfo.doc(self.procMap.codes[i]) for i in [0, 1])
times0, times1 = b0["contract_multiplier"], b1["contract_multiplier"]
preNode = self.procMap.preNode
# 每次交易量
v0 = (round(self.iniAmount / n0["last"] / times0, 0) * times0) if not preNode else preNode[0]["hands"] * times0
v1 = round(self.iniAmount / n1["last"] / times1, 0) * times1 if not preNode else preNode[1]["hands"] * times1
# 开仓 1/ 平仓 -1
isOpen = 0 if mode == 0 else 1
# 买 / 卖 , 若mode=0. 则按持仓方向平仓操作
isBuy = -preNode[0]["mode"] if (mode == 0 and preNode is not None) else mode
# 费率
fee0 = (v0 / times0 * b0["ratio"]) if b0["ratio"] > 0.5 else (
b0["ratio"] * v0 * (n0["asks"][0] if isBuy == 1 else n0["bids"][0]))
fee1 = (v1 / times1 * b1["ratio"]) if b1["ratio"] > 0.5 else \
(b1["ratio"] * v1 * (n1["asks"][0] if isBuy == -1 else n1["bids"][0]))
now = public.getDatetime()
# 使用uuid作为批次号
if mode != 0: self.procMap.batchid = uuid.uuid1()
doc = {
"createdate": now,
"code": n0["code"],
"symbol": self.baseInfo.ctpCode(n0["code"]),
"price": n0["asks"][0] if isBuy == 1 else n0["bids"][0],
"vol": v0,
"hands": v0 / times0,
"ini_hands": v0 / times0, # 提交单数
"ini_price": n0["asks"][0] if isBuy == 1 else n0["bids"][0], # 提交价格
"mode": isBuy,
"isopen": isOpen,
"isstop":isstop,
"fee": fee0,
"income": 0,
"rel_price": param["p_l"] if isBuy == 1 else param["p_h"],
"rel_std": param["std"],
"batchid": self.procMap.batchid,
"delta": param["delta"],
"bullwidth": param["width"],
"widthdelta": param["widthdelta"],
"status": 0, # 定单状态
"method": self.methodName,
"uid": self.uid
}
doc1 = copy.deepcopy(doc)
doc1.update({
"code": n1["code"],
"symbol": self.baseInfo.ctpCode(n1["code"]),
"price": n1["asks"][0] if isBuy == -1 else n1["bids"][0],
"vol": v1,
"ini_price": n1["asks"][0] if isBuy == -1 else n1["bids"][0],
"hands": v1 / times1,
"ini_hands": v1 / times1,
"mode": -isBuy,
"fee": fee1,
})
if mode == 0 and preNode is not None:
p0, p1 = preNode[0], preNode[1]
doc["income"] = round(p0["mode"] * (doc["price"] - p0["price"]) * p0["vol"] - doc["fee"], 2)
doc1["income"] = round(p1["mode"] * (doc1["price"] - p1["price"]) * p1["vol"] - doc1["fee"], 2)
doc["interval"] = doc1["interval"] = self.Rice.timeDiff(p0['createdate'])
else:
doc["income"] = -doc["fee"]
doc1["income"] = -doc1["fee"]
# 下单并记录
self.record([doc, doc1], mode)
def record(self, orders, mode):
state = 0
isOpen = 0 if mode == 0 else 1
# 发送订单并记录到数据库
if self.isCTPUse and self.CTP is not None:
# 检查订单条件
state = self.CTP.checkPosition(orders, isOpen)
if state == 0:
# 发送订单
try:
self.CTP.sendOrder(orders)
# 检查全部执行结果
state, orders = self.CTP.checkResult()
except Exception as e:
print(traceback.format_exc())
state = 2
if state == 0:
logger.info(["---- purchase record:-- ", state, self.uid, mode])
# 保存 到进程变量
self.procMap.preNode = orders if (mode != 0) else None
self.procMap.isOpen = mode
# 交易成功
self.Record.insertAll(orders)
elif state < 0:
print('----账户持仓检查不符合 ----:', state, self.uid, mode, orders)
time.sleep(3)
elif state == 1:
logger.info(('---- 配对只成交一单--:', state, self.uid, mode, orders))
self.procMap.isOpen = -9 # 标记为挂起项目
# 执行反向操作
s, res = self.CTP.forceOrder(orders)
if s==0:
logger.info(('--配对单成交反向操作成功----:', res))
orders.extend(res) # 添加反向操作记录
self.Record.insertAll(orders)
time.sleep(3)
else:
print('---- 交易不成功 ----:', state, self.uid, mode, orders)
time.sleep(3)
class model_future_detect_single(model_future_ctp):
def __init__(self):
# 统一参数
self.iniAmount = 500000 # 单边50万
self.isAutoAlterPosition = True
self.isTest = False
self.isTickSave = False
self.indexCodeList = [('IH', '000016.XSHG'), ('IF', '399300.XSHE'),
('IC', '399905.XSHE')]
self.banCodeList = [] # 暂时无权限操作的code
self.isCTPUse = False # 是否启用CTP接口（并区分
self.klinePeriod = 14
self.atrLine = 2
self.bullLine = 3.5
self.uidStyle = '%s_14_2.0_%s_3.5_2_%s'
self.future_Map = []
self.batchNum = 1
self.ctpuser = '******'
self.methodName = 'fellow'
def pool(self):
pool = Pool(processes=6)
pid = 0
for codes in self.seperate():
print('pool send:', pid, len(codes), codes)
#if 'ZC' not in codes: continue
#self.start(codes)
try:
pool.apply_async(self.start, (codes, ))
time.sleep(1)
pid += 1
#break
except Exception as e:
print(e)
continue
pool.close()
pool.join()
# 按结束时间分割为不同进程
def seperate(self):
Base = future_baseInfo()
codes = Base.getUsedMap(hasIndex=True, isquick=True)
maps = {}
# 按结束时间分组分进程
for doc in Base.getInfo(codes):
if doc['code'] in self.banCodeList: continue
uid = self.uidStyle % (doc['code'], doc['quickkline'][:-1],
self.methodName)
self.future_Map.append(uid.split("_"))
key = doc['nightEnd']
if key not in maps.keys():
maps[key] = []
maps[key].append(doc['code'])
for key in maps.keys():
if len(maps[key]) < 10:
yield maps[key]
else:
l, t = len(maps[key]), len(maps[key]) // 10
for i in range(t):
s, e = i * 10, l if (i + 1) * 10 > l else (i + 1) * 10
yield maps[key][s:e]
def start(self, full_codes):
# print(full_codes)
self.Record = future_orderForm()
if not self.isCTPUse:
self.Record.tablename = 'future_orderForm_1'
self.time0 = time.time()
if self.isTickSave:
self.Tick = mon_tick()
self.Rice = interface_Rice()
# 基础配置信息类
self.baseInfo = BaseInfo(full_codes, self.Rice)
# ctp 接口类
#self.CTP = interface_pyctp(use=self.isCTPUse, baseInfo=self.baseInfo, userkey=self.ctpuser)
# 进程控制类
self.procMap = ProcessMap()
# 设置交易对的收盘时间
self.Rice.setTimeArea(self.baseInfo.nightEnd)
# 设置股指期货
if len(self.indexCodeList) > 0:
self.Rice.setIndexList(self.indexCodeList)
# 按k线类型分拆组，进行K线数据调用
self.groupByKline(full_codes)
# 初始化节点
self.iniNode(full_codes)
# return
# 子进程启动
full_mCodes = self.baseInfo.mainCodes # 主力合约
logger.info(
("%s start: %s" % (self.__class__.__name__, ",".join(full_mCodes)),
self.Rice.TimeArea))
self.Rice.startTick(full_mCodes,
kmap=self.kTypeMap,
source='combin',
callback=self.onTick)
# 按K线类型分组
def groupByKline(self, full_codes):
self.used_future_Map, self.kTypeMap = [], {}
for map in self.future_Map:
code = map[0]
if map[0] not in full_codes: continue
self.used_future_Map.append(map)
# 按k线时间框类型初始化 kTypeMap dict,
ktype = int(map[3])
# 字典
self.kTypeMap[code] = ktype
# 分组
if ktype not in self.kTypeMap.keys():
self.kTypeMap[ktype] = []
mCode = self.baseInfo.mCode(code)
if mCode not in self.kTypeMap[ktype]:
self.kTypeMap[ktype].append(mCode)
# 初始化节点
def iniNode(self, full_codes):
openMap = self.Record.getOpenMap(self.methodName,
codes=full_codes,
batchNum=1)
# 非CTP方式
for map in self.used_future_Map:
key, uid = map[0], "_".join(map)
self.procMap.new(uid) # 初始化进程参数类
# 初始化品种状态
if key in openMap:
self.procMap.setIni(uid, openMap[key])
logger.info(
(uid, key, self.procMap.isOpen, self.procMap.status))
# Tick 响应
def onTick(self, tick):
# 计算参数
for map in self.used_future_Map:
if map[0] in self.banCodeList: continue
self.uid = self.procMap.setUid(map, num=self.batchNum) # uid
self.mCodes = [self.baseInfo.mCode(c)
for c in self.procMap.codes] # 当前主力合约代码
kline = self.procMap.kline
# 按时长读取k线数据
dfs = self.Rice.getKline(self.kTypeMap[kline],
ktype=kline,
key=str(kline) + 'm',
num=1)
# 检查间隔时间
try:
# 计算指标
param = self.paramCalc(dfs, tick)
if param is not None and not np.isnan(param["ma"]):
# 执行策略，并下单
self.orderCheck(tick, param)
except Exception as e:
print(traceback.format_exc())
def apart(self, PS, ktype):
apart = math.pow(
(int(time.time()) % (60 * ktype)) * 1.0 / (60 * ktype), 0.5)
return PS * apart + PS.shift(1) * (1 - apart)
# 买入后的最高/最低价
def getMax(self, df0, s, e, mode):
if mode > 0:
return df0[(df0['datetime'] >= s)
& (df0['datetime'] < e)].ix[:-1, 'close'].max()
else:
return df0[(df0['datetime'] >= s)
& (df0['datetime'] < e)].ix[:-1, 'close'].min()
pointColumns = ['powm', 'diss']
def point(self, row):
ma, close, high, low, std, stdc, atr, atrc, dd = \
(row[key] for key in
"ma,close,high,low,std,stdc,atr,atrc,datetime".split(","))
sign = 1 if high > (ma + 2 * std) else -1 if low < (ma -
2 * std) else 0
max = high if sign > 0 else low if sign < 0 else close
diss = 0 if std == 0 else abs(max - ma) / std
opt0 = (diss > self.bullLine) and atrc > self.atrLine
opt1 = (diss >
(self.bullLine - 0.5)) and (atrc >
(self.atrLine + 1) or stdc > 1.5)
opt2 = diss > (self.bullLine + 1)
opt3 = abs(max - close) > 0.2 * atr
opt4 = (atr / ma) * 10000 > 7
powm = sign if ((opt0 or opt1 or opt2) and opt3 and opt4) else 0
columns = self.pointColumns
return pd.Series([powm, diss], index=columns)
# 计算布林参数
def paramCalc(self, dfs, cur):
if len(dfs) == 0: return None
period = self.klinePeriod
c0 = cur[self.mCodes[0]]
c0['close'] = c0['last']
# 去掉当前的即时k线
df0 = copy.deepcopy(dfs[self.mCodes[0]].iloc[-40:])
#print(len(df0))
# 计算相关参数
columns = df0.columns
# 添加即时K线
df0.loc[public.getDatetime()] = pd.Series([c0[key] for key in columns],
index=columns)
close = df0["close"]
df0["datetime"] = df0.index
df0["ma"] = ma = ta.MA(close, timeperiod=period)
df0["std"] = std = ta.STDDEV(close, timeperiod=period, nbdev=1)
df0["stdc"] = std / ta.MA(std, timeperiod=period)
df0['atr'] = ta.ATR(df0['high'], df0['low'], close, timeperiod=period)
df0['atrr'] = df0['atr'] / ma * 10000
df0['atrc'] = ta.ATR(df0['high'], df0['low'], close,
timeperiod=1) / df0['atr']
# kdj顶点
kdjK, kdjD = ta.STOCH(df0["high"],
df0["low"],
close,
fastk_period=5,
slowk_period=3,
slowk_matype=1,
slowd_period=3,
slowd_matype=1)
df0["kdj_d2"] = kdj_d2 = kdjK - kdjD
df0["kdjm"] = kdj_d2 * kdj_d2.shift(1)
df0["kdjm"] = df0.apply(
lambda row: self.turn(row['kdjm'], row['kdj_d2'], 1), axis=1)
df1 = df0.apply(lambda row: self.point(row), axis=1)
for key in self.pointColumns:
df0[key] = df1[key]
param = copy.deepcopy(df0.iloc[-1]).to_dict()
self.df0 = df0
param.update({"p_l": c0["asks"][0], "p_h": c0["bids"][0]})
return param
pub = 0
itemCount = 0
def orderCheck(self, cur, param):
isOpen, isRun, isstop = self.procMap.isOpen, False, 0
powm, atr, date, kdjm, close = (
param[key] for key in "powm,atr,datetime,kdjm,close".split(","))
self.preNode = self.procMap.preNode
if isOpen == 0:
if powm != 0:
isRun, isOpen = True, int(-powm)
elif isOpen != 0 and self.preNode is not None:
# 止盈止损
kline = self.procMap.kline
preP, s = self.preNode[0]['price'], self.preNode[0]['createdate']
apart = (60 * kline) - (int(time.time()) % (60 * kline))
keeps = len(self.df0[self.df0['datetime'] > str(s)])
if isOpen * kdjm < 0 and apart < 10 and keeps > 3:
isRun, isOpen, isstop = True, 0, 1
else:
mp = self.getMax(self.df0, s, date, isOpen)
mp = close if np.isnan(mp) else mp
if np.sign(isOpen) * (preP - close) > 1.5 * atr:
isRun, isOpen, isstop = True, 0, 4
elif not np.isnan(mp) and (np.sign(isOpen) *
(mp - close) > 3.0 * atr):
isOpen, isRun, isstop = 0, True, 5
# 反转
elif isOpen * powm > 0:
if self.order(cur, isOpen, param, isstop=3):
isRun, isOpen = True, int(-powm)
if isRun:
#logger.info((self.procMap.codes[0], param))
self.order(cur, isOpen, param, isstop=isstop)
def order(self, cur, mode, param, isstop=0):
# 当前tick对
n0 = cur[self.mCodes[0]]
# future_baseInfo 参数值
b0 = self.baseInfo.doc(self.procMap.codes[0])
times0 = b0["contract_multiplier"]
preNode = self.procMap.preNode
# 每次交易量
code = self.procMap.codes[0]
if preNode is not None:
v0 = preNode[0]["hands"]
else:
v0 = self.iniAmount / times0 / n0['close']
v0 = int(v0 + 0.2) if v0 > 0.8 else 1
if v0 == 0: v0 = 1
# 开仓 1/ 平仓 -
isOpen = 0 if mode == 0 else 1
# 买 / 卖 , 若mode=0. 则按持仓方向平仓操作
isBuy = -preNode[0]["mode"] if (mode == 0
and preNode is not None) else mode
# 费率
fee0 = (v0 * b0["ratio"]) if b0["ratio"] > 0.5 else (
b0["ratio"] * v0 *
(n0["asks"][0] if isBuy == 1 else n0["bids"][0]))
now = public.getDatetime()
# 使用uuid作为批次号
if mode != 0:
self.procMap.batchid = uuid.uuid1()
price = n0["asks"][0] if isBuy == 1 else n0["bids"][0]
if price == 0:
price = n0['close']
doc = {
"createdate": now,
"code": n0["code"],
"name": code,
"symbol": self.baseInfo.ctpCode(n0["code"]),
"price": price,
"vol": v0 * times0,
"hands": v0,
"ini_hands": v0, # 提交单数
"ini_price":
n0["asks"][0] if isBuy == 1 else n0["bids"][0], # 提交价格
"mode": int(isBuy),
"isopen": isOpen,
"isstop": isstop,
"fee": fee0,
"income": 0,
"rel_price": param["p_l"] if isBuy == 1 else param["p_h"],
#'stop_price': 0 if mode == 0 else dp,
"batchid": self.procMap.batchid,
"status": 0, # 定单P执行CT返回状态
"method": self.methodName,
"uid": self.uid
}
# 下单并记录
if not self.isTest:
return self.record([doc], mode)
