def __init__(self, name, settings={}):
self.events_pool = EventsPool()
# @TODO merge blotter and exchange
self.blotter = SimpleBlotter(name, self.events_pool, settings)
self.exchange = Exchange(name, self.events_pool, strict=True)
self._orders = []
self._datetime = None
self._cancel_now = False # 是当根bar还是下一根bar撤单成功。
def __init__(self, name, settings={}):
self.events_pool = EventsPool()
# @TODO merge blotter and exchange
self.blotter = SimpleBlotter(name, self.events_pool, settings)
self.exchange = Exchange(name, self.events_pool, strict=True)
self.name = name
# 0: line_marks, 1: text_marks
self.marks = [{}, {}]
self._entry_orders = []
self._exit_orders = []
self._datetime = None
self._cancel_now = False # 是当根bar还是下一根bar撤单成功。
def __init__(self, name, settings={}):
self.events_pool = EventsPool()
# @TODO merge blotter and exchange
self.blotter = SimpleBlotter(name, self.events_pool, settings)
self.exchange = Exchange(name, self.events_pool, strict=True)
self.name = name
# 0: line_marks, 1: text_marks
self.marks = [{}, {}]
self._orders = []
self._datetime = None
self._cancel_now = False # 是当根bar还是下一根bar撤单成功。
class StrategyContext(object):
""" 策略组合
:ivar name: 策略名
:ivar blotter: 订单管理
:ivar exchange: 价格撮合器
:ivar marks: 绘图标志集合
"""
def __init__(self, name, settings={}):
self.events_pool = EventsPool()
# @TODO merge blotter and exchange
self.blotter = SimpleBlotter(name, self.events_pool, settings)
self.exchange = Exchange(name, self.events_pool, strict=True)
self.name = name
# 0: line_marks, 1: text_marks
self.marks = [{}, {}]
self._orders = []
self._datetime = None
self._cancel_now = False # 是当根bar还是下一根bar撤单成功。
def update_environment(self, dt, ticks, bars):
""" 更新模拟交易所和订单管理器的数据，时间,持仓 """
self.blotter.update_datetime(dt)
self.exchange.update_datetime(dt)
self.blotter.update_data(ticks, bars)
self._datetime = dt
return
def process_trading_events(self, at_baropen):
""" 提交订单，撮合，更新持仓 """
if self._orders:
self.events_pool.put(SignalEvent(self._orders))
if not self._orders:
# 没有交易信号，确保至少运行一次
self.events_pool.put(OnceEvent())
self._process_trading_events(at_baropen)
self._orders = []
def _process_trading_events(self, at_baropen):
""""""
while True:
# 事件处理。
try:
event = self.events_pool.get()
except Queue.Empty:
assert False
except IndexError:
break
else:
# if event.type == 'MARKET':
# strategy.calculate_signals(event)
# port.update_timeindex(event)
if event.route == Event.SIGNAL:
assert not at_baropen
self.blotter.update_signal(event)
elif event.route == Event.ORDER:
assert not at_baropen
self.exchange.insert_order(event)
elif event.route == Event.FILL:
# 模拟交易接口收到报单成交
self.blotter.api.on_transaction(event)
# 价格撮合。note: bar价格撮合要求撮合置于运算后面。
# @TODO tick 回测不一样
if event.route == Event.ONCE or event.route == Event.ORDER:
self.exchange.make_market(self.blotter._bars, at_baropen)
self.blotter.update_status(self._datetime, at_baropen)
def plot_line(self, name, ith_window, x, y, styles, lw=1, ms=10, twinx=False):
""" 绘制曲线
Args:
name (str): 标志名称
ith_window (int): 在第几个窗口显示，从1开始。
x (datetime): 时间坐标
y (float): y坐标
styles (str): 控制颜色，线的风格，点的风格
lw (int): 线宽
ms (int): 点的大小
"""
mark = self.marks[0].setdefault(name, [])
mark.append((ith_window, twinx, x, y, styles, lw, ms))
def plot_text(self, name, ith_window, x, y, text, color="black", size=15, rotation=0):
""" 绘制文本
Args:
name (str): 标志名称
ith_window (int): 在第几个窗口显示，从1开始。
x (float): x坐标
y (float): y坐标
text (str): 文本内容
color (str): 颜色
size (int): 字体大小
rotation (float): 旋转角度
"""
mark = self.marks[1].setdefault(name, [])
mark.append((ith_window, x, y, text, color, size, rotation))
def buy(self, price, quantity, price_type, contract):
self._orders.append(Order(None, contract, price_type, TradeSide.KAI, Direction.LONG, float(price), quantity))
def sell(self, price, quantity, price_type, contract):
self._orders.append(Order(None, contract, price_type, TradeSide.PING, Direction.LONG, float(price), quantity))
def short(self, price, quantity, price_type, contract):
self._orders.append(Order(None, contract, price_type, TradeSide.KAI, Direction.SHORT, float(price), quantity))
def cover(self, price, quantity, price_type, contract):
self._orders.append(Order(None, contract, price_type, TradeSide.PING, Direction.SHORT, float(price), quantity))
def cancel(self, orders):
""" 撤单
Args:
orders (list/Order): 撤单，参数为list表示撤多个单。
"""
orders = orders if isinstance(orders, list) else [orders]
if not self._cancel_now:
# 当前bar收盘处处理撤单
for order in orders:
norder = copy.deepcopy(order)
norder.side = TradeSide.CANCEL
# @TODO or self._orders ?
# 结合实盘考虑, 实盘可能自动撤单。
self._orders.append(norder)
return
## 立即处理撤单
# temp = copy.deepcopy(self._orders)
# self._orders = []
# for order in orders:
# order.side = TradeSide.CANCEL
# self._orders.append(order)
# self.process_trading_events(False)
# self._orders = temp
@property
def open_orders(self):
""" 未成交的订单 """
return self.blotter.open_orders
def all_positions(self):
return self.blotter.positions.values()
def position(self, contract, direction):
try:
poskey = PositionKey(contract, direction)
return self.blotter.positions[poskey]
except KeyError:
return None
def pos(self, contract, direction):
try:
poskey = PositionKey(contract, direction)
return self.blotter.positions[poskey].closable
except KeyError:
return 0
def cash(self):
return self.blotter.holding["cash"]
def equity(self):
return self.blotter.holding["equity"]
def profit(self, contract):
pass
def day_profit(self, contract):
""" 当前持仓的浮动盈亏 """
pass
class StrategyContext(object):
""" 策略组合
:ivar name: 策略名
:ivar blotter: 订单管理
:ivar exchange: 价格撮合器
:ivar marks: 绘图标志集合
"""
def __init__(self, name, settings={}):
self.events_pool = EventsPool()
# @TODO merge blotter and exchange
self.blotter = SimpleBlotter(name, self.events_pool, settings)
self.exchange = Exchange(name, self.events_pool, strict=True)
self.name = name
# 0: line_marks, 1: text_marks
self.marks = [{}, {}]
self._orders = []
self._datetime = None
self._cancel_now = False # 是当根bar还是下一根bar撤单成功。
def update_environment(self, dt, ticks, bars):
""" 更新模拟交易所和订单管理器的数据，时间,持仓 """
self.blotter.update_datetime(dt)
self.exchange.update_datetime(dt)
self.blotter.update_data(ticks, bars)
self._datetime = dt
return
def process_trading_events(self, at_baropen):
""" 提交订单，撮合，更新持仓 """
if self._orders:
self.events_pool.put(SignalEvent(self._orders))
if not self._orders:
# 没有交易信号，确保至少运行一次
self.events_pool.put(OnceEvent())
self._process_trading_events(at_baropen)
self._orders = []
def _process_trading_events(self, at_baropen):
""""""
while True:
# 事件处理。
try:
event = self.events_pool.get()
except Queue.Empty:
assert (False)
except IndexError:
break
else:
# if event.type == 'MARKET':
# strategy.calculate_signals(event)
# port.update_timeindex(event)
if event.route == Event.SIGNAL:
assert (not at_baropen)
self.blotter.update_signal(event)
elif event.route == Event.ORDER:
assert (not at_baropen)
self.exchange.insert_order(event)
elif event.route == Event.FILL:
# 模拟交易接口收到报单成交
self.blotter.api.on_transaction(event)
# 价格撮合。note: bar价格撮合要求撮合置于运算后面。
# @TODO tick 回测不一样
if event.route == Event.ONCE or event.route == Event.ORDER:
self.exchange.make_market(self.blotter._bars, at_baropen)
self.blotter.update_status(self._datetime, at_baropen)
def plot_line(self,
name,
ith_window,
x,
y,
styles,
lw=1,
ms=10,
twinx=False):
""" 绘制曲线
Args:
name (str): 标志名称
ith_window (int): 在第几个窗口显示，从1开始。
x (datetime): 时间坐标
y (float): y坐标
styles (str): 控制颜色，线的风格，点的风格
lw (int): 线宽
ms (int): 点的大小
"""
mark = self.marks[0].setdefault(name, [])
mark.append((ith_window, twinx, x, y, styles, lw, ms))
def plot_text(self,
name,
ith_window,
x,
y,
text,
color='black',
size=15,
rotation=0):
""" 绘制文本
Args:
name (str): 标志名称
ith_window (int): 在第几个窗口显示，从1开始。
x (float): x坐标
y (float): y坐标
text (str): 文本内容
color (str): 颜色
size (int): 字体大小
rotation (float): 旋转角度
"""
mark = self.marks[1].setdefault(name, [])
mark.append((ith_window, x, y, text, color, size, rotation))
def buy(self, price, quantity, price_type, contract):
self._orders.append(
Order(None, contract, price_type, TradeSide.KAI, Direction.LONG,
float(price), quantity))
def sell(self, price, quantity, price_type, contract):
self._orders.append(
Order(None, contract, price_type, TradeSide.PING, Direction.LONG,
float(price), quantity))
def short(self, price, quantity, price_type, contract):
self._orders.append(
Order(None, contract, price_type, TradeSide.KAI, Direction.SHORT,
float(price), quantity))
def cover(self, price, quantity, price_type, contract):
self._orders.append(
Order(None, contract, price_type, TradeSide.PING, Direction.SHORT,
float(price), quantity))
def cancel(self, orders):
""" 撤单
Args:
orders (list/Order): 撤单，参数为list表示撤多个单。
"""
orders = orders if isinstance(orders, list) else [orders]
if not self._cancel_now:
# 当前bar收盘处处理撤单
for order in orders:
norder = copy.deepcopy(order)
norder.side = TradeSide.CANCEL
# @TODO or self._orders ?
# 结合实盘考虑, 实盘可能自动撤单。
self._orders.append(norder)
return
## 立即处理撤单
#temp = copy.deepcopy(self._orders)
#self._orders = []
#for order in orders:
#order.side = TradeSide.CANCEL
#self._orders.append(order)
#self.process_trading_events(False)
#self._orders = temp
@property
def open_orders(self):
""" 未成交的订单 """
return self.blotter.open_orders
def all_positions(self):
return self.blotter.positions.values()
def position(self, contract, direction):
try:
poskey = PositionKey(contract, direction)
return self.blotter.positions[poskey]
except KeyError:
return None
def pos(self, contract, direction):
try:
poskey = PositionKey(contract, direction)
return self.blotter.positions[poskey].closable
except KeyError:
return 0
def cash(self):
return self.blotter.holding['cash']
def equity(self):
return self.blotter.holding['equity']
def profit(self, contract):
pass
def day_profit(self, contract):
""" 当前持仓的浮动盈亏 """
pass
class TradingDelegator(object):
""""""
def __init__(self, name, settings={}):
self.events_pool = EventsPool()
# @TODO merge blotter and exchange
self.blotter = SimpleBlotter(name, self.events_pool, settings)
self.exchange = Exchange(name, self.events_pool, strict=True)
self._orders = []
self._datetime = None
self._cancel_now = False # 是当根bar还是下一根bar撤单成功。
def update_environment(self, dt, ticks, bars):
""" 更新模拟交易所和订单管理器的数据，时间,持仓 """
self.blotter.update_datetime(dt)
self.exchange.update_datetime(dt)
self.blotter.update_data(ticks, bars)
self._datetime = dt
def process_trading_events(self, at_baropen):
""" 提交订单，撮合，更新持仓 """
if self._orders:
self.events_pool.put(SignalEvent(self._orders))
if not self._orders:
# 没有交易信号，确保至少运行一次
self.events_pool.put(OnceEvent())
self._process_trading_events(at_baropen)
self._orders = []
def _process_trading_events(self, at_baropen):
""""""
while True:
# 事件处理。
try:
event = self.events_pool.get()
except queue.Empty:
assert (False)
except IndexError:
break
else:
# if event.type == 'MARKET':
# strategy.calculate_signals(event)
# port.update_timeindex(event)
if event.route == Event.SIGNAL:
assert (not at_baropen)
self.blotter.update_signal(event)
elif event.route == Event.ORDER:
assert (not at_baropen)
self.exchange.insert_order(event)
elif event.route == Event.FILL:
# 模拟交易接口收到报单成交
self.blotter.api.on_transaction(event)
# 价格撮合。note: bar价格撮合要求撮合置于运算后面。
# @TODO tick 回测不一样
if event.route == Event.ONCE or event.route == Event.ORDER:
self.exchange.make_market(self.blotter._bars, at_baropen)
self.blotter.update_status(self._datetime, at_baropen)
def buy(self, price, quantity, symbol=None):
""" 开多仓
Args:
price (float): 价格, 0表市价。
quantity (int): 数量。
symbol (str): 合约
"""
if not self.on_bar:
raise Exception('只有on_bar函数内能下单！')
if symbol:
contract = Contract(symbol) if isinstance(symbol, str) else symbol
else:
contract = self.contract
price_type = PriceType.MKT if price == 0 else PriceType.LMT
self._orders.append(
Order(None, contract, price_type, TradeSide.OPEN, Direction.LONG,
float(price), quantity))
def sell(self, price, quantity, symbol=None):
""" 平多仓。
Args:
price (float): 价格, 0表市价。
quantity (int): 数量。
symbol (str): 合约
"""
if not self.on_bar:
raise Exception('只有on_bar函数内能下单！')
if symbol:
contract = Contract(symbol) if isinstance(symbol, str) else symbol
else:
contract = self.contract
price_type = PriceType.MKT if price == 0 else PriceType.LMT
self._orders.append(
Order(None, contract, price_type, TradeSide.CLOSE, Direction.LONG,
float(price), quantity))
def short(self, price, quantity, symbol=None):
""" 开空仓
Args:
price (float): 价格, 0表市价。
quantity (int): 数量。
symbol (str): 合约
"""
if not self.on_bar:
raise Exception('只有on_bar函数内能下单！')
if symbol:
contract = Contract(symbol) if isinstance(symbol, str) else symbol
else:
contract = self.contract
price_type = PriceType.MKT if price == 0 else PriceType.LMT
self._orders.append(
Order(None, contract, price_type, TradeSide.OPEN, Direction.SHORT,
float(price), quantity))
def cover(self, price, quantity, symbol=None):
""" 平空仓。
Args:
price (float): 价格, 0表市价。
quantity (int): 数量。
symbol (str): 合约
"""
if not self.on_bar:
raise Exception('只有on_bar函数内能下单！')
if symbol:
contract = Contract(symbol) if isinstance(symbol, str) else symbol
else:
contract = self.contract
price_type = PriceType.MKT if price == 0 else PriceType.LMT
self._orders.append(
Order(None, contract, price_type, TradeSide.CLOSE, Direction.SHORT,
float(price), quantity))
def cancel(self, orders):
""" 撤单
Args:
orders (list/Order): 撤单，参数为list表示撤多个单。
"""
orders = orders if isinstance(orders, list) else [orders]
if not self._cancel_now:
# 当前bar收盘处处理撤单
for order in orders:
norder = copy.deepcopy(order)
norder.side = TradeSide.CANCEL
# @TODO or self._orders ?
# 结合实盘考虑, 实盘可能自动撤单。
self._orders.append(norder)
return
## 立即处理撤单
#temp = copy.deepcopy(self._orders)
#self._orders = []
#for order in orders:
#order.side = TradeSide.CANCEL
#self._orders.append(order)
#self.process_trading_events(False)
#self._orders = temp
@property
def open_orders(self):
""" 未成交的订单 """
return list(self.blotter.open_orders)
def all_positions(self):
""" 返回所有持仓列表 [Position] """
return list(six.itervalues(self.blotter.positions))
def position(self, direction='long', symbol=None):
""" 合约当前持仓仓位。
Args:
direction (str/int): 持仓方向。多头 - 'long' / 1 ；空头 - 'short' / 2
, 默认为多头。
symbol (str): 字符串合约，默认为None表示主合约。
Returns:
Position. 该合约的持仓
"""
if not self.on_bar:
raise Exception('只有on_bar函数内能查询当前持仓！')
direction = Direction.arg_to_type(direction)
contract = Contract(symbol) if symbol else \
self.contract
# @TODO assert direction
try:
poskey = PositionKey(contract, direction)
return self.blotter.positions[poskey]
except KeyError:
return None
def pos(self, direction='long', symbol=None):
""" 合约的当前可平仓位。
Args:
direction (str/int): 持仓方向。多头 - 'long' / 1 ；空头 - 'short' / 2
, 默认为多头。
symbol (str): 字符串合约，默认为None表示主合约。
Returns:
int. 该合约的持仓数目。
"""
if not self.on_bar:
raise Exception('只有on_bar函数内能查询当前持仓！')
direction = Direction.arg_to_type(direction)
# @TODO symbol xxxxx
contract = Contract(symbol) if symbol else \
self.contract
# @TODO assert direction
try:
poskey = PositionKey(contract, direction)
return self.blotter.positions[poskey].closable
except KeyError:
return 0
def cash(self):
""" 现金。 """
if not self.on_bar:
raise Exception('只有on_bar函数内能查询可用资金！')
return self.blotter.holding['cash']
def equity(self):
""" 当前权益 """
if not self.on_bar:
raise Exception('只有on_bar函数内能查询当前权益！')
return self.blotter.holding['equity']
def profit(self, contract=None):
""" 当前持仓的历史盈亏 """
# if not self.on_bar:
# log.warn('只有on_bar函数内能查询总盈亏！')
# return
pass
def day_profit(self, contract=None):
""" 当前持仓的浮动盈亏 """
#if not self.on_bar:
#log.warn('只有on_bar函数内能查询浮动盈亏！')
#return
pass
def test_cash(self):
""" 当根bar时间终点撮合后的可用资金，用于测试。 """
self.process_trading_events(at_baropen=False)
return self.cash()
def test_equity(self):
""" 当根bar时间终点撮合后的权益，用于测试。 """
self.process_trading_events(at_baropen=False)
return self.equity()