class Trade(models.Model):
exec_id = models.Attribute(required=True)
order = models.ReferenceField('Order')
trade_time = models.DateTimeField(required=True)
price = models.FloatField(required=True, indexed=False)
volume = models.FloatField(required=True, indexed=False)
closed_volume = models.FloatField(required=True,
default=0.0,
indexed=False)
commission = models.FloatField(required=True, default=0.0, indexed=False)
profit = models.FloatField(required=True, default=0.0, indexed=False)
@property
def opened_volume(self):
return self.volume - self.closed_volume
@property
def amount(self):
return self.order.instrument.amount(self.price, self.volume)
@property
def opened_amount(self):
return self.order.instrument.amount(self.price, self.opened_volume)
def on_trade(self, price, volume, trade_time, exec_id, is_open):
self.price = float(price)
self.volume = float(volume)
self.trade_time = trade_time
self.exec_id = exec_id
self.commission = self.order.instrument.calc_commission(
price, volume, is_open)
assert self.is_valid(), self.errors
self.save()
def on_close(self):
for orig_trade in self.order.orig_order.trades:
if abs(self.closed_volume) >= abs(self.volume):
break
if orig_trade.opened_volume == 0.0:
continue
if abs(orig_trade.opened_volume) < abs(self.opened_volume):
vol = orig_trade.opened_volume
else:
vol = -self.opened_volume
logger.debug('Trade {0} against {1} close volume={2}'.format(
self.exec_id, orig_trade.exec_id, vol))
self.closed_volume -= vol
orig_trade.closed_volume += vol
if self.order.instrument.indirect_quotation:
self.profit += self.order.instrument.amount(
orig_trade.price, vol) - self.order.instrument.amount(
self.price, vol)
else:
self.profit += self.order.instrument.amount(
self.price - orig_trade.price, vol)
assert orig_trade.is_valid(), orig_trade.errors
orig_trade.save()
assert self.is_valid(), self.errors
self.save()
class Stock(models.Model):
sc_code = models.IntegerField(required=True)
sc_name = models.Attribute(required=True)
created_at = models.DateTimeField(auto_now_add=True)
sc_open = models.FloatField()
sc_high = models.FloatField()
sc_low = models.FloatField()
sc_close = models.FloatField()
sc_prevclose = models.FloatField()
sc_volume = models.IntegerField()
class LogEntry(rmodels.Model):
num = rmodels.IntegerField()
time = rmodels.FloatField()
date = rmodels.DateTimeField(auto_now_add=True)
class Meta:
verbose_name = 'Search index update statistic'
verbose_name_plural = 'Search index update statistic'
db = default_connection
class Student(models.Model):
name = models.CharField(required=True)
average = models.FloatField(required=True)
class Order(models.Model):
OS_NONE, OS_NEW, OS_CANCELED, OS_FILLED, OS_CLOSING, OS_CLOSED, OS_REJECTED = range(
7)
account = models.ReferenceField('Account')
local_id = models.Attribute()
sys_id = models.Attribute(default='')
strategy_code = models.Attribute(default='')
instrument = models.ReferenceField(Instrument)
is_long = models.BooleanField(indexed=False)
is_open = models.BooleanField(indexed=True)
order_time = models.DateTimeField()
price = models.FloatField(indexed=False)
volume = models.FloatField(indexed=False)
status = models.IntegerField(default=OS_NONE)
orig_order = models.ReferenceField('Order', related_name='close_orders')
stop_profit_offset = models.FloatField(indexed=False, default=0.0) # 止赢偏离值
stoploss = models.FloatField(indexed=False, default=0.0) # 止损价
stopprofit = models.FloatField(indexed=False, default=0.0) # 止赢价
def __repr__(self):
return u'<Order: {0.id}({0.instrument}:{0.opened_volume})>'.format(
self)
def is_closed(self):
return self.status == Order.OS_CLOSED
@property
def currency(self):
return self.instrument.quoted_currency
@property
def can_close(self):
return self.status == Order.OS_FILLED
@property
def can_cancel(self):
if self.status in (Order.OS_NONE, Order.OS_NEW):
return True
elif self.status == Order.OS_FILLED:
if abs(self.filled_volume) < abs(self.volume):
return True
return False
@property
def trades(self):
return Trade.objects.filter(order_id=self.id).order('trade_time')
@property
def filled_volume(self):
return sum([trade.volume for trade in self.trades])
@property
def closed_volume(self):
return sum([trade.closed_volume for trade in self.trades])
@property
def opened_volume(self):
""" 剩余开仓量 """
return sum([trade.opened_volume for trade in self.trades])
@property
def opened_amount(self):
return sum([trade.opened_amount for trade in self.trades])
@property
def commission(self):
return sum([trade.commission for trade in self.trades])
@property
def real_profit(self):
return sum([trade.profit for trade in self.trades])
@property
def trade_amt(self):
return sum([trade.amount for trade in self.trades])
@property
def avg_fill_price(self):
if self.filled_volume:
if self.instrument.indirect_quotation:
return self.filled_volume * self.instrument.multiplier / self.trade_amt
else:
return self.trade_amt / (self.filled_volume *
self.instrument.multiplier)
return None
@property
def cur_price(self):
return current_price(self.instrument.secid, self.opened_volume > 0)
@property
def strategy(self):
return STRATEGIES.get(self.strategy_code)
def delete(self, *args, **kwargs):
for t in self.trades:
t.delete()
super(Order, self).delete(*args, **kwargs)
def update_index_value(self, att, value):
assert att in ('status', 'is_open', 'local_id', 'sys_id')
pipeline = self.db.pipeline()
# remove from old index
indkey = self._index_key_for_attr_val(att, getattr(self, att))
pipeline.srem(indkey, self.id)
pipeline.srem(self.key()['_indices'], indkey)
# add to new index
# in version 0.1.4 there is a bug in self._add_to_index(att, value, pipeline):
# the val paramter doesnot work, it's ignored.
# so i have to hardcode it as following
t, index = self._index_key_for(att, value)
if t == 'attribute':
pipeline.sadd(index, self.id)
pipeline.sadd(self.key()['_indices'], index)
elif t == 'list':
for i in index:
pipeline.sadd(i, self.id)
pipeline.sadd(self.key()['_indices'], i)
elif t == 'sortedset':
zindex, index = index
pipeline.sadd(index, self.id)
pipeline.sadd(self.key()['_indices'], index)
descriptor = self.attributes[att]
score = descriptor.typecast_for_storage(value)
pipeline.zadd(zindex, self.id, score)
pipeline.sadd(self.key()['_zindices'], zindex)
# set db value
pipeline.hset(self.key(), att, value)
pipeline.execute()
# set instance value
setattr(self, att, value)
def update_status(self, value):
value = int(value)
assert 0 <= value < 7
logger.debug('update order {2} status from {0} to {1}'.format(
getattr(self, 'status'), value, self.sys_id))
self.update_index_value('status', value)
def change_to_open_order(self):
self.update_index_value('is_open', 1)
def update_local_id(self, value):
value = str(value)
self.update_index_value('local_id', value)
def update_sys_id(self, value):
value = str(value)
self.update_index_value('sys_id', value)
def update_float_value(self, att, value):
assert att in ('stoploss', 'stopprofit', 'stop_profit_offset',
'volume')
value = float(value)
self.db.hset(self.key(), att, value)
setattr(self, att, value)
def update_stopprice(self, stoploss=None, stopprofit=None):
if stoploss is not None:
self.update_float_value('stoploss', stoploss)
if stopprofit is not None:
self.update_float_value('stopprofit', stopprofit)
def update_stop_profit_offset(self, value):
self.update_float_value('stop_profit_offset', value)
def margin(self, cur_price=None):
cur_price = cur_price or self.cur_price
return self.instrument.calc_margin(cur_price, self.opened_volume)
def float_profit(self, cur_price=None):
cur_price = cur_price or self.cur_price
profit = self.instrument.amount(
cur_price, self.opened_volume) - self.opened_amount
if self.instrument.indirect_quotation:
profit *= -1
return profit
def on_new(self, orderid, instid, direction, price, volume, exectime):
instrument = Instrument.objects.filter(secid=instid).first()
#assert self.is_open is not None
self.sys_id = orderid
self.instrument = instrument
self.is_long = direction
self.price = float(price)
self.volume = float(volume)
self.order_time = exectime
self.status = Order.OS_NEW
assert self.is_valid(), self.errors
self.save()
def on_trade(self, price, volume, tradetime, execid):
assert self.is_open is not None
# check duplicate trade
if Trade.objects.filter(exec_id=execid):
logger.debug(u'EXECID {0} 已经存在!'.format(execid))
return False
if not self.is_long:
volume = -volume
t = Trade(order=self)
t.on_trade(price, volume, tradetime, execid, self.is_open)
self.update_status(Order.OS_FILLED)
logger.info(u'<策略{0}>成交回报: {1}{2}仓 合约={3} 价格={4} 数量={5}'.format(
self.strategy_code,
u'开' if self.is_open else u'平',
u'多' if self.is_long == self.is_open else u'空',
self.instrument.name,
price,
volume,
))
return t
def set_stopprice(self, price, offset_loss=0.0, offset_profit=0.0):
# 静态止赢价
if offset_profit and not self.stopprofit:
if self.is_long:
stopprofit = price + offset_profit
else:
stopprofit = price - offset_profit
self.update_stopprice(stopprofit=stopprofit)
logger.debug('Order {0} set stop profit price to {1}'.format(
self.sys_id, self.stopprofit))
# 浮动止损价
if offset_loss:
if self.is_long:
stoploss = price - offset_loss
if self.stoploss and stoploss <= self.stoploss:
return
else:
stoploss = price + offset_loss
if self.stoploss and stoploss >= self.stoploss:
return
self.update_stopprice(stoploss)
logger.debug('Order {0} set stop loss price to {1}'.format(
self.sys_id, self.stoploss))
def on_close(self, trade):
trade.on_close()
if abs(self.orig_order.closed_volume) >= abs(
self.orig_order.filled_volume):
self.orig_order.update_status(Order.OS_CLOSED)
logger.debug(u'订单{0}已全部平仓'.format(self.orig_order.sys_id))
if (abs(self.closed_volume) >= abs(self.volume)) or (abs(
self.closed_volume) >= abs(self.orig_order.filled_volume)):
self.update_status(Order.OS_CLOSED)
logger.debug(u'订单{0}已全部平仓'.format(self.sys_id))
class Instrument(models.Model):
"""
>>> i = Instrument(secid='XX1505', name='XX 2015/05', symbol='XX-1505', quoted_currency='USD', multiplier=10.0)
>>> print i
XX-1505
"""
secid = models.Attribute(required=True)
name = models.Attribute(required=True)
symbol = models.Attribute(required=True)
exchangeid = models.Attribute()
product = models.ReferenceField('Product')
quoted_currency = models.Attribute(required=True, indexed=False)
indirect_quotation = models.BooleanField(indexed=False)
ndigits = models.IntegerField(indexed=False, default=2)
multiplier = models.FloatField(indexed=False)
open_commission_rate = models.FloatField(indexed=False, default=0)
close_commission_rate = models.FloatField(indexed=False, default=0)
tick_size = models.FloatField(indexed=False)
tick_value = models.FloatField(indexed=False)
min_order_volume = models.FloatField(indexed=False, default=1.0)
max_order_volume = models.FloatField(indexed=False, default=99999999.0)
effective_date = models.DateField(indexed=False)
expire_date = models.DateField(indexed=False)
is_trading = models.BooleanField()
long_margin_ratio = models.FloatField(indexed=False)
short_margin_ratio = models.FloatField(indexed=False)
volume = models.FloatField(indexed=False)
def __repr__(self):
return self.symbol
def amount(self, price, volume):
if not price:
return 0.0
if self.indirect_quotation:
return volume * self.multiplier / price
else:
return volume * self.multiplier * price
def calc_margin(self, price, volume, direction=None):
if direction:
return abs(self.amount(price, volume) * self.long_margin_ratio)
else:
return abs(self.amount(price, volume) * self.short_margin_ratio)
def amount2volume(self, amt, price):
if not price:
return 0.0
if self.indirect_quotation:
return amt * price / self.multiplier
else:
return amt / price / self.multiplier
def margin2volume(self, margin, price, direction=None):
if direction:
amt = margin / self.long_margin_ratio
else:
amt = margin / self.short_margin_ratio
return self.amount2volume(amt, price)
def calc_commission(self, price, volume, is_open):
if is_open:
if self.open_commission_rate is None:
self.open_commission_rate = 0.000025
commission = abs(self.amount(price,
volume)) * self.open_commission_rate
else:
if self.close_commission_rate is None:
self.close_commission_rate = 0.000025
commission = abs(self.amount(price,
volume)) * self.close_commission_rate
ndigits = self.ndigits or 2
return round(commission, ndigits)
@classmethod
def symbol2id(cls, symbol):
instance = cls.objects.filter(symbol=symbol).first()
if instance:
return instance.secid
@classmethod
def from_id(cls, secid):
return cls.objects.filter(secid=secid).first()
@classmethod
def all_ids(cls):
return [obj.secid for obj in cls.objects.all()]
def deadline(self):
if self.exchangeid in ('DCE', 'CZCE'): # 大连/郑州
d = self.expire_date.replace(day=1) - datetime.date.resolution
while d.weekday() >= 5: # weekend
d = d - datetime.date.resolution
t = datetime.time(14, 0)
elif self.exchangeid == 'SHFE': # 上期
d = self.expire_date - datetime.timedelta(3)
t = datetime.time(14, 0)
elif self.exchangeid == 'CFFEX': # 中金所
d = self.expire_date
t = datetime.time(14, 55)
else:
d = self.expire_date
t = datetime.time(23, 59)
return datetime.datetime.combine(d, t)
class Balance(models.Model):
value = models.FloatField()
currency = models.Attribute()
def convert_to(self, to_ccy):
return convert_currency(self.value, self.currency, to_ccy)