class RiceQuantFollower(BaseFollower):
def __init__(self):
super().__init__()
self.client = None
def login(self, user=None, password=None, **kwargs):
from rqopen_client import RQOpenClient
self.client = RQOpenClient(user, password, logger=log)
def follow(
self,
users,
run_id,
track_interval=1,
trade_cmd_expire_seconds=120,
cmd_cache=True,
entrust_prop="limit",
send_interval=0,
):
"""跟踪ricequant对应的模拟交易，支持多用户多策略
:param users: 支持easytrader的用户对象，支持使用 [] 指定多个用户
:param run_id: ricequant 的模拟交易ID，支持使用 [] 指定多个模拟交易
:param track_interval: 轮训模拟交易时间，单位为秒
:param trade_cmd_expire_seconds: 交易指令过期时间, 单位为秒
:param cmd_cache: 是否读取存储历史执行过的指令，防止重启时重复执行已经交易过的指令
:param entrust_prop: 委托方式, 'limit' 为限价，'market' 为市价, 仅在银河实现
:param send_interval: 交易发送间隔， 默认为0s。调大可防止卖出买入时卖出单没有及时成交导致的买入金额不足
"""
users = self.warp_list(users)
run_ids = self.warp_list(run_id)
if cmd_cache:
self.load_expired_cmd_cache()
self.start_trader_thread(
users, trade_cmd_expire_seconds, entrust_prop, send_interval
)
workers = []
for id_ in run_ids:
strategy_name = self.extract_strategy_name(id_)
strategy_worker = Thread(
target=self.track_strategy_worker,
args=[id_, strategy_name],
kwargs={"interval": track_interval},
)
strategy_worker.start()
workers.append(strategy_worker)
log.info("开始跟踪策略: %s", strategy_name)
for worker in workers:
worker.join()
def extract_strategy_name(self, run_id):
ret_json = self.client.get_positions(run_id)
if ret_json["code"] != 200:
log.error(
"fetch data from run_id %s fail, msg %s",
run_id,
ret_json["msg"],
)
raise RuntimeError(ret_json["msg"])
return ret_json["resp"]["name"]
def extract_day_trades(self, run_id):
ret_json = self.client.get_day_trades(run_id)
if ret_json["code"] != 200:
log.error(
"fetch day trades from run_id %s fail, msg %s",
run_id,
ret_json["msg"],
)
raise RuntimeError(ret_json["msg"])
return ret_json["resp"]["trades"]
def query_strategy_transaction(self, strategy, **kwargs):
transactions = self.extract_day_trades(strategy)
transactions = self.project_transactions(transactions, **kwargs)
return self.order_transactions_sell_first(transactions)
@staticmethod
def stock_shuffle_to_prefix(stock):
assert (
len(stock) == 11
), "stock {} must like 123456.XSHG or 123456.XSHE".format(stock)
code = stock[:6]
if stock.find("XSHG") != -1:
return "sh" + code
if stock.find("XSHE") != -1:
return "sz" + code
raise TypeError("not valid stock code: {}".format(code))
def project_transactions(self, transactions, **kwargs):
new_transactions = []
for transaction in transactions:
new_transaction = {}
new_transaction["price"] = transaction["price"]
new_transaction["amount"] = int(abs(transaction["quantity"]))
new_transaction["datetime"] = datetime.strptime(
transaction["time"], "%Y-%m-%d %H:%M:%S"
)
new_transaction["stock_code"] = self.stock_shuffle_to_prefix(
transaction["order_book_id"]
)
new_transaction["action"] = (
"buy" if transaction["quantity"] > 0 else "sell"
)
new_transactions.append(new_transaction)
return new_transactions
class RiceQuantFollower(BaseFollower):
def login(self, user, password, **kwargs):
from rqopen_client import RQOpenClient
self.client = RQOpenClient(user, password, logger=log)
def follow(self, users, run_id, track_interval=1,
trade_cmd_expire_seconds=120, cmd_cache=True, **kwargs):
"""跟踪ricequant对应的模拟交易，支持多用户多策略
:param users: 支持easytrader的用户对象，支持使用 [] 指定多个用户
:param run_id: ricequant 的模拟交易ID，支持使用 [] 指定多个模拟交易
:param track_interval: 轮训模拟交易时间，单位为秒
:param trade_cmd_expire_seconds: 交易指令过期时间, 单位为秒
:param cmd_cache: 是否读取存储历史执行过的指令，防止重启时重复执行已经交易过的指令
"""
users = self.warp_list(users)
run_id_list = self.warp_list(run_id)
if cmd_cache:
self.load_expired_cmd_cache()
self.start_trader_thread(users, trade_cmd_expire_seconds)
workers = []
for run_id in run_id_list:
strategy_name = self.extract_strategy_name(run_id)
strategy_worker = Thread(target=self.track_strategy_worker, args=[run_id, strategy_name],
kwargs={'interval': track_interval})
strategy_worker.start()
workers.append(strategy_worker)
log.info('开始跟踪策略: {}'.format(strategy_name))
for worker in workers:
worker.join()
def extract_strategy_name(self, run_id):
ret_json = self.client.get_positions(run_id)
if ret_json["code"] != 200:
log.error("fetch data from run_id {} fail, msg {}".format(run_id, ret_json["msg"]))
raise RuntimeError(ret_json["msg"])
return ret_json["resp"]["name"]
def extract_day_trades(self, run_id):
ret_json = self.client.get_day_trades(run_id)
if ret_json["code"] != 200:
log.error("fetch day trades from run_id {} fail, msg {}".format(run_id, ret_json["msg"]))
raise RuntimeError(ret_json["msg"])
return ret_json["resp"]["trades"]
def query_strategy_transaction(self, strategy, **kwargs):
transactions = self.extract_day_trades(strategy)
transactions = self.project_transactions(transactions, **kwargs)
return self.order_transactions_sell_first(transactions)
@staticmethod
def stock_shuffle_to_prefix(stock):
assert len(stock) == 11, 'stock {} must like 123456.XSHG or 123456.XSHE'.format(stock)
code = stock[:6]
if stock.find('XSHG') != -1:
return 'sh' + code
elif stock.find('XSHE') != -1:
return 'sz' + code
raise TypeError('not valid stock code: {}'.format(code))
def project_transactions(self, transactions, **kwargs):
new_transactions = []
for t in transactions:
trans = {}
trans["price"] = t["price"]
trans["amount"] = int(abs(t["quantity"]))
trans["datetime"] = datetime.strptime(t["time"], '%Y-%m-%d %H:%M:%S')
trans["stock_code"] = self.stock_shuffle_to_prefix(t["order_book_id"])
trans["action"] = 'buy' if t["quantity"] > 0 else 'sell'
new_transactions.append(trans)
return new_transactions
class RiceQuantFollower(BaseFollower):
def __init__(self):
super().__init__()
self.client = None
def login(self, user=None, password=None, **kwargs):
from rqopen_client import RQOpenClient
self.client = RQOpenClient(user, password, logger=log)
def follow(
self,
users,
run_id,
track_interval=1,
trade_cmd_expire_seconds=120,
cmd_cache=True,
entrust_prop="limit",
send_interval=0,
):
"""跟踪ricequant对应的模拟交易，支持多用户多策略
:param users: 支持easytrader的用户对象，支持使用 [] 指定多个用户
:param run_id: ricequant 的模拟交易ID，支持使用 [] 指定多个模拟交易
:param track_interval: 轮训模拟交易时间，单位为秒
:param trade_cmd_expire_seconds: 交易指令过期时间, 单位为秒
:param cmd_cache: 是否读取存储历史执行过的指令，防止重启时重复执行已经交易过的指令
:param entrust_prop: 委托方式, 'limit' 为限价，'market' 为市价, 仅在银河实现
:param send_interval: 交易发送间隔， 默认为0s。调大可防止卖出买入时卖出单没有及时成交导致的买入金额不足
"""
users = self.warp_list(users)
run_ids = self.warp_list(run_id)
if cmd_cache:
self.load_expired_cmd_cache()
self.start_trader_thread(users, trade_cmd_expire_seconds, entrust_prop,
send_interval)
workers = []
for id_ in run_ids:
strategy_name = self.extract_strategy_name(id_)
strategy_worker = Thread(
target=self.track_strategy_worker,
args=[id_, strategy_name],
kwargs={"interval": track_interval},
)
strategy_worker.start()
workers.append(strategy_worker)
log.info("开始跟踪策略: %s", strategy_name)
for worker in workers:
worker.join()
def extract_strategy_name(self, run_id):
ret_json = self.client.get_positions(run_id)
if ret_json["code"] != 200:
log.error(
"fetch data from run_id %s fail, msg %s",
run_id,
ret_json["msg"],
)
raise RuntimeError(ret_json["msg"])
return ret_json["resp"]["name"]
def extract_day_trades(self, run_id):
ret_json = self.client.get_day_trades(run_id)
if ret_json["code"] != 200:
log.error(
"fetch day trades from run_id %s fail, msg %s",
run_id,
ret_json["msg"],
)
raise RuntimeError(ret_json["msg"])
return ret_json["resp"]["trades"]
def query_strategy_transaction(self, strategy, **kwargs):
transactions = self.extract_day_trades(strategy)
transactions = self.project_transactions(transactions, **kwargs)
return self.order_transactions_sell_first(transactions)
@staticmethod
def stock_shuffle_to_prefix(stock):
assert (
len(stock) == 11
), "stock {} must like 123456.XSHG or 123456.XSHE".format(stock)
code = stock[:6]
if stock.find("XSHG") != -1:
return "sh" + code
if stock.find("XSHE") != -1:
return "sz" + code
raise TypeError("not valid stock code: {}".format(code))
def project_transactions(self, transactions, **kwargs):
new_transactions = []
for transaction in transactions:
new_transaction = {}
new_transaction["price"] = transaction["price"]
new_transaction["amount"] = int(abs(transaction["quantity"]))
new_transaction["datetime"] = datetime.strptime(
transaction["time"], "%Y-%m-%d %H:%M:%S")
new_transaction["stock_code"] = self.stock_shuffle_to_prefix(
transaction["order_book_id"])
new_transaction["action"] = ("buy" if transaction["quantity"] > 0
else "sell")
new_transactions.append(new_transaction)
return new_transactions
class RiceQuantFollower(BaseFollower):
def login(self, user, password, **kwargs):
from rqopen_client import RQOpenClient
self.client = RQOpenClient(user, password, logger=log)
def follow(self, users, run_id, track_interval=1,
trade_cmd_expire_seconds=120, cmd_cache=True, entrust_prop='limit', send_interval=0):
"""跟踪ricequant对应的模拟交易，支持多用户多策略
:param users: 支持easytrader的用户对象，支持使用 [] 指定多个用户
:param run_id: ricequant 的模拟交易ID，支持使用 [] 指定多个模拟交易
:param track_interval: 轮训模拟交易时间，单位为秒
:param trade_cmd_expire_seconds: 交易指令过期时间, 单位为秒
:param cmd_cache: 是否读取存储历史执行过的指令，防止重启时重复执行已经交易过的指令
:param entrust_prop: 委托方式, 'limit' 为限价，'market' 为市价, 仅在银河实现
:param send_interval: 交易发送间隔， 默认为0s。调大可防止卖出买入时卖出单没有及时成交导致的买入金额不足
"""
users = self.warp_list(users)
run_id_list = self.warp_list(run_id)
if cmd_cache:
self.load_expired_cmd_cache()
self.start_trader_thread(users, trade_cmd_expire_seconds, entrust_prop, send_interval)
workers = []
for run_id in run_id_list:
strategy_name = self.extract_strategy_name(run_id)
strategy_worker = Thread(target=self.track_strategy_worker, args=[run_id, strategy_name],
kwargs={'interval': track_interval})
strategy_worker.start()
workers.append(strategy_worker)
log.info('开始跟踪策略: {}'.format(strategy_name))
for worker in workers:
worker.join()
def extract_strategy_name(self, run_id):
ret_json = self.client.get_positions(run_id)
if ret_json["code"] != 200:
log.error("fetch data from run_id {} fail, msg {}".format(run_id, ret_json["msg"]))
raise RuntimeError(ret_json["msg"])
return ret_json["resp"]["name"]
def extract_day_trades(self, run_id):
ret_json = self.client.get_day_trades(run_id)
if ret_json["code"] != 200:
log.error("fetch day trades from run_id {} fail, msg {}".format(run_id, ret_json["msg"]))
raise RuntimeError(ret_json["msg"])
return ret_json["resp"]["trades"]
def query_strategy_transaction(self, strategy, **kwargs):
transactions = self.extract_day_trades(strategy)
transactions = self.project_transactions(transactions, **kwargs)
return self.order_transactions_sell_first(transactions)
@staticmethod
def stock_shuffle_to_prefix(stock):
assert len(stock) == 11, 'stock {} must like 123456.XSHG or 123456.XSHE'.format(stock)
code = stock[:6]
if stock.find('XSHG') != -1:
return 'sh' + code
elif stock.find('XSHE') != -1:
return 'sz' + code
raise TypeError('not valid stock code: {}'.format(code))
def project_transactions(self, transactions, **kwargs):
new_transactions = []
for t in transactions:
trans = {}
trans["price"] = t["price"]
trans["amount"] = int(abs(t["quantity"]))
trans["datetime"] = datetime.strptime(t["time"], '%Y-%m-%d %H:%M:%S')
trans["stock_code"] = self.stock_shuffle_to_prefix(t["order_book_id"])
trans["action"] = 'buy' if t["quantity"] > 0 else 'sell'
new_transactions.append(trans)
return new_transactions