def submit_order(self, order):
account = self._env.get_account(order.order_book_id)
self._env.event_bus.publish_event(
Event(EVENT.ORDER_PENDING_NEW, account=account, order=copy(order)))
if order.is_final():
return
order.active()
self._env.event_bus.publish_event(
Event(EVENT.ORDER_CREATION_PASS,
account=account,
order=copy(order)))
self._match(account, order)
def submit_order(self, order):
account = self._env.get_account(order.order_book_id)
self._env.event_bus.publish_event(
Event(EVENT.ORDER_PENDING_NEW, account=account, order=order))
if order.is_final():
return
if self._env.config.base.frequency == '1d' and not self._match_immediately:
self._delayed_orders.append((account, order))
return
self._open_orders.append((account, order))
order.active()
self._env.event_bus.publish_event(
Event(EVENT.ORDER_CREATION_PASS, account=account, order=order))
if self._match_immediately:
self._match()
def update(self, universe):
if isinstance(universe, (six.string_types, Instrument)):
universe = [universe]
new_set = set(universe)
if new_set != self._set:
self._set = new_set
Environment.get_instance().event_bus.publish_event(
Event(EVENT.POST_UNIVERSE_CHANGED, universe=self._set))
def output_profile_result(env):
stdout_trap = six.StringIO()
env.profile_deco.print_stats(stdout_trap)
profile_output = stdout_trap.getvalue()
profile_output = profile_output.rstrip()
six.print_(profile_output)
env.event_bus.publish_event(
Event(EVENT.ON_LINE_PROFILER_RESULT, result=profile_output))
def init(self):
if not self._init:
return
with ExecutionContext(EXECUTION_PHASE.ON_INIT):
with ModifyExceptionFromType(EXC_TYPE.USER_EXC):
self._init(self._user_context)
Environment.get_instance().event_bus.publish_event(Event(EVENT.POST_USER_INIT))
def cancel_order(self, order):
account = self._env.get_account(order.order_book_id)
self._env.event_bus.publish_event(
Event(EVENT.ORDER_PENDING_CANCEL, account=account, order=order))
order.mark_cancelled(
_(u"{order_id} order has been cancelled by user.").format(
order_id=order.order_id))
self._env.event_bus.publish_event(
Event(EVENT.ORDER_CANCELLATION_PASS, account=account, order=order))
try:
self._open_orders.remove((account, order))
except ValueError:
try:
self._delayed_orders.remove((account, order))
except ValueError:
pass
def _clear_de_listed(self, event):
de_listed = set()
env = Environment.get_instance()
for o in self._set:
i = env.data_proxy.instruments(o)
if i.de_listed_date <= env.trading_dt:
de_listed.add(o)
if de_listed:
self._set -= de_listed
env.event_bus.publish_event(
Event(EVENT.POST_UNIVERSE_CHANGED, universe=self._set))
def after_trading(self, event):
for account, order in self._open_orders:
order.mark_rejected(
_(u"Order Rejected: {order_book_id} can not match. Market close."
).format(order_book_id=order.order_book_id))
self._env.event_bus.publish_event(
Event(EVENT.ORDER_UNSOLICITED_UPDATE,
account=account,
order=order))
self._open_orders = self._delayed_orders
self._delayed_orders = []
def _match(self, order_book_id=None):
open_orders = self._open_orders
if order_book_id is not None:
open_orders = [(a, o) for (a, o) in self._open_orders
if o.order_book_id == order_book_id]
self._matcher.match(open_orders)
final_orders = [(a, o) for a, o in self._open_orders if o.is_final()]
self._open_orders = [(a, o) for a, o in self._open_orders
if not o.is_final()]
for account, order in final_orders:
if order.status == ORDER_STATUS.REJECTED or order.status == ORDER_STATUS.CANCELLED:
self._env.event_bus.publish_event(
Event(EVENT.ORDER_UNSOLICITED_UPDATE,
account=account,
order=order))
def test_on_tick(self):
from rqrobot.events import EVENT, Event
self.assertEqual(self.benchmark_account.total_value,
self.benchmark_account_total_cash)
self.assertEqual(len(self.benchmark_account.positions), 0)
mock_event = Event(EVENT.TICK,
tick=mock_tick(mock_instrument(self.benchmark),
last=3000))
self.env.event_bus.publish_event(mock_event)
self.assertAlmostEqual(
self.benchmark_account.positions[self.benchmark].quantity,
4000 / 3000)
self.env.event_bus.publish_event(mock_event)
self.assertAlmostEqual(
self.benchmark_account.positions[self.benchmark].quantity,
4000 / 3000)
def check_before_trading(e):
if self._last_before_trading == event.trading_dt.date():
return False
if self._env.config.extra.is_hold:
return False
if self._last_before_trading:
# don't publish settlement on first day
publish_settlement()
self._last_before_trading = e.trading_dt.date()
update_time(e)
event_bus.publish_event(PRE_BEFORE_TRADING)
event_bus.publish_event(
Event(EVENT.BEFORE_TRADING,
calendar_dt=e.calendar_dt,
trading_dt=e.trading_dt))
event_bus.publish_event(POST_BEFORE_TRADING)
return True
def test_on_bar(self):
from rqrobot.events import EVENT, Event
self.assertEqual(self.benchmark_account.total_value,
self.benchmark_account_total_cash)
self.assertEqual(len(self.benchmark_account.positions), 0)
mock_event = Event(EVENT.PRE_BAR,
bar_dict={
self.benchmark:
mock_bar(mock_instrument(self.benchmark),
close=3000)
})
self.env.event_bus.publish_event(mock_event)
self.assertAlmostEqual(
self.benchmark_account.positions[self.benchmark].quantity,
4000 / 3000)
self.env.event_bus.publish_event(mock_event)
self.assertAlmostEqual(
self.benchmark_account.positions[self.benchmark].quantity,
4000 / 3000)
def match(self, open_orders):
price_board = self._env.price_board
for account, order in open_orders:
order_book_id = order.order_book_id
instrument = self._env.get_instrument(order_book_id)
deal_price = self._deal_price_decider(order_book_id, order.side)
if not is_valid_price(deal_price):
listed_date = instrument.listed_date.date()
if listed_date == self._trading_dt.date():
reason = _(
u"Order Cancelled: current security [{order_book_id}] can not be traded in listed date [{listed_date}]"
).format(
order_book_id=order.order_book_id,
listed_date=listed_date,
)
else:
reason = _(
u"Order Cancelled: current bar [{order_book_id}] miss market data."
).format(order_book_id=order.order_book_id)
order.mark_rejected(reason)
continue
if order.type == ORDER_TYPE.LIMIT:
if order.side == SIDE.BUY and order.price < deal_price:
continue
if order.side == SIDE.SELL and order.price > deal_price:
continue
# 是否限制涨跌停不成交
if self._price_limit:
if order.side == SIDE.BUY and deal_price >= price_board.get_limit_up(
order_book_id):
continue
if order.side == SIDE.SELL and deal_price <= price_board.get_limit_down(
order_book_id):
continue
if self._liquidity_limit:
if order.side == SIDE.BUY and price_board.get_a1(
order_book_id) == 0:
continue
if order.side == SIDE.SELL and price_board.get_b1(
order_book_id) == 0:
continue
else:
if self._price_limit:
if order.side == SIDE.BUY and deal_price >= price_board.get_limit_up(
order_book_id):
reason = _(
"Order Cancelled: current bar [{order_book_id}] reach the limit_up price."
).format(order_book_id=order.order_book_id)
order.mark_rejected(reason)
continue
if order.side == SIDE.SELL and deal_price <= price_board.get_limit_down(
order_book_id):
reason = _(
"Order Cancelled: current bar [{order_book_id}] reach the limit_down price."
).format(order_book_id=order.order_book_id)
order.mark_rejected(reason)
continue
if self._liquidity_limit:
if order.side == SIDE.BUY and price_board.get_a1(
order_book_id) == 0:
reason = _(
"Order Cancelled: [{order_book_id}] has no liquidity."
).format(order_book_id=order.order_book_id)
order.mark_rejected(reason)
continue
if order.side == SIDE.SELL and price_board.get_b1(
order_book_id) == 0:
reason = _(
"Order Cancelled: [{order_book_id}] has no liquidity."
).format(order_book_id=order.order_book_id)
order.mark_rejected(reason)
continue
if self._volume_limit:
bar = self._env.bar_dict[order_book_id]
volume_limit = round(
bar.volume *
self._volume_percent) - self._turnover[order.order_book_id]
round_lot = instrument.round_lot
volume_limit = (volume_limit // round_lot) * round_lot
if volume_limit <= 0:
if order.type == ORDER_TYPE.MARKET:
reason = _(
u"Order Cancelled: market order {order_book_id} volume {order_volume}"
u" due to volume limit").format(
order_book_id=order.order_book_id,
order_volume=order.quantity)
order.mark_cancelled(reason)
continue
unfilled = order.unfilled_quantity
fill = min(unfilled, volume_limit)
else:
fill = order.unfilled_quantity
ct_amount = account.positions.get_or_create(
order.order_book_id).cal_close_today_amount(fill, order.side)
price = self._slippage_decider.get_trade_price(order, deal_price)
trade = Trade.__from_create__(
order_id=order.order_id,
price=price,
amount=fill,
side=order.side,
position_effect=order.position_effect,
order_book_id=order.order_book_id,
frozen_price=order.frozen_price,
close_today_amount=ct_amount)
trade._commission = self._env.get_trade_commission(
account_type_str2enum(account.type), trade)
trade._tax = self._env.get_trade_tax(
account_type_str2enum(account.type), trade)
order.fill(trade)
self._turnover[order.order_book_id] += fill
self._env.event_bus.publish_event(
Event(EVENT.TRADE, account=account, trade=trade, order=order))
if order.type == ORDER_TYPE.MARKET and order.unfilled_quantity != 0:
reason = _(
u"Order Cancelled: market order {order_book_id} volume {order_volume} is"
u" larger than {volume_percent_limit} percent of current bar volume, fill {filled_volume} actually"
).format(order_book_id=order.order_book_id,
order_volume=order.quantity,
filled_volume=order.filled_quantity,
volume_percent_limit=self._volume_percent * 100.0)
order.mark_cancelled(reason)
def run(config, source_code=None, user_funcs=None):
env = Environment(config)
persist_helper = None
init_succeed = False
mod_handler = ModHandler()
try:
# avoid register handlers everytime
# when running in ipython
set_loggers(config)
basic_system_log.debug("\n" + pformat(config.convert_to_dict()))
if source_code is not None:
env.set_strategy_loader(SourceCodeStrategyLoader(source_code))
elif user_funcs is not None:
env.set_strategy_loader(UserFuncStrategyLoader(user_funcs))
else:
env.set_strategy_loader(
FileStrategyLoader(config.base.strategy_file))
env.set_global_vars(GlobalVars())
mod_handler.set_env(env)
mod_handler.start_up()
if not env.data_source:
env.set_data_source(BaseDataSource(config.base.data_bundle_path))
env.set_data_proxy(DataProxy(env.data_source))
Scheduler.set_trading_dates_(env.data_source.get_trading_calendar())
scheduler = Scheduler(config.base.frequency)
mod_scheduler._scheduler = scheduler
env._universe = StrategyUniverse()
_adjust_start_date(env.config, env.data_proxy)
_validate_benchmark(env.config, env.data_proxy)
# FIXME
start_dt = datetime.datetime.combine(config.base.start_date,
datetime.datetime.min.time())
env.calendar_dt = start_dt
env.trading_dt = start_dt
broker = env.broker
assert broker is not None
env.portfolio = broker.get_portfolio()
try:
env.booking = broker.get_booking()
except NotImplementedError:
pass
env.benchmark_portfolio = create_benchmark_portfolio(env)
event_source = env.event_source
assert event_source is not None
bar_dict = BarMap(env.data_proxy, config.base.frequency)
env.set_bar_dict(bar_dict)
if env.price_board is None:
from .core.bar_dict_price_board import BarDictPriceBoard
env.price_board = BarDictPriceBoard()
ctx = ExecutionContext(const.EXECUTION_PHASE.GLOBAL)
ctx._push()
env.event_bus.publish_event(Event(EVENT.POST_SYSTEM_INIT))
scope = create_base_scope(config.base.run_type == RUN_TYPE.BACKTEST)
scope.update({"g": env.global_vars})
apis = api_helper.get_apis()
scope.update(apis)
scope = env.strategy_loader.load(scope)
if env.config.extra.enable_profiler:
enable_profiler(env, scope)
ucontext = StrategyContext()
user_strategy = Strategy(env.event_bus, scope, ucontext)
scheduler.set_user_context(ucontext)
if not config.extra.force_run_init_when_pt_resume:
with run_with_user_log_disabled(disabled=config.base.resume_mode):
user_strategy.init()
if config.extra.context_vars:
for k, v in six.iteritems(config.extra.context_vars):
setattr(ucontext, k, v)
from .core.executor import Executor
executor = Executor(env)
if config.base.persist:
persist_provider = env.persist_provider
if persist_provider is None:
raise RuntimeError(
_(u"Missing persist provider. You need to set persist_provider before use persist"
))
persist_helper = PersistHelper(persist_provider, env.event_bus,
config.base.persist_mode)
env.set_persist_helper(persist_helper)
persist_helper.register('core', CoreObjectsPersistProxy(scheduler))
persist_helper.register('user_context', ucontext)
persist_helper.register('global_vars', env.global_vars)
persist_helper.register('universe', env._universe)
if isinstance(event_source, Persistable):
persist_helper.register('event_source', event_source)
persist_helper.register('portfolio', env.portfolio)
if env.benchmark_portfolio:
persist_helper.register('benchmark_portfolio',
env.benchmark_portfolio)
for name, module in six.iteritems(env.mod_dict):
if isinstance(module, Persistable):
persist_helper.register('mod_{}'.format(name), module)
# broker will restore open orders from account
if isinstance(broker, Persistable):
persist_helper.register('broker', broker)
persist_helper.register('executor', executor)
env.event_bus.publish_event(Event(EVENT.BEFORE_SYSTEM_RESTORED))
persist_helper.restore()
env.event_bus.publish_event(Event(EVENT.POST_SYSTEM_RESTORED))
init_succeed = True
# When force_run_init_when_pt_resume is active,
# we should run `init` after restore persist data
if config.extra.force_run_init_when_pt_resume:
assert config.base.resume_mode == True
with run_with_user_log_disabled(disabled=False):
env._universe._set = set()
user_strategy.init()
executor.run(bar_dict)
if env.profile_deco:
output_profile_result(env)
except CustomException as e:
if init_succeed and env.config.base.persist and persist_helper and env.config.base.persist_mode == const.PERSIST_MODE.ON_CRASH:
persist_helper.persist()
code = _exception_handler(e)
mod_handler.tear_down(code, e)
except Exception as e:
if init_succeed and env.config.base.persist and persist_helper and env.config.base.persist_mode == const.PERSIST_MODE.ON_CRASH:
persist_helper.persist()
exc_type, exc_val, exc_tb = sys.exc_info()
user_exc = create_custom_exception(exc_type, exc_val, exc_tb,
config.base.strategy_file)
code = _exception_handler(user_exc)
mod_handler.tear_down(code, user_exc)
else:
if (env.config.base.persist and persist_helper
and env.config.base.persist_mode
== const.PERSIST_MODE.ON_NORMAL_EXIT):
persist_helper.persist()
result = mod_handler.tear_down(const.EXIT_CODE.EXIT_SUCCESS)
system_log.debug(_(u"strategy run successfully, normal exit"))
return result
def _match(self, account, order):
order_book_id = order.order_book_id
price_board = self._env.price_board
last_price = price_board.get_last_price(order_book_id)
if not is_valid_price(last_price):
instrument = self._env.get_instrument(order_book_id)
listed_date = instrument.listed_date.date()
if listed_date == self._env.trading_dt.date():
reason = _(
"Order Cancelled: current security [{order_book_id}] can not be traded in listed date [{listed_date}]"
).format(
order_book_id=order_book_id,
listed_date=listed_date,
)
else:
reason = _(
u"Order Cancelled: current bar [{order_book_id}] miss market data."
).format(order_book_id=order_book_id)
order.mark_rejected(reason)
self._env.event_bus.publish_event(
Event(EVENT.ORDER_UNSOLICITED_UPDATE,
account=account,
order=copy(order)))
return
if order.type == ORDER_TYPE.LIMIT:
deal_price = order.frozen_price
else:
deal_price = last_price
if self._price_limit:
"""
在 Signal 模式下，不再阻止涨跌停是否买进，price_limit 参数表示是否给出警告提示。
"""
if order.side == SIDE.BUY and deal_price >= price_board.get_limit_up(
order_book_id):
user_system_log.warning(
_(u"You have traded {order_book_id} with {quantity} lots in {bar_status}"
).format(order_book_id=order_book_id,
quantity=order.quantity,
bar_status=BAR_STATUS.LIMIT_UP))
return
if order.side == SIDE.SELL and deal_price <= price_board.get_limit_down(
order_book_id):
user_system_log.warning(
_(u"You have traded {order_book_id} with {quantity} lots in {bar_status}"
).format(order_book_id=order_book_id,
quantity=order.quantity,
bar_status=BAR_STATUS.LIMIT_DOWN))
return
ct_amount = account.positions.get_or_create(
order_book_id).cal_close_today_amount(order.quantity, order.side)
trade_price = self._slippage_decider.get_trade_price(order, deal_price)
trade = Trade.__from_create__(order_id=order.order_id,
price=trade_price,
amount=order.quantity,
side=order.side,
position_effect=order.position_effect,
order_book_id=order_book_id,
frozen_price=order.frozen_price,
close_today_amount=ct_amount)
trade._commission = self._env.get_trade_commission(
account_type_str2enum(account.type), trade)
trade._tax = self._env.get_trade_tax(
account_type_str2enum(account.type), trade)
order.fill(trade)
self._env.event_bus.publish_event(
Event(EVENT.TRADE, account=account, trade=trade,
order=copy(order)))
def publish_settlement():
event_bus.publish_event(PRE_SETTLEMENT)
event_bus.publish_event(Event(EVENT.SETTLEMENT))
event_bus.publish_event(POST_SETTLEMENT)
# Licensed under the Apache License, Version 2.0 (the "License");
# you may not use this file except in compliance with the License.
# You may obtain a copy of the License at
#
# http://www.apache.org/licenses/LICENSE-2.0
#
# Unless required by applicable law or agreed to in writing, software
# distributed under the License is distributed on an "AS IS" BASIS,
# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
# See the License for the specific language governing permissions and
# limitations under the License.
from rqrobot.events import EVENT, Event
from rqrobot.utils.rq_json import convert_dict_to_json, convert_json_to_dict
PRE_BEFORE_TRADING = Event(EVENT.PRE_BEFORE_TRADING)
POST_BEFORE_TRADING = Event(EVENT.POST_BEFORE_TRADING)
PRE_BAR = Event(EVENT.PRE_BAR)
POST_BAR = Event(EVENT.POST_BAR)
PRE_TICK = Event(EVENT.PRE_TICK)
POST_TICK = Event(EVENT.POST_TICK)
PRE_AFTER_TRADING = Event(EVENT.PRE_AFTER_TRADING)
POST_AFTER_TRADING = Event(EVENT.POST_AFTER_TRADING)
PRE_SETTLEMENT = Event(EVENT.PRE_SETTLEMENT)
POST_SETTLEMENT = Event(EVENT.POST_SETTLEMENT)
class Executor(object):
def __init__(self, env):
self._env = env
self._last_before_trading = None
def before_trading(self, event):
for account, order in self._open_orders:
order.active()
self._env.event_bus.publish_event(
Event(EVENT.ORDER_CREATION_PASS, account=account, order=order))
def events(self, start_date, end_date, frequency):
if frequency == "1d":
# 根据起始日期和结束日期，获取所有的交易日，然后再循环获取每一个交易日
for day in self._env.data_proxy.get_trading_dates(
start_date, end_date):
date = day.to_pydatetime()
dt_before_trading = date.replace(hour=0, minute=0)
dt_bar = self._get_day_bar_dt(date)
dt_after_trading = self._get_after_trading_dt(date)
yield Event(EVENT.BEFORE_TRADING,
calendar_dt=dt_before_trading,
trading_dt=dt_before_trading)
yield Event(EVENT.BAR, calendar_dt=dt_bar, trading_dt=dt_bar)
yield Event(EVENT.AFTER_TRADING,
calendar_dt=dt_after_trading,
trading_dt=dt_after_trading)
elif frequency == '1m':
for day in self._env.data_proxy.get_trading_dates(
start_date, end_date):
before_trading_flag = True
date = day.to_pydatetime()
last_dt = None
done = False
dt_before_day_trading = date.replace(hour=8, minute=30)
while True:
if done:
break
exit_loop = True
trading_minutes = self._get_trading_minutes(date)
for calendar_dt in trading_minutes:
if last_dt is not None and calendar_dt < last_dt:
continue
if calendar_dt < dt_before_day_trading:
trading_dt = calendar_dt.replace(year=date.year,
month=date.month,
day=date.day)
else:
trading_dt = calendar_dt
if before_trading_flag:
before_trading_flag = False
yield Event(EVENT.BEFORE_TRADING,
calendar_dt=calendar_dt -
datetime.timedelta(minutes=30),
trading_dt=trading_dt -
datetime.timedelta(minutes=30))
if self._universe_changed:
self._universe_changed = False
last_dt = calendar_dt
exit_loop = False
break
# yield handle bar
yield Event(EVENT.BAR,
calendar_dt=calendar_dt,
trading_dt=trading_dt)
if exit_loop:
done = True
dt = self._get_after_trading_dt(date)
yield Event(EVENT.AFTER_TRADING, calendar_dt=dt, trading_dt=dt)
elif frequency == "tick":
data_proxy = self._env.data_proxy
for day in data_proxy.get_trading_dates(start_date, end_date):
date = day.to_pydatetime()
last_tick = None
last_dt = None
dt_before_day_trading = date.replace(hour=8, minute=30)
while True:
for tick in data_proxy.get_merge_ticks(
self._get_universe(), date, last_dt):
# find before trading time
calendar_dt = tick.datetime
if calendar_dt < dt_before_day_trading:
trading_dt = calendar_dt.replace(year=date.year,
month=date.month,
day=date.day)
else:
trading_dt = calendar_dt
if last_tick is None:
last_tick = tick
yield Event(EVENT.BEFORE_TRADING,
calendar_dt=calendar_dt -
datetime.timedelta(minutes=30),
trading_dt=trading_dt -
datetime.timedelta(minutes=30))
if self._universe_changed:
self._universe_changed = False
break
last_dt = calendar_dt
yield Event(EVENT.TICK,
calendar_dt=calendar_dt,
trading_dt=trading_dt,
tick=tick)
else:
break
dt = self._get_after_trading_dt(date)
yield Event(EVENT.AFTER_TRADING, calendar_dt=dt, trading_dt=dt)
else:
raise NotImplementedError(
_("Frequency {} is not support.").format(frequency))
