def __init__(
self, account_id, init_balance,
trade_class: Union[Type[SimTrade], Type[SimTradeStock]]) -> None:
self._account_id = account_id
super(BaseSim, self).__init__()
self.trade_log = {} # 日期->交易记录及收盘时的权益及持仓
self.tqsdk_stat = {} # 回测结束后储存回测报告信息
self._init_balance = init_balance
self._current_datetime = "1990-01-01 00:00:00.000000" # 当前行情时间（最新的 quote 时间）
self._trading_day_end = "1990-01-01 18:00:00.000000"
self._local_time_record = float("nan") # 记录获取最新行情时的本地时间
self._sim_trade = trade_class(
account_key=self._account_key,
account_id=self._account_id,
init_balance=self._init_balance,
get_trade_timestamp=self._get_trade_timestamp,
is_in_trading_time=self._is_in_trading_time)
self._data = Entity()
self._data._instance_entity([])
self._prototype = {
"quotes": {
"#": Quote(self), # 行情的数据原型
}
}
self._quote_tasks = {}
def __init__(self, logger):
self._logger = logger
self._resend_request = {} # 重连时需要重发的请求
self._un_processed = False # 重连后尚未处理完标志
self._pending_diffs = []
self._data = Entity()
self._data._instance_entity([])
async def _run(self, api, sim_send_chan, sim_recv_chan, md_send_chan,
md_recv_chan):
"""回测task"""
self._api = api
self._logger = api._logger.getChild("TqBacktest") # 调试信息输出
self._sim_send_chan = sim_send_chan
self._sim_recv_chan = sim_recv_chan
self._md_send_chan = md_send_chan
self._md_recv_chan = md_recv_chan
self._pending_peek = False
self._data = Entity() # 数据存储
self._data._instance_entity([])
self._serials = {} # 所有原始数据序列
self._quotes = {}
self._diffs = []
self._is_first_send = True
md_task = self._api.create_task(self._md_handler())
try:
await self._send_snapshot()
async for pack in self._sim_send_chan:
self._logger.debug("TqBacktest message received: %s", pack)
if pack["aid"] == "subscribe_quote":
self._diffs.append({"ins_list": pack["ins_list"]})
for ins in pack["ins_list"].split(","):
await self._ensure_quote(ins)
await self._send_diff() # 处理上一次未处理的 peek_message
elif pack["aid"] == "set_chart":
if pack["ins_list"]:
# 回测模块中已保证每次将一个行情时间的数据全部发送给api，因此更新行情时 保持与初始化时一样的charts信息（即不作修改）
self._diffs.append({
"charts": {
pack["chart_id"]: {
# 两个id设置为0：保证api在回测中判断此值时不是-1，即直接通过对数据接收完全的验证
"left_id": 0,
"right_id": 0,
"more_data":
False, # 直接发送False给api，表明数据发送完全，使api中通过数据接收完全的验证
"state": pack
}
}
})
await self._ensure_serial(pack["ins_list"],
pack["duration"])
else:
self._diffs.append(
{"charts": {
pack["chart_id"]: None
}})
await self._send_diff() # 处理上一次未处理的 peek_message
elif pack["aid"] == "peek_message":
self._pending_peek = True
await self._send_diff()
finally:
# 关闭所有serials
for s in self._serials.values():
await s["generator"].aclose()
md_task.cancel()
await asyncio.gather(md_task, return_exceptions=True)
async def _run(self, api, api_send_chan, api_recv_chan, ws_send_chan, ws_recv_chan):
self._api = api
send_task = self._api.create_task(self._send_handler(api_send_chan, ws_send_chan))
try:
async for pack in ws_recv_chan:
self._record_upper_data(pack)
if self._un_processed: # 处理重连后数据
pack_data = pack.get("data", [])
self._pending_diffs.extend(pack_data)
for d in pack_data:
# _merge_diff 之后， self._data 会用于判断是否接收到了完整截面数据
_merge_diff(self._data, d, self._api._prototype, persist=False, reduce_diff=False)
if self._is_all_received():
# 重连后收到完整数据截面
self._un_processed = False
pack = {
"aid": "rtn_data",
"data": self._pending_diffs
}
await api_recv_chan.send(pack)
self._logger = self._logger.bind(status=self._status)
self._logger.debug("data completed", pack=pack)
else:
await ws_send_chan.send({"aid": "peek_message"})
self._logger.debug("wait for data completed", pack={"aid": "peek_message"})
else:
is_reconnected = False
for i in range(len(pack.get("data", []))):
for _, notify in pack["data"][i].get("notify", {}).items():
if notify["code"] == 2019112902: # 重连建立
is_reconnected = True
self._un_processed = True
self._logger = self._logger.bind(status=self._status)
if i > 0:
ws_send_chan.send_nowait({
"aid": "rtn_data",
"data": pack.get("data", [])[0:i]
})
self._pending_diffs = pack.get("data", [])[i:]
break
if is_reconnected:
self._data = Entity()
self._data._instance_entity([])
for d in self._pending_diffs:
_merge_diff(self._data, d, self._api._prototype, persist=False, reduce_diff=False)
# 发送所有 resend_request
for msg in self._resend_request.values():
# 这里必须用 send_nowait 而不是 send，因为如果使用异步写法，在循环中，代码可能执行到 send_task, 可能会修改 _resend_request
ws_send_chan.send_nowait(msg)
self._logger.debug("resend request", pack=msg)
await ws_send_chan.send({"aid": "peek_message"})
else:
await api_recv_chan.send(pack)
finally:
send_task.cancel()
await asyncio.gather(send_task, return_exceptions=True)
def _get_obj(root, path, default=None):
"""获取业务数据"""
d = root
for i in range(len(path)):
if path[i] not in d:
if i != len(path) - 1 or default is None:
dv = Entity()
else:
dv = copy.copy(default)
dv._instance_entity(d["_path"] + [path[i]])
d[path[i]] = dv
d = d[path[i]]
return d
def lots_at_price(order: Entity, p: float) -> int:
order_id: str
order: Order
lots: int = 0
for order_id, order in order.items():
if order.limit_price == p:
lots += order.volume_left
return lots
def __init__(self, api):
self._api = api
self._data = Entity() # 交易业务信息截面，需要定于数据原型，使用 Entity 类型 和 _merge_diff
self._data._instance_entity([])
self._new_objs_list = []
self._prototype = {
"trade": {
"*": {
"@": CustomDict(self._api, self._new_objs_list)
}
}
}
self._data_quotes = {} # 行情信息截面，只需要 quotes 数据。这里不需要定义数据原型，使用普通 dict 和 _simple_merge_diff
self._diffs = []
self._all_trade_symbols = set() # 所有持仓、委托、成交中的合约
self._query_symbols = set() # 已经发送合约信息请求 + 已经知道合约信息的合约
self._need_wait_symbol_info = set() # 需要发送合约信息请求 + 不知道合约信息的合约
def __init__(self, init_balance: float = 10000000.0, account_id: str = None) -> None:
"""
Args:
init_balance (float): [可选]初始资金, 默认为一千万
account_id (str): [可选]帐号, 默认为 TQSIM
Example::
# 修改TqSim模拟帐号的初始资金为100000
from tqsdk import TqApi, TqSim, TqAuth
api = TqApi(TqSim(init_balance=100000), auth=TqAuth("信易账户", "账户密码"))
"""
self.trade_log = {} # 日期->交易记录及收盘时的权益及持仓
self.tqsdk_stat = {} # 回测结束后储存回测报告信息
self._account_id = "TQSIM" if account_id is None else account_id
self._account_type = "FUTURE"
self._broker_id = "TQSIM" if self._account_type == "FUTURE" else "TQSIM_STOCK"
self._account_key = str(id(self))
self._init_balance = float(init_balance)
if self._init_balance <= 0:
raise Exception("初始资金(init_balance) %s 错误, 请检查 init_balance 是否填写正确" % (init_balance))
self._current_datetime = "1990-01-01 00:00:00.000000" # 当前行情时间（最新的 quote 时间）
self._trading_day_end = "1990-01-01 18:00:00.000000"
self._local_time_record = float("nan") # 记录获取最新行情时的本地时间
self._sim_trade = SimTrade(account_key=self._account_key, init_balance=self._init_balance,
get_trade_timestamp=self._get_trade_timestamp,
is_in_trading_time=self._is_in_trading_time)
self._data = Entity()
self._data._instance_entity([])
self._prototype = {
"quotes": {
"#": Quote(self), # 行情的数据原型
}
}
self._quote_tasks = {}
def __init__(self, api):
self._api = api
self._data = Entity() # 业务信息截面
self._data._instance_entity([])
self._diffs = []
self._all_subscribe = set()
class TqBacktest(object):
"""
天勤回测类
将该类传入 TqApi 的构造函数, 则策略就会进入回测模式。
回测模式下 k线会在刚创建出来时和结束时分别更新一次, 在这之间 k线是不会更新的。
回测模式下 quote 的更新频率由所订阅的 tick 和 k线周期确定:
* 只要订阅了 tick, 则对应合约的 quote 就会使用 tick 生成, 更新频率也和 tick 一致, 但 **只有下字段** :
datetime/ask&bid_price1/ask&bid_volume1/last_price/highest/lowest/average/volume/amount/open_interest/
price_tick/price_decs/volume_multiple/max&min_limit&market_order_volume/underlying_symbol/strike_price
* 如果没有订阅 tick, 但是订阅了 k线, 则对应合约的 quote 会使用 k线生成, 更新频率和 k线的周期一致， 如果订阅了某个合约的多个周期的 k线,
则任一个周期的 k线有更新时, quote 都会更新. 使用 k线生成的 quote 的盘口由收盘价分别加/减一个最小变动单位, 并且 highest/lowest/average/amount
始终为 nan, volume 始终为0
* 如果即没有订阅 tick, 也没有订阅k线或 订阅的k线周期大于分钟线, 则 TqBacktest 会 **自动订阅分钟线** 来生成 quote
**注意** ：如果未订阅 quote，模拟交易在下单时会自动为此合约订阅 quote ，根据回测时 quote 的更新规则，如果此合约没有订阅K线或K线周期大于分钟线 **则会自动订阅一个分钟线** 。
模拟交易要求报单价格大于等于对手盘价格才会成交, 例如下买单, 要求价格大于等于卖一价才会成交, 如果不能立即成交则会等到下次行情更新再重新判断。
回测模式下 wait_update 每次最多推进一个行情时间。
回测结束后会抛出 BacktestFinished 例外。
对 **组合合约** 进行回测时需注意：只能通过订阅 tick 数据来回测，不能订阅K线，因为K线是由最新价合成的，而交易所发回的组合合约数据中无最新价。
"""
def __init__(self, start_dt: Union[date, datetime],
end_dt: Union[date, datetime]) -> None:
"""
创建天勤回测类
Args:
start_dt (date/datetime): 回测起始时间, 如果类型为 date 则指的是交易日, 如果为 datetime 则指的是具体时间点
end_dt (date/datetime): 回测结束时间, 如果类型为 date 则指的是交易日, 如果为 datetime 则指的是具体时间点
"""
if isinstance(start_dt, datetime):
self._start_dt = int(start_dt.timestamp() * 1e9)
elif isinstance(start_dt, date):
self._start_dt = _get_trading_day_start_time(
int(
datetime(start_dt.year, start_dt.month,
start_dt.day).timestamp()) * 1000000000)
else:
raise Exception(
"回测起始时间(start_dt)类型 %s 错误, 请检查 start_dt 数据类型是否填写正确" %
(type(start_dt)))
if isinstance(end_dt, datetime):
self._end_dt = int(end_dt.timestamp() * 1e9)
elif isinstance(end_dt, date):
self._end_dt = _get_trading_day_end_time(
int(
datetime(end_dt.year, end_dt.month,
end_dt.day).timestamp()) * 1000000000)
else:
raise Exception("回测结束时间(end_dt)类型 %s 错误, 请检查 end_dt 数据类型是否填写正确" %
(type(end_dt)))
self._current_dt = self._start_dt
async def _run(self, api, sim_send_chan, sim_recv_chan, md_send_chan,
md_recv_chan):
"""回测task"""
self._api = api
self._logger = api._logger.getChild("TqBacktest") # 调试信息输出
self._sim_send_chan = sim_send_chan
self._sim_recv_chan = sim_recv_chan
self._md_send_chan = md_send_chan
self._md_recv_chan = md_recv_chan
self._pending_peek = False
self._data = Entity() # 数据存储
self._data._instance_entity([])
self._serials = {} # 所有原始数据序列
self._quotes = {}
self._diffs = []
self._is_first_send = True
md_task = self._api.create_task(self._md_handler())
try:
await self._send_snapshot()
async for pack in self._sim_send_chan:
self._logger.debug("TqBacktest message received: %s", pack)
if pack["aid"] == "subscribe_quote":
self._diffs.append({"ins_list": pack["ins_list"]})
for ins in pack["ins_list"].split(","):
await self._ensure_quote(ins)
await self._send_diff() # 处理上一次未处理的 peek_message
elif pack["aid"] == "set_chart":
if pack["ins_list"]:
# 回测模块中已保证每次将一个行情时间的数据全部发送给api，因此更新行情时 保持与初始化时一样的charts信息（即不作修改）
self._diffs.append({
"charts": {
pack["chart_id"]: {
# 两个id设置为0：保证api在回测中判断此值时不是-1，即直接通过对数据接收完全的验证
"left_id": 0,
"right_id": 0,
"more_data":
False, # 直接发送False给api，表明数据发送完全，使api中通过数据接收完全的验证
"state": pack
}
}
})
await self._ensure_serial(pack["ins_list"],
pack["duration"])
else:
self._diffs.append(
{"charts": {
pack["chart_id"]: None
}})
await self._send_diff() # 处理上一次未处理的 peek_message
elif pack["aid"] == "peek_message":
self._pending_peek = True
await self._send_diff()
finally:
# 关闭所有serials
for s in self._serials.values():
await s["generator"].aclose()
md_task.cancel()
await asyncio.gather(md_task, return_exceptions=True)
async def _md_handler(self):
async for pack in self._md_recv_chan:
await self._md_send_chan.send({"aid": "peek_message"})
for d in pack.get("data", []):
_merge_diff(self._data, d, self._api._prototype, False)
async def _send_snapshot(self):
"""发送初始合约信息"""
async with TqChan(self._api,
last_only=True) as update_chan: # 等待与行情服务器连接成功
self._data["_listener"].add(update_chan)
while self._data.get("mdhis_more_data", True):
await update_chan.recv()
# 发送合约信息截面
quotes = {}
for ins, quote in self._data["quotes"].items():
if not ins.startswith("_"):
quotes[ins] = {
"open": None, # 填写None: 删除api中的这个字段
"close": None,
"settlement": None,
"lower_limit": None,
"upper_limit": None,
"pre_open_interest": None,
"pre_settlement": None,
"pre_close": None,
"ins_class": quote.get("ins_class", ""),
'instrument_id': quote.get("instrument_id", ""),
"margin": quote.get(
"margin"), # 用于内部实现模拟交易, 不作为api对外可用数据（即 Quote 类中无此字段）
"commission":
quote.get("commission"
), # 用于内部实现模拟交易, 不作为api对外可用数据（即 Quote 类中无此字段）
"price_tick": quote["price_tick"],
"price_decs": quote["price_decs"],
"volume_multiple": quote["volume_multiple"],
"max_limit_order_volume": quote["max_limit_order_volume"],
"max_market_order_volume":
quote["max_market_order_volume"],
"min_limit_order_volume": quote["min_limit_order_volume"],
"min_market_order_volume":
quote["min_market_order_volume"],
"underlying_symbol": quote["underlying_symbol"],
"strike_price": quote["strike_price"],
"expired": None,
"trading_time": quote.get("trading_time"),
"expire_datetime": quote.get("expire_datetime"),
"delivery_month": quote.get("delivery_month"),
"delivery_year": quote.get("delivery_year"),
"option_class": quote.get("option_class", ""),
"product_id": quote.get("product_id", ""),
}
self._diffs.append({
"quotes": quotes,
"ins_list": "",
"mdhis_more_data": False,
})
async def _send_diff(self):
"""发送数据到 api, 如果 self._diffs 不为空则发送 self._diffs, 不推进行情时间, 否则将时间推进一格, 并发送对应的行情"""
if self._pending_peek:
quotes = {}
if not self._diffs:
while self._serials:
min_serial = min(
self._serials.keys(),
key=lambda serial: self._serials[serial]["timestamp"])
timestamp = self._serials[min_serial][
"timestamp"] # 所有已订阅数据中的最小行情时间
quotes_diff = self._serials[min_serial]["quotes"]
# 推进时间，一次只会推进最多一个(补数据时有可能是0个)行情时间，并确保<=该行情时间的行情都被发出
# 如果行情时间大于当前回测时间 则 判断是否diff中已有数据；否则表明此行情时间的数据未全部保存在diff中，则继续append
if timestamp > self._current_dt:
if self._diffs: # 如果diffs中已有数据：退出循环并发送数据给下游api
break
else:
self._current_dt = timestamp # 否则将回测时间更新至最新行情时间
self._diffs.append(self._serials[min_serial]["diff"])
quote_info = self._quotes[min_serial[0]]
if quotes_diff and (quote_info["min_duration"] != 0
or min_serial[1] == 0):
quotes[min_serial[0]] = quotes_diff
await self._fetch_serial(min_serial)
if not self._serials and not self._diffs: # 当无可发送数据时则抛出BacktestFinished例外,包括未订阅任何行情 或 所有已订阅行情的最后一笔行情获取完成
self._logger.warning("回测结束")
if self._current_dt < self._end_dt:
self._current_dt = 2145888000000000000 # 一个远大于 end_dt 的日期 20380101
await self._sim_recv_chan.send({
"aid":
"rtn_data",
"data": [{
"_tqsdk_backtest": {
"start_dt": self._start_dt,
"current_dt": self._current_dt,
"end_dt": self._end_dt
}
}]
})
raise BacktestFinished(self._api) from None
for ins, diff in quotes.items():
for d in diff:
self._diffs.append({"quotes": {ins: d}})
if self._diffs:
# 发送数据集中添加 backtest 字段，开始时间、结束时间、当前时间，表示当前行情推进是由 backtest 推进
if self._is_first_send:
self._diffs.append({
"_tqsdk_backtest": {
"start_dt": self._start_dt,
"current_dt": self._current_dt,
"end_dt": self._end_dt
}
})
self._is_first_send = False
else:
self._diffs.append(
{"_tqsdk_backtest": {
"current_dt": self._current_dt
}})
rtn_data = {
"aid": "rtn_data",
"data": self._diffs,
}
self._diffs = []
self._pending_peek = False
self._logger.debug("backtest message send: %s", rtn_data)
await self._sim_recv_chan.send(rtn_data)
async def _ensure_serial(self, ins, dur):
if (ins, dur) not in self._serials:
quote = self._quotes.setdefault(
ins,
{ # 在此处设置 min_duration: 每次生成K线的时候会自动生成quote, 记录某一合约的最小duration
"min_duration": dur
})
quote["min_duration"] = min(quote["min_duration"], dur)
self._serials[(ins, dur)] = {
"generator": self._gen_serial(ins, dur),
}
await self._fetch_serial((ins, dur))
async def _ensure_quote(self, ins):
if ins not in self._quotes or self._quotes[ins][
"min_duration"] > 60000000000:
await self._ensure_serial(ins, 60000000000)
async def _fetch_serial(self, serial):
s = self._serials[serial]
try:
s["timestamp"], s["diff"], s["quotes"] = await s["generator"
].__anext__()
except StopAsyncIteration:
del self._serials[serial] # 删除一个行情时间超过结束时间的serial
async def _gen_serial(self, ins, dur):
"""k线/tick 序列的 async generator, yield 出来的行情数据带有时间戳, 因此 _send_diff 可以据此归并"""
# 先定位左端点, focus_datetime 是 lower_bound ,这里需要的是 upper_bound
# 因此将 view_width 和 focus_position 设置成一样，这样 focus_datetime 所对应的 k线刚好位于屏幕外
chart_info = {
"aid": "set_chart",
"chart_id": _generate_uuid("PYSDK_backtest"),
"ins_list": ins,
"duration": dur,
"view_width":
8964, # 设为8964原因：可满足用户所有的订阅长度，并在backtest中将所有的 相同合约及周期 的K线用同一个serial存储
"focus_datetime": int(self._current_dt),
"focus_position": 8964,
}
chart = _get_obj(self._data, ["charts", chart_info["chart_id"]])
current_id = None # 当前数据指针
serial = _get_obj(
self._data,
["klines", ins, str(dur)] if dur != 0 else ["ticks", ins])
async with TqChan(self._api, last_only=True) as update_chan:
serial["_listener"].add(update_chan)
chart["_listener"].add(update_chan)
await self._md_send_chan.send(chart_info.copy())
try:
async for _ in update_chan:
if not (chart_info.items() <= _get_obj(chart,
["state"]).items()):
# 当前请求还没收齐回应, 不应继续处理
continue
left_id = chart.get("left_id", -1)
right_id = chart.get("right_id", -1)
last_id = serial.get("last_id", -1)
if (left_id == -1 and right_id == -1) or last_id == -1:
# 定位信息还没收到, 或数据序列还没收到
continue
if self._data.get("mdhis_more_data", True):
self._data["_listener"].add(update_chan)
continue
else:
self._data["_listener"].discard(update_chan)
if current_id is None:
current_id = max(left_id, 0)
while True:
if current_id > last_id:
# 当前 id 已超过 last_id
return
if current_id - chart_info.get("left_kline_id",
left_id) > 5000:
# 当前 id 已超出订阅范围, 需重新订阅后续数据
chart_info["left_kline_id"] = current_id
chart_info.pop("focus_datetime", None)
chart_info.pop("focus_position", None)
await self._md_send_chan.send(chart_info.copy())
# 将订阅的8964长度的窗口中的数据都遍历完后，退出循环，然后再次进入并处理下一窗口数据
# （因为在处理过5000条数据的同时向服务器订阅从当前id开始的新一窗口的数据，在当前窗口剩下的3000条数据处理完后，下一窗口数据也已经收到）
if current_id > right_id:
break
item = {
k: v
for k, v in serial["data"].get(
str(current_id), {}).items()
}
if dur == 0:
diff = {
"ticks": {
ins: {
"last_id": current_id,
"data": {
str(current_id): item,
str(current_id - 8964): None,
}
}
}
}
if item["datetime"] > self._end_dt: # 超过结束时间
return
yield item[
"datetime"], diff, self._get_quotes_from_tick(
item)
else:
diff = {
"klines": {
ins: {
str(dur): {
"last_id": current_id,
"data": {
str(current_id): {
"datetime":
item["datetime"],
"open": item["open"],
"high": item["open"],
"low": item["open"],
"close": item["open"],
"volume": 0,
"open_oi": item["open_oi"],
"close_oi":
item["open_oi"],
},
str(current_id - 8964): None,
}
}
}
}
}
timestamp = item[
"datetime"] if dur < 86400000000000 else _get_trading_day_start_time(
item["datetime"])
if timestamp > self._end_dt: # 超过结束时间
return
yield timestamp, diff, self._get_quotes_from_kline_open(
self._data["quotes"][ins], timestamp,
item) # K线刚生成时的数据都为开盘价
diff = {
"klines": {
ins: {
str(dur): {
"data": {
str(current_id): item,
}
}
}
}
}
timestamp = item[
"datetime"] + dur - 1000 if dur < 86400000000000 else _get_trading_day_end_time(
item["datetime"]) - 999
if timestamp > self._end_dt: # 超过结束时间
return
yield timestamp, diff, self._get_quotes_from_kline(
self._data["quotes"][ins], timestamp,
item) # K线结束时生成quote数据
current_id += 1
finally:
# 释放chart资源
chart_info["ins_list"] = ""
await self._md_send_chan.send(chart_info.copy())
@staticmethod
def _get_quotes_from_tick(tick):
quote = {k: v for k, v in tick.items()}
quote["datetime"] = datetime.fromtimestamp(
tick["datetime"] / 1e9).strftime("%Y-%m-%d %H:%M:%S.%f")
return [quote]
@staticmethod
def _get_quotes_from_kline_open(info, timestamp, kline):
return [
{ # K线刚生成时的数据都为开盘价
"datetime": datetime.fromtimestamp(timestamp / 1e9).strftime("%Y-%m-%d %H:%M:%S.%f"),
"ask_price1": kline["open"] + info["price_tick"],
"ask_volume1": 1,
"bid_price1": kline["open"] - info["price_tick"],
"bid_volume1": 1,
"last_price": kline["open"],
"highest": float("nan"),
"lowest": float("nan"),
"average": float("nan"),
"volume": 0,
"amount": float("nan"),
"open_interest": kline["open_oi"],
},
]
@staticmethod
def _get_quotes_from_kline(info, timestamp, kline):
return [{
"datetime":
datetime.fromtimestamp(timestamp /
1e9).strftime("%Y-%m-%d %H:%M:%S.%f"),
"ask_price1":
kline["high"] + info["price_tick"],
"ask_volume1":
1,
"bid_price1":
kline["high"] - info["price_tick"],
"bid_volume1":
1,
"last_price":
kline["close"],
"highest":
float("nan"),
"lowest":
float("nan"),
"average":
float("nan"),
"volume":
0,
"amount":
float("nan"),
"open_interest":
kline["close_oi"],
}, {
"ask_price1": kline["low"] + info["price_tick"],
"bid_price1": kline["low"] - info["price_tick"],
}, {
"ask_price1": kline["close"] + info["price_tick"],
"bid_price1": kline["close"] - info["price_tick"],
}]
class TqSim(object):
"""
天勤模拟交易类
该类实现了一个本地的模拟账户，并且在内部完成撮合交易，在回测和复盘模式下，只能使用 TqSim 账户来交易。
限价单要求报单价格达到或超过对手盘价格才能成交, 成交价为报单价格, 如果没有对手盘(涨跌停)则无法成交
市价单使用对手盘价格成交, 如果没有对手盘(涨跌停)则自动撤单
模拟交易不会有部分成交的情况, 要成交就是全部成交
"""
def __init__(self, init_balance: float = 10000000.0, account_id: str = None) -> None:
"""
Args:
init_balance (float): [可选]初始资金, 默认为一千万
account_id (str): [可选]帐号, 默认为 TQSIM
Example::
# 修改TqSim模拟帐号的初始资金为100000
from tqsdk import TqApi, TqSim, TqAuth
api = TqApi(TqSim(init_balance=100000), auth=TqAuth("信易账户", "账户密码"))
"""
self.trade_log = {} # 日期->交易记录及收盘时的权益及持仓
self.tqsdk_stat = {} # 回测结束后储存回测报告信息
self._account_id = "TQSIM" if account_id is None else account_id
self._account_type = "FUTURE"
self._broker_id = "TQSIM" if self._account_type == "FUTURE" else "TQSIM_STOCK"
self._account_key = str(id(self))
self._init_balance = float(init_balance)
if self._init_balance <= 0:
raise Exception("初始资金(init_balance) %s 错误, 请检查 init_balance 是否填写正确" % (init_balance))
self._current_datetime = "1990-01-01 00:00:00.000000" # 当前行情时间（最新的 quote 时间）
self._trading_day_end = "1990-01-01 18:00:00.000000"
self._local_time_record = float("nan") # 记录获取最新行情时的本地时间
self._sim_trade = SimTrade(account_key=self._account_key, init_balance=self._init_balance,
get_trade_timestamp=self._get_trade_timestamp,
is_in_trading_time=self._is_in_trading_time)
self._data = Entity()
self._data._instance_entity([])
self._prototype = {
"quotes": {
"#": Quote(self), # 行情的数据原型
}
}
self._quote_tasks = {}
def set_commission(self, symbol: str, commission: float=float('nan')):
"""
设置指定合约模拟交易的每手手续费。
Args:
symbol (str): 合约代码
commission (float): 每手手续费
Returns:
float: 设置的每手手续费
Example::
from tqsdk import TqSim, TqApi, TqAuth
sim = TqSim()
api = TqApi(sim, auth=TqAuth("信易账户", "账户密码"))
sim.set_commission("SHFE.cu2112", 50)
print(sim.get_commission("SHFE.cu2112"))
"""
if commission != commission:
raise Exception("合约手续费不可以设置为 float('nan')")
quote = _get_obj(self._data, ["quotes", symbol], Quote(self._api if hasattr(self, "_api") else None))
quote["user_commission"] = commission
if self._quote_tasks.get(symbol):
self._quote_tasks[symbol]["quote_chan"].send_nowait({
"quotes": {symbol: {"user_commission": commission}}
})
return commission
def set_margin(self, symbol: str, margin: float=float('nan')):
"""
设置指定合约模拟交易的每手保证金。
Args:
symbol (str): 合约代码 (只支持期货合约)
margin (float): 每手保证金
Returns:
float: 设置的每手保证金
Example::
from tqsdk import TqSim, TqApi, TqAuth
sim = TqSim()
api = TqApi(sim, auth=TqAuth("信易账户", "账户密码"))
sim.set_margin("SHFE.cu2112", 26000)
print(sim.get_margin("SHFE.cu2112"))
"""
if margin != margin:
raise Exception("合约手续费不可以设置为 float('nan')")
quote = _get_obj(self._data, ["quotes", symbol], Quote(self._api if hasattr(self, "_api") else None))
quote["user_margin"] = margin
if self._quote_tasks.get(symbol):
self._quote_tasks[symbol]["quote_chan"].send_nowait({
"quotes": {symbol: {"user_margin": margin}}
})
# 当用户设置保证金时，用户应该得到的效果是：
# 在调用 sim.set_margin() 之后，立即调用 api.get_position(symbol)，得到的 margin 字段应该按照新设置的保证金调整过，而且中间没有收到过行情更新包
# 以下代码可以保证这个效果，说明：
# 1. 持仓已经调整过:
# sim_trade 中持仓的 future_margin 字段更新，margin 会同时调整，那么 api 中持仓的 future_margin 更新时，margin 一定也已经更新
# 2. 中间没有收到过行情更新包:
# 前提1：根据 diff 协议，sim 收到 peek_message 时，会将缓存的 diffs 发给用户，当缓存的 diffs 为空，会转发 peek_message；
# 前提2：api.wait_update() 会等到所有 task 都执行到 pending 状态，然后发送 peek_message 给 sim
# 当用户代码执行到 sim.set_margin()，立即向 quote_chan 中发送一个数据包，quote_task 就会到 ready 状态，此时调用 wait_update()，
# 到所有 task 执行到 pending 状态时，sim 的 diffs 中有数据了，此时收到 api 发来 peek_message 不会转发给上游，用户会先收到 sim 本身的账户数据，
# 在下一次 wait_update，sim 的 diffs 为空，才会收到行情数据
# 在回测时，以下代码应该只经历一次 wait_update
while margin != self._api.get_position(symbol).get("future_margin"):
self._api.wait_update()
return margin
def get_margin(self, symbol: str):
"""
获取指定合约模拟交易的每手保证金。
Args:
symbol (str): 合约代码
Returns:
float: 返回合约模拟交易的每手保证金
Example::
from tqsdk import TqSim, TqApi, TqAuth
sim = TqSim()
api = TqApi(sim, auth=TqAuth("信易账户", "账户密码"))
quote = api.get_quote("SHFE.cu2112")
print(sim.get_margin("SHFE.cu2112"))
"""
return _get_future_margin(self._data.get("quotes", {}).get(symbol, {}))
def get_commission(self, symbol: str):
"""
获取指定合约模拟交易的每手手续费
Args:
symbol (str): 合约代码
Returns:
float: 返回合约模拟交易的每手手续费
Example::
from tqsdk import TqSim, TqApi, TqAuth
sim = TqSim()
api = TqApi(sim, auth=TqAuth("信易账户", "账户密码"))
quote = api.get_quote("SHFE.cu2112")
print(sim.get_commission("SHFE.cu2112"))
"""
return _get_commission(self._data.get("quotes", {}).get(symbol, {}))
async def _run(self, api, api_send_chan, api_recv_chan, md_send_chan, md_recv_chan):
"""模拟交易task"""
self._api = api
self._tqsdk_backtest = {} # 储存可能的回测信息
self._logger = api._logger.getChild("TqSim") # 调试信息输出
self._api_send_chan = api_send_chan
self._api_recv_chan = api_recv_chan
self._md_send_chan = md_send_chan
self._md_recv_chan = md_recv_chan
self._pending_peek = False
# True 下游发过 subscribe，但是没有转发给上游；False 表示下游发的 subscribe 都转发给上游
self._pending_subscribe_downstream = False
# True 发给上游 subscribe，但是没有收到过回复；False 如果行情不变，上游不会回任何包
self._pending_subscribe_upstream = False
self._diffs = []
self._all_subscribe = set() # 客户端+模拟交易模块订阅的合约集合
# 是否已经发送初始账户信息
self._has_send_init_account = False
md_task = self._api.create_task(self._md_handler()) # 将所有 md_recv_chan 上收到的包投递到 api_send_chan 上
try:
async for pack in self._api_send_chan:
if "_md_recv" in pack:
if pack["aid"] == "rtn_data":
self._md_recv(pack) # md_recv 中会发送 wait_count 个 quotes 包给各个 quote_chan
await asyncio.gather(*[quote_task["quote_chan"].join() for quote_task in self._quote_tasks.values()])
await self._send_diff()
elif pack["aid"] == "subscribe_quote":
await self._subscribe_quote(set(pack["ins_list"].split(",")))
elif pack["aid"] == "peek_message":
self._pending_peek = True
await self._send_diff()
if self._pending_peek: # 控制"peek_message"发送: 当没有新的事件需要用户处理时才推进到下一个行情
await self._md_send_chan.send(pack)
elif pack["aid"] == "insert_order":
# 非该账户的消息包发送至下一个账户
if pack["account_key"] != self._account_key:
await self._md_send_chan.send(pack)
else:
symbol = pack["exchange_id"] + "." + pack["instrument_id"]
if symbol not in self._quote_tasks:
quote_chan = TqChan(self._api)
order_chan = TqChan(self._api)
self._quote_tasks[symbol] = {
"quote_chan": quote_chan,
"order_chan": order_chan,
"task": self._api.create_task(self._quote_handler(symbol, quote_chan, order_chan))
}
if "account_key" in pack:
pack.pop("account_key", None)
await self._quote_tasks[symbol]["order_chan"].send(pack)
elif pack["aid"] == "cancel_order":
# 非该账户的消息包发送至下一个账户
if pack["account_key"] != self._account_key:
await self._md_send_chan.send(pack)
else:
# 发送至服务器的包需要去除 account_key 信息
if "account_key" in pack:
pack.pop("account_key", None)
# pack 里只有 order_id 信息，发送到每一个合约的 order_chan, 交由 quote_task 判断是不是当前合约下的委托单
for symbol in self._quote_tasks:
await self._quote_tasks[symbol]["order_chan"].send(pack)
else:
await self._md_send_chan.send(pack)
if self._tqsdk_backtest != {} and self._tqsdk_backtest["current_dt"] >= self._tqsdk_backtest["end_dt"] \
and not self.tqsdk_stat:
# 回测情况下，把 _send_stat_report 在循环中回测结束时执行
await self._send_stat_report()
finally:
if not self.tqsdk_stat:
await self._send_stat_report()
md_task.cancel()
tasks = [md_task]
for symbol in self._quote_tasks:
self._quote_tasks[symbol]["task"].cancel()
tasks.append(self._quote_tasks[symbol]["task"])
await asyncio.gather(*tasks, return_exceptions=True)
async def _md_handler(self):
async for pack in self._md_recv_chan:
pack["_md_recv"] = True
self._pending_subscribe_upstream = False
await self._api_send_chan.send(pack)
async def _send_diff(self):
if self._pending_peek:
if self._diffs:
rtn_data = {
"aid": "rtn_data",
"data": self._diffs,
}
self._diffs = []
self._pending_peek = False
await self._api_recv_chan.send(rtn_data)
if self._pending_subscribe_downstream:
self._pending_subscribe_upstream = True
self._pending_subscribe_downstream = False
await self._md_send_chan.send({
"aid": "subscribe_quote",
"ins_list": ",".join(self._all_subscribe)
})
async def _subscribe_quote(self, symbols: [set, str]):
"""这里只会增加订阅合约，不会退订合约"""
symbols = symbols if isinstance(symbols, set) else {symbols}
if symbols - self._all_subscribe:
self._all_subscribe |= symbols
if self._pending_peek and not self._pending_subscribe_upstream:
self._pending_subscribe_upstream = True
self._pending_subscribe_downstream = False
await self._md_send_chan.send({
"aid": "subscribe_quote",
"ins_list": ",".join(self._all_subscribe)
})
else:
self._pending_subscribe_downstream = True
async def _send_stat_report(self):
self._settle()
self._report()
await self._api_recv_chan.send({
"aid": "rtn_data",
"data": [{
"trade": {
self._account_key: {
"accounts": {
"CNY": {
"_tqsdk_stat": self.tqsdk_stat
}
}
}
}
}]
})
async def _ensure_quote_info(self, symbol, quote_chan):
"""quote收到合约信息后返回"""
quote = _get_obj(self._data, ["quotes", symbol], Quote(self._api))
if quote.get("price_tick") == quote.get("price_tick"):
return quote.copy()
if quote.get("price_tick") != quote.get("price_tick"):
await self._md_send_chan.send(_query_for_quote(symbol))
async for _ in quote_chan:
quote_chan.task_done()
if quote.get("price_tick") == quote.get("price_tick"):
return quote.copy()
async def _ensure_quote(self, symbol, quote_chan):
"""quote收到行情以及合约信息后返回"""
quote = _get_obj(self._data, ["quotes", symbol], Quote(self._api))
_register_update_chan(quote, quote_chan)
if quote.get("datetime", "") and quote.get("price_tick") == quote.get("price_tick"):
return quote.copy()
if quote.get("price_tick") != quote.get("price_tick"):
# 对于没有合约信息的 quote，发送查询合约信息的请求
await self._md_send_chan.send(_query_for_quote(symbol))
async for _ in quote_chan:
quote_chan.task_done()
if quote.get("datetime", "") and quote.get("price_tick") == quote.get("price_tick"):
return quote.copy()
async def _quote_handler(self, symbol, quote_chan, order_chan):
try:
await self._subscribe_quote(symbol)
quote = await self._ensure_quote(symbol, quote_chan)
if quote["ins_class"].endswith("INDEX") and quote["exchange_id"] == "KQ":
# 指数可以交易，需要补充 margin commission
if "margin" not in quote:
quote_m = await self._ensure_quote_info(symbol.replace("KQ.i", "KQ.m"), quote_chan)
quote_underlying = await self._ensure_quote_info(quote_m["underlying_symbol"], quote_chan)
self._data["quotes"][symbol]["margin"] = quote_underlying["margin"]
self._data["quotes"][symbol]["commission"] = quote_underlying["commission"]
quote.update(self._data["quotes"][symbol])
underlying_quote = None
if quote["ins_class"].endswith("OPTION"):
# 如果是期权，订阅标的合约行情，确定收到期权标的合约行情
underlying_symbol = quote["underlying_symbol"]
await self._subscribe_quote(underlying_symbol)
underlying_quote = await self._ensure_quote(underlying_symbol, quote_chan) # 订阅合约
# 在等待标的行情的过程中，quote_chan 可能有期权行情，把 quote_chan 清空，并用最新行情更新 quote
while not quote_chan.empty():
quote_chan.recv_nowait()
quote_chan.task_done()
# 用最新行情更新 quote
quote.update(self._data["quotes"][symbol])
if underlying_quote:
underlying_quote.update(self._data["quotes"][underlying_symbol])
task = self._api.create_task(self._forward_chan_handler(order_chan, quote_chan))
quotes = {symbol: quote}
if underlying_quote:
quotes[underlying_symbol] = underlying_quote
self._sim_trade.update_quotes(symbol, {"quotes": quotes})
async for pack in quote_chan:
if "aid" not in pack:
diffs, orders_events = self._sim_trade.update_quotes(symbol, pack)
self._handle_diffs(diffs, orders_events, "match order")
elif pack["aid"] == "insert_order":
diffs, orders_events = self._sim_trade.insert_order(symbol, pack)
self._handle_diffs(diffs, orders_events, "insert order")
await self._send_diff()
elif pack["aid"] == "cancel_order":
diffs, orders_events = self._sim_trade.cancel_order(symbol, pack)
self._handle_diffs(diffs, orders_events, "cancel order")
await self._send_diff()
quote_chan.task_done()
finally:
await quote_chan.close()
await order_chan.close()
task.cancel()
await asyncio.gather(task, return_exceptions=True)
async def _forward_chan_handler(self, chan_from, chan_to):
async for pack in chan_from:
await chan_to.send(pack)
def _md_recv(self, pack):
for d in pack["data"]:
self._diffs.append(d)
# 在第一次收到 mdhis_more_data 为 False 的时候，发送账户初始截面信息，这样回测模式下，往后的模块才有正确的时间顺序
if not self._has_send_init_account and not d.get("mdhis_more_data", True):
self._diffs.append(self._sim_trade.init_snapshot())
self._diffs.append({
"trade": {
self._account_key: {
"trade_more_data": False
}
}
})
self._has_send_init_account = True
_tqsdk_backtest = d.get("_tqsdk_backtest", {})
if _tqsdk_backtest:
# 回测时，用 _tqsdk_backtest 对象中 current_dt 作为 TqSim 的 _current_datetime
self._tqsdk_backtest.update(_tqsdk_backtest)
self._current_datetime = datetime.fromtimestamp(
self._tqsdk_backtest["current_dt"] / 1e9).strftime("%Y-%m-%d %H:%M:%S.%f")
self._local_time_record = float("nan")
# 1. 回测时不使用时间差来模拟交易所时间的原因(_local_time_record始终为初始值nan)：
# 在sim收到行情后记录_local_time_record，然后下发行情到api进行merge_diff(),api需要处理完k线和quote才能结束wait_update(),
# 若处理时间过长，此时下单则在判断下单时间时与测试用例中的预期时间相差较大，导致测试用例无法通过。
# 2. 回测不使用时间差的方法来判断下单时间仍是可行的: 与使用了时间差的方法相比, 只对在每个交易时间段最后一笔行情时的下单时间判断有差异,
# 若不使用时间差, 则在最后一笔行情时下单仍判断为在可交易时间段内, 且可成交.
quotes_diff = d.get("quotes", {})
# 先根据 quotes_diff 里的 datetime, 确定出 _current_datetime，再 _merge_diff(同时会发送行情到 quote_chan)
for symbol, quote_diff in quotes_diff.items():
if quote_diff is None:
continue
# 若直接使用本地时间来判断下单时间是否在可交易时间段内 可能有较大误差,因此判断的方案为:(在接收到下单指令时判断 估计的交易所时间 是否在交易时间段内)
# 在更新最新行情时间(即self._current_datetime)时，记录当前本地时间(self._local_time_record)，
# 在这之后若收到下单指令，则获取当前本地时间,判 "最新行情时间 + (当前本地时间 - 记录的本地时间)" 是否在交易时间段内。
# 另外, 若在盘后下单且下单前未订阅此合约：
# 因为从_md_recv()中获取数据后立即判断下单时间则速度过快(两次time.time()的时间差小于最后一笔行情(14:59:9995)到15点的时间差),
# 则会立即成交,为处理此情况则将当前时间减去5毫秒（模拟发生5毫秒网络延迟，则两次time.time()的时间差增加了5毫秒）。
# todo: 按交易所来存储 _current_datetime(issue： #277)
if quote_diff.get("datetime", "") > self._current_datetime:
# 回测时，当前时间更新即可以由 quote 行情更新，也可以由 _tqsdk_backtest.current_dt 更新，
# 在最外层的循环里，_tqsdk_backtest.current_dt 是在 rtn_data.data 中数组位置中的最后一个，会在循环最后一个才更新 self.current_datetime
# 导致前面处理 order 时的 _current_datetime 还是旧的行情时间
self._current_datetime = quote_diff["datetime"] # 最新行情时间
# 更新最新行情时间时的本地时间，回测时不使用时间差
self._local_time_record = (time.time() - 0.005) if not self._tqsdk_backtest else float("nan")
if self._current_datetime > self._trading_day_end: # 结算
self._settle()
# 若当前行情时间大于交易日的结束时间(切换交易日)，则根据此行情时间更新交易日及交易日结束时间
trading_day = _get_trading_day_from_timestamp(self._get_current_timestamp())
self._trading_day_end = datetime.fromtimestamp(
(_get_trading_day_end_time(trading_day) - 999) / 1e9).strftime("%Y-%m-%d %H:%M:%S.%f")
if quotes_diff:
_merge_diff(self._data, {"quotes": quotes_diff}, self._prototype, False, True)
def _handle_diffs(self, diffs, orders_events, msg):
"""
处理 sim_trade 返回的 diffs
orders_events 为持仓变更事件，依次屏幕输出信息，打印日志
"""
self._diffs += diffs
for order in orders_events:
if order["status"] == "FINISHED":
self._handle_on_finished(msg, order)
else:
assert order["status"] == "ALIVE"
self._handle_on_alive(msg, order)
def _handle_on_alive(self, msg, order):
"""
在 order 状态变为 ALIVE 调用，屏幕输出信息，打印日志
"""
symbol = f"{order['exchange_id']}.{order['instrument_id']}"
self._api._print(
f"模拟交易下单 {order['order_id']}: 时间: {_format_from_timestamp_nano(order['insert_date_time'])}, "
f"合约: {symbol}, 开平: {order['offset']}, 方向: {order['direction']}, 手数: {order['volume_left']}, "
f"价格: {order.get('limit_price', '市价')}")
self._logger.debug(msg, order_id=order["order_id"], datetime=order["insert_date_time"],
symbol=symbol, offset=order["offset"], direction=order["direction"],
volume_left=order["volume_left"], limit_price=order.get("limit_price", "市价"))
def _handle_on_finished(self, msg, order):
"""
在 order 状态变为 FINISHED 调用，屏幕输出信息，打印日志
"""
self._api._print(f"模拟交易委托单 {order['order_id']}: {order['last_msg']}")
self._logger.debug(msg, order_id=order["order_id"], last_msg=order["last_msg"], status=order["status"],
volume_orign=order["volume_orign"], volume_left=order["volume_left"])
def _settle(self):
if self._trading_day_end[:10] == "1990-01-01":
return
# 结算并记录账户截面
diffs, orders_events, trade_log = self._sim_trade.settle()
self._handle_diffs(diffs, orders_events, "settle")
self.trade_log[self._trading_day_end[:10]] = trade_log
def _report(self):
if not self.trade_log:
return
date_keys = sorted(self.trade_log.keys())
self._api._print("模拟交易成交记录")
for d in date_keys:
for t in self.trade_log[d]["trades"]:
symbol = t["exchange_id"] + "." + t["instrument_id"]
self._api._print(f"时间: {_format_from_timestamp_nano(t['trade_date_time'])}, 合约: {symbol}, "
f"开平: {t['offset']}, 方向: {t['direction']}, 手数: {t['volume']}, 价格: {t['price']:.3f},"
f"手续费: {t['commission']:.2f}")
self._api._print("模拟交易账户资金")
for d in date_keys:
account = self.trade_log[d]["account"]
self._api._print(
f"日期: {d}, 账户权益: {account['balance']:.2f}, 可用资金: {account['available']:.2f}, "
f"浮动盈亏: {account['float_profit']:.2f}, 持仓盈亏: {account['position_profit']:.2f}, "
f"平仓盈亏: {account['close_profit']:.2f}, 市值: {account['market_value']:.2f}, "
f"保证金: {account['margin']:.2f}, 手续费: {account['commission']:.2f}, "
f"风险度: {account['risk_ratio'] * 100:.2f}%")
# TqReport 模块计算交易统计信息
report = TqReport(report_id=self._account_id, trade_log=self.trade_log, quotes=self._data['quotes'])
self.tqsdk_stat = report.default_metrics
self._api._print(
f"胜率: {self.tqsdk_stat['winning_rate'] * 100:.2f}%, 盈亏额比例: {self.tqsdk_stat['profit_loss_ratio']:.2f}, "
f"收益率: {self.tqsdk_stat['ror'] * 100:.2f}%, 年化收益率: {self.tqsdk_stat['annual_yield'] * 100:.2f}%, "
f"最大回撤: {self.tqsdk_stat['max_drawdown'] * 100:.2f}%, 年化夏普率: {self.tqsdk_stat['sharpe_ratio']:.4f},"
f"年化索提诺比率: {self.tqsdk_stat['sortino_ratio']:.4f}")
# 回测情况下，在计算报告之后，还会发送绘制图表请求，
# 这样处理，用户不要修改代码，就能够看到报告图表
if self._tqsdk_backtest:
self._api.draw_report(report.full())
def _get_current_timestamp(self):
return int(datetime.strptime(self._current_datetime, "%Y-%m-%d %H:%M:%S.%f").timestamp() * 1e6) * 1000
def _get_trade_timestamp(self):
return _get_trade_timestamp(self._current_datetime, self._local_time_record)
def _is_in_trading_time(self, quote):
return _is_in_trading_time(quote, self._current_datetime, self._local_time_record)
async def _run(self, api, sim_send_chan, sim_recv_chan, md_send_chan, md_recv_chan):
"""回测task"""
self._api = api
# 下载历史主连合约信息
start_trading_day = _get_trading_day_from_timestamp(self._start_dt) # 回测开始交易日
end_trading_day = _get_trading_day_from_timestamp(self._end_dt) # 回测结束交易日
self._continuous_table = TqBacktestContinuous(start_dt=start_trading_day,
end_dt=end_trading_day,
headers=self._api._base_headers)
self._stock_dividend = TqBacktestDividend(start_dt=start_trading_day,
end_dt=end_trading_day,
headers=self._api._base_headers)
self._logger = api._logger.getChild("TqBacktest") # 调试信息输出
self._sim_send_chan = sim_send_chan
self._sim_recv_chan = sim_recv_chan
self._md_send_chan = md_send_chan
self._md_recv_chan = md_recv_chan
self._pending_peek = False
self._data = Entity() # 数据存储
self._data._instance_entity([])
self._prototype = {
"quotes": {
"#": BtQuote(self._api), # 行情的数据原型
},
"klines": {
"*": {
"*": {
"data": {
"@": Kline(self._api), # K线的数据原型
}
}
}
},
"ticks": {
"*": {
"data": {
"@": Tick(self._api), # Tick的数据原型
}
}
}
}
self._sended_to_api = {} # 已经发给 api 的 rangeset (symbol, dur)，只记录了 kline
self._serials = {} # 所有用户请求的 chart 序列，如果用户订阅行情，默认请求 1 分钟 Kline
# gc 是会循环 self._serials，来计算用户需要的数据，self._serials 不应该被删除，
self._generators = {} # 所有用户请求的 chart 序列相应的 generator 对象，创建时与 self._serials 一一对应，会在一个序列计算到最后一根 kline 时被删除
self._had_any_generator = False # 回测过程中是否有过 generator 对象
self._sim_recv_chan_send_count = 0 # 统计向下游发送的 diff 的次数，每 1w 次执行一次 gc
self._quotes = {} # 记录 min_duration 记录某一合约的最小duration； sended_init_quote 是否已经过这个合约的初始行情
self._diffs: List[Dict[str, Any]] = []
self._is_first_send = True
md_task = self._api.create_task(self._md_handler())
try:
await self._send_snapshot()
async for pack in self._sim_send_chan:
if pack["aid"] == "ins_query":
await self._md_send_chan.send(pack)
# 回测 query 不为空时需要ensure_query
# 1. 在api初始化时会发送初始化请求（2.5.0版本开始已经不再发送初始化请求），接着会发送peek_message，如果这里没有等到结果，那么在收到 peek_message 的时候，会发现没有数据需要发送，回测结束
# 2. api在发送请求后，会调用 wait_update 更新数据，如果这里没有等到结果，行情可能会被推进
# query 为空时，表示清空数据的请求，这个可以直接发出去，不需要等到收到回复
if pack["query"] != "":
await self._ensure_query(pack)
await self._send_diff()
elif pack["aid"] == "subscribe_quote":
# todo: 回测时，用户如果先订阅日线，再订阅行情，会直接返回以日线 datetime 标识的行情信息，而不是当前真正的行情时间
self._diffs.append({
"ins_list": pack["ins_list"]
})
for ins in pack["ins_list"].split(","):
await self._ensure_quote(ins)
await self._send_diff() # 处理上一次未处理的 peek_message
elif pack["aid"] == "set_chart":
if pack["ins_list"]:
# 回测模块中已保证每次将一个行情时间的数据全部发送给api，因此更新行情时 保持与初始化时一样的charts信息（即不作修改）
self._diffs.append({
"charts": {
pack["chart_id"]: {
# 两个id设置为0：保证api在回测中判断此值时不是-1，即直接通过对数据接收完全的验证
"left_id": 0,
"right_id": 0,
"more_data": False, # 直接发送False给api，表明数据发送完全，使api中通过数据接收完全的验证
"state": pack
}
}
})
await self._ensure_serial(pack["ins_list"], pack["duration"], pack["chart_id"])
else:
self._diffs.append({
"charts": {
pack["chart_id"]: None
}
})
await self._send_diff() # 处理上一次未处理的 peek_message
elif pack["aid"] == "peek_message":
self._pending_peek = True
await self._send_diff()
finally:
# 关闭所有 generator
for s in self._generators.values():
await s.aclose()
md_task.cancel()
await asyncio.gather(md_task, return_exceptions=True)
class TqBacktest(object):
"""
天勤回测类
将该类传入 TqApi 的构造函数, 则策略就会进入回测模式。
回测模式下 k线会在刚创建出来时和结束时分别更新一次, 在这之间 k线是不会更新的。
回测模式下 quote 的更新频率由所订阅的 tick 和 k线周期确定:
* 只要订阅了 tick, 则对应合约的 quote 就会使用 tick 生成, 更新频率也和 tick 一致, 但 **只有下字段** :
datetime/ask&bid_price1/ask&bid_volume1/last_price/highest/lowest/average/volume/amount/open_interest/
price_tick/price_decs/volume_multiple/max&min_limit&market_order_volume/underlying_symbol/strike_price
* 如果没有订阅 tick, 但是订阅了 k线, 则对应合约的 quote 会使用 k线生成, 更新频率和 k线的周期一致， 如果订阅了某个合约的多个周期的 k线,
则任一个周期的 k线有更新时, quote 都会更新. 使用 k线生成的 quote 的盘口由收盘价分别加/减一个最小变动单位, 并且 highest/lowest/average/amount
始终为 nan, volume 始终为0
* 如果即没有订阅 tick, 也没有订阅k线或 订阅的k线周期大于分钟线, 则 TqBacktest 会 **自动订阅分钟线** 来生成 quote
* 如果没有订阅 tick, 但是订阅了 k线, 则对应合约的 quote **只有下字段** :
datetime/ask&bid_price1/ask&bid_volume1/last_price/open_interest/
price_tick/price_decs/volume_multiple/max&min_limit&market_order_volume/underlying_symbol/strike_price
**注意** ：如果未订阅 quote，模拟交易在下单时会自动为此合约订阅 quote ，根据回测时 quote 的更新规则，如果此合约没有订阅K线或K线周期大于分钟线 **则会自动订阅一个分钟线** 。
模拟交易要求报单价格大于等于对手盘价格才会成交, 例如下买单, 要求价格大于等于卖一价才会成交, 如果不能立即成交则会等到下次行情更新再重新判断。
回测模式下 wait_update 每次最多推进一个行情时间。
回测结束后会抛出 BacktestFinished 例外。
对 **组合合约** 进行回测时需注意：只能通过订阅 tick 数据来回测，不能订阅K线，因为K线是由最新价合成的，而交易所发回的组合合约数据中无最新价。
"""
def __init__(self, start_dt: Union[date, datetime], end_dt: Union[date, datetime]) -> None:
"""
创建天勤回测类
Args:
start_dt (date/datetime): 回测起始时间, 如果类型为 date 则指的是交易日, 如果为 datetime 则指的是具体时间点
end_dt (date/datetime): 回测结束时间, 如果类型为 date 则指的是交易日, 如果为 datetime 则指的是具体时间点
"""
if isinstance(start_dt, datetime):
self._start_dt = int(start_dt.timestamp() * 1e9)
elif isinstance(start_dt, date):
self._start_dt = _get_trading_day_start_time(
int(datetime(start_dt.year, start_dt.month, start_dt.day).timestamp()) * 1000000000)
else:
raise Exception("回测起始时间(start_dt)类型 %s 错误, 请检查 start_dt 数据类型是否填写正确" % (type(start_dt)))
if isinstance(end_dt, datetime):
self._end_dt = int(end_dt.timestamp() * 1e9)
elif isinstance(end_dt, date):
self._end_dt = _get_trading_day_end_time(
int(datetime(end_dt.year, end_dt.month, end_dt.day).timestamp()) * 1000000000)
else:
raise Exception("回测结束时间(end_dt)类型 %s 错误, 请检查 end_dt 数据类型是否填写正确" % (type(end_dt)))
self._current_dt = self._start_dt
# 记录当前的交易日 开始时间/结束时间
self._trading_day = _get_trading_day_from_timestamp(self._current_dt)
self._trading_day_start = _get_trading_day_start_time(self._trading_day)
self._trading_day_end = _get_trading_day_end_time(self._trading_day)
async def _run(self, api, sim_send_chan, sim_recv_chan, md_send_chan, md_recv_chan):
"""回测task"""
self._api = api
# 下载历史主连合约信息
start_trading_day = _get_trading_day_from_timestamp(self._start_dt) # 回测开始交易日
end_trading_day = _get_trading_day_from_timestamp(self._end_dt) # 回测结束交易日
self._continuous_table = TqBacktestContinuous(start_dt=start_trading_day,
end_dt=end_trading_day,
headers=self._api._base_headers)
self._stock_dividend = TqBacktestDividend(start_dt=start_trading_day,
end_dt=end_trading_day,
headers=self._api._base_headers)
self._logger = api._logger.getChild("TqBacktest") # 调试信息输出
self._sim_send_chan = sim_send_chan
self._sim_recv_chan = sim_recv_chan
self._md_send_chan = md_send_chan
self._md_recv_chan = md_recv_chan
self._pending_peek = False
self._data = Entity() # 数据存储
self._data._instance_entity([])
self._prototype = {
"quotes": {
"#": BtQuote(self._api), # 行情的数据原型
},
"klines": {
"*": {
"*": {
"data": {
"@": Kline(self._api), # K线的数据原型
}
}
}
},
"ticks": {
"*": {
"data": {
"@": Tick(self._api), # Tick的数据原型
}
}
}
}
self._sended_to_api = {} # 已经发给 api 的 rangeset (symbol, dur)，只记录了 kline
self._serials = {} # 所有用户请求的 chart 序列，如果用户订阅行情，默认请求 1 分钟 Kline
# gc 是会循环 self._serials，来计算用户需要的数据，self._serials 不应该被删除，
self._generators = {} # 所有用户请求的 chart 序列相应的 generator 对象，创建时与 self._serials 一一对应，会在一个序列计算到最后一根 kline 时被删除
self._had_any_generator = False # 回测过程中是否有过 generator 对象
self._sim_recv_chan_send_count = 0 # 统计向下游发送的 diff 的次数，每 1w 次执行一次 gc
self._quotes = {} # 记录 min_duration 记录某一合约的最小duration； sended_init_quote 是否已经过这个合约的初始行情
self._diffs: List[Dict[str, Any]] = []
self._is_first_send = True
md_task = self._api.create_task(self._md_handler())
try:
await self._send_snapshot()
async for pack in self._sim_send_chan:
if pack["aid"] == "ins_query":
await self._md_send_chan.send(pack)
# 回测 query 不为空时需要ensure_query
# 1. 在api初始化时会发送初始化请求（2.5.0版本开始已经不再发送初始化请求），接着会发送peek_message，如果这里没有等到结果，那么在收到 peek_message 的时候，会发现没有数据需要发送，回测结束
# 2. api在发送请求后，会调用 wait_update 更新数据，如果这里没有等到结果，行情可能会被推进
# query 为空时，表示清空数据的请求，这个可以直接发出去，不需要等到收到回复
if pack["query"] != "":
await self._ensure_query(pack)
await self._send_diff()
elif pack["aid"] == "subscribe_quote":
# todo: 回测时，用户如果先订阅日线，再订阅行情，会直接返回以日线 datetime 标识的行情信息，而不是当前真正的行情时间
self._diffs.append({
"ins_list": pack["ins_list"]
})
for ins in pack["ins_list"].split(","):
await self._ensure_quote(ins)
await self._send_diff() # 处理上一次未处理的 peek_message
elif pack["aid"] == "set_chart":
if pack["ins_list"]:
# 回测模块中已保证每次将一个行情时间的数据全部发送给api，因此更新行情时 保持与初始化时一样的charts信息（即不作修改）
self._diffs.append({
"charts": {
pack["chart_id"]: {
# 两个id设置为0：保证api在回测中判断此值时不是-1，即直接通过对数据接收完全的验证
"left_id": 0,
"right_id": 0,
"more_data": False, # 直接发送False给api，表明数据发送完全，使api中通过数据接收完全的验证
"state": pack
}
}
})
await self._ensure_serial(pack["ins_list"], pack["duration"], pack["chart_id"])
else:
self._diffs.append({
"charts": {
pack["chart_id"]: None
}
})
await self._send_diff() # 处理上一次未处理的 peek_message
elif pack["aid"] == "peek_message":
self._pending_peek = True
await self._send_diff()
finally:
# 关闭所有 generator
for s in self._generators.values():
await s.aclose()
md_task.cancel()
await asyncio.gather(md_task, return_exceptions=True)
async def _md_handler(self):
async for pack in self._md_recv_chan:
await self._md_send_chan.send({
"aid": "peek_message"
})
recv_quotes = False
for d in pack.get("data", []):
_merge_diff(self._data, d, self._prototype, persist=False, reduce_diff=False)
# 收到的 quotes 转发给下游
quotes = d.get("quotes", {})
if quotes:
recv_quotes = True
quotes = self._update_valid_quotes(quotes) # 删去回测 quotes 不应该下发的字段
self._diffs.append({"quotes": quotes})
# 收到的 symbols 应该转发给下游
if d.get("symbols"):
self._diffs.append({"symbols": d["symbols"]})
# 如果没有收到 quotes（合约信息），或者当前的 self._data.get('quotes', {}) 里没有股票，那么不应该向 _diffs 里添加元素
if recv_quotes:
quotes_stock = self._stock_dividend._get_dividend(self._data.get('quotes', {}), self._trading_day)
if quotes_stock:
self._diffs.append({"quotes": quotes_stock})
def _update_valid_quotes(self, quotes):
# 从 quotes 返回只剩余合约信息的字段的 quotes，防止发生未来数据发送给下游
# backtest 模块会生成的数据
invalid_keys = {f"{d}{i+1}" for d in ['ask_price', 'ask_volume', 'bid_price', 'bid_volume'] for i in range(5)}
invalid_keys.union({'datetime', 'last_price', 'highest', 'lowest', 'average', 'volume', 'amount', 'open_interest'})
invalid_keys.union({'cash_dividend_ratio', 'stock_dividend_ratio'}) # 这两个字段完全由 self._stock_dividend 负责处理
# backtest 模块不会生成的数据，下游服务也不应该收到的数据
invalid_keys.union({'open', 'close', 'settlement', 'lowest', 'lower_limit', 'upper_limit', 'pre_open_interest', 'pre_settlement', 'pre_close', 'expired'})
for symbol, quote in quotes.items():
[quote.pop(k, None) for k in invalid_keys]
if symbol.startswith("KQ.m"):
quote.pop("underlying_symbol", None)
if quote.get('expire_datetime'):
# 先删除所有的 quote 的 expired 字段，只在有 expire_datetime 字段时才会添加 expired 字段
quote['expired'] = quote.get('expire_datetime') * 1e9 <= self._trading_day_start
return quotes
async def _send_snapshot(self):
"""发送初始合约信息"""
async with TqChan(self._api, last_only=True) as update_chan: # 等待与行情服务器连接成功
self._data["_listener"].add(update_chan)
while self._data.get("mdhis_more_data", True):
await update_chan.recv()
# 发送初始行情(合约信息截面)时
quotes = {}
for ins, quote in self._data["quotes"].items():
if not ins.startswith("_"):
trading_time = quote.get("trading_time", {})
quotes[ins] = {
"open": None, # 填写None: 删除api中的这个字段
"close": None,
"settlement": None,
"lower_limit": None,
"upper_limit": None,
"pre_open_interest": None,
"pre_settlement": None,
"pre_close": None,
"ins_class": quote.get("ins_class", ""),
"instrument_id": quote.get("instrument_id", ""),
"exchange_id": quote.get("exchange_id", ""),
"margin": quote.get("margin"), # 用于内部实现模拟交易, 不作为api对外可用数据（即 Quote 类中无此字段）
"commission": quote.get("commission"), # 用于内部实现模拟交易, 不作为api对外可用数据（即 Quote 类中无此字段）
"price_tick": quote["price_tick"],
"price_decs": quote["price_decs"],
"volume_multiple": quote["volume_multiple"],
"max_limit_order_volume": quote["max_limit_order_volume"],
"max_market_order_volume": quote["max_market_order_volume"],
"min_limit_order_volume": quote["min_limit_order_volume"],
"min_market_order_volume": quote["min_market_order_volume"],
"underlying_symbol": quote["underlying_symbol"],
"strike_price": quote["strike_price"],
"expired": quote.get('expire_datetime', float('nan')) <= self._trading_day_start, # expired 默认值就是 False
"trading_time": {"day": trading_time.get("day", []), "night": trading_time.get("night", [])},
"expire_datetime": quote.get("expire_datetime"),
"delivery_month": quote.get("delivery_month"),
"delivery_year": quote.get("delivery_year"),
"option_class": quote.get("option_class", ""),
"product_id": quote.get("product_id", ""),
}
# 修改历史主连合约信息
cont_quotes = self._continuous_table._get_history_cont_quotes(self._trading_day)
for k, v in cont_quotes.items():
quotes.setdefault(k, {}) # 实际上，初始行情截面中只有下市合约，没有主连
quotes[k].update(v)
self._diffs.append({
"quotes": quotes,
"ins_list": "",
"mdhis_more_data": False,
"_tqsdk_backtest": self._get_backtest_time()
})
async def _send_diff(self):
"""发送数据到 api, 如果 self._diffs 不为空则发送 self._diffs, 不推进行情时间, 否则将时间推进一格, 并发送对应的行情"""
if self._pending_peek:
if not self._diffs:
quotes = await self._generator_diffs(False)
else:
quotes = await self._generator_diffs(True)
for ins, diff in quotes.items():
self._quotes[ins]["sended_init_quote"] = True
for d in diff:
self._diffs.append({
"quotes": {
ins: d
}
})
if self._diffs:
# 发送数据集中添加 backtest 字段，开始时间、结束时间、当前时间，表示当前行情推进是由 backtest 推进
self._diffs.append({"_tqsdk_backtest": self._get_backtest_time()})
# 切换交易日，将历史的主连合约信息添加的 diffs
if self._current_dt > self._trading_day_end:
# 使用交易日结束时间，每个交易日切换只需要计算一次交易日结束时间
# 相比发送 diffs 前每次都用 _current_dt 计算当前交易日，计算次数更少
self._trading_day = _get_trading_day_from_timestamp(self._current_dt)
self._trading_day_start = _get_trading_day_start_time(self._trading_day)
self._trading_day_end = _get_trading_day_end_time(self._trading_day)
self._diffs.append({
"quotes": self._continuous_table._get_history_cont_quotes(self._trading_day)
})
self._diffs.append({
"quotes": self._stock_dividend._get_dividend(self._data.get('quotes'), self._trading_day)
})
self._diffs.append({
"quotes": {k: {'expired': v.get('expire_datetime', float('nan')) <= self._trading_day_start}
for k, v in self._data.get('quotes').items()}
})
self._sim_recv_chan_send_count += 1
if self._sim_recv_chan_send_count > 10000:
self._sim_recv_chan_send_count = 0
self._diffs.append(self._gc_data())
rtn_data = {
"aid": "rtn_data",
"data": self._diffs,
}
self._diffs = []
self._pending_peek = False
await self._sim_recv_chan.send(rtn_data)
async def _generator_diffs(self, keep_current):
"""
keep_current 为 True 表示不会推进行情，为 False 表示需要推进行情
即 self._diffs 为 None 并且 keep_current = True 会推进行情
"""
quotes = {}
while self._generators:
# self._generators 存储了 generator，self._serials 记录一些辅助的信息
min_request_key = min(self._generators.keys(), key=lambda serial: self._serials[serial]["timestamp"])
timestamp = self._serials[min_request_key]["timestamp"] # 所有已订阅数据中的最小行情时间
quotes_diff = self._serials[min_request_key]["quotes"]
if timestamp < self._current_dt and self._quotes.get(min_request_key[0], {}).get("sended_init_quote"):
# 先订阅 A 合约，再订阅 A 合约日线，那么 A 合约的行情时间会回退: 2021-01-04 09:31:59.999999 -> 2021-01-01 18:00:00.000000
# 如果当前 timestamp 小于 _current_dt，那么这个 quote_diff 不需要发到下游
# 如果先订阅 A 合约（有夜盘），时间停留在夜盘开始时间， 再订阅 B 合约（没有夜盘），那么 B 合约的行情（前一天收盘时间）应该发下去，
# 否则 get_quote(B) 等到收到行情才返回，会直接把时间推进到第二天白盘。
quotes_diff = None
# 推进时间，一次只会推进最多一个(补数据时有可能是0个)行情时间，并确保<=该行情时间的行情都被发出
# 如果行情时间大于当前回测时间 则 判断是否diff中已有数据；否则表明此行情时间的数据未全部保存在diff中，则继续append
if timestamp > self._current_dt:
if self._diffs or keep_current: # 如果diffs中已有数据：退出循环并发送数据给下游api
break
else:
self._current_dt = timestamp # 否则将回测时间更新至最新行情时间
diff = self._serials[min_request_key]["diff"]
self._diffs.append(diff)
# klines 请求，需要记录已经发送 api 的数据
for symbol in diff.get("klines", {}):
for dur in diff["klines"][symbol]:
for kid in diff["klines"][symbol][dur]["data"]:
rs = self._sended_to_api.setdefault((symbol, int(dur)), [])
kid = int(kid)
self._sended_to_api[(symbol, int(dur))] = _rangeset_range_union(rs, (kid, kid + 1))
quote_info = self._quotes[min_request_key[0]]
if quotes_diff and (quote_info["min_duration"] != 0 or min_request_key[1] == 0):
quotes[min_request_key[0]] = quotes_diff
await self._fetch_serial(min_request_key)
if self._had_any_generator and not self._generators and not self._diffs: # 当无可发送数据时则抛出BacktestFinished例外,包括未订阅任何行情 或 所有已订阅行情的最后一笔行情获取完成
self._api._print("回测结束")
self._logger.debug("backtest finished")
if self._current_dt < self._end_dt:
self._current_dt = 2145888000000000000 # 一个远大于 end_dt 的日期 20380101
await self._sim_recv_chan.send({
"aid": "rtn_data",
"data": [{"_tqsdk_backtest": self._get_backtest_time()}]
})
await self._api._wait_until_idle()
raise BacktestFinished(self._api) from None
return quotes
def _get_backtest_time(self) -> dict:
if self._is_first_send:
self._is_first_send = False
return {
"start_dt": self._start_dt,
"current_dt": self._current_dt,
"end_dt": self._end_dt
}
else:
return {
"current_dt": self._current_dt
}
async def _ensure_serial(self, ins, dur, chart_id=None):
if (ins, dur) not in self._serials:
quote = self._quotes.setdefault(ins, { # 在此处设置 min_duration: 每次生成K线的时候会自动生成quote, 记录某一合约的最小duration
"min_duration": dur
})
quote["min_duration"] = min(quote["min_duration"], dur)
self._serials[(ins, dur)] = {
"chart_id_set": {chart_id} if chart_id else set() # 记录当前 serial 对应的 chart_id
}
self._generators[(ins, dur)] = self._gen_serial(ins, dur)
self._had_any_generator = True
await self._fetch_serial((ins, dur))
elif chart_id:
self._serials[(ins, dur)]["chart_id_set"].add(chart_id)
async def _ensure_query(self, pack):
"""一定收到了对应 query 返回的包"""
query_pack = {"query": pack["query"]}
if query_pack.items() <= self._data.get("symbols", {}).get(pack["query_id"], {}).items():
return
async with TqChan(self._api, last_only=True) as update_chan:
self._data["_listener"].add(update_chan)
while not query_pack.items() <= self._data.get("symbols", {}).get(pack["query_id"], {}).items():
await update_chan.recv()
async def _ensure_quote(self, ins):
# 在接新版合约服务器后，合约信息程序运行过程中查询得到的，这里不再能保证合约一定存在，需要添加 quote 默认值
quote = _get_obj(self._data, ["quotes", ins], BtQuote(self._api))
if math.isnan(quote.get("price_tick")):
query_pack = _query_for_quote(ins)
await self._md_send_chan.send(query_pack)
async with TqChan(self._api, last_only=True) as update_chan:
quote["_listener"].add(update_chan)
while math.isnan(quote.get("price_tick")):
await update_chan.recv()
if ins not in self._quotes or self._quotes[ins]["min_duration"] > 60000000000:
await self._ensure_serial(ins, 60000000000)
async def _fetch_serial(self, key):
s = self._serials[key]
try:
s["timestamp"], s["diff"], s["quotes"] = await self._generators[key].__anext__()
except StopAsyncIteration:
del self._generators[key] # 删除一个行情时间超过结束时间的 generator
async def _gen_serial(self, ins, dur):
"""k线/tick 序列的 async generator, yield 出来的行情数据带有时间戳, 因此 _send_diff 可以据此归并"""
# 先定位左端点, focus_datetime 是 lower_bound ,这里需要的是 upper_bound
# 因此将 view_width 和 focus_position 设置成一样，这样 focus_datetime 所对应的 k线刚好位于屏幕外
# 使用两个长度为 8964 的 chart，去缓存/回收下游需要的数据
chart_id_a = _generate_uuid("PYSDK_backtest")
chart_id_b = _generate_uuid("PYSDK_backtest")
chart_info = {
"aid": "set_chart",
"chart_id": chart_id_a,
"ins_list": ins,
"duration": dur,
"view_width": 8964, # 设为8964原因：可满足用户所有的订阅长度，并在backtest中将所有的 相同合约及周期 的K线用同一个serial存储
"focus_datetime": int(self._current_dt),
"focus_position": 8964,
}
chart_a = _get_obj(self._data, ["charts", chart_id_a])
chart_b = _get_obj(self._data, ["charts", chart_id_b])
symbol_list = ins.split(',')
current_id = None # 当前数据指针
if dur == 0:
serials = [_get_obj(self._data, ["ticks", symbol_list[0]])]
else:
serials = [_get_obj(self._data, ["klines", s, str(dur)]) for s in symbol_list]
async with TqChan(self._api, last_only=True) as update_chan:
for serial in serials:
serial["_listener"].add(update_chan)
chart_a["_listener"].add(update_chan)
chart_b["_listener"].add(update_chan)
await self._md_send_chan.send(chart_info.copy())
try:
async for _ in update_chan:
chart = _get_obj(self._data, ["charts", chart_info["chart_id"]])
if not (chart_info.items() <= _get_obj(chart, ["state"]).items()):
# 当前请求还没收齐回应, 不应继续处理
continue
left_id = chart.get("left_id", -1)
right_id = chart.get("right_id", -1)
if (left_id == -1 and right_id == -1) or chart.get("more_data", True):
continue # 定位信息还没收到, 数据没有完全收到
last_id = serials[0].get("last_id", -1)
if last_id == -1:
continue # 数据序列还没收到
if self._data.get("mdhis_more_data", True):
self._data["_listener"].add(update_chan)
continue
else:
self._data["_listener"].discard(update_chan)
if current_id is None:
current_id = max(left_id, 0)
# 发送下一段 chart 8964 根 kline
chart_info["chart_id"] = chart_id_b if chart_info["chart_id"] == chart_id_a else chart_id_a
chart_info["left_kline_id"] = right_id
chart_info.pop("focus_datetime", None)
chart_info.pop("focus_position", None)
await self._md_send_chan.send(chart_info.copy())
while True:
if current_id > last_id:
# 当前 id 已超过 last_id
return
# 将订阅的8964长度的窗口中的数据都遍历完后，退出循环，然后再次进入并处理下一窗口数据
if current_id > right_id:
break
item = {k: v for k, v in serials[0]["data"].get(str(current_id), {}).items()}
if dur == 0:
diff = {
"ticks": {
ins: {
"last_id": current_id,
"data": {
str(current_id): item,
str(current_id - 8964): None,
}
}
}
}
if item["datetime"] > self._end_dt: # 超过结束时间
return
yield item["datetime"], diff, self._get_quotes_from_tick(item)
else:
timestamp = item["datetime"] if dur < 86400000000000 else _get_trading_day_start_time(
item["datetime"])
if timestamp > self._end_dt: # 超过结束时间
return
binding = serials[0].get("binding", {})
diff = {
"klines": {
symbol_list[0]: {
str(dur): {
"last_id": current_id,
"data": {
str(current_id): {
"datetime": item["datetime"],
"open": item["open"],
"high": item["open"],
"low": item["open"],
"close": item["open"],
"volume": 0,
"open_oi": item["open_oi"],
"close_oi": item["open_oi"],
}
}
}
}
}
}
for chart_id in self._serials[(ins, dur)]["chart_id_set"]:
diff["charts"] = {
chart_id: {
"right_id": current_id # api 中处理多合约 kline 需要 right_id 信息
}
}
for i, symbol in enumerate(symbol_list):
if i == 0:
diff_binding = diff["klines"][symbol_list[0]][str(dur)].setdefault("binding", {})
continue
other_id = binding.get(symbol, {}).get(str(current_id), -1)
if other_id >= 0:
diff_binding[symbol] = {str(current_id): str(other_id)}
other_item = serials[i]["data"].get(str(other_id), {})
diff["klines"][symbol] = {
str(dur): {
"last_id": other_id,
"data": {
str(other_id): {
"datetime": other_item["datetime"],
"open": other_item["open"],
"high": other_item["open"],
"low": other_item["open"],
"close": other_item["open"],
"volume": 0,
"open_oi": other_item["open_oi"],
"close_oi": other_item["open_oi"],
}
}
}
}
yield timestamp, diff, self._get_quotes_from_kline_open(
self._data["quotes"][symbol_list[0]],
timestamp,
item) # K线刚生成时的数据都为开盘价
timestamp = item["datetime"] + dur - 1000 \
if dur < 86400000000000 else _get_trading_day_start_time(item["datetime"] + dur) - 1000
if timestamp > self._end_dt: # 超过结束时间
return
diff = {
"klines": {
symbol_list[0]: {
str(dur): {
"data": {
str(current_id): item,
}
}
}
}
}
for i, symbol in enumerate(symbol_list):
if i == 0:
continue
other_id = binding.get(symbol, {}).get(str(current_id), -1)
if other_id >= 0:
diff["klines"][symbol] = {
str(dur): {
"data": {
str(other_id): {k: v for k, v in
serials[i]["data"].get(str(other_id), {}).items()}
}
}
}
yield timestamp, diff, self._get_quotes_from_kline(self._data["quotes"][symbol_list[0]],
timestamp,
item) # K线结束时生成quote数据
current_id += 1
finally:
# 释放chart资源
chart_info["ins_list"] = ""
await self._md_send_chan.send(chart_info.copy())
chart_info["chart_id"] = chart_id_b if chart_info["chart_id"] == chart_id_a else chart_id_a
await self._md_send_chan.send(chart_info.copy())
def _gc_data(self):
# api 应该删除的数据 diff
need_rangeset = {}
for ins, dur in self._serials:
if dur == 0: # tick 在发送数据过程中已经回收内存
continue
symbol_list = ins.split(',')
for s in symbol_list:
need_rangeset.setdefault((s, dur), [])
main_serial = _get_obj(self._data, ["klines", symbol_list[0], str(dur)])
main_serial_rangeset = self._sended_to_api.get((symbol_list[0], dur), []) # 此 request 还没有给 api 发送过任何数据时为 []
if not main_serial_rangeset:
continue
last_id = main_serial_rangeset[-1][-1] - 1
assert last_id > -1
need_rangeset[(symbol_list[0], dur)] = _rangeset_range_union(need_rangeset[(symbol_list[0], dur)],
(last_id - 8963, last_id + 1))
for symbol in symbol_list[1:]:
symbol_need_rangeset = []
symbol_binding = main_serial.get("binding", {}).get(symbol, {})
if symbol_binding:
for i in range(last_id - 8963, last_id + 1):
other_id = symbol_binding.get(str(i))
if other_id:
symbol_need_rangeset = _rangeset_range_union(symbol_need_rangeset, (other_id, other_id + 1))
if symbol_need_rangeset:
need_rangeset[(symbol, dur)] = _rangeset_union(need_rangeset[(symbol, dur)], symbol_need_rangeset)
gc_rangeset = {}
for key, rs in self._sended_to_api.items():
gc_rangeset[key] = _rangeset_difference(rs, need_rangeset.get(key, []))
# 更新 self._sended_to_api
for key, rs in gc_rangeset.items():
self._sended_to_api[key] = _rangeset_difference(self._sended_to_api[key], rs)
gc_klines_diff = {}
for (symbol, dur), rs in gc_rangeset.items():
gc_klines_diff.setdefault(symbol, {})
gc_klines_diff[symbol][str(dur)] = {"data": {}}
serial = _get_obj(self._data, ["klines", symbol, str(dur)])
serial_binding = serial.get("binding", None)
if serial_binding:
gc_klines_diff[symbol][str(dur)]["binding"] = {s: {} for s in serial_binding.keys()}
for start_id, end_id in rs:
for i in range(start_id, end_id):
gc_klines_diff[symbol][str(dur)]["data"][str(i)] = None
if serial_binding:
for s, s_binding in serial_binding.items():
gc_klines_diff[symbol][str(dur)]["binding"][s][str(i)] = None
return {"klines": gc_klines_diff}
@staticmethod
def _get_quotes_from_tick(tick):
quote = {k: v for k, v in tick.items()}
quote["datetime"] = _timestamp_nano_to_str(tick["datetime"])
return [quote]
@staticmethod
def _get_quotes_from_kline_open(info, timestamp, kline):
return [
{ # K线刚生成时的数据都为开盘价
"datetime": _timestamp_nano_to_str(timestamp),
"ask_price1": kline["open"] + info["price_tick"],
"ask_volume1": 1,
"bid_price1": kline["open"] - info["price_tick"],
"bid_volume1": 1,
"last_price": kline["open"],
"highest": float("nan"),
"lowest": float("nan"),
"average": float("nan"),
"volume": 0,
"amount": float("nan"),
"open_interest": kline["open_oi"],
},
]
@staticmethod
def _get_quotes_from_kline(info, timestamp, kline):
"""
分为三个包发给下游：
1. 根据 diff 协议，对于用户收到的最终结果没有影响
2. TqSim 撮合交易会按顺序处理收到的包，分别比较 high、low、close 三个价格对应的买卖价
3. TqSim 撮合交易只用到了买卖价，所以最新价只产生一次 close，而不会发送三次
"""
return [
{
"datetime": _timestamp_nano_to_str(timestamp),
"ask_price1": kline["high"] + info["price_tick"],
"ask_volume1": 1,
"bid_price1": kline["high"] - info["price_tick"],
"bid_volume1": 1,
"last_price": kline["close"],
"highest": float("nan"),
"lowest": float("nan"),
"average": float("nan"),
"volume": 0,
"amount": float("nan"),
"open_interest": kline["close_oi"],
},
{
"ask_price1": kline["low"] + info["price_tick"],
"bid_price1": kline["low"] - info["price_tick"],
},
{
"ask_price1": kline["close"] + info["price_tick"],
"bid_price1": kline["close"] - info["price_tick"],
}
]
class BaseSim(Tradeable):
def __init__(
self, account_id, init_balance,
trade_class: Union[Type[SimTrade], Type[SimTradeStock]]) -> None:
self._account_id = account_id
super(BaseSim, self).__init__()
self.trade_log = {} # 日期->交易记录及收盘时的权益及持仓
self.tqsdk_stat = {} # 回测结束后储存回测报告信息
self._init_balance = init_balance
self._current_datetime = "1990-01-01 00:00:00.000000" # 当前行情时间（最新的 quote 时间）
self._trading_day_end = "1990-01-01 18:00:00.000000"
self._local_time_record = float("nan") # 记录获取最新行情时的本地时间
self._sim_trade = trade_class(
account_key=self._account_key,
account_id=self._account_id,
init_balance=self._init_balance,
get_trade_timestamp=self._get_trade_timestamp,
is_in_trading_time=self._is_in_trading_time)
self._data = Entity()
self._data._instance_entity([])
self._prototype = {
"quotes": {
"#": Quote(self), # 行情的数据原型
}
}
self._quote_tasks = {}
@property
def _account_name(self):
return self._account_id
@property
def _account_info(self):
info = super(BaseSim, self)._account_info
info.update({"account_id": self._account_id})
return info
async def _run(self, api, api_send_chan, api_recv_chan, md_send_chan,
md_recv_chan):
"""模拟交易task"""
self._api = api
self._tqsdk_backtest = {} # 储存可能的回测信息
self._logger = api._logger.getChild("TqSim") # 调试信息输出
self._api_send_chan = api_send_chan
self._api_recv_chan = api_recv_chan
self._md_send_chan = md_send_chan
self._md_recv_chan = md_recv_chan
# True 下游发过 subscribe，但是没有转发给上游；False 表示下游发的 subscribe 都转发给上游
self._pending_subscribe_downstream = False
# True 发给上游 subscribe，但是没有收到过回复；False 如果行情不变，上游不会回任何包
self._pending_subscribe_upstream = False
self._all_subscribe = set() # 客户端+模拟交易模块订阅的合约集合
# 是否已经发送初始账户信息
self._has_send_init_account = False
try:
await super(BaseSim, self)._run(api, api_send_chan, api_recv_chan,
md_send_chan, md_recv_chan)
finally:
self._handle_stat_report()
for s in self._quote_tasks:
self._quote_tasks[s]["task"].cancel()
await asyncio.gather(
*[self._quote_tasks[s]["task"] for s in self._quote_tasks],
return_exceptions=True)
async def _handle_recv_data(self, pack, chan):
"""
处理所有上游收到的数据包，这里应该将需要发送给下游的数据 append 到 self._diffs
pack: 收到的数据包
chan: 收到此数据包的 channel
"""
self._pending_subscribe_upstream = False
if pack["aid"] == "rtn_data":
self._md_recv(
pack) # md_recv 中会发送 wait_count 个 quotes 包给各个 quote_chan
await asyncio.gather(*[
quote_task["quote_chan"].join()
for quote_task in self._quote_tasks.values()
])
if self._tqsdk_backtest != {} and self._tqsdk_backtest[
"current_dt"] >= self._tqsdk_backtest["end_dt"]:
# 回测情况下，把 _handle_stat_report 在循环中回测结束时执行
self._handle_stat_report()
async def _handle_req_data(self, pack):
"""
处理所有下游发送的非 peek_message 数据包
这里应该将发送的请求转发到指定的某个上游 channel
"""
if self._is_self_trade_pack(pack):
if pack["aid"] == "insert_order":
symbol = pack["exchange_id"] + "." + pack["instrument_id"]
if symbol not in self._quote_tasks:
quote_chan = TqChan(self._api)
order_chan = TqChan(self._api)
self._quote_tasks[symbol] = {
"quote_chan":
quote_chan,
"order_chan":
order_chan,
"task":
self._api.create_task(
self._quote_handler(symbol, quote_chan,
order_chan))
}
await self._quote_tasks[symbol]["order_chan"].send(pack)
else:
# pack 里只有 order_id 信息，发送到每一个合约的 order_chan, 交由 quote_task 判断是不是当前合约下的委托单
for symbol in self._quote_tasks:
await self._quote_tasks[symbol]["order_chan"].send(pack)
elif pack["aid"] == "subscribe_quote":
# 这里只会增加订阅合约，不会退订合约
await self._subscribe_quote(set(pack["ins_list"].split(",")))
else:
await self._md_send_chan.send(pack)
async def _on_send_diff(self, pending_peek):
if pending_peek and self._pending_subscribe_downstream:
await self._send_subscribe_quote()
async def _subscribe_quote(self, symbols: [set, str]):
"""
这里只会增加订阅合约，不会退订合约
todo: 这里用到了 self._pending_peek ，父类的内部变量
"""
symbols = symbols if isinstance(symbols, set) else {symbols}
if symbols - self._all_subscribe:
self._all_subscribe |= symbols
if self._pending_peek and not self._pending_subscribe_upstream:
await self._send_subscribe_quote()
else:
self._pending_subscribe_downstream = True
async def _send_subscribe_quote(self):
self._pending_subscribe_upstream = True
self._pending_subscribe_downstream = False
await self._md_send_chan.send({
"aid": "subscribe_quote",
"ins_list": ",".join(self._all_subscribe)
})
def _handle_stat_report(self):
if self.tqsdk_stat:
return
self._settle()
self._report()
self._diffs.append({
"trade": {
self._account_key: {
"accounts": {
"CNY": {
"_tqsdk_stat": self.tqsdk_stat
}
}
}
}
})
async def _ensure_quote_info(self, symbol, quote_chan):
"""quote收到合约信息后返回"""
quote = _get_obj(self._data, ["quotes", symbol], Quote(self._api))
if quote.get("price_tick") == quote.get("price_tick"):
return quote.copy()
if quote.get("price_tick") != quote.get("price_tick"):
await self._md_send_chan.send(_query_for_quote(symbol))
async for _ in quote_chan:
quote_chan.task_done()
if quote.get("price_tick") == quote.get("price_tick"):
return quote.copy()
async def _ensure_quote(self, symbol, quote_chan):
"""quote收到行情以及合约信息后返回"""
quote = _get_obj(self._data, ["quotes", symbol], Quote(self._api))
_register_update_chan(quote, quote_chan)
if quote.get(
"datetime",
"") and quote.get("price_tick") == quote.get("price_tick"):
return quote.copy()
if quote.get("price_tick") != quote.get("price_tick"):
# 对于没有合约信息的 quote，发送查询合约信息的请求
await self._md_send_chan.send(_query_for_quote(symbol))
async for _ in quote_chan:
quote_chan.task_done()
if quote.get(
"datetime",
"") and quote.get("price_tick") == quote.get("price_tick"):
return quote.copy()
async def _quote_handler(self, symbol, quote_chan, order_chan):
try:
await self._subscribe_quote(symbol)
quote = await self._ensure_quote(symbol, quote_chan)
if quote["ins_class"].endswith(
"INDEX") and quote["exchange_id"] == "KQ":
# 指数可以交易，需要补充 margin commission
if "margin" not in quote:
quote_m = await self._ensure_quote_info(
symbol.replace("KQ.i", "KQ.m"), quote_chan)
quote_underlying = await self._ensure_quote_info(
quote_m["underlying_symbol"], quote_chan)
self._data["quotes"][symbol]["margin"] = quote_underlying[
"margin"]
self._data["quotes"][symbol][
"commission"] = quote_underlying["commission"]
quote.update(self._data["quotes"][symbol])
underlying_quote = None
if quote["ins_class"].endswith("OPTION"):
# 如果是期权，订阅标的合约行情，确定收到期权标的合约行情
underlying_symbol = quote["underlying_symbol"]
await self._subscribe_quote(underlying_symbol)
underlying_quote = await self._ensure_quote(
underlying_symbol, quote_chan) # 订阅合约
# 在等待标的行情的过程中，quote_chan 可能有期权行情，把 quote_chan 清空，并用最新行情更新 quote
while not quote_chan.empty():
quote_chan.recv_nowait()
quote_chan.task_done()
# 用最新行情更新 quote
quote.update(self._data["quotes"][symbol])
if underlying_quote:
underlying_quote.update(
self._data["quotes"][underlying_symbol])
task = self._api.create_task(
self._forward_chan_handler(order_chan, quote_chan))
quotes = {symbol: quote}
if underlying_quote:
quotes[underlying_symbol] = underlying_quote
self._sim_trade.update_quotes(symbol, {"quotes": quotes})
async for pack in quote_chan:
if "aid" not in pack:
diffs, orders_events = self._sim_trade.update_quotes(
symbol, pack)
self._handle_diffs(diffs, orders_events, "match order")
elif pack["aid"] == "insert_order":
diffs, orders_events = self._sim_trade.insert_order(
symbol, pack)
self._handle_diffs(diffs, orders_events, "insert order")
elif pack["aid"] == "cancel_order":
diffs, orders_events = self._sim_trade.cancel_order(
symbol, pack)
self._handle_diffs(diffs, orders_events, "cancel order")
quote_chan.task_done()
finally:
await quote_chan.close()
await order_chan.close()
task.cancel()
await asyncio.gather(task, return_exceptions=True)
async def _forward_chan_handler(self, chan_from, chan_to):
async for pack in chan_from:
await chan_to.send(pack)
def _md_recv(self, pack):
for d in pack["data"]:
self._diffs.append(d)
# 在第一次收到 mdhis_more_data 为 False 的时候，发送账户初始截面信息，这样回测模式下，往后的模块才有正确的时间顺序
if not self._has_send_init_account and not d.get(
"mdhis_more_data", True):
self._diffs.append(self._sim_trade.init_snapshot())
self._diffs.append(
{"trade": {
self._account_key: {
"trade_more_data": False
}
}})
self._has_send_init_account = True
_tqsdk_backtest = d.get("_tqsdk_backtest", {})
if _tqsdk_backtest:
# 回测时，用 _tqsdk_backtest 对象中 current_dt 作为 TqSim 的 _current_datetime
self._tqsdk_backtest.update(_tqsdk_backtest)
self._current_datetime = _timestamp_nano_to_str(
self._tqsdk_backtest["current_dt"])
self._local_time_record = float("nan")
# 1. 回测时不使用时间差来模拟交易所时间的原因(_local_time_record始终为初始值nan)：
# 在sim收到行情后记录_local_time_record，然后下发行情到api进行merge_diff(),api需要处理完k线和quote才能结束wait_update(),
# 若处理时间过长，此时下单则在判断下单时间时与测试用例中的预期时间相差较大，导致测试用例无法通过。
# 2. 回测不使用时间差的方法来判断下单时间仍是可行的: 与使用了时间差的方法相比, 只对在每个交易时间段最后一笔行情时的下单时间判断有差异,
# 若不使用时间差, 则在最后一笔行情时下单仍判断为在可交易时间段内, 且可成交.
quotes_diff = d.get("quotes", {})
# 先根据 quotes_diff 里的 datetime, 确定出 _current_datetime，再 _merge_diff(同时会发送行情到 quote_chan)
for symbol, quote_diff in quotes_diff.items():
if quote_diff is None:
continue
# 若直接使用本地时间来判断下单时间是否在可交易时间段内 可能有较大误差,因此判断的方案为:(在接收到下单指令时判断 估计的交易所时间 是否在交易时间段内)
# 在更新最新行情时间(即self._current_datetime)时，记录当前本地时间(self._local_time_record)，
# 在这之后若收到下单指令，则获取当前本地时间,判 "最新行情时间 + (当前本地时间 - 记录的本地时间)" 是否在交易时间段内。
# 另外, 若在盘后下单且下单前未订阅此合约：
# 因为从_md_recv()中获取数据后立即判断下单时间则速度过快(两次time.time()的时间差小于最后一笔行情(14:59:9995)到15点的时间差),
# 则会立即成交,为处理此情况则将当前时间减去5毫秒（模拟发生5毫秒网络延迟，则两次time.time()的时间差增加了5毫秒）。
# todo: 按交易所来存储 _current_datetime(issue： #277)
if quote_diff.get("datetime", "") > self._current_datetime:
# 回测时，当前时间更新即可以由 quote 行情更新，也可以由 _tqsdk_backtest.current_dt 更新，
# 在最外层的循环里，_tqsdk_backtest.current_dt 是在 rtn_data.data 中数组位置中的最后一个，会在循环最后一个才更新 self.current_datetime
# 导致前面处理 order 时的 _current_datetime 还是旧的行情时间
self._current_datetime = quote_diff["datetime"] # 最新行情时间
# 更新最新行情时间时的本地时间，回测时不使用时间差
self._local_time_record = (
time.time() -
0.005) if not self._tqsdk_backtest else float("nan")
if self._current_datetime > self._trading_day_end: # 结算
self._settle()
# 若当前行情时间大于交易日的结束时间(切换交易日)，则根据此行情时间更新交易日及交易日结束时间
trading_day = _get_trading_day_from_timestamp(
self._get_current_timestamp())
self._trading_day_end = _timestamp_nano_to_str(
_get_trading_day_end_time(trading_day) - 999)
if quotes_diff:
_merge_diff(self._data, {"quotes": quotes_diff},
self._prototype,
persist=False,
reduce_diff=False,
notify_update_diff=True)
def _handle_diffs(self, diffs, orders_events, msg):
"""
处理 sim_trade 返回的 diffs
orders_events 为持仓变更事件，依次屏幕输出信息，打印日志
"""
self._diffs += diffs
for order in orders_events:
if order["status"] == "FINISHED":
self._handle_on_finished(msg, order)
else:
assert order["status"] == "ALIVE"
self._handle_on_alive(msg, order)
def _settle(self):
if self._trading_day_end[:10] == "1990-01-01":
return
# 结算并记录账户截面
diffs, orders_events, trade_log = self._sim_trade.settle()
self._handle_diffs(diffs, orders_events, "settle")
self.trade_log[self._trading_day_end[:10]] = trade_log
@abstractmethod
def _handle_on_alive(self, msg, order):
"""
在 order 状态变为 ALIVE 调用，屏幕输出信息，打印日志
"""
pass
@abstractmethod
def _handle_on_finished(self, msg, order):
"""
在 order 状态变为 FINISHED 调用，屏幕输出信息，打印日志
"""
pass
@abstractmethod
def _report(self):
pass
def _get_current_timestamp(self):
return _str_to_timestamp_nano(self._current_datetime)
def _get_trade_timestamp(self):
return _get_trade_timestamp(self._current_datetime,
self._local_time_record)
def _is_in_trading_time(self, quote):
return _is_in_trading_time(quote, self._current_datetime,
self._local_time_record)
class TqReconnect(object):
def __init__(self, logger):
self._logger = logger
self._resend_request = {} # 重连时需要重发的请求
self._un_processed = False # 重连后尚未处理完标志
self._pending_diffs = []
self._data = Entity()
self._data._instance_entity([])
async def _run(self, api, api_send_chan, api_recv_chan, ws_send_chan, ws_recv_chan):
self._api = api
send_task = self._api.create_task(self._send_handler(api_send_chan, ws_send_chan))
try:
async for pack in ws_recv_chan:
self._record_upper_data(pack)
if self._un_processed: # 处理重连后数据
pack_data = pack.get("data", [])
self._pending_diffs.extend(pack_data)
for d in pack_data:
# _merge_diff 之后， self._data 会用于判断是否接收到了完整截面数据
_merge_diff(self._data, d, self._api._prototype, persist=False, reduce_diff=False)
if self._is_all_received():
# 重连后收到完整数据截面
self._un_processed = False
pack = {
"aid": "rtn_data",
"data": self._pending_diffs
}
await api_recv_chan.send(pack)
self._logger = self._logger.bind(status=self._status)
self._logger.debug("data completed", pack=pack)
else:
await ws_send_chan.send({"aid": "peek_message"})
self._logger.debug("wait for data completed", pack={"aid": "peek_message"})
else:
is_reconnected = False
for i in range(len(pack.get("data", []))):
for _, notify in pack["data"][i].get("notify", {}).items():
if notify["code"] == 2019112902: # 重连建立
is_reconnected = True
self._un_processed = True
self._logger = self._logger.bind(status=self._status)
if i > 0:
ws_send_chan.send_nowait({
"aid": "rtn_data",
"data": pack.get("data", [])[0:i]
})
self._pending_diffs = pack.get("data", [])[i:]
break
if is_reconnected:
self._data = Entity()
self._data._instance_entity([])
for d in self._pending_diffs:
_merge_diff(self._data, d, self._api._prototype, persist=False, reduce_diff=False)
# 发送所有 resend_request
for msg in self._resend_request.values():
# 这里必须用 send_nowait 而不是 send，因为如果使用异步写法，在循环中，代码可能执行到 send_task, 可能会修改 _resend_request
ws_send_chan.send_nowait(msg)
self._logger.debug("resend request", pack=msg)
await ws_send_chan.send({"aid": "peek_message"})
else:
await api_recv_chan.send(pack)
finally:
send_task.cancel()
await asyncio.gather(send_task, return_exceptions=True)
async def _send_handler(self, api_send_chan, ws_send_chan):
async for pack in api_send_chan:
self._record_lower_data(pack)
await ws_send_chan.send(pack)
@property
def _status(self):
return "WAIT_FOR_COMPLETED" if self._un_processed else "READY"
@abstractmethod
def _is_all_received(self):
"""在重连后判断是否收到了全部的数据，可以继续处理后续的数据包"""
pass
def _record_upper_data(self, pack):
"""从上游收到的数据中，记录下重连时需要的数据"""
pass
def _record_lower_data(self, pack):
"""从下游收到的数据中，记录下重连时需要的数据"""
pass
class TqSim(object):
"""
天勤模拟交易类
该类实现了一个本地的模拟账户，并且在内部完成撮合交易，在回测和复盘模式下，只能使用 TqSim 账户来交易。
限价单要求报单价格达到或超过对手盘价格才能成交, 成交价为报单价格, 如果没有对手盘(涨跌停)则无法成交
市价单使用对手盘价格成交, 如果没有对手盘(涨跌停)则自动撤单
模拟交易不会有部分成交的情况, 要成交就是全部成交
"""
def __init__(self, init_balance: float = 10000000.0, account_id: str = "TQSIM") -> None:
"""
Args:
init_balance (float): [可选]初始资金, 默认为一千万
account_id (str): [可选]帐号, 默认为 "TQSIM"
Example::
# 修改TqSim模拟帐号的初始资金为100000
from tqsdk import TqApi, TqSim
api = TqApi(TqSim(init_balance=100000))
"""
self.trade_log = {} # 日期->交易记录及收盘时的权益及持仓
self._account_id = account_id
self._init_balance = float(init_balance)
if self._init_balance <= 0:
raise Exception("初始资金(init_balance) %s 错误, 请检查 init_balance 是否填写正确" % (init_balance))
self._current_datetime = "1990-01-01 00:00:00.000000" # 当前行情时间（最新的 quote 时间）
self._trading_day_end = "1990-01-01 18:00:00.000000"
self._local_time_record = float("nan") # 记录获取最新行情时的本地时间
async def _run(self, api, api_send_chan, api_recv_chan, md_send_chan, md_recv_chan):
"""模拟交易task"""
self._api = api
self._tqsdk_backtest = {} # 储存可能的回测信息
self._tqsdk_stat = {} # 回测结束后储存回测报告信息
self._logger = api._logger.getChild("TqSim") # 调试信息输出
self._api_send_chan = api_send_chan
self._api_recv_chan = api_recv_chan
self._md_send_chan = md_send_chan
self._md_recv_chan = md_recv_chan
self._pending_peek = False
self._diffs = []
self._account = {
"currency": "CNY",
"pre_balance": self._init_balance,
"static_balance": self._init_balance,
"balance": self._init_balance,
"available": self._init_balance,
"float_profit": 0.0,
"position_profit": 0.0, # 期权没有持仓盈亏
"close_profit": 0.0,
"frozen_margin": 0.0,
"margin": 0.0,
"frozen_commission": 0.0,
"commission": 0.0,
"frozen_premium": 0.0,
"premium": 0.0,
"deposit": 0.0,
"withdraw": 0.0,
"risk_ratio": 0.0,
"market_value": 0.0,
"ctp_balance": float("nan"),
"ctp_available": float("nan"),
}
self._positions = {}
self._orders = {}
self._data = Entity()
self._data._instance_entity([])
self._prototype = {
"quotes": {
"#": Quote(self), # 行情的数据原型
}
}
self._quote_tasks = {}
self._all_subscribe = set() # 客户端+模拟交易模块订阅的合约集合
# 是否已经发送初始账户信息
self._has_send_init_account = False
md_task = self._api.create_task(self._md_handler()) # 将所有 md_recv_chan 上收到的包投递到 api_send_chan 上
try:
async for pack in self._api_send_chan:
self._logger.debug("TqSim message received: %s", pack)
if "_md_recv" in pack:
if pack["aid"] == "rtn_data":
self._md_recv(pack) # md_recv 中会发送 wait_count 个 quotes 包给各个 quote_chan
await asyncio.gather(*[quote_task["quote_chan"].join() for quote_task in self._quote_tasks.values()])
await self._send_diff()
elif pack["aid"] == "subscribe_quote":
await self._subscribe_quote(set(pack["ins_list"].split(",")))
elif pack["aid"] == "peek_message":
self._pending_peek = True
await self._send_diff()
if self._pending_peek: # 控制"peek_message"发送: 当没有新的事件需要用户处理时才推进到下一个行情
await self._md_send_chan.send(pack)
elif pack["aid"] == "insert_order":
symbol = pack["exchange_id"] + "." + pack["instrument_id"]
if symbol not in self._quote_tasks:
quote_chan = TqChan(self._api)
order_chan = TqChan(self._api)
self._quote_tasks[symbol] = {
"quote_chan": quote_chan,
"order_chan": order_chan,
"task": self._api.create_task(self._quote_handler(symbol, quote_chan, order_chan))
}
await self._quote_tasks[symbol]["order_chan"].send(pack)
elif pack["aid"] == "cancel_order":
# pack 里只有 order_id 信息，发送到每一个合约的 order_chan, 交由 quote_task 判断是不是当前合约下的委托单
for symbol in self._quote_tasks:
await self._quote_tasks[symbol]["order_chan"].send(pack)
else:
await self._md_send_chan.send(pack)
if self._tqsdk_backtest != {} and self._tqsdk_backtest["current_dt"] >= self._tqsdk_backtest["end_dt"] \
and not self._tqsdk_stat:
# 回测情况下，把 _send_stat_report 在循环中回测结束时执行
await self._send_stat_report()
finally:
if not self._tqsdk_stat:
await self._send_stat_report()
md_task.cancel()
tasks = [md_task]
for symbol in self._quote_tasks:
self._quote_tasks[symbol]["task"].cancel()
tasks.append(self._quote_tasks[symbol]["task"])
await asyncio.gather(*tasks, return_exceptions=True)
async def _md_handler(self):
async for pack in self._md_recv_chan:
pack["_md_recv"] = True
await self._api_send_chan.send(pack)
async def _send_diff(self):
if self._pending_peek and self._diffs:
rtn_data = {
"aid": "rtn_data",
"data": self._diffs,
}
self._diffs = []
self._pending_peek = False
self._logger.debug("TqSim message send: %s", rtn_data)
await self._api_recv_chan.send(rtn_data)
async def _subscribe_quote(self, symbols: [set, str]):
"""这里只会增加订阅合约，不会退订合约"""
symbols = symbols if isinstance(symbols, set) else {symbols}
if symbols - self._all_subscribe:
self._all_subscribe |= symbols
await self._md_send_chan.send({
"aid": "subscribe_quote",
"ins_list": ",".join(self._all_subscribe)
})
async def _send_stat_report(self):
self._settle()
self._report()
await self._api_recv_chan.send({
"aid": "rtn_data",
"data": [{
"trade": {
self._account_id: {
"accounts": {
"CNY": {
"_tqsdk_stat": self._tqsdk_stat
}
}
}
}
}]
})
async def _ensure_quote(self, symbol, quote_chan):
"""quote收到行情后返回"""
quote = _get_obj(self._data, ["quotes", symbol], Quote(self._api))
_register_update_chan(quote, quote_chan)
if quote.get("datetime", ""):
return quote.copy()
async for _ in quote_chan:
quote_chan.task_done()
if quote.get("datetime", ""):
return quote.copy()
async def _quote_handler(self, symbol, quote_chan, order_chan):
try:
orders = self._orders.setdefault(symbol, {})
position = self._normalize_position(symbol)
self._positions[symbol] = position
await self._subscribe_quote(symbol)
quote = await self._ensure_quote(symbol, quote_chan)
underlying_quote = None
if quote["ins_class"] in ["FUTURE_OPTION", "OPTION"]:
# 如果是期权，订阅标的合约行情，确定收到期权标的合约行情
underlying_symbol = quote["underlying_symbol"]
await self._subscribe_quote(underlying_symbol)
underlying_quote = await self._ensure_quote(underlying_symbol, quote_chan) # 订阅合约
# 在等待标的行情的过程中，quote_chan 可能有期权行情，把 quote_chan 清空，并用最新行情更新 quote
while not quote_chan.empty():
quote_chan.recv_nowait()
quote_chan.task_done()
quote.update(self._data["quotes"][symbol])
if underlying_quote:
underlying_quote.update(self._data["quotes"][underlying_symbol])
task = self._api.create_task(self._forward_chan_handler(order_chan, quote_chan))
async for pack in quote_chan:
if "aid" not in pack:
_simple_merge_diff(quote, pack.get("quotes", {}).get(symbol, {}))
if underlying_quote:
_simple_merge_diff(underlying_quote, pack.get("quotes", {}).get(underlying_symbol, {}))
for order_id in list(orders.keys()):
assert orders[order_id]["insert_date_time"] > 0
match_msg = self._match_order(orders[order_id], symbol, quote, underlying_quote)
if match_msg:
self._del_order(symbol, orders[order_id], match_msg)
del orders[order_id]
self._adjust_position(symbol, price=quote["last_price"]) # 按照合约最新价调整持仓
elif pack["aid"] == "insert_order":
order = self._normalize_order(pack) # 调整 pack 为 order 对象需要的字段
orders[pack["order_id"]] = order # 记录 order 在 orders 里
insert_result = self._insert_order(order, symbol, quote, underlying_quote)
if insert_result:
self._del_order(symbol, order, insert_result)
del orders[pack["order_id"]]
else:
match_msg = self._match_order(order, symbol, quote, underlying_quote)
if match_msg:
self._del_order(symbol, orders[pack["order_id"]], match_msg)
del orders[pack["order_id"]]
# 按照合约最新价调整持仓
self._adjust_position(symbol, price=quote["last_price"])
await self._send_diff()
elif pack["aid"] == "cancel_order":
if pack["order_id"] in orders:
self._del_order(symbol, orders[pack["order_id"]], "已撤单")
del orders[pack["order_id"]]
await self._send_diff()
quote_chan.task_done()
finally:
await quote_chan.close()
await order_chan.close()
task.cancel()
await asyncio.gather(task, return_exceptions=True)
async def _forward_chan_handler(self, chan_from, chan_to):
async for pack in chan_from:
await chan_to.send(pack)
def _md_recv(self, pack):
for d in pack["data"]:
d.pop("trade", None)
self._diffs.append(d)
# 在第一次收到 mdhis_more_data 为 False 的时候，发送账户初始截面信息，这样回测模式下，往后的模块才有正确的时间顺序
if not self._has_send_init_account and not d.get("mdhis_more_data", True):
self._send_account()
self._diffs.append({
"trade": {
self._account_id: {
"orders": {},
"positions": {},
"trade_more_data": False
}
}
})
self._has_send_init_account = True
_tqsdk_backtest = d.get("_tqsdk_backtest", {})
if _tqsdk_backtest:
# 回测时，用 _tqsdk_backtest 对象中 current_dt 作为 TqSim 的 _current_datetime
self._tqsdk_backtest.update(_tqsdk_backtest)
self._current_datetime = datetime.fromtimestamp(
self._tqsdk_backtest["current_dt"] / 1e9).strftime("%Y-%m-%d %H:%M:%S.%f")
self._local_time_record = float("nan")
# 1. 回测时不使用时间差来模拟交易所时间的原因(_local_time_record始终为初始值nan)：
# 在sim收到行情后记录_local_time_record，然后下发行情到api进行merge_diff(),api需要处理完k线和quote才能结束wait_update(),
# 若处理时间过长，此时下单则在判断下单时间时与测试用例中的预期时间相差较大，导致测试用例无法通过。
# 2. 回测不使用时间差的方法来判断下单时间仍是可行的: 与使用了时间差的方法相比, 只对在每个交易时间段最后一笔行情时的下单时间判断有差异,
# 若不使用时间差, 则在最后一笔行情时下单仍判断为在可交易时间段内, 且可成交.
quotes_diff = d.get("quotes", {})
if not quotes_diff:
continue
# 先根据 quotes_diff 里的 datetime, 确定出 _current_datetime，再 _merge_diff(同时会发送行情到 quote_chan)
for symbol, quote_diff in quotes_diff.items():
if quote_diff is None:
continue
# 若直接使用本地时间来判断下单时间是否在可交易时间段内 可能有较大误差,因此判断的方案为:(在接收到下单指令时判断 估计的交易所时间 是否在交易时间段内)
# 在更新最新行情时间(即self._current_datetime)时，记录当前本地时间(self._local_time_record)，
# 在这之后若收到下单指令，则获取当前本地时间,判 "最新行情时间 + (当前本地时间 - 记录的本地时间)" 是否在交易时间段内。
# 另外, 若在盘后下单且下单前未订阅此合约：
# 因为从_md_recv()中获取数据后立即判断下单时间则速度过快(两次time.time()的时间差小于最后一笔行情(14:59:9995)到15点的时间差),
# 则会立即成交,为处理此情况则将当前时间减去5毫秒（模拟发生5毫秒网络延迟，则两次time.time()的时间差增加了5毫秒）。
# todo: 按交易所来存储 _current_datetime(issue： #277)
if quote_diff.get("datetime", "") > self._current_datetime:
# 回测时，当前时间更新即可以由 quote 行情更新，也可以由 _tqsdk_backtest.current_dt 更新，
# 在最外层的循环里，_tqsdk_backtest.current_dt 是在 rtn_data.data 中数组位置中的最后一个，会在循环最后一个才更新 self.current_datetime
# 导致前面处理 order 时的 _current_datetime 还是旧的行情时间
self._current_datetime = quote_diff["datetime"] # 最新行情时间
# 更新最新行情时间时的本地时间，回测时不使用时间差
self._local_time_record = (time.time() - 0.005) if not self._tqsdk_backtest else float("nan")
if self._current_datetime > self._trading_day_end: # 结算
self._settle()
# 若当前行情时间大于交易日的结束时间(切换交易日)，则根据此行情时间更新交易日及交易日结束时间
trading_day = _get_trading_day_from_timestamp(self._get_current_timestamp())
self._trading_day_end = datetime.fromtimestamp(
(_get_trading_day_end_time(trading_day) - 999) / 1e9).strftime("%Y-%m-%d %H:%M:%S.%f")
_merge_diff(self._data, {"quotes": quotes_diff}, self._prototype, False, True)
def _normalize_order(self, order):
order["exchange_order_id"] = order["order_id"]
order["volume_orign"] = order["volume"]
order["volume_left"] = order["volume"]
order["frozen_margin"] = 0.0
order["frozen_premium"] = 0.0
order["last_msg"] = "报单成功"
order["status"] = "ALIVE"
order["insert_date_time"] = 0 # 初始化为0：保持 order 的结构不变(所有字段都有，只是值不同)
del order["aid"]
del order["volume"]
return order
def _normalize_position(self, symbol):
return {
"exchange_id": symbol.split(".", maxsplit=1)[0],
"instrument_id": symbol.split(".", maxsplit=1)[1],
"pos_long_his": 0,
"pos_long_today": 0,
"pos_short_his": 0,
"pos_short_today": 0,
"volume_long_today": 0,
"volume_long_his": 0,
"volume_long": 0,
"volume_long_frozen_today": 0,
"volume_long_frozen_his": 0,
"volume_long_frozen": 0,
"volume_short_today": 0,
"volume_short_his": 0,
"volume_short": 0,
"volume_short_frozen_today": 0,
"volume_short_frozen_his": 0,
"volume_short_frozen": 0,
"open_price_long": float("nan"),
"open_price_short": float("nan"),
"open_cost_long": 0.0,
"open_cost_short": 0.0,
"position_price_long": float("nan"),
"position_price_short": float("nan"),
"position_cost_long": 0.0,
"position_cost_short": 0.0,
"float_profit_long": 0.0,
"float_profit_short": 0.0,
"float_profit": 0.0,
"position_profit_long": 0.0,
"position_profit_short": 0.0,
"position_profit": 0.0,
"margin_long": 0.0,
"margin_short": 0.0,
"margin": 0.0,
"last_price": None,
"market_value_long": 0.0, # 权利方市值(始终 >= 0)
"market_value_short": 0.0, # 义务方市值(始终 <= 0)
"market_value": 0.0,
}
def _del_order(self, symbol, order, msg):
self._logger.info(f"模拟交易委托单 {order['order_id']}: {msg}")
if order["offset"].startswith("CLOSE"):
volume_long_frozen = 0 if order["direction"] == "BUY" else -order["volume_left"]
volume_short_frozen = 0 if order["direction"] == "SELL" else -order["volume_left"]
if order["exchange_id"] == "SHFE" or order["exchange_id"] == "INE":
priority = "H" if order["offset"] == "CLOSE" else "T"
else:
priority = "HT"
self._adjust_position(symbol, volume_long_frozen=volume_long_frozen,
volume_short_frozen=volume_short_frozen, priority=priority)
else:
self._adjust_account(frozen_margin=-order["frozen_margin"], frozen_premium=-order["frozen_premium"])
order["frozen_margin"] = 0.0
order["frozen_premium"] = 0.0
order["last_msg"] = msg
order["status"] = "FINISHED"
self._send_order(order)
return order
def _insert_order(self, order, symbol, quote, underlying_quote=None):
if order["offset"].startswith("CLOSE"):
volume_long_frozen = 0 if order["direction"] == "BUY" else order["volume_left"]
volume_short_frozen = 0 if order["direction"] == "SELL" else order["volume_left"]
if order["exchange_id"] == "SHFE" or order["exchange_id"] == "INE":
priority = "H" if order["offset"] == "CLOSE" else "T"
else:
priority = "TH"
if not self._adjust_position(symbol, volume_long_frozen=volume_long_frozen,
volume_short_frozen=volume_short_frozen, priority=priority):
return "平仓手数不足"
else:
if ("commission" not in quote or "margin" not in quote) \
and quote["ins_class"] not in ["OPTION", "FUTURE_OPTION"]:
# 除了期权外，主连、指数和组合没有这两个字段
return "合约不存在"
if quote["ins_class"] in ["OPTION", "FUTURE_OPTION"]:
if order["price_type"] == "ANY" and order["exchange_id"] != "CZCE":
return f"此交易所（{order['exchange_id']}) 不支持期权市价单"
elif order["direction"] == "SELL": # 期权的SELL义务仓
if quote["option_class"] == "CALL":
# 认购期权义务仓开仓保证金＝[合约最新价 + Max（12% × 合约标的最新价 - 认购期权虚值， 7% × 合约标的前收盘价）] × 合约单位
# 认购期权虚值＝Max（行权价 - 合约标的前收盘价，0）；
order["frozen_margin"] = (quote["last_price"] + max(
0.12 * underlying_quote["last_price"] - max(
quote["strike_price"] - underlying_quote["last_price"], 0),
0.07 * underlying_quote["last_price"])) * quote["volume_multiple"]
else:
# 认沽期权义务仓开仓保证金＝Min[合约最新价+ Max（12% × 合约标的前收盘价 - 认沽期权虚值，7%×行权价），行权价] × 合约单位
# 认沽期权虚值＝Max（合约标的前收盘价 - 行权价，0）
order["frozen_margin"] = min(quote["last_price"] + max(
0.12 * underlying_quote["last_price"] - max(
underlying_quote["last_price"] - quote["strike_price"], 0),
0.07 * quote["strike_price"]), quote["strike_price"]) * quote["volume_multiple"]
elif order["price_type"] != "ANY": # 期权的BUY权利仓（市价单立即成交且没有limit_price字段,frozen_premium默认为0）
order["frozen_premium"] = order["volume_orign"] * quote["volume_multiple"] * order[
"limit_price"]
else: # 期货
# 市价单立即成交或不成, 对api来说普通市价单没有 冻结_xxx 数据存在的状态
order["frozen_margin"] = quote["margin"] * order["volume_orign"]
if not self._adjust_account(frozen_margin=order["frozen_margin"],
frozen_premium=order["frozen_premium"]):
return "开仓资金不足"
# 可以模拟交易下单
order["insert_date_time"] = _get_trade_timestamp(self._current_datetime, self._local_time_record)
self._send_order(order)
self._logger.info("模拟交易下单 %s: 时间:%s,合约:%s,开平:%s,方向:%s,手数:%s,价格:%s", order["order_id"],
datetime.fromtimestamp(order["insert_date_time"] / 1e9).strftime(
"%Y-%m-%d %H:%M:%S.%f"), symbol, order["offset"], order["direction"],
order["volume_left"], order.get("limit_price", "市价"))
if not _is_in_trading_time(quote, self._current_datetime, self._local_time_record):
return "下单失败, 不在可交易时间段内"
def _match_order(self, order, symbol, quote, underlying_quote=None):
ask_price = quote["ask_price1"]
bid_price = quote["bid_price1"]
if quote["ins_class"] == "FUTURE_INDEX":
# 在指数交易时，使用 tick 进行回测时，backtest 发的 quote 没有买一卖一价；或者在实时行情中，指数的 quote 也没有买一卖一价
if ask_price != ask_price:
ask_price = quote["last_price"] + quote["price_tick"]
if bid_price != bid_price:
bid_price = quote["last_price"] - quote["price_tick"]
if "limit_price" not in order:
price = ask_price if order["direction"] == "BUY" else bid_price
if price != price:
return "市价指令剩余撤销"
elif order["direction"] == "BUY" and order["limit_price"] >= ask_price:
price = order["limit_price"]
elif order["direction"] == "SELL" and order["limit_price"] <= bid_price:
price = order["limit_price"]
elif order["time_condition"] == "IOC": # IOC 立即成交，限价下单且不能成交的价格，直接撤单
return "已撤单报单已提交"
else:
return ""
trade = {
"user_id": order["user_id"],
"order_id": order["order_id"],
"trade_id": order["order_id"] + "|" + str(order["volume_left"]),
"exchange_trade_id": order["order_id"] + "|" + str(order["volume_left"]),
"exchange_id": order["exchange_id"],
"instrument_id": order["instrument_id"],
"direction": order["direction"],
"offset": order["offset"],
"price": price,
"volume": order["volume_left"],
# todo: 可能导致测试结果不确定
"trade_date_time": _get_trade_timestamp(self._current_datetime, self._local_time_record),
# 期权quote没有commission字段, 设为固定10元一张
"commission": (quote["commission"] if quote["ins_class"] not in ["OPTION", "FUTURE_OPTION"] else 10) *
order["volume_left"],
}
trade_log = self._ensure_trade_log()
trade_log["trades"].append(trade)
self._send_trade(trade)
if order["exchange_id"] == "SHFE" or order["exchange_id"] == "INE":
priority = "H" if order["offset"] == "CLOSE" else "T"
else:
priority = "TH"
if order["offset"].startswith("CLOSE"):
volume_long = 0 if order["direction"] == "BUY" else -order["volume_left"]
volume_short = 0 if order["direction"] == "SELL" else -order["volume_left"]
self._adjust_position(symbol, volume_long_frozen=volume_long, volume_short_frozen=volume_short,
priority=priority)
else:
volume_long = 0 if order["direction"] == "SELL" else order["volume_left"]
volume_short = 0 if order["direction"] == "BUY" else order["volume_left"]
self._adjust_position(symbol, volume_long=volume_long, volume_short=volume_short, price=price,
priority=priority)
premium = -order["frozen_premium"] if order["direction"] == "BUY" else order["frozen_premium"]
self._adjust_account(commission=trade["commission"], premium=premium)
order["volume_left"] = 0
return "全部成交"
def _settle(self):
if self._trading_day_end[:10] == "1990-01-01":
return
trade_log = self._ensure_trade_log()
# 记录账户截面
trade_log["account"] = self._account.copy()
trade_log["positions"] = {k: v.copy() for k, v in self._positions.items()}
# 为下一交易日调整账户
self._account["pre_balance"] = self._account["balance"]
self._account["static_balance"] = self._account["balance"]
self._account["position_profit"] = 0
self._account["close_profit"] = 0
self._account["commission"] = 0
self._account["premium"] = 0
self._send_account()
self._adjust_account()
# 对于持仓的结算放在这里，没有放在 quote_handler 里的原因：
# 1. 异步发送的话，会造成如果此时 sim 未收到 pending_peek, 就没法把结算的账户信息发送出去，此时用户代码中 api.get_postion 得到的持仓和 sim 里面的持仓是不一致的
# set_target_pos 下单时就会产生错单。而且结算时一定是已经收到过行情的数据包，在同步代码的最后一步，会发送出去这个行情包 peeding_peek，
# quote_handler 处理 settle 的时候, 所以在结算的时候 pending_peek 一定是 False, 要 api 处理过之后，才会收到 peek_message
# 2. 同步发送的话，就可以和产生切换交易日的数据包同时发送出去
# 对 order 的处理发生在下一次回复 peek_message
for position in self._positions.values():
position["pos_long_his"] = position["volume_long"]
position["pos_long_today"] = 0
position["pos_short_his"] = position["volume_short"]
position["pos_short_today"] = 0
position["volume_long_today"] = 0
position["volume_long_his"] = position["volume_long"]
position["volume_short_today"] = 0
position["volume_short_his"] = position["volume_short"]
position["position_price_long"] = position["last_price"]
position["position_price_short"] = position["last_price"]
position["position_cost_long"] = position["open_cost_long"] + position["float_profit_long"]
position["position_cost_short"] = position["open_cost_short"] + position["float_profit_short"]
position["position_profit_long"] = 0
position["position_profit_short"] = 0
position["position_profit"] = 0
self._send_position(position)
for symbol in self._orders.keys():
order_ids = list(self._orders[symbol].keys()).copy()
for order_id in order_ids:
self._del_order(symbol, self._orders[symbol][order_id], "交易日结束，自动撤销当日有效的委托单（GFD）")
del self._orders[symbol][order_id]
def _report(self):
if not self.trade_log:
return
self._logger.warning("模拟交易成交记录")
self._tqsdk_stat["init_balance"] = self._init_balance # 起始资金
self._tqsdk_stat["balance"] = self._account["balance"] # 结束资金
self._tqsdk_stat["max_drawdown"] = 0 # 最大回撤
max_balance = 0
daily_yield = []
# 胜率 盈亏额比例
trades_logs = {}
profit_logs = [] # 盈利记录
loss_logs = [] # 亏损记录
for d in sorted(self.trade_log.keys()):
balance = self.trade_log[d]["account"]["balance"]
if balance > max_balance:
max_balance = balance
drawdown = (max_balance - balance) / max_balance
if drawdown > self._tqsdk_stat["max_drawdown"]:
self._tqsdk_stat["max_drawdown"] = drawdown
daily_yield.append(
self.trade_log[d]["account"]["balance"] / self.trade_log[d]["account"]["pre_balance"] - 1)
for t in self.trade_log[d]["trades"]:
symbol = t["exchange_id"] + "." + t["instrument_id"]
self._logger.warning("时间:%s,合约:%s,开平:%s,方向:%s,手数:%d,价格:%.3f,手续费:%.2f",
datetime.fromtimestamp(t["trade_date_time"] / 1e9).strftime(
"%Y-%m-%d %H:%M:%S.%f"), symbol, t["offset"], t["direction"], t["volume"],
t["price"], t["commission"])
if symbol not in trades_logs:
trades_logs[symbol] = {
"BUY": [],
"SELL": [],
}
if t["offset"] == "OPEN":
# 开仓成交 记录下买卖方向、价格、手数
trades_logs[symbol][t["direction"]].append({
"volume": t["volume"],
"price": t["price"]
})
else:
opposite_dir = "BUY" if t["direction"] == "SELL" else "SELL" # 开仓时的方向
opposite_list = trades_logs[symbol][opposite_dir] # 开仓方向对应 trade log
cur_close_volume = t["volume"]
cur_close_price = t["price"]
cur_close_dir = 1 if t["direction"] == "SELL" else -1
while cur_close_volume > 0 and opposite_list[0]:
volume = min(cur_close_volume, opposite_list[0]["volume"])
profit = (cur_close_price - opposite_list[0]["price"]) * cur_close_dir
if profit >= 0:
profit_logs.append({
"symbol": symbol,
"profit": profit,
"volume": volume
})
else:
loss_logs.append({
"symbol": symbol,
"profit": profit,
"volume": volume
})
cur_close_volume -= volume
opposite_list[0]["volume"] -= volume
if opposite_list[0]["volume"] == 0:
opposite_list.pop(0)
self._tqsdk_stat["profit_volumes"] = sum(p["volume"] for p in profit_logs) # 盈利手数
self._tqsdk_stat["loss_volumes"] = sum(l["volume"] for l in loss_logs) # 亏损手数
self._tqsdk_stat["profit_value"] = sum(
p["profit"] * p["volume"] * self._data["quotes"][p["symbol"]]["volume_multiple"] for p in profit_logs) # 盈利额
self._tqsdk_stat["loss_value"] = sum(
l["profit"] * l["volume"] * self._data["quotes"][l["symbol"]]["volume_multiple"] for l in loss_logs) # 亏损额
mean = statistics.mean(daily_yield)
rf = 0.0001
stddev = statistics.pstdev(daily_yield, mu=mean)
self._tqsdk_stat["sharpe_ratio"] = 250 ** (1 / 2) * (mean - rf) / stddev if stddev else float("inf") # 年化夏普率
_ror = self._tqsdk_stat["balance"] / self._tqsdk_stat["init_balance"]
self._tqsdk_stat["ror"] = _ror - 1 # 收益率
self._tqsdk_stat["annual_yield"] = _ror ** (250 / len(self.trade_log)) - 1 # 年化收益率
self._logger.warning("模拟交易账户资金")
for d in sorted(self.trade_log.keys()):
account = self.trade_log[d]["account"]
self._logger.warning(
"日期:%s,账户权益:%.2f,可用资金:%.2f,浮动盈亏:%.2f,持仓盈亏:%.2f,平仓盈亏:%.2f,市值:%.2f,保证金:%.2f,手续费:%.2f,风险度:%.2f%%",
d, account["balance"], account["available"], account["float_profit"], account["position_profit"],
account["close_profit"], account["market_value"], account["margin"], account["commission"],
account["risk_ratio"] * 100)
self._tqsdk_stat["winning_rate"] = (self._tqsdk_stat["profit_volumes"] / (
self._tqsdk_stat["profit_volumes"] + self._tqsdk_stat["loss_volumes"])) \
if self._tqsdk_stat["profit_volumes"] + self._tqsdk_stat["loss_volumes"] else 0
profit_pre_volume = self._tqsdk_stat["profit_value"] / self._tqsdk_stat["profit_volumes"] if self._tqsdk_stat[
"profit_volumes"] else 0
loss_pre_volume = self._tqsdk_stat["loss_value"] / self._tqsdk_stat["loss_volumes"] if self._tqsdk_stat[
"loss_volumes"] else 0
self._tqsdk_stat["profit_loss_ratio"] = abs(profit_pre_volume / loss_pre_volume) if loss_pre_volume else float(
"inf")
self._logger.warning("胜率:%.2f%%,盈亏额比例:%.2f,收益率:%.2f%%,年化收益率:%.2f%%,最大回撤:%.2f%%,年化夏普率:%.4f",
self._tqsdk_stat["winning_rate"] * 100,
self._tqsdk_stat["profit_loss_ratio"],
self._tqsdk_stat["ror"] * 100,
self._tqsdk_stat["annual_yield"] * 100,
self._tqsdk_stat["max_drawdown"] * 100,
self._tqsdk_stat["sharpe_ratio"])
def _ensure_trade_log(self):
return self.trade_log.setdefault(self._trading_day_end[:10], {
"trades": []
})
def _adjust_position(self, symbol, volume_long_frozen=0, volume_short_frozen=0, volume_long=0, volume_short=0,
price=None, priority=None):
quote = self._data.get("quotes", {}).get(symbol, {})
underlying_quote = self._data.get("quotes", {}).get(quote["underlying_symbol"], {}) if "underlying_symbol" in quote else None
position = self._positions[symbol]
volume_multiple = quote["volume_multiple"]
if volume_long_frozen:
position["volume_long_frozen"] += volume_long_frozen
if priority[0] == "T":
position["volume_long_frozen_today"] += volume_long_frozen
if len(priority) > 1:
if position["volume_long_frozen_today"] < 0:
position["volume_long_frozen_his"] += position["volume_long_frozen_today"]
position["volume_long_frozen_today"] = 0
elif position["volume_long_today"] < position["volume_long_frozen_today"]:
position["volume_long_frozen_his"] += position["volume_long_frozen_today"] - position[
"volume_long_today"]
position["volume_long_frozen_today"] = position["volume_long_today"]
else:
position["volume_long_frozen_his"] += volume_long_frozen
if len(priority) > 1:
if position["volume_long_frozen_his"] < 0:
position["volume_long_frozen_today"] += position["volume_long_frozen_his"]
position["volume_long_frozen_his"] = 0
elif position["volume_long_his"] < position["volume_long_frozen_his"]:
position["volume_long_frozen_today"] += position["volume_long_frozen_his"] - position[
"volume_long_his"]
position["volume_long_frozen_his"] = position["volume_long_his"]
if volume_short_frozen:
position["volume_short_frozen"] += volume_short_frozen
if priority[0] == "T":
position["volume_short_frozen_today"] += volume_short_frozen
if len(priority) > 1:
if position["volume_short_frozen_today"] < 0:
position["volume_short_frozen_his"] += position["volume_short_frozen_today"]
position["volume_short_frozen_today"] = 0
elif position["volume_short_today"] < position["volume_short_frozen_today"]:
position["volume_short_frozen_his"] += position["volume_short_frozen_today"] - position[
"volume_short_today"]
position["volume_short_frozen_today"] = position["volume_short_today"]
else:
position["volume_short_frozen_his"] += volume_short_frozen
if len(priority) > 1:
if position["volume_short_frozen_his"] < 0:
position["volume_short_frozen_today"] += position["volume_short_frozen_his"]
position["volume_short_frozen_his"] = 0
elif position["volume_short_his"] < position["volume_short_frozen_his"]:
position["volume_short_frozen_today"] += position["volume_short_frozen_his"] - position[
"volume_short_his"]
position["volume_short_frozen_his"] = position["volume_short_his"]
if price is not None and price == price:
if position["last_price"] is not None:
float_profit_long = (price - position["last_price"]) * position["volume_long"] * volume_multiple
float_profit_short = (position["last_price"] - price) * position["volume_short"] * volume_multiple
float_profit = float_profit_long + float_profit_short
position["float_profit_long"] += float_profit_long
position["float_profit_short"] += float_profit_short
position["float_profit"] += float_profit
if quote["ins_class"] in ["OPTION", "FUTURE_OPTION"]: # 期权市值 = 权利金 + 期权持仓盈亏
position["market_value_long"] += float_profit_long # 权利方市值(始终 >= 0)
position["market_value_short"] += float_profit_short # 义务方市值(始终 <= 0)
position["market_value"] += float_profit
self._adjust_account(float_profit=float_profit, market_value=float_profit)
else: # 期权没有持仓盈亏
position["position_profit_long"] += float_profit_long
position["position_profit_short"] += float_profit_short
position["position_profit"] += float_profit
self._adjust_account(float_profit=float_profit, position_profit=float_profit)
position["last_price"] = price
if volume_long: # volume_long > 0:买开, < 0:卖平
close_profit = 0 if volume_long > 0 else (position["last_price"] - position[
"position_price_long"]) * -volume_long * volume_multiple
float_profit = 0 if volume_long > 0 else position["float_profit_long"] / position[
"volume_long"] * volume_long
position["open_cost_long"] += volume_long * position["last_price"] * volume_multiple if volume_long > 0 else \
position["open_cost_long"] / position["volume_long"] * volume_long
position["position_cost_long"] += volume_long * position[
"last_price"] * volume_multiple if volume_long > 0 else position["position_cost_long"] / position[
"volume_long"] * volume_long
market_value = 0
margin = 0.0
if quote["ins_class"] in ["OPTION", "FUTURE_OPTION"]:
# 期权市值 = 权利金 + 期权持仓盈亏
market_value = position["last_price"] * volume_long * volume_multiple
position["market_value_long"] += market_value
position["market_value"] += market_value
else:
margin = volume_long * quote["margin"]
position["position_profit_long"] -= close_profit
position["position_profit"] -= close_profit
position["volume_long"] += volume_long
position["open_price_long"] = position["open_cost_long"] / volume_multiple / position["volume_long"] if \
position["volume_long"] else float("nan")
position["position_price_long"] = position["position_cost_long"] / volume_multiple / position[
"volume_long"] if position["volume_long"] else float("nan")
position["float_profit_long"] += float_profit
position["float_profit"] += float_profit
position["margin_long"] += margin
position["margin"] += margin
if priority[0] == "T":
position["volume_long_today"] += volume_long
if len(priority) > 1:
if position["volume_long_today"] < 0:
position["volume_long_his"] += position["volume_long_today"]
position["volume_long_today"] = 0
else:
position["volume_long_his"] += volume_long
if len(priority) > 1:
if position["volume_long_his"] < 0:
position["volume_long_today"] += position["volume_long_his"]
position["volume_long_his"] = 0
if priority[0] == "T":
position["pos_long_today"] += volume_long
if len(priority) > 1:
if position["pos_long_today"] < 0:
position["pos_long_his"] += position["pos_long_today"]
position["pos_long_today"] = 0
else:
position["pos_long_his"] += volume_long
if len(priority) > 1:
if position["pos_long_his"] < 0:
position["pos_long_today"] += position["pos_long_his"]
position["pos_long_his"] = 0
self._adjust_account(float_profit=float_profit,
position_profit=-close_profit if quote["ins_class"] not in ["OPTION",
"FUTURE_OPTION"] else 0,
close_profit=close_profit, margin=margin, market_value=market_value)
if volume_short: # volume_short > 0: 卖开, < 0:买平
close_profit = 0 if volume_short > 0 else (position["position_price_short"] - position[
"last_price"]) * -volume_short * volume_multiple
float_profit = 0 if volume_short > 0 else position["float_profit_short"] / position[
"volume_short"] * volume_short
# 期权: open_cost_short > 0, open_cost_long > 0
position["open_cost_short"] += volume_short * position[
"last_price"] * volume_multiple if volume_short > 0 else position["open_cost_short"] / position[
"volume_short"] * volume_short
position["position_cost_short"] += volume_short * position[
"last_price"] * volume_multiple if volume_short > 0 else position["position_cost_short"] / position[
"volume_short"] * volume_short
market_value = 0
margin = 0
if quote["ins_class"] in ["OPTION", "FUTURE_OPTION"]:
market_value = -(position["last_price"] * volume_short * volume_multiple)
position["market_value_short"] += market_value
position["market_value"] += market_value
if volume_short > 0:
if quote["option_class"] == "CALL":
margin = (quote["last_price"] + max(0.12 * underlying_quote["last_price"] - max(
quote["strike_price"] - underlying_quote["last_price"], 0),
0.07 * underlying_quote["last_price"])) * quote[
"volume_multiple"]
else:
margin = min(quote["last_price"] + max(0.12 * underlying_quote["last_price"] - max(
underlying_quote["last_price"] - quote["strike_price"], 0), 0.07 * quote["strike_price"]),
quote["strike_price"]) * quote["volume_multiple"]
else:
margin = volume_short * quote["margin"]
position["position_profit_short"] -= close_profit
position["position_profit"] -= close_profit
position["volume_short"] += volume_short
position["open_price_short"] = position["open_cost_short"] / volume_multiple / position["volume_short"] if \
position["volume_short"] else float("nan")
position["position_price_short"] = position["position_cost_short"] / volume_multiple / position[
"volume_short"] if position["volume_short"] else float("nan")
position["float_profit_short"] += float_profit
position["float_profit"] += float_profit
position["margin_short"] += margin
position["margin"] += margin
if priority[0] == "T":
position["volume_short_today"] += volume_short
if len(priority) > 1:
if position["volume_short_today"] < 0:
position["volume_short_his"] += position["volume_short_today"]
position["volume_short_today"] = 0
else:
position["volume_short_his"] += volume_short
if len(priority) > 1:
if position["volume_short_his"] < 0:
position["volume_short_today"] += position["volume_short_his"]
position["volume_short_his"] = 0
if priority[0] == "T":
position["pos_short_today"] += volume_short
if len(priority) > 1:
if position["pos_short_today"] < 0:
position["pos_short_his"] += position["pos_short_today"]
position["pos_short_today"] = 0
else:
position["pos_short_his"] += volume_short
if len(priority) > 1:
if position["pos_short_his"] < 0:
position["pos_short_today"] += position["pos_short_his"]
position["pos_short_his"] = 0
self._adjust_account(float_profit=float_profit,
position_profit=-close_profit if quote["ins_class"] not in ["OPTION",
"FUTURE_OPTION"] else 0,
close_profit=close_profit,
margin=margin, market_value=market_value)
self._send_position(position)
return position["volume_long_his"] - position["volume_long_frozen_his"] >= 0 and position["volume_long_today"] - \
position["volume_long_frozen_today"] >= 0 and \
position["volume_short_his"] - position["volume_short_frozen_his"] >= 0 and position[
"volume_short_today"] - position["volume_short_frozen_today"] >= 0
def _adjust_account(self, commission=0.0, frozen_margin=0.0, frozen_premium=0.0, float_profit=0.0,
position_profit=0.0, close_profit=0.0, margin=0.0, premium=0.0, market_value=0.0):
# 权益 += 持仓盈亏 + 平仓盈亏 - 手续费 + 权利金(收入为负值,支出为正值) + 市值
self._account["balance"] += position_profit + close_profit - commission + premium + market_value
# 可用资金 += 权益 - 冻结保证金 - 保证金 - 冻结权利金 - 市值
self._account[
"available"] += position_profit + close_profit - commission + premium - frozen_margin - margin - frozen_premium
self._account["float_profit"] += float_profit
self._account["position_profit"] += position_profit
self._account["close_profit"] += close_profit
self._account["frozen_margin"] += frozen_margin
self._account["frozen_premium"] += frozen_premium
self._account["margin"] += margin
# premium变量的值有正负，正数表示收入的权利金，负数表示付出的权利金；account["premium"]为累计值
self._account["premium"] += premium
self._account["market_value"] += market_value
self._account["commission"] += commission
self._account["risk_ratio"] = self._account["margin"] / self._account[
"balance"] if self._account["balance"] else 0.0
self._send_account()
return self._account["available"] >= 0
def _send_trade(self, trade):
self._diffs.append({
"trade": {
self._account_id: {
"trades": {
trade["trade_id"]: trade.copy()
}
}
}
})
def _send_order(self, order):
self._diffs.append({
"trade": {
self._account_id: {
"orders": {
order["order_id"]: order.copy()
}
}
}
})
def _send_position(self, position):
self._diffs.append({
"trade": {
self._account_id: {
"positions": {
position["exchange_id"] + "." + position["instrument_id"]: position.copy()
}
}
}
})
def _send_account(self):
self._diffs.append({
"trade": {
self._account_id: {
"accounts": {
"CNY": self._account.copy()
}
}
}
})
def _get_current_timestamp(self):
return int(datetime.strptime(self._current_datetime, "%Y-%m-%d %H:%M:%S.%f").timestamp() * 1e6) * 1000
class TradeExtension():
"""
为持仓、委托单、成交对象添加 合约信息
* 为期权合约相应的持仓、委托单、成交，添加以下字段
+ option_class 代表期权方向 CALL or PUT，非期权合约该处显示为NONE
+ underlying_symbol
+ strike_price
+ expire_rest_days 距离到期日剩余天数
"""
def __init__(self, api):
self._api = api
self._data = Entity() # 交易业务信息截面，需要定于数据原型，使用 Entity 类型 和 _merge_diff
self._data._instance_entity([])
self._new_objs_list = []
self._prototype = {
"trade": {
"*": {
"@": CustomDict(self._api, self._new_objs_list)
}
}
}
self._data_quotes = {} # 行情信息截面，只需要 quotes 数据。这里不需要定义数据原型，使用普通 dict 和 _simple_merge_diff
self._diffs = []
self._all_trade_symbols = set() # 所有持仓、委托、成交中的合约
self._query_symbols = set() # 已经发送合约信息请求 + 已经知道合约信息的合约
self._need_wait_symbol_info = set() # 需要发送合约信息请求 + 不知道合约信息的合约
async def _run(self, api_send_chan, api_recv_chan, md_send_chan, md_recv_chan):
self._logger = self._api._logger.getChild("TradeExtension")
self._api_send_chan = api_send_chan
self._api_recv_chan = api_recv_chan
self._md_send_chan = md_send_chan
self._md_recv_chan = md_recv_chan
self._datetime_state = TqDatetimeState()
self._trading_day_end = None
md_task = self._api.create_task(self._md_handler())
self._pending_peek = False # True 表示收到下游的 peek_message ，并且没有发给过下游回复；False 表示发给过下游回复，没有 pending_peek_message
self._pending_peek_md = False # True 表示发给过上游 peek_message；False 表示对上游没有 pending_peek_message
try:
async for pack in api_send_chan:
if "_md_recv" in pack:
self._pending_peek_md = False
await self._md_recv(pack)
await self._send_diff()
if self._pending_peek and self._pending_peek_md is False:
self._pending_peek_md = True
await self._md_send_chan.send({"aid": "peek_message"})
elif pack["aid"] == "peek_message":
self._pending_peek = True
await self._send_diff()
if self._pending_peek and self._pending_peek_md is False:
self._pending_peek_md = True
await self._md_send_chan.send(pack)
else:
await self._md_send_chan.send(pack)
finally:
md_task.cancel()
async def _md_handler(self):
"""0 接收上游数据包 """
async for pack in self._md_recv_chan:
pack["_md_recv"] = True
await self._api_send_chan.send(pack)
async def _md_recv(self, pack):
""" 处理下行数据包
0 将行情数据和交易数据合并至 self._data
1 生成增量业务截面, 该截面包含期权补充的字段
"""
for d in pack.get("data", {}):
self._datetime_state.update_state(d)
_simple_merge_diff(self._data_quotes, d.get('quotes', {}))
_merge_diff(self._data, {"trade": d.get('trade', {})}, prototype=self._prototype, persist=False, reduce_diff=False)
self._diffs.append(d) # 添加至 self._diff 等待被发送
for obj in self._new_objs_list:
# 新添加的 Position / Order / Trade 节点
if hasattr(obj, '_path') and obj['_path'][2] in ['positions', 'trades', 'orders']:
symbol = f"{obj.get('exchange_id', '')}.{obj.get('instrument_id', '')}"
if symbol not in self._all_trade_symbols:
self._all_trade_symbols.add(symbol)
self._need_wait_symbol_info.add(symbol) # 需要发送合约信息请求
for s in self._need_wait_symbol_info.copy():
if self._data_quotes.get(s, {}).get("price_tick", 0) > 0:
self._need_wait_symbol_info.remove(s) # 需要发送合约信息请求 + 不知道合约信息的合约
# 不知道合约信息 并且未发送请求查询合约信息
unknown_symbols = self._need_wait_symbol_info - self._query_symbols
if len(unknown_symbols) > 0:
self._query_symbols = self._query_symbols.union(unknown_symbols) # 所有发送过ins_query的合约
query_pack = _query_for_quote(list(unknown_symbols))
await self._md_send_chan.send(query_pack)
def _generate_pend_diff(self):
""""
补充期权额外字段
此函数在 send_diff() 才会调用， self._datetime_state.data_ready 一定为 True，
调用 self._datetime_state.get_current_dt() 一定有正确的当前时间
"""
pend_diff = {}
account_keys = list(self._data.get('trade', {}).keys())
objs_keys = ['positions', 'trades', 'orders']
# 如果有新添加的合约, 只填充一次即可
if self._new_objs_list:
pend_diff.setdefault('trade', {k: {o_k: {} for o_k in objs_keys} for k in account_keys})
for obj in self._new_objs_list:
# 新添加的 Position / Order / Trade 节点
if hasattr(obj, '_path') and obj['_path'][2] in objs_keys:
account_key = obj['_path'][1]
obj_key = obj['_path'][2]
item_id = obj['_path'][3]
quote = self._data_quotes.get(f"{obj.get('exchange_id', '')}.{obj.get('instrument_id', '')}", {})
if quote.get('ins_class', '').endswith('OPTION'):
pend_diff_item = pend_diff['trade'][account_key][obj_key].setdefault(item_id, {})
pend_diff_item['option_class'] = quote.get('option_class')
pend_diff_item['strike_price'] = quote.get('strike_price')
pend_diff_item['underlying_symbol'] = quote.get('underlying_symbol')
if quote.get('expire_datetime'):
pend_diff_item['expire_rest_days'] = _get_expire_rest_days(quote.get('expire_datetime'),
self._datetime_state.get_current_dt() / 1e9)
self._new_objs_list.clear()
# 如果有切换交易日，所有合约都需要修改 expire_rest_days
current_dt = self._datetime_state.get_current_dt()
if self._trading_day_end is None or current_dt > self._trading_day_end:
pend_diff.setdefault('trade', {k: {o_k: {} for o_k in objs_keys} for k in account_keys})
for account_key, account_node in self._data.get('trade', {}).items():
for k in objs_keys:
for item_id, item in account_node.get(k, {}).items():
quote = self._data_quotes.get(f"{item['exchange_id']}.{item['instrument_id']}", {})
if quote.get('ins_class', '').endswith('OPTION') and quote.get('expire_datetime'):
pend_diff_item = pend_diff['trade'][account_key][k].setdefault(item_id, {})
# 剩余到期日字段，每天都会更新，每次都重新计算
pend_diff_item['expire_rest_days'] = _get_expire_rest_days(quote.get('expire_datetime'),
current_dt / 1e9)
self._trading_day_end = _get_trading_day_end_time(_get_trading_day_from_timestamp(current_dt))
return pend_diff
async def _send_diff(self):
if self._datetime_state.data_ready and self._pending_peek and self._diffs and len(self._need_wait_symbol_info) == 0:
# 生成增量业务截面, 该截面包含期权补充的字段，只在真正需要给下游发送数据时，才将需要发送的数据放在 _diffs 中
pend_diff = self._generate_pend_diff()
self._diffs.append(pend_diff)
rtn_data = {
"aid": "rtn_data",
"data": self._diffs,
}
self._diffs = []
self._pending_peek = False
await self._api_recv_chan.send(rtn_data)
async def _run(self, api, api_send_chan, api_recv_chan, md_send_chan, md_recv_chan):
"""模拟交易task"""
self._api = api
self._tqsdk_backtest = {} # 储存可能的回测信息
self._tqsdk_stat = {} # 回测结束后储存回测报告信息
self._logger = api._logger.getChild("TqSim") # 调试信息输出
self._api_send_chan = api_send_chan
self._api_recv_chan = api_recv_chan
self._md_send_chan = md_send_chan
self._md_recv_chan = md_recv_chan
self._pending_peek = False
self._diffs = []
self._account = {
"currency": "CNY",
"pre_balance": self._init_balance,
"static_balance": self._init_balance,
"balance": self._init_balance,
"available": self._init_balance,
"float_profit": 0.0,
"position_profit": 0.0, # 期权没有持仓盈亏
"close_profit": 0.0,
"frozen_margin": 0.0,
"margin": 0.0,
"frozen_commission": 0.0,
"commission": 0.0,
"frozen_premium": 0.0,
"premium": 0.0,
"deposit": 0.0,
"withdraw": 0.0,
"risk_ratio": 0.0,
"market_value": 0.0,
"ctp_balance": float("nan"),
"ctp_available": float("nan"),
}
self._positions = {}
self._orders = {}
self._data = Entity()
self._data._instance_entity([])
self._prototype = {
"quotes": {
"#": Quote(self), # 行情的数据原型
}
}
self._quote_tasks = {}
self._all_subscribe = set() # 客户端+模拟交易模块订阅的合约集合
# 是否已经发送初始账户信息
self._has_send_init_account = False
md_task = self._api.create_task(self._md_handler()) # 将所有 md_recv_chan 上收到的包投递到 api_send_chan 上
try:
async for pack in self._api_send_chan:
self._logger.debug("TqSim message received: %s", pack)
if "_md_recv" in pack:
if pack["aid"] == "rtn_data":
self._md_recv(pack) # md_recv 中会发送 wait_count 个 quotes 包给各个 quote_chan
await asyncio.gather(*[quote_task["quote_chan"].join() for quote_task in self._quote_tasks.values()])
await self._send_diff()
elif pack["aid"] == "subscribe_quote":
await self._subscribe_quote(set(pack["ins_list"].split(",")))
elif pack["aid"] == "peek_message":
self._pending_peek = True
await self._send_diff()
if self._pending_peek: # 控制"peek_message"发送: 当没有新的事件需要用户处理时才推进到下一个行情
await self._md_send_chan.send(pack)
elif pack["aid"] == "insert_order":
symbol = pack["exchange_id"] + "." + pack["instrument_id"]
if symbol not in self._quote_tasks:
quote_chan = TqChan(self._api)
order_chan = TqChan(self._api)
self._quote_tasks[symbol] = {
"quote_chan": quote_chan,
"order_chan": order_chan,
"task": self._api.create_task(self._quote_handler(symbol, quote_chan, order_chan))
}
await self._quote_tasks[symbol]["order_chan"].send(pack)
elif pack["aid"] == "cancel_order":
# pack 里只有 order_id 信息，发送到每一个合约的 order_chan, 交由 quote_task 判断是不是当前合约下的委托单
for symbol in self._quote_tasks:
await self._quote_tasks[symbol]["order_chan"].send(pack)
else:
await self._md_send_chan.send(pack)
if self._tqsdk_backtest != {} and self._tqsdk_backtest["current_dt"] >= self._tqsdk_backtest["end_dt"] \
and not self._tqsdk_stat:
# 回测情况下，把 _send_stat_report 在循环中回测结束时执行
await self._send_stat_report()
finally:
if not self._tqsdk_stat:
await self._send_stat_report()
md_task.cancel()
tasks = [md_task]
for symbol in self._quote_tasks:
self._quote_tasks[symbol]["task"].cancel()
tasks.append(self._quote_tasks[symbol]["task"])
await asyncio.gather(*tasks, return_exceptions=True)
class TqStockProfit():
"""
股票盈亏计算模块
* 订阅已有持仓股票合约和行情
* 计算股票持仓与资产的盈亏
"""
def __init__(self, api):
self._api = api
self._data = Entity() # 业务信息截面
self._data._instance_entity([])
self._diffs = []
self._all_subscribe = set()
async def _run(self, api_send_chan, api_recv_chan, md_send_chan,
md_recv_chan):
self._logger = self._api._logger.getChild("TqStockProfit")
self._api_send_chan = api_send_chan
self._api_recv_chan = api_recv_chan
self._md_send_chan = md_send_chan
self._md_recv_chan = md_recv_chan
md_task = self._api.create_task(self._md_handler())
self._pending_peek = False
try:
async for pack in api_send_chan:
if "_md_recv" in pack:
await self._md_recv(pack)
await self._send_diff()
if not self._is_diff_complete():
await self._md_send_chan.send({"aid": "peek_message"})
elif pack["aid"] == "subscribe_quote":
await self._subscribe_quote(
set(pack["ins_list"].split(",")))
elif pack["aid"] == "peek_message":
self._pending_peek = True
await self._send_diff()
if self._pending_peek:
await self._md_send_chan.send(pack)
else:
await self._md_send_chan.send(pack)
finally:
md_task.cancel()
async def _md_handler(self):
"""0 接收上游数据包 """
async for pack in self._md_recv_chan:
pack["_md_recv"] = True
await self._api_send_chan.send(pack)
async def _md_recv(self, pack):
""" 处理下行数据包
0 将行情数据和交易数据合并至 self._data
1 生成增量业务截面, 该截面包含 持仓盈亏和资产盈亏信息
"""
for d in pack.get("data", {}):
if "quotes" in d:
# 行情数据仅仅合并沪深两市的行情数据
stock_quote = {
k: v
for k, v in d.get('quotes').items()
if k.startswith("SSE") or k.startswith("SZSE")
}
_simple_merge_diff(self._data, {"quotes": stock_quote})
if "trade" in d:
_simple_merge_diff(self._data, d)
# 添加至 self._diff 等待被发送
self._diffs.append(d)
# 计算持仓和账户资产的盈亏增量截面
pend_diff = await self._generate_pend_diff()
self._diffs.append(pend_diff)
async def _generate_pend_diff(self):
"""" 盈亏计算 """
pend_diff = {}
pend_diff.setdefault(
'trade', {
k: {
'accounts': {
'CNY': {}
},
'positions': {}
}
for k in self._data.get('trade', {})
})
# 计算持仓盈亏
for account_key in self._data.get('trade', {}):
# 盈亏计算仅仅计算股票账户
if self._data['trade'].get(account_key,
{}).get("account_type",
"FUTURE") == "FUTURE":
continue
for symbol, _ in self._data['trade'][account_key].get(
'positions', {}).items():
await self._subscribe_quote(symbol)
last_price = self._data["quotes"].get(symbol, {}).get(
'last_price', float("nan"))
if not math.isnan(last_price):
diff = self._update_position(account_key, symbol,
last_price)
pend_diff['trade'][account_key]['positions'][symbol] = diff
_simple_merge_diff(
self._data["trade"][account_key]["positions"],
{symbol: diff})
# 当截面完整时, 全量刷新所有账户的资产盈亏
if self._is_diff_complete():
for account_key in self._data.get('trade', {}):
if self._data['trade'].get(account_key,
{}).get("account_type",
"FUTURE") == "FUTURE":
continue
all_position = self._data["trade"][account_key].get(
"positions", {})
pend_diff['trade'][account_key]['accounts']['CNY']['float_profit'] = \
sum([v.get('float_profit', 0) for k, v in all_position.items()])
return pend_diff
async def _send_diff(self):
if self._pending_peek and self._is_diff_complete() and self._diffs:
rtn_data = {
"aid": "rtn_data",
"data": self._diffs,
}
self._diffs = []
self._pending_peek = False
await self._api_recv_chan.send(rtn_data)
async def _subscribe_quote(self, symbols: [set, str]):
"""这里只会增加订阅合约，不会退订合约"""
symbols = symbols if isinstance(symbols, set) else {symbols}
if symbols - self._all_subscribe:
self._all_subscribe |= symbols
await self._md_send_chan.send({
"aid":
"subscribe_quote",
"ins_list":
",".join(self._all_subscribe)
})
def _update_position(self, key, symbol, last_price):
"""更新持仓盈亏"""
diff = {}
position = self._data["trade"][key]["positions"][symbol]
diff["last_price"] = last_price
diff["cost"] = position['cost_price'] * position['volume']
diff["float_profit"] = (last_price -
position['cost_price']) * position['volume']
return diff
def _is_diff_complete(self):
"""当前账户截面是否已经完全处理完整, 即当所有股票的最新价不为空时"""
for account_key in self._data.get('trade', {}):
for symbol, _ in self._data['trade'][account_key].get(
'positions', {}).items():
quote = self._data["quotes"].get(symbol, {})
if math.isnan(quote.get('last_price', float("nan"))):
return False
return True