class QuantumJumpAlgorithm1(AlgorithmBase):
def __init__(self, log):
super().__init__(log)
self.log = log
self.reference_price = 0
self.buy_limit = 0
self.loss_limit = 0
self.situation_processing = False
self.inverse = None
self.purchase = Order()
self.sale = Order()
def start(self, broker, capital, interval, loss_cut, fee):
self.inverse = AlgorithmItem('252670')
self.inverse.set_broker(broker)
self.inverse.set_log(self.log)
self.inverse.fee_ratio = fee
self.broker = broker
self.capital = capital
self.interval = interval
self.loss_cut = loss_cut
self.fee = fee
self.is_running = True
# Charting & Monitoring
broker.go_chart(self.inverse.item_code)
broker.demand_monitoring_items_info(self.inverse)
# Open Orders cancellation
open_orders = list(broker.open_orders.values())
for order in open_orders:
self.broker.cancel(order)
self.post('STARTED')
def stop(self):
if not self.is_running:
return
self.post('STOPPED')
# Open Orders cancellation
open_orders = list(self.broker.open_orders.values())
for order in open_orders:
self.broker.cancel(order)
# Init Fields
self.orders.clear()
self.broker = None
self.inverse = None
self.is_running = False
self.capital = 0
self.interval = 0
self.loss_cut = 0
self.fee = 0
self.total_profit = 0
self.net_profit = 0
self.start_time_text = ''
self.start_time = 0
self.start_price = 0
self.reference_price = 0
self.buy_limit = 0
self.loss_limit = 0
self.situation_processing = False
self.previous_situation = ''
self.previous_msg = ()
def resume(self):
self.is_running = True
def halt(self):
self.is_running = False
def set_reference(self, price):
self.reference_price = price
self.buy_limit = self.reference_price - self.interval
self.loss_limit = self.buy_limit - self.loss_cut
self.episode_count += 1
self.purchase_episode = self.get_episode_purchase_number()
self.sale_episode = self.get_episode_sale_number()
def shift_reference_up(self):
self.set_reference(self.reference_price + self.loss_cut)
def shift_reference_down(self):
self.set_reference(self.reference_price - self.loss_cut)
def update_transaction_info(self, item):
# First time work
if not self.start_price:
self.start_time_text = datetime.now().strftime('%H:%M')
self.start_time = self.to_min_count(self.start_time_text)
self.start_price = item.current_price
reference_price = item.current_price + self.loss_cut
self.set_reference(reference_price)
self.inverse.buy(self.buy_limit,
self.capital // item.current_price)
return
# Block during situation processing
if self.situation_processing:
return
# Trade according to current price
if item.current_price > self.reference_price:
self.post('Situation 1')
self.situation_processing = True
self.inverse.cancel_purchases()
self.inverse.clear_sales()
self.inverse.init_purchase()
self.inverse.init_sale()
self.shift_reference_up()
elif item.current_price < self.buy_limit:
self.post('Situation 4')
self.situation_processing = True
self.inverse.cancel_sales()
self.inverse.clear_purchases()
self.inverse.init_purchase()
self.inverse.init_sale()
self.shift_reference_down()
def update_execution_info(self, order):
# Inverse update execution
self.inverse.update_execution_info(order)
# Order processing
executed_amount = abs(order.executed_amount)
if order.order_position in (PURCHASE, CORRECT_PURCHASE):
# Algorithm history update
if self.purchase.order_price != order.order_price:
self.purchase = copy.deepcopy(order)
self.purchase.order_amount = 0
self.purchase.open_amount = 0
self.purchase.executed_time = order.executed_time
self.purchase.episode_number = self.purchase_episode
self.purchase.order_number = order.order_number
self.purchase.order_state = order.order_state
self.purchase.executed_price_avg = order.executed_price_avg
if order.order_state == RECEIPT:
self.purchase.order_amount += order.order_amount
self.purchase.open_amount += order.open_amount
elif order.order_state == ORDER_EXECUTED:
self.purchase.open_amount -= executed_amount
self.purchase.executed_amount_sum += executed_amount
self.orders[self.purchase_episode] = self.purchase
# Order
if order.executed_amount:
self.inverse.sell(self.reference_price, order.executed_amount)
elif order.order_position in (SELL, CORRECT_SELL):
# Algorithm history update
if self.sale.order_price != order.order_price:
self.sale = copy.deepcopy(order)
self.sale.order_amount = 0
self.sale.open_amount = 0
self.sale.executed_time = order.executed_time
self.sale.episode_number = self.sale_episode
self.sale.order_number = order.order_number
self.sale.order_state = order.order_state
self.sale.executed_price_avg = order.executed_price_avg
self.sale.profit += order.profit
if order.order_state == RECEIPT:
self.sale.order_amount += order.order_amount
self.sale.open_amount += order.open_amount
elif order.order_state == ORDER_EXECUTED:
self.sale.open_amount -= executed_amount
self.sale.executed_amount_sum += executed_amount
self.orders[self.sale_episode] = self.sale
# Order
if order.executed_amount:
self.inverse.buy(self.buy_limit, order.executed_amount)
self.total_profit += order.profit
self.total_fee += order.transaction_fee
self.net_profit += order.net_profit
elif order.order_position == CANCEL_PURCHASE and order.order_state == CONFIRMED:
if not self.inverse.purchases:
order_amount = self.capital // order.current_price - self.inverse.holding_amount
self.inverse.buy(self.buy_limit, order_amount)
self.situation_processing = False
elif order.order_position == CANCEL_SELL and order.order_state == CONFIRMED:
if not self.inverse.sales:
self.inverse.sell(self.reference_price,
self.inverse.holding_amount)
self.situation_processing = False
self.signal('algorithm_update')
self.broker.draw_chart.start()
def display_situation(self, current_situation):
if current_situation != self.previous_situation:
self.post(current_situation)
self.previous_situation = current_situation
def post(self, *args):
if args != self.previous_msg:
self.debug('\033[93mALGORITHM', *args, '\033[97m')
self.previous_msg = args
def post(self, *args):
self.debug('\033[93mALGORITHM', *args, '\033[97m')
class Algorithm1(WookUtil, WookLog):
def __init__(self, log):
WookLog.custom_init(self, log)
self.leverage = None
self.balance_item = None
self.broker = None
self.signal = None
self.orders = dict()
self.log = log
self.is_running = False
self.capital = 0
self.interval = 0
self.loss_cut = 0
self.start_time_text = ''
self.start_time = 0
self.start_price = 0
self.reference_price = 0
self.buy_limit = 0
self.loss_limit = 0
self.sell_off_ordered = False
self.previous_situation = ''
self.previous_msg = ()
def start(self, broker, capital, interval, loss_cut):
# self.leverage = AlgorithmItem('122630')
self.leverage = AlgorithmItem('252670')
self.leverage.set_broker(broker)
self.leverage.set_log(self.log)
self.balance_item = BalanceItem()
self.broker = broker
self.capital = capital
self.interval = interval
self.loss_cut = loss_cut
self.is_running = True
# Charting & Monitoring
broker.go_chart(self.leverage.item_code)
broker.demand_monitoring_items_info(self.leverage)
# Open Orders cancellation
for order in broker.open_orders.values():
self.broker.cancel(order)
def stop(self):
if not self.is_running:
return
# Open Orders cancellation
for order in self.broker.open_orders.values():
self.broker.cancel(order)
# Init Fields
self.orders.clear()
self.broker = None
self.leverage = None
self.balance_item = None
self.is_running = False
self.capital = 0
self.interval = 0
self.loss_cut = 0
self.start_time_text = ''
self.start_time = 0
self.start_price = 0
self.reference_price = 0
self.buy_limit = 0
self.loss_limit = 0
self.sell_off_ordered = False
self.previous_situation = ''
self.previous_msg = ()
def resume(self):
self.is_running = True
def halt(self):
self.is_running = False
def set_reference(self, price):
self.reference_price = price
self.buy_limit = self.reference_price - self.interval
self.loss_limit = self.buy_limit - self.loss_cut
def shift_reference_up(self):
self.set_reference(self.reference_price + self.interval)
def shift_reference_down(self):
self.set_reference(self.reference_price - self.interval)
def update_transaction_info(self, item):
# First time work
if not self.start_price:
self.start_time_text = datetime.now().strftime('%H:%M')
self.start_time = self.to_min_count(self.start_time_text)
self.start_price = item.current_price
reference_price = wmath.get_bottom(item.current_price,
self.interval)
self.set_reference(reference_price)
self.leverage.buy(self.buy_limit,
self.capital // item.current_price)
return
# Trade
if self.sell_off_ordered:
msg = ('sale.ordered:' + str(self.leverage.episode_sale.ordered),
'open_amount:' +
str(self.leverage.episode_sale.open_amount))
self.post('(SELL_OFF)', *msg)
if self.leverage.episode_sale.ordered or self.leverage.episode_sale.open_amount:
return
self.sell_off_ordered = False
if item.current_price >= self.reference_price + self.interval:
self.display_situation('Situation 1')
self.shift_reference_up()
self.leverage.correct_purchase(self.buy_limit)
elif item.current_price >= self.buy_limit + self.loss_cut:
self.display_situation('Situation 2')
self.leverage.sell_out(self.reference_price)
elif item.current_price <= self.loss_limit:
self.display_situation('Situation 4')
self.sell_off_ordered = True
self.leverage.sell_off_deprecated()
self.shift_reference_down()
elif item.current_price <= self.reference_price - self.loss_cut:
self.display_situation('Situation 3')
self.leverage.buy_up()
def update_execution_info(self, order):
# Leverage update execution
self.leverage.update_execution_info(order)
# Buy after sale completed
if order.order_position in (
SELL, CORRECT_SELL) and order.order_state == ORDER_EXECUTED:
self.signal('total_profit')
if not order.open_amount and not self.leverage.episode_purchase.open_amount:
self.leverage.buy_over(self.buy_limit,
self.capital // order.current_price)
# Order history
if order.order_position in (PURCHASE, CORRECT_PURCHASE):
self.orders[order.order_number] = order
elif order.order_position in (SELL, CORRECT_SELL):
self.orders[order.order_number] = order
if order.order_position in (CORRECT_PURCHASE, CORRECT_SELL
) and order.order_state == CONFIRMED:
del self.orders[order.original_order_number]
elif order.order_position in (CANCEL_PURCHASE, CANCEL_SELL
) and order.order_state == CONFIRMED:
original_order = self.orders[order.original_order_number]
if not original_order.executed_amount_sum:
del self.orders[order.original_order_number]
def update_balance_info(self, item):
self.balance_item = item
def display_situation(self, current_situation):
if current_situation != self.previous_situation:
self.post(current_situation)
self.previous_situation = current_situation
def post(self, *args):
if args != self.previous_msg:
self.debug('\033[93mALGORITHM', *args, '\033[97m')
self.previous_msg = args