def initialize_deal_data(cls, event):
# 代码编号相关
# self.trade_id = Empty.EMPTY_STRING.value # 成交编号
# self.instrument = Empty.EMPTY_STRING.value # 合约代码
# self.exchange = Empty.EMPTY_STRING.value # 交易所代码
# self.order_id = Empty.EMPTY_STRING.value # 订单编号
# 成交相关
# self.deal_price = Empty.EMPTY_FLOAT.value # 成交价格
# self.direction = Empty.EMPTY_STRING.value # 成交方向
# self.offset = Empty.EMPTY_STRING.value # 成交开平
# self.deal_volume = Empty.EMPTY_INT.value # 成交数量
# self.deal_time = Empty.EMPTY_STRING.value # 成交时间
if Environment.current_order_data.status == Status.NOT_TRADED.value:
Environment.current_deal_data.account_id = Environment.current_order_data.account_id
Environment.current_deal_data.trade_id = generate_random_id(
topic=ID.DEAL_ID.value)
Environment.current_deal_data.instrument = Environment.current_order_data.instrument
Environment.current_deal_data.exchange = Environment.current_order_data.exchange
Environment.current_deal_data.order_id = Environment.current_order_data.order_id
Environment.current_deal_data.deal_price = Environment.current_order_data.order_price
Environment.current_deal_data.offset = Environment.current_order_data.offset
Environment.current_deal_data.deal_volume = Environment.current_order_data.total_volume
Environment.current_deal_data.deal_time = Environment.current_order_data.order_time
def run(self, save_trade_record=False):
self.initialize()
# 初始化 account_data
if self.account:
for account in self.account:
Environment.current_account_data = AccountData()
Environment.current_account_data.account_id = generate_random_id.generate_random_id(account)
Environment.current_account_data.total_balance = self.capital[account]
Environment.current_account_data.available = self.capital[account]
# Environment.logger(Environment.current_account_data.account_id, Environment.current_account_data.available)
Environment.bar_account_data_list.append(Environment.current_account_data)
# if self.run_mode == RunMode.TRADE.value:
# self.end = self._get_data.get_end_time_tag(benchmark=self.benchmark, period=Period.DAILY.value)
# 缓存数据开关，和bar_index的计算
if self.period == Period.DAILY.value:
self.daily_data_cache = True
elif self.period == Period.ONE_MIN.value:
self.one_min_data_cache = True
#
security_list = copy.copy(self.universe)
security_list = list(set(security_list))
if self._daily_data_cache:
Environment.daily_data = self._get_data.cache_all_stock_data(dividend_type=self.rights_adjustment)
Environment.index_daily_data = self._get_data.cache_all_index_data()
if self.one_min_data_cache:
Environment.one_min_data = self._get_data.cache_all_stock_data(period=Period.ONE_MIN.value)
if self.period == Period.DAILY.value:
Environment.benchmark_index = [i for i in Environment.index_daily_data['close'][self.benchmark].index
if self.start <= i <= self.end]
elif self.period == Period.ONE_MIN.value:
Environment.benchmark_index = [data_transfer.date_to_millisecond(str(int(i)), '%Y%m%d') for i in
Environment.one_min_data['open'].ix[self.benchmark].index
if i >= data_transfer.date_str_to_int(self.start)]
self.bar_index = 0
while True:
try:
# Environment.logger(self.time_tag, Environment.benchmark_index)
self.time_tag = Environment.benchmark_index[self.bar_index]
except IndexError:
if self.run_mode == RunMode.BACKTESTING.value:
if save_trade_record:
run_backtesting_analysis_engine(self)
break
# elif self.run_mode == RunMode.TRADE.value:
# 读取最新tick, 更新最新的分钟或者日线
# if 读取最新tick, 更新最新的分钟或者日线 == done:
# daily_data.append(new_day_data)
# self.bar_index += 1
# benchmark_index.append(new_day_time_tag)
else:
run_bar_engine(self)
def order_shares(self,
stock_code="",
shares=1,
price_type=PriceType.LIMIT.value,
order_price=None,
account_id=""):
"""下单函数"""
# 代码编号相关
Environment.current_order_data.account_id = account_id
Environment.current_order_data.order_id = generate_random_id(
ID.ORDER_ID.value)
stock_code_split = stock_code.split('.')
Environment.current_order_data.instrument = stock_code_split[0]
Environment.current_order_data.exchange = stock_code_split[1]
# 报单相关
Environment.current_order_data.price_type = price_type
Environment.current_order_data.order_price = order_price
if shares > 0:
Environment.current_order_data.offset = Offset.OPEN.value
else:
Environment.current_order_data.offset = Offset.CLOSE.value
# Environment.logger.info("shares < 0"*5, Environment.current_order_data.offset)
Environment.current_order_data.total_volume = abs(shares)
Environment.current_order_data.deal_volume = 0
Environment.current_order_data.status = Status.NOT_REPORTED.value
# CTP相关
Environment.current_order_data.order_time = self._strategy.time_tag
for account_data in Environment.bar_account_data_list:
if account_data.account_id[:-9] == account_id:
Environment.current_order_data.session_id = account_data.account_id
run_mission_engine(strategy=self._strategy)
if self._strategy.run_mode == RunMode.BACKTESTING.value:
if Environment.is_send_order:
run_broker_engine(strategy=self._strategy)
elif self._strategy.run_mode == RunMode.TRADE.value:
"""过真实的交易，只做send_order"""
#send_order()
pass
def run(self, save_trade_record=False):
self.initialize()
# 初始化 account_data
if self.account:
for account in self.account:
Environment.current_account_data = AccountData()
Environment.current_account_data.account_id = generate_random_id.generate_random_id(
account)
Environment.current_account_data.total_balance = self.capital[
account]
Environment.current_account_data.available = self.capital[
account]
Environment.bar_account_data_list.append(
Environment.current_account_data)
if self.run_mode == RunMode.TRADE.value:
self.end = self._get_data.get_end_timetag(
benchmark=self.benchmark, period=Period.DAILY.value)
# 缓存数据开关，和bar_index的计算
if self.period == Period.DAILY.value:
self.daily_data_cache = True
elif self.period == Period.ONE_MIN.value:
self.one_min_data_cache = True
stock_list = copy.copy(self.universe)
stock_list.append(self.benchmark)
stock_list = list(set(stock_list))
if self._daily_data_cache:
Environment.daily_data = self._get_data.get_all_market_data(
stock_code=stock_list,
field=["open", "high", "low", "close", "volumn", "amount"],
end=self.end,
period=Period.DAILY.value)
if self.one_min_data_cache:
Environment.one_min_data = self._get_data.get_all_market_data(
stock_code=stock_list,
field=["open", "high", "low", "close", "volumn", "amount"],
end=self.end,
period=Period.ONE_MIN.value)
if self.period == Period.DAILY.value:
Environment.benchmark_index = [
data_transfer.date_to_millisecond(str(int(i)), '%Y%m%d') for i
in Environment.daily_data["open"].ix[self.benchmark].index
if i >= data_transfer.date_str_to_int(self.start)
]
elif self.period == Period.ONE_MIN.value:
Environment.benchmark_index = [
data_transfer.date_to_millisecond(str(int(i)), '%Y%m%d') for i
in Environment.one_min_data["open"].ix[self.benchmark].index
if i >= data_transfer.date_str_to_int(self.start)
]
# print(self.benchmark, self.start, self.end, self.period, self.rights_adjustment, self.run_mode)
self.bar_index = 0
while True:
try:
self.timetag = Environment.benchmark_index[self.bar_index]
except IndexError:
if self.run_mode == RunMode.BACKTESTING.value:
if save_trade_record:
run_backtesting_analysis_engine(self)
break
elif self.run_mode == RunMode.TRADE.value:
'''读取最新tick, 更新最新的分钟或者日线
if 读取最新tick, 更新最新的分钟或者日线 == done:
daily_data.append(new_day_data)
self.bar_index += 1
benchmark_index.append(new_day_timetag)
'''
pass
else:
date = int(
data_transfer.millisecond_to_date(millisecond=self.timetag,
format="%Y%m%d"))
run_bar_engine(self)
@abstractmethod
def initialize(self):
pass
@abstractmethod
def handle_bar(self, event):
pass