def start(self, full_codes, shareDict, CTP):
self.shareDict = shareDict
self.Record = future_orderForm()
if not self.isWorking:
self.Record.tablename = self.orderFormTest
self.Rice = interface_Rice()
# 基础配置信息类
self.baseInfo = BaseInfo(full_codes, self.Rice)
# ctp 接口类
self.CTP = CTP if CTP is not None else interface_pyctp(use=self.isCTPUse,userkey=self.ctpuser)
self.CTP.baseInfo = self.baseInfo
# 进程控制类
self.procMap = ProcessMap()
# 设置交易对的收盘时间
self.Rice.setTimeArea(self.baseInfo.nightEnd)
# 按k线类型分拆组，进行K线数据调用
self.groupByKline(full_codes)
# 初始化节点
try:
self.iniNode(full_codes)
except Exception as e:
print('iniNode error', e)
#return
# 子进程启动
full_mCodes = self.baseInfo.mainCodes #主力合约
logger.info(("model_future_detect start: %s " % ",".join(full_mCodes), self.Rice.TimeArea))
self.Rice.startTick(full_mCodes, callback=self.onTick)
def getMaps(self):
orderMap, codes, mCodes = {}, [], []
b = BaseInfo([])
obj = interface_pyctp(baseInfo=b, userkey='zhao')
res = obj.qryPositionDetail()
methodName = 'mZhao'
codes55 = ['J1905', 'Y1905', 'P1905', 'NI1905', 'HC1905']
for r in res:
if r['Volume'] > 0:
s = r['InstrumentID'].decode('gbk')
if s not in orderMap:
m = b.parseMCode(s)
c = b.parseCode(m)
order = {
"symbol":
s,
"code":
m,
"mode":
1 if r['Direction'].decode('gbk') == '0' else -1,
"isopen":
1,
"hands":
r['Volume'],
"price":
r['OpenPrice'],
"method":
methodName,
"createdate":
public.parseTime(r['OpenDate'].decode('utf-8'),
format='%Y%m%d',
style='%Y-%m-%d %H:%M:%S')
}
orderMap[s] = order
else:
orderMap[s]["hands"] += r['Volume']
orders = []
for key in orderMap.keys():
doc = orderMap[key]
if doc['code'] in codes55:
v = doc['hands']
v0 = int(v / 2)
doc['hands'] = v0
orders.append(doc)
# method55
v1 = v - v0
doc1 = copy.deepcopy(doc)
doc1['hands'] = v1
doc1['method'] = 'mZhao55'
orders.append(doc1)
else:
orders.append(doc)
return orders
def start(self, full_codes, Rice=None, CTP=None):
# print(full_codes)
self.Record = future_orderForm()
self.PStatus = future_status()
if not self.isWorking: self.Record.tablename = self.orderFormTest
if self.isTickSave:
self.Tick = mon_tick()
self.Rice = interface_Rice() if Rice is None else Rice
# 基础配置信息类
self.baseInfo = BaseInfo(full_codes, self.Rice)
# ctp 接口类
self.CTP = interface_pyctp(
use=self.isCTPUse, userkey=self.ctpuser) if CTP is None else CTP
self.CTP.baseInfo = self.baseInfo
# 进程控制类
self.procMap = ProcessMap()
# 趋势预测
self.trendMap = self.Record.trendMap(self.relativeMethods)
# 指数期货
self.indexList = [c[0] for c in self.indexCodeList]
# 设置交易对的收盘时间
self.Rice.setTimeArea(self.baseInfo.nightEnd)
if len(self.indexCodeList) > 0:
self.Rice.setIndexList(self.indexCodeList)
# 按k线类型分拆组，进行K线数据调用
self.groupByKline(full_codes)
# 初始化节点
self.iniNode(full_codes)
# 子进程启动
full_mCodes = self.baseInfo.mainCodes # 主力合约
logger.info(("model_future_detect start: %s " % ",".join(full_codes),
self.Rice.TimeArea))
self.Rice.startTick(full_mCodes,
kmap=self.kTypeMap,
timesleep=self.timeInterval,
source=self.sourceType,
callback=self.onTick)
def filterCodes(self):
# 查询每周统计表
Top = train_total()
Top.tablename = self.topTableName
self.future_Map = Top.last_top(num=self.topNumbers, filter=self.topFilter, maxsames=self.sameLimit,
minRate=self.minRate)
num0 = len(self.future_Map)
Record = future_orderForm()
if not self.isWorking: Record.tablename = self.orderFormTest
# 添加top10
codesList = [[c[0], c[1]] for c in self.future_Map]
for map in Record.topCodes(method=self.methodName, toptable=self.topTableName,batchNum=self.batchNum):
if not map[0:2] in codesList:
self.future_Map.append(map)
num1 = len(self.future_Map) - num0
# 添加未平仓，并不再开仓
codesList = [[c[0], c[1]] for c in self.future_Map]
for map in Record.currentOpenCodes(method=self.methodName, batchNum=self.batchNum):
if not map[0:2] in codesList and map[0]:
self.future_Map.append(map[:-1])
self.noneUsed.append(map[0:2])
# 开盘时调仓处理
if self.isCTPUse and self.isAutoAlterPosition:
codes = self.combinCode()
try:
CTP = interface_pyctp(use=True, userkey=self.ctpuser)
state, orders = CTP.alterPosi(codes)
if len(orders)- state >0:
logger.info(('自动调仓完成', len(orders)- state))
Record.insertAll(orders)
except:
pass
logger.info(('总监控币对：', len(self.future_Map), ' 新列表:', num0, ' top10:', num1, ' 未平仓:', len(self.noneUsed)))
logger.info(([n for n in self.future_Map]))
logger.info(('暂停币对:', len(self.noneUsed), [n for n in self.noneUsed]))
def compare(self, type=''):
if type == 'm':
user = '******'
methods = ['mZhao', 'mZhao55']
else:
user = '******'
methods = ['zhao', 'zhao55']
b = BaseInfo([])
Ctp = interface_pyctp(baseInfo=b, userkey=user)
map = Ctp.posMap
Rice = interface_Rice()
Orders = future_orderForm()
posMap = {}
for pos in Orders.posByCode(methods):
posMap[pos[0]] = pos[1]
if pos[0] in map and pos[1] == map[pos[0]][0]:
print('match ', pos, map[pos[0]])
else:
if pos[0] in map:
print('unmatch ', pos, map[pos[0]])
else:
print('no purchase', pos)
# 检查是否调仓
pCode, name = pos[2], pos[0].split("_")[0]
mCode = Rice.getMain([name])[0]
if pCode != mCode:
print(' --------- Need alter position:', pCode, mCode)
for key in map:
if len(key) < 6 and key not in posMap:
print('no record', key, map[key])
print(len(posMap.keys()))
def test():
obj = model_future_zhao()
obj.isCTPUse = True
obj.procMap = ProcessMap()
obj.Rice = interface_Rice()
Rec = future_orderForm()
openMap = Rec.getOpenMap('zhao', codes=['RB'], batchNum=1)
obj.CTP = interface_pyctp(use=obj.isCTPUse, userkey=obj.ctpuser)
obj.CTP.baseInfo = BaseInfo(['RB'], obj.Rice)
print('------------', openMap)
key, obj.uid = 'RB', 'RB_40_2.0_1_0_zhao'
obj.procMap.setIni(obj.uid, openMap[key], status=0)
doc = {
'createdate': '2019-06-25 09:40:27',
'code': 'RB1910',
'name': 'RB',
'symbol': 'rb1910',
'price': 3962.0,
'vol': 30.0,
'hands': 1.0,
'ini_hands': 1.0,
'ini_price': 3962.0,
'mode': -2,
'isopen': 0,
'isstop': 1,
'fee': 1.1885999699734384,
'income': 0,
'rel_price': 3962.0,
'stop_price': 3650.0,
'batchid': '359b8070-96ea-11e9-ab77-382c4a6d1b55',
'status': 0,
'method': 'zhao',
'uid': 'RB_40_2.0_1_0_zhao',
'istoday': 1
}
doc1 = {
'createdate': '2019-06-25 10:02:27',
'code': 'EG1909',
'name': 'EG',
'symbol': 'eg1909',
'price': 4552.0,
'vol': 10.0,
'hands': 1,
'ini_hands': 1,
'ini_price': 4552.0,
'mode': 0,
'isopen': 0,
'isstop': 0,
'fee': 9.0,
'income': 0,
'rel_price': 4552.0,
'stop_price': 0,
'batchid': '',
'status': 0,
'method': 'zhao',
'uid': 'EG_40_2.0_1_0_zhao'
}
obj.setIncome([doc], 0)
obj.record([doc], -2)
def alterPosition(self, Record, openCodes):
# 开盘时CTP调仓处理
Rice = interface_Rice()
if self.isCTPUse and self.isAutoAlterPosition:
openDocs = Record.getOpenMap(self.methodName,
codes=[],
batchNum=self.batchNum)
try:
CTP = interface_pyctp(use=True, userkey=self.ctpuser)
state, orders = CTP.alterPosi(openDocs)
if len(orders) - state > 0:
logger.info(('自动调仓完成', len(orders) - state))
orders = self.setAlterIncome(orders, openCodes)
Record.insertAll(orders)
except:
logger.info(('alterPosition error:', self.methodName))
elif self.isAutoAlterPosition:
# 非CTP调仓
if openCodes is not None:
openDocs = Record.getOpenMap(self.methodName,
codes=[],
batchNum=self.batchNum)
orders, d0, d1 = [], {}, {}
for key in openDocs:
# 查询最新主力代码
doc, pCode = openDocs[key][0], openDocs[key][0]['code']
mCode = Rice.getMain([key])[0]
if mCode != pCode:
print('start:', pCode, mCode)
# 查询最新价格，调仓前和调仓后
s = Rice.snap([pCode, mCode])
if s is None: continue
price0 = s[pCode]['bids'][0] if doc['mode'] > 0 else s[
pCode]['asks'][0]
price1 = s[mCode]['bids'][0] if doc['mode'] < 0 else s[
mCode]['asks'][0]
d0 = copy.deepcopy(doc)
d0['mode'] = -doc['mode']
d0['isopen'] = 0
d0['price'] = d0['rel_price'] = price0
sign = np.sign(-d0["mode"])
d0["income"] = round(
sign * (price0 - doc["price"]) * d0["vol"] -
doc["fee"], 2)
del d0['id']
# 按原状态买入
d1 = copy.deepcopy(doc)
d1['code'] = mCode
d1['status'] = d0['status'] = 4
d0['method'] = d1['method'] = self.methodName
d1['rel_price'] = d1['price'] = price1
d0['createdate'] = d1[
'createdate'] = public.getDatetime()
d1['batchid'] = uuid.uuid1()
del d1['id']
orders.append(d0)
orders.append(d1)
logger.info(('自动调仓完成：', doc['code'], mCode, 4))
if len(orders) > 0:
Record.insertAll(orders)
pass