def dingdang(data, stock, stockname):
strategy = '叮当三号'
bars = {stock: PytdxToAwpBar(data)}
# print(bars[stock])
O = get_k_line_column(bars[stock], ohlc='open')
H = get_k_line_column(bars[stock], ohlc='high')
L = get_k_line_column(bars[stock], ohlc='low')
C = get_k_line_column(bars[stock], ohlc='close')
uperband = HHV(H, 23)
lowerband = LLV(L, 23)
dingdangline = MID(uperband, lowerband)
signalList = cross(C, dingdangline)
buysigdetail = CROSS(C, dingdangline)
sellsigdetail = CROSS(dingdangline, C)
try:
knum = len(H)
signalall = buysigdetail.count(True) * 2
avsigp = int(knum / signalall)
if buysigdetail[-1]:
print(stockname, '发出买入信号。。。')
ttsengine.say(strategy + stockname + '发出买入信号。')
ttsengine.runAndWait()
# playsound('2.wav')
print(stock, '最近的买入信号:', avsigp, buysigdetail[(knum - avsigp):])
# sleep(1)
sleep(2)
elif sellsigdetail[-1]:
print(stockname, '发出卖出信号。。。')
ttsengine.say(strategy + stockname + '发出卖出信号。')
ttsengine.runAndWait()
# playsound('Alarm04.wav')
print(stock, '最近的卖出信号:', avsigp, sellsigdetail[(knum - avsigp):])
# sleep(1)
sleep(2)
print('-' * 50)
except:
pass
def dingdangNo6():
st = time.time()
lastsig = ''
initFund = 500000
fundNow = initFund
fundTemp = fundNow
pp = 0
fundList = list()
initFundReal = 500000
fundNowReal = initFundReal
fundTempReal = fundNowReal
sigAllReal = list()
PPReal = 0
fundListReal = list()
skprofitReal = 0
bkprofitReal = 0
profitlist = []
losslist = []
Signals = list()
skprofit = 0
bkprofit = 0
bkloss = 0
skloss = 0
feeRatio = 0.0065
instMultifier = 10
signalslist = list()
while True:
if not q_depth_market_data.empty():
tick = q_depth_market_data.get()
tickToBar(tick, granularity)
# dayopen = tick.OpenPrice
# dayhigh = tick.HighestPrice
# daylow = tick.LowestPrice
# dayavp = int(tick.AveragePrice / 10)
# BB = (tick.LastPrice - daylow) / (dayhigh - daylow) if dayhigh != daylow else 0.5
# siglast = min(be_apart_from(buysigdetail), be_apart_from(sellsigdetail))
# quote_info = "合约：{0},当前价格:{price},时间:{ttime},日内振幅：{1},价格位置：{2} 做多信号：{3},做空信号：{4}"
# # print quote_info.format(tick.InstrumentID,dayhigh - daylow,BB, buysigdetail.count(True),sellsigdetail.count(True), price=tick.LastPrice, ttime = tick.UpdateTime)
# quote_info1 = "合约：{instid},日内振幅：{zhenfu},价格位置：{BB:.3f} 做多信号：{buynum},做空信号：{sellnum},信号距离:{siglast}"
# info= {'instid': tick.InstrumentID,
# 'zhenfu' : dayhigh - daylow,
# 'buynum' : buysigdetail.count(True),
# 'sellnum' : sellsigdetail.count(True),
# 'BB':BB,
# 'siglast': siglast}
# # print quote_info1.format(**info)
# knum = len(H)
# signalall = buysigdetail.count(True)
# avsigp = knum / signalall
# buysigprice = C[len(C) - be_apart_from(buysigdetail)]
# sellsigprice = C[len(C) - be_apart_from(sellsigdetail)]
# sellsigprice1 = C[-1] if sellsigdetail[-1] else 0 # 另外一种方法。
#
# lastsig = 'SK' if be_apart_from(buysigdetail) > be_apart_from(sellsigdetail) else 'BK'
if not q_signals.empty():
lastsigdict = q_signals.get()
allSignal.append(lastsigdict)
print(lastsigdict)
# O = get_k_line_column(bars, inst, granularity, ohlc='open')
# H = get_k_line_column(bars, inst, granularity, ohlc='high')
# L = get_k_line_column(bars, inst, granularity, ohlc='low')
# C = get_k_line_column(bars, inst, granularity, ohlc='close')
#
# lastk = get_last_k_line(bars, 'rb1905', 780)
# print lastk
#
# uperband = HHV(H, 23)
# lowerband = LLV(L, 23)
# dingdangline = MID(uperband, lowerband)
# signalList = cross(C, dingdangline)
# buysigdetail = CROSS(C, dingdangline)
# sellsigdetail = CROSS(dingdangline, C)
#
# knum = len(H)
#
# signalall = buysigdetail.count(True)
#
# avsigp = knum / signalall if signalall > 0 else knum
#
# # print(buysigdetail.count(True))
# # print(sellsigdetail.count(True))
# print u'叮 当: ', dingdangline[(knum - avsigp):]
# print u'收盘价: ', C[(knum - avsigp):]
# # print('buy signal:', avsigp, buysigdetail[(knum - avsigp):])
# # print('sell signal:', avsigp, sellsigdetail[(knum - avsigp):])
if not q_bar.empty():
bar = q_bar.get()
bars[barinterval].append(bar)
# with open(bardatafile, 'a') as f:
# f.writelines(json.dumps(bar, ensure_ascii=False) + '\n')
# print len(bars[barinterval])
ed = time.time()
lastk = get_last_k_line(bars, inst, granularity)
print(lastk, len(bars[barinterval]), ed-st)
O = get_k_line_column(bars, inst, granularity, ohlc='open')
H = get_k_line_column(bars, inst, granularity, ohlc='high')
L = get_k_line_column(bars, inst, granularity, ohlc='low')
C = get_k_line_column(bars, inst, granularity, ohlc='close')
dt = lastk['date_time']
HH = H[-50:]
LL = L[-50:]
CC = C[-50:]
uperband = HHV(HH, 23)
lowerband = LLV(LL, 23)
dingdangline = MID(uperband, lowerband)
if cross2(C[-2:], dingdangline[-2:]):
signalslist.append('bk')
elif cross2(dingdangline[-2:], C[-2:], ):
signalslist.append('sk')
else:
signalslist.append(None)
signalList = cross(CC, dingdangline)
buysigdetail = CROSS(CC, dingdangline)
sellsigdetail = CROSS(dingdangline, CC)
knum = len(H)
signalall = signalslist.count('bk') + signalslist.count('sk') + signalslist.count('bp') + signalslist.count(
'sp')
# signalall1 = buysigdetail.count(True) + sellsigdetail.count(True)
#
# avsigp = knum / signalall if signalall > 0 else knum
# print('buysig all:',buysigdetail.count(True))
# print('sellsig all:', sellsigdetail.count(True))
# print('buy signal:', avsigp, buysigdetail[(knum - avsigp):])
# print('sell signal:', avsigp, sellsigdetail[(knum - avsigp):])
# print min(be_apart_from(buysigdetail), be_apart_from(sellsigdetail))
# print be_apart_from(sellsigdetail)
# pp= getPositionRatio(buysigdetail)
if buysigdetail[-1]:
fundTemp += skprofit * pp * instMultifier - (pp * instMultifier * C[-1] * 1.11 / 10000) * 2
fundratio = getPositionRatio(sellsigdetail)
fundToUse = fundratio * fundTemp
unitPrice = C[-1]*10*0.15
pp = int(fundToUse/unitPrice)
if skprofit >0:
profitlist.append(skprofit)
else:
losslist.append(skprofit)
bkprofits = []
signal = {'date_time': dt, 'signaltype': 'BK', 'signalprice': C[-1], 'pos': pp}
q_signals.put(signal)
Signals.append(signal)
# with open('allsignal.json', 'a') as f:
# f.writelines(json.dumps(signal, ensure_ascii=False) + '\n')
order_price = C[-1]
# td.PrepareOrder(tick.InstrumentID, b, k, pp, order_price)
# log.info(log.printfNow() + u'下多单:' + str(pp) + ',orderprice:'+str(order_price))
print('buy order issued.')
lastsig = 'BK'
buysigprice = C[-1]
print('buysigprice', buysigprice)
if sellsigdetail[-1]:
fundTemp += bkprofit * pp * instMultifier - (pp * instMultifier * C[-1] * 1.11 / 10000) * 2
fundratio = getPositionRatio(buysigdetail)
fundToUse = fundTemp * fundratio
unitPrice = C[-1] * 10 * 0.15
pp = int(fundToUse / unitPrice)
if bkprofit >0:
profitlist.append(bkprofit)
else:
losslist.append(bkprofit)
skprofits = []
signal = {'date_time': dt, 'signaltype': 'SK', 'signalprice': C[-1], 'pos': pp}
q_signals.put(signal)
Signals.append(signal)
# with open('allsignal.json', 'a') as f:
# f.writelines(json.dumps(signal, ensure_ascii=False) + '\n')
# order_price = tick.LastPrice
#
# # TODO 暂时没有处理平昨仓和今仓,待处理... 应该有个完整的策略持仓管理模块
#
# td.PrepareOrder(tick.InstrumentID, s, p, pp, order_price)
#
# log.info(log.printfNow() + u'平多单:' + str(pp) + ',orderprice:'+str(order_price))
# print('close order issued...')
lastsig = 'SK'
sellsigprice = C[-1]
print('sellsigprice', sellsigprice)
if lastsig == 'BK':
# print tick.LastPrice, buysigprice
bkprofit = C[-1] - buysigprice
print('多单盈利价差', bkprofit)
bkprofits.append(bkprofit)
bkpmax = max(bkprofits) if bkprofits else 0
bkpmin = min(bkprofits) if bkprofits else 0
print('当前信号:', lastsig, '信号价:', buysigprice, '当前价: ', C[
-1], '仓位', pp, '盈利价差:', bkprofit, '最大:', bkpmax, '最小', bkpmin, '持续周期:', be_apart_from(
buysigdetail), '理论持仓', pp)
sigprofit_info.append([lastsig, bkpmax, bkpmin])
# print('buy signal:', avsigp, buysigdetail[(knum - avsigp):], pp)
if len(bkprofits) >= 2:
fundNow = fundTemp + (bkprofits[-1]-bkprofits[-2]) * pp * instMultifier
elif lastsig == 'SK':
skprofit = sellsigprice - C[-1]
skprofits.append(skprofit)
skpmax = max(skprofits) if skprofits else 0
skpmin = min(skprofits) if skprofits else 0
# print u'当前信号:', lastsig, u'信号价：', sellsigprice, u'当前价: ', C[
# -1], u'盈利价差:', skprofit, u'最大:', skpmax, u'最小', skpmin, u'持续周期:', be_apart_from(sellsigdetail)
print('当前信号:', lastsig, '信号价:', sellsigprice, '当前价: ', C[
-1], '仓位', pp, '盈利价差:', skprofit, '最大:', skpmax, '最小', skpmin, '持续周期:', be_apart_from(
buysigdetail), '理论持仓', pp)
sigprofit_info.append([lastsig, max(skprofits), min(skprofits)])
# print('sell signal:', avsigp, sellsigdetail[(knum - avsigp):], pp)
if len(skprofits) >= 2:
fundNow = fundTemp + (skprofits[-1]-skprofits[-2]) * pp * instMultifier
fundList.append(fundNow)
fundListMa = MA(fundList, 23)
getinlist = CROSS(fundList, fundListMa)
getoutlist = CROSS(fundListMa, fundList)
# print getinlist.count(True)
if getinlist[-1]:
sigReal = {'date_time':dt, 'signaltype':signal['signaltype'], 'signalprice': C[-1], 'pos':signal['pos']}
# if len(sigAllReal)>1 and sigAllReal[-1]['signaltype']==sigReal['signalprice']:
# continue
# else:
sigAllReal.append(sigReal)
elif getoutlist[-1]:
sigReal = {'date_time': dt, 'signaltype': signal['signaltype'], 'signalprice': C[-1],
'pos': signal['pos']}
# if len(sigAllReal)>1 and sigAllReal[-1]['signaltype']==sigReal['signalprice']:
# continue
# else:
sigAllReal.append(sigReal)
sigNow = sigAllReal[-1]
sigNow1 = sigReal
if sigNow['signaltype'] == 'BK':
profitReal = C[-1] - sigNow['signalprice']
if sigNow['signaltype'] == 'SK':
profitReal = sigNow['signalprice'] - C[-1]
fundTempReal += profitReal * sigNow['pos'] * instMultifier - (pp * instMultifier * C[-1] * 1.11 / 10000) * 2
print(max(fundList), min(fundList))
print('初始权益：', initFund, '策略当前权益: ', fundNow, '账号1权益', fundTempReal)
granularities='780',
data_source_dir=data_path)
barinterval = inst + '_' + str(granularity)
bardatafile = data_path + barinterval + '.json'
# bars[barinterval] = barss
# O30 = get_k_line_column(bars, inst, 300, ohlc='open')
O = get_k_line_column(bars, inst, granularity, ohlc='open')
H = get_k_line_column(bars, inst, granularity, ohlc='high')
L = get_k_line_column(bars, inst, granularity, ohlc='low')
C = get_k_line_column(bars, inst, granularity, ohlc='close')
lastk = get_last_k_line(bars, inst, granularity)
print(lastk)
uperband = HHV(H, 23)
lowerband = LLV(L, 23)
dingdangline = MID(uperband, lowerband)
signalList = cross(C, dingdangline)
buysigdetail = CROSS(C, dingdangline)
sellsigdetail = CROSS(dingdangline, C)
knum = len(H)
signalall = buysigdetail.count(True)
avsigp = knum / signalall
# print(buysigdetail.count(True))
# print(sellsigdetail.count(True))
# print len(O)
print(('buy signal:', avsigp, buysigdetail[(knum - avsigp):]))
print(('sell signal:', avsigp, sellsigdetail[(knum - avsigp):]))
def MovingBreak():
lastErrorID = 0
logfilename = BROKER_ID + '_' + INVESTOR_ID + '_交易日志' + str(today) + '.log'
log = Logger(logfilename=logfilename)
pc_grid = grid
s = S = ApiStruct.D_Sell
b = B = ApiStruct.D_Buy
k = K = ApiStruct.OF_Open
p = P = ApiStruct.OF_Close
pj = PJ = ApiStruct.OF_CloseToday
pz = PZ = ApiStruct.OF_CloseYesterday
# T['TE_RESUME'] = 'int' # 流重传方式
# TERT_RESTART = 0 # 从本交易日开始重传
# TERT_RESUME = 1 # 从上次收到的续传
# TERT_QUICK = 2 # 只传送登录后的流内容
# 登录行情服务器
md = MyMdApi(instruments=['rb1905'], broker_id=BROKER_ID, investor_id='*', password='******')
md.Create(INVESTOR_ID + "data")
md.RegisterFront(ADDR_MD)
md.Init()
td = MyTradeApi(broker_id=BROKER_ID, investor_id=INVESTOR_ID, passwd=PASSWORD)
td.Create(LOGS_DIR + INVESTOR_ID + "_trader")
td.RegisterFront(ADDR_TD)
td.SubscribePublicTopic(2)
td.SubscribePrivateTopic(2)
td.Init()
last_time = None
buy_order = 0
sell_order = 0
bp_total = 0
sp_total = 0
bk_limit = 1
sk_limit = 1
up_trader_flag = False
down_trader_flag = False
buy_rec = list()
sell_rec = list()
while True:
if not q_server_info.empty():
info = q_server_info.get()
# print info.ErrorID
lastErrorID = info.ErrorID
print('the last ErrorID is: ', lastErrorID)
if lastErrorID != 0:
# print 'release the api...'
# td.Release()
print(datetime.now(), 'reconnect the trading server.')
del td
sleep(60)
td = MyTradeApi(broker_id=BROKER_ID, investor_id=INVESTOR_ID, passwd=PASSWORD)
td.Create(LOGS_DIR + INVESTOR_ID + "_trader")
td.RegisterFront(ADDR_TD)
td.SubscribePublicTopic(2)
td.SubscribePrivateTopic(2)
# td.ReqUserLogout()
td.Init()
sleep(60)
if not q_depth_market_data.empty():
tick = q_depth_market_data.get()
tickToBar(tick,granularity=180)
D_open = tick.OpenPrice
lastk = get_last_k_line(bars, inst, granularity)
last_k_line = get_last_k_line(bars, inst, granularity)
print((lastk, datetime.now()))
O = get_k_line_column(bars, inst, granularity, ohlc='open')
H = get_k_line_column(bars, inst, granularity, ohlc='high')
L = get_k_line_column(bars, inst, granularity, ohlc='low')
C = get_k_line_column(bars, inst, granularity, ohlc='close')
# print(H[-3:],L[-3:], type(H[-1]))
HL = HLV(H, L)
MHL = max(HL)
MminHL = min(HL)
AVHL = sum(HL) / len(HL)
vgrid = int(AVHL * 0.8)
# calculate the uppper and lower band
HV = HHV(H, 23)
LV = LLV(L, 23)
# #middle line
Mid = MID(HV, LV)
# 根据叮当值调整仓位控制参数
# bk_limit = 2 if C[-1] > Mid[-1] else 0
# bk_limit = 2
# sk_limit = 2 if C[-1] < Mid[-1] else 0
# sk_limit = 2
# print tick.InstrumentID, strategy_inst
if lastk is not None and tick.InstrumentID == strategy_inst:
if last_time != last_k_line['date_time']:
last_time = last_k_line['date_time']
up_trader_flag = False
down_trader_flag = False
dingdang = 'Buy!' if tick.LastPrice > Mid[-1] else 'Sell'
bkvol = buy_order - sp_total if buy_order - sp_total > 0 else 0
skvol = sell_order - bp_total if sell_order - bp_total > 0 else 0
# bkvol = get_day_bkvol(td, strategy_inst)
# skvol = get_day_skvol(td, strategy_inst)
# outformat = "当前时间:{tick.UpdateTime}, High:{last_k_line['high']}"
# print(outformat)
print('当前时间: ', tick.UpdateTime, 'HIGH:', last_k_line['high'], ' ', 'LOW:', last_k_line[
'low'], '当前价: ', tick.LastPrice, '叮当值:', Mid[
-1], dingdang, 'buy_limit:', bk_limit, 'sell_limit:', sk_limit)
print('buy_order: ', buy_order, 'sell_order: ', sell_order, BROKER_ID, INVESTOR_ID, tick.InstrumentID, 'sp_total: ', sp_total, 'bp_total: ', bp_total, '日多:', bkvol, '日空:', skvol)
if not up_trader_flag and tick.LastPrice > last_k_line['high'] and bkvol < bk_limit:
# 下多单
print(bkvol, bk_limit)
up_trader_flag = True
order_price = tick.LastPrice
buy_rec.append([datetime.now(), order_price])
# if sell_order > 0:
# td.PrepareOrder(tick.InstrumentID, B, P, sell_order, order_price)
# sell_order -= sell_order
td.PrepareOrder(tick.InstrumentID, b, k, single_volume, order_price)
log.info(log.printfNow() + '下空单:' + str(single_volume) + ',orderprice:' + str(
order_price) + 'skvol:' + str(skvol) + 'sk_limit:' + str(sk_limit))
# td.PrepareOrder(tick.InstrumentID, s, pz, single_volume, tick.LastPrice)
info = 'buy: ' + tick.InstrumentID +' '+ str(order_price)
mailsender(info, receivers)
print('下多单', tick.InstrumentID, INVESTOR_ID, str(single_volume) + ',orderprice:' + str(
order_price) + 'skvol:' + str(skvol) + 'sk_limit:' + str(sk_limit))
print('lastHigh:', last_k_line['high'], 'lastLow: ', last_k_line[
'low'], 'lastPrice: ', tick.LastPrice)
if not down_trader_flag and tick.LastPrice < last_k_line['low'] and skvol < sk_limit:
# 下空单
down_trader_flag = True
order_price = tick.LastPrice
# if buy_order > 0:
# td.PrepareOrder(tick.InstrumentID, S, P, buy_order, tick.LastPrice - pc_grid)
# buy_order -= buy_order
td.PrepareOrder(tick.InstrumentID, s, k, single_volume, order_price)
log.info(log.printfNow() + '下空单:' + str(single_volume) + ',orderprice:' + str(
order_price) + 'skvol:' + str(skvol) + 'sk_limit:' + str(sk_limit))
# td.PrepareOrder(tick.InstrumentID, b, pz, single_volume, tick.LastPrice)
info = 'sell: ' + tick.InstrumentID + ' ' + str(order_price)
mailsender(info, receivers)
print('下空单', tick.InstrumentID, INVESTOR_ID, ', orderprice:' + str(order_price) + ', skvol:' + str(
skvol) + ', sk_limit:' + str(sk_limit))
print('lastHigh:', last_k_line['high'], 'lastLow: ', last_k_line[
'low'], 'lastPrice: ', tick.LastPrice)
if not q_bar.empty():
bartmp = q_bar.get()
bars[barinterval].append(bartmp)
if not q_rtn_order.empty():
rtn_order = q_rtn_order.get()
print(rtn_order)
print('下单成功，请注意。。。')
if not q_rtn_trade.empty():
rtn_td = q_rtn_trade.get()
print('下单成交', rtn_td)
'''
Trade(BrokerID='0127', InvestorID='200277', InstrumentID='ni1811', OrderRef='69169', UserID='200277',
ExchangeID='SHFE', TradeID=' 652868', Direction='0', OrderSysID=' 2413585',
ParticipantID='0011', ClientID='01789993', TradingRole='\x00', ExchangeInstID='ni1811',
OffsetFlag='0', HedgeFlag='1', Price=112560.0, Volume=1, TradeDate='20180727',
TradeTime='23:52:48', TradeType='\x00', PriceSource='\x00', TraderID='0011c6c',
OrderLocalID=' 684', ClearingPartID='0011', BusinessUnit='', SequenceNo=1536,
TradingDay='20180730', SettlementID=1, BrokerOrderSeq=2310, TradeSource='0')
'''
# k
if rtn_td.Direction == B: # 方向 多
if rtn_td.OffsetFlag == K and rtn_td.InstrumentID == strategy_inst: # 多单开仓成交，下平仓指令， 开盘价+30
buy_order += rtn_td.Volume
order_price = rtn_td.Price + grid
bkvol += rtn_td.Volume
td.PrepareOrder(rtn_td.InstrumentID, s, pj, rtn_td.Volume, order_price)
info = tick.InstrumentID + '多单建仓成交，平仓单挂单。。。' + str(order_price)
print(info)
# mailsender(info, receivers)
elif rtn_td.OffsetFlag in [P, PJ, PZ] and rtn_td.InstrumentID == strategy_inst: # 平仓，
print(rtn_td)
bp_total += rtn_td.Volume
sell_order -= rtn_td.Volume
skvol -= rtn_td.Volume
info = '平仓单成交。。。'
print(info)
# mailsender(info,receivers)
elif rtn_td.Direction == S: # 方向：空
if rtn_td.OffsetFlag == K and rtn_td.InstrumentID == strategy_inst: # 开仓
# 空单建仓成交
sell_order += rtn_td.Volume
skvol += rtn_td.Volume
order_price = rtn_td.Price - grid
td.PrepareOrder(rtn_td.InstrumentID, b, pj, rtn_td.Volume, order_price)
info = '空单建仓成交，平仓单挂单。。。'
print(info)
# mailsender(info, receivers)
elif rtn_td.OffsetFlag in [P, PJ, PZ] and rtn_td.InstrumentID == strategy_inst:
sp_total += rtn_td.Volume
buy_order -= rtn_td.Volume
bkvol -= rtn_td.Volume
info = '平仓单成交' + str(rtn_td.TradeTime)+ rtn_td.InstrumentID
print(info)
# mailsender(info, receivers)
print(rtn_td.TradeTime, rtn_td.InstrumentID)
def initStrategy(q_initdata):
bkprofits = []
skprofits = []
sigprofit_info = []
posratio = []
bkprofit = 0
skprofit = 0
initFund = 20000
instMultifier = 10
bars[barinterval] = list()
while not q_initdata.empty():
bar = q_initdata.get()
bars[barinterval].append(bar)
O = get_k_line_column(bars, inst, granularity, ohlc='open')
H = get_k_line_column(bars, inst, granularity, ohlc='high')
L = get_k_line_column(bars, inst, granularity, ohlc='low')
C = get_k_line_column(bars, inst, granularity, ohlc='close')
lastk = get_last_k_line(bars, inst, granularity)
print(lastk)
uperband = HHV(H, 23)
lowerband = LLV(L, 23)
dingdangline = MID(uperband, lowerband)
signalList = cross(C, dingdangline)
buysigdetail = CROSS(C, dingdangline)
sellsigdetail = CROSS(dingdangline, C)
pp = getPositionRatio(buysigdetail)
if buysigdetail[-1]:
initFund += skprofit * pp * instMultifier
bkprofits = []
# signal = {'date_time': time.time(), 'signaltype': 'BK', 'signalprice': tick.LastPrice}
# q_signals.put(signal)
knum = len(H)
signalall = buysigdetail.count(True)
avsigp = knum / signalall
sigsum2 = buysigdetail[(knum - avsigp):-2].count(
True) + sellsigdetail[(knum - avsigp):-2].count(True)
sigsum3 = sigsum2 * 2
pp = min((sigsum3 + 1), 8)
# order_price = tick.LastPrice
# td.PrepareOrder(tick.InstrumentID, b, k, pp, order_price)
# log.info(log.printfNow() + u'下多单:' + str(pp) + ',orderprice:' + str(order_price))
print('buy order issued.')
if sellsigdetail[-1]:
initFund += bkprofit * pp * instMultifier
skprofits = []
signal = {
'date_time': time.time(),
'signaltype': 'SK',
'signalprice': tick.LastPrice
}
q_signals.put(signal)
order_price = tick.LastPrice
# TODO 暂时没有处理平昨仓和今仓,待处理... 应该有个完整的策略持仓管理模块
td.PrepareOrder(tick.InstrumentID, s, p, pp, order_price)
log.info(log.printfNow() + '平多单:' + str(pp) + ',orderprice:' +
str(order_price))
print('close order issued...')
# spk
sellcount = 0
down_trading_flag = False
knum = len(H)
signalall = buysigdetail.count(True)
if signalall > 0:
avsigp = knum / signalall
# print(buysigdetail.count(True))
# print(sellsigdetail.count(True))
# print len(O)
print(('buy signal:', avsigp, buysigdetail[(knum - avsigp):]))
print(('sell signal:', avsigp, sellsigdetail[(knum - avsigp):]))
# print be_apart_from(buysigdetail)
# print be_apart_from(sellsigdetail)
# 计算发出信号时刻，最近平均信号距离内的信号数量
sigsum2 = buysigdetail[(knum - avsigp):-2].count(
True) + sellsigdetail[(knum - avsigp):-2].count(True)
sigsum4 = sigsum2 * 2
sigsum5 = sigsum4 if sellsigdetail[-1] or buysigdetail[-1] else 0
# pp = min((sigsum5+1)*10, 80)
# 计算下单仓位数量
pp = min((sigsum5 + 1), 8)
def dingdangno6bksp(md, td, instid, instrumentid):
while True:
time.sleep(0.3)
if not md.q_depth_market_data.empty():
tick = q_depth_market_data.get()
tickToBar(tick, granularity)
dayopen = tick.OpenPrice
dayhigh = tick.HighestPrice
daylow = tick.LowestPrice
dayavp = int(tick.AveragePrice / 10)
BB = (tick.LastPrice -
daylow) / (dayhigh - daylow) if dayhigh != daylow else 0.5
siglast = min(be_apart_from(buysigdetail),
be_apart_from(sellsigdetail))
quote_info = "合约：{0},当前价格:{price},时间:{ttime},日内振幅：{1},价格位置：{2} 做多信号：{3},做空信号：{4}"
print(
quote_info.format(tick.InstrumentID,
dayhigh - daylow,
BB,
buysigdetail.count(True),
sellsigdetail.count(True),
price=tick.LastPrice,
ttime=tick.UpdateTime))
quote_info1 = "合约：{instid},日内振幅：{zhenfu},价格位置：{BB:.3f} 做多信号：{buynum},做空信号：{sellnum},信号距离:{siglast}"
info = {
'instid': tick.InstrumentID,
'zhenfu': dayhigh - daylow,
'buynum': buysigdetail.count(True),
'sellnum': sellsigdetail.count(True),
'BB': BB,
'siglast': siglast
}
print(quote_info1.format(**info))
knum = len(H)
signalall = buysigdetail.count(True)
avsigp = knum / signalall
# sigsum2 = buysigdetail[(knum - avsigp):-2].count(True) + sellsigdetail[(knum - avsigp):-2].count(True)
# sigsum4 = sigsum2 * 2
# sigsum5 = sigsum4 if sellsigdetail[-1] or buysigdetail[-1] else 0
#
# pp = min((sigsum5 + 1), 8)
buysigprice = C[len(C) - be_apart_from(buysigdetail)]
sellsigprice = C[len(C) - be_apart_from(sellsigdetail)]
sellsigprice1 = C[-1] if sellsigdetail[-1] else 0 # 另外一种方法。
lastsig = 'SK' if be_apart_from(buysigdetail) > be_apart_from(
sellsigdetail) else 'BK'
# if buysigdetail[-1] or sellsigdetail[-1]:
# knum = len(H)
# signalall = buysigdetail.count(True)
# avsigp = knum / signalall
# sigsum2 = buysigdetail[(knum - avsigp):-2].count(True) + sellsigdetail[(knum - avsigp):-2].count(True)
# sigsum3 = sigsum2 * 2
#
# pp = min((sigsum3 + 1), 8)
# posratio.append(pp)
if lastsig == 'BK':
bkprofit = tick.LastPrice - buysigprice
bkprofits.append(bkprofit)
bkpmax = max(bkprofits) if bkprofits else 0
bkpmin = min(bkprofits) if bkprofits else 0
print(INVESTOR_ID, '当前信号:', lastsig, '信号价:', buysigprice,
tick.LastPrice, '盈利价差:', bkprofit, '最大:', bkpmax, '最小',
bkpmin, '持续周期:', be_apart_from(buysigdetail), '理论持仓', pp)
sigprofit_info.append([lastsig, bkpmax, bkpmin])
print(('buy signal:', avsigp, buysigdetail[(knum - avsigp):],
pp))
elif lastsig == 'SK':
skprofit = sellsigprice - tick.LastPrice
skprofits.append(skprofit)
skpmax = max(skprofits) if skprofits else 0
skpmin = min(skprofits) if skprofits else 0
print('当前信号:', lastsig, '信号价：', sellsigprice, sellsigprice1,
tick.LastPrice, '盈利价差:', skprofit, '最大:', skpmax, '最小',
skpmin, '持续周期:', be_apart_from(sellsigdetail))
sigprofit_info.append(
[lastsig, max(skprofits),
min(skprofits)])
print(('sell signal:', avsigp, sellsigdetail[(knum - avsigp):],
pp))
# print tick.InstrumentID, dayhigh - daylow, BB, buysigdetail.count(True), sellsigdetail.count(True), min(
# be_apart_from(buysigdetail), be_apart_from(sellsigdetail))
if not q_signals.empty():
lastsig = q_signals.get()
print(lastsig)
O = get_k_line_column(bars, inst, granularity, ohlc='open')
H = get_k_line_column(bars, inst, granularity, ohlc='high')
L = get_k_line_column(bars, inst, granularity, ohlc='low')
C = get_k_line_column(bars, inst, granularity, ohlc='close')
lastk = get_last_k_line(bars, 'rb1905', 780)
print(lastk)
uperband = HHV(H, 23)
lowerband = LLV(L, 23)
dingdangline = MID(uperband, lowerband)
signalList = cross(C, dingdangline)
buysigdetail = CROSS(C, dingdangline)
sellsigdetail = CROSS(dingdangline, C)
knum = len(H)
signalall = buysigdetail.count(True)
avsigp = knum / signalall
# print(buysigdetail.count(True))
# print(sellsigdetail.count(True))
print('叮 当: ', dingdangline[(knum - avsigp):])
print('收盘价: ', C[(knum - avsigp):])
print(('buy signal:', avsigp, buysigdetail[(knum - avsigp):]))
print(('sell signal:', avsigp, sellsigdetail[(knum - avsigp):]))
if not q_bar.empty():
bar = q_bar.get()
bars[barinterval].append(bar)
with open(bardatafile, 'a') as f:
f.writelines(json.dumps(bar, ensure_ascii=False) + '\n')
print(len(bars[barinterval]))
# bar_s = dict()
# barss = load_data_from_server(server_base=serverport, instruments_id=inst, granularity=granularity)
# barinterval = inst + '_' + str(granularity)
# bar_s[barinterval] = barss
# print len(bar_s[barinterval])
lastk = get_last_k_line(bars, 'rb1905', 780)
print(lastk)
# O30 = get_k_line_column(bars, inst, 300, ohlc='open')
O = get_k_line_column(bars, inst, granularity, ohlc='open')
H = get_k_line_column(bars, inst, granularity, ohlc='high')
L = get_k_line_column(bars, inst, granularity, ohlc='low')
C = get_k_line_column(bars, inst, granularity, ohlc='close')
uperband = HHV(H, 23)
lowerband = LLV(L, 23)
dingdangline = MID(uperband, lowerband)
signalList = cross(C, dingdangline)
buysigdetail = CROSS(C, dingdangline)
sellsigdetail = CROSS(dingdangline, C)
knum = len(H)
signalall = buysigdetail.count(True)
avsigp = knum / signalall
# print(buysigdetail.count(True))
# print(sellsigdetail.count(True))
print(('buy signal:', avsigp, buysigdetail[(knum - avsigp):]))
print(('sell signal:', avsigp, sellsigdetail[(knum - avsigp):]))
print(
min(be_apart_from(buysigdetail), be_apart_from(sellsigdetail)))
# print be_apart_from(sellsigdetail)
# if buysigdetail[-1] or sellsigdetail[-1]: # 发出交易信号并确认，计算下单仓位
# knum = len(H)
# signalall = buysigdetail.count(True)
# avsigp = knum / signalall
# sigsum2 = buysigdetail[(knum - avsigp):-2].count(True) + sellsigdetail[(knum - avsigp):-2].count(True)
# sigsum3 = sigsum2 * 2
#
# pp = min((sigsum3 + 1), 8)
# posratio.append(pp)
if buysigdetail[-1]:
bkprofits = []
signal = {
'date_time': time.time(),
'signaltype': 'BK',
'signalprice': tick.LastPrice
}
q_signals.put(signal)
knum = len(H)
signalall = buysigdetail.count(True)
avsigp = knum / signalall
sigsum2 = buysigdetail[(knum - avsigp):-2].count(
True) + sellsigdetail[(knum - avsigp):-2].count(True)
sigsum3 = sigsum2 * 2
pp = min((sigsum3 + 1), 8)
order_price = tick.LastPrice
td.PrepareOrder(tick.InstrumentID, b, k, pp, order_price)
if sellsigdetail[-1]:
skprofits = []
signal = {
'date_time': time.time(),
'signaltype': 'SK',
'signalprice': tick.LastPrice
}
q_signals.put(signal)
order_price = tick.LastPrice
# TODO 暂时没有处理平昨仓和今仓,待处理... 应该有个完整的策略持仓管理模块
if bkprofit > 0:
td.PrepareOrder(tick.InstrumentID, s, p, pp, order_price)
# spk
sellcount = 0
down_trading_flag = False
def dingdangNo6():
lastsig = ''
initFund = 20000
fundNow = 0
skprofit = 0
bkprofit = 0
initFund = 20000
feeRatio = 0.0065
instMultifier = 10
signalslist = list()
while True:
if not q_depth_market_data.empty():
tick = q_depth_market_data.get()
tickToBar(tick, granularity)
# dayopen = tick.OpenPrice
# dayhigh = tick.HighestPrice
# daylow = tick.LowestPrice
# dayavp = int(tick.AveragePrice / 10)
# BB = (tick.LastPrice - daylow) / (dayhigh - daylow) if dayhigh != daylow else 0.5
# siglast = min(be_apart_from(buysigdetail), be_apart_from(sellsigdetail))
# quote_info = "合约：{0},当前价格:{price},时间:{ttime},日内振幅：{1},价格位置：{2} 做多信号：{3},做空信号：{4}"
# # print quote_info.format(tick.InstrumentID,dayhigh - daylow,BB, buysigdetail.count(True),sellsigdetail.count(True), price=tick.LastPrice, ttime = tick.UpdateTime)
# quote_info1 = "合约：{instid},日内振幅：{zhenfu},价格位置：{BB:.3f} 做多信号：{buynum},做空信号：{sellnum},信号距离:{siglast}"
# info= {'instid': tick.InstrumentID,
# 'zhenfu' : dayhigh - daylow,
# 'buynum' : buysigdetail.count(True),
# 'sellnum' : sellsigdetail.count(True),
# 'BB':BB,
# 'siglast': siglast}
# # print quote_info1.format(**info)
# knum = len(H)
# signalall = buysigdetail.count(True)
#
# avsigp = knum / signalall
#
#
# buysigprice = C[len(C) - be_apart_from(buysigdetail)]
# sellsigprice = C[len(C) - be_apart_from(sellsigdetail)]
#
# sellsigprice1 = C[-1] if sellsigdetail[-1] else 0 # 另外一种方法。
#
# lastsig = 'SK' if be_apart_from(buysigdetail) > be_apart_from(sellsigdetail) else 'BK'
#
#
if not q_signals.empty():
lastsigdict = q_signals.get()
print(lastsigdict)
# O = get_k_line_column(bars, inst, granularity, ohlc='open')
# H = get_k_line_column(bars, inst, granularity, ohlc='high')
# L = get_k_line_column(bars, inst, granularity, ohlc='low')
# C = get_k_line_column(bars, inst, granularity, ohlc='close')
#
# lastk = get_last_k_line(bars, 'rb1905', 780)
# print lastk
#
# uperband = HHV(H, 23)
# lowerband = LLV(L, 23)
# dingdangline = MID(uperband, lowerband)
# signalList = cross(C, dingdangline)
# buysigdetail = CROSS(C, dingdangline)
# sellsigdetail = CROSS(dingdangline, C)
#
# knum = len(H)
#
# signalall = buysigdetail.count(True)
#
# avsigp = knum / signalall if signalall > 0 else knum
#
# # print(buysigdetail.count(True))
# # print(sellsigdetail.count(True))
# print u'叮 当: ', dingdangline[(knum - avsigp):]
# print u'收盘价: ', C[(knum - avsigp):]
# # print('buy signal:', avsigp, buysigdetail[(knum - avsigp):])
# # print('sell signal:', avsigp, sellsigdetail[(knum - avsigp):])
if not q_bar.empty():
bar = q_bar.get()
bars[barinterval].append(bar)
# with open(bardatafile, 'a') as f:
# f.writelines(json.dumps(bar, ensure_ascii=False) + '\n')
print(len(bars[barinterval]))
lastk = get_last_k_line(bars, 'rb1905', 780)
print(lastk)
# O30 = get_k_line_column(bars, inst, 300, ohlc='open')
O = get_k_line_column(bars, inst, granularity, ohlc='open')
H = get_k_line_column(bars, inst, granularity, ohlc='high')
L = get_k_line_column(bars, inst, granularity, ohlc='low')
C = get_k_line_column(bars, inst, granularity, ohlc='close')
uperband = HHV(H, 23)
lowerband = LLV(L, 23)
dingdangline = MID(uperband, lowerband)
if cross2(C[-2:], dingdangline[-2:]):
signalslist.append('bk')
elif cross2(
dingdangline[-2:],
C[-2:],
):
signalslist.append('sk')
else:
signalslist.append(None)
signalList = cross(C, dingdangline)
buysigdetail = CROSS(C, dingdangline)
sellsigdetail = CROSS(dingdangline, C)
knum = len(H)
signalall = signalslist.count('bk') + signalslist.count(
'sk') + signalslist.count('bp') + signalslist.count('sp')
signalall1 = buysigdetail.count(True) + sellsigdetail.count(True)
avsigp = knum / signalall if signalall > 0 else knum
print(('buysig all:', buysigdetail.count(True)))
print(('sellsig all:', sellsigdetail.count(True)))
print(('buy signal:', avsigp, buysigdetail[(knum - avsigp):]))
print(('sell signal:', avsigp, sellsigdetail[(knum - avsigp):]))
# print min(be_apart_from(buysigdetail), be_apart_from(sellsigdetail))
# print be_apart_from(sellsigdetail)
# pp= getPositionRatio(buysigdetail)
if buysigdetail[-1]:
pp = getPositionRatio(sellsigdetail)
initFund += skprofit * pp * instMultifier - (
pp * instMultifier * tick.LastPrice / 10000) * 2
bkprofits = []
signal = {
'date_time': time.time(),
'signaltype': 'BK',
'signalprice': tick.LastPrice
}
q_signals.put(signal)
knum = len(H)
signalall = buysigdetail.count(True)
avsigp = knum / signalall
sigsum2 = buysigdetail[(knum - avsigp):-2].count(
True) + sellsigdetail[(knum - avsigp):-2].count(True)
sigsum3 = sigsum2 * 2
pp = min((sigsum3 + 1), 8)
order_price = tick.LastPrice
# td.PrepareOrder(tick.InstrumentID, b, k, pp, order_price)
# log.info(log.printfNow() + u'下多单:' + str(pp) + ',orderprice:'+str(order_price))
print('buy order issued.')
lastsig = 'BK'
buysigprice = tick.LastPrice
print('buysigprice', buysigprice)
if sellsigdetail[-1]:
pp = getPositionRatio(buysigdetail)
initFund += bkprofit * pp * instMultifier - (
pp * instMultifier * tick.LastPrice / 10000) * 2
skprofits = []
signal = {
'date_time': time.time(),
'signaltype': 'SK',
'signalprice': tick.LastPrice
}
q_signals.put(signal)
# order_price = tick.LastPrice
#
# # TODO 暂时没有处理平昨仓和今仓,待处理... 应该有个完整的策略持仓管理模块
#
# td.PrepareOrder(tick.InstrumentID, s, p, pp, order_price)
#
# log.info(log.printfNow() + u'平多单:' + str(pp) + ',orderprice:'+str(order_price))
# print('close order issued...')
lastsig = 'SK'
sellsigprice = tick.LastPrice
print('sellsigprice', sellsigprice)
if lastsig == 'BK':
print(tick.LastPrice, buysigprice)
bkprofit = tick.LastPrice - buysigprice
print(bkprofit)
bkprofits.append(bkprofit)
bkpmax = max(bkprofits) if bkprofits else 0
bkpmin = min(bkprofits) if bkprofits else 0
print('当前信号:', lastsig, '信号价:', buysigprice, tick.LastPrice,
'盈利价差:', bkprofit, '最大:', bkpmax, '最小', bkpmin, '持续周期:',
be_apart_from(buysigdetail), '理论持仓', pp)
sigprofit_info.append([lastsig, bkpmax, bkpmin])
# print('buy signal:', avsigp, buysigdetail[(knum - avsigp):], pp)
fundNow = initFund + bkprofit * pp * instMultifier
elif lastsig == 'SK':
skprofit = sellsigprice - tick.LastPrice
skprofits.append(skprofit)
skpmax = max(skprofits) if skprofits else 0
skpmin = min(skprofits) if skprofits else 0
print('当前信号:', lastsig, '信号价：', sellsigprice, sellsigprice,
tick.LastPrice, '盈利价差:', skprofit, '最大:', skpmax, '最小',
skpmin, '持续周期:', be_apart_from(sellsigdetail))
sigprofit_info.append(
[lastsig, max(skprofits),
min(skprofits)])
print(('sell signal:', avsigp, sellsigdetail[(knum - avsigp):],
pp))
fundNow = initFund + skprofit * pp * instMultifier
print('初始权益：', initFund, '策略当前权益: ', fundNow)
def DingDangNo6():
logfilename = BROKER_ID + '_' + INVESTOR_ID + '_交易日志' + str(today) + '.log'
log = Logger(logfilename=logfilename)
config = incept_config()
load_data_from_file()
init_k_line_pump()
workdays = TradingPeriod.get_workdays(begin=config['begin'],
end=config['end'])
workdays_exchange_trading_period_by_ts = \
TradingPeriod.get_workdays_exchange_trading_period(
_workdays=workdays, exchange_trading_period=EXCHANGE_TRADING_PERIOD)
inst = 'rb1905'
granularity = 780
serverport = 'http://192.168.1.19:8008'
bars = dict()
barss = load_data_from_server(server_base=serverport,
instruments_id=inst,
granularity=granularity)
barinterval = inst + '_' + str(granularity)
bars[barinterval] = barss
if today in workdays_exchange_trading_period_by_ts:
trading_period_by_ts = workdays_exchange_trading_period_by_ts[today]
else:
print('Not trading day, return to system.')
return
pc_grid = grid
s = S = ApiStruct.D_Sell
b = B = ApiStruct.D_Buy
k = K = ApiStruct.OF_Open
p = P = ApiStruct.OF_Close
pj = PJ = ApiStruct.OF_CloseToday
pz = PZ = ApiStruct.OF_CloseYesterday
# T['TE_RESUME'] = 'int' # 流重传方式
# TERT_RESTART = 0 # 从本交易日开始重传
# TERT_RESUME = 1 # 从上次收到的续传
# TERT_QUICK = 2 # 只传送登录后的流内容
# 登录行情服务器
md = MyMdApi(instruments=inst,
broker_id=BROKER_ID,
investor_id=INVESTOR_ID,
password=PASSWORD)
md.Create(INVESTOR_ID + "data")
md.RegisterFront(ADDR_MD)
md.Init()
td = MyTradeApi(broker_id=BROKER_ID,
investor_id=INVESTOR_ID,
passwd=PASSWORD)
td.Create(LOGS_DIR + INVESTOR_ID + "_trader")
td.RegisterFront(ADDR_TD)
td.SubscribePublicTopic(1)
td.SubscribePrivateTopic(1)
td.Init()
last_time = None
up_trader_flag = False
down_trader_flag = False
while True:
if not q_depth_market_data.empty():
tick = q_depth_market_data.get()
sewing_data_to_file_and_depositary(depth_market_data=tick)
last_k_line = get_last_k_line(instrument_id=inst[0],
interval=period)
DayOpen = tick.OpenPrice
DayHigh = tick.HighestPrice
DayLow = tick.LowestPrice
H = get_k_line_column(strategy_inst, strategy_period, ohlc='high')
L = get_k_line_column(strategy_inst, strategy_period, ohlc='low')
C = get_k_line_column(strategy_inst, strategy_period, ohlc='close')
HL = HLV(H, L)
MHL = max(HL)
MminHL = min(HL)
AVHL = sum(HL) / len(HL)
vgrid = int(AVHL * 0.8)
# calculate the uppper and lower band
HV = HHV(H, 23)
LV = LLV(L, 23)
# #middle line
DingDang = MID(HV, LV)
allsig = cross(C, DingDang)[0] * 2
if last_k_line is not None and tick.InstrumentID == strategy_inst:
if last_time != last_k_line['date_time']:
last_time = last_k_line['date_time']
up_trader_flag = False
down_trader_flag = False
dingdang = 'Buy!' if tick.LastPrice > Mid[-1] else 'Sell'
bkvol = buy_order - sp_total if buy_order - sp_total > 0 else 0
skvol = sell_order - bp_total if sell_order - bp_total > 0 else 0
# bkvol = get_day_bkvol(td, strategy_inst)
# skvol = get_day_skvol(td, strategy_inst)
print('当前时间: ', tick.UpdateTime, 'HIGH:', last_k_line['high'],
' ', 'LOW:', last_k_line['low'], '当前价: ',
tick.LastPrice, '叮当值:', Mid[-1], dingdang, 'buy_limit:',
bk_limit, 'sell_limit:', sk_limit)
print('buy_order: ', buy_order, 'sell_order: ', sell_order,
BROKER_ID, INVESTOR_ID, tick.InstrumentID, 'sp_total: ',
sp_total, 'bp_total: ', bp_total, '日多:', bkvol, '日空:',
skvol)
if (not up_trader_flag and not last_k_line['low'] == last_k_line['high']) and tick.LastPrice > \
last_k_line['high'] and tick.LastPrice - last_k_line['high'] < 30 and bkvol < bk_limit:
# 下多单
print(bkvol, bk_limit)
up_trader_flag = True
order_price = tick.LastPrice
buy_rec.append([datetime.now(), order_price])
# if sell_order > 0:
# td.PrepareOrder(tick.InstrumentID, B, P, sell_order, tick.LastPrice + pc_grid)
# sell_order -= sell_order
td.PrepareOrder(tick.InstrumentID, b, k, single_volume,
order_price)
log.info(log.printfNow() + '下空单:' + str(single_volume) +
',orderprice:' + str(order_price) + 'skvol:' +
str(skvol) + 'sk_limit:' + str(sk_limit))
# td.PrepareOrder(tick.InstrumentID, s, pz, single_volume, tick.LastPrice)
print()
print(
'下多单', tick.InstrumentID, INVESTOR_ID,
str(single_volume) + ',orderprice:' +
str(order_price) + 'skvol:' + str(skvol) +
'sk_limit:' + str(sk_limit))
print('lastHigh:', last_k_line['high'], 'lastLow: ',
last_k_line['low'], 'lastPrice: ', tick.LastPrice)
if (not down_trader_flag and not last_k_line['low'] == last_k_line['high']) and tick.LastPrice < \
last_k_line['low'] and (last_k_line['low'] - tick.LastPrice < 30) and skvol < sk_limit:
# 下空单
down_trader_flag = True
order_price = tick.LastPrice
# if buy_order > 0:
# td.PrepareOrder(tick.InstrumentID, S, P, buy_order, tick.LastPrice - pc_grid)
#
# buy_order -= buy_order
td.PrepareOrder(tick.InstrumentID, s, k, single_volume,
order_price)
log.info(log.printfNow() + '下空单:' + str(single_volume) +
',orderprice:' + str(order_price) + 'skvol:' +
str(skvol) + 'sk_limit:' + str(sk_limit))
# td.PrepareOrder(tick.InstrumentID, b, pz, single_volume, tick.LastPrice)
print()
print(
'下空单', tick.InstrumentID, INVESTOR_ID,
', orderprice:' + str(order_price) + ', skvol:' +
str(skvol) + ', sk_limit:' + str(sk_limit))
print('lastHigh:', last_k_line['high'], 'lastLow: ',
last_k_line['low'], 'lastPrice: ', tick.LastPrice)
if not q_rtn_order.empty():
rtn_order = q_rtn_order.get()
print(rtn_order)
print('下单成功，请注意。。。')
if not q_rtn_trade.empty():
rtn_td = q_rtn_trade.get()
print(rtn_td)
'''
Trade(BrokerID='0127', InvestorID='200277', InstrumentID='ni1811', OrderRef='69169', UserID='200277',
ExchangeID='SHFE', TradeID=' 652868', Direction='0', OrderSysID=' 2413585',
ParticipantID='0011', ClientID='01789993', TradingRole='\x00', ExchangeInstID='ni1811',
OffsetFlag='0', HedgeFlag='1', Price=112560.0, Volume=1, TradeDate='20180727',
TradeTime='23:52:48', TradeType='\x00', PriceSource='\x00', TraderID='0011c6c',
OrderLocalID=' 684', ClearingPartID='0011', BusinessUnit='', SequenceNo=1536,
TradingDay='20180730', SettlementID=1, BrokerOrderSeq=2310, TradeSource='0')
'''
# k
if rtn_td.Direction == B: # 方向 多
if rtn_td.OffsetFlag == K and rtn_td.InstrumentID == strategy_inst: # 多单开仓成交，下平仓指令， 开盘价+30
buy_order += rtn_td.Volume
order_price = rtn_td.Price + grid
td.PrepareOrder(rtn_td.InstrumentID, s, pj, rtn_td.Volume,
order_price)
print('多单建仓成交，平仓单挂单。。。')
elif rtn_td.OffsetFlag in [
P, PJ, PZ
] and rtn_td.InstrumentID == strategy_inst: # 平仓，
bp_total += rtn_td.Volume
elif rtn_td.Direction == S: # 方向：空
if rtn_td.OffsetFlag == K and rtn_td.InstrumentID == strategy_inst: # 开仓
# 空单建仓成交
sell_order += rtn_td.Volume
order_price = rtn_td.Price - grid
td.PrepareOrder(rtn_td.InstrumentID, b, pj, rtn_td.Volume,
order_price)
print('空单建仓成交，平仓单挂单。。。')
elif rtn_td.OffsetFlag in [
P, PJ, PZ
] and rtn_td.InstrumentID == strategy_inst:
sp_total += rtn_td.Volume
print(rtn_td.TradeTime, rtn_td.InstrumentID)
def run():
strategy_parameters = [['AP901', 180], ['rb1810', 780]]
strategy_inst = ['rb1810']
# strategy_parameters[1][0]
strategy_period = strategy_parameters[1][1]
import shelve
acinfo = shelve.open(cfgfile)
# BROKER_ID = acinfo['BROKER_ID']
BROKER_ID = '7030'
INVESTOR_ID = acinfo['INVESTOR_ID']
PASSWORD = acinfo['PASSWORD']
# ADDR_MD = acinfo['ADDR_MD']
ADDR_MD = 'tcp://210.5.151.247:41213' # 海通实盘
ADDR_TD = acinfo['ADDR_TRADE']
acinfo.close()
s = S = ApiStruct.D_Sell
b = B = ApiStruct.D_Buy
k = K = ApiStruct.OF_Open
p = P = ApiStruct.OF_Close
# T['TE_RESUME'] = 'int' # 流重传方式
# TERT_RESTART = 0 # 从本交易日开始重传
# TERT_RESUME = 1 # 从上次收到的续传
# TERT_QUICK = 2 # 只传送登录后的流内容
# 登录行情服务器
user = MyMdApi(instruments=strategy_inst,
broker_id=BROKER_ID,
investor_id=INVESTOR_ID,
password=PASSWORD)
user.Create("data")
user.RegisterFront(ADDR_MD)
user.Init()
print u'行情服务器登录成功'
td = MyTradeApi(broker_id=BROKER_ID,
investor_id=INVESTOR_ID,
passwd=PASSWORD)
td.Create(LOGS_DIR + INVESTOR_ID + "_trader")
td.RegisterFront(ADDR_TD)
td.SubscribePublicTopic(1)
td.SubscribePrivateTopic(1)
td.Init()
print BROKER_ID, INVESTOR_ID, u'交易服务器登录成功。'
last_time = None
up_trader_flag = False
down_trader_flag = False
while True:
if not q_depth_market_data.empty():
payload = q_depth_market_data.get()
tick = deepcopy(payload)
sewing_data_to_file_and_depositary(depth_market_data=payload)
last_k_line = get_last_k_line(instrument_id='rb1810',
interval=strategy_period)
# print last_k_line['low'], last_k_line['high'], payload.LastPrice
if last_k_line is not None:
# get the h,l c,serieses.
stra_inst = 'rb1810'
H = get_k_line_column(stra_inst, strategy_period, ohlc='high')
L = get_k_line_column(stra_inst, strategy_period, ohlc='low')
C = get_k_line_column(stra_inst, strategy_period, ohlc='close')
# calculate the uppper and lower band
HV = HHV(H, 23)
LV = LLV(L, 23)
# middle line
Mid = list(map(lambda x: (x[0] + x[1]) / 2, zip(HV, LV)))
num, detail = cross(C, Mid)
# print 'High:', High[-20:]
# print 'Low:', Low[-20:]
#
# print 'HHV: ', HV[-20:]
# print 'LLV: ', LV[-20:]
print 'MID: ', Mid[-20:]
print 'Close: ', C[-20:]
print 'cross num: ', num
print 'cross detail: ', detail
if last_time != last_k_line['date_time']:
last_time = last_k_line['date_time']
up_trader_flag = False
down_trader_flag = False
if not up_trader_flag and payload.LastPrice > last_k_line[
'high'] and C[-1] > Mid[-1]:
# 下多单
up_trader_flag = True
td.PrepareOrder(tick.InstrumentID, b, k, single_volume,
tick.LastPrice)
td.PrepareOrder(tick.InstrumentID, S, P, single_volume,
tick.LastPrice + grid)
print
print u'下多单'
print last_k_line
print payload.LastPrice
if not down_trader_flag and payload.LastPrice < last_k_line[
'low'] and C[-1] <= Mid[-1]:
# 下空单
down_trader_flag = True
td.PrepareOrder(tick.InstrumentID, s, k, single_volume,
tick.LastPrice)
td.PrepareOrder(tick.InstrumentID, B, P, single_volume,
tick.LastPrice - grid)
print
print u'下空单'
print last_k_line
print payload.LastPrice
if not q_rtn_trade.empty():
rtn_td = q_rtn_trade.get()
print rtn_td.TradeTime
def dingdangNo6():
while True:
if not q_depth_market_data.empty():
tick = q_depth_market_data.get()
q_depth_market_data.task_done()
tickToBar(tick, granularity)
# dayopen = tick.OpenPrice
# dayhigh = tick.HighestPrice
# daylow = tick.LowestPrice
# dayavp = int(tick.AveragePrice / 10)
# BB = (tick.LastPrice - daylow) / (dayhigh - daylow) if dayhigh != daylow else 0.5
# siglast = min(be_apart_from(buysigdetail), be_apart_from(sellsigdetail))
# quote_info = "合约：{0},当前价格:{price},时间:{ttime},日内振幅：{1},价格位置：{2} 做多信号：{3},做空信号：{4}"
# print quote_info.format(tick.InstrumentID,dayhigh - daylow,BB, buysigdetail.count(True),sellsigdetail.count(True), price=tick.LastPrice, ttime = tick.UpdateTime)
# quote_info1 = "合约：{instid},日内振幅：{zhenfu},价格位置：{BB:.3f} 做多信号：{buynum},做空信号：{sellnum},信号距离:{siglast}"
#
# info= {'instid': tick.InstrumentID,
# 'zhenfu' : dayhigh - daylow,
# 'buynum' : buysigdetail.count(True),
# 'sellnum' : sellsigdetail.count(True),
# 'BB':BB,
# 'siglast': siglast}
# print quote_info1.format(**info)
# knum = len(H)
# signalall = buysigdetail.count(True)
#
# avsigp = knum / signalall
#
# sigsum2 = buysigdetail[(knum - avsigp):-2].count(True) + sellsigdetail[(knum - avsigp):-2].count(True)
# sigsum4 = sigsum2 * 2
# sigsum5 = sigsum4 if sellsigdetail[-1] or buysigdetail[-1] else 0
#
# pp = min((sigsum5 + 1), 8)
# buysigprice = C[len(C) - be_apart_from(buysigdetail)]
# sellsigprice = C[len(C) - be_apart_from(sellsigdetail)]
#
# sellsigprice1 = C[-1] if sellsigdetail[-1] else 0 # 另外一种方法。
#
# lastsig = 'SK' if be_apart_from(buysigdetail) > be_apart_from(sellsigdetail) else 'BK'
#
# if lastsig == 'BK':
#
# bkprofit = tick.LastPrice - buysigprice
# bkprofits.append(bkprofit)
#
# bkpmax = max(bkprofits) if bkprofits else 0
# bkpmin = min(bkprofits) if bkprofits else 0
#
# print u'当前信号:', lastsig, u'信号价:', buysigprice, tick.LastPrice, u'盈利价差:', bkprofit, u'最大:', bkpmax, u'最小', bkpmin, u'持续周期:', be_apart_from(buysigdetail)
# sigprofit_info.append([lastsig, bkpmax, bkpmin])
# print('buy signal:', avsigp, buysigdetail[(knum - avsigp):], pp)
# elif lastsig == 'SK':
# skprofit = sellsigprice - tick.LastPrice
# skprofits.append(skprofit)
#
# skpmax = max(skprofits) if skprofits else 0
# skpmin = min(skprofits) if skprofits else 0
# print u'当前信号:', lastsig, u'信号价：', sellsigprice, sellsigprice1, tick.LastPrice, u'盈利价差:', skprofit, u'最大:', skpmax, u'最小', skpmin, u'持续周期:',be_apart_from(sellsigdetail)
# sigprofit_info.append([lastsig, max(skprofits), min(skprofits)])
# print('sell signal:', avsigp, sellsigdetail[(knum - avsigp):], pp)
# print tick.InstrumentID, dayhigh - daylow, BB, buysigdetail.count(True), sellsigdetail.count(True), min(
# be_apart_from(buysigdetail), be_apart_from(sellsigdetail))
if not q_signals.empty():
lastsig = q_signals.get()
print(lastsig)
# O = get_k_line_column(bars, inst, granularity, ohlc='open')
# H = get_k_line_column(bars, inst, granularity, ohlc='high')
# L = get_k_line_column(bars, inst, granularity, ohlc='low')
# C = get_k_line_column(bars, inst, granularity, ohlc='close')
#
# lastk = get_last_k_line(bars, 'rb1905', 780)
# print lastk
#
# uperband = HHV(H, 23)
# lowerband = LLV(L, 23)
# dingdangline = MID(uperband, lowerband)
# signalList = cross(C, dingdangline)
# buysigdetail = CROSS(C, dingdangline)
# sellsigdetail = CROSS(dingdangline, C)
#
# knum = len(H)
# signalall = buysigdetail.count(True)
#
# avsigp = knum / signalall
#
# # print(buysigdetail.count(True))
# # print(sellsigdetail.count(True))
# print dingdangline[(knum - avsigp):]
# print C[(knum - avsigp):]
# print('buy signal:', avsigp, buysigdetail[(knum - avsigp):])
# print('sell signal:', avsigp, sellsigdetail[(knum - avsigp):])
if not q_bar.empty():
bar = q_bar.get()
bars[barinterval].append(bar)
# with open(bardatafile, 'a') as f:
# f.writelines(json.dumps(bar, ensure_ascii=False) + '\n')
# print len(bars[barinterval])
# bar_s = dict()
# barss = load_data_from_server(server_base=serverport, instruments_id=inst, granularity=granularity)
# barinterval = inst + '_' + str(granularity)
# bar_s[barinterval] = barss
# print len(bar_s[barinterval])
# lastk = get_last_k_line(bars, 'rb1905', 780)
# print lastk
# O30 = get_k_line_column(bars, inst, 300, ohlc='open')
O = get_k_line_column(bars, inst, granularity, ohlc='open')
H = get_k_line_column(bars, inst, granularity, ohlc='high')
L = get_k_line_column(bars, inst, granularity, ohlc='low')
C = get_k_line_column(bars, inst, granularity, ohlc='close')
uperband = HHV(H, 23)
lowerband = LLV(L, 23)
dingdangline = MID(uperband, lowerband)
signalList = cross(C, dingdangline)
buysigdetail = CROSS(C, dingdangline)
sellsigdetail = CROSS(dingdangline, C)
# knum = len(H)
# signalall = buysigdetail.count(True)
# if signalall >0:
# avsigp = knum / signalall
#
# print(buysigdetail.count(True))
# print(sellsigdetail.count(True))
# print('buy signal:', avsigp, buysigdetail[(knum - avsigp):])
# print('sell signal:', avsigp, sellsigdetail[(knum - avsigp):])
# print min(be_apart_from(buysigdetail), be_apart_from(sellsigdetail))
# print be_apart_from(sellsigdetail)
# sigsum2 = buysigdetail[(knum - avsigp):-2].count(True) + sellsigdetail[(knum - avsigp):-2].count(True)
# sigsum4 = sigsum2 * 2
# sigsum5 = sigsum4 if sellsigdetail[-1] or buysigdetail[-1] else 0
# pp = min((sigsum5 + 1), 8)
# # print 'pp:', pp
if sellsigdetail[-1]:
skprofits = []
pp = getPositionRatio(sellsigdetail)
sigdt = ' '.join([str(tick.ActionDay), str(tick.UpdateTime)])
signal = {
'date_time': sigdt,
'signaltype': 'SK',
'signalprice': tick.LastPrice,
'pos': pp
}
q_signals.put(signal)
order_price = tick.LastPrice
# td.PrepareOrder(tick.InstrumentID, s, k, pp, order_price)
# spk
sellcount = 0
down_trading_flag = False
# if not down_trading_flag and tick.LastPrice < get_last_k_line(bars,'rb1905',780)['low']:
# down_trading_flag = True
# sellcount +=1
# sk(pp) #
#
# pass
elif buysigdetail[-1]:
bkprofits = []
pp = getPositionRatio(buysigdetail)
sigdt = ' '.join([str(tick.ActionDay), str(tick.UpdateTime)])
signal = {
'date_time': sigdt,
'signaltype': 'BK',
'signalprice': tick.LastPrice,
'pos': pp
}
q_signals.put(signal)
order_price = tick.LastPrice
# td.PrepareOrder(tick.InstrumentID, b, k, pp, order_price)
# bpk
pass
def dingdang_three():
config = incept_config()
load_data_from_file()
init_k_line_pump()
workdays = TradingPeriod.get_workdays(begin=config['begin'],
end=config['end'])
workdays_exchange_trading_period_by_ts = \
TradingPeriod.get_workdays_exchange_trading_period(
_workdays=workdays, exchange_trading_period=EXCHANGE_TRADING_PERIOD)
pc_grid = grid
s = S = ApiStruct.D_Sell
b = B = ApiStruct.D_Buy
k = K = ApiStruct.OF_Open
p = P = ApiStruct.OF_Close
pj = PJ = ApiStruct.OF_CloseToday
pz = PZ = ApiStruct.OF_CloseYesterday
# T['TE_RESUME'] = 'int' # 流重传方式
# TERT_RESTART = 0 # 从本交易日开始重传
# TERT_RESUME = 1 # 从上次收到的续传
# TERT_QUICK = 2 # 只传送登录后的流内容
# 登录行情服务器
md = MyMdApi(instruments=inst,
broker_id=BROKER_ID,
investor_id=INVESTOR_ID,
password=PASSWORD)
md.Create(INVESTOR_ID + "data")
md.RegisterFront(ADDR_MD)
md.Init()
td = MyTradeApi(broker_id=BROKER_ID,
investor_id=INVESTOR_ID,
passwd=PASSWORD)
td.Create(LOGS_DIR + INVESTOR_ID + "_trader")
td.RegisterFront(ADDR_TD)
td.SubscribePublicTopic(1)
td.SubscribePrivateTopic(1)
td.Init()
last_time = None
buy_order = 0
sell_order = 0
bp_total = 0
sp_total = 0
bk_limit = 0
sk_limit = 2
up_trader_flag = False
down_trader_flag = False
while True:
if not q_depth_market_data.empty():
tick = q_depth_market_data.get()
sewing_data_to_file_and_depositary(depth_market_data=tick)
last_k_line = get_last_k_line(instrument_id=inst[0],
interval=strategy_period)
D_open = tick.OpenPrice
H = get_k_line_column(strategy_inst, strategy_period, ohlc='high')
L = get_k_line_column(strategy_inst, strategy_period, ohlc='low')
C = get_k_line_column(strategy_inst, strategy_period, ohlc='close')
if last_k_line is not None and tick.InstrumentID == strategy_inst:
HL = HLV(H, L)
MHL = max(HL)
MminHL = min(HL)
AVHL = sum(HL) / len(HL)
vgrid = int(AVHL * 0.8)
# calculate the uppper and lower band
HV = HHV(H, 23)
LV = LLV(L, 23)
# #middle line
Mid = MID(HV, LV)
ups = crossup(C, Mid)
dns = crossup(Mid, C)
avp = len(ups) / (ups.count(True) + dns.count(True))
uptotal = ups.count(True)
dntotal = dns.count(True)
print(ups.count(True), dns.count(True), avp)
print('Mid:', Mid[-23:])
print('C:', C[-23:])
print('ups:', ups[-23:])
print('dns:', dns[-23:])
print()
if last_time != last_k_line['date_time']:
last_time = last_k_line['date_time']
up_trader_flag = False
down_trader_flag = False
dingdang = 'Buy!' if tick.LastPrice > Mid[-1] else 'Sell'
bkvol = buy_order - sp_total if buy_order - sp_total > 0 else 0
skvol = sell_order - bp_total if sell_order - bp_total > 0 else 0
# bkvol = get_day_bkvol(td, strategy_inst)
# skvol = get_day_skvol(td, strategy_inst)
print('当前时间: ', tick.UpdateTime, 'HIGH:', last_k_line['high'],
' ', 'LOW:', last_k_line['low'], '当前价: ',
tick.LastPrice, '叮当值:', Mid[-1], dingdang)
print('buy_order: ', buy_order, 'sell_order: ', sell_order,
BROKER_ID, INVESTOR_ID, tick.InstrumentID, 'sp_total: ',
sp_total, 'bp_total: ', bp_total, '日多:', bkvol, '日空:',
skvol)
if ups[-1] and not up_trader_flag:
# 下多单
print(bkvol, bk_limit)
up_trader_flag = True
# if sell_order > 0:
# td.PrepareOrder(tick.InstrumentID, B, PJ, sell_order, tick.LastPrice + pc_grid)
td.PrepareOrder(tick.InstrumentID, b, k, single_volume,
tick.LastPrice)
print()
print('下多单', tick.InstrumentID, INVESTOR_ID)
print('lastHigh:', last_k_line['high'], 'lastLow: ',
last_k_line['low'], 'lastPrice: ', tick.LastPrice)
if dns[-1] and not down_trader_flag:
# 下空单
down_trader_flag = True
# if buy_order > 0:
# td.PrepareOrder(tick.InstrumentID, S, PJ, buy_order, tick.LastPrice)
td.PrepareOrder(tick.InstrumentID, s, k, single_volume,
tick.LastPrice)
print()
print('做空信号发出，下空单', tick.InstrumentID, INVESTOR_ID)
print('lastHigh:', last_k_line['high'], 'lastLow: ',
last_k_line['low'], 'lastPrice: ', tick.LastPrice)
if not q_rtn_order.empty():
rtn_order = q_rtn_order.get()
print(rtn_order)
print('下单成功，请注意。。。')
if not q_rtn_trade.empty():
rtn_td = q_rtn_trade.get()
print(rtn_td)
'''
Trade(BrokerID='0127', InvestorID='200277', InstrumentID='ni1811', OrderRef='69169', UserID='200277',
ExchangeID='SHFE', TradeID=' 652868', Direction='0', OrderSysID=' 2413585',
ParticipantID='0011', ClientID='01789993', TradingRole='\x00', ExchangeInstID='ni1811',
OffsetFlag='0', HedgeFlag='1', Price=112560.0, Volume=1, TradeDate='20180727',
TradeTime='23:52:48', TradeType='\x00', PriceSource='\x00', TraderID='0011c6c',
OrderLocalID=' 684', ClearingPartID='0011', BusinessUnit='', SequenceNo=1536,
TradingDay='20180730', SettlementID=1, BrokerOrderSeq=2310, TradeSource='0')
'''
#k
if rtn_td.Direction == B: # 方向 多
if rtn_td.OffsetFlag == K and rtn_td.InstrumentID == strategy_inst: #多单开仓成交，下平仓指令， 开盘价+30
buy_order += rtn_td.Volume
order_price = rtn_td.Price + grid
# td.PrepareOrder(rtn_td.InstrumentID, s, pj, rtn_td.Volume, order_price)
print('多单建仓成交，平仓单挂单。。。')
elif rtn_td.OffsetFlag in [
P, PJ, PZ
] and rtn_td.InstrumentID == strategy_inst: #平仓，
bp_total += rtn_td.Volume
elif rtn_td.Direction == S: #方向：空
if rtn_td.OffsetFlag == K and rtn_td.InstrumentID == strategy_inst: # 开仓
#空单建仓成交
sell_order += rtn_td.Volume
order_price = rtn_td.Price - grid
# td.PrepareOrder(rtn_td.InstrumentID, b, pj, rtn_td.Volume, order_price)
print('空单建仓成交，平仓单挂单。。。')
elif rtn_td.OffsetFlag in [
P, PJ, PZ
] and rtn_td.InstrumentID == strategy_inst:
sp_total += rtn_td.Volume
print(rtn_td.TradeTime, rtn_td.InstrumentID)