class TestQuote(object):
"""TestQuote"""
def __init__(self):
""""""
self.q = CtpQuote()
self.q.OnConnected = lambda x: self.q.ReqUserLogin(
'008107', '1', '9999')
self.q.OnUserLogin = lambda o, i: self.q.ReqSubscribeMarketData(
'rb1910')
def run(self):
self.q.ReqConnect('tcp://180.168.146.187:10010')
def release(self):
self.q.ReqUserLogout()
class TestQuote(object):
"""TestQuote"""
def __init__(self, addr: str, broker: str, investor: str, pwd: str):
""""""
self.front = addr
self.broker = broker
self.investor = investor
self.pwd = pwd
self.q = CtpQuote()
self.q.OnConnected = lambda x: self.q.ReqUserLogin(self.investor, self.pwd, self.broker)
self.q.OnUserLogin = lambda o, i: self.q.ReqSubscribeMarketData('rb1910')
def run(self):
self.q.ReqConnect(self.front)
def release(self):
self.q.ReqUserLogout()
class ATP(object):
""""""
def __init__(self):
self.TradingDay = ''
'''交易日'''
self.Actionday = ''
'''自然日'''
self.Actionday1 = ''
'''隔夜自然日'''
self.tick_time = ''
'''最后tick的交易时间:yyyy-MM-dd HH:mm:ss'''
self.trading_days: list = []
'''交易日序列'''
self.trade_time: dict = {}
'''品种交易时间'''
self.instrument_info = {}
'''合约信息'''
self.received_instrument: list = []
'''已接收tick的合约'''
self.cfg = Config()
self.stra_instances = []
self.q = CtpQuote()
self.t = CtpTrade()
def on_order(self, stra: Strategy, data: Data, order: OrderItem):
"""此处调用ctp接口即可实现实际下单"""
# print('stra order')
self.cfg.log.war('{0}\t{1}\t{2}\t{3}\t{4}\t{5}\t{6}\n'.format(
len(stra.Orders), stra.D[-1], order.Direction, order.Offset,
order.Price, order.Volume, order.Remark))
if self.cfg.real_order_enable:
# print(order)
order_id = stra.ID * 1000 + len(stra.GetOrders()) + 1
# 价格修正
order.Price = order.Price // self.t.instruments[
order.Instrument].PriceTick * self.t.instruments[
order.Instrument].PriceTick
if order.Offset != OffsetType.Open:
key = '{0}_{1}'.format(
order.Instrument,
'Sell' if order.Direction == DirectType.Buy else 'Buy')
# 无效,没提示...pf = PositionField()
pf = self.t.positions.get(key)
if not pf or pf.Position <= 0:
self.cfg.log.error('没有对应的持仓')
else:
volClose = min(pf.Position, order.Volume) # 可平量
instField = self.t.instruments[order.Instrument]
if instField.ExchangeID == 'SHFE':
tdClose = min(volClose, pf.TdPosition)
if tdClose > 0:
self.t.ReqOrderInsert(order.Instrument,
order.Direction,
OffsetType.CloseToday,
order.Price, tdClose,
OrderType.Limit, order_id)
volClose -= tdClose
if volClose > 0:
self.t.ReqOrderInsert(order.Instrument,
order.Direction,
OffsetType.Close, order.Price,
volClose, OrderType.Limit,
order_id)
else:
self.t.ReqOrderInsert(order.Instrument, order.Direction,
OffsetType.Open, order.Price,
order.Volume, OrderType.Limit, order_id)
def get_orders(self, stra):
"""获取策略相关的委托列表"""
rtn = []
for (k, v) in self.t.orders.items():
if v.Custom // 1000 == stra.ID:
rtn.append(v)
return rtn
def get_lastorder(self, stra):
"""获取最后一个委托"""
rtn = self.get_orders(stra)
if len(rtn) > 0:
sorted(rtn, key=lambda o: o.Custom)
return rtn[-1]
return None
def get_notfill_orders(self, stra):
"""获取未成交委托"""
rtn = []
orders = self.get_orders(stra)
if len(orders) > 0:
for order in orders:
if order.Status == OrderStatus.Normal or order.Status == OrderStatus.Partial:
rtn.append(order)
return rtn
def req_order(self,
instrument: str,
dire: DirectType,
offset: OffsetType,
price: float,
volume: int,
type: OrderType = OrderType.Limit,
stra: Strategy = ''):
"""发送委托"""
order_id = stra.ID * 1000 + len(stra.GetOrders()) + 1
# 价格修正
price = price // self.t.instruments[
instrument].PriceTick * self.t.instruments[instrument].PriceTick
self.t.ReqOrderInsert(instrument, dire, offset, price, volume, type,
order_id)
def cancel_all(self, stra):
"""撤销所有委托"""
for order in self.get_notfill_orders(stra):
self.t.ReqOrderAction(order.OrderID)
def load_strategy(self):
"""加载../strategy目录下的策略"""
"""通过文件名取到对应的继承Data的类并实例"""
if not self.cfg.stra_path:
return
for path in self.cfg.stra_path:
for stra_name in self.cfg.stra_path[path]:
f = os.path.join(path, '{}.py'.format(stra_name))
# 只处理对应的 py文件
if os.path.isdir(f) or os.path.splitext(f)[0] == '__init__':
continue
# 以目录结构作为 namespace
module_name = "{0}.{1}".format(
os.path.split(os.path.dirname(f))[1], stra_name)
module = __import__(module_name) # import module
c = getattr(getattr(module, stra_name),
stra_name) # 双层调用才是class,单层是为module
if not issubclass(c, Strategy): # 类c是Data的子类
continue
# 与策略文件同名的 yaml 作为配置文件处理
cfg_name = os.path.join(path, '{0}.yml'.format(stra_name))
if os.path.exists(cfg_name):
with open(cfg_name,
encoding='utf-8') as stra_cfg_json_file:
params = yaml.load(stra_cfg_json_file)
for param in [p for p in params
if p is not None]: # 去除None的配置
if param['ID'] not in self.cfg.stra_path[path][
stra_name]:
continue
stra: Strategy = c(param)
stra.ID = param['ID']
self.cfg.log.info("# strategy:{0}".format(stra))
for data in stra.Datas:
data.InstrumentInfo = self.instrument_info[
data.Instrument]
data.SingleOrderOneBar = self.cfg.single_order_one_bar
self.stra_instances.append(stra)
else:
self.cfg.log.error("缺少对应的 yaml 配置文件{0}".format(cfg_name))
def get_data_zmq(self, req: ReqPackage) -> dict:
''''''
# pip install pyzmq即可安装
context = zmq.Context()
socket = context.socket(zmq.REQ) # REQ模式,即REQ-RSP CS结构
# socket.connect('tcp://localhost:8888') # 连接本地测试
socket.connect(self.cfg.cfg_zmq) # 实际netMQ数据服务器地址
p = req.__dict__()
req['Type'] = req.Type.value
socket.send_json(p) # 直接发送__dict__转换的{}即可,不需要再转换成str
# msg = socket.recv_unicode() # 服务器此处查询出现异常, 排除中->C# 正常
# 用recv接收,但是默认的socket中并没有此提示函数(可能是向下兼容的函数),不知能否转换为其他格式
bs = socket.recv() # 此处得到的是bytes
# gzip解压:decompress(bytes)解压,会得到解压后的bytes,再用decode转成string
gzipper = gzip.decompress(bs).decode() # decode转换为string
# json解析:与dumps对应,将str转换为{}
if len(gzipper) == 0:
return {}
bs = json.loads(gzipper) # json解析
return bs
def read_bars(self, stra: Strategy) -> list:
"""netMQ"""
bars = []
for data in stra.Datas:
# 请求数据格式
req = ReqPackage()
req.Type = BarType.Min
req.Instrument = data.Instrument
req.Begin = stra.BeginDate
req.End = stra.EndDate
# __dict__返回diction格式,即{key,value}格式
for bar in self.get_data_zmq(req):
bar['Instrument'] = data.Instrument
bar['DateTime'] = bar.pop('_id')
bars.append(bar)
if stra.EndDate == time.strftime("%Y%m%d", time.localtime()):
# 实时K线数据
req.Type = BarType.Real
for bar in self.get_data_zmq(req):
bar['Instrument'] = data.Instrument
bar['DateTime'] = bar.pop('_id')
bars.append(bar)
bars.sort(key=lambda bar: bar['DateTime']) # 按时间升序
return bars
def read_data_test(self):
"""取历史和实时K线数据,并执行策略回测"""
stra: Strategy = None # 只为后面的提示信息创建
for stra in self.stra_instances:
self.cfg.log.info('策略 {0} 正在加载历史数据'.format(stra.ID))
if stra.TickTest:
tradingday = stra.BeginDate
tick: Tick = None
while tradingday < time.strftime('%Y%m%d', time.localtime()):
for tick in self.read_ticks(stra, tradingday):
for data in stra.Datas:
if data.Instrument == tick.Instrument:
data.on_tick(tick, tradingday)
tradingday = datetime.strftime(
datetime.strptime(tradingday, '%Y%m%d') +
timedelta(days=1), '%Y%m%d')
else:
listBar = []
bars = self.read_bars(stra)
listBar = [
Bar(b['DateTime'], b['Instrument'], b['High'], b['Low'],
b['Open'], b['Close'], b['Volume'], b['OpenInterest'],
b['Tradingday']) for b in bars
]
for bar in listBar:
for data in stra.Datas:
if data.Instrument == bar.Instrument:
data.__new_min_bar__(bar) # 调Data的onbar
# 生成策略的测试报告
# if len(stra.Orders) > 0:
# Report(stra)
self.cfg.log.war("test history is end.")
def link_fun(self):
'''策略函数与ATP关联'''
for stra in self.stra_instances:
stra._data_order = self.on_order
stra._get_orders = self.get_orders
stra._get_lastorder = self.get_lastorder
stra._get_notfill_orders = self.get_notfill_orders
stra._req_order = self.req_order
stra.ReqCancel = self.t.ReqOrderAction
stra._req_cancel_all = self.cancel_all
for data in stra.Datas:
if self.q is not None and self.q.logined:
self.q.ReqSubscribeMarketData(data.Instrument)
def OnFrontConnected(self, t: CtpTrade):
""""""
self.cfg.log.war("[trade] connected by client")
if self.t.ReqUserLogin:
self.t.ReqUserLogin(self.cfg.investor, self.cfg.password,
self.cfg.broker, self.cfg.product_info,
self.cfg.app_id, self.cfg.auth_code)
def relogin(self):
""""""
self.t.ReqUserLogout()
self.cfg.log.info(
'[trade] sleep 60 seconds to wait try connect next time')
time.sleep(60)
self.t.ReqConnect(self.cfg.front_trade)
def OnRspUserLogin(self, t: CtpTrade, info: InfoField):
""""""
if info.ErrorID == 0:
self.TradingDay = self.t.tradingday
self.get_actionday() # 取得交易日后才能取actionday
self.received_instrument.clear() # 记录收到的tick的合约
self.get_trading_time() # 取品种交易时间信息
if not self.q.logined:
self.q.OnConnected = self.q_OnFrontConnected
self.q.OnUserLogin = self.q_OnRspUserLogin
self.q.OnDisConnected = lambda o, x: self.cfg.log.war(
f'[QUOTE]disconnected: {x}')
# self.q.OnTick = self.q_Tick
self.q.OnTick = lambda o, f: threading.Thread(
target=self.q_Tick, args=(o, f)).start()
self.q.ReqConnect(self.cfg.front_quote)
if self.cfg.show_tick_time:
threading.Thread(target=self.showmsg).start()
self.cfg.log.info('[trade] {}'.format(info))
else:
self.cfg.log.error('[trade] {}'.format(info))
if info.ErrorID == 7:
threading.Thread(target=self.relogin).start()
def showmsg(self):
while self.t.logined:
if self.tick_time != '':
msg = ''
stra: Strategy = None
for stra in self.stra_instances:
msg += '{}[L={}; S={}]{}||'.format(
type(stra).__name__, stra.PositionLong,
stra.PositionShort, stra.Params)
print(self.tick_time + '||' + msg, end='\r')
time.sleep(1)
def get_stra(self, order: OrderField) -> Strategy:
lst = [
stra for stra in self.stra_instances
if stra.ID == order.Custom // 1000
]
if len(lst) > 0:
return lst[0]
return None
def OnOrder(self, t: CtpTrade, order: OrderField):
""""""
if not order.IsLocal:
return
self.cfg.log.info(order)
if order.VolumeLeft == 0:
return
stra = self.get_stra(order)
if stra is None:
return
if self.cfg.chasing:
threading.Thread(target=self.resend, args=(order, )).start()
stra.OnOrder(order)
def resend(self, order: OrderField):
wait = self.cfg.chasing['wait_seconds']
if wait > 0:
time.sleep(wait)
if order.VolumeLeft > 0:
self.t.ReqOrderAction(order.OrderID)
def OnCancel(self, t: CtpTrade, order: OrderField):
""""""
# self.cfg.log.info(order)
if not order.IsLocal:
return
if order.VolumeLeft == 0:
return
stra = self.get_stra(order)
if stra is None:
return
custom = order.Custom
custom = custom + 100
times = custom % 1000 // 100
if times <= self.cfg.chasing['resend_times']:
if order.Direction == DirectType.Buy:
price = self.q.inst_tick[
order.InstrumentID].AskPrice + self.cfg.chasing[
'offset_ticks'] * self.t.instruments[
order.InstrumentID].PriceTick
else:
price = self.q.inst_tick[
order.InstrumentID].BidPrice - self.cfg.chasing[
'offset_ticks'] * self.t.instruments[
order.InstrumentID].PriceTick
else:
if order.Direction == DirectType.Buy:
price = self.q.inst_tick[order.InstrumentID].UpperLimitPrice
else:
price = self.q.inst_tick[order.InstrumentID].LowerLimitPrice
self.t.ReqOrderInsert(order.InstrumentID,
order.Direction,
order.Offset,
price,
order.VolumeLeft,
OrderType.Limit,
pCustom=custom)
stra.OnCancel(order)
def OnTrade(self, t: CtpTrade, trade: TradeField):
""""""
order = self.t.orders[trade.OrderID]
if not order.IsLocal:
return
self.cfg.log.info(trade)
stra = self.get_stra(order)
if stra is None:
return
stra.OnTrade(trade)
def OnRtnErrOrder(self, t: CtpTrade, order: OrderField, info: InfoField):
""""""
if not order.IsLocal:
return
self.cfg.log.info(order)
stra = self.get_stra(order)
if stra is None:
return
stra.OnErrOrder(order, info)
def OnInstrumentStatus(self, obj, inst: str, status: InstrumentStatus):
"""
交易合约状态响应
:param obj: Trade
交易接口
:param inst: str
合约/品种
:param status: InstrumentStatus
状态
:return:
"""
# 夜盘结算or市场收盘自动退出
if (datetime.now().strftime('%H%M%S') < '030000' and sum([
1 if x == InstrumentStatus.Continous else 0
for x in self.t.instrument_status.values()
]) == 0) or (sum([
1 if x != InstrumentStatus.Closed else 0
for x in self.t.instrument_status.values()
]) == 0):
threading.Thread(target=self.close_api).start()
def close_api(self):
time.sleep(1)
if self.t and self.t.logined:
self.t.ReqUserLogout()
if self.q and self.q.logined:
self.q.ReqUserLogout()
def q_OnFrontConnected(self, q: CtpQuote):
""""""
self.cfg.log.info("[quote] connected by client")
self.q.ReqUserLogin(self.cfg.investor, self.cfg.password,
self.cfg.broker)
def q_OnRspUserLogin(self, q: CtpQuote, info: InfoField):
""""""
self.cfg.log.info('[quote] {}'.format(info))
for stra in self.stra_instances:
for data in stra.Datas:
self.q.ReqSubscribeMarketData(data.Instrument)
def q_Tick(self, q: CtpQuote, tick: Tick):
""""""
# 对tick时间进行修正处理
ut = tick.UpdateTime[0:6] + '00'
mins_dict = self.trade_time[tick.Instrument]
# 由下面的 updatetime[-2:0] != '00' 处理
if ut not in mins_dict['Mins']:
# 开盘/收盘
if ut in mins_dict['Opens']:
tick.UpdateTime = (datetime.strptime(ut, '%H:%M:%S') +
timedelta(minutes=1)).strftime('%H:%M:%S')
elif ut in mins_dict['Ends']:
# 重新登录会收到上一节的最后tick
tick_dt = datetime.strptime(
'{} {}'.format(datetime.now().strftime('%Y%m%d'),
tick.UpdateTime), '%Y%m%d %H:%M:%S')
now_dt = datetime.now()
diff_snd = 0
if tick_dt > now_dt:
diff_snd = (tick_dt - now_dt).seconds
else:
diff_snd = (now_dt - tick_dt).seconds
if diff_snd > 30:
return
tick.UpdateTime = (datetime.strptime(ut, '%H:%M:%S') +
timedelta(seconds=-1)).strftime('%H:%M:%S')
else:
return
# 首tick不处理(新开盘时会收到之前的旧数据)
if tick.Instrument not in self.received_instrument:
self.received_instrument.append(tick.Instrument)
return
actionday = self.TradingDay
if tick.UpdateTime[0:2] > '20':
actionday = self.Actionday
elif tick.UpdateTime[0:2] < '04':
actionday = self.Actionday1
ut = actionday[0:4] + '-' + actionday[4:6] + '-' + actionday[
6:] + ' ' + tick.UpdateTime
tick.UpdateTime = ut
for stra in self.stra_instances:
for data in stra.Datas:
if data.Instrument == tick.Instrument:
data.on_tick(tick, self.TradingDay)
self.tick_time = ut
def get_trading_time(self):
self.trade_time.clear()
req = ReqPackage()
req.Type = BarType.Time
times = self.get_data_zmq(req)
# 按时间排序, 确保最后实施的时间段作为依据.
# 根据时间段设置,生成 opens; ends; mins盘中时间
for group in times:
g_id = group['GroupId'] # list(group.keys())[0]
section = group['WorkingTimes'] # list(group.values())[0]
opens = []
ends = []
mins = []
for s in section:
opens.append((datetime.strptime(s['Begin'], '%H:%M:%S') +
timedelta(minutes=-1)).strftime('%H:%M:00'))
ends.append(s['End'])
t_begin = datetime.strptime('20180101' + s['Begin'],
'%Y%m%d%H:%M:%S')
s_end = datetime.strptime('20180101' + s['End'],
'%Y%m%d%H:%M:%S')
if t_begin > s_end: # 夜盘
s_end += timedelta(days=1)
while t_begin < s_end:
mins.append(t_begin.strftime('%H:%M:00'))
t_begin = t_begin + timedelta(minutes=1)
self.trade_time[g_id] = {
'Opens': opens,
'Ends': ends,
'Mins': mins
}
# 品种交易时间==>合约交易时间
for inst, info in self.t.instruments.items():
proc = info.ProductID
if proc in self.trade_time:
self.trade_time[inst] = self.trade_time[proc]
else:
self.trade_time[inst] = self.trade_time['default']
def get_actionday(self):
# 取交易日历
req = ReqPackage()
req.Type = BarType.TradeDate
self.trading_days = self.get_data_zmq(req)
req.Type = BarType.Product
products = self.get_data_zmq(req)
proc_dict = {}
for p in products:
proc_dict[p['_id']] = p
req.Type = BarType.InstrumentInfo
insts = self.get_data_zmq(req)
for inst_proc in insts:
proc = proc_dict[inst_proc['ProductID']]
f = InstrumentField()
f.ExchangeID = proc['ExchangeID']
f.InstrumentID = inst_proc['_id']
f.PriceTick = proc['PriceTick']
f.ProductID = inst_proc['ProductID']
f.ProductType = proc['ProductType']
f.VolumeMultiple = proc['VolumeTuple']
if 'MAXLIMITORDERVOLUME' in proc:
f.MaxOrderVolume = proc['MAXLIMITORDERVOLUME']
self.instrument_info[inst_proc['_id']] = f
# 接口未登录,不计算Actionday
if self.TradingDay == '':
return
self.Actionday = self.TradingDay if self.trading_days.index(
self.TradingDay) == 0 else self.trading_days[
self.trading_days.index(self.TradingDay) - 1]
self.Actionday1 = (datetime.strptime(self.Actionday, '%Y%m%d') +
timedelta(days=1)).strftime('%Y%m%d')
def Run(self):
""""""
if self.cfg.front_trade == '' or self.cfg.front_quote == '':
self.cfg.log.war('**** 交易接口未配置 ****')
self.get_actionday()
else:
if self.cfg.investor == '':
self.cfg.investor = input('invesorid on {}:'.format(
self.cfg.front_name))
else:
self.cfg.log.war('{} loging by ctp'.format(self.cfg.investor))
if self.cfg.password == '':
self.cfg.password = getpass.getpass()
if self.cfg.running_as_server:
self.cfg.log.war('7*24 as server ....')
threading.Thread(target=self._run_seven, daemon=True).start()
else:
self.cfg.log.war('run once only')
self.start_api()
while not self.q.logined:
time.sleep(1)
self.cfg.log.info('加载策略...')
self.load_strategy()
self.cfg.log.info('历史数据回测...')
self.read_data_test()
self.link_fun()
def start_api(self):
'''启动接口'''
self.t.OnConnected = self.OnFrontConnected
self.t.OnDisConnected = lambda o, x: self.cfg.log.war(
f'[TRADE]disconnected: {x}')
self.t.OnUserLogin = self.OnRspUserLogin
self.t.OnOrder = self.OnOrder
self.t.OnTrade = self.OnTrade
self.t.OnCancel = self.OnCancel
self.t.OnErrOrder = self.OnRtnErrOrder
self.t.OnInstrumentStatus = self.OnInstrumentStatus
self.t.ReqConnect(self.cfg.front_trade)
def _run_seven(self):
'''7*24'''
while True:
day = datetime.now().strftime('%Y%m%d')
left_days = list(filter(lambda x: x > day, self.trading_days))
if len(left_days) == 0:
self.cfg.log.info('读取交易日历...')
self.get_actionday()
self.cfg.log.info('读取交易日历完成')
left_days = list(filter(lambda x: x > day, self.trading_days))
next_trading_day = left_days[0]
has_hight = (datetime.strptime(next_trading_day, '%Y%m%d') -
datetime.strptime(day, '%Y%m%d')).days in [1, 3]
now_time = datetime.now().strftime('%H%M%S')
if not self.t.logined:
# 当前非交易日
sleep_seconds = 0
if day not in self.trading_days:
# 昨天有夜盘:今天凌晨有数据
if now_time <= '020000' and (
datetime.today() + timedelta.days(-1)
).strftime('%Y%m%d') in self.trading_days:
time.sleep(1)
else:
self.cfg.log.info('{} is not tradingday.'.format(day))
self.cfg.log.info(
'continue after {}'.format(next_trading_day +
' 08:30:00'))
sleep_seconds = (int)((datetime.strptime(
next_trading_day + '08:31:00', '%Y%m%d%H:%M:%S') -
datetime.now()).total_seconds())
elif now_time <= '083000':
self.cfg.log.info('continue after {}'.format(day +
' 08:30:00'))
sleep_seconds = (int)((
datetime.strptime(day + '08:31:00', '%Y%m%d%H:%M:%S') -
datetime.now()).total_seconds())
elif now_time >= '150000':
if has_hight:
if datetime.now().strftime('%H%M%S') < '203000':
self.cfg.log.info(
'continue after {}'.format(day + ' 20:30:00'))
sleep_seconds = (int)(
(datetime.strptime(day + '20:31:00',
'%Y%m%d%H:%M:%S') -
datetime.now()).total_seconds())
else:
self.cfg.log.info(
'continue after {}'.format(next_trading_day +
' 08:30:00'))
sleep_seconds = (int)((datetime.strptime(
next_trading_day + '08:31:00', '%Y%m%d%H:%M:%S') -
datetime.now()).total_seconds())
if sleep_seconds > 0:
time.sleep(sleep_seconds)
sleep_seconds = 0
# 启动接口
self.start_api()
time.sleep(10)
# 已收盘
# elif sum([1 if x != InstrumentStatus.Closed else 0 for x in self.t.instrument_status.values()]) == 0:
# self.t.ReqUserLogout()
# self.q.ReqUserLogout()
# if has_hight:
# self.cfg.log.info('continue after {}'.format(day + ' 20:30:00'))
# time.sleep((datetime.strptime(day + '20:31:00', '%Y%m%d%H:%M:%S') - datetime.now()).total_seconds())
# else:
# self.cfg.log.info('continue after {}'.format(next_trading_day + ' 08:30:00'))
# time.sleep((datetime.strptime(next_trading_day + '08:31:00', '%Y%m%d%H:%M:%S') - datetime.now()).total_seconds())
# # 夜盘全部非交易
# elif now_time < '030000' and sum([1 if x == InstrumentStatus.Continous else 0 for x in self.t.instrument_status.values()]) == 0:
# cur_trading_day = self.t.tradingday
# self.t.ReqUserLogout()
# self.q.ReqUserLogout()
# # cur_trading_day = self.trading_days[self.trading_days.index(next_trading_day) - 1] 周末时取值不对
# self.cfg.log.info('continue after {}'.format(cur_trading_day + ' 08:30:00'))
# time.sleep((datetime.strptime(cur_trading_day + '08:31:00', '%Y%m%d%H:%M:%S') - datetime.now()).total_seconds())
else:
time.sleep(60 * 10)
class ATP(object):
""""""
def __init__(self):
self.TradingDay = ''
self.ActionDay = ''
self.ActionDay1 = ''
self.tick_time = ''
self.cfg = Config()
self.stra_instances = []
dllpath = os.path.join(os.getcwd(), self.cfg.ctp_dll_path)
self.q = CtpQuote(dllpath)
self.t = CtpTrade(dllpath)
def on_order(self, stra: Strategy, data: Data, order: OrderItem):
"""此处调用ctp接口即可实现实际下单"""
# print('stra order')
self.cfg.log.war('{0}\t{1}\t{2}\t{3}\t{4}\t{5}\t{6}\n'.format(
len(stra.Orders), stra.D[-1], order.Direction, order.Offset,
order.Price, order.Volume, order.Remark))
if self.cfg.real_order_enable:
# print(order)
order_id = stra.ID * 1000 + len(stra.GetOrders()) + 1
# 价格修正
order.Price = order.Price // self.t.instruments[
order.Instrument].PriceTick * self.t.instruments[
order.Instrument].PriceTick
if order.Offset != OffsetType.Open:
key = '{0}_{1}'.format(
order.Instrument,
'Sell' if order.Direction == DirectType.Buy else 'Buy')
# 无效,没提示...pf = PositionField()
pf = self.t.positions.get(key)
if not pf or pf.Position <= 0:
self.cfg.log.error('没有对应的持仓')
else:
volClose = min(pf.Position, order.Volume) # 可平量
instField = self.t.instruments[order.Instrument]
if instField.ExchangeID == 'SHFE':
tdClose = min(volClose, pf.TdPosition)
if tdClose > 0:
self.t.ReqOrderInsert(order.Instrument,
order.Direction,
OffsetType.CloseToday,
order.Price, tdClose,
OrderType.Limit, order_id)
volClose -= tdClose
if volClose > 0:
self.t.ReqOrderInsert(order.Instrument,
order.Direction,
OffsetType.Close, order.Price,
volClose, OrderType.Limit,
order_id)
else:
self.t.ReqOrderInsert(order.Instrument, order.Direction,
OffsetType.Open, order.Price,
order.Volume, OrderType.Limit, order_id)
def get_orders(self, stra):
"""获取策略相关的委托列表"""
rtn = []
for (k, v) in self.t.orders.items():
if v.Custom // 1000 == stra.ID:
rtn.append(v)
return rtn
def get_lastorder(self, stra):
"""获取最后一个委托"""
rtn = self.get_orders(stra)
if len(rtn) > 0:
sorted(rtn, key=lambda o: o.Custom)
return rtn[-1]
return None
def get_notfill_orders(self, stra):
"""获取未成交委托"""
rtn = []
orders = self.get_orders(stra)
if len(orders) > 0:
for order in orders:
if order.Status == OrderStatus.Normal or order.Status == OrderStatus.Partial:
rtn.append(order)
return rtn
def req_order(self,
instrument: str,
dire: DirectType,
offset: OffsetType,
price: float,
volume: int,
type: OrderType = OrderType.Limit,
stra: Strategy = ''):
"""发送委托"""
order_id = stra.ID * 1000 + len(stra.GetOrders()) + 1
# 价格修正
price = price // self.t.instruments[
instrument].PriceTick * self.t.instruments[instrument].PriceTick
self.t.ReqOrderInsert(instrument, dire, offset, price, volume, type,
order_id)
def cancel_all(self, stra):
"""撤销所有委托"""
for order in self.get_notfill_orders(stra):
self.t.ReqOrderAction(order.OrderID)
def load_strategy(self):
"""加载../strategy目录下的策略"""
"""通过文件名取到对应的继承Data的类并实例"""
for path in self.cfg.stra_path:
for filename in self.cfg.stra_path[path]:
f = os.path.join(sys.path[0],
'../{0}/{1}.py'.format(path, filename))
# 只处理对应的 py文件
if os.path.isdir(f) or os.path.splitext(f)[0] == '__init__':
continue
# 以目录结构作为 namespace
module_name = "{0}.{1}".format(path, filename)
class_name = filename
module = __import__(module_name) # import module
c = getattr(getattr(module, class_name),
class_name) # 双层调用才是class,单层是为module
if not issubclass(c, Strategy): # 类c是Data的子类
continue
# 与策略文件同名的json作为配置文件处理
# file_name = os.path.join(os.getcwd(), path, '{0}.json'.format(class_name))
# if os.path.exists(file_name):
# with open(file_name, encoding='utf-8') as stra_cfg_json_file:
# cfg = json.load(stra_cfg_json_file)
file_name = os.path.join(os.getcwd(), path,
'{0}.yml'.format(class_name))
if os.path.exists(file_name):
with open(file_name,
encoding='utf-8') as stra_cfg_json_file:
params = yaml.load(stra_cfg_json_file)
for param in [p for p in params
if p is not None]: # 去除None的配置
if param['ID'] not in self.cfg.stra_path[path][
filename]:
continue
stra: Strategy = c(param)
stra.ID = param['ID']
self.cfg.log.info("# strategy:{0}".format(stra))
for data in stra.Datas:
data.SingleOrderOneBar = self.cfg.single_order_one_bar
self.stra_instances.append(stra)
else:
self.cfg.log.error("缺少对应的json文件{0}".format(file_name))
def get_data_zmq(self, req: ReqPackage) -> []:
''''''
# pip install pyzmq即可安装
context = zmq.Context()
socket = context.socket(zmq.REQ) # REQ模式,即REQ-RSP CS结构
# socket.connect('tcp://localhost:8888') # 连接本地测试
socket.connect(self.cfg.cfg_zmq) # 实际netMQ数据服务器地址
p = req.__dict__()
req['Type'] = req.Type.value
socket.send_json(p) # 直接发送__dict__转换的{}即可,不需要再转换成str
# msg = socket.recv_unicode() # 服务器此处查询出现异常, 排除中->C# 正常
# 用recv接收,但是默认的socket中并没有此提示函数(可能是向下兼容的函数),不知能否转换为其他格式
bs = socket.recv() # 此处得到的是bytes
# gzip解压:decompress(bytes)解压,会得到解压后的bytes,再用decode转成string
gzipper = gzip.decompress(bs).decode() # decode转换为string
# json解析:与dumps对应,将str转换为{}
bs = json.loads(gzipper) # json解析
return bs
def read_bars_pg(self, req: ReqPackage) -> []:
"""从postgres中读取数据"""
if self.cfg.engine_postgres:
conn = self.cfg.engine_postgres.raw_connection()
cursor = conn.cursor()
if req.Type == BarType.Min:
sql = 'select "DateTime", \'{0}\' as "Instrument", "Tradingday", "High", "Low", "Open", "Close", "Volume", "OpenInterest" from future_min."{0}" where "Tradingday" between \'{1}\' and \'{2}\''.format(
req.Instrument, req.Begin, req.End)
if req.Type == BarType.Real:
sql = 'select "DateTime", "Instrument", "Tradingday", "High", "Low", "Open", "Close", "Volume", "OpenInterest" from future_min.future_real where "Instrument" = \'{}\''.format(
req.Instrument)
cursor.execute(sql)
data = cursor.fetchall()
keys = [
"DateTime", "Instrument", "Tradingday", "High", "Low", "Open",
"Close", "Volume", "OpenInterest"
]
parsed_data = []
for row in data:
parsed_data.append(dict(zip(keys, row)))
return parsed_data
def read_bars(self, stra: Strategy) -> []:
"""netMQ"""
bars = []
for data in stra.Datas:
# 请求数据格式
req = ReqPackage()
req.Type = BarType.Min
req.Instrument = stra.Instrument
req.Begin = stra.BeginDate
req.End = stra.EndDate
# __dict__返回diction格式,即{key,value}格式
if self.cfg.engine_postgres:
bars = bars + self.read_bars_pg(req)
else:
for bar in self.get_data_zmq(req):
bar['Instrument'] = data.Instrument
bar['DateTime'] = bar.pop('_id')
bars.append(bar)
if stra.EndDate == time.strftime("%Y%m%d", time.localtime()):
# 实时K线数据
req.Type = BarType.Real
if self.cfg.engine_postgres:
bars = bars + self.read_bars_pg(req)
else:
for bar in self.get_data_zmq(req):
bar['Instrument'] = data.Instrument
bar['DateTime'] = bar.pop('_id')
bars.append(bar)
bars.sort(key=lambda bar: bar['DateTime']) # 按时间升序
return bars
def read_ticks(self, stra: Strategy, tradingday: str) -> []:
"""读取tick数据
返回 list[Tick]"""
ticks: list = []
if self.cfg.engine_postgres is not None:
conn = self.cfg.engine_postgres.raw_connection()
cursor = conn.cursor()
sql = "select count(1) from pg_tables where schemaname='future_tick' and tablename='{}'".format(
tradingday)
try:
cursor.execute(sql)
if cursor.fetchone()[0] == 0:
return []
for data in stra.Datas:
sql = 'select "Actionday", "AskPrice", "AskVolume", "BidPrice", "BidVolume", "Instrument", "LastPrice", "OpenInterest", "UpdateMillisec", "UpdateTime", "Volume" from future_tick."{}" where "Instrument" = \'{}\''.format(
tradingday, data.Instrument)
cursor.execute(sql)
rows = cursor.fetchall()
for d in rows:
tick = Tick()
tick.Instrument = data.Instrument
tick.AskPrice = d[1]
tick.AskVolume = d[2]
tick.BidPrice = d[3]
tick.BidVolume = d[4]
tick.LastPrice = d[6]
tick.OpenInterest = d[7]
tick.UpdateMillisec = d[8]
tick.UpdateTime = d[0][0:4] + '-' + d[0][
4:6] + '-' + d[0][6:] + ' ' + d[9]
tick.Volume = d[10]
ticks.append(tick)
finally:
conn.close()
ticks.sort(key=lambda t: t.UpdateTime)
return ticks
def read_data_test(self):
"""取历史和实时K线数据,并执行策略回测"""
stra: Strategy = None # 只为后面的提示信息创建
for stra in self.stra_instances:
self.cfg.log.info('策略 {0} 正在加载历史数据'.format(stra.ID))
if stra.TickTest:
tradingday = stra.BeginDate
tick: Tick = None
while tradingday < time.strftime('%Y%m%d', time.localtime()):
for tick in self.read_ticks(stra, tradingday):
for data in stra.Datas:
if data.Instrument == tick.Instrument:
data.on_tick(tick, tradingday)
tradingday = datetime.strftime(
datetime.strptime(tradingday, '%Y%m%d') +
timedelta(days=1), '%Y%m%d')
else:
listBar = []
bars = self.read_bars(stra)
listBar = [
Bar(b['DateTime'], b['Instrument'], b['High'], b['Low'],
b['Open'], b['Close'], b['Volume'], b['OpenInterest'],
b['Tradingday']) for b in bars
]
for bar in listBar:
for data in stra.Datas:
if data.Instrument == bar.Instrument:
data.__new_min_bar__(bar) # 调Data的onbar
# 生成策略的测试报告
Report(stra)
self.cfg.log.war("test history is end.")
def link_fun(self):
'''策略函数与ATP关联'''
for stra in self.stra_instances:
stra._data_order = self.on_order
stra._get_orders = self.get_orders
stra._get_lastorder = self.get_lastorder
stra._get_notfill_orders = self.get_notfill_orders
stra._req_order = self.req_order
stra.ReqCancel = self.t.ReqOrderAction
stra._req_cancel_all = self.cancel_all
for data in stra.Datas:
if self.q is not None and self.q.logined:
self.q.ReqSubscribeMarketData(data.Instrument)
def OnFrontConnected(self, t: CtpTrade):
""""""
self.cfg.log.war("t:connected by client")
if self.t.ReqUserLogin:
self.t.ReqUserLogin(self.cfg.investor, self.cfg.pwd,
self.cfg.broker)
def relogin(self):
""""""
self.t.ReqUserLogout()
self.cfg.log.info('sleep 60 seconds to wait try connect next time')
time.sleep(60)
self.t.ReqConnect(self.cfg.front_trade)
def OnRspUserLogin(self, t: CtpTrade, info: InfoField):
""""""
self.cfg.log.info('{0}:{1}'.format(info.ErrorID, info.ErrorMsg))
if info.ErrorID == 7:
threading.Thread(target=self.relogin).start()
if info.ErrorID == 0:
self.TradingDay = self.t.tradingday
self.get_actionday() # 取得交易日后才能取actionday
if not self.q.logined:
self.q.OnConnected = self.q_OnFrontConnected
self.q.OnUserLogin = self.q_OnRspUserLogin
# self.q.OnTick = self.q_Tick
self.q.OnTick = lambda o, f: threading.Thread(
target=self.q_Tick, args=(o, f)).start()
self.q.ReqConnect(self.cfg.front_quote)
threading.Thread(target=self.showmsg).start()
def showmsg(self):
while self.t.logined:
if self.tick_time != '':
msg = ''
stra: Strategy = None
for stra in self.stra_instances:
msg += '{}[L={}; S={}]{}||'.format(
type(stra).__name__, stra.PositionLong,
stra.PositionShort, stra.Params)
print(self.tick_time + '||' + msg, end='\r')
time.sleep(1)
def get_stra(self, order: OrderField) -> Strategy:
lst = [
stra for stra in self.stra_instances
if stra.ID == order.Custom // 1000
]
if len(lst) > 0:
return lst[0]
return None
def OnOrder(self, t: CtpTrade, order: OrderField):
""""""
if not order.IsLocal:
return
self.cfg.log.info(order)
if order.VolumeLeft == 0:
return
stra = self.get_stra(order)
if stra is None:
return
if self.cfg.chasing:
threading.Thread(target=self.resend, args=(order, )).start()
stra.OnOrder(order)
def resend(self, order: OrderField):
time.sleep(self.cfg.chasing['wait_seconds'])
if order.VolumeLeft > 0:
self.t.ReqOrderAction(order.OrderID)
def OnCancel(self, t: CtpTrade, order: OrderField):
""""""
# self.cfg.log.info(order)
if not order.IsLocal:
return
if order.VolumeLeft == 0:
return
stra = self.get_stra(order)
if stra is None:
return
custom = order.Custom
custom = custom + 100
times = custom % 1000 // 100
if times <= self.cfg.chasing['resend_times']:
if order.Direction == DirectType.Buy:
price = self.q.inst_tick[
order.InstrumentID].AskPrice + self.cfg.chasing[
'offset_ticks'] * self.t.instruments[
order.InstrumentID].PriceTick
else:
price = self.q.inst_tick[
order.InstrumentID].BidPrice - self.cfg.chasing[
'offset_ticks'] * self.t.instruments[
order.InstrumentID].PriceTick
else:
if order.Direction == DirectType.Buy:
price = self.q.inst_tick[order.InstrumentID].UpperLimitPrice
else:
price = self.q.inst_tick[order.InstrumentID].LowerLimitPrice
self.t.ReqOrderInsert(order.InstrumentID,
order.Direction,
order.Offset,
price,
order.VolumeLeft,
OrderType.Limit,
pCustom=custom)
stra.OnCancel(order)
def OnTrade(self, t: CtpTrade, trade: TradeField):
""""""
order = self.t.orders[trade.OrderID]
if not order.IsLocal:
return
self.cfg.log.info(trade)
stra = self.get_stra(order)
if stra is None:
return
stra.OnTrade(trade)
def OnRtnErrOrder(self, t: CtpTrade, order: OrderField, info: InfoField):
""""""
if not order.IsLocal:
return
self.cfg.log.info(order)
stra = self.get_stra(order)
if stra is None:
return
stra.OnErrOrder(order, info)
def q_OnFrontConnected(self, q: CtpQuote):
""""""
self.cfg.log.info("q:connected by client")
self.q.ReqUserLogin(self.cfg.broker, self.cfg.investor, self.cfg.pwd)
def q_OnRspUserLogin(self, q: CtpQuote, info: InfoField):
""""""
self.cfg.log.info(info)
for stra in self.stra_instances:
for data in stra.Datas:
self.q.ReqSubscribeMarketData(data.Instrument)
def q_Tick(self, q: CtpQuote, tick: Tick):
""""""
# print(tick)
# self.fix_tick(tick)
actionday = self.TradingDay
if tick.UpdateTime[0:2] > '20':
actionday = self.Actionday
elif tick.UpdateTime[0:2] < '04':
actionday = self.Actionday1
ut = actionday[0:4] + '-' + actionday[4:6] + '-' + actionday[
6:] + ' ' + tick.UpdateTime
tick.UpdateTime = ut
for stra in self.stra_instances:
for data in stra.Datas:
if data.Instrument == tick.Instrument:
data.on_tick(tick, self.TradingDay)
self.tick_time = ut
def get_actionday(self):
# 接口未登录,不计算Actionday
if self.TradingDay == '':
return
if self.cfg.engine_postgres:
conn = self.cfg.engine_postgres.raw_connection()
cursor = conn.cursor()
cursor.execute(
'select _id from future_config.trade_date where trading = 1')
self.trading_days = [c[0] for c in cursor.fetchall()]
else:
req = ReqPackage()
req.Type = BarType.TradeDate
self.trading_days = self.get_data_zmq(req)
self.Actionday = self.TradingDay if self.trading_days.index(
self.TradingDay) == 0 else self.trading_days[
self.trading_days.index(self.TradingDay) - 1]
self.Actionday1 = (datetime.strptime(self.Actionday, '%Y%m%d') +
timedelta(days=1)).strftime('%Y%m%d')
def CTPRun(self):
""""""
if self.cfg.front_trade == '' or self.cfg.front_quote == '':
self.cfg.log.war('交易接口未配置')
return
if self.cfg.investor == '':
self.cfg.investor = input('invesorid on {}:'.format(
self.cfg.front_name))
else:
self.cfg.log.war('{} loging by ctp'.format(self.cfg.investor))
if self.cfg.pwd == '':
self.cfg.pwd = getpass.getpass()
self.t.OnConnected = self.OnFrontConnected
self.t.OnDisConnected = lambda o, x: print('disconnected: {}'.format(x)
)
self.t.OnUserLogin = self.OnRspUserLogin
self.t.OnOrder = self.OnOrder
self.t.OnTrade = self.OnTrade
self.t.OnCancel = self.OnCancel
self.t.OnErrOrder = self.OnRtnErrOrder
self.t.OnInstrumentStatus = lambda x, y, z: str(z
) # print(z) 不再打印交易状态
self.t.ReqConnect(self.cfg.front_trade)
while not self.q.logined:
time.sleep(1)
class TickCtp(object):
""""""
def __init__(self):
"""初始化"""
self.inst_mins = {}
self.received_tick = []
self.trade_time = {}
self.trading_days = []
self.TradingDay = ''
self.Actionday = ''
self.Actionday1 = ''
# tick时间
self.tick_time = ''
# 计算指数相关
self.product_time = {}
self.product_rate = {}
self.inst_queue = Queue(0)
# 当前文件路径
self.cwd = os.path.dirname(os.path.realpath(__file__))
self.t = CtpTrade()
self.q = CtpQuote()
def OnFrontConnected(self, obj):
cfg.log.war('t:connected')
self.t.ReqUserLogin(cfg.investor, cfg.pwd, cfg.broker, '@haifeng',
cfg.appid, cfg.authcode)
def OnFrontDisConnected(self, obj: CtpTrade, reason: int):
cfg.log.war('t:disconnectd:{}'.format(reason))
def OnRspUserLogin(self, obj: CtpTrade, info: InfoField):
cfg.log.info('t:{}'.format(info))
if info.ErrorID == 0:
self.TradingDay = obj.tradingday
self.received_tick.clear()
self.inst_mins.clear()
threading.Thread(target=self.start_quote).start()
def start_quote(self):
""""""
self.get_actionday()
self.get_trading_time()
# 品种交易时间==>合约交易时间
for inst, info in self.t.instruments.items():
proc = info.ProductID
if proc in self.trade_time:
self.trade_time[inst] = self.trade_time[proc]
else:
self.trade_time[inst] = self.trade_time['default']
# 隔夜时:行情重新登录后会重新获取夜盘的数据
# if len(self.inst_pre_vol) == 0:
cfg.log.info(f'req connect quote front address: {cfg.front_quote}')
self.q.OnConnected = self.q_OnFrontConnected
self.q.OnDisconnected = self.q_OnDisConnected
self.q.OnUserLogin = self.q_OnRspUserLogin
self.q.OnTick = self.q_OnTick
self.q.ReqConnect(cfg.front_quote)
def q_OnFrontConnected(self, obj):
cfg.log.war('q:connected')
self.q.ReqUserLogin(cfg.investor, cfg.pwd, cfg.broker)
def q_OnDisConnected(self, obj, nReason: int):
cfg.log.war('q:disconnected')
def q_OnRspUserLogin(self, obj, info):
cfg.log.info('q:{}'.format(info))
for proc in [p.ProductID for p in self.t.instruments.values()]:
self.inst_mins[proc + '_000'] = {'pre_vol': 0}
for inst in [
i.InstrumentID for i in self.t.instruments.values()
if i.ProductType != 'EFP' and i.ProductType != 'Combination'
]:
self.inst_mins[inst] = {'pre_vol': 0}
if cfg.rds:
if cfg.rds.exists(inst):
self.inst_mins[inst] = json.loads(
cfg.rds.lindex(inst, -1).replace('\'', '"'))
if 'pre_vol' not in self.inst_mins[inst]:
self.inst_mins[inst]['pre_vol'] = 0
self.q.ReqSubscribeMarketData(inst)
# self.q.ReqSubscribeMarketData('rb1901')
cfg.log.info('sub count:{}'.format(len(self.inst_mins)))
def q_OnTick(self, obj: CtpQuote, tick: Tick):
# 某个合约报 most recent call last 错误: 尝试改为线程处理
if sys.float_info.max == tick.LastPrice: # or sys.float_info.max == tick.AskPrice or sys.float_info.max == tick.BidPrice or sys.float_info.max == tick.LowerLimitPrice:
return
threading.Thread(target=self.run_tick, args=(tick, )).start()
# 非线程模式,导致数据延时
# self.run_tick(tick)
def run_tick(self, tick: Tick):
# 对tick时间进行修正处理
ut = tick.UpdateTime[0:6] + '00'
mins_dict = self.trade_time[tick.Instrument]
# 由下面的 updatetime[-2:0] != '00' 处理
if ut not in mins_dict['Mins']:
# 开盘/收盘
if ut in mins_dict['Opens']:
ut = (datetime.strptime(ut, '%H:%M:%S') +
timedelta(minutes=1)).strftime('%H:%M:%S')
elif ut in mins_dict['Ends']:
# 重新登录会收到上一节的最后tick
tick_dt = datetime.strptime(
'{} {}'.format(datetime.now().strftime('%Y%m%d'),
tick.UpdateTime), '%Y%m%d %H:%M:%S')
now_dt = datetime.now()
diff_snd = 0
if tick_dt > now_dt:
diff_snd = (tick_dt - now_dt).seconds
else:
diff_snd = (now_dt - tick_dt).seconds
if diff_snd > 30:
return
ut = (datetime.strptime(ut, '%H:%M:%S') +
timedelta(minutes=-1)).strftime('%H:%M:%S')
else:
return
# 首tick不处理(新开盘时会收到之前的旧数据)
if tick.Instrument not in self.received_tick:
self.received_tick.append(tick.Instrument)
return
proc: InstrumentField = self.t.instruments.get(tick.Instrument)
if not proc:
return
# 合约合成分钟
self.tick_min(tick, ut)
# 指数合约合成分成
# pre_time = self.product_time.get(proc.ProductID)
# if not pre_time:
# self.product_time[proc.ProductID] = tick.UpdateTime
# elif pre_time != tick.UpdateTime and tick.UpdateTime[-2:0] != '00': # 整分时等下一秒再处理,以处理小节收盘单tick的问题
# self.product_time[proc.ProductID] = tick.UpdateTime
# # 计算合约权重
# ticks = [f for k, f in self.q.inst_tick.items() if self.t.instruments[k].ProductID == proc.ProductID]
# sum_oi = sum([f.OpenInterest for f in ticks])
# if sum_oi == 0:
# return
# rate = json.loads('{{{}}}'.format(','.join(['"{}":{}'.format(f.Instrument, f.OpenInterest / sum_oi) for f in ticks])))
# # 计算000
# tick000: Tick = Tick()
# tick000.Instrument = proc.ProductID + '_000'
# tick000.UpdateTime = tick.UpdateTime
# for inst, rate in rate.items():
# f: Tick = self.q.inst_tick[inst]
# tick000.AskPrice += f.AskPrice * rate
# tick000.BidPrice += f.BidPrice * rate
# tick000.LastPrice += f.LastPrice * rate
# tick000.AveragePrice += f.AveragePrice * rate
# tick000.LowerLimitPrice += f.LowerLimitPrice * rate
# tick000.UpperLimitPrice += f.UpperLimitPrice * rate
# tick000.AskVolume += f.AskVolume
# tick000.BidVolume += f.BidVolume
# tick000.Volume += f.Volume
# tick000.OpenInterest += f.OpenInterest
# try:
# # 防止因值为 sys.float_info.max 而报错: 只有lastprice参与分钟数据计算
# # tick000.AskPrice = round(tick000.AskPrice / proc.PriceTick) * proc.PriceTick
# # tick000.BidPrice = round(tick000.BidPrice / proc.PriceTick) * proc.PriceTick
# tick000.LastPrice = round(tick000.LastPrice / proc.PriceTick) * proc.PriceTick
# # tick000.AveragePrice = round(tick000.AveragePrice / proc.PriceTick) * proc.PriceTick
# # tick000.LowerLimitPrice = round(tick000.LowerLimitPrice / proc.PriceTick) * proc.PriceTick
# # tick000.UpperLimitPrice = round(tick000.UpperLimitPrice / proc.PriceTick) * proc.PriceTick
# except Exception as identifier:
# cfg.log.error(str(identifier))
# # cfg.log.error('tick:{0}-{1},000:{2},rate:{3}'.format(tick.Instrument, tick.AskPrice, tick000.AskPrice, proc.PriceTick))
# self.tick_min(tick000, ut)
def tick_min(self, tick: Tick, ut: str):
actionday = self.TradingDay
if ut[0:2] > '20':
actionday = self.Actionday
elif ut[0:2] < '04':
actionday = self.Actionday1
# 分钟入库
cur_min = self.inst_mins[tick.Instrument]
if '_id' not in cur_min or cur_min['_id'][11:] != ut:
cur_min['_id'] = actionday[0:4] + '-' + actionday[
4:6] + '-' + actionday[6:] + ' ' + ut
cur_min['TradingDay'] = self.TradingDay
cur_min['Low'] = cur_min['Close'] = cur_min['High'] = cur_min[
'Open'] = tick.LastPrice
cur_min['OpenInterest'] = tick.OpenInterest
# cur_min['AveragePrice'] = tick.AveragePrice
# 首个tick不计算成交量, 否则会导致隔夜的早盘第一个分钟的成交量非常大
cur_min['Volume'] = tick.Volume - cur_min['pre_vol']
cur_min['pre_vol'] = tick.Volume
if cfg.rds:
cfg.rds.rpush(tick.Instrument, json.dumps(cur_min))
else:
cur_min['High'] = max(cur_min['High'], tick.LastPrice)
cur_min['Low'] = min(cur_min['Low'], tick.LastPrice)
cur_min['Close'] = tick.LastPrice
cur_min['OpenInterest'] = tick.OpenInterest
cur_min['Volume'] = tick.Volume - cur_min['pre_vol']
if cfg.rds:
cfg.rds.lset(tick.Instrument, -1, json.dumps(cur_min))
self.tick_time = tick.UpdateTime
def get_actionday(self):
with open(os.path.join(self.cwd, 'calendar.csv')) as f:
reader = csv.DictReader(f)
for r in reader:
if r['tra'] == 'false':
continue
self.trading_days.append(r['day'])
# 接口未登录,不计算Actionday
if self.TradingDay == '':
return
self.Actionday = self.TradingDay if self.trading_days.index(
self.TradingDay) == 0 else self.trading_days[
self.trading_days.index(self.TradingDay) - 1]
self.Actionday1 = (datetime.strptime(self.Actionday, '%Y%m%d') +
timedelta(days=1)).strftime('%Y%m%d')
def get_trading_time(self):
self.trade_time.clear()
tmp = {}
# conn = cfg.pg.raw_connection()
# cursor = conn.cursor()
# cursor.execute('select "GroupId", "WorkingTimes" from (select "GroupId", "OpenDate", "WorkingTimes", row_number() over(partition by "GroupId" order by "OpenDate" desc) as row_no from future.tradingtime) a where row_no=1')
# g = cursor.fetchall()
with open(os.path.join(self.cwd, 'tradingtime.csv')) as f:
reader = csv.DictReader(f)
proc_day = {}
for r in reader:
# 按时间排序, 确保最后实施的时间段作为依据.
if r['GroupId'] not in proc_day or r['OpenDate'] > proc_day[
r['GroupId']]:
tmp[r['GroupId']] = r['WorkingTimes']
proc_day[r['GroupId']] = r['OpenDate']
# 根据时间段设置,生成 opens; ends; mins盘中时间
for g_id, section in tmp.items():
opens = []
ends = []
mins = []
for s in json.loads(section):
opens.append((datetime.strptime(s['Begin'], '%H:%M:%S') +
timedelta(minutes=-1)).strftime('%H:%M:00'))
ends.append(s['End'])
t_begin = datetime.strptime('20180101' + s['Begin'],
'%Y%m%d%H:%M:%S')
s_end = datetime.strptime('20180101' + s['End'],
'%Y%m%d%H:%M:%S')
if t_begin > s_end: # 夜盘
s_end += timedelta(days=1)
while t_begin < s_end:
mins.append(t_begin.strftime('%H:%M:00'))
t_begin = t_begin + timedelta(minutes=1)
self.trade_time[g_id] = {
'Opens': opens,
'Ends': ends,
'Mins': mins
}
def run(self):
""""""
self.t.OnConnected = self.OnFrontConnected
self.t.OnUserLogin = self.OnRspUserLogin
self.t.OnDisConnected = self.OnFrontDisConnected
self.t.OnInstrumentStatus = lambda x, y, z: str(z)
cfg.log.info(f'req connect trade front address: {cfg.front_trade}')
self.t.ReqConnect(cfg.front_trade)
def run_seven(self):
"""7*24"""
if cfg.investor != '':
cfg.log.info('investor:' + cfg.investor)
else:
cfg.investor = input('investor:')
if cfg.pwd == '':
cfg.pwd = getpass.getpass()
threading.Thread(target=self._run_seven).start()
def _run_seven(self):
print_time = ''
while True:
day = datetime.now().strftime('%Y%m%d')
left_days = list(filter(lambda x: x > day, self.trading_days))
if len(left_days) == 0:
self.get_actionday()
self.get_trading_time()
left_days = list(filter(lambda x: x > day, self.trading_days))
next_trading_day = left_days[0]
has_hight = (datetime.strptime(next_trading_day, '%Y%m%d') -
datetime.strptime(day, '%Y%m%d')).days in [1, 3]
now_time = datetime.now().strftime('%H%M%S')
if not self.t.logined:
# 当前非交易日
if day not in self.trading_days:
# 昨天有夜盘:今天凌晨有数据
if now_time <= '020000' and (
datetime.today() + timedelta.days(-1)
).strftime('%Y%m%d') in self.trading_days:
sleep(1)
else:
cfg.log.info('{} is not tradingday.'.format(day))
cfg.log.info(
'continue after {}'.format(next_trading_day +
' 08:30:00'))
sleep((datetime.strptime(next_trading_day + '08:31:00',
'%Y%m%d%H:%M:%S') -
datetime.now()).total_seconds())
elif now_time <= '083000':
cfg.log.info('continue after {}'.format(day + ' 08:30:00'))
sleep((
datetime.strptime(day + '08:31:00', '%Y%m%d%H:%M:%S') -
datetime.now()).total_seconds())
elif now_time >= '153000':
if has_hight:
if datetime.now().strftime('%H%M%S') < '203000':
cfg.log.info(
'continue after {}'.format(day + ' 20:30:00'))
sleep((datetime.strptime(day + '20:31:00',
'%Y%m%d%H:%M:%S') -
datetime.now()).total_seconds())
else:
cfg.log.info(
'continue after {}'.format(next_trading_day +
' 08:30:00'))
sleep((datetime.strptime(next_trading_day + '08:31:00',
'%Y%m%d%H:%M:%S') -
datetime.now()).total_seconds())
self.run()
sleep(10)
# 已收盘
elif sum([
1 if x != InstrumentStatus.Closed else 0
for x in self.t.instrument_status.values()
]) == 0:
self.t.ReqUserLogout()
self.q.ReqUserLogout()
if has_hight:
cfg.log.info('continue after {}'.format(day + ' 20:30:00'))
sleep((
datetime.strptime(day + '20:31:00', '%Y%m%d%H:%M:%S') -
datetime.now()).total_seconds())
else:
cfg.log.info('continue after {}'.format(next_trading_day +
' 08:30:00'))
sleep((datetime.strptime(next_trading_day + '08:31:00',
'%Y%m%d%H:%M:%S') -
datetime.now()).total_seconds())
# if cfg.mongo:
# cfg.mongo.conn.drop_database('future_real_min')
if cfg.rds:
cfg.rds.flushdb()
# 夜盘全部非交易
elif now_time < '030000' and sum([
1 if x == InstrumentStatus.Continous else 0
for x in self.t.instrument_status.values()
]) == 0:
cur_trading_day = self.t.tradingday
self.t.ReqUserLogout()
self.q.ReqUserLogout()
# cur_trading_day = self.trading_days[self.trading_days.index(next_trading_day) - 1] 周末时取值不对
cfg.log.info('continue after {}'.format(cur_trading_day +
' 08:30:00'))
sleep((datetime.strptime(cur_trading_day + '08:31:00',
'%Y%m%d%H:%M:%S') -
datetime.now()).total_seconds())
else:
# 没有行情时不会显示
if print_time != self.tick_time:
actionday = self.TradingDay
if self.tick_time[0:2] > '20':
actionday = self.Actionday
elif self.tick_time[0:2] < '04':
actionday = self.Actionday1
print_time = self.tick_time
cfg.log.info('tick time:{} [diff]{}s'.format(
print_time, (datetime.strptime(actionday + print_time,
'%Y%m%d%H:%M:%S') -
datetime.now()).total_seconds()))
sleep(60)
