def loadStrategy(self, setting): """载入策略""" try: name = setting['name'] className = setting['className'] except Exception: msg = traceback.format_exc() self.writeCtaLog(u'载入策略出错:%s' % msg) return # 获取策略类 strategyClass = STRATEGY_CLASS.get(className, None) if not strategyClass: self.writeCtaLog(u'找不到策略类:%s' % className) return # 防止策略重名 if name in self.strategyDict: self.writeCtaLog(u'策略实例重名:%s' % name) else: # 创建策略实例 strategy = strategyClass(self, setting) self.strategyDict[name] = strategy # 创建委托号列表 self.strategyOrderDict[name] = set() # 保存Tick映射关系 if strategy.vtSymbol in self.tickStrategyDict: l = self.tickStrategyDict[strategy.vtSymbol] else: l = [] self.tickStrategyDict[strategy.vtSymbol] = l l.append(strategy)
def loadStrategy(self, setting): """载入策略""" try: name = setting['name'] className = setting['className'] except: self.writeCtaLog(u'载入策略出错:%s' % traceback.format_exc()) return # 获取策略类 strategyClass = STRATEGY_CLASS.get(className, None) if not strategyClass: self.writeCtaLog(u'找不到策略类:%s' % className) return # 防止策略重名 if name in self.strategyDict: self.writeCtaLog(u'策略实例重名:%s' % name) else: # 创建策略实例 strategy = strategyClass(self, setting) self.strategyDict[name] = strategy # 保存Tick映射关系 if strategy.vtSymbol in self.tickStrategyDict: l = self.tickStrategyDict[strategy.vtSymbol] else: l = [] self.tickStrategyDict[strategy.vtSymbol] = l l.append(strategy) # 订阅合约 contract = self.mainEngine.getContract(strategy.vtSymbol) if contract: req = VtSubscribeReq() req.symbol = contract.symbol req.exchange = contract.exchange # 对于IB接口订阅行情时所需的货币和产品类型,从策略属性中获取 req.currency = strategy.currency req.productClass = strategy.productClass self.mainEngine.subscribe(req, contract.gatewayName) else: self.writeCtaLog(u'%s的交易合约%s无法找到' % (name, strategy.vtSymbol))
def loadStrategy(self, setting): """载入策略""" try: name = setting['name'] className = setting['className'] except: self.writeCtaLog(u'载入策略出错:%s' %traceback.format_exc()) return # 获取策略类 strategyClass = STRATEGY_CLASS.get(className, None) if not strategyClass: self.writeCtaLog(u'找不到策略类:%s' %className) return # 防止策略重名 if name in self.strategyDict: self.writeCtaLog(u'策略实例重名:%s' %name) else: # 创建策略实例 strategy = strategyClass(self, setting) self.strategyDict[name] = strategy # 保存Tick映射关系 if strategy.vtSymbol in self.tickStrategyDict: l = self.tickStrategyDict[strategy.vtSymbol] else: l = [] self.tickStrategyDict[strategy.vtSymbol] = l l.append(strategy) # 订阅合约 contract = self.mainEngine.getContract(strategy.vtSymbol) if contract: req = VtSubscribeReq() req.symbol = contract.symbol req.exchange = contract.exchange # 对于IB接口订阅行情时所需的货币和产品类型,从策略属性中获取 req.currency = strategy.currency req.productClass = strategy.productClass self.mainEngine.subscribe(req, contract.gatewayName) else: self.writeCtaLog(u'%s的交易合约%s无法找到' %(name, strategy.vtSymbol))
class CtaEngine(object): """CTA策略引擎""" settingFileName = 'CTA_setting.json' path = os.path.abspath(os.path.dirname(__file__)) settingFileName = os.path.join(path, settingFileName) #---------------------------------------------------------------------- def __init__(self, mainEngine, eventEngine): """Constructor""" self.mainEngine = mainEngine self.eventEngine = eventEngine # 当前日期 self.today = todayDate() # 保存策略实例的字典 # key为策略名称,value为策略实例,注意策略名称不允许重复 self.strategyDict = {} # 保存vtSymbol和策略实例映射的字典(用于推送tick数据) # 由于可能多个strategy交易同一个vtSymbol,因此key为vtSymbol # value为包含所有相关strategy对象的list self.tickStrategyDict = {} # 保存vtOrderID和strategy对象映射的字典(用于推送order和trade数据) # key为vtOrderID,value为strategy对象 self.orderStrategyDict = {} # 本地停止单编号计数 self.stopOrderCount = 0 # stopOrderID = STOPORDERPREFIX + str(stopOrderCount) # 本地停止单字典 # key为stopOrderID,value为stopOrder对象 self.stopOrderDict = {} # 停止单撤销后不会从本字典中删除 self.workingStopOrderDict = {} # 停止单撤销后会从本字典中删除 # 持仓缓存字典 # key为vtSymbol,value为PositionBuffer对象 self.posBufferDict = {} # 成交号集合,用来过滤已经收到过的成交推送 self.tradeSet = set() # 引擎类型为实盘 self.engineType = ENGINETYPE_TRADING # 注册事件监听 self.registerEvent() #---------------------------------------------------------------------- def sendOrder(self, vtSymbol, orderType, price, volume, strategy): """发单""" contract = self.mainEngine.getContract(vtSymbol) req = VtOrderReq() req.symbol = contract.symbol req.exchange = contract.exchange req.price = self.roundToPriceTick(contract.priceTick, price) req.volume = volume req.productClass = strategy.productClass req.currency = strategy.currency # 设计为CTA引擎发出的委托只允许使用限价单 req.priceType = PRICETYPE_LIMITPRICE # CTA委托类型映射 if orderType == CTAORDER_BUY: req.direction = DIRECTION_LONG req.offset = OFFSET_OPEN elif orderType == CTAORDER_SELL: req.direction = DIRECTION_SHORT # 只有上期所才要考虑平今平昨 if contract.exchange != EXCHANGE_SHFE: req.offset = OFFSET_CLOSE else: # 获取持仓缓存数据 posBuffer = self.posBufferDict.get(vtSymbol, None) # 如果获取持仓缓存失败,则默认平昨 if not posBuffer: req.offset = OFFSET_CLOSE # 否则如果有多头今仓,则使用平今 elif posBuffer.longToday: req.offset = OFFSET_CLOSETODAY # 其他情况使用平昨 else: req.offset = OFFSET_CLOSE elif orderType == CTAORDER_SHORT: req.direction = DIRECTION_SHORT req.offset = OFFSET_OPEN elif orderType == CTAORDER_COVER: req.direction = DIRECTION_LONG # 只有上期所才要考虑平今平昨 if contract.exchange != EXCHANGE_SHFE: req.offset = OFFSET_CLOSE else: # 获取持仓缓存数据 posBuffer = self.posBufferDict.get(vtSymbol, None) # 如果获取持仓缓存失败,则默认平昨 if not posBuffer: req.offset = OFFSET_CLOSE # 否则如果有空头今仓,则使用平今 elif posBuffer.shortToday: req.offset = OFFSET_CLOSETODAY # 其他情况使用平昨 else: req.offset = OFFSET_CLOSE vtOrderID = self.mainEngine.sendOrder(req, contract.gatewayName) # 发单 self.orderStrategyDict[vtOrderID] = strategy # 保存vtOrderID和策略的映射关系 self.writeCtaLog( u'策略%s发送委托,%s,%s,%s@%s' % (strategy.name, vtSymbol, req.direction, volume, price)) return vtOrderID #---------------------------------------------------------------------- def cancelOrder(self, vtOrderID): """撤单""" # 查询报单对象 order = self.mainEngine.getOrder(vtOrderID) # 如果查询成功 if order: # 检查是否报单还有效,只有有效时才发出撤单指令 orderFinished = (order.status == STATUS_ALLTRADED or order.status == STATUS_CANCELLED) if not orderFinished: req = VtCancelOrderReq() req.symbol = order.symbol req.exchange = order.exchange req.frontID = order.frontID req.sessionID = order.sessionID req.orderID = order.orderID self.mainEngine.cancelOrder(req, order.gatewayName) #---------------------------------------------------------------------- def sendStopOrder(self, vtSymbol, orderType, price, volume, strategy): """发停止单(本地实现)""" self.stopOrderCount += 1 stopOrderID = STOPORDERPREFIX + str(self.stopOrderCount) so = StopOrder() so.vtSymbol = vtSymbol so.orderType = orderType so.price = price so.volume = volume so.strategy = strategy so.stopOrderID = stopOrderID so.status = STOPORDER_WAITING if orderType == CTAORDER_BUY: so.direction = DIRECTION_LONG so.offset = OFFSET_OPEN elif orderType == CTAORDER_SELL: so.direction = DIRECTION_SHORT so.offset = OFFSET_CLOSE elif orderType == CTAORDER_SHORT: so.direction = DIRECTION_SHORT so.offset = OFFSET_OPEN elif orderType == CTAORDER_COVER: so.direction = DIRECTION_LONG so.offset = OFFSET_CLOSE # 保存stopOrder对象到字典中 self.stopOrderDict[stopOrderID] = so self.workingStopOrderDict[stopOrderID] = so return stopOrderID #---------------------------------------------------------------------- def cancelStopOrder(self, stopOrderID): """撤销停止单""" # 检查停止单是否存在 if stopOrderID in self.workingStopOrderDict: so = self.workingStopOrderDict[stopOrderID] so.status = STOPORDER_CANCELLED del self.workingStopOrderDict[stopOrderID] #---------------------------------------------------------------------- def processStopOrder(self, tick): """收到行情后处理本地停止单(检查是否要立即发出)""" vtSymbol = tick.vtSymbol # 首先检查是否有策略交易该合约 if vtSymbol in self.tickStrategyDict: # 遍历等待中的停止单,检查是否会被触发 for so in self.workingStopOrderDict.values(): if so.vtSymbol == vtSymbol: longTriggered = so.direction == DIRECTION_LONG and tick.lastPrice >= so.price # 多头停止单被触发 shortTriggered = so.direction == DIRECTION_SHORT and tick.lastPrice <= so.price # 空头停止单被触发 if longTriggered or shortTriggered: # 买入和卖出分别以涨停跌停价发单(模拟市价单) if so.direction == DIRECTION_LONG: price = tick.upperLimit else: price = tick.lowerLimit so.status = STOPORDER_TRIGGERED self.sendOrder(so.vtSymbol, so.orderType, price, so.volume, so.strategy) del self.workingStopOrderDict[so.stopOrderID] #---------------------------------------------------------------------- def processTickEvent(self, event): """处理行情推送""" tick = event.dict_['data'] # 收到tick行情后,先处理本地停止单(检查是否要立即发出) self.processStopOrder(tick) # 推送tick到对应的策略实例进行处理 if tick.vtSymbol in self.tickStrategyDict: # 将vtTickData数据转化为ctaTickData ctaTick = CtaTickData() d = ctaTick.__dict__ for key in d.keys(): if key != 'datetime': d[key] = tick.__getattribute__(key) # 添加datetime字段 ctaTick.datetime = datetime.strptime( ' '.join([tick.date, tick.time]), '%Y%m%d %H:%M:%S.%f') # 逐个推送到策略实例中 l = self.tickStrategyDict[tick.vtSymbol] for strategy in l: self.callStrategyFunc(strategy, strategy.onTick, ctaTick) #---------------------------------------------------------------------- def processOrderEvent(self, event): """处理委托推送""" order = event.dict_['data'] if order.vtOrderID in self.orderStrategyDict: strategy = self.orderStrategyDict[order.vtOrderID] self.callStrategyFunc(strategy, strategy.onOrder, order) #---------------------------------------------------------------------- def processTradeEvent(self, event): """处理成交推送""" trade = event.dict_['data'] # 过滤已经收到过的成交回报 if trade.vtTradeID in self.tradeSet: return self.tradeSet.add(trade.vtTradeID) # 将成交推送到策略对象中 if trade.vtOrderID in self.orderStrategyDict: strategy = self.orderStrategyDict[trade.vtOrderID] # 计算策略持仓 if trade.direction == DIRECTION_LONG: strategy.pos += trade.volume else: strategy.pos -= trade.volume self.callStrategyFunc(strategy, strategy.onTrade, trade) # 更新持仓缓存数据 if trade.vtSymbol in self.tickStrategyDict: posBuffer = self.posBufferDict.get(trade.vtSymbol, None) if not posBuffer: posBuffer = PositionBuffer() posBuffer.vtSymbol = trade.vtSymbol self.posBufferDict[trade.vtSymbol] = posBuffer posBuffer.updateTradeData(trade) #---------------------------------------------------------------------- def processPositionEvent(self, event): """处理持仓推送""" pos = event.dict_['data'] # 更新持仓缓存数据 if pos.vtSymbol in self.tickStrategyDict: posBuffer = self.posBufferDict.get(pos.vtSymbol, None) if not posBuffer: posBuffer = PositionBuffer() posBuffer.vtSymbol = pos.vtSymbol self.posBufferDict[pos.vtSymbol] = posBuffer posBuffer.updatePositionData(pos) #---------------------------------------------------------------------- def registerEvent(self): """注册事件监听""" self.eventEngine.register(EVENT_TICK, self.processTickEvent) self.eventEngine.register(EVENT_ORDER, self.processOrderEvent) self.eventEngine.register(EVENT_TRADE, self.processTradeEvent) self.eventEngine.register(EVENT_POSITION, self.processPositionEvent) #---------------------------------------------------------------------- def insertData(self, dbName, collectionName, data): """插入数据到数据库(这里的data可以是CtaTickData或者CtaBarData)""" self.mainEngine.dbInsert(dbName, collectionName, data.__dict__) #---------------------------------------------------------------------- def loadBar(self, dbName, collectionName, days): """从数据库中读取Bar数据,startDate是datetime对象""" startDate = self.today - timedelta(days) d = {'datetime': {'$gte': startDate}} barData = self.mainEngine.dbQuery(dbName, collectionName, d) l = [] for d in barData: bar = CtaBarData() bar.__dict__ = d l.append(bar) return l #---------------------------------------------------------------------- def loadTick(self, dbName, collectionName, days): """从数据库中读取Tick数据,startDate是datetime对象""" startDate = self.today - timedelta(days) d = {'datetime': {'$gte': startDate}} tickData = self.mainEngine.dbQuery(dbName, collectionName, d) l = [] for d in tickData: tick = CtaTickData() tick.__dict__ = d l.append(tick) return l #---------------------------------------------------------------------- def writeCtaLog(self, content): """快速发出CTA模块日志事件""" log = VtLogData() log.logContent = content event = Event(type_=EVENT_CTA_LOG) event.dict_['data'] = log self.eventEngine.put(event) #---------------------------------------------------------------------- def loadStrategy(self, setting): """载入策略""" try: name = setting['name'] className = setting['className'] except Exception, e: self.writeCtaLog(u'载入策略出错:%s' % e) return # 获取策略类 strategyClass = STRATEGY_CLASS.get(className, None) if not strategyClass: self.writeCtaLog(u'找不到策略类:%s' % className) return # 防止策略重名 if name in self.strategyDict: self.writeCtaLog(u'策略实例重名:%s' % name) else: # 创建策略实例 strategy = strategyClass(self, setting) self.strategyDict[name] = strategy # 保存Tick映射关系 if strategy.vtSymbol in self.tickStrategyDict: l = self.tickStrategyDict[strategy.vtSymbol] else: l = [] self.tickStrategyDict[strategy.vtSymbol] = l l.append(strategy) # 订阅合约 contract = self.mainEngine.getContract(strategy.vtSymbol) if contract: req = VtSubscribeReq() req.symbol = contract.symbol req.exchange = contract.exchange # 对于IB接口订阅行情时所需的货币和产品类型,从策略属性中获取 req.currency = strategy.currency req.productClass = strategy.productClass self.mainEngine.subscribe(req, contract.gatewayName) else: self.writeCtaLog(u'%s的交易合约%s无法找到' % (name, strategy.vtSymbol))
class CtaEngine2(object): """CTA Strategy Engine for Single-Strategy-Multi-Symbol use""" settingFileName = 'CTA_setting2.json' path = os.path.abspath(os.path.dirname(__file__)) settingFileName = os.path.join(path, settingFileName) #------------------------------------------------------------- def __init__(self, mainEngine, eventEngine): """Constructor""" self.mainEngine = mainEngine self.eventEngine = eventEngine # 当前日期 self.today = todayDate() # 保存策略实例的字典 # key为策略名称,value为策略实例,注意策略名称不允许重复 self.strategyDict = {} # 保存vtSymbol和策略实例映射的字典(用于推送tick数据) # 由于可能多个strategy交易同一个vtSymbol,因此key为vtSymbol # value为包含所有相关strategy对象的list self.tickStrategyDict = {} # 保存vtOrderID和strategy对象映射的字典(用于推送order和trade数据) # key为vtOrderID,value为strategy对象 self.orderStrategyDict = {} # 保存vtOrderID和在order上关联的信息 (发单时任意填写的信息,用于保存到数据库,方便分析) self.orderAppendInfoDict = {} #保存gatewayName和strategy对象映射的字典,用于推送balance数据 self.gatewayNameStrategyDict = {} #保存task和strategy对象映射的字典,用于推送task数据 self.taskStrategyDict = {} # 本地停止单编号计数 self.stopOrderCount = 0 # stopOrderID = STOPORDERPREFIX + str(stopOrderCount) # 本地停止单字典 # key为stopOrderID,value为stopOrder对象 self.stopOrderDict = {} # 停止单撤销后不会从本字典中删除 self.workingStopOrderDict = {} # 停止单撤销后会从本字典中删除 # 预埋单集合 self.parkedOrderSet = set() self.workingParkedOrderSet = set() # key为parkedOrderID, value为vtOrderID self.parkedOrderMap = {} # 持仓缓存字典 # key为vtSymbol,value为PositionBuffer对象 self.posBufferDict = {} # 成交号集合,用来过滤已经收到过的成交推送 self.tradeSet = set() # 引擎类型为实盘 self.engineType = ENGINETYPE_TRADING # 注册事件监听 self.eventEngine.register(EVENT_TICK, self.processTickEvent) self.eventEngine.register(EVENT_ORDER, self.processOrderEvent) self.eventEngine.register(EVENT_TRADE, self.processTradeEvent) self.eventEngine.register(EVENT_BALANCE, self.processBalanceEvent) self.eventEngine.register(EVENT_POSITION, self.processPositionEvent) self.eventEngine.register(EVENT_CTA_TASK, self.processTaskEvent) #------------------------------------------------------------- def getPosition(self, vtSymbol): """返回longToday, longYd, shortToday, shortYd""" posBuffer = self.posBufferDict.get(vtSymbol, None) if not posBuffer: pmEngine = self.mainEngine.pmEngine pos = pmEngine.qryPosition(vtSymbol) posBuffer = PositionBuffer() posBuffer.vtSymbol = vtSymbol posBuffer.longYd = pos['longYd'] posBuffer.longToday = pos['longToday'] posBuffer.longPosition = posBuffer.longYd + posBuffer.longToday posBuffer.shortYd = pos['shortYd'] posBuffer.shortToday = pos['shortToday'] posBuffer.shortPosition = posBuffer.shortYd + posBuffer.shortToday self.posBufferDict[vtSymbol] = posBuffer return [ posBuffer.longToday, posBuffer.longYd, posBuffer.shortToday, posBuffer.shortYd ] #------------------------------------------------------------- def sendOrder2(self, vtSymbol, orderType, price, volume, strategy, priceType, kwargs): contract = self.mainEngine.getContract(vtSymbol) req = VtOrderReq() req.symbol = contract.symbol req.exchange = contract.exchange req.price = self.roundToPriceTick(contract.priceTick, price) req.volume = volume req.productClass = strategy.productClass req.currency = strategy.currency req.priceType = priceType #CTA OrderType Map if orderType == CTAORDER_BUY: req.direction = DIRECTION_LONG req.offset = OFFSET_OPEN elif orderType == CTAORDER_SELL: req.direction = DIRECTION_SHORT req.offset = OFFSET_CLOSE elif orderType == CTAORDER_SHORT: req.direction = DIRECTION_SHORT req.offset = OFFSET_OPEN elif orderType == CTAORDER_COVER: req.direction = DIRECTION_LONG req.offset = OFFSET_CLOSE if contract.exchange == EXCHANGE_SHFE: posBuffer = self.posBufferDict.get(vtSymbol, None) if not posBuffer: posBuffer = PositionBuffer() posBuffer.vtSymbol = vtSymbol self.posBufferDict[vtSymbol] = posBuffer posBuffer.longToday, posBuffer.longYd, posBuffer.shortToday, posBuffer.shortYd = self.getPosition( vtSymbol) if req.direction == DIRECTION_LONG: print 'long' if posBuffer.shortYd >= req.volume: print 'close shortYd' req.offset = OFFSET_CLOSE else: print 'open today' req.offset = OFFSET_OPEN else: print 'short' if posBuffer.longYd >= req.volume: print 'close longYd' req.offset = OFFSET_CLOSE else: print 'open today' req.offset = OFFSET_OPEN vtOrderID = self.mainEngine.sendOrder(req, contract.gatewayName) self.orderStrategyDict[vtOrderID] = strategy if 'append_info' in kwargs: print kwargs['append_info'] self.orderAppendInfoDict[vtOrderID] = kwargs['append_info'] self.writeCtaLog( u'策略%s发送委托, %s, %s, %s@%s' % (strategy.name, vtSymbol, req.direction, volume, price)) return vtOrderID #------------------------------------------------------------- if sendorder alt=falsee elseif sendorder2 alt=true def sendOrder(self, vtSymbol, orderType, price, volume, strategy, priceType, parked, alt, kwargs): """send order""" #if alt: # return self.sendOrder2(vtSymbol, orderType, price, volume, strategy, priceType, kwargs) contract = self.mainEngine.getContract(vtSymbol) req = VtOrderReq() req.symbol = contract.symbol req.exchange = contract.exchange req.price = self.roundToPriceTick(contract.priceTick, price) req.volume = volume req.productClass = strategy.productClass req.currency = strategy.currency req.priceType = priceType # market or limit order # CTA委托类型映射 if orderType == CTAORDER_BUY: req.direction = DIRECTION_LONG req.offset = OFFSET_OPEN elif orderType == CTAORDER_SELL: req.direction = DIRECTION_SHORT # 只有上期所才要考虑平今平昨 if contract.exchange != EXCHANGE_SHFE: req.offset = OFFSET_CLOSE else: # 获取持仓缓存数据 posBuffer = self.posBufferDict.get(vtSymbol, None) # 如果获取持仓缓存失败,则默认平昨 if not posBuffer: req.offset = OFFSET_CLOSE # 否则如果有多头今仓,则使用平今 elif posBuffer.longToday: print 'close today' req.offset = OFFSET_CLOSETODAY # 其他情况使用平昨 else: print 'close yesterday' req.offset = OFFSET_CLOSE elif orderType == CTAORDER_SHORT: req.direction = DIRECTION_SHORT req.offset = OFFSET_OPEN elif orderType == CTAORDER_COVER: req.direction = DIRECTION_LONG # 只有上期所才要考虑平今平昨 if contract.exchange != EXCHANGE_SHFE: req.offset = OFFSET_CLOSE else: # 获取持仓缓存数据 posBuffer = self.posBufferDict.get(vtSymbol, None) # 如果获取持仓缓存失败,则默认平昨 if not posBuffer: req.offset = OFFSET_CLOSE # 否则如果有空头今仓,则使用平今 elif posBuffer.shortToday: print 'close today' req.offset = OFFSET_CLOSETODAY # 其他情况使用平昨 else: print 'close yesterday' req.offset = OFFSET_CLOSE if not parked: vtOrderID = self.mainEngine.sendOrder(req, contract.gatewayName) self.orderStrategyDict[vtOrderID] = strategy if 'append_info' in kwargs: self.orderAppendInfoDict[vtOrderID] = kwargs['append_info'] else: vtOrderID = self.mainEngine.sendParkedOrder( req, contract.gatewayName) po = ParkedOrder() po.vtSymbol = vtSymbol po.orderType = orderType po.price = self.roundToPriceTick(contract.priceTick, price) po.volume = volume po.strategy = strategy po.localOrderID = vtOrderID if orderType == CTAORDER_BUY: po.direction = DIRECTION_LONG po.offset = OFFSET_OPEN elif orderType == CTAORDER_SELL: po.direction = DIRECTION_SHORT po.offset = OFFSET_CLOSE elif orderType == CTAORDER_SHORT: po.direction = DIRECTION_SHORT po.offset = OFFSET_OPEN elif orderType == CTAORDER_COVER: po.direction = DIRECTION_LONG po.offset = OFFSET_CLOSE self.parkedOrderSet.add(po) self.workingParkedOrderSet.add(po) self.writeCtaLog( u'策略%s发送委托, %s, %s, %s@%s' % (strategy.name, vtSymbol, req.direction, volume, price)) return vtOrderID #------------------------------------------------------------- def qryOrder(self, vtOrderID): gatewayName = vtOrderID.split('.')[0] self.mainEngine.qryOrder(vtOrderID, gatewayName) #------------------------------------------------------------- def cancelOrder(self, vtOrderID): order = self.mainEngine.getOrder(vtOrderID) if order: # check if order still valid, only if valid, cancel order command will be sent orderFinished = (order.status == STATUS_ALLTRADED or order.status == STATUS_CANCELLED) if not orderFinished: req = VtCancelOrderReq() req.symbol = order.symbol req.exchange = order.exchange req.frontID = order.frontID req.sessionID = order.sessionID req.orderID = order.orderID self.mainEngine.cancelOrder(req, order.gatewayName) #------------------------------------------------------------- def sendStopOrder(self, vtSymbol, orderType, price, volume, strategy): self.stopOrderCount += 1 stopOrderID = STOPORDERPREFIX + str(self.stopOrderCount) so = StopOrder() so.vtSymbol = vtSymbol so.orderType = orderType so.price = price so.volume = volume so.strategy = strategy so.stopOrderID = stopOrderID so.status = STOPORDER_WAITING if orderType == CTAORDER_BUY: so.direction = DIRECTION_LONG so.offset = OFFSET_OPEN elif orderType == CTAORDER_SELL: so.direction = DIRECTION_SHORT so.offset = OFFSET_CLOSE elif orderType == CTAORDER_SHORT: so.direction = DIRECTION_SHORT so.offset = OFFSET_OPEN elif orderType == CTAORDER_COVER: so.direction = DIRECTION_LONG so.offset = OFFSET_CLOSE # 保存stopOrder对象到字典中 self.stopOrderDict[stopOrderID] = so self.workingStopOrderDict[stopOrderID] = so return stopOrderID #------------------------------------------------------ def cancelStopOrder(self, stopOrderID): """撤销停止单""" # 检查停止单是否存在 if stopOrderID in self.workingStopOrderDict: so = self.workingStopOrderDict[stopOrderID] so.status = STOPORDER_CANCELLED del self.workingStopOrderDict[stopOrderID] #------------------------------------------------------ def processStopOrder(self, tick): """ stop order trigger check upon market data arrival """ vtSymbol = tick.vtSymbol # check whether symbol is bound to a strategy if vtSymbol in self.tickStrategyDict: # iterate all pending stop orders, check whether they will be triggered for so in self.workingStopOrderDict.values(): if so.vtSymbol == vtSymbol: longTriggered = so.direction == DIRECTION_LONG and tick.lastPrice >= so.price shortTriggered = so.direction == DIRECTION_SHORT and tick.lastPrice <= so.price if longTriggered or shortTriggered: if so.direction == DIRECTION_LONG: price = tick.upperLimit else: price = tick.lowerLimit so.status = STOPORDER_TRIGGERED self.sendOrder(so.vtSymbol, so.orderType, price, so.volume, so.strategy) del self.workingStopOrderDict[so.stopOrderID] ############## more process the other symbols in the basket ############# #-------------------------------------------------------------- def processTickEvent(self, event): """ Tick Event Router """ # fetch tick data from event tick = event.dict_['data'] # process pending stop orders self.processStopOrder(tick) # push tick to corresponding strategy instance if tick.vtSymbol in self.tickStrategyDict: # data transforming ctaTick = CtaTickData() d = ctaTick.__dict__ for key in d.keys(): if key != 'datetime': d[key] = tick.__getattribute__(key) # 添加datetime字段 try: ctaTick.datetime = datetime.strptime( ' '.join([tick.date, tick.time]), '%Y%m%d %H:%M:%S.%f') except ValueError: try: ctaTick.datetime = datetime.strptime( ' '.join([tick.date, tick.time]), '%Y-%m-%d %H:%M:%S') except ValueError: ctaTick.datetime = datetime.strptime( tick.time, '%Y-%m-%dT%H:%M:%S.%f') # 逐个推送到策略实例中 l = self.tickStrategyDict[tick.vtSymbol] for strategy in l: self.callStrategyFunc(strategy, strategy.onTick, ctaTick) #----------------------------------------------------------------- def processOrderEvent(self, event): """ Order Event """ order = event.dict_['data'] order.localtime = datetime.now() # import pprint # pprint.pprint(order.__dict__) if order.vtOrderID in self.orderStrategyDict: strategy = self.orderStrategyDict[order.vtOrderID] self.callStrategyFunc(strategy, strategy.onOrder, order) ########################################################### # 处理预埋单触发的情况 elif order.exchange == EXCHANGE_SHFE and order.sessionID == 0 and order.frontID == 0: #print 'ctaEngine: processOrderEvent' # 把ParkedOrder加入orderStrategyDict #print 'workingParkedOrderSet: ', self.workingParkedOrderSet #print 'parkedOrderMap:', self.parkedOrderMap for po in self.workingParkedOrderSet: if order.vtOrderID not in self.parkedOrderMap: # 尚未匹配, 则与parkedOrder匹配 # import pprint # pprint.pprint(order.__dict__) # pprint.pprint(po.__dict__) if po.vtSymbol == order.vtSymbol and po.direction == order.direction and po.offset == order.offset and po.price == order.price and po.volume == order.totalVolume: # vtSymbol, orderType, price, volume均匹配 print 'match:', order.vtOrderID, po.strategy.name self.parkedOrderMap[order.vtOrderID] = po self.workingParkedOrderSet.remove(po) order.isParkedTriggered = True order.localOrderID = po.localOrderID self.orderStrategyDict[order.vtOrderID] = po.strategy self.callStrategyFunc(po.strategy, po.strategy.onOrder, order) break ############################################################ #------------------------------------------------------------------ def processTradeEvent(self, event): """ Trade Event """ trade = event.dict_['data'] if trade.vtTradeID in self.tradeSet: return self.tradeSet.add(trade.vtTradeID) # push trade data to the strategy if trade.vtOrderID in self.orderStrategyDict: strategy = self.orderStrategyDict[trade.vtOrderID] # calculate strategy position if trade.direction == DIRECTION_LONG: strategy.pos[trade.vtSymbol] += trade.volume else: strategy.pos[trade.vtSymbol] -= trade.volume self.callStrategyFunc(strategy, strategy.__onTrade__, trade) # 更新持仓缓存数据 if trade.vtSymbol in self.tickStrategyDict: posBuffer = self.posBufferDict.get(trade.vtSymbol, None) if not posBuffer: posBuffer = PositionBuffer() posBuffer.vtSymbol = trade.vtSymbol self.posBufferDict[trade.vtSymbol] = posBuffer posBuffer.updateTradeData(trade) #----------------------------------------------------------------- def processBalanceEvent(self, event): balance = event.dict_['data'] # 逐个推送到策略实例中 l = self.gatewayNameStrategyDict[balance.gatewayName] for strategy in l: self.callStrategyFunc(strategy, strategy.onBalance, balance) #----------------------------------------------------------------- def processPositionEvent(self, event): """处理持仓推送""" pos = event.dict_['data'] # 更新持仓缓存数据 if pos.vtSymbol in self.tickStrategyDict: posBuffer = self.posBufferDict.get(pos.vtSymbol, None) if not posBuffer: posBuffer = PositionBuffer() posBuffer.vtSymbol = pos.vtSymbol self.posBufferDict[pos.vtSymbol] = posBuffer posBuffer.updatePositionData(pos) #----------------------------------------------------------------- def processTaskEvent(self, event): task_ret = event.dict_['data'] strategy = task_ret['strategy'] task_result = task_ret['result'] self.callStrategyFunc(strategy, strategy.onTask, task_result) #---------------------------------------------------------------------- def insertData(self, dbName, collectionName, data): """插入数据到数据库(这里的data可以是CtaTickData或者CtaBarData)""" try: self.mainEngine.dbInsert(dbName, collectionName, data) except: pass #---------------------------------------------------------------------- def loadBar(self, dbName, collectionName, days): # fetch Bar data from MongoDB startDate = self.today - timedelta(days) d = {'datetime': {'$gte': startDate}} barData = self.mainEngine.dbQuery(dbName, collectionName, d) l = [] for d in barData: bar = CtaBarData() bar.__dict__ = d l.append(bar) return l #------------------------------------------------------------------------- def loadTick(self, dbName, collectionName, days): """从数据库中读取Tick数据,startDate是datetime对象""" startDate = self.today - timedelta(days) d = {'datetime': {'$gte': startDate}} tickData = self.mainEngine.dbQuery(dbName, collectionName, d) l = [] for d in tickData: tick = CtaTickData() tick.__dict__ = d l.append(tick) return l #------------------------------------------------------------------------- def loadTickToDataFrame(self, dbName, collectionName, start_time, end_time, where=''): """从数据库中读取Tick数据,起始日期为当日前days个工作日""" l = [] time = start_time window_length = 3 while time <= end_time: q = { 'datetime': { '$gte': time, '$lt': min(end_time, time + timedelta(hours=window_length)) } } tickData = self.mainEngine.dbQuery(dbName, collectionName, q, where) time = time + timedelta(hours=window_length) for d in tickData: tick = {} tick['datetime'] = d['datetime'] tick['lastPrice'] = d['lastPrice'] l.append(tick) tickData = [] return DataFrame(l) #-------------------------------------------------------------------------- def writeCtaLog(self, content): log = VtLogData() log.logContent = content event = Event(type_=EVENT_CTA_LOG) event.dict_['data'] = log self.eventEngine.put(event) #-------------------------------------------------------------------------- def writeWebLog(self, content, strategyName): event = Event(type_=EVENT_WEB_LOG) d = {} d['msg'] = content d['strategy'] = strategyName event.dict_['data'] = json.dumps(d) self.eventEngine.put(event) #-------------------------------------------------------------------------- def sendChartData(self, content, strategyName): event = Event(type_=EVENT_CHART_DATA) d = {} d['chart'] = content d['strategy'] = strategyName event.dict_['data'] = json.dumps(d) self.eventEngine.put(event) #-------------------------------------------------------------------------- def loadStrategy(self, setting): """载入策略""" try: name = setting['name'] className = setting['className'] except Exception, e: self.writeCtaLog(u'载入策略出错:%s' % e) return # 获取策略类 strategyClass2 = STRATEGY_CLASS.get(className, None) if not strategyClass2: self.writeCtaLog(u'找不到策略类:%s' % className) return # 防止策略重名 if name in self.strategyDict: self.writeCtaLog(u'策略实例重名:%s' % name) else: # 创建策略实例 strategy = strategyClass2(self, setting) self.strategyDict[name] = strategy # Tick map for vtSymbol in strategy.vtSymbols: if vtSymbol in self.tickStrategyDict: l = self.tickStrategyDict[vtSymbol] else: l = [] self.tickStrategyDict[vtSymbol] = l l.append(strategy) # subscribe contract = self.mainEngine.getContract(vtSymbol) if contract and not self.getExchange(vtSymbol) in [ 'SMART', 'NYMEX', 'GLOBEX', 'IDEALPRO', 'HKEX', 'HKFE' ]: req = VtSubscribeReq() req.symbol = contract.symbol req.exchange = contract.exchange req.currency = strategy.currency req.productClass = strategy.productClass self.mainEngine.subscribe(req, contract.gatewayName) else: self.writeCtaLog(u'%s的交易合约%s无法找到' % (name, vtSymbol)) # gatewayNameStrategyMap for vtSymbol in strategy.vtSymbols: contract = self.mainEngine.getContract(vtSymbol) if contract and not self.getExchange in [ 'SMART', 'NYMEX', 'GLOBEX', 'IDEALPRO', 'HKEX', 'HKFE' ]: gatewayName = contract.gatewayName if gatewayName in self.gatewayNameStrategyDict: l = self.gatewayNameStrategyDict[gatewayName] else: l = [] self.gatewayNameStrategyDict[gatewayName] = l l.append(strategy)