def test_get_trade(self):
"""
获取成交记录
"""
# 预设服务器端响应
dir_path = os.path.dirname(os.path.realpath(__file__))
self.mock.run(
os.path.join(dir_path, "log_file",
"test_td_basic_get_trade_simulate.script.lzma"))
# 测试: 模拟账户
utils.RD = random.Random(4)
api = TqApi(_ins_url=self.ins_url_2019_07_03,
_td_url=self.td_url,
_md_url=self.md_url)
order1 = api.insert_order("DCE.jd2005", "BUY", "OPEN", 1)
order2 = api.insert_order("SHFE.cu2005",
"BUY",
"OPEN",
2,
limit_price=40870)
while order1.status == "ALIVE" or order2.status == "ALIVE":
api.wait_update()
trade1 = api.get_trade(
"PYSDK_insert_1710cf5327ac435a7a97c643656412a9|1")
trade2 = api.get_trade(
"PYSDK_insert_8ca5996666ceab360512bd1311072231|2")
self.assertAlmostEqual(1586414355666978000 / 1e9,
trade1.trade_date_time / 1e9,
places=1)
self.assertAlmostEqual(1586414355667884000 / 1e9,
trade2.trade_date_time / 1e9,
places=1)
del trade1["trade_date_time"]
del trade2["trade_date_time"]
self.assertEqual(
str(trade1),
"{'order_id': 'PYSDK_insert_1710cf5327ac435a7a97c643656412a9', 'trade_id': 'PYSDK_insert_1710cf5327ac435a7a97c643656412a9|1', 'exchange_trade_id': 'PYSDK_insert_1710cf5327ac435a7a97c643656412a9|1', 'exchange_id': 'DCE', 'instrument_id': 'jd2005', 'direction': 'BUY', 'offset': 'OPEN', 'price': 3317.0, 'volume': 1, 'user_id': 'TQSIM', 'commission': 6.122999999999999}"
)
self.assertEqual(
str(trade2),
"{'order_id': 'PYSDK_insert_8ca5996666ceab360512bd1311072231', 'trade_id': 'PYSDK_insert_8ca5996666ceab360512bd1311072231|2', 'exchange_trade_id': 'PYSDK_insert_8ca5996666ceab360512bd1311072231|2', 'exchange_id': 'SHFE', 'instrument_id': 'cu2005', 'direction': 'BUY', 'offset': 'OPEN', 'price': 40870.0, 'volume': 2, 'user_id': 'TQSIM', 'commission': 23.189999999999998}"
)
self.assertEqual(trade1.direction, "BUY")
self.assertEqual(trade1.offset, "OPEN")
self.assertEqual(trade1.price, 3317.0)
self.assertEqual(trade1.volume, 1)
self.assertEqual(trade1.commission, 6.122999999999999)
self.assertEqual(trade2.direction, "BUY")
self.assertEqual(trade2.offset, "OPEN")
self.assertEqual(trade2.price, 40870.0)
self.assertEqual(trade2.volume, 2)
self.assertEqual(trade2.commission, 23.189999999999998)
api.close()
def test_various_combinations_of_order_4(self):
"""
测试 能在回测时正常使用开、平顺序的多种组合方式下单
1 单次开平 * n次
2 多次开 一次全平完
3 多次开 分多次平完
4 单次开 分多次平完 (本测试函数)
related commit: a2623aed0fd1d5e5e01c7d2452e7f7f7de999c6e
"""
# 预设服务器端响应
dir_path = os.path.dirname(os.path.realpath(__file__))
self.mock.run(os.path.join(dir_path, "log_file", "test_various_combinations_of_order_4.script"))
# 测试4：单次开 分多次平完
TqApi.RD = random.Random(4)
api = TqApi(backtest=TqBacktest(start_dt=datetime(2019, 12, 10, 9), end_dt=datetime(2019, 12, 11)))
symbol = "DCE.m2005"
position = api.get_position(symbol)
trades = api.get_trade()
order_open = api.insert_order(symbol, "BUY", "OPEN", 3)
while order_open.status != "FINISHED":
api.wait_update()
self.assertEqual(position.pos, 3)
for i in range(3):
order_close = api.insert_order(symbol, "SELL", "CLOSE", 1)
while order_close.status != "FINISHED":
api.wait_update()
self.assertEqual(len(trades), 4)
self.assertEqual(position.pos, 0)
api.close()
def test_get_trade_option(self):
"""
获取成交记录
"""
# 预设服务器端响应
dir_path = os.path.dirname(os.path.realpath(__file__))
self.mock.run(
os.path.join(
dir_path, "log_file",
"test_td_basic_get_trade_simulate_option.script.lzma"))
# 测试: 模拟账户
utils.RD = random.Random(4)
api = TqApi(_ins_url=self.ins_url_2020_04_02,
_td_url=self.td_url,
_md_url=self.md_url)
order1 = api.insert_order("CZCE.SR007C5600",
"SELL",
"OPEN",
1,
limit_price=50)
order2 = api.insert_order("DCE.m2007-P-2900",
"BUY",
"OPEN",
2,
limit_price=180)
while order1.status == "ALIVE" or order2.status == "ALIVE":
api.wait_update()
trade1 = api.get_trade("1710cf5327ac435a7a97c643656412a9|1")
trade2 = api.get_trade("8ca5996666ceab360512bd1311072231|2")
self.assertAlmostEqual(1586501231007428000 / 1e9,
trade1.trade_date_time / 1e9,
places=1)
self.assertAlmostEqual(1586501233361505000 / 1e9,
trade2.trade_date_time / 1e9,
places=1)
del trade1["trade_date_time"]
del trade2["trade_date_time"]
self.assertEqual(
str(trade1),
"{'order_id': '1710cf5327ac435a7a97c643656412a9', 'trade_id': '1710cf5327ac435a7a97c643656412a9|1', 'exchange_trade_id': '1710cf5327ac435a7a97c643656412a9|1', 'exchange_id': 'CZCE', 'instrument_id': 'SR007C5600', 'direction': 'SELL', 'offset': 'OPEN', 'price': 50.0, 'volume': 1, 'user_id': 'TQSIM', 'commission': 10}"
)
self.assertEqual(
str(trade2),
"{'order_id': '8ca5996666ceab360512bd1311072231', 'trade_id': '8ca5996666ceab360512bd1311072231|2', 'exchange_trade_id': '8ca5996666ceab360512bd1311072231|2', 'exchange_id': 'DCE', 'instrument_id': 'm2007-P-2900', 'direction': 'BUY', 'offset': 'OPEN', 'price': 180.0, 'volume': 2, 'user_id': 'TQSIM', 'commission': 20}"
)
self.assertEqual(trade1.direction, "SELL")
self.assertEqual(trade1.offset, "OPEN")
self.assertEqual(trade1.price, 50.0)
self.assertEqual(trade1.volume, 1)
self.assertEqual(trade1.commission, 10)
self.assertEqual(trade2.direction, "BUY")
self.assertEqual(trade2.offset, "OPEN")
self.assertEqual(trade2.price, 180.0)
self.assertEqual(trade2.volume, 2)
self.assertEqual(trade2.commission, 20)
api.close()
def test_get_trade(self):
"""
获取成交记录
"""
# 预设服务器端响应
dir_path = os.path.dirname(os.path.realpath(__file__))
self.mock.run(
os.path.join(dir_path, "log_file",
"test_td_basic_get_trade_simulate.script"))
# 测试: 模拟账户
TqApi.RD = random.Random(4)
api = TqApi(_ins_url=self.ins_url,
_td_url=self.td_url,
_md_url=self.md_url)
order1 = api.insert_order("DCE.jd2001", "BUY", "OPEN", 1)
order2 = api.insert_order("SHFE.cu2001",
"BUY",
"OPEN",
2,
limit_price=47550)
while order1.status == "ALIVE" or order2.status == "ALIVE":
api.wait_update()
trade1 = api.get_trade("b8a1abcd1a6916c74da4f9fc3c6da5d7|1")
trade2 = api.get_trade("1710cf5327ac435a7a97c643656412a9|2")
self.assertEqual(
str(trade1),
"{'order_id': 'b8a1abcd1a6916c74da4f9fc3c6da5d7', 'trade_id': 'b8a1abcd1a6916c74da4f9fc3c6da5d7|1', 'exchange_trade_id': 'b8a1abcd1a6916c74da4f9fc3c6da5d7|1', 'exchange_id': 'DCE', 'instrument_id': 'jd2001', 'direction': 'BUY', 'offset': 'OPEN', 'price': 4569.0, 'volume': 1, 'trade_date_time': 1568876399999500000, 'symbol': 'DCE.jd2001', 'user_id': 'TQSIM', 'commission': 6.122999999999999}"
)
self.assertEqual(
str(trade2),
"{'order_id': '1710cf5327ac435a7a97c643656412a9', 'trade_id': '1710cf5327ac435a7a97c643656412a9|2', 'exchange_trade_id': '1710cf5327ac435a7a97c643656412a9|2', 'exchange_id': 'SHFE', 'instrument_id': 'cu2001', 'direction': 'BUY', 'offset': 'OPEN', 'price': 47550.0, 'volume': 2, 'trade_date_time': 1568876399999500000, 'symbol': 'SHFE.cu2001', 'user_id': 'TQSIM', 'commission': 23.189999999999998}"
)
self.assertEqual(trade1.direction, "BUY")
self.assertEqual(trade1.offset, "OPEN")
self.assertEqual(trade1.price, 4569.0)
self.assertEqual(trade1.volume, 1)
self.assertEqual(trade1.trade_date_time, 1568876399999500000)
self.assertEqual(trade1.commission, 6.122999999999999)
self.assertEqual(trade2.direction, "BUY")
self.assertEqual(trade2.offset, "OPEN")
self.assertEqual(trade2.price, 47550.0)
self.assertEqual(trade2.volume, 2)
self.assertEqual(trade2.trade_date_time, 1568876399999500000)
self.assertEqual(trade2.commission, 23.189999999999998)
api.close()
class CuatroStrategy(Process):
''''''
author = 'XIAO LI'
boll_window = 20
boll_dev = 1.8
rsi_window = 14
rsi_signal = 20
fast_window = 4
slow_window = 26
trailing_long = 0.5
trailing_short = 0.3
vol = 1
boll_up = float('nan')
boll_down = float('nan')
rsi_value = float('nan')
rsi_long = float('nan')
rsi_short = float('nan')
fast_ma = float('nan')
slow_ma = float('nan')
ma_trend = float('nan')
intra_trade_high = float('nan')
intra_trade_low = float('nan')
long_stop = float('nan')
short_stop = float('nan')
parameters = [
'boll_window'
'boll_dev'
'rsi_window'
'rsi_signal'
'fast_window'
'slow_window'
'trailing_long'
'trailing_short'
'vol'
]
variables = [
'boll_up'
'boll_down'
'rsi_value'
'rsi_long'
'rsi_short'
'fast_ma'
'slow_ma'
'ma_trend'
'intra_trade_high'
'intra_trade_low '
'long_stop'
'short_stop'
]
def __init__(self, symbol):
Process.__init__(self)
self.symbol = symbol
self.rsi_long = 50 + self.rsi_signal
self.rsi_short = 50 - self.rsi_signal
self.api = TqApi(TqSim(init_balance=50000))
self.now = datetime.now()
self.target_pos = TargetPosTask(self.api, self.symbol)
self.ticks = self.api.get_tick_serial(self.symbol)
self.klines5 = self.api.get_kline_serial(self.symbol, 60 * 5)
self.klines15 = self.api.get_kline_serial(self.symbol, 60 * 15)
self.position = self.api.get_position(self.symbol)
def on_init(self):
print(self.now, '策略初始化')
def on_start(self):
print(self.now, '策略启动')
def on_stop(self):
print(self.now, '策略停止')
def on_tick(self, ticks):
if self.api.is_changing(ticks, 'datetime'):
if self.position.pos_long == 0 and self.position.pos_short == 0:
if self.ma_trend > 0 and self.rsi_value >= self.rsi_long and ticks.iloc[-1].last_price > self.boll_up:
self.target_pos.set_target_volume(self.vol)
self.intra_trade_high = ticks.iloc[-1].last_price
if self.ma_trend < 0 and self.rsi_value <= self.rsi_short and ticks.iloc[
-1].last_price < self.boll_down:
self.target_pos.set_target_volume(-self.vol)
self.intra_trade_low = ticks.iloc[-1].last_price
elif self.position.pos_long > 0:
self.intra_trade_high = max(self.intra_trade_high, ticks.iloc[-1].last_price)
self.long_stop = (self.intra_trade_high - self.trailing_long * (self.boll_up - self.boll_down))
if ticks.iloc[-1].last_price < self.long_stop:
self.target_pos.set_target_volume(0)
self.intra_trade_high = float('nan')
else:
self.intra_trade_low = min(self.intra_trade_low, ticks.iloc[-1].last_price)
self.short_stop = (self.intra_trade_low + self.trailing_short * (self.boll_up - self.boll_down))
if ticks.iloc[-1].last_price > self.short_stop:
self.target_pos.set_target_volume(0)
self.intra_trade_low = float('nan')
def on_5minbar(self, klines5):
if self.api.is_changing(klines5, 'datetime'):
boll = ta.BOLL(klines5.iloc[:-1], self.boll_window, self.boll_dev).iloc[-1]
self.boll_up = boll['top']
self.boll_down = boll['bottom']
self.rsi_value = ta.RSI(klines5.iloc[:-1], self.rsi_window).iloc[-1]['rsi']
def on_15minbar(self, klines15):
if self.api.is_changing(klines15, 'datetime'):
self.fast_ma = ta.SMA(klines15.iloc[:-1], self.fast_window, 2)
self.slow_ma = ta.SMA(klines15.iloc[:-1], self.slow_window, 2)
if self.fast_ma > self.slow_ma:
self.ma_trend = 1
elif self.fast_ma < self.slow_ma:
self.ma_trend = -1
else:
self.ma_trend = 0
def on_order(self):
if self.api.is_changing(self.api.get_order()):
pass
def on_trade(self):
if self.api.is_changing(self.api.get_trade()):
pass
def run(self):
self.on_init()
self.on_start()
while True:
self.api.wait_update()
self.on_tick(self.ticks)
self.on_5minbar(self.klines5)
self.on_15minbar(self.klines15)
self.on_order()
self.on_trade()
self.on_stop()
