class CtaStrategyManager(QtGui.QGroupBox):
"""策略管理组件"""
signal = QtCore.pyqtSignal(type(Event()))
# ----------------------------------------------------------------------
def __init__(self, ctaEngine, eventEngine, name, parent=None):
"""Constructor"""
super(CtaStrategyManager, self).__init__(parent)
self.ctaEngine = ctaEngine
self.eventEngine = eventEngine
self.name = name
self.initUi()
self.updateMonitor()
self.registerEvent()
# ----------------------------------------------------------------------
def initUi(self):
"""初始化界面"""
self.setTitle(self.name)
self.paramMonitor = CtaValueMonitor(self)
self.varMonitor = CtaValueMonitor(self)
hbox2 = QtGui.QHBoxLayout()
hbox2.addWidget(self.paramMonitor)
hbox3 = QtGui.QHBoxLayout()
hbox3.addWidget(self.varMonitor)
vbox = QtGui.QVBoxLayout()
vbox.addLayout(hbox2)
vbox.addLayout(hbox3)
self.setLayout(vbox)
# ----------------------------------------------------------------------
def updateMonitor(self, event=None):
"""显示策略最新状态"""
paramDict = self.ctaEngine.getStrategyParam(self.name)
if paramDict:
self.paramMonitor.updateData(paramDict)
varDict = self.ctaEngine.getStrategyVar(self.name)
if varDict:
self.varMonitor.updateData(varDict)
# ----------------------------------------------------------------------
def registerEvent(self):
"""注册事件监听"""
self.signal.connect(self.updateMonitor)
self.eventEngine.register(EVENT_CTA_STRATEGY + self.name,
self.signal.emit)
class ValueMonitor(QtGui.QTableWidget):
"""数值监控"""
signal = QtCore.pyqtSignal()
#----------------------------------------------------------------------
def __init__(self, parent=None):
"""Constructor"""
super(ValueMonitor, self).__init__(parent)
self.keyCellDict = {}
self.row = 0
self.data = None
self.initUi()
self.signal.connect(self.updateTable)
#----------------------------------------------------------------------
def initUi(self):
"""初始化界面"""
self.setColumnCount(2)
self.verticalHeader().setVisible(False)
self.horizontalHeader().setVisible(False)
self.setEditTriggers(self.NoEditTriggers)
self.setAlternatingRowColors(True)
#----------------------------------------------------------------------
def updateData(self, data):
"""更新数据"""
self.data = data
self.signal.emit()
#----------------------------------------------------------------------
def updateTable(self):
"""更新表格"""
for key, value in self.data.items():
if key in self.keyCellDict:
cell = self.keyCellDict[key]
cell.setText(unicode(value))
else:
# 创建并保存单元格
keyCell = BasicCell(unicode(key))
cell = BasicCell(unicode(value))
self.keyCellDict[key] = cell
# 移动到下一行
self.insertRow(self.row)
self.setItem(self.row, 0, keyCell)
self.setItem(self.row, 1, cell)
self.row += 1
class TaskManager(QtGui.QWidget):
"""任务管理主界面"""
signal = QtCore.pyqtSignal(type(Event()))
#----------------------------------------------------------------------
def __init__(self, ctaEngine, eventEngine, parent=None):
"""Constructor"""
super(TaskManager, self).__init__(parent)
self.taskTab = TaskTable()
self.eventEngine = eventEngine
self.initUi()
self.signal.connect(self.init)
self.eventEngine.register(EVENT_TIMER, self.signal.emit)
#----------------------------------------------------------------------
def initUi(self):
"""初始化界面"""
self.setWindowTitle(u'任务管理')
buttonStopAll = QtGui.QPushButton(u'全部停止')
buttonStopAll.setObjectName(_fromUtf8('redButton'))
buttonStopAll.clicked.connect(self.taskTab.stopAll)
buttonClearAll = QtGui.QPushButton(u'清空所有')
buttonClearAll.setObjectName(_fromUtf8('blueButton'))
buttonClearAll.clicked.connect(self.taskTab.clearAll)
hbox11 = QtGui.QHBoxLayout()
hbox11.addWidget(buttonStopAll)
hbox11.addWidget(buttonClearAll)
hbox11.addStretch()
grid = QtGui.QVBoxLayout()
grid.addLayout(hbox11)
grid.addWidget(self.taskTab)
self.setLayout(grid)
#----------------------------------------------------------------------
def show(self):
"""重载显示"""
self.showMaximized()
#----------------------------------------------------------------------
def init(self):
"""初始化"""
self.taskTab.initCells()
class CtaStrategyManager(QtGui.QGroupBox):
"""策略管理组件"""
signal = QtCore.pyqtSignal(type(Event()))
#----------------------------------------------------------------------
def __init__(self, ctaEngine, eventEngine, name, parent=None):
"""Constructor"""
super(CtaStrategyManager, self).__init__(parent)
self.ctaEngine = ctaEngine
self.eventEngine = eventEngine
self.name = name
self.initUi()
self.updateMonitor()
self.registerEvent()
#----------------------------------------------------------------------
def initUi(self):
"""初始化界面"""
self.setTitle(self.name)
self.paramMonitor = CtaValueMonitor(self)
self.varMonitor = CtaValueMonitor(self)
maxHeight = 60
self.paramMonitor.setMaximumHeight(maxHeight)
self.varMonitor.setMaximumHeight(maxHeight)
buttonInit = QtGui.QPushButton(u'初始化')
buttonStart = QtGui.QPushButton(u'启动')
buttonStop = QtGui.QPushButton(u'停止')
buttonInit.clicked.connect(self.init)
buttonStart.clicked.connect(self.start)
buttonStop.clicked.connect(self.stop)
hbox1 = QtGui.QHBoxLayout()
hbox1.addWidget(buttonInit)
hbox1.addWidget(buttonStart)
hbox1.addWidget(buttonStop)
hbox1.addStretch()
hbox2 = QtGui.QHBoxLayout()
hbox2.addWidget(self.paramMonitor)
hbox3 = QtGui.QHBoxLayout()
hbox3.addWidget(self.varMonitor)
vbox = QtGui.QVBoxLayout()
vbox.addLayout(hbox1)
vbox.addLayout(hbox2)
vbox.addLayout(hbox3)
self.setLayout(vbox)
#----------------------------------------------------------------------
def updateMonitor(self, event=None):
"""显示策略最新状态"""
paramDict = self.ctaEngine.getStrategyParam(self.name)
if paramDict:
self.paramMonitor.updateData(paramDict)
varDict = self.ctaEngine.getStrategyVar(self.name)
if varDict:
self.varMonitor.updateData(varDict)
#----------------------------------------------------------------------
def registerEvent(self):
"""注册事件监听"""
self.signal.connect(self.updateMonitor)
self.eventEngine.register(EVENT_CTA_STRATEGY + self.name,
self.signal.emit)
#----------------------------------------------------------------------
def init(self):
"""初始化策略"""
self.ctaEngine.initStrategy(self.name)
#----------------------------------------------------------------------
def start(self):
"""启动策略"""
self.ctaEngine.startStrategy(self.name)
#----------------------------------------------------------------------
def stop(self):
"""停止策略"""
self.ctaEngine.stopStrategy(self.name)
class CtaEngineManager(QtGui.QWidget):
"""CTA引擎管理组件"""
signal = QtCore.pyqtSignal(type(Event()))
#----------------------------------------------------------------------
def __init__(self, ctaEngine, eventEngine, parent=None):
"""Constructor"""
super(CtaEngineManager, self).__init__(parent)
self.ctaEngine = ctaEngine
self.eventEngine = eventEngine
self.strategyLoaded = False
self.initUi()
self.registerEvent()
# 记录日志
self.ctaEngine.writeCtaLog(u'CTA引擎启动成功')
#----------------------------------------------------------------------
def initUi(self):
"""初始化界面"""
self.setWindowTitle(u'CTA策略')
# 按钮
testButton = QtGui.QPushButton('test')
loadButton = QtGui.QPushButton(u'加载策略')
initAllButton = QtGui.QPushButton(u'全部初始化')
startAllButton = QtGui.QPushButton(u'全部启动')
stopAllButton = QtGui.QPushButton(u'全部停止')
loadButton.clicked.connect(self.load)
initAllButton.clicked.connect(self.initAll)
startAllButton.clicked.connect(self.startAll)
stopAllButton.clicked.connect(self.stopAll)
# 滚动区域，放置所有的CtaStrategyManager
self.scrollArea = QtGui.QScrollArea()
self.scrollArea.setWidgetResizable(True)
# CTA组件的日志监控
self.ctaLogMonitor = QtGui.QTextEdit()
self.ctaLogMonitor.setReadOnly(True)
self.ctaLogMonitor.setMaximumHeight(200)
# 设置布局
hbox2 = QtGui.QHBoxLayout()
hbox2.addWidget(testButton)
hbox2.addWidget(loadButton)
hbox2.addWidget(initAllButton)
hbox2.addWidget(startAllButton)
hbox2.addWidget(stopAllButton)
hbox2.addStretch()
vbox = QtGui.QVBoxLayout()
vbox.addLayout(hbox2)
vbox.addWidget(self.scrollArea)
vbox.addWidget(self.ctaLogMonitor)
self.setLayout(vbox)
#----------------------------------------------------------------------
def initStrategyManager(self):
"""初始化策略管理组件界面"""
w = QtGui.QWidget()
vbox = QtGui.QVBoxLayout()
for name in self.ctaEngine.strategyDict.keys():
strategyManager = CtaStrategyManager(self.ctaEngine,
self.eventEngine, name)
vbox.addWidget(strategyManager)
vbox.addStretch()
w.setLayout(vbox)
self.scrollArea.setWidget(w)
#----------------------------------------------------------------------
def initAll(self):
"""全部初始化"""
for name in self.ctaEngine.strategyDict.keys():
self.ctaEngine.initStrategy(name)
#----------------------------------------------------------------------
def startAll(self):
"""全部启动"""
for name in self.ctaEngine.strategyDict.keys():
self.ctaEngine.startStrategy(name)
#----------------------------------------------------------------------
def stopAll(self):
"""全部停止"""
for name in self.ctaEngine.strategyDict.keys():
self.ctaEngine.stopStrategy(name)
#----------------------------------------------------------------------
def load(self):
"""加载策略"""
if not self.strategyLoaded:
self.ctaEngine.loadSetting()
self.initStrategyManager()
self.strategyLoaded = True
self.ctaEngine.writeCtaLog(u'策略加载成功')
#----------------------------------------------------------------------
def updateCtaLog(self, event):
"""更新CTA相关日志"""
log = event.dict_['data']
print type(log)
content = '\t'.join([log.logTime, log.logContent])
self.ctaLogMonitor.append(content)
#----------------------------------------------------------------------
def registerEvent(self):
"""注册事件监听"""
self.signal.connect(self.updateCtaLog)
self.eventEngine.register(EVENT_CTA_LOG, self.signal.emit)
class DrEngineManager(QtWidgets.QWidget):
"""行情数据记录引擎管理组件"""
signal = QtCore.pyqtSignal(type(Event()))
#----------------------------------------------------------------------
def __init__(self, drEngine, eventEngine, parent=None):
"""Constructor"""
super(DrEngineManager, self).__init__(parent)
self.drEngine = drEngine
self.eventEngine = eventEngine
self.initUi()
self.updateSetting()
self.registerEvent()
#----------------------------------------------------------------------
def initUi(self):
"""初始化界面"""
self.setWindowTitle(text.DATA_RECORDER)
# 记录合约配置监控
tickLabel = QtWidgets.QLabel(text.TICK_RECORD)
self.tickTable = QtWidgets.QTableWidget()
self.tickTable.setColumnCount(2)
self.tickTable.verticalHeader().setVisible(False)
self.tickTable.setEditTriggers(QtWidgets.QTableWidget.NoEditTriggers)
self.tickTable.horizontalHeader().setResizeMode(
QtWidgets.QHeaderView.Stretch)
self.tickTable.setAlternatingRowColors(True)
self.tickTable.setHorizontalHeaderLabels(
[text.CONTRACT_SYMBOL, text.GATEWAY])
barLabel = QtWidgets.QLabel(text.BAR_RECORD)
self.barTable = QtWidgets.QTableWidget()
self.barTable.setColumnCount(2)
self.barTable.verticalHeader().setVisible(False)
self.barTable.setEditTriggers(QtWidgets.QTableWidget.NoEditTriggers)
self.barTable.horizontalHeader().setResizeMode(
QtWidgets.QHeaderView.Stretch)
self.barTable.setAlternatingRowColors(True)
self.barTable.setHorizontalHeaderLabels(
[text.CONTRACT_SYMBOL, text.GATEWAY])
activeLabel = QtWidgets.QLabel(text.DOMINANT_CONTRACT)
self.activeTable = QtWidgets.QTableWidget()
self.activeTable.setColumnCount(2)
self.activeTable.verticalHeader().setVisible(False)
self.activeTable.setEditTriggers(QtWidgets.QTableWidget.NoEditTriggers)
self.activeTable.horizontalHeader().setResizeMode(
QtWidgets.QHeaderView.Stretch)
self.activeTable.setAlternatingRowColors(True)
self.activeTable.setHorizontalHeaderLabels(
[text.DOMINANT_SYMBOL, text.CONTRACT_SYMBOL])
# 日志监控
self.logMonitor = QtWidgets.QTextEdit()
self.logMonitor.setReadOnly(True)
self.logMonitor.setMinimumHeight(600)
# 设置布局
grid = QtWidgets.QGridLayout()
grid.addWidget(tickLabel, 0, 0)
grid.addWidget(barLabel, 0, 1)
grid.addWidget(activeLabel, 0, 2)
grid.addWidget(self.tickTable, 1, 0)
grid.addWidget(self.barTable, 1, 1)
grid.addWidget(self.activeTable, 1, 2)
vbox = QtWidgets.QVBoxLayout()
vbox.addLayout(grid)
vbox.addWidget(self.logMonitor)
self.setLayout(vbox)
#----------------------------------------------------------------------
def updateLog(self, event):
"""更新日志"""
log = event.dict_['data']
content = '\t'.join([log.logTime, log.logContent])
self.logMonitor.append(content)
#----------------------------------------------------------------------
def registerEvent(self):
"""注册事件监听"""
self.signal.connect(self.updateLog)
self.eventEngine.register(EVENT_DATARECORDER_LOG, self.signal.emit)
#----------------------------------------------------------------------
def updateSetting(self):
"""显示引擎行情记录配置"""
with open(self.drEngine.settingFileName) as f:
drSetting = json.load(f)
if 'tick' in drSetting:
l = drSetting['tick']
for setting in l:
self.tickTable.insertRow(0)
self.tickTable.setItem(0, 0, TableCell(setting[0]))
self.tickTable.setItem(0, 1, TableCell(setting[1]))
if 'bar' in drSetting:
l = drSetting['bar']
for setting in l:
self.barTable.insertRow(0)
self.barTable.setItem(0, 0, TableCell(setting[0]))
self.barTable.setItem(0, 1, TableCell(setting[1]))
if 'active' in drSetting:
d = drSetting['active']
for activeSymbol, symbol in d.items():
self.activeTable.insertRow(0)
self.activeTable.setItem(0, 0, TableCell(activeSymbol))
self.activeTable.setItem(0, 1, TableCell(symbol))
class PriceWidget(QtGui.QWidget):
"""用于显示价格走势图"""
signal = QtCore.pyqtSignal(type(Event()))
# tick图的相关参数、变量
listlastPrice = np.empty(1000)
fastMA = 0
midMA = 0
slowMA = 0
listfastMA = np.empty(1000)
listmidMA = np.empty(1000)
listslowMA = np.empty(1000)
tickFastAlpha = 0.0333 # 快速均线的参数,30
tickMidAlpha = 0.0167 # 中速均线的参数,60
tickSlowAlpha = 0.0083 # 慢速均线的参数,120
ptr = 0
ticktime = None # tick数据时间
# K线图EMA均线的参数、变量
EMAFastAlpha = 0.0167 # 快速EMA的参数,60
EMASlowAlpha = 0.0083 # 慢速EMA的参数,120
fastEMA = 0 # 快速EMA的数值
slowEMA = 0 # 慢速EMA的数值
listfastEMA = []
listslowEMA = []
# K线缓存对象
barOpen = 0
barHigh = 0
barLow = 0
barClose = 0
barTime = None
barOpenInterest = 0
num = 0
# 保存K线数据的列表对象
listBar = []
listClose = []
listHigh = []
listLow = []
listOpen = []
listOpenInterest = []
# 是否完成了历史数据的读取
initCompleted = False
# 初始化时读取的历史数据的起始日期(可以选择外部设置)
startDate = None
symbol = 'SR701'
# 用来记录前一个记录，方便打印更新的状态K线值到控制台
pre = None
class CandlestickItem(pg.GraphicsObject):
def __init__(self, data):
pg.GraphicsObject.__init__(self)
self.data = data ## data must have fields: time, open, close, min, max
self.generatePicture()
def generatePicture(self):
## pre-computing a QPicture object allows paint() to run much more quickly,
## rather than re-drawing the shapes every time.
self.picture = QtGui.QPicture()
p = QtGui.QPainter(self.picture)
p.setPen(pg.mkPen(color='w')) # 0.4 means w*2, width=0.4
w = 0.2 # w*2是 阴线阳线宽度
# 用来记录上一个k线值 和打印更新的k线状态值
global pre
if len(self.data) == 0:
pass
elif len(self.data) < 2:
pre = self.data[0]
cur = self.data[0]
else:
cur = self.data[-1]
if pre == cur:
pass
else:
print cur
pre = cur
for (t, open_price, close_price, min_price,
max_price) in self.data:
'''
这里对画最高最低值的竖直线的一种意外情况的判断，
如果max和min一样，则画出来的直线实际上成了一个方块
'''
if abs(min_price - max_price) < 0.00000001:
pass # 如果最高价和最低价相同，则不绘制这直线
else:
p.drawLine(QtCore.QPointF(t, min_price),
QtCore.QPointF(t, max_price))
if open_price > close_price:
p.setBrush(pg.mkBrush('g'))
else:
p.setBrush(pg.mkBrush('r'))
# 绘制open和close的柱状图
p.drawRect(
QtCore.QRectF(t - w, open_price, w * 2,
close_price - open_price))
p.end()
def paint(self, p, *args):
p.drawPicture(0, 0, self.picture)
def boundingRect(self):
## boundingRect _must_ indicate the entire area that will be drawn on
## or else we will get artifacts and possibly crashing.
## (in this case, QPicture does all the work of computing the bouning rect for us)
return QtCore.QRectF(self.picture.boundingRect())
# ----------------------------------------------------------------------
def __init__(self, eventEngine, mainEngine, parent=None):
"""Constructor"""
super(PriceWidget, self).__init__(parent)
self.__eventEngine = eventEngine
self.__mainEngine = mainEngine
# MongoDB数据库相关
self.__mongoConnected = False
self.__mongoConnection = None
self.__mongoTickDB = None
# 调用函数
self.__connectMongo()
self.initUi(startDate=None)
self.registerTickEvent()
# self.registerBarEvent()
# ----------------------------------------------------------------------
def initUi(self, startDate=None):
"""初始化界面"""
self.setWindowTitle(u'Price')
self.vbl_1 = QtGui.QVBoxLayout()
self.initplotTick() # plotTick初始化
self.vbl_2 = QtGui.QVBoxLayout()
self.initplotKline() # plotKline初始化
self.initplotTendency() # plot分时图的初始化
# 整体布局
self.hbl = QtGui.QHBoxLayout()
self.hbl.addLayout(self.vbl_1)
self.hbl.addLayout(self.vbl_2)
self.setLayout(self.hbl)
self.initHistoricalData() # 下载历史数据
# ----------------------------------------------------------------------
def initplotTick(self):
""""""
self.pw1 = pg.PlotWidget(name='Plot1')
self.vbl_1.addWidget(self.pw1)
self.pw1.setRange(xRange=[-360, 0])
self.pw1.setLimits(xMax=5)
self.pw1.setDownsampling(mode='peak')
self.pw1.setClipToView(True)
self.curve1 = self.pw1.plot()
self.curve2 = self.pw1.plot()
self.curve3 = self.pw1.plot()
self.curve4 = self.pw1.plot()
# ----------------------------------------------------------------------
def initplotKline(self):
"""Kline"""
self.pw2 = pg.PlotWidget(name='Plot2') # K线图
self.vbl_2.addWidget(self.pw2)
self.pw2.setDownsampling(mode='peak')
self.pw2.setClipToView(True)
self.curve5 = self.pw2.plot()
self.curve6 = self.pw2.plot()
self.candle = self.CandlestickItem(self.listBar)
self.pw2.addItem(self.candle)
## Draw an arrowhead next to the text box
# self.arrow = pg.ArrowItem()
# self.pw2.addItem(self.arrow)
# ----------------------------------------------------------------------
def initplotTendency(self):
""""""
self.pw3 = pg.PlotWidget(name='Plot3')
self.vbl_2.addWidget(self.pw3)
self.pw3.setDownsampling(mode='peak')
self.pw3.setClipToView(True)
self.pw3.setMaximumHeight(200)
self.pw3.setXLink('Plot2') # X linked with Plot2
self.curve7 = self.pw3.plot()
# ----------------------------------------------------------------------
def initHistoricalData(self, startDate=None):
"""初始历史数据"""
td = timedelta(days=1) # 读取3天的历史TICK数据
if startDate:
cx = self.loadTick(self.symbol, startDate - td)
else:
today = datetime.today().replace(hour=0,
minute=0,
second=0,
microsecond=0)
cx = self.loadTick(self.symbol, today - td)
if cx:
for data in cx:
tick = Tick(data['InstrumentID'])
tick.openPrice = data['OpenPrice']
tick.highPrice = data['HighestPrice']
tick.lowPrice = data['LowestPrice']
tick.lastPrice = data['LastPrice']
tick.volume = data['Volume']
tick.openInterest = data['OpenInterest']
tick.upperLimit = data['UpperLimitPrice']
tick.lowerLimit = data['LowerLimitPrice']
tick.time = data['UpdateTime']
tick.ms = data['UpdateMillisec']
tick.bidPrice1 = data['BidPrice1']
tick.bidPrice2 = data['BidPrice2']
tick.bidPrice3 = data['BidPrice3']
tick.bidPrice4 = data['BidPrice4']
tick.bidPrice5 = data['BidPrice5']
tick.askPrice1 = data['AskPrice1']
tick.askPrice2 = data['AskPrice2']
tick.askPrice3 = data['AskPrice3']
tick.askPrice4 = data['AskPrice4']
tick.askPrice5 = data['AskPrice5']
tick.bidVolume1 = data['BidVolume1']
tick.bidVolume2 = data['BidVolume2']
tick.bidVolume3 = data['BidVolume3']
tick.bidVolume4 = data['BidVolume4']
tick.bidVolume5 = data['BidVolume5']
tick.askVolume1 = data['AskVolume1']
tick.askVolume2 = data['AskVolume2']
tick.askVolume3 = data['AskVolume3']
tick.askVolume4 = data['AskVolume4']
tick.askVolume5 = data['AskVolume5']
self.onTick(tick)
self.initCompleted = True # 读取历史数据完成
# pprint('load historic data completed')
# ----------------------------------------------------------------------
def plotTick(self):
"""画tick图"""
if self.initCompleted:
self.curve1.setData(self.listlastPrice[:self.ptr])
self.curve2.setData(self.listfastMA[:self.ptr],
pen=(255, 0, 0),
name="Red curve")
self.curve3.setData(self.listmidMA[:self.ptr],
pen=(0, 255, 0),
name="Green curve")
self.curve4.setData(self.listslowMA[:self.ptr],
pen=(0, 0, 255),
name="Blue curve")
self.curve1.setPos(-self.ptr, 0)
self.curve2.setPos(-self.ptr, 0)
self.curve3.setPos(-self.ptr, 0)
self.curve4.setPos(-self.ptr, 0)
# ----------------------------------------------------------------------
def plotKline(self):
"""K线图"""
if self.initCompleted:
# 均线
self.curve5.setData(self.listfastEMA,
pen=(255, 0, 0),
name="Red curve")
self.curve6.setData(self.listslowEMA,
pen=(0, 255, 0),
name="Green curve")
# 画K线
self.pw2.removeItem(self.candle)
self.candle = self.CandlestickItem(self.listBar)
self.pw2.addItem(self.candle)
# self.plotText() # 显示开仓信号位置
# ----------------------------------------------------------------------
def plotTendency(self):
""""""
if self.initCompleted:
self.curve7.setData(self.listOpenInterest,
pen=(255, 255, 255),
name="White curve")
# ----------------------------------------------------------------------
def plotText(self):
lenClose = len(self.listClose)
if lenClose >= 5: # Fractal Signal
if self.listClose[-1] > self.listClose[-2] and self.listClose[
-3] > self.listClose[-2] and self.listClose[
-4] > self.listClose[-2] and self.listClose[
-5] > self.listClose[-2] and self.listfastEMA[
-1] > self.listslowEMA[-1]:
## Draw an arrowhead next to the text box
# self.pw2.removeItem(self.arrow)
self.arrow = pg.ArrowItem(pos=(lenClose - 1, self.listLow[-1]),
angle=90,
brush=(255, 0, 0))
self.pw2.addItem(self.arrow)
elif self.listClose[-1] < self.listClose[-2] and self.listClose[
-3] < self.listClose[-2] and self.listClose[
-4] < self.listClose[-2] and self.listClose[
-5] < self.listClose[-2] and self.listfastEMA[
-1] < self.listslowEMA[-1]:
## Draw an arrowhead next to the text box
# self.pw2.removeItem(self.arrow)
self.arrow = pg.ArrowItem(pos=(lenClose - 1,
self.listHigh[-1]),
angle=-90,
brush=(0, 255, 0))
self.pw2.addItem(self.arrow)
# ----------------------------------------------------------------------
def updateMarketData(self, event):
"""更新行情"""
# 切换到DrTickData
# old code
tick = event.dict_['data']
# tick.openPrice = data['OpenPrice']
# tick.highPrice = data['HighestPrice']
# tick.lowPrice = data['LowestPrice']
# tick.lastPrice = data['LastPrice']
#
# tick.volume = data['Volume']
# tick.openInterest = data['OpenInterest']
#
# tick.upperLimit = data['UpperLimitPrice']
# tick.lowerLimit = data['LowerLimitPrice']
#
# tick.time = data['UpdateTime']
# tick.ms = data['UpdateMillisec']
#
# tick.bidPrice1 = data['BidPrice1']
# tick.bidPrice2 = data['BidPrice2']
# tick.bidPrice3 = data['BidPrice3']
# tick.bidPrice4 = data['BidPrice4']
# tick.bidPrice5 = data['BidPrice5']
#
# tick.askPrice1 = data['AskPrice1']
# tick.askPrice2 = data['AskPrice2']
# tick.askPrice3 = data['AskPrice3']
# tick.askPrice4 = data['AskPrice4']
# tick.askPrice5 = data['AskPrice5']
#
# tick.bidVolume1 = data['BidVolume1']
# tick.bidVolume2 = data['BidVolume2']
# tick.bidVolume3 = data['BidVolume3']
# tick.bidVolume4 = data['BidVolume4']
# tick.bidVolume5 = data['BidVolume5']
#
# tick.askVolume1 = data['AskVolume1']
# tick.askVolume2 = data['AskVolume2']
# tick.askVolume3 = data['AskVolume3']
# tick.askVolume4 = data['AskVolume4']
# tick.askVolume5 = data['AskVolume5']
self.onTick(tick) # tick数据更新
# # 将数据插入MongoDB数据库，实盘建议另开程序记录TICK数据
# self.__recordTick(data)
# ----------------------------------------------------------------------
def updateBar(self, event):
"""更新Bar列表，绘制新图"""
data = event.dict_['data']
print 'updateBar', datetime.utcnow()
# ----------------------------------------------------------------------
def onTick(self, tick):
"""tick数据更新"""
from datetime import time
# 首先生成datetime.time格式的时间（便于比较）,从字符串时间转化为time格式的时间
hh, mm, ss = tick.time.split(':')
self.ticktime = time(int(float(hh)), int(float(mm)), int(float(ss)))
# 计算tick图的相关参数
if self.ptr == 0:
self.fastMA = tick.lastPrice
self.midMA = tick.lastPrice
self.slowMA = tick.lastPrice
else:
self.fastMA = (
1 - self.tickFastAlpha
) * self.fastMA + self.tickFastAlpha * tick.lastPrice
self.midMA = (1 - self.tickMidAlpha
) * self.midMA + self.tickMidAlpha * tick.lastPrice
self.slowMA = (
1 - self.tickSlowAlpha
) * self.slowMA + self.tickSlowAlpha * tick.lastPrice
self.listlastPrice[self.ptr] = tick.lastPrice
self.listfastMA[self.ptr] = self.fastMA
self.listmidMA[self.ptr] = self.midMA
self.listslowMA[self.ptr] = self.slowMA
self.ptr += 1
# pprint("----------")
# pprint(self.ptr)
if self.ptr >= self.listlastPrice.shape[0]:
tmp = self.listlastPrice
self.listlastPrice = np.empty(self.listlastPrice.shape[0] * 2)
self.listlastPrice[:tmp.shape[0]] = tmp
tmp = self.listfastMA
self.listfastMA = np.empty(self.listfastMA.shape[0] * 2)
self.listfastMA[:tmp.shape[0]] = tmp
tmp = self.listmidMA
self.listmidMA = np.empty(self.listmidMA.shape[0] * 2)
self.listmidMA[:tmp.shape[0]] = tmp
tmp = self.listslowMA
self.listslowMA = np.empty(self.listslowMA.shape[0] * 2)
self.listslowMA[:tmp.shape[0]] = tmp
# K线数据
# 假设是收到的第一个TICK
if self.barOpen == 0:
# 初始化新的K线数据
self.barOpen = tick.lastPrice
self.barHigh = tick.lastPrice
self.barLow = tick.lastPrice
self.barClose = tick.lastPrice
self.barTime = self.ticktime
self.barOpenInterest = tick.openInterest
self.onBar(self.num, self.barOpen, self.barClose, self.barLow,
self.barHigh, self.barOpenInterest)
else:
# 如果是当前一分钟内的数据
if self.ticktime.minute == self.barTime.minute:
if self.ticktime.second >= 30 and self.barTime.second < 30: # 判断30秒周期K线
# 先保存K线收盘价
self.num += 1
self.onBar(self.num, self.barOpen, self.barClose,
self.barLow, self.barHigh, self.barOpenInterest)
# 初始化新的K线数据
self.barOpen = tick.lastPrice
self.barHigh = tick.lastPrice
self.barLow = tick.lastPrice
self.barClose = tick.lastPrice
self.barTime = self.ticktime
self.barOpenInterest = tick.openInterest
# 汇总TICK生成K线
self.barHigh = max(self.barHigh, tick.lastPrice)
self.barLow = min(self.barLow, tick.lastPrice)
self.barClose = tick.lastPrice
self.barTime = self.ticktime
self.listBar.pop()
self.listfastEMA.pop()
self.listslowEMA.pop()
self.listOpen.pop()
self.listClose.pop()
self.listHigh.pop()
self.listLow.pop()
self.listOpenInterest.pop()
self.onBar(self.num, self.barOpen, self.barClose, self.barLow,
self.barHigh, self.barOpenInterest)
# 如果是新一分钟的数据
else:
# 先保存K线收盘价
self.num += 1
self.onBar(self.num, self.barOpen, self.barClose, self.barLow,
self.barHigh, self.barOpenInterest)
# 初始化新的K线数据
self.barOpen = tick.lastPrice
self.barHigh = tick.lastPrice
self.barLow = tick.lastPrice
self.barClose = tick.lastPrice
self.barTime = self.ticktime
self.barOpenInterest = tick.openInterest
# ----------------------------------------------------------------------
def onBar(self, n, o, c, l, h, oi):
self.listBar.append((n, o, c, l, h))
self.listOpen.append(o)
self.listClose.append(c)
self.listHigh.append(h)
self.listLow.append(l)
self.listOpenInterest.append(oi)
#计算K线图EMA均线
if self.fastEMA:
self.fastEMA = c * self.EMAFastAlpha + self.fastEMA * (
1 - self.EMAFastAlpha)
self.slowEMA = c * self.EMASlowAlpha + self.slowEMA * (
1 - self.EMASlowAlpha)
else:
self.fastEMA = c
self.slowEMA = c
self.listfastEMA.append(self.fastEMA)
self.listslowEMA.append(self.slowEMA)
# 调用画图函数
self.plotTick() # tick图
self.plotKline() # K线图
self.plotTendency() # K线副图，持仓量
# ----------------------------------------------------------------------
def __connectMongo(self):
"""连接MongoDB数据库"""
try:
self.__mongoConnection = MongoClient()
self.__mongoConnected = True
self.__mongoTickDB = self.__mongoConnection['TickDB']
except ConnectionFailure:
pass
# ----------------------------------------------------------------------
def __recordTick(self, data):
"""将Tick数据插入到MongoDB中"""
if self.__mongoConnected:
symbol = data['InstrumentID']
data['date'] = self.today
self.__mongoTickDB[symbol].insert(data)
# ----------------------------------------------------------------------
def loadTick(self, symbol, startDate, endDate=None):
"""从MongoDB中读取Tick数据"""
if self.__mongoConnected:
collection = self.__mongoTickDB[symbol]
# 如果输入了读取TICK的最后日期
if endDate:
cx = collection.find(
{'date': {
'$gte': startDate,
'$lte': endDate
}})
else:
cx = collection.find({'date': {'$gte': startDate}})
return cx
else:
return None
# ----------------------------------------------------------------------
def registerTickEvent(self):
"""注册Tick数据监听"""
self.signal.connect(self.updateMarketData)
self.__eventEngine.register(EVENT_DATARECORDER_TICK, self.signal.emit)
# ----------------------------------------------------------------------
def registerBarEvent(self):
"""注册Bar数据监听"""
self.signal.connect(self.updateBar)
self.__eventEngine.register(EVENT_DATARECORDER_BAR, self.signal.emit)
class StockBacktestEngineManager(QtGui.QWidget):
"""CTA引擎管理组件"""
signal = QtCore.pyqtSignal(type(Event()))
signal2 = QtCore.pyqtSignal(type(Event()))
#----------------------------------------------------------------------
def __init__(self, stockBacktestEngine, eventEngine, parent=None):
"""Constructor"""
super(StockBacktestEngineManager, self).__init__(parent)
self.stockBacktestEngine = stockBacktestEngine
self.eventEngine = eventEngine
self.strategyLoaded = False
self.initUi()
self.registerEvent()
# 记录日志
self.stockBacktestEngine.writeBktLog(u'股票回测引擎启动成功')
#----------------------------------------------------------------------
def initUi(self):
"""初始化界面"""
self.setWindowTitle(u'股票策略回测')
# 按钮
newButton = QtGui.QPushButton(u'新建策略')
loadButton = QtGui.QPushButton(u'加载策略')
newButton.clicked.connect(self.new)
loadButton.clicked.connect(self.load)
# 滚动区域，放置所有的CtaStrategyManager
self.scrollArea = QtGui.QScrollArea()
self.scrollArea.setWidgetResizable(True)
# 回测结果区域，Tab显示各项报告
self.tabWidget = QtGui.QTabWidget(self)
self.model = QtGui.QStandardItemModel(self)
self.summaryView = QtGui.QTableView(self)
self.summaryView.setModel(self.model)
self.summaryView.horizontalHeader().setStretchLastSection(True)
self.summaryView.setEditTriggers(self.summaryView.NoEditTriggers)
self.summaryView.setMaximumHeight(400)
self.summaryView.resizeColumnsToContents()
self.model2 = QtGui.QStandardItemModel(self)
self.total_portfoliosView = QtGui.QTableView(self)
self.total_portfoliosView.setModel(self.model2)
self.total_portfoliosView.horizontalHeader().setStretchLastSection(
True)
self.total_portfoliosView.setEditTriggers(
self.total_portfoliosView.NoEditTriggers)
self.total_portfoliosView.setMaximumHeight(400)
self.total_portfoliosView.resizeColumnsToContents()
self.model3 = QtGui.QStandardItemModel(self)
self.future_portfoliosView = QtGui.QTableView(self)
self.future_portfoliosView.setModel(self.model3)
self.future_portfoliosView.horizontalHeader().setStretchLastSection(
True)
self.future_portfoliosView.setEditTriggers(
self.future_portfoliosView.NoEditTriggers)
self.future_portfoliosView.setMaximumHeight(400)
self.future_portfoliosView.resizeColumnsToContents()
self.model4 = QtGui.QStandardItemModel(self)
self.future_positionsView = QtGui.QTableView(self)
self.future_positionsView.setModel(self.model4)
self.future_positionsView.horizontalHeader().setStretchLastSection(
True)
self.future_positionsView.setEditTriggers(
self.future_positionsView.NoEditTriggers)
self.future_positionsView.setMaximumHeight(400)
self.future_positionsView.resizeColumnsToContents()
self.model5 = QtGui.QStandardItemModel(self)
self.tradesView = QtGui.QTableView(self)
self.tradesView.setModel(self.model5)
self.tradesView.horizontalHeader().setStretchLastSection(True)
self.tradesView.horizontalHeader().setVisible(False)
self.tradesView.setEditTriggers(self.tradesView.NoEditTriggers)
self.tradesView.setMaximumHeight(400)
self.tradesView.resizeColumnsToContents()
self.tabWidget.addTab(self.summaryView, "summary")
self.tabWidget.addTab(self.total_portfoliosView, "total_portfolios")
self.tabWidget.addTab(self.future_portfoliosView, "stock_portfolios")
self.tabWidget.addTab(self.future_positionsView, "stock_positions")
self.tabWidget.addTab(self.tradesView, "trades")
# 回测图表
Button1 = QtGui.QPushButton(u'交易资料')
Button2 = QtGui.QPushButton(u'周期分析')
Button3 = QtGui.QPushButton(u'策略分析')
Button4 = QtGui.QPushButton(u'交易分析')
# Button1.clicked.connect(self.show1)
# Button2.clicked.connect(self.show2)
# Button3.clicked.connect(self.show3)
# Button4.clicked.connect(self.show4)
# 回测组件的日志监控
self.bktLogMonitor = QtGui.QTextEdit()
self.bktLogMonitor.setReadOnly(True)
self.bktLogMonitor.setMaximumHeight(100)
# 设置布局
hbox2 = QtGui.QHBoxLayout()
hbox2.addWidget(newButton)
hbox2.addWidget(loadButton)
hbox2.addStretch()
vbox2 = QtGui.QVBoxLayout()
vbox2.addWidget(Button1)
vbox2.addWidget(Button2)
vbox2.addWidget(Button3)
vbox2.addWidget(Button4)
vbox2.addStretch()
hbox3 = QtGui.QHBoxLayout()
hbox3.addLayout(vbox2)
hbox3.addWidget(self.tabWidget)
vbox = QtGui.QVBoxLayout()
vbox.addLayout(hbox2)
vbox.addWidget(self.scrollArea)
vbox.setSpacing(20)
vbox.addLayout(hbox3)
# vbox.addWidget(self.tabWidget)
vbox.setSpacing(20)
vbox.addWidget(self.bktLogMonitor)
self.setLayout(vbox)
#----------------------------------------------------------------------
def initStrategyManager(self):
"""初始化策略管理组件界面"""
w = QtGui.QWidget()
vbox = QtGui.QVBoxLayout()
self.runID = 9999
for name in self.stockBacktestEngine.strategyDict.keys():
strategyManager = StockStrategyManager(self.stockBacktestEngine,
self.eventEngine, name,
self.runID)
vbox.addWidget(strategyManager)
self.runID -= 1
self.signal2.connect(self.updateBktResult)
self.eventEngine.register(EVENT_BKT_STRATEGY + name,
self.signal2.emit)
vbox.addStretch()
w.setLayout(vbox)
self.scrollArea.setWidget(w)
#----------------------------------------------------------------------
def load(self):
"""加载策略"""
if not self.strategyLoaded:
self.stockBacktestEngine.loadStrategy()
self.initStrategyManager()
self.strategyLoaded = True
self.stockBacktestEngine.writeBktLog(u'策略加载成功')
#----------------------------------------------------------------------
def new(self):
self.stockBacktestEngine.writeBktLog(u'策略新建成功')
#----------------------------------------------------------------------
def updateBktResult(self, event):
name = event.dict_['name']
fileName = os.path.abspath(
os.path.dirname(__file__)) + '\\result\\' + name + '\\summary.csv'
fileName2 = os.path.abspath(os.path.dirname(
__file__)) + '\\result\\' + name + '\\total_portfolios.csv'
fileName3 = os.path.abspath(os.path.dirname(
__file__)) + '\\result\\' + name + '\\stock_portfolios.csv'
fileName4 = os.path.abspath(os.path.dirname(
__file__)) + '\\result\\' + name + '\\stock_positions.csv'
fileName5 = os.path.abspath(
os.path.dirname(__file__)) + '\\result\\' + name + '\\trades.csv'
self.model.clear()
self.model2.clear()
self.model3.clear()
self.model4.clear()
self.model5.clear()
with open(fileName, "rb") as fileInput:
isLable = True
for row in csv.reader(fileInput):
if isLable:
items = [field for field in row]
self.model.setHorizontalHeaderLabels(items)
isLable = False
else:
items = [
QtGui.QStandardItem(field.decode('utf-8'))
for field in row
]
self.model.appendRow(items)
self.summaryView.resizeColumnsToContents()
fileInput.close()
with open(fileName2, "rb") as fileInput:
isLable = True
for row in csv.reader(fileInput):
if isLable:
items = [field for field in row]
self.model2.setHorizontalHeaderLabels(items)
isLable = False
else:
items = [
QtGui.QStandardItem(field.decode('utf-8'))
for field in row
]
self.model2.appendRow(items)
self.total_portfoliosView.resizeColumnsToContents()
fileInput.close()
with open(fileName3, "rb") as fileInput:
isLable = True
for row in csv.reader(fileInput):
if isLable:
items = [field for field in row]
self.model3.setHorizontalHeaderLabels(items)
isLable = False
else:
items = [
QtGui.QStandardItem(field.decode('utf-8'))
for field in row
]
self.model3.appendRow(items)
self.future_portfoliosView.resizeColumnsToContents()
fileInput.close()
with open(fileName4, "rb") as fileInput:
isLable = True
for row in csv.reader(fileInput):
if isLable:
items = [field for field in row]
self.model4.setHorizontalHeaderLabels(items)
isLable = False
else:
items = [
QtGui.QStandardItem(field.decode('utf-8'))
for field in row
]
self.model4.appendRow(items)
self.future_positionsView.resizeColumnsToContents()
fileInput.close()
with open(fileName5, "rb") as fileInput:
isLable = True
for row in csv.reader(fileInput):
if isLable:
items = [field for field in row]
self.model5.setHorizontalHeaderLabels(items)
isLable = False
else:
items = [
QtGui.QStandardItem(field.decode('utf-8'))
for field in row
]
self.model5.appendRow(items)
self.tradesView.resizeColumnsToContents()
fileInput.close()
self.stockBacktestEngine.writeBktLog(name + u'绩效报告创建成功')
#----------------------------------------------------------------------
def updateBktLog(self, event):
"""更新回测相关日志"""
log = event.dict_['data']
content = '\t'.join([log.logTime, log.logContent])
self.bktLogMonitor.append(content)
#----------------------------------------------------------------------
def registerEvent(self):
"""注册事件监听"""
self.signal.connect(self.updateBktLog)
self.eventEngine.register(EVENT_BKT_LOG, self.signal.emit)
class CtaEngineManager(QtGui.QWidget):
"""CTA引擎管理组件"""
signal = QtCore.pyqtSignal(type(Event()))
# ----------------------------------------------------------------------
def __init__(self, ctaEngine, eventEngine, parent=None):
"""Constructor"""
super(CtaEngineManager, self).__init__(parent)
self.ctaEngine = ctaEngine
self.eventEngine = eventEngine
self.strategyLoaded = False
self.initUi()
self.registerEvent()
# 记录日志
self.ctaEngine.writeCtaLog(text.CTA_ENGINE_STARTED)
# ----------------------------------------------------------------------
def initUi(self):
"""初始化界面"""
self.setWindowTitle(text.CTA_STRATEGY)
# 按钮
loadButton = QtGui.QPushButton(text.LOAD_STRATEGY)
initAllButton = QtGui.QPushButton(text.INIT_ALL)
startAllButton = QtGui.QPushButton(text.START_ALL)
stopAllButton = QtGui.QPushButton(text.STOP_ALL)
savePositionButton = QtGui.QPushButton(text.SAVE_POSITION_DATA)
loadButton.clicked.connect(self.load)
initAllButton.clicked.connect(self.initAll)
startAllButton.clicked.connect(self.startAll)
stopAllButton.clicked.connect(self.stopAll)
savePositionButton.clicked.connect(self.ctaEngine.savePosition)
# 滚动区域，放置所有的CtaStrategyManager
self.scrollArea = QtGui.QScrollArea()
self.scrollArea.setWidgetResizable(True)
# CTA组件的日志监控
self.ctaLogMonitor = QtGui.QTextEdit()
self.ctaLogMonitor.setReadOnly(True)
self.ctaLogMonitor.setMaximumHeight(200)
# 设置布局
hbox2 = QtGui.QHBoxLayout()
hbox2.addWidget(loadButton)
hbox2.addWidget(initAllButton)
hbox2.addWidget(startAllButton)
hbox2.addWidget(stopAllButton)
hbox2.addWidget(savePositionButton)
hbox2.addStretch()
vbox = QtGui.QVBoxLayout()
vbox.addLayout(hbox2)
vbox.addWidget(self.scrollArea)
vbox.addWidget(self.ctaLogMonitor)
self.setLayout(vbox)
# ----------------------------------------------------------------------
def initStrategyManager(self):
"""初始化策略管理组件界面"""
w = QtGui.QWidget()
vbox = QtGui.QVBoxLayout()
for name in self.ctaEngine.strategyDict.keys():
strategyManager = CtaStrategyManager(self.ctaEngine, self.eventEngine, name)
vbox.addWidget(strategyManager)
vbox.addStretch()
w.setLayout(vbox)
self.scrollArea.setWidget(w)
# ----------------------------------------------------------------------
def initAll(self):
"""全部初始化"""
for name in self.ctaEngine.strategyDict.keys():
self.ctaEngine.initStrategy(name)
# ----------------------------------------------------------------------
def startAll(self):
"""全部启动"""
for name in self.ctaEngine.strategyDict.keys():
self.ctaEngine.startStrategy(name)
# ----------------------------------------------------------------------
def stopAll(self):
"""全部停止"""
for name in self.ctaEngine.strategyDict.keys():
self.ctaEngine.stopStrategy(name)
# ----------------------------------------------------------------------
def load(self):
"""加载策略"""
if not self.strategyLoaded:
self.ctaEngine.loadSetting()
self.initStrategyManager()
self.strategyLoaded = True
self.ctaEngine.writeCtaLog(text.STRATEGY_LOADED)
# ----------------------------------------------------------------------
def updateCtaLog(self, event):
"""更新CTA相关日志"""
log = event.dict_['data']
content = '\t'.join([log.logTime, log.logContent])
self.ctaLogMonitor.append(content)
# ----------------------------------------------------------------------
def registerEvent(self):
"""注册事件监听"""
self.signal.connect(self.updateCtaLog)
self.eventEngine.register(EVENT_CTA_LOG, self.signal.emit)
# ----------------------------------------------------------------------
def closeEvent(self, event):
"""关闭窗口时的事件"""
reply = QtGui.QMessageBox.question(self, text.SAVE_POSITION_DATA,
text.SAVE_POSITION_QUESTION, QtGui.QMessageBox.Yes |
QtGui.QMessageBox.No, QtGui.QMessageBox.No)
if reply == QtGui.QMessageBox.Yes:
self.ctaEngine.savePosition()
event.accept()
class DrEngineManager(QtGui.QWidget):
"""行情数据记录引擎管理组件"""
signal = QtCore.pyqtSignal(type(Event()))
signal2 = QtCore.pyqtSignal(type(Event()))
#----------------------------------------------------------------------
def __init__(self, drEngine, mainEngine, eventEngine, parent=None):
"""Constructor"""
super(DrEngineManager, self).__init__(parent)
self.drEngine = drEngine
self.mainEngine = mainEngine
self.eventEngine = eventEngine
self.initUi()
self.updateSetting()
self.registerEvent()
#----------------------------------------------------------------------
def initUi(self):
"""初始化界面"""
self.setWindowTitle(u'行情数据记录工具')
# 菜单
lineSelect = QtGui.QLabel(u'需要收集的合约：')
buttonSelect = QtGui.QPushButton(u'选择')
lineType = QtGui.QLabel(u'合成Bar类型：')
barType = ['1m', '5m', '15m', '30m', '60m']
comboType = QtGui.QComboBox()
comboType.addItems(barType)
lineStart = QtGui.QLabel(u'开始收集：')
buttonStart = QtGui.QPushButton(u'收集')
buttonSelect.clicked.connect(self.select)
buttonStart.clicked.connect(self.start)
# 记录合约配置监控
tickLabel = QtGui.QLabel(u'Tick记录')
self.tickTable = QtGui.QTableWidget()
self.tickTable.setColumnCount(2)
self.tickTable.verticalHeader().setVisible(False)
self.tickTable.setEditTriggers(QtGui.QTableWidget.NoEditTriggers)
self.tickTable.horizontalHeader().setResizeMode(
QtGui.QHeaderView.Stretch)
self.tickTable.setAlternatingRowColors(True)
self.tickTable.setHorizontalHeaderLabels([u'合约代码', u'接口'])
barLabel = QtGui.QLabel(u'Bar记录')
self.barTable = QtGui.QTableWidget()
self.barTable.setColumnCount(2)
self.barTable.verticalHeader().setVisible(False)
self.barTable.setEditTriggers(QtGui.QTableWidget.NoEditTriggers)
self.barTable.horizontalHeader().setResizeMode(
QtGui.QHeaderView.Stretch)
self.barTable.setAlternatingRowColors(True)
self.barTable.setHorizontalHeaderLabels([u'合约代码', u'接口'])
activeLabel = QtGui.QLabel(u'主力合约')
self.activeTable = QtGui.QTableWidget()
self.activeTable.setColumnCount(2)
self.activeTable.verticalHeader().setVisible(False)
self.activeTable.setEditTriggers(QtGui.QTableWidget.NoEditTriggers)
self.activeTable.horizontalHeader().setResizeMode(
QtGui.QHeaderView.Stretch)
self.activeTable.setAlternatingRowColors(True)
self.activeTable.setHorizontalHeaderLabels([u'主力代码', u'合约代码'])
# 日志监控
self.logMonitor = QtGui.QTextEdit()
self.logMonitor.setReadOnly(True)
self.logMonitor.setMinimumHeight(600)
self.logMonitor2 = QtGui.QTextEdit()
self.logMonitor2.setReadOnly(True)
self.logMonitor2.setMinimumHeight(600)
self.logMonitor3 = QtGui.QTextEdit()
self.logMonitor3.setReadOnly(True)
self.logMonitor3.setMinimumHeight(600)
# 设置布局
hbox = QtGui.QHBoxLayout()
hbox.addWidget(lineSelect)
hbox.addWidget(buttonSelect)
hbox.addWidget(lineType)
hbox.addWidget(comboType)
hbox.addWidget(lineStart)
hbox.addWidget(buttonStart)
grid = QtGui.QGridLayout()
grid.addWidget(tickLabel, 0, 0)
grid.addWidget(barLabel, 0, 1)
grid.addWidget(activeLabel, 0, 2)
grid.addWidget(self.tickTable, 1, 0)
grid.addWidget(self.barTable, 1, 1)
grid.addWidget(self.activeTable, 1, 2)
grid2 = QtGui.QGridLayout()
grid2.addWidget(self.logMonitor, 0, 0)
grid2.addWidget(self.logMonitor2, 0, 1)
grid2.addWidget(self.logMonitor3, 0, 2)
vbox = QtGui.QVBoxLayout()
vbox.addLayout(hbox)
vbox.addLayout(grid)
vbox.addLayout(grid2)
self.setLayout(vbox)
#----------------------------------------------------------------------
def updateLog(self, event):
"""更新日志"""
log = event.dict_['data']
content = '\t'.join([log.logTime, log.logContent])
self.logMonitor.append(content)
# ----------------------------------------------------------------------
def updateLog2(self, event):
"""更新日志"""
log = event.dict_['data']
content = '\t'.join([log.logTime, log.logContent])
self.logMonitor2.append(content)
#----------------------------------------------------------------------
def registerEvent(self):
"""注册事件监听"""
self.signal.connect(self.updateLog)
self.eventEngine.register(EVENT_DATARECORDER_LOG, self.signal.emit)
self.signal2.connect(self.updateLog2)
self.eventEngine.register(EVENT_DATARECORDER_LOG2, self.signal2.emit)
#----------------------------------------------------------------------
def updateSetting(self):
"""显示引擎行情记录配置"""
with open(self.drEngine.settingFileName) as f:
drSetting = json.load(f)
if 'tick' in drSetting:
l = drSetting['tick']
for setting in l:
self.tickTable.insertRow(0)
self.tickTable.setItem(0, 0, TableCell(setting[0]))
self.tickTable.setItem(0, 1, TableCell(setting[1]))
if 'bar' in drSetting:
l = drSetting['bar']
for setting in l:
self.barTable.insertRow(0)
self.barTable.setItem(0, 0, TableCell(setting[0]))
self.barTable.setItem(0, 1, TableCell(setting[1]))
if 'active' in drSetting:
d = drSetting['active']
for activeSymbol, symbol in d.items():
self.activeTable.insertRow(0)
self.activeTable.setItem(0, 0, TableCell(activeSymbol))
self.activeTable.setItem(0, 1, TableCell(symbol))
#----------------------------------------------------------------------
def select(self):
pass
#----------------------------------------------------------------------
def start(self):
l = self.mainEngine.getAllContracts()
data = {}
tick = [[contract.symbol, 'CTP'] for contract in l]
bar = [[contract.symbol, 'CTP'] for contract in l]
active = {}
for contract in l:
acticeSymbol = filter(str.isalpha, contract.symbol)
active[acticeSymbol + '88'] = contract.symbol
data['working'] = True
data['tick'] = tick
data['bar'] = bar
data['active'] = active
fileName = os.path.abspath(
os.path.dirname(__file__)) + '.\\DR_setting.json'
with open(fileName, 'w') as json_file:
json_file.write(json.dumps(data))
self.drEngine.loadSetting()
class CtaStrategyManager(QtWidgets.QGroupBox):
"""策略管理组件"""
signal = QtCore.pyqtSignal(type(Event()))
signalBuy = QtCore.pyqtSignal(type(Event())) #开仓信号，需人工确认
signalShort = QtCore.pyqtSignal(type(Event())) #开仓信号，需人工确认
#----------------------------------------------------------------------
def __init__(self, ctaEngine, eventEngine, name, parent=None):
"""Constructor"""
super(CtaStrategyManager, self).__init__(parent)
self.ctaEngine = ctaEngine
self.eventEngine = eventEngine
self.name = name
self.initUi()
self.updateMonitor()
self.registerEvent()
#----------------------------------------------------------------------
def initUi(self):
"""初始化界面"""
self.setTitle(self.name)
self.paramMonitor = CtaValueMonitor(self)
self.varMonitor = CtaValueMonitor(self)
height = 60
self.paramMonitor.setFixedHeight(height)
self.varMonitor.setFixedHeight(height)
buttonInit = QtWidgets.QPushButton(u'初始化')
buttonStart = QtWidgets.QPushButton(u'启动')
buttonStop = QtWidgets.QPushButton(u'停止')
buttonBuy = QtWidgets.QPushButton(u'开多')
buttonSell = QtWidgets.QPushButton(u'平多')
buttonShort = QtWidgets.QPushButton(u'开空')
buttonCover = QtWidgets.QPushButton(u'平空')
buttonParam = QtWidgets.QPushButton(u'参数')
buttonInit.clicked.connect(self.init)
buttonStart.clicked.connect(self.start)
buttonStop.clicked.connect(self.stop)
buttonBuy.clicked.connect(self.buy)
buttonSell.clicked.connect(self.sell)
buttonShort.clicked.connect(self.short)
buttonCover.clicked.connect(self.cover)
buttonParam.clicked.connect(self.paramSetting)
hbox1 = QtWidgets.QHBoxLayout()
hbox1.addWidget(buttonInit)
hbox1.addWidget(buttonStart)
hbox1.addWidget(buttonStop)
hbox1.addWidget(buttonBuy)
hbox1.addWidget(buttonSell)
hbox1.addWidget(buttonShort)
hbox1.addWidget(buttonCover)
hbox1.addWidget(buttonParam)
hbox1.addStretch()
hbox2 = QtWidgets.QHBoxLayout()
hbox2.addWidget(self.paramMonitor)
hbox3 = QtWidgets.QHBoxLayout()
hbox3.addWidget(self.varMonitor)
vbox = QtWidgets.QVBoxLayout()
vbox.addLayout(hbox1)
vbox.addLayout(hbox2)
vbox.addLayout(hbox3)
self.setLayout(vbox)
#----------------------------------------------------------------------
def updateMonitor(self, event=None):
"""显示策略最新状态"""
paramDict = self.ctaEngine.getStrategyParam(self.name)
if paramDict:
self.paramMonitor.updateData(paramDict)
varDict = self.ctaEngine.getStrategyVar(self.name)
if varDict:
self.varMonitor.updateData(varDict)
#----------------------------------------------------------------------
def registerEvent(self):
"""注册事件监听"""
self.signal.connect(self.updateMonitor)
self.eventEngine.register(EVENT_CTA_STRATEGY + self.name,
self.signal.emit)
self.signalBuy.connect(self.buy)
self.signalShort.connect(self.short)
self.eventEngine.register(EVENT_CTA_STRATEGY + self.name + ".BUY",
self.signalBuy.emit)
self.eventEngine.register(EVENT_CTA_STRATEGY + self.name + ".SHORT",
self.signalShort.emit)
#----------------------------------------------------------------------
def init(self):
"""初始化策略"""
self.ctaEngine.initStrategy(self.name)
#----------------------------------------------------------------------
def start(self):
"""启动策略"""
self.ctaEngine.startStrategy(self.name)
#----------------------------------------------------------------------
def stop(self):
"""停止策略"""
self.ctaEngine.stopStrategy(self.name)
#----------------------------------------------------------------------
def buy(self):
"""手动开多"""
self.ctaEngine.tradeStrategy(self.name, CTAORDER_BUY)
self.ctaEngine.writeCtaLog(u'手动开多' + self.name)
#----------------------------------------------------------------------
def sell(self):
"""手动平多"""
self.ctaEngine.tradeStrategy(self.name, CTAORDER_SELL)
self.ctaEngine.writeCtaLog(u'手动平多' + self.name)
#----------------------------------------------------------------------
def short(self):
"""手动开空"""
self.ctaEngine.tradeStrategy(self.name, CTAORDER_SHORT)
self.ctaEngine.writeCtaLog(u'手动开空' + self.name)
def cover(self):
"""手动平空"""
self.ctaEngine.tradeStrategy(self.name, CTAORDER_COVER)
self.ctaEngine.writeCtaLog(u'手动平空' + self.name)
def paramSetting(self):
"""设置参数窗口"""
self.paramWindow = ParamWindow2(self.name)
self.paramWindow.paramters = self.paramWindow.loadParameter()
self.paramWindow.showParam()
self.paramWindow.show()
class PriceWidget(QtGui.QWidget):
"""用于显示价格走势图"""
signal = QtCore.pyqtSignal(type(Event()))
# tick图的相关参数、变量
listlastPrice = np.empty(1000)
fastMA = 0
midMA = 0
slowMA = 0
listfastMA = np.empty(1000)
listmidMA = np.empty(1000)
listslowMA = np.empty(1000)
tickFastAlpha = 0.0333 # 快速均线的参数,30
tickMidAlpha = 0.0167 # 中速均线的参数,60
tickSlowAlpha = 0.0083 # 慢速均线的参数,120
ptr = 0
ticktime = None # tick数据时间
# K线图EMA均线的参数、变量
EMAFastAlpha = 0.0167 # 快速EMA的参数,60
EMASlowAlpha = 0.0083 # 慢速EMA的参数,120
fastEMA = 0 # 快速EMA的数值
slowEMA = 0 # 慢速EMA的数值
listfastEMA = []
listslowEMA = []
# K线缓存对象
barOpen = 0
barHigh = 0
barLow = 0
barClose = 0
barTime = None
barOpenInterest = 0
num = 0
# 保存K线数据的列表对象
listBar = []
listClose = []
listHigh = []
listLow = []
listOpen = []
listOpenInterest = []
# 是否完成了历史数据的读取
initCompleted = True
# 初始化时读取的历史数据的起始日期(可以选择外部设置)
startDate = None
symbol = 'ag1706'
class CandlestickItem(pg.GraphicsObject):
def __init__(self, data):
pg.GraphicsObject.__init__(self)
self.data = data ## data must have fields: time, open, close, min, max
self.generatePicture()
def generatePicture(self):
## pre-computing a QPicture object allows paint() to run much more quickly,
## rather than re-drawing the shapes every time.
self.picture = QtGui.QPicture()
p = QtGui.QPainter(self.picture)
p.setPen(pg.mkPen(color='w', width=0.4)) # 0.4 means w*2
# w = (self.data[1][0] - self.data[0][0]) / 3.
w = 0.2
for (t, open, close, min, max) in self.data:
p.drawLine(QtCore.QPointF(t, min), QtCore.QPointF(t, max))
if open > close:
p.setBrush(pg.mkBrush('g'))
else:
p.setBrush(pg.mkBrush('r'))
p.drawRect(QtCore.QRectF(t-w, open, w*2, close-open))
p.end()
def paint(self, p, *args):
p.drawPicture(0, 0, self.picture)
def boundingRect(self):
## boundingRect _must_ indicate the entire area that will be drawn on
## or else we will get artifacts and possibly crashing.
## (in this case, QPicture does all the work of computing the bouning rect for us)
return QtCore.QRectF(self.picture.boundingRect())
#----------------------------------------------------------------------
def __init__(self, eventEngine, chanlunEngine, parent=None):
"""Constructor"""
super(PriceWidget, self).__init__(parent)
self.__eventEngine = eventEngine
self.__mainEngine = chanlunEngine
# MongoDB数据库相关
self.__mongoConnected = False
self.__mongoConnection = None
self.__mongoTickDB = None
# 调用函数
self.__connectMongo()
self.initUi(startDate=None)
self.registerEvent()
#----------------------------------------------------------------------
def initUi(self, startDate=None):
"""初始化界面"""
self.setWindowTitle(u'Price')
self.vbl_1 = QtGui.QHBoxLayout()
# self.vbl_1.setColumnStretch(1,1)
# self.vbl_1.setRowStretch(1,1)
# self.initplotTick() # plotTick初始化
# self.vbl_2 = QtGui.QVBoxLayout()
self.initplotKline() # plotKline初始化
# self.initplotTendency() # plot分时图的初始化
# 整体布局
# self.hbl = QtGui.QHBoxLayout()
self.setLayout(self.vbl_1)
# self.hbl.addLayout(self.vbl_2)
# self.setLayout(self.hbl)
self.initHistoricalData() # 下载历史Tick数据并画图
# self.plotMin() #使用数据库中的分钟数据画K线
#----------------------------------------------------------------------
def initplotTick(self):
""""""
self.pw1 = pg.PlotWidget(name='Plot1')
self.vbl_1.addWidget(self.pw1)
self.pw1.setRange(xRange=[-360, 0])
self.pw1.setLimits(xMax=5)
self.pw1.setDownsampling(mode='peak')
self.pw1.setClipToView(True)
self.curve1 = self.pw1.plot()
self.curve2 = self.pw1.plot()
self.curve3 = self.pw1.plot()
self.curve4 = self.pw1.plot()
#----------------------------------------------------------------------
def initplotKline(self):
"""Kline"""
self.pw2 = pg.PlotWidget(name='Plot2') # K线图
self.vbl_1.addWidget(self.pw2)
self.pw2.setMinimumWidth(1500)
# self.vbl_1.setStretchFactor(self.pw2,-1)
self.pw2.setDownsampling(mode='peak')
self.pw2.setClipToView(True)
self.curve5 = self.pw2.plot()
self.curve6 = self.pw2.plot()
self.candle = self.CandlestickItem(self.listBar)
self.pw2.addItem(self.candle)
## Draw an arrowhead next to the text box
# self.arrow = pg.ArrowItem()
# self.pw2.addItem(self.arrow)
#----------------------------------------------------------------------
def initplotTendency(self):
""""""
self.pw3 = pg.PlotWidget(name='Plot3')
self.vbl_2.addWidget(self.pw3)
self.pw3.setDownsampling(mode='peak')
self.pw3.setClipToView(True)
self.pw3.setMaximumHeight(200)
self.pw3.setXLink('Plot2') # X linked with Plot2
self.curve7 = self.pw3.plot()
def plotMin(self):
print "plotMinK start"
self.initCompleted = True
cx = self.__mongoMinDB[self.symbol].find()
print cx.count()
if cx:
for data in cx:
self.barOpen = data['open']
self.barClose = data['close']
self.barLow = data['low']
self.barHigh = data['high']
self.barOpenInterest = data['openInterest']
# print self.num, self.barOpen, self.barClose, self.barLow, self.barHigh, self.barOpenInterest
self.onBar(self.num, self.barOpen, self.barClose, self.barLow, self.barHigh, self.barOpenInterest)
self.num += 1
print "plotMinK success"
#----------------------------------------------------------------------
def initHistoricalData(self,startDate=None):
"""初始历史数据"""
print "download histrical data"
self.initCompleted = True # 读取历史数据完成
td = timedelta(days=1) # 读取3天的历史TICK数据
if startDate:
cx = self.loadTick(self.symbol, startDate-td)
else:
today = datetime.today().replace(hour=0, minute=0, second=0, microsecond=0)
cx = self.loadTick(self.symbol, today-td)
print cx.count()
if cx:
for data in cx:
tick = Tick(data['symbol'])
tick.openPrice = data['lastPrice']
tick.highPrice = data['upperLimit']
tick.lowPrice = data['lowerLimit']
tick.lastPrice = data['lastPrice']
tick.volume = data['volume']
tick.openInterest = data['openInterest']
tick.upperLimit = data['upperLimit']
tick.lowerLimit = data['lowerLimit']
tick.time = data['time']
# tick.ms = data['UpdateMillisec']
tick.bidPrice1 = data['bidPrice1']
tick.bidPrice2 = data['bidPrice2']
tick.bidPrice3 = data['bidPrice3']
tick.bidPrice4 = data['bidPrice4']
tick.bidPrice5 = data['bidPrice5']
tick.askPrice1 = data['askPrice1']
tick.askPrice2 = data['askPrice2']
tick.askPrice3 = data['askPrice3']
tick.askPrice4 = data['askPrice4']
tick.askPrice5 = data['askPrice5']
tick.bidVolume1 = data['bidVolume1']
tick.bidVolume2 = data['bidVolume2']
tick.bidVolume3 = data['bidVolume3']
tick.bidVolume4 = data['bidVolume4']
tick.bidVolume5 = data['bidVolume5']
tick.askVolume1 = data['askVolume1']
tick.askVolume2 = data['askVolume2']
tick.askVolume3 = data['askVolume3']
tick.askVolume4 = data['askVolume4']
tick.askVolume5 = data['askVolume5']
self.onTick(tick)
print('load historic data completed')
#----------------------------------------------------------------------
# def plotTick(self):
# """画tick图"""
# if self.initCompleted:
# self.curve1.setData(self.listlastPrice[:self.ptr])
# self.curve2.setData(self.listfastMA[:self.ptr], pen=(255, 0, 0), name="Red curve")
# self.curve3.setData(self.listmidMA[:self.ptr], pen=(0, 255, 0), name="Green curve")
# self.curve4.setData(self.listslowMA[:self.ptr], pen=(0, 0, 255), name="Blue curve")
# self.curve1.setPos(-self.ptr, 0)
# self.curve2.setPos(-self.ptr, 0)
# self.curve3.setPos(-self.ptr, 0)
# self.curve4.setPos(-self.ptr, 0)
#----------------------------------------------------------------------
def plotKline(self):
"""K线图"""
if self.initCompleted:
# 均线
self.curve5.setData(self.listfastEMA, pen=(255, 0, 0), name="Red curve")
self.curve6.setData(self.listslowEMA, pen=(0, 255, 0), name="Green curve")
# 画K线
self.pw2.removeItem(self.candle)
self.candle = self.CandlestickItem(self.listBar)
self.pw2.addItem(self.candle)
self.plotText() # 显示开仓信号位置
#----------------------------------------------------------------------
def plotTendency(self):
"""持仓"""
if self.initCompleted:
self.curve7.setData(self.listOpenInterest, pen=(255, 255, 255), name="White curve")
#----------------------------------------------------------------------
def plotText(self):
lenClose = len(self.listClose)
if lenClose >= 5: # Fractal Signal
if self.listClose[-1] > self.listClose[-2] and self.listClose[-3] > self.listClose[-2] and self.listClose[-4] > self.listClose[-2] and self.listClose[-5] > self.listClose[-2] and self.listfastEMA[-1] > self.listslowEMA[-1]:
## Draw an arrowhead next to the text box
# self.pw2.removeItem(self.arrow)
self.arrow = pg.ArrowItem(pos=(lenClose-1, self.listLow[-1]), angle=90, brush=(255, 0, 0))#红色
self.pw2.addItem(self.arrow)
elif self.listClose[-1] < self.listClose[-2] and self.listClose[-3] < self.listClose[-2] and self.listClose[-4] < self.listClose[-2] and self.listClose[-5] < self.listClose[-2] and self.listfastEMA[-1] < self.listslowEMA[-1]:
## Draw an arrowhead next to the text box
# self.pw2.removeItem(self.arrow)
self.arrow = pg.ArrowItem(pos=(lenClose-1, self.listHigh[-1]), angle=-90, brush=(0, 255, 0))#绿色
self.pw2.addItem(self.arrow)
#----------------------------------------------------------------------
def updateMarketData(self, event):
"""更新行情"""
print "update"
data = event.dict_['data']
print data
symbol = data['InstrumentID']
tick = Tick(symbol)
tick.openPrice = data['OpenPrice']
tick.highPrice = data['HighestPrice']
tick.lowPrice = data['LowestPrice']
tick.lastPrice = data['LastPrice']
tick.volume = data['Volume']
tick.openInterest = data['OpenInterest']
tick.upperLimit = data['UpperLimitPrice']
tick.lowerLimit = data['LowerLimitPrice']
tick.time = data['UpdateTime']
tick.ms = data['UpdateMillisec']
tick.bidPrice1 = data['BidPrice1']
tick.bidPrice2 = data['BidPrice2']
tick.bidPrice3 = data['BidPrice3']
tick.bidPrice4 = data['BidPrice4']
tick.bidPrice5 = data['BidPrice5']
tick.askPrice1 = data['AskPrice1']
tick.askPrice2 = data['AskPrice2']
tick.askPrice3 = data['AskPrice3']
tick.askPrice4 = data['AskPrice4']
tick.askPrice5 = data['AskPrice5']
tick.bidVolume1 = data['BidVolume1']
tick.bidVolume2 = data['BidVolume2']
tick.bidVolume3 = data['BidVolume3']
tick.bidVolume4 = data['BidVolume4']
tick.bidVolume5 = data['BidVolume5']
tick.askVolume1 = data['AskVolume1']
tick.askVolume2 = data['AskVolume2']
tick.askVolume3 = data['AskVolume3']
tick.askVolume4 = data['AskVolume4']
tick.askVolume5 = data['AskVolume5']
self.onTick(tick) # tick数据更新
# # 将数据插入MongoDB数据库，实盘建议另开程序记录TICK数据
# self.__recordTick(data)
#----------------------------------------------------------------------
def onTick(self, tick):
"""tick数据更新"""
from datetime import time
# 首先生成datetime.time格式的时间（便于比较）,从字符串时间转化为time格式的时间
hh, mm, ss = tick.time.split(':')
if(len(ss) > 2):
ss1, ss2 = ss.split('.')
self.ticktime = time(int(hh), int(mm), int(ss1), microsecond=int(ss2)*100)
else:
self.ticktime = time(int(hh), int(mm), int(ss), microsecond=tick.ms)
# 计算tick图的相关参数
if self.ptr == 0:
self.fastMA = tick.lastPrice
self.midMA = tick.lastPrice
self.slowMA = tick.lastPrice
else:
self.fastMA = (1-self.tickFastAlpha) * self.fastMA + self.tickFastAlpha * tick.lastPrice
self.midMA = (1-self.tickMidAlpha) * self.midMA + self.tickMidAlpha * tick.lastPrice
self.slowMA = (1-self.tickSlowAlpha) * self.slowMA + self.tickSlowAlpha * tick.lastPrice
self.listlastPrice[self.ptr] = tick.lastPrice
self.listfastMA[self.ptr] = self.fastMA
self.listmidMA[self.ptr] = self.midMA
self.listslowMA[self.ptr] = self.slowMA
self.ptr += 1
print("----------")
print(self.ptr)
if self.ptr >= self.listlastPrice.shape[0]:
tmp = self.listlastPrice
self.listlastPrice = np.empty(self.listlastPrice.shape[0] * 2)
self.listlastPrice[:tmp.shape[0]] = tmp
tmp = self.listfastMA
self.listfastMA = np.empty(self.listfastMA.shape[0] * 2)
self.listfastMA[:tmp.shape[0]] = tmp
tmp = self.listmidMA
self.listmidMA = np.empty(self.listmidMA.shape[0] * 2)
self.listmidMA[:tmp.shape[0]] = tmp
tmp = self.listslowMA
self.listslowMA = np.empty(self.listslowMA.shape[0] * 2)
self.listslowMA[:tmp.shape[0]] = tmp
# K线数据
# 假设是收到的第一个TICK
if self.barOpen == 0:
# 初始化新的K线数据
self.barOpen = tick.lastPrice
self.barHigh = tick.lastPrice
self.barLow = tick.lastPrice
self.barClose = tick.lastPrice
self.barTime = self.ticktime
self.barOpenInterest = tick.openInterest
self.onBar(self.num, self.barOpen, self.barClose, self.barLow, self.barHigh, self.barOpenInterest)
else:
# 如果是当前一分钟内的数据
if self.ticktime.minute == self.barTime.minute:
if self.ticktime.second >= 30 and self.barTime.second < 30: # 判断30秒周期K线
# 先保存K线收盘价
self.num += 1
self.onBar(self.num, self.barOpen, self.barClose, self.barLow, self.barHigh, self.barOpenInterest)
# 初始化新的K线数据
self.barOpen = tick.lastPrice
self.barHigh = tick.lastPrice
self.barLow = tick.lastPrice
self.barClose = tick.lastPrice
self.barTime = self.ticktime
self.barOpenInterest = tick.openInterest
# 汇总TICK生成K线
self.barHigh = max(self.barHigh, tick.lastPrice)
self.barLow = min(self.barLow, tick.lastPrice)
self.barClose = tick.lastPrice
self.barTime = self.ticktime
self.listBar.pop()
self.listfastEMA.pop()
self.listslowEMA.pop()
self.listOpen.pop()
self.listClose.pop()
self.listHigh.pop()
self.listLow.pop()
self.listOpenInterest.pop()
self.onBar(self.num, self.barOpen, self.barClose, self.barLow, self.barHigh, self.barOpenInterest)
# 如果是新一分钟的数据
else:
# 先保存K线收盘价
self.num += 1
self.onBar(self.num, self.barOpen, self.barClose, self.barLow, self.barHigh, self.barOpenInterest)
# 初始化新的K线数据
self.barOpen = tick.lastPrice
self.barHigh = tick.lastPrice
self.barLow = tick.lastPrice
self.barClose = tick.lastPrice
self.barTime = self.ticktime
self.barOpenInterest = tick.openInterest
#----------------------------------------------------------------------
def onBar(self, n, o, c, l, h, oi):
self.listBar.append((n, o, c, l, h))
self.listOpen.append(o)
self.listClose.append(c)
self.listHigh.append(h)
self.listLow.append(l)
self.listOpenInterest.append(oi)
#计算K线图EMA均线
if self.fastEMA:
self.fastEMA = c*self.EMAFastAlpha + self.fastEMA*(1-self.EMAFastAlpha)
self.slowEMA = c*self.EMASlowAlpha + self.slowEMA*(1-self.EMASlowAlpha)
else:
self.fastEMA = c
self.slowEMA = c
self.listfastEMA.append(self.fastEMA)
self.listslowEMA.append(self.slowEMA)
# 调用画图函数
# self.plotTick() # tick图
self.plotKline() # K线图
# self.plotTendency() # K线副图，持仓量
#----------------------------------------------------------------------
def __connectMongo(self):
"""连接MongoDB数据库"""
try:
self.__mongoConnection = pymongo.MongoClient("localhost", 27017)
self.__mongoConnected = True
self.__mongoTickDB = self.__mongoConnection['VnTrader_Tick_Db']
self.__mongoMinDB = self.__mongoConnection['VnTrader_1Min_Db']
except ConnectionFailure:
pass
#----------------------------------------------------------------------
def __recordTick(self, data):
"""将Tick数据插入到MongoDB中"""
if self.__mongoConnected:
symbol = data['InstrumentID']
data['date'] = self.today
self.__mongoTickDB[symbol].insert(data)
#----------------------------------------------------------------------
def loadTick(self, symbol, startDate, endDate=None):
"""从MongoDB中读取Tick数据"""
cx = self.__mongoTickDB[symbol].find()
print cx.count()
return cx
# if self.__mongoConnected:
# collection = self.__mongoTickDB[symbol]
#
# # 如果输入了读取TICK的最后日期
# if endDate:
# cx = collection.find({'date': {'$gte': startDate, '$lte': endDate}})
# else:
# cx = collection.find({'date': {'$gte': startDate}})
# return cx
# else:
# return None
#----------------------------------------------------------------------
def registerEvent(self):
"""注册事件监听"""
print "connect"
# self.__mainEngine.putMarketEvent()
self.signal.connect(self.updateMarketData)
self.__eventEngine.register(EVENT_MARKETDATA, self.signal.emit)
class ChanlunEngineManager(QtGui.QWidget):
"""chanlun引擎管理组件"""
signal = QtCore.pyqtSignal(type(Event()))
# ----------------------------------------------------------------------
def __init__(self, chanlunEngine, eventEngine, mainEngine, parent=None):
"""Constructor"""
super(ChanlunEngineManager, self).__init__(parent)
self.chanlunEngine = chanlunEngine
self.eventEngine = eventEngine
self.mainEngine = mainEngine
self.penLoaded = False
self.instrumentid = ''
self.initUi()
self.registerEvent()
# 记录日志
self.chanlunEngine.writeChanlunLog(u'缠论引擎启动成功')
# ----------------------------------------------------------------------
def initUi(self):
"""初始化界面"""
self.setWindowTitle(u'缠论策略')
# 金融图
self.PriceW = PriceWidget(self.eventEngine, self.chanlunEngine, self)
# 期货代码输入框
self.codeEdit = QtGui.QLineEdit()
self.codeEdit.setPlaceholderText(u'在此输入期货代码')
self.codeEdit.setMaximumWidth(200)
# 按钮
penButton = QtGui.QPushButton(u'分笔')
segmentButton = QtGui.QPushButton(u'分段')
shopButton = QtGui.QPushButton(u'买卖点')
restoreButton = QtGui.QPushButton(u'还原')
penButton.clicked.connect(self.pen)
segmentButton.clicked.connect(self.segment)
shopButton.clicked.connect(self.shop)
restoreButton.clicked.connect(self.restore)
# Chanlun组件的日志监控
self.chanlunLogMonitor = QtGui.QTextEdit()
self.chanlunLogMonitor.setReadOnly(True)
self.chanlunLogMonitor.setMaximumHeight(200)
# 设置布局
self.hbox2 = QtGui.QHBoxLayout()
self.hbox2.addWidget(self.codeEdit)
self.hbox2.addWidget(penButton)
self.hbox2.addWidget(segmentButton)
self.hbox2.addWidget(shopButton)
self.hbox2.addWidget(restoreButton)
self.hbox2.addStretch()
tickButton = QtGui.QPushButton(u'Tick')
oneMButton = QtGui.QPushButton(u"1分")
fiveMButton = QtGui.QPushButton(u'5分')
fifteenMButton = QtGui.QPushButton(u'15分')
thirtyMButton = QtGui.QPushButton(u'30分')
dayButton = QtGui.QPushButton(u'日')
weekButton = QtGui.QPushButton(u'周')
monthButton = QtGui.QPushButton(u'月')
tickButton.clicked.connect(self.openTick)
self.vbox1 = QtGui.QVBoxLayout()
self.vbox2 = QtGui.QVBoxLayout()
self.vbox1.addWidget(self.PriceW)
self.vbox2.addWidget(tickButton)
self.vbox2.addWidget(oneMButton)
self.vbox2.addWidget(fiveMButton)
self.vbox2.addWidget(fifteenMButton)
self.vbox2.addWidget(thirtyMButton)
self.vbox2.addWidget(dayButton)
self.vbox2.addWidget(weekButton)
self.vbox2.addWidget(monthButton)
self.vbox2.addStretch()
self.hbox3 = QtGui.QHBoxLayout()
self.hbox3.addStretch()
self.hbox3.addLayout(self.vbox1)
self.hbox3.addLayout(self.vbox2)
self.vbox = QtGui.QVBoxLayout()
self.vbox.addLayout(self.hbox2)
self.vbox.addLayout(self.hbox3)
#vbox.addWidget(self.scrollArea)
self.vbox.addWidget(self.chanlunLogMonitor)
self.setLayout(self.vbox)
self.codeEdit.returnPressed.connect(self.updateSymbol)
def updateSymbol(self):
"""合约变化"""
# 读取组件数据
instrumentid = str(self.codeEdit.text())
# 获取合约
# instrument = self.__chanlunEngine.selectInstrument(instrumentid)
# 重新注册事件监听
self.eventEngine.unregister(EVENT_TICK + self.instrumentid, self.signal.emit)
self.eventEngine.register(EVENT_TICK + instrumentid, self.signal.emit)
# 订阅合约
# self.__mainEngine.subscribe(instrumentid, instrument['ExchangeID'])
# 订阅合约[仿照ctaEngine.py写的]
contract = self.mainEngine.getContract(instrumentid)
if contract:
req = VtSubscribeReq()
req.symbol = contract.symbol
self.mainEngine.subscribe(req, contract.gatewayName)
else:
self.writeChanlunLog(u'交易合约%s无法找到' % (instrumentid))
# 更新目前的合约
self.instrumentid = instrumentid
# ----------------------------------------------------------------------
def openTick(self):
"""切换成tick图"""
self.chanlunEngine.writeChanlunLog(u'打开tick图')
self.vbox1.removeWidget(self.PriceW)
# ----------------------------------------------------------------------
def segment(self):
"""加载分段"""
self.chanlunEngine.writeChanlunLog(u'分段')
# ----------------------------------------------------------------------
def shop(self):
"""加载买卖点"""
self.chanlunEngine.writeChanlunLog(u'买卖点')
# ----------------------------------------------------------------------
def restore(self):
"""还原初始k线状态"""
self.chanlunEngine.writeChanlunLog(u'还原')
# ----------------------------------------------------------------------
def pen(self):
"""加载分笔"""
if not self.pen:
self.chanlunEngine.loadSetting()
# self.initStrategyManager() 此处应该修改成分笔的函数
self.pen = True
self.chanlunEngine.writeChanlunLog(u'分笔加载成功')
# ----------------------------------------------------------------------
def updateChanlunLog(self, event):
"""更新缠论相关日志"""
self.eventEngine.register(EVENT_CHANLUN_LOG, self.signal.emit)
log = event.dict_['data']
print 'chanlun:'
print type(log)
content = '\t'.join([log.logTime, log.logContent])
self.chanlunLogMonitor.append(content)
# ----------------------------------------------------------------------
def registerEvent(self):
"""注册事件监听"""
self.signal.connect(self.registerEvent)
self.eventEngine.register(EVENT_CHANLUN_LOG, self.signal.emit)
class CtaStrategyManager(QtGui.QGroupBox):
"""策略管理组件"""
signal = QtCore.pyqtSignal(type(Event()))
#----------------------------------------------------------------------
def __init__(self,
ctaEngine,
eventEngine,
name,
className=None,
direction=None,
vtSymbol=None,
longsymbol=None,
shortsymbol=None,
parent=None):
"""Constructor"""
super(CtaStrategyManager, self).__init__(parent)
self.ctaEngine = ctaEngine
self.eventEngine = eventEngine
self.name = name
self.initUi()
self.updateMonitor()
self.registerEvent()
if className == 'tradeTest':
self.paramWindow = ParamWindow(self.name, longsymbol, shortsymbol)
elif className == "CtpAndIB":
self.paramWindow = ParamWindow3(self.name, longsymbol, shortsymbol)
else:
self.paramWindow = ParamWindow2(self.name, direction, vtSymbol)
#----------------------------------------------------------------------
def initUi(self):
"""初始化界面"""
self.setTitle(self.name)
self.paramMonitor = CtaValueMonitor(self)
self.varMonitor = CtaValueMonitor(self)
maxHeight = 60
self.paramMonitor.setMaximumHeight(maxHeight)
self.varMonitor.setMaximumHeight(maxHeight)
buttonInit = QtGui.QPushButton(u'初始化')
buttonStart = QtGui.QPushButton(u'启动')
buttonStop = QtGui.QPushButton(u'停止')
buttonParam = QtGui.QPushButton(u'参数')
buttonDelete = QtGui.QPushButton(u'删除')
buttonDelete.clicked.connect(self.delete)
buttonInit.clicked.connect(self.init)
buttonStart.clicked.connect(self.start)
buttonStop.clicked.connect(self.stop)
buttonParam.clicked.connect(self.param)
hbox1 = QtGui.QHBoxLayout()
hbox1.addWidget(buttonInit)
hbox1.addWidget(buttonStart)
hbox1.addWidget(buttonStop)
hbox1.addWidget(buttonParam)
hbox1.addWidget(buttonDelete)
hbox1.addStretch()
hbox2 = QtGui.QHBoxLayout()
hbox2.addWidget(self.paramMonitor)
hbox3 = QtGui.QHBoxLayout()
hbox3.addWidget(self.varMonitor)
vbox = QtGui.QVBoxLayout()
vbox.addLayout(hbox1)
vbox.addLayout(hbox2)
vbox.addLayout(hbox3)
self.setLayout(vbox)
#----------------------------------------------------------------------
def updateMonitor(self, event=None):
"""显示策略最新状态"""
paramDict = self.ctaEngine.getStrategyParam(self.name)
if paramDict:
self.paramMonitor.updateData(paramDict)
self.paramMonitor.setColumnWidth(3, 300)
varDict = self.ctaEngine.getStrategyVar(self.name)
if varDict:
self.varMonitor.updateData(varDict)
self.varMonitor.setColumnWidth(3, 300)
#----------------------------------------------------------------------
def registerEvent(self):
"""注册事件监听"""
self.signal.connect(self.updateMonitor)
self.eventEngine.register(EVENT_CTA_STRATEGY + self.name,
self.signal.emit)
#----------------------------------------------------------------------
def init(self):
"""初始化策略"""
self.ctaEngine.initStrategy(self.name)
#----------------------------------------------------------------------
def start(self):
"""启动策略"""
self.ctaEngine.startStrategy(self.name)
#----------------------------------------------------------------------
def stop(self):
"""停止策略"""
self.ctaEngine.stopStrategy(self.name)
#==========================================================================================
def param(self):
self.paramWindow.paramters = self.paramWindow.loadParameter()
self.paramWindow.showParam()
self.paramWindow.show()
#def position(self):
#self.ctaEngine.excPos(self.name)
#def updateInfo(self):
#self.ctaEngine.loadPosInfo()
def delete(self):
settingFileName = 'ctaAlgo/CTA_setting.json'
reply = QtGui.QMessageBox.question(
self, u'删除', u'是否删除配置文件?',
QtGui.QMessageBox.Yes | QtGui.QMessageBox.No, QtGui.QMessageBox.No)
with open(settingFileName, 'r') as f:
l = json.load(f)
f.close()
#flag = True
for x in l:
if x['name'] == self.name:
l.remove(x)
#flag = False
with open(settingFileName, 'w') as f:
json.dump(l, f)
f.close()
if reply == QtGui.QMessageBox.Yes:
fileName = "parameter_" + self.name + ".json"
os.remove(fileName)
else:
pass0
class DrEditWidget(QtGui.QWidget):
"""行情数据记录引擎管理组件"""
signal = QtCore.pyqtSignal(type(Event()))
def __init__(self, drWidget, mainEngine, eventEngine, parent=None):
"""Constructor"""
super(DrEditWidget, self).__init__(parent)
self.drWidget = drWidget
self.mainEngine = mainEngine
self.eventEngine = eventEngine
self.hasChanged = False
# 保存合约详细信息的字典
self.contractDict = {}
self.initUi()
self.updateSetting()
self.loadData()
self.registerEvent()
def closeEvent(self, QCloseEvent):
if self.hasChanged:
self.drWidget.restart()
def initUi(self):
vbox = QtGui.QVBoxLayout()
vline = QtGui.QHBoxLayout()
vline.setSpacing(2)
btnTickAll = QtGui.QPushButton(u"全部记录Tick", self)
btnBarAll = QtGui.QPushButton(u'全部记录Bar', self)
btnSaveAll = QtGui.QPushButton(u'保存设置(重启后生效)', self)
btnTickAll.clicked.connect(self.selectAllTick)
btnBarAll.clicked.connect(self.selectAllBar)
btnSaveAll.clicked.connect(self.saveSetting)
vline.addWidget(btnTickAll)
vline.addWidget(btnBarAll)
vline.addWidget(btnSaveAll)
vbox.addLayout(vline)
self.qTreeView = QTreeView()
self.model = TreeModel()
self.qTreeView.setModel(self.model)
self.qTreeView.setSelectionMode(QtGui.QAbstractItemView.NoSelection)
self.qTreeView.setItemDelegateForColumn(1, CheckBoxDelegate(self))
self.qTreeView.setItemDelegateForColumn(2, CheckBoxDelegate(self))
self.qTreeView.setItemDelegateForColumn(3, CheckBoxDelegate(self))
self.qTreeView.setItemDelegateForColumn(5, ComboDelegate(self, ["CTP", "LTS", "XTP", "FEMAS", "XSPEED", "QDP",
"KSOTP", "KSGOLD", "SGIT"]))
vbox.addWidget(self.qTreeView)
self.setLayout(vbox)
def getContractChineseName(self, str):
line = str.strip().decode('utf-8', 'ignore') # 处理前进行相关的处理，包括转换成Unicode等
p2 = re.compile(ur'[^\u4e00-\u9fa5]') # 中文的编码范围是：\u4e00到\u9fa5
zh = " ".join(p2.split(line)).strip()
zh = ",".join(zh.split())
outStr = zh # 经过相关处理后得到中文的文本
return outStr
def loadData(self):
child = []
tick = {}
bar = {}
active = []
with open(self.mainEngine.drEngine.settingFileName) as f:
drSetting = json.load(f)
if 'tick' in drSetting:
l = drSetting['tick']
for setting in l:
tick[setting[0]] = setting[1]
if 'bar' in drSetting:
l = drSetting['bar']
for setting in l:
bar[setting[0]] = setting[1]
if 'active' in drSetting:
d = drSetting['active']
for activeSymbol, symbol in d.items():
active.append(symbol)
contractDict = {}
contracts = self.mainEngine.getAllContracts()
for contract in contracts:
contractName = self.getContractChineseName(contract.name)
gateWayName = u"CTP"
hasTick = tick.has_key(contract.symbol)
hasBar = bar.has_key(contract.symbol)
hasActive = contract.symbol in active
if hasTick:
gateWayName = tick[contract.symbol]
elif hasBar:
gateWayName = bar[contract.symbol]
if contractDict.has_key(contractName):
parentItem = contractDict[contractName]
item = TreeItem([contract.symbol, hasTick, hasBar, hasActive, contract.exchange, gateWayName],
parentItem)
parentItem.appendChild(item)
else:
item = TreeItem([contractName, False, False, False, contract.exchange, gateWayName],
self.model.rootItem)
contractDict[contractName] = item
child.append(item)
subItem = TreeItem([contract.symbol, hasTick, hasBar, hasActive, contract.exchange, gateWayName], item)
item.appendChild(subItem)
# yumi = TreeItem([u"玉米", False, False, False, "SH", "CTP"], self.model.rootItem)
# yumi.appendChild(TreeItem([u"c1705", False, False, False, "SH", "CTP"], yumi))
# yumi.appendChild(TreeItem([u"c1703", False, False, False, "SH", "CTP"], yumi))
# yumi.appendChild(TreeItem([u"c1707", False, False, False, "SH", "CTP"], yumi))
# yumi.appendChild(TreeItem([u"c1709", False, False, False, "SH", "CTP"], yumi))
# dianfen = TreeItem([u"淀粉", False, False, False, "SH", "CTP"], self.model.rootItem)
# dianfen.appendChild(TreeItem([u"d1705", False, False, False, "SH", "CTP"], dianfen))
# dianfen.appendChild(TreeItem([u"d1703", False, False, False, "SH", "CTP"], dianfen))
# dianfen.appendChild(TreeItem([u"d1707", False, False, False, "SH", "CTP"], dianfen))
# dianfen.appendChild(TreeItem([u"d1709", False, False, False, "SH", "CTP"], dianfen))
#
# child.append(yumi)
# child.append(dianfen)
self.model.setDataSource(child)
self.qTreeView.expandAll()
def saveSetting(self):
setting = {}
setting["tick"] = []
setting["bar"] = []
setting["active"] = {}
queue = Queue()
queue.put(self.model.rootItem)
while queue.qsize() > 0:
item = queue.get()
for child in item.childItems:
queue.put(child)
if item.parentItem is not None and item.parentItem != self.model.rootItem:
name = item.data(0)
interface = item.data(5)
if item.data(1):
setting["tick"].append([name, interface])
if item.data(2):
setting["bar"].append([name, interface])
if item.data(3):
setting["active"][item.parentItem.data(0)] = name
if self.mainEngine.drEngine.saveSetting(setting):
self.hasChanged = True
self.close()
def selectAllTick(self):
self.selectAll(True, False, True)
def selectAllBar(self):
self.selectAll(False, True, True)
def selectAll(self, tick=False, bar=False, select=False):
column = None
if tick:
column = 1
if bar:
column = 2
for row in range(self.model.rootItem.childCount()):
childIndex = self.model.index(row, column, None)
self.model.setData(childIndex, QtCore.Qt.Unchecked if select == False else QtCore.Qt.Checked,
QtCore.Qt.CheckStateRole)
def updateSetting(self):
pass
def updateContract(self, event):
"""更新合约数据"""
contract = event.dict_['data']
self.contractDict[contract.vtSymbol] = contract
self.contractDict[contract.symbol] = contract # 使用常规代码（不包括交易所）可能导致重复
# ----------------------------------------------------------------------
def registerEvent(self):
"""注册事件监听"""
self.signal.connect(self.updateContract)
self.eventEngine.register(EVENT_CONTRACT, self.signal.emit)
class StockValueMonitor(QtGui.QTableWidget):
"""参数监控"""
signal = QtCore.pyqtSignal(type(Event()))
#----------------------------------------------------------------------
def __init__(self, stockBacktestEngine, eventEngine, name, parent=None):
"""Constructor"""
super(StockValueMonitor, self).__init__(parent)
self.stockBacktestEngine = stockBacktestEngine
self.eventEngine = eventEngine
self.name = name
self.data = {}
self.keyCellDict = {}
self.lables = [
'run_id', 'strategy_file', 'start_date', 'end_date',
'stock_starting_cash', 'frequency', 'matching_type', 'benchmark',
'slippage', 'commission_multiplier', 'margin_multiplier'
]
self.typeMap = [
int, str, str, str, int, str, str, str, float, float, float
]
self.inited = False
self.initUi()
#----------------------------------------------------------------------
def initUi(self):
"""初始化界面"""
self.setRowCount(1)
self.verticalHeader().setVisible(False)
self.setMaximumHeight(self.sizeHint().height())
#----------------------------------------------------------------------
def updateData(self, data):
"""更新数据"""
self.data = data
if not self.inited:
if 'run_id' in data.keys():
self.setEditTriggers(self.DoubleClicked)
self.setColumnCount(len(self.lables))
self.setFixedHeight(85)
self.setHorizontalHeaderLabels(self.lables)
self.resizeColumnsToContents()
self.resizeRowsToContents()
col = 0
cell = QtGui.QTableWidgetItem(unicode(data['run_id']))
self.resizeColumnsToContents()
self.keyCellDict['run_id'] = cell
self.setItem(0, col, cell)
col += 1
cell = QtGui.QTableWidgetItem(unicode(data['strategy_file']))
self.resizeColumnsToContents()
self.keyCellDict['strategy_file'] = cell
self.setItem(0, col, cell)
col += 1
cell = QtGui.QTableWidgetItem(unicode(data['start_date']))
self.resizeColumnsToContents()
self.keyCellDict['start_date'] = cell
self.setItem(0, col, cell)
col += 1
cell = QtGui.QTableWidgetItem(unicode(data['end_date']))
self.resizeColumnsToContents()
self.keyCellDict['end_date'] = cell
self.setItem(0, col, cell)
col += 1
"""
cell = QtGui.QCalendarWidget()
self.resizeColumnsToContents()
self.resizeRowsToContents()
self.keyCellDict['start_date'] = cell
self.setCellWidget(0, col, cell)
col += 1
cell = QtGui.QCalendarWidget()
self.resizeColumnsToContents()
self.resizeRowsToContents()
self.keyCellDict['end_date'] = cell
self.setCellWidget(0, col, cell)
col += 1
"""
cell = QtGui.QTableWidgetItem(
unicode(data['stock_starting_cash']))
self.resizeColumnsToContents()
self.keyCellDict['stock_starting_cash'] = cell
self.setItem(0, col, cell)
col += 1
cell = QtGui.QComboBox()
cell.addItem("1d")
cell.addItem("1m")
cell.addItem("tick")
self.resizeColumnsToContents()
self.keyCellDict['frequency'] = cell
self.setCellWidget(0, col, cell)
cell.currentIndexChanged.connect(self.sendChangeSignal2)
col += 1
cell = QtGui.QComboBox()
cell.addItem("current_bar")
cell.addItem("next_bar")
self.resizeColumnsToContents()
self.keyCellDict['matching_type'] = cell
self.setCellWidget(0, col, cell)
cell.currentIndexChanged.connect(self.sendChangeSignal3)
col += 1
cell = QtGui.QTableWidgetItem(unicode(data['benchmark']))
self.resizeColumnsToContents()
self.keyCellDict['benchmark'] = cell
self.setItem(0, col, cell)
col += 1
cell = QtGui.QTableWidgetItem(unicode(data['slippage']))
self.resizeColumnsToContents()
self.keyCellDict['slippage'] = cell
self.setItem(0, col, cell)
col += 1
cell = QtGui.QTableWidgetItem(
unicode(data['commission_multiplier']))
self.resizeColumnsToContents()
self.keyCellDict['commission_multiplier'] = cell
self.setItem(0, col, cell)
col += 1
cell = QtGui.QTableWidgetItem(
unicode(data['margin_multiplier']))
self.resizeColumnsToContents()
self.keyCellDict['margin_multiplier'] = cell
self.setItem(0, col, cell)
col += 1
else:
self.setEditTriggers(self.NoEditTriggers)
self.setColumnCount(len(data))
self.setFixedHeight(85)
self.setHorizontalHeaderLabels(data.keys())
self.resizeColumnsToContents()
col = 0
for k, v in data.items():
cell = QtGui.QTableWidgetItem(unicode(v))
self.keyCellDict[k] = cell
self.setItem(0, col, cell)
col += 1
self.inited = True
else:
for k, v in data.items():
cell = self.keyCellDict[k]
cell.setText(unicode(v))
self.cellChanged.connect(self.sendChangeSignal)
# ----------------------------------------------------------------------
def sendChangeSignal(self):
sentData = self.data
col = self.currentColumn()
sentData[self.lables[col]] = self.typeMap[col](
self.keyCellDict[self.lables[col]].text())
event = Event(type_=EVENT_SET_CHANGED + self.name)
event.dict_ = sentData
event.dict_['name'] = self.name
self.eventEngine.put(event)
self.data = sentData
# ----------------------------------------------------------------------
def sendChangeSignal2(self):
sentData = self.data
col = 5
sentData[self.lables[col]] = self.typeMap[col](
self.keyCellDict[self.lables[col]].currentText())
event = Event(type_=EVENT_SET_CHANGED + self.name)
event.dict_ = sentData
event.dict_['name'] = self.name
self.eventEngine.put(event)
self.data = sentData
# ----------------------------------------------------------------------
def sendChangeSignal3(self):
sentData = self.data
col = 6
sentData[self.lables[col]] = self.typeMap[col](
self.keyCellDict[self.lables[col]].currentText())
event = Event(type_=EVENT_SET_CHANGED + self.name)
event.dict_ = sentData
event.dict_['name'] = self.name
self.eventEngine.put(event)
self.data = sentData
class StockStrategyManager(QtGui.QGroupBox):
"""策略管理组件"""
signal = QtCore.pyqtSignal(type(Event()))
#----------------------------------------------------------------------
def __init__(self,
stockBacktestEngine,
eventEngine,
name,
runID,
parent=None):
"""Constructor"""
super(StockStrategyManager, self).__init__(parent)
self.stockBacktestEngine = stockBacktestEngine
self.eventEngine = eventEngine
self.name = name
self.runID = runID
path = os.path.abspath(
os.path.dirname(__file__)) + '\\result\\' + self.name + '\\'
if not os.path.exists(path):
os.makedirs(path) # 创建路径
with open(
os.path.abspath(os.path.dirname(__file__)) +
'\\config_template.json', 'r') as f:
self.setting = json.load(f)
self.setting['base']['run_id'] = self.runID
self.setting['base']['strategy_file'] = os.path.abspath(
os.path.dirname(__file__)) + '\\strategy\\' + self.name + '.py'
self.setting['mod']['analyser']['output_file'] = os.path.abspath(
os.path.dirname(
__file__)) + '\\result\\' + self.name + '\\result.pkl'
self.setting['mod']['analyser']['plot'] = os.path.expanduser("~")
self.setting['mod']['analyser'][
'plot_save_file'] = os.path.abspath(os.path.dirname(
__file__)) + '\\result\\' + self.name + '\\result.png'
self.setting['mod'][
'analyser']['report_save_path'] = os.path.abspath(
os.path.dirname(__file__)) + '\\result\\'
self.base = self.setting['base']
self.extra = self.setting['extra']
self.config = {}
self.initUi()
self.updateMonitor()
self.register()
#----------------------------------------------------------------------
def initUi(self):
"""初始化界面"""
self.setTitle(self.name)
self.baseMonitor = StockValueMonitor(self.stockBacktestEngine,
self.eventEngine, self.name)
self.extraMonitor = StockValueMonitor(self.stockBacktestEngine,
self.eventEngine, self.name)
height = 60
self.baseMonitor.setFixedHeight(height)
self.extraMonitor.setFixedHeight(height)
buttonEdit = QtGui.QPushButton(u'编辑策略')
buttonStart = QtGui.QPushButton(u'启动回测')
buttonShow = QtGui.QPushButton(u'绩效报告')
buttonEdit.clicked.connect(self.edit)
buttonStart.clicked.connect(self.start)
buttonShow.clicked.connect(self.show)
hbox1 = QtGui.QHBoxLayout()
hbox1.addWidget(buttonEdit)
hbox1.addWidget(buttonStart)
hbox1.addWidget(buttonShow)
hbox1.addStretch()
hbox2 = QtGui.QHBoxLayout()
hbox2.addWidget(self.baseMonitor)
hbox3 = QtGui.QHBoxLayout()
hbox3.addWidget(self.extraMonitor)
vbox = QtGui.QVBoxLayout()
vbox.addLayout(hbox1)
vbox.addLayout(hbox2)
vbox.addLayout(hbox3)
self.setLayout(vbox)
#----------------------------------------------------------------------
def edit(self):
self.textBrowser = QtGui.QTextBrowser()
self.textBrowser.setGeometry(QtCore.QRect(0, 0, 1000, 1000))
self.textBrowser.setReadOnly(False)
self.textBrowser.setObjectName(QtCore.QString.fromUtf8("textBrowser"))
f = open(self.setting['base']['strategy_file'])
my_data = f.read()
f.close()
self.textBrowser.append(my_data.decode('utf-8'))
self.textBrowser.showMaximized()
#----------------------------------------------------------------------
def start(self):
"""启动回测"""
self.config = self.setting
self.stockBacktestEngine.writeBktLog(self.name + u'策略回测中')
self.stockBacktestEngine.run(self.config)
self.stockBacktestEngine.writeBktLog(self.name + u'策略回测成功')
#----------------------------------------------------------------------
def show(self):
"""触发显示绩效报告事件（通常用于通知GUI更新）"""
self.stockBacktestEngine.writeBktLog(self.name + u'绩效报告创建中')
event = Event(type_=EVENT_BKT_STRATEGY + self.name)
event.dict_['name'] = self.name
self.eventEngine.put(event)
# ----------------------------------------------------------------------
def updateMonitor(self):
"""显示回测参数最新状态"""
self.baseMonitor.updateData(self.base)
self.extraMonitor.updateData(self.extra)
# ----------------------------------------------------------------------
def updateSetting(self, event):
self.setting['base'] = event.dict_
# ----------------------------------------------------------------------
def register(self):
"""注册事件监听"""
self.signal.connect(self.updateSetting)
self.eventEngine.register(EVENT_SET_CHANGED + self.name,
self.signal.emit)
class CtaEngineManager(QtGui.QWidget):
"""CTA引擎管理组件"""
signal = QtCore.pyqtSignal(type(Event()))
# ----------------------------------------------------------------------
def __init__(self, ctaEngine, eventEngine, parent=None):
"""Constructor"""
super(CtaEngineManager, self).__init__(parent)
self.gatewayName = 'CTP' # gateway对象名称
self.gateway = VtGateway(eventEngine, self.gatewayName) # gateway对象
self.ctaEngine = ctaEngine
self.eventEngine = eventEngine
self.strategyLoaded = False
# 初始化界面
self.initUi()
# 注册事件监听
self.registerEvent()
# 记录日志
self.ctaEngine.writeCtaLog(CTA_ENGINE_STARTED)
# 初始化策略
# 预留几秒时间缓冲
t.sleep(5)
while self.strategyLoaded is False:
self.load()
else:
init = self.initAll()
if init is True:
self.startAll()
# ----------------------------------------------------------------------
def initUi(self):
"""初始化界面"""
self.setWindowTitle(CTA_STRATEGY)
# 按钮
startAllButton = QtGui.QPushButton(START_ALL)
stopAllButton = QtGui.QPushButton(STOP_ALL)
savePositionButton = QtGui.QPushButton(SAVE_POSITION_DATA)
startAllButton.clicked.connect(self.startAll)
stopAllButton.clicked.connect(self.stopAll)
# savePositionButton.clicked.connect(self.ctaEngine.savePosition)
# 滚动区域，放置所有的CtaStrategyManager
self.scrollArea = QtGui.QScrollArea()
self.scrollArea.setWidgetResizable(True)
# CTA组件的日志监控
self.ctaLogMonitor = QtGui.QTextEdit()
self.ctaLogMonitor.setReadOnly(True)
self.ctaLogMonitor.setMaximumHeight(200)
# 设置布局
hbox2 = QtGui.QHBoxLayout()
hbox2.addWidget(startAllButton)
hbox2.addWidget(stopAllButton)
# hbox2.addWidget(savePositionButton)
hbox2.addStretch()
vbox = QtGui.QVBoxLayout()
vbox.addLayout(hbox2)
vbox.addWidget(self.scrollArea)
vbox.addWidget(self.ctaLogMonitor)
self.setLayout(vbox)
# ----------------------------------------------------------------------
def initStrategyManager(self):
"""初始化策略管理组件界面"""
w = QtGui.QWidget()
vbox = QtGui.QVBoxLayout()
for name in list(self.ctaEngine.strategyDict.keys()):
strategyManager = CtaStrategyManager(self.ctaEngine,
self.eventEngine, name)
vbox.addWidget(strategyManager)
vbox.addStretch()
w.setLayout(vbox)
self.scrollArea.setWidget(w)
# ----------------------------------------------------------------------
def initAll(self):
"""全部初始化"""
for name in list(self.ctaEngine.strategyDict.keys()):
self.ctaEngine.initStrategy(name)
log = VtLogData()
log.gatewayName = self.gatewayName
log.logContent = u'策略全部初始化'
self.gateway.onLog(log)
return True
# ----------------------------------------------------------------------
def startAll(self):
"""全部启动"""
for name in list(self.ctaEngine.strategyDict.keys()):
self.ctaEngine.startStrategy(name)
log = VtLogData()
log.gatewayName = self.gatewayName
log.logContent = u'策略全部启动'
self.gateway.onLog(log)
# ----------------------------------------------------------------------
def stopAll(self):
"""全部停止"""
for name in list(self.ctaEngine.strategyDict.keys()):
self.ctaEngine.stopStrategy(name)
log = VtLogData()
log.gatewayName = self.gatewayName
log.logContent = u'策略全部停止'
self.gateway.onLog(log)
# ----------------------------------------------------------------------
def load(self):
"""加载策略"""
if not self.strategyLoaded:
self.ctaEngine.loadSetting()
self.initStrategyManager()
self.strategyLoaded = True
self.ctaEngine.writeCtaLog(STRATEGY_LOADED)
log = VtLogData()
log.gatewayName = self.gatewayName
log.logContent = u'全部策略加载完成'
self.gateway.onLog(log)
# ----------------------------------------------------------------------
def updateCtaLog(self, event):
"""更新CTA相关日志"""
log = event.dict_['data']
content = '\t'.join([log.logTime, log.logContent])
self.ctaLogMonitor.append(content)
# ----------------------------------------------------------------------
def registerEvent(self):
"""注册事件监听"""
self.signal.connect(self.updateCtaLog)
self.eventEngine.register(EVENT_CTA_LOG, self.signal.emit)
class DrEngineManager(QtGui.QWidget):
"""行情数据记录引擎管理组件"""
signal = QtCore.pyqtSignal(type(Event()))
#----------------------------------------------------------------------
def __init__(self, mainEngine, eventEngine, parent=None):
"""Constructor"""
super(DrEngineManager, self).__init__(parent)
self.mainEngine = mainEngine
self.drEngine = mainEngine.drEngine
self.eventEngine = eventEngine
self.initUi()
self.updateSetting()
self.registerEvent()
#----------------------------------------------------------------------
def initUi(self):
"""初始化界面"""
self.setWindowTitle(u'行情数据记录工具')
# 记录合约配置监控
tickLabel = QtGui.QLabel(u'Tick记录')
self.tickTable = QtGui.QTableWidget()
self.tickTable.setColumnCount(2)
self.tickTable.verticalHeader().setVisible(False)
self.tickTable.setEditTriggers(QtGui.QTableWidget.NoEditTriggers)
self.tickTable.horizontalHeader().setResizeMode(
QtGui.QHeaderView.Stretch)
self.tickTable.setAlternatingRowColors(True)
self.tickTable.setHorizontalHeaderLabels([u'合约代码', u'接口'])
barLabel = QtGui.QLabel(u'Bar记录')
self.barTable = QtGui.QTableWidget()
self.barTable.setColumnCount(2)
self.barTable.verticalHeader().setVisible(False)
self.barTable.setEditTriggers(QtGui.QTableWidget.NoEditTriggers)
self.barTable.horizontalHeader().setResizeMode(
QtGui.QHeaderView.Stretch)
self.barTable.setAlternatingRowColors(True)
self.barTable.setHorizontalHeaderLabels([u'合约代码', u'接口'])
activeLabel = QtGui.QLabel(u'主力合约')
self.activeTable = QtGui.QTableWidget()
self.activeTable.setColumnCount(2)
self.activeTable.verticalHeader().setVisible(False)
self.activeTable.setEditTriggers(QtGui.QTableWidget.NoEditTriggers)
self.activeTable.horizontalHeader().setResizeMode(
QtGui.QHeaderView.Stretch)
self.activeTable.setAlternatingRowColors(True)
self.activeTable.setHorizontalHeaderLabels([u'主力代码', u'合约代码'])
# 日志监控
self.logMonitor = QtGui.QTextEdit()
self.logMonitor.setReadOnly(True)
self.logMonitor.setMinimumHeight(600)
# 设置布局
grid = QtGui.QGridLayout()
grid.addWidget(tickLabel, 0, 0)
grid.addWidget(barLabel, 0, 1)
grid.addWidget(activeLabel, 0, 2)
grid.addWidget(self.tickTable, 1, 0)
grid.addWidget(self.barTable, 1, 1)
grid.addWidget(self.activeTable, 1, 2)
btnEdit = QtGui.QPushButton(u'编辑', self)
vbox = QtGui.QVBoxLayout()
vbox.addLayout(grid)
vline = QtGui.QHBoxLayout()
vline.addWidget(btnEdit)
vbox.addLayout(vline)
vbox.addWidget(self.logMonitor)
self.setLayout(vbox)
btnEdit.clicked.connect(self.openDr)
#----------------------------------------------------------------------
def updateLog(self, event):
"""更新日志"""
log = event.dict_['data']
content = '\t'.join([log.logTime, log.logContent])
self.logMonitor.append(content)
#----------------------------------------------------------------------
def registerEvent(self):
"""注册事件监听"""
self.signal.connect(self.updateLog)
self.eventEngine.register(EVENT_DATARECORDER_LOG, self.signal.emit)
#----------------------------------------------------------------------
def updateSetting(self):
"""显示引擎行情记录配置"""
self.tickTable.clearContents()
self.tickTable.setRowCount(0)
self.barTable.clearContents()
self.barTable.setRowCount(0)
self.activeTable.clearContents()
self.activeTable.setRowCount(0)
with open(self.drEngine.settingFileName) as f:
drSetting = json.load(f)
if 'tick' in drSetting:
l = drSetting['tick']
for setting in l:
self.tickTable.insertRow(0)
self.tickTable.setItem(0, 0, TableCell(setting[0]))
self.tickTable.setItem(0, 1, TableCell(setting[1]))
if 'bar' in drSetting:
l = drSetting['bar']
for setting in l:
self.barTable.insertRow(0)
self.barTable.setItem(0, 0, TableCell(setting[0]))
self.barTable.setItem(0, 1, TableCell(setting[1]))
if 'active' in drSetting:
d = drSetting['active']
for activeSymbol, symbol in d.items():
self.activeTable.insertRow(0)
self.activeTable.setItem(0, 0, TableCell(activeSymbol))
self.activeTable.setItem(0, 1, TableCell(symbol))
# ----------------------------------------------------------------------
def openDr(self):
"""打开行情数据记录组件"""
self.mDrEditWidget = DrEditWidget(self, self.mainEngine,
self.eventEngine)
self.mDrEditWidget.setWindowTitle(u"编辑订阅")
self.mDrEditWidget.setFixedSize(800, 800)
self.mDrEditWidget.show()
def restart(self):
pass
class CtaEngineManager(QtGui.QWidget):
"""CTA引擎管理组件"""
signal = QtCore.pyqtSignal(type(Event()))
#----------------------------------------------------------------------
def __init__(self, ctaEngine, eventEngine, parent=None):
"""Constructor"""
super(CtaEngineManager, self).__init__(parent)
self.ctaEngine = ctaEngine
self.eventEngine = eventEngine
self.strategyLoaded = False
self.pw = ParamWindow("", "", "", self)
self.gt = ParamWindow2("", "", "", self)
self.cai = ParamWindow3("", "", "", self)
self.abt = ParamWindow4("", "", "", self)
#self.sw = strategyWindow(self.pw, self.gt,self.cai)
self.initUi()
self.registerEvent()
# 记录日志
self.ctaEngine.writeCtaLog(u'CTA引擎启动成功')
#----------------------------------------------------------------------
def initUi(self):
"""初始化界面"""
self.setWindowTitle(u'CTA策略')
# 按钮
loadButton = QtGui.QPushButton(u'加载策略')
initAllButton = QtGui.QPushButton(u'全部初始化')
startAllButton = QtGui.QPushButton(u'全部启动')
stopAllButton = QtGui.QPushButton(u'全部停止')
addStrategy = QtGui.QPushButton(u'添加策略')
thumbnail = QtGui.QPushButton(u'策略持仓')
loadButton.clicked.connect(self.load)
initAllButton.clicked.connect(self.initAll)
startAllButton.clicked.connect(self.startAll)
stopAllButton.clicked.connect(self.stopAll)
addStrategy.clicked.connect(self.addStrategy)
thumbnail.clicked.connect(self.thumbnail)
# 滚动区域，放置所有的CtaStrategyManager
self.scrollArea = QtGui.QScrollArea()
self.scrollArea.setWidgetResizable(True)
# CTA组件的日志监控
self.ctaLogMonitor = QtGui.QTextEdit()
self.ctaLogMonitor.setReadOnly(True)
self.ctaLogMonitor.setMaximumHeight(200)
# 设置布局
hbox2 = QtGui.QHBoxLayout()
hbox2.addWidget(loadButton)
hbox2.addWidget(initAllButton)
hbox2.addWidget(startAllButton)
hbox2.addWidget(stopAllButton)
hbox2.addWidget(addStrategy)
hbox2.addWidget(thumbnail)
hbox2.addStretch()
vbox = QtGui.QVBoxLayout()
vbox.addLayout(hbox2)
vbox.addWidget(self.scrollArea)
vbox.addWidget(self.ctaLogMonitor)
self.setLayout(vbox)
#----------------------------------------------------------------------
def initStrategyManager(self):
"""初始化策略管理组件界面"""
w = QtGui.QWidget()
vbox = QtGui.QVBoxLayout()
for name in self.ctaEngine.strategyDict.keys():
p = self.ctaEngine.strategyDict[name]
if p.className == 'tradeTest':
strategyManager = CtaStrategyManager(self.ctaEngine,
self.eventEngine, name,
p.className, '', '',
p.longsymbol,
p.shortsymbol)
elif p.className == 'CtpAndIB':
strategyManager = CtaStrategyManager(self.ctaEngine,
self.eventEngine, name,
p.className, '', '',
p.longsymbol,
p.shortsymbol)
elif p.className == 'Arbitrage':
strategyManager = CtaStrategyManager(self.ctaEngine,
self.eventEngine, name,
p.className, '', '',
p.longsymbol,
p.shortsymbol)
else:
strategyManager = CtaStrategyManager(self.ctaEngine,
self.eventEngine, name,
p.className, p.direction,
p.vtSymbol, '', '')
vbox.addWidget(strategyManager)
vbox.addStretch()
w.setLayout(vbox)
self.scrollArea.setWidget(w)
#----------------------------------------------------------------------
def initAll(self):
"""全部初始化"""
for name in self.ctaEngine.strategyDict.keys():
self.ctaEngine.initStrategy(name)
#----------------------------------------------------------------------
def startAll(self):
"""全部启动"""
for name in self.ctaEngine.strategyDict.keys():
self.ctaEngine.startStrategy(name)
#----------------------------------------------------------------------
def stopAll(self):
"""全部停止"""
for name in self.ctaEngine.strategyDict.keys():
self.ctaEngine.stopStrategy(name)
#----------------------------------------------------------------------
def thumbnail(self):
settingFileName = 'CTA_setting.json'
path = os.path.abspath(os.path.dirname(__file__))
settingFileName = os.path.join(path, settingFileName)
l = []
with open(settingFileName, 'r') as f:
l = json.load(f)
f.close()
self.tw = thumbnailWindow(l)
self.tw.show()
def addStrategy(self):
self.pw = ParamWindow("", "", "", self.ctaEngine)
self.gt = ParamWindow2("", "", "", self.ctaEngine)
self.cai = ParamWindow3("", "", "", self.ctaEngine)
self.abt = ParamWindow4("", "", "", self.ctaEngine)
self.sw = strategyWindow(self.pw, self.gt, self.cai, self.abt)
self.sw.show()
#----------------------------------------------------------------------
def load(self):
"""加载策略"""
if not self.strategyLoaded:
self.ctaEngine.loadSetting()
self.initStrategyManager()
self.strategyLoaded = True
self.ctaEngine.writeCtaLog(u'策略加载成功')
#----------------------------------------------------------------------
def updateCtaLog(self, event):
"""更新CTA相关日志"""
log = event.dict_['data']
content = '\t'.join([log.logTime, log.logContent])
self.ctaLogMonitor.append(content)
#----------------------------------------------------------------------
def registerEvent(self):
"""注册事件监听"""
self.signal.connect(self.updateCtaLog)
self.eventEngine.register(EVENT_CTA_LOG, self.signal.emit)
