def generateBarDict(self,
onBar,
xmin=0,
onXminBar=None,
size=100,
alignment='sharp',
marketClose=(23, 59)):
if xmin:
variable = "bg%sDict" % xmin
variable2 = "am%sDict" % xmin
else:
variable = "bgDict"
variable2 = "amDict"
bgDict = {
sym: BarGenerator(onBar,
xmin,
onXminBar,
alignment=alignment,
marketClose=marketClose)
for sym in self.symbolList
}
amDict = {sym: ArrayManager(size) for sym in self.symbolList}
setattr(self, variable, bgDict)
setattr(self, variable2, amDict)
def __init__(self, omEngine, eventEngine):
self.omEngine = omEngine
self.mainEngine = omEngine.mainEngine
self.strategyEngine = omEngine.strategyEngine
self.eventEngine = eventEngine
self.portfolio = omEngine.portfolio
self.bg = BarGenerator(self.onVixBar)
self.active = False
self.queue = Queue()
self.thread = Thread(target=self.run)
self.vixDict = OrderedDict()
self.timerDict = dict()
for chain in self.portfolio.chainDict.values():
self.vixDict[chain.symbol] = OmVixCalculator(chain)
self.registerEvent()
self.start()
def onInit(self):
self.symbol = self.symbolList[0]
self.generateBarDict(self.onBar,size = self.size)
# self.generateBarDict(self.onBar,3,self.on3MinBar,size =self.size)
# self.generateBarDict(self.onBar,5,self.on5MinBar,size =self.size)
# self.generateBarDict(self.onBar,30,self.on30MinBar,size =self.size)
self.generateBarDict(self.onBar,60,self.on60MinBar,size =self.size)
self.bgDayDict= BarGenerator(self.onCandle,marketClose =(14,59))
self.bgWeekDict = BarGenerator(self.onWCandle)
self.bgMonDict = BarGenerator(self.onMCandle)
self.amweekDict = ArrayManager(25)
self.ammonDict = ArrayManager(6)
for s in self.symbolList:
kline = self.loadHistoryBar(s,'1min', since = '20180410')
for index, bar in enumerate(kline):
self.onBar(bar)
class BarStrategy(CtaTemplate):
# 策略参数
size = 800
transactionPrice = {}
tradable = False
# 参数列表，保存了参数的名称
paramList = ['className']
# 变量列表，保存了变量的名称
varList = ['inited',
'trading',
'posDict',
'transactionPrice']
# 同步列表，保存了需要保存到数据库的变量名称
syncList = ['posDict','eveningDict']
#----------------------------------------------------------------------
def __init__(self, ctaEngine, setting):
super(BarStrategy, self).__init__(ctaEngine, setting)
self.lots = setting['lots']
#----------------------------------------------------------------------
def onInit(self):
self.symbol = self.symbolList[0]
self.generateBarDict(self.onBar,size = self.size)
# self.generateBarDict(self.onBar,3,self.on3MinBar,size =self.size)
# self.generateBarDict(self.onBar,5,self.on5MinBar,size =self.size)
# self.generateBarDict(self.onBar,30,self.on30MinBar,size =self.size)
self.generateBarDict(self.onBar,60,self.on60MinBar,size =self.size)
self.bgDayDict= BarGenerator(self.onCandle,marketClose =(14,59))
self.bgWeekDict = BarGenerator(self.onWCandle)
self.bgMonDict = BarGenerator(self.onMCandle)
self.amweekDict = ArrayManager(25)
self.ammonDict = ArrayManager(6)
for s in self.symbolList:
kline = self.loadHistoryBar(s,'1min', since = '20180410')
for index, bar in enumerate(kline):
self.onBar(bar)
#----------------------------------------------------------------------
def onStart(self):
"""启动策略（必须由用户继承实现）"""
def onStop(self):
self.putEvent()
def onRestore(self):
"""恢复策略（必须由用户继承实现）"""
def onTick(self, tick):
"""收到行情TICK推送（必须由用户继承实现）"""
self.bgDict[tick.vtSymbol].updateTick(tick)
# ---------------------------------------------------------------------
def onBar(self, bar):
# self.bg3Dict[self.symbol].updateBar(bar)
# self.bg5Dict[self.symbol].updateBar(bar)
# self.bg30Dict[self.symbol].updateBar(bar)
self.bg60Dict[self.symbol].updateBar(bar)
self.bgDayDict.updateCandle(bar)
# self.writeCtaLog('onBar: %s '%bar.__dict__)
#----------------------------------------------------------------------
# def on3MinBar(self, bar):
# # self.writeCtaLog('on----------6666666666666666------------Bar: %s '%bar.datetime)
# self.am3Dict[self.symbol].updateBar(bar)
# def on5MinBar(self, bar):
# # self.writeCtaLog('on----------6666666666666666------------Bar: %s '%bar.datetime)
# self.am5Dict[self.symbol].updateBar(bar)
# def on30MinBar(self, bar):
# # self.writeCtaLog('on----------6666666666666666------------Bar: %s '%bar.datetime)
# self.am30Dict[self.symbol].updateBar(bar)
def on60MinBar(self, bar):
# self.writeCtaLog('on----------6666666666666666------------Bar: %s '%bar.datetime)
self.am60Dict[self.symbol].updateBar(bar)
#----------------------------------------------------------------------
def onCandle(self,Candle):
"""Daily Candles"""
# self.writeCtaLog('on----------dayyyyyyyyyyy------------Bar: %s '%bar.datetime)
self.bgWeekDict.updateWCandle(Candle)
self.bgMonDict.updateMCandle(Candle)
def onWCandle(self,Candle):
"""Week Candles"""
self.amweekDict.updateBar(Candle)
# if self.amweekDict.inited:
# print(self.amweekDict.DataFrame())
# self.writeCtaLog('on----------xxxxxxxxxxxxxxxxxxx------------Bar: %s '%Candle.datetime)
def onMCandle(self,Candle):
"""Month Candles"""
self.ammonDict.updateBar(Candle)
if self.ammonDict.inited:
print(self.ammonDict.DataFrame())
self.writeCtaLog('on----------MMMMMMMMMMMMMMMMMMM------------Bar: %s '%Candle.datetime)
#----------------------------------------------------------------------
def onOrder(self, order):
"""收到委托变化推送（必须由用户继承实现）"""
pass
#----------------------------------------------------------------------
def onTrade(self, trade):
"""收到成交推送（必须由用户继承实现）"""
pass
#----------------------------------------------------------------------
def onStopOrder(self, so):
"""停止单推送"""
pass
def generateHFBar(self, xSecond, size=60):
self.hfDict = {
sym: BarGenerator(self.onHFBar, xSecond=xSecond)
for sym in self.symbolList
}
self.amhfDict = {sym: ArrayManager(size) for sym in self.symbolList}
def __init__(self, ctaEngine, setting):
"""Constructor"""
super(NewMacdStrategy, self).__init__(ctaEngine, setting)
self.bg = BarGenerator(self.onBar)
self.am = ArrayManager()
class NewMacdStrategy(CtaTemplate):
"""New MACD策略Demo"""
className = 'NewMacdStrategy'
author = u'liu_hao'
# 策略参数
initDays = 10 # 初始化数据所用的天数
barIndex = 0
MacdList = []
barDataList = []
ema12 = EMPTY_FLOAT
ema26 = EMPTY_FLOAT
diff = EMPTY_FLOAT
dea9 = EMPTY_FLOAT
macd = EMPTY_FLOAT
beforeMacd = EMPTY_FLOAT
newMacd = EMPTY_FLOAT
# 策略变量
lowBand = -0.0009
upBand = 0.0011
fixprice = 0.6
ontrade = 0
adjustNum = 2700
# 参数列表，保存了参数的名称
paramList = [
'name', 'className', 'author', 'vtSymbol', 'initDays', 'barIndex',
'MacdList', 'barDataList', 'ema12', 'ema26', 'diff', 'dea9', 'macd',
'beforeMacd', 'newMacd'
]
# 变量列表，保存了变量的名称
varList = ['lowBand', 'upBand', 'fixprice', 'adjustNum']
# 同步列表，保存了需要保存到数据库的变量名称
syncList = ['pos']
# ----------------------------------------------------------------------
def __init__(self, ctaEngine, setting):
"""Constructor"""
super(NewMacdStrategy, self).__init__(ctaEngine, setting)
self.bg = BarGenerator(self.onBar)
self.am = ArrayManager()
# 注意策略类中的可变对象属性（通常是list和dict等），在策略初始化时需要重新创建，
# 否则会出现多个策略实例之间数据共享的情况，有可能导致潜在的策略逻辑错误风险，
# 策略类中的这些可变对象属性可以选择不写，全都放在__init__下面，写主要是为了阅读
# 策略时方便（更多是个编程习惯的选择）
# ----------------------------------------------------------------------
def onInit(self):
"""初始化策略（必须由用户继承实现）"""
self.writeCtaLog(u'new MACD演示策略初始化')
initData = self.loadBar(self.initDays)
for bar in initData:
self.onBar(bar)
self.putEvent()
def onStart(self):
"""启动策略（必须由用户继承实现）"""
self.writeCtaLog(u'new MACD演示策略启动')
self.putEvent()
def onStop(self):
"""停止策略（必须由用户继承实现）"""
self.writeCtaLog(u'new MACD演示策略停止')
self.putEvent()
def onTick(self, tick):
"""收到行情TICK推送（必须由用户继承实现）"""
self.bg.updateTick(tick)
def onBar(self, bar):
"""收到Bar推送（必须由用户继承实现）"""
am = self.am
am.updateBar(bar)
if not am.inited:
return
if self.barIndex == 0:
self.ema12 = bar.close
self.ema26 = bar.close
self.diff = 0
self.dea9 = 0
else:
self.ema12 = self.ema(self.ema12, bar.close, 12)
self.ema26 = self.ema(self.ema26, bar.close, 26)
self.diff = self.ema12 - self.ema26
self.dea9 = self.ema(self.dea9, self.diff, 9)
self.macd = self.diff - self.dea9
if self.barIndex < 34:
self.newMacd = 0
else:
self.newMacd = self.macd / am.closeArray[-35]
self.MacdList.append(self.beforeMacd)
# 做多买入
crossLowpBand = (self.beforeMacd < self.lowBand) and (self.newMacd >
self.lowBand)
# 做多止损
crossLimitLowBand = self.newMacd <= 1.2 * self.lowBand
# 做空买入
crossUpBand = (self.beforeMacd > self.upBand) and (self.newMacd <
self.upBand)
# 做空止损
crossLimitUpBand = self.newMacd >= 1.2 * self.upBand
if bar.datetime.time() < datetime.time(14, 55):
if self.pos == 0:
if crossLowpBand:
self.buy(bar.close + self.fixprice, 1)
self.log('buy : ' + str(bar.datetime) + " " +
str(bar.close))
elif crossUpBand:
self.short(bar.close - self.fixprice, 1)
self.log('short : ' + str(bar.datetime) + " " +
str(bar.close))
elif self.pos > 0:
if self.newMacd >= 0:
self.log('sell : ' + str(bar.datetime) + " " +
str(bar.close) + " +")
self.sell(bar.close - self.fixprice, 1)
elif crossLimitLowBand:
self.sell(bar.close - self.fixprice, 1)
self.log('sell : ' + str(bar.datetime) + " " +
str(bar.close) + " -")
else:
if self.newMacd <= 0:
self.log('cover : ' + str(bar.datetime) + " " +
str(bar.close) + " +")
self.cover(bar.close + self.fixprice, 1)
elif crossLimitUpBand:
self.log('cover : ' + str(bar.datetime) + " " +
str(bar.close) + " -")
self.cover(bar.close + self.fixprice, 1)
else:
if self.pos > 0:
self.log('sell : ' + str(bar.datetime) + " " + str(bar.close))
self.sell(bar.close - self.fixprice, 1)
elif self.pos < 0:
self.log('cover : ' + str(bar.datetime) + " " + str(bar.close))
self.cover(bar.close + self.fixprice, 1)
if self.barIndex < 35:
self.barIndex = self.barIndex + 1
self.beforeMacd = self.newMacd
self.adjustParameter()
# 发出状态更新事件
self.putEvent()
def onOrder(self, order):
pass
def onTrade(self, trade):
self.ontrade = 0
def onStopOrder(self, so):
pass
def ema(self, beforeValue, newData, days):
temp = ((days - 1) * beforeValue + 2 * newData) / (days + 1)
return temp
def log(self, message):
if True:
print message
def adjustParameter(self):
if len(self.MacdList) < self.adjustNum:
return
else:
tempList = self.MacdList[(-1 * self.adjustNum):]
max_10_list = heapq.nlargest(500, tempList)
min_10_list = heapq.nsmallest(500, tempList)
self.upBand = sum(max_10_list) / len(max_10_list)
self.lowBand = sum(min_10_list) / len(min_10_list)
def loadSetting(self):
"""加载配置"""
with open(self.settingFilePath) as f:
drSetting = json.load(f)
# 如果working设为False则不启动行情记录功能
working = drSetting['working']
if not working:
return
# 加载收盘时间
if 'marketCloseTime' in drSetting:
timestamp = drSetting['marketCloseTime']
self.marketCloseTime = datetime.strptime(
timestamp, '%H:%M:%S').time()
# Tick记录配置
if 'tick' in drSetting:
l = drSetting['tick']
for setting in l:
symbol = setting[0]
gateway = setting[1]
vtSymbol = symbol
req = VtSubscribeReq()
req.symbol = setting[0]
# 针对LTS和IB接口，订阅行情需要交易所代码
if len(setting) >= 3:
req.exchange = setting[2]
vtSymbol = '.'.join([symbol, req.exchange])
# 针对IB接口，订阅行情需要货币和产品类型
if len(setting) >= 5:
req.currency = setting[3]
req.productClass = setting[4]
self.mainEngine.subscribe(req, gateway)
#tick = VtTickData() # 该tick实例可以用于缓存部分数据（目前未使用）
#self.tickDict[vtSymbol] = tick
self.tickSymbolSet.add(vtSymbol)
# 保存到配置字典中
if vtSymbol not in self.settingDict:
d = {
'symbol': symbol,
'gateway': gateway,
'tick': True
}
self.settingDict[vtSymbol] = d
else:
d = self.settingDict[vtSymbol]
d['tick'] = True
# 分钟线记录配置
if 'bar' in drSetting:
l = drSetting['bar']
for setting in l:
symbol = setting[0]
gateway = setting[1]
vtSymbol = symbol
req = VtSubscribeReq()
req.symbol = symbol
if len(setting) >= 3:
req.exchange = setting[2]
vtSymbol = '.'.join([symbol, req.exchange])
if len(setting) >= 5:
req.currency = setting[3]
req.productClass = setting[4]
self.mainEngine.subscribe(req, gateway)
# 保存到配置字典中
if vtSymbol not in self.settingDict:
d = {'symbol': symbol, 'gateway': gateway, 'bar': True}
self.settingDict[vtSymbol] = d
else:
d = self.settingDict[vtSymbol]
d['bar'] = True
# 创建BarManager对象
self.bgDict[vtSymbol] = BarGenerator(self.onBar)
# 主力合约记录配置
if 'active' in drSetting:
d = drSetting['active']
self.activeSymbolDict = {
vtSymbol: activeSymbol
for activeSymbol, vtSymbol in d.items()
}
class OmVixEngine(object):
"""波动率计算引擎"""
def __init__(self, omEngine, eventEngine):
self.omEngine = omEngine
self.mainEngine = omEngine.mainEngine
self.strategyEngine = omEngine.strategyEngine
self.eventEngine = eventEngine
self.portfolio = omEngine.portfolio
self.bg = BarGenerator(self.onVixBar)
self.active = False
self.queue = Queue()
self.thread = Thread(target=self.run)
self.vixDict = OrderedDict()
self.timerDict = dict()
for chain in self.portfolio.chainDict.values():
self.vixDict[chain.symbol] = OmVixCalculator(chain)
self.registerEvent()
self.start()
def start(self):
"""启动"""
self.active = True
self.thread.start()
def stop(self):
"""关闭"""
if self.active:
self.active = False
self.thread.join()
def run(self):
"""运行入库的线程"""
while self.active:
try:
dbName, collectionName, d = self.queue.get(block=True,
timeout=1)
try:
self.mainEngine.dbInsert(dbName, collectionName, d)
except DuplicateKeyError:
pass
except Empty:
pass
def registerEvent(self):
"""注册事件回调函数"""
self.eventEngine.register(EVENT_TIMER, self.processTimerEvent)
self.eventEngine.register(EVENT_OM_VIX, self.processOmVixEvent)
def processTimerEvent(self, event):
"""处理定时事件"""
for calculator in self.vixDict.values():
self.calcVix(calculator)
def processOmVixEvent(self, event):
"""处理波动率数据事件"""
vix = event.dict_['data']
self.onVixTick(vix)
if self.bg:
self.bg.updateTick(vix)
print(vix.vtSymbol, vix.datetime.strftime('%Y%m%d %H:%M:%S.%f'),
vix.lastPrice)
def onVixTick(self, vix):
"""波动率tick更新"""
self.insertData(TICK_DB_NAME, vix.vtSymbol, vix)
def onVixBar(self, bar):
"""波动率bar更新"""
self.insertData(MINUTE_DB_NAME, bar.vtSymbol, bar)
def insertData(self, dbName, collectionName, data):
"""把数据放入入库队列"""
self.queue.put((dbName, collectionName, data.__dict__))
def calcVix(self, calculator):
"""计算波指"""
if self.active:
tName = 'vixT.' + calculator.chain.symbol
fIdxName = 'vixFIdx.' + calculator.chain.symbol
vixName = 'vix.' + calculator.chain.symbol
option = calculator.chain.optionDict.values()[0]
if not calculator.t:
self.timer(tName, 1, calculator.calcT, option)
else:
self.timer(tName, 60, calculator.calcT, option)
if not calculator.fIdx:
self.timer(fIdxName, 1, calculator.calcFIdx)
else:
self.timer(fIdxName, 12, calculator.calcFIdx)
vix = self.timer(vixName, 0, calculator.calcVix)
if vix:
event = Event(type_=EVENT_OM_VIX)
event.dict_['data'] = vix
self.eventEngine.put(event)
def timer(self, name, interval, func, *args, **kwargs):
"""自定义定时器"""
if self.timerDict.get(name) is None:
self.timerDict[name] = 0
if self.timerDict[name] > interval:
res = func(*args, **kwargs)
self.timerDict[name] = 0
return res
self.timerDict[name] += 1