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agent.py
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agent.py
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#-*- coding:utf-8 -*-
import workdays
import time
import copy
import datetime
import logging
import bisect
import mysqlaccess
import order as order
import math
import os
import csv
import instrument
import pandas as pd
from base import *
from misc import *
import data_handler
import backtest
import pyktlib
import numpy as np
from eventType import *
from eventEngine import *
MAX_REALTIME_DIFF = 100
min_data_list = ['datetime', 'min_id', 'open', 'high','low', 'close', 'volume', 'openInterest']
day_data_list = ['date', 'open', 'high','low', 'close', 'volume', 'openInterest']
def get_tick_id(dt):
return ((dt.hour+6)%24)*100000+dt.minute*1000+dt.second*10+dt.microsecond/100000
def get_tick_num(dt):
return ((dt.hour+6)%24)*36000+dt.minute*600+dt.second*10+dt.microsecond/100000
def get_min_id(dt):
return ((dt.hour+6)%24)*100+dt.minute
def trading_hours(product, exch):
hrs = [(1500, 1615), (1630, 1730), (1930, 2100)]
if exch in ['SSE', 'SZE']:
hrs = [(1530, 1730), (1900, 2100)]
elif exch == 'CFFEX':
if product in ['IF', 'IH', 'IC']:
hrs = [(1530, 1730), (1900, 2100)]
else:
hrs = [(1515, 1730), (1900, 2115)]
else:
if product in night_session_markets:
night_idx = night_session_markets[product]
hrs = [night_trading_hrs[night_idx]] + hrs
return hrs
class TickData:
def __init__(self, instID='IF1412', high=0.0, low=0.0, price=0.0, volume=0, openInterest=0,
bidPrice1=0.0, bidVol1=0, askPrice1=0.0, askVol1=0,
up_limit = 0.0, down_limit = 0.0, timestamp=datetime.datetime.now()):
self.instID = instID
self.high = high
self.low = low
self.price = price
self.volume = volume
self.openInterest = openInterest
self.bidPrice1 = bidPrice1
self.bidVol1 = bidVol1
self.askPrice1 = askPrice1
self.askVol1 = askVol1
self.upLimit = up_limit
self.downLimit = down_limit
self.timestamp = timestamp
self.hour = timestamp.hour
self.min = timestamp.minute
self.sec = timestamp.second
self.msec = timestamp.microsecond/1000
self.tick_id = ((self.hour+6)%24)*100000+self.min*1000+self.sec*10+int(self.msec/100)
self.date = timestamp.date().strftime('%Y%m%d')
pass
class StockTick(TickData):
def __init__(self, instID='IF1412', high=0.0, low=0.0, price=0.0, open=0.0, close=0.0,
volume=0, openInterest=0, turnover=0, up_limit = 0.0, down_limit = 0.0,
timestamp=datetime.datetime.now(),
bidPrice1=0.0, bidVol1=0, askPrice1=0.0, askVol1=0,
bidPrice2=0.0, bidVol2=0, askPrice2=0.0, askVol2=0,
bidPrice3=0.0, bidVol3=0, askPrice3=0.0, askVol3=0,
bidPrice4=0.0, bidVol4=0, askPrice4=0.0, askVol4=0,
bidPrice5=0.0, bidVol5=0, askPrice5=0.0, askVol5=0):
TickData.__init__(self, instID, high, low, price, volume, openInterest,
bidPrice1, bidVol1, askPrice1, askVol1,
up_limit, down_limit, timestamp)
self.turnover = turnover
self.open = open
self.close = close
self.bidPrice2 = bidPrice2
self.bidVol2 = bidVol2
self.askPrice2 = askPrice2
self.askVol2 = askVol2
self.bidPrice3 = bidPrice3
self.bidVol3 = bidVol3
self.askPrice3 = askPrice3
self.askVol3 = askVol3
self.bidPrice4 = bidPrice4
self.bidVol4 = bidVol4
self.askPrice4 = askPrice4
self.askVol4 = askVol4
self.bidPrice5 = bidPrice5
self.bidVol5 = bidVol5
self.askPrice5 = askPrice5
self.askVol5 = askVol5
pass
class CTPMdMixin(object):
def OnRspError(self, info, RequestId, IsLast):
"""错误回报"""
event = Event(type=EVENT_LOG)
log = u'行情错误回报，错误代码：' + unicode(info.ErrorID) + u',' + u'错误信息：' + info.ErrorMsg.decode('gbk')
event.dict['log'] = log
event.dict['level'] = logging.WARNING
self.eventEngine.put(event)
def OnFrontDisConnected(self, reason):
"""服务器断开"""
event = Event(type=EVENT_LOG)
event.dict['log'] = u'行情服务器连接断开'
event.dict['level'] = logging.INFO
self.eventEngine.put(event)
def OnFrontConnected(self):
event = Event(type=EVENT_LOG)
event.dict['log'] = u'行情服务器连接成功'
event.dict['level'] = logging.INFO
self.eventEngine.put(event)
self.user_login(self.broker_id, self.investor_id, self.passwd)
def user_login(self, broker_id, investor_id, passwd):
req = self.ApiStruct.ReqUserLogin(BrokerID=broker_id, UserID=investor_id, Password=passwd)
r=self.ReqUserLogin(req,self.agent.inc_request_id())
pass
def OnRspUserLogin(self, userlogin, info, rid, is_last):
event = Event(type=EVENT_LOG)
if info.ErrorID == 0:
log = u'行情服务器登陆成功'
else:
log = u'登陆回报，错误代码：' + unicode(info.ErrorID) + u',' + u'错误信息：' + info.ErrorMsg.decode('gbk')
event.dict['log'] = log
event.dict['level'] = logging.INFO
self.eventEngine.put(event)
if is_last and (info.ErrorID == 0):
trade_day_str = self.GetTradingDay()
trading_day = datetime.date.today()
if len(trade_day_str) > 0:
try:
trading_day = datetime.datetime.strptime(trade_day_str,'%Y%m%d').date()
except ValueError:
pass
self.subscribe_market_data(self.instruments)
if trading_day > self.agent.scur_day: #换日,重新设置volume
event = Event(type=EVENT_DAYSWITCH)
event.dict['log'] = u'换日: %s -> %s' % (self.agent.scur_day, trading_day)
event.dict['date'] = trading_day
self.eventEngine.put(event)
#self.agent.day_switch(trading_day)
def OnRtnDepthMarketData(self, dp):
try:
if dp.LastPrice > dp.UpperLimitPrice or dp.LastPrice < dp.LowerLimitPrice:
event = Event(type=EVENT_LOG)
event.dict['log'] = u'MD:error in market data - last price:%s,LastPrice=:%s' %(dp.InstrumentID,dp.LastPrice)
event.dict['level'] = logging.DEBUG
self.eventEngine.put(event)
return
if (dp.AskPrice1 > dp.UpperLimitPrice and dp.BidPrice1 <= dp.LowerLimitPrice) or (dp.BidPrice1 >= dp.AskPrice1):
event = Event(type=EVENT_LOG)
event.dict['log'] = u'MD:error in market data - bid ask:%s,BidPrice=%s, AskPrice=%s' %(dp.InstrumentID,dp.BidPrice1,dp.AskPrice1)
event.dict['level'] = logging.DEBUG
self.eventEngine.put(event)
return
timestr = str(dp.UpdateTime) + ' ' + str(dp.UpdateMillisec) + '000'
if len(dp.TradingDay.strip()) > 0:
timestr = str(dp.TradingDay) + ' ' + timestr
else:
timestr = str(self.last_day) + ' ' + timestr
timestamp = datetime.datetime.strptime(timestr, '%Y%m%d %H:%M:%S %f')
self.last_day = timestamp.year*10000+timestamp.month*100+timestamp.day
tick = self.market_data2tick(dp, timestamp)
event = Event(type=EVENT_MARKETDATA)
event.dict['data'] = tick
self.eventEngine.put(event)
finally:
pass
class CTPTraderQryMixin(object):
def query_instrument_marginrate(self, instrument_id):
req = self.ApiStruct.QryInstrumentMarginRate(BrokerID=self.broker_id,
InvestorID=self.investor_id,
InstrumentID=instrument_id,
HedgeFlag = self.ApiStruct.HF_Speculation
)
r = self.ReqQryInstrumentMarginRate(req,self.agent.inc_request_id())
return r
def query_instrument(self, instrument_id):
req = self.ApiStruct.QryInstrument(
InstrumentID=instrument_id,
)
r = self.ReqQryInstrument(req, self.agent.inc_request_id())
return r
def query_instruments_by_exch(self, exchange_id):
req = self.ApiStruct.QryInstrument(
ExchangeID=exchange_id,
)
r = self.ReqQryInstrument(req, self.agent.inc_request_id())
return r
def query_trading_account(self):
req = self.ApiStruct.QryTradingAccount(BrokerID=self.broker_id, InvestorID=self.investor_id)
r=self.ReqQryTradingAccount(req,self.agent.inc_request_id())
return r
def query_investor_position(self, instrument_id):
req = self.ApiStruct.QryInvestorPosition(BrokerID=self.broker_id, InvestorID=self.investor_id,InstrumentID=instrument_id)
r=self.ReqQryInvestorPosition(req,self.agent.inc_request_id())
return r
def query_investor_position_detail(self, instrument_id):
req = self.ApiStruct.QryInvestorPositionDetail(BrokerID=self.broker_id, InvestorID=self.investor_id, InstrumentID=instrument_id)
r=self.ReqQryInvestorPositionDetail(req, self.agent.inc_request_id())
return r
def query_order(self, startTime = '', endTime = ''):
req = self.ApiStruct.QryOrder(
BrokerID = self.broker_id,
InvestorID = self.investor_id,
InstrumentID ='',
ExchangeID = '', #交易所代码, char[9]
InsertTimeStart = startTime, #开始时间, char[9]
InsertTimeEnd = endTime, #结束时间, char[9]
)
r = self.ReqQryOrder(req, self.agent.inc_request_id())
return r
def query_trade( self, startTime = '', endTime = '' ):
req = self.ApiStruct.QryTrade(
BrokerID=self.broker_id,
InvestorID=self.investor_id,
InstrumentID='',
ExchangeID ='', #交易所代码, char[9]
TradeTimeStart = startTime, #开始时间, char[9]
TradeTimeEnd = endTime, #结束时间, char[9]
)
r = self.ReqQryTrade(req, self.agent.inc_request_id())
return r
def queryDepthMarketData(self, instrument):
req = self.ApiStruct.QryDepthMarketData(InstrumentID=instrument)
r=self.ReqQryDepthMarketData(req, self.agent.inc_request_id())
###交易操作
def send_order(self, iorder):
if not self.is_logged:
event = Event(type=EVENT_LOG)
event.dict['log'] = 'The trader is not logged, cannot send the order, so cancelling order ref = %s, sysid = %s' % (iorder.order_ref, iorder.sys_id)
event.dict['level'] = logging.WARNING
self.eventEngine.put(event)
iorder.on_cancel()
return False
if iorder.direction == ORDER_BUY:
direction = self.ApiStruct.D_Buy
else:
direction = self.ApiStruct.D_Sell
if iorder.price_type == OPT_MARKET_ORDER:
price_type = self.ApiStruct.OPT_AnyPrice
elif iorder.price_type == OPT_LIMIT_ORDER:
price_type = self.ApiStruct.OPT_LimitPrice
if iorder.action_type == OF_OPEN:
action_type = self.ApiStruct.OF_Open
elif iorder.action_type == OF_CLOSE:
action_type = self.ApiStruct.OF_Close
elif iorder.action_type == OF_CLOSE_TDAY:
action_type = self.ApiStruct.OF_CloseToday
elif iorder.action_type == OF_CLOSE_YDAY:
action_type = self.ApiStruct.OF_CloseYesterday
limit_price = iorder.limit_price
if self.name == 'LTS-TD':
limit_price = str(limit_price)
req = self.ApiStruct.InputOrder(
InstrumentID = iorder.instrument.name,
Direction = direction,
OrderRef = str(iorder.order_ref),
LimitPrice = limit_price, #LTS uses char, CTP uses double
VolumeTotalOriginal = iorder.volume,
OrderPriceType = price_type,
BrokerID = self.broker_id,
InvestorID = self.investor_id,
CombOffsetFlag = action_type, #开仓 5位字符,但是只用到第0位
CombHedgeFlag = self.ApiStruct.HF_Speculation, #投机 5位字符,但是只用到第0位
VolumeCondition = self.ApiStruct.VC_AV,
MinVolume = 1, #这个作用有点不确定,有的文档设成0了
ForceCloseReason = self.ApiStruct.FCC_NotForceClose,
IsAutoSuspend = 1,
UserForceClose = 0,
TimeCondition = self.ApiStruct.TC_GFD,
)
event = Event(type=EVENT_LOG)
event.dict['log'] = u'下单: order_ref=%s, instrument=%s,开关=%s,方向=%s,数量=%s,价格=%s ->%s' % (iorder.order_ref, \
iorder.instrument.name,
'open' if iorder.action_type == OF_OPEN else 'close',
u'多' if iorder.direction==ORDER_BUY else u'空',
iorder.volume,
iorder.limit_price,
iorder.price_type)
event.dict['level'] = logging.DEBUG
self.eventEngine.put(event)
r = self.ReqOrderInsert(req,self.agent.inc_request_id())
return r
def cancel_order(self, iorder):
inst = iorder.instrument
event = Event(type=EVENT_LOG)
event.dict['log'] = u'A_CC:取消命令: OrderRef=%s, OrderSysID=%s, exchange=%s, instID=%s, volume=%s, filled=%s, cancelled=%s' % (iorder.order_ref, \
iorder.sys_id, inst.exchange, inst.name, iorder.volume, iorder.filled_volume, iorder.cancelled_volume)
event.dict['level'] = logging.DEBUG
self.eventEngine.put(event)
if len(iorder.sys_id) >0:
exch = inst.exchange
req = self.ApiStruct.InputOrderAction(
InstrumentID = inst.name,
BrokerID = self.broker_id,
InvestorID = self.investor_id,
ExchangeID = exch,
OrderSysID = iorder.sys_id,
ActionFlag = self.ApiStruct.AF_Delete,
)
else:
event = Event(type=EVENT_LOG)
event.dict['log'] = 'order=%s has no OrderSysID, using Order_ref to cancel' % (iorder.order_ref)
event.dict['level'] = logging.INFO
self.eventEngine.put(event)
req = self.ApiStruct.InputOrderAction(
InstrumentID = inst.name,
OrderRef = str(iorder.order_ref),
BrokerID = self.broker_id,
InvestorID = self.investor_id,
FrontID = self.front_id,
SessionID = self.session_id,
ActionFlag = self.ApiStruct.AF_Delete,
)
r = self.ReqOrderAction(req,self.agent.inc_request_id())
return r
class CTPTraderRspMixin(object):
def isRspSuccess(self, RspInfo):
return RspInfo == None or RspInfo.ErrorID == 0
def login(self):
self.user_login(self.broker_id, self.investor_id, self.passwd)
##交易初始化
def OnFrontConnected(self):
'''
当客户端与交易后台建立起通信连接时（还未登录前），该方法被调用。
'''
"""服务器连接"""
event = Event(type=EVENT_LOG)
event.dict['log'] = u'交易服务器连接成功'
event.dict['level'] = logging.INFO
self.eventEngine.put(event)
self.login()
def OnFrontDisconnected(self, nReason):
"""服务器断开"""
self.is_logged = False
event = Event(type=EVENT_LOG)
event.dict['log'] = u'交易服务器连接断开'
event.dict['level'] = logging.INFO
self.eventEngine.put(event)
event2 = Event(type=EVENT_TDDISCONNECTED)
event2.dict['log'] = u'交易服务器连接断开'
self.eventEngine.put(event2)
def user_login(self, broker_id, investor_id, passwd):
req = self.ApiStruct.ReqUserLogin(BrokerID=broker_id, UserID=investor_id, Password=passwd)
r=self.ReqUserLogin(req,self.agent.inc_request_id())
def OnRspUserLogin(self, pRspUserLogin, pRspInfo, nRequestID, bIsLast):
event = Event(type=EVENT_LOG)
if pRspInfo.ErrorID == 0:
log = u'交易服务器登陆成功'
else:
log = u'登陆回报，错误代码：' + unicode(pRspInfo.ErrorID) + u',' + u'错误信息：' + pRspInfo.ErrorMsg.decode('gbk')
event.dict['log'] = log
event.dict['level'] = logging.INFO
self.eventEngine.put(event)
if pRspInfo.ErrorID == 0:
self.is_logged = True
self.front_id = pRspUserLogin.FrontID
self.session_id = pRspUserLogin.SessionID
else:
self.is_logged = False
time.sleep(30)
self.login()
def OnRspUserLogout(self, pUserLogout, pRspInfo, nRequestID, bIsLast):
'''登出请求响应'''
event = Event(type=EVENT_LOG)
if pRspInfo.ErrorID == 0:
log = u'交易服务器登出成功'
else:
log = u'登陆回报，错误代码：' + unicode(pRspInfo.ErrorID) + u',' + u'错误信息：' + pRspInfo.ErrorMsg.decode('gbk')
event.dict['log'] = log
event.dict['level'] = logging.INFO
self.eventEngine.put(event)
self.is_logged = False
def resp_common(self,rsp_info,bIsLast,name='默认'):
event = Event(type=EVENT_LOG)
if not self.isRspSuccess(rsp_info):
log = u'TD:%s失败' % name
val = -1
elif bIsLast and self.isRspSuccess(rsp_info):
log = u'TD:%s成功' % name
val = 1
else:
log = u'TD:%s结果: 等待数据接收完全...' % name
val = 0
event.dict['log'] = log
event.dict['level'] = logging.INFO
self.eventEngine.put(event)
return val
def OnRspQryDepthMarketData(self, depth_market_data, pRspInfo, nRequestID, bIsLast):
pass
###交易准备
def OnRspQryInstrumentMarginRate(self, pInstMarginRate, pRspInfo, nRequestID, bIsLast):
'''
保证金率回报。返回的必然是绝对值
'''
if self.isRspSuccess(pRspInfo):
event = Event(type = EVENT_MARGINRATE)
event.dict['data'] = copy.copy(pInstMarginRate)
event.dict['error'] = copy.copy(pRspInfo)
event.dict['isLast'] = bIsLast
self.eventEngine.put(event)
def OnRspQryInstrument(self, pInstrument, pRspInfo, nRequestID, bIsLast):
'''
获得合约数量乘数.
这里的保证金率应该是和期货公司无关，所以不能使用
'''
if pInstrument.InstrumentID not in self.agent.instruments:
return
if self.isRspSuccess(pRspInfo):
event = Event(type = EVENT_INSTRUMENT)
event.dict['data'] = copy.copy(pInstrument)
event.dict['error'] = copy.copy(pRspInfo)
event.dict['isLast'] = bIsLast
self.eventEngine.put(event)
else:
event = Event(type=EVENT_LOG)
log = u'合约投资者回报，错误代码：' + unicode(pRspInfo.ErrorID) + u',' + u'错误信息：' + pRspInfo.ErrorMsg.decode('gbk')
event.dict['log'] = log
event.dict['level'] = logging.DEBUG
self.eventEngine.put(event)
def OnRspQryTradingAccount(self, pTradingAccount, pRspInfo, nRequestID, bIsLast):
"""资金账户查询回报"""
if self.isRspSuccess(pRspInfo):
event = Event(type = EVENT_ACCOUNT)
event.dict['data'] = copy.copy(pTradingAccount)
event.dict['error'] = copy.copy(pRspInfo)
event.dict['isLast'] = bIsLast
self.eventEngine.put(event)
else:
event = Event(type=EVENT_LOG)
log = u'账户查询回报，错误代码：' + unicode(pRspInfo.ErrorID) + u',' + u'错误信息：' + pRspInfo.ErrorMsg.decode('gbk')
event.dict['log'] = log
event.dict['level'] = logging.DEBUG
self.eventEngine.put(event)
def OnRspQryInvestor(self, pInvestorPosition, pRspInfo, nRequestID, bIsLast):
"""投资者查询回报"""
if self.isRspSuccess(pRspInfo):
event = Event(type=EVENT_INVESTOR)
event.dict['data'] = copy.copy(pInvestorPosition)
event.dict['isLast'] = bIsLast
self.eventEngine.put(event)
else:
event = Event(type=EVENT_LOG)
log = u'合约投资者回报，错误代码：' + unicode(pRspInfo.ErrorID) + u',' + u'错误信息：' + pRspInfo.ErrorMsg.decode('gbk')
event.dict['log'] = log
event.dict['level'] = logging.DEBUG
self.eventEngine.put(event)
def OnRspQryInvestorPosition(self, pInvestorPosition, pRspInfo, nRequestID, bIsLast):
"""持仓查询回报"""
if self.isRspSuccess(pRspInfo):
event = Event(type=EVENT_POSITION)
event.dict['data'] = copy.copy(pInvestorPosition)
event.dict['isLast'] = bIsLast
self.eventEngine.put(event)
else:
event = Event(type=EVENT_LOG)
log = u'持仓查询回报，错误代码：' + unicode(pRspInfo.ErrorID) + u',' + u'错误信息：' + pRspInfo.ErrorMsg.decode('gbk')
event.dict['log'] = log
event.dict['level'] = logging.DEBUG
self.eventEngine.put(event)
def OnRspQryInvestorPositionDetail(self, pInvestorPositionDetail, pRspInfo, nRequestID, bIsLast):
'''请求查询投资者持仓明细响应'''
pass
def OnRspError(self, info, RequestId, IsLast):
"""错误回报"""
event = Event(type=EVENT_LOG)
log = u'交易错误回报，错误代码：' + unicode(info.ErrorID) + u',' + u'错误信息：' + info.ErrorMsg.decode('gbk')
event.dict['log'] = log
event.dict['level'] = logging.INFO
self.eventEngine.put(event)
def OnRspQryOrder(self, porder, pRspInfo, nRequestID, bIsLast):
'''请求查询报单响应'''
#print porder, pRspInfo, bIsLast
if self.isRspSuccess(pRspInfo):
event = Event(type=EVENT_QRYORDER)
event.dict['data'] = copy.copy(porder)
event.dict['isLast'] = bIsLast
self.eventEngine.put(event)
else:
event = Event(type=EVENT_LOG)
log = u'交易错误回报，错误代码：' + unicode(pRspInfo.ErrorID) + u',' + u'错误信息：' + pRspInfo.ErrorMsg.decode('gbk')
event.dict['log'] = log
event.dict['level'] = logging.DEBUG
self.eventEngine.put(event)
def OnRspQryTrade(self, ptrade, pRspInfo, nRequestID, bIsLast):
'''请求查询成交响应'''
#print ptrade, pRspInfo, bIsLast
if self.isRspSuccess(pRspInfo):
event = Event(type=EVENT_QRYTRADE)
event.dict['data'] = copy.copy(ptrade)
event.dict['isLast'] = bIsLast
self.eventEngine.put(event)
else:
event = Event(type=EVENT_LOG)
log = u'交易错误回报，错误代码：' + unicode(info.ErrorID) + u',' + u'错误信息：' + info.ErrorMsg.decode('gbk')
event.dict['log'] = log
event.dict['level'] = logging.DEBUG
self.eventEngine.put(event)
def OnRspOrderInsert(self, pInputOrder, pRspInfo, nRequestID, bIsLast):
'''
报单未通过参数校验,被CTP拒绝
正常情况后不应该出现
'''
event = Event(type=EVENT_LOG)
log = u' 发单错误回报，错误代码：' + unicode(pRspInfo.ErrorID) + u',' + u'错误信息：' + pRspInfo.ErrorMsg.decode('gbk')
event.dict['log'] = log
event.dict['level'] = logging.WARNING
self.eventEngine.put(event)
event2 = Event(type=EVENT_ERRORDERINSERT)
event2.dict['data'] = copy.copy(pInputOrder)
event2.dict['error'] = copy.copy(pRspInfo)
self.eventEngine.put(event2)
def OnErrRtnOrderInsert(self, pInputOrder, pRspInfo):
"""发单错误回报（交易所）"""
event = Event(type=EVENT_LOG)
log = u'发单错误回报，错误代码：' + unicode(pRspInfo.ErrorID) + u',' + u'错误信息：' + pRspInfo.ErrorMsg.decode('gbk')
event.dict['log'] = log
event.dict['level'] = logging.WARNING
self.eventEngine.put(event)
event2 = Event(type=EVENT_ERRORDERINSERT)
event2.dict['data'] = copy.copy(pInputOrder)
event2.dict['error'] = copy.copy(pRspInfo)
self.eventEngine.put(event2)
def OnRtnOrder(self, porder):
''' 报单通知
CTP、交易所接受报单(CTP接受的已经被过滤)
Agent中不区分，所得信息只用于撤单,暂时只处理撤单的回报.
'''
# 常规报单事件
event1 = Event(type=EVENT_ORDER)
event1.dict['data'] = copy.copy(porder)
self.eventEngine.put(event1)
# 特定合约行情事件
event2 = Event(type=(EVENT_ORDER_ORDERREF+porder.OrderRef))
event2.dict['data'] = copy.copy(porder)
self.eventEngine.put(event2)
def OnRtnTrade(self, ptrade):
'''成交回报
#TODO: 必须考虑出现平仓信号时，position还没完全成交的情况在OnTrade中进行position的细致处理
#TODO: 必须处理策略分类持仓汇总和持仓总数不匹配时的问题
'''
# 常规成交事件
event1 = Event(type=EVENT_TRADE)
event1.dict['data'] = copy.copy(ptrade)
self.eventEngine.put(event1)
# 特定合约成交事件
event2 = Event(type=(EVENT_TRADE_CONTRACT+ptrade.InstrumentID))
event2.dict['data'] = copy.copy(ptrade)
self.eventEngine.put(event2)
def OnRspOrderAction(self, pInputOrderAction, pRspInfo, nRequestID, bIsLast):
'''
ctp撤单校验错误
'''
event = Event(type=EVENT_LOG)
log = u'撤单错误回报，错误代码：' + unicode(pRspInfo.ErrorID) + u',' + u'错误信息：' + pRspInfo.ErrorMsg.decode('gbk')
event.dict['log'] = log
event.dict['level'] = logging.WARNING
self.eventEngine.put(event)
event2 = Event(type=EVENT_ERRORDERCANCEL)
event2.dict['data'] = copy.copy(pInputOrderAction)
event2.dict['error'] = copy.copy(pRspInfo)
self.eventEngine.put(event2)
def OnErrRtnOrderAction(self, pOrderAction, pRspInfo):
"""撤单错误回报（交易所）"""
event = Event(type=EVENT_LOG)
log = u'撤单错误回报，错误代码：' + unicode(pRspInfo.ErrorID) + u',' + u'错误信息：' + pRspInfo.ErrorMsg.decode('gbk')
event.dict['log'] = log
event.dict['level'] = logging.WARNING
self.eventEngine.put(event)
event2 = Event(type=EVENT_ERRORDERCANCEL)
event2.dict['data'] = copy.copy(pOrderAction)
event2.dict['error'] = copy.copy(pRspInfo)
self.eventEngine.put(event2)
class Agent(object):
def __init__(self, name, trader, cuser, instruments, strategies = [], tday=datetime.date.today(), config = {}):
'''
trader为交易对象
tday为当前日,为0则为当日
'''
self.tick_id = 0
self.timer_count = 0
self.request_id = 1
folder = 'C:\\dev\\src\\ktlib\\pythonctp\\pyctp\\'
if 'folder' in config:
folder = config['folder']
daily_data_days = 60
if 'daily_data_days' in config:
daily_data_days = config['daily_data_days']
min_data_days = 5
if 'min_data_days' in config:
min_data_days = config['min_data_days']
live_trading = False
if 'live_trading' in config:
live_trading = config['live_trading']
self.logger = logging.getLogger('ctp.agent')
self.mdapis = []
self.trader = trader
self.name = name
self.folder = folder + self.name + os.path.sep
self.cuser = cuser
self.initialized = False
self.scur_day = tday
#保存分钟数据标志
self.save_flag = False #默认不保存
self.live_trading = live_trading
self.tick_db_table = 'fut_tick'
self.min_db_table = 'fut_min'
self.daily_db_table = 'fut_daily'
self.eod_flag = False
# market data
self.daily_data_days = daily_data_days
self.min_data_days = min_data_days
self.instruments = {}
self.tick_data = {}
self.day_data = {}
self.min_data = {}
self.cur_min = {}
self.cur_day = {}
self.positions= {}
self.qry_pos = {}
self.day_data_func = {}
self.min_data_func = {}
self.inst2strat = {}
self.add_instruments(instruments, self.scur_day)
self.strategies = {}
self.strat_list = []
for strat in strategies:
self.add_strategy(strat)
###交易
self.ref2order = {} #orderref==>order
self.ref2trade = {}
#self.queued_orders = [] #因为保证金原因等待发出的指令(合约、策略族、基准价、基准时间(到秒))
#当前资金/持仓
self.available = 0 #可用资金
self.locked_margin = 0
self.used_margin = 0
self.margin_cap = 1500000
self.pnl_total = 0.0
self.curr_capital = 1000000.0
self.prev_capital = 1000000.0
self.ctp_orders = []
self.eventEngine = EventEngine(1)
self.eventEngine.register(EVENT_LOG, self.log_handler)
self.eventEngine.register(EVENT_MARKETDATA, self.rtn_tick)
self.eventEngine.register(EVENT_TIMER, self.check_qry_commands)
self.eventEngine.register(EVENT_DAYSWITCH, self.day_switch)
self.cancel_protect_period = 200
self.market_order_tick_multiple = 5
self.order_stats = dict([(inst,{'submitted': 0, 'cancelled':0, 'failed': 0, 'status': True }) for inst in self.instruments])
self.total_submitted = 0
self.total_cancelled = 0
self.total_submitted_limit = 1000
self.submitted_limit_per_inst = 100
self.failed_order_limit = 200
##查询命令队列
self.qry_commands = [] #每个元素为查询命令，用于初始化时查询相关数据
self.init_init() #init中的init,用于子类的处理
#结算单
self.isSettlementInfoConfirmed = False #结算单未确认
def set_capital_limit(self, margin_cap):
self.margin_cap = margin_cap
def log_handler(self, event):
lvl = event.dict['level']
self.logger.log(lvl, event.dict['log'])
def td_disconnected(self, event):
pass
def time_scheduler(self, event):
if self.timer_count % 1800:
if self.tick_id >= 2100000-10:
min_id = get_min_id(datetime.datetime.now())
if (min_id >= 2116) and (self.eod_flag == False):
self.qry_commands.append(self.run_eod)
def add_instruments(self, names, tday):
add_names = [ name for name in names if name not in self.instruments]
for name in add_names:
if name.isdigit():
if len(name) == 8:
self.instruments[name] = instrument.StockOptionInst(name)
else:
self.instruments[name] = instrument.Stock(name)
else:
if len(name) > 10:
self.instruments[name] = instrument.FutOptionInst(name)
else:
self.instruments[name] = instrument.Future(name)
self.instruments[name].update_param(tday)
self.tick_data[name] = []
self.day_data[name] = pd.DataFrame(columns=['open', 'high','low','close','volume','openInterest'])
self.min_data[name] = {1: pd.DataFrame(columns=['open', 'high','low','close','volume','openInterest','min_id'])}
self.cur_min[name] = dict([(item, 0) for item in min_data_list])
self.cur_day[name] = dict([(item, 0) for item in day_data_list])
self.positions[name] = order.Position(self.instruments[name])
self.day_data_func[name] = []
self.min_data_func[name] = {}
self.qry_pos[name] = {'tday': [0, 0], 'yday': [0, 0]}
self.cur_min[name]['datetime'] = datetime.datetime.fromordinal(self.scur_day.toordinal())
self.cur_day[name]['date'] = tday
if name not in self.inst2strat:
self.inst2strat[name] = {}
def add_strategy(self, strat):
self.add_instruments(strat.instIDs, self.scur_day)
for instID in strat.instIDs:
self.inst2strat[instID][strat.name] = []
self.strategies[strat.name] = strat
self.strat_list.append(strat.name)
strat.agent = self
strat.reset()
def initialize(self, event):
'''
初始化，如保证金率，账户资金等
'''
self.isSettlementInfoConfirmed = True
if not self.initialized:
for inst in self.instruments:
self.instruments[inst].update_param(self.scur_day)
#self.resume()
self.qry_commands = []
self.qry_commands.append(self.fetch_trading_account)
self.qry_commands.append(self.fetch_investor_position)
self.qry_commands.append(self.fetch_order)
self.qry_commands.append(self.fetch_trade)
def register_data_func(self, inst, freq, fobj):
if inst not in self.day_data_func:
self.day_data_func[inst] = []
self.min_data_func[inst] = {}
if 'd' in freq:
for func in self.day_data_func[inst]:
if fobj.name == func.name:
return False
self.day_data_func[inst].append(fobj)
return True
else:
mins = int(freq[:-1])
if mins not in self.min_data_func[inst]:
self.min_data_func[inst][mins] = []
for func in self.min_data_func[inst][mins]:
if fobj.name == func.name:
return False
if fobj != None:
self.min_data_func[inst][mins].append(fobj)
return True
def prepare_data_env(self, mid_day = True):
if self.daily_data_days > 0 or mid_day:
self.logger.debug('Updating historical daily data for %s' % self.scur_day.strftime('%Y-%m-%d'))
daily_start = workdays.workday(self.scur_day, -self.daily_data_days, CHN_Holidays)
daily_end = self.scur_day
for inst in self.instruments:
if (self.instruments[inst].ptype == instrument.ProductType.Option):
continue
self.day_data[inst] = mysqlaccess.load_daily_data_to_df('fut_daily', inst, daily_start, daily_end)
df = self.day_data[inst]
if len(df) > 0:
self.instruments[inst].price = df['close'][-1]
self.instruments[inst].last_update = 0
self.instruments[inst].prev_close = df['close'][-1]
for fobj in self.day_data_func[inst]:
ts = fobj.sfunc(df)
df[ts.name]= pd.Series(ts, index=df.index)
if self.min_data_days > 0 or mid_day:
self.logger.debug('Updating historical min data for %s' % self.scur_day.strftime('%Y-%m-%d'))
d_start = workdays.workday(self.scur_day, -self.min_data_days, CHN_Holidays)
d_end = self.scur_day
for inst in self.instruments:
if (self.instruments[inst].ptype == instrument.ProductType.Option):
continue
min_start = int(self.instruments[inst].start_tick_id/1000)
min_end = int(self.instruments[inst].last_tick_id/1000)+1
#print "loading inst = %s" % inst
mindata = mysqlaccess.load_min_data_to_df('fut_min', inst, d_start, d_end, minid_start=min_start, minid_end=min_end)
mindata = backtest.cleanup_mindata(mindata, self.instruments[inst].product)
self.min_data[inst][1] = mindata
if len(mindata)>0:
min_date = mindata.index[-1].date()
if (len(self.day_data[inst].index)==0) or (min_date > self.day_data[inst].index[-1]):
ddf = data_handler.conv_ohlc_freq(mindata, 'd')
self.cur_day[inst]['open'] = float(ddf.open[-1])
self.cur_day[inst]['close'] = float(ddf.close[-1])
self.cur_day[inst]['high'] = float(ddf.high[-1])
self.cur_day[inst]['low'] = float(ddf.low[-1])
self.cur_day[inst]['volume'] = int(ddf.volume[-1])
self.cur_day[inst]['openInterest'] = int(ddf.openInterest[-1])
self.cur_min[inst]['datetime'] = pd.datetime(*mindata.index[-1].timetuple()[0:-3])
self.cur_min[inst]['open'] = float(mindata.ix[-1,'open'])
self.cur_min[inst]['close'] = float(mindata.ix[-1,'close'])
self.cur_min[inst]['high'] = float(mindata.ix[-1,'high'])
self.cur_min[inst]['low'] = float(mindata.ix[-1,'low'])
self.cur_min[inst]['volume'] = self.cur_day[inst]['volume']
self.cur_min[inst]['openInterest'] = self.cur_day[inst]['openInterest']
self.cur_min[inst]['min_id'] = int(mindata.ix[-1,'min_id'])
self.instruments[inst].price = float(mindata.ix[-1,'close'])
self.instruments[inst].last_update = 0
self.logger.debug('inst=%s tick data loaded for date=%s' % (inst, min_date))
for m in self.min_data_func[inst]:
if m != 1:
self.min_data[inst][m] = data_handler.conv_ohlc_freq(self.min_data[inst][1], str(m)+'min')
df = self.min_data[inst][m]
for fobj in self.min_data_func[inst][m]:
ts = fobj.sfunc(df)
df[ts.name]= pd.Series(ts, index=df.index)
return
def resume(self):
if self.initialized:
return
self.logger.debug('Prepare market data for %s' % self.scur_day.strftime('%y%m%d'))
self.prepare_data_env(mid_day = True)
self.get_eod_positions()
self.logger.debug('Prepare trade environment for %s' % self.scur_day.strftime('%y%m%d'))
file_prefix = self.folder
self.ref2order = order.load_order_list(self.scur_day, file_prefix, self.positions)
keys = self.ref2order.keys()
if len(keys) > 1:
keys.sort()
for key in keys:
iorder = self.ref2order[key]
if len(iorder.conditionals)>0:
self.ref2order[key].conditionals = dict([(self.ref2order[o_id], iorder.conditionals[o_id])
for o_id in iorder.conditionals])
self.ref2trade = order.load_trade_list(self.scur_day, file_prefix)
for trade_id in self.ref2trade:
etrade = self.ref2trade[trade_id]
orderdict = etrade.order_dict
for inst in orderdict:
etrade.order_dict[inst] = [ self.ref2order[order_ref] for order_ref in orderdict[inst] ]
etrade.update()
for strat_name in self.strat_list:
strat = self.strategies[strat_name]
strat.initialize()
strat_trades = [etrade for etrade in self.ref2trade.values() if (etrade.strategy == strat.name) \
and (etrade.status != order.ETradeStatus.StratConfirm)]
for trade in strat_trades:
strat.add_live_trades(trade)
for inst in self.positions:
self.positions[inst].re_calc()
self.calc_margin()
self.initialized = True
self.eventEngine.start()
def check_qry_commands(self, event):
self.timer_count += 1
if len(self.qry_commands)>0:
self.qry_commands[0]()
del self.qry_commands[0]
self.logger.debug(u'查询命令序列长度:%s' % (len(self.qry_commands),))
def check_price_limit(self, inst, num_tick):
inst_obj = self.instruments[inst]
tick_base = inst_obj.tick_base
if (inst_obj.ask_price1 >= inst_obj.up_limit - num_tick * tick_base) or (inst_obj.bid_price1 <= inst_obj.down_limit + num_tick * tick_base):
return True
else:
return False
def get_eod_positions(self):
file_prefix = self.folder
pos_date = self.scur_day
logfile = file_prefix + 'EOD_Pos_' + pos_date.strftime('%y%m%d')+'.csv'
if not os.path.isfile(logfile):
pos_date = workdays.workday(pos_date, -1, CHN_Holidays)
logfile = file_prefix + 'EOD_Pos_' + pos_date.strftime('%y%m%d')+'.csv'
if not os.path.isfile(logfile):
return False
else:
self.eod_flag = True
self.logger.debug('Starting; getting EOD position for %s' % pos_date.strftime('%y%m%d'))
with open(logfile, 'rb') as f:
reader = csv.reader(f)
for idx, row in enumerate(reader):
if row[0] == 'capital':
self.prev_capital = float(row[1])
self.logger.debug('getting prev EOD capital = %s' % row[1])
elif row[0] == 'pos':
inst = row[1]
if inst in self.positions:
self.positions[inst].pos_yday.long = int(row[2])
self.positions[inst].pos_yday.short = int(row[3])
self.instruments[inst].prev_close = float(row[4])
self.logger.debug('getting prev EOD pos = %s: long=%s, short=%s, price=%s' % (row[1], row[2], row[3], row[4]))
return True
def save_eod_positions(self):
file_prefix = self.folder
logfile = file_prefix + 'EOD_Pos_' + self.scur_day.strftime('%y%m%d')+'.csv'
self.logger.info('EOD process: saving EOD position for %s' % self.scur_day.strftime('%y%m%d'))
if os.path.isfile(logfile):
self.logger.info('EOD position file for %s already exists' % self.scur_day.strftime('%y%m%d'))
return False
else:
with open(logfile,'wb') as log_file:
file_writer = csv.writer(log_file, delimiter=',', quotechar='|', quoting=csv.QUOTE_MINIMAL);
for inst in self.positions:
pos = self.positions[inst]
pos.re_calc()
self.calc_margin()
file_writer.writerow(['capital', self.curr_capital])
for inst in self.positions:
price = self.instruments[inst].price
pos = self.positions[inst]
file_writer.writerow(['pos', inst, pos.curr_pos.long, pos.curr_pos.short, price])
return True
def calc_margin(self):
locked_margin = 0
used_margin = 0
yday_pnl = 0
tday_pnl = 0
for instID in self.instruments:
inst = self.instruments[instID]
pos = self.positions[instID]
under_price = 0.0
if (inst.ptype == instrument.ProductType.Option):