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agent.py
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agent.py
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#-*- coding:utf-8 -*-
import workdays
import json
import datetime
import logging
import bisect
import os
import dbaccess
import trade
import trade_manager
import instrument
import data_handler
import ctp
from gateway import *
from base import *
from misc import *
from event_type import *
from event_engine import *
min_data_list = ['datetime', 'date', 'min_id', 'bar_id', 'open', 'high','low', 'close', 'volume', 'openInterest', 'tick_min']
day_data_list = ['date', 'open', 'high','low', 'close', 'volume', 'openInterest']
dtype_map = {'date': 'datetime64[D]',
'datetime': 'datetime64[ms]',
'open': 'float',
'close': 'float',
'high': 'float',
'low': 'float',
'volume': 'int',
'openInterest': 'int',
'min_id': 'int',
'bar_id': 'int',
'tick_min': 'int',
}
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
class MktDataMixin(object):
def __init__(self, config):
self.tick_data = {}
self.day_data = {}
self.min_data = {}
self.cur_min = {}
self.cur_day = {}
self.day_data_func = {}
self.min_data_func = {}
self.daily_data_days = config.get('daily_data_days', 25)
self.min_data_days = config.get('min_data_days', 1)
self.db_conn = None
if 'min_func' in config:
self.get_min_id = eval(config['min_func'])
else:
self.get_min_id = lambda x: int(x/1000)
if 'bar_func' in config:
self.conv_bar_id = eval(config['bar_func'])
else:
self.conv_bar_id = data_handler.bar_conv_func2
self.tick_db_table = config.get('tick_db_table', 'fut_tick')
self.min_db_table = config.get('min_db_table', 'fut_min')
self.daily_db_table = config.get('daily_db_table', 'fut_daily')
self.calc_func_dict = {}
def add_instrument(self, name):
self.tick_data[name] = []
dtypes = [(field, dtype_map[field]) for field in day_data_list]
self.day_data[name] = data_handler.DynamicRecArray(dtype = dtypes)
dtypes = [(field, dtype_map[field]) for field in min_data_list]
self.min_data[name] = {1: data_handler.DynamicRecArray(dtype = dtypes)}
self.cur_day[name] = dict([(item, 0) for item in day_data_list])
self.cur_min[name] = dict([(item, 0) for item in min_data_list])
self.day_data_func[name] = []
self.min_data_func[name] = {}
self.cur_min[name]['datetime'] = datetime.datetime.fromordinal(self.scur_day.toordinal())
self.cur_min[name]['date'] = self.scur_day
self.cur_day[name]['date'] = self.scur_day
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 (fobj != None) and (fobj.name not in self.calc_func_dict):
self.calc_func_dict[fobj.name] = fobj
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(self.calc_func_dict[fobj.name])
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(self.calc_func_dict[fobj.name])
def update_min_bar(self, tick):
inst = tick.instID
tick_dt = tick.timestamp
tick_id = tick.tick_id
tick_min = self.get_min_id(tick_id)
self.cur_min[inst]['tick_min'] = tick_min
if (self.cur_min[inst]['min_id'] > tick_min):
return False
if (self.cur_day[inst]['open'] == 0.0):
self.cur_day[inst]['open'] = tick.price
self.cur_day[inst]['close'] = tick.price
self.cur_day[inst]['high'] = tick.high
self.cur_day[inst]['low'] = tick.low
self.cur_day[inst]['openInterest'] = tick.openInterest
self.cur_day[inst]['volume'] = tick.volume
self.cur_day[inst]['date'] = tick_dt.date()
for strat_name in self.inst2strat[inst]:
self.strategies[strat_name].run_tick(tick)
if (tick_min == self.cur_min[inst]['min_id']):
self.tick_data[inst].append(tick)
self.cur_min[inst]['close'] = tick.price
if self.cur_min[inst]['high'] < tick.price:
self.cur_min[inst]['high'] = tick.price
if self.cur_min[inst]['low'] > tick.price:
self.cur_min[inst]['low'] = tick.price
else:
last_vol = self.cur_min[inst]['volume']
if (len(self.tick_data[inst]) > 0):
last_tick = self.tick_data[inst][-1]
self.cur_min[inst]['volume'] = last_tick.volume - self.cur_min[inst]['volume']
self.cur_min[inst]['openInterest'] = last_tick.openInterest
last_vol = last_tick.volume
bar_id = self.min_switch(inst, False)
self.run_min(inst, bar_id)
self.tick_data[inst] = []
self.cur_min[inst] = {}
self.cur_min[inst]['open'] = self.cur_min[inst]['close'] = self.cur_min[inst]['high'] = self.cur_min[inst]['low'] = tick.price
self.cur_min[inst]['min_id'] = self.cur_min[inst]['tick_min'] = tick_min
self.cur_min[inst]['bar_id'] = bar_id
self.cur_min[inst]['volume'] = last_vol
self.cur_min[inst]['openInterest'] = tick.openInterest
self.cur_min[inst]['datetime'] = tick_dt.replace(second=0, microsecond=0)
self.cur_min[inst]['date'] = self.scur_day
if tick_min>0:
self.tick_data[inst].append(tick)
return True
def min_switch(self, inst, forced = False):
prev_bar = self.cur_min[inst]['bar_id']
bar_id = self.conv_bar_id(self.cur_min[inst]['tick_min'])
if self.cur_min[inst]['min_id'] == 0:
return bar_id
ra = self.min_data[inst][1]
if self.cur_min[inst]['high']>self.cur_min[inst]['low']:
ra.append_by_dict(self.cur_min[inst])
for m in sorted(self.min_data_func[inst]):
ra_m = self.min_data[inst][m]
if ((int(bar_id/m)>int(prev_bar/m)) or forced):
if m > 1:
if (int(prev_bar/m) == int(ra_m.data['bar_id'][-1]/m)) and (ra.data['date'][-1] == data_handler.conv_date(ra_m.data['date'][-1])):
ra_m.remove_lastn(1)
last_bar = ra_m.data['bar_id'][-1]
last_date = data_handler.conv_date(ra_m.data['date'][-1])
rlen = len(ra)
idx = 0
for i in range(rlen):
if (ra.data['date'][rlen-i-1] <= last_date) and (ra.data['bar_id'][rlen-i-1] <= last_bar):
idx = i
break
if idx > 0:
new_data = {'datetime':ra.data['datetime'][-idx], 'open':ra.data['open'][-idx], 'high':max(ra.data['high'][-idx:]), \
'low': min(ra.data['low'][-idx:]), 'close': ra.data['close'][-1],\
'volume': sum(ra.data['volume'][-idx:]), 'openInterest':ra.data['openInterest'][-1],\
'min_id': ra.data['min_id'][-1], 'bar_id': ra.data['bar_id'][-1], 'date':ra.data['date'][-1]}
if new_data['high'] > new_data['low']:
ra_m.append_by_dict(new_data)
for fobj in self.min_data_func[inst][m]:
fobj.rfunc(self.min_data[inst][m].data)
if self.save_flag:
event1 = Event(type=EVENT_DB_WRITE, priority = 500)
event1.dict['data'] = self.tick_data[inst]
event1.dict['type'] = EVENT_TICK
event1.dict['instID'] = inst
self.eventEngine.put(event1)
if self.cur_min[inst]['close'] > 0:
event2 = Event(type=EVENT_DB_WRITE, priority = 500)
event2.dict['data'] = self.cur_min[inst]
event2.dict['type'] = EVENT_MIN_BAR
event2.dict['instID'] = inst
self.eventEngine.put(event2)
return bar_id
def mkt_data_sod(self, tday):
for inst in self.instruments:
self.tick_data[inst] = []
self.cur_min[inst] = dict([(item, 0) for item in min_data_list])
self.cur_day[inst] = dict([(item, 0) for item in day_data_list])
self.cur_day[inst]['date'] = tday
self.cur_min[inst]['datetime'] = datetime.datetime.fromordinal(tday.toordinal())
def mkt_data_eod(self):
for inst in self.instruments:
if (len(self.tick_data[inst]) > 0) :
last_tick = self.tick_data[inst][-1]
self.cur_min[inst]['volume'] = last_tick.volume - self.cur_min[inst]['volume']
self.cur_min[inst]['openInterest'] = last_tick.openInterest
self.min_switch(inst, True)
if (self.cur_day[inst]['close']>0):
new_day = { key: self.cur_day[inst][key] for key in day_data_list }
self.day_data[inst].append_by_dict(new_day)
for fobj in self.day_data_func[inst]:
fobj.rfunc(self.day_data[inst].data)
if self.save_flag:
event = Event(type=EVENT_DB_WRITE, priority = 500)
event.dict['data'] = self.cur_day[inst]
event.dict['type'] = EVENT_MKTDATA_EOD
event.dict['instID'] = inst
self.eventEngine.put(event)
def write_mkt_data(self, event):
inst = event.dict['instID']
type = event.dict['type']
data = event.dict['data']
self.db_conn = dbaccess.connect(**dbaccess.dbconfig)
if type == EVENT_MIN_BAR:
dbaccess.insert_min_data(self.db_conn, inst, data, dbtable = self.min_db_table)
elif type == EVENT_TICK:
dbaccess.bulkinsert_tick_data(self.db_conn, inst, data, dbtable = self.tick_db_table)
elif type == EVENT_MKTDATA_EOD:
dbaccess.insert_daily_data(self.db_conn, inst, data, dbtable = self.daily_db_table)
else:
pass
self.db_conn.close()
def register_event_handler(self):
self.eventEngine.register(EVENT_DB_WRITE, self.write_mkt_data)
class Agent(MktDataMixin):
def __init__(self, config = {}, tday=datetime.date.today()):
'''
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.name = config.get('name', 'test_agent')
self.sched_commands = []
self.folder = str(config.get('folder', self.name + os.path.sep))
self.live_trading = config.get('live_trading', False)
self.realtime_tick_diff = config.get('realtime_tick_diff', 100)
self.logger = logging.getLogger()
self.eod_flag = False
self.save_flag = False
self.scur_day = tday
super(Agent, self).__init__(config)
self.event_period = config.get('event_period', 1.0)
self.eventEngine = PriEventEngine(self.event_period)
self.instruments = {}
self.positions = {}
self.gateways = {}
gateway_dict = config.get('gateway', {})
for gateway_name in gateway_dict:
gway_str = gateway_dict[gateway_name]['class']
str_list = gway_str.split('.')
gateway_class = __import__(str(str_list[0]), fromlist = [str(str_list[1])])
for mod_name in str_list[1:]:
gateway_class = getattr(gateway_class, mod_name)
self.add_gateway(gateway_class, gateway_name)
self.type2gateway = {}
self.inst2strat = {}
self.spread_data = {}
self.inst2spread = {}
self.inst2gateway = {}
self.strat_list = []
self.strategies = {}
self.trade_manager = trade_manager.TradeManager(self)
self.ref2order = {}
strat_files = config.get('strat_files', [])
for sfile in strat_files:
with open(sfile, 'r') as fp:
strat_conf = json.load(fp)
class_str = strat_conf['class']
strat_mod = class_str.split('.')
if len(strat_mod) > 1:
strat_class = getattr(__import__(str(strat_mod[0])), str(strat_mod[1]))
else:
strat_class = eval(class_str)
strat_args = strat_conf.get('config', {})
strat = strat_class(strat_args, self)
self.add_strategy(strat)
self.init_init() #init中的init,用于子类的处理
def register_event_handler(self):
for key in self.gateways:
gateway = self.gateways[key]
gateway.register_event_handler()
self.eventEngine.register(EVENT_DB_WRITE, self.write_mkt_data)
self.eventEngine.register(EVENT_LOG, self.log_handler)
self.eventEngine.register(EVENT_TICK, self.run_tick)
#self.eventEngine.register(EVENT_MIN_BAR, self.run_min)
self.eventEngine.register(EVENT_ETRADEUPDATE, self.trade_update)
self.eventEngine.register(EVENT_DAYSWITCH, self.day_switch)
self.eventEngine.register(EVENT_TIMER, self.check_commands)
def put_command(self, timestamp, command, arg = {} ): #按顺序插入
stamps = [tstamp for (tstamp,cmd, fargs) in self.sched_commands]
ii = bisect.bisect(stamps, timestamp)
self.sched_commands.insert(ii,(timestamp, command, arg))
def check_commands(self, event):
l = len(self.sched_commands)
curr_time = datetime.datetime.now()
i = 0
while(i<l and curr_time >= self.sched_commands[i][0]):
logging.info(u'exec command:,i=%s,time=%s,command[i][1]=%s' % (i, curr_time, self.sched_commands[i][1].__name__))
arg = self.sched_commands[i][2]
self.sched_commands[i][1](**arg)
i += 1
if i>0:
del self.sched_commands[0:i]
def gateway_map(self, instID):
exch = self.instruments[instID].exchange
if exch in ['CZCE', 'DCE', 'SHFE', 'CFFEX', 'INE',]:
for key in self.gateways:
gateway = self.gateways[key]
gway_class = type(gateway).__name__
if ('ctp' in gway_class) or ('Ctp' in gway_class):
return gateway
return None
def add_instrument(self, name):
if name not in self.instruments:
if name.isdigit():
if len(name) == 8:
self.instruments[name] = instrument.StockOptionInst(name)
else:
self.instruments[name] = instrument.Stock(name)
else:
if len(name) > 8:
self.instruments[name] = instrument.FutOptionInst(name)
else:
self.instruments[name] = instrument.Future(name)
self.instruments[name].update_param(self.scur_day)
if name not in self.inst2strat:
self.inst2strat[name] = {}
if name not in self.inst2gateway:
gateway = self.gateway_map(name)
if gateway != None:
self.inst2gateway[name] = gateway
subreq = VtSubscribeReq()
subreq.symbol = name
subreq.exchange = self.instruments[name].exchange
subreq.productClass = self.instruments[name].ptype
subreq.currency = self.instruments[name].ccy
subreq.expiry = self.instruments[name].expiry
gateway.subscribe(subreq)
else:
self.logger.warning("No Gateway is assigned to instID = %s" % name)
super(Agent, self).add_instrument(name)
def add_spread(self, instIDs, weights, multiple = None):
key = '_'.join([str(s) for s in instIDs + weights])
self.spread_data[key] = instrument.SpreadInst(self.instruments, instIDs, weights, multiple)
self.spread_data[key].update()
for inst in instIDs:
if inst not in self.inst2spread:
self.inst2spread[inst] = []
self.inst2spread[inst].append(key)
return self.spread_data[key]
def get_underlying(self, instIDs, weights, multiple = None):
if len(instIDs) == 1:
key = instIDs[0]
return self.instruments[key]
else:
key = '_'.join([str(s) for s in instIDs + weights])
if key not in self.spread_data:
self.add_spread(instIDs, weights, multiple)
return self.spread_data[key]
def add_strategy(self, strat):
if strat.name not in self.strat_list:
self.strat_list.append(strat.name)
self.strategies[strat.name] = strat
for instID in strat.dep_instIDs():
self.add_instrument(instID)
self.inst2strat[instID][strat.name] = []
strat.set_agent(self)
def add_gateway(self, gateway, gateway_name=None):
"""创建接口"""
if gateway_name not in self.gateways:
self.gateways[gateway_name] = gateway(self, gateway_name)
def connect(self, gateway_name):
"""连接特定名称的接口"""
if gateway_name in self.gateways:
gateway = self.gateways[gateway_name]
gateway.connect()
else:
self.logger.warning(u'接口不存在:%s' % gateway_name)
#----------------------------------------------------------------------
def subscribe(self, subscribeReq, gateway_name):
"""订阅特定接口的行情"""
if gateway_name in self.gateways:
gateway = self.gateways[gateway_name]
gateway.subscribe(subscribeReq)
else:
self.logger.warning(u'接口不存在:%s' %gateway_name)
#----------------------------------------------------------------------
def send_order(self, iorder, urgent = 1):
"""对特定接口发单"""
gateway = self.inst2gateway[iorder.instrument]
gateway.add_order(iorder)
if urgent:
gateway.sendOrder(iorder)
#----------------------------------------------------------------------
def cancel_order(self, iorder):
"""对特定接口撤单"""
if iorder.gateway != None:
iorder.gateway.cancelOrder(iorder)
else:
self.logger.warning(u'接口不存在')
def submit_trade(self, xtrade):
self.trade_manager.add_trade(xtrade)
def remove_trade(self, xtrade):
self.trade_manager.remove_trade(xtrade)
def log_handler(self, event):
lvl = event.dict['level']
self.logger.log(lvl, event.dict['data'])
def get_eod_positions(self):
for name in self.gateways:
self.gateways[name].load_local_positions(self.scur_day)
def get_all_orders(self):
self.ref2order = {}
if self.eod_flag:
return
for name in self.gateways:
gway = self.gateways[name]
gway.load_order_list(self.scur_day)
order_dict = gway.id2order
for local_id in order_dict:
iorder = order_dict[local_id]
iorder.gateway = gway
self.ref2order[iorder.order_ref] = iorder
def risk_by_strats(self, risk_list = ['ppos']):
# position = lots, delta, gamma, vega, theta in price
risk_dict = {}
sum_risk = dict([(inst, dict([(risk, 0) for risk in risk_list])) for inst in self.instruments])
for strat_name in self.strat_list:
strat = self.strategies[strat_name]
risk_dict[strat_name] = strat.risk_agg(risk_list)
for inst in risk_dict[strat_name]:
for risk in risk_list:
sum_risk[inst][risk] += risk_dict[strat_name][inst][risk]
return sum_risk, risk_dict
def prepare_data_env(self, inst, mid_day = True):
if self.instruments[inst].ptype == instrument.ProductType.Option:
return
self.db_conn = dbaccess.connect(**dbaccess.dbconfig)
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
ddf = dbaccess.load_daily_data_to_df(self.db_conn, 'fut_daily', inst, daily_start, daily_end, index_col = None)
if len(ddf) > 0:
self.instruments[inst].price = self.instruments[inst].mid_price = ddf['close'].iloc[-1]
self.instruments[inst].last_update = 0
self.instruments[inst].prev_close = ddf['close'].iloc[-1]
for fobj in self.day_data_func[inst]:
ts = fobj.sfunc(ddf)
if type(ts).__name__ == 'Series':
if ts.name in ddf.columns:
self.logger.warning('TimeSeries name %s is already in the columns for inst = %s' % (ts.name, inst))
ddf[ts.name]= ts
elif type(ts).__name__ == 'DataFrame':
for col_name in ts.columns:
if col_name in ddf.columns:
self.logger.warning('TimeSeries name %s is already in the columns for inst = %s' % (col_name, inst))
ddf[col_name] = ts[col_name]
self.day_data[inst] = data_handler.DynamicRecArray(dataframe = ddf)
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
min_start = int(self.instruments[inst].start_tick_id/1000)
min_end = int(self.instruments[inst].last_tick_id/1000)+1
mdf = dbaccess.load_min_data_to_df(self.db_conn, 'fut_min', inst, d_start, d_end, minid_start=min_start, minid_end=min_end, index_col = None)
mdf = cleanup_mindata(mdf, self.instruments[inst].product, index_col = None)
mdf['bar_id'] = self.conv_bar_id(mdf['min_id'])
if len(mdf)>0:
min_date = mdf['date'].iloc[-1]
if (len(self.day_data[inst])==0) or (min_date > self.day_data[inst].data['date'][-1]):
ddf = data_handler.conv_ohlc_freq(mdf, 'd', index_col = None)
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(*mdf['datetime'].iloc[-1].timetuple()[0:-3])
self.cur_min[inst]['date'] = mdf['date'].iloc[-1]
self.cur_min[inst]['open'] = float(mdf['open'].iloc[-1])
self.cur_min[inst]['close'] = float(mdf['close'].iloc[-1])
self.cur_min[inst]['high'] = float(mdf['high'].iloc[-1])
self.cur_min[inst]['low'] = float(mdf['low'].iloc[-1])
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(mdf['min_id'].iloc[-1])
self.cur_min[inst]['bar_id'] = self.conv_bar_id(self.cur_min[inst]['min_id'])
self.instruments[inst].price = self.instruments[inst].mid_price = float(mdf['close'].iloc[-1])
self.instruments[inst].last_update = 0
#self.logger.debug('inst=%s tick data loaded for date=%s' % (inst, min_date))
if 1 not in self.min_data_func[inst]:
self.min_data[inst][1] = data_handler.DynamicRecArray(dataframe = mdf)
for m in sorted(self.min_data_func[inst]):
if m != 1:
mdf_m = data_handler.conv_ohlc_freq(mdf, str(m)+'min', index_col = None, bar_func = self.conv_bar_id, extra_cols = ['bar_id'])
else:
mdf_m = mdf
for fobj in self.min_data_func[inst][m]:
ts = fobj.sfunc(mdf_m)
if type(ts).__name__ == 'Series':
if ts.name in mdf_m.columns:
self.logger.warning('TimeSeries name %s is already in the columns for inst = %s' % (ts.name, inst))
mdf_m[ts.name]= ts
elif type(ts).__name__ == 'DataFrame':
for col_name in ts.columns:
if col_name in mdf_m.columns:
self.logger.warning('TimeSeries name %s is already in the columns for inst = %s' % (col_name, inst))
mdf_m[col_name] = ts[col_name]
self.min_data[inst][m] = data_handler.DynamicRecArray(dataframe = mdf_m)
#print inst, self.min_data[inst][m].data['date'][-1] < self.cur_min[inst]['date']
self.db_conn.close()
def restart(self):
self.logger.debug('Prepare trade environment for %s' % self.scur_day.strftime('%y%m%d'))
for inst in self.instruments:
self.prepare_data_env(inst, mid_day = True)
self.get_eod_positions()
self.get_all_orders()
self.trade_manager.initialize()
for strat_name in self.strat_list:
strat = self.strategies[strat_name]
strat.initialize()
strat_trades = self.trade_manager.get_trades_by_strat(strat.name)
for xtrade in strat_trades:
if xtrade.status != trade.TradeStatus.StratConfirm:
strat.add_live_trades(xtrade)
for gway in self.gateways:
gateway = self.gateways[gway]
if not self.eod_flag:
for inst in gateway.positions:
gateway.positions[inst].re_calc()
gateway.calc_margin()
gateway.connect()
self.eventEngine.start()
def save_state(self):
if not self.eod_flag:
self.logger.debug(u'保存执行状态.....................')
for gway in self.gateways:
self.gateways[gway].save_order_list(self.scur_day)
self.trade_manager.save_trade_list(self.scur_day, self.trade_manager.ref2trade, self.folder)
def run_eod(self):
if self.eod_flag:
return
print 'run EOD process'
self.mkt_data_eod()
if len(self.strat_list) == 0:
self.eod_flag = True
return
self.trade_manager.day_finalize(self.scur_day, self.folder)
for strat_name in self.strat_list:
strat = self.strategies[strat_name]
strat.day_finalize()
for name in self.gateways:
self.gateways[name].day_finalize(self.scur_day)
self.eod_flag = True
self.ref2order = {}
for inst in self.instruments:
self.instruments[inst].prev_close = self.cur_day[inst]['close']
self.instruments[inst].volume = 0
def day_switch(self, event):
newday = event.dict['date']
if newday <= self.scur_day:
return
self.logger.info('switching the trading day from %s to %s, reset tick_id=%s to 0' % (self.scur_day, newday, self.tick_id))
if not self.eod_flag:
self.run_eod()
self.scur_day = newday
self.tick_id = 0
self.timer_count = 0
super(Agent, self).mkt_data_sod(newday)
self.eod_flag = False
eod_time = datetime.datetime.combine(newday, datetime.time(15, 20, 0))
self.put_command(eod_time, self.run_eod)
def init_init(self): #init中的init,用于子类的处理
self.register_event_handler()
def update_instrument(self, tick):
inst = tick.instID
curr_tick = tick.tick_id
if (self.instruments[inst].exchange == 'CZCE') and (self.instruments[inst].last_update == tick.tick_id) and \
((self.instruments[inst].volume < tick.volume) or (self.instruments[inst].ask_vol1 != tick.askVol1) or \
(self.instruments[inst].bid_vol1 != tick.bidVol1)):
if tick.tick_id % 10 < 5:
tick.tick_id += 5
tick.timestamp = tick.timestamp + datetime.timedelta(milliseconds=500)
self.tick_id = max(curr_tick, self.tick_id)
self.instruments[inst].up_limit = tick.upLimit
self.instruments[inst].down_limit = tick.downLimit
tick.askPrice1 = min(tick.askPrice1, tick.upLimit)
tick.bidPrice1 = max(tick.bidPrice1, tick.downLimit)
self.instruments[inst].last_update = curr_tick
self.instruments[inst].bid_price1 = tick.bidPrice1
self.instruments[inst].ask_price1 = tick.askPrice1
self.instruments[inst].mid_price = (tick.askPrice1 + tick.bidPrice1)/2.0
if (self.instruments[inst].mid_price > tick.upLimit) or (self.instruments[inst].mid_price < tick.downLimit):
return False
self.instruments[inst].bid_vol1 = tick.bidVol1
self.instruments[inst].ask_vol1 = tick.askVol1
self.instruments[inst].open_interest = tick.openInterest
last_volume = self.instruments[inst].volume
if tick.volume > last_volume:
self.instruments[inst].price = tick.price
self.instruments[inst].volume = tick.volume
self.instruments[inst].last_traded = curr_tick
if inst in self.inst2spread:
for spd_key in self.inst2spread[inst]:
self.spread_data[spd_key].update()
return True
def run_tick(self, event):#行情处理主循环
tick = event.dict['data']
if self.live_trading:
now_ticknum = get_tick_num(datetime.datetime.now())
cur_ticknum = get_tick_num(tick.timestamp)
if abs(cur_ticknum - now_ticknum)> self.realtime_tick_diff:
self.logger.warning('the tick timestamp has more than 10sec diff from the system time, inst=%s, ticknum= %s, now_ticknum=%s' % (tick.instID, cur_ticknum, now_ticknum))
if not self.update_instrument(tick):
return
inst = tick.instID
if inst in self.inst2spread:
for key in self.inst2spread[inst]:
self.trade_manager.check_pending_trades(key)
self.trade_manager.check_pending_trades(inst)
self.update_min_bar(tick)
if inst in self.inst2spread:
for key in self.inst2spread[inst]:
self.trade_manager.process_trades(key)
self.trade_manager.process_trades(inst)
gway = self.inst2gateway[inst]
if gway.process_flag:
gway.send_queued_orders()
def run_min(self, inst, bar_id):
for strat_name in self.inst2strat[inst]:
for m in self.inst2strat[inst][strat_name]:
if bar_id % m == 0:
self.strategies[strat_name].run_min(inst, m)
def trade_update(self, event):
trade_ref = event.dict['trade_ref']
mytrade = self.trade_manager.get_trade(trade_ref)
if mytrade == None:
self.logger.warning("get trade update for trade_id = %s, but it is not in the trade list" % trade_ref)
return
status = mytrade.refresh()
if status in trade.Alive_Trade_Status:
mytrade.execute()
self.save_state()
def run_gway_service(self, gway, service, args):
if gway in self.gateways:
gateway = self.gateways[gway]
svc_func = service
if hasattr(gateway, svc_func):
ts = datetime.datetime.now()
self.put_command(ts, getattr(gateway, svc_func), args)
else:
print "no such service = % for %s" % (service, gway)
else:
print "no such a gateway %s" % gway
def exit(self):
"""退出"""
# 停止事件驱动引擎
self.eventEngine.stop()
self.logger.info('stopped the engine, exiting the agent ...')
self.save_state()
for strat_name in self.strat_list:
strat = self.strategies[strat_name]
strat.save_state()
for name in self.gateways:
gateway = self.gateways[name]
gateway.close()
gateway.mdApi = None
gateway.tdApi = None
if __name__=="__main__":
pass