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strat_dtchan_addon.py
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strat_dtchan_addon.py
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#-*- coding:utf-8 -*-
from base import *
from misc import *
import logging
import data_handler as dh
import copy
from strategy import *
class DTSplitChanAddon(Strategy):
common_params = dict({'open_period': [300, 2115], 'channel_keys': ['DONCH_HH', 'DONCH_LL'], \
'daily_close_buffer': 3, 'price_limit_buffer': 5}, \
**Strategy.common_params)
asset_params = dict({'lookbacks': 1, 'ratios': 1.0, 'freq': 1, 'channels': 20, 'ma_chan': 0, 'trend_factor': 0.0, \
'vol_ratio': [1.0, 1.0], 'price_mode': 'HL', 'min_rng': 0.004}, **Strategy.asset_params)
def __init__(self, config, agent = None):
Strategy.__init__(self, config, agent)
numAssets = len(self.underliers)
self.cur_rng = [0.0] * numAssets
self.chan_high = [-1000000.0] * numAssets
self.chan_low = [1000000.0] * numAssets
self.tday_open = [0.0] * numAssets
self.ma_level = [0.0] * numAssets
self.tick_base = [0.0] * numAssets
self.open_idx = [0] * numAssets
self.max_pos = [1] * numAssets
def register_func_freq(self):
for under, chan, machan in zip(self.underliers, self.channels, self.ma_chan):
if chan > 0:
for infunc in self.data_func:
name = infunc[0]
sfunc = eval(infunc[1])
rfunc = eval(infunc[2])
if len(infunc) > 3:
fargs = infunc[3]
else:
fargs = {}
fobj = BaseObject(name = name + str(chan), sfunc = fcustom(sfunc, n = chan, **fargs), rfunc = fcustom(rfunc, n = chan, **fargs))
self.agent.register_data_func(under[0], 'd', fobj)
if machan > 0:
fobj = BaseObject(name = "MA_CLOSE_" + str(machan), sfunc = fcustom(dh.MA, n = machan), rfunc = fcustom(dh.ma, n = machan))
self.agent.register_data_func(under[0], 'd', fobj)
def register_bar_freq(self):
for idx, under in enumerate(self.underliers):
inst = under[0]
self.agent.inst2strat[inst][self.name].append(1)
if self.freq[idx] > 1:
self.agent.inst2strat[inst][self.name].append(self.freq[idx])
def initialize(self):
self.load_state()
for idx, underlier in enumerate(self.underliers):
inst = underlier[0]
self.max_pos[idx] = sum(v > 0.0 for v in self.vol_ratio[idx])
self.tick_base[idx] = self.agent.instruments[inst].tick_base
min_id = self.agent.instruments[inst].last_tick_id/1000
min_id = int(min_id/100)*60 + min_id % 100 - self.daily_close_buffer
self.last_min_id[idx] = int(min_id/60)*100 + min_id % 60
ddf = self.agent.day_data[inst].data
mdf = self.agent.min_data[inst][1].data
min_date = mdf['date'][-1]
last_date = ddf['date'][-1]
if self.channels[idx]>0:
key = self.channel_keys[0] + str(self.channels[idx])
self.chan_high[idx] = ddf[key][-1]
key = self.channel_keys[1] + str(self.channels[idx])
self.chan_low[idx] = ddf[key][-1]
if self.ma_chan[idx]>0:
self.ma_level[idx] = ddf['MA_CLOSE_'+str(self.ma_chan[idx])][-1]
if last_date < min_date:
last_min = mdf['min_id'][-1]
pid = 0
for i in range(1, len(self.open_period)):
if self.open_period[i] > last_min:
pid = i - 1
break
self.open_idx[idx] = pid
midx = len(mdf)-1
for i in range(len(mdf)-2, -1, -1):
if (mdf['date'][i] < min_date) or (mdf['min_id'][i] < self.open_period[pid]):
midx = i + 1
break
self.tday_open[idx] = mdf['open'][midx]
df = mdf[:midx]
else:
self.tday_open[idx] = mdf['close'][-1]
self.open_idx[idx] = 0
df = mdf
self.recalc_rng(idx, df)
self.update_trade_unit()
self.save_state()
def recalc_rng(self, idx, df):
split_arr = dh.array_split_by_bar(df, split_list = self.open_period, field = 'min_id')
win = int(self.lookbacks[idx])
ddf = split_arr.data
if win > 0:
self.cur_rng[idx] = max(max(ddf['high'][-win:])- min(ddf['close'][-win:]), \
max(ddf['close'][-win:]) - min(ddf['low'][-win:]))
elif win == 0:
self.cur_rng[idx] = max(max(ddf['high'][-2:])- min(ddf['close'][-2:]), \
max(ddf['close'][-2:]) - min(ddf['low'][-2:]))
self.cur_rng[idx] = max(self.cur_rng[idx] * 0.5, ddf['high'][-1]-ddf['close'][-1], \
ddf['close'][-1]-ddf['low'][-1])
else:
self.cur_rng[idx] = max(ddf['high'][-1] - ddf['low'][-1], abs(ddf['close'][-1] - ddf['close'][-2]))
def save_local_variables(self, file_writer):
pass
def load_local_variables(self, row):
pass
def on_bar(self, idx, freq):
inst = self.underliers[idx][0]
min_id = self.agent.cur_min[inst]['min_id']
curr_min = self.agent.cur_min[inst]['tick_min']
for i in range(self.open_idx[idx], len(self.open_period)-1):
if (self.open_period[i+1] > curr_min):
self.open_idx[idx] = i
break
pid = self.open_idx[idx]
if (self.open_period[pid] > min_id) and (self.open_period[pid] <= curr_min):
self.tday_open[idx] = self.agent.instruments[inst].price
self.open_idx[idx] = pid
self.recalc_rng(idx, self.agent.min_data[inst][1].data)
if min_id < 300:
return False
if (self.freq[idx]>0) and (freq == self.freq[idx]):
inst = self.underliers[idx][0]
min_data = self.agent.min_data[inst][freq].data
if self.price_mode[idx] == 'HL':
buy_p = min_data['high'][-1]
sell_p = min_data['low'][-1]
elif self.price_mode[idx] == 'C':
buy_p = min_data['close'][-1]
sell_p = buy_p
elif self.price_mode[idx] == 'TP':
buy_p = (min_data['high'][-1] + min_data['low'][-1] + min_data['close'][-1])/3.0
sell_p = buy_p
else:
self.on_log('Unsupported price type for strat=%s inst=%s' % (self.name, inst), level = logging.WARNING)
save_status = self.check_trigger(idx, buy_p, sell_p)
return save_status
def on_tick(self, idx, ctick):
if self.freq[idx] == 0:
self.check_trigger(idx, self.curr_prices[idx], self.curr_prices[idx])
def check_trigger(self, idx, buy_price, sell_price):
save_status = False
if len(self.submitted_trades[idx]) > 0:
return save_status
inst = self.underliers[idx][0]
if (self.tday_open[idx] <= 0.0) or (self.cur_rng[idx] <= 0) or (self.curr_prices[idx] <= 0.001):
self.on_log("warning: open price =0.0 or range = 0.0 or curr_price=0 for inst=%s for stat = %s" % (inst, self.name), level = logging.WARNING)
return save_status
min_id = int(self.agent.instruments[inst].last_update/1000.0)
num_pos = len(self.positions[idx])
buysell = 0
if num_pos > self.max_pos[idx]:
self.on_log('something wrong - number of tradepos is more than max_pos=%s' % self.max_pos[idx], level = logging.WARNING)
return save_status
elif num_pos >= 1:
buysell = self.positions[idx][0].direction
tick_base = self.tick_base[idx]
t_open = self.tday_open[idx]
rng = max(self.cur_rng[idx] * self.ratios[idx], t_open * self.min_rng[idx])
up_fact = 1.0
dn_fact = 1.0
if (self.ma_chan[idx] > 0):
if (t_open < self.ma_level[idx]):
up_fact += self.trend_factor[idx]
else:
dn_fact += self.trend_factor[idx]
buy_trig = min( t_open + up_fact * rng, self.agent.instruments[inst].up_limit - self.price_limit_buffer * tick_base)
sell_trig = max( t_open - dn_fact * rng, self.agent.instruments[inst].down_limit + self.price_limit_buffer * tick_base)
if (min_id >= self.last_min_id[idx]):
if (buysell!=0) and (self.close_tday[idx]):
msg = 'DT to close position before EOD for inst = %s, direction=%s, num_pos=%s, current min_id = %s' \
% (inst, buysell, num_pos, min_id)
for tp in self.positions[idx]:
self.close_tradepos(idx, tp, self.curr_prices[idx] - buysell * tick_base)
self.status_notifier(msg)
save_status = True
return save_status
if ((buy_price >= buy_trig) and (buysell <0)) or ((sell_price <= sell_trig) and (buysell > 0)):
msg = 'DT to close position for inst = %s, open= %s, buy_trig=%s, sell_trig=%s, buy_price= %s, sell_price= %s, direction=%s, num_pos=%s' \
% (inst, t_open, buy_trig, sell_trig, buy_price, sell_price, buysell, num_pos)
for tp in self.positions[idx]:
self.close_tradepos(idx, tp, self.curr_prices[idx] - buysell * tick_base)
self.status_notifier(msg)
save_status = True
num_pos = 0
if (self.trade_unit[idx] <= 0):
return save_status
if (buy_price >= buy_trig):
buysell = 1
elif (sell_price <= sell_trig):
buysell = -1
else:
buysell = 0
if (buysell!=0) and (self.vol_ratio[idx][0]>0) and (num_pos == 0):
new_vol = int(self.trade_unit[idx] * self.vol_ratio[idx][0])
msg = 'DT to open position for inst = %s, open= %s, buy_trig=%s, sell_trig=%s, buy_price= %s, sell_price= %s, direction=%s, volume=%s' \
% (inst, t_open, buy_trig, sell_trig, buy_price, sell_price, buysell, new_vol)
self.open_tradepos(idx, buysell, self.curr_prices[idx] + buysell * tick_base, new_vol)
self.status_notifier(msg)
save_status = True
num_pos = 1
if (num_pos < self.max_pos[idx]) and (self.vol_ratio[idx][1]>0) and (((buysell > 0) and (buy_price >= self.chan_high[idx])) or ((buysell < 0) and (sell_price <= self.chan_low[idx]))):
addon_vol = int(self.vol_ratio[idx][1]*self.trade_unit[idx])
msg = 'DT to add position for inst = %s, high=%s, low=%s, buy= %s, sell= %s, direction=%s, volume=%s' \
% (inst, self.chan_high[idx], self.chan_low[idx], buy_price, sell_price, buysell, addon_vol)
self.open_tradepos(idx, buysell, self.curr_prices[idx] + buysell * tick_base, addon_vol)
self.status_notifier(msg)
save_status = True
return save_status