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1119 lines
38 KiB
1119 lines
38 KiB
5 months ago
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#!/usr/bin/env python
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# -*- coding: utf-8 -*-
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from queue import Queue
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from threading import Thread
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from nanomsg import Socket, SUB, PUSH, SUB_SUBSCRIBE, SOL_SOCKET, RCVTIMEO
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from datetime import datetime, timedelta, time
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import os
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import yaml
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import json
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from collections import defaultdict
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from copy import copy
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import traceback
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import importlib
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from typing import Any, Callable
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from pathlib import Path
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from ..api.ctp_constant import THOST_FTDC_PT_Net
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from ..common.constant import (
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EngineType, Exchange, Interval, Product, PRODUCT_CTP2VT, OPTIONTYPE_CTP2VT,
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EventType, MSG_TYPE, SYMBOL_TYPE
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)
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from ..common.datastruct import (
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Event, SubscribeRequest, OrderData, TradeData, TickData, BarData, PositionData,
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CtpOrderField, ContractData, AccountData, OrderRequest
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)
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from ..common.utility import extract_full_symbol, load_json, save_json
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from ..strategy.strategy_base import StrategyBase
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from ..data.rqdata import rqdata_client
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from ..data import database_manager
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from ..trade.portfolio_manager import OffsetConverter
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from ..engine.iengine import BaseEngine, EventEngine
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CtaTemplate = StrategyBase
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class StrategyEngine(BaseEngine):
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"""
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Send to and receive from msg server ,used for strategy
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"""
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config_filename = "config_server.yaml"
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setting_filename = "cta_strategy_setting.json"
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data_filename = "cta_strategy_data.json"
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# init
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def __init__(self, configfile: str = '', id: int = 1):
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super().__init__(event_engine=EventEngine(10))
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"""
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two sockets to send and recv msg
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"""
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self.__active = False
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self.id = os.getpid()
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self.engine_type = EngineType.LIVE
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self._recv_sock = Socket(SUB)
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self._send_sock = Socket(PUSH)
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self._handlers = defaultdict(list)
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if configfile:
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self.config_filename = configfile
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filepath = Path.cwd().joinpath("etc/" + self.config_filename)
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with open(filepath, encoding='utf8') as fd:
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self._config = yaml.load(fd)
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self.ordercount = 0
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# stragegy manage
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self.strategy_setting = {} # strategy_name: dict
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self.strategy_data = {} # strategy_name: dict
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self.classes = {} # class_name: stategy_class
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self.strategies = {} # strategy_name: strategy
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# self.classes_id = {} # class_id : strategy
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# self.strategies_id = {} # strategy_ID: strategy
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self.symbol_strategy_map = defaultdict(
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list) # full_symbol: strategy list
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self.orderid_strategy_map = {} # vt_orderid: strategy
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self.strategy_orderid_map = defaultdict(
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set) # strategy_name: client_order_id list
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self.stop_order_count = 0 # for generating stop_orderid
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self.stop_orders = {} # stop_orderid: stop_order
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self.init_thread = None
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self.init_queue = Queue()
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# order,tick,position ,etc manage
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self.ticks = {}
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self.orders = {} # clientorder id list
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self.trades = {}
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self.positions = {}
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self.accounts = {}
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self.contracts = {}
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self.active_orders = {} # SQ id list
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self.rq_client = None
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self.rq_symbols = set()
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self.offset_converter = OffsetConverter(self)
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self.autoinited = False
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self.autostarted = False
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self.dayswitched = False
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self.init_engine()
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# init functions
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def init_engine(self):
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self.init_nng()
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self.init_rqdata()
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self.load_contract()
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self.load_strategy_class()
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self.load_strategy_setting()
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self.load_strategy_data()
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self.register_event()
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def init_nng(self):
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self._recv_sock.set_string_option(
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SUB, SUB_SUBSCRIBE, '') # receive msg start with all
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self._recv_sock.set_int_option(SOL_SOCKET, RCVTIMEO, 100)
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self._recv_sock.connect(self._config['serverpub_url'])
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self._send_sock.connect(self._config['serverpull_url'])
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def init_rqdata(self):
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result = rqdata_client.init()
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if result:
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self.write_log("RQData数据接口初始化成功")
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def load_contract(self):
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contractfile = Path.cwd().joinpath("etc/ctpcontract.yaml")
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with open(contractfile, encoding='utf8') as fc:
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contracts = yaml.load(fc)
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print('loading contracts, total number:', len(contracts))
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for sym, data in contracts.items():
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contract = ContractData(
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symbol=data["symbol"],
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exchange=Exchange(data["exchange"]),
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name=data["name"],
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product=PRODUCT_CTP2VT[str(data["product"])],
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size=data["size"],
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pricetick=data["pricetick"],
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net_position=True if str(
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data["positiontype"]) == THOST_FTDC_PT_Net else False,
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long_margin_ratio=data["long_margin_ratio"],
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short_margin_ratio=data["short_margin_ratio"],
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full_symbol=data["full_symbol"]
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)
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# For option only
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if contract.product == Product.OPTION:
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contract.option_underlying = data["option_underlying"],
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contract.option_type = OPTIONTYPE_CTP2VT.get(
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str(data["option_type"]), None),
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contract.option_strike = data["option_strike"],
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contract.option_expiry = datetime.strptime(
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str(data["option_expiry"]), "%Y%m%d"),
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self.contracts[contract.full_symbol] = contract
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def register_event(self):
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""""""
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self.event_engine.register(EventType.TICK, self.process_tick_event)
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self.event_engine.register(
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EventType.ORDERSTATUS, self.process_orderstatus_event)
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self.event_engine.register(EventType.FILL, self.process_trade_event)
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self.event_engine.register(
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EventType.POSITION, self.process_position_event)
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self.event_engine.register(
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EventType.ACCOUNT, self.process_account_event)
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self.event_engine.register(
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EventType.CONTRACT, self.process_contract_event)
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self.event_engine.register(
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EventType.STRATEGY_CONTROL, self.process_strategycontrol_event)
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self.event_engine.register(
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EventType.HEADER, self.process_general_event)
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self.event_engine.register(EventType.TIMER, self.process_timer_event)
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# event handler
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def process_timer_event(self, event):
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# auto init and start strategy at 8:57, 20:57
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nowtime = datetime.now().time()
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dayinitflag = (nowtime > time(hour=8, minute=55)) and (
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nowtime < time(hour=8, minute=56))
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daystartflag = (nowtime > time(hour=8, minute=57)) and (
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nowtime < time(hour=8, minute=58))
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nightinitflag = (nowtime > time(hour=20, minute=55)) and (
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nowtime < time(hour=20, minute=56))
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nightstartflag = (nowtime > time(hour=20, minute=57)) and (
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nowtime < time(hour=20, minute=58))
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if (dayinitflag or nightinitflag) and (not self.autoinited):
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for name, strategy in self.strategies.items():
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if strategy.autostart:
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self.init_strategy(name)
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self.dayswitched = False
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self.autoinited = True
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if (daystartflag or nightstartflag) and (not self.autostarted):
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for name, strategy in self.strategies.items():
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if strategy.autostart:
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self.start_strategy(name)
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self.autostarted = True
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self.dayswitched = False
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# auto stop strategy at 16:00 and 3:00
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if (nowtime > time(hour=16, minute=0)) and (nowtime < time(hour=16, minute=1)) and (not self.dayswitched):
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for name, strategy in self.strategies.items():
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if strategy.autostart:
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self.reset_strategy(name)
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self.dayswitched = True
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self.autostarted = False
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self.autoinited = False
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if (nowtime > time(hour=3, minute=0)) and (nowtime < time(hour=3, minute=1)) and (not self.dayswitched):
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for name, strategy in self.strategies.items():
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if strategy.autostart:
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self.reset_strategy(name)
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self.dayswitched = True
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self.autostarted = False
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self.autoinited = False
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def process_general_event(self, event):
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for name, strategy in self.strategies.items():
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self.call_strategy_func(strategy, strategy.on_headermsg, event)
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pass
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def process_tick_event(self, event: Event):
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""""""
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tick = event.data
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strategies = self.symbol_strategy_map[tick.full_symbol]
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if not strategies:
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return
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# self.check_stop_order(tick)
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for strategy in strategies:
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if strategy.inited:
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self.call_strategy_func(strategy, strategy.on_tick, tick)
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self.ticks[tick.full_symbol] = tick
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def process_orderstatus_event(self, event: Event):
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""""""
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order = event.data
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self.offset_converter.update_order(order) # 重新计算冻结
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if order.clientID != self.id:
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return
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self.orders[order.client_order_id] = order
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# If order is active, then update data in dict.
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if order.is_active():
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print('order is active')
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self.active_orders[order.client_order_id] = order
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# Otherwise, pop inactive order from in dict
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elif order.client_order_id in self.active_orders:
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self.active_orders.pop(order.client_order_id)
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strategy = self.orderid_strategy_map.get(order.client_order_id, None)
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if not strategy:
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print(order.client_order_id, 'dont find strategy')
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return
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# Remove client_order_id if order is no longer active.
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client_order_ids = self.strategy_orderid_map[strategy.strategy_name]
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if (order.client_order_id in client_order_ids) and (not order.is_active()):
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print('rm inactive order in strategy order map')
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client_order_ids.remove(order.client_order_id)
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# For server stop order, call strategy on_stop_order function
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# if order.type == OrderType.STOP:
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# so = StopOrder(
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# full_symbol=order.full_symbol,
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# direction=order.direction,
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# offset=order.offset,
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# price=order.price,
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# volume=order.volume,
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# stop_orderid=order.vt_orderid,
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# strategy_name=strategy.strategy_name,
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# status=STOP_STATUS_MAP[order.status],
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# vt_orderid=order.vt_orderid,
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# )
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# self.call_strategy_func(strategy, strategy.on_stop_order, so)
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# Call strategy on_order function
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self.call_strategy_func(strategy, strategy.on_order, order)
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def process_trade_event(self, event: Event):
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""""""
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trade = event.data
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self.offset_converter.update_trade(trade)
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if trade.clientID != self.id:
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return
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strategy = self.orderid_strategy_map.get(trade.client_order_id, None)
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if not strategy:
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return
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# if trade.direction == Direction.LONG:
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# strategy.pos += trade.volume
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# else:
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# strategy.pos -= trade.volume
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self.call_strategy_func(strategy, strategy.on_trade, trade)
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self.put_strategy_event(strategy)
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self.trades[trade.vt_tradeid] = trade
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# send qry pos to update position
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m = Event(type=EventType.QRY,
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des=event.source,
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src=str(self.id),
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msgtype=MSG_TYPE.MSG_TYPE_QRY_POS)
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self._send_sock.send(m.serialize())
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# self.put(m)
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def process_position_event(self, event: Event):
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""""""
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position = event.data
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self.offset_converter.update_position(position)
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self.positions[position.key] = position
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def process_account_event(self, event: Event):
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""""""
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account = event.data
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self.accounts[account.accountid] = account
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def process_contract_event(self, event: Event):
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""""""
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contract = event.data
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self.contracts[contract.full_symbol] = contract
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def process_strategycontrol_event(self, event: Event):
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msgtype = event.msg_type
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deslist = ['@*', str(self.id), '@' + str(self.id)]
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if (event.destination not in deslist):
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return
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elif (msgtype == MSG_TYPE.MSG_TYPE_STRATEGY_STATUS):
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m = Event(type=EventType.STRATEGY_CONTROL,
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des='@0',
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src=str(self.id),
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msgtype=MSG_TYPE.MSG_TYPE_STRATEGY_STATUS
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)
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self._send_sock.send(m.serialize())
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# elif (event.destination not in deslist ) :
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# return
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elif (msgtype == MSG_TYPE.MSG_TYPE_STRATEGY_ADD):
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v = event.data.split('|')
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classname = v[0]
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strname = v[1]
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fulsym = v[2]
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setting = json.loads(v[3])
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self.add_strategy(classname, strname, fulsym, setting)
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elif (msgtype == MSG_TYPE.MSG_TYPE_STRATEGY_INIT):
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self.init_strategy(event.data)
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||
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elif (msgtype == MSG_TYPE.MSG_TYPE_STRATEGY_INIT_ALL):
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self.init_all_strategies()
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|
|
elif (msgtype == MSG_TYPE.MSG_TYPE_STRATEGY_START):
|
||
|
|
self.start_strategy(event.data)
|
||
|
|
elif (msgtype == MSG_TYPE.MSG_TYPE_STRATEGY_START_ALL):
|
||
|
|
self.start_all_strategies()
|
||
|
|
elif (msgtype == MSG_TYPE.MSG_TYPE_STRATEGY_STOP):
|
||
|
|
self.stop_strategy(event.data)
|
||
|
|
elif (msgtype == MSG_TYPE.MSG_TYPE_STRATEGY_STOP_ALL):
|
||
|
|
self.stop_all_strategies()
|
||
|
|
elif (msgtype == MSG_TYPE.MSG_TYPE_STRATEGY_RELOAD):
|
||
|
|
self.classes.clear()
|
||
|
|
self.load_strategy_class(True)
|
||
|
|
elif (msgtype == MSG_TYPE.MSG_TYPE_STRATEGY_RESET):
|
||
|
|
self.reset_strategy(event.data)
|
||
|
|
elif (msgtype == MSG_TYPE.MSG_TYPE_STRATEGY_RESET_ALL):
|
||
|
|
self.reset_all_strategies()
|
||
|
|
elif (msgtype == MSG_TYPE.MSG_TYPE_STRATEGY_EDIT):
|
||
|
|
v = event.data.split('|')
|
||
|
|
setting = json.loads(v[1])
|
||
|
|
self.edit_strategy(v[0], setting)
|
||
|
|
elif (msgtype == MSG_TYPE.MSG_TYPE_STRATEGY_REMOVE):
|
||
|
|
if self.remove_strategy(event.data):
|
||
|
|
m = Event(type=EventType.STRATEGY_CONTROL,
|
||
|
|
data=event.data,
|
||
|
|
des='@0',
|
||
|
|
src=str(self.id),
|
||
|
|
msgtype=MSG_TYPE.MSG_TYPE_STRATEGY_RTN_REMOVE
|
||
|
|
)
|
||
|
|
self._send_sock.send(m.serialize())
|
||
|
|
elif (msgtype == MSG_TYPE.MSG_TYPE_STRATEGY_REMOVE_DUPLICATE):
|
||
|
|
self.remove_strategy(event.data, True)
|
||
|
|
elif (msgtype == MSG_TYPE.MSG_TYPE_STRATEGY_GET_DATA):
|
||
|
|
# print('begin get data')
|
||
|
|
if event.data:
|
||
|
|
strategy = self.strategies.get(event.data, None)
|
||
|
|
if strategy:
|
||
|
|
self.put_strategy_event(strategy)
|
||
|
|
else: # get all strategy data
|
||
|
|
for strategy in self.strategies.values():
|
||
|
|
self.put_strategy_event(strategy)
|
||
|
|
|
||
|
|
def call_strategy_func(
|
||
|
|
self, strategy: StrategyBase, func: Callable, params: Any = None
|
||
|
|
):
|
||
|
|
"""
|
||
|
|
Call function of a strategy and catch any exception raised.
|
||
|
|
"""
|
||
|
|
try:
|
||
|
|
if params:
|
||
|
|
func(params)
|
||
|
|
else:
|
||
|
|
func()
|
||
|
|
except Exception:
|
||
|
|
strategy.trading = False
|
||
|
|
strategy.inited = False
|
||
|
|
|
||
|
|
msg = f"触发异常已停止\n{traceback.format_exc()}"
|
||
|
|
self.write_log(msg, strategy)
|
||
|
|
# strategy manage
|
||
|
|
|
||
|
|
def add_strategy(
|
||
|
|
self, class_name: str, strategy_name: str, full_symbol: str, setting: dict
|
||
|
|
):
|
||
|
|
"""
|
||
|
|
Add a new strategy.
|
||
|
|
"""
|
||
|
|
print("begin add strategy")
|
||
|
|
if strategy_name in self.strategies:
|
||
|
|
self.write_log(f"创建策略失败，存在重名{strategy_name}")
|
||
|
|
return
|
||
|
|
if class_name not in self.classes:
|
||
|
|
self.write_log(
|
||
|
|
f'strategy class[{class_name}] not exist, please check')
|
||
|
|
return
|
||
|
|
strategy_class = self.classes[class_name]
|
||
|
|
|
||
|
|
strategy = strategy_class(self, strategy_name, full_symbol, setting)
|
||
|
|
self.strategies[strategy_name] = strategy
|
||
|
|
|
||
|
|
# Add full_symbol to strategy map.
|
||
|
|
strategies = self.symbol_strategy_map[full_symbol]
|
||
|
|
strategies.append(strategy)
|
||
|
|
# print("335 add strategy")
|
||
|
|
# Update to setting file.
|
||
|
|
self.update_strategy_setting(strategy_name, setting)
|
||
|
|
|
||
|
|
self.put_strategy_event(strategy)
|
||
|
|
print("end add strategy")
|
||
|
|
|
||
|
|
def init_strategy(self, strategy_name: str):
|
||
|
|
"""
|
||
|
|
Init a strategy.
|
||
|
|
"""
|
||
|
|
self.init_queue.put(strategy_name)
|
||
|
|
|
||
|
|
if not self.init_thread:
|
||
|
|
self.init_thread = Thread(target=self._init_strategy)
|
||
|
|
self.init_thread.start()
|
||
|
|
|
||
|
|
def _init_strategy(self):
|
||
|
|
"""
|
||
|
|
Init strategies in queue.
|
||
|
|
"""
|
||
|
|
while not self.init_queue.empty():
|
||
|
|
strategy_name = self.init_queue.get()
|
||
|
|
strategy = self.strategies[strategy_name]
|
||
|
|
|
||
|
|
if strategy.inited:
|
||
|
|
self.write_log(f"{strategy_name}已经完成初始化，禁止重复操作")
|
||
|
|
continue
|
||
|
|
|
||
|
|
self.write_log(f"{strategy_name}开始执行初始化")
|
||
|
|
|
||
|
|
# Call on_init function of strategy
|
||
|
|
self.call_strategy_func(strategy, strategy.on_init)
|
||
|
|
|
||
|
|
# Restore strategy data(variables)
|
||
|
|
data = self.strategy_data.get(strategy_name, None)
|
||
|
|
if data:
|
||
|
|
for name in strategy.variables:
|
||
|
|
value = data.get(name, None)
|
||
|
|
if value:
|
||
|
|
setattr(strategy, name, value)
|
||
|
|
|
||
|
|
# Subscribe market data
|
||
|
|
contract = self.get_contract(strategy.full_symbol)
|
||
|
|
if contract:
|
||
|
|
m = Event(type=EventType.SUBSCRIBE,
|
||
|
|
msgtype=MSG_TYPE.MSG_TYPE_SUBSCRIBE_MARKET_DATA)
|
||
|
|
m.destination = "CTP.MD"
|
||
|
|
m.source = str(self.id)
|
||
|
|
req = SubscribeRequest()
|
||
|
|
req.sym_type = SYMBOL_TYPE.CTP
|
||
|
|
req.content = contract.symbol
|
||
|
|
m.data = req
|
||
|
|
self._send_sock.send(m.serialize())
|
||
|
|
else:
|
||
|
|
self.write_log(f"行情订阅失败，找不到合约{strategy.full_symbol}", strategy)
|
||
|
|
|
||
|
|
# qry pos and acc
|
||
|
|
m = Event(type=EventType.QRY, msgtype=MSG_TYPE.MSG_TYPE_QRY_POS)
|
||
|
|
m.destination = strategy.api + '.' + strategy.account
|
||
|
|
m.source = str(self.id)
|
||
|
|
self._send_sock.send(m.serialize())
|
||
|
|
|
||
|
|
m = Event(type=EventType.QRY,
|
||
|
|
msgtype=MSG_TYPE.MSG_TYPE_QRY_ACCOUNT)
|
||
|
|
m.destination = strategy.api + '.' + strategy.account
|
||
|
|
m.source = str(self.id)
|
||
|
|
self._send_sock.send(m.serialize())
|
||
|
|
|
||
|
|
# Put event to update init completed status.
|
||
|
|
strategy.inited = True
|
||
|
|
self.put_strategy_event(strategy)
|
||
|
|
self.write_log(f"{strategy_name}初始化完成")
|
||
|
|
|
||
|
|
self.init_thread = None
|
||
|
|
|
||
|
|
def start_strategy(self, strategy_name: str):
|
||
|
|
"""
|
||
|
|
Start a strategy.
|
||
|
|
"""
|
||
|
|
strategy = self.strategies[strategy_name]
|
||
|
|
if not strategy.inited:
|
||
|
|
self.write_log(f"策略{strategy.strategy_name}启动失败，请先初始化")
|
||
|
|
return
|
||
|
|
|
||
|
|
if strategy.trading:
|
||
|
|
self.write_log(f"{strategy_name}已经启动，请勿重复操作")
|
||
|
|
return
|
||
|
|
|
||
|
|
# qry pos and acc
|
||
|
|
m = Event(type=EventType.QRY, msgtype=MSG_TYPE.MSG_TYPE_QRY_POS)
|
||
|
|
m.destination = strategy.api + '.' + strategy.account
|
||
|
|
m.source = str(self.id)
|
||
|
|
self._send_sock.send(m.serialize())
|
||
|
|
|
||
|
|
m = Event(type=EventType.QRY,
|
||
|
|
msgtype=MSG_TYPE.MSG_TYPE_QRY_ACCOUNT)
|
||
|
|
m.destination = strategy.api + '.' + strategy.account
|
||
|
|
m.source = str(self.id)
|
||
|
|
self._send_sock.send(m.serialize())
|
||
|
|
|
||
|
|
self.call_strategy_func(strategy, strategy.on_start)
|
||
|
|
strategy.trading = True
|
||
|
|
|
||
|
|
self.put_strategy_event(strategy)
|
||
|
|
|
||
|
|
def stop_strategy(self, strategy_name: str):
|
||
|
|
"""
|
||
|
|
Stop a strategy.
|
||
|
|
"""
|
||
|
|
strategy = self.strategies[strategy_name]
|
||
|
|
if not strategy.trading:
|
||
|
|
return
|
||
|
|
|
||
|
|
# Call on_stop function of the strategy
|
||
|
|
self.call_strategy_func(strategy, strategy.on_stop)
|
||
|
|
|
||
|
|
# Change trading status of strategy to False
|
||
|
|
strategy.trading = False
|
||
|
|
|
||
|
|
# Cancel all orders of the strategy
|
||
|
|
self.cancel_all(strategy)
|
||
|
|
|
||
|
|
# Update GUI
|
||
|
|
self.put_strategy_event(strategy)
|
||
|
|
|
||
|
|
def reset_strategy(self, strategy_name: str):
|
||
|
|
"Reset a strategy"
|
||
|
|
strategy = self.strategies[strategy_name]
|
||
|
|
if not strategy.inited:
|
||
|
|
return
|
||
|
|
# stop first
|
||
|
|
self.call_strategy_func(strategy, strategy.on_stop)
|
||
|
|
strategy.trading = False
|
||
|
|
self.cancel_all(strategy)
|
||
|
|
# reset
|
||
|
|
self.call_strategy_func(strategy, strategy.on_reset)
|
||
|
|
strategy.inited = False
|
||
|
|
|
||
|
|
self.put_strategy_event(strategy)
|
||
|
|
|
||
|
|
def edit_strategy(self, strategy_name: str, setting: dict):
|
||
|
|
"""
|
||
|
|
Edit parameters of a strategy.
|
||
|
|
"""
|
||
|
|
strategy = self.strategies[strategy_name]
|
||
|
|
strategy.update_setting(setting)
|
||
|
|
|
||
|
|
self.update_strategy_setting(strategy_name, setting)
|
||
|
|
self.put_strategy_event(strategy)
|
||
|
|
|
||
|
|
def remove_strategy(self, strategy_name: str, duplicate: bool = False):
|
||
|
|
"""
|
||
|
|
Remove a strategy.
|
||
|
|
"""
|
||
|
|
print("begin remove")
|
||
|
|
strategy = self.strategies[strategy_name]
|
||
|
|
if strategy.trading:
|
||
|
|
self.write_log(f"策略{strategy.strategy_name}移除失败，请先停止")
|
||
|
|
return
|
||
|
|
|
||
|
|
# Remove setting
|
||
|
|
if not duplicate:
|
||
|
|
self.remove_strategy_setting(strategy_name)
|
||
|
|
|
||
|
|
# Remove from symbol strategy map
|
||
|
|
strategies = self.symbol_strategy_map[strategy.full_symbol]
|
||
|
|
strategies.remove(strategy)
|
||
|
|
|
||
|
|
# Remove from active orderid map
|
||
|
|
if strategy_name in self.strategy_orderid_map:
|
||
|
|
orderids = self.strategy_orderid_map.pop(strategy_name)
|
||
|
|
|
||
|
|
# Remove vt_orderid strategy map
|
||
|
|
for _orderid in orderids:
|
||
|
|
if _orderid in self.orderid_strategy_map:
|
||
|
|
self.orderid_strategy_map.pop(_orderid)
|
||
|
|
|
||
|
|
# Remove from strategies
|
||
|
|
self.strategies.pop(strategy_name)
|
||
|
|
print("end remove")
|
||
|
|
return True
|
||
|
|
|
||
|
|
def load_strategy_class(self, reload: bool = False):
|
||
|
|
"""
|
||
|
|
Load strategy class from source code.
|
||
|
|
"""
|
||
|
|
# app_path = Path(__file__).parent.parent
|
||
|
|
# path1 = app_path.joinpath("cta_strategy", "strategies")
|
||
|
|
# self.load_strategy_class_from_folder(
|
||
|
|
# path1, "vnpy.app.cta_strategy.strategies")
|
||
|
|
|
||
|
|
path2 = Path.cwd().joinpath("mystrategy")
|
||
|
|
self.load_strategy_class_from_folder(path2, "", reload)
|
||
|
|
|
||
|
|
def load_strategy_class_from_folder(self, path: Path, module_name: str = "", reload: bool = False):
|
||
|
|
"""
|
||
|
|
Load strategy class from certain folder.
|
||
|
|
"""
|
||
|
|
for dirpath, dirnames, filenames in os.walk(path):
|
||
|
|
for filename in filenames:
|
||
|
|
if filename.endswith(".py"):
|
||
|
|
strategy_module_name = "mystrategy.".join(
|
||
|
|
[module_name, filename.replace(".py", "")])
|
||
|
|
self.load_strategy_class_from_module(
|
||
|
|
strategy_module_name, reload)
|
||
|
|
|
||
|
|
def load_strategy_class_from_module(self, module_name: str, reload: bool = False):
|
||
|
|
"""
|
||
|
|
Load strategy class from module file.
|
||
|
|
"""
|
||
|
|
try:
|
||
|
|
module = importlib.import_module(module_name)
|
||
|
|
# if reload delete old attribute
|
||
|
|
if reload:
|
||
|
|
for attr in dir(module):
|
||
|
|
if attr not in ('__name__', '__file__'):
|
||
|
|
delattr(module, attr)
|
||
|
|
importlib.reload(module)
|
||
|
|
for name in dir(module):
|
||
|
|
value = getattr(module, name)
|
||
|
|
if (isinstance(value, type) and issubclass(value, CtaTemplate) and value is not CtaTemplate):
|
||
|
|
self.classes[value.__name__] = value
|
||
|
|
except: # noqa
|
||
|
|
msg = f"策略文件{module_name}加载失败，触发异常：\n{traceback.format_exc()}"
|
||
|
|
self.write_log(msg)
|
||
|
|
|
||
|
|
def load_strategy_data(self):
|
||
|
|
"""
|
||
|
|
Load strategy data from json file.
|
||
|
|
"""
|
||
|
|
self.strategy_data = load_json(self.data_filename)
|
||
|
|
|
||
|
|
def sync_strategy_data(self, strategy: StrategyBase):
|
||
|
|
"""
|
||
|
|
Sync strategy data into json file.
|
||
|
|
"""
|
||
|
|
data = strategy.get_variables()
|
||
|
|
# Strategy status (inited, trading) should not be synced.
|
||
|
|
data.pop("inited")
|
||
|
|
data.pop("trading")
|
||
|
|
|
||
|
|
self.strategy_data = load_json(self.data_filename)
|
||
|
|
|
||
|
|
self.strategy_data[strategy.strategy_name] = data
|
||
|
|
save_json(self.data_filename, self.strategy_data)
|
||
|
|
|
||
|
|
def get_all_strategy_class_names(self):
|
||
|
|
"""
|
||
|
|
Return names of strategy classes loaded.
|
||
|
|
"""
|
||
|
|
return list(self.classes.keys())
|
||
|
|
|
||
|
|
def get_strategy_class_parameters(self, class_name: str):
|
||
|
|
"""
|
||
|
|
Get default parameters of a strategy class.
|
||
|
|
"""
|
||
|
|
strategy_class = self.classes[class_name]
|
||
|
|
|
||
|
|
parameters = {}
|
||
|
|
for name in strategy_class.parameters:
|
||
|
|
parameters[name] = getattr(strategy_class, name)
|
||
|
|
|
||
|
|
return parameters
|
||
|
|
|
||
|
|
def get_strategy_parameters(self, strategy_name):
|
||
|
|
"""
|
||
|
|
Get parameters of a strategy.
|
||
|
|
"""
|
||
|
|
strategy = self.strategies[strategy_name]
|
||
|
|
return strategy.get_parameters()
|
||
|
|
|
||
|
|
def init_all_strategies(self):
|
||
|
|
"""
|
||
|
|
"""
|
||
|
|
for strategy_name in self.strategies.keys():
|
||
|
|
self.init_strategy(strategy_name)
|
||
|
|
|
||
|
|
def start_all_strategies(self):
|
||
|
|
"""
|
||
|
|
"""
|
||
|
|
for strategy_name in self.strategies.keys():
|
||
|
|
self.start_strategy(strategy_name)
|
||
|
|
|
||
|
|
def stop_all_strategies(self):
|
||
|
|
"""
|
||
|
|
"""
|
||
|
|
for strategy_name in self.strategies.keys():
|
||
|
|
self.stop_strategy(strategy_name)
|
||
|
|
|
||
|
|
def reset_all_strategies(self):
|
||
|
|
for strategy_name in self.strategies.keys():
|
||
|
|
self.reset_strategy(strategy_name)
|
||
|
|
|
||
|
|
def load_strategy_setting(self):
|
||
|
|
"""
|
||
|
|
Load setting file.
|
||
|
|
"""
|
||
|
|
self.strategy_setting = load_json(self.setting_filename)
|
||
|
|
|
||
|
|
for strategy_name, strategy_config in self.strategy_setting.items():
|
||
|
|
self.add_strategy(
|
||
|
|
strategy_config["class_name"],
|
||
|
|
strategy_name,
|
||
|
|
strategy_config["full_symbol"],
|
||
|
|
strategy_config["setting"]
|
||
|
|
)
|
||
|
|
|
||
|
|
def update_strategy_setting(self, strategy_name: str, setting: dict):
|
||
|
|
"""
|
||
|
|
Update setting file.
|
||
|
|
"""
|
||
|
|
strategy = self.strategies[strategy_name]
|
||
|
|
# in order to save other engine's setting, should load again
|
||
|
|
self.strategy_setting = load_json(self.setting_filename)
|
||
|
|
self.strategy_setting[strategy_name] = {
|
||
|
|
"class_name": strategy.__class__.__name__,
|
||
|
|
"full_symbol": strategy.full_symbol,
|
||
|
|
"setting": setting,
|
||
|
|
}
|
||
|
|
|
||
|
|
save_json(self.setting_filename, self.strategy_setting)
|
||
|
|
|
||
|
|
def remove_strategy_setting(self, strategy_name: str):
|
||
|
|
"""
|
||
|
|
Update setting file.
|
||
|
|
"""
|
||
|
|
if strategy_name not in self.strategy_setting:
|
||
|
|
return
|
||
|
|
# in order to save other engine's setting, should load again
|
||
|
|
self.strategy_setting = load_json(self.setting_filename)
|
||
|
|
self.strategy_setting.pop(strategy_name)
|
||
|
|
save_json(self.setting_filename, self.strategy_setting)
|
||
|
|
|
||
|
|
# def put_stop_order_event(self, stop_order: StopOrder):
|
||
|
|
# """
|
||
|
|
# Put an event to update stop order status.
|
||
|
|
# """
|
||
|
|
# event = Event(EVENT_CTA_STOPORDER, stop_order)
|
||
|
|
# self.event_engine.put(event)
|
||
|
|
|
||
|
|
def put_strategy_event(self, strategy: StrategyBase):
|
||
|
|
"""
|
||
|
|
Put an event to update strategy status.
|
||
|
|
"""
|
||
|
|
data = strategy.get_data()
|
||
|
|
sdata = {}
|
||
|
|
sdata[strategy.strategy_name] = data
|
||
|
|
# event = Event(EVENT_CTA_STRATEGY, data)
|
||
|
|
# self.event_engine.put(event)
|
||
|
|
msg = json.dumps(sdata)
|
||
|
|
m = Event(type=EventType.STRATEGY_CONTROL, data=msg, des='@0', src=str(
|
||
|
|
self.id), msgtype=MSG_TYPE.MSG_TYPE_STRATEGY_RTN_DATA)
|
||
|
|
|
||
|
|
self._send_sock.send(m.serialize())
|
||
|
|
|
||
|
|
#save_json(self.data_filename, sdata)
|
||
|
|
|
||
|
|
# strategy functions
|
||
|
|
#get ,qry
|
||
|
|
def query_bar_from_rq(
|
||
|
|
self, symbol: str, exchange: Exchange, interval: Interval, start: datetime, end: datetime
|
||
|
|
):
|
||
|
|
"""
|
||
|
|
Query bar data from RQData.
|
||
|
|
"""
|
||
|
|
data = rqdata_client.query_bar(
|
||
|
|
symbol, exchange, interval, start, end
|
||
|
|
)
|
||
|
|
return data
|
||
|
|
|
||
|
|
def load_bar(
|
||
|
|
self,
|
||
|
|
full_symbol: str,
|
||
|
|
days: int,
|
||
|
|
interval: Interval,
|
||
|
|
callback: Callable[[BarData], None],
|
||
|
|
datasource: str = 'DataBase'
|
||
|
|
):
|
||
|
|
""""""
|
||
|
|
|
||
|
|
tradedays = abs(days)
|
||
|
|
weekday = datetime.now().weekday()
|
||
|
|
adddays = 2 if (days - weekday > 0) else 0
|
||
|
|
if weekday == 6:
|
||
|
|
tradedays = days + 1
|
||
|
|
else:
|
||
|
|
tradedays = days + adddays
|
||
|
|
|
||
|
|
symbol, exchange = extract_full_symbol(full_symbol)
|
||
|
|
end = datetime.now()
|
||
|
|
start = end - timedelta(days=tradedays)
|
||
|
|
# Query bars from RQData by default, if not found, load from database.
|
||
|
|
bars = self.query_bar_from_rq(symbol, exchange, interval, start, end)
|
||
|
|
if not bars:
|
||
|
|
bars = database_manager.load_bar_data(
|
||
|
|
symbol=symbol,
|
||
|
|
exchange=exchange,
|
||
|
|
interval=interval,
|
||
|
|
start=start,
|
||
|
|
end=end,
|
||
|
|
)
|
||
|
|
|
||
|
|
for bar in bars:
|
||
|
|
callback(bar)
|
||
|
|
|
||
|
|
def load_tick(self, full_symbol: str, days: int, callback: Callable, datasource: str = 'DataBase'):
|
||
|
|
tradedays = abs(days)
|
||
|
|
weekday = datetime.now().weekday()
|
||
|
|
adddays = 2 if (days - weekday > 0) else 0
|
||
|
|
if weekday == 6:
|
||
|
|
tradedays = days + 1
|
||
|
|
else:
|
||
|
|
tradedays = days + adddays
|
||
|
|
|
||
|
|
symbol, exchange = extract_full_symbol(full_symbol)
|
||
|
|
end = datetime.now()
|
||
|
|
start = end - timedelta(tradedays)
|
||
|
|
|
||
|
|
ticks = database_manager.load_tick_data(symbol, exchange, start, end)
|
||
|
|
|
||
|
|
for tick in ticks:
|
||
|
|
callback(tick)
|
||
|
|
|
||
|
|
def get_tick(self, full_symbol):
|
||
|
|
"""
|
||
|
|
Get latest market tick data by full_symbol.
|
||
|
|
"""
|
||
|
|
return self.ticks.get(full_symbol, None)
|
||
|
|
|
||
|
|
def get_order(self, orderid: int):
|
||
|
|
"""
|
||
|
|
Get latest order data by orderid.
|
||
|
|
"""
|
||
|
|
return self.orders.get(orderid, None)
|
||
|
|
|
||
|
|
def get_trade(self, vt_tradeid):
|
||
|
|
"""
|
||
|
|
Get trade data by vt_tradeid.
|
||
|
|
"""
|
||
|
|
return self.trades.get(vt_tradeid, None)
|
||
|
|
|
||
|
|
def get_position(self, key):
|
||
|
|
"""
|
||
|
|
Get latest position data by vt_positionid.
|
||
|
|
"""
|
||
|
|
return self.positions.get(key, None)
|
||
|
|
|
||
|
|
def get_account(self, accountid):
|
||
|
|
"""
|
||
|
|
Get latest account data by accountid.
|
||
|
|
"""
|
||
|
|
return self.accounts.get(accountid, None)
|
||
|
|
|
||
|
|
def get_contract(self, full_symbol):
|
||
|
|
"""
|
||
|
|
Get contract data by full_symbol.
|
||
|
|
"""
|
||
|
|
return self.contracts.get(full_symbol, None)
|
||
|
|
|
||
|
|
def get_all_ticks(self):
|
||
|
|
"""
|
||
|
|
Get all tick data.
|
||
|
|
"""
|
||
|
|
return list(self.ticks.values())
|
||
|
|
|
||
|
|
def get_all_orders(self):
|
||
|
|
"""
|
||
|
|
Get all order data.
|
||
|
|
"""
|
||
|
|
return list(self.orders.values())
|
||
|
|
|
||
|
|
def get_all_trades(self):
|
||
|
|
"""
|
||
|
|
Get all trade data.
|
||
|
|
"""
|
||
|
|
return list(self.trades.values())
|
||
|
|
|
||
|
|
def get_all_positions(self):
|
||
|
|
"""
|
||
|
|
Get all position data.
|
||
|
|
"""
|
||
|
|
return list(self.positions.values())
|
||
|
|
|
||
|
|
def get_all_accounts(self):
|
||
|
|
"""
|
||
|
|
Get all account data.
|
||
|
|
"""
|
||
|
|
return list(self.accounts.values())
|
||
|
|
|
||
|
|
def get_all_contracts(self):
|
||
|
|
"""
|
||
|
|
Get all contract data.
|
||
|
|
"""
|
||
|
|
return list(self.contracts.values())
|
||
|
|
|
||
|
|
def get_all_active_orders(self, full_symbol: str = ""):
|
||
|
|
"""
|
||
|
|
Get all active orders by full_symbol.
|
||
|
|
|
||
|
|
If full_symbol is empty, return all active orders.
|
||
|
|
"""
|
||
|
|
if not full_symbol:
|
||
|
|
return list(self.active_orders.values())
|
||
|
|
else:
|
||
|
|
active_orders = [
|
||
|
|
order
|
||
|
|
for order in self.active_orders.values()
|
||
|
|
if order.full_symbol == full_symbol
|
||
|
|
]
|
||
|
|
return active_orders
|
||
|
|
|
||
|
|
def get_position_holding(self, acc: str, full_symbol: str):
|
||
|
|
return self.offset_converter.get_position_holding(acc, full_symbol)
|
||
|
|
|
||
|
|
def get_strategy_active_orderids(self, strategy_name: str):
|
||
|
|
oidset = self.strategy_orderid_map[strategy_name]
|
||
|
|
return oidset
|
||
|
|
|
||
|
|
#order, cancel
|
||
|
|
|
||
|
|
def send_order(
|
||
|
|
self,
|
||
|
|
strategy: StrategyBase,
|
||
|
|
original_req: OrderRequest,
|
||
|
|
lock: bool = False
|
||
|
|
):
|
||
|
|
"""
|
||
|
|
Send a new order to server.
|
||
|
|
"""
|
||
|
|
# Convert with offset converter
|
||
|
|
req_list = self.offset_converter.convert_order_request(
|
||
|
|
original_req, lock)
|
||
|
|
|
||
|
|
# Send Orders
|
||
|
|
orderids = []
|
||
|
|
|
||
|
|
for req in req_list:
|
||
|
|
req.clientID = self.id
|
||
|
|
req.client_order_id = self.ordercount
|
||
|
|
self.ordercount += 1
|
||
|
|
m = Event(type=EventType.ORDER,
|
||
|
|
data=req,
|
||
|
|
des=req.api + '.' + req.account,
|
||
|
|
src=str(self.id)
|
||
|
|
)
|
||
|
|
if req.api == "CTP.TD":
|
||
|
|
m.msg_type = MSG_TYPE.MSG_TYPE_ORDER_CTP
|
||
|
|
elif req.api == "PAPER.TD":
|
||
|
|
m.msg_type = MSG_TYPE.MSG_TYPE_ORDER_PAPER
|
||
|
|
else:
|
||
|
|
print("error:api not support!")
|
||
|
|
return []
|
||
|
|
msg = m.serialize()
|
||
|
|
print(f'tradeclient {self.id} send msg: {msg}')
|
||
|
|
self._send_sock.send(msg)
|
||
|
|
orderids.append(req.client_order_id)
|
||
|
|
self.offset_converter.update_order_request(req)
|
||
|
|
# Save relationship between orderid and strategy.
|
||
|
|
self.orderid_strategy_map[req.client_order_id] = strategy
|
||
|
|
self.strategy_orderid_map[strategy.strategy_name].add(
|
||
|
|
req.client_order_id)
|
||
|
|
|
||
|
|
return orderids
|
||
|
|
|
||
|
|
def cancel_order(self, strategy: StrategyBase, orderid: int):
|
||
|
|
"""
|
||
|
|
Cancel existing order by orderid.
|
||
|
|
"""
|
||
|
|
order = self.get_order(orderid)
|
||
|
|
if not order:
|
||
|
|
self.write_log(f"撤单失败，找不到委托{orderid}", strategy)
|
||
|
|
return
|
||
|
|
|
||
|
|
req = order.create_cancel_request()
|
||
|
|
m = Event(type=EventType.CANCEL,
|
||
|
|
data=req,
|
||
|
|
des=order.api + '.' + order.account,
|
||
|
|
src=str(self.id),
|
||
|
|
msgtype=MSG_TYPE.MSG_TYPE_ORDER_ACTION
|
||
|
|
)
|
||
|
|
msg = m.serialize()
|
||
|
|
print(f'tradeclient {self.id} send msg: {msg}')
|
||
|
|
self._send_sock.send(msg)
|
||
|
|
|
||
|
|
def cancel_all(self, strategy: StrategyBase):
|
||
|
|
"""
|
||
|
|
Cancel all active orders of a strategy.
|
||
|
|
"""
|
||
|
|
orderids = self.strategy_orderid_map[strategy.strategy_name]
|
||
|
|
if not orderids:
|
||
|
|
print(strategy.strategy_name, 'has no active order')
|
||
|
|
return
|
||
|
|
|
||
|
|
for orderid in copy(orderids):
|
||
|
|
print('cancel oid:', orderid)
|
||
|
|
self.cancel_order(strategy, orderid)
|
||
|
|
|
||
|
|
def send_testmsg(self):
|
||
|
|
m = Event(des='CTP.MD', src=str(self.id),
|
||
|
|
msgtype=MSG_TYPE.MSG_TYPE_TEST)
|
||
|
|
msg = m.serialize()
|
||
|
|
self._send_sock.send(msg)
|
||
|
|
print(f'tradeclient {self.id} send msg: {msg}')
|
||
|
|
|
||
|
|
# start and stop
|
||
|
|
def start(self, timer=True):
|
||
|
|
"""
|
||
|
|
start the dispatcher thread and begin to recv msg through nng
|
||
|
|
"""
|
||
|
|
self.event_engine.start()
|
||
|
|
print('tradeclient started ,pid = %d ' % os.getpid())
|
||
|
|
self.__active = True
|
||
|
|
while self.__active:
|
||
|
|
try:
|
||
|
|
msgin = self._recv_sock.recv(flags=0)
|
||
|
|
msgin = msgin.decode("utf-8")
|
||
|
|
if msgin is not None and msgin.index('|') > 0:
|
||
|
|
if msgin[0] == '@':
|
||
|
|
print('tradeclient(pid = %d) rec @ msg:' %
|
||
|
|
(self.id), msgin, 'at ', datetime.now())
|
||
|
|
if msgin[-1] == '\0':
|
||
|
|
msgin = msgin[:-1]
|
||
|
|
if msgin[-1] == '\x00':
|
||
|
|
msgin = msgin[:-1]
|
||
|
|
m = Event()
|
||
|
|
m.deserialize(msgin)
|
||
|
|
self.event_engine.put(m)
|
||
|
|
except Exception as e:
|
||
|
|
pass
|
||
|
|
#print("TradeEngineError {0}".format(str(e.args[0])).encode("utf-8"))
|
||
|
|
|
||
|
|
def stop(self):
|
||
|
|
"""
|
||
|
|
stop
|
||
|
|
"""
|
||
|
|
self.__active = False
|
||
|
|
self.event_engine.stop()
|
||
|
|
|
||
|
|
def put(self, event):
|
||
|
|
"""
|
||
|
|
send event msg,TODO:check the event
|
||
|
|
"""
|
||
|
|
#
|
||
|
|
self._send_sock.send(event.serialize(), flags=1)
|
||
|
|
|
||
|
|
def register_handler(self, type_, handler):
|
||
|
|
"""
|
||
|
|
register handler/subscriber
|
||
|
|
"""
|
||
|
|
# self.event_engine.register(type_,handler)
|
||
|
|
# handlerList = self._handlers[type_]
|
||
|
|
|
||
|
|
# if handler not in handlerList:
|
||
|
|
# self._handlers[type_].append(handler)
|
||
|
|
# #handlerList.append(handler)
|
||
|
|
pass
|
||
|
|
|
||
|
|
def unregister_handler(self, type_, handler):
|
||
|
|
"""
|
||
|
|
unregister handler/subscriber
|
||
|
|
"""
|
||
|
|
# handlerList = self._handlers[type_]
|
||
|
|
|
||
|
|
# if handler in handlerList:
|
||
|
|
# self._handlers.remove(handler)
|
||
|
|
|
||
|
|
# if not handlerList:
|
||
|
|
# del self._handlers[type_]
|
||
|
|
pass
|
||
|
|
|
||
|
|
def write_log(self, msg: str, strategy: StrategyBase = None):
|
||
|
|
"""
|
||
|
|
Create engine log event.
|
||
|
|
"""
|
||
|
|
# if strategy:
|
||
|
|
# msg = f"{strategy.strategy_name}: {msg}"
|
||
|
|
|
||
|
|
# log = LogData(msg=msg, gateway_name="CtaStrategy")
|
||
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# event = Event(type=EVENT_CTA_LOG, data=log)
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# self.event_engine.put(event)
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print(msg)
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# -------------------------------- end of public functions -----------------------------#
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