测试版 如有BUG 欢迎提出。
1、2017.4.25 更新:
增加if (insDetail.MaxLimitOrderVolume == 0)
条件判断,有些期货公司服务器会返回0值,特此处理。共修改3处
【1】self.pollTask
【2】function Cover
【3】function Open
2、2020.10.20 更新: 增加CTA函数支持,逻辑移植自JavaScript版本商品期货交易类库CTA函数。 调用例子:
def callBack_CTA(st):
if len(st["records"]) < 20:
return
emaSlow = TA.EMA(st["records"], 20)
emaFast = TA.EMA(st["records"], 5)
cross = ext.Cross(emaFast, emaSlow)
if st["position"]["amount"] <= 0 and cross > 2:
Log("金叉周期", cross, "当前持仓:", st["position"])
return 2 if st["position"]["amount"] < 0 else 1
elif st["position"]["amount"] >= 0 and cross < -2:
Log("死叉周期", cross, "当前持仓:", st["position"])
return -2 if st["position"]["amount"] > 0 else -1
ret = ext.CTA("MA000/MA888,rb000/rb888,i000/i888", callBack_CTA)
3、2021.07.14 更新:
if pos["Type"] == PD_LONG or pos["Type"] == PD_LONG_YD:
笔误PD_LONG_YD
写成了PD_SHORT_YD
import json # json 模块 import types # 类型 模块 import platform # 版本信息 import traceback # 用于异常处理 # str() : ASCII and UTF-8 import time # import sys # reload(sys) # sys.setdefaultencoding('utf8') versionMainValue = None # 记录python 版本信息 isFirstCheck = True # 记录 是否是第一次检查 def CheckVersion(): # 检查python 版本 global versionMainValue,isFirstCheck if(isFirstCheck == True): platformInfo = platform.python_version() if platformInfo[0] == '2': Log("您使用的托管者 python编译环境的python版本是",platformInfo) versionMainValue = 2 import sys reload(sys) sys.setdefaultencoding('utf8') Log("import sys, reload(sys), sys.setdefaultencoding('utf8')") elif platformInfo[0] == '3': Log("您使用的托管者 python编译环境的python版本是",platformInfo) versionMainValue = 3 else: Log("其它版本") isFirstCheck = False def typeOfstr(str): if str == "list": if versionMainValue == 2: return types.ListType elif versionMainValue == 3: return list elif str == "int": if versionMainValue == 2: return types.IntType elif versionMainValue == 3: return int elif str == "float": if versionMainValue == 2: return types.FloatType elif versionMainValue == 3: return float else: Log("error , typeOfstr used false") def init(): if not 'SlideTick' in locals().keys(): SlideTick = 1 else: SlideTick = int(SlideTick) CheckVersion() # 检查python 版本 if IsVirtual(): exchange.GetRawJSON = VGetRawJSON Log("回测系统中运行,已重写GetRawJSON。") Log("商品期货交易类库加载成功") def GetPosition(e, contractType, direction, positions = None): allCost = 0 allAmount = 0 allProfit = 0 allFrozen = 0 posMargin = 0 if (not positions in dir()) or (not positions): positions = _C(e.GetPosition) for i in range(len(positions)): if (positions[i]['ContractType'] == contractType and (((positions[i]['Type'] == PD_LONG or positions[i]['Type'] == PD_LONG_YD) and direction == PD_LONG) or ((positions[i]['Type'] == PD_SHORT or positions[i]['Type'] == PD_SHORT_YD) and direction == PD_SHORT))): posMargin = positions[i]['MarginLevel'] allCost += positions[i]['Price'] * positions[i]['Amount'] allAmount += positions[i]['Amount'] allProfit += positions[i]['Profit'] allFrozen += positions[i]['FrozenAmount'] if allAmount == 0: return return { "MarginLevel": posMargin, "FrozenAmount": allFrozen, "Price": _N(allCost / allAmount), "Amount": allAmount, "Profit": allProfit, "Type": direction, "ContractType": contractType } def Open(e, contractType, direction, opAmount): initPosition = GetPosition(e, contractType, direction) isFirst = True initAmount = initPosition['Amount'] if initPosition else 0 positionNow = initPosition while True: needOpen = opAmount if isFirst: isFirst = False else: positionNow = GetPosition(e, contractType, direction) if positionNow: needOpen = opAmount - (positionNow['Amount'] - initAmount) insDetail = _C(e.SetContractType, contractType) # if (insDetail.MaxLimitOrderVolume == 0) if insDetail["MaxLimitOrderVolume"] == 0: # insDetail.MaxLimitOrderVolume = 50 insDetail["MaxLimitOrderVolume"] = 50 if needOpen < insDetail['MinLimitOrderVolume']: break depth = _C(e.GetDepth) amount = min(insDetail['MaxLimitOrderVolume'], needOpen) e.SetDirection("buy" if direction == PD_LONG else "sell") orderId = None if direction == PD_LONG: orderId = e.Buy(depth['Asks'][0]['Price'] + (insDetail['PriceTick'] * SlideTick), min(amount, depth['Asks'][0]['Amount']), contractType, 'Ask', depth['Asks'][0]) else: orderId = e.Sell(depth['Bids'][0]['Price'] - (insDetail['PriceTick'] * SlideTick), min(amount, depth['Bids'][0]['Amount']), contractType, 'Bid', depth['Bids'][0]) # CancelPendingOrders while True: Sleep(Interval) orders = _C(e.GetOrders) if len(orders) == 0: break for j in range(len(orders)): e.CancelOrder(orders[j]['Id']) if j < (len(orders) - 1): Sleep(Interval) ret = { "price": 0, "amount": 0, "position": positionNow } if positionNow is None: return ret if initPosition is None: ret['price'] = positionNow['Price'] ret['amount'] = positionNow['Amount'] else: ret['amount'] = positionNow['Amount'] - initPosition['Amount'] ret['price'] = _N(((positionNow['Price'] * positionNow['Amount']) - (initPosition['Price'] * initPosition['Amount'])) / ret['amount']) return ret def Cover(e, contractType): insDetail = _C(e.SetContractType, contractType) # if (insDetail.MaxLimitOrderVolume == 0) if insDetail["MaxLimitOrderVolume"] == 0: # insDetail.MaxLimitOrderVolume = 50 insDetail["MaxLimitOrderVolume"] = 50 while True: n = 0 positions = _C(e.GetPosition) for i in range(len(positions)): if positions[i]['ContractType'] != contractType: continue amount = min(insDetail['MaxLimitOrderVolume'], positions[i]['Amount']) depth = None if (positions[i]['Type'] == PD_LONG) or (positions[i]['Type'] == PD_LONG_YD): depth = _C(e.GetDepth) e.SetDirection("closebuy_today" if positions[i]['Type'] == PD_LONG else "closebuy") e.Sell(depth['Bids'][0]['Price'] - (insDetail['PriceTick'] * SlideTick), min(amount, depth['Bids'][0]['Amount']), contractType, "平今" if positions[i]['Type'] == PD_LONG else "平昨", 'Bid', depth['Bids'][0]) n += 1 elif (positions[i]['Type'] == PD_SHORT) or (positions[i]['Type'] == PD_SHORT_YD): depth = _C(e.GetDepth) e.SetDirection("closesell_today" if positions[i]['Type'] == PD_SHORT else "closesell") e.Buy(depth['Asks'][0]['Price'] + (insDetail['PriceTick'] * SlideTick), min(amount, depth['Asks'][0]['Amount']), contractType, "平今" if positions[i]['Type'] == PD_SHORT else "平昨", 'Asks', depth['Asks'][0]) n += 1 if n == 0: break while True: Sleep(Interval) orders = _C(e.GetOrders) if len(orders) == 0: break for j in range(len(orders)): e.CancelOrder(orders[j]['Id']) if j < (len(orders) - 1): Sleep(Interval) trans = { "AccountID": "投资者帐号", "Available": "可用资金", "Balance": "期货结算准备金", "BrokerID": "经纪公司代码", "CashIn": "资金差额", "CloseProfit": "平仓盈亏", "Commission": "手续费", "Credit": "信用额度", "CurrMargin": "当前保证金总额", "CurrencyID": "币种代码", "DeliveryMargin": "投资者交割保证金", "Deposit": "入金金额", "ExchangeDeliveryMargin": "交易所交割保证金", "ExchangeMargin": "交易所保证金", "FrozenCash": "冻结的资金", "FrozenCommission": "冻结的手续费", "FrozenMargin": "冻结的保证金", "FundMortgageAvailable": "货币质押余额", "FundMortgageIn": "货币质入金额", "FundMortgageOut": "货币质出金额", "Interest": "利息收入", "InterestBase": "利息基数", "Mortgage": "质押金额", "MortgageableFund": "可质押货币金额", "PositionProfit": "持仓盈亏", "PreBalance": "上次结算准备金", "PreCredit": "上次信用额度", "PreDeposit": "上次存款额", "PreFundMortgageIn": "上次货币质入金额", "PreFundMortgageOut": "上次货币质出金额", "PreMargin": "上次占用的保证金", "PreMortgage": "上次质押金额", "Reserve": "基本准备金", "ReserveBalance": "保底期货结算准备金", "SettlementID": "结算编号", "SpecProductCloseProfit": "特殊产品持仓盈亏", "SpecProductCommission": "特殊产品手续费", "SpecProductExchangeMargin": "特殊产品交易所保证金", "SpecProductFrozenCommission": "特殊产品冻结手续费", "SpecProductFrozenMargin": "特殊产品冻结保证金", "SpecProductMargin": "特殊产品占用保证金", "SpecProductPositionProfit": "特殊产品持仓盈亏", "SpecProductPositionProfitByAlg": "根据持仓盈亏算法计算的特殊产品持仓盈亏", "TradingDay": "交易日", "Withdraw": "出金金额", "WithdrawQuota": "可取资金", } def AccountToTable(Str, title = '账户的信息'): global trans if (not title in dir()) or (not title): title = '账户信息' tbl = {'type': "table", 'title': title, 'cols': ["字段", "描述", "值"], 'rows': []} try: fields = json.loads(Str) for k in fields: if k == 'AccountID' or k == 'BrokerID': continue if k not in trans: desc = '--' else: desc = trans[k] v = fields[k] if type(v) == typeOfstr('int') or type(v) == typeOfstr('float'): v = _N(v, 5) tbl['rows'].append([k, desc, v]) except: Log(traceback.format_exc()) return tbl # NewTaskQueue 类 class NewTaskQueue: '模拟并发任务队列类' NewTaskQueueCount = 0 def __init__(self, onTaskFinish = None): self.ERR_SUCCESS = 0 self.ERR_SET_SYMBOL = 1 self.ERR_GET_RECORDS = 2 self.ERR_GET_ORDERS = 3 self.ERR_GET_POS = 4 self.ERR_TRADE = 5 self.ERR_GET_DEPTH = 6 self.ERR_NOT_TRADEING = 7 self.ERR_BUSY = 8 self.onTaskFinish = None if onTaskFinish is None else onTaskFinish self.retryInterval = 300 self.tasks = [] def pushTask(self, e, symbol, action, amount, onFinish): task = { "e" : e, "action" : action, "symbol" : symbol, "amount" : amount, "init" : False, "finished" : False, "dealAmount" : 0, "preAmount" : 0, "preCost" : 0, "retry" : 0, "maxRetry" : 10, "onFinish" : onFinish, "desc" : "" } # 暂时不用字典映射 if task["action"] == "buy": task["desc"] = task["symbol"] + " 开多仓,数量" + str(task["amount"]) elif task["action"] == "sell": task["desc"] = task["symbol"] + " 开空仓,数量" + str(task["amount"]) elif task["action"] == "closebuy": task["desc"] = task["symbol"] + " 平多仓,数量" + str(task["amount"]) elif task["action"] == "closesell": task["desc"] = task["symbol"] + " 平空仓,数量" + str(task["amount"]) else: task["desc"] = task["symbol"] + " " + task["action"] + ", 数量 " + str(task["amount"]) self.tasks.append(task) Log("接收到任务", task["desc"]) def cancelAll(self, e): while True: orders = e.GetOrders() if orders is None: return self.ERR_GET_ORDERS if len(orders) == 0: break for i in range(len(orders)): e.CancelOrder(orders[i]["Id"]) Sleep(self.retryInterval) return self.ERR_SUCCESS def pollTask(self, task): insDetail = task["e"].SetContractType(task["symbol"]) if insDetail is None: return self.ERR_SET_SYMBOL # if (insDetail.MaxLimitOrderVolume == 0) if insDetail["MaxLimitOrderVolume"] == 0: # insDetail.MaxLimitOrderVolume = 50 insDetail["MaxLimitOrderVolume"] = 50 ret = False isCover = (task["action"] != "buy") and (task["action"] != "sell") while True: if not ext.IsTrading(task["symbol"]): return self.ERR_NOT_TRADEING Sleep(500) ret = self.cancelAll(task["e"]) if ret != self.ERR_SUCCESS: return ret positions = task["e"].GetPosition() if positions is None: return self.ERR_GET_POS pos = None for i in range(len(positions)): if (positions[i]["ContractType"] == task["symbol"] and (((positions[i]["Type"] == PD_LONG or positions[i]["Type"] == PD_LONG_YD) and (task["action"] == "buy" or task["action"] == "closebuy")) or ((positions[i]["Type"] == PD_SHORT or positions[i]["Type"] == PD_SHORT_YD) and (task["action"] == "sell" or task["action"] == "closesell")))): if pos is None: pos = positions[i] pos["Cost"] = positions[i]["Price"] * positions[i]["Amount"] else: pos["Amount"] += positions[i]["Amount"] pos["Profit"] += positions[i]["Profit"] pos["Cost"] += positions[i]["Price"] * positions[i]["Amount"] if not task["init"]: task["init"] = True if pos: task["preAmount"] = pos["Amount"] task["preCost"] = pos["Cost"] else: task["preAmount"] = 0 task["preCost"] = 0 if isCover: Log("找不到仓位", task["symbol"], task["action"]) ret = None break remain = task["amount"] if isCover and (pos is None): pos = {"Amount": 0, "Cost": 0, "Price": 0} if pos: task["dealAmount"] = pos["Amount"] - task["preAmount"] if isCover: task["dealAmount"] = -task["dealAmount"] remain = task["amount"] - task["dealAmount"] if (remain <= 0 or task["retry"] >= task["maxRetry"]): ret = { "price" : (0 if task["dealAmount"] == 0 else (pos["Cost"] - task["preCost"]) / (pos["Amount"] - task["preAmount"])), "amount" : (pos["Amount"] - task["preAmount"]), "position" : pos } if isCover: ret["amount"] = -ret["amount"] if pos["Amount"] == 0: ret["position"] = None break elif task["retry"] >= task["maxRetry"]: ret = None break depth = task["e"].GetDepth() if depth is None: return self.ERR_GET_DEPTH orderId = None slidePrice = insDetail["PriceTick"] * SlideTick if isCover: for i in range(len(positions)): if positions[i]["ContractType"] != task["symbol"]: continue if (int(remain) < 1): break amount = min(insDetail["MaxLimitOrderVolume"], positions[i]["Amount"], remain) if (task["action"] == "closebuy" and (positions[i]["Type"] == PD_LONG or positions[i]["Type"] == PD_LONG_YD)): task["e"].SetDirection("closebuy_today" if positions[i]["Type"] == PD_LONG else "closebuy") amount = min(amount, depth["Bids"][0]["Amount"]) orderId = task["e"].Sell(_N(depth["Bids"][0]["Price"] - slidePrice, 2), amount, task["symbol"], "平今" if positions[i]["Type"] == PD_LONG else "平昨", "Bid", depth["Bids"][0]) remain -= amount elif (task["action"] == "closesell" and (positions[i]["Type"] == PD_SHORT or positions[i]["Type"] == PD_SHORT_YD)): task["e"].SetDirection("closesell_today" if positions[i]["Type"] == PD_SHORT else "closesell") amount = min(amount, depth["Asks"][0]["Amount"]) orderId = task["e"].Buy(_N(depth["Asks"][0]["Price"] + slidePrice, 2), amount, task["symbol"], "平今" if positions[i]["Type"] == PD_SHORT else "平昨", "Ask", depth["Asks"][0]) remain -= amount else: if task["action"] == "buy": task["e"].SetDirection("buy") orderId = task["e"].Buy(_N(depth["Asks"][0]["Price"] + slidePrice, 2), min(remain, depth["Asks"][0]["Amount"]), task["symbol"], "Ask", depth["Asks"][0]) else : task["e"].SetDirection("sell") orderId = task["e"].Sell(_N(depth["Bids"][0]["Price"] - slidePrice, 2), min(remain, depth["Bids"][0]["Amount"]), task["symbol"], "Bid", depth["Bids"][0]) if orderId is None: task["retry"] += 1 return self.ERR_TRADE task["finished"] = True if self.onTaskFinish: self.onTaskFinish(task, ret) if task["onFinish"]: task["onFinish"](task, ret) return self.ERR_SUCCESS def poll(self): processed = 0 # 迭代 for task in self.tasks : if not task["finished"] : processed += 1 self.pollTask(task) if processed == 0: self.tasks = [] def size(self): return len(self.tasks) ''' self.GetPosition = function(e, contractType, direction, positions) { return GetPosition(e, contractType, direction, positions); }; ''' def GetPosition(self, e, contractType, direction=None, positions=None): return GetPosition(e, contractType, direction, positions) ''' self.hasTask = function(symbol) { if (typeof(symbol) !== 'string') { return self.tasks.length > 0 } for (var i = 0; i < self.tasks.length; i++) { if (self.tasks[i].symbol == symbol && !self.tasks[i].finished) { return true } } return false } ''' def hasTask(self, symbol): if type(symbol) != str: return len(self.tasks) > 0 for task in self.tasks: if task["symbol"] == symbol and not task["finished"]: return True return False # NewPositionManager 类 class NewPositionManager: '非并发交易控制类' NewPositionManagerCount = 0 # 构造函数 def __init__(self, e): self.e = e self.account = None # Account def Account(self): if self.account is None: self.account = _C(self.e.GetAccount) return self.account # GetAccount def GetAccount(self, getTable = False): self.account = _C(self.e.GetAccount) if (not getTable in dir() and getTable): return AccountToTable(self.e.GetRawJSON()) return self.account # GetPosition def GetPosition(self, contractType, direction, positions = None): return GetPosition(self.e, contractType, direction, positions) # OpenLong def OpenLong(self, contractType, shares): if self.account is None: self.account = _C(self.e.GetAccount) return Open(self.e, contractType, PD_LONG, shares) # OpenShort def OpenShort(self, contractType, shares): if self.account is None: self.account = _C(self.e.GetAccount) return Open(self.e, contractType, PD_SHORT, shares) # Cover def Cover(self, contractType): if self.account is None: self.account = _C(self.e.GetAccount) return Cover(self.e, contractType) # CoverAll def CoverAll(self): if self.account is None: self.account = _C(self.e.GetAccount) while True: positions = _C(self.e.GetPosition) if len(positions) == 0: break for i in range(len(positions)): if '&' not in positions[i]['ContractType']: Cover(self.e, positions[i]['ContractType']) Sleep(1000) # Profit def Profit(self): # contractType JS 版本有该参数 accountNow = _C(self.e.GetAccount) return _N(accountNow.Balance - self.account.Balance) # NewPositionManager END # 导出函数实现 def CreateNewPositionManager(e = exchange): # 导出函数实现 if e not in exchanges: raise Exception("error exchange", e) if (versionMainValue != 3 and e.GetName() != 'Futures_CTP') or (versionMainValue == 3 and e.GetName() != 'Futures_CTP'): raise Exception("error exchange, 本模板适用于CTP商品期货,当前添加的交易所为:", e.GetName()); obj_NewPositionManager = NewPositionManager(e) return obj_NewPositionManager def IsTrading(symbol): now = time.time() tup_localtime = time.localtime(now) day = tup_localtime.tm_wday # tm_wday : week 0~6 , 0 is monday hour = tup_localtime.tm_hour # tm_hour : 0~23 minute = tup_localtime.tm_min # tm_min : 0~59 if (day == 6 or (day == 5 and (hour > 2 or hour == 2 and minute > 30))): return False shortName = "" # i , p for i in range(len(symbol)): ch = symbol[i] if ch.isdigit(): # ch >= 48 and ch <= 57: break shortName += symbol[i].upper() period = [ [9, 0, 10, 15], [10, 30, 11, 30], [13, 30, 15, 0] ] if (shortName == "IH" or shortName == "IF" or shortName == "IC"): period = [ [9, 30, 11, 30], [13, 0, 15, 0] ] elif (shortName == "TF" or shortName == "T" or shortName == "TS"): period = [ [9, 30, 11, 30], [13, 0, 15, 15] ] if day >= 0 and day <= 4: for i in range(len(period)): p = period[i] if ((hour > p[0] or (hour == p[0] and minute >= p[1])) and (hour < p[2] or (hour == p[2] and minute < p[3]))): return True ''' 参考JavaScript版本合约品种交易时间 var nperiod = [ [ ['sc', 'ag', 'au'], [21, 0, 2, 30] ], [ ['nr', 'bu', 'hc', 'rb', 'ru', 'sp', 'fu', 'ZC', 'CF', 'CY', 'FG', 'MA', 'OI', 'RM', 'SR', 'TA', 'SA', 'a', 'b', 'c', 'cs', 'i', 'j', 'jm', 'l', 'm', 'p', 'pp', 'v', 'y', 'eg', 'rr', 'eb', 'pg' ], [21, 0, 23, 0] ], [ ['al', 'cu', 'ni', 'pb', 'sn', 'zn', 'ss'], [21, 0, 1, 0] ] ]; ''' nperiod = [ [ ['SC', 'AU', 'AG'], [21, 0, 2, 30] # 此处修改为 2 ], [ ['CU', 'AL', 'ZN', 'PB', 'SN', 'NI', 'SS', 'BC'], [21, 0, 1, 0] # 此处修改为 1 ], [ ['NR', 'BU', 'HC', 'RB', 'RU', 'SP', 'FU', 'ZC', 'CF', 'CY', 'FG', 'MA', 'OI', 'RM', 'SR', 'TA', 'SA', 'A', 'B', 'C', 'CS', 'I', 'J', 'JM', 'L', 'M', 'P', 'PP', 'V', 'Y', 'EG', 'RR', 'EB', 'PG', 'LU'], [21, 0, 23, 0] ] ] for i in range(len(nperiod)): for j in range(len(nperiod[i][0])): if nperiod[i][0][j] == shortName: p = nperiod[i][1] condA = hour > p[0] or (hour == p[0] and minute >= p[1]) condB = hour < p[2] or (hour == p[2] and minute < p[3]) # in one day if p[2] >= p[0]: if ((day >= 0 and day <= 4) and condA and condB): return True else: if (((day >= 0 and day <= 4) and condA) or ((day >= 1 and day <= 5) and condB)): return True return False return False def CreateNewTaskQueue(onTaskFinish = None): obj_NewTaskQueue = NewTaskQueue(onTaskFinish) return obj_NewTaskQueue # 合约名称转换产品名称 def ins2product(symbol): if len(symbol) > 6 and symbol.find(' ') == -1: return symbol symbol = symbol.replace("SPD ", "").replace("SP ", "") shortName = "" for ch in symbol: if ch >= chr(48) and ch <= chr(57): break shortName += ch return shortName # CTA函数 def CTA(contractType, onTick, interval = 500): SetErrorFilter("login|ready|初始化") # login|ready|初始化 过滤三种错误 exchange.IO("mode", 0) lastUpdate = 0 e = exchange symbols = contractType.split(",") holds = {} tblAccount = {} def findChartSymbol(ct): product = ins2product(ct) for i in symbols: tmp = i.split("/") if ins2product(tmp[-1]) == product: return tmp[0] return None def refreshHold(qSize=0): while not e.IO("status"): LogStatus(_D(), "Not connect") Sleep(1000) for ins in symbols: tmp = ins.split("/") if len(tmp) == 2: holds[tmp[0]] = { "price" : 0, "value" : 0, "amount" : 0, "profit" : 0, "symbol" : tmp[1] } else : holds[ins] = { "price" : 0, "value" : 0, "amount" : 0, "profit" : 0, "symbol" : ins, } positions = _C(e.GetPosition) for pos in positions: mapCT = findChartSymbol(pos["ContractType"]) if not mapCT: continue if mapCT not in holds: continue hold = holds[mapCT] if pos["Type"] == PD_LONG or pos["Type"] == PD_LONG_YD: if hold["amount"] < 0 and qSize == 0: raise "不能同时持有多仓空仓" hold["amount"] += pos["Amount"] else : if hold["amount"] > 0 and qSize == 0: raise "不能同时持有多仓空仓" hold["amount"] -= pos["Amount"] hold["value"] += pos["Price"] * pos["Amount"] hold["profit"] += pos["Profit"] if hold["amount"] != 0: hold["price"] = _N(hold["value"] / abs(hold["amount"])) account = _C(e.GetAccount) if CTAShowPosition: tblPosition = { "type" : "table", "title" : "持仓状态", "cols" : ["品种", "方向", "均价", "数量", "浮动盈亏"], "rows" : [], } for pos in positions: # tblPosition.rows.push([pos.ContractType, ((pos.Type == PD_LONG || pos.Type == PD_LONG_YD) ? '多#0000ff' : '空#ff0000'), pos.Price, pos.Amount, pos.Profit]) tblPosition["rows"].append([pos["ContractType"], "多#0000ff" if (pos["Type"] == PD_LONG or pos["Type"] == PD_LONG_YD) else "空#ff0000", pos["Price"], pos["Amount"], pos["Profit"]]) tblAccount = ext.AccountToTable(e.GetRawJSON(), "资金信息") LogStatus("`" + json.dumps([tblPosition, tblAccount]) + "`\n", "更新于:" + _D()) lastUpdate = time.time() * 1000 return account account = refreshHold(0) def callBack_NewTaskQueue(task, ret): Log("任务结束", task["desc"]) account = refreshHold(q.size()) q = ext.NewTaskQueue(callBack_NewTaskQueue) mainCache = {} while True: ts = time.time() * 1000 for ins in symbols: ctChart = ins ctTrade = ins tmp = ins.split("/") if len(tmp) == 2: ctChart = tmp[0] ctTrade = tmp[1] if not e.IO("status") or not ext.IsTrading(ctChart) or not ext.IsTrading(ctTrade) or q.hasTask(ctTrade): continue # 正在移仓 if ctTrade in mainCache and (q.hasTask(mainCache[ctTrade][0]) or q.hasTask(mainCache[ctTrade][1])): continue c = e.SetContractType(ctChart) if not c: continue r = e.GetRecords() if r is None or len(r) == 0: continue insDetail = e.SetContractType(ctTrade) if not insDetail: continue tradeSymbol = insDetail["InstrumentID"] if ctTrade.find("888") != -1 or ctTrade.find("000") != -1: preMain = "" isSwitch = False positions = None if ctTrade not in mainCache: if not IsVirtual(): Log(ctTrade, "当前主力合约为:", tradeSymbol) positions = e.GetPosition() if positions is None: continue product = ins2product(ctTrade) for p in positions: if ins2product(p["ContractType"]) == product: mainCache[ctTrade] = [p["ContractType"], p["ContractType"]] if ctTrade in mainCache and mainCache[ctTrade][0] != tradeSymbol: preMain = mainCache[ctTrade][0] Log(ctTrade, "主力合约切换为:", tradeSymbol, "之前为:", preMain, "#ff0000") if positions is None: positions = e.GetPosition() if positions is None: continue for p in positions: if p["ContractType"] == preMain: isLong = p["Type"] == PD_LONG or p["Type"] == PD_LONG_YD def callBack_pushTaskCover(task, ret): Log("切换合约平仓成功", task["desc"], ret) def callBack_pushTaskOpen(task, ret): Log("切换合约开仓成功", task["desc"], ret) q.pushTask(e, p["ContractType"], "closebuy" if isLong else "closesell", p["Amount"], callBack_pushTaskCover) q.pushTask(e, tradeSymbol, "buy" if isLong else "sell", p["Amount"], callBack_pushTaskOpen) isSwitch = True mainCache[ctTrade] = [tradeSymbol, preMain] if isSwitch: Log("开始移仓", preMain, "移到", tradeSymbol) continue hold = holds[ctChart] n = onTick({ "records" : r, "symbol" : tradeSymbol, "detail" : insDetail, "account" : account, "position" : hold, "positions" : holds, }) callBack = None if type(n) == typeOfstr("list") and type(len(n)) == typeOfstr("int") and len(n) > 1: if type(n[1]) == types.FunctionType: callBack = n[1] n = n[0] if type(n) != typeOfstr("int") and type(n) != typeOfstr("float"): continue ret = None if n > 0: if hold["amount"] < 0: q.pushTask(e, tradeSymbol, "closesell", min(-hold["amount"], n), callBack) n += hold["amount"] if n > 0: q.pushTask(e, tradeSymbol, "buy", n, callBack) elif n < 0: if hold["amount"] > 0: q.pushTask(e, tradeSymbol, "closebuy", min(hold["amount"], -n), callBack) n += hold["amount"] if n < 0: q.pushTask(e, tradeSymbol, "sell", -n, callBack) elif n == 0 and hold["amount"] != 0: q.pushTask(e, tradeSymbol, "closebuy" if hold["amount"] > 0 else "closesell", abs(hold["amount"]), callBack) q.poll() now = time.time() * 1000 if now - lastUpdate > SyncInterval * 1000: account = refreshHold(q.size()) delay = interval - (now - ts) if delay > 0: Sleep(delay) def Cross(arr1, arr2): if len(arr1) != len(arr2): raise "array length not equal" n = 0 arr1.reverse() arr2.reverse() for i in range(len(arr1)): if arr1[i] is None or arr2[i] is None: break if arr1[i] < arr2[i]: if n > 0: break n -= 1 elif arr1[i] > arr2[i]: if n < 0: break n += 1 else : break return n # 导出函数 ext.NewPositionManager = CreateNewPositionManager ext.IsTrading = IsTrading ext.AccountToTable = AccountToTable ext.NewTaskQueue = CreateNewTaskQueue ext.CTA = CTA ext.Cross = Cross # 测试 IsVirtual() 判断是否是回测。 def VGetRawJSON(): # 模拟 GetRawJSON 函数 ,仅测试使用。 nowTime = time.time() DnowTime = _D(nowTime) dict1 = {"AccountID": "073997", "Available": 1331.445464656656, "Balance": 1331.3344567, "BrokerID": "9999", "time": nowTime, "_D": DnowTime, "CurrMargin": 0} dict1Str = json.dumps(dict1) return dict1Str def main(): ''' # 测试 AccountToTable Log("测试 AccountToTable 函数 ") Str = '{"AccountID": "073997", "Available": 1331.445464656656, "Balance": 1331.3344567, "BrokerID": "9999", "CashIn": 0, "XXX": "dd"}' table = AccountToTable(Str) Log(json.dumps(table)) LogStatus('`' + json.dumps(table) + '`') # 测试 IsTrading Log("now time", _D(), "isTrading('MA701'): ", ext.IsTrading("MA701")) Log("now time", _D(), "isTrading('SR701'): ", ext.IsTrading("SR701")) Log("now time", _D(), "isTrading('jd1701'): ", ext.IsTrading("jd1701")) # 测试 NewPositionManager 导出函数 生成对象 obj = ext.NewPositionManager() Log(obj.Account(), obj.account) # 测试 NewPositionManager 类 实例的成员函数 GetAccount retGetAccount = obj.GetAccount(True) Log(retGetAccount) LogStatus('`' + json.dumps(retGetAccount) + '`') # 测试 OpenLong 、 OpenShort 、GetPosition open_long = obj.OpenLong("MA701", 2) open_short1 = obj.OpenShort("SR701", 3) open_short2 = obj.OpenShort("jd1701", 4) Log("open_long:", open_long) Log("open_short1:", open_short1) Log("open_short2:", open_short2) positions = obj.GetPosition("MA701", PD_SHORT) Log("get MA701 PD_SHORT:", positions) positions = obj.GetPosition("MA701", PD_LONG) Log("get MA701 PD_LONG:", positions) # 测试 CoverAll obj.Cover("MA701") # 测试 CoverAll obj.CoverAll() # 读取 Cover 、CoverAll 后的 持仓信息 positions = exchange.GetPosition() Log("now Positions:", positions) # 测试 GetAccount 、 Profit # Log("Account:", obj.GetAccount()) Log("Profit:", obj.Profit()) Log("account", obj.Account()) Log("Account:", obj.GetAccount()) # 测试 IsTrading Log(ext.IsTrading("MA701")) # 测试 ext.AccountToTable Str = '{"AccountID": "000", "Available": 55, "Balance": 55, "BrokerID": "9999", "CashIn": 0, "ZZZ": "YHU"}' table = ext.AccountToTable(Str) Log(json.dumps(table)) LogStatus('`' + json.dumps(table) + '`') Log("-------------------------------------------------------------") ''' # 测试 NewTaskQueue ''' q = ext.NewTaskQueue() def NoName2(task, ret): Log(task["desc"], ret, "#FF0000") def NoName1(task, ret): Log(task["desc"], ret, "#FF0000") if ret: q.pushTask(exchange, "MA701", "closebuy", 1, NoName2) q.pushTask(exchange, "MA701", "buy", 3, lambda task, ret: Log(task["desc"], ret, q.pushTask(exchange, "MA701", "closebuy", 1, lambda task, ret: Log(task["desc"], ret, "#FF0000")) if ret else "", "#FF0000")) Log("q.tasks`s length :", q.size()) while True: q.poll() Sleep(1000) ''' # 测试CTA函数 def callBack_CTA(st): if len(st["records"]) < 20: return emaSlow = TA.EMA(st["records"], 20) emaFast = TA.EMA(st["records"], 5) cross = ext.Cross(emaFast, emaSlow) if st["position"]["amount"] <= 0 and cross > 2: Log("金叉周期", cross, "当前持仓:", st["position"]) return 2 if st["position"]["amount"] < 0 else 1 elif st["position"]["amount"] >= 0 and cross < -2: Log("死叉周期", cross, "当前持仓:", st["position"]) return -2 if st["position"]["amount"] > 0 else -1 ret = ext.CTA("MA000/MA888,rb000/rb888,i000/i888", callBack_CTA)template: strategy.tpl:40:21: executing "strategy.tpl" at <.api.GetStrategyListByName>: wrong number of args for GetStrategyListByName: want 7 got 6