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NormFunc.py
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NormFunc.py
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#######################################################################################################
############################# 常用函数模块 ###########################################
#######################################################################################################
########################################### 日常io运行 ###################################################
# log 函数
def log(*txt):
try:
f = open(logfile,'a+', encoding='gbk')
f.write('%s'%datetime.datetime.now()+' '*6) # 时间戳
if type(txt[0])==pd.Series:
f.write('name: %s\n'%txt[0].name)
for i,v in txt[0].items():
f.write(' '*32+str(i)+', '+str(v)+'\n')
elif type(txt[0])==pd.DataFrame:
f.write(' '.join([str(i) for i in txt[0].columns])+'\n')
for i,r in txt[0].iterrows():
f.write(' '*29+str(i)+': ')
f.write(', '.join([str(j) for j in r.values])+'\n')
else:
write_str = ('\n'+' '*32).join([str(i) for i in txt])
f.write('%s\n' %write_str)
f.close()
except PermissionError as e:
print(f"Error: {e}. You don't have permission to access the specified file.")
########################################### 行情数据 ###################################################
# 获取行情快照数据 DataFrame, index:code
SHmul = 10
SZmul = 10
def get_snapshot(C, code_list):
# 获取标的快照数据
df = C.get_full_tick(code_list)
df = pd.DataFrame.from_dict(df, dtype='float').T.reset_index().rename(columns={'index': 'code'})
# 盘口
bidPrice_columns = ['bidp1','bidp2','bidp3','bidp4','bidp5']
askPrice_columns = ['askp1','askp2','askp3','askp4','askp5']
df[bidPrice_columns] = df['bidPrice'].apply(pd.Series, index=bidPrice_columns)
df[askPrice_columns] = df['askPrice'].apply(pd.Series, index=askPrice_columns)
bidVol_columns = ['bidv1','bidv2','bidv3','bidv4','bidv5']
askVol_columns = ['askv1','askv2','askv3','askv4','askv5']
df[bidVol_columns] = df['bidVol'].apply(pd.Series, index=bidVol_columns)
df[askVol_columns] = df['askVol'].apply(pd.Series, index=askVol_columns)
# 中间价
df['mid'] = (df['bidp1'] + df['askp1'])/2
# 涨跌停则bid/askprice为0
df.loc[(df['bidp1'] == 0) | (df['askp1'] == 0),'mid'] = df['bidp1'] + df['askp1'] # 涨跌停修正
## 展示列 最新价，当日成交额、成交量(手）、最高价、最低价、开盘价
# 盘口 askp\askv*/bid* 买卖5档， 昨收
## 中间价 askp\askv*/bid* 买卖5档，需要使用券商行情
display_columns = ['code', 'lastPrice', 'amount', 'volume', 'high', 'low', 'open', 'lastClose',\
'mid', 'askp1', 'askp2', 'askp3', 'askp4', 'askp5', \
'bidp1', 'bidp2', 'bidp3', 'bidp4', 'bidp5', \
'askv1', 'askv2', 'askv3', 'askv4', 'askv5',\
'bidv1', 'bidv2', 'bidv3', 'bidv4', 'bidv5']
df = df[display_columns].rename(columns={'volume':'vol'})
df = df.set_index('code')
# 有时，沪市转债单位是手，沪市需要乘一个沪市转化因子
df['vol'] = df['vol']*df.index.map(lambda x: SHmul if 'SH' in x else SZmul if 'SZ' in x else 1)
return df
########################################### 账户状态 ###################################################
# 获取账户状态 净值，现金
def get_account():
acct_info = get_trade_detail_data(ACCOUNT, account_type, 'account')[0]
return {'net':acct_info.m_dBalance, 'cash':acct_info.m_dAvailable}
# 获取持仓数据 DataFrame index:code, cash 如果没有持仓返回空表（但是有columns）
def get_pos():
position_to_dict = lambda pos: {
'code': pos.m_strInstrumentID + '.' + pos.m_strExchangeID, # 证券代码 000001.SZ
'name': pos.m_strInstrumentName, # 证券名称
'vol': pos.m_nVolume, # 当前拥股，持仓量
'AvailableVol': pos.m_nCanUseVolume, # 可用余额，可用持仓，期货不用这个字段，股票的可用数量
'MarketValue': pos.m_dMarketValue, # 市值，合约价值
'PositionCost': pos.m_dPositionCost, # 持仓成本，
}
position_info = get_trade_detail_data(ACCOUNT, account_type, 'position')
pos = pd.DataFrame(list(map(position_to_dict, position_info)))
if pos.empty:
return pd.DataFrame(columns=['name', 'vol', 'AvailabelVol', 'MarketValue', 'PositionCost'])
pos = pos.set_index('code')
extract_names = ['新标准券', '国标准券']
pos = pos[(pos['vol']!=0)&(~pos['name'].isin(extract_names))].copy() # 已清仓不看，去掉逆回购重复输出
return pos
# 忽略逆回购订单、交割单
status_extract_codes = ['131810.SZ', '131811.SZ', '131800.SZ', '131809.SZ', '131801.SZ',\
'131802.SZ', '131803.SZ', '131805.SZ', '131806.SZ',\
'204001.SH', '204002.SH', '204003.SH', '204004.SH', '204007.SH',\
'204014.SH', '204028.SH', '204091.SH', '204182.SH']
# 获取订单状态 当日没有订单返回空表（但是有columns） 当天订单
def get_order():
order_info = get_trade_detail_data(ACCOUNT, account_type, 'ORDER')
order_to_dict = lambda o:{
'id':o.m_strOrderSysID,
'date': o.m_strInsertDate,
'code': o.m_strInstrumentID+'.'+o.m_strExchangeID,
'sub_time': o.m_strInsertTime, # 例如 str:095620
'trade_type': o.m_nOffsetFlag, # 48 买入/开仓；49 卖出/平仓
'price': o.m_dLimitPrice, # 挂单价
'sub_vol': o.m_nVolumeTotalOriginal,
'dealt_vol': o.m_nVolumeTraded,
'remain_vol': o.m_nVolumeTotal,
# 48 未报， 49 待报， 50 已报， 51 已报待撤，52 部成待撤， 53 部撤(部成撤单），
# 54 已撤， 55 部成， 56 已成， 57 废单(算法单执行完毕之后为废单）， 86 已确认， 255 未知
'status':o.m_nOrderStatus,
'frozen':o.m_dFrozenMargin+o.m_dFrozenCommission, # 冻结金额/保证金+手续费
'remark':o.m_strRemark # 订单备注
}
order = pd.DataFrame(list(map(order_to_dict, order_info)))
if order.empty:
return pd.DataFrame(columns=['id', 'date', 'code', 'sub_time', 'trade_type',\
'price', 'sub_vol', 'dealt_vol', 'remain_vol', 'status', 'frozen', 'remark'])
order = order[(order['date']==datetime.datetime.today().strftime("%Y%m%d"))&\
(~order['code'].isin(status_extract_codes))].copy()
order = order.set_index('id')
return order[['date', 'code', 'sub_time', 'trade_type', 'price',\
'sub_vol', 'dealt_vol', 'remain_vol', 'status', 'frozen', 'remark']]
# 获取成交数据
def get_deal():
deal_info = get_trade_detail_data(ACCOUNT, account_type, 'DEAL')
deal_to_dict = lambda d:{
'order_id':d.m_nRef, # 订单编号
'id':d.m_strOrderSysID, # 合同编号
'code': d.m_strInstrumentID + '.' + d.m_strExchangeID,
'date':d.m_strTradeDate,
'deal_time':d.m_strTradeTime, # 成交时间
# 48 买入/开仓 49卖出/平仓 50 强平 51 平今 52 平昨 53 强减
'trade_type':d.m_nOffsetFlag,
'price':d.m_dPrice,
'vol': d.m_nVolume,
'amount': d.m_dTradeAmount,
'remark': d.m_strRemark
}
deal = pd.DataFrame(list(map(deal_to_dict, deal_info)))
if deal.empty:
return pd.DataFrame(columns=['id', 'order_id', 'code', 'date', 'deal_time',\
'trade_type', 'price', 'vol', 'amount', 'remark'])
deal = deal[(deal['date']==datetime.datetime.today().strftime("%Y%m%d"))&\
(~deal['code'].isin(status_extract_codes))].copy()
return deal[['id', 'order_id', 'code', 'date', 'deal_time',\
'trade_type', 'price', 'vol', 'amount', 'remark']]
########################################### 买卖挂单 ###################################################
# 撤单 超过wait_dur s的订单取消
def cancel_order(C, wait_dur=0.1, stratname=None):
order = get_order()
# 全部可撤订单
order = order[order['status'].map(lambda x:(x!=53)&(x!=54)&(x!=56)&(x!=57))].copy()
# 属于该策略
if stratname!=None:
order = order[order['remark']==stratname].copy()
if not order.empty:
# 超过等待时间撤单 insert_time 为1900年
order['sub_time'] = order['sub_time'].map(lambda x: datetime.datetime.strptime(x, "%H%M%S"))
order = order[order['sub_time'].map(lambda x: (datetime.datetime.now()-x).seconds>wait_dur)]
for orderid in order.index:
cancel(orderid, ACCOUNT, account_type, C)
# 撤单 属于策略strat的挂单价超过最新价(1+r)或低于最新价(1-r)的订单取消
def cancel_order_price(C, r, stratname=None):
order = get_order()
# 全部可撤订单
order = order[order['status'].map(lambda x:(x!=53)&(x!=54)&(x!=56)&(x!=57))].copy()
# 属于该策略
if stratname!=None:
order = order[order['remark']==stratname].copy()
if not order.empty:
# 最新价格
codes = list(set(order['code']))
snapshot = get_snapshot(C, codes)
lastPrice = snapshot[['lastPrice', 'lastClose']].apply(lambda x: \
x['lastPrice'] if x['lastPrice']!=0 else x['lastClose'], axis=1)
lastPrice = order['code'].map(lambda x: lastPrice[x])
if not order.empty:
delta = abs((order['price']-lastPrice)/lastPrice)
delta = delta[delta>r]
for orderid in delta.index:
cancel(orderid, ACCOUNT, account_type, C)
#strategy_name = 'craft'
#multiples = 10
#卖出
def sell(C, code, price, vol, strategyName=strategy_name, remark=strategy_name):
vol = int((vol//multiples)*multiples)
if vol==0:
print('too less vol to sub')
return
# 卖出，单标的，账号， 代码，限价单，价格，量，策略名，立即触发下单，备注
if account_type=='STOCK':
passorder(24, 1101, ACCOUNT, code, 11, price, vol, strategyName, 2, remark, C) # 下单
elif account_type=='CREDIT':
passorder(34, 1101, ACCOUNT, code, 11, price, vol, strategyName, 2, remark, C) # 下单
#买入
def buy(C, code, price, vol, strategyName=strategy_name, remark=strategy_name):
vol = int((vol//multiples)*multiples)
if vol==0:
print('too less vol to sub')
return
if account_type=='STOCK':
passorder(23, 1101, ACCOUNT, code, 11, price, vol, strategyName, 2, remark, C) # 下单
elif account_type=='CREDIT':
passorder(33, 1101, ACCOUNT, code, 11, price, vol, strategyName, 2, remark, C) # 下单
########################################### 其他 ###################################################
# 存储全局变量
class a():
pass
## 成交情况
#def get_dealt():
# order = get_order().reset_index()
# # 所有已撤、部成、已成订单
# dealt_total = order[order['status'].map(lambda x: x in [53, 54, 55, 56])].copy()
# # 买入\卖出
# bought_vol = dealt_total[dealt_total['trade_type']==48][['dealt_vol', 'code']].groupby('code').sum()
# sold_vol = -dealt_total[dealt_total['trade_type']==49][['dealt_vol', 'code']].groupby('code').sum()
# # 完成量
# dealt_vol = pd.concat([bought_vol['dealt_vol'], sold_vol['dealt_vol']])
# dealt_vol = dealt_vol[abs(dealt_vol).sort_values(ascending=False).index]
# extract_codes = ['131810.SZ', '131811.SZ', '131800.SZ', '131809.SZ', '131801.SZ',\
# '131802.SZ', '131803.SZ', '131805.SZ', '131806.SZ',\
# '204001.SH', '204002.SH', '204003.SH', '204004.SH', '204007.SH',\
# '204014.SH', '204028.SH', '204091.SH', '204182.SH'] # 深市、沪市逆回购代码
# dealt_vol = dealt_vol[~dealt_vol['code'].isin(extract_codes)].copy()
# return dealt_vol