-
Notifications
You must be signed in to change notification settings - Fork 118
/
ctp_emulator.py
212 lines (191 loc) · 9.44 KB
/
ctp_emulator.py
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
87
88
89
90
91
92
93
94
95
96
97
98
99
100
101
102
103
104
105
106
107
108
109
110
111
112
113
114
115
116
117
118
119
120
121
122
123
124
125
126
127
128
129
130
131
132
133
134
135
136
137
138
139
140
141
142
143
144
145
146
147
148
149
150
151
152
153
154
155
156
157
158
159
160
161
162
163
164
165
166
167
168
169
170
171
172
173
174
175
176
177
178
179
180
181
182
183
184
185
186
187
188
189
190
191
192
193
194
195
196
197
198
199
200
201
202
203
204
205
206
207
208
209
210
211
212
# coding=utf-8
import agent
import optagent
import fut_api
import time
import logging
import mysqlaccess as mdb
import datetime
from base import *
from misc import *
import strategy as strat
import data_handler
import itertools
import ctp.futures
class TraderMock(agent.CTPTraderQryMixin):
ApiStruct = ctp.futures.ApiStruct
logger = logging.getLogger('ctp.MockTrader')
def __init__(self,myagent):
self.name = 'Mock-TD'
self.broker_id = '0'
self.investor_id = '0'
self.front_id = '0'
self.session_id = '0'
self.agent = myagent
self.available = 1000000 #初始100W
self.is_logged = True
# self.myspi = BaseObject(is_logged=True,confirm_settlement_info=self.confirm_settlement_info)
def ReqOrderInsert(self, order, request_id):
logging.info(u'报单')
oid = order.OrderRef
trade = self.ApiStruct.Trade(
InstrumentID = order.InstrumentID,
Direction=order.Direction,
Price = order.LimitPrice,
Volume = order.VolumeTotalOriginal,
OrderRef = oid,
TradeID = oid,
OrderSysID= oid,
BrokerOrderSeq= int(oid),
OrderLocalID = oid,
TradeTime = time.strftime('%H%M%S')
)
inst = self.agent.instruments[order.InstrumentID]
if order.CombOffsetFlag == self.ApiStruct.OF_Open:
self.available -= order.LimitPrice * inst.multiple * inst.marginrate[0]
else:
self.available += order.LimitPrice * inst.multiple * inst.marginrate[0]
ptrade = BaseObject( instID = trade.InstrumentID,
order_ref = int(trade.OrderRef),
order_sysid = trade.OrderSysID,
price = trade.Price,
volume= trade.Volume,
trade_id = trade.TradeID )
self.agent.rtn_trade(ptrade)
def ReqOrderAction(self, corder, request_id):
#print u'in cancel'
oid = corder.OrderRef
rorder = self.ApiStruct.Order(
InstrumentID = corder.InstrumentID,
OrderRef = corder.OrderRef,
OrderStatus = self.ApiStruct.OST_Canceled,
)
#self.agent.rtn_order(rorder)
self.agent.err_order_action(rorder.OrderRef,rorder.InstrumentID,u'26',u'测试撤单--报单已成交')
def ReqQryTradingAccount(self,req,req_id=0):
logging.info(u'查询帐户余额')
#account = BaseObject(Available=self.available)
self.agent.rsp_qry_trading_account(self.available)
def ReqQryInstrument(self,req,req_id=0):#只有唯一一个合约
logging.info(u'查询合约')
instID = req.InstrumentID
inst = self.agent.instruments[instID]
ins = BaseObject(instID = instID, multiple = inst.multiple, tick_base=inst.tick_base, marginrate = (inst.marginrate[0],inst.marginrate[0]) )
self.agent.rsp_qry_instrument(ins)
def ReqQryInstrumentMarginRate(self,req,req_id=0):
logging.info(u'查询保证金')
instID = req.InstrumentID
inst = self.agent.instruments[instID]
mgr = (inst.marginrate[0],inst.marginrate[0])
self.agent.rsp_qry_instrument_marginrate(instID, mgr)
def ReqQryInvestorPosition(self,req,req_id=0):
#暂默认无持仓
pass
def confirm_settlement_info(self):
self.agent.isSettlementInfoConfirmed = True
def check_order_status(self):
return False
class MarketDataMock(object):
'''简单起见，只模拟一个合约，用于功能测试
'''
ApiStruct = ctp.futures.ApiStruct
def __init__(self,myagent):
self.name = 'Mock-MD'
self.instIDs = myagent.instruments.keys()
self.data_freq = 'tick'
self.agent = myagent
def play_tick(self, tday=0):
tick_data = mdb.load_tick_data('fut_tick', self.instIDs, tday, tday)
for tick in tick_data:
ctick = agent.TickData(instID=str(tick['instID']),
high=float(tick['high']),
low =float(tick['low']),
price=float(tick['price']),
volume=int(tick['volume']),
openInterest=int(tick['openInterest']),
bidPrice1=float(tick['bidPrice1']),
bidVol1=int(tick['bidVol1']),
askPrice1=float(tick['askPrice1']),
askVol1=int(tick['askVol1']),
timestamp=tick['timestamp'])
self.agent.RtnTick(ctick)
def create_agent_with_mocktrader(agent_name, instruments, strat_cfg, tday):
strategies = strat_cfg['strategies']
config = {}
config['folder'] = strat_cfg['folder']
config['daily_data_days'] = strat_cfg['daily_data_days']
config['min_data_days'] = strat_cfg['min_data_days']
if 'enable_option' in strat_cfg:
config['enable_option'] = strat_cfg['enable_option']
else:
config['enable_option'] = False
agent_class = agent.Agent
if config['enable_option'] == True:
agent_class = optagent.OptionAgent
myagent = agent_class(agent_name, None, None, instruments, strategies, tday, config)
myagent.trader = trader = TraderMock(myagent)
return myagent, trader
def trade_mock( curr_date, insts = [['IF1412', 'IF1503']]):
logging.basicConfig(filename="ctp_trade_mock.log",level=logging.INFO,format='%(name)s:%(funcName)s:%(lineno)d:%(asctime)s %(levelname)s %(message)s')
instruments = list(set(itertools.chain(*insts)))
data_func = [
('d', BaseObject(name = 'ATR_20', sfunc=fcustom(data_handler.ATR, n=20), rfunc=fcustom(data_handler.atr, n=20))), \
('d', BaseObject(name = 'DONCH_L10', sfunc=fcustom(data_handler.DONCH_L, n=10), rfunc=fcustom(data_handler.donch_l, n=10))),\
('d', BaseObject(name = 'DONCH_H10', sfunc=fcustom(data_handler.DONCH_H, n=10), rfunc=fcustom(data_handler.donch_h, n=10))),\
('d', BaseObject(name = 'DONCH_L20', sfunc=fcustom(data_handler.DONCH_L, n=20), rfunc=fcustom(data_handler.donch_l, n=20))),\
('d', BaseObject(name = 'DONCH_H20', sfunc=fcustom(data_handler.DONCH_H, n=20), rfunc=fcustom(data_handler.donch_h, n=20))),\
('1m',BaseObject(name = 'EMA_3', sfunc=fcustom(data_handler.EMA, n=3), rfunc=fcustom(data_handler.ema, n=3))), \
('1m',BaseObject(name = 'EMA_30', sfunc=fcustom(data_handler.EMA, n=30), rfunc=fcustom(data_handler.ema, n=30))) \
]
test_strat = strat.Strategy('TestStrat', [insts], None, data_func, [[1,-1]])
strat_cfg = {'strategies': [test_strat], \
'folder': 'C:\\dev\\src\\ktlib\\pythonctp\\pyctp\\', \
'daily_data_days':25, \
'min_data_days':2 }
agent_name = "Test"
tday = curr_date
my_agent, my_trader = create_agent_with_mocktrader(agent_name, instruments, strat_cfg, tday)
my_user = MarketDataMock(my_agent)
req = BaseObject(InstrumentID='cu1502')
my_agent.resume()
my_user.play_tick(tday)
def semi_mock(curr_date, user_cfg, insts = [['IF1412', 'IF1503']]):
''' 半模拟
实际行情，mock交易
'''
logging.basicConfig(filename="ctp_semi_mock.log",level=logging.INFO,format='%(name)s:%(funcName)s:%(lineno)d:%(asctime)s %(levelname)s %(message)s')
instruments = list(set(itertools.chain(*insts)))
data_func = [
('d', BaseObject(name = 'ATR_20', sfunc=fcustom(data_handler.ATR, n=20), rfunc=fcustom(data_handler.atr, n=20))), \
('d', BaseObject(name = 'DONCH_L10', sfunc=fcustom(data_handler.DONCH_L, n=10), rfunc=fcustom(data_handler.donch_l, n=10))),\
('d', BaseObject(name = 'DONCH_H10', sfunc=fcustom(data_handler.DONCH_H, n=10), rfunc=fcustom(data_handler.donch_h, n=10))),\
('d', BaseObject(name = 'DONCH_L20', sfunc=fcustom(data_handler.DONCH_L, n=20), rfunc=fcustom(data_handler.donch_l, n=20))),\
('d', BaseObject(name = 'DONCH_H20', sfunc=fcustom(data_handler.DONCH_H, n=20), rfunc=fcustom(data_handler.donch_h, n=20))),\
('1m',BaseObject(name = 'EMA_3', sfunc=fcustom(data_handler.EMA, n=3), rfunc=fcustom(data_handler.ema, n=3))), \
('1m',BaseObject(name = 'EMA_30', sfunc=fcustom(data_handler.EMA, n=30), rfunc=fcustom(data_handler.ema, n=30))) \
]
test_strat = strat.Strategy('TestStrat', [insts], None, data_func, [[1,-1]])
strat_cfg = {'strategies': [test_strat], \
'folder': 'C:\\dev\\src\\ktlib\\pythonctp\\pyctp\\', \
'daily_data_days':25, \
'min_data_days':2 }
agent_name = "Test"
tday = curr_date
my_agent, my_trader = create_agent_with_mocktrader(agent_name, instruments, strat_cfg, tday)
fut_api.make_user(my_agent,user_cfg)
req = BaseObject(InstrumentID='cu1502')
my_trader.ReqQryInstrumentMarginRate(req)
my_trader.ReqQryInstrument(req)
my_trader.ReqQryTradingAccount(req)
my_agent.resume()
try:
while 1: time.sleep(1)
except KeyboardInterrupt:
my_agent.mdapis = [];
my_agent.trader = None
pass
if __name__ == '__main__':
tday = datetime.date(2014,11,21)
insts = [['cu1502'], ['cu1503']]
semi_mock(tday, PROD_USER, insts)
#trade_mock(tday)