diff --git a/1.交易策略/999.其他策略/4.松鼠SF20_基于LLM的订单流日内交易策略/使用文档/4.14版本_new/vip20_orderflow.py b/1.交易策略/999.其他策略/4.松鼠SF20_基于LLM的订单流日内交易策略/使用文档/4.14版本_new/vip20_orderflow.py index 395d462..2254967 100644 --- a/1.交易策略/999.其他策略/4.松鼠SF20_基于LLM的订单流日内交易策略/使用文档/4.14版本_new/vip20_orderflow.py +++ b/1.交易策略/999.其他策略/4.松鼠SF20_基于LLM的订单流日内交易策略/使用文档/4.14版本_new/vip20_orderflow.py @@ -1,9 +1,4 @@ ''' -#公众号：松鼠Quant -#主页：www.quant789.com -#本策略仅作学习交流使用，实盘交易盈亏投资者个人负责！！！ -#版权归松鼠Quant所有，禁止转发、转卖源码违者必究。 - 该代码的主要目的是处理Tick数据并生成交易信号。代码中定义了一个tickcome函数，它接收到Tick数据后会进行一系列的处理，包括构建Tick字典、更新上一个Tick的成交量、保存Tick数据、生成K线数据等。其中涉及到的一些函数有： on_tick(tick): 处理单个Tick数据，根据Tick数据生成K线数据。 @@ -11,10 +6,6 @@ tickdata(df, symbol): 处理Tick数据，生成K线数据。 orderflow_df_new(df_tick, df_min, symbol): 处理Tick和K线数据，生成订单流数据。 GetOrderFlow_dj(kData): 计算订单流的信号指标。 除此之外，代码中还定义了一个MyTrader类，继承自TraderApiBase，用于实现交易相关的功能。 -#公众号：松鼠Quant -#主页：www.quant789.com -#本策略仅作学习交流使用，实盘交易盈亏投资者个人负责！！！ -#版权归松鼠Quant所有，禁止转发、转卖源码违者必究。 ''' from multiprocessing import Process, Queue from AlgoPlus.CTP.MdApi import run_tick_engine @@ -44,6 +35,8 @@ import re # 新增 import logging # 新增 from logging.handlers import RotatingFileHandler # 新增 +# from vnpy_tts import TtsGateway + # 在文件顶部定义全局变量 tickdatadict = {} # 存储Tick数据的字典 @@ -60,6 +53,21 @@ AI_SIGNAL_QUEUE = ThreadQueue() AI_THREAD_RUNNING = False # 不再需要单独的K线时间粒度全局变量，它已经被整合到GLOBAL_LLM_CONFIG中 +# 20250509: add feishu +def send_feishu_message(text): + headers = { + "Content-Type": "application/json" + } + data = { + "msg_type": "text", + "content": { + "text": text + } + } + response = requests.post("https://open.feishu.cn/open-apis/bot/v2/hook/8608dfa4-e599-462a-8dba-6ac72873dd27", headers=headers, json=data) + if response.status_code != 200: + print(f"飞书消息发送失败，状态码: {response.status_code}, 响应内容: {response.text}") + def setup_logging(log_folder='logs'): # 确保日志文件夹存在 if not os.path.exists(log_folder): @@ -191,10 +199,6 @@ def on_tick(tick): # 直接调用tickdata，不传递resample_rule参数，让其自行从全局配置获取 tickdata(tick_dt, sym) -#公众号：松鼠Quant -#主页：www.quant789.com -#本策略仅作学习交流使用，实盘交易盈亏投资者个人负责！！！ -#版权归松鼠Quant所有，禁止转发、转卖源码违者必究。 def data_of(df): global trader_df @@ -237,12 +241,7 @@ def process(bidDict, askDict, symbol): df = {'bidDictResult': bidDictResult, 'askDictResult': askDictResult} quotedict[symbol] = df - return bidDictResult, askDictResult -#公众号：松鼠Quant -#主页：www.quant789.com -#本策略仅作学习交流使用，实盘交易盈亏投资者个人负责！！！ -#版权归松鼠Quant所有，禁止转发、转卖源码违者必究。 - + return bidDictResult, askDictResult def tickdata(df, symbol): tickdata =pd.DataFrame({'datetime':df['datetime'],'symbol':df['symbol'],'lastprice':df['lastprice'], @@ -305,10 +304,6 @@ def tickdata(df, symbol): orderflow_df_new(tickdata,bardata,symbol) # time.sleep(0.5) -#公众号：松鼠Quant -#主页：www.quant789.com -#本策略仅作学习交流使用，实盘交易盈亏投资者个人负责！！！ -#版权归松鼠Quant所有，禁止转发、转卖源码违者必究。 def orderflow_df_new(df_tick,df_min,symbol): startArray = pd.to_datetime(df_min['starttime']).values @@ -380,11 +375,7 @@ def orderflow_df_new(df_tick,df_min,symbol): #df['ticktime']=tTickArray[0] df['dj'] = GetOrderFlow_dj(df) ofdatadict[symbol]=df - -#公众号：松鼠Quant -#主页：www.quant789.com -#本策略仅作学习交流使用，实盘交易盈亏投资者个人负责！！！ -#版权归松鼠Quant所有，禁止转发、转卖源码违者必究。 + def GetOrderFlow_dj(kData): Config = { @@ -973,12 +964,7 @@ class MyTrader(TraderApiBase): def OnRspOrderInsert(self, pInputOrder, pRspInfo, nRequestID, bIsLast): print("||OnRspOrderInsert||", pInputOrder, pRspInfo, nRequestID, bIsLast) - - #公众号：松鼠Quant - #主页：www.quant789.com - #本策略仅作学习交流使用，实盘交易盈亏投资者个人负责！！！ - #版权归松鼠Quant所有，禁止转发、转卖源码违者必究。 - + #注意：运行前请先安装好algoplus, # pip install AlgoPlus #http://www.algo.plus/ctp/python/0103001.html @@ -1173,13 +1159,7 @@ class MyTrader(TraderApiBase): AI_LOGGER.error(log_message) finally: # 标记线程已完成 - AI_THREAD_RUNNING = False - - - #公众号：松鼠Quant - #主页：www.quant789.com - #本策略仅作学习交流使用，实盘交易盈亏投资者个人负责！！！ - #版权归松鼠Quant所有，禁止转发、转卖源码违者必究。 + AI_THREAD_RUNNING = False #注意：运行前请先安装好algoplus, # pip install AlgoPlus @@ -1220,6 +1200,11 @@ class MyTrader(TraderApiBase): for line in log_lines: print(line) SIGNAL_LOGGER.info(line) + if action != '不操作': + send_feishu_message(line) + + if action != '不操作': + send_feishu_message(f"开始执行交易，当前价格: 买一{data['BidPrice1']} / 卖一{data['AskPrice1']}") # 确保合约在止损止盈字典中 self._ensure_stop_order_dict(instrument_id) @@ -1236,6 +1221,7 @@ class MyTrader(TraderApiBase): print(f"开始执行交易，当前价格: 买一{data['BidPrice1']} / 卖一{data['AskPrice1']}") + # 根据不同交易行为执行相应操作 if action == '开多' and current_stops['long']['position'] <= 0: self._handle_open_long(data, instrument_id, stop_loss, take_profit) @@ -1476,12 +1462,7 @@ class MyTrader(TraderApiBase): elif current_stops['short']['position'] > 0: # 空头持仓 self.update_stop_order_dict(instrument_id, 'short', None, None, None, take_profit, None) print(f'已调整空头止盈价: {take_profit}') - self.save_to_csv(instrument_id) - - #公众号：松鼠Quant - #主页：www.quant789.com - #本策略仅作学习交流使用，实盘交易盈亏投资者个人负责！！！ - #版权归松鼠Quant所有，禁止转发、转卖源码违者必究。 + self.save_to_csv(instrument_id) #注意：运行前请先安装好algoplus, # pip install AlgoPlus @@ -1928,6 +1909,7 @@ class MyTrader(TraderApiBase): # 检查止损 if stops['long']['stop_loss'] > 0 and current_bid <= stops['long']['stop_loss']: print(f"触发多头止损: {instrument_id}, 价格: {current_bid}, 止损价: {stops['long']['stop_loss']}") + send_feishu_message(f"触发多头止损: {instrument_id}, 价格: {current_bid}, 止损价: {stops['long']['stop_loss']}") self.insert_order(data['ExchangeID'], data['InstrumentID'], current_bid-self.py, stops['long']['position'], b'1', b'3') # 清空多头持仓信息 @@ -1937,6 +1919,7 @@ class MyTrader(TraderApiBase): # 检查跟踪止损 - 确保只在价格高于开仓价且低于跟踪止损价时触发 elif stops['long']['trailing_stop'] > 0 and current_bid < stops['long']['trailing_stop'] and current_bid > entry_price: print(f"触发多头跟踪止损: {instrument_id}, 价格: {current_bid}, 跟踪止损价: {stops['long']['trailing_stop']}, 开仓价: {entry_price}") + send_feishu_message(f"触发多头跟踪止损: {instrument_id}, 价格: {current_bid}, 跟踪止损价: {stops['long']['trailing_stop']}, 开仓价: {entry_price}") self.insert_order(data['ExchangeID'], data['InstrumentID'], current_bid-self.py, stops['long']['position'], b'1', b'3') # 清空多头持仓信息 @@ -1946,6 +1929,7 @@ class MyTrader(TraderApiBase): # 检查止盈 elif stops['long']['take_profit'] > 0 and current_bid >= stops['long']['take_profit']: print(f"触发多头止盈: {instrument_id}, 价格: {current_bid}, 止盈价: {stops['long']['take_profit']}") + send_feishu_message(f"触发多头止盈: {instrument_id}, 价格: {current_bid}, 止盈价: {stops['long']['take_profit']}") self.insert_order(data['ExchangeID'], data['InstrumentID'], current_bid-self.py, stops['long']['position'], b'1', b'3') # 清空多头持仓信息 @@ -1977,6 +1961,7 @@ class MyTrader(TraderApiBase): # 检查止损 if stops['short']['stop_loss'] > 0 and current_ask >= stops['short']['stop_loss']: print(f"触发空头止损: {instrument_id}, 价格: {current_ask}, 止损价: {stops['short']['stop_loss']}") + send_feishu_message(f"触发空头止损: {instrument_id}, 价格: {current_ask}, 止损价: {stops['short']['stop_loss']}") self.insert_order(data['ExchangeID'], data['InstrumentID'], current_ask+self.py, stops['short']['position'], b'0', b'3') # 清空空头持仓信息 @@ -1986,6 +1971,7 @@ class MyTrader(TraderApiBase): # 检查跟踪止损 - 确保只在价格低于开仓价且高于跟踪止损价时触发 elif stops['short']['trailing_stop'] > 0 and current_ask > stops['short']['trailing_stop'] and current_ask < entry_price: print(f"触发空头跟踪止损: {instrument_id}, 价格: {current_ask}, 跟踪止损价: {stops['short']['trailing_stop']}, 开仓价: {entry_price}") + send_feishu_message(f"触发空头跟踪止损: {instrument_id}, 价格: {current_ask}, 跟踪止损价: {stops['short']['trailing_stop']}, 开仓价: {entry_price}") self.insert_order(data['ExchangeID'], data['InstrumentID'], current_ask+self.py, stops['short']['position'], b'0', b'3') # 清空空头持仓信息 @@ -1995,6 +1981,7 @@ class MyTrader(TraderApiBase): # 检查止盈 elif stops['short']['take_profit'] > 0 and current_ask <= stops['short']['take_profit']: print(f"触发空头止盈: {instrument_id}, 价格: {current_ask}, 止盈价: {stops['short']['take_profit']}") + send_feishu_message(f"触发空头止盈: {instrument_id}, 价格: {current_ask}, 止盈价: {stops['short']['take_profit']}") self.insert_order(data['ExchangeID'], data['InstrumentID'], current_ask+self.py, stops['short']['position'], b'0', b'3') # 清空空头持仓信息 @@ -2501,10 +2488,6 @@ def clean_log_directory(log_dir="./log", timeout_seconds=5): return success if __name__ == '__main__': - #公众号：松鼠Quant - #主页：www.quant789.com - #本策略仅作学习交流使用，实盘交易盈亏投资者个人负责！！！ - #版权归松鼠Quant所有，禁止转发、转卖源码违者必究。 # 清理日志目录 clean_log_directory(log_dir="./log", timeout_seconds=10) # 可以调整超时时间 @@ -2518,7 +2501,7 @@ if __name__ == '__main__': # 配置大模型参数 o3 代理地址: https://2233.ai/i/9ONWNBDK # deepseek模型地址：https://www.deepseek.com/ 右上角进入API开放平台创建APIKEY - api_key = "" #配置大模型API密钥 + api_key = "sk-6a28007843344b44b028297bf349459c" #配置大模型API密钥 api_url = "https://api.deepseek.com" #配置大模型API地址 api_model = "deepseek-chat" # 大模型名称 @@ -2538,10 +2521,10 @@ if __name__ == '__main__': # simnow的future_account字典,如果实盘请注释掉simnow的future_account字典 future_account = get_simulate_account( - investor_id='', #Simnow的账号，注意不是注册账号，是网站登录SIMNOW后，显示的投资者ID - password='', #Simnow的密码，你注册时填写的密码 + investor_id='223828', #Simnow的账号，注意不是注册账号，是网站登录SIMNOW后，显示的投资者ID + password='Zj1234!@#%', #Simnow的密码，你注册时填写的密码 server_name='电信1',# 电信1、电信2、移动、TEST、N视界 - subscribe_list= [b'au2506'], # 订阅合约列表，注意是bytes类型，例如b'au2506' + subscribe_list= [b'IM2506'], # 订阅合约列表，注意是bytes类型，例如b'IM2505' md_flow_path=temp_md_dir, td_flow_path=temp_td_dir, ) @@ -2556,7 +2539,22 @@ if __name__ == '__main__': # password='', # 密码 # app_id='simnow_client_test', # 认证使用AppID # auth_code='0000000000000000', # 认证使用授权码 - # subscribe_list=[b'au2506'], # 订阅合约列表 + # subscribe_list=[b'IM2505'], # 订阅合约列表 + # md_flow_path=temp_md_dir, # MdApi流文件存储地址，默认MD_LOCATION + # td_flow_path=temp_td_dir, # TraderApi流文件存储地址，默认TD_LOCATION + # ) + + #TTS系统CTP程序只要替换一下ctp动态库即可接入TTS系统。BrokerID: 不用填，AppID: 不用填，AuthCode: 不用填： + # 1、 openctp-7x24：TradeFront：tcp://121.37.80.177:20002；MarketFront：tcp://121.37.80.177:20004；1、 openctp-仿真：TradeFront：tcp://121.37.90.193:20002 + # future_account = FutureAccount( + # broker_id='', # 期货公司BrokerID + # server_dict={'TDServer': "121.37.80.177:20002", 'MDServer': '121.37.80.177:20004'}, # TDServer为交易服务器，MDServer为行情服务器。服务器地址格式为"ip:port。" + # reserve_server_dict={}, # 备用服务器地址 + # investor_id='1148', # 账户 + # password='123456', # 密码 + # app_id='', # 认证使用AppID + # auth_code='', # 认证使用授权码 + # subscribe_list=[b'IM2505'], # 订阅合约列表 # md_flow_path=temp_md_dir, # MdApi流文件存储地址，默认MD_LOCATION # td_flow_path=temp_td_dir, # TraderApi流文件存储地址，默认TD_LOCATION # ) diff --git a/log/1148/md.con/DialogRsp.con b/log/1148/md.con/DialogRsp.con deleted file mode 100644 index ab2c684..0000000 Binary files a/log/1148/md.con/DialogRsp.con and /dev/null differ diff --git a/log/1148/md.con/QueryRsp.con b/log/1148/md.con/QueryRsp.con deleted file mode 100644 index ab2c684..0000000 Binary files a/log/1148/md.con/QueryRsp.con and /dev/null differ diff --git a/log/1148/md.con/TradingDay.con b/log/1148/md.con/TradingDay.con deleted file mode 100644 index ab2c684..0000000 Binary files a/log/1148/md.con/TradingDay.con and /dev/null differ diff --git a/log/1148/td.con/DialogRsp.con b/log/1148/td.con/DialogRsp.con deleted file mode 100644 index ab2c684..0000000 Binary files a/log/1148/td.con/DialogRsp.con and /dev/null differ diff --git a/log/1148/td.con/Private.con b/log/1148/td.con/Private.con deleted file mode 100644 index ab2c684..0000000 Binary files a/log/1148/td.con/Private.con and /dev/null differ diff --git a/log/1148/td.con/Public.con b/log/1148/td.con/Public.con deleted file mode 100644 index ab2c684..0000000 Binary files a/log/1148/td.con/Public.con and /dev/null differ diff --git a/log/1148/td.con/QueryRsp.con b/log/1148/td.con/QueryRsp.con deleted file mode 100644 index ab2c684..0000000 Binary files a/log/1148/td.con/QueryRsp.con and /dev/null differ diff --git a/log/1148/td.con/TradingDay.con b/log/1148/td.con/TradingDay.con deleted file mode 100644 index ab2c684..0000000 Binary files a/log/1148/td.con/TradingDay.con and /dev/null differ