使用ctpplus，然后增加回测模块
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+85
-37
@@ -7,6 +7,7 @@ import threading # 线程模块
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import os # 操作系统模块
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import json # JSON模块
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import re # 正则表达式模块
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import csv # CSV模块
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import time as time_module # 标准库时间模块
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from datetime import datetime, time as datetime_time # datetime时间对象
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from multiprocessing import Process, Queue # 多进程模块
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@@ -167,12 +168,23 @@ class OrderFlowTrader(TraderApiBase):
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# 数据存储
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self._json_save_counter = {} # JSON保存计数器
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self.md_queue = md_queue # 行情队列
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self._tick_record_counter = {} # tick录制计数器 {symbol: count}
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# ============ 行情数据处理 ============
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def tickcome(self, md_queue):
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"""接收并处理Tick行情数据"""
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data = md_queue # 从队列获取行情数据
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# === tick录制（实盘模式） ===
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if SYSTEM_CONFIG.get("record_tick", False):
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instrument_id_raw = data["InstrumentID"]
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symbol = instrument_id_raw.decode() if isinstance(instrument_id_raw, bytes) else instrument_id_raw
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self._tick_record_counter[symbol] = self._tick_record_counter.get(symbol, 0) + 1
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interval = SYSTEM_CONFIG.get("tick_record_interval", 1)
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if self._tick_record_counter[symbol] % interval == 0:
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self._record_tick_to_csv(data, symbol)
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instrument_id = data["InstrumentID"].decode() # 解码合约代码
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action_day = data["ActionDay"].decode() # 解码交易日期
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update_time = data["UpdateTime"].decode() # 解码更新时间
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@@ -215,6 +227,36 @@ class OrderFlowTrader(TraderApiBase):
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}
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self.on_tick(tick) # 调用Tick处理回调
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def _record_tick_to_csv(self, data: dict, symbol: str):
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"""录制 tick 数据到 CSV"""
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data_dir = SYSTEM_CONFIG["data_dir"]
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os.makedirs(data_dir, exist_ok=True)
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csv_path = f"{data_dir}/{symbol}_tick.csv"
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# CSV 字段
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fields = [
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"InstrumentID", "ActionDay", "UpdateTime", "UpdateMillisec",
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"LastPrice", "Volume", "BidPrice1", "BidVolume1",
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"AskPrice1", "AskVolume1", "UpperLimitPrice", "LowerLimitPrice",
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"TradingDay", "Turnover", "OpenInterest"
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]
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# 写入字段（bytes 解码）
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row = {}
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for field in fields:
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val = data.get(field)
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if isinstance(val, bytes):
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row[field] = val.decode()
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else:
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row[field] = val
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file_exists = os.path.exists(csv_path)
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with open(csv_path, 'a', newline='', encoding='utf-8') as f:
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writer = csv.DictWriter(f, fieldnames=fields)
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if not file_exists:
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writer.writeheader()
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writer.writerow(row)
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def on_tick(self, tick):
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"""处理单个Tick数据"""
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if tick["last_volume"] == 0: # 无成交量则返回
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@@ -330,6 +372,8 @@ class OrderFlowTrader(TraderApiBase):
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of = DataStore.ofdata.pop(symbol, None)
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if of is not None:
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self.data_of(symbol, of) # 写入交易DataFrame
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# 保存 ofdata.json（改善时间戳对齐：旧K线完成时即保存）
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self.save_ofdata_json(symbol)
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# 清空旧K线的报价数据
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with self._quote_lock:
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@@ -1033,9 +1077,6 @@ class OrderFlowTrader(TraderApiBase):
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# 计算Delta累计（必须在保存之前）
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self.calculate_delta_cumulative(trade_df, param)
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# 保存 ofdata.json（计算 delta累计 之后）
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self.save_ofdata_json(instrument_id)
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# 计算交易信号
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bull_signal, bear_signal, dj_last, delta_last = self.calculate_signals(trade_df, param)
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@@ -1146,44 +1187,51 @@ if __name__ == "__main__":
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for symbol, config in TRADING_PARAMS.items():
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param_dict[symbol] = TradingParam.from_config(symbol, config)
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# 连接SimNow模拟交易
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future_account = get_simulate_account(
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investor_id=SIMNOW_CONFIG["investor_id"],
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password=SIMNOW_CONFIG["password"],
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server_name=SIMNOW_CONFIG["server_name"],
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subscribe_list=list(param_dict.keys()),
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)
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# ===模式切换：回测模式 ===
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if SYSTEM_CONFIG.get("mode", "live") == "backtest":
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from backtest import Backtester
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backtester = Backtester(param_dict)
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backtester.run()
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else:
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# === 实盘/模拟模式 ===
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# 连接SimNow模拟交易
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future_account = get_simulate_account(
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investor_id=SIMNOW_CONFIG["investor_id"],
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password=SIMNOW_CONFIG["password"],
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server_name=SIMNOW_CONFIG["server_name"],
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subscribe_list=list(param_dict.keys()),
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)
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# 连接实盘（备用）
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# from CtpPlus.CTP.FutureAccount import FutureAccount
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# future_account = FutureAccount(...)
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# 连接实盘（备用）
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# from CtpPlus.CTP.FutureAccount import FutureAccount
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# future_account = FutureAccount(...)
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print("开始", len(future_account.subscribe_list))
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print("开始", len(future_account.subscribe_list))
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# 创建共享队列
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share_queue = Queue(maxsize=SYSTEM_CONFIG["queue_share_size"])
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# 创建共享队列
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share_queue = Queue(maxsize=SYSTEM_CONFIG["queue_share_size"])
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# 启动行情进程
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md_process = Process(target=run_tick_engine, args=(future_account, [share_queue]))
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# 启动行情进程
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md_process = Process(target=run_tick_engine, args=(future_account, [share_queue]))
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# 启动交易进程
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trader_process = Process(
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target=run_trader,
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args=(
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param_dict,
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future_account.broker_id,
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future_account.server_dict["TDServer"],
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future_account.investor_id,
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future_account.password,
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future_account.app_id,
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future_account.auth_code,
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share_queue,
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future_account.td_flow_path,
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),
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)
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# 启动交易进程
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trader_process = Process(
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target=run_trader,
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args=(
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param_dict,
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future_account.broker_id,
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future_account.server_dict["TDServer"],
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future_account.investor_id,
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future_account.password,
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future_account.app_id,
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future_account.auth_code,
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share_queue,
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future_account.td_flow_path,
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),
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)
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md_process.start() # 启动行情进程
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trader_process.start() # 启动交易进程
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md_process.start() # 启动行情进程
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trader_process.start() # 启动交易进程
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md_process.join() # 等待行情进程结束
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trader_process.join() # 等待交易进程结束
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md_process.join() # 等待行情进程结束
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trader_process.join() # 等待交易进程结束
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