1092 lines
55 KiB
Python
1092 lines
55 KiB
Python
'''
|
||
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：
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on_tick(tick): 处理单个Tick数据，根据Tick数据生成K线数据。
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tickdata(df, symbol): 处理Tick数据，生成K线数据。
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orderflow_df_new(df_tick, df_min, symbol): 处理Tick和K线数据，生成订单流数据。
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GetOrderFlow_dj(kData): 计算订单流的信号指标。
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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。
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'''
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from concurrent.futures import ThreadPoolExecutor
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from multiprocessing import Process, Queue
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import queue
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import threading
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from AlgoPlus.CTP.MdApi import run_tick_engine
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from AlgoPlus.CTP.FutureAccount import get_simulate_account
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from AlgoPlus.CTP.FutureAccount import FutureAccount
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from AlgoPlus.CTP.TraderApiBase import TraderApiBase
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# from AlgoPlus.ta.time_bar import tick_to_bar
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import pandas as pd
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from datetime import datetime#, timedelta
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from datetime import time as s_time
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import operator
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import time
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import numpy as np
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import os
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import csv
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# import re
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# 加入邮件通知
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import smtplib
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from email.mime.text import MIMEText # 导入 MIMEText 类发送纯文本邮件
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from email.mime.multipart import MIMEMultipart # 导入 MIMEMultipart 类发送带有附件的邮件
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# from email.mime.application import MIMEApplication # 导入 MIMEApplication 类发送二进制附件
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## 配置邮件信息
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receivers = ["240884432@qq.com"] # 设置邮件接收人地址
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subject = "模拟账户订单流策略交易信号" # 设置邮件主题
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#text = " " # 设置邮件正文
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# file_path = "test.txt" # 设置邮件附件文件路径
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## 配置邮件服务器信息
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smtp_server = "smtp.qq.com" # 设置发送邮件的 SMTP 服务器地址
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smtp_port = 465 # 设置发送邮件的 SMTP 服务器端口号，一般为 25 端口 465
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sender = "240884432@qq.com" # 设置发送邮件的邮箱地址
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username = "240884432@qq.com" # 设置发送邮件的邮箱用户名
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password = "osjyjmbqrzxtbjbf" #zrmpcgttataabhjh，设置发送邮件的邮箱密码或授权码
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tickdatadict = {} # 存储Tick数据的字典
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quotedict = {} # 存储行情数据的字典
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ofdatadict = {} # 存储K线数据的字典
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trade_dfs = {} #pd.DataFrame({}) # 存储交易数据的DataFrame对象
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previous_volume = {} # 上一个Tick的成交量
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tsymbollist={} #过渡tick
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截面数据_资金流向={}
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top_two_symbols=[]
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# # Jerome:期货收盘时间交易品种
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# clear_execute_dict = {'sc': s_time(2,30), 'bc': s_time(1,0), 'lu': s_time(23,0), 'nr': s_time(23,0),'au': s_time(2,30), 'ag': s_time(2,30),
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# 'ss': s_time(1,0), 'sn': s_time(1,0), 'ni': s_time(1,0), 'pb': s_time(1,0),'zn': s_time(1,0), 'al': s_time(1,0), 'cu': s_time(1,0),
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# 'ru': s_time(23,0), 'rb': s_time(23,0), 'hc': s_time(23,0), 'fu': s_time(23,0), 'bu': s_time(23,0), 'sp': s_time(23,0),
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# 'PF': s_time(23,0), 'SR': s_time(23,0), 'CF': s_time(23,0), 'CY': s_time(23,0), 'RM': s_time(23,0), 'MA': s_time(23,0),
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# 'TA': s_time(23,0), 'ZC': s_time(23,0), 'FG': s_time(23,0), 'OI': s_time(23,0), 'SA': s_time(23,0),
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# 'p': s_time(23,0), 'j': s_time(23,0), 'jm': s_time(23,0), 'i': s_time(23,0), 'l': s_time(23,0), 'v': s_time(23,0),
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# 'pp': s_time(23,0), 'eg': s_time(23,0), 'c': s_time(23,0), 'cs': s_time(23,0), 'y': s_time(23,0), 'm': s_time(23,0),
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# 'a': s_time(23,0), 'b': s_time(23,0), 'rr': s_time(23,0), 'eb': s_time(23,0), 'pg': s_time(23,0), 'SH': s_time(23,00)}
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fees_df = pd.read_csv('./futures_fees_info.csv', header = 0, usecols= [1, 3, 5, 13, 15],names=['合约代码', '品种代码', '合约乘数', '做多保证金率', '做空保证金率'])
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contacts_df = pd.read_csv('./main_contacts.csv', header = 0, usecols= [16, 17],names=['主连代码', '品种代码'])
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#交易程序---------------------------------------------------------------------------------------------------------------------------------------------------------------------
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class ParamObj:
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# 策略需要用到的参数，在新建合约对象的时候传入！！
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symbol = None #合约名称
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Lots = None #下单手数
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py = None #设置委托价格的偏移，更加容易促成成交
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trailing_stop_percent = None #跟踪出场参数
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fixed_stop_loss_percent = None #固定出场参数
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dj_X = None #开仓的堆积参数
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delta = None #开仓的delta参数
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sum_delta = None #开仓的delta累积参数
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失衡=None
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堆积=None
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周期=None
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# 策略需要用到的变量
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cont_df = 0
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pos = 0
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clearing_executed = False
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kgdata = True
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多头止损价格 = 0
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空头止损价格 = 0
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多头成本价格 = 0
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空头成本价格 = 0
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多头开仓历时=0
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空头开仓历时=0
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平_多时间=4
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平_空时间=4
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def __init__(self, symbol, Lots, py,dj_X, delta, sum_delta,失衡,堆积,周期,平_多时间,平_空时间):
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self.symbol = symbol
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self.Lots = Lots
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self.py = py
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self.dj_X = dj_X
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self.delta = delta
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self.sum_delta = sum_delta
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self.失衡=失衡
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self.堆积=堆积
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self.周期=周期
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self.平_多时间=平_多时间
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self.平_空时间=平_空时间
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||
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||
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class MyTrader(TraderApiBase):
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def __init__(self, broker_id, td_server, investor_id, password, app_id, auth_code, md_queue=None, page_dir='', private_resume_type=2, public_resume_type=2):
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self.param_dict = {}
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self.queue_dict = {}
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||
self.品种=' '
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||
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||
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def tickcome(self,md_queue):
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global previous_volume
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data=md_queue
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instrument_id = data['InstrumentID'].decode() # 品种代码
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ActionDay = data['ActionDay'].decode() # 交易日日期
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update_time = data['UpdateTime'].decode() # 更新时间
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update_millisec = str(data['UpdateMillisec']) # 更新毫秒数
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created_at = ActionDay[:4] + '-' + ActionDay[4:6] + '-' + ActionDay[6:] + ' ' + update_time + '.' + update_millisec #创建时间
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# 构建tick字典
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tick = {
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'symbol': instrument_id, # 品种代码和交易所ID
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'created_at':datetime.strptime(created_at, "%Y-%m-%d %H:%M:%S.%f"),
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#'created_at': created_at, # 创建时间
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'price': float(data['LastPrice']), # 最新价
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'last_volume': int(data['Volume']) - previous_volume.get(instrument_id, 0) if previous_volume.get(instrument_id, 0) != 0 else 0, # 瞬时成交量
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'bid_p': float(data['BidPrice1']), # 买价
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'bid_v': int(data['BidVolume1']), # 买量
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'ask_p': float(data['AskPrice1']), # 卖价
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'ask_v': int(data['AskVolume1']), # 卖量
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'UpperLimitPrice': float(data['UpperLimitPrice']), # 涨停价
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'LowerLimitPrice': float(data['LowerLimitPrice']), # 跌停价
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'TradingDay': data['TradingDay'].decode(), # 交易日日期
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'cum_volume': int(data['Volume']), # 最新总成交量
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'cum_amount': float(data['Turnover']), # 最新总成交额
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'cum_position': int(data['OpenInterest']), # 合约持仓量
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}
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# print('&&&&&&&&',instrument_id, tick['created_at'],'vol:',tick['last_volume'])
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# 更新上一个Tick的成交量
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previous_volume[instrument_id] = int(data['Volume'])
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if tick['last_volume']>0:
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#print(tick['created_at'],'vol:',tick['last_volume'])
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# 处理Tick数据
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self.on_tick(tick)
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def can_time(self,hour, minute):
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hour = str(hour)
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minute = str(minute)
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if len(minute) == 1:
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minute = "0" + minute
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return int(hour + minute)
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def on_tick(self,tick):
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# tm=self.can_time(tick['created_at'].hour,tick['created_at'].minute)
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#print(tick['symbol'])
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#print(1)
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#if tm>1500 and tm<2100 :
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# return
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if tick['last_volume']==0:
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return
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quotes = tick
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timetick=str(tick['created_at']).replace('+08:00', '')
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tsymbol=tick['symbol']
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if tsymbol not in tsymbollist.keys():
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# 获取tick的买卖价和买卖量
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tsymbollist[tsymbol]=tick
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bid_p=quotes['bid_p']
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ask_p=quotes['ask_p']
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bid_v=quotes['bid_v']
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ask_v=quotes['ask_v']
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else:
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# 获取上一个tick的买卖价和买卖量
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rquotes =tsymbollist[tsymbol]
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bid_p=rquotes['bid_p']
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ask_p=rquotes['ask_p']
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bid_v=rquotes['bid_v']
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ask_v=rquotes['ask_v']
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tsymbollist[tsymbol]=tick
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tick_dt=pd.DataFrame({'datetime':timetick,'symbol':tick['symbol'],'mainsym':tick['symbol'].rstrip('0123456789').upper(),'lastprice':tick['price'],
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'vol':tick['last_volume'],
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'bid_p':bid_p,'ask_p':ask_p,'bid_v':bid_v,'ask_v':ask_v},index=[0])
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sym = tick_dt['symbol'][0]
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#print(tick_dt)
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self.tickdata(tick_dt,sym)
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def data_of(self,symbol, df):
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global trade_dfs
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# 将df数据合并到trader_df中
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# if symbol not in trade_dfs.keys():
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# trade_df = pd.DataFrame({})
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# else:
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# trade_df = trade_dfs[symbol]
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trade_dfs[symbol] = pd.concat([trade_dfs[symbol], df], ignore_index=True)
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# print('!!!!!!!!!!!trader_df: ', symbol, df['datetime'].iloc[-1])
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#print(trader_df)
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def process(self,bidDict, askDict, symbol):
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try:
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# 尝试从quotedict中获取对应品种的报价数据
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dic = quotedict[symbol]
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bidDictResult = dic['bidDictResult']
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askDictResult = dic['askDictResult']
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except: # noqa: E722
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# 如果获取失败，则初始化bidDictResult和askDictResult为空字典
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bidDictResult, askDictResult = {}, {}
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||
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# 将所有买盘字典和卖盘字典的key合并，并按升序排序
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sList = sorted(set(list(bidDict.keys()) + list(askDict.keys())))
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||
# 遍历所有的key，将相同key的值进行累加
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for s in sList:
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if s in bidDict:
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if s in bidDictResult:
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bidDictResult[s] = int(bidDict[s]) + bidDictResult[s]
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else:
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||
bidDictResult[s] = int(bidDict[s])
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if s not in askDictResult:
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askDictResult[s] = 0
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||
else:
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||
if s in askDictResult:
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askDictResult[s] = int(askDict[s]) + askDictResult[s]
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else:
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askDictResult[s] = int(askDict[s])
|
||
if s not in bidDictResult:
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bidDictResult[s] = 0
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||
|
||
# 构建包含bidDictResult和askDictResult的字典，并存入quotedict中
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df = {'bidDictResult': bidDictResult, 'askDictResult': askDictResult}
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quotedict[symbol] = df
|
||
|
||
return bidDictResult, askDictResult
|
||
|
||
def tickdata(self,df,symbol):
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||
tickdata =pd.DataFrame({'datetime':df['datetime'],'symbol':df['symbol'],'lastprice':df['lastprice'],
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'volume':df['vol'],'bid_p':df['bid_p'],'bid_v':df['bid_v'],'ask_p':df['ask_p'],'ask_v':df['ask_v']})
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try:
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if symbol in tickdatadict.keys():
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rdf=tickdatadict[symbol]
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rdftm=pd.to_datetime(rdf['bartime'][0]).strftime('%Y-%m-%d %H:%M:%S')
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now=str(tickdata['datetime'][0])
|
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if now>rdftm:
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try:
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oo=ofdatadict[symbol]
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self.data_of(symbol, oo)
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#print('oo',oo)
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if symbol in quotedict.keys():
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quotedict.pop(symbol)
|
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if symbol in tickdatadict.keys():
|
||
tickdatadict.pop(symbol)
|
||
if symbol in ofdatadict.keys():
|
||
ofdatadict.pop(symbol)
|
||
except IOError as e:
|
||
print('rdftm捕获到异常',e)
|
||
tickdata['bartime'] = pd.to_datetime(tickdata['datetime'])
|
||
tickdata['open'] = tickdata['lastprice']
|
||
tickdata['high'] = tickdata['lastprice']
|
||
tickdata['low'] = tickdata['lastprice']
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tickdata['close'] = tickdata['lastprice']
|
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tickdata['starttime'] = tickdata['datetime']
|
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else:
|
||
tickdata['bartime'] = rdf['bartime']
|
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tickdata['open'] = rdf['open']
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tickdata['high'] = max(tickdata['lastprice'].values,rdf['high'].values)
|
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tickdata['low'] = min(tickdata['lastprice'].values,rdf['low'].values)
|
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tickdata['close'] = tickdata['lastprice']
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tickdata['volume']=df['vol']+rdf['volume'].values
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tickdata['starttime'] = rdf['starttime']
|
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else :
|
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print('新bar的第一个tick进入')
|
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tickdata['bartime'] = pd.to_datetime(tickdata['datetime'])
|
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tickdata['open'] = tickdata['lastprice']
|
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tickdata['high'] = tickdata['lastprice']
|
||
tickdata['low'] = tickdata['lastprice']
|
||
tickdata['close'] = tickdata['lastprice']
|
||
tickdata['starttime'] = tickdata['datetime']
|
||
except IOError as e:
|
||
print('捕获到异常',e)
|
||
|
||
|
||
tickdata['bartime'] = pd.to_datetime(tickdata['bartime'])
|
||
param = self.param_dict[self.品种]
|
||
bardata = (
|
||
tickdata.resample(
|
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on="bartime", rule=param.周期, label="right", closed="right"
|
||
)
|
||
.agg({
|
||
"starttime": "first",
|
||
"symbol": "last",
|
||
"open": "first",
|
||
"high": "max",
|
||
"low": "min",
|
||
"close": "last",
|
||
"volume": "sum",
|
||
})
|
||
.reset_index(drop=False)
|
||
)
|
||
bardata = bardata.dropna().reset_index(drop=True)
|
||
bardata["bartime"] = pd.to_datetime(bardata["bartime"][0]).strftime(
|
||
"%Y-%m-%d %H:%M:%S"
|
||
)
|
||
tickdatadict[symbol] = bardata
|
||
tickdata["volume"] = df["vol"].values
|
||
self.orderflow_df_new(tickdata, bardata, symbol)
|
||
|
||
# 保存tickdata数据到本地csv
|
||
tickdata_file_path = f"tickdata/{str(symbol)}_tick.csv"
|
||
directory = os.path.dirname(tickdata_file_path)
|
||
if not os.path.exists(directory):
|
||
os.makedirs(directory)
|
||
if os.path.exists(tickdata_file_path):
|
||
tickdata.tail(1).to_csv(tickdata_file_path, mode='a', header=False, index=False)
|
||
f = open(tickdata_file_path, 'a')
|
||
f.flush()
|
||
# f.close()
|
||
else:
|
||
tickdata.to_csv(tickdata_file_path, index=False)
|
||
f = open(tickdata_file_path, 'a')
|
||
f.flush()
|
||
# f.close()
|
||
# time.sleep(0.5)
|
||
|
||
def orderflow_df_new(self,df_tick,df_min,symbol):
|
||
# startArray = pd.to_datetime(df_min['starttime']).values
|
||
voluememin= df_min['volume'].values
|
||
highs=df_min['high'].values
|
||
lows=df_min['low'].values
|
||
opens=df_min['open'].values
|
||
closes=df_min['close'].values
|
||
#endArray = pd.to_datetime(df_min['bartime']).values
|
||
endArray = df_min['bartime'].values
|
||
#print(endArray)
|
||
# deltaArray = np.zeros((len(endArray),))
|
||
# tTickArray = pd.to_datetime(df_tick['datetime']).values
|
||
bp1minickArray = df_tick['bid_p'].values
|
||
ap1minickArray = df_tick['ask_p'].values
|
||
lastTickArray = df_tick['lastprice'].values
|
||
volumeTickArray = df_tick['volume'].values
|
||
symbolarray = df_tick['symbol'].values
|
||
# indexFinal = 0
|
||
for index,tEnd in enumerate(endArray):
|
||
dt=endArray[index]
|
||
# start = startArray[index]
|
||
bidDict = {}
|
||
askDict = {}
|
||
bar_vol=voluememin[index]
|
||
bar_close=closes[index]
|
||
bar_open=opens[index]
|
||
bar_low=lows[index]
|
||
bar_high=highs[index]
|
||
bar_symbol=symbolarray[index]
|
||
# for indexTick in range(indexFinal,len(df_tick)):
|
||
# if tTickArray[indexTick] >= tEnd:
|
||
# break
|
||
# elif (tTickArray[indexTick] >= start) & (tTickArray[indexTick] < tEnd):
|
||
Bp = round(bp1minickArray[0],4)
|
||
Ap = round(ap1minickArray[0],4)
|
||
LastPrice = round(lastTickArray[0],4)
|
||
Volume = volumeTickArray[0]
|
||
if LastPrice >= Ap:
|
||
if str(LastPrice) in askDict.keys():
|
||
askDict[str(LastPrice)] += Volume
|
||
else:
|
||
askDict[str(LastPrice)] = Volume
|
||
if LastPrice <= Bp:
|
||
if str(LastPrice) in bidDict.keys():
|
||
bidDict[str(LastPrice)] += Volume
|
||
else:
|
||
bidDict[str(LastPrice)] = Volume
|
||
# indexFinal = indexTick
|
||
bidDictResult,askDictResult = self.process(bidDict,askDict,symbol)
|
||
bidDictResult=dict(sorted(bidDictResult.items(),key=operator.itemgetter(0)))
|
||
askDictResult=dict(sorted(askDictResult.items(),key=operator.itemgetter(0)))
|
||
prinslist=list(bidDictResult.keys())
|
||
asklist=list(askDictResult.values())
|
||
bidlist=list(bidDictResult.values())
|
||
delta=(sum(askDictResult.values()) - sum(bidDictResult.values()))
|
||
#print(prinslist,asklist,bidlist)
|
||
#print(len(prinslist),len(bidDictResult),len(askDictResult))
|
||
df=pd.DataFrame({'price':pd.Series([prinslist]),'Ask':pd.Series([asklist]),'Bid':pd.Series([bidlist])})
|
||
#df=pd.DataFrame({'price':pd.Series(bidDictResult.keys()),'Ask':pd.Series(askDictResult.values()),'Bid':pd.Series(bidDictResult.values())})
|
||
df['symbol']=bar_symbol
|
||
df['datetime']=dt
|
||
df['delta']=str(delta)
|
||
df['close']=bar_close
|
||
df['open']=bar_open
|
||
df['high']=bar_high
|
||
df['low']=bar_low
|
||
df['volume']=bar_vol
|
||
#df['ticktime']=tTickArray[0]
|
||
df['dj'] = self.GetOrderFlow_dj(df)
|
||
ofdatadict[symbol]=df
|
||
|
||
def GetOrderFlow_dj(self,kData):
|
||
param = self.param_dict[self.品种]
|
||
Config = {
|
||
'Value1': param.失衡,
|
||
'Value2': param.堆积,
|
||
'Value4': True,
|
||
}
|
||
aryData = kData
|
||
djcout = 0
|
||
|
||
# 遍历kData中的每一行，计算djcout指标
|
||
for index, row in aryData.iterrows():
|
||
kItem = aryData.iloc[index]
|
||
# high = kItem['high']
|
||
# low = kItem['low']
|
||
# close = kItem['close']
|
||
# open = kItem['open']
|
||
dtime = kItem['datetime']
|
||
price_s = kItem['price']
|
||
Ask_s = kItem['Ask']
|
||
Bid_s = kItem['Bid']
|
||
delta = kItem['delta']
|
||
|
||
price_s = price_s
|
||
Ask_s = Ask_s
|
||
Bid_s = Bid_s
|
||
|
||
gj = 0
|
||
xq = 0
|
||
gxx = 0
|
||
xxx = 0
|
||
|
||
# 遍历price_s中的每一个元素，计算相关指标
|
||
for i in np.arange(0, len(price_s), 1):
|
||
duiji = {
|
||
'price': 0,
|
||
'time': 0,
|
||
'longshort': 0,
|
||
}
|
||
|
||
if i == 0:
|
||
delta = delta
|
||
|
||
order= {
|
||
"Price":price_s[i],
|
||
"Bid":{ "Value":Bid_s[i]},
|
||
"Ask":{ "Value":Ask_s[i]}
|
||
}
|
||
#空头堆积
|
||
if i >= 0 and i < len(price_s) - 1:
|
||
if (order["Bid"]["Value"] > Ask_s[i + 1] * int(Config['Value1'])):
|
||
gxx += 1
|
||
gj += 1
|
||
if gj >= int(Config['Value2']) and Config['Value4'] is True:
|
||
duiji['price'] = price_s[i]
|
||
duiji['time'] = dtime
|
||
duiji['longshort'] = -1
|
||
if float(duiji['price']) > 0:
|
||
djcout += -1
|
||
else:
|
||
gj = 0
|
||
#多头堆积
|
||
if i >= 1 and i <= len(price_s) - 1:
|
||
if (order["Ask"]["Value"] > Bid_s[i - 1] * int(Config['Value1'])):
|
||
xq += 1
|
||
xxx += 1
|
||
if xq >= int(Config['Value2']) and Config['Value4'] is True:
|
||
duiji['price'] = price_s[i]
|
||
duiji['time'] = dtime
|
||
duiji['longshort'] = 1
|
||
if float(duiji['price']) > 0:
|
||
djcout += 1
|
||
else:
|
||
xq = 0
|
||
|
||
# 返回计算得到的djcout值
|
||
return djcout
|
||
|
||
def OnRtnTrade(self, pTrade):
|
||
print("||成交回报||", pTrade)
|
||
|
||
def OnRspOrderInsert(self, pInputOrder, pRspInfo, nRequestID, bIsLast):
|
||
print("||OnRspOrderInsert||", pInputOrder, pRspInfo, nRequestID, bIsLast)
|
||
|
||
# 订单状态通知
|
||
def OnRtnOrder(self, pOrder):
|
||
print("||订单回报||", pOrder)
|
||
|
||
#保存OF数据
|
||
def save_trade_data(self,df,instrument_id):
|
||
# 定义文件路径
|
||
csv_file_path = f"ofdata/{instrument_id}_ofdata.csv"
|
||
directory = os.path.dirname(csv_file_path)
|
||
|
||
# 检查目录是否存在，如果不存在则创建它
|
||
if not os.path.exists(directory):
|
||
os.makedirs(directory)
|
||
|
||
# 如果文件夹存在，则追加数据；否则，创建新文件并保存整个 DataFrame
|
||
if os.path.exists(csv_file_path):
|
||
# 仅保存最后一行数据
|
||
df.tail(1).to_csv(csv_file_path, mode='a', header=False, index=False)
|
||
else:
|
||
# 创建新文件并保存整个 DataFrame
|
||
df.to_csv(csv_file_path, index=False)
|
||
|
||
def w_log(self,symbol,log_message):
|
||
|
||
# 创建文件夹（如果不存在）
|
||
log_dir = 'tradelogs'
|
||
if not os.path.exists(log_dir):
|
||
os.makedirs(log_dir)
|
||
|
||
# 写入日志到 CSV 文件
|
||
now = datetime.now().strftime('%Y-%m-%d %H:%M:%S')
|
||
log_file = os.path.join(log_dir, f'{symbol}log.csv')
|
||
# 打印日志到控制台
|
||
print(f'{now}: {log_message}')
|
||
with open(log_file, 'a', encoding='utf-8',newline='') as csvfile:
|
||
writer = csv.writer(csvfile)
|
||
# 如果文件为空，写入表头
|
||
if csvfile.tell() == 0:
|
||
writer.writerow(['time', 'logs'])
|
||
writer.writerow([now, log_message])
|
||
|
||
# 计算单品种资金流向数据
|
||
def 资金流向计算(self,df):
|
||
# 将 'delta' 和 'close' 转换为数值类型，强制转换错误
|
||
df['delta'] = pd.to_numeric(df['delta'], errors='coerce')
|
||
df['close'] = pd.to_numeric(df['close'], errors='coerce')
|
||
|
||
# 删除 'delta' 或 'close' 中的 NaN 值
|
||
df = df.dropna(subset=['delta', 'close'])
|
||
symbol=df['symbol'].iloc[-1]
|
||
# symbol = ''.join(filter(str.isalpha, symbol)).upper()
|
||
# 资金净流向 = abs(sum(df['delta']*df['close']))*合约信息[symbol]['合约单位']*合约信息[symbol]['保证金']
|
||
hycs = int(fees_df[fees_df['合约代码'] == symbol]['合约乘数'].iloc[0])
|
||
bzj = (float(fees_df[fees_df['合约代码'] == symbol]['做多保证金率'].iloc[0]) + float(fees_df[fees_df['合约代码'] == symbol]['做空保证金率'].iloc[0]))/2
|
||
# print("%s品种的合约乘数:%s,保证金率:%s"%(symbol,hycs,bzj))
|
||
资金净流向 = abs(sum(df['delta']*df['close']))*hycs*bzj
|
||
symbol = ''.join(filter(str.isalpha, symbol)).upper()
|
||
更新状态=True
|
||
# 将结果放入 DataFrame
|
||
result_df = pd.DataFrame({
|
||
'资金净流向': [资金净流向],
|
||
'更新状态': [更新状态]
|
||
})
|
||
|
||
return result_df
|
||
|
||
# 收盘清仓
|
||
def 收盘清仓(self,symbol,data):
|
||
param = self.param_dict[symbol]
|
||
# 获取当前时间
|
||
current_time = datetime.now().time()
|
||
|
||
# 设置清仓操作的时间范围1：14:55到15:00
|
||
clearing_time1_start = s_time(14, 55)
|
||
clearing_time1_end = s_time(15, 0)
|
||
|
||
# # 设置清仓操作的时间范围2：00:55到01:00
|
||
# clearing_time2_start = s_time(22, 55)
|
||
# clearing_time2_end = s_time(23, 0)
|
||
|
||
# clearing_time3_start = s_time(0, 55)
|
||
# clearing_time3_end = s_time(1, 0)
|
||
|
||
# clearing_time4_start = s_time(2, 25)
|
||
# clearing_time4_end = s_time(2, 30)
|
||
|
||
# now = datetime.now()
|
||
# 创建一个标志变量，用于记录是否已经执行过清仓操作
|
||
#param.clearing_executed = False
|
||
|
||
#jerome:增加修改合约代码识别
|
||
# alpha_chars = ""
|
||
# numeric_chars = ""
|
||
# for char in symbol:
|
||
# if char.isalpha():
|
||
# alpha_chars = char
|
||
# elif char.isdigit():
|
||
# numeric_chars = char
|
||
|
||
# 检查当前时间是否在第一个清仓操作的时间范围内，并且清仓操作未执行过
|
||
if clearing_time1_start <= current_time <= clearing_time1_end and not param.clearing_executed :
|
||
#trade_dfs.drop(trade_dfs.index,inplace=True)#清除当天的行情数据
|
||
if param.pos>0:
|
||
#平多
|
||
# self.insert_order(data['ExchangeID'], data['InstrumentID'], data['BidPrice1']-param.py,param.Lots,b'1',b'1')
|
||
# self.insert_order(data['ExchangeID'], data['InstrumentID'], data['BidPrice1']-param.py,param.Lots,b'1',b'3')
|
||
param.pos=0
|
||
self.w_log(symbol,f"{symbol}多头清仓操作")
|
||
# 发送邮件：
|
||
text = f"14:55平多清仓交易： 交易品种为{data['InstrumentID']}, 反手平空的平仓价格为{data['BidPrice1']-param.py}, 交易手数位{param.Lots}"
|
||
send_mail(text)
|
||
pass
|
||
elif param.pos<0:
|
||
#平空
|
||
# self.insert_order(data['ExchangeID'], data['InstrumentID'], data['AskPrice1']+param.py,param.Lots,b'0',b'1')
|
||
# self.insert_order(data['ExchangeID'], data['InstrumentID'], data['AskPrice1']+param.py,param.Lots,b'0',b'3')
|
||
param.pos=0
|
||
self.w_log(symbol,f"{symbol}空头清仓操作")
|
||
# 发送邮件：
|
||
text = f"14:55平空清仓交易： 交易品种为{data['InstrumentID']}, 反手平空的平仓价格为{data['AskPrice1']+param.py}, 交易手数位{param.Lots}"
|
||
send_mail(text)
|
||
pass
|
||
param.clearing_executed = True # 设置标志变量为已执行
|
||
|
||
# # 检查当前时间是否在第二个清仓操作的时间范围内，并且清仓操作未执行过
|
||
# elif clearing_time2_start <= current_time <= clearing_time2_end and not param.clearing_executed and clear_execute_dict[alpha_chars] == s_time(23,00):
|
||
# #trade_dfs.drop(trade_dfs.index,inplace=True) #清除当天的行情数据
|
||
# if param.pos>0:
|
||
# #平多
|
||
# self.insert_order(data['ExchangeID'], data['InstrumentID'], data['BidPrice1']-param.py,param.Lots,b'1',b'1')
|
||
# self.insert_order(data['ExchangeID'], data['InstrumentID'], data['BidPrice1']-param.py,param.Lots,b'1',b'3')
|
||
# param.pos=0
|
||
# self.w_log(symbol,f"{symbol}多头清仓操作")
|
||
# # 发送邮件：
|
||
# text = f"22:55平多清仓交易： 交易品种为{data['InstrumentID']}, 反手平空的平仓价格为{data['BidPrice1']-param.py}, 交易手数位{param.Lots}"
|
||
# send_mail(text)
|
||
# pass
|
||
# elif param.pos<0:
|
||
# #平空
|
||
# self.insert_order(data['ExchangeID'], data['InstrumentID'], data['AskPrice1']+param.py,param.Lots,b'0',b'1')
|
||
# self.insert_order(data['ExchangeID'], data['InstrumentID'], data['AskPrice1']+param.py,param.Lots,b'0',b'3')
|
||
# param.pos=0
|
||
# self.w_log(symbol,f"{symbol}空头清仓操作")
|
||
# # 发送邮件：
|
||
# text = f"22:55平空清仓交易： 交易品种为{data['InstrumentID']}, 反手平空的平仓价格为{data['AskPrice1']+param.py}, 交易手数位{param.Lots}"
|
||
# send_mail(text)
|
||
# pass
|
||
|
||
# # 检查当前时间是否在第三个清仓操作的时间范围内，并且清仓操作未执行过
|
||
# elif clearing_time3_start <= current_time <= clearing_time3_end and not param.clearing_executed and clear_execute_dict[alpha_chars] == s_time(1,00):
|
||
# #trade_dfs.drop(trade_dfs.index,inplace=True) #清除当天的行情数据
|
||
# if param.pos>0:
|
||
# #平多
|
||
# self.insert_order(data['ExchangeID'], data['InstrumentID'], data['BidPrice1']-param.py,param.Lots,b'1',b'1')
|
||
# self.insert_order(data['ExchangeID'], data['InstrumentID'], data['BidPrice1']-param.py,param.Lots,b'1',b'3')
|
||
# param.pos=0
|
||
# self.w_log(f"{symbol}多头清仓操作")
|
||
# # 发送邮件：
|
||
# text = f"00:55平多清仓交易： 交易品种为{data['InstrumentID']}, 反手平空的平仓价格为{data['BidPrice1']-param.py}, 交易手数位{param.Lots}"
|
||
# send_mail(text)
|
||
# pass
|
||
# elif param.pos<0:
|
||
# #平空
|
||
# self.insert_order(data['ExchangeID'], data['InstrumentID'], data['AskPrice1']+param.py,param.Lots,b'0',b'1')
|
||
# self.insert_order(data['ExchangeID'], data['InstrumentID'], data['AskPrice1']+param.py,param.Lots,b'0',b'3')
|
||
# param.pos=0
|
||
# self.w_log(f"{symbol}空头清仓操作")
|
||
# # 发送邮件：
|
||
# text = f"00:55平空清仓交易： 交易品种为{data['InstrumentID']}, 反手平空的平仓价格为{data['AskPrice1']+param.py}, 交易手数位{param.Lots}"
|
||
# send_mail(text)
|
||
# pass
|
||
|
||
# elif clearing_time4_start <= current_time <= clearing_time4_end and not param.clearing_executed and clear_execute_dict[alpha_chars] == s_time(2,30):
|
||
# #trade_dfs.drop(trade_dfs.index,inplace=True) #清除当天的行情数据
|
||
# if param.pos>0:
|
||
# #平多
|
||
# self.insert_order(data['ExchangeID'], data['InstrumentID'], data['BidPrice1']-param.py,param.Lots,b'1',b'1')
|
||
# self.insert_order(data['ExchangeID'], data['InstrumentID'], data['BidPrice1']-param.py,param.Lots,b'1',b'3')
|
||
# param.pos=0
|
||
# self.w_log(f"{symbol}多头清仓操作")
|
||
# # 发送邮件：
|
||
# text = f"2:25平多清仓交易： 交易品种为{data['InstrumentID']}, 反手平空的平仓价格为{data['BidPrice1']-param.py}, 交易手数位{param.Lots}"
|
||
# send_mail(text)
|
||
# pass
|
||
# elif param.pos<0:
|
||
# #平空
|
||
# self.insert_order(data['ExchangeID'], data['InstrumentID'], data['AskPrice1']+param.py,param.Lots,b'0',b'1')
|
||
# self.insert_order(data['ExchangeID'], data['InstrumentID'], data['AskPrice1']+param.py,param.Lots,b'0',b'3')
|
||
# param.pos=0
|
||
# self.w_log(f"{symbol}空头清仓操作")
|
||
# # 发送邮件：
|
||
# text = f"2:25平空清仓交易： 交易品种为{data['InstrumentID']}, 反手平空的平仓价格为{data['AskPrice1']+param.py}, 交易手数位{param.Lots}"
|
||
# send_mail(text)
|
||
# pass
|
||
|
||
# param.clearing_executed = True # 设置标志变量为已执行
|
||
# # 如果不在任何清仓操作的时间范围内，可以执行其他操作或不执行任何操作
|
||
else:
|
||
param.clearing_executed = False
|
||
pass
|
||
#print("不在清仓操作时间范围内")
|
||
|
||
return param.clearing_executed
|
||
|
||
def cal_sig(self, symbol_queue):
|
||
while True:
|
||
try:
|
||
# now = datetime.now()
|
||
data = symbol_queue.get(block=True, timeout=5) # 如果5秒没收到新的tick行情，则抛出异常
|
||
instrument_id = data['InstrumentID'].decode() # 品种代码
|
||
size = symbol_queue.qsize()
|
||
if size > 1:
|
||
print(f'当前{instrument_id}共享队列长度为{size}, 有点阻塞！！！！！')
|
||
param = self.param_dict[instrument_id]
|
||
self.品种=instrument_id
|
||
#OF计算数据开始
|
||
self.tickcome(data)
|
||
trade_df = trade_dfs[instrument_id]
|
||
#清仓开关
|
||
run_kg=self.收盘清仓(instrument_id,data)
|
||
最新价=data['LastPrice']
|
||
|
||
# #多头时间出场
|
||
if param.pos>0 and param.多头开仓历时>param.平_多时间 :
|
||
#平多
|
||
# self.insert_order(data['ExchangeID'], data['InstrumentID'], data['BidPrice1']-param.py,param.Lots,b'1',b'1')
|
||
# self.insert_order(data['ExchangeID'], data['InstrumentID'], data['BidPrice1']-param.py,param.Lots,b'1',b'3')
|
||
param.pos=0
|
||
param.多头止损价格=0
|
||
param.多头开仓历时=0
|
||
param.多头成本价格=0
|
||
self.w_log(instrument_id,f'历时{param.平_多时间}***多头***{self.品种}时间出场')
|
||
# 发送邮件
|
||
text = f"平多时间交易： 交易品种为{data['InstrumentID']}, 交易时间为{trade_df['datetime'].iloc[-1]}, 反手平多的平仓价格{data['BidPrice1']-param.py}, 交易手数位{param.Lots}"
|
||
send_mail(text)
|
||
|
||
#多头价格止损
|
||
if param.pos>0 and 最新价<param.多头止损价格 :
|
||
#平多
|
||
# self.insert_order(data['ExchangeID'], data['InstrumentID'], data['BidPrice1']-param.py,param.Lots,b'1',b'1')
|
||
# self.insert_order(data['ExchangeID'], data['InstrumentID'], data['BidPrice1']-param.py,param.Lots,b'1',b'3')
|
||
param.pos=0
|
||
param.多头止损价格=0
|
||
param.多头开仓历时=0
|
||
param.多头成本价格=0
|
||
self.w_log(instrument_id,f'多头止损触发: {最新价},多头止损价格：{param.多头止损价格} ***{instrument_id}多头止损***')
|
||
# 发送邮件
|
||
text = f"平多止损交易： 交易品种为{data['InstrumentID']}, 交易时间为{trade_df['datetime'].iloc[-1]}, 反手平多的平仓价格{data['BidPrice1']-param.py}, 交易手数位{param.Lots}"
|
||
send_mail(text)
|
||
|
||
# #多头跟踪止盈-----------------------暂时用不到------------------------
|
||
# elif param.pos>0 and len(trade_df)>1 and 最新价<trade_df['10_MA'].iloc[-1] and 最新价>param.多头成本价格 :
|
||
# #平多
|
||
# self.insert_order(data['ExchangeID'], data['InstrumentID'], data['BidPrice1']-param.py,param.Lots,b'1',b'1')
|
||
# self.insert_order(data['ExchangeID'], data['InstrumentID'], data['BidPrice1']-param.py,param.Lots,b'1',b'3')
|
||
# param.pos=0
|
||
# param.多头止损价格=0
|
||
# param.多头开仓历时=0
|
||
# param.多头成本价格=0
|
||
# self.w_log(instrument_id,f'多头跟踪止盈触发: {最新价} ***{instrument_id}多头止盈***')
|
||
|
||
# # #空头时间出场
|
||
if param.pos<0 and param.空头开仓历时>param.平_空时间 :
|
||
#平空
|
||
# self.insert_order(data['ExchangeID'], data['InstrumentID'], data['AskPrice1']+param.py,param.Lots,b'0',b'1')
|
||
# self.insert_order(data['ExchangeID'], data['InstrumentID'], data['AskPrice1']+param.py,param.Lots,b'0',b'3')
|
||
param.pos=0
|
||
param.空头止损价格=0
|
||
param.空头开仓历时=0
|
||
param.空头成本价格=0
|
||
self.w_log(instrument_id,f'历时{param.平_空时间}***空头***{self.品种}时间出场')
|
||
# 发送邮件
|
||
text = f"平空时间交易： 交易品种为{data['InstrumentID']}, 交易时间为{trade_df['datetime'].iloc[-1]}, 反手平空的平仓价格为{data['AskPrice1']+param.py}, 交易手数位{param.Lots}"
|
||
send_mail(text)
|
||
|
||
#空头价格止损
|
||
if param.pos<0 and 最新价>param.空头止损价格 :
|
||
#平空
|
||
# self.insert_order(data['ExchangeID'], data['InstrumentID'], data['AskPrice1']+param.py,param.Lots,b'0',b'1')
|
||
# self.insert_order(data['ExchangeID'], data['InstrumentID'], data['AskPrice1']+param.py,param.Lots,b'0',b'3')
|
||
param.pos=0
|
||
param.空头止损价格=0
|
||
param.空头开仓历时=0
|
||
param.空头成本价格=0
|
||
self.w_log(instrument_id,f'空头止损触发: {最新价},空头止损价格：{param.空头止损价格} ***{instrument_id}空头止损***')
|
||
# 发送邮件
|
||
text = f"平空止损交易： 交易品种为{data['InstrumentID']}, 交易时间为{trade_df['datetime'].iloc[-1]}, 反手平空的平仓价格为{data['AskPrice1']+param.py}, 交易手数位{param.Lots}"
|
||
send_mail(text)
|
||
|
||
# #空头跟踪止盈-----------------------暂时用不到------------------------
|
||
# elif param.pos<0 and len(trade_df)>1 and 最新价>trade_df['10_MA'].iloc[-1] and 最新价<param.空头成本价格 :
|
||
# #平空
|
||
# self.insert_order(data['ExchangeID'], data['InstrumentID'], data['AskPrice1']+param.py,param.Lots,b'0',b'1')
|
||
# self.insert_order(data['ExchangeID'], data['InstrumentID'], data['AskPrice1']+param.py,param.Lots,b'0',b'3')
|
||
# param.pos=0
|
||
# param.空头止损价格=0
|
||
# param.空头开仓历时=0
|
||
# param.空头成本价格=0
|
||
# self.w_log(instrument_id,f'空头跟踪止盈触发: {最新价},***{instrument_id}空头止盈***')
|
||
|
||
#交易程序开始
|
||
if len(trade_df)>param.cont_df and run_kg is False:
|
||
#开仓历时更新：
|
||
if param.pos>0:
|
||
param.多头开仓历时+=1
|
||
elif param.pos<0:
|
||
param.空头开仓历时+=1
|
||
|
||
#计算截面数据
|
||
截面数据_资金流向[instrument_id]=self.资金流向计算(trade_df)
|
||
|
||
#日均线
|
||
trade_df['dayma']=trade_df['close'].mean()
|
||
|
||
# 计算5日均线和10日均线，即使数据不足5日或10日
|
||
trade_df['5_MA'] = trade_df['close'].rolling(window=5, min_periods=1).mean()
|
||
trade_df['10_MA'] = trade_df['close'].rolling(window=10, min_periods=1).mean()
|
||
|
||
# 计算累积的delta值
|
||
trade_df['delta'] = trade_df['delta'].astype(float)
|
||
trade_df['delta累计'] = trade_df['delta'].cumsum()
|
||
|
||
#大于日均线
|
||
开多1=trade_df['dayma'].iloc[-1] > 0 and trade_df['close'].iloc[-1] > trade_df['dayma'].iloc[-1]
|
||
|
||
#累计多空净量大于X
|
||
开多4=trade_df['delta累计'].iloc[-1] > param.sum_delta and trade_df['delta'].iloc[-1] > param.delta
|
||
|
||
#小于日均线
|
||
开空1=trade_df['dayma'].iloc[-1]>0 and trade_df['close'].iloc[-1] < trade_df['dayma'].iloc[-1]
|
||
|
||
#累计多空净量小于X
|
||
开空4=trade_df['delta累计'].iloc[-1] < -param.sum_delta and trade_df['delta'].iloc[-1] < -param.delta
|
||
|
||
开多组合= 开多1 and 开多4 and trade_df['dj'].iloc[-1]>param.dj_X and trade_df['5_MA'].iloc[-1] > trade_df['10_MA'].iloc[-1]
|
||
开空条件= 开空1 and 开空4 and trade_df['dj'].iloc[-1]<-param.dj_X and trade_df['5_MA'].iloc[-1] < trade_df['10_MA'].iloc[-1]
|
||
|
||
#开平仓
|
||
#换仓平多
|
||
if param.pos>0 and instrument_id not in top_two_symbols:
|
||
# self.insert_order(data['ExchangeID'], data['InstrumentID'], data['BidPrice1']-param.py,param.Lots,b'1',b'1')
|
||
# self.insert_order(data['ExchangeID'], data['InstrumentID'], data['BidPrice1']-param.py,param.Lots,b'1',b'3')
|
||
param.pos=0
|
||
param.多头止损价格=0
|
||
param.多头开仓历时=0
|
||
param.多头成本价格=0
|
||
self.w_log(instrument_id,f'当前截面品种{top_two_symbols},{instrument_id}不在范围，***多平仓***')
|
||
#发送邮件
|
||
text = f"换仓平多交易： 交易品种为{data['InstrumentID']}, 交易时间为{trade_df['datetime'].iloc[-1]}, 反手平多的平仓价格{data['BidPrice1']-param.py}, 交易手数位{param.Lots}"
|
||
send_mail(text)
|
||
#多头开仓
|
||
if param.pos==0 and 开多组合 and instrument_id in top_two_symbols :
|
||
#开多
|
||
# self.insert_order(data['ExchangeID'], data['InstrumentID'], data['AskPrice1']+param.py,param.Lots,b'0',b'0')
|
||
param.pos=1
|
||
param.多头止损价格=trade_df['low'].iloc[-2]
|
||
param.多头成本价格=data['AskPrice1']
|
||
param.多头开仓历时=1
|
||
self.w_log(instrument_id,f'品种：{instrument_id},委托价格: {param.多头成本价格}***开多***')
|
||
# 发送邮件
|
||
text = f"多头开仓交易： 交易品种为{data['InstrumentID']}, 交易时间为{trade_df['datetime'].iloc[-1]}, 多头开仓的开仓价格{data['AskPrice1']+param.py}, 交易手数位{param.Lots}"
|
||
send_mail(text)
|
||
|
||
#换仓平空
|
||
if param.pos<0 and instrument_id not in top_two_symbols :
|
||
|
||
# self.insert_order(data['ExchangeID'], data['InstrumentID'], data['AskPrice1']+param.py,param.Lots,b'0',b'1')
|
||
# self.insert_order(data['ExchangeID'], data['InstrumentID'], data['AskPrice1']+param.py,param.Lots,b'0',b'3')
|
||
param.pos=0
|
||
param.空头止损价格=0
|
||
param.空头开仓历时=0
|
||
param.空头成本价格=0
|
||
self.w_log(instrument_id,f'当前截面品种{top_two_symbols},{instrument_id}不在范围，***空平仓***')
|
||
# 发送邮件
|
||
text = f"换仓平空交易： 交易品种为{data['InstrumentID']}, 交易时间为{trade_df['datetime'].iloc[-1]}, 反手平空的平仓价格为{data['AskPrice1']+param.py}, 交易手数位{param.Lots}"
|
||
send_mail(text)
|
||
#空头开仓
|
||
if param.pos==0 and 开空条件 and instrument_id in top_two_symbols :
|
||
#开空
|
||
# self.insert_order(data['ExchangeID'], data['InstrumentID'], data['BidPrice1']-param.py,param.Lots,b'1',b'0')
|
||
param.pos=-1
|
||
param.空头止损价格=trade_df['high'].iloc[-2]
|
||
param.空头成本价格=data['BidPrice1']
|
||
param.空头开仓历时=1
|
||
self.w_log(instrument_id,f'品种：{instrument_id},委托价格: {param.空头成本价格}***开空***')
|
||
# 发送邮件
|
||
text = f"空头开仓交易： 交易品种为{data['InstrumentID']}, 交易时间为{trade_df['datetime'].iloc[-1]}, 空头开仓的开仓价格{data['BidPrice1']-param.py}, 交易手数位{param.Lots}"
|
||
send_mail(text)
|
||
#print(trade_df)
|
||
#保存OF数据
|
||
self.save_trade_data(trade_df,instrument_id)
|
||
#保存bar计数
|
||
param.cont_df=len(trade_df)
|
||
except queue.Empty:
|
||
# print(f"当前合约队列为空，等待新数据插入。")
|
||
pass
|
||
|
||
# 将CTP推送的行情数据分发给对应线程队列去执行
|
||
def distribute_tick(self):
|
||
while True:
|
||
if self.status == 0:
|
||
data = None
|
||
while not self.md_queue.empty():
|
||
data = self.md_queue.get(block=False)
|
||
instrument_id = data['InstrumentID'].decode() # 品种代码
|
||
try:
|
||
self.queue_dict[instrument_id].put(data, block=False) # 往对应合约队列中插入行情
|
||
# print(f"{instrument_id}合约数据插入。")
|
||
except queue.Full:
|
||
# 当某个线程阻塞导致对应队列容量超限时抛出异常，不会影响其他合约的信号计算
|
||
print(f"{instrument_id}合约信号计算阻塞导致对应队列已满，请检查对应代码逻辑后重启。")
|
||
else:
|
||
time.sleep(1)
|
||
|
||
def start(self, param_dict):
|
||
threads = []
|
||
self.param_dict = param_dict
|
||
thread1 = threading.Thread(target=横截面计算)
|
||
for symbol in param_dict.keys():
|
||
trade_dfs[symbol] = pd.DataFrame({})
|
||
self.queue_dict[symbol] = queue.Queue(10) #为每个合约创建一个限制数为10的队列，当计算发生阻塞导致队列达到限制数时会抛出异常
|
||
t = threading.Thread(target=self.cal_sig, args=(self.queue_dict[symbol],)) # 为每个合约单独创建一个线程计算开仓逻辑
|
||
threads.append(t)
|
||
t.start()
|
||
thread1.start()
|
||
self.distribute_tick()
|
||
for t in threads:
|
||
t.join()
|
||
thread1.join()
|
||
|
||
# 定义横截面计算函数
|
||
def 横截面计算():
|
||
global top_two_symbols
|
||
while True:
|
||
if len(截面数据_资金流向)>2:
|
||
goss=1
|
||
# 检查是否有任何品种的更新状态为 False，如果有则直接返回
|
||
for symbol, data in 截面数据_资金流向.items():
|
||
if not data['更新状态'].iloc[-1]:
|
||
#print(f"品种 {symbol} 的更新状态为 False，跳过计算。")
|
||
goss=0
|
||
break
|
||
if goss==1:
|
||
# 继续计算资金净流向
|
||
sorted_items = sorted(截面数据_资金流向.items(), key=lambda item: item[1]['资金净流向'].iloc[-1], reverse=True)
|
||
max_symbol = sorted_items[0][0]
|
||
second_max_symbol = sorted_items[1][0]
|
||
# SAN_max_symbol = sorted_items[2][0]
|
||
top_two_symbols = [max_symbol, second_max_symbol]#,SAN_max_symbol
|
||
|
||
print(f'最大值和第二大值对应的键: {top_two_symbols}')
|
||
print(f'截面数据_资金流向: {截面数据_资金流向}')
|
||
# 将所有品种的更新状态设置为 False
|
||
for symbol in 截面数据_资金流向:
|
||
截面数据_资金流向[symbol]['更新状态'] = False
|
||
time.sleep(1)
|
||
|
||
# Jerome:tushare库版本
|
||
# def get_main_contact_on_time(main_symbol_code):
|
||
# data_str = ''
|
||
# alpha_chars = ''
|
||
# numeric_chars = ''
|
||
# main_code = ''
|
||
|
||
# now = datetime.now()
|
||
# if now.hour < 15:
|
||
# data_str = (now - timedelta(days=1)).date().strftime('%Y%m%d')
|
||
# else:
|
||
# data_str = now.date().strftime('%Y%m%d')
|
||
|
||
# main_symbol = pro.fut_mapping(ts_code=main_symbol_code, trade_date = data_str).loc[0,'mapping_ts_code'].split('.')[0]
|
||
# exchange_id = pro.fut_mapping(ts_code=main_symbol_code, trade_date = data_str).loc[0,'mapping_ts_code'].split('.')[1]
|
||
|
||
# for char in main_symbol:
|
||
# if char.isalpha():
|
||
# alpha_chars += char
|
||
# elif char.isdigit():
|
||
# numeric_chars += char
|
||
# # print("未修改的主连代码：",main_symbol)
|
||
# # print("未修改的主连代码的字母部分：",alpha_chars)
|
||
# # print("未修改的主连代码的数字部分：",numeric_chars)
|
||
# # print("未修改的主连代码对应的交易所：",exchange_id)
|
||
# if exchange_id == 'CFX':
|
||
# main_code = main_symbol
|
||
# elif exchange_id == 'SHF' or exchange_id == 'DCE' or exchange_id == 'GFE' or exchange_id == 'INE':
|
||
# lower_alpha_chars = str.lower(alpha_chars)
|
||
# # print("上期所、大商所、广交所和能源中心主连代码修改为小写的字母部分：",lower_alpha_chars)
|
||
# main_code = lower_alpha_chars + numeric_chars
|
||
# elif exchange_id == 'ZCE':
|
||
# true_numeric_chars = numeric_chars[1:]
|
||
# # print("郑商所主连代码删减数字后数字部分：",true_numeric_chars)
|
||
# main_code = alpha_chars + true_numeric_chars
|
||
# print("最终使用的主连代码：",main_code)
|
||
# return main_code
|
||
|
||
def get_main_contact_on_time(main_symbol_code,contacts_df):
|
||
main_symbol = contacts_df[contacts_df['品种代码'] == main_symbol_code]['主连代码'].iloc[0]
|
||
print("最终使用的主连代码：",main_symbol)
|
||
return main_symbol
|
||
|
||
def send_mail(text):
|
||
msg = MIMEMultipart()
|
||
msg["From"] = sender
|
||
msg["To"] = ";".join(receivers)
|
||
msg["Subject"] = subject
|
||
msg.attach(MIMEText(text, "plain", "utf-8"))
|
||
smtp = smtplib.SMTP_SSL(smtp_server, smtp_port)
|
||
smtp.login(username, password)
|
||
smtp.sendmail(sender, receivers, msg.as_string())
|
||
smtp.quit()
|
||
|
||
def run_trader(param_dict, broker_id, td_server, investor_id, password, app_id, auth_code, md_queue=None, page_dir='', private_resume_type=2, public_resume_type=2):
|
||
my_trader = MyTrader(broker_id, td_server, investor_id, password, app_id, auth_code, md_queue, page_dir, private_resume_type, public_resume_type)
|
||
my_trader.start(param_dict)
|
||
|
||
if __name__ == '__main__':
|
||
|
||
# 所有品种：
|
||
# "a","ag","al","ao","AP","au","b","bb","bc","br","bu",
|
||
# "c","CF","CJ","cs","cu","CY","eb","ec","eg","fb","FG","fu",
|
||
# "hc","i","IC","IF","IH","IM","j","jd","jm","l","lc","lg","lh","lu",
|
||
# "m","MA","ni","nr","OI","p","pb","PF","pg","PK","pp","PR","ps","PX",
|
||
# "rb","RM","rr","RS","ru","SA","sc","SF","SH","si","SM","sn","sp","SR","ss",
|
||
# "T","TA","TF","TL","TS","UR","v","wr","y","zn"
|
||
# 换行后代码如下
|
||
# symbols = [
|
||
# "a", "ag", "al", "ao", "AP", "au", "b", "bb", "bc", "br", "bu", "c",
|
||
# "CF", "CJ", "cs", "cu", "CY", "eb", "ec", "eg", "fb", "FG", "fu", "hc",
|
||
# "i", "IC", "IF", "IH", "IM", "j", "jd", "jm", "l", "lc", "lg", "lh",
|
||
# "lu", "m", "MA", "ni", "nr", "OI", "p", "pb", "PF", "pg", "PK", "pp",
|
||
# "PR", "ps", "PX", "rb", "RM", "rr", "RS", "ru", "SA", "sc", "SF",
|
||
# "SH", "si", "SM", "sn", "sp", "SR", "ss", "T", "TA", "TF", "TL",
|
||
# "TS", "UR", "v", "wr", "y", "zn"
|
||
# ]
|
||
symbols = contacts_df['品种代码'].tolist()
|
||
for i, symbol in enumerate(symbols, start=1):
|
||
globals()[f'sb_{i}'] = get_main_contact_on_time(symbol, contacts_df)
|
||
|
||
#注意：运行前请先安装好algoplus,
|
||
# pip install AlgoPlus
|
||
#http://www.algo.plus/ctp/python/0103001.html
|
||
|
||
|
||
# 实盘参数字典，需要实盘交易的合约，新建对应的参数对象即可，以下参数仅供测试使用，不作为实盘参考！！！！
|
||
历时平仓=4
|
||
|
||
param_dict = {}
|
||
for i in range(1, 77):
|
||
symbol = globals()[f'sb_{i}']
|
||
param_dict[symbol] = ParamObj(symbol=symbol, Lots=1, py=6, dj_X=0, delta=500, sum_delta=2000, 失衡=3, 堆积=3, 周期='5min', 平_多时间=历时平仓, 平_空时间=历时平仓)
|
||
|
||
#用simnow模拟，不要忘记屏蔽下方实盘的future_account字典
|
||
future_account = get_simulate_account(
|
||
investor_id="135858", # simnow账户，注意是登录账户的ID，SIMNOW个人首页查看
|
||
password="Zj1234!@#%", # simnow密码
|
||
server_name="电信1", # 电信1、电信2、移动、TEST、N视界
|
||
subscribe_list=list(param_dict.keys()), # 合约列表
|
||
)
|
||
|
||
# #实盘用这个，不要忘记屏蔽上方simnow的future_account字典
|
||
# future_account = FutureAccount(
|
||
# broker_id='', # 期货公司BrokerID
|
||
# server_dict={'TDServer': "ip:port", 'MDServer': 'ip:port'}, # 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='', # 账户
|
||
# 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=list(param_dict.keys()), # 订阅合约列表
|
||
# md_flow_path='./log', # MdApi流文件存储地址，默认MD_LOCATION
|
||
# td_flow_path='./log', # TraderApi流文件存储地址，默认TD_LOCATION
|
||
# )
|
||
|
||
|
||
print('开始',len(future_account.subscribe_list))
|
||
# 共享队列
|
||
share_queue = Queue(maxsize=200)
|
||
|
||
# 行情进程
|
||
md_process = Process(target=run_tick_engine, args=(future_account, [share_queue]))
|
||
|
||
|
||
# 交易进程
|
||
trader_process = Process(target=run_trader, args=(
|
||
param_dict,
|
||
future_account.broker_id,
|
||
future_account.server_dict['TDServer'],
|
||
future_account.investor_id,
|
||
future_account.password,
|
||
future_account.app_id,
|
||
future_account.auth_code,
|
||
share_queue, # 队列
|
||
future_account.td_flow_path
|
||
))
|
||
|
||
md_process.start()
|
||
trader_process.start()
|
||
|
||
md_process.join()
|
||
trader_process.join()
|
||
|
||
|