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trade_emulator.py
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# coding=utf-8
import agent
import optagent
import ctp_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
from eventEngine import *
from eventType import *
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.eventEngine = myagent.eventEngine
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]
event1 = Event(type=EVENT_TRADE)
event1.dict['data'] = trade
self.eventEngine.put(event1)
# 特定合约成交事件
event2 = Event(type=(EVENT_TRADE_CONTRACT+trade.InstrumentID))
event2.dict['data'] = trade
self.eventEngine.put(event2)
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)
event2 = Event(type=EVENT_ERRORDERCANCEL)
event2.dict['data'] = rorder
event2.dict['error'] = BaseObject( ErrorID = 0, ErrorMsg = "cancel order")
self.eventEngine.put(event2)
def ReqQryTradingAccount(self,req,req_id=0):
logging.info(u'查询帐户余额')
#account = BaseObject(Available=self.available)
event = Event(type = EVENT_ACCOUNT)
event.dict['data'] = BaseObject( Available = self.available)
event.dict['error'] = BaseObject( ErrorID = 0, ErrorMsg = "trading account")
self.eventEngine.put(event)
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]
pinst = BaseObject(InstrumentID = instID,
VolumeMultiple = inst.multiple,
PriceTick = inst.tick_base,
LongMarginRatio = inst.marginrate[0],
ShortMarginRatio= inst.marginrate[1])
event = Event(type = EVENT_INSTRUMENT)
event.dict['data'] = pinst
event.dict['error'] = BaseObject( ErrorID = 0, ErrorMsg = "query instrument")
self.eventEngine.put(event)
def ReqQryInstrumentMarginRate(self,req,req_id=0):
logging.info(u'查询保证金')
instID = req.InstrumentID
inst = self.agent.instruments[instID]
pinst = BaseObject(InstrumentID = instID,
VolumeMultiple = inst.multiple,
PriceTick = inst.tick_base,
LongMarginRatio = inst.marginrate[0],
ShortMarginRatio= inst.marginrate[1])
event = Event(type = EVENT_MARGINRATE)
event.dict['data'] = pinst
event.dict['error'] = BaseObject( ErrorID = 0, ErrorMsg = "query margin rate")
self.eventEngine.put(event)
def ReqQryInvestorPosition(self,req,req_id=0):
#暂默认无持仓
pass
def confirm_settlement_info(self):
self.agent.isSettlementInfoConfirmed = True
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)
ctp_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)