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364 lines (311 loc) · 12.9 KB
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# -*- coding: utf-8 -*-
##
# @file data.py
# @brief 数据上下文，交易上下文。
# @author wondereamer
# @version 0.2
# @date 2015-12-09
import six
import datetime
from quantdigger.datastruct import (
Direction,
PriceType,
Contract,
)
from quantdigger.engine.series import DateTimeSeries
from quantdigger.engine.context.data_context import DataContextAttributeHelper
class Context(object):
""" 上下文"""
def __init__(self, data, max_window):
self.ctx_dt_series = DateTimeSeries(
[datetime.datetime(2100, 1, 1)] * max_window,
'universal_time')
self.ctx_datetime = datetime.datetime(2100, 1, 1)
self.ctx_curbar = 0 # update by ExecuteUnit
self.on_bar = False # pass to on_bar function or on_symbol function
self._strategy_contexts = []
self._cur_strategy_context = None
self._cur_data_context = None
self._data_contexts = {} # str(PContract): DataContext
for key, value in six.iteritems(data):
self._data_contexts[key] = value
self._data_contexts[key.split('-')[0]] = value
self._data_contexts[key.split('.')[0]] = value
# latest price data
# Contract -> float
# Contract -> Bar
self._ticks = {}
self._bars = {}
def add_strategy_context(self, ctxs):
self._strategy_contexts.append(ctxs)
def switch_to_pcontract(self, pcon):
self._cur_data_context = self._data_contexts[pcon]
def switch_to_strategy(self, ith_comb, ith_strategy):
self._cur_strategy_context = self._strategy_contexts[ith_comb][ith_strategy]
if self.on_bar:
for data_context in six.itervalues(self._data_contexts):
data_context.ith_comb, data_context.ith_strategy = ith_comb, ith_strategy
else:
self._cur_data_context.ith_comb, self._cur_data_context.ith_strategy = ith_comb, ith_strategy
def time_aligned(self):
return (self._cur_data_context.datetime[0] <= self.ctx_datetime and
self._cur_data_context.next_datetime <= self.ctx_datetime)
# 第一根是必须运行
# return (self._cur_data_context.datetime[0] <= self.ctx_dt_series and
# self._cur_data_context.ctx_dt_series <= self.ctx_dt_series) or \
# self._cur_data_context.curbar == 0
def rolling_forward(self):
""" 更新最新tick价格，最新bar价格, 环境时间。 """
if self._cur_data_context.new_row:
self.ctx_dt_series.curbar = self.ctx_curbar
self.ctx_datetime = min(self._cur_data_context.next_datetime,
self.ctx_datetime)
try:
self.ctx_dt_series.data[self.ctx_curbar] = min(
self._cur_data_context.next_datetime, self.ctx_datetime)
except IndexError:
self.ctx_dt_series.data.append(
min(self._cur_data_context.next_datetime, self.ctx_datetime))
return True
hasnext, data = self._cur_data_context.rolling_forward()
if not hasnext:
return False
self.ctx_dt_series.curbar = self.ctx_curbar
try:
self.ctx_dt_series.data[self.ctx_curbar] = min(
self._cur_data_context.next_datetime, self.ctx_datetime)
except IndexError:
self.ctx_dt_series.data.append(min(
self._cur_data_context.next_datetime, self.ctx_datetime))
self.ctx_datetime = min(
self._cur_data_context.next_datetime, self.ctx_datetime)
return True
def update_user_vars(self):
""" 更新用户在策略中定义的变量, 如指标等。 """
self._cur_data_context.update_user_vars()
def update_system_vars(self):
""" 更新用户在策略中定义的变量, 如指标等。 """
self._cur_data_context.update_system_vars()
self._ticks[self._cur_data_context.contract] = \
self._cur_data_context.close[0]
self._bars[self._cur_data_context.contract] = \
self._cur_data_context.bar
oldbar = self._bars.setdefault(
self._cur_data_context.contract, self._cur_data_context.bar)
if self._cur_data_context.bar.datetime > oldbar.datetime:
# 处理不同周期时间滞后
self._bars[self._cur_data_context.contract] = \
self._cur_data_context.bar
def process_trading_events(self, at_baropen):
self._cur_strategy_context.update_environment(
self.ctx_datetime, self._ticks, self._bars)
self._cur_strategy_context.process_trading_events(at_baropen)
def __getitem__(self, strpcon):
""" 获取跨品种合约 """
return DataContextAttributeHelper(
self._data_contexts[strpcon.upper()])
def __getattr__(self, name):
return self._cur_data_context.get_item(name)
def __setattr__(self, name, value):
if name in [
'_data_contexts', '_cur_data_context', '_cur_strategy_context',
'_strategy_contexts', 'ctx_dt_series', '_ticks', '_bars',
'_trading', 'on_bar', 'ctx_curbar', 'ctx_datetime'
]:
super(Context, self).__setattr__(name, value)
else:
self._cur_data_context.add_item(name, value)
@property
def strategy(self):
""" 当前策略名 """
return self._cur_strategy_context.name
@property
def pcontract(self):
""" 当前周期合约 """
return self._cur_data_context.pcontract
@property
def symbol(self):
""" 当前合约 """
return str(self._cur_data_context.pcontract.contract)
@property
def curbar(self):
""" 当前是第几根k线, 从1开始 """
if self.on_bar:
return self.ctx_curbar + 1
else:
return self._cur_data_context.curbar
@property
def open(self):
""" k线开盘价序列 """
return self._cur_data_context.open
@property
def close(self):
""" k线收盘价序列 """
return self._cur_data_context.close
@property
def high(self):
""" k线最高价序列 """
return self._cur_data_context.high
@property
def low(self):
""" k线最低价序列 """
return self._cur_data_context.low
@property
def volume(self):
""" k线成交量序列 """
return self._cur_data_context.volume
@property
def datetime(self):
""" k线时间序列 """
if self.on_bar:
return self.ctx_dt_series
# return self._cur_data_context.datetime
else:
return self._cur_data_context.datetime
@property
def open_orders(self):
""" 未成交的订单 """
return list(self._cur_strategy_context.open_orders)
def buy(self, price, quantity, symbol=None):
""" 开多仓
Args:
price (float): 价格, 0表市价。
quantity (int): 数量。
symbol (str): 合约
"""
if not self.on_bar:
raise Exception('只有on_bar函数内能下单！')
if symbol:
contract = Contract(symbol) if isinstance(symbol, str) else symbol
else:
contract = self._cur_data_context.contract
price_type = PriceType.MKT if price == 0 else PriceType.LMT
self._cur_strategy_context.buy(price,
quantity, price_type,
contract)
def sell(self, price, quantity, symbol=None):
""" 平多仓。
Args:
price (float): 价格, 0表市价。
quantity (int): 数量。
symbol (str): 合约
"""
if not self.on_bar:
raise Exception('只有on_bar函数内能下单！')
if symbol:
contract = Contract(symbol) if isinstance(symbol, str) else symbol
else:
contract = self._cur_data_context.contract
price_type = PriceType.MKT if price == 0 else PriceType.LMT
self._cur_strategy_context.sell(price,
quantity, price_type,
contract)
def short(self, price, quantity, symbol=None):
""" 开空仓
Args:
price (float): 价格, 0表市价。
quantity (int): 数量。
symbol (str): 合约
"""
if not self.on_bar:
raise Exception('只有on_bar函数内能下单！')
if symbol:
contract = Contract(symbol) if isinstance(symbol, str) else symbol
else:
contract = self._cur_data_context.contract
price_type = PriceType.MKT if price == 0 else PriceType.LMT
self._cur_strategy_context.short(price,
quantity, price_type,
contract)
def cover(self, price, quantity, symbol=None):
""" 平空仓。
Args:
price (float): 价格, 0表市价。
quantity (int): 数量。
symbol (str): 合约
"""
if not self.on_bar:
raise Exception('只有on_bar函数内能下单！')
if symbol:
contract = Contract(symbol) if isinstance(symbol, str) else symbol
else:
contract = self._cur_data_context.contract
price_type = PriceType.MKT if price == 0 else PriceType.LMT
self._cur_strategy_context.cover(price,
quantity, price_type,
contract)
def position(self, direction='long', symbol=None):
""" 合约当前持仓仓位。
Args:
direction (str/int): 持仓方向。多头 - 'long' / 1 ；空头 - 'short' / 2
, 默认为多头。
symbol (str): 字符串合约，默认为None表示主合约。
Returns:
Position. 该合约的持仓
"""
if not self.on_bar:
raise Exception('只有on_bar函数内能查询当前持仓！')
direction = Direction.arg_to_type(direction)
contract = Contract(symbol) if symbol else \
self._cur_data_context.contract
# @TODO assert direction
return self._cur_strategy_context.position(contract, direction)
def all_positions(self):
""" 返回所有持仓列表 [Position] """
return self._cur_strategy_context.all_positions()
def pos(self, direction='long', symbol=None):
""" 合约的当前可平仓位。
Args:
direction (str/int): 持仓方向。多头 - 'long' / 1 ；空头 - 'short' / 2
, 默认为多头。
symbol (str): 字符串合约，默认为None表示主合约。
Returns:
int. 该合约的持仓数目。
"""
if not self.on_bar:
raise Exception('只有on_bar函数内能查询当前持仓！')
direction = Direction.arg_to_type(direction)
# @TODO symbol xxxxx
contract = Contract(symbol) if symbol else \
self._cur_data_context.contract
# @TODO assert direction
return self._cur_strategy_context.pos(contract, direction)
def cancel(self, orders):
""" 撤单 """
self._cur_strategy_context.cancel(orders)
def cash(self):
""" 现金。 """
if not self.on_bar:
raise Exception('只有on_bar函数内能查询可用资金！')
return self._cur_strategy_context.cash()
def equity(self):
""" 当前权益 """
if not self.on_bar:
raise Exception('只有on_bar函数内能查询当前权益！')
return self._cur_strategy_context.equity()
def profit(self, contract=None):
""" 当前持仓的历史盈亏 """
# if not self.on_bar:
# logger.warn('只有on_bar函数内能查询总盈亏！')
# return
pass
def plot_line(self, name, ith_window, x, y, styles, lw=1, ms=10, twinx=False):
self._cur_strategy_context.plot_line(name, ith_window - 1, x - 1, float(y),
styles, lw, ms, twinx)
def plot_text(self, name, ith_window, x, y, text, color='black', size=15, rotation=0):
self._cur_strategy_context.plot_text(name, ith_window-1, x-1, float(y),
text, color, size, rotation)
def day_profit(self, contract=None):
""" 当前持仓的浮动盈亏 """
#if not self.on_bar:
#logger.warn('只有on_bar函数内能查询浮动盈亏！')
#return
pass
def test_cash(self):
""" 当根bar时间终点撮合后的可用资金，用于测试。 """
self.process_trading_events(at_baropen=False)
return self.cash()
def test_equity(self):
""" 当根bar时间终点撮合后的权益，用于测试。 """
self.process_trading_events(at_baropen=False)
return self.equity()