From 49431dbe6f08ce1ef9540519836941fab8aa2333 Mon Sep 17 00:00:00 2001 From: OmniStep Date: Sat, 5 Aug 2017 22:53:54 +0800 Subject: [PATCH 001/306] Initial commit --- README.md | 2 ++ 1 file changed, 2 insertions(+) create mode 100644 README.md diff --git a/README.md b/README.md new file mode 100644 index 0000000..e54645e --- /dev/null +++ b/README.md @@ -0,0 +1,2 @@ +# OpenQuantCoding +step by step for building an OpenQuant Trading System From 2dc1e81ec1af476c0e32bbee5668fe1c7a8434d8 Mon Sep 17 00:00:00 2001 From: OmniStep Date: Sun, 6 Aug 2017 07:57:49 +0800 Subject: [PATCH 002/306] Create SUMMARY.md , will using GitBook editor --- SUMMARY.md | 7 +++++++ 1 file changed, 7 insertions(+) create mode 100644 SUMMARY.md diff --git a/SUMMARY.md b/SUMMARY.md new file mode 100644 index 0000000..3e33dcd --- /dev/null +++ b/SUMMARY.md @@ -0,0 +1,7 @@ + + +# Summary +--- + +* [0. Introduction](README.md) + From 14213078c1f100add53830e225b18432f0e9ebb1 Mon Sep 17 00:00:00 2001 From: OmniStep Date: Sun, 6 Aug 2017 08:01:10 +0800 Subject: [PATCH 003/306] Updates README.md Auto commit by GitBook Editor --- README.md | 16 +++++++++++++++- 1 file changed, 15 insertions(+), 1 deletion(-) diff --git a/README.md b/README.md index e54645e..3f3d36e 100644 --- a/README.md +++ b/README.md @@ -1,2 +1,16 @@ # OpenQuantCoding -step by step for building an OpenQuant Trading System + +My notebook for building an OpenQuant Trading System step by step + + + + + + + + + + + + + From ef42d48bf070e74dedf4a259e27d0b21c3302ebe Mon Sep 17 00:00:00 2001 From: OmniStep Date: Sun, 6 Aug 2017 08:33:12 +0800 Subject: [PATCH 004/306] Updates README.md Auto commit by GitBook Editor --- README.md | 4 +++- SUMMARY.md | 4 +--- before-your-start.md | 0 3 files changed, 4 insertions(+), 4 deletions(-) create mode 100644 before-your-start.md diff --git a/README.md b/README.md index 3f3d36e..41958f0 100644 --- a/README.md +++ b/README.md @@ -1,6 +1,8 @@ # OpenQuantCoding -My notebook for building an OpenQuant Trading System step by step +My notebook for building an OpenQuant Trading System step by step + + diff --git a/SUMMARY.md b/SUMMARY.md index 3e33dcd..6219117 100644 --- a/SUMMARY.md +++ b/SUMMARY.md @@ -1,7 +1,5 @@ - - # Summary ---- * [0. Introduction](README.md) +* [Before your start](before-your-start.md) diff --git a/before-your-start.md b/before-your-start.md new file mode 100644 index 0000000..e69de29 From 9aabd5d2ed427acd6701ab28afb094b7ab965042 Mon Sep 17 00:00:00 2001 From: OmniStep Date: Sun, 6 Aug 2017 08:41:27 +0800 Subject: [PATCH 005/306] Updates before-your-start.md Auto commit by GitBook Editor --- SUMMARY.md | 2 +- before-your-start.md | 38 ++++++++++++++++++++++++++++++++++++++ 2 files changed, 39 insertions(+), 1 deletion(-) diff --git a/SUMMARY.md b/SUMMARY.md index 6219117..ef01e90 100644 --- a/SUMMARY.md +++ b/SUMMARY.md @@ -1,5 +1,5 @@ # Summary * [0. Introduction](README.md) -* [Before your start](before-your-start.md) +* [在开始之前的准备](before-your-start.md) diff --git a/before-your-start.md b/before-your-start.md index e69de29..98fc891 100644 --- a/before-your-start.md +++ b/before-your-start.md @@ -0,0 +1,38 @@ +# 计算机运行环境 + +--- + +支持windows 10 , windows server 2012 , windows server 2016等目前主流的64位版本Windows系统。 + + + +结论： 安装Windows Server 2012 + + + +# 下载安装OpenQuant + +--- + +* **OpenQuant最新版本下载地址：** + +http://www.smartquant.com 英文官方网站 + +http://www.smartquant.cn 中文服务网站 + +* **OpenQuant国内市场插件下载地址：** + +http://www.smartquant.cn + +http://www.quantbox.cn/download + + + + + + + + + + + From 253f14bbf55d236cab723f4d53ddc92046170fa0 Mon Sep 17 00:00:00 2001 From: OmniStep Date: Sun, 6 Aug 2017 08:42:52 +0800 Subject: [PATCH 006/306] Updates before-your-start.md Auto commit by GitBook Editor --- before-your-start.md | 24 +++++++++++++++--------- 1 file changed, 15 insertions(+), 9 deletions(-) diff --git a/before-your-start.md b/before-your-start.md index 98fc891..bd03236 100644 --- a/before-your-start.md +++ b/before-your-start.md @@ -4,29 +4,35 @@ 支持windows 10 , windows server 2012 , windows server 2016等目前主流的64位版本Windows系统。 - - 结论： 安装Windows Server 2012 - - -# 下载安装OpenQuant +# 下载OpenQuant软件及插件 --- * **OpenQuant最新版本下载地址：** -http://www.smartquant.com 英文官方网站 +[http://www.smartquant.com](http://www.smartquant.com) 英文官方网站 -http://www.smartquant.cn 中文服务网站 +[http://www.smartquant.cn](http://www.smartquant.cn) 中文服务网站 * **OpenQuant国内市场插件下载地址：** -http://www.smartquant.cn +[http://www.smartquant.cn](http://www.smartquant.cn) + +[http://www.quantbox.cn/download](http://www.quantbox.cn/download) + -http://www.quantbox.cn/download +# 安装OpenQuant软件 +--- + + + +# 安装OpenQuant插件 + +--- From 5c1f7595aa54814016cf2722c454043a14246228 Mon Sep 17 00:00:00 2001 From: OmniStep Date: Sun, 6 Aug 2017 08:47:59 +0800 Subject: [PATCH 007/306] Updates before-your-start.md Auto commit by GitBook Editor --- before-your-start.md | 11 +++++++---- 1 file changed, 7 insertions(+), 4 deletions(-) diff --git a/before-your-start.md b/before-your-start.md index bd03236..da64c13 100644 --- a/before-your-start.md +++ b/before-your-start.md @@ -1,4 +1,4 @@ -# 计算机运行环境 +# 计算机运行环境的选择与准备 --- @@ -22,23 +22,26 @@ [http://www.quantbox.cn/download](http://www.quantbox.cn/download) - - # 安装OpenQuant软件 --- + + + + # 安装OpenQuant插件 --- +结论： 安装Windows Server 2012 - + From f0368bab1e22d0376c4cd207d4d52a7752cbbb44 Mon Sep 17 00:00:00 2001 From: OmniStep Date: Sun, 6 Aug 2017 08:52:29 +0800 Subject: [PATCH 008/306] Updates before-your-start.md Auto commit by GitBook Editor --- before-your-start.md | 20 ++++++++------------ 1 file changed, 8 insertions(+), 12 deletions(-) diff --git a/before-your-start.md b/before-your-start.md index da64c13..25d51a8 100644 --- a/before-your-start.md +++ b/before-your-start.md @@ -2,9 +2,12 @@ --- -支持windows 10 , windows server 2012 , windows server 2016等目前主流的64位版本Windows系统。 + OpenQuant系统运行在微软Windows操作系统，支持微软最新版本的OpenQuant支持Windows7，Windows8，Windows10及Windows Server 2008，Windows Server 2012等主流的Windows 64位操作系统。 + 安装OpenQuant软件时，OpenQuant安装程序会自动检测是否有合适的.NET Framework基础软件，如果需要安装程序会自动进行升级安装。 -结论： 安装Windows Server 2012 + + +结论：建议采用Windows Server 2012以上的面向服务器的操作系统软件。 # 下载OpenQuant软件及插件 @@ -26,22 +29,15 @@ --- +# +# - - - +# # 安装OpenQuant插件 --- -结论： 安装Windows Server 2012 - - - - - - From 37b8877d6064449622cd48bd13c2eab6cebda8d8 Mon Sep 17 00:00:00 2001 From: OmniStep Date: Sun, 6 Aug 2017 09:03:53 +0800 Subject: [PATCH 009/306] Updates before-your-start.md Auto commit by GitBook Editor --- before-your-start.md | 9 +++++++-- 1 file changed, 7 insertions(+), 2 deletions(-) diff --git a/before-your-start.md b/before-your-start.md index 25d51a8..91421c6 100644 --- a/before-your-start.md +++ b/before-your-start.md @@ -2,8 +2,13 @@ --- - OpenQuant系统运行在微软Windows操作系统，支持微软最新版本的OpenQuant支持Windows7，Windows8，Windows10及Windows Server 2008，Windows Server 2012等主流的Windows 64位操作系统。 - 安装OpenQuant软件时，OpenQuant安装程序会自动检测是否有合适的.NET Framework基础软件，如果需要安装程序会自动进行升级安装。 + + + + + + +sdfd From 21b800c07222c2ca25476787cb46556f880b6ab9 Mon Sep 17 00:00:00 2001 From: OmniStep Date: Sun, 6 Aug 2017 09:04:13 +0800 Subject: [PATCH 010/306] Updates before-your-start.md Auto commit by GitBook Editor --- before-your-start.md | 10 ++-------- 1 file changed, 2 insertions(+), 8 deletions(-) diff --git a/before-your-start.md b/before-your-start.md index 91421c6..edf082d 100644 --- a/before-your-start.md +++ b/before-your-start.md @@ -2,15 +2,9 @@ --- +sdfdOpenQuant系统运行在微软Windows操作系统，支持微软最新版本的OpenQuant支持Windows7，Windows8，Windows10及Windows Server 2008，Windows Server 2012等主流的Windows 64位操作系统。 - - - - - -sdfd - - +安装OpenQuant软件时，OpenQuant安装程序会自动检测是否有合适的.NET Framework基础软件，如果需要安装程序会自动进行升级安装。 结论：建议采用Windows Server 2012以上的面向服务器的操作系统软件。 From 0cb03f4528c6699c065f587336a425ac8ba17d96 Mon Sep 17 00:00:00 2001 From: OmniStep Date: Sun, 6 Aug 2017 09:04:47 +0800 Subject: [PATCH 011/306] Updates before-your-start.md Auto commit by GitBook Editor --- before-your-start.md | 6 ++++-- 1 file changed, 4 insertions(+), 2 deletions(-) diff --git a/before-your-start.md b/before-your-start.md index edf082d..c285a65 100644 --- a/before-your-start.md +++ b/before-your-start.md @@ -2,9 +2,11 @@ --- -sdfdOpenQuant系统运行在微软Windows操作系统，支持微软最新版本的OpenQuant支持Windows7，Windows8，Windows10及Windows Server 2008，Windows Server 2012等主流的Windows 64位操作系统。 + OpenQuant系统运行在微软Windows操作系统，支持微软最新版本的OpenQuant支持Windows7，Windows8，Windows10及Windows Server 2008，Windows Server 2012等主流的Windows 64位操作系统。 + + 安装OpenQuant软件时，OpenQuant安装程序会自动检测是否有合适的.NET Framework基础软件，如果需要安装程序会自动进行升级安装。 + -安装OpenQuant软件时，OpenQuant安装程序会自动检测是否有合适的.NET Framework基础软件，如果需要安装程序会自动进行升级安装。 结论：建议采用Windows Server 2012以上的面向服务器的操作系统软件。 From d70679c6500d294cd558968516bec37d667cb141 Mon Sep 17 00:00:00 2001 From: OmniStep Date: Sun, 6 Aug 2017 09:05:59 +0800 Subject: [PATCH 012/306] Updates before-your-start.md Auto commit by GitBook Editor --- before-your-start.md | 12 ++++++++++-- 1 file changed, 10 insertions(+), 2 deletions(-) diff --git a/before-your-start.md b/before-your-start.md index c285a65..d5bd1ad 100644 --- a/before-your-start.md +++ b/before-your-start.md @@ -2,11 +2,19 @@ --- - OpenQuant系统运行在微软Windows操作系统，支持微软最新版本的OpenQuant支持Windows7，Windows8，Windows10及Windows Server 2008，Windows Server 2012等主流的Windows 64位操作系统。 +asdfasdfasd - 安装OpenQuant软件时，OpenQuant安装程序会自动检测是否有合适的.NET Framework基础软件，如果需要安装程序会自动进行升级安装。 +as + +dfas + +df + +asd + +fa 结论：建议采用Windows Server 2012以上的面向服务器的操作系统软件。 From aadc59c3886e004de609a01620293f1c6732e2d4 Mon Sep 17 00:00:00 2001 From: OmniStep Date: Sun, 6 Aug 2017 09:07:48 +0800 Subject: [PATCH 013/306] Updates before-your-start.md Auto commit by GitBook Editor --- before-your-start.md | 14 +++----------- 1 file changed, 3 insertions(+), 11 deletions(-) diff --git a/before-your-start.md b/before-your-start.md index d5bd1ad..eb2d5bb 100644 --- a/before-your-start.md +++ b/before-your-start.md @@ -2,19 +2,11 @@ --- -asdfasdfasd +asdfasdfas + OpenQuant需要运行在微软Windows环境，支持微软最新版本的OpenQuant支持Windows7，Windows8，Windows10及Windows Server 2008，Windows Server 2012等主流的Windows 64位操作系统。 - -as - -dfas - -df - -asd - -fa + 安装OpenQuant软件时，OpenQuant安装程序会自动检测是否有合适的.NET Framework基础软件，如果需要安装程序会自动进行升级安装。 结论：建议采用Windows Server 2012以上的面向服务器的操作系统软件。 From ce022dc2bd023a1ae144b28545c9135235c25920 Mon Sep 17 00:00:00 2001 From: OmniStep Date: Sun, 6 Aug 2017 09:09:12 +0800 Subject: [PATCH 014/306] Updates before-your-start.md Auto commit by GitBook Editor --- before-your-start.md | 12 +++++++++--- 1 file changed, 9 insertions(+), 3 deletions(-) diff --git a/before-your-start.md b/before-your-start.md index eb2d5bb..43445e1 100644 --- a/before-your-start.md +++ b/before-your-start.md @@ -2,11 +2,17 @@ --- -asdfasdfas +asdfasdfasOpenQuant需要微软Windows运行环境，支持微软最新版本的OpenQuant支持Windows7，Windows8，Windows10及Windows Server 2008，Windows Server 2012等主流的Windows 64位操作系统。 - OpenQuant需要运行在微软Windows环境，支持微软最新版本的OpenQuant支持Windows7，Windows8，Windows10及Windows Server 2008，Windows Server 2012等主流的Windows 64位操作系统。 +安装OpenQuant软件时，OpenQuant安装程序会自动检测是否有合适的.NET Framework基础软件，如果需要安装程序会自动进行升级安装。 - 安装OpenQuant软件时，OpenQuant安装程序会自动检测是否有合适的.NET Framework基础软件，如果需要安装程序会自动进行升级安装。 + + +``` + OpenQuant需要运行在微软Windows环境，支持微软最新版本的OpenQuant支持Windows7，Windows8，Windows10及Windows Server 2008，Windows Server 2012等主流的Windows 64位操作系统。 + + 安装OpenQuant软件时，OpenQuant安装程序会自动检测是否有合适的.NET Framework基础软件，如果需要安装程序会自动进行升级安装。 +``` 结论：建议采用Windows Server 2012以上的面向服务器的操作系统软件。 From 6c8acbfb23256a829b918181cf7bd1c04d0c1362 Mon Sep 17 00:00:00 2001 From: OmniStep Date: Sun, 6 Aug 2017 09:09:29 +0800 Subject: [PATCH 015/306] Updates before-your-start.md Auto commit by GitBook Editor --- before-your-start.md | 8 +------- 1 file changed, 1 insertion(+), 7 deletions(-) diff --git a/before-your-start.md b/before-your-start.md index 43445e1..ad2b13a 100644 --- a/before-your-start.md +++ b/before-your-start.md @@ -2,18 +2,12 @@ --- -asdfasdfasOpenQuant需要微软Windows运行环境，支持微软最新版本的OpenQuant支持Windows7，Windows8，Windows10及Windows Server 2008，Windows Server 2012等主流的Windows 64位操作系统。 +asdfasdfasOpenQuant需要微软Windows运行环境，支持微软最新版本的OpenQuant支持Windows7，Windows8，Windows10及Windows Server 2008，Windows Server 2012等主流的Windows 64位操作系统。 安装OpenQuant软件时，OpenQuant安装程序会自动检测是否有合适的.NET Framework基础软件，如果需要安装程序会自动进行升级安装。 -``` - OpenQuant需要运行在微软Windows环境，支持微软最新版本的OpenQuant支持Windows7，Windows8，Windows10及Windows Server 2008，Windows Server 2012等主流的Windows 64位操作系统。 - - 安装OpenQuant软件时，OpenQuant安装程序会自动检测是否有合适的.NET Framework基础软件，如果需要安装程序会自动进行升级安装。 -``` - 结论：建议采用Windows Server 2012以上的面向服务器的操作系统软件。 # 下载OpenQuant软件及插件 From ff196b05259987fc854d0c0a694bcaef61aef123 Mon Sep 17 00:00:00 2001 From: OmniStep Date: Sun, 6 Aug 2017 09:09:38 +0800 Subject: [PATCH 016/306] Updates before-your-start.md Auto commit by GitBook Editor --- before-your-start.md | 4 +--- 1 file changed, 1 insertion(+), 3 deletions(-) diff --git a/before-your-start.md b/before-your-start.md index ad2b13a..615784b 100644 --- a/before-your-start.md +++ b/before-your-start.md @@ -2,12 +2,10 @@ --- -asdfasdfasOpenQuant需要微软Windows运行环境，支持微软最新版本的OpenQuant支持Windows7，Windows8，Windows10及Windows Server 2008，Windows Server 2012等主流的Windows 64位操作系统。 + OpenQuant需要微软Windows运行环境，支持微软最新版本的OpenQuant支持Windows7，Windows8，Windows10及Windows Server 2008，Windows Server 2012等主流的Windows 64位操作系统。 安装OpenQuant软件时，OpenQuant安装程序会自动检测是否有合适的.NET Framework基础软件，如果需要安装程序会自动进行升级安装。 - - 结论：建议采用Windows Server 2012以上的面向服务器的操作系统软件。 # 下载OpenQuant软件及插件 From 2c39f374c9130cba6181d2ce7dadcc97bffb974b Mon Sep 17 00:00:00 2001 From: OmniStep Date: Sun, 6 Aug 2017 09:11:31 +0800 Subject: [PATCH 017/306] Updates before-your-start.md Auto commit by GitBook Editor --- before-your-start.md | 4 +++- 1 file changed, 3 insertions(+), 1 deletion(-) diff --git a/before-your-start.md b/before-your-start.md index 615784b..336f5d3 100644 --- a/before-your-start.md +++ b/before-your-start.md @@ -2,7 +2,9 @@ --- - OpenQuant需要微软Windows运行环境，支持微软最新版本的OpenQuant支持Windows7，Windows8，Windows10及Windows Server 2008，Windows Server 2012等主流的Windows 64位操作系统。 + 目前的OpenQuant需要微软Windows运行环境，支持微软最新版本的OpenQuant支持Windows7，Windows8，Windows10及Windows Server 2008，Windows Server 2012等主流的Windows 64位操作系统。 + + 安装OpenQuant软件时，OpenQuant安装程序会自动检测是否有合适的.NET Framework基础软件，如果需要安装程序会自动进行升级安装。 安装OpenQuant软件时，OpenQuant安装程序会自动检测是否有合适的.NET Framework基础软件，如果需要安装程序会自动进行升级安装。 From 197c72fab397ec893dfc54d2aa9427ebb2a278f6 Mon Sep 17 00:00:00 2001 From: OmniStep Date: Sun, 6 Aug 2017 09:12:21 +0800 Subject: [PATCH 018/306] Updates before-your-start.md Auto commit by GitBook Editor --- before-your-start.md | 8 +++++--- 1 file changed, 5 insertions(+), 3 deletions(-) diff --git a/before-your-start.md b/before-your-start.md index 336f5d3..3ffdb27 100644 --- a/before-your-start.md +++ b/before-your-start.md @@ -2,14 +2,16 @@ --- - 目前的OpenQuant需要微软Windows运行环境，支持微软最新版本的OpenQuant支持Windows7，Windows8，Windows10及Windows Server 2008，Windows Server 2012等主流的Windows 64位操作系统。 +目前的OpenQuant需要微软Windows运行环境，支持微软最新版本的OpenQuant支持Windows7，Windows8，Windows10及Windows Server 2008，Windows Server 2012等主流的Windows 64位操作系统。 - 安装OpenQuant软件时，OpenQuant安装程序会自动检测是否有合适的.NET Framework基础软件，如果需要安装程序会自动进行升级安装。 +安装OpenQuant软件时，OpenQuant安装程序会自动检测是否有合适的.NET Framework基础软件，如果需要安装程序会自动进行升级安装。 -安装OpenQuant软件时，OpenQuant安装程序会自动检测是否有合适的.NET Framework基础软件，如果需要安装程序会自动进行升级安装。 + 结论：建议采用Windows Server 2012以上的面向服务器的操作系统软件。 +# + # 下载OpenQuant软件及插件 --- From e13a19c40e3257422987f0c4a7f6754744d4e8bb Mon Sep 17 00:00:00 2001 From: OmniStep Date: Sun, 6 Aug 2017 09:17:45 +0800 Subject: [PATCH 019/306] Updates before-your-start.md Auto commit by GitBook Editor --- assets/icon_pawprint.png | Bin 0 -> 2118 bytes before-your-start.md | 10 +++++----- 2 files changed, 5 insertions(+), 5 deletions(-) create mode 100644 assets/icon_pawprint.png diff --git a/assets/icon_pawprint.png b/assets/icon_pawprint.png new file mode 100644 index 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b/before-your-start.md @@ -4,11 +4,9 @@ 系统的选择 - 目前的OpenQuant需要微软Windows运行环境，支持微软最新版本的OpenQuant支持Windows7，Windows8，Windows10及Windows Server 2008，Windows Server 2012等主流的Windows 64位操作系统。 - - 安装OpenQuant软件时，OpenQuant安装程序会自动检测是否有合适的.NET Framework基础软件，如果需要安装程序会自动进行升级安装。 - +目前的OpenQuant需要微软Windows运行环境，支持微软最新版本的OpenQuant支持Windows7，Windows8，Windows10及Windows Server 2008，Windows Server 2012等主流的Windows 64位操作系统。 +安装OpenQuant软件时，OpenQuant安装程序会自动检测是否有合适的.NET Framework基础软件，如果需要安装程序会自动进行升级安装。 ![](/assets/icon_pawprint.png) 结论：建议采用Windows Server 2012以上的面向服务器的操作系统软件。 From f7abcee81a8fffff9ea9a3acced2ef5e32742e67 Mon Sep 17 00:00:00 2001 From: OmniStep Date: Sun, 6 Aug 2017 09:28:40 +0800 Subject: [PATCH 021/306] Updates before-your-start.md Auto commit by GitBook Editor --- before-your-start.md | 6 +++--- 1 file changed, 3 insertions(+), 3 deletions(-) diff --git a/before-your-start.md b/before-your-start.md index b6a38c1..aa52c10 100644 --- a/before-your-start.md +++ b/before-your-start.md @@ -2,11 +2,11 @@ --- -系统的选择 +* **运行环境的选择** - 目前的OpenQuant需要微软Windows运行环境，支持微软最新版本的OpenQuant支持Windows7，Windows8，Windows10及Windows Server 2008，Windows Server 2012等主流的Windows 64位操作系统。 +目前的OpenQuant需要微软Windows运行环境，支持微软最新版本的OpenQuant支持Windows7，Windows8，Windows10及Windows Server 2008，Windows Server 2012等主流的Windows 64位操作系统。 - 安装OpenQuant软件时，OpenQuant安装程序会自动检测是否有合适的.NET Framework基础软件，如果需要安装程序会自动进行升级安装。 +安装OpenQuant软件时，OpenQuant安装程序会自动检测是否有合适的.NET Framework基础软件，如果需要安装程序会自动进行升级安装。 From 4a579d9a0a624daf314d26470146355b3e02bc84 Mon Sep 17 00:00:00 2001 From: OmniStep Date: Sun, 6 Aug 2017 09:31:18 +0800 Subject: [PATCH 022/306] Updates README.md Auto commit by GitBook Editor --- README.md | 8 +------- 1 file changed, 1 insertion(+), 7 deletions(-) diff --git a/README.md b/README.md index 41958f0..45832ed 100644 --- a/README.md +++ b/README.md @@ -8,11 +8,5 @@ My notebook for building an OpenQuant Trading System step by step - - - - - - - +![](/assets/icon_pawprint.png)：Our Step From 00c10155b4800623c3f1eda64d448b81b0587af5 Mon Sep 17 00:00:00 2001 From: OmniStep Date: Sun, 6 Aug 2017 09:31:44 +0800 Subject: [PATCH 023/306] Updates before-your-start.md Auto commit by GitBook Editor --- before-your-start.md | 6 ++---- 1 file changed, 2 insertions(+), 4 deletions(-) diff --git a/before-your-start.md b/before-your-start.md index aa52c10..ccea173 100644 --- a/before-your-start.md +++ b/before-your-start.md @@ -6,11 +6,9 @@ 目前的OpenQuant需要微软Windows运行环境，支持微软最新版本的OpenQuant支持Windows7，Windows8，Windows10及Windows Server 2008，Windows Server 2012等主流的Windows 64位操作系统。 -安装OpenQuant软件时，OpenQuant安装程序会自动检测是否有合适的.NET Framework基础软件，如果需要安装程序会自动进行升级安装。 +安装OpenQuant软件时，OpenQuant安装程序会自动检测是否有合适的.NET Framework基础软件，如果需要安装程序会自动进行升级安装。 - - -![](/assets/icon_pawprint.png) 结论：建议采用Windows Server 2012以上的面向服务器的操作系统软件。 +![](/assets/icon_pawprint.png) 建议采用Windows Server 2012以上的面向服务器的操作系统软件。 # 下载OpenQuant软件及插件 From 6f2c239c429600dce7007c7cfba99896cb52d9f6 Mon Sep 17 00:00:00 2001 From: OmniStep Date: Sun, 6 Aug 2017 09:32:28 +0800 Subject: [PATCH 024/306] Updates before-your-start.md Auto commit by GitBook Editor --- before-your-start.md | 6 ------ 1 file changed, 6 deletions(-) diff --git a/before-your-start.md b/before-your-start.md index ccea173..899d63f 100644 --- a/before-your-start.md +++ b/before-your-start.md @@ -1,7 +1,5 @@ # 计算机运行环境的选择与准备 ---- - * **运行环境的选择** 目前的OpenQuant需要微软Windows运行环境，支持微软最新版本的OpenQuant支持Windows7，Windows8，Windows10及Windows Server 2008，Windows Server 2012等主流的Windows 64位操作系统。 @@ -12,8 +10,6 @@ # 下载OpenQuant软件及插件 ---- - * **OpenQuant最新版本下载地址：** [http://www.smartquant.com](http://www.smartquant.com) 英文官方网站 @@ -28,8 +24,6 @@ # 安装OpenQuant软件 ---- - # # From 4520bdfd268a40a87225a8a0a36fe071d0105037 Mon Sep 17 00:00:00 2001 From: OmniStep Date: Sun, 6 Aug 2017 09:33:26 +0800 Subject: [PATCH 025/306] Updates before-your-start.md Auto commit by GitBook Editor --- before-your-start.md | 4 ---- 1 file changed, 4 deletions(-) diff --git a/before-your-start.md 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**运行环境的选择** 目前的OpenQuant需要微软Windows运行环境，支持微软最新版本的OpenQuant支持Windows7，Windows8，Windows10及Windows Server 2008，Windows Server 2012等主流的Windows 64位操作系统。 @@ -10,6 +12,8 @@ # 下载OpenQuant软件及插件 +--- + * **OpenQuant最新版本下载地址：** [http://www.smartquant.com](http://www.smartquant.com) 英文官方网站 @@ -22,13 +26,17 @@ [http://www.quantbox.cn/download](http://www.quantbox.cn/download) -# 安装OpenQuant软件 + + +OpenQuant安装及国内市场插件安装过程 + +![](/assets/icon_text.png)详见[http://www.smartquant.cn/book/installing.html](http://www.smartquant.cn/book/installing.html) + + -# 安装OpenQuant插件 ---- From cd121a3c98f7c89ba4e95b89845ee50419f767fb Mon Sep 17 00:00:00 2001 From: OmniStep Date: Sun, 6 Aug 2017 10:07:22 +0800 Subject: [PATCH 027/306] Updates before-your-start.md Auto commit by GitBook Editor --- assets/icon_book.png | Bin 1089 -> 3064 bytes before-your-start.md | 8 ++------ 2 files changed, 2 insertions(+), 6 deletions(-) diff --git a/assets/icon_book.png b/assets/icon_book.png index 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[http://www.quantbox.cn/download](http://www.quantbox.cn/download) - - OpenQuant安装及国内市场插件安装过程 -![](/assets/icon_text.png)详见[http://www.smartquant.cn/book/installing.html](http://www.smartquant.cn/book/installing.html) - - - +![](/assets/icon_book.png)详见[http://www.smartquant.cn/book/installing.html](http://www.smartquant.cn/book/installing.html) +![](/assets/icon_pawprint.png)安装OpenQuant最新版本及国内市场插件，并可以导入当前期货合约代码，在市场开盘时段用OpenQuant中的 From 73ad4dc01662f4806bef81eea1264c948a328ba8 Mon Sep 17 00:00:00 2001 From: OmniStep Date: Sun, 6 Aug 2017 19:16:54 +0800 Subject: [PATCH 028/306] Updates before-your-start.md Auto commit by GitBook Editor --- SUMMARY.md | 1 + before-your-start.md | 6 +++++- hello-openquant-world.md | 0 3 files changed, 6 insertions(+), 1 deletion(-) create mode 100644 hello-openquant-world.md diff --git a/SUMMARY.md b/SUMMARY.md index ef01e90..b23cfc1 100644 --- a/SUMMARY.md +++ b/SUMMARY.md @@ -2,4 +2,5 @@ * [0. Introduction](README.md) * [在开始之前的准备](before-your-start.md) +* [Hello OpenQuant World](hello-openquant-world.md) diff --git a/before-your-start.md b/before-your-start.md index b7c51d2..104656d 100644 --- a/before-your-start.md +++ b/before-your-start.md @@ -34,5 +34,9 @@ OpenQuant安装及国内市场插件安装过程 -![](/assets/icon_pawprint.png)安装OpenQuant最新版本及国内市场插件，并可以导入当前期货合约代码，在市场开盘时段用OpenQuant中的 + + +![](/assets/icon_pawprint.png)下载并安装OpenQuant最新版本及国内市场插件。插件正确配置后可以正常连接至交易通道，可以导入当前期货合约代码，在市场开盘时段，打开OpenQuant中的QuoteMonitor界面，从Instruments窗口拖拽当前合约到QuoteMonitor界面中，可以看到该合约的当前市场报价。 + + diff --git a/hello-openquant-world.md b/hello-openquant-world.md new file mode 100644 index 0000000..e69de29 From eeddcd48acbf6e9eb4ab0283dc39ba5030b23797 Mon Sep 17 00:00:00 2001 From: OmniStep Date: Sun, 6 Aug 2017 19:34:59 +0800 Subject: [PATCH 029/306] Updates before-your-start.md Auto commit by GitBook Editor --- before-your-start.md | 22 ++++++++++++++++++++-- 1 file changed, 20 insertions(+), 2 deletions(-) diff --git a/before-your-start.md b/before-your-start.md index 104656d..6bc7c16 100644 --- a/before-your-start.md +++ b/before-your-start.md @@ -26,17 +26,35 @@ [http://www.quantbox.cn/download](http://www.quantbox.cn/download) -OpenQuant安装及国内市场插件安装过程 + + +# 安装OpenQuant软件及国内市场插件 + +--- + +* **OpenQuant安装及国内市场插件安装过程** ![](/assets/icon_book.png)详见[http://www.smartquant.cn/book/installing.html](http://www.smartquant.cn/book/installing.html) +* 简要过程 +* [ ] 安装OpenQuant最新版本; +* [ ] 安装国内市场插件; +* [ ] 配置国内市场插件: -![](/assets/icon_pawprint.png)下载并安装OpenQuant最新版本及国内市场插件。插件正确配置后可以正常连接至交易通道，可以导入当前期货合约代码，在市场开盘时段，打开OpenQuant中的QuoteMonitor界面，从Instruments窗口拖拽当前合约到QuoteMonitor界面中，可以看到该合约的当前市场报价。 +1. 交易用户名及密码信息\(UserList\) +2. CTP服务器地址信息\(ServerList\) +3. 交易通道组合信息\(ApiList\) + + + + +![](/assets/icon_pawprint.png)下载并安装OpenQuant最新版本及国内市场插件。插件正确配置后可以正常连接至交易通道，可以导入当前期货合约代码，在市场开盘时段，打开OpenQuant中的QuoteMonitor界面，从Instruments窗口拖拽当前合约到QuoteMonitor界面中，可以看到该合约的当前市场报价。 + From f77c86e788e5b6aba3ffb77851091ada4b555d3f Mon Sep 17 00:00:00 2001 From: OmniStep Date: Sun, 6 Aug 2017 19:52:40 +0800 Subject: [PATCH 030/306] Updates before-your-start.md Auto commit by GitBook Editor --- assets/ApiManagerForm.png | Bin 0 -> 37863 bytes assets/OQProvidersGreenLight.png | Bin 0 -> 3593 bytes before-your-start.md | 14 +++++++++----- 3 files changed, 9 insertions(+), 5 deletions(-) create mode 100644 assets/ApiManagerForm.png create mode 100644 assets/OQProvidersGreenLight.png diff --git a/assets/ApiManagerForm.png b/assets/ApiManagerForm.png new file mode 100644 index 0000000000000000000000000000000000000000..be0ffdd3cac6920197164532e74822e1f2f7464d GIT binary patch literal 37863 zcmZs@2~<<(^FFRfMXHEODQQP 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Date: Sun, 6 Aug 2017 20:13:19 +0800 Subject: [PATCH 031/306] Creates icons/icon_bookbig.png Auto commit by GitBook Editor --- README.md | 24 +++++++++++++++++++++++- before-your-start.md | 6 ++---- icons/README.md | 0 {assets => icons}/icon_book.png | Bin icons/icon_bookbig.png | Bin 0 -> 1369 bytes icons/icon_labtubeBlue.ico | Bin 0 -> 9662 bytes icons/icon_labtubeOrg.ico | Bin 0 -> 9662 bytes {assets => icons}/icon_pawprint.png | Bin {assets => icons}/icon_text.png | Bin 9 files changed, 25 insertions(+), 5 deletions(-) create mode 100644 icons/README.md rename {assets => icons}/icon_book.png (100%) create mode 100644 icons/icon_bookbig.png create mode 100644 icons/icon_labtubeBlue.ico create mode 100644 icons/icon_labtubeOrg.ico rename {assets => icons}/icon_pawprint.png (100%) rename {assets => icons}/icon_text.png (100%) diff --git a/README.md b/README.md index 45832ed..cae3251 100644 --- a/README.md +++ b/README.md @@ -2,11 +2,33 @@ My notebook for building an OpenQuant Trading System step by step +--- -![](/assets/icon_pawprint.png)：Our Step + + + + + + + + + + + + + +* **icon legend ** + +| icon | Note | +| :---: | :--- | +| ![](/icons/icon_pawprint.png) | 一个爪印，代表你已经实现了这一步的结果 | +| ![](/icons/icon_bookbig.png) | 一本手册，代表外部参考资料或者资源 | +| ![](/icons/icon_labtubeOrg.ico) | 一个实验瓶，代表这里要进行的操作和反复的操作 | + + diff --git a/before-your-start.md b/before-your-start.md index e50a109..88da981 100644 --- a/before-your-start.md +++ b/before-your-start.md @@ -26,6 +26,8 @@ [http://www.quantbox.cn/download](http://www.quantbox.cn/download) + + # 安装OpenQuant软件及国内市场插件 --- @@ -56,9 +58,5 @@ ![](/assets/OQProvidersGreenLight.png) - - - - ![](/assets/icon_pawprint.png)下载并安装OpenQuant最新版本及国内市场插件。插件正确配置后可以正常连接至交易通道，可以导入当前期货合约代码，在市场开盘时段，打开OpenQuant中的QuoteMonitor界面，从Instruments窗口拖拽当前合约到QuoteMonitor界面中，可以看到该合约的当前市场报价。 diff --git a/icons/README.md b/icons/README.md new file mode 100644 index 0000000..e69de29 diff --git a/assets/icon_book.png b/icons/icon_book.png similarity index 100% rename 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b/icons/icon_pawprint.png similarity index 100% rename from assets/icon_pawprint.png rename to icons/icon_pawprint.png diff --git a/assets/icon_text.png b/icons/icon_text.png similarity index 100% rename from assets/icon_text.png rename to icons/icon_text.png From 5eb9e48b854cfbdf90c0eab847bd0429ac2e08a6 Mon Sep 17 00:00:00 2001 From: OmniStep Date: Sun, 6 Aug 2017 20:16:34 +0800 Subject: [PATCH 032/306] Updates README.md Auto commit by GitBook Editor --- README.md | 20 +------------------- before-your-start.md | 12 ++++-------- icons/{icon_pawprint.png => icon_paw.png} | Bin 3 files changed, 5 insertions(+), 27 deletions(-) rename icons/{icon_pawprint.png => icon_paw.png} (100%) diff --git a/README.md b/README.md index cae3251..40036b1 100644 --- a/README.md +++ b/README.md @@ -4,29 +4,11 @@ My notebook for building an OpenQuant Trading System step by step --- - - - - - - - - - - - - - - - - - - * **icon legend ** | icon | Note | | :---: | :--- | -| ![](/icons/icon_pawprint.png) | 一个爪印，代表你已经实现了这一步的结果 | +| ![](/icons/icon_paw.png) | 一个爪印，代表你已经实现了这一步的结果 | | ![](/icons/icon_bookbig.png) | 一本手册，代表外部参考资料或者资源 | | ![](/icons/icon_labtubeOrg.ico) | 一个实验瓶，代表这里要进行的操作和反复的操作 | diff --git a/before-your-start.md b/before-your-start.md index 88da981..127eb15 100644 --- a/before-your-start.md +++ b/before-your-start.md @@ -8,7 +8,7 @@ 安装OpenQuant软件时，OpenQuant安装程序会自动检测是否有合适的.NET Framework基础软件，如果需要安装程序会自动进行升级安装。 -![](/assets/icon_pawprint.png) 建议采用Windows Server 2012以上的面向服务器的操作系统软件。 +![](/icons/icon_paw.png) 建议采用Windows Server 2012以上的面向服务器的操作系统软件。 # 下载OpenQuant软件及插件 @@ -26,19 +26,15 @@ [http://www.quantbox.cn/download](http://www.quantbox.cn/download) - - # 安装OpenQuant软件及国内市场插件 --- * **OpenQuant安装及国内市场插件安装过程** -![](/assets/icon_book.png)详见[http://www.smartquant.cn/book/installing.html](http://www.smartquant.cn/book/installing.html) - - +![](/icons/icon_bookbig.png)详见[http://www.smartquant.cn/book/installing.html](http://www.smartquant.cn/book/installing.html) -* 简要过程 +![](/icons/icon_labtubeOrg.ico)**简要过程记录** * [ ] 安装OpenQuant最新版本; @@ -58,5 +54,5 @@ ![](/assets/OQProvidersGreenLight.png) -![](/assets/icon_pawprint.png)下载并安装OpenQuant最新版本及国内市场插件。插件正确配置后可以正常连接至交易通道，可以导入当前期货合约代码，在市场开盘时段，打开OpenQuant中的QuoteMonitor界面，从Instruments窗口拖拽当前合约到QuoteMonitor界面中，可以看到该合约的当前市场报价。 +![](/icons/icon_paw.png)下载并安装OpenQuant最新版本及国内市场插件。插件正确配置后可以正常连接至交易通道，可以导入当前期货合约代码，在市场开盘时段，打开OpenQuant中的QuoteMonitor界面，从Instruments窗口拖拽当前合约到QuoteMonitor界面中，可以看到该合约的当前市场报价。 diff --git a/icons/icon_pawprint.png b/icons/icon_paw.png similarity index 100% rename from icons/icon_pawprint.png rename to icons/icon_paw.png From 6a5ecac9021ed0390b5af80842eb6f4c7320e508 Mon Sep 17 00:00:00 2001 From: OmniStep Date: Sun, 6 Aug 2017 20:31:20 +0800 Subject: [PATCH 033/306] Updates manage-your-coding-by-svn.md Auto commit by GitBook Editor --- SUMMARY.md | 1 + hello-openquant-world.md | 10 ++++++++++ manage-your-coding-by-svn.md | 14 ++++++++++++++ 3 files changed, 25 insertions(+) create mode 100644 manage-your-coding-by-svn.md diff --git a/SUMMARY.md b/SUMMARY.md index b23cfc1..d433122 100644 --- a/SUMMARY.md +++ b/SUMMARY.md @@ -2,5 +2,6 @@ * [0. Introduction](README.md) * [在开始之前的准备](before-your-start.md) +* [管理未来所有的代码...](manage-your-coding-by-svn.md) * [Hello OpenQuant World](hello-openquant-world.md) diff --git a/hello-openquant-world.md b/hello-openquant-world.md index e69de29..d2d3b40 100644 --- a/hello-openquant-world.md +++ b/hello-openquant-world.md @@ -0,0 +1,10 @@ +# 开始一个OpenQuant的HelloWorld！ + +--- + + + + + + + diff --git a/manage-your-coding-by-svn.md b/manage-your-coding-by-svn.md new file mode 100644 index 0000000..4347a4c --- /dev/null +++ b/manage-your-coding-by-svn.md @@ -0,0 +1,14 @@ +# 管理未来所有的代码 + +--- + +应该在工作开始前，就规划着手管理起你未来所有的策略代码。构建起一个明确的工作流程及管理体系，能让你的策略设计文档、策略程序代码及配置信息等诸多文件井井有条，这将极大的帮助你形成轻松高效并且稳定的开发管理体系。必经稳定的过程，才有稳定的质量。 + +![](/icons/icon_paw.png)建立程序化交易开发管理体系，用SVN或者Git这样的版本控制系统管理你所有的代码及文档。 + + + + + + + From 92c1ef75992e9cec12ab987e356f7974e8c7febf Mon Sep 17 00:00:00 2001 From: OmniStep Date: Sun, 6 Aug 2017 20:31:49 +0800 Subject: [PATCH 034/306] Updates SUMMARY.md Auto commit by GitBook Editor --- SUMMARY.md | 2 +- 1 file changed, 1 insertion(+), 1 deletion(-) diff --git a/SUMMARY.md b/SUMMARY.md index d433122..c6fb9e4 100644 --- a/SUMMARY.md +++ b/SUMMARY.md @@ -3,5 +3,5 @@ * [0. Introduction](README.md) * [在开始之前的准备](before-your-start.md) * [管理未来所有的代码...](manage-your-coding-by-svn.md) -* [Hello OpenQuant World](hello-openquant-world.md) +* [开始一个OpenQuant的Hello World](hello-openquant-world.md) From c42d493aac625e9db45cbc18f09c94eaaf1f7d84 Mon Sep 17 00:00:00 2001 From: OmniStep Date: Sun, 6 Aug 2017 20:32:40 +0800 Subject: [PATCH 035/306] Updates README.md Auto commit by GitBook Editor --- README.md | 14 ++++++++++++++ 1 file changed, 14 insertions(+) diff --git a/README.md b/README.md index 40036b1..a61f9e5 100644 --- a/README.md +++ b/README.md @@ -2,6 +2,20 @@ My notebook for building an OpenQuant Trading System step by step + + + + + + + + + + + + + + --- * **icon legend ** From 58f2c7ea818b01fe91ddf0cdbd01e7b052411b71 Mon Sep 17 00:00:00 2001 From: OmniStep Date: Sun, 6 Aug 2017 20:33:03 +0800 Subject: [PATCH 036/306] Updates README.md Auto commit by GitBook Editor --- README.md | 16 +--------------- 1 file changed, 1 insertion(+), 15 deletions(-) diff --git a/README.md b/README.md index a61f9e5..a0ba7f7 100644 --- a/README.md +++ b/README.md @@ -2,23 +2,9 @@ My notebook for building an OpenQuant Trading System step by step - - - - - - - - - - - - - - --- -* **icon legend ** +* * * * * * * * * * * * * * * * * * * **icon legend ** | icon | Note | | :---: | :--- | From a704d7c0b5a2556c1824e33064db0a238713d4fe Mon Sep 17 00:00:00 2001 From: OmniStep Date: Sun, 6 Aug 2017 20:34:19 +0800 Subject: [PATCH 037/306] Updates README.md Auto commit by GitBook Editor --- README.md | 24 +++++++++++++++++++++++- 1 file changed, 23 insertions(+), 1 deletion(-) diff --git a/README.md b/README.md index a0ba7f7..80fab0a 100644 --- a/README.md +++ b/README.md @@ -4,7 +4,29 @@ My notebook for building an OpenQuant Trading System step by step --- -* * * * * * * * * * * * * * * * * * * **icon legend ** +\| + +\| + +\| + +\| + +\| + +\| + +\| + +\| + +\| + +\| + +\| + +* **icon legend ** | icon | Note | | :---: | :--- | From 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-这里的逻辑仅仅是为了使用让OpenQuant高速地发出开仓及平仓单，进行交易功能的验证。总体策略逻辑如下图所示： +这里的逻辑仅仅是为了使用让OpenQuant高速地发出开仓及平仓单，进行交易功能的验证。 -![](/assets/FlashOrderStrategyDiagram.png)asdf +在交易执行层面，我们只要处理四种定单的场景，即： +1. 买入开仓定单，简记符号为 △ +2. 卖出平仓定单，简记符号为 ▼ +3. 卖出开仓定单，简记符号为 ▽ +4. 买入平仓定单，简介符号为 ▲ + +![](/icons/icon_paw.png)使用定单简记符号将使得研究交易策略，或输出运行日志时有很好的可阅读性。而且这组符号很容易识别和记忆。 +在这个策略中，我们还需要处理两个事件：行情进入时的OnBar事件，和报单成交时的OnFill事件，FlashOrder的总体策略逻辑如下图所示： +![](/assets/FlashOrderStrategyDiagram.png) +## 7.3 FlashOrder的逻辑代码 +coming soon From fe6b0ea61ff11950ea6aea5860adb7337706513a Mon Sep 17 00:00:00 2001 From: OmniStep Date: Mon, 18 Sep 2017 00:08:28 +0800 Subject: [PATCH 108/306] Creates assets/FlashOrderFilled.png Auto commit by GitBook Editor --- assets/FlashOrderFilled.png | Bin 0 -> 31179 bytes place-an-order.md | 367 +++++++++++++++++++++++++++++++++++- 2 files changed, 364 insertions(+), 3 deletions(-) create mode 100644 assets/FlashOrderFilled.png diff --git a/assets/FlashOrderFilled.png b/assets/FlashOrderFilled.png new file mode 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+ //卖出-平仓 + Order orderSC = SellLimitOrder(Instrument, orderQty, fill.Price + myCentClose*Instrument.TickSize, "▼"); + orderSC.CloseToday() ; + Send(orderSC); + + theOrdSCid = orderSC.Id; + theOrdSCstatus = orderSC.Status.ToString(); + System.Console.WriteLine("▓▓▓▓▓ theOrdSCstatus = " + theOrdSCstatus); + + swLongEnable = 1; + } + + if(fill.Order.Id == theOrdSSid) + { + System.Console.WriteLine("▓▓▓▓▓ --> 买入-平仓"); + //买入-平仓 + Order orderBC = BuyLimitOrder(Instrument, orderQty, fill.Price - myCentClose*Instrument.TickSize, "▲"); + orderBC.CloseToday(); + Send(orderBC); + System.Console.WriteLine("▓orderBC.SubSide=" + orderBC.SubSide.ToString()); + + theOrdBCid = orderBC.Id; + + swShortEnable = 1; + } + + + + if(fill.Order.Id == theOrdSCid) + { + swLongEnable = 1; + } + + if(fill.Order.Id == theOrdBCid) + { + swShortEnable = 1; + } + + } + + + } +} + +``` + + + +![](/icons/icon_labtubeOrg.ico)运行策略后，应该通过OpenQuant自己的OrderManager及CTP通用交易客户终端查看到报单状况。 + +![](/assets/FlashOrderFilled.png) + +## 7.4 将定单信息存入数据库 + +coming soon + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + + coming soon From 3e9c0897691992c73dfdff3c54dd678493b7b1bc Mon Sep 17 00:00:00 2001 From: OmniStep Date: Mon, 18 Sep 2017 00:10:15 +0800 Subject: [PATCH 109/306] Updates place-an-order.md Auto commit by GitBook Editor --- place-an-order.md | 416 +++++++++++++++++++--------------------------- 1 file changed, 169 insertions(+), 247 deletions(-) diff --git a/place-an-order.md b/place-an-order.md index dc84cc4..cbf8aaa 100644 --- a/place-an-order.md +++ b/place-an-order.md @@ -43,11 +43,11 @@ namespace OpenQuant { public partial class Backtest : Scenario { - - //定义K线时间周期为barSize秒 - private long barSize = 60; - - + + //定义K线时间周期为barSize秒 + private long barSize = 60; + + public Backtest(Framework framework) : base(framework) { @@ -55,38 +55,32 @@ namespace OpenQuant public override void Run() { - - //定义要引入的合约名字 - Instrument instrument1 = InstrumentManager.Instruments["rb1709"]; - - + + //定义要引入的合约名字 + Instrument instrument1 = InstrumentManager.Instruments["rb1709"]; + + strategy = new MyStrategy(framework, "Backtest"); - - - //引入合约 - strategy.AddInstrument(instrument1); - - //定义数据回测的起止日期 - DataSimulator.SubscribeBar = false; - DataSimulator.DateTime1 = new DateTime(2017, 08, 01); - DataSimulator.DateTime2 = new DateTime(2017, 09, 02); - - //定义一个时间类型的K线 - BarFactory.Clear(); - BarFactory.Add(instrument1, BarType.Time, barSize); - - Initialize(); - - StartStrategy(); - } - } -} + //引入合约 + strategy.AddInstrument(instrument1); + //定义数据回测的起止日期 + DataSimulator.SubscribeBar = false; + DataSimulator.DateTime1 = new DateTime(2017, 08, 01); + DataSimulator.DateTime2 = new DateTime(2017, 09, 02); + //定义一个时间类型的K线 + BarFactory.Clear(); + BarFactory.Add(instrument1, BarType.Time, barSize); + Initialize(); + StartStrategy(); + } + } +} ``` Realtime工程中的Scenario.cs代码为： @@ -104,45 +98,43 @@ namespace OpenQuant { public partial class Realtime : Scenario { - - //定义K线时间周期为barSize秒 - private long barSize = 3; - - + + //定义K线时间周期为barSize秒 + private long barSize = 3; + + public Realtime(Framework framework) : base(framework) { - } + } public override void Run() { - - //定义合约 - Instrument instrument1 = InstrumentManager.Instruments["au1712"]; - - strategy = new MyStrategy(framework, "HelloWorld"); - - //引入合约到主策略工程 - strategy.AddInstrument(instrument1); - - //定义主策略中使用的合约的数据源和交易通道 - strategy.DataProvider = ProviderManager.GetDataProvider("QuantBoxCTP"); - strategy.ExecutionProvider = ProviderManager.GetExecutionProvider("QuantBoxCTP"); - - //定义K线类型：时间型K线，barSize秒生成一个Bar - BarFactory.Clear(); - BarFactory.Add(instrument1, BarType.Time, barSize); - - - Initialize(); - - //Run the strategy - StartStrategy(); + + //定义合约 + Instrument instrument1 = InstrumentManager.Instruments["au1712"]; + + strategy = new MyStrategy(framework, "HelloWorld"); + + //引入合约到主策略工程 + strategy.AddInstrument(instrument1); + + //定义主策略中使用的合约的数据源和交易通道 + strategy.DataProvider = ProviderManager.GetDataProvider("QuantBoxCTP"); + strategy.ExecutionProvider = ProviderManager.GetExecutionProvider("QuantBoxCTP"); + + //定义K线类型：时间型K线，barSize秒生成一个Bar + BarFactory.Clear(); + BarFactory.Add(instrument1, BarType.Time, barSize); + + + Initialize(); + + //Run the strategy + StartStrategy(); } } } - - ``` 而MyStrategy工程中先要引入QuantBox.OQ.dll, 该文件安装QuantBoxCTP插件后，可以在OpenQuant默认安装路径中找到。MyStrategy.cs代码为： @@ -157,239 +149,169 @@ namespace OpenQuant { public class MyStrategy : InstrumentStrategy { - - - int orderQty = 1; //定义交易定单的发单量多少手 - int swLongEnable = 1; //定义做多交易许可开关，0：禁止，1：允许 - int swShortEnable = 1; //定义做空交易许可开关，0：禁止，1：允许 - - int theOrdBOid = 0 ; //定义做多△买入开仓定单id - int theOrdSCid = 0 ; //定义做多 ▼卖出平仓定单id - string theOrdSCstatus = ""; //定义做多 ▼卖出平仓定单状态 - - int theOrdSSid = 0 ; //定义做空▽卖出开仓定单id - int theOrdBCid = 0 ; //定义做空 ▲买入平仓定单id - - int myCentOpen = 1 ; //定义开仓追价成本是多少TickSize； - int myCentClose = 0 ; //定义平仓追价成本是多少TickSize； - //默认1：代表盈利1个TickSize挂单 - // 0：代表市场平价报单； - // -1：代表1个TickSize的成本报单 - - public MyStrategy(Framework framework, string name) - : base(framework, name) - { - } - - protected override void OnStrategyStart() - { - //定义K线的画布，编码0号 - Group("myK_Chart", "Pad", 0); - Group("myK_Chart", "CandleWhiteColor", Color.Red); - Group("myK_Chart", "CandleBlackColor", Color.Lime); - Group("Fills", "Pad", 0); - Group("Equity", "Pad", 1); - - } - - protected override void OnBar(Instrument instrument, Bar bar) - { - //当Bar形成时，增加bar数据到K线序列 - Bars.Add(bar); - - //在Bars画布上画出K线 - Log(bar, "myK_Chart"); - - // Calculate performance. - Portfolio.Performance.Update(); - // 在画布上绘制权益曲线 - Log(Portfolio.Value, "Equity"); - - - - //就是这句期待已久的HelloWorld！同时显示bar时间，合约代码，bar中的均价 - Console.WriteLine("OnBar------HelloWorld! "+bar.DateTime.ToString()+ " "+instrument.Symbol + " ="+bar.Average.ToString()); - Console.WriteLine("swLongEnable= "+swLongEnable.ToString()+ "; swShortEnable ="+swShortEnable.ToString()); - //显示平仓单状态 - System.Console.WriteLine("theOrdSCstatus = " + theOrdSCstatus); - - if(swLongEnable==1) - { - //买入-开仓 - Order orderBO = BuyLimitOrder(Instrument, orderQty, bar.Close - myCentOpen*Instrument.TickSize, "△"); - //orderBO.Open(); - Send(orderBO); - - swLongEnable = 0; - theOrdBOid = orderBO.Id; - System.Console.WriteLine("▓ orderBO.Id=" + orderBO.Id.ToString()); - } - - - if(swShortEnable==1) - { - //卖出-开仓 - Order orderSS = SellLimitOrder(Instrument, orderQty, bar.Close + myCentOpen*Instrument.TickSize, "▽"); - //orderSS.Open(); - Send(orderSS); - - swShortEnable = 0; - theOrdSSid = orderSS.Id; - System.Console.WriteLine("▓ orderSS.Id=" + orderSS.Id.ToString()); - } - - /* - - - - */ - } - - protected override void OnFill(SmartQuant.Fill fill) - { - // 在画布上绘制成交记录 - Log(fill, "Fills"); - - - // 在Output窗口中输出fill对象的当前数据... - System.Console.WriteLine("fill.DateTime=" + fill.DateTime.ToString()); - System.Console.WriteLine("fill.CashFlow=" + fill.CashFlow.ToString()); - System.Console.WriteLine("fill.Commission=" + fill.Commission.ToString()); - System.Console.WriteLine("fill.Instrument.Symbol=" + fill.Instrument.Symbol.ToString()); - System.Console.WriteLine("fill.Instrument.Description=" + fill.Instrument.Description.ToString()); - System.Console.WriteLine("fill.Instrument.Trade=" + fill.Instrument.Trade.ToString()); - System.Console.WriteLine("fill.Text=" + fill.Text.ToString()); - - - - if(fill.Order.Id == theOrdBOid) - { - System.Console.WriteLine("▓▓▓▓▓ --> 卖出-平仓"); - //卖出-平仓 - Order orderSC = SellLimitOrder(Instrument, orderQty, fill.Price + myCentClose*Instrument.TickSize, "▼"); - orderSC.CloseToday() ; - Send(orderSC); - - theOrdSCid = orderSC.Id; - theOrdSCstatus = orderSC.Status.ToString(); - System.Console.WriteLine("▓▓▓▓▓ theOrdSCstatus = " + theOrdSCstatus); - - swLongEnable = 1; - } - - if(fill.Order.Id == theOrdSSid) - { - System.Console.WriteLine("▓▓▓▓▓ --> 买入-平仓"); - //买入-平仓 - Order orderBC = BuyLimitOrder(Instrument, orderQty, fill.Price - myCentClose*Instrument.TickSize, "▲"); - orderBC.CloseToday(); - Send(orderBC); - System.Console.WriteLine("▓orderBC.SubSide=" + orderBC.SubSide.ToString()); - - theOrdBCid = orderBC.Id; - - swShortEnable = 1; - } - - - - if(fill.Order.Id == theOrdSCid) - { - swLongEnable = 1; - } - - if(fill.Order.Id == theOrdBCid) - { - swShortEnable = 1; - } - - } - - - } -} - -``` - - - -![](/icons/icon_labtubeOrg.ico)运行策略后，应该通过OpenQuant自己的OrderManager及CTP通用交易客户终端查看到报单状况。 - -![](/assets/FlashOrderFilled.png) - -## 7.4 将定单信息存入数据库 - -coming soon - - - - - - - - - - - - - - - - - - - - - - - + int orderQty = 1; //定义交易定单的发单量多少手 + int swLongEnable = 1; //定义做多交易许可开关，0：禁止，1：允许 + int swShortEnable = 1; //定义做空交易许可开关，0：禁止，1：允许 + int theOrdBOid = 0 ; //定义做多△买入开仓定单id + int theOrdSCid = 0 ; //定义做多 ▼卖出平仓定单id + string theOrdSCstatus = ""; //定义做多 ▼卖出平仓定单状态 + int theOrdSSid = 0 ; //定义做空▽卖出开仓定单id + int theOrdBCid = 0 ; //定义做空 ▲买入平仓定单id + int myCentOpen = 1 ; //定义开仓追价成本是多少TickSize； + int myCentClose = 0 ; //定义平仓追价成本是多少TickSize； + //默认1：代表盈利1个TickSize挂单 + // 0：代表市场平价报单； + // -1：代表1个TickSize的成本报单 + public MyStrategy(Framework framework, string name) + : base(framework, name) + { + } + protected override void OnStrategyStart() + { + //定义K线的画布，编码0号 + Group("myK_Chart", "Pad", 0); + Group("myK_Chart", "CandleWhiteColor", Color.Red); + Group("myK_Chart", "CandleBlackColor", Color.Lime); + Group("Fills", "Pad", 0); + Group("Equity", "Pad", 1); + } + protected override void OnBar(Instrument instrument, Bar bar) + { + //当Bar形成时，增加bar数据到K线序列 + Bars.Add(bar); + //在Bars画布上画出K线 + Log(bar, "myK_Chart"); + // Calculate performance. + Portfolio.Performance.Update(); + // 在画布上绘制权益曲线 + Log(Portfolio.Value, "Equity"); + //就是这句期待已久的HelloWorld！同时显示bar时间，合约代码，bar中的均价 + Console.WriteLine("OnBar------HelloWorld! "+bar.DateTime.ToString()+ " "+instrument.Symbol + " ="+bar.Average.ToString()); + Console.WriteLine("swLongEnable= "+swLongEnable.ToString()+ "; swShortEnable ="+swShortEnable.ToString()); + //显示平仓单状态 + System.Console.WriteLine("theOrdSCstatus = " + theOrdSCstatus); + if(swLongEnable==1) + { + //买入-开仓 + Order orderBO = BuyLimitOrder(Instrument, orderQty, bar.Close - myCentOpen*Instrument.TickSize, "△"); + //orderBO.Open(); + Send(orderBO); + swLongEnable = 0; + theOrdBOid = orderBO.Id; + System.Console.WriteLine("▓ orderBO.Id=" + orderBO.Id.ToString()); + } + if(swShortEnable==1) + { + //卖出-开仓 + Order orderSS = SellLimitOrder(Instrument, orderQty, bar.Close + myCentOpen*Instrument.TickSize, "▽"); + //orderSS.Open(); + Send(orderSS); + swShortEnable = 0; + theOrdSSid = orderSS.Id; + System.Console.WriteLine("▓ orderSS.Id=" + orderSS.Id.ToString()); + } + /* + */ + } + protected override void OnFill(SmartQuant.Fill fill) + { + // 在画布上绘制成交记录 + Log(fill, "Fills"); + // 在Output窗口中输出fill对象的当前数据... + System.Console.WriteLine("fill.DateTime=" + fill.DateTime.ToString()); + System.Console.WriteLine("fill.CashFlow=" + fill.CashFlow.ToString()); + System.Console.WriteLine("fill.Commission=" + fill.Commission.ToString()); + System.Console.WriteLine("fill.Instrument.Symbol=" + fill.Instrument.Symbol.ToString()); + System.Console.WriteLine("fill.Instrument.Description=" + fill.Instrument.Description.ToString()); + System.Console.WriteLine("fill.Instrument.Trade=" + fill.Instrument.Trade.ToString()); + System.Console.WriteLine("fill.Text=" + fill.Text.ToString()); + if(fill.Order.Id == theOrdBOid) + { + System.Console.WriteLine("▓▓▓▓▓ --> 卖出-平仓"); + //卖出-平仓 + Order orderSC = SellLimitOrder(Instrument, orderQty, fill.Price + myCentClose*Instrument.TickSize, "▼"); + orderSC.CloseToday() ; + Send(orderSC); + theOrdSCid = orderSC.Id; + theOrdSCstatus = orderSC.Status.ToString(); + System.Console.WriteLine("▓▓▓▓▓ theOrdSCstatus = " + theOrdSCstatus); + swLongEnable = 1; + } + if(fill.Order.Id == theOrdSSid) + { + System.Console.WriteLine("▓▓▓▓▓ --> 买入-平仓"); + //买入-平仓 + Order orderBC = BuyLimitOrder(Instrument, orderQty, fill.Price - myCentClose*Instrument.TickSize, "▲"); + orderBC.CloseToday(); + Send(orderBC); + System.Console.WriteLine("▓orderBC.SubSide=" + orderBC.SubSide.ToString()); + theOrdBCid = orderBC.Id; + swShortEnable = 1; + } + if(fill.Order.Id == theOrdSCid) + { + swLongEnable = 1; + } + if(fill.Order.Id == theOrdBCid) + { + swShortEnable = 1; + } + } + } +} +``` +![](/icons/icon_labtubeOrg.ico)运行策略后，应该通过OpenQuant自己的OrderManager及CTP通用交易客户终端查看到报单状况。 +![](/assets/FlashOrderFilled.png) +## 7.4 将定单信息存入数据库 +coming soon + -coming soon +![](blob:file:///f4dff55c-7c76-4f88-b1c3-11921d32d4d9)[https://github.com/omnistep/F](#)lashOrder获得。 From fb2f8fc90c25b26652f9389c68cdb5361b0cf5f8 Mon Sep 17 00:00:00 2001 From: OmniStep Date: Mon, 18 Sep 2017 00:11:27 +0800 Subject: [PATCH 110/306] Updates place-an-order.md Auto commit by GitBook Editor --- place-an-order.md | 5 +---- 1 file changed, 1 insertion(+), 4 deletions(-) diff --git a/place-an-order.md b/place-an-order.md index cbf8aaa..35c14cf 100644 --- a/place-an-order.md +++ b/place-an-order.md @@ -310,8 +310,5 @@ namespace OpenQuant coming soon - - - -![](blob:file:///f4dff55c-7c76-4f88-b1c3-11921d32d4d9)[https://github.com/omnistep/F](#)lashOrder获得。 +![](blob:file:///f4dff55c-7c76-4f88-b1c3-11921d32d4d9)FlashOrder完整代码可以从[https://github.com/omnistep/F](#)lashOrder获得。 From c4454a4b5d8dac5978c2cd0ba5ca3d35ae675f25 Mon Sep 17 00:00:00 2001 From: OmniStep Date: Wed, 20 Sep 2017 22:21:30 +0800 Subject: [PATCH 111/306] Creates assets/MysqlDashboard01.png Auto commit by GitBook Editor --- SUMMARY.md | 1 + assets/MysqlDashboard01.png | Bin 0 -> 89742 bytes log-order-information-using-mysql-db.md | 6 ++++++ 3 files changed, 7 insertions(+) create mode 100644 assets/MysqlDashboard01.png create mode 100644 log-order-information-using-mysql-db.md diff --git a/SUMMARY.md b/SUMMARY.md index 71d692b..99e2a90 100644 --- a/SUMMARY.md +++ b/SUMMARY.md @@ -17,4 +17,5 @@ * [6. 开始编写OpenQuant的HelloWorld！](code-an-openquant-helloworld.md) * [7. 发出交易指令](place-an-order.md) * [附：OpenQuant中的事件类型](the-events-in-openquant.md) +* [Log Order information using Mysql DB](log-order-information-using-mysql-db.md) diff --git a/assets/MysqlDashboard01.png b/assets/MysqlDashboard01.png new file mode 100644 index 0000000000000000000000000000000000000000..d8ae86c642871087fb994ab974fd0ae5351e15f4 GIT binary patch literal 89742 zcmdqIRa{(6_b%8#0t8QjySo$I-95My+}$;3g1fuBy9EhO6WraUY24*>-uL^@d>1pn zb9Lro>WWS6u3fU$v!tH&LrFmr837jo001CMONprf05FFD0CXojEaX2vV@Y)Y05L#X zO!%uu=4salAN;u_u)ob%vyCTI<=m%5G@IBcI4v>iKy0`$60(FCN$hQMws)T>z8Mh* znuOwrP)o3k{sr^j9YX5$cz=5azW4SDTUlA|j9p6`JHH0D{AZ%-6 z{e6)&%yD=d1+x4(974k44Eyf1ThL0%AFoO71AMRRDM=bZLBYHmXvmwy{KDb9;fPcU znYp52C{t4fk_l_*03p~~H_&o0-T~6WLqg6o`PP5E`vC?9rqObS(rYhC!{Pv#^@Wvn zdu1>$_iBHl;PTR`{qeZs=sO~#l(8%n;Ar@2QjqAHz`NzMQKR79s|=!EJig 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0f7c0f5c111f821c9509d5f62688e5f386134ab0 Mon Sep 17 00:00:00 2001 From: OmniStep Date: Wed, 20 Sep 2017 22:22:18 +0800 Subject: [PATCH 112/306] Updates SUMMARY.md Auto commit by GitBook Editor --- SUMMARY.md | 2 +- 1 file changed, 1 insertion(+), 1 deletion(-) diff --git a/SUMMARY.md b/SUMMARY.md index 99e2a90..f301d59 100644 --- a/SUMMARY.md +++ b/SUMMARY.md @@ -17,5 +17,5 @@ * [6. 开始编写OpenQuant的HelloWorld！](code-an-openquant-helloworld.md) * [7. 发出交易指令](place-an-order.md) * [附：OpenQuant中的事件类型](the-events-in-openquant.md) -* [Log Order information using Mysql DB](log-order-information-using-mysql-db.md) +* [将定单日志记录到Mysql数据库](log-order-information-using-mysql-db.md) From db240c5f5249b353366d99825f44fabe9cf84429 Mon Sep 17 00:00:00 2001 From: OmniStep Date: Wed, 20 Sep 2017 22:28:29 +0800 Subject: [PATCH 113/306] Updates SUMMARY.md Auto commit by GitBook Editor --- SUMMARY.md | 2 +- 1 file changed, 1 insertion(+), 1 deletion(-) diff --git a/SUMMARY.md b/SUMMARY.md index f301d59..c931269 100644 --- a/SUMMARY.md +++ b/SUMMARY.md @@ -16,6 +16,6 @@ * [5. 设计一个OpenQuant的HelloWorld！](design-an-openquant-helloworld.md) * [6. 开始编写OpenQuant的HelloWorld！](code-an-openquant-helloworld.md) * [7. 发出交易指令](place-an-order.md) -* [附：OpenQuant中的事件类型](the-events-in-openquant.md) +* [将定单日志记录到Mysql数据库](log-order-information-using-mysql-db.md) * [将定单日志记录到Mysql数据库](log-order-information-using-mysql-db.md) From 51ec23fa2b72400cf99f86d996ed20f696c1828e Mon Sep 17 00:00:00 2001 From: OmniStep Date: Wed, 20 Sep 2017 22:32:49 +0800 Subject: [PATCH 114/306] Updates SUMMARY.md Auto commit by GitBook Editor --- SUMMARY.md | 2 +- 1 file changed, 1 insertion(+), 1 deletion(-) diff --git a/SUMMARY.md b/SUMMARY.md index c931269..afda690 100644 --- a/SUMMARY.md +++ b/SUMMARY.md @@ -13,9 +13,9 @@ * [2. 管理未来所有的代码...](manage-your-coding-by-svn.md) * [3. OpenQuant策略代码的结构](structure-of-openquant-solution.md) * [4. 策略运行的事件驱动和定时驱动机制](openquantce-lve-yun-xing-de-qu-dong-ji-zhi.md) +**[附件：OpenQuant的常用事件](the-events-in-openquant.md) * [5. 设计一个OpenQuant的HelloWorld！](design-an-openquant-helloworld.md) * [6. 开始编写OpenQuant的HelloWorld！](code-an-openquant-helloworld.md) * [7. 发出交易指令](place-an-order.md) * [将定单日志记录到Mysql数据库](log-order-information-using-mysql-db.md) -* [将定单日志记录到Mysql数据库](log-order-information-using-mysql-db.md) From 00c269936337e6402fab0b222e0bb7e9baa8a9b6 Mon Sep 17 00:00:00 2001 From: OmniStep Date: Wed, 20 Sep 2017 22:33:42 +0800 Subject: [PATCH 115/306] Updates SUMMARY.md Auto commit by GitBook Editor --- SUMMARY.md | 2 +- 1 file changed, 1 insertion(+), 1 deletion(-) diff --git a/SUMMARY.md b/SUMMARY.md index afda690..9cb4fab 100644 --- a/SUMMARY.md +++ b/SUMMARY.md @@ -13,7 +13,7 @@ * [2. 管理未来所有的代码...](manage-your-coding-by-svn.md) * [3. OpenQuant策略代码的结构](structure-of-openquant-solution.md) * [4. 策略运行的事件驱动和定时驱动机制](openquantce-lve-yun-xing-de-qu-dong-ji-zhi.md) -**[附件：OpenQuant的常用事件](the-events-in-openquant.md) + * [附件：OpenQuant的常用事件](the-events-in-openquant.md) * [5. 设计一个OpenQuant的HelloWorld！](design-an-openquant-helloworld.md) * [6. 开始编写OpenQuant的HelloWorld！](code-an-openquant-helloworld.md) * [7. 发出交易指令](place-an-order.md) From c71459ec8f1afb9939a023fdb130c88ef55709cf Mon Sep 17 00:00:00 2001 From: OmniStep Date: Wed, 20 Sep 2017 22:34:43 +0800 Subject: [PATCH 116/306] Updates log-order-information-using-mysql-db.md Auto commit by GitBook Editor --- log-order-information-using-mysql-db.md | 4 +--- 1 file changed, 1 insertion(+), 3 deletions(-) diff --git a/log-order-information-using-mysql-db.md b/log-order-information-using-mysql-db.md index 5c1cdc7..4053d9b 100644 --- a/log-order-information-using-mysql-db.md +++ b/log-order-information-using-mysql-db.md @@ -1,6 +1,4 @@ - - 通过Mysql的Workbench工具可以监控数据库的状态，Dashboard工具如下图所示： -![](/assets/MysqlDashboard01.png)我们会发现这样写日志的效率还是有些慢的，没有做高频交易（HFT）的情况，这些工具是适用的。 +![](/assets/MysqlDashboard01.png)我们会发现这样写日志的效率还是有些慢，但对于没有做高频交易（HFT）的情况，这些工具是适用的。 From 2dca412189428bf718ef1f4c11eca54698aa863e Mon Sep 17 00:00:00 2001 From: OmniStep Date: Mon, 25 Sep 2017 22:35:19 +0800 Subject: [PATCH 117/306] Updates flashorderver0-1.md Auto commit by GitBook Editor --- SUMMARY.md | 5 +- flashorderver0-1.md | 278 ++++++++++++++++++++++++++++++++++++++++++++ 2 files changed, 281 insertions(+), 2 deletions(-) create mode 100644 flashorderver0-1.md diff --git a/SUMMARY.md b/SUMMARY.md index 9cb4fab..4b17dca 100644 --- a/SUMMARY.md +++ b/SUMMARY.md @@ -13,9 +13,10 @@ * [2. 管理未来所有的代码...](manage-your-coding-by-svn.md) * [3. OpenQuant策略代码的结构](structure-of-openquant-solution.md) * [4. 策略运行的事件驱动和定时驱动机制](openquantce-lve-yun-xing-de-qu-dong-ji-zhi.md) - * [附件：OpenQuant的常用事件](the-events-in-openquant.md) + * [附件：OpenQuant的常用事件](the-events-in-openquant.md) * [5. 设计一个OpenQuant的HelloWorld！](design-an-openquant-helloworld.md) * [6. 开始编写OpenQuant的HelloWorld！](code-an-openquant-helloworld.md) * [7. 发出交易指令](place-an-order.md) -* [将定单日志记录到Mysql数据库](log-order-information-using-mysql-db.md) +* [FlashOrder的代码v1.0](flashorderver0-1.md) +* [FlashOrder的代码v1.0](flashorderver0-1.md) diff --git a/flashorderver0-1.md b/flashorderver0-1.md new file mode 100644 index 0000000..4b3ea8e --- /dev/null +++ b/flashorderver0-1.md @@ -0,0 +1,278 @@ +## 7.3 FlashOrder的代码 v1.0 + +FlashOrder策略还是由3个工程组成，Backtest，MyStrategy和Realtime。 + +其中Backtest工程中的MyScenario.cs代码为： + +``` +using System; + +using SmartQuant; + +namespace OpenQuant +{ + public partial class Backtest : Scenario + { + + //定义K线时间周期为barSize秒 + private long barSize = 60; + + + public Backtest(Framework framework) + : base(framework) + { + } + + public override void Run() + { + + //定义要引入的合约名字 + Instrument instrument1 = InstrumentManager.Instruments["rb1709"]; + + + strategy = new MyStrategy(framework, "Backtest"); + + + //引入合约 + strategy.AddInstrument(instrument1); + + //定义数据回测的起止日期 + DataSimulator.SubscribeBar = false; + DataSimulator.DateTime1 = new DateTime(2017, 08, 01); + DataSimulator.DateTime2 = new DateTime(2017, 09, 02); + + //定义一个时间类型的K线 + BarFactory.Clear(); + BarFactory.Add(instrument1, BarType.Time, barSize); + + Initialize(); + + StartStrategy(); + } + } +} +``` + +Realtime工程中的Scenario.cs代码为： + +``` +using System; +using System.Collections.Generic; +using System.Linq; +using System.Text; +using System.Threading.Tasks; + +using SmartQuant; + +namespace OpenQuant +{ + public partial class Realtime : Scenario + { + + //定义K线时间周期为barSize秒 + private long barSize = 3; + + + public Realtime(Framework framework) + : base(framework) + { + } + + public override void Run() + { + + //定义合约 + Instrument instrument1 = InstrumentManager.Instruments["au1712"]; + + strategy = new MyStrategy(framework, "HelloWorld"); + + //引入合约到主策略工程 + strategy.AddInstrument(instrument1); + + //定义主策略中使用的合约的数据源和交易通道 + strategy.DataProvider = ProviderManager.GetDataProvider("QuantBoxCTP"); + strategy.ExecutionProvider = ProviderManager.GetExecutionProvider("QuantBoxCTP"); + + //定义K线类型：时间型K线，barSize秒生成一个Bar + BarFactory.Clear(); + BarFactory.Add(instrument1, BarType.Time, barSize); + + + Initialize(); + + //Run the strategy + StartStrategy(); + } + } +} +``` + +而MyStrategy工程中先要引入QuantBox.OQ.dll, 该文件安装QuantBoxCTP插件后，可以在OpenQuant默认安装路径中找到。MyStrategy.cs代码为： + +``` +using System; +using System.Drawing; +using SmartQuant; +using QuantBox; + +namespace OpenQuant +{ + public class MyStrategy : InstrumentStrategy + { + + + int orderQty = 1; //定义交易定单的发单量多少手 + int swLongEnable = 1; //定义做多交易许可开关，0：禁止，1：允许 + int swShortEnable = 1; //定义做空交易许可开关，0：禁止，1：允许 + + int theOrdBOid = 0 ; //定义做多△买入开仓定单id + int theOrdSCid = 0 ; //定义做多 ▼卖出平仓定单id + string theOrdSCstatus = ""; //定义做多 ▼卖出平仓定单状态 + + int theOrdSSid = 0 ; //定义做空▽卖出开仓定单id + int theOrdBCid = 0 ; //定义做空 ▲买入平仓定单id + + int myCentOpen = 1 ; //定义开仓追价成本是多少TickSize； + int myCentClose = 0 ; //定义平仓追价成本是多少TickSize； + //默认1：代表盈利1个TickSize挂单 + // 0：代表市场平价报单； + // -1：代表1个TickSize的成本报单 + + public MyStrategy(Framework framework, string name) + : base(framework, name) + { + } + + protected override void OnStrategyStart() + { + //定义K线的画布，编码0号 + Group("myK_Chart", "Pad", 0); + Group("myK_Chart", "CandleWhiteColor", Color.Red); + Group("myK_Chart", "CandleBlackColor", Color.Lime); + Group("Fills", "Pad", 0); + Group("Equity", "Pad", 1); + + } + + protected override void OnBar(Instrument instrument, Bar bar) + { + //当Bar形成时，增加bar数据到K线序列 + Bars.Add(bar); + + //在Bars画布上画出K线 + Log(bar, "myK_Chart"); + + // Calculate performance. + Portfolio.Performance.Update(); + // 在画布上绘制权益曲线 + Log(Portfolio.Value, "Equity"); + + + + //就是这句期待已久的HelloWorld！同时显示bar时间，合约代码，bar中的均价 + Console.WriteLine("OnBar------HelloWorld! "+bar.DateTime.ToString()+ " "+instrument.Symbol + " ="+bar.Average.ToString()); + Console.WriteLine("swLongEnable= "+swLongEnable.ToString()+ "; swShortEnable ="+swShortEnable.ToString()); + //显示平仓单状态 + System.Console.WriteLine("theOrdSCstatus = " + theOrdSCstatus); + + if(swLongEnable==1) + { + //买入-开仓 + Order orderBO = BuyLimitOrder(Instrument, orderQty, bar.Close - myCentOpen*Instrument.TickSize, "△"); + //orderBO.Open(); + Send(orderBO); + + swLongEnable = 0; + theOrdBOid = orderBO.Id; + System.Console.WriteLine("▓ orderBO.Id=" + orderBO.Id.ToString()); + } + + + if(swShortEnable==1) + { + //卖出-开仓 + Order orderSS = SellLimitOrder(Instrument, orderQty, bar.Close + myCentOpen*Instrument.TickSize, "▽"); + //orderSS.Open(); + Send(orderSS); + + swShortEnable = 0; + theOrdSSid = orderSS.Id; + System.Console.WriteLine("▓ orderSS.Id=" + orderSS.Id.ToString()); + } + + /* + + + + */ + } + + protected override void OnFill(SmartQuant.Fill fill) + { + // 在画布上绘制成交记录 + Log(fill, "Fills"); + + + // 在Output窗口中输出fill对象的当前数据... + System.Console.WriteLine("fill.DateTime=" + fill.DateTime.ToString()); + System.Console.WriteLine("fill.CashFlow=" + fill.CashFlow.ToString()); + System.Console.WriteLine("fill.Commission=" + fill.Commission.ToString()); + System.Console.WriteLine("fill.Instrument.Symbol=" + fill.Instrument.Symbol.ToString()); + System.Console.WriteLine("fill.Instrument.Description=" + fill.Instrument.Description.ToString()); + System.Console.WriteLine("fill.Instrument.Trade=" + fill.Instrument.Trade.ToString()); + System.Console.WriteLine("fill.Text=" + fill.Text.ToString()); + + + + if(fill.Order.Id == theOrdBOid) + { + System.Console.WriteLine("▓▓▓▓▓ --> 卖出-平仓"); + //卖出-平仓 + Order orderSC = SellLimitOrder(Instrument, orderQty, fill.Price + myCentClose*Instrument.TickSize, "▼"); + orderSC.CloseToday() ; + Send(orderSC); + + theOrdSCid = orderSC.Id; + theOrdSCstatus = orderSC.Status.ToString(); + System.Console.WriteLine("▓▓▓▓▓ theOrdSCstatus = " + theOrdSCstatus); + + swLongEnable = 1; + } + + if(fill.Order.Id == theOrdSSid) + { + System.Console.WriteLine("▓▓▓▓▓ --> 买入-平仓"); + //买入-平仓 + Order orderBC = BuyLimitOrder(Instrument, orderQty, fill.Price - myCentClose*Instrument.TickSize, "▲"); + orderBC.CloseToday(); + Send(orderBC); + System.Console.WriteLine("▓orderBC.SubSide=" + orderBC.SubSide.ToString()); + + theOrdBCid = orderBC.Id; + + swShortEnable = 1; + } + + + + if(fill.Order.Id == theOrdSCid) + { + swLongEnable = 1; + } + + if(fill.Order.Id == theOrdBCid) + { + swShortEnable = 1; + } + + } + + + } +} +``` + +![](/icons/icon_labtubeOrg.ico)运行策略后，应该通过OpenQuant自己的OrderManager及CTP通用交易客户终端查看到报单状况。 + +![](/assets/FlashOrderFilled.png) + From 7bb63e180f70bb1b87b8cdaba02f30df623979b7 Mon Sep 17 00:00:00 2001 From: OmniStep Date: Mon, 25 Sep 2017 22:42:35 +0800 Subject: [PATCH 118/306] Updates SUMMARY.md Auto commit by GitBook Editor --- SUMMARY.md | 6 ++++-- ...ong-ji-zhi.md => drive-mechanism-of-OpenQuant-running.md | 0 2 files changed, 4 insertions(+), 2 deletions(-) rename openquantce-lve-yun-xing-de-qu-dong-ji-zhi.md => drive-mechanism-of-OpenQuant-running.md (100%) diff --git a/SUMMARY.md b/SUMMARY.md index 4b17dca..2bfc623 100644 --- a/SUMMARY.md +++ b/SUMMARY.md @@ -17,6 +17,8 @@ * [5. 设计一个OpenQuant的HelloWorld！](design-an-openquant-helloworld.md) * [6. 开始编写OpenQuant的HelloWorld！](code-an-openquant-helloworld.md) * [7. 发出交易指令](place-an-order.md) -* [FlashOrder的代码v1.0](flashorderver0-1.md) -* [FlashOrder的代码v1.0](flashorderver0-1.md) + * [7.1 ]() + * [7.2 ]() + * [7.3 FlashOrder的代码v1.0](flashorderver0-1.md) + diff --git a/openquantce-lve-yun-xing-de-qu-dong-ji-zhi.md b/drive-mechanism-of-OpenQuant-running.md similarity index 100% rename from openquantce-lve-yun-xing-de-qu-dong-ji-zhi.md rename to drive-mechanism-of-OpenQuant-running.md From 52a09ceb72736e4a2f03003d2e0b60b7e2eb03f5 Mon Sep 17 00:00:00 2001 From: OmniStep Date: Mon, 25 Sep 2017 22:44:05 +0800 Subject: [PATCH 119/306] Creates 71.md Auto commit by GitBook Editor --- 71.md | 0 SUMMARY.md | 5 ++--- 2 files changed, 2 insertions(+), 3 deletions(-) create mode 100644 71.md diff --git a/71.md b/71.md new file mode 100644 index 0000000..e69de29 diff --git a/SUMMARY.md b/SUMMARY.md index 2bfc623..fa15c43 100644 --- a/SUMMARY.md +++ b/SUMMARY.md @@ -17,8 +17,7 @@ * [5. 设计一个OpenQuant的HelloWorld！](design-an-openquant-helloworld.md) * [6. 开始编写OpenQuant的HelloWorld！](code-an-openquant-helloworld.md) * [7. 发出交易指令](place-an-order.md) - * [7.1 ]() - * [7.2 ]() + * [7.1 建立一个发出交易指令的策略FlashOrder](place-an-order.md#flashorder) + * 7.2 * [7.3 FlashOrder的代码v1.0](flashorderver0-1.md) - From 37fc4bc970486591419c561ea1664dd2c6d436e2 Mon Sep 17 00:00:00 2001 From: OmniStep Date: Mon, 25 Sep 2017 22:48:07 +0800 Subject: [PATCH 120/306] Updates flashorderver0-1.md Auto commit by GitBook Editor --- 72.md | 0 SUMMARY.md | 2 +- flashorderver0-1.md | 7 ++ place-an-order.md | 286 +------------------------------------------- 4 files changed, 11 insertions(+), 284 deletions(-) create mode 100644 72.md diff --git a/72.md b/72.md new file mode 100644 index 0000000..e69de29 diff --git a/SUMMARY.md b/SUMMARY.md index fa15c43..44f6def 100644 --- a/SUMMARY.md +++ b/SUMMARY.md @@ -18,6 +18,6 @@ * [6. 开始编写OpenQuant的HelloWorld！](code-an-openquant-helloworld.md) * [7. 发出交易指令](place-an-order.md) * [7.1 建立一个发出交易指令的策略FlashOrder](place-an-order.md#flashorder) - * 7.2 + * [7.2 FlashOrder的策略逻辑](72.md) * [7.3 FlashOrder的代码v1.0](flashorderver0-1.md) diff --git a/flashorderver0-1.md b/flashorderver0-1.md index 4b3ea8e..6497a41 100644 --- a/flashorderver0-1.md +++ b/flashorderver0-1.md @@ -276,3 +276,10 @@ namespace OpenQuant ![](/assets/FlashOrderFilled.png) + + + +FlashOrder完整代码可以从 + +![](/icons/icon_book.png)[https://github.com/omnistep/](#)FlashOrder获得。 + diff --git a/place-an-order.md b/place-an-order.md index 35c14cf..5fff405 100644 --- a/place-an-order.md +++ b/place-an-order.md @@ -2,7 +2,7 @@ --- -## 7.1建立一个发出交易指令的策略FlashOrder +## 7.1建立一个发出交易指令的策略FlashOrder {#flashorder} 现在我们来构建一个新的交易策略代码。在这个策略中我们将实现： @@ -12,7 +12,7 @@ 我们把这个交易策略命名为FlashOrder -## 7.2 FlashOrder的策略逻辑 +## 7.2 FlashOrder的策略逻辑 {#typeoforder} 这里的逻辑仅仅是为了使用让OpenQuant高速地发出开仓及平仓单，进行交易功能的验证。 @@ -28,287 +28,7 @@ ![](/assets/FlashOrderStrategyDiagram.png) -## 7.3 FlashOrder的逻辑代码 +## -FlashOrder策略还是由3个工程组成，Backtest，MyStrategy和Realtime。 -其中Backtest工程中的MyScenario.cs代码为： - -``` -using System; - -using SmartQuant; - -namespace OpenQuant -{ - public partial class Backtest : Scenario - { - - //定义K线时间周期为barSize秒 - private long barSize = 60; - - - public Backtest(Framework framework) - : base(framework) - { - } - - public override void Run() - { - - //定义要引入的合约名字 - Instrument instrument1 = InstrumentManager.Instruments["rb1709"]; - - - strategy = new MyStrategy(framework, "Backtest"); - - - //引入合约 - strategy.AddInstrument(instrument1); - - //定义数据回测的起止日期 - DataSimulator.SubscribeBar = false; - DataSimulator.DateTime1 = new DateTime(2017, 08, 01); - DataSimulator.DateTime2 = new DateTime(2017, 09, 02); - - //定义一个时间类型的K线 - BarFactory.Clear(); - BarFactory.Add(instrument1, BarType.Time, barSize); - - Initialize(); - - StartStrategy(); - } - } -} -``` - -Realtime工程中的Scenario.cs代码为： - -``` -using System; -using System.Collections.Generic; -using System.Linq; -using System.Text; -using System.Threading.Tasks; - -using SmartQuant; - -namespace OpenQuant -{ - public partial class Realtime : Scenario - { - - //定义K线时间周期为barSize秒 - private long barSize = 3; - - - public Realtime(Framework framework) - : base(framework) - { - } - - public override void Run() - { - - //定义合约 - Instrument instrument1 = InstrumentManager.Instruments["au1712"]; - - strategy = new MyStrategy(framework, "HelloWorld"); - - //引入合约到主策略工程 - strategy.AddInstrument(instrument1); - - //定义主策略中使用的合约的数据源和交易通道 - strategy.DataProvider = ProviderManager.GetDataProvider("QuantBoxCTP"); - strategy.ExecutionProvider = ProviderManager.GetExecutionProvider("QuantBoxCTP"); - - //定义K线类型：时间型K线，barSize秒生成一个Bar - BarFactory.Clear(); - BarFactory.Add(instrument1, BarType.Time, barSize); - - - Initialize(); - - //Run the strategy - StartStrategy(); - } - } -} -``` - -而MyStrategy工程中先要引入QuantBox.OQ.dll, 该文件安装QuantBoxCTP插件后，可以在OpenQuant默认安装路径中找到。MyStrategy.cs代码为： - -``` -using System; -using System.Drawing; -using SmartQuant; -using QuantBox; - -namespace OpenQuant -{ - public class MyStrategy : InstrumentStrategy - { - - - int orderQty = 1; //定义交易定单的发单量多少手 - int swLongEnable = 1; //定义做多交易许可开关，0：禁止，1：允许 - int swShortEnable = 1; //定义做空交易许可开关，0：禁止，1：允许 - - int theOrdBOid = 0 ; //定义做多△买入开仓定单id - int theOrdSCid = 0 ; //定义做多 ▼卖出平仓定单id - string theOrdSCstatus = ""; //定义做多 ▼卖出平仓定单状态 - - int theOrdSSid = 0 ; //定义做空▽卖出开仓定单id - int theOrdBCid = 0 ; //定义做空 ▲买入平仓定单id - - int myCentOpen = 1 ; //定义开仓追价成本是多少TickSize； - int myCentClose = 0 ; //定义平仓追价成本是多少TickSize； - //默认1：代表盈利1个TickSize挂单 - // 0：代表市场平价报单； - // -1：代表1个TickSize的成本报单 - - public MyStrategy(Framework framework, string name) - : base(framework, name) - { - } - - protected override void OnStrategyStart() - { - //定义K线的画布，编码0号 - Group("myK_Chart", "Pad", 0); - Group("myK_Chart", "CandleWhiteColor", Color.Red); - Group("myK_Chart", "CandleBlackColor", Color.Lime); - Group("Fills", "Pad", 0); - Group("Equity", "Pad", 1); - - } - - protected override void OnBar(Instrument instrument, Bar bar) - { - //当Bar形成时，增加bar数据到K线序列 - Bars.Add(bar); - - //在Bars画布上画出K线 - Log(bar, "myK_Chart"); - - // Calculate performance. - Portfolio.Performance.Update(); - // 在画布上绘制权益曲线 - Log(Portfolio.Value, "Equity"); - - - - //就是这句期待已久的HelloWorld！同时显示bar时间，合约代码，bar中的均价 - Console.WriteLine("OnBar------HelloWorld! "+bar.DateTime.ToString()+ " "+instrument.Symbol + " ="+bar.Average.ToString()); - Console.WriteLine("swLongEnable= "+swLongEnable.ToString()+ "; swShortEnable ="+swShortEnable.ToString()); - //显示平仓单状态 - System.Console.WriteLine("theOrdSCstatus = " + theOrdSCstatus); - - if(swLongEnable==1) - { - //买入-开仓 - Order orderBO = BuyLimitOrder(Instrument, orderQty, bar.Close - myCentOpen*Instrument.TickSize, "△"); - //orderBO.Open(); - Send(orderBO); - - swLongEnable = 0; - theOrdBOid = orderBO.Id; - System.Console.WriteLine("▓ orderBO.Id=" + orderBO.Id.ToString()); - } - - - if(swShortEnable==1) - { - //卖出-开仓 - Order orderSS = SellLimitOrder(Instrument, orderQty, bar.Close + myCentOpen*Instrument.TickSize, "▽"); - //orderSS.Open(); - Send(orderSS); - - swShortEnable = 0; - theOrdSSid = orderSS.Id; - System.Console.WriteLine("▓ orderSS.Id=" + orderSS.Id.ToString()); - } - - /* - - - - */ - } - - protected override void OnFill(SmartQuant.Fill fill) - { - // 在画布上绘制成交记录 - Log(fill, "Fills"); - - - // 在Output窗口中输出fill对象的当前数据... - System.Console.WriteLine("fill.DateTime=" + fill.DateTime.ToString()); - System.Console.WriteLine("fill.CashFlow=" + fill.CashFlow.ToString()); - System.Console.WriteLine("fill.Commission=" + fill.Commission.ToString()); - System.Console.WriteLine("fill.Instrument.Symbol=" + fill.Instrument.Symbol.ToString()); - System.Console.WriteLine("fill.Instrument.Description=" + fill.Instrument.Description.ToString()); - System.Console.WriteLine("fill.Instrument.Trade=" + fill.Instrument.Trade.ToString()); - System.Console.WriteLine("fill.Text=" + fill.Text.ToString()); - - - - if(fill.Order.Id == theOrdBOid) - { - System.Console.WriteLine("▓▓▓▓▓ --> 卖出-平仓"); - //卖出-平仓 - Order orderSC = SellLimitOrder(Instrument, orderQty, fill.Price + myCentClose*Instrument.TickSize, "▼"); - orderSC.CloseToday() ; - Send(orderSC); - - theOrdSCid = orderSC.Id; - theOrdSCstatus = orderSC.Status.ToString(); - System.Console.WriteLine("▓▓▓▓▓ theOrdSCstatus = " + theOrdSCstatus); - - swLongEnable = 1; - } - - if(fill.Order.Id == theOrdSSid) - { - System.Console.WriteLine("▓▓▓▓▓ --> 买入-平仓"); - //买入-平仓 - Order orderBC = BuyLimitOrder(Instrument, orderQty, fill.Price - myCentClose*Instrument.TickSize, "▲"); - orderBC.CloseToday(); - Send(orderBC); - System.Console.WriteLine("▓orderBC.SubSide=" + orderBC.SubSide.ToString()); - - theOrdBCid = orderBC.Id; - - swShortEnable = 1; - } - - - - if(fill.Order.Id == theOrdSCid) - { - swLongEnable = 1; - } - - if(fill.Order.Id == theOrdBCid) - { - swShortEnable = 1; - } - - } - - - } -} -``` - -![](/icons/icon_labtubeOrg.ico)运行策略后，应该通过OpenQuant自己的OrderManager及CTP通用交易客户终端查看到报单状况。 - -![](/assets/FlashOrderFilled.png) - -## 7.4 将定单信息存入数据库 - -coming soon - -![](blob:file:///f4dff55c-7c76-4f88-b1c3-11921d32d4d9)FlashOrder完整代码可以从[https://github.com/omnistep/F](#)lashOrder获得。 From 360fbbec784bd675825577ac24e29474080fc2e7 Mon Sep 17 00:00:00 2001 From: OmniStep Date: Mon, 25 Sep 2017 22:48:42 +0800 Subject: [PATCH 121/306] Updates SUMMARY.md Auto commit by GitBook Editor --- SUMMARY.md | 2 +- 1 file changed, 1 insertion(+), 1 deletion(-) diff --git a/SUMMARY.md b/SUMMARY.md index 44f6def..611da31 100644 --- a/SUMMARY.md +++ b/SUMMARY.md @@ -18,6 +18,6 @@ * [6. 开始编写OpenQuant的HelloWorld！](code-an-openquant-helloworld.md) * [7. 发出交易指令](place-an-order.md) * [7.1 建立一个发出交易指令的策略FlashOrder](place-an-order.md#flashorder) - * [7.2 FlashOrder的策略逻辑](72.md) + * [7.2 FlashOrder的策略逻辑](place-an-order.md#typeoforder) * [7.3 FlashOrder的代码v1.0](flashorderver0-1.md) From 29220668ba8da826fb7c5c613dae3fbd2a2049a2 Mon Sep 17 00:00:00 2001 From: OmniStep Date: Mon, 25 Sep 2017 22:51:27 +0800 Subject: [PATCH 122/306] Updates SUMMARY.md Auto commit by GitBook Editor --- SUMMARY.md | 2 +- flashorderver0-1.md => flashorderver_v1.md | 0 2 files changed, 1 insertion(+), 1 deletion(-) rename flashorderver0-1.md => flashorderver_v1.md (100%) diff --git a/SUMMARY.md b/SUMMARY.md index 611da31..a4a6944 100644 --- a/SUMMARY.md +++ b/SUMMARY.md @@ -19,5 +19,5 @@ * [7. 发出交易指令](place-an-order.md) * [7.1 建立一个发出交易指令的策略FlashOrder](place-an-order.md#flashorder) * [7.2 FlashOrder的策略逻辑](place-an-order.md#typeoforder) - * [7.3 FlashOrder的代码v1.0](flashorderver0-1.md) + * [7.3 FlashOrder的代码v1.0](flashorderver_v1.md) diff --git a/flashorderver0-1.md b/flashorderver_v1.md similarity index 100% rename from flashorderver0-1.md rename to flashorderver_v1.md From 3b9117fd3c994a025e35632789f8dfa993c4c584 Mon Sep 17 00:00:00 2001 From: OmniStep Date: Mon, 25 Sep 2017 22:55:25 +0800 Subject: [PATCH 123/306] Deletes 71.md Auto commit by GitBook Editor --- 71.md | 0 72.md | 0 SUMMARY.md | 3 ++- flashorderver_v1.md | 5 +---- 4 files changed, 3 insertions(+), 5 deletions(-) delete mode 100644 71.md delete mode 100644 72.md diff --git a/71.md b/71.md deleted file mode 100644 index e69de29..0000000 diff --git a/72.md b/72.md deleted file mode 100644 index e69de29..0000000 diff --git a/SUMMARY.md b/SUMMARY.md index a4a6944..20ae8f6 100644 --- a/SUMMARY.md +++ b/SUMMARY.md @@ -19,5 +19,6 @@ * [7. 发出交易指令](place-an-order.md) * [7.1 建立一个发出交易指令的策略FlashOrder](place-an-order.md#flashorder) * [7.2 FlashOrder的策略逻辑](place-an-order.md#typeoforder) - * [7.3 FlashOrder的代码v1.0](flashorderver_v1.md) + * [7.3 FlashOrder的代码 v1](flashorderver_v1.md) + * [7.4 将交易记录存入MySQL](log-order-information-using-mysql-db.md) diff --git a/flashorderver_v1.md b/flashorderver_v1.md index 6497a41..3479fb0 100644 --- a/flashorderver_v1.md +++ b/flashorderver_v1.md @@ -1,4 +1,4 @@ -## 7.3 FlashOrder的代码 v1.0 +## 7.3 FlashOrder的代码 v1 FlashOrder策略还是由3个工程组成，Backtest，MyStrategy和Realtime。 @@ -276,9 +276,6 @@ namespace OpenQuant ![](/assets/FlashOrderFilled.png) - - - FlashOrder完整代码可以从 ![](/icons/icon_book.png)[https://github.com/omnistep/](#)FlashOrder获得。 From 4073f8f2a2149f012197b1782deaca33cf6d1494 Mon Sep 17 00:00:00 2001 From: OmniStep Date: Mon, 25 Sep 2017 22:59:46 +0800 Subject: [PATCH 124/306] Creates 75-rang-flashorder-chu-li-duo-ge-he-yue.md Auto commit by GitBook Editor --- 75-rang-flashorder-chu-li-duo-ge-he-yue.md | 0 SUMMARY.md | 1 + flashorderver_v1.md => flashorder_v1.md | 0 log-order-information-using-mysql-db.md | 12 ++++++++++++ 4 files changed, 13 insertions(+) create mode 100644 75-rang-flashorder-chu-li-duo-ge-he-yue.md rename flashorderver_v1.md => flashorder_v1.md (100%) diff --git a/75-rang-flashorder-chu-li-duo-ge-he-yue.md b/75-rang-flashorder-chu-li-duo-ge-he-yue.md new file mode 100644 index 0000000..e69de29 diff --git a/SUMMARY.md b/SUMMARY.md index 20ae8f6..7f76ce2 100644 --- a/SUMMARY.md +++ b/SUMMARY.md @@ -21,4 +21,5 @@ * [7.2 FlashOrder的策略逻辑](place-an-order.md#typeoforder) * [7.3 FlashOrder的代码 v1](flashorderver_v1.md) * [7.4 将交易记录存入MySQL](log-order-information-using-mysql-db.md) + * [7.5 让flashorder同时处理多个合约](flashorderver_v2.md) diff --git a/flashorderver_v1.md b/flashorder_v1.md similarity index 100% rename from flashorderver_v1.md rename to flashorder_v1.md diff --git a/log-order-information-using-mysql-db.md b/log-order-information-using-mysql-db.md index 4053d9b..9bc0b1c 100644 --- a/log-order-information-using-mysql-db.md +++ b/log-order-information-using-mysql-db.md @@ -1,3 +1,15 @@ +# 7.4 将交易记录存入MySQL + +--- + + + + + + + + + 通过Mysql的Workbench工具可以监控数据库的状态，Dashboard工具如下图所示： ![](/assets/MysqlDashboard01.png)我们会发现这样写日志的效率还是有些慢，但对于没有做高频交易（HFT）的情况，这些工具是适用的。 From 447ca353a5b8b9434a1e5738075bee9c6c92fd09 Mon Sep 17 00:00:00 2001 From: OmniStep Date: Mon, 25 Sep 2017 23:02:32 +0800 Subject: [PATCH 125/306] Updates log-order-information-using-mysql-db.md Auto commit by GitBook Editor --- SUMMARY.md | 2 +- ...-chu-li-duo-ge-he-yue.md => flashorderver_v1.md | 0 flashorderver_v2.md | 14 ++++++++++++++ log-order-information-using-mysql-db.md | 2 ++ 4 files changed, 17 insertions(+), 1 deletion(-) rename 75-rang-flashorder-chu-li-duo-ge-he-yue.md => flashorderver_v1.md (100%) create mode 100644 flashorderver_v2.md diff --git a/SUMMARY.md b/SUMMARY.md index 7f76ce2..d289642 100644 --- a/SUMMARY.md +++ b/SUMMARY.md @@ -21,5 +21,5 @@ * [7.2 FlashOrder的策略逻辑](place-an-order.md#typeoforder) * [7.3 FlashOrder的代码 v1](flashorderver_v1.md) * [7.4 将交易记录存入MySQL](log-order-information-using-mysql-db.md) - * [7.5 让flashorder同时处理多个合约](flashorderver_v2.md) + * [7.5 同时处理多个合约 FlashOrder v2](flashorderver_v2.md) diff --git a/75-rang-flashorder-chu-li-duo-ge-he-yue.md b/flashorderver_v1.md similarity index 100% rename from 75-rang-flashorder-chu-li-duo-ge-he-yue.md rename to flashorderver_v1.md diff --git a/flashorderver_v2.md b/flashorderver_v2.md new file mode 100644 index 0000000..5d72a11 --- /dev/null +++ b/flashorderver_v2.md @@ -0,0 +1,14 @@ +# 7.5 同时处理多个合约 FlashOrder v2 + +--- + + + + + +Coming soon + + + + + diff --git a/log-order-information-using-mysql-db.md b/log-order-information-using-mysql-db.md index 9bc0b1c..01eafc2 100644 --- a/log-order-information-using-mysql-db.md +++ b/log-order-information-using-mysql-db.md @@ -10,6 +10,8 @@ + + 通过Mysql的Workbench工具可以监控数据库的状态，Dashboard工具如下图所示： ![](/assets/MysqlDashboard01.png)我们会发现这样写日志的效率还是有些慢，但对于没有做高频交易（HFT）的情况，这些工具是适用的。 From 5c0db11ebdca9915cc72be10bd8892af2f46e1dc Mon Sep 17 00:00:00 2001 From: OmniStep Date: Tue, 26 Sep 2017 13:42:04 +0800 Subject: [PATCH 126/306] Updates flashorderver_v1.md Auto commit by GitBook Editor --- flashorderver_v1.md | 278 ++++++++++++++++++++++++++++++++++++++++++++ 1 file changed, 278 insertions(+) diff --git a/flashorderver_v1.md b/flashorderver_v1.md index e69de29..5336556 100644 --- a/flashorderver_v1.md +++ b/flashorderver_v1.md @@ -0,0 +1,278 @@ +## 7.3 FlashOrder的逻辑代码 + +FlashOrder策略还是由3个工程组成，Backtest，MyStrategy和Realtime。 + +其中Backtest工程中的MyScenario.cs代码为： + +``` +using System; + +using SmartQuant; + +namespace OpenQuant +{ + public partial class Backtest : Scenario + { + + //定义K线时间周期为barSize秒 + private long barSize = 60; + + + public Backtest(Framework framework) + : base(framework) + { + } + + public override void Run() + { + + //定义要引入的合约名字 + Instrument instrument1 = InstrumentManager.Instruments["rb1709"]; + + + strategy = new MyStrategy(framework, "Backtest"); + + + //引入合约 + strategy.AddInstrument(instrument1); + + //定义数据回测的起止日期 + DataSimulator.SubscribeBar = false; + DataSimulator.DateTime1 = new DateTime(2017, 08, 01); + DataSimulator.DateTime2 = new DateTime(2017, 09, 02); + + //定义一个时间类型的K线 + BarFactory.Clear(); + BarFactory.Add(instrument1, BarType.Time, barSize); + + Initialize(); + + StartStrategy(); + } + } +} +``` + +Realtime工程中的Scenario.cs代码为： + +``` +using System; +using System.Collections.Generic; +using System.Linq; +using System.Text; +using System.Threading.Tasks; + +using SmartQuant; + +namespace OpenQuant +{ + public partial class Realtime : Scenario + { + + //定义K线时间周期为barSize秒 + private long barSize = 3; + + + public Realtime(Framework framework) + : base(framework) + { + } + + public override void Run() + { + + //定义合约 + Instrument instrument1 = InstrumentManager.Instruments["au1712"]; + + strategy = new MyStrategy(framework, "HelloWorld"); + + //引入合约到主策略工程 + strategy.AddInstrument(instrument1); + + //定义主策略中使用的合约的数据源和交易通道 + strategy.DataProvider = ProviderManager.GetDataProvider("QuantBoxCTP"); + strategy.ExecutionProvider = ProviderManager.GetExecutionProvider("QuantBoxCTP"); + + //定义K线类型：时间型K线，barSize秒生成一个Bar + BarFactory.Clear(); + BarFactory.Add(instrument1, BarType.Time, barSize); + + + Initialize(); + + //Run the strategy + StartStrategy(); + } + } +} +``` + +而MyStrategy工程中先要引入QuantBox.OQ.dll, 该文件安装QuantBoxCTP插件后，可以在OpenQuant默认安装路径中找到。MyStrategy.cs代码为： + +``` +using System; +using System.Drawing; +using SmartQuant; +using QuantBox; + +namespace OpenQuant +{ + public class MyStrategy : InstrumentStrategy + { + + + int orderQty = 1; //定义交易定单的发单量多少手 + int swLongEnable = 1; //定义做多交易许可开关，0：禁止，1：允许 + int swShortEnable = 1; //定义做空交易许可开关，0：禁止，1：允许 + + int theOrdBOid = 0 ; //定义做多△买入开仓定单id + int theOrdSCid = 0 ; //定义做多 ▼卖出平仓定单id + string theOrdSCstatus = ""; //定义做多 ▼卖出平仓定单状态 + + int theOrdSSid = 0 ; //定义做空▽卖出开仓定单id + int theOrdBCid = 0 ; //定义做空 ▲买入平仓定单id + + int myCentOpen = 1 ; //定义开仓追价成本是多少TickSize； + int myCentClose = 0 ; //定义平仓追价成本是多少TickSize； + //默认1：代表盈利1个TickSize挂单 + // 0：代表市场平价报单； + // -1：代表1个TickSize的成本报单 + + public MyStrategy(Framework framework, string name) + : base(framework, name) + { + } + + protected override void OnStrategyStart() + { + //定义K线的画布，编码0号 + Group("myK_Chart", "Pad", 0); + Group("myK_Chart", "CandleWhiteColor", Color.Red); + Group("myK_Chart", "CandleBlackColor", Color.Lime); + Group("Fills", "Pad", 0); + Group("Equity", "Pad", 1); + + } + + protected override void OnBar(Instrument instrument, Bar bar) + { + //当Bar形成时，增加bar数据到K线序列 + Bars.Add(bar); + + //在Bars画布上画出K线 + Log(bar, "myK_Chart"); + + // Calculate performance. + Portfolio.Performance.Update(); + // 在画布上绘制权益曲线 + Log(Portfolio.Value, "Equity"); + + + + //就是这句期待已久的HelloWorld！同时显示bar时间，合约代码，bar中的均价 + Console.WriteLine("OnBar------HelloWorld! "+bar.DateTime.ToString()+ " "+instrument.Symbol + " ="+bar.Average.ToString()); + Console.WriteLine("swLongEnable= "+swLongEnable.ToString()+ "; swShortEnable ="+swShortEnable.ToString()); + //显示平仓单状态 + System.Console.WriteLine("theOrdSCstatus = " + theOrdSCstatus); + + if(swLongEnable==1) + { + //买入-开仓 + Order orderBO = BuyLimitOrder(Instrument, orderQty, bar.Close - myCentOpen*Instrument.TickSize, "△"); + //orderBO.Open(); + Send(orderBO); + + swLongEnable = 0; + theOrdBOid = orderBO.Id; + System.Console.WriteLine("▓ orderBO.Id=" + orderBO.Id.ToString()); + } + + + if(swShortEnable==1) + { + //卖出-开仓 + Order orderSS = SellLimitOrder(Instrument, orderQty, bar.Close + myCentOpen*Instrument.TickSize, "▽"); + //orderSS.Open(); + Send(orderSS); + + swShortEnable = 0; + theOrdSSid = orderSS.Id; + System.Console.WriteLine("▓ orderSS.Id=" + orderSS.Id.ToString()); + } + + /* + + + + */ + } + + protected override void OnFill(SmartQuant.Fill fill) + { + // 在画布上绘制成交记录 + Log(fill, "Fills"); + + + // 在Output窗口中输出fill对象的当前数据... + System.Console.WriteLine("fill.DateTime=" + fill.DateTime.ToString()); + System.Console.WriteLine("fill.CashFlow=" + fill.CashFlow.ToString()); + System.Console.WriteLine("fill.Commission=" + fill.Commission.ToString()); + System.Console.WriteLine("fill.Instrument.Symbol=" + fill.Instrument.Symbol.ToString()); + System.Console.WriteLine("fill.Instrument.Description=" + fill.Instrument.Description.ToString()); + System.Console.WriteLine("fill.Instrument.Trade=" + fill.Instrument.Trade.ToString()); + System.Console.WriteLine("fill.Text=" + fill.Text.ToString()); + + + + if(fill.Order.Id == theOrdBOid) + { + System.Console.WriteLine("▓▓▓▓▓ --> 卖出-平仓"); + //卖出-平仓 + Order orderSC = SellLimitOrder(Instrument, orderQty, fill.Price + myCentClose*Instrument.TickSize, "▼"); + orderSC.CloseToday() ; + Send(orderSC); + + theOrdSCid = orderSC.Id; + theOrdSCstatus = orderSC.Status.ToString(); + System.Console.WriteLine("▓▓▓▓▓ theOrdSCstatus = " + theOrdSCstatus); + + swLongEnable = 1; + } + + if(fill.Order.Id == theOrdSSid) + { + System.Console.WriteLine("▓▓▓▓▓ --> 买入-平仓"); + //买入-平仓 + Order orderBC = BuyLimitOrder(Instrument, orderQty, fill.Price - myCentClose*Instrument.TickSize, "▲"); + orderBC.CloseToday(); + Send(orderBC); + System.Console.WriteLine("▓orderBC.SubSide=" + orderBC.SubSide.ToString()); + + theOrdBCid = orderBC.Id; + + swShortEnable = 1; + } + + + + if(fill.Order.Id == theOrdSCid) + { + swLongEnable = 1; + } + + if(fill.Order.Id == theOrdBCid) + { + swShortEnable = 1; + } + + } + + + } +} +``` + +![](/icons/icon_labtubeOrg.ico)运行策略后，应该通过OpenQuant自己的OrderManager及CTP通用交易客户终端查看到报单状况。 + +![](/assets/FlashOrderFilled.png) + From aedcb850769ce46b902c065ca59f82ea4ecb646c Mon Sep 17 00:00:00 2001 From: OmniStep Date: Tue, 26 Sep 2017 13:52:47 +0800 Subject: [PATCH 127/306] Updates log-order-information-using-mysql-db.md Auto commit by GitBook Editor --- log-order-information-using-mysql-db.md | 2 ++ 1 file changed, 2 insertions(+) diff --git a/log-order-information-using-mysql-db.md b/log-order-information-using-mysql-db.md index 01eafc2..b2f74f5 100644 --- a/log-order-information-using-mysql-db.md +++ b/log-order-information-using-mysql-db.md @@ -2,6 +2,8 @@ --- +对于一个完善的IT系统，无论是交易系统，还是业务管理系统，我们都会按照层次结构来规划。作为一个交易系统，我们需要将交易日志存入数据，以提供业务监控、问题排查、数据统计分析。 + From 5ff2cda4c1f2d396a419cf9e2cb1b09ed666cccc Mon Sep 17 00:00:00 2001 From: OmniStep Date: Tue, 26 Sep 2017 14:29:16 +0800 Subject: [PATCH 128/306] Updates log-order-information-using-mysql-db.md Auto commit by GitBook Editor --- assets/Table_logorder.png | Bin 0 -> 57749 bytes log-order-information-using-mysql-db.md | 37 ++++++++++++++++++++++++ 2 files changed, 37 insertions(+) create mode 100644 assets/Table_logorder.png diff --git a/assets/Table_logorder.png b/assets/Table_logorder.png new file mode 100644 index 0000000000000000000000000000000000000000..abcc62a12fa06ba97afba827a30fd6eb75fcdbea GIT binary patch literal 57749 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log-order-information-using-mysql-db.md | 202 +++++++++++++++++++++--- 1 file changed, 179 insertions(+), 23 deletions(-) diff --git a/log-order-information-using-mysql-db.md b/log-order-information-using-mysql-db.md index 133919a..ff3da09 100644 --- a/log-order-information-using-mysql-db.md +++ b/log-order-information-using-mysql-db.md @@ -6,27 +6,25 @@ 现在我们就将FlashOrder下单的记录全部存入Mysql数据库。大致过程分为五步，第一步建立数据库及日志表；第二步在FlashOrder中引入相关的MySQL动态链接库；第三步编写一个日志存储功能的方法，让主策略代码可以调用日志功能。这个文件我们命名为OmniLog.cs，这个文件我们和主策略代码放在一个工程代码中； 第四步，我们在主策略的下单代码后面，插入调用日志存储的方法；第五步，使用MySQL工具及性能工具进行日志存储的查看和监控。 - - * ### 第一步-安装MySQL数据库及建立交易日志表 第一步，我们安装好MySQL数据库，并建立交易报单日志表LogOrder表，建表SQL如下： CREATE TABLE `logorder` ( - `id` INT(11) NOT NULL AUTO_INCREMENT, - `logdatetime` DATETIME(6) NULL DEFAULT NULL COMMENT 'log记录时间', - `StrategyName` VARCHAR(20) NULL DEFAULT NULL COMMENT '策略名字' COLLATE 'utf8mb4_unicode_ci', - `OrdId` INT(11) NULL DEFAULT NULL, - `OrdDateTime` DATETIME(6) NULL DEFAULT NULL, - `Symbol` VARCHAR(10) NULL DEFAULT NULL COLLATE 'latin1_swedish_ci', - `TradeDay` DATE NULL DEFAULT NULL, - `Side` VARCHAR(10) NULL DEFAULT NULL COLLATE 'latin1_swedish_ci', - `Type` VARCHAR(10) NULL DEFAULT NULL COLLATE 'latin1_swedish_ci', - `Qty` INT(11) NULL DEFAULT NULL, - `Price` FLOAT NULL DEFAULT NULL, - `Status` VARCHAR(16) NULL DEFAULT NULL COLLATE 'latin1_swedish_ci', - `note` VARCHAR(50) NULL DEFAULT NULL COMMENT '备注' COLLATE 'utf8mb4_unicode_ci', - PRIMARY KEY (`id`) + `id` INT(11) NOT NULL AUTO_INCREMENT, + `logdatetime` DATETIME(6) NULL DEFAULT NULL COMMENT 'log记录时间', + `StrategyName` VARCHAR(20) NULL DEFAULT NULL COMMENT '策略名字' COLLATE 'utf8mb4_unicode_ci', + `OrdId` INT(11) NULL DEFAULT NULL, + `OrdDateTime` DATETIME(6) NULL DEFAULT NULL, + `Symbol` VARCHAR(10) NULL DEFAULT NULL COLLATE 'latin1_swedish_ci', + `TradeDay` DATE NULL DEFAULT NULL, + `Side` VARCHAR(10) NULL DEFAULT NULL COLLATE 'latin1_swedish_ci', + `Type` VARCHAR(10) NULL DEFAULT NULL COLLATE 'latin1_swedish_ci', + `Qty` INT(11) NULL DEFAULT NULL, + `Price` FLOAT NULL DEFAULT NULL, + `Status` VARCHAR(16) NULL DEFAULT NULL COLLATE 'latin1_swedish_ci', + `note` VARCHAR(50) NULL DEFAULT NULL COMMENT '备注' COLLATE 'utf8mb4_unicode_ci', + PRIMARY KEY (`id`) ) COMMENT='定单日志表，存储所有交易记录' COLLATE='utf8mb4_unicode_ci' @@ -34,20 +32,178 @@ AUTO_INCREMENT=72969 ; - 在MySQL中记录定单日志如下： ![](/assets/Table_logorder.png) -* ### 第二步-在策略工程中引入MySQL的DLL库 - -在MyStrategy工程中，先引入Mysql的库：MySql.Data.dll ，在安装插件后，你可以在OpenQuant的安装目录中即可以找到这个动态链接库。或者在MySQL的安装目录中也可以找到。 +* ### 第二步-在策略工程中引入MySQL的DLL库及建立MySQL访问代码 + +在FlashOrder解决方案的在MyStrategy工程中，先引入Mysql的库：MySql.Data.dll 。这个动态链接库文件你可以在OpenQuant的安装目录中即可以找到，或者在MySQL的安装目录中也可以找到。 + +再在MyStrategy工程中增加MySQL访问功能的公共方法代码，文件名MysqlMan.cs ，该文件代码如下： + +``` +/* + * Purpose: MySQL DB Access + * + * Created: 2017/09/12 + * + * + */ + +using System; +using System.Collections.Generic; +using System.Linq; +using System.Text; +using System.Threading.Tasks; + +using MySql.Data.MySqlClient; + + +namespace OpenQuant +{ + class MysqlMan + { + + + ///

    + /// 建立mysql数据库链接 + /// + /// + public static MySqlConnection getMySqlCon() + { + String mysqlStrQBMD = ""; + //Mysql Server at Lab + mysqlStrQBMD = "Database=MySQL01;Data Source=127.0.0.1;User Id=root;Password=yourPassword;pooling=false;CharSet=utf8;port=3306;Allow Zero Datetime=True"; + //MySQL Server at Home + //mysqlStrQBMD = "Database=MySQL02;Data Source=127.0.0.1;User Id=root;Password=yourPassword;pooling=false;CharSet=utf8;port=3306;Allow Zero Datetime=True"; + + + + MySqlConnection mysql = new MySqlConnection(mysqlStrQBMD); + return mysql; + } + + /// + /// 建立执行命令语句对象 + /// + /// + /// + /// + public static MySqlCommand getSqlCommand(String sql, MySqlConnection mysql) + { + MySqlCommand mySqlCommand = new MySqlCommand(sql, mysql); + return mySqlCommand; + } + + /// + /// 添加数据 + /// + /// + public static void getInsert(MySqlCommand mySqlCommand) + { + try + { + mySqlCommand.ExecuteNonQuery(); + } + catch (Exception ex) + { + String message = ex.Message; + Console.WriteLine("插入数据失败了！" + message); + + } + + } + + /// + /// 删除数据 + /// + /// + public static void getDel(MySqlCommand mySqlCommand) + { + try + { + mySqlCommand.ExecuteNonQuery(); + } + catch (Exception ex) + { + String message = ex.Message; + Console.WriteLine("删除数据失败了！" + message); + } + } + + /// + /// 修改数据 + /// + /// + public static void getUpdate(MySqlCommand mySqlCommand) + { + try + { + mySqlCommand.ExecuteNonQuery(); + } + catch (Exception ex) + { + + String message = ex.Message; + Console.WriteLine("修改数据失败了！" + message); + } + } + + + + public static int ExecuteNonQuery(string sql) + { + MySqlConnection mysql = null; + try + { + mysql = getMySqlCon(); + mysql.Open(); + MySqlCommand mySqlCommand = new MySqlCommand(sql, mysql); + int result = mySqlCommand.ExecuteNonQuery(); + mysql.Close(); + return result; + } + catch (Exception ex) + { + if (mysql != null && mysql.State != System.Data.ConnectionState.Closed) + mysql.Close(); + String message = ex.Message; + Console.WriteLine("ExecuteNonQuery失败了！" + message); + return 0; + } + } + + public static object ExecuteScalar(string sql) + { + MySqlConnection mysql=null; + try + { + mysql = getMySqlCon(); + MySqlCommand mySqlCommand = new MySqlCommand(sql, mysql); + mysql.Open(); + object result = mySqlCommand.ExecuteScalar(); + mysql.Close(); + return result; + + } + catch (Exception ex) + { + if(mysql!=null && mysql.State != System.Data.ConnectionState.Closed) + mysql.Close(); + String message = ex.Message; + Console.WriteLine("ExecuteNonQuery失败了！" + message); + return null; + } + } + } +} + +``` * ### 第三步-编写日志存储功能OmniLog.cs -在 - - +在FlashOrder解决方案的MyStrategy工程中， From 9673977f357b3570d473ec387f22daaf9153b77e Mon Sep 17 00:00:00 2001 From: OmniStep Date: Tue, 26 Sep 2017 15:01:39 +0800 Subject: [PATCH 130/306] Updates log-order-information-using-mysql-db.md Auto commit by GitBook Editor --- log-order-information-using-mysql-db.md | 298 ++++++++++++++---------- 1 file changed, 181 insertions(+), 117 deletions(-) diff --git a/log-order-information-using-mysql-db.md b/log-order-information-using-mysql-db.md index ff3da09..c779602 100644 --- a/log-order-information-using-mysql-db.md +++ b/log-order-information-using-mysql-db.md @@ -62,150 +62,214 @@ using MySql.Data.MySqlClient; namespace OpenQuant { - class MysqlMan - { - - - /// - /// 建立mysql数据库链接 - /// - /// - public static MySqlConnection getMySqlCon() - { - String mysqlStrQBMD = ""; - //Mysql Server at Lab - mysqlStrQBMD = "Database=MySQL01;Data Source=127.0.0.1;User Id=root;Password=yourPassword;pooling=false;CharSet=utf8;port=3306;Allow Zero Datetime=True"; - //MySQL Server at Home - //mysqlStrQBMD = "Database=MySQL02;Data Source=127.0.0.1;User Id=root;Password=yourPassword;pooling=false;CharSet=utf8;port=3306;Allow Zero Datetime=True"; - - + class MysqlMan + { + + + /// + /// 建立mysql数据库链接 + /// + /// + public static MySqlConnection getMySqlCon() + { + String mysqlStrQBMD = ""; + //Mysql Server at Lab + mysqlStrQBMD = "Database=MySQL01;Data Source=127.0.0.1;User Id=root;Password=yourPassword;pooling=false;CharSet=utf8;port=3306;Allow Zero Datetime=True"; + //MySQL Server at Home + //mysqlStrQBMD = "Database=MySQL02;Data Source=127.0.0.1;User Id=root;Password=yourPassword;pooling=false;CharSet=utf8;port=3306;Allow Zero Datetime=True"; + + + + MySqlConnection mysql = new MySqlConnection(mysqlStrQBMD); + return mysql; + } + + /// + /// 建立执行命令语句对象 + /// + /// + /// + /// + public static MySqlCommand getSqlCommand(String sql, MySqlConnection mysql) + { + MySqlCommand mySqlCommand = new MySqlCommand(sql, mysql); + return mySqlCommand; + } + + /// + /// 添加数据 + /// + /// + public static void getInsert(MySqlCommand mySqlCommand) + { + try + { + mySqlCommand.ExecuteNonQuery(); + } + catch (Exception ex) + { + String message = ex.Message; + Console.WriteLine("插入数据失败了！" + message); + + } + + } + + /// + /// 删除数据 + /// + /// + public static void getDel(MySqlCommand mySqlCommand) + { + try + { + mySqlCommand.ExecuteNonQuery(); + } + catch (Exception ex) + { + String message = ex.Message; + Console.WriteLine("删除数据失败了！" + message); + } + } + + /// + /// 修改数据 + /// + /// + public static void getUpdate(MySqlCommand mySqlCommand) + { + try + { + mySqlCommand.ExecuteNonQuery(); + } + catch (Exception ex) + { + + String message = ex.Message; + Console.WriteLine("修改数据失败了！" + message); + } + } + + + + public static int ExecuteNonQuery(string sql) + { + MySqlConnection mysql = null; + try + { + mysql = getMySqlCon(); + mysql.Open(); + MySqlCommand mySqlCommand = new MySqlCommand(sql, mysql); + int result = mySqlCommand.ExecuteNonQuery(); + mysql.Close(); + return result; + } + catch (Exception ex) + { + if (mysql != null && mysql.State != System.Data.ConnectionState.Closed) + mysql.Close(); + String message = ex.Message; + Console.WriteLine("ExecuteNonQuery失败了！" + message); + return 0; + } + } + + public static object ExecuteScalar(string sql) + { + MySqlConnection mysql=null; + try + { + mysql = getMySqlCon(); + MySqlCommand mySqlCommand = new MySqlCommand(sql, mysql); + mysql.Open(); + object result = mySqlCommand.ExecuteScalar(); + mysql.Close(); + return result; + + } + catch (Exception ex) + { + if(mysql!=null && mysql.State != System.Data.ConnectionState.Closed) + mysql.Close(); + String message = ex.Message; + Console.WriteLine("ExecuteNonQuery失败了！" + message); + return null; + } + } + } +} +``` - MySqlConnection mysql = new MySqlConnection(mysqlStrQBMD); - return mysql; - } +* ### 第三步-编写日志存储功能OmniLog.cs - /// - /// 建立执行命令语句对象 - /// - /// - /// - /// - public static MySqlCommand getSqlCommand(String sql, MySqlConnection mysql) - { - MySqlCommand mySqlCommand = new MySqlCommand(sql, mysql); - return mySqlCommand; - } +在FlashOrder解决方案的MyStrategy工程中，增加日志存储功能OmniLog.cs文件，该文件负责提供报单日志存储方法，以便策略中可以方便地调用，保存报单日志，OmniLog.cs的代码如下： - /// - /// 添加数据 - /// - /// - public static void getInsert(MySqlCommand mySqlCommand) - { - try - { - mySqlCommand.ExecuteNonQuery(); - } - catch (Exception ex) - { - String message = ex.Message; - Console.WriteLine("插入数据失败了！" + message); - - } +``` +/* + * Purpose: OmniLog + * + * version: 1.0.0 + * create : 2017/09/19 + * by : ww + * + * //▓▓记录日志 OmniLog.logOrder(StrategyName,OrdId, DateTime.Now,OrdDateTime,Symbol,Side,Type,Qty,Price,Status,Note) + * + * select id,date_format(logdatetime,'%Y-%m-%d %H:%i:%s:%f'),strategyname,ordid,date_format(orddatetime,'%Y-%m-%d %H:%i:%s:%f'),symbol,tradeday,side,type,qty,price,status,note from logorder order by id desc + * + */ - } +using System; +using System.Collections.Generic; +using System.Linq; +using System.Text; +using System.Threading.Tasks; - /// - /// 删除数据 - /// - /// - public static void getDel(MySqlCommand mySqlCommand) - { - try - { - mySqlCommand.ExecuteNonQuery(); - } - catch (Exception ex) - { - String message = ex.Message; - Console.WriteLine("删除数据失败了！" + message); - } - } +using SmartQuant; +namespace OpenQuant +{ + public class OmniLog + { + /// - /// 修改数据 + /// 记录定单 logOrder /// - /// - public static void getUpdate(MySqlCommand mySqlCommand) + /// + public static void logOrder(String StrategyName,int OrdId,DateTime OrdDateTime,String Symbol,String Side,String Type,double Qty,double Price,String Status,String Note) { try { - mySqlCommand.ExecuteNonQuery(); + + string sqlInsert = string.Format("insert into LogOrder(LogDateTime,StrategyName,OrdId,OrdDateTime,Symbol,side,type,qty,price,status,note) values('{0:yyyy-MM-dd HH:mm:ss.fff}','{1}','{2}','{3:yyyy-MM-dd HH:mm:ss.fff}','{4}','{5}','{6}','{7}','{8}','{9}','{10}')", + DateTime.Now,StrategyName,OrdId,OrdDateTime,Symbol,Side,Type,Qty,Price,Status,Note); + int row = MysqlMan.ExecuteNonQuery(sqlInsert); + + } catch (Exception ex) { - String message = ex.Message; - Console.WriteLine("修改数据失败了！" + message); - } - } + Console.WriteLine("数据保存失败了！" + message); - - - public static int ExecuteNonQuery(string sql) - { - MySqlConnection mysql = null; - try - { - mysql = getMySqlCon(); - mysql.Open(); - MySqlCommand mySqlCommand = new MySqlCommand(sql, mysql); - int result = mySqlCommand.ExecuteNonQuery(); - mysql.Close(); - return result; - } - catch (Exception ex) - { - if (mysql != null && mysql.State != System.Data.ConnectionState.Closed) - mysql.Close(); - String message = ex.Message; - Console.WriteLine("ExecuteNonQuery失败了！" + message); - return 0; } - } - - public static object ExecuteScalar(string sql) - { - MySqlConnection mysql=null; - try - { - mysql = getMySqlCon(); - MySqlCommand mySqlCommand = new MySqlCommand(sql, mysql); - mysql.Open(); - object result = mySqlCommand.ExecuteScalar(); - mysql.Close(); - return result; - } - catch (Exception ex) - { - if(mysql!=null && mysql.State != System.Data.ConnectionState.Closed) - mysql.Close(); - String message = ex.Message; - Console.WriteLine("ExecuteNonQuery失败了！" + message); - return null; - } } + + + } } + ``` -* ### 第三步-编写日志存储功能OmniLog.cs +* ### 第四步-在主策略逻辑中增加日志存储代码 + +现在我们可以在主策略逻辑中保存报单日志了，报单日志 -在FlashOrder解决方案的MyStrategy工程中， +* ### 第五步-使用MySQL工具进行查看及监控 通过Mysql的Workbench工具可以监控数据库的状态，Dashboard工具如下图所示： From c1782b4dd4739472d045ef1ab588dbdba6fbaf5f Mon Sep 17 00:00:00 2001 From: OmniStep Date: Tue, 26 Sep 2017 15:07:08 +0800 Subject: [PATCH 131/306] Updates log-order-information-using-mysql-db.md Auto commit by GitBook Editor --- log-order-information-using-mysql-db.md | 70 +++++++++++++------------ 1 file changed, 37 insertions(+), 33 deletions(-) diff --git a/log-order-information-using-mysql-db.md b/log-order-information-using-mysql-db.md index c779602..620bb67 100644 --- a/log-order-information-using-mysql-db.md +++ b/log-order-information-using-mysql-db.md @@ -213,7 +213,7 @@ namespace OpenQuant * by : ww * * //▓▓记录日志 OmniLog.logOrder(StrategyName,OrdId, DateTime.Now,OrdDateTime,Symbol,Side,Type,Qty,Price,Status,Note) - * + * * select id,date_format(logdatetime,'%Y-%m-%d %H:%i:%s:%f'),strategyname,ordid,date_format(orddatetime,'%Y-%m-%d %H:%i:%s:%f'),symbol,tradeday,side,type,qty,price,status,note from logorder order by id desc * */ @@ -228,44 +228,48 @@ using SmartQuant; namespace OpenQuant { - public class OmniLog - { - - /// - /// 记录定单 logOrder - /// - /// - public static void logOrder(String StrategyName,int OrdId,DateTime OrdDateTime,String Symbol,String Side,String Type,double Qty,double Price,String Status,String Note) - { - try - { - - string sqlInsert = string.Format("insert into LogOrder(LogDateTime,StrategyName,OrdId,OrdDateTime,Symbol,side,type,qty,price,status,note) values('{0:yyyy-MM-dd HH:mm:ss.fff}','{1}','{2}','{3:yyyy-MM-dd HH:mm:ss.fff}','{4}','{5}','{6}','{7}','{8}','{9}','{10}')", - DateTime.Now,StrategyName,OrdId,OrdDateTime,Symbol,Side,Type,Qty,Price,Status,Note); - int row = MysqlMan.ExecuteNonQuery(sqlInsert); - - - } - catch (Exception ex) - { - String message = ex.Message; - Console.WriteLine("数据保存失败了！" + message); - - } - - } - - - - } -} + public class OmniLog + { + + /// + /// 记录定单 logOrder + /// + /// + public static void logOrder(String StrategyName,int OrdId,DateTime OrdDateTime,String Symbol,String Side,String Type,double Qty,double Price,String Status,String Note) + { + try + { + + string sqlInsert = string.Format("insert into LogOrder(LogDateTime,StrategyName,OrdId,OrdDateTime,Symbol,side,type,qty,price,status,note) values('{0:yyyy-MM-dd HH:mm:ss.fff}','{1}','{2}','{3:yyyy-MM-dd HH:mm:ss.fff}','{4}','{5}','{6}','{7}','{8}','{9}','{10}')", + DateTime.Now,StrategyName,OrdId,OrdDateTime,Symbol,Side,Type,Qty,Price,Status,Note); + int row = MysqlMan.ExecuteNonQuery(sqlInsert); + + + } + catch (Exception ex) + { + String message = ex.Message; + Console.WriteLine("数据保存失败了！" + message); + + } + + } + + } +} ``` * ### 第四步-在主策略逻辑中增加日志存储代码 -现在我们可以在主策略逻辑中保存报单日志了，报单日志 +现在我们可以在主策略逻辑中保存报单日志了，报单日志保存的调用方法是： + +``` +OmniLog.logOrder(StrategyName,OrdId, DateTime.Now,OrdDateTime,Symbol,Side,Type,Qty,Price,Status,Note) +``` + +FlashOrder的主策略 From 1f5b87ae6be473bef207b419c72114409d5c2c37 Mon Sep 17 00:00:00 2001 From: OmniStep Date: Tue, 26 Sep 2017 15:09:42 +0800 Subject: [PATCH 132/306] Updates log-order-information-using-mysql-db.md Auto commit by GitBook Editor --- log-order-information-using-mysql-db.md | 183 +++++++++++++++++++++++- 1 file changed, 182 insertions(+), 1 deletion(-) diff --git a/log-order-information-using-mysql-db.md b/log-order-information-using-mysql-db.md index 620bb67..adfbcb8 100644 --- a/log-order-information-using-mysql-db.md +++ b/log-order-information-using-mysql-db.md @@ -269,9 +269,190 @@ namespace OpenQuant OmniLog.logOrder(StrategyName,OrdId, DateTime.Now,OrdDateTime,Symbol,Side,Type,Qty,Price,Status,Note) ``` -FlashOrder的主策略 +FlashOrder的主策略代码改为： +``` +using System; +using System.Drawing; +using SmartQuant; +using QuantBox; + +namespace OpenQuant +{ + public class MyStrategy : InstrumentStrategy + { + //定义策略名字 StrategyName，将被记录在日志中 + String StrategyName="FlashOrder"; + + int orderQty = 1; //定义交易定单的发单量多少手 + int swLongEnable = 1; //定义做多交易许可开关，0：禁止，1：允许 + int swShortEnable = 1; //定义做空交易许可开关，0：禁止，1：允许 + + int theOrdBOid = 0 ; //定义做多△买入开仓定单id + int theOrdSCid = 0 ; //定义做多 ▼卖出平仓定单id + string theOrdSCstatus = ""; //定义做多 ▼卖出平仓定单状态 + + int theOrdSSid = 0 ; //定义做空▽卖出开仓定单id + int theOrdBCid = 0 ; //定义做空 ▲买入平仓定单id + + int myCentOpen = -1 ; //定义开仓追价成本是多少TickSize； + int myCentClose = -1 ; //定义平仓追价成本是多少TickSize； + //默认1：代表盈利1个TickSize挂单 + // 0：代表市场平价报单； + // -1：代表1个TickSize的成本报单 + + public MyStrategy(Framework framework, string name) + : base(framework, name) + { + } + + protected override void OnStrategyStart() + { + //定义K线的画布，编码0号 + Group("myK_Chart", "Pad", 0); + Group("myK_Chart", "CandleWhiteColor", Color.Red); + Group("myK_Chart", "CandleBlackColor", Color.Lime); + Group("Fills", "Pad", 0); + Group("Equity", "Pad", 1); + + } + + protected override void OnBar(Instrument instrument, Bar bar) + { + //当Bar形成时，增加bar数据到K线序列 + Bars.Add(bar); + + //在Bars画布上画出K线 + Log(bar, "myK_Chart"); + + // Calculate performance. + Portfolio.Performance.Update(); + // 在画布上绘制权益曲线 + Log(Portfolio.Value, "Equity"); + + + + //就是这句期待已久的HelloWorld！同时显示bar时间，合约代码，bar中的均价 + Console.WriteLine("OnBar------HelloWorld! "+bar.DateTime.ToString()+ " "+instrument.Symbol + " ="+bar.Average.ToString()); + Console.WriteLine("swLongEnable= "+swLongEnable.ToString()+ "; swShortEnable ="+swShortEnable.ToString()); + //显示平仓单状态 + System.Console.WriteLine("theOrdSCstatus = " + theOrdSCstatus); + + if(swLongEnable==1) + { + //买入-开仓 + Order orderBO = BuyLimitOrder(Instrument, orderQty, bar.Close - myCentOpen*Instrument.TickSize, "△"); + //orderBO.Open(); + Send(orderBO); + + //▓▓记录日志OmniLog.logOrder(StrategyName,OrdId,DateTime.Now,OrdDateTime,Symbol,Side,Type,Qty,Price,Status,Note) + OmniLog.logOrder(StrategyName,orderBO.Id,orderBO.DateTime,orderBO.Instrument.Symbol,orderBO.Side.ToString() ,orderBO.Type.ToString() ,orderBO.Qty,orderBO.Price,orderBO.Status.ToString() ,"△"); + + + swLongEnable = 0; + theOrdBOid = orderBO.Id; + + } + + + if(swShortEnable==1) + { + //卖出-开仓 + Order orderSS = SellLimitOrder(Instrument, orderQty, bar.Close + myCentOpen*Instrument.TickSize, "▽"); + //orderSS.Open(); + Send(orderSS); + + //▓▓记录日志OmniLog.logOrder(StrategyName,OrdId,DateTime.Now,OrdDateTime,Symbol,Side,Type,Qty,Price,Status,Note) + OmniLog.logOrder(StrategyName,orderSS.Id ,orderSS.DateTime,orderSS.Instrument.Symbol,orderSS.Side.ToString() ,orderSS.Type.ToString() ,orderSS.Qty,orderSS.Price,orderSS.Status.ToString() ,"▽"); + + + swShortEnable = 0; + theOrdSSid = orderSS.Id; + + } + + + } + protected override void OnFill(SmartQuant.Fill fill) + { + // 在画布上绘制成交记录 + Log(fill, "Fills"); + + + // 在Output窗口中输出fill对象的当前数据... + System.Console.WriteLine("fill.DateTime=" + fill.DateTime.ToString()); + System.Console.WriteLine("fill.CashFlow=" + fill.CashFlow.ToString()); + System.Console.WriteLine("fill.Commission=" + fill.Commission.ToString()); + System.Console.WriteLine("fill.Instrument.Symbol=" + fill.Instrument.Symbol.ToString()); + System.Console.WriteLine("fill.Instrument.Description=" + fill.Instrument.Description.ToString()); + System.Console.WriteLine("fill.Instrument.Trade=" + fill.Instrument.Trade.ToString()); + System.Console.WriteLine("fill.Text=" + fill.Text.ToString()); + + //▓▓记录日志OmniLog.logOrder(StrategyName,OrdId, DateTime.Now,OrdDateTime,Symbol,Side,Type,Qty,Price,Status,Note) + OmniLog.logOrder(StrategyName,fill.Order.Id ,fill.DateTime,fill.Instrument.Symbol,fill.Side.ToString() ,fill.Order.Type.ToString() ,fill.Qty,fill.Price,fill.Order.Status.ToString() ,"挂单成交"); + + + + if(fill.Order.Id == theOrdBOid) + { + //卖出-平仓 + Order orderSC = SellLimitOrder(Instrument, orderQty, fill.Price + myCentClose*Instrument.TickSize, "▼"); + orderSC.CloseToday() ; + Send(orderSC); + + theOrdSCid = orderSC.Id; + theOrdSCstatus = orderSC.Status.ToString(); + + swLongEnable = 1; + + //▓▓记录日志OmniLog.logOrder(StrategyName,OrdId, DateTime.Now,OrdDateTime,Symbol,Side,Type,Qty,Price,Status,Note) + OmniLog.logOrder(StrategyName,orderSC.Id ,orderSC.DateTime,orderSC.Instrument.Symbol,orderSC.Side.ToString() ,orderSC.Type.ToString() ,orderSC.Qty,orderSC.Price,orderSC.Status.ToString() ,"▼"); + + } + + if(fill.Order.Id == theOrdSSid) + { + //买入-平仓 + Order orderBC = BuyLimitOrder(Instrument, orderQty, fill.Price - myCentClose*Instrument.TickSize, "▲"); + orderBC.CloseToday(); + Send(orderBC); + System.Console.WriteLine("▓orderBC.SubSide=" + orderBC.SubSide.ToString()); + + theOrdBCid = orderBC.Id; + + swShortEnable = 1; + + //▓▓记录日志OmniLog.logOrder(StrategyName,OrdId, DateTime.Now,OrdDateTime,Symbol,Side,Type,Qty,Price,Status,Note) + OmniLog.logOrder(StrategyName,orderBC.Id ,orderBC.DateTime,orderBC.Instrument.Symbol,orderBC.Side.ToString() ,orderBC.Type.ToString() ,orderBC.Qty,orderBC.Price,orderBC.Status.ToString() ,"▲"); + + } + + + + if(fill.Order.Id == theOrdSCid) + { + swLongEnable = 1; + } + + if(fill.Order.Id == theOrdBCid) + { + swShortEnable = 1; + } + + } + + + } + +} + + + + + + +``` * ### 第五步-使用MySQL工具进行查看及监控 From 15651e27b77bf23926d066255395a96de78365fb Mon Sep 17 00:00:00 2001 From: OmniStep Date: Tue, 26 Sep 2017 15:13:49 +0800 Subject: [PATCH 133/306] Updates log-order-information-using-mysql-db.md Auto commit by GitBook Editor --- log-order-information-using-mysql-db.md | 256 ++++++++++++------------ 1 file changed, 128 insertions(+), 128 deletions(-) diff --git a/log-order-information-using-mysql-db.md b/log-order-information-using-mysql-db.md index adfbcb8..6d454cd 100644 --- a/log-order-information-using-mysql-db.md +++ b/log-order-information-using-mysql-db.md @@ -4,7 +4,9 @@ 对于一个完善的IT系统，无论是交易系统，还是业务管理系统，我们都会按照层次结构来规划。作为一个交易系统，我们需要将交易日志存入数据，以提供业务监控、问题排查、数据统计分析。 -现在我们就将FlashOrder下单的记录全部存入Mysql数据库。大致过程分为五步，第一步建立数据库及日志表；第二步在FlashOrder中引入相关的MySQL动态链接库；第三步编写一个日志存储功能的方法，让主策略代码可以调用日志功能。这个文件我们命名为OmniLog.cs，这个文件我们和主策略代码放在一个工程代码中； 第四步，我们在主策略的下单代码后面，插入调用日志存储的方法；第五步，使用MySQL工具及性能工具进行日志存储的查看和监控。 +现在我们就将FlashOrder下单的记录全部存入Mysql数据库。 + +![](/icons/icon_labtubeBlue.ico)大致过程分为五步，第一步建立数据库及日志表；第二步在FlashOrder中引入相关的MySQL动态链接库；第三步编写一个日志存储功能的方法，让主策略代码可以调用日志功能。这个文件我们命名为OmniLog.cs，这个文件我们和主策略代码放在一个工程代码中； 第四步，我们在主策略的下单代码后面，插入调用日志存储的方法；第五步，使用MySQL工具及性能工具进行日志存储的查看和监控。 * ### 第一步-安装MySQL数据库及建立交易日志表 @@ -32,9 +34,7 @@ AUTO_INCREMENT=72969 ; -在MySQL中记录定单日志如下： -![](/assets/Table_logorder.png) * ### 第二步-在策略工程中引入MySQL的DLL库及建立MySQL访问代码 @@ -279,183 +279,183 @@ using QuantBox; namespace OpenQuant { - public class MyStrategy : InstrumentStrategy - { - //定义策略名字 StrategyName，将被记录在日志中 - String StrategyName="FlashOrder"; + public class MyStrategy : InstrumentStrategy + { + //定义策略名字 StrategyName，将被记录在日志中 + String StrategyName="FlashOrder"; - int orderQty = 1; //定义交易定单的发单量多少手 - int swLongEnable = 1; //定义做多交易许可开关，0：禁止，1：允许 - int swShortEnable = 1; //定义做空交易许可开关，0：禁止，1：允许 - - int theOrdBOid = 0 ; //定义做多△买入开仓定单id - int theOrdSCid = 0 ; //定义做多 ▼卖出平仓定单id - string theOrdSCstatus = ""; //定义做多 ▼卖出平仓定单状态 + int orderQty = 1; //定义交易定单的发单量多少手 + int swLongEnable = 1; //定义做多交易许可开关，0：禁止，1：允许 + int swShortEnable = 1; //定义做空交易许可开关，0：禁止，1：允许 - int theOrdSSid = 0 ; //定义做空▽卖出开仓定单id - int theOrdBCid = 0 ; //定义做空 ▲买入平仓定单id + int theOrdBOid = 0 ; //定义做多△买入开仓定单id + int theOrdSCid = 0 ; //定义做多 ▼卖出平仓定单id + string theOrdSCstatus = ""; //定义做多 ▼卖出平仓定单状态 - int myCentOpen = -1 ; //定义开仓追价成本是多少TickSize； - int myCentClose = -1 ; //定义平仓追价成本是多少TickSize； - //默认1：代表盈利1个TickSize挂单 - // 0：代表市场平价报单； - // -1：代表1个TickSize的成本报单 + int theOrdSSid = 0 ; //定义做空▽卖出开仓定单id + int theOrdBCid = 0 ; //定义做空 ▲买入平仓定单id - public MyStrategy(Framework framework, string name) - : base(framework, name) - { - } + int myCentOpen = -1 ; //定义开仓追价成本是多少TickSize； + int myCentClose = -1 ; //定义平仓追价成本是多少TickSize； + //默认1：代表盈利1个TickSize挂单 + // 0：代表市场平价报单； + // -1：代表1个TickSize的成本报单 - protected override void OnStrategyStart() - { - //定义K线的画布，编码0号 - Group("myK_Chart", "Pad", 0); - Group("myK_Chart", "CandleWhiteColor", Color.Red); - Group("myK_Chart", "CandleBlackColor", Color.Lime); - Group("Fills", "Pad", 0); - Group("Equity", "Pad", 1); + public MyStrategy(Framework framework, string name) + : base(framework, name) + { + } - } + protected override void OnStrategyStart() + { + //定义K线的画布，编码0号 + Group("myK_Chart", "Pad", 0); + Group("myK_Chart", "CandleWhiteColor", Color.Red); + Group("myK_Chart", "CandleBlackColor", Color.Lime); + Group("Fills", "Pad", 0); + Group("Equity", "Pad", 1); - protected override void OnBar(Instrument instrument, Bar bar) - { - //当Bar形成时，增加bar数据到K线序列 - Bars.Add(bar); + } - //在Bars画布上画出K线 - Log(bar, "myK_Chart"); + protected override void OnBar(Instrument instrument, Bar bar) + { + //当Bar形成时，增加bar数据到K线序列 + Bars.Add(bar); - // Calculate performance. - Portfolio.Performance.Update(); - // 在画布上绘制权益曲线 - Log(Portfolio.Value, "Equity"); + //在Bars画布上画出K线 + Log(bar, "myK_Chart"); + // Calculate performance. + Portfolio.Performance.Update(); + // 在画布上绘制权益曲线 + Log(Portfolio.Value, "Equity"); - //就是这句期待已久的HelloWorld！同时显示bar时间，合约代码，bar中的均价 - Console.WriteLine("OnBar------HelloWorld! "+bar.DateTime.ToString()+ " "+instrument.Symbol + " ="+bar.Average.ToString()); - Console.WriteLine("swLongEnable= "+swLongEnable.ToString()+ "; swShortEnable ="+swShortEnable.ToString()); - //显示平仓单状态 - System.Console.WriteLine("theOrdSCstatus = " + theOrdSCstatus); - if(swLongEnable==1) - { - //买入-开仓 - Order orderBO = BuyLimitOrder(Instrument, orderQty, bar.Close - myCentOpen*Instrument.TickSize, "△"); - //orderBO.Open(); - Send(orderBO); + //就是这句期待已久的HelloWorld！同时显示bar时间，合约代码，bar中的均价 + Console.WriteLine("OnBar------HelloWorld! "+bar.DateTime.ToString()+ " "+instrument.Symbol + " ="+bar.Average.ToString()); + Console.WriteLine("swLongEnable= "+swLongEnable.ToString()+ "; swShortEnable ="+swShortEnable.ToString()); + //显示平仓单状态 + System.Console.WriteLine("theOrdSCstatus = " + theOrdSCstatus); - //▓▓记录日志OmniLog.logOrder(StrategyName,OrdId,DateTime.Now,OrdDateTime,Symbol,Side,Type,Qty,Price,Status,Note) - OmniLog.logOrder(StrategyName,orderBO.Id,orderBO.DateTime,orderBO.Instrument.Symbol,orderBO.Side.ToString() ,orderBO.Type.ToString() ,orderBO.Qty,orderBO.Price,orderBO.Status.ToString() ,"△"); - - - swLongEnable = 0; - theOrdBOid = orderBO.Id; + if(swLongEnable==1) + { + //买入-开仓 + Order orderBO = BuyLimitOrder(Instrument, orderQty, bar.Close - myCentOpen*Instrument.TickSize, "△"); + //orderBO.Open(); + Send(orderBO); + + //▓▓记录日志OmniLog.logOrder(StrategyName,OrdId,DateTime.Now,OrdDateTime,Symbol,Side,Type,Qty,Price,Status,Note) + OmniLog.logOrder(StrategyName,orderBO.Id,orderBO.DateTime,orderBO.Instrument.Symbol,orderBO.Side.ToString() ,orderBO.Type.ToString() ,orderBO.Qty,orderBO.Price,orderBO.Status.ToString() ,"△"); - } + swLongEnable = 0; + theOrdBOid = orderBO.Id; + + } - if(swShortEnable==1) - { - //卖出-开仓 - Order orderSS = SellLimitOrder(Instrument, orderQty, bar.Close + myCentOpen*Instrument.TickSize, "▽"); - //orderSS.Open(); - Send(orderSS); - //▓▓记录日志OmniLog.logOrder(StrategyName,OrdId,DateTime.Now,OrdDateTime,Symbol,Side,Type,Qty,Price,Status,Note) - OmniLog.logOrder(StrategyName,orderSS.Id ,orderSS.DateTime,orderSS.Instrument.Symbol,orderSS.Side.ToString() ,orderSS.Type.ToString() ,orderSS.Qty,orderSS.Price,orderSS.Status.ToString() ,"▽"); + if(swShortEnable==1) + { + //卖出-开仓 + Order orderSS = SellLimitOrder(Instrument, orderQty, bar.Close + myCentOpen*Instrument.TickSize, "▽"); + //orderSS.Open(); + Send(orderSS); - - swShortEnable = 0; - theOrdSSid = orderSS.Id; + //▓▓记录日志OmniLog.logOrder(StrategyName,OrdId,DateTime.Now,OrdDateTime,Symbol,Side,Type,Qty,Price,Status,Note) + OmniLog.logOrder(StrategyName,orderSS.Id ,orderSS.DateTime,orderSS.Instrument.Symbol,orderSS.Side.ToString() ,orderSS.Type.ToString() ,orderSS.Qty,orderSS.Price,orderSS.Status.ToString() ,"▽"); - } + swShortEnable = 0; + theOrdSSid = orderSS.Id; - } + } - protected override void OnFill(SmartQuant.Fill fill) - { - // 在画布上绘制成交记录 - Log(fill, "Fills"); + } - // 在Output窗口中输出fill对象的当前数据... - System.Console.WriteLine("fill.DateTime=" + fill.DateTime.ToString()); - System.Console.WriteLine("fill.CashFlow=" + fill.CashFlow.ToString()); - System.Console.WriteLine("fill.Commission=" + fill.Commission.ToString()); - System.Console.WriteLine("fill.Instrument.Symbol=" + fill.Instrument.Symbol.ToString()); - System.Console.WriteLine("fill.Instrument.Description=" + fill.Instrument.Description.ToString()); - System.Console.WriteLine("fill.Instrument.Trade=" + fill.Instrument.Trade.ToString()); - System.Console.WriteLine("fill.Text=" + fill.Text.ToString()); + protected override void OnFill(SmartQuant.Fill fill) + { + // 在画布上绘制成交记录 + Log(fill, "Fills"); - //▓▓记录日志OmniLog.logOrder(StrategyName,OrdId, DateTime.Now,OrdDateTime,Symbol,Side,Type,Qty,Price,Status,Note) - OmniLog.logOrder(StrategyName,fill.Order.Id ,fill.DateTime,fill.Instrument.Symbol,fill.Side.ToString() ,fill.Order.Type.ToString() ,fill.Qty,fill.Price,fill.Order.Status.ToString() ,"挂单成交"); + // 在Output窗口中输出fill对象的当前数据... + System.Console.WriteLine("fill.DateTime=" + fill.DateTime.ToString()); + System.Console.WriteLine("fill.CashFlow=" + fill.CashFlow.ToString()); + System.Console.WriteLine("fill.Commission=" + fill.Commission.ToString()); + System.Console.WriteLine("fill.Instrument.Symbol=" + fill.Instrument.Symbol.ToString()); + System.Console.WriteLine("fill.Instrument.Description=" + fill.Instrument.Description.ToString()); + System.Console.WriteLine("fill.Instrument.Trade=" + fill.Instrument.Trade.ToString()); + System.Console.WriteLine("fill.Text=" + fill.Text.ToString()); + //▓▓记录日志OmniLog.logOrder(StrategyName,OrdId, DateTime.Now,OrdDateTime,Symbol,Side,Type,Qty,Price,Status,Note) + OmniLog.logOrder(StrategyName,fill.Order.Id ,fill.DateTime,fill.Instrument.Symbol,fill.Side.ToString() ,fill.Order.Type.ToString() ,fill.Qty,fill.Price,fill.Order.Status.ToString() ,"挂单成交"); - if(fill.Order.Id == theOrdBOid) - { - //卖出-平仓 - Order orderSC = SellLimitOrder(Instrument, orderQty, fill.Price + myCentClose*Instrument.TickSize, "▼"); - orderSC.CloseToday() ; - Send(orderSC); - theOrdSCid = orderSC.Id; - theOrdSCstatus = orderSC.Status.ToString(); - swLongEnable = 1; - - //▓▓记录日志OmniLog.logOrder(StrategyName,OrdId, DateTime.Now,OrdDateTime,Symbol,Side,Type,Qty,Price,Status,Note) - OmniLog.logOrder(StrategyName,orderSC.Id ,orderSC.DateTime,orderSC.Instrument.Symbol,orderSC.Side.ToString() ,orderSC.Type.ToString() ,orderSC.Qty,orderSC.Price,orderSC.Status.ToString() ,"▼"); + if(fill.Order.Id == theOrdBOid) + { + //卖出-平仓 + Order orderSC = SellLimitOrder(Instrument, orderQty, fill.Price + myCentClose*Instrument.TickSize, "▼"); + orderSC.CloseToday() ; + Send(orderSC); - } + theOrdSCid = orderSC.Id; + theOrdSCstatus = orderSC.Status.ToString(); - if(fill.Order.Id == theOrdSSid) - { - //买入-平仓 - Order orderBC = BuyLimitOrder(Instrument, orderQty, fill.Price - myCentClose*Instrument.TickSize, "▲"); - orderBC.CloseToday(); - Send(orderBC); - System.Console.WriteLine("▓orderBC.SubSide=" + orderBC.SubSide.ToString()); + swLongEnable = 1; - theOrdBCid = orderBC.Id; + //▓▓记录日志OmniLog.logOrder(StrategyName,OrdId, DateTime.Now,OrdDateTime,Symbol,Side,Type,Qty,Price,Status,Note) + OmniLog.logOrder(StrategyName,orderSC.Id ,orderSC.DateTime,orderSC.Instrument.Symbol,orderSC.Side.ToString() ,orderSC.Type.ToString() ,orderSC.Qty,orderSC.Price,orderSC.Status.ToString() ,"▼"); - swShortEnable = 1; - - //▓▓记录日志OmniLog.logOrder(StrategyName,OrdId, DateTime.Now,OrdDateTime,Symbol,Side,Type,Qty,Price,Status,Note) - OmniLog.logOrder(StrategyName,orderBC.Id ,orderBC.DateTime,orderBC.Instrument.Symbol,orderBC.Side.ToString() ,orderBC.Type.ToString() ,orderBC.Qty,orderBC.Price,orderBC.Status.ToString() ,"▲"); - - } + } + if(fill.Order.Id == theOrdSSid) + { + //买入-平仓 + Order orderBC = BuyLimitOrder(Instrument, orderQty, fill.Price - myCentClose*Instrument.TickSize, "▲"); + orderBC.CloseToday(); + Send(orderBC); + System.Console.WriteLine("▓orderBC.SubSide=" + orderBC.SubSide.ToString()); + theOrdBCid = orderBC.Id; - if(fill.Order.Id == theOrdSCid) - { - swLongEnable = 1; - } + swShortEnable = 1; - if(fill.Order.Id == theOrdBCid) - { - swShortEnable = 1; - } + //▓▓记录日志OmniLog.logOrder(StrategyName,OrdId, DateTime.Now,OrdDateTime,Symbol,Side,Type,Qty,Price,Status,Note) + OmniLog.logOrder(StrategyName,orderBC.Id ,orderBC.DateTime,orderBC.Instrument.Symbol,orderBC.Side.ToString() ,orderBC.Type.ToString() ,orderBC.Qty,orderBC.Price,orderBC.Status.ToString() ,"▲"); - } + } - } - -} + if(fill.Order.Id == theOrdSCid) + { + swLongEnable = 1; + } + if(fill.Order.Id == theOrdBCid) + { + swShortEnable = 1; + } + } + } +} ``` * ### 第五步-使用MySQL工具进行查看及监控 +![](/icons/icon_labtubeOrg.ico)这时运行策略FlashOrder,当有报单时，OmniLog会将所有报单记录存入数据库的表LogOrder + +在MySQL中记录定单日志如下： + +![](/assets/Table_logorder.png) + 通过Mysql的Workbench工具可以监控数据库的状态，Dashboard工具如下图所示： ![](/assets/MysqlDashboard01.png)我们会发现这样写日志的效率还是有些慢，但对于没有做高频交易（HFT）的情况，这些工具是适用的。 From 60addce13c6f812c5ebefe283fd41a8b86b06263 Mon Sep 17 00:00:00 2001 From: OmniStep Date: Thu, 28 Sep 2017 13:22:59 +0800 Subject: [PATCH 134/306] Updates log-order-information-using-mysql-db.md Auto commit by GitBook Editor --- log-order-information-using-mysql-db.md | 4 +--- 1 file changed, 1 insertion(+), 3 deletions(-) diff --git a/log-order-information-using-mysql-db.md b/log-order-information-using-mysql-db.md index 6d454cd..d3920da 100644 --- a/log-order-information-using-mysql-db.md +++ b/log-order-information-using-mysql-db.md @@ -34,11 +34,9 @@ AUTO_INCREMENT=72969 ; - - * ### 第二步-在策略工程中引入MySQL的DLL库及建立MySQL访问代码 -在FlashOrder解决方案的在MyStrategy工程中，先引入Mysql的库：MySql.Data.dll 。这个动态链接库文件你可以在OpenQuant的安装目录中即可以找到，或者在MySQL的安装目录中也可以找到。 +在FlashOrder解决方案的在MyStrategy工程中，先引入Mysql的.NET驱动库：**MySql.Data.dll** 。这个动态链接库文件你可以在MySQL的安装目录中也可以找到。 再在MyStrategy工程中增加MySQL访问功能的公共方法代码，文件名MysqlMan.cs ，该文件代码如下： From 36e45bce676498f51b6286db0b871ee7487dd2f3 Mon Sep 17 00:00:00 2001 From: OmniStep Date: Mon, 16 Oct 2017 11:19:53 +0800 Subject: [PATCH 135/306] Updates flashorderver_v1.md Auto commit by GitBook Editor --- flashorderver_v1.md | 2 +- 1 file changed, 1 insertion(+), 1 deletion(-) diff --git a/flashorderver_v1.md b/flashorderver_v1.md index 5336556..3c3f373 100644 --- a/flashorderver_v1.md +++ b/flashorderver_v1.md @@ -1,6 +1,6 @@ ## 7.3 FlashOrder的逻辑代码 -FlashOrder策略还是由3个工程组成，Backtest，MyStrategy和Realtime。 +FlashOrder策略还是由3个工程组成，Backtest，MyStrategy和Realtime。 其中Backtest工程中的MyScenario.cs代码为： From 68c78915a1e989ad490bdee29256a2a1134b4b5b Mon Sep 17 00:00:00 2001 From: OmniStep Date: Mon, 16 Oct 2017 11:21:27 +0800 Subject: [PATCH 136/306] Updates flashorderver_v2.md Auto commit by GitBook Editor --- flashorderver_v2.md | 10 +--------- 1 file changed, 1 insertion(+), 9 deletions(-) diff --git a/flashorderver_v2.md b/flashorderver_v2.md index 5d72a11..9589b07 100644 --- a/flashorderver_v2.md +++ b/flashorderver_v2.md @@ -2,13 +2,5 @@ --- - - - - -Coming soon - - - - +Coming ... ... From 41e40c9a684cfba2a391f372d396170c285218d8 Mon Sep 17 00:00:00 2001 From: OmniStep Date: Mon, 16 Oct 2017 15:06:26 +0800 Subject: [PATCH 137/306] Updates flashorderver_v2.md Auto commit by GitBook Editor --- flashorderver_v2.md | 35 ++++++++++++++++++++++++++++++++++- 1 file changed, 34 insertions(+), 1 deletion(-) diff --git a/flashorderver_v2.md b/flashorderver_v2.md index 9589b07..da46677 100644 --- a/flashorderver_v2.md +++ b/flashorderver_v2.md @@ -2,5 +2,38 @@ --- -Coming ... ... +在策略中通道要处理多个合约，根据实际情况我们有简单的方法和优化的方法。 + +## 简单的方法 + +简单的方法就是在场景文件Scenario.cs中，直接定义新的合约变量，复制相关代码即可， 主策略代码不用改变，策略运行时，你会发现一个合约就是策略的一个实例，它们都在并行的运行。 + +``` + //定义合约 + Instrument instrument1 = InstrumentManager.Instruments["au1712"]; + Instrument instrument2 = InstrumentManager.Instruments["rb1801"]; + Instrument instrument3 = InstrumentManager.Instruments["c1801"]; + ... ... + + + //引入合约到主策略工程 + strategy.AddInstrument(instrument1); + strategy.AddInstrument(instrument2); + strategy.AddInstrument(instrument3); + ... ... + + //定义K线类型：时间型K线，barSize秒生成一个Bar + BarFactory.Clear(); + BarFactory.Add(instrument1, BarType.Time, barSize); + BarFactory.Add(instrument2, BarType.Time, barSize); + BarFactory.Add(instrument3, BarType.Time, barSize); + ... ... + +``` + +优雅的方法 + +在场景文件Scenario.cs中，可以定义一个变量数组， 采用循环代码进行加载 + + From 0029acc407f4e32ae6f191350eccb2731cf9fb69 Mon Sep 17 00:00:00 2001 From: OmniStep Date: Mon, 16 Oct 2017 16:35:39 +0800 Subject: [PATCH 138/306] Updates flashorderver_v2.md Auto commit by GitBook Editor --- flashorderver_v2.md | 43 ++++++++++++++++++++----------------------- 1 file changed, 20 insertions(+), 23 deletions(-) diff --git a/flashorderver_v2.md b/flashorderver_v2.md index da46677..f3aac8e 100644 --- a/flashorderver_v2.md +++ b/flashorderver_v2.md @@ -9,31 +9,28 @@ 简单的方法就是在场景文件Scenario.cs中，直接定义新的合约变量，复制相关代码即可， 主策略代码不用改变，策略运行时，你会发现一个合约就是策略的一个实例，它们都在并行的运行。 ``` - //定义合约 - Instrument instrument1 = InstrumentManager.Instruments["au1712"]; - Instrument instrument2 = InstrumentManager.Instruments["rb1801"]; - Instrument instrument3 = InstrumentManager.Instruments["c1801"]; - ... ... - - - //引入合约到主策略工程 - strategy.AddInstrument(instrument1); - strategy.AddInstrument(instrument2); - strategy.AddInstrument(instrument3); - ... ... - - //定义K线类型：时间型K线，barSize秒生成一个Bar - BarFactory.Clear(); - BarFactory.Add(instrument1, BarType.Time, barSize); - BarFactory.Add(instrument2, BarType.Time, barSize); - BarFactory.Add(instrument3, BarType.Time, barSize); - ... ... - + //定义合约 + Instrument instrument1 = InstrumentManager.Instruments["au1712"]; + Instrument instrument2 = InstrumentManager.Instruments["rb1801"]; + Instrument instrument3 = InstrumentManager.Instruments["c1801"]; + ... ... + + + //引入合约到主策略工程 + strategy.AddInstrument(instrument1); + strategy.AddInstrument(instrument2); + strategy.AddInstrument(instrument3); + ... ... + + //定义K线类型：时间型K线，barSize秒生成一个Bar + BarFactory.Clear(); + BarFactory.Add(instrument1, BarType.Time, barSize); + BarFactory.Add(instrument2, BarType.Time, barSize); + BarFactory.Add(instrument3, BarType.Time, barSize); + ... ... ``` 优雅的方法 -在场景文件Scenario.cs中，可以定义一个变量数组， 采用循环代码进行加载 - - +在场景文件Scenario.cs中，可以定义一个变量数组， 采用循环代码进行加载，但这个方法中， 会出现你想加入的合约信息并没有在OpenQuant引入过，代码会报出提示， 如果有这样的情况，你应该先在OpenQuant中手动引入相关的合约信息（过程详见1.5 导入合约信息） From e549912ec884b06641d9a1be86f7d0cbb6a673bf Mon Sep 17 00:00:00 2001 From: OmniStep Date: Mon, 16 Oct 2017 16:40:17 +0800 Subject: [PATCH 139/306] Updates flashorderver_v2.md Auto commit by GitBook Editor --- flashorderver_v2.md | 53 ++++++++++++++++++++++++++++++++++++++++++++- 1 file changed, 52 insertions(+), 1 deletion(-) diff --git a/flashorderver_v2.md b/flashorderver_v2.md index f3aac8e..e8e7fb9 100644 --- a/flashorderver_v2.md +++ b/flashorderver_v2.md @@ -32,5 +32,56 @@ 优雅的方法 -在场景文件Scenario.cs中，可以定义一个变量数组， 采用循环代码进行加载，但这个方法中， 会出现你想加入的合约信息并没有在OpenQuant引入过，代码会报出提示， 如果有这样的情况，你应该先在OpenQuant中手动引入相关的合约信息（过程详见1.5 导入合约信息） +在场景文件Scenario.cs中，可以定义一个变量数组， 采用循环代码进行加载，但这个方法中， 会出现你想加入的合约信息并没有在OpenQuant引入过，代码会报出提示， 如果有这样的情况，你应该先在OpenQuant中手动引入相关的合约信息（过程详见1.5 导入合约信息），场景文件中的相关代码如下： + +``` + public override void Run() + { + + //定义合约 + string[] myInstruments = {"au1712", "rb1801","c1801","m1801","p1801","TA801","i1801","MA801","ru1801", + "hc1801","ni1801","IF1710","IC1710","IH1710","fb1801","jm1801","RM801","ZC801", + "SR801","al1712","ag1712","cu1711","OI801"}; + + + ... ... + + + //引入合约到主策略工程 + foreach (string symbol in myInstruments) + { + Instrument i = InstrumentManager.Get(symbol); //检查合约的信息是否已经在OpenQuant中引入 + if (i == null) + { + Console.Write("【"+symbol+"】该合约信息尚未引入OpenQuant！"); + } + strategy.Instruments.Add(i);//引入合约到主策略工程 + } + + + ... ... + + + //定义主策略中使用的合约的数据源和交易通道 + strategy.DataProvider = ProviderManager.GetDataProvider("QuantBoxCTP"); + strategy.ExecutionProvider = ProviderManager.GetExecutionProvider("QuantBoxCTP"); + + //定义K线类型：时间型K线，barSize秒生成一个Bar + BarFactory.Clear(); + + foreach (string symbol in myInstruments) + { + Instrument i = InstrumentManager.Get(symbol); + BarFactory.Add( i, BarType.Time, barSize); + } + + //定义一个TickBar + BarFactory.Add(InstrumentManager.Get("IF1711"), BarType.Tick,1); + + Initialize(); + + ... ... +``` + + From 7dd04541b5878d456ccddbcf07f57ca6e165ec56 Mon Sep 17 00:00:00 2001 From: OmniStep Date: Mon, 16 Oct 2017 16:42:36 +0800 Subject: [PATCH 140/306] Updates flashorderver_v2.md Auto commit by GitBook Editor --- flashorderver_v2.md | 96 ++++++++++++++++++++++++--------------------- 1 file changed, 51 insertions(+), 45 deletions(-) diff --git a/flashorderver_v2.md b/flashorderver_v2.md index e8e7fb9..bda607c 100644 --- a/flashorderver_v2.md +++ b/flashorderver_v2.md @@ -30,58 +30,64 @@ ... ... ``` -优雅的方法 +## 优雅的方法,使用数组字符串 在场景文件Scenario.cs中，可以定义一个变量数组， 采用循环代码进行加载，但这个方法中， 会出现你想加入的合约信息并没有在OpenQuant引入过，代码会报出提示， 如果有这样的情况，你应该先在OpenQuant中手动引入相关的合约信息（过程详见1.5 导入合约信息），场景文件中的相关代码如下： ``` public override void Run() { - - //定义合约 - string[] myInstruments = {"au1712", "rb1801","c1801","m1801","p1801","TA801","i1801","MA801","ru1801", - "hc1801","ni1801","IF1710","IC1710","IH1710","fb1801","jm1801","RM801","ZC801", - "SR801","al1712","ag1712","cu1711","OI801"}; - - - ... ... - - - //引入合约到主策略工程 - foreach (string symbol in myInstruments) - { - Instrument i = InstrumentManager.Get(symbol); //检查合约的信息是否已经在OpenQuant中引入 - if (i == null) - { - Console.Write("【"+symbol+"】该合约信息尚未引入OpenQuant！"); - } - strategy.Instruments.Add(i);//引入合约到主策略工程 - } - - - ... ... - - - //定义主策略中使用的合约的数据源和交易通道 - strategy.DataProvider = ProviderManager.GetDataProvider("QuantBoxCTP"); - strategy.ExecutionProvider = ProviderManager.GetExecutionProvider("QuantBoxCTP"); - - //定义K线类型：时间型K线，barSize秒生成一个Bar - BarFactory.Clear(); - - foreach (string symbol in myInstruments) - { - Instrument i = InstrumentManager.Get(symbol); - BarFactory.Add( i, BarType.Time, barSize); - } - - //定义一个TickBar - BarFactory.Add(InstrumentManager.Get("IF1711"), BarType.Tick,1); - - Initialize(); - - ... ... + + //定义合约 + string[] myInstruments = {"au1712", "rb1801","c1801","m1801","p1801","TA801","i1801","MA801","ru1801", + "hc1801","ni1801","IF1710","IC1710","IH1710","fb1801","jm1801","RM801","ZC801", + "SR801","al1712","ag1712","cu1711","OI801"}; + + + ... ... + + + //引入合约到主策略工程 + foreach (string symbol in myInstruments) + { + Instrument i = InstrumentManager.Get(symbol); //检查合约的信息是否已经在OpenQuant中引入 + if (i == null) + { + Console.Write("【"+symbol+"】该合约信息尚未引入OpenQuant！"); + } + strategy.Instruments.Add(i);//引入合约到主策略工程 + } + + + ... ... + + + //定义主策略中使用的合约的数据源和交易通道 + strategy.DataProvider = ProviderManager.GetDataProvider("QuantBoxCTP"); + strategy.ExecutionProvider = ProviderManager.GetExecutionProvider("QuantBoxCTP"); + + //定义K线类型：时间型K线，barSize秒生成一个Bar + BarFactory.Clear(); + + foreach (string symbol in myInstruments) + { + Instrument i = InstrumentManager.Get(symbol); + BarFactory.Add( i, BarType.Time, barSize); + } + + //定义一个TickBar + BarFactory.Add(InstrumentManager.Get("IF1711"), BarType.Tick,1); + + Initialize(); + + ... ... ``` + + +## 更好的方式，使用数据库 + +Coming soon + From 87d5f89856b19f64b8bffb1c16753b118426a24f Mon Sep 17 00:00:00 2001 From: OmniStep Date: Mon, 16 Oct 2017 16:43:16 +0800 Subject: [PATCH 141/306] Updates flashorderver_v2.md Auto commit by GitBook Editor --- flashorderver_v2.md | 12 ++++-------- 1 file changed, 4 insertions(+), 8 deletions(-) diff --git a/flashorderver_v2.md b/flashorderver_v2.md index bda607c..9f03dad 100644 --- a/flashorderver_v2.md +++ b/flashorderver_v2.md @@ -4,7 +4,7 @@ 在策略中通道要处理多个合约，根据实际情况我们有简单的方法和优化的方法。 -## 简单的方法 +* ## 最简单的方法 简单的方法就是在场景文件Scenario.cs中，直接定义新的合约变量，复制相关代码即可， 主策略代码不用改变，策略运行时，你会发现一个合约就是策略的一个实例，它们都在并行的运行。 @@ -30,7 +30,7 @@ ... ... ``` -## 优雅的方法,使用数组字符串 +* ## 优雅的方法,使用数组字符串 在场景文件Scenario.cs中，可以定义一个变量数组， 采用循环代码进行加载，但这个方法中， 会出现你想加入的合约信息并没有在OpenQuant引入过，代码会报出提示， 如果有这样的情况，你应该先在OpenQuant中手动引入相关的合约信息（过程详见1.5 导入合约信息），场景文件中的相关代码如下： @@ -83,11 +83,7 @@ ... ... ``` +* ## 更好的方式，使用数据库 - - - -## 更好的方式，使用数据库 - -Coming soon +Coming soon... ... From 50fe0f518b635266fa8b75b0c1ab57001152633e Mon Sep 17 00:00:00 2001 From: OmniStep Date: Mon, 16 Oct 2017 17:59:46 +0800 Subject: [PATCH 142/306] Updates flashorderver_v2.md Auto commit by GitBook Editor --- flashorderver_v2.md | 4 ++-- 1 file changed, 2 insertions(+), 2 deletions(-) diff --git a/flashorderver_v2.md b/flashorderver_v2.md index 9f03dad..e81dd3d 100644 --- a/flashorderver_v2.md +++ b/flashorderver_v2.md @@ -2,7 +2,7 @@ --- -在策略中通道要处理多个合约，根据实际情况我们有简单的方法和优化的方法。 +通常我们需要相同的策略同时处理多个合约，根据实际情况，我们选择几种方法来管理多个合约的信息。 * ## 最简单的方法 @@ -85,5 +85,5 @@ * ## 更好的方式，使用数据库 -Coming soon... ... +Coming soon... ... From dc8e6ed6963256ed6db1c12bcf6355606a437fb5 Mon Sep 17 00:00:00 2001 From: OmniStep Date: Mon, 16 Oct 2017 22:57:34 +0800 Subject: [PATCH 143/306] Creates a-basic-strategy.md Auto commit by GitBook Editor --- 8_a-basic-strategy.md | 0 SUMMARY.md | 1 + a-basic-strategy.md | 0 3 files changed, 1 insertion(+) create mode 100644 8_a-basic-strategy.md create mode 100644 a-basic-strategy.md diff --git a/8_a-basic-strategy.md b/8_a-basic-strategy.md new file mode 100644 index 0000000..e69de29 diff --git a/SUMMARY.md b/SUMMARY.md index d289642..95f28c3 100644 --- a/SUMMARY.md +++ b/SUMMARY.md @@ -22,4 +22,5 @@ * [7.3 FlashOrder的代码 v1](flashorderver_v1.md) * [7.4 将交易记录存入MySQL](log-order-information-using-mysql-db.md) * [7.5 同时处理多个合约 FlashOrder v2](flashorderver_v2.md) +* [8.一个基础的策略](8_a-basic-strategy.md) diff --git a/a-basic-strategy.md b/a-basic-strategy.md new file mode 100644 index 0000000..e69de29 From a73be2385f94a891de14e501dabbbc2a6407d9ef Mon Sep 17 00:00:00 2001 From: OmniStep Date: Tue, 17 Oct 2017 14:09:54 +0800 Subject: [PATCH 144/306] Updates 8_a-basic-strategy.md Auto commit by GitBook Editor --- 8_a-basic-strategy.md | 8 ++++++++ flashorderver_v2.md | 18 ++++++++++++++++++ 2 files changed, 26 insertions(+) diff --git a/8_a-basic-strategy.md b/8_a-basic-strategy.md index e69de29..c06f86b 100644 --- a/8_a-basic-strategy.md +++ b/8_a-basic-strategy.md @@ -0,0 +1,8 @@ +# 一个基础策略:三均线信号 + +--- + + + + + diff --git a/flashorderver_v2.md b/flashorderver_v2.md index e81dd3d..f32b3b2 100644 --- a/flashorderver_v2.md +++ b/flashorderver_v2.md @@ -87,3 +87,21 @@ Coming soon... ... + + + + + + + + + + + + + + + + + + From 635575509e45abafbb7f6db86198a1c48c31052f Mon Sep 17 00:00:00 2001 From: OmniStep Date: Tue, 17 Oct 2017 14:42:13 +0800 Subject: [PATCH 145/306] Updates place-an-order.md Auto commit by GitBook Editor --- 8_a-basic-strategy.md | 12 ++++++++++++ README.md | 10 +--------- assets/RenameYourSolutions.png | Bin 0 -> 64182 bytes place-an-order.md | 6 ++++++ 4 files changed, 19 insertions(+), 9 deletions(-) create mode 100644 assets/RenameYourSolutions.png diff --git a/8_a-basic-strategy.md b/8_a-basic-strategy.md index c06f86b..0ed7e67 100644 --- a/8_a-basic-strategy.md +++ b/8_a-basic-strategy.md @@ -2,6 +2,18 @@ --- +## 从基础代码生成新的OpenQuant策略代码（Solutions） + +通常C\#语言开发过程中，我们会从一个我们已经开发的基础应用解决方案\(Solutions\)，形成一个新的程序（解决方案）。这时，我们可以先把原有的Solutions代码目录，完整的复制一份并把目录名定义为未来新的名字，然后用Visual Studio打开，在解决方案资源管理器中，进行重命名操作。 + +![](/assets/RenameYourSolutions.png) + +在Visual Studio中，可以方便地对，Solutions，Project，类库等等代码文件方便地进行重命名。 + +![](/icons/icon_labtubeBlue.ico)现在我们以FlashOrder为基础，形成一个新的策略LinesCrossover，开始尝试开发一个真正的交易策略。 + + + diff --git a/README.md b/README.md index 9d0a309..12374e3 100644 --- a/README.md +++ b/README.md @@ -1,14 +1,6 @@ # OpenQuantCoding -My notebook for building an OpenQuant Trading System step by step. ver. 0090 - - - - - - - - +My notebook for building an OpenQuant Trading System step by step. ver. 0115 --- diff --git 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z3@)E~hI+2_*z{u-MOazm@3w^CA}GaHkhb$p-JcBGj_XhHScVW%#KWOQlP+L-Nb&VvB$N1LWM90* z=ALG`KC#Y1S)&!Rct8GJb~c4MY%|^Qou^ZsOSAsz)i-}H1a6$v_goHA9fYd7)VR$x z1&8-%6lkR3AEphp@#mQH{J#@wh^Q-D>I?ye5R|>NSTb(&BcoDLlo3Y8S>Bn_O8i$E z07S)9wjzM7M$NNeI(KwD!*9-4(TL_4*8Y{+MJbx;(<$ptUA#bV zvWo0ej~lP#F_%Q=hT8gQYKfpWsQw;%y80Lr8;42>^eV-E02f&XjrVSP-#o`jTlK0tP2TYT z7jIYnTjG~|V>^F`{$Ml}D+Dwc`tTA^x6)nm{x^uB;YAr)Nq+v!M%!!2<8j*Y$r5a^ z#Ps)5k}@QwlIsV!4MGC%*#FW|QtL>CzL30t%b>Nky>Wt;uZ;iB{{sG`kNJ@vHZJ}# z3&Y&N91uH%5u1PGV)1>+(TD%F6%!;P&4ISQApL8H9UaUS&s6W2_V0I==tO;>O;HyF zf@2{&JVDSV;C;;yFPzdpk)B zAlM1kRd%+;dK)@XB)x3jrEJOmi>yf6Y*SA6!gO!_+1(FCr_|t75As> Date: Tue, 17 Oct 2017 14:54:40 +0800 Subject: [PATCH 146/306] Updates 8_a-basic-strategy.md Auto commit by GitBook Editor --- 8_a-basic-strategy.md | 9 +++++---- 1 file changed, 5 insertions(+), 4 deletions(-) diff --git a/8_a-basic-strategy.md b/8_a-basic-strategy.md index 0ed7e67..9fb3fa9 100644 --- a/8_a-basic-strategy.md +++ b/8_a-basic-strategy.md @@ -10,11 +10,12 @@ 在Visual Studio中，可以方便地对，Solutions，Project，类库等等代码文件方便地进行重命名。 -![](/icons/icon_labtubeBlue.ico)现在我们以FlashOrder为基础，形成一个新的策略LinesCrossover，开始尝试开发一个真正的交易策略。 - - - +![](/icons/icon_labtubeBlue.ico)现在我们以FlashOrder为基础，形成一个新的策略LinesCrossover，开始尝试开发一个真正的交易策略。注意修改主策略代码中的日志标识，以便在未来交易日志中区分新的策略命名和原有的策略命名。 +``` + //定义策略名字 StrategyName，将被记录在日志中 + String StrategyName="FlashOrder要改成LinesCrossover"; +``` From 5e33401c061ffd0633760c10fdbc17988af17a76 Mon Sep 17 00:00:00 2001 From: OmniStep Date: Tue, 17 Oct 2017 14:59:52 +0800 Subject: [PATCH 147/306] Creates 81linescrossover-strategy.md Auto commit by GitBook Editor --- 81linescrossover-strategy.md | 0 SUMMARY.md | 3 +++ 2 files changed, 3 insertions(+) create mode 100644 81linescrossover-strategy.md diff --git a/81linescrossover-strategy.md b/81linescrossover-strategy.md new file mode 100644 index 0000000..e69de29 diff --git a/SUMMARY.md b/SUMMARY.md index 95f28c3..ddbc9d8 100644 --- a/SUMMARY.md +++ b/SUMMARY.md @@ -23,4 +23,7 @@ * [7.4 将交易记录存入MySQL](log-order-information-using-mysql-db.md) * [7.5 同时处理多个合约 FlashOrder v2](flashorderver_v2.md) * [8.一个基础的策略](8_a-basic-strategy.md) + * [8.1\_LinesCrossover Strategy](81linescrossover-strategy.md) + + From e8f72f57c443a73654010e44025afb216d73540e Mon Sep 17 00:00:00 2001 From: OmniStep Date: Thu, 19 Oct 2017 13:22:54 +0800 Subject: [PATCH 148/306] Updates code-an-openquant-helloworld.md Auto commit by GitBook Editor --- code-an-openquant-helloworld.md | 6 +++--- 1 file changed, 3 insertions(+), 3 deletions(-) diff --git a/code-an-openquant-helloworld.md b/code-an-openquant-helloworld.md index befd084..4240324 100644 --- a/code-an-openquant-helloworld.md +++ b/code-an-openquant-helloworld.md @@ -162,7 +162,7 @@ namespace OpenQuant 1. ### 引入MyStrategy工程类 -在接入实盘收行情时，我们会将解决方案中的Realtime作为启动工程，在这个工程中将实例化一个主逻辑MyStrategy类，为此，我们先要在Realtime工程中，引入MyStrategy工程类。正如OpenQuant生成的Backtest中已经引入了Mystrategy工程类一样。 +在接入实盘收行情时，我们会将解决方案中的Realtime作为启动工程，在这个工程中将实例化一个主逻辑MyStrategy类，**为此，我们先要在Realtime工程中，引入MyStrategy工程类。**正如OpenQuant生成的Backtest中已经引入了Mystrategy工程类一样。 ![](/icons/icon_labtubeBlue.ico)在OpenQuant的Solution Explorer中的Realtime工程的References中，鼠标右键Add，选择Solution后，选择添加MyStrategy工程。 @@ -202,8 +202,8 @@ namespace OpenQuant strategy.AddInstrument(instrument1); //定义主策略中使用的合约的数据源和交易通道 - strategy.DataProvider = ProviderManager.GetDataProvider("A99CTP"); - strategy.ExecutionProvider = ProviderManager.GetExecutionProvider("A99CTP"); + strategy.DataProvider = ProviderManager.GetDataProvider("QuantBoxCTP"); + strategy.ExecutionProvider = ProviderManager.GetExecutionProvider("QuantBoxCTP"); //定义K线类型：时间型K线，barSize秒生成一个Bar BarFactory.Clear(); From 9579bdd28ae7ea754d5699a4a2bd22ea83adf8ec Mon Sep 17 00:00:00 2001 From: OmniStep Date: Mon, 23 Oct 2017 13:33:55 +0800 Subject: [PATCH 149/306] Creates 81_linescrossover-strategy.md Auto commit by GitBook Editor --- ...escrossover-strategy.md => 81_linescrossover-strategy.md | 0 82_using-drawing-pad.md | 1 + 8_a-basic-strategy.md | 2 +- SUMMARY.md | 6 ++---- place-an-order.md | 4 ---- 5 files changed, 4 insertions(+), 9 deletions(-) rename 81linescrossover-strategy.md => 81_linescrossover-strategy.md (100%) create mode 100644 82_using-drawing-pad.md diff --git a/81linescrossover-strategy.md b/81_linescrossover-strategy.md similarity index 100% rename from 81linescrossover-strategy.md rename to 81_linescrossover-strategy.md diff --git a/82_using-drawing-pad.md b/82_using-drawing-pad.md new file mode 100644 index 0000000..65f5bb0 --- /dev/null +++ b/82_using-drawing-pad.md @@ -0,0 +1 @@ +ss \ No newline at end of file diff --git a/8_a-basic-strategy.md b/8_a-basic-strategy.md index 9fb3fa9..a118ef7 100644 --- a/8_a-basic-strategy.md +++ b/8_a-basic-strategy.md @@ -1,4 +1,4 @@ -# 一个基础策略:三均线信号 +# 一个基础策略:三均线系统 --- diff --git a/SUMMARY.md b/SUMMARY.md index ddbc9d8..385bef7 100644 --- a/SUMMARY.md +++ b/SUMMARY.md @@ -23,7 +23,5 @@ * [7.4 将交易记录存入MySQL](log-order-information-using-mysql-db.md) * [7.5 同时处理多个合约 FlashOrder v2](flashorderver_v2.md) * [8.一个基础的策略](8_a-basic-strategy.md) - * [8.1\_LinesCrossover Strategy](81linescrossover-strategy.md) - - - + * [8.1\_LinesCrossover Strategy](81_linescrossover-strategy.md) + * [8.2\_使用OpenQuant的画图功能](82_using-drawing-pad.md) diff --git a/place-an-order.md b/place-an-order.md index 9d9a80b..5e9e5dc 100644 --- a/place-an-order.md +++ b/place-an-order.md @@ -12,12 +12,8 @@ 我们把这个交易策略命名为FlashOrder - - ![](/icons/icon_labtubeBlue.ico)使用OpenQuant系统建立一个新的策略，并命名为FlashOrder - - ## 7.2 FlashOrder的策略逻辑 {#typeoforder} 这里的逻辑仅仅是为了使用让OpenQuant高速地发出开仓及平仓单，进行交易功能的验证。 From 1f7efebd100152df1663a3063ba012e7cb63762a Mon Sep 17 00:00:00 2001 From: OmniStep Date: Mon, 23 Oct 2017 13:43:03 +0800 Subject: [PATCH 150/306] Updates 82_using-drawing-pad.md Auto commit by GitBook Editor --- 82_using-drawing-pad.md | 9 ++++++++- 1 file changed, 8 insertions(+), 1 deletion(-) diff --git a/82_using-drawing-pad.md b/82_using-drawing-pad.md index 65f5bb0..78faa2e 100644 --- a/82_using-drawing-pad.md +++ b/82_using-drawing-pad.md @@ -1 +1,8 @@ -ss \ No newline at end of file +# 7.5 使用OpenQuant的画图功能 + +--- +在使用OpenQuant系统时， 我们通常要吧行情数据、指标数据、交易执行信息等在图中展示出来。现在先从画K线和均线开始 + + +## K线和均线 + From 1410734b588b5b18da0394addc58bd4df75af95e Mon Sep 17 00:00:00 2001 From: OmniStep Date: Mon, 23 Oct 2017 14:21:33 +0800 Subject: [PATCH 151/306] Updates 82_using-drawing-pad.md Auto commit by GitBook Editor --- 82_using-drawing-pad.md | 137 +++++++++++++++++++++++++++++++++++++++- 1 file changed, 135 insertions(+), 2 deletions(-) diff --git a/82_using-drawing-pad.md b/82_using-drawing-pad.md index 78faa2e..ded0068 100644 --- a/82_using-drawing-pad.md +++ b/82_using-drawing-pad.md @@ -1,8 +1,141 @@ # 7.5 使用OpenQuant的画图功能 --- -在使用OpenQuant系统时， 我们通常要吧行情数据、指标数据、交易执行信息等在图中展示出来。现在先从画K线和均线开始 +在使用OpenQuant系统时， 我们通常要吧行情数据、指标数据、交易执行信息等在图中展示出来。OpenQuant系统菜单中打开view-chart, 或者view-chart\(gapless\)就可以看到OpenQuant的绘图板。Chart（gapless）是不考虑无数据时间的情况，例如盘后时间，或盘中休息、暂停交易等情况，绘制的是全连续的行情数据图形。 + +现在我们先绘制从画K线和均线开始。 ## K线和均线 - + +在场景文件中，先定义行情数据的K线属性，什么合约、什么周期，什么K线类型等等， OpenQuant不仅支持价格K线，同时也支持交易量K线，涨跌幅K线，Tick型K线等等其他类型。我们以时间型K线为例，场景scenario.cs代码为： + +``` +using System; + +using SmartQuant; + +namespace OpenQuant +{ + public partial class Backtest : Scenario + { + + //定义K线时间周期为barSize秒 + private long secBarSize =3; + private long min1BarSize=60; + + + public Backtest(Framework framework) + : base(framework) + { + } + + public override void Run() + { + + //定义要引入的合约名字 + Instrument instrument1 = InstrumentManager.Instruments["i1801"]; + + + strategy = new MyStrategy(framework, "Backtest"); + + + //引入合约 + strategy.AddInstrument(instrument1); + + //定义数据回测的起止日期 + DataSimulator.SubscribeBar = false; + DataSimulator.DateTime1 = new DateTime(2017, 10, 13); + DataSimulator.DateTime2 = new DateTime(2017, 10, 15); // data from 09-01 to 09-30 + + //定义一个时间类型的K线 + BarFactory.Clear(); + BarFactory.Add(instrument1, BarType.Time, secBarSize); + + BarFactory.Add(instrument1, BarType.Time, min1BarSize); + + Initialize(); + + StartStrategy(); + } + } +} + +``` + +然后在主策略文件中的定义画布的参数和绘制，MyStrategy.cs的代码片段如下： + +``` + ... ... + public class MyStrategy : InstrumentStrategy + { + //定义策略名字 StrategyName，将被记录在日志中 + String StrategyName="LinesCrossover"; + + //定义SMA对象 + private SMA sma1; + private SMA sma2; + private SMA sma3; + + public int sma1Length = 20; + public int sma2Length = 60; + public int sma3Length = 80; + + ... + + + + protected override void OnStrategyStart() + { + // Set up indicators. + sma1 = new SMA(Bars, sma1Length); + sma2 = new SMA(Bars, sma2Length); + sma3 = new SMA(Bars, sma3Length); + + + //定义K线的画布，编码0号 + //颜色变量-------------------------------------------- + //Azure:天蓝色; Aquamarine:蓝晶色; Bisque:浓汤; + //Beige:米色; BlanchedAlmond:杏仁白;BlueViolet:蓝紫; + + Group("myK_Chart", "Pad", 0); + Group("myK_Chart", "CandleWhiteColor", Color.Red); + Group("myK_Chart", "CandleBlackColor", Color.Lime); + Group("Fills", "Pad", 0); + + + Group("SMA1", "Pad", 0); + Group("SMA1", "Color", Color.DodgerBlue); + + Group("SMA2", "Pad", 0); + Group("SMA2","Width",2); + Group("SMA2", "Color", Color.Red); + + Group("SMA3", "Pad", 0); + Group("SMA3","Width",2); + Group("SMA3", "Color", Color.DarkRed); + + //定义指标的画布，编码1、2号 + Group("IndicatorCross", "Pad", 1); + Group("IndicatorCross","Width",2); + Group("IndicatorCross", "Color", Color.DarkOrange); + + Group("IndicatorTrend", "Pad", 2); + Group("IndicatorTrend","Width",2); + Group("IndicatorTrend", "Color", Color.DodgerBlue); + + + + //定义权益曲线的画布，编码3号 + Group("Equity", "Pad", 3); + + Group("minK_Chart", "Pad", 4); + Group("minK_Chart", "CandleWhiteColor", Color.Red); + Group("minK_Chart", "CandleBlackColor", Color.Lime); + } + + +``` + + + From 9dd3a3c51462b808a82a183edeeb82ca6d16ecba Mon Sep 17 00:00:00 2001 From: OmniStep Date: Mon, 23 Oct 2017 14:31:45 +0800 Subject: [PATCH 152/306] Updates 82_using-drawing-pad.md Auto commit by GitBook Editor --- 82_using-drawing-pad.md | 237 ++++++++++++++++++++--------------- assets/UsingDrawingPad01.png | Bin 0 -> 82141 bytes 2 files changed, 137 insertions(+), 100 deletions(-) create mode 100644 assets/UsingDrawingPad01.png diff --git a/82_using-drawing-pad.md b/82_using-drawing-pad.md index ded0068..8ae4586 100644 --- a/82_using-drawing-pad.md +++ b/82_using-drawing-pad.md @@ -1,4 +1,4 @@ -# 7.5 使用OpenQuant的画图功能 +# 8.2 使用OpenQuant的画图功能 --- @@ -19,12 +19,12 @@ namespace OpenQuant { public partial class Backtest : Scenario { - - //定义K线时间周期为barSize秒 - private long secBarSize =3; - private long min1BarSize=60; - - + + //定义K线时间周期为barSize秒 + private long secBarSize =3; + private long min1BarSize=60; + + public Backtest(Framework framework) : base(framework) { @@ -32,110 +32,147 @@ namespace OpenQuant public override void Run() { - - //定义要引入的合约名字 - Instrument instrument1 = InstrumentManager.Instruments["i1801"]; - - + + //定义要引入的合约名字 + Instrument instrument1 = InstrumentManager.Instruments["i1801"]; + + strategy = new MyStrategy(framework, "Backtest"); - - - //引入合约 - strategy.AddInstrument(instrument1); - - //定义数据回测的起止日期 - DataSimulator.SubscribeBar = false; - DataSimulator.DateTime1 = new DateTime(2017, 10, 13); - DataSimulator.DateTime2 = new DateTime(2017, 10, 15); // data from 09-01 to 09-30 - - //定义一个时间类型的K线 - BarFactory.Clear(); - BarFactory.Add(instrument1, BarType.Time, secBarSize); - - BarFactory.Add(instrument1, BarType.Time, min1BarSize); - - Initialize(); - + + + //引入合约 + strategy.AddInstrument(instrument1); + + //定义数据回测的起止日期 + DataSimulator.SubscribeBar = false; + DataSimulator.DateTime1 = new DateTime(2017, 10, 13); + DataSimulator.DateTime2 = new DateTime(2017, 10, 15); // data from 09-01 to 09-30 + + //定义一个时间类型的K线 + BarFactory.Clear(); + BarFactory.Add(instrument1, BarType.Time, secBarSize); + + BarFactory.Add(instrument1, BarType.Time, min1BarSize); + + Initialize(); + StartStrategy(); } } } - ``` 然后在主策略文件中的定义画布的参数和绘制，MyStrategy.cs的代码片段如下： ``` - ... ... - public class MyStrategy : InstrumentStrategy - { - //定义策略名字 StrategyName，将被记录在日志中 - String StrategyName="LinesCrossover"; - - //定义SMA对象 - private SMA sma1; - private SMA sma2; - private SMA sma3; - - public int sma1Length = 20; - public int sma2Length = 60; - public int sma3Length = 80; - - ... - - - - protected override void OnStrategyStart() - { - // Set up indicators. - sma1 = new SMA(Bars, sma1Length); - sma2 = new SMA(Bars, sma2Length); - sma3 = new SMA(Bars, sma3Length); - - - //定义K线的画布，编码0号 - //颜色变量-------------------------------------------- - //Azure:天蓝色; Aquamarine:蓝晶色; Bisque:浓汤; - //Beige:米色; BlanchedAlmond:杏仁白;BlueViolet:蓝紫; - - Group("myK_Chart", "Pad", 0); - Group("myK_Chart", "CandleWhiteColor", Color.Red); - Group("myK_Chart", "CandleBlackColor", Color.Lime); - Group("Fills", "Pad", 0); - - - Group("SMA1", "Pad", 0); - Group("SMA1", "Color", Color.DodgerBlue); - - Group("SMA2", "Pad", 0); - Group("SMA2","Width",2); - Group("SMA2", "Color", Color.Red); - - Group("SMA3", "Pad", 0); - Group("SMA3","Width",2); - Group("SMA3", "Color", Color.DarkRed); - - //定义指标的画布，编码1、2号 - Group("IndicatorCross", "Pad", 1); - Group("IndicatorCross","Width",2); - Group("IndicatorCross", "Color", Color.DarkOrange); - - Group("IndicatorTrend", "Pad", 2); - Group("IndicatorTrend","Width",2); - Group("IndicatorTrend", "Color", Color.DodgerBlue); - - - - //定义权益曲线的画布，编码3号 - Group("Equity", "Pad", 3); - - Group("minK_Chart", "Pad", 4); - Group("minK_Chart", "CandleWhiteColor", Color.Red); - Group("minK_Chart", "CandleBlackColor", Color.Lime); - } - - + ... ... + public class MyStrategy : InstrumentStrategy + { + //定义策略名字 StrategyName，将被记录在日志中 + String StrategyName="LinesCrossover"; + + //定义SMA对象 + private SMA sma1; + private SMA sma2; + private SMA sma3; + + public int sma1Length = 20; + public int sma2Length = 60; + public int sma3Length = 80; + + ... + + + + protected override void OnStrategyStart() + { + // Set up indicators. + sma1 = new SMA(Bars, sma1Length); + sma2 = new SMA(Bars, sma2Length); + sma3 = new SMA(Bars, sma3Length); + + + //定义K线的画布，编码0号 + //颜色变量-------------------------------------------- + //Azure:天蓝色; Aquamarine:蓝晶色; Bisque:浓汤; + //Beige:米色; BlanchedAlmond:杏仁白;BlueViolet:蓝紫; + + Group("myK_Chart", "Pad", 0); + Group("myK_Chart", "CandleWhiteColor", Color.Red); + Group("myK_Chart", "CandleBlackColor", Color.Lime); + Group("Fills", "Pad", 0); + + + Group("SMA1", "Pad", 0); + Group("SMA1", "Color", Color.DodgerBlue); + + Group("SMA2", "Pad", 0); + Group("SMA2","Width",2); + Group("SMA2", "Color", Color.Red); + + Group("SMA3", "Pad", 0); + Group("SMA3","Width",2); + Group("SMA3", "Color", Color.DarkRed); + + //定义指标的画布，编码1、2号 + Group("IndicatorCross", "Pad", 1); + Group("IndicatorCross","Width",2); + Group("IndicatorCross", "Color", Color.DarkOrange); + + Group("IndicatorTrend", "Pad", 2); + Group("IndicatorTrend","Width",2); + Group("IndicatorTrend", "Color", Color.DodgerBlue); + + + + //定义权益曲线的画布，编码3号 + Group("Equity", "Pad", 3); + + //定义分钟K线，使用编码4的画布 + Group("minK_Chart", "Pad", 4); + Group("minK_Chart", "CandleWhiteColor", Color.Red); + Group("minK_Chart", "CandleBlackColor", Color.Lime); + } +``` + +在OnBar事件发生时，我们绘制K线和三条不同周期的均线 ,代码片段如下： + +``` + protected override void OnBar(Instrument instrument, Bar bar) + { + + //当Bar形成时，增加bar数据到K线序列 + Bars.Add(bar); + + //在Bars画布上画出K线 + Log(bar, "myK_Chart"); + + + // Log sma. + Log(sma1.Last, "SMA1"); + Log(sma2.Last, "SMA2"); + Log(sma3.Last, "SMA3"); + + // Calculate performance. + Portfolio.Performance.Update(); + // 在画布上绘制权益曲线 + Log(Portfolio.Value, "Equity"); + + ... ... + (... 略去一段指标计算代码，结果是计算indicatorCross数值) + + //绘制指标indicatorCross + Log(indicatorCross, "IndicatorCross"); + + (... 略去一段指标计算代码，结果是计算indicatorTrend数值) + + //绘制指标indicatorTrend + Log(indicatorTrend, "IndicatorTrend"); + + ... 其他逻辑 ``` +这样我们绘制的图像如下： +![](/assets/UsingDrawingPad01.png) diff --git 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z^G7`K$NDlod48aQgzKf~2=kA!jTh*MJ}wMmT5YE5sO`3?#J-A3vE%mKv$FPd$?@X& z7L2gR3+8&eVV&8}odNyqyH6sJz<#4VwPJKSB6b?Z7@pVK(buz3=wvF9&XS>6F7G*2 zs8JMypDiTDbWXqL_Q&t2Zd0_(a*j01a&bT!aG09O1x!%6AIw1m@T21{On#S zU6@f!Rr~S4vxdMvtyYz00_f3qAorO=I~A7txdfD2pBkBGj0HbB+gbda(7&kLINfO3 zrI`rMG}WpW;T9YFDglo^N&cb%TW~Z&%}X_3Zo`_Qk2@nOzMQ%fn9L@ZuojOsE)aLn>>A8go z9td!2&iu9{$W2UKqI@MtHQyB@mr={NJQS$f9AXI-DBF)jE;B~-Dc5D?&BZne#w}O5;O1X!*7p(kwlel@pV&V(m z^|$t}4kG;j;v5tu#~LiVUm@o=+D?OmVe4WCf8mzjJ=K_h24Zet6a;GCzkwetTqKB5 zv>ojy-MPPjkr{|lvLOBTpCJ!?B`9?lfKvA#e+!3LK&Zi~?FF zy&+rK=j5M&CJBFwm{>TxnBFknOi%vd?3L?omEItO`w!=pdt-S6zen?b_{lM2FNcA# z>#iD{`TM0}(|`eL&%l4mG=H1cbTEo%HU2jLF=I=x%QIM5Slo(NWbR_7Mf((T$aa1d kO7q7*{Wca(>8X7LIgJoUI8_Y_oQI_-uX5$HtiH$p08&y!EC2ui literal 0 HcmV?d00001 From d1351e1992a83dcf699904cd72760c480acb6bbb Mon Sep 17 00:00:00 2001 From: OmniStep Date: Mon, 23 Oct 2017 14:34:44 +0800 Subject: [PATCH 153/306] Updates 81_linescrossover-strategy.md Auto commit by GitBook Editor --- 81_linescrossover-strategy.md | 6 ++++++ 82_using-drawing-pad.md | 2 +- SUMMARY.md | 5 +++-- 3 files changed, 10 insertions(+), 3 deletions(-) diff --git a/81_linescrossover-strategy.md b/81_linescrossover-strategy.md index e69de29..9445ad0 100644 --- a/81_linescrossover-strategy.md +++ b/81_linescrossover-strategy.md @@ -0,0 +1,6 @@ +# 8.1 三均线穿越系统 + +--- + + + diff --git a/82_using-drawing-pad.md b/82_using-drawing-pad.md index 8ae4586..15556ff 100644 --- a/82_using-drawing-pad.md +++ b/82_using-drawing-pad.md @@ -6,7 +6,7 @@ 现在我们先绘制从画K线和均线开始。 -## K线和均线 +## 绘制K线和均线并分区域绘制个性化指标数据 在场景文件中，先定义行情数据的K线属性，什么合约、什么周期，什么K线类型等等， OpenQuant不仅支持价格K线，同时也支持交易量K线，涨跌幅K线，Tick型K线等等其他类型。我们以时间型K线为例，场景scenario.cs代码为： diff --git a/SUMMARY.md b/SUMMARY.md index 385bef7..d314d4d 100644 --- a/SUMMARY.md +++ b/SUMMARY.md @@ -23,5 +23,6 @@ * [7.4 将交易记录存入MySQL](log-order-information-using-mysql-db.md) * [7.5 同时处理多个合约 FlashOrder v2](flashorderver_v2.md) * [8.一个基础的策略](8_a-basic-strategy.md) - * [8.1\_LinesCrossover Strategy](81_linescrossover-strategy.md) - * [8.2\_使用OpenQuant的画图功能](82_using-drawing-pad.md) + * [8.1 三均线穿越系统](81_linescrossover-strategy.md) + * [8.2 使用OpenQuant的画图功能](82_using-drawing-pad.md) + From fea8091b8c5a62be71d95fa3152786a19c144187 Mon Sep 17 00:00:00 2001 From: OmniStep Date: Mon, 23 Oct 2017 14:37:39 +0800 Subject: [PATCH 154/306] Updates 8_a-basic-strategy.md Auto commit by GitBook Editor --- 81_linescrossover-strategy.md | 2 +- 82_using-drawing-pad.md | 4 ++++ 8_a-basic-strategy.md | 4 ++-- 3 files changed, 7 insertions(+), 3 deletions(-) diff --git a/81_linescrossover-strategy.md b/81_linescrossover-strategy.md index 9445ad0..6f423d2 100644 --- a/81_linescrossover-strategy.md +++ b/81_linescrossover-strategy.md @@ -2,5 +2,5 @@ --- - +Coming soon... diff --git a/82_using-drawing-pad.md b/82_using-drawing-pad.md index 15556ff..ce8d261 100644 --- a/82_using-drawing-pad.md +++ b/82_using-drawing-pad.md @@ -176,3 +176,7 @@ namespace OpenQuant ![](/assets/UsingDrawingPad01.png) +上述完整LinesCrossover代码可以从如下地址获得： + +![](/icons/icon_book.png) [https://github.com/omnistep/](https://github.com/omnistep/OpenQuantHelloWorld)LinesCrossover 获得。 + diff --git a/8_a-basic-strategy.md b/8_a-basic-strategy.md index a118ef7..b2a5e80 100644 --- a/8_a-basic-strategy.md +++ b/8_a-basic-strategy.md @@ -13,8 +13,8 @@ ![](/icons/icon_labtubeBlue.ico)现在我们以FlashOrder为基础，形成一个新的策略LinesCrossover，开始尝试开发一个真正的交易策略。注意修改主策略代码中的日志标识，以便在未来交易日志中区分新的策略命名和原有的策略命名。 ``` - //定义策略名字 StrategyName，将被记录在日志中 - String StrategyName="FlashOrder要改成LinesCrossover"; + //定义策略名字 StrategyName，将被记录在日志中 + String StrategyName="FlashOrder要改成LinesCrossover"; ``` From b0dae60d3042382aa52351a4a6ee03b60f683fc3 Mon Sep 17 00:00:00 2001 From: OmniStep Date: Mon, 23 Oct 2017 14:56:12 +0800 Subject: [PATCH 155/306] Updates SUMMARY.md Auto commit by GitBook Editor --- ...inescrossover-strategy.md => 81-linescrossover-strategy.md | 0 82_using-drawing-pad.md => 82-using-drawing-pad.md | 0 SUMMARY.md | 4 ++-- 3 files changed, 2 insertions(+), 2 deletions(-) rename 81_linescrossover-strategy.md => 81-linescrossover-strategy.md (100%) rename 82_using-drawing-pad.md => 82-using-drawing-pad.md (100%) diff --git a/81_linescrossover-strategy.md b/81-linescrossover-strategy.md similarity index 100% rename from 81_linescrossover-strategy.md rename to 81-linescrossover-strategy.md diff --git a/82_using-drawing-pad.md b/82-using-drawing-pad.md similarity index 100% rename from 82_using-drawing-pad.md rename to 82-using-drawing-pad.md diff --git a/SUMMARY.md b/SUMMARY.md index d314d4d..bf2de9b 100644 --- a/SUMMARY.md +++ b/SUMMARY.md @@ -23,6 +23,6 @@ * [7.4 将交易记录存入MySQL](log-order-information-using-mysql-db.md) * [7.5 同时处理多个合约 FlashOrder v2](flashorderver_v2.md) * [8.一个基础的策略](8_a-basic-strategy.md) - * [8.1 三均线穿越系统](81_linescrossover-strategy.md) - * [8.2 使用OpenQuant的画图功能](82_using-drawing-pad.md) + * [8.1 三均线穿越系统](81-linescrossover-strategy.md) + * [8.2 使用OpenQuant的画图功能](82-using-drawing-pad.md) From b4b54e21b10d8cf8de4914bee22279078d51658f Mon Sep 17 00:00:00 2001 From: OmniStep Date: Mon, 23 Oct 2017 20:06:46 +0800 Subject: [PATCH 156/306] Updates 82-using-drawing-pad.md Auto commit by GitBook Editor --- 82-using-drawing-pad.md | 3 +++ 1 file changed, 3 insertions(+) diff --git a/82-using-drawing-pad.md b/82-using-drawing-pad.md index ce8d261..6ef25c5 100644 --- a/82-using-drawing-pad.md +++ b/82-using-drawing-pad.md @@ -149,6 +149,9 @@ namespace OpenQuant // Log sma. + if (sma1.Count == 0 || sma2.Count == 0 || sma3.Count == 0) + return; + Log(sma1.Last, "SMA1"); Log(sma2.Last, "SMA2"); Log(sma3.Last, "SMA3"); From bd8e7cb8d3628d1627b1ff16e0cfdf0a1c2f4890 Mon Sep 17 00:00:00 2001 From: OmniStep Date: Mon, 23 Oct 2017 20:09:35 +0800 Subject: [PATCH 157/306] Updates 82-using-drawing-pad.md Auto commit by GitBook Editor --- 82-using-drawing-pad.md | 20 +++++++++++--------- 1 file changed, 11 insertions(+), 9 deletions(-) diff --git a/82-using-drawing-pad.md b/82-using-drawing-pad.md index 6ef25c5..12f0542 100644 --- a/82-using-drawing-pad.md +++ b/82-using-drawing-pad.md @@ -147,15 +147,6 @@ namespace OpenQuant //在Bars画布上画出K线 Log(bar, "myK_Chart"); - - // Log sma. - if (sma1.Count == 0 || sma2.Count == 0 || sma3.Count == 0) - return; - - Log(sma1.Last, "SMA1"); - Log(sma2.Last, "SMA2"); - Log(sma3.Last, "SMA3"); - // Calculate performance. Portfolio.Performance.Update(); // 在画布上绘制权益曲线 @@ -173,6 +164,17 @@ namespace OpenQuant Log(indicatorTrend, "IndicatorTrend"); ... 其他逻辑 + + // Log sma.在画布上画出三条均线，如果尚未产生SMA数据时，跳出事件过程，不做处理 + if (sma1.Count == 0 || sma2.Count == 0 || sma3.Count == 0) + return; + + Log(sma1.Last, "SMA1"); + Log(sma2.Last, "SMA2"); + Log(sma3.Last, "SMA3"); + + } + ``` 这样我们绘制的图像如下： From a0fb14a4e9e5ef29213db3de7555733972cfd3b5 Mon Sep 17 00:00:00 2001 From: OmniStep Date: Mon, 23 Oct 2017 20:16:35 +0800 Subject: [PATCH 158/306] Updates README.md Auto commit by GitBook Editor --- 82-using-drawing-pad.md | 19 ++++++++++--------- README.md | 8 +++++++- 2 files changed, 17 insertions(+), 10 deletions(-) diff --git a/82-using-drawing-pad.md b/82-using-drawing-pad.md index 12f0542..01f2925 100644 --- a/82-using-drawing-pad.md +++ b/82-using-drawing-pad.md @@ -152,6 +152,16 @@ namespace OpenQuant // 在画布上绘制权益曲线 Log(Portfolio.Value, "Equity"); + + // Log sma.在画布上画出三条均线，如果尚未产生SMA数据时，跳出事件过程，不做处理 + if (sma1.Count == 0 || sma2.Count == 0 || sma3.Count == 0) + return; + + Log(sma1.Last, "SMA1"); + Log(sma2.Last, "SMA2"); + Log(sma3.Last, "SMA3"); + + ... ... (... 略去一段指标计算代码，结果是计算indicatorCross数值) @@ -164,17 +174,8 @@ namespace OpenQuant Log(indicatorTrend, "IndicatorTrend"); ... 其他逻辑 - - // Log sma.在画布上画出三条均线，如果尚未产生SMA数据时，跳出事件过程，不做处理 - if (sma1.Count == 0 || sma2.Count == 0 || sma3.Count == 0) - return; - Log(sma1.Last, "SMA1"); - Log(sma2.Last, "SMA2"); - Log(sma3.Last, "SMA3"); - } - ``` 这样我们绘制的图像如下： diff --git a/README.md b/README.md index 12374e3..f58bd12 100644 --- a/README.md +++ b/README.md @@ -1,6 +1,12 @@ # OpenQuantCoding -My notebook for building an OpenQuant Trading System step by step. ver. 0115 +My notebook for building an OpenQuant Trading System step by step. + + + +ver. 0160 2017/10/23 + + --- From 5005bec740e038b94c7df0b4f4793a3599a74b08 Mon Sep 17 00:00:00 2001 From: OmniStep Date: Mon, 23 Oct 2017 20:20:33 +0800 Subject: [PATCH 159/306] Updates 8_a-basic-strategy.md Auto commit by GitBook Editor --- 8_a-basic-strategy.md | 2 ++ README.md | 8 ++------ 2 files changed, 4 insertions(+), 6 deletions(-) diff --git a/8_a-basic-strategy.md b/8_a-basic-strategy.md index b2a5e80..7b2c49c 100644 --- a/8_a-basic-strategy.md +++ b/8_a-basic-strategy.md @@ -17,5 +17,7 @@ String StrategyName="FlashOrder要改成LinesCrossover"; ``` +![](/icons/icon_paw.png)借助Vistual Studio工具，可以快速地基于一个基础的C\#解决方案代码，生成一个新的解决方案。 + diff --git a/README.md b/README.md index f58bd12..f3caef9 100644 --- a/README.md +++ b/README.md @@ -1,12 +1,8 @@ # OpenQuantCoding -My notebook for building an OpenQuant Trading System step by step. - - - -ver. 0160 2017/10/23 - +My notebook for building an OpenQuant Trading System step by step. +ver. 0160 2017/10/23 --- From 3983ffc2f7e79da0b2d507ce585f531cc41bc9dc Mon Sep 17 00:00:00 2001 From: OmniStep Date: Mon, 27 Nov 2017 20:18:40 +0800 Subject: [PATCH 160/306] Updates manage-your-coding-by-svn.md Auto commit by GitBook Editor --- manage-your-coding-by-svn.md | 8 +------- 1 file changed, 1 insertion(+), 7 deletions(-) diff --git a/manage-your-coding-by-svn.md b/manage-your-coding-by-svn.md index 4347a4c..867e3ea 100644 --- a/manage-your-coding-by-svn.md +++ b/manage-your-coding-by-svn.md @@ -2,13 +2,7 @@ --- -应该在工作开始前，就规划着手管理起你未来所有的策略代码。构建起一个明确的工作流程及管理体系，能让你的策略设计文档、策略程序代码及配置信息等诸多文件井井有条，这将极大的帮助你形成轻松高效并且稳定的开发管理体系。必经稳定的过程，才有稳定的质量。 +应该在工作开始前，就规划着手管理起你未来所有的策略代码。构建起一个明确的工作流程及管理体系，能让你的策略设计文档、策略程序代码及配置信息等诸多文件井井有条，这将极大的帮助你形成轻松高效并且稳定的开发管理体系。毕竟，稳定的过程导致稳定的质量。 ![](/icons/icon_paw.png)建立程序化交易开发管理体系，用SVN或者Git这样的版本控制系统管理你所有的代码及文档。 - - - - - - From d3d772471e92f4e59b792420f93c2211ff04e727 Mon Sep 17 00:00:00 2001 From: OmniStep Date: Thu, 30 Nov 2017 22:08:04 +0800 Subject: [PATCH 161/306] Creates assets/LinesCrossoverShow.png Auto commit by GitBook Editor --- 81-linescrossover-strategy.md | 24 +++++++++++++++++- assets/LinesCrossoverShow.png | Bin 0 -> 112469 bytes openquantce-lve-yun-xing-de-qu-dong-ji-zhi.md | 0 3 files changed, 23 insertions(+), 1 deletion(-) create mode 100644 assets/LinesCrossoverShow.png create mode 100644 openquantce-lve-yun-xing-de-qu-dong-ji-zhi.md diff --git a/81-linescrossover-strategy.md b/81-linescrossover-strategy.md index 6f423d2..fab2858 100644 --- a/81-linescrossover-strategy.md +++ b/81-linescrossover-strategy.md @@ -2,5 +2,27 @@ --- -Coming soon... +使用OpenQuant开发策略一般可以分为：数据或交易思路研究，策略结构设计，策略编码，策略回测，策略优化，交易监控等环节。 + +现在我们开始编写一个基于均线穿越场景的策略： + +## 策略的假说 + +在一段行情的数据中，均线排列和行情走势有着明显的特征。当行情趋势明显上升时，均线呈现多头排列。即快速均线>慢速均线>更慢速的均线。当行情趋势明显下降时，均线呈现空头排列。即快速均线<慢速均线<更慢速的均线。 + +## 策略的逻辑 + +策略基于K线行情数据运行，并计算3条不同周期的价格均线， 当呈现多头排列时，入场做多。当呈现空头排列时，入场做空。入场后记录当前价格为监控水线，当价格想有利方向移动时，水线值也同样移动， 当价格向亏损方向移动时，水线不移动，当水线和当前价格差超过止损阈值时出场止损。 + +## 策略的代码 + +上述完整LinesCrossover代码可以从如下地址获得： + +![](/icons/icon_book.png) [https://github.com/omnistep/](https://github.com/omnistep/OpenQuantHelloWorld)LinesCrossover 获得。 + +## 策略的运行 + +策略运行效果如下图所示，可以看出策略是现金绞肉机。 + +![](/assets/LinesCrossoverShow.png)ComingSoon... diff --git a/assets/LinesCrossoverShow.png b/assets/LinesCrossoverShow.png new file mode 100644 index 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81-linescrossover-strategy.md Auto commit by GitBook Editor --- 81-linescrossover-strategy.md | 2 +- 1 file changed, 1 insertion(+), 1 deletion(-) diff --git a/81-linescrossover-strategy.md b/81-linescrossover-strategy.md index fab2858..caa8f9f 100644 --- a/81-linescrossover-strategy.md +++ b/81-linescrossover-strategy.md @@ -18,7 +18,7 @@ 上述完整LinesCrossover代码可以从如下地址获得： -![](/icons/icon_book.png) [https://github.com/omnistep/](https://github.com/omnistep/OpenQuantHelloWorld)LinesCrossover 获得。 +![](/icons/icon_book.png) [https://github.com/omnistep/](https://github.com/omnistep/OpenQuantHelloWorld)LinesCrossover 获得。 ## 策略的运行 From e64c904f6b2e2de44f4093fc6ff18d8721150ce4 Mon Sep 17 00:00:00 2001 From: ww Date: Wed, 11 Apr 2018 22:52:17 +0800 Subject: [PATCH 163/306] =?UTF-8?q?=E4=BF=AE=E6=94=B9=20=E5=AE=89=E8=A3=85?= =?UTF-8?q?=E9=83=A8=E5=88=86?= MIME-Version: 1.0 Content-Type: text/plain; charset=UTF-8 Content-Transfer-Encoding: 8bit From 69dc68f7352c95b9bdd5a1b71761fc9067795739 Mon Sep 17 00:00:00 2001 From: ww Date: Tue, 17 Apr 2018 23:37:46 +0800 Subject: [PATCH 164/306] modi title From 006433ca9fe89008d05f0af3d2722ed4cdf39c2e Mon Sep 17 00:00:00 2001 From: OmniStep Date: Wed, 18 Apr 2018 15:51:07 +0800 Subject: [PATCH 165/306] Updates before-your-start.md Auto commit by GitBook Editor --- before-your-start.md | 4 ++++ 1 file changed, 4 insertions(+) diff --git a/before-your-start.md b/before-your-start.md index 8d26b12..ae2690e 100644 --- a/before-your-start.md +++ b/before-your-start.md @@ -36,6 +36,10 @@ ![](/icons/icon_bookbig.png)详见[http://www.smartquant.cn/book/installing.html](http://www.smartquant.cn/book/installing.html) + + +或者下载集成了交易、行情、历史数据插件的天风版OpenQuant + ## 1.4 配置插件让OpenQuant接入市场 {#configplugins} --- From 4214218c284434629948a9d24369e1d0b08b9b00 Mon Sep 17 00:00:00 2001 From: OmniStep Date: Wed, 18 Apr 2018 15:51:38 +0800 Subject: [PATCH 166/306] Track 7 files into repository. - modified 81-linescrossover-strategy.md - modified 82-using-drawing-pad.md - modified 8_a-basic-strategy.md - untracked assets/LinesCrossoverShow.png - modified manage-your-coding-by-svn.md - untracked openquantce-lve-yun-xing-de-qu-dong-ji-zhi.md - modified README.md Auto commit by GitBook Editor --- 81-linescrossover-strategy.md | 34 +- 82-using-drawing-pad.md | 370 +++++++++--------- 8_a-basic-strategy.md | 44 ++- README.md | 36 +- assets/LinesCrossoverShow.png | Bin 0 -> 112469 bytes manage-your-coding-by-svn.md | 22 +- openquantce-lve-yun-xing-de-qu-dong-ji-zhi.md | 0 7 files changed, 266 insertions(+), 240 deletions(-) create mode 100644 assets/LinesCrossoverShow.png create mode 100644 openquantce-lve-yun-xing-de-qu-dong-ji-zhi.md diff --git a/81-linescrossover-strategy.md b/81-linescrossover-strategy.md index 6f423d2..ed3d00c 100644 --- a/81-linescrossover-strategy.md +++ b/81-linescrossover-strategy.md @@ -1,6 +1,28 @@ -# 8.1 三均线穿越系统 - ---- - -Coming soon... - +# 8.1 三均线穿越系统 + +--- + +使用OpenQuant开发策略一般可以分为：数据或交易思路研究，策略结构设计，策略编码，策略回测，策略优化，交易监控等环节。 + +现在我们开始编写一个基于均线穿越场景的策略： + +## 策略的假说 + +在一段行情的数据中，均线排列和行情走势有着明显的特征。当行情趋势明显上升时，均线呈现多头排列。即快速均线>慢速均线>更慢速的均线。当行情趋势明显下降时，均线呈现空头排列。即快速均线<慢速均线<更慢速的均线。 + +## 策略的逻辑 + +策略基于K线行情数据运行，并计算3条不同周期的价格均线， 当呈现多头排列时，入场做多。当呈现空头排列时，入场做空。入场后记录当前价格为监控水线，当价格想有利方向移动时，水线值也同样移动， 当价格向亏损方向移动时，水线不移动，当水线和当前价格差超过止损阈值时出场止损。 + +## 策略的代码 + +上述完整LinesCrossover代码可以从如下地址获得： + +![](/icons/icon_book.png) [https://github.com/omnistep/](https://github.com/omnistep/OpenQuantHelloWorld)LinesCrossover 获得。 + +## 策略的运行 + +策略运行效果如下图所示，可以看出策略是现金绞肉机。 + +![](/assets/LinesCrossoverShow.png)ComingSoon... + diff --git a/82-using-drawing-pad.md b/82-using-drawing-pad.md index ce8d261..fec6b1f 100644 --- a/82-using-drawing-pad.md +++ b/82-using-drawing-pad.md @@ -1,182 +1,188 @@ -# 8.2 使用OpenQuant的画图功能 - ---- - -在使用OpenQuant系统时， 我们通常要吧行情数据、指标数据、交易执行信息等在图中展示出来。OpenQuant系统菜单中打开view-chart, 或者view-chart\(gapless\)就可以看到OpenQuant的绘图板。Chart（gapless）是不考虑无数据时间的情况，例如盘后时间，或盘中休息、暂停交易等情况，绘制的是全连续的行情数据图形。 - -现在我们先绘制从画K线和均线开始。 - -## 绘制K线和均线并分区域绘制个性化指标数据 - -在场景文件中，先定义行情数据的K线属性，什么合约、什么周期，什么K线类型等等， OpenQuant不仅支持价格K线，同时也支持交易量K线，涨跌幅K线，Tick型K线等等其他类型。我们以时间型K线为例，场景scenario.cs代码为： - -``` -using System; - -using SmartQuant; - -namespace OpenQuant -{ - public partial class Backtest : Scenario - { - - //定义K线时间周期为barSize秒 - private long secBarSize =3; - private long min1BarSize=60; - - - public Backtest(Framework framework) - : base(framework) - { - } - - public override void Run() - { - - //定义要引入的合约名字 - Instrument instrument1 = InstrumentManager.Instruments["i1801"]; - - - strategy = new MyStrategy(framework, "Backtest"); - - - //引入合约 - strategy.AddInstrument(instrument1); - - //定义数据回测的起止日期 - DataSimulator.SubscribeBar = false; - DataSimulator.DateTime1 = new DateTime(2017, 10, 13); - DataSimulator.DateTime2 = new DateTime(2017, 10, 15); // data from 09-01 to 09-30 - - //定义一个时间类型的K线 - BarFactory.Clear(); - BarFactory.Add(instrument1, BarType.Time, secBarSize); - - BarFactory.Add(instrument1, BarType.Time, min1BarSize); - - Initialize(); - - StartStrategy(); - } - } -} -``` - -然后在主策略文件中的定义画布的参数和绘制，MyStrategy.cs的代码片段如下： - -``` - ... ... - public class MyStrategy : InstrumentStrategy - { - //定义策略名字 StrategyName，将被记录在日志中 - String StrategyName="LinesCrossover"; - - //定义SMA对象 - private SMA sma1; - private SMA sma2; - private SMA sma3; - - public int sma1Length = 20; - public int sma2Length = 60; - public int sma3Length = 80; - - ... - - - - protected override void OnStrategyStart() - { - // Set up indicators. - sma1 = new SMA(Bars, sma1Length); - sma2 = new SMA(Bars, sma2Length); - sma3 = new SMA(Bars, sma3Length); - - - //定义K线的画布，编码0号 - //颜色变量-------------------------------------------- - //Azure:天蓝色; Aquamarine:蓝晶色; Bisque:浓汤; - //Beige:米色; BlanchedAlmond:杏仁白;BlueViolet:蓝紫; - - Group("myK_Chart", "Pad", 0); - Group("myK_Chart", "CandleWhiteColor", Color.Red); - Group("myK_Chart", "CandleBlackColor", Color.Lime); - Group("Fills", "Pad", 0); - - - Group("SMA1", "Pad", 0); - Group("SMA1", "Color", Color.DodgerBlue); - - Group("SMA2", "Pad", 0); - Group("SMA2","Width",2); - Group("SMA2", "Color", Color.Red); - - Group("SMA3", "Pad", 0); - Group("SMA3","Width",2); - Group("SMA3", "Color", Color.DarkRed); - - //定义指标的画布，编码1、2号 - Group("IndicatorCross", "Pad", 1); - Group("IndicatorCross","Width",2); - Group("IndicatorCross", "Color", Color.DarkOrange); - - Group("IndicatorTrend", "Pad", 2); - Group("IndicatorTrend","Width",2); - Group("IndicatorTrend", "Color", Color.DodgerBlue); - - - - //定义权益曲线的画布，编码3号 - Group("Equity", "Pad", 3); - - //定义分钟K线，使用编码4的画布 - Group("minK_Chart", "Pad", 4); - Group("minK_Chart", "CandleWhiteColor", Color.Red); - Group("minK_Chart", "CandleBlackColor", Color.Lime); - } -``` - -在OnBar事件发生时，我们绘制K线和三条不同周期的均线 ,代码片段如下： - -``` - protected override void OnBar(Instrument instrument, Bar bar) - { - - //当Bar形成时，增加bar数据到K线序列 - Bars.Add(bar); - - //在Bars画布上画出K线 - Log(bar, "myK_Chart"); - - - // Log sma. - Log(sma1.Last, "SMA1"); - Log(sma2.Last, "SMA2"); - Log(sma3.Last, "SMA3"); - - // Calculate performance. - Portfolio.Performance.Update(); - // 在画布上绘制权益曲线 - Log(Portfolio.Value, "Equity"); - - ... ... - (... 略去一段指标计算代码，结果是计算indicatorCross数值) - - //绘制指标indicatorCross - Log(indicatorCross, "IndicatorCross"); - - (... 略去一段指标计算代码，结果是计算indicatorTrend数值) - - //绘制指标indicatorTrend - Log(indicatorTrend, "IndicatorTrend"); - - ... 其他逻辑 -``` - -这样我们绘制的图像如下： - -![](/assets/UsingDrawingPad01.png) - -上述完整LinesCrossover代码可以从如下地址获得： - -![](/icons/icon_book.png) [https://github.com/omnistep/](https://github.com/omnistep/OpenQuantHelloWorld)LinesCrossover 获得。 - +# 8.2 使用OpenQuant的画图功能 + +--- + +在使用OpenQuant系统时， 我们通常要吧行情数据、指标数据、交易执行信息等在图中展示出来。OpenQuant系统菜单中打开view-chart, 或者view-chart\(gapless\)就可以看到OpenQuant的绘图板。Chart（gapless）是不考虑无数据时间的情况，例如盘后时间，或盘中休息、暂停交易等情况，绘制的是全连续的行情数据图形。 + +现在我们先绘制从画K线和均线开始。 + +## 绘制K线和均线并分区域绘制个性化指标数据 + +在场景文件中，先定义行情数据的K线属性，什么合约、什么周期，什么K线类型等等， OpenQuant不仅支持价格K线，同时也支持交易量K线，涨跌幅K线，Tick型K线等等其他类型。我们以时间型K线为例，场景scenario.cs代码为： + +``` +using System; + +using SmartQuant; + +namespace OpenQuant +{ + public partial class Backtest : Scenario + { + + //定义K线时间周期为barSize秒 + private long secBarSize =3; + private long min1BarSize=60; + + + public Backtest(Framework framework) + : base(framework) + { + } + + public override void Run() + { + + //定义要引入的合约名字 + Instrument instrument1 = InstrumentManager.Instruments["i1801"]; + + + strategy = new MyStrategy(framework, "Backtest"); + + + //引入合约 + strategy.AddInstrument(instrument1); + + //定义数据回测的起止日期 + DataSimulator.SubscribeBar = false; + DataSimulator.DateTime1 = new DateTime(2017, 10, 13); + DataSimulator.DateTime2 = new DateTime(2017, 10, 15); // data from 09-01 to 09-30 + + //定义一个时间类型的K线 + BarFactory.Clear(); + BarFactory.Add(instrument1, BarType.Time, secBarSize); + + BarFactory.Add(instrument1, BarType.Time, min1BarSize); + + Initialize(); + + StartStrategy(); + } + } +} +``` + +然后在主策略文件中的定义画布的参数和绘制，MyStrategy.cs的代码片段如下： + +``` + ... ... + public class MyStrategy : InstrumentStrategy + { + //定义策略名字 StrategyName，将被记录在日志中 + String StrategyName="LinesCrossover"; + + //定义SMA对象 + private SMA sma1; + private SMA sma2; + private SMA sma3; + + public int sma1Length = 20; + public int sma2Length = 60; + public int sma3Length = 80; + + ... + + + + protected override void OnStrategyStart() + { + // Set up indicators. + sma1 = new SMA(Bars, sma1Length); + sma2 = new SMA(Bars, sma2Length); + sma3 = new SMA(Bars, sma3Length); + + + //定义K线的画布，编码0号 + //颜色变量-------------------------------------------- + //Azure:天蓝色; Aquamarine:蓝晶色; Bisque:浓汤; + //Beige:米色; BlanchedAlmond:杏仁白;BlueViolet:蓝紫; + + Group("myK_Chart", "Pad", 0); + Group("myK_Chart", "CandleWhiteColor", Color.Red); + Group("myK_Chart", "CandleBlackColor", Color.Lime); + Group("Fills", "Pad", 0); + + + Group("SMA1", "Pad", 0); + Group("SMA1", "Color", Color.DodgerBlue); + + Group("SMA2", "Pad", 0); + Group("SMA2","Width",2); + Group("SMA2", "Color", Color.Red); + + Group("SMA3", "Pad", 0); + Group("SMA3","Width",2); + Group("SMA3", "Color", Color.DarkRed); + + //定义指标的画布，编码1、2号 + Group("IndicatorCross", "Pad", 1); + Group("IndicatorCross","Width",2); + Group("IndicatorCross", "Color", Color.DarkOrange); + + Group("IndicatorTrend", "Pad", 2); + Group("IndicatorTrend","Width",2); + Group("IndicatorTrend", "Color", Color.DodgerBlue); + + + + //定义权益曲线的画布，编码3号 + Group("Equity", "Pad", 3); + + //定义分钟K线，使用编码4的画布 + Group("minK_Chart", "Pad", 4); + Group("minK_Chart", "CandleWhiteColor", Color.Red); + Group("minK_Chart", "CandleBlackColor", Color.Lime); + } +``` + +在OnBar事件发生时，我们绘制K线和三条不同周期的均线 ,代码片段如下： + +``` + protected override void OnBar(Instrument instrument, Bar bar) + { + + //当Bar形成时，增加bar数据到K线序列 + Bars.Add(bar); + + //在Bars画布上画出K线 + Log(bar, "myK_Chart"); + + // Calculate performance. + Portfolio.Performance.Update(); + // 在画布上绘制权益曲线 + Log(Portfolio.Value, "Equity"); + + + // Log sma.在画布上画出三条均线，如果尚未产生SMA数据时，跳出事件过程，不做处理 + if (sma1.Count == 0 || sma2.Count == 0 || sma3.Count == 0) + return; + + Log(sma1.Last, "SMA1"); + Log(sma2.Last, "SMA2"); + Log(sma3.Last, "SMA3"); + + + ... ... + (... 略去一段指标计算代码，结果是计算indicatorCross数值) + + //绘制指标indicatorCross + Log(indicatorCross, "IndicatorCross"); + + (... 略去一段指标计算代码，结果是计算indicatorTrend数值) + + //绘制指标indicatorTrend + Log(indicatorTrend, "IndicatorTrend"); + + ... 其他逻辑 + + } +``` + +这样我们绘制的图像如下： + +![](/assets/UsingDrawingPad01.png) + +上述完整LinesCrossover代码可以从如下地址获得： + +![](/icons/icon_book.png) [https://github.com/omnistep/](https://github.com/omnistep/OpenQuantHelloWorld)LinesCrossover 获得。 + diff --git a/8_a-basic-strategy.md b/8_a-basic-strategy.md index b2a5e80..589fc39 100644 --- a/8_a-basic-strategy.md +++ b/8_a-basic-strategy.md @@ -1,21 +1,23 @@ -# 一个基础策略:三均线系统 - ---- - -## 从基础代码生成新的OpenQuant策略代码（Solutions） - -通常C\#语言开发过程中，我们会从一个我们已经开发的基础应用解决方案\(Solutions\)，形成一个新的程序（解决方案）。这时，我们可以先把原有的Solutions代码目录，完整的复制一份并把目录名定义为未来新的名字，然后用Visual Studio打开，在解决方案资源管理器中，进行重命名操作。 - -![](/assets/RenameYourSolutions.png) - -在Visual Studio中，可以方便地对，Solutions，Project，类库等等代码文件方便地进行重命名。 - -![](/icons/icon_labtubeBlue.ico)现在我们以FlashOrder为基础，形成一个新的策略LinesCrossover，开始尝试开发一个真正的交易策略。注意修改主策略代码中的日志标识，以便在未来交易日志中区分新的策略命名和原有的策略命名。 - -``` - //定义策略名字 StrategyName，将被记录在日志中 - String StrategyName="FlashOrder要改成LinesCrossover"; -``` - - - +# 一个基础策略:三均线系统 + +--- + +## 从基础代码生成新的OpenQuant策略代码（Solutions） + +通常C\#语言开发过程中，我们会从一个我们已经开发的基础应用解决方案\(Solutions\)，形成一个新的程序（解决方案）。这时，我们可以先把原有的Solutions代码目录，完整的复制一份并把目录名定义为未来新的名字，然后用Visual Studio打开，在解决方案资源管理器中，进行重命名操作。 + +![](/assets/RenameYourSolutions.png) + +在Visual Studio中，可以方便地对，Solutions，Project，类库等等代码文件方便地进行重命名。 + +![](/icons/icon_labtubeBlue.ico)现在我们以FlashOrder为基础，形成一个新的策略LinesCrossover，开始尝试开发一个真正的交易策略。注意修改主策略代码中的日志标识，以便在未来交易日志中区分新的策略命名和原有的策略命名。 + +``` + //定义策略名字 StrategyName，将被记录在日志中 + String StrategyName="FlashOrder要改成LinesCrossover"; +``` + +![](/icons/icon_paw.png)借助Vistual Studio工具，可以快速地基于一个基础的C\#解决方案代码，生成一个新的解决方案。 + + + diff --git a/README.md b/README.md index 12374e3..262545f 100644 --- a/README.md +++ b/README.md @@ -1,17 +1,19 @@ -# OpenQuantCoding - -My notebook for building an OpenQuant Trading System step by step. ver. 0115 - ---- - -* 图标说明 - -| 图标 | 代表含义 | -| :---: | :--- | -| ![](/icons/icon_paw.png) | 一个爪印，代表你已经实现了这一步的结果 | -| ![](/icons/icon_bookbig.png) | 一本手册，代表外部参考资料或者资源 | -| ![](/icons/icon_labtubeBlue.ico) | 一个蓝色实验瓶，代表这里要进行的操作和反复的操作 | -| ![](/icons/icon_labtubeOrg.ico) | 一个桔色实验瓶，代表这里查看运行的结果、状态或数据 | - - - +# OpenQuantCoding + +My notebook for building an OpenQuant Trading System step by step. + +ver. 0160 2017/10/23 + +--- + +* 图标说明 + +| 图标 | 代表含义 | +| :---: | :--- | +| ![](/icons/icon_paw.png) | 一个爪印，代表你已经实现了这一步的结果 | +| ![](/icons/icon_bookbig.png) | 一本手册，代表外部参考资料或者资源 | +| ![](/icons/icon_labtubeBlue.ico) | 一个蓝色实验瓶，代表这里要进行的操作和反复的操作 | +| 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82-using-drawing-pad.md Auto commit by GitBook Editor --- 82-using-drawing-pad.md | 2 +- 8gou-jia-yi-ge-de-ji-chu-ce-lve-mo-ban.md | 0 README.md | 18 +++++++++++++++++- SUMMARY.md | 7 ++++--- 4 files changed, 22 insertions(+), 5 deletions(-) create mode 100644 8gou-jia-yi-ge-de-ji-chu-ce-lve-mo-ban.md diff --git a/82-using-drawing-pad.md b/82-using-drawing-pad.md index 01f2925..395e323 100644 --- a/82-using-drawing-pad.md +++ b/82-using-drawing-pad.md @@ -1,4 +1,4 @@ -# 8.2 使用OpenQuant的画图功能 +# 8.使用OpenQuant的画图功能 --- diff --git a/8gou-jia-yi-ge-de-ji-chu-ce-lve-mo-ban.md b/8gou-jia-yi-ge-de-ji-chu-ce-lve-mo-ban.md new file mode 100644 index 0000000..e69de29 diff --git a/README.md b/README.md index f3caef9..0807eab 100644 --- a/README.md +++ b/README.md @@ -1,9 +1,25 @@ -# OpenQuantCoding +# OpenQuant Coding Step by Step My notebook for building an OpenQuant Trading System step by step. ver. 0160 2017/10/23 + + + + + + + + + + + + + + + + --- * 图标说明 diff --git a/SUMMARY.md b/SUMMARY.md index bf2de9b..ec78887 100644 --- a/SUMMARY.md +++ b/SUMMARY.md @@ -22,7 +22,8 @@ * [7.3 FlashOrder的代码 v1](flashorderver_v1.md) * [7.4 将交易记录存入MySQL](log-order-information-using-mysql-db.md) * [7.5 同时处理多个合约 FlashOrder v2](flashorderver_v2.md) -* [8.一个基础的策略](8_a-basic-strategy.md) - * [8.1 三均线穿越系统](81-linescrossover-strategy.md) - * [8.2 使用OpenQuant的画图功能](82-using-drawing-pad.md) + * [8.构架一个的基础策略模版](8gou-jia-yi-ge-de-ji-chu-ce-lve-mo-ban.md) + * [9. 使用OpenQuant的画图功能](82-using-drawing-pad.md) +* [10.一个基础的策略](8_a-basic-strategy.md) + * [10.1 三均线穿越系统](81-linescrossover-strategy.md) From e08e1a6db3ff238c6b450408517cac102ef60c45 Mon Sep 17 00:00:00 2001 From: OmniStep Date: Fri, 31 Aug 2018 13:21:16 +0800 Subject: [PATCH 168/306] Updates README.md Auto commit by GitBook Editor --- README.md | 14 +------------- 1 file changed, 1 insertion(+), 13 deletions(-) diff --git a/README.md b/README.md index 0807eab..5e6d73a 100644 --- a/README.md +++ b/README.md @@ -4,19 +4,7 @@ My notebook for building an OpenQuant Trading System step by step. ver. 0160 2017/10/23 - - - - - - - - - - - - - +ver. 0171 2018/08/31 From 116a82c0539a323544e37f44463593cb1dc437a3 Mon Sep 17 00:00:00 2001 From: OmniStep Date: Fri, 7 Sep 2018 23:10:29 +0000 Subject: [PATCH 169/306] GitBook: [master] 2 pages modified --- README.md | 23 +---------------------- SUMMARY.md | 29 ++--------------------------- 2 files changed, 3 insertions(+), 49 deletions(-) diff --git a/README.md b/README.md index 5e6d73a..8b694ed 100644 --- a/README.md +++ b/README.md @@ -1,23 +1,2 @@ -# OpenQuant Coding Step by Step - -My notebook for building an OpenQuant Trading System step by step. - -ver. 0160 2017/10/23 - -ver. 0171 2018/08/31 - - - ---- - -* 图标说明 - -| 图标 | 代表含义 | -| :---: | :--- | -| ![](/icons/icon_paw.png) | 一个爪印，代表你已经实现了这一步的结果 | -| ![](/icons/icon_bookbig.png) | 一本手册，代表外部参考资料或者资源 | -| ![](/icons/icon_labtubeBlue.ico) | 一个蓝色实验瓶，代表这里要进行的操作和反复的操作 | -| ![](/icons/icon_labtubeOrg.ico) | 一个桔色实验瓶，代表这里查看运行的结果、状态或数据 | - - +# Initial page diff --git a/SUMMARY.md b/SUMMARY.md index ec78887..5da1733 100644 --- a/SUMMARY.md +++ b/SUMMARY.md @@ -1,29 +1,4 @@ -# Summary +# Table of contents -* [序言Introduction](README.md) -* [1. 在开始之前的准备](before-your-start.md) - * [1.1 操作系统的选择](before-your-start.md#runningos) - * [1.2 下载OpenQuant及插件](before-your-start.md#downloadoqandplugins) - * [1.3 安装OpenQuant及插件](before-your-start.md#installoqandplugins) - * [1.4 配置插件接入市场](before-your-start.md#configplugins) - * [1.5 使用OpenQuant导入合约及历史数据](import-an-instrument-and-its-historical-data.md) - * [使用ThanfData插件](import-an-instrument-and-its-historical-data.md#using) - * [导入合约信息](import-an-instrument-and-its-historical-data.md#importinstrument) - * [导入历史数据](import-an-instrument-and-its-historical-data.md#importdata) -* [2. 管理未来所有的代码...](manage-your-coding-by-svn.md) -* [3. OpenQuant策略代码的结构](structure-of-openquant-solution.md) -* [4. 策略运行的事件驱动和定时驱动机制](openquantce-lve-yun-xing-de-qu-dong-ji-zhi.md) - * [附件：OpenQuant的常用事件](the-events-in-openquant.md) -* [5. 设计一个OpenQuant的HelloWorld！](design-an-openquant-helloworld.md) -* [6. 开始编写OpenQuant的HelloWorld！](code-an-openquant-helloworld.md) -* [7. 发出交易指令](place-an-order.md) - * [7.1 建立一个发出交易指令的策略FlashOrder](place-an-order.md#flashorder) - * [7.2 FlashOrder的策略逻辑](place-an-order.md#typeoforder) - * [7.3 FlashOrder的代码 v1](flashorderver_v1.md) - * [7.4 将交易记录存入MySQL](log-order-information-using-mysql-db.md) - * [7.5 同时处理多个合约 FlashOrder v2](flashorderver_v2.md) - * [8.构架一个的基础策略模版](8gou-jia-yi-ge-de-ji-chu-ce-lve-mo-ban.md) - * [9. 使用OpenQuant的画图功能](82-using-drawing-pad.md) -* [10.一个基础的策略](8_a-basic-strategy.md) - * [10.1 三均线穿越系统](81-linescrossover-strategy.md) +* [Initial page](README.md) From 524da745fbf1eb57559cc2006638545e5dd21932 Mon Sep 17 00:00:00 2001 From: OmniStep Date: Sat, 8 Sep 2018 07:21:26 +0800 Subject: [PATCH 170/306] Creates buildemptytemplate.md Auto commit by GitBook Editor --- SUMMARY.md | 2 +- ...-yi-ge-de-ji-chu-ce-lve-mo-ban.md => build_empty_template.md | 0 a-basic-strategy.md => buildemptytemplate.md | 0 openquantce-lve-yun-xing-de-qu-dong-ji-zhi.md | 0 4 files changed, 1 insertion(+), 1 deletion(-) rename 8gou-jia-yi-ge-de-ji-chu-ce-lve-mo-ban.md => build_empty_template.md (100%) rename a-basic-strategy.md => buildemptytemplate.md (100%) delete mode 100644 openquantce-lve-yun-xing-de-qu-dong-ji-zhi.md diff --git a/SUMMARY.md b/SUMMARY.md index ec78887..87527c1 100644 --- a/SUMMARY.md +++ b/SUMMARY.md @@ -22,7 +22,7 @@ * [7.3 FlashOrder的代码 v1](flashorderver_v1.md) * [7.4 将交易记录存入MySQL](log-order-information-using-mysql-db.md) * [7.5 同时处理多个合约 FlashOrder v2](flashorderver_v2.md) - * [8.构架一个的基础策略模版](8gou-jia-yi-ge-de-ji-chu-ce-lve-mo-ban.md) + * [8 构建一个策略的空模板](buildemptytemplate.md) * [9. 使用OpenQuant的画图功能](82-using-drawing-pad.md) * [10.一个基础的策略](8_a-basic-strategy.md) * [10.1 三均线穿越系统](81-linescrossover-strategy.md) diff --git a/8gou-jia-yi-ge-de-ji-chu-ce-lve-mo-ban.md b/build_empty_template.md similarity index 100% rename from 8gou-jia-yi-ge-de-ji-chu-ce-lve-mo-ban.md rename to build_empty_template.md diff --git a/a-basic-strategy.md b/buildemptytemplate.md similarity index 100% rename from a-basic-strategy.md rename to buildemptytemplate.md diff --git a/openquantce-lve-yun-xing-de-qu-dong-ji-zhi.md b/openquantce-lve-yun-xing-de-qu-dong-ji-zhi.md deleted file mode 100644 index e69de29..0000000 From 4ba74ff2895514a3e8254f2a6d4d617684cfc92d Mon Sep 17 00:00:00 2001 From: omnistep Date: Sat, 8 Sep 2018 09:39:35 +0800 Subject: [PATCH 171/306] back 2 this file --- README.md | 23 ++++++++++++++++++++++- 1 file changed, 22 insertions(+), 1 deletion(-) diff --git a/README.md b/README.md index 8b694ed..5e6d73a 100644 --- a/README.md +++ b/README.md @@ -1,2 +1,23 @@ -# Initial page +# OpenQuant Coding Step by Step + +My notebook for building an OpenQuant Trading System step by step. + +ver. 0160 2017/10/23 + +ver. 0171 2018/08/31 + + + +--- + +* 图标说明 + +| 图标 | 代表含义 | +| :---: | :--- | +| ![](/icons/icon_paw.png) | 一个爪印，代表你已经实现了这一步的结果 | +| ![](/icons/icon_bookbig.png) | 一本手册，代表外部参考资料或者资源 | +| ![](/icons/icon_labtubeBlue.ico) | 一个蓝色实验瓶，代表这里要进行的操作和反复的操作 | +| ![](/icons/icon_labtubeOrg.ico) | 一个桔色实验瓶，代表这里查看运行的结果、状态或数据 | + + From c2c16936f0ce814a80af400e357377eb69f38486 Mon Sep 17 00:00:00 2001 From: OmniStep Date: Thu, 13 Sep 2018 08:51:34 +0000 Subject: [PATCH 172/306] GitBook: [master] 38 pages and 43 assets modified --- .gitbook/assets/apimanagerform.png | Bin 0 -> 37863 bytes .gitbook/assets/commonly_strategy_event01.png | Bin 0 -> 28809 bytes .gitbook/assets/design_helloworld.jpg | Bin 0 -> 43732 bytes .gitbook/assets/flashorderfilled.png | Bin 0 -> 31179 bytes .gitbook/assets/flashorderstrategydiagram.png | Bin 0 -> 74756 bytes .gitbook/assets/icon_book (1).png | Bin 0 -> 3064 bytes .gitbook/assets/icon_book (2).png | Bin 0 -> 3064 bytes 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z^|$t}4kG;j;v5tu#~LiVUm@o=+D?OmVe4WCf8mzjJ=K_h24Zet6a;GCzkwetTqKB5 zv>ojy-MPPjkr{|lvLOBTpCJ!?B`9?lfKvA#e+!3LK&Zi~?FF zy&+rK=j5M&CJBFwm{>TxnBFknOi%vd?3L?omEItO`w!=pdt-S6zen?b_{lM2FNcA# z>#iD{`TM0}(|`eL&%l4mG=H1cbTEo%HU2jLF=I=x%QIM5Slo(NWbR_7Mf((T$aa1d kO7q7*{Wca(>8X7LIgJoUI8_Y_oQI_-uX5$HtiH$p08&y!EC2ui literal 0 HcmV?d00001 diff --git a/4.-ce-lve-yun-hang-de-shi-jian-qu-dong-he-ding-shi-qu-dong-ji-zhi/README.md b/4.-ce-lve-yun-hang-de-shi-jian-qu-dong-he-ding-shi-qu-dong-ji-zhi/README.md new file mode 100644 index 0000000..9e8a6b1 --- /dev/null +++ b/4.-ce-lve-yun-hang-de-shi-jian-qu-dong-he-ding-shi-qu-dong-ji-zhi/README.md @@ -0,0 +1,2 @@ +# 4. 策略运行的事件驱动和定时驱动机制 + diff --git a/the-events-in-openquant.md b/4.-ce-lve-yun-hang-de-shi-jian-qu-dong-he-ding-shi-qu-dong-ji-zhi/the-events-in-openquant.md similarity index 90% rename from the-events-in-openquant.md rename to 4.-ce-lve-yun-hang-de-shi-jian-qu-dong-he-ding-shi-qu-dong-ji-zhi/the-events-in-openquant.md index bde667c..0fb91c6 100644 --- a/the-events-in-openquant.md +++ b/4.-ce-lve-yun-hang-de-shi-jian-qu-dong-he-ding-shi-qu-dong-ji-zhi/the-events-in-openquant.md @@ -1,26 +1,24 @@ -## OpenQuant中常见的事件类型 - ---- +# 附件：OpenQuant的常用事件 在OpenQuant接入金融交易市场收到订阅合约的行情数据及策略运行时常见的事件有： -**OnStrategyStart **– 在策略启动时调用，在第一笔行情到达之前 +**OnStrategyStart** – 在策略启动时调用，在第一笔行情到达之前 -**OnStrategyStop **– 在策略结束时调用，在最后一笔行情之后 +**OnStrategyStop** – 在策略结束时调用，在最后一笔行情之后 -**OnBarOpen **– 在Bar行情最前沿调用（如，在日线数据开盘时买入） +**OnBarOpen** – 在Bar行情最前沿调用（如，在日线数据开盘时买入） -**OnBar **– 在所有行情的后沿调用（如，在日线数据收盘时买入） +**OnBar** – 在所有行情的后沿调用（如，在日线数据收盘时买入） -**OnPositionOpened **– 当一个新的交易开仓确认后调用 +**OnPositionOpened** – 当一个新的交易开仓确认后调用 -**OnPositionChanged **– 当仓位增加或减少时调用 +**OnPositionChanged** – 当仓位增加或减少时调用 -**OnTrade **– 当市场中有成交时调用 +**OnTrade** – 当市场中有成交时调用 -**OnAsk **– 当盘口ask有变化时调用 +**OnAsk** – 当盘口ask有变化时调用 -**OnBid **– 当盘口bid有变化时调用 +**OnBid** – 当盘口bid有变化时调用 **OnOrderCancelled**– 当撤单确认后调用 @@ -28,7 +26,7 @@ **OnOrderPartiallyFilled**– 当报单部分成交后调用 -**OnFill **– 当报单后有成交时调用OnStopExecuted +**OnFill** – 当报单后有成交时调用OnStopExecuted **OnReminder**– 当到达指定时间时调用（定时器） @@ -36,15 +34,15 @@ 在策略代码编辑环境下输入override on...会有智能提示，可以看到更多事件处理函数 -![](/assets/commonly_strategy_event01.png) +![](../.gitbook/assets/commonly_strategy_event01.png) -### **OnStrategyStart** +## **OnStrategyStart** 策略启动前OnStrategyStart方法被调用，整个策略运行期只会被调用一次。OnStrategyStart事件处理中可以创建新对象，并赋值给类中声明的变量。 例如为默认Bars创建SMA对象的例子 -``` +```text using System; using SmartQuant; using SmartQuant.Indicators; @@ -65,13 +63,13 @@ namespace OpenQuant ｝ ``` -### **OnBar** +## **OnBar** OnBar是在有新的完整bar到来后被触发的。每个行情包括过去一个时间段的OHLCV（开盘价、最高价、最低价、收盘价、成交量）数据。因此OnBar事件是在行情后延触发的。如果需要在行情到来前处理一些动作则需要使用OnBarOpen事件。 例如交易从9:00开始，5分钟bar。OnBar会在9:05、9:10...触发，如果用的是日线数据，那么不能在OnBar中报单，因为触发OnBar的时候已经收盘了。 -``` +```text protected override void OnBar(Instrument instrument, Bar bar) { //把最新的bar添加到Bars序列 @@ -79,13 +77,13 @@ protected override void OnBar(Instrument instrument, Bar bar) } ``` -### **OnPositionOpened** +## **OnPositionOpened** OnPositionOpened是在交易完成时有新的头寸建立时触发的。只有交易订单被执行后才会有新头寸生成。所有的持仓数据都是大于0的。当仓位减到0时（被平仓），头寸对象被销毁。剩下的只有开仓（包括尝试开仓）的交易记录以及平仓的交易记录。 这里是一个以新开仓位持仓数量、按照5个最小价格变动单位止盈下平仓单的例子。 -``` +```text protected override void OnPositionOpened(SmartQuant.Position position) { if(position.Side == PositionSide.Long) @@ -101,21 +99,21 @@ protected override void OnPositionOpened(SmartQuant.Position position) } ``` -### **OnPositionChanged** +## **OnPositionChanged** OnPositionChanged是在持仓发生变化时触发的。比如当有部分成交导致持仓变化时该事件会被触发。OnPositionChanged是一个需要必须跟踪部分成交后调整止损单数量的好地方。每当新的部分成交确认到来时，你可以添加未完成止损单的数量，这样，你的止损单会更准确的反映原始订单状态。 -``` +```text protected override void OnPositionChanged(SmartQuant.Position position) { } ``` -### **OnTrade** +## **OnTrade** OnTrade是在市场中有成交就会触发。例如国内普通期货行情是1秒2个行情数据包，在每次接受到行情后，如果有成交数据就会触发OnTrade。 -``` +```text protected override void OnTrade(SmartQuant.Instrument instrument, SmartQuant.Trade trade) { string symbol = instrument.Symbol;//成交的合约代码 @@ -125,11 +123,11 @@ protected override void OnTrade(SmartQuant.Instrument instrument, SmartQuant.Tra } ``` -### **OnAsk** +## **OnAsk** OnAsk是盘口ask数据发生变化就会触发。比较适用于对于需要监控盘口数据的策略。 -``` +```text protected override void OnAsk(SmartQuant.Instrument instrument, SmartQuant.Ask ask) { double askPrice = ask.Price;//盘口卖盘价格 @@ -137,11 +135,11 @@ protected override void OnAsk(SmartQuant.Instrument instrument, SmartQuant.Ask a } ``` -### **OnBid** +## **OnBid** OnBid是盘口bid数据发生变化就会触发。比较适用于对于需要监控盘口数据的策略。 -``` +```text protected override void OnBid(SmartQuant.Instrument instrument, SmartQuant.Bid bid) { double bidPrice = bid.Price;//盘口买盘价格 @@ -149,11 +147,11 @@ protected override void OnBid(SmartQuant.Instrument instrument, SmartQuant.Bid b } ``` -### **OnReminder** +## **OnReminder** OnReminder定时器，在具体的一个时间点触发。需要先通过AddReminder函数添加定时器，到指定时间则触发OnReminder函数。例如日内交易策略，想在收盘前10分钟就不再允许开新的仓位，假设9点开盘15点收盘。 -``` +```text bool allowOpenFlag = true;//是否允许开仓标志，true允许，false不允许 DateTime myCloseTime;//尾盘禁止开仓的时间 protected override void OnStrategyStart() @@ -181,7 +179,7 @@ protected override void OnBarOpen(Instrument instrument, Bar bar) } ``` -### **OnStopExecuted** +## **OnStopExecuted** OnStopExecuted当达到设置的止损条件时调用，需要先通过AddStop函数设置止损条件。 @@ -213,7 +211,7 @@ Stop\(strategy,position,0.02,StopType.Trailing,StopMode.Percent\)- 从之后最 下面是一个跟踪止损的示例 -``` +```text protected override void OnPositionOpened(Position position) { Stop s = new Stop(this, position, position.Instrument.TickSize * 10, StopType.Trailing, StopMode.Absolute); @@ -234,5 +232,3 @@ protected override void OnStopExecuted(Stop stop) } ``` - - diff --git a/81-linescrossover-strategy.md b/8_a-basic-strategy/81-linescrossover-strategy.md similarity index 83% rename from 81-linescrossover-strategy.md rename to 8_a-basic-strategy/81-linescrossover-strategy.md index caa8f9f..df5fa01 100644 --- a/81-linescrossover-strategy.md +++ b/8_a-basic-strategy/81-linescrossover-strategy.md @@ -1,6 +1,4 @@ -# 8.1 三均线穿越系统 - ---- +# 10.1 三均线穿越系统 使用OpenQuant开发策略一般可以分为：数据或交易思路研究，策略结构设计，策略编码，策略回测，策略优化，交易监控等环节。 @@ -18,11 +16,11 @@ 上述完整LinesCrossover代码可以从如下地址获得： -![](/icons/icon_book.png) [https://github.com/omnistep/](https://github.com/omnistep/OpenQuantHelloWorld)LinesCrossover 获得。 +![](../.gitbook/assets/icon_book.png) [https://github.com/omnistep/](https://github.com/omnistep/OpenQuantHelloWorld)LinesCrossover 获得。 ## 策略的运行 策略运行效果如下图所示，可以看出策略是现金绞肉机。 -![](/assets/LinesCrossoverShow.png)ComingSoon... +![](../.gitbook/assets/linescrossovershow.png)ComingSoon... diff --git a/8_a-basic-strategy.md b/8_a-basic-strategy/README.md similarity index 55% rename from 8_a-basic-strategy.md rename to 8_a-basic-strategy/README.md index 7b2c49c..6f79594 100644 --- a/8_a-basic-strategy.md +++ b/8_a-basic-strategy/README.md @@ -1,23 +1,19 @@ -# 一个基础策略:三均线系统 - ---- +# 10.一个基础的策略 ## 从基础代码生成新的OpenQuant策略代码（Solutions） 通常C\#语言开发过程中，我们会从一个我们已经开发的基础应用解决方案\(Solutions\)，形成一个新的程序（解决方案）。这时，我们可以先把原有的Solutions代码目录，完整的复制一份并把目录名定义为未来新的名字，然后用Visual Studio打开，在解决方案资源管理器中，进行重命名操作。 -![](/assets/RenameYourSolutions.png) +![](../.gitbook/assets/renameyoursolutions.png) 在Visual Studio中，可以方便地对，Solutions，Project，类库等等代码文件方便地进行重命名。 -![](/icons/icon_labtubeBlue.ico)现在我们以FlashOrder为基础，形成一个新的策略LinesCrossover，开始尝试开发一个真正的交易策略。注意修改主策略代码中的日志标识，以便在未来交易日志中区分新的策略命名和原有的策略命名。 +![](../.gitbook/assets/icon_labtubeblue%20%286%29.ico)现在我们以FlashOrder为基础，形成一个新的策略LinesCrossover，开始尝试开发一个真正的交易策略。注意修改主策略代码中的日志标识，以便在未来交易日志中区分新的策略命名和原有的策略命名。 -``` +```text //定义策略名字 StrategyName，将被记录在日志中 String StrategyName="FlashOrder要改成LinesCrossover"; ``` -![](/icons/icon_paw.png)借助Vistual Studio工具，可以快速地基于一个基础的C\#解决方案代码，生成一个新的解决方案。 - - +![](../.gitbook/assets/icon_paw%20%287%29.png)借助Vistual Studio工具，可以快速地基于一个基础的C\#解决方案代码，生成一个新的解决方案。 diff --git a/README.md b/README.md index 5e6d73a..05f953b 100644 --- a/README.md +++ b/README.md @@ -1,23 +1,24 @@ -# OpenQuant Coding Step by Step +# 序言Introduction My notebook for building an OpenQuant Trading System step by step. -ver. 0160 2017/10/23 +ver. 0160 2017/10/23 +ver. 0171 2018/08/31 + + + + -ver. 0171 2018/08/31 ---- * 图标说明 | 图标 | 代表含义 | | :---: | :--- | -| ![](/icons/icon_paw.png) | 一个爪印，代表你已经实现了这一步的结果 | -| ![](/icons/icon_bookbig.png) | 一本手册，代表外部参考资料或者资源 | -| ![](/icons/icon_labtubeBlue.ico) | 一个蓝色实验瓶，代表这里要进行的操作和反复的操作 | -| ![](/icons/icon_labtubeOrg.ico) | 一个桔色实验瓶，代表这里查看运行的结果、状态或数据 | - - +| ![](.gitbook/assets/icon_paw%20%285%29.png) | 一个爪印，代表你已经实现了这一步的结果 | +| ![](.gitbook/assets/icon_bookbig%20%282%29.png) | 一本手册，代表外部参考资料或者资源 | +| ![](.gitbook/assets/icon_labtubeblue%20%281%29.ico) | 一个蓝色实验瓶，代表这里要进行的操作和反复的操作 | +| ![](.gitbook/assets/icon_labtubeorg%20%281%29.ico) | 一个桔色实验瓶，代表这里查看运行的结果、状态或数据 | diff --git a/SUMMARY.md b/SUMMARY.md index 87527c1..2f4da2d 100644 --- a/SUMMARY.md +++ b/SUMMARY.md @@ -1,29 +1,29 @@ -# Summary +# Table of contents * [序言Introduction](README.md) -* [1. 在开始之前的准备](before-your-start.md) - * [1.1 操作系统的选择](before-your-start.md#runningos) - * [1.2 下载OpenQuant及插件](before-your-start.md#downloadoqandplugins) - * [1.3 安装OpenQuant及插件](before-your-start.md#installoqandplugins) - * [1.4 配置插件接入市场](before-your-start.md#configplugins) - * [1.5 使用OpenQuant导入合约及历史数据](import-an-instrument-and-its-historical-data.md) - * [使用ThanfData插件](import-an-instrument-and-its-historical-data.md#using) - * [导入合约信息](import-an-instrument-and-its-historical-data.md#importinstrument) - * [导入历史数据](import-an-instrument-and-its-historical-data.md#importdata) +* [1. 在开始之前的准备](before-your-start/README.md) + * [1.1 操作系统的选择](before-your-start/1.1-cao-zuo-xi-tong-de-xuan-ze.md) + * [1.2 下载OpenQuant及插件](before-your-start/1.2-xia-zai-openquant-ji-cha-jian.md) + * [1.3 安装OpenQuant及插件](before-your-start/1.3-an-zhuang-openquant-ji-cha-jian.md) + * [1.4 配置插件接入市场](before-your-start/1.4-pei-zhi-cha-jian-jie-ru-shi-chang.md) + * [1.5 使用OpenQuant导入合约及历史数据](before-your-start/import-an-instrument-and-its-historical-data/README.md) + * [使用ThanfData插件](before-your-start/import-an-instrument-and-its-historical-data/shi-yong-thanfdata-cha-jian.md) + * [导入合约信息](before-your-start/import-an-instrument-and-its-historical-data/dao-ru-he-yue-xin-xi.md) + * [导入历史数据](before-your-start/import-an-instrument-and-its-historical-data/dao-ru-li-shi-shu-ju.md) * [2. 管理未来所有的代码...](manage-your-coding-by-svn.md) * [3. OpenQuant策略代码的结构](structure-of-openquant-solution.md) -* [4. 策略运行的事件驱动和定时驱动机制](openquantce-lve-yun-xing-de-qu-dong-ji-zhi.md) - * [附件：OpenQuant的常用事件](the-events-in-openquant.md) +* [4. 策略运行的事件驱动和定时驱动机制](4.-ce-lve-yun-hang-de-shi-jian-qu-dong-he-ding-shi-qu-dong-ji-zhi/README.md) + * [附件：OpenQuant的常用事件](4.-ce-lve-yun-hang-de-shi-jian-qu-dong-he-ding-shi-qu-dong-ji-zhi/the-events-in-openquant.md) * [5. 设计一个OpenQuant的HelloWorld！](design-an-openquant-helloworld.md) * [6. 开始编写OpenQuant的HelloWorld！](code-an-openquant-helloworld.md) -* [7. 发出交易指令](place-an-order.md) - * [7.1 建立一个发出交易指令的策略FlashOrder](place-an-order.md#flashorder) - * [7.2 FlashOrder的策略逻辑](place-an-order.md#typeoforder) - * [7.3 FlashOrder的代码 v1](flashorderver_v1.md) - * [7.4 将交易记录存入MySQL](log-order-information-using-mysql-db.md) - * [7.5 同时处理多个合约 FlashOrder v2](flashorderver_v2.md) - * [8 构建一个策略的空模板](buildemptytemplate.md) - * [9. 使用OpenQuant的画图功能](82-using-drawing-pad.md) -* [10.一个基础的策略](8_a-basic-strategy.md) - * [10.1 三均线穿越系统](81-linescrossover-strategy.md) +* [7. 发出交易指令](place-an-order/README.md) + * [7.1 建立一个发出交易指令的策略FlashOrder](place-an-order/7.1-jian-li-yi-ge-fa-chu-jiao-yi-zhi-ling-de-ce-lve-flashorder.md) + * [7.2 FlashOrder的策略逻辑](place-an-order/7.2-flashorder-de-ce-lve-luo-ji.md) + * [7.3 FlashOrder的代码 v1](place-an-order/flashorderver_v1.md) + * [7.4 将交易记录存入MySQL](place-an-order/log-order-information-using-mysql-db.md) + * [7.5 同时处理多个合约 FlashOrder v2](place-an-order/flashorderver_v2.md) + * [8 构建一个策略的空模板](place-an-order/buildemptytemplate.md) + * [9. 使用OpenQuant的画图功能](place-an-order/82-using-drawing-pad.md) +* [10.一个基础的策略](8_a-basic-strategy/README.md) + * [10.1 三均线穿越系统](8_a-basic-strategy/81-linescrossover-strategy.md) diff --git a/before-your-start/1.1-cao-zuo-xi-tong-de-xuan-ze.md b/before-your-start/1.1-cao-zuo-xi-tong-de-xuan-ze.md new file mode 100644 index 0000000..15cf670 --- /dev/null +++ b/before-your-start/1.1-cao-zuo-xi-tong-de-xuan-ze.md @@ -0,0 +1,2 @@ +# 1.1 操作系统的选择 + diff --git a/before-your-start/1.2-xia-zai-openquant-ji-cha-jian.md b/before-your-start/1.2-xia-zai-openquant-ji-cha-jian.md new file mode 100644 index 0000000..b852beb --- /dev/null +++ b/before-your-start/1.2-xia-zai-openquant-ji-cha-jian.md @@ -0,0 +1,2 @@ +# 1.2 下载OpenQuant及插件 + diff --git a/before-your-start/1.3-an-zhuang-openquant-ji-cha-jian.md b/before-your-start/1.3-an-zhuang-openquant-ji-cha-jian.md new file mode 100644 index 0000000..040b337 --- /dev/null +++ b/before-your-start/1.3-an-zhuang-openquant-ji-cha-jian.md @@ -0,0 +1,2 @@ +# 1.3 安装OpenQuant及插件 + diff --git a/before-your-start/1.4-pei-zhi-cha-jian-jie-ru-shi-chang.md b/before-your-start/1.4-pei-zhi-cha-jian-jie-ru-shi-chang.md new file mode 100644 index 0000000..2ef79b2 --- /dev/null +++ b/before-your-start/1.4-pei-zhi-cha-jian-jie-ru-shi-chang.md @@ -0,0 +1,2 @@ +# 1.4 配置插件接入市场 + diff --git a/before-your-start.md b/before-your-start/README.md similarity index 55% rename from before-your-start.md rename to before-your-start/README.md index ae2690e..d60b78f 100644 --- a/before-your-start.md +++ b/before-your-start/README.md @@ -1,7 +1,5 @@ # 1. 在开始之前的准备 ---- - 第一步我们要为可以长期稳定运行OpenQuant的准备一个专用环境，下载并安装好程序，配置好相应的参数，让OpenQuant可以接通中国市场。 ## 1. 1 基础操作系统的选择 {#runningos} @@ -10,19 +8,17 @@ 安装OpenQuant软件时，OpenQuant安装程序会自动检测是否有合适的.NET Framework基础软件，如果需要安装程序会自动进行升级安装。 -![](/icons/icon_paw.png) 建议采用Windows Server 2012以上的面向服务器的操作系统软件。 +![](../.gitbook/assets/icon_paw%20%284%29.png) 建议采用Windows Server 2012以上的面向服务器的操作系统软件。 ## 1.2 下载OpenQuant软件及插件 {#downloadoqandplugins} ---- - -* ### **OpenQuant最新版本下载地址：** +* **OpenQuant最新版本下载地址：** [http://www.smartquant.com](http://www.smartquant.com) 英文官方网站 -[http://www.smartquant.cn](http://www.smartquant.cn) 中文服务网站 +[http://www.smartquant.cn](http://www.smartquant.cn) 中文服务网站 -* ### **OpenQuant国内市场插件下载地址：** +* **OpenQuant国内市场插件下载地址：** [http://www.smartquant.cn](http://www.smartquant.cn) @@ -30,39 +26,28 @@ ## 1.3 安装OpenQuant软件及国内市场插件 {#installoqandplugins} ---- - -* ### **OpenQuant安装及国内市场插件安装过程** - -![](/icons/icon_bookbig.png)详见[http://www.smartquant.cn/book/installing.html](http://www.smartquant.cn/book/installing.html) - +* **OpenQuant安装及国内市场插件安装过程** +![](../.gitbook/assets/icon_bookbig.png)详见[http://www.smartquant.cn/book/installing.html](http://www.smartquant.cn/book/installing.html) 或者下载集成了交易、行情、历史数据插件的天风版OpenQuant ## 1.4 配置插件让OpenQuant接入市场 {#configplugins} ---- - -##### ![](/icons/icon_labtubeBlue.ico)**简要OpenQuant安装过程及配置插件记录** +#### ![](../.gitbook/assets/icon_labtubeblue%20%282%29.ico)**简要OpenQuant安装过程及配置插件记录** * [ ] 安装OpenQuant最新版本; - * [ ] 安装国内市场插件; - * [ ] 配置国内市场插件: - * 交易用户名及密码信息\(UserList\) - * CTP服务器地址信息\(ServerList\) - * 交易通道组合信息\(ApiList\) -![](/assets/ApiManagerForm.png) 图： 配置国内市场插件 -- 天风期货CTP +![](../.gitbook/assets/apimanagerform.png) 图： 配置国内市场插件 -- 天风期货CTP 配置完成后，连接插件应该能看见小小的绿色通道灯亮起。 -![](/assets/OQProvidersGreenLight.png) +![](../.gitbook/assets/oqprovidersgreenlight.png) -![](/icons/icon_paw.png)现在，我们已经下载并安装了OpenQuant最新版本及国内市场插件。插件正确配置后可以正常连接至交易通道，可以导入当前期货合约代码，在市场开盘时段，打开OpenQuant中的QuoteMonitor界面，从Instruments窗口拖拽当前合约到QuoteMonitor界面中，可以看到该合约的当前市场报价。 +![](../.gitbook/assets/icon_paw.png)现在，我们已经下载并安装了OpenQuant最新版本及国内市场插件。插件正确配置后可以正常连接至交易通道，可以导入当前期货合约代码，在市场开盘时段，打开OpenQuant中的QuoteMonitor界面，从Instruments窗口拖拽当前合约到QuoteMonitor界面中，可以看到该合约的当前市场报价。 diff --git a/import-an-instrument-and-its-historical-data.md b/before-your-start/import-an-instrument-and-its-historical-data/README.md similarity index 64% rename from import-an-instrument-and-its-historical-data.md rename to before-your-start/import-an-instrument-and-its-historical-data/README.md index b2bfa13..433e8f3 100644 --- a/import-an-instrument-and-its-historical-data.md +++ b/before-your-start/import-an-instrument-and-its-historical-data/README.md @@ -1,21 +1,10 @@ -# OpenQuant导入合约信息及历史数据 +# 1.5 使用OpenQuant导入合约及历史数据 首先面临的工作是让OpenQuant导入国内市场可以交易的标的，暨导入合约信息，并且导入历史数据进行市场的研究和策略的开发。目前OpenQuant已经可以安装专用的历史数据插件。可以十分方便地导入合约信息及历史数据。 -## 使用ThanfData插件{#using} - - - -## 导入合约信息{#importinstrument} - - - - -## 导入历史数据{#importdata} - - - - +## 使用ThanfData插件 {#using} +## 导入合约信息 {#importinstrument} +## 导入历史数据 {#importdata} diff --git a/before-your-start/import-an-instrument-and-its-historical-data/dao-ru-he-yue-xin-xi.md b/before-your-start/import-an-instrument-and-its-historical-data/dao-ru-he-yue-xin-xi.md new file mode 100644 index 0000000..79dc19e --- /dev/null +++ b/before-your-start/import-an-instrument-and-its-historical-data/dao-ru-he-yue-xin-xi.md @@ -0,0 +1,2 @@ +# 导入合约信息 + diff --git a/before-your-start/import-an-instrument-and-its-historical-data/dao-ru-li-shi-shu-ju.md b/before-your-start/import-an-instrument-and-its-historical-data/dao-ru-li-shi-shu-ju.md new file mode 100644 index 0000000..a223d45 --- /dev/null +++ b/before-your-start/import-an-instrument-and-its-historical-data/dao-ru-li-shi-shu-ju.md @@ -0,0 +1,2 @@ +# 导入历史数据 + diff --git a/before-your-start/import-an-instrument-and-its-historical-data/shi-yong-thanfdata-cha-jian.md b/before-your-start/import-an-instrument-and-its-historical-data/shi-yong-thanfdata-cha-jian.md new file mode 100644 index 0000000..89fa732 --- /dev/null +++ b/before-your-start/import-an-instrument-and-its-historical-data/shi-yong-thanfdata-cha-jian.md @@ -0,0 +1,2 @@ +# 使用ThanfData插件 + diff --git a/buildemptytemplate.md b/buildemptytemplate.md deleted file mode 100644 index e69de29..0000000 diff --git a/code-an-openquant-helloworld.md b/code-an-openquant-helloworld.md index 4240324..761df1a 100644 --- a/code-an-openquant-helloworld.md +++ b/code-an-openquant-helloworld.md @@ -1,30 +1,28 @@ -# 开始编写OpenQuant的HelloWorld! - ---- +# 6. 开始编写OpenQuant的HelloWorld！ ## 用OpenQuant创建一个基础代码框架 -![](/icons/icon_labtubeBlue.ico)打开OpenQuant中的**File**菜单，**New**一个新的**solution**, 这里有一些解决方案类别选项，这个例子中，我们选择第一种“SmartQuant Instrument Strategy Solution”， 命名为_HelloWorld，_在OpenQuant的Solution Explorer窗口中，我们可以发现当前有两个工程，**Backtest**和**MyStratey**.这就是最基础的代码框架了，一个回测场景定义工程，一个策略主体工程。 +![](.gitbook/assets/icon_labtubeblue%20%285%29.ico)打开OpenQuant中的**File**菜单，**New**一个新的**solution**, 这里有一些解决方案类别选项，这个例子中，我们选择第一种“SmartQuant Instrument Strategy Solution”， 命名为_HelloWorld，_在OpenQuant的Solution Explorer窗口中，我们可以发现当前有两个工程，**Backtest**和**MyStratey**.这就是最基础的代码框架了，一个回测场景定义工程，一个策略主体工程。 ## 增加一个场景工程-Realtime -![](/icons/icon_labtubeBlue.ico)现在，我们按照设计，再增加一个实盘交易场景工程Realtime。在OpenQuant的Solution Explorer中找到刚刚建立的解决方案HelloWorld，在HelloWorld上鼠标右键，**Add**一个**New Project... ** 我们增加一个场景工程， 选择SmartQuant Scenario Project， 命名为 _**Realtime **_ +![](.gitbook/assets/icon_labtubeblue.ico)现在，我们按照设计，再增加一个实盘交易场景工程Realtime。在OpenQuant的Solution Explorer中找到刚刚建立的解决方案HelloWorld，在HelloWorld上鼠标右键，**Add**一个**New Project...** 我们增加一个场景工程， 选择SmartQuant Scenario Project， 命名为 _**Realtime**_ 现在我们按照设计，这个解决方案（Solution）中已经有了三个工程：一个回测场景，一个实盘场景，一个策略主体; 让我们来在这三个工程中加入代码。 ## 开始编写回测场景Backtest -![](/icons/icon_labtubeBlue.ico)在回测场景工程（Backtest）中，将场景类的名字从MyScenario改为Backtest，以便能和Realtime场景类更为明确地加以区别。修改这个类名会涉及MyScenarios.cs，MySenario.Designer.cs，Program.cs 文件中所有该类定义及调用的代码。如果用微软的Vistual Studio工具将非常的自动化完成这类代码编写工作。 +![](.gitbook/assets/icon_labtubeblue%20%284%29.ico)在回测场景工程（Backtest）中，将场景类的名字从MyScenario改为Backtest，以便能和Realtime场景类更为明确地加以区别。修改这个类名会涉及MyScenarios.cs，MySenario.Designer.cs，Program.cs 文件中所有该类定义及调用的代码。如果用微软的Vistual Studio工具将非常的自动化完成这类代码编写工作。 然后，我们增加回测场景的定义，包括测试的合约，我们引入螺纹钢期货rb1709合约，我们假设你已经在OpenQuant中引入了rb1709合约，同时使用历史数据插件导入了2017年1月1日至2017年3月1日的Tick级别的历史数据。 -![](/icons/icon_bookbig.png)OpenQuant引入合约代码及导入历史数据，请参考如下资料： +![](.gitbook/assets/icon_bookbig%20%281%29.png)OpenQuant引入合约代码及导入历史数据，请参考如下资料： -[http://www.smartquant.cn/book/domestic\_market\_data.html](http://www.smartquant.cn/book/domestic_market_data.html "OpenQuant导入合约代码及历史数据") +[http://www.smartquant.cn/book/domestic\_market\_data.html](http://www.smartquant.cn/book/domestic_market_data.html) 1. 在**Backtest**工程的**MyScenario.cs**文件中，编写代码如下 -``` +```text using System; using SmartQuant; @@ -70,11 +68,11 @@ namespace OpenQuant } ``` -上面的代码public partial class** Backtest**:Scenario 修改了原来OpenQuant自动生成的public partial class **MyScenario**:Scenario , 为此我们也要修改这个工程中的MyScenario.Designer.cs中这个“类”的名字， 把自动生成的public partial class MyScenario改为public partial class Backtest +上面的代码public partial class **Backtest**:Scenario 修改了原来OpenQuant自动生成的public partial class **MyScenario**:Scenario , 为此我们也要修改这个工程中的MyScenario.Designer.cs中这个“类”的名字， 把自动生成的public partial class MyScenario改为public partial class Backtest 在Backtest工程中的**MyScenario.Designer.cs**文件中，编写代码如下 -``` +```text using System; using SmartQuant; @@ -92,7 +90,7 @@ namespace OpenQuant 在Backtest工程中的**Program.cs**文件中，编写代码如下，同样将原有的MyScenario改为Backtest -``` +```text using System; using SmartQuant; @@ -113,13 +111,13 @@ namespace OpenQuant 我们从这个工程的入口程序中，我们可以看到，程序开始运行后，就从一个叫做Backtest的场景类初始化，并开始让场景运行。 -1. ## 开始编写核心策略逻辑MyStrategy +1. **开始编写核心策略逻辑MyStrategy** 我们在这个核心逻辑中，当行情数据产生了K线中新的Bar时，我们在信息输出窗口中向外输出期待已久的HelloWorld，同时显示合约名字和当前行情形成K的Bar的平均价格。 -![](/icons/icon_labtubeBlue.ico)在**MyStrategy**工程中的**MyStrategy.cs**文件中，编写代码如下 +![](.gitbook/assets/icon_labtubeblue%20%288%29.ico)在**MyStrategy**工程中的**MyStrategy.cs**文件中，编写代码如下 -``` +```text using System; using SmartQuant; @@ -154,23 +152,23 @@ namespace OpenQuant } ``` -![](/icons/icon_paw.png)这时你有了一个可以回测合约的历史数据，基础框架，运行结果如下： +![](.gitbook/assets/icon_paw%20%281%29.png)这时你有了一个可以回测合约的历史数据，基础框架，运行结果如下： -![](/assets/OpenQuantHelloWorldRunning.png) +![](.gitbook/assets/openquanthelloworldrunning.png) ## 开始编写实盘接入场景Realtime -1. ### 引入MyStrategy工程类 +1. **引入MyStrategy工程类** 在接入实盘收行情时，我们会将解决方案中的Realtime作为启动工程，在这个工程中将实例化一个主逻辑MyStrategy类，**为此，我们先要在Realtime工程中，引入MyStrategy工程类。**正如OpenQuant生成的Backtest中已经引入了Mystrategy工程类一样。 -![](/icons/icon_labtubeBlue.ico)在OpenQuant的Solution Explorer中的Realtime工程的References中，鼠标右键Add，选择Solution后，选择添加MyStrategy工程。 +![](.gitbook/assets/icon_labtubeblue%20%287%29.ico)在OpenQuant的Solution Explorer中的Realtime工程的References中，鼠标右键Add，选择Solution后，选择添加MyStrategy工程。 -1. ### 编写实盘场景Realtime的代码 +1. **编写实盘场景Realtime的代码** 接入实时到动态行情数据，我们要定义实盘接入场景，在Realtime工程中的**Scenario.cs**文件中，编写代码如下： -``` +```text using System; using System.Collections.Generic; using System.Linq; @@ -221,13 +219,13 @@ namespace OpenQuant 这里HelloWolrd解决方案的Realtime工程中的Scenario.Designer.cs及Program.cs均不需要改动代码。 -![](/icons/icon_labtubeOrg.ico)在OpenQuant的Solution Explorer中，将Realtime工程设置为启动工程（Set as StartUp Project），然后把OpenQuant切换为实盘模式（Live）后，运行HelloWorld解决方案，并观察输出： +![](.gitbook/assets/icon_labtubeorg.ico)在OpenQuant的Solution Explorer中，将Realtime工程设置为启动工程（Set as StartUp Project），然后把OpenQuant切换为实盘模式（Live）后，运行HelloWorld解决方案，并观察输出： -![](/icons/icon_paw.png)现在我们已经有了一个HelloWorld解决方案，该方案已经让我们完成一个主体逻辑后，可以进行回测状态和实盘状态的定义和切换。如果需要回测，我们就将Backtest工程设置为启动项，如果进行实盘接入，我们就将Realtime工程设置为启动项。 +![](.gitbook/assets/icon_paw%20%286%29.png)现在我们已经有了一个HelloWorld解决方案，该方案已经让我们完成一个主体逻辑后，可以进行回测状态和实盘状态的定义和切换。如果需要回测，我们就将Backtest工程设置为启动项，如果进行实盘接入，我们就将Realtime工程设置为启动项。 完整的代码应该存在版本控制系统中进行管理。 上述完整HelloWorld代码可以从如下地址获得： -![](/icons/icon_book.png) [https://github.com/omnistep/OpenQuantHelloWorld](https://github.com/omnistep/OpenQuantHelloWorld) 获得。 +![](.gitbook/assets/icon_book%20%282%29.png) [https://github.com/omnistep/OpenQuantHelloWorld](https://github.com/omnistep/OpenQuantHelloWorld) 获得。 diff --git a/design-an-openquant-helloworld.md b/design-an-openquant-helloworld.md index a400b8a..6ffdfab 100644 --- a/design-an-openquant-helloworld.md +++ b/design-an-openquant-helloworld.md @@ -1,6 +1,4 @@ -# 设计一个OpenQuant的HelloWorld！ - ---- +# 5. 设计一个OpenQuant的HelloWorld！ 在对OpenQuant的代码结构和驱动机制有了大致的了解后，让我们来开始搞一个OpenQuant的HelloWorld系统吧... @@ -12,14 +10,12 @@ 总体代码结构应该是这样的： -![](/assets/design_helloworld.jpg) +![](.gitbook/assets/design_helloworld.jpg) 整个解决方案由三个工程组成： 1. 回测场景定义的**Backtest**：主要定义用于回测的合约，及其历史数据的回测时间段； - 2. 实盘场景定义的**Realtime**：主要定义交易通道，实盘交易的合约。 - 3. 策略主体的**MyStrategy**：主要编写策略逻辑，我们的Hellow World代码就会出现在这里。 而优化（Optimization）的部分，目前先忽略。现在就来创建这个HelloWorld吧！ diff --git a/manage-your-coding-by-svn.md b/manage-your-coding-by-svn.md index 867e3ea..dbef7a5 100644 --- a/manage-your-coding-by-svn.md +++ b/manage-your-coding-by-svn.md @@ -1,8 +1,6 @@ -# 管理未来所有的代码 - ---- +# 2. 管理未来所有的代码... 应该在工作开始前，就规划着手管理起你未来所有的策略代码。构建起一个明确的工作流程及管理体系，能让你的策略设计文档、策略程序代码及配置信息等诸多文件井井有条，这将极大的帮助你形成轻松高效并且稳定的开发管理体系。毕竟，稳定的过程导致稳定的质量。 -![](/icons/icon_paw.png)建立程序化交易开发管理体系，用SVN或者Git这样的版本控制系统管理你所有的代码及文档。 +![](.gitbook/assets/icon_paw%20%282%29.png)建立程序化交易开发管理体系，用SVN或者Git这样的版本控制系统管理你所有的代码及文档。 diff --git a/place-an-order/7.1-jian-li-yi-ge-fa-chu-jiao-yi-zhi-ling-de-ce-lve-flashorder.md b/place-an-order/7.1-jian-li-yi-ge-fa-chu-jiao-yi-zhi-ling-de-ce-lve-flashorder.md new file mode 100644 index 0000000..22157f5 --- /dev/null +++ b/place-an-order/7.1-jian-li-yi-ge-fa-chu-jiao-yi-zhi-ling-de-ce-lve-flashorder.md @@ -0,0 +1,2 @@ +# 7.1 建立一个发出交易指令的策略FlashOrder + diff --git a/place-an-order/7.2-flashorder-de-ce-lve-luo-ji.md b/place-an-order/7.2-flashorder-de-ce-lve-luo-ji.md new file mode 100644 index 0000000..b94907b --- /dev/null +++ b/place-an-order/7.2-flashorder-de-ce-lve-luo-ji.md @@ -0,0 +1,2 @@ +# 7.2 FlashOrder的策略逻辑 + diff --git a/82-using-drawing-pad.md b/place-an-order/82-using-drawing-pad.md similarity index 95% rename from 82-using-drawing-pad.md rename to place-an-order/82-using-drawing-pad.md index 395e323..0d5d283 100644 --- a/82-using-drawing-pad.md +++ b/place-an-order/82-using-drawing-pad.md @@ -1,6 +1,4 @@ -# 8.使用OpenQuant的画图功能 - ---- +# 9. 使用OpenQuant的画图功能 在使用OpenQuant系统时， 我们通常要吧行情数据、指标数据、交易执行信息等在图中展示出来。OpenQuant系统菜单中打开view-chart, 或者view-chart\(gapless\)就可以看到OpenQuant的绘图板。Chart（gapless）是不考虑无数据时间的情况，例如盘后时间，或盘中休息、暂停交易等情况，绘制的是全连续的行情数据图形。 @@ -10,7 +8,7 @@ 在场景文件中，先定义行情数据的K线属性，什么合约、什么周期，什么K线类型等等， OpenQuant不仅支持价格K线，同时也支持交易量K线，涨跌幅K线，Tick型K线等等其他类型。我们以时间型K线为例，场景scenario.cs代码为： -``` +```text using System; using SmartQuant; @@ -64,7 +62,7 @@ namespace OpenQuant 然后在主策略文件中的定义画布的参数和绘制，MyStrategy.cs的代码片段如下： -``` +```text ... ... public class MyStrategy : InstrumentStrategy { @@ -137,7 +135,7 @@ namespace OpenQuant 在OnBar事件发生时，我们绘制K线和三条不同周期的均线 ,代码片段如下： -``` +```text protected override void OnBar(Instrument instrument, Bar bar) { @@ -180,9 +178,9 @@ namespace OpenQuant 这样我们绘制的图像如下： -![](/assets/UsingDrawingPad01.png) +![](../.gitbook/assets/usingdrawingpad01.png) 上述完整LinesCrossover代码可以从如下地址获得： -![](/icons/icon_book.png) [https://github.com/omnistep/](https://github.com/omnistep/OpenQuantHelloWorld)LinesCrossover 获得。 +![](../.gitbook/assets/icon_book%20%281%29.png) [https://github.com/omnistep/](https://github.com/omnistep/OpenQuantHelloWorld)LinesCrossover 获得。 diff --git a/place-an-order.md b/place-an-order/README.md similarity index 52% rename from place-an-order.md rename to place-an-order/README.md index 5e9e5dc..228b17a 100644 --- a/place-an-order.md +++ b/place-an-order/README.md @@ -1,9 +1,66 @@ # 7. 发出交易指令 ---- - ## 7.1建立一个发出交易指令的策略FlashOrder {#flashorder} +在OpenQuant中，基础的交易指令代码如下： + +... ... + +```text +using QuantBox; +``` + +... ... + +```text +//定义报单数量myOrdQty, 定义报单价格 myOrdPxU:当前价格加3跳; myOrdPxL:当前价格减3跳 +int myOrdQty = 1; +double myOrdPxU = bar.Close + instrument.TickSize*3; +double myOrdPxU = bar.Close - instrument.TickSize*3; +``` + +```text + + +//限价买入开仓-△ +Order myBuyLimitOrder = BuyLimitOrder(instrument, myOrdQty, myOrdPxU,"买开△"); +Send(myBuyLimitOrder); + +//限价卖出平仓-▼ +Order mySellLimitOrder = SellLimitOrder(instrument, myOrdQty, myOrdPxU , "卖平▼"); +mySellLimitOrder.Close(); +Send(myBuyLimitOrder); + +//限价卖出开仓-▽ +Order mySellLimitOrder = SellLimitOrder(instrument, myOrdQty, myOrdPxU , "卖开▽"); +mySellLimitOrder.SubSide = SubSide.SellShort; +Send(myBuyLimitOrder); + +//限价买入平仓-▲ +Order myBuyLimitOrder = BuyLimitOrder(instrument, myOrdQty, myOrdPxU,"买开▲"); +myBuyLimitOrder.SubSide = SubSide.BuyCover; +myBuyLimitOrder.Close(); +Send(myBuyLimitOrder); +``` + + + + + + + + + + + + + + + + + + + 现在我们来构建一个新的交易策略代码。在这个策略中我们将实现： * [x] 发出期货交易中限价定单的交易指令：做多交易的买入开仓、卖出平仓；做空交易的卖出开仓、买入平仓。 @@ -12,7 +69,7 @@ 我们把这个交易策略命名为FlashOrder -![](/icons/icon_labtubeBlue.ico)使用OpenQuant系统建立一个新的策略，并命名为FlashOrder +![](../.gitbook/assets/icon_labtubeblue%20%2810%29.ico)使用OpenQuant系统建立一个新的策略，并命名为FlashOrder ## 7.2 FlashOrder的策略逻辑 {#typeoforder} @@ -21,16 +78,12 @@ 在交易执行层面，我们只要处理四种定单的场景，即： 1. 买入开仓定单，简记符号为 △ 2. 卖出平仓定单，简记符号为 ▼ -3. 卖出开仓定单，简记符号为 ▽ +3. 卖出开仓定单，简记符号为 ▽ 4. 买入平仓定单，简介符号为 ▲ -![](/icons/icon_paw.png)使用定单简记符号将使得研究交易策略，或输出运行日志时有很好的可阅读性。而且这组符号很容易识别和记忆。 +![](../.gitbook/assets/icon_paw%20%283%29.png)使用定单简记符号将使得研究交易策略，或输出运行日志时有很好的可阅读性。而且这组符号很容易识别和记忆。 在这个策略中，我们还需要处理两个事件：行情进入时的OnBar事件，和报单成交时的OnFill事件。为了测试上述4种定单，我们在OnBar事件发生时，将报出买入开仓△，和卖出开仓▽，当定单成交后，马上发出平仓单，为了控制每次OnBar事件发生时候，都发出开仓定单，导致资金消耗过多，我们用全局变量控制是否允许开仓进场，swLongEnable控制做多方向，swShortEnable控制做空方向。FlashOrder的总体策略逻辑如下图所示： -![](/assets/FlashOrderStrategyDiagram.png) - -## - - +![](../.gitbook/assets/flashorderstrategydiagram.png) diff --git a/place-an-order/buildemptytemplate.md b/place-an-order/buildemptytemplate.md new file mode 100644 index 0000000..944c07a --- /dev/null +++ b/place-an-order/buildemptytemplate.md @@ -0,0 +1,4 @@ +# 8 构建一个策略的空模板 + + + diff --git a/flashorderver_v1.md b/place-an-order/flashorderver_v1.md similarity index 96% rename from flashorderver_v1.md rename to place-an-order/flashorderver_v1.md index 3c3f373..bb87a32 100644 --- a/flashorderver_v1.md +++ b/place-an-order/flashorderver_v1.md @@ -1,10 +1,10 @@ -## 7.3 FlashOrder的逻辑代码 +# 7.3 FlashOrder的代码 v1 -FlashOrder策略还是由3个工程组成，Backtest，MyStrategy和Realtime。 +FlashOrder策略还是由3个工程组成，Backtest，MyStrategy和Realtime。 其中Backtest工程中的MyScenario.cs代码为： -``` +```text using System; using SmartQuant; @@ -55,7 +55,7 @@ namespace OpenQuant Realtime工程中的Scenario.cs代码为： -``` +```text using System; using System.Collections.Generic; using System.Linq; @@ -109,7 +109,7 @@ namespace OpenQuant 而MyStrategy工程中先要引入QuantBox.OQ.dll, 该文件安装QuantBoxCTP插件后，可以在OpenQuant默认安装路径中找到。MyStrategy.cs代码为： -``` +```text using System; using System.Drawing; using SmartQuant; @@ -272,7 +272,7 @@ namespace OpenQuant } ``` -![](/icons/icon_labtubeOrg.ico)运行策略后，应该通过OpenQuant自己的OrderManager及CTP通用交易客户终端查看到报单状况。 +![](../.gitbook/assets/icon_labtubeorg%20%282%29.ico)运行策略后，应该通过OpenQuant自己的OrderManager及CTP通用交易客户终端查看到报单状况。 -![](/assets/FlashOrderFilled.png) +![](../.gitbook/assets/flashorderfilled.png) diff --git a/flashorderver_v2.md b/place-an-order/flashorderver_v2.md similarity index 95% rename from flashorderver_v2.md rename to place-an-order/flashorderver_v2.md index f32b3b2..129a608 100644 --- a/flashorderver_v2.md +++ b/place-an-order/flashorderver_v2.md @@ -1,14 +1,12 @@ # 7.5 同时处理多个合约 FlashOrder v2 ---- - 通常我们需要相同的策略同时处理多个合约，根据实际情况，我们选择几种方法来管理多个合约的信息。 -* ## 最简单的方法 +* **最简单的方法** 简单的方法就是在场景文件Scenario.cs中，直接定义新的合约变量，复制相关代码即可， 主策略代码不用改变，策略运行时，你会发现一个合约就是策略的一个实例，它们都在并行的运行。 -``` +```text //定义合约 Instrument instrument1 = InstrumentManager.Instruments["au1712"]; Instrument instrument2 = InstrumentManager.Instruments["rb1801"]; @@ -30,11 +28,11 @@ ... ... ``` -* ## 优雅的方法,使用数组字符串 +* **优雅的方法,使用数组字符串** 在场景文件Scenario.cs中，可以定义一个变量数组， 采用循环代码进行加载，但这个方法中， 会出现你想加入的合约信息并没有在OpenQuant引入过，代码会报出提示， 如果有这样的情况，你应该先在OpenQuant中手动引入相关的合约信息（过程详见1.5 导入合约信息），场景文件中的相关代码如下： -``` +```text public override void Run() { @@ -83,25 +81,7 @@ ... ... ``` -* ## 更好的方式，使用数据库 +* **更好的方式，使用数据库** Coming soon... ... - - - - - - - - - - - - - - - - - - diff --git a/log-order-information-using-mysql-db.md b/place-an-order/log-order-information-using-mysql-db.md similarity index 86% rename from log-order-information-using-mysql-db.md rename to place-an-order/log-order-information-using-mysql-db.md index d3920da..84abc7e 100644 --- a/log-order-information-using-mysql-db.md +++ b/place-an-order/log-order-information-using-mysql-db.md @@ -1,46 +1,46 @@ -# 7.4 将交易记录存入MySQL - ---- +# 7.4 将交易记录存入MySQL 对于一个完善的IT系统，无论是交易系统，还是业务管理系统，我们都会按照层次结构来规划。作为一个交易系统，我们需要将交易日志存入数据，以提供业务监控、问题排查、数据统计分析。 现在我们就将FlashOrder下单的记录全部存入Mysql数据库。 -![](/icons/icon_labtubeBlue.ico)大致过程分为五步，第一步建立数据库及日志表；第二步在FlashOrder中引入相关的MySQL动态链接库；第三步编写一个日志存储功能的方法，让主策略代码可以调用日志功能。这个文件我们命名为OmniLog.cs，这个文件我们和主策略代码放在一个工程代码中； 第四步，我们在主策略的下单代码后面，插入调用日志存储的方法；第五步，使用MySQL工具及性能工具进行日志存储的查看和监控。 +![](../.gitbook/assets/icon_labtubeblue%20%289%29.ico)大致过程分为五步，第一步建立数据库及日志表；第二步在FlashOrder中引入相关的MySQL动态链接库；第三步编写一个日志存储功能的方法，让主策略代码可以调用日志功能。这个文件我们命名为OmniLog.cs，这个文件我们和主策略代码放在一个工程代码中； 第四步，我们在主策略的下单代码后面，插入调用日志存储的方法；第五步，使用MySQL工具及性能工具进行日志存储的查看和监控。 -* ### 第一步-安装MySQL数据库及建立交易日志表 +* **第一步-安装MySQL数据库及建立交易日志表** 第一步，我们安装好MySQL数据库，并建立交易报单日志表LogOrder表，建表SQL如下： - CREATE TABLE `logorder` ( - `id` INT(11) NOT NULL AUTO_INCREMENT, - `logdatetime` DATETIME(6) NULL DEFAULT NULL COMMENT 'log记录时间', - `StrategyName` VARCHAR(20) NULL DEFAULT NULL COMMENT '策略名字' COLLATE 'utf8mb4_unicode_ci', - `OrdId` INT(11) NULL DEFAULT NULL, - `OrdDateTime` DATETIME(6) NULL DEFAULT NULL, - `Symbol` VARCHAR(10) NULL DEFAULT NULL COLLATE 'latin1_swedish_ci', - `TradeDay` DATE NULL DEFAULT NULL, - `Side` VARCHAR(10) NULL DEFAULT NULL COLLATE 'latin1_swedish_ci', - `Type` VARCHAR(10) NULL DEFAULT NULL COLLATE 'latin1_swedish_ci', - `Qty` INT(11) NULL DEFAULT NULL, - `Price` FLOAT NULL DEFAULT NULL, - `Status` VARCHAR(16) NULL DEFAULT NULL COLLATE 'latin1_swedish_ci', - `note` VARCHAR(50) NULL DEFAULT NULL COMMENT '备注' COLLATE 'utf8mb4_unicode_ci', - PRIMARY KEY (`id`) - ) - COMMENT='定单日志表，存储所有交易记录' - COLLATE='utf8mb4_unicode_ci' - ENGINE=InnoDB - AUTO_INCREMENT=72969 - ; - -* ### 第二步-在策略工程中引入MySQL的DLL库及建立MySQL访问代码 +```text +CREATE TABLE `logorder` ( + `id` INT(11) NOT NULL AUTO_INCREMENT, + `logdatetime` DATETIME(6) NULL DEFAULT NULL COMMENT 'log记录时间', + `StrategyName` VARCHAR(20) NULL DEFAULT NULL COMMENT '策略名字' COLLATE 'utf8mb4_unicode_ci', + `OrdId` INT(11) NULL DEFAULT NULL, + `OrdDateTime` DATETIME(6) NULL DEFAULT NULL, + `Symbol` VARCHAR(10) NULL DEFAULT NULL COLLATE 'latin1_swedish_ci', + `TradeDay` DATE NULL DEFAULT NULL, + `Side` VARCHAR(10) NULL DEFAULT NULL COLLATE 'latin1_swedish_ci', + `Type` VARCHAR(10) NULL DEFAULT NULL COLLATE 'latin1_swedish_ci', + `Qty` INT(11) NULL DEFAULT NULL, + `Price` FLOAT NULL DEFAULT NULL, + `Status` VARCHAR(16) NULL DEFAULT NULL COLLATE 'latin1_swedish_ci', + `note` VARCHAR(50) NULL DEFAULT NULL COMMENT '备注' COLLATE 'utf8mb4_unicode_ci', + PRIMARY KEY (`id`) +) +COMMENT='定单日志表，存储所有交易记录' +COLLATE='utf8mb4_unicode_ci' +ENGINE=InnoDB +AUTO_INCREMENT=72969 +; +``` + +* **第二步-在策略工程中引入MySQL的DLL库及建立MySQL访问代码** 在FlashOrder解决方案的在MyStrategy工程中，先引入Mysql的.NET驱动库：**MySql.Data.dll** 。这个动态链接库文件你可以在MySQL的安装目录中也可以找到。 再在MyStrategy工程中增加MySQL访问功能的公共方法代码，文件名MysqlMan.cs ，该文件代码如下： -``` +```text /* * Purpose: MySQL DB Access * @@ -198,11 +198,11 @@ namespace OpenQuant } ``` -* ### 第三步-编写日志存储功能OmniLog.cs +* **第三步-编写日志存储功能OmniLog.cs** 在FlashOrder解决方案的MyStrategy工程中，增加日志存储功能OmniLog.cs文件，该文件负责提供报单日志存储方法，以便策略中可以方便地调用，保存报单日志，OmniLog.cs的代码如下： -``` +```text /* * Purpose: OmniLog * @@ -259,17 +259,17 @@ namespace OpenQuant } ``` -* ### 第四步-在主策略逻辑中增加日志存储代码 +* **第四步-在主策略逻辑中增加日志存储代码** 现在我们可以在主策略逻辑中保存报单日志了，报单日志保存的调用方法是： -``` +```text OmniLog.logOrder(StrategyName,OrdId, DateTime.Now,OrdDateTime,Symbol,Side,Type,Qty,Price,Status,Note) ``` FlashOrder的主策略代码改为： -``` +```text using System; using System.Drawing; using SmartQuant; @@ -446,15 +446,15 @@ namespace OpenQuant } ``` -* ### 第五步-使用MySQL工具进行查看及监控 +* **第五步-使用MySQL工具进行查看及监控** -![](/icons/icon_labtubeOrg.ico)这时运行策略FlashOrder,当有报单时，OmniLog会将所有报单记录存入数据库的表LogOrder +![](../.gitbook/assets/icon_labtubeorg%20%283%29.ico)这时运行策略FlashOrder,当有报单时，OmniLog会将所有报单记录存入数据库的表LogOrder 在MySQL中记录定单日志如下： -![](/assets/Table_logorder.png) +![](../.gitbook/assets/table_logorder.png) 通过Mysql的Workbench工具可以监控数据库的状态，Dashboard工具如下图所示： -![](/assets/MysqlDashboard01.png)我们会发现这样写日志的效率还是有些慢，但对于没有做高频交易（HFT）的情况，这些工具是适用的。 +![](../.gitbook/assets/mysqldashboard01.png)我们会发现这样写日志的效率还是有些慢，但对于没有做高频交易（HFT）的情况，这些工具是适用的。 diff --git a/structure-of-openquant-solution.md b/structure-of-openquant-solution.md index 5679efc..15eedfc 100644 --- a/structure-of-openquant-solution.md +++ b/structure-of-openquant-solution.md @@ -1,25 +1,21 @@ -# OpenQuant 策略代码的结构 - ---- +# 3. OpenQuant策略代码的结构 ## OpenQuant策略示例中的代码结构分析 -![](/icons/icon_labtubeBlue.ico)打开OpenQuant中的SMACrossover策略，这是一个经典的SMA交叉策略，打开后可以直接运行看到回测结果。这里我们着重看一下这个例子的代码结构和调用关系。 +![](.gitbook/assets/icon_labtubeblue%20%283%29.ico)打开OpenQuant中的SMACrossover策略，这是一个经典的SMA交叉策略，打开后可以直接运行看到回测结果。这里我们着重看一下这个例子的代码结构和调用关系。 -![](/assets/SMACrossoverSolutionExplorer.png) +![](.gitbook/assets/smacrossoversolutionexplorer.png) 这个解决方案中，有四个工程 -**Backtest** ：回测，定义回测时的场景，引入的数据，回测的起始及结束日期，构造K线生成要素 -**MyStrategy** ：策略逻辑主体，定义均线，绘制K线及均线的主要图表，处理交易逻辑，处理成交事件，处理持仓等等 +**Backtest** ：回测，定义回测时的场景，引入的数据，回测的起始及结束日期，构造K线生成要素 +**MyStrategy** ：策略逻辑主体，定义均线，绘制K线及均线的主要图表，处理交易逻辑，处理成交事件，处理持仓等等 **Optimization** ：策略优化参数定义，及策略优化的起始及结束日期 -**Realtime** ：实盘交易的场景，引入的合约，行情源及交易通道定义 +**Realtime** ：实盘交易的场景，引入的合约，行情源及交易通道定义 这样的结构如图所示： -![](/assets/SMACrossoverCodeMap.png) +![](.gitbook/assets/smacrossovercodemap.png) 图：OpenQuant策略示例SMACrossover的代码结构 - - From da4d059c46a551f061e111db20ddb7ed437d7265 Mon Sep 17 00:00:00 2001 From: OmniStep Date: Thu, 13 Sep 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100644 --- a/README.md +++ b/README.md @@ -13,12 +13,22 @@ ver. 0171 2018/08/31 + + + + + + + + * 图标说明 | 图标 | 代表含义 | | :---: | :--- | -| ![](.gitbook/assets/icon_paw%20%285%29.png) | 一个爪印，代表你已经实现了这一步的结果 | -| ![](.gitbook/assets/icon_bookbig%20%282%29.png) | 一本手册，代表外部参考资料或者资源 | -| ![](.gitbook/assets/icon_labtubeblue%20%281%29.ico) | 一个蓝色实验瓶，代表这里要进行的操作和反复的操作 | -| ![](.gitbook/assets/icon_labtubeorg%20%281%29.ico) | 一个桔色实验瓶，代表这里查看运行的结果、状态或数据 | +| ![](.gitbook/assets/icon_paw %285%29.png) | 一个爪印，代表你已经实现了这一步的结果 | +| ![](.gitbook/assets/icon_bookbig %282%29.png) | 一本手册，代表外部参考资料或者资源 | +| ![](.gitbook/assets/icon_labtubeblue %281%29.ico) | 一个蓝色实验瓶，代表这里要进行的操作和反复的操作 | +| ![](.gitbook/assets/icon_labtubeorg %281%29.ico) | 一个桔色实验瓶，代表这里查看运行的结果、状态或数据 | + + diff --git a/SUMMARY.md b/SUMMARY.md index 2f4da2d..b1bd060 100644 --- a/SUMMARY.md +++ b/SUMMARY.md @@ -1,15 +1,15 @@ -# Table of contents +# Summary * [序言Introduction](README.md) * [1. 在开始之前的准备](before-your-start/README.md) * [1.1 操作系统的选择](before-your-start/1.1-cao-zuo-xi-tong-de-xuan-ze.md) + * [1.5 使用OpenQuant导入合约及历史数据](before-your-start/import-an-instrument-and-its-historical-data/README.md) * [1.2 下载OpenQuant及插件](before-your-start/1.2-xia-zai-openquant-ji-cha-jian.md) * [1.3 安装OpenQuant及插件](before-your-start/1.3-an-zhuang-openquant-ji-cha-jian.md) * [1.4 配置插件接入市场](before-your-start/1.4-pei-zhi-cha-jian-jie-ru-shi-chang.md) - * [1.5 使用OpenQuant导入合约及历史数据](before-your-start/import-an-instrument-and-its-historical-data/README.md) - * [使用ThanfData插件](before-your-start/import-an-instrument-and-its-historical-data/shi-yong-thanfdata-cha-jian.md) - * [导入合约信息](before-your-start/import-an-instrument-and-its-historical-data/dao-ru-he-yue-xin-xi.md) - * [导入历史数据](before-your-start/import-an-instrument-and-its-historical-data/dao-ru-li-shi-shu-ju.md) + * [OpenQuant天风版软件安装配置快速指南](before-your-start/import-an-instrument-and-its-historical-data/shi-yong-thanfdata-cha-jian.md) + * [导入合约信息](before-your-start/import-an-instrument-and-its-historical-data/dao-ru-he-yue-xin-xi.md) + * [导入历史数据](before-your-start/import-an-instrument-and-its-historical-data/dao-ru-li-shi-shu-ju.md) * [2. 管理未来所有的代码...](manage-your-coding-by-svn.md) * [3. OpenQuant策略代码的结构](structure-of-openquant-solution.md) * [4. 策略运行的事件驱动和定时驱动机制](4.-ce-lve-yun-hang-de-shi-jian-qu-dong-he-ding-shi-qu-dong-ji-zhi/README.md) diff --git a/assets/commonly_strategy_event01.png b/assets/commonly_strategy_event01.png deleted file mode 100644 index 629072f2a7349a35919cd60223b7a390628ff840..0000000000000000000000000000000000000000 GIT binary patch literal 0 HcmV?d00001 literal 28809 zcmdqJbySpJ7%mD(cb77hloCTX1JYeeccUO6Al(X50t!gT08*kzh=fXwLrF`Qq;w8L z!@&6v@ORc(>zse?S$C~_*ZTh2^X>fhexLVw-gi&5j+QbJK0Q7f8XA$Rih>>*8pbRd z8u}tG22i5c+ctxS#)PJ-Aa~yveZ4-Y+|1E?)9+=V%}OZoD|=5Dx?awRuTfSJ>|6;q zsET9m=RR@2lbC$hu=XuD3_>2G{5e%?TvXXb`el~VYV}eD*JHL-m6h%=f{IY_Tup*PW2P5! zq9bTnw8q&j#rHuCQ$hCPiBz7MK1G~^>we<*=7S2rcd%kYabNs>{!lb6MepDUDs6M+ z6P9@vD|>+L{{6TsH?u$C*4uT~rEc0fQj>Y^mW^WDY8pd(4dq3h3>Bb2b*=d`-ev!CFnsMTRD3Zo`qlZF6ZlyCv|o> zA4SX%BkcBdA=Ui*)0SXg_ln#5^E;~Rgi@14-3ihM{U^Et0Z9s5drWATGz5NygSON`*fs z^^v^8KsL>^KBGj}r$TKk+LE?>FTSf)muGeNSpD%btMS>&x(q*`XxkI%n2m$U9b0&z zP$NloPv`~)MUd3`s2jRPM^p>q#V)#okJ)cii_--}VSiedx*ZWB ztFBu2b*7(qWQ!)9UhhpYjKiPun`VkK?Gb9Ez5c`g$ulWgU4|jtJX1R*Q918LX*J+V z=0uNX!?Y5~Z?W*au%vimkeDJ~M!;w7u!#aa&PkzTY|bb7wA3EEVhPbU4!&IaVRA9= z)xi_U{)5KTsIA5U#{Sk!t?I^&#-QKNN3tY+9^1q5gWn!ypS=k=i)}oNrO4C{M9vs$ zH!M=JdT_Co*&`%>nZGNYlTA8fb+dT5?@ahb*GlxE zBKvW!jA5?V-;UAAn8NA`pP>r{pVWk$XrJ$DpC2ZiA5MPrgdG1$=*w|`Ukl6na&Y1j z8*5^hq{OW4Df>0WK1ehwBZ8XQjj9EuxQnDuk_xfe$LGQmCc4~lU&7EDq(vI+c?03m zdnBi8kn??c?X!~r#*7obo9FH$=etoPr?V^ZMS>BrVk4z_l+o4Qpo74q78lUHW|wL# zYBUH@>mi+=Uqm$ZqODl-Oqbv6Zg3gJAu2JueWD@W%Fz*ha%bfLMr|uk9UXw37EkNn zRn5IsgBD8?J}U&-Od_AKXmgodyFQ;0tnM>6&zH*T*DPg@tCS&Uh=lWg$&lPbg1WWMF0_G~ z0eI-BEN#|QkJo1hh*}Zh)mkpAqD@D9uC1kwf-y>VBNL|2mJA&%#%d9T2_dJ`K`0u~ zRQc!Gu2wlWoHctCSoCWQ(KiZ(+!`YE@!W^ z#mPY9eIESfJL?9q848#7N5KjM_q1*6tgY-UB=&q{Amk+E{Le4j%mnFE6wc#@4Tr#{ zrIay2{Yw3!JkwsbHvteeZE>ut0fgcbCO2sZ@4PN3D9AqBEefVSPgOv=P1PM~y7>=i zivIos$9~v&P`~y3Y!)6BvQ`t^$$s251=*nW)DJ<8WTOnvJzEckOpK=L{gb5xc49Bh zlPm>Zj+|ecyhKsbAUF4DFdi#Qbnh4y&A`&8MF`JDUQvtsR9w>g_@b}Ed@uN zs`uZ6*wB^bua0w{0>;w~%-?u!weI1Ym{GNDBk4`Do&C-Io)7PJBVPC?r$tL$zv_kI zq(7RI!vG`tjrSP5PQ|!po6$gMIK5Fbz4=nYp#@Y>n(!NYXj$iKI2TKOZBA*z`3$(u ztQYS{$IvI!e!Fgy3FCGs_5v&85iW`I>5wIA$SQ!c=eGQH1G1R?n2(QAAQHP(=fVsT zx~DEXun3$Wqm(sH8Owi$KNPnabNeZsM7^e?cAi(lI~sp~fd|)y{{G9S%!=_uq zk%%A&)p?NeL+_h1?Bv-{Ve-8atE+wM#Ec%O+zCIJj(&dLf3kl%Km8l$22}5s+5u<5 zAQksDGWTg=oZZ!~Gk@Fads=9P*yGf@9%_y*W&@(HerUD$34LW|TAFg{hB?0>7<>%2DGEIN|tfp}_&ExFlsNuSMpqCA^~IX1hi?Ey?h zHXHM7zz2#;Ihcnj>&1CJ9Iy)p;0GX*{d--y6hK$~k%s-E&`A(D_RPV*+VZlPHW>b& zI2>3K{$ZsKo?UQQjDK=2^oHiOjbKSsy}($K(=3qvbVJb88i~)=)J7D&y|%Vb$5&te zn)eE5k>t@|V_LAuk<=8N49_h&%5R;l(vRciG8I%YvU5bS^pQ)o*}qsDs<{>4$)%sg z0xrY^g`6VfqljBt=1+8ELfDV`y_35vnnmv-gjf%9e%96rJC3}Pdjx%OoPT(P&@#V+kbw`NlH|6LDN^`SRxby~*klkv==jQpy@?Ejf6YGQI54RXK zG#N|@mb#IqMzDZQ`G#m~pC^8;Rd;o%w<@_?rP5glm2RgXy+~ivZK2*ikK__es%*;k zt89l_r+;0{#~{M4Bt(vKFa9Ada_|Q$Kopz;B0h&DXA23AU}$t~&gQ;|AFuaWY&m%q z&K(ngl45AKYYl*`{(So~y20wM(gAR$D3q-HAN~gRGwNN&UNGf%3>bA-1?uH++de8c-MC}wffVFPVU9g=GnNr6sSlv5QrYP;O`Udbnzae@u; zH`MC7Gh@MBEIwBI5>c@jCv*!JFV$nv6#!sCm@KdbKsNN`o0szzH^6>0XRU9>}s5Mch>I_Q>PsxuBc9qX{SF6^?t4MyKBq;1=K2GnX6?E^l&w!cH zrfR`)PP|43i|8wtE4;Fuj1^A@YrO7uk=Nt8Ou7hpT5RoJxAlz%oy_TG*rgBfOK;n> zs_a=Xy$Jm+_P4Yhgj$E1JPmvw=jWXVaCecXagO*9W8K90%g||q~i|cr<7#f zow(9_>a2S7I@&W?^luA}N+Q>dx|PSB))B_H3SheaHWB<_G5S&JdF6VJ{S)0vq|~iF zmWzsMsU3ui+ya29YJG#&fMf6B!C%UF1~8J9|6GId(9?Z4lgaPWKC=2%iqz-i46y~r z5~zj+lx+nmm2pfcq)}q4ppVN4lU@tWGFc?(mA3P$v zm8fEo<#&dj!aT-I(JtBOcgFmtXyt;IsLnuwmZGh`IqY%Dc}P%R@*iMfZiJ1Ejrpdp z*}VA=vsl1SFjjSyg7NSFLm63Y^gT{Goj>H)6=}tR0#*ptoxiN-!Voh>$jVO(#%kYQ zjYrWHsqog~f1jyN8u6&eBwC1|*V2;KvTsxNHvYjw93@06#ouq`(a*MT}E&122 zlZKIzJI#3~lg;%FUcoaHMjo5{><_HFIUdq67Rz)Stn!st0MgWs_ZI^nI+-Pe*K~Z) zq&td`zxHXG-s8TN@Lrug*=k;oU(;1mR6zbCT|!|^W0j7d2?U z?>!W71_rXC`7FA!WXM8u6>Li97SK=WL(}&k@PFY;a6E;m&`p!Lomk$Rc~?7wFnKd% znd`t?caPVYX!?EKl-!%~rRg@gH*flI`Vszww};;`lX0rdAleuqUdxGCAC-STk7S>J z@-dO&HSThe9L&zwV2;<`vnadhl)^Z1IqLHp-7eENS`}lwigY-o(ncm+#YvcLOBE_~ zta9f0A_eC4xAc5k8?) zwMQC(2fEwi4tjiJjIt3P;K=pVbZ@`%zVoAlmUkOlvEt&*jS7n}>nTzNT0+Se2~pfo zYXkYfEnOe|Vcu`8n1Svvq)mp(pOx50iOQJlnX=#gDFdkC`U%o^e}Nmboc{t{Pk@om z7!D>&FsJndh;$t@@W&h{WndgbMo9vKB0XF07QU2J*MM~>*LEWIX}Jdp*7qeH0M?EI z^tYjUdnZ=Zw)W+;6ic~f-4lfEaU@Ff;miwJ6|U$NFNa7^ZX_@qTls=x{d{}<(l?{( zy3y2Ub6d6(!-eW_vs#GG53r1XD|&t2*mBVLbt;#t=?J@@Ljh`S!~Vg|2JNKeUGp+A zdh&vZK(H|in

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zDgWDzS=D$?ktb?5$?l3-F4eWAP|?wn3~S4d`qqk|4El(a9_x;$IllZRg!43ZO%j`9 z9L&nNys8=t)h+g`FT7S0+hA<+^s-mDAxkeI#-0c&r-hZ+>?7qz2r@>Px$tQ*e+S7&SLWJ|3@%7o6-S7*RJ&DM4Ok1copiX{05 Mt$F@0&igs~Z=aTI9RL6T diff --git a/before-your-start/1.1-cao-zuo-xi-tong-de-xuan-ze.md b/before-your-start/1.1-cao-zuo-xi-tong-de-xuan-ze.md index 15cf670..e2967fd 100644 --- a/before-your-start/1.1-cao-zuo-xi-tong-de-xuan-ze.md +++ b/before-your-start/1.1-cao-zuo-xi-tong-de-xuan-ze.md @@ -1,2 +1,10 @@ # 1.1 操作系统的选择 +目前的OpenQuant需要微软Windows运行环境，支持微软最新版本的OpenQuant支持Windows7，Windows8，Windows10及Windows Server 2008，Windows Server 2012等主流的Windows 64位操作系统。 + +安装OpenQuant软件时，OpenQuant安装程序会自动检测是否有合适的.NET Framework基础软件，如果需要安装程序会自动进行升级安装。 + +![](../.gitbook/assets/icon_paw %284%29.png) 建议采用Windows Server 2012以上的面向服务器的操作系统软件。 + + + diff --git a/before-your-start/1.2-xia-zai-openquant-ji-cha-jian.md b/before-your-start/1.2-xia-zai-openquant-ji-cha-jian.md index b852beb..6b12e29 100644 --- a/before-your-start/1.2-xia-zai-openquant-ji-cha-jian.md +++ b/before-your-start/1.2-xia-zai-openquant-ji-cha-jian.md @@ -1,2 +1,22 @@ # 1.2 下载OpenQuant及插件 + + + + + + +* **OpenQuant最新版本下载地址：** + +[http://www.smartquant.com](http://www.smartquant.com) 英文官方网站 + +[http://www.smartquant.cn](http://www.smartquant.cn) 中文服务网站 + +* **OpenQuant国内市场插件下载地址：** + +[http://www.smartquant.cn](http://www.smartquant.cn) + +[http://www.quantbox.cn/download](http://www.quantbox.cn/download) + + + diff --git a/before-your-start/1.3-an-zhuang-openquant-ji-cha-jian.md b/before-your-start/1.3-an-zhuang-openquant-ji-cha-jian.md index 040b337..9cbdd87 100644 --- a/before-your-start/1.3-an-zhuang-openquant-ji-cha-jian.md +++ b/before-your-start/1.3-an-zhuang-openquant-ji-cha-jian.md @@ -1,2 +1,14 @@ -# 1.3 安装OpenQuant及插件 +# 1.3 安装OpenQuant及国内金融市场插件 + + + +## {#installoqandplugins} + +* **OpenQuant安装及国内市场插件安装过程** + +![](../.gitbook/assets/icon_bookbig.png)详见[http://www.smartquant.cn/book/installing.html](http://www.smartquant.cn/book/installing.html) + +或者下载集成了交易、行情、历史数据插件的天风版OpenQuant + + diff --git a/before-your-start/1.4-pei-zhi-cha-jian-jie-ru-shi-chang.md b/before-your-start/1.4-pei-zhi-cha-jian-jie-ru-shi-chang.md index 2ef79b2..be7f5bb 100644 --- a/before-your-start/1.4-pei-zhi-cha-jian-jie-ru-shi-chang.md +++ b/before-your-start/1.4-pei-zhi-cha-jian-jie-ru-shi-chang.md @@ -1,2 +1,22 @@ -# 1.4 配置插件接入市场 +# 1.4 配置插件,让OpenQuant接入市场 + +## {#configplugins} + +#### ![](../.gitbook/assets/icon_labtubeblue %282%29.ico)**简要OpenQuant安装过程及配置插件记录** + +* [ ] 安装OpenQuant最新版本; +* [ ] 安装国内市场插件; +* [ ] 配置国内市场插件: +* 交易用户名及密码信息\(UserList\) +* CTP服务器地址信息\(ServerList\) +* 交易通道组合信息\(ApiList\) +* CTP客户端认证串 + +![](../.gitbook/assets/apimanagerform.png) 图： 配置国内市场插件 -- 天风期货CTP + +配置完成后，连接插件应该能看见小小的绿色通道灯亮起。 + +![](../.gitbook/assets/oqprovidersgreenlight.png) + +![](../.gitbook/assets/icon_paw.png)现在，我们已经下载并安装了OpenQuant最新版本及国内市场插件。插件正确配置后可以正常连接至交易通道，可以导入当前期货合约代码，在市场开盘时段，打开OpenQuant中的QuoteMonitor界面，从Instruments窗口拖拽当前合约到QuoteMonitor界面中，可以看到该合约的当前市场报价。 diff --git a/before-your-start/README.md b/before-your-start/README.md index d60b78f..a65315a 100644 --- a/before-your-start/README.md +++ b/before-your-start/README.md @@ -2,52 +2,13 @@ 第一步我们要为可以长期稳定运行OpenQuant的准备一个专用环境，下载并安装好程序，配置好相应的参数，让OpenQuant可以接通中国市场。 -## 1. 1 基础操作系统的选择 {#runningos} +## {#runningos} -目前的OpenQuant需要微软Windows运行环境，支持微软最新版本的OpenQuant支持Windows7，Windows8，Windows10及Windows Server 2008，Windows Server 2012等主流的Windows 64位操作系统。 +## {#downloadoqandplugins} -安装OpenQuant软件时，OpenQuant安装程序会自动检测是否有合适的.NET Framework基础软件，如果需要安装程序会自动进行升级安装。 +## {#installoqandplugins} -![](../.gitbook/assets/icon_paw%20%284%29.png) 建议采用Windows Server 2012以上的面向服务器的操作系统软件。 +## {#configplugins} -## 1.2 下载OpenQuant软件及插件 {#downloadoqandplugins} -* **OpenQuant最新版本下载地址：** - -[http://www.smartquant.com](http://www.smartquant.com) 英文官方网站 - -[http://www.smartquant.cn](http://www.smartquant.cn) 中文服务网站 - -* **OpenQuant国内市场插件下载地址：** - -[http://www.smartquant.cn](http://www.smartquant.cn) - -[http://www.quantbox.cn/download](http://www.quantbox.cn/download) - -## 1.3 安装OpenQuant软件及国内市场插件 {#installoqandplugins} - -* **OpenQuant安装及国内市场插件安装过程** - -![](../.gitbook/assets/icon_bookbig.png)详见[http://www.smartquant.cn/book/installing.html](http://www.smartquant.cn/book/installing.html) - -或者下载集成了交易、行情、历史数据插件的天风版OpenQuant - -## 1.4 配置插件让OpenQuant接入市场 {#configplugins} - -#### ![](../.gitbook/assets/icon_labtubeblue%20%282%29.ico)**简要OpenQuant安装过程及配置插件记录** - -* [ ] 安装OpenQuant最新版本; -* [ ] 安装国内市场插件; -* [ ] 配置国内市场插件: -* 交易用户名及密码信息\(UserList\) -* CTP服务器地址信息\(ServerList\) -* 交易通道组合信息\(ApiList\) - -![](../.gitbook/assets/apimanagerform.png) 图： 配置国内市场插件 -- 天风期货CTP - -配置完成后，连接插件应该能看见小小的绿色通道灯亮起。 - -![](../.gitbook/assets/oqprovidersgreenlight.png) - -![](../.gitbook/assets/icon_paw.png)现在，我们已经下载并安装了OpenQuant最新版本及国内市场插件。插件正确配置后可以正常连接至交易通道，可以导入当前期货合约代码，在市场开盘时段，打开OpenQuant中的QuoteMonitor界面，从Instruments窗口拖拽当前合约到QuoteMonitor界面中，可以看到该合约的当前市场报价。 diff --git a/before-your-start/import-an-instrument-and-its-historical-data/README.md b/before-your-start/import-an-instrument-and-its-historical-data/README.md index 433e8f3..4202fb2 100644 --- a/before-your-start/import-an-instrument-and-its-historical-data/README.md +++ b/before-your-start/import-an-instrument-and-its-historical-data/README.md @@ -1,10 +1,6 @@ -# 1.5 使用OpenQuant导入合约及历史数据 +# 1.2 OpenQuant产品的选择 -首先面临的工作是让OpenQuant导入国内市场可以交易的标的，暨导入合约信息，并且导入历史数据进行市场的研究和策略的开发。目前OpenQuant已经可以安装专用的历史数据插件。可以十分方便地导入合约信息及历史数据。 -## 使用ThanfData插件 {#using} -## 导入合约信息 {#importinstrument} -## 导入历史数据 {#importdata} diff --git a/before-your-start/import-an-instrument-and-its-historical-data/dao-ru-he-yue-xin-xi.md b/before-your-start/import-an-instrument-and-its-historical-data/dao-ru-he-yue-xin-xi.md index 79dc19e..6513754 100644 --- a/before-your-start/import-an-instrument-and-its-historical-data/dao-ru-he-yue-xin-xi.md +++ b/before-your-start/import-an-instrument-and-its-historical-data/dao-ru-he-yue-xin-xi.md @@ -1,2 +1,14 @@ # 导入合约信息 + + +首先面临的工作是让OpenQuant导入国内市场可以交易的标的，暨导入合约信息，并且导入历史数据进行市场的研究和策略的开发。目前OpenQuant已经可以安装专用的历史数据插件。可以十分方便地导入合约信息及历史数据。 + +## 使用ThanfData插件 {#using} + +## 导入合约信息 {#importinstrument} + +## 导入历史数据 {#importdata} + + + diff --git a/before-your-start/import-an-instrument-and-its-historical-data/shi-yong-thanfdata-cha-jian.md b/before-your-start/import-an-instrument-and-its-historical-data/shi-yong-thanfdata-cha-jian.md index 89fa732..f3d8d02 100644 --- a/before-your-start/import-an-instrument-and-its-historical-data/shi-yong-thanfdata-cha-jian.md +++ b/before-your-start/import-an-instrument-and-its-historical-data/shi-yong-thanfdata-cha-jian.md @@ -1,2 +1,4 @@ -# 使用ThanfData插件 +# 1.5 使用天风版OpenQuant快速指南 + +关于OpenQuant连接CTP的认证串 From 321072008718007401d2c861edff495ed4031fbe Mon Sep 17 00:00:00 2001 From: OmniStep Date: Thu, 13 Sep 2018 23:21:45 +0800 Subject: [PATCH 174/306] Updates before-your-start/README.md Auto commit by GitBook Editor --- before-your-start/README.md | 4 +++- 1 file changed, 3 insertions(+), 1 deletion(-) diff --git a/before-your-start/README.md b/before-your-start/README.md index a65315a..6de6edd 100644 --- a/before-your-start/README.md +++ b/before-your-start/README.md @@ -1,6 +1,8 @@ # 1. 在开始之前的准备 -第一步我们要为可以长期稳定运行OpenQuant的准备一个专用环境，下载并安装好程序，配置好相应的参数，让OpenQuant可以接通中国市场。 +量化交易需要稳定的IT基础环境。所以我们在开始工作之前，我们要为可以长期稳定运行OpenQuant的准备一个专用环境，下载并安装好程序，配置好相应的参数，让OpenQuant可以接通中国市场。 + + ## {#runningos} From b5275a3e680ce0b443d778fc89a1827ef8072336 Mon Sep 17 00:00:00 2001 From: OmniStep Date: Thu, 13 Sep 2018 23:29:15 +0800 Subject: [PATCH 175/306] Updates before-your-start/import-an-instrument-and-its-historical-data/README.md Auto commit by GitBook Editor --- SUMMARY.md | 5 ++--- .../1.2-xia-zai-openquant-ji-cha-jian.md | 16 ++++++++++------ .../1.3-an-zhuang-openquant-ji-cha-jian.md | 9 +-------- before-your-start/README.md | 4 +++- .../README.md | 4 +--- 5 files changed, 17 insertions(+), 21 deletions(-) diff --git a/SUMMARY.md b/SUMMARY.md index b1bd060..08af450 100644 --- a/SUMMARY.md +++ b/SUMMARY.md @@ -3,9 +3,8 @@ * [序言Introduction](README.md) * [1. 在开始之前的准备](before-your-start/README.md) * [1.1 操作系统的选择](before-your-start/1.1-cao-zuo-xi-tong-de-xuan-ze.md) - * [1.5 使用OpenQuant导入合约及历史数据](before-your-start/import-an-instrument-and-its-historical-data/README.md) - * [1.2 下载OpenQuant及插件](before-your-start/1.2-xia-zai-openquant-ji-cha-jian.md) - * [1.3 安装OpenQuant及插件](before-your-start/1.3-an-zhuang-openquant-ji-cha-jian.md) + * [1.2 OpenQuant商业版与国内天风版](before-your-start/import-an-instrument-and-its-historical-data/README.md) + * [1.3 安装OpenQuant软件及插件](before-your-start/1.2-xia-zai-openquant-ji-cha-jian.md) * [1.4 配置插件接入市场](before-your-start/1.4-pei-zhi-cha-jian-jie-ru-shi-chang.md) * [OpenQuant天风版软件安装配置快速指南](before-your-start/import-an-instrument-and-its-historical-data/shi-yong-thanfdata-cha-jian.md) * [导入合约信息](before-your-start/import-an-instrument-and-its-historical-data/dao-ru-he-yue-xin-xi.md) diff --git a/before-your-start/1.2-xia-zai-openquant-ji-cha-jian.md b/before-your-start/1.2-xia-zai-openquant-ji-cha-jian.md index 6b12e29..e7b256e 100644 --- a/before-your-start/1.2-xia-zai-openquant-ji-cha-jian.md +++ b/before-your-start/1.2-xia-zai-openquant-ji-cha-jian.md @@ -1,11 +1,5 @@ # 1.2 下载OpenQuant及插件 - - - - - - * **OpenQuant最新版本下载地址：** [http://www.smartquant.com](http://www.smartquant.com) 英文官方网站 @@ -20,3 +14,13 @@ + + + + +**OpenQuant安装及国内市场插件安装过程** + +![](../.gitbook/assets/icon_bookbig.png)详见[http://www.smartquant.cn/book/installing.html](http://www.smartquant.cn/book/installing.html) + +或者下载集成了交易、行情、历史数据插件的天风版OpenQuant + diff --git a/before-your-start/1.3-an-zhuang-openquant-ji-cha-jian.md b/before-your-start/1.3-an-zhuang-openquant-ji-cha-jian.md index 9cbdd87..f0334b6 100644 --- a/before-your-start/1.3-an-zhuang-openquant-ji-cha-jian.md +++ b/before-your-start/1.3-an-zhuang-openquant-ji-cha-jian.md @@ -1,14 +1,7 @@ # 1.3 安装OpenQuant及国内金融市场插件 - - ## {#installoqandplugins} -* **OpenQuant安装及国内市场插件安装过程** - -![](../.gitbook/assets/icon_bookbig.png)详见[http://www.smartquant.cn/book/installing.html](http://www.smartquant.cn/book/installing.html) - -或者下载集成了交易、行情、历史数据插件的天风版OpenQuant - +* diff --git a/before-your-start/README.md b/before-your-start/README.md index 6de6edd..265e319 100644 --- a/before-your-start/README.md +++ b/before-your-start/README.md @@ -1,6 +1,8 @@ # 1. 在开始之前的准备 -量化交易需要稳定的IT基础环境。所以我们在开始工作之前，我们要为可以长期稳定运行OpenQuant的准备一个专用环境，下载并安装好程序，配置好相应的参数，让OpenQuant可以接通中国市场。 +我们在开始工作之前，首先要为长期稳定运行OpenQuant准备一个专用环境，下载并安装好OpenQuant软件，配置好相应的交易通道连接参数，让OpenQuant可以接通中国市场。获得市场合约及历史数据，测试运行一个实例策略。 + + diff --git a/before-your-start/import-an-instrument-and-its-historical-data/README.md b/before-your-start/import-an-instrument-and-its-historical-data/README.md index 4202fb2..1a72274 100644 --- a/before-your-start/import-an-instrument-and-its-historical-data/README.md +++ b/before-your-start/import-an-instrument-and-its-historical-data/README.md @@ -1,6 +1,4 @@ -# 1.2 OpenQuant产品的选择 - - +# 1.2 OpenQuant商业版与天风版 From e255962d9b300921e888dd490af8ca864361152c Mon Sep 17 00:00:00 2001 From: OmniStep Date: Thu, 13 Sep 2018 23:35:32 +0800 Subject: [PATCH 176/306] Updates before-your-start/import-an-instrument-and-its-historical-data/dao-ru-li-shi-shu-ju.md Auto commit by GitBook Editor --- SUMMARY.md | 7 ++++--- .../1.4-pei-zhi-cha-jian-jie-ru-shi-chang.md | 15 ++++++++------- .../dao-ru-he-yue-xin-xi.md | 6 ++---- .../dao-ru-li-shi-shu-ju.md | 4 +++- ...8-yun-xing-yi-ge-openquant-de-shi-li-ce-lve.md | 4 ++++ 5 files changed, 21 insertions(+), 15 deletions(-) create mode 100644 before-your-start/import-an-instrument-and-its-historical-data/dao-ru-li-shi-shu-ju/18-yun-xing-yi-ge-openquant-de-shi-li-ce-lve.md diff --git a/SUMMARY.md b/SUMMARY.md index 08af450..596ea7d 100644 --- a/SUMMARY.md +++ b/SUMMARY.md @@ -6,9 +6,10 @@ * [1.2 OpenQuant商业版与国内天风版](before-your-start/import-an-instrument-and-its-historical-data/README.md) * [1.3 安装OpenQuant软件及插件](before-your-start/1.2-xia-zai-openquant-ji-cha-jian.md) * [1.4 配置插件接入市场](before-your-start/1.4-pei-zhi-cha-jian-jie-ru-shi-chang.md) - * [OpenQuant天风版软件安装配置快速指南](before-your-start/import-an-instrument-and-its-historical-data/shi-yong-thanfdata-cha-jian.md) - * [导入合约信息](before-your-start/import-an-instrument-and-its-historical-data/dao-ru-he-yue-xin-xi.md) - * [导入历史数据](before-your-start/import-an-instrument-and-its-historical-data/dao-ru-li-shi-shu-ju.md) + * [1.5 OpenQuant天风版软件安装配置快速指南](before-your-start/import-an-instrument-and-its-historical-data/shi-yong-thanfdata-cha-jian.md) + * [1.6 导入合约信息](before-your-start/import-an-instrument-and-its-historical-data/dao-ru-he-yue-xin-xi.md) + * [1.7 导入历史数据](before-your-start/import-an-instrument-and-its-historical-data/dao-ru-li-shi-shu-ju.md) + * [1.8 运行一个OpenQuant的示例策略](before-your-start/import-an-instrument-and-its-historical-data/dao-ru-li-shi-shu-ju/18-yun-xing-yi-ge-openquant-de-shi-li-ce-lve.md) * [2. 管理未来所有的代码...](manage-your-coding-by-svn.md) * [3. OpenQuant策略代码的结构](structure-of-openquant-solution.md) * [4. 策略运行的事件驱动和定时驱动机制](4.-ce-lve-yun-hang-de-shi-jian-qu-dong-he-ding-shi-qu-dong-ji-zhi/README.md) diff --git a/before-your-start/1.4-pei-zhi-cha-jian-jie-ru-shi-chang.md b/before-your-start/1.4-pei-zhi-cha-jian-jie-ru-shi-chang.md index be7f5bb..f48fa89 100644 --- a/before-your-start/1.4-pei-zhi-cha-jian-jie-ru-shi-chang.md +++ b/before-your-start/1.4-pei-zhi-cha-jian-jie-ru-shi-chang.md @@ -4,13 +4,14 @@ #### ![](../.gitbook/assets/icon_labtubeblue %282%29.ico)**简要OpenQuant安装过程及配置插件记录** -* [ ] 安装OpenQuant最新版本; -* [ ] 安装国内市场插件; -* [ ] 配置国内市场插件: -* 交易用户名及密码信息\(UserList\) -* CTP服务器地址信息\(ServerList\) -* 交易通道组合信息\(ApiList\) -* CTP客户端认证串 +* 安装OpenQuant最新版本; +* 安装国内市场插件; +* 配置国内市场插件: + +* [ ] 交易用户名及密码信息\(UserList\) +* [ ] CTP服务器地址信息\(ServerList\) +* [ ] 交易通道组合信息\(ApiList\) +* [ ] CTP客户端认证串 ![](../.gitbook/assets/apimanagerform.png) 图： 配置国内市场插件 -- 天风期货CTP diff --git a/before-your-start/import-an-instrument-and-its-historical-data/dao-ru-he-yue-xin-xi.md b/before-your-start/import-an-instrument-and-its-historical-data/dao-ru-he-yue-xin-xi.md index 6513754..33178de 100644 --- a/before-your-start/import-an-instrument-and-its-historical-data/dao-ru-he-yue-xin-xi.md +++ b/before-your-start/import-an-instrument-and-its-historical-data/dao-ru-he-yue-xin-xi.md @@ -1,6 +1,4 @@ -# 导入合约信息 - - +# 1.6 导入合约信息 首先面临的工作是让OpenQuant导入国内市场可以交易的标的，暨导入合约信息，并且导入历史数据进行市场的研究和策略的开发。目前OpenQuant已经可以安装专用的历史数据插件。可以十分方便地导入合约信息及历史数据。 @@ -8,7 +6,7 @@ ## 导入合约信息 {#importinstrument} -## 导入历史数据 {#importdata} +## {#importdata} diff --git a/before-your-start/import-an-instrument-and-its-historical-data/dao-ru-li-shi-shu-ju.md b/before-your-start/import-an-instrument-and-its-historical-data/dao-ru-li-shi-shu-ju.md index a223d45..c2a9cbb 100644 --- a/before-your-start/import-an-instrument-and-its-historical-data/dao-ru-li-shi-shu-ju.md +++ b/before-your-start/import-an-instrument-and-its-historical-data/dao-ru-li-shi-shu-ju.md @@ -1,2 +1,4 @@ -# 导入历史数据 +# 1.7 导入历史数据 + + diff --git a/before-your-start/import-an-instrument-and-its-historical-data/dao-ru-li-shi-shu-ju/18-yun-xing-yi-ge-openquant-de-shi-li-ce-lve.md b/before-your-start/import-an-instrument-and-its-historical-data/dao-ru-li-shi-shu-ju/18-yun-xing-yi-ge-openquant-de-shi-li-ce-lve.md new file mode 100644 index 0000000..a18db85 --- /dev/null +++ b/before-your-start/import-an-instrument-and-its-historical-data/dao-ru-li-shi-shu-ju/18-yun-xing-yi-ge-openquant-de-shi-li-ce-lve.md @@ -0,0 +1,4 @@ +# 1.8 运行一个OpenQuant的示例策略 + + + From 568304a3aa1ec4bab39a337193204e91477079f6 Mon Sep 17 00:00:00 2001 From: OmniStep Date: Thu, 13 Sep 2018 23:44:19 +0800 Subject: [PATCH 177/306] Updates README.md Auto commit by GitBook Editor --- README.md | 18 ++---------------- before-your-start/README.md | 4 ---- 2 files changed, 2 insertions(+), 20 deletions(-) diff --git a/README.md b/README.md index d7d6f50..e8490a6 100644 --- a/README.md +++ b/README.md @@ -1,23 +1,9 @@ -# 序言Introduction +# 序言 Introduction My notebook for building an OpenQuant Trading System step by step. ver. 0160 2017/10/23 -ver. 0171 2018/08/31 - - - - - - - - - - - - - - +ver. 0171 2018/08/31 diff --git a/before-your-start/README.md b/before-your-start/README.md index 265e319..38edb19 100644 --- a/before-your-start/README.md +++ b/before-your-start/README.md @@ -2,10 +2,6 @@ 我们在开始工作之前，首先要为长期稳定运行OpenQuant准备一个专用环境，下载并安装好OpenQuant软件，配置好相应的交易通道连接参数，让OpenQuant可以接通中国市场。获得市场合约及历史数据，测试运行一个实例策略。 - - - - ## {#runningos} ## {#downloadoqandplugins} From 0bb62e39cf2787189c3ec90fcc8265421a7c262e Mon Sep 17 00:00:00 2001 From: OmniStep Date: Fri, 14 Sep 2018 09:28:03 +0800 Subject: [PATCH 178/306] Updates before-your-start/README.md Auto commit by GitBook Editor --- before-your-start/README.md | 10 ++++++---- 1 file changed, 6 insertions(+), 4 deletions(-) diff --git a/before-your-start/README.md b/before-your-start/README.md index 38edb19..4d04702 100644 --- a/before-your-start/README.md +++ b/before-your-start/README.md @@ -2,13 +2,15 @@ 我们在开始工作之前，首先要为长期稳定运行OpenQuant准备一个专用环境，下载并安装好OpenQuant软件，配置好相应的交易通道连接参数，让OpenQuant可以接通中国市场。获得市场合约及历史数据，测试运行一个实例策略。 -## {#runningos} -## {#downloadoqandplugins} -## {#installoqandplugins} +使用OpenQuant进行量化交易之前的准备工作包括： -## {#configplugins} +选择、安装一个稳定的Windows环境 + +了解OpenQuant软件产品家族并选择正确的版本 + +下载OpenQuant及相关 From 6e0a746bed900e71dae207aba079a7cf2fcb991a Mon Sep 17 00:00:00 2001 From: OmniStep Date: Fri, 14 Sep 2018 10:41:04 +0800 Subject: [PATCH 179/306] Updates before-your-start/README.md Auto commit by GitBook Editor --- before-your-start/README.md | 15 ++++++++++----- 1 file changed, 10 insertions(+), 5 deletions(-) diff --git a/before-your-start/README.md b/before-your-start/README.md index 4d04702..c28acb8 100644 --- a/before-your-start/README.md +++ b/before-your-start/README.md @@ -1,16 +1,21 @@ # 1. 在开始之前的准备 -我们在开始工作之前，首先要为长期稳定运行OpenQuant准备一个专用环境，下载并安装好OpenQuant软件，配置好相应的交易通道连接参数，让OpenQuant可以接通中国市场。获得市场合约及历史数据，测试运行一个实例策略。 +我们在开始工作之前，首先要为长期稳定运行OpenQuant准备一个专用环境，下载并安装好OpenQuant软件，配置好相应的交易通道连接参数，让OpenQuant可以接通中国市场。获得市场合约及历史数据，测试运行一个示例策略。 -使用OpenQuant进行量化交易之前的准备工作包括： -选择、安装一个稳定的Windows环境 -了解OpenQuant软件产品家族并选择正确的版本 -下载OpenQuant及相关 + +使用OpenQuant进行量化交易之前的准备工作： + +* [ ] 选择、安装一个稳定的Windows环境 +* [ ] 了解OpenQuant软件产品家族并选择正确的版本 +* [ ] 下载OpenQuant及相关插件并安装 +* [ ] 配置账户参数接入市场 +* [ ] 导入合约及历史数据 +* [ ] 测试一个示例策略 From b83d5cc66bf05abfb62a2bff39a02820a1ccd876 Mon Sep 17 00:00:00 2001 From: OmniStep Date: Fri, 14 Sep 2018 10:51:57 +0800 Subject: [PATCH 180/306] Updates before-your-start/README.md Auto commit by GitBook Editor --- before-your-start/README.md | 6 +----- 1 file changed, 1 insertion(+), 5 deletions(-) diff --git a/before-your-start/README.md b/before-your-start/README.md index c28acb8..7d242e3 100644 --- a/before-your-start/README.md +++ b/before-your-start/README.md @@ -4,11 +4,7 @@ - - - - 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+OpenQuant是由美国SmartQuant公司研发，面向专业金融机构的量化交易系统，OpenQuant产品服务众多金融机构及对冲基金客户，经历了10年以上的发展历程及全球金融市场的实际验证，具有可以承载工业强度的系统性能和系统稳定性。系统提供包括证券、期货、期权等各类金融资产交易，提供量化策略的研究，开发，调试，回测，仿真，优化和自动化运行等众多功能及优异特性。 + +OpenQuant一直在发展中，形成了OpenQuant的产品家族： + +![](/images/openquantframework.jpg) + +所有的产品都是基于底层的复杂事件处理系统，基于此框架各类复杂的任务可以在整体上进行无缝的集成。开发者可以利用丰富的程序接口编写各种策略，执行交易任务，数据管理及模型的优化。我们这里讨论的就是基于SmartQuant基础框架的主产品OpenQuant，在该产品中具备策略开发、模拟、优化、实盘交易全部功能，同时支持第三方库和插件。 + +OpenQuant并不是开源软件，也不是免费软件， Open是指软件构架上是开放自由的。"Freedom is not free" + +**商业版OpenQuant**--指SmartQuant公司推出的标准版商业软件，该软件资料及报价可以通过www.smartquant.com或者www.smartquant.cn中文网站获得详细资料。 + +**天风版OpenQuant**--是指天风证券、天风期货与SmartQuant合作推出的面向国内证券、期货交易，集成了证券、期货、期权交易及历史数据插件的增强版本，天风版保留所有商业版的功能，同时大大简化了交易通道插件安装、配置工作。后面我们主要以天风版OpenQuant来说明其各项功能，天风版OpenQuant的详细信息可以通过www.thanf.com/openquant + From 3f21285053f20bc66c86e44a19328984d66508c6 Mon Sep 17 00:00:00 2001 From: OmniStep Date: Fri, 14 Sep 2018 15:22:03 +0800 Subject: [PATCH 185/306] Updates before-your-start/import-an-instrument-and-its-historical-data/README.md Auto commit by GitBook Editor --- .../import-an-instrument-and-its-historical-data/README.md | 6 ++++-- 1 file changed, 4 insertions(+), 2 deletions(-) diff --git a/before-your-start/import-an-instrument-and-its-historical-data/README.md b/before-your-start/import-an-instrument-and-its-historical-data/README.md index 908258f..b0e71ab 100644 --- a/before-your-start/import-an-instrument-and-its-historical-data/README.md +++ b/before-your-start/import-an-instrument-and-its-historical-data/README.md @@ -8,11 +8,13 @@ OpenQuant一直在发展中，形成了OpenQuant的产品家族： 所有的产品都是基于底层的复杂事件处理系统，基于此框架各类复杂的任务可以在整体上进行无缝的集成。开发者可以利用丰富的程序接口编写各种策略，执行交易任务，数据管理及模型的优化。我们这里讨论的就是基于SmartQuant基础框架的主产品OpenQuant，在该产品中具备策略开发、模拟、优化、实盘交易全部功能，同时支持第三方库和插件。 -OpenQuant并不是开源软件，也不是免费软件， Open是指软件构架上是开放自由的。"Freedom is not free" +OpenQuant并不是开源软件，也不是免费软件， Open是指软件构架上是开放自由的。"Freedom is not free" **商业版OpenQuant**--指SmartQuant公司推出的标准版商业软件，该软件资料及报价可以通过www.smartquant.com或者www.smartquant.cn中文网站获得详细资料。 -**天风版OpenQuant**--是指天风证券、天风期货与SmartQuant合作推出的面向国内证券、期货交易，集成了证券、期货、期权交易及历史数据插件的增强版本，天风版保留所有商业版的功能，同时大大简化了交易通道插件安装、配置工作。后面我们主要以天风版OpenQuant来说明其各项功能，天风版OpenQuant的详细信息可以通过www.thanf.com/openquant +**天风版OpenQuant**--是指天风证券、天风期货与SmartQuant合作推出的面向国内证券、期货交易，集成了证券、期货、期权交易及历史数据插件的增强版本，天风版保留所有商业版的功能，同时大大简化了交易通道插件安装、配置工作。后面我们主要以天风版OpenQuant来说明其各项功能，天风版OpenQuant的详细信息可以通过www.thanf.com获得资料与帮助。 +![](/.gitbook/assets/icon_paw.png)推荐采用面向国内用户的OpenQuant天风版软件。 + From 8899aa9eb40d17e275dfc27375ba3b98f75cd730 Mon Sep 17 00:00:00 2001 From: OmniStep Date: Fri, 14 Sep 2018 16:01:48 +0800 Subject: [PATCH 186/306] Updates before-your-start/import-an-instrument-and-its-historical-data/README.md Auto commit by GitBook Editor --- .../1.2-xia-zai-openquant-ji-cha-jian.md | 30 ++++++++++++++++--- .../README.md | 8 ++--- 2 files changed, 29 insertions(+), 9 deletions(-) diff --git a/before-your-start/1.2-xia-zai-openquant-ji-cha-jian.md b/before-your-start/1.2-xia-zai-openquant-ji-cha-jian.md index e7b256e..c4421d1 100644 --- a/before-your-start/1.2-xia-zai-openquant-ji-cha-jian.md +++ b/before-your-start/1.2-xia-zai-openquant-ji-cha-jian.md @@ -1,6 +1,8 @@ -# 1.2 下载OpenQuant及插件 +# 1.3 安装OpenQuant软件及插件 -* **OpenQuant最新版本下载地址：** +## 1.3.1 下载软件 + +* **OpenQuant商业版下载地址：** [http://www.smartquant.com](http://www.smartquant.com) 英文官方网站 @@ -12,15 +14,35 @@ [http://www.quantbox.cn/download](http://www.quantbox.cn/download) +* **OpenQuant天风版下载地址：** + +[http://www.thanf.com](http://www.thanf.com) +## 1.3.2 软件安装 -**OpenQuant安装及国内市场插件安装过程** +**OpenQuant商业版软件安装及国内市场插件安装** ![](../.gitbook/assets/icon_bookbig.png)详见[http://www.smartquant.cn/book/installing.html](http://www.smartquant.cn/book/installing.html) -或者下载集成了交易、行情、历史数据插件的天风版OpenQuant + + +运行OpenQuant安装程序，按照默认步骤进行安装即可轻松完成安装过程。 + +OpenQuant 应用程序会被安装在标准的 Program Files \(x86\)\SmartQuant Ltd\OpenQuant 2014 目录中。 + +系统的数据文件\(data.quant 和 instruments.quant\)可以在 AppData\Roaming SmartQuant Ltd\OpenQuant 2014\data 目录中找到。 + +系统的配置文件可以在 AppData\Roaming\SmartQuant Ltd\OpenQuant 2014 目录中找到。 + +系统的示例项目可以在 Documents\OpenQuant 2014\Solutions 目录中找到。 + + + +### OpenQuant软件的卸载 {#openquant软件的卸载} + +卸载软件可以通过控制面板或软件自带的 Uninstall 工具卸载。 diff --git a/before-your-start/import-an-instrument-and-its-historical-data/README.md b/before-your-start/import-an-instrument-and-its-historical-data/README.md index b0e71ab..90d5413 100644 --- a/before-your-start/import-an-instrument-and-its-historical-data/README.md +++ b/before-your-start/import-an-instrument-and-its-historical-data/README.md @@ -8,13 +8,11 @@ OpenQuant一直在发展中，形成了OpenQuant的产品家族： 所有的产品都是基于底层的复杂事件处理系统，基于此框架各类复杂的任务可以在整体上进行无缝的集成。开发者可以利用丰富的程序接口编写各种策略，执行交易任务，数据管理及模型的优化。我们这里讨论的就是基于SmartQuant基础框架的主产品OpenQuant，在该产品中具备策略开发、模拟、优化、实盘交易全部功能，同时支持第三方库和插件。 -OpenQuant并不是开源软件，也不是免费软件， Open是指软件构架上是开放自由的。"Freedom is not free" - -**商业版OpenQuant**--指SmartQuant公司推出的标准版商业软件，该软件资料及报价可以通过www.smartquant.com或者www.smartquant.cn中文网站获得详细资料。 - -**天风版OpenQuant**--是指天风证券、天风期货与SmartQuant合作推出的面向国内证券、期货交易，集成了证券、期货、期权交易及历史数据插件的增强版本，天风版保留所有商业版的功能，同时大大简化了交易通道插件安装、配置工作。后面我们主要以天风版OpenQuant来说明其各项功能，天风版OpenQuant的详细信息可以通过www.thanf.com获得资料与帮助。 +OpenQuant并不是开源软件，也不是免费软件， "Open"是指软件构架上的是开放自由。"Freedom is Not Free" +**商业版OpenQuant**---指SmartQuant公司推出的标准版商业软件，该软件资料及报价可以通过www.smartquant.com或者www.smartquant.cn中文网站获得详细资料。 +**天风版OpenQuant**---是指天风证券、天风期货与SmartQuant合作推出的面向国内证券、期货交易，集成了证券、期货、期权交易及历史数据插件的增强版本，天风版保留所有商业版的功能，同时大大简化了交易通道插件安装、配置工作。后面我们主要以天风版OpenQuant来说明其各项功能，天风版OpenQuant的详细信息可以通过www.thanf.com获得资料与帮助。 ![](/.gitbook/assets/icon_paw.png)推荐采用面向国内用户的OpenQuant天风版软件。 From 172d1ff61a619525efe150bacdda7facb44017c5 Mon Sep 17 00:00:00 2001 From: OmniStep Date: Fri, 14 Sep 2018 16:14:40 +0800 Subject: [PATCH 187/306] Track 26 files into repository. - removed .gitbook/assets/icon_labtubeblue (1).ico - removed .gitbook/assets/icon_labtubeblue 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建议采用Windows Server 2012以上的面向服务器的操作系统软件。 From 739011c531f35205cdd89deb898cb61c5ec66ab5 Mon Sep 17 00:00:00 2001 From: OmniStep Date: Fri, 14 Sep 2018 16:33:11 +0800 Subject: [PATCH 190/306] Updates before-your-start/import-an-instrument-and-its-historical-data/README.md Auto commit by GitBook Editor --- .../import-an-instrument-and-its-historical-data/README.md | 2 +- 1 file changed, 1 insertion(+), 1 deletion(-) diff --git a/before-your-start/import-an-instrument-and-its-historical-data/README.md b/before-your-start/import-an-instrument-and-its-historical-data/README.md index 90d5413..963e328 100644 --- a/before-your-start/import-an-instrument-and-its-historical-data/README.md +++ b/before-your-start/import-an-instrument-and-its-historical-data/README.md @@ -4,7 +4,7 @@ OpenQuant是由美国SmartQuant公司研发，面向专业金融机构的量化 OpenQuant一直在发展中，形成了OpenQuant的产品家族： -![](/images/openquantframework.jpg) +![](/.gitbook/assets/openquantframework.jpg) 所有的产品都是基于底层的复杂事件处理系统，基于此框架各类复杂的任务可以在整体上进行无缝的集成。开发者可以利用丰富的程序接口编写各种策略，执行交易任务，数据管理及模型的优化。我们这里讨论的就是基于SmartQuant基础框架的主产品OpenQuant，在该产品中具备策略开发、模拟、优化、实盘交易全部功能，同时支持第三方库和插件。 From 0bfe6e807aff41fc8b25ef665e1250d7628c2a43 Mon Sep 17 00:00:00 2001 From: OmniStep Date: Fri, 14 Sep 2018 17:36:23 +0800 Subject: [PATCH 191/306] Track 2 files into repository. - untracked .gitbook/assets/openquantframework.jpg - untracked .gitbook/assets/Uninstall.png Auto commit by GitBook Editor --- .gitbook/assets/Uninstall.png | Bin 0 -> 5998 bytes .gitbook/assets/openquantframework.jpg | Bin 0 -> 143369 bytes 2 files changed, 0 insertions(+), 0 deletions(-) create mode 100644 .gitbook/assets/Uninstall.png create mode 100644 .gitbook/assets/openquantframework.jpg diff --git a/.gitbook/assets/Uninstall.png b/.gitbook/assets/Uninstall.png new file mode 100644 index 0000000000000000000000000000000000000000..e258bd32f6b60a4c47f4df0f77ce16dba7709f14 GIT binary patch literal 5998 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zDgWDzS=D$?ktb?5$?l3-F4eWAP|?wn3~S4d`qqk|4El(a9_x;$IllZRg!43ZO%j`9 z9L&nNys8=t)h+g`FT7S0+hA<+^s-mDAxkeI#-0c&r-hZ+>?7qz2r@>Px$tQ*e+S7&SLWJ|3@%7o6-S7*RJ&DM4Ok1copiX{05 Mt$F@0&igs~Z=aTI9RL6T literal 0 HcmV?d00001 diff --git a/code-an-openquant-helloworld.md b/code-an-openquant-helloworld.md new file mode 100644 index 0000000..da5bacb --- /dev/null +++ b/code-an-openquant-helloworld.md @@ -0,0 +1,18 @@ +# 编写一个OpenQuant的HelloWorld! + +--- + +![](blob:file:///99680a66-6b6f-47bf-ad39-f42110b6b4b2)打开OpenQuant中的**File**菜单，**New**一个新的**solution**, 这里有一些解决方案类别选项，这个例子中，我们选择第一种“SmartQuant Instrument Strategy Solution”， 命名为_HelloWorld_ + +在OpenQuant的Solution Explorer窗口中，我们可以发现当前有两个工程，**Backtest**和**MyStratey**，在解决方案名字HelloWorld上鼠标右键，Add一个New Project... 我们增加一个场景工程， 选择SmartQuant Scenario Project， 命名为 _**Realtime**_ + + + + + +Coming soon... ... + + + + + diff --git a/design-an-openquant-helloworld.md b/design-an-openquant-helloworld.md index 0192d3f..44c4187 100644 --- a/design-an-openquant-helloworld.md +++ b/design-an-openquant-helloworld.md @@ -2,13 +2,23 @@ --- -是的，一个OpenQuant的HelloWorld需要设计一下，这个HelloWorld要可以连接到CTP交易柜台，订阅一个全市场最热的合约，可以收到每一笔Tick行情，当收到Tick行情时，在输出窗口写一句HelloWorld及当前的报价！ +是的，一个OpenQuant的HelloWorld需要设计一下，这个HelloWorld程序就是最基础的OpenQuant代码。虽然简单，但具备最核心的结构，未来可以扩展出我们需要的代码。 + +这个HelloWorld程序要提供历史数据回测结构，要可以实盘连接到CTP交易柜台，可以订阅一个全市场最热的合约，当收到每一笔Tick行情时，在输出窗口写一句HelloWorld及所订阅合约的当前报价！ 总体代码结构应该是这样的： +![](/assets/design_helloworld.jpg) + +整个解决方案由三个工程组成： + +1. 回测场景定义的**Backtest**：主要定义用于回测的合约，及其历史数据的回测时间段； + +2. 实盘场景定义的**Realtime**：主要定义交易通道，实盘交易的合约。 +3. 策略主体的**MyStrategy**：主要编写策略逻辑，我们的Hellow World代码就会出现在这里。 -Coming soon... ... +现在就来创建这个HelloWorld吧！ From 77d9646e6c28b109992aae4c9daeb1acf3339326 Mon Sep 17 00:00:00 2001 From: OmniStep Date: Wed, 9 Aug 2017 22:59:30 +0800 Subject: [PATCH 053/306] Updates code-an-openquant-helloworld.md Auto commit by GitBook Editor --- SUMMARY.md | 11 ++--------- code-an-openquant-helloworld.md | 12 +++++++++--- 2 files changed, 11 insertions(+), 12 deletions(-) diff --git a/SUMMARY.md b/SUMMARY.md index c10477c..a69cf01 100644 --- a/SUMMARY.md +++ b/SUMMARY.md @@ -2,17 +2,10 @@ * [0. Introduction](README.md) * [在开始之前的准备](before-your-start.md) +* import an instrument and its historical data * [管理未来所有的代码...](manage-your-coding-by-svn.md) * [开始一个Hello World](hello-world.md) * [OpenQuant策略代码的结构](structure-of-openquant-solution.md) * [设计一个OpenQuant的HelloWorld！](design-an-openquant-helloworld.md) -* [code an OpenQuant HelloWorld](code-an-openquant-helloworld.md) - - - - - - - - +* [开始编写OpenQuant的HelloWorld](code-an-openquant-helloworld.md) diff --git a/code-an-openquant-helloworld.md b/code-an-openquant-helloworld.md index da5bacb..adf3070 100644 --- a/code-an-openquant-helloworld.md +++ b/code-an-openquant-helloworld.md @@ -2,17 +2,23 @@ --- -![](blob:file:///99680a66-6b6f-47bf-ad39-f42110b6b4b2)打开OpenQuant中的**File**菜单，**New**一个新的**solution**, 这里有一些解决方案类别选项，这个例子中，我们选择第一种“SmartQuant Instrument Strategy Solution”， 命名为_HelloWorld_ +# 用OpenQuant创建一个基础代码框架 -在OpenQuant的Solution Explorer窗口中，我们可以发现当前有两个工程，**Backtest**和**MyStratey**，在解决方案名字HelloWorld上鼠标右键，Add一个New Project... 我们增加一个场景工程， 选择SmartQuant Scenario Project， 命名为 _**Realtime**_ +![](/icons/icon_labtubeBlue.ico)打开OpenQuant中的**File**菜单，**New**一个新的**solution**, 这里有一些解决方案类别选项，这个例子中，我们选择第一种“SmartQuant Instrument Strategy Solution”， 命名为_HelloWorld，_在OpenQuant的Solution Explorer窗口中，我们可以发现当前有两个工程，**Backtest**和**MyStratey**.这就是最基础的代码框架了，一个回测场景定义工程，一个策略主体工程。 +# 增加一个场景工程-Realtime +![](/icons/icon_labtubeBlue.ico)现在，我们按照设计，再增加一个实盘交易场景工程Realtime。在OpenQuant的Solution Explorer中找到刚刚建立的解决方案HelloWorld，在HelloWorld上鼠标右键，**Add**一个**New Project... ** 我们增加一个场景工程， 选择SmartQuant Scenario Project， 命名为 _**Realtime **_ +# 开始编写代码 +现在我们按照设计，这个解决方案（Solution）中已经有了三个工程：一个回测场景，一个实盘场景，一个策略主体; 让我们来加入代码: -Coming soon... ... +![](/icons/icon_labtubeBlue.ico)在回测场景工程（Backtest）中，增加回测场景的定义，包括测试的合约，我们引入螺纹钢期货rb1709合约，我们假设你已经在OpenQuant中引入了rb1709合约，同时使用历史数据插件导入了2017年1月1日至2017年3月1日的Tick级别的历史数据。 +在Backtest工程中的MyScenario.cs文件中，编写代码如下 +Coming soon... ... From 3b433eb39f3b24e3bef8ff11f7fc20e518d5d20f Mon Sep 17 00:00:00 2001 From: OmniStep Date: Wed, 9 Aug 2017 23:05:43 +0800 Subject: [PATCH 054/306] Updates code-an-openquant-helloworld.md Auto commit by GitBook Editor --- code-an-openquant-helloworld.md | 12 ++++++++++++ 1 file changed, 12 insertions(+) diff --git a/code-an-openquant-helloworld.md b/code-an-openquant-helloworld.md index adf3070..394d9e7 100644 --- a/code-an-openquant-helloworld.md +++ b/code-an-openquant-helloworld.md @@ -20,5 +20,17 @@ + + +``` + +``` + + + + + + + Coming soon... ... 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b/code-an-openquant-helloworld.md index 394d9e7..6c54866 100644 --- a/code-an-openquant-helloworld.md +++ b/code-an-openquant-helloworld.md @@ -10,27 +10,112 @@ ![](/icons/icon_labtubeBlue.ico)现在，我们按照设计，再增加一个实盘交易场景工程Realtime。在OpenQuant的Solution Explorer中找到刚刚建立的解决方案HelloWorld，在HelloWorld上鼠标右键，**Add**一个**New Project... ** 我们增加一个场景工程， 选择SmartQuant Scenario Project， 命名为 _**Realtime **_ -# 开始编写代码 +# 开始编写回测场景及逻辑代码 现在我们按照设计，这个解决方案（Solution）中已经有了三个工程：一个回测场景，一个实盘场景，一个策略主体; 让我们来加入代码: ![](/icons/icon_labtubeBlue.ico)在回测场景工程（Backtest）中，增加回测场景的定义，包括测试的合约，我们引入螺纹钢期货rb1709合约，我们假设你已经在OpenQuant中引入了rb1709合约，同时使用历史数据插件导入了2017年1月1日至2017年3月1日的Tick级别的历史数据。 -在Backtest工程中的MyScenario.cs文件中，编写代码如下 - +1. 在**Backtest**工程中的**MyScenario.cs**文件中，编写代码如下 +``` +using System; + +using SmartQuant; + +namespace OpenQuant +{ + public class Backtest : Scenario + { + //定义K线时间周期为barSize秒 + private long barSize = 60; + + public Backtest(Framework framework) + : base(framework) + { + } + + public override void Run() + { + //定义要引入的合约名字 + Instrument instrument1 = InstrumentManager.Instruments["rb1709"]; + + + strategy = new MyStrategy(framework, "HelloWorld"); + + //引入合约 + strategy.AddInstrument(instrument1); + + //定义数据回测的起止日期 + DataSimulator.SubscribeBar = false; + DataSimulator.DateTime1 = new DateTime(2013, 01, 01); + DataSimulator.DateTime2 = new DateTime(2017, 03, 01); + + //定义一个时间类型的K线 + BarFactory.Clear(); + BarFactory.Add(instrument1, BarType.Time, barSize); + + + //? Initialize(); + + StartStrategy(); + } + } +} +``` +2. 在**MyStrategy**工程中的**MyStrategy.cs**文件中，编写代码如下 ``` +using System; + +using SmartQuant; + + +namespace OpenQuant +{ + public class MyStrategy : InstrumentStrategy + { + public MyStrategy(Framework framework, string name) + : base(framework, name) + { + } + + protected override void OnStrategyStart() + { + //定义K线的画布，编码0号 + Group("myK-Chart", "Pad", 1); + } + + protected override void OnBar(Instrument instrument, Bar bar) + { + //当Bar形成时，增加bar数据到K线序列 + Bars.Add(bar); + + //在Bars画布上画出K线 + Log(bar, "myK-Chart"); + + //就是这句期待已久的HelloWorld！同时显示bar时间，合约代码，bar中的均价 + Console.WriteLine("HelloWorld! "+bar.DateTime.ToString()+ " "+instrument.Symbol + " ="+bar.Average.ToString()); + } + } +} + ``` +![](/icons/icon_paw.png)这时你有了一个可以回测合约的历史数据，基础框架，运行结果如下： +![](/assets/OpenQuantHelloWorldRunning.png) +# 开始编写实盘接入场景 +为了能接入实时到动态行情数据，我们要定义实盘接入场景，在**Backtest**工程中的**MyScenario.cs**文件中，编写代码如下： +``` +``` Coming soon... ... From d7af9686dbf95261478dd27cfdb67e656a827a12 Mon Sep 17 00:00:00 2001 From: OmniStep Date: Fri, 11 Aug 2017 23:25:22 +0800 Subject: [PATCH 056/306] Updates code-an-openquant-helloworld.md Auto commit by GitBook Editor --- code-an-openquant-helloworld.md | 93 +++++++++++++++++++-------------- 1 file changed, 53 insertions(+), 40 deletions(-) diff --git a/code-an-openquant-helloworld.md b/code-an-openquant-helloworld.md index 6c54866..aba360e 100644 --- a/code-an-openquant-helloworld.md +++ b/code-an-openquant-helloworld.md @@ -10,6 +10,8 @@ ![](/icons/icon_labtubeBlue.ico)现在，我们按照设计，再增加一个实盘交易场景工程Realtime。在OpenQuant的Solution Explorer中找到刚刚建立的解决方案HelloWorld，在HelloWorld上鼠标右键，**Add**一个**New Project... ** 我们增加一个场景工程， 选择SmartQuant Scenario Project， 命名为 _**Realtime **_ + + # 开始编写回测场景及逻辑代码 现在我们按照设计，这个解决方案（Solution）中已经有了三个工程：一个回测场景，一个实盘场景，一个策略主体; 让我们来加入代码: @@ -25,47 +27,60 @@ using SmartQuant; namespace OpenQuant { - public class Backtest : Scenario + public class Backtest : Scenario { - //定义K线时间周期为barSize秒 - private long barSize = 60; - - public Backtest(Framework framework) + //定义K线时间周期为barSize秒 + private long barSize = 60; + + public partial class Backtest(Framework framework) : base(framework) { } public override void Run() { - //定义要引入的合约名字 - Instrument instrument1 = InstrumentManager.Instruments["rb1709"]; - - + //定义要引入的合约名字 + Instrument instrument1 = InstrumentManager.Instruments["rb1709"]; + + strategy = new MyStrategy(framework, "HelloWorld"); - - //引入合约 - strategy.AddInstrument(instrument1); - - //定义数据回测的起止日期 - DataSimulator.SubscribeBar = false; - DataSimulator.DateTime1 = new DateTime(2013, 01, 01); - DataSimulator.DateTime2 = new DateTime(2017, 03, 01); - - //定义一个时间类型的K线 - BarFactory.Clear(); - BarFactory.Add(instrument1, BarType.Time, barSize); - - - //? Initialize(); - + + //引入合约 + strategy.AddInstrument(instrument1); + + //定义数据回测的起止日期 + DataSimulator.SubscribeBar = false; + DataSimulator.DateTime1 = new DateTime(2013, 01, 01); + DataSimulator.DateTime2 = new DateTime(2017, 03, 01); + + //定义一个时间类型的K线 + BarFactory.Clear(); + BarFactory.Add(instrument1, BarType.Time, barSize); + + + //? Initialize(); + StartStrategy(); } } } - ``` -2. 在**MyStrategy**工程中的**MyStrategy.cs**文件中，编写代码如下 +上面的代码public partial class Backtest:Scenario 修改了原来OpenQuant自动生成的public partial class MyScenario:Scenario , 为此我们也要修改这个工程中的MyScenario.Designer.cs中这个“类”的名字， 把自动生成的public partial class MyScenario改为 + + + + + + + + + + + + + +1. 在**MyStrategy**工程中的**MyStrategy.cs**文件中，编写代码如下 ``` using System; @@ -77,32 +92,30 @@ namespace OpenQuant { public class MyStrategy : InstrumentStrategy { - public MyStrategy(Framework framework, string name) + public MyStrategy(Framework framework, string name) : base(framework, name) { } protected override void OnStrategyStart() { - //定义K线的画布，编码0号 - Group("myK-Chart", "Pad", 1); + //定义K线的画布，编码0号 + Group("myK-Chart", "Pad", 1); } protected override void OnBar(Instrument instrument, Bar bar) { - //当Bar形成时，增加bar数据到K线序列 - Bars.Add(bar); - - //在Bars画布上画出K线 - Log(bar, "myK-Chart"); - - //就是这句期待已久的HelloWorld！同时显示bar时间，合约代码，bar中的均价 - Console.WriteLine("HelloWorld! "+bar.DateTime.ToString()+ " "+instrument.Symbol + " ="+bar.Average.ToString()); + //当Bar形成时，增加bar数据到K线序列 + Bars.Add(bar); + + //在Bars画布上画出K线 + Log(bar, "myK-Chart"); + + //就是这句期待已久的HelloWorld！同时显示bar时间，合约代码，bar中的均价 + Console.WriteLine("HelloWorld! "+bar.DateTime.ToString()+ " "+instrument.Symbol + " ="+bar.Average.ToString()); } } } - - ``` ![](/icons/icon_paw.png)这时你有了一个可以回测合约的历史数据，基础框架，运行结果如下： From 146f783bbac594edfd29e62759efd1f379c184bc Mon Sep 17 00:00:00 2001 From: OmniStep Date: Fri, 11 Aug 2017 23:38:13 +0800 Subject: [PATCH 057/306] Updates code-an-openquant-helloworld.md Auto commit by GitBook Editor --- code-an-openquant-helloworld.md | 47 ++++++++++++++++++++++++++++----- 1 file changed, 40 insertions(+), 7 deletions(-) diff --git a/code-an-openquant-helloworld.md b/code-an-openquant-helloworld.md index aba360e..f450adc 100644 --- a/code-an-openquant-helloworld.md +++ b/code-an-openquant-helloworld.md @@ -10,15 +10,13 @@ ![](/icons/icon_labtubeBlue.ico)现在，我们按照设计，再增加一个实盘交易场景工程Realtime。在OpenQuant的Solution Explorer中找到刚刚建立的解决方案HelloWorld，在HelloWorld上鼠标右键，**Add**一个**New Project... ** 我们增加一个场景工程， 选择SmartQuant Scenario Project， 命名为 _**Realtime **_ - - # 开始编写回测场景及逻辑代码 现在我们按照设计，这个解决方案（Solution）中已经有了三个工程：一个回测场景，一个实盘场景，一个策略主体; 让我们来加入代码: -![](/icons/icon_labtubeBlue.ico)在回测场景工程（Backtest）中，增加回测场景的定义，包括测试的合约，我们引入螺纹钢期货rb1709合约，我们假设你已经在OpenQuant中引入了rb1709合约，同时使用历史数据插件导入了2017年1月1日至2017年3月1日的Tick级别的历史数据。 +![](/icons/icon_labtubeBlue.ico)在回测场景工程（Backtest）中，将场景类的名字从MyScenario改为Backtest，以和Realtime场景类更为明确地加以区别。并增加回测场景的定义，包括测试的合约，我们引入螺纹钢期货rb1709合约，我们假设你已经在OpenQuant中引入了rb1709合约，同时使用历史数据插件导入了2017年1月1日至2017年3月1日的Tick级别的历史数据。 -1. 在**Backtest**工程中的**MyScenario.cs**文件中，编写代码如下 +1. 在**Backtest**工程的**MyScenario.cs**文件中，编写代码如下 ``` using System; @@ -50,7 +48,7 @@ namespace OpenQuant //定义数据回测的起止日期 DataSimulator.SubscribeBar = false; - DataSimulator.DateTime1 = new DateTime(2013, 01, 01); + DataSimulator.DateTime1 = new DateTime(2017, 01, 01); DataSimulator.DateTime2 = new DateTime(2017, 03, 01); //定义一个时间类型的K线 @@ -58,7 +56,7 @@ namespace OpenQuant BarFactory.Add(instrument1, BarType.Time, barSize); - //? Initialize(); + Initialize(); StartStrategy(); } @@ -66,13 +64,48 @@ namespace OpenQuant } ``` -上面的代码public partial class Backtest:Scenario 修改了原来OpenQuant自动生成的public partial class MyScenario:Scenario , 为此我们也要修改这个工程中的MyScenario.Designer.cs中这个“类”的名字， 把自动生成的public partial class MyScenario改为 +上面的代码public partial class** Backtest**:Scenario 修改了原来OpenQuant自动生成的public partial class **MyScenario**:Scenario , 为此我们也要修改这个工程中的MyScenario.Designer.cs中这个“类”的名字， 把自动生成的public partial class MyScenario改为public partial class Backtest +在Backtest工程中的**MyScenario.Designer.cs**文件中，编写代码如下 +``` +using System; +using SmartQuant; +namespace OpenQuant +{ + public partial class Backtest + { + public void Initialize() + { + } + } +} +``` +在Backtest工程中的**Program.cs**文件中，编写代码如下 + +``` +using System; + +using SmartQuant; + +namespace OpenQuant +{ + class Program + { + static void Main(string[] args) + { + Scenario scenario = new Backtest(Framework.Current); + + scenario.Run(); + } + } +} +``` +我们从这个工程的入口程序中，我们可以看到，程序开始运行后，就从一个叫做Backtest的场景类初始化，并开始让场景运行。 From 58774a106f1e8594e62c971ee26cb1bfb6a78511 Mon Sep 17 00:00:00 2001 From: OmniStep Date: Fri, 11 Aug 2017 23:39:37 +0800 Subject: [PATCH 058/306] Updates code-an-openquant-helloworld.md Auto commit by GitBook Editor --- code-an-openquant-helloworld.md | 36 ++++++++++++++------------------- 1 file changed, 15 insertions(+), 21 deletions(-) diff --git a/code-an-openquant-helloworld.md b/code-an-openquant-helloworld.md index f450adc..2f8bfdf 100644 --- a/code-an-openquant-helloworld.md +++ b/code-an-openquant-helloworld.md @@ -25,12 +25,12 @@ using SmartQuant; namespace OpenQuant { - public class Backtest : Scenario + public partial class Backtest : Scenario { //定义K线时间周期为barSize秒 private long barSize = 60; - public partial class Backtest(Framework framework) + public Backtest(Framework framework) : base(framework) { } @@ -64,7 +64,7 @@ namespace OpenQuant } ``` -上面的代码public partial class** Backtest**:Scenario 修改了原来OpenQuant自动生成的public partial class **MyScenario**:Scenario , 为此我们也要修改这个工程中的MyScenario.Designer.cs中这个“类”的名字， 把自动生成的public partial class MyScenario改为public partial class Backtest +上面的代码public partial class** Backtest**:Scenario 修改了原来OpenQuant自动生成的public partial class **MyScenario**:Scenario , 为此我们也要修改这个工程中的MyScenario.Designer.cs中这个“类”的名字， 把自动生成的public partial class MyScenario改为public partial class Backtest 在Backtest工程中的**MyScenario.Designer.cs**文件中，编写代码如下 @@ -77,9 +77,9 @@ namespace OpenQuant { public partial class Backtest { - public void Initialize() - { - } + public void Initialize() + { + } } } ``` @@ -93,26 +93,20 @@ using SmartQuant; namespace OpenQuant { - class Program - { - static void Main(string[] args) - { - Scenario scenario = new Backtest(Framework.Current); - - scenario.Run(); - } - } + class Program + { + static void Main(string[] args) + { + Scenario scenario = new Backtest(Framework.Current); + + scenario.Run(); + } + } } ``` 我们从这个工程的入口程序中，我们可以看到，程序开始运行后，就从一个叫做Backtest的场景类初始化，并开始让场景运行。 - - - - - - 1. 在**MyStrategy**工程中的**MyStrategy.cs**文件中，编写代码如下 ``` From fd3fa7c55edffddd92764bf553d4fb0b7c00ef65 Mon Sep 17 00:00:00 2001 From: OmniStep Date: Fri, 11 Aug 2017 23:42:26 +0800 Subject: [PATCH 059/306] Updates code-an-openquant-helloworld.md Auto commit by GitBook Editor --- code-an-openquant-helloworld.md | 4 ++-- 1 file changed, 2 insertions(+), 2 deletions(-) diff --git a/code-an-openquant-helloworld.md b/code-an-openquant-helloworld.md index 2f8bfdf..a207e6c 100644 --- a/code-an-openquant-helloworld.md +++ b/code-an-openquant-helloworld.md @@ -84,7 +84,7 @@ namespace OpenQuant } ``` -在Backtest工程中的**Program.cs**文件中，编写代码如下 +在Backtest工程中的**Program.cs**文件中，编写代码如下，同样将原有的MyScenario改为Backtest ``` using System; @@ -151,7 +151,7 @@ namespace OpenQuant # 开始编写实盘接入场景 -为了能接入实时到动态行情数据，我们要定义实盘接入场景，在**Backtest**工程中的**MyScenario.cs**文件中，编写代码如下： +为了能接入实时到动态行情数据，我们要定义实盘接入场景，在Realtime工程中的**MyScenario.cs**文件中，编写代码如下： ``` From a05a76752c9f7536ce67a10d9a03fc623fd9f25c Mon Sep 17 00:00:00 2001 From: OmniStep Date: Fri, 11 Aug 2017 23:51:22 +0800 Subject: [PATCH 060/306] Updates code-an-openquant-helloworld.md Auto commit by GitBook Editor --- code-an-openquant-helloworld.md | 14 ++++++++++++-- 1 file changed, 12 insertions(+), 2 deletions(-) diff --git a/code-an-openquant-helloworld.md b/code-an-openquant-helloworld.md index a207e6c..a480768 100644 --- a/code-an-openquant-helloworld.md +++ b/code-an-openquant-helloworld.md @@ -10,7 +10,7 @@ ![](/icons/icon_labtubeBlue.ico)现在，我们按照设计，再增加一个实盘交易场景工程Realtime。在OpenQuant的Solution Explorer中找到刚刚建立的解决方案HelloWorld，在HelloWorld上鼠标右键，**Add**一个**New Project... ** 我们增加一个场景工程， 选择SmartQuant Scenario Project， 命名为 _**Realtime **_ -# 开始编写回测场景及逻辑代码 +# 开始编写回测场景Backtest 现在我们按照设计，这个解决方案（Solution）中已经有了三个工程：一个回测场景，一个实盘场景，一个策略主体; 让我们来加入代码: @@ -107,7 +107,11 @@ namespace OpenQuant 我们从这个工程的入口程序中，我们可以看到，程序开始运行后，就从一个叫做Backtest的场景类初始化，并开始让场景运行。 -1. 在**MyStrategy**工程中的**MyStrategy.cs**文件中，编写代码如下 +# 开始编写核心策略逻辑MyStrategy + +我们在这个核心逻辑中，当行情数据产生了K线中新的Bar时，我们在信息输出窗口中向外输出期待已久的HelloWorld，同时显示合约名字和当前行情形成K的Bar的平均价格。 + +![](/icons/icon_labtubeBlue.ico)在**MyStrategy**工程中的**MyStrategy.cs**文件中，编写代码如下 ``` using System; @@ -145,10 +149,16 @@ namespace OpenQuant } ``` + + ![](/icons/icon_paw.png)这时你有了一个可以回测合约的历史数据，基础框架，运行结果如下： ![](/assets/OpenQuantHelloWorldRunning.png) +上述完整代码可以从如下地址获得： + +![](/icons/icon_book.png) https://github.com/omnistep/OpenQuantHelloWorld 获得。 + # 开始编写实盘接入场景 为了能接入实时到动态行情数据，我们要定义实盘接入场景，在Realtime工程中的**MyScenario.cs**文件中，编写代码如下： From 861b85dd2fdcc7400b4366224c7245df59f94ba7 Mon Sep 17 00:00:00 2001 From: OmniStep Date: Fri, 11 Aug 2017 23:52:26 +0800 Subject: [PATCH 061/306] Updates code-an-openquant-helloworld.md Auto commit by GitBook Editor --- code-an-openquant-helloworld.md | 6 ++---- 1 file changed, 2 insertions(+), 4 deletions(-) diff --git a/code-an-openquant-helloworld.md b/code-an-openquant-helloworld.md index a480768..4c1c603 100644 --- a/code-an-openquant-helloworld.md +++ b/code-an-openquant-helloworld.md @@ -149,17 +149,15 @@ namespace OpenQuant } ``` - - ![](/icons/icon_paw.png)这时你有了一个可以回测合约的历史数据，基础框架，运行结果如下： ![](/assets/OpenQuantHelloWorldRunning.png) 上述完整代码可以从如下地址获得： -![](/icons/icon_book.png) https://github.com/omnistep/OpenQuantHelloWorld 获得。 +![](/icons/icon_book.png) [https://github.com/omnistep/OpenQuantHelloWorld](https://github.com/omnistep/OpenQuantHelloWorld) 获得。 -# 开始编写实盘接入场景 +# 开始编写实盘接入场景Realtime 为了能接入实时到动态行情数据，我们要定义实盘接入场景，在Realtime工程中的**MyScenario.cs**文件中，编写代码如下： From 6353fbba69891ecb7da690da333f9e60d49ab4b4 Mon Sep 17 00:00:00 2001 From: OmniStep Date: Sat, 12 Aug 2017 00:09:49 +0800 Subject: [PATCH 062/306] Updates code-an-openquant-helloworld.md Auto commit by GitBook Editor --- code-an-openquant-helloworld.md | 17 ++++++++++++----- 1 file changed, 12 insertions(+), 5 deletions(-) diff --git a/code-an-openquant-helloworld.md b/code-an-openquant-helloworld.md index 4c1c603..ff5063e 100644 --- a/code-an-openquant-helloworld.md +++ b/code-an-openquant-helloworld.md @@ -10,9 +10,9 @@ ![](/icons/icon_labtubeBlue.ico)现在，我们按照设计，再增加一个实盘交易场景工程Realtime。在OpenQuant的Solution Explorer中找到刚刚建立的解决方案HelloWorld，在HelloWorld上鼠标右键，**Add**一个**New Project... ** 我们增加一个场景工程， 选择SmartQuant Scenario Project， 命名为 _**Realtime **_ -# 开始编写回测场景Backtest +现在我们按照设计，这个解决方案（Solution）中已经有了三个工程：一个回测场景，一个实盘场景，一个策略主体; 让我们来在这三个工程中加入代码。 -现在我们按照设计，这个解决方案（Solution）中已经有了三个工程：一个回测场景，一个实盘场景，一个策略主体; 让我们来加入代码: +1. # 开始编写回测场景Backtest ![](/icons/icon_labtubeBlue.ico)在回测场景工程（Backtest）中，将场景类的名字从MyScenario改为Backtest，以和Realtime场景类更为明确地加以区别。并增加回测场景的定义，包括测试的合约，我们引入螺纹钢期货rb1709合约，我们假设你已经在OpenQuant中引入了rb1709合约，同时使用历史数据插件导入了2017年1月1日至2017年3月1日的Tick级别的历史数据。 @@ -107,7 +107,7 @@ namespace OpenQuant 我们从这个工程的入口程序中，我们可以看到，程序开始运行后，就从一个叫做Backtest的场景类初始化，并开始让场景运行。 -# 开始编写核心策略逻辑MyStrategy +1. # 开始编写核心策略逻辑MyStrategy 我们在这个核心逻辑中，当行情数据产生了K线中新的Bar时，我们在信息输出窗口中向外输出期待已久的HelloWorld，同时显示合约名字和当前行情形成K的Bar的平均价格。 @@ -118,7 +118,6 @@ using System; using SmartQuant; - namespace OpenQuant { public class MyStrategy : InstrumentStrategy @@ -159,7 +158,15 @@ namespace OpenQuant # 开始编写实盘接入场景Realtime -为了能接入实时到动态行情数据，我们要定义实盘接入场景，在Realtime工程中的**MyScenario.cs**文件中，编写代码如下： +1. ## 引入MyStrategy工程类 + +在接入实盘收行情时，我们会将解决方案中的Realtime作为启动工程，在这个工程中初始化场景后，即将实例化一个主逻辑MyStrategy类，为此，我们先要在Realtime工程中，引入MyStrategy工程类。 + +![](/icons/icon_labtubeBlue.ico)在OpenQuant的Solution Explorer中的Realtime工程的References中，鼠标右键Add，选择Solution后，选择添加MyStrategy工程。 + +1. ## 编写实盘场景Realtime的代码 + +接入实时到动态行情数据，我们要定义实盘接入场景，在Realtime工程中的**MyScenario.cs**文件中，编写代码如下： ``` From 39643e0f7aaf055d1c3125ee7de8f0c4153ea57f Mon Sep 17 00:00:00 2001 From: OmniStep Date: Sat, 12 Aug 2017 21:16:45 +0800 Subject: [PATCH 063/306] Updates code-an-openquant-helloworld.md Auto commit by GitBook Editor --- code-an-openquant-helloworld.md | 2 +- 1 file changed, 1 insertion(+), 1 deletion(-) diff --git a/code-an-openquant-helloworld.md b/code-an-openquant-helloworld.md index ff5063e..e6b253f 100644 --- a/code-an-openquant-helloworld.md +++ b/code-an-openquant-helloworld.md @@ -160,7 +160,7 @@ namespace OpenQuant 1. ## 引入MyStrategy工程类 -在接入实盘收行情时，我们会将解决方案中的Realtime作为启动工程，在这个工程中初始化场景后，即将实例化一个主逻辑MyStrategy类，为此，我们先要在Realtime工程中，引入MyStrategy工程类。 +在接入实盘收行情时，我们会将解决方案中的Realtime作为启动工程，在这个工程中将实例化一个主逻辑MyStrategy类，为此，我们先要在Realtime工程中，引入MyStrategy工程类。正如OpenQuant生成的Backtest中已经引入了Mystrategy工程类一样。 ![](/icons/icon_labtubeBlue.ico)在OpenQuant的Solution Explorer中的Realtime工程的References中，鼠标右键Add，选择Solution后，选择添加MyStrategy工程。 From bb3fa20e8ab5e3b62704ec5b4b341c810b39da2e Mon Sep 17 00:00:00 2001 From: OmniStep Date: Sat, 12 Aug 2017 21:29:51 +0800 Subject: [PATCH 064/306] Updates code-an-openquant-helloworld.md Auto commit by GitBook Editor --- code-an-openquant-helloworld.md | 57 ++++++++++++++++++++++++++++++++- 1 file changed, 56 insertions(+), 1 deletion(-) diff --git a/code-an-openquant-helloworld.md b/code-an-openquant-helloworld.md index e6b253f..86d8eaf 100644 --- a/code-an-openquant-helloworld.md +++ b/code-an-openquant-helloworld.md @@ -166,11 +166,66 @@ namespace OpenQuant 1. ## 编写实盘场景Realtime的代码 -接入实时到动态行情数据，我们要定义实盘接入场景，在Realtime工程中的**MyScenario.cs**文件中，编写代码如下： +接入实时到动态行情数据，我们要定义实盘接入场景，在Realtime工程中的**Scenario.cs**文件中，编写代码如下： ``` +using System; +using System.Collections.Generic; +using System.Linq; +using System.Text; +using System.Threading.Tasks; + +using SmartQuant; + +namespace OpenQuant +{ + public partial class Realtime : Scenario + { + private long barSize = 3; + + public Realtime(Framework framework) + : base(framework) + { + } + + public override void Run() + { + //定义合约 + Instrument instrument1 = InstrumentManager.Instruments["ag1712"]; + + strategy = new MyStrategy(framework, "HelloWorld"); + + //引入合约到主策略工程 + strategy.AddInstrument(instrument1); + + //定义主策略中使用的合约的数据源和交易通道 + strategy.DataProvider = ProviderManager.GetDataProvider("A99CTP"); + strategy.ExecutionProvider = ProviderManager.GetExecutionProvider("A99CTP"); + + //定义K线类型：时间型K线，barSize秒生成一个Bar + BarFactory.Clear(); + BarFactory.Add(instrument1, BarType.Time, barSize); + + Initialize(); + + //Run the strategy + StartStrategy(); + + } + } +} ``` +这里HelloWolrd解决方案的Realtime工程中的Scenario.Designer.cs及Program.cs均不需要改动代码。 + +![](/icons/icon_labtubeOrg.ico)在OpenQuant的Solution Explorer中，将Realtime工程设置为启动工程（Set as StartUp Project），然后把OpenQuant切换为实盘模式（Live）后，运行HelloWorld解决方案，并观察输出： + + + + + + + Coming soon... ... From f5543405e4052ddc05e28f7392d8caff9fdf7644 Mon Sep 17 00:00:00 2001 From: OmniStep Date: Sat, 12 Aug 2017 21:37:48 +0800 Subject: [PATCH 065/306] Updates code-an-openquant-helloworld.md Auto commit by GitBook Editor --- code-an-openquant-helloworld.md | 53 +++++++++++++++++---------------- 1 file changed, 28 insertions(+), 25 deletions(-) diff --git a/code-an-openquant-helloworld.md b/code-an-openquant-helloworld.md index 86d8eaf..6aedf3e 100644 --- a/code-an-openquant-helloworld.md +++ b/code-an-openquant-helloworld.md @@ -181,40 +181,39 @@ namespace OpenQuant { public partial class Realtime : Scenario { - private long barSize = 3; - + private long barSize = 3; + public Realtime(Framework framework) : base(framework) { - } + } public override void Run() { - //定义合约 - Instrument instrument1 = InstrumentManager.Instruments["ag1712"]; - - strategy = new MyStrategy(framework, "HelloWorld"); - - //引入合约到主策略工程 - strategy.AddInstrument(instrument1); - - //定义主策略中使用的合约的数据源和交易通道 - strategy.DataProvider = ProviderManager.GetDataProvider("A99CTP"); - strategy.ExecutionProvider = ProviderManager.GetExecutionProvider("A99CTP"); - - //定义K线类型：时间型K线，barSize秒生成一个Bar - BarFactory.Clear(); - BarFactory.Add(instrument1, BarType.Time, barSize); - - Initialize(); - - //Run the strategy - StartStrategy(); - + //定义合约 + Instrument instrument1 = InstrumentManager.Instruments["ag1712"]; + + strategy = new MyStrategy(framework, "HelloWorld"); + + //引入合约到主策略工程 + strategy.AddInstrument(instrument1); + + //定义主策略中使用的合约的数据源和交易通道 + strategy.DataProvider = ProviderManager.GetDataProvider("A99CTP"); + strategy.ExecutionProvider = ProviderManager.GetExecutionProvider("A99CTP"); + + //定义K线类型：时间型K线，barSize秒生成一个Bar + BarFactory.Clear(); + BarFactory.Add(instrument1, BarType.Time, barSize); + + Initialize(); + + //Run the strategy + StartStrategy(); + } } } - ``` 这里HelloWolrd解决方案的Realtime工程中的Scenario.Designer.cs及Program.cs均不需要改动代码。 @@ -227,5 +226,9 @@ namespace OpenQuant + + + + Coming soon... ... From 30a09319753af19c31fe0435970bf969946b392e Mon Sep 17 00:00:00 2001 From: OmniStep Date: Sat, 12 Aug 2017 21:53:34 +0800 Subject: [PATCH 066/306] Updates README.md Auto commit by GitBook Editor --- README.md | 2 +- 1 file changed, 1 insertion(+), 1 deletion(-) diff --git a/README.md b/README.md index 38d5d73..af19b8b 100644 --- a/README.md +++ b/README.md @@ -1,6 +1,6 @@ # OpenQuantCoding -My notebook for building an OpenQuant Trading System step by step. ver. 0052 +My notebook for building an OpenQuant Trading System step by step. ver. 0066 --- From 85bc727836f9a7fe85b131ca50fc3a7168223e1d Mon Sep 17 00:00:00 2001 From: OmniStep Date: Sat, 12 Aug 2017 22:10:31 +0800 Subject: [PATCH 067/306] Updates design-an-openquant-helloworld.md Auto commit by GitBook Editor --- SUMMARY.md | 2 +- design-an-openquant-helloworld.md | 6 ++---- hello-world.md | 4 +++- import-an-instrument-and-its-historical-data.md | 0 4 files changed, 6 insertions(+), 6 deletions(-) create mode 100644 import-an-instrument-and-its-historical-data.md diff --git a/SUMMARY.md b/SUMMARY.md index a69cf01..424824a 100644 --- a/SUMMARY.md +++ b/SUMMARY.md @@ -2,7 +2,7 @@ * [0. Introduction](README.md) * [在开始之前的准备](before-your-start.md) -* import an instrument and its historical data +* [import an instrument and its historical data](import-an-instrument-and-its-historical-data.md) * [管理未来所有的代码...](manage-your-coding-by-svn.md) * [开始一个Hello World](hello-world.md) * [OpenQuant策略代码的结构](structure-of-openquant-solution.md) diff --git a/design-an-openquant-helloworld.md b/design-an-openquant-helloworld.md index 44c4187..a8e8fae 100644 --- a/design-an-openquant-helloworld.md +++ b/design-an-openquant-helloworld.md @@ -2,7 +2,7 @@ --- -是的，一个OpenQuant的HelloWorld需要设计一下，这个HelloWorld程序就是最基础的OpenQuant代码。虽然简单，但具备最核心的结构，未来可以扩展出我们需要的代码。 +是的，一个OpenQuant的HelloWorld需要设计一下，这个HelloWorld程序就是最基础的OpenQuant代码。虽然简单，但具备最核心的结构，未来可以扩展出我们需要的更多的解决方案。 这个HelloWorld程序要提供历史数据回测结构，要可以实盘连接到CTP交易柜台，可以订阅一个全市场最热的合约，当收到每一笔Tick行情时，在输出窗口写一句HelloWorld及所订阅合约的当前报价！ @@ -18,7 +18,5 @@ 3. 策略主体的**MyStrategy**：主要编写策略逻辑，我们的Hellow World代码就会出现在这里。 - - -现在就来创建这个HelloWorld吧！ +而优化（Optimization）的部分，目前先忽略。现在就来创建这个HelloWorld吧！ diff --git a/hello-world.md b/hello-world.md index 7233583..383ae67 100644 --- a/hello-world.md +++ b/hello-world.md @@ -2,7 +2,9 @@ --- -OpenQuant的开发体系是基于标准的微软C\#编程语言及.NET开发框架。下面的文档中，默认认为我们的读者已经可以使用C\#编程语言并使用过Visual Studio开发工具。 +OpenQuant的开发体系是基于标准的微软C\#编程语言及.NET开发框架。 + +为了避免文字内容过于冗长，我们认为读者已经可以使用C\#编程语言并使用过Visual Studio开发工具。 ## 创建第一个解决方案（C\# solution） diff --git a/import-an-instrument-and-its-historical-data.md b/import-an-instrument-and-its-historical-data.md new file mode 100644 index 0000000..e69de29 From 78a592ebde503e4f10a70794aa42491a06bfedb1 Mon Sep 17 00:00:00 2001 From: OmniStep Date: Sat, 12 Aug 2017 22:22:40 +0800 Subject: [PATCH 068/306] Updates code-an-openquant-helloworld.md Auto commit by GitBook Editor --- code-an-openquant-helloworld.md | 22 +++++++++++----------- 1 file changed, 11 insertions(+), 11 deletions(-) diff --git a/code-an-openquant-helloworld.md b/code-an-openquant-helloworld.md index 6aedf3e..a60e517 100644 --- a/code-an-openquant-helloworld.md +++ b/code-an-openquant-helloworld.md @@ -14,7 +14,17 @@ 1. # 开始编写回测场景Backtest -![](/icons/icon_labtubeBlue.ico)在回测场景工程（Backtest）中，将场景类的名字从MyScenario改为Backtest，以和Realtime场景类更为明确地加以区别。并增加回测场景的定义，包括测试的合约，我们引入螺纹钢期货rb1709合约，我们假设你已经在OpenQuant中引入了rb1709合约，同时使用历史数据插件导入了2017年1月1日至2017年3月1日的Tick级别的历史数据。 +![](/icons/icon_labtubeBlue.ico)在回测场景工程（Backtest）中，将场景类的名字从MyScenario改为Backtest，以便能和Realtime场景类更为明确地加以区别。修改这个类名会涉及MyScenarios.cs，MySenario.Designer.cs，Program.cs 文件中所有该类定义及调用的代码。如果用微软的Vistual Studio工具将非常的自动化完成这类代码编写工作。 + +然后，我们增加回测场景的定义，包括测试的合约，我们引入螺纹钢期货rb1709合约，我们假设你已经在OpenQuant中引入了rb1709合约，同时使用历史数据插件导入了2017年1月1日至2017年3月1日的Tick级别的历史数据。 + + + +![](/icons/icon_bookbig.png)OpenQuant引入合约代码及导入历史数据，请参考如下资料： + +[http://www.smartquant.cn/book/domestic\_market\_data.html](http://www.smartquant.cn/book/domestic_market_data.html "OpenQuant导入合约代码及历史数据") + + 1. 在**Backtest**工程的**MyScenario.cs**文件中，编写代码如下 @@ -220,15 +230,5 @@ namespace OpenQuant ![](/icons/icon_labtubeOrg.ico)在OpenQuant的Solution Explorer中，将Realtime工程设置为启动工程（Set as StartUp Project），然后把OpenQuant切换为实盘模式（Live）后，运行HelloWorld解决方案，并观察输出： - - - - - - - - - - Coming soon... ... From 0e013cc4287c8fc0d6ecf4574cf9fc662b73f738 Mon Sep 17 00:00:00 2001 From: OmniStep Date: Sun, 13 Aug 2017 11:20:45 +0800 Subject: [PATCH 069/306] Updates code-an-openquant-helloworld.md Auto commit by GitBook Editor --- code-an-openquant-helloworld.md | 12 ++++++++---- 1 file changed, 8 insertions(+), 4 deletions(-) diff --git a/code-an-openquant-helloworld.md b/code-an-openquant-helloworld.md index a60e517..14a1db1 100644 --- a/code-an-openquant-helloworld.md +++ b/code-an-openquant-helloworld.md @@ -18,14 +18,10 @@ 然后，我们增加回测场景的定义，包括测试的合约，我们引入螺纹钢期货rb1709合约，我们假设你已经在OpenQuant中引入了rb1709合约，同时使用历史数据插件导入了2017年1月1日至2017年3月1日的Tick级别的历史数据。 - - ![](/icons/icon_bookbig.png)OpenQuant引入合约代码及导入历史数据，请参考如下资料： [http://www.smartquant.cn/book/domestic\_market\_data.html](http://www.smartquant.cn/book/domestic_market_data.html "OpenQuant导入合约代码及历史数据") - - 1. 在**Backtest**工程的**MyScenario.cs**文件中，编写代码如下 ``` @@ -228,7 +224,15 @@ namespace OpenQuant 这里HelloWolrd解决方案的Realtime工程中的Scenario.Designer.cs及Program.cs均不需要改动代码。 + + ![](/icons/icon_labtubeOrg.ico)在OpenQuant的Solution Explorer中，将Realtime工程设置为启动工程（Set as StartUp Project），然后把OpenQuant切换为实盘模式（Live）后，运行HelloWorld解决方案，并观察输出： + + +![](/icons/icon_paw.png)现在我们已经有了一个HelloWorld解决方案，该方案已经让我们完成一个主体逻辑后，同时可以进行回测状态，和实盘状态的定义和切换。如果需要回测，我们就将Backtest工程设置为启动项，如果进行实盘接入，我们就将Realtime工程设置为启动项。 +完整的代码应该存在版本控制系统中进行管理。 + + Coming soon... ... From 38e81db4f1dde21d636c08b93515da7b8e59e29b Mon Sep 17 00:00:00 2001 From: OmniStep Date: Sun, 13 Aug 2017 11:35:25 +0800 Subject: [PATCH 070/306] Updates code-an-openquant-helloworld.md Auto commit by GitBook Editor --- code-an-openquant-helloworld.md | 11 ++++------- 1 file changed, 4 insertions(+), 7 deletions(-) diff --git a/code-an-openquant-helloworld.md b/code-an-openquant-helloworld.md index 14a1db1..028ec66 100644 --- a/code-an-openquant-helloworld.md +++ b/code-an-openquant-helloworld.md @@ -158,9 +158,7 @@ namespace OpenQuant ![](/assets/OpenQuantHelloWorldRunning.png) -上述完整代码可以从如下地址获得： -![](/icons/icon_book.png) [https://github.com/omnistep/OpenQuantHelloWorld](https://github.com/omnistep/OpenQuantHelloWorld) 获得。 # 开始编写实盘接入场景Realtime @@ -224,15 +222,14 @@ namespace OpenQuant 这里HelloWolrd解决方案的Realtime工程中的Scenario.Designer.cs及Program.cs均不需要改动代码。 - - ![](/icons/icon_labtubeOrg.ico)在OpenQuant的Solution Explorer中，将Realtime工程设置为启动工程（Set as StartUp Project），然后把OpenQuant切换为实盘模式（Live）后，运行HelloWorld解决方案，并观察输出： - - -![](/icons/icon_paw.png)现在我们已经有了一个HelloWorld解决方案，该方案已经让我们完成一个主体逻辑后，同时可以进行回测状态，和实盘状态的定义和切换。如果需要回测，我们就将Backtest工程设置为启动项，如果进行实盘接入，我们就将Realtime工程设置为启动项。 +![](/icons/icon_paw.png)现在我们已经有了一个HelloWorld解决方案，该方案已经让我们完成一个主体逻辑后，同时可以进行回测状态，和实盘状态的定义和切换。如果需要回测，我们就将Backtest工程设置为启动项，如果进行实盘接入，我们就将Realtime工程设置为启动项。 完整的代码应该存在版本控制系统中进行管理。 +上述完整HelloWorld代码可以从如下地址获得： + +![](/icons/icon_book.png) [https://github.com/omnistep/OpenQuantHelloWorld](https://github.com/omnistep/OpenQuantHelloWorld) 获得。 Coming soon... ... From a90ee61d307c4f2af7975fbb54ae00e974ebc2b8 Mon Sep 17 00:00:00 2001 From: OmniStep Date: Sun, 13 Aug 2017 13:43:59 +0800 Subject: [PATCH 071/306] Updates README.md Auto commit by GitBook Editor --- README.md | 14 -------------- SUMMARY.md | 13 ++++++------- 2 files changed, 6 insertions(+), 21 deletions(-) diff --git a/README.md b/README.md index af19b8b..68d73f0 100644 --- a/README.md +++ b/README.md @@ -4,27 +4,13 @@ My notebook for building an OpenQuant Trading System step by step. ver. 0066 --- -\| -\| -\| -\| -\| -\| -\| -\| - -\| - -\| - -\| * 图标说明 diff --git a/SUMMARY.md b/SUMMARY.md index 424824a..b1a3814 100644 --- a/SUMMARY.md +++ b/SUMMARY.md @@ -1,11 +1,10 @@ # Summary - -* [0. Introduction](README.md) -* [在开始之前的准备](before-your-start.md) -* [import an instrument and its historical data](import-an-instrument-and-its-historical-data.md) +* [Introduction](README.md) + * [在开始之前的准备](before-your-start.md) + * [import an instrument and its historical data](import-an-instrument-and-its-historical-data.md) * [管理未来所有的代码...](manage-your-coding-by-svn.md) * [开始一个Hello World](hello-world.md) -* [OpenQuant策略代码的结构](structure-of-openquant-solution.md) -* [设计一个OpenQuant的HelloWorld！](design-an-openquant-helloworld.md) -* [开始编写OpenQuant的HelloWorld](code-an-openquant-helloworld.md) + * [OpenQuant策略代码的结构](structure-of-openquant-solution.md) + * [设计一个OpenQuant的HelloWorld！](design-an-openquant-helloworld.md) + * [开始编写OpenQuant的HelloWorld](code-an-openquant-helloworld.md) From a2aab1db17b10ab11157330b30a094fb502c237f Mon Sep 17 00:00:00 2001 From: OmniStep Date: Sun, 13 Aug 2017 13:45:08 +0800 Subject: [PATCH 072/306] Updates SUMMARY.md Auto commit by GitBook Editor --- SUMMARY.md | 5 +++-- 1 file changed, 3 insertions(+), 2 deletions(-) diff --git a/SUMMARY.md b/SUMMARY.md index b1a3814..a7ab93d 100644 --- a/SUMMARY.md +++ b/SUMMARY.md @@ -1,9 +1,10 @@ # Summary -* [Introduction](README.md) +[Introduction](README.md) * [在开始之前的准备](before-your-start.md) * [import an instrument and its historical data](import-an-instrument-and-its-historical-data.md) * [管理未来所有的代码...](manage-your-coding-by-svn.md) -* [开始一个Hello World](hello-world.md) + +[开始一个Hello World](hello-world.md) * [OpenQuant策略代码的结构](structure-of-openquant-solution.md) * [设计一个OpenQuant的HelloWorld！](design-an-openquant-helloworld.md) * [开始编写OpenQuant的HelloWorld](code-an-openquant-helloworld.md) From 6a6867663d478246f7562b3e16f31b86c06c7794 Mon Sep 17 00:00:00 2001 From: OmniStep Date: Sun, 13 Aug 2017 13:46:37 +0800 Subject: [PATCH 073/306] Updates SUMMARY.md Auto commit by GitBook Editor --- SUMMARY.md | 18 +++++++++++------- 1 file changed, 11 insertions(+), 7 deletions(-) diff --git a/SUMMARY.md b/SUMMARY.md index a7ab93d..d3f2e56 100644 --- a/SUMMARY.md +++ b/SUMMARY.md @@ -1,11 +1,15 @@ # Summary -[Introduction](README.md) - * [在开始之前的准备](before-your-start.md) - * [import an instrument and its historical data](import-an-instrument-and-its-historical-data.md) + +## 第一部分: OpenQuant入门 + +* [Introduction](README.md) +* [在开始之前的准备](before-your-start.md) +* [import an instrument and its historical data](import-an-instrument-and-its-historical-data.md) * [管理未来所有的代码...](manage-your-coding-by-svn.md) -[开始一个Hello World](hello-world.md) - * [OpenQuant策略代码的结构](structure-of-openquant-solution.md) - * [设计一个OpenQuant的HelloWorld！](design-an-openquant-helloworld.md) - * [开始编写OpenQuant的HelloWorld](code-an-openquant-helloworld.md) +--- + +* [OpenQuant策略代码的结构](structure-of-openquant-solution.md) +* [设计一个OpenQuant的HelloWorld！](design-an-openquant-helloworld.md) +* [开始编写OpenQuant的HelloWorld](code-an-openquant-helloworld.md) From 2904cc334addd08b9d634cf243169225579ca4d9 Mon Sep 17 00:00:00 2001 From: OmniStep Date: Sun, 13 Aug 2017 13:48:16 +0800 Subject: [PATCH 074/306] Updates SUMMARY.md Auto commit by GitBook Editor --- SUMMARY.md | 2 +- 1 file changed, 1 insertion(+), 1 deletion(-) diff --git a/SUMMARY.md b/SUMMARY.md index d3f2e56..a9e43b2 100644 --- a/SUMMARY.md +++ b/SUMMARY.md @@ -1,6 +1,6 @@ # Summary -## 第一部分: OpenQuant入门 +## 第一章 * [Introduction](README.md) * [在开始之前的准备](before-your-start.md) From ffae22f51848833e3fd2c79cfc1056d4c1258026 Mon Sep 17 00:00:00 2001 From: OmniStep Date: Sun, 13 Aug 2017 13:49:18 +0800 Subject: [PATCH 075/306] Updates SUMMARY.md Auto commit by GitBook Editor --- SUMMARY.md | 5 ----- 1 file changed, 5 deletions(-) diff --git a/SUMMARY.md b/SUMMARY.md index a9e43b2..0ca11dc 100644 --- a/SUMMARY.md +++ b/SUMMARY.md @@ -1,14 +1,9 @@ # Summary -## 第一章 - * [Introduction](README.md) * [在开始之前的准备](before-your-start.md) * [import an instrument and its historical data](import-an-instrument-and-its-historical-data.md) * [管理未来所有的代码...](manage-your-coding-by-svn.md) - ---- - * [OpenQuant策略代码的结构](structure-of-openquant-solution.md) * [设计一个OpenQuant的HelloWorld！](design-an-openquant-helloworld.md) * [开始编写OpenQuant的HelloWorld](code-an-openquant-helloworld.md) From 0291718b19c42f49d0ae9dee7a431cf945963181 Mon Sep 17 00:00:00 2001 From: OmniStep Date: Sun, 13 Aug 2017 13:59:30 +0800 Subject: [PATCH 076/306] Updates code-an-openquant-helloworld.md Auto commit by GitBook Editor --- code-an-openquant-helloworld.md | 6 ++---- 1 file changed, 2 insertions(+), 4 deletions(-) diff --git a/code-an-openquant-helloworld.md b/code-an-openquant-helloworld.md index 028ec66..fbc4e25 100644 --- a/code-an-openquant-helloworld.md +++ b/code-an-openquant-helloworld.md @@ -1,8 +1,8 @@ -# 编写一个OpenQuant的HelloWorld! +# 开始编写OpenQuant的HelloWorld! --- -# 用OpenQuant创建一个基础代码框架 +# 用OpenQuant创建一个基础代码框架 {#oqbasestrategyframework} ![](/icons/icon_labtubeBlue.ico)打开OpenQuant中的**File**菜单，**New**一个新的**solution**, 这里有一些解决方案类别选项，这个例子中，我们选择第一种“SmartQuant Instrument Strategy Solution”， 命名为_HelloWorld，_在OpenQuant的Solution Explorer窗口中，我们可以发现当前有两个工程，**Backtest**和**MyStratey**.这就是最基础的代码框架了，一个回测场景定义工程，一个策略主体工程。 @@ -158,8 +158,6 @@ namespace OpenQuant ![](/assets/OpenQuantHelloWorldRunning.png) - - # 开始编写实盘接入场景Realtime 1. ## 引入MyStrategy工程类 From c5c9fad3d88924f44974af0bb7db9619d725b280 Mon Sep 17 00:00:00 2001 From: OmniStep Date: Sun, 13 Aug 2017 14:13:25 +0800 Subject: [PATCH 077/306] Updates before-your-start.md Auto commit by GitBook Editor --- SUMMARY.md | 7 +++++++ before-your-start.md | 2 +- 2 files changed, 8 insertions(+), 1 deletion(-) diff --git a/SUMMARY.md b/SUMMARY.md index 0ca11dc..c33630e 100644 --- a/SUMMARY.md +++ b/SUMMARY.md @@ -2,9 +2,16 @@ * [Introduction](README.md) * [在开始之前的准备](before-your-start.md) + * [操作系统的选择](before-your-start.md#runingos) + * [下载OpenQuant及插件](before-your-start.md#) + * [安装OpenQuant及插件](before-your-start.md#) + * [配置插件接入市场](before-your-start.md#) + * [import an instrument and its historical data](import-an-instrument-and-its-historical-data.md) * [管理未来所有的代码...](manage-your-coding-by-svn.md) * [OpenQuant策略代码的结构](structure-of-openquant-solution.md) * [设计一个OpenQuant的HelloWorld！](design-an-openquant-helloworld.md) * [开始编写OpenQuant的HelloWorld](code-an-openquant-helloworld.md) + + diff --git a/before-your-start.md b/before-your-start.md index 0ca8c61..c6a493a 100644 --- a/before-your-start.md +++ b/before-your-start.md @@ -2,7 +2,7 @@ --- -* ### 基础**运行环境的选择** +* ### 基础操作系统**的选择** {#runningos} 目前的OpenQuant需要微软Windows运行环境，支持微软最新版本的OpenQuant支持Windows7，Windows8，Windows10及Windows Server 2008，Windows Server 2012等主流的Windows 64位操作系统。 From 544567cdd3a44dcba2fc3ed01dc99e7e35d718b1 Mon Sep 17 00:00:00 2001 From: OmniStep Date: Sun, 13 Aug 2017 14:15:22 +0800 Subject: [PATCH 078/306] Updates SUMMARY.md Auto commit by GitBook Editor --- SUMMARY.md | 2 +- before-your-start.md | 2 +- 2 files changed, 2 insertions(+), 2 deletions(-) diff --git a/SUMMARY.md b/SUMMARY.md index c33630e..b720e2c 100644 --- a/SUMMARY.md +++ b/SUMMARY.md @@ -4,7 +4,7 @@ * [在开始之前的准备](before-your-start.md) * [操作系统的选择](before-your-start.md#runingos) * [下载OpenQuant及插件](before-your-start.md#) - * [安装OpenQuant及插件](before-your-start.md#) + * [安装OpenQuant及插件](before-your-start.md#installoqandplugins) * [配置插件接入市场](before-your-start.md#) * [import an instrument and its historical data](import-an-instrument-and-its-historical-data.md) diff --git a/before-your-start.md b/before-your-start.md index c6a493a..5904ba4 100644 --- a/before-your-start.md +++ b/before-your-start.md @@ -26,7 +26,7 @@ [http://www.quantbox.cn/download](http://www.quantbox.cn/download) -## 安装OpenQuant软件及国内市场插件 +## 安装OpenQuant软件及国内市场插件 {#installoqandplugin} --- From 2944091a6d3528aa9f5cc65f96ceee4936909963 Mon Sep 17 00:00:00 2001 From: OmniStep Date: Sun, 13 Aug 2017 14:18:20 +0800 Subject: [PATCH 079/306] Updates SUMMARY.md Auto commit by GitBook Editor --- SUMMARY.md | 2 +- before-your-start.md | 2 +- 2 files changed, 2 insertions(+), 2 deletions(-) diff --git a/SUMMARY.md b/SUMMARY.md index b720e2c..c97c411 100644 --- a/SUMMARY.md +++ b/SUMMARY.md @@ -2,7 +2,7 @@ * [Introduction](README.md) * [在开始之前的准备](before-your-start.md) - * [操作系统的选择](before-your-start.md#runingos) + * [操作系统的选择](before-your-start.md#runningos) * [下载OpenQuant及插件](before-your-start.md#) * [安装OpenQuant及插件](before-your-start.md#installoqandplugins) * [配置插件接入市场](before-your-start.md#) diff --git a/before-your-start.md b/before-your-start.md index 5904ba4..5411889 100644 --- a/before-your-start.md +++ b/before-your-start.md @@ -26,7 +26,7 @@ [http://www.quantbox.cn/download](http://www.quantbox.cn/download) -## 安装OpenQuant软件及国内市场插件 {#installoqandplugin} +## 安装OpenQuant软件及国内市场插件 {#installoqandplugins} --- From f7df41dadc311883ebf5df9f7d509a2fb655fc3d Mon Sep 17 00:00:00 2001 From: OmniStep Date: Sun, 13 Aug 2017 14:24:40 +0800 Subject: [PATCH 080/306] Updates SUMMARY.md Auto commit by GitBook Editor --- SUMMARY.md | 4 ++-- before-your-start.md | 16 ++++++++++++---- 2 files changed, 14 insertions(+), 6 deletions(-) diff --git a/SUMMARY.md b/SUMMARY.md index c97c411..60b136d 100644 --- a/SUMMARY.md +++ b/SUMMARY.md @@ -3,9 +3,9 @@ * [Introduction](README.md) * [在开始之前的准备](before-your-start.md) * [操作系统的选择](before-your-start.md#runningos) - * [下载OpenQuant及插件](before-your-start.md#) + * [下载OpenQuant及插件](before-your-start.md#downloadoqandplugins) * [安装OpenQuant及插件](before-your-start.md#installoqandplugins) - * [配置插件接入市场](before-your-start.md#) + * [配置插件接入市场](before-your-start.md#installoqandplugins) * [import an instrument and its historical data](import-an-instrument-and-its-historical-data.md) * [管理未来所有的代码...](manage-your-coding-by-svn.md) diff --git a/before-your-start.md b/before-your-start.md index 5411889..c8655c8 100644 --- a/before-your-start.md +++ b/before-your-start.md @@ -2,7 +2,7 @@ --- -* ### 基础操作系统**的选择** {#runningos} +## 基础操作系统**的选择** 目前的OpenQuant需要微软Windows运行环境，支持微软最新版本的OpenQuant支持Windows7，Windows8，Windows10及Windows Server 2008，Windows Server 2012等主流的Windows 64位操作系统。 @@ -10,7 +10,7 @@ ![](/icons/icon_paw.png) 建议采用Windows Server 2012以上的面向服务器的操作系统软件。 -## 下载OpenQuant软件及插件 +## 下载OpenQuant软件及插件 {#downloadoqandplugins} --- @@ -34,7 +34,13 @@ ![](/icons/icon_bookbig.png)详见[http://www.smartquant.cn/book/installing.html](http://www.smartquant.cn/book/installing.html) -##### ![](/icons/icon_labtubeBlue.ico)**简要过程记录** + + +## 配置插件让OpenQuant接入市场 {#installoqandplugins} + +--- + +##### ![](/icons/icon_labtubeBlue.ico)**简要OpenQuant安装过程及配置插件记录** * [ ] 安装OpenQuant最新版本; @@ -54,5 +60,7 @@ ![](/assets/OQProvidersGreenLight.png) -![](/icons/icon_paw.png)下载并安装OpenQuant最新版本及国内市场插件。插件正确配置后可以正常连接至交易通道，可以导入当前期货合约代码，在市场开盘时段，打开OpenQuant中的QuoteMonitor界面，从Instruments窗口拖拽当前合约到QuoteMonitor界面中，可以看到该合约的当前市场报价。 + + +![](/icons/icon_paw.png)现在，我们已经下载并安装了OpenQuant最新版本及国内市场插件。插件正确配置后可以正常连接至交易通道，可以导入当前期货合约代码，在市场开盘时段，打开OpenQuant中的QuoteMonitor界面，从Instruments窗口拖拽当前合约到QuoteMonitor界面中，可以看到该合约的当前市场报价。 From d130413618a44f485fee95951067ebfd1804305e Mon Sep 17 00:00:00 2001 From: OmniStep Date: Sun, 13 Aug 2017 14:27:03 +0800 Subject: [PATCH 081/306] Updates SUMMARY.md Auto commit by GitBook Editor --- SUMMARY.md | 2 +- before-your-start.md | 2 +- 2 files changed, 2 insertions(+), 2 deletions(-) diff --git a/SUMMARY.md b/SUMMARY.md index 60b136d..2ed1b17 100644 --- a/SUMMARY.md +++ b/SUMMARY.md @@ -5,7 +5,7 @@ * [操作系统的选择](before-your-start.md#runningos) * [下载OpenQuant及插件](before-your-start.md#downloadoqandplugins) * [安装OpenQuant及插件](before-your-start.md#installoqandplugins) - * [配置插件接入市场](before-your-start.md#installoqandplugins) + * [配置插件接入市场](before-your-start.md#configplugins) * [import an instrument and its historical data](import-an-instrument-and-its-historical-data.md) * [管理未来所有的代码...](manage-your-coding-by-svn.md) diff --git a/before-your-start.md b/before-your-start.md index c8655c8..020998f 100644 --- a/before-your-start.md +++ b/before-your-start.md @@ -36,7 +36,7 @@ -## 配置插件让OpenQuant接入市场 {#installoqandplugins} +## 配置插件让OpenQuant接入市场 {#configplugins} --- From 5bdf4d2326e4474128fcedce0b6fce3ba1e116f0 Mon Sep 17 00:00:00 2001 From: OmniStep Date: Sun, 13 Aug 2017 14:29:27 +0800 Subject: [PATCH 082/306] Updates before-your-start.md Auto commit by GitBook Editor --- before-your-start.md | 2 +- 1 file changed, 1 insertion(+), 1 deletion(-) diff --git a/before-your-start.md b/before-your-start.md index 020998f..8826867 100644 --- a/before-your-start.md +++ b/before-your-start.md @@ -2,7 +2,7 @@ --- -## 基础操作系统**的选择** +## 基础操作系统的选择{#runningos} 目前的OpenQuant需要微软Windows运行环境，支持微软最新版本的OpenQuant支持Windows7，Windows8，Windows10及Windows Server 2008，Windows Server 2012等主流的Windows 64位操作系统。 From eaa1545c30a01e74128a80dc7eccc200bf71654d Mon Sep 17 00:00:00 2001 From: OmniStep Date: Sun, 13 Aug 2017 16:48:46 +0800 Subject: [PATCH 083/306] Updates before-your-start.md Auto commit by GitBook Editor --- before-your-start.md | 16 +++++++--------- 1 file changed, 7 insertions(+), 9 deletions(-) diff --git a/before-your-start.md b/before-your-start.md index 8826867..a764c3e 100644 --- a/before-your-start.md +++ b/before-your-start.md @@ -1,8 +1,10 @@ -# 计算机运行环境的选择与准备 +# 在开始之前的准备 --- -## 基础操作系统的选择{#runningos} +第一步我们要为可以长期稳定运行OpenQuant的准备一个专用环境，下载并安装好程序，配置好相应的参数，让OpenQuant可以接通中国市场。 + +## 1. 基础操作系统的选择 {#runningos} 目前的OpenQuant需要微软Windows运行环境，支持微软最新版本的OpenQuant支持Windows7，Windows8，Windows10及Windows Server 2008，Windows Server 2012等主流的Windows 64位操作系统。 @@ -10,7 +12,7 @@ ![](/icons/icon_paw.png) 建议采用Windows Server 2012以上的面向服务器的操作系统软件。 -## 下载OpenQuant软件及插件 {#downloadoqandplugins} +## 2. 下载OpenQuant软件及插件 {#downloadoqandplugins} --- @@ -26,7 +28,7 @@ [http://www.quantbox.cn/download](http://www.quantbox.cn/download) -## 安装OpenQuant软件及国内市场插件 {#installoqandplugins} +## 3. 安装OpenQuant软件及国内市场插件 {#installoqandplugins} --- @@ -34,9 +36,7 @@ ![](/icons/icon_bookbig.png)详见[http://www.smartquant.cn/book/installing.html](http://www.smartquant.cn/book/installing.html) - - -## 配置插件让OpenQuant接入市场 {#configplugins} +## 4. 配置插件让OpenQuant接入市场 {#configplugins} --- @@ -60,7 +60,5 @@ ![](/assets/OQProvidersGreenLight.png) - - ![](/icons/icon_paw.png)现在，我们已经下载并安装了OpenQuant最新版本及国内市场插件。插件正确配置后可以正常连接至交易通道，可以导入当前期货合约代码，在市场开盘时段，打开OpenQuant中的QuoteMonitor界面，从Instruments窗口拖拽当前合约到QuoteMonitor界面中，可以看到该合约的当前市场报价。 From 3d1fd1601df2407222e56a06f7956144629aeade Mon Sep 17 00:00:00 2001 From: OmniStep Date: Sun, 13 Aug 2017 17:33:45 +0800 Subject: [PATCH 084/306] Updates README.md Auto commit by GitBook Editor --- README.md | 8 ------- ...t-an-instrument-and-its-historical-data.md | 21 +++++++++++++++++++ 2 files changed, 21 insertions(+), 8 deletions(-) diff --git a/README.md b/README.md index 68d73f0..1fd38dd 100644 --- a/README.md +++ b/README.md @@ -4,14 +4,6 @@ My notebook for building an OpenQuant Trading System step by step. ver. 0066 --- - - - - - - - - * 图标说明 | 图标 | 代表含义 | diff --git a/import-an-instrument-and-its-historical-data.md b/import-an-instrument-and-its-historical-data.md index e69de29..b2bfa13 100644 --- a/import-an-instrument-and-its-historical-data.md +++ b/import-an-instrument-and-its-historical-data.md @@ -0,0 +1,21 @@ +# OpenQuant导入合约信息及历史数据 + +首先面临的工作是让OpenQuant导入国内市场可以交易的标的，暨导入合约信息，并且导入历史数据进行市场的研究和策略的开发。目前OpenQuant已经可以安装专用的历史数据插件。可以十分方便地导入合约信息及历史数据。 + +## 使用ThanfData插件{#using} + + + +## 导入合约信息{#importinstrument} + + + + +## 导入历史数据{#importdata} + + + + + + + From 7d97c6ca515974384f6d2ebd4f4044c77541b6e7 Mon Sep 17 00:00:00 2001 From: OmniStep Date: Sun, 13 Aug 2017 17:36:36 +0800 Subject: [PATCH 085/306] Updates SUMMARY.md Auto commit by GitBook Editor --- SUMMARY.md | 3 +++ 1 file changed, 3 insertions(+) diff --git a/SUMMARY.md b/SUMMARY.md index 2ed1b17..19082c1 100644 --- a/SUMMARY.md +++ b/SUMMARY.md @@ -8,6 +8,9 @@ * [配置插件接入市场](before-your-start.md#configplugins) * [import an instrument and its historical data](import-an-instrument-and-its-historical-data.md) + * [使用ThanfData插件](import-an-instrument-and-its-historical-data.md#using) + * [导入合约信息](import-an-instrument-and-its-historical-data.md#importinstrument) + * [导入历史数据](import-an-instrument-and-its-historical-data.md#importdata) * [管理未来所有的代码...](manage-your-coding-by-svn.md) * [OpenQuant策略代码的结构](structure-of-openquant-solution.md) * [设计一个OpenQuant的HelloWorld！](design-an-openquant-helloworld.md) From 9022aa728b62f66694c56fab3d53cbc018ce4a4e Mon Sep 17 00:00:00 2001 From: OmniStep Date: Sun, 13 Aug 2017 18:16:46 +0800 Subject: [PATCH 086/306] Updates structure-of-openquant-solution.md Auto commit by GitBook Editor --- structure-of-openquant-solution.md | 8 ++++---- 1 file changed, 4 insertions(+), 4 deletions(-) diff --git a/structure-of-openquant-solution.md b/structure-of-openquant-solution.md index c78a881..f2f1c11 100644 --- a/structure-of-openquant-solution.md +++ b/structure-of-openquant-solution.md @@ -17,7 +17,9 @@ 这样的结构如图所示： -![](/assets/SMACrossoverCodeMap.png)图：OpenQuant策略示例SMACrossover的代码结构 +![](/assets/SMACrossoverCodeMap.png) + +图：OpenQuant策略示例SMACrossover的代码结构 ## OpenQuant策略的驱动机制 @@ -33,7 +35,5 @@ OpenQuant的策略运行机制是构造出扑捉市场数据的处理逻辑后 } ``` - - -![](/icons/icon_paw.png)在对OpenQuant的代码结构和驱动机制有了大致的了解后，让我们来开始搞一个OpenQuant的HelloWorld系统吧... +![](/icons/icon_paw.png)在对OpenQuant的代码结构和驱动机制有了大致的了解后，让我们来开始搞一个OpenQuant的HelloWorld系统吧... 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z?NfKGOs#fbcW8XJbRpAl`q23&eI^};=!ZF*-Ya83F={5%lO8Y>uDDoZ?bmqvwbPpG zJo0=WF=ecxH!ftJ_2}r+FmH{+GUY^FS>5cX-akt6FPo*-MkQWwjm;%qfR6tBK-X$O z*4}K-^Jdcn+v3WQh#H>;rJcW?R{bvSRqh{fddNNsvPBb`D|L|v@Oj`Ocn<58?2bk% zd_q{rl@AO74Mu`#y1_MnR(C*PJV?uZN_qFn$w Date: Sun, 13 Aug 2017 18:25:28 +0800 Subject: [PATCH 089/306] Updates SUMMARY.md Auto commit by GitBook Editor --- SUMMARY.md | 5 +---- 1 file changed, 1 insertion(+), 4 deletions(-) diff --git a/SUMMARY.md b/SUMMARY.md index 19082c1..9d62df9 100644 --- a/SUMMARY.md +++ b/SUMMARY.md @@ -6,8 +6,7 @@ * [下载OpenQuant及插件](before-your-start.md#downloadoqandplugins) * [安装OpenQuant及插件](before-your-start.md#installoqandplugins) * [配置插件接入市场](before-your-start.md#configplugins) - -* [import an instrument and its historical data](import-an-instrument-and-its-historical-data.md) +* [使用OpenQuant导入合约及历史数据](import-an-instrument-and-its-historical-data.md) * [使用ThanfData插件](import-an-instrument-and-its-historical-data.md#using) * [导入合约信息](import-an-instrument-and-its-historical-data.md#importinstrument) * [导入历史数据](import-an-instrument-and-its-historical-data.md#importdata) @@ -16,5 +15,3 @@ * [设计一个OpenQuant的HelloWorld！](design-an-openquant-helloworld.md) * [开始编写OpenQuant的HelloWorld](code-an-openquant-helloworld.md) - - From b21dbef9b0dbd12eb50f708262b54abedfbb2937 Mon Sep 17 00:00:00 2001 From: OmniStep Date: Sun, 13 Aug 2017 23:35:40 +0800 Subject: [PATCH 090/306] Updates SUMMARY.md Auto commit by GitBook Editor --- SUMMARY.md | 8 +++++++- code-an-openquant-helloworld.md | 7 +++---- 2 files changed, 10 insertions(+), 5 deletions(-) diff --git a/SUMMARY.md b/SUMMARY.md index 9d62df9..9e9e44d 100644 --- a/SUMMARY.md +++ b/SUMMARY.md @@ -13,5 +13,11 @@ * [管理未来所有的代码...](manage-your-coding-by-svn.md) * [OpenQuant策略代码的结构](structure-of-openquant-solution.md) * [设计一个OpenQuant的HelloWorld！](design-an-openquant-helloworld.md) -* [开始编写OpenQuant的HelloWorld](code-an-openquant-helloworld.md) +* [开始编写OpenQuant的HelloWorld！](code-an-openquant-helloworld.md) + + + + + + diff --git a/code-an-openquant-helloworld.md b/code-an-openquant-helloworld.md index fbc4e25..e887a70 100644 --- a/code-an-openquant-helloworld.md +++ b/code-an-openquant-helloworld.md @@ -12,7 +12,7 @@ 现在我们按照设计，这个解决方案（Solution）中已经有了三个工程：一个回测场景，一个实盘场景，一个策略主体; 让我们来在这三个工程中加入代码。 -1. # 开始编写回测场景Backtest +# 开始编写回测场景Backtest ![](/icons/icon_labtubeBlue.ico)在回测场景工程（Backtest）中，将场景类的名字从MyScenario改为Backtest，以便能和Realtime场景类更为明确地加以区别。修改这个类名会涉及MyScenarios.cs，MySenario.Designer.cs，Program.cs 文件中所有该类定义及调用的代码。如果用微软的Vistual Studio工具将非常的自动化完成这类代码编写工作。 @@ -222,12 +222,11 @@ namespace OpenQuant ![](/icons/icon_labtubeOrg.ico)在OpenQuant的Solution Explorer中，将Realtime工程设置为启动工程（Set as StartUp Project），然后把OpenQuant切换为实盘模式（Live）后，运行HelloWorld解决方案，并观察输出： -![](/icons/icon_paw.png)现在我们已经有了一个HelloWorld解决方案，该方案已经让我们完成一个主体逻辑后，同时可以进行回测状态，和实盘状态的定义和切换。如果需要回测，我们就将Backtest工程设置为启动项，如果进行实盘接入，我们就将Realtime工程设置为启动项。 +![](/icons/icon_paw.png)现在我们已经有了一个HelloWorld解决方案，该方案已经让我们完成一个主体逻辑后，可以进行回测状态和实盘状态的定义和切换。如果需要回测，我们就将Backtest工程设置为启动项，如果进行实盘接入，我们就将Realtime工程设置为启动项。 + 完整的代码应该存在版本控制系统中进行管理。 上述完整HelloWorld代码可以从如下地址获得： ![](/icons/icon_book.png) [https://github.com/omnistep/OpenQuantHelloWorld](https://github.com/omnistep/OpenQuantHelloWorld) 获得。 -Coming soon... ... - From 4dfff8e86dd9353cc7da18f024cff41aba97cbe4 Mon Sep 17 00:00:00 2001 From: OmniStep Date: Sun, 13 Aug 2017 23:39:50 +0800 Subject: [PATCH 091/306] Updates SUMMARY.md Auto commit by GitBook Editor --- SUMMARY.md | 2 ++ 1 file changed, 2 insertions(+) diff --git a/SUMMARY.md b/SUMMARY.md index 9e9e44d..01769d3 100644 --- a/SUMMARY.md +++ b/SUMMARY.md @@ -21,3 +21,5 @@ + + From ae28cd4aea50a53fc08a355ccfa943d8e74cef52 Mon Sep 17 00:00:00 2001 From: OmniStep Date: Sun, 13 Aug 2017 23:40:22 +0800 Subject: [PATCH 092/306] Updates README.md Auto commit by GitBook Editor --- README.md | 2 +- 1 file changed, 1 insertion(+), 1 deletion(-) diff --git a/README.md b/README.md index 1fd38dd..7afedcb 100644 --- a/README.md +++ b/README.md @@ -1,6 +1,6 @@ # OpenQuantCoding -My notebook for building an OpenQuant Trading System step by step. ver. 0066 +My notebook for building an OpenQuant Trading System step by step. ver. 0090 --- From dbdb077b6ea6cafee1ec7e3c054b1171ab3baa8b Mon Sep 17 00:00:00 2001 From: OmniStep Date: Sun, 13 Aug 2017 23:44:22 +0800 Subject: [PATCH 093/306] Updates code-an-openquant-helloworld.md Auto commit by GitBook Editor --- code-an-openquant-helloworld.md | 14 +++++++------- 1 file changed, 7 insertions(+), 7 deletions(-) diff --git a/code-an-openquant-helloworld.md b/code-an-openquant-helloworld.md index e887a70..21b80c0 100644 --- a/code-an-openquant-helloworld.md +++ b/code-an-openquant-helloworld.md @@ -2,17 +2,17 @@ --- -# 用OpenQuant创建一个基础代码框架 {#oqbasestrategyframework} +## 用OpenQuant创建一个基础代码框架 ![](/icons/icon_labtubeBlue.ico)打开OpenQuant中的**File**菜单，**New**一个新的**solution**, 这里有一些解决方案类别选项，这个例子中，我们选择第一种“SmartQuant Instrument Strategy Solution”， 命名为_HelloWorld，_在OpenQuant的Solution Explorer窗口中，我们可以发现当前有两个工程，**Backtest**和**MyStratey**.这就是最基础的代码框架了，一个回测场景定义工程，一个策略主体工程。 -# 增加一个场景工程-Realtime +## 增加一个场景工程-Realtime ![](/icons/icon_labtubeBlue.ico)现在，我们按照设计，再增加一个实盘交易场景工程Realtime。在OpenQuant的Solution Explorer中找到刚刚建立的解决方案HelloWorld，在HelloWorld上鼠标右键，**Add**一个**New Project... ** 我们增加一个场景工程， 选择SmartQuant Scenario Project， 命名为 _**Realtime **_ 现在我们按照设计，这个解决方案（Solution）中已经有了三个工程：一个回测场景，一个实盘场景，一个策略主体; 让我们来在这三个工程中加入代码。 -# 开始编写回测场景Backtest +## 开始编写回测场景Backtest ![](/icons/icon_labtubeBlue.ico)在回测场景工程（Backtest）中，将场景类的名字从MyScenario改为Backtest，以便能和Realtime场景类更为明确地加以区别。修改这个类名会涉及MyScenarios.cs，MySenario.Designer.cs，Program.cs 文件中所有该类定义及调用的代码。如果用微软的Vistual Studio工具将非常的自动化完成这类代码编写工作。 @@ -113,7 +113,7 @@ namespace OpenQuant 我们从这个工程的入口程序中，我们可以看到，程序开始运行后，就从一个叫做Backtest的场景类初始化，并开始让场景运行。 -1. # 开始编写核心策略逻辑MyStrategy +1. ## 开始编写核心策略逻辑MyStrategy 我们在这个核心逻辑中，当行情数据产生了K线中新的Bar时，我们在信息输出窗口中向外输出期待已久的HelloWorld，同时显示合约名字和当前行情形成K的Bar的平均价格。 @@ -158,15 +158,15 @@ namespace OpenQuant ![](/assets/OpenQuantHelloWorldRunning.png) -# 开始编写实盘接入场景Realtime +## 开始编写实盘接入场景Realtime -1. ## 引入MyStrategy工程类 +1. ### 引入MyStrategy工程类 在接入实盘收行情时，我们会将解决方案中的Realtime作为启动工程，在这个工程中将实例化一个主逻辑MyStrategy类，为此，我们先要在Realtime工程中，引入MyStrategy工程类。正如OpenQuant生成的Backtest中已经引入了Mystrategy工程类一样。 ![](/icons/icon_labtubeBlue.ico)在OpenQuant的Solution Explorer中的Realtime工程的References中，鼠标右键Add，选择Solution后，选择添加MyStrategy工程。 -1. ## 编写实盘场景Realtime的代码 +1. ### 编写实盘场景Realtime的代码 接入实时到动态行情数据，我们要定义实盘接入场景，在Realtime工程中的**Scenario.cs**文件中，编写代码如下： From 326c5078bcbf2e42b3460696e84141bf560c2af5 Mon Sep 17 00:00:00 2001 From: OmniStep Date: Fri, 8 Sep 2017 15:58:17 +0800 Subject: [PATCH 094/306] Updates code-an-openquant-helloworld.md Auto commit by GitBook Editor --- code-an-openquant-helloworld.md | 1 + 1 file changed, 1 insertion(+) diff --git a/code-an-openquant-helloworld.md b/code-an-openquant-helloworld.md index 21b80c0..befd084 100644 --- a/code-an-openquant-helloworld.md +++ b/code-an-openquant-helloworld.md @@ -183,6 +183,7 @@ namespace OpenQuant { public partial class Realtime : Scenario { + //定义K线时间周期为barSize秒 private long barSize = 3; public Realtime(Framework framework) From 7de3630490004c541400e35cbf1fd4e39e3e5f02 Mon Sep 17 00:00:00 2001 From: OmniStep Date: Sat, 9 Sep 2017 20:06:22 +0800 Subject: [PATCH 095/306] Updates structure-of-openquant-solution.md Auto commit by GitBook Editor --- README.md | 8 ++++++++ SUMMARY.md | 33 ++++++++++++------------------ before-your-start.md | 10 ++++----- place-an-order.md | 0 structure-of-openquant-solution.md | 20 ++++++++++++++++-- 5 files changed, 44 insertions(+), 27 deletions(-) create mode 100644 place-an-order.md diff --git a/README.md b/README.md index 7afedcb..9d0a309 100644 --- a/README.md +++ b/README.md @@ -2,6 +2,14 @@ My notebook for building an OpenQuant Trading System step by step. ver. 0090 + + + + + + + + --- * 图标说明 diff --git a/SUMMARY.md b/SUMMARY.md index 01769d3..fbb2b1e 100644 --- a/SUMMARY.md +++ b/SUMMARY.md @@ -1,25 +1,18 @@ # Summary -* [Introduction](README.md) -* [在开始之前的准备](before-your-start.md) - * [操作系统的选择](before-your-start.md#runningos) - * [下载OpenQuant及插件](before-your-start.md#downloadoqandplugins) - * [安装OpenQuant及插件](before-your-start.md#installoqandplugins) - * [配置插件接入市场](before-your-start.md#configplugins) -* [使用OpenQuant导入合约及历史数据](import-an-instrument-and-its-historical-data.md) - * [使用ThanfData插件](import-an-instrument-and-its-historical-data.md#using) - * [导入合约信息](import-an-instrument-and-its-historical-data.md#importinstrument) - * [导入历史数据](import-an-instrument-and-its-historical-data.md#importdata) -* [管理未来所有的代码...](manage-your-coding-by-svn.md) -* [OpenQuant策略代码的结构](structure-of-openquant-solution.md) +* [序言Introduction](README.md) +* [1. 在开始之前的准备](before-your-start.md) + * [1.1 操作系统的选择](before-your-start.md#runningos) + * [1.2 下载OpenQuant及插件](before-your-start.md#downloadoqandplugins) + * [1.3 安装OpenQuant及插件](before-your-start.md#installoqandplugins) + * [1.4 配置插件接入市场](before-your-start.md#configplugins) + * [1.5 使用OpenQuant导入合约及历史数据](import-an-instrument-and-its-historical-data.md) + * [使用ThanfData插件](import-an-instrument-and-its-historical-data.md#using) + * [导入合约信息](import-an-instrument-and-its-historical-data.md#importinstrument) + * [导入历史数据](import-an-instrument-and-its-historical-data.md#importdata) +* [2. 管理未来所有的代码...](manage-your-coding-by-svn.md) +* [3. OpenQuant策略代码的结构](structure-of-openquant-solution.md) * [设计一个OpenQuant的HelloWorld！](design-an-openquant-helloworld.md) * [开始编写OpenQuant的HelloWorld！](code-an-openquant-helloworld.md) - - - - - - - - +* [发出交易指令](place-an-order.md) diff --git a/before-your-start.md b/before-your-start.md index a764c3e..8d26b12 100644 --- a/before-your-start.md +++ b/before-your-start.md @@ -1,10 +1,10 @@ -# 在开始之前的准备 +# 1. 在开始之前的准备 --- 第一步我们要为可以长期稳定运行OpenQuant的准备一个专用环境，下载并安装好程序，配置好相应的参数，让OpenQuant可以接通中国市场。 -## 1. 基础操作系统的选择 {#runningos} +## 1. 1 基础操作系统的选择 {#runningos} 目前的OpenQuant需要微软Windows运行环境，支持微软最新版本的OpenQuant支持Windows7，Windows8，Windows10及Windows Server 2008，Windows Server 2012等主流的Windows 64位操作系统。 @@ -12,7 +12,7 @@ ![](/icons/icon_paw.png) 建议采用Windows Server 2012以上的面向服务器的操作系统软件。 -## 2. 下载OpenQuant软件及插件 {#downloadoqandplugins} +## 1.2 下载OpenQuant软件及插件 {#downloadoqandplugins} --- @@ -28,7 +28,7 @@ [http://www.quantbox.cn/download](http://www.quantbox.cn/download) -## 3. 安装OpenQuant软件及国内市场插件 {#installoqandplugins} +## 1.3 安装OpenQuant软件及国内市场插件 {#installoqandplugins} --- @@ -36,7 +36,7 @@ ![](/icons/icon_bookbig.png)详见[http://www.smartquant.cn/book/installing.html](http://www.smartquant.cn/book/installing.html) -## 4. 配置插件让OpenQuant接入市场 {#configplugins} +## 1.4 配置插件让OpenQuant接入市场 {#configplugins} --- diff --git a/place-an-order.md b/place-an-order.md new file mode 100644 index 0000000..e69de29 diff --git a/structure-of-openquant-solution.md b/structure-of-openquant-solution.md index f2f1c11..0db4bcb 100644 --- a/structure-of-openquant-solution.md +++ b/structure-of-openquant-solution.md @@ -21,9 +21,9 @@ 图：OpenQuant策略示例SMACrossover的代码结构 -## OpenQuant策略的驱动机制 +## OpenQuant策略运行的事件驱动机制 -OpenQuant的策略运行机制是构造出扑捉市场数据的处理逻辑后，静静地等待各种事件发生，来驱动整体逻辑的运行。例如：当订阅的合约有最新报价变动时，或当行情的变动幅度超过定义时，当下单部分成交时，或发出的撤单指令成功时等等，当然有的时候也需要自己依据定时间隔去进行驱动。由于这种处理机制，可以让量化交易者精细地定义逻辑并清晰地执行。 +OpenQuant的策略运行机制主要是构造出扑捉市场数据的处理逻辑后，静静地等待各种事件发生，来驱动整体逻辑的运行。例如：当订阅的合约有最新报价变动时，或当行情的变动幅度超过定义时，当下单部分成交时，或发出的撤单指令成功时等等，当然有的时候也需要自己依据定时间隔去进行驱动。由于这种处理机制，可以让量化交易者精细地定义逻辑并清晰地执行。 下面就是一个成交事件处理的代码，你可以在SMACrossover策略解决方案中的MyStrategy工程的MyStrategy.cs代码中找到： @@ -35,5 +35,21 @@ OpenQuant的策略运行机制是构造出扑捉市场数据的处理逻辑后 } ``` +## OpenQuant常见的事件 + + + +## OpenQuant策略运行的时间驱动机制 + +往往很多原因，我们不能只是让策略在被动等待事件，有时候需要进行主动地进行运行某些逻辑，例如对系统及交易进行状态检查，所以我们还需要构造按照时间定时去运行的驱动机制。 + + + + + + + + + ![](/icons/icon_paw.png)在对OpenQuant的代码结构和驱动机制有了大致的了解后，让我们来开始搞一个OpenQuant的HelloWorld系统吧... From 8674a75ca71d233034a3c7e321ce2dac69519ee4 Mon Sep 17 00:00:00 2001 From: OmniStep Date: Sat, 9 Sep 2017 20:27:05 +0800 Subject: [PATCH 096/306] Updates SUMMARY.md Auto commit by GitBook Editor --- structure-of-openquant-solution.md | 237 ++++++++++++++++++++++++++++- 1 file changed, 235 insertions(+), 2 deletions(-) diff --git a/structure-of-openquant-solution.md b/structure-of-openquant-solution.md index 0db4bcb..0d5b0a3 100644 --- a/structure-of-openquant-solution.md +++ b/structure-of-openquant-solution.md @@ -37,19 +37,252 @@ OpenQuant的策略运行机制主要是构造出扑捉市场数据的处理逻 ## OpenQuant常见的事件 +OpenQuant中常见的事件有： +# 常用的策略事件 -## OpenQuant策略运行的时间驱动机制 +--- -往往很多原因，我们不能只是让策略在被动等待事件，有时候需要进行主动地进行运行某些逻辑，例如对系统及交易进行状态检查，所以我们还需要构造按照时间定时去运行的驱动机制。 +OnStrategyStart – 在策略启动时调用，在第一笔行情到达之前 + +OnStrategyStop – 在策略结束时调用，在最后一笔行情之后 + +OnBarOpen – 在Bar行情最前沿调用（如，在日线数据开盘时买入） + +OnBar – 在所有行情的后沿调用（如，在日线数据收盘时买入） + +OnPositionOpened – 当一个新的交易开仓确认后调用 + +OnPositionChanged – 当仓位增加或减少时调用 + +OnTrade – 当市场中有成交时调用 + +OnAsk – 当盘口ask有变化时调用 + +OnBid – 当盘口bid有变化时调用 + +OnOrderCancelled– 当撤单确认后调用 + +OnOrderFilled– 当报单全部成交后调用 + +OnOrderPartiallyFilled– 当报单部分成交后调用 + +OnFill – 当报单后有成交时调用OnStopExecuted + +OnReminder– 当到达指定时间时调用（定时器） + +OnStopExecuted– 当到达指定止损条件时调用 + +在策略代码编辑环境下输入override on...会有智能提示，可以看到更多事件处理函数 + +![](/assets/commonly_strategy_event01.png) + +### **OnStrategyStart** + +策略启动前OnStrategyStart方法被调用，整个策略运行期只会被调用一次。OnStrategyStart事件处理中可以创建新对象，并赋值给类中声明的变量。 + +例如为默认Bars创建SMA对象的例子 + +``` +using System; +using SmartQuant; +using SmartQuant.Indicators; +namespace OpenQuant +{ + public class MyStrategy : InstrumentStrategy + { + private SMA sma1; + private SMA sma2; + private int Length1 = 5; + private int Length2 = 10; + protected override void OnStrategyStart() + { + sma1 = new SMA(Bars, Length1); + sma2 = new SMA(Bars, Length2); + } + ｝ +｝ +``` + +### **OnBar** + +OnBar是在有新的完整bar到来后被触发的。每个行情包括过去一个时间段的OHLCV（开盘价、最高价、最低价、收盘价、成交量）数据。因此OnBar事件是在行情后延触发的。如果需要在行情到来前处理一些动作则需要使用OnBarOpen事件。 + +例如交易从9:00开始，5分钟bar。OnBar会在9:05、9:10...触发，如果用的是日线数据，那么不能在OnBar中报单，因为触发OnBar的时候已经收盘了。 + +``` +protected override void OnBar(Instrument instrument, Bar bar) +{ + //把最新的bar添加到Bars序列 + Bars.Add(bar); +} +``` + +### **OnPositionOpened** + +OnPositionOpened是在交易完成时有新的头寸建立时触发的。只有交易订单被执行后才会有新头寸生成。所有的持仓数据都是大于0的。当仓位减到0时（被平仓），头寸对象被销毁。剩下的只有开仓（包括尝试开仓）的交易记录以及平仓的交易记录。 + +这里是一个以新开仓位持仓数量、按照5个最小价格变动单位止盈下平仓单的例子。 + +``` +protected override void OnPositionOpened(SmartQuant.Position position) +{ + if(position.Side == PositionSide.Long) + {//持有多头仓位 + Order sellOrder = SellLimitOrder(position.Instrument,position.Qty,position.Price+position.Instrument.TickSize*5); + Send(sellOrder); + } + else + {//持有空头仓位 + Order buyOrder = BuyLimitOrder(position.Instrument,position.Qty,position.Price-position.Instrument.TickSize*5); + Send(buyOrder ); + } +} +``` + +### **OnPositionChanged** + +OnPositionChanged是在持仓发生变化时触发的。比如当有部分成交导致持仓变化时该事件会被触发。OnPositionChanged是一个需要必须跟踪部分成交后调整止损单数量的好地方。每当新的部分成交确认到来时，你可以添加未完成止损单的数量，这样，你的止损单会更准确的反映原始订单状态。 + +``` +protected override void OnPositionChanged(SmartQuant.Position position) +{ +} +``` + +### **OnTrade** +OnTrade是在市场中有成交就会触发。例如国内普通期货行情是1秒2个行情数据包，在每次接受到行情后，如果有成交数据就会触发OnTrade。 +``` +protected override void OnTrade(SmartQuant.Instrument instrument, SmartQuant.Trade trade) +{ + string symbol = instrument.Symbol;//成交的合约代码 + string time = trade.DateTime.ToString("yyyy-MM-dd HH:mm:ss.fff");//成交时间 + double price = trade.Price;//成交价格 + int size = trade.Size;//成交数量 +} +``` + +### **OnAsk** + +OnAsk是盘口ask数据发生变化就会触发。比较适用于对于需要监控盘口数据的策略。 + +``` +protected override void OnAsk(SmartQuant.Instrument instrument, SmartQuant.Ask ask) +{ + double askPrice = ask.Price;//盘口卖盘价格 + int askSize = ask.Size;//卖盘挂单量 +} +``` + +### **OnBid** + +OnBid是盘口bid数据发生变化就会触发。比较适用于对于需要监控盘口数据的策略。 + +``` +protected override void OnBid(SmartQuant.Instrument instrument, SmartQuant.Bid bid) +{ + double bidPrice = bid.Price;//盘口买盘价格 + int bidSize = bid.Size;//盘口买盘挂单量 +} +``` + +### **OnReminder** + +OnReminder定时器，在具体的一个时间点触发。需要先通过AddReminder函数添加定时器，到指定时间则触发OnReminder函数。例如日内交易策略，想在收盘前10分钟就不再允许开新的仓位，假设9点开盘15点收盘。 + +``` +bool allowOpenFlag = true;//是否允许开仓标志，true允许，false不允许 +DateTime myCloseTime;//尾盘禁止开仓的时间 +protected override void OnStrategyStart() +{ + System.Console.WriteLine("Hello OpenQuant"); + myCloseTime = new DateTime(DateTime.Now.Year,DateTime.Now.Month,DateTime.Now.Day,14,50,0); + AddReminder(myCloseTime, "my close time");//添加第一个尾盘定时器 + } +protected override void OnReminder(DateTime dateTime, object data) + { + //通过时间和data参数判断是否是尾盘定时器触发 + if (dateTime == myCloseTime && data.ToString() == "my close time") + { + allowOpenFlag = false;//设置开仓标志为false,不允许开仓 + myCloseTime = myCloseTime.AddDays(1);//尾盘禁止开仓时间加1天,变为下个交易日的尾盘禁止交易时间 + AddReminder(myCloseTime, "my close time");//添加下个交易日尾盘定时器 + } +} +protected override void OnBarOpen(Instrument instrument, Bar bar) + { + if (bar.OpenDateTime.Hour == 9 && allowOpenFlag == false) + { + allowOpenFlag = true;//开盘设置允许开仓标志为 true + } + } +``` + +### **OnStopExecuted** + +OnStopExecuted当达到设置的止损条件时调用，需要先通过AddStop函数设置止损条件。 + +使用AddStop函数，需要构造一个Stop止损对象做为参数传入，Stop止损条件对象又分两种触发模式，一是定时触发，二是根据行情触发。 +Stop\(Strategy strategy,Position position,DateTime time\) 在到达time时触发止损 +Stop\(Strategy strategy,Position position,double level,StopType type,StopMode mode\) 根据行情触发止损 +strategy：策略对象 +position：持仓对象 +time：具体时间，达到这个时间就调用OnStopExecuted +level：具体数值结合type、mode使用 + +Stoptype：止损方式，固定StopType.Fixed还是跟踪StopType.Trailing，Fixed就表示价格回撤固定的level点（百分比）就调用OnStopExecuted，Trailing就表示行情从AddStop之后的最高（低）点回落（回升）level点（百分比）就调用OnStopExecuted + +StopMode：level的取值方式（单位），StopMode.Absolute-level按照报价加减level计算止损点位，StopMode.Percent-level按照百分比计算止损点位。 + +Stop\(strategy,position,10,StopType.Fixed,StopMode.Absolute\)- 从当前价位回撤10点则调用OnStopExecuted + +Stop\(strategy,position,10,StopType.Trailing,StopMode.Absolute\)- 从之后最优价位回撤10点则调用OnStopExecuted + +Stop\(strategy,position,0.02,StopType.Fixed,StopMode.Percent\)- 从当前价位回撤2%则调用OnStopExecuted + +Stop\(strategy,position,0.02,StopType.Trailing,StopMode.Percent\)- 从之后最优价位回撤2%则调用OnStopExecuted + +下面是一个跟踪止损的示例 + +``` +protected override void OnPositionOpened(Position position) +{ + Stop s = new Stop(this, position, position.Instrument.TickSize * 10, StopType.Trailing, StopMode.Absolute); + AddStop(s);//从AddStop之后，价格从最优回落10跳则调用OnStopExecuted +} +protected override void OnStopExecuted(Stop stop) +{ + if (stop.Side == PositionSide.Long) + { + Order closeOrder = SellOrder(stop.Instrument, stop.Qty, "close long position"); + Send(closeOrder); + } + else + { + Order closeOrder = BuyOrder(stop.Instrument, stop.Qty, "close short position"); + Send(closeOrder); + } +} +``` + + + + + + + + +## OpenQuant策略运行的时间驱动机制 + +往往很多原因，我们不能只是让策略在被动等待事件，有时候需要进行主动地进行运行某些逻辑，例如对系统及交易进行状态检查，所以我们还需要构造按照时间定时去运行的驱动机制。 ![](/icons/icon_paw.png)在对OpenQuant的代码结构和驱动机制有了大致的了解后，让我们来开始搞一个OpenQuant的HelloWorld系统吧... From a668d817150502bf37db081a732c17ffa64cf669 Mon Sep 17 00:00:00 2001 From: OmniStep Date: Sat, 9 Sep 2017 20:36:21 +0800 Subject: [PATCH 097/306] Creates assets/commonly_strategy_event01.png Auto commit by GitBook Editor --- SUMMARY.md | 1 + assets/commonly_strategy_event01.png | Bin 0 -> 28809 bytes openquantce-lve-yun-xing-de-qu-dong-ji-zhi.md | 266 ++++++++++++++++++ structure-of-openquant-solution.md | 263 ----------------- 4 files changed, 267 insertions(+), 263 deletions(-) create mode 100644 assets/commonly_strategy_event01.png create mode 100644 openquantce-lve-yun-xing-de-qu-dong-ji-zhi.md diff --git a/SUMMARY.md b/SUMMARY.md index fbb2b1e..3596ece 100644 --- a/SUMMARY.md +++ b/SUMMARY.md @@ -12,6 +12,7 @@ * [导入历史数据](import-an-instrument-and-its-historical-data.md#importdata) * [2. 管理未来所有的代码...](manage-your-coding-by-svn.md) * [3. OpenQuant策略代码的结构](structure-of-openquant-solution.md) +* [OpenQuant策略运行的驱动机制](openquantce-lve-yun-xing-de-qu-dong-ji-zhi.md) * [设计一个OpenQuant的HelloWorld！](design-an-openquant-helloworld.md) * [开始编写OpenQuant的HelloWorld！](code-an-openquant-helloworld.md) * [发出交易指令](place-an-order.md) diff --git a/assets/commonly_strategy_event01.png b/assets/commonly_strategy_event01.png new file mode 100644 index 0000000000000000000000000000000000000000..629072f2a7349a35919cd60223b7a390628ff840 GIT binary patch literal 28809 zcmdqJbySpJ7%mD(cb77hloCTX1JYeeccUO6Al(X50t!gT08*kzh=fXwLrF`Qq;w8L z!@&6v@ORc(>zse?S$C~_*ZTh2^X>fhexLVw-gi&5j+QbJK0Q7f8XA$Rih>>*8pbRd z8u}tG22i5c+ctxS#)PJ-Aa~yveZ4-Y+|1E?)9+=V%}OZoD|=5Dx?awRuTfSJ>|6;q zsET9m=RR@2lbC$hu=XuD3_>2G{5e%?TvXXb`el~VYV}eD*JHL-m6h%=f{IY_Tup*PW2P5! zq9bTnw8q&j#rHuCQ$hCPiBz7MK1G~^>we<*=7S2rcd%kYabNs>{!lb6MepDUDs6M+ z6P9@vD|>+L{{6TsH?u$C*4uT~rEc0fQj>Y^mW^WDY8pd(4dq3h3>Bb2b*=d`-ev!CFnsMTRD3Zo`qlZF6ZlyCv|o> zA4SX%BkcBdA=Ui*)0SXg_ln#5^E;~Rgi@14-3ihM{U^Et0Z9s5drWATGz5NygSON`*fs z^^v^8KsL>^KBGj}r$TKk+LE?>FTSf)muGeNSpD%btMS>&x(q*`XxkI%n2m$U9b0&z zP$NloPv`~)MUd3`s2jRPM^p>q#V)#okJ)cii_--}VSiedx*ZWB ztFBu2b*7(qWQ!)9UhhpYjKiPun`VkK?Gb9Ez5c`g$ulWgU4|jtJX1R*Q918LX*J+V z=0uNX!?Y5~Z?W*au%vimkeDJ~M!;w7u!#aa&PkzTY|bb7wA3EEVhPbU4!&IaVRA9= z)xi_U{)5KTsIA5U#{Sk!t?I^&#-QKNN3tY+9^1q5gWn!ypS=k=i)}oNrO4C{M9vs$ zH!M=JdT_Co*&`%>nZGNYlTA8fb+dT5?@ahb*GlxE zBKvW!jA5?V-;UAAn8NA`pP>r{pVWk$XrJ$DpC2ZiA5MPrgdG1$=*w|`Ukl6na&Y1j z8*5^hq{OW4Df>0WK1ehwBZ8XQjj9EuxQnDuk_xfe$LGQmCc4~lU&7EDq(vI+c?03m zdnBi8kn??c?X!~r#*7obo9FH$=etoPr?V^ZMS>BrVk4z_l+o4Qpo74q78lUHW|wL# zYBUH@>mi+=Uqm$ZqODl-Oqbv6Zg3gJAu2JueWD@W%Fz*ha%bfLMr|uk9UXw37EkNn zRn5IsgBD8?J}U&-Od_AKXmgodyFQ;0tnM>6&zH*T*DPg@tCS&Uh=lWg$&lPbg1WWMF0_G~ z0eI-BEN#|QkJo1hh*}Zh)mkpAqD@D9uC1kwf-y>VBNL|2mJA&%#%d9T2_dJ`K`0u~ zRQc!Gu2wlWoHctCSoCWQ(KiZ(+!`YE@!W^ z#mPY9eIESfJL?9q848#7N5KjM_q1*6tgY-UB=&q{Amk+E{Le4j%mnFE6wc#@4Tr#{ zrIay2{Yw3!JkwsbHvteeZE>ut0fgcbCO2sZ@4PN3D9AqBEefVSPgOv=P1PM~y7>=i zivIos$9~v&P`~y3Y!)6BvQ`t^$$s251=*nW)DJ<8WTOnvJzEckOpK=L{gb5xc49Bh zlPm>Zj+|ecyhKsbAUF4DFdi#Qbnh4y&A`&8MF`JDUQvtsR9w>g_@b}Ed@uN zs`uZ6*wB^bua0w{0>;w~%-?u!weI1Ym{GNDBk4`Do&C-Io)7PJBVPC?r$tL$zv_kI zq(7RI!vG`tjrSP5PQ|!po6$gMIK5Fbz4=nYp#@Y>n(!NYXj$iKI2TKOZBA*z`3$(u ztQYS{$IvI!e!Fgy3FCGs_5v&85iW`I>5wIA$SQ!c=eGQH1G1R?n2(QAAQHP(=fVsT zx~DEXun3$Wqm(sH8Owi$KNPnabNeZsM7^e?cAi(lI~sp~fd|)y{{G9S%!=_uq zk%%A&)p?NeL+_h1?Bv-{Ve-8atE+wM#Ec%O+zCIJj(&dLf3kl%Km8l$22}5s+5u<5 zAQksDGWTg=oZZ!~Gk@Fads=9P*yGf@9%_y*W&@(HerUD$34LW|TAFg{hB?0>7<>%2DGEIN|tfp}_&ExFlsNuSMpqCA^~IX1hi?Ey?h zHXHM7zz2#;Ihcnj>&1CJ9Iy)p;0GX*{d--y6hK$~k%s-E&`A(D_RPV*+VZlPHW>b& zI2>3K{$ZsKo?UQQjDK=2^oHiOjbKSsy}($K(=3qvbVJb88i~)=)J7D&y|%Vb$5&te zn)eE5k>t@|V_LAuk<=8N49_h&%5R;l(vRciG8I%YvU5bS^pQ)o*}qsDs<{>4$)%sg z0xrY^g`6VfqljBt=1+8ELfDV`y_35vnnmv-gjf%9e%96rJC3}Pdjx%OoPT(P&@#V+kbw`NlH|6LDN^`SRxby~*klkv==jQpy@?Ejf6YGQI54RXK zG#N|@mb#IqMzDZQ`G#m~pC^8;Rd;o%w<@_?rP5glm2RgXy+~ivZK2*ikK__es%*;k zt89l_r+;0{#~{M4Bt(vKFa9Ada_|Q$Kopz;B0h&DXA23AU}$t~&gQ;|AFuaWY&m%q z&K(ngl45AKYYl*`{(So~y20wM(gAR$D3q-HAN~gRGwNN&UNGf%3>bA-1?uH++de8c-MC}wffVFPVU9g=GnNr6sSlv5QrYP;O`Udbnzae@u; zH`MC7Gh@MBEIwBI5>c@jCv*!JFV$nv6#!sCm@KdbKsNN`o0szzH^6>0XRU9>}s5Mch>I_Q>PsxuBc9qX{SF6^?t4MyKBq;1=K2GnX6?E^l&w!cH zrfR`)PP|43i|8wtE4;Fuj1^A@YrO7uk=Nt8Ou7hpT5RoJxAlz%oy_TG*rgBfOK;n> zs_a=Xy$Jm+_P4Yhgj$E1JPmvw=jWXVaCecXagO*9W8K90%g||q~i|cr<7#f zow(9_>a2S7I@&W?^luA}N+Q>dx|PSB))B_H3SheaHWB<_G5S&JdF6VJ{S)0vq|~iF zmWzsMsU3ui+ya29YJG#&fMf6B!C%UF1~8J9|6GId(9?Z4lgaPWKC=2%iqz-i46y~r z5~zj+lx+nmm2pfcq)}q4ppVN4lU@tWGFc?(mA3P$v zm8fEo<#&dj!aT-I(JtBOcgFmtXyt;IsLnuwmZGh`IqY%Dc}P%R@*iMfZiJ1Ejrpdp z*}VA=vsl1SFjjSyg7NSFLm63Y^gT{Goj>H)6=}tR0#*ptoxiN-!Voh>$jVO(#%kYQ zjYrWHsqog~f1jyN8u6&eBwC1|*V2;KvTsxNHvYjw93@06#ouq`(a*MT}E&122 zlZKIzJI#3~lg;%FUcoaHMjo5{><_HFIUdq67Rz)Stn!st0MgWs_ZI^nI+-Pe*K~Z) zq&td`zxHXG-s8TN@Lrug*=k;oU(;1mR6zbCT|!|^W0j7d2?U z?>!W71_rXC`7FA!WXM8u6>Li97SK=WL(}&k@PFY;a6E;m&`p!Lomk$Rc~?7wFnKd% znd`t?caPVYX!?EKl-!%~rRg@gH*flI`Vszww};;`lX0rdAleuqUdxGCAC-STk7S>J z@-dO&HSThe9L&zwV2;<`vnadhl)^Z1IqLHp-7eENS`}lwigY-o(ncm+#YvcLOBE_~ zta9f0A_eC4xAc5k8?) zwMQC(2fEwi4tjiJjIt3P;K=pVbZ@`%zVoAlmUkOlvEt&*jS7n}>nTzNT0+Se2~pfo zYXkYfEnOe|Vcu`8n1Svvq)mp(pOx50iOQJlnX=#gDFdkC`U%o^e}Nmboc{t{Pk@om z7!D>&FsJndh;$t@@W&h{WndgbMo9vKB0XF07QU2J*MM~>*LEWIX}Jdp*7qeH0M?EI z^tYjUdnZ=Zw)W+;6ic~f-4lfEaU@Ff;miwJ6|U$NFNa7^ZX_@qTls=x{d{}<(l?{( zy3y2Ub6d6(!-eW_vs#GG53r1XD|&t2*mBVLbt;#t=?J@@Ljh`S!~Vg|2JNKeUGp+A zdh&vZK(H|in

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design-an-openquant-helloworld.md | 4 ++++ openquantce-lve-yun-xing-de-qu-dong-ji-zhi.md | 8 ++------ 3 files changed, 7 insertions(+), 7 deletions(-) diff --git a/SUMMARY.md b/SUMMARY.md index 3596ece..53b5a65 100644 --- a/SUMMARY.md +++ b/SUMMARY.md @@ -12,7 +12,7 @@ * [导入历史数据](import-an-instrument-and-its-historical-data.md#importdata) * [2. 管理未来所有的代码...](manage-your-coding-by-svn.md) * [3. OpenQuant策略代码的结构](structure-of-openquant-solution.md) -* [OpenQuant策略运行的驱动机制](openquantce-lve-yun-xing-de-qu-dong-ji-zhi.md) +* [4. 策略运行的事件驱动和定时驱动机制](openquantce-lve-yun-xing-de-qu-dong-ji-zhi.md) * [设计一个OpenQuant的HelloWorld！](design-an-openquant-helloworld.md) * [开始编写OpenQuant的HelloWorld！](code-an-openquant-helloworld.md) * [发出交易指令](place-an-order.md) diff --git a/design-an-openquant-helloworld.md b/design-an-openquant-helloworld.md index a8e8fae..a400b8a 100644 --- a/design-an-openquant-helloworld.md +++ b/design-an-openquant-helloworld.md @@ -2,6 +2,10 @@ --- +在对OpenQuant的代码结构和驱动机制有了大致的了解后，让我们来开始搞一个OpenQuant的HelloWorld系统吧... + +在做任何开发工作前，都应该进行设计工作，即便是一个简单的功能。 + 是的，一个OpenQuant的HelloWorld需要设计一下，这个HelloWorld程序就是最基础的OpenQuant代码。虽然简单，但具备最核心的结构，未来可以扩展出我们需要的更多的解决方案。 这个HelloWorld程序要提供历史数据回测结构，要可以实盘连接到CTP交易柜台，可以订阅一个全市场最热的合约，当收到每一笔Tick行情时，在输出窗口写一句HelloWorld及所订阅合约的当前报价！ diff --git a/openquantce-lve-yun-xing-de-qu-dong-ji-zhi.md b/openquantce-lve-yun-xing-de-qu-dong-ji-zhi.md index 64c7e15..fd6c403 100644 --- a/openquantce-lve-yun-xing-de-qu-dong-ji-zhi.md +++ b/openquantce-lve-yun-xing-de-qu-dong-ji-zhi.md @@ -9,6 +9,8 @@ OpenQuant的策略运行机制主要是构造出扑捉市场数据的处理逻 { // Add fill to group. Log(fill, "Fills"); + + } ``` @@ -258,9 +260,3 @@ protected override void OnStopExecuted(Stop stop) - - - - -![](/icons/icon_paw.png)在对OpenQuant的代码结构和驱动机制有了大致的了解后，让我们来开始搞一个OpenQuant的HelloWorld系统吧... - From 404fe7586b338353d3767304296a90b9b6007dbd Mon Sep 17 00:00:00 2001 From: OmniStep Date: Sat, 9 Sep 2017 20:40:09 +0800 Subject: [PATCH 099/306] Updates SUMMARY.md Auto commit by GitBook Editor --- SUMMARY.md | 4 ++-- 1 file changed, 2 insertions(+), 2 deletions(-) diff --git a/SUMMARY.md b/SUMMARY.md index 53b5a65..0aa6f53 100644 --- a/SUMMARY.md +++ b/SUMMARY.md @@ -13,7 +13,7 @@ * [2. 管理未来所有的代码...](manage-your-coding-by-svn.md) * [3. OpenQuant策略代码的结构](structure-of-openquant-solution.md) * [4. 策略运行的事件驱动和定时驱动机制](openquantce-lve-yun-xing-de-qu-dong-ji-zhi.md) -* [设计一个OpenQuant的HelloWorld！](design-an-openquant-helloworld.md) -* [开始编写OpenQuant的HelloWorld！](code-an-openquant-helloworld.md) +* [5. 设计一个OpenQuant的HelloWorld！](design-an-openquant-helloworld.md) +* [6. 开始编写OpenQuant的HelloWorld！](code-an-openquant-helloworld.md) * [发出交易指令](place-an-order.md) From b1fd5beefddc0cb9884304f720a14657ed3d0547 Mon Sep 17 00:00:00 2001 From: OmniStep Date: Sat, 9 Sep 2017 21:38:05 +0800 Subject: [PATCH 100/306] Updates place-an-order.md Auto commit by GitBook Editor --- SUMMARY.md | 2 +- place-an-order.md | 24 ++++++++++++++++++++++++ 2 files changed, 25 insertions(+), 1 deletion(-) diff --git a/SUMMARY.md b/SUMMARY.md index 0aa6f53..b04ef33 100644 --- a/SUMMARY.md +++ b/SUMMARY.md @@ -15,5 +15,5 @@ * [4. 策略运行的事件驱动和定时驱动机制](openquantce-lve-yun-xing-de-qu-dong-ji-zhi.md) * [5. 设计一个OpenQuant的HelloWorld！](design-an-openquant-helloworld.md) * [6. 开始编写OpenQuant的HelloWorld！](code-an-openquant-helloworld.md) -* [发出交易指令](place-an-order.md) +* [7. 发出交易指令](place-an-order.md) diff --git a/place-an-order.md b/place-an-order.md index e69de29..c1ca8b3 100644 --- a/place-an-order.md +++ b/place-an-order.md @@ -0,0 +1,24 @@ +# 7. 发出交易指令 + +--- + +## 7.1建立一个发出交易指令的策略FlashOrder + +现在我们来构建一个新的交易策略代码。在这个策略中我们将实现： + +* [x] 发出期货交易中限价定单的交易指令：做多交易的买入开仓、卖出平仓；做空交易的卖出开仓、买入平仓。 +* [x] 在OpenQuant 行情数据图表中标识开仓记号，在OpenQuant图表中显示账户的权益曲线。 +* [x] 新增加一个日志功能，将所有的交易记录存入MySQL数据库。 + +我们把这个交易策略命名为FlashOrder + + + +7.2 FlashOrder的策略逻辑 + +这里的逻辑仅仅是为了使用让OpenQuant高速地发出开仓及平仓单，进行交易功能的验证。总体策略逻辑如下图所示： + + + + + From af995ac459a98665a82aed635ddb8b404683aa15 Mon Sep 17 00:00:00 2001 From: OmniStep Date: Sat, 9 Sep 2017 23:18:32 +0800 Subject: [PATCH 101/306] Updates place-an-order.md Auto commit by GitBook Editor --- place-an-order.md | 8 +------- 1 file changed, 1 insertion(+), 7 deletions(-) diff --git a/place-an-order.md b/place-an-order.md index c1ca8b3..0ab8b40 100644 --- a/place-an-order.md +++ b/place-an-order.md @@ -12,13 +12,7 @@ 我们把这个交易策略命名为FlashOrder - - -7.2 FlashOrder的策略逻辑 +## 7.2 FlashOrder的策略逻辑 这里的逻辑仅仅是为了使用让OpenQuant高速地发出开仓及平仓单，进行交易功能的验证。总体策略逻辑如下图所示： - - - - From 188c86c4c43c13454a6d29b98c02300497ad2054 Mon Sep 17 00:00:00 2001 From: OmniStep Date: Sun, 10 Sep 2017 07:52:15 +0800 Subject: [PATCH 102/306] Updates the-events-in-openquant.md Auto commit by GitBook Editor --- SUMMARY.md | 1 + openquantce-lve-yun-xing-de-qu-dong-ji-zhi.md | 240 ------------------ the-events-in-openquant.md | 238 +++++++++++++++++ 3 files changed, 239 insertions(+), 240 deletions(-) create mode 100644 the-events-in-openquant.md diff --git a/SUMMARY.md b/SUMMARY.md index b04ef33..71d692b 100644 --- a/SUMMARY.md +++ b/SUMMARY.md @@ -16,4 +16,5 @@ * [5. 设计一个OpenQuant的HelloWorld！](design-an-openquant-helloworld.md) * [6. 开始编写OpenQuant的HelloWorld！](code-an-openquant-helloworld.md) * [7. 发出交易指令](place-an-order.md) +* [附：OpenQuant中的事件类型](the-events-in-openquant.md) diff --git a/openquantce-lve-yun-xing-de-qu-dong-ji-zhi.md b/openquantce-lve-yun-xing-de-qu-dong-ji-zhi.md index fd6c403..455349a 100644 --- a/openquantce-lve-yun-xing-de-qu-dong-ji-zhi.md +++ b/openquantce-lve-yun-xing-de-qu-dong-ji-zhi.md @@ -14,249 +14,9 @@ OpenQuant的策略运行机制主要是构造出扑捉市场数据的处理逻 } ``` -## OpenQuant常见的事件 - -OpenQuant中常见的事件有： - -# 常用的策略事件 - ---- - -OnStrategyStart – 在策略启动时调用，在第一笔行情到达之前 - -OnStrategyStop – 在策略结束时调用，在最后一笔行情之后 - -OnBarOpen – 在Bar行情最前沿调用（如，在日线数据开盘时买入） - -OnBar – 在所有行情的后沿调用（如，在日线数据收盘时买入） - -OnPositionOpened – 当一个新的交易开仓确认后调用 - -OnPositionChanged – 当仓位增加或减少时调用 - -OnTrade – 当市场中有成交时调用 - -OnAsk – 当盘口ask有变化时调用 - -OnBid – 当盘口bid有变化时调用 - -OnOrderCancelled– 当撤单确认后调用 - -OnOrderFilled– 当报单全部成交后调用 - -OnOrderPartiallyFilled– 当报单部分成交后调用 - -OnFill – 当报单后有成交时调用OnStopExecuted - -OnReminder– 当到达指定时间时调用（定时器） - -OnStopExecuted– 当到达指定止损条件时调用 - -在策略代码编辑环境下输入override on...会有智能提示，可以看到更多事件处理函数 - -![](/assets/commonly_strategy_event01.png) - -### **OnStrategyStart** - -策略启动前OnStrategyStart方法被调用，整个策略运行期只会被调用一次。OnStrategyStart事件处理中可以创建新对象，并赋值给类中声明的变量。 - -例如为默认Bars创建SMA对象的例子 - -``` -using System; -using SmartQuant; -using SmartQuant.Indicators; -namespace OpenQuant -{ - public class MyStrategy : InstrumentStrategy - { - private SMA sma1; - private SMA sma2; - private int Length1 = 5; - private int Length2 = 10; - protected override void OnStrategyStart() - { - sma1 = new SMA(Bars, Length1); - sma2 = new SMA(Bars, Length2); - } - ｝ -｝ -``` - -### **OnBar** - -OnBar是在有新的完整bar到来后被触发的。每个行情包括过去一个时间段的OHLCV（开盘价、最高价、最低价、收盘价、成交量）数据。因此OnBar事件是在行情后延触发的。如果需要在行情到来前处理一些动作则需要使用OnBarOpen事件。 - -例如交易从9:00开始，5分钟bar。OnBar会在9:05、9:10...触发，如果用的是日线数据，那么不能在OnBar中报单，因为触发OnBar的时候已经收盘了。 - -``` -protected override void OnBar(Instrument instrument, Bar bar) -{ - //把最新的bar添加到Bars序列 - Bars.Add(bar); -} -``` - -### **OnPositionOpened** - -OnPositionOpened是在交易完成时有新的头寸建立时触发的。只有交易订单被执行后才会有新头寸生成。所有的持仓数据都是大于0的。当仓位减到0时（被平仓），头寸对象被销毁。剩下的只有开仓（包括尝试开仓）的交易记录以及平仓的交易记录。 - -这里是一个以新开仓位持仓数量、按照5个最小价格变动单位止盈下平仓单的例子。 - -``` -protected override void OnPositionOpened(SmartQuant.Position position) -{ - if(position.Side == PositionSide.Long) - {//持有多头仓位 - Order sellOrder = SellLimitOrder(position.Instrument,position.Qty,position.Price+position.Instrument.TickSize*5); - Send(sellOrder); - } - else - {//持有空头仓位 - Order buyOrder = BuyLimitOrder(position.Instrument,position.Qty,position.Price-position.Instrument.TickSize*5); - Send(buyOrder ); - } -} -``` - -### **OnPositionChanged** - -OnPositionChanged是在持仓发生变化时触发的。比如当有部分成交导致持仓变化时该事件会被触发。OnPositionChanged是一个需要必须跟踪部分成交后调整止损单数量的好地方。每当新的部分成交确认到来时，你可以添加未完成止损单的数量，这样，你的止损单会更准确的反映原始订单状态。 - -``` -protected override void OnPositionChanged(SmartQuant.Position position) -{ -} -``` - -### **OnTrade** - -OnTrade是在市场中有成交就会触发。例如国内普通期货行情是1秒2个行情数据包，在每次接受到行情后，如果有成交数据就会触发OnTrade。 - -``` -protected override void OnTrade(SmartQuant.Instrument instrument, SmartQuant.Trade trade) -{ - string symbol = instrument.Symbol;//成交的合约代码 - string time = trade.DateTime.ToString("yyyy-MM-dd HH:mm:ss.fff");//成交时间 - double price = trade.Price;//成交价格 - int size = trade.Size;//成交数量 -} -``` - -### **OnAsk** - -OnAsk是盘口ask数据发生变化就会触发。比较适用于对于需要监控盘口数据的策略。 - -``` -protected override void OnAsk(SmartQuant.Instrument instrument, SmartQuant.Ask ask) -{ - double askPrice = ask.Price;//盘口卖盘价格 - int askSize = ask.Size;//卖盘挂单量 -} -``` - -### **OnBid** - -OnBid是盘口bid数据发生变化就会触发。比较适用于对于需要监控盘口数据的策略。 - -``` -protected override void OnBid(SmartQuant.Instrument instrument, SmartQuant.Bid bid) -{ - double bidPrice = bid.Price;//盘口买盘价格 - int bidSize = bid.Size;//盘口买盘挂单量 -} -``` - -### **OnReminder** - -OnReminder定时器，在具体的一个时间点触发。需要先通过AddReminder函数添加定时器，到指定时间则触发OnReminder函数。例如日内交易策略，想在收盘前10分钟就不再允许开新的仓位，假设9点开盘15点收盘。 - -``` -bool allowOpenFlag = true;//是否允许开仓标志，true允许，false不允许 -DateTime myCloseTime;//尾盘禁止开仓的时间 -protected override void OnStrategyStart() -{ - System.Console.WriteLine("Hello OpenQuant"); - myCloseTime = new DateTime(DateTime.Now.Year,DateTime.Now.Month,DateTime.Now.Day,14,50,0); - AddReminder(myCloseTime, "my close time");//添加第一个尾盘定时器 - } -protected override void OnReminder(DateTime dateTime, object data) - { - //通过时间和data参数判断是否是尾盘定时器触发 - if (dateTime == myCloseTime && data.ToString() == "my close time") - { - allowOpenFlag = false;//设置开仓标志为false,不允许开仓 - myCloseTime = myCloseTime.AddDays(1);//尾盘禁止开仓时间加1天,变为下个交易日的尾盘禁止交易时间 - AddReminder(myCloseTime, "my close time");//添加下个交易日尾盘定时器 - } -} -protected override void OnBarOpen(Instrument instrument, Bar bar) - { - if (bar.OpenDateTime.Hour == 9 && allowOpenFlag == false) - { - allowOpenFlag = true;//开盘设置允许开仓标志为 true - } - } -``` - -### **OnStopExecuted** - -OnStopExecuted当达到设置的止损条件时调用，需要先通过AddStop函数设置止损条件。 - -使用AddStop函数，需要构造一个Stop止损对象做为参数传入，Stop止损条件对象又分两种触发模式，一是定时触发，二是根据行情触发。 - -Stop\(Strategy strategy,Position position,DateTime time\) 在到达time时触发止损 - -Stop\(Strategy strategy,Position position,double level,StopType type,StopMode mode\) 根据行情触发止损 - -strategy：策略对象 - -position：持仓对象 - -time：具体时间，达到这个时间就调用OnStopExecuted - -level：具体数值结合type、mode使用 - -Stoptype：止损方式，固定StopType.Fixed还是跟踪StopType.Trailing，Fixed就表示价格回撤固定的level点（百分比）就调用OnStopExecuted，Trailing就表示行情从AddStop之后的最高（低）点回落（回升）level点（百分比）就调用OnStopExecuted - -StopMode：level的取值方式（单位），StopMode.Absolute-level按照报价加减level计算止损点位，StopMode.Percent-level按照百分比计算止损点位。 - -Stop\(strategy,position,10,StopType.Fixed,StopMode.Absolute\)- 从当前价位回撤10点则调用OnStopExecuted - -Stop\(strategy,position,10,StopType.Trailing,StopMode.Absolute\)- 从之后最优价位回撤10点则调用OnStopExecuted - -Stop\(strategy,position,0.02,StopType.Fixed,StopMode.Percent\)- 从当前价位回撤2%则调用OnStopExecuted - -Stop\(strategy,position,0.02,StopType.Trailing,StopMode.Percent\)- 从之后最优价位回撤2%则调用OnStopExecuted - -下面是一个跟踪止损的示例 - -``` -protected override void OnPositionOpened(Position position) -{ - Stop s = new Stop(this, position, position.Instrument.TickSize * 10, StopType.Trailing, StopMode.Absolute); - AddStop(s);//从AddStop之后，价格从最优回落10跳则调用OnStopExecuted -} -protected override void OnStopExecuted(Stop stop) -{ - if (stop.Side == PositionSide.Long) - { - Order closeOrder = SellOrder(stop.Instrument, stop.Qty, "close long position"); - Send(closeOrder); - } - else - { - Order closeOrder = BuyOrder(stop.Instrument, stop.Qty, "close short position"); - Send(closeOrder); - } -} -``` - ## OpenQuant策略运行的时间驱动机制 往往很多原因，我们不能只是让策略在被动等待事件，有时候需要进行主动地进行运行某些逻辑，例如对系统及交易进行状态检查，所以我们还需要构造按照时间定时去运行的驱动机制。 使用上述的Reminder事件构造一个循环的定时器即可完成这个功能： - - diff --git a/the-events-in-openquant.md b/the-events-in-openquant.md new file mode 100644 index 0000000..bde667c --- /dev/null +++ b/the-events-in-openquant.md @@ -0,0 +1,238 @@ +## OpenQuant中常见的事件类型 + +--- + +在OpenQuant接入金融交易市场收到订阅合约的行情数据及策略运行时常见的事件有： + +**OnStrategyStart **– 在策略启动时调用，在第一笔行情到达之前 + +**OnStrategyStop **– 在策略结束时调用，在最后一笔行情之后 + +**OnBarOpen **– 在Bar行情最前沿调用（如，在日线数据开盘时买入） + +**OnBar **– 在所有行情的后沿调用（如，在日线数据收盘时买入） + +**OnPositionOpened **– 当一个新的交易开仓确认后调用 + +**OnPositionChanged **– 当仓位增加或减少时调用 + +**OnTrade **– 当市场中有成交时调用 + +**OnAsk **– 当盘口ask有变化时调用 + +**OnBid **– 当盘口bid有变化时调用 + +**OnOrderCancelled**– 当撤单确认后调用 + +**OnOrderFilled**– 当报单全部成交后调用 + +**OnOrderPartiallyFilled**– 当报单部分成交后调用 + +**OnFill **– 当报单后有成交时调用OnStopExecuted + +**OnReminder**– 当到达指定时间时调用（定时器） + +**OnStopExecuted**– 当到达指定止损条件时调用 + +在策略代码编辑环境下输入override on...会有智能提示，可以看到更多事件处理函数 + +![](/assets/commonly_strategy_event01.png) + +### **OnStrategyStart** + +策略启动前OnStrategyStart方法被调用，整个策略运行期只会被调用一次。OnStrategyStart事件处理中可以创建新对象，并赋值给类中声明的变量。 + +例如为默认Bars创建SMA对象的例子 + +``` +using System; +using SmartQuant; +using SmartQuant.Indicators; +namespace OpenQuant +{ + public class MyStrategy : InstrumentStrategy + { + private SMA sma1; + private SMA sma2; + private int Length1 = 5; + private int Length2 = 10; + protected override void OnStrategyStart() + { + sma1 = new SMA(Bars, Length1); + sma2 = new SMA(Bars, Length2); + } + ｝ +｝ +``` + +### **OnBar** + +OnBar是在有新的完整bar到来后被触发的。每个行情包括过去一个时间段的OHLCV（开盘价、最高价、最低价、收盘价、成交量）数据。因此OnBar事件是在行情后延触发的。如果需要在行情到来前处理一些动作则需要使用OnBarOpen事件。 + +例如交易从9:00开始，5分钟bar。OnBar会在9:05、9:10...触发，如果用的是日线数据，那么不能在OnBar中报单，因为触发OnBar的时候已经收盘了。 + +``` +protected override void OnBar(Instrument instrument, Bar bar) +{ + //把最新的bar添加到Bars序列 + Bars.Add(bar); +} +``` + +### **OnPositionOpened** + +OnPositionOpened是在交易完成时有新的头寸建立时触发的。只有交易订单被执行后才会有新头寸生成。所有的持仓数据都是大于0的。当仓位减到0时（被平仓），头寸对象被销毁。剩下的只有开仓（包括尝试开仓）的交易记录以及平仓的交易记录。 + +这里是一个以新开仓位持仓数量、按照5个最小价格变动单位止盈下平仓单的例子。 + +``` +protected override void OnPositionOpened(SmartQuant.Position position) +{ + if(position.Side == PositionSide.Long) + {//持有多头仓位 + Order sellOrder = SellLimitOrder(position.Instrument,position.Qty,position.Price+position.Instrument.TickSize*5); + Send(sellOrder); + } + else + {//持有空头仓位 + Order buyOrder = BuyLimitOrder(position.Instrument,position.Qty,position.Price-position.Instrument.TickSize*5); + Send(buyOrder ); + } +} +``` + +### **OnPositionChanged** + +OnPositionChanged是在持仓发生变化时触发的。比如当有部分成交导致持仓变化时该事件会被触发。OnPositionChanged是一个需要必须跟踪部分成交后调整止损单数量的好地方。每当新的部分成交确认到来时，你可以添加未完成止损单的数量，这样，你的止损单会更准确的反映原始订单状态。 + +``` +protected override void OnPositionChanged(SmartQuant.Position position) +{ +} +``` + +### **OnTrade** + +OnTrade是在市场中有成交就会触发。例如国内普通期货行情是1秒2个行情数据包，在每次接受到行情后，如果有成交数据就会触发OnTrade。 + +``` +protected override void OnTrade(SmartQuant.Instrument instrument, SmartQuant.Trade trade) +{ + string symbol = instrument.Symbol;//成交的合约代码 + string time = trade.DateTime.ToString("yyyy-MM-dd HH:mm:ss.fff");//成交时间 + double price = trade.Price;//成交价格 + int size = trade.Size;//成交数量 +} +``` + +### **OnAsk** + +OnAsk是盘口ask数据发生变化就会触发。比较适用于对于需要监控盘口数据的策略。 + +``` +protected override void OnAsk(SmartQuant.Instrument instrument, SmartQuant.Ask ask) +{ + double askPrice = ask.Price;//盘口卖盘价格 + int askSize = ask.Size;//卖盘挂单量 +} +``` + +### **OnBid** + +OnBid是盘口bid数据发生变化就会触发。比较适用于对于需要监控盘口数据的策略。 + +``` +protected override void OnBid(SmartQuant.Instrument instrument, SmartQuant.Bid bid) +{ + double bidPrice = bid.Price;//盘口买盘价格 + int bidSize = bid.Size;//盘口买盘挂单量 +} +``` + +### **OnReminder** + +OnReminder定时器，在具体的一个时间点触发。需要先通过AddReminder函数添加定时器，到指定时间则触发OnReminder函数。例如日内交易策略，想在收盘前10分钟就不再允许开新的仓位，假设9点开盘15点收盘。 + +``` +bool allowOpenFlag = true;//是否允许开仓标志，true允许，false不允许 +DateTime myCloseTime;//尾盘禁止开仓的时间 +protected override void OnStrategyStart() +{ + System.Console.WriteLine("Hello OpenQuant"); + myCloseTime = new DateTime(DateTime.Now.Year,DateTime.Now.Month,DateTime.Now.Day,14,50,0); + AddReminder(myCloseTime, "my close time");//添加第一个尾盘定时器 + } +protected override void OnReminder(DateTime dateTime, object data) + { + //通过时间和data参数判断是否是尾盘定时器触发 + if (dateTime == myCloseTime && data.ToString() == "my close time") + { + allowOpenFlag = false;//设置开仓标志为false,不允许开仓 + myCloseTime = myCloseTime.AddDays(1);//尾盘禁止开仓时间加1天,变为下个交易日的尾盘禁止交易时间 + AddReminder(myCloseTime, "my close time");//添加下个交易日尾盘定时器 + } +} +protected override void OnBarOpen(Instrument instrument, Bar bar) + { + if (bar.OpenDateTime.Hour == 9 && allowOpenFlag == false) + { + allowOpenFlag = true;//开盘设置允许开仓标志为 true + } + } +``` + +### **OnStopExecuted** + +OnStopExecuted当达到设置的止损条件时调用，需要先通过AddStop函数设置止损条件。 + +使用AddStop函数，需要构造一个Stop止损对象做为参数传入，Stop止损条件对象又分两种触发模式，一是定时触发，二是根据行情触发。 + +Stop\(Strategy strategy,Position position,DateTime time\) 在到达time时触发止损 + +Stop\(Strategy strategy,Position position,double level,StopType type,StopMode mode\) 根据行情触发止损 + +strategy：策略对象 + +position：持仓对象 + +time：具体时间，达到这个时间就调用OnStopExecuted + +level：具体数值结合type、mode使用 + +Stoptype：止损方式，固定StopType.Fixed还是跟踪StopType.Trailing，Fixed就表示价格回撤固定的level点（百分比）就调用OnStopExecuted，Trailing就表示行情从AddStop之后的最高（低）点回落（回升）level点（百分比）就调用OnStopExecuted + +StopMode：level的取值方式（单位），StopMode.Absolute-level按照报价加减level计算止损点位，StopMode.Percent-level按照百分比计算止损点位。 + +Stop\(strategy,position,10,StopType.Fixed,StopMode.Absolute\)- 从当前价位回撤10点则调用OnStopExecuted + +Stop\(strategy,position,10,StopType.Trailing,StopMode.Absolute\)- 从之后最优价位回撤10点则调用OnStopExecuted + +Stop\(strategy,position,0.02,StopType.Fixed,StopMode.Percent\)- 从当前价位回撤2%则调用OnStopExecuted + +Stop\(strategy,position,0.02,StopType.Trailing,StopMode.Percent\)- 从之后最优价位回撤2%则调用OnStopExecuted + +下面是一个跟踪止损的示例 + +``` +protected override void OnPositionOpened(Position position) +{ + Stop s = new Stop(this, position, position.Instrument.TickSize * 10, StopType.Trailing, StopMode.Absolute); + AddStop(s);//从AddStop之后，价格从最优回落10跳则调用OnStopExecuted +} +protected override void OnStopExecuted(Stop stop) +{ + if (stop.Side == PositionSide.Long) + { + Order closeOrder = SellOrder(stop.Instrument, stop.Qty, "close long position"); + Send(closeOrder); + } + else + { + Order closeOrder = BuyOrder(stop.Instrument, stop.Qty, "close short position"); + Send(closeOrder); + } +} +``` + + + From 8511809b3b92236220160c8b6783b9b7ee68cde9 Mon Sep 17 00:00:00 2001 From: OmniStep Date: Sun, 10 Sep 2017 09:12:45 +0800 Subject: [PATCH 103/306] Updates openquantce-lve-yun-xing-de-qu-dong-ji-zhi.md Auto commit by GitBook Editor --- openquantce-lve-yun-xing-de-qu-dong-ji-zhi.md | 17 ++++++++++++++--- 1 file changed, 14 insertions(+), 3 deletions(-) diff --git a/openquantce-lve-yun-xing-de-qu-dong-ji-zhi.md b/openquantce-lve-yun-xing-de-qu-dong-ji-zhi.md index 455349a..ed6ac25 100644 --- a/openquantce-lve-yun-xing-de-qu-dong-ji-zhi.md +++ b/openquantce-lve-yun-xing-de-qu-dong-ji-zhi.md @@ -7,8 +7,7 @@ OpenQuant的策略运行机制主要是构造出扑捉市场数据的处理逻 ``` protected override void OnFill(Fill fill) { - // Add fill to group. - Log(fill, "Fills"); + fill.Instrument.Exchange } @@ -16,7 +15,19 @@ OpenQuant的策略运行机制主要是构造出扑捉市场数据的处理逻 ## OpenQuant策略运行的时间驱动机制 -往往很多原因，我们不能只是让策略在被动等待事件，有时候需要进行主动地进行运行某些逻辑，例如对系统及交易进行状态检查，所以我们还需要构造按照时间定时去运行的驱动机制。 +往往很多原因，我们不能只是让策略在被动等待事件，有时候需要进行主动地进行运行某些逻辑，例如，我们需要定时对系统状态及交易进行状态检查，所以我们还需要构造按照时间定时去运行的驱动机制。 使用上述的Reminder事件构造一个循环的定时器即可完成这个功能： +``` +protected override void OnReminder(DateTime dateTime, object data) +{ + CheckMyBoxStatus(); + CheckMyAccountInfo(); + + AddReminder(Clock.DateTime.AddSeconds(3)); +} +``` + + + From f8aef6383bc5c351d68c4a0ebcc487a1e24868c4 Mon Sep 17 00:00:00 2001 From: OmniStep Date: Sun, 10 Sep 2017 09:27:53 +0800 Subject: [PATCH 104/306] Updates openquantce-lve-yun-xing-de-qu-dong-ji-zhi.md Auto commit by GitBook Editor --- openquantce-lve-yun-xing-de-qu-dong-ji-zhi.md | 30 +++++++++++++------ 1 file changed, 21 insertions(+), 9 deletions(-) diff --git a/openquantce-lve-yun-xing-de-qu-dong-ji-zhi.md b/openquantce-lve-yun-xing-de-qu-dong-ji-zhi.md index ed6ac25..ee17c2b 100644 --- a/openquantce-lve-yun-xing-de-qu-dong-ji-zhi.md +++ b/openquantce-lve-yun-xing-de-qu-dong-ji-zhi.md @@ -5,12 +5,24 @@ OpenQuant的策略运行机制主要是构造出扑捉市场数据的处理逻 下面就是一个成交事件处理的代码，你可以在SMACrossover策略解决方案中的MyStrategy工程的MyStrategy.cs代码中找到： ``` - protected override void OnFill(Fill fill) - { - fill.Instrument.Exchange - +protected override void OnFill(SmartQuant.Fill fill) +{ + // 在画布上绘制成交记录 + Log(fill, "Fills"); + + + // 在Output窗口中输出fill对象的当前数据... + System.Console.WriteLine("fill.DateTime=" + fill.DateTime.ToString()); + System.Console.WriteLine("fill.CashFlow=" + fill.CashFlow.ToString()); + System.Console.WriteLine("fill.Commission=" + fill.Commission.ToString()); + + System.Console.WriteLine("fill.Instrument.Symbol=" + fill.Instrument.Symbol.ToString()); + System.Console.WriteLine("fill.Instrument.Description=" + fill.Instrument.Description.ToString()); + System.Console.WriteLine("fill.Instrument.Trade=" + fill.Instrument.Trade.ToString()); + + System.Console.WriteLine("fill.Text=" + fill.Text.ToString()); - } +} ``` ## OpenQuant策略运行的时间驱动机制 @@ -22,10 +34,10 @@ OpenQuant的策略运行机制主要是构造出扑捉市场数据的处理逻 ``` protected override void OnReminder(DateTime dateTime, object data) { - CheckMyBoxStatus(); - CheckMyAccountInfo(); - - AddReminder(Clock.DateTime.AddSeconds(3)); + CheckMyBoxStatus(); + CheckMyAccountInfo(); + + AddReminder(Clock.DateTime.AddSeconds(3)); } ``` From ed7996ec8b9abcc0249673b72aad41990d268c48 Mon Sep 17 00:00:00 2001 From: OmniStep Date: Sun, 10 Sep 2017 09:32:01 +0800 Subject: [PATCH 105/306] Updates openquantce-lve-yun-xing-de-qu-dong-ji-zhi.md Auto commit by GitBook Editor --- openquantce-lve-yun-xing-de-qu-dong-ji-zhi.md | 32 +++++++++++-------- 1 file changed, 18 insertions(+), 14 deletions(-) diff --git a/openquantce-lve-yun-xing-de-qu-dong-ji-zhi.md b/openquantce-lve-yun-xing-de-qu-dong-ji-zhi.md index ee17c2b..924358d 100644 --- a/openquantce-lve-yun-xing-de-qu-dong-ji-zhi.md +++ b/openquantce-lve-yun-xing-de-qu-dong-ji-zhi.md @@ -7,20 +7,20 @@ OpenQuant的策略运行机制主要是构造出扑捉市场数据的处理逻 ``` protected override void OnFill(SmartQuant.Fill fill) { - // 在画布上绘制成交记录 - Log(fill, "Fills"); - - - // 在Output窗口中输出fill对象的当前数据... - System.Console.WriteLine("fill.DateTime=" + fill.DateTime.ToString()); - System.Console.WriteLine("fill.CashFlow=" + fill.CashFlow.ToString()); - System.Console.WriteLine("fill.Commission=" + fill.Commission.ToString()); - - System.Console.WriteLine("fill.Instrument.Symbol=" + fill.Instrument.Symbol.ToString()); - System.Console.WriteLine("fill.Instrument.Description=" + fill.Instrument.Description.ToString()); - System.Console.WriteLine("fill.Instrument.Trade=" + fill.Instrument.Trade.ToString()); - - System.Console.WriteLine("fill.Text=" + fill.Text.ToString()); + // 在画布上绘制成交记录 + Log(fill, "Fills"); + + + // 在Output窗口中输出fill对象的当前数据... + System.Console.WriteLine("fill.DateTime=" + fill.DateTime.ToString()); + System.Console.WriteLine("fill.CashFlow=" + fill.CashFlow.ToString()); + System.Console.WriteLine("fill.Commission=" + fill.Commission.ToString()); + + System.Console.WriteLine("fill.Instrument.Symbol=" + fill.Instrument.Symbol.ToString()); + System.Console.WriteLine("fill.Instrument.Description=" + fill.Instrument.Description.ToString()); + System.Console.WriteLine("fill.Instrument.Trade=" + fill.Instrument.Trade.ToString()); + + System.Console.WriteLine("fill.Text=" + fill.Text.ToString()); } ``` @@ -41,5 +41,9 @@ protected override void OnReminder(DateTime dateTime, object data) } ``` +##### + +![](/icons/icon_book.png)[附：OpenQuant中的事件类型](/the-events-in-openquant.md) + From b50aa652a2467f5b14720c6db376bab3c1a27fd4 Mon Sep 17 00:00:00 2001 From: OmniStep Date: Sun, 17 Sep 2017 22:01:18 +0800 Subject: [PATCH 106/306] Updates place-an-order.md Auto commit by GitBook Editor --- assets/FlashOrderStrategyDiagram.png | Bin 0 -> 74756 bytes place-an-order.md | 6 ++++++ 2 files changed, 6 insertions(+) create mode 100644 assets/FlashOrderStrategyDiagram.png diff --git a/assets/FlashOrderStrategyDiagram.png b/assets/FlashOrderStrategyDiagram.png new file mode 100644 index 0000000000000000000000000000000000000000..bfabc6e1f29931f943ca1cba71e595240db04f90 GIT binary patch literal 74756 zcmdqJ^Dj*3I&Kte=Abmhtw5+%hKT34>%Ctta8 zjrZnt+?51W*T*YY7_TV3kk;|Mx-m`oRtI@@ap8gQ0a-ZE?xvB})cm3v^pWwE0)ftp zVoJ<)y%EO(5JnH8Th!X1$2mZhsW*@w@Th~7<&L}Ni_gG}*OWg1kVh)#X)e|d;OCu> 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z?NfKGOs#fbcW8XJbRpAl`q23&eI^};=!ZF*-Ya83F={5%lO8Y>uDDoZ?bmqvwbPpG zJo0=WF=ecxH!ftJ_2}r+FmH{+GUY^FS>5cX-akt6FPo*-MkQWwjm;%qfR6tBK-X$O z*4}K-^Jdcn+v3WQh#H>;rJcW?R{bvSRqh{fddNNsvPBb`D|L|v@Oj`Ocn<58?2bk% zd_q{rl@AO74Mu`#y1_MnR(C*PJV?uZN_qFn$w Date: Mon, 7 Aug 2017 23:07:11 +0800 Subject: [PATCH 050/306] Updates structure-of-openquant-solution.md Auto commit by GitBook Editor --- SUMMARY.md | 3 +- design-an-openquant-helloworld.md | 14 +++ hello-openquant-world.md | 132 ----------------------------- hello-world.md | 128 ++++++++++++++++++++++++++++ structure-of-openquant-solution.md | 18 ++-- 5 files changed, 150 insertions(+), 145 deletions(-) create mode 100644 design-an-openquant-helloworld.md create mode 100644 hello-world.md diff --git a/SUMMARY.md b/SUMMARY.md index 8858b74..d81234f 100644 --- a/SUMMARY.md +++ b/SUMMARY.md @@ -3,6 +3,7 @@ * [0. Introduction](README.md) * [在开始之前的准备](before-your-start.md) * [管理未来所有的代码...](manage-your-coding-by-svn.md) -* [开始一个OpenQuant的Hello World](hello-openquant-world.md) +* [开始一个Hello World](hello-world.md) * [OpenQuant策略代码的结构](structure-of-openquant-solution.md) +* [设计一个OpenQuant的HelloWorld！](design-an-openquant-helloworld.md) diff --git a/design-an-openquant-helloworld.md b/design-an-openquant-helloworld.md new file mode 100644 index 0000000..0192d3f --- /dev/null +++ b/design-an-openquant-helloworld.md @@ -0,0 +1,14 @@ +# 设计一个OpenQuant的HelloWorld！ + +--- + +是的，一个OpenQuant的HelloWorld需要设计一下，这个HelloWorld要可以连接到CTP交易柜台，订阅一个全市场最热的合约，可以收到每一笔Tick行情，当收到Tick行情时，在输出窗口写一句HelloWorld及当前的报价！ + +总体代码结构应该是这样的： + + + +Coming soon... ... + + + diff --git a/hello-openquant-world.md b/hello-openquant-world.md index 4a7b5bd..e69de29 100644 --- a/hello-openquant-world.md +++ b/hello-openquant-world.md @@ -1,132 +0,0 @@ -# 开始一个OpenQuant的HelloWorld - ---- - -OpenQuant的开发体系是基于标准的微软C\#编程语言及.NET开发框架。下面的文档中，默认认为我们的读者已经可以使用C\#编程语言并使用过Visual Studio开发工具。 - -## 创建第一个解决方案（C\# solution） - -![](/icons/icon_labtubeBlue.ico)打开OpenQuant中的**File**菜单，**New**一个新的**solution**, 这里有一些解决方案类别选项，这个例子中，我们选择第一种“SmartQuant Instrument Strategy Solution”， 命名为_myFirstStrategy_， 保持目录应该保存在你的SVN代码版本管理体系中, 生成的解决方案（Solution）结构如下： - -![](/assets/myFirstStrategyTreeDos.png) ![](/assets/myFirstStrategyFilesTreeOQ.png) - -图：一个默认解决方案包含的文件结构 - -在Instrument Strategy Solution类型默认代码中，主要有3个核心文件： - --**Backtest目录中的** - --Program.cs -------------------------- 整个solution的入口文件，其中有整个策略代码的入口 Main函数 - --MyScenario.cs --------------------- 场景定义文件，可以定义合约订阅，定义回测起始结束日期或者定义实盘的交易通道 - --**MyStrategy目录中的** - --MyStrategy.cs -----------------------策略核心文件，编写所有的核心策略逻辑 - -## OpenQuant的解决方案中代码的运行关系 - -这是一个标准的微软C\#解决方案，在这个**myFirstStrategy**解决方案（Solution）中有两个项目（Project）：Backtest，MyStrategy，Backtest项目是默认的启动项目。代码关系如下图的所示： - -![](/assets/myFirstStrategyCodeMap.png) `图： OpenQuant生成的策略代码的结构及调用关系` - - - - - -![](/icons/icon_labtubeBlue.ico)为了掌握OpenQuant解决方案代码运行中的调用关系，我们在该项目文件中增加输出信息，使得程序运行时，可以呈现代码运行顺序和调用过程。 - -在**Program.cs **中添加代码： - -``` -using System; - -using SmartQuant; - -namespace OpenQuant -{ - class Program - { - static void Main(string[] args) - { - System.Console.WriteLine("Program.cs程序主入口： Main()"); - - System.Console.WriteLine("Program.cs程序主入口中, 实例化MyScenario()"); - Scenario scenario = new MyScenario(Framework.Current); - - System.Console.WriteLine("Program.cs程序主入口中, 运行Run()"); - scenario.Run(); - } - } -} -``` - -在**MyScenario.cs **中添加代码： - -``` -using System; - -using SmartQuant; - -namespace OpenQuant -{ - public partial class MyScenario : Scenario - { - public MyScenario(Framework framework) - : base(framework) - { - System.Console.WriteLine("MyScenario.cs 我的场景开始定义"); - } - - public override void Run() - { - strategy = new MyStrategy(framework, "Backtest"); - System.Console.WriteLine("MyScenario.cs 我的场景MyScenario.Run()中, 实例化我的策略 new MyStrategy() "); - - System.Console.WriteLine("MyScenario.cs 我的场景MyScenario.Run()中, 开始初始化过程Initialize() "); - Initialize(); - - System.Console.WriteLine("MyScenario.cs 我的场景MyScenario.Run()中, 开始策略StartStrategy()"); - StartStrategy(); - } - } -} -``` - -在**MyStrategy.cs **中添加代码： - -``` -using System; - -using SmartQuant; - -namespace OpenQuant -{ - public class MyStrategy : InstrumentStrategy - { - public MyStrategy(Framework framework, string name) - : base(framework, name) - { - } - - protected override void OnStrategyStart() - { - System.Console.WriteLine("MyStrategy.cs 我的策略MyStrategy中OnStrategyStart()"); - } - - protected override void OnBar(Instrument instrument, Bar bar) - { - System.Console.WriteLine("MyStrategy.cs 我的策略MyStrategy中OnBar()事件"); - } - } -} -``` - -![](/icons/icon_labtubeOrg.ico)添加完成后，直接运行策略，我们可以中OpenQuant的Output窗口中看到如下输出： - -![](/assets/HelloWorldOutput01.png) - -这样，我们很清楚地看出OpenQuant的策略运行过程，先是场景定义和初始化过程，然后实例化我的策略并运行。但策略中由于没有数据请求（data requests）, OpenQuant的回测模式就即可运行完成了整个策略过程。如果将运行模式切换至仿真Paper或实盘Live模式，策略就会一直处于等待市场数据状态，并不会自动退出，直到手动停止。 - -对于一个完整的程序化交易策略中，只有一个Backtest部分和一个策略逻辑主体部分，这显然是有问题的。让我们先把要做的Hello World策略放在一旁，我们进入下一章，来看看一个OpenQuant策略示例代码的结构。 - diff --git a/hello-world.md b/hello-world.md new file mode 100644 index 0000000..7233583 --- /dev/null +++ b/hello-world.md @@ -0,0 +1,128 @@ +# 开始一个HelloWorld + +--- + +OpenQuant的开发体系是基于标准的微软C\#编程语言及.NET开发框架。下面的文档中，默认认为我们的读者已经可以使用C\#编程语言并使用过Visual Studio开发工具。 + +## 创建第一个解决方案（C\# solution） + +![](/icons/icon_labtubeBlue.ico)打开OpenQuant中的**File**菜单，**New**一个新的**solution**, 这里有一些解决方案类别选项，这个例子中，我们选择第一种“SmartQuant Instrument Strategy Solution”， 命名为_myFirstStrategy_， 保持目录应该保存在你的SVN代码版本管理体系中, 生成的解决方案（Solution）结构如下： + +![](/assets/myFirstStrategyTreeDos.png) ![](/assets/myFirstStrategyFilesTreeOQ.png) + +图：一个默认解决方案包含的文件结构 + +在Instrument Strategy Solution类型默认代码中，主要有3个核心文件： + +-**Backtest目录中的** + +-Program.cs -------------------------- 整个solution的入口文件，其中有整个策略代码的入口 Main函数 + +-MyScenario.cs --------------------- 场景定义文件，可以定义合约订阅，定义回测起始结束日期或者定义实盘的交易通道 + +-**MyStrategy目录中的** + +-MyStrategy.cs -----------------------策略核心文件，编写所有的核心策略逻辑 + +## OpenQuant的解决方案中代码的运行关系 + +这是一个标准的微软C\#解决方案，在这个**myFirstStrategy**解决方案（Solution）中有两个项目（Project）：Backtest，MyStrategy，Backtest项目是默认的启动项目。代码关系如下图的所示： + +![](/assets/myFirstStrategyCodeMap.png) `图： OpenQuant生成的策略代码的结构及调用关系` + +![](/icons/icon_labtubeBlue.ico)为了掌握OpenQuant解决方案代码运行中的调用关系，我们在该项目文件中增加输出信息，使得程序运行时，可以呈现代码运行顺序和调用过程。 + +在**Program.cs **中添加代码： + +``` +using System; + +using SmartQuant; + +namespace OpenQuant +{ + class Program + { + static void Main(string[] args) + { + System.Console.WriteLine("Program.cs程序主入口： Main()"); + + System.Console.WriteLine("Program.cs程序主入口中, 实例化MyScenario()"); + Scenario scenario = new MyScenario(Framework.Current); + + System.Console.WriteLine("Program.cs程序主入口中, 运行Run()"); + scenario.Run(); + } + } +} +``` + +在**MyScenario.cs **中添加代码： + +``` +using System; + +using SmartQuant; + +namespace OpenQuant +{ + public partial class MyScenario : Scenario + { + public MyScenario(Framework framework) + : base(framework) + { + System.Console.WriteLine("MyScenario.cs 我的场景开始定义"); + } + + public override void Run() + { + strategy = new MyStrategy(framework, "Backtest"); + System.Console.WriteLine("MyScenario.cs 我的场景MyScenario.Run()中, 实例化我的策略 new MyStrategy() "); + + System.Console.WriteLine("MyScenario.cs 我的场景MyScenario.Run()中, 开始初始化过程Initialize() "); + Initialize(); + + System.Console.WriteLine("MyScenario.cs 我的场景MyScenario.Run()中, 开始策略StartStrategy()"); + StartStrategy(); + } + } +} +``` + +在**MyStrategy.cs **中添加代码： + +``` +using System; + +using SmartQuant; + +namespace OpenQuant +{ + public class MyStrategy : InstrumentStrategy + { + public MyStrategy(Framework framework, string name) + : base(framework, name) + { + } + + protected override void OnStrategyStart() + { + System.Console.WriteLine("MyStrategy.cs 我的策略MyStrategy中OnStrategyStart()"); + } + + protected override void OnBar(Instrument instrument, Bar bar) + { + System.Console.WriteLine("MyStrategy.cs 我的策略MyStrategy中OnBar()事件"); + } + } +} +``` + +![](/icons/icon_labtubeOrg.ico)添加完成后，直接运行策略，我们可以中OpenQuant的Output窗口中看到如下输出： + +![](/assets/HelloWorldOutput01.png) + +这样，我们很清楚地看出OpenQuant的策略运行过程，先是场景定义和初始化过程，然后实例化我的策略并运行。但策略中由于没有数据请求（data requests）, OpenQuant的回测模式就即可运行完成了整个策略过程。如果将运行模式切换至仿真Paper或实盘Live模式，策略就会一直处于等待市场数据状态，并不会自动退出，直到手动停止。 + +对于一个完整的程序化交易策略中，只有一个Backtest部分和一个策略逻辑主体部分，这显然是有问题的。让我们先把要做的Hello World策略放在一旁，我们进入下一章，来看看一个稍微完整的OpenQuant策略示例代码的结构。 + diff --git a/structure-of-openquant-solution.md b/structure-of-openquant-solution.md index 145b418..c78a881 100644 --- a/structure-of-openquant-solution.md +++ b/structure-of-openquant-solution.md @@ -26,20 +26,14 @@ OpenQuant的策略运行机制是构造出扑捉市场数据的处理逻辑后 下面就是一个成交事件处理的代码，你可以在SMACrossover策略解决方案中的MyStrategy工程的MyStrategy.cs代码中找到： ``` - protected override void OnFill(Fill fill) - { - // Add fill to group. - Log(fill, "Fills"); - } - - + protected override void OnFill(Fill fill) + { + // Add fill to group. + Log(fill, "Fills"); + } ``` - - - - - +![](/icons/icon_paw.png)在对OpenQuant的代码结构和驱动机制有了大致的了解后，让我们来开始搞一个OpenQuant的HelloWorld系统吧... From af777d60cf07ae0be4b92ed03714fa9560901cec Mon Sep 17 00:00:00 2001 From: OmniStep Date: Tue, 8 Aug 2017 17:27:27 +0800 Subject: [PATCH 051/306] Updates README.md Auto commit by GitBook Editor --- README.md | 2 +- 1 file changed, 1 insertion(+), 1 deletion(-) diff --git a/README.md b/README.md index 3cf8414..38d5d73 100644 --- a/README.md +++ b/README.md @@ -1,6 +1,6 @@ # OpenQuantCoding -My notebook for building an OpenQuant Trading System step by step +My notebook for building an OpenQuant Trading System step by step. ver. 0052 --- From d08a0068063d0803b11b5e32eb156bde063ee8f4 Mon Sep 17 00:00:00 2001 From: OmniStep Date: Wed, 9 Aug 2017 00:12:49 +0800 Subject: [PATCH 052/306] Creates assets/design_helloworld.jpg Auto commit by GitBook Editor --- SUMMARY.md | 9 +++++++++ assets/design_helloworld.jpg | Bin 0 -> 43732 bytes code-an-openquant-helloworld.md | 18 ++++++++++++++++++ design-an-openquant-helloworld.md | 14 ++++++++++++-- 4 files changed, 39 insertions(+), 2 deletions(-) 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z>MH$fpEq`hTyG3a(G~?VwK=Rc(rV_%9F?f%?h&;qY}Lh-ir_xbR97$Ut&we_@EZQr z!7pg?u}d%a7++Z|bK?dlW=49^o$WnUcsd?@kV|dy7mj29}ioU9N z=X34YIxAZhw|94u1NBqCMXt?@p5V-9r%0+-wSy34GgJkarQp%haZtUaX2ve6WvCJ5 zUGzY76HDjm#cf8s961+MiR=Axy)htWDF%wrfkFIdA~XsRaMq)?5GrirID*$GP_-y> znChX1V&UPznElMcR@b~r%X$ZS%ut#8!A8w1CHbe;p<^!r1bz9Qr^&`gLA6Ndep38@ z1TYBDtL>FYMe%3T4@LTR;51qVya^c8|6mJ@Ni>yzxD_@I85kgI^HgJ<136gc9u=|v z`$k?(fB_TffAJyb=v{H3N-id!BuEs2nFS1F?O<=P+f7su_Mc+?Q>_23tz45FiZ+f) S2rCeRm!*ZxH|1s?G5-b~;l}m= literal 0 HcmV?d00001 diff --git a/hello-openquant-world.md b/hello-openquant-world.md index 97f69d9..8b1047f 100644 --- a/hello-openquant-world.md +++ b/hello-openquant-world.md @@ -10,7 +10,11 @@ OpenQuant的开发体系是基于标准的微软C\#编程语言及.NET开发框 ![](/assets/myFirstStrategyTreeDos.png) ![](/assets/myFirstStrategyFilesTreeOQ.png) +图：一个默认解决方案包含的文件结构 -这是一个标准的微软C\#解决方案，在这个myFirstStrategy解决方案（Solution）中有两个工程（Project），Backtest， + +这是一个标准的微软C\#解决方案，在这个_myFirstStrategy_解决方案（Solution）中有两个项目（Project）：Backtest，MyStrategy，Backtest项目是默认的启动项目。代码关系如下图的所示： + +![](/assets/myFirstStrategyCodeMap.png) From c40b73d3c8b45d6cea21941f34c247f810726f7d Mon Sep 17 00:00:00 2001 From: OmniStep Date: Sun, 6 Aug 2017 21:58:21 +0800 Subject: [PATCH 040/306] Updates hello-openquant-world.md Auto commit by GitBook Editor --- hello-openquant-world.md | 8 ++++++-- 1 file changed, 6 insertions(+), 2 deletions(-) diff --git a/hello-openquant-world.md b/hello-openquant-world.md index 8b1047f..90edd83 100644 --- a/hello-openquant-world.md +++ b/hello-openquant-world.md @@ -12,9 +12,13 @@ OpenQuant的开发体系是基于标准的微软C\#编程语言及.NET开发框 图：一个默认解决方案包含的文件结构 - - 这是一个标准的微软C\#解决方案，在这个_myFirstStrategy_解决方案（Solution）中有两个项目（Project）：Backtest，MyStrategy，Backtest项目是默认的启动项目。代码关系如下图的所示： ![](/assets/myFirstStrategyCodeMap.png) + + + + + + From f677b6a3997ffe9e5bc79493953b2f48b02c9dc3 Mon Sep 17 00:00:00 2001 From: OmniStep Date: Sun, 6 Aug 2017 23:06:04 +0800 Subject: [PATCH 041/306] Updates hello-openquant-world.md Auto commit by GitBook Editor --- hello-openquant-world.md | 18 ++++++++++++++++-- 1 file changed, 16 insertions(+), 2 deletions(-) diff --git a/hello-openquant-world.md b/hello-openquant-world.md index 90edd83..e9eb562 100644 --- a/hello-openquant-world.md +++ b/hello-openquant-world.md @@ -12,13 +12,27 @@ OpenQuant的开发体系是基于标准的微软C\#编程语言及.NET开发框 图：一个默认解决方案包含的文件结构 -这是一个标准的微软C\#解决方案，在这个_myFirstStrategy_解决方案（Solution）中有两个项目（Project）：Backtest，MyStrategy，Backtest项目是默认的启动项目。代码关系如下图的所示： +在Instrument Strategy Solution类型默认代码中，主要有4个核心文件： + +Backtest目录中的 + +-**Program.cs** -------------------------- + +-**MyScenario.cs** --------------------- -![](/assets/myFirstStrategyCodeMap.png) +-**MyScenario.Designer.cs** ------- +MyStrategy目录中的 +-**MyStrategy.cs** ----------------------- +## OpenQuant的解决方案中代码的运行关系 + +这是一个标准的微软C\#解决方案，在这个_myFirstStrategy_解决方案（Solution）中有两个项目（Project）：Backtest，MyStrategy，Backtest项目是默认的启动项目。代码关系如下图的所示： + +![](/assets/myFirstStrategyCodeMap.png)为了掌握OpenQuant解决方案代码运行中的调用关系，我们在该项目文件中增加输出信息，使得程序运行时，可以呈现代码运行顺序和调用关系。 + From b4acc014366db0ca98c8312438db5eb374d0eabc Mon Sep 17 00:00:00 2001 From: OmniStep Date: Sun, 6 Aug 2017 23:25:54 +0800 Subject: [PATCH 042/306] Updates hello-openquant-world.md Auto commit by GitBook Editor --- assets/HelloWorldOutput01.png | Bin 0 -> 27459 bytes hello-openquant-world.md | 120 ++++++++++++++++++++++++++++++++-- 2 files changed, 116 insertions(+), 4 deletions(-) create mode 100644 assets/HelloWorldOutput01.png diff --git a/assets/HelloWorldOutput01.png b/assets/HelloWorldOutput01.png new file mode 100644 index 0000000000000000000000000000000000000000..ee3829babb8cb7ff86bae386019ca1146f27ee99 GIT binary patch literal 27459 zcmcG$c~sKr8$R4JWvjMWnjuc(n3bkE#<&5_j59ioCF7X8LTPD9V=AJes8d#^CQMms zE>L5+BbnifxDw?8nF?mEAfTcmBBJ8*QZ_Tq_nh~<@A;kc`xE4|JkN7K*LB_3eLp7r z>R`8Xo7T2<>(=c&_4ALvty{ODf8DzECR;Wuzj@>iOkKC`%XO!I{Qhjj`pH^ku}tLL 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Aug 2017 23:27:42 +0800 Subject: [PATCH 043/306] Updates hello-openquant-world.md Auto commit by GitBook Editor --- hello-openquant-world.md | 45 +++++++++++++++++++--------------------- 1 file changed, 21 insertions(+), 24 deletions(-) diff --git a/hello-openquant-world.md b/hello-openquant-world.md index f47e32c..5e3d661 100644 --- a/hello-openquant-world.md +++ b/hello-openquant-world.md @@ -43,21 +43,20 @@ using SmartQuant; namespace OpenQuant { - class Program - { - static void Main(string[] args) - { + class Program + { + static void Main(string[] args) + { System.Console.WriteLine("Program.cs程序主入口： Main()"); - - System.Console.WriteLine("Program.cs程序主入口中, 实例化MyScenario()"); + + System.Console.WriteLine("Program.cs程序主入口中, 实例化MyScenario()"); Scenario scenario = new MyScenario(Framework.Current); - + System.Console.WriteLine("Program.cs程序主入口中, 运行Run()"); - scenario.Run(); - } - } + scenario.Run(); + } + } } - ``` 在**MyScenario.cs **中添加代码： @@ -81,9 +80,9 @@ namespace OpenQuant { strategy = new MyStrategy(framework, "Backtest"); System.Console.WriteLine("MyScenario.cs 我的场景MyScenario.Run()中, 实例化我的策略 new MyStrategy() "); - - System.Console.WriteLine("MyScenario.cs 我的场景MyScenario.Run()中, 开始初始化过程Initialize() "); - Initialize(); + + System.Console.WriteLine("MyScenario.cs 我的场景MyScenario.Run()中, 开始初始化过程Initialize() "); + Initialize(); System.Console.WriteLine("MyScenario.cs 我的场景MyScenario.Run()中, 开始策略StartStrategy()"); StartStrategy(); @@ -103,10 +102,10 @@ namespace OpenQuant { public partial class MyScenario { - public void Initialize() - { - System.Console.WriteLine(" MyScenario.Designer.cs 我的场景MyScenario.Initialize()过程中..."); - } + public void Initialize() + { + System.Console.WriteLine(" MyScenario.Designer.cs 我的场景MyScenario.Initialize()过程中..."); + } } } ``` @@ -122,19 +121,19 @@ namespace OpenQuant { public class MyStrategy : InstrumentStrategy { - public MyStrategy(Framework framework, string name) + public MyStrategy(Framework framework, string name) : base(framework, name) { } protected override void OnStrategyStart() { - System.Console.WriteLine("MyStrategy.cs 我的策略MyStrategy中OnStrategyStart()"); + System.Console.WriteLine("MyStrategy.cs 我的策略MyStrategy中OnStrategyStart()"); } protected override void OnBar(Instrument instrument, Bar bar) { - System.Console.WriteLine("MyStrategy.cs 我的策略MyStrategy中OnBar()事件"); + System.Console.WriteLine("MyStrategy.cs 我的策略MyStrategy中OnBar()事件"); } } } @@ -144,7 +143,5 @@ namespace OpenQuant ![](/assets/HelloWorldOutput01.png) -这样，我们很清楚地看出OpenQuant的策略运行过程，先是场景定义和初始化过程，然后实例化我的策略，并运行。但策略中由于没有数据请求（data requests）, OpenQuant的回测模式就即可运行完成了整个策略过程。如果将运行模式切换至Paper或Live模式，策略就会一直处于空等待状态，并不会自动退出，知道手动停止。 - - +这样，我们很清楚地看出OpenQuant的策略运行过程，先是场景定义和初始化过程，然后实例化我的策略并运行。但策略中由于没有数据请求（data requests）, OpenQuant的回测模式就即可运行完成了整个策略过程。如果将运行模式切换至仿真Paper或实盘Live模式，策略就会一直处于空等待状态，并不会自动退出，直到手动停止。 From e2c118171a621e5c76591a1f41460c3c7634eb29 Mon Sep 17 00:00:00 2001 From: OmniStep Date: Sun, 6 Aug 2017 23:33:34 +0800 Subject: [PATCH 044/306] Updates hello-openquant-world.md Auto commit by GitBook Editor --- hello-openquant-world.md | 8 ++++---- 1 file changed, 4 insertions(+), 4 deletions(-) diff --git a/hello-openquant-world.md b/hello-openquant-world.md index 5e3d661..fd684e0 100644 --- a/hello-openquant-world.md +++ b/hello-openquant-world.md @@ -2,7 +2,7 @@ --- -OpenQuant的开发体系是基于标准的微软C\#编程语言及.NET开发框架。下面的文档中，默认读者已经可以使用C\#编程语言及使用过Visual Studio开发工具。 +OpenQuant的开发体系是基于标准的微软C\#编程语言及.NET开发框架。下面的文档中，默认认为我们的读者已经可以使用C\#编程语言并使用过Visual Studio开发工具。 ## 创建第一个解决方案（C\# solution） @@ -28,11 +28,11 @@ MyStrategy目录中的 ## OpenQuant的解决方案中代码的运行关系 -这是一个标准的微软C\#解决方案，在这个_myFirstStrategy_解决方案（Solution）中有两个项目（Project）：Backtest，MyStrategy，Backtest项目是默认的启动项目。代码关系如下图的所示： +这是一个标准的微软C\#解决方案，在这个**myFirstStrategy**解决方案（Solution）中有两个项目（Project）：Backtest，MyStrategy，Backtest项目是默认的启动项目。代码关系如下图的所示： ![](/assets/myFirstStrategyCodeMap.png) -![](/icons/icon_labtubeBlue.ico)为了掌握OpenQuant解决方案代码运行中的调用关系，我们在该项目文件中增加输出信息，使得程序运行时，可以呈现代码运行顺序和调用关系。 +![](/icons/icon_labtubeBlue.ico)为了掌握OpenQuant解决方案代码运行中的调用关系，我们在该项目文件中增加输出信息，使得程序运行时，可以呈现代码运行顺序和调用过程。 在**Program.cs **中添加代码： @@ -143,5 +143,5 @@ namespace OpenQuant ![](/assets/HelloWorldOutput01.png) -这样，我们很清楚地看出OpenQuant的策略运行过程，先是场景定义和初始化过程，然后实例化我的策略并运行。但策略中由于没有数据请求（data requests）, OpenQuant的回测模式就即可运行完成了整个策略过程。如果将运行模式切换至仿真Paper或实盘Live模式，策略就会一直处于空等待状态，并不会自动退出，直到手动停止。 +这样，我们很清楚地看出OpenQuant的策略运行过程，先是场景定义和初始化过程，然后实例化我的策略并运行。但策略中由于没有数据请求（data requests）, OpenQuant的回测模式就即可运行完成了整个策略过程。如果将运行模式切换至仿真Paper或实盘Live模式，策略就会一直处于等待市场数据状态，并不会自动退出，直到手动停止。 From 63d9150ef066aec15455ecb4c66f3f57df098904 Mon Sep 17 00:00:00 2001 From: OmniStep Date: Sun, 6 Aug 2017 23:37:30 +0800 Subject: [PATCH 045/306] Updates README.md Auto commit by GitBook Editor --- README.md | 7 ++++--- before-your-start.md | 2 +- 2 files changed, 5 insertions(+), 4 deletions(-) diff --git a/README.md b/README.md index 80fab0a..3cf8414 100644 --- a/README.md +++ b/README.md @@ -26,13 +26,14 @@ My notebook for building an OpenQuant Trading System step by step \| -* **icon legend ** +* 图标说明 -| icon | Note | +| 图标 | 代表含义 | | :---: | :--- | | ![](/icons/icon_paw.png) | 一个爪印，代表你已经实现了这一步的结果 | | ![](/icons/icon_bookbig.png) | 一本手册，代表外部参考资料或者资源 | -| ![](/icons/icon_labtubeOrg.ico) | 一个实验瓶，代表这里要进行的操作和反复的操作 | +| ![](/icons/icon_labtubeBlue.ico) | 一个蓝色实验瓶，代表这里要进行的操作和反复的操作 | +| ![](/icons/icon_labtubeOrg.ico) | 一个桔色实验瓶，代表这里查看运行的结果、状态或数据 | diff --git a/before-your-start.md b/before-your-start.md index 431ebf1..0ca8c61 100644 --- a/before-your-start.md +++ b/before-your-start.md @@ -34,7 +34,7 @@ ![](/icons/icon_bookbig.png)详见[http://www.smartquant.cn/book/installing.html](http://www.smartquant.cn/book/installing.html) -##### ![](/icons/icon_labtubeOrg.ico)**简要过程记录** +##### ![](/icons/icon_labtubeBlue.ico)**简要过程记录** * [ ] 安装OpenQuant最新版本; From 7a0e75c4aa77bf38889cb756139759941a08ab07 Mon Sep 17 00:00:00 2001 From: OmniStep Date: Sun, 6 Aug 2017 23:39:06 +0800 Subject: [PATCH 046/306] Updates hello-openquant-world.md Auto commit by GitBook Editor --- hello-openquant-world.md | 2 +- 1 file changed, 1 insertion(+), 1 deletion(-) diff --git a/hello-openquant-world.md b/hello-openquant-world.md index fd684e0..1ebba4e 100644 --- a/hello-openquant-world.md +++ b/hello-openquant-world.md @@ -6,7 +6,7 @@ OpenQuant的开发体系是基于标准的微软C\#编程语言及.NET开发框 ## 创建第一个解决方案（C\# solution） -打开OpenQuant中的**File**菜单，**New**一个新的**solution**, 这里有一些解决方案类别选项，这个例子中，我们选择第一种“SmartQuant Instrument Strategy Solution”， 命名为_myFirstStrategy_， 保持目录应该保存在你的SVN代码版本管理体系中, 生成的解决方案（Solution）结构如下： +![](/icons/icon_labtubeBlue.ico)打开OpenQuant中的**File**菜单，**New**一个新的**solution**, 这里有一些解决方案类别选项，这个例子中，我们选择第一种“SmartQuant Instrument Strategy Solution”， 命名为_myFirstStrategy_， 保持目录应该保存在你的SVN代码版本管理体系中, 生成的解决方案（Solution）结构如下： ![](/assets/myFirstStrategyTreeDos.png) ![](/assets/myFirstStrategyFilesTreeOQ.png) From 86d6dd5632f37b5334ef91620775bbf4dbc254c6 Mon Sep 17 00:00:00 2001 From: OmniStep Date: Mon, 7 Aug 2017 21:19:37 +0800 Subject: [PATCH 047/306] Updates structure-of-openquant-solution.md Auto commit by GitBook Editor --- SUMMARY.md | 1 + hello-openquant-world.md | 37 ++++++++---------------------- structure-of-openquant-solution.md | 10 ++++++++ 3 files changed, 20 insertions(+), 28 deletions(-) create mode 100644 structure-of-openquant-solution.md diff --git a/SUMMARY.md b/SUMMARY.md index c6fb9e4..8858b74 100644 --- a/SUMMARY.md +++ b/SUMMARY.md @@ -4,4 +4,5 @@ * [在开始之前的准备](before-your-start.md) * [管理未来所有的代码...](manage-your-coding-by-svn.md) * [开始一个OpenQuant的Hello World](hello-openquant-world.md) +* [OpenQuant策略代码的结构](structure-of-openquant-solution.md) diff --git a/hello-openquant-world.md b/hello-openquant-world.md index 1ebba4e..9fd1327 100644 --- a/hello-openquant-world.md +++ b/hello-openquant-world.md @@ -1,4 +1,4 @@ -# 开始一个OpenQuant的HelloWorld！ +# 开始一个OpenQuant的HelloWorld --- @@ -12,19 +12,17 @@ OpenQuant的开发体系是基于标准的微软C\#编程语言及.NET开发框 图：一个默认解决方案包含的文件结构 -在Instrument Strategy Solution类型默认代码中，主要有4个核心文件： +在Instrument Strategy Solution类型默认代码中，主要有3个核心文件： -Backtest目录中的 +-**Backtest目录中的** --**Program.cs** -------------------------- +-Program.cs -------------------------- 整个solution的入口文件，其中有整个策略代码的入口 Main函数 --**MyScenario.cs** --------------------- +-MyScenario.cs --------------------- 场景定义文件，可以定义合约订阅，定义回测起始结束日期或者定义实盘的交易通道 --**MyScenario.Designer.cs** ------- +-**MyStrategy目录中的** -MyStrategy目录中的 - --**MyStrategy.cs** ----------------------- +-MyStrategy.cs -----------------------策略核心文件，编写所有的核心策略逻辑 ## OpenQuant的解决方案中代码的运行关系 @@ -91,25 +89,6 @@ namespace OpenQuant } ``` -在**MyScenario.Design.cs **中添加代码： - -``` -using System; - -using SmartQuant; - -namespace OpenQuant -{ - public partial class MyScenario - { - public void Initialize() - { - System.Console.WriteLine(" MyScenario.Designer.cs 我的场景MyScenario.Initialize()过程中..."); - } - } -} -``` - 在**MyStrategy.cs **中添加代码： ``` @@ -145,3 +124,5 @@ namespace OpenQuant 这样，我们很清楚地看出OpenQuant的策略运行过程，先是场景定义和初始化过程，然后实例化我的策略并运行。但策略中由于没有数据请求（data requests）, OpenQuant的回测模式就即可运行完成了整个策略过程。如果将运行模式切换至仿真Paper或实盘Live模式，策略就会一直处于等待市场数据状态，并不会自动退出，直到手动停止。 +对于一个完整的程序化交易策略中，只有一个Backtest部分和一个策略逻辑主体部分，这显然是有问题的。让我们先把要做的Hello World策略放在一旁，我们进入下一章，来看看一个OpenQuant策略示例代码的结构。 + diff --git a/structure-of-openquant-solution.md b/structure-of-openquant-solution.md new file mode 100644 index 0000000..044af07 --- /dev/null +++ b/structure-of-openquant-solution.md @@ -0,0 +1,10 @@ +# OpenQuant 策略代码的结构 + +--- + + + + + + + From 7f8e30439468c517a357ad63097823d5a64e7748 Mon Sep 17 00:00:00 2001 From: OmniStep Date: Mon, 7 Aug 2017 22:21:55 +0800 Subject: [PATCH 048/306] Updates structure-of-openquant-solution.md Auto commit by GitBook Editor --- assets/SMACrossoverSolutionExplorer.png | Bin 0 -> 16682 bytes structure-of-openquant-solution.md | 11 +++++++++++ 2 files changed, 11 insertions(+) create mode 100644 assets/SMACrossoverSolutionExplorer.png diff --git a/assets/SMACrossoverSolutionExplorer.png b/assets/SMACrossoverSolutionExplorer.png new file mode 100644 index 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