-
Notifications
You must be signed in to change notification settings - Fork 49
/
Copy pathctaBase.py
134 lines (107 loc) · 4.54 KB
/
ctaBase.py
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
87
88
89
90
91
92
93
94
95
96
97
98
99
100
101
102
103
104
105
106
107
108
109
110
111
112
113
114
115
116
117
118
119
120
121
122
123
124
125
126
127
128
129
130
131
132
133
134
# encoding: UTF-8
'''
本文件中包含了CTA模块中用到的一些基础设置、类和常量等。
'''
from __future__ import division
from vtConstant import *
# 把vn.trader根目录添加到python环境变量中
import sys
sys.path.append('..')
# 常量定义
# CTA引擎中涉及到的交易方向类型
CTAORDER_BUY = u'买开'
CTAORDER_SELL = u'卖平'
CTAORDER_SELL_TODAY = u'卖平今'
CTAORDER_SHORT = u'卖开'
CTAORDER_COVER = u'买平'
CTAORDER_COVER_TODAY = u'买平今'
STATUS_PARTTRADED_PARTCANCELLED = u'部成部撤'
# 本地停止单状态
STOPORDER_WAITING = u'等待中'
STOPORDER_CANCELLED = u'已撤销'
STOPORDER_TRIGGERED = u'已触发'
# 本地停止单前缀
STOPORDERPREFIX = 'CtaStopOrder.'
# CTA模块事件
EVENT_CTA_LOG = 'eCtaLog' # CTA相关的日志事件
EVENT_CTA_STRATEGY = 'eCtaStrategy.' # CTA策略状态变化事件
# 数据库名称
SETTING_DB_NAME = 'VnTrader_Setting_Db'
CAPITAL_DB_NAME = 'vt_trader_cap_db'
TICK_DB_NAME = 'vnTrader_Tick_db'
CAP_DB_NAME = 'vt_trader_cap_db'
DAILY_DB_NAME = 'VnTrader_Daily_Db'
MINUTE_DB_NAME = 'VnTrader_1Min_Db'
########################################################################
class CtaBarData(object):
"""K线数据"""
#----------------------------------------------------------------------
def __init__(self):
"""Constructor"""
self.vtSymbol = EMPTY_STRING # vt系统代码
self.symbol = EMPTY_STRING # 代码
self.exchange = EMPTY_STRING # 交易所
self.open = EMPTY_FLOAT # OHLC
self.high = EMPTY_FLOAT
self.low = EMPTY_FLOAT
self.close = EMPTY_FLOAT
self.date = EMPTY_STRING # bar开始的时间，日期
self.time = EMPTY_STRING # 时间
self.datetime = None # python的datetime时间对象
self.volume = EMPTY_INT # 成交量
self.openInterest = EMPTY_INT # 持仓量
self.turnover = EMPTY_FLOAT # 成交额
########################################################################
class CtaTickData(object):
"""Tick数据"""
#----------------------------------------------------------------------
def __init__(self):
"""Constructor"""
self.vtSymbol = EMPTY_STRING # vt系统代码
self.symbol = EMPTY_STRING # 合约代码
self.exchange = EMPTY_STRING # 交易所代码
# 成交数据
self.lastPrice = EMPTY_FLOAT # 最新成交价
self.volume = EMPTY_INT # 最新成交量
self.openInterest = EMPTY_INT # 持仓量
self.upperLimit = EMPTY_FLOAT # 涨停价
self.lowerLimit = EMPTY_FLOAT # 跌停价
self.turnover = EMPTY_FLOAT # 成交额
# tick的时间
self.date = EMPTY_STRING # 日期
self.time = EMPTY_STRING # 时间
self.datetime = None # python的datetime时间对象
# 五档行情
self.bidPrice1 = EMPTY_FLOAT
self.bidPrice2 = EMPTY_FLOAT
self.bidPrice3 = EMPTY_FLOAT
self.bidPrice4 = EMPTY_FLOAT
self.bidPrice5 = EMPTY_FLOAT
self.askPrice1 = EMPTY_FLOAT
self.askPrice2 = EMPTY_FLOAT
self.askPrice3 = EMPTY_FLOAT
self.askPrice4 = EMPTY_FLOAT
self.askPrice5 = EMPTY_FLOAT
self.bidVolume1 = EMPTY_INT
self.bidVolume2 = EMPTY_INT
self.bidVolume3 = EMPTY_INT
self.bidVolume4 = EMPTY_INT
self.bidVolume5 = EMPTY_INT
self.askVolume1 = EMPTY_INT
self.askVolume2 = EMPTY_INT
self.askVolume3 = EMPTY_INT
self.askVolume4 = EMPTY_INT
self.askVolume5 = EMPTY_INT
########################################################################
class CtaCapData(object):
"""策略资产数据"""
#----------------------------------------------------------------------
def __init__(self):
"""Constructor"""
self.name = EMPTY_STRING # 策略名
self.datetime = None # 时间
self.start = None # 开始时间
self.date = None # 日期
self.cap = EMPTY_FLOAT # 资金
self.pnl = EMPTY_FLOAT # 当日盈亏
self.drawdown = EMPTY_FLOAT # 回撤