From 160baa4fdf13fb5307f8d0dd04d75d6ed1f16ce8 Mon Sep 17 00:00:00 2001 From: shinny-pack Date: Fri, 1 Mar 2024 07:35:47 +0000 Subject: [PATCH] Update Version 3.5.4 --- PKG-INFO | 2 +- doc/conf.py | 4 +- doc/reference/index.rst | 1 + doc/reference/tqsdk.tqzq.rst | 7 ++ doc/version.rst | 8 +- setup.py | 2 +- tqsdk/__version__.py | 2 +- tqsdk/api.py | 4 +- tqsdk/backtest/backtest.py | 207 ++++++++++++++++++----------------- tqsdk/multiaccount.py | 2 +- 10 files changed, 131 insertions(+), 108 deletions(-) create mode 100644 doc/reference/tqsdk.tqzq.rst diff --git a/PKG-INFO b/PKG-INFO index 1edf8388..53e47e39 100644 --- a/PKG-INFO +++ b/PKG-INFO @@ -1,6 +1,6 @@ Metadata-Version: 2.1 Name: tqsdk -Version: 3.5.3 +Version: 3.5.4 Summary: TianQin SDK Home-page: https://www.shinnytech.com/tqsdk Author: TianQin diff --git a/doc/conf.py b/doc/conf.py index cc4d6daf..23082e88 100644 --- a/doc/conf.py +++ b/doc/conf.py @@ -48,9 +48,9 @@ # built documents. # # The short X.Y version. -version = u'3.5.3' +version = u'3.5.4' # The full version, including alpha/beta/rc tags. -release = u'3.5.3' +release = u'3.5.4' # The language for content autogenerated by Sphinx. Refer to documentation # for a list of supported languages. diff --git a/doc/reference/index.rst b/doc/reference/index.rst index 2a29eabe..a1001beb 100644 --- a/doc/reference/index.rst +++ b/doc/reference/index.rst @@ -10,6 +10,7 @@ TqSdk 模块参考 tqsdk.auth.rst tqsdk.account.rst tqsdk.tqkq.rst + tqsdk.tqzq.rst tqsdk.sim.rst tqsdk.multiaccount.rst tqsdk.objs.rst diff --git a/doc/reference/tqsdk.tqzq.rst b/doc/reference/tqsdk.tqzq.rst new file mode 100644 index 00000000..25b99400 --- /dev/null +++ b/doc/reference/tqsdk.tqzq.rst @@ -0,0 +1,7 @@ +.. _tqsdk.tqzq: + +tqsdk.TqZq - 众期交易类 +------------------------------------------------------------------ +.. autoclass:: tqsdk.TqZq + :members: + :inherited-members: diff --git a/doc/version.rst b/doc/version.rst index 11ca3511..f3c7dad3 100644 --- a/doc/version.rst +++ b/doc/version.rst @@ -2,6 +2,12 @@ 版本变更 ============================= +3.5.4 (2024/03/01) + +* 修复：回测时，订阅多合约 K 线时，成交可能不符合预期的问题 +* docs：补充 :py:class:`~tqsdk.TqZq` 文档 + + 3.5.3 (2024/02/23) * 修复：使用 :py:class:`~tqsdk.TargetPosScheduler`，并且最后一项调仓目标为 0 时，可能出现任务无法结束的问题 @@ -25,7 +31,7 @@ 3.5.0 (2024/01/18) * 新增：行情增加外盘主连合约，通过 ``api.query_quotes(exchange_id=['KQD'])`` 查询外盘合约，外盘合约地址参考 :ref:`kqd_symbol` -* 新增：:py:meth:`~tqsdk.TqZq` 众期账户类型，支持连接众期服务器交易 +* 新增：:py:class:`~tqsdk.TqZq` 众期账户类型，支持连接众期服务器交易 * 优化：:py:meth:`~tqsdk.TqApi.query_quotes` 函数 ins_class、exchange_id、product_id 参数支持 list * 修复：ticks 回测时，可能出现账户结算信息为 nan 的问题 diff --git a/setup.py b/setup.py index 5a8a1eff..701b762f 100644 --- a/setup.py +++ b/setup.py @@ -8,7 +8,7 @@ setuptools.setup( name='tqsdk', - version="3.5.3", + version="3.5.4", description='TianQin SDK', author='TianQin', author_email='tianqincn@gmail.com', diff --git a/tqsdk/__version__.py b/tqsdk/__version__.py index 455727c5..17553bb1 100644 --- a/tqsdk/__version__.py +++ b/tqsdk/__version__.py @@ -1 +1 @@ -__version__ = '3.5.3' +__version__ = '3.5.4' diff --git a/tqsdk/api.py b/tqsdk/api.py index 7bcbe909..6824f4fd 100644 --- a/tqsdk/api.py +++ b/tqsdk/api.py @@ -79,7 +79,7 @@ from .__version__ import __version__ -UnionTradeable = Union[TqAccount, TqKq, TqKqStock, TqSim, TqSimStock] +UnionTradeable = Union[TqAccount, TqKq, TqZq, TqKqStock, TqSim, TqSimStock] class TqApi(TqBaseApi): @@ -1339,7 +1339,7 @@ def _get_insert_order_future_pack(self, symbol, direction, offset, volume, limit } if limit_price == "BEST" or limit_price == "FIVELEVEL": if exchange_id != "CFFEX": - raise Exception(f"{symbol} 不支持 {limit_price} 市价单，请修改 limit_price 参数。仅中金所支持 BESE / FIVELEVEL") + raise Exception(f"{symbol} 不支持 {limit_price} 市价单，请修改 limit_price 参数。仅中金所支持 BEST / FIVELEVEL") if exchange_id in ["CFFEX"] and advanced == "FOK": raise Exception(f"{symbol} 不支持 advanced 为 \"FOK\"。中金所不支持在指定 BEST / FIVELEVEL 的情况下使用 FOK 。") msg["price_type"] = limit_price diff --git a/tqsdk/backtest/backtest.py b/tqsdk/backtest/backtest.py index 010a7f3f..173d4e17 100644 --- a/tqsdk/backtest/backtest.py +++ b/tqsdk/backtest/backtest.py @@ -127,6 +127,14 @@ async def _run(self, api, sim_send_chan, sim_recv_chan, md_send_chan, md_recv_ch } self._sended_to_api = {} # 已经发给 api 的 rangeset (symbol, dur)，只记录了 kline self._serials = {} # 所有用户请求的 chart 序列，如果用户订阅行情，默认请求 1 分钟 Kline + # key 为 (ins, dur) + # value 为 dict，包含以下属性 + # timestamp: 当前 serial 最新的时间戳 + # diff: 当前 serial 生成的 diff, + # kline_or_tick: 当前 serial 计算行情对应的 kline 或者 tick + # when: 'TICK' 表示由 tick 产生的行情，'OPEN' | 'CLOSE' 是 kline 开盘或者收盘时的行情 + # chart_id_set: 记录当前 serial 对应的所有 chart_id + # gc 是会循环 self._serials，来计算用户需要的数据，self._serials 不应该被删除， self._generators = {} # 所有用户请求的 chart 序列相应的 generator 对象，创建时与 self._serials 一一对应，会在一个序列计算到最后一根 kline 时被删除 self._had_any_generator = False # 回测过程中是否有过 generator 对象 @@ -284,18 +292,7 @@ async def _send_snapshot(self): async def _send_diff(self): """发送数据到 api, 如果 self._diffs 不为空则发送 self._diffs, 不推进行情时间, 否则将时间推进一格, 并发送对应的行情""" if self._pending_peek: - if not self._diffs: - quotes = await self._generator_diffs(False) - else: - quotes = await self._generator_diffs(True) - for ins, diff in quotes.items(): - self._quotes[ins]["sended_init_quote"] = True - for d in diff: - self._diffs.append({ - "quotes": { - ins: d - } - }) + await self._generator_diffs(True if self._diffs else False) if self._diffs: # 发送数据集中添加 backtest 字段，开始时间、结束时间、当前时间，表示当前行情推进是由 backtest 推进 self._diffs.append({"_tqsdk_backtest": self._get_backtest_time()}) @@ -335,18 +332,12 @@ async def _generator_diffs(self, keep_current): keep_current 为 True 表示不会推进行情，为 False 表示需要推进行情 即 self._diffs 为 None 并且 keep_current = True 会推进行情 """ - quotes = {} + quotes_helper = {} # 记录生成行情信息的辅助信息, 用于计算最后返回 quote_diffs while self._generators: # self._generators 存储了 generator，self._serials 记录一些辅助的信息 min_request_key = min(self._generators.keys(), key=lambda serial: self._serials[serial]["timestamp"]) timestamp = self._serials[min_request_key]["timestamp"] # 所有已订阅数据中的最小行情时间 - quotes_diff = self._serials[min_request_key]["quotes"] - if timestamp < self._current_dt and self._quotes.get(min_request_key[0], {}).get("sended_init_quote"): - # 先订阅 A 合约，再订阅 A 合约日线，那么 A 合约的行情时间会回退: 2021-01-04 09:31:59.999999 -> 2021-01-01 18:00:00.000000 - # 如果当前 timestamp 小于 _current_dt，那么这个 quote_diff 不需要发到下游 - # 如果先订阅 A 合约（有夜盘），时间停留在夜盘开始时间， 再订阅 B 合约（没有夜盘），那么 B 合约的行情（前一天收盘时间）应该发下去， - # 否则 get_quote(B) 等到收到行情才返回，会直接把时间推进到第二天白盘。 - quotes_diff = None + is_before_current_dt = timestamp < self._current_dt # 生成这笔行情的时间是否小于当前回测时间 # 推进时间，一次只会推进最多一个(补数据时有可能是0个)行情时间，并确保<=该行情时间的行情都被发出 # 如果行情时间大于当前回测时间 则 判断是否diff中已有数据；否则表明此行情时间的数据未全部保存在diff中，则继续append if timestamp > self._current_dt: @@ -363,9 +354,13 @@ async def _generator_diffs(self, keep_current): rs = self._sended_to_api.setdefault((symbol, int(dur)), []) kid = int(kid) self._sended_to_api[(symbol, int(dur))] = _rangeset_range_union(rs, (kid, kid + 1)) - quote_info = self._quotes[min_request_key[0]] - if quotes_diff and (quote_info["min_duration"] != 0 or min_request_key[1] == 0): - quotes[min_request_key[0]] = quotes_diff + # 记录用于生成 quote 的信息 + quotes_helper[min_request_key] = { + "timestamp": timestamp, + "kline_or_tick": self._serials[min_request_key]["kline_or_tick"], + "when": self._serials[min_request_key]["when"], + "is_before_current_dt": is_before_current_dt, + } await self._fetch_serial(min_request_key) if self._had_any_generator and not self._generators and not self._diffs: # 当无可发送数据时则抛出BacktestFinished例外,包括未订阅任何行情 或 所有已订阅行情的最后一笔行情获取完成 self._api._print("回测结束") @@ -378,7 +373,42 @@ async def _generator_diffs(self, keep_current): }) await self._api._wait_until_idle() raise BacktestFinished(self._api) from None - return quotes + # 把 quote 对应的 diffs 添加到 self._diffs 中 + self._generator_quotes_diffs(quotes_helper) # 生成 quotes_diffs + + def _generator_quotes_diffs(self, quotes_helper) -> dict: + """ + _generator_diffs 之后批量生成 quotes_diffs，支持只有最小周期 Kline 生成 high low 对应行情 + https://shinnytech.atlassian.net/wiki/spaces/~245981717/pages/1527349338/tqsdk+high+low + """ + for key in quotes_helper.keys(): + ins, dur = key + symbol = ins.split(",")[0] + if quotes_helper[key]["is_before_current_dt"] and self._quotes.get(symbol, {}).get("sended_init_quote"): + # 先订阅 A 合约，再订阅 A 合约日线，那么 A 合约的行情时间会回退: 2021-01-04 09:31:59.999999 -> 2021-01-01 18:00:00.000000 + # 如果当前 timestamp 小于 _current_dt，那么这个 quote_diff 不需要发到下游 + # 如果先订阅 A 合约（有夜盘），时间停留在夜盘开始时间， 再订阅 B 合约（没有夜盘），那么 B 合约的行情（前一天收盘时间）应该发下去， + # 否则 get_quote(B) 等到收到行情才返回，会直接把时间推进到第二天白盘。 + continue + diffs = None + if self._quotes[symbol]['min_duration'] == 0 and dur == 0: + # tick 生成行情 + tick = quotes_helper[key]["kline_or_tick"] + diffs = TqBacktest._get_quote_diffs_from_tick(symbol, tick) + if self._quotes[symbol]['min_duration'] != 0: + # kline 生成行情 + when = quotes_helper[key]["when"] + timestamp = quotes_helper[key]["timestamp"] # quote 行情时间 + kline = quotes_helper[key]["kline_or_tick"] + quote_info = self._data["quotes"][symbol] + froms = ["open"] if when == "OPEN" else ["close"] + if when == "CLOSE" and self._quotes[symbol]['min_duration'] == dur: + # kline 生成 quote 数据，只有该合约订阅的最小周期会生成 high low 对应的行情 + froms = ["high", "low", "close"] + diffs = TqBacktest._get_quote_diffs_from_kline(symbol, quote_info['price_tick'], timestamp, kline, froms) + if diffs: + self._quotes[symbol]["sended_init_quote"] = True + self._diffs.extend(diffs) def _get_backtest_time(self) -> dict: if self._is_first_send: @@ -395,7 +425,8 @@ def _get_backtest_time(self) -> dict: async def _ensure_serial(self, ins, dur, chart_id=None): if (ins, dur) not in self._serials: - quote = self._quotes.setdefault(ins, { # 在此处设置 min_duration: 每次生成K线的时候会自动生成quote, 记录某一合约的最小duration + symbol = ins.split(',')[0] + quote = self._quotes.setdefault(symbol, { # 在此处设置 min_duration: 每次生成K线的时候会自动生成quote, 记录某一合约的最小duration "min_duration": dur }) quote["min_duration"] = min(quote["min_duration"], dur) @@ -418,23 +449,23 @@ async def _ensure_query(self, pack): while not query_pack.items() <= self._data.get("symbols", {}).get(pack["query_id"], {}).items(): await update_chan.recv() - async def _ensure_quote(self, ins): + async def _ensure_quote(self, symbol): # 在接新版合约服务器后，合约信息程序运行过程中查询得到的，这里不再能保证合约一定存在，需要添加 quote 默认值 - quote = _get_obj(self._data, ["quotes", ins], BtQuote(self._api)) + quote = _get_obj(self._data, ["quotes", symbol], BtQuote(self._api)) if math.isnan(quote.get("price_tick")): - query_pack = _query_for_quote(ins) + query_pack = _query_for_quote(symbol) await self._md_send_chan.send(query_pack) async with TqChan(self._api, last_only=True) as update_chan: quote["_listener"].add(update_chan) while math.isnan(quote.get("price_tick")): await update_chan.recv() - if ins not in self._quotes or self._quotes[ins]["min_duration"] > 60000000000: - await self._ensure_serial(ins, 60000000000) + if symbol not in self._quotes or self._quotes[symbol]["min_duration"] > 60000000000: + await self._ensure_serial(symbol, 60000000000) async def _fetch_serial(self, key): s = self._serials[key] try: - s["timestamp"], s["diff"], s["quotes"] = await self._generators[key].__anext__() + s["timestamp"], s["diff"], s["kline_or_tick"], s["when"] = await self._generators[key].__anext__() except StopAsyncIteration: del self._generators[key] # 删除一个行情时间超过结束时间的 generator @@ -516,7 +547,7 @@ async def _gen_serial(self, ins, dur): } if item["datetime"] > self._end_dt: # 超过结束时间 return - yield item["datetime"], diff, self._get_quotes_from_tick(item) + yield item["datetime"], diff, item, "TICK" else: timestamp = item["datetime"] if dur < 86400000000000 else _get_trading_day_start_time( item["datetime"]) @@ -575,10 +606,7 @@ async def _gen_serial(self, ins, dur): } } } - yield timestamp, diff, self._get_quotes_from_kline_open( - self._data["quotes"][symbol_list[0]], - timestamp, - item) # K线刚生成时的数据都为开盘价 + yield timestamp, diff, item, "OPEN" # K线刚生成时的数据都为开盘价 timestamp = item["datetime"] + dur - 1000 \ if dur < 86400000000000 else _get_trading_day_start_time(item["datetime"] + dur) - 1000 if timestamp > self._end_dt: # 超过结束时间 @@ -607,11 +635,7 @@ async def _gen_serial(self, ins, dur): } } } - is_min_dur = dur == self._quotes[symbol]["min_duration"] - yield timestamp, diff, self._get_quotes_from_kline(self._data["quotes"][symbol_list[0]], - timestamp, - item, - is_min_dur) # K线结束时生成quote数据 + yield timestamp, diff, item, "CLOSE" # K线结束时生成quote数据 current_id += 1 finally: # 释放chart资源 @@ -673,72 +697,57 @@ def _gc_data(self): return {"klines": gc_klines_diff} @staticmethod - def _get_quotes_from_tick(tick): + def _get_quote_diffs_from_tick(symbol, tick): quote = {k: v for k, v in tick.items()} quote["datetime"] = _timestamp_nano_to_str(tick["datetime"]) - return [quote] - - @staticmethod - def _get_quotes_from_kline_open(info, timestamp, kline): - return [ - { # K线刚生成时的数据都为开盘价 - "datetime": _timestamp_nano_to_str(timestamp), - "ask_price1": kline["open"] + info["price_tick"], - "ask_volume1": 1, - "bid_price1": kline["open"] - info["price_tick"], - "bid_volume1": 1, - "last_price": kline["open"], - "highest": float("nan"), - "lowest": float("nan"), - "average": float("nan"), - "volume": 0, - "amount": float("nan"), - "open_interest": kline["open_oi"], - }, - ] + return [{ + "quotes": { + symbol: quote + } + }] @staticmethod - def _get_quotes_from_kline(info, timestamp, kline, is_min_dur): + def _get_quote_diffs_from_kline(symbol, price_tick, timestamp, kline, froms: list): """ + 根据 kline 生成 quote + froms: 列表，每一项为以下 "open", "high", "low", "close" 之一，表示根据哪个价格生成 quote 盘口； + 其中最后一项只能是 open 或 close，表示生成 quote 的最新价 + 分为三个包发给下游： 1. 根据 diff 协议，对于用户收到的最终结果没有影响 2. TqSim 撮合交易会按顺序处理收到的包，分别比较 high、low、close 三个价格对应的买卖价 3. TqSim 撮合交易只用到了买卖价，所以最新价只产生一次 close，而不会发送三次 4. 最高最低仅用于 TqSim 撮合交易，由最小周期生成 """ - if is_min_dur: - return [{ - "datetime": _timestamp_nano_to_str(timestamp), - "ask_price1": kline["high"] + info["price_tick"], - "ask_volume1": 1, - "bid_price1": kline["high"] - info["price_tick"], - "bid_volume1": 1, - "last_price": kline["close"], - "highest": float("nan"), - "lowest": float("nan"), - "average": float("nan"), - "volume": 0, - "amount": float("nan"), - "open_interest": kline["close_oi"], - }, { - "ask_price1": kline["low"] + info["price_tick"], - "bid_price1": kline["low"] - info["price_tick"], - }, { - "ask_price1": kline["close"] + info["price_tick"], - "bid_price1": kline["close"] - info["price_tick"], - }] - else: - return [{ - "datetime": _timestamp_nano_to_str(timestamp), - "ask_price1": kline["close"] + info["price_tick"], - "ask_volume1": 1, - "bid_price1": kline["close"] - info["price_tick"], - "bid_volume1": 1, - "last_price": kline["close"], - "highest": float("nan"), - "lowest": float("nan"), - "average": float("nan"), - "volume": 0, - "amount": float("nan"), - "open_interest": kline["close_oi"], - }] + diffs = [] + assert froms[-1] in ["open", "close"] + for index, key in enumerate(froms): + if index == 0: + diffs.append({ + "quotes": { + symbol: { + "datetime": _timestamp_nano_to_str(timestamp), + "ask_price1": kline[key] + price_tick, + "ask_volume1": 1, + "bid_price1": kline[key] - price_tick, + "bid_volume1": 1, + "last_price": kline[froms[-1]], + "highest": float("nan"), + "lowest": float("nan"), + "average": float("nan"), + "volume": 0, + "amount": float("nan"), + "open_interest": kline[f'{froms[-1]}_oi'], + } + } + }) + else: + diffs.append({ + "quotes": { + symbol: { + "ask_price1": kline[key] + price_tick, + "bid_price1": kline[key] - price_tick, + } + } + }) + return diffs diff --git a/tqsdk/multiaccount.py b/tqsdk/multiaccount.py index e9e93760..cb021105 100644 --- a/tqsdk/multiaccount.py +++ b/tqsdk/multiaccount.py @@ -27,7 +27,7 @@ class TqMultiAccount(object): """ - def __init__(self, accounts: Optional[List[Union[TqAccount, TqKq, TqKqStock, TqSim, TqSimStock, TqZq]]] = None): + def __init__(self, accounts: Optional[List[Union[TqAccount, TqKq, TqZq, TqKqStock, TqSim, TqSimStock, TqZq]]] = None): """ 创建 TqMultiAccount 实例