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trading.py
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"""
//Filename: trading.py
//交易策略：固定形态平移策略
"""
import proto_wrapper as api
import broker_pb2
import grpc
import common_pb2
import broker_pb2_grpc
import threading
from multiprocessing import Process, Queue, Manager
import multiprocessing
#multiprocessing.set_start_method('spawn')
import os
import numpy as np
from time import ctime, sleep, time_ns
import tradingObjects
"""
配置背景参数。
"""
ID = 24
PIN = 'jY0RyHyK9'
CHANNEL_BROKER = grpc.insecure_channel('113.208.112.25:57524')
CHANNEL_DATA = grpc.insecure_channel('113.208.112.25:57600')
broker_stub = broker_pb2_grpc.BrokerStub(CHANNEL_BROKER)
data_stub = broker_pb2_grpc.MarketDataStub(CHANNEL_DATA)
#//创建客户端
data_stream = data_stub.subscribe(broker_pb2.TraderRequest(trader_id = ID, trader_pin = PIN))
#//获取行情流对象
api.set_stub(broker_stub, data_stub)
api.set_stream(data_stream)
#//设置api客户端
price_arr_A001 = np.array([[-0.05],[0.05]])
volume_arr_A001 = np.array([[30],[30]])
price_arr_A002 = np.array([[-0.05],[0.05]])
volume_arr_A002 = np.array([[30],[30]])
price_arr_B001 = np.array([[-0.05],[0.05]])
volume_arr_B001 = np.array([[30],[30]])
price_arr_B002 = np.array([[-0.05],[0.05]])
volume_arr_B002 = np.array([[30],[30]])
def initStrategy(runtime):
"""
初始化策略。
"""
#api.cancel_all()
#api.close_all_at_market()
runtime['trader_info_full'] = api.get_trader_full()
runtime['account_info'] = runtime['trader_info_full'].account
runtime['order_info'] = tradingObjects.order_info(runtime['trader_info_full'])
runtime['positions_info'] = tradingObjects.positions_info(runtime['trader_info_full'])
runtime['TARGETS_MAPPING'] = {'A001.PSE':'A000.PSE','A002.PSE':'A000.PSE','B001.PSE':'B000.PSE','B002.PSE':'B000.PSE'}
runtime['snapshots_count'] = 0
runtime['snapshots'] = tradingObjects.snapshots(data_stream.next().instruments)
runtime['isOpen_A001.PSE'] = True
runtime['isOpen_A002.PSE'] = True
runtime['isOpen_B001.PSE'] = True
runtime['isOpen_B002.PSE'] = True
runtime['loopCount_A001.PSE'] = 0
runtime['loopCount_A002.PSE'] = 0
runtime['loopCount_B001.PSE'] = 0
runtime['loopCount_B002.PSE'] = 0
runtime['trader_info_count'] = 0
runtime['net_A001.PSE'] = 0
runtime['net_A002.PSE'] = 0
runtime['net_B001.PSE'] = 0
runtime['net_B002.PSE'] = 0
runtime['isDigested_A001.PSE'] = 0
runtime['isDigested_A002.PSE'] = 0
runtime['isDigested_B001.PSE'] = 0
runtime['isDigested_B002.PSE'] = 0
runtime['isDigested_arbitrage'] = 0
runtime['targetNetPos_A001.PSE'] = 0
runtime['targetNetPos_A002.PSE'] = 0
runtime['targetNetPos_B001.PSE'] = 0
runtime['targetNetPos_B002.PSE'] = 0
def update_trader_info(runtime):
"""
更新账户信息。
"""
#//update trader info
runtime['trader_info_full'] = broker_stub.get_trader(api.TraderRequest_get_trader_full())
runtime['account_info'] = runtime['trader_info_full'].account
runtime['order_info'] = tradingObjects.order_info(runtime['trader_info_full'])
runtime['positions_info'] = tradingObjects.positions_info(runtime['trader_info_full'])
runtime['trader_info_count'] += 1
def update_trader_info_looped(runtime):
"""
循环版本更新账户信息。
"""
while True:
runtime['trader_info_full'] = broker_stub.get_trader(api.TraderRequest_get_trader_full())
runtime['account_info'] = runtime['trader_info_full'].account
runtime['order_info'] = tradingObjects.order_info(runtime['trader_info_full'])
runtime['positions_info'] = tradingObjects.positions_info(runtime['trader_info_full'])
runtime['trader_info_count'] += 1
def update_snapshots(runtime):
"""
更新市场信息。
"""
runtime['snapshots'] = tradingObjects.snapshots(data_stream.next().instruments)
runtime['isDigested_A001.PSE'] = 0
runtime['isDigested_A002.PSE'] = 0
runtime['isDigested_B001.PSE'] = 0
runtime['isDigested_B002.PSE'] = 0
runtime['isDigested_arbitrage'] = 0
runtime['snapshots_count'] += 1
def positions_control(runtime):
for symbol in ['A001.PSE','B001.PSE','A002.PSE','B002.PSE']:
positions_info = runtime['positions_info'].info[symbol]
currLongPos = positions_info['long_positions'].volume + positions_info['long_positions'].locked_volume
currShortPos = positions_info['short_positions'].volume + positions_info['short_positions'].locked_volume
#//首先进行市场中性平仓
if currLongPos - currShortPos > 100:
response = broker_stub.new_order(api.TraderRequest_new_order(symbol,1,0,currLongPos-currShortPos,is_market=True))
print(response)
#//之后进行开平仓控制
if currShortPos + 100 > 200:
runtime['isOpen_'+symbol] = False
else:
runtime['isOpen_'+symbol] = True
elif currShortPos - currLongPos > 100:
response = broker_stub.new_order(api.TraderRequest_new_order(symbol,0,1,currShortPos-currLongPos,is_market=True))
print(response)
#//之后进行开平仓控制
if currLongPos + 100 > 200:
runtime['isOpen_'+symbol] = False
else:
runtime['isOpen_'+symbol] = True
def func_order_info2level(order_info):
"""
将目前的挂单信息转化为price-volume字典
"""
buy_level_dict = {}
sell_level_dict = {}
for order in order_info.values():
if order.side == 0:
try:
buy_level_dict[order.init_price]['total_volume'] += order.init_volume
buy_level_dict[order.init_price]['order_IDs'].append(order.order_id)
except:
buy_level_dict[order.init_price] = {'total_volume': order.init_volume, 'order_IDs':[]}
else:
try:
sell_level_dict[order.init_price]['total_volume'] += order.init_volume
sell_level_dict[order.init_price]['order_IDs'].append(order.order_id)
except:
sell_level_dict[order.init_price] = {'total_volume': order.init_volume, 'order_IDs':[]}
return (buy_level_dict,sell_level_dict)
def func_calc_order_delta(curr_level_dict, trm_level_dict):
"""
根据旧的price-volume字典和目标字典，计算所需的更新操作。
需要注意买卖方向的一致性，即如果当前字典为bid单字典，那么trm字典也需要为买单字典，
这样返回值表示需要补上的买单和需要撤掉的买单。
"""
old = curr_level_dict.copy()
new_orders = [] #//需要下的单
cancel_order_id = [] #//需要撤掉的单
for price, volume in trm_level_dict.items():
if price in old:
v_delta = volume - old[price]['total_volume']
if v_delta > 0 :
new_orders.append((price, v_delta))
del old[price]
else:
new_orders.append((price, volume))
#//此时old中剩余的订单需要全部撤单。
for level in old.values():
cancel_order_id += level['order_IDs']
return (new_orders, cancel_order_id)
def trading_A001(runtime):
"""
price_arr = np.array([[-0.15,-0.13,-0.11,-0.1,-0.07,-0.05],
[ 0.05, 0.07, 0.1, 0.11, 0.13, 0.15]])
volume_arr = np.array([[10,6,2,2,4,6],
[6,4,2,2,6,10]])
"""
price_arr = price_arr_A001
volume_arr = volume_arr_A001
#old_price = 99
while True:
if runtime['isDigested_A001.PSE'] == 0:
snapshot = getattr(runtime['snapshots'],'A001.PSE')
runtime['isDigested_A001.PSE'] = 1
last_price = snapshot.last_price
#if abs(last_price - old_price) >= 0.4:
# old_price = last_price
# continue
#old_price = last_price
bid1 = snapshot.bid_levels[0].price
ask1 = snapshot.ask_levels[0].price
if runtime['net_A001.PSE'] == 1:
buy_trm = dict(zip(price_arr[0,:] + bid1 - 0.02, volume_arr[0,:]))
sell_trm = dict(zip(price_arr[1,:] + bid1 - 0.02, volume_arr[1,:]))
elif runtime['net_A001.PSE'] == -1:
buy_trm = dict(zip(price_arr[0,:] + ask1 + 0.02, volume_arr[0,:]))
sell_trm = dict(zip(price_arr[1,:] + bid1 + 0.02, volume_arr[1,:]))
else:
buy_trm = dict(zip(price_arr[0,:] + last_price, volume_arr[0,:]))
sell_trm = dict(zip(price_arr[1,:] + last_price, volume_arr[1,:]))
curr_buy_order_info, curr_sell_order_info = func_order_info2level(runtime['order_info'].info['A001.PSE'])
#//计算订单更新
order_to_cancel = []
buy_new_orders, tmp = func_calc_order_delta(curr_buy_order_info, buy_trm)
order_to_cancel += tmp
sell_new_orders, tmp = func_calc_order_delta(curr_sell_order_info, sell_trm)
order_to_cancel += tmp
buy_new_orders = sorted(buy_new_orders, key = lambda x:x[0], reverse = True)
sell_new_orders = sorted(sell_new_orders, key = lambda x:x[0], reverse = True)
#//计算下单
maxLen = max(len(buy_new_orders), len(sell_new_orders))
for i in range(maxLen):
if runtime['isOpen_A001.PSE']:
#//开平仓控制
try:
buy_new_order = buy_new_orders[i]
broker_stub.new_order(api.TraderRequest_new_order('A001.PSE',0,0,buy_new_order[1],buy_new_order[0]))
except:
pass
try:
sell_new_order = sell_new_orders[i]
broker_stub.new_order(api.TraderRequest_new_order('A001.PSE',1,1,sell_new_order[1],sell_new_order[0]))
except:
pass
else:
try:
buy_new_order = buy_new_orders[i]
broker_stub.new_order(api.TraderRequest_new_order('A001.PSE',0,1,buy_new_order[1],buy_new_order[0]))
except:
pass
try:
sell_new_order = sell_new_orders[i]
broker_stub.new_order(api.TraderRequest_new_order('A001.PSE',1,0,sell_new_order[1],sell_new_order[0]))
except:
pass
#//进行撤单
for order_id in order_to_cancel:
broker_stub.cancel_order(api.TraderRequest_cancel_order(order_id))
print('A001.PSE完成一次操作循环！')
runtime['loopCount_A001.PSE'] += 1
def trading_A002(runtime):
"""
price_arr = np.array([[-0.15,-0.13,-0.11,-0.1,-0.07,-0.05],
[ 0.05, 0.07, 0.1, 0.11, 0.13, 0.15]])
volume_arr = np.array([[10,6,2,2,4,6],
[6,4,2,2,6,10]])
"""
price_arr = price_arr_A002
volume_arr = volume_arr_A002
#old_price = 99
while True:
if runtime['isDigested_A002.PSE'] == 0:
snapshot = getattr(runtime['snapshots'],'A002.PSE')
runtime['isDigested_A002.PSE'] = 1
last_price = snapshot.last_price
#if abs(last_price - old_price) >= 0.4:
# old_price = last_price
# continue
#old_price = last_price
bid1 = snapshot.bid_levels[0].price
ask1 = snapshot.ask_levels[0].price
if runtime['net_A002.PSE'] == 1:
buy_trm = dict(zip(price_arr[0,:] + bid1 - 0.02, volume_arr[0,:]))
sell_trm = dict(zip(price_arr[1,:] + bid1 - 0.02, volume_arr[1,:]))
elif runtime['net_A002.PSE'] == -1:
buy_trm = dict(zip(price_arr[0,:] + ask1 + 0.02, volume_arr[0,:]))
sell_trm = dict(zip(price_arr[1,:] + bid1 + 0.02, volume_arr[1,:]))
else:
buy_trm = dict(zip(price_arr[0,:] + last_price, volume_arr[0,:]))
sell_trm = dict(zip(price_arr[1,:] + last_price, volume_arr[1,:]))
curr_buy_order_info, curr_sell_order_info = func_order_info2level(runtime['order_info'].info['A002.PSE'])
#//计算订单更新
order_to_cancel = []
buy_new_orders, tmp = func_calc_order_delta(curr_buy_order_info, buy_trm)
order_to_cancel += tmp
sell_new_orders, tmp = func_calc_order_delta(curr_sell_order_info, sell_trm)
order_to_cancel += tmp
buy_new_orders = sorted(buy_new_orders, key = lambda x:x[0], reverse = True)
sell_new_orders = sorted(sell_new_orders, key = lambda x:x[0], reverse = True)
#//计算下单
maxLen = max(len(buy_new_orders), len(sell_new_orders))
for i in range(maxLen):
if runtime['isOpen_A002.PSE']:
#//开平仓控制
try:
buy_new_order = buy_new_orders[i]
broker_stub.new_order(api.TraderRequest_new_order('A002.PSE',0,0,buy_new_order[1],buy_new_order[0]))
except:
pass
try:
sell_new_order = sell_new_orders[i]
broker_stub.new_order(api.TraderRequest_new_order('A002.PSE',1,1,sell_new_order[1],sell_new_order[0]))
except:
pass
else:
try:
buy_new_order = buy_new_orders[i]
broker_stub.new_order(api.TraderRequest_new_order('A002.PSE',0,1,buy_new_order[1],buy_new_order[0]))
except:
pass
try:
sell_new_order = sell_new_orders[i]
broker_stub.new_order(api.TraderRequest_new_order('A002.PSE',1,0,sell_new_order[1],sell_new_order[0]))
except:
pass
#//进行撤单
for order_id in order_to_cancel:
broker_stub.cancel_order(api.TraderRequest_cancel_order(order_id))
print('A002.PSE完成一次操作循环！')
runtime['loopCount_A002.PSE'] += 1
def trading_B001(runtime):
"""
price_arr = np.array([[-0.15,-0.13,-0.11,-0.1,-0.07,-0.05],
[ 0.05, 0.07, 0.1, 0.11, 0.13, 0.15]])
volume_arr = np.array([[10,6,2,2,4,6],
[6,4,2,2,6,10]])
"""
price_arr = price_arr_B001
volume_arr = volume_arr_B001
#old_price = 99
while True:
if runtime['isDigested_B001.PSE'] == 0:
snapshot = getattr(runtime['snapshots'],'B001.PSE')
runtime['isDigested_B001.PSE'] = 1
last_price = snapshot.last_price
#if abs(last_price - old_price) >= 0.4:
# old_price = last_price
# continue
#old_price = last_price
bid1 = snapshot.bid_levels[0].price
ask1 = snapshot.ask_levels[0].price
if runtime['net_B001.PSE'] == 1:
buy_trm = dict(zip(price_arr[0,:] + bid1 - 0.02, volume_arr[0,:]))
sell_trm = dict(zip(price_arr[1,:] + bid1 - 0.02, volume_arr[1,:]))
elif runtime['net_B001.PSE'] == -1:
buy_trm = dict(zip(price_arr[0,:] + ask1 + 0.02, volume_arr[0,:]))
sell_trm = dict(zip(price_arr[1,:] + bid1 + 0.02, volume_arr[1,:]))
else:
buy_trm = dict(zip(price_arr[0,:] + last_price, volume_arr[0,:]))
sell_trm = dict(zip(price_arr[1,:] + last_price, volume_arr[1,:]))
curr_buy_order_info, curr_sell_order_info = func_order_info2level(runtime['order_info'].info['B001.PSE'])
#//计算订单更新
order_to_cancel = []
buy_new_orders, tmp = func_calc_order_delta(curr_buy_order_info, buy_trm)
order_to_cancel += tmp
sell_new_orders, tmp = func_calc_order_delta(curr_sell_order_info, sell_trm)
order_to_cancel += tmp
buy_new_orders = sorted(buy_new_orders, key = lambda x:x[0], reverse = True)
sell_new_orders = sorted(sell_new_orders, key = lambda x:x[0], reverse = True)
#//计算下单
maxLen = max(len(buy_new_orders), len(sell_new_orders))
for i in range(maxLen):
if runtime['isOpen_B001.PSE']:
#//开平仓控制
try:
buy_new_order = buy_new_orders[i]
broker_stub.new_order(api.TraderRequest_new_order('B001.PSE',0,0,buy_new_order[1],buy_new_order[0]))
except:
pass
try:
sell_new_order = sell_new_orders[i]
broker_stub.new_order(api.TraderRequest_new_order('B001.PSE',1,1,sell_new_order[1],sell_new_order[0]))
except:
pass
else:
try:
buy_new_order = buy_new_orders[i]
broker_stub.new_order(api.TraderRequest_new_order('B001.PSE',0,1,buy_new_order[1],buy_new_order[0]))
except:
pass
try:
sell_new_order = sell_new_orders[i]
broker_stub.new_order(api.TraderRequest_new_order('B001.PSE',1,0,sell_new_order[1],sell_new_order[0]))
except:
pass
#//进行撤单
for order_id in order_to_cancel:
broker_stub.cancel_order(api.TraderRequest_cancel_order(order_id))
print('B001.PSE完成一次操作循环！')
runtime['loopCount_B001.PSE'] += 1
def trading_B002(runtime):
"""
price_arr = np.array([[-0.15,-0.13,-0.11,-0.1,-0.07,-0.05],
[ 0.05, 0.07, 0.1, 0.11, 0.13, 0.15]])
volume_arr = np.array([[10,6,2,2,4,6],
[6,4,2,2,6,10]])
"""
price_arr = price_arr_B002
volume_arr = volume_arr_B002
#old_price = 99
while True:
if runtime['isDigested_B002.PSE'] == 0:
snapshot = getattr(runtime['snapshots'],'B002.PSE')
runtime['isDigested_B002.PSE'] = 1
last_price = snapshot.last_price
#if abs(last_price - old_price) >= 0.4:
# old_price = last_price
# continue
#old_price = last_price
bid1 = snapshot.bid_levels[0].price
ask1 = snapshot.ask_levels[0].price
if runtime['net_B002.PSE'] == 1:
buy_trm = dict(zip(price_arr[0,:] + bid1 - 0.02, volume_arr[0,:]))
sell_trm = dict(zip(price_arr[1,:] + bid1 - 0.02, volume_arr[1,:]))
elif runtime['net_B002.PSE'] == -1:
buy_trm = dict(zip(price_arr[0,:] + ask1 + 0.02, volume_arr[0,:]))
sell_trm = dict(zip(price_arr[1,:] + bid1 + 0.02, volume_arr[1,:]))
else:
buy_trm = dict(zip(price_arr[0,:] + last_price, volume_arr[0,:]))
sell_trm = dict(zip(price_arr[1,:] + last_price, volume_arr[1,:]))
curr_buy_order_info, curr_sell_order_info = func_order_info2level(runtime['order_info'].info['B002.PSE'])
#//计算订单更新
order_to_cancel = []
buy_new_orders, tmp = func_calc_order_delta(curr_buy_order_info, buy_trm)
order_to_cancel += tmp
sell_new_orders, tmp = func_calc_order_delta(curr_sell_order_info, sell_trm)
order_to_cancel += tmp
buy_new_orders = sorted(buy_new_orders, key = lambda x:x[0], reverse = True)
sell_new_orders = sorted(sell_new_orders, key = lambda x:x[0], reverse = True)
#//计算下单
maxLen = max(len(buy_new_orders), len(sell_new_orders))
for i in range(maxLen):
if runtime['isOpen_B002.PSE']:
#//开平仓控制
try:
buy_new_order = buy_new_orders[i]
broker_stub.new_order(api.TraderRequest_new_order('B002.PSE',0,0,buy_new_order[1],buy_new_order[0]))
except:
pass
try:
sell_new_order = sell_new_orders[i]
broker_stub.new_order(api.TraderRequest_new_order('B002.PSE',1,1,sell_new_order[1],sell_new_order[0]))
except:
pass
else:
try:
buy_new_order = buy_new_orders[i]
broker_stub.new_order(api.TraderRequest_new_order('B002.PSE',0,1,buy_new_order[1],buy_new_order[0]))
except:
pass
try:
sell_new_order = sell_new_orders[i]
broker_stub.new_order(api.TraderRequest_new_order('B002.PSE',1,0,sell_new_order[1],sell_new_order[0]))
except:
pass
#//进行撤单
for order_id in order_to_cancel:
broker_stub.cancel_order(api.TraderRequest_cancel_order(order_id))
print('B002.PSE完成一次操作循环！')
runtime['loopCount_B002.PSE'] += 1
def func_broker(q_req):
broker_stub_ind = broker_pb2_grpc.BrokerStub(CHANNEL_BROKER)
while True:
req = q_req.get(True)
if req[0] == 0:
broker_stub_ind.new_order(req[1])
else:
broker_stub_ind.cancel_order(req[1])
if __name__ == '__main__':
runtime_ = {}
initStrategy(runtime_)
print('策略初始化完成！')
with Manager() as mgr:
runtime = mgr.dict()
runtime.update(runtime_)
"""
q_snapshot_A001 = Queue()
q_snapshot_A002 = Queue()
q_snapshot_B001 = Queue()
q_snapshot_B002 = Queue()
"""
#//创建请求队列
#q_req = Queue()
#//创建并启动分别负责交易四个标的的子进程。
p_A001 = Process(target = trading_A001, args = (runtime,))
p_A002 = Process(target = trading_A002, args = (runtime,))
p_B001 = Process(target = trading_B001, args = (runtime,))
p_B002 = Process(target = trading_B002, args = (runtime,))
"""
p_broker1 = Process(target = func_broker, args = (q_req,))
p_broker2 = Process(target = func_broker, args = (q_req,))
p_broker3 = Process(target = func_broker, args = (q_req,))
p_broker4 = Process(target = func_broker, args = (q_req,))
p_broker5 = Process(target = func_broker, args = (q_req,))
p_broker6 = Process(target = func_broker, args = (q_req,))
p_broker7 = Process(target = func_broker, args = (q_req,))
p_broker8 = Process(target = func_broker, args = (q_req,))
"""
#//启动控制进程
p_update = Process(target = update_trader_info_looped, args = (runtime,))
p_control = Process(target = tradingObjects.positions_control_notNet_looped, args = (runtime,))
p_arbitrage = Process(target = tradingObjects.arbitrage, args = (runtime,))
#//运行master进程，负责获取行情数据并分流给四个trading子进程。
is_first_loop = 1
print_count = 0
while True:
print_count += 1
#//update trader info
#update_trader_info(runtime)
#//update snapshots
update_snapshots(runtime)
#//进行仓位控制
#tradingObjects.positions_control_notNet(runtime)
#//如果是第一轮循环则启动进程
if is_first_loop == 1:
update_trader_info(runtime)
tradingObjects.positions_control_notNet(runtime)
p_update.start()
p_control.start()
"""
p_broker1.start()
p_broker2.start()
p_broker3.start()
p_broker4.start()
p_broker5.start()
p_broker6.start()
p_broker7.start()
p_broker8.start()
"""
p_A001.start()
p_A002.start()
p_B001.start()
p_B002.start()
p_arbitrage.start()
is_first_loop = 0
if print_count%10 == 0:
print(runtime['snapshots_count'],runtime['trader_info_count'])
print(runtime['loopCount_A001.PSE'],runtime['loopCount_A002.PSE'],
runtime['loopCount_B001.PSE'],runtime['loopCount_B002.PSE'])