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tradingObjects.py
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from copy import deepcopy
import numpy as np
class null_position(object):
def __init__(self):
self.volume = 0
self.locked_volume = 0
class order_info(object):
def __init__(self, trader_info):
trader_info = deepcopy(trader_info)
self.info = {'A001.PSE':{},'B001.PSE':{},'A002.PSE':{},'B002.PSE':{}}
for orderID, order in trader_info.orders.orders.items():
self.info[order.symbol][orderID] = order
class positions_info(object):
def __init__(self, trader_info):
trader_info = deepcopy(trader_info)
self.info = {'A001.PSE':{'long_positions':null_position(), 'short_positions':null_position()},
'B001.PSE':{'long_positions':null_position(), 'short_positions':null_position()},
'A002.PSE':{'long_positions':null_position(), 'short_positions':null_position()},
'B002.PSE':{'long_positions':null_position(), 'short_positions':null_position()}}
for symbol, pos in trader_info.positions.long_positions.items():
self.info[symbol]['long_positions'] = pos
for symbol, pos in trader_info.positions.short_positions.items():
self.info[symbol]['short_positions'] = pos
class snapshots(object):
def __init__(self, instruments):
instruments = deepcopy(instruments)
for instrument in instruments:
setattr(self, instrument.symbol, instrument)
setattr(self, instrument.symbol + '_digested', False)
self.timestamp = getattr(self, 'A000.PSE').timestamp
def positions_control_notNet(runtime):
for symbol in ['A001.PSE','B001.PSE','A002.PSE','B002.PSE']:
#//开平仓的控制，当最小的头寸小于100的时候就开仓，以防止资产不足。
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
minPos = min(currLongPos,currShortPos)
if minPos < 100:
runtime['isOpen_'+symbol] = True
else:
runtime['isOpen_'+symbol] = False
#//净头寸控制，防止单边累计过多
if currLongPos > currShortPos:
runtime['net_'+symbol] = 1
elif currLongPos < currShortPos:
runtime['net_'+symbol] = -1
else:
runtime['net_'+symbol] = 0
def positions_control_notNet_looped(runtime):
while True:
for symbol in ['A001.PSE','B001.PSE','A002.PSE','B002.PSE']:
#//开平仓的控制，当最小的头寸小于100的时候就开仓，以防止资产不足。
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
minPos = min(currLongPos,currShortPos)
if minPos < 100:
runtime['isOpen_'+symbol] = True
else:
runtime['isOpen_'+symbol] = False
#//净头寸控制，防止单边累计过多
currNetPos = currLongPos - currShortPos
if currNetPos > runtime['targetNetPos_'+symbol]:
runtime['net_'+symbol] = 1
elif currNetPos < runtime['targetNetPos_'+symbol]:
runtime['net_'+symbol] = -1
else:
runtime['net_'+symbol] = 0
class snapshot_arbitrage_container(object):
STATUS_ACTIVATED = 200
STATUS_NONACTIVATED = 630
def __init__(self,length):
self.maxLen = length
self.A002_arr = np.array([np.nan]*length)
self.B002_arr = np.array([np.nan]*length)
self.A002_arr_len = 0
self.B002_arr_len = 0
self.mean_A002 = self.A002_arr.mean()
self.mean_B002 = self.B002_arr.mean()
self.currTS = 0
self.status = self.STATUS_NONACTIVATED
def update(self,snapshot):
#//更新价格序列
if self.A002_arr_len < self.maxLen:
self.A002_arr[self.A002_arr_len] = getattr(snapshot,'A000.PSE').last_price
self.A002_arr_len += 1
else:
self.A002_arr[-1] = getattr(snapshot, 'A000.PSE').last_price
self.A002_arr[:-1] = self.A002_arr[1:]
if self.B002_arr_len < self.maxLen:
self.B002_arr[self.B002_arr_len] = getattr(snapshot,'B000.PSE').last_price
self.B002_arr_len += 1
else:
self.B002_arr[-1] = getattr(snapshot, 'B000.PSE').last_price
self.B002_arr[:-1] = self.B002_arr[1:]
#//更新均价
self.mean_A002 = self.A002_arr.mean()
self.mean_B002 = self.B002_arr.mean()
#//更新时间戳
self.currTS = snapshot.timestamp
self.handle_timestamp()
def handle_timestamp(self):
#//处理时间戳
moded_ts = self.currTS%900
if moded_ts < 820:
self.status = self.STATUS_NONACTIVATED
else:
if (self.A002_arr_len == self.maxLen)&(self.B002_arr_len == self.maxLen):
#//如果数据也充足
self.status = self.STATUS_ACTIVATED
def get_settle_A002(self):
return (self.mean_A002)**2/100
def get_settle_B002(self):
return self.mean_B002**0.5*10
def get_targetNetPos_A002(self):
last_price = self.A002_arr[-1]
if self.get_settle_A002() > last_price:
return 300
elif self.get_settle_A002() < last_price:
return -300
def get_targetNetPos_B002(self):
last_price = self.B002_arr[-1]
if self.get_settle_B002() > last_price:
return 300
elif self.get_settle_B002() < last_price:
return -300
def arbitrage(runtime):
"""
套利进程，进行A002和B002合约的套利
"""
container = snapshot_arbitrage_container(60)
while True:
if runtime['isDigested_arbitrage'] == 0:
snapshot = runtime['snapshots']
runtime['isDigested_arbitrage'] = 1
container.update(snapshot)
#//更新价格序列
if container.status == container.STATUS_ACTIVATED:
#//如果临近结算期，套利机制被激活，则修改仓位控制目标，使仓位向结算套利方向运动。
runtime['targetNetPos_A002.PSE'] = container.get_targetNetPos_A002()
runtime['targetNetPos_B002.PSE'] = container.get_targetNetPos_B002()
else:
runtime['targetNetPos_A002.PSE'] = 0
runtime['targetNetPos_B002.PSE'] = 0
else:
pass
def positions_control_notNet_neutral_looped(runtime):
while True:
for symbol in ['A001.PSE','B001.PSE','A002.PSE','B002.PSE']:
#//开平仓的控制，当最小的头寸小于100的时候就开仓，以防止资产不足。
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
minPos = min(currLongPos,currShortPos)
if minPos < 100:
runtime['isOpen_'+symbol] = True
else:
runtime['isOpen_'+symbol] = False
#//净头寸控制，防止单边累计过多
runtime['net_'+symbol] = 0
"""
if currLongPos > currShortPos:
runtime['net_'+symbol] = 1
elif currLongPos < currShortPos:
runtime['net_'+symbol] = -1
else:
runtime['net_'+symbol] = 0
"""
class price_arr(object):
mid_price = np.array([[-0.07,-0.05],
[ 0.05, 0.07]])
mid_volume = np.array([[10,10],
[10,10]])