Skip to main content

Hai Feng Future Trading Platform with SE

Project description

海风

海风py

一款开源的策略开发平台.为用户提供方便易用的策略开发工具.

有问题反馈

在使用中有任何问题,欢迎反馈给我,可以用以下联系方式跟我交流

海风AT的功能

  • 策略编写
    • 提供常用指标
    • 采用HLOC调用K线数据
  • 历史数据
    • 提供每日数据
    • 提供实时数据分钟级服务
    • 提供分笔数据(内网)

运行环境

python >3.6

talib 指标库

hfpy 安装

pip install hfpy

使用

  • 新建目录
  • 创建main.py并复制粘贴下面示例中main的内容
  • 创建strategies子目录
  • 在strategies目录下,创建SMACross.py和SMACross.yml文件【注意大小写】,并复制粘贴示例中对应的代码.
  • 执行 python main.py

开发工具

配置说明

  • json转yaml
  • 项目配置 config.yml
    • 当前工作目录下无此文件时, 首次运行会复制原始配置到此目录下
    • ctp_dll_path 指定接口dll路径
    • stra_path 策略路径[],可多个
      • 按此配置读取相应策略,按ID加载对应的参数
      • 原配置文件中的enable全部放弃(20180227)
  • 策略配置
    • 与策略文件名同名的.yml文件
    • 配置参数组
      • 必须有ID标识(int)
    • TickTest: true
      • 分笔数据回测,需处理数据源及格式
  • 执行
    • 配置 config.yml 中的信息
    • python main.py

策略编写

  • 策略文件名与文件内的类名要一致(区分大小写)
  • 示例
    • strategies/SMACross.py
    • strategies/Test.py
      • 接口调用示例

示例

main.py

#!/usr/bin/env python
# -*- coding: utf-8 -*-
__title__ = '主程序'
__author__ = 'HaiFeng'
__mtime__ = '20180822'

from hfpy.atp import ATP

if __name__ == '__main__':
    ATP().Run()
    while input().lower() != 'q':
        continue

config.yml

---
ctp_config:
    # 为空时不登录
    ctp_front: ''
    investor: '008105'
    password: '1'
    product_info: ''
    app_id: ''
    auth_code: ''
    # 追单设置
    chasing:
        # n秒后不成交则撤单重发[0-不追单]
        wait_seconds: 3
        # 超价重发n个pricetick
        offset_ticks: 2
        # 重发次数,n次重发后仍未成交则[板价发单]
        resend_times: 3
    # ctp前置配置
    fronts:
        sim_now:
            trade: tcp://180.168.146.187:10000
            quote: tcp://180.168.146.187:10010
            broker: '9999'
        ebf:
            trade: tcp://192.168.52.4:41205
            quote: tcp://192.168.52.4:41213
            broker: '6000'
# 数据源 - zmq配置
zmq_config: tcp://broadcast.eicp.net:55881
# 开关
onoff:
    # 是否7*24
    running_as_server: true
    # 是否发送委托
    real_order_enable: false
    # 一根K线只发送一次指令
    single_order_one_bar: true
    # 是否打印行情时间
    show_tick_time: true
# 策略路径配置
stra_path:
    # 路径
    strategies:
        # 策略文件名
        SMACross:
        # 策略配置参数ID
        - 119

SMACross.py

#!/usr/bin/env python
# -*- coding: utf-8 -*-
"""
__title__ = ''
__author__ = 'HaiFeng'
__mtime__ = '2016/8/16'

- talib 安装
  - windows [http://user.qzone.qq.com/24918700/blog/1486954718](http://user.qzone.qq.com/24918700/blog/1486954718)
  - linux [http://user.qzone.qq.com/24918700/blog/1483279805](http://user.qzone.qq.com/24918700/blog/1483279805)
"""
import talib
from hfpy.data import Data
from hfpy.bar import Bar
from hfpy.strategy import Strategy
import numpy as np


class SMACross(Strategy):

    def __init__(self, jsonfile):
        super().__init__(jsonfile)
        self.p_ma1 = self.Params['MA1']
        self.p_ma2 = self.Params['MA2']
        self.p_lots = self.Params['Lots']

    def OnBarUpdate(self, data=Data, bar=Bar):
        if len(self.C) < self.p_ma2:
            return

        # print('{0}-{1}'.format(self.D[-1], self.C[-1]))
        ma1 = talib.SMA(np.array(self.C, dtype=float), self.p_ma1)
        ma2 = talib.SMA(np.array(self.C, dtype=float), self.p_ma2)

        self.IndexDict['ma5'] = ma1
        self.IndexDict['ma10'] = ma2

        if self.PositionLong == 0:
            if ma1[-1] >= ma2[-1] and ma1[-2] < ma2[-2]:
                if self.PositionShort > 0:
                    self.BuyToCover(self.O[-1], self.p_lots, '买平')
                self.Buy(self.O[-1], self.p_lots, '买开')
        elif self.PositionShort == 0:
            if ma1[-1] <= ma2[-1] and ma1[-2] > ma2[-2]:
                if self.PositionLong > 0:
                    self.Sell(self.O[-1], self.p_lots, '卖平')
                self.SellShort(self.O[-1], self.p_lots, '卖开')

SMACross.yml

---
# ID用于区分不同策略实例的委托
- 
    ID: 119
    BeginDate: 20180901
    TickTest: false
    # 可通过增加Data实现多合约多周期引用
    Datas:
    -
        Instrument: j1901
        IntervalType: Minute
        Interval: 5
    Params:
        Lots: 1
        MA1: 10
        MA2: 20
- 
    ID: 120
    BeginDate: 20180901
    Datas:
    - 
        Instrument: rb1901
        IntervalType: Minute
        Interval: 5
    Params:
        Lots: 1
        MA1: 5
        MA2: 60

Test.py

# !/usr/bin/python
# -*- coding: utf-8 -*-
"""
__title__ = ''
__author__ = 'HaiFeng'
__mtime__ = '2017/11/16'
"""

from hfpy.strategy import Strategy
from hfpy.data import Data
from hfpy.bar import Bar


class Test(Strategy):
    ''''''

    def __init__(self, jsonfile=''):
        super().__init__(jsonfile)
        self.ordered = False
        self.closed = False
        self.oid = 0
    
    def OnBarUpdate(self, data=Data, bar=Bar):
        if self.Tick.Instrument == '':
            return
        # print(self.Datas[0].Tick.UpdateTime[-2:])
        if self.Tick.UpdateTime[-2:] == '00' or self.Tick.UpdateTime[-2:] == '30':
            if self.ordered:
                self.ordered = False
            else:
                self.ordered = True
                # self.ReqOrder(self.Instrument, DirectType.Buy, OffsetType.Open, self.Tick.AskPrice, 1)
                # self.ReqOrder(self.Tick.Instrument, DirectType.Buy, OffsetType.Open, self.Tick.BidPrice, 1)
                self.Sell(self.Tick.BidPrice, 1, 'close long')

                print('1 last order == ', self.GetLastOrder())
                print('1 order id == ', self.oid)
        '''
        if self.Tick.UpdateTime[-2:] == '05' or self.Tick.UpdateTime[-2:] == '35':
            if self.closed:
                self.closed = False
            else:
                self.closed = True
                self.Sell(self.O[0], 1, '')
                print(self.PositionLong)
                print('all:{0},last:{1},notfill:{2}'.format(len(self.GetOrders()), self.GetLastOrder(), len(self.GetNotFillOrders())))
        '''

    # def OnOrder(self, order=OrderField()):
    #     """委托响应"""
    #     print('委托反应')
    #     self.oid = self.GetLastOrder().OrderID

    #     print('last order == ', self.GetLastOrder())
    #     print('order id == ', self.oid)
    #     print('cancel orderid == ', order.OrderID)
    #     self.ReqCancel(self.oid)

    #     #print('strategy order')
    #     # print(order)

    # def OnTrade(self, trade=TradeField()):
    #     """成交响应"""
    #     print('成交反应')
    #     print('strategy trade')
    #     print(trade)

    # def OnCancel(self, order):
    #     """撤单响应"""
    #     print('扯淡反应')
    #     print('所撤单资料 :', order)

    #     #print('strategy cancel')
    #     # print(order)

    # def OnErrOrder(self, order=OrderField(), info=InfoField()):
    #     """委托错误"""
    #     print('委托错误')
    #     print('strategy err order')
    #     print(order)

    # def OnErrCancel(self, order=OrderField(), info=InfoField()):
    #     """撤单错误"""
    #     print('撤单错误')
    #     print('strategy err cancel')
    #     print(order)

Test.yml

---
-
    ID: 100
    BeginDate: 20181010
    Datas:
    - 
        Instrument: rb1901
        IntervalType: Minute
        Interval: 1
    Params:
        Fast: 10
        Slow: 20
        lots: 1

Project details


Download files

Download the file for your platform. If you're not sure which to choose, learn more about installing packages.

Files for hfpy, version 0.1.6.6
Filename, size File type Python version Upload date Hashes
Filename, size hfpy-0.1.6.6.tar.gz (33.0 kB) File type Source Python version None Upload date Hashes View hashes

Supported by

Elastic Elastic Search Pingdom Pingdom Monitoring Google Google BigQuery Sentry Sentry Error logging AWS AWS Cloud computing DataDog DataDog Monitoring Fastly Fastly CDN SignalFx SignalFx Supporter DigiCert DigiCert EV certificate StatusPage StatusPage Status page