hfpy 0.0.7

Hai Feng Python Future Trading Platform

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

• 邮件([e-mail])
• QQ: 24918700
• Q群:65164336

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

• anaconda

  • 下载安装 https://www.anaconda.com/download

• talib

  • windows http://user.qzone.qq.com/24918700/blog/1486954718
  • linux http://user.qzone.qq.com/24918700/blog/1483279805

ctp 接口

• pip install py_ctp
• 下载 https://gitee.com/haifengat/hf_ctp_py_proxy/releases
• 解压后,复制py_ctp到python目录下Lib/site_packages/
• 复制dll到at上级目录,并改名为ctp_dll

开发环境

• vscode
  • windows https://code.visualstudio.com/Download
  • linux http://user.qzone.qq.com/24918700/blog/1506828997
• pycharm
  • http://www.jetbrains.com/pycharm/download/index.html

发布

国内 https://gitee.com/haifengat/at_py
国际 https://github.com/haifengat/hf_at_py

运行

• json转yaml
  • 2018.10.01配置由json改为yaml
  • 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: 'sim_now'
    investor: '008107'
    password: '1'
    # 追单设置
    chasing:
        wait_seconds: 3
        offset_ticks: -2
        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
stra_onoff:
    # 是否发送委托
    real_order_enable: true
    # 一根K线只发送一次指令
    single_order_one_bar: 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