hhtrade 0.1__tar.gz

hhtrade-0.1/PKG-INFO

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+Metadata-Version: 2.1
+Name: hhtrade
+Version: 0.1

hhtrade-0.1/README.md

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+for fun

hhtrade-0.1/hhtrade/hhtrade.py

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+import time
+import pandas as pd
+from tqsdk import TqApi, TqAuth, TqKq, TargetPosTask
+from tqsdk.datetime import _cst_now,_get_trade_timestamp,_datetime_to_timestamp_nano,_convert_user_input_to_nano
+from datetime import datetime,timedelta
+import math
+import numpy as np
+from itertools import groupby
+import random
+import os
+import csv
+
+
+class orderclass:
+    def __init__(self,api = None , targetposition = None ):
+        self.api = api
+        self.targetposition = targetposition
+        assert self.checkcorrectcode(), "请检查品种代码"
+        self.oldposition = self.get_initposition()
+        self.printposition()
+        self.get_orderquote()
+
+
+    def checkcorrectcode(self):
+        for k in self.targetposition.keys():
+            try:
+                quote = self.api.get_quote(k)
+            except:
+                print(f"{k} 查询合约服务报错 ,请检查品种代码")
+                return False
+        return True
+
+
+
+
+
+    def printposition(self):
+        initialholdings = self.api.get_position()
+        for k in initialholdings.keys():
+            p = self.api.get_position(f"{k}")
+            print(
+                f"{p.instrument_id} 历史多头持仓 {p.pos_long_his}, 今日多头持仓 {p.pos_long_today}, 历史空头持仓 {p.pos_short_his} , 今日空头持仓 {p.pos_short_today}, 当前多头总持仓 {p.pos_long}, 当前空头总持仓 {p.pos_short}")
+
+    def get_initposition(self):
+        initialholdings = self.api.get_position()
+        initialholdingdict = {}
+        for k in initialholdings.keys():
+            initialholdingdict[k] = initialholdings[k].volume_long - initialholdings[k].volume_short
+        return initialholdingdict
+
+
+    def get_orderquote(self):
+        order_diff, order_direction = self.calculate_order(self.oldposition, self.targetposition )
+        self.orderqueue = self.order_to_queue(dict_data=order_diff.copy())
+        self.orderplan =  self.orderplanset( oldposition = self.oldposition,targetposition = self.targetposition,\
+                                             orderqueue = self.orderqueue,\
+                                             order_direction = order_direction, \
+                                             maxvol=5)
+
+
+    def calculate_order(self,dict1, dict2):
+        """
+        计算交割单的差异和方向
+        """
+        all_keys = set(dict1.keys()).union(set(dict2.keys()))
+        difference = {}
+        direction = {}
+        for key in all_keys:
+            difference[key] = abs(dict2.get(key, 0) - dict1.get(key, 0))
+            direction[key] = int(np.sign(dict2.get(key, 0) - dict1.get(key, 0)))
+        return difference, direction
+
+    def order_to_queue(self, dict_data):
+        """
+        将订单dict 变为执行序列 完全随机
+        """
+        # 获取股指期货序列
+        queue = []
+        for key, value in dict_data.items():
+            queue.extend([key] * value)
+        # 打乱股指期货序列
+        random.shuffle(queue)
+        # 到这里，理论上应该 dict_data 全是 0
+        return queue
+
+    def dictmatch(self,dict1, dict2):
+        newdict = dict1.copy()
+        for k in dict2:
+            if k not in dict1:
+                newdict[k] = 0
+        return newdict
+
+    def orderplanset(self, oldposition, targetposition, orderqueue, order_direction, maxvol=5):
+        """
+        这一步的目的是，限定了单次调仓的最大笔数。因为可能出现国债太多，尽管已经均匀切分，但是对市场冲击还是很大，通过maxvol，设定最大下单手数
+        """
+        grouped_order = [(key, len(list(group))) for key, group in groupby(orderqueue)]
+        result_order = []
+        for key, count in grouped_order:
+            while count > maxvol:
+                result_order.append((key, maxvol))
+                count -= maxvol
+            if count > 0:
+                result_order.append((key, count))
+        orderplan = []
+
+        recorddict = self.dictmatch(oldposition, targetposition)
+        targetpositiondict = self.dictmatch(targetposition, oldposition)
+
+        for order_tp in result_order:
+            recorddict[order_tp[0]] = recorddict[order_tp[0]] + order_direction[order_tp[0]] * order_tp[1]
+            orderplan.append([order_tp[0], recorddict[order_tp[0]]])
+
+        orderplan = pd.DataFrame(orderplan, columns=['sid', 'targetvol'])
+
+        last_tg = pd.DataFrame(oldposition.items(), columns=['sid', 'targetvol'])._append(orderplan).drop_duplicates(
+            subset='sid', keep='last')
+
+        # 检查经过目标调仓序列是不是可以完成调仓目标
+        if targetpositiondict == last_tg.set_index('sid').to_dict()['targetvol']:
+            print("目标调仓序列可以达到最终持仓目标")
+        else:
+            assert False, "目标调仓序列不可以达到最终持仓目标"
+        return orderplan
+
+    def dynamic_sendorder(self, dforderplan = None, timestart = None, timeend =None ):
+        """
+        datetime.strptime(timestart, '%Y-%m-%d %H:%M:%S.%f')
+        """
+        print("开始执行交易")
+        if len(dforderplan) == 0:
+            print("无需调仓")
+            return 0
+        timestart = datetime.strptime(timestart, '%Y%m%d %H:%M:%S')
+        timeend = datetime.strptime(timeend, '%Y%m%d %H:%M:%S')
+        timestart_nano, timeend_nano = _convert_user_input_to_nano(timestart,timeend )
+
+        #每次成交中间间隔纳秒
+        timedaly = int((timestart_nano - timeend_nano) / (len(dforderplan)) / 1000000000)
+
+        unfinishorder = []
+
+        for index, orderrow in self.orderplan.iterrows():
+            # break
+            # print(orderrow)
+            newsetposition = self.get_initposition()
+
+            if orderrow.sid in newsetposition:
+                # print(index, orderrow)
+                # "ACTIVE" 对价下单，在持仓调整过程中，若下单方向为买，对价为卖一价；若下单方向为卖，对价为买一价。
+                # "昨开" 表示先平昨仓，再开仓，禁止平今仓，适合股指这样平今手续费较高的品种
+                target_pos_active = TargetPosTask(self.api, orderrow.sid, price="ACTIVE",offset_priority="昨开")
+                target_pos_active.set_target_volume(orderrow.targetvol)
+                nethold = target_pos_active._pos.volume_long -  target_pos_active._pos.volume_short
+                t = time.time()
+                ifhavetime = True
+                while (nethold)!= orderrow.targetvol and ifhavetime:
+                    self.api.wait_update()
+                    nethold = target_pos_active._pos.volume_long -  target_pos_active._pos.volume_short
+                    print(f"当前{orderrow.sid} 目标变动 {orderrow.targetvol}  当前持仓 空 {target_pos_active._pos.volume_short} 多 {target_pos_active._pos.volume_long}" )
+                    costtime = time.time() - t
+                    if costtime>timedaly:
+                        ifhavetime = False
+                        unfinishorder.append([orderrow.sid, orderrow.targetvol , nethold ]  )
+
+            else:
+                directioni = "BUY" if orderrow.targetvol >0 else "SELL"
+                quote = self.api.get_quote(orderrow.sid)
+                if directioni == "BUY":
+                    lc = quote.ask_price1
+                else:
+                    lc = quote.bid_price1
+                order = api.insert_order(symbol = orderrow.sid, direction=directioni, offset="OPEN",
+                                         limit_price=lc,
+                                         volume = orderrow.targetvol)
+                ifhavetime = True
+                t = time.time()
+                while order.status != "FINISHED":
+                    self.api.wait_update()
+                    print("单状态: %s, 已成交: %d 手" % (order.status, order.volume_orign - order.volume_left))
+                    costtime = time.time() - t
+                    if costtime>timedaly:
+                        ifhavetime = False
+                        unfinishorder.append([orderrow.sid, orderrow.targetvol, order.volume_orign - order.volume_left])
+
+            timestart_nano_s, timeend_nano_e = _convert_user_input_to_nano( _cst_now(), timeend )
+            timedaly = int(( timeend_nano_e  - timestart_nano_s)/ (len(dforderplan)-index) /1000000000 )
+            time.sleep(timedaly )
+
+        print("调仓完成")
+        return unfinishorder
+
+    def tradeorder(self, timestart = None, timeend = None , delaydt = 60):
+
+        timestart = self.checktimestart(inputtime=timestart)
+        timeend = self.checktimeend(inputtime=timeend, delaydt=delaydt)
+        unfinishorder =  self.dynamic_sendorder( dforderplan= self.orderplan , timestart=timestart, timeend=timeend)
+        if unfinishorder == 0:
+            self.printposition()
+        else:
+            assert len(unfinishorder) == 0, "重大错误，存在未成功下单订单"
+
+
+
+    def checktimeend(self, inputtime = None, delaydt = 60):
+        """
+        检查输入时间是不是晚于当前时间
+        inputtime 格式需要满足 '%Y%m%d %H:%M:%S' 例如 '20240815 10:10:00'
+        """
+        if inputtime is None:
+            inputtime = datetime.now() +  timedelta(seconds=delaydt)
+            return inputtime.strftime( '%Y%m%d %H:%M:%S')
+        deltat = (datetime.now() - datetime.strptime(inputtime, '%Y%m%d %H:%M:%S')).total_seconds()
+        assert (deltat < 0 ),'输入时间 应该晚于当前时间'
+
+
+
+    def checktimestart(self, inputtime = None):
+        """
+        检查输入时间是不是晚于当前时间
+        inputtime 格式需要满足 '%Y%m%d %H:%M:%S' 例如 '20240815 10:10:00'
+        """
+        if inputtime is None:
+            inputtime = time.strftime('%Y%m%d %H:%M:%S', time.localtime())
+            return inputtime
+        else:
+            deltat = (datetime.now() - datetime.strptime(inputtime, '%Y%m%d %H:%M:%S')).total_seconds()
+            if deltat >0 :
+                inputtime = time.strftime('%Y%m%d %H:%M:%S', time.localtime())
+                print("调整输入时间为当前时间")
+                return inputtime
+            else:
+                while deltat<0:
+                    deltat = (datetime.now()- datetime.strptime(inputtime, '%Y%m%d %H:%M:%S')).seconds
+                    print(f"未到下单时间 需要等待 {deltat}")
+                    time.sleep(1)
+                inputtime = time.strftime('%Y%m%d %H:%M:%S', time.localtime())
+                return inputtime
+
+    def downloader_orders(self):
+        order_cols = ["order_id", "exchange_order_id", "exchange_id", "instrument_id", "direction", "offset", "status",
+                      "volume_orign", "volume_left", "limit_price", "price_type", "volume_condition", "time_condition",
+                      "insert_date_time", "last_msg"]
+        trade_cols = ["trade_id", "order_id", "exchange_trade_id", "exchange_id", "instrument_id", "direction",
+                      "offset", "price", "volume", "trade_date_time"]
+        def write_csv(file_name, cols, datas):
+            file_exists = os.path.exists(file_name) and os.path.getsize(file_name) > 0
+            with open(file_name, 'a', newline='') as csvfile:
+                csv_writer = csv.writer(csvfile, dialect='excel')
+                if not file_exists:
+                    csv_writer.writerow(['datetime'] + cols)
+                for item in datas.values():
+                    if 'insert_date_time' in cols:
+                        dt = datetime.fromtimestamp(item['insert_date_time'] / 1e9).strftime('%Y-%m-%d %H:%M:%S.%f')
+                    elif 'trade_date_time' in cols:
+                        dt = datetime.fromtimestamp(item['trade_date_time'] / 1e9).strftime('%Y-%m-%d %H:%M:%S.%f')
+                    else:
+                        dt = None
+                    row = [dt] + [item[k] for k in cols]
+                    csv_writer.writerow(row)
+        with self.api as api:
+            # 将当前账户下全部委托单、成交信息写入 csv 文件中
+            write_csv("orders.csv", order_cols, api.get_order())
+            write_csv("trades.csv", trade_cols, api.get_trade())
+

hhtrade-0.1/hhtrade.egg-info/PKG-INFO

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+Metadata-Version: 2.1
+Name: hhtrade
+Version: 0.1

hhtrade-0.1/hhtrade.egg-info/SOURCES.txt

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+README.md
+setup.py
+hhtrade/__init__.py
+hhtrade/hhtrade.py
+hhtrade.egg-info/PKG-INFO
+hhtrade.egg-info/SOURCES.txt
+hhtrade.egg-info/dependency_links.txt
+hhtrade.egg-info/not-zip-safe
+hhtrade.egg-info/top_level.txt

hhtrade-0.1/hhtrade.egg-info/dependency_links.txt

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+

hhtrade-0.1/hhtrade.egg-info/not-zip-safe

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+

hhtrade-0.1/hhtrade.egg-info/top_level.txt

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+hhtrade

hhtrade-0.1/setup.cfg

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+[egg_info]
+tag_build = 
+tag_date = 0
+

hhtrade-0.1/setup.py

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+from setuptools import setup
+
+setup(name='hhtrade',
+      version='0.1',
+zip_safe=False)