Merge pull request vnpy#630 from vnpy/beta

Beta

README.md

@@ -11,7 +11,7 @@ vn.py是基于Python的开源量化交易程序开发框架，起源于国内私
 
 ### 项目结构
 
-1. 丰富的Python交易和数据API接口（vnpy.api），基本覆盖了国内外所有常规交易品种（股票、期货、期权、外汇、外盘、比特币），具体包括：
+1. 丰富的Python交易API接口（vnpy.api），基本覆盖了国内外所有常规交易品种（股票、期货、期权、外汇、外盘、比特币），具体包括：
 
     - CTP（ctp）
 
@@ -41,9 +41,7 @@ vn.py是基于Python的开源量化交易程序开发框架，起源于国内私
 
     - 火币（huobi）
 
-    - 链行（lhang）
-
-    - 通联数据（datayes）
+    - LBank（lbank）
 
 2. 简洁易用的事件驱动引擎（vnpy.event），作为事件驱动型交易程序的核心
 
@@ -53,7 +51,7 @@ vn.py是基于Python的开源量化交易程序开发框架，起源于国内私
 
     * 同时登录多个交易接口，在一套界面上监控多种市场的行情和多种资产账户的资金、持仓、委托、成交情况
 
-    * 支持跨市场套利（CTP期货和LTS证券）、境内外套利（CTP期货和IB外盘）、多市场数据整合实时预测走势（CTP的股指期货数据、IB的外盘A50数据、Wind的行业指数数据）等策略应用
+    * 支持跨市场套利（CTP期货和XTP证券）、境内外套利（CTP期货和IB外盘）、多市场数据整合实时预测走势（CTP的股指期货数据、IB的外盘A50数据、Wind的行业指数数据）等策略应用
 
     * CTA策略引擎模块，在保持易用性的同时，允许用户针对CTA类策略运行过程中委托的报撤行为进行细粒度控制（降低交易滑点、实现高频策略）
 
@@ -148,10 +146,11 @@ from vnpy.trader.uiMainWindow import MainWindow
 
 # 加载底层接口
 from vnpy.trader.gateway import (ctpGateway, oandaGateway, ibGateway, 
-                                 huobiGateway, okcoinGateway)
+                                 tkproGateway)
 
 if system == 'Windows':
-    from vnpy.trader.gateway import femasGateway, xspeedGateway
+    from vnpy.trader.gateway import (femasGateway, xspeedGateway, 
+                                     futuGateway, secGateway)
     
 if system == 'Linux':
     from vnpy.trader.gateway import xtpGateway
@@ -174,14 +173,15 @@ def main():
     
     # 添加交易接口
     me.addGateway(ctpGateway)
+    me.addGateway(tkproGateway)
     me.addGateway(oandaGateway)
     me.addGateway(ibGateway)
-    me.addGateway(huobiGateway)
-    me.addGateway(okcoinGateway)
     
     if system == 'Windows':
         me.addGateway(femasGateway)
         me.addGateway(xspeedGateway)
+        me.addGateway(secGateway)
+        me.addGateway(futuGateway)
         
     if system == 'Linux':
         me.addGateway(xtpGateway)

docker/dockerTrader/tmp/CTP_connect.json

@@ -1,6 +1,6 @@
 {
-    "password": "325800",
-    "userID": "901201302",
+    "password": "",
+    "userID": "",
     "brokerID": "1080",
     "tdAddress": "tcp://180.169.112.52:41205",
     "mdAddress": "tcp://180.169.112.52:41213"

examples/CtaBacktesting/.ipynb_checkpoints/backtesting_IF-checkpoint.ipynb

@@ -11,7 +11,8 @@
     "%matplotlib inline\n",
     "\n",
     "from vnpy.trader.app.ctaStrategy.ctaBacktesting import BacktestingEngine, OptimizationSetting, MINUTE_DB_NAME\n",
-    "from vnpy.trader.app.ctaStrategy.strategy.strategyAtrRsi import AtrRsiStrategy"
+    "from vnpy.trader.app.ctaStrategy.strategy.strategyAtrRsi import AtrRsiStrategy\n",
+    "from vnpy.trader.app.ctaStrategy.strategy.strategyMultiTimeframe import MultiTimeframeStrategy"
    ]
   },
   {
@@ -66,7 +67,8 @@
    "source": [
     "# 在引擎中创建策略对象\n",
     "d = {'atrLength': 11}                     # 策略参数配置\n",
-    "engine.initStrategy(AtrRsiStrategy, d)    # 创建策略对象"
+    "#engine.initStrategy(AtrRsiStrategy, d)    # 创建策略对象\n",
+    "engine.initStrategy(MultiTimeframeStrategy, d)    # 创建策略对象"
    ]
   },
   {

examples/CtaTrading/runCtaTrading.py

@@ -40,7 +40,7 @@ def runChildProcess():
     me.connect('CTP')
     le.info(u'连接CTP接口')
 
-    sleep(5)    # 等待CTP接口初始化
+    sleep(10)    # 等待CTP接口初始化
 
     cta = me.getApp(ctaStrategy.appName)
 

examples/FutuDataService/README.md

@@ -0,0 +1,5 @@
+## 富途证券历史数据服务
+
+本数据服务主要用于获取港股、美股的日内行情数据（1分钟线）更新，默认设置为每日5点自动运行。
+
+使用前请参考futuquant的[使用文档](https://futunnopen.github.io/futuquant/setup/Hist_KLine_Download_Intro.html)，配置富途牛牛客户端的历史数据自动更新功能。

examples/FutuDataService/config.json

@@ -0,0 +1,6 @@
+{
+	"MONGO_HOST": "localhost",
+	"MONGO_PORT": 27017,
+
+	"SYMBOLS": ["HK.00001", "HK.00002"]
+}

examples/FutuDataService/dataService.py

@@ -0,0 +1,94 @@
+# encoding: UTF-8
+
+import sys
+import json
+from datetime import datetime, timedelta
+from time import time, sleep
+
+from pymongo import MongoClient, ASCENDING
+
+from vnpy.trader.vtObject import VtBarData
+from vnpy.trader.app.ctaStrategy.ctaBase import MINUTE_DB_NAME
+
+import futuquant as ft
+
+# 加载配置
+config = open('config.json')
+setting = json.load(config)
+
+MONGO_HOST = setting['MONGO_HOST']
+MONGO_PORT = setting['MONGO_PORT']
+SYMBOLS = setting['SYMBOLS']
+
+mc = MongoClient(MONGO_HOST, MONGO_PORT)        # Mongo连接
+db = mc[MINUTE_DB_NAME]                         # 数据库
+quote = ft.OpenQuoteContext()                   # 富途行情接口
+today = datetime.now().date()
+startDate = (today - timedelta(10)).strftime('%Y-%m-%d')    # 数据下载起始日期
+
+
+#----------------------------------------------------------------------
+def generateVtBar(row):
+    """生成K线"""
+    bar = VtBarData()
+
+    bar.symbol = row['code']
+    bar.exchange = ''
+    bar.vtSymbol = bar.symbol
+    bar.open = row['open']
+    bar.high = row['high']
+    bar.low = row['low']
+    bar.close = row['close']
+    bar.volume = row['volume']
+    bar.datetime = datetime.strptime(row['time_key'], '%Y-%m-%d %H:%M:%S')
+    bar.date = bar.datetime.strftime("%Y%m%d")
+    bar.time = bar.datetime.strftime("%H:%M:%S")
+
+    return bar
+
+#----------------------------------------------------------------------
+def downMinuteBarBySymbol(symbol):
+    """下载某一合约的分钟线数据"""
+    start = time()
+
+    cl = db[symbol]
+    cl.ensure_index([('datetime', ASCENDING)], unique=True)         # 添加索引
+
+    code, data = quote.get_history_kline(symbol, start=startDate, ktype='K_1M')
+    if code:
+        print u'合约%s数据下载失败：%s' %(symbol, data)
+        return
+
+    data = data.sort_index()
+
+    for ix, row in data.iterrows():
+        bar = generateVtBar(row)
+        d = bar.__dict__
+        flt = {'datetime': bar.datetime}
+        cl.replace_one(flt, d, True)            
+
+    end = time()
+    cost = (end - start) * 1000
+
+    print u'合约%s数据下载完成%s - %s，耗时%s毫秒' %(symbol, data.iloc[0]['time_key'], 
+                                                  data.iloc[-1]['time_key'], cost)
+
+
+#----------------------------------------------------------------------
+def downloadAllMinuteBar():
+    """下载所有配置中的合约的分钟线数据"""
+    print '-' * 50
+    print u'开始下载合约分钟线数据'
+    print '-' * 50
+
+    # 添加下载任务
+    for symbol in SYMBOLS:
+        downMinuteBarBySymbol(str(symbol))
+
+    print '-' * 50
+    print u'合约分钟线数据下载完成'
+    print '-' * 50
+
+
+
+

examples/FutuDataService/downloadData.py

@@ -0,0 +1,11 @@
+# encoding: UTF-8
+
+"""
+立即下载数据到数据库中，用于手动执行更新操作。
+"""
+
+from dataService import *
+
+
+if __name__ == '__main__':
+    downloadAllMinuteBar()

examples/FutuDataService/runService.py

@@ -0,0 +1,32 @@
+# encoding: UTF-8
+
+"""
+定时服务，可无人值守运行，实现每日自动下载更新历史行情数据到数据库中。
+"""
+
+import time
+import datetime
+
+from dataService import downloadAllMinuteBar
+
+
+if __name__ == '__main__':
+    taskCompletedDate = None
+
+    # 注意这里的任务时间，必须在富途牛牛更新完当日本地数据后
+    taskTime = datetime.time(hour=17, minute=0)
+
+    # 进入主循环
+    while True:
+        t = datetime.datetime.now()
+
+        # 每天到达任务下载时间后，执行数据下载的操作
+        if t.time() > taskTime and (taskCompletedDate is None or t.date() != taskCompletedDate):
+            downloadAllMinuteBar()
+
+            # 更新任务完成的日期
+            taskCompletedDate = t.date()
+        else:
+            print u'当前时间%s，任务定时%s' %(t, taskTime)
+
+        time.sleep(60)

examples/OptionMaster/CTPSEC_connect.json

@@ -0,0 +1,7 @@
+{
+    "brokerID": "2001", 
+    "mdAddress": "tcp://125.64.36.26:51213", 
+    "tdAddress": "tcp://125.64.36.26:51205", 
+    "userID": "请联系经纪商申请",
+    "password": "请联系经纪商申请"    
+}

examples/OptionMaster/CTP_connect.json

@@ -0,0 +1,7 @@
+{
+    "brokerID": "2001", 
+    "mdAddress": "tcp://125.64.36.26:51213", 
+    "tdAddress": "tcp://125.64.36.26:51205", 
+    "userID": "请联系经纪商申请",
+    "password": "请联系经纪商申请"    
+}

examples/OptionMaster/RM_setting.json

@@ -0,0 +1,10 @@
+{
+    "orderFlowClear": 1, 
+    "orderCancelLimit": 10, 
+    "marginRatioLimit": 0.85, 
+    "workingOrderLimit": 20, 
+    "tradeLimit": 1000, 
+    "orderSizeLimit": 100, 
+    "active": false, 
+    "orderFlowLimit": 50
+}

examples/OptionMaster/SEC_connect.json

@@ -0,0 +1,6 @@
+{
+	"accountID": "110100001088",
+	"password": "123456", 
+    "mdAddress": "tcp://203.86.95.187:10915", 
+    "tdAddress": "tcp://203.86.95.187:10910"    
+}

examples/OptionMaster/VT_setting.json

@@ -0,0 +1,18 @@
+{
+	"fontFamily": "微软雅黑",
+	"fontSize": 12,
+
+	"mongoHost": "localhost",
+	"mongoPort": 27017,
+	"mongoLogging": true,
+
+	"darkStyle": true,
+	"language": "chinese",
+
+	"logActive": true,
+	"logLevel": "debug",
+	"logConsole": true,
+	"logFile": true,
+
+	"tdPenalty": ["IF", "IH", "IC"]
+}

examples/OptionMaster/ctpsecGateway/__init__.py

@@ -0,0 +1,10 @@
+# encoding: UTF-8
+
+from vnpy.trader import vtConstant
+from vnpy.trader.gateway.ctpGateway import CtpGateway
+
+gatewayClass = CtpGateway
+gatewayName = 'CTPSEC'
+gatewayDisplayName = 'CTP证券'
+gatewayType = vtConstant.GATEWAYTYPE_FUTURES
+gatewayQryEnabled = True

examples/OptionMaster/run.py

@@ -0,0 +1,57 @@
+# encoding: UTF-8
+
+# 重载sys模块，设置默认字符串编码方式为utf8
+import sys
+reload(sys)
+sys.setdefaultencoding('utf8')
+
+# 判断操作系统
+import platform
+system = platform.system()
+
+# vn.trader模块
+from vnpy.event import EventEngine
+from vnpy.trader.vtEngine import MainEngine
+from vnpy.trader.uiQt import createQApp
+from vnpy.trader.uiMainWindow import MainWindow
+
+# 加载底层接口
+from vnpy.trader.gateway import (secGateway, ctpGateway)
+
+import ctpsecGateway
+
+# 加载上层应用
+from vnpy.trader.app import (riskManager, optionMaster)
+
+
+#----------------------------------------------------------------------
+def main():
+    """主程序入口"""
+    # 创建Qt应用对象
+    qApp = createQApp()
+
+    # 创建事件引擎
+    ee = EventEngine()
+
+    # 创建主引擎
+    me = MainEngine(ee)
+
+    # 添加交易接口
+    me.addGateway(secGateway)
+    me.addGateway(ctpGateway)
+    me.addGateway(ctpsecGateway)
+
+    # 添加上层应用
+    me.addApp(riskManager)
+    me.addApp(optionMaster)
+
+    # 创建主窗口
+    mw = MainWindow(me, ee)
+    mw.showMaximized()
+
+    # 在主线程中启动Qt事件循环
+    sys.exit(qApp.exec_())
+
+
+if __name__ == '__main__':
+    main()

examples/QuantosDataService/README.md

@@ -0,0 +1,3 @@
+# quantOS历史行情服务
+
+请在[www.quantos.org](www.quantos.org)注册后，将用户名和TOKEN输入到配置文件config.json中，即可使用该服务。

examples/QuantosDataService/config.json

@@ -0,0 +1,10 @@
+{
+	"MONGO_HOST": "localhost",
+	"MONGO_PORT": 27017,
+
+	"DATA_SERVER": "tcp://data.tushare.org:8910",
+	"USERNAME": "",
+	"TOKEN": "",
+
+	"SYMBOLS": ["510050.SSE", "510300.SSE"]
+}