TWAP.zip_python_twap_twap 交易_twap 变化量

#encoding=utf8 ''' Created on 2018年12月20日 @author: cdzq-xg ''' import threading import time import re import math import random class Pos(object): def __init__(self): self.position = 0 class Tick(object): def __init__(self): self.bidPrice1 = 0 self.askPrice1 = 0 ''' TWAP交易算法 ''' class twapAlgo(object): def __init__(self): self.tradeSecIDs= [] #股票交易列表 self.targetSecids = {} #组合信息（证券代码，日期，权重） #self.timer = threading.Timer(1.0, self.OnTime) #self.timer.start() self.tradeTime = 5*60 #交易总时长(s) self.SliptTime = 5 #拆单间隔 self.IfCancelNoBrag = False #是否撤回未成交委托，if true 重新下达委托 self.TrdMny = 0.0 #交易总金额 self.maxOrders = 5 #每秒的流量控制 self.timerCount = 0 #已交易时间 self.Trading = False #是否交易,当产生交易信号时，应该设为True self.Pos = 0 #目的仓位，1是满仓，0是空仓 self.timerIx = 0 # 下标 self.minAmt = 1500.00 #每笔最小金额 self.minVol = 100 #每笔最小数量 self.finishedCount = 0 #交易完成的数量 self.holdpos = {} ''' 开始交易 ''' def BeginTrade(self): wCount = len(self.tradeSecIDs) if(wCount > 0): #计算一轮需要多少时间 self.SliptTime = max( math.ceil( wCount / self.maxOrders),self.SliptTime) self.Trading = True self.timerCount = 0 self.finishedCount = 0 self.timerIx = 0 ''' 结束交易，内部调用 ''' def _EndTrade(self): self.Trading = False self.timerCount = 0 self.finishedCount = 0 self.timerIx = 0 def getPosition(self,secid): pos = Pos() pos.position = self.holdpos[secid] if secid in self.holdpos.keys() else 0 return pos def getTick(self,secid): tick = Tick() tick.askPrice1 = random.random(1.1,10.4) tick.bidPrice1 = tick.askPrice1+ 0.01 tick.lastPrice = tick.bidPrice1 return tick def sell(self,s,p,v): print('%s 卖出%s，%s股，于%s' %(time.strftime('%Y-%m-%d %H:%M:%S'),s, v, p)) if s in self.holdpos.keys() and self.holdpos[s] > v: self.holdpos[s] -= v else: self.holdpos[s] = 0 def buy(self,s,p,v): print('%s 买入%s，%s股，于%s' %(time.strftime('%Y-%m-%d %H:%M:%S'),s, v, p)) if s in self.holdpos.keys(): self.holdpos[s] += v else: self.holdpos[s] = v def writeLog(self,msg): print(msg) def cancelAll(self): pass ''' 下一次委托 ''' def _downOnceOrds(self): ordcount = 0 wCount = len(self.tradeSecIDs) while(True): #达到委托上限了 if ordcount >= self.maxOrders: self.writeLog("order limited") break #全部已经交易完成 或者超时了 if self.finishedCount >= wCount: self.writeLog("Finished.") self._EndTrade() break if self.timerCount > self.tradeTime: self.writeLog("time over.") self._EndTrade() break #本轮已经委托完成了 if self.timerIx >= wCount: self.timerIx = 0 break # 查询当前股票持仓和目标仓位 vtSymbol = self.tradeSecIDs[self.timerIx] #权重 weight = self.targetSecids[vtSymbol] pos = self.getPosition(vtSymbol) tick = self.getTick(vtSymbol) if not tick: self.writeLog('当前尚未收到%s的盘口数据' %vtSymbol) self.timerIx += 1 continue target = int(self.TrdMny * self.Pos * weight / tick.lastPrice / 100)*100 holdvol = pos.position if pos else 0 print(vtSymbol,holdvol,'-->',target) # 如果持仓小于目标仓位，则执行买入 if holdvol < target: #剩下的买入数量 volume = target - holdvol #小于一百股，则认为是交易完成 if volume < 100: self.finishedCount += 1 self.timerIx += 1 continue # 以卖1价格挂单 price = tick.askPrice1 # 剩余时间 vtime = self.tradeTime - self.timerCount # 剩余交易次数 vcount = int(vtime / self.SliptTime) # 每次交易数量,如果只剩下2个交易间隔了，直接把剩下的数量全部下达下去 if vcount <= 2: eachvol = int(volume/100)*100 else: eachvol = int(volume/vcount/100)*100 vol = min(eachvol, int(volume/100)*100) if vcount > 2 and( vol < self.minVol or vol*price < self.minAmt): self.timerIx += 1 continue # 买入委托 self.buy(vtSymbol, price, vol) ordcount += 1 #self.timerIx += 1 self.writeLog(u'买入%s，%s股，价格%s' %(vtSymbol, vol, price)) # 如果持仓大于目标仓位，则执行卖出 elif holdvol > target: #剩下的交易数量 volume = min(holdvol - target,pos.available) if pos.available <= 0: self.finishedCount += 1 self.timerIx += 1 continue # 以买1价格挂单 price =tick.bidPrice1 # 剩余时间 vtime = self.tradeTime - self.timerCount # 剩余交易次数 vcount = int(vtime / self.SliptTime) # 每次交易数量 if vcount <= 2: eachvol = volume else: eachvol = int(volume/vcount/100)*100 # 委托数量保证全成后持仓不会超过目标 vol = min(eachvol, volume) if vcount > 2 and (vol < self.minVol or vol*price < self.minAmt): self.timerIx += 1 continue # 卖出委托 self.sell(vtSymbol, price, vol) ordcount += 1 #self.timerIx += 1 self.writeLog(u'卖出%s，%s股，价格%s' %(vtSymbol, vol, price)) self.timerIx += 1 def OnTime(self): #self.timer = threading.Timer(1.0, self.OnTime) #self.timer.start() self.timerCount += 1 #如果交易中 if self.Trading: wCount = len(self.tradeSecIDs) #如果一轮没有交易完，则每秒都需要下达委托 if self.timerIx % wCount > 0: #print("一轮内交易") self._downOnceOrds() #新一轮拆单 elif (self.timerCount-1) % self.SliptTime==0: #是否撤销未成交委托 if self.IfCancelNoBrag: self.cancelAll()