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nika90426 · Jun 5, 2020 · 6d0bb11 · 6d0bb11
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Showing 11 changed files with 143 additions and 147 deletions.
diff --git a/config/prod/bk_prod.config b/config/prod/bk_prod.config
@@ -0,0 +1,121 @@
+strategy = ( 
+  {
+    unique_name = "IC";
+    max_position = 1;
+    max_round = 4000;
+    range_width = 2.0;
+    train_samples = 1200;
+    min_range = 4.0;
+    min_profit = 1.0;
+    add_margin = 3.0;
+    spread_threshold = 3.0;
+    max_holding_sec = 360000000;
+    stop_loss_margin = 10.0;
+    max_loss_times = 2;
+    split_num = 6;
+    no_close_today = true;
+  },
+
+  {
+    unique_name = "au";
+    max_position = 5;
+    range_width = 2.0;
+    train_samples = 600;
+    max_round = 40000;
+    min_range = 2.0;
+    min_profit = 1.0;
+    add_margin = 1.0;
+    spread_threshold = 3.0;
+    max_holding_sec = 3600000;
+    stop_loss_margin = 3.0;
+    split_num = 6;
+    max_loss_times = 2;
+  }, 
+
+  {
+    unique_name = "IH";
+    max_position = 1;
+    range_width = 2.0;
+    max_round = 40000;
+    train_samples = 600;
+    min_range = 4.0;
+    min_profit = 1.0;
+    add_margin = 3.0;
+    spread_threshold = 3.0;
+    max_holding_sec = 360000000;
+    stop_loss_margin = 10.0;
+    max_loss_times = 2;
+    no_close_today = true;
+    split_num = 6;
+  }, 
+  {
+    unique_name = "IF";
+    max_position = 1;
+    range_width = 2.0;
+    train_samples = 600;
+    max_round = 40000;
+    min_range = 4.0;
+    min_profit = 1.0;
+    add_margin = 3.0;
+    spread_threshold = 3.0;
+    max_holding_sec = 360000000;
+    stop_loss_margin = 10.0;
+    max_loss_times = 2;
+    no_close_today = true;
+    split_num = 6;
+  },
+
+  {
+  unique_name = "cu";
+  max_position = 2;
+    max_round = 40000;
+  tick_size = 10.0;
+  range_width = 2.0;
+  contract_size = 5;
+  train_samples= 600;
+  cancel_threshhold = 1000000000;
+  min_range = 4.0;
+  min_profit = 1.0;
+  add_margin = 1.0;
+  spread_threshold = 3.0;
+  max_holding_sec = 3600000;
+  stop_loss_margin = 3.0;
+  max_loss_times = 2;
+    split_num = 6;
+  },
+
+  {
+    unique_name = "ni";
+    max_position = 3;
+    range_width = 1.0;
+    max_round = 40000;
+    train_samples = 600;
+    min_range = 2.0;
+    min_profit = 1.0;
+    add_margin = 3.0;
+    spread_threshold = 3.0;
+    max_holding_sec = 3600000;
+    stop_loss_margin = 3.0;
+    max_loss_times = 2;
+    split_num = 6;
+  },
+
+  {
+    unique_name = "sn";
+    max_position = 3;
+    range_width = 2.0;
+    train_samples = 600;
+    max_round = 40000;
+    min_range = 4.0;
+    min_profit = 1.0;
+    add_margin = 3.0;
+    spread_threshold = 3.0;
+    max_holding_sec = 3600000;
+    stop_loss_margin = 3.0;
+    max_loss_times = 2;
+    split_num = 6;
+  }
+  );
+order_file = "order.dat";
+exchange_file = "exchange.dat";
+strat_file = "mid.dat";
diff --git a/config/prod/prod.config b/config/prod/prod.config
@@ -1,121 +1,30 @@
-strategy = ( 
-  {
-    unique_name = "IC";
-    max_position = 1;
-    max_round = 4000;
-    range_width = 2.0;
-    train_samples = 1200;
-    min_range = 4.0;
-    min_profit = 1.0;
-    add_margin = 3.0;
-    spread_threshold = 3.0;
-    max_holding_sec = 360000000;
-    stop_loss_margin = 10.0;
-    max_loss_times = 2;
-    split_num = 6;
-    no_close_today = true;
-  },
-
-  {
-    unique_name = "au";
-    max_position = 5;
-    range_width = 2.0;
-    train_samples = 600;
-    max_round = 40000;
-    min_range = 2.0;
-    min_profit = 1.0;
-    add_margin = 1.0;
-    spread_threshold = 3.0;
-    max_holding_sec = 3600000;
-    stop_loss_margin = 3.0;
-    split_num = 6;
-    max_loss_times = 2;
-  }, 
-
-  {
-    unique_name = "IH";
-    max_position = 1;
-    range_width = 2.0;
-    max_round = 40000;
-    train_samples = 600;
-    min_range = 4.0;
-    min_profit = 1.0;
-    add_margin = 3.0;
-    spread_threshold = 3.0;
-    max_holding_sec = 360000000;
-    stop_loss_margin = 10.0;
-    max_loss_times = 2;
-    no_close_today = true;
-    split_num = 6;
-  }, 
-  {
-    unique_name = "IF";
-    max_position = 1;
-    range_width = 2.0;
-    train_samples = 600;
-    max_round = 40000;
-    min_range = 4.0;
-    min_profit = 1.0;
-    add_margin = 3.0;
-    spread_threshold = 3.0;
-    max_holding_sec = 360000000;
-    stop_loss_margin = 10.0;
-    max_loss_times = 2;
-    no_close_today = true;
-    split_num = 6;
-  },
-
-  {
-  unique_name = "cu";
-  max_position = 2;
-    max_round = 40000;
-  tick_size = 10.0;
-  range_width = 2.0;
-  contract_size = 5;
-  train_samples= 600;
-  cancel_threshhold = 1000000000;
-  min_range = 4.0;
-  min_profit = 1.0;
-  add_margin = 1.0;
-  spread_threshold = 3.0;
-  max_holding_sec = 3600000;
-  stop_loss_margin = 3.0;
-  max_loss_times = 2;
-    split_num = 6;
-  },
-
+fixed_path="/home/nick/future";
+backtest_outputdir = "backtest_plot";
+strategy = (
   {
     unique_name = "ni";
-    max_position = 3;
+    ticker = "ni";
+    max_position = 1;
+    max_round = 1000;
     range_width = 1.0;
-    max_round = 40000;
-    train_samples = 600;
-    min_range = 2.0;
-    min_profit = 1.0;
-    add_margin = 3.0;
-    spread_threshold = 3.0;
-    max_holding_sec = 3600000;
-    stop_loss_margin = 3.0;
-    max_loss_times = 2;
+    train_samples = 1200;
+    min_range = 1.0;
     split_num = 6;
-  },
-
-  {
-    unique_name = "sn";
-    max_position = 3;
-    range_width = 2.0;
-    train_samples = 600;
-    max_round = 40000;
-    min_range = 4.0;
     min_profit = 1.0;
     add_margin = 3.0;
     spread_threshold = 3.0;
     max_holding_sec = 3600000;
-    stop_loss_margin = 3.0;
+    stop_loss_margin = 300.0;
     max_loss_times = 2;
-    split_num = 6;
   }
   );
-order_file = "order.dat";
-exchange_file = "exchange.dat";
-strat_file = "mid.dat";
+
+// start_date = "today";
+// start_date = "yesterday";
+test_mode = "nexttest";
+start_date = "2019-11-01";
+period = 10;
+
+order_file = "order_backtest.dat";
+exchange_file = "exchange_backtest.dat";
+strat_file = "mid_backtest.dat";
diff --git a/external/common/include/util/time_controller.h b/external/common/include/util/time_controller.h
@@ -46,8 +46,6 @@ class TimeController {
   std::vector<int>close_stop;
   std::vector<int>force_close_start;
   std::vector<int>force_close_stop;
-  std::vector<int>invalid_start;
-  std::vector<int>invalid_stop;
   std::string mode;
   long int timer_sec;
   long int timer_usec;

diff --git a/external/common/lib/libnick.so b/external/common/lib/libnick.so
diff --git a/external/common/lib/libthostmduserapi.so b/external/common/lib/libthostmduserapi.so
diff --git a/external/common/lib/libthosttraderapi.so b/external/common/lib/libthosttraderapi.so
diff --git a/external/ctp/include/ThostFtdcMdApi.h b/external/ctp/include/ThostFtdcMdApi.h
@@ -52,9 +52,6 @@ class CThostFtdcMdSpi
 	///登出请求响应
 	virtual void OnRspUserLogout(CThostFtdcUserLogoutField *pUserLogout, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {};
 
-	///请求查询组播合约响应
-	virtual void OnRspQryMulticastInstrument(CThostFtdcMulticastInstrumentField *pMulticastInstrument, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {};
-
 	///错误应答
 	virtual void OnRspError(CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {};
 
@@ -158,9 +155,6 @@ class MD_API_EXPORT CThostFtdcMdApi
 
 	///登出请求
 	virtual int ReqUserLogout(CThostFtdcUserLogoutField *pUserLogout, int nRequestID) = 0;
-
-	///请求查询组播合约
-	virtual int ReqQryMulticastInstrument(CThostFtdcQryMulticastInstrumentField *pQryMulticastInstrument, int nRequestID) = 0;
 protected:
 	~CThostFtdcMdApi(){};
 };

diff --git a/external/ctp/include/ThostFtdcUserApiStruct.h b/external/ctp/include/ThostFtdcUserApiStruct.h
@@ -6835,32 +6835,6 @@ struct CThostFtdcQryBulletinField
 	TThostFtdcNewsUrgencyType	NewsUrgency;
 };
 
-///MulticastInstrument
-struct CThostFtdcMulticastInstrumentField
-{
-	///主题号
-	TThostFtdcInstallIDType	TopicID;
-	///合约代码
-	TThostFtdcInstrumentIDType	InstrumentID;
-	///合约编号
-	TThostFtdcInstallIDType	InstrumentNo;
-	///基准价
-	TThostFtdcPriceType	CodePrice;
-	///合约数量乘数
-	TThostFtdcVolumeMultipleType	VolumeMultiple;
-	///最小变动价位
-	TThostFtdcPriceType	PriceTick;
-};
-
-///QryMulticastInstrument
-struct CThostFtdcQryMulticastInstrumentField
-{
-	///主题号
-	TThostFtdcInstallIDType	TopicID;
-	///合约代码
-	TThostFtdcInstrumentIDType	InstrumentID;
-};
-
 ///转帐开户请求
 struct CThostFtdcReqOpenAccountField
 {

diff --git a/external/ctp/lib/libthostmduserapi.so b/external/ctp/lib/libthostmduserapi.so
diff --git a/external/ctp/lib/libthosttraderapi.so b/external/ctp/lib/libthosttraderapi.so
diff --git a/src/ctporder/main.cpp b/src/ctporder/main.cpp
@@ -68,8 +68,8 @@ int main() {
   CThostFtdcTraderApi* user_api = CThostFtdcTraderApi::CreateFtdcTraderApi();
 
   std::string broker = "1025";
-  std::string username = "160197";
-  std::string password = "qw78963";
+  std::string username = "920207";
+  std::string password = "584hxy..";
   /*
   std::string broker = "9999";
   std::string username = "116909";
@@ -117,7 +117,7 @@ int main() {
 
   user_api->SubscribePrivateTopic(THOST_TERT_QUICK);
   user_api->SubscribePublicTopic(THOST_TERT_QUICK);
-  std::string counterparty_host = "tcp://123.138.59.245:51216";  // simnow
+  std::string counterparty_host = "tcp://101.226.250.179:51205";  // simnow
   user_api->RegisterFront(const_cast<char*>(counterparty_host.c_str()));
   user_api->Init();
   if (enable_file) {