upload contract info

u20024804 · Jun 5, 2020 · 6cbc2bc · 6cbc2bc
1 parent 888ef40
commit 6cbc2bc
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Showing 21 changed files with 129 additions and 257 deletions.
diff --git a/config/backtest/backtest.config b/config/backtest/backtest.config
@@ -1,5 +1,5 @@
 fixed_path="/home/nick/future";
-backtest_outputdir = "backtest_high";
+backtest_outputdir = "backtest_plot";
 strategy = (
   {
     unique_name = "IC";
@@ -128,8 +128,8 @@ strategy = (
 // start_date = "today";
 // start_date = "yesterday";
 test_mode = "nexttest";
-start_date = "2019-01-01";
-period = 1000;
+start_date = "2019-11-01";
+period = 10;
 
 order_file = "order_backtest.dat";
 exchange_file = "exchange_backtest.dat";

diff --git a/config/backtest/bk_backtest.config b/config/backtest/bk_backtest.config
@@ -1,231 +1,30 @@
-time_controller = {
-  sleep_time = ["10:14:20-10:30:00", "11:29:20-13:30:00", "03:58:20-08:55:00"];
-  close_time = ["14:00:59-14:59:00", "23:00:00-23:59:59"];
-  force_close_time = ["16:59:59-17:30:00"];
-};
-
-legend = "nf:rg3:am50:mhc:*";
-backtest_out_file = "backtest_record";
-
+fixed_path="/home/nick/future";
+backtest_outputdir = "backtest_plot";
 strategy = (
-/*
-{ unique_name = "AP";
-  pairs = ("AP910", "AP905");
-  max_position = 5;
-  range_width = 1.5;
-  tick_size = 1.0;
-  contract_size = 10;
-  min_train_samples= 600;
-  cancel_threshhold = 1000000000;
-  min_range = 4.0;
-  min_profit = 1.0;
-  add_margin = 5.0;
-  spread_threshold = 3.0;
-  stop_loss_margin = 1.0;
-  max_loss_times = 2;
-  max_holding_sec = 144000000;
-},
-{ unique_name = "CF";
-  pairs = ("CF909", "CF905");
-  max_position = 5;
-  range_width = 1.0;
-  tick_size = 5.0;
-  contract_size = 10;
-  min_train_samples= 600;
-  cancel_threshhold = 1000000000;
-  min_range = 4.0;
-  min_profit = 1.0;
-  add_margin = 1.0;
-  spread_threshold = 3.0;
-  stop_loss_margin = 1.0;
-  max_loss_times = 2;
-  max_holding_sec = 3600;
-},
-{ unique_name = "FG";
-  pairs = ("FG909", "FG905");
-  max_position = 5;
-  range_width = 1.0;
-  tick_size = 1.0;
-  contract_size = 10;
-  min_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 = 3600;
-  stop_loss_margin = 1.0;
-  max_loss_times = 2;
-},
-{ unique_name = "MA";
-  pairs = ("MA909", "MA905");
-  max_position = 5;
-  range_width = 1.0;
-  tick_size = 1.0;
-  contract_size = 10;
-  min_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 = 3600;
-  stop_loss_margin = 1.0;
-  max_loss_times = 2;
-},
-{ unique_name = "OI";
-  pairs = ("OI909", "OI905");
-  max_position = 5;
-  range_width = 1.0;
-  tick_size = 1.0;
-  contract_size = 10;
-  min_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 = 3600;
-  stop_loss_margin = 1.0;
-  max_loss_times = 2;
-},
-{ unique_name = "fu";
-  pairs = ("fu1909", "fu1905");
-  max_position = 5;
-  range_width = 1.0;
-  tick_size = 1.0;
-  contract_size = 10;
-  min_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 = 36000000000;
-  stop_loss_margin = 1.0;
-  max_loss_times = 2;
-},
-
-{ unique_name = "cu";
-  pairs = ("cu1905", "cu1904");
-  max_position = 5;
-  tick_size = 10.0;
-  range_width = 2.0;
-  contract_size = 5;
-  min_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 = 1.0;
-  max_loss_times = 2;
-},
-
-{ unique_name = "ni";
-  pairs = ("ni1905", "ni1906");
-  max_position = 5;
-  tick_size = 10.0;
-  range_width = 2.0;
-  contract_size = 1;
-  min_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 = 1.0;
-  max_loss_times = 2;
-},
-*/
-
-{ unique_name = "IC";
-  pairs = ("IC1906", "IC1903");
-  max_position = 1;
-  range_width = 2.0;
-  tick_size = 0.2;
-  contract_size = 10;
-  min_train_samples= 600;
-  cancel_threshhold = 1000000000;
-  min_range = 4.0;
-  min_profit = 1.0;
-  add_margin = 3.0;
-  spread_threshold = 3.0;
-  max_holding_sec = 360000000;
-  stop_loss_margin = 1.0;
-  max_loss_times = 2;
-}
-
-);
-
-data_file = [
-  /*
-  "/running/quant/data/Ali/2018-11-28/AP9",
-  "/running/quant/data/Ali/2018-12-03/AP9",
-  "/running/quant/data/Ali/2018-12-05/AP9",
-  "/running/quant/data/Ali/2018-12-06/AP9",
-  "/running/quant/data/Ali/2018-12-10/AP9",
-  "/running/quant/data/Ali/2018-12-11/AP9",
-  "/running/quant/data/Ali/2018-12-12/AP9",
-  "/running/quant/data/Ali/2018-12-13/AP9",
-  "/running/quant/data/Ali/2018-12-14/AP9",
-  "/running/quant/data/Ali/2018-12-17/AP9",
-  "/running/quant/data/Ali/2018-12-18/AP9",
-  "/running/quant/data/Ali/2018-12-19/AP9",
-  "/running/quant/data/Ali/2018-12-20/AP9",
-  "/running/quant/data/Ali/2018-12-21/AP9",
-  "/running/quant/data/Ali/2018-12-24/AP9",
-  "/running/quant/data/Ali/2018-12-25/AP9",
-  "/running/quant/data/Ali/2018-12-26/AP9",
-  "/running/quant/data/Ali/2018-12-27/AP9",
-  "/running/quant/data/Ali/2018-12-28/AP9",
-  "/running/quant/data/Ali/2018-12-31/AP9",
-  "/running/quant/data/Ali/2019-01-01/AP9",
-  "/running/quant/data/Ali/2019-01-02/AP9",
-  "/running/quant/data/Ali/2019-01-03/AP9",
-  "/running/quant/data/Ali/2019-01-04/AP9",
-  "/running/quant/data/Ali/2019-01-07/AP9",
-  "/running/quant/data/Ali/2019-01-08/AP9",
-  "/running/quant/data/Ali/2019-01-09/AP9",
-  "/running/quant/data/Ali/2019-01-10/AP9",
-  "/running/quant/data/Ali/2019-01-11/AP9",
-  "/running/quant/data/Ali/2019-01-14/AP9",
-  "/running/quant/data/Ali/2019-01-15/AP9",
-  "/running/quant/data/Ali/2019-01-16/AP9",
-  "/running/quant/data/Ali/2019-01-17/AP9",
-  "/running/quant/data/Ali/2019-01-18/AP9",
-  "/running/quant/data/Ali/2019-01-21/AP9",
-  "/running/quant/data/Ali/2019-01-22/AP9",
-  "/running/quant/data/Ali/2019-01-23/AP9",
-  "/running/quant/data/Ali/2019-01-24/AP9",
-  "/running/quant/data/Ali/2019-01-25/AP9",
-  */
-  "/running/quant/data/Ali/2019-01-28/IC19",
-  "/running/quant/data/Ali/2019-01-29/IC19",
-  "/running/quant/data/Ali/2019-01-30/IC19",
-  "/running/quant/data/Ali/2019-01-31/IC19",
-  "/running/quant/data/Ali/2019-02-01/IC19",
-  "/running/quant/data/Ali/2019-02-02/IC19",
-  "/running/quant/data/Ali/2019-02-11/IC19",
-  "/running/quant/data/Ali/2019-02-12/IC19",
-  "/running/quant/data/Ali/2019-02-13/IC19",
-  "/running/quant/data/Ali/2019-02-14/IC19",
-  "/running/quant/data/Ali/2019-02-15/IC19",
-  "/running/quant/data/Ali/2019-02-18/IC19",
-  "/running/quant/data/Ali/2019-02-19/IC19",
-  "/running/quant/data/Ali/2019-02-20/IC19",
-  "/running/quant/data/Ali/2019-02-21/IC19",
-  "/running/quant/data/Ali/2019-02-22/IC19",
-  "/running/quant/data/Ali/2019-02-25/IC19",
-  "/running/quant/data/Ali/2019-02-26/IC19",
-  "/running/quant/data/Ali/2019-02-27/IC19",
-  "/running/quant/data/Ali/2019-02-28/IC19",
-  "/running/quant/data/Ali/2019-03-01/IC19"
-  // "/running/quant/data/Ali/2019-01-15/IC19"
-  // "/running/IC19"
-  ];
-
-matcher_mode = "c++";
-message_line = 100000;
+  {
+    unique_name = "ni";
+    ticker = "ni";
+    max_position = 1;
+    max_round = 1000;
+    range_width = 1.0;
+    train_samples = 1200;
+    min_range = 1.0;
+    split_num = 6;
+    min_profit = 1.0;
+    add_margin = 3.0;
+    spread_threshold = 3.0;
+    max_holding_sec = 3600000;
+    stop_loss_margin = 300.0;
+    max_loss_times = 2;
+  }
+  );
+
+// 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/config/contract/bk_contract.config b/config/contract/bk_contract.config
@@ -385,8 +385,8 @@ map = (
   is_fixed_open_fee_rate = true;
   is_fixed_close_today_fee_rate = true;
   is_fixed_close_fee_rate = true;
-  open_fee = 6.0;
-  close_today_fee= 6.0;
+  open_fee = 3.5;
+  close_today_fee= 0.0;
   close_fee= 6.0;
   },
   {

diff --git a/config/contract/contract.config b/config/contract/contract.config
@@ -444,9 +444,9 @@ sn = {
   is_fixed_open_fee_rate = true;
   is_fixed_close_today_fee_rate = true;
   is_fixed_close_fee_rate = true;
-  open_fee= 3.0;
+  open_fee= 2.0;
   close_today_fee= 0.0;
-  close_fee= 3.0;
+  close_fee= 2.0;
   };
 
 sp = {

diff --git a/config/prod/time.config b/config/prod/time.config
@@ -1,6 +1,7 @@
 time_controller : 
 {
-  sleep_time = ["09:30:00-09:45:59", "11:30:04-13:10:00", "00:00:00-03:30:00", "16:00:00-23:59:59"];
-  close_time = [ "14:20:00-14:50:00", "11:15:00-11:29:00" ];
-  force_close_time = [ "14:50:01-15:59:59", "11:29:01-11:29:59" ];
+  sleep_time = ["09:30:00-09:45:59", "20:55:00-23:59:59", "00:00:00-02:29:59"];
+  close_time = [ "14:30:00-14:50:00"];
+  force_close_time = [ "14:55:01-15:29:59"];
+  invalid_time = ["02:30:00-08:30:00", "11:30:00-13:00:00", "15:30:00-20:50:00"];
 };
diff --git a/external/common/include/core/base_strategy.h b/external/common/include/core/base_strategy.h
@@ -64,7 +64,7 @@ class BaseStrategy {
 
   void RequestQryPos();
   // automatic control function
-  void CheckStatus(const MarketSnapshot& shot);
+  void CheckStatus(const MarketSnapshot& shot, TimeStatus::Enum time_status);
   void UpdatePos(Order* o, const ExchangeInfo& info);
   void UpdateAvgCost(const std::string & ticker, double trade_price, int size);
   bool TimeUp() const;

diff --git a/external/common/include/struct/time_status.h b/external/common/include/struct/time_status.h
@@ -7,7 +7,8 @@ struct TimeStatus {
     Pause,
     Close,
     Training,
-    ForceClose
+    ForceClose,
+    InValid
   };
 
   static inline const char* ToString(Enum status) {
@@ -32,6 +33,10 @@ struct TimeStatus {
        return "ForceClose";
        break;
 
+     case InValid:
+       return "InValid";
+       break;
+
      default:
        return "Unknown";
        break;

diff --git a/external/common/include/util/time_controller.h b/external/common/include/util/time_controller.h
@@ -46,6 +46,8 @@ 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/ctp/include/ThostFtdcMdApi.h b/external/ctp/include/ThostFtdcMdApi.h
@@ -52,6 +52,9 @@ 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) {};
 
@@ -155,6 +158,9 @@ 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(){};
 };