upload

Makefile

@@ -33,6 +33,9 @@ simplemaker:
 simplearb:
 	$(WAF) configure simplearb $(PARAMS)
 
+simplearb2:
+	$(WAF) configure simplearb2 $(PARAMS)
+
 pairtrading:
 	$(WAF) configure pairtrading $(PARAMS)
 

config/backtest/backtest.config

@@ -1,6 +1,7 @@
 fixed_path="/home/nick/future";
-backtest_outputdir = "backtest_pr_516";
+backtest_outputdir = "backtest_ni10";
 strategy = (
+  /*
   {
     unique_name = "IC";
     ticker = "IC";
@@ -17,9 +18,11 @@ strategy = (
     stop_loss_margin = 10.0;
     max_loss_times = 2;
     no_close_today = true;
-  }/*,
+  }*/
+/*,
   {
     unique_name = "IH";
+    split_num = 6;
     ticker = "IH";
     max_position = 1;
     max_round = 1000;
@@ -45,11 +48,12 @@ strategy = (
     min_profit = 1.0;
     add_margin = 3.0;
     spread_threshold = 3.0;
+    split_num = 6;
     max_holding_sec = 360000000;
     stop_loss_margin = 10.0;
     max_loss_times = 2;
     no_close_today = true;
-  },
+  },*/
 
   {
     unique_name = "cu";
@@ -61,6 +65,7 @@ strategy = (
     contract_size = 5;
     train_samples= 600;
     cancel_threshhold = 1000000000;
+    split_num = 6;
     min_range = 4.0;
     min_profit = 1.0;
     add_margin = 1.0;
@@ -75,16 +80,17 @@ strategy = (
     ticker = "ni";
     max_position = 1;
     max_round = 1000;
-    range_width = 2.0;
+    range_width = 1.0;
     train_samples = 600;
-    min_range = 4.0;
+    min_range = 3.0;
+    split_num = 6;
     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;
-  },
+  }/*,
 
   {
     unique_name = "sn";
@@ -95,6 +101,7 @@ strategy = (
     train_samples = 600;
     min_range = 4.0;
     min_profit = 1.0;
+    split_num = 6;
     add_margin = 3.0;
     spread_threshold = 3.0;
     max_holding_sec = 3600000;
@@ -111,6 +118,7 @@ strategy = (
     train_samples = 600;
     min_range = 2.0;
     min_profit = 1.0;
+    split_num = 6;
     add_margin = 1.0;
     spread_threshold = 3.0;
     max_holding_sec = 3600000;
@@ -121,9 +129,9 @@ strategy = (
 
 // start_date = "today";
 // start_date = "yesterday";
-test_mode = "nexttest";
-start_date = "2019-01-11";
-period = 1000;
+test_mode = "test";
+start_date = "2019-03-01";
+period = 10;
 
 order_file = "order_backtest.dat";
 exchange_file = "exchange_backtest.dat";

config/prod/prod.config

@@ -2,7 +2,7 @@ strategy = (
   {
     unique_name = "IC";
     max_position = 1;
-    max_round = 4;
+    max_round = 4000;
     range_width = 2.0;
     train_samples = 1200;
     min_range = 4.0;
@@ -14,7 +14,7 @@ strategy = (
     max_loss_times = 2;
     split_num = 6;
     no_close_today = true;
-  }/*,
+  },
 
   {
     unique_name = "au";
@@ -114,7 +114,7 @@ strategy = (
     stop_loss_margin = 3.0;
     max_loss_times = 2;
     split_num = 6;
-  }*/
+  }
   );
 order_file = "order.dat";
 exchange_file = "exchange.dat";

config/prod/time.config

@@ -1,6 +1,6 @@
 time_controller : 
 {
-  sleep_time = ["09:30:00-09:45:59", "11:30:04-13:10:00"];
-  close_time = [ "14:20:00-14:50:00", "23:00:00-23:59:59", "11:15:00-11:29:00" ];
+  sleep_time = ["09:30:00-09:45:59", "11:30:04-13:10:00", "21:00:00-23:59:59", "00:00:00-03:30:00"];
+  close_time = [ "14:20:00-14:50:00", "11:15:00-11:29:00" ];
   force_close_time = [ "14:50:01-14:59:59", "16:59:59-17:30:00", "11:29:01-11:29:59" ];
 };

external/common/include/core/base_strategy.h

@@ -28,27 +28,26 @@
 
 class BaseStrategy {
  public:
-  BaseStrategy();
-
-  virtual ~BaseStrategy();
 
-  virtual void Start() = 0;
-  virtual void Stop() = 0;
+  // constructor and deconstructor
+  BaseStrategy() = default;
+  // forbid copy constructor and operator =
+  BaseStrategy(const BaseStrategy&) = delete;
+  BaseStrategy& operator=(const BaseStrategy&) = delete;
+  virtual ~BaseStrategy() {}
+
+  // interface function
   void UpdateData(const MarketSnapshot& shot);
   void UpdateData(const MarketSnapshot& this_shot, const MarketSnapshot& next_shot);
   void UpdateExchangeInfo(const ExchangeInfo& info);
-  void RequestQryPos();
-  virtual void Print() const;
-  virtual void Init() = 0;
+
+  // utility function
   void SendPlainText(const std::string & flag, const std::string & s);
+  void Print() const {}
+  virtual void HandleCommand(const Command& shot) {};
 
-  virtual void Clear();
-  void debug() const;
-  double GetMid(const std::string & ticker);
-  virtual void UpdateTicker();
-  virtual void HandleCommand(const Command& shot);
  protected:
-  void UpdateAvgCost(const std::string & ticker, double trade_price, int size);
+  // order operation
   std::string GenUniqueId();
   Order* NewOrder(const std::string & ticker, OrderSide::Enum side, int size, bool control_price, bool sleep_order, const std::string & tbd, bool no_today = false);
   Order* PlaceOrder(const std::string & ticker, double price, int size, bool no_today = false, const std::string & orderinfo = "");
@@ -62,58 +61,85 @@ class BaseStrategy {
   void ClearAll();
   void Wakeup();
   void Wakeup(Order* o);
-  void CheckStatus(const MarketSnapshot& shot);
 
+  void RequestQryPos();
+  // automatic control function
+  void CheckStatus(const MarketSnapshot& shot);
+  void UpdatePos(Order* o, const ExchangeInfo& info);
+  void UpdateAvgCost(const std::string & ticker, double trade_price, int size);
   bool TimeUp() const;
 
-  void UpdatePos(Order* o, const ExchangeInfo& info);
-  virtual void SimulateTrade(Order* o);
+  // set mode
   void SetStrategyMode(StrategyMode::Enum mode, std::ofstream* exchange_file);
-
-  bool position_ready;
-  BaseSender<Order>* order_sender;
-  BaseSender<MarketSnapshot>* ui_sender;
-  unordered_map<std::string, MarketSnapshot> shot_map;
-  unordered_map<std::string, MarketSnapshot> next_shot_map;
-  unordered_map<std::string, Order*> order_map;
-  unordered_map<std::string, Order*> sleep_order_map;
-  unordered_map<std::string, int> position_map;
-  unordered_map<std::string, double> avgcost_map;
-  int ref_num;
-  std::mutex cancel_mutex;
-  std::mutex order_ref_mutex;
-  std::mutex mod_mutex;
+
+  // automatic generate simulate trade info
+  virtual void SimulateTrade(Order* o);
+
+  // utility function
+  double GetMid(const std::string & ticker);
+
+  // variable with default value
+  bool m_position_ready = false;
+  int m_ref_num = 0;
+  long int m_build_position_time = MAX_UNIX_TIME;
+  int m_max_holding_sec = 36000;
+  bool m_init_ticker = false;
+  StrategyMode::Enum m_mode = StrategyMode::Real;
+  std::ofstream* m_sim_exchange_file_ = nullptr;
+  StrategyStatus::Enum m_ss = StrategyStatus::Init;
+
+  // communication worker
+  BaseSender<Order>* m_order_sender;
+  BaseSender<MarketSnapshot>* m_ui_sender;
+  unordered_map<std::string, MarketSnapshot> m_shot_map;
+  unordered_map<std::string, MarketSnapshot> m_next_shot_map;
+  unordered_map<std::string, Order*> m_order_map;
+  unordered_map<std::string, Order*> m_sleep_order_map;
+  unordered_map<std::string, int> m_position_map;
+  unordered_map<std::string, double> m_avgcost_map;
+  std::unordered_map<std::string, int> m_cancel_map;
+
+  // mutex
+  std::mutex m_cancel_mutex;
+  std::mutex m_order_ref_mutex;
+  std::mutex m_mod_mutex;
+
+  // for gen unique id
   std::string m_strat_name;
   TimeController* m_tc;
-  int ticker_size;
-  std::unordered_map<std::string, int> cancel_map;
-  StrategyStatus::Enum ss;
-  std::unordered_map<std::string, bool> ticker_map;
-  MarketSnapshot last_shot;
-  long int build_position_time;
-  int max_holding_sec;
   ContractWorker * m_cw;
-  HistoryWorker m_hw;
-  bool init_ticker;
-  StrategyMode::Enum mode_;
-  std::ofstream* sim_exchange_file_;
- private:
-  virtual void DoOperationAfterCancelled(Order* o);
-  virtual void Run() = 0;
-  virtual void Resume();
-  virtual void Pause();
-  virtual void Train();
-  virtual void Flatting();
-  virtual void ForceFlat();
+  HistoryWorker* m_hw;
 
-  virtual bool Ready() = 0;
-  virtual void ModerateOrders(const std::string & ticker);
+  // not use now, save for future
+  int m_ticker_size;
+  MarketSnapshot m_last_shot;
+
+  // private virtual function = public virtual function
+ private:
   virtual bool PriceChange(double current_price, double reasonable_price, OrderSide::Enum side, double edurance);
-  virtual void DoOperationAfterUpdatePos(Order* o, const ExchangeInfo& info);
-  virtual void DoOperationAfterUpdateData(const MarketSnapshot& shot);
-  virtual void DoOperationAfterFilled(Order* o, const ExchangeInfo& info);
 
+  // status control function
+  virtual void Start() {}
+  virtual void Stop() {}
+  virtual void Resume() {}
+  virtual void Pause() {}
+  virtual void Train() {}
+  virtual void Flatting() {}
+  virtual void ForceFlat() {}
+
+  // order control
+  virtual void ModerateOrders(const std::string & ticker) {}
+
+  // interface
+  virtual void DoOperationAfterUpdatePos(Order* o, const ExchangeInfo& info) {}
+  virtual void DoOperationAfterUpdateData(const MarketSnapshot& shot) {}
+  virtual void DoOperationAfterFilled(Order* o, const ExchangeInfo& info) {}
+  virtual void DoOperationAfterCancelled(Order* o) {}
+
+  // pure virtual function, must be implemented
   virtual double OrderPrice(const std::string & ticker, OrderSide::Enum side, bool control_price) = 0;
+  virtual void Run() = 0;
+  virtual bool Ready() = 0;
 };
 
 #endif  // BASE_STRATEGY_H_

rule.py

@@ -41,11 +41,13 @@ class ctporder_class(BuildContext):
 class manual_ctp_class(BuildContext):
   cmd = "manual_ctp"
 class getins_class(BuildContext):
-  cmd = "get_ins"
+  cmd = "getins"
 class simplemaker_class(BuildContext):
   cmd = "simplemaker"
 class simplearb_class(BuildContext):
   cmd = "simplearb"
+class simplearb2_class(BuildContext):
+  cmd = "simplearb2"
 class pairtrading_class(BuildContext):
   cmd = "pairtrading"
 class backtest_class(BuildContext):
@@ -93,6 +95,9 @@ def build(bld):
   if bld.cmd == "simplearb":
     run_simplearb(bld)
     return
+  if bld.cmd == "simplearb2":
+    run_simplearb2(bld)
+    return
   if bld.cmd == "pairtrading":
     run_pairtrading(bld)
     return
@@ -213,6 +218,22 @@ def run_simplearb(bld):
     use = 'zmq nick pthread config++ shm' # simplearb'
   )
 
+def run_simplearb2(bld):
+  #bld.read_shlib('nick', paths=['external/common/lib'])
+  bld.read_shlib('nick', paths=['external/common/lib'])
+  #bld.read_shlib('simplearb2', paths=['external/strategy/simplearb2/lib'])
+  bld.program(
+    target = 'bin/simplearb2',
+    source = ['src/simplearb2/main.cpp',
+              'src/simplearb2/strategy.cpp'
+             ],
+    includes = [
+                #'external/strategy/simplearb/include',
+                'external/zeromq/include'
+               ],
+    use = 'zmq nick pthread config++ shm' # simplearb'
+  )
+
 def run_pairtrading(bld):
   bld.read_shlib('nick', paths=['external/common/lib'])
   bld.program(
@@ -291,6 +312,7 @@ def run_all(bld):
   run_manual_ctp(bld)
   run_getins(bld)
   run_simplearb(bld)
+  run_simplearb2(bld)
   run_pairtrading(bld)
   run_backtest(bld)
   run_backtestpr(bld)

src/GetInstrument/main.cpp

@@ -31,7 +31,7 @@ class Listener : public CThostFtdcTraderSpi {
 
     snprintf(request.BrokerID, sizeof(request.BrokerID), "%s", "9999");
     snprintf(request.UserID, sizeof(request.UserID), "%s", "115686");
-    snprintf(request.Password, sizeof(request.Password), "%s", "fz567789");
+    snprintf(request.Password, sizeof(request.Password), "%s", "");
 
     printf("Connected\n");
 

src/backtest/main.cpp

@@ -106,7 +106,7 @@ std::unordered_map<std::string, std::vector<BaseStrategy*> > GetStratMap(std::st
   std::tie(data_sender, order_sender, f) = bt_config.GenSender(date);
   for (auto ticker : bt_config.strat_cw->GetTicker()) {
     const libconfig::Setting & p = bt_config.strat_cw->Lookup(ticker);
-    auto s = new Strategy(p, &ticker_strat_map, data_sender, order_sender, bt_config.tc, bt_config.cw, date, mode, f);
+    auto s = new Strategy(p, &ticker_strat_map, data_sender, order_sender, bt_config.tc, bt_config.cw, bt_config.GenHw(date), date, mode, f);
     s->Print();
   }
   return ticker_strat_map;