xtquant.qmttools.contextinfo

  1#coding:utf-8
  2
  3import datetime as dt
  4import threading
  5
  6import pandas as pd
  7
  8from . import functions
  9
 10class ContextInfo:
 11    def __init__(this):
 12        #base
 13        this.request_id = ''
 14        this.quote_mode = '' #'realtime' 'history' 'all'
 15        this.trade_mode = '' #'simulation' 'trading' 'backtest'
 16        this.title = ''
 17        this.user_script = ''
 18
 19        #quote
 20        this.stock_code = ''
 21        this.stockcode = ''
 22        this.market = ''
 23        this.period = ''
 24        this.start_time = ''
 25        this.end_time = ''
 26        this.dividend_type = ''
 27
 28        #bar frame
 29        this.timelist = []
 30        this.barpos = -1
 31        this.lastrunbarpos = -1
 32        this.result = {}
 33        this.push_result = {}
 34
 35        #backtest
 36        this.asset = 1000000.0  # 初始资金
 37        this.margin_ratio = 0.05  # 保证金比例
 38        this.slippage_type = 2  # 滑点类型
 39        this.slippage = 0.0  # 滑点值
 40        this.max_vol_rate = 1.0  # 最大成交比例
 41        this.comsisson_type = 0  # 手续费类型
 42        this.open_tax = 0.0  # 买入印花税
 43        this.close_tax = 0.0  # 卖出印花税
 44        this.min_commission = 0.0  # 最低佣金
 45        this.open_commission = 0.0  # 买入佣金
 46        this.close_commission = 0.0  # 平昨佣金
 47        this.close_today_commission = 0.0  # 平今佣金
 48        this.benchmark = '000300.SH' # 业绩基准
 49
 50        this.capital = None
 51        this.do_back_test = None
 52
 53        #reserved
 54        this.refresh_rate = None
 55        this.fund_name = None
 56        this.link_fund_name = None
 57        this.data_info_level = None
 58        this.time_tick_size = None
 59        return
 60
 61    ### qmt strategy frame ###
 62
 63    def init(this):
 64        return
 65
 66    def after_init(this):
 67        return
 68
 69    def handlebar(this):
 70        return
 71
 72    def stop(this):
 73        return
 74
 75    def account_callback(this, account_info):
 76        return
 77
 78    def order_callback(this, order_info):
 79        return
 80
 81    def deal_callback(this, deal_info):
 82        return
 83
 84    def position_callback(this, position_info):
 85        return
 86
 87    def orderError_callback(this, passorder_info, msg):
 88        return
 89
 90    ### qmt functions - bar ###
 91
 92    def is_last_bar(this):
 93        return this.barpos >= len(this.timelist) - 1
 94
 95    def is_new_bar(this):
 96        return this.barpos > this.lastbarpos
 97
 98    def get_bar_timetag(this, barpos = None):
 99        try:
100            return this.timelist[barpos] if barpos is not None else this.timelist[this.barpos]
101        except Exception as e:
102            return None
103
104    ### qmt functions - graph ###
105
106    def paint(this, name, value, index = -1, drawstyle = 0, color = '', limit = ''):
107        vp = {str(this.get_bar_timetag()): value}
108
109        if name not in this.result:
110            this.result[name] = {}
111        this.result[name].update(vp)
112
113        if name not in this.push_result:
114            this.push_result[name] = {}
115        this.push_result[name].update(vp)
116        return
117
118    ### qmt functions - quote ###
119
120    def subscribe_quote(this, stock_code = '', period = '', dividend_type = '', result_type = '', callback = None):
121        if not stock_code:
122            stock_code = this.stock_code
123        if not period or period == 'follow':
124            period = this.period
125        if not dividend_type or dividend_type == 'follow':
126            dividend_type = this.dividend_type
127        return functions.subscribe_quote(stock_code, period, dividend_type, result_type, callback)
128
129    def subscribe_whole_quote(this, code_list, callback = None):
130        return functions.subscribe_whole_quote(code_list, callback)
131
132    def unsubscribe_quote(this, subscribe_id):
133        return functions.unsubscribe_quote(subscribe_id)
134
135    def get_market_data(
136        this, fields = [], stock_code = [], start_time = '', end_time = ''
137        , skip_paused = True, period = '', dividend_type = '', count = -1
138    ):
139        if not stock_code:
140            stock_code = [this.stock_code]
141        if not period or period == 'follow':
142            period = this.period
143        if not dividend_type or dividend_type == 'follow':
144            dividend_type = this.dividend_type
145        if period != 'tick' and count == -1 and len(fields) == 1:
146            if not end_time or end_time == 'follow':
147                if this.barpos >= 0:
148                    end_time = functions.timetag_to_datetime(this.get_bar_timetag(this.barpos))
149                    count = -2
150        if period == 'tick' and count == -1 and len(fields) == 1 and start_time == '' and end_time == '':
151            count = -2
152
153        return functions.get_market_data(
154            fields, stock_code, start_time, end_time
155            , skip_paused, period, dividend_type, count
156        )
157
158    def get_market_data_ex(
159        this, fields = [], stock_code = [], period = ''
160        , start_time = '', end_time = '', count = -1
161        , dividend_type = '', fill_data = True, subscribe = True
162    ):
163        if not stock_code:
164            stock_code = [this.stock_code]
165        if not period or period == 'follow':
166            period = this.period
167        if not dividend_type or dividend_type == 'follow':
168            dividend_type = this.dividend_type
169
170        return functions.get_market_data_ex(
171            fields, stock_code, period
172            , start_time, end_time, count
173            , dividend_type, fill_data, subscribe
174        )
175
176    def get_full_tick(this, stock_code = []):
177        if not stock_code:
178            stock_code = [this.stock_code]
179        return functions.get_full_tick(stock_code)
180
181    def get_divid_factors(this, stock_code = '', date = None):
182        if not stock_code:
183            stock_code = this.stock_code
184        return functions.get_divid_factors(stock_code, date)
185
186    ### qmt functions - finance ###
187
188    def get_financial_data(this, field_list, stock_list, start_date, end_date, report_type = 'announce_time'):
189        raise 'not implemented, use get_raw_financial_data instead'
190        return
191
192    def get_raw_financial_data(this, field_list, stock_list, start_date, end_date, report_type = 'announce_time'):
193        return functions.get_raw_financial_data(field_list, stock_list, start_date, end_date, report_type)
194
195    ### qmt functions - static ###
196
197    def get_instrument_detail(this, stock_code = ''):
198        if not stock_code:
199            stock_code = this.stock_code
200        return functions.get_instrument_detail(stock_code)
201
202    get_instrumentdetail = get_instrument_detail # compat
203
204    def get_trading_dates(this, stock_code, start_date, end_date, count, period = '1d'):
205        return functions.get_trading_dates(stock_code, start_date, end_date, count, period)
206
207    def get_stock_list_in_sector(this, sector_name):
208        return functions.get_stock_list_in_sector(sector_name)
209
210    def passorder(this, opType, orderType, accountid, orderCode, prType, modelprice, volume):
211        return functions._passorder_impl(opType, orderType, accountid, orderCode, prType, modelprice, volume, this.get_bar_timetag(), this.request_id)
212
213    def set_auto_trade_callback(this, enable):
214        return functions._set_auto_trade_callback_impl(enable, this.request_id)
215
216    def set_account(this, accountid):
217        return functions.set_account(accountid, this.request_id)
218
219    ### private ###
220
221    def trade_callback(this, type, result, error):
222        class DetailData(object):
223            def __init__(self, _obj):
224                if _obj:
225                    self.__dict__.update(_obj)
226
227        if type == 'accountcallback':
228            this.account_callback(DetailData(result))
229        elif type == 'ordercallback':
230            this.order_callback(DetailData(result))
231        elif type == 'dealcallback':
232            this.deal_callback(DetailData(result))
233        elif type == 'positioncallback':
234            this.position_callback(DetailData(result))
235        elif type == 'ordererrorcallback':
236            this.orderError_callback(DetailData(result.get('passorderArg')), result.get('strMsg'))
237
238        return
239
240    def register_callback(this, reqid):
241        functions.register_external_resp_callback(reqid, this.trade_callback)
242        return
243
244    def get_callback_cache(this, type):
245        return functions._get_callback_cache_impl(type, this.request_id)