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| # Byte-compiled / optimized / DLL files | ||
| __pycache__/ | ||
| *.py[cod] | ||
| *$py.class | ||
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| # C extensions | ||
| *.so | ||
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| # Distribution / packaging | ||
| .Python | ||
| build/ | ||
| develop-eggs/ | ||
| downloads/ | ||
| eggs/ | ||
| .eggs/ | ||
| lib/ | ||
| lib64/ | ||
| parts/ | ||
| var/ | ||
| wheels/ | ||
| share/python-wheels/ | ||
| *.egg-info/ | ||
| .installed.cfg | ||
| *.egg | ||
| MANIFEST | ||
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| # PyInstaller | ||
| # Usually these files are written by a python script from a template | ||
| # before PyInstaller builds the exe, so as to inject date/other infos into it. | ||
| *.manifest | ||
| *.spec | ||
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| # Installer logs | ||
| pip-log.txt | ||
| pip-delete-this-directory.txt | ||
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| # Unit test / coverage reports | ||
| htmlcov/ | ||
| .tox/ | ||
| .nox/ | ||
| .coverage | ||
| .coverage.* | ||
| .cache | ||
| nosetests.xml | ||
| coverage.xml | ||
| *.cover | ||
| .hypothesis/ | ||
| .pytest_cache/ | ||
|
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| # Translations | ||
| *.mo | ||
| *.pot | ||
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| # Django stuff: | ||
| *.log | ||
| local_settings.py | ||
| db.sqlite3 | ||
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| # Flask stuff: | ||
| instance/ | ||
| .webassets-cache | ||
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| # Scrapy stuff: | ||
| .scrapy | ||
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| # Sphinx documentation | ||
| docs/_build/ | ||
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| # PyBuilder | ||
| target/ | ||
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| # Jupyter Notebook | ||
| .ipynb_checkpoints | ||
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| # IPython | ||
| profile_default/ | ||
| ipython_config.py | ||
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| # pyenv | ||
| .python-version | ||
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| # celery beat schedule file | ||
| celerybeat-schedule | ||
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| # SageMath parsed files | ||
| *.sage.py | ||
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| # Environments | ||
| .env | ||
| .venv | ||
| env/ | ||
| venv/ | ||
| ENV/ | ||
| env.bak/ | ||
| venv.bak/ | ||
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| # Spyder project settings | ||
| .spyderproject | ||
| .spyproject | ||
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| # Rope project settings | ||
| .ropeproject | ||
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| # mkdocs documentation | ||
| /site | ||
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| # mypy | ||
| .mypy_cache/ | ||
| .dmypy.json | ||
| dmypy.json | ||
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| # Pyre type checker | ||
| .pyre/ | ||
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| .idea |
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| MIT License | ||
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| Copyright (c) 2019 CTPPlus | ||
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| Permission is hereby granted, free of charge, to any person obtaining a copy | ||
| of this software and associated documentation files (the "Software"), to deal | ||
| in the Software without restriction, including without limitation the rights | ||
| to use, copy, modify, merge, publish, distribute, sublicense, and/or sell | ||
| copies of the Software, and to permit persons to whom the Software is | ||
| furnished to do so, subject to the following conditions: | ||
|
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| The above copyright notice and this permission notice shall be included in all | ||
| copies or substantial portions of the Software. | ||
|
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| THE SOFTWARE IS PROVIDED "AS IS", WITHOUT WARRANTY OF ANY KIND, EXPRESS OR | ||
| IMPLIED, INCLUDING BUT NOT LIMITED TO THE WARRANTIES OF MERCHANTABILITY, | ||
| FITNESS FOR A PARTICULAR PURPOSE AND NONINFRINGEMENT. IN NO EVENT SHALL THE | ||
| AUTHORS OR COPYRIGHT HOLDERS BE LIABLE FOR ANY CLAIM, DAMAGES OR OTHER | ||
| LIABILITY, WHETHER IN AN ACTION OF CONTRACT, TORT OR OTHERWISE, ARISING FROM, | ||
| OUT OF OR IN CONNECTION WITH THE SOFTWARE OR THE USE OR OTHER DEALINGS IN THE | ||
| SOFTWARE. |
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| ### Hello World! | ||
| 开源这件事就像表白。迟迟没有行动，可能有很多原因。是自己还不够优秀？是还没等到合适的契机？亦或是担心付出的爱得不到等价的回报？ | ||
|
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| 终于，我们还是行动了。 | ||
|
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| 在交易所的技术支持下，我们设计并开发了初代使用Python语言的交易框架。该框架的延时测试结果对我们的技术和努力给予了肯定。 | ||
|
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| 一切都像是被安排好的，随后我们就接到了几个定制项目，分别踩了策略的坑、风控的坑、UI的坑、CS架构的坑、MMAP的坑，框架设计在一次又一次的迭代升级中被完善。 | ||
|
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| 接着，朋友建议我们开源：先进的技术只有被更广泛的应用才能体现其价值！ | ||
|
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| 开源之后我们能获得什么？自己用不好吗？如果付出不能得到对等的回报，岂不是徒为他人作嫁衣裳。我反复的问自己，踟蹰不前。 | ||
|
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| 你为什么喜欢交易？需要理由吗？不需要吗？我听到了内心的声音，虽然我仍是一个没有能力以交易为生的交易者，但是我也必定要将交易进行到底。我有了选择，愿为交易作嫁！ | ||
|
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| 多好的孩子呀，起个名字吧！ | ||
|
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| AlgoPlus!（美式发音请戳：[百度翻译](https://fanyi.baidu.com/?/#en/en/AlgoPlus)） | ||
|
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| Hello World. | ||
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| ### 简介 | ||
| 忠实于CTP官方API特性、低延时、易使用是AlgoPlus的立身之本。 | ||
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| AlgoPlus从以下三个不同的维度实现低延时： | ||
| * 利用Cython技术释放了GIL； | ||
| * 同时支持接入多路行情源，降低轮询等待时间； | ||
| * 利用CTP的线程特性，以接口回调直接驱动策略运行，无需主事件引擎，真正实现去中心化。 | ||
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| 我们对AlgoPlus进行过严格的延时测试：上海电信300M宽带，Simnow账户以对价方式进行无逻辑报单（收到成交回报之后立即再次报单），平均每秒可以完成50笔成交。也就是说，AlgoPlus从发出委托到收到成交回报（这个过程是从本地发出，经过互联网，到达期货公司交易前置，再到交易所，完成撮合成交之后，发回期货公司交易前置，再经过互联网，最终回到客户本地），平均需要20毫秒（1s=1000ms）。 | ||
|
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|  | ||
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| 为了提高AlgoPlus的易用性，一方面我们力求所有的设计都忠实于CTP官方功能，只要理解CTP官方API的工作流程，就可能直接上手使用，无需学习额外的知识；另一方面，我们会制作系统化的教程，将大家在使用过程中踩坑的几率降到最低。最后，我们开通了www.ctp.plus量化投资研究社区，方便大家学习、分享、交流。 | ||
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| ### 教程安排 | ||
| 制作关于量化投资的系统化、专业化、通用化教程，不限于文字形式，也将会是我们重要的工作之一。 | ||
|
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| 对量化投资技术的推广是我们最终的追求，所以教程不会只局限在AlgoPlus框架内。我们希望其他商业/开源平台的用户也能够通过我们的工作获得帮助。我们会为此倍感荣幸！ | ||
|
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| #### 《CTP官方接口手册》 | ||
| 本教程对CTP方法及相关参数进行了汇总归类，方便大家理解CTP的工作逻辑，也方便在需要时查阅。 | ||
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| 1. CTP接口工作流程概述 | ||
| * <http://ctp.plus/?/article/1> | ||
| 2. MdApi接口说明 | ||
| * <http://ctp.plus/?/article/2> | ||
| 3. TraderApi环境初始化与账户登录相关接口说明 | ||
| * <http://ctp.plus/?/article/3> | ||
| 4. TraderApi基础交易接口说明 | ||
| * <http://ctp.plus/?/article/4> | ||
| 5. TraderApi扩展交易接口说明 | ||
| * <http://ctp.plus/?/article/5> | ||
| 6. TraderApi资金与持仓查询接口说明 | ||
| * <http://ctp.plus/?/article/6> | ||
| 7. TraderApi保证金与手续费查询接口说明 | ||
| * <http://ctp.plus/?/article/7> | ||
| 8. TraderApi期权交易接口说明 | ||
| * <http://ctp.plus/?/article/8> | ||
| 9. TraderApi银行相关接口说明 | ||
| * <http://ctp.plus/?/article/9> | ||
| 10. TraderApi合约信息查询接口说明 | ||
| * <http://ctp.plus/?/article/10> | ||
| 11. TraderApi其他查询接口说明 | ||
| * <http://ctp.plus/?/article/11> | ||
| 12. 错误信息 | ||
| * <http://ctp.plus/?/article/12> | ||
|
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| #### 《AlgoPlus进阶手册》 | ||
| 本教程主要教大家如果使用AlgoPlus实现量化交易。 | ||
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| 1. 准备工作 | ||
| * 安装Anaconda | ||
| * 安装AlgoPlus | ||
| * 安装PyCharm | ||
| * 配置account_info | ||
| * Python基本语法 | ||
| * 线程与进程 | ||
| 2. 创建MdApi | ||
| 3. 合成K线 | ||
| 4. 计算指标 | ||
| 5. 创建TraderApi | ||
| 6. 报单（买卖开平）及回报 | ||
| 7. 撤单及回报 | ||
| 8. 客户端认证 | ||
| 9. 行情分发与接收 | ||
| * Queue | ||
| * MMAP | ||
| 10. 序列化 | ||
| * CSV | ||
| * MySQL | ||
| * hdf5 | ||
| * MMAP | ||
| 11. 性能分析 | ||
| * 期货公司行情速度测评 | ||
| * 行情分发性能测评 | ||
| * 交易延迟测评 | ||
| * 序列化性能测评 | ||
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| ### 开源地址 | ||
| 1. 码云： | ||
| * <https://gitee.com/AlgoPlus/> | ||
| 2. GitHub： | ||
| * <https://github.com/CTPPlus/AlgoPlus> | ||
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| GitHub的国内访问速度较慢，而且我们没有注册到AlgoPlus账号。所以目前以码云为主阵地。 | ||
|
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| ### 参与贡献 | ||
| @CTPPlus | ||
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| ### 版权说明 | ||
| MIT | ||
|
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| ### QQ群与微信公众号 | ||
| * QQ群：**866469866** | ||
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|  | ||
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| * 微信公众号：**AlgoPlus** | ||
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|  | ||
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| 欢迎发现我们，关注我们。 |
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| # 下载 | ||
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| 1. 推荐Anconda3 64-bit | ||
| * [ ] 官网： [https://www.anaconda.com/distribution/](https://www.anaconda.com/distribution/) | ||
| * [ ] 清华镜像： [https://mirrors.tuna.tsinghua.edu.cn/anaconda/](https://www.anaconda.com/distribution/) | ||
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| 2. 强迫症重度患者可选择Miniconda3 64-bit | ||
| * [ ] 官网： [https://docs.conda.io/en/latest/miniconda.html](https://docs.conda.io/en/latest/miniconda.html) | ||
| * [ ] 清华镜像： [https://mirrors.tuna.tsinghua.edu.cn/anaconda/miniconda/](https://mirrors.tuna.tsinghua.edu.cn/anaconda/miniconda/) | ||
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| # Windows安装 | ||
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| 1. 根据提示完成安装，遇到Advanced Options时，请勾选以下选项: | ||
| * [ ] Add Anconda to my PATH environment variable | ||
| * [ ] Register Anconda as my default Python 3.7 | ||
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| 2. 检查是否安装成功。在cmd中执行python命令，希望你能看到以下内容： | ||
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| Python 3.7.3 (default, Apr 24 2019, 15:29:51) [MSC v.1915 64 bit (AMD64)] :: Anaconda, Inc. on win32 | ||
| …… | ||
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| 如果你看到了： | ||
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| python' 不是内部或外部命令，也不是可运行的程序或批处理文件。 | ||
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| 我们只能先对此表示遗憾，再对您表示同情，最后请您按照以下步骤添加环境变量： | ||
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| ①随便打开一个文件夹，右键单击左侧列中的【我的电脑】 \ | ||
| ②左键单击菜单中【属性】选项 \ | ||
| ③在新窗口中左键单击【高级系统设置】 \ | ||
| ④在新窗口左键单击【高级】选项卡，再左键单击【环境变量】按钮 \ | ||
| ⑤在新窗口的用户变量（或者系统变量）列表中单击【Path】条目，将【Anaconda安装目录】、【\Scripts】、【\Library\bin】三个文件夹的完整路径添加其中。 | ||
| 例如我电脑里添加的环境变量（不好，似乎有什么秘密要被发现了）： | ||
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| C:\AlgoPlus\miniconda3 | ||
| C:\AlgoPlus\miniconda3\Scripts | ||
| C:\AlgoPlus\miniconda3\Library\bin | ||
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| 3. 重新打开一个cmd窗口，检查是否安装成功。如果你的运气有那么一丢丢不好，请在社区（ [http://www.ctp.plus](http://www.ctp.plus) ）中发帖咨询。 | ||
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| # 更换清华源，享受飞一样的感觉 | ||
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| 1. 执行以下命令换conda源 | ||
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| conda config --add channels https://mirrors.tuna.tsinghua.edu.cn/anaconda/pkgs/free/ | ||
| conda config --add channels https://mirrors.tuna.tsinghua.edu.cn/anaconda/cloud/conda-forge | ||
| conda config --add channels https://mirrors.tuna.tsinghua.edu.cn/anaconda/cloud/msys2/ | ||
| conda config --set show_channel_urls yes | ||
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| 2. 执行以下命令换pip源 | ||
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| pip install -i https://pypi.tuna.tsinghua.edu.cn/simple pip -U | ||
| pip config set global.index-url https://pypi.tuna.tsinghua.edu.cn/simple | ||
|
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| # 虚拟环境 | ||
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| 当有多个开发版在同时推进的情况下，为了避免对生产环境产生影响，可以创建虚拟环境。例如，CTP穿透式刚推行时，穿透式版和非穿透式版同时运行。通过创建一个穿透式虚拟环境，就可以避免调试新版本接口对生产环境造成影响。 | ||
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| - 创建代号为ctp_dev（根据需要设定）的虚拟环境环境 | ||
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| conda create --name ctp_dev python=3.7 | ||
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| - 列示所有环境信息，其中base是默认的主环境。 | ||
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| conda env list | ||
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| - 需要使用ctp_dev虚拟环境时，只需要使用以下代码激活之后所有操作都在虚拟环境目录（Miniconda3\envs\ctp_dev）中执行。 | ||
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| conda activate ctp_dev | ||
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| - 退出当前虚拟环境 | ||
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| conda deactivate | ||
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| - 删除代号为ctp_dev的虚拟环境 | ||
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| conda remove --name ctp_dev --all` | ||
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| # 强迫症患者必看 | ||
|
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| - 更新 | ||
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| conda update conda | ||
| conda update anaconda | ||
| conda update --all | ||
|
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| - 删除可写程序包缓存中未被使用的包。 | ||
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| conda clean -p | ||
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| - 删除缓存的tar包 | ||
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| conda clean -t | ||
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| - 删除索引缓存、锁定文件、未使用的缓存包和tar包 | ||
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| conda clean -all | ||
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| # 卸载 | ||
|
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| 纳尼？你居然告要卸载？门儿都没有！窗户都封死了！和我们一起将交易进行到底！ | ||
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| （换副笑脸）大爷，第二课的教程也给您准备好了，一定来玩呀…… |
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