pre-release 0.4.0

quantOS-org · Nov 15, 2017 · ee4c336 · ee4c336
1 parent 6a4ff4c
commit ee4c336
Show file tree

Hide file tree

Showing 43 changed files with 575 additions and 950 deletions.
diff --git a/doc/backtest.md b/doc/backtest.md
@@ -45,7 +45,7 @@ def test_alpha_strategy_dataview():
         "position_ratio": 0.5,
     }
 
-    gateway = DailyStockSimGateway()
+    gateway = AlphaTradeApi()
     gateway.init_from_config(props)
 
     context = model.Context(dataview=dv, gateway=gateway)

diff --git a/doc/realtime.md b/doc/realtime.md
@@ -1 +1,81 @@
 ## Real Time Trading
+
+使用**JAQS**进行回测与实盘运行的代码具有高一致性，回测满意后，只需以下几点改动，即可接入实盘/模拟撮合：
+
+1. 使用实盘交易的交易接口：将`BacktestTradeApi`替换为`RealTimeTradeApi`
+2. 使用实盘交易主程序：将`EventBacktestInstance`替换为`EventRealTimeInstance`
+3. 在数据接口`RemoteDataService`中订阅所要交易品种的行情
+4. 在主程序最后添加`time.sleep(9999999)`. 保证在事件循环运行中，主程序不会提前终止
+5. 实时行情均为逐笔或Tick数据，即使订阅多个品种，行情数据仍会逐个到达`strategy.on_tick()`函数
+
+这里我们以双均线策略为例，展示实盘运行的代码：
+
+```python
+props = {'symbol': 'rb1801.SHF'}
+tapi = RealTimeTradeApi()
+ins = EventRealTimeInstance()
+
+tapi.use_strategy(3)
+
+ds = RemoteDataService()
+strat = DoubleMaStrategy()
+pm = PortfolioManager()
+
+context = model.Context(data_api=ds, trade_api=tapi,
+                        instance=ins, strategy=strat, pm=pm)
+
+ins.init_from_config(props)
+ds.subscribe(props['symbol'])
+
+ins.run()
+
+time.sleep(999999)
+
+```
+
+程序运行后，行情、策略、交易会在不同的线程内运行，我们只需要在`on_tick`中进行下单，在`on_trade`, `on_order_status`中处理交易回报即可。
+
+正常收到行情如下：
+```
+rb1801.SHF  20171116-211319500       (BID)    229@3889.00 | 3891.00@12     (ASK)
+Fast MA = 3889.89     Slow MA = 3889.81
+rb1801.SHF  20171116-211320000       (BID)    224@3889.00 | 3891.00@13     (ASK)
+Fast MA = 3889.93     Slow MA = 3889.83
+rb1801.SHF  20171116-211320500       (BID)    223@3889.00 | 3891.00@5      (ASK)
+Fast MA = 3889.89     Slow MA = 3889.85
+rb1801.SHF  20171116-211321000       (BID)    223@3889.00 | 3891.00@5      (ASK)
+Fast MA = 3889.93     Slow MA = 3889.88
+rb1801.SHF  20171116-211321500       (BID)     24@3890.00 | 3891.00@5      (ASK)
+Fast MA = 3890.00     Slow MA = 3889.92
+```
+
+如果发生下单、成交，则会收到如下回报：
+
+```
+
+rb1801.SHF  20171116-211319000       (BID)    230@3889.00 | 3891.00@6      (ASK)
+Fast MA = 3889.93     Slow MA = 3889.79
+
+Strategy on order status: 
+New       |  20171115(  211319) Buy    rb1801.SHF@3.000  size = 1
+
+Strategy on order status: 
+Accepted  |  20171115(  211319) Buy    rb1801.SHF@3.000  size = 1
+
+Strategy on trade: 
+20171115(  211319) Buy    rb1801.SHF@3.000  size = 1
+
+Strategy on order status: 
+Filled    |  20171115(  211319) Buy    rb1801.SHF@3.000  size = 1
+
+Strategy on task ind: 
+task_id = 81116000001  |  task_status = Stopped  |  task_algo = 
+task_msg = 
+DONE Execution Report (00'00"039):
++---------+------+----------+------+----+---------+-----+----------+----+---------+------------+-------+-------+--------+---------+
+|underlyer| ba_id|    symbol|jzcode|side|is_filled|price|fill_price|size|fill_size|pending_size|cancels|rejects|entrusts| duration|
++---------+------+----------+------+----+---------+-----+----------+----+---------+------------+-------+-------+--------+---------+
+|        0|800000|rb1801.SHF| 27509|Long|        Y|  3.0|    3.0000|   1|        1|           0|      0|      0|       1|00'00"033|
++---------+------+----------+------+----+---------+-----+----------+----+---------+------------+-------+-------+--------+---------+
+ 		
+```
diff --git a/doc/source/backtest.rst b/doc/source/backtest.rst
@@ -47,7 +47,7 @@ series)和信号（float series）权重
             "position_ratio": 0.5,
         }
 
-        gateway = DailyStockSimGateway()
+        gateway = AlphaTradeApi()
         gateway.init_from_config(props)
 
         context = model.Context(dataview=dv, gateway=gateway)

diff --git a/doc/source/jaqs.trade.rst b/doc/source/jaqs.trade.rst
@@ -29,14 +29,6 @@ jaqs\.trade\.common module
     :undoc-members:
     :show-inheritance:
 
-jaqs\.trade\.gateway module
----------------------------
-
-.. automodule:: jaqs.trade.gateway
-    :members:
-    :undoc-members:
-    :show-inheritance:
-
 jaqs\.trade\.model module
 -------------------------
 
@@ -53,26 +45,26 @@ jaqs\.trade\.portfoliomanager module
     :undoc-members:
     :show-inheritance:
 
-jaqs\.trade\.pubsub module
---------------------------
+jaqs\.trade\.realtime module
+----------------------------
 
-.. automodule:: jaqs.trade.pubsub
+.. automodule:: jaqs.trade.realtime
     :members:
     :undoc-members:
     :show-inheritance:
 
-jaqs\.trade\.realinstance module
---------------------------------
+jaqs\.trade\.strategy module
+----------------------------
 
-.. automodule:: jaqs.trade.realinstance
+.. automodule:: jaqs.trade.strategy
     :members:
     :undoc-members:
     :show-inheritance:
 
-jaqs\.trade\.strategy module
-----------------------------
+jaqs\.trade\.tradegateway module
+--------------------------------
 
-.. automodule:: jaqs.trade.strategy
+.. automodule:: jaqs.trade.tradegateway
     :members:
     :undoc-members:
     :show-inheritance:

diff --git a/doc/source/realtime.rst b/doc/source/realtime.rst
@@ -1,2 +1,82 @@
 Real Time Trading
 -----------------
+
+使用\ **JAQS**\ 进行回测与实盘运行的代码具有高一致性，回测满意后，只需以下几点改动，即可接入实盘/模拟撮合：
+
+#. 使用实盘交易的交易接口：将\ ``BacktestTradeApi``\ 替换为\ ``RealTimeTradeApi``
+#. 使用实盘交易主程序：将\ ``EventBacktestInstance``\ 替换为\ ``EventRealTimeInstance``
+#. 在数据接口\ ``RemoteDataService``\ 中订阅所要交易品种的行情
+#. 在主程序最后添加\ ``time.sleep(9999999)``.
+   保证在事件循环运行中，主程序不会提前终止
+#. 实时行情均为逐笔或Tick数据，即使订阅多个品种，行情数据仍会逐个到达\ ``strategy.on_tick()``\ 函数
+
+这里我们以双均线策略为例，展示实盘运行的代码：
+
+.. code:: python
+
+    props = {'symbol': 'rb1801.SHF'}
+    tapi = RealTimeTradeApi()
+    ins = EventRealTimeInstance()
+
+    tapi.use_strategy(3)
+
+    ds = RemoteDataService()
+    strat = DoubleMaStrategy()
+    pm = PortfolioManager()
+
+    context = model.Context(data_api=ds, trade_api=tapi,
+                            instance=ins, strategy=strat, pm=pm)
+
+    ins.init_from_config(props)
+    ds.subscribe(props['symbol'])
+
+    ins.run()
+
+    time.sleep(999999)
+
+程序运行后，行情、策略、交易会在不同的线程内运行，我们只需要在\ ``on_tick``\ 中进行下单，在\ ``on_trade``,
+``on_order_status``\ 中处理交易回报即可。
+
+正常收到行情如下：
+
+::
+
+    rb1801.SHF  20171116-211319500       (BID)    229@3889.00 | 3891.00@12     (ASK)
+    Fast MA = 3889.89     Slow MA = 3889.81
+    rb1801.SHF  20171116-211320000       (BID)    224@3889.00 | 3891.00@13     (ASK)
+    Fast MA = 3889.93     Slow MA = 3889.83
+    rb1801.SHF  20171116-211320500       (BID)    223@3889.00 | 3891.00@5      (ASK)
+    Fast MA = 3889.89     Slow MA = 3889.85
+    rb1801.SHF  20171116-211321000       (BID)    223@3889.00 | 3891.00@5      (ASK)
+    Fast MA = 3889.93     Slow MA = 3889.88
+    rb1801.SHF  20171116-211321500       (BID)     24@3890.00 | 3891.00@5      (ASK)
+    Fast MA = 3890.00     Slow MA = 3889.92
+
+如果发生下单、成交，则会收到如下回报：
+
+::
+
+    rb1801.SHF  20171116-211319000       (BID)    230@3889.00 | 3891.00@6      (ASK)
+    Fast MA = 3889.93     Slow MA = 3889.79
+
+    Strategy on order status: 
+    New       |  20171115(  211319) Buy    rb1801.SHF@3.000  size = 1
+
+    Strategy on order status: 
+    Accepted  |  20171115(  211319) Buy    rb1801.SHF@3.000  size = 1
+
+    Strategy on trade: 
+    20171115(  211319) Buy    rb1801.SHF@3.000  size = 1
+
+    Strategy on order status: 
+    Filled    |  20171115(  211319) Buy    rb1801.SHF@3.000  size = 1
+
+    Strategy on task ind: 
+    task_id = 81116000001  |  task_status = Stopped  |  task_algo = 
+    task_msg = 
+    DONE Execution Report (00'00"039):
+    +---------+------+----------+------+----+---------+-----+----------+----+---------+------------+-------+-------+--------+---------+
+    |underlyer| ba_id|    symbol|jzcode|side|is_filled|price|fill_price|size|fill_size|pending_size|cancels|rejects|entrusts| duration|
+    +---------+------+----------+------+----+---------+-----+----------+----+---------+------------+-------+-------+--------+---------+
+    |        0|800000|rb1801.SHF| 27509|Long|        Y|  3.0|    3.0000|   1|        1|           0|      0|      0|       1|00'00"033|
+    +---------+------+----------+------+----+---------+-----+----------+----+---------+------------+-------+-------+--------+---------+
diff --git a/jaqs/__init__.py b/jaqs/__init__.py
@@ -4,4 +4,4 @@
 
 SOURCE_ROOT_DIR = os.path.dirname(os.path.abspath(__file__))
 
-__version__ = '0.3.0'
+__version__ = '0.4.0'
diff --git a/jaqs/data/dataservice.py b/jaqs/data/dataservice.py
@@ -5,8 +5,6 @@
 import numpy as np
 import pandas as pd
 
-from jaqs.util import fileio
-# from jaqs.trade.pubsub import Publisher
 from jaqs.trade.event import EVENT_TYPE, Event
 from jaqs.data.dataapi import DataApi
 from jaqs.data import align
@@ -259,7 +257,10 @@ def init_from_config(self, props=None):
             props = dict()
 
         if self.data_api is not None:
-            self.data_api.close()
+            if len(props) == 0:
+                return
+            else:
+                self.data_api.close()
 
         def get_from_list_of_dict(l, key, default=None):
             res = None
@@ -271,7 +272,7 @@ def get_from_list_of_dict(l, key, default=None):
                 res = default
             return res
 
-        props_default = fileio.read_json(fileio.join_relative_path('etc/data_config.json'))
+        props_default = jutil.read_json(jutil.join_relative_path('etc/data_config.json'))
         dic_list = [props, props_default]
 
         address = get_from_list_of_dict(dic_list, "remote.address", "")

diff --git a/jaqs/data/dataview.py b/jaqs/data/dataview.py
@@ -13,8 +13,7 @@
 import numpy as np
 import pandas as pd
 
-import jaqs.util.fileio
-from jaqs.util import dtutil
+import jaqs.util as jutil
 from jaqs.data.align import align
 from jaqs.data.py_expression_eval import Parser
 
@@ -405,8 +404,8 @@ def init_from_config(self, props, data_api):
 
         # initialize parameters
         self.start_date = props['start_date']
-        self.extended_start_date_d = dtutil.shift(self.start_date, n_weeks=-8)  # query more data
-        self.extended_start_date_q = dtutil.shift(self.start_date, n_weeks=-80)
+        self.extended_start_date_d = jutil.shift(self.start_date, n_weeks=-8)  # query more data
+        self.extended_start_date_q = jutil.shift(self.start_date, n_weeks=-80)
         self.end_date = props['end_date']
         self.all_price = props.get('all_price', True)
         self.freq = props.get('freq', 1)
@@ -1326,7 +1325,7 @@ def load_dataview(self, folder_path='.'):
             Folder path to store hd5 file and meta data.
             
         """
-        meta_data = jaqs.util.fileio.read_json(os.path.join(folder_path, 'meta_data.json'))
+        meta_data = jutil.read_json(os.path.join(folder_path, 'meta_data.json'))
         dic = self._load_h5(os.path.join(folder_path, 'data.hd5'))
         self.data_d = dic.get('/data_d', None)
         self.data_q = dic.get('/data_q', None)
@@ -1357,7 +1356,7 @@ def save_dataview(self, folder_path):
         meta_data_to_store = {key: self.__dict__[key] for key in self.meta_data_list}
 
         print "\nStore data..."
-        jaqs.util.fileio.save_json(meta_data_to_store, meta_path)
+        jutil.save_json(meta_data_to_store, meta_path)
         self._save_h5(data_path, data_to_store)
 
         print ("Dataview has been successfully saved to:\n"
@@ -1379,7 +1378,7 @@ def _save_h5(fp, dic):
         import warnings
         warnings.filterwarnings('ignore', category=pd.io.pytables.PerformanceWarning)
 
-        jaqs.util.fileio.create_dir(fp)
+        jutil.create_dir(fp)
         h5 = pd.HDFStore(fp, complevel=9, complib='blosc')
         for key, value in dic.viewitems():
             h5[key] = value