SmartX Developer Doc

# 策略 Demo2:

import sys
import time
import json
import kungfu.yijinjing.time as kft
import kungfu.wingchun.utils as wc_utils
from kungfu.wingchun.constants import *
import pyyjj

#如果需要米筐数据,需要引入rqdatac
#import rqdatac as rq
#from rqdatac import*


source = Source.XTP
exchange = Exchange.SSE


def info_bar(context, bar) :
    context.log.info("Bar data, code: " + bar.code
        + ", bar data, trading_day: " + bar.trading_day
        + ", source_id: " + bar.source_id
        + ", instrument_id: " + bar.instrument_id
        + ", exchange_id: " + bar.exchange_id
        + ", start_time: " + str(bar.start_time)
        + ", end_time: " + str(bar.end_time)
        + ", time_interval: " + str(bar.time_interval)
        + ", period: " + bar.period
        + ", open: " + str(bar.open)
        + ", close: " + str(bar.close)
        + ", low: " + str(bar.low)
        + ", high: " + str(bar.high)
        + ", volume: " + str(bar.volume)
        + ", start_volume: " + str(bar.start_volume)
        + ", turnover: " + str(bar.turnover)
        + ", start_turnover: " + str(bar.start_turnover)
        )

def info_quote(context, quote) :
    context.log.info("Quote data, source_id: " + quote.source_id
    + ", trading_day: " + str(quote.trading_day)
    + ", data_time: " + str(quote.data_time)
    + ", instrument_id: " + str(quote.instrument_id)
    + ", exchange_id: " + str(quote.exchange_id)
    + ", instrument_type: " + str(quote.instrument_type)
    # + ", kungfu_time_flag: " + str(quote.kungfu_time_flag)
    + ", pre_close_price: " + str(quote.pre_close_price)
    + ", pre_settlement_price: " + str(quote.pre_settlement_price)
    + ", last_price: " + str(quote.last_price)
    + ", volume: " + str(quote.volume)
    + ", turnover: " + str(quote.turnover)
    + ", pre_open_interest: " + str(quote.pre_open_interest)
    + ", open_interest: " + str(quote.open_interest)
    + ", open_price: " + str(quote.open_price)
    + ", high_price: " + str(quote.high_price)
    + ", low_price: " + str(quote.low_price)
    + ", upper_limit_price: " + str(quote.upper_limit_price)
    + ", lower_limit_price: " + str(quote.lower_limit_price)
    + ", close_price: " + str(quote.close_price)
    + ", settlement_price: " + str(quote.settlement_price)
    + ", iopv: " + str(quote.iopv)
    + ", pre_iopv: " + str(quote.pre_iopv)
    + ", ticker_status: " + str(quote.ticker_status)
    )


def on_quote(context, quote) :
    func_name = sys._getframe().f_code.co_name
    context.log.info("{} called".format(func_name))
    info_quote(context, quote)


def info_data_frame(context, msg, data) :
    context.log.info(msg)
    for row in data.itertuples() :
        context.log.info("{} : {}".format(msg, row))

def info_numpy(context, msg, data) :
    context.log.info(msg)
    for row in data :
        context.log.info("{} : {}".format(msg, row))



#bar 分钟级别行情回调
def on_bar(context, bar) :
    func_name = sys._getframe().f_code.co_name
    context.log.info("{} called".format(func_name))

    info_bar(context, bar)



bar_callback_called_times = 0

def bar_callback(context, bar):
    func_name = sys._getframe().f_code.co_name
    context.log.info("{} called".format(func_name))

    info_bar(context, func_name, bar)


def test_sub_bar(context) :
    func_name = sys._getframe().f_code.co_name
    context.log.info("{} start".format(func_name))

    codes1 = ["000001.SZ", "600000.SSE"]
    failed_codes = context.subscribe_bar(codes1, "3m", bar_callback)
    context.log.info("call {} done, failed_codes: {}".format(func_name, failed_codes))

    codes2 = ["000002.SZ", "600004.SSE"]
    failed_codes = context.subscribe_bar(codes2, "2m")
    context.log.info("call {} done, failed_codes: {}".format(func_name, failed_codes))


def on_indicator(context, indicator_type, indicator:dict) :
    func_name = sys._getframe().f_code.co_name
    context.log.info("{} called, indicator type: {}, indicator data: {}".format(func_name, indicator_type, json.dumps(indicator)))


def indicator_callback(context, indicator_type, indicator:dict) :
    func_name = sys._getframe().f_code.co_name
    context.log.info("{} called, indicator type: {}, indicator data: {}".format(func_name, indicator_type, json.dumps(indicator)))


def test_sub_indicator(context) :
    func_name = sys._getframe().f_code.co_name
    context.log.info("{} start".format(func_name))

    codes1 = ["512160.SSE", "159631.SZ"]
    failed_codes  = context.subscribe_indicator("etf", codes1, indicator_callback)

    context.log.info("call {} done, failed_codes: {}".format(func_name, failed_codes))

    codes2 = ["561130.SSE", "159523.SZ"]
    failed_codes  = context.subscribe_indicator("etf", codes2)



def test_query_bar_today(context) :
    func_name = sys._getframe().f_code.co_name
    context.log.info("{} start".format(func_name))

    ### 此处可以传两种形式的 code，即长码和短码，同时支持大小写
    codes = ["000002.SZ", "600000.SSE"]

    today_bar_data_map = context.query_bar_today(codes, "30m")

    for code, bars in today_bar_data_map.items() :
        context.log.info("{}, map code: {}".format(func_name, code))
        for bar in bars :
            info_bar(context, bar)

    context.log.info("{} end".format(func_name))


def today_bar_callback(context, today_bar_data_mp, query_id) :
    func_name = sys._getframe().f_code.co_name
    context.log.info("{} called, query_id: {}".format(func_name, query_id))
    for code, bars in today_bar_data_mp.items() :   ### 这里的 code 和调用 query_bar_today_async 时传入的 codes 相同
        context.log.info("map code: {}".format(code))
        for bar in bars :
            info_bar(context, bar)

def test_query_bar_today_async(context) :
    func_name = sys._getframe().f_code.co_name
    context.log.info("{} start".format(func_name))

    ### 此处可以传两种形式的 code，即长码和短码，同时支持大小写
    codes = ["000002.SZ", "600000.SSE"]
    context.query_bar_today_async(codes, today_bar_callback, "60m", 22)

    context.log.info("{} end".format(func_name))

def test_query_market_data(context) :
    func_name = sys._getframe().f_code.co_name
    context.log.info("{} start".format(func_name))

    params = {
        "code": "000001.SZ", # 证券代码  SZ:深证 SH:上海 String(必填)
        "start_date": "2024-01-12 10:00:00", # 开始日期 String(必填) 开始日期 格式yyyy-MM-dd hh:mm:ss
        "end_date": "2024-01-12 10:10:00" # 结束日期 String(必填) 结束日期 格式yyyy-MM-dd hh:mm:ss
    }

    quotes = context.query_market_data(params)

    if len(quotes) > 0 :
        for quote in quotes :
            info_quote(context, quote)


def query_market_data_callback(context, quotes, query_id) :
    func_name = sys._getframe().f_code.co_name
    context.log.info("{} called, query_id: {}".format(func_name, query_id))

    if len(quotes) > 0 :
        for quote in quotes :
            info_quote(context, quote)

def test_query_market_data_async(context) :
    func_name = sys._getframe().f_code.co_name
    context.log.info("{} start".format(func_name))

    params = {
        "code": "000001.SZ", # 证券代码  SZ:深证 SH:上海 String(必填)
        "start_date": "2024-01-12 10:00:00", # 开始日期 String(必填) 开始日期 格式yyyy-MM-dd hh:mm:ss
        "end_date": "2024-01-12 10:10:00" # 结束日期 String(必填) 结束日期 格式yyyy-MM-dd hh:mm:ss
    }

    context.query_market_data_async(params, query_market_data_callback, 23)

def test_query_bar(context) :
    func_name = sys._getframe().f_code.co_name
    context.log.info("{} start".format(func_name))
    params = {
        # "code": "", # String(必填) 证券代码  SZ:深证 SH:上海
        "instrument": "000002",
        "exchange_id": "SZE",
        "start_date": "2024-01-24 10:00:00", # String(必填) 开始日期
        "end_date": "2024-01-24 11:00:00", # String(必填) 结束日期
        "period": "15m", # #String(选填) 频次 仅支持1m 5m 15m 30m 60m 1d 1w 默认1d,(m代表分钟，d代表天，w代表周)，注意：查询1d的则开始、截止时间需要将00:00:00包住，查询1w的则开始、截止时间需要将周五的00:00:00包住
        "adjust_type": "pre" # String(选填) 复权方式 none:不复权 pre:前复权 post:后复权 默认前复权
    }

    bars = context.query_bar(params)

    if len(bars) > 0 :
        for bar in bars :
            info_bar(context, bar)

def query_bar_callback(context, bar_list, query_id) :
    func_name = sys._getframe().f_code.co_name
    context.log.info("{} called, query_id: {}".format(func_name, query_id))

    if len(bar_list) > 0 :
        for bar in bar_list :
            info_bar(context, bar)

def test_query_bar_async(context) :
    func_name = sys._getframe().f_code.co_name
    context.log.info("{} start".format(func_name))
    params = {
        "code": "000001.SZ", # String(必填) 证券代码  SZ:深证 SH:上海
        "instrument_id" : "600000",
        "exchange_id" : "SSE",
        "start_date": "2024-01-23 10:00:00", # String(必填) 开始日期
        "end_date": "2024-01-24 10:00:00", # String(必填) 结束日期
        "period": "60m", # String(选填) 频次 仅支持1m 15m 30m 60m 1d 1w 默认1d
        "adjust_type": "pre" # String(选填) 复权方式 none:不复权 pre:前复权 post:后复权 默认前复权
    }

    bars = context.query_bar_async(params, query_bar_callback, 24)

    context.log.info("call query_bar_async done")



# 查询历史 bar 数据
def test_query_data(context) :
    func_name = sys._getframe().f_code.co_name
    context.log.info("{} start".format(func_name))

    out_format = OutFormat.List
    method = "bar" # String(必填)

    ### 以下参数中如果传了 code 则可以不传 instrument_id 和 exchange_id，如果传了 instrument_id 和 exchange_id，如果同时传了，则使用 code
    params = {
        "code": "000001.SZ", # 证券代码  SZ:深证 SH:上海
        "instrument_id" : "600000",
        "exchange_id" : "SSE",
        "start_date": "2013-01-04", # String(必填) 开始日期
        "end_date": "2013-01-08", # String(必填) 结束日期
        "period": "1d", # String(选填) 频次 仅支持1m 15m 30m 60m 1d 1w 默认1d
        "adjust_type": "pre" # String(选填) 复权方式 none:不复权 pre:前复权 post:后复权 默认前复权
    }

    result = context.query_data(method, params, out_format)

    ###
    ''' result 的类型为 dict，查询结果 result 如下所示， data 的格式由 out_format 指定
    {
        "code": 200
        "msg": ""
        "data" : [
            {},   ### 此处的格式由 out_format 指定
            {},
            .....
        ]
    }
    '''

    code = result.get("code")
    msg = result.get("msg")

    context.log.info("code: " + str(code) + ", msg: " + msg)    ### 当 code 为 200 时表示请求正常，其他值均为异常

    if code == 200 :
        for bar in result.get("data") :
            context.log.info("{} : {}".format(func_name, json.dumps(bar)))


    context.log.info("{} end".format(func_name))



def query_data_async_callback_list(context, result, query_id) :
    func_name = sys._getframe().f_code.co_name
    context.log.info("{} called, query_id: {}".format(func_name, query_id))

    code = result.get("code")
    msg = result.get("msg")

    context.log.info("code: " + str(code) + ", msg: " + msg)    ### 当 code 为 200 时表示请求正常，其他值均为异常

    context.log.info("{} called, data: {}".format(func_name, json.dumps(result.get("data"))))



def test_query_data_async(context) :
    func_name = sys._getframe().f_code.co_name
    context.log.info("{} start".format(func_name))

    out_format = OutFormat.List
    method = "bar" # String(必填) method方法：固定值
    params = {
        "code": "000001.SZ", # String(必填) 证券代码  SZ:深证 SH:上海
        "start_date": "2013-01-04", # String(必填) 开始日期
        "end_date": "2013-01-08", # String(必填) 结束日期
        "period": "1d", # String(选填) 频次 仅支持1m 15m 30m 60m 1d 1w 默认1d
        "adjust_type": "pre" # String(选填) 复权方式 none:不复权 pre:前复权 post:后复权 默认前复权
    }
    context.query_data_async(method, params, query_data_async_callback_list, out_format, 25)



# 同步分页查询历史 bar 数据
def test_query_data_page(context) :
    func_name = sys._getframe().f_code.co_name
    context.log.info("{} start".format(func_name))

    out_format = OutFormat.List
    page_size = 100
    current_page = 1
    method = "bar" # String(必填) method方法：固定值
    params = {
        "code": "000001.SZ", # String(必填) 证券代码  SZ:深证 SH:上海
        "start_date": "2013-01-04", # String(必填) 开始日期
        "end_date": "2014-01-04", # String(必填) 结束日期
        "period": "1d", # String(选填) 频次 仅支持1m 15m 30m 60m 1d 1w 默认1d
        "adjust_type": "pre", # String(选填) 复权方式 none:不复权 pre:前复权 post:后复权 默认前复权
        "page_size": page_size,
        "current_page": current_page
    }

    data_page_info = context.query_data_page(method, params, out_format)

    context.log.info("{}, currentPage: {}, totalPage: {}, pageSize: {}, totalCount: {}".format(func_name, data_page_info.currentPage, data_page_info.totalPage, data_page_info.pageSize, data_page_info.totalCount))

    code = data_page_info.data.get("code")
    msg = data_page_info.data.get("msg")

    context.log.info("data code: " + str(code) + ", msg: " + msg)

    if code == 200 :
        if (len(data_page_info.data.get("data")) > 0) :
            for bar in data_page_info.data.get("data") :
                context.log.info("{}, bar data: {}".format(func_name, json.dumps(bar)))
        else :
            context.log.info("{}, data is empty".format(func_name))

    context.log.info("{} end".format(func_name))


def query_data_page_async_callback_list(context, data_page_info, query_id) :
    func_name = sys._getframe().f_code.co_name
    context.log.info("{} called, query_id：{}".format(func_name, query_id))
    context.log.info("{}, currentPage: {}, totalPage: {}, pageSize: {}, totalCount: {}".format(func_name, data_page_info.currentPage, data_page_info.totalPage, data_page_info.pageSize, data_page_info.totalCount))

    code = data_page_info.data.get("code")
    msg = data_page_info.data.get("msg")

    context.log.info("data code: " + str(code) + ", msg: " + msg)

    if code == 200 :
        if (len(data_page_info.data.get("data")) > 0) :
            for bar in data_page_info.data.get("data") :
                context.log.info("{}, bar data: {}".format(func_name, json.dumps(bar)))
        else :
            context.log.info("{}, data is empty".format(func_name))

    context.log.info("{} end".format(func_name))


def test_query_data_page_async(context) :
    func_name = sys._getframe().f_code.co_name
    context.log.info("{} start".format(func_name))

    page_size = 100
    current_page = 1

    out_format = OutFormat.List
    method = "bar" # String(必填) method方法：固定值
    params = {
        "code": "000001.SZ", # String(必填) 证券代码  SZ:深证 SH:上海
        "start_date": "2013-01-04", # String(必填) 开始日期
        "end_date": "2013-01-08", # String(必填) 结束日期
        "period": "1d", # String(选填) 频次 仅支持1m 15m 30m 60m 1d 1w 默认1d
        "adjust_type": "pre", # String(选填) 复权方式 none:不复权 pre:前复权 post:后复权 默认前复权
        "page_size": page_size,
        "current_page": current_page
    }
    context.query_data_page_async(method, params, query_data_page_async_callback_list, out_format, 345)


#启动前
def pre_start(context):
    context.log.info("pre_start called")
    context.send_msg("call send_msg")

#策略退出前，可在此做一些回收工作
def pre_stop(context):
    context.log.info("pre_stop called")
    context.log.info("strategy pre_stop.")

#退出后
def post_stop(context):
    context.log.info("post_stop called")
    pass



#启动后
def post_start(context):
    context.log.info("post_start called")

    test_query_bar_today(context)
    test_query_bar_today_async(context)

    test_query_bar(context)
    test_query_bar_async(context)

    test_query_market_data(context)
    test_query_market_data_async(context)

    test_query_data(context)
    test_query_data_async(context)


    test_query_data_page(context)
    test_query_data_page_async(context)

    test_sub_indicator(context)

    test_sub_bar(context)

    pass
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备注：“策略 Demo2”，从 2.1.2 版本开始支持

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