[关闭]
@liaoliaopro 2017-07-08T06:27:03.000000Z 字数 20433 阅读 1083

掘金3策略API定义

修改日志：

设计原则与目标：

约定

典型场景

下面通过一些典型场景来说明api如何使用。

场景1：策略每日定时执行，无需数据事件驱动

典型如选股交易策略。比如，策略每日收盘前10分钟执行：选股->决策逻辑->交易->退出。可能无需订阅实时数据。实现如下

  1. def init(context):
  2.     schedule(algo, date_rule=daily, time_rule='14:50:00')
  4. def algo(context):
  5.     f = get_fundmentals(fields='revenue,pe_ratio', filter='pe_ratio>55 and pe_ratio<60', order_by='-revenue', count=10)
  6.     context.symbols = f.columns.values
  8.     # 全仓平均买入每一个标的   
  9.     percent = 1.0/len(context.symbols)
  10.     for stock in context.symbols:
  11.         order_target_percent(stock, percent, position_side=PositionSide.Long)
场景2：策略由订阅代码的单个数据事件驱动

同掘金2的事件模式。策略订阅的每个代码的每一个bar，都会触发策略逻辑

  1. def init(context):
  2.     subscribe('SHSE.600000', '1m')
  4. def on_bar(context, bars)
  5.     # print current bar
  6.     print bars
场景3：策略由单个代码的时间序列数据事件驱动

策略订阅代码时指定数据窗口大小与周期，平台创建数据滑动窗口，加载初始数据，并在新的bar到来时自动刷新数据。bar事件触发时，策略可以取到订阅代码的准备好的时间序列数据。

  1. def init(context):
  2.     subscribe('SHSE.600000', '1m', count=50)
  4. def on_bar(context, bars)
  5.     # print current bar.
  6.     print bars
  8.     # print 'close' field of last 50 bars
  9.     print context.data('SHSE.600000', '1m', count=50, fields='close')
场景4：策略由多个代码的时间序列数据事件驱动

同场景3， 区别是策略订阅多个代码，并且要求同一频度的数据到齐后，再触发事件。

  1. def init(context):
  2.     subscribe('SHSE.600000,SZSE.000001', '1m', count=50, wait_group=True)
  4. def on_bar(context, bars)
  5.     # print current bar of SHSE.600000, SZSE.000001.
  6.     print bars
  8.     # print last 50 bars. both series are updated with latest bars.
  9.     print context.data('SHSE.600000', '1m', count=50, fields='close')
  10.     print context.data('SZSE.000001', '1m', count=50, fields='close')
场景5：策略在默认账户交易，无需指定交易账户

如果策略只关联一个账户，该账户是策略的默认账户。

  1. def init(context):
  2.     subscribe('SHSE.600000,SZSE.000001', '1m')
  4. def on_bar(context, bars)
  5.     order_volume(bars[0].symbol, 10000)
场景6：策略在多个账户交易，显式指定交易账户
  1. def init(context):
  2.     subscribe('SHSE.600000,SZSE.000001', '1m')
  4. def on_bar(context, bars)
  5.     order_volume(bars[0].symbol, 10000, account=account('account_1'))
  6.     order_volume(bars[1].symbol, 10000, account=account('account_2'))
场景7：回测模式与实时模式，策略如何启动。

掘金3策略只有两种模式，回测模式(backtest)与实时模式(live)。在加载策略时指定mode参数。

  1. # for backtest mode
  2. run('strategy.py', mode=backtest, config, token)
  4. # for live mode
  5. run('strategy.py', mode=live, config, token)
场景8：只提取数据研究

无需实时数据驱动策略，无需交易下单，只是提取数据的场景。比如，在shell交互环境提取数据。
token用户函数调用的身份验证，token不正确，函数调用会抛出异常

  1. from gmsdk import set_token, history
  3. set_token('xxxx')
  4. history('SHSE.600000', '1d', 'open,high,low,close', '2015-01-01','2015-12-31')
场景9：一个均线突破策略示例

13行代码完成一个均线突破策略. 

  1. def init(context):
  2.     context.FAST = 30
  3.     context.SLOW= 60
  4.     context.symbol = 'SHSE.600000'
  6.     subscribe(context.symbol, '1m', count=context.SLOW)
  8. def on_bar(context, bars)
  9.     prices = context.data('SHSE.600000', '1m', context.SLOW, fields='close')
  11.     fast_avg = talib.SMA(prices, context.FAST)
  12.     slow_avg = talib.SMA(prices, context.SLOW)
  14.     # 均线下穿，清仓
  15.     if cross(slow_avg, fast_avg):
  16.         order_target_percent(context.symbol, 0)
  18.     # 均线上穿，满仓   
  19.     if cross(fast_avg, slow_avg):
  20.         order_target_percent(context.symbol, 1)

基本API

init - 策略初始化

初始化策略，策略启动时自动执行。可以在这里初始化策略配置参数。

  1. init(context)
schedule - 策略定时执行

在自动时间执行策略算法，通常用于选股类型策略

  1. schedule(algo_func, date_rule=daily | weekly | monthly, time_rule)

数据订阅API

subscribe - 订阅行情

订阅行情，可以指定symbol， 数据滑窗大小，以及是否需要等待全部代码的数据到齐再触发事件。

  1. subscribe(symbols=[symbol_1...symbol_n], frequency='1d', count=1, wait_group=False, unsubscribe_previous=False)

wait_group: 是否等待全部相同频度订阅的symbol到齐再触发on_bar事件。
unsubscribe_previous: 是否取消过去订阅的symbols

unsubscribe - 取消行情订阅

取消行情订阅，默认取消所有已订阅行情

  1. unsubscribe(symbols='*', frequency='1d')

数据事件

on_bar - bar数据推送事件
  1. on_bar(context, bar)
on_tick - tick数据推送事件
  1. on_tick(context, tick)
on_bod - 开市事件

市场开市时触发本事件，可以在这里执行盘前初始化逻辑

  1. on_bod(context, exchange, time)
on_eod - 收市事件

市场收市时触发本事件，可以在这里执行盘后清理逻辑

  1. on_eod(context, exchange, time)

数据查询API

current - 查询当前行情快照

查询当前行情快照，返回tick数据。回测时，返回回测时间点的tick数据（注：可能用当前数据bar模拟，基于效率考虑）。

  1. current(symbol)
history- 查询历史行情
  1. history(symbol, frequency, start_time, end_time, fields=None, skip_suspended=True, fill_missing=None | NaN | Last, adjust='pre' | 'post' | None, df=False)
  3. history_n(symbol, frequency, count, date=now(), fields=None, skip_suspended=True, fill_missing=None | NaN | Last, adjust='pre' | 'post' | None, df=False)
get_fundmentals - 查询基本面数据
  1. get_fundmentals(table, fields, filter, order_by=None, count=None, group_by=None, having=None)
get_instruments - 查询交易标的Instrument
  1. get_instruments(exchange, sec_type, name=None, skip_suspended=True, skip_st=True, fields=None, start_date=None, end_date=None)
get_constituents - 查询指数成分股
  1. get_constituents(index, fields='symbol, weight', start_date=None, end_date=None)
get_sector - 查询板块股票列表
  1. get_sector(code, start_date=None, end_date=None)
get_industry - 查询行业股票列表
  1. get_industry(code, start_date=None, end_date=None)
get_concept - 查询概念股票列表
  1. get_concept(code, start_date=None, end_date=None)
get_trading_dates - 查询交易日列表
  1. get_trading_dates(exchange, start_date, end_date)
get_previous_trading_date - 查询上一个交易日
  1. get_previous_trading_date(exchange, date)
get_next_trading_date - 查询下一个交易日
  1. get_next_trading_date(exchange, date)
get_divident - 查询分红送配
  1. get_divident(symbl, start_date, end_date)
get_benchmark_return - 查询标的指定期间的基准收益率
  1. get_benchmark_return(symbol, start_time, end_time, frequency='1d')
... - 待扩展的其他函数

交易API

order_volume - 按指定量委托
  1. order_volume(symbol, volume, price=0, side=OrderSide, style=OrderType, position_effect=PositionEffect, account=account())
order_value - 按指定价值委托
  1. order_value(symbol, value, price=0, side=OrderSide, style=OrderType, position_effect=PositionEffect, account=account())
order_percent - 按指定比例委托
  1. order_percent(symbol, percent, price=0, side=OrderSide, style=OrderType, position_effect=PositionEffect, account=account())
order_target_volume - 调仓到目标持仓量
  1. order_target_volume(symbol, volume, price=0, side=PositionSide, style=OrderType, account=account())
order_target_value - 调仓到目标持仓额
  1. order_target_value(symbol, value, price=0, side=PositionSide, style=OrderType, account=account())
order_target_percent - 调仓到目标持仓比例
  1. order_target_percent(symbol, percent, price=0, side=PositionSide, style=OrderType, account=account())
order_batch - 批量委托接口
  1. order_batch([order_1...order_n], combine=False, account=account())
order_cancel - 撤销委托
  1. order_cancel([order_1...order_n])
order_cancel_all - 撤销所有委托
  1. order_cancel_all()
order_close_all - 平当前所有可平持仓
  1. order_close_all()
get_unfinished_orders - 查询日内全部未结委托
  1. get_unfinished_orders()
get_orders - 查询日内全部委托
  1. get_orders()
account - 查询策略关联的交易账户
  1. account(account_id='default', all=False)
set_runtime_config - 设置动态参数
  1. set_runtime_config([config 1...config n])

交易事件

on_order_status - 委托状态更新事件
  1. on_order_status(context, order)
on_execrpt - 委托执行回报事件
  1. on_execrpt(context, execrpt)

其它API

set_token - 设置用户的token，用于身份认证

用户有时只需要提取数据，set_token后就可以直接调用数据函数，无需编写策略结构。
如果token不合法，访问需要身份验证的函数会抛出异常。

  1. set_token(token)
now - 当前时间函数

回测过程中，now返回回测的当前时间点。
实时过程中，now返回wallclock的当前时间点。

  1. now()
log - 日志函数
  1. log(level, messge)
get_strerror - 查询错误码的错误描述信息
  1. get_strerror(code)
get_version - 查询api版本
  1. get_version()

其它事件

on_runtime_config - 运行时参数变更事件
  1. on_runtime_config(context, config)
on_backtest_finished - 回测结束事件
  1. on_backtest_finished(context, backtest_result)
on_error - 错误事件
  1. on_error(context, code, info)
on_shutdown - 策略退出事件
  1. on_shutdown(context, code, info)

工具API

cross - 均线突破检测函数
  1. cross(series1, series2)

基本数据结构定义

Context - 策略运行上下文环境对象
  1. class Context():
  2.     now             # current timestamp
  3.     symbols         # subscribed symbols
  4.     runtime_configs # runtime configs, dictionary
  6.     data(symbol, frequency, count, fields)  # sliding window for subscribed bars/ticks
Account - 交易账户对象
  1. class Account():
  2.     cash
  3.     positions

交易类结构定义

Order - 委托对象
  1. //委托定义
  2. message Order {
  3.      string strategy_id = 1;                     //策略ID
  4.      string account_id = 2;                      //账号ID
  5.      string username   = 3;                      //账户登录名
  7.      string cl_ord_id = 4;                       //委托客户端ID
  8.      string order_id = 5;                        //委托柜台ID
  9.      string ex_ord_id = 6;                       //委托交易所ID
  11.      string symbol = 7;                          //symbol
  13.      int32  position_effect = 10;                //开平标志，取值参考enum PositionEffect
  14.      int32  side = 11;                           //买卖方向，取值参考enum OrderSide
  15.      int32  order_type = 12;                     //委托类型，取值参考enum OrderType
  16.      int32  order_duration = 13;                 //委托类型，取值参考enum OrderDuration
  17.      int32  order_qualifier = 14;                //委托类型，取值参考enum OrderQualifier
  18.      int32  order_src = 15;                      //委托来源，取值参考enum OrderSrc
  19.      int32  status = 16;                         //委托状态，取值参考enum OrderStatus
  20.      int32  ord_rej_reason = 17;                 //委托拒绝原因，取值参考enum OrderRejectReason
  21.      string ord_rej_reason_detail = 18;          //委托拒绝原因描述
  23.      double  price = 19;                         //委托价格
  24.      double  stop_price = 20;                    //委托止损/止盈触发价格
  25.      double  volume = 21;                        //委托量
  26.      double  volume_nav_ratio = 22;              //委托量与净值比
  27.      double  filled_volume = 23;                 //已成量
  28.      double  filled_vwap = 24;                   //已成均价
  29.      double  filled_amount = 25;                 //已成金额
  31.      google.protobuf.Timestamp created_at = 26[(gogoproto.stdtime) = true];  //委托创建时间
  32.      google.protobuf.Timestamp updated_at = 27[(gogoproto.stdtime) = true];  //委托更新时间
  33. }
ExecRpt - 执行回报对象
  1. //委托执行回报定义
  2. message ExecRpt {
  3.      string strategy_id = 1;                    //策略ID
  4.      string account_id = 2;                     //账号ID
  5.      string username   = 3;                     //账户登录名
  7.      string cl_ord_id = 4;                      //委托客户端ID
  8.      string order_id = 5;                       //委托柜台ID
  9.      string exec_id = 6;                        //委托回报ID
  11.      string symbol = 7;                         //symbol
  13.      int32  position_effect = 10;               //开平标志，取值参考enum PositionEffect
  14.      int32  side = 11;                          //买卖方向，取值参考enum OrderSide
  15.      int32  ord_rej_reason = 12;                //委托拒绝原因，取值参考enum OrderRejectReason
  16.      string ord_rej_reason_detail = 13;         //委托拒绝原因描述
  17.      int32  exec_type = 14;                     //执行回报类型, 取值参考enum ExecType
  19.      double  price = 15;                        //委托成交价格
  20.      double  volume = 16;                       //委托成交量
  21.      double  amount = 17;                       //委托成交金额
  23.      google.protobuf.Timestamp created_at =18[(gogoproto.stdtime) = true];  //回报创建时间
  24. }
Cash - 资金对象
  1. //资金定义
  2. message Cash {
  3.      string account_id = 1;       //账号ID
  4.      string username   = 2;       //账户登录名
  6.      int32  currency = 3;         //币种
  8.      double nav = 4;              //净值(cum_inout + cum_pnl + fpnl - cum_commission)
  9.      double pnl = 5;              //净收益(nav-cum_inout)
  10.      double fpnl = 6;             //浮动盈亏(sum(each position fpnl))
  11.      double frozen = 7;           //持仓占用资金
  12.      double order_frozen = 8;     //挂单冻结资金
  13.      double available = 9;        //可用资金
  14.                                   //no  leverage:  available=(cum_inout + cum_pnl - cum_commission - frozen - order_frozen)
  15.                                   //has leverage:  fpnl     =(fpnl>0 ? fpnl : (frozen < |fpnl|) ? (frozenr-|fpnl|) : 0)
  16.                                   //               available=(cum_inout + cum_pnl - cum_commission - frozen - order_frozen + fpnl)
  18.      double cum_inout = 10;       //累计出入金
  19.      double cum_trade = 11;       //累计交易额
  20.      double cum_pnl = 12;         //累计平仓收益(没扣除手续费)
  21.      double cum_commission = 13;  //累计手续费
  23.      double last_trade = 14;      //上一次交易额
  24.      double last_pnl = 15;        //上一次收益
  25.      double last_commission = 16; //上一次手续费
  26.      double last_inout = 17;      //上一次出入金
  27.      int32  change_reason = 18;   //资金变更原因，取值参考enum CashPositionChangeReason
  28.      string change_event_id = 19; //触发资金变更事件的ID
  30.      google.protobuf.Timestamp  created_at = 20[(gogoproto.stdtime) = true]; //资金初始时间
  31.      google.protobuf.Timestamp  updated_at = 21[(gogoproto.stdtime) = true]; //资金变更时间
  32. }
Position - 持仓对象
  1. //持仓定义
  2. message Position{
  3.      string account_id = 1;            //账号ID
  4.      string username   = 2;            //账户登录名
  6.      string symbol = 3;                //symbol
  7.      int32  side = 6;                  //持仓方向，取值参考enum PositionSide
  8.      double volume = 7;                //总持仓量; 昨持仓量(volume-volume_today)
  9.      double volume_today = 8;          //今日持仓量
  10.      double vwap = 9;                  //持仓均价
  11.      double amount = 10;               //持仓额(volume*vwap*multiplier)
  13.      double price = 11;                //当前行情价格
  14.      double fpnl = 12;                 //持仓浮动盈亏((price-vwap)*volume*multiplier)
  15.      double cost = 13;                 //持仓成本(vwap*volume*multiplier*margin_ratio)
  16.      double order_frozen = 14;         //挂单冻结仓位
  17.      double order_frozen_today = 15;   //挂单冻结今仓仓位
  18.      double available = 16;            //可平总仓位(volume-order_frozen); 可平昨仓位(available-available_today)
  19.      double available_today = 17;      //可平今仓位(volume_today-order_frozen_today)
  21.      double last_price = 18;           //上一次成交价
  22.      double last_volume = 19;          //上一次成交量
  23.      double last_inout = 20;           //上一次出入持仓量
  24.      int32  change_reason = 21;        //仓位变更原因，取值参考enum CashPositionChangeReason
  25.      string change_event_id = 22;      //触发资金变更事件的ID
  27.      google.protobuf.Timestamp  created_at = 23[(gogoproto.stdtime) = true];   //建仓时间
  28.      google.protobuf.Timestamp  updated_at = 24[(gogoproto.stdtime) = true];   //仓位变更时间
  29. }
Indicator - 绩效指标对象
  1. //绩效指标定义                                                                            
  2. message Indicator{                                                                        
  3.     string account_id = 1;                     //账号ID                                   
  5.     double pnl_ratio = 2;                      //累计收益率(pnl/cum_inout)                
  6.     double pnl_ratio_annual = 3;               //年化收益率                               
  8.     double sharp_ratio = 4;                    //夏普比率                                 
  9.     double max_drawdown = 5;                   //最大回撤                                 
  10.     double risk_ratio = 6;                     //风险比率                                 
  11.     int32  open_count = 7;                     //开仓次数                                 
  12.     int32  close_count = 8;                    //平仓次数                                 
  13.     int32  win_count = 9;                      //盈利次数                                 
  14.     int32  lose_count = 10;                    //亏损次数                                 
  15.     double win_ratio = 11;                     //胜率                                     
  17.     google.protobuf.Timestamp  created_at = 12[(gogoproto.stdtime) = true]; //指标创建时间
  18.     google.protobuf.Timestamp  updated_at = 13[(gogoproto.stdtime) = true]; //指标变更时间
  19. }
IndicatorDuration - 按周期统计的绩效指标对象
  1. //按周期统计的指标（目前只有日频和分钟频）                                                  
  2. message IndicatorDuration {                                                                 
  3.     string account_id = 1;                       //账号ID                                   
  5.     //周期快照类指标                                                                        
  6.     double pnl_ratio = 2;                        //收益率快照                               
  7.     double pnl = 3;                              //收益快照                                 
  8.     double cash = 4;                             //资金快照                                 
  9.     double fpnl = 5;                             //浮盈浮亏快照                             
  10.     double frozen = 6;                           //持仓冻结快照                             
  11.     repeated core.api.Position positions = 7;    //持仓快照                                 
  13.     //周期累计类指标                                                                        
  14.     double cum_pnl = 8;                          //周期累计盈亏                             
  15.     double cum_buy = 9;                          //周期累计买入额                           
  16.     double cum_sell = 10;                        //周期累计卖出额                           
  18.     google.protobuf.Duration   duration = 11[(gogoproto.stdduration) = true]; //指标统计周期
  19.     google.protobuf.Timestamp  created_at = 12[(gogoproto.stdtime) = true];   //指标创建时间
  20.     google.protobuf.Timestamp  updated_at = 13[(gogoproto.stdtime) = true];   //指标创建时间
  21. }
RuntimeConfig - 运行时参数对象
  1. //动态参数                                        
  2. message RuntimeConfig {                               
  3.     string key      = 1;          //参数键        
  4.     double value    = 2;          //参数值        
  5.     double min      = 3;          //可设置的最小值
  6.     double max      = 4;          //可设置的最大值
  7.     string name     = 5;          //参数名        
  8.     string intro    = 6;          //参数说明      
  9.     string group    = 7;          //组名          
  10.     bool   readonly = 8;          //是否只读      
  11. }

数据类结构定义

Tick- Tick对象

Tick - Tick对象

  1. message Tick {                                                             
  2.      string symbol = 1;                                                    
  4.      float open = 2;                                                       
  5.      float high = 3;                                                       
  6.      float low  = 4;                                                       
  7.      float price = 5;                                                      
  9.      repeated Quote quotes = 6;                                            
  11.      double cum_volume = 7;                                                
  12.      double cum_amount = 8;                                                
  13.      int64  cum_position = 9;                                              
  14.      double last_amount = 10;                                           
  15.      int32  last_volume = 11;                                           
  16.      int32  trade_type = 12;                                               
  18.      google.protobuf.Timestamp created_at = 13[(gogoproto.stdtime) = true];
  19. }
Bar - Bar对象
  1. message Bar {                                                                        
  2.      string symbol = 1;                                                              
  3.      uint32 frequency = 2;                                                           
  5.      float  open = 3;                                                                
  6.      float  high = 4;                                                                
  7.      float  low  = 5;                                                                
  8.      float  close  = 6;                                                              
  9.      double volume = 7;                                                              
  10.      double amount = 8;                                                              
  11.      int64  position = 9;                                                            
  12.      float  pre_close = 10;                                                          
  14.      google.protobuf.Timestamp bob = 11[(gogoproto.stdtime) = true];  // begin of bar
  15.      google.protobuf.Timestamp eob = 12[(gogoproto.stdtime) = true];  // end of bar  
  16. }
Quote - 报价对象
  1. message Quote {      
  2.      float bid_p = 1;
  3.      int32 bid_v = 2;
  4.      float ask_p = 3;
  5.      int32 ask_v = 4;
  6. }
OrderBook - OrderBook对象
  1. message OrderBook {                                                      
  2.     string         symbol = 1;                                           
  3.     repeated Quote quotes = 2;                                           
  5.     google.protobuf.Timestamp created_at = 3[(gogoproto.stdtime) = true];
  6. }
Trade - Trade对象
  1. message Trade {                                                           
  2.      string symbol = 1;                                                   
  4.      float  price = 2;                                                    
  5.      int32  last_volume = 3;                                           
  6.      double last_amount = 4;                                      
  7.      double cum_volume = 5;                                               
  8.      double cum_amount = 6;                                               
  9.      int32  trade_type = 7;                                               
  11.      google.protobuf.Timestamp created_at = 8[(gogoproto.stdtime) = true];
  12. }
InstrumentInfo - 标的基本信息对象
  1. message InstrumentInfo {                                                     
  2.      string symbol = 1;                                                      
  3.      int32  sec_type = 2;                                                    
  4.      string exchange = 3;                                                    
  5.      string sec_id = 4;                                                      
  6.      string sec_name = 5;                                                    
  7.      string sec_abbr = 6;                                                    
  9.      google.protobuf.Timestamp listed_date   = 7[(gogoproto.stdtime) = true];
  10.      google.protobuf.Timestamp delisted_date = 8[(gogoproto.stdtime) = true];
  11. }
Instrument - 标的详细信息对象
  1. message Instrument {                                                       
  2.      string symbol = 1;                                                    
  4.      int32  is_st = 2;                                                     
  5.      int32  is_suspended = 3;                                              
  7.      double multiplier = 4;                                                
  8.      double margin_ratio = 5;                                              
  9.      double price_tick = 6;                                                
  11.      float  settle_price = 7;                                              
  12.      int64  position = 8;                                                  
  13.      float  pre_close = 9;                                                 
  14.      double upper_limit = 10;                                              
  15.      double lower_limit = 11;                                              
  16.      double adj_factor = 12;                                               
  18.      google.protobuf.Timestamp created_at = 13[(gogoproto.stdtime) = true];
  19. }
Divident - 分红送配对象
  1. message Divident {                                                        
  2.      string symbol = 1;                                                   
  3.      double cash_div = 2;                                                 
  4.      double share_div_ratio = 3;                                          
  5.      double share_trans_ratio = 4;                                        
  6.      double allotment_ratio = 5;                                          
  7.      double allotment_price = 6;                                          
  8.      google.protobuf.Timestamp created_at = 7[(gogoproto.stdtime) = true];
  9. }
VirtualContract- 连续合约对象
  1. message VirtualContract {                                                 
  2.      string vsymbol = 1;                                                  
  3.      string symbol = 2;                                                   
  4.      google.protobuf.Timestamp created_at = 3[(gogoproto.stdtime) = true];
  5. }

枚举常量定义

OrderStatus - 委托状态
  1. //委托状态
  2. enum OrderStatus {
  3.     OrderStatus_Unknown = 0;
  4.     OrderStatus_New = 1;                   //已报
  5.     OrderStatus_PartiallyFilled = 2;       //部成
  6.     OrderStatus_Filled = 3;                //已成
  7.     OrderStatus_DoneForDay = 4;            //
  8.     OrderStatus_Canceled = 5;              //已撤
  9.     OrderStatus_PendingCancel = 6;         //待撤
  10.     OrderStatus_Stopped = 7;               //
  11.     OrderStatus_Rejected = 8;              //已拒绝
  12.     OrderStatus_Suspended = 9;             //挂起
  13.     OrderStatus_PendingNew = 10;           //待报
  14.     OrderStatus_Calculated = 11;           //
  15.     OrderStatus_Expired = 12;              //已过期
  16.     OrderStatus_AcceptedForBidding = 13;   //
  17.     OrderStatus_PendingReplace = 14;       //
  18. }
OrderSide - 委托方向
  1. //委托方向
  2. enum OrderSide {
  3.     OrderSide_Unknown = 0;
  4.     OrderSide_Buy     = 1;    //买入
  5.     OrderSide_Sell    = 2;    //卖出
  6. }
OrderType - 委托类型
  1. //委托类型
  2. enum OrderType {
  3.     OrderType_Unknown = 0;
  4.     OrderType_count   = 1;    //限价委托
  5.     OrderType_Market  = 2;    //市价委托
  6.     OrderType_Stop    = 3;    //止损止盈委托
  7. }
OrderDuration - 委托时间属性
  1. //委托时间属性
  2. enum OrderDuration {
  3.     OrderDuration_Unknown = 0;
  4.     OrderDuration_FAK     = 1;  //即时成交剩余撤销(fill and kill)
  5.     OrderDuration_FOK     = 2;  //即时全额成交或撤销(fill or kill)
  6.     OrderDuration_GFD     = 3;  //当日有效(good for day)
  7.     OrderDuration_GFS     = 4;  //本节有效(good for section)
  8.     OrderDuration_GTD     = 5;  //指定日期前有效(goodl till date)
  9.     OrderDuration_GTC     = 6;  //撤销前有效(good till cancel)
  10.     OrderDuration_GFA     = 7;  //集合竞价前有效(good for auction)
  11. }
OrderQualifier - 委托成交属性
  1. //委托成交属性
  2. enum OrderQualifier {
  3.     OrderQualifier_Unknown = 0;
  4.     OrderQualifier_BOC     = 1;  //对方最优价格(best of counterparty)
  5.     OrderQualifier_BOP     = 2;  //己方最优价格(best of party)
  6.     OrderQualifier_B5TC    = 3;  //最优五档剩余撤销(best 5 then cancel)
  7.     OrderQualifier_B5TL    = 4;  //最优五档剩余转限价(best 5 then count)
  8. }
ExecType - 执行回报类型
  1. //委托回报类型
  2. enum ExecType {
  3.     ExecType_Unknown = 0;
  4.     ExecType_New = 1;                      //已报
  5.     ExecType_DoneForDay = 4;               //
  6.     ExecType_Canceled = 5;                 //已撤销
  7.     ExecType_PendingCancel = 6;            //待撤销
  8.     ExecType_Stopped = 7;                  //
  9.     ExecType_Rejected = 8;                 //已拒绝
  10.     ExecType_Suspended = 9;                //挂起
  11.     ExecType_PendingNew = 10;              //待报
  12.     ExecType_Calculated = 11;              //
  13.     ExecType_Expired = 12;                 //过期
  14.     ExecType_Restated = 13;                //
  15.     ExecType_PendingReplace = 14;          //
  16.     ExecType_Trade = 15;                   //成交
  17.     ExecType_TradeCorrect = 16;            //
  18.     ExecType_TradeCancel = 17;             //
  19.     ExecType_OrderStatus = 18;             //委托状态
  20.     ExecType_CancelRejected = 19;          //撤单被拒绝
  21. }
PositionEffect - 开平仓类型
  1. //开平标志
  2. enum PositionEffect {
  3.     PositionEffect_Unknown        = 0;
  4.     PositionEffect_Open           = 1;     //开仓
  5.     PositionEffect_Close          = 2;     //平仓,具体语义取决于对应的交易所
  6.     PositionEffect_CloseToday     = 3;     //平今仓
  7.     PositionEffect_CloseYesterday = 4;     //平昨仓
  8. }
PositionSide - 持仓方向
  1. //持仓方向
  2. enum PositionSide {
  3.     PositionSide_Unknown  = 0;
  4.     PositionSide_Long     = 1;   //多方向
  5.     PositionSide_Short    = 2;   //空方向
  6. }

策略加载

run - 运行策略
  1. run(strategy, mode, config, token)
stop - 停止策略
  1. stop()

指标API

集成ta-lib138个指标函数

  1. 附表：ta-lib支持指标集合
  3. AD                  Chaikin A/D Line
  4. ADOSC               Chaikin A/D Oscillator
  5. ADX                 Average Directional Movement Index
  6. ADXR                Average Directional Movement Index Rating
  7. APO                 Absolute Price Oscillator
  8. AROON               Aroon
  9. AROONOSC            Aroon Oscillator
  10. ATR                 Average True Range
  11. AVGPRICE            Average Price
  12. BBANDS              Bollinger Bands
  13. BETA                Beta
  14. BOP                 Balance Of Power
  15. CCI                 Commodity Channel Index
  16. CDL2CROWS           Two Crows
  17. CDL3BLACKCROWS      Three Black Crows
  18. CDL3INSIDE          Three Inside Up/Down
  19. CDL3LINESTRIKE      Three-Line Strike
  20. CDL3OUTSIDE         Three Outside Up/Down
  21. CDL3STARSINSOUTH    Three Stars In The South
  22. CDL3WHITESOLDIERS   Three Advancing White Soldiers
  23. CDLABANDONEDBABY    Abandoned Baby
  24. CDLADVANCEBLOCK     Advance Block
  25. CDLBELTHOLD         Belt-hold
  26. CDLBREAKAWAY        Breakaway
  27. CDLCLOSINGMARUBOZU  Closing Marubozu
  28. CDLCONCEALBABYSWALL Concealing Baby Swallow
  29. CDLCOUNTERATTACK    Counterattack
  30. CDLDARKCLOUDCOVER   Dark Cloud Cover
  31. CDLDOJI             Doji
  32. CDLDOJISTAR         Doji Star
  33. CDLDRAGONFLYDOJI    Dragonfly Doji
  34. CDLENGULFING        Engulfing Pattern
  35. CDLEVENINGDOJISTAR  Evening Doji Star
  36. CDLEVENINGSTAR      Evening Star
  37. CDLGAPSIDESIDEWHITE Up/Down-gap side-by-side white lines
  38. CDLGRAVESTONEDOJI   Gravestone Doji
  39. CDLHAMMER           Hammer
  40. CDLHANGINGMAN       Hanging Man
  41. CDLHARAMI           Harami Pattern
  42. CDLHARAMICROSS      Harami Cross Pattern
  43. CDLHIGHWAVE         High-Wave Candle
  44. CDLHIKKAKE          Hikkake Pattern
  45. CDLHIKKAKEMOD       Modified Hikkake Pattern
  46. CDLHOMINGPIGEON     Homing Pigeon
  47. CDLIDENTICAL3CROWS  Identical Three Crows
  48. CDLINNECK           In-Neck Pattern
  49. CDLINVERTEDHAMMER   Inverted Hammer
  50. CDLKICKING          Kicking
  51. CDLKICKINGBYLENGTH  Kicking - bull/bear determined by the longer marubozu
  52. CDLLADDERBOTTOM     Ladder Bottom
  53. CDLLONGLEGGEDDOJI   Long Legged Doji
  54. CDLLONGLINE         Long Line Candle
  55. CDLMARUBOZU         Marubozu
  56. CDLMATCHINGLOW      Matching Low
  57. CDLMATHOLD          Mat Hold
  58. CDLMORNINGDOJISTAR  Morning Doji Star
  59. CDLMORNINGSTAR      Morning Star
  60. CDLONNECK           On-Neck Pattern
  61. CDLPIERCING         Piercing Pattern
  62. CDLRICKSHAWMAN      Rickshaw Man
  63. CDLRISEFALL3METHODS Rising/Falling Three Methods
  64. CDLSEPARATINGLINES  Separating Lines
  65. CDLSHOOTINGSTAR     Shooting Star
  66. CDLSHORTLINE        Short Line Candle
  67. CDLSPINNINGTOP      Spinning Top
  68. CDLSTALLEDPATTERN   Stalled Pattern
  69. CDLSTICKSANDWICH    Stick Sandwich
  70. CDLTAKURI           Takuri (Dragonfly Doji with very long lower shadow)
  71. CDLTASUKIGAP        Tasuki Gap
  72. CDLTHRUSTING        Thrusting Pattern
  73. CDLTRISTAR          Tristar Pattern
  74. CDLUNIQUE3RIVER     Unique 3 River
  75. CDLUPSIDEGAP2CROWS  Upside Gap Two Crows
  76. CDLXSIDEGAP3METHODS Upside/Downside Gap Three Methods
  77. CMO                 Chande Momentum Oscillator
  78. CORREL              Pearsons Correlation Coefficient (r)
  79. DEMA                Double Exponential Moving Average
  80. DX                  Directional Movement Index
  81. EMA                 Exponential Moving Average
  82. HT_DCPERIOD         Hilbert Transform - Dominant Cycle Period
  83. HT_DCPHASE          Hilbert Transform - Dominant Cycle Phase
  84. HT_PHASOR           Hilbert Transform - Phasor Components
  85. HT_SINE             Hilbert Transform - SineWave
  86. HT_TRENDLINE        Hilbert Transform - Instantaneous Trendline
  87. HT_TRENDMODE        Hilbert Transform - Trend vs Cycle Mode
  88. KAMA                Kaufman Adaptive Moving Average
  89. LINEARREG           Linear Regression
  90. LINEARREG_ANGLE     Linear Regression Angle
  91. LINEARREG_INTERCEPT Linear Regression Intercept
  92. LINEARREG_SLOPE     Linear Regression Slope
  93. MA                  All Moving Average
  94. MACD                Moving Average Convergence/Divergence
  95. MACDEXT             MACD with controllable MA type
  96. MACDFIX             Moving Average Convergence/Divergence Fix 12/26
  97. MAMA                MESA Adaptive Moving Average
  98. MAX                 Highest value over a specified period
  99. MAXINDEX            Index of highest value over a specified period
  100. MEDPRICE            Median Price
  101. MFI                 Money Flow Index
  102. MIDPOINT            MidPoint over period
  103. MIDPRICE            Midpoint Price over period
  104. MIN                 Lowest value over a specified period
  105. MININDEX            Index of lowest value over a specified period
  106. MINMAX              Lowest and highest values over a specified period
  107. MINMAXINDEX         Indexes of lowest and highest values over a specified period
  108. MINUS_DI            Minus Directional Indicator
  109. MINUS_DM            Minus Directional Movement
  110. MOM                 Momentum
  111. NATR                Normalized Average True Range
  112. OBV                 On Balance Volume
  113. PLUS_DI             Plus Directional Indicator
  114. PLUS_DM             Plus Directional Movement
  115. PPO                 Percentage Price Oscillator
  116. ROC                 Rate of change : ((price/prevPrice)-1)*100
  117. ROCP                Rate of change Percentage: (price-prevPrice)/prevPrice
  118. ROCR                Rate of change ratio: (price/prevPrice)
  119. ROCR100             Rate of change ratio 100 scale: (price/prevPrice)*100
  120. RSI                 Relative Strength Index
  121. SAR                 Parabolic SAR
  122. SAREXT              Parabolic SAR - Extended
  123. SMA                 Simple Moving Average
  124. STDDEV              Standard Deviation
  125. STOCH               Stochastic
  126. STOCHF              Stochastic Fast
  127. STOCHRSI            Stochastic Relative Strength Index
  128. SUM                 Summation
  129. T3                  Triple Exponential Moving Average (T3)
  130. TEMA                Triple Exponential Moving Average
  131. TRANGE              True Range
  132. TRIMA               Triangular Moving Average
  133. TRIX                1-day Rate-Of-Change (ROC) of a Triple Smooth EMA
  134. TSF                 Time Series Forecast
  135. TYPPRICE            Typical Price
  136. ULTOSC              Ultimate Oscillator
  137. VAR                 Variance
  138. WCLPRICE            Weighted Close Price
  139. WILLR               Williams %R
  140. WMA                 Weighted Moving Average
添加新批注
在作者公开此批注前，只有你和作者可见。
回复批注