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test_prod_gui.py
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#-*- coding:utf-8 -*-
import misc
import numpy as np
import logging
import base
import sys
import json
import data_handler
from agent_gui import *
# def prod_test(tday, name='prod_test'):
# base.config_logging("ctp_" + name + ".log", level=logging.DEBUG,
# format = '%(name)s:%(funcName)s:%(lineno)d:%(asctime)s %(levelname)s %(message)s',
# to_console = True,
# console_level = logging.INFO)
# trader_cfg = None
# user_cfg = misc.HT_PROD_MD
# ins_setup = {'ru1605': [[0.35, 0.08, 0.25], 1, 120, 3],
# 'rb1605': [[0.25, 0.05, 0.15], 5, 20, 3],
# 'RM605' : [[0.35, 0.07, 0.25], 4, 20, 1],
# 'm1605' : [[0.35, 0.07, 0.25], 4, 30, 3],
# 'ag1606': [[0.4, 0.1, 0.3], 4, 40, 5],
# 'y1605' : [[0.25, 0.05, 0.15], 4, 60, 1],
# 'cu1603': [[0.25, 0.05, 0.15], 1, 700, 1]}
# insts = ins_setup.keys()
# units_rb = [ins_setup[inst][1] for inst in insts]
# under_rb = [[inst] for inst in insts]
# vol_rb = [[1] for inst in insts]
# ratios = [ins_setup[inst][0] for inst in insts]
# min_rng = [ins_setup[inst][2] for inst in insts]
# freq = [ins_setup[inst][3] for inst in insts]
# stop_loss = 0.015
# rb_strat = strat_rb.RBreakerTrader('ProdRB', under_rb, vol_rb, trade_unit = units_rb,
# ratios = ratios, min_rng = min_rng, trail_loss = stop_loss, freq = freq,
# agent = None, email_notify = [])
# ins_setup ={
# 'TF1603':(2, 0.5, 0.0, 1, False, 0.0),
# 'm1605': (0,0.8, 0.0, 2, False, 0.004),
# 'RM605': (0,0.8, 0.0, 2, False, 0.004),
# 'y1605': (0,0.7, 0.0, 2, False, 0.004),
# 'p1605': (0,0.9, 0.0, 2, False, 0.004),
# 'a1605' :(0,1.0, 0.0, 2, False, 0.004),
# 'rb1605':(0,0.7, 0.5, 4, False, 0.004),
# 'l1605': (2,0.4, 0.0, 4, False, 0.004),
# 'pp1605':(4,0.4, 0.0, 2, False, 0.004),
# 'TA605' :(0, 0.6, 0.0, 3, False, 0.004),
# 'MA605' :(0, 0.8, 0.0, 3, False, 0.004),
# 'jd1605':(4, 0.4, 0.0, 4, False, 0.004),
# 'SR605': (1, 0.9, 0.0, 2, False, 0.004),
# 'i1605' :(2, 0.4,0.0, 2, False, 0.004),
# 'cs1605' :(0, 1.0, 0.0, 3, False, 0.004),
# }
# insts = ins_setup.keys()
#
# units_dt = [ins_setup[inst][3] for inst in insts]
# under_dt = [[inst] for inst in insts]
# vol_dt = [[1] for inst in insts]
# ratios = [[ins_setup[inst][1], ins_setup[inst][2]] for inst in insts]
# lookbacks = [ins_setup[inst][0] for inst in insts]
# daily_close = [ins_setup[inst][4] for inst in insts]
# min_rng = [ins_setup[inst][5] for inst in insts]
#dt_strat = dt_bar.DTBarTrader('ProdDT', under_dt, vol_dt, trade_unit = units_dt,
# ratios = ratios, lookbacks = lookbacks,
# agent = None, daily_close = daily_close, ma_win = 10,
# email_notify = [], min_rng = min_rng)
# ins_setup = {
# 'TF1603': (2, 0.6, 0.0, 1, False, 0.0),
# 'm1605': (0, 0.7, 0.0, 2, False, 0.004),
# 'RM605': (0, 0.6, 0.0, 2, False, 0.004),
# 'y1605': (0, 0.6, 0.0, 2, False, 0.004),
# 'p1605': (0, 1.1, 0.0, 2, False, 0.004),
# 'a1605' : (0, 0.8, 0.0, 2, False, 0.004),
# 'rb1605': (0, 0.6, 0.0, 4, False, 0.004),
# 'l1605': (0, 0.7, 0.0, 4, False, 0.004),
# 'pp1605': (4, 0.35, 0.0, 2, False, 0.004),
# 'TA605' : (0, 1.0, 0.0, 3, False, 0.004),
# 'MA605' : (0, 0.9, 0.0, 3, False, 0.004),
# 'jd1605': (4, 0.3, 0.0, 4, False, 0.004),
# 'SR605': (1, 0.8, 0.0, 2, False, 0.004),
# 'i1605' : (2, 0.5,0.0, 2, False, 0.004),
# 'cs1605' :(0, 1.1, 0.0, 3, False, 0.004),
# }
# insts = ins_setup.keys()
# units_dt = [ins_setup[inst][3] for inst in insts]
# under_dt = [[inst] for inst in insts]
# vol_dt = [[1] for inst in insts]
# ratios = [[ins_setup[inst][1], ins_setup[inst][2]] for inst in insts]
# lookbacks = [ins_setup[inst][0] for inst in insts]
# daily_close = [ins_setup[inst][4] for inst in insts]
# min_rng = [ins_setup[inst][5] for inst in insts]
#dtma_strat = dt_bar.DTBarTrader('DTMA10', under_dt, vol_dt, trade_unit = units_dt,
# ratios = ratios, lookbacks = lookbacks,
# agent = None, daily_close = daily_close,
# email_notify = [], min_rng = min_rng)
# ins_setup = {
# 'ag1606': (1, 0.8, 0.0, 2, False),
# 'm1605': (0, 0.8, 0.0, 2, False),
# 'RM605': (0, 0.8, 0.0, 2, False),
# 'y1605': (0, 0.9, 0.0, 2, False),
# 'p1605': (1, 1.0, 0.0, 2, False),
# 'a1605': (1, 0.9, 0.0, 2, False),
# 'rb1605': (2, 0.5, 0.0, 4, False),
# 'TA605' : (1, 0.7, 0.0, 3, False),
# 'MA605' : (1, 0.7, 0.0, 3, False),
# 'SR605' : (2, 0.9, 0.0, 2, False),
# 'i1605' : (4, 0.4, 0.0, 2, False),
# }
# insts = ins_setup.keys()
# units_dt = [ins_setup[inst][3] for inst in insts]
# under_dt = [[inst] for inst in insts]
# vol_dt = [[1] for inst in insts]
# ratios = [[ins_setup[inst][1], ins_setup[inst][2]] for inst in insts]
# lookbacks = [ins_setup[inst][0] for inst in insts]
# daily_close = [ins_setup[inst][4] for inst in insts]
#dtsplit_strat1 = dt_split.DTSplitTrader('DTSp1', under_dt, vol_dt, trade_unit = units_dt,
# ratios = ratios, lookbacks = lookbacks,
# agent = None, daily_close = daily_close, ma_win = 10,
# email_notify = [], min_rng = [0.004])
# ins_setup = {
# 'ag1606': (1, 1.1, 0.0, 2, False),
# 'm1605': (0, 1.0, 0.0, 2, False),
# 'RM605': (0, 1.0, 0.0, 2, False),
# 'y1605': (0, 1.0, 0.0, 2, False),
# 'p1605': (1, 1.1, 0.0, 2, False),
# 'a1605': (1, 1.1, 0.0, 2, False),
# 'rb1605': (0, 0.9, 0.0, 4, False),
# 'TA605' : (1, 0.9, 0.0, 3, False),
# 'MA605' : (1, 0.9, 0.0, 3, False),
# 'SR605' : (4,0.45, 0.0, 2, False),
# 'i1605' : (4, 0.5, 0.0, 2, False),
# }
# insts = ins_setup.keys()
# units_dt = [ins_setup[inst][3] for inst in insts]
# under_dt = [[inst] for inst in insts]
# vol_dt = [[1] for inst in insts]
# ratios = [[ins_setup[inst][1], ins_setup[inst][2]] for inst in insts]
# lookbacks = [ins_setup[inst][0] for inst in insts]
# daily_close = [ins_setup[inst][4] for inst in insts]
#dtsplit_strat2 = dt_split.DTSplitTrader('DTSp2', under_dt, vol_dt, trade_unit = units_dt,
# ratios = ratios, lookbacks = lookbacks,
# agent = None, daily_close = daily_close, ma_win = 10,
# email_notify = [], min_rng = [0.004])
# ins_setup = {
# 'p1605': (1, 0.9, 0.0, 2, False),
# 'rb1605': (0, 0.7, 0.0, 2, False),
# 'pp1605': (2, 0.25,0.0, 1, False),
# 'TF1603': (2, 0.5, 0.0, 1, False),
# 'MA605' : (2, 0.25,0.0, 3, False),
# 'SR605' : (1, 0.9, 0.0, 2, False),
# }
# insts = ins_setup.keys()
# units_dt = [ins_setup[inst][3] for inst in insts]
# under_dt = [[inst] for inst in insts]
# vol_dt = [[1] for inst in insts]
# ratios = [[ins_setup[inst][1], ins_setup[inst][2]] for inst in insts]
# lookbacks = [ins_setup[inst][0] for inst in insts]
# daily_close = [ins_setup[inst][4] for inst in insts]
# chan_func ={'high_func': max,
# 'high_args': {},
# 'low_func': min,
# 'low_args': {}}
#dtchan5_sp1 = dt_dfilter.DTSplitChanFilter('DTChan5Sp1',
# under_dt,
# vol_dt,
# trade_unit = units_dt,
# ratios = ratios,
# lookbacks = lookbacks,
# agent = None,
# daily_close = daily_close,
# chan_func = chan_func,
# channels = [5],
# open_period = [300, 2115],
# email_notify = [],
# min_rng = [0.003])
# ins_setup = {
# 'p1605': (1, 1.0, 0.0, 2, False),
# 'rb1605': (0, 0.6, 0.0, 2, False),
# 'pp1605': (2, 0.3, 0.0, 1, False),
# 'TF1603': (1, 0.7, 0.0, 1, False),
# 'MA605' : (2, 0.3, 0.0, 3, False),
# 'SR605' : (1, 1.0, 0.0, 2, False),
# }
# insts = ins_setup.keys()
# units_dt = [ins_setup[inst][3] for inst in insts]
# under_dt = [[inst] for inst in insts]
# vol_dt = [[1] for inst in insts]
# ratios = [[ins_setup[inst][1], ins_setup[inst][2]] for inst in insts]
# lookbacks = [ins_setup[inst][0] for inst in insts]
# daily_close = [ins_setup[inst][4] for inst in insts]
#dtchan5_sp2 = dt_dfilter.DTSplitChanFilter('DTChan5Sp2',
# under_dt,
# vol_dt,
# trade_unit = units_dt,
# ratios = ratios,
# lookbacks = lookbacks,
# agent = None,
# daily_close = daily_close,
# chan_func = chan_func,
# channels = [5],
# open_period = [300, 2115],
# email_notify = [],
# min_rng = [0.003])
# ins_setup = {
# 'cs1605': (1, 1.1, 0.0, 3, False),
# 'l1605': (0, 0.7, 0.0, 1, False),
# 'i1605': (0, 0.7, 0.0, 2, False),
# 'j1605': (2, 0.35,0.0, 2, False),
# 'cu1603': (1, 0.6, 0.0, 1, False),
# }
# insts = ins_setup.keys()
# units_dt = [ins_setup[inst][3] for inst in insts]
# under_dt = [[inst] for inst in insts]
# vol_dt = [[1] for inst in insts]
# ratios = [[ins_setup[inst][1], ins_setup[inst][2]] for inst in insts]
# lookbacks = [ins_setup[inst][0] for inst in insts]
# daily_close = [ins_setup[inst][4] for inst in insts]
# chan_func ={'high_func': np.percentile,
# 'high_args': {'q':90,},
# 'low_func': np.percentile,
# 'low_args': {'q':10,}}
# dtchan10_sp1 = dt_dfilter.DTSplitChanFilter('DTChan10Sp1',
# under_dt,
# vol_dt,
# trade_unit = units_dt,
# ratios = ratios,
# lookbacks = lookbacks,
# agent = None,
# daily_close = daily_close,
# chan_func = chan_func,
# channels = [10],
# open_period = [300, 2115],
# email_notify = [],
# min_rng = [0.003])
# ins_setup = {
# 'cs1605': (1, 1.0, 0.0, 3, False),
# 'l1605': (2, 0.4, 0.0, 1, False),
# 'i1605': (0, 0.9, 0.0, 2, False),
# 'j1605': (2, 0.4, 0.0, 2, False),
# 'cu1603': (2,0.35, 0.0, 1, False),
# }
# insts = ins_setup.keys()
# units_dt = [ins_setup[inst][3] for inst in insts]
# under_dt = [[inst] for inst in insts]
# vol_dt = [[1] for inst in insts]
# ratios = [[ins_setup[inst][1], ins_setup[inst][2]] for inst in insts]
# lookbacks = [ins_setup[inst][0] for inst in insts]
# daily_close = [ins_setup[inst][4] for inst in insts]
# chan_func ={'high_func': np.percentile,
# 'high_args': {'q':80,},
# 'low_func': np.percentile,
# 'low_args': {'q':20,}}
# dtchan10_sp2 = dt_dfilter.DTSplitChanFilter('DTChan10Sp2',
# under_dt,
# vol_dt,
# trade_unit = units_dt,
# ratios = ratios,
# lookbacks = lookbacks,
# agent = None,
# daily_close = daily_close,
# chan_func = chan_func,
# channels = [10],
# open_period = [300, 2115],
# email_notify = [],
# min_rng = [0.003])
# ins_setup = {
# 'm1605': (1, 0.7, 0.0, 3, False),
# 'RM605': (2,0.25, 0.0, 3, False),
# 'y1605': (1, 0.8, 0.0, 2, False),
# 'l1605': (0, 0.7, 0.0, 1, False),
# 'TF1603': (2, 0.45,0.0, 1, False),
# 'TA605' : (0, 0.7, 0.0, 2, False),
# 'i1605' : (2, 0.35,0.0, 2, False),
# }
# insts = ins_setup.keys()
# units_dt = [ins_setup[inst][3] for inst in insts]
# under_dt = [[inst] for inst in insts]
# vol_dt = [[1] for inst in insts]
# ratios = [[ins_setup[inst][1], ins_setup[inst][2]] for inst in insts]
# lookbacks = [ins_setup[inst][0] for inst in insts]
# daily_close = [ins_setup[inst][4] for inst in insts]
# chan_func ={'high_func': np.percentile,
# 'high_args': {'q':90,},
# 'low_func': np.percentile,
# 'low_args': {'q':10,}}
# dtchan20_sp1 = dt_dfilter.DTSplitChanFilter('DTChan20Sp1',
# under_dt,
# vol_dt,
# trade_unit = units_dt,
# ratios = ratios,
# lookbacks = lookbacks,
# agent = None,
# daily_close = daily_close,
# chan_func = chan_func,
# channels = [20],
# open_period = [300, 2115],
# email_notify = [],
# min_rng = [0.003])
# ins_setup = {
# 'm1605': (1, 0.8, 0.0, 3, False),
# 'RM605': (2, 0.3, 0.0, 3, False),
# 'y1605': (1, 1.0, 0.0, 2, False),
# 'l1605': (0, 1.0, 0.0, 1, False),
# 'TF1603': (2, 0.5, 0.0, 1, False),
# 'TA605' : (1, 0.8, 0.0, 2, False),
# 'i1605' : (2, 0.4, 0.0, 2, False),
# }
# insts = ins_setup.keys()
# units_dt = [ins_setup[inst][3] for inst in insts]
# under_dt = [[inst] for inst in insts]
# vol_dt = [[1] for inst in insts]
# ratios = [[ins_setup[inst][1], ins_setup[inst][2]] for inst in insts]
# lookbacks = [ins_setup[inst][0] for inst in insts]
# daily_close = [ins_setup[inst][4] for inst in insts]
# chan_func ={'high_func': np.percentile,
# 'high_args': {'q':80,},
# 'low_func': np.percentile,
# 'low_args': {'q':20,}}
# dtchan20_sp2 = dt_dfilter.DTSplitChanFilter('DTChan20Sp2',
# under_dt,
# vol_dt,
# trade_unit = units_dt,
# ratios = ratios,
# lookbacks = lookbacks,
# agent = None,
# daily_close = daily_close,
# chan_func = chan_func,
# channels = [20],
# open_period = [300, 2115],
# email_notify = [],
# min_rng = [0.003])
# ins_setup = {
# 'bu1601':[2, 1, 1],
# 'i1605': [1, 1, 2],
# 'TA605': [2, 2, 2],
# 'ZC605': [2, 3, 1],
# }
# insts = ins_setup.keys()
# units_tl = [ins_setup[inst][2] for inst in insts]
# under_tl = [[inst] for inst in insts]
# vol_tl = [[1] for inst in insts]
# trail_loss = [ins_setup[inst][0] for inst in insts]
# max_pos = [ins_setup[inst][1] for inst in insts]
# # tl_strat = strat_tl.TurtleTrader('ProdTL', under_tl, vol_tl, trade_unit = units_tl,
# # agent = None, email_notify = ['[email protected]'],
# # windows = [5, 15],
# # max_pos = max_pos,
# # trail_loss = trail_loss)
# ins_setup = {
# 'j1605': [1, 2, 1],
# 'ZC605': [2, 3, 2],
# 'i1605': [2, 2, 1],
# }
# insts = ins_setup.keys()
# units_tl = [ins_setup[inst][2] for inst in insts]
# under_tl = [[inst] for inst in insts]
# vol_tl = [[1] for inst in insts]
# trail_loss = [ins_setup[inst][0] for inst in insts]
# max_pos = [ins_setup[inst][1] for inst in insts]
# tl_strat2 = strat_tl.TurtleTrader('ProdTL2', under_tl, vol_tl, trade_unit = units_tl,
# agent = None, email_notify = ['[email protected]'],
# windows = [10, 20],
# max_pos = max_pos,
# trail_loss = trail_loss )
# strategies = [dt_strat, dtma_strat,\
# tl_strat, tl_strat2, \
# dtsplit_strat1, dtsplit_strat2, \
# dtchan5_sp1, dtchan5_sp2, \
# dtchan10_sp1, dtchan10_sp2, \
# dtchan20_sp1, dtchan20_sp2]
# folder = misc.get_prod_folder()
# strat_cfg = {'strategies': strategies, \
# 'folder': folder, \
# 'daily_data_days':22, \
# 'min_data_days':4 }
# myApp = MainApp(name, trader_cfg, user_cfg, strat_cfg, tday, master = None, save_test = False)
# myGui = Gui(myApp)
# #myGui.iconbitmap(r'c:\Python27\DLLs\thumbs-up-emoticon.ico')
# myGui.mainloop()
def prod_test_strats():
ins_setup ={
'TF1606':(2, 0.5, 1, False, 0.0),
'm1605': (0, 0.8, 2, False, 0.004),
'RM605': (0, 0.8, 2, False, 0.004),
'y1605': (0, 0.7, 2, False, 0.004),
'p1605': (0, 0.9, 2, False, 0.004),
'a1605' :(0, 1.0, 2, False, 0.004),
'rb1605':(0, 0.7, 4, False, 0.004),
'l1605': (2, 0.4, 4, False, 0.004),
'pp1605':(4, 0.4, 2, False, 0.004),
'TA605' :(0, 0.6, 3, False, 0.004),
'MA605' :(0, 0.8, 3, False, 0.004),
'jd1605':(4, 0.4, 4, False, 0.004),
'SR605': (1, 0.9, 2, False, 0.004),
'i1605' :(2, 0.4, 2, False, 0.004),
'cs1605':(0, 1.0, 3, False, 0.004),
}
config = {'name': 'DT1',
'trade_valid_time': 600,
'num_tick': 1,
'daily_close_buffer':5,
'use_chan': False,
'open_period': [300, 2115],
'filename': 'StratDT1.json',
'input_keys': ['lookbacks', 'ratios', 'trade_unit', 'close_tday', 'min_rng'],
"data_func": [["DONCH_H", "dh.DONCH_H", "dh.donch_h"], ["DONCH_L", "dh.DONCH_L", "dh.donch_l"]],
'common_keys': ['name', 'trade_valid_time', 'num_tick', 'daily_close_buffer', 'use_chan', 'open_period', 'data_func'],
'class': "strat_dt_dfilter.DTSplitDChanFilter",
}
create_strat_file(config, ins_setup)
ins_setup = {
'TF1606': (2, 0.6, 1, False, 0.0),
'm1605': (0, 0.7, 2, False, 0.004),
'RM605': (0, 0.6, 2, False, 0.004),
'y1605': (0, 0.6, 2, False, 0.004),
'p1605': (0, 1.1, 2, False, 0.004),
'a1605' : (0, 0.8, 2, False, 0.004),
'rb1605': (0, 0.6, 4, False, 0.004),
'l1605': (0, 0.7, 4, False, 0.004),
'pp1605': (4, 0.35, 2, False, 0.004),
'TA605' : (0, 1.0, 3, False, 0.004),
'MA605' : (0, 0.9, 3, False, 0.004),
'jd1605': (4, 0.3, 4, False, 0.004),
'SR605': (1, 0.8, 2, False, 0.004),
'i1605' : (2, 0.5, 2, False, 0.004),
'cs1605' :(0, 1.1, 3, False, 0.004),
}
config = {'name': 'DT2',
'trade_valid_time': 600,
'num_tick': 1,
'daily_close_buffer':5,
'use_chan': False,
'open_period': [300, 2115],
'filename': 'StratDT2.json',
'input_keys': ['lookbacks', 'ratios', 'trade_unit', 'close_tday', 'min_rng'],
"data_func": [["DONCH_H", "dh.DONCH_H", "dh.donch_h"], ["DONCH_L", "dh.DONCH_L", "dh.donch_l"]],
'common_keys': ['name', 'trade_valid_time', 'num_tick', 'daily_close_buffer', 'use_chan', 'open_period', 'data_func'],
'class': "strat_dt_dfilter.DTSplitDChanFilter",
}
create_strat_file(config, ins_setup)
ins_setup = {
'ag1606': (1, 0.8, 2, False, 0.003),
'm1605': (0, 0.8, 2, False, 0.003),
'RM605': (0, 0.8, 2, False, 0.003),
'y1605': (0, 0.9, 2, False, 0.003),
'p1605': (1, 1.0, 2, False, 0.003),
'a1605': (1, 0.9, 2, False, 0.003),
'rb1605': (2, 0.5, 4, False, 0.003),
'TA605' : (1, 0.7, 3, False, 0.003),
'MA605' : (1, 0.7, 3, False, 0.003),
'SR605' : (2, 0.9, 2, False, 0.003),
'i1605' : (4, 0.4, 2, False, 0.003),
}
config = {'name': 'DTSp1',
'trade_valid_time': 600,
'num_tick': 1,
'daily_close_buffer':5,
'use_chan': False,
'open_period': [300, 1500, 2115],
'filename': 'StratDTSp1.json',
'input_keys': ['lookbacks', 'ratios', 'trade_unit', 'close_tday', 'min_rng'],
"data_func": [["DONCH_H", "dh.DONCH_H", "dh.donch_h"], ["DONCH_L", "dh.DONCH_L", "dh.donch_l"]],
'common_keys': ['name', 'trade_valid_time', 'num_tick', 'daily_close_buffer', 'use_chan', 'open_period', 'data_func' ],
'class': "strat_dt_dfilter.DTSplitDChanFilter",
}
create_strat_file(config, ins_setup)
ins_setup = {
'ag1606': (1, 1.1, 2, False, 0.003),
'm1605': (0, 1.0, 2, False, 0.003),
'RM605': (0, 1.0, 2, False, 0.003),
'y1605': (0, 1.0, 2, False, 0.003),
'p1605': (1, 1.1, 2, False, 0.003),
'a1605': (1, 1.1, 2, False, 0.003),
'rb1605': (0, 0.9, 4, False, 0.003),
'TA605' : (1, 0.9, 3, False, 0.003),
'MA605' : (1, 0.9, 3, False, 0.003),
'SR605' : (4,0.45, 2, False, 0.003),
'i1605' : (4, 0.5, 2, False, 0.003),
}
config = {'name': 'DTSp2',
'trade_valid_time': 600,
'num_tick': 1,
'daily_close_buffer':5,
'use_chan': False,
'open_period': [300, 1500, 2115],
'filename': 'StratDTSp2.json',
'input_keys': ['lookbacks', 'ratios', 'trade_unit', 'close_tday', 'min_rng'],
"data_func": [["DONCH_H", "dh.DONCH_H", "dh.donch_h"], ["DONCH_L", "dh.DONCH_L", "dh.donch_l"]],
'common_keys': ['name', 'trade_valid_time', 'num_tick', 'daily_close_buffer', 'use_chan', 'open_period', 'data_func' ],
'class': "strat_dt_dfilter.DTSplitDChanFilter",
}
create_strat_file(config, ins_setup)
ins_setup = {
'p1605': (1, 0.9, 2, False, 0.003, 5),
'rb1605': (0, 0.7, 2, False, 0.003, 5),
'pp1605': (2, 0.25,1, False, 0.003, 5),
'MA605' : (2, 0.25,3, False, 0.003, 5),
'SR605' : (1, 0.9, 2, False, 0.003, 5),
'cs1605': (1, 1.1, 3, False, 0.003, 10),
'l1605': (0, 0.7, 3, False, 0.003, 10),
'i1605': (0, 0.7, 2, False, 0.003, 10),
'j1605': (2, 0.35,2, False, 0.003, 10),
'cu1606': (1, 0.6, 1, False, 0.003, 10),
'm1605': (1, 0.7, 3, False, 0.003, 20),
'RM605': (2,0.25, 3, False, 0.003, 20),
'y1605': (1, 0.8, 2, False, 0.003, 20),
'TA605' : (0, 0.7, 2, False, 0.003, 20),
}
config = {'name': 'DT_DChanSp1',
'trade_valid_time': 600,
'num_tick': 1,
'daily_close_buffer':5,
'use_chan': True,
'open_period': [300, 1500, 2115],
'filename': 'StratDT_DChanSp1.json',
'input_keys': ['lookbacks', 'ratios', 'trade_unit', 'close_tday', 'min_rng', 'channels'],
"data_func": [["DONCH_H", "dh.DONCH_H", "dh.donch_h"], ["DONCH_L", "dh.DONCH_L", "dh.donch_l"]],
'common_keys': ['name', 'trade_valid_time', 'num_tick', 'daily_close_buffer', 'use_chan', 'open_period', 'data_func' ],
'class': "strat_dt_dfilter.DTSplitDChanFilter",
}
create_strat_file(config, ins_setup)
ins_setup = {
'p1605': (1, 1.0, 2, False, 0.003, 5),
'rb1605': (0, 0.6, 2, False, 0.003, 5),
'pp1605': (2, 0.3, 1, False, 0.003, 5),
'MA605' : (2, 0.3, 3, False, 0.003, 5),
'SR605' : (1, 1.0, 2, False, 0.003, 5),
'cs1605': (1, 1.0, 3, False, 0.003, 10),
'l1605': (2, 0.4, 3, False, 0.003, 10),
'i1605': (0, 0.9, 2, False, 0.003, 10),
'j1605': (2, 0.4, 2, False, 0.003, 10),
'cu1606': (2,0.35, 1, False, 0.003, 10),
'm1605': (1, 0.8, 3, False, 0.003, 20),
'RM605': (2, 0.3, 3, False, 0.003, 20),
'y1605': (1, 1.0, 2, False, 0.003, 20),
'TA605' : (1, 0.8, 2, False, 0.003, 20),
}
config = {'name': 'DT_DChanSp2',
'trade_valid_time': 600,
'num_tick': 1,
'daily_close_buffer':5,
'use_chan': True,
'open_period': [300, 1500, 2115],
'filename': 'StratDT_DChanSp2.json',
'input_keys': ['lookbacks', 'ratios', 'trade_unit', 'close_tday', 'min_rng', 'channels'],
"data_func": [["DONCH_H", "dh.DONCH_H", "dh.donch_h"], ["DONCH_L", "dh.DONCH_L", "dh.donch_l"]],
'common_keys': ['name', 'trade_valid_time', 'num_tick', 'daily_close_buffer', 'use_chan', 'open_period', 'data_func' ],
'class': "strat_dt_dfilter.DTSplitDChanFilter",
}
create_strat_file(config, ins_setup)
ins_setup = {
'bu1606':[2, 1, 1, [5, 15]],
'i1605': [1, 1, 2, [5, 15]],
'TA605': [2, 2, 2, [5, 15]],
'ZC605': [2, 3, 1, [5, 15]],
}
config = {'name': 'TL1',
'trade_valid_time': 600,
'num_tick': 0,
'filename': 'StratTL1.json',
'input_keys': ['trail_loss', 'max_pos', 'trade_unit', 'channels'],
"data_func": [["ATR", "dh.ATR", "dh.atr"], ["DONCH_H", "dh.DONCH_H", "dh.donch_h"], ["DONCH_L", "dh.DONCH_L", "dh.donch_l"]],
'common_keys': ['name', 'trade_valid_time', 'num_tick', 'data_func' ],
'class': "strat_turtle.TurtleTrader",
}
create_strat_file(config, ins_setup)
ins_setup = {
'j1605': [1, 2, 1, [10, 20]],
'ZC605': [2, 3, 2, [10, 20]],
'i1605': [2, 2, 1, [10, 20]],
}
config = {'name': 'TL2',
'trade_valid_time': 600,
'num_tick': 0,
'filename': 'StratTL2.json',
'input_keys': ['trail_loss', 'max_pos', 'trade_unit', 'channels'],
"data_func": [["ATR", "dh.ATR", "dh.atr"], ["DONCH_H", "dh.DONCH_H", "dh.donch_h"], ["DONCH_L", "dh.DONCH_L", "dh.donch_l"]],
'common_keys': ['name', 'trade_valid_time', 'num_tick', 'data_func'],
'class': "strat_turtle.TurtleTrader",
}
create_strat_file(config, ins_setup)
def create_strat_file(config, ins_setup):
insts = ins_setup.keys()
asset_list = []
for inst in insts:
asset_dict = {}
asset_dict['underliers'] = [inst]
asset_dict['volumes'] = [1]
for key, val in zip(config['input_keys'], ins_setup[inst]) :
asset_dict[key] = val
asset_list.append(asset_dict)
strat_conf = {}
for key in config['common_keys']:
strat_conf[key] = config[key]
strat_conf['assets'] = asset_list
full_config = {'config': strat_conf, 'class': config['class']}
fname = config['filename']
try:
with open(fname, 'w') as ofile:
json.dump(full_config, ofile)
except:
print "error with json output"
def run_config(name, config_file, tday = datetime.date.today(), agent_class = 'agent.Agent'):
base.config_logging("ctp_" + name + ".log", level=logging.DEBUG,
format = '%(name)s:%(funcName)s:%(lineno)d:%(asctime)s %(levelname)s %(message)s',
to_console = True,
console_level = logging.INFO)
myApp = MainApp(name, tday, config_file, agent_class = agent_class, master = None)
myGui = Gui(myApp)
# myGui.iconbitmap(r'c:\Python27\DLLs\thumbs-up-emoticon.ico')
myGui.mainloop()
if __name__ == '__main__':
args = sys.argv[1:]
if len(args) < 4:
agent_class = 'agent.Agent'
else:
agent_class = args[3]
if len(args) < 3:
app_name = 'prod_test'
else:
app_name = args[2]
if len(args) < 2:
tday = datetime.date.today()
else:
tday = datetime.datetime.strptime(args[1], '%Y%m%d').date()
if len(args) < 1:
config_file = 'prod_test_agent.json'
else:
config_file = args[0]
params = (app_name, config_file, tday, agent_class, )
run_config(*params)