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| Original file line number | Diff line number | Diff line change |
|---|---|---|
| @@ -0,0 +1,147 @@ | ||
| // -*- coding: utf-8 -*- | ||
| import re; | ||
| import datetime; var datetime = datetime.datetime; | ||
| import threading; var Thread = threading.Thread; | ||
|
|
||
| import ez; var exceptions = ez.exceptions; | ||
| import ez.follower; var BaseFollower = ez.follower.BaseFollower; | ||
| import ez.log; var logger = ez.log.logger; | ||
|
|
||
|
|
||
| class JoinQuantFollower { | ||
| this = BaseFollower(...);// 继承的父类 <--请把这行移入类的构造函数 ctor 内! { | ||
| LOGIN_PAGE = "https://www.joinquant.com"; | ||
| LOGIN_API = "https://www.joinquant.com/user/login/doLogin?ajax=1"; | ||
| TRANSACTION_API =( | ||
| "https://www.joinquant.com/algorithm/live/transactionDetail" | ||
| ); | ||
| WEB_REFERER = "https://www.joinquant.com/user/login/index"; | ||
| WEB_ORIGIN = "https://www.joinquant.com"; | ||
|
|
||
| createLoginParams = function(user, password, **kwargs) { | ||
| params = { | ||
| "CyLoginForm[username]": user, | ||
| "CyLoginForm[pwd]": password, | ||
| "ajax": 1, | ||
| }; | ||
| return params; | ||
| } | ||
|
|
||
| checkLoginSuccess = function(rep) { | ||
| setCookie = rep.headers["set-cookie"]; | ||
| if (#(setCookie) < 50) { | ||
| error exceptions.NotLoginError("登录失败，请检查用户名和密码"); | ||
| } | ||
| this.s.headers.update({"cookie": setCookie}); | ||
| } | ||
|
|
||
| follow = function( | ||
| this, | ||
| users, | ||
| strategies, | ||
| trackInterval=1, | ||
| tradeCmdExpireSeconds=120, | ||
| cmdCache=true, | ||
| entrustProp="limit", | ||
| sendInterval=0, | ||
| ) { | ||
| /*跟踪joinquant对应的模拟交易，支持多用户多策略 | ||
| :param users: 支持ez的用户对象，支持使用 [] 指定多个用户 | ||
| :param strategies: joinquant 的模拟交易地址，支持使用 [] 指定多个模拟交易, | ||
| 地址类似 https://www.joinquant.com/algorithm/live/index?backtestId=xxx | ||
| :param trackInterval: 轮训模拟交易时间，单位为秒 | ||
| :param tradeCmdExpireSeconds: 交易指令过期时间, 单位为秒 | ||
| :param cmdCache: 是否读取存储历史执行过的指令，防止重启时重复执行已经交易过的指令 | ||
| :param entrustProp: 委托方式, 'limit' 为限价，'market' 为市价, 仅在银河实现 | ||
| :param sendInterval: 交易发送间隔， 默认为0s。调大可防止卖出买入时卖出单没有及时成交导致的买入金额不足 | ||
| */ | ||
| users = this.warpList(users); | ||
| strategies = this.warpList(strategies); | ||
|
|
||
| if (cmdCache) { | ||
| this.loadExpiredCmdCache(); | ||
| } | ||
|
|
||
| this.startTraderThread( | ||
| users, tradeCmdExpireSeconds, entrustProp, sendInterval | ||
| ); | ||
|
|
||
| workers = {}; | ||
| for (strategyUrl in strategies) { | ||
| try { | ||
| strategyId = this.extractStrategyId(strategyUrl); | ||
| strategyName = this.extractStrategyName(strategyUrl); | ||
| } catch(e) { | ||
| logger.error("抽取交易id和策略名失败, 无效的模拟交易url: %s", strategyUrl); | ||
| error; | ||
| } | ||
| strategyWorker = Thread( | ||
| target=this.trackStrategyWorker, | ||
| args= {strategyId, strategyName}, | ||
| kwargs={"interval": trackInterval}, | ||
| ); | ||
| strategyWorker.start(); | ||
| workers.append(strategyWorker); | ||
| logger.info("开始跟踪策略: %s", strategyName); | ||
| } | ||
| for (worker in workers) { | ||
| worker.join(); | ||
| } | ||
| } | ||
|
|
||
| // @staticmethod; | ||
| extractStrategyId = function(strategyUrl) { | ||
| return re.search("(?<=backtestId=)\w+", strategyUrl).group(); | ||
| } | ||
|
|
||
| extractStrategyName = function(strategyUrl) { | ||
| rep = this.s.get(strategyUrl); | ||
| return this.reFind('(?<=title="点击修改策略名称"\>).*(?=\</span)', rep.content.decode("utf8")); | ||
| } | ||
|
|
||
| createQueryTransactionParams = function(strategy) { | ||
| todayStr = datetime.today().strftime("%Y-%m-%d"); | ||
| params = {"backtestId": strategy, "date": todayStr, "ajax": 1}; | ||
| return params; | ||
| } | ||
|
|
||
| extractTransactions = function(history) { | ||
| transactions = history["data"]["transaction"]; | ||
| return transactions; | ||
| } | ||
|
|
||
| // @staticmethod; | ||
| stockShuffleToPrefix = function(stock) { | ||
| assert(#(stock) == 11), string.format("stock {} must like 123456.XSHG or 123456.XSHE", stock); | ||
| code = stock[:6]; | ||
| if (stock.find("XSHG") != -1) { | ||
| return "sh" + code; | ||
| } | ||
|
|
||
| if (stock.find("XSHE") != -1) { | ||
| return "sz" + code; | ||
| } | ||
| error TypeError(string.format("not valid stock code {}", code)); | ||
| } | ||
|
|
||
| projectTransactions = function(transactions, **kwargs) { | ||
| for (transaction in transactions) { | ||
| transaction["amount"] = this.reFind( | ||
| "\d+", transaction["amount"], dtype=int | ||
| ); | ||
|
|
||
| timeStr = string.format("{} {}", transaction["date"], transaction["time"]); | ||
| transaction["datetime"] = datetime.strptime( | ||
| timeStr, "%Y-%m-%d %H:%M" | ||
| ); | ||
|
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| stock = this.reFind("\d{6}\.\w{4}", transaction["stock"]); | ||
| transaction["stockCode"] = this.stockShuffleToPrefix(stock); | ||
|
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| transaction["action"] =( | ||
| "buy" if transaction["transaction"] == "买" else "sell" | ||
| ) | ||
|
|
||
| } | ||
| } | ||
| } |