移除部分代码

strategy.py

@@ -370,32 +370,6 @@ class Strategy:
                     signals['Limits_close'].append([amount, 'pk', price,utils.get_cid(self.broker_id)])
         return signals
 
-    # def _cancel_close(self):
-    #     '''
-    #         取消平仓订单
-    #     '''
-    #     # 准备命令
-    #     signals = dict()
-    #     # 撤掉危险挂单
-    #     cond1 = self.close_dist[0]
-    #     cond2 = self.close_dist[1]
-    #     cond3 = self.close_dist[2]
-    #     cond4 = self.close_dist[3]
-    #     # # 获取当前挂单
-    #     for cid in self.local_orders:
-    #         i = self.local_orders[cid]
-    #         if i['side'] == 'pk':
-    #             if (i['price'] >= cond1 or i['price'] <= cond2):
-    #                 cid = i['client_id']
-    #                 oid = i['order_id']
-    #                 signals[f'Cancel{cid}'] = [cid, oid]
-    #         if i['side'] == 'pd':
-    #             if (i['price'] <= cond3 or i['price'] >= cond4):
-    #                 cid = i['client_id']
-    #                 oid = i['order_id']
-    #                 signals[f'Cancel{cid}'] = [cid, oid]
-    #     return signals
-
     def _post_close(self):
         '''
             处理平仓
@@ -595,81 +569,6 @@ class Strategy:
                 amount_value = float(amount) * self.mp
                 if amount_value >= self._min_amount_value and amount_value <= short_free_value:
                     signals['Limits_open'].append([amount, 'kk', targit_sell_price, utils.get_cid(self.broker_id)])
-        ############## 多层挂单 #################
-        # step = (cond1-cond2) / self.grid
-        # ########### 挂多单 ###########
-        # if self.post_side >= 0:
-        #     if len(buyP) == 0:
-        #         # 1
-        #         targit_buy_price = cond1 * 0.1 + cond2 * 0.9
-        #         targit_buy_price = utils.clip(targit_buy_price, self.bp*0.97, self.ap*1.0005)
-        #         targit_buy_price = self.fix_price(targit_buy_price)
-        #         value = min(one_hand_long_value, long_free_value)
-        #         amount = self.fix_amount(value/self.mp)
-        #         amount_value = float(amount) * self.mp
-        #         if targit_buy_price < cond1*(1-self.long_hold_rate) + cond2*self.long_hold_rate:
-        #             if amount_value >= self._min_amount_value and amount_value <= long_free_value:
-        #                 signals['Limits_open'].append([amount, 'kd', targit_buy_price, utils.get_cid(self.broker_id)])
-        #     else:
-        #         # 2
-        #         targit_buy_price = max(buyP) + step
-        #         targit_buy_price = utils.clip(targit_buy_price, self.bp*0.97, self.ap*1.0005)
-        #         targit_buy_price = self.fix_price(targit_buy_price)
-        #         value = min(one_hand_long_value, long_free_value)
-        #         amount = self.fix_amount(value/self.mp)
-        #         amount_value = float(amount) * self.mp
-        #         if targit_buy_price < cond1*(1-self.long_hold_rate) + cond2*self.long_hold_rate:
-        #             if targit_buy_price < cond1 - 0.1*step and targit_buy_price > cond2 + 0.1*step:
-        #                 if amount_value >= self._min_amount_value and amount_value <= long_free_value:
-        #                     signals['Limits_open'].append([amount, 'kd', targit_buy_price, utils.get_cid(self.broker_id)])
-        #         # 3
-        #         targit_buy_price = min(buyP) - step
-        #         targit_buy_price = utils.clip(targit_buy_price, self.bp*0.97, self.ap*1.0005)
-        #         targit_buy_price = self.fix_price(targit_buy_price)
-        #         value = min(one_hand_long_value, long_free_value)
-        #         amount = self.fix_amount(value/self.mp)
-        #         amount_value = float(amount) * self.mp
-        #         if targit_buy_price < cond1*(1-self.long_hold_rate) + cond2*self.long_hold_rate:
-        #             if targit_buy_price < cond1 - 0.1*step and targit_buy_price > cond2 + 0.1*step:
-        #                 if amount_value >= self._min_amount_value and amount_value <= long_free_value:
-        #                     signals['Limits_open'].append([amount, 'kd', targit_buy_price, utils.get_cid(self.broker_id)])
-        # ########### 挂空单 ###########
-        # if self.post_side <= 0:
-        #     if len(sellP) == 0:
-        #         # 1
-        #         targit_sell_price = cond3 * 0.1 + cond4 * 0.9
-        #         targit_sell_price = utils.clip(targit_sell_price, self.bp*0.9995, self.ap*1.03)
-        #         targit_sell_price = self.fix_price(targit_sell_price)
-        #         value = min(one_hand_short_value, short_free_value)
-        #         amount = self.fix_amount(value/self.mp)
-        #         amount_value = float(amount) * self.mp
-        #         if targit_sell_price > cond3*(1-self.short_hold_rate) + cond4*self.short_hold_rate:
-        #             if amount_value >= self._min_amount_value and amount_value <= short_free_value:
-        #                 signals['Limits_open'].append([amount, 'kk', targit_sell_price, utils.get_cid(self.broker_id)])
-        #     else:
-        #         # 2
-        #         targit_sell_price = min(sellP) - step
-        #         targit_sell_price = utils.clip(targit_sell_price, self.bp*0.9995, self.ap*1.03)
-        #         targit_sell_price = self.fix_price(targit_sell_price)
-        #         value = min(one_hand_short_value, short_free_value)
-        #         amount = self.fix_amount(value/self.mp)
-        #         amount_value = float(amount) * self.mp
-        #         if targit_sell_price > cond3*(1-self.short_hold_rate) + cond4*self.short_hold_rate:
-        #             if targit_sell_price > cond3 + 0.1*step and targit_sell_price < cond4 - 0.1*step:
-        #                 if amount_value >= self._min_amount_value and amount_value <= short_free_value:
-        #                     signals['Limits_open'].append([amount, 'kk', targit_sell_price, utils.get_cid(self.broker_id)])
-        #         # 3
-        #         targit_sell_price = max(sellP) + step
-        #         targit_sell_price = utils.clip(targit_sell_price, self.bp*0.9995, self.ap*1.03)
-        #         targit_sell_price = self.fix_price(targit_sell_price)
-        #         value = min(one_hand_short_value, short_free_value)
-        #         amount = self.fix_amount(value/self.mp)
-        #         amount_value = float(amount) * self.mp
-        #         if targit_sell_price > cond3*(1-self.short_hold_rate) + cond4*self.short_hold_rate:
-        #             if targit_sell_price > cond3 + 0.1*step and targit_sell_price < cond4 - 0.1*step:
-        #                 if amount_value >= self._min_amount_value and amount_value <= short_free_value:
-        #                     signals['Limits_open'].append([amount, 'kk', targit_sell_price, utils.get_cid(self.broker_id)])
-        ############################################
         return signals
 
     # @utils.timeit
@@ -915,97 +814,6 @@ class Strategy:
         except:
             traceback.print_exc()
 
-    # @timeit
-    # def onOrder(self, data):
-    #     '''
-    #         call on order update event
-    #     '''
-    #     try:
-    #         # 更新状态
-    #         if self._update_data(data):
-    #             # 检查是否准备充分
-    #             if self.check_ready():
-    #                 return dict()
-    #             ###### 关键操作 ######
-    #             # 更新挂单距离
-    #             self._pos_rate()
-    #             open_dist, close_dist = self.gen_dist(
-    #                 open=self.trade_open_dist,
-    #                 close=self.trade_close_dist, 
-    #                 pos_rate=[self.long_hold_rate, self.short_hold_rate],
-    #                 ref_bp=self.ref_bp,
-    #                 ref_ap=self.ref_ap,
-    #                 predict=self.predict,
-    #                 grid=self.grid,
-    #                 mode=self.maker_mode,
-    #             )
-    #             self.open_dist = \
-    #                 [
-    #                     self.fix_price(open_dist[0]),
-    #                     self.fix_price(open_dist[1]),
-    #                     self.fix_price(open_dist[2]),
-    #                     self.fix_price(open_dist[3]),
-    #                 ]
-    #             self.close_dist = \
-    #                 [
-    #                     self.fix_price(close_dist[0]),
-    #                     self.fix_price(close_dist[1]),
-    #                     self.fix_price(close_dist[2]),
-    #                     self.fix_price(close_dist[3]),
-    #                 ]
-    #             # 获取开平仓指令
-    #             signals = dict()
-    #             # 获取平仓信号
-    #             signals.update(self._post_close())
-    #             # 更新撤单队列
-    #             signals = self._update_in_cancel(signals)
-    #             # 限制频率
-    #             signals = self._check_request_limit(signals)
-    #             # 统计请求频率
-    #             self._update_request_num(signals)
-    #             ##########################
-    #             return signals
-    #     except:
-    #         traceback.print_exc()
-    #         if self._is_print:self.logger.error(traceback.format_exc())
-
-    # @timeit
-    # def onTick(self, data):
-    #     '''
-    #         call on ticker update event
-    #     '''
-    #     try:
-    #         # 更新状态
-    #         if self._update_data(data):
-    #             # 检查是否准备充分
-    #             if self.check_ready():
-    #                 return dict()
-    #             ###### 关键操作 ######
-    #             # 更新挂单距离
-    #             self.open_dist, self.close_dist = utils.gen_dist(
-    #                 self.trade_open_dist,
-    #                 self.trade_close_dist, 
-    #                 self._pos_rate(),
-                    # self.ref_bp,
-                    # self.ref_ap,
-    #                 self.predict
-    #             )
-    #             # 获取开平仓指令
-    #             signals = dict()
-    #             # 获取平仓信号
-    #             signals.update(self._cancel_open())
-    #             # 更新撤单队列
-    #             signals = self._update_in_cancel(signals)
-    #             # 限制频率
-    #             signals = self._check_request_limit(signals)
-    #             # 统计请求频率
-    #             self._update_request_num(signals)
-    #             ##########################
-    #             return signals
-    #     except:
-    #         traceback.print_exc()
-    #         if self._is_print:self.logger.error(traceback.format_exc())
-
     # @utils.timeit
     def onTime(self, data):
         '''

utils.py

@@ -114,9 +114,9 @@ def get_params(fname):
     p.pair = params['pair'] if 'pair' in params else ""
     # 调试模式开关
     p.debug = params['debug'] if 'debug' in params else "False"
-    # 开仓
+    # 开仓间距，0.01代表1%
     p.open = params['open'] if 'open' in params else "0.002"
-    # 平仓
+    # 平仓间距，0.01代表1%
     p.close = params['close'] if 'close' in params else "0.0002"
     # 监听端口
     p.server_port = params['server_port'] if 'server_port' in params else 6000