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ch7_GridBot.py
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#########################################
#Ch7 網格交易機器人
###########################################
import pandas as pd
import shioaji
import shioaji.order as stOrder
import matplotlib.pyplot as plt
import yfinance as yf
import numpy as np
import ShioajiLogin
from ShioajiLogin import shioajiLogin
import os
import logging
import pickle
import datetime
import threading, time
from threading import Thread, Lock
TERMINATE_IN_WEEKEND=False
REBOOT_HOUR=16
END_WEEKDAY=4 # Friday
USING_LOG=True
api=shioajiLogin(simulation=False)
initmoney=0
g_settlement=0
g_upperid='0052'
g_lowerid='00662'
bot_filename='money_0052_00662.p'
logfilename='gridbotlog_0052_00662.log'
trigger=2000 #最低交易金額門檻,避免交易金額太小,錢被手續費低消吃光光
trigger_percent=0.02 #最低交易金額門檻(百分比)
ENABLE_PREMARKET=True
ans=''
logging.basicConfig(filename=logfilename, level=logging.DEBUG)
msglist=[]
g_list_of_trades=[]
def update_trades(api,bot_trades):
payment=0
for trade in bot_trades:
orderstatus=trade.status.status
if(orderstatus==orderstatus.Cancelled
or orderstatus==orderstatus.Failed
or orderstatus==orderstatus.Inactive):
pass
elif(orderstatus==orderstatus.Filled
or orderstatus==orderstatus.PartFilled
or orderstatus==orderstatus.PendingSubmit
or orderstatus==orderstatus.PreSubmitted
or orderstatus==orderstatus.Submitted):
#Buy/Sell
direction=trade.order.action.name
stockid=trade.contract.code
deal_quantity=0
order_quantity=trade.status.order_quantity
deals=trade.status.deals
deal_money=0
for deal in deals:
price=deal.price
quantity=deal.quantity
deal_money+=price*quantity
deal_quantity+=quantity
if(direction == 'Buy'):
payment-=deal_money
elif(direction == 'Sell'):
payment+=deal_money
else:
print('update_trades:unknown direction')
else:
print('update_trades:unknown orderstatus')
return payment
def GridbotBody():
global initmoney
global g_settlement
global g_list_of_trades
class GridBot:
upperid=g_upperid
lowerid=g_lowerid
parameters={'BiasUpperLimit':1.2,\
'UpperLimitPosition':0.1,\
'BiasLowerLimit':0.9,\
'LowerLimitPosition':0.9,\
'BiasPeriod':247}
year=0
month=0
day=0
stockPrice={}
stockBid={}
stockAsk={}
upperprice=0
uppershare=0
lowerprice=0
lowershare=0
uppershareTarget=0
lowershareTarget=0
money=0
contractUpper = api.Contracts.Stocks[upperid]
contractLower = api.Contracts.Stocks[lowerid]
#########################################
#7.1 計算策略目標部位(百分比)
###########################################
def UpdateMA(self):
now = datetime.datetime.now()
#如果有換日就更新均線,或者第一次呼叫的時候也會更新均線
if(now.year!=self.year or now.month!= self.month or now.day!=self.day):
#從Yfinance抓取資料
upper = yf.Ticker(self.upperid+".tw")
upper_hist = upper.history(period="1y")
#計算均線
period=self.parameters['BiasPeriod']
upper_close=upper_hist['Close']
#1.如果是做 股票 / TWD 的網格那就只要股票價格取平均
#2.如果是做 股票A / 股票B 的相對價值網格那就需要
#先計算 股票A / 股票B 的收盤價，再取平均
if(self.lowerid!='Cash'):
lower = yf.Ticker(self.lowerid+".tw")
lower_hist = lower.history(period="1y")
lower_close=lower_hist['Close']
close=(upper_close/lower_close).dropna()
else:
close=upper_close.dropna()
self.MA=close[-period:].sum()/period
self.year=now.year
self.month=now.month
self.day=now.day
s=str(datetime.datetime.now())
s=s+'MA:'+str(self.MA)
logging.debug(s)
#########################################
#7.2 抓取庫存部位大小
###########################################
def getPositions(self):
api.update_status()
portfolio=api.list_positions(unit=shioaji.constant.Unit.Share)
#df_positions = pd.DataFrame(portfolio)
df_positions = pd.DataFrame(s.__dict__ for s in portfolio)
quantity=df_positions.loc[df_positions['code'] == self.upperid]['quantity']
if(quantity.size==0):
self.uppershare=0
else:
self.uppershare=int(quantity)
if(self.lowerid!='Cash'):
quantity=df_positions.loc[df_positions['code'] == self.lowerid]['quantity']
if(quantity.size==0):
self.lowershare=0
else:
self.lowershare=int(quantity)
def calculateSharetarget(self,upperprice,lowerprice):
#計算目標部位百分比
shareTarget=self.calculateGrid(upperprice,lowerprice)
global initmoney
global g_list_of_trades
settlement_trades=update_trades(api,g_list_of_trades)
#mutexgSettle.acquire()
self.money=initmoney+settlement_trades
#mutexgSettle.release()
#mutexgSettle.acquire()
#self.money=initmoney+g_settlement
#mutexgSettle.release()
uppershare=self.uppershare
lowershare=self.lowershare
money=self.money
#計算機器人裡面有多少資產(現金+股票)
capitalInBot=money+uppershare*upperprice+lowershare*lowerprice
logging.debug('uppershare:'+str(uppershare))
logging.debug('lowershare:'+str(lowershare))
logging.debug('money:'+str(money))
#計算目標部位(股數)
uppershareTarget=int(shareTarget*capitalInBot/upperprice)
lowershareTarget=int((1.0-shareTarget)*capitalInBot/lowerprice)
#紀錄目標部位(股數)
self.uppershareTarget=uppershareTarget
self.lowershareTarget=lowershareTarget
self.upperprice=upperprice
self.lowerprice=lowerprice
logging.debug('uppershareTarget:'+str(uppershareTarget))
logging.debug('lowershareTarget:'+str(lowershareTarget))
logging.debug('upperprice:'+str(upperprice))
logging.debug('lowerprice:'+str(lowerprice))
def calculateGrid(self,upperprice,lowerprice):
MA=self.MA
#計算目標部位百分比
BiasUpperLimit=self.parameters['BiasUpperLimit']
UpperLimitPosition=self.parameters['UpperLimitPosition']
BiasLowerLimit=self.parameters['BiasLowerLimit']
LowerLimitPosition=self.parameters['LowerLimitPosition']
BiasPeriod=self.parameters['BiasPeriod']
Bias=(upperprice/lowerprice)/MA
if(USING_LOG):
Bias=np.log(Bias)
BiasUpperLimit=np.log(BiasUpperLimit)
BiasLowerLimit=np.log(BiasLowerLimit)
shareTarget=(Bias-BiasLowerLimit)/(BiasUpperLimit-BiasLowerLimit)
shareTarget=shareTarget*(UpperLimitPosition-LowerLimitPosition)+LowerLimitPosition
shareTarget=max(shareTarget,UpperLimitPosition)
shareTarget=min(shareTarget,LowerLimitPosition)
return shareTarget
#########################################
#7.3. 實際掛單
###########################################
def updateOrder(self):
try:
#################################
#0.更新日均線資料
#################################
self.UpdateMA()
#################################
#1.刪除掛單
############################
self.cancelOrders()
#################################
#2.更新庫存
############################
self.getPositions()
####################################
#3.更新目標部位
##############################
self.calculateSharetarget(upperprice=self.stockPrice[g_upperid]\
,lowerprice=self.stockPrice[g_lowerid])
#######################################
#4.掛單
############################################
self.sendOrders()
except Exception as e: # work on python 3.x
logging.debug(str(datetime.datetime.now())+' updateOrder Error Message: '+ str(e))
def cancelOrders(self):
api.update_status()
#列出所有的訂單
tradelist=api.list_trades()
tradeUpper=[]
tradeLower=[]
for i in range(0,len(tradelist),1):
thistrade=tradelist[i]
thisstatus=thistrade.status.status
#單子的狀態太多種,先列出來
isCancelled=( thisstatus == stOrder.Status.Cancelled)
isFailed=( thisstatus == stOrder.Status.Failed)
isFilled=( thisstatus == stOrder.Status.Filled)
isInactive=( thisstatus == stOrder.Status.Inactive)
isPartFilled=( thisstatus == stOrder.Status.PartFilled)
isPendingSubmit=( thisstatus == stOrder.Status.PendingSubmit)
isPreSubmitted=( thisstatus == stOrder.Status.PreSubmitted)
isSubmitted=( thisstatus == stOrder.Status.Submitted)
#把交易股票種類跟交易機器人一樣的有效訂單取消
cond1=not(\
isCancelled\
or isFailed\
or isFilled\
)
cond2=thistrade.contract.code==self.upperid
cond3=thistrade.contract.code==self.lowerid
cond4=self.lowerid!='Cash'
if(cond1 and cond2):
tradeUpper.append(thistrade)
if(cond1 and cond3 and cond4):
tradeLower.append(thistrade)
#實際取消訂單的部分
for i in range(0,len(tradeUpper),1):
api.update_status()
api.cancel_order(trade=tradeUpper[i],timeout=50000)
if(self.lowerid!='Cash'):
for i in range(0,len(tradeLower),1):
api.update_status()
api.cancel_order(trade=tradeLower[i],timeout=50000)
def sendOrders(self):
#計算要掛多少股
quantityUpper=self.uppershareTarget-self.uppershare
quantityLower=self.lowershareTarget-self.lowershare
quantityUpper=min(quantityUpper,999)
quantityUpper=max(quantityUpper,-999)
quantityLower=min(quantityLower,999)
quantityLower=max(quantityLower,-999)
#確保掛單的量不會把交割款用完
code=self.upperid
money=self.money
if(quantityUpper>0):
cost=self.stockBid[code]*quantityUpper
if(money<cost):
quantityUpper=max(int(money/self.stockBid[code]),0)
quantityUpperValid=abs(quantityUpper)>0
#這邊做掛單,前面做了掛單量==0股的特殊檢查
if(quantityUpperValid):
#產生買單物件
if(quantityUpper>0):
order = api.Order(
price=self.stockBid[code],
quantity=quantityUpper,
action=shioaji.constant.Action.Buy,
price_type=shioaji.constant.StockPriceType.LMT,
order_type=shioaji.constant.OrderType.ROD,
order_lot=shioaji.constant.StockOrderLot.IntradayOdd,
account=api.stock_account,
)
#產生賣單物件
else:
order = api.Order(
price=self.stockAsk[code],
quantity=abs(quantityUpper),
action=shioaji.constant.Action.Sell,
price_type=shioaji.constant.StockPriceType.LMT,
order_type=shioaji.constant.OrderType.ROD,
order_lot=shioaji.constant.StockOrderLot.IntradayOdd,
account=api.stock_account,
)
#在交易金額大於trigger的時候掛單
if(abs(quantityUpper)*self.stockPrice[code]>=trigger):
contract = api.Contracts.Stocks[code]
cost=self.stockBid[code]*quantityUpper
#掛買單的話,要把交割款扣掉買單的金額
#避免後面掛分母的單的時候交割款不夠
if(quantityUpper>0):
if(money>cost):
money=money-cost #local money int
trade = api.place_order(contract, order)
s=str(datetime.datetime.now())
s=s+'buy upper'
logging.debug(s)
g_list_of_trades.append(trade)
else:
trade = api.place_order(contract, order)
s=str(datetime.datetime.now())
s=s+'sell upper'
logging.debug(s)
g_list_of_trades.append(trade)
#這邊開始掛分母的單
#首先確保掛單的量不會把交割款用完
code=self.lowerid
if(quantityLower>0):
cost=self.stockBid[code]*quantityLower
if(money<cost):
quantityLower=max(int(money/self.stockBid[code]),0)
quantityLowerValid=abs(quantityLower)>0
#這邊做掛單,前面做了掛單量==0股的特殊檢查
if(self.lowerid!='Cash' and quantityLowerValid):
#產生買單物件
if(quantityLower>0):
order = api.Order(
price=self.stockBid[code],
quantity=quantityLower,
action=shioaji.constant.Action.Buy,
price_type=shioaji.constant.StockPriceType.LMT,
order_type=shioaji.constant.OrderType.ROD,
order_lot=shioaji.constant.StockOrderLot.IntradayOdd,
account=api.stock_account,
)
#產生賣單物件
else:
order = api.Order(
price=self.stockAsk[code],
quantity=-quantityLower,
action=shioaji.constant.Action.Sell,
price_type=shioaji.constant.StockPriceType.LMT,
order_type=shioaji.constant.OrderType.ROD,
order_lot=shioaji.constant.StockOrderLot.IntradayOdd,
account=api.stock_account,
)
#在交易金額大於trigger的時候掛單
if(abs(quantityLower)*self.stockPrice[code]>=trigger):
contract = api.Contracts.Stocks[code]
cost=self.stockBid[code]*quantityLower
if(quantityLower>0):
trade = api.place_order(contract, order)
s=str(datetime.datetime.now())
s=s+'buy lower'
logging.debug(s)
g_list_of_trades.append(trade)
else:
trade = api.place_order(contract, order)
s=str(datetime.datetime.now())
s='sell lower'
logging.debug(s)
g_list_of_trades.append(trade)
#成交價
snaprice={}
snaprice[g_upperid] = api.snapshots([api.Contracts.Stocks[g_upperid]])
snaprice[g_lowerid] = api.snapshots([api.Contracts.Stocks[g_lowerid]])
stockPrice={g_upperid:snaprice[g_upperid][0]['close'],\
g_lowerid:snaprice[g_lowerid][0]['close']}
#最高買價
stockBid={g_upperid:snaprice[g_upperid][0]['close'],\
g_lowerid:snaprice[g_lowerid][0]['close']}
#最低賣價
stockAsk={g_upperid:snaprice[g_upperid][0]['close'],\
g_lowerid:snaprice[g_lowerid][0]['close']}
#創建交易機器人物件
bot1=GridBot()
#更新交易機器人裡的股票數量
bot1.getPositions()
#把資料寫到硬碟和從硬碟讀取資料用的函數
def pickle_dump(filename,obj):
with open(filename, 'wb') as handle:
pickle.dump(obj, handle, protocol=pickle.HIGHEST_PROTOCOL)
def pickle_read(filename):
with open(filename, 'rb') as handle:
return pickle.load(handle)
try:
initmoney=pickle_read(bot_filename)
except:
initmoney=0
totalcapital=initmoney+stockPrice[g_upperid]*bot1.uppershare+stockPrice[g_lowerid]*bot1.lowershare
#更新Trigger大小,在資產很多的時候固定2000會有點少
global trigger
trigger=max(trigger,totalcapital*trigger_percent)
print("money:"+str(initmoney))
print("upper:"+str(stockPrice[g_upperid]*bot1.uppershare))
print("lower:"+str(stockPrice[g_lowerid]*bot1.lowershare))
print("totalcapital is "+str(totalcapital))
#決定要不要新增更多資金進交易機器人裡
global ans
if(ans==''):
ans=input("perform withdraw or deposit(y/n):\n")
if(ans=='y'):
amount=input("withdraw or deposit amount(>0:deposit,<0:withdraw):\n")
initmoney=initmoney+int(amount)
bot1.money=initmoney
#用來處理多線程的變數,在更新價格和訂單成交回報時會用到
mutexDict ={g_upperid:Lock(),g_lowerid:Lock()}
mutexBidAskDict ={g_upperid:Lock(),g_lowerid:Lock()}
mutexmsg =Lock()
mutexstat =Lock()
mutexgSettle =Lock()
statlist=[]
#處理訂單成交的狀況,用來更新交割款
def place_cb(stat, msg):
if "trade_id" in msg:
code=msg['code']
isUpper= (code==g_upperid)
isLower= (code==g_lowerid)
if(isUpper or isLower):
global g_settlement
action=msg['action']
price=msg['price']
quantity=msg['quantity']
mutexgSettle.acquire()
if(action=='Buy'):
g_settlement-=price*quantity
elif(action=='Sell'):
g_settlement+=price*quantity
else:
pass
mutexgSettle.release()
mutexmsg.acquire()
try:
msglist.append(msg)
except Exception as e: # work on python 3.x
logging.error('place_cb Error Message A: '+ str(e))
mutexmsg.release()
mutexstat.acquire()
try:
statlist.append(stat)
except Exception as e: # work on python 3.x
logging.error('place_cb Error Message B: '+ str(e))
mutexstat.release()
api.set_order_callback(place_cb)
#告訴系統要訂閱
#1.ticks資料(用來看成交價)
#2.買賣價資料
contract_Upper = api.Contracts.Stocks[g_upperid]
contract_Lower = api.Contracts.Stocks[g_lowerid]
api.quote.subscribe(\
contract_Upper,\
quote_type = shioaji.constant.QuoteType.Tick,\
version = shioaji.constant.QuoteVersion.v1,\
intraday_odd = True
)
api.quote.subscribe(\
contract_Upper,\
quote_type = shioaji.constant.QuoteType.BidAsk,\
version = shioaji.constant.QuoteVersion.v1,\
intraday_odd=True
)
api.quote.subscribe(\
contract_Lower,\
quote_type = shioaji.constant.QuoteType.Tick,\
version = shioaji.constant.QuoteVersion.v1,\
intraday_odd = True
)
api.quote.subscribe(\
contract_Lower,\
quote_type = shioaji.constant.QuoteType.BidAsk,\
version = shioaji.constant.QuoteVersion.v1,\
intraday_odd=True
)
#處理ticks即時資料更新的部分
from shioaji import BidAskSTKv1, Exchange,TickSTKv1
@api.on_tick_stk_v1()
def STKtick_callback(exchange: Exchange, tick:TickSTKv1):
code=tick['code']
mutexDict[code].acquire()
stockPrice[code]=float(tick['close'])
mutexDict[code].release()
api.quote.set_on_tick_stk_v1_callback(STKtick_callback)
#處理bidask即時資料更新的部分
@api.on_bidask_stk_v1()
def STK_BidAsk_callback(exchange: Exchange, bidask:BidAskSTKv1):
code=bidask['code']
mutexBidAskDict[code].acquire()
bidlist=[float(i) for i in bidask['bid_price']]
asklist=[float(i) for i in bidask['ask_price']]
stockBid[code]=bidlist[0]
stockAsk[code]=asklist[0]
'''
logging.debug('bidlist[0]:'+str(bidlist[0]))
logging.debug('bidlist[1]:'+str(bidlist[1]))
logging.debug('bidlist[2]:'+str(bidlist[2]))
logging.debug('bidlist[3]:'+str(bidlist[3]))
logging.debug('bidlist[4]:'+str(bidlist[4]))
logging.debug('asklist[0]:'+str(asklist[0]))
logging.debug('asklist[1]:'+str(asklist[1]))
logging.debug('asklist[2]:'+str(asklist[2]))
logging.debug('asklist[3]:'+str(asklist[3]))
logging.debug('asklist[4]:'+str(asklist[4]))
'''
mutexBidAskDict[code].release()
api.quote.set_on_bidask_stk_v1_callback(STK_BidAsk_callback)
@api.quote.on_event
def event_callback(resp_code: int, event_code: int, info: str, event: str):
s=str(datetime.datetime.now())
s=s+f'Event code: {event_code} | Event: {event}'
logging.debug(s)
#print(f'Event code: {event_code} | Event: {event}')
api.quote.set_event_callback(event_callback)
#用來更新買賣訊號和下單的迴圈
while(1):
current_time = time.time()
cooldown=60
#sleep to n seconds
til_second=20
time_to_sleep = til_second + cooldown - (current_time % cooldown)
time.sleep(time_to_sleep)
now = datetime.datetime.now()
hour=now.hour
minute=now.minute
second=now.second
#modify/send order
#1.every 3 minutes
#2.between 15 second to 45 second
if(minute%3!=0):
continue
if(hour==13 and minute>20):
try:
bot1.cancelOrders()
except Exception as e:
logging.error('jobs_per1min Error Message A: '+ str(e))
continue
if(hour>=14 and hour<=15):
settlement_trades=update_trades(api,g_list_of_trades)
print('End of day settlement_trades:'+str(settlement_trades))
print('End of day g_settlement:'+str(g_settlement))
bot1.money=initmoney+g_settlement
g_list_of_trades=[]
g_settlement=0
pickle_dump( bot_filename,bot1.money)
break
if(not ENABLE_PREMARKET):
if(hour<9 or (hour>13)):
continue
#處理成交價不在買賣價中間的狀況
mutexDict[g_upperid].acquire()
mutexDict[g_lowerid].acquire()
mutexBidAskDict[g_upperid].acquire()
mutexBidAskDict[g_lowerid].acquire()
if(stockPrice[g_upperid]>stockAsk[g_upperid] or stockPrice[g_upperid]<stockBid[g_upperid]):
stockPrice[g_upperid]=(stockAsk[g_upperid]+stockBid[g_upperid])/2
if(stockPrice[g_lowerid]>stockAsk[g_lowerid] or stockPrice[g_lowerid]<stockBid[g_lowerid]):
stockPrice[g_lowerid]=(stockAsk[g_lowerid]+stockBid[g_lowerid])/2
bot1.stockPrice[g_upperid]=stockPrice[g_upperid]
bot1.stockPrice[g_lowerid]=stockPrice[g_lowerid]
bot1.stockBid[g_upperid]=stockBid[g_upperid]
bot1.stockBid[g_lowerid]=stockBid[g_lowerid]
bot1.stockAsk[g_upperid]=stockAsk[g_upperid]
bot1.stockAsk[g_lowerid]=stockAsk[g_lowerid]
mutexDict[g_lowerid].release()
mutexDict[g_upperid].release()
mutexBidAskDict[g_lowerid].release()
mutexBidAskDict[g_upperid].release()
logging.debug('bot1.stockPrice[g_upperid]:'+str(bot1.stockPrice[g_upperid]))
logging.debug('bot1.stockPrice[g_lowerid]:'+str(bot1.stockPrice[g_lowerid]))
logging.debug('bot1.stockBid[g_upperid]:'+str(bot1.stockBid[g_upperid]))
logging.debug('bot1.stockBid[g_lowerid]:'+str(bot1.stockBid[g_lowerid]))
logging.debug('bot1.stockAsk[g_upperid]:'+str(bot1.stockAsk[g_upperid]))
logging.debug('bot1.stockAsk[g_lowerid]:'+str(bot1.stockAsk[g_lowerid]))
bid=bot1.stockBid[g_upperid]
ask=bot1.stockAsk[g_upperid]
if(abs(ask-bid)>0.05*(ask+bid)/2):
continue
bid=bot1.stockBid[g_lowerid]
ask=bot1.stockAsk[g_lowerid]
if(abs(ask-bid)>0.05*(ask+bid)/2):
continue
#更新買賣單
bot1.updateOrder()
GridbotBody()
import datetime
import time
while(1):
#check reboot once per 30 minutes
current_time = time.time()
cooldown=60*30
time_to_sleep = cooldown - (current_time % cooldown)
time.sleep(time_to_sleep)
#check weekday and hour
now = datetime.datetime.now()
hour=now.hour
weekday= now.weekday()
print('hour:',hour)
if(hour==REBOOT_HOUR):
print('reboot bot')
api.logout()
api=ShioajiLogin.shioajiLogin(simulation=False)
GridbotBody()
if(END_WEEKDAY==weekday and TERMINATE_IN_WEEKEND):
break