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代码更新
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@zlq4863947
zlq4863947 committed Nov 6, 2017
1 parent 1cddeae commit ffc0db3
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Showing 7 changed files with 101 additions and 73 deletions.
10 changes: 5 additions & 5 deletions config/development.json
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Original file line number Diff line number Diff line change
Expand Up @@ -6,7 +6,7 @@
"username": "root",
"timezone": "+09:00",
"operatorsAliases": false,
"logging": true
"logging": false
},
"account": {
"id": "xxx",
Expand All @@ -22,16 +22,16 @@
"strategies": {
"sniper": {
"sell_k": 85,
"buy_k": 15
"buy_k": 20
}
},
"backtest": {
"test": true,
"test": false,
"isLastDate": false,
"date": "2017-11-01",
"interval": 1
"interval": 3000
},
"ea": {
"interval": 60
"interval": 30000
}
}
6 changes: 3 additions & 3 deletions config/test.json
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Original file line number Diff line number Diff line change
Expand Up @@ -22,16 +22,16 @@
"strategies": {
"sniper": {
"sell_k": 85,
"buy_k": 15
"buy_k": 20
}
},
"backtest": {
"test": true,
"isLastDate": false,
"date": "2017-11-01",
"interval": 1
"interval": 60000
},
"ea": {
"interval": 60
"interval": 60000
}
}
10 changes: 5 additions & 5 deletions package-lock.json
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4 changes: 2 additions & 2 deletions package.json
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Original file line number Diff line number Diff line change
@@ -1,6 +1,6 @@
{
"name": "ns-expert-advisor",
"version": "0.0.1",
"version": "0.0.2",
"description": "node-stock expert advisor app",
"repository": {
"type": "git",
Expand All @@ -24,7 +24,7 @@
"mysql2": "^1.4.2",
"ns-common": "0.0.11",
"ns-findata": "0.0.20",
"ns-manager": "0.0.18",
"ns-manager": "0.0.24",
"ns-store": "0.0.27",
"ns-strategies": "0.0.5",
"ns-trader": "0.0.8",
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3 changes: 2 additions & 1 deletion src/index.ts
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Original file line number Diff line number Diff line change
Expand Up @@ -12,8 +12,9 @@ if (Util.isTradeTime()) {
expertAdvisor.start();
}
Log.system.info('注册定时EA服务程序[开始]');
const eaTask = new Scheduler('0 9 * * *'); // */3 * * * * *
const eaTask = new Scheduler('0 9 * * *'); // */3 * * * * * // 0 9 * * *
eaTask.invok((ea: ExpertAdvisor) => {
// eaTask.reminder.cancel()
if (!Util.isTradeDate(new Date())) {
Log.system.info('当前非交易日，不启动EA程序');
return;
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4 changes: 2 additions & 2 deletions src/lib/expert-advisor.test.ts
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Original file line number Diff line number Diff line change
Expand Up @@ -26,8 +26,8 @@ const testGet5minData = async (done: () => void) => {
}

const testOnPretrade = async (done: () => void) => {
const hisData: types.Bar[] = await expertAdvisor._getTest5minData('6553');
await expertAdvisor.updBalance()
const hisData: types.Bar[] = await expertAdvisor._getTest5minData('6664');
await expertAdvisor.updAsset()
for (let i = 0; i < hisData.length; i++) {
await expertAdvisor.onPretrade();
}
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137 changes: 82 additions & 55 deletions src/lib/expert-advisor.ts
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Original file line number Diff line number Diff line change
Expand Up @@ -11,7 +11,7 @@ const Loki = require('lokijs');

export class ExpertAdvisor {
symbol: string;
account: { id: string, balance: number };
account: types.Model.Account;
backtest: {
test: boolean,
isLastDate: string,
Expand Down Expand Up @@ -41,7 +41,7 @@ export class ExpertAdvisor {
this.interval = this.backtest.test ? this.backtest.interval : config.ea.interval;
this.manager = new Manager();
this.trader = new Trader(config);
this.account = { id: config.account.userId, balance: 0 };
this.account = { id: config.account.userId };
this.dataProvider = new DataProvider(config.store);
}

Expand All @@ -53,18 +53,21 @@ export class ExpertAdvisor {

async start() {
await this.dataProvider.init()
// 更新余额
await this.updBalance();
// 更新资产
await this.updAsset();
if (this.account.balance === 0) {
Log.system.warn(`账户：${this.account.id},可用余额：0,不执行EA程序！`);
return;
}
setInterval(this.onPretrade, this.interval);
setInterval(this.onPretrade.bind(this), this.interval);
await this.trader.init();
}

async updBalance() {
this.account.balance = await this.manager.asset.getBalance(this.account.id);
async updAsset() {
const res = await this.manager.asset.get(this.account.id);
if (res) {
this.account = res;
}
}

async _getTest5minData(symbol: string): Promise<types.Bar[]> {
Expand All @@ -88,22 +91,32 @@ export class ExpertAdvisor {
}

async getTest5minData(symbol: string): Promise<types.Bar[]> {
const hisData: types.Bar[] = await this._getTest5minData(symbol);
if (hisData.length === 0) {
throw new Error('回测环境未获取5分钟线数据！');
}
const loki = this.backtest.loki;
let coll = loki.getCollection(symbol);
if (!coll) {
coll = loki.addCollection(symbol);
const inCollName = 'i_' + symbol;

let inColl = loki.getCollection(inCollName);
let hisData: types.Bar[] = [];
// 股票输入表为空时，通过接口获取数据
if (!inColl) {
hisData = await this._getTest5minData(symbol);
if (hisData.length === 0) {
throw new Error('回测环境未获取5分钟线数据！');
}
inColl = loki.addCollection(inCollName);
inColl.insert(JSON.parse(JSON.stringify(hisData)));
} else {
hisData = inColl.chain().find().data({ removeMeta: true });
}
// 取出数据导入输出表
let outColl = loki.getCollection(symbol);
if (!outColl) {
outColl = loki.addCollection(symbol);
// 插入第一条数据
// TODO coll.insert(hisData[0]);
coll.insert(hisData.slice(0, 15));
outColl.insert(hisData[0]);
} else {
// 插入下一条数据
coll.insert(hisData[coll.find().length]);
outColl.insert(hisData[outColl.find().length]);
}
return <types.Bar[]>coll.chain().find().data({ removeMeta: true });
return <types.Bar[]>outColl.chain().find().data({ removeMeta: true });
}

async get5minData(symbol: string): Promise<types.Bar[]> {
Expand Down Expand Up @@ -167,6 +180,7 @@ export class ExpertAdvisor {
Log.system.info('处理信号[启动]');
const price: number = numeral(hisData[hisData.length - 1].close).value();
const time = moment.unix((<number>hisData[hisData.length - 1].time) / 1000).format('YYYY-MM-DD HH:mm:ss');
Log.system.info(`symbol：${symbol}, price：${price}, time：${time}`);
// 买入信号
if (singal.side === types.OrderSide.Buy) {
Log.system.info('买入信号');
Expand All @@ -187,8 +201,8 @@ export class ExpertAdvisor {
await this.manager.trader.set(this.account, order);
// 消除信号
await this.manager.signal.remove(singal.id);
// 更新余额
await this.updBalance();
// 更新资产
await this.updAsset();
} else if (singal.price > price) { // 股价继续下跌
Log.system.info('更新买入信号股价', price);
singal.price = price;
Expand All @@ -201,25 +215,25 @@ export class ExpertAdvisor {
}
} else if (singal.side === types.OrderSide.Sell) {
Log.system.info('卖出信号');
const posiInput: { [Attr: string]: any } = {
symbol: symbol,
account_id: this.account.id,
side: types.OrderSide.Buy
};
if (this.backtest.test) {
posiInput.backtest = '1';
posiInput.mocktime = time;
// 查询是否有持仓
let position: types.Model.Position | undefined;
if (this.account.positions) {
position = this.account.positions.find((posi) => {
return posi.symbol === String(symbol) && posi.side === types.OrderSide.Buy;
})
}

// 获取持仓
const position = await this.manager.position.get(<types.Model.Position>posiInput);
if (!position || !position.price) {
throw new Error(`持仓:${JSON.stringify(position)},卖出信号出错`);
if (!position) {
Log.system.warn('未查询到持仓，不进行卖出！');
return;
}
Log.system.info(`获取持仓:${JSON.stringify(position)}`);
Log.system.info(`信号股价(${singal.price}) > 当前股价(${price}) && 盈利超过1000(${price} - ${position.price} > 10)`);
// 信号出现时股价 > 当前股价(股价下跌) && 并且盈利超过1000
if (singal.price > price && price - position.price > 10) {
if (!position.price) {
Log.system.error('持仓股价为空！');
return;
}
Log.system.info(`信号股价(${singal.price}) > 当前股价(${price}) && 盈利超过700(${price} - ${position.price} > 7)`);
// 信号出现时股价 > 当前股价(股价下跌) && 并且盈利超过700
if (singal.price > price && price - position.price > 7) {
Log.system.info('卖出信号出现后,股价下跌,立即卖出', price);
const order = <types.LimitOrder>Object.assign({}, this.trader.order, {
side: types.OrderSide.Sell,
Expand All @@ -235,8 +249,17 @@ export class ExpertAdvisor {
await this.manager.trader.set(this.account, order);
// 消除信号
await this.manager.signal.remove(singal.id);
// 更新余额
await this.updBalance();
// 更新资产
await this.updAsset();
} else if (singal.price < price) { // 股价继续上涨
Log.system.info('更新卖出信号股价', price);
singal.price = price;
if (this.backtest.test) {
singal.backtest = '1';
singal.mocktime = time;
}
// 记录当前股价
await this.manager.signal.set(<types.Model.Signal>singal);
}
}
Log.system.info('处理信号[终了]');
Expand All @@ -245,30 +268,34 @@ export class ExpertAdvisor {
// 拉取信号
async pullSingal(symbol: string, hisData: types.Bar[]) {
Log.system.info('拉取信号[启动]');
// 订单价格
const orderPrice = numeral(hisData[hisData.length - 1].close).value() * 100 + 500;
Log.system.info(`订单价格:${JSON.stringify(orderPrice)}`);
if (this.account.balance < orderPrice) {
const balance = numeral(this.account.balance).format('0,0');
Log.system.warn(`可用余额：${balance} < 订单价格(${symbol})：${numeral(orderPrice).format('0,0')}，不拉取信号！`);
return;
}

// 没有信号时，执行策略取得信号
const singal: SniperSingal | null = SniperStrategy.execute(symbol, hisData);
// 获得买卖信号
if (singal && singal.side) {
Log.system.info(`获得买卖信号：${JSON.stringify(singal)}`);
if (singal.side === types.OrderSide.Sell) {
// 查询是否有持仓
const position = await this.manager.position.get({
symbol, account_id: this.account.id,
side: types.OrderSide.Buy
});
if (!position) {
Log.system.warn('未查询到持仓，不保存卖出信号！');
if (singal.side === types.OrderSide.Buy) {
// 订单价格
const orderPrice = numeral(hisData[hisData.length - 1].close).value() * 100 + 500;
Log.system.info(`订单价格:${JSON.stringify(orderPrice)}`);
if (<number>this.account.balance < orderPrice) {
const balance = numeral(this.account.balance).format('0,0');
Log.system.warn(`可用余额：${balance} < 订单价格(${symbol})：${numeral(orderPrice).format('0,0')}，不拉取信号！`);
return;
}
} else if (singal.side === types.OrderSide.Sell) {

// 查询是否有持仓
if (this.account.positions) {
const position = this.account.positions.find((posi) => {
return posi.symbol === String(symbol) && posi.side === types.OrderSide.Buy;
});

if (!position) {
Log.system.warn('未查询到持仓，不保存卖出信号！');
return;
}
}
}
const price = hisData[hisData.length - 1].close;
const modelSingal = <types.Model.Signal>Object.assign({
Expand Down

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