量化交易之HFT篇 - 高频做市模型源码（.cpp文件）

"""
事先声明, 模型源码仅作参考和交流使用, 不能直接用于实盘
"""

#include "WtHftStraDemo.h"
//#include "../Includes/IHftStraCtx.h"
#include "../WtCore/HftStraBaseCtx.h"#include "../Includes/WTSVariant.hpp"
#include "../Includes/WTSDataDef.hpp"
#include "../Includes/WTSContractInfo.hpp"#include "../Share/TimeUtils.hpp"
#include "../Share/decimal.h"extern const char* FACT_NAME;/// alpha params
#define OPEN_CLOSE_POSITION_OFFSET_TICKS 2
#define UNIT 1
#define MIDPRICE_OFFSET_TICKS 1
#define ALPHA_TICK_COUNTS 600WtHftStraDemo::WtHftStraDemo(const char* id): HftStrategy(id), _last_tick(nullptr), _last_scan_time(0), _channel_ready(false), _re_connect_ready(false), _last_mid_price(-1), _current_session_status(DEFAULT_STATUS), _code_buy_lock(false), _code_sell_lock(false), _code_short_lock(false), _code_cover_lock(false), _re_marketMaking(true), _ticks_uptr(make_unique<Ticks>())
{this->_commoditiesDocument = this->__tqz_loadJsonDocument("commodities.json");this->_sessionsDocument = this->__tqz_loadJsonDocument("sessions.json");
}WtHftStraDemo::~WtHftStraDemo() {if (_last_tick)_last_tick->release();this->_ticks_uptr.reset();this->__tqz_cancelAllOrders();
}const char* WtHftStraDemo::getName() {return "HftDemoStrategy";
}const char* WtHftStraDemo::getFactName() {return FACT_NAME;
}bool WtHftStraDemo::init(WTSVariant* cfg) {this->_code = cfg->getCString("code");this->_marketMaking_scan_interval = cfg->getUInt32("market_making_scan_interval");this->_long_order_offset = cfg->getUInt32("long_order_offset");this->_short_order_offset = cfg->getUInt32("short_order_offset");this->_offset_open_minutes = cfg->getUInt32("offset_open_minutes");this->_offset_close_minutes = cfg->getUInt32("offset_close_minutes");this->_record_hft_log = cfg->getBoolean("record_hft_log");this->_cancel_limit_counts = cfg->getUInt32("cancel_limit_counts");return true;
}void WtHftStraDemo::on_init(HftStraBaseCtx* ctx) {ctx->stra_sub_ticks(_code.c_str());this->_ctx = ctx;
}void WtHftStraDemo::on_tick(HftStraBaseCtx* ctx, const char* code, WTSTickData* newTick) {if (0 != this->_code.compare(code))return;if (!this->__isTradingTime(code))return;if (!this->_channel_ready)return;if (!this->_re_connect_ready) {if (!this->__isNewScanInterval(this->_marketMaking_scan_interval))return;/// query re_connect_ready & do reconnect.this->_re_connect_ready = this->__tqz_queryReconnectResult();if (!this->_re_connect_ready)this->tqz_doReconnect();return;}if (!this->updateTicks(*newTick))return;if (this->__isClosePositionsTime(code)) {if (this->_current_session_status != CLOSE_POSTIONS_STATUS)this->__initSessionStatus(CLOSE_POSTIONS_STATUS);if (!this->__isNewScanInterval(this->_marketMaking_scan_interval))return;if (this->__marketMakingIsLock(true))return;if (this->__closeCodeIsLock(true))return;this->tqz_closePositions(this->_code, OPEN_CLOSE_POSITION_OFFSET_TICKS);} else {if (this->_current_session_status != MARKET_MAKING_STATUS)this->__initSessionStatus(MARKET_MAKING_STATUS);if (this->__closeCodeIsLock(true))return;/// scan only new time slice.if (!this->__isNewScanInterval(this->_marketMaking_scan_interval))return;if (!this->__midPriceIsChange(MIDPRICE_OFFSET_TICKS))return;/// do market making with time slice.if (this->_re_marketMaking) {this->tqz_marketMaking(this->getLongOffsetValue(), this->getShortOffsetValue());this->_re_marketMaking = !this->_re_marketMaking;} else {this->__marketMakingIsLock(true);}}
}int32_t WtHftStraDemo::totalAlphasValue(TicksUPtr& ticksUPtr) {int32_t maAlphaValue = MaAlpha::alphaValue(ticksUPtr, 20);/*int32_t macdAlphaValue = MacdAlpha::alphaValue(ticksUPtr, 9, 12, 26);int32_t diffAlphaValue = DiffAlpha::alphaValue(ticksUPtr, 20);int32_t lastTradedQuantityAlphaValue = LastTradedQuantityAlpha::alphaValue(ticksUPtr, 20);int32_t bookAlphaValue = BookAlpha::alphaValue(ticksUPtr, 20);*//*/// output all values to terminal for test...std::cout << "-------------------------------------------" << std::endl;//std::cout << "maAlphaValue: " << maAlphaValue << std::endl;std::cout << "macdAlphaValue: " << macdAlphaValue << std::endl;//std::cout << "diffAlphaValue: " << diffAlphaValue << std::endl;std::cout << "lastTradedQuantityAlphaValue: " << lastTradedQuantityAlphaValue << std::endl;//std::cout << "bookAlphaValue: " << bookAlphaValue << std::endl;std::cout << "-------------------------------------------" << std::endl;*///return (maAlphaValue + macdAlphaValue + diffAlphaValue + lastTradedQuantityAlphaValue + bookAlphaValue);return maAlphaValue;
}uint32_t WtHftStraDemo::getLongOffsetValue() {int32_t totalAlphasValue = this->totalAlphasValue(this->_ticks_uptr);return (totalAlphasValue < 0) ? this->_long_order_offset : (this->_long_order_offset + totalAlphasValue);
}uint32_t WtHftStraDemo::getShortOffsetValue() {int32_t totalAlphasValue = this->totalAlphasValue(this->_ticks_uptr);return (totalAlphasValue < 0) ? this->_short_order_offset : (this->_short_order_offset + totalAlphasValue);
}bool WtHftStraDemo::updateTicks(WTSTickData tickData) {if (this->_ticks_uptr->size() == ALPHA_TICK_COUNTS)this->_ticks_uptr->erase(this->_ticks_uptr->begin());this->_ticks_uptr->push_back(tickData);return (this->_ticks_uptr->size() == ALPHA_TICK_COUNTS);
}void WtHftStraDemo::on_trade(HftStraBaseCtx* ctx, uint32_t localid, const char* stdCode, bool isBuy, double qty, double price, const char* userTag) {if (this->__isBelongToHft(localid)) { // localid is codethis->__tqz_receiveCodeOnlyCloseCode(localid, this->_code, qty);} else {/// this->_ctx->stra_log_text("[WtHftStraDemo::on_trade], localid(%d) is not belong to hft strategy(%s)", localid, stdCode);}this->__tqz_writeStrategyTradeLog(localid, price, qty);
}void WtHftStraDemo::on_order(HftStraBaseCtx* ctx, uint32_t localid, const char* stdCode, bool isBuy, double totalQty, double leftQty, double price, bool isCanceled, const char* userTag) { // 下单成功后调用if (0 != this->_code.compare(stdCode))return;if (!isCanceled) // order is not cancel.return;TQZOrderType orderType = this->__tqz_getOrderType(localid); // get order type first.if (this->__isBelongToHft(localid)) { // localid is inside.switch (orderType) {case BUY_TYPE: {this->__unlockBuy();this->tqz_marketMaking(this->getLongOffsetValue(), this->getShortOffsetValue());break;}case SELL_TYPE: {std::string orderComment(this->_re_connect_ready ? "code_sellOrder_reSend" : "code_sellOrder_reConnect_reSend");if (this->_code_sell_lock) // re send code sell order.this->tqz_sell(this->_code, UNIT, OPEN_CLOSE_POSITION_OFFSET_TICKS, orderComment.c_str());break;}case SHORT_TYPE: {this->__unlockShort();this->tqz_marketMaking(this->getLongOffsetValue(), this->getShortOffsetValue());break;}case COVER_TYPE: {std::string orderComment(this->_re_connect_ready ? "code_coverOrder_reSend" : "code_coverOrder_reConnect_reSend");if (this->_code_cover_lock) // re send code cover order.this->tqz_cover(this->_code, UNIT, OPEN_CLOSE_POSITION_OFFSET_TICKS, orderComment.c_str());break;}default:break;}} else {this->_ctx->stra_log_text("[WtHftStraDemo::on_order] localid is not code, stdCode: %s, localid: %d", stdCode, localid);}}void WtHftStraDemo::on_channel_ready(HftStraBaseCtx* ctx) {std::cout << "HFT_strategy code: " << this->_code << "\n\n" << std::endl;this->_tradeChange_log_filename = this->__tqz_getLogFileName(TRADE_CHANGE_TYPE);this->_channel_ready = true;this->__initSessionStatus(RE_CONNECT_STATUS);
}void WtHftStraDemo::on_entrust(uint32_t localid, bool bSuccess, const char* message, const char* userTag) {this->_ctx->stra_log_text("WtHftStraDemo::on_entrust  bSuccess: %d, message: %s\n\n", bSuccess, message);TQZOrderType orderType = this->__tqz_getOrderType(localid);switch (orderType) {case BUY_TYPE:this->__unlockBuy();break;case SELL_TYPE:this->__unlockSell();break;case SHORT_TYPE:this->__unlockShort();break;case COVER_TYPE:this->__unlockCover();break;default:break;}
}void WtHftStraDemo::on_channel_lost(HftStraBaseCtx* ctx) {this->_channel_ready = false;
}void WtHftStraDemo::on_bar(HftStraBaseCtx* ctx, const char* code, const char* period, uint32_t times, WTSBarStruct* newBar) {}void WtHftStraDemo::on_position(HftStraBaseCtx* ctx, const char* stdCode, bool isLong, double prevol, double preavail, double newvol, double newavail) {}void WtHftStraDemo::tqz_buy(const std::string code, const double lots, const int offsetTicks, const std::string orderComment) {if (!this->__isEntrustable(code))return;this->__lockBuy();// send buy order & update local var.double buyOrderPrice = this->__tqz_getLongPrice(code, offsetTicks);uint32_t buyOrderLocalid = this->_ctx->stra_enter_long(code.c_str(), buyOrderPrice, lots, orderComment.c_str());std::string currentMarketTimeString = this->__tqz_getCurrentMarketTime();std::string sendOrderTimeString = this->__tqz_getCurrentTime();this->_code_buy_order = buyOrderLocalid;this->_code_buy_orders.insert(buyOrderLocalid);if (this->_record_hft_log) // recode log or not.this->_log_message_map[buyOrderLocalid] = this->__tqz_getNewLogMessage(code,buyOrderLocalid,this->_ctx->stra_get_price(code.c_str()),buyOrderPrice,"buy_order",currentMarketTimeString,sendOrderTimeString,orderComment);
}void WtHftStraDemo::tqz_sell(const std::string code, const double lots, const int offsetTicks, const std::string orderComment) {if (!this->__isEntrustable(code))return;this->__lockSell();// send sell order & update local var.double sellOrderPrice = this->__tqz_getShortPrice(code, offsetTicks);uint32_t sellOrderLocalid = this->_ctx->stra_exit_long(code.c_str(), sellOrderPrice, lots, orderComment.c_str(), true);std::string currentMarketTimeString = this->__tqz_getCurrentMarketTime();std::string sendOrderTimeString = this->__tqz_getCurrentTime();this->_code_sell_order = sellOrderLocalid;this->_code_sell_orders.insert(sellOrderLocalid);if (this->_record_hft_log) // recode log or not.this->_log_message_map[sellOrderLocalid] = this->__tqz_getNewLogMessage(code,sellOrderLocalid,this->_ctx->stra_get_price(code.c_str()),sellOrderPrice,"sell_order",currentMarketTimeString,sendOrderTimeString,orderComment);
}void WtHftStraDemo::tqz_short(const std::string code, const double lots, const int offsetTicks, const std::string orderComment) {if (!this->__isEntrustable(code))return;this->__lockShort();double shortOrderPrice = this->__tqz_getShortPrice(code, offsetTicks);uint32_t shortOrderLocalid = this->_ctx->stra_enter_short(code.c_str(), shortOrderPrice, lots, orderComment.c_str());std::string currentMarketTimeString = this->__tqz_getCurrentMarketTime();std::string sendOrderTimeString = this->__tqz_getCurrentTime();this->_code_short_order = shortOrderLocalid;this->_code_short_orders.insert(shortOrderLocalid);if (this->_record_hft_log) // recode log or not.this->_log_message_map[shortOrderLocalid] = this->__tqz_getNewLogMessage(code,shortOrderLocalid,this->_ctx->stra_get_price(code.c_str()),shortOrderPrice,"short_order",currentMarketTimeString,sendOrderTimeString,orderComment);
}void WtHftStraDemo::tqz_cover(const std::string code, const double lots, const int offsetTicks, const std::string orderComment) {if (!this->__isEntrustable(code))return;this->__lockCover();// send cover order & update local var.double coverOrderPrice = this->__tqz_getLongPrice(code, offsetTicks);uint32_t coverOrderLocalid = this->_ctx->stra_exit_short(code.c_str(), coverOrderPrice, lots, orderComment.c_str(), true);std::string currentMarketTimeString = this->__tqz_getCurrentMarketTime();std::string sendOrderTimeString = this->__tqz_getCurrentTime();this->_code_cover_order = coverOrderLocalid;this->_code_cover_orders.insert(coverOrderLocalid);if (this->_record_hft_log) // recode log or not.this->_log_message_map[coverOrderLocalid] = this->__tqz_getNewLogMessage(code,coverOrderLocalid,this->_ctx->stra_get_price(code.c_str()),coverOrderPrice,"cover_order",currentMarketTimeString,sendOrderTimeString,orderComment);
}void WtHftStraDemo::tqz_marketMaking(const int codeLongOffsetTicks, const int codeShortOffsetTicks) {if (!this->__isMarketMakingAble())return;this->__lockBuy(); // lock market_making.this->__lockShort();std::string buyOrderComment("code_buyOrder_marketMaking");std::string shortOrderComment("code_shortOrder_marketMaking");double currentMidPrice = this->_last_mid_price; // make sure mid price of market making is same.double buyOrderPrice = this->__tqz_getMarketMakingLongPrice(this->_code.c_str(), currentMidPrice, codeLongOffsetTicks);double shortOrderPrice = this->__tqz_getMarketMakingShortPrice(this->_code.c_str(), currentMidPrice, codeShortOffsetTicks);uint32_t buyOrderLocalid = this->_ctx->stra_enter_long(this->_code.c_str(), buyOrderPrice, UNIT, buyOrderComment.c_str());uint32_t shortOrderLocalid = this->_ctx->stra_enter_short(this->_code.c_str(), shortOrderPrice, UNIT, shortOrderComment.c_str());std::string currentMarketTimeString = this->__tqz_getCurrentMarketTime();std::string sendOrderTimeString = this->__tqz_getCurrentTime();this->_code_buy_order = buyOrderLocalid;this->_code_buy_orders.insert(buyOrderLocalid);this->_code_short_order = shortOrderLocalid;this->_code_short_orders.insert(shortOrderLocalid);if (!this->_record_hft_log)return;double currentPrice = this->_ctx->stra_get_price(this->_code.c_str()); // current market price.this->_log_message_map[buyOrderLocalid] = this->__tqz_getNewLogMessage(this->_code, buyOrderLocalid, currentPrice, buyOrderPrice, "buy_order", currentMarketTimeString, sendOrderTimeString, buyOrderComment);this->_log_message_map[shortOrderLocalid] = this->__tqz_getNewLogMessage(this->_code, shortOrderLocalid, currentPrice, shortOrderPrice, "short_order", currentMarketTimeString, sendOrderTimeString, shortOrderComment);
}void WtHftStraDemo::tqz_closePositions(const std::string code, const uint32_t closePositionsOffsetTicks) {if (this->_ctx->tqz_getLongPosition(code.c_str()) > 0) { /// close long positions.this->tqz_sell(code, UNIT, closePositionsOffsetTicks, "code_sellOrder_closePositions");} else if (this->_ctx->tqz_getShortPosition(code.c_str()) > 0) { /// close short positions.this->tqz_cover(code, UNIT, closePositionsOffsetTicks, "code_coverOrder_closePositions");}
}void WtHftStraDemo::tqz_doReconnect() {if (this->__closeCodeIsLock(true))return;double currentCodeLongLots = this->_ctx->tqz_getLongPosition(this->_code.c_str());double currentCodeShortLots = this->_ctx->tqz_getShortPosition(this->_code.c_str());if (currentCodeLongLots > 0 && currentCodeLongLots >= currentCodeShortLots) { /// have long position & long lots big.this->tqz_sell(this->_code, UNIT, OPEN_CLOSE_POSITION_OFFSET_TICKS, "code_sellOrder_reConnect");} else if (currentCodeShortLots > 0 && currentCodeLongLots < currentCodeShortLots) { /// have short position & short lots big.this->tqz_cover(this->_code, UNIT, OPEN_CLOSE_POSITION_OFFSET_TICKS, "code_coverOrder_reConnect");}
}bool WtHftStraDemo::__isEntrustable(std::string code) {if (this->__isBeyondUpperlimitOrLowerlimit(code, OPEN_CLOSE_POSITION_OFFSET_TICKS, OPEN_CLOSE_POSITION_OFFSET_TICKS)) /// because cancel limit is 100.return false;if (this->_ctx->tqz_getCancelCounts(code.c_str()) > (this->_cancel_limit_counts + 10)) {this->_ctx->stra_log_text("[WtHftStraDemo::__isEntrustable], out of cancel limit counts when entrust, code: %s, 如果这条log被记录了, 说明策略执行逻辑被强行干扰了", code.c_str());return false;}return true;
}void WtHftStraDemo::__initSessionStatus(TQZSessionStatus sessionStatus) {this->_current_session_status = sessionStatus;switch (sessionStatus) {case CLOSE_POSTIONS_STATUS: {break;}case MARKET_MAKING_STATUS: { // position and order is empty in theory.this->__unlockAllOrders();this->__tqz_clearPreviousSessionCache();this->_re_marketMaking = true;break;}case RE_CONNECT_STATUS: {this->__tqz_writeCancelOrderCountsLog(this->_code);this->_re_connect_ready = this->__tqz_queryReconnectResult();}default:break;}
}bool WtHftStraDemo::__tqz_queryReconnectResult() {double codeLongLots = this->_ctx->tqz_getLongPosition(this->_code.c_str());double codeShortLots = this->_ctx->tqz_getShortPosition(this->_code.c_str());return (codeLongLots < 0.00001 && codeShortLots < 0.00001); // hold positions is empty.
}void WtHftStraDemo::__tqz_clearPreviousSessionCache() {// 缓存清理无效, 成员变量换成指针类型; (每小节初始化时清理一次)this->_code_buy_orders.erase(this->_code_buy_orders.begin(), this->_code_buy_orders.end());this->_code_sell_orders.erase(this->_code_sell_orders.begin(), this->_code_sell_orders.end());this->_code_short_orders.erase(this->_code_short_orders.begin(), this->_code_short_orders.end());this->_code_cover_orders.erase(this->_code_cover_orders.begin(), this->_code_cover_orders.end());this->_log_message_map.clear();
}void WtHftStraDemo::__tqz_cancelOrder(const std::string code, const uint32_t orderId) {if (this->_ctx->tqz_getCancelCounts(code.c_str()) > (this->_cancel_limit_counts + 15)) {this->_ctx->stra_log_text("[WtHftStraDemo::__tqz_cancelOrder] out of cancel limit counts when cancel order, code: %s, orderId: %d, 如果这条log被记录了, 说明策略执行逻辑被强行干扰了", code.c_str(), orderId);return;}this->_ctx->stra_cancel(orderId);
}void WtHftStraDemo::__tqz_cancelOrders(const std::string code, const IDSet orderIds) {for (auto& localid : orderIds)this->__tqz_cancelOrder(code, localid);
}void WtHftStraDemo::__tqz_cancelAllOrders() {this->__tqz_cancelOrders(this->_code, this->_code_buy_orders);this->__tqz_cancelOrders(this->_code, this->_code_sell_orders);this->__tqz_cancelOrders(this->_code, this->_code_short_orders);this->__tqz_cancelOrders(this->_code, this->_code_cover_orders);
}TQZOrderType WtHftStraDemo::__tqz_getOrderType(const uint32_t orderId) {TQZOrderType orderType = DEFAULT_ORDER_TYPE;if (this->_code_buy_orders.find(orderId) != std::end(this->_code_buy_orders)) {orderType = BUY_TYPE;} else if (this->_code_sell_orders.find(orderId) != std::end(this->_code_sell_orders)) {orderType = SELL_TYPE;} else if (this->_code_short_orders.find(orderId) != std::end(this->_code_short_orders)) {orderType = SHORT_TYPE;} else if (this->_code_cover_orders.find(orderId) != std::end(this->_code_cover_orders)) {orderType = COVER_TYPE;} else {orderType = NO_TYPE;}return orderType;
}double WtHftStraDemo::__tqz_getAskPrice(const std::string code) {return this->_ctx->stra_get_last_tick(code.c_str())->askprice(0);
}double WtHftStraDemo::__tqz_getBidPrice(const std::string code) {return this->_ctx->stra_get_last_tick(code.c_str())->bidprice(0);
}double WtHftStraDemo::__tqz_getCurrentMidPrice(const std::string code) {return (this->__tqz_getAskPrice(code) + this->__tqz_getBidPrice(code)) * 0.5;
}bool WtHftStraDemo::__midPriceIsChange(int offsetTicks) {double currentMidPrice = this->__tqz_getCurrentMidPrice(this->_code);double minPriceTick = this->_ctx->stra_get_comminfo(this->_code.c_str())->getPriceTick();double midPriceOffset = abs(currentMidPrice - this->_last_mid_price);bool midPriceIsChange = (midPriceOffset >= (minPriceTick * offsetTicks));if (midPriceIsChange)this->_last_mid_price = currentMidPrice;return midPriceIsChange;
}double WtHftStraDemo::__tqz_getLowerlimitPrice(const std::string code) {return this->_ctx->stra_get_last_tick(code.c_str())->lowerlimit();
}double WtHftStraDemo::__tqz_getUpperlimitPrice(const std::string code) {return this->_ctx->stra_get_last_tick(code.c_str())->upperlimit();
}double WtHftStraDemo::__tqz_getMarketMakingLongPrice(const std::string code, const double currentMidPrice, const int offsetTicks) {double minPriceTick = this->_ctx->stra_get_comminfo(code.c_str())->getPriceTick();double marketMakerLongOrderPrice = currentMidPrice - minPriceTick * offsetTicks;int longOrderPriceTicks = static_cast<int>(floor(marketMakerLongOrderPrice / minPriceTick));return longOrderPriceTicks * minPriceTick;
}double WtHftStraDemo::__tqz_getMarketMakingShortPrice(const std::string code, const double currentMidPrice, const int offsetTicks) {double minPriceTick = this->_ctx->stra_get_comminfo(code.c_str())->getPriceTick();double marketMakerShortOrderPrice = currentMidPrice + minPriceTick * offsetTicks;int shortOrderPriceTicks = static_cast<int>(ceil(marketMakerShortOrderPrice / minPriceTick));return shortOrderPriceTicks * minPriceTick;
}bool WtHftStraDemo::__isBeyondUpperlimitOrLowerlimit(const string code, const int longOrderOffsetTicks, const int shortOrderOffsetTicks) {if (this->__tqz_getLongPrice(code, longOrderOffsetTicks) >= this->__tqz_getUpperlimitPrice(code))return true;if (this->__tqz_getShortPrice(code, shortOrderOffsetTicks) <= this->__tqz_getLowerlimitPrice(code))return true;return false;
}double WtHftStraDemo::__tqz_getLongPrice(const std::string code, const int offsetTicks = 0) {WTSCommodityInfo* codeInfo = this->_ctx->stra_get_comminfo(code.c_str());double longPrice = this->__tqz_getAskPrice(code.c_str()) + codeInfo->getPriceTick() * offsetTicks;if (longPrice >= this->__tqz_getUpperlimitPrice(code))longPrice = this->__tqz_getUpperlimitPrice(code);if (longPrice <= this->__tqz_getLowerlimitPrice(code))longPrice = this->__tqz_getLowerlimitPrice(code);return longPrice;
}double WtHftStraDemo::__tqz_getShortPrice(const std::string code, const int offsetTicks = 0) {WTSCommodityInfo* codeInfo = this->_ctx->stra_get_comminfo(code.c_str());double shortPrice = this->__tqz_getBidPrice(code) - codeInfo->getPriceTick() * offsetTicks;if (shortPrice <= this->__tqz_getLowerlimitPrice(code))shortPrice = this->__tqz_getLowerlimitPrice(code);if (shortPrice >= this->__tqz_getUpperlimitPrice(code))shortPrice = this->__tqz_getUpperlimitPrice(code);return shortPrice;
}void WtHftStraDemo::__tqz_receiveCodeOnlyCloseCode(const uint32_t localid, const std::string code, const double lots) {switch (this->__tqz_getOrderType(localid)) {case BUY_TYPE: {this->__tqz_cancelOrder(code, this->_code_short_order);if (this->_ctx->tqz_getLongPosition(code.c_str()) > 0)this->tqz_sell(code, lots, OPEN_CLOSE_POSITION_OFFSET_TICKS, "code_sellOrder_onlyClose");break;} case SELL_TYPE: { // close positions time.this->__unlockBuy();this->__unlockSell();this->_re_marketMaking = true;break;} case SHORT_TYPE: {this->__tqz_cancelOrder(code, this->_code_buy_order);if (this->_ctx->tqz_getShortPosition(code.c_str()) > 0)this->tqz_cover(code, lots, OPEN_CLOSE_POSITION_OFFSET_TICKS, "code_coverOrder_onlyClose");break;} case COVER_TYPE: { // close positions time.this->__unlockShort();this->__unlockCover();this->_re_marketMaking = true;break;}}
}bool WtHftStraDemo::__isBelongToHft(const uint32_t orderId) {bool isBelongToHft = false;if (this->_code_buy_orders.find(orderId) != std::end(this->_code_buy_orders)) {isBelongToHft = true;} else if (this->_code_sell_orders.find(orderId) != std::end(this->_code_sell_orders)) {isBelongToHft = true;} else if (this->_code_short_orders.find(orderId) != std::end(this->_code_short_orders)) {isBelongToHft = true;} else if (this->_code_cover_orders.find(orderId) != std::end(this->_code_cover_orders)) {isBelongToHft = true;}return isBelongToHft;
}int WtHftStraDemo::__tqz_getCurrentHourMinute() {struct tm *newtime;time_t long_time;time(&long_time);newtime = localtime(&long_time);return newtime->tm_hour * 100 + newtime->tm_min;
}rapidjson::Document WtHftStraDemo::__tqz_loadJsonDocument(const std::string jsonPath) {char readBuffer[65536];FILE* filePoint = fopen(jsonPath.c_str(), "r");rapidjson::FileReadStream fileStream(filePoint, readBuffer, sizeof(readBuffer));rapidjson::Document document;document.ParseStream(fileStream);fclose(filePoint);return document;
}std::string WtHftStraDemo::__tqz_getSession(const std::string symbolCode) {std::vector<std::string> elements;std::stringstream stringStream(symbolCode.c_str());std::string item;int index = 0;std::string exchangeString;std::string symString;std::string symbolYearMonth;while (std::getline(stringStream, item, '.')) {elements.push_back(item);if (index == 0) {exchangeString = item;} else if (index == 1) {symString = item;} else if (index == 2) {symbolYearMonth = item;}index++;}return this->_commoditiesDocument[exchangeString.c_str()][symString.c_str()]["session"].GetString();
}bool WtHftStraDemo::__isTradingTime(const std::string code) {string sessionString = this->__tqz_getSession(code);rapidjson::Value& sections = this->_sessionsDocument[sessionString.c_str()]["sections"];bool tradeable = false;if (sections.IsArray() && !sections.Empty()) {for (auto& section : sections.GetArray()) {if (!section.IsObject()) // type of section is not object.continue;if (!(section.HasMember("from") && section.HasMember("to"))) // has no from key or to key.continue;int currentHourMinute = this->__tqz_getCurrentHourMinute();if (section["from"].GetInt() <= currentHourMinute && currentHourMinute < section["to"].GetInt()) { // is trading time.tradeable = true;}if (section["from"].GetInt() > section["to"].GetInt()) { // is night trading time.if (currentHourMinute >= section["from"].GetInt() || currentHourMinute < section["to"].GetInt()) {tradeable = true;}}}} else {throw exception("result is not array type or empty array");}return tradeable;
}bool WtHftStraDemo::__isClosePositionsTime(const std::string code) {string sessionString = this->__tqz_getSession(code);rapidjson::Value& sections = this->_sessionsDocument[sessionString.c_str()]["sections"];bool isClosePositionsTime = false;if (sections.IsArray() && !sections.Empty()) {for (auto& section : sections.GetArray()) {if (!section.IsObject()) // type of section is not object.continue;if (!(section.HasMember("from") && section.HasMember("to"))) // has no from key or to key.continue;uint32_t toHourMinute = this->__tqz_resetToHourMinute(section["to"].GetInt(), this->_offset_close_minutes);uint32_t currentHourMinute = this->__tqz_getCurrentHourMinute();if ((toHourMinute - this->_offset_close_minutes) <= currentHourMinute && currentHourMinute < toHourMinute) // is close positions time.isClosePositionsTime = true;}} else {throw exception("result is not array type or empty array");}return isClosePositionsTime;
}int WtHftStraDemo::__tqz_resetToHourMinute(int toHourMinute, const int offsetCloseMinutes = 0){int toMinute = toHourMinute % 100;int toHour = toHourMinute / 100;int offsetMinutes = offsetCloseMinutes % 60;int offsetHours = offsetCloseMinutes / 60;int newMinute = 60 + toMinute; // reset minutesint newHour = (toHour - (offsetHours % 24 + 1) + 24) % 24; // reset hoursif (toMinute - offsetMinutes < 0 || offsetHours != 0) // reset toHourMinute or nottoHourMinute = newHour * 100 + newMinute;return toHourMinute;
}std::string WtHftStraDemo::__tqz_getLogFileName(const TQZLogFileType logfileType) {switch (logfileType) {case TRADE_CHANGE_TYPE:return "hft_tradeChange_" + to_string(this->_ctx->tqz_getTradingDate());case CANCEL_ORDER_COUNTS_TYPE:return "hft_cancelOrderCounts_" + to_string(this->_ctx->tqz_getTradingDate());default:return "";}
}std::string WtHftStraDemo::__tqz_getCurrentTime() {const boost::posix_time::ptime now = boost::posix_time::microsec_clock::local_time();const boost::posix_time::time_duration timeOfDay = now.time_of_day();const uint64_t hours = timeOfDay.hours();const uint64_t minutes = timeOfDay.minutes();const uint64_t seconds = timeOfDay.seconds();const uint64_t milliseconds = timeOfDay.total_milliseconds() - (hours * 3600 + minutes * 60 + seconds) * 1000;return this->__tqz_getTimeString(hours, minutes, seconds, milliseconds);
}std::string WtHftStraDemo::__tqz_getCurrentMarketTime() {uint32_t time = this->_ctx->stra_get_time();uint32_t secs = this->_ctx->stra_get_secs();int hours = time / 100;int minutes = time % 100;int seconds = secs / 1000;int milliseconds = secs % 1000;return this->__tqz_getTimeString(hours, minutes, seconds, milliseconds);
}std::string WtHftStraDemo::__tqz_getTimeString(const uint64_t hours, const uint64_t minutes, const uint64_t seconds, const uint64_t milliseconds) {std::string hoursString = to_string(hours);if (hours < 10)hoursString = "0" + to_string(hours);std::string minutesString = to_string(minutes);if (minutes < 10)minutesString = "0" + to_string(minutes);std::string secondsString = to_string(seconds);if (seconds < 10)secondsString = "0" + to_string(seconds);std::string millisecondsString = to_string(milliseconds);if (milliseconds < 10) {millisecondsString = "00" + to_string(milliseconds);} else if (milliseconds < 100) {millisecondsString = "0" + to_string(milliseconds);}return hoursString + ":" + minutesString + ":" + secondsString + "." + millisecondsString;
}void WtHftStraDemo::__tqz_writeStrategyTradeLog(const uint32_t orderid, const double receiveTradePrice, const double lots) {if (this->_log_message_map.find(orderid) == this->_log_message_map.end()) return;TQZLogMessage logMessage = this->_log_message_map[orderid];std::string logString = "[code|" + logMessage.code + ",order_type|" + logMessage.orderType + ",orderid|" + to_string(logMessage.orderid) + ",market_price_of_send_order|" + to_string(logMessage.currentPrice) + ",market_time_of_send_order|" + logMessage.currentMarketTime + ",send_order_price|" + to_string(logMessage.orderPrice) + ",send_order_time|" + logMessage.sendOrderTime + ",receive_trade_price|" + to_string(receiveTradePrice) + ",receive_trade_time|" + this->__tqz_getCurrentTime() + ",lots|" + to_string(lots) + ",volScale|" + to_string(this->_ctx->stra_get_comminfo(this->_code.c_str())->getVolScale()) + ",order_comment|" + logMessage.orderComment + "]";this->_ctx->tqz_writeLog(this->_tradeChange_log_filename, logString);
}void WtHftStraDemo::__tqz_writeCancelOrderCountsLog(const std::string code) {int now = this->__tqz_getCurrentHourMinute();if (now < 1500 || now > 1630)return;uint32_t cancel_order_counts = this->_ctx->tqz_getCancelCounts(code.c_str());std::string logString = "[code|" + code + ",cancel_order_counts|" + to_string(cancel_order_counts) + "]";this->_ctx->tqz_writeLog(this->__tqz_getLogFileName(CANCEL_ORDER_COUNTS_TYPE), logString);
}TQZLogMessage WtHftStraDemo::__tqz_getNewLogMessage(std::string code, uint32_t orderid, double currentPrice, double orderPrice, char* orderType, std::string currentMarketTime, std::string sendOrderTime, std::string orderComment) {return TQZLogMessage(code, orderid, currentPrice, orderPrice, orderType, currentMarketTime, sendOrderTime, orderComment);
}uint64_t WtHftStraDemo::__getCurrentTimestamp() {const boost::posix_time::ptime now = boost::posix_time::microsec_clock::local_time();const boost::posix_time::time_duration timeOfDay = now.time_of_day();boost::posix_time::ptime epoch(boost::gregorian::date(1970, boost::gregorian::Jan, 1));boost::posix_time::time_duration time_from_epoch = boost::posix_time::second_clock::universal_time() - epoch;return time_from_epoch.total_seconds();
}bool WtHftStraDemo::__isNewScanInterval(const uint32_t scanInterval) {uint64_t now = this->__getCurrentTimestamp();bool isNew = (now - this->_last_scan_time < scanInterval) ? false : true;if (isNew)this->_last_scan_time = now;return isNew;
}void WtHftStraDemo::__lockBuy() {this->_code_buy_lock = true;
}void WtHftStraDemo::__lockSell() {this->_code_sell_lock = true;
}void WtHftStraDemo::__lockShort() {this->_code_short_lock = true;
}void WtHftStraDemo::__lockCover() {this->_code_cover_lock = true;
}void WtHftStraDemo::__unlockBuy() {this->_code_buy_lock = false;
}void WtHftStraDemo::__unlockSell() {this->_code_sell_lock = false;
}void WtHftStraDemo::__unlockShort() {this->_code_short_lock = false;
}void WtHftStraDemo::__unlockCover() {this->_code_cover_lock = false;
}void WtHftStraDemo::__unlockAllOrders() {this->__unlockBuy();this->__unlockSell();this->__unlockShort();this->__unlockCover();this->__unlockBuy();this->__unlockSell();this->__unlockShort();this->__unlockCover();
}bool WtHftStraDemo::__isMarketMakingAble() {if (this->__marketMakingIsLock(false))return false;if (this->_ctx->tqz_getCancelCounts(this->_code.c_str()) > this->_cancel_limit_counts)return false;if (this->_current_session_status != MARKET_MAKING_STATUS)return false;if (this->__isBeyondUpperlimitOrLowerlimit(this->_code, this->_long_order_offset, this->_short_order_offset)) // judge this->_re_market_making is true or false, then modify it...return false;return true;
}bool WtHftStraDemo::__closeCodeIsLock(bool reSendLockOrder) {bool isLock = (this->_code_sell_lock || this->_code_cover_lock);if (!reSendLockOrder)return isLock;if (this->_code_sell_lock)this->__tqz_cancelOrder(this->_code, this->_code_sell_order);if (this->_code_cover_lock)this->__tqz_cancelOrder(this->_code, this->_code_cover_order);return isLock;
}bool WtHftStraDemo::__marketMakingIsLock(bool cancelLockOrder) {bool isLock = !(!this->_code_buy_lock && !this->_code_short_lock);if (!cancelLockOrder)return isLock;if (this->_code_buy_lock)this->__tqz_cancelOrder(this->_code, this->_code_buy_order);if (this->_code_short_lock)this->__tqz_cancelOrder(this->_code, this->_code_short_order);return isLock;
}

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