HFT仿真进阶1: 环境准备

#include "WtHftStraDemo.h"
#include "../Includes/IHftStraCtx.h"

#include "../Includes/WTSVariant.hpp"
#include "../Includes/WTSDataDef.hpp"
#include "../Includes/WTSContractInfo.hpp"
#include "../Share/TimeUtils.hpp"
#include "../Share/decimal.h"
#include "../Share/fmtlib.h"

extern const char* FACT_NAME;

WtHftStraDemo::WtHftStraDemo(const char* id)
	: HftStrategy(id)
	, _last_tick(NULL)
	, _last_entry_time(UINT64_MAX)
	, _channel_ready(false)
	, _last_calc_time(0)
	, _stock(false)
	, _unit(1)
	, _cancel_cnt(0)
	, _reserved(0)
{
}


WtHftStraDemo::~WtHftStraDemo()
{
	if (_last_tick)
		_last_tick->release();
}

const char* WtHftStraDemo::getName()
{
	return "HftDemoStrategy";
}

const char* WtHftStraDemo::getFactName()
{
	return FACT_NAME;
}

bool WtHftStraDemo::init(WTSVariant* cfg)
{
	//这里演示一下外部传入参数的获取
	_code = cfg->getCString("code");
	_secs = cfg->getUInt32("second");
	_freq = cfg->getUInt32("freq");
	_offset = cfg->getUInt32("offset");
	_reserved = cfg->getDouble("reserve");

	_stock = cfg->getBoolean("stock");
	_unit = _stock ? 100 : 1;

	return true;
}

void WtHftStraDemo::on_entrust(uint32_t localid, bool bSuccess, const char* message, const char* userTag)
{
	_ctx->stra_log_info("策略回调 on_entrust");
	return;
}

void WtHftStraDemo::on_init(IHftStraCtx* ctx)
{
	// 订阅tick数据
	WTSTickSlice* ticks = ctx->stra_get_ticks(_code.c_str(), 1);
	if (ticks)
		ticks->release();

	// 订阅K线, 被订阅的品种会回调on_bar
	WTSKlineSlice* kline1 = ctx->stra_get_bars("CFFEX.IF.2203", "m1", 1);
	if (kline1)
		kline1->release();
	WTSKlineSlice* kline2 = ctx->stra_get_bars("CFFEX.IH.2203", "m1", 1);
	if (kline2)
		kline2->release();

	// 主动订阅tick
	ctx->stra_sub_ticks("CFFEX.IH.2203");
	ctx->stra_sub_ticks("CFFEX.IC.2203");
	ctx->stra_sub_ticks("CFFEX.IF.2203");
	

	_ctx = ctx;
	_ctx->stra_log_info("策略回调 on_init");
}

void WtHftStraDemo::on_tick(IHftStraCtx* ctx, const char* code, WTSTickData* newTick)
{	
	// 每个被订阅的品种都会调用on_tick
	// newTick是类, actiontime是毫秒要/1000
	_ctx->stra_log_info(fmt::format("策略回调 on_tick. date: {}, time: {}, price: {}", newTick->actiondate(), newTick->actiontime()/1000, newTick->price()).c_str());

	return;
}

void WtHftStraDemo::check_orders()
{
	_ctx->stra_log_info("策略回调 check_orders");
	return;
}

// 每一个订阅K线的品种都会回调on_bar
void WtHftStraDemo::on_bar(IHftStraCtx* ctx, const char* code, const char* period, uint32_t times, WTSBarStruct* newBar)
{
	uint32_t barTime = (uint32_t)(newBar->time % 10000 * 100);
	_ctx->stra_log_info(fmt::format("策略回调 on_bar. date: {}, time: {}, close: {}", newBar->date, barTime, newBar->close).c_str());

	// 如果持仓<=0则买入, 否则卖出
	if (ctx->stra_get_position(code) <= 0)
		ctx->stra_enter_long(code, 0, 1.0, 0);
	else
		ctx->stra_enter_short(code, 0, 1.0, 0);

}

void WtHftStraDemo::on_trade(IHftStraCtx* ctx, uint32_t localid, const char* stdCode, bool isBuy, double qty, double price, const char* userTag)
{
	_ctx->stra_log_info("策略回调 on_trade");
}

void WtHftStraDemo::on_position(IHftStraCtx* ctx, const char* stdCode, bool isLong, double prevol, double preavail, double newvol, double newavail)
{
	_ctx->stra_log_info("策略回调 on_position");
}

void WtHftStraDemo::on_order(IHftStraCtx* ctx, uint32_t localid, const char* stdCode, bool isBuy, double totalQty, double leftQty, double price, bool isCanceled, const char* userTag)
{
	_ctx->stra_log_info("策略回调 on_order");
	return;
}

void WtHftStraDemo::on_channel_ready(IHftStraCtx* ctx)
{
	_ctx->stra_log_info("策略回调 on_channel_ready");
	return;
}

void WtHftStraDemo::on_channel_lost(IHftStraCtx* ctx)
{
	_ctx->stra_log_info("策略回调 on_channel_lost");

	_channel_ready = false;
}