Pysentosa-用于Sentosa交易系统的PythonAPI
pysentosa的Python项目详细描述
Pysentosa-用于Sentosa交易系统的Python API
Pysentosa是吴福恒为圣淘沙交易系统编写的PythonAPI
网址:http://www.quant365.com(quant365-科技贸易)
操作系统:Linux Ubuntu15.10 64位
安装:
GITURL=https://raw.githubusercontent.com/henrywoo/pysentosa/master wget $GITURL/install_nanomsg.sh -O install_nanomsg.sh chmod u+x install_nanomsg.sh ./install_nanomsg.sh wget $GITURL/install_yaml_cpp.sh -O install_yaml_cpp.sh chmod u+x install_yaml_cpp.sh ./install_yaml_cpp.sh sudo apt-get install -y python-pip libboost-all-dev sudo pip install -U pysentosa pyyaml netifaces websocket-client nanomsg \ setproctitle psutil
启动IB TWS。
执行交易策略
运行演示:
frompysentosa.demoimportrun_demorun_demo()
示例代码:
frompysentosaimportMerlionfromticktypeimport*m=Merlion()target='SPY'm.track_symbol([target,'BITA'])bounds={target:[220,250]}whileTrue:symbol,ticktype,value=m.get_mkdata()ifsymbol==target:ifticktype==ASK_PRICEandvalue<bounds[symbol][0]:oid=m.buy(symbol,5)whileTrue:ord_st=m.get_order_status(oid)printORDSTATUS[ord_st]iford_st==FILLED:bounds[symbol][0]-=20breaksleep(2)elifticktype==BID_PRICEandvalue>bounds[symbol][1]:oid=m.sell(symbol,100)bounds[symbol][1]+=20