67 Star 378 Fork 209

EliteQuant / EliteQuant_Cpp

加入 Gitee
与超过 1200万 开发者一起发现、参与优秀开源项目,私有仓库也完全免费 :)
免费加入
克隆/下载
贡献代码
同步代码
取消
提示: 由于 Git 不支持空文件夾,创建文件夹后会生成空的 .keep 文件
Loading...
README
Apache-2.0

EliteQuant_Cpp

C/C++高频量化投资交易平台


平台介绍

EliteQuant 是一个开源并永久免费的统一量化交易平台,由量化投资者所写并为量化投资者服务。它同时在github码云上开源。

统一这个词有两层意思

  • 首先是统一的回测和实盘交易。只需将数据源在回测和实盘间切换即可,最大限度保持策略稳定性和真实性
  • 其次,多语言编写的平台在交易结构和绩效评估上是一致的。所以在与其他交易员就策略,想法和绩效方面进行复制和交流就变得非常容易和方便。

EliteQuant 相关项目包括

项目纲要

EliteQuant_Cpp是基于C/C++ 11的多线程并发式高频交易平台。它遵循现代设计模式,例如事件驱动,服务器/客户端架构,依赖注入和松散耦合的强大稳定的分布式系统。它可以独立运行和直接使用。同时,它也作为其他EliteQuant项目的服务器端。

参与开发

我们欢迎任何形式的贡献,包括发现问题,发送代码块,或创建拉请求。通过共享代码架构,这还会帮助使用其他语言的交易者。

项目安装

不需要安装,直接下载代码并使用。

最简单的方法是从项目根目录下载并编译compiled.zip。然后运行名为eqsever.exe的程序。在运行此可执行文件之前,需要修改几个配置设置。默认情况下,程序从相同的目录中读取config.xml。因此打开配置文件

  1. 如果要使用盈透证券,请打开盈透证券交易平台(TWS),进入菜单File / Global Configuration / API / Settings,勾选“Enable ActiveX and Socket Client”,取消选中“Read-Only API”
  2. 在配置文件中,将帐户ID更改为您自己的; 盈透证券账户ID通常可以在TWS窗口的右上方找到。
  3. 如果您使用CTP,请相应地更改您的经纪账户信息和ctp地址。
  4. 分别为log_dir 和 data_dir创建文件夹。前者记录运行日志,而后者保存分时数据

盈透证券 是零售交易商中最受欢迎的经纪商。 Quantopian,Quantconnect等许多零售交易平台都是支持IB的。如果您没有IB账户,但想要试用,他们提供模拟账户edemo与密码demouser。只需下载TWS交易者工作站并使用此演示帐户登录。请注意,每次使用模拟账户登录交易平台时,账户ID都会发生变化,因此您必须相应地更改EliteQuant配置文件。

CTP 是中国期货市场的实际标准,包括商品期货和金融期货。他们还提供免费模拟账户SimNow。注册后,您将获得帐户,密码,brokerid,以及市场数据和交易经纪地址。将其替换EliteQuant配置文件相应位置。

开发环境

以下是我们正在使用的环境

  • Windows上的Visual Studio 2017社区版
  • Linux上的CodeLite 11.0.6

Visual C ++是Windows上流行的IDE。 CodeLite是一个免费的Linux IDE,在用户体验方面非常接近Visual Studio。其他的选择是CLION,CMake等。

Linux 下的开发环境

您可以按照以下步骤安装必要的第三方库,并使用cmake在最新的64位Ubuntu系统上构建此项目。

sudo apt-get update
sudo apt-get upgrade
sudo apt-get install aptitude git cmake 
sudo aptitude install zlib1g-dev rapidjson-dev python3-dev libboost-all-dev libsodium-dev \
                      libyaml-cpp-dev libwebsocketpp-dev libnanomsg-dev libzmq3-dev

# 下载 SimNow CTP tradeapi Linux 版本
cd ~          # 或者您选择的目录 
wget http://simnow.sfit.com.cn/download/api/v6.3.5_20150803_tradeapi_linux64.tar
tar xvf v6.3.5_20150803_tradeapi_linux64.tar
cd v6.3.5_20150803_api_tradeapi_linux64/
sudo cp thostmduserapi.so /usr/lib/libthostmduserapi.so
sudo cp thosttraderapi.so /usr/lib/libthosttraderapi.so
cd ~        # 或者您选择的目录        
git clone https://github.com/EliteQuant/EliteQuant_Cpp.git
cd EliteQuant_Cpp/source
mkdir build
cd build
cmake ..
make -j2

# 运行程序
cd eqserver
cp ../../eqserver/config.yaml .
mkdir log data
./eqserver             # 在这之前要改动 config.yaml

在Linux上,按Ctrl + C终止eqserver时,可能会遇到double free or corruption(!prev)错误。抑制此警告的一种方法是将MALLOC_CHECK_ = 0变量添加到您的环境中。

sudo vim ~/.bashrc          # 编辑系统配置文件
export MALLOC_CHECK_=0      # 把这一行加到文件最后
source ~/.bashrc            # 重新加载配置

项目结构

微服务

服务 协议 端口 捆绑还是连接
MarketData PUB 55555 Y
Brokerage PAIR 55556 Y
DataManager/BarAggregator PUB 55557 Y
TickRecording SUB 55555 N
DataBoard SUB 55555 N
ApiServer PAIR 55556 N
ApiServer SUB 55557 N
ApiServer PAIR 55558 Y

消息协议

消息由字符“|”来分割。例如

  • 新市场单: o|账号|API|客户单号|MKT|AAPL STK SMART|100[|order_flag]
  • 新限价单: o|账号|API|客户单号|LMT|AAPL STK SMART|100|170.00[|order_flag]
  • 交易指令状态: s|账号|API|服务单号|客户单号|券商单号|下单状态
  • 成交: f|账号|API|服务单号|客户单号|券商单号|成交编号|成交时间|股票代码|成交价格|成交数量
  • 取消指令:c|账号|API|服务单号|客户单号|券商单号
  • 分时数据:AAPL STK SMAR|时间|数据类型|价格|大小|深度
  • 分时全数据: AAPL STK SMART|时间|3|价格|大小|1|买一|买一量|卖一|卖一量|未平仓量|开|高|低|昨收|涨停价|跌停价

以下是消息类型:

  • k:分时数据
  • p:最后的价格
  • z:最后交易量
  • o:新订单
  • c:取消订单
  • s:订单状态
  • n:持仓查询
  • m:一般信息
  • b:K线
  • h:历史数据
  • e:测试消息

交易品代码

在EliteQuant中,一个交易品通过其完整代码Full Symbol来识别,完整代码由空格隔开的字符组成。一般模式是“本地代码 交易品类别 交易所 乘数”

  • 股票:SPY STK SMART
  • 期货:ESZ7 FUT GLOBEX 50
  • 外汇:EUR.USD CASH IDEALPRO
  • 外汇期货:6BU1 FUT GLOBELX
  • 期权:GOOGL_140920P00535000 OPT SMART 100
  • 期货期权:EWQ4_C1730 FOP GLOBEX 50

下单状态

enum OrderStatus {
		OS_NewBorn = 0,			// NewBorn
		OS_PendingSubmit = 1,
		OS_PendingCancel =2 ,
		OS_Submitted = 3,			// submitted
		OS_Acknowledged = 4,		// acknowledged
		OS_Canceled = 5,			// Canceled
		OS_Filled = 6,				// Filled
		OS_Inactive = 7,
		OS_PartiallyFilled = 8		// PartiallyFilled
	};

	enum OrderFlag {			// for CTP offset flag
		OF_OpenPosition = 0,
		OF_ClosePosition = 1,
		OF_CloseToday = 2,
		OF_CloseYesterday = 3
	};

代码结构

代码结构

开发计划

  • QT 图形界面: 现在暂时是命令端执行;计划加入用户界面支持。
Apache License Version 2.0, January 2004 http://www.apache.org/licenses/ TERMS AND CONDITIONS FOR USE, REPRODUCTION, AND DISTRIBUTION 1. Definitions. "License" shall mean the terms and conditions for use, reproduction, and distribution as defined by Sections 1 through 9 of this document. "Licensor" shall mean the copyright owner or entity authorized by the copyright owner that is granting the License. "Legal Entity" shall mean the union of the acting entity and all other entities that control, are controlled by, or are under common control with that entity. For the purposes of this definition, "control" means (i) the power, direct or indirect, to cause the direction or management of such entity, whether by contract or otherwise, or (ii) ownership of fifty percent (50%) or more of the outstanding shares, or (iii) beneficial ownership of such entity. "You" (or "Your") shall mean an individual or Legal Entity exercising permissions granted by this License. "Source" form shall mean the preferred form for making modifications, including but not limited to software source code, documentation source, and configuration files. "Object" form shall mean any form resulting from mechanical transformation or translation of a Source form, including but not limited to compiled object code, generated documentation, and conversions to other media types. "Work" shall mean the work of authorship, whether in Source or Object form, made available under the License, as indicated by a copyright notice that is included in or attached to the work (an example is provided in the Appendix below). "Derivative Works" shall mean any work, whether in Source or Object form, that is based on (or derived from) the Work and for which the editorial revisions, annotations, elaborations, or other modifications represent, as a whole, an original work of authorship. For the purposes of this License, Derivative Works shall not include works that remain separable from, or merely link (or bind by name) to the interfaces of, the Work and Derivative Works thereof. "Contribution" shall mean any work of authorship, including the original version of the Work and any modifications or additions to that Work or Derivative Works thereof, that is intentionally submitted to Licensor for inclusion in the Work by the copyright owner or by an individual or Legal Entity authorized to submit on behalf of the copyright owner. For the purposes of this definition, "submitted" means any form of electronic, verbal, or written communication sent to the Licensor or its representatives, including but not limited to communication on electronic mailing lists, source code control systems, and issue tracking systems that are managed by, or on behalf of, the Licensor for the purpose of discussing and improving the Work, but excluding communication that is conspicuously marked or otherwise designated in writing by the copyright owner as "Not a Contribution." "Contributor" shall mean Licensor and any individual or Legal Entity on behalf of whom a Contribution has been received by Licensor and subsequently incorporated within the Work. 2. Grant of Copyright License. Subject to the terms and conditions of this License, each Contributor hereby grants to You a perpetual, worldwide, non-exclusive, no-charge, royalty-free, irrevocable copyright license to reproduce, prepare Derivative Works of, publicly display, publicly perform, sublicense, and distribute the Work and such Derivative Works in Source or Object form. 3. Grant of Patent License. Subject to the terms and conditions of this License, each Contributor hereby grants to You a perpetual, worldwide, non-exclusive, no-charge, royalty-free, irrevocable (except as stated in this section) patent license to make, have made, use, offer to sell, sell, import, and otherwise transfer the Work, where such license applies only to those patent claims licensable by such Contributor that are necessarily infringed by their Contribution(s) alone or by combination of their Contribution(s) with the Work to which such Contribution(s) was submitted. If You institute patent litigation against any entity (including a cross-claim or counterclaim in a lawsuit) alleging that the Work or a Contribution incorporated within the Work constitutes direct or contributory patent infringement, then any patent licenses granted to You under this License for that Work shall terminate as of the date such litigation is filed. 4. Redistribution. You may reproduce and distribute copies of the Work or Derivative Works thereof in any medium, with or without modifications, and in Source or Object form, provided that You meet the following conditions: You must give any other recipients of the Work or Derivative Works a copy of this License; and You must cause any modified files to carry prominent notices stating that You changed the files; and You must retain, in the Source form of any Derivative Works that You distribute, all copyright, patent, trademark, and attribution notices from the Source form of the Work, excluding those notices that do not pertain to any part of the Derivative Works; and If the Work includes a "NOTICE" text file as part of its distribution, then any Derivative Works that You distribute must include a readable copy of the attribution notices contained within such NOTICE file, excluding those notices that do not pertain to any part of the Derivative Works, in at least one of the following places: within a NOTICE text file distributed as part of the Derivative Works; within the Source form or documentation, if provided along with the Derivative Works; or, within a display generated by the Derivative Works, if and wherever such third-party notices normally appear. The contents of the NOTICE file are for informational purposes only and do not modify the License. You may add Your own attribution notices within Derivative Works that You distribute, alongside or as an addendum to the NOTICE text from the Work, provided that such additional attribution notices cannot be construed as modifying the License. You may add Your own copyright statement to Your modifications and may provide additional or different license terms and conditions for use, reproduction, or distribution of Your modifications, or for any such Derivative Works as a whole, provided Your use, reproduction, and distribution of the Work otherwise complies with the conditions stated in this License. 5. Submission of Contributions. Unless You explicitly state otherwise, any Contribution intentionally submitted for inclusion in the Work by You to the Licensor shall be under the terms and conditions of this License, without any additional terms or conditions. Notwithstanding the above, nothing herein shall supersede or modify the terms of any separate license agreement you may have executed with Licensor regarding such Contributions. 6. Trademarks. This License does not grant permission to use the trade names, trademarks, service marks, or product names of the Licensor, except as required for reasonable and customary use in describing the origin of the Work and reproducing the content of the NOTICE file. 7. Disclaimer of Warranty. Unless required by applicable law or agreed to in writing, Licensor provides the Work (and each Contributor provides its Contributions) on an "AS IS" BASIS, WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied, including, without limitation, any warranties or conditions of TITLE, NON-INFRINGEMENT, MERCHANTABILITY, or FITNESS FOR A PARTICULAR PURPOSE. You are solely responsible for determining the appropriateness of using or redistributing the Work and assume any risks associated with Your exercise of permissions under this License. 8. Limitation of Liability. In no event and under no legal theory, whether in tort (including negligence), contract, or otherwise, unless required by applicable law (such as deliberate and grossly negligent acts) or agreed to in writing, shall any Contributor be liable to You for damages, including any direct, indirect, special, incidental, or consequential damages of any character arising as a result of this License or out of the use or inability to use the Work (including but not limited to damages for loss of goodwill, work stoppage, computer failure or malfunction, or any and all other commercial damages or losses), even if such Contributor has been advised of the possibility of such damages. 9. Accepting Warranty or Additional Liability. While redistributing the Work or Derivative Works thereof, You may choose to offer, and charge a fee for, acceptance of support, warranty, indemnity, or other liability obligations and/or rights consistent with this License. However, in accepting such obligations, You may act only on Your own behalf and on Your sole responsibility, not on behalf of any other Contributor, and only if You agree to indemnify, defend, and hold each Contributor harmless for any liability incurred by, or claims asserted against, such Contributor by reason of your accepting any such warranty or additional liability. END OF TERMS AND CONDITIONS APPENDIX: How to apply the Apache License to your work To apply the Apache License to your work, attach the following boilerplate notice, with the fields enclosed by brackets "{}" replaced with your own identifying information. (Don't include the brackets!) The text should be enclosed in the appropriate comment syntax for the file format. We also recommend that a file or class name and description of purpose be included on the same "printed page" as the copyright notice for easier identification within third-party archives. Copyright 2017 EliteQuant Licensed under the Apache License, Version 2.0 (the "License"); you may not use this file except in compliance with the License. You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0 Unless required by applicable law or agreed to in writing, software distributed under the License is distributed on an "AS IS" BASIS, WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied. See the License for the specific language governing permissions and limitations under the License.

简介

C/C++高频量化投资交易平台。基于C/C++ 11的多线程并发式高频交易平台。它遵循现代设计模式,例如事件驱动,服务器/客户端架构,依赖注入和松散耦合的强大稳定的分布式系统。它可以独立运行和直接使用。同时,它也作为其他EliteQuant项目的服务器端。 展开 收起
C++
Apache-2.0
取消

发行版

暂无发行版

贡献者

全部

近期动态

加载更多
不能加载更多了
C++
1
https://gitee.com/EliteQuant/EliteQuant_Cpp.git
git@gitee.com:EliteQuant/EliteQuant_Cpp.git
EliteQuant
EliteQuant_Cpp
EliteQuant_Cpp
master

搜索帮助

14c37bed 8189591 565d56ea 8189591