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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。
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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
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