功夫是 Taurus.ai 团队专为量化交易者设计的低延迟交易执行系统。功夫想要解决两个核心问题:
- 交易数据实时存储 - 为了追求交易速度,很多情况下交易者不得不放弃存储功能以换取更高的执行速度,这给盘后分析带来很大困难,使分析缺乏必要的数据支持。
- 交易延迟分析及优化 - 交易者缺乏测量交易延迟的标准化工具,关于延迟的统计数据往往只能凭感觉估算,在缺乏可靠的数据采集手段的情况下,优化工作变得更加艰难。
针对这两个问题,功夫在系统架构上做了特别的设计,目前系统分成以下三个模块:
- 易筋经(yijinjing) - 专为金融交易设计的时间序列内存数据库,提供纳秒级时间精度,可落地交易相关的全部数据。
- 咏春(wingchun) - 策略执行引擎,提供 C++ 及 Python (2.7) 开发接口,利用易筋经特性,咏春还提供一系列交易数据分析工具。
- 长拳(longfist) - 交易数据标准化定义及转换器,支持灵活对接不同交易柜台。
功夫在系统设计上支持任意柜台的对接(涵盖中国所有股票、期货市场),目前功夫开源版仅提供 CTP 柜台对接的实现。 如果需要接入更多柜台请通过 Taurus.ai 官网联系我们。 开发者也可根据长拳标准自行开发新的柜台接口。
功夫采用 Apache License 2.0 发布。
功夫是基于 Linux CentOS 7 开发的,需要在 CentOS 7 以上的环境中编译及运行。如果您使用 Windows 或 MacOS 或其他 Linux 发行版,建议使用虚拟机形式安装一个 CentOS 7 系统。
功夫的编译及运行依赖一系列软件包,为了简化操作,我们准备了完整的 Docker 环境供大家使用。 首先需要在 CentOS 7 系统中安装及启动 Docker 服务:
$ sudo yum install docker
$ sudo systemctl start docker
$ sudo systemctl status docker
在安装好 Docker 之后,使用如下命令获取 Docker 镜像:
$ sudo docker pull taurusai/kungfu-devel
成功获取镜像后,使用镜像启动 Docker 实例:
$ sudo docker run --name kungfu-devel --privileged --ulimit memlock=-1 --net=host -td taurusai/kungfu-devel /usr/sbin/init
推荐使用以下命令检查及维护 Docker 实例状态,更多 Docker 相关操作请移步 Docker 官网查阅文档:
$ docker ps -a
CONTAINER ID IMAGE COMMAND CREATED STATUS PORTS NAMES
024b65c6bcbf taurusai/kungfu-devel "/usr/sbin/init" 4 seconds ago Up 3 seconds kungfu-devel
$ docker stop kungfu-devel
$ docker start kungfu-devel
成功启动 Docker 实例后,使用以下命令进入实例,后续操作请在 Docker 实例内完成:
$ sudo docker exec -it kungfu-devel bash
获取代码:
$ git clone https://github.com/taurusai/kungfu
功夫使用 CMake 进行编译,CMake 会在当前路径下产生一系列中间文件,建议在单独的编译路径下进行编译:
$ cd kungfu
$ mkdir build
$ cd build
$ cmake ..
$ make
$ make package
编译成功,会在编译路径下产生 kungfu-0.0.1-Linux.rpm,可以使用 yum 进行安装:
$ yum install kungfu-0.0.1-Linux.rpm
成功安装功夫 rpm 后,会自动启动后台服务,可使用 systemctl 命令查看后台状态:
$ sudo systemctl status kungfu
* kungfu.service - Kungfu Master Trading System Daemon
Loaded: loaded (/opt/kungfu/master/etc/systemd/user/kungfu.service; linked; vendor preset: disabled)
Active: active (running) since 二 2017年11月14日 15:17:07 CST; 2s ago
Process: 24778 ExecStart=/usr/bin/supervisord -c /opt/kungfu/master/etc/supervisor/supervisord.conf (code=exited, status=0/SUCCESS)
Main PID: 24781 (supervisord)
CGroup: /system.slice/kungfu.service
|-24781 /usr/bin/python /usr/bin/supervisord -c /opt/kungfu/master/etc/supervisor/supervisord.conf
|-24786 /usr/bin/python -u /opt/kungfu/master/bin/yjj server
`-24787 /usr/bin/python -u /opt/kungfu/master/bin/yjj server
使用 kungfuctl 命令控制后台进程:
$ kungfuctl
kungfu> status
md_ctp STOPPED Not started
td_ctp STOPPED Not started
yijinjing RUNNING pid 25763, uptime 0:00:11
在第一次使用功夫进行交易之前,需要编辑配置文件,添加账户信息:
$ cp /opt/kungfu/master/etc/kungfu/kungfu.json.sample /opt/kungfu/master/etc/kungfu/kungfu.json
$ vi /opt/kungfu/master/etc/kungfu/kungfu.json
正确配置功夫之后,通过 kungfuctl 命令启动行情及交易服务,检查确保服务启动正常:
$ kungfuctl
kungfu> start md_ctp
kungfu> start td_ctp
kungfu> status
md_ctp RUNNING pid 25764, uptime 0:00:11
td_ctp RUNNING pid 25765, uptime 0:00:11
yijinjing RUNNING pid 25763, uptime 0:00:11
功夫提供 C++ 及 Python (2.7) 策略开发接口,相关样例 demo 程序可在以下代码路径找到:
kungfu/wingchun/strategy/cpp_demo
kungfu/wingchun/strategy/py_demo
功夫默认安装在名为 bruce 的用户下,策略程序应以 bruce 身份运行以确保得到正确的文件读取权限(sudo -u bruce)。 以 py_demo/band_demo_strategy.py 为例,使用以下方式运行策略,需要注意 -n 参数指定的策略名称是系统内对该策略的唯一标识,所有相关的交易记录都通过该标识关联:
$ sudo -u bruce wingchun strategy -n band_demo -p /your/path/band_demo_strategy.py
策略运行期间及结束后,可以使用 wingchun 命令查看策略运行状态:
$ wingchun help pos
$ wingchun help report
使用 yjj 命令查看及导出易筋经内存数据库中的内容:
$ yjj journal -h
$ yjj journal -f /shared/kungfu/journal/TD/CTP/ -n TD_CTP -s 20171114-14:40:00 -e 20171114-14:45:00 -d -t -m 206
StartTime: 20171114-14:40:00
EndTime: 20171114-14:45:00
Folder: /shared/kungfu/journal/TD/CTP/
ShortName: TD_CTP
MsgType to Print: 206
[0] (st)1 (so)1 (na)1510641601378381049 (en)0 (vn)20171114-14:40:01 (fl)302 (dl)264 (hl)38 (hs)4109164010 (mt)206 (lf)1 (id)8000122 (er)0 (cn)9999078622
BrokerID: (c11) 9999
UserID: (c16) 078622
InvestorID: (c19) 078622
BusinessUnit: (c21)
InstrumentID: (c31) rb1801
OrderRef: (c21) 124
ExchangeID: (c11) SHFE
TradeID: (c21) 125394
OrderSysID: (c31) 196229
ParticipantID: (c11) 9999
ClientID: (c21) 9999078602
Price: (d) 3946
Volume: (i) 1
TradingDay: (c13) 20171114
TradeTime: (c13) 14:40:00
Direction: (t) Sell
OffsetFlag: (t) Open
HedgeFlag: (t) Speculation
$ yjj dump -f /shared/kungfu/journal/MD/CTP/ -n MD_CTP -s 20171114-09:30:00 -e 20171114-16:00:00 -m 101 -o md_20171114.csv
$ head -n 5 md_20171114.csv
TradingDay(c13),InstrumentID(c31),ExchangeID(c9),ExchangeInstID(c64),LastPrice(d),PreSettlementPrice(d),PreClosePrice(d),PreOpenInterest(d),OpenPrice(d),HighestPrice(d),LowestPrice(d),Volume(i),Turnover(d),OpenInterest(d),ClosePrice(d),SettlementPrice(d),UpperLimitPrice(d),LowerLimitPrice(d),PreDelta(d),CurrDelta(d),UpdateTime(c13),UpdateMillisec(i),BidPrice1(d),BidVolume1(i),AskPrice1(d),AskVolume1(i),BidPrice2(d),BidVolume2(i),AskPrice2(d),AskVolume2(i),BidPrice3(d),BidVolume3(i),AskPrice3(d),AskVolume3(i),BidPrice4(d),BidVolume4(i),AskPrice4(d),AskVolume4(i),BidPrice5(d),BidVolume5(i),AskPrice5(d),AskVolume5(i),h_nano(l),h_msg_type(i),h_request_id(i),h_source(i),h_is_last(i),h_error_id(i),j_name(s)
20171114,rb1801,,,3941.0,3860.0,3894.0,1794552.0,3900.0,3950.0,3873.0,821770,32084979660.0,1697634.0,1.79769313486e+308,1.79769313486e+308,4130.0,3589.0,1.79769313486e+308,1.79769313486e+308,14:19:08,500,3941.0,24,3942.0,340,1.79769313486e+308,0,1.79769313486e+308,0,1.79769313486e+308,0,1.79769313486e+308,0,1.79769313486e+308,0,1.79769313486e+308,0,1.79769313486e+308,0,1.79769313486e+308,0,1510640349349309138,101,-1,1,1,0,MD_CTP
20171114,rb1801,,,3941.0,3860.0,3894.0,1794552.0,3900.0,3950.0,3873.0,821772,32085058480.0,1697634.0,1.79769313486e+308,1.79769313486e+308,4130.0,3589.0,1.79769313486e+308,1.79769313486e+308,14:19:09,0,3941.0,23,3942.0,341,1.79769313486e+308,0,1.79769313486e+308,0,1.79769313486e+308,0,1.79769313486e+308,0,1.79769313486e+308,0,1.79769313486e+308,0,1.79769313486e+308,0,1.79769313486e+308,0,1510640349845391063,101,-1,1,1,0,MD_CTP
20171114,rb1801,,,3941.0,3860.0,3894.0,1794552.0,3900.0,3950.0,3873.0,821814,32086713700.0,1697614.0,1.79769313486e+308,1.79769313486e+308,4130.0,3589.0,1.79769313486e+308,1.79769313486e+308,14:19:09,500,3941.0,4,3942.0,341,1.79769313486e+308,0,1.79769313486e+308,0,1.79769313486e+308,0,1.79769313486e+308,0,1.79769313486e+308,0,1.79769313486e+308,0,1.79769313486e+308,0,1.79769313486e+308,0,1510640350560025741,101,-1,1,1,0,MD_CTP
20171114,rb1801,,,3941.0,3860.0,3894.0,1794552.0,3900.0,3950.0,3873.0,821824,32087107800.0,1697616.0,1.79769313486e+308,1.79769313486e+308,4130.0,3589.0,1.79769313486e+308,1.79769313486e+308,14:19:10,0,3940.0,22,3942.0,343,1.79769313486e+308,0,1.79769313486e+308,0,1.79769313486e+308,0,1.79769313486e+308,0,1.79769313486e+308,0,1.79769313486e+308,0,1.79769313486e+308,0,1.79769313486e+308,0,1510640351260245676,101,-1,1,1,0,MD_CTP
委托记录:
$ wingchun report -n band_demo -o
+--------------------------------------------------------------------------------------------------+
| Kungfu order latency report |
+-----------+-----------------+--------------+----------+----------+----------+--------------+-----+
| order_id | rcv_time | TTT(ns) | ticker | price | volume | offset | dir |
+-----------+-----------------+--------------+----------+----------+----------+--------------+-----+
| 8000000|20171114-14:28:03| 325659| rb1801| 3589.0| 1| Open| Sell|
+-----------+-----------------+--------------+----------+----------+----------+--------------+-----+
| 8000001|20171114-14:28:08| 166371| rb1801| 4130.0| 1| CloseToday| Buy|
+-----------+-----------------+--------------+----------+----------+----------+--------------+-----+
| 8000002|20171114-14:28:08| 102215| rb1801| 3589.0| 1| Open| Sell|
+-----------+-----------------+--------------+----------+----------+----------+--------------+-----+
| 8000003|20171114-14:28:17| 170853| rb1801| 4130.0| 1| CloseToday| Buy|
+-----------+-----------------+--------------+----------+----------+----------+--------------+-----+
| 8000004|20171114-14:28:26| 184837| rb1801| 3589.0| 1| Open| Sell|
+-----------+-----------------+--------------+----------+----------+----------+--------------+-----+
成交记录:
$ wingchun report -n band_demo -t
+-------------------------------------------------------------------------------------------+
| Kungfu trade latency report |
+-----------+---+-----------------+--------------+----------+---------+----------+----------+
| order_id |idx| rcv_time | OTR(ns) | ticker | t_time | t_price | t_volume |
+-----------+---+-----------------+--------------+----------+---------+----------+----------+
| 8000000| 1|20171114-14:28:03| 64549194| rb1801| 14:28:03| 3938.0| 1|
+-----------+---+-----------------+--------------+----------+---------+----------+----------+
| 8000000| 2|20171114-14:41:32| 808582415662| rb1801| 14:41:31| 3946.0| 1|
+-----------+---+-----------------+--------------+----------+---------+----------+----------+
| 8000001| 1|20171114-14:28:08| 66985968| rb1801| 14:28:07| 3939.0| 1|
+-----------+---+-----------------+--------------+----------+---------+----------+----------+
| 8000001| 2|20171114-14:42:11| 843622609364| rb1801| 14:42:11| 3948.0| 1|
+-----------+---+-----------------+--------------+----------+---------+----------+----------+
延迟统计:
$ wingchun report -n band_demo -a
+------------------------------------------------------------------------------------------------------+
| Kungfu latency statistics |
+------+-------------------+--------------+--------------+--------------+--------------+-------+-------+
| type | description | max(ns) | min(ns) | mean(ns) | std(ns) | valid | total |
+------+-------------------+--------------+--------------+--------------+--------------+-------+-------+
| TTT | tick-to-trade | 458974| 72643| 134050| 4.79453e+04| 259| 259|
+------+-------------------+--------------+--------------+--------------+--------------+-------+-------+
| STR | strategy calc | 91147| 16910| 27060| 9.12920e+03| 259| 259|
+------+-------------------+--------------+--------------+--------------+--------------+-------+-------+
| OTR | (order-to-return) | |
+------+-------------------+--------------+--------------+--------------+--------------+-------+-------+
| | rsp order insert | 0| 0| 0| 0.00000e+00| 0| 259|
+------+-------------------+--------------+--------------+--------------+--------------+-------+-------+
| | first rtn order | 295907970| 31956202| 40422306| 3.33506e+07| 259| 259|
+------+-------------------+--------------+--------------+--------------+--------------+-------+-------+
| | first rtn trade | 358749574| 35815971| 82466795| 6.17791e+07| 259| 259|
+------+-------------------+--------------+--------------+--------------+--------------+-------+-------+
| | all rtn trade | 358749574| 35815971| 9758236640| -nan| 262| 262|
+------+-------------------+--------------+--------------+--------------+--------------+-------+-------+
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