johncky/NiuNiuAlgo

FutuHook

algo trading on FutuNiuNiu broker

Dashboard Interface

Dashboard

Functions:

1. Retrieves strategies' performances and positions
2. Serve dashboard webpages
3. Pause, Resume, Tune Algos

Run

    import FutuAlgo
    
    if __name__ == '__main__':
        app = FutuAlgo.WebApp()
        app.run(port=8522, hook_ip='http://127.0.0.1:8000')

FutuHook

1. Maintain Connection to Futu OpenD, broadcast data thorugh ZMQ
2. Save data to MySQL db
3. Data downloads, subscription changes
4. Place, modify, cancel orders

How to run?

1. Install and run FutuOpenD: https://www.futunn.com/download/openAPI?lang=en-US
2. Install and run MySQL database: https://www.mysql.com/downloads/
3. Set environment variables:

• SANIC_HOST : host for sanic app (e.g. 0.0.0.0)
• SANIC_PORT: port for sanic app (e.g. 8000)
• FUTU_TRADE_PWD: trade unlock password for Futu
• FUTU_HOST: host for Futu OpenD
• FUTU_PORT: port for Futu OpenD
• ZMQ_PORT: port for ZMQ
• MYSQL_DB: name of the db
• MYSQL_HOST: host for MySQL
• MYSQL_USER: user for MySQL
• MYSQL_PWD: password for MySQLr

    import FutuAlgo

    INIT_DATATYPE = ['K_3M', 'K_5M', 'QUOTE']
    INIT_TICKERS = ['HK.00700', 'HK_FUTURE.999010']
    futu_hook = FutuAlgo.FutuHook()
    futu_hook.subscribe(datatypes=INIT_DATATYPE, tickers=INIT_TICKERS)
    futu_hook.run(fill_db=True)

Algo

Functions:

1. Listen to FutuHook and receive price updates
2. Trigger events on receiving data
3. Retrieving strategy infos through Sanic(returns, positions, pending orders etc)

Example: SMA Crossover

import FutuAlgo

class SMACrossover(FutuAlgo.CandlestickStrategy):
    def __init__(self, short, long):
        super().__init__(name='SMA Crossover ({}, {})'.format(short, long), bars_no=long + 1)
        self.short = short
        self.long = long

    async def on_bar(self, datatype, ticker, df):
        df['SMA_short'] = talib.SMA(df['close'], timeperiod=self.short)
        df['SMA_long'] = talib.SMA(df['close'], timeperiod=self.long)

        sma_short_last = df['SMA_short'].iloc[-2]
        sma_short_cur = df['SMA_short'].iloc[-1]

        sma_long_last = df['SMA_long'].iloc[-2]
        sma_long_cur = df['SMA_long'].iloc[-1]

        if (sma_short_last <= sma_long_last) and (sma_short_cur > sma_long_cur) and (self.get_qty(ticker) == 0):
            self.buy_limit(ticker=ticker, quantity=self.cal_max_buy_qty(ticker),
                           price=self.get_price(ticker=ticker))

        elif (sma_short_last >= sma_long_last) and (sma_short_cur < sma_long_cur) and (self.get_qty(ticker) > 0):
            self.sell_limit(ticker=ticker, quantity=self.get_qty(ticker),
                                  price=self.get_price(ticker=ticker))

    async def on_order_update(self, order_id, df):
        pass
        
    async def on_orderbook(self, ticker, df):
        pass

    async def on_other_data(self, datatype, ticker, df):
        pass

    async def on_quote(self, ticker, df):
        pass

    async def on_tick(self, ticker, df):
        pass

Run an Algo

    algo = SMACrossover(short=10, long=20)
    algo.initialize(initial_capital=100000.0, margin=100000.0, mq_ip='tcp://127.0.0.1:8001',
                    hook_ip='http://127.0.0.1:8000',
                    hook_name='FUTU', trading_environment='SIMULATE',
                    trading_universe=['HK.00700', 'HK.01299'], datatypes=['K_3M'])
    algo.run(5000)

Backtesting

import FutuAlgo

class SMACrossover(FutuAlgo.Backtest):
    def __init__(self, short, long):
        super().__init__(name='SMA Crossover ({}, {})'.format(short, long), bars_no=long+1)
        self.short = short
        self.long = long

    async def on_bar(self, datatype, ticker, df):
        df['SMA_short'] = talib.SMA(df['close'], timeperiod=self.short)
        df['SMA_long'] = talib.SMA(df['close'], timeperiod=self.long)
        sma_short_last = df['SMA_short'].iloc[-2]
        sma_short_cur = df['SMA_short'].iloc[-1]

        sma_long_last = df['SMA_long'].iloc[-2]
        sma_long_cur = df['SMA_long'].iloc[-1]


        if (sma_short_last <= sma_long_last) and (sma_short_cur > sma_long_cur) and (self.get_qty(ticker) == 0):
            self.buy_limit(ticker=ticker, quantity=self.cal_max_buy_qty(ticker),
                           price=self.get_price(ticker=ticker))

        elif (sma_short_last >= sma_long_last) and (sma_short_cur < sma_long_cur) and (self.get_qty(ticker) > 0):
            self.sell_limit(ticker=ticker, quantity=self.get_qty(ticker),
                                  price=self.get_price(ticker=ticker))

    async def on_order_update(self, order_id, df):
        pass

    async def on_orderbook(self, ticker, df):
        pass

    async def on_other_data(self, datatype, ticker, df):
        pass

    async def on_quote(self, ticker, df):
        pass

    async def on_tick(self, ticker, df):
        pass


if __name__ == '__main__':
    algo = SMACrossover(short=16,long=32)
    algo.initialize(initial_capital=200000.0, margin=200000.0, mq_ip='tcp://127.0.0.1:8001',
                    hook_ip='http://127.0.0.1:8000',
                    hook_name='FUTU', trading_environment='BACKTEST',
                    trading_universe=['HK.00700', 'HK.54544554','HK.00388'], datatypes=['K_DAY'], spread=0)
    algo.backtest(start_date = '2020-04-01', end_date = '2020-05-01')

Backtesting report

    # Use tencent 0700 as benchmark. This will open a webbrowser showing the full report.
    algo.report(benchmark='0700.HK')