[调整CTA基础组件]

vnpy/app/cta_strategy_pro/__init__.py

@@ -1,18 +1,13 @@
 from pathlib import Path
 
 from vnpy.trader.app import BaseApp
-from vnpy.trader.constant import Direction,Offset,Status,Color
+from .base import APP_NAME, StopOrder
-from vnpy.trader.object import TickData, BarData, TradeData, OrderData
-from vnpy.trader.utility import BarGenerator, ArrayManager
-from .cta_position import CtaPosition
-from .cta_line_bar import CtaLineBar, CtaMinuteBar, CtaHourBar, CtaDayBar, CtaWeekBar
-from .base import APP_NAME, StopOrder, CtaComponent
-from .cta_policy import CtaPolicy
-from .cta_grid_trade import CtaGrid, CtaGridTrade
 
 from .engine import CtaEngine
 
 from .template import CtaTemplate, CtaSignal, TargetPosTemplate, CtaProTemplate, CtaProFutureTemplate
+from .template_spread import CtaSpreadTemplate
+
 
 class CtaStrategyProApp(BaseApp):
     """"""

vnpy/app/cta_strategy_pro/back_testing.py

@@ -1916,11 +1916,13 @@ class BackTestingEngine(object):
         # 今仓 =》 昨仓
         for holding in self.holdings.values():
             if holding.long_td > 0:
-                self.write_log(f'{holding.vt_symbol} 多单今仓{holding.long_td},昨仓:{holding.long_yd}=> 昨仓:{holding.long_pos}')
+                self.write_log(
+                    f'{holding.vt_symbol} 多单今仓{holding.long_td},昨仓:{holding.long_yd}=> 昨仓:{holding.long_pos}')
                 holding.long_td = 0
                 holding.long_yd = holding.long_pos
             if holding.short_td > 0:
-                self.write_log(f'{holding.vt_symbol} 空单今仓{holding.short_td},昨仓:{holding.short_yd}=> 昨仓:{holding.short_pos}')
+                self.write_log(
+                    f'{holding.vt_symbol} 空单今仓{holding.short_td},昨仓:{holding.short_yd}=> 昨仓:{holding.short_pos}')
                 holding.short_td = 0
                 holding.short_yd = holding.short_pos
 

vnpy/app/cta_strategy_pro/base.py

@@ -1,12 +1,10 @@
 """
 Defines constants and objects used in CtaStrategyPro App.
 """
-import sys
+
-from abc import ABC
 from dataclasses import dataclass, field
 from enum import Enum
 from datetime import timedelta
-from logging import INFO, ERROR
 from vnpy.trader.constant import Direction, Offset, Interval
 
 APP_NAME = "CtaStrategyPro"
@@ -29,46 +27,6 @@ class BacktestingMode(Enum):
     TICK = 2
 
 
-class Area(Enum):
-    """ Kline area """
-    LONG_A = 'LONG_A'
-    LONG_B = 'LONG_B'
-    LONG_C = 'LONG_C'
-    LONG_D = 'LONG_D'
-    LONG_E = 'LONG_E'
-    SHORT_A = 'SHORT_A'
-    SHORT_B = 'SHORT_B'
-    SHORT_C = 'SHORT_C'
-    SHORT_D = 'SHORT_D'
-    SHORT_E = 'SHORT_E'
-
-
-# 各类商品所在市场，underly_symbol: price_tick
-# 上期所夜盘，9:00~10:15, 10:30~11:30, 13:30~15:00,  21:00 ~2:30
-NIGHT_MARKET_SQ1 = {'AU': 0.05, 'AG': 1, 'SC': 0.1}
-# 上期所夜盘，9:00~10:15, 10:30~11:30, 13:30~15:00,  21:00 ~1:00
-NIGHT_MARKET_SQ2 = {'CU': 10, 'PB': 5, 'AL': 5, 'ZN': 5, 'WR': 1, 'NI': 10}
-# 上期所夜盘，9:00~10:15, 10:30~11:30, 13:30~15:00,  21:00 ~23:00
-NIGHT_MARKET_SQ3 = {'RU': 5, 'RB': 1, 'HC': 1, 'SP': 2, 'FU': 1, 'BU': 2, 'NR': 5, 'C': 1, 'CS': 1}
-# 郑商所夜盘，9:00~10:15, 10:30~11:30, 13:30~15:00, 21:00 ~23:00
-NIGHT_MARKET_ZZ = {'TA': 2, 'JR': 1, 'OI': 0, 'RO': 1, 'PM': 1, 'WH': 1, 'CF': 5, 'SR': 0, 'FG': 1,
-                   'MA': 1, 'RS': 1, 'RM': 1, 'RI': 1, 'ZC': 0.2}
-# 大商所夜盘，9:00~10:15, 10:30~11:30, 13:30~15:00, 21:00 ~23:00
-NIGHT_MARKET_DL = {'V': 5, 'L': 5, 'BB': 0.05, 'I': 0.5, 'FB': 0.05, 'C': 1, 'PP': 1, 'A': 1, 'B': 1, 'M': 1, 'Y': 2,
-                   'P': 2,
-                   'JM': 0.5, 'J': 0.5, 'EG': 1}
-# 中金日盘，9:15 ~11:30, 13:00~15:15
-MARKET_ZJ = {'IC': 0.2, 'IF': 0.2, 'IH': 0.2, 'T': 0.005, 'TF': 0.005, 'TS': 0.005}
-
-# 只有日盘得合约
-MARKET_DAY_ONLY = {'IC': 0.2, 'IF': 0.2, 'IH': 0.2, 'T': 0.005, 'TF': 0.005, 'TS': 0.005,
-                   'JD': 1, 'BB': 0.05, 'CS': 1, 'FB': 0.05, 'L': 5, 'V': 5,
-                   'JR': 1, 'LR': 1, 'PM': 1, 'RI': 1, 'RS': 1, 'SM': 2, 'WH': 1, 'AP': 1, 'CJ': 1, 'UR': 1}
-
-# 夜盘23:00收盘的合约
-NIGHT_MARKET_23 = {**NIGHT_MARKET_DL, **NIGHT_MARKET_ZZ, **NIGHT_MARKET_SQ3}
-
-
 @dataclass
 class StopOrder:
     vt_symbol: str
@@ -93,28 +51,3 @@ INTERVAL_DELTA_MAP = {
     Interval.HOUR: timedelta(hours=1),
     Interval.DAILY: timedelta(days=1),
 }
-
-
-class CtaComponent(ABC):
-    """ CTA策略基础组件"""
-
-    def __init__(self, strategy=None, **kwargs):
-        """
-        构造
-        :param strategy:
-        """
-        self.strategy = strategy
-
-    def write_log(self, content: str):
-        """记录日志"""
-        if self.strategy:
-            self.strategy.write_log(msg=content, level=INFO)
-        else:
-            print(content)
-
-    def write_error(self, content: str, level: int = ERROR):
-        """记录错误日志"""
-        if self.strategy:
-            self.strategy.write_log(msg=content, level=level)
-        else:
-            print(content, file=sys.stderr)

vnpy/app/cta_strategy_pro/engine.py

@@ -60,11 +60,10 @@ from .base import (
     StopOrder,
     StopOrderStatus,
     STOPORDER_PREFIX,
-    MARKET_DAY_ONLY
-
 )
 from .template import CtaTemplate
-from .cta_position import CtaPosition
+from vnpy.component.base import MARKET_DAY_ONLY
+from vnpy.component.cta_position import CtaPosition
 
 STOP_STATUS_MAP = {
     Status.SUBMITTING: StopOrderStatus.WAITING,

vnpy/app/cta_strategy_pro/spread_testing.py

@@ -12,7 +12,7 @@ import os
 import gc
 import pandas as pd
 import traceback
-import random
+
 import bz2
 import pickle
 
@@ -21,15 +21,12 @@ from time import sleep
 
 from vnpy.trader.object import (
     TickData,
-    BarData,
-    RenkoBarData,
 )
 from vnpy.trader.constant import (
     Exchange,
 )
 
 from vnpy.trader.utility import (
-    get_trading_date,
     extract_vt_symbol,
     get_underlying_symbol,
     import_module_by_str
@@ -46,6 +43,7 @@ VN_EXCHANGE_TICKFOLDER_MAP = {
     Exchange.INE.value: 'SQ'
 }
 
+
 class SpreadTestingEngine(BackTestingEngine):
     """
     CTA套利组合回测引擎, 使用回测引擎作为父类
@@ -231,7 +229,6 @@ class SpreadTestingEngine(BackTestingEngine):
                     tick_date.strftime('%Y%m%d'),
                     '{}{}_{}.csv'.format(underly_symbol.upper(), symbol[-2:], tick_date.strftime('%Y%m%d'))))
 
-
         ticks = []
         if not os.path.isfile(file_path):
             self.write_log(u'{0}文件不存在'.format(file_path))

vnpy/app/cta_strategy_pro/template.py

@@ -16,8 +16,8 @@ from vnpy.trader.object import BarData, TickData, OrderData, TradeData
 from vnpy.trader.utility import virtual, append_data, extract_vt_symbol, get_underlying_symbol
 
 from .base import StopOrder, EngineType
-from .cta_grid_trade import CtaGrid, CtaGridTrade, LOCK_GRID
+from vnpy.component.cta_grid_trade import CtaGrid, CtaGridTrade, LOCK_GRID
-from .cta_position import CtaPosition
+from vnpy.component.cta_position import CtaPosition
 
 
 class CtaTemplate(ABC):

vnpy/app/cta_strategy_pro/template_spread.py

@@ -815,7 +815,7 @@ class CtaSpreadTemplate(CtaTemplate):
                         # 开空委托单
                         if order_info['direction'] == Direction.SHORT:
                             short_price = self.cta_engine.get_price(order_vt_symbol) \
-                                          - self.cta_engine.get_price_tick(order_vt_symbol)
+                                          - self.cta_engine.get_price_tick(order_vt_symbol)  # noqa
 
                             self.write_log(u'重新提交{}开空委托,开空价{}，v:{}'
                                            .format(order_vt_symbol, short_price, order_volume))
@@ -834,7 +834,7 @@ class CtaSpreadTemplate(CtaTemplate):
                         else:
 
                             buy_price = self.cta_engine.get_price(order_vt_symbol) \
-                                        + self.cta_engine.get_price_tick(order_vt_symbol)
+                                        + self.cta_engine.get_price_tick(order_vt_symbol)  # noqa
                             self.write_log(u'重新提交{}开多委托,开多价{}，v:{}'
                                            .format(order_vt_symbol, buy_price, order_volume))
                             vt_orderids = self.buy(price=buy_price,
@@ -869,8 +869,9 @@ class CtaSpreadTemplate(CtaTemplate):
                         # 属于平空委托单
                         else:
                             cover_price = self.cta_engine.get_price(order_vt_symbol) \
-                                          + self.cta_engine.get_price_tick(order_vt_symbol)
+                                          + self.cta_engine.get_price_tick(order_vt_symbol)  # noqa
-                            self.write_log(u'重新提交{}平空委托,委托价{}，v:{}'.format(order_vt_symbol, cover_price, order_volume))
+                            self.write_log(u'重新提交{}平空委托,委托价{}，v:{}'
+                                           .format(order_vt_symbol, cover_price, order_volume))
                             vt_orderids = self.cover(price=cover_price,
                                                      volume=order_volume,
                                                      vt_symbol=order_vt_symbol,

vnpy/component/base.py

@@ -0,0 +1,72 @@
+"""
+定义appc常使用的基础组件
+"""
+import sys
+from abc import ABC
+from enum import Enum
+from logging import INFO, ERROR
+
+
+class Area(Enum):
+    """ Kline area """
+    LONG_A = 'LONG_A'
+    LONG_B = 'LONG_B'
+    LONG_C = 'LONG_C'
+    LONG_D = 'LONG_D'
+    LONG_E = 'LONG_E'
+    SHORT_A = 'SHORT_A'
+    SHORT_B = 'SHORT_B'
+    SHORT_C = 'SHORT_C'
+    SHORT_D = 'SHORT_D'
+    SHORT_E = 'SHORT_E'
+
+
+# 各类商品所在市场，underly_symbol: price_tick
+# 上期所夜盘，9:00~10:15, 10:30~11:30, 13:30~15:00,  21:00 ~2:30
+NIGHT_MARKET_SQ1 = {'AU': 0.05, 'AG': 1, 'SC': 0.1}
+# 上期所夜盘，9:00~10:15, 10:30~11:30, 13:30~15:00,  21:00 ~1:00
+NIGHT_MARKET_SQ2 = {'CU': 10, 'PB': 5, 'AL': 5, 'ZN': 5, 'WR': 1, 'NI': 10}
+# 上期所夜盘，9:00~10:15, 10:30~11:30, 13:30~15:00,  21:00 ~23:00
+NIGHT_MARKET_SQ3 = {'RU': 5, 'RB': 1, 'HC': 1, 'SP': 2, 'FU': 1, 'BU': 2, 'NR': 5, 'C': 1, 'CS': 1}
+# 郑商所夜盘，9:00~10:15, 10:30~11:30, 13:30~15:00, 21:00 ~23:00
+NIGHT_MARKET_ZZ = {'TA': 2, 'JR': 1, 'OI': 0, 'RO': 1, 'PM': 1, 'WH': 1, 'CF': 5, 'SR': 0, 'FG': 1,
+                   'MA': 1, 'RS': 1, 'RM': 1, 'RI': 1, 'ZC': 0.2}
+# 大商所夜盘，9:00~10:15, 10:30~11:30, 13:30~15:00, 21:00 ~23:00
+NIGHT_MARKET_DL = {'V': 5, 'L': 5, 'BB': 0.05, 'I': 0.5, 'FB': 0.05, 'C': 1, 'PP': 1, 'A': 1, 'B': 1, 'M': 1, 'Y': 2,
+                   'P': 2,
+                   'JM': 0.5, 'J': 0.5, 'EG': 1}
+# 中金日盘，9:15 ~11:30, 13:00~15:15
+MARKET_ZJ = {'IC': 0.2, 'IF': 0.2, 'IH': 0.2, 'T': 0.005, 'TF': 0.005, 'TS': 0.005}
+
+# 只有日盘得合约
+MARKET_DAY_ONLY = {'IC': 0.2, 'IF': 0.2, 'IH': 0.2, 'T': 0.005, 'TF': 0.005, 'TS': 0.005,
+                   'JD': 1, 'BB': 0.05, 'CS': 1, 'FB': 0.05, 'L': 5, 'V': 5,
+                   'JR': 1, 'LR': 1, 'PM': 1, 'RI': 1, 'RS': 1, 'SM': 2, 'WH': 1, 'AP': 1, 'CJ': 1, 'UR': 1}
+
+# 夜盘23:00收盘的合约
+NIGHT_MARKET_23 = {**NIGHT_MARKET_DL, **NIGHT_MARKET_ZZ, **NIGHT_MARKET_SQ3}
+
+
+class CtaComponent(ABC):
+    """ CTA策略基础组件"""
+
+    def __init__(self, strategy=None, **kwargs):
+        """
+        构造
+        :param strategy:
+        """
+        self.strategy = strategy
+
+    def write_log(self, content: str):
+        """记录日志"""
+        if self.strategy:
+            self.strategy.write_log(msg=content, level=INFO)
+        else:
+            print(content)
+
+    def write_error(self, content: str, level: int = ERROR):
+        """记录错误日志"""
+        if self.strategy:
+            self.strategy.write_log(msg=content, level=level)
+        else:
+            print(content, file=sys.stderr)

vnpy/component/cta_grid_trade.py

@@ -10,7 +10,7 @@ import traceback
 from collections import OrderedDict
 from datetime import datetime
 from vnpy.trader.utility import get_folder_path
-from vnpy.app.cta_strategy_pro.base import Direction, CtaComponent
+from vnpy.component.base import Direction, CtaComponent
 
 """
 网格交易，用于套利单

vnpy/component/cta_line_bar.py

@@ -16,17 +16,16 @@ import csv
 
 from collections import OrderedDict
 from datetime import datetime, timedelta
-
 from pykalman import KalmanFilter
 
-from vnpy.app.cta_strategy_pro.base import (
+from vnpy.component.base import (
     Direction,
     Area,
     MARKET_DAY_ONLY,
     NIGHT_MARKET_23,
     NIGHT_MARKET_SQ2,
     MARKET_ZJ)
-from vnpy.app.cta_strategy_pro.cta_period import CtaPeriod, Period
+from vnpy.component.cta_period import CtaPeriod, Period
 from vnpy.trader.object import BarData, TickData
 from vnpy.trader.constant import Interval, Color
 from vnpy.trader.utility import round_to, get_trading_date, get_underlying_symbol

vnpy/component/cta_policy.py

@@ -4,7 +4,7 @@ import os
 import json
 from datetime import datetime
 from collections import OrderedDict
-from vnpy.app.cta_strategy_pro.base import CtaComponent
+from vnpy.component.base import CtaComponent
 from vnpy.trader.utility import get_folder_path
 
 TNS_STATUS_OBSERVATE = 'observate'

vnpy/component/cta_position.py

@@ -1,8 +1,7 @@
 # encoding: UTF-8
 
 import sys
-
+from vnpy.component.base import Direction, CtaComponent
-from vnpy.app.cta_strategy_pro.base import Direction, CtaComponent
 
 
 class CtaPosition(CtaComponent):

vnpy/component/test_line_bar_01.py

@@ -17,7 +17,7 @@ os.environ["VNPY_TESTING"] = "1"
 from vnpy.trader.constant import Interval, Exchange
 from vnpy.data.tdx.tdx_common import FakeStrategy
 from vnpy.data.tdx.tdx_future_data import TdxFutureData
-from vnpy.app.cta_strategy_pro.cta_line_bar import CtaLineBar
+from vnpy.component.cta_line_bar import CtaLineBar
 from vnpy.trader.object import TickData
 from vnpy.trader.utility import get_trading_date
 

vnpy/component/test_line_bar_02.py

@@ -18,7 +18,7 @@ os.environ["VNPY_TESTING"] = "1"
 
 from vnpy.trader.constant import Interval, Exchange
 from vnpy.trader.object import BarData
-from vnpy.app.cta_strategy_pro.cta_line_bar import (
+from vnpy.component.cta_line_bar import (
  CtaLineBar,
  CtaMinuteBar,
  CtaHourBar,

vnpy/trader/object.py

@@ -118,6 +118,7 @@ class RenkoBarData(BarData):
     low_time = None  # 最后一次进入低位区域的时间
     high_time = None  # 最后一次进入高位区域的时间
 
+
 @dataclass
 class OrderData(BaseData):
     """