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[调整CTA基础组件]

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This commit is contained in:
msincenselee 2020-03-09 21:52:29 +08:00
parent 4ffbd50496
commit 000ccfef81
18 changed files with 148 additions and 150 deletions
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11
vnpy/app/cta_strategy_pro/__init__.py
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@ -1,18 +1,13 @@
from pathlib import Path from pathlib import Path
from vnpy.trader.app import BaseApp 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 .engine import CtaEngine
from .template import CtaTemplate, CtaSignal, TargetPosTemplate, CtaProTemplate, CtaProFutureTemplate from .template import CtaTemplate, CtaSignal, TargetPosTemplate, CtaProTemplate, CtaProFutureTemplate
from .template_spread import CtaSpreadTemplate
class CtaStrategyProApp(BaseApp): class CtaStrategyProApp(BaseApp):
"""""" """"""

12
vnpy/app/cta_strategy_pro/back_testing.py
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@ -132,7 +132,7 @@ class BackTestingEngine(object):
self.long_position_list = [] # 多单持仓 self.long_position_list = [] # 多单持仓
self.short_position_list = [] # 空单持仓 self.short_position_list = [] # 空单持仓
self.holdings = {} # 多空持仓 self.holdings = {} # 多空持仓
# 当前最新数据，用于模拟成交用 # 当前最新数据，用于模拟成交用
self.gateway_name = u'BackTest' self.gateway_name = u'BackTest'
@ -370,7 +370,7 @@ class BackTestingEngine(object):
holding = self.holdings.get(k, None) holding = self.holdings.get(k, None)
if not holding: if not holding:
symbol, exchange = extract_vt_symbol(vt_symbol) symbol, exchange = extract_vt_symbol(vt_symbol)
if self.contract_type== 'future': if self.contract_type == 'future':
product = Product.FUTURES product = Product.FUTURES
elif self.contract_type == 'stock': elif self.contract_type == 'stock':
product = Product.EQUITY product = Product.EQUITY
@ -1901,7 +1901,7 @@ class BackTestingEngine(object):
self.daily_max_drawdown_rate = drawdown_rate self.daily_max_drawdown_rate = drawdown_rate
self.max_drawdown_rate_time = data['date'] self.max_drawdown_rate_time = data['date']
msg = u'{}: net={}, capital={} max={} margin={} commission={}， pos: {}'\ msg = u'{}: net={}, capital={} max={} margin={} commission={}， pos: {}' \
.format(data['date'], .format(data['date'],
data['net'], c, m, data['net'], c, m,
today_holding_profit, today_holding_profit,
@ -1916,11 +1916,13 @@ class BackTestingEngine(object):
# 今仓 =》 昨仓 # 今仓 =》 昨仓
for holding in self.holdings.values(): for holding in self.holdings.values():
if holding.long_td > 0: 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_td = 0
holding.long_yd = holding.long_pos holding.long_yd = holding.long_pos
if holding.short_td > 0: 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_td = 0
holding.short_yd = holding.short_pos holding.short_yd = holding.short_pos

69
vnpy/app/cta_strategy_pro/base.py
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@ -1,12 +1,10 @@
""" """
Defines constants and objects used in CtaStrategyPro App. Defines constants and objects used in CtaStrategyPro App.
""" """
import sys
from abc import ABC
from dataclasses import dataclass, field from dataclasses import dataclass, field
from enum import Enum from enum import Enum
from datetime import timedelta from datetime import timedelta
from logging import INFO, ERROR
from vnpy.trader.constant import Direction, Offset, Interval from vnpy.trader.constant import Direction, Offset, Interval
APP_NAME = "CtaStrategyPro" APP_NAME = "CtaStrategyPro"
@ -29,46 +27,6 @@ class BacktestingMode(Enum):
TICK = 2 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 @dataclass
class StopOrder: class StopOrder:
vt_symbol: str vt_symbol: str
@ -93,28 +51,3 @@ INTERVAL_DELTA_MAP = {
Interval.HOUR: timedelta(hours=1), Interval.HOUR: timedelta(hours=1),
Interval.DAILY: timedelta(days=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)

5
vnpy/app/cta_strategy_pro/engine.py
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@ -60,11 +60,10 @@ from .base import (
StopOrder, StopOrder,
StopOrderStatus, StopOrderStatus,
STOPORDER_PREFIX, STOPORDER_PREFIX,
MARKET_DAY_ONLY
) )
from .template import CtaTemplate 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 = { STOP_STATUS_MAP = {
Status.SUBMITTING: StopOrderStatus.WAITING, Status.SUBMITTING: StopOrderStatus.WAITING,

11
vnpy/app/cta_strategy_pro/spread_testing.py
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@ -12,7 +12,7 @@ import os
import gc import gc
import pandas as pd import pandas as pd
import traceback import traceback
import random
import bz2 import bz2
import pickle import pickle
@ -21,15 +21,12 @@ from time import sleep
from vnpy.trader.object import ( from vnpy.trader.object import (
TickData, TickData,
BarData,
RenkoBarData,
) )
from vnpy.trader.constant import ( from vnpy.trader.constant import (
Exchange, Exchange,
) )
from vnpy.trader.utility import ( from vnpy.trader.utility import (
get_trading_date,
extract_vt_symbol, extract_vt_symbol,
get_underlying_symbol, get_underlying_symbol,
import_module_by_str import_module_by_str
@ -46,6 +43,7 @@ VN_EXCHANGE_TICKFOLDER_MAP = {
Exchange.INE.value: 'SQ' Exchange.INE.value: 'SQ'
} }
class SpreadTestingEngine(BackTestingEngine): class SpreadTestingEngine(BackTestingEngine):
""" """
CTA套利组合回测引擎, 使用回测引擎作为父类 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'), tick_date.strftime('%Y%m%d'),
'{}{}_{}.csv'.format(underly_symbol.upper(), symbol[-2:], tick_date.strftime('%Y%m%d')))) '{}{}_{}.csv'.format(underly_symbol.upper(), symbol[-2:], tick_date.strftime('%Y%m%d'))))
ticks = [] ticks = []
if not os.path.isfile(file_path): if not os.path.isfile(file_path):
self.write_log(u'{0}文件不存在'.format(file_path)) self.write_log(u'{0}文件不存在'.format(file_path))
@ -307,8 +304,8 @@ class SpreadTestingEngine(BackTestingEngine):
for vt_symbol in list(self.symbol_strategy_map.keys()): for vt_symbol in list(self.symbol_strategy_map.keys()):
symbol, exchange = extract_vt_symbol(vt_symbol) symbol, exchange = extract_vt_symbol(vt_symbol)
tick_list = self.load_csv_file(tick_folder=self.tick_path, tick_list = self.load_csv_file(tick_folder=self.tick_path,
vt_symbol=vt_symbol, vt_symbol=vt_symbol,
tick_date=test_day) tick_date=test_day)
if not tick_list or len(tick_list) == 0: if not tick_list or len(tick_list) == 0:
continue continue

4
vnpy/app/cta_strategy_pro/template.py
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@ -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 vnpy.trader.utility import virtual, append_data, extract_vt_symbol, get_underlying_symbol
from .base import StopOrder, EngineType 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): class CtaTemplate(ABC):

83
vnpy/app/cta_strategy_pro/template_spread.py
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@ -33,8 +33,8 @@ class CtaSpreadTemplate(CtaTemplate):
backtesting = False backtesting = False
cancel_seconds = 120 cancel_seconds = 120
allow_trading_open = True # 允许开仓 allow_trading_open = True # 允许开仓
force_trading_close = False # 强制平仓 force_trading_close = False # 强制平仓
# 逻辑过程日志 # 逻辑过程日志
dist_fieldnames = ['datetime', 'symbol', 'volume', 'price', dist_fieldnames = ['datetime', 'symbol', 'volume', 'price',
@ -815,7 +815,7 @@ class CtaSpreadTemplate(CtaTemplate):
# 开空委托单 # 开空委托单
if order_info['direction'] == Direction.SHORT: if order_info['direction'] == Direction.SHORT:
short_price = self.cta_engine.get_price(order_vt_symbol) \ 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:{}' self.write_log(u'重新提交{}开空委托,开空价{}，v:{}'
.format(order_vt_symbol, short_price, order_volume)) .format(order_vt_symbol, short_price, order_volume))
@ -834,7 +834,7 @@ class CtaSpreadTemplate(CtaTemplate):
else: else:
buy_price = self.cta_engine.get_price(order_vt_symbol) \ 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:{}' self.write_log(u'重新提交{}开多委托,开多价{}，v:{}'
.format(order_vt_symbol, buy_price, order_volume)) .format(order_vt_symbol, buy_price, order_volume))
vt_orderids = self.buy(price=buy_price, vt_orderids = self.buy(price=buy_price,
@ -869,8 +869,9 @@ class CtaSpreadTemplate(CtaTemplate):
# 属于平空委托单 # 属于平空委托单
else: else:
cover_price = self.cta_engine.get_price(order_vt_symbol) \ 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, vt_orderids = self.cover(price=cover_price,
volume=order_volume, volume=order_volume,
vt_symbol=order_vt_symbol, vt_symbol=order_vt_symbol,
@ -975,11 +976,11 @@ class CtaSpreadTemplate(CtaTemplate):
# 开空主动腿 # 开空主动腿
act_vt_orderids = self.short(vt_symbol=self.act_vt_symbol, act_vt_orderids = self.short(vt_symbol=self.act_vt_symbol,
price=self.cur_act_tick.bid_price1, price=self.cur_act_tick.bid_price1,
volume=grid.volume * self.act_vol_ratio, volume=grid.volume * self.act_vol_ratio,
order_type=self.order_type, order_type=self.order_type,
order_time=self.cur_datetime, order_time=self.cur_datetime,
grid=grid) grid=grid)
if not act_vt_orderids: if not act_vt_orderids:
self.write_error(f'spd_short，{self.act_vt_symbol}开空仓{grid.volume * self.act_vol_ratio}手失败，' self.write_error(f'spd_short，{self.act_vt_symbol}开空仓{grid.volume * self.act_vol_ratio}手失败，'
f'委托价:{self.cur_act_tick.bid_price1}') f'委托价:{self.cur_act_tick.bid_price1}')
@ -987,11 +988,11 @@ class CtaSpreadTemplate(CtaTemplate):
# 开多被动腿 # 开多被动腿
pas_vt_orderids = self.buy(vt_symbol=self.pas_vt_symbol, pas_vt_orderids = self.buy(vt_symbol=self.pas_vt_symbol,
price=self.cur_pas_tick.ask_price1, price=self.cur_pas_tick.ask_price1,
volume=grid.volume * self.pas_vol_ratio, volume=grid.volume * self.pas_vol_ratio,
order_type=self.order_type, order_type=self.order_type,
order_time=self.cur_datetime, order_time=self.cur_datetime,
grid=grid) grid=grid)
if not pas_vt_orderids: if not pas_vt_orderids:
self.write_error(f'spd_short，{self.pas_vt_symbol}开多仓{grid.volume * self.pas_vol_ratio}手失败，' self.write_error(f'spd_short，{self.pas_vt_symbol}开多仓{grid.volume * self.pas_vol_ratio}手失败，'
f'委托价:{self.cur_pas_tick.ask_price1}') f'委托价:{self.cur_pas_tick.ask_price1}')
@ -1034,11 +1035,11 @@ class CtaSpreadTemplate(CtaTemplate):
# 开多主动腿 # 开多主动腿
act_vt_orderids = self.buy(vt_symbol=self.act_vt_symbol, act_vt_orderids = self.buy(vt_symbol=self.act_vt_symbol,
price=self.cur_act_tick.ask_price1, price=self.cur_act_tick.ask_price1,
volume=grid.volume * self.act_vol_ratio, volume=grid.volume * self.act_vol_ratio,
order_type=self.order_type, order_type=self.order_type,
order_time=self.cur_datetime, order_time=self.cur_datetime,
grid=grid) grid=grid)
if not act_vt_orderids: if not act_vt_orderids:
self.write_error(f'spd_short，{self.act_vt_symbol}开多仓{grid.volume * self.act_vol_ratio}手失败，' self.write_error(f'spd_short，{self.act_vt_symbol}开多仓{grid.volume * self.act_vol_ratio}手失败，'
f'委托价:{self.cur_act_tick.ask_price1}') f'委托价:{self.cur_act_tick.ask_price1}')
@ -1046,11 +1047,11 @@ class CtaSpreadTemplate(CtaTemplate):
# 开空被动腿 # 开空被动腿
pas_vt_orderids = self.short(vt_symbol=self.pas_vt_symbol, pas_vt_orderids = self.short(vt_symbol=self.pas_vt_symbol,
price=self.cur_pas_tick.bid_price1, price=self.cur_pas_tick.bid_price1,
volume=grid.volume * self.pas_vol_ratio, volume=grid.volume * self.pas_vol_ratio,
order_type=self.order_type, order_type=self.order_type,
order_time=self.cur_datetime, order_time=self.cur_datetime,
grid=grid) grid=grid)
if not pas_vt_orderids: if not pas_vt_orderids:
self.write_error(f'spd_short，{self.pas_vt_symbol}开空仓{grid.volume * self.pas_vol_ratio}手失败，' self.write_error(f'spd_short，{self.pas_vt_symbol}开空仓{grid.volume * self.pas_vol_ratio}手失败，'
f'委托价:{self.cur_pas_tick.bid_price1}') f'委托价:{self.cur_pas_tick.bid_price1}')
@ -1105,11 +1106,11 @@ class CtaSpreadTemplate(CtaTemplate):
# 主动腿多单平仓 # 主动腿多单平仓
act_vt_orderids = self.sell(vt_symbol=self.act_vt_symbol, act_vt_orderids = self.sell(vt_symbol=self.act_vt_symbol,
price=self.cur_act_tick.bid_price1, price=self.cur_act_tick.bid_price1,
volume=grid.volume * self.act_vol_ratio, volume=grid.volume * self.act_vol_ratio,
order_type=self.order_type, order_type=self.order_type,
order_time=self.cur_datetime, order_time=self.cur_datetime,
grid=grid) grid=grid)
if not act_vt_orderids: if not act_vt_orderids:
self.write_error(f'spd_sell，{self.act_vt_symbol}多单平仓{grid.volume * self.act_vol_ratio}手失败，' self.write_error(f'spd_sell，{self.act_vt_symbol}多单平仓{grid.volume * self.act_vol_ratio}手失败，'
f'委托价:{self.cur_act_tick.bid_price1}') f'委托价:{self.cur_act_tick.bid_price1}')
@ -1117,11 +1118,11 @@ class CtaSpreadTemplate(CtaTemplate):
# 被动腿空单平仓 # 被动腿空单平仓
pas_vt_orderids = self.cover(vt_symbol=self.pas_vt_symbol, pas_vt_orderids = self.cover(vt_symbol=self.pas_vt_symbol,
price=self.cur_pas_tick.ask_price1, price=self.cur_pas_tick.ask_price1,
volume=grid.volume * self.pas_vol_ratio, volume=grid.volume * self.pas_vol_ratio,
order_type=self.order_type, order_type=self.order_type,
order_time=self.cur_datetime, order_time=self.cur_datetime,
grid=grid) grid=grid)
if not pas_vt_orderids: if not pas_vt_orderids:
self.write_error(f'spd_sell，{self.pas_vt_symbol}空单平仓{grid.volume * self.pas_vol_ratio}手失败，' self.write_error(f'spd_sell，{self.pas_vt_symbol}空单平仓{grid.volume * self.pas_vol_ratio}手失败，'
f'委托价:{self.cur_pas_tick.ask_price1}') f'委托价:{self.cur_pas_tick.ask_price1}')
@ -1181,11 +1182,11 @@ class CtaSpreadTemplate(CtaTemplate):
# 被动腿多单平仓 # 被动腿多单平仓
pas_vt_orderids = self.sell(vt_symbol=self.pas_vt_symbol, pas_vt_orderids = self.sell(vt_symbol=self.pas_vt_symbol,
price=self.cur_pas_tick.bid_price1, price=self.cur_pas_tick.bid_price1,
volume=grid.volume * self.pas_vol_ratio, volume=grid.volume * self.pas_vol_ratio,
order_type=self.order_type, order_type=self.order_type,
order_time=self.cur_datetime, order_time=self.cur_datetime,
grid=grid) grid=grid)
if not pas_vt_orderids: if not pas_vt_orderids:
self.write_error(f'spd_cover，{self.pas_vt_symbol}多单平仓{grid.volume * self.pas_vol_ratio}手失败，' self.write_error(f'spd_cover，{self.pas_vt_symbol}多单平仓{grid.volume * self.pas_vol_ratio}手失败，'
f'委托价:{self.cur_pas_tick.bid_price1}') f'委托价:{self.cur_pas_tick.bid_price1}')

0
vnpy/component/__init__.py Normal file
View File

72
vnpy/component/base.py Normal file
View File

@ -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)

2
vnpy/app/cta_strategy_pro/cta_grid_trade.py → vnpy/component/cta_grid_trade.py
View File

@ -10,7 +10,7 @@ import traceback
from collections import OrderedDict from collections import OrderedDict
from datetime import datetime from datetime import datetime
from vnpy.trader.utility import get_folder_path 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 网格交易，用于套利单

5
vnpy/app/cta_strategy_pro/cta_line_bar.py → vnpy/component/cta_line_bar.py
View File

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

12
vnpy/app/cta_strategy_pro/cta_period.py → vnpy/component/cta_period.py
View File

@ -20,15 +20,15 @@ class CtaPeriod(object):
def __init__(self, mode: Period, price: float, pre_mode: Period = Period.INIT, dt: datetime = None): def __init__(self, mode: Period, price: float, pre_mode: Period = Period.INIT, dt: datetime = None):
"""初始化函数""" """初始化函数"""
self.open = price # 开始价格 self.open = price # 开始价格
self.close = price # 结束价格 self.close = price # 结束价格
self.high = price # 最高价格 self.high = price # 最高价格
self.low = price # 最低价格 self.low = price # 最低价格
self.mode = mode # 周期模式 XXX self.mode = mode # 周期模式 XXX
self.pre_mode = pre_mode # 上一周期 self.pre_mode = pre_mode # 上一周期
self.datetime = dt if dt else datetime.now() # 周期的开始时间 self.datetime = dt if dt else datetime.now() # 周期的开始时间
def update_price(self, price): def update_price(self, price):
"""更新周期的价格""" """更新周期的价格"""

2
vnpy/app/cta_strategy_pro/cta_policy.py → vnpy/component/cta_policy.py
View File

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

3
vnpy/app/cta_strategy_pro/cta_position.py → vnpy/component/cta_position.py
View File

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

2
vnpy/app/cta_strategy_pro/test_line_bar_01.py → vnpy/component/test_line_bar_01.py
View File

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

2
vnpy/app/cta_strategy_pro/test_line_bar_02.py → vnpy/component/test_line_bar_02.py
View File

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

1
vnpy/trader/object.py
View File

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

2
vnpy/trader/utility.py
View File

@ -246,7 +246,7 @@ def get_icon_path(filepath: str, ico_name: str):
return str(icon_path) return str(icon_path)
def load_json(filename: str, auto_save : bool = True): def load_json(filename: str, auto_save: bool = True):
""" """
Load data from json file in temp path. Load data from json file in temp path.
""" """