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[update]

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This commit is contained in:
msincenselee 2020-03-28 21:00:33 +08:00
parent 7f7f1e97ea
commit 042e25fe7e
7 changed files with 55 additions and 99 deletions
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13
kill_celery.sh
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@ -1,13 +0,0 @@
#!/bin/bash
PROGRAM_NAME=celery
# Kill old processes
echo "-------PROGRAM_NAME1--------"
ID=`ps -ef | grep $PROGRAM_NAME | grep -v "$0" | grep -v "grep" | grep "python" | awk '{print $2}'`
echo $ID
for id in $ID
do
kill -9 $id
echo "killed $id"
done

2
run_celery.sh
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@ -1 +1 @@
celery -A vnpy.task.celery_app worker --max-tasks-per-child 1 -l info > tests/celery/worker.log 2>tests/celery/worker-error.log &
celery -A vnpy.task.celery_app worker --max-tasks-per-child 1 -l debug > tests/celery/worker.log 2>tests/celery/worker-error.log &

2
vnpy/app/cta_crypto/engine.py
View File

@ -592,7 +592,7 @@ class CtaEngine(BaseEngine):
order = self.main_engine.get_order(vt_orderid)
if not order:
self.write_log(msg=f"撤单失败，找不到委托{vt_orderid}",
strategy_name=strategy.strategy_name,
strategy_Name=strategy.strategy_name,
level=logging.ERROR)
return False

29
vnpy/app/cta_crypto/template.py
View File

@ -634,16 +634,6 @@ class CtaFutureTemplate(CtaTemplate):
self.gt.save()
self.display_grids()
def sync_data(self):
"""同步更新数据"""
if not self.backtesting:
self.write_log(u'保存k线缓存数据')
self.save_klines_to_cache()
if self.inited and self.trading:
self.write_log(u'保存policy数据')
self.policy.save()
def get_positions(self):
"""
获取策略当前持仓(重构，使用主力合约）
@ -787,7 +777,7 @@ class CtaFutureTemplate(CtaTemplate):
grid.open_status = True
self.write_log(f'{grid.direction.value}单已开仓完毕,order_price:{order.price}'
+ f',volume:{order.volume}')
self.gt.save()
# 网格的所有委托单部分执行完毕
else:
old_traded_volume = grid.traded_volume
@ -800,7 +790,6 @@ class CtaFutureTemplate(CtaTemplate):
self.write_log(f'剩余委托单号:{grid.order_ids}')
# 在策略得活动订单中，移除
self.write_log(f'移除活动订单:{order.vt_orderid}')
self.active_orders.pop(order.vt_orderid, None)
def on_order_open_canceled(self, order: OrderData):
@ -1014,17 +1003,21 @@ class CtaFutureTemplate(CtaTemplate):
# 发出平多委托
if grid.traded_volume > 0:
grid.volume -= grid.traded_volume
grid.volume = round(grid.volume, 7)
grid.traded_volume = 0
grid.volume = round(grid.volume, 7)
if 0 < self.account_pos.long_pos < grid.volume:
self.write_error(u'当前{}的多单持仓:{}，不满足平仓目标:{},强制降低'
if self.account_pos.volume <= 0:
self.write_error(u'当前{}的净持仓:{}，不能平多单'
.format(self.vt_symbol,
self.account_pos.long_pos,
self.account_pos.volume))
return False
if self.account_pos.volume < grid.volume:
self.write_error(u'当前{}的净持仓:{}，不满足平仓目标:{}, 强制降低'
.format(self.vt_symbol,
self.account_pos.volume,
grid.volume))
grid.volume = self.account_pos.long_pos
grid.volume = self.account_pos.volume
vt_orderids = self.sell(
vt_symbol=self.vt_symbol,

69
vnpy/component/cta_grid_trade.py
View File

@ -38,35 +38,48 @@ class CtaGrid(object):
包括交易方向，开仓价格，平仓价格，止损价格，开仓状态，平仓状态
"""
def __init__(self, **kwargs ):
def __init__(self,
direction: Direction = None,
open_price: float = 0,
close_price: float = 0,
stop_price: float = 0,
vt_symbol: str = '',
volume: float = 0,
traded_volume: float = 0,
order_status: bool = False,
open_status: bool = False,
close_status: bool = False,
open_time: datetime = None,
order_time: datetime = None,
reuse_count: int = 0,
type: str = ''
):
self.id: str = kwargs.get('id', str(uuid.uuid1())) # gid
self.direction = kwargs.get('direction', None) # 交易方向（LONG：多，正套；SHORT：空，反套）
if isinstance(self.direction, str):
self.direction = Direction(self.direction)
self.open_price = kwargs.get('open_price', 0) # 开仓价格
self.close_price = kwargs.get('close_price', 0) # 止盈价格
self.stop_price = kwargs.get('stop_price', 0) # 止损价格
self.vt_symbol = kwargs.get('vt_symbol', '') # 品种合约
self.volume = kwargs.get('volume', 0.0) # 开仓数量( 兼容数字货币 )
self.traded_volume = kwargs.get('traded_volume', 0.0) # 已成交数量 开仓时，为开仓数量，平仓时，为平仓数量
self.order_status = kwargs.get('order_status', False) # 挂单状态: True,已挂单，False，未挂单
self.order_ids = kwargs.get('order_ids',[]) # order_id list
self.open_status = kwargs.get('open_status', False) # 开仓状态
self.close_status = kwargs.get('close_status', False) # 平仓状态
self.open_time = kwargs.get('open_time', None) # 开仓时间
self.order_time = kwargs.get('order_time', None) # 委托时间
self.lock_grid_ids = kwargs.get('lock_grid_ids', []) # 锁单的网格，[gid,gid]
self.reuse_count = kwargs.get('reuse_count', 0) # 重用次数（0， 平仓后是否删除）
self.type = kwargs.get('type', '') # 网格类型标签
self.snapshot = kwargs.get('snapshot',{}) # 切片数据，如记录开仓点时的某些状态数据
self.id: str = str(uuid.uuid1()) # gid
self.direction = direction # 交易方向（LONG：多，正套；SHORT：空，反套）
self.open_price = open_price # 开仓价格
self.close_price = close_price # 止盈价格
self.stop_price = stop_price # 止损价格
self.vt_symbol = vt_symbol # 品种合约
self.volume = volume # 开仓数量( 兼容数字货币 )
self.traded_volume = traded_volume # 已成交数量 开仓时，为开仓数量，平仓时，为平仓数量
self.order_status = order_status # 挂单状态: True,已挂单，False，未挂单
self.order_ids = [] # order_id list
self.open_status = open_status # 开仓状态
self.close_status = close_status # 平仓状态
self.open_time = open_time # 开仓时间
self.order_time = order_time # 委托时间
self.lock_grid_ids = [] # 锁单的网格，[gid,gid]
self.reuse_count = reuse_count # 重用次数（0， 平仓后是否删除）
self.type = type # 网格类型标签
self.snapshot = {} # 切片数据，如记录开仓点时的某些状态数据
def to_json(self):
"""输出JSON"""
j = OrderedDict()
j['id'] = self.id
j['direction'] = self.direction.value if isinstance(self.direction, Direction) else ''
j['direction'] = self.direction.value if self.direction else ''
j['open_price'] = self.open_price # 开仓价格
j['close_price'] = self.close_price # 平仓价格
j['stop_price'] = self.stop_price # 止损价格
@ -77,7 +90,7 @@ class CtaGrid(object):
j['order_ids'] = self.order_ids # OrderId
j['open_status'] = self.open_status # 开仓状态
j['close_status'] = self.close_status # 平仓状态
j['lock_grid_ids'] = self.lock_grid_ids # 对锁的网格
j['lockGrids'] = self.lock_grid_ids # 对锁的网格
j['reuse_count'] = self.reuse_count # 是否重用
j['type'] = self.type # 类型
j['snapshot'] = self.snapshot # 切片数据
@ -111,7 +124,7 @@ class CtaGrid(object):
self.vt_symbol = j.get('vt_symbol', '')
self.volume = j.get('volume', 0.0)
self.traded_volume = j.get('traded_volume', 0.0) # 已交易的合约数量
self.lock_grid_ids = j.get('lock_grid_ids', [])
self.lock_grid_ids = j.get('lockGrids', [])
self.type = j.get('type', '')
self.reuse_count = j.get('reuse_count', 0)
@ -887,8 +900,8 @@ class CtaGridTrade(CtaComponent):
data[u'up_grids'] = up_grids
data[u'dn_grids'] = dn_grids
with open(grid_json_file, 'w', encoding='utf8') as f:
json_data = json.dumps(data, indent=4, ensure_ascii=True)
with open(grid_json_file, 'w') as f:
json_data = json.dumps(data, indent=4)
f.write(json_data)
self.write_log(u'GrideTrade保存文件{}完成'.format(grid_json_file))
@ -915,7 +928,7 @@ class CtaGridTrade(CtaComponent):
self.write_log(u'{}不存在，新建保存保存'.format(grid_json_file))
try:
with open(grid_json_file, 'w') as f:
json_data = json.dumps(data, indent=4, ensure_ascii=True)
json_data = json.dumps(data, indent=4)
f.write(json_data)
except Exception as ex:
self.write_log(u'写入网格文件{}异常:{}'.format(grid_json_file, str(ex)))
@ -938,7 +951,7 @@ class CtaGridTrade(CtaComponent):
grids = []
for grid_obj in json_grids:
grid = CtaGrid(**grid_obj)
grid = CtaGrid(grid_obj)
self.write_log(grid.to_str())

25
vnpy/data/renko/readme.md
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@ -1,25 +0,0 @@
期货砖块图数据
1.重建
砖图高度，为3，5，10, K3, K5, K10个最小跳动
从mongo数据库，获取最后一笔记录得日期/时间
从tdx数据源，获取历史分笔数据（开始时间，结束时间/当前时间， 合约代码）=》 Queue
从Queue=》 renko on Tick
2. 查询
从mongo数据库，获取数据。
缓存至本地(数量切片缓存)
返回K线记录
股票砖图数据
1.重建
砖图高度，为max(价格千分之一,0.01)得3，5，10个最小跳动
从mongo数据库，获取最后一笔记录得日期/时间
从tdx数据源，获取历史分笔数据（开始时间，结束时间/当前时间， 合约代码）=》 Queue
从Queue=》 renko on Tick
2. 查询
从mongo数据库，获取数据。
缓存至本地(数量切片缓存)
返回K线记录

14
vnpy/gateway/binancef/binancef_gateway.py
View File

@ -409,7 +409,7 @@ class BinancefRestApi(RestClient):
"side": DIRECTION_VT2BINANCEF[req.direction],
"type": ORDERTYPE_VT2BINANCEF[req.type],
"price": float(req.price),
"quantity": round(req.volume, 7),
"quantity": float(req.volume),
"newClientOrderId": orderid,
"newOrderRespType": "ACK"
}
@ -813,18 +813,6 @@ class BinancefTradeWebsocketApi(WebsocketClient):
account.available = float(acc_data["cw"])
self.gateway.on_account(account)
for pos_data in packet["a"]["P"]:
position = PositionData(
symbol=pos_data["s"],
exchange=Exchange.BINANCE,
direction=Direction.NET,
volume=round(float(pos_data["pa"]), 7),
price=float(pos_data["ep"]),
pnl=float(pos_data["cr"]),
gateway_name=self.gateway_name,
)
self.gateway.on_position(position)
def on_order(self, packet: dict) -> None:
""""""
self.gateway.write_log(json.dumps(packet, indent=2))