[Mod] change logic of arbitrage algo
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vn.py
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961f7366a3
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@ -3,29 +3,30 @@ from vnpy.event import EventEngine
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from vnpy.trader.engine import MainEngine
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from vnpy.trader.ui import MainWindow, create_qapp
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# from vnpy.gateway.binance import BinanceGateway
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# from vnpy.gateway.bitmex import BitmexGateway
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# from vnpy.gateway.futu import FutuGateway
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# from vnpy.gateway.ib import IbGateway
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from vnpy.gateway.binance import BinanceGateway
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from vnpy.gateway.bitmex import BitmexGateway
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from vnpy.gateway.futu import FutuGateway
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from vnpy.gateway.ib import IbGateway
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from vnpy.gateway.ctp import CtpGateway
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# from vnpy.gateway.ctptest import CtptestGateway
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# from vnpy.gateway.femas import FemasGateway
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# from vnpy.gateway.tiger import TigerGateway
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# from vnpy.gateway.oes import OesGateway
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# from vnpy.gateway.okex import OkexGateway
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# from vnpy.gateway.huobi import HuobiGateway
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# from vnpy.gateway.bitfinex import BitfinexGateway
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# from vnpy.gateway.onetoken import OnetokenGateway
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# from vnpy.gateway.okexf import OkexfGateway
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from vnpy.gateway.femas import FemasGateway
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from vnpy.gateway.tiger import TigerGateway
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from vnpy.gateway.oes import OesGateway
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from vnpy.gateway.okex import OkexGateway
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from vnpy.gateway.huobi import HuobiGateway
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from vnpy.gateway.bitfinex import BitfinexGateway
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from vnpy.gateway.onetoken import OnetokenGateway
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from vnpy.gateway.okexf import OkexfGateway
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# from vnpy.gateway.xtp import XtpGateway
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# from vnpy.gateway.hbdm import HbdmGateway
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from vnpy.gateway.hbdm import HbdmGateway
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# from vnpy.gateway.tap import TapGateway
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# from vnpy.app.cta_strategy import CtaStrategyApp
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# from vnpy.app.csv_loader import CsvLoaderApp
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from vnpy.app.cta_strategy import CtaStrategyApp
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from vnpy.app.csv_loader import CsvLoaderApp
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from vnpy.app.algo_trading import AlgoTradingApp
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# from vnpy.app.cta_backtester import CtaBacktesterApp
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# from vnpy.app.data_recorder import DataRecorderApp
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# from vnpy.app.risk_manager import RiskManagerApp
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from vnpy.app.cta_backtester import CtaBacktesterApp
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from vnpy.app.data_recorder import DataRecorderApp
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from vnpy.app.risk_manager import RiskManagerApp
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def main():
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@ -36,29 +37,30 @@ def main():
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main_engine = MainEngine(event_engine)
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# main_engine.add_gateway(BinanceGateway)
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# main_engine.add_gateway(XtpGateway)
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main_engine.add_gateway(BinanceGateway)
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main_engine.add_gateway(CtpGateway)
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# main_engine.add_gateway(CtptestGateway)
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# main_engine.add_gateway(FemasGateway)
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# main_engine.add_gateway(IbGateway)
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# main_engine.add_gateway(FutuGateway)
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# main_engine.add_gateway(BitmexGateway)
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# main_engine.add_gateway(TigerGateway)
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# main_engine.add_gateway(OesGateway)
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# main_engine.add_gateway(OkexGateway)
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# main_engine.add_gateway(HuobiGateway)
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# main_engine.add_gateway(BitfinexGateway)
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# main_engine.add_gateway(OnetokenGateway)
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# main_engine.add_gateway(OkexfGateway)
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# main_engine.add_gateway(HbdmGateway)
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main_engine.add_gateway(FemasGateway)
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main_engine.add_gateway(IbGateway)
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main_engine.add_gateway(FutuGateway)
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main_engine.add_gateway(BitmexGateway)
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main_engine.add_gateway(TigerGateway)
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main_engine.add_gateway(OesGateway)
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main_engine.add_gateway(OkexGateway)
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main_engine.add_gateway(HuobiGateway)
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main_engine.add_gateway(BitfinexGateway)
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main_engine.add_gateway(OnetokenGateway)
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main_engine.add_gateway(OkexfGateway)
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main_engine.add_gateway(HbdmGateway)
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# main_engine.add_gateway(XtpGateway)
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# main_engine.add_gateway(TapGateway)
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# main_engine.add_app(CtaStrategyApp)
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# main_engine.add_app(CtaBacktesterApp)
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# main_engine.add_app(CsvLoaderApp)
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main_engine.add_app(CtaStrategyApp)
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main_engine.add_app(CtaBacktesterApp)
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main_engine.add_app(CsvLoaderApp)
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main_engine.add_app(AlgoTradingApp)
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# main_engine.add_app(DataRecorderApp)
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# main_engine.add_app(RiskManagerApp)
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main_engine.add_app(DataRecorderApp)
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main_engine.add_app(RiskManagerApp)
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main_window = MainWindow(main_engine, event_engine)
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main_window.showMaximized()
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@ -12,7 +12,7 @@ class ArbitrageAlgo(AlgoTemplate):
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default_setting = {
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"active_vt_symbol": "",
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"passive_vt_symbol": "",
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"passive_vt_symbol": "",
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"spread_up": 0.0,
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"spread_down": 0.0,
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"max_pos": 0,
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@ -23,8 +23,8 @@ class ArbitrageAlgo(AlgoTemplate):
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"timer_count",
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"active_vt_orderid",
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"passive_vt_orderid",
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"net_pos",
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"acum_pos"
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"active_pos",
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"passive_pos"
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]
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def __init__(
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@ -43,16 +43,17 @@ class ArbitrageAlgo(AlgoTemplate):
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self.spread_down = setting["spread_down"]
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self.max_pos = setting["max_pos"]
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self.interval = setting["interval"]
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# Variables
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self.active_vt_orderid = ""
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self.passive_vt_orderid = ""
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self.net_pos = 0
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self.acum_pos = 0
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self.active_pos = 0
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self.passive_pos = 0
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self.timer_count = 0
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self.subscribe(self.active_vt_symbol)
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self.subscribe(self.passive_vt_symbol)
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self.put_parameters_event()
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self.put_variables_event()
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@ -72,41 +73,44 @@ class ArbitrageAlgo(AlgoTemplate):
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def on_trade(self, trade: TradeData):
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""""""
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# Update net position volume
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# Update pos
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if trade.direction == Direction.LONG:
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self.net_pos += trade.volume
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else:
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self.net_pos -= trade.volume
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# Update active symbol position
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if trade.vt_symbol == self.active_vt_symbol:
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if trade.direction == Direction.LONG:
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self.acum_pos += trade.volume
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if trade.vt_symbol == self.active_vt_symbol:
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self.active_pos += trade.volume
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else:
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self.acum_pos -= trade.volume
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self.passive_pos += trade.volume
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else:
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if trade.vt_symbol == self.active_vt_symbol:
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self.active_pos -= trade.volume
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else:
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self.passive_pos -= trade.volume
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# Hedge if active symbol traded
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# Hedge if active symbol traded
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if trade.vt_symbol == self.active_vt_symbol:
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self.hedge()
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self.put_variables_event()
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def on_timer(self):
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""""""
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# Run algo by fixed interval
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self.timer_count += 1
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if self.timer_count < self.interval:
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self.put_variables_event()
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return
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self.timer_count = 0
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# Cancel all active orders before moving on
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if self.active_vt_orderid or self.passive_vt_orderid:
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self.cancel_all()
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return
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if self.net_pos:
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# Make sure that active leg is fully hedged by passive leg
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if (self.active_pos + self.passive_pos) != 0:
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self.hedge()
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return
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# Make sure that tick data of both leg are available
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active_tick = self.get_tick(self.active_vt_symbol)
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passive_tick = self.get_tick(self.passive_vt_symbol)
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if not active_tick or not passive_tick:
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@ -116,46 +120,55 @@ class ArbitrageAlgo(AlgoTemplate):
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spread_bid_price = active_tick.bid_price_1 - passive_tick.ask_price_1
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spread_ask_price = active_tick.ask_price_1 - passive_tick.bid_price_1
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spread_bid_volume = min(active_tick.bid_volume_1, passive_tick.ask_volume_1)
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spread_ask_volume = min(active_tick.ask_volume_1, passive_tick.bid_volume_1)
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spread_bid_volume = min(active_tick.bid_volume_1,
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passive_tick.ask_volume_1)
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spread_ask_volume = min(active_tick.ask_volume_1,
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passive_tick.bid_volume_1)
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# Sell condition
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self.write_log(f"盘口价差，买：{spread_bid_volume}@{spread_bid_price}")
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self.write_log(f"盘口价差，卖：{spread_ask_volume}@{spread_ask_price}")
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# Sell condition
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if spread_bid_price > self.spread_up:
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if self.acum_pos <= -self.max_pos:
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return
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else:
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if self.active_pos > -self.max_pos:
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volume = min(spread_bid_volume,
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self.active_pos + self.max_pos)
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self.active_vt_orderid = self.sell(
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self.active_vt_symbol,
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active_tick.bid_price_1,
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spread_bid_volume
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volume
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)
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# Buy condition
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elif spread_ask_price < -self.spread_down:
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if self.acum_pos >= self.max_pos:
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return
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else:
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if self.active_pos < self.max_pos:
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volume = min(spread_ask_volume,
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self.max_pos - self.active_pos)
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self.active_vt_orderid = self.buy(
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self.active_vt_symbol,
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active_tick.ask_price_1,
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spread_ask_volume
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volume
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)
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# Update GUI
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self.put_variables_event()
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def hedge(self):
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""""""
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tick = self.get_tick(self.passive_vt_symbol)
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volume = abs(self.net_pos)
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volume = -self.active_pos - self.passive_pos
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if self.net_pos > 0:
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self.passive_vt_orderid = self.sell(
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self.passive_vt_symbol,
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tick.bid_price_5,
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volume
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)
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elif self.net_pos < 0:
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if volume > 0:
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self.passive_vt_orderid = self.buy(
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self.passive_vt_symbol,
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tick.ask_price_5,
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tick.ask_price_1,
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volume
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)
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elif volume < 0:
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self.passive_vt_orderid = self.sell(
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self.passive_vt_symbol,
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tick.bid_price_1,
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abs(volume)
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)
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@ -4,6 +4,7 @@ from typing import List
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from rqdatac import init as rqdata_init
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from rqdatac.services.basic import all_instruments as rqdata_all_instruments
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from rqdatac.services.get_price import get_price as rqdata_get_price
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from rqdatac.share.errors import AuthenticationFailed
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from .setting import SETTINGS
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from .constant import Exchange, Interval
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@ -55,7 +56,7 @@ class RqdataClient:
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df = rqdata_all_instruments(date=datetime.now())
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for ix, row in df.iterrows():
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self.symbols.add(row['order_book_id'])
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except RuntimeError:
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except (RuntimeError, AuthenticationFailed):
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return False
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self.inited = True
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