senset/vnpy
1
0
Fork 0
Code Issues Pull Requests Packages Projects Releases Wiki Activity

[Mod] change logic of arbitrage algo

Browse Source
This commit is contained in:
vn.py 2019-06-15 23:58:10 +08:00
parent 961f7366a3
commit 0aa1bda8df
3 changed files with 96 additions and 80 deletions
Show Stats Download Patch File Download Diff File Expand all files Collapse all files

76
examples/vn_trader/run.py
View File

@ -3,29 +3,30 @@ from vnpy.event import EventEngine
from vnpy.trader.engine import MainEngine
from vnpy.trader.ui import MainWindow, create_qapp
# from vnpy.gateway.binance import BinanceGateway
# from vnpy.gateway.bitmex import BitmexGateway
# from vnpy.gateway.futu import FutuGateway
# from vnpy.gateway.ib import IbGateway
from vnpy.gateway.binance import BinanceGateway
from vnpy.gateway.bitmex import BitmexGateway
from vnpy.gateway.futu import FutuGateway
from vnpy.gateway.ib import IbGateway
from vnpy.gateway.ctp import CtpGateway
# from vnpy.gateway.ctptest import CtptestGateway
# from vnpy.gateway.femas import FemasGateway
# from vnpy.gateway.tiger import TigerGateway
# from vnpy.gateway.oes import OesGateway
# from vnpy.gateway.okex import OkexGateway
# from vnpy.gateway.huobi import HuobiGateway
# from vnpy.gateway.bitfinex import BitfinexGateway
# from vnpy.gateway.onetoken import OnetokenGateway
# from vnpy.gateway.okexf import OkexfGateway
from vnpy.gateway.femas import FemasGateway
from vnpy.gateway.tiger import TigerGateway
from vnpy.gateway.oes import OesGateway
from vnpy.gateway.okex import OkexGateway
from vnpy.gateway.huobi import HuobiGateway
from vnpy.gateway.bitfinex import BitfinexGateway
from vnpy.gateway.onetoken import OnetokenGateway
from vnpy.gateway.okexf import OkexfGateway
# from vnpy.gateway.xtp import XtpGateway
# from vnpy.gateway.hbdm import HbdmGateway
from vnpy.gateway.hbdm import HbdmGateway
# from vnpy.gateway.tap import TapGateway
# from vnpy.app.cta_strategy import CtaStrategyApp
# from vnpy.app.csv_loader import CsvLoaderApp
from vnpy.app.cta_strategy import CtaStrategyApp
from vnpy.app.csv_loader import CsvLoaderApp
from vnpy.app.algo_trading import AlgoTradingApp
# from vnpy.app.cta_backtester import CtaBacktesterApp
# from vnpy.app.data_recorder import DataRecorderApp
# from vnpy.app.risk_manager import RiskManagerApp
from vnpy.app.cta_backtester import CtaBacktesterApp
from vnpy.app.data_recorder import DataRecorderApp
from vnpy.app.risk_manager import RiskManagerApp
def main():
@ -36,29 +37,30 @@ def main():
main_engine = MainEngine(event_engine)
# main_engine.add_gateway(BinanceGateway)
# main_engine.add_gateway(XtpGateway)
main_engine.add_gateway(BinanceGateway)
main_engine.add_gateway(CtpGateway)
# main_engine.add_gateway(CtptestGateway)
# main_engine.add_gateway(FemasGateway)
# main_engine.add_gateway(IbGateway)
# main_engine.add_gateway(FutuGateway)
# main_engine.add_gateway(BitmexGateway)
# main_engine.add_gateway(TigerGateway)
# main_engine.add_gateway(OesGateway)
# main_engine.add_gateway(OkexGateway)
# main_engine.add_gateway(HuobiGateway)
# main_engine.add_gateway(BitfinexGateway)
# main_engine.add_gateway(OnetokenGateway)
# main_engine.add_gateway(OkexfGateway)
# main_engine.add_gateway(HbdmGateway)
main_engine.add_gateway(FemasGateway)
main_engine.add_gateway(IbGateway)
main_engine.add_gateway(FutuGateway)
main_engine.add_gateway(BitmexGateway)
main_engine.add_gateway(TigerGateway)
main_engine.add_gateway(OesGateway)
main_engine.add_gateway(OkexGateway)
main_engine.add_gateway(HuobiGateway)
main_engine.add_gateway(BitfinexGateway)
main_engine.add_gateway(OnetokenGateway)
main_engine.add_gateway(OkexfGateway)
main_engine.add_gateway(HbdmGateway)
# main_engine.add_gateway(XtpGateway)
# main_engine.add_gateway(TapGateway)
# main_engine.add_app(CtaStrategyApp)
# main_engine.add_app(CtaBacktesterApp)
# main_engine.add_app(CsvLoaderApp)
main_engine.add_app(CtaStrategyApp)
main_engine.add_app(CtaBacktesterApp)
main_engine.add_app(CsvLoaderApp)
main_engine.add_app(AlgoTradingApp)
# main_engine.add_app(DataRecorderApp)
# main_engine.add_app(RiskManagerApp)
main_engine.add_app(DataRecorderApp)
main_engine.add_app(RiskManagerApp)
main_window = MainWindow(main_engine, event_engine)
main_window.showMaximized()

81
vnpy/app/algo_trading/algos/arbitrage_algo.py
View File

@ -23,8 +23,8 @@ class ArbitrageAlgo(AlgoTemplate):
"timer_count",
"active_vt_orderid",
"passive_vt_orderid",
"net_pos",
"acum_pos"
"active_pos",
"passive_pos"
]
def __init__(
@ -47,12 +47,13 @@ class ArbitrageAlgo(AlgoTemplate):
# Variables
self.active_vt_orderid = ""
self.passive_vt_orderid = ""
self.net_pos = 0
self.acum_pos = 0
self.active_pos = 0
self.passive_pos = 0
self.timer_count = 0
self.subscribe(self.active_vt_symbol)
self.subscribe(self.passive_vt_symbol)
self.put_parameters_event()
self.put_variables_event()
@ -72,18 +73,17 @@ class ArbitrageAlgo(AlgoTemplate):
def on_trade(self, trade: TradeData):
""""""
# Update net position volume
# Update pos
if trade.direction == Direction.LONG:
self.net_pos += trade.volume
else:
self.net_pos -= trade.volume
# Update active symbol position
if trade.vt_symbol == self.active_vt_symbol:
if trade.direction == Direction.LONG:
self.acum_pos += trade.volume
if trade.vt_symbol == self.active_vt_symbol:
self.active_pos += trade.volume
else:
self.acum_pos -= trade.volume
self.passive_pos += trade.volume
else:
if trade.vt_symbol == self.active_vt_symbol:
self.active_pos -= trade.volume
else:
self.passive_pos -= trade.volume
# Hedge if active symbol traded
if trade.vt_symbol == self.active_vt_symbol:
@ -93,20 +93,24 @@ class ArbitrageAlgo(AlgoTemplate):
def on_timer(self):
""""""
# Run algo by fixed interval
self.timer_count += 1
if self.timer_count < self.interval:
self.put_variables_event()
return
self.timer_count = 0
# Cancel all active orders before moving on
if self.active_vt_orderid or self.passive_vt_orderid:
self.cancel_all()
return
if self.net_pos:
# Make sure that active leg is fully hedged by passive leg
if (self.active_pos + self.passive_pos) != 0:
self.hedge()
return
# Make sure that tick data of both leg are available
active_tick = self.get_tick(self.active_vt_symbol)
passive_tick = self.get_tick(self.passive_vt_symbol)
if not active_tick or not passive_tick:
@ -116,46 +120,55 @@ class ArbitrageAlgo(AlgoTemplate):
spread_bid_price = active_tick.bid_price_1 - passive_tick.ask_price_1
spread_ask_price = active_tick.ask_price_1 - passive_tick.bid_price_1
spread_bid_volume = min(active_tick.bid_volume_1, passive_tick.ask_volume_1)
spread_ask_volume = min(active_tick.ask_volume_1, passive_tick.bid_volume_1)
spread_bid_volume = min(active_tick.bid_volume_1,
passive_tick.ask_volume_1)
spread_ask_volume = min(active_tick.ask_volume_1,
passive_tick.bid_volume_1)
self.write_log(f"盘口价差，买：{spread_bid_volume}@{spread_bid_price}")
self.write_log(f"盘口价差，卖：{spread_ask_volume}@{spread_ask_price}")
# Sell condition
if spread_bid_price > self.spread_up:
if self.acum_pos <= -self.max_pos:
return
else:
if self.active_pos > -self.max_pos:
volume = min(spread_bid_volume,
self.active_pos + self.max_pos)
self.active_vt_orderid = self.sell(
self.active_vt_symbol,
active_tick.bid_price_1,
spread_bid_volume
volume
)
# Buy condition
elif spread_ask_price < -self.spread_down:
if self.acum_pos >= self.max_pos:
return
else:
if self.active_pos < self.max_pos:
volume = min(spread_ask_volume,
self.max_pos - self.active_pos)
self.active_vt_orderid = self.buy(
self.active_vt_symbol,
active_tick.ask_price_1,
spread_ask_volume
volume
)
# Update GUI
self.put_variables_event()
def hedge(self):
""""""
tick = self.get_tick(self.passive_vt_symbol)
volume = abs(self.net_pos)
volume = -self.active_pos - self.passive_pos
if self.net_pos > 0:
self.passive_vt_orderid = self.sell(
self.passive_vt_symbol,
tick.bid_price_5,
volume
)
elif self.net_pos < 0:
if volume > 0:
self.passive_vt_orderid = self.buy(
self.passive_vt_symbol,
tick.ask_price_5,
tick.ask_price_1,
volume
)
elif volume < 0:
self.passive_vt_orderid = self.sell(
self.passive_vt_symbol,
tick.bid_price_1,
abs(volume)
)

3
vnpy/trader/rqdata.py
View File

@ -4,6 +4,7 @@ from typing import List
from rqdatac import init as rqdata_init
from rqdatac.services.basic import all_instruments as rqdata_all_instruments
from rqdatac.services.get_price import get_price as rqdata_get_price
from rqdatac.share.errors import AuthenticationFailed
from .setting import SETTINGS
from .constant import Exchange, Interval
@ -55,7 +56,7 @@ class RqdataClient:
df = rqdata_all_instruments(date=datetime.now())
for ix, row in df.iterrows():
self.symbols.add(row['order_book_id'])
except RuntimeError:
except (RuntimeError, AuthenticationFailed):
return False
self.inited = True