增加CTA模块的策略隔夜持仓保存功能

vn.trader/ctaAlgo/ctaBase.py

@@ -29,6 +29,8 @@ STOPORDERPREFIX = 'CtaStopOrder.'
 
 # 数据库名称
 SETTING_DB_NAME = 'VnTrader_Setting_Db'
+POSITION_DB_NAME = 'VnTrader_Position_Db'
+
 TICK_DB_NAME = 'VnTrader_Tick_Db'
 DAILY_DB_NAME = 'VnTrader_Daily_Db'
 MINUTE_DB_NAME = 'VnTrader_1Min_Db'
@@ -40,6 +42,7 @@ ENGINETYPE_TRADING = 'trading'          # 实盘
 # CTA引擎中涉及的数据类定义
 from vtConstant import EMPTY_UNICODE, EMPTY_STRING, EMPTY_FLOAT, EMPTY_INT
 
+
 ########################################################################
 class StopOrder(object):
     """本地停止单"""

vn.trader/ctaAlgo/ctaEngine.py

@@ -481,6 +481,8 @@ class CtaEngine(object):
             
             for setting in l:
                 self.loadStrategy(setting)
+                
+        self.loadPosition()
     
     #----------------------------------------------------------------------
     def getStrategyVar(self, name):
@@ -535,6 +537,35 @@ class CtaEngine(object):
             content = '\n'.join([u'策略%s触发异常已停止' %strategy.name,
                                 traceback.format_exc()])
             self.writeCtaLog(content)
+            
+    #----------------------------------------------------------------------
+    def savePosition(self):
+        """保存所有策略的持仓情况到数据库"""
+        for strategy in self.strategyDict.values():
+            flt = {'name': strategy.name,
+                   'vtSymbol': strategy.vtSymbol}
+            
+            d = {'name': strategy.name,
+                 'vtSymbol': strategy.vtSymbol,
+                 'pos': strategy.pos}
+            
+            self.mainEngine.dbUpdate(POSITION_DB_NAME, strategy.className,
+                                     d, flt, True)
+            
+            content = '策略%s持仓保存成功' %strategy.name
+            self.writeCtaLog(content)
+    
+    #----------------------------------------------------------------------
+    def loadPosition(self):
+        """从数据库载入策略的持仓情况"""
+        for strategy in self.strategyDict.values():
+            flt = {'name': strategy.name,
+                   'vtSymbol': strategy.vtSymbol}
+            
+            cx = self.mainEngine.dbQuery(POSITION_DB_NAME, strategy.className, flt)
+            if cx:
+                for d in cx:
+                    strategy.pos = d['pos']
 
 
 ########################################################################

vn.trader/ctaAlgo/strategyAtrRsi.py

@@ -272,8 +272,9 @@ if __name__ == '__main__':
     # 跑优化
     setting = OptimizationSetting()                 # 新建一个优化任务设置对象
     setting.setOptimizeTarget('capital')            # 设置优化排序的目标是策略净盈利
-    setting.addParameter('atrLength', 11, 20, 1)    # 增加第一个优化参数atrLength，起始11，结束12，步进1
+    setting.addParameter('atrLength', 12, 20, 2)    # 增加第一个优化参数atrLength，起始11，结束12，步进1
     setting.addParameter('atrMa', 20, 30, 5)        # 增加第二个优化参数atrMa，起始20，结束30，步进1
+    setting.addParameter('rsiLength', 5)            # 增加一个固定数值的参数
     
     # 性能测试环境：I7-3770，主频3.4G, 8核心，内存16G，Windows 7 专业版
     # 测试时还跑着一堆其他的程序，性能仅供参考
@@ -281,9 +282,9 @@ if __name__ == '__main__':
     start = time.time()
     
     # 运行单进程优化函数，自动输出结果，耗时：359秒
-    #engine.runOptimization(AtrRsiStrategy, setting)            
+    engine.runOptimization(AtrRsiStrategy, setting)            
     
     # 多进程优化，耗时：89秒
-    engine.runParallelOptimization(AtrRsiStrategy, setting)     
+    #engine.runParallelOptimization(AtrRsiStrategy, setting)     
     
     print u'耗时：%s' %(time.time()-start)

vn.trader/ctaAlgo/uiCtaWidget.py

@@ -174,11 +174,13 @@ class CtaEngineManager(QtGui.QWidget):
         initAllButton = QtGui.QPushButton(u'全部初始化')
         startAllButton = QtGui.QPushButton(u'全部启动')
         stopAllButton = QtGui.QPushButton(u'全部停止')
+        savePositionButton = QtGui.QPushButton(u'保存持仓')
         
         loadButton.clicked.connect(self.load)
         initAllButton.clicked.connect(self.initAll)
         startAllButton.clicked.connect(self.startAll)
         stopAllButton.clicked.connect(self.stopAll)
+        savePositionButton.clicked.connect(self.ctaEngine.savePosition)
         
         # 滚动区域，放置所有的CtaStrategyManager
         self.scrollArea = QtGui.QScrollArea()
@@ -195,6 +197,7 @@ class CtaEngineManager(QtGui.QWidget):
         hbox2.addWidget(initAllButton)
         hbox2.addWidget(startAllButton)
         hbox2.addWidget(stopAllButton)
+        hbox2.addWidget(savePositionButton)
         hbox2.addStretch()
         
         vbox = QtGui.QVBoxLayout()