diff --git a/vnpy/app/spread_trading/engine.py b/vnpy/app/spread_trading/engine.py index 5ad45241..c1e9d84b 100644 --- a/vnpy/app/spread_trading/engine.py +++ b/vnpy/app/spread_trading/engine.py @@ -5,6 +5,7 @@ from vnpy.event import EventEngine, Event from vnpy.trader.engine import BaseEngine, MainEngine from vnpy.trader.event import EVENT_TICK, EVENT_POSITION from vnpy.trader.utility import load_json, save_json +from vnpy.trader.object import TickData, ContractData from .base import LegData, SpreadData @@ -156,3 +157,43 @@ class SpreadDataEngine: self.symbol_spread_map[leg.vt_symbol].remove(spread) self.write_log("价差删除成功：{}".format(name)) + + +class SpreadAlgoEngine: + """""" + + def __init__(self, spread_engine: SpreadEngine): + """""" + self.spread_engine: SpreadEngine = spread_engine + self.main_engine: MainEngine = spread_engine.main_engine + self.event_engine: EventEngine = spread_engine.event_engine + + self.write_log = spread_engine.write_log + + def put_event(self, algo) -> None: + """""" + pass + + def send_order( + self, + algo, + vt_symbol, + price, + volume, + direction, + offset + ) -> List[str]: + """""" + pass + + def cancel_order(self, algo, vt_orderid) -> None: + """""" + pass + + def get_tick(self, vt_symbol: str) -> TickData: + """""" + return self.main_engine.get_tick(vt_symbol) + + def get_contract(self, vt_symbol: str) -> ContractData: + """""" + return self.main_engine.get_contract(vt_symbol) diff --git a/vnpy/app/spread_trading/template.py b/vnpy/app/spread_trading/template.py new file mode 100644 index 00000000..16c81924 --- /dev/null +++ b/vnpy/app/spread_trading/template.py @@ -0,0 +1,189 @@ + +from collections import defaultdict +from typing import Dict, List +from math import floor, ceil + +from vnpy.trader.object import TickData, TradeData, OrderData, ContractData +from vnpy.trader.constant import Direction, Status, Offset +from vnpy.trader.utility import virtual + +from .base import SpreadData +from .engine import SpreadAlgoEngine + + +class SpreadAlgoTemplate: + """ + Template for writing spread trading algos. + """ + algo_name = "AlgoTemplate" + + def __init__( + self, + algo_engine: SpreadAlgoEngine, + algoid: str, + spread: SpreadData, + direction: Direction, + price: float, + volume: float, + payup: int + ): + """""" + self.algo_engine: SpreadAlgoEngine = algo_engine + self.algoid: str = algoid + self.spread: SpreadData = spread + + self.direction: Direction = direction + self.price: float = price + self.volume: float = volume + self.payup: int = payup + + if direction == Direction.LONG: + self.target = volume + else: + self.target = -volume + + self.status: Status = Status.NOTTRADED + self.traded: float = 0 + + self.leg_traded: Dict[str, float] = defaultdict(int) + self.leg_orders: Dict[str, List[str]] = defaultdict[list] + + def is_active(self): + """""" + if self.status not in [Status.CANCELLED, Status.ALLTRADED]: + return True + else: + return False + + def stop(self): + """""" + if self.is_active(): + self.cancel_leg_order() + self.status = Status.CANCELLED + self.put_event() + + def update_tick(self, tick: TickData): + """""" + self.on_tick(tick) + + def update_trade(self, trade: TradeData): + """""" + if trade.direction == Direction.LONG: + self.leg_traded[trade.vt_symbol] += trade.volume + else: + self.leg_traded[trade.vt_symbol] -= trade.volume + + self.calculate_traded() + + self.on_trade(trade) + + def update_order(self, order: OrderData): + """""" + if not order.is_active(): + self.leg_orders[order.vt_symbol].remove(order.vt_orderid) + + self.on_order(order) + + def update_timer(self): + """""" + self.on_timer() + + def put_event(self): + """""" + self.algo_engine.put_event(self) + + def write_log(self, msg: str): + """""" + self.algo_engine.write_log(msg) + + def send_long_order(self, vt_symbol: str, price: float, volume: float): + """""" + self.send_order(vt_symbol, price, volume, Direction.LONG) + + def send_short_order(self, vt_symbol: str, price: float, volume: float): + """""" + self.send_order(vt_symbol, price, volume, Direction.SHORT) + + def send_order( + self, + vt_symbol: str, + price: float, + volume: float, + direction: Direction, + ): + """""" + vt_orderids = self.algo_engine.send_order( + self, + vt_symbol, + price, + volume, + direction, + ) + + self.leg_orders[vt_symbol].extend(vt_orderids) + + def cancel_leg_order(self, vt_symbol: str): + """""" + for vt_orderid in self.leg_orders[vt_symbol]: + self.algo_engine.cancel_order(vt_orderid) + + def cancel_all_order(self): + """""" + for vt_symbol in self.leg_orders.keys(): + self.cancel_leg_order(vt_symbol) + + def calculate_traded(self): + """""" + self.traded = 0 + + for n, leg in enumerate(self.spread.legs.values()): + leg_traded = self.leg_traded[leg.vt_symbol] + adjusted_leg_traded = leg_traded / leg.trading_multiplier + + if adjusted_leg_traded > 0: + adjusted_leg_traded = floor(adjusted_leg_traded) + else: + adjusted_leg_traded = ceil(adjusted_leg_traded) + + if not n: + self.traded = adjusted_leg_traded + else: + if adjusted_leg_traded > 0: + self.traded = min(self.traded, adjusted_leg_traded) + else: + self.traded = max(self.traded, adjusted_leg_traded) + + if self.traded == self.target: + self.status = Status.ALLTRADED + elif not self.traded: + self.status = Status.NOTTRADED + else: + self.status = Status.PARTTRADED + + def get_tick(self, vt_symbol: str) -> TickData: + """""" + return self.algo_engine.get_tick(vt_symbol) + + def get_contract(self, vt_symbol: str) -> ContractData: + """""" + return self.algo_engine.get_contract(vt_symbol) + + @virtual + def on_tick(self, tick: TickData): + """""" + pass + + @virtual + def on_order(self, order: OrderData): + """""" + pass + + @virtual + def on_trade(self, trade: TradeData): + """""" + pass + + @virtual + def on_timer(self): + """""" + pass