[Add]新增套利算法ArbitrageAlgo

vnpy/trader/app/algoTrading/algo/arbitrageAlgo.py

@@ -0,0 +1,225 @@
+# encoding: UTF-8
+
+from __future__ import division
+from collections import OrderedDict
+
+from vnpy.trader.vtConstant import (DIRECTION_LONG, DIRECTION_SHORT,
+                                    OFFSET_OPEN, OFFSET_CLOSE,
+                                    STATUS_ALLTRADED, STATUS_CANCELLED,
+                                    STATUS_REJECTED)
+from vnpy.trader.uiQt import QtGui
+
+from vnpy.trader.app.algoTrading.algoTemplate import AlgoTemplate
+from vnpy.trader.app.algoTrading.uiAlgoWidget import AlgoWidget, QtWidgets
+
+
+STATUS_FINISHED = set([STATUS_ALLTRADED, STATUS_CANCELLED, STATUS_REJECTED])
+
+
+########################################################################
+class ArbitrageAlgo(AlgoTemplate):
+    """Arbitrage算法，用于套利"""
+    
+    templateName = u'Arbitrage 套利'
+
+    #----------------------------------------------------------------------
+    def __init__(self, engine, setting, algoName):
+        """Constructor"""
+        super(ArbitrageAlgo, self).__init__(engine, setting, algoName)
+        
+        # 配置参数
+        self.activeVtSymbol = str(setting['activeVtSymbol'])    # 主动腿
+        self.passiveVtSymbol = str(setting['passiveVtSymbol'])  # 被动腿
+        
+        self.spread = float(setting['spread'])    # 价差
+        self.volume = float(setting['volume'])    # 数量
+        self.interval = int(setting['interval'])  # 间隔
+        
+        self.activeOrderID = ''            # 主动委托号
+        self.passiveOrderID = ''           # 被动委托号
+        
+        self.netPos = 0                    # 净持仓
+        self.count = 0                     # 运行计数
+
+        # 初始化
+        self.subscribe(self.activeVtSymbol)
+        self.subscribe(self.passiveVtSymbol)
+        
+        self.paramEvent()
+        self.varEvent()
+    
+    #----------------------------------------------------------------------
+    def onTick(self, tick):
+        """"""
+        pass
+        
+    #----------------------------------------------------------------------
+    def onTrade(self, trade):
+        """"""
+        # 更新净持仓数量
+        if trade.direction == DIRECTION_LONG:
+            self.netPos += trade.volume
+        else:
+            self.netPos -= trade.volume
+            
+        # 如果是主动腿成交则需要执行对冲
+        if trade.vtSymbol == self.activeVtSymbol:
+            self.hedge()
+
+        self.varEvent()
+    
+    #----------------------------------------------------------------------
+    def onOrder(self, order):
+        """"""
+        if order.vtSymbol == self.activeVtSymbol:
+            if order.status in STATUS_FINISHED:
+                self.activeOrderID = ''
+        elif order.vtSymbol == self.passiveVtSymbol:
+            if order.status in STATUS_FINISHED:
+                self.passiveOrderID = ''
+        
+        self.varEvent()
+    
+    #----------------------------------------------------------------------
+    def onTimer(self):
+        """"""
+        self.count += 1
+        if self.count < self.interval:
+            return
+        
+        self.count = 0
+        
+        # 撤单
+        if self.activeOrderID or self.passiveOrderID:
+            self.cancelAll()
+            return
+        
+        # 如果有净仓位则执行对冲
+        if self.netPos:
+            self.hedge()
+            return
+        
+        # 计算价差的bid/ask
+        activeTick = self.getTick(self.activeVtSymbol)
+        passiveTick = self.getTick(self.passiveVtSymbol)
+        
+        spreadBidPrice = activeTick.bidPrice1 - passiveTick.askPrice1
+        spreadAskPrice = activeTick.askPrice1 - passiveTick.bidPrice1
+        
+        spreadBidVolume = min(activeTick.bidVolume1, passiveTick.askVolume1)
+        spreadAskVolume = min(activeTick.askVolume1, passiveTick.bidVolume1)
+        
+        if spreadBidPrice > self.spread:
+            self.activeOrderID = self.sell(self.activeVtSymbol, activeTick.bidPrice1, spreadBidVolume)
+        elif spreadAskPrice < - self.spread:
+            self.activeOrderID = self.buy(self.activeVtSymbol, activeTick.askPrice1, spreadAskVolume)
+        
+        # 更新界面
+        self.varEvent()
+        
+    #----------------------------------------------------------------------
+    def onStop(self):
+        """"""
+        self.writeLog(u'算法停止')
+        
+        self.varEvent()
+        
+    #----------------------------------------------------------------------
+    def varEvent(self):
+        """更新变量"""
+        d = OrderedDict()
+        d[u'算法状态'] = self.active
+        d[u'运行计数'] = self.count
+        d[u'净持仓'] = self.netPos
+        d[u'主动腿委托号'] = self.activeOrderID
+        d[u'被动腿委托号'] = self.passiveOrderID
+        self.putVarEvent(d)
+    
+    #----------------------------------------------------------------------
+    def paramEvent(self):
+        """更新参数"""
+        d = OrderedDict()
+        d[u'主动腿代码'] = self.activeVtSymbol
+        d[u'被动腿代码'] = self.passiveVtSymbol
+        d[u'价差'] = self.spread
+        d[u'数量'] = self.volume
+        d[u'间隔'] = self.interval
+        self.putParamEvent(d)
+
+    #----------------------------------------------------------------------
+    def hedge(self):
+        """"""
+        tick = self.getTick(self.passiveVtSymbol)
+        volume = abs(self.netPos)
+        
+        if self.netPos > 0:
+            self.passiveOrderID = self.sell(self.passiveVtSymbol,
+                                            tick.bidPrice5,
+                                            volume)
+        elif self.netPos < 0:
+            self.passiveOrderID = self.buy(self.activeVtSymbol,
+                                           tick.askPrice5,
+                                           volume)
+
+
+
+########################################################################
+class ArbitrageWidget(AlgoWidget):
+    """"""
+    
+    #----------------------------------------------------------------------
+    def __init__(self, algoEngine, parent=None):
+        """Constructor"""
+        super(ArbitrageWidget, self).__init__(algoEngine, parent)
+        
+        self.templateName = ArbitrageAlgo.templateName
+        
+    #----------------------------------------------------------------------
+    def initAlgoLayout(self):
+        """"""
+        self.lineActiveVtSymbol = QtWidgets.QLineEdit()
+        self.linePassiveVtSymbol = QtWidgets.QLineEdit()
+        
+        validator = QtGui.QDoubleValidator()
+        validator.setBottom(0)
+        
+        self.lineSpread = QtWidgets.QLineEdit()
+        self.lineSpread.setValidator(validator)
+        
+        self.lineVolume = QtWidgets.QLineEdit()
+        self.lineVolume.setValidator(validator)
+        
+        intValidator = QtGui.QIntValidator()
+        intValidator.setBottom(10)
+        self.lineInterval = QtWidgets.QLineEdit()
+        self.lineInterval.setValidator(intValidator)
+        
+        Label = QtWidgets.QLabel
+        
+        grid = QtWidgets.QGridLayout()
+        grid.addWidget(Label(u'主动腿代码'), 0, 0)
+        grid.addWidget(self.lineActiveVtSymbol, 0, 1)
+        grid.addWidget(Label(u'被动腿代码'), 1, 0)
+        grid.addWidget(self.linePassiveVtSymbol, 1, 1)
+        grid.addWidget(Label(u'套利价差'), 2, 0)
+        grid.addWidget(self.lineSpread, 2, 1)
+        grid.addWidget(Label(u'委托数量'), 3, 0)
+        grid.addWidget(self.lineVolume, 3, 1)
+        grid.addWidget(Label(u'运行间隔'), 4, 0)
+        grid.addWidget(self.lineInterval, 4, 1)
+        
+        return grid
+    
+    #----------------------------------------------------------------------
+    def getAlgoSetting(self):
+        """"""
+        setting = OrderedDict()
+        setting['templateName'] = self.templateName
+        setting['activeVtSymbol'] = str(self.lineActiveVtSymbol.text())
+        setting['passiveVtSymbol'] = str(self.linePassiveVtSymbol.text())
+        setting['spread'] = float(self.lineSpread.text())
+        setting['volume'] = float(self.lineVolume.text())
+        setting['interval'] = int(self.lineInterval.text())
+        
+        return setting
+