[ADD]TWAP算法新增委托深度档位的设置

vnpy/trader/app/algoTrading/__init__.py

@@ -9,4 +9,4 @@ appName = 'AlgoTrading'
 appDisplayName = u'算法交易'
 appEngine = AlgoEngine
 appWidget = AlgoManager
-appIco = 'ct.ico'
+appIco = 'at.ico'

vnpy/trader/app/algoTrading/twapAlgo.py

@@ -21,13 +21,14 @@ class TwapAlgo(AlgoTemplate):
         super(TwapAlgo, self).__init__(engine, setting, algoName)
         
         # 参数
-        self.vtSymbol = setting['vtSymbol']     # 合约代码
-        self.direction = setting['direction']   # 买卖
-        self.price = setting['price']           # 目标价格
-        self.totalVolume = setting['volume']    # 总数量
-        self.time = setting['time']             # 执行时间
-        self.interval = setting['interval']     # 执行间隔
-        self.minVolume = setting['minVolume']   # 最小委托数量
+        self.vtSymbol = setting['vtSymbol']             # 合约代码
+        self.direction = setting['direction']           # 买卖
+        self.targetPrice = setting['targetPrice']       # 目标价格
+        self.totalVolume = setting['totalVolume']       # 总数量
+        self.time = setting['time']                     # 执行时间
+        self.interval = setting['interval']             # 执行间隔
+        self.minVolume = setting['minVolume']           # 最小委托数量
+        self.priceLevel = setting['priceLevel']   # 使用第几档价格委托
         
         # 变量
         self.orderSize = self.totalVolume / (self.time / self.interval)
@@ -87,15 +88,45 @@ class TwapAlgo(AlgoTemplate):
             # 买入
             if self.direction == DIRECTION_LONG:
                 # 市场买1价小于目标买价
-                if tick.bidPrice1 < self.price:
-                    self.buy(self.vtSymbol, self.price, size)
-                    self.writeLog(u'委托买入%s，数量%，价格%s' %(self.vtSymbol, self.orderSize, self.price))
+                if tick.bidPrice1 < self.targetPrice:
+                    # 计算委托价格
+                    priceMap = {
+                        1: tick.askPrice1,
+                        2: tick.askPrice2,
+                        3: tick.askPrice3,
+                        4: tick.askPrice4,
+                        5: tick.askPrice5,
+                    }
+                    price = priceMap[self.priceLevel]
+                    if price:
+                        price = min(price, self.targetPrice)  # 如果深度价格为0，则使用目标价
+                    else:
+                        price = self.targetPrice
+                    
+                    # 发出委托
+                    self.buy(self.vtSymbol, price, size)
+                    self.writeLog(u'委托买入%s，数量%，价格%s' %(self.vtSymbol, self.orderSize, price))
             # 卖出
             if self.direction == DIRECTION_SHORT:
                 # 市场卖1价大于目标价
-                if tick.askPrice1 > self.price:
-                    self.sell(self.vtSymbol, self.price, size)
-                    self.writeLog(u'委托卖出%s，数量%s，价格%s' %(self.vtSymbol, self.orderSize, self.price))
+                if tick.askPrice1 > self.targetPrice:
+                    # 计算委托价格
+                    priceMap = {
+                        1: tick.bidPrice1,
+                        2: tick.bidPrice2,
+                        3: tick.bidPrice3,
+                        4: tick.bidPrice4,
+                        5: tick.bidPrice5,
+                    }
+                    price = priceMap[self.priceLevel]
+                    if price:
+                        price = max(price, self.targetPrice)
+                    else:
+                        price = self.targetPrice
+                    
+                    # 发出委托
+                    self.sell(self.vtSymbol, price, size)
+                    self.writeLog(u'委托卖出%s，数量%s，价格%s' %(self.vtSymbol, self.orderSize, price))
         
         # 委托后等待到间隔一半的时间撤单
         elif self.timerCount == round(self.interval/2, 0):
@@ -129,10 +160,11 @@ class TwapAlgo(AlgoTemplate):
         d = OrderedDict()
         d[u'代码'] = self.vtSymbol
         d[u'方向'] = self.direction
-        d[u'目标价格'] = self.price
+        d[u'目标价格'] = self.targetPrice
         d[u'总数量'] = self.totalVolume
         d[u'总时间（秒）'] = self.time
         d[u'间隔（秒）'] = self.interval
+        d[u'委托档位'] = self.priceLevel
         self.putParamEvent(d)
 
 
@@ -185,6 +217,11 @@ class TwapWidget(QtWidgets.QWidget):
         self.spinMinVolume.setDecimals(6)
         self.spinMinVolume.setValue(1)
         
+        self.spinPriceLevel = QtWidgets.QSpinBox()
+        self.spinPriceLevel.setMinimum(1)
+        self.spinPriceLevel.setMaximum(5)
+        self.spinPriceLevel.setValue(1)
+        
         buttonStart = QtWidgets.QPushButton(u'启动')
         buttonStart.clicked.connect(self.addAlgo)
         buttonStart.setMinimumHeight(100)
@@ -204,9 +241,11 @@ class TwapWidget(QtWidgets.QWidget):
         grid.addWidget(self.spinTime, 4, 1)
         grid.addWidget(Label(u'间隔（秒）'), 5, 0)
         grid.addWidget(self.spinInterval, 5, 1)
-        grid.addWidget(Label(u'数量取整'), 6, 0)
-        grid.addWidget(self.spinMinVolume, 6, 1)
-        grid.addWidget(buttonStart, 7, 0, 1, 2)
+        grid.addWidget(Label(u'委托档位'), 6, 0)
+        grid.addWidget(self.spinPriceLevel, 6, 1)
+        grid.addWidget(Label(u'数量取整'), 7, 0)
+        grid.addWidget(self.spinMinVolume, 7, 1)
+        grid.addWidget(buttonStart, 8, 0, 1, 2)
         
         self.setLayout(grid)
     
@@ -216,10 +255,11 @@ class TwapWidget(QtWidgets.QWidget):
         setting = {
             'vtSymbol': str(self.lineSymbol.text()),
             'direction': str(self.comboDirection.currentText()),
-            'price': float(self.spinPrice.value()),
-            'volume': float(self.spinVolume.value()),
+            'targetPrice': float(self.spinPrice.value()),
+            'totalVolume': float(self.spinVolume.value()),
             'time': int(self.spinTime.value()),
             'interval': int(self.spinInterval.value()),
+            'priceLevel': int(self.spinPriceLevel.value()),
             'minVolume': float(self.spinMinVolume.value())
         }