From 15fbb54960546c0ebfa1d4a222e9b3092258866b Mon Sep 17 00:00:00 2001 From: "vn.py" Date: Wed, 27 Mar 2019 11:31:44 +0800 Subject: [PATCH] [Mod]change send order return data to vt_orderids (list) to support offset converter function --- vnpy/app/cta_strategy/backtesting.py | 8 ++- vnpy/app/cta_strategy/base.py | 3 +- vnpy/app/cta_strategy/engine.py | 88 ++++++++++++++++++++-------- vnpy/app/cta_strategy/template.py | 9 +-- vnpy/app/cta_strategy/ui/widget.py | 7 ++- 5 files changed, 81 insertions(+), 34 deletions(-) diff --git a/vnpy/app/cta_strategy/backtesting.py b/vnpy/app/cta_strategy/backtesting.py index cc00cad2..ab168b72 100644 --- a/vnpy/app/cta_strategy/backtesting.py +++ b/vnpy/app/cta_strategy/backtesting.py @@ -721,14 +721,16 @@ class BacktestingEngine: offset: Offset, price: float, volume: float, - stop: bool = False, + stop: bool, + lock: bool ): """""" price = round_to_pricetick(price, self.pricetick) if stop: - return self.send_stop_order(direction, offset, price, volume) + vt_orderid = self.send_stop_order(direction, offset, price, volume) else: - return self.send_limit_order(direction, offset, price, volume) + vt_orderid = self.send_limit_order(direction, offset, price, volume) + return [vt_orderid] def send_stop_order( self, diff --git a/vnpy/app/cta_strategy/base.py b/vnpy/app/cta_strategy/base.py index 4586c073..17454e88 100644 --- a/vnpy/app/cta_strategy/base.py +++ b/vnpy/app/cta_strategy/base.py @@ -37,7 +37,8 @@ class StopOrder: stop_orderid: str strategy_name: str status: StopOrderStatus = StopOrderStatus.WAITING - vt_orderid: str = "" + vt_orderids: list + lock: bool EVENT_CTA_LOG = "eCtaLog" diff --git a/vnpy/app/cta_strategy/engine.py b/vnpy/app/cta_strategy/engine.py index 63c8c707..aaf341dc 100644 --- a/vnpy/app/cta_strategy/engine.py +++ b/vnpy/app/cta_strategy/engine.py @@ -21,9 +21,19 @@ from vnpy.trader.object import ( BarData, ContractData ) -from vnpy.trader.event import EVENT_TICK, EVENT_ORDER, EVENT_TRADE +from vnpy.trader.event import ( + EVENT_TICK, + EVENT_ORDER, + EVENT_TRADE, + EVENT_POSITION +) from vnpy.trader.constant import ( - Direction, OrderType, Interval, Exchange, Offset, Status + Direction, + OrderType, + Interval, + Exchange, + Offset, + Status ) from vnpy.trader.utility import load_json, save_json from vnpy.trader.database import DbTickData, DbBarData @@ -39,6 +49,7 @@ from .base import ( STOPORDER_PREFIX ) from .template import CtaTemplate +from .converter import OffsetConverter STOP_STATUS_MAP = { @@ -85,6 +96,8 @@ class CtaEngine(BaseEngine): self.rq_client = None self.rq_symbols = set() + self.offset_converter = OffsetConverter(self.main_engine) + def init_engine(self): """ """ @@ -104,6 +117,7 @@ class CtaEngine(BaseEngine): self.event_engine.register(EVENT_TICK, self.process_tick_event) self.event_engine.register(EVENT_ORDER, self.process_order_event) self.event_engine.register(EVENT_TRADE, self.process_trade_event) + self.event_engine.register(EVENT_POSITION, self.process_position_event) def init_rqdata(self): """ @@ -185,6 +199,8 @@ class CtaEngine(BaseEngine): def process_order_event(self, event: Event): """""" order = event.data + + self.offset_converter.update_order(order) strategy = self.orderid_strategy_map.get(order.vt_orderid, None) if not strategy: @@ -217,6 +233,8 @@ class CtaEngine(BaseEngine): """""" trade = event.data + self.offset_converter.update_trade(trade) + strategy = self.orderid_strategy_map.get(trade.vt_orderid, None) if not strategy: return @@ -229,6 +247,12 @@ class CtaEngine(BaseEngine): self.call_strategy_func(strategy, strategy.on_trade, trade) self.put_strategy_event(strategy) + def process_position_event(self, event: Event): + """""" + position = event.data + + self.offset_converter.update_position(position) + def check_stop_order(self, tick: TickData): """""" for stop_order in list(self.stop_orders.values()): @@ -259,16 +283,17 @@ class CtaEngine(BaseEngine): else: price = tick.bid_price_5 - vt_orderid = self.send_limit_order( + vt_orderids = self.send_limit_order( strategy, stop_order.direction, stop_order.offset, price, - stop_order.volume + stop_order.volume, + stop_order.lock ) # Update stop order status if placed successfully - if vt_orderid: + if vt_orderids: # Remove from relation map. self.stop_orders.pop(stop_order.stop_orderid) @@ -278,7 +303,7 @@ class CtaEngine(BaseEngine): # Change stop order status to cancelled and update to strategy. stop_order.status = StopOrderStatus.TRIGGERED - stop_order.vt_orderid = vt_orderid + stop_order.vt_orderids = vt_orderids self.call_strategy_func( strategy, strategy.on_stop_order, stop_order @@ -292,13 +317,14 @@ class CtaEngine(BaseEngine): offset: Offset, price: float, volume: float, - type: OrderType + type: OrderType, + lock: bool ): """ Send a new order to server. """ # Create request and send order. - req = OrderRequest( + original_req = OrderRequest( symbol=contract.symbol, exchange=contract.exchange, direction=direction, @@ -307,16 +333,25 @@ class CtaEngine(BaseEngine): price=price, volume=volume, ) - vt_orderid = self.main_engine.send_order( - req, contract.gateway_name) - # Save relationship between orderid and strategy. - self.orderid_strategy_map[vt_orderid] = strategy + # Convert with offset converter + req_list = self.offset_converter.convert_order_request(original_req, lock) - vt_orderids = self.strategy_orderid_map[strategy.strategy_name] - vt_orderids.add(vt_orderid) + # Send Orders + vt_orderids = [] - return vt_orderid + for req in req_list: + self.offset_converter.update_order_request(req) + + vt_orderid = self.main_engine.send_order( + req, contract.gateway_name) + vt_orderids.append(vt_orderid) + + # Save relationship between orderid and strategy. + self.orderid_strategy_map[vt_orderid] = strategy + self.strategy_orderid_map[strategy.strategy_name].add(vt_orderid) + + return vt_orderids def send_limit_order( self, @@ -325,7 +360,8 @@ class CtaEngine(BaseEngine): direction: Direction, offset: Offset, price: float, - volume: float + volume: float, + lock: bool ): """ Send a limit order to server. @@ -337,7 +373,8 @@ class CtaEngine(BaseEngine): offset, price, volume, - OrderType.LIMIT + OrderType.LIMIT, + lock ) def send_server_stop_order( @@ -347,7 +384,8 @@ class CtaEngine(BaseEngine): direction: Direction, offset: Offset, price: float, - volume: float + volume: float, + lock: bool ): """ Send a stop order to server. @@ -362,7 +400,8 @@ class CtaEngine(BaseEngine): offset, price, volume, - OrderType.STOP + OrderType.STOP, + lock ) def send_local_stop_order( @@ -372,6 +411,7 @@ class CtaEngine(BaseEngine): offset: Offset, price: float, volume: float, + lock: bool ): """ Create a new local stop order. @@ -386,7 +426,8 @@ class CtaEngine(BaseEngine): price=price, volume=volume, stop_orderid=stop_orderid, - strategy_name=strategy.strategy_name + strategy_name=strategy.strategy_name, + lock=lock ) self.stop_orders[stop_orderid] = stop_order @@ -439,6 +480,7 @@ class CtaEngine(BaseEngine): price: float, volume: float, stop: bool, + lock: bool ): """ """ @@ -449,11 +491,11 @@ class CtaEngine(BaseEngine): if stop: if contract.stop_supported: - return self.send_server_stop_order(strategy, contract, direction, offset, price, volume) + return self.send_server_stop_order(strategy, contract, direction, offset, price, volume, lock) else: - return self.send_local_stop_order(strategy, contract, direction, offset, price, volume) + return self.send_local_stop_order(strategy, contract, direction, offset, price, volume, lock) else: - return self.send_limit_order(strategy, contract, direction, offset, price, volume) + return self.send_limit_order(strategy, contract, direction, offset, price, volume, lock) def cancel_order(self, strategy: CtaTemplate, vt_orderid: str): """ diff --git a/vnpy/app/cta_strategy/template.py b/vnpy/app/cta_strategy/template.py index eaa821b2..38bf52d2 100644 --- a/vnpy/app/cta_strategy/template.py +++ b/vnpy/app/cta_strategy/template.py @@ -166,17 +166,18 @@ class CtaTemplate(ABC): price: float, volume: float, stop: bool = False, + lock: bool = False ): """ Send a new order. """ if self.trading: - vt_orderid = self.cta_engine.send_order( - self, direction, offset, price, volume, stop + vt_orderids = self.cta_engine.send_order( + self, direction, offset, price, volume, stop, lock ) + return vt_orderids else: - vt_orderid = "" - return vt_orderid + return [] def cancel_order(self, vt_orderid: str): """ diff --git a/vnpy/app/cta_strategy/ui/widget.py b/vnpy/app/cta_strategy/ui/widget.py index 303ba910..da225af6 100644 --- a/vnpy/app/cta_strategy/ui/widget.py +++ b/vnpy/app/cta_strategy/ui/widget.py @@ -334,13 +334,14 @@ class StopOrderMonitor(BaseMonitor): "cell": BaseCell, "update": False, }, - "vt_orderid": {"display": "限价委托号", "cell": BaseCell, "update": True}, + "vt_orderids": {"display": "限价委托号", "cell": BaseCell, "update": True}, "vt_symbol": {"display": "代码", "cell": BaseCell, "update": False}, "order_type": {"display": "类型", "cell": EnumCell, "update": False}, "price": {"display": "价格", "cell": BaseCell, "update": False}, - "volume": {"display": "数量", "cell": BaseCell, "update": True}, + "volume": {"display": "数量", "cell": BaseCell, "update": False}, "status": {"display": "状态", "cell": EnumCell, "update": True}, - "strategy": {"display": "策略名", "cell": StrategyCell, "update": True}, + "lock": {"display": "锁仓", "cell": BaseCell, "update": False}, + "strategy": {"display": "策略名", "cell": StrategyCell, "update": False}, } def init_ui(self):