[Fix]bugs in cta strategy app
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vn.py
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File diff suppressed because one or more lines are too long
@ -2,7 +2,7 @@
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Defines constants and objects used in CtaStrategy App.
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"""
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from dataclasses import dataclass
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from dataclasses import dataclass, field
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from enum import Enum
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from vnpy.trader.constant import Direction, Offset
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@ -36,9 +36,9 @@ class StopOrder:
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volume: float
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stop_orderid: str
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strategy_name: str
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lock: bool = False
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vt_orderids: list = field(default_factory=list)
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status: StopOrderStatus = StopOrderStatus.WAITING
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vt_orderids: list
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lock: bool
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EVENT_CTA_LOG = "eCtaLog"
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@ -45,13 +45,13 @@ class OffsetConverter:
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holding = self.get_position_holding(order.vt_symbol)
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holding.update_order(order)
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def update_order_request(self, req: OrderRequest):
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def update_order_request(self, req: OrderRequest, vt_orderid: str):
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""""""
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if not self.is_convert_required(req.vt_symbol):
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return
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holding = self.get_position_holding(req.vt_symbol)
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holding.update_order_request(req)
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holding.update_order_request(req, vt_orderid)
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def get_position_holding(self, vt_symbol: str):
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""""""
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@ -76,12 +76,12 @@ class OffsetConverter:
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else:
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return [req]
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@lru_cache
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@lru_cache()
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def is_convert_required(self, vt_symbol: str):
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"""
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Check if the contract needs offset convert.
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"""
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contract = self.main_engine.get(vt_symbol)
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contract = self.main_engine.get_contract(vt_symbol)
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# Only contracts with long-short position mode requires convert
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if not contract.net_position:
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@ -139,7 +139,10 @@ class PositionHolding:
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def update_order_request(self, req: OrderRequest, vt_orderid: str):
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""""""
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gateway_name, orderid = vt_orderid.split(".")
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ix = vt_orderid.index(".")
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gateway_name = vt_orderid[:ix]
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orderid = vt_orderid[ix + 1:]
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order = req.create_order_data(orderid, gateway_name)
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self.update_order(order)
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@ -282,9 +282,12 @@ class CtaEngine(BaseEngine):
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price = tick.limit_down
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else:
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price = tick.bid_price_5
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contract = self.main_engine.get_contract(stop_order.vt_symbol)
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vt_orderids = self.send_limit_order(
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strategy,
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contract,
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stop_order.direction,
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stop_order.offset,
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price,
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@ -297,9 +300,9 @@ class CtaEngine(BaseEngine):
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# Remove from relation map.
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self.stop_orders.pop(stop_order.stop_orderid)
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vt_orderids = self.strategy_orderid_map[strategy.strategy_name]
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if stop_order.stop_orderid in vt_orderids:
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vt_orderids.remove(stop_order.stop_orderid)
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strategy_vt_orderids = self.strategy_orderid_map[strategy.strategy_name]
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if stop_order.stop_orderid in strategy_vt_orderids:
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strategy_vt_orderids.remove(stop_order.stop_orderid)
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# Change stop order status to cancelled and update to strategy.
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stop_order.status = StopOrderStatus.TRIGGERED
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@ -308,6 +311,7 @@ class CtaEngine(BaseEngine):
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self.call_strategy_func(
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strategy, strategy.on_stop_order, stop_order
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)
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self.put_stop_order_event(stop_order)
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def send_server_order(
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self,
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@ -341,11 +345,11 @@ class CtaEngine(BaseEngine):
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vt_orderids = []
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for req in req_list:
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self.offset_converter.update_order_request(req)
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vt_orderid = self.main_engine.send_order(
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req, contract.gateway_name)
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vt_orderids.append(vt_orderid)
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self.offset_converter.update_order_request(req, vt_orderid)
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# Save relationship between orderid and strategy.
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self.orderid_strategy_map[vt_orderid] = strategy
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@ -436,6 +440,7 @@ class CtaEngine(BaseEngine):
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vt_orderids.add(stop_orderid)
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self.call_strategy_func(strategy, strategy.on_stop_order, stop_order)
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self.put_stop_order_event(stop_order)
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return stop_orderid
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@ -471,6 +476,7 @@ class CtaEngine(BaseEngine):
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stop_order.status = StopOrderStatus.CANCELLED
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self.call_strategy_func(strategy, strategy.on_stop_order, stop_order)
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self.put_stop_order_event(stop_order)
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def send_order(
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self,
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@ -493,7 +499,7 @@ class CtaEngine(BaseEngine):
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if contract.stop_supported:
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return self.send_server_stop_order(strategy, contract, direction, offset, price, volume, lock)
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else:
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return self.send_local_stop_order(strategy, contract, direction, offset, price, volume, lock)
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return self.send_local_stop_order(strategy, direction, offset, price, volume, lock)
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else:
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return self.send_limit_order(strategy, contract, direction, offset, price, volume, lock)
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@ -302,23 +302,6 @@ class DataMonitor(QtWidgets.QTableWidget):
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cell.setText(str(value))
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class StrategyCell(BaseCell):
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"""
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Cell used for showing strategy name.
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"""
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def __init__(self, content: str, data: Any):
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""""""
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super(StrategyCell, self).__init__(content, data)
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def set_content(self, content: Any, data: Any):
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"""
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Set text using enum.constant.value.
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"""
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if content:
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super(StrategyCell, self).set_content(content.strategy_name, data)
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class StopOrderMonitor(BaseMonitor):
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"""
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Monitor for local stop order.
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@ -335,25 +318,16 @@ class StopOrderMonitor(BaseMonitor):
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"update": False,
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},
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"vt_orderids": {"display": "限价委托号", "cell": BaseCell, "update": True},
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"vt_symbol": {"display": "代码", "cell": BaseCell, "update": False},
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"order_type": {"display": "类型", "cell": EnumCell, "update": False},
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"vt_symbol": {"display": "本地代码", "cell": BaseCell, "update": False},
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"direction": {"display": "方向", "cell": EnumCell, "update": False},
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"offset": {"display": "开平", "cell": EnumCell, "update": False},
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"price": {"display": "价格", "cell": BaseCell, "update": False},
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"volume": {"display": "数量", "cell": BaseCell, "update": False},
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"status": {"display": "状态", "cell": EnumCell, "update": True},
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"lock": {"display": "锁仓", "cell": BaseCell, "update": False},
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"strategy": {"display": "策略名", "cell": StrategyCell, "update": False},
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"strategy_name": {"display": "策略名", "cell": BaseCell, "update": False},
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}
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def init_ui(self):
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"""
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Stretch columns.
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"""
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super(StopOrderMonitor, self).init_ui()
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self.horizontalHeader().setSectionResizeMode(
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QtWidgets.QHeaderView.Stretch
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)
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class LogMonitor(BaseMonitor):
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"""
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