[增强] BarData扩充字段interval_num，修正部分bug

vnpy/app/algo_trading/engine.py

@@ -283,7 +283,7 @@ class AlgoEngine(BaseEngine):
 
         ret = self.stop_algo(req.orderid)
         if ret:
-            order.cancelTime = datetime.now().strftime('%H:%M:%S.%f')
+            order.cancel_time = datetime.now().strftime('%H:%M:%S.%f')
             order.status = Status.CANCELLED
             event1 = Event(type=EVENT_ORDER, data=order)
             self.event_engine.put(event1)

vnpy/app/cta_crypto/back_testing.py

@@ -354,7 +354,7 @@ class BackTestingEngine(object):
         return self.volume_tick.get(vt_symbol, 1)
 
     def set_contract(self, symbol: str, exchange: Exchange, product: Product, name: str, size: int,
-                     price_tick: float, volume_tick: float = 1, margin_rate: float = 0.1):
+                     price_tick: float, volume_tick: float = 0.1, margin_rate: float = 0.1):
         """设置合约信息"""
         vt_symbol = '.'.join([symbol, exchange.value])
         if vt_symbol not in self.contract_dict:
@@ -560,8 +560,8 @@ class BackTestingEngine(object):
                 exchange=Exchange(symbol_data.get('exchange', 'LOCAL')),
                 product=Product(symbol_data.get('product', "期货")),
                 size=symbol_data.get('symbol_size', 10),
-                price_tick=symbol_data.get('price_tick', 1),
+                price_tick=symbol_data.get('price_tick', 0.01),
-                volume_tick=symbol_data.get('min_volume', 1),
+                volume_tick=symbol_data.get('min_volume', 0.1),
                 margin_rate=margin_rate
             )
 
@@ -601,8 +601,8 @@ class BackTestingEngine(object):
     def new_bar(self, bar):
         """新的K线"""
         self.last_bar.update({bar.vt_symbol: bar})
-        if self.last_dt is None or (bar.datetime and bar.datetime > self.last_dt):
+        if self.last_dt is None or (bar.datetime and bar.datetime > self.last_dt - timedelta(seconds=self.bar_interval_seconds)):
-            self.last_dt = bar.datetime
+            self.last_dt = bar.datetime + timedelta(seconds=self.bar_interval_seconds)
         self.set_price(bar.vt_symbol, bar.close_price)
         self.cross_stop_order(bar=bar)  # 撮合停止单
         self.cross_limit_order(bar=bar)  # 先撮合限价单
@@ -887,7 +887,7 @@ class BackTestingEngine(object):
             if register_strategy.strategy_name != strategy.strategy_name:
                 return False
             order.status = Status.CANCELLED
-            order.cancelTime = str(self.last_dt)
+            order.cancel_time = str(self.last_dt)
             self.active_limit_orders.pop(vt_orderid, None)
             strategy.on_order(order)
             return True
@@ -941,7 +941,7 @@ class BackTestingEngine(object):
                 strategy_cond = strategy.strategy_name == order_strategy.strategy_name
 
             if offset_cond and symbol_cond and strategy_cond:
-                self.write_log(u'撤销订单:{},{} {}@{}'
+                self.write_log(u'撤销限价订单:{},{} {}@{}'
                                .format(vt_orderid, order.direction, order.price, order.volume))
                 order.status = Status.CANCELLED
                 order.cancel_time = str(self.last_dt)

vnpy/app/cta_strategy_pro/back_testing.py

@@ -583,8 +583,8 @@ class BackTestingEngine(object):
     def new_bar(self, bar):
         """新的K线"""
         self.last_bar.update({bar.vt_symbol: bar})
-        if self.last_dt is None or (bar.datetime and bar.datetime > self.last_dt):
+        if self.last_dt is None or (bar.datetime and bar.datetime > self.last_dt - timedelta(seconds=self.bar_interval_seconds)):
-            self.last_dt = bar.datetime
+            self.last_dt = bar.datetime + timedelta(seconds=self.bar_interval_seconds)
         self.set_price(bar.vt_symbol, bar.close_price)
         self.cross_stop_order(bar=bar)  # 撮合停止单
         self.cross_limit_order(bar=bar)  # 先撮合限价单
@@ -898,7 +898,7 @@ class BackTestingEngine(object):
             if register_strategy.strategy_name != strategy.strategy_name:
                 return False
             order.status = Status.CANCELLED
-            order.cancelTime = str(self.last_dt)
+            order.cancel_time = str(self.last_dt)
             self.active_limit_orders.pop(vt_orderid, None)
             strategy.on_order(order)
             return True
@@ -960,6 +960,7 @@ class BackTestingEngine(object):
                 if strategy:
                     strategy.on_order(order)
 
+        # 撤销本地停止单
         for stop_orderid in list(self.active_stop_orders.keys()):
             order = self.active_stop_orders.get(stop_orderid, None)
             order_strategy = self.order_strategy_dict.get(stop_orderid, None)
@@ -992,6 +993,7 @@ class BackTestingEngine(object):
 
     def cross_stop_order(self, bar: BarData = None, tick: TickData = None):
         """
+        本地停止单撮合
         Cross stop order with last bar/tick data.
         """
         vt_symbol = bar.vt_symbol if bar else tick.vt_symbol

vnpy/component/cta_line_bar.py

@@ -1055,7 +1055,9 @@ class CtaLineBar(object):
             gateway_name=tick.gateway_name,
             symbol=tick.symbol,
             exchange=tick.exchange,
-            datetime=tick.datetime
+            datetime=tick.datetime,
+            interval=self.interval,
+            interval_num=self.bar_interval
         )  # 创建新的K线
         # 计算K线的整点分钟周期，这里周期最小是1分钟。如果你是采用非整点分钟，例如1.5分钟，请把这段注解掉
         if self.minute_interval and self.interval == Interval.SECOND:

vnpy/component/cta_policy.py

@@ -8,6 +8,7 @@ from vnpy.component.base import CtaComponent
 from vnpy.trader.utility import get_folder_path
 
 TNS_STATUS_OBSERVATE = 'observate'
+TNS_STATUS_READY = 'ready'
 TNS_STATUS_ORDERING = 'ordering'
 TNS_STATUS_OPENED = 'opened'
 TNS_STATUS_CLOSED = 'closed'

vnpy/gateway/binancef/binancef_gateway.py

@@ -38,6 +38,7 @@ from vnpy.trader.object import (
     SubscribeRequest,
     HistoryRequest
 )
+from vnpy.trader.utility import print_dict
 from vnpy.trader.event import EVENT_TIMER
 from vnpy.event import Event, EventEngine
 
@@ -508,11 +509,14 @@ class BinancefRestApi(RestClient):
             "unrealizedProfit": "-0.44537584", // 持仓未实现盈亏
             "walletBalance": "9.19485176" // 账户余额
             }"""
+            # self.gateway.write_log(print_dict(asset))
             account = AccountData(
                 accountid=f"{self.gateway_name}_{asset['asset']}",
                 balance=float(asset["marginBalance"]),
                 frozen=float(asset["maintMargin"]),
                 holding_profit=float(asset['unrealizedProfit']),
+                currency='USDT',
+                margin=float(asset["initialMargin"]),
                 gateway_name=self.gateway_name
             )
 

vnpy/trader/object.py

@@ -96,6 +96,7 @@ class BarData(BaseData):
     trading_day: str = ""  # '%Y-%m-%d'
 
     interval: Interval = None  # constant.py Internal 1m, 1h, 1d, 1w .etc
+    interval_num: int = 1   # 5 for 5m, 5h etc
     volume: float = 0
     open_interest: float = 0
     open_price: float = 0