之前修改的CTP的上期所持仓依旧有所问题，基于持仓数据缓存的模式进行了修复，同时修复回测引擎中的一个tick回测相关的bug。
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chenxy123
parent
e68afab909
commit
1fdddd2033
@ -1,5 +0,0 @@
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<?xml version="1.0"?>
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<SubscriptionDataContainer xmlns:xsi="http://www.w3.org/2001/XMLSchema-instance" xmlns:xsd="http://www.w3.org/2001/XMLSchema" xmlns="urn:Microsoft.VisualStudio.WindowsAzure.CommonAzureTools.Authentication.CacheManagement">
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<Items />
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<TokenCache>AQAAANCMnd8BFdERjHoAwE/Cl+sBAAAAhE4p+D02F0WYPy8qCmMXxAAAAAACAAAAAAAQZgAAAAEAACAAAABqqZf7eO/8AqQFqurp2lQDI7ZnZtjWpYLxdEZZGWoeTgAAAAAOgAAAAAIAACAAAACO1demA+YL03Dkjrvv0fYv1k0mGB4XD5t7YYCfD7RdCBAAAACmf9hwg57+FQ2Y5W5BmkdtQAAAAO2Nz3wpQbXLHeGtVRYjAqDcPS8ZJZJVEQ17yhmhHxf12PU4Ru3qr5bEI9j6zaanFd0dF00D4aUwUNKJ5o5raII=</TokenCache>
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</SubscriptionDataContainer>
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@ -174,6 +174,7 @@ class BacktestingEngine(object):
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def newTick(self, tick):
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"""新的Tick"""
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self.tick = tick
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self.dt = tick.datetime
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self.crossLimitOrder()
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self.crossStopOrder()
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self.strategy.onTick(tick)
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@ -17,6 +17,7 @@ from vnctptd import TdApi
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from ctpDataType import *
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from vtGateway import *
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# 以下为一些VT类型和CTP类型的映射字典
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# 价格类型映射
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priceTypeMap = {}
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@ -437,7 +438,7 @@ class CtpTdApi(TdApi):
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self.frontID = EMPTY_INT # 前置机编号
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self.sessionID = EMPTY_INT # 会话编号
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self.posDict = {} # 缓存持仓数据的字典
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self.posBufferDict = {} # 缓存持仓数据的字典
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#----------------------------------------------------------------------
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def onFrontConnected(self):
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@ -627,44 +628,18 @@ class CtpTdApi(TdApi):
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#----------------------------------------------------------------------
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def onRspQryInvestorPosition(self, data, error, n, last):
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"""持仓查询回报"""
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# 获取缓存字典中的持仓对象，若无则创建并初始化
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# 获取缓存字典中的持仓缓存，若无则创建并初始化
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positionName = '.'.join([data['InstrumentID'], data['PosiDirection']])
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if positionName in self.posDict:
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pos = self.posDict[positionName]
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if positionName in self.posBufferDict:
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posBuffer = self.posBufferDict[positionName]
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else:
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pos = VtPositionData()
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self.posDict[positionName] = pos
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pos.gatewayName = self.gatewayName
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posBuffer = PositionBuffer(data, self.gatewayName)
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self.posBufferDict[positionName] = posBuffer
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# 保存代码
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pos.symbol = data['InstrumentID']
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pos.vtSymbol = pos.symbol # 这里因为data中没有ExchangeID这个字段
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# 方向
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pos.direction = posiDirectionMapReverse.get(data['PosiDirection'], '')
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# VT系统持仓名
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pos.vtPositionName = '.'.join([pos.vtSymbol, pos.direction])
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# 持仓冻结数量
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if pos.direction == DIRECTION_NET or pos.direction == DIRECTION_LONG:
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pos.frozen = data['LongFrozen']
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elif pos.direction == DIRECTION_SHORT:
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pos.frozen = data['ShortFrozen']
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# 持仓量
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pos.position = data['Position']
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pos.ydPosition = data['Position'] - data['TodayPosition']
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# 持仓均价
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if pos.position:
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pos.price = data['PositionCost'] / pos.position
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# 推送
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newpos = copy(pos)
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self.gateway.onPosition(newpos)
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# 更新持仓缓存，并获取VT系统中持仓对象的返回值
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pos = posBuffer.updateBuffer(data)
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self.gateway.onPosition(pos)
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#----------------------------------------------------------------------
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def onRspQryTradingAccount(self, data, error, n, last):
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@ -1255,12 +1230,9 @@ class CtpTdApi(TdApi):
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req['VolumeTotalOriginal'] = orderReq.volume
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# 下面如果由于传入的类型本接口不支持，则会返回空字符串
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try:
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req['OrderPriceType'] = priceTypeMap[orderReq.priceType]
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req['Direction'] = directionMap[orderReq.direction]
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req['CombOffsetFlag'] = offsetMap[orderReq.offset]
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except KeyError:
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return ''
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req['OrderPriceType'] = priceTypeMap.get(orderReq.priceType, '')
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req['Direction'] = directionMap.get(orderReq.direction, '')
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req['CombOffsetFlag'] = offsetMap.get(orderReq.offset, '')
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req['OrderRef'] = str(self.orderRef)
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req['InvestorID'] = self.userID
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@ -1275,6 +1247,16 @@ class CtpTdApi(TdApi):
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req['VolumeCondition'] = defineDict['THOST_FTDC_VC_AV'] # 任意成交量
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req['MinVolume'] = 1 # 最小成交量为1
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# 判断FAK和FOK
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if orderReq.priceType == PRICETYPE_FAK:
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req['OrderPriceType'] = defineDict["THOST_FTDC_OPT_LimitPrice"]
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req['TimeCondition'] = defineDict['THOST_FTDC_TC_IOC']
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req['VolumeCondition'] = defineDict['THOST_FTDC_VC_AV']
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if orderReq.priceType == PRICETYPE_FOK:
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req['OrderPriceType'] = defineDict["THOST_FTDC_OPT_LimitPrice"]
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req['TimeCondition'] = defineDict['THOST_FTDC_TC_IOC']
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req['VolumeCondition'] = defineDict['THOST_FTDC_VC_CV']
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self.reqOrderInsert(req, self.reqID)
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# 返回订单号（字符串），便于某些算法进行动态管理
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@ -1306,6 +1288,55 @@ class CtpTdApi(TdApi):
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self.exit()
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########################################################################
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class PositionBuffer(object):
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"""用来缓存持仓的数据，处理上期所的数据返回分今昨的问题"""
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#----------------------------------------------------------------------
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def __init__(self, data, gatewayName):
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"""Constructor"""
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self.symbol = data['InstrumentID']
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self.direction = posiDirectionMapReverse.get(data['PosiDirection'], '')
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self.todayPosition = EMPTY_INT
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self.ydPosition = EMPTY_INT
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self.todayPositionCost = EMPTY_FLOAT
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self.ydPositionCost = EMPTY_FLOAT
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# 通过提前创建持仓数据对象并重复使用的方式来降低开销
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pos = VtPositionData()
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pos.symbol = self.symbol
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pos.vtSymbol = self.symbol
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pos.gatewayName = gatewayName
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pos.direction = self.direction
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pos.vtPositionName = '.'.join([pos.vtSymbol, pos.direction])
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self.pos = pos
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#----------------------------------------------------------------------
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def updateBuffer(self, data):
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"""更新缓存，返回更新后的持仓数据"""
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# 昨仓和今仓的数据更新是分在两条记录里的，因此需要判断检查该条记录对应仓位
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if data['TodayPosition']:
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self.todayPosition = data['Position']
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self.todayPositionCost = data['PositionCost']
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elif data['YdPosition']:
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self.ydPosition = data['Position']
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self.ydPositionCost = data['PositionCost']
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# 持仓的昨仓和今仓相加后为总持仓
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self.pos.position = self.todayPosition + self.ydPosition
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self.pos.ydPosition = self.ydPosition
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# 如果手头还有持仓，则通过加权平均方式计算持仓均价
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if self.todayPosition or self.ydPosition:
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self.pos.price = ((self.todayPositionCost + self.ydPositionCost)/
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(self.todayPosition + self.ydPosition))
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# 否则价格为0
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else:
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self.pos.price = 0
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return copy(self.pos)
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#----------------------------------------------------------------------
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def test():
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"""测试"""
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