bug fix

vnpy/data/binance/binance_data.py

@@ -31,21 +31,33 @@ PERIOD_MAPPING['1month'] = '1M'
 
 SYMBOL_LIST = ['ltc_btc', 'eth_btc', 'etc_btc', 'bch_btc', 'btc_usdt', 'eth_usdt', 'ltc_usdt', 'etc_usdt', 'bch_usdt',
               'etc_eth','bt1_btc','bt2_btc','btg_btc','qtum_btc','hsr_btc','neo_btc','gas_btc',
-              'qtum_usdt','hsr_usdt','neo_usdt','gas_usdt']
+              'qtum_usdt','hsr_usdt','neo_usdt','gas_usdt','bnb_usdt','eos_usdt']
 
 
 class BinanceData(object):
+
     # ----------------------------------------------------------------------
-    def __init__(self, strategy):
+    def __init__(self, strategy=None):
         """
         构造函数
-        :param strategy: 上层策略，主要用与使用strategy.writeCtaLog（）
+        :param strategy: 上层策略，主要用与使用writeLog（）
         """
         self.strategy = strategy
+        self.client = Client('', '')
 
-        self.client = Client('-', '-')
+    def writeLog(self,content):
+        if self.strategy and hasattr(self.strategy,'writeCtaLog'):
+            self.strategy.writeCtaLog(content)
+        else:
+            print(content)
 
-    def get_bars(self, symbol, period, callback, bar_is_completed=False, bar_freq=1, start_dt=None):
+    def writeError(self,content):
+        if self.strategy and hasattr(self.strategy,'writeCtaError'):
+            self.strategy.writeCtaError(content)
+        else:
+            print(content,file=sys.stderr)
+            
+    def get_bars(self, symbol, period, callback, bar_is_completed=False,bar_freq=1, start_dt=None):
         """
         返回k线数据
         symbol：合约
@@ -53,10 +65,10 @@ class BinanceData(object):
         """
         ret_bars = []
         if symbol not in SYMBOL_LIST:
-            self.strategy.writeCtaError(u'{} 合约{}不在下载清单中'.format(datetime.now(), symbol))
+            self.writeError(u'{} 合约{}不在下载清单中'.format(datetime.now(), symbol))
             return False,ret_bars
         if period not in PERIOD_MAPPING:
-            self.strategy.writeCtaError(u'{} 周期{}不在下载清单中'.format(datetime.now(), period))
+            self.writeError(u'{} 周期{}不在下载清单中'.format(datetime.now(), period))
             return False,ret_bars
         if self.client is None:
             return False,ret_bars
@@ -64,37 +76,107 @@ class BinanceData(object):
         binance_symbol = symbol.upper().replace('_' , '')
         binance_period = PERIOD_MAPPING.get(period)
 
-        self.strategy.writeCtaLog('{}开始下载binance:{} {}数据.'.format(datetime.now(), binance_symbol, binance_period))
+        self.writeLog('{}开始下载binance:{} {}数据.'.format(datetime.now(), binance_symbol, binance_period))
 
+        bars = []
         try:
             bars = self.client.get_klines(symbol=binance_symbol, interval=binance_period)
+            bar_len = len(bars)
             for i, bar in enumerate(bars):
                 add_bar = CtaBarData()
                 try:
                     add_bar.vtSymbol = symbol
                     add_bar.symbol = symbol
                     add_bar.datetime = datetime.fromtimestamp(bar[0] / 1000)
+                    utcdatetime = datetime.utcfromtimestamp(bar[0] / 1e3)
                     add_bar.date = add_bar.datetime.strftime('%Y-%m-%d')
                     add_bar.time = add_bar.datetime.strftime('%H:%M:%S')
-                    add_bar.tradingDay = add_bar.date
+                    # 币安的交易日，是按照utc来计算的
+                    add_bar.tradingDay = utcdatetime.strftime('%Y-%m-%d')
                     add_bar.open = float(bar[1])
                     add_bar.high = float(bar[2])
                     add_bar.low = float(bar[3])
                     add_bar.close = float(bar[4])
                     add_bar.volume = float(bar[5])
+                    ret_bars.append(add_bar)
                 except Exception as ex:
-                    self.strategy.writeCtaError(
+                    self.writeError(
                         'error when convert bar:{},ex:{},t:{}'.format(bar, str(ex), traceback.format_exc()))
-                    return False
+                    return False,ret_bars
 
                 if start_dt is not None and bar.datetime < start_dt:
                     continue
-                ret_bars.append(add_bar)
+
                 if callback is not None:
-                    callback(add_bar, bar_is_completed, bar_freq)
+                    # 最后一个bar，可能是不完整的，强制修改
+                    if i == bar_len -1 and bar_is_completed:
+                        # 根据秒数算的话，要+1，例如13:31,freq=31，第31根bar
+                        freq = int((datetime.now() - add_bar.datetime).total_seconds() / 60) + 1
+                        callback(add_bar, False, freq)
+                    else:
+                        callback(add_bar, bar_is_completed, bar_freq)
+
             return True,ret_bars
         except Exception as ex:
-            self.strategy.writeCtaError('exception in get:{},{},{}'.format(binance_symbol,str(ex), traceback.format_exc()))
+            self.writeError('exception in get:{},{},{}'.format(binance_symbol,str(ex), traceback.format_exc()))
             return False,ret_bars
 
+    def download_bars(self, symbol, period, start_dt=None):
+        """
+        返回k线数据
+        symbol：合约
+        period: 周期: 1min,3min,5min,15min,30min,1day,3day,1hour,2hour,4hour,6hour,12hour
+        """
+        ret_bars = []
+
+        if symbol not in SYMBOL_LIST:
+            self.writeError(u'{} 合约{}不在下载清单中'.format(datetime.now(), symbol))
+            return ret_bars
+        if period not in PERIOD_MAPPING:
+            self.writeError(u'{} 周期{}不在下载清单中'.format(datetime.now(), period))
+            return ret_bars
+        if self.client is None:
+            return ret_bars
+
+        binance_symbol = symbol.upper().replace('_', '')
+        binance_period = PERIOD_MAPPING.get(period)
+
+        self.writeLog('{}开始下载binance:{} {}数据.'.format(datetime.now(), binance_symbol, binance_period))
+
+        try:
+            bars = self.client.get_klines(symbol=binance_symbol, interval=binance_period)
+            for i, bar in enumerate(bars):
+                add_bar = {}
+                try:
+                    bar_datetime = datetime.fromtimestamp(bar[0] / 1e3)
+                    utc_datetime = datetime.utcfromtimestamp(bar[0] / 1e3)
+                    add_bar['datetime'] = bar_datetime.strftime('%Y-%m-%d %H:%M:%S')
+                    add_bar['date'] = bar_datetime.strftime('%Y-%m-%d')
+                    add_bar['time'] = bar_datetime.strftime('%H:%M:%S')
+                    add_bar['open'] = float(bar[1])
+                    add_bar['high'] = float(bar[2])
+                    add_bar['low'] = float(bar[3])
+                    add_bar['close'] = float(bar[4])
+                    add_bar['volume'] = float(bar[5])
+                    add_bar['tradingDay'] = utc_datetime.strftime('%Y-%m-%d')
+                    ret_bars.append(add_bar)
+                except Exception as ex:
+                    self.writeError(
+                        'error when convert bar:{},ex:{},t:{}'.format(bar, str(ex), traceback.format_exc()))
+                    return ret_bars
+
+                if start_dt is not None and bar_datetime < start_dt:
+                    continue
+
+            return ret_bars
+        except Exception as ex:
+            self.writeError('exception in get:{},{},{}'.format(binance_symbol,str(ex), traceback.format_exc()))
+            return ret_bars
+
+if __name__ == '__main__':
+    binance_data = BinanceData()
+    bars = binance_data.download_bars(symbol='bnb_usdt', period='1day')
+
+    for bar in bars:
+        print(bar['datetime'])
 

vnpy/data/okex/okex_data.py

@@ -2,7 +2,7 @@
 
 # 从okex下载数据
 from datetime import datetime, timezone
-
+import sys
 import requests
 import execjs
 import traceback
@@ -11,13 +11,13 @@ from vnpy.trader.app.ctaStrategy.ctaBase import CtaBarData, CtaTickData
 period_list = ['1min','3min','5min','15min','30min','1day','1week','1hour','2hour','4hour','6hour','12hour']
 symbol_list = ['ltc_btc','eth_btc','etc_btc','bch_btc','btc_usdt','eth_usdt','ltc_usdt','etc_usdt','bch_usdt',
               'etc_eth','bt1_btc','bt2_btc','btg_btc','qtum_btc','hsr_btc','neo_btc','gas_btc',
-              'qtum_usdt','hsr_usdt','neo_usdt','gas_usdt','eos_usdt']
+              'qtum_usdt','hsr_usdt','neo_usdt','gas_usdt','eos_usdt','ada_usdt','xmr_usdt','zrx_usdt','zil_usdt']
 
 
 class OkexData(object):
 
     # ----------------------------------------------------------------------
-    def __init__(self, strategy):
+    def __init__(self, strategy=None):
         """
         构造函数
         :param strategy: 上层策略，主要用与使用strategy.writeCtaLog（）
@@ -29,6 +29,18 @@ class OkexData(object):
         self.session = requests.session()
         self.session.keep_alive = False
 
+    def writeLog(self,content):
+        if self.strategy and hasattr(self.strategy,'writeCtaLog'):
+            self.strategy.writeCtaLog(content)
+        else:
+            print(content)
+
+    def writeError(self,content):
+        if self.strategy:
+            self.strategy.writeCtaError(content)
+        else:
+            print(content,file=sys.stderr)
+
     def get_bars(self, symbol, period, callback, bar_is_completed=False,bar_freq=1, start_dt=None):
         """
         返回k线数据
@@ -38,24 +50,24 @@ class OkexData(object):
         ret_bars = []
         if symbol not in symbol_list:
             self.strategy.writeCtaError(u'{} {}不在下载清单中'.format(datetime.now(), symbol))
-            return False,ret_bars
+            return  False,ret_bars
 
         url = u'https://www.okex.com/api/v1/kline.do?symbol={}&type={}'.format(symbol, period)
-        self.strategy.writeCtaLog('{}开始下载:{} {}数据.URL:{}'.format(datetime.now(), symbol, period,url))
+        self.writeLog('{}开始下载:{} {}数据.URL:{}'.format(datetime.now(), symbol, period,url))
 
         content = None
-        bars = []
         try:
             content = self.session.get(url).content.decode('gbk')
-            bars = execjs.eval(content)
         except Exception as ex:
             self.strategy.writeCtaError('exception in get:{},{},{}'.format(url,str(ex), traceback.format_exc()))
             return False,ret_bars
 
+        bars = execjs.eval(content)
+        bar_len = len(bars)
         for i, bar in enumerate(bars):
             if len(bar) < 5:
                 self.strategy.writeCtaError('error when import bar:{}'.format(bar))
-                return False
+                return False,ret_bars
             if i == 0:
                 continue
             add_bar = CtaBarData()
@@ -71,17 +83,116 @@ class OkexData(object):
                 add_bar.low = float(bar[3])
                 add_bar.close = float(bar[4])
                 add_bar.volume = float(bar[5])
+                ret_bars.append(add_bar)
             except Exception as ex:
                 self.strategy.writeCtaError('error when convert bar:{},ex:{},t:{}'.format(bar, str(ex), traceback.format_exc()))
                 return False,ret_bars
 
             if start_dt is not None and bar.datetime < start_dt:
                 continue
-            ret_bars.append(add_bar)
+
             if callback is not None:
-                callback(add_bar, bar_is_completed, bar_freq)
+                # 最后一个bar，可能是不完整的，强制修改
+                if i == bar_len -1 and bar_is_completed:
+                    # 根据秒数算的话，要+1，例如13:31,freq=31，第31根bar
+                    freq = int((datetime.now() - add_bar.datetime).total_seconds()/60)+1
+                    callback(add_bar,False,freq)
+                else:
+                    callback(add_bar, bar_is_completed, bar_freq)
 
         return True,ret_bars
 
+    def download_bars(self, symbol, period, size_=None, start_dt=None):
+        """
+        返回k线数据
+        symbol：合约
+        period: 周期: 1min,3min,5min,15min,30min,1day,3day,1hour,2hour,4hour,6hour,12hour
+        """
+        ret_bars = []
+        if symbol not in symbol_list:
+            msg = u'{} {}不在下载清单中'.format(datetime.now(), symbol)
+            if self.strategy:
+                self.strategy.writeCtaError(msg)
+            else:
+                print(msg)
+            return ret_bars
+
+        url = u'https://www.okex.com/api/v1/kline.do?symbol={}&type={}'.format(symbol, period)
+        if isinstance(size_,int):
+            url = url + u'&size={}'.format(size_)
+        if start_dt is not None and isinstance(start_dt,datetime):
+            url = url + u'&since={}'.format(int(start_dt.timestamp()*1000))
+        self.writeLog('{}开始下载:{} {}数据.URL:{}'.format(datetime.now(), symbol, period,url))
+
+        content = None
+        try:
+            content = self.session.get(url).content.decode('gbk')
+        except Exception as ex:
+            self.writeError('exception in get:{},{},{}'.format(url,str(ex), traceback.format_exc()))
+            return ret_bars
+
+        bars = execjs.eval(content)
+
+        if not isinstance(bars,list):
+            self.writeError('返回数据不是list:{}'.format(content))
+            return ret_bars
+
+        for i, bar in enumerate(bars):
+            if len(bar) < 5:
+                self.writeError('error when get bar:{}'.format(bar))
+                return ret_bars
+            if i == 0:
+                continue
+            add_bar = {}
+            try:
+
+                bar_datetime= datetime.fromtimestamp(bar[0] / 1000)
+                add_bar['datetime'] = bar_datetime.strftime('%Y-%m-%d %H:%M:%S')
+                add_bar['date'] = bar_datetime.strftime('%Y-%m-%d')
+                add_bar['time'] = bar_datetime.strftime('%H:%M:%S')
+                add_bar['open'] = float(bar[1])
+                add_bar['high'] = float(bar[2])
+                add_bar['low'] = float(bar[3])
+                add_bar['close'] = float(bar[4])
+                add_bar['volume'] = float(bar[5])
+            except Exception as ex:
+                self.writeError('error when convert bar:{},ex:{},t:{}'.format(bar, str(ex), traceback.format_exc()))
+
+            ret_bars.append(add_bar)
+
+        return ret_bars
 
 
+class TestStrategy(object):
+
+    def __init__(self):
+
+        self.minDiff = 1
+        self.shortSymbol = 'btc'
+        self.vtSymbol = 'btc'
+
+        self.TMinuteInterval = 1
+    def addBar(self,bar,bar_is_completed, bar_freq):
+        print(u'tradingDay:{},dt:{},{} o:{},h:{},l:{},c:{},v:{}'.format(bar.tradingDay, bar.datetime,bar.vtSymbol, bar.open, bar.high,
+                                                                     bar.low, bar.close, bar.volume))
+    def onBar(self, bar):
+        print(u'tradingDay:{},dt:{},{} o:{},h:{},l:{},c:{},v:{}'.format(bar.tradingDay,bar.datetime,bar.vtSymbol, bar.open, bar.high, bar.low, bar.close, bar.volume))
+
+    def writeCtaLog(self, content):
+        print(content)
+
+    def writeCtaError(self, content):
+        print(content)
+
+if __name__ == '__main__':
+    t = TestStrategy()
+
+    ok_data = OkexData(t)
+
+    # 下载日线
+    #bars = ok_data.download_bars(symbol='btc_usdt', period='1day')
+    # 下载分钟
+    bars = ok_data.download_bars(symbol='btc_usdt', period='1min',start_dt=datetime.strptime('2017-06-01','%Y-%m-%d'))
+    for bar in bars:
+        print(bar['datetime'])
+

vnpy/trader/app/ctaStrategy/ctaEngine.py

@@ -40,7 +40,10 @@ from vnpy.trader.vtFunction import todayDate, getJsonPath
 from vnpy.trader.util_mail import sendmail
 # 加载 strategy目录下所有的策略
 from vnpy.trader.app.ctaStrategy.strategy import STRATEGY_CLASS
-
+try:
+    from vnpy.trader.util_wechat import *
+except:
+    print('import util_wechat fail')
 
 MATRIX_DB_NAME = 'matrix'                               # 虚拟策略矩阵的数据库名称
 POSITION_DISPATCH_COLL_NAME = 'position_dispatch'       # 虚拟策略矩阵的策略调度配置collection名称
@@ -148,7 +151,7 @@ class CtaEngine(object):
         contract = self.mainEngine.getContract(vtSymbol)
         if contract is None:
             self.writeCtaError(
-                u'vtEngine.sendOrder取不到{}合约得信息,{}发送{}委托:{},v{}'.format(vtSymbol, strategy.name, orderType, price,
+                u'vtEngine.sendOrder取不到{}合约得信息,{}发送{}委托:{},v{}失败'.format(vtSymbol, strategy.name, orderType, price,
                                                                          volume))
             return ''
 
@@ -256,12 +259,18 @@ class CtaEngine(object):
 
         if strategy:
             self.orderStrategyDict[vtOrderID] = strategy  # 保存vtOrderID和策略的映射关系
-
-            self.writeCtaLog(u'策略%s发送委托，%s, %s，%s，%s@%s'
-                             % (strategy.name, vtSymbol, req.offset, req.direction, volume, price))
+            msg = u'策略%s发送委托，%s, %s，%s，%s@%s' % (strategy.name, vtSymbol, req.offset, req.direction, volume, price)
+            self.writeCtaLog(msg)
         else:
-            self.writeCtaLog(u'%s发送委托，%s, %s，%s，%s@%s'
-                             % ('CtaEngine', vtSymbol, req.offset, req.direction, volume, price))
+            msg = u'%s发送委托，%s, %s，%s，%s@%s' % ('CtaEngine', vtSymbol, req.offset, req.direction, volume, price)
+            self.writeCtaLog(msg)
+
+        # 发送微信
+        try:
+            sendWeChatMsg(msg, target=self.ctaEngine.mainEngine.gatewayDetailList[0]['gatewayName'])
+        except:
+            pass
+
         return vtOrderID
 
     # ----------------------------------------------------------------------
@@ -283,6 +292,13 @@ class CtaEngine(object):
                 req.sessionID = order.sessionID
                 req.orderID = order.orderID
                 self.mainEngine.cancelOrder(req, order.gatewayName)
+
+                # 发送微信
+                try:
+                    msg = u'发送撤单指令，%s, %s，%s' % (order.symbol, order.orderID, order.gatewayName)
+                    sendWeChatMsg(msg, target=self.ctaEngine.mainEngine.gatewayDetailList[0]['gatewayName'])
+                except:
+                    pass
             else:
                 if order.status == STATUS_ALLTRADED:
                     self.writeCtaLog(u'委托单({0}已执行，无法撤销'.format(vtOrderID))
@@ -326,6 +342,13 @@ class CtaEngine(object):
                                          order.totalVolume - order.tradedVolume))
                 self.mainEngine.cancelOrder(req, order.gatewayName)
 
+                # 发送微信
+                try:
+                    msg = u'撤销所有单，{}'.format(symbol)
+                    sendWeChatMsg(msg, target=self.ctaEngine.mainEngine.gatewayDetailList[0]['gatewayName'])
+                except:
+                    pass
+
     # ----------------------------------------------------------------------
     def sendStopOrder(self, vtSymbol, orderType, price, volume, strategy):
         """发停止单（本地实现）"""
@@ -361,10 +384,14 @@ class CtaEngine(object):
         self.stopOrderDict[stopOrderID] = so  # 字典中不会删除
         self.workingStopOrderDict[stopOrderID] = so  # 字典中会删除
 
-        self.writeCtaLog(u'发停止单成功，'
-                         u'Id:{0},Symbol:{1},Type:{2},Price:{3},Volume:{4}'
-                         u'.'.format(stopOrderID, vtSymbol, orderType, price, volume))
+        msg = u'发停止单成功，Id:{},Symbol:{},Type:{},Price:{},Volume:{}'.format(stopOrderID, vtSymbol, orderType, price, volume)
+        self.writeCtaLog(msg)
 
+        # 发送微信
+        try:
+            sendWeChatMsg(msg, target=self.ctaEngine.mainEngine.gatewayDetailList[0]['gatewayName'])
+        except:
+            pass
         return stopOrderID
 
     # ----------------------------------------------------------------------
@@ -379,9 +406,21 @@ class CtaEngine(object):
             so.status = STOPORDER_CANCELLED  # STOPORDER_WAITING =》STOPORDER_CANCELLED
             del self.workingStopOrderDict[stopOrderID]  # 删除
             self.writeCtaLog(u'撤销停止单:{0}成功.'.format(stopOrderID))
+
+            # 发送微信
+            try:
+                sendWeChatMsg(u'撤销停止单:{0}成功.'.format(stopOrderID), target=self.ctaEngine.mainEngine.gatewayDetailList[0]['gatewayName'])
+            except:
+                pass
             return True
         else:
             self.writeCtaLog(u'撤销停止单:{0}失败，不存在Id.'.format(stopOrderID))
+
+            # 发送微信
+            try:
+                sendWeChatMsg(u'撤销停止单:{0}失败，不存在Id.'.format(stopOrderID), target=self.ctaEngine.mainEngine.gatewayDetailList[0]['gatewayName'])
+            except:
+                pass
             return False
 
     # ----------------------------------------------------------------------
@@ -441,11 +480,13 @@ class CtaEngine(object):
             ctaTick = CtaTickData()
             d = ctaTick.__dict__
             for key in d.keys():
-                d[key] = tick.__getattribute__(key)
+                if key in tick.__dict__:
+                    d[key] = tick.__getattribute__(key)
 
             if not ctaTick.datetime:
                 # 添加datetime字段
-                ctaTick.datetime = datetime.strptime(' '.join([tick.date, tick.time]), '%Y-%m-%d %H:%M:%S.%f')
+                tickDate = tick.date.replace('-', '')
+                ctaTick.datetime = datetime.strptime(' '.join([tickDate, tick.time]), '%Y%m%d %H:%M:%S.%f')
 
             # 逐个推送到策略实例中
             l = self.tickStrategyDict[tick.vtSymbol]
@@ -735,6 +776,26 @@ class CtaEngine(object):
                     pass
         self.mainEngine.writeCritical(content)
 
+    def sendAlertToWechat(self,content,target):
+        """发送微信告警"""
+        gw = EMPTY_STRING
+        if len(self.mainEngine.connected_gw_names)>0:
+            gw = self.mainEngine.connected_gw_names[0]
+        else:
+            if len(self.mainEngine.gatewayDetailList) > 0:
+                d = self.mainEngine.gatewayDetailList[0]
+                if isinstance(d, dict):
+                    gw = d.get('gatewayDisplayName','Gateway')
+
+        if len(gw)>0:
+            content = u'[gw:{}]{}'.format(gw,content)
+        try:
+            from vnpy.trader import util_wechat
+            self.writeCtaLog(u'发送微信通知:{}'.format(content))
+            util_wechat.sendWeChatMsg(content=content, target=target,level=util_wechat.WECHAT_LEVEL_DEBUG)
+        except Exception as ex:
+            self.writeCtaError(u'调用微信接口失败:{} {}'.format(str(ex), traceback.format_exc()))
+
     def sendCtaSignal(self, source, symbol, direction, price, level):
         """发出交易信号"""
         s = VtSignalData()
@@ -850,8 +911,8 @@ class CtaEngine(object):
                         self.writeCtaLog(u'撤销运行中策略{}的强制清仓，恢复运行'.format(name))
                         return False
                     except Exception as ex:
-                        self.writeCtaCritical(u'撤销运行中策略{}的强制清仓时异常：{}'.format(name, str(ex)))
-                        traceback.print_exc()
+                        self.writeCtaCritical(u'撤销运行中策略{}的强制清仓时异常：{},{}'.format(name, str(ex),traceback.format_exc()))
+
                         return False
         else:
             # 防止策略重名
@@ -921,13 +982,21 @@ class CtaEngine(object):
         # 自动初始化
         if 'auto_init' in setting:
             if setting['auto_init'] == True:
-                self.writeCtaLog(u'自动初始化策略')
-                self.initStrategy(name=name)
+                self.writeCtaLog(u'自动初始化策略：{}'.format(name))
+                try:
+                    self.initStrategy(name=name)
+                except Exception as ex:
+                    self.writeCtaCritical(u'初始化策略：{} 异常,{},{}'.format(name,str(ex),traceback.format_exc()))
+                    return False
 
         if 'auto_start' in setting:
             if setting['auto_start'] == True:
-                self.writeCtaLog(u'自动启动策略')
-                self.startStrategy(name=name)
+                self.writeCtaLog(u'自动启动策略：{}'.format(name))
+                try:
+                    self.startStrategy(name=name)
+                except Exception as ex:
+                    self.writeCtaCritical(u'自动启动策略：{} 异常,{},{}'.format(name, str(ex), traceback.format_exc()))
+                    return False
         return True
 
     def initStrategy(self, name, force=False):
@@ -1593,7 +1662,7 @@ class CtaEngine(object):
         :return: 
         """
         try:
-            with open(self.settingfilePath) as f:
+            with open(self.settingfilePath,'r',encoding='UTF-8') as f:
                 l = json.load(f)
                 for setting in l:
                     try:
@@ -1761,9 +1830,13 @@ class CtaEngine(object):
 
             # 发出日志
             content =u'策略{}触发异常已停止.{}'.format(strategy.name,traceback.format_exc())
-            self.writeCtaLog(content)
+            self.writeCtaError(content)
             self.mainEngine.writeCritical(content)
 
+            if hasattr(strategy,'backtesting') and hasattr(strategy,'wechat_source'):
+                if not strategy.backtesting and len(strategy.wechat_source)>0:
+                    self.sendAlertToWechat(content=content,target=strategy.wechat_source)
+
     # ----------------------------------------------------------------------
     # 仓位持久化相关
     def savePosition(self):
@@ -2047,7 +2120,14 @@ class PositionBuffer(object):
         self.shortYd = EMPTY_INT
 
         self.frozen = EMPTY_FLOAT
-        
+
+    # ----------------------------------------------------------------------
+    def toStr(self):
+        """更新显示信息"""
+        str = u'long:{},yd:{},td:{}, short:{},yd:{},td:{}, fz:{};' \
+            .format(self.longPosition, self.longYd, self.longToday,
+                    self.shortPosition, self.shortYd, self.shortToday,self.frozen)
+        return str
     #----------------------------------------------------------------------
     def updatePositionData(self, pos):
         """更新持仓数据"""

vnpy/trader/app/ctaStrategy/ctaLineBar.py

@@ -26,7 +26,7 @@ PERIOD_MINUTE = 'minute'  # 分钟级别周期
 PERIOD_HOUR = 'hour'  # 小时级别周期
 PERIOD_DAY = 'day'  # 日级别周期
 
-def getCtaBarByType(bar_type):
+def getCtaBarClass(bar_type):
     assert  isinstance(bar_type,str)
     if bar_type == PERIOD_SECOND:
         return CtaLineBar
@@ -39,6 +39,7 @@ def getCtaBarByType(bar_type):
 
     raise Exception('no matched CTA  bar type:{}'.format(bar_type))
 
+
 class CtaLineBar(object):
     """CTA K线"""
     """ 使用方法:
@@ -125,6 +126,8 @@ class CtaLineBar(object):
         self.lastTick = None
         self.curTradingDay = EMPTY_STRING
 
+        self.cur_price = EMPTY_FLOAT
+
         # K线保存数据
         self.bar = None  # K线数据对象
         self.lineBar = []  # K线缓存数据队列
@@ -472,16 +475,18 @@ class CtaLineBar(object):
             self.writeCtaLog(u'竞价排名tick时间:{0}'.format(tick.datetime))
             return
 
-        self.curTick = tick
+        self.curTick = copy.copy(tick)
+        if self.curTick.lastPrice is None or self.curTick.lastPrice == 0:
+            self.curTick.lastPrice = (self.curTick.askPrice1 + self.curTick.bidPrice1) / 2
+            self.cur_price = (self.curTick.askPrice1 + self.curTick.bidPrice1) / 2
+        else:
+            self.cur_price = self.curTick.lastPrice
 
         # 3.生成x K线，若形成新Bar，则触发OnBar事件
         self.drawLineBar(tick)
 
         # 更新curPeriod的High，low
         if self.curPeriod is not None:
-            if self.curTick.lastPrice is None:
-                self.curTick.lastPrice = (self.curTick.askPrice1 + self.curTick.bidPrice1) / 2
-
             self.curPeriod.onPrice(self.curTick.lastPrice)
 
         # 4.执行 bar内计算
@@ -498,6 +503,9 @@ class CtaLineBar(object):
         """
         l1 = len(self.lineBar)
 
+        # 更新最后价格
+        self.cur_price = bar.close
+
         if l1 == 0:
             new_bar = copy.copy(bar)
             self.lineBar.append(new_bar)
@@ -2696,13 +2704,13 @@ class CtaLineBar(object):
                 self.skd_last_cross = (self.lineSK[-1] + self.lineSK[-2] + self.lineSD[-1] + self.lineSD[-2])/4
                 self.skd_rt_count = self.skd_count
                 self.skd_rt_last_cross = self.skd_last_cross
-                if self.skd_rt_cross_price == 0 or self.lineBar[-1].close < self.skd_rt_cross_price:
-                    self.skd_rt_cross_price = self.lineBar[-1].close
-                self.skd_cross_price = min(self.lineBar[-1].close ,self.skd_rt_cross_price)
+                if self.skd_rt_cross_price == 0 or self.cur_price < self.skd_rt_cross_price:
+                    self.skd_rt_cross_price = self.cur_price
+                self.skd_cross_price = self.cur_price
                 if self.skd_divergence < 0:
                     # 若原来是顶背离，消失
                     self.skd_divergence = 0
-
+                self.writeCtaLog(u'{} Gold Cross:{} at {}'.format(self.name, self.skd_last_cross, self.skd_cross_price))
             else: #if self.lineSK[-1] < self.lineSK[-2]:
                 # 延续死叉
                 self.skd_count -= 1
@@ -2722,14 +2730,16 @@ class CtaLineBar(object):
                 self.skd_last_cross = (self.lineSK[-1] + self.lineSK[-2] + self.lineSD[-1] + self.lineSD[-2]) / 4
                 self.skd_rt_count = self.skd_count
                 self.skd_rt_last_cross = self.skd_last_cross
-                if self.skd_rt_cross_price == 0 or self.lineBar[-1].close > self.skd_rt_cross_price:
-                    self.skd_rt_cross_price = self.lineBar[-1].close
-                self.skd_cross_price = max(self.lineBar[-1].close, self.skd_rt_cross_price)
+                if self.skd_rt_cross_price == 0 or self.cur_price > self.skd_rt_cross_price:
+                    self.skd_rt_cross_price = self.cur_price
+                self.skd_cross_price = self.cur_price
 
                 # 若原来是底背离，消失
                 if self.skd_divergence > 0:
                     self.skd_divergence = 0
 
+                self.writeCtaLog(u'{} Dead Cross:{} at {}'.format(self.name, self.skd_last_cross, self.skd_cross_price))
+
             else: #if self.lineSK[-1] > self.lineSK[-2]:
                 # 延续金叉
                 self.skd_count += 1
@@ -2909,7 +2919,9 @@ class CtaLineBar(object):
                 if self.skd_rt_count >= 0:
                     self.skd_rt_count = -1
                     self.skd_rt_last_cross = skd_last_cross
-                    self.skd_rt_cross_price = self.lineBar[-1].close
+                    self.skd_rt_cross_price = self.cur_price
+                    self.writeCtaLog(u'{} rt Dead Cross at:{} ,price:{}'
+                                     .format(self.name, self.skd_rt_last_cross, self.skd_rt_cross_price))
 
                 if skd_last_cross > high_skd:
                     return True
@@ -2942,8 +2954,9 @@ class CtaLineBar(object):
                 if self.skd_rt_count <=0:
                     self.skd_rt_count = 1
                     self.skd_rt_last_cross = skd_last_cross
-                    self.skd_rt_cross_price = self.lineBar[-1].close
-
+                    self.skd_rt_cross_price = self.cur_price
+                    self.writeCtaLog(u'{} rt Gold Cross at:{} ,price:{}'
+                                     .format(self.name, self.skd_rt_last_cross,self.skd_rt_cross_price))
                 if skd_last_cross < low_skd:
                     return True
 
@@ -3116,6 +3129,82 @@ class CtaLineBar(object):
                         return None
             return None
 
+    def is_shadow_line(self,open, high, low, close, direction, shadow_rate, wave_rate):
+        """
+        是否上影线/下影线
+        :param open: 开仓价
+        :param high: 最高价
+        :param low: 最低价
+        :param close: 收盘价
+        :param direction: 方向（多/空）
+        :param shadown_rate: 上影线比例（百分比）
+        :param wave_rate:振幅（百分比）
+        :return:
+        """
+        if close<=0 or high <= low or shadow_rate <=0 or wave_rate <=0:
+            self.writeCtaLog(u'是否上下影线,参数出错.close={}, high={},low={},shadow_rate={},wave_rate={}'
+                               .format(close, high, low, shadow_rate, wave_rate))
+            return False
+
+        # 振幅 = 高-低 / 收盘价 百分比
+        cur_wave_rate = round(100 * float((high - low) / close), 2)
+
+        # 上涨时，判断上影线
+        if direction == DIRECTION_LONG:
+            # 上影线比例 = 上影线（高- max（开盘，收盘））/ 当日振幅=（高-低）
+            cur_shadow_rate = round(100 * float((high - max(open,close)) / (high-low)),2)
+            if cur_wave_rate >= wave_rate and cur_shadow_rate >= shadow_rate:
+                return True
+
+        # 下跌时，判断下影线
+        elif direction == DIRECTION_SHORT:
+            cur_shadow_rate = round(100 * float((min(open,close)-low) / (high-low)),2)
+            if cur_wave_rate >= wave_rate and cur_shadow_rate >= shadow_rate:
+                return True
+
+        return False
+
+    def is_end_tick(self, tick_dt):
+        """
+        根据短合约和时间，判断是否为最后一个tick
+        :param tick_dt:
+        :return:
+        """
+        if self.is_7x24:
+            return False
+
+        # 中金所，只有11：30 和15：15，才有最后一个tick
+        if self.shortSymbol in MARKET_ZJ:
+            if (tick_dt.hour == 11 and tick_dt.minute == 30) or (tick_dt.hour == 15 and tick_dt.minute == 15):
+                return True
+            else:
+                return False
+
+        # 其他合约(上期所/郑商所/大连）
+        if 2 <= tick_dt.hour < 23:
+            if (tick_dt.hour == 10 and tick_dt.minute == 15) \
+                    or (tick_dt.hour == 11 and tick_dt.minute == 30) \
+                    or (tick_dt.hour == 15 and tick_dt.minute == 00) \
+                    or (tick_dt.hour == 2 and tick_dt.minute == 30):
+                return True
+            else:
+                return False
+
+        # 夜盘1:30收盘
+        if self.shortSymbol in NIGHT_MARKET_SQ2 and tick_dt.hour == 1 and tick_dt.minute == 00:
+            return True
+
+        # 夜盘23:00收盘
+        if self.shortSymbol in NIGHT_MARKET_SQ3 and tick_dt.hour == 23 and tick_dt.minute == 00:
+            return True
+
+        # 夜盘23:30收盘
+        if self.shortSymbol in NIGHT_MARKET_ZZ or self.shortSymbol in NIGHT_MARKET_DL:
+            if tick_dt.hour == 23 and tick_dt.minute == 30:
+                return True
+
+        return False
+
 class CtaMinuteBar(CtaLineBar):
     """
     分钟级别K线
@@ -3209,6 +3298,9 @@ class CtaMinuteBar(CtaLineBar):
         if bar.tradingDay is None:
             bar.tradingDay = self.getTradingDate(bar.datetime)
 
+        # 更新最后价格
+        self.cur_price = bar.close
+
         l1 = len(self.lineBar)
 
         if l1 == 0:
@@ -3489,6 +3581,9 @@ class CtaHourBar(CtaLineBar):
         if bar.tradingDay is None:
             bar.tradingDay = self.getTradingDate(bar.datetime)
 
+        # 更新最后价格
+        self.cur_price = bar.close
+
         l1 = len(self.lineBar)
 
         if l1 == 0:
@@ -3567,7 +3662,6 @@ class CtaHourBar(CtaLineBar):
         endtick = False
         if not self.is_7x24:
             # 处理日内的间隔时段最后一个tick，如10:15分，11:30分，15:00 和 2:30分
-
             if (tick.datetime.hour == 10 and tick.datetime.minute == 15) \
                     or (tick.datetime.hour == 11 and tick.datetime.minute == 30) \
                     or (tick.datetime.hour == 15 and tick.datetime.minute == 00) \
@@ -3590,10 +3684,22 @@ class CtaHourBar(CtaLineBar):
         lastBar = self.lineBar[-1]
         is_new_bar = False
 
+        if self.last_minute is None:
+            if tick.datetime.second == 0:
+                self.m1_bars_count += 1
+            self.last_minute = tick.datetime.minute
+
         # 不在同一交易日，推入新bar
         if self.curTradingDay != tick.tradingDay:
             is_new_bar = True
+            # 去除分钟和秒数
+            tick.datetime = datetime.strptime(tick.datetime.strftime('%Y-%m-%d %H:00:00'), '%Y-%m-%d %H:%M:%S')
+            tick.time = tick.datetime.strftime('%H:%M:%S')
             self.curTradingDay = tick.tradingDay
+            self.writeCtaLog('{} drawLineBar() new_bar,{} curTradingDay:{},tick.tradingDay:{}'
+                             .format(self.name, tick.datetime.strftime("%Y-%m-%d %H:%M:%S"), self.curTradingDay,
+                                     tick.tradingDay))
+
         else:
             # 同一交易日，看分钟是否一致
             if tick.datetime.minute != self.last_minute and not endtick:
@@ -3602,14 +3708,27 @@ class CtaHourBar(CtaLineBar):
 
         if self.is_7x24:
             if (tick.datetime - lastBar.datetime).total_seconds() >= 3600 * self.barTimeInterval:
+                self.writeCtaLog('{} drawLineBar() new_bar,{} - {} > 3600 * {} '
+                                 .format(self.name, tick.datetime.strftime("%Y-%m-%d %H:%M:%S"), lastBar.datetime.strftime("%Y-%m-%d %H:%M:%S"),
+                                        self.barTimeInterval))
                 is_new_bar = True
-                if len(tick.tradingDay) >0:
+                # 去除分钟和秒数
+                tick.datetime = datetime.strptime(tick.datetime.strftime('%Y-%m-%d %H:00:00'), '%Y-%m-%d %H:%M:%S')
+                tick.time = tick.datetime.strftime('%H:%M:%S')
+                if len(tick.tradingDay) > 0:
                     self.curTradingDay = tick.tradingDay
                 else:
                     self.curTradingDay = tick.date
 
         if self.m1_bars_count > 60 * self.barTimeInterval:
+            self.writeCtaLog('{} drawLineBar() new_bar,{} {} > 60 * {} '
+                             .format(self.name, tick.datetime.strftime("%Y-%m-%d %H:%M:%S"),
+                                     self.m1_bars_count,
+                                     self.barTimeInterval))
             is_new_bar = True
+            # 去除秒数
+            tick.datetime = datetime.strptime(tick.datetime.strftime('%Y-%m-%d %H:%M:00'), '%Y-%m-%d %H:%M:%S')
+            tick.time = tick.datetime.strftime('%H:%M:%S')
 
         if is_new_bar:
             # 创建并推入新的Bar
@@ -3741,6 +3860,9 @@ class CtaDayBar(CtaLineBar):
         :param bar_freq, bar对象得frequency
         :return:
         """
+        # 更新最后价格
+        self.cur_price = bar.close
+
         l1 = len(self.lineBar)
 
         if l1 == 0:

vnpy/trader/gateway/binanceGateway/binanceGateway.py

@@ -80,8 +80,6 @@ class BinanceGateway(VtGateway):
             self.writeLog(u'BINANCE连接配置缺少字段，请检查')
             return
 
-
-
         self.api_spot.active = True
 
         if self.log_message:
@@ -96,13 +94,15 @@ class BinanceGateway(VtGateway):
             sub.symbol = symbol_pair
             self.subscribe(sub)
 
-
         self.writeLog(u'{}接口初始化成功'.format(self.gatewayName))
 
         # 启动查询
         self.initQuery()
         self.startQuery()
 
+    def checkStatus(self):
+        return self.connected and self.api_spot.checkStatus()
+
     # ----------------------------------------------------------------------
     def subscribe(self, subscribeReq):
         """订阅行情，自动订阅全部行情，无需实现"""
@@ -116,7 +116,7 @@ class BinanceGateway(VtGateway):
         except Exception as ex:
             self.writeError(u'send order Exception:{},{}'.format(str(ex),traceback.format_exc()))
 
-    #----------------------------------------------------------------------
+    # ----------------------------------------------------------------------
     def cancelOrder(self, cancelOrderReq):
         """撤单"""
         return self.api_spot.cancel(cancelOrderReq)
@@ -418,6 +418,23 @@ print ex.status_code, ex.message , ex.code , ex.request , ex.uri , ex.kwargs
 
                 self.gateway.onContract(contract)
 
+    def checkStatus(self):
+        """
+        检查接口状态:
+        若active为False，return False
+        若active为True，检查ticker得更新时间
+        :return:
+        """
+        if not self.active:
+            return False
+
+        if len(self.tickDict.items())>0:
+            symbol,last_tick = list(self.tickDict.items())[0]
+            if last_tick.datetime and (datetime.now()-last_tick.datetime).total_seconds() > 60:
+                return False
+
+        return True
+
     #----------------------------------------------------------------------
     def onAllTicker(self,msg):
         """币安支持所有 ticker 同时socket过来"""
@@ -459,6 +476,8 @@ print ex.status_code, ex.message , ex.code , ex.request , ex.uri , ex.kwargs
             tick.askPrice5, tick.askVolume5 = [0 , 0]
 
             tick.datetime , tick.date , tick.time = self.generateDateTime( float(msg["E"]))
+            utc_dt = datetime.utcfromtimestamp( float(msg["E"])/1e3)
+            tick.tradingDay = utc_dt.strftime('%Y-%m-%d')
             self.gateway.onTick(tick)
 
     #----------------------------------------------------------------------
@@ -630,7 +649,8 @@ print ex.status_code, ex.message , ex.code , ex.request , ex.uri , ex.kwargs
             self.gateway.writeLog(u'OnDepth {}'.format(traceback.format_exc()))
 
         tick.datetime , tick.date, tick.time = self.generateDateTime(uu_time_stamp)
-        
+        utc_dt = datetime.utcfromtimestamp(float(uu_time_stamp)/ 1e3)
+        tick.tradingDay = utc_dt.strftime('%Y-%m-%d')
         # print tick.__dict__
         self.gateway.onTick(tick)
         #self.gateway.onTick(copy(tick))
@@ -773,6 +793,10 @@ print ex.status_code, ex.message , ex.code , ex.request , ex.uri , ex.kwargs
     '''
     #----------------------------------------------------------------------
     def onGetAccount(self, data, req, reqID):
+
+        if self.gateway and not self.gateway.connected:
+            self.gateway.connected = True
+
         balances = data["balances"]
         account = VtAccountData()
         account.gatewayName = self.gatewayName
@@ -1114,5 +1138,5 @@ BREAK
         """生成时间"""
         dt = datetime.fromtimestamp(float(s)/1e3)
         time = dt.strftime("%H:%M:%S.%f")
-        date = dt.strftime("%Y%m%d")
+        date = dt.strftime("%Y-%m-%d")
         return dt , date, time

vnpy/trader/gateway/okexGateway/okexGateway.py

@@ -920,7 +920,7 @@ class OkexSpotApi(WsSpotApi):
 
         tick.date, tick.time,tick.datetime = self.generateDateTime(data['timestamp'])
         # print "Depth", tick.date, tick.time
-
+        tick.tradingDay = tick.date
         # 推送tick事件
         newtick = copy(tick)
         self.gateway.onTick(newtick)