From 24d4dbebf77a024e3b8d4c2c54a5111ddcc7b9b1 Mon Sep 17 00:00:00 2001 From: msincenselee Date: Tue, 27 Apr 2021 16:17:02 +0800 Subject: [PATCH] [update] bug fix --- vnpy/api/ctp/readme.md | 1 + vnpy/app/account_recorder/README.md | 2 +- vnpy/app/cta_crypto/back_testing.py | 4 +-- vnpy/app/cta_crypto/engine.py | 4 +-- vnpy/app/cta_stock/template.py | 15 ++++---- vnpy/app/cta_strategy_pro/engine.py | 2 +- vnpy/app/stock_tick_publisher/engine.py | 2 +- vnpy/component/base.py | 4 +-- vnpy/data/tdx/tdx_future_data.py | 15 ++++---- vnpy/data/tdx/test_tdx_future.py | 3 ++ vnpy/gateway/ctp/ctp_gateway.py | 46 +++++++++++++++++++++---- 11 files changed, 69 insertions(+), 29 deletions(-) diff --git a/vnpy/api/ctp/readme.md b/vnpy/api/ctp/readme.md index 2d269705..89bbf587 100644 --- a/vnpy/api/ctp/readme.md +++ b/vnpy/api/ctp/readme.md @@ -41,6 +41,7 @@ #linux编译 + 1. 复制so文件到ctp根目录，并改名 mv thostmduserapi_se.so libthostmduserapi_se.so mv thosttraderapi_se.so libthosttraderapi_se.so diff --git a/vnpy/app/account_recorder/README.md b/vnpy/app/account_recorder/README.md index 5de99508..ff21b14d 100644 --- a/vnpy/app/account_recorder/README.md +++ b/vnpy/app/account_recorder/README.md @@ -40,4 +40,4 @@ db.today_trades.createIndex({'account_id':1,'vt_symbol':1,'vt_tradeid':1,'trade_ db.history_trades.createIndex({'account_id':1,'vt_symbol':1,'vt_tradeid':1,'trade_date':1,'holder_id':1},{'name':'accountid_vtSymbol_vt_tradeid_trade_date_holder_id'}) db.today_positions.createIndex({'account_id':1,'vt_symbol':1,'direction':1,'trade_date':1,'holder_id':1},{'name':'accountid_vtsymbol_direction_trade_date_holder_id'}) db.today_strategy_pos.createIndex({'account_id':1,'strategy_group':1,'strategy_name':1,'date':1},{'name':'accountid_strategy_group_strategy_name_date'}) -db.strategy_snapshot.createIndex({'account_id':1,'strategy_group':1,'strategy':1,'guid':1},{'name':'accountid_strategy_name_guid'}) +db.strategy_snapshot.createIndex({'account_id':1,'strategy_group':1,'strategy':1,'guid':1,'datetime':1},{'name':'accountid_strategy_name_guid'}) diff --git a/vnpy/app/cta_crypto/back_testing.py b/vnpy/app/cta_crypto/back_testing.py index 6ba774a8..4c1a9b82 100644 --- a/vnpy/app/cta_crypto/back_testing.py +++ b/vnpy/app/cta_crypto/back_testing.py @@ -1798,7 +1798,7 @@ class BackTestingEngine(object): # 计算每个策略实例的持仓盈亏 strategy_pnl.update({longpos.strategy_name: strategy_pnl.get(longpos.strategy_name, 0) + holding_profit}) - positionMsg += "{},long,p={},v={},m={};".format(symbol, longpos.price, longpos.volume, holding_profit) + positionMsg += "{},long,p={},v={},m={};\n".format(symbol, longpos.price, longpos.volume, holding_profit) for shortpos in self.short_position_list: @@ -1815,7 +1815,7 @@ class BackTestingEngine(object): # 计算每个策略实例的持仓盈亏 strategy_pnl.update({shortpos.strategy_name: strategy_pnl.get(shortpos.strategy_name, 0) + holding_profit}) - positionMsg += "{},short,p={},v={},m={};".format(symbol, shortpos.price, shortpos.volume, holding_profit) + positionMsg += "{},short,p={},v={},m={};\n".format(symbol, shortpos.price, shortpos.volume, holding_profit) data['net'] = c + today_holding_profit # 当日净值（含持仓盈亏） data['rate'] = (c + today_holding_profit) / self.init_capital diff --git a/vnpy/app/cta_crypto/engine.py b/vnpy/app/cta_crypto/engine.py index 561678f8..aba67c94 100644 --- a/vnpy/app/cta_crypto/engine.py +++ b/vnpy/app/cta_crypto/engine.py @@ -933,8 +933,8 @@ class CtaEngine(BaseEngine): except Exception: strategy.trading = False strategy.inited = False - - msg = f"触发异常已停止\n{traceback.format_exc()}" + account_id = self.engine_config.get('accountid', '-') + msg = f"{account_id}/{strategy.strategy_name}触发异常已停止\n{traceback.format_exc()}" self.write_log(msg=msg, strategy_name=strategy.strategy_name, level=logging.CRITICAL) diff --git a/vnpy/app/cta_stock/template.py b/vnpy/app/cta_stock/template.py index 604d4752..063f28c0 100644 --- a/vnpy/app/cta_stock/template.py +++ b/vnpy/app/cta_stock/template.py @@ -502,7 +502,7 @@ class CtaStockTemplate(CtaTemplate): def load_klines_from_cache(self, kline_names: list = []): """ 从缓存加载K线数据 - :param kline_names: + :param kline_names: 指定需要加载的k线名称列表 :return: """ if len(kline_names) == 0: @@ -1263,12 +1263,13 @@ class CtaStockTemplate(CtaTemplate): self.active_orders.update({vt_orderid: order_info}) ret = self.cancel_order(str(vt_orderid)) if not ret: - self.write_log(u'撤单失败,更新状态为撤单成功') - order_info.update({'status': Status.CANCELLED}) - self.active_orders.update({vt_orderid: order_info}) - if order_grid: - if vt_orderid in order_grid.order_ids: - order_grid.order_ids.remove(vt_orderid) + self.write_log(f'撤单失败:{order_info}') + # self.write_log(u'撤单失败,更新状态为撤单成功') + # order_info.update({'status': Status.CANCELLED}) + # self.active_orders.update({vt_orderid: order_info}) + # if order_grid: + # if vt_orderid in order_grid.order_ids: + # order_grid.order_ids.remove(vt_orderid) continue diff --git a/vnpy/app/cta_strategy_pro/engine.py b/vnpy/app/cta_strategy_pro/engine.py index 32f63cc9..9ec13aba 100644 --- a/vnpy/app/cta_strategy_pro/engine.py +++ b/vnpy/app/cta_strategy_pro/engine.py @@ -407,7 +407,7 @@ class CtaEngine(BaseEngine): underlying_symbol = get_underlying_symbol(vt_symbol) dt = datetime.now() # 若为中金所的合约，白天才提交订阅请求 - if underlying_symbol in MARKET_DAY_ONLY and not (9 < dt.hour < 16): + if underlying_symbol in MARKET_DAY_ONLY and not (9 <= dt.hour < 16): continue self.write_log(f'重新提交合约{vt_symbol}订阅请求') diff --git a/vnpy/app/stock_tick_publisher/engine.py b/vnpy/app/stock_tick_publisher/engine.py index 143a2cbe..371084bb 100644 --- a/vnpy/app/stock_tick_publisher/engine.py +++ b/vnpy/app/stock_tick_publisher/engine.py @@ -24,7 +24,7 @@ from vnpy.amqp.producer import publisher from vnpy.amqp.consumer import worker APP_NAME = 'Stock_Publisher' -REST_HOST = 'http://49.234.35.135:8005' +REST_HOST = 'http://49.234.35.135:8006' SUBSCRIBE_FILE = 'today_subscribe.json' # 市场交易代码 => vnpy diff --git a/vnpy/component/base.py b/vnpy/component/base.py index c2e2dccf..ac8458a1 100644 --- a/vnpy/component/base.py +++ b/vnpy/component/base.py @@ -31,11 +31,11 @@ NIGHT_MARKET_SQ2 = {'CU': 10, 'PB': 5, 'AL': 5, 'ZN': 5, 'WR': 1, 'NI': 10, 'SS' NIGHT_MARKET_SQ3 = {'RU': 5, 'RB': 1, 'HC': 1, 'SP': 2, 'FU': 1, 'BU': 2, 'NR': 5, 'C': 1, 'CS': 1, 'LU':1,'PF':2} # 郑商所夜盘，9:00~10:15, 10:30~11:30, 13:30~15:00, 21:00 ~23:00 NIGHT_MARKET_ZZ = {'TA': 2, 'JR': 1, 'OI': 0, 'RO': 1, 'PM': 1, 'WH': 1, 'CF': 5, 'SR': 0, 'FG': 1, - 'MA': 1, 'RS': 1, 'RM': 1, 'RI': 1, 'ZC': 0.2} + 'MA': 1, 'RS': 1, 'RM': 1, 'RI': 1, 'ZC': 0.2, 'SA':1} # 大商所夜盘，9:00~10:15, 10:30~11:30, 13:30~15:00, 21:00 ~23:00 NIGHT_MARKET_DL = {'V': 5, 'L': 5, 'BB': 0.05, 'I': 0.5, 'FB': 0.05, 'C': 1, 'PP': 1, 'A': 1, 'B': 1, 'M': 1, 'Y': 2, 'P': 2, - 'JM': 0.5, 'J': 0.5, 'EG': 1, 'EB': 1} + 'JM': 0.5, 'J': 0.5, 'EG': 1, 'EB': 1,'PG':1} # 中金日盘，9:15 ~11:30, 13:00~15:15 MARKET_ZJ = {'IC': 0.2, 'IF': 0.2, 'IH': 0.2, 'T': 0.005, 'TF': 0.005, 'TS': 0.005} diff --git a/vnpy/data/tdx/tdx_future_data.py b/vnpy/data/tdx/tdx_future_data.py index 266b6506..92ff3579 100644 --- a/vnpy/data/tdx/tdx_future_data.py +++ b/vnpy/data/tdx/tdx_future_data.py @@ -407,7 +407,9 @@ class TdxFutureData(object): else: tdx_symbol = get_full_symbol(symbol).upper() + # 查询合约 => 指数合约, 主要是用来获取市场 tdx_index_symbol = underlying_symbol + 'L9' + # 合约缩写 => 交易所 vn_exchange = self._get_vn_exchange(underlying_symbol) self.connect() @@ -441,19 +443,20 @@ class TdxFutureData(object): _bars = [] _pos = 0 while _start_date > qry_start_date: + # 利用api查询历史数据 _res = self.api.get_instrument_bars( - tdx_period, - self.symbol_market_dict.get(tdx_index_symbol, 0), - tdx_symbol, - _pos, - QSIZE) + category=tdx_period, + market=self.symbol_market_dict.get(tdx_index_symbol, 0), + code=tdx_symbol, + start=_pos, + count=QSIZE) if _res is not None: _bars = _res + _bars _pos += QSIZE if _res is not None and len(_res) > 0: _start_date = _res[0]['datetime'] _start_date = datetime.strptime(_start_date, '%Y-%m-%d %H:%M') - self.write_log(u'分段取数据开始:{}'.format(_start_date)) + self.write_log(u'分段取{}数据,开始时间:{}'.format(tdx_symbol, _start_date)) else: break if len(_bars) == 0: diff --git a/vnpy/data/tdx/test_tdx_future.py b/vnpy/data/tdx/test_tdx_future.py index ffff73a8..1fa52a21 100644 --- a/vnpy/data/tdx/test_tdx_future.py +++ b/vnpy/data/tdx/test_tdx_future.py @@ -28,6 +28,9 @@ api_01 = TdxFutureData(strategy=t1) # 获取某个合约得最新价 #price = api_01.get_price('rb2010') #print('price={}'.format(price)) +ret, bars = api_01.get_bars('rb2105.SHFE',period='1min') +for bar in bars: + print(bar.__dict__) # 获取主力合约 diff --git a/vnpy/gateway/ctp/ctp_gateway.py b/vnpy/gateway/ctp/ctp_gateway.py index 246f2f8a..f8e2d41a 100644 --- a/vnpy/gateway/ctp/ctp_gateway.py +++ b/vnpy/gateway/ctp/ctp_gateway.py @@ -340,6 +340,13 @@ class CtpGateway(BaseGateway): for (vt_symbol, is_bar) in list(self.subscribed_symbols): symbol, exchange = extract_vt_symbol(vt_symbol) + # 获取合约的缩写号 + underlying_symbol = get_underlying_symbol(vt_symbol) + dt = datetime.now() + # 若为中金所等的合约，白天才提交订阅请求 + if underlying_symbol in MARKET_DAY_ONLY and not (8 < dt.hour < 16): + continue + req = SubscribeRequest( symbol=symbol, exchange=exchange, @@ -600,6 +607,7 @@ class CtpMdApi(MdApi): Callback when front server is connected. """ self.gateway.write_log(f"{self.name}行情服务器连接成功") + self.connect_status = True self.login() self.gateway.status.update( {f'{self.name}md_con': True, f'{self.name}md_con_time': datetime.now().strftime('%Y-%m-%d %H:%M:%S')}) @@ -609,6 +617,7 @@ class CtpMdApi(MdApi): Callback when front server is disconnected. """ self.login_status = False + self.connect_status = False self.gateway.write_log(f"{self.name}行情服务器连接断开，原因{reason}") self.gateway.status.update( {f'{self.name}md_con': False, f'{self.name}md_dis_con_time': datetime.now().strftime('%Y-%m-%d %H:%M:%S')}) @@ -814,27 +823,31 @@ class CtpTdApi(TdApi): def onFrontConnected(self): """""" self.gateway.write_log("交易服务器连接成功") - + self.connect_status = True if self.auth_code: + self.gateway.write_log("向交易服务器提交授权码验证") self.authenticate() else: + self.gateway.write_log("向交易服务器进行帐号登录") self.login() - self.gateway.status.update({'td_con': True, 'td_con_time': datetime.now().strftime('%Y-%m-%d %H:%M:%S')}) + def onFrontDisconnected(self, reason: int): """""" self.login_status = False self.gateway.write_log(f"交易服务器连接断开，原因{reason}") - self.gateway.status.update({'td_con': True, 'td_dis_con_time': datetime.now().strftime('%Y-%m-%d %H:%M:%S')}) + self.gateway.status.update({'td_con': False, 'td_dis_con_time': datetime.now().strftime('%Y-%m-%d %H:%M:%S')}) def onRspAuthenticate(self, data: dict, error: dict, reqid: int, last: bool): """""" if not error['ErrorID']: self.auth_staus = True self.gateway.write_log("交易服务器授权验证成功") + self.gateway.status.update({"td_auth": True}) self.login() else: self.gateway.write_error("交易服务器授权验证失败", error) + self.gateway.status.update({"td_auth":False}) def onRspUserLogin(self, data: dict, error: dict, reqid: int, last: bool): """""" @@ -842,7 +855,8 @@ class CtpTdApi(TdApi): self.frontid = data["FrontID"] self.sessionid = data["SessionID"] self.login_status = True - self.gateway.write_log("交易服务器登录成功") + self.gateway.status.update({'td_con': True, 'td_con_time': datetime.now().strftime('%Y-%m-%d %H:%M:%S')}) + self.gateway.write_log("交易帐号登录完成") # Confirm settlement req = { @@ -853,7 +867,7 @@ class CtpTdApi(TdApi): self.reqSettlementInfoConfirm(req, self.reqid) else: self.login_failed = True - + self.gateway.status.update({'td_con': False,'td_login_fail_time': datetime.now().strftime('%Y-%m-%d %H:%M:%S')}) self.gateway.write_error("交易服务器登录失败", error) def onRspOrderInsert(self, data: dict, error: dict, reqid: int, last: bool): @@ -975,7 +989,12 @@ class CtpTdApi(TdApi): if act_symbol != pas_symbol: self.gateway.subscribe(SubscribeRequest(symbol=position.symbol, exchange=position.exchange)) else: - self.gateway.subscribe(SubscribeRequest(symbol=position.symbol, exchange=position.exchange)) + # 获取合约的缩写号 + underlying_symbol = get_underlying_symbol(position.symbol) + dt = datetime.now() + # 若为中金所等的合约，白天才提交订阅请求 + if not (underlying_symbol in MARKET_DAY_ONLY and not (8 < dt.hour < 16)): + self.gateway.subscribe(SubscribeRequest(symbol=position.symbol, exchange=position.exchange)) if last: self.long_option_cost = None @@ -1267,7 +1286,7 @@ class CtpTdApi(TdApi): self.registerFront(address) self.init() - + self.gateway.write_log(f'交易前端连接成功') self.connect_status = True else: self.authenticate() @@ -1276,6 +1295,7 @@ class CtpTdApi(TdApi): """ Authenticate with auth_code and appid. """ + req = { "UserID": self.userid, "BrokerID": self.brokerid, @@ -1782,8 +1802,14 @@ class TdxMdApi(): continue # self.gateway.write_log(f'{tick.__dict__}') + pre_tick = self.symbol_tick_dict.get(tick.symbol, None) self.symbol_tick_dict[tick.symbol] = tick + # 排除指数的异常数据(tdx有些服务器异常，返回数据偏差超过上一tick的20%） + if pre_tick: + if tick.last_price > pre_tick.last_price * 1.2 or tick.last_price < pre_tick.last_price * 0.8: + continue + self.gateway.on_tick(tick) self.gateway.on_custom_tick(tick) @@ -1854,7 +1880,13 @@ class SubMdApi(): if len(tick.trading_day) == 0: tick.trading_day = get_trading_date(dt) + pre_tick = self.symbol_tick_dict.get(symbol,None) self.symbol_tick_dict[symbol] = tick + # 排除指数的异常数据(tdx有些服务器异常，返回数据偏差超过上一tick的20%） + if pre_tick: + if tick.last_price > pre_tick.last_price * 1.2 or tick.last_price < pre_tick.last_price * 0.8: + return + self.gateway.on_tick(tick) self.gateway.on_custom_tick(tick)