[update] 一般更新
This commit is contained in:
msincenselee
parent
b555a13943
commit
2dcbcab0a6
@ -1,18 +1,20 @@
|
||||
# encoding: UTF-8
|
||||
import pika
|
||||
|
||||
import sys
|
||||
|
||||
class base_broker():
|
||||
def __init__(self, host='localhost', port=5672, user='guest', password='guest',
|
||||
channel_number=1):
|
||||
"""
|
||||
:param host: 连接rabbitmq的服务器地址（或者群集地址）
|
||||
:param host: 连接rabbitmq的服务器地址（或者群集地址）,或者多台主机地址，使用;分隔开
|
||||
:param port: 端口
|
||||
:param user: 用户名
|
||||
:param password: 密码
|
||||
:param channel_number: 频道的数字（大于1）
|
||||
"""
|
||||
|
||||
self.host = host
|
||||
|
||||
self.port = port
|
||||
self.user = user
|
||||
self.password = password
|
||||
@ -21,16 +23,26 @@ class base_broker():
|
||||
|
||||
# 身份鉴权
|
||||
self.credentials = pika.PlainCredentials(self.user, self.password, erase_on_connect=True)
|
||||
if ';' in self.host:
|
||||
hosts = self.host.split(';')
|
||||
else:
|
||||
hosts = [self.host]
|
||||
|
||||
# 创建连接
|
||||
self.connection = pika.BlockingConnection(
|
||||
pika.ConnectionParameters(host=self.host, port=self.port,
|
||||
credentials=self.credentials,
|
||||
heartbeat=0, socket_timeout=5))
|
||||
|
||||
# 创建一个频道，或者指定频段数字编号
|
||||
self.channel = self.connection.channel(
|
||||
channel_number=self.channel_number)
|
||||
# 多个连接服务器时，使用
|
||||
for _host_ in hosts:
|
||||
try:
|
||||
# 创建连接
|
||||
self.connection = pika.BlockingConnection(
|
||||
pika.ConnectionParameters(host=_host_, port=self.port,
|
||||
credentials=self.credentials,
|
||||
heartbeat=0, socket_timeout=5))
|
||||
# 创建一个频道，或者指定频段数字编号
|
||||
self.channel = self.connection.channel(
|
||||
channel_number=self.channel_number)
|
||||
except:
|
||||
print(f'pika rabbit connect to {_host_} {self.port} fail', file=sys.stderr)
|
||||
else:
|
||||
break
|
||||
|
||||
def reconnect(self):
|
||||
"""
|
||||
|
||||
@ -31,13 +31,3 @@
|
||||
}
|
||||
}
|
||||
}
|
||||
|
||||
# 创建mongodb 索引，提高性能
|
||||
|
||||
db.today_orders.createIndex({'account_id':1,'vt_symbol':1,'sys_orderid':1,'order_date':1,'holder_id':1},{'name':'accountid_vtsymbol_sysorderid_order_date_holder_id','unique':true})
|
||||
db.history_orders.createIndex({'account_id':1,'vt_symbol':1,'sys_orderid':1,'order_date':1,'holder_id':1},{'name':'history_accountid_vtsymbol_sysorderid_order_date_holder_id'})
|
||||
db.today_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','unique':true})
|
||||
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,'datetime':1},{'name':'accountid_strategy_name_guid'})
|
||||
|
||||
@ -42,7 +42,7 @@ from vnpy.trader.event import (
|
||||
)
|
||||
from vnpy.trader.constant import Direction, Exchange, Status
|
||||
from vnpy.trader.engine import BaseEngine, MainEngine
|
||||
from vnpy.trader.utility import get_trading_date, load_json, save_json
|
||||
from vnpy.trader.utility import get_trading_date, load_json, save_json,print_dict
|
||||
from vnpy.data.mongo.mongo_data import MongoData
|
||||
|
||||
# 入库
|
||||
@ -487,7 +487,7 @@ class AccountRecorder(BaseEngine):
|
||||
price = self.main_engine.get_price(pos.vt_symbol)
|
||||
if price:
|
||||
data.update({'cur_price': price})
|
||||
|
||||
# self.write_log('update position:{}'.format(print_dict(data)))
|
||||
self.update_data(db_name=ACCOUNT_DB_NAME, col_name=TODAY_POSITION_COL, fld=fld, data=data)
|
||||
|
||||
def update_strategy_snapshot(self, event: Event):
|
||||
@ -570,7 +570,7 @@ class AccountRecorder(BaseEngine):
|
||||
pos_data = copy.copy(data)
|
||||
pos_data.update({'account_id': pos_data.get('accountid')})
|
||||
pos_data.update({'datetime': dt.strftime("%Y-%m-%d %H:%M:%S")})
|
||||
|
||||
self.write_log(f'stratgy_pos event:{print_dict(pos_data)}')
|
||||
self.update_data(db_name=ACCOUNT_DB_NAME, col_name=TODAY_STRATEGY_POS_COL, fld=fld, data=pos_data)
|
||||
|
||||
def process_gw_error(self, event: Event):
|
||||
|
||||
@ -63,6 +63,8 @@ from vnpy.trader.utility import (
|
||||
|
||||
from vnpy.trader.util_logger import setup_logger, logging
|
||||
from vnpy.trader.util_wechat import send_wx_msg
|
||||
from vnpy.data.mongo.mongo_data import MongoData
|
||||
from vnpy.trader.setting import SETTINGS
|
||||
from vnpy.trader.converter import OffsetConverter
|
||||
|
||||
from .base import (
|
||||
@ -120,6 +122,9 @@ class CtaEngine(BaseEngine):
|
||||
# "trade_2_wx": true # 是否交易记录转发至微信通知
|
||||
# "event_log: false # 是否转发日志到event bus，显示在图形界面
|
||||
# "snapshot2file": false # 是否保存切片到文件
|
||||
# "compare_pos": false # False，强制不进行 账号 <=> 引擎实例 得仓位比对。（一般分布式RPC运行时，其他得实例都不进行比对）
|
||||
# "get_pos_from_db": false # True，使用数据库得 策略<=>pos 数据作为比较（一般分布式RPC运行时，其中一个使用即可）; False，使用当前引擎实例得 策略.pos进行比对
|
||||
|
||||
self.engine_config = {}
|
||||
# 是否激活 write_log写入event bus(比较耗资源）
|
||||
self.event_log = False
|
||||
@ -171,6 +176,26 @@ class CtaEngine(BaseEngine):
|
||||
|
||||
self.write_log("CTA策略引擎初始化成功")
|
||||
|
||||
if self.engine_config.get('get_pos_from_db', False):
|
||||
self.write_log(f'激活数据库策略仓位比对模式')
|
||||
self.init_mongo_data()
|
||||
|
||||
def init_mongo_data(self):
|
||||
"""初始化hams数据库"""
|
||||
host = SETTINGS.get('hams.host', 'localhost')
|
||||
port = SETTINGS.get('hams.port', 27017)
|
||||
self.write_log(f'初始化hams数据库连接:{host}:{port}')
|
||||
try:
|
||||
# Mongo数据连接客户端
|
||||
self.mongo_data = MongoData(host=host, port=port)
|
||||
|
||||
if self.mongo_data and self.mongo_data.db_has_connected:
|
||||
self.write_log(f'连接成功')
|
||||
else:
|
||||
self.write_error(f'HAMS数据库{host}:{port}连接异常.')
|
||||
except Exception as ex:
|
||||
self.write_error(f'HAMS数据库{host}:{port}连接异常.{str(ex)}')
|
||||
|
||||
def close(self):
|
||||
"""停止所属有的策略"""
|
||||
self.stop_all_strategies()
|
||||
@ -1713,7 +1738,8 @@ class CtaEngine(BaseEngine):
|
||||
|
||||
pos_list.append(leg1_pos)
|
||||
pos_list.append(leg2_pos)
|
||||
|
||||
else:
|
||||
pos_list.append(pos)
|
||||
except Exception as ex:
|
||||
self.write_error(f'分解SPD失败:{str(ex)}')
|
||||
|
||||
@ -1749,6 +1775,33 @@ class CtaEngine(BaseEngine):
|
||||
|
||||
return strategy_pos_list
|
||||
|
||||
def get_all_strategy_pos_from_hams(self):
|
||||
"""
|
||||
获取hams中该账号下所有策略仓位明细
|
||||
"""
|
||||
strategy_pos_dict = {}
|
||||
if not self.mongo_data:
|
||||
self.init_mongo_data()
|
||||
|
||||
if self.mongo_data and self.mongo_data.db_has_connected:
|
||||
filter = {'account_id': self.engine_config.get('accountid', '-')}
|
||||
|
||||
pos_list = self.mongo_data.db_query(
|
||||
db_name='Account',
|
||||
col_name='today_strategy_pos',
|
||||
filter_dict=filter
|
||||
)
|
||||
for pos in pos_list:
|
||||
s_name = pos.get('strategy_name', None)
|
||||
if s_name:
|
||||
if s_name not in strategy_pos_dict:
|
||||
strategy_pos_dict[s_name] = pos
|
||||
continue
|
||||
if pos.get('datetime', '') > strategy_pos_dict[s_name].get('datetime', ''):
|
||||
strategy_pos_dict[s_name] = pos
|
||||
|
||||
return list(strategy_pos_dict.values())
|
||||
|
||||
def get_strategy_class_parameters(self, class_name: str):
|
||||
"""
|
||||
Get default parameters of a strategy class.
|
||||
@ -1810,9 +1863,14 @@ class CtaEngine(BaseEngine):
|
||||
|
||||
self.write_log(u'开始对比账号&策略的持仓')
|
||||
|
||||
# 获取当前策略得持仓
|
||||
if len(strategy_pos_list) == 0:
|
||||
strategy_pos_list = self.get_all_strategy_pos()
|
||||
# 获取hams数据库中所有运行实例得策略
|
||||
if self.engine_config.get("get_pos_from_db", False):
|
||||
strategy_pos_list = self.get_all_strategy_pos_from_hams()
|
||||
else:
|
||||
# 获取当前实例运行策略得持仓
|
||||
if len(strategy_pos_list) == 0:
|
||||
strategy_pos_list = self.get_all_strategy_pos()
|
||||
|
||||
self.write_log(u'策略持仓清单:{}'.format(strategy_pos_list))
|
||||
|
||||
none_strategy_pos = self.get_none_strategy_pos_list()
|
||||
@ -1888,53 +1946,44 @@ class CtaEngine(BaseEngine):
|
||||
pos_compare_result = ''
|
||||
# 精简输出
|
||||
compare_info = ''
|
||||
diff_pos_dict = {}
|
||||
diff_pos_dict = {} # 短合约: {'long_diff':xx, 'short_diff',xx)
|
||||
|
||||
for vt_symbol in sorted(vt_symbols):
|
||||
# 发送不一致得结果
|
||||
symbol_pos = compare_pos.pop(vt_symbol, {})
|
||||
#
|
||||
# # 股指期货: 帐号多/空轧差， vs 策略多空轧差 是否一致；
|
||||
# # 其他期货：帐号多单 vs 除了多单， 空单 vs 空单
|
||||
# if vt_symbol.endswith(".CFFEX"):
|
||||
# diff_match = (symbol_pos.get('账号多单', 0) - symbol_pos.get('账号空单', 0)) == (
|
||||
# symbol_pos.get('策略多单', 0) - symbol_pos.get('策略空单', 0))
|
||||
# pos_match = symbol_pos.get('账号空单', 0) == symbol_pos.get('策略空单', 0) and \
|
||||
# symbol_pos.get('账号多单', 0) == symbol_pos.get('策略多单', 0)
|
||||
# match = diff_match
|
||||
# # 轧差一致，帐号/策略持仓不一致
|
||||
# if diff_match and not pos_match:
|
||||
# if symbol_pos.get('账号多单', 0) > symbol_pos.get('策略多单', 0):
|
||||
# self.write_log('{}轧差持仓：多:{},空:{} 大于 策略持仓 多:{},空:{}'.format(
|
||||
# vt_symbol,
|
||||
# symbol_pos.get('账号多单', 0),
|
||||
# symbol_pos.get('账号空单', 0),
|
||||
# symbol_pos.get('策略多单', 0),
|
||||
# symbol_pos.get('策略空单', 0)
|
||||
# ))
|
||||
# diff_pos_dict.update({vt_symbol: {"long": symbol_pos.get('账号多单', 0) - symbol_pos.get('策略多单', 0),
|
||||
# "short": symbol_pos.get('账号空单', 0) - symbol_pos.get('策略空单',
|
||||
# 0)}})
|
||||
# else:
|
||||
match = round(symbol_pos.get('账号空单', 0), 7) == round(symbol_pos.get('策略空单', 0), 7) and \
|
||||
round(symbol_pos.get('账号多单', 0), 7) == round(symbol_pos.get('策略多单', 0), 7)
|
||||
|
||||
d_long = {
|
||||
'account_id': self.engine_config.get('accountid', '-'),
|
||||
'vt_symbol': vt_symbol,
|
||||
'direction': Direction.LONG.value,
|
||||
'strategy_list': symbol_pos.get('多单策略', [])}
|
||||
|
||||
d_short = {
|
||||
'account_id': self.engine_config.get('accountid', '-'),
|
||||
'vt_symbol': vt_symbol,
|
||||
'direction': Direction.SHORT.value,
|
||||
'strategy_list': symbol_pos.get('空单策略', [])}
|
||||
|
||||
# 股指期货: 帐号多/空轧差， vs 策略多空轧差 是否一致；
|
||||
# 其他期货：帐号多单 vs 除了多单， 空单 vs 空单
|
||||
if vt_symbol.endswith(".CFFEX"):
|
||||
diff_match = (symbol_pos.get('账号多单', 0) - symbol_pos.get('账号空单', 0)) == (
|
||||
symbol_pos.get('策略多单', 0) - symbol_pos.get('策略空单', 0))
|
||||
pos_match = symbol_pos.get('账号空单', 0) == symbol_pos.get('策略空单', 0) and \
|
||||
symbol_pos.get('账号多单', 0) == symbol_pos.get('策略多单', 0)
|
||||
match = diff_match
|
||||
# 轧差一致，帐号/策略持仓不一致
|
||||
if diff_match and not pos_match:
|
||||
if symbol_pos.get('账号多单', 0) > symbol_pos.get('策略多单', 0):
|
||||
self.write_log('{}轧差持仓：多:{},空:{} 大于 策略持仓 多:{},空:{}'.format(
|
||||
vt_symbol,
|
||||
symbol_pos.get('账号多单', 0),
|
||||
symbol_pos.get('账号空单', 0),
|
||||
symbol_pos.get('策略多单', 0),
|
||||
symbol_pos.get('策略空单', 0)
|
||||
))
|
||||
diff_pos_dict.update({vt_symbol: {"long": symbol_pos.get('账号多单', 0) - symbol_pos.get('策略多单', 0),
|
||||
"short": symbol_pos.get('账号空单', 0) - symbol_pos.get('策略空单',
|
||||
0)}})
|
||||
else:
|
||||
match = round(symbol_pos.get('账号空单', 0), 7) == round(symbol_pos.get('策略空单', 0), 7) and \
|
||||
round(symbol_pos.get('账号多单', 0), 7) == round(symbol_pos.get('策略多单', 0), 7)
|
||||
# 多空都一致
|
||||
if match:
|
||||
msg = u'{}多空都一致.{}\n'.format(vt_symbol, json.dumps(symbol_pos, indent=2, ensure_ascii=False))
|
||||
self.write_log(msg)
|
||||
compare_info += msg
|
||||
else:
|
||||
# 多空不一致
|
||||
pos_compare_result += '\n{}: '.format(vt_symbol)
|
||||
# 判断是多单不一致？
|
||||
diff_long_volume = round(symbol_pos.get('账号多单', 0), 7) - round(symbol_pos.get('策略多单', 0), 7)
|
||||
@ -1946,8 +1995,16 @@ class CtaEngine(BaseEngine):
|
||||
symbol_pos.get('策略多单'))
|
||||
|
||||
pos_compare_result += msg
|
||||
self.write_error(u'{}不一致:{}'.format(vt_symbol, msg))
|
||||
self.write_log(u'{}不一致:{}'.format(vt_symbol, msg))
|
||||
compare_info += u'{}不一致:{}\n'.format(vt_symbol, msg)
|
||||
|
||||
# 登记短合约得差别
|
||||
underlying_symbol = get_underlying_symbol(vt_symbol.split('.')[0])
|
||||
diff_pos = diff_pos_dict.get(underlying_symbol, {})
|
||||
diff_pos.update({'多单': diff_long_volume + diff_pos.get('多单', 0)})
|
||||
diff_pos_dict[underlying_symbol] = diff_pos
|
||||
|
||||
# 自动平衡
|
||||
if auto_balance:
|
||||
self.balance_pos(vt_symbol, Direction.LONG, diff_long_volume)
|
||||
|
||||
@ -1961,13 +2018,24 @@ class CtaEngine(BaseEngine):
|
||||
symbol_pos.get('空单策略'),
|
||||
symbol_pos.get('策略空单'))
|
||||
pos_compare_result += msg
|
||||
self.write_error(u'{}不一致:{}'.format(vt_symbol, msg))
|
||||
self.write_log(u'{}不一致:{}'.format(vt_symbol, msg))
|
||||
compare_info += u'{}不一致:{}\n'.format(vt_symbol, msg)
|
||||
|
||||
# 登记短合约得差别
|
||||
underlying_symbol = get_underlying_symbol(vt_symbol.split('.')[0])
|
||||
diff_pos = diff_pos_dict.get(underlying_symbol, {})
|
||||
diff_pos.update({'空单': diff_short_volume + diff_pos.get('空单', 0)})
|
||||
diff_pos_dict[underlying_symbol] = diff_pos
|
||||
|
||||
# 自动平衡仓位
|
||||
if auto_balance:
|
||||
self.balance_pos(vt_symbol, Direction.SHORT, diff_short_volume)
|
||||
|
||||
# 统计所有轧差偏差得
|
||||
diff_underlying = sum([d.get('多单', 0) - d.get('空单', 0) for d in list(diff_pos_dict.values())])
|
||||
|
||||
# 不匹配，输入到stdErr通道
|
||||
if pos_compare_result != '':
|
||||
if pos_compare_result != '' and diff_underlying != 0:
|
||||
msg = u'账户{}持仓不匹配: {}' \
|
||||
.format(self.engine_config.get('accountid', '-'),
|
||||
pos_compare_result)
|
||||
@ -1982,9 +2050,6 @@ class CtaEngine(BaseEngine):
|
||||
return True, compare_info + ret_msg
|
||||
else:
|
||||
self.write_log(u'账户持仓与策略一致')
|
||||
if len(diff_pos_dict) > 0:
|
||||
for k, v in diff_pos_dict.items():
|
||||
self.write_log(f'{k} 存在大于策略的轧差持仓:{v}')
|
||||
return True, compare_info
|
||||
|
||||
def balance_pos(self, vt_symbol, direction, volume):
|
||||
|
||||
@ -13,7 +13,7 @@ from logging import INFO, ERROR
|
||||
from datetime import datetime
|
||||
from vnpy.trader.constant import Interval, Direction, Offset, Status, OrderType, Color, Exchange
|
||||
from vnpy.trader.object import BarData, TickData, OrderData, TradeData
|
||||
from vnpy.trader.utility import virtual, append_data, extract_vt_symbol, get_underlying_symbol
|
||||
from vnpy.trader.utility import virtual, append_data, extract_vt_symbol, get_underlying_symbol,print_dict
|
||||
|
||||
from .base import StopOrder, EngineType
|
||||
from vnpy.component.cta_grid_trade import CtaGrid, CtaGridTrade, LOCK_GRID
|
||||
@ -75,7 +75,7 @@ class CtaTemplate(ABC):
|
||||
"""
|
||||
class_parameters = {}
|
||||
for name in cls.parameters:
|
||||
class_parameters[name] = getattr(cls, name)
|
||||
class_parameters[name] = getattr(cls, name,"")
|
||||
return class_parameters
|
||||
|
||||
def get_parameters(self):
|
||||
@ -84,7 +84,7 @@ class CtaTemplate(ABC):
|
||||
"""
|
||||
strategy_parameters = {}
|
||||
for name in self.parameters:
|
||||
strategy_parameters[name] = getattr(self, name)
|
||||
strategy_parameters[name] = getattr(self, name, "")
|
||||
return strategy_parameters
|
||||
|
||||
def get_variables(self):
|
||||
@ -187,6 +187,31 @@ class CtaTemplate(ABC):
|
||||
"""
|
||||
pass
|
||||
|
||||
def exist_order(self, vt_symbol, direction, offset):
|
||||
"""
|
||||
是否存在相同得委托
|
||||
:param vt_symbol:
|
||||
:param direction:
|
||||
:param offset:
|
||||
:return:
|
||||
"""
|
||||
if len(self.active_orders) == 0:
|
||||
self.write_log(f'当前活动订单数量为零。查询条件:{vt_symbol}，方向:{direction.value}, 开平:{offset.value}')
|
||||
return False
|
||||
|
||||
for orderid, order in self.active_orders.items():
|
||||
# self.write_log(f'当前活动订单:\n{print_dict(order)}')
|
||||
if offset != Offset.OPEN: # 平昨、平今、平仓
|
||||
offset_cond = order['offset'] != Offset.OPEN
|
||||
else: # 开仓
|
||||
offset_cond = order['offset'] == offset
|
||||
|
||||
if order['vt_symbol'] == vt_symbol and order['direction'] == direction and offset_cond:
|
||||
self.write_log(f'存在相同活动订单。查询条件:{vt_symbol}，方向:{direction.value}, 开平:{offset.value}')
|
||||
return True
|
||||
|
||||
return False
|
||||
|
||||
def buy(self, price: float, volume: float, stop: bool = False, lock: bool = False,
|
||||
vt_symbol: str = '', order_type: OrderType = OrderType.LIMIT,
|
||||
order_time: datetime = None, grid: CtaGrid = None):
|
||||
|
||||
File diff suppressed because it is too large
Load Diff
@ -100,7 +100,8 @@ class IndexTickPublisherV2(BaseEngine):
|
||||
exchange=conf.get('exchange', 'x_fanout_idx_tick'))
|
||||
self.write_log(f'创建发布器成功')
|
||||
except Exception as ex:
|
||||
self.write_log(u'创建tick发布器异常:{}'.format(str(ex)))
|
||||
self.write_error(u'创建tick发布器异常:{}'.format(str(ex)))
|
||||
self.write_error(traceback.format_exc())
|
||||
|
||||
# ----------------------------------------------------------------------
|
||||
def registerEvent(self):
|
||||
|
||||
@ -259,6 +259,7 @@ class BinanceFutureData(RestClient):
|
||||
contracts = load_json(f, auto_save=False)
|
||||
return contracts
|
||||
|
||||
|
||||
def save_contracts(self):
|
||||
"""保存合约配置"""
|
||||
contracts = self.get_contracts()
|
||||
|
||||
@ -181,8 +181,10 @@ class MongoData(object):
|
||||
return []
|
||||
|
||||
def db_query_by_sort(self, db_name, col_name, filter_dict, sort_name, sort_type, limitNum=0):
|
||||
"""从MongoDB中读取数据，d是查询要求，sortName是排序的字段,sortType是排序类型
|
||||
返回的是数据库查询的指针"""
|
||||
"""
|
||||
从MongoDB中读取数据，d是查询要求，sortName是排序的字段,sortType是排序类型,1正序，-1倒序
|
||||
返回的是数据库查询的指针
|
||||
"""
|
||||
try:
|
||||
if self.db_client:
|
||||
db = self.db_client[db_name]
|
||||
|
||||
@ -263,12 +263,25 @@ class TdxStockData(object):
|
||||
|
||||
return results
|
||||
|
||||
def get_name(self, code, market_id):
|
||||
symbol_info = self.symbol_dict.get(f'{code}_{market_id}')
|
||||
if symbol_info:
|
||||
return symbol_info.get('name', code)
|
||||
def get_name(self, symbol, market_id=None):
|
||||
"""
|
||||
获取名称
|
||||
:param symbol: 代码 或者 代码.交易所
|
||||
:param market_id: 如果存在代码.交易所时，不使用该值
|
||||
:return:
|
||||
"""
|
||||
if '.' in symbol:
|
||||
symbol, exchange = symbol.split('.')
|
||||
if exchange == Exchange.SSE.value:
|
||||
market_id = 1
|
||||
elif exchange == Exchange.SZSE.value:
|
||||
market_id = 0
|
||||
|
||||
return code
|
||||
symbol_info = self.symbol_dict.get(f'{symbol}_{market_id}')
|
||||
if symbol_info:
|
||||
return symbol_info.get('name', symbol)
|
||||
|
||||
return symbol
|
||||
|
||||
# ----------------------------------------------------------------------
|
||||
def get_bars(self,
|
||||
|
||||
@ -963,6 +963,47 @@ class CtpTdApi(TdApi):
|
||||
""""""
|
||||
self.gateway.write_error("交易撤单失败", error)
|
||||
|
||||
def onRspParkedOrderInsert(self, data: dict, error: dict, reqid: int, last: bool):
|
||||
""""""
|
||||
self.gateway.write_log('预埋单回报')
|
||||
|
||||
order_ref = data["OrderRef"]
|
||||
orderid = f"{self.frontid}_{self.sessionid}_{order_ref}"
|
||||
|
||||
symbol = data["InstrumentID"]
|
||||
exchange = symbol_exchange_map[symbol]
|
||||
|
||||
order_type = OrderType.LIMIT
|
||||
if data["OrderPriceType"] == THOST_FTDC_OPT_LimitPrice and data["TimeCondition"] == THOST_FTDC_TC_IOC:
|
||||
if data["VolumeCondition"] == THOST_FTDC_VC_AV:
|
||||
order_type = OrderType.FAK
|
||||
elif data["VolumeCondition"] == THOST_FTDC_VC_CV:
|
||||
order_type = OrderType.FOK
|
||||
|
||||
if data["OrderPriceType"] == THOST_FTDC_OPT_AnyPrice:
|
||||
order_type = OrderType.MARKET
|
||||
|
||||
order = OrderData(
|
||||
symbol=symbol,
|
||||
exchange=exchange,
|
||||
accountid=self.accountid,
|
||||
orderid=orderid,
|
||||
type=order_type,
|
||||
direction=DIRECTION_CTP2VT[data["Direction"]],
|
||||
offset=OFFSET_CTP2VT.get(data["CombOffsetFlag"], Offset.NONE),
|
||||
price=data["LimitPrice"],
|
||||
volume=data["VolumeTotalOriginal"],
|
||||
status=Status.REJECTED,
|
||||
gateway_name=self.gateway_name
|
||||
)
|
||||
self.gateway.on_order(order)
|
||||
|
||||
# self.gateway.write_error("交易委托失败", error)
|
||||
|
||||
def onRspParkedOrderAction(self, data: dict, error: dict, reqid: int, last: bool):
|
||||
""""""
|
||||
self.gateway.write_error("预埋单交易撤单失败", error)
|
||||
|
||||
def onRspQueryMaxOrderVolume(self, data: dict, error: dict, reqid: int, last: bool):
|
||||
""""""
|
||||
pass
|
||||
@ -1424,7 +1465,34 @@ class CtpTdApi(TdApi):
|
||||
ctp_req["VolumeCondition"] = THOST_FTDC_VC_CV
|
||||
|
||||
self.reqid += 1
|
||||
self.reqOrderInsert(ctp_req, self.reqid)
|
||||
dt = datetime.now()
|
||||
use_packed = False
|
||||
if 3 < dt.hour < 8 or 15 < dt.hour < 20:
|
||||
use_packed = True
|
||||
else:
|
||||
if dt.hour in [8,20] and dt.minute <55:
|
||||
use_packed = True
|
||||
if req.exchange != Exchange.CFFEX:
|
||||
if dt.hour == 10 and 15< dt.minute<30:
|
||||
use_packed = True
|
||||
if dt.hour == 11 and dt.minute > 30:
|
||||
use_packed = True
|
||||
if dt.hour == 12:
|
||||
use_packed = True
|
||||
if dt.hour == 13 and dt.minute < 30:
|
||||
use_packed = True
|
||||
else:
|
||||
if dt.hour == 9 and dt.minute < 25:
|
||||
use_packed = True
|
||||
if dt.hour == 11 and dt.minute > 30:
|
||||
use_packed = True
|
||||
if dt.hour == 12:
|
||||
use_packed = True
|
||||
if use_packed:
|
||||
self.gateway.write_log(f'使用预埋单下单')
|
||||
self.reqParkedOrderInsert(ctp_req, self.reqid)
|
||||
else:
|
||||
self.reqOrderInsert(ctp_req, self.reqid)
|
||||
|
||||
orderid = f"{self.frontid}_{self.sessionid}_{self.order_ref}"
|
||||
order = req.create_order_data(orderid, self.gateway_name)
|
||||
|
||||
@ -59,7 +59,10 @@ class OffsetConverter:
|
||||
def get_position_holding(self, vt_symbol: str, gateway_name: str = '') -> "PositionHolding":
|
||||
"""获取持仓信息"""
|
||||
if gateway_name is None or len(gateway_name) == 0:
|
||||
contract = self.main_engine.get_contract(vt_symbol)
|
||||
if len(self.main_engine.gateways.keys()) == 1:
|
||||
gateway_name = list(self.main_engine.gateways.keys())[0]
|
||||
else:
|
||||
contract = self.main_engine.get_contract(vt_symbol)
|
||||
if contract:
|
||||
gateway_name = contract.gateway_name
|
||||
|
||||
|
||||
@ -153,7 +153,7 @@ class MainEngine:
|
||||
if not gateway:
|
||||
# 增加兼容得写法，如果没有输入gateway_name，但当前只有一个gateway时，就使用当前gateway
|
||||
if len(self.gateways.keys()) == 1:
|
||||
return self.gateways.values()[0]
|
||||
return list(self.gateways.values())[0]
|
||||
|
||||
self.write_error(f"在{self.gateways.keys()}中找不到底层接口：{gateway_name}")
|
||||
return gateway
|
||||
|
||||
@ -447,6 +447,16 @@ class TickCombiner(object):
|
||||
u'leg2:{0}跌停{1}，不合成价差Tick'.format(self.last_leg2_tick.vt_symbol, self.last_leg2_tick.ask_price_1))
|
||||
return
|
||||
|
||||
# 忽略买卖价格差距过大的tick
|
||||
if self.last_leg1_tick.ask_price_1 > 5 * self.last_leg1_tick.bid_price_1 > 10:
|
||||
self.gateway.write_log(u'leg1:{0}买卖价格差距过大{1} {2}，不合成价差Tick'.format(
|
||||
self.last_leg1_tick.vt_symbol, self.last_leg1_tick.ask_price_1, self.last_leg1_tick.bid_price_1))
|
||||
return
|
||||
if self.last_leg2_tick.ask_price_1 > 5 * self.last_leg2_tick.bid_price_1 > 10:
|
||||
self.gateway.write_log(u'leg2:{0}买卖价格差距过大{1} {2}，不合成价差Tick'.format(
|
||||
self.last_leg2_tick.vt_symbol, self.last_leg2_tick.ask_price_1, self.last_leg2_tick.bid_price_1))
|
||||
return
|
||||
|
||||
if self.trading_day != tick.trading_day:
|
||||
self.trading_day = tick.trading_day
|
||||
self.spread_high = None
|
||||
|
||||
@ -1374,7 +1374,10 @@ class KLineWidget(KeyWraper):
|
||||
# 标记时间
|
||||
t_value = df_markup['datetime'].loc[idx]
|
||||
if not isinstance(t_value, datetime) and isinstance(t_value, str):
|
||||
t_value = datetime.strptime(t_value, '%Y-%m-%d %H:%M:%S')
|
||||
if '.' in t_value:
|
||||
t_value = datetime.strptime(t_value, '%Y-%m-%d %H:%M:%S.%f')
|
||||
else:
|
||||
t_value = datetime.strptime(t_value, '%Y-%m-%d %H:%M:%S')
|
||||
|
||||
price = df_markup['price'].loc[idx]
|
||||
markup_text = df_markup['markup'].loc[idx]
|
||||
|
||||
@ -20,7 +20,7 @@ from ..event import (
|
||||
EVENT_ACCOUNT,
|
||||
EVENT_LOG
|
||||
)
|
||||
from ..object import OrderRequest, SubscribeRequest
|
||||
from ..object import OrderRequest, SubscribeRequest,LogData
|
||||
from ..utility import load_json, save_json
|
||||
from ..setting import SETTING_FILENAME, SETTINGS
|
||||
|
||||
@ -646,6 +646,30 @@ class TradingWidget(QtWidgets.QWidget):
|
||||
cancel_button = QtWidgets.QPushButton("全撤")
|
||||
cancel_button.clicked.connect(self.cancel_all)
|
||||
|
||||
algo_stop_button = QtWidgets.QPushButton("全停算法")
|
||||
algo_stop_button.clicked.connect(self.stop_algo)
|
||||
|
||||
hbox_nomal = QtWidgets.QHBoxLayout()
|
||||
hbox_nomal.addWidget(send_button)
|
||||
hbox_nomal.addWidget(cancel_button)
|
||||
hbox_nomal.addWidget(algo_stop_button)
|
||||
|
||||
algo_button = QtWidgets.QPushButton("算法单")
|
||||
algo_button.clicked.connect(self.send_algo)
|
||||
|
||||
self.win_pips = QtWidgets.QLineEdit()
|
||||
self.win_pips.setText('10')
|
||||
self.stop_pips = QtWidgets.QLineEdit()
|
||||
self.stop_pips.setText('5')
|
||||
hbox_algo = QtWidgets.QHBoxLayout()
|
||||
win_lable = QtWidgets.QLabel("止盈跳")
|
||||
hbox_algo.addWidget(win_lable)
|
||||
hbox_algo.addWidget(self.win_pips)
|
||||
stop_lable = QtWidgets.QLabel("止损跳")
|
||||
hbox_algo.addWidget(stop_lable)
|
||||
hbox_algo.addWidget(self.stop_pips)
|
||||
hbox_algo.addWidget(algo_button)
|
||||
|
||||
self.checkFixed = QtWidgets.QCheckBox("价格") # 价格固定选择框
|
||||
|
||||
form1 = QtWidgets.QFormLayout()
|
||||
@ -658,8 +682,8 @@ class TradingWidget(QtWidgets.QWidget):
|
||||
form1.addRow(self.checkFixed, self.price_line)
|
||||
form1.addRow("数量", self.volume_line)
|
||||
form1.addRow("接口", self.gateway_combo)
|
||||
form1.addRow(send_button)
|
||||
form1.addRow(cancel_button)
|
||||
form1.addRow(hbox_nomal)
|
||||
form1.addRow(hbox_algo)
|
||||
|
||||
# Market depth display area
|
||||
bid_color = "rgb(255,174,201)"
|
||||
@ -852,6 +876,75 @@ class TradingWidget(QtWidgets.QWidget):
|
||||
self.ap4_label.setText("")
|
||||
self.ap5_label.setText("")
|
||||
|
||||
def stop_algo(self) -> None:
|
||||
|
||||
if not self.main_engine.algo_engine:
|
||||
QtWidgets.QMessageBox.critical(self, "算法引擎未启动", "请先启动算法引擎")
|
||||
return
|
||||
try:
|
||||
self.main_engine.algo_engine.stop_all()
|
||||
except Exception as ex:
|
||||
QtWidgets.QMessageBox.critical(self, f"算法引擎异常{str(ex)}", "请查看详细日志")
|
||||
|
||||
|
||||
def send_algo(self) ->None:
|
||||
"""启动算法"""
|
||||
if not self.main_engine.algo_engine:
|
||||
QtWidgets.QMessageBox.critical(self, "算法引擎未启动", "请先启动算法引擎")
|
||||
return
|
||||
template_name = 'AutoStopWinAlgo'
|
||||
algo_template = self.main_engine.algo_engine.algo_templates.get(template_name,None)
|
||||
if algo_template is None:
|
||||
QtWidgets.QMessageBox.critical(self, f"算法[{template_name}]不存在", "请先部署算法")
|
||||
return
|
||||
symbol = str(self.symbol_line.text())
|
||||
if not symbol:
|
||||
QtWidgets.QMessageBox.critical(self, "委托失败", "请输入合约代码")
|
||||
return
|
||||
|
||||
volume_text = str(self.volume_line.text())
|
||||
if not volume_text:
|
||||
QtWidgets.QMessageBox.critical(self, "委托失败", "请输入委托数量")
|
||||
return
|
||||
volume = float(volume_text)
|
||||
|
||||
price_text = str(self.price_line.text())
|
||||
if not price_text:
|
||||
price = 0
|
||||
else:
|
||||
price = float(price_text)
|
||||
|
||||
exchange = Exchange(str(self.exchange_combo.currentText()))
|
||||
|
||||
win_pips = str(self.win_pips.text())
|
||||
if int(win_pips) <=0:
|
||||
QtWidgets.QMessageBox.critical(self, "止盈点数须大于0", "请输入正确止盈点数")
|
||||
return
|
||||
stop_pips = str(self.stop_pips.text())
|
||||
if int(stop_pips) <= 0:
|
||||
QtWidgets.QMessageBox.critical(self, "止损点数须大于0", "请输入正确止损点数")
|
||||
return
|
||||
offset = Offset(str(self.offset_combo.currentText()))
|
||||
if offset != Offset.OPEN:
|
||||
QtWidgets.QMessageBox.critical(self, "算法只支持开仓", "请选择开仓方式")
|
||||
return
|
||||
|
||||
setting = {
|
||||
"vt_symbol": f"{symbol}.{exchange.value}",
|
||||
"direction": Direction(str(self.direction_combo.currentText())),
|
||||
"open_price": price,
|
||||
"win_pips": int(win_pips),
|
||||
"stop_pips": int(stop_pips),
|
||||
"volume": volume,
|
||||
"near_pips": 2, # 价格接近多少个跳动才开始挂单（开仓）
|
||||
"offset": offset
|
||||
}
|
||||
algo = algo_template.new(self.main_engine.algo_engine, setting)
|
||||
algo.start()
|
||||
self.main_engine.algo_engine.algos[algo.algo_name] = algo
|
||||
|
||||
self.main_engine.write_log(msg=f'算法{algo.algo_name}启动')
|
||||
|
||||
def send_order(self) -> None:
|
||||
"""
|
||||
Send new order manually.
|
||||
|
||||
@ -699,6 +699,16 @@ def save_data_to_pkb2(data: Any, pkb2_file_name):
|
||||
pickle.dump(data, f)
|
||||
|
||||
|
||||
def get_months_diff(act_symbol, pas_symbol):
|
||||
"""获取合约得相隔月份"""
|
||||
pas_month = int(pas_symbol[-2:])
|
||||
act_month = int(act_symbol[-2:])
|
||||
if pas_month < act_month:
|
||||
pas_month += 12
|
||||
|
||||
return max(1, pas_month - act_month)
|
||||
|
||||
|
||||
class BarGenerator:
|
||||
"""
|
||||
For:
|
||||
|
||||
Loading…
Reference in New Issue
Block a user