[Add]SniperAlgo and IcebergAlgo

vnpy/app/algo_trading/algos/iceberg_algo.py

@@ -0,0 +1,137 @@
+from vnpy.trader.constant import Offset, Direction
+from vnpy.trader.object import TradeData, OrderData, TickData
+from vnpy.trader.engine import BaseEngine
+
+from vnpy.app.algo_trading import AlgoTemplate
+
+
+class IcebergAlgo(AlgoTemplate):
+    """"""
+
+    display_name = "Iceberg 冰山"
+
+    default_setting = {
+        "vt_symbol": "",
+        "direction": [Direction.LONG.value, Direction.SHORT.value],
+        "price": 0.0,
+        "volume": 0.0,
+        "display_volume": 0.0,
+        "interval": 0,
+        "offset": [
+            Offset.NONE.value,
+            Offset.OPEN.value,
+            Offset.CLOSE.value,
+            Offset.CLOSETODAY.value,
+            Offset.CLOSEYESTERDAY.value
+        ]
+    }
+
+    variables = [
+        "traded",
+        "timer_count",
+        "vt_orderid"
+    ]
+
+    def __init__(
+        self,
+        algo_engine: BaseEngine,
+        algo_name: str,
+        setting: dict
+    ):
+        """"""
+        super().__init__(algo_engine, algo_name, setting)
+
+        # Parameters
+        self.vt_symbol = setting["vt_symbol"]
+        self.direction = Direction(setting["direction"])
+        self.price = setting["price"]
+        self.volume = setting["volume"]
+        self.display_volume = setting["display_volume"]
+        self.interval = setting["interval"]
+        self.offset = Offset(setting["offset"])
+
+        # Variables
+        self.timer_count = 0
+        self.vt_orderid = ""
+        self.traded = 0
+
+        self.last_tick = None
+
+        self.subscribe(self.vt_symbol)
+        self.put_parameters_event()
+        self.put_variables_event()
+
+    def on_stop(self):
+        """"""
+        self.write_log("停止算法")
+
+    def on_tick(self, tick: TickData):
+        """"""
+        self.last_tick = tick
+
+    def on_order(self, order: OrderData):
+        """"""
+        msg = f"委托号：{order.vt_orderid}，委托状态：{order.status.value}"
+        self.write_log(msg)
+
+        if not order.is_active():
+            self.vt_orderid = ""
+            self.put_variables_event()
+
+    def on_trade(self, trade: TradeData):
+        """"""
+        self.traded += trade.volume
+
+        if self.traded >= self.volume:
+            self.write_log(f"已交易数量：{self.traded}，总数量：{self.volume}")
+            self.stop()
+        else:
+            self.put_variables_event()
+
+    def on_timer(self):
+        """"""
+        self.timer_count += 1
+
+        if self.timer_count < self.interval:
+            self.put_variables_event()
+            return
+
+        self.timer_count = 0
+
+        contract = self.get_contract(self.vt_symbol)
+        if not contract:
+            return
+
+        # If order already finished, just send new order
+        if not self.vt_orderid:
+            order_volume = self.volume - self.traded
+            order_volume = min(order_volume, self.display_volume)
+
+            if self.direction == Direction.LONG:
+                self.vt_orderid = self.buy(
+                    self.vt_symbol,
+                    self.price,
+                    order_volume,
+                    offset=self.offset
+                )
+            else:
+                self.vt_orderid = self.sell(
+                    self.vt_symbol,
+                    self.price,
+                    order_volume,
+                    offset=self.offset
+                )
+        # Otherwise check for cancel
+        else:
+            if self.direction == Direction.LONG:
+                if self.last_tick.ask_price_1 <= self.price:
+                    self.cancel_order(self.vt_orderid)
+                    self.vt_orderid = ""
+                    self.write_log(u"最新Tick卖一价，低于买入委托价格，之前委托可能丢失，强制撤单")
+            else:
+                if self.last_tick.bid_price_1 >= self.price:
+                    self.cancel_order(self.vt_orderid)
+                    self.vt_orderid = ""
+                    self.write_log(u"最新Tick买一价，高于卖出委托价格，之前委托可能丢失，强制撤单")
+
+        self.put_variables_event()

vnpy/app/algo_trading/algos/sniper_algo.py

@@ -0,0 +1,101 @@
+from vnpy.trader.constant import Offset, Direction
+from vnpy.trader.object import TradeData, OrderData, TickData
+from vnpy.trader.engine import BaseEngine
+
+from vnpy.app.algo_trading import AlgoTemplate
+
+
+class SniperAlgo(AlgoTemplate):
+    """"""
+
+    display_name = "Sniper 狙击手"
+
+    default_setting = {
+        "vt_symbol": "",
+        "direction": [Direction.LONG.value, Direction.SHORT.value],
+        "price": 0.0,
+        "volume": 0.0,
+        "offset": [
+            Offset.NONE.value,
+            Offset.OPEN.value,
+            Offset.CLOSE.value,
+            Offset.CLOSETODAY.value,
+            Offset.CLOSEYESTERDAY.value
+        ]
+    }
+
+    variables = [
+        "traded",
+        "vt_orderid"
+    ]
+
+    def __init__(
+        self,
+        algo_engine: BaseEngine,
+        algo_name: str,
+        setting: dict
+    ):
+        """"""
+        super().__init__(algo_engine, algo_name, setting)
+
+        # Parameters
+        self.vt_symbol = setting["vt_symbol"]
+        self.direction = Direction(setting["direction"])
+        self.price = setting["price"]
+        self.volume = setting["volume"]
+        self.offset = Offset(setting["offset"])
+
+        # Variables
+        self.vt_orderid = ""
+        self.traded = 0
+
+        self.subscribe(self.vt_symbol)
+        self.put_parameters_event()
+        self.put_variables_event()
+
+    def on_tick(self, tick: TickData):
+        """"""
+        if self.vt_orderid:
+            self.cancel_all()
+            return
+
+        if self.direction == Direction.LONG:
+            if tick.ask_price_1 <= self.price:
+                order_volume = self.volume - self.traded
+                order_volume = min(order_volume, tick.ask_volume_1)
+
+                self.vt_orderid = self.buy(
+                    self.vt_symbol,
+                    self.price,
+                    order_volume,
+                    offset=self.offset
+                )
+        else:
+            if tick.bid_price_1 >= self.price:
+                order_volume = self.volume - self.traded
+                order_volume = min(order_volume, tick.bid_volume_1)
+
+                self.vt_orderid = self.sell(
+                    self.vt_symbol,
+                    self.price,
+                    order_volume,
+                    offset=self.offset
+                )
+
+        self.put_variables_event()
+
+    def on_order(self, order: OrderData):
+        """"""
+        if not order.is_active():
+            self.vt_orderid = ""
+            self.put_variables_event()
+
+    def on_trade(self, trade: TradeData):
+        """"""
+        self.traded += trade.volume
+
+        if self.traded >= self.volume:
+            self.write_log(f"已交易数量：{self.traded}，总数量：{self.volume}")
+            self.stop()
+        else:
+            self.put_variables_event()

vnpy/app/algo_trading/algos/twap_algo.py

@@ -26,6 +26,13 @@ class TwapAlgo(AlgoTemplate):
         ]
     }
 
+    variables = [
+        "traded",
+        "order_volume",
+        "timer_count",
+        "total_count"
+    ]
+
     def __init__(
         self,
         algo_engine: BaseEngine,
@@ -50,13 +57,6 @@ class TwapAlgo(AlgoTemplate):
         self.total_count = 0
         self.traded = 0
 
-        self.variables.extend([
-            "traded",
-            "order_volume",
-            "timer_count",
-            "total_count"
-        ])
-
         self.subscribe(self.vt_symbol)
         self.put_parameters_event()
         self.put_variables_event()
@@ -66,6 +66,7 @@ class TwapAlgo(AlgoTemplate):
         self.traded += trade.volume
 
         if self.traded >= self.volume:
+            self.write_log(f"已交易数量：{self.traded}，总数量：{self.volume}")
             self.stop()
         else:
             self.put_variables_event()
@@ -98,15 +99,7 @@ class TwapAlgo(AlgoTemplate):
             if tick.ask_price_1 <= self.price:
                 self.buy(self.vt_symbol, self.price,
                          order_volume, offset=self.offset)
-                self.write_log(
-                    f"委托买入{self.vt_symbol}：{order_volume}@{self.price}")
         else:
             if tick.bid_price_1 >= self.price:
                 self.sell(self.vt_symbol, self.price,
                           order_volume, offset=self.offset)
-                self.write_log(
-                    f"委托卖出{self.vt_symbol}：{order_volume}@{self.price}")
-
-    def get_default_setting(self):
-        """"""
-        return self.default_setting

vnpy/app/algo_trading/engine.py

@@ -44,8 +44,16 @@ class AlgoEngine(BaseEngine):
     def load_algo_template(self):
         """"""
         from .algos.twap_algo import TwapAlgo
+        from .algos.iceberg_algo import IcebergAlgo
+        from .algos.sniper_algo import SniperAlgo
 
-        self.algo_templates[TwapAlgo.__name__] = TwapAlgo
+        self.add_algo_template(TwapAlgo)
+        self.add_algo_template(IcebergAlgo)
+        self.add_algo_template(SniperAlgo)
+
+    def add_algo_template(self, template: AlgoTemplate):
+        """"""
+        self.algo_templates[template.__name__] = template
 
     def load_algo_setting(self):
         """"""

vnpy/app/algo_trading/template.py

@@ -96,6 +96,8 @@ class AlgoTemplate:
         self.on_stop()
         self.put_variables_event()
 
+        self.write_log("停止算法")
+
     def subscribe(self, vt_symbol):
         """"""
         self.algo_engine.subscribe(self, vt_symbol)
@@ -109,6 +111,9 @@ class AlgoTemplate:
         offset: Offset = Offset.NONE
     ):
         """"""
+        msg = f"委托买入{vt_symbol}：{volume}@{price}"
+        self.write_log(msg)
+
         return self.algo_engine.send_order(
             self,
             vt_symbol,
@@ -128,6 +133,9 @@ class AlgoTemplate:
         offset: Offset = Offset.NONE
     ):
         """"""
+        msg = f"委托卖出{vt_symbol}：{volume}@{price}"
+        self.write_log(msg)
+
         return self.algo_engine.send_order(
             self,
             vt_symbol,

vnpy/app/algo_trading/ui/display.py

@@ -11,5 +11,6 @@ NAME_DISPLAY_MAP = {
     "order_volume": "单笔委托",
     "timer_count": "本轮读秒",
     "total_count": "累计读秒",
-    "template_name": "算法模板"
+    "template_name": "算法模板",
+    "display_volume": "挂出数量"
 }

vnpy/app/algo_trading/ui/widget.py

@@ -554,6 +554,10 @@ class AlgoManager(QtWidgets.QWidget):
         widget = self.algo_widgets[template_name]
         widget.update_setting(setting_name, setting)
 
+        ix = self.template_combo.findData(template_name)
+        self.template_combo.setCurrentIndex(ix)
+        self.show_algo_widget()
+
     def show(self):
         """"""
         self.showMaximized()