diff --git a/examples/DataRecording/runDataRecording.py b/examples/DataRecording/runDataRecording.py index b4997c14..c05425ea 100644 --- a/examples/DataRecording/runDataRecording.py +++ b/examples/DataRecording/runDataRecording.py @@ -54,11 +54,11 @@ def runParentProcess(): """父进程运行函数""" printLog(u'启动行情记录守护父进程') - DAY_START = time(8, 45) # 日盘启动和停止时间 - DAY_END = time(15, 30) + DAY_START = time(8, 57) # 日盘启动和停止时间 + DAY_END = time(15, 18) - NIGHT_START = time(20, 45) # 夜盘启动和停止时间 - NIGHT_END = time(2, 45) + NIGHT_START = time(20, 57) # 夜盘启动和停止时间 + NIGHT_END = time(2, 33) p = None # 子进程句柄 diff --git a/vnpy/data/shcifco/vnshcifco.py b/vnpy/data/shcifco/vnshcifco.py index 568cd0d0..84f8331e 100644 --- a/vnpy/data/shcifco/vnshcifco.py +++ b/vnpy/data/shcifco/vnshcifco.py @@ -144,5 +144,4 @@ class ShcifcoApi(object): barList.append(d) return barList - - + diff --git a/vnpy/trader/app/ctaStrategy/ctaBacktesting.py b/vnpy/trader/app/ctaStrategy/ctaBacktesting.py index 01b29280..9f3073de 100644 --- a/vnpy/trader/app/ctaStrategy/ctaBacktesting.py +++ b/vnpy/trader/app/ctaStrategy/ctaBacktesting.py @@ -139,7 +139,7 @@ class BacktestingEngine(object): # 载入初始化需要用的数据 flt = {'datetime':{'$gte':self.dataStartDate, '$lt':self.strategyStartDate}} - initCursor = collection.find(flt) + initCursor = collection.find(flt).sort('datetime') # 将数据从查询指针中读取出，并生成列表 self.initData = [] # 清空initData列表 @@ -154,7 +154,7 @@ class BacktestingEngine(object): else: flt = {'datetime':{'$gte':self.strategyStartDate, '$lte':self.dataEndDate}} - self.dbCursor = collection.find(flt) + self.dbCursor = collection.find(flt).sort('datetime') self.output(u'载入完成，数据量：%s' %(initCursor.count() + self.dbCursor.count())) diff --git a/vnpy/trader/app/ctaStrategy/ctaEngine.py b/vnpy/trader/app/ctaStrategy/ctaEngine.py index 319209eb..77464b18 100644 --- a/vnpy/trader/app/ctaStrategy/ctaEngine.py +++ b/vnpy/trader/app/ctaStrategy/ctaEngine.py @@ -337,7 +337,7 @@ class CtaEngine(object): startDate = self.today - timedelta(days) d = {'datetime':{'$gte':startDate}} - barData = self.mainEngine.dbQuery(dbName, collectionName, d) + barData = self.mainEngine.dbQuery(dbName, collectionName, d, 'datetime') l = [] for d in barData: @@ -352,7 +352,7 @@ class CtaEngine(object): startDate = self.today - timedelta(days) d = {'datetime':{'$gte':startDate}} - tickData = self.mainEngine.dbQuery(dbName, collectionName, d) + tickData = self.mainEngine.dbQuery(dbName, collectionName, d, 'datetime') l = [] for d in tickData: diff --git a/vnpy/trader/app/riskManager/RM_setting.json b/vnpy/trader/app/riskManager/RM_setting.json index 1e452dd7..25c98921 100644 --- a/vnpy/trader/app/riskManager/RM_setting.json +++ b/vnpy/trader/app/riskManager/RM_setting.json @@ -2,8 +2,8 @@ "orderFlowClear": 1, "orderCancelLimit": 10, "workingOrderLimit": 20, - "tradeLimit": 100, - "orderSizeLimit": 10, + "tradeLimit": 1000, + "orderSizeLimit": 100, "active": true, "orderFlowLimit": 50 } \ No newline at end of file diff --git a/vnpy/trader/app/spreadTrading/stAlgo.py b/vnpy/trader/app/spreadTrading/stAlgo.py index 8c35698b..aa9b4184 100644 --- a/vnpy/trader/app/spreadTrading/stAlgo.py +++ b/vnpy/trader/app/spreadTrading/stAlgo.py @@ -175,7 +175,8 @@ class SniperAlgo(StAlgoTemplate): self.legDict[leg.vtSymbol] = leg self.hedgingTaskDict = {} # 被动腿需要对冲的数量字典 vtSymbol:volume - self.legOrderDict = {} # vtSymbol: list of vtOrderID + self.legOrderDict = {} # vtSymbol: list of vtOrderID + self.orderTradedDict = {} # vtOrderID: tradedVolume #---------------------------------------------------------------------- def updateSpreadTick(self, spread): @@ -229,21 +230,30 @@ class SniperAlgo(StAlgoTemplate): #---------------------------------------------------------------------- def updateTrade(self, trade): """成交更新""" - if not self.active: - return - - if trade.vtSymbol == self.activeVtSymbol: - self.newActiveLegTrade(trade) - else: - self.newPassiveLegTrade(trade) + pass #---------------------------------------------------------------------- def updateOrder(self, order): """委托更新""" if not self.active: return + + vtOrderID = order.vtOrderID + vtSymbol = order.vtSymbol + newTradedVolume = order.tradedVolume + lastTradedVolume = self.orderTradedDict.get(vtOrderID, 0) - # 只处理完成委托 + # 检查是否有新的成交 + if newTradedVolume > lastTradedVolume: + self.orderTradedDict[vtOrderID] = newTradedVolume # 缓存委托已经成交数量 + volume = newTradedVolume - lastTradedVolume # 计算本次成交数量 + + if vtSymbol == self.activeVtSymbol: + self.newActiveLegTrade(vtSymbol, order.direction, volume) + else: + self.newPassiveLegTrade(vtSymbol, order.direction, volume) + + # 处理完成委托 if order.status in self.FINISHED_STATUS: vtOrderID = order.vtOrderID vtSymbol = order.vtSymbol @@ -257,7 +267,6 @@ class SniperAlgo(StAlgoTemplate): # 检查若是被动腿，且已经没有未完成委托，则执行对冲 if not orderList and vtSymbol in self.passiveVtSymbols: self.hedgePassiveLeg(vtSymbol) - self.writeLog(u'发出新的被动腿%s对冲单' %vtSymbol) #---------------------------------------------------------------------- def updateTimer(self): @@ -283,9 +292,35 @@ class SniperAlgo(StAlgoTemplate): #---------------------------------------------------------------------- def start(self): """启动""" - if not self.active: - self.quoteCount = 0 - self.hedgeCount = 0 + # 如果已经运行则直接返回状态 + if self.active: + return self.active + + # 做多检查 + if self.mode != self.MODE_SHORTONLY: + if self.buyPrice >= self.sellPrice: + self.writeLog(u'启动失败，允许多头交易时BuyPrice必须小于SellPrice') + return self.active + + # 做空检查 + if self.mode != self.MODE_LONGONLY: + if self.shortPrice <= self.coverPrice: + self.writeLog(u'启动失败，允许空头交易时ShortPrice必须大于CoverPrice') + return self.active + + # 多空检查 + if self.mode == self.MODE_LONGSHORT: + if self.buyPrice >= self.coverPrice: + self.writeLog(u'启动失败，允许双向交易时BuyPrice必须小于CoverPrice') + return self.active + + if self.shortPrice <= self.sellPrice: + self.writeLog(u'启动失败，允许双向交易时ShortPrice必须大于SellPrice') + return self.active + + # 启动算法 + self.quoteCount = 0 + self.hedgeCount = 0 self.active = True self.writeLog(u'算法启动') @@ -339,6 +374,7 @@ class SniperAlgo(StAlgoTemplate): """发出主动腿""" spread = self.spread + # 首先计算不带正负号的价差委托量 if direction == self.SPREAD_LONG: spreadVolume = min(spread.askVolume, self.maxPosSize - spread.netPos, @@ -359,9 +395,15 @@ class SniperAlgo(StAlgoTemplate): if spreadVolume <= 0: return + # 加上价差方向 + if direction == self.SPREAD_SHORT: + spreadVolume = -spreadVolume + + # 计算主动腿委托量 leg = self.legDict[self.activeVtSymbol] legVolume = spreadVolume * leg.ratio self.sendLegOrder(leg, legVolume) + self.writeLog(u'发出新的主动腿%s狙击单' %self.activeVtSymbol) self.quoteCount = 0 # 重置主动腿报价撤单等待计数 @@ -370,11 +412,16 @@ class SniperAlgo(StAlgoTemplate): """被动腿对冲""" if vtSymbol not in self.hedgingTaskDict: return - legVolume = self.hedgingTaskDict[vtSymbol] + orderList = self.legOrderDict.get(vtSymbol, []) + if orderList: + return + + legVolume = self.hedgingTaskDict[vtSymbol] leg = self.legDict[vtSymbol] self.sendLegOrder(leg, legVolume) + self.writeLog(u'发出新的被动腿%s对冲单' %vtSymbol) #---------------------------------------------------------------------- def hedgeAllPassiveLegs(self): @@ -385,13 +432,19 @@ class SniperAlgo(StAlgoTemplate): self.hedgeCount = 0 # 重置被动腿对冲撤单等待计数 #---------------------------------------------------------------------- - def newActiveLegTrade(self, trade): + def newActiveLegTrade(self, vtSymbol, direction, volume): """新的主动腿成交""" - spread = self.spread + # 输出日志 + self.writeLog(u'主动腿%s成交，方向%s，数量%s' %(vtSymbol, direction, volume)) + + # 将主动腿成交带上方向 + if direction == DIRECTION_SHORT: + volume = -volume # 计算主动腿成交后，对应的价差仓位 + spread = self.spread activeRatio = spread.activeLeg.ratio - spreadVolume = round(trade.volume / activeRatio) # 四舍五入求主动腿成交量对应的价差份数 + spreadVolume = round(volume / activeRatio) # 四舍五入求主动腿成交量对应的价差份数 # 计算价差新仓位，对应的被动腿需要对冲部分 for leg in self.spread.passiveLegs: @@ -402,28 +455,28 @@ class SniperAlgo(StAlgoTemplate): else: self.hedgingTaskDict[leg.vtSymbol] += newHedgingTask - # 输出日志 - self.writeLog(u'主动腿%s成交，方向%s，数量%s' %(trade.vtSymbol, trade.direction, trade.volume)) + # 发出被动腿对冲委托 + self.hedgeAllPassiveLegs() #---------------------------------------------------------------------- - def newPassiveLegTrade(self, trade): + def newPassiveLegTrade(self, vtSymbol, direction, volume): """新的被动腿成交""" - if trade.vtSymbol in self.hedgingTaskDict: + if vtSymbol in self.hedgingTaskDict: # 计算完成的对冲数量 - if trade.direction == DIRECTION_LONG: - hedgedVolume = trade.volume + if direction == DIRECTION_LONG: + hedgedVolume = volume else: - hedgedVolume = -trade.volume + hedgedVolume = -volume # 计算剩余尚未完成的数量 - self.hedgingTaskDict[trade.vtSymbol] -= hedgedVolume + self.hedgingTaskDict[vtSymbol] -= hedgedVolume # 如果已全部完成，则从字典中移除 - if not self.hedgingTaskDict[trade.vtSymbol]: - del self.hedgingTaskDict[trade.vtSymbol] + if not self.hedgingTaskDict[vtSymbol]: + del self.hedgingTaskDict[vtSymbol] # 输出日志 - self.writeLog(u'被动腿%s成交，方向%s，数量%s' %(trade.vtSymbol, trade.direction, trade.volume)) + self.writeLog(u'被动腿%s成交，方向%s，数量%s' %(vtSymbol, direction, volume)) #---------------------------------------------------------------------- def cancelLegOrder(self, vtSymbol): @@ -432,6 +485,8 @@ class SniperAlgo(StAlgoTemplate): return orderList = self.legOrderDict[vtSymbol] + if not orderList: + return for vtOrderID in orderList: self.algoEngine.cancelOrder(vtOrderID) diff --git a/vnpy/trader/app/spreadTrading/stBase.py b/vnpy/trader/app/spreadTrading/stBase.py index 71f25f15..bead63f4 100644 --- a/vnpy/trader/app/spreadTrading/stBase.py +++ b/vnpy/trader/app/spreadTrading/stBase.py @@ -149,6 +149,8 @@ class StSpread(object): self.shortPos = min(self.shortPos, legAdjustedShortPos) # 计算净仓位 + self.longPos = int(self.longPos) + self.shortPos = int(self.shortPos) self.netPos = self.longPos - self.shortPos #---------------------------------------------------------------------- diff --git a/vnpy/trader/app/spreadTrading/stEngine.py b/vnpy/trader/app/spreadTrading/stEngine.py index 1ba5e9b8..808bf565 100644 --- a/vnpy/trader/app/spreadTrading/stEngine.py +++ b/vnpy/trader/app/spreadTrading/stEngine.py @@ -389,25 +389,45 @@ class StAlgoEngine(object): def buy(self, vtSymbol, price, volume, payup=0): """买入""" vtOrderID = self.sendOrder(vtSymbol, DIRECTION_LONG, OFFSET_OPEN, price, volume, payup) - return [vtOrderID] + l = [] + + if vtOrderID: + l.append(vtOrderID) + + return l #---------------------------------------------------------------------- def sell(self, vtSymbol, price, volume, payup=0): """卖出""" vtOrderID = self.sendOrder(vtSymbol, DIRECTION_SHORT, OFFSET_CLOSE, price, volume, payup) - return [vtOrderID] + l = [] + + if vtOrderID: + l.append(vtOrderID) + + return l #---------------------------------------------------------------------- def short(self, vtSymbol, price, volume, payup=0): """卖空""" vtOrderID = self.sendOrder(vtSymbol, DIRECTION_SHORT, OFFSET_OPEN, price, volume, payup) - return [vtOrderID] + l = [] + + if vtOrderID: + l.append(vtOrderID) + + return l #---------------------------------------------------------------------- def cover(self, vtSymbol, price, volume, payup=0): """平空""" vtOrderID = self.sendOrder(vtSymbol, DIRECTION_LONG, OFFSET_CLOSE, price, volume, payup) - return [vtOrderID] + l = [] + + if vtOrderID: + l.append(vtOrderID) + + return l #---------------------------------------------------------------------- def putAlgoEvent(self, algo): diff --git a/vnpy/trader/app/spreadTrading/uiStWidget.py b/vnpy/trader/app/spreadTrading/uiStWidget.py index 91f9c48b..178b4e55 100644 --- a/vnpy/trader/app/spreadTrading/uiStWidget.py +++ b/vnpy/trader/app/spreadTrading/uiStWidget.py @@ -33,7 +33,7 @@ class StTickMonitor(BasicMonitor): d['askPrice'] = {'chinese':u'卖价', 'cellType':AskCell} d['askVolume'] = {'chinese':u'卖量', 'cellType':AskCell} d['time'] = {'chinese':u'时间', 'cellType':BasicCell} - d['symbol'] = {'chinese':u'代码', 'cellType':BasicCell} + d['symbol'] = {'chinese':u'价差公式', 'cellType':BasicCell} self.setHeaderDict(d) self.setDataKey('name') diff --git a/vnpy/trader/gateway/okcoinGateway/okcoinGateway.py b/vnpy/trader/gateway/okcoinGateway/okcoinGateway.py index 2791c49f..788ceede 100644 --- a/vnpy/trader/gateway/okcoinGateway/okcoinGateway.py +++ b/vnpy/trader/gateway/okcoinGateway/okcoinGateway.py @@ -11,6 +11,7 @@ vn.okcoin的gateway接入 import os import json from datetime import datetime +from time import sleep from copy import copy from threading import Condition from Queue import Queue diff --git a/vnpy/trader/vtEngine.py b/vnpy/trader/vtEngine.py index 70b087e5..ab52c066 100644 --- a/vnpy/trader/vtEngine.py +++ b/vnpy/trader/vtEngine.py @@ -5,7 +5,7 @@ import shelve from collections import OrderedDict from datetime import datetime -from pymongo import MongoClient +from pymongo import MongoClient, ASCENDING from pymongo.errors import ConnectionFailure from vnpy.event import Event @@ -209,12 +209,17 @@ class MainEngine(object): self.writeLog(text.DATA_INSERT_FAILED) #---------------------------------------------------------------------- - def dbQuery(self, dbName, collectionName, d): + def dbQuery(self, dbName, collectionName, d, sortKey='', sortDirection=ASCENDING): """从MongoDB中读取数据，d是查询要求，返回的是数据库查询的指针""" if self.dbClient: db = self.dbClient[dbName] collection = db[collectionName] - cursor = collection.find(d) + + if sortKey: + cursor = collection.find(d).sort(sortKey, sortDirection) # 对查询出来的数据进行排序 + else: + cursor = collection.find(d) + if cursor: return list(cursor) else: