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Merge pull request #6 from vnpy/DEV

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Dev
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RobinLiu 2019-04-09 09:25:45 +08:00 committed by GitHub
commit 31367adcaa
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4 changed files with 46 additions and 14 deletions
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6
vnpy/app/algo_trading/template.py
View File

@ -1,6 +1,7 @@
from vnpy.trader.engine import BaseEngine
from vnpy.trader.object import TickData, OrderData, TradeData
from vnpy.trader.constant import OrderType, Offset, Direction
from vnpy.trader.utility import virtual
class AlgoTemplate:
@ -63,22 +64,27 @@ class AlgoTemplate:
""""""
pass
@virtual
def on_stop(self):
""""""
pass
@virtual
def on_tick(self, tick: TickData):
""""""
pass
@virtual
def on_order(self, order: OrderData):
""""""
pass
@virtual
def on_trade(self, trade: TradeData):
""""""
pass
@virtual
def on_timer(self):
""""""
pass

14
vnpy/app/cta_strategy/template.py
View File

@ -4,6 +4,7 @@ from typing import Any, Callable
from vnpy.trader.constant import Interval, Direction, Offset
from vnpy.trader.object import BarData, TickData, OrderData, TradeData
from vnpy.trader.utility import virtual
from .base import StopOrder, EngineType
@ -87,48 +88,56 @@ class CtaTemplate(ABC):
}
return strategy_data
@virtual
def on_init(self):
"""
Callback when strategy is inited.
"""
pass
@virtual
def on_start(self):
"""
Callback when strategy is started.
"""
pass
@virtual
def on_stop(self):
"""
Callback when strategy is stopped.
"""
pass
@virtual
def on_tick(self, tick: TickData):
"""
Callback of new tick data update.
"""
pass
@virtual
def on_bar(self, bar: BarData):
"""
Callback of new bar data update.
"""
pass
@virtual
def on_trade(self, trade: TradeData):
"""
Callback of new trade data update.
"""
pass
@virtual
def on_order(self, order: OrderData):
"""
Callback of new order data update.
"""
pass
@virtual
def on_stop_order(self, stop_order: StopOrder):
"""
Callback of stop order update.
@ -255,12 +264,14 @@ class CtaSignal(ABC):
""""""
self.signal_pos = 0
@virtual
def on_tick(self, tick: TickData):
"""
Callback of new tick data update.
"""
pass
@virtual
def on_bar(self, bar: BarData):
"""
Callback of new bar data update.
@ -292,6 +303,7 @@ class TargetPosTemplate(CtaTemplate):
)
self.variables.append("target_pos")
@virtual
def on_tick(self, tick: TickData):
"""
Callback of new tick data update.
@ -301,12 +313,14 @@ class TargetPosTemplate(CtaTemplate):
if self.trading:
self.trade()
@virtual
def on_bar(self, bar: BarData):
"""
Callback of new bar data update.
"""
self.last_bar = bar
@virtual
def on_order(self, order: OrderData):
"""
Callback of new order data update.

29
vnpy/gateway/okex/okex_gateway.py
View File

@ -298,7 +298,7 @@ class OkexRestApi(RestClient):
name=symbol,
product=Product.SPOT,
size=1,
pricetick=instrument_data["tick_size"],
pricetick=float(instrument_data["tick_size"]),
gateway_name=self.gateway_name
)
self.gateway.on_contract(contract)
@ -336,6 +336,7 @@ class OkexRestApi(RestClient):
direction=DIRECTION_OKEX2VT[order_data["side"]],
price=float(order_data["price"]),
volume=float(order_data["size"]),
traded=float(order_data["filled_size"]),
time=order_data["timestamp"][11:19],
status=STATUS_OKEX2VT[order_data["status"]],
gateway_name=self.gateway_name,
@ -605,11 +606,11 @@ class OkexWebsocketApi(WebsocketClient):
if not tick:
return
tick.last_price = d["last"]
tick.open = d["open_24h"]
tick.high = d["high_24h"]
tick.low = d["low_24h"]
tick.volume = d["base_volume_24h"]
tick.last_price = float(d["last"])
tick.open = float(d["open_24h"])
tick.high = float(d["high_24h"])
tick.low = float(d["low_24h"])
tick.volume = float(d["base_volume_24h"])
tick.datetime = datetime.strptime(
d["timestamp"], "%Y-%m-%dT%H:%M:%S.%fZ")
self.gateway.on_tick(copy(tick))
@ -626,13 +627,13 @@ class OkexWebsocketApi(WebsocketClient):
asks = d["asks"]
for n, buf in enumerate(bids):
price, volume, _ = buf
tick.__setattr__("bid_price_%s" % (n + 1), price)
tick.__setattr__("bid_volume_%s" % (n + 1), volume)
tick.__setattr__("bid_price_%s" % (n + 1), float(price))
tick.__setattr__("bid_volume_%s" % (n + 1), float(volume))
for n, buf in enumerate(asks):
price, volume, _ = buf
tick.__setattr__("ask_price_%s" % (n + 1), price)
tick.__setattr__("ask_volume_%s" % (n + 1), volume)
tick.__setattr__("ask_price_%s" % (n + 1), float(price))
tick.__setattr__("ask_volume_%s" % (n + 1), float(volume))
tick.datetime = datetime.strptime(
d["timestamp"], "%Y-%m-%dT%H:%M:%S.%fZ")
@ -646,16 +647,16 @@ class OkexWebsocketApi(WebsocketClient):
type=ORDERTYPE_OKEX2VT[d["type"]],
orderid=d["client_oid"],
direction=DIRECTION_OKEX2VT[d["side"]],
price=d["price"],
volume=d["size"],
traded=d["filled_size"],
price=float(d["price"]),
volume=float(d["size"]),
traded=float(d["filled_size"]),
time=d["timestamp"][11:19],
status=STATUS_OKEX2VT[d["status"]],
gateway_name=self.gateway_name,
)
self.gateway.on_order(copy(order))
trade_volume = float(d.get("last_fill_qty", 0))
trade_volume = d.get("last_fill_qty", 0)
if not trade_volume:
return

11
vnpy/trader/utility.py
View File

@ -385,3 +385,14 @@ class ArrayManager(object):
if array:
return up, down
return up[-1], down[-1]
def virtual(func: "callable"):
"""
mark a function as "virtual", which means that this function can be override.
any base class should use this or @abstractmethod to decorate all functions
that can be (re)implemented by subclasses.
"""
return func