Merge pull request #6 from vnpy/DEV

Dev

vnpy/app/algo_trading/template.py

@@ -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

vnpy/app/cta_strategy/template.py

@@ -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.

vnpy/gateway/okex/okex_gateway.py

@@ -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.last_price = float(d["last"])
-        tick.open = d["open_24h"]
+        tick.open = float(d["open_24h"])
-        tick.high = d["high_24h"]
+        tick.high = float(d["high_24h"])
-        tick.low = d["low_24h"]
+        tick.low = float(d["low_24h"])
-        tick.volume = d["base_volume_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_price_%s" % (n + 1), float(price))
-                tick.__setattr__("bid_volume_%s" % (n + 1), volume)
+                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_price_%s" % (n + 1), float(price))
-                tick.__setattr__("ask_volume_%s" % (n + 1), volume)
+                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"],
+            price=float(d["price"]),
-            volume=d["size"],
+            volume=float(d["size"]),
-            traded=d["filled_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
 

vnpy/trader/utility.py

@@ -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
+
+