diff --git a/trader/VT_setting.json b/vnpy/trader/VT_setting.json similarity index 100% rename from trader/VT_setting.json rename to vnpy/trader/VT_setting.json diff --git a/vnpy/trader/__init__.py b/vnpy/trader/__init__.py new file mode 100644 index 00000000..e69de29b diff --git a/vnpy/trader/app/ctaStrategy/CTA_setting.json b/vnpy/trader/app/ctaStrategy/CTA_setting.json new file mode 100644 index 00000000..4fb0755a --- /dev/null +++ b/vnpy/trader/app/ctaStrategy/CTA_setting.json @@ -0,0 +1,43 @@ +[ + +{ + "name": "S30_RB1001", + "className": "Strategy30", + "vtSymbol": "rb1710;rb1801", + "symbol": "rb1710;rb1801", + "shortSymbol":"RB", + "Leg1Symbol":"rb1710", + "Leg2Symbol":"rb1801", + "baseUpLine":300, + "baseMidLine":0, + "baseDnLine":-300, + "minDiff":1, + "inputSS":2, + "height":3, + "win":5, + "maxPos":36, + "maxLots":15, + "mode":"tick" + } + , + { + "name": "S30_HCRB10", + "className": "Strategy30", + "vtSymbol": "hc1710;rb1710", + "symbol": "hc1710;rb1710", + "shortSymbol":"RB", + "Leg1Symbol":"hc1710", + "Leg2Symbol":"rb1710", + "baseUpLine":300, + "baseMidLine":150, + "baseDnLine":10, + "minDiff":1, + "inputSS":2, + "height":3, + "win":5, + "maxPos":36, + "maxLots":15, + "mode":"tick" + } + +] \ No newline at end of file diff --git a/vnpy/trader/app/ctaStrategy/ctaEngine.py b/vnpy/trader/app/ctaStrategy/ctaEngine.py index f87b1787..f378be64 100644 --- a/vnpy/trader/app/ctaStrategy/ctaEngine.py +++ b/vnpy/trader/app/ctaStrategy/ctaEngine.py @@ -662,7 +662,7 @@ class CtaEngine(object): # continue dt = datetime.now() # 若为中金所的合约，白天才提交订阅请求 - if s in MARKET_ZJ and not(8 < dt.hour < 16): + if s in MARKET_ZJ and not(9 < dt.hour < 16): continue self.writeCtaLog(u'重新提交合约{0}订阅请求'.format(symbol)) diff --git a/vnpy/trader/app/ctaStrategy/strategy/strategy30_NonStdArbitrageExecutor.py b/vnpy/trader/app/ctaStrategy/strategy/strategy30_NonStdArbitrageExecutor.py new file mode 100644 index 00000000..0226f64e --- /dev/null +++ b/vnpy/trader/app/ctaStrategy/strategy/strategy30_NonStdArbitrageExecutor.py @@ -0,0 +1,1740 @@ +# encoding: UTF-8 + +# 首先写系统内置模块 +import sys +import os +from datetime import datetime, timedelta, date +from time import sleep +import copy +import logging + +# 第三方模块 +import talib as ta +import math +import numpy +import requests +import execjs +import pykalman + +# vntrader基础模块 +from vnpy.trader.vtConstant import EMPTY_STRING, EMPTY_INT, DIRECTION_LONG, DIRECTION_SHORT, OFFSET_OPEN,OFFSET_CLOSE,OFFSET_CLOSETODAY,OFFSET_CLOSEYESTERDAY, STATUS_CANCELLED + +# 然后CTA模块 +from vnpy.trader.app.ctaStrategy.ctaTemplate import * +from vnpy.trader.app.ctaStrategy.ctaBase import * +from vnpy.trader.app.ctaStrategy.ctaPolicy import * +from vnpy.trader.app.ctaStrategy.ctaLineBar import * +from vnpy.trader.app.ctaStrategy.ctaPosition import * +from vnpy.trader.app.ctaStrategy.ctaGridTrade import * + +cta_engine_path = os.path.abspath(os.path.join(os.path.dirname(__file__), '..')) + +######################################from################################## +class Strategy30(CtaTemplate): + """非标准合约的协整套利+网格交易执行器 + 只接受外部界面的Grid输入 + + 配置参考 + { + "name": "S28_螺纹钢跨期套利", + "className": "Strategy28", + "vtSymbol": "rb1705;rb1710", + "symbol": "rb1705;rb1710", + "shortSymbol":"RB", + "Leg1Symbol":"rb1705", + "Leg2Symbol":"rb1710", + "baseUpLine":240, + "baseMidLine":0, + "baseDnLine":-240, + "minDiff":1, + "inputSS":1, + "height":5, + "win":10, + "maxPos":4, + "maxLots":4, + "deadLine":"2017-4-20", + "mode":"tick" + } + + """ + className = 'Strategy30' + author = u'李来佳' + + # 策略在外部设置的参数 + inputSS = 1 # 参数SS，下单，范围是1~100，步长为1，默认=1， + minDiff = 1 # 商品的最小交易单位 + maxPos = 10 # 最大仓位（网格）数量 + +#---------------------------------------------------------------------- + def __init__(self, ctaEngine, setting=None): + """Constructor""" + super(Strategy30, self).__init__(ctaEngine, setting) + + self.paramList.append('inputSS') + self.paramList.append('Leg1Symbol') # 近期合约 + self.paramList.append('Leg2Symbol') # 远期合约 + self.paramList.append('minDiff') + self.paramList.append('maxPos') + self.paramList.append('maxLots') + self.paramList.append('height') # + self.paramList.append('win') + self.paramList.append('baseUpLine') + self.paramList.append('baseMidLine') # 基准中轴 + self.paramList.append('baseDnLine') + + #self.varList.remove('pos') + self.varList.append('gridpos') + self.varList.append('entrust') + self.varList.append('upGrids') + self.varList.append('dnGrids') + self.varList.append('tradingOpen') + + self.cancelSeconds = 2 # 未成交撤单的秒数 + + self.curDateTime = None # 当前Tick时间 + self.curTick = None # 最新的tick + + self.Leg1Symbol = EMPTY_STRING + self.Leg2Symbol = EMPTY_STRING + self.lastLeg1Tick = None + self.lastLeg2Tick = None + + self.firstTrade = True # 交易日的首个交易 + + # 交易窗口 + self.tradeWindow = False + # 开市窗口 + self.openWindow = False + # 收市平仓窗口 + self.closeWindow = False + + # 仓位状态 + self.position = CtaPosition(self) # 0 表示没有仓位，1 表示持有多头，-1 表示持有空头 + self.position.maxPos = self.maxPos + self.gridpos = 0 + self.lastTradedTime = datetime.now() # 上一交易时间 + + self.tradingOpen = True # 允许开仓 + self.recheckPositions = True + + self.forceClose = EMPTY_STRING # 强制平仓的日期（参数，字符串） + self.forceCloseDate = None # 强制平仓的日期（日期类型） + self.forceTradingClose = False # 强制平仓标志 + + # 是否完成了策略初始化 + self.inited = False + + self.backtesting = False + + # 初始化时读取的历史数据的起始日期(可以选择外部设置) + self.startDate = None + self.policy = CtaPolicy() # 成交后的执行策略 + + self.recheckPositions = True # 重新提交平仓订单。在每个交易日的下午14点59分时激活，在新的交易日（21点）开始时，重新执行。 + + self.volumeList = [1, 1, 1, 1, 1, 1, 1, 1, 1, 1] + self.height = 4 + self.win = 4 + self.upGrids = EMPTY_STRING # 做空网格的显示字符串 + self.dnGrids = EMPTY_STRING # 做多网格的显示字符串 + self.sigle_exist = False # 是否一次性全平仓 +# + self.baseUpLine = EMPTY_INT # 网格做空起步线 + self.baseMidLine = EMPTY_INT # 基准中轴线，区分多空 + self.baseDnLine = EMPTY_INT # 网格做多起步线 + + self.upRate = 1 # 做空网格间距放大比率 + self.dnRate = 1 # 做多网格间距放大比率 + self.rebuildUpGrid = False # 重建网格标志 + self.rebuildDnGrid = False # 重建网格标志 + self.rebuildGrid = False # 分钟触发重建网格 + + self.maxLots = 10 # 网格的最大数量# + + self.logMsg = EMPTY_STRING # 临时输出日志变量 + + + if setting: + + # 根据配置文件更新参数 + self.setParam(setting) + + self.onInit() + + #---------------------------------------------------------------------- + def onInit(self, force = False): + """初始化 + """ + if force: + self.writeCtaLog(u'策略强制初始化') + self.inited = False + self.trading = False # 控制是否启动交易 + else: + self.writeCtaLog(u'策略初始化') + if self.inited: + self.writeCtaLog(u'已经初始化过，不再执行') + return + + # 初始化持仓相关数据 + self.position.pos = EMPTY_INT + self.pos = self.position.pos + self.gridpos = self.position.pos + self.position.maxPos = self.maxPos + + # 初始化网格 + self.gridHeight = self.height * self.minDiff # 网格距离跳数*每跳高度 + self.gridWin = self.win * self.minDiff # 止盈跳数*每跳高度 + + if self.baseUpLine == EMPTY_INT: + self.writeCtaLog(u'初始化baseUpLine为空，缺省设置为50个MinDiff') + self.baseUpLine = 9999 * self.minDiff # 网格做空起步线 + if self.baseDnLine == EMPTY_INT: + self.writeCtaLog(u'baseDnLine，缺省设置为-50个MinDiff') + self.baseDnLine = -9999 * self.minDiff # 网格做多起步线 + + self.upLine = self.baseUpLine # 网格做空的上轨 + self.dnLine = self.baseDnLine # 网格做多的下轨 + + # 创建网格交易策略 + self.gt = CtaGridTrade(strategy=self, maxlots=self.maxLots, height=self.gridHeight, win=self.gridWin, + vol=self.inputSS, minDiff=self.minDiff) + # 更新网格仓位策略 + if self.volumeList: + self.gt.volumeList = self.volumeList + else: + self.gt.volumeList = [1, 1, 1, 1, 1, 1, 1, 1, 1, 1] + + + # 初始化网格交易器（或从本地记录文件中获取） + self.__initGrids() + + # 更新初始化标识和交易标识 + self.inited = True + self.trading = True # 控制是否启动交易 + self.recheckPositions = True + + self.putEvent() + self.writeCtaLog(u'策略初始化完成') + + def onStart(self): + """启动策略（必须由用户继承实现）""" + self.writeCtaLog(u'启动') + self.trading = True + + #---------------------------------------------------------------------- + def onStop(self): + """停止策略（必须由用户继承实现）""" + self.uncompletedOrders.clear() + self.recheckPositions = True + + self.position.clear() + self.gridpos = self.position.pos + self.entrust = 0 + + self.writeCtaLog(u'保存下网格') + self.gt.save(direction=DIRECTION_LONG) + self.writeCtaLog(u'保存上网格') + self.gt.save(direction=DIRECTION_SHORT) + + self.trading = False + self.writeCtaLog(u'停止' ) + self.putEvent() + + #---------------------------------------------------------------------- + def onTrade(self, trade): + """交易更新""" + self.writeCtaLog(u'{0},OnTrade(),当前持仓：{1} '.format(self.curDateTime, self.position.pos)) + + #---------------------------------------------------------------------- + def onOrder(self, order): + """报单更新""" + self.writeCtaLog(u'OnOrder()报单更新，orderID:{0},{1},totalVol:{2},tradedVol:{3},offset:{4},price:{5},direction:{6},status:{7}' + .format(order.orderID, order.vtSymbol, order.totalVolume,order.tradedVolume, + order.offset, order.price, order.direction, order.status)) + + orderkey = order.gatewayName+u'.'+order.orderID + + if orderkey in self.uncompletedOrders: + + if order.totalVolume == order.tradedVolume: + # 开仓，平仓委托单全部成交 + self.__onOrderAllTraded(order) + + elif order.tradedVolume > 0 and not order.totalVolume == order.tradedVolume : + # 委托单部分成交 + self.__onOrderPartTraded(order) + + elif order.offset == OFFSET_OPEN and order.status == STATUS_CANCELLED: + # 开仓委托单被撤销 + pass + + else: + self.writeCtaLog(u'OnOrder()委托单返回，total:{0},traded:{1}' + .format(order.totalVolume, order.tradedVolume,)) + + self.__updateGridsDisplay() + self.pos = self.position.pos + self.gridpos = self.position.pos + self.writeCtaLog(u'OnOrder()self.gridpos={0}'.format(self.gridpos)) + self.putEvent() + + def __onOrderAllTraded(self, order): + """订单的所有成交事件""" + self.writeCtaLog(u'onOrderAllTraded(),{0},委托单全部完成'.format(order.orderTime )) + orderkey = order.gatewayName+u'.'+order.orderID + + # 平空仓完成(cover) + if self.uncompletedOrders[orderkey]['DIRECTION'] == DIRECTION_LONG and order.offset != OFFSET_OPEN: + # 通过orderID，找到对应的网格 + grid = self.uncompletedOrders[orderkey]['Grid'] + + if grid is not None: + orders = grid.orderRef.split(';') + if len(orders) == 2 and orderkey in orders: + self.writeCtaLog(u'更新网格:closePrice={0}的{1}平空'.format(grid.closePrice, order.vtSymbol)) + orders.remove(orderkey) + grid.orderRef = orders[0] + elif len(orders) == 1 and orderkey in orders: + self.writeCtaLog(u'更新网格:closePrice={0}的{1}平空'.format(grid.closePrice, order.vtSymbol)) + grid.orderRef = EMPTY_STRING + grid.orderStatus = False + grid.openStatus = False + grid.closeStatus = False + grid.tradedVolume = EMPTY_INT + grid.openDatetime = EMPTY_STRING + # 更新仓位 + direction = grid.direction + if direction == DIRECTION_LONG: + self.writeCtaLog(u'更新仓位，正套网格平多仓{0}手'.format(grid.volume)) + self.position.closePos(DIRECTION_SHORT, vol=grid.volume) + self.writeCtaLog(u'移除网格{0},{1}'.format(grid.direction, grid.openPrice)) + self.gt.dnGrids.remove(grid) + else: + self.writeCtaLog(u'更新仓位，反套网格平空仓{0}手'.format(grid.volume)) + self.position.closePos(DIRECTION_LONG, vol=grid.volume) + self.writeCtaLog(u'移除网格{0},{1}'.format(grid.direction, grid.openPrice)) + self.gt.upGrids.remove(grid) + self.entrust = 0 + self.gridpos = self.position.pos + self.gt.save(direction=direction) + + + else: + self.writeCtaLog(u'异常，orderRef:{0}对应的网格内，Ref字段:{1}'.format(orderkey, grid.orderRef)) + else: + self.writeCtaLog(u'异常，找不到orderRef:{0}对应的网格'.format(orderkey)) + + # 平多仓完成(sell) + if self.uncompletedOrders[orderkey]['DIRECTION'] == DIRECTION_SHORT and order.offset != OFFSET_OPEN: + # 通过orderID，找到对应的网格 + grid = self.uncompletedOrders[orderkey]['Grid'] + if grid is not None: + orders = grid.orderRef.split(';') + if len(orders) == 2 and orderkey in orders: + self.writeCtaLog(u'更新网格:closePrice={0}的{1}平多'.format(grid.closePrice, order.vtSymbol)) + orders.remove(orderkey) + grid.orderRef = orders[0] + elif len(orders) == 1 and orderkey in orders: + self.writeCtaLog(u'更新网格:closePrice={0}的{1}平多'.format(grid.closePrice, order.vtSymbol)) + grid.orderRef = EMPTY_STRING + grid.orderStatus = False + grid.openStatus = False + grid.closeStatus = False + grid.tradedVolume = EMPTY_INT + grid.openDatetime = EMPTY_STRING + # 更新仓位 + direction = grid.direction + if direction == DIRECTION_LONG: # 网格的开仓方向是开多 + self.writeCtaLog(u'更新仓位，正套网格平多仓{0}手'.format(grid.volume)) + self.position.closePos(DIRECTION_SHORT, vol=grid.volume) + self.writeCtaLog(u'移除网格{0},{1}'.format(grid.direction,grid.openPrice)) + self.gt.dnpGrids.remove(grid) + else: # 网格的开仓方向是开空 + self.writeCtaLog(u'更新仓位，反套网格平空仓{0}手'.format(grid.volume)) + self.position.closePos(DIRECTION_LONG, vol=grid.volume) + self.writeCtaLog(u'移除网格{0},{1}'.format(grid.direction, grid.openPrice)) + self.gt.upGrids.remove(grid) + self.gridpos = self.position.pos + self.entrust = 0 + self.gt.save(direction=direction) + + else: + self.writeCtaLog(u'异常，orderRef:{0}对应的网格内，Ref字段:{1}'.format(orderkey, grid.orderRef)) + else: + self.writeCtaLog(u'异常，找不到orderRef:{0}对应的网格'.format(orderkey)) + + # 开多仓完成 + if self.uncompletedOrders[orderkey]['DIRECTION'] == DIRECTION_LONG and order.offset == OFFSET_OPEN: + self.writeCtaLog(u'{0}开多仓完成'.format(order.vtSymbol)) + # 通过orderID，找到对应的网格 + grid = self.uncompletedOrders[orderkey]['Grid'] + + if grid is not None: + orders = grid.orderRef.split(';') + if len(orders) == 2 and orderkey in orders: + self.writeCtaLog(u'更新网格:Grid.OpenPrice={0}的{1}开多{2}'.format(grid.openPrice, order.vtSymbol, order.price)) + orders.remove(orderkey) + grid.orderRef = orders[0] + elif len(orders) == 1 and orderkey in orders: + self.writeCtaLog(u'更新网格:Grid.OpenPrice={0}的{1}开多{2}'.format(grid.openPrice, order.vtSymbol, order.price)) + grid.orderRef = EMPTY_STRING + grid.openStatus = True + grid.orderStatus = False + grid.openDatetime = self.curDateTime + # 更新仓位 + self.writeCtaLog(u'更新仓位，网格{0}仓{1}手'.format(grid.direction, grid.volume)) + self.position.openPos(grid.direction, vol=grid.volume, price=grid.openPrice) + self.pos = self.position.pos + self.gridpos = self.position.pos + self.entrust = 0 + + else: + self.writeCtaLog(u'异常，orderRef:{0}对应的网格内，Ref字段:{1}'.format(orderkey, grid.orderRef)) + + direction = grid.direction + self.gt.save(direction=direction) + else: + self.writeCtaLog(u'异常，找不到orderRef:{0}对应的网格'.format(orderkey)) + + # 开空仓完成 + if self.uncompletedOrders[orderkey]['DIRECTION'] == DIRECTION_SHORT and order.offset == OFFSET_OPEN: + self.writeCtaLog(u'开空仓完成'.format(order.vtSymbol)) + # 通过orderID，找到对应的网格 + grid = self.uncompletedOrders[orderkey]['Grid'] + + if grid is not None: + orders = grid.orderRef.split(';') + if len(orders) == 2 and orderkey in orders: + self.writeCtaLog(u'更新网格:Grid.OpenPrice={0}的{1}开空{2}'.format(grid.openPrice, order.vtSymbol,order.price)) + orders.remove(orderkey) + grid.orderRef = orders[0] + elif len(orders) == 1 and orderkey in orders: + self.writeCtaLog(u'更新网格:Grid.OpenPrice={0}的{1}开空{2}'.format(grid.openPrice, order.vtSymbol,order.price)) + grid.orderRef = EMPTY_STRING + grid.orderStatus = False + grid.openStatus = True + grid.openDatetime = self.curDateTime + # 更新仓位 + self.writeCtaLog(u'更新仓位，网格{0}仓{1}手'.format(grid.direction, grid.volume)) + self.position.openPos(grid.direction, vol=grid.volume, price=grid.openPrice) + self.pos = self.position.pos + self.gridpos = self.position.pos + self.entrust = 0 + else: + self.writeCtaLog(u'异常，orderRef:{0}对应的网格内，Ref字段:{1}'.format(orderkey, grid.orderRef)) + + direction = grid.direction + self.gt.save(direction=direction) + + else: + self.writeCtaLog(u'异常，找不到orderRef:{0}对应的网格'.format(orderkey)) + try: + del self.uncompletedOrders[orderkey] + except Exception as ex: + self.writeCtaLog(u'onOrder uncompletedOrders中找不到{0}'.format(orderkey)) + self.__updateGridsDisplay() + + def __onOrderPartTraded(self, order): + """订单部分成交""" + self.writeCtaLog(u'onOrderPartTraded(),{0},委托单部分完成'.format(order.orderTime )) + orderkey = order.gatewayName+u'.'+order.orderID + if orderkey in self.uncompletedOrders: + self.uncompletedOrders[orderkey]['TradedVolume'] = order.tradedVolume + else: + self.writeCtaLog(u'异常，找不到委托单:{0}'.format(orderkey)) + + self.__updateGridsDisplay() + def __onOpenOrderCanceled(self, order): + """委托开仓单撤销""" + self.writeCtaLog(u'__onOpenOrderCanceled(),{0},委托开仓单已撤销'.format(order.orderTime )) + + orderkey = order.gatewayName+u'.'+order.orderID + + if self.uncompletedOrders[orderkey]['DIRECTION'] == DIRECTION_LONG : + # 更新网格交易器 + updateGrid = self.gt.getGrid(direction=DIRECTION_LONG, openPrice=order.price, + orderRef=order.orderID, t=u'OpenPrice') + if type(updateGrid)!=type(None): + self.writeCtaLog(u'更新网格[{0}]的状态为开多仓撤销'.format(updateGrid.openPrice)) + updateGrid.openStatus = False + updateGrid.openDatetime = EMPTY_STRING + else: + self.writeCtaLog(u'异常，找不到网格[{0}]'.format(order.price)) + + self.gt.save(direction=DIRECTION_LONG) + + if self.uncompletedOrders[orderkey]['DIRECTION'] == DIRECTION_SHORT : + + # 更新网格交易器 + updateGrid = self.gt.getGrid(direction=DIRECTION_SHORT, openPrice=order.price, + orderRef=order.orderID, t=u'OpenPrice') + if type(updateGrid)!=type(None): + self.writeCtaLog(u'更新网格[{0}]的状态为开空仓撤销'.format(updateGrid.openPrice)) + updateGrid.openStatus = False + updateGrid.openDatetime = EMPTY_STRING + else: + self.writeCtaLog(u'异常，找不到网格[{0}]'.format(order.price)) + + self.gt.save(direction=DIRECTION_SHORT) + + self.__updateGridsDisplay() + + # ---------------------------------------------------------------------- + def onStopOrder(self, orderRef): + """停止单更新""" + self.writeCtaLog(u'{0},停止单触发，orderRef:{1}'.format(self.curDateTime, orderRef)) + pass + + # ---------------------------------------------------------------------- + def __combineTick(self, tick): + """合并两腿合约，成为套利合约""" + + combinable = False + + if tick.vtSymbol == self.Leg1Symbol: + # leg1合约 + self.lastLeg1Tick = tick + if self.lastLeg2Tick is not None: + if self.lastLeg1Tick.datetime == self.lastLeg2Tick.datetime: + combinable = True + elif tick.vtSymbol == self.Leg2Symbol: + # leg2合约 + self.lastLeg2Tick = tick + if self.lastLeg1Tick is not None: + if self.lastLeg2Tick.datetime == self.lastLeg1Tick.datetime: + combinable = True + + # 不能合并 + if not combinable: + return None + + spread_tick = CtaTickData() + spread_tick.vtSymbol = self.vtSymbol + spread_tick.symbol = self.symbol + + spread_tick.datetime = tick.datetime + spread_tick.date = tick.date + spread_tick.time = tick.time + + # 以下情况，基本为单腿涨跌停，不合成价差Tick + if (self.lastLeg1Tick.askPrice1 == float('1.79769E308') or self.lastLeg1Tick.askPrice1 == 0 or self.lastLeg1Tick.bidPrice1 == self.lastLeg1Tick.upperLimit) and self.lastLeg1Tick.askVolume1 == 0: + self.writeCtaLog(u'leg1:{0}涨停{1}，不合成价差Tick'.format(self.lastLeg1Tick.vtSymbol,self.lastLeg1Tick.bidPrice1)) + return None + if (self.lastLeg1Tick.bidPrice1 == float('1.79769E308') or self.lastLeg1Tick.bidPrice1 == 0 or self.lastLeg1Tick.askPrice1 == self.lastLeg1Tick.lowerLimit) and self.lastLeg1Tick.bidVolume1 == 0: + self.writeCtaLog(u'leg1:{0}跌停{1}，不合成价差Tick'.format(self.lastLeg1Tick.vtSymbol, self.lastLeg1Tick.askPrice1)) + return None + if (self.lastLeg2Tick.askPrice1 == float('1.79769E308') or self.lastLeg2Tick.askPrice1 == 0 or self.lastLeg2Tick.bidPrice1 == self.lastLeg2Tick.upperLimit) and self.lastLeg2Tick.askVolume1 == 0: + self.writeCtaLog(u'leg2:{0}涨停{1}，不合成价差Tick'.format(self.lastLeg2Tick.vtSymbol, self.lastLeg2Tick.bidPrice1)) + return None + if (self.lastLeg2Tick.bidPrice1 == float('1.79769E308') or self.lastLeg2Tick.bidPrice1 == 0 or self.lastLeg2Tick.askPrice1 == self.lastLeg2Tick.lowerLimit) and self.lastLeg2Tick.bidVolume1 == 0: + self.writeCtaLog(u'leg2:{0}跌停{1}，不合成价差Tick'.format(self.lastLeg2Tick.vtSymbol, self.lastLeg2Tick.askPrice1)) + return None + + # 叫卖价差=leg1.askPrice1 - leg2.bidPrice1，volume为两者最小 + spread_tick.askPrice1 = self.lastLeg1Tick.askPrice1 - self.lastLeg2Tick.bidPrice1 + spread_tick.askVolume1 = min(self.lastLeg1Tick.askVolume1, self.lastLeg2Tick.bidVolume1) + + # 叫买价差=leg1.bidPrice1 - leg2.askPrice1，volume为两者最小 + spread_tick.bidPrice1 = self.lastLeg1Tick.bidPrice1 - self.lastLeg2Tick.askPrice1 + spread_tick.bidVolume1 = min(self.lastLeg1Tick.bidVolume1, self.lastLeg2Tick.askVolume1) + + return spread_tick + + def __checkLiquidity(self): + """检查流动性缺失""" + if self.lastLeg1Tick.bidPrice1 <= self.lastLeg1Tick.lastPrice <= self.lastLeg1Tick.askPrice1 \ + and self.lastLeg2Tick.bidPrice1 <= self.lastLeg2Tick.lastPrice <= self.lastLeg2Tick.askPrice1: + return True + + self.writeCtaLog(u'流动性缺失导致最新价超出买1卖1范围') + return False + + # ---------------------------------------------------------------------- + def __arbShort(self,grid): + """非标准合约的套利反套（开空）指令""" + self.writeCtaLog(u'套利价差反套（开空）单,price={0},volume={1}'.format(grid.openPrice, grid.volume)) + + if not self.trading: + self.writeCtaLog(u'停止状态，不开仓') + return None + + bidPrice = self.lastLeg1Tick.bidPrice1 - self.lastLeg2Tick.askPrice1 + + if self.lastLeg1Tick.bidPrice1 >= self.lastLeg1Tick.lastPrice: + if self.lastLeg1Tick.bidVolume1 < 3: + shortPrice = self.lastLeg1Tick.lastPrice - 2*self.minDiff + elif self.lastLeg1Tick.bidVolume1 < 10: + shortPrice = self.lastLeg1Tick.lastPrice - self.minDiff + else: + shortPrice = self.lastLeg1Tick.lastPrice + else: + if self.lastLeg1Tick.bidVolume1 < 10 or self.lastLeg1Tick.bidVolume1 <= grid.volume: + shortPrice = self.lastLeg1Tick.bidPrice1 - self.minDiff + else: + shortPrice = self.lastLeg1Tick.bidPrice1 + + if self.lastLeg2Tick.askPrice1 <= self.lastLeg2Tick.lastPrice: + if self.lastLeg2Tick.askVolume1 < 3: + buyPrice = self.lastLeg2Tick.lastPrice+2*self.minDiff + elif self.lastLeg2Tick.askVolume1 < 10: + buyPrice = self.lastLeg2Tick.lastPrice + self.minDiff + else: + buyPrice = self.lastLeg2Tick.lastPrice + else: + if self.lastLeg2Tick.askVolume1 < 10 or self.lastLeg2Tick.bidVolume1 <= grid.volume: + buyPrice = self.lastLeg2Tick.askPrice1 + self.minDiff + else: + buyPrice = self.lastLeg2Tick.askPrice1 + + if bidPrice < grid.openPrice: + self.writeCtaLog(u'实际价差{0}不满足:{1}'.format(bidPrice, grid.openPrice)) + return None + + if (shortPrice - buyPrice + self.minDiff) < grid.openPrice: + self.writeCtaLog(u'买卖价差{0}不满足:{1}'.format(shortPrice - buyPrice + self.minDiff, grid.openPrice)) + return None + + # 开空leg1 + orderID = self.ctaEngine.sendOrder(self.Leg1Symbol, CTAORDER_SHORT, shortPrice, grid.volume, self) + if orderID is None or len(orderID) == 0: + self.writeCtaLog(u'异常，Leg1开空仓失败') + return None + orders = orderID + self.uncompletedOrders[orderID] = {'SYMBOL':self.Leg1Symbol, 'DIRECTION': DIRECTION_SHORT, + 'OFFSET': OFFSET_OPEN, 'Volume': grid.volume, + 'Price': shortPrice, 'TradedVolume': EMPTY_INT, + 'OrderTime': self.curDateTime, + 'Grid': grid} + + # 开多leg2 + orderID = self.ctaEngine.sendOrder(self.Leg2Symbol, CTAORDER_BUY, buyPrice, grid.volume, self) + if orderID is None or len(orderID) == 0: + self.writeCtaLog(u'异常，Leg2开多仓失败') + # 这里要不要处理之前的Leg1开仓？（放在后面cancelorder中处理） + return None + orders = orders + ';' + orderID + self.uncompletedOrders[orderID] = {'SYMBOL': self.Leg2Symbol, 'DIRECTION': DIRECTION_LONG, + 'OFFSET': OFFSET_OPEN, 'Volume': grid.volume, + 'Price': buyPrice, 'TradedVolume': EMPTY_INT, + 'OrderTime': self.curDateTime, + 'Grid': grid} + grid.orderStatus = True + grid.orderDatetime = self.curDateTime + + self.entrust = -1 + self.writeCtaLog(u'arb short Orders：{0}'.format(orders)) + return orders + + # ---------------------------------------------------------------------- + def __arbBuy(self,grid): + """非标准合约的套利正套（开多）指令""" + self.writeCtaLog(u'套利价差正套（开多）单,price={0},volume={1}'.format(grid.openPrice, grid.volume)) + if not self.trading: + self.writeCtaLog(u'停止状态，不开仓') + return None + + askPrice = self.lastLeg1Tick.askPrice1 - self.lastLeg2Tick.bidPrice1 + if self.lastLeg1Tick.askPrice1 <= self.lastLeg1Tick.lastPrice: + if self.lastLeg1Tick.askVolume1 < 3: + buyPrice = self.lastLeg1Tick.lastPrice+2*self.minDiff + elif self.lastLeg1Tick.askVolume1 < 10: + buyPrice = self.lastLeg1Tick.lastPrice + self.minDiff + else: + buyPrice = self.lastLeg1Tick.lastPrice + else: + if self.lastLeg1Tick.askVolume1 < 10 or self.lastLeg1Tick.bidVolume1 <= grid.volume: + buyPrice = self.lastLeg1Tick.askPrice1 + self.minDiff + else: + buyPrice = self.lastLeg1Tick.askPrice1 + + if self.lastLeg2Tick.bidPrice1 >= self.lastLeg2Tick.lastPrice: + if self.lastLeg2Tick.bidVolume1 < 3: + shortPrice = self.lastLeg2Tick.lastPrice - 2*self.minDiff + elif self.lastLeg2Tick.bidVolume1 < 10: + shortPrice = self.lastLeg2Tick.lastPrice - self.minDiff + else: + shortPrice = self.lastLeg2Tick.lastPrice + else: + if self.lastLeg2Tick.bidVolume1 < 10 or self.lastLeg2Tick.bidVolume1 <= grid.volume: + shortPrice = self.lastLeg2Tick.bidPrice1 - self.minDiff + else: + shortPrice = self.lastLeg2Tick.bidPrice1 + + if askPrice > grid.openPrice: + self.writeCtaLog(u'实际价差{0}不满足:{1}'.format(askPrice, grid.openPrice)) + return None + + if (buyPrice - shortPrice - self.minDiff) > grid.openPrice: + self.writeCtaLog(u'对价价差{0}不满足:{1}'.format((buyPrice - shortPrice - self.minDiff), grid.openPrice)) + return None + + # 开多leg1 + orderID = self.ctaEngine.sendOrder(self.Leg1Symbol, CTAORDER_BUY, buyPrice, grid.volume, self) + if orderID is None or len(orderID) == 0: + self.writeCtaLog(u'异常，Leg1开多仓失败') + return None + orders = orderID + self.uncompletedOrders[orderID] = {'SYMBOL': self.Leg1Symbol, 'DIRECTION': DIRECTION_LONG, + 'OFFSET': OFFSET_OPEN, 'Volume': grid.volume, + 'Price': buyPrice, 'TradedVolume': EMPTY_INT, + 'OrderTime': self.curDateTime, + 'Grid': grid} + + # 开空leg2 + orderID = self.ctaEngine.sendOrder(self.Leg2Symbol, CTAORDER_SHORT, shortPrice, grid.volume, self) + if (orderID is None) or len(orderID) == 0: + self.writeCtaLog(u'异常，Leg2开空仓失败') + # 这里要不要处理之前的Leg1开仓？（放在后面cancelorder中处理） + return None + orders = orders + ';' + orderID + self.uncompletedOrders[orderID] = {'SYMBOL': self.Leg2Symbol, 'DIRECTION': DIRECTION_SHORT, + 'OFFSET': OFFSET_OPEN, 'Volume': grid.volume, + 'Price': shortPrice, 'TradedVolume': EMPTY_INT, + 'OrderTime': self.curDateTime, + 'Grid':grid} + grid.orderStatus = True + self.entrust = 1 + grid.orderDatetime = self.curDateTime + self.writeCtaLog(u'arb Buy Orders：{0}'.format(orders)) + return orders + + # ---------------------------------------------------------------------- + def __arbSell(self, grid, force = False): + """非标准合约的套利平正套（平多）指令""" + self.writeCtaLog(u'套利价差正套（平多）单,price={0},volume={1}'.format(grid.closePrice, grid.volume)) + if not self.trading: + self.writeCtaLog(u'停止状态，不开仓') + return None + + bidPrice = self.lastLeg1Tick.bidPrice1 - self.lastLeg2Tick.askPrice1 + + if self.lastLeg1Tick.bidPrice1 >= self.lastLeg1Tick.lastPrice: + if self.lastLeg1Tick.bidVolume1 < 3: + sellPrice = self.lastLeg1Tick.lastPrice - 2*self.minDiff + elif self.lastLeg1Tick.bidVolume1 < 10: + sellPrice = self.lastLeg1Tick.lastPrice - self.minDiff + else: + sellPrice = self.lastLeg1Tick.lastPrice + else: + if self.lastLeg1Tick.bidVolume1 < 10 or self.lastLeg1Tick.bidVolume1 <= grid.volume: + sellPrice = self.lastLeg1Tick.bidPrice1 - self.minDiff + else: + sellPrice = self.lastLeg1Tick.bidPrice1 + + if self.lastLeg2Tick.askPrice1 <= self.lastLeg2Tick.lastPrice: + + if self.lastLeg2Tick.askVolume1 < 3: + coverPrice = self.lastLeg2Tick.lastPrice + 2*self.minDiff + elif self.lastLeg2Tick.askVolume1 < 10: + coverPrice = self.lastLeg2Tick.lastPrice + self.minDiff + else: + coverPrice = self.lastLeg2Tick.lastPrice + + else: + if self.lastLeg2Tick.askVolume1 < 10 or self.lastLeg2Tick.bidVolume1 <= grid.volume: + coverPrice = self.lastLeg2Tick.askPrice1 + self.minDiff + else: + coverPrice = self.lastLeg2Tick.askPrice1 + + if bidPrice < grid.closePrice and not force: + self.writeCtaLog(u'实际价差{0}不满足:{1}'.format(bidPrice, grid.closePrice)) + return None + + #if sellPrice - coverPrice < grid.closePrice and not force: + # self.writeCtaLog(u'对价差{0}不满足:{1}'.format(bidPrice, grid.closePrice)) + # return None + + if force: + sellPrice -= self.minDiff + coverPrice += self.minDiff + + leg1Pos = self.ctaEngine.posBufferDict.get(self.Leg1Symbol, None) + leg2Pos = self.ctaEngine.posBufferDict.get(self.Leg2Symbol, None) + + if leg1Pos is None: + self.writeCtaLog(u'查询不到Leg1:{0}的持仓数据'.format(self.Leg1Symbol)) + return None + if leg2Pos is None: + self.writeCtaLog(u'查询不到Leg2:{0}的持仓数据'.format(self.Leg2Symbol)) + return None + + if leg1Pos.longPosition < grid.volume: + self.writeCtaLog(u'{0}仓位{1}不足{2}'.format(self.Leg1Symbol,leg1Pos.longPosition,grid.volume)) + return None + if leg2Pos.shortPosition < grid.volume: + self.writeCtaLog(u'{0}仓位{1}不足{2}'.format(self.Leg2Symbol,leg2Pos.shortPosition,grid.volume)) + return None + + # ------------------平多leg1--------------------------------- + # 只有1手的情况下 + if grid.volume == 1 or self.backtesting: + orderID = self.ctaEngine.sendOrder(self.Leg1Symbol, CTAORDER_SELL, sellPrice, grid.volume, self) + orders = orderID + if orderID is None: + self.writeCtaLog(u'异常，Leg1:{0}平多仓失败'.format(self.Leg1Symbol)) + return None + self.uncompletedOrders[orderID] = {'SYMBOL': self.Leg1Symbol, 'DIRECTION': DIRECTION_SHORT, + 'OFFSET': OFFSET_CLOSE, 'Volume': grid.volume, 'TradedVolume': EMPTY_INT, + 'Price': sellPrice, 'OrderTime': self.curDateTime, + 'Grid': grid} + + else: + # 昨仓有，并且少于平仓数量 + if leg1Pos.longYd > EMPTY_INT and leg1Pos.longYd < grid.volume: + volYd = leg1Pos.longYd # 昨仓全平 + volToday = grid.volume - volYd # 剩余的数量，平今仓 + + self.writeCtaLog(u'{0}昨仓:{1}/今仓:{2}，分别平昨仓:{3}手、:今仓{4}手' + .format(self.Leg1Symbol, leg1Pos.longYd, leg1Pos.longToday, volYd, volToday)) + + # 平昨仓(第一次调用时，ctaEngine同样使用昨仓优先） + orderID = self.ctaEngine.sendOrder(self.Leg1Symbol, CTAORDER_SELL, sellPrice, + volYd, self) + if orderID is None: + self.writeCtaLog(u'异常，Leg1:{0}平多仓（昨仓:{1}手）失败'.format(self.Leg1Symbol,volYd)) + return None + self.uncompletedOrders[orderID] = {'SYMBOL': self.Leg1Symbol, 'DIRECTION': DIRECTION_SHORT, + 'OFFSET': OFFSET_CLOSE, 'Volume': volYd, 'TradedVolume': EMPTY_INT, + 'Price': sellPrice, 'OrderTime': self.curDateTime, + 'Grid': grid} + # 更新持仓数据中的昨仓为0，避免瞬间连续平仓引发的昨仓数量不足 + leg1Pos.longYd = 0 + + orders = orderID + # 平今仓 + orderID = self.ctaEngine.sendOrder(self.Leg1Symbol, CTAORDER_SELL, sellPrice, volToday, self) + if orderID is None: + self.writeCtaLog(u'异常，Leg1:{0}平多仓（今仓:{1}手）失败'.format(self.Leg1Symbol,volToday)) + return None + self.uncompletedOrders[orderID] = {'SYMBOL': self.Leg1Symbol, 'DIRECTION': DIRECTION_SHORT, + 'OFFSET': OFFSET_CLOSE, 'Volume': volToday, 'TradedVolume': EMPTY_INT, + 'Price': sellPrice, 'OrderTime': self.curDateTime, + 'Grid': grid} + + orders = orders + ';' + orderID + + # 剩余：要么昨仓数量大于平仓数量、要么没有昨仓数量，今仓数量 >= 平仓数量，都交给catEngine自己解决 + else: + orderID = self.ctaEngine.sendOrder(self.Leg1Symbol, CTAORDER_SELL, sellPrice, grid.volume, self) + orders = orderID + if orderID is None: + self.writeCtaLog(u'异常，Leg1:{0}平多仓:{1}手失败'.format(self.Leg1Symbol,grid.volume)) + return None + self.uncompletedOrders[orderID] = {'SYMBOL': self.Leg1Symbol, 'DIRECTION': DIRECTION_SHORT, + 'OFFSET': OFFSET_CLOSE, 'Volume': grid.volume, 'TradedVolume': EMPTY_INT, + 'Price': sellPrice, 'OrderTime': self.curDateTime, + 'Grid': grid} + + # --------------平空leg2----------------------- + + # 只有1手的情况下 + if grid.volume == 1 or self.backtesting: + orderID = self.ctaEngine.sendOrder(self.Leg2Symbol, CTAORDER_COVER, coverPrice, grid.volume, self) + if orderID is None: + self.writeCtaLog(u'异常，Leg2:{0}平空仓失败'.format(self.Leg2Symbol)) + # 这里要不要处理之前的Leg1开仓？（放在后面cancelorder中处理） + return None + orders = orders + ';' + orderID + self.uncompletedOrders[orderID] = {'SYMBOL': self.Leg2Symbol, 'DIRECTION': DIRECTION_LONG, + 'OFFSET': OFFSET_CLOSE, 'Volume': grid.volume, 'TradedVolume': EMPTY_INT, + 'Price': coverPrice, 'OrderTime': self.curDateTime, + 'Grid': grid} + else: + # 昨仓有，并且少于平仓数量 + if leg2Pos.shortYd > EMPTY_INT and leg2Pos.shortYd < grid.volume: + volYd = leg2Pos.shortYd # 平所有的昨仓 + volToday = grid.volume - volYd # 剩余的今仓平 + self.writeCtaLog(u'{0}当前昨仓{1}/今仓:{2},分别平昨仓:{3}、今仓:{4}' + .format(self.Leg2Symbol,leg2Pos.shortYd, leg2Pos.shortToday, volYd, volToday)) + + # 平昨仓 + orderID = self.ctaEngine.sendOrder(self.Leg2Symbol, CTAORDER_COVER, coverPrice, volYd, self) + if orderID is None: + self.writeCtaLog(u'异常，Leg2:{0}平空仓(昨仓:{1}手）失败'.format(self.Leg2Symbol, volYd)) + return None + + orders = orders + ';' + orderID + self.uncompletedOrders[orderID] = {'SYMBOL': self.Leg2Symbol, 'DIRECTION': DIRECTION_LONG, + 'OFFSET': OFFSET_CLOSE, 'Volume': volYd, 'TradedVolume': EMPTY_INT, + 'Price': coverPrice, 'OrderTime': self.curDateTime, + 'Grid': grid} + # 更新持仓数据中的昨仓为0，避免瞬间连续平仓引发的昨仓数量不足 + leg2Pos.shortYd = 0 + + # 平今仓 + orderID = self.ctaEngine.sendOrder(self.Leg2Symbol, CTAORDER_COVER, coverPrice, volToday, self) + if orderID is None: + self.writeCtaLog(u'异常，Leg2:{0}平空仓(今仓:{1}）失败'.format(self.Leg2Symbol, volToday)) + return None + + orders = orders + ';' + orderID + self.uncompletedOrders[orderID] = {'SYMBOL': self.Leg2Symbol, 'DIRECTION': DIRECTION_LONG, + 'OFFSET': OFFSET_CLOSE, 'Volume': volToday, 'TradedVolume': EMPTY_INT, + 'Price': coverPrice, 'OrderTime': self.curDateTime, + 'Grid': grid} + else: + # 其他情况 + orderID = self.ctaEngine.sendOrder(self.Leg2Symbol, CTAORDER_COVER, coverPrice, grid.volume, self) + if orderID is None: + self.writeCtaLog(u'异常，Leg2:{0}平空仓({1}手)失败'.format(self.Leg2Symbol, grid.volume)) + # 这里要不要处理之前的Leg1开仓？（放在后面cancelorder中处理） + return None + orders = orders + ';' + orderID + self.uncompletedOrders[orderID] = {'SYMBOL': self.Leg2Symbol, 'DIRECTION': DIRECTION_LONG, + 'OFFSET': OFFSET_CLOSE, 'Volume': grid.volume, + 'Price': coverPrice, 'TradedVolume': EMPTY_INT, + 'OrderTime': self.curDateTime, + 'Grid': grid} + + self.entrust = -1 + grid.orderDatetime = self.curDateTime + self.writeCtaLog(u'arb Sell Orders：{0}'.format(orders)) + return orders + + # ---------------------------------------------------------------------- + def __arbCover(self, grid, force = False): + """非标准合约的套利平反套（平空）指令""" + self.writeCtaLog(u'套利价差平反套（平多）单,price={0},volume={1}'.format(grid.closePrice, grid.volume)) + if not self.trading: + self.writeCtaLog(u'停止状态，不开仓') + return None + + askPrice = self.lastLeg1Tick.askPrice1 - self.lastLeg2Tick.bidPrice1 + if self.lastLeg1Tick.askPrice1 <= self.lastLeg1Tick.lastPrice: + if self.lastLeg1Tick.askVolume1 < 3: + coverPrice = self.lastLeg1Tick.lastPrice+2*self.minDiff + elif self.lastLeg1Tick.askVolume1 < 10: + coverPrice = self.lastLeg1Tick.lastPrice + self.minDiff + else: + coverPrice = self.lastLeg1Tick.lastPrice + + else: + if self.lastLeg1Tick.askVolume1 < 10 or self.lastLeg1Tick.bidVolume1 <= grid.volume: + coverPrice = self.lastLeg1Tick.askPrice1 + self.minDiff + else: + coverPrice = self.lastLeg1Tick.askPrice1 + + if self.lastLeg2Tick.bidPrice1 >= self.lastLeg2Tick.lastPrice: + if self.lastLeg2Tick.bidVolume1 < 3: + sellPrice = self.lastLeg2Tick.lastPrice - 2*self.minDiff + elif self.lastLeg2Tick.bidVolume1 < 10: + sellPrice = self.lastLeg2Tick.lastPrice - self.minDiff + else: + sellPrice = self.lastLeg2Tick.lastPrice + + else: + if self.lastLeg2Tick.bidVolume1 < 10 or self.lastLeg2Tick.bidVolume1 <= grid.volume: + sellPrice = self.lastLeg2Tick.bidPrice1 - self.minDiff + else: + sellPrice = self.lastLeg2Tick.bidPrice1 + + if askPrice > grid.closePrice and not force: + self.writeCtaLog(u'实际价差{0}不满足:{1}'.format(askPrice, grid.closePrice)) + return None + + #if (coverPrice - sellPrice) > grid.closePrice and not force: + # self.writeCtaLog(u'对价价差{0}不满足:{1}'.format((coverPrice - sellPrice), grid.closePrice)) + # return None + + if force: + coverPrice +=self.minDiff + sellPrice -= self.minDiff + + leg1Pos = self.ctaEngine.posBufferDict.get(self.Leg1Symbol, None) + leg2Pos = self.ctaEngine.posBufferDict.get(self.Leg2Symbol, None) + + if leg1Pos is None: + self.writeCtaLog(u'查询不到Leg1:{0}的持仓数据'.format(self.Leg1Symbol)) + return None + if leg2Pos is None: + self.writeCtaLog(u'查询不到Leg2:{0}的持仓数据'.format(self.Leg2Symbol)) + return None + + if leg1Pos.shortPosition < grid.volume: + self.writeCtaLog(u'{0}仓位{1}不足{2}'.format(self.Leg1Symbol, leg1Pos.shortPosition, grid.volume)) + return None + if leg2Pos.longPosition < grid.volume: + self.writeCtaLog(u'{0}仓位{1}不足{2}'.format(self.Leg2Symbol, leg2Pos.longPosition, grid.volume)) + return None + + # 平空leg1 + # 只有1手的情况下 + if grid.volume == 1 or self.backtesting: + orderID = self.ctaEngine.sendOrder(self.Leg1Symbol, CTAORDER_COVER, coverPrice, grid.volume, self) + if orderID is None: + self.writeCtaLog(u'Leg1:{0}平空仓({1}手)失败'.format(self.Leg1Symbol, grid.volume)) + return None + orders = orderID + self.uncompletedOrders[orderID] = {'SYMBOL': self.Leg1Symbol, 'DIRECTION': DIRECTION_LONG, + 'OFFSET': OFFSET_CLOSE, 'Volume': grid.volume, 'TradedVolume': EMPTY_INT, + 'Price': coverPrice, 'OrderTime': self.curDateTime, + 'Grid': grid} + else: + # 昨仓有，并且少于平仓数量 + if leg1Pos.shortYd > EMPTY_INT and leg1Pos.shortYd < grid.volume: + volYd = leg1Pos.shortYd # 昨仓全平 + volToday = grid.volume - volYd # 今仓平剩余部分 + self.writeCtaLog(u'{0}分别平昨仓:{1}、今仓:{2}'.format(self.Leg1Symbol, volYd, volToday)) + + # 优先平昨仓 + orderID = self.ctaEngine.sendOrder(self.Leg1Symbol, CTAORDER_COVER, coverPrice, volYd, self) + if orderID is None: + self.writeCtaLog(u'Leg1:{0}平空仓(昨仓:{1}手）失败'.format(self.Leg1Symbol, volYd)) + return None + orders = orderID + self.uncompletedOrders[orderID] = {'SYMBOL': self.Leg1Symbol, 'DIRECTION': DIRECTION_LONG, + 'OFFSET': OFFSET_CLOSE, 'Volume': volYd, 'TradedVolume': EMPTY_INT, + 'Price': coverPrice, 'OrderTime': self.curDateTime, + 'Grid': grid} + # 更新持仓数据中的昨仓为0，避免瞬间连续平仓引发的昨仓数量不足 + leg1Pos.shortYd = 0 + + # 平今仓 + orderID = self.ctaEngine.sendOrder(self.Leg1Symbol, CTAORDER_COVER, coverPrice, volToday, self) + if orderID is None: + self.writeCtaLog(u'Leg1:{0}平空仓(今仓:{1}手）失败'.format(self.Leg1Symbol, volToday)) + # 这里要不要处理之前的Leg1开仓？（放在后面cancelorder中处理） + return None + orders = orders + ';' + orderID + self.uncompletedOrders[orderID] = {'SYMBOL': self.Leg1Symbol, 'DIRECTION': DIRECTION_LONG, + 'OFFSET': OFFSET_CLOSE, 'Volume': volToday, 'TradedVolume': EMPTY_INT, + 'Price': coverPrice, 'OrderTime': self.curDateTime, + 'Grid': grid} + else: + # 其他情况(全部昨天仓/全部今仓） + orderID = self.ctaEngine.sendOrder(self.Leg1Symbol, CTAORDER_COVER, coverPrice, grid.volume, self) + if orderID is None: + self.writeCtaLog(u'Leg1:{0}平空仓({1}手)失败'.format(self.Leg1Symbol, grid.volume)) + # 这里要不要处理之前的Leg1开仓？（放在后面cancelorder中处理） + return None + orders = orderID + self.uncompletedOrders[orderID] = {'SYMBOL': self.Leg1Symbol, 'DIRECTION': DIRECTION_LONG, + 'OFFSET': OFFSET_CLOSE, 'Volume': grid.volume, 'TradedVolume': EMPTY_INT, + 'Price': coverPrice, 'OrderTime': self.curDateTime, + 'Grid': grid} + + # 平多leg2 + + + # 只有1手的情况下 + if grid.volume == 1 or self.backtesting: + orderID = self.ctaEngine.sendOrder(self.Leg2Symbol, CTAORDER_SELL, sellPrice, grid.volume, self) + orders = orders + ';' + orderID + if orderID is None: + self.writeCtaLog(u'Leg2:{0}平多仓({1}手)失败'.format(self.Leg2Symbol, grid.volume)) + return None + self.uncompletedOrders[orderID] = {'SYMBOL': self.Leg2Symbol, 'DIRECTION': DIRECTION_SHORT, + 'OFFSET': OFFSET_CLOSE, 'Volume': grid.volume, 'TradedVolume': EMPTY_INT, + 'Price': sellPrice, 'OrderTime': self.curDateTime, + 'Grid': grid} + + else: + # 昨仓有，并且少于平仓数量 + if leg2Pos.longYd > EMPTY_INT and leg2Pos.longYd < grid.volume: + volYd= leg2Pos.longYd + volToday = grid.volume - volYd + + self.writeCtaLog(u'{0}分别平今仓:{1}、:昨仓{2}'.format(self.Leg2Symbol, volToday, volYd)) + + # 平昨仓(第一次调用时，ctaEngine同样使用昨仓优先） + orderID = self.ctaEngine.sendOrder(self.Leg2Symbol, CTAORDER_SELL, sellPrice, volYd, self) + + if orderID is None: + self.writeCtaLog(u'Leg2:{0}平多仓（昨仓:{1}手）失败'.format(self.Leg2Symbol, volYd)) + return None + self.uncompletedOrders[orderID] = {'SYMBOL': self.Leg2Symbol, 'DIRECTION': DIRECTION_SHORT, + 'OFFSET': OFFSET_CLOSE, 'Volume': volYd, 'TradedVolume': EMPTY_INT, + 'Price': sellPrice, 'OrderTime': self.curDateTime, + 'Grid': grid} + + # 更新持仓数据中的昨仓为0，避免瞬间连续平仓引发的昨仓数量不足 + leg2Pos.longYd = 0 + + orders = orders + ';' + orderID + # 平今仓 + orderID = self.ctaEngine.sendOrder(self.Leg2Symbol, CTAORDER_SELL, sellPrice, volToday, self) + if orderID is None: + self.writeCtaLog(u'Leg2:{0}平多仓（昨仓）失败'.format(self.Leg2Symbol)) + return None + self.uncompletedOrders[orderID] = {'SYMBOL': self.Leg2Symbol, 'DIRECTION': DIRECTION_SHORT, + 'OFFSET': OFFSET_CLOSE, 'Volume': volToday, 'TradedVolume': EMPTY_INT, + 'Price': sellPrice, 'OrderTime': self.curDateTime, + 'Grid': grid} + + orders = orders + ';' + orderID + + # 剩余：要么昨仓数量大于平仓数量、要么没有昨仓数量，今仓数量 >= 平仓数量，都交给catEngine自己解决 + else: + orderID = self.ctaEngine.sendOrder(self.Leg2Symbol, CTAORDER_SELL, sellPrice, grid.volume, self) + orders = orders + ';' + orderID + if orderID is None: + self.writeCtaLog(u'Leg2:{0}平多仓（{1}手）失败'.format(self.Leg2Symbol, grid.volume)) + return None + self.uncompletedOrders[orderID] = {'SYMBOL': self.Leg2Symbol, 'DIRECTION': DIRECTION_SHORT, + 'OFFSET': OFFSET_CLOSE, 'Volume': grid.volume, 'TradedVolume': EMPTY_INT, + 'Price': sellPrice, + 'OrderTime': self.curDateTime, + 'Grid': grid} + + self.entrust = 1 + grid.orderDatetime = self.curDateTime + self.writeCtaLog(u'arb Cover Orders：{0}'.format(orders)) + return orders + + # ---------------------------------------------------------------------- + def onTick(self, tick): + """行情更新 + :type tick: object + """ + # 更新策略执行的时间（用于回测时记录发生的时间） + self.curDateTime = tick.datetime + + spread_tick = None + + # 合并tick + if tick.vtSymbol != self.vtSymbol: + spread_tick = self.__combineTick(tick) + if spread_tick is None : + return + + # 修正lastPrice，大于中轴(0)时，取最小值，小于中轴时，取最大值 + if spread_tick.bidPrice1 > self.baseMidLine and spread_tick.askPrice1 > self.baseMidLine: + spread_tick.lastPrice = min(spread_tick.bidPrice1, spread_tick.askPrice1) + elif spread_tick.bidPrice1 < self.baseMidLine and spread_tick.askPrice1 < self.baseMidLine: + spread_tick.lastPrice = max(spread_tick.bidPrice1, spread_tick.askPrice1) + + self.curTick = spread_tick + + if not self.backtesting: + dt = datetime.now() + if (dt.hour >= 3 and dt.hour < 8) or (dt.hour >= 16 and dt.hour < 20): + return + + if (spread_tick.datetime.hour >= 3 and spread_tick.datetime.hour <= 8) or (spread_tick.datetime.hour >= 16 and spread_tick.datetime.hour <= 20): + self.writeCtaLog(u'休市/集合竞价排名时数据不处理') + self.__initGrids() + return + + if not self.recheckPositions and self.closeWindow: + self.writeCtaLog(u'激活重新提交平仓单') + self.recheckPositions = True + + # 2、计算交易时间和平仓时间 + self.__timeWindow(spread_tick) + + # 4、交易逻辑 + # 首先检查是否是实盘运行还是数据预处理阶段 + if not self.inited : + return + + # 初始化网格交易器（或从本地记录文件中获取） + self.__initGrids() + + if self.tradeWindow and not self.closeWindow and self.recheckPositions: + self.writeCtaLog(u'交易时间，重新计算持仓') + # 重新计算持仓 + self.__recheckPositions() + + if not self.tradeWindow and self.closeWindow and not self.recheckPositions: + self.writeCtaLog(u'收盘时间，重置计算持仓标志') + self.recheckPositions = True + if self.inited: + self.gt.save(direction=DIRECTION_LONG) + self.gt.save(direction=DIRECTION_SHORT) + + # 执行撤单逻辑 + self.__cancelLogic(self.curDateTime) + + if self.curDateTime.second == 0: + self.__updateGridsDisplay() + + if self.entrust == 0: + # 获取满足的未挂单(开空单） + pendingGrids = self.gt.getGrids(direction=DIRECTION_SHORT, + end=spread_tick.bidPrice1) + + if len(pendingGrids) > 1: + self.writeCtaLog(u'有多个挂单，只选择价格最高的一个') + sortedGrids = sorted(pendingGrids, key=lambda g:g.openPrice) + pendingGrids = sortedGrids[-1:] + + # 提交挂单 + for x in pendingGrids[:]: + if self.position.avaliablePos2Add() < 1: + msg = u'持空仓数量已满，不再开仓' + if msg != self.logMsg: + self.logMsg = msg + self.writeCtaLog(msg) + continue + + if not (spread_tick.bidPrice1 >= x.openPrice): + msg = u'spread_tick.bidPrice1:{0}< 网格:{1},不开空仓'.format(spread_tick.bidPrice1, x.openPrice) + if msg != self.logMsg: + self.logMsg = msg + self.writeCtaLog(msg) + continue + + if not self.__checkAccountLimit(): + msg = u'资金占用超过限制值，不开仓' + if msg != self.logMsg: + self.logMsg = msg + self.writeCtaLog(msg) + continue + + # 调用套利下单指令 + ref = self.__arbShort(x) + if ref is not None and len(ref)>0: + self.writeCtaLog(u'开空委托单号{0}'.format(ref)) + self.gt.updateOrderRef(direction=DIRECTION_SHORT, openPrice=x.openPrice, orderRef=ref) + else: + self.writeCtaLog(u'开空委托单失败:{0},v:{1}'.format(x.openPrice, x.volume)) + + # 获取满足价格的未挂单(开多单） + pendingGrids = self.gt.getGrids(direction=DIRECTION_LONG, + end=spread_tick.askPrice1) + + if len(pendingGrids) > 1: + self.writeCtaLog(u'有多个挂单，只选择价格最低的一个') + sortedGrids = sorted(pendingGrids, key=lambda g: g.openPrice) + pendingGrids = sortedGrids[0:1] + + # 逐一提交挂单 + for x in pendingGrids: + if self.position.avaliablePos2Add() < 1: + msg = u'持多仓数量已满，不再开多仓' + if msg != self.logMsg: + self.logMsg = msg + self.writeCtaLog(msg) + continue + + if not spread_tick.askPrice1 <= x.openPrice: + msg = u'spread_tick.askPrice1:{0} > 网格:{1},不开多仓'.format(spread_tick.askPrice1, x.openPrice) + if msg != self.logMsg: + self.logMsg = msg + self.writeCtaLog(msg) + continue + + if not self.__checkAccountLimit(): + msg = u'资金占用超过限制值，不开仓' + if msg != self.logMsg: + self.logMsg = msg + self.writeCtaLog(msg) + continue + + ref = self.__arbBuy(x) + if ref is not None and len(ref) > 0: + self.writeCtaLog(u'开多委托单号{0}'.format(ref)) + self.gt.updateOrderRef(direction=DIRECTION_LONG, openPrice=x.openPrice, orderRef=ref) + else: + self.writeCtaLog(u'开多委托单失败:{0},v:{1}'.format(x.openPrice, x.volume)) + + # 持有正套的单 + if self.position.longPos > 0 and self.entrust == 0 and self.tradeWindow: + + # 从网格获取，未平仓状态，价格，注意检查是否有可以平仓的网格 + pendingGrids = self.gt.getGrids(direction=DIRECTION_LONG, opened=True, closed=False, ordered=False, + begin=999999 , end= -999999) + for x in pendingGrids: + if self.sigle_exist and len(pendingGrids) > 1: + continue + + if x.closePrice < spread_tick.bidPrice1: + ref = self.__arbSell(x) + if ref is not None: + self.writeCtaLog(u'平正套（平多）委托单号{0}'.format(ref)) + self.gt.updateOrderRef(direction=DIRECTION_LONG, openPrice=x.openPrice, orderRef=ref) + else: + self.writeCtaLog(u'平正套（平多）委托单失败:{0},v:{1}'.format(x.closePrice, x.volume)) + + # 持有反套的单，检查平仓条件 + if self.position.shortPos < 0 and self.entrust == 0 and self.tradeWindow: + + # 从网格获取，未平仓状态，价格 + pendingGrids = self.gt.getGrids(direction=DIRECTION_SHORT, opened=True, closed=False, ordered=False, + begin=-999999, end=999999) + + for x in pendingGrids: + if self.sigle_exist and len(pendingGrids) > 1: + continue + + if x.closePrice > spread_tick.askPrice1: + ref = self.__arbCover(x) + if ref is not None: + self.writeCtaLog(u'平反套（平空）委托单号{0}'.format(ref)) + self.gt.updateOrderRef(direction=DIRECTION_SHORT, openPrice=x.openPrice, orderRef=ref) + else: + self.writeCtaLog(u'平反套（平空）委托单失败:{0},v:{1}'.format(x.closePrice, x.volume)) + + + # ---------------------------------------------------------------------- + def onBar(self, bar): + """分钟K线数据更新 + bar，k周期数据 + """ + pass + # ---------------------------------------------------------------------- + def __initGrids(self): + if len(self.gt.upGrids) <= 0 or len(self.gt.dnGrids) <= 0: + self.writeCtaLog(u'__initGrids(),初始化网格交易器') + self.gt.initGrid(upline=self.baseUpLine, dnline=self.baseDnLine) + self.writeCtaLog(u'__initGrids(),初始化网格完成') + self.recheckPositions = True + + def __updateGridsDisplay(self): + """更新网格显示信息""" + self.upGrids = self.gt.toStr(direction=DIRECTION_SHORT) + self.writeCtaLog(self.upGrids) + + self.dnGrids = self.gt.toStr(direction=DIRECTION_LONG) + self.writeCtaLog(self.dnGrids) + + def __closeAllGrids(self, direction, closePrice): + """对所有的网格强制平仓""" + if direction == DIRECTION_SHORT: + # 扫描上网格 + for x in self.gt.upGrids[:]: + # 已发送订单，已开仓，未平仓 + if not x.openStatus or x.closeStatus: + continue + + if x.orderStatus and x.orderRef != EMPTY_STRING and x.orderDatetime is not None: + orders = x.orderRef.split(';') + if len(orders) == 1: + self.writeCtaLog(u'{0}只有单腿委托{1}'.format(x.openPrice, orders[0])) + continue + + # 当前分钟内，不再委托强平 + if x.orderDatetime.minute == self.curDateTime.minute: + continue + + self.writeCtaLog(u'取消平仓单:[ref={0},closeprice={1}]'.format(x.orderRef, x.closePrice)) + for order in orders: + self.writeCtaLog(u'撤单:{0}'.format(order)) + self.cancelOrder(order) + + sleep(0.3) + + oldPrice = x.closePrice + x.closePrice = closePrice + ref = self.__arbCover(x, force=True) + + if ref: + x.orderRef = ref + x.orderStatus = True + x.orderDatetime = self.curDateTime + self.writeCtaLog(u'强制提交平空委托单[closeprice={0},volume={1}]' + .format(x.closePrice, x.volume)) + else: + self.writeCtaLog(u'提交平仓委托单失败') + x.closePrice = oldPrice + + if direction == DIRECTION_LONG: + # 扫描下网格 + for x in self.gt.dnGrids[:]: + if not x.openStatus or x.closeStatus: + self.writeCtaLog(u'网格[open={0},close={1} 不满足状态'.format(x.openPrice, x.closePrice)) + continue + + if x.orderStatus and x.orderRef != EMPTY_STRING and x.orderDatetime is not None: + orders = x.orderRef.split(';') + if len(orders) == 1: + self.writeCtaLog(u'{0}只有单腿委托{1}'.format(x.openPrice, orders[0])) + continue + + if x.orderDatetime.minute == self.curDateTime.minute: + continue + + self.writeCtaLog(u'取消平多单:[ref={0},closeprice={1}]'.format(x.orderRef, x.closePrice)) + + for order in orders: + self.writeCtaLog(u'撤单:{0}'.format(order)) + self.cancelOrder(order) + + sleep(0.3) + + oldPrice = x.closePrice + x.closePrice = closePrice + # 强制平仓 + ref = self.__arbSell(x, force=True) + if ref: + x.orderRef = ref + x.orderStatus = True + x.orderDatetime = self.curDateTime + self.writeCtaLog( + u'强制提交平多委托单[closeprice={0},volume={1}]'.format(x.closePrice, x.volume )) + else: + self.writeCtaLog(u'提交平仓委托单失败') + x.closePrice = oldPrice + + + # ---------------------------------------------------------------------- + def __timeWindow(self, tick): + """交易与平仓窗口""" + # 交易窗口 避开早盘和夜盘的前5分钟，防止隔夜跳空。 + self.closeWindow = False + self.tradeWindow = False + self.openWindow = False + + # 初始化当日的首次交易 + #if (tick.datetime.hour == 9 or tick.datetime.hour == 21) and tick.datetime.minute == 0 and tick.datetime.second ==0: + # self.firstTrade = True + + # 开市期，波动较大，用于判断止损止盈，或开仓 + if (tick.datetime.hour == 9 or tick.datetime.hour == 21) and tick.datetime.minute < 10: + self.openWindow = True + + # 日盘 + if tick.datetime.hour == 9 and ((tick.datetime.minute >= 0 and self.shortSymbol not in MARKET_ZJ) or tick.datetime.minute >= 15): + self.tradeWindow = True + return + + if tick.datetime.hour == 10: + if (tick.datetime.minute <= 15 or tick.datetime.minute >= 30) or self.shortSymbol in MARKET_ZJ: + self.tradeWindow = True + return + + if tick.datetime.hour == 11 and tick.datetime.minute <= 30: + self.tradeWindow = True + return + + # 中金所是13:00开盘，大连、郑商、上期所，是13:30开盘 + if tick.datetime.hour == 13 and tick.datetime.minute >= 00: + self.tradeWindow = True + return + + # 大连、郑商、上期所，是15:00 收盘 + if tick.datetime.hour == 14: + if tick.datetime.minute < 59 or self.shortSymbol in MARKET_ZJ: + self.tradeWindow = True + return + + if tick.datetime.minute == 59: # 日盘平仓 + self.closeWindow = True + return + + # 中金所是15:15收盘 + if tick.datetime.hour == 15 and self.shortSymbol in MARKET_ZJ: + if tick.datetime.minute < 14: + self.tradeWindow = True + return + + if tick.datetime.minute >= 14: # 日盘平仓 + self.closeWindow = True + return + + # 夜盘 + if tick.datetime.hour == 21 and tick.datetime.minute >= 0: + self.tradeWindow = True + return + + # 上期 贵金属， 次日凌晨2:30 + if self.shortSymbol in NIGHT_MARKET_SQ1: + if tick.datetime.hour == 22 or tick.datetime.hour == 23 or tick.datetime.hour == 0 or tick.datetime.hour ==1: + self.tradeWindow = True + return + + if tick.datetime.hour == 2: + if tick.datetime.minute < 29: # 收市前29分钟 + self.tradeWindow = True + return + if tick.datetime.minute == 29: # 夜盘平仓 + self.closeWindow = True + return + return + + # 上期 有色金属，黑色金属，沥青 次日01:00 + if self.shortSymbol in NIGHT_MARKET_SQ2: + if tick.datetime.hour == 22 or tick.datetime.hour == 23: + self.tradeWindow = True + return + + if tick.datetime.hour == 0: + if tick.datetime.minute < 59: # 收市前29分钟 + self.tradeWindow = True + return + + if tick.datetime.minute == 59: # 夜盘平仓 + self.closeWindow = True + return + + return + + # 上期 天然橡胶 23:00 + if self.shortSymbol in NIGHT_MARKET_SQ3: + + if tick.datetime.hour == 22: + if tick.datetime.minute < 59: # 收市前1分钟 + self.tradeWindow = True + return + + if tick.datetime.minute == 59: # 夜盘平仓 + self.closeWindow = True + return + + # 郑商、大连 23:30 + if self.shortSymbol in NIGHT_MARKET_ZZ or self.shortSymbol in NIGHT_MARKET_DL: + if tick.datetime.hour == 22: + self.tradeWindow = True + return + + if tick.datetime.hour == 23: + if tick.datetime.minute < 29: # 收市前1分钟 + self.tradeWindow = True + return + if tick.datetime.minute == 29 and tick.datetime.second > 30: # 夜盘平仓 + self.closeWindow = True + return + return + + def __checkAccountLimit(self): + """主动检查是否超过总体资金占用比例""" + c, a, p, pl = self.ctaEngine.getAccountInfo() + if p > pl: + return False + + return True + + def __recheckPositions(self): + """重新计算持仓""" + self.writeCtaLog(u'扫描网格，重新计算持仓') + # 重置position + self.position.clear() + checks = EMPTY_INT + + # 扫描上网格 + for x in self.gt.upGrids[:]: + # 已发送订单，已开仓，未平仓 + if x.openStatus and not x.closeStatus: + closePrice = min(x.closePrice, self.curTick.lastPrice) + x.orderRef = EMPTY_STRING + # 未平仓的volume=网格的volume-已交易的volume， + # 更新仓位 + self.position.openPos(direction=DIRECTION_SHORT, vol=x.volume - x.tradedVolume, + price=x.openPrice) + + checks = checks + 1 + self.writeCtaLog(u'增加空仓{0},V:{1}'.format(x.openPrice,x.volume - x.tradedVolume)) + + elif x.orderStatus and not x.openStatus: + self.writeCtaLog(u'重置网格[{0}]的开仓单委托'.format(x.openPrice)) + x.orderStatus = False + x.orderRef = EMPTY_STRING + + if checks == EMPTY_INT: + self.writeCtaLog(u'上网格没空单') + + checks = EMPTY_INT + # 扫描下网格 + for x in self.gt.dnGrids[:]: + # 已发送订单，已开仓，未平仓 + if x.openStatus and not x.closeStatus: + closePrice = max(x.closePrice, self.curTick.lastPrice) + + x.orderRef = EMPTY_STRING + # 未平仓的volume=网格的volume-已交易的volume， + # 更新仓位 + self.position.openPos(direction=DIRECTION_LONG, vol=x.volume - x.tradedVolume, + price=x.openPrice) + + checks = checks + 1 + self.writeCtaLog(u'增加多仓{0},V:{1}'.format(x.openPrice, x.volume - x.tradedVolume)) + + elif x.orderStatus and not x.openStatus: + self.writeCtaLog(u'重置网格[{0}]的开仓单委托'.format(x.openPrice)) + x.orderStatus = False + x.orderRef = EMPTY_STRING + + if checks == EMPTY_INT: + self.writeCtaLog(u'下网格没有多单') + + self.gridpos = self.position.pos + # 重置为已执行 + self.recheckPositions = False + + def __cancelLogic(self, dt, force=False): + "撤单逻辑""" + if len(self.uncompletedOrders) < 1: + return + + canceled_keys = [] + + #if ((dt - self.lastOrderTime).seconds > self.cancelSeconds / i ) \ + # or force: # 超过设置的时间还未成交 + """ + {'SYMBOL': self.Leg1Symbol, 'DIRECTION': DIRECTION_SHORT, + 'OFFSET': OFFSET_OPEN, 'Volume': grid.volume, + 'Price': shortPrice, 'TradedVolume':0 , + 'OrderTime': self.curDateTime, + 'Grid': grid} + """ + + order_keys = self.uncompletedOrders.keys() + + for order_key in order_keys: + if order_key not in self.uncompletedOrders: + self.writeCtaLog(u'{0}不在未完成的委托单中。'.format(order_key)) + continue + order = self.uncompletedOrders[order_key] + order_time = order['OrderTime'] + order_symbol = copy.copy(order['SYMBOL']) + order_volume = order['Volume'] - order['TradedVolume'] + order_price = order['Price'] + + if (dt - order_time).seconds > self.cancelSeconds: + self.writeCtaLog(u'{0}超时{1}秒未成交，取消委托单：{2}'.format(order_symbol, (dt - order_time).seconds, order)) + + # 获得对应的网格,检查网格是否两个lge的order都未成交 + grid = order['Grid'] + orders_in_grid = grid.orderRef.split(';') + if len(orders_in_grid) > 1: + self.writeCtaLog(u'{0}=>{1}网格两腿超时未成交，均撤单'.format(grid.openPrice,grid.closePrice)) + for order_in_grid in orders_in_grid: + # 分别撤销委托单 + self.cancelOrder(str(order_in_grid)) + self.writeCtaLog(u'删除orderID:{0}'.format(order_in_grid)) + try: + del self.uncompletedOrders[order_in_grid] + except Exception as ex: + self.writeCtaLog(u'uncompletedOrders找不到{0}'.format(order_in_grid)) + + grid.orderStatus = False + grid.orderRef = EMPTY_STRING + grid.orderDatetime = None + self.entrust = 0 + continue + + # 撤销该委托单 + self.cancelOrder(str(order_key)) + + # 撤销的委托单，属于平仓类，需要追平 + if order['OFFSET'] == OFFSET_CLOSE: + # 属于平多委托单 + if order['DIRECTION'] == DIRECTION_SHORT: + + if order_symbol == self.Leg1Symbol: + sellPrice = min(self.lastLeg1Tick.bidPrice1, self.lastLeg1Tick.lastPrice) - self.minDiff + else: + sellPrice = min(self.lastLeg2Tick.bidPrice1, self.lastLeg2Tick.lastPrice) - self.minDiff + + orderID = self.ctaEngine.sendOrder(order_symbol, CTAORDER_SELL, sellPrice, order_volume, self) + + if orderID is None: + self.writeCtaLog(u'重新提交{0} {1}手平多单{2}失败'.format(order_symbol,order_volume,sellPrice)) + continue + + # 添加到待删除的清单 + canceled_keys.append(order_key) + # 更新网格的委托单 + grid = order['Grid'] + grid.orderRef = grid.orderRef.replace(order_key, orderID) + # 重新添加平多委托单 + self.uncompletedOrders[orderID] = {'SYMBOL': order_symbol, 'DIRECTION': DIRECTION_SHORT, + 'OFFSET': OFFSET_CLOSE, 'Volume': order_volume,'TradedVolume': EMPTY_INT, + 'Price': sellPrice, 'OrderTime': self.curDateTime, + 'Grid': grid} + + # 属于平空委托单 + else: + # 获取对价 + if order_symbol == self.Leg1Symbol: + coverPrice = max(self.lastLeg1Tick.askPrice1, self.lastLeg1Tick.lastPrice) + self.minDiff + else: + coverPrice = max(self.lastLeg2Tick.askPrice1, self.lastLeg2Tick.lastPrice) + self.minDiff + + orderID = self.ctaEngine.sendOrder(order_symbol, CTAORDER_COVER, coverPrice, order_volume, self) + if orderID is None: + self.writeCtaLog(u'重新提交{0} {1}手平空单{2}失败'.format(order_symbol, order_volume, coverPrice)) + continue + + # 添加到待删除的清单 + canceled_keys.append(order_key) + # 更新网格的委托单 + grid = order['Grid'] + grid.orderRef = grid.orderRef.replace(order_key, orderID) + # 重新添加平空委托单 + self.uncompletedOrders[orderID] = {'SYMBOL': order_symbol, 'DIRECTION': DIRECTION_LONG, + 'OFFSET': OFFSET_CLOSE, 'Volume': order_volume,'TradedVolume': EMPTY_INT, + 'Price': coverPrice, 'OrderTime': self.curDateTime, + 'Grid': grid} + + # 撤销的委托单，属于开仓类，需要追开 + else: + # 属于开空委托单 + if order['DIRECTION'] == DIRECTION_SHORT: + if order_symbol == self.Leg1Symbol: + shortPrice = min(self.lastLeg1Tick.bidPrice1, self.lastLeg1Tick.lastPrice) - self.minDiff + else: + shortPrice = min(self.lastLeg2Tick.bidPrice1, self.lastLeg2Tick.lastPrice) - self.minDiff + + # 发送委托 + orderID = self.ctaEngine.sendOrder(order_symbol, CTAORDER_SHORT, shortPrice, order_volume, self) + if orderID is None or len(orderID) == 0: + self.writeCtaLog(u'重新提交{0} {1}手开空单{2}失败'.format(order_symbol, order_volume, shortPrice)) + continue + + # 添加到待删除的清单 + canceled_keys.append(order_key) + # 更新网格的委托单 + grid = order['Grid'] + grid.orderRef = grid.orderRef.replace(order_key, orderID) + if shortPrice < order_price: + # 修正止盈点位 + if grid.direction == DIRECTION_SHORT: + grid.closePrice -= (order_price-shortPrice) + else: + grid.closePrice += (order_price-shortPrice) + # 重新添加开空委托单 + self.uncompletedOrders[orderID] = {'SYMBOL': order_symbol, 'DIRECTION': DIRECTION_SHORT, + 'OFFSET': OFFSET_OPEN, 'Volume': order_volume, + 'Price': shortPrice, 'TradedVolume': EMPTY_INT, + 'OrderTime': self.curDateTime, + 'Grid': grid} + # 属于开多委托单 + else: + if order_symbol == self.Leg1Symbol: + buyPrice = max(self.lastLeg1Tick.askPrice1, self.lastLeg1Tick.lastPrice) + self.minDiff + else: + buyPrice = max(self.lastLeg2Tick.askPrice1, self.lastLeg2Tick.lastPrice) + self.minDiff + + # 发送委托 + orderID = self.ctaEngine.sendOrder(order_symbol, CTAORDER_BUY, buyPrice, order_volume, self) + if orderID is None or len(orderID) == 0: + self.writeCtaLog(u'重新提交{0} {1}手开多单{2}失败'.format(order_symbol, order_volume, buyPrice)) + continue + + # 添加到待删除的清单 + canceled_keys.append(order_key) + # 更新网格的委托单 + grid = order['Grid'] + grid.orderRef = grid.orderRef.replace(order_key, orderID) + if buyPrice > order_price: + # 修正止盈点位 + if grid.direction == DIRECTION_SHORT: + grid.closePrice -= (buyPrice - order_price) + else: + grid.closePrice += (buyPrice - order_price) + + # 重新添加开空委托单 + self.uncompletedOrders[orderID] = {'SYMBOL': order_symbol, 'DIRECTION': DIRECTION_LONG, + 'OFFSET': OFFSET_OPEN, 'Volume': order_volume, + 'Price': buyPrice, 'TradedVolume': EMPTY_INT, + 'OrderTime': self.curDateTime, + 'Grid': grid} + + # 删除撤单的订单 + for key in canceled_keys: + if key in self.uncompletedOrders: + self.writeCtaLog(u'删除orderID:{0}'.format(key)) + del self.uncompletedOrders[key] + + + # ---------------------------------------------------------------------- + def saveData(self, id): + """保存过程数据""" + # 保存K线 + if not self.backtesting: + return + + + + diff --git a/vnpy/trader/app/ctaStrategy/uiSpreadTrade.py b/vnpy/trader/app/ctaStrategy/uiSpreadTrade.py new file mode 100644 index 00000000..7b9d8c09 --- /dev/null +++ b/vnpy/trader/app/ctaStrategy/uiSpreadTrade.py @@ -0,0 +1,317 @@ +# encoding: UTF-8 + +''' +套利交易模块相关的GUI控制组件 +''' + +from vnpy.trader.vtConstant import DIRECTION_LONG, DIRECTION_SHORT +from vnpy.trader.uiBasicWidget import QtGui, QtCore +from vnpy.trader.vtEvent import * +from vnpy.trader.app.ctaStrategy.ctaGridTrade import * + +######################################################################## +class SplitLine(QtGui.QFrame): + """水平分割线""" + + #---------------------------------------------------------------------- + def __init__(self): + """Constructor""" + super(SplitLine, self).__init__() + self.setFrameShape(self.HLine) + self.setFrameShadow(self.Sunken) + +class SpreadTradeManager(QtGui.QWidget): + # ---------------------------------------------------------------------- + def __init__(self, ctaEngine, eventEngine, parent=None): + super(SpreadTradeManager, self).__init__(parent) + self.ctaEngine = ctaEngine + self.eventEngine = eventEngine + self.strategy_name_list = [] + self.strategy = None + + self.directionList = [DIRECTION_LONG, DIRECTION_SHORT] + self.initUi() + + # ---------------------------------------------------------------------- + def initUi(self): + """初始化界面""" + self.setWindowTitle(u'套利交易') + + # 连接运行中的套利测试（策略名称[下拉菜单]，连接按钮） + self.btnSwitchConnectStatus = QtGui.QPushButton(u'套利策略未连接') + self.btnSwitchConnectStatus.clicked.connect(self.btnSwitchClick) + + Label = QtGui.QLabel + grid = QtGui.QGridLayout() + grid.addWidget(Label(u'状态'), 0, 0) + grid.addWidget(self.btnSwitchConnectStatus, 0, 1) + + self.spreadStraty = QtGui.QComboBox() + self.strategy_name_list = self.ctaEngine.strategyDict.keys() + self.spreadStraty.addItems(self.strategy_name_list) + + grid.addWidget(Label(u'套利策略'), 1, 0) + grid.addWidget(self.spreadStraty, 1, 1) + + + # 网格信息+操作（新增，删除，更新） + + grid.addWidget(Label(u'方向'), 2, 0) + self.gridDirection = QtGui.QComboBox() + self.gridDirection.addItems(self.directionList) + grid.addWidget(self.gridDirection, 2, 1) + + self.spinOpenPrice = QtGui.QDoubleSpinBox() + self.spinOpenPrice.setDecimals(4) + self.spinOpenPrice.setMinimum(-10000) # 原来是0，为支持套利，改为-10000 + self.spinOpenPrice.setMaximum(100000) + self.spinOpenPrice.valueChanged.connect(self.spinOpenPrice_valueChanged) + + grid.addWidget(Label(u'开仓价'), 3, 0) + grid.addWidget(self.spinOpenPrice, 3, 1) + + self.spinClosePrice = QtGui.QDoubleSpinBox() + self.spinClosePrice.setDecimals(4) + self.spinClosePrice.setMinimum(-10000) # 原来是0，为支持套利，改为-10000 + self.spinClosePrice.setMaximum(100000) + + grid.addWidget(Label(u'平仓价'), 4, 0) + grid.addWidget(self.spinClosePrice, 4, 1) + + self.spinOrderVolume = QtGui.QSpinBox() + self.spinOrderVolume.setMinimum(0) + self.spinOrderVolume.setMaximum(1000) + + grid.addWidget(Label(u'委托数量'), 5, 0) + grid.addWidget(self.spinOrderVolume, 5, 1) + + self.spinTradedVolume = QtGui.QSpinBox() + self.spinTradedVolume.setMinimum(0) + self.spinTradedVolume.setMaximum(1000) + + grid.addWidget(Label(u'成交数量'), 6, 0) + grid.addWidget(self.spinTradedVolume, 6, 1) + + self.openStatus = QtGui.QCheckBox(u'') # 开仓状态 + grid.addWidget(Label(u'开仓状态'), 7, 0) + grid.addWidget(self.openStatus, 7, 1) + + self.orderStatus = QtGui.QCheckBox(u'') # 委托状态 + grid.addWidget(Label(u'委托状态'), 8, 0) + grid.addWidget(self.orderStatus, 8, 1) + + self.closeStatus = QtGui.QCheckBox(u'') # 平仓状态 + grid.addWidget(Label(u'平仓状态'), 9, 0) + grid.addWidget(self.closeStatus, 9, 1) + + btnAddGrid = QtGui.QPushButton(u'增加') + btnAddGrid.clicked.connect(self.btnAddGridClick) + btnUpdateGrid = QtGui.QPushButton(u'更新') + btnUpdateGrid.clicked.connect(self.btnUpdateGridClick) + btnRemoveGrid = QtGui.QPushButton(u'删除') + btnRemoveGrid.clicked.connect(self.btnRemoveGridClick) + btnRemoveAll = QtGui.QPushButton(u'全删除') + btnRemoveAll.clicked.connect(self.btnRemoveAllClick) + + hbox = QtGui.QHBoxLayout() + hbox.addWidget(btnAddGrid) + hbox.addWidget(btnUpdateGrid) + hbox.addStretch() + hbox.addWidget(btnRemoveGrid) + hbox.addWidget(btnRemoveAll) + + vbox = QtGui.QVBoxLayout() + vbox.addLayout(grid) + vbox.addLayout(hbox) + + + # 状态信息（通过定时器，显示 上网格清单，下网格清单） + + #日志监控 + self.logMsgs = QtGui.QTextEdit() + self.logMsgs.setReadOnly(True) + self.logMsgs.setMaximumHeight(200) + vbox.addWidget(self.logMsgs) + + self.setLayout(vbox) + + def btnSwitchClick(self): + """策略连接按钮""" + if self.ctaEngine is None: + self.log(u'没有连接CTA引擎') + return + + strategy_name = unicode(self.spreadStraty.currentText()) + + if strategy_name is None or len(strategy_name) == 0: + if len(self.strategy_name_list)==0: + self.strategy_name_list = self.ctaEngine.strategyDict.keys() + self.spreadStraty.addItems(self.strategy_name_list) + return + + self.strategy = self.ctaEngine.strategyDict[strategy_name] + + if self.strategy.trading: + self.btnSwitchConnectStatus.setText(u'连接成功、启动') + self.log(u'连接{0}成功、启动'.format(strategy_name)) + + else: + self.btnSwitchConnectStatus.setText(u'连接成功，未启动') + self.log(u'连接{0}成功，但策略未启动'.format(strategy_name)) + + self.displayGrids() + + def btnAddGridClick(self): + """网格新增按钮""" + if self.ctaEngine is None: + self.log(u'没有连接CTA引擎') + return + + if self.strategy is None: + self.log(u'没有连接策略') + return + + direction = unicode(self.gridDirection.currentText()) + if direction is None or len(direction) ==0: + self.log(u'先选择方向') + return + + open_price = self.spinOpenPrice.value() + close_price = self.spinClosePrice.value() + if open_price == close_price: + self.log(u'开仓价和平仓价不能相同') + return + + order_volume = self.spinOrderVolume.value() + grid = CtaGrid(direction=direction, + openprice=open_price, + closeprice=close_price, + volume=order_volume) + + if direction == DIRECTION_LONG: + self.strategy.gt.dnGrids.append(grid) + + else: + self.strategy.gt.upGrids.append(grid) + + self.strategy.gt.save(direction=direction) + self.strategy.recheckPositions = True + grids_info = self.strategy.gt.toStr(direction=direction) + self.log(grids_info) + + def displayGrids(self): + up_grids_info = self.strategy.gt.toStr(direction=DIRECTION_SHORT) + self.log(up_grids_info) + dn_grids_info = self.strategy.gt.toStr(direction=DIRECTION_LONG) + self.log(dn_grids_info) + + def spinOpenPrice_valueChanged(self): + """查询网格""" + if self.ctaEngine is None: + self.log(u'没有连接CTA引擎') + return + + if self.strategy is None: + self.log(u'没有连接策略') + return + + direction = unicode(self.gridDirection.currentText()) + if direction is None or len(direction) == 0: + self.log(u'先选择方向'); + return + + open_price = self.spinOpenPrice.value() + grid = self.strategy.gt.getGrid(direction=direction, openPrice=open_price, t=u'OpenPrice') + + if grid is None: + self.log(u'没有找到{0}方向的网格:{1}'.format(direction, open_price)) + return + + self.spinClosePrice.setValue(grid.closePrice) + self.spinOrderVolume.setValue(grid.volume) + self.spinTradedVolume.setValue(grid.tradedVolume) + self.openStatus.setChecked(grid.openStatus) + self.orderStatus.setChecked(grid.orderStatus) + self.closeStatus.setChecked(grid.closeStatus) + + def btnUpdateGridClick(self): + """更新网格""" + if self.ctaEngine is None: + self.log(u'没有连接CTA引擎') + return + + if self.strategy is None: + self.log(u'没有连接策略') + return + + direction = unicode(self.gridDirection.currentText()) + if direction is None or len(direction) ==0: + self.log(u'先选择方向') + return + + open_price = self.spinOpenPrice.value() + grid = self.strategy.gt.getGrid(direction=direction, openPrice=open_price, t=u'OpenPrice') + + if grid is None: + self.log(u'没有找到{0}方向的网格:{1}'.format(direction,open_price)) + return + + grid.closePrice = self.spinClosePrice.value() + grid.volume = self.spinOrderVolume.value() + grid.tradedVolume = self.spinTradedVolume.value() + grid.openStatus = self.openStatus.isChecked() + grid.orderStatus = self.orderStatus.isChecked() + grid.closeStatus = self.closeStatus.isChecked() + + self.strategy.gt.save(direction=direction) + self.strategy.recheckPositions = True + self.displayGrids() + + def btnRemoveGridClick(self): + """删除网格(指定开仓价以下的废格)""" + if self.ctaEngine is None: + self.log(u'没有连接CTA引擎') + return + + if self.strategy is None: + self.log(u'没有连接策略') + return + + direction = unicode(self.gridDirection.currentText()) + if direction is None or len(direction) == 0: + self.log(u'先选择方向') + return + + open_price = self.spinOpenPrice.value() + self.strategy.gt.removeGrids(direction=direction, priceline=open_price) + self.strategy.gt.save(direction=direction) + self.log(u'成功移除{0}方向的网格:{1}'.format(direction,open_price)) + self.displayGrids() + + def btnRemoveAllClick(self): + """删除所有网格""" + if self.ctaEngine is None: + self.log(u'没有连接CTA引擎') + return + + if self.strategy is None: + self.log(u'没有连接策略') + return + + direction = unicode(self.gridDirection.currentText()) + if direction is None or len(direction) == 0: + self.log(u'先选择方向') + return + + if direction == DIRECTION_LONG: + self.strategy.gt.dnGrids = [] + self.strategy.gt.save(direction=direction) + else: + self.strategy.gt.upGrids=[] + self.strategy.gt.save(direction=direction) + + self.displayGrids() + + def log(self, content): + self.logMsgs.append(content) + diff --git a/trader/gateway/__init__.py b/vnpy/trader/gateway/__init__.py similarity index 99% rename from trader/gateway/__init__.py rename to vnpy/trader/gateway/__init__.py index 153d615d..2182df55 100644 --- a/trader/gateway/__init__.py +++ b/vnpy/trader/gateway/__init__.py @@ -3,7 +3,7 @@ ''' 动态载入所有的Gateway ''' - +""" import os import importlib import traceback @@ -30,6 +30,7 @@ for load_gateway in load_gateways: print u'Load {0} exception:{1}'.format(moduleName, ex) traceback.print_exc() +""" """ # 获取目录路径 path = os.path.abspath(os.path.dirname(__file__)) diff --git a/vnpy/trader/gateway/ctpGateway/__init__.py b/vnpy/trader/gateway/ctpGateway/__init__.py new file mode 100644 index 00000000..fb2e14b1 --- /dev/null +++ b/vnpy/trader/gateway/ctpGateway/__init__.py @@ -0,0 +1,15 @@ +# encoding: UTF-8 + +import sys +import os + +print u'init {0}'.format(os.path.dirname(__file__)) +from vnpy.trader import vtConstant +from ctpGateway import CtpGateway + + +gatewayClass = CtpGateway +gatewayName = 'CTP' +gatewayDisplayName = 'CTP' +gatewayType = vtConstant.GATEWAYTYPE_FUTURES +gatewayQryEnabled = True diff --git a/trader/gateway/ctpGateway/ctpDataType.py b/vnpy/trader/gateway/ctpGateway/ctpDataType.py similarity index 100% rename from trader/gateway/ctpGateway/ctpDataType.py rename to vnpy/trader/gateway/ctpGateway/ctpDataType.py diff --git a/trader/gateway/ctpGateway/ctpGateway.py b/vnpy/trader/gateway/ctpGateway/ctpGateway.py similarity index 99% rename from trader/gateway/ctpGateway/ctpGateway.py rename to vnpy/trader/gateway/ctpGateway/ctpGateway.py index 827d53b7..c167dc91 100644 --- a/trader/gateway/ctpGateway/ctpGateway.py +++ b/vnpy/trader/gateway/ctpGateway/ctpGateway.py @@ -14,14 +14,13 @@ from copy import copy from datetime import datetime import logging - from vnctpmd import MdApi from vnctptd import TdApi -from trader.vtGateway import * +from vnpy.trader.vtConstant import * +from vnpy.trader.vtGateway import * from ctpDataType import * -from language import text - +from vnpy.trader.gateway.ctpGateway.language import text # 以下为一些VT类型和CTP类型的映射字典 # 价格类型映射 diff --git a/trader/gateway/ctpGateway/thostmduserapi.dll b/vnpy/trader/gateway/ctpGateway/thostmduserapi.dll similarity index 100% rename from trader/gateway/ctpGateway/thostmduserapi.dll rename to vnpy/trader/gateway/ctpGateway/thostmduserapi.dll diff --git a/trader/gateway/ctpGateway/thosttraderapi.dll b/vnpy/trader/gateway/ctpGateway/thosttraderapi.dll similarity index 100% rename from trader/gateway/ctpGateway/thosttraderapi.dll rename to vnpy/trader/gateway/ctpGateway/thosttraderapi.dll diff --git a/trader/gateway/ctpGateway/vnctpmd.pyd b/vnpy/trader/gateway/ctpGateway/vnctpmd.pyd similarity index 100% rename from trader/gateway/ctpGateway/vnctpmd.pyd rename to vnpy/trader/gateway/ctpGateway/vnctpmd.pyd diff --git a/trader/gateway/ctpGateway/vnctpmd.so b/vnpy/trader/gateway/ctpGateway/vnctpmd.so similarity index 100% rename from trader/gateway/ctpGateway/vnctpmd.so rename to vnpy/trader/gateway/ctpGateway/vnctpmd.so diff --git a/trader/gateway/ctpGateway/vnctptd.pyd b/vnpy/trader/gateway/ctpGateway/vnctptd.pyd similarity index 100% rename from trader/gateway/ctpGateway/vnctptd.pyd rename to vnpy/trader/gateway/ctpGateway/vnctptd.pyd diff --git a/trader/gateway/ctpGateway/vnctptd.so b/vnpy/trader/gateway/ctpGateway/vnctptd.so similarity index 100% rename from trader/gateway/ctpGateway/vnctptd.so rename to vnpy/trader/gateway/ctpGateway/vnctptd.so diff --git a/trader/noUiMain.py b/vnpy/trader/noUiMain.py similarity index 100% rename from trader/noUiMain.py rename to vnpy/trader/noUiMain.py diff --git a/trader/setup_logger.py b/vnpy/trader/setup_logger.py similarity index 100% rename from trader/setup_logger.py rename to vnpy/trader/setup_logger.py diff --git a/trader/simple_monitor.py b/vnpy/trader/simple_monitor.py similarity index 100% rename from trader/simple_monitor.py rename to vnpy/trader/simple_monitor.py diff --git a/trader/uiBasicWidget.py b/vnpy/trader/uiBasicWidget.py similarity index 99% rename from trader/uiBasicWidget.py rename to vnpy/trader/uiBasicWidget.py index 8758cb91..595035a9 100644 --- a/trader/uiBasicWidget.py +++ b/vnpy/trader/uiBasicWidget.py @@ -7,9 +7,9 @@ from collections import OrderedDict from PyQt4 import QtGui, QtCore -from eventEngine import * -from vtFunction import * -from vtGateway import * +from vnpy.trader.vtEvent import * +from vnpy.trader.vtFunction import * +from vnpy.trader.vtGateway import * import vtText @@ -18,7 +18,7 @@ def loadFont(): """载入字体设置""" try: - from trader.vtGlobal import globalSetting + from vnpy.trader.vtGlobal import globalSetting family = globalSetting['fontFamily'] size = globalSetting['fontSize'] font = QtGui.QFont(family, size) diff --git a/trader/uiMainWindow.py b/vnpy/trader/uiMainWindow.py similarity index 95% rename from trader/uiMainWindow.py rename to vnpy/trader/uiMainWindow.py index 46cbb201..85783f31 100644 --- a/trader/uiMainWindow.py +++ b/vnpy/trader/uiMainWindow.py @@ -5,10 +5,10 @@ import psutil -from trader.app.ctaStrategy.uiCtaWidget import CtaEngineManager -from trader.app.dataRecorder.uiDrWidget import DrEngineManager -from trader.app.riskManager.uiRmWidget import RmEngineManager -from uiBasicWidget import * +from vnpy.trader.app.ctaStrategy.uiCtaWidget import CtaEngineManager +from vnpy.trader.app.dataRecorder.uiDrWidget import DrEngineManager +from vnpy.trader.app.riskManager.uiRmWidget import RmEngineManager +from vnpy.trader.uiBasicWidget import * ######################################################################## class MainWindow(QtGui.QMainWindow): @@ -141,8 +141,8 @@ class MainWindow(QtGui.QMainWindow): ctaAction = QtGui.QAction(u'CTA策略', self) ctaAction.triggered.connect(self.openCta) - #monitorAction = QtGui.QAction(u'周期监控', self) - #monitorAction.triggered.connect(self.openMonitor) + spreadAction = QtGui.QAction(u'套利交易', self) + spreadAction.triggered.connect(self.openSpread) #kChart = QtGui.QAction(u'K线图', self) #kChart.triggered.connect(self.openKChart) @@ -197,7 +197,7 @@ class MainWindow(QtGui.QMainWindow): # 算法相关 algoMenu = menubar.addMenu(u'算法') algoMenu.addAction(ctaAction) - #algoMenu.addAction(monitorAction) + algoMenu.addAction(spreadAction) #algoMenu.addAction(kChart) # 帮助 @@ -484,7 +484,7 @@ class MainWindow(QtGui.QMainWindow): except KeyError: self.widgetDict['drM'] = DrEngineManager(self.mainEngine.drEngine, self.eventEngine) self.widgetDict['drM'].showMaximized() - + #---------------------------------------------------------------------- def openRm(self): """打开组件""" @@ -492,8 +492,23 @@ class MainWindow(QtGui.QMainWindow): self.widgetDict['rmM'].show() except KeyError: self.widgetDict['rmM'] = RmEngineManager(self.mainEngine.rmEngine, self.eventEngine) - self.widgetDict['rmM'].show() - + self.widgetDict['rmM'].show() + + # ---------------------------------------------------------------------- + def openSpread(self): + """打开SpreadTrade组件""" + + if 'spread' in self.widgetDict: + self.widgetDict['spread'].show() + return + + try: + from vnpy.trader.app.ctaStrategy.uiSpreadTrade import SpreadTradeManager + self.widgetDict['spread'] = SpreadTradeManager(self.mainEngine.ctaEngine, self.eventEngine) + self.widgetDict['spread'].show() + except Exception as ex: + return + #---------------------------------------------------------------------- def closeEvent(self, event): """关闭事件""" diff --git a/trader/utilSinaClient.py b/vnpy/trader/utilSinaClient.py similarity index 99% rename from trader/utilSinaClient.py rename to vnpy/trader/utilSinaClient.py index d9e609fa..cfba904b 100644 --- a/trader/utilSinaClient.py +++ b/vnpy/trader/utilSinaClient.py @@ -6,7 +6,7 @@ from __future__ import print_function import requests import execjs from datetime import datetime, timedelta -from trader.app.ctaStrategy.ctaBase import CtaBarData, CtaTickData +from vnpy.trader.app.ctaStrategy.ctaBase import CtaBarData, CtaTickData class UtilSinaClient(object): diff --git a/trader/vnpy.ico b/vnpy/trader/vnpy.ico similarity index 100% rename from trader/vnpy.ico rename to vnpy/trader/vnpy.ico diff --git a/trader/vtClient.py b/vnpy/trader/vtClient.py similarity index 96% rename from trader/vtClient.py rename to vnpy/trader/vtClient.py index e0bb2f2a..d1ebc83a 100644 --- a/trader/vtClient.py +++ b/vnpy/trader/vtClient.py @@ -4,11 +4,11 @@ import ctypes import platform import sys -from vnrpc import RpcClient +from vnpy.rpc import RpcClient -from trader.app.ctaStrategy.ctaEngine import CtaEngine -from trader.app.dataRecorder.drEngine import DrEngine -from trader.app.riskManager.rmEngine import RmEngine +from vnpy.trader.app.ctaStrategy.ctaEngine import CtaEngine +from vnpy.trader.app.dataRecorder.drEngine import DrEngine +from vnpy.trader.app.riskManager.rmEngine import RmEngine from uiMainWindow import * # 文件路径名 @@ -175,7 +175,7 @@ def main(): # 设置Qt的皮肤 try: - from trader.vtGlobal import globalSetting + from vnpy.trader.vtGlobal import globalSetting if globalSetting['darkStyle']: import qdarkstyle diff --git a/trader/vtConstant.py b/vnpy/trader/vtConstant.py similarity index 84% rename from trader/vtConstant.py rename to vnpy/trader/vtConstant.py index b0a5b9b5..95c5abd7 100644 --- a/trader/vtConstant.py +++ b/vnpy/trader/vtConstant.py @@ -1,6 +1,6 @@ # encoding: UTF-8 -print 'laoding vntrader.vtConstant' +print 'laoding vnpy.trader.vtConstant' # 默认空值 EMPTY_STRING = '' @@ -14,7 +14,7 @@ COLOR_BLUE = u'Blue' # 下降K线 COLOR_EQUAL = u'Equal' # 平K线 -from language import constant +from vnpy.trader.language import constant # 将常量定义添加到vtConstant.py的局部字典中 d = locals() diff --git a/trader/vtEngine.py b/vnpy/trader/vtEngine.py similarity index 90% rename from trader/vtEngine.py rename to vnpy/trader/vtEngine.py index ad713c37..dff363c1 100644 --- a/trader/vtEngine.py +++ b/vnpy/trader/vtEngine.py @@ -6,13 +6,13 @@ from collections import OrderedDict from pymongo import MongoClient from pymongo.errors import ConnectionFailure -from gateway import GATEWAY_DICT -from language import text -from trader.app.ctaStrategy.ctaEngine import CtaEngine -from trader.app.dataRecorder.drEngine import DrEngine -from trader.app.riskManager.rmEngine import RmEngine -from vtFunction import loadMongoSetting -from vtGateway import * +from vnpy.trader.vtGlobal import globalSetting +from vnpy.trader.language import text +from vnpy.trader.app.ctaStrategy.ctaEngine import CtaEngine +from vnpy.trader.app.dataRecorder.drEngine import DrEngine +from vnpy.trader.app.riskManager.rmEngine import RmEngine +from vnpy.trader.vtFunction import loadMongoSetting +from vnpy.trader.vtGateway import * ######################################################################## @@ -34,42 +34,45 @@ class MainEngine(object): # MongoDB数据库相关 self.dbClient = None # MongoDB客户端对象 - - # 调用一个个初始化函数 - self.initGateway() + + # 接口实例 + self.gatewayDict = OrderedDict() + self.gatewayDetailList = [] + + # 应用模块实例 + self.appDict = OrderedDict() + self.appDetailList = [] # 扩展模块 self.ctaEngine = CtaEngine(self, self.eventEngine) # cta策略运行模块 self.drEngine = DrEngine(self, self.eventEngine) # 数据记录模块 self.rmEngine = RmEngine(self, self.eventEngine) # 风险管理模块 - - #---------------------------------------------------------------------- - def initGateway(self): - """初始化接口对象""" - # 用来保存接口对象的字典 - self.gatewayDict = OrderedDict() - # 初始化的接口模块，以及其指定的名称,CTP是模块，value，是该模块下的多个连接配置文件,如 CTP_JR_connect.json - init_gateway_names = {'CTP': ['CTP', 'CTP_Prod', 'CTP_Post', 'CTP_EBF', 'CTP_JR', 'CTP_JR2']} + # ---------------------------------------------------------------------- + def addGateway(self, gatewayModule,gateway_name=EMPTY_STRING): + """添加底层接口""" + # 是否使用指定的gateway_name + if gateway_name==EMPTY_STRING: + gatewayName = gatewayModule.gatewayName + else: + gatewayName = gateway_name - # 遍历接口字典并自动创建所有的接口对象 - for gatewayModule in GATEWAY_DICT.values(): - try: - if gatewayModule.gatewayName not in init_gateway_names: - continue + # 创建接口实例 + self.gatewayDict[gatewayName] = gatewayModule.gatewayClass(self.eventEngine, + gatewayName) - for gw_name in init_gateway_names[gatewayModule.gatewayName]: - self.addGateway(gatewayModule.gateway,gw_name) - if gatewayModule.gatewayQryEnabled: - self.gatewayDict[gw_name].setQryEnabled(True) - except Exception, e: - print e + # 设置接口轮询 + if gatewayModule.gatewayQryEnabled: + self.gatewayDict[gatewayName].setQryEnabled(gatewayModule.gatewayQryEnabled) + + # 保存接口详细信息 + d = { + 'gatewayName': gatewayModule.gatewayName, + 'gatewayDisplayName': gatewayModule.gatewayDisplayName, + 'gatewayType': gatewayModule.gatewayType + } + self.gatewayDetailList.append(d) - #---------------------------------------------------------------------- - def addGateway(self, gateway, gatewayName=None): - """创建接口""" - self.gatewayDict[gatewayName] = gateway(self.eventEngine, gatewayName) - # ---------------------------------------------------------------------- def connect(self, gatewayName): """连接特定名称的接口""" diff --git a/trader/eventType.py b/vnpy/trader/vtEvent.py similarity index 67% rename from trader/eventType.py rename to vnpy/trader/vtEvent.py index 2d0d774c..7ce76d9c 100644 --- a/trader/eventType.py +++ b/vnpy/trader/vtEvent.py @@ -11,6 +11,8 @@ 建议将所有的常量定义放在该文件中，便于检查是否存在重复的现象。 ''' +from vnpy.event import * + # 系统相关 EVENT_TIMER = 'eTimer' # 计时器事件，每隔1秒发送一次 EVENT_LOG = 'eLog' # 日志事件，全局通用 @@ -38,32 +40,3 @@ EVENT_DATARECORDER_LOG = 'eDataRecorderLog' # 行情记录日志更新事件 # Wind接口相关 EVENT_WIND_CONNECTREQ = 'eWindConnectReq' # Wind接口请求连接事件 - - -#---------------------------------------------------------------------- -def test(): - """检查是否存在内容重复的常量定义""" - check_dict = {} - - global_dict = globals() - - for key, value in global_dict.items(): - if '__' not in key: # 不检查python内置对象 - if value in check_dict: - check_dict[value].append(key) - else: - check_dict[value] = [key] - - for key, value in check_dict.items(): - if len(value)>1: - print u'存在重复的常量定义:' + str(key) - for name in value: - print name - print '' - - print u'测试完毕' - - -# 直接运行脚本可以进行测试 -if __name__ == '__main__': - test() \ No newline at end of file diff --git a/trader/vtFunction.py b/vnpy/trader/vtFunction.py similarity index 96% rename from trader/vtFunction.py rename to vnpy/trader/vtFunction.py index c5bb3e79..b33335b4 100644 --- a/trader/vtFunction.py +++ b/vnpy/trader/vtFunction.py @@ -33,7 +33,7 @@ def loadMongoSetting(): """载入MongoDB数据库的配置""" try: - from trader.vtGlobal import globalSetting + from vnpy.trader.vtGlobal import globalSetting host = globalSetting['mongoHost'] port = globalSetting['mongoPort'] logging = globalSetting['mongoLogging'] diff --git a/vnpy/trader/vtGateway.py b/vnpy/trader/vtGateway.py new file mode 100644 index 00000000..3e52c57a --- /dev/null +++ b/vnpy/trader/vtGateway.py @@ -0,0 +1,166 @@ +# encoding: UTF-8 + +import time +from datetime import datetime + +from vnpy.trader.vtEvent import * +from vnpy.trader.vtConstant import * +from vnpy.trader.vtObject import * + +import logging + + +######################################################################## +class VtGateway(object): + """交易接口""" + + # ---------------------------------------------------------------------- + def __init__(self, eventEngine, gatewayName): + """Constructor""" + self.eventEngine = eventEngine + self.gatewayName = gatewayName + + # ---------------------------------------------------------------------- + def onTick(self, tick): + """市场行情推送""" + # 通用事件 + event1 = Event(type_=EVENT_TICK) + event1.dict_['data'] = tick + self.eventEngine.put(event1) + + # 特定合约代码的事件 + event2 = Event(type_=EVENT_TICK+tick.vtSymbol) + event2.dict_['data'] = tick + self.eventEngine.put(event2) + + # ---------------------------------------------------------------------- + def onTrade(self, trade): + """成交信息推送""" + # 通用事件 + event1 = Event(type_=EVENT_TRADE) + event1.dict_['data'] = trade + self.eventEngine.put(event1) + + # 特定合约的成交事件 + event2 = Event(type_=EVENT_TRADE+trade.vtSymbol) + event2.dict_['data'] = trade + self.eventEngine.put(event2) + + # ---------------------------------------------------------------------- + def onOrder(self, order): + """订单变化推送""" + # 通用事件 + event1 = Event(type_=EVENT_ORDER) + event1.dict_['data'] = order + self.eventEngine.put(event1) + + # 特定订单编号的事件 + event2 = Event(type_=EVENT_ORDER+order.vtOrderID) + event2.dict_['data'] = order + self.eventEngine.put(event2) + + # ---------------------------------------------------------------------- + def onPosition(self, position): + """持仓信息推送""" + # 通用事件 + event1 = Event(type_=EVENT_POSITION) + event1.dict_['data'] = position + self.eventEngine.put(event1) + + # 特定合约代码的事件 + event2 = Event(type_=EVENT_POSITION+position.vtSymbol) + event2.dict_['data'] = position + self.eventEngine.put(event2) + + # ---------------------------------------------------------------------- + def onAccount(self, account): + """账户信息推送""" + # 通用事件 + event1 = Event(type_=EVENT_ACCOUNT) + event1.dict_['data'] = account + self.eventEngine.put(event1) + + # 特定合约代码的事件 + event2 = Event(type_=EVENT_ACCOUNT+account.vtAccountID) + event2.dict_['data'] = account + self.eventEngine.put(event2) + + # ---------------------------------------------------------------------- + def onError(self, error): + """错误信息推送""" + # 通用事件 + event1 = Event(type_=EVENT_ERROR) + event1.dict_['data'] = error + self.eventEngine.put(event1) + + logMsg = u'{0}:[{1}]:{2}'.format(error.gatewayName, error.errorID,error.errorMsg ) + # 写入本地log日志 + logging.info(logMsg) + + # ---------------------------------------------------------------------- + def onLog(self, log): + """日志推送""" + # 通用事件 + event1 = Event(type_=EVENT_LOG) + event1.dict_['data'] = log + self.eventEngine.put(event1) + + # 写入本地log日志 + logging.info(log.logContent) + + + # ---------------------------------------------------------------------- + def onContract(self, contract): + """合约基础信息推送""" + # 通用事件 + event1 = Event(type_=EVENT_CONTRACT) + event1.dict_['data'] = contract + self.eventEngine.put(event1) + + # ---------------------------------------------------------------------- + def connect(self): + """连接""" + pass + + # ---------------------------------------------------------------------- + def subscribe(self, subscribeReq): + """订阅行情""" + pass + + # ---------------------------------------------------------------------- + def sendOrder(self, orderReq): + """发单""" + pass + + # ---------------------------------------------------------------------- + def cancelOrder(self, cancelOrderReq): + """撤单""" + pass + + # ---------------------------------------------------------------------- + def qryAccount(self): + """查询账户资金""" + pass + + # ---------------------------------------------------------------------- + def qryPosition(self): + """查询持仓""" + pass + + def checkStatus(self): + """查询状态""" + return True + + # ---------------------------------------------------------------------- + def close(self): + """关闭""" + pass + + + + + + + + + diff --git a/trader/vtGlobal.py b/vnpy/trader/vtGlobal.py similarity index 99% rename from trader/vtGlobal.py rename to vnpy/trader/vtGlobal.py index 9edf5a65..0cab8782 100644 --- a/trader/vtGlobal.py +++ b/vnpy/trader/vtGlobal.py @@ -8,7 +8,6 @@ import os import traceback import json - globalSetting = {} # 全局配置字典 settingFileName = "VT_setting.json" diff --git a/trader/vtMain.py b/vnpy/trader/vtMain.py similarity index 72% rename from trader/vtMain.py rename to vnpy/trader/vtMain.py index 198959d1..4de448d1 100644 --- a/trader/vtMain.py +++ b/vnpy/trader/vtMain.py @@ -6,8 +6,13 @@ import ctypes import platform import vtPath -from vtEngine import MainEngine -from uiMainWindow import * +from vnpy.trader.vtEngine import MainEngine +from vnpy.trader.uiMainWindow import * +# 加载底层接口 +from vnpy.trader.gateway import ctpGateway + +# 初始化的接口模块，以及其指定的名称,CTP是模块，value，是该模块下的多个连接配置文件,如 CTP_JR_connect.json +init_gateway_names = {'CTP': ['CTP', 'CTP_Prod', 'CTP_Post', 'CTP_EBF', 'CTP_JR', 'CTP_JR2']} # 文件路径名 path = os.path.abspath(os.path.dirname(__file__)) @@ -35,7 +40,7 @@ def main(): # 设置Qt的皮肤 try: - from trader.vtGlobal import globalSetting + from vnpy.trader.vtGlobal import globalSetting if globalSetting['darkStyle']: import qdarkstyle app.setStyleSheet(qdarkstyle.load_stylesheet(pyside=False)) @@ -45,6 +50,10 @@ def main(): # 初始化主引擎和主窗口对象 mainEngine = MainEngine() + + for gw_name in init_gateway_names['CTP']: + mainEngine.addGateway(ctpGateway, gw_name) + mainWindow = MainWindow(mainEngine, mainEngine.eventEngine) mainWindow.showMaximized() diff --git a/trader/vtPath.py b/vnpy/trader/vtPath.py similarity index 100% rename from trader/vtPath.py rename to vnpy/trader/vtPath.py diff --git a/trader/vtServer.py b/vnpy/trader/vtServer.py similarity index 99% rename from trader/vtServer.py rename to vnpy/trader/vtServer.py index 16698105..7ba5f1ed 100644 --- a/trader/vtServer.py +++ b/vnpy/trader/vtServer.py @@ -8,7 +8,7 @@ from time import sleep from threading import Thread import vtPath -import eventType +import vtEvent from vnrpc import RpcServer from vtEngine import MainEngine diff --git a/trader/vtText.py b/vnpy/trader/vtText.py similarity index 100% rename from trader/vtText.py rename to vnpy/trader/vtText.py