[bug fix]

vnpy/app/account_recorder/README.md

@@ -31,3 +31,13 @@
         }
       }
     }
+
+# 创建mongodb 索引，提高性能
+
+db.today_orders.createIndex({'account_id':1,'vt_symbol':1,'sys_orderid':1,'order_date':1,'holder_id':1},{'name':'accountid_vtsymbol_sysorderid_order_date_holder_id','unique':true})
+db.history_orders.createIndex({'account_id':1,'vt_symbol':1,'sys_orderid':1,'order_date':1,'holder_id':1},{'name':'history_accountid_vtsymbol_sysorderid_order_date_holder_id'})
+db.today_trades.createIndex({'account_id':1,'vt_symbol':1,'vt_tradeid':1,'trade_date':1,'holder_id':1},{'name':'accountid_vtSymbol_vt_tradeid_trade_date_holder_id','unique':true})
+db.history_trades.createIndex({'account_id':1,'vt_symbol':1,'vt_tradeid':1,'trade_date':1,'holder_id':1},{'name':'accountid_vtSymbol_vt_tradeid_trade_date_holder_id'})
+db.today_positions.createIndex({'account_id':1,'vt_symbol':1,'direction':1,'trade_date':1,'holder_id':1},{'name':'accountid_vtsymbol_direction_trade_date_holder_id'})
+db.today_strategy_pos.createIndex({'account_id':1,'strategy_group':1,'strategy_name':1,'date':1},{'name':'accountid_strategy_group_strategy_name_date'})
+db.strategy_snapshot.createIndex({'account_id':1,'strategy_group':1,'strategy':1,'guid':1},{'name':'accountid_strategy_name_guid'})

vnpy/app/algo_trading/template.py

@@ -117,7 +117,11 @@ class AlgoTemplate:
         offset: Offset = Offset.NONE
     ):
         """"""
-        msg = f"委托买入{vt_symbol}：{volume}@{price}"
+        if offset in [Offset.CLOSE]:
+            msg = f"委托买平{vt_symbol}：{volume}@{price}"
+        else:
+            msg = f"委托买入{vt_symbol}：{volume}@{price}"
+
         self.write_log(msg)
 
         return self.algo_engine.send_order(
@@ -139,7 +143,11 @@ class AlgoTemplate:
         offset: Offset = Offset.NONE
     ):
         """"""
-        msg = f"委托卖出{vt_symbol}：{volume}@{price}"
+        if offset in [Offset.NONE, Offset.CLOSE]:
+            msg = f"委托卖出{vt_symbol}：{volume}@{price}"
+        else:
+            msg = f"委托开空{vt_symbol}：{volume}@{price}"
+
         self.write_log(msg)
 
         return self.algo_engine.send_order(

vnpy/app/cta_stock/engine.py

@@ -234,7 +234,6 @@ class CtaEngine(BaseEngine):
                     # 比对仓位，使用上述获取得持仓信息，不用重复获取
                     self.compare_pos(strategy_pos_list=copy(all_strategy_pos))
 
-
                 # 推送到事件
                 self.put_all_strategy_pos_event(all_strategy_pos)
 

vnpy/app/cta_strategy_pro/template.py

@@ -804,8 +804,10 @@ class CtaProTemplate(CtaTemplate):
         self.display_grids()
 
         if not self.backtesting:
-            pos_symbols.add(self.vt_symbol)
-            pos_symbols.add(self.idx_symbol)
+            if self.vt_symbol not in pos_symbols:
+                pos_symbols.add(self.vt_symbol)
+            if self.idx_symbol not in pos_symbols:
+                pos_symbols.add(self.idx_symbol)
             # 如果持仓的合约，不在self.vt_symbol中，需要订阅
             for symbol in list(pos_symbols):
                 self.write_log(f'新增订阅合约:{symbol}')
@@ -1807,7 +1809,7 @@ class CtaProFutureTemplate(CtaProTemplate):
 
         # 当前没有昨仓,采用锁仓处理
         else:
-            self.write_log(u'昨仓多单:{}不满足条件,创建对锁仓'.format(grid_pos.longYd))
+            self.write_log(u'昨仓多单:{}不满足条件,创建对锁仓'.format(grid_pos.long_yd))
             dist_record = dict()
             dist_record['datetime'] = self.cur_datetime
             dist_record['symbol'] = sell_symbol
@@ -1907,7 +1909,7 @@ class CtaProFutureTemplate(CtaProTemplate):
 
         # 当前没有昨仓,采用锁仓处理
         else:
-            self.write_log(u'昨仓空单:{}不满足条件,建立对锁仓'.format(grid_pos.shortYd))
+            self.write_log(u'昨仓空单:{}不满足条件,建立对锁仓'.format(grid_pos.short_yd))
             dist_record = dict()
             dist_record['datetime'] = self.cur_datetime
             dist_record['symbol'] = cover_symbol

vnpy/gateway/ctp/ctp_gateway.py

@@ -1875,7 +1875,7 @@ class TickCombiner(object):
             ratio_tick.date = tick.date
             ratio_tick.time = tick.time
 
-            # 比率tick
+            # 比率tick = (腿1 * 腿1 手数 / 腿2价格 * 腿2手数) 百分比
             ratio_tick.ask_price_1 = 100 * self.last_leg1_tick.ask_price_1 * self.leg1_ratio \
                                      / (self.last_leg2_tick.bid_price_1 * self.leg2_ratio)  # noqa
             ratio_tick.ask_price_1 = round_to(