[update] 兼容各类接口得订单逻辑;升级天勤

README.md

@@ -10,6 +10,10 @@ github 链接： https://github.com/msincenselee/vnpy
 gitee  链接： https://gitee.com/vnpy2/vnpy
 
 ###Fork版本主要改进如下
+19、期权CTA引擎
+
+    -vnpy.app.cta_option
+        + 支持股票ETF期权的CTA策略
 
 18、CTA股票选股引擎
 
@@ -162,12 +166,14 @@ gitee  链接： https://gitee.com/vnpy2/vnpy
 QQ/Wechat：28888502
 
 系列在线课程
-
+    
+    2022 期货CTA课程： http://www.uquant.org/course/49
+    
     2021 股票CTA实战课程：http://www.uquant.org/course/49
 
     2021 期货缠论高级课程：http://www.uquant.org/course/48
 
-    2021 数字货币CTA课程：http://www.uquant.org/course/46
+    2021 数字CTA课程：http://www.uquant.org/course/46
 
     2020 期货套利课程：http://www.uquant.org/course/43
 

prod/Matrix08/win_start.bat

@@ -0,0 +1,6 @@
+:: 启动脚本
+:: 进入盘、目录
+c:
+cd C:\GitHub\msincenselee_vnpy\prod\Matrix08
+:: 启动无界面程序
+C:\Users\incen\AppData\Local\conda\conda\envs\py37\python run_service.py

prod/jobs/refill_tq_future_ticks.py

@@ -11,7 +11,7 @@ import pandas as pd
 from contextlib import closing
 from datetime import datetime, timedelta
 import argparse
-from tqsdk import TqApi, TqSim
+from tqsdk import TqApi, TqSim,TqAuth
 
 vnpy_root = os.path.abspath(os.path.join(os.path.dirname(__file__), '..', '..'))
 if vnpy_root not in sys.path:
@@ -21,7 +21,7 @@ os.environ["VNPY_TESTING"] = "1"
 
 from vnpy.data.tdx.tdx_future_data import get_future_contracts, Exchange
 from vnpy.trader.utility import get_csv_last_dt, get_underlying_symbol, extract_vt_symbol
-from vnpy.data.tq.downloader import DataDownloader
+from vnpy.data.tq.downloader import DataDownloader,get_account_config
 
 if __name__ == "__main__":
     if len(sys.argv) <= 1:
@@ -36,9 +36,9 @@ if __name__ == "__main__":
     if len(args.symbol) == 0:
         print('下载合约未设定 参数 -s rb2010')
         os._exit(0)
-
+    auth_dict = get_account_config()
     # 开始下载(使用快期的免费行情websocket)
-    api = TqApi(account=TqSim(), url="wss://u.shinnytech.com/t/md/front/mobile")
+    api = TqApi(account=TqSim(), auth=TqAuth(auth_dict['user_name'],auth_dict['password'])) #  url="wss://u.shinnytech.com/t/md/front/mobile"
     download_tasks = {}
     begin_date = datetime.strptime(args.begin, '%Y%m%d')
     end_date = datetime.strptime(args.end, '%Y%m%d')

vnpy/app/cta_option/engine.py

@@ -412,6 +412,10 @@ class CtaOptionEngine(BaseEngine):
         if not strategy:
             if order.vt_orderid in self.internal_orderids:
                 self.write_log(f'委托更新 => 内部仓位: {print_dict(order.__dict__)}')
+                if order.sys_orderid and order.sys_orderid != order.orderid and order.sys_orderid not in self.internal_orderids:
+                    self.write_log(f'添加系统编号 {order.sys_orderid}=> 内部订单')
+                    self.internal_orderids.add(order.sys_orderid)
+
                 # self.write_log(f'当前策略侦听委托单:{list(self.orderid_strategy_map.keys())}')
                 if order.type != OrderType.STOP:
                     if order.status in [Status.ALLTRADED, Status.CANCELLED, Status.REJECTED]:
@@ -425,6 +429,9 @@ class CtaOptionEngine(BaseEngine):
                 self.write_log(f'委托更新 => 系统账号 => {print_dict(order.__dict__)}')
             return
         self.write_log(f'委托更新:{order.vt_orderid} => 策略:{strategy.strategy_name}')
+        if len(order.sys_orderid) > 0 and  order.sys_orderid not in self.orderid_strategy_map:
+            self.write_log(f'登记系统委托号 {order.sys_orderid} => 策略：{strategy.strategy_name} 映射')
+
         # Remove vt_orderid if order is no longer active.
         vt_orderids = self.strategy_orderid_map[strategy.strategy_name]
         if order.vt_orderid in vt_orderids and not order.is_active():
@@ -468,7 +475,7 @@ class CtaOptionEngine(BaseEngine):
         if not strategy:
 
             # 属于内部单子
-            if trade.vt_orderid in self.internal_orderids:
+            if trade.vt_orderid in self.internal_orderids or trade.sys_orderid in self.internal_orderids:
                 cur_pos = self.net_pos_holding.get(trade.vt_symbol, 0)
                 if trade.direction == Direction.LONG:
                     new_pos = cur_pos + trade.volume
@@ -478,13 +485,18 @@ class CtaOptionEngine(BaseEngine):
                 self.write_log(f'成交单:trade:{print_dict(trade.__dict__)}')
                 self.net_pos_holding.update({trade.vt_symbol: new_pos})
                 self.save_internal_data()
+                return
+
+            if trade.sys_orderid and trade.sys_orderid in self.orderid_strategy_map:
+                self.write_log(f'使用系统委托单号{trade.sys_orderid} => 策略')
+                strategy = self.orderid_strategy_map.get(trade.sys_orderid, None)
 
             # 可能是其他实例得
-            else:
+            if not strategy:
                 self.write_log(f'成交更新 => 没有对应的策略设置:trade:{trade.__dict__}')
                 self.write_log(f'成交更新 => 当前策略侦听委托单:{list(self.orderid_strategy_map.keys())}')
                 self.write_log(f'成交更新 => 当前内部订单清单:{self.internal_orderids}')
-            return
+                return
 
         self.write_log(f'成交更新 =>:{trade.vt_orderid} => 策略:{strategy.strategy_name}')
 

vnpy/app/cta_stock/engine.py

@@ -353,6 +353,11 @@ class CtaEngine(BaseEngine):
             self.write_log(f'当前策略侦听委托单:{list(self.orderid_strategy_map.keys())}')
             return
         self.write_log(f'委托更新:{order.vt_orderid} => 策略:{strategy.strategy_name}')
+
+        if len(order.sys_orderid) > 0 and  order.sys_orderid not in self.orderid_strategy_map:
+            self.write_log(f'登记系统委托号 {order.sys_orderid} => 策略：{strategy.strategy_name} 映射')
+            self.orderid_strategy_map.update({order.sys_orderid: strategy})
+
         # Remove vt_orderid if order is no longer active.
         vt_orderids = self.strategy_orderid_map[strategy.strategy_name]
         if order.vt_orderid in vt_orderids and not order.is_active():
@@ -388,11 +393,16 @@ class CtaEngine(BaseEngine):
 
         strategy = self.orderid_strategy_map.get(trade.vt_orderid, None)
         if not strategy:
-            self.write_log(f'成交单没有对应的策略设置:trade:{trade.__dict__}')
+            if trade.sys_orderid and trade.sys_orderid in self.orderid_strategy_map:
-            self.write_log(f'当前策略侦听委托单:{list(self.orderid_strategy_map.keys())}')
+                self.write_log(f'使用系统委托单号{trade.sys_orderid} => 策略')
-            return
+                strategy = self.orderid_strategy_map.get(trade.sys_orderid, None)
 
-        self.write_log(f'成交更新:{trade.vt_orderid} => 策略:{strategy.strategy_name}')
+            if not strategy:
+                self.write_log(f'成交单没有对应的策略设置:trade:{trade.__dict__}')
+                self.write_log(f'当前策略侦听委托单:{list(self.orderid_strategy_map.keys())}')
+                return
+
+        self.write_log(f'成交更新,本地委托{trade.vt_orderid},系统委托{trade.sys_orderid} => 策略:{strategy.strategy_name}')
 
         # Update strategy pos before calling on_trade method
         # 取消外部干预策略pos，由策略自行完成更新

vnpy/app/cta_strategy_pro/back_testing.py

@@ -425,6 +425,14 @@ class BackTestingEngine(object):
     @lru_cache()
     def get_size(self, vt_symbol: str):
         """查询合约的size"""
+        if vt_symbol not in self.size:
+            symbol, exchange = extract_vt_symbol(vt_symbol)
+            if symbol in self.size:
+                return self.size.get(symbol)
+            else:
+                underly_symbol = get_underlying_symbol(symbol).upper()
+                return self.size.get(f'{underly_symbol}99',10)
+
         return self.size.get(vt_symbol, 10)
 
     def set_price(self, vt_symbol: str, price: float):
@@ -440,11 +448,16 @@ class BackTestingEngine(object):
         if rate >= 0.1:
             self.fix_commission.update({vt_symbol: rate})
 
+    @lru_cache()
     def get_commission_rate(self, vt_symbol: str):
         """ 获取保证金比例，缺省万分之一"""
         if vt_symbol not in self.commission_rate:
             symbol, exchange = extract_vt_symbol(vt_symbol)
-            return self.commission_rate.get(symbol, float(0.0001))
+            if symbol in self.commission_rate:
+                return self.commission_rate.get(symbol)
+            else:
+                underly_symbol = get_underlying_symbol(symbol).upper()
+                return self.commission_rate.get(f'{underly_symbol}99', float(0.0001))
         return self.commission_rate.get(vt_symbol, float(0.0001))
 
     def get_fix_commission(self, vt_symbol: str):
@@ -887,6 +900,16 @@ class BackTestingEngine(object):
             self.write_log(f"新增订阅指数合约:{setting['idx_symbol']}")
             self.subscribe_symbol(strategy_name=strategy_name, vt_symbol=setting['idx_symbol'])
 
+        # 如果act_vt_symbol不再列表中，需要订阅
+        if 'act_vt_symbol' in setting.keys() and setting['act_vt_symbol'] not in self.symbol_strategy_map.keys():
+            self.write_log(f"新增订阅act_vt_symbol合约:{setting['act_vt_symbol']}")
+            self.subscribe_symbol(strategy_name=strategy_name, vt_symbol=setting['act_vt_symbol'])
+
+        # 如果pas_vt_symbol不再列表中，需要订阅
+        if 'pas_vt_symbol' in setting.keys() and setting['pas_vt_symbol'] not in self.symbol_strategy_map.keys():
+            self.write_log(f"新增订阅pas_vt_symbol合约:{setting['pas_vt_symbol']}")
+            self.subscribe_symbol(strategy_name=strategy_name, vt_symbol=setting['pas_vt_symbol'])
+
         if strategy_setting.get('auto_init', False):
             self.write_log(u'自动初始化策略')
             strategy.on_init()
@@ -1264,8 +1287,8 @@ class BackTestingEngine(object):
                                                  target=self.get_price_tick(vt_symbol)) - self.get_price_tick(
                     vt_symbol)  # 在当前时间点前发出的卖出委托可能的最优成交价
             else:
-                buy_cross_price = tick.last_price
+                buy_cross_price = tick.last_price if not tick.ask_price_1 else tick.ask_price_1
-                sell_cross_price = tick.last_price
+                sell_cross_price = tick.last_price if not tick.bid_price_1 else tick.bid_price_1
                 buy_best_cross_price = tick.last_price
                 sell_best_cross_price = tick.last_price
 
@@ -2317,6 +2340,8 @@ class BackTestingEngine(object):
 
         result_info.update({u'Sharpe Ratio': d['sharpe']})
         self.output(u'Sharpe Ratio：\t%s' % format_number(d['sharpe']))
+        result_file = os.path.abspath(os.path.join(self.get_logs_path(), '{}_result.csv'.format(self.test_name)))
+        self.append_data(result_file, result_info)
 
         # 保存回测结果/交易记录/日线统计 至数据库
         self.save_result_to_mongo(result_info)

vnpy/app/cta_strategy_pro/template_spread.py

@@ -419,9 +419,9 @@ class CtaSpreadTemplate(CtaTemplate):
         if order_info is not None:
             # 委托单记录 =》 找到 Grid
             grid = order_info.get('grid')
-            if grid and order_info.get('offset', None) == Offset.OPEN:
+            if grid :
                 # 更新平均开仓/平仓得价格，数量
-                self.update_grid_trade(trade, grid)
+                self.update_grid_trade(order_info.get('offset', None), trade, grid)
 
     def update_pos(self, price, volume, operation, dt):
         """更新持仓组件得pos"""
@@ -535,14 +535,14 @@ class CtaSpreadTemplate(CtaTemplate):
         """修正order被拆单得情况"""
         order_info = self.active_orders.get(order.vt_orderid, None)
         if order_info:
-            volume = order_info.get('volume')
+            volume = order_info.get('volume')  # 原始委托数量
-            traded = order_info.get('traded')
+            traded = order_info.get('traded')  # 原始委托中，已成交的数量
             if volume != order.volume:
-                self.write_log(f'调整{order.vt_orderid} {order.vt_symbol} 委托:{volume}=>{order.volume}')
+                self.write_log(f'更新未完成订单{order.vt_orderid} {order.vt_symbol} 的委托数量:{volume}=>{order.volume}')
                 order_info.update({'volume': order.volume})
             if traded != order.traded:
-                self.write_log(f'{order.vt_orderid} {order.vt_symbol} 已成交 :{traded}=>{traded + order.traded}')
+                self.write_log(f'更新未完成订单{order.vt_orderid} {order.vt_symbol} 的已成交数量 :{traded}=>{traded + order.traded}')
-                order_info.update({'volume': traded + order.traded})
+                order_info.update({'traded': traded + order.traded})
 
     def on_order(self, order: OrderData):
         """报单更新"""
@@ -582,9 +582,9 @@ class CtaSpreadTemplate(CtaTemplate):
         else:
             self.write_error(u'委托单{}不在策略的未完成订单列表中:{}'.format(order.vt_orderid, self.active_orders))
 
-    def update_grid_trade(self, trade: TradeData, grid: CtaGrid):
+    def update_grid_trade(self, offset: Offset, trade: TradeData, grid: CtaGrid):
         """更新网格内，主动腿/被动腿得开平仓信息"""
-        if trade.offset == Offset.OPEN:
+        if offset == Offset.OPEN:
             # 更新开仓均价/数量
             if trade.vt_symbol == self.act_vt_symbol:
                 opened_price = grid.snapshot.get('act_open_price', 0)
@@ -660,7 +660,7 @@ class CtaSpreadTemplate(CtaTemplate):
                 grid.traded_volume = 0
 
                 # 平仓完毕（cover， sell）
-                if order.offset != Offset.OPEN:
+                if order_info.get("offset", None) != Offset.OPEN:
                     grid.open_status = False
                     grid.close_status = True
 

vnpy/component/cta_line_bar.py

@@ -2496,7 +2496,10 @@ class CtaLineBar(object):
     def __count_ama(self):
         """计算K线的卡夫曼自适应AMA1
         如何测量价格变动的速率。
-    采用的方法是，在一定的周期内，计算每个周期价格的变动的累加，用整个周期的总体价格变动除以每个周期价格变动的累加，我们采用这个数字作为价格变化的速率。如果股票持续上涨或下跌，那么变动的速率就是1；如果股票在一定周期内涨跌的幅度为0，那么价格的变动速率就是0。变动速率为1，对应的最快速的均线－2日的EMA；变动速率为0 ，则对应最慢速的均线－30日EMA。
+    采用的方法是，在一定的周期内，计算每个周期价格的变动的累加，用整个周期的总体价格变动除以每个周期价格变动的累加，
+        我们采用这个数字作为价格变化的速率。如果股票持续上涨或下跌，那么变动的速率就是1；
+        如果股票在一定周期内涨跌的幅度为0，那么价格的变动速率就是0。变动速率为1，
+        对应的最快速的均线－2日的EMA；变动速率为0 ，则对应最慢速的均线－30日EMA。
     以通达信软件的公式为例（其他软件也可以用）：
     每个周期价格变动的累加:=sum(abs(close-ref(close,1)),n);
     整个周期价格的总体变动:=abs(close-ref(close,n));

vnpy/data/tq/downloader.py

@@ -6,15 +6,31 @@
 # 2.  下载tick时，5档行情都下载
 # 3.  五档行情变量调整适合vnpy的命名方式
 
+import os
 import csv
 from datetime import date, datetime
 from typing import Union, List
-
+import json
 from tqsdk.api import TqApi
 from tqsdk.datetime import _get_trading_day_start_time, _get_trading_day_end_time
 from tqsdk.diff import _get_obj
 from tqsdk.utils import _generate_uuid
 
+def get_account_config():
+    """
+    获取本地账号配置
+    :return:
+    """
+    config_file_name = os.path.abspath(os.path.join(os.path.dirname(__file__), 'auth_account.json'))
+    if os.path.exists(config_file_name):
+        try:
+            with open(config_file_name, mode="r", encoding="UTF-8") as f:
+                data = json.load(f)
+            return data
+        except Exception as ex:
+            pass
+
+    return {}
 
 class DataDownloader:
     """

vnpy/trader/gateway.py

@@ -792,8 +792,6 @@ class LocalOrderManager:
         Keep an order buf before pushing it to gateway.
         """
         self.orders[order.orderid] = copy(order)
-
-
         self.gateway.on_order(order)
 
     def cancel_order(self, req: CancelRequest) -> None: