[update] 兼容各类接口得订单逻辑;升级天勤
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msincenselee
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@ -10,6 +10,10 @@ github 链接： https://github.com/msincenselee/vnpy
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gitee 链接： https://gitee.com/vnpy2/vnpy
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###Fork版本主要改进如下
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19、期权CTA引擎
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-vnpy.app.cta_option
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+ 支持股票ETF期权的CTA策略
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18、CTA股票选股引擎
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@ -163,11 +167,13 @@ QQ/Wechat：28888502
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系列在线课程
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2022 期货CTA课程： http://www.uquant.org/course/49
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2021 股票CTA实战课程：http://www.uquant.org/course/49
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2021 期货缠论高级课程：http://www.uquant.org/course/48
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2021 数字货币CTA课程：http://www.uquant.org/course/46
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2021 数字CTA课程：http://www.uquant.org/course/46
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2020 期货套利课程：http://www.uquant.org/course/43
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6
prod/Matrix08/win_start.bat
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6
prod/Matrix08/win_start.bat
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@ -0,0 +1,6 @@
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:: 启动脚本
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:: 进入盘、目录
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c:
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cd C:\GitHub\msincenselee_vnpy\prod\Matrix08
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:: 启动无界面程序
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C:\Users\incen\AppData\Local\conda\conda\envs\py37\python run_service.py
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@ -11,7 +11,7 @@ import pandas as pd
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from contextlib import closing
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from datetime import datetime, timedelta
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import argparse
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from tqsdk import TqApi, TqSim
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from tqsdk import TqApi, TqSim,TqAuth
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vnpy_root = os.path.abspath(os.path.join(os.path.dirname(__file__), '..', '..'))
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if vnpy_root not in sys.path:
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@ -21,7 +21,7 @@ os.environ["VNPY_TESTING"] = "1"
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from vnpy.data.tdx.tdx_future_data import get_future_contracts, Exchange
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from vnpy.trader.utility import get_csv_last_dt, get_underlying_symbol, extract_vt_symbol
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from vnpy.data.tq.downloader import DataDownloader
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from vnpy.data.tq.downloader import DataDownloader,get_account_config
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if __name__ == "__main__":
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if len(sys.argv) <= 1:
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@ -36,9 +36,9 @@ if __name__ == "__main__":
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if len(args.symbol) == 0:
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print('下载合约未设定 参数 -s rb2010')
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os._exit(0)
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auth_dict = get_account_config()
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# 开始下载(使用快期的免费行情websocket)
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api = TqApi(account=TqSim(), url="wss://u.shinnytech.com/t/md/front/mobile")
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api = TqApi(account=TqSim(), auth=TqAuth(auth_dict['user_name'],auth_dict['password'])) # url="wss://u.shinnytech.com/t/md/front/mobile"
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download_tasks = {}
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begin_date = datetime.strptime(args.begin, '%Y%m%d')
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end_date = datetime.strptime(args.end, '%Y%m%d')
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@ -412,6 +412,10 @@ class CtaOptionEngine(BaseEngine):
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if not strategy:
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if order.vt_orderid in self.internal_orderids:
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self.write_log(f'委托更新 => 内部仓位: {print_dict(order.__dict__)}')
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if order.sys_orderid and order.sys_orderid != order.orderid and order.sys_orderid not in self.internal_orderids:
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self.write_log(f'添加系统编号 {order.sys_orderid}=> 内部订单')
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self.internal_orderids.add(order.sys_orderid)
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# self.write_log(f'当前策略侦听委托单:{list(self.orderid_strategy_map.keys())}')
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if order.type != OrderType.STOP:
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if order.status in [Status.ALLTRADED, Status.CANCELLED, Status.REJECTED]:
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@ -425,6 +429,9 @@ class CtaOptionEngine(BaseEngine):
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self.write_log(f'委托更新 => 系统账号 => {print_dict(order.__dict__)}')
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return
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self.write_log(f'委托更新:{order.vt_orderid} => 策略:{strategy.strategy_name}')
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if len(order.sys_orderid) > 0 and order.sys_orderid not in self.orderid_strategy_map:
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self.write_log(f'登记系统委托号 {order.sys_orderid} => 策略：{strategy.strategy_name} 映射')
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# Remove vt_orderid if order is no longer active.
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vt_orderids = self.strategy_orderid_map[strategy.strategy_name]
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if order.vt_orderid in vt_orderids and not order.is_active():
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@ -468,7 +475,7 @@ class CtaOptionEngine(BaseEngine):
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if not strategy:
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# 属于内部单子
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if trade.vt_orderid in self.internal_orderids:
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if trade.vt_orderid in self.internal_orderids or trade.sys_orderid in self.internal_orderids:
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cur_pos = self.net_pos_holding.get(trade.vt_symbol, 0)
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if trade.direction == Direction.LONG:
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new_pos = cur_pos + trade.volume
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@ -478,13 +485,18 @@ class CtaOptionEngine(BaseEngine):
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self.write_log(f'成交单:trade:{print_dict(trade.__dict__)}')
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self.net_pos_holding.update({trade.vt_symbol: new_pos})
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self.save_internal_data()
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return
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if trade.sys_orderid and trade.sys_orderid in self.orderid_strategy_map:
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self.write_log(f'使用系统委托单号{trade.sys_orderid} => 策略')
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strategy = self.orderid_strategy_map.get(trade.sys_orderid, None)
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# 可能是其他实例得
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else:
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if not strategy:
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self.write_log(f'成交更新 => 没有对应的策略设置:trade:{trade.__dict__}')
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self.write_log(f'成交更新 => 当前策略侦听委托单:{list(self.orderid_strategy_map.keys())}')
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self.write_log(f'成交更新 => 当前内部订单清单:{self.internal_orderids}')
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return
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return
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self.write_log(f'成交更新 =>:{trade.vt_orderid} => 策略:{strategy.strategy_name}')
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@ -353,6 +353,11 @@ class CtaEngine(BaseEngine):
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self.write_log(f'当前策略侦听委托单:{list(self.orderid_strategy_map.keys())}')
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return
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self.write_log(f'委托更新:{order.vt_orderid} => 策略:{strategy.strategy_name}')
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if len(order.sys_orderid) > 0 and order.sys_orderid not in self.orderid_strategy_map:
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self.write_log(f'登记系统委托号 {order.sys_orderid} => 策略：{strategy.strategy_name} 映射')
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self.orderid_strategy_map.update({order.sys_orderid: strategy})
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# Remove vt_orderid if order is no longer active.
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vt_orderids = self.strategy_orderid_map[strategy.strategy_name]
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if order.vt_orderid in vt_orderids and not order.is_active():
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@ -388,11 +393,16 @@ class CtaEngine(BaseEngine):
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strategy = self.orderid_strategy_map.get(trade.vt_orderid, None)
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if not strategy:
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self.write_log(f'成交单没有对应的策略设置:trade:{trade.__dict__}')
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self.write_log(f'当前策略侦听委托单:{list(self.orderid_strategy_map.keys())}')
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return
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if trade.sys_orderid and trade.sys_orderid in self.orderid_strategy_map:
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self.write_log(f'使用系统委托单号{trade.sys_orderid} => 策略')
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strategy = self.orderid_strategy_map.get(trade.sys_orderid, None)
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self.write_log(f'成交更新:{trade.vt_orderid} => 策略:{strategy.strategy_name}')
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if not strategy:
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self.write_log(f'成交单没有对应的策略设置:trade:{trade.__dict__}')
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self.write_log(f'当前策略侦听委托单:{list(self.orderid_strategy_map.keys())}')
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return
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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}')
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# Update strategy pos before calling on_trade method
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# 取消外部干预策略pos，由策略自行完成更新
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@ -425,6 +425,14 @@ class BackTestingEngine(object):
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@lru_cache()
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def get_size(self, vt_symbol: str):
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"""查询合约的size"""
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if vt_symbol not in self.size:
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symbol, exchange = extract_vt_symbol(vt_symbol)
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if symbol in self.size:
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return self.size.get(symbol)
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else:
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underly_symbol = get_underlying_symbol(symbol).upper()
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return self.size.get(f'{underly_symbol}99',10)
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return self.size.get(vt_symbol, 10)
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def set_price(self, vt_symbol: str, price: float):
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@ -440,11 +448,16 @@ class BackTestingEngine(object):
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if rate >= 0.1:
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self.fix_commission.update({vt_symbol: rate})
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@lru_cache()
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def get_commission_rate(self, vt_symbol: str):
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""" 获取保证金比例，缺省万分之一"""
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if vt_symbol not in self.commission_rate:
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symbol, exchange = extract_vt_symbol(vt_symbol)
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return self.commission_rate.get(symbol, float(0.0001))
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if symbol in self.commission_rate:
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return self.commission_rate.get(symbol)
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else:
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underly_symbol = get_underlying_symbol(symbol).upper()
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return self.commission_rate.get(f'{underly_symbol}99', float(0.0001))
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return self.commission_rate.get(vt_symbol, float(0.0001))
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def get_fix_commission(self, vt_symbol: str):
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@ -887,6 +900,16 @@ class BackTestingEngine(object):
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self.write_log(f"新增订阅指数合约:{setting['idx_symbol']}")
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self.subscribe_symbol(strategy_name=strategy_name, vt_symbol=setting['idx_symbol'])
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# 如果act_vt_symbol不再列表中，需要订阅
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if 'act_vt_symbol' in setting.keys() and setting['act_vt_symbol'] not in self.symbol_strategy_map.keys():
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self.write_log(f"新增订阅act_vt_symbol合约:{setting['act_vt_symbol']}")
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self.subscribe_symbol(strategy_name=strategy_name, vt_symbol=setting['act_vt_symbol'])
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# 如果pas_vt_symbol不再列表中，需要订阅
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if 'pas_vt_symbol' in setting.keys() and setting['pas_vt_symbol'] not in self.symbol_strategy_map.keys():
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self.write_log(f"新增订阅pas_vt_symbol合约:{setting['pas_vt_symbol']}")
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self.subscribe_symbol(strategy_name=strategy_name, vt_symbol=setting['pas_vt_symbol'])
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if strategy_setting.get('auto_init', False):
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self.write_log(u'自动初始化策略')
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strategy.on_init()
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@ -1264,8 +1287,8 @@ class BackTestingEngine(object):
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target=self.get_price_tick(vt_symbol)) - self.get_price_tick(
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vt_symbol) # 在当前时间点前发出的卖出委托可能的最优成交价
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else:
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buy_cross_price = tick.last_price
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sell_cross_price = tick.last_price
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buy_cross_price = tick.last_price if not tick.ask_price_1 else tick.ask_price_1
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sell_cross_price = tick.last_price if not tick.bid_price_1 else tick.bid_price_1
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buy_best_cross_price = tick.last_price
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sell_best_cross_price = tick.last_price
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@ -2317,6 +2340,8 @@ class BackTestingEngine(object):
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result_info.update({u'Sharpe Ratio': d['sharpe']})
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self.output(u'Sharpe Ratio：\t%s' % format_number(d['sharpe']))
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result_file = os.path.abspath(os.path.join(self.get_logs_path(), '{}_result.csv'.format(self.test_name)))
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self.append_data(result_file, result_info)
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# 保存回测结果/交易记录/日线统计 至数据库
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self.save_result_to_mongo(result_info)
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@ -419,9 +419,9 @@ class CtaSpreadTemplate(CtaTemplate):
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if order_info is not None:
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# 委托单记录 =》 找到 Grid
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grid = order_info.get('grid')
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if grid and order_info.get('offset', None) == Offset.OPEN:
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if grid :
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# 更新平均开仓/平仓得价格，数量
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self.update_grid_trade(trade, grid)
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self.update_grid_trade(order_info.get('offset', None), trade, grid)
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def update_pos(self, price, volume, operation, dt):
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"""更新持仓组件得pos"""
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@ -535,14 +535,14 @@ class CtaSpreadTemplate(CtaTemplate):
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"""修正order被拆单得情况"""
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order_info = self.active_orders.get(order.vt_orderid, None)
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if order_info:
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volume = order_info.get('volume')
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traded = order_info.get('traded')
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volume = order_info.get('volume') # 原始委托数量
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traded = order_info.get('traded') # 原始委托中，已成交的数量
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if volume != order.volume:
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self.write_log(f'调整{order.vt_orderid} {order.vt_symbol} 委托:{volume}=>{order.volume}')
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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}')
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order_info.update({'volume': order.volume})
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if traded != order.traded:
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self.write_log(f'{order.vt_orderid} {order.vt_symbol} 已成交 :{traded}=>{traded + order.traded}')
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order_info.update({'volume': traded + order.traded})
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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}')
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order_info.update({'traded': traded + order.traded})
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def on_order(self, order: OrderData):
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"""报单更新"""
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@ -582,9 +582,9 @@ class CtaSpreadTemplate(CtaTemplate):
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else:
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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))
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def update_grid_trade(self, trade: TradeData, grid: CtaGrid):
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def update_grid_trade(self, offset: Offset, trade: TradeData, grid: CtaGrid):
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"""更新网格内，主动腿/被动腿得开平仓信息"""
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if trade.offset == Offset.OPEN:
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if offset == Offset.OPEN:
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# 更新开仓均价/数量
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if trade.vt_symbol == self.act_vt_symbol:
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opened_price = grid.snapshot.get('act_open_price', 0)
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@ -660,7 +660,7 @@ class CtaSpreadTemplate(CtaTemplate):
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grid.traded_volume = 0
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# 平仓完毕（cover， sell）
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if order.offset != Offset.OPEN:
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if order_info.get("offset", None) != Offset.OPEN:
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grid.open_status = False
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grid.close_status = True
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@ -2496,7 +2496,10 @@ class CtaLineBar(object):
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def __count_ama(self):
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"""计算K线的卡夫曼自适应AMA1
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如何测量价格变动的速率。
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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。
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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，
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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；
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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，
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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。
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以通达信软件的公式为例（其他软件也可以用）：
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每个周期价格变动的累加:=sum(abs(close-ref(close,1)),n);
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整个周期价格的总体变动:=abs(close-ref(close,n));
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@ -6,15 +6,31 @@
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# 2. 下载tick时，5档行情都下载
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# 3. 五档行情变量调整适合vnpy的命名方式
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import os
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import csv
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from datetime import date, datetime
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from typing import Union, List
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import json
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from tqsdk.api import TqApi
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from tqsdk.datetime import _get_trading_day_start_time, _get_trading_day_end_time
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from tqsdk.diff import _get_obj
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from tqsdk.utils import _generate_uuid
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def get_account_config():
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"""
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获取本地账号配置
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:return:
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"""
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config_file_name = os.path.abspath(os.path.join(os.path.dirname(__file__), 'auth_account.json'))
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if os.path.exists(config_file_name):
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try:
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with open(config_file_name, mode="r", encoding="UTF-8") as f:
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data = json.load(f)
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return data
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except Exception as ex:
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pass
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return {}
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class DataDownloader:
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"""
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@ -792,8 +792,6 @@ class LocalOrderManager:
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Keep an order buf before pushing it to gateway.
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"""
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self.orders[order.orderid] = copy(order)
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self.gateway.on_order(order)
|
||||
|
||||
def cancel_order(self, req: CancelRequest) -> None:
|
||||
|
||||
Loading…
Reference in New Issue
Block a user