From 3b9f1c314826b202f26f17012d37b9a7f32bb916 Mon Sep 17 00:00:00 2001
From: "vn.py" <xiaoyou.chen@foxmail.com>
Date: Tue, 17 Sep 2019 16:26:48 +0800
Subject: [PATCH] [Add] SpreadStrategyEngine for managing spread trading
 strategies

---
 vnpy/app/spread_trading/engine.py   | 326 ++++++++++++++++++++++++++--
 vnpy/app/spread_trading/template.py | 227 ++++++++++++++++---
 2 files changed, 504 insertions(+), 49 deletions(-)

diff --git a/vnpy/app/spread_trading/engine.py b/vnpy/app/spread_trading/engine.py
index deb7e801..6025d30e 100644
--- a/vnpy/app/spread_trading/engine.py
+++ b/vnpy/app/spread_trading/engine.py
@@ -1,6 +1,10 @@
-from typing import List, Dict, Set
+import traceback
+import importlib
+import os
+from typing import List, Dict, Set, Callable, Any, Type
 from collections import defaultdict
 from copy import copy
+from path import Path
 
 from vnpy.event import EventEngine, Event
 from vnpy.trader.engine import BaseEngine, MainEngine
@@ -40,6 +44,7 @@ class SpreadEngine(BaseEngine):
 
         self.data_engine: SpreadDataEngine = SpreadDataEngine(self)
         self.algo_engine: SpreadAlgoEngine = SpreadAlgoEngine(self)
+        self.strategy_engine: SpreadStrategyEngine = SpreadStrategyEngine(self)
 
         self.add_spread = self.data_engine.add_spread
         self.remove_spread = self.data_engine.remove_spread
@@ -506,6 +511,8 @@ class SpreadAlgoEngine:
 class SpreadStrategyEngine:
     """"""
 
+    setting_filename = "spraed_trading_strategy.json"
+
     def __init__(self, spread_engine: SpreadEngine):
         """"""
         self.spread_engine: SpreadEngine = spread_engine
@@ -514,28 +521,107 @@ class SpreadStrategyEngine:
 
         self.write_log = spread_engine.write_log
 
+        self.strategy_setting: Dict[str: Dict] = {}
+
+        self.classes: Dict[str: Type[SpreadStrategyTemplate]] = {}
         self.strategies: Dict[str: SpreadStrategyTemplate] = {}
 
         self.order_strategy_map: dict[str: SpreadStrategyTemplate] = {}
-        self.name_strategy_map: dict[str: SpreadStrategyTemplate] = defaultdict(
+        self.algo_strategy_map: dict[str: SpreadStrategyTemplate] = {}
+        self.spread_strategy_map: dict[str: SpreadStrategyTemplate] = defaultdict(
             list)
 
         self.vt_tradeids: Set = set()
 
     def start(self):
         """"""
-        self.load_setting()
+        self.load_strategy_class()
+        self.load_strategy_setting()
         self.register_event()
 
         self.write_log("价差策略引擎启动成功")
 
-    def load_setting(self):
+    def close(self):
         """"""
-        pass
+        self.stop_all_strategies()
 
-    def save_setting(self):
-        """"""
-        pass
+    def load_strategy_class(self):
+        """
+        Load strategy class from source code.
+        """
+        path1 = Path(__file__).parent.joinpath("strategies")
+        self.load_strategy_class_from_folder(
+            path1, "vnpy.app.cta_strategy.strategies")
+
+        path2 = Path.cwd().joinpath("strategies")
+        self.load_strategy_class_from_folder(path2, "strategies")
+
+    def load_strategy_class_from_folder(self, path: Path, module_name: str = ""):
+        """
+        Load strategy class from certain folder.
+        """
+        for dirpath, dirnames, filenames in os.walk(str(path)):
+            for filename in filenames:
+                if filename.endswith(".py"):
+                    strategy_module_name = ".".join(
+                        [module_name, filename.replace(".py", "")])
+                elif filename.endswith(".pyd"):
+                    strategy_module_name = ".".join(
+                        [module_name, filename.split(".")[0]])
+
+                self.load_strategy_class_from_module(strategy_module_name)
+
+    def load_strategy_class_from_module(self, module_name: str):
+        """
+        Load strategy class from module file.
+        """
+        try:
+            module = importlib.import_module(module_name)
+
+            for name in dir(module):
+                value = getattr(module, name)
+                if (isinstance(value, type) and issubclass(value, SpreadStrategyTemplate) and value is not SpreadStrategyTemplate):
+                    self.classes[value.__name__] = value
+        except:  # noqa
+            msg = f"策略文件{module_name}加载失败，触发异常：\n{traceback.format_exc()}"
+            self.write_log(msg)
+
+    def load_strategy_setting(self):
+        """
+        Load setting file.
+        """
+        self.strategy_setting = load_json(self.setting_filename)
+
+        for strategy_name, strategy_config in self.strategy_setting.items():
+            self.add_strategy(
+                strategy_config["class_name"],
+                strategy_name,
+                strategy_config["spread_name"],
+                strategy_config["setting"]
+            )
+
+    def update_strategy_setting(self, strategy_name: str, setting: dict):
+        """
+        Update setting file.
+        """
+        strategy = self.strategies[strategy_name]
+
+        self.strategy_setting[strategy_name] = {
+            "class_name": strategy.__class__.__name__,
+            "spread_name": strategy.spread_name,
+            "setting": setting,
+        }
+        save_json(self.setting_filename, self.strategy_setting)
+
+    def remove_strategy_setting(self, strategy_name: str):
+        """
+        Update setting file.
+        """
+        if strategy_name not in self.strategy_setting:
+            return
+
+        self.strategy_setting.pop(strategy_name)
+        save_json(self.setting_filename, self.strategy_setting)
 
     def register_event(self):
         """"""
@@ -548,27 +634,152 @@ class SpreadStrategyEngine:
 
     def process_spread_data_event(self, event: Event):
         """"""
-        pass
+        spread = event.data
+        strategies = self.spread_strategy_map[spread.name]
+
+        for strategy in strategies:
+            self.call_strategy_func(strategy, strategy.on_spread_data)
 
     def process_spread_pos_event(self, event: Event):
         """"""
-        pass
+        spread = event.data
+        strategies = self.spread_strategy_map[spread.name]
+
+        for strategy in strategies:
+            self.call_strategy_func(strategy, strategy.on_spread_pos)
 
     def process_spread_algo_event(self, event: Event):
         """"""
-        pass
+        algo = event.data
+        strategy = self.algo_strategy_map.get(algo.algoid, None)
+
+        if strategy:
+            self.call_strategy_func(strategy, strategy.update_spread_algo, algo)
 
     def process_order_event(self, event: Event):
         """"""
-        pass
+        order = event.data
+        strategy = self.order_strategy_map.get(order.vt_orderid, None)
+
+        if strategy:
+            self.call_strategy_func(strategy, strategy.update_order, order)
 
     def process_trade_event(self, event: Event):
         """"""
-        pass
+        trade = event.data
+        strategy = self.trade_strategy_map.get(trade.vt_orderid, None)
+
+        if strategy:
+            self.call_strategy_func(strategy, strategy.on_trade, trade)
+
+    def call_strategy_func(
+        self, strategy: SpreadStrategyTemplate, func: Callable, params: Any = None
+    ):
+        """
+        Call function of a strategy and catch any exception raised.
+        """
+        try:
+            if params:
+                func(params)
+            else:
+                func()
+        except Exception:
+            strategy.trading = False
+            strategy.inited = False
+
+            msg = f"触发异常已停止\n{traceback.format_exc()}"
+            self.write_log(msg, strategy)
+
+    def add_strategy(
+        self, class_name: str, strategy_name: str, spread_name: str, setting: dict
+    ):
+        """
+        Add a new strategy.
+        """
+        if strategy_name in self.strategies:
+            self.write_log(f"创建策略失败，存在重名{strategy_name}")
+            return
+
+        strategy_class = self.classes.get(class_name, None)
+        if not strategy_class:
+            self.write_log(f"创建策略失败，找不到策略类{class_name}")
+            return
+
+        strategy = strategy_class(self, strategy_name, spread_name, setting)
+        self.strategies[strategy_name] = strategy
+
+        # Add vt_symbol to strategy map.
+        strategies = self.spread_strategy_map[spread_name]
+        strategies.append(strategy)
+
+        # Update to setting file.
+        self.update_strategy_setting(strategy_name, setting)
+
+        self.put_strategy_event(strategy)
+
+    def init_strategy(self, strategy_name: str):
+        """"""
+        strategy = self.strategies[strategy_name]
+
+        if strategy.inited:
+            self.write_log(f"{strategy_name}已经完成初始化，禁止重复操作")
+            return
+
+        self.call_strategy_func(strategy, strategy.on_init)
+        strategy.inited = True
+
+        self.put_strategy_event(strategy)
+        self.write_log(f"{strategy_name}初始化完成")
+
+    def start_strategy(self, strategy_name: str):
+        """"""
+        strategy = self.strategies[strategy_name]
+        if not strategy.inited:
+            self.write_log(f"策略{strategy.strategy_name}启动失败，请先初始化")
+            return
+
+        if strategy.trading:
+            self.write_log(f"{strategy_name}已经启动，请勿重复操作")
+            return
+
+        self.call_strategy_func(strategy, strategy.on_start)
+        strategy.trading = True
+
+        self.put_strategy_event(strategy)
+
+    def stop_strategy(self, strategy_name: str):
+        """"""
+        strategy = self.strategies[strategy_name]
+        if not strategy.trading:
+            return
+
+        self.call_strategy_func(strategy, strategy.on_stop)
+        strategy.trading = False
+
+        strategy.stop_all_algos()
+        strategy.cancel_all_orders()
+
+        self.put_strategy_event(strategy)
+
+    def init_all_strategies(self):
+        """"""
+        for strategy in self.strategies.values():
+            self.init_strategy(strategy)
+
+    def start_all_strategies(self):
+        """"""
+        for strategy in self.strategies.values():
+            self.start_strategy(strategy)
+
+    def stop_all_strategies(self):
+        """"""
+        for strategy in self.strategies.values():
+            self.stop_strategy(strategy)
 
     def start_algo(
         self,
         strategy: SpreadStrategyTemplate,
+        spread_name: str,
         direction: Direction,
         price: float,
         volume: float,
@@ -577,9 +788,25 @@ class SpreadStrategyEngine:
         lock: bool
     ) -> str:
         """"""
-        pass
+        algoid = self.spread_engine.start_algo(
+            spread_name,
+            direction,
+            price,
+            volume,
+            payup,
+            interval,
+            lock
+        )
 
-    def stop_algo(self, algoid: str):
+        self.algo_strategy_map[algoid] = strategy
+
+        return algoid
+
+    def stop_algo(self, strategy: SpreadStrategyTemplate, algoid: str):
+        """"""
+        self.spread_engine.stop_algo(algoid)
+
+    def stop_all_algos(self, strategy: SpreadStrategyTemplate):
         """"""
         pass
 
@@ -590,19 +817,74 @@ class SpreadStrategyEngine:
         price: float,
         volume: float,
         direction: Direction,
-        offset: Offset
-    ) -> str:
-        pass
+        offset: Offset,
+        lock: bool
+    ) -> List[str]:
+        contract = self.main_engine.get_contract(vt_symbol)
 
-    def cancel_order(self, vt_orderid: str):
+        original_req = OrderRequest(
+            symbol=contract.symbol,
+            exchange=contract.exchange,
+            direction=direction,
+            offset=offset,
+            type=OrderType.LIMIT,
+            price=price,
+            volume=volume
+        )
+
+        # Convert with offset converter
+        req_list = self.offset_converter.convert_order_request(
+            original_req, lock)
+
+        # Send Orders
+        vt_orderids = []
+
+        for req in req_list:
+            vt_orderid = self.main_engine.send_order(
+                req, contract.gateway_name)
+
+            # Check if sending order successful
+            if not vt_orderid:
+                continue
+
+            vt_orderids.append(vt_orderid)
+
+            self.offset_converter.update_order_request(req, vt_orderid)
+
+            # Save relationship between orderid and strategy.
+            self.order_strategy_map[vt_orderid] = strategy
+
+        return vt_orderids
+
+    def cancel_order(self, strategy: SpreadStrategyTemplate, vt_orderid: str):
+        """"""
+        order = self.main_engine.get_order(vt_orderid)
+        if not order:
+            self.write_strategy_log(strategy, "撤单失败，找不到委托{}".format(vt_orderid))
+            return
+
+        req = order.create_cancel_request()
+        self.main_engine.cancel_order(req, order.gateway_name)
+
+    def cancel_all_orders(self, strategy: SpreadStrategyTemplate):
         """"""
         pass
 
     def put_strategy_event(self, strategy: SpreadStrategyTemplate):
         """"""
-        pass
+        event = Event(EVENT_SPREAD_STRATEGY, strategy)
+        self.event_engine.put(event)
 
     def write_strategy_log(self, strategy: SpreadStrategyTemplate, msg: str):
         """"""
-        pass
-        
+        msg = f"{strategy.strategy_name}：{msg}"
+        self.write_log(msg)
+
+    def send_strategy_email(self, strategy: SpreadStrategyTemplate, msg: str):
+        """"""
+        if strategy:
+            subject = f"{strategy.strategy_name}"
+        else:
+            subject = "价差策略引擎"
+
+        self.main_engine.send_email(subject, msg)
diff --git a/vnpy/app/spread_trading/template.py b/vnpy/app/spread_trading/template.py
index 8f428d4b..88f572ed 100644
--- a/vnpy/app/spread_trading/template.py
+++ b/vnpy/app/spread_trading/template.py
@@ -1,7 +1,8 @@
 
 from collections import defaultdict
-from typing import Dict, List
+from typing import Dict, List, Set
 from math import floor, ceil
+from copy import copy
 
 from vnpy.trader.object import TickData, TradeData, OrderData, ContractData
 from vnpy.trader.constant import Direction, Status, Offset
@@ -272,42 +273,158 @@ class SpreadStrategyTemplate:
     """
     Template for implementing spread trading strategies.
     """
-    strategy_name = "StrategyTemplate"
+
+    author: str = ""
+    parameters: List[str] = []
+    variables: List[str] = []
 
     def __init__(
         self,
         strategy_engine,
-        strategy_id: str,
-        spread: SpreadData
+        strategy_name: str,
+        spread: SpreadData,
+        setting: dict
     ):
         """"""
         self.strategy_engine = strategy_engine
-        self.strategy_id = strategy_id
+        self.strategy_name = strategy_name
         self.spread = spread
+        self.spread_name = spread.name
+
+        self.inited = False
+        self.trading = False
+
+        self.variables = copy(self.variables)
+        self.variables.insert(0, "inited")
+        self.variables.insert(1, "trading")
+
+        self.vt_orderids: Set[str] = set()
+        self.algoids: Set[str] = set()
+
+        self.update_setting(setting)
+
+    def update_setting(self, setting: dict):
+        """
+        Update strategy parameter wtih value in setting dict.
+        """
+        for name in self.parameters:
+            if name in setting:
+                setattr(self, name, setting[name])
+
+    @classmethod
+    def get_class_parameters(cls):
+        """
+        Get default parameters dict of strategy class.
+        """
+        class_parameters = {}
+        for name in cls.parameters:
+            class_parameters[name] = getattr(cls, name)
+        return class_parameters
+
+    def get_parameters(self):
+        """
+        Get strategy parameters dict.
+        """
+        strategy_parameters = {}
+        for name in self.parameters:
+            strategy_parameters[name] = getattr(self, name)
+        return strategy_parameters
+
+    def get_variables(self):
+        """
+        Get strategy variables dict.
+        """
+        strategy_variables = {}
+        for name in self.variables:
+            strategy_variables[name] = getattr(self, name)
+        return strategy_variables
+
+    def get_data(self):
+        """
+        Get strategy data.
+        """
+        strategy_data = {
+            "strategy_name": self.strategy_name,
+            "spread_name": self.spread_name,
+            "class_name": self.__class__.__name__,
+            "author": self.author,
+            "parameters": self.get_parameters(),
+            "variables": self.get_variables(),
+        }
+        return strategy_data
+
+    def update_spread_algo(self, algo: SpreadAlgoTemplate):
+        """
+        Callback when algo status is updated.
+        """
+        if not algo.is_active() and algo.algoid in self.algoids:
+            self.algoids.pop(algo.algoid)
+
+        self.on_spread_algo(algo)
+
+    def update_order(self, order: OrderData):
+        """
+        Callback when order status is updated.
+        """
+        if not order.is_active() and order.vt_orderid in self.vt_orderids:
+            self.vt_orderids.pop(order.vt_orderid)
+
+        self.on_order(order)
+
+    @virtual
+    def on_init(self):
+        """
+        Callback when strategy is inited.
+        """
+        pass
+
+    @virtual
+    def on_start(self):
+        """
+        Callback when strategy is started.
+        """
+        pass
+
+    @virtual
+    def on_stop(self):
+        """
+        Callback when strategy is stopped.
+        """
+        pass
 
     @virtual
     def on_spread_data(self):
-        """"""
+        """
+        Callback when spread price is updated.
+        """
         pass
 
     @virtual
     def on_spread_pos(self):
-        """"""
+        """
+        Callback when spread position is updated.
+        """
         pass
 
     @virtual
     def on_spread_algo(self, algo: SpreadAlgoTemplate):
-        """"""
+        """
+        Callback when algo status is updated.
+        """
         pass
 
     @virtual
     def on_order(self, order: OrderData):
-        """"""
+        """
+        Callback when order status is updated.
+        """
         pass
 
     @virtual
     def on_trade(self, trade: TradeData):
-        """"""
+        """
+        Callback when new trade data is received.
+        """
         pass
 
     def start_algo(
@@ -320,7 +437,23 @@ class SpreadStrategyTemplate:
         lock: bool
     ) -> str:
         """"""
-        pass
+        if not self.trading:
+            return ""
+
+        algoid: str = self.strategy_engine.start_algo(
+            self,
+            self.spread_name,
+            direction,
+            price,
+            volume,
+            payup,
+            interval,
+            lock
+        )
+
+        self.algoids.add(algoid)
+
+        return algoid
 
     def start_long_algo(
         self,
@@ -346,23 +479,31 @@ class SpreadStrategyTemplate:
 
     def stop_algo(self, algoid: str):
         """"""
-        pass
+        if not self.trading:
+            return
 
-    def buy(self, vt_symbol: str, price: float, volume: float):
-        """"""
-        return self.send_order(vt_symbol, price, volume, Direction.LONG, Offset.OPEN)
+        self.strategy_engine.stop_algo(self, algoid)
 
-    def sell(self, vt_symbol: str, price: float, volume: float):
+    def stop_all_algos(self):
         """"""
-        return self.send_order(vt_symbol, price, volume, Direction.SHORT, Offset.CLOSE)
+        for algoid in self.algoids:
+            self.stop_algo(algoid)
 
-    def short(self, vt_symbol: str, price: float, volume: float):
+    def buy(self, vt_symbol: str, price: float, volume: float, lock: bool = False) -> List[str]:
         """"""
-        return self.send_order(vt_symbol, price, volume, Direction.SHORT, Offset.OPEN)
+        return self.send_order(vt_symbol, price, volume, Direction.LONG, Offset.OPEN, lock)
 
-    def cover(self, vt_symbol: str, price: float, volume: float):
+    def sell(self, vt_symbol: str, price: float, volume: float, lock: bool = False) -> List[str]:
         """"""
-        return self.send_order(vt_symbol, price, volume, Direction.LONG, Offset.CLOSE)
+        return self.send_order(vt_symbol, price, volume, Direction.SHORT, Offset.CLOSE, lock)
+
+    def short(self, vt_symbol: str, price: float, volume: float, lock: bool = False) -> List[str]:
+        """"""
+        return self.send_order(vt_symbol, price, volume, Direction.SHORT, Offset.OPEN, lock)
+
+    def cover(self, vt_symbol: str, price: float, volume: float, lock: bool = False) -> List[str]:
+        """"""
+        return self.send_order(vt_symbol, price, volume, Direction.LONG, Offset.CLOSE, lock)
 
     def send_order(
         self,
@@ -370,22 +511,47 @@ class SpreadStrategyTemplate:
         price: float,
         volume: float,
         direction: Direction,
-        offset: Offset
-    ):
+        offset: Offset,
+        lock: bool
+    ) -> List[str]:
         """"""
-        pass
+        if not self.trading:
+            return []
+
+        vt_orderids: List[str] = self.strategy_engine.send_order(
+            self,
+            vt_symbol,
+            price,
+            volume,
+            direction,
+            offset,
+            lock
+        )
+
+        for vt_orderid in vt_orderids:
+            self.vt_orderids.add(vt_orderid)
+
+        return vt_orderids
 
     def cancel_order(self, vt_orderid: str):
         """"""
-        pass
+        if not self.trading:
+            return
+
+        self.strategy_engine.cancel_order(self, vt_orderid)
+
+    def cancel_all_orders(self):
+        """"""
+        for vt_orderid in self.vt_orderids:
+            self.cancel_order(vt_orderid)
 
     def put_event(self):
         """"""
-        pass
+        self.strategy_engine.put_strategy_event(self)
 
     def write_log(self, msg: str):
         """"""
-        pass
+        self.strategy_engine.write_strategy_log(self, msg)
 
     def get_spread_tick(self) -> TickData:
         """"""
@@ -417,3 +583,10 @@ class SpreadStrategyTemplate:
             return leg.long_pos
         else:
             return leg.short_pos
+
+    def send_email(self, msg: str):
+        """
+        Send email to default receiver.
+        """
+        if self.inited:
+            self.strategy_engine.send_email(msg, self)