senset/vnpy
1
0
Fork 0
Code Issues Pull Requests Packages Projects Releases Wiki Activity

[bug fix]

Browse Source
This commit is contained in:
msincenselee 2020-02-29 21:38:46 +08:00
parent 72222b5c49
commit 3bdb880e4f
4 changed files with 20 additions and 13 deletions
Show Stats Download Patch File Download Diff File Expand all files Collapse all files

10
tests/renko/ui_renko_reverse_klines.py
View File

@ -36,7 +36,9 @@ if __name__ == '__main__':
], ],
"sub_indicators": [ "sub_indicators": [
"atr" "atr"
] ],
"dist_file": "log/renko_reverse_v1_J99_dist.csv",
"dist_include_list": ["M15 new signal"]
}, },
"Renko_K3": "Renko_K3":
{ {
@ -53,8 +55,10 @@ if __name__ == '__main__':
"sub_indicators": [ "sub_indicators": [
"sk", "sk",
"sd", "sd",
] ],
"trade_list_file": "log/renko_reverse_test_0229_1638_J99_trade_list.csv",
"dist_file": "log/renko_reverse_v1_J99_dist.csv",
"dist_include_list": ["new signal"]
} }
} }
display_multi_grid(kline_settings) display_multi_grid(kline_settings)

2
vnpy/app/cta_strategy_pro/cta_grid_trade.py
View File

@ -261,7 +261,7 @@ class CtaGridTrade(CtaComponent):
opened_volume = grid.volume opened_volume = grid.volume
else: else:
pending_close_list = pending_close_list + u'[{}{}->{},sp:{},v:{}/{}];' \ pending_close_list = pending_close_list + u'[{}{}->{},sp:{},v:{}/{}];' \
.format(t, grid.open_price, grid.close_price, grid.volume, grid.stop_price, .format(t, grid.open_price, grid.close_price, grid.stop_price, grid.volume,
grid.traded_volume) grid.traded_volume)
opened_volume = grid.volume - grid.traded_volume opened_volume = grid.volume - grid.traded_volume

16
vnpy/app/cta_strategy_pro/template.py
View File

@ -890,7 +890,7 @@ class CtaProTemplate(CtaTemplate):
return return
none_mi_price = max(none_mi_tick.last_price, none_mi_tick.bid_price_1) none_mi_price = max(none_mi_tick.last_price, none_mi_tick.bid_price_1)
grid = copy.copy(none_mi_grid) grid = copy(none_mi_grid)
# 委托卖出非主力合约 # 委托卖出非主力合约
vt_orderids = self.sell(price=none_mi_price, volume=none_mi_grid.volume, vt_symbol=none_mi_symbol, vt_orderids = self.sell(price=none_mi_price, volume=none_mi_grid.volume, vt_symbol=none_mi_symbol,
@ -953,7 +953,7 @@ class CtaProTemplate(CtaTemplate):
return return
none_mi_price = max(none_mi_tick.last_price, none_mi_tick.bid_price_1) none_mi_price = max(none_mi_tick.last_price, none_mi_tick.bid_price_1)
grid = copy.copy(none_mi_grid) grid = copy(none_mi_grid)
# 委托平空非主力合约 # 委托平空非主力合约
vt_orderids = self.cover(price=none_mi_price, volume=none_mi_grid.volume, vt_symbol=self.vt_symbol, vt_orderids = self.cover(price=none_mi_price, volume=none_mi_grid.volume, vt_symbol=self.vt_symbol,
grid=none_mi_grid) grid=none_mi_grid)
@ -1244,7 +1244,7 @@ class CtaProFutureTemplate(CtaProTemplate):
old_order = self.active_orders[order.vt_orderid] old_order = self.active_orders[order.vt_orderid]
self.write_log(u'{} 委托信息:{}'.format(order.vt_orderid, old_order)) self.write_log(u'{} 委托信息:{}'.format(order.vt_orderid, old_order))
old_order['traded'] = order.traded old_order['traded'] = order.traded
order_vt_symbol = copy.copy(old_order['vt_symbol']) order_vt_symbol = copy(old_order['vt_symbol'])
order_volume = old_order['volume'] - old_order['traded'] order_volume = old_order['volume'] - old_order['traded']
if order_volume <= 0: if order_volume <= 0:
msg = u'{} {}{}需重新开仓数量为{}，不再开仓' \ msg = u'{} {}{}需重新开仓数量为{}，不再开仓' \
@ -1393,7 +1393,7 @@ class CtaProFutureTemplate(CtaProTemplate):
self.write_log(u'{} 订单信息:{}'.format(order.vt_orderid, old_order)) self.write_log(u'{} 订单信息:{}'.format(order.vt_orderid, old_order))
old_order['traded'] = order.traded old_order['traded'] = order.traded
# order_time = old_order['order_time'] # order_time = old_order['order_time']
order_symbol = copy.copy(old_order['symbol']) order_symbol = copy(old_order['symbol'])
order_volume = old_order['volume'] - old_order['traded'] order_volume = old_order['volume'] - old_order['traded']
if order_volume <= 0: if order_volume <= 0:
msg = u'{} {}{}重新平仓数量为{}，不再平仓' \ msg = u'{} {}{}重新平仓数量为{}，不再平仓' \
@ -1709,7 +1709,7 @@ class CtaProFutureTemplate(CtaProTemplate):
self.save_dist(dist_record) self.save_dist(dist_record)
# 创建一个对锁网格 # 创建一个对锁网格
lock_grid = copy.copy(grid) lock_grid = copy(grid)
# 网格类型, => 锁仓格 # 网格类型, => 锁仓格
lock_grid.type = LOCK_GRID lock_grid.type = LOCK_GRID
lock_grid.id = str(uuid.uuid1()) lock_grid.id = str(uuid.uuid1())
@ -1798,7 +1798,7 @@ class CtaProFutureTemplate(CtaProTemplate):
dist_record['operation'] = 'add long lock[short]' dist_record['operation'] = 'add long lock[short]'
self.save_dist(dist_record) self.save_dist(dist_record)
# 创建一个对锁网格 # 创建一个对锁网格
lock_grid = copy.copy(grid) lock_grid = copy(grid)
# 网格类型, => 锁仓格 # 网格类型, => 锁仓格
lock_grid.type = LOCK_GRID lock_grid.type = LOCK_GRID
lock_grid.id = str(uuid.uuid1()) lock_grid.id = str(uuid.uuid1())
@ -1912,7 +1912,7 @@ class CtaProFutureTemplate(CtaProTemplate):
elif g.volume > open_volume: elif g.volume > open_volume:
self.write_log(u'第一个网格持仓数量大于需求:g.volume:{},open_volume:{}' self.write_log(u'第一个网格持仓数量大于需求:g.volume:{},open_volume:{}'
.format(g.volume, open_volume)) .format(g.volume, open_volume))
remain_grid = copy.copy(g) remain_grid = copy(g)
g.volume = open_volume g.volume = open_volume
remain_grid.volume -= open_volume remain_grid.volume -= open_volume
remain_grid.id = uuid.uuid1() remain_grid.id = uuid.uuid1()
@ -1958,7 +1958,7 @@ class CtaProFutureTemplate(CtaProTemplate):
elif g.volume > open_volume: elif g.volume > open_volume:
self.write_log(u'第一个空单网格持仓数量大于需求:g.volume:{},open_volume:{}' self.write_log(u'第一个空单网格持仓数量大于需求:g.volume:{},open_volume:{}'
.format(g.volume, open_volume)) .format(g.volume, open_volume))
remain_grid = copy.copy(g) remain_grid = copy(g)
g.volume = open_volume g.volume = open_volume
remain_grid.volume -= open_volume remain_grid.volume -= open_volume
remain_grid.id = uuid.uuid1() remain_grid.id = uuid.uuid1()

5
vnpy/trader/ui/kline/kline.py
View File

@ -1492,22 +1492,25 @@ class GridKline(QtWidgets.QWidget):
# 加载交易信号 # 加载交易信号
trade_list_file = kline_setting.get('trade_list_file', None) trade_list_file = kline_setting.get('trade_list_file', None)
if trade_list_file and os.path.exists(trade_list_file): if trade_list_file and os.path.exists(trade_list_file):
print(f'loading {trade_list_file}')
df_trade = pd.read_csv(trade_list_file) df_trade = pd.read_csv(trade_list_file)
self.kline_dict[kline_name].add_signals(df_trade) self.kline_dict[kline_name].add_signals(df_trade)
# 加载tns # 加载tns
tns_file = kline_setting.get('tns_file', None) tns_file = kline_setting.get('tns_file', None)
if tns_file and os.path.exists(tns_file): if tns_file and os.path.exists(tns_file):
print(f'loading {tns_file}')
df_tns = pd.read_csv(tns_file) df_tns = pd.read_csv(tns_file)
self.kline_dict[kline_name].add_trans_df(df_tns) self.kline_dict[kline_name].add_trans_df(df_tns)
# 加载policy 逻辑记录 # 加载policy 逻辑记录
dist_file = kline_setting.get('dist_file', None) dist_file = kline_setting.get('dist_file', None)
if dist_file and os.path.exists(dist_file): if dist_file and os.path.exists(dist_file):
print(f'loading {dist_file}')
df_markup = pd.read_csv(dist_file) df_markup = pd.read_csv(dist_file)
df_markup = df_markup[['datetime', 'price', 'operation']] df_markup = df_markup[['datetime', 'price', 'operation']]
df_markup.rename(columns={'operation': 'markup'}, inplace=True) df_markup.rename(columns={'operation': 'markup'}, inplace=True)
self.kline_dict['m30'].add_markups(df_markup=df_markup, self.kline_dict[kline_name].add_markups(df_markup=df_markup,
include_list=kline_setting.get('dist_include_list', []), include_list=kline_setting.get('dist_include_list', []),
exclude_list=['buy', 'short', 'sell', 'cover']) exclude_list=['buy', 'short', 'sell', 'cover'])