From 3c503d59588c23a33fad56574a3068e0d250fff6 Mon Sep 17 00:00:00 2001 From: msincenselee Date: Mon, 15 Jun 2020 16:45:33 +0800 Subject: [PATCH] =?UTF-8?q?[=E5=A2=9E=E5=BC=BA=E5=8A=9F=E8=83=BD]=20?= =?UTF-8?q?=E5=A2=9E=E5=8A=A0=E5=AE=9A=E6=97=B6=E6=A3=80=E6=9F=A5=E7=AD=96?= =?UTF-8?q?=E7=95=A5=E6=98=AF=E5=90=A6=E5=81=9C=E6=AD=A2?= MIME-Version: 1.0 Content-Type: text/plain; charset=UTF-8 Content-Transfer-Encoding: 8bit --- vnpy/app/cta_stock/__init__.py | 1 + vnpy/app/cta_stock/back_testing.py | 2 +- vnpy/app/cta_stock/engine.py | 46 +++++++++++++++++++++++------- vnpy/app/cta_stock/template.py | 9 +++--- 4 files changed, 43 insertions(+), 15 deletions(-) diff --git a/vnpy/app/cta_stock/__init__.py b/vnpy/app/cta_stock/__init__.py index 91963604..1127141d 100644 --- a/vnpy/app/cta_stock/__init__.py +++ b/vnpy/app/cta_stock/__init__.py @@ -12,6 +12,7 @@ from .template import ( Status, Color, Interval, + OrderType, TickData, BarData, TradeData, diff --git a/vnpy/app/cta_stock/back_testing.py b/vnpy/app/cta_stock/back_testing.py index 3bc4b34f..7e10069a 100644 --- a/vnpy/app/cta_stock/back_testing.py +++ b/vnpy/app/cta_stock/back_testing.py @@ -1627,7 +1627,7 @@ class BackTestingEngine(object): # 计算每个策略实例的持仓盈亏 strategy_pnl.update({longpos.strategy_name: strategy_pnl.get(longpos.strategy_name, 0) + holding_profit}) - positionMsg += "{},long,p={},v={},m={};".format(symbol, longpos.price, longpos.volume, holding_profit) + positionMsg += "\n[{},long,p={},v={},m={}]".format(symbol, longpos.price, longpos.volume, round(holding_profit,2)) data['net'] = c + today_holding_profit # 当日净值（含持仓盈亏） data['rate'] = (c + today_holding_profit) / self.init_capital diff --git a/vnpy/app/cta_stock/engine.py b/vnpy/app/cta_stock/engine.py index 505b307c..59281d5b 100644 --- a/vnpy/app/cta_stock/engine.py +++ b/vnpy/app/cta_stock/engine.py @@ -144,7 +144,9 @@ class CtaEngine(BaseEngine): self.positions = {} - self.last_minute = None + self.last_minute = datetime.now().strftime('%H%M') + + self.health_status = {} def init_engine(self): """ @@ -203,19 +205,17 @@ class CtaEngine(BaseEngine): def process_timer_event(self, event: Event): """ 处理定时器事件""" - all_trading = True - # 触发每个策略的定时接口 - for strategy in list(self.strategies.values()): - strategy.on_timer() - if not strategy.trading: - all_trading = False dt = datetime.now() # 每分钟执行的逻辑 - if self.last_minute != dt.minute: - self.last_minute = dt.minute + if self.last_minute != dt.strftime('%H%M'): + self.last_minute = dt.strftime('%H%M') - if all_trading: + # 检测策略的交易情况 + self.health_check() + + # 在国内股市开盘期间做检查 + if '0930' < self.last_minute < '1530': # 主动获取所有策略得持仓信息 all_strategy_pos = self.get_all_strategy_pos() @@ -724,6 +724,9 @@ class CtaEngine(BaseEngine): def cancel_order(self, strategy: CtaTemplate, vt_orderid: str): """ """ + if vt_orderid is None or len(vt_orderid) == 0: + return False + if vt_orderid.startswith(STOPORDER_PREFIX): return self.cancel_local_stop_order(strategy, vt_orderid) else: @@ -1631,6 +1634,29 @@ class CtaEngine(BaseEngine): self.write_log(u'账户持仓与策略一致') return True, compare_info + def health_check(self): + """策略健康检查""" + for strategy_name in list(self.strategies.keys()): + # 获取策略 + strategy = self.strategies.get(strategy_name) + if not strategy: + continue + + health_count = self.health_status.get(strategy_name, 0) + + # 取消计数器 + if health_count > 0 and strategy.trading: + self.health_status.pop(strategy_name, None) + continue + + # 增加计数器，如果超时十次，发出告警信息 + if not strategy.trading: + health_count += 1 + if health_count > 10: + self.send_wechat(f'{strategy_name}交易状态停止超过10次检查周期,请检查') + health_count = 0 + self.health_status.update({strategy_name: health_count}) + def init_all_strategies(self): """ """ diff --git a/vnpy/app/cta_stock/template.py b/vnpy/app/cta_stock/template.py index 82e3bfaf..370a919e 100644 --- a/vnpy/app/cta_stock/template.py +++ b/vnpy/app/cta_stock/template.py @@ -434,7 +434,7 @@ class CtaStockTemplate(CtaTemplate): self.klines = {} # K线组件字典: kline_name: kline self.positions = {} # 策略内持仓记录， vt_symbol: PositionData self.order_type = OrderType.LIMIT - self.cancel_seconds = 10 # 撤单时间(秒) + self.cancel_seconds = 120 # 撤单时间(秒) # 资金相关 self.max_invest_rate = 0.1 # 最大仓位(0~1) @@ -781,6 +781,7 @@ class CtaStockTemplate(CtaTemplate): self.gt.save() # 在策略得活动订单中，移除 + self.write_log(f'移除活动订单:{order.vt_orderid}') self.active_orders.pop(order.vt_orderid, None) def on_order_open_canceled(self, order: OrderData): @@ -1142,7 +1143,7 @@ class CtaStockTemplate(CtaTemplate): buy_volume = max_buy_volume # 实盘运行时，要加入市场买卖量的判断 - if not self.backtesting: + if not self.backtesting and 'market' in ordering_grid.snapshot: symbol_tick = self.cta_engine.get_tick(vt_symbol) # 根据市场计算，前5档买单数量 if all([symbol_tick.ask_volume_1, symbol_tick.ask_volume_2, symbol_tick.ask_volume_3, @@ -1156,7 +1157,7 @@ class CtaStockTemplate(CtaTemplate): buy_volume = min(market_bid_volumes / 4, market_ask_volumes / 4, buy_volume) buy_volume = max(buy_volume - buy_volume % min_trade_volume, min_trade_volume) - buy_price = cur_price + self.cta_engine.get_price_tick(vt_symbol) + buy_price = cur_price + self.cta_engine.get_price_tick(vt_symbol) * 10 vt_orderids = self.buy( vt_symbol=vt_symbol, @@ -1168,7 +1169,7 @@ class CtaStockTemplate(CtaTemplate): self.write_error(f'委托买入失败，{vt_symbol} 委托价:{buy_price} 数量:{buy_volume}') return else: - self.write_error(f'已委托买入，{vt_symbol} 委托价:{buy_price} 数量:{buy_volume}') + self.write_error(f'{vt_orderids},已委托买入，{vt_symbol} 委托价:{buy_price} 数量:{buy_volume}') def tns_finish_buy_grid(self, grid): """