Update cta_strategy.md
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@ -1134,3 +1134,199 @@ def optimize(
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return True
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```
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### 锁仓操作
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用户在编写策略时，可以通过填写lock字段来让策略完成锁仓操作，即禁止平今，通过反向开仓来代替。
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- 在cta策略模板template中，可以看到如下具体委托函数都有lock字段，并且默认为False。
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```
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def buy(self, price: float, volume: float, stop: bool = False, lock: bool = False):
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"""
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Send buy order to open a long position.
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"""
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return self.send_order(Direction.LONG, Offset.OPEN, price, volume, stop, lock)
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def sell(self, price: float, volume: float, stop: bool = False, lock: bool = False):
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"""
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Send sell order to close a long position.
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"""
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return self.send_order(Direction.SHORT, Offset.CLOSE, price, volume, stop, lock)
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def short(self, price: float, volume: float, stop: bool = False, lock: bool = False):
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"""
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Send short order to open as short position.
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"""
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return self.send_order(Direction.SHORT, Offset.OPEN, price, volume, stop, lock)
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def cover(self, price: float, volume: float, stop: bool = False, lock: bool = False):
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"""
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Send cover order to close a short position.
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"""
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return self.send_order(Direction.LONG, Offset.CLOSE, price, volume, stop, lock)
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def send_order(
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self,
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direction: Direction,
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offset: Offset,
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price: float,
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volume: float,
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stop: bool = False,
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lock: bool = False
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):
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"""
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Send a new order.
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"""
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if self.trading:
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vt_orderids = self.cta_engine.send_order(
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self, direction, offset, price, volume, stop, lock
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)
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return vt_orderids
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else:
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return []
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```
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- 设置lock=True后，cta实盘引擎send_order()函数发生响应，并且调用其最根本的委托函数send_server_order()去处理锁仓委托转换。首先是创建原始委托original_req，然后调用converter文件里面OffsetConverter类的convert_order_request来进行相关转换。
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```
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def send_order(
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self,
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strategy: CtaTemplate,
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direction: Direction,
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offset: Offset,
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price: float,
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volume: float,
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stop: bool,
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lock: bool
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):
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"""
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"""
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contract = self.main_engine.get_contract(strategy.vt_symbol)
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if not contract:
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self.write_log(f"委托失败，找不到合约：{strategy.vt_symbol}", strategy)
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return ""
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if stop:
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if contract.stop_supported:
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return self.send_server_stop_order(strategy, contract, direction, offset, price, volume, lock)
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else:
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return self.send_local_stop_order(strategy, direction, offset, price, volume, lock)
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else:
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return self.send_limit_order(strategy, contract, direction, offset, price, volume, lock)
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def send_limit_order(
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self,
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strategy: CtaTemplate,
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contract: ContractData,
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direction: Direction,
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offset: Offset,
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price: float,
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volume: float,
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lock: bool
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):
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"""
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Send a limit order to server.
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"""
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return self.send_server_order(
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strategy,
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contract,
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direction,
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offset,
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price,
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volume,
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OrderType.LIMIT,
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lock
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)
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def send_server_order(
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self,
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strategy: CtaTemplate,
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contract: ContractData,
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direction: Direction,
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offset: Offset,
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price: float,
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volume: float,
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type: OrderType,
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lock: bool
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):
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"""
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Send a new order to server.
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"""
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# Create request and send order.
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original_req = OrderRequest(
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symbol=contract.symbol,
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exchange=contract.exchange,
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direction=direction,
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offset=offset,
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type=type,
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price=price,
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volume=volume,
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)
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# Convert with offset converter
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req_list = self.offset_converter.convert_order_request(original_req, lock)
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# Send Orders
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vt_orderids = []
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for req in req_list:
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vt_orderid = self.main_engine.send_order(
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req, contract.gateway_name)
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vt_orderids.append(vt_orderid)
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self.offset_converter.update_order_request(req, vt_orderid)
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# Save relationship between orderid and strategy.
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self.orderid_strategy_map[vt_orderid] = strategy
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self.strategy_orderid_map[strategy.strategy_name].add(vt_orderid)
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return vt_orderids
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```
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- 在convert_order_request_lock()函数中，先计算今仓的量和昨可用量；然后进行判断：若有今仓，只能开仓（锁仓）；无今仓时候，若平仓量小于等于昨可用，全部平昨，反之，先平昨，剩下的反向开仓。
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```
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def convert_order_request_lock(self, req: OrderRequest):
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""""""
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if req.direction == Direction.LONG:
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td_volume = self.short_td
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yd_available = self.short_yd - self.short_yd_frozen
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else:
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td_volume = self.long_td
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yd_available = self.long_yd - self.long_yd_frozen
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# If there is td_volume, we can only lock position
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if td_volume:
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req_open = copy(req)
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req_open.offset = Offset.OPEN
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return [req_open]
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# If no td_volume, we close opposite yd position first
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# then open new position
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else:
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open_volume = max(0, req.volume - yd_available)
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req_list = []
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if yd_available:
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req_yd = copy(req)
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if self.exchange == Exchange.SHFE:
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req_yd.offset = Offset.CLOSEYESTERDAY
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else:
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req_yd.offset = Offset.CLOSE
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req_list.append(req_yd)
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if open_volume:
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req_open = copy(req)
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req_open.offset = Offset.OPEN
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req_open.volume = open_volume
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req_list.append(req_open)
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return req_list
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```
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