From 4c24b9a7ab95d162c04412ffeb2cf794ebfe866b Mon Sep 17 00:00:00 2001 From: 1122455801 Date: Thu, 13 Jun 2019 15:53:57 +0800 Subject: [PATCH] Update cta_strategy.md --- docs/cta_strategy.md | 196 +++++++++++++++++++++++++++++++++++++++++++ 1 file changed, 196 insertions(+) diff --git a/docs/cta_strategy.md b/docs/cta_strategy.md index 7d8e4c60..a114f8ed 100644 --- a/docs/cta_strategy.md +++ b/docs/cta_strategy.md @@ -1134,3 +1134,199 @@ def optimize( return True ``` + +  + +### 锁仓操作 + +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。 + +- 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。 + +``` + def buy(self, price: float, volume: float, stop: bool = False, lock: bool = False): + """ + Send buy order to open a long position. + """ + return self.send_order(Direction.LONG, Offset.OPEN, price, volume, stop, lock) + + def sell(self, price: float, volume: float, stop: bool = False, lock: bool = False): + """ + Send sell order to close a long position. + """ + return self.send_order(Direction.SHORT, Offset.CLOSE, price, volume, stop, lock) + + def short(self, price: float, volume: float, stop: bool = False, lock: bool = False): + """ + Send short order to open as short position. + """ + return self.send_order(Direction.SHORT, Offset.OPEN, price, volume, stop, lock) + + def cover(self, price: float, volume: float, stop: bool = False, lock: bool = False): + """ + Send cover order to close a short position. + """ + return self.send_order(Direction.LONG, Offset.CLOSE, price, volume, stop, lock) + + def send_order( + self, + direction: Direction, + offset: Offset, + price: float, + volume: float, + stop: bool = False, + lock: bool = False + ): + """ + Send a new order. + """ + if self.trading: + vt_orderids = self.cta_engine.send_order( + self, direction, offset, price, volume, stop, lock + ) + return vt_orderids + else: + return [] +``` + +  + +- 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。 + +``` + def send_order( + self, + strategy: CtaTemplate, + direction: Direction, + offset: Offset, + price: float, + volume: float, + stop: bool, + lock: bool + ): + """ + """ + contract = self.main_engine.get_contract(strategy.vt_symbol) + if not contract: + self.write_log(f"委托失败，找不到合约：{strategy.vt_symbol}", strategy) + return "" + + if stop: + if contract.stop_supported: + return self.send_server_stop_order(strategy, contract, direction, offset, price, volume, lock) + else: + return self.send_local_stop_order(strategy, direction, offset, price, volume, lock) + else: + return self.send_limit_order(strategy, contract, direction, offset, price, volume, lock) + + def send_limit_order( + self, + strategy: CtaTemplate, + contract: ContractData, + direction: Direction, + offset: Offset, + price: float, + volume: float, + lock: bool + ): + """ + Send a limit order to server. + """ + return self.send_server_order( + strategy, + contract, + direction, + offset, + price, + volume, + OrderType.LIMIT, + lock + ) + + def send_server_order( + self, + strategy: CtaTemplate, + contract: ContractData, + direction: Direction, + offset: Offset, + price: float, + volume: float, + type: OrderType, + lock: bool + ): + """ + Send a new order to server. + """ + # Create request and send order. + original_req = OrderRequest( + symbol=contract.symbol, + exchange=contract.exchange, + direction=direction, + offset=offset, + type=type, + 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) + vt_orderids.append(vt_orderid) + + self.offset_converter.update_order_request(req, vt_orderid) + + # Save relationship between orderid and strategy. + self.orderid_strategy_map[vt_orderid] = strategy + self.strategy_orderid_map[strategy.strategy_name].add(vt_orderid) + + return vt_orderids +``` + +  + +- 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。 + +``` + def convert_order_request_lock(self, req: OrderRequest): + """""" + if req.direction == Direction.LONG: + td_volume = self.short_td + yd_available = self.short_yd - self.short_yd_frozen + else: + td_volume = self.long_td + yd_available = self.long_yd - self.long_yd_frozen + + # If there is td_volume, we can only lock position + if td_volume: + req_open = copy(req) + req_open.offset = Offset.OPEN + return [req_open] + # If no td_volume, we close opposite yd position first + # then open new position + else: + open_volume = max(0, req.volume - yd_available) + req_list = [] + + if yd_available: + req_yd = copy(req) + if self.exchange == Exchange.SHFE: + req_yd.offset = Offset.CLOSEYESTERDAY + else: + req_yd.offset = Offset.CLOSE + req_list.append(req_yd) + + if open_volume: + req_open = copy(req) + req_open.offset = Offset.OPEN + req_open.volume = open_volume + req_list.append(req_open) + + return req_list + +```