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[增强功能] 自动对平策略和账号仓位

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This commit is contained in:
msincenselee 2020-05-06 16:34:04 +08:00
parent c5e600ce25
commit 5580336f4b
1 changed files with 40 additions and 9 deletions
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49
vnpy/app/cta_crypto/engine.py
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@ -1230,14 +1230,15 @@ class CtaEngine(BaseEngine):
self.write_log(f'{strategy_name}返回得K线切片数据为空')
return
# 剩下工作：保存本地文件/数据库
snapshot_folder = get_folder_path(f'data/snapshots/{strategy_name}')
snapshot_file = snapshot_folder.joinpath('{}.pkb2'.format(datetime.now().strftime('%Y%m%d_%H%M%S')))
with bz2.BZ2File(str(snapshot_file), 'wb') as f:
pickle.dump(snapshot, f)
self.write_log(u'切片保存成功:{}'.format(str(snapshot_file)))
if self.engine_config.get('snapshot2file', False):
# 剩下工作：保存本地文件/数据库
snapshot_folder = get_folder_path(f'data/snapshots/{strategy_name}')
snapshot_file = snapshot_folder.joinpath('{}.pkb2'.format(datetime.now().strftime('%Y%m%d_%H%M%S')))
with bz2.BZ2File(str(snapshot_file), 'wb') as f:
pickle.dump(snapshot, f)
self.write_log(u'切片保存成功:{}'.format(str(snapshot_file)))
# 通过事件方式，传导到account_recorder
# 通过事件方式，传导到account_recorder
snapshot.update({
'account_id': self.engine_config.get('accountid', '-'),
'strategy_group': self.engine_config.get('strategy_group', self.engine_name),
@ -1469,7 +1470,7 @@ class CtaEngine(BaseEngine):
value = getattr(strategy, parameter, None)
return value
def compare_pos(self, strategy_pos_list=[]):
def compare_pos(self, strategy_pos_list=[], auto_balance=False):
"""
对比账号&策略的持仓,不同的话则发出微信提醒
:return:
@ -1556,10 +1557,40 @@ class CtaEngine(BaseEngine):
compare_info += msg
else:
pos_compare_result += '\n{}: {}'.format(vt_symbol, json.dumps(symbol_pos, indent=2, ensure_ascii=False))
self.write_error(u'{}不一致:{}'.format(vt_symbol, json.dumps(symbol_pos, indent=2, ensure_ascii=False)))
compare_info += u'{}不一致:{}\n'.format(vt_symbol, json.dumps(symbol_pos, indent=2, ensure_ascii=False))
diff_volume = round(symbol_pos['账号净仓'], 7) - net_symbol_pos
# 账号仓位> 策略仓位, sell
if diff_volume > 0 and auto_balance:
contract = self.main_engine.get_contract(vt_symbol)
req = OrderRequest(
symbol=contract.symbol,
exchange=contract.exchange,
direction=Direction.SHORT,
offset=Offset.CLOSE,
type=OrderType.MARKET,
price=0,
volume=round(diff_volume,7)
)
self.write_log(f'卖出{vt_symbol} {req.volume}，平衡仓位')
self.main_engine.send_order(req, contract.gateway_name)
# 账号仓位 < 策略仓位 ,buy
elif diff_volume < 0 and auto_balance:
contract = self.main_engine.get_contract(vt_symbol)
req = OrderRequest(
symbol=contract.symbol,
exchange=contract.exchange,
direction=Direction.LONG,
offset=Offset.OPEN,
type=OrderType.MARKET,
price=0,
volume=round(-diff_volume, 7)
)
self.write_log(f'买入{vt_symbol} {req.volume}，平衡仓位')
self.main_engine.send_order(req, contract.gateway_name)
# 不匹配，输入到stdErr通道
if pos_compare_result != '':
msg = u'账户{}持仓不匹配: {}' \