[update] 期权轧差、网关拒单风控
This commit is contained in:
msincenselee
parent
cba14c9b94
commit
55b207f5db
@ -182,6 +182,7 @@ class CtaOptionEngine(BaseEngine):
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self.vt_tradeids = set() # for filtering duplicate trade
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self.active_orders = {}
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self.internal_orderids = set()
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self.single_execute_volume = 1
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self.net_pos_target = {} # 净仓目标， vt_symbol: {pos: 正负数}
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self.net_pos_holding = {} # 净仓持有， vt_symbol: {pos: 正负数}
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@ -222,6 +223,7 @@ class CtaOptionEngine(BaseEngine):
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def init_engine(self):
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"""
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初始化引擎
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"""
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self.register_event()
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self.register_funcs()
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@ -234,6 +236,10 @@ class CtaOptionEngine(BaseEngine):
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self.write_log("CTA策略引擎初始化成功")
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if self.engine_config.get('single_execute_volume',0) > 0:
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self.single_execute_volume = self.engine_config.get('single_execute_volume',1)
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self.write_log(f'使用配置得单笔下仓数量:{self.single_execute_volume}')
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if self.engine_config.get('get_pos_from_db', False):
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self.write_log(f'激活数据库策略仓位比对模式')
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self.init_mongo_data()
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@ -318,6 +324,7 @@ class CtaOptionEngine(BaseEngine):
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if dt.hour == 2 and dt.minute == 59 and dt.second >= 55:
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self.cancel_all(strategy)
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# 每分钟执行的逻辑
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if self.last_minute != dt.minute:
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self.last_minute = dt.minute
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@ -338,9 +345,9 @@ class CtaOptionEngine(BaseEngine):
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(datetime.now() - order.datetime).total_seconds() > 60 and \
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order.status in [Status.NOTTRADED, Status.PARTTRADED]:
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self.write_log(
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f'内部活动订单{order.orderid}, {order.vt_symbol}[{order.name}], {order.direction.value}, {order.offset.value}超时')
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f'内部活动订单{order.orderid}, {order.vt_symbol}[{order.name}], {order.direction.value}, {order.offset.value},超时.发出撤单')
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req = order.create_cancel_request()
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return self.main_engine.cancel_order(req, order.gateway_name)
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self.main_engine.cancel_order(req, order.gateway_name)
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for vt_symbol in set(self.net_pos_target.keys()).union(set(self.net_pos_holding.keys())):
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self.execute_pos_target(vt_symbol)
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@ -394,20 +401,28 @@ class CtaOptionEngine(BaseEngine):
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self.call_strategy_func(strategy, strategy.on_bar, {bar.vt_symbol: bar})
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def process_order_event(self, event: Event):
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""""""
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"""
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委托更新事件处理
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:param event:
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:return:
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"""
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order = event.data
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strategy = self.orderid_strategy_map.get(order.vt_orderid, None)
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if not strategy:
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# self.write_log(f'委托单没有对应的策略设置:order:{order.__dict__}')
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if order.vt_orderid in self.internal_orderids:
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self.write_log(f'委托更新 => 内部仓位: {print_dict(order.__dict__)}')
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# self.write_log(f'当前策略侦听委托单:{list(self.orderid_strategy_map.keys())}')
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if order.type != OrderType.STOP:
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if order.status in [Status.ALLTRADED, Status.CANCELLED, Status.REJECTED]:
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self.write_log(f'委托更新 => 内部仓位 => 移除活动订单')
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self.active_orders.pop(order.vt_orderid, None)
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elif order.status in [Status.SUBMITTING, Status.NOTTRADED, Status.PARTTRADED]:
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self.write_log(f'委托更新 => 内部仓位 => 更新活动订单')
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self.active_orders.update({order.vt_orderid: copy(order)})
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else:
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self.write_log(f'委托更新 => 系统账号 => {print_dict(order.__dict__)}')
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return
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self.write_log(f'委托更新:{order.vt_orderid} => 策略:{strategy.strategy_name}')
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# Remove vt_orderid if order is no longer active.
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@ -434,33 +449,44 @@ class CtaOptionEngine(BaseEngine):
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self.call_strategy_func(strategy, strategy.on_order, order)
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def process_trade_event(self, event: Event):
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""""""
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"""
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成交更新事件处理
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:param event:
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:return:
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"""
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trade = event.data
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# Filter duplicate trade push
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if trade.vt_tradeid in self.vt_tradeids:
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self.write_log(f'成交单的交易编号{trade.vt_tradeid}已处理完毕,不再处理')
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self.write_log(f'成交更新 => 交易编号{trade.vt_tradeid}已处理完毕,不再处理')
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return
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self.vt_tradeids.add(trade.vt_tradeid)
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strategy = self.orderid_strategy_map.get(trade.vt_orderid, None)
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# 该成交得单子，不属于策略，可能是内部，或者其他实例得成交
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if not strategy:
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# 属于内部单子
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if trade.vt_orderid in self.internal_orderids:
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cur_pos = self.net_pos_holding.get(trade.vt_symbol,0)
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cur_pos = self.net_pos_holding.get(trade.vt_symbol, 0)
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if trade.direction == Direction.LONG:
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new_pos = cur_pos + trade.volume
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else:
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new_pos = cur_pos - trade.volume
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self.write_log(f'内部委托单成交更新，{trade.vt_symbol}[{trade.name}]: {cur_pos} => {new_pos}')
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self.write_log(f'成交更新 => 内部订单 {trade.vt_symbol}[{trade.name}]: {cur_pos} => {new_pos}')
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self.write_log(f'成交单:trade:{print_dict(trade.__dict__)}')
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self.net_pos_holding.update({trade.vt_symbol: new_pos})
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self.save_internal_data()
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# 可能是其他实例得
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else:
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self.write_log(f'成交单没有对应的策略设置:trade:{trade.__dict__}')
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self.write_log(f'当前策略侦听委托单:{list(self.orderid_strategy_map.keys())}')
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self.write_log(f'成交更新 => 没有对应的策略设置:trade:{trade.__dict__}')
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self.write_log(f'成交更新 => 当前策略侦听委托单:{list(self.orderid_strategy_map.keys())}')
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self.write_log(f'成交更新 => 当前内部订单清单:{self.internal_orderids}')
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return
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self.write_log(f'成交更新:{trade.vt_orderid} => 策略:{strategy.strategy_name}')
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self.write_log(f'成交更新 =>:{trade.vt_orderid} => 策略:{strategy.strategy_name}')
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# Update strategy pos before calling on_trade method
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# 取消外部干预策略pos，由策略自行完成更新
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@ -885,7 +911,7 @@ class CtaOptionEngine(BaseEngine):
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for vt_orderid in copy(vt_orderids):
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self.cancel_order(strategy_name, vt_orderid)
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def handel_internal_order(self, **kwargs) -> str:
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def handel_internal_order(self, **kwargs):
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"""
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处理内部订单：
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策略 => 内部订单 => 产生内部订单号 => 登记内部处理逻辑 => 添加后续异步task
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@ -996,9 +1022,9 @@ class CtaOptionEngine(BaseEngine):
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j = load_json(f_name,auto_save=True)
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self.net_pos_target = j.get('net_pos_target', {})
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self.net_pos_holding = j.get('net_pos_holding', {})
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self.write_log('恢复内部持仓目标：{}'.format(
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self.write_log('恢复内部目标持仓：{}'.format(
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';'.join([f'{k}[{self.get_name(k)}]:{v}' for k,v in self.net_pos_target.items()])))
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self.write_log('恢复内部持仓：{}'.format(
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self.write_log('恢复内部现有持仓：{}'.format(
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';'.join([f'{k}[{self.get_name(k)}]:{v}' for k, v in self.net_pos_target.items()])))
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except Exception as ex:
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@ -1025,10 +1051,10 @@ class CtaOptionEngine(BaseEngine):
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:param vt_symbol:
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:return:
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"""
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target_pos = self.net_pos_target.get(vt_symbol, 0)
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holding_pos = self.net_pos_holding.get(vt_symbol, 0)
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target_pos = self.net_pos_target.get(vt_symbol, 0) # 该合约内部得目标持仓
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holding_pos = self.net_pos_holding.get(vt_symbol, 0) # 该合约内部得现有持仓
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diff_pos = target_pos - holding_pos
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diff_pos = target_pos - holding_pos # 找出差异
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if diff_pos == 0:
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return
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# 获取最新价
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@ -1051,26 +1077,29 @@ class CtaOptionEngine(BaseEngine):
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return
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price_tick = self.get_price_tick(vt_symbol)
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# 需要买入
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# 需要增加仓位（ buy or cover)
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if diff_pos > 0:
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# 账号得多、空
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# 账号得多、空仓位
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acc_long_position = self.get_position(vt_symbol=vt_symbol, direction=Direction.LONG)
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acc_long_pos = 0 if acc_long_position is None else acc_long_position.volume-acc_long_position.frozen
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acc_short_position = self.get_position(vt_symbol=vt_symbol, direction=Direction.SHORT)
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acc_short_pos = 0 if acc_short_position is None else acc_short_position.volume-acc_short_position.frozen
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cover_pos = 0
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buy_pos = 0
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if diff_pos > self.single_execute_volume:
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self.write_log(f'内部仓位 => 执行{vt_symbol} => 降低交易头寸: {diff_pos} -> {self.single_execute_volume}')
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diff_pos = self.single_execute_volume
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# 仅平仓
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if acc_short_pos > 0:
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# 优先平空单
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cover_pos = min(diff_pos,acc_short_pos)
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cover_pos = min(diff_pos, acc_short_pos)
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buy_pos = diff_pos - cover_pos
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else:
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# 仅开仓
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cover_pos = 0
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buy_pos = diff_pos
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self.write_log(f'{self.engine_name}仓位执行{vt_symbol}[{self.get_name(vt_symbol)}]: ' +
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self.write_log(f'内部仓位 => 执行{vt_symbol}[{self.get_name(vt_symbol)}]: ' +
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f'[账号多单:{acc_long_pos},空单:{acc_short_pos}]' +
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f'[holding:{holding_pos} =>target:{target_pos} ] => cover:{cover_pos} + buy:{buy_pos}')
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if cover_pos > 0:
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@ -1087,6 +1116,7 @@ class CtaOptionEngine(BaseEngine):
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internal=False
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)
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if len(vt_orderids) > 0:
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self.write_log(f'内部仓位 => 执行 => cover 登记委托编号:{vt_orderids}')
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self.internal_orderids =self.internal_orderids.union(vt_orderids)
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if buy_pos > 0:
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@ -1103,16 +1133,21 @@ class CtaOptionEngine(BaseEngine):
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internal=False
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)
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if len(vt_orderids) > 0:
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self.write_log(f'内部仓位 => 执行 => buy 登记委托编号:{vt_orderids}')
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self.internal_orderids= self.internal_orderids.union(vt_orderids)
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# 需要卖出 ( diff_pos < 0)
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else:
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# 账号得多、空
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# 账号得多、空单
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acc_long_position = self.get_position(vt_symbol=vt_symbol, direction=Direction.LONG)
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acc_long_pos = 0 if acc_long_position is None else acc_long_position.volume - acc_long_position.frozen
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acc_short_position = self.get_position(vt_symbol=vt_symbol, direction=Direction.SHORT)
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acc_short_pos = 0 if acc_short_position is None else acc_short_position.volume - acc_short_position.frozen
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# 如果持有多单，优先平掉多单
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if abs(diff_pos) > self.single_execute_volume:
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self.write_log(f'内部仓位 => 执行{vt_symbol} => 降低交易头寸: {abs(diff_pos)} -> {self.single_execute_volume}')
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diff_pos = -self.single_execute_volume
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# 如果账号持有多单，优先平掉账号多单
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if acc_long_pos > 0:
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sell_pos = min(abs(diff_pos), acc_long_pos)
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short_pos = abs(diff_pos) - sell_pos
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@ -1121,7 +1156,7 @@ class CtaOptionEngine(BaseEngine):
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sell_pos = 0
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short_pos = abs(diff_pos)
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self.write_log(f'{self.engine_name}仓位执行{vt_symbol}[{self.get_name(vt_symbol)}]' +
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self.write_log(f'内部仓位 => 执行{vt_symbol}[{self.get_name(vt_symbol)}]' +
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f'[账号多单:{acc_long_pos},空单:{acc_short_pos}]，' +
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f'[holding:{holding_pos} => target:{target_pos}] => sell:{sell_pos}, short:{short_pos}')
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@ -1139,6 +1174,7 @@ class CtaOptionEngine(BaseEngine):
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internal=False
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)
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if len(vt_orderids) > 0:
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self.write_log(f'内部仓位 => 执行 => sell 登记委托编号:{vt_orderids}')
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self.internal_orderids = self.internal_orderids.union(vt_orderids)
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if short_pos > 0:
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if not self.exist_order(vt_symbol, direction=Direction.SHORT, offset=Offset.OPEN):
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@ -1147,13 +1183,14 @@ class CtaOptionEngine(BaseEngine):
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vt_symbol=vt_symbol,
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price=cur_price,
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volume=short_pos,
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direction=Direction.LONG,
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direction=Direction.SHORT,
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offset=Offset.OPEN,
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order_type=OrderType.LIMIT,
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stop=False,
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internal=False
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)
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if len(vt_orderids) > 0:
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self.write_log(f'内部仓位 => 执行 => short 登记委托编号:{vt_orderids}')
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self.internal_orderids = self.internal_orderids.union(vt_orderids)
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def exist_order(self, vt_symbol, direction, offset):
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@ -1174,7 +1211,11 @@ class CtaOptionEngine(BaseEngine):
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continue
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if order.vt_symbol == vt_symbol and order.direction == direction and order.offset == offset:
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self.write_log(f'引擎存在相同得内部活动订单:{order.name}')
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self.write_log(f'引擎存在相同的内部活动订单:{order.name}')
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return True
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if order.vt_symbol == vt_symbol and order.direction != direction and order.offset != offset:
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self.write_log(f'引擎存在可能自成交的内部活动订单:{order.name}')
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return True
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return False
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@ -415,7 +415,7 @@ class BackTestingEngine(object):
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@lru_cache()
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def get_slippage(self, vt_symbol: str):
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"""获取滑点"""
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"""获取滑点点数"""
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return self.slippage.get(vt_symbol, 0)
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def set_size(self, vt_symbol: str, size: int):
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@ -226,7 +226,7 @@ class CtaEngine(BaseEngine):
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# 触发每个策略的定时接口
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for strategy in list(self.strategies.values()):
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strategy.on_timer()
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self.call_strategy_func(strategy, strategy.on_timer)
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if not strategy.trading:
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all_trading = False
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@ -93,12 +93,12 @@ class CtaLineBar(object):
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lineMSetting = {}
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lineMSetting['name'] = u'M1'
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lineMSetting['interval'] = Interval.MINUTE
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lineMSetting['bar_interval'] = 60 # 1分钟对应60秒
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lineMSetting['bar_interval'] = 1 # 1分钟对应60秒
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lineMSetting['para_ema1_len'] = 7 # EMA线1的周期
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lineMSetting['para_ema2_len'] = 21 # EMA线2的周期
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lineMSetting['para_boll_len'] = 20 # 布林特线周期
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lineMSetting['para_boll_std_rate'] = 2 # 布林特线标准差
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lineMSetting['price_tick'] = self.price_tick # 最小条
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lineMSetting['price_tick'] = self.price_tick # 最小跳
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lineMSetting['underlying_symbol'] = self.underlying_symbol #商品短号
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self.lineM = CtaLineBar(self, self.onBar, lineMSetting)
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@ -5876,6 +5876,47 @@ class CtaLineBar(object):
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return False
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def is_duan_divergence(self, direction, user_macd=False):
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"""
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判断 两个线段是否背驰
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:param direction: 1，-1 或者 Direction.LONG（判断是否顶背离）, Direction.SHORT（判断是否底背离）
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:param user_macd:
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:return:
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"""
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if isinstance(direction, Direction):
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direction = 1 if direction == Direction.LONG else -1
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if self.tre_duan is None:
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return False
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# 获取对比的两个线段
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if self.cur_duan.direction == direction:
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cur_duan = self.cur_duan
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tre_duan = self.tre_duan
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else:
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if len(self.duan_list) < 4:
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return False
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cur_duan = self.duan_list[-2]
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tre_duan = self.duan_list[-4]
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# 判断dif值是否背驰
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is_dif_div = False
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if user_macd:
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cur_dif = self.get_dif_by_dt(cur_duan.end)
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tre_dif = self.get_dif_by_dt(tre_duan.end)
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if (cur_dif > tre_dif and direction == -1) or (cur_dif < tre_dif and direction == 1):
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is_dif_div = True
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else:
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is_dif_div = True
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# 判断 高度，斜率，dif值
|
||||
if cur_duan.height <= tre_duan.height and cur_duan.atan < tre_duan.atan and is_dif_div:
|
||||
if (cur_duan.low < tre_duan.low and cur_duan.high < tre_duan.high and direction == -1) \
|
||||
or (cur_duan.high > tre_duan.high and cur_duan.low > tre_duan.high and direction == 1):
|
||||
return True
|
||||
|
||||
return False
|
||||
|
||||
def is_fx_macd_divergence(self, direction, cur_duan=None, use_macd=False):
|
||||
"""
|
||||
分型的macd背离
|
||||
@ -6267,7 +6308,7 @@ class CtaLineBar(object):
|
||||
'end': self.cur_bi.end,
|
||||
'price': price,
|
||||
'signal': signal})
|
||||
if len(xt_signals) > 200:
|
||||
if len(xt_signals) > 20:
|
||||
del xt_signals[0]
|
||||
if cur_signal is not None and self.export_xt_filename:
|
||||
self.append_data(
|
||||
@ -6295,6 +6336,9 @@ class CtaLineBar(object):
|
||||
'end': self.cur_bi.end,
|
||||
'price': price,
|
||||
'signal': qsbc_2nd})
|
||||
if len(self.xt_2nd_signals) > 20:
|
||||
del self.xt_2nd_signals[0]
|
||||
|
||||
if cur_signal is not None and self.export_xt_filename:
|
||||
self.append_data(
|
||||
file_name=self.export_xt_filename.replace('_n_', f'_2nd_'),
|
||||
@ -6309,7 +6353,7 @@ class CtaLineBar(object):
|
||||
"""
|
||||
获取n笔形态/信号的倒x笔结果
|
||||
:param n:
|
||||
:param x: 倒x笔，如倒1笔
|
||||
:param x: 倒x笔，如倒1笔, 倒0笔
|
||||
:return: {}
|
||||
"""
|
||||
xt_signals = getattr(self, xt_name)
|
||||
|
||||
@ -259,7 +259,6 @@ class BinanceFutureData(RestClient):
|
||||
contracts = load_json(f, auto_save=False)
|
||||
return contracts
|
||||
|
||||
|
||||
def save_contracts(self):
|
||||
"""保存合约配置"""
|
||||
contracts = self.get_contracts()
|
||||
|
||||
@ -392,6 +392,11 @@ class PbGateway(BaseGateway):
|
||||
|
||||
def send_order(self, req: OrderRequest) -> str:
|
||||
""""""
|
||||
k = f'{req.vt_symbol}_{req.direction.value}_{req.offset.value}'
|
||||
if len(self.rejected_orders.get(k, [])) > 5:
|
||||
self.write_error(f'该合约相同请求已经被拒单五次，不能再发单:{print_dict(req.__dict__)}')
|
||||
return ""
|
||||
|
||||
return self.td_api.send_order(req)
|
||||
|
||||
def cancel_order(self, req: CancelRequest) -> None:
|
||||
|
||||
@ -32,7 +32,8 @@ from .object import (
|
||||
CancelRequest,
|
||||
SubscribeRequest,
|
||||
HistoryRequest,
|
||||
Exchange
|
||||
Exchange,
|
||||
Status
|
||||
)
|
||||
|
||||
from vnpy.trader.utility import get_folder_path, round_to, get_underlying_symbol, get_real_symbol_by_exchange
|
||||
@ -103,6 +104,8 @@ class BaseGateway(ABC):
|
||||
|
||||
self.query_functions = []
|
||||
|
||||
self.rejected_orders = {} # 当日被拒单得订单， vt_symbol_direction_offset:[orders]
|
||||
|
||||
def create_logger(self):
|
||||
"""
|
||||
创建engine独有的日志
|
||||
@ -155,6 +158,13 @@ class BaseGateway(ABC):
|
||||
Order event push.
|
||||
Order event of a specific vt_orderid is also pushed.
|
||||
"""
|
||||
# 如果是拒单，进行登记
|
||||
if order.status == Status.REJECTED:
|
||||
k = f'{order.vt_symbol}_{order.direction.value}_{order.offset.value}'
|
||||
orders = self.rejected_orders.get(k,[])
|
||||
orders.append(deepcopy(order))
|
||||
self.rejected_orders.update({k:orders})
|
||||
|
||||
self.on_event(EVENT_ORDER, order)
|
||||
# self.on_event(EVENT_ORDER + order.vt_orderid, order)
|
||||
|
||||
@ -782,6 +792,8 @@ class LocalOrderManager:
|
||||
Keep an order buf before pushing it to gateway.
|
||||
"""
|
||||
self.orders[order.orderid] = copy(order)
|
||||
|
||||
|
||||
self.gateway.on_order(order)
|
||||
|
||||
def cancel_order(self, req: CancelRequest) -> None:
|
||||
|
||||
@ -95,7 +95,7 @@ def get_stock_exchange(code, vn=True):
|
||||
|
||||
market_id = 0 # 缺省深圳
|
||||
code = str(code)
|
||||
if code[0] in ['5', '6', '9'] or code[:3] in ["009", "126", "110", "201", "202", "203", "204"]:
|
||||
if code[0] in ['5', '6', '9'] or code[:3] in ["009", "126", "110", "201", "202", "203", "204","113"]:
|
||||
market_id = 1 # 上海
|
||||
try:
|
||||
from vnpy.trader.constant import Exchange
|
||||
|
||||
Loading…
Reference in New Issue
Block a user