[Add]新增停止单算法StopAlgo

vnpy/trader/app/algoTrading/algoEngine.py

@@ -15,6 +15,7 @@ from vnpy.trader.vtObject import VtSubscribeReq, VtOrderReq, VtCancelOrderReq, V
 
 from .twapAlgo import TwapAlgo
 from .dmaAlgo import DmaAlgo
+from .stopAlgo import StopAlgo
 
 EVENT_ALGO_LOG = 'eAlgoLog'         # 算法日志事件
 EVENT_ALGO_PARAM = 'eAlgoParam'     # 算法参数事件
@@ -29,7 +30,9 @@ HISTORY_COLLECTION_NAME = 'AlgoHistory'             # 算法历史集合名
 
 
 ALGO_DICT = {
-    TwapAlgo.templateName: TwapAlgo
+    TwapAlgo.templateName: TwapAlgo,
+    DmaAlgo.templateName: DmaAlgo,
+    StopAlgo.templateName: StopAlgo
 }
 
 
@@ -113,8 +116,9 @@ class AlgoEngine(object):
     #----------------------------------------------------------------------
     def stopAlgo(self, algoName):
         """停止算法"""
-        self.algoDict[algoName].stop()
+        if algoName in self.algoDict:
-        del self.algoDict[algoName]
+            self.algoDict[algoName].stop()
+            del self.algoDict[algoName]
     
     #----------------------------------------------------------------------
     def stopAll(self):

vnpy/trader/app/algoTrading/dmaAlgo.py

@@ -31,10 +31,10 @@ class DmaAlgo(AlgoTemplate):
         # 参数，强制类型转换，保证从CSV加载的配置正确
         self.vtSymbol = str(setting['vtSymbol'])            # 合约代码
         self.direction = unicode(setting['direction'])      # 买卖
-        self.offset = float(setting['offset'])              # 开平
+        self.offset = unicode(setting['offset'])            # 开平
-        self.priceType = float(setting['priceType'])        # 价格类型
+        self.priceType = unicode(setting['priceType'])      # 价格类型
         self.price = float(setting['price'])                # 价格
-        self.totalVolume = int(setting['totalVolume'])      # 数量
+        self.totalVolume = float(setting['totalVolume'])    # 数量
         
         self.vtOrderID = ''     # 委托号
         self.tradedVolume = 0   # 成交数量
@@ -74,7 +74,7 @@ class DmaAlgo(AlgoTemplate):
         if self.orderStatus in STATUS_FINISHED:
             self.stop()
         
-        self.paramEvent()
+        self.varEvent()
     
     #----------------------------------------------------------------------
     def onTimer(self):
@@ -84,12 +84,8 @@ class DmaAlgo(AlgoTemplate):
     #----------------------------------------------------------------------
     def onStop(self):
         """"""
-        if self.orderStatus not in STATUS_FINISHED:
+        self.writeLog(u'停止算法')
-            self.cancelAll()
+        self.varEvent()
-            
-        # 处理这里的逻辑，区分用户停止和到期停止
-            
-        self.writeLog(u'委托已%s，停止算法' %self.status)
         
     #----------------------------------------------------------------------
     def varEvent(self):
@@ -99,6 +95,7 @@ class DmaAlgo(AlgoTemplate):
         d[u'委托号'] = self.vtOrderID
         d[u'成交数量'] = self.tradedVolume
         d[u'委托状态'] = self.orderStatus
+        d['active'] = self.active
         self.putVarEvent(d)
     
     #----------------------------------------------------------------------

vnpy/trader/app/algoTrading/stopAlgo.py

@@ -0,0 +1,206 @@
+# encoding: UTF-8
+
+from __future__ import division
+from collections import OrderedDict
+
+from vnpy.trader.vtConstant import (DIRECTION_LONG, DIRECTION_SHORT,
+                                    OFFSET_OPEN, OFFSET_CLOSE)
+from vnpy.trader.uiQt import QtWidgets
+
+from .algoTemplate import AlgoTemplate
+from .uiAlgoWidget import AlgoWidget, QtWidgets
+
+
+
+########################################################################
+class StopAlgo(AlgoTemplate):
+    """停止单算法，也可以用于止损单"""
+    
+    templateName = 'STOP'
+
+    #----------------------------------------------------------------------
+    def __init__(self, engine, setting, algoName):
+        """Constructor"""
+        super(StopAlgo, self).__init__(engine, setting, algoName)
+        
+        # 参数，强制类型转换，保证从CSV加载的配置正确
+        self.vtSymbol = str(setting['vtSymbol'])            # 合约代码
+        self.direction = unicode(setting['direction'])      # 买卖
+        self.stopPrice = float(setting['stopPrice'])        # 触发价格
+        self.totalVolume = float(setting['totalVolume'])    # 数量
+        self.offset = unicode(setting['offset'])            # 开平
+        self.priceAdd = float(setting['priceAdd'])          # 下单时的超价
+        
+        self.vtOrderID = ''     # 委托号
+        self.tradedVolume = 0   # 成交数量
+        self.orderStatus = ''   # 委托状态
+        
+        self.subscribe(self.vtSymbol)
+        self.paramEvent()
+        self.varEvent()
+    
+    #----------------------------------------------------------------------
+    def onTick(self, tick):
+        """"""
+        # 如果已经发出委托，则忽略行情事件
+        if self.vtOrderID:
+            return
+        
+        # 如果到达止损位，才触发委托
+        if (self.direction == DIRECTION_LONG and 
+            tick.lastPrice >= self.price):
+            # 计算超价委托价格
+            price = self.stopPrice + self.priceAdd
+            
+            # 避免价格超过涨停价
+            if tick.upperLimit:    
+                price = min(price, tick.upperLimit)
+                
+            func = self.buy
+        else:
+            price = self.stopPrice - self.priceAdd
+            
+            if tick.lowerLimit:
+                price = max(price, tick.lowerLimit)
+                
+            func = self.sell
+            
+        self.vtOrderID = func(self.vtSymbol, price, self.volume, offset=self.offset)
+        
+        msg = u'停止单已触发，代码：%s，方向：%s, 价格：%s，数量：%s，开平：%s' %(self.vtSymbol,
+                                                                                self.direction,
+                                                                                self.stopPrice,
+                                                                                self.totalVolume,
+                                                                                self.offset)
+        self.writeLog(msg)
+        
+        # 更新变量
+        self.varEvent()        
+        
+    #----------------------------------------------------------------------
+    def onTrade(self, trade):
+        """"""
+        pass
+    
+    #----------------------------------------------------------------------
+    def onOrder(self, order):
+        """"""
+        self.tradedVolume = order.tradedVolume
+        self.orderStatus = order.status
+        
+        if self.orderStatus in STATUS_FINISHED:
+            self.stop()
+        
+        self.varEvent()
+    
+    #----------------------------------------------------------------------
+    def onTimer(self):
+        """"""
+        pass
+        
+    #----------------------------------------------------------------------
+    def onStop(self):
+        """"""
+        self.writeLog(u'停止算法')
+        self.varEvent()
+        
+    #----------------------------------------------------------------------
+    def varEvent(self):
+        """更新变量"""
+        d = OrderedDict()
+        d[u'算法状态'] = self.active
+        d[u'委托号'] = self.vtOrderID
+        d[u'成交数量'] = self.tradedVolume
+        d[u'委托状态'] = self.orderStatus
+        d['active'] = self.active
+        self.putVarEvent(d)
+    
+    #----------------------------------------------------------------------
+    def paramEvent(self):
+        """更新参数"""
+        d = OrderedDict()
+        d[u'代码'] = self.vtSymbol
+        d[u'方向'] = self.direction
+        d[u'触发价格'] = self.stopPrice
+        d[u'数量'] = self.totalVolume
+        d[u'开平'] = self.offset
+        self.putParamEvent(d)
+
+
+########################################################################
+class StopWidget(AlgoWidget):
+    """"""
+    
+    #----------------------------------------------------------------------
+    def __init__(self, algoEngine, parent=None):
+        """Constructor"""
+        super(StopWidget, self).__init__(algoEngine, parent)
+        
+        self.templateName = StopAlgo.templateName
+        
+    #----------------------------------------------------------------------
+    def initAlgoLayout(self):
+        """"""
+        self.lineSymbol = QtWidgets.QLineEdit()
+        
+        self.comboDirection = QtWidgets.QComboBox()
+        self.comboDirection.addItem(DIRECTION_LONG)
+        self.comboDirection.addItem(DIRECTION_SHORT)
+        self.comboDirection.setCurrentIndex(0)
+        
+        self.spinPrice = QtWidgets.QDoubleSpinBox()
+        self.spinPrice.setMinimum(0)
+        self.spinPrice.setMaximum(1000000000)
+        self.spinPrice.setDecimals(8)
+        
+        self.spinVolume = QtWidgets.QDoubleSpinBox()
+        self.spinVolume.setMinimum(0)
+        self.spinVolume.setMaximum(1000000000)
+        self.spinVolume.setDecimals(6)
+        
+        self.comboOffset = QtWidgets.QComboBox()
+        self.comboOffset.addItems(['', OFFSET_OPEN, OFFSET_CLOSE])
+        self.comboOffset.setCurrentIndex(0)
+        
+        self.spinPriceAdd = QtWidgets.QDoubleSpinBox()
+        self.spinPriceAdd.setMinimum(0)
+        self.spinPriceAdd.setMaximum(1000000000)
+        self.spinPriceAdd.setDecimals(8)        
+        
+        buttonStart = QtWidgets.QPushButton(u'启动')
+        buttonStart.clicked.connect(self.addAlgo)
+        buttonStart.setMinimumHeight(100)
+        
+        Label = QtWidgets.QLabel
+        
+        grid = QtWidgets.QGridLayout()
+        grid.addWidget(Label(u'代码'), 0, 0)
+        grid.addWidget(self.lineSymbol, 0, 1)
+        grid.addWidget(Label(u'方向'), 1, 0)
+        grid.addWidget(self.comboDirection, 1, 1)
+        grid.addWidget(Label(u'价格'), 2, 0)
+        grid.addWidget(self.spinPrice, 2, 1)
+        grid.addWidget(Label(u'数量'), 3, 0)
+        grid.addWidget(self.spinVolume, 3, 1)
+        grid.addWidget(Label(u'开平'), 4, 0)
+        grid.addWidget(self.comboOffset, 4, 1)
+        grid.addWidget(Label(u'超价'), 5, 0)
+        grid.addWidget(self.spinPriceAdd, 5, 1)        
+        
+        return grid
+    
+    #----------------------------------------------------------------------
+    def getAlgoSetting(self):
+        """"""
+        setting = OrderedDict()
+        setting['templateName'] = StopAlgo.templateName
+        setting['vtSymbol'] = str(self.lineSymbol.text())
+        setting['direction'] = unicode(self.comboDirection.currentText())
+        setting['stopPrice'] = float(self.spinPrice.value())
+        setting['totalVolume'] = float(self.spinVolume.value())
+        setting['offset'] = unicode(self.comboOffset.currentText())
+        setting['priceAdd'] = float(self.spinPriceAdd.value())
+        
+        return setting
+    
+    

vnpy/trader/app/algoTrading/twapAlgo.py

@@ -152,6 +152,7 @@ class TwapAlgo(AlgoTemplate):
         d[u'单笔委托'] = self.orderSize
         d[u'本轮读秒'] = self.timerCount
         d[u'累计读秒'] = self.timerTotal
+        d['active'] = self.active
         self.putVarEvent(d)
     
     #----------------------------------------------------------------------

vnpy/trader/app/algoTrading/uiAlgoManager.py

@@ -9,8 +9,10 @@ from vnpy.trader.uiQt import QtCore, QtWidgets
 
 from .algoEngine import (EVENT_ALGO_LOG, EVENT_ALGO_PARAM, 
                          EVENT_ALGO_VAR, EVENT_ALGO_SETTING)
+
 from .twapAlgo import TwapWidget
 from .dmaAlgo import DmaWidget
+from .stopAlgo import StopWidget
 
 
 ########################################################################
@@ -388,6 +390,7 @@ class AlgoManager(QtWidgets.QWidget):
         self.initUi()
         self.addAlgoWidget(TwapWidget)
         self.addAlgoWidget(DmaWidget)
+        self.addAlgoWidget(StopWidget)
         
         self.algoEngine.loadAlgoSetting()   # 界面初始化后，再加载算法配置