[update] 选股脚本、每天下载复权因子、股票引擎更新、期货品种更新

README.md

@@ -10,6 +10,14 @@ github 链接： https://github.com/msincenselee/vnpy
 gitee  链接： https://gitee.com/vnpy2/vnpy
 
 ###Fork版本主要改进如下
+
+18、CTA股票选股引擎
+
+    -vnpy.app.stock_screener
+        + 无界面选股引擎
+    -prod.screener_d1
+        + 每日执行一次选股所有选股策略脚本
+        
 17、东财股票接入
 
     - vnpy.api.eastmoney_api,
@@ -153,10 +161,15 @@ gitee  链接： https://gitee.com/vnpy2/vnpy
 大佳
 QQ/Wechat：28888502
 
-2021 股票CTA实战课程：http://www.uquant.org/course/49
+系列在线课程
-2021 期货缠论高级课程：http://www.uquant.org/course/48
+
-2021 数字货币CTA课程：http://www.uquant.org/course/46
+    2021 股票CTA实战课程：http://www.uquant.org/course/49
-2020 期货套利课程：http://www.uquant.org/course/43
+
+    2021 期货缠论高级课程：http://www.uquant.org/course/48
+
+    2021 数字货币CTA课程：http://www.uquant.org/course/46
+
+    2020 期货套利课程：http://www.uquant.org/course/43
 
 --------------------------------------------------------------------------------------------
 #  原版 vn.py - 基于python的开源交易平台开发框架

prod/jobs/daily_download_stock_adjust_factors.sh

@@ -0,0 +1,21 @@
+#!/bin/bash
+
+CONDA_HOME=~/anaconda3
+#$CONDA_HOME/bin/conda deactivate
+#$CONDA_HOME/bin/conda activate py37
+
+############ Added by Huang Jianwei at 2018-04-03
+# To solve the problem about Javascript runtime
+export PATH=$PATH:/usr/local/bin
+############ Ended
+
+BASE_PATH=$(cd `dirname $0`; pwd)
+echo $BASE_PATH
+cd `dirname $0`
+PROGRAM_NAME=../../vnpy/data/stock/adjust_factor.py
+
+# 全量下载baostock得复权因子
+$CONDA_HOME/envs/py37/bin/python $PROGRAM_NAME
+
+
+

prod/jobs/daily_stock_adjust_grids.py

@@ -29,7 +29,7 @@ if VNPY_ROOT not in sys.path:
 
 os.environ["VNPY_TESTING"] = "1"
 from vnpy.trader.utility import load_json, save_json, append_data
-from vnpy.data.stock.adjust_factor import get_adjust_factor, get_stock_base
+from vnpy.data.stock.adjust_factor import download_adjust_factor, get_adjust_factor, get_stock_base
 from vnpy.trader.util_wechat import send_wx_msg
 
 if __name__ == "__main__":
@@ -38,6 +38,9 @@ if __name__ == "__main__":
         print(u'请输入:{}目录下的子目录作为参数1'.format(os.path.abspath(os.path.join(VNPY_ROOT, 'prod'))))
         exit()
 
+    print('下载更新所有复权因子')
+    download_adjust_factor()
+
     # 进行报告的账号目录
     account_folder = sys.argv[1]
     account_folder = os.path.abspath(os.path.join(VNPY_ROOT, 'prod', account_folder))

prod/screener_d1/readme.md

@@ -0,0 +1,5 @@
+日线选股
+
+配置选股策略文件 screenr_setting.json
+
+定时任务运行 run_screener.py

prod/screener_d1/run_screener.py

@@ -0,0 +1,115 @@
+# flake8: noqa
+
+import os
+import sys
+import multiprocessing
+from time import sleep
+from datetime import datetime, time
+from logging import DEBUG
+
+# 将repostory的目录i，作为根目录，添加到系统环境中。
+ROOT_PATH = os.path.abspath(os.path.join(os.path.dirname(__file__), '..', '..'))
+if ROOT_PATH not in sys.path:
+    sys.path.append(ROOT_PATH)
+    print(f'append {ROOT_PATH} into sys.path')
+
+from vnpy.event import EventEngine, EVENT_TIMER
+from vnpy.trader.setting import SETTINGS
+from vnpy.trader.engine import MainEngine
+from vnpy.trader.utility import load_json
+# from vnpy.gateway.gj import GjGateway
+from vnpy.app.stock_screener import ScreenerApp
+# from vnpy.app.cta_stock import CtaStockApp
+# from vnpy.app.cta_crypto.base import EVENT_CTA_LOG
+from vnpy.app.rpc_service import RpcServiceApp
+# from vnpy.app.algo_broker import AlgoBrokerApp
+from vnpy.app.account_recorder import AccountRecorderApp
+from vnpy.trader.util_pid import update_pid
+
+# from vnpy.trader.util_monitor import OrderMonitor, TradeMonitor, PositionMonitor, AccountMonitor, LogMonitor
+
+SETTINGS["log.active"] = True
+SETTINGS["log.level"] = DEBUG
+SETTINGS["log.console"] = True
+SETTINGS["log.file"] = True
+
+screener_name = '日线选股'
+
+import types
+import traceback
+
+
+def excepthook(exctype: type, value: Exception, tb: types.TracebackType) -> None:
+    """
+    Raise exception under debug mode
+    """
+    sys.__excepthook__(exctype, value, tb)
+
+    msg = "".join(traceback.format_exception(exctype, value, tb))
+
+    print(msg, file=sys.stderr)
+
+
+class DaemonService(object):
+
+    def __init__(self):
+        self.event_engine = EventEngine()
+        self.g_count = 0
+        self.last_dt = datetime.now()
+
+        # 创建主引擎
+        self.main_engine = MainEngine(self.event_engine)
+
+        self.save_data_time = None
+        self.save_snapshot_time = None
+
+        # 注册定时器，用于判断重连
+        self.event_engine.register(EVENT_TIMER, self.on_timer)
+
+    def on_timer(self, event):
+        """定时器执行逻辑，每十秒执行一次"""
+
+        # 60秒才执行一次检查
+        self.g_count += 1
+        if self.g_count <= 60:
+            return
+
+        self.g_count = 0
+        dt = datetime.now()
+
+        # if dt.hour != self.last_dt.hour:
+        self.last_dt = dt
+        print(u'run_screener.py checkpoint:{0}'.format(dt))
+        self.main_engine.write_log(u'run_screener.py checkpoint:{0}'.format(dt))
+        if self.main_engine.get_all_completed_status():
+            from vnpy.trader.util_wechat import send_wx_msg
+            msg = f'{screener_name}完成所有选股任务'
+            send_wx_msg(content=msg)
+            self.main_engine.write_log(msg)
+            sleep(10)
+            os._exit(0)
+
+    def start(self):
+        """
+        Running in the child process.
+        """
+        SETTINGS["log.file"] = True
+
+        # 添加选股引擎
+        screen_engine = self.main_engine.add_app(ScreenerApp)
+        screen_engine.init_engine()
+
+        self.main_engine.write_log("主引擎创建成功")
+
+        while True:
+            sleep(1)
+
+
+
+if __name__ == "__main__":
+    # from vnpy.trader.ui import create_qapp
+    # qApp = create_qapp()
+    # sys.excepthook = excepthook
+
+    s = DaemonService()
+    s.start()

prod/screener_d1/screener_setting.json

@@ -0,0 +1,14 @@
+{
+    "stock_screener_ThreeBuy_D1": {
+        "class_name": "StrategyChanlunThreeBuy",
+        "auto_init": true,
+        "auto_start": true,
+        "setting": {
+            "vt_symbols": [
+                "600410.SSE"
+            ],
+            "all_stocks": false,
+            "bar_name": "D1"
+        }
+    }
+}

vnpy/app/cta_stock/engine.py

@@ -1274,6 +1274,7 @@ class CtaEngine(BaseEngine):
         """
         Add a new strategy.
         """
+        try:
             if strategy_name in self.strategies:
                 msg = f"创建策略失败，存在重名{strategy_name}"
                 self.write_log(msg=msg,
@@ -1307,6 +1308,14 @@ class CtaEngine(BaseEngine):
             if auto_init:
                 self.init_strategy(strategy_name, auto_start=auto_start)
 
+        except Exception as ex:
+            msg = f'添加策略实例{strategy_name}失败,{str(ex)}'
+            self.write_error(msg)
+            self.write_error(traceback.format_exc())
+            self.send_wechat(msg)
+
+            return False, f'添加策略实例{strategy_name}失败'
+
         return True, f'成功添加{strategy_name}'
 
     def init_strategy(self, strategy_name: str, auto_start: bool = False):
@@ -1497,15 +1506,19 @@ class CtaEngine(BaseEngine):
         if module_name:
             new_class_name = module_name + '.' + class_name
             self.write_log(u'转换策略为全路径:{}'.format(new_class_name))
-
+            old_strategy_class = self.classes[class_name]
+            self.write_log(f'旧策略ID:{id(old_strategy_class)}')
             strategy_class = import_module_by_str(new_class_name)
             if strategy_class is None:
-                err_msg = u'加载策略模块失败:{}'.format(class_name)
+                err_msg = u'加载策略模块失败:{}'.format(new_class_name)
                 self.write_error(err_msg)
                 return False, err_msg
 
             self.write_log(f'重新加载模块成功，使用新模块:{new_class_name}')
+            self.write_log(f'新策略ID:{id(strategy_class)}')
             self.classes[class_name] = strategy_class
+        else:
+            self.write_log(f'没有{class_name}的module_name,无法重新加载模块')
 
         # 停止当前策略实例的运行，撤单
         self.stop_strategy(strategy_name)

vnpy/app/cta_stock/template.py

@@ -1,4 +1,6 @@
-""""""
+# 股票模板
+# 华富资产 @ 李来佳
+
 import os
 import sys
 import uuid
@@ -38,7 +40,7 @@ class CtaTemplate(ABC):
             self,
             cta_engine: Any,
             strategy_name: str,
-            vt_symbols: List[str],
+            vt_symbols: str,
             setting: dict,
     ):
         """"""
@@ -204,6 +206,9 @@ class CtaTemplate(ABC):
             if self.is_upper_limit(vt_symbol):
                 self.write_error(u'涨停价不做FAK/FOK委托')
                 return []
+        if volume == 0:
+            self.write_error(f'委托数量有误，必须大于0，{vt_symbol}, price:{price}')
+            return []
         return self.send_order(vt_symbol=vt_symbol,
                                direction=Direction.LONG,
                                offset=Offset.OPEN,
@@ -224,6 +229,9 @@ class CtaTemplate(ABC):
             if self.is_lower_limit(vt_symbol):
                 self.write_error(u'跌停价不做FAK/FOK sell委托')
                 return []
+        if volume == 0:
+            self.write_error(f'委托数量有误，必须大于0，{vt_symbol}, price:{price}')
+            return []
         return self.send_order(vt_symbol=vt_symbol,
                                direction=Direction.SHORT,
                                offset=Offset.CLOSE,
@@ -253,6 +261,7 @@ class CtaTemplate(ABC):
            return []
 
         if not self.trading:
+            self.write_log(f'非交易状态')
             return []
 
         vt_orderids = self.cta_engine.send_order(

vnpy/data/stock/adjust_factor.py

@@ -132,7 +132,7 @@ def download_adjust_factor():
 if __name__ == '__main__':
 
     # 下载所有复权数据
-    # download_adjust_factor()
+    download_adjust_factor()
 
     # 下载某个股票的复权数据
     # f = get_adjust_factor(vt_symbol='000651.SZSE',stock_name='格力电器',need_login=True)

vnpy/data/tdx/tdx_future_data.py

@@ -70,7 +70,8 @@ INIT_TDX_MARKET_MAP = {
     'CJL9': 28, 'CYL9': 28, 'FGL9': 28, 'JRL9': 28, 'LRL9': 28, 'MAL9': 28,
     'OIL9': 28, 'PML9': 28, 'RIL9': 28, 'RML9': 28, 'RSL9': 28, 'SFL9': 28,
     'SML9': 28, 'SRL9': 28, 'TAL9': 28, 'ICL9': 47, 'IFL9': 47, 'IHL9': 47,
-    'TFL9': 47, 'TL9': 47, 'TSL9': 47, 'SAL9': 28, 'PGL9': 29, 'PFL9': 28, 'LH':29}
+    'TFL9': 47, 'TL9': 47, 'TSL9': 47, 'SAL9': 28, 'PGL9': 29, 'PFL9': 28,
+    'LHL9':29,'LUL9':30}
 # 常量
 QSIZE = 500
 ALL_MARKET_BEGIN_HOUR = 8