Merge branch 'dev' of https://github.com/vnpy/vnpy into dev
This commit is contained in:
vn.py
commit
5dd17111d7
@ -497,10 +497,11 @@ class LogMonitor(BasicMonitor):
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cellLogContent = BasicCell(logContent)
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cellGatewayName = BasicCell(error.gatewayName)
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self.setItem(0, 0, cellLogTime)
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self.setItem(0, 1, cellLogContent)
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self.setItem(0, 2, cellGatewayName)
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self.setItem(0, 0, cellGatewayName)
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self.setItem(0, 1, cellLogTime)
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self.setItem(0, 2, cellLogContent)
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########################################################################
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class TradeMonitor(BasicMonitor):
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@ -199,18 +199,14 @@ class CoinbaseWebsocketApi(object):
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def run(self):
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"""运行"""
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while self.active:
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stream = self.ws.recv()
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data = json.loads(stream)
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self.onData(data)
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#try:
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#stream = self.ws.recv()
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#data = json.loads(stream)
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#self.onData(data)
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#except:
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#msg = traceback.format_exc()
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#self.onError(msg)
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#self.reconnect()
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try:
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stream = self.ws.recv()
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data = json.loads(stream)
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self.onData(data)
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except:
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msg = traceback.format_exc()
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self.onError(msg)
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self.reconnect()
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#----------------------------------------------------------------------
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def close(self):
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225
vnpy/trader/app/algoTrading/algo/arbitrageAlgo.py
Normal file
225
vnpy/trader/app/algoTrading/algo/arbitrageAlgo.py
Normal file
@ -0,0 +1,225 @@
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# encoding: UTF-8
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from __future__ import division
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from collections import OrderedDict
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from vnpy.trader.vtConstant import (DIRECTION_LONG, DIRECTION_SHORT,
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OFFSET_OPEN, OFFSET_CLOSE,
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STATUS_ALLTRADED, STATUS_CANCELLED,
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STATUS_REJECTED)
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from vnpy.trader.uiQt import QtGui
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from vnpy.trader.app.algoTrading.algoTemplate import AlgoTemplate
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from vnpy.trader.app.algoTrading.uiAlgoWidget import AlgoWidget, QtWidgets
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STATUS_FINISHED = set([STATUS_ALLTRADED, STATUS_CANCELLED, STATUS_REJECTED])
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########################################################################
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class ArbitrageAlgo(AlgoTemplate):
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"""Arbitrage算法，用于套利"""
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templateName = u'Arbitrage 套利'
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#----------------------------------------------------------------------
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def __init__(self, engine, setting, algoName):
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"""Constructor"""
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super(ArbitrageAlgo, self).__init__(engine, setting, algoName)
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# 配置参数
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self.activeVtSymbol = str(setting['activeVtSymbol']) # 主动腿
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self.passiveVtSymbol = str(setting['passiveVtSymbol']) # 被动腿
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self.spread = float(setting['spread']) # 价差
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self.volume = float(setting['volume']) # 数量
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self.interval = int(setting['interval']) # 间隔
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self.activeOrderID = '' # 主动委托号
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self.passiveOrderID = '' # 被动委托号
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self.netPos = 0 # 净持仓
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self.count = 0 # 运行计数
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# 初始化
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self.subscribe(self.activeVtSymbol)
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self.subscribe(self.passiveVtSymbol)
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self.paramEvent()
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self.varEvent()
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#----------------------------------------------------------------------
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def onTick(self, tick):
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""""""
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pass
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#----------------------------------------------------------------------
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def onTrade(self, trade):
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""""""
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# 更新净持仓数量
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if trade.direction == DIRECTION_LONG:
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self.netPos += trade.volume
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else:
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self.netPos -= trade.volume
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# 如果是主动腿成交则需要执行对冲
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if trade.vtSymbol == self.activeVtSymbol:
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self.hedge()
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self.varEvent()
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#----------------------------------------------------------------------
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def onOrder(self, order):
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""""""
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if order.vtSymbol == self.activeVtSymbol:
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if order.status in STATUS_FINISHED:
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self.activeOrderID = ''
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elif order.vtSymbol == self.passiveVtSymbol:
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if order.status in STATUS_FINISHED:
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self.passiveOrderID = ''
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self.varEvent()
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#----------------------------------------------------------------------
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def onTimer(self):
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""""""
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self.count += 1
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if self.count < self.interval:
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return
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self.count = 0
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# 撤单
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if self.activeOrderID or self.passiveOrderID:
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self.cancelAll()
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return
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# 如果有净仓位则执行对冲
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if self.netPos:
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self.hedge()
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return
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# 计算价差的bid/ask
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activeTick = self.getTick(self.activeVtSymbol)
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passiveTick = self.getTick(self.passiveVtSymbol)
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spreadBidPrice = activeTick.bidPrice1 - passiveTick.askPrice1
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spreadAskPrice = activeTick.askPrice1 - passiveTick.bidPrice1
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spreadBidVolume = min(activeTick.bidVolume1, passiveTick.askVolume1)
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spreadAskVolume = min(activeTick.askVolume1, passiveTick.bidVolume1)
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if spreadBidPrice > self.spread:
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self.activeOrderID = self.sell(self.activeVtSymbol, activeTick.bidPrice1, spreadBidVolume)
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elif spreadAskPrice < - self.spread:
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self.activeOrderID = self.buy(self.activeVtSymbol, activeTick.askPrice1, spreadAskVolume)
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# 更新界面
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self.varEvent()
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#----------------------------------------------------------------------
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def onStop(self):
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""""""
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self.writeLog(u'算法停止')
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self.varEvent()
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#----------------------------------------------------------------------
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def varEvent(self):
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"""更新变量"""
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d = OrderedDict()
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d[u'算法状态'] = self.active
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d[u'运行计数'] = self.count
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d[u'净持仓'] = self.netPos
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d[u'主动腿委托号'] = self.activeOrderID
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d[u'被动腿委托号'] = self.passiveOrderID
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self.putVarEvent(d)
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#----------------------------------------------------------------------
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def paramEvent(self):
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"""更新参数"""
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d = OrderedDict()
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d[u'主动腿代码'] = self.activeVtSymbol
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d[u'被动腿代码'] = self.passiveVtSymbol
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d[u'价差'] = self.spread
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d[u'数量'] = self.volume
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d[u'间隔'] = self.interval
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self.putParamEvent(d)
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#----------------------------------------------------------------------
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def hedge(self):
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""""""
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tick = self.getTick(self.passiveVtSymbol)
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volume = abs(self.netPos)
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if self.netPos > 0:
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self.passiveOrderID = self.sell(self.passiveVtSymbol,
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tick.bidPrice5,
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volume)
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elif self.netPos < 0:
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self.passiveOrderID = self.buy(self.activeVtSymbol,
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tick.askPrice5,
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volume)
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########################################################################
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class ArbitrageWidget(AlgoWidget):
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""""""
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#----------------------------------------------------------------------
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def __init__(self, algoEngine, parent=None):
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"""Constructor"""
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super(ArbitrageWidget, self).__init__(algoEngine, parent)
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self.templateName = ArbitrageAlgo.templateName
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#----------------------------------------------------------------------
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def initAlgoLayout(self):
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""""""
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self.lineActiveVtSymbol = QtWidgets.QLineEdit()
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self.linePassiveVtSymbol = QtWidgets.QLineEdit()
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validator = QtGui.QDoubleValidator()
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validator.setBottom(0)
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self.lineSpread = QtWidgets.QLineEdit()
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self.lineSpread.setValidator(validator)
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self.lineVolume = QtWidgets.QLineEdit()
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self.lineVolume.setValidator(validator)
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intValidator = QtGui.QIntValidator()
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intValidator.setBottom(10)
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self.lineInterval = QtWidgets.QLineEdit()
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self.lineInterval.setValidator(intValidator)
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Label = QtWidgets.QLabel
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grid = QtWidgets.QGridLayout()
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grid.addWidget(Label(u'主动腿代码'), 0, 0)
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grid.addWidget(self.lineActiveVtSymbol, 0, 1)
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grid.addWidget(Label(u'被动腿代码'), 1, 0)
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grid.addWidget(self.linePassiveVtSymbol, 1, 1)
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grid.addWidget(Label(u'套利价差'), 2, 0)
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grid.addWidget(self.lineSpread, 2, 1)
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grid.addWidget(Label(u'委托数量'), 3, 0)
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grid.addWidget(self.lineVolume, 3, 1)
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grid.addWidget(Label(u'运行间隔'), 4, 0)
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grid.addWidget(self.lineInterval, 4, 1)
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return grid
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#----------------------------------------------------------------------
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def getAlgoSetting(self):
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""""""
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setting = OrderedDict()
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setting['templateName'] = self.templateName
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setting['activeVtSymbol'] = str(self.lineActiveVtSymbol.text())
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setting['passiveVtSymbol'] = str(self.linePassiveVtSymbol.text())
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setting['spread'] = float(self.lineSpread.text())
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setting['volume'] = float(self.lineVolume.text())
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setting['interval'] = int(self.lineInterval.text())
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return setting
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@ -188,7 +188,7 @@ class BlWidget(AlgoWidget):
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def getAlgoSetting(self):
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""""""
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setting = OrderedDict()
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setting['templateName'] = StopAlgo.templateName
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setting['templateName'] = self.templateName
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setting['vtSymbol'] = str(self.lineVtSymbol.text())
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setting['direction'] = text_type(self.comboDirection.currentText())
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setting['offset'] = text_type(self.comboOffset.currentText())
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@ -34,7 +34,7 @@ class IcebergAlgo(AlgoTemplate):
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self.price = float(setting['price']) # 价格
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self.volume = float(setting['volume']) # 数量
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self.display = float(setting['display']) # 挂出数量
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self.interval = text_type(setting['interval']) # 间隔
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self.interval = int(setting['interval']) # 间隔
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self.offset = text_type(setting['offset']) # 开平
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self.count = 0 # 执行计数
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@ -73,12 +73,18 @@ class IcebergAlgo(AlgoTemplate):
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def onTimer(self):
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""""""
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self.count += 1
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if self.count < self.interval:
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self.varEvent()
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return
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self.count = 0
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contract = self.getContract(self.vtSymbol)
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if not contract:
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self.writeLog(u'找不到合约%s' %self.vtSymbol)
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return
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if not self.vtOrderID:
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orderVolume = self.volume - self.tradedVolume
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orderVolume = min(orderVolume, self.display)
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@ -193,7 +199,7 @@ class IcebergWidget(AlgoWidget):
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def getAlgoSetting(self):
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""""""
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setting = OrderedDict()
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setting['templateName'] = StopAlgo.templateName
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setting['templateName'] = self.templateName
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setting['vtSymbol'] = str(self.lineVtSymbol.text())
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setting['direction'] = text_type(self.comboDirection.currentText())
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setting['offset'] = text_type(self.comboOffset.currentText())
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@ -178,7 +178,7 @@ class SniperWidget(AlgoWidget):
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def getAlgoSetting(self):
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""""""
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setting = OrderedDict()
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setting['templateName'] = StopAlgo.templateName
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setting['templateName'] = self.templateName
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setting['vtSymbol'] = str(self.lineVtSymbol.text())
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setting['direction'] = text_type(self.comboDirection.currentText())
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setting['offset'] = text_type(self.comboOffset.currentText())
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@ -3,6 +3,7 @@
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import json
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import traceback
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import shelve
|
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from collections import OrderedDict
|
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from vnpy.event import Event
|
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from vnpy.trader.vtFunction import getJsonPath, getTempPath
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@ -289,8 +290,8 @@ class StAlgoEngine(object):
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self.mainEngine = mainEngine
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self.eventEngine = eventEngine
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self.algoDict = {} # spreadName:algo
|
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self.vtSymbolAlgoDict = {} # vtSymbol:algo
|
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self.algoDict = OrderedDict() # spreadName:algo
|
||||
self.vtSymbolAlgoDict = {} # vtSymbol:algo
|
||||
|
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self.registerEvent()
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|
||||
|
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@ -415,6 +415,7 @@ class StActiveButton(QtWidgets.QPushButton):
|
||||
########################################################################
|
||||
class StAlgoManager(QtWidgets.QTableWidget):
|
||||
"""价差算法管理组件"""
|
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signalPos = QtCore.pyqtSignal(type(Event()))
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def __init__(self, stEngine, parent=None):
|
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@ -422,16 +423,20 @@ class StAlgoManager(QtWidgets.QTableWidget):
|
||||
super(StAlgoManager, self).__init__(parent)
|
||||
|
||||
self.algoEngine = stEngine.algoEngine
|
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self.eventEngine = stEngine.eventEngine
|
||||
|
||||
self.buttonActiveDict = {} # spreadName: buttonActive
|
||||
self.posCellDict = {} # spreadName: cell
|
||||
|
||||
self.initUi()
|
||||
self.registerEvent()
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def initUi(self):
|
||||
"""初始化表格"""
|
||||
headers = [u'价差',
|
||||
u'算法',
|
||||
u'净持仓'
|
||||
'BuyPrice',
|
||||
'SellPrice',
|
||||
'CoverPrice',
|
||||
@ -462,6 +467,7 @@ class StAlgoManager(QtWidgets.QTableWidget):
|
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for row, d in enumerate(l):
|
||||
cellSpreadName = QtWidgets.QTableWidgetItem(d['spreadName'])
|
||||
cellAlgoName = QtWidgets.QTableWidgetItem(d['algoName'])
|
||||
cellNetPos = QtWidgets.QTableWidgetItem('0')
|
||||
spinBuyPrice = StBuyPriceSpinBox(algoEngine, d['spreadName'], d['buyPrice'])
|
||||
spinSellPrice = StSellPriceSpinBox(algoEngine, d['spreadName'], d['sellPrice'])
|
||||
spinShortPrice = StShortPriceSpinBox(algoEngine, d['spreadName'], d['shortPrice'])
|
||||
@ -473,14 +479,15 @@ class StAlgoManager(QtWidgets.QTableWidget):
|
||||
|
||||
self.setItem(row, 0, cellSpreadName)
|
||||
self.setItem(row, 1, cellAlgoName)
|
||||
self.setCellWidget(row, 2, spinBuyPrice)
|
||||
self.setCellWidget(row, 3, spinSellPrice)
|
||||
self.setCellWidget(row, 4, spinCoverPrice)
|
||||
self.setCellWidget(row, 5, spinShortPrice)
|
||||
self.setCellWidget(row, 6, spinMaxOrderSize)
|
||||
self.setCellWidget(row, 7, spinMaxPosSize)
|
||||
self.setCellWidget(row, 8, comboMode)
|
||||
self.setCellWidget(row, 9, buttonActive)
|
||||
self.setItem(row, 2, cellNetPos)
|
||||
self.setCellWidget(row, 3, spinBuyPrice)
|
||||
self.setCellWidget(row, 4, spinSellPrice)
|
||||
self.setCellWidget(row, 5, spinCoverPrice)
|
||||
self.setCellWidget(row, 6, spinShortPrice)
|
||||
self.setCellWidget(row, 7, spinMaxOrderSize)
|
||||
self.setCellWidget(row, 8, spinMaxPosSize)
|
||||
self.setCellWidget(row, 9, comboMode)
|
||||
self.setCellWidget(row, 10, buttonActive)
|
||||
|
||||
buttonActive.signalActive.connect(spinBuyPrice.algoActiveChanged)
|
||||
buttonActive.signalActive.connect(spinSellPrice.algoActiveChanged)
|
||||
@ -491,12 +498,28 @@ class StAlgoManager(QtWidgets.QTableWidget):
|
||||
buttonActive.signalActive.connect(comboMode.algoActiveChanged)
|
||||
|
||||
self.buttonActiveDict[d['spreadName']] = buttonActive
|
||||
self.posCellDict[d['spreadName']] = cellNetPos
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def stopAll(self):
|
||||
"""停止所有算法"""
|
||||
for button in self.buttonActiveDict.values():
|
||||
button.stop()
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def processStPosEvent(self, event):
|
||||
""""""
|
||||
pos = event.dict_['data']
|
||||
cell = self.posCellDict[pos.name]
|
||||
cell.setText(str(pos.netPos))
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def registerEvent(self):
|
||||
""""""
|
||||
self.signalPos.connect(self.processStPosEvent)
|
||||
|
||||
self.eventEngine.register(EVENT_SPREADTRADING_POS, self.signalPos.emit)
|
||||
|
||||
|
||||
|
||||
########################################################################
|
||||
|
||||
@ -87,9 +87,6 @@ class BitmexGateway(VtGateway):
|
||||
self.restApi.connect(apiKey, apiSecret, sessionCount)
|
||||
self.wsApi.connect(apiKey, apiSecret, symbols)
|
||||
|
||||
# 初始化并启动查询
|
||||
#self.initQuery()
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def subscribe(self, subscribeReq):
|
||||
"""订阅行情"""
|
||||
|
||||
@ -488,7 +488,11 @@ class CcxtApi(object):
|
||||
tick.lowPrice = float(data['low'])
|
||||
tick.lastPrice = float(data['close'])
|
||||
tick.volume = float(data['quoteVolume'])
|
||||
tick.datetime = datetime.fromtimestamp(data['timestamp']/1000)
|
||||
|
||||
if data['timestamp']:
|
||||
tick.datetime = datetime.fromtimestamp(data['timestamp']/1000)
|
||||
else:
|
||||
tick.datetime = datetime.now()
|
||||
tick.date = tick.datetime.strftime('%Y%m%d')
|
||||
tick.time = tick.datetime.strftime('%H:%M:%S')
|
||||
|
||||
@ -509,8 +513,11 @@ class CcxtApi(object):
|
||||
for n, ask in enumerate(data['asks'][:5]):
|
||||
tick.__setattr__('askPrice%s' %(n+1), float(ask[0]))
|
||||
tick.__setattr__('askVolume%s' %(n+1), float(ask[1]))
|
||||
|
||||
tick.datetime = datetime.fromtimestamp(data['timestamp']/1000)
|
||||
|
||||
if data['timestamp']:
|
||||
tick.datetime = datetime.fromtimestamp(data['timestamp']/1000)
|
||||
else:
|
||||
tick.datetime = datetime.now()
|
||||
tick.date = tick.datetime.strftime('%Y%m%d')
|
||||
tick.time = tick.datetime.strftime('%H:%M:%S')
|
||||
|
||||
|
||||
@ -526,7 +526,8 @@ class WebsocketApi(FcoinWebsocketApi):
|
||||
tick.lastPrice = ticker[0]
|
||||
tick.volume = ticker[9]
|
||||
|
||||
self.gateway.onTick(copy(tick))
|
||||
if tick.askPrice1:
|
||||
self.gateway.onTick(copy(tick))
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def onDepth(self, d):
|
||||
@ -565,7 +566,8 @@ class WebsocketApi(FcoinWebsocketApi):
|
||||
tick.date = tick.datetime.strftime('%Y%m%d')
|
||||
tick.time = tick.datetime.strftime('%H:%M:%S')
|
||||
|
||||
self.gateway.onTick(copy(tick))
|
||||
if tick.lastPrice:
|
||||
self.gateway.onTick(copy(tick))
|
||||
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
|
||||
Loading…
Reference in New Issue
Block a user