Merge branch 'dev' of https://github.com/vnpy/vnpy into dev

examples/CryptoTrader/uiCryptoWidget.py

@@ -497,10 +497,11 @@ class LogMonitor(BasicMonitor):
         cellLogContent = BasicCell(logContent)
         cellGatewayName = BasicCell(error.gatewayName)
         
-        self.setItem(0, 0, cellLogTime)
+        self.setItem(0, 0, cellGatewayName)
-        self.setItem(0, 1, cellLogContent)
+        self.setItem(0, 1, cellLogTime)
-        self.setItem(0, 2, cellGatewayName)
+        self.setItem(0, 2, cellLogContent)
-        
+
+
 
 ########################################################################
 class TradeMonitor(BasicMonitor):

vnpy/api/coinbase/vncoinbase.py

@@ -199,18 +199,14 @@ class CoinbaseWebsocketApi(object):
     def run(self):
         """运行"""
         while self.active:
-            stream = self.ws.recv()
+            try:
-            data = json.loads(stream)
+                stream = self.ws.recv()
-            self.onData(data)
+                data = json.loads(stream)
-            
+                self.onData(data)
-            #try:
+            except:
-                #stream = self.ws.recv()
+                msg = traceback.format_exc()
-                #data = json.loads(stream)
+                self.onError(msg)
-                #self.onData(data)
+                self.reconnect()
-            #except:
-                #msg = traceback.format_exc()
-                #self.onError(msg)
-                #self.reconnect()
     
     #----------------------------------------------------------------------
     def close(self):

vnpy/trader/app/algoTrading/algo/arbitrageAlgo.py

@@ -0,0 +1,225 @@
+# encoding: UTF-8
+
+from __future__ import division
+from collections import OrderedDict
+
+from vnpy.trader.vtConstant import (DIRECTION_LONG, DIRECTION_SHORT,
+                                    OFFSET_OPEN, OFFSET_CLOSE,
+                                    STATUS_ALLTRADED, STATUS_CANCELLED,
+                                    STATUS_REJECTED)
+from vnpy.trader.uiQt import QtGui
+
+from vnpy.trader.app.algoTrading.algoTemplate import AlgoTemplate
+from vnpy.trader.app.algoTrading.uiAlgoWidget import AlgoWidget, QtWidgets
+
+
+STATUS_FINISHED = set([STATUS_ALLTRADED, STATUS_CANCELLED, STATUS_REJECTED])
+
+
+########################################################################
+class ArbitrageAlgo(AlgoTemplate):
+    """Arbitrage算法，用于套利"""
+    
+    templateName = u'Arbitrage 套利'
+
+    #----------------------------------------------------------------------
+    def __init__(self, engine, setting, algoName):
+        """Constructor"""
+        super(ArbitrageAlgo, self).__init__(engine, setting, algoName)
+        
+        # 配置参数
+        self.activeVtSymbol = str(setting['activeVtSymbol'])    # 主动腿
+        self.passiveVtSymbol = str(setting['passiveVtSymbol'])  # 被动腿
+        
+        self.spread = float(setting['spread'])    # 价差
+        self.volume = float(setting['volume'])    # 数量
+        self.interval = int(setting['interval'])  # 间隔
+        
+        self.activeOrderID = ''            # 主动委托号
+        self.passiveOrderID = ''           # 被动委托号
+        
+        self.netPos = 0                    # 净持仓
+        self.count = 0                     # 运行计数
+
+        # 初始化
+        self.subscribe(self.activeVtSymbol)
+        self.subscribe(self.passiveVtSymbol)
+        
+        self.paramEvent()
+        self.varEvent()
+    
+    #----------------------------------------------------------------------
+    def onTick(self, tick):
+        """"""
+        pass
+        
+    #----------------------------------------------------------------------
+    def onTrade(self, trade):
+        """"""
+        # 更新净持仓数量
+        if trade.direction == DIRECTION_LONG:
+            self.netPos += trade.volume
+        else:
+            self.netPos -= trade.volume
+            
+        # 如果是主动腿成交则需要执行对冲
+        if trade.vtSymbol == self.activeVtSymbol:
+            self.hedge()
+
+        self.varEvent()
+    
+    #----------------------------------------------------------------------
+    def onOrder(self, order):
+        """"""
+        if order.vtSymbol == self.activeVtSymbol:
+            if order.status in STATUS_FINISHED:
+                self.activeOrderID = ''
+        elif order.vtSymbol == self.passiveVtSymbol:
+            if order.status in STATUS_FINISHED:
+                self.passiveOrderID = ''
+        
+        self.varEvent()
+    
+    #----------------------------------------------------------------------
+    def onTimer(self):
+        """"""
+        self.count += 1
+        if self.count < self.interval:
+            return
+        
+        self.count = 0
+        
+        # 撤单
+        if self.activeOrderID or self.passiveOrderID:
+            self.cancelAll()
+            return
+        
+        # 如果有净仓位则执行对冲
+        if self.netPos:
+            self.hedge()
+            return
+        
+        # 计算价差的bid/ask
+        activeTick = self.getTick(self.activeVtSymbol)
+        passiveTick = self.getTick(self.passiveVtSymbol)
+        
+        spreadBidPrice = activeTick.bidPrice1 - passiveTick.askPrice1
+        spreadAskPrice = activeTick.askPrice1 - passiveTick.bidPrice1
+        
+        spreadBidVolume = min(activeTick.bidVolume1, passiveTick.askVolume1)
+        spreadAskVolume = min(activeTick.askVolume1, passiveTick.bidVolume1)
+        
+        if spreadBidPrice > self.spread:
+            self.activeOrderID = self.sell(self.activeVtSymbol, activeTick.bidPrice1, spreadBidVolume)
+        elif spreadAskPrice < - self.spread:
+            self.activeOrderID = self.buy(self.activeVtSymbol, activeTick.askPrice1, spreadAskVolume)
+        
+        # 更新界面
+        self.varEvent()
+        
+    #----------------------------------------------------------------------
+    def onStop(self):
+        """"""
+        self.writeLog(u'算法停止')
+        
+        self.varEvent()
+        
+    #----------------------------------------------------------------------
+    def varEvent(self):
+        """更新变量"""
+        d = OrderedDict()
+        d[u'算法状态'] = self.active
+        d[u'运行计数'] = self.count
+        d[u'净持仓'] = self.netPos
+        d[u'主动腿委托号'] = self.activeOrderID
+        d[u'被动腿委托号'] = self.passiveOrderID
+        self.putVarEvent(d)
+    
+    #----------------------------------------------------------------------
+    def paramEvent(self):
+        """更新参数"""
+        d = OrderedDict()
+        d[u'主动腿代码'] = self.activeVtSymbol
+        d[u'被动腿代码'] = self.passiveVtSymbol
+        d[u'价差'] = self.spread
+        d[u'数量'] = self.volume
+        d[u'间隔'] = self.interval
+        self.putParamEvent(d)
+
+    #----------------------------------------------------------------------
+    def hedge(self):
+        """"""
+        tick = self.getTick(self.passiveVtSymbol)
+        volume = abs(self.netPos)
+        
+        if self.netPos > 0:
+            self.passiveOrderID = self.sell(self.passiveVtSymbol,
+                                            tick.bidPrice5,
+                                            volume)
+        elif self.netPos < 0:
+            self.passiveOrderID = self.buy(self.activeVtSymbol,
+                                           tick.askPrice5,
+                                           volume)
+
+
+
+########################################################################
+class ArbitrageWidget(AlgoWidget):
+    """"""
+    
+    #----------------------------------------------------------------------
+    def __init__(self, algoEngine, parent=None):
+        """Constructor"""
+        super(ArbitrageWidget, self).__init__(algoEngine, parent)
+        
+        self.templateName = ArbitrageAlgo.templateName
+        
+    #----------------------------------------------------------------------
+    def initAlgoLayout(self):
+        """"""
+        self.lineActiveVtSymbol = QtWidgets.QLineEdit()
+        self.linePassiveVtSymbol = QtWidgets.QLineEdit()
+        
+        validator = QtGui.QDoubleValidator()
+        validator.setBottom(0)
+        
+        self.lineSpread = QtWidgets.QLineEdit()
+        self.lineSpread.setValidator(validator)
+        
+        self.lineVolume = QtWidgets.QLineEdit()
+        self.lineVolume.setValidator(validator)
+        
+        intValidator = QtGui.QIntValidator()
+        intValidator.setBottom(10)
+        self.lineInterval = QtWidgets.QLineEdit()
+        self.lineInterval.setValidator(intValidator)
+        
+        Label = QtWidgets.QLabel
+        
+        grid = QtWidgets.QGridLayout()
+        grid.addWidget(Label(u'主动腿代码'), 0, 0)
+        grid.addWidget(self.lineActiveVtSymbol, 0, 1)
+        grid.addWidget(Label(u'被动腿代码'), 1, 0)
+        grid.addWidget(self.linePassiveVtSymbol, 1, 1)
+        grid.addWidget(Label(u'套利价差'), 2, 0)
+        grid.addWidget(self.lineSpread, 2, 1)
+        grid.addWidget(Label(u'委托数量'), 3, 0)
+        grid.addWidget(self.lineVolume, 3, 1)
+        grid.addWidget(Label(u'运行间隔'), 4, 0)
+        grid.addWidget(self.lineInterval, 4, 1)
+        
+        return grid
+    
+    #----------------------------------------------------------------------
+    def getAlgoSetting(self):
+        """"""
+        setting = OrderedDict()
+        setting['templateName'] = self.templateName
+        setting['activeVtSymbol'] = str(self.lineActiveVtSymbol.text())
+        setting['passiveVtSymbol'] = str(self.linePassiveVtSymbol.text())
+        setting['spread'] = float(self.lineSpread.text())
+        setting['volume'] = float(self.lineVolume.text())
+        setting['interval'] = int(self.lineInterval.text())
+        
+        return setting
+    

vnpy/trader/app/algoTrading/algo/blAlgo.py

@@ -188,7 +188,7 @@ class BlWidget(AlgoWidget):
     def getAlgoSetting(self):
         """"""
         setting = OrderedDict()
-        setting['templateName'] = StopAlgo.templateName
+        setting['templateName'] = self.templateName
         setting['vtSymbol'] = str(self.lineVtSymbol.text())
         setting['direction'] = text_type(self.comboDirection.currentText())
         setting['offset'] = text_type(self.comboOffset.currentText())

vnpy/trader/app/algoTrading/algo/icebergAlgo.py

@@ -34,7 +34,7 @@ class IcebergAlgo(AlgoTemplate):
         self.price = float(setting['price'])                # 价格
         self.volume = float(setting['volume'])              # 数量
         self.display = float(setting['display'])            # 挂出数量
-        self.interval = text_type(setting['interval'])      # 间隔
+        self.interval = int(setting['interval'])            # 间隔
         self.offset = text_type(setting['offset'])          # 开平
         
         self.count = 0          # 执行计数
@@ -73,12 +73,18 @@ class IcebergAlgo(AlgoTemplate):
     def onTimer(self):
         """"""
         self.count += 1
+        
         if self.count < self.interval:
             self.varEvent()
             return
         
         self.count = 0
         
+        contract = self.getContract(self.vtSymbol)
+        if not contract:
+            self.writeLog(u'找不到合约%s' %self.vtSymbol)
+            return
+        
         if not self.vtOrderID:
             orderVolume = self.volume - self.tradedVolume
             orderVolume = min(orderVolume, self.display)
@@ -193,7 +199,7 @@ class IcebergWidget(AlgoWidget):
     def getAlgoSetting(self):
         """"""
         setting = OrderedDict()
-        setting['templateName'] = StopAlgo.templateName
+        setting['templateName'] = self.templateName
         setting['vtSymbol'] = str(self.lineVtSymbol.text())
         setting['direction'] = text_type(self.comboDirection.currentText())
         setting['offset'] = text_type(self.comboOffset.currentText())

vnpy/trader/app/algoTrading/algo/sniperAlgo.py

@@ -178,7 +178,7 @@ class SniperWidget(AlgoWidget):
     def getAlgoSetting(self):
         """"""
         setting = OrderedDict()
-        setting['templateName'] = StopAlgo.templateName
+        setting['templateName'] = self.templateName
         setting['vtSymbol'] = str(self.lineVtSymbol.text())
         setting['direction'] = text_type(self.comboDirection.currentText())
         setting['offset'] = text_type(self.comboOffset.currentText())

vnpy/trader/app/spreadTrading/stEngine.py

@@ -3,6 +3,7 @@
 import json
 import traceback
 import shelve
+from collections import OrderedDict
 
 from vnpy.event import Event
 from vnpy.trader.vtFunction import getJsonPath, getTempPath
@@ -289,8 +290,8 @@ class StAlgoEngine(object):
         self.mainEngine = mainEngine
         self.eventEngine = eventEngine
         
-        self.algoDict = {}          # spreadName:algo
+        self.algoDict = OrderedDict()   # spreadName:algo
-        self.vtSymbolAlgoDict = {}  # vtSymbol:algo
+        self.vtSymbolAlgoDict = {}      # vtSymbol:algo
         
         self.registerEvent()
         

vnpy/trader/app/spreadTrading/uiStWidget.py

@@ -415,6 +415,7 @@ class StActiveButton(QtWidgets.QPushButton):
 ########################################################################
 class StAlgoManager(QtWidgets.QTableWidget):
     """价差算法管理组件"""
+    signalPos = QtCore.pyqtSignal(type(Event()))
 
     #----------------------------------------------------------------------
     def __init__(self, stEngine, parent=None):
@@ -422,16 +423,20 @@ class StAlgoManager(QtWidgets.QTableWidget):
         super(StAlgoManager, self).__init__(parent)
         
         self.algoEngine = stEngine.algoEngine
+        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):
         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.setItem(row, 2, cellNetPos)
-            self.setCellWidget(row, 3, spinSellPrice)
+            self.setCellWidget(row, 3, spinBuyPrice)
-            self.setCellWidget(row, 4, spinCoverPrice)
+            self.setCellWidget(row, 4, spinSellPrice)
-            self.setCellWidget(row, 5, spinShortPrice)
+            self.setCellWidget(row, 5, spinCoverPrice)
-            self.setCellWidget(row, 6, spinMaxOrderSize)
+            self.setCellWidget(row, 6, spinShortPrice)
-            self.setCellWidget(row, 7, spinMaxPosSize)
+            self.setCellWidget(row, 7, spinMaxOrderSize)
-            self.setCellWidget(row, 8, comboMode)
+            self.setCellWidget(row, 8, spinMaxPosSize)
-            self.setCellWidget(row, 9, buttonActive)
+            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)
+        
 
 
 ########################################################################

vnpy/trader/gateway/bitmexGateway/bitmexGateway.py

@@ -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"""

vnpy/trader/gateway/ccxtGateway/ccxtGateway.py

@@ -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')        
         

vnpy/trader/gateway/fcoinGateway/fcoinGateway.py

@@ -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))        
 
 
 #----------------------------------------------------------------------