[bug fix] 手续费缺省万分之二

vnpy/app/cta_strategy_pro/back_testing.py

@@ -407,7 +407,10 @@ class BackTestingEngine(object):
 
     def get_commission_rate(self, vt_symbol: str):
         """ 获取保证金比例，缺省万分之一"""
-        return self.commission_rate.get(vt_symbol, float(0.00001))
+        if vt_symbol not in self.commission_rate:
+            symbol, exchange = extract_vt_symbol(vt_symbol)
+            return self.commission_rate.get(symbol, float(0.0001))
+        return self.commission_rate.get(vt_symbol, float(0.0001))
 
     def get_fix_commission(self, vt_symbol: str):
         return self.fix_commission.get(vt_symbol, 0)
@@ -623,11 +626,12 @@ class BackTestingEngine(object):
             self.set_margin_rate(symbol, margin_rate)
 
             self.set_commission_rate(symbol, symbol_data.get('commission_rate', float(0.0001)))
-
+            exchange = symbol_data.get('exchange', 'LOCAL')
+            self.set_commission_rate(f'{symbol}.{exchange}', symbol_data.get('commission_rate', float(0.0001)))
             self.set_contract(
                 symbol=symbol,
                 name=symbol,
-                exchange=Exchange(symbol_data.get('exchange', 'LOCAL')),
+                exchange=Exchange(exchange),
                 product=Product(symbol_data.get('product', "期货")),
                 size=symbol_data.get('symbol_size', 10),
                 price_tick=symbol_data.get('price_tick', 1),
@@ -1874,6 +1878,7 @@ class BackTestingEngine(object):
                 # 不计算套利合约的持仓占用保证金
                 if t.vt_symbol.endswith('SPD') or t.vt_symbol.endswith('SPD99'):
                     continue
+                cur_occupy_money = 0
                 # 当前空单保证金
                 if self.use_margin:
                     try:

vnpy/app/cta_strategy_pro/engine.py

@@ -1065,8 +1065,9 @@ class CtaEngine(BaseEngine):
         except Exception:
             strategy.trading = False
             strategy.inited = False
+            accountid = self.engine_config.get('accountid', 'XXX')
 
-            msg = f"触发异常已停止\n{traceback.format_exc()}"
+            msg = f"{accountid}/{strategy.strategy_name}触发异常已停止\n{traceback.format_exc()}"
             self.write_log(msg=msg,
                            strategy_name=strategy.strategy_name,
                            level=logging.CRITICAL)

vnpy/app/cta_strategy_pro/template.py

@@ -899,6 +899,7 @@ class CtaProTemplate(CtaTemplate):
 
         none_mi_grid = None
         none_mi_symbol = None
+
         self.write_log(f'持仓换月=>启动.')
         # 找出非主力合约的持仓网格
         for g in self.gt.get_opened_grids(direction=Direction.LONG):
@@ -1648,11 +1649,20 @@ class CtaProFutureTemplate(CtaProTemplate):
 
             self.gt.save()
 
+        # 普通限价单委托方式
         else:
             pre_status = old_order.get('status', Status.NOTTRADED)
             old_order.update({'status': Status.CANCELLED})
+
             self.write_log(u'委托单状态:{}=>{}'.format(pre_status, old_order.get('status')))
             if grid:
+                # 判断是否有部分交易
+                if order.traded > 0:
+                    old_traded_volume = grid.traded_volume
+                    grid.traded_volume += order.traded
+                    self.write_log(f'{grid.direction.value}单部分{order.offset}仓，'
+                                   + f'网格volume:{grid.volume}, traded_volume:{old_traded_volume}=>{grid.traded_volume}')
+
                 if order.vt_orderid in grid.order_ids:
                     grid.order_ids.remove(order.vt_orderid)
                 if len(grid.order_ids) == 0:
@@ -1709,14 +1719,16 @@ class CtaProFutureTemplate(CtaProTemplate):
                     self.active_orders.update({vt_orderid: order_info})
                     ret = self.cancel_order(str(vt_orderid))
                     if not ret:
-                        self.write_log(u'撤单逻辑 => 撤单失败,更新状态为撤单成功')
+                        self.write_error(f'{self.strategy_name}撤单逻辑 => {order_vt_symbol}撤单失败')
-                        order_info.update({'status': Status.CANCELLED})
+
-                        self.active_orders.update({vt_orderid: order_info})
+                        #self.write_log(u'撤单逻辑 => 撤单失败,更新状态为撤单成功')
-                        if order_grid:
+                    #     order_info.update({'status': Status.CANCELLED})
-                            if vt_orderid in order_grid.order_ids:
+                    #     self.active_orders.update({vt_orderid: order_info})
-                                order_grid.order_ids.remove(vt_orderid)
+                    #     if order_grid:
-                            if len(order_grid.order_ids) == 0:
+                    #         if vt_orderid in order_grid.order_ids:
-                                order_grid.order_status = False
+                    #             order_grid.order_ids.remove(vt_orderid)
+                    #         if len(order_grid.order_ids) == 0:
+                    #             order_grid.order_status = False
                 continue
 
             # 处理状态为‘撤销’的委托单