[功能增强]股票复利修复，指数行情推送兼容1.x，CTA引擎支持账号仓位

vnpy/app/cta_stock/back_testing.py

@@ -598,6 +598,7 @@ class BackTestingEngine(object):
             adj_factor = adj_factor / adj_factor.iloc[0]  # 保证第一个复权因子是1
 
         # 把raw_data的第一个日期，插入复权因子df，使用后填充
+        if adj_factor.index[0] != raw_data.index[0]:
             adj_factor.loc[raw_data.index[0]] = np.nan
         adj_factor.sort_index(inplace=True)
         adj_factor = adj_factor.ffill()

vnpy/app/cta_stock/engine.py

@@ -1457,7 +1457,24 @@ class CtaEngine(BaseEngine):
         d.update(strategy.get_parameters())
         return d
 
-    def compare_pos(self,strategy_pos_list=[]):
+    def get_none_strategy_pos_list(self):
+        """获取非策略持有的仓位"""
+        # 格式 [  'strategy_name':'account', 'pos': [{'vt_symbol': '', 'direction': 'xxx', 'volume':xxx }] } ]
+        none_strategy_pos_file = os.path.abspath(os.path.join(os.getcwd(), 'data', 'none_strategy_pos.json'))
+        if not os.path.exists(none_strategy_pos_file):
+            return []
+        try:
+            with open(none_strategy_pos_file, encoding='utf8') as f:
+                pos_list = json.load(f)
+                if isinstance(pos_list, list):
+                    return pos_list
+
+            return []
+        except Exception as ex:
+            self.write_error(u'未能读取或解释{}'.format(none_strategy_pos_file))
+            return []
+
+    def compare_pos(self, strategy_pos_list=[]):
         """
         对比账号&策略的持仓,不同的话则发出微信提醒
         :return:
@@ -1473,13 +1490,15 @@ class CtaEngine(BaseEngine):
             strategy_pos_list = self.get_all_strategy_pos()
         self.write_log(u'策略持仓清单:{}'.format(strategy_pos_list))
 
+        none_strategy_pos = self.get_none_strategy_pos_list()
+        if len(none_strategy_pos) > 0:
+            strategy_pos_list.extend(none_strategy_pos)
+
         # 需要进行对比得合约集合（来自策略持仓/账号持仓）
         vt_symbols = set()
 
         # 账号的持仓处理 => account_pos
-
         compare_pos = dict()  # vt_symbol: {'账号多单': xx,'策略多单':[]}
-
         for position in list(self.positions.values()):
             # gateway_name.symbol.exchange => symbol.exchange
             vt_symbol = position.vt_symbol

vnpy/app/cta_strategy_pro/engine.py

@@ -1474,7 +1474,7 @@ class CtaEngine(BaseEngine):
         d.update(strategy.get_parameters())
         return d
 
-    def get_strategy_value(self, strategy_name: str, parameter:str):
+    def get_strategy_value(self, strategy_name: str, parameter: str):
         """获取策略的某个参数值"""
         strategy = self.strategies.get(strategy_name)
         if not strategy:
@@ -1483,7 +1483,24 @@ class CtaEngine(BaseEngine):
         value = getattr(strategy, parameter, None)
         return value
 
-    def compare_pos(self, strategy_pos_list=[]):
+    def get_none_strategy_pos_list(self):
+        """获取非策略持有的仓位"""
+        # 格式 [  'strategy_name':'account', 'pos': [{'vt_symbol': '', 'direction': 'xxx', 'volume':xxx }] } ]
+        none_strategy_pos_file = os.path.abspath(os.path.join(os.getcwd(), 'data', 'none_strategy_pos.json'))
+        if not os.path.exists(none_strategy_pos_file):
+            return []
+        try:
+            with open(none_strategy_pos_file, encoding='utf8') as f:
+                pos_list = json.load(f)
+                if isinstance(pos_list, list):
+                    return pos_list
+
+            return []
+        except Exception as ex:
+            self.write_error(u'未能读取或解释{}'.format(none_strategy_pos_file))
+            return []
+
+    def compare_pos(self, strategy_pos_list=[], auto_balance=False):
         """
         对比账号&策略的持仓,不同的话则发出微信提醒
         :return:
@@ -1499,6 +1516,10 @@ class CtaEngine(BaseEngine):
             strategy_pos_list = self.get_all_strategy_pos()
         self.write_log(u'策略持仓清单:{}'.format(strategy_pos_list))
 
+        none_strategy_pos = self.get_none_strategy_pos_list()
+        if len(none_strategy_pos) > 0:
+            strategy_pos_list.extend(none_strategy_pos)
+
         # 需要进行对比得合约集合（来自策略持仓/账号持仓）
         vt_symbols = set()
 
@@ -1584,8 +1605,9 @@ class CtaEngine(BaseEngine):
                 compare_info += msg
             else:
                 pos_compare_result += '\n{}: '.format(vt_symbol)
-                # 多单不一致
+                # 判断是多单不一致？
-                if round(symbol_pos['策略多单'], 7) != round(symbol_pos['账号多单'], 7):
+                diff_long_volume = round(symbol_pos['账号多单'], 7) - round(symbol_pos['策略多单'], 7)
+                if diff_long_volume != 0:
                     msg = '{}多单[账号({}), 策略{},共({})], ' \
                         .format(vt_symbol,
                                 symbol_pos['账号多单'],
@@ -1595,8 +1617,13 @@ class CtaEngine(BaseEngine):
                     pos_compare_result += msg
                     self.write_error(u'{}不一致:{}'.format(vt_symbol, msg))
                     compare_info += u'{}不一致:{}\n'.format(vt_symbol, msg)
-                # 空单不一致
+                    if auto_balance:
-                if round(symbol_pos['策略空单'], 7) != round(symbol_pos['账号空单'], 7):
+                        self.balance_pos(vt_symbol, Direction.LONG, diff_long_volume)
+
+                # 判断是空单不一致:
+                diff_short_volume = round(symbol_pos['账号空单'], 7) - round(symbol_pos['策略空单'], 7)
+
+                if diff_short_volume != 0:
                     msg = '{}空单[账号({}), 策略{},共({})], ' \
                         .format(vt_symbol,
                                 symbol_pos['账号空单'],
@@ -1605,6 +1632,8 @@ class CtaEngine(BaseEngine):
                     pos_compare_result += msg
                     self.write_error(u'{}不一致:{}'.format(vt_symbol, msg))
                     compare_info += u'{}不一致:{}\n'.format(vt_symbol, msg)
+                    if auto_balance:
+                        self.balance_pos(vt_symbol, Direction.SHORT, diff_short_volume)
 
         # 不匹配，输入到stdErr通道
         if pos_compare_result != '':
@@ -1624,6 +1653,51 @@ class CtaEngine(BaseEngine):
             self.write_log(u'账户持仓与策略一致')
             return True, compare_info
 
+    def balance_pos(self, vt_symbol, direction, volume):
+        """
+        平衡仓位
+        :param vt_symbol: 需要平衡得合约
+        :param direction: 合约原始方向
+        :param volume: 合约需要调整得数量（正数，需要平仓， 负数，需要开仓）
+        :return:
+        """
+        tick = self.get_tick(vt_symbol)
+        if tick is None:
+            gateway_names = self.main_engine.get_all_gateway_names()
+            gateway_name = gateway_names[0] if len(gateway_names) > 0 else ""
+            symbol, exchange = extract_vt_symbol(vt_symbol)
+            self.main_engine.subscribe(req=SubscribeRequest(symbol=symbol, exchange=exchange), gateway_name=gateway_name)
+        if volume > 0 and tick:
+            contract = self.main_engine.get_contract(vt_symbol)
+            req = OrderRequest(
+                symbol=contract.symbol,
+                exchange=contract.exchange,
+                direction=Direction.SHORT if direction == Direction.LONG else Direction.LONG,
+                offset=Offset.CLOSE,
+                type=OrderType.FAK,
+                price=tick.ask_price_1 if direction == Direction.SHORT else tick.bid_price_1,
+                volume=round(volume, 7)
+            )
+            reqs = self.offset_converter.convert_order_request(req=req, lock=False)
+            self.write_log(f'平衡仓位，减少 {vt_symbol}，方向:{direction}，数量:{req.volume} ')
+            for req in reqs:
+                self.main_engine.send_order(req, contract.gateway_name)
+        elif volume < 0 and tick:
+            contract = self.main_engine.get_contract(vt_symbol)
+            req = OrderRequest(
+                symbol=contract.symbol,
+                exchange=contract.exchange,
+                direction=direction,
+                offset=Offset.OPEN,
+                type=OrderType.FAK,
+                price=tick.ask_price_1 if direction == Direction.LONG else tick.bid_price_1,
+                volume=round(abs(volume), 7)
+            )
+            reqs = self.offset_converter.convert_order_request(req=req, lock=False)
+            self.write_log(f'平衡仓位， 增加{vt_symbol}， 方向:{direction}, 数量: {req.volume}')
+            for req in reqs:
+                self.main_engine.send_order(req, contract.gateway_name)
+
     def init_all_strategies(self):
         """
         """

vnpy/app/cta_strategy_pro/template.py

@@ -628,6 +628,8 @@ class CtaProTemplate(CtaTemplate):
         if self.idx_symbol is None:
             symbol, exchange = extract_vt_symbol(self.vt_symbol)
             self.idx_symbol = get_underlying_symbol(symbol).upper() + '99.' + exchange.value
+        self.cta_engine.subscribe_symbol(strategy_name=self.strategy_name, vt_symbol=self.idx_symbol)
+
         if self.vt_symbol != self.idx_symbol:
             self.write_log(f'指数合约:{self.idx_symbol}, 主力合约:{self.vt_symbol}')
         self.price_tick = self.cta_engine.get_price_tick(self.vt_symbol)

vnpy/app/index_tick_publisher/engine.py

@@ -26,7 +26,7 @@ from vnpy.component.base import (
 
 from vnpy.amqp.producer import publisher
 
-APP_NAME = 'INDEXDATAPUBLISHER'
+APP_NAME = 'Idx_Publisher'
 
 
 class IndexTickPublisher(BaseEngine):
@@ -472,6 +472,6 @@ class IndexTickPublisher(BaseEngine):
                 d = copy.copy(tick.__dict__)
                 if isinstance(tick.datetime, datetime):
                     d.update({'datetime': tick.datetime.strftime('%Y-%m-%d %H:%M:%S.%f')})
-                d.update({'exchange': tick.exchange.value()})
+                d.update({'exchange': tick.exchange.value})
                 d = json.dumps(d)
                 self.pub.pub(d)

vnpy/component/cta_line_bar.py

@@ -3774,7 +3774,7 @@ class CtaLineBar(object):
         if runtime:
             # 兼容写法，如果老策略没有配置实时运行，又用到实时数据，就添加
             if self.rt_count_skd not in self.rt_funcs:
-                self.write_log(u'skd_is_high_dead_cross(),添加rt_countSkd到实时函数中')
+                self.write_log(u'rt_count_skd(),添加rt_countSkd到实时函数中')
                 self.rt_funcs.add(self.rt_count_skd)
                 self.rt_count_sk_sd()
             if self._rt_sk is None or self._rt_sd is None:

vnpy/data/tdx/tdx_stock_data.py

@@ -366,16 +366,16 @@ class TdxStockData(object):
                    cache_date: str):
         """加载缓存数据"""
         if not os.path.exists(cache_folder):
-            self.write_error('缓存目录:{}不存在,不能读取'.format(cache_folder))
+            #self.write_error('缓存目录:{}不存在,不能读取'.format(cache_folder))
             return None
         cache_folder_year_month = os.path.join(cache_folder, cache_date[:6])
         if not os.path.exists(cache_folder_year_month):
-            self.write_error('缓存目录:{}不存在,不能读取'.format(cache_folder_year_month))
+            #self.write_error('缓存目录:{}不存在,不能读取'.format(cache_folder_year_month))
             return None
 
         cache_file = os.path.join(cache_folder_year_month, '{}_{}.pkb2'.format(cache_symbol, cache_date))
         if not os.path.isfile(cache_file):
-            self.write_error('缓存文件:{}不存在,不能读取'.format(cache_file))
+            #self.write_error('缓存文件:{}不存在,不能读取'.format(cache_file))
             return None
         with bz2.BZ2File(cache_file, 'rb') as f:
             data = pickle.load(f)

vnpy/gateway/ctp/ctp_gateway.py

@@ -1583,6 +1583,10 @@ class SubMdApi():
         try:
             str_tick = body.decode('utf-8')
             d = json.loads(str_tick)
+            d.pop('rawData', None)
+
+            d = self.conver_update(d)
+
             symbol = d.pop('symbol', None)
             str_datetime = d.pop('datetime', None)
             if symbol not in self.registed_symbol_set or str_datetime is None:
@@ -1592,14 +1596,12 @@ class SubMdApi():
             else:
                 dt = datetime.strptime(str_datetime, '%Y-%m-%d %H:%M:%S')
 
-            d.pop('rawData', None)
             tick = TickData(gateway_name=self.gateway_name,
                             exchange=Exchange(d.get('exchange')),
                             symbol=d.get('symbol'),
                             datetime=dt)
             d.pop('exchange', None)
             d.pop('symbol', None)
-            d.pop()
             tick.__dict__.update(d)
 
             self.symbol_tick_dict[symbol] = tick
@@ -1610,6 +1612,62 @@ class SubMdApi():
             self.gateway.write_error(u'RabbitMQ on_message 异常:{}'.format(str(ex)))
             self.gateway.write_error(traceback.format_exc())
 
+    def conver_update(self, d):
+        """转换dict， vnpy1 tick dict => vnpy2 tick dict"""
+        if 'vtSymbol' not in d:
+            return d
+        symbol= d.get('symbol')
+        exchange = d.get('exchange')
+        vtSymbol = d.pop('vtSymbol', symbol)
+        if '.' not in symbol:
+            d.update({'vt_symbol': f'{symbol}.{exchange}'})
+        else:
+            d.update({'vt_symbol': f'{symbol}.{Exchange.LOCAL.value}'})
+
+        # 成交数据
+        d.update({'last_price': d.pop('lastPrice',0.0)})  # 最新成交价
+        d.update({'last_volume': d.pop('lastVolume', 0)}) # 最新成交量
+
+        d.update({'open_interest': d.pop('openInterest', 0)})  #  昨持仓量
+
+        d.update({'open_interest': d.pop('tradingDay', get_trading_date())})
+
+
+        # 常规行情
+        d.update({'open_price': d.pop('openPrice', 0)})        # 今日开盘价
+        d.update({'high_price': d.pop('highPrice', 0)})  # 今日最高价
+        d.update({'low_price': d.pop('lowPrice', 0)})  # 今日最低价
+        d.update({'pre_close': d.pop('preClosePrice', 0)})  # 昨收盘价
+        d.update({'limit_up': d.pop('upperLimit', 0)}) # 涨停价
+        d.update({'limit_down': d.pop('lowerLimit', 0)})  # 跌停价
+
+        # 五档行情
+        d.update({'bid_price_1': d.pop('bidPrice1', 0.0)})
+        d.update({'bid_price_2': d.pop('bidPrice2', 0.0)})
+        d.update({'bid_price_3': d.pop('bidPrice3', 0.0)})
+        d.update({'bid_price_4': d.pop('bidPrice4', 0.0)})
+        d.update({'bid_price_5': d.pop('bidPrice5', 0.0)})
+
+        d.update({'ask_price_1': d.pop('askPrice1', 0.0)})
+        d.update({'ask_price_2': d.pop('askPrice2', 0.0)})
+        d.update({'ask_price_3': d.pop('askPrice3', 0.0)})
+        d.update({'ask_price_4': d.pop('askPrice4', 0.0)})
+        d.update({'ask_price_5': d.pop('askPrice5', 0.0)})
+
+        d.update({'bid_volume_1': d.pop('bidVolume1', 0.0)})
+        d.update({'bid_volume_2': d.pop('bidVolume2', 0.0)})
+        d.update({'bid_volume_3': d.pop('bidVolume3', 0.0)})
+        d.update({'bid_volume_4': d.pop('bidVolume4', 0.0)})
+        d.update({'bid_volume_5': d.pop('bidVolume5', 0.0)})
+
+        d.update({'ask_volume_1': d.pop('askVolume1', 0.0)})
+        d.update({'ask_volume_2': d.pop('askVolume2', 0.0)})
+        d.update({'ask_volume_3': d.pop('askVolume3', 0.0)})
+        d.update({'ask_volume_4': d.pop('askVolume4', 0.0)})
+        d.update({'ask_volume_5': d.pop('askVolume5', 0.0)})
+
+        return d
+
     def close(self):
         """退出API"""
         self.gateway.write_log(u'退出rabbit行情订阅API')

vnpy/trader/constant.py

@@ -158,3 +158,13 @@ class Interval(Enum):
     DAILY = "d"
     WEEKLY = "w"
     RENKO = 'renko'
+
+class StockType(Enum):
+    """股票类型（tdx）"""
+    STOCK = 'stock_cn'   # 股票
+    STOCKB = 'stockB_cn' # 深圳B股票（特别）
+    INDEX = 'index_cn'   # 指数
+    BOND = 'bond_cn'     # 企业债券
+    ETF = 'etf_cn'       # ETF
+    CB = 'cb_cn'         # 可转债
+    UNDEFINED = 'undefined' # 未定义