[Add] BasicSpreadStrategy for demo
This commit is contained in:
vn.py
parent
80d89d1cb8
commit
6a5d04e61f
@ -75,7 +75,7 @@ def main():
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# main_engine.add_gateway(DaGateway)
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main_engine.add_gateway(CoinbaseGateway)
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# main_engine.add_app(CtaStrategyApp)
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main_engine.add_app(CtaStrategyApp)
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# main_engine.add_app(CtaBacktesterApp)
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# main_engine.add_app(CsvLoaderApp)
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# main_engine.add_app(AlgoTradingApp)
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@ -1,8 +1,19 @@
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from pathlib import Path
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from vnpy.trader.app import BaseApp
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from vnpy.trader.object import (
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OrderData,
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TradeData
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)
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from .engine import SpreadEngine, APP_NAME
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from .engine import (
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SpreadEngine,
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APP_NAME,
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SpreadData,
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LegData,
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SpreadStrategyTemplate,
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SpreadAlgoTemplate
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)
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class SpreadTradingApp(BaseApp):
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@ -48,6 +48,8 @@ class SpreadEngine(BaseEngine):
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self.add_spread = self.data_engine.add_spread
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self.remove_spread = self.data_engine.remove_spread
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self.get_spread = self.data_engine.get_spread
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self.get_all_spreads = self.data_engine.get_all_spreads
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self.start_algo = self.algo_engine.start_algo
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self.stop_algo = self.algo_engine.stop_algo
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@ -60,6 +62,13 @@ class SpreadEngine(BaseEngine):
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self.data_engine.start()
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self.algo_engine.start()
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self.strategy_engine.start()
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def stop(self):
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""""""
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self.data_engine.stop()
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self.algo_engine.stop()
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self.strategy_engine.stop()
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def write_log(self, msg: str):
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""""""
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@ -94,6 +103,10 @@ class SpreadDataEngine:
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self.write_log("价差数据引擎启动成功")
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def stop(self):
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""""""
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pass
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def load_setting(self) -> None:
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""""""
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setting = load_json(self.setting_filename)
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@ -251,11 +264,20 @@ class SpreadDataEngine:
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spread = self.spreads.pop(name)
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for leg in spread.legs:
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for leg in spread.legs.values():
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self.symbol_spread_map[leg.vt_symbol].remove(spread)
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self.save_setting()
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self.write_log("价差删除成功：{}".format(name))
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self.write_log("价差移除成功：{}，重启后生效".format(name))
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def get_spread(self, name: str) -> SpreadData:
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""""""
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spread = self.spreads.get(name, None)
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return spread
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def get_all_spreads(self) -> List[SpreadData]:
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""""""
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return list(self.spreads.values())
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class SpreadAlgoEngine:
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@ -289,6 +311,11 @@ class SpreadAlgoEngine:
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self.write_log("价差算法引擎启动成功")
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def stop(self):
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""""""
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for algo in self.algos.values():
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self.stop_algo(algo)
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def register_event(self):
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""""""
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self.event_engine.register(EVENT_TICK, self.process_tick_event)
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@ -533,9 +560,10 @@ class SpreadStrategyEngine:
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self.vt_tradeids: Set = set()
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self.load_strategy_class()
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def start(self):
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""""""
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self.load_strategy_class()
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self.load_strategy_setting()
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self.register_event()
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@ -551,7 +579,7 @@ class SpreadStrategyEngine:
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"""
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path1 = Path(__file__).parent.joinpath("strategies")
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self.load_strategy_class_from_folder(
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path1, "vnpy.app.cta_strategy.strategies")
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path1, "vnpy.app.spread_trading.strategies")
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path2 = Path.cwd().joinpath("strategies")
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self.load_strategy_class_from_folder(path2, "strategies")
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@ -642,7 +670,8 @@ class SpreadStrategyEngine:
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strategies = self.spread_strategy_map[spread.name]
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for strategy in strategies:
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self.call_strategy_func(strategy, strategy.on_spread_data)
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if strategy.inited:
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self.call_strategy_func(strategy, strategy.on_spread_data)
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def process_spread_pos_event(self, event: Event):
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""""""
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@ -650,7 +679,8 @@ class SpreadStrategyEngine:
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strategies = self.spread_strategy_map[spread.name]
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for strategy in strategies:
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self.call_strategy_func(strategy, strategy.on_spread_pos)
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if strategy.inited:
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self.call_strategy_func(strategy, strategy.on_spread_pos)
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def process_spread_algo_event(self, event: Event):
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""""""
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@ -671,7 +701,7 @@ class SpreadStrategyEngine:
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def process_trade_event(self, event: Event):
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""""""
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trade = event.data
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strategy = self.trade_strategy_map.get(trade.vt_orderid, None)
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strategy = self.order_strategy_map.get(trade.vt_orderid, None)
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if strategy:
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self.call_strategy_func(strategy, strategy.on_trade, trade)
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@ -692,7 +722,7 @@ class SpreadStrategyEngine:
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strategy.inited = False
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msg = f"触发异常已停止\n{traceback.format_exc()}"
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self.write_log(msg, strategy)
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self.write_strategy_log(strategy, msg)
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def add_strategy(
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self, class_name: str, strategy_name: str, spread_name: str, setting: dict
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@ -709,7 +739,12 @@ class SpreadStrategyEngine:
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self.write_log(f"创建策略失败，找不到策略类{class_name}")
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return
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strategy = strategy_class(self, strategy_name, spread_name, setting)
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spread = self.spread_engine.get_spread(spread_name)
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if not spread:
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self.write_log(f"创建策略失败，找不到价差{spread_name}")
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return
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strategy = strategy_class(self, strategy_name, spread, setting)
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self.strategies[strategy_name] = strategy
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# Add vt_symbol to strategy map.
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@ -721,6 +756,37 @@ class SpreadStrategyEngine:
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self.put_strategy_event(strategy)
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def edit_strategy(self, strategy_name: str, setting: dict):
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"""
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Edit parameters of a strategy.
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"""
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strategy = self.strategies[strategy_name]
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strategy.update_setting(setting)
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self.update_strategy_setting(strategy_name, setting)
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self.put_strategy_event(strategy)
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def remove_strategy(self, strategy_name: str):
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"""
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Remove a strategy.
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"""
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strategy = self.strategies[strategy_name]
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if strategy.trading:
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self.write_log(f"策略{strategy.strategy_name}移除失败，请先停止")
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return
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# Remove setting
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self.remove_strategy_setting(strategy_name)
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# Remove from symbol strategy map
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strategies = self.spread_strategy_map[strategy.spread_name]
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strategies.remove(strategy)
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# Remove from strategies
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self.strategies.pop(strategy_name)
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return True
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def init_strategy(self, strategy_name: str):
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""""""
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strategy = self.strategies[strategy_name]
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@ -758,28 +824,48 @@ class SpreadStrategyEngine:
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return
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self.call_strategy_func(strategy, strategy.on_stop)
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strategy.trading = False
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strategy.stop_all_algos()
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strategy.cancel_all_orders()
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strategy.trading = False
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self.put_strategy_event(strategy)
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def init_all_strategies(self):
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""""""
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for strategy in self.strategies.values():
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for strategy in self.strategies.keys():
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self.init_strategy(strategy)
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def start_all_strategies(self):
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""""""
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for strategy in self.strategies.values():
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for strategy in self.strategies.keys():
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self.start_strategy(strategy)
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def stop_all_strategies(self):
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""""""
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for strategy in self.strategies.values():
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for strategy in self.strategies.keys():
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self.stop_strategy(strategy)
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def get_strategy_class_parameters(self, class_name: str):
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"""
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Get default parameters of a strategy class.
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"""
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strategy_class = self.classes[class_name]
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parameters = {}
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for name in strategy_class.parameters:
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parameters[name] = getattr(strategy_class, name)
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return parameters
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def get_strategy_parameters(self, strategy_name):
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"""
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Get parameters of a strategy.
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"""
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strategy = self.strategies[strategy_name]
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return strategy.get_parameters()
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def start_algo(
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self,
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strategy: SpreadStrategyTemplate,
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@ -864,7 +950,8 @@ class SpreadStrategyEngine:
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""""""
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order = self.main_engine.get_order(vt_orderid)
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if not order:
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self.write_strategy_log(strategy, "撤单失败，找不到委托{}".format(vt_orderid))
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self.write_strategy_log(
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strategy, "撤单失败，找不到委托{}".format(vt_orderid))
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return
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req = order.create_cancel_request()
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@ -876,7 +963,8 @@ class SpreadStrategyEngine:
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def put_strategy_event(self, strategy: SpreadStrategyTemplate):
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""""""
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event = Event(EVENT_SPREAD_STRATEGY, strategy)
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data = strategy.get_data()
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event = Event(EVENT_SPREAD_STRATEGY, data)
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self.event_engine.put(event)
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def write_strategy_log(self, strategy: SpreadStrategyTemplate, msg: str):
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0
vnpy/app/spread_trading/strategies/__init__.py
Normal file
0
vnpy/app/spread_trading/strategies/__init__.py
Normal file
168
vnpy/app/spread_trading/strategies/basic_spread_strategy.py
Normal file
168
vnpy/app/spread_trading/strategies/basic_spread_strategy.py
Normal file
@ -0,0 +1,168 @@
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from vnpy.app.spread_trading import (
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SpreadStrategyTemplate,
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SpreadAlgoTemplate,
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SpreadData,
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OrderData,
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TradeData
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)
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class BasicSpreadStrategy(SpreadStrategyTemplate):
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""""""
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author = "用Python的交易员"
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buy_price = 0.0
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sell_price = 0.0
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cover_price = 0.0
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short_price = 0.0
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max_pos = 0.0
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payup = 10
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interval = 5
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spread_pos = 0.0
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buy_algoid = ""
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sell_algoid = ""
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short_algoid = ""
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cover_algoid = ""
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parameters = [
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"buy_price",
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"sell_price",
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"cover_price",
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"short_price",
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"max_pos",
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"payup",
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"interval"
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]
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variables = [
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"spread_pos",
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"buy_algoid",
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"sell_algoid",
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"short_algoid",
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"cover_algoid",
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]
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def __init__(
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self,
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strategy_engine,
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strategy_name: str,
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spread: SpreadData,
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setting: dict
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):
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""""""
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super().__init__(
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strategy_engine, strategy_name, spread, setting
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)
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def on_init(self):
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"""
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Callback when strategy is inited.
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"""
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self.write_log("策略初始化")
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def on_start(self):
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"""
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Callback when strategy is started.
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"""
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self.write_log("策略启动")
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def on_stop(self):
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"""
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Callback when strategy is stopped.
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"""
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self.write_log("策略停止")
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self.buy_algoid = ""
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self.sell_algoid = ""
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self.short_algoid = ""
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self.cover_algoid = ""
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self.put_event()
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def on_spread_data(self):
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"""
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Callback when spread price is updated.
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"""
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self.spread_pos = self.get_spread_pos()
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# No position
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if not self.spread_pos:
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# Start open algos
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if not self.buy_algoid:
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self.buy_algoid = self.start_long_algo(
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self.buy_price, self.max_pos, self.payup, self.interval
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)
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if not self.short_algoid:
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self.short_algoid = self.start_short_algo(
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self.short_price, self.max_pos, self.payup, self.interval
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)
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# Stop close algos
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if self.sell_algoid:
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self.stop_algo(self.sell_algoid)
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if self.cover_algoid:
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self.stop_algo(self.cover_algoid)
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# Long position
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elif self.spread_pos > 0:
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# Start sell close algo
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if not self.sell_algoid:
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self.sell_algoid = self.start_short_algo(
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self.sell_price, self.spread_pos, self.payup, self.interval
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)
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# Stop buy open algo
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if self.buy_algoid:
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self.stop_algo(self.buy_algoid)
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# Short position
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elif self.spread_pos < 0:
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# Start cover close algo
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if not self.cover_algoid:
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self.cover_algoid = self.start_long_algo(
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self.cover_price, abs(
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self.spread_pos), self.payup, self.interval
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)
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# Stop short open algo
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if self.short_algoid:
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self.stop_algo(self.short_algoid)
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self.put_event()
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def on_spread_pos(self):
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"""
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Callback when spread position is updated.
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"""
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self.spread_pos = self.get_spread_pos()
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self.put_event()
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def on_spread_algo(self, algo: SpreadAlgoTemplate):
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"""
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Callback when algo status is updated.
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"""
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if not algo.is_active():
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if self.buy_algoid == algo.algoid:
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self.buy_algoid = ""
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elif self.sell_algoid == algo.algoid:
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self.sell_algoid = ""
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elif self.short_algoid == algo.algoid:
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self.short_algoid = ""
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else:
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self.cover_algoid = ""
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self.put_event()
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def on_order(self, order: OrderData):
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"""
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Callback when order status is updated.
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"""
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pass
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def on_trade(self, trade: TradeData):
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"""
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Callback when new trade data is received.
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"""
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pass
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@ -147,11 +147,11 @@ class SpreadAlgoTemplate:
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def update_timer(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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if self.count > self.interval:
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self.count = 0
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self.on_interval()
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self.on_interval()
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self.put_event()
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def put_event(self):
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""""""
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@ -358,7 +358,7 @@ class SpreadStrategyTemplate:
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Callback when algo status is updated.
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"""
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if not algo.is_active() and algo.algoid in self.algoids:
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self.algoids.pop(algo.algoid)
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self.algoids.remove(algo.algoid)
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self.on_spread_algo(algo)
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@ -367,7 +367,7 @@ class SpreadStrategyTemplate:
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Callback when order status is updated.
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"""
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if not order.is_active() and order.vt_orderid in self.vt_orderids:
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self.vt_orderids.pop(order.vt_orderid)
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self.vt_orderids.remove(order.vt_orderid)
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self.on_order(order)
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@ -461,7 +461,7 @@ class SpreadStrategyTemplate:
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volume: float,
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payup: int,
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interval: int,
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lock: bool
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lock: bool = False
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) -> str:
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""""""
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return self.start_algo(Direction.LONG, price, volume, payup, interval, lock)
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@ -472,7 +472,7 @@ class SpreadStrategyTemplate:
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volume: float,
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payup: int,
|
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interval: int,
|
||||
lock: bool
|
||||
lock: bool = False
|
||||
) -> str:
|
||||
""""""
|
||||
return self.start_algo(Direction.SHORT, price, volume, payup, interval, lock)
|
||||
|
||||
@ -34,6 +34,7 @@ class SpreadManager(QtWidgets.QWidget):
|
||||
|
||||
self.main_engine = main_engine
|
||||
self.event_engine = event_engine
|
||||
|
||||
self.spread_engine = main_engine.get_engine(APP_NAME)
|
||||
|
||||
self.init_ui()
|
||||
@ -43,8 +44,8 @@ class SpreadManager(QtWidgets.QWidget):
|
||||
self.setWindowTitle("价差交易")
|
||||
|
||||
self.algo_dialog = SpreadAlgoWidget(self.spread_engine)
|
||||
algo_tab = self.create_tab("交易", self.algo_dialog)
|
||||
algo_tab.setMaximumWidth(300)
|
||||
algo_group = self.create_group("交易", self.algo_dialog)
|
||||
algo_group.setMaximumWidth(300)
|
||||
|
||||
self.data_monitor = SpreadDataMonitor(
|
||||
self.main_engine,
|
||||
@ -63,13 +64,13 @@ class SpreadManager(QtWidgets.QWidget):
|
||||
)
|
||||
|
||||
grid = QtWidgets.QGridLayout()
|
||||
grid.addWidget(self.create_tab("价差", self.data_monitor), 0, 0)
|
||||
grid.addWidget(self.create_tab("日志", self.log_monitor), 1, 0)
|
||||
grid.addWidget(self.create_tab("算法", self.algo_monitor), 0, 1)
|
||||
grid.addWidget(self.create_tab("策略", self.strategy_monitor), 1, 1)
|
||||
grid.addWidget(self.create_group("价差", self.data_monitor), 0, 0)
|
||||
grid.addWidget(self.create_group("日志", self.log_monitor), 1, 0)
|
||||
grid.addWidget(self.create_group("算法", self.algo_monitor), 0, 1)
|
||||
grid.addWidget(self.create_group("策略", self.strategy_monitor), 1, 1)
|
||||
|
||||
hbox = QtWidgets.QHBoxLayout()
|
||||
hbox.addWidget(algo_tab)
|
||||
hbox.addWidget(algo_group)
|
||||
hbox.addLayout(grid)
|
||||
|
||||
self.setLayout(hbox)
|
||||
@ -77,14 +78,20 @@ class SpreadManager(QtWidgets.QWidget):
|
||||
def show(self):
|
||||
""""""
|
||||
self.spread_engine.start()
|
||||
|
||||
self.algo_dialog.update_class_combo()
|
||||
self.showMaximized()
|
||||
|
||||
def create_tab(self, title: str, widget: QtWidgets.QWidget):
|
||||
def create_group(self, title: str, widget: QtWidgets.QWidget):
|
||||
""""""
|
||||
tab = QtWidgets.QTabWidget()
|
||||
tab.addTab(widget, title)
|
||||
return tab
|
||||
group = QtWidgets.QGroupBox()
|
||||
|
||||
vbox = QtWidgets.QVBoxLayout()
|
||||
vbox.addWidget(widget)
|
||||
|
||||
group.setLayout(vbox)
|
||||
group.setTitle(title)
|
||||
|
||||
return group
|
||||
|
||||
|
||||
class SpreadDataMonitor(BaseMonitor):
|
||||
@ -145,7 +152,7 @@ class SpreadLogMonitor(QtWidgets.QTextEdit):
|
||||
def process_log_event(self, event: Event):
|
||||
""""""
|
||||
log = event.data
|
||||
msg = f"{log.time.strftime('%H:%M:%S')}：{log.msg}"
|
||||
msg = f"{log.time.strftime('%H:%M:%S')}\t{log.msg}"
|
||||
self.append(msg)
|
||||
|
||||
|
||||
@ -205,7 +212,6 @@ class SpreadAlgoWidget(QtWidgets.QFrame):
|
||||
self.strategy_engine: SpreadStrategyEngine = spread_engine.strategy_engine
|
||||
|
||||
self.init_ui()
|
||||
self.update_class_combo()
|
||||
|
||||
def init_ui(self):
|
||||
""""""
|
||||
@ -314,7 +320,8 @@ class SpreadAlgoWidget(QtWidgets.QFrame):
|
||||
|
||||
def remove_spread(self):
|
||||
""""""
|
||||
pass
|
||||
dialog = SpreadRemoveDialog(self.spread_engine)
|
||||
dialog.exec_()
|
||||
|
||||
def update_class_combo(self):
|
||||
""""""
|
||||
@ -470,7 +477,44 @@ class SpreadDataDialog(QtWidgets.QDialog):
|
||||
self.accept()
|
||||
|
||||
|
||||
class SpreadStrategyMonitor(QtWidgets.QScrollArea):
|
||||
class SpreadRemoveDialog(QtWidgets.QDialog):
|
||||
""""""
|
||||
|
||||
def __init__(self, spread_engine: SpreadEngine):
|
||||
""""""
|
||||
super().__init__()
|
||||
|
||||
self.spread_engine: SpreadEngine = spread_engine
|
||||
|
||||
self.init_ui()
|
||||
|
||||
def init_ui(self):
|
||||
""""""
|
||||
self.setWindowTitle("移除价差")
|
||||
self.setMinimumWidth(300)
|
||||
|
||||
self.name_combo = QtWidgets.QComboBox()
|
||||
spreads = self.spread_engine.get_all_spreads()
|
||||
for spread in spreads:
|
||||
self.name_combo.addItem(spread.name)
|
||||
|
||||
button_remove = QtWidgets.QPushButton("移除")
|
||||
button_remove.clicked.connect(self.remove_spread)
|
||||
|
||||
hbox = QtWidgets.QHBoxLayout()
|
||||
hbox.addWidget(self.name_combo)
|
||||
hbox.addWidget(button_remove)
|
||||
|
||||
self.setLayout(hbox)
|
||||
|
||||
def remove_spread(self):
|
||||
""""""
|
||||
spread_name = self.name_combo.currentText()
|
||||
self.spread_engine.remove_spread(spread_name)
|
||||
self.accept()
|
||||
|
||||
|
||||
class SpreadStrategyMonitor(QtWidgets.QWidget):
|
||||
""""""
|
||||
|
||||
signal_strategy = QtCore.pyqtSignal(Event)
|
||||
@ -495,8 +539,13 @@ class SpreadStrategyMonitor(QtWidgets.QScrollArea):
|
||||
scroll_widget = QtWidgets.QWidget()
|
||||
scroll_widget.setLayout(self.scroll_layout)
|
||||
|
||||
self.setWidgetResizable(True)
|
||||
self.setWidget(scroll_widget)
|
||||
scroll_area = QtWidgets.QScrollArea()
|
||||
scroll_area.setWidgetResizable(True)
|
||||
scroll_area.setWidget(scroll_widget)
|
||||
|
||||
vbox = QtWidgets.QVBoxLayout()
|
||||
vbox.addWidget(scroll_area)
|
||||
self.setLayout(vbox)
|
||||
|
||||
def register_event(self):
|
||||
""""""
|
||||
@ -517,10 +566,15 @@ class SpreadStrategyMonitor(QtWidgets.QScrollArea):
|
||||
manager = self.managers[strategy_name]
|
||||
manager.update_data(data)
|
||||
else:
|
||||
manager = SpreadStrategyWidget(self.strategy_engine, data)
|
||||
manager = SpreadStrategyWidget(self, self.strategy_engine, data)
|
||||
self.scroll_layout.insertWidget(0, manager)
|
||||
self.managers[strategy_name] = manager
|
||||
|
||||
def remove_strategy(self, strategy_name):
|
||||
""""""
|
||||
manager = self.managers.pop(strategy_name)
|
||||
manager.deleteLater()
|
||||
|
||||
|
||||
class SpreadStrategyWidget(QtWidgets.QFrame):
|
||||
"""
|
||||
@ -529,12 +583,14 @@ class SpreadStrategyWidget(QtWidgets.QFrame):
|
||||
|
||||
def __init__(
|
||||
self,
|
||||
strategy_monitor: SpreadStrategyMonitor,
|
||||
strategy_engine: SpreadStrategyEngine,
|
||||
data: dict
|
||||
):
|
||||
""""""
|
||||
super().__init__()
|
||||
|
||||
self.strategy_monitor = strategy_monitor
|
||||
self.strategy_engine = strategy_engine
|
||||
|
||||
self.strategy_name = data["strategy_name"]
|
||||
@ -629,7 +685,7 @@ class SpreadStrategyWidget(QtWidgets.QFrame):
|
||||
|
||||
# Only remove strategy gui manager if it has been removed from engine
|
||||
if result:
|
||||
self.spread_manager.remove_strategy(self.strategy_name)
|
||||
self.strategy_monitor.remove_strategy(self.strategy_name)
|
||||
|
||||
|
||||
class StrategyDataMonitor(QtWidgets.QTableWidget):
|
||||
@ -698,11 +754,11 @@ class SettingEditor(QtWidgets.QDialog):
|
||||
""""""
|
||||
form = QtWidgets.QFormLayout()
|
||||
|
||||
# Add vt_symbol and name edit if add new strategy
|
||||
# Add spread_name and name edit if add new strategy
|
||||
if self.class_name:
|
||||
self.setWindowTitle(f"添加策略：{self.class_name}")
|
||||
button_text = "添加"
|
||||
parameters = {"strategy_name": "", "vt_symbol": ""}
|
||||
parameters = {"strategy_name": "", "spread_name": ""}
|
||||
parameters.update(self.parameters)
|
||||
else:
|
||||
self.setWindowTitle(f"参数编辑：{self.strategy_name}")
|
||||
|
||||
Loading…
Reference in New Issue
Block a user