From 6a5d04e61f65dc4cf18a96c9413f8468ff9546c1 Mon Sep 17 00:00:00 2001 From: "vn.py" Date: Tue, 17 Sep 2019 22:35:40 +0800 Subject: [PATCH] [Add] BasicSpreadStrategy for demo --- examples/vn_trader/run.py | 2 +- vnpy/app/spread_trading/__init__.py | 13 +- vnpy/app/spread_trading/engine.py | 120 +++++++++++-- .../app/spread_trading/strategies/__init__.py | 0 .../strategies/basic_spread_strategy.py | 168 ++++++++++++++++++ vnpy/app/spread_trading/template.py | 16 +- vnpy/app/spread_trading/ui/widget.py | 100 ++++++++--- 7 files changed, 371 insertions(+), 48 deletions(-) create mode 100644 vnpy/app/spread_trading/strategies/__init__.py create mode 100644 vnpy/app/spread_trading/strategies/basic_spread_strategy.py diff --git a/examples/vn_trader/run.py b/examples/vn_trader/run.py index f063a687..229679e6 100644 --- a/examples/vn_trader/run.py +++ b/examples/vn_trader/run.py @@ -75,7 +75,7 @@ def main(): # main_engine.add_gateway(DaGateway) main_engine.add_gateway(CoinbaseGateway) - # main_engine.add_app(CtaStrategyApp) + main_engine.add_app(CtaStrategyApp) # main_engine.add_app(CtaBacktesterApp) # main_engine.add_app(CsvLoaderApp) # main_engine.add_app(AlgoTradingApp) diff --git a/vnpy/app/spread_trading/__init__.py b/vnpy/app/spread_trading/__init__.py index 36ab7f9b..360a4390 100644 --- a/vnpy/app/spread_trading/__init__.py +++ b/vnpy/app/spread_trading/__init__.py @@ -1,8 +1,19 @@ from pathlib import Path from vnpy.trader.app import BaseApp +from vnpy.trader.object import ( + OrderData, + TradeData +) -from .engine import SpreadEngine, APP_NAME +from .engine import ( + SpreadEngine, + APP_NAME, + SpreadData, + LegData, + SpreadStrategyTemplate, + SpreadAlgoTemplate +) class SpreadTradingApp(BaseApp): diff --git a/vnpy/app/spread_trading/engine.py b/vnpy/app/spread_trading/engine.py index 84e65393..c3157b6a 100644 --- a/vnpy/app/spread_trading/engine.py +++ b/vnpy/app/spread_trading/engine.py @@ -48,6 +48,8 @@ class SpreadEngine(BaseEngine): self.add_spread = self.data_engine.add_spread self.remove_spread = self.data_engine.remove_spread + self.get_spread = self.data_engine.get_spread + self.get_all_spreads = self.data_engine.get_all_spreads self.start_algo = self.algo_engine.start_algo self.stop_algo = self.algo_engine.stop_algo @@ -60,6 +62,13 @@ class SpreadEngine(BaseEngine): self.data_engine.start() self.algo_engine.start() + self.strategy_engine.start() + + def stop(self): + """""" + self.data_engine.stop() + self.algo_engine.stop() + self.strategy_engine.stop() def write_log(self, msg: str): """""" @@ -94,6 +103,10 @@ class SpreadDataEngine: self.write_log("价差数据引擎启动成功") + def stop(self): + """""" + pass + def load_setting(self) -> None: """""" setting = load_json(self.setting_filename) @@ -251,11 +264,20 @@ class SpreadDataEngine: spread = self.spreads.pop(name) - for leg in spread.legs: + for leg in spread.legs.values(): self.symbol_spread_map[leg.vt_symbol].remove(spread) self.save_setting() - self.write_log("价差删除成功：{}".format(name)) + self.write_log("价差移除成功：{}，重启后生效".format(name)) + + def get_spread(self, name: str) -> SpreadData: + """""" + spread = self.spreads.get(name, None) + return spread + + def get_all_spreads(self) -> List[SpreadData]: + """""" + return list(self.spreads.values()) class SpreadAlgoEngine: @@ -289,6 +311,11 @@ class SpreadAlgoEngine: self.write_log("价差算法引擎启动成功") + def stop(self): + """""" + for algo in self.algos.values(): + self.stop_algo(algo) + def register_event(self): """""" self.event_engine.register(EVENT_TICK, self.process_tick_event) @@ -533,9 +560,10 @@ class SpreadStrategyEngine: self.vt_tradeids: Set = set() + self.load_strategy_class() + def start(self): """""" - self.load_strategy_class() self.load_strategy_setting() self.register_event() @@ -551,7 +579,7 @@ class SpreadStrategyEngine: """ path1 = Path(__file__).parent.joinpath("strategies") self.load_strategy_class_from_folder( - path1, "vnpy.app.cta_strategy.strategies") + path1, "vnpy.app.spread_trading.strategies") path2 = Path.cwd().joinpath("strategies") self.load_strategy_class_from_folder(path2, "strategies") @@ -642,7 +670,8 @@ class SpreadStrategyEngine: strategies = self.spread_strategy_map[spread.name] for strategy in strategies: - self.call_strategy_func(strategy, strategy.on_spread_data) + if strategy.inited: + self.call_strategy_func(strategy, strategy.on_spread_data) def process_spread_pos_event(self, event: Event): """""" @@ -650,7 +679,8 @@ class SpreadStrategyEngine: strategies = self.spread_strategy_map[spread.name] for strategy in strategies: - self.call_strategy_func(strategy, strategy.on_spread_pos) + if strategy.inited: + self.call_strategy_func(strategy, strategy.on_spread_pos) def process_spread_algo_event(self, event: Event): """""" @@ -671,7 +701,7 @@ class SpreadStrategyEngine: def process_trade_event(self, event: Event): """""" trade = event.data - strategy = self.trade_strategy_map.get(trade.vt_orderid, None) + strategy = self.order_strategy_map.get(trade.vt_orderid, None) if strategy: self.call_strategy_func(strategy, strategy.on_trade, trade) @@ -692,7 +722,7 @@ class SpreadStrategyEngine: strategy.inited = False msg = f"触发异常已停止\n{traceback.format_exc()}" - self.write_log(msg, strategy) + self.write_strategy_log(strategy, msg) def add_strategy( self, class_name: str, strategy_name: str, spread_name: str, setting: dict @@ -709,7 +739,12 @@ class SpreadStrategyEngine: self.write_log(f"创建策略失败，找不到策略类{class_name}") return - strategy = strategy_class(self, strategy_name, spread_name, setting) + spread = self.spread_engine.get_spread(spread_name) + if not spread: + self.write_log(f"创建策略失败，找不到价差{spread_name}") + return + + strategy = strategy_class(self, strategy_name, spread, setting) self.strategies[strategy_name] = strategy # Add vt_symbol to strategy map. @@ -721,6 +756,37 @@ class SpreadStrategyEngine: self.put_strategy_event(strategy) + def edit_strategy(self, strategy_name: str, setting: dict): + """ + Edit parameters of a strategy. + """ + strategy = self.strategies[strategy_name] + strategy.update_setting(setting) + + self.update_strategy_setting(strategy_name, setting) + self.put_strategy_event(strategy) + + def remove_strategy(self, strategy_name: str): + """ + Remove a strategy. + """ + strategy = self.strategies[strategy_name] + if strategy.trading: + self.write_log(f"策略{strategy.strategy_name}移除失败，请先停止") + return + + # Remove setting + self.remove_strategy_setting(strategy_name) + + # Remove from symbol strategy map + strategies = self.spread_strategy_map[strategy.spread_name] + strategies.remove(strategy) + + # Remove from strategies + self.strategies.pop(strategy_name) + + return True + def init_strategy(self, strategy_name: str): """""" strategy = self.strategies[strategy_name] @@ -758,28 +824,48 @@ class SpreadStrategyEngine: return self.call_strategy_func(strategy, strategy.on_stop) - strategy.trading = False - + strategy.stop_all_algos() strategy.cancel_all_orders() + strategy.trading = False + self.put_strategy_event(strategy) def init_all_strategies(self): """""" - for strategy in self.strategies.values(): + for strategy in self.strategies.keys(): self.init_strategy(strategy) def start_all_strategies(self): """""" - for strategy in self.strategies.values(): + for strategy in self.strategies.keys(): self.start_strategy(strategy) def stop_all_strategies(self): """""" - for strategy in self.strategies.values(): + for strategy in self.strategies.keys(): self.stop_strategy(strategy) + def get_strategy_class_parameters(self, class_name: str): + """ + Get default parameters of a strategy class. + """ + strategy_class = self.classes[class_name] + + parameters = {} + for name in strategy_class.parameters: + parameters[name] = getattr(strategy_class, name) + + return parameters + + def get_strategy_parameters(self, strategy_name): + """ + Get parameters of a strategy. + """ + strategy = self.strategies[strategy_name] + return strategy.get_parameters() + def start_algo( self, strategy: SpreadStrategyTemplate, @@ -864,7 +950,8 @@ class SpreadStrategyEngine: """""" order = self.main_engine.get_order(vt_orderid) if not order: - self.write_strategy_log(strategy, "撤单失败，找不到委托{}".format(vt_orderid)) + self.write_strategy_log( + strategy, "撤单失败，找不到委托{}".format(vt_orderid)) return req = order.create_cancel_request() @@ -876,7 +963,8 @@ class SpreadStrategyEngine: def put_strategy_event(self, strategy: SpreadStrategyTemplate): """""" - event = Event(EVENT_SPREAD_STRATEGY, strategy) + data = strategy.get_data() + event = Event(EVENT_SPREAD_STRATEGY, data) self.event_engine.put(event) def write_strategy_log(self, strategy: SpreadStrategyTemplate, msg: str): diff --git a/vnpy/app/spread_trading/strategies/__init__.py b/vnpy/app/spread_trading/strategies/__init__.py new file mode 100644 index 00000000..e69de29b diff --git a/vnpy/app/spread_trading/strategies/basic_spread_strategy.py b/vnpy/app/spread_trading/strategies/basic_spread_strategy.py new file mode 100644 index 00000000..b1213531 --- /dev/null +++ b/vnpy/app/spread_trading/strategies/basic_spread_strategy.py @@ -0,0 +1,168 @@ +from vnpy.app.spread_trading import ( + SpreadStrategyTemplate, + SpreadAlgoTemplate, + SpreadData, + OrderData, + TradeData +) + + +class BasicSpreadStrategy(SpreadStrategyTemplate): + """""" + + author = "用Python的交易员" + + buy_price = 0.0 + sell_price = 0.0 + cover_price = 0.0 + short_price = 0.0 + max_pos = 0.0 + payup = 10 + interval = 5 + + spread_pos = 0.0 + buy_algoid = "" + sell_algoid = "" + short_algoid = "" + cover_algoid = "" + + parameters = [ + "buy_price", + "sell_price", + "cover_price", + "short_price", + "max_pos", + "payup", + "interval" + ] + variables = [ + "spread_pos", + "buy_algoid", + "sell_algoid", + "short_algoid", + "cover_algoid", + ] + + def __init__( + self, + strategy_engine, + strategy_name: str, + spread: SpreadData, + setting: dict + ): + """""" + super().__init__( + strategy_engine, strategy_name, spread, setting + ) + + def on_init(self): + """ + Callback when strategy is inited. + """ + self.write_log("策略初始化") + + def on_start(self): + """ + Callback when strategy is started. + """ + self.write_log("策略启动") + + def on_stop(self): + """ + Callback when strategy is stopped. + """ + self.write_log("策略停止") + + self.buy_algoid = "" + self.sell_algoid = "" + self.short_algoid = "" + self.cover_algoid = "" + self.put_event() + + def on_spread_data(self): + """ + Callback when spread price is updated. + """ + self.spread_pos = self.get_spread_pos() + + # No position + if not self.spread_pos: + # Start open algos + if not self.buy_algoid: + self.buy_algoid = self.start_long_algo( + self.buy_price, self.max_pos, self.payup, self.interval + ) + + if not self.short_algoid: + self.short_algoid = self.start_short_algo( + self.short_price, self.max_pos, self.payup, self.interval + ) + + # Stop close algos + if self.sell_algoid: + self.stop_algo(self.sell_algoid) + + if self.cover_algoid: + self.stop_algo(self.cover_algoid) + + # Long position + elif self.spread_pos > 0: + # Start sell close algo + if not self.sell_algoid: + self.sell_algoid = self.start_short_algo( + self.sell_price, self.spread_pos, self.payup, self.interval + ) + + # Stop buy open algo + if self.buy_algoid: + self.stop_algo(self.buy_algoid) + + # Short position + elif self.spread_pos < 0: + # Start cover close algo + if not self.cover_algoid: + self.cover_algoid = self.start_long_algo( + self.cover_price, abs( + self.spread_pos), self.payup, self.interval + ) + + # Stop short open algo + if self.short_algoid: + self.stop_algo(self.short_algoid) + + self.put_event() + + def on_spread_pos(self): + """ + Callback when spread position is updated. + """ + self.spread_pos = self.get_spread_pos() + self.put_event() + + def on_spread_algo(self, algo: SpreadAlgoTemplate): + """ + Callback when algo status is updated. + """ + if not algo.is_active(): + if self.buy_algoid == algo.algoid: + self.buy_algoid = "" + elif self.sell_algoid == algo.algoid: + self.sell_algoid = "" + elif self.short_algoid == algo.algoid: + self.short_algoid = "" + else: + self.cover_algoid = "" + + self.put_event() + + def on_order(self, order: OrderData): + """ + Callback when order status is updated. + """ + pass + + def on_trade(self, trade: TradeData): + """ + Callback when new trade data is received. + """ + pass diff --git a/vnpy/app/spread_trading/template.py b/vnpy/app/spread_trading/template.py index 88f572ed..de4ca343 100644 --- a/vnpy/app/spread_trading/template.py +++ b/vnpy/app/spread_trading/template.py @@ -147,11 +147,11 @@ class SpreadAlgoTemplate: def update_timer(self): """""" self.count += 1 - if self.count < self.interval: - return - self.count = 0 + if self.count > self.interval: + self.count = 0 + self.on_interval() - self.on_interval() + self.put_event() def put_event(self): """""" @@ -358,7 +358,7 @@ class SpreadStrategyTemplate: Callback when algo status is updated. """ if not algo.is_active() and algo.algoid in self.algoids: - self.algoids.pop(algo.algoid) + self.algoids.remove(algo.algoid) self.on_spread_algo(algo) @@ -367,7 +367,7 @@ class SpreadStrategyTemplate: Callback when order status is updated. """ if not order.is_active() and order.vt_orderid in self.vt_orderids: - self.vt_orderids.pop(order.vt_orderid) + self.vt_orderids.remove(order.vt_orderid) self.on_order(order) @@ -461,7 +461,7 @@ class SpreadStrategyTemplate: volume: float, payup: int, interval: int, - lock: bool + lock: bool = False ) -> str: """""" return self.start_algo(Direction.LONG, price, volume, payup, interval, lock) @@ -472,7 +472,7 @@ class SpreadStrategyTemplate: volume: float, payup: int, interval: int, - lock: bool + lock: bool = False ) -> str: """""" return self.start_algo(Direction.SHORT, price, volume, payup, interval, lock) diff --git a/vnpy/app/spread_trading/ui/widget.py b/vnpy/app/spread_trading/ui/widget.py index c5038f3d..35415892 100644 --- a/vnpy/app/spread_trading/ui/widget.py +++ b/vnpy/app/spread_trading/ui/widget.py @@ -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}")