修复若干bug以及增加手动交易功能，回测引擎允许回测时从数据库读取数据回放，不再需要提前载入到内存

.gitignore

@@ -46,6 +46,7 @@ Release/
 *.local
 *.temp
 *.vt
+*.dat
 =======
 vn.ctp/build/*
 vn.lts/build/*

vn.trader/VT_setting.json

@@ -1,4 +1,7 @@
 {
 	"fontFamily": "微软雅黑",
-	"fontSize": 12
+	"fontSize": 12,
+
+	"mongoHost": "localhost",
+	"mongoPort": 27017
 }

vn.trader/ctaAlgo/ctaBacktesting.py

@@ -7,7 +7,6 @@
 
 from datetime import datetime, timedelta
 from collections import OrderedDict
-import json
 import pymongo
 
 from ctaBase import *
@@ -15,6 +14,7 @@ from ctaSetting import *
 
 from vtConstant import *
 from vtGateway import VtOrderData, VtTradeData
+from vtFunction import loadMongoSetting
 
 
 ########################################################################
@@ -51,11 +51,12 @@ class BacktestingEngine(object):
         self.dbClient = None        # 数据库客户端
         self.dbCursor = None        # 数据库指针
         
-        self.historyData = []       # 历史数据的列表，回测用
+        #self.historyData = []       # 历史数据的列表，回测用
         self.initData = []          # 初始化用的数据
-        self.backtestingData = []   # 回测用的数据
+        #self.backtestingData = []   # 回测用的数据
         
         self.dataStartDate = None       # 回测数据开始日期，datetime对象
+        self.dataEndDate = None         # 回测数据结束日期，datetime对象
         self.strategyStartDate = None   # 策略启动日期（即前面的数据用于初始化），datetime对象
         
         self.limitOrderDict = OrderedDict()         # 限价单字典
@@ -80,6 +81,12 @@ class BacktestingEngine(object):
         initTimeDelta = timedelta(initDays)
         self.strategyStartDate = self.dataStartDate + initTimeDelta
         
+    #----------------------------------------------------------------------
+    def setEndDate(self, endDate=''):
+        """设置回测的结束日期"""
+        if endDate:
+            self.dataEndDate= datetime.strptime(endDate, '%Y%m%d')
+        
     #----------------------------------------------------------------------
     def setBacktestingMode(self, mode):
         """设置回测模式"""
@@ -88,35 +95,53 @@ class BacktestingEngine(object):
     #----------------------------------------------------------------------
     def loadHistoryData(self, dbName, symbol):
         """载入历史数据"""
-        self.output(u'开始载入数据')
+        host, port = loadMongoSetting()
         
+        self.dbClient = pymongo.MongoClient(host, port)
+        collection = self.dbClient[dbName][symbol]          
+
+        self.output(u'开始载入数据')
+      
         # 首先根据回测模式，确认要使用的数据类
         if self.mode == self.BAR_MODE:
             dataClass = CtaBarData
+            func = self.newBar
         else:
             dataClass = CtaTickData
-        
+            func = self.newTick
-        # 从数据库进行查询
+
-        self.dbClient = pymongo.MongoClient()
+        # 载入初始化需要用的数据
-        collection = self.dbClient[dbName][symbol]
+        flt = {'datetime':{'$gte':self.dataStartDate,
-        
+                           '$lt':self.strategyStartDate}}        
-        flt = {'datetime':{'$gte':self.dataStartDate}}   # 数据过滤条件
+        initCursor = collection.find(flt)
-        self.dbCursor = collection.find(flt)
         
         # 将数据从查询指针中读取出，并生成列表
-        for d in self.dbCursor:
+        for d in initCursor:
             data = dataClass()
             data.__dict__ = d
-            if data.datetime < self.strategyStartDate:
+            self.initData.append(data)      
-                self.initData.append(data)
+        
-            else:
+        # 载入回测数据
-                self.backtestingData.append(data)
+        if not self.dataEndDate:
+            flt = {'datetime':{'$gte':self.strategyStartDate}}   # 数据过滤条件
+        else:
+            flt = {'datetime':{'$gte':self.strategyStartDate,
+                               '$lte':self.dataEndDate}}  
+        self.dbCursor = collection.find(flt)
+        
+        self.output(u'载入完成，数据量：%s' %(initCursor.count() + self.dbCursor.count()))
         
-        self.output(u'载入完成，数据量：%s' %len(self.backtestingData))
-    
     #----------------------------------------------------------------------
     def runBacktesting(self):
         """运行回测"""
+        # 首先根据回测模式，确认要使用的数据类
+        if self.mode == self.BAR_MODE:
+            dataClass = CtaBarData
+            func = self.newBar
+        else:
+            dataClass = CtaTickData
+            func = self.newTick
+
         self.output(u'开始回测')
         
         self.strategy.inited = True
@@ -128,13 +153,13 @@ class BacktestingEngine(object):
         self.output(u'策略启动完成')
         
         self.output(u'开始回放数据')
-        if self.mode == self.BAR_MODE:
+
-            for data in self.backtestingData:
+        for d in self.dbCursor:
-                self.newBar(data)
+            data = dataClass()
-                #print str(data.datetime)
+            data.__dict__ = d
-        else:
+            func(data)     
-            for data in self.backtestingData:
+            
-                self.newTick(data)
+        self.output(u'数据回放结束')
         
     #----------------------------------------------------------------------
     def newBar(self, bar):

vn.trader/ctaAlgo/ctaBase.py

@@ -45,6 +45,7 @@ class StopOrder(object):
     def __init__(self):
         """Constructor"""
         self.vtSymbol = EMPTY_STRING
+        self.orderType = EMPTY_UNICODE
         self.direction = EMPTY_UNICODE
         self.offset = EMPTY_UNICODE
         self.price = EMPTY_FLOAT

vn.trader/ctaAlgo/ctaEngine.py

@@ -118,6 +118,7 @@ class CtaEngine(object):
         
         so = StopOrder()
         so.vtSymbol = vtSymbol
+        so.orderType = orderType
         so.price = price
         so.volume = volume
         so.strategy = strategy
@@ -163,7 +164,7 @@ class CtaEngine(object):
             for so in self.workingStopOrderDict.values():
                 if so.vtSymbol == vtSymbol:
                     longTriggered = so.direction==DIRECTION_LONG and tick.lastPrice>=so.price        # 多头停止单被触发
-                    shortTriggered = so.direction==DIRECTION_SHORT and tick.lasatPrice<=so.price     # 空头停止单被触发
+                    shortTriggered = so.direction==DIRECTION_SHORT and tick.lastPrice<=so.price     # 空头停止单被触发
                     
                     if longTriggered or shortTriggered:
                         # 买入和卖出分别以涨停跌停价发单（模拟市价单）

vn.trader/ctaAlgo/ctaHistoryData.py

@@ -13,6 +13,7 @@ from multiprocessing.pool import ThreadPool
 
 from ctaBase import *
 from vtConstant import *
+from vtFunction import loadMongoSetting
 from datayesClient import DatayesClient
 
 
@@ -32,7 +33,9 @@ class HistoryDataEngine(object):
     #----------------------------------------------------------------------
     def __init__(self):
         """Constructor"""
-        self.dbClient = pymongo.MongoClient()
+        host, port = loadMongoSetting()
+        
+        self.dbClient = pymongo.MongoClient(host, port)
         self.datayesClient = DatayesClient()
         
     #----------------------------------------------------------------------
@@ -319,7 +322,9 @@ def loadMcCsv(fileName, dbName, symbol):
     print u'开始读取CSV文件%s中的数据插入到%s的%s中' %(fileName, dbName, symbol)
     
     # 锁定集合，并创建索引
-    client = pymongo.MongoClient()    
+    host, port = loadMongoSetting()
+    
+    client = pymongo.MongoClient(host, port)    
     collection = client[dbName][symbol]
     collection.ensure_index([('datetime', pymongo.ASCENDING)], unique=True)   
     

vn.trader/ltsGateway/ltsGateway.py

@@ -41,6 +41,7 @@ offsetMapReverse = {v:k for k,v in offsetMap.items()}
 exchangeMap = {}
 exchangeMap[EXCHANGE_SSE] = 'SSE'
 exchangeMap[EXCHANGE_SZSE] = 'SZE'
+exchangeMap[EXCHANGE_HKEX] = 'HGE'
 exchangeMapReverse = {v:k for k,v in exchangeMap.items()}
 
 # 持仓类型映射

vn.trader/sgitGateway/SGIT_connect.json

@@ -1,7 +1,7 @@
 {
     "brokerID": "0017", 
     "tdAddress": "tcp://140.206.81.6:17776", 
-    "password": "联系招金投资申请", 
+    "password": "请联系招金投资申请", 
     "mdAddress": "tcp://140.206.81.6:17777", 
-    "userID": "联系招金投资申请"
+    "userID": "请联系招金投资申请"
 }

vn.trader/sgitGateway/sgitGateway.py

@@ -385,6 +385,26 @@ class SgitMdApi(MdApi):
         tick.bidVolume1 = data['BidVolume1']
         tick.askPrice1 = data['AskPrice1']
         tick.askVolume1 = data['AskVolume1']
+
+        tick.bidPrice2 = data['BidPrice2']
+        tick.bidVolume2 = data['BidVolume2']
+        tick.askPrice2 = data['AskPrice2']
+        tick.askVolume2 = data['AskVolume2']
+
+        tick.bidPrice3 = data['BidPrice3']
+        tick.bidVolume3 = data['BidVolume3']
+        tick.askPrice3 = data['AskPrice3']
+        tick.askVolume3 = data['AskVolume3']
+
+        tick.bidPrice4 = data['BidPrice4']
+        tick.bidVolume4 = data['BidVolume4']
+        tick.askPrice4 = data['AskPrice4']
+        tick.askVolume4 = data['AskVolume4']
+
+        tick.bidPrice5 = data['BidPrice5']
+        tick.bidVolume5 = data['BidVolume5']
+        tick.askPrice5 = data['AskPrice5']
+        tick.askVolume5 = data['AskVolume5']
     
         self.gateway.onTick(tick)
 
@@ -411,6 +431,7 @@ class SgitTdApi(TdApi):
         self.password = EMPTY_STRING        # 密码
         self.brokerID = EMPTY_STRING        # 经纪商代码
         self.address = EMPTY_STRING         # 服务器地址
+        self.investorID = EMPTY_STRING      # 投资者代码
         
         self.frontID = EMPTY_INT            # 前置机编号
         self.sessionID = EMPTY_INT          # 会话编号
@@ -500,7 +521,7 @@ class SgitTdApi(TdApi):
             return ''
             
         req['OrderRef'] = strID
-        req['InvestorID'] = self.userID
+        req['InvestorID'] = self.investorID
         req['UserID'] = self.userID
         req['BrokerID'] = self.brokerID
         
@@ -574,7 +595,7 @@ class SgitTdApi(TdApi):
         
     #----------------------------------------------------------------------
     def onRspUserLogin(self, data, error, n, last):
-        """登陆回报"""
+        '''登陆回报'''
         # 如果登录成功，推送日志信息
         if error['ErrorID'] == 0:
             self.loginStatus = True
@@ -588,9 +609,9 @@ class SgitTdApi(TdApi):
             # 调用ready
             self.ready()
             
-            # 查询合约代码
+            # 查询投资者代码
             self.reqID += 1
-            self.reqQryInstrument({}, self.reqID)      
+            self.reqQryInvestor({}, self.reqID)                
             
         # 否则，推送错误信息
         else:
@@ -702,7 +723,17 @@ class SgitTdApi(TdApi):
     #----------------------------------------------------------------------
     def onRspQryInvestor(self, data, error, n, last):
         """"""
-        pass
+        self.investorID = data['InvestorID']
+        
+        if last:
+            log = VtLogData()
+            log.gatewayName = self.gatewayName
+            log.logContent = u'投资者编码获取完成'
+            self.gateway.onLog(log)        
+    
+            # 查询合约
+            self.reqID += 1
+            self.reqQryInstrument({}, self.reqID)              
         
     #----------------------------------------------------------------------
     def onRspQryInstrument(self, data, error, n, last):

vn.trader/uiBasicWidget.py

@@ -557,7 +557,6 @@ class OrderMonitor(BasicMonitor):
 ########################################################################
 class PositionMonitor(BasicMonitor):
     """持仓监控"""
-
     #----------------------------------------------------------------------
     def __init__(self, mainEngine, eventEngine, parent=None):
         """Constructor"""
@@ -577,10 +576,12 @@ class PositionMonitor(BasicMonitor):
         self.setDataKey('vtPositionName')
         self.setEventType(EVENT_POSITION)
         self.setFont(BASIC_FONT)
+        self.setSaveData(True)
+        
         self.initTable()
         self.registerEvent()
-
+        
-
+        
 ########################################################################
 class AccountMonitor(BasicMonitor):
     """账户监控"""
@@ -635,6 +636,7 @@ class TradingWidget(QtGui.QFrame):
                     EXCHANGE_SSE,
                     EXCHANGE_SZSE,
                     EXCHANGE_SGE,
+                    EXCHANGE_HKEX,
                     EXCHANGE_SMART,
                     EXCHANGE_GLOBEX,
                     EXCHANGE_IDEALPRO]
@@ -1008,6 +1010,29 @@ class TradingWidget(QtGui.QFrame):
             req.sessionID = order.sessionID
             req.orderID = order.orderID
             self.mainEngine.cancelOrder(req, order.gatewayName)
+            
+    #----------------------------------------------------------------------
+    def closePosition(self, cell):
+        """根据持仓信息自动填写交易组件"""
+        # 读取持仓数据，cell是一个表格中的单元格对象
+        pos = cell.data
+        symbol = pos.symbol
+        
+        # 更新交易组件的显示合约
+        self.lineSymbol.setText(symbol)
+        self.updateSymbol()
+        
+        # 自动填写信息
+        self.comboPriceType.setCurrentIndex(self.priceTypeList.index(PRICETYPE_LIMITPRICE))
+        self.comboOffset.setCurrentIndex(self.offsetList.index(OFFSET_CLOSE))
+        self.spinVolume.setValue(pos.position)
+
+        if pos.direction == DIRECTION_LONG or pos.direction == DIRECTION_NET:
+            self.comboDirection.setCurrentIndex(self.directionList.index(DIRECTION_SHORT))
+        else:
+            self.comboDirection.setCurrentIndex(self.directionList.index(DIRECTION_LONG))
+
+        # 价格留待更新后由用户输入，防止有误操作
 
 
 ########################################################################

vn.trader/uiMainWindow.py

@@ -67,6 +67,9 @@ class MainWindow(QtGui.QMainWindow):
         central.setLayout(grid)
         self.setCentralWidget(central)
         
+        # 连接组件之间的信号
+        positionM.itemDoubleClicked.connect(tradingW.closePosition)
+        
     #----------------------------------------------------------------------
     def initMenu(self):
         """初始化菜单"""

vn.trader/vtConstant.py

@@ -61,6 +61,7 @@ EXCHANGE_DCE = 'DCE'       # 大商所
 EXCHANGE_SGE = 'SGE'       # 上金所
 EXCHANGE_UNKNOWN = 'UNKNOWN'# 未知交易所
 EXCHANGE_NONE = ''          # 空交易所
+EXCHANGE_HKEX = 'HKEX'      # 港交所
 
 EXCHANGE_SMART = 'SMART'       # IB智能路由（股票、期权）
 EXCHANGE_GLOBEX = 'GLOBEX'     # CME电子交易平台

vn.trader/vtEngine.py

@@ -8,6 +8,7 @@ from pymongo.errors import ConnectionFailure
 
 from eventEngine import *
 from vtGateway import *
+from vtFunction import loadMongoSetting
 
 from ctaAlgo.ctaEngine import CtaEngine
 from dataRecorder.drEngine import DrEngine
@@ -197,8 +198,11 @@ class MainEngine(object):
     def dbConnect(self):
         """连接MongoDB数据库"""
         if not self.dbClient:
+            # 读取MongoDB的设置
+            host, port = loadMongoSetting()
+                
             try:
-                self.dbClient = MongoClient()
+                self.dbClient = MongoClient(host, port)
                 self.writeLog(u'MongoDB连接成功')
             except ConnectionFailure:
                 self.writeLog(u'MongoDB连接失败')

vn.trader/vtFunction.py

@@ -23,4 +23,20 @@ def safeUnicode(value):
         if abs(d.as_tuple().exponent) > MAX_DECIMAL:
             value = round(value, ndigits=MAX_DECIMAL)
     
-    return unicode(value)
+    return unicode(value)
+
+#----------------------------------------------------------------------
+def loadMongoSetting():
+    """载入MongoDB数据库的配置"""
+    try:
+        f = file("VT_setting.json")
+        setting = json.load(f)
+        host = setting['mongoHost']
+        port = setting['mongoPort']
+    except:
+        host = 'localhost'
+        port = 27017
+        
+    return host, port
+
+