[update] 一般更新

vnpy/app/algo_trading/engine.py

@@ -63,6 +63,7 @@ class AlgoEngine(BaseEngine):
         from .algos.dma_algo import DmaAlgo
         from .algos.arbitrage_algo import ArbitrageAlgo
         from .algos.spread_algo_v2 import SpreadAlgoV2
+        from .algos.autostopwin_algo import AutoStopWinAlgo
 
         self.add_algo_template(TwapAlgo)
         self.add_algo_template(IcebergAlgo)
@@ -73,6 +74,7 @@ class AlgoEngine(BaseEngine):
         self.add_algo_template(DmaAlgo)
         self.add_algo_template(ArbitrageAlgo)
         self.add_algo_template(SpreadAlgoV2)
+        self.add_algo_template(AutoStopWinAlgo)
 
     def add_algo_template(self, template: AlgoTemplate):
         """"""
@@ -180,7 +182,8 @@ class AlgoEngine(BaseEngine):
     def stop_all(self):
         """"""
         for algo_name in list(self.algos.keys()):
-            self.stop_algo(algo_name)
+            if self.stop_algo(algo_name):
+                self.main_engine.write_log(f'{algo_name}已停止')
 
     def subscribe(self, algo: AlgoTemplate, vt_symbol: str):
         """"""
@@ -215,7 +218,7 @@ class AlgoEngine(BaseEngine):
         contract = self.main_engine.get_contract(vt_symbol)
         if not contract:
             self.write_log(f'委托下单失败，找不到合约：{vt_symbol}', algo_name=algo.algo_name)
-            return
+            return []
 
         volume = round_to(volume, contract.min_volume)
         if not volume:

vnpy/app/cta_option/engine.py

@@ -104,12 +104,10 @@ STOP_STATUS_MAP = {
 # 假期，后续可以从cta_option_config.json文件中获取更新
 holiday_dict = {
     # 放假第一天:放假最后一天
-    "2000124": "20200130",
+    "20220131": "20220206",
-    "20200501": "20200505",
+    "20220430": "20220504",
-    "20201001": "20201008",
+    "20221001": "20221007",
-    "20210211": "20210217",
+    # updated by 黄健威 2022.01.07
-    "20210501": "20210505",
-    "20211001": "20211007",
 }
 
 

vnpy/app/cta_strategy_pro/back_testing.py

@@ -142,9 +142,9 @@ class BackTestingEngine(object):
 
         self.holdings = {}  # 多空持仓
 
-        # 当前最新数据，用于模拟成交用
         self.gateway_name = u'BackTest'
 
+        # 当前最新数据，用于模拟成交用
         self.last_bar = {}  # 最新的bar
         self.last_tick = {}  # 最新tick
         self.last_dt = None  # 最新时间
@@ -158,7 +158,7 @@ class BackTestingEngine(object):
 
         # 回测计算相关
         self.use_margin = True  # 使用保证金模式（期货使用，计算保证金时，按照开仓价计算。股票是按照当前价计算）
-
+        self.force_cross = False # 强制撮合成功,不使用价格比对，一般用于模拟市价成交
         self.init_capital = 1000000  # 期初资金
         self.cur_capital = self.init_capital  # 当前资金净值
         self.net_capital = self.init_capital  # 实时资金净值（每日根据capital和持仓浮盈计算）
@@ -604,6 +604,11 @@ class BackTestingEngine(object):
         # 缺省使用保证金方式。（期货使用保证金/股票不使用保证金）
         self.use_margin = test_setting.get('use_margin', True)
 
+        if 'force_cross' in test_setting:
+            self.force_cross = test_setting.get('force_cross', False)
+            if self.force_cross:
+                self.write_log(f'使用强制撮合模式!')
+
         # 设置最大资金使用比例
         if 'percent_limit' in test_setting:
             self.write_log(u'设置最大资金使用比例:{}%'.format(test_setting.get('percent_limit')))
@@ -645,6 +650,7 @@ class BackTestingEngine(object):
             # 创建资金K线
             self.create_fund_kline(self.test_name, use_renko=test_setting.get('use_renko', False))
 
+        # 自动输出日线净值曲线图png文件
         self.is_plot_daily = test_setting.get('is_plot_daily', False)
 
         # 加载所有本地策略class
@@ -1293,8 +1299,8 @@ class BackTestingEngine(object):
                 sell_best_cross_price = tick.last_price
 
             # 判断是否会成交
-            buy_cross = order.direction == Direction.LONG and order.price >= buy_cross_price
+            buy_cross = order.direction == Direction.LONG and (order.price >= buy_cross_price or self.force_cross)
-            sell_cross = order.direction == Direction.SHORT and order.price <= sell_cross_price
+            sell_cross = order.direction == Direction.SHORT and (order.price <= sell_cross_price or self.force_cross)
 
             # 如果发生了成交
             if buy_cross or sell_cross:
@@ -1321,9 +1327,9 @@ class BackTestingEngine(object):
                 # 2. 假设在上一根K线结束(也是当前K线开始)的时刻，策略发出的委托为限价105
                 # 3. 则在实际中的成交价会是100而不是105，因为委托发出时市场的最优价格是100
                 if buy_cross:
-                    trade_price = min(order.price, buy_best_cross_price)
+                    trade_price = min(order.price, buy_best_cross_price) if not self.force_cross else order.price
                 else:
-                    trade_price = max(order.price, sell_best_cross_price)
+                    trade_price = max(order.price, sell_best_cross_price) if not self.force_cross else order.price
 
                 # renko bar较为特殊，使用委托价进行成交
                 if trade.vt_symbol.startswith('future_renko'):

vnpy/app/cta_strategy_pro/portfolio_testing.py

@@ -160,6 +160,12 @@ class PortfolioTestingEngine(BackTestingEngine):
         self.use_pkb2 = test_setting.get('use_pkb2', True)
         if self.use_tq:
             self.use_pkb2 = False
+            self.output(f'使用天勤数据')
+
+        if self.use_pkb2:
+            self.output(f'使用pkb2压缩格式')
+        else:
+            self.output(f'使用csv文件格式')
 
     def prepare_data(self, data_dict):
         """
@@ -282,6 +288,7 @@ class PortfolioTestingEngine(BackTestingEngine):
                     bar.low_time = bar_data.get('low_time', None)  # 最后一次进入低位区域的时间
                     bar.high_time = bar_data.get('high_time', None)  # 最后一次进入高位区域的时间
                 else:
+                    # 读取的bar是以bar结束时间作为datetime，vnpy是以bar开始时间作为bar datetime
                     bar_datetime = dt - timedelta(seconds=self.bar_interval_seconds)
 
                     bar = BarData(
@@ -400,7 +407,7 @@ class PortfolioTestingEngine(BackTestingEngine):
             return None
 
         df = pd.read_csv(file_path, encoding='gbk', parse_dates=False)
-        df.columns = ['date', 'time', 'last_price', 'volume', 'last_volume', 'open_interest',
+        df.columns = ['date', 'time', 'last_price', 'last_volume', 'volume', 'open_interest',
                       'bid_price_1', 'bid_volume_1', 'bid_price_2', 'bid_volume_2', 'bid_price_3', 'bid_volume_3',
                       'ask_price_1', 'ask_volume_1', 'ask_price_2', 'ask_volume_2', 'ask_price_3', 'ask_volume_3', 'BS']
 

vnpy/app/cta_strategy_pro/spread_testing.py

@@ -323,7 +323,7 @@ class SpreadTestingEngine(BackTestingEngine):
 
         symbol, exchange = extract_vt_symbol(vt_symbol)
         underly_symbol = get_underlying_symbol(symbol)
-        exchange_folder = VN_EXCHANGE_TICKFOLDER_MAP.get(exchange.value)
+        exchange_folder = VN_EXCHANGE_TICKFOLDER_MAP.get(exchange.value,'LOCAL')
 
         if exchange == Exchange.INE:
             file_path = os.path.abspath(

vnpy/component/cta_utility.py

@@ -627,6 +627,16 @@ def check_chan_xt_nine_bi(kline, bi_list: List[ChanObject]):
                 if bi_9.high > gg > zg > bi_9.low > zd:
                     return ChanSignals.Q2L0.value  # Signal(k1=freq.value, k2=di_name, k3='类买卖点', v1='类二买', v2='九笔')
 
+        if min_low == bi_7.low and max_high == bi_1.high and bi_6.high < bi_2.low:  # 前7笔构成向下类趋势
+            zd = max([x.low for x in [bi_5, bi_6]])
+            zg = min([x.high for x in [bi_4, bi_6]])
+            gg = max([x.high for x in [bi_4, bi_6]])
+            if zg > zd and bi_8.high > gg == bi_4.high :  # 456构成中枢，7离开中枢，8反包且8的高点大于gg,4高 >6高点
+                atan = (bi_4.high - bi_6.high) / (bi_5.bars + bi_6.bars - 1)
+                p = bi_6.high - atan * (bi_7.bars + bi_8.bars + bi_9.bars - 2)
+                if zd > bi_9.low > p:
+                    return ChanSignals.Q2L0.value
+
     elif direction == 1:
 
         # 倒9笔是最高点，倒一笔是最低点
@@ -688,8 +698,8 @@ def check_chan_xt_nine_bi(kline, bi_list: List[ChanObject]):
 
                 # 参考双重顶或者圆弧顶， 在 bi_5.low => bi_7.low => p点 形成一条斜线，如果bi_9.high 在斜线之下，就是三卖
                 if dd == bi_5.low and zd == bi_7.low:
-                    atan = (zd - dd) / (bi_5.bars + bi_6.bars)
+                    atan = (zd - dd) / (bi_5.bars + bi_6.bars - 1)
-                    p = bi_7.low + atan * (bi_7.bars + bi_8.bars + bi_9.bars)
+                    p = bi_7.low + atan * (bi_7.bars + bi_8.bars + bi_9.bars - 2)
                     if bi_9.high < p:
                         return ChanSignals.Q3S0.value  # Signal(k1=freq.value, k2=di_name, k3='类买卖点', v1='类三卖', v2='九笔ZD三卖')
 
@@ -697,6 +707,16 @@ def check_chan_xt_nine_bi(kline, bi_list: List[ChanObject]):
                 if dd < zd <= bi_9.high < zg:
                     return ChanSignals.Q2S0.value  # Signal(k1=freq.value, k2=di_name, k3='类买卖点', v1='类二卖', v2='九笔')
 
+        if min_low == bi_1.low and max_high == bi_7.high and bi_2.high < bi_6.low: # 前7笔形成上涨趋势
+            zd = max([x.low for x in [bi_4, bi_6]])
+            zg = min([x.high for x in [bi_4, bi_6]])
+            dd = min([x.low for x in [bi_4, bi_6]])
+            if zg > zd and bi_8.low < dd == bi_4.low:  # 456构成中枢，7离开中枢，8反包且8的低点小于dd,4低点< 6低点
+                atan = (bi_6.low - bi_4.low) / (bi_5.bars + bi_6.bars -1)
+                p = bi_6.low + atan * (bi_7.bars + bi_8.bars + bi_9.bars - 2)
+                if zg < bi_9.high < p:
+                    return ChanSignals.Q2S0.value
+
     return v
 
 

vnpy/trader/object.py

@@ -337,6 +337,7 @@ class ContractData(BaseData):
     option_underlying: str = ""  # vt_symbol of underlying contract
     option_type: OptionType = None
     option_expiry: datetime = None
+    option_portfolio: str = ""
     option_index: str = ""  # vt_symbol mapping cur option
 
     def __post_init__(self):