From 71eb543f24e2ac351ead93ebe46e2ea0cd388720 Mon Sep 17 00:00:00 2001 From: "vn.py" Date: Tue, 24 Jul 2018 19:09:19 +0800 Subject: [PATCH] =?UTF-8?q?[Add]=E6=96=B0=E5=A2=9ESniper=E7=AE=97=E6=B3=95?= MIME-Version: 1.0 Content-Type: text/plain; charset=UTF-8 Content-Transfer-Encoding: 8bit --- .../trader/app/algoTrading/algo/sniperAlgo.py | 198 ++++++++++++++++++ vnpy/trader/app/algoTrading/algo/stAlgo.py | 2 +- vnpy/trader/app/algoTrading/algo/stopAlgo.py | 2 +- vnpy/trader/app/algoTrading/algo/twapAlgo.py | 2 +- 4 files changed, 201 insertions(+), 3 deletions(-) create mode 100644 vnpy/trader/app/algoTrading/algo/sniperAlgo.py diff --git a/vnpy/trader/app/algoTrading/algo/sniperAlgo.py b/vnpy/trader/app/algoTrading/algo/sniperAlgo.py new file mode 100644 index 00000000..2bb396cc --- /dev/null +++ b/vnpy/trader/app/algoTrading/algo/sniperAlgo.py @@ -0,0 +1,198 @@ +# encoding: UTF-8 + +from __future__ import division +from collections import OrderedDict + +from six import text_type + +from vnpy.trader.vtConstant import (DIRECTION_LONG, DIRECTION_SHORT, + OFFSET_OPEN, OFFSET_CLOSE, + STATUS_ALLTRADED, STATUS_CANCELLED, STATUS_REJECTED) +from vnpy.trader.uiQt import QtWidgets, QtGui +from vnpy.trader.app.algoTrading.algoTemplate import AlgoTemplate +from vnpy.trader.app.algoTrading.uiAlgoWidget import AlgoWidget + + + +STATUS_FINISHED = set([STATUS_ALLTRADED, STATUS_CANCELLED, STATUS_REJECTED]) + + +######################################################################## +class SniperAlgo(AlgoTemplate): + """狙击手算法""" + + templateName = u'Sniper 狙击手' + + #---------------------------------------------------------------------- + def __init__(self, engine, setting, algoName): + """Constructor""" + super(SniperAlgo, self).__init__(engine, setting, algoName) + + # 参数，强制类型转换，保证从CSV加载的配置正确 + self.vtSymbol = str(setting['vtSymbol']) # 合约代码 + self.direction = text_type(setting['direction']) # 买卖 + self.price = float(setting['price']) # 价格 + self.volume = float(setting['volume']) # 数量 + self.offset = text_type(setting['offset']) # 开平 + + self.vtOrderID = '' # 委托号 + self.tradedVolume = 0 # 成交数量 + + self.subscribe(self.vtSymbol) + self.paramEvent() + self.varEvent() + + #---------------------------------------------------------------------- + def onTick(self, tick): + """""" + # 执行撤单 + if self.vtOrderID: + self.cancelAll() + return + + # 做多，且卖1价格小于等于执行目标价 + if (self.direction == DIRECTION_LONG and + tick.askPrice1 <= self.price): + orderVolume = self.volume - self.tradedVolume + orderVolume = min(orderVolume, tick.askVolume1) + self.vtOrderID = self.buy(self.vtSymbol, self.price, + orderVolume, offset=self.offset) + + # 做空 + elif (self.direction == DIRECTION_SHORT and + tick.bidPrice1 >= self.price): + orderVolume = self.volume - self.tradedVolume + orderVolume = min(orderVolume, tick.bidVolume1) + self.vtOrderID = self.sell(self.vtSymbol, self.price, + orderVolume, offset=self.offset) + + # 更新变量 + self.varEvent() + + #---------------------------------------------------------------------- + def onTrade(self, trade): + """""" + self.tradedVolume += trade.volume + + if self.tradedVolume >= self.volume: + self.stop() + + self.varEvent() + + #---------------------------------------------------------------------- + def onOrder(self, order): + """""" + # 若委托已经结束，则清空委托号 + if order.status in STATUS_FINISHED: + self.vtOrderID = '' + + self.varEvent() + + #---------------------------------------------------------------------- + def onTimer(self): + """""" + pass + + #---------------------------------------------------------------------- + def onStop(self): + """""" + self.writeLog(u'停止算法') + self.varEvent() + + #---------------------------------------------------------------------- + def varEvent(self): + """更新变量""" + d = OrderedDict() + d[u'算法状态'] = self.active + d[u'委托号'] = self.vtOrderID + d[u'成交数量'] = self.tradedVolume + self.putVarEvent(d) + + #---------------------------------------------------------------------- + def paramEvent(self): + """更新参数""" + d = OrderedDict() + d[u'代码'] = self.vtSymbol + d[u'方向'] = self.direction + d[u'价格'] = self.price + d[u'数量'] = self.volume + d[u'开平'] = self.offset + self.putParamEvent(d) + + +######################################################################## +class SniperWidget(AlgoWidget): + """""" + + #---------------------------------------------------------------------- + def __init__(self, algoEngine, parent=None): + """Constructor""" + super(SniperWidget, self).__init__(algoEngine, parent) + + self.templateName = SniperAlgo.templateName + + #---------------------------------------------------------------------- + def initAlgoLayout(self): + """""" + self.lineVtSymbol = QtWidgets.QLineEdit() + + self.comboDirection = QtWidgets.QComboBox() + self.comboDirection.addItem(DIRECTION_LONG) + self.comboDirection.addItem(DIRECTION_SHORT) + self.comboDirection.setCurrentIndex(0) + + doubleValidator = QtGui.QDoubleValidator() + doubleValidator.setBottom(0) + + self.linePrice = QtWidgets.QLineEdit() + self.linePrice.setValidator(doubleValidator) + + self.lineVolume = QtWidgets.QLineEdit() + self.lineVolume.setValidator(doubleValidator) + + self.comboOffset = QtWidgets.QComboBox() + self.comboOffset.addItems(['', OFFSET_OPEN, OFFSET_CLOSE]) + self.comboOffset.setCurrentIndex(0) + + buttonStart = QtWidgets.QPushButton(u'启动') + buttonStart.clicked.connect(self.addAlgo) + buttonStart.setMinimumHeight(100) + + Label = QtWidgets.QLabel + + grid = QtWidgets.QGridLayout() + grid.addWidget(Label(u'代码'), 0, 0) + grid.addWidget(self.lineVtSymbol, 0, 1) + grid.addWidget(Label(u'方向'), 1, 0) + grid.addWidget(self.comboDirection, 1, 1) + grid.addWidget(Label(u'价格'), 2, 0) + grid.addWidget(self.linePrice, 2, 1) + grid.addWidget(Label(u'数量'), 3, 0) + grid.addWidget(self.lineVolume, 3, 1) + grid.addWidget(Label(u'开平'), 4, 0) + grid.addWidget(self.comboOffset, 4, 1) + + return grid + + #---------------------------------------------------------------------- + def getAlgoSetting(self): + """""" + setting = OrderedDict() + setting['templateName'] = StopAlgo.templateName + setting['vtSymbol'] = str(self.lineVtSymbol.text()) + setting['direction'] = text_type(self.comboDirection.currentText()) + setting['offset'] = text_type(self.comboOffset.currentText()) + + priceText = self.linePrice.text() + if not priceText: + return + setting['price'] = float(priceText) + + volumeText = self.lineVolume.text() + if not volumeText: + return + setting['volume'] = float(volumeText) + + return setting + + diff --git a/vnpy/trader/app/algoTrading/algo/stAlgo.py b/vnpy/trader/app/algoTrading/algo/stAlgo.py index 1bbadd27..805f4689 100644 --- a/vnpy/trader/app/algoTrading/algo/stAlgo.py +++ b/vnpy/trader/app/algoTrading/algo/stAlgo.py @@ -15,7 +15,7 @@ from vnpy.trader.app.algoTrading.uiAlgoWidget import AlgoWidget, QtWidgets class StAlgo(AlgoTemplate): """自成交算法（self trade），用于刷成交量""" - templateName = 'ST' + templateName = u'SelfTrade 刷单' #---------------------------------------------------------------------- def __init__(self, engine, setting, algoName): diff --git a/vnpy/trader/app/algoTrading/algo/stopAlgo.py b/vnpy/trader/app/algoTrading/algo/stopAlgo.py index 901a8fac..0985d96b 100644 --- a/vnpy/trader/app/algoTrading/algo/stopAlgo.py +++ b/vnpy/trader/app/algoTrading/algo/stopAlgo.py @@ -21,7 +21,7 @@ STATUS_FINISHED = set([STATUS_ALLTRADED, STATUS_CANCELLED, STATUS_REJECTED]) class StopAlgo(AlgoTemplate): """停止单算法，也可以用于止损单""" - templateName = 'STOP' + templateName = u'STOP 条件委托' #---------------------------------------------------------------------- def __init__(self, engine, setting, algoName): diff --git a/vnpy/trader/app/algoTrading/algo/twapAlgo.py b/vnpy/trader/app/algoTrading/algo/twapAlgo.py index 799a623d..e01cf567 100644 --- a/vnpy/trader/app/algoTrading/algo/twapAlgo.py +++ b/vnpy/trader/app/algoTrading/algo/twapAlgo.py @@ -15,7 +15,7 @@ from vnpy.trader.app.algoTrading.uiAlgoWidget import AlgoWidget, QtWidgets class TwapAlgo(AlgoTemplate): """TWAP算法""" - templateName = 'TWAP' + templateName = u'TWAP 时间加权平均' #---------------------------------------------------------------------- def __init__(self, engine, setting, algoName):