[Add]新增Sniper算法

2018-07-24 19:09:19 +08:00 · 2018-07-24 19:09:19 +08:00 · 71eb543f24
commit 71eb543f24
parent ca4a0cdafb
4 changed files with 201 additions and 3 deletions
--- a/vnpy/trader/app/algoTrading/algo/sniperAlgo.py
+++ 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
+    
+    
--- 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):
--- 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):
--- 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):