diff --git a/vnpy/trader/app/ctaStrategy/ctaEngine.py b/vnpy/trader/app/ctaStrategy/ctaEngine.py index 5b1528d9..bcce81c1 100644 --- a/vnpy/trader/app/ctaStrategy/ctaEngine.py +++ b/vnpy/trader/app/ctaStrategy/ctaEngine.py @@ -221,9 +221,14 @@ class CtaEngine(object): else: price = tick.lowerLimit - so.status = STOPORDER_TRIGGERED + # 发出市价委托 self.sendOrder(so.vtSymbol, so.orderType, price, so.volume, so.strategy) + + # 从活动停止单字典中移除该停止单 del self.workingStopOrderDict[so.stopOrderID] + + # 更新停止单状态，并通知策略 + so.status = STOPORDER_TRIGGERED so.strategy.onStopOrder(so) #---------------------------------------------------------------------- diff --git a/vnpy/trader/app/ctaStrategy/strategy/strategyAtrRsi.py b/vnpy/trader/app/ctaStrategy/strategy/strategyAtrRsi.py index c9606b96..890b6b5c 100644 --- a/vnpy/trader/app/ctaStrategy/strategy/strategyAtrRsi.py +++ b/vnpy/trader/app/ctaStrategy/strategy/strategyAtrRsi.py @@ -212,8 +212,8 @@ class AtrRsiStrategy(CtaTemplate): # 计算多头移动止损 longStop = self.intraTradeHigh * (1-self.trailingPercent/100) # 发出本地止损委托，并且把委托号记录下来，用于后续撤单 - orderID = self.sell(longStop, abs(self.pos), stop=True) - self.orderList.append(orderID) + l = self.sell(longStop, abs(self.pos), stop=True) + self.orderList.extend(l) # 持有空头仓位 elif self.pos < 0: @@ -221,8 +221,8 @@ class AtrRsiStrategy(CtaTemplate): self.intraTradeHigh = bar.high shortStop = self.intraTradeLow * (1+self.trailingPercent/100) - orderID = self.cover(shortStop, abs(self.pos), stop=True) - self.orderList.append(orderID) + l = self.cover(shortStop, abs(self.pos), stop=True) + self.orderList.extend(l) # 发出状态更新事件 self.putEvent() diff --git a/vnpy/trader/app/ctaStrategy/strategy/strategyDualThrust.py b/vnpy/trader/app/ctaStrategy/strategy/strategyDualThrust.py index c7f7815a..76ba243a 100644 --- a/vnpy/trader/app/ctaStrategy/strategy/strategyDualThrust.py +++ b/vnpy/trader/app/ctaStrategy/strategy/strategyDualThrust.py @@ -167,47 +167,47 @@ class DualThrustStrategy(CtaTemplate): if self.pos == 0: if bar.close > self.dayOpen: if not self.longEntered: - vtOrderID = self.buy(self.longEntry, self.fixedSize, stop=True) - self.orderList.append(vtOrderID) + l = self.buy(self.longEntry, self.fixedSize, stop=True) + self.orderList.extend(l) else: if not self.shortEntered: - vtOrderID = self.short(self.shortEntry, self.fixedSize, stop=True) - self.orderList.append(vtOrderID) + l = self.short(self.shortEntry, self.fixedSize, stop=True) + self.orderList.extend(l) # 持有多头仓位 elif self.pos > 0: self.longEntered = True # 多头止损单 - vtOrderID = self.sell(self.shortEntry, self.fixedSize, stop=True) - self.orderList.append(vtOrderID) + l = self.sell(self.shortEntry, self.fixedSize, stop=True) + self.orderList.extend(l) # 空头开仓单 if not self.shortEntered: - vtOrderID = self.short(self.shortEntry, self.fixedSize, stop=True) - self.orderList.append(vtOrderID) + l = self.short(self.shortEntry, self.fixedSize, stop=True) + self.orderList.extend(l) # 持有空头仓位 elif self.pos < 0: self.shortEntered = True # 空头止损单 - vtOrderID = self.cover(self.longEntry, self.fixedSize, stop=True) - self.orderList.append(vtOrderID) + l = self.cover(self.longEntry, self.fixedSize, stop=True) + self.orderList.extend(l) # 多头开仓单 if not self.longEntered: - vtOrderID = self.buy(self.longEntry, self.fixedSize, stop=True) - self.orderList.append(vtOrderID) + l = self.buy(self.longEntry, self.fixedSize, stop=True) + self.orderList.extend(l) # 收盘平仓 else: if self.pos > 0: - vtOrderID = self.sell(bar.close * 0.99, abs(self.pos)) - self.orderList.append(vtOrderID) + l = self.sell(bar.close * 0.99, abs(self.pos)) + self.orderList.extend(l) elif self.pos < 0: - vtOrderID = self.cover(bar.close * 1.01, abs(self.pos)) - self.orderList.append(vtOrderID) + l = self.cover(bar.close * 1.01, abs(self.pos)) + self.orderList.extend(l) # 发出状态更新事件 self.putEvent() diff --git a/vnpy/trader/app/ctaStrategy/strategy/strategyKingKeltner.py b/vnpy/trader/app/ctaStrategy/strategy/strategyKingKeltner.py index f8290229..6c7d478d 100644 --- a/vnpy/trader/app/ctaStrategy/strategy/strategyKingKeltner.py +++ b/vnpy/trader/app/ctaStrategy/strategy/strategyKingKeltner.py @@ -51,8 +51,8 @@ class KkStrategy(CtaTemplate): intraTradeHigh = 0 # 持仓期内的最高点 intraTradeLow = 0 # 持仓期内的最低点 - buyOrderID = None # OCO委托买入开仓的委托号 - shortOrderID = None # OCO委托卖出开仓的委托号 + buyOrderIDList = [] # OCO委托买入开仓的委托号 + shortOrderIDList = [] # OCO委托卖出开仓的委托号 orderList = [] # 保存委托代码的列表 # 参数列表，保存了参数的名称 @@ -220,18 +220,18 @@ class KkStrategy(CtaTemplate): self.intraTradeHigh = max(self.intraTradeHigh, bar.high) self.intraTradeLow = bar.low - orderID = self.sell(self.intraTradeHigh*(1-self.trailingPrcnt/100), + l = self.sell(self.intraTradeHigh*(1-self.trailingPrcnt/100), abs(self.pos), True) - self.orderList.append(orderID) + self.orderList.extend(l) # 持有空头仓位 elif self.pos < 0: self.intraTradeHigh = bar.high self.intraTradeLow = min(self.intraTradeLow, bar.low) - orderID = self.cover(self.intraTradeLow*(1+self.trailingPrcnt/100), + l = self.cover(self.intraTradeLow*(1+self.trailingPrcnt/100), abs(self.pos), True) - self.orderList.append(orderID) + self.orderList.extend(l) # 发出状态更新事件 self.putEvent() @@ -243,21 +243,21 @@ class KkStrategy(CtaTemplate): #---------------------------------------------------------------------- def onTrade(self, trade): - # 多头开仓成交后，撤消空头委托 - if self.pos > 0: - self.cancelOrder(self.shortOrderID) - if self.buyOrderID in self.orderList: - self.orderList.remove(self.buyOrderID) - if self.shortOrderID in self.orderList: - self.orderList.remove(self.shortOrderID) - # 反之同样 - elif self.pos < 0: - self.cancelOrder(self.buyOrderID) - if self.buyOrderID in self.orderList: - self.orderList.remove(self.buyOrderID) - if self.shortOrderID in self.orderList: - self.orderList.remove(self.shortOrderID) - + if self.pos != 0: + # 多头开仓成交后，撤消空头委托 + if self.pos > 0: + for shortOrderID in self.shortOrderIDList: + self.cancelOrder(shortOrderID) + # 反之同样 + elif self.pos < 0: + for buyOrderID in self.buyOrderIDList: + self.cancelOrder(buyOrderID) + + # 移除委托号 + for orderID in (self.buyOrderIDList + self.shortOrderIDList): + if orderID in self.orderList: + self.orderList.remove(orderID) + # 发出状态更新事件 self.putEvent() @@ -272,12 +272,12 @@ class KkStrategy(CtaTemplate): 3. 一个方向的停止单成交后会立即撤消另一个方向的 """ # 发送双边的停止单委托，并记录委托号 - self.buyOrderID = self.buy(buyPrice, volume, True) - self.shortOrderID = self.short(shortPrice, volume, True) + self.buyOrderIDList = self.buy(buyPrice, volume, True) + self.shortOrderIDList = self.short(shortPrice, volume, True) # 将委托号记录到列表中 - self.orderList.append(self.buyOrderID) - self.orderList.append(self.shortOrderID) + self.orderList.extend(self.buyOrderIDList) + self.orderList.extend(self.shortOrderIDList) #---------------------------------------------------------------------- def onStopOrder(self, so):