From 7baa486d6bcdf92eaf5a4897171e544ea7e4f56e Mon Sep 17 00:00:00 2001 From: msincenselee Date: Mon, 24 Aug 2020 11:08:10 +0800 Subject: [PATCH] [Bug Fix] --- vnpy/app/algo_trading/engine.py | 11 ++-- vnpy/app/cta_strategy_pro/engine.py | 85 +++++++++++++++++++++----- vnpy/app/cta_strategy_pro/template.py | 5 ++ vnpy/app/cta_strategy_pro/ui/widget.py | 19 +++++- 4 files changed, 100 insertions(+), 20 deletions(-) diff --git a/vnpy/app/algo_trading/engine.py b/vnpy/app/algo_trading/engine.py index 920db323..97365b55 100644 --- a/vnpy/app/algo_trading/engine.py +++ b/vnpy/app/algo_trading/engine.py @@ -168,10 +168,13 @@ class AlgoEngine(BaseEngine): """""" algo = self.algos.get(algo_name, None) if algo: - algo.stop() - self.algos.pop(algo_name) - return True - + if algo.stop(): + self.algos.pop(algo_name) + return True + else: + self.write_error(f'停止算法实例{algo_name}失败，内部正在执行中，不能马上停止') + else: + self.write_error(f'停止算法实例{algo_name}失败，实例不存在') return False def stop_all(self): diff --git a/vnpy/app/cta_strategy_pro/engine.py b/vnpy/app/cta_strategy_pro/engine.py index 578b82fe..ad9d8c47 100644 --- a/vnpy/app/cta_strategy_pro/engine.py +++ b/vnpy/app/cta_strategy_pro/engine.py @@ -237,7 +237,7 @@ class CtaEngine(BaseEngine): all_strategy_pos = self.get_all_strategy_pos() # 每5分钟检查一次 - if dt.minute % 5 == 0 and self.engine_config.get('compare_pos',True): + if dt.minute % 5 == 0 and self.engine_config.get('compare_pos', True): # 比对仓位，使用上述获取得持仓信息，不用重复获取 self.compare_pos(strategy_pos_list=copy(all_strategy_pos)) @@ -846,7 +846,6 @@ class CtaEngine(BaseEngine): return contract.min_volume - def get_tick(self, vt_symbol: str): """获取合约得最新tick""" return self.main_engine.get_tick(vt_symbol) @@ -1202,7 +1201,7 @@ class CtaEngine(BaseEngine): module_name = self.class_module_map[class_name] # 重新load class module - #if not self.load_strategy_class_from_module(module_name): + # if not self.load_strategy_class_from_module(module_name): # err_msg = f'不能加载模块:{module_name}' # self.write_error(err_msg) # return False, err_msg @@ -1520,7 +1519,7 @@ class CtaEngine(BaseEngine): if short_pos['volume'] > 0: pos_list.append(short_pos) - # 新增处理SPD结尾得特殊自定义套利合约 + # 新增处理SPD结尾得特殊自定义套利合约 ，或 标准套利合约 try: if strategy.vt_symbol.endswith('.SPD') and len(pos_list) > 0: old_pos_list = copy(pos_list) @@ -1530,7 +1529,8 @@ class CtaEngine(BaseEngine): spd_vt_symbol = pos.get('vt_symbol', None) if spd_vt_symbol is not None and spd_vt_symbol.endswith('.SPD'): spd_symbol, spd_exchange = extract_vt_symbol(spd_vt_symbol) - spd_setting = self.main_engine.get_all_custom_contracts(rtn_setting=True).get(spd_symbol, None) + spd_setting = self.main_engine.get_all_custom_contracts(rtn_setting=True).get(spd_symbol, + None) if spd_setting is None: self.write_error(u'获取不到:{}得设置信息，检查自定义合约配置文件'.format(spd_symbol)) @@ -1543,13 +1543,15 @@ class CtaEngine(BaseEngine): leg1_pos = {} leg1_pos.update({'symbol': spd_setting.get('leg1_symbol')}) - leg1_pos.update({'vt_symbol': '{}.{}'.format(spd_setting.get('leg1_symbol'), spd_setting.get('leg1_exchange'))}) + leg1_pos.update({'vt_symbol': '{}.{}'.format(spd_setting.get('leg1_symbol'), + spd_setting.get('leg1_exchange'))}) leg1_pos.update({'direction': leg1_direction}) leg1_pos.update({'volume': spd_setting.get('leg1_ratio', 1) * spd_volume}) leg2_pos = {} leg2_pos.update({'symbol': spd_setting.get('leg2_symbol')}) - leg2_pos.update({'vt_symbol': '{}.{}'.format(spd_setting.get('leg2_symbol'), spd_setting.get('leg2_exchange'))}) + leg2_pos.update({'vt_symbol': '{}.{}'.format(spd_setting.get('leg2_symbol'), + spd_setting.get('leg2_exchange'))}) leg2_pos.update({'direction': leg2_direction}) leg2_pos.update({'volume': spd_setting.get('leg2_ratio', 1) * spd_volume}) @@ -1559,6 +1561,34 @@ class CtaEngine(BaseEngine): else: pos_list.append(pos) + elif ' ' in strategy.vt_symbol and '&' in strategy.vt_symbol and len(pos_list) > 0: + old_pos_list = copy(pos_list) + pos_list = [] + for pos in old_pos_list: + spd_vt_symbol = pos.get('vt_symbol', None) + if spd_vt_symbol is not None and ' ' in spd_vt_symbol and '&' in spd_vt_symbol: + spd_symbol, exchange = spd_vt_symbol.split('.') + spd_symbol = spd_symbol.split(' ')[-1] + leg1_symbol, leg2_symbol = spd_symbol.split('&') + leg1_direction = 'long' if pos.get('direction') in [Direction.LONG, 'long'] else 'short' + leg2_direction = 'short' if leg1_direction == 'long' else 'long' + spd_volume = pos.get('volume') + + leg1_pos = {} + leg1_pos.update({'symbol': leg1_symbol}) + leg1_pos.update({'vt_symbol': f'{leg1_symbol}.{exchange}'}) + leg1_pos.update({'direction': leg1_direction}) + leg1_pos.update({'volume': spd_volume}) + + leg2_pos = {} + leg2_pos.update({'symbol': leg2_symbol}) + leg2_pos.update({'vt_symbol': f'{leg2_symbol}.{exchange}'}) + leg2_pos.update({'direction': leg2_direction}) + leg2_pos.update({'volume': spd_volume}) + + pos_list.append(leg1_pos) + pos_list.append(leg2_pos) + except Exception as ex: self.write_error(f'分解SPD失败:{str(ex)}') @@ -1681,7 +1711,8 @@ class CtaEngine(BaseEngine): continue if holding.exchange == Exchange.SPD: continue - if '&' in holding.vt_symbol and (holding.vt_symbol.startswith('SP') or holding.vt_symbol.startswith('STG') or holding.vt_symbol.startswith('PRT')): + if '&' in holding.vt_symbol and (holding.vt_symbol.startswith('SP') or holding.vt_symbol.startswith( + 'STG') or holding.vt_symbol.startswith('PRT')): continue compare_pos[vt_symbol] = OrderedDict( @@ -1730,6 +1761,7 @@ class CtaEngine(BaseEngine): pos_compare_result = '' # 精简输出 compare_info = '' + diff_pos_dict = {} for vt_symbol in sorted(vt_symbols): # 发送不一致得结果 symbol_pos = compare_pos.pop(vt_symbol, {}) @@ -1746,16 +1778,38 @@ class CtaEngine(BaseEngine): 'direction': Direction.SHORT.value, 'strategy_list': symbol_pos.get('空单策略', [])} + # 股指期货: 帐号多/空轧差， vs 策略多空轧差 是否一致； + # 其他期货：帐号多单 vs 除了多单， 空单 vs 空单 + if vt_symbol.endswith(".CFFEX"): + diff_match = (symbol_pos.get('账号多单', 0) - symbol_pos.get('账号空单', 0)) == ( + symbol_pos.get('策略多单', 0) - symbol_pos.get('策略空单', 0)) + pos_match = symbol_pos.get('账号空单', 0) == symbol_pos.get('策略空单', 0) and \ + symbol_pos.get('账号多单', 0) == symbol_pos.get('策略多单', 0) + match = diff_match + # 轧差一致，帐号/策略持仓不一致 + if diff_match and not pos_match: + if symbol_pos.get('账号多单', 0) > symbol_pos.get('策略多单', 0): + self.write_log('{}轧差持仓：多:{},空:{} 大于 策略持仓 多:{},空:{}'.format( + vt_symbol, + symbol_pos.get('账号多单', 0), + symbol_pos.get('账号空单', 0), + symbol_pos.get('策略多单', 0), + symbol_pos.get('策略空单', 0) + )) + diff_pos_dict.update({vt_symbol: {"long":symbol_pos.get('账号多单', 0) - symbol_pos.get('策略多单', 0), + "short":symbol_pos.get('账号空单', 0) - symbol_pos.get('策略空单', 0)}}) + else: + match = round(symbol_pos.get('账号空单', 0), 7) == round(symbol_pos.get('策略空单', 0), 7) and \ + round(symbol_pos.get('账号多单', 0), 7) == round(symbol_pos.get('策略多单', 0), 7) # 多空都一致 - if round(symbol_pos.get('账号空单',0), 7) == round(symbol_pos.get('策略空单',0), 7) and \ - round(symbol_pos.get('账号多单',0), 7) == round(symbol_pos.get('策略多单',0), 7): + if match: msg = u'{}多空都一致.{}\n'.format(vt_symbol, json.dumps(symbol_pos, indent=2, ensure_ascii=False)) self.write_log(msg) compare_info += msg else: pos_compare_result += '\n{}: '.format(vt_symbol) # 判断是多单不一致？ - diff_long_volume = round(symbol_pos.get('账号多单',0), 7) - round(symbol_pos.get('策略多单',0), 7) + diff_long_volume = round(symbol_pos.get('账号多单', 0), 7) - round(symbol_pos.get('策略多单', 0), 7) if diff_long_volume != 0: msg = '{}多单[账号({}), 策略{},共({})], ' \ .format(vt_symbol, @@ -1770,7 +1824,7 @@ class CtaEngine(BaseEngine): self.balance_pos(vt_symbol, Direction.LONG, diff_long_volume) # 判断是空单不一致: - diff_short_volume = round(symbol_pos.get('账号空单',0), 7) - round(symbol_pos.get('策略空单',0), 7) + diff_short_volume = round(symbol_pos.get('账号空单', 0), 7) - round(symbol_pos.get('策略空单', 0), 7) if diff_short_volume != 0: msg = '{}空单[账号({}), 策略{},共({})], ' \ @@ -1800,6 +1854,9 @@ class CtaEngine(BaseEngine): return True, compare_info + ret_msg else: self.write_log(u'账户持仓与策略一致') + if len(diff_pos_dict) > 0: + for k,v in diff_pos_dict.items(): + self.write_log(f'{k} 存在大于策略的轧差持仓:{v}') return True, compare_info def balance_pos(self, vt_symbol, direction, volume): @@ -1985,13 +2042,13 @@ class CtaEngine(BaseEngine): print(f"{strategy_name}: {msg}" if strategy_name else msg, file=sys.stderr) if level in [logging.CRITICAL, logging.WARN, logging.WARNING]: - send_wx_msg(content=f"{strategy_name}: {msg}" if strategy_name else msg, target=self.engine_config.get('accountid', 'XXX')) + send_wx_msg(content=f"{strategy_name}: {msg}" if strategy_name else msg, + target=self.engine_config.get('accountid', 'XXX')) def write_error(self, msg: str, strategy_name: str = '', level: int = logging.ERROR): """写入错误日志""" self.write_log(msg=msg, strategy_name=strategy_name, level=level) - def send_email(self, msg: str, strategy: CtaTemplate = None): """ Send email to default receiver. diff --git a/vnpy/app/cta_strategy_pro/template.py b/vnpy/app/cta_strategy_pro/template.py index 891e9626..8351fd2e 100644 --- a/vnpy/app/cta_strategy_pro/template.py +++ b/vnpy/app/cta_strategy_pro/template.py @@ -1632,8 +1632,13 @@ class CtaProFutureTemplate(CtaProTemplate): self.display_grids() def on_stop_order(self, stop_order: StopOrder): + """ + 停止单更新 + 需要自己重载，处理各类触发、撤单等情况 + """ self.write_log(f'停止单触发:{stop_order.__dict__}') + def cancel_all_orders(self): """ 重载撤销所有正在进行得委托 diff --git a/vnpy/app/cta_strategy_pro/ui/widget.py b/vnpy/app/cta_strategy_pro/ui/widget.py index ceec637d..7e32d061 100644 --- a/vnpy/app/cta_strategy_pro/ui/widget.py +++ b/vnpy/app/cta_strategy_pro/ui/widget.py @@ -468,15 +468,30 @@ class SettingEditor(QtWidgets.QDialog): for name, tp in self.edits.items(): edit, type_ = tp value_text = edit.text() - if type_ == bool: if value_text == "True": value = True else: value = False else: - value = type_(value_text) + try: + value = type_(value_text) + except Exception as ex: + print(f'{name}数据类型转换未指定') + if isnumber(value_text): + value = float(value_text) + elif value_text == 'None': + value = None + else: + value = value_text setting[name] = value return setting + +def isnumber(aString): + try: + float(aString) + return True + except: + return False