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[Bug Fix]

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This commit is contained in:
msincenselee 2020-08-24 11:08:10 +08:00
parent ffb7d7f910
commit 7baa486d6b
4 changed files with 100 additions and 20 deletions
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11
vnpy/app/algo_trading/engine.py
View File

@ -168,10 +168,13 @@ class AlgoEngine(BaseEngine):
"""""" """"""
algo = self.algos.get(algo_name, None) algo = self.algos.get(algo_name, None)
if algo: if algo:
algo.stop() if algo.stop():
self.algos.pop(algo_name) self.algos.pop(algo_name)
return True 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 return False
def stop_all(self): def stop_all(self):

85
vnpy/app/cta_strategy_pro/engine.py
View File

@ -237,7 +237,7 @@ class CtaEngine(BaseEngine):
all_strategy_pos = self.get_all_strategy_pos() all_strategy_pos = self.get_all_strategy_pos()
# 每5分钟检查一次 # 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 # 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)) self.compare_pos(strategy_pos_list=copy(all_strategy_pos))
@ -846,7 +846,6 @@ class CtaEngine(BaseEngine):
return contract.min_volume return contract.min_volume
def get_tick(self, vt_symbol: str): def get_tick(self, vt_symbol: str):
"""获取合约得最新tick""" """获取合约得最新tick"""
return self.main_engine.get_tick(vt_symbol) return self.main_engine.get_tick(vt_symbol)
@ -1202,7 +1201,7 @@ class CtaEngine(BaseEngine):
module_name = self.class_module_map[class_name] module_name = self.class_module_map[class_name]
# 重新load class module # 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}' # err_msg = f'不能加载模块:{module_name}'
# self.write_error(err_msg) # self.write_error(err_msg)
# return False, err_msg # return False, err_msg
@ -1520,7 +1519,7 @@ class CtaEngine(BaseEngine):
if short_pos['volume'] > 0: if short_pos['volume'] > 0:
pos_list.append(short_pos) 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: try:
if strategy.vt_symbol.endswith('.SPD') and len(pos_list) > 0: if strategy.vt_symbol.endswith('.SPD') and len(pos_list) > 0:
old_pos_list = copy(pos_list) old_pos_list = copy(pos_list)
@ -1530,7 +1529,8 @@ class CtaEngine(BaseEngine):
spd_vt_symbol = pos.get('vt_symbol', None) spd_vt_symbol = pos.get('vt_symbol', None)
if spd_vt_symbol is not None and spd_vt_symbol.endswith('.SPD'): if spd_vt_symbol is not None and spd_vt_symbol.endswith('.SPD'):
spd_symbol, spd_exchange = extract_vt_symbol(spd_vt_symbol) 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: 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)) 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 = {}
leg1_pos.update({'symbol': spd_setting.get('leg1_symbol')}) 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({'direction': leg1_direction})
leg1_pos.update({'volume': spd_setting.get('leg1_ratio', 1) * spd_volume}) leg1_pos.update({'volume': spd_setting.get('leg1_ratio', 1) * spd_volume})
leg2_pos = {} leg2_pos = {}
leg2_pos.update({'symbol': spd_setting.get('leg2_symbol')}) 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({'direction': leg2_direction})
leg2_pos.update({'volume': spd_setting.get('leg2_ratio', 1) * spd_volume}) leg2_pos.update({'volume': spd_setting.get('leg2_ratio', 1) * spd_volume})
@ -1559,6 +1561,34 @@ class CtaEngine(BaseEngine):
else: else:
pos_list.append(pos) 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: except Exception as ex:
self.write_error(f'分解SPD失败:{str(ex)}') self.write_error(f'分解SPD失败:{str(ex)}')
@ -1681,7 +1711,8 @@ class CtaEngine(BaseEngine):
continue continue
if holding.exchange == Exchange.SPD: if holding.exchange == Exchange.SPD:
continue 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 continue
compare_pos[vt_symbol] = OrderedDict( compare_pos[vt_symbol] = OrderedDict(
@ -1730,6 +1761,7 @@ class CtaEngine(BaseEngine):
pos_compare_result = '' pos_compare_result = ''
# 精简输出 # 精简输出
compare_info = '' compare_info = ''
diff_pos_dict = {}
for vt_symbol in sorted(vt_symbols): for vt_symbol in sorted(vt_symbols):
# 发送不一致得结果 # 发送不一致得结果
symbol_pos = compare_pos.pop(vt_symbol, {}) symbol_pos = compare_pos.pop(vt_symbol, {})
@ -1746,16 +1778,38 @@ class CtaEngine(BaseEngine):
'direction': Direction.SHORT.value, 'direction': Direction.SHORT.value,
'strategy_list': symbol_pos.get('空单策略', [])} '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 # 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 \ if match:
round(symbol_pos.get('账号多单',0), 7) == round(symbol_pos.get('策略多单',0), 7):
msg = u'{}多空都一致.{}\n'.format(vt_symbol, json.dumps(symbol_pos, indent=2, ensure_ascii=False)) msg = u'{}多空都一致.{}\n'.format(vt_symbol, json.dumps(symbol_pos, indent=2, ensure_ascii=False))
self.write_log(msg) self.write_log(msg)
compare_info += msg compare_info += msg
else: else:
pos_compare_result += '\n{}: '.format(vt_symbol) pos_compare_result += '\n{}: '.format(vt_symbol)
# 判断是多单不一致？ # 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: if diff_long_volume != 0:
msg = '{}多单[账号({}), 策略{},共({})], ' \ msg = '{}多单[账号({}), 策略{},共({})], ' \
.format(vt_symbol, .format(vt_symbol,
@ -1770,7 +1824,7 @@ class CtaEngine(BaseEngine):
self.balance_pos(vt_symbol, Direction.LONG, diff_long_volume) self.balance_pos(vt_symbol, Direction.LONG, diff_long_volume)
# 判断是空单不一致: # 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: if diff_short_volume != 0:
msg = '{}空单[账号({}), 策略{},共({})], ' \ msg = '{}空单[账号({}), 策略{},共({})], ' \
@ -1800,6 +1854,9 @@ class CtaEngine(BaseEngine):
return True, compare_info + ret_msg return True, compare_info + ret_msg
else: else:
self.write_log(u'账户持仓与策略一致') 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 return True, compare_info
def balance_pos(self, vt_symbol, direction, volume): 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) print(f"{strategy_name}: {msg}" if strategy_name else msg, file=sys.stderr)
if level in [logging.CRITICAL, logging.WARN, logging.WARNING]: 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): def write_error(self, msg: str, strategy_name: str = '', level: int = logging.ERROR):
"""写入错误日志""" """写入错误日志"""
self.write_log(msg=msg, strategy_name=strategy_name, level=level) self.write_log(msg=msg, strategy_name=strategy_name, level=level)
def send_email(self, msg: str, strategy: CtaTemplate = None): def send_email(self, msg: str, strategy: CtaTemplate = None):
""" """
Send email to default receiver. Send email to default receiver.

5
vnpy/app/cta_strategy_pro/template.py
View File

@ -1632,8 +1632,13 @@ class CtaProFutureTemplate(CtaProTemplate):
self.display_grids() self.display_grids()
def on_stop_order(self, stop_order: StopOrder): 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__}') self.write_log(f'停止单触发:{stop_order.__dict__}')
def cancel_all_orders(self): def cancel_all_orders(self):
""" """
重载撤销所有正在进行得委托 重载撤销所有正在进行得委托

19
vnpy/app/cta_strategy_pro/ui/widget.py
View File

@ -468,15 +468,30 @@ class SettingEditor(QtWidgets.QDialog):
for name, tp in self.edits.items(): for name, tp in self.edits.items():
edit, type_ = tp edit, type_ = tp
value_text = edit.text() value_text = edit.text()
if type_ == bool: if type_ == bool:
if value_text == "True": if value_text == "True":
value = True value = True
else: else:
value = False value = False
else: 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 setting[name] = value
return setting return setting
def isnumber(aString):
try:
float(aString)
return True
except:
return False