[Bug Fix]
This commit is contained in:
msincenselee
parent
ffb7d7f910
commit
7baa486d6b
@ -168,10 +168,13 @@ class AlgoEngine(BaseEngine):
|
||||
""""""
|
||||
algo = self.algos.get(algo_name, None)
|
||||
if algo:
|
||||
algo.stop()
|
||||
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):
|
||||
|
||||
@ -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.
|
||||
|
||||
@ -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
|
||||
|
||||
@ -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:
|
||||
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
|
||||
|
||||
Loading…
Reference in New Issue
Block a user