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添加价差交易的持仓和日志显示

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This commit is contained in:
vn.py 2017-06-15 14:43:49 +08:00
parent e8fbab872d
commit 7ed32dca4b
4 changed files with 178 additions and 41 deletions
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15
vnpy/trader/app/ctaStrategy/uiCtaWidget.py
View File

@ -268,13 +268,14 @@ class CtaEngineManager(QtWidgets.QWidget):
#----------------------------------------------------------------------
def closeEvent(self, event):
"""关闭窗口时的事件"""
reply = QtWidgets.QMessageBox.question(self, text.SAVE_POSITION_DATA,
text.SAVE_POSITION_QUESTION, QtWidgets.QMessageBox.Yes |
QtWidgets.QMessageBox.No, QtWidgets.QMessageBox.No)
if reply == QtWidgets.QMessageBox.Yes:
self.ctaEngine.savePosition()
if self.isVisible():
reply = QtWidgets.QMessageBox.question(self, text.SAVE_POSITION_DATA,
text.SAVE_POSITION_QUESTION, QtWidgets.QMessageBox.Yes |
QtWidgets.QMessageBox.No, QtWidgets.QMessageBox.No)
if reply == QtWidgets.QMessageBox.Yes:
self.ctaEngine.savePosition()
event.accept()

2
vnpy/trader/app/spreadTrading/stBase.py
View File

@ -11,6 +11,8 @@ from vnpy.trader.vtConstant import (EMPTY_INT, EMPTY_FLOAT,
EVENT_SPREADTRADING_TICK = 'eSpreadTradingTick.'
EVENT_SPREADTRADING_POS = 'eSpreadTradingPos.'
EVENT_SPREADTRADING_LOG = 'eSpreadTradingLog'

123
vnpy/trader/app/spreadTrading/stEngine.py
View File

@ -1,14 +1,18 @@
# encoding: UTF-8
import json
import traceback
from copy import copy
from vnpy.event import Event
from vnpy.trader.vtFunction import getJsonPath
from vnpy.trader.vtEvent import EVENT_TICK, EVENT_TRADE, EVENT_POSITION
from vnpy.trader.vtObject import VtSubscribeReq
from vnpy.trader.vtObject import VtSubscribeReq, VtLogData
from vnpy.trader.vtConstant import (DIRECTION_LONG, DIRECTION_SHORT,
OFFSET_OPEN, OFFSET_CLOSE)
from .stBase import StLeg, StSpread, EVENT_SPREADTRADING_TICK
from .stBase import (StLeg, StSpread, EVENT_SPREADTRADING_TICK,
EVENT_SPREADTRADING_POS, EVENT_SPREADTRADING_LOG)
########################################################################
@ -33,11 +37,18 @@ class StEngine(object):
#----------------------------------------------------------------------
def loadSetting(self):
"""加载配置"""
with open(self.settingFilePath) as f:
l = json.load(f)
for setting in l:
self.createSpread(setting)
try:
with open(self.settingFilePath) as f:
l = json.load(f)
for setting in l:
result, msg = self.createSpread(setting)
self.writeLog(msg)
self.writeLog(u'价差配置加载完成')
except:
content = u'价差配置加载出错，原因：' + traceback.format_exc()
self.writeLog(content)
#----------------------------------------------------------------------
def saveSetting(self):
@ -53,7 +64,7 @@ class StEngine(object):
# 检查价差重名
if setting['name'] in self.spreadDict:
msg = u'%s价差重名' %setting['name']
msg = u'%s价差存在重名' %setting['name']
return result, msg
# 检查腿是否已使用
@ -132,21 +143,89 @@ class StEngine(object):
spread = self.vtSymbolSpreadDict[tick.vtSymbol]
spread.calculatePrice()
# 推送价差更新
# 推送价差行情更新
newSpread = copy(spread)
event = Event(EVENT_SPREADTRADING_TICK)
event.dict_['data'] = newSpread
self.eventEngine.put(event)
event1 = Event(EVENT_SPREADTRADING_TICK+spread.name)
event1.dict_['data'] = newSpread
self.eventEngine.put(event1)
event2 = Event(EVENT_SPREADTRADING_TICK)
event2.dict_['data'] = newSpread
self.eventEngine.put(event2)
#----------------------------------------------------------------------
def processTradeEvent(self, event):
""""""
pass
"""处理成交推送"""
# 检查成交是否需要处理
trade = event.dict_['data']
if trade.vtSymbol not in self.legDict:
return
# 更新腿持仓
leg = self.legDict[trade.vtSymbol]
direction = trade.direction
offset = trade.offst
if direction == DIRECTION_LONG:
if offset == OFFSET_OPEN:
leg.longPos += trade.volume
else:
leg.shortPos -= trade.volume
else:
if offset == OFFSET_OPEN:
leg.shortPos += trade.volume
else:
leg.longPos -= trade.volume
leg.netPos = leg.longPos - leg.shortPos
# 更新价差持仓
spread = self.vtSymbolSpreadDict[trade.vtSymbol]
spread.calculatePos()
# 推送价差持仓更新
newSpread = copy(spread)
event1 = Event(EVENT_SPREADTRADING_POS+spread.name)
event1.dict_['data'] = newSpread
self.eventEngine.put(event1)
event2 = Event(EVENT_SPREADTRADING_POS)
event2.dict_['data'] = newSpread
self.eventEngine.put(event2)
#----------------------------------------------------------------------
def processPositionEvent(self, event):
""""""
pass
"""处理持仓推送"""
# 检查持仓是否需要处理
pos = event.dict_['data']
if pos.vtSymbol not in self.legDict:
return
# 更新腿持仓
leg = self.legDict[trade.vtSymbol]
direction = pos.direction
if direction == DIRECTION_LONG:
leg.longPos = pos.position
else:
leg.shortPos = pos.position
leg.netPos = leg.longPos - leg.shortPos
# 更新价差持仓
spread = self.vtSymbolSpreadDict[trade.vtSymbol]
spread.calculatePos()
# 推送价差持仓更新
newSpread = copy(spread)
event1 = Event(EVENT_SPREADTRADING_POS+spread.name)
event1.dict_['data'] = newSpread
self.eventEngine.put(event1)
event2 = Event(EVENT_SPREADTRADING_POS)
event2.dict_['data'] = newSpread
self.eventEngine.put(event2)
#----------------------------------------------------------------------
def registerEvent(self):
@ -160,7 +239,7 @@ class StEngine(object):
"""订阅行情"""
contract = self.mainEngine.getContract(vtSymbol)
if not contract:
return
self.writeLog(u'订阅行情失败，找不到该合约%s' %vtSymbol)
req = VtSubscribeReq()
req.symbol = contract.symbol
@ -168,6 +247,16 @@ class StEngine(object):
self.mainEngine.subscribe(req, contract.gatewayName)
#----------------------------------------------------------------------
def writeLog(self, content):
"""发出日志"""
log = VtLogData()
log.logContent = content
event = Event(EVENT_SPREADTRADING_LOG)
event.dict_['data'] = log
self.eventEngine.put(event)
#----------------------------------------------------------------------
def stop(self):
"""停止"""

79
vnpy/trader/app/spreadTrading/uiStWidget.py
View File

@ -3,23 +3,23 @@
from collections import OrderedDict
from vnpy.trader.uiQt import QtWidgets
from vnpy.trader.uiBasicWidget import (BasicMonitor, BasicCell,
from vnpy.trader.uiBasicWidget import (BasicMonitor, BasicCell, PnlCell,
AskCell, BidCell, BASIC_FONT)
from .stBase import EVENT_SPREADTRADING_TICK
from .stBase import (EVENT_SPREADTRADING_TICK, EVENT_SPREADTRADING_POS,
EVENT_SPREADTRADING_LOG)
########################################################################
class StTickMonitor(BasicMonitor):
""""""
"""价差行情监控"""
#----------------------------------------------------------------------
def __init__(self, mainEngine, eventEngine, parent=None):
"""Constructor"""
super(StTickMonitor, self).__init__(mainEngine, eventEngine, parent)
# 设置表头有序字典
d = OrderedDict()
d['name'] = {'chinese':u'价差名称', 'cellType':BasicCell}
d['bidPrice'] = {'chinese':u'买价', 'cellType':BidCell}
@ -30,22 +30,60 @@ class StTickMonitor(BasicMonitor):
d['symbol'] = {'chinese':u'代码', 'cellType':BasicCell}
self.setHeaderDict(d)
# 设置数据键
self.setDataKey('name')
# 设置监控事件类型
self.setEventType(EVENT_SPREADTRADING_TICK)
# 设置字体
self.setFont(BASIC_FONT)
# 初始化表格
self.initTable()
# 注册事件监听
self.registerEvent()
########################################################################
class StPosMonitor(BasicMonitor):
"""价差持仓监控"""
#----------------------------------------------------------------------
def __init__(self, mainEngine, eventEngine, parent=None):
"""Constructor"""
super(StPosMonitor, self).__init__(mainEngine, eventEngine, parent)
d = OrderedDict()
d['name'] = {'chinese':u'价差名称', 'cellType':BasicCell}
d['netPos'] = {'chinese':u'净仓', 'cellType':PnlCell}
d['longPos'] = {'chinese':u'多仓', 'cellType':BasicCell}
d['shortPos'] = {'chinese':u'空仓', 'cellType':BasicCell}
d['symbol'] = {'chinese':u'代码', 'cellType':BasicCell}
self.setHeaderDict(d)
self.setDataKey('name')
self.setEventType(EVENT_SPREADTRADING_POS)
self.setFont(BASIC_FONT)
self.initTable()
self.registerEvent()
########################################################################
class StLogMonitor(BasicMonitor):
"""价差日志监控"""
#----------------------------------------------------------------------
def __init__(self, mainEngine, eventEngine, parent=None):
"""Constructor"""
super(StLogMonitor, self).__init__(mainEngine, eventEngine, parent)
d = OrderedDict()
d['logTime'] = {'chinese':u'时间', 'cellType':BasicCell}
d['logContent'] = {'chinese':u'日志', 'cellType':BasicCell}
self.setHeaderDict(d)
self.setEventType(EVENT_SPREADTRADING_LOG)
self.setFont(BASIC_FONT)
self.initTable()
self.registerEvent()
########################################################################
class StManager(QtWidgets.QWidget):
""""""
@ -73,15 +111,22 @@ class StManager(QtWidgets.QWidget):
# 创建组件
tickMonitor = StTickMonitor(self.mainEngine, self.eventEngine)
posMonitor = StPosMonitor(self.mainEngine, self.eventEngine)
logMonitor = StLogMonitor(self.mainEngine, self.eventEngine)
# 设置布局
hbox = QtWidgets.QHBoxLayout()
hbox.addWidget(buttonLoadSetting)
hbox.addStretch()
hbox1 = QtWidgets.QHBoxLayout()
hbox1.addWidget(buttonLoadSetting)
hbox1.addStretch()
hbox2 = QtWidgets.QHBoxLayout()
hbox2.addWidget(tickMonitor)
hbox2.addWidget(posMonitor)
vbox = QtWidgets.QVBoxLayout()
vbox.addLayout(hbox)
vbox.addWidget(tickMonitor)
vbox.addLayout(hbox1)
vbox.addLayout(hbox2)
vbox.addWidget(logMonitor)
self.setLayout(vbox)