添加价差交易的持仓和日志显示

vnpy/trader/app/ctaStrategy/uiCtaWidget.py

@@ -268,6 +268,7 @@ class CtaEngineManager(QtWidgets.QWidget):
     #----------------------------------------------------------------------
     def closeEvent(self, event):
         """关闭窗口时的事件"""
+        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)

vnpy/trader/app/spreadTrading/stBase.py

@@ -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'
 
 
 

vnpy/trader/app/spreadTrading/stEngine.py

@@ -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"""
+        try:
             with open(self.settingFilePath) as f:
                 l = json.load(f)
                 
                 for setting in l:
-                self.createSpread(setting)
+                    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
+        event1 = Event(EVENT_SPREADTRADING_TICK+spread.name)
-        self.eventEngine.put(event)
+        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):
-        """"""
+        """处理成交推送"""
-        pass
+        # 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):
-        """"""
+        """处理持仓推送"""
-        pass
+        # 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"""

vnpy/trader/app/spreadTrading/uiStWidget.py

@@ -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}
@@ -30,19 +30,57 @@ 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()
+        self.registerEvent()        
 
-        # 注册事件监听
+
+########################################################################
+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()  
 
 
@@ -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()
+        hbox1 = QtWidgets.QHBoxLayout()
-        hbox.addWidget(buttonLoadSetting)
+        hbox1.addWidget(buttonLoadSetting)
-        hbox.addStretch()
+        hbox1.addStretch()
+        
+        hbox2 = QtWidgets.QHBoxLayout()
+        hbox2.addWidget(tickMonitor)
+        hbox2.addWidget(posMonitor)
         
         vbox = QtWidgets.QVBoxLayout()
-        vbox.addLayout(hbox)
+        vbox.addLayout(hbox1)
-        vbox.addWidget(tickMonitor)
+        vbox.addLayout(hbox2)
+        vbox.addWidget(logMonitor)
         
         self.setLayout(vbox)