sync vnpy1.6.2

vnpy/trader/app/ctaStrategy/ctaBacktesting.py

@@ -26,11 +26,11 @@ import pandas as pd
 import re
 
 
-from ctaBase import *
-from trader.vtConstant import *
-from trader.vtGateway import VtOrderData, VtTradeData
-from trader.vtFunction import loadMongoSetting
-from trader.eventEngine import *
+from vnpy.trader.app.ctaStrategy.ctaBase import *
+from vnpy.trader.vtConstant import *
+from vnpy.trader.vtGateway import VtOrderData, VtTradeData
+from vnpy.trader.vtFunction import loadMongoSetting
+from vnpy.trader.vtEvent import *
 
 
 ########################################################################

vnpy/trader/app/ctaStrategy/ctaEngine.py

@@ -31,10 +31,10 @@ import re
 
 from ctaBase import *
 from strategy import STRATEGY_CLASS
-from trader.eventEngine import *
-from trader.vtConstant import *
-from trader.vtGateway import VtSubscribeReq, VtOrderReq, VtCancelOrderReq, VtLogData
-from trader.vtFunction import todayDate
+from vnpy.trader.vtEvent import *
+from vnpy.trader.vtConstant import *
+from vnpy.trader.vtGateway import VtSubscribeReq, VtOrderReq, VtCancelOrderReq, VtLogData
+from vnpy.trader.vtFunction import todayDate
 
 
 ########################################################################
@@ -658,9 +658,8 @@ class CtaEngine(object):
             if contract:
                 # 获取合约的缩写号
                 s = self.getShortSymbol(symbol)
-                if s == symbol:    # 合约缩写提取失败
-                    continue
-
+                #if s == symbol:    # 合约缩写提取失败
+                #    continue
                 dt = datetime.now()
                 # 若为中金所的合约，白天才提交订阅请求
                 if s in MARKET_ZJ and not(8 < dt.hour < 16):
@@ -847,7 +846,7 @@ class CtaEngine(object):
                 for d in posData:
                     strategy.pos = d['pos']
         except:
-            self.writeCtaLog(u'loadPosition Exception')
+            self.writeCtaLog(u'loadPosition Exception from Mongodb')
     # ----------------------------------------------------------------------
     def roundToPriceTick(self, priceTick, price):
         """取整价格到合约最小价格变动"""

vnpy/trader/app/ctaStrategy/ctaGridTrade.py

@@ -6,7 +6,7 @@ from datetime import datetime
 import json
 
 from ctaBase import *
-from trader.vtConstant import *
+from vnpy.trader.vtConstant import *
 
 DEBUGCTALOG = True
 

vnpy/trader/app/ctaStrategy/ctaHistoryData.py

@@ -19,8 +19,8 @@ import pandas as pd
 from ctaBase import *
 from datayesClient import DatayesClient
 
-from trader.vtConstant import *
-from trader.vtFunction import loadMongoSetting
+from vnpy.trader.vtConstant import *
+from vnpy.trader.vtFunction import loadMongoSetting
 
 
 

vnpy/trader/app/ctaStrategy/ctaLineBar.py

@@ -10,8 +10,8 @@ import numpy
 import copy,csv
 from pykalman import KalmanFilter
 
-from ctaBase import *
-from trader.vtConstant import *
+from vnpy.trader.app.ctaStrategy.ctaBase import *
+from vnpy.trader.vtConstant import *
 
 DEBUGCTALOG = True
 

vnpy/trader/app/ctaStrategy/ctaPolicy.py

@@ -1,7 +1,7 @@
 # encoding: UTF-8
 
-from ctaBase import *
-from trader.vtConstant import *
+from vnpy.trader.app.ctaStrategy.ctaBase import *
+from vnpy.trader.vtConstant import *
 
 
 DEBUGCTALOG = True

vnpy/trader/app/ctaStrategy/ctaPosition.py

@@ -1,12 +1,9 @@
 # encoding: UTF-8
 
-
-
 from datetime import datetime
-import talib as ta
 
-from ctaBase import *
-from trader.vtConstant import *
+from vnpy.trader.app.ctaStrategy.ctaBase import *
+from vnpy.trader.vtConstant import *
 
 DEBUGCTALOG = True
 

vnpy/trader/app/ctaStrategy/ctaTemplate.py

@@ -7,7 +7,7 @@
 from datetime import datetime
 
 from ctaBase import *
-from trader.vtConstant import *
+from vnpy.trader.vtConstant import *
 
 
 ########################################################################

vnpy/trader/app/ctaStrategy/language/__init__.py

@@ -8,6 +8,6 @@ import traceback
 from chinese import text
 
 # 是否要使用英文
-from trader.vtGlobal import globalSetting
+from vnpy.trader.vtGlobal import globalSetting
 if globalSetting['language'] == 'english':
     from english import text

vnpy/trader/app/ctaStrategy/strategy/strategyAtrRsi.py

@@ -16,8 +16,8 @@ import sys
 import talib
 import numpy as np
 
-from trader.app.ctaStrategy.ctaBase import *
-from trader.app.ctaStrategy.ctaTemplate import CtaTemplate
+from vnpy.trader.app.ctaStrategy.ctaBase import *
+from vnpy.trader.app.ctaStrategy.ctaTemplate import CtaTemplate
 
 
 ########################################################################

vnpy/trader/app/ctaStrategy/uiCtaWidget.py

@@ -8,9 +8,9 @@ CTA模块相关的GUI控制组件
 import os
 from time import sleep
 
-from language import text
-from trader.uiBasicWidget import QtGui, QtCore
-from trader.eventEngine import *
+from vnpy.trader.app.ctaStrategy.language import text
+from vnpy.trader.uiBasicWidget import QtGui, QtCore
+from vnpy.trader.vtEvent import *
 
 ########################################################################
 class CtaValueMonitor(QtGui.QTableWidget):

vnpy/trader/app/dataRecorder/drBase.py

@@ -17,7 +17,7 @@ MINUTE_DB_NAME = 'VnTrader_1Min_Db'
 
 
 # CTA引擎中涉及的数据类定义
-from trader.vtConstant import EMPTY_UNICODE, EMPTY_STRING, EMPTY_FLOAT, EMPTY_INT
+from vnpy.trader.vtConstant import EMPTY_UNICODE, EMPTY_STRING, EMPTY_FLOAT, EMPTY_INT
 
 
 ########################################################################

vnpy/trader/app/dataRecorder/drEngine.py

@@ -14,9 +14,9 @@ from datetime import datetime, timedelta
 from Queue import Queue
 from threading import Thread
 
-from trader.eventEngine import *
-from trader.vtGateway import VtSubscribeReq, VtLogData
-from trader.vtFunction import todayDate
+from vnpy.trader.vtEvent import *
+from vnpy.trader.vtGateway import VtSubscribeReq, VtLogData
+from vnpy.trader.vtFunction import todayDate
 
 from drBase import *
 

vnpy/trader/app/dataRecorder/uiDrWidget.py

@@ -6,8 +6,8 @@
 
 import json
 
-from trader.uiBasicWidget import QtGui, QtCore
-from trader.eventEngine import *
+from vnpy.trader.uiBasicWidget import QtGui, QtCore
+from vnpy.trader.vtEvent import *
 
 
 ########################################################################

vnpy/trader/app/riskManager/rmEngine.py

@@ -15,9 +15,9 @@ import os
 import platform
 from datetime import datetime
 
-from trader.eventEngine import *
-from trader.vtConstant import *
-from trader.vtGateway import VtLogData
+from vnpy.trader.vtEvent import *
+from vnpy.trader.vtConstant import *
+from vnpy.trader.vtGateway import VtLogData
 
 
 ########################################################################

vnpy/trader/app/riskManager/uiRmWidget.py

@@ -5,8 +5,8 @@
 '''
 
 
-from trader.uiBasicWidget import QtGui, QtCore
-from trader.eventEngine import *
+from vnpy.trader.uiBasicWidget import QtGui, QtCore
+from vnpy.trader.vtEvent import *
 
 
 ########################################################################

vnpy/trader/vtObject.py

@@ -0,0 +1,327 @@
+# encoding: UTF-8
+
+import time
+from datetime import datetime
+
+
+from vnpy.trader.vtConstant import (EMPTY_STRING, EMPTY_UNICODE,
+                                    EMPTY_FLOAT, EMPTY_INT)
+
+
+########################################################################
+class VtBaseData(object):
+    """回调函数推送数据的基础类，其他数据类继承于此"""
+
+    # ----------------------------------------------------------------------
+    def __init__(self):
+        """Constructor"""
+        self.gatewayName = EMPTY_STRING  # Gateway名称
+        self.rawData = None  # 原始数据
+
+
+########################################################################
+class VtTickData(VtBaseData):
+    """Tick行情数据类"""
+
+    # ----------------------------------------------------------------------
+    def __init__(self):
+        """Constructor"""
+        super(VtTickData, self).__init__()
+
+        # 代码相关
+        self.symbol = EMPTY_STRING  # 合约代码
+        self.exchange = EMPTY_STRING  # 交易所代码
+        self.vtSymbol = EMPTY_STRING  # 合约在vt系统中的唯一代码，通常是 合约代码.交易所代码
+
+        # 成交数据
+        self.lastPrice = EMPTY_FLOAT  # 最新成交价
+        self.lastVolume = EMPTY_INT  # 最新成交量
+        self.volume = EMPTY_INT  # 今天总成交量
+        self.preOpenInterest = EMPTY_INT  # 昨持仓量
+        self.openInterest = EMPTY_INT  # 持仓量
+        self.time = EMPTY_STRING  # 时间 11:20:56.5
+        self.date = EMPTY_STRING  # 日期 20151009
+        self.tradingDay = EMPTY_STRING  # 交易日期
+
+        # 常规行情
+        self.openPrice = EMPTY_FLOAT  # 今日开盘价
+        self.highPrice = EMPTY_FLOAT  # 今日最高价
+        self.lowPrice = EMPTY_FLOAT  # 今日最低价
+        self.preClosePrice = EMPTY_FLOAT  # 昨收盘价
+
+        self.upperLimit = EMPTY_FLOAT  # 涨停价
+        self.lowerLimit = EMPTY_FLOAT  # 跌停价
+
+        # 五档行情
+        self.bidPrice1 = EMPTY_FLOAT
+        self.bidPrice2 = EMPTY_FLOAT
+        self.bidPrice3 = EMPTY_FLOAT
+        self.bidPrice4 = EMPTY_FLOAT
+        self.bidPrice5 = EMPTY_FLOAT
+
+        self.askPrice1 = EMPTY_FLOAT
+        self.askPrice2 = EMPTY_FLOAT
+        self.askPrice3 = EMPTY_FLOAT
+        self.askPrice4 = EMPTY_FLOAT
+        self.askPrice5 = EMPTY_FLOAT
+
+        self.bidVolume1 = EMPTY_INT
+        self.bidVolume2 = EMPTY_INT
+        self.bidVolume3 = EMPTY_INT
+        self.bidVolume4 = EMPTY_INT
+        self.bidVolume5 = EMPTY_INT
+
+        self.askVolume1 = EMPTY_INT
+        self.askVolume2 = EMPTY_INT
+        self.askVolume3 = EMPTY_INT
+        self.askVolume4 = EMPTY_INT
+        self.askVolume5 = EMPTY_INT
+
+
+########################################################################
+class VtBarData(VtBaseData):
+    """K线数据"""
+
+    #----------------------------------------------------------------------
+    def __init__(self):
+        """Constructor"""
+        super(VtBarData, self).__init__()
+
+        self.vtSymbol = EMPTY_STRING        # vt系统代码
+        self.symbol = EMPTY_STRING          # 代码
+        self.exchange = EMPTY_STRING        # 交易所
+
+        self.open = EMPTY_FLOAT             # OHLC
+        self.high = EMPTY_FLOAT
+        self.low = EMPTY_FLOAT
+        self.close = EMPTY_FLOAT
+
+        self.date = EMPTY_STRING            # bar开始的时间，日期
+        self.time = EMPTY_STRING            # 时间
+        self.datetime = None                # python的datetime时间对象
+
+        self.volume = EMPTY_INT             # 成交量
+        self.openInterest = EMPTY_INT       # 持仓量
+
+
+class VtTradeData(VtBaseData):
+    """成交数据类"""
+
+    # ----------------------------------------------------------------------
+    def __init__(self):
+        """Constructor"""
+        super(VtTradeData, self).__init__()
+
+        # 代码编号相关
+        self.symbol = EMPTY_STRING  # 合约代码
+        self.exchange = EMPTY_STRING  # 交易所代码
+        self.vtSymbol = EMPTY_STRING  # 合约在vt系统中的唯一代码，通常是 合约代码.交易所代码
+
+        self.tradeID = EMPTY_STRING  # 成交编号
+        self.vtTradeID = EMPTY_STRING  # 成交在vt系统中的唯一编号，通常是 Gateway名.成交编号
+
+        self.orderID = EMPTY_STRING  # 订单编号
+        self.vtOrderID = EMPTY_STRING  # 订单在vt系统中的唯一编号，通常是 Gateway名.订单编号
+
+        # 成交相关
+        self.direction = EMPTY_UNICODE  # 成交方向
+        self.offset = EMPTY_UNICODE  # 成交开平仓
+        self.price = EMPTY_FLOAT  # 成交价格
+        self.volume = EMPTY_INT  # 成交数量
+        self.tradeTime = EMPTY_STRING  # 成交时间
+
+
+########################################################################
+class VtOrderData(VtBaseData):
+    """订单数据类"""
+
+    # ----------------------------------------------------------------------
+    def __init__(self):
+        """Constructor"""
+        super(VtOrderData, self).__init__()
+
+        # 代码编号相关
+        self.symbol = EMPTY_STRING  # 合约代码
+        self.exchange = EMPTY_STRING  # 交易所代码
+        self.vtSymbol = EMPTY_STRING  # 合约在vt系统中的唯一代码，通常是 合约代码.交易所代码
+
+        self.orderID = EMPTY_STRING  # 订单编号
+        self.vtOrderID = EMPTY_STRING  # 订单在vt系统中的唯一编号，通常是 Gateway名.订单编号
+
+        # 报单相关
+        self.direction = EMPTY_UNICODE  # 报单方向
+        self.offset = EMPTY_UNICODE  # 报单开平仓
+        self.price = EMPTY_FLOAT  # 报单价格
+        self.totalVolume = EMPTY_INT  # 报单总数量
+        self.tradedVolume = EMPTY_INT  # 报单成交数量
+        self.status = EMPTY_UNICODE  # 报单状态
+
+        self.orderTime = EMPTY_STRING  # 发单时间
+        self.updateTime = EMPTY_STRING  # 最后更新时间
+        self.cancelTime = EMPTY_STRING  # 撤单时间
+
+        # CTP/LTS相关
+        self.frontID = EMPTY_INT  # 前置机编号
+        self.sessionID = EMPTY_INT  # 连接编号
+
+
+########################################################################
+class VtPositionData(VtBaseData):
+    """持仓数据类"""
+
+    # ----------------------------------------------------------------------
+    def __init__(self):
+        """Constructor"""
+        super(VtPositionData, self).__init__()
+
+        # 代码编号相关
+        self.symbol = EMPTY_STRING  # 合约代码
+        self.exchange = EMPTY_STRING  # 交易所代码
+        self.vtSymbol = EMPTY_STRING  # 合约在vt系统中的唯一代码，合约代码.交易所代码
+
+        # 持仓相关
+        self.direction = EMPTY_STRING  # 持仓方向
+        self.position = EMPTY_INT  # 持仓量
+        self.frozen = EMPTY_INT  # 冻结数量
+        self.price = EMPTY_FLOAT  # 持仓均价
+        self.vtPositionName = EMPTY_STRING  # 持仓在vt系统中的唯一代码，通常是vtSymbol.方向
+        self.ydPosition = EMPTY_INT  # 昨持仓
+        self.positionProfit = EMPTY_FLOAT  # 持仓盈亏
+
+
+########################################################################
+class VtAccountData(VtBaseData):
+    """账户数据类"""
+
+    # ----------------------------------------------------------------------
+    def __init__(self):
+        """Constructor"""
+        super(VtAccountData, self).__init__()
+
+        # 账号代码相关
+        self.accountID = EMPTY_STRING  # 账户代码
+        self.vtAccountID = EMPTY_STRING  # 账户在vt中的唯一代码，通常是 Gateway名.账户代码
+
+        # 数值相关
+        self.preBalance = EMPTY_FLOAT  # 昨日账户结算净值
+        self.balance = EMPTY_FLOAT  # 账户净值
+        self.available = EMPTY_FLOAT  # 可用资金
+        self.commission = EMPTY_FLOAT  # 今日手续费
+        self.margin = EMPTY_FLOAT  # 保证金占用
+        self.closeProfit = EMPTY_FLOAT  # 平仓盈亏
+        self.positionProfit = EMPTY_FLOAT  # 持仓盈亏
+
+
+########################################################################
+class VtErrorData(VtBaseData):
+    """错误数据类"""
+
+    # ----------------------------------------------------------------------
+    def __init__(self):
+        """Constructor"""
+        super(VtErrorData, self).__init__()
+
+        self.errorID = EMPTY_STRING  # 错误代码
+        self.errorMsg = EMPTY_UNICODE  # 错误信息
+        self.additionalInfo = EMPTY_UNICODE  # 补充信息
+
+        self.errorTime = time.strftime('%X', time.localtime())  # 错误生成时间
+
+
+########################################################################
+class VtLogData(VtBaseData):
+    """日志数据类"""
+
+    # ----------------------------------------------------------------------
+    def __init__(self):
+        """Constructor"""
+        super(VtLogData, self).__init__()
+
+        # self.logTime = time.strftime('%X:%f', time.localtime())    # 日志生成时间
+        self.logTime = datetime.now().strftime('%X:%f')
+        self.logContent = EMPTY_UNICODE  # 日志信息
+
+
+########################################################################
+class VtContractData(VtBaseData):
+    """合约详细信息类"""
+
+    # ----------------------------------------------------------------------
+    def __init__(self):
+        """Constructor"""
+        super(VtContractData, self).__init__()
+
+        self.symbol = EMPTY_STRING  # 代码
+        self.exchange = EMPTY_STRING  # 交易所代码
+        self.vtSymbol = EMPTY_STRING  # 合约在vt系统中的唯一代码，通常是 合约代码.交易所代码
+        self.name = EMPTY_UNICODE  # 合约中文名
+
+        self.productClass = EMPTY_UNICODE  # 合约类型
+        self.size = EMPTY_INT  # 合约大小
+        self.priceTick = EMPTY_FLOAT  # 合约最小价格TICK
+
+        # 期权相关
+        self.strikePrice = EMPTY_FLOAT  # 期权行权价
+        self.underlyingSymbol = EMPTY_STRING  # 标的物合约代码
+        self.optionType = EMPTY_UNICODE  # 期权类型
+
+
+########################################################################
+class VtSubscribeReq(object):
+    """订阅行情时传入的对象类"""
+
+    # ----------------------------------------------------------------------
+    def __init__(self):
+        """Constructor"""
+        self.symbol = EMPTY_STRING  # 代码
+        self.exchange = EMPTY_STRING  # 交易所
+
+        # 以下为IB相关
+        self.productClass = EMPTY_UNICODE  # 合约类型
+        self.currency = EMPTY_STRING  # 合约货币
+        self.expiry = EMPTY_STRING  # 到期日
+        self.strikePrice = EMPTY_FLOAT  # 行权价
+        self.optionType = EMPTY_UNICODE  # 期权类型
+
+
+########################################################################
+class VtOrderReq(object):
+    """发单时传入的对象类"""
+
+    # ----------------------------------------------------------------------
+    def __init__(self):
+        """Constructor"""
+        self.symbol = EMPTY_STRING  # 代码
+        self.exchange = EMPTY_STRING  # 交易所
+        self.price = EMPTY_FLOAT  # 价格
+        self.volume = EMPTY_INT  # 数量
+
+        self.priceType = EMPTY_STRING  # 价格类型
+        self.direction = EMPTY_STRING  # 买卖
+        self.offset = EMPTY_STRING  # 开平
+
+        # 以下为IB相关
+        self.productClass = EMPTY_UNICODE  # 合约类型
+        self.currency = EMPTY_STRING  # 合约货币
+        self.expiry = EMPTY_STRING  # 到期日
+        self.strikePrice = EMPTY_FLOAT  # 行权价
+        self.optionType = EMPTY_UNICODE  # 期权类型
+        self.lastTradeDateOrContractMonth = EMPTY_STRING  # 合约月,IB专用
+        self.multiplier = EMPTY_STRING  # 乘数,IB专用
+
+
+########################################################################
+class VtCancelOrderReq(object):
+    """撤单时传入的对象类"""
+
+    # ----------------------------------------------------------------------
+    def __init__(self):
+        """Constructor"""
+        self.symbol = EMPTY_STRING  # 代码
+        self.exchange = EMPTY_STRING  # 交易所
+
+        # 以下字段主要和CTP、LTS类接口相关
+        self.orderID = EMPTY_STRING  # 报单号
+        self.frontID = EMPTY_STRING  # 前置机号
+        self.sessionID = EMPTY_STRING  # 会话号
+