支持数字货币，增加多周期数据展示

vnpy/data/binance/binance_data.py

@@ -0,0 +1,119 @@
+# encoding: UTF-8
+
+# 从binance下载数据
+from datetime import datetime, timezone
+import sys
+import requests
+import execjs
+import traceback
+from vnpy.trader.app.ctaStrategy.ctaBase import CtaBarData
+from vnpy.api.binance.client import Client
+from vnpy.trader.vtFunction import getJsonPath
+from vnpy.trader.vtGlobal import globalSetting
+import json
+
+PERIOD_MAPPING = {}
+PERIOD_MAPPING['1min']   = '1m'
+PERIOD_MAPPING['3min']   = '3m'
+PERIOD_MAPPING['5min']   = '5m'
+PERIOD_MAPPING['15min']  = '15m'
+PERIOD_MAPPING['30min']  = '30m'
+PERIOD_MAPPING['1hour']  = '1h'
+PERIOD_MAPPING['2hour']  = '2h'
+PERIOD_MAPPING['4hour']  = '4h'
+PERIOD_MAPPING['6hour']  = '6h'
+PERIOD_MAPPING['8hour']  = '8h'
+PERIOD_MAPPING['12hour'] = '12h'
+PERIOD_MAPPING['1day']   = '1d'
+PERIOD_MAPPING['3day']   = '3d'
+PERIOD_MAPPING['1week']  = '1w'
+PERIOD_MAPPING['1month'] = '1M'
+
+SYMBOL_LIST = ['ltc_btc', 'eth_btc', 'etc_btc', 'bch_btc', 'btc_usdt', 'eth_usdt', 'ltc_usdt', 'etc_usdt', 'bch_usdt',
+              'etc_eth','bt1_btc','bt2_btc','btg_btc','qtum_btc','hsr_btc','neo_btc','gas_btc',
+              'qtum_usdt','hsr_usdt','neo_usdt','gas_usdt']
+
+
+class BinanceData(object):
+
+    # ----------------------------------------------------------------------
+    def __init__(self, strategy):
+        """
+        构造函数
+        :param strategy: 上层策略，主要用与使用strategy.writeCtaLog（）
+        """
+        self.strategy = strategy
+        self.client = None
+        self.init_client()
+
+    def init_client(self):
+        fileName = globalSetting.get('gateway_name', '') + '_connect.json'
+        filePath = getJsonPath(fileName, __file__)
+        try:
+            with open(filePath, 'r') as f:
+                # 解析json文件
+                setting = json.load(f)
+                apiKey = setting.get('accessKey',None)
+                secretKey = setting.get('secretKey',None)
+
+                if apiKey is not None and secretKey is not None:
+                    self.client = Client(apiKey, secretKey)
+
+        except IOError:
+            self.strategy.writeCtaError(u'BINANCE读取连接配置{}出错，请检查'.format(filePath))
+            return
+
+    def get_bars(self, symbol, period, callback, bar_is_completed=False,bar_freq=1, start_dt=None):
+        """
+        返回k线数据
+        symbol：合约
+        period: 周期: 1min,3min,5min,15min,30min,1day,3day,1hour,2hour,4hour,6hour,12hour
+        """
+        if symbol not in SYMBOL_LIST:
+            self.strategy.writeCtaError(u'{} 合约{}不在下载清单中'.format(datetime.now(), symbol))
+            return False
+        if period not in PERIOD_MAPPING:
+            self.strategy.writeCtaError(u'{} 周期{}不在下载清单中'.format(datetime.now(), period))
+            return False
+        if self.client is None:
+            return False
+
+        binance_symbol = symbol.upper().replace('_' , '')
+        binance_period = PERIOD_MAPPING.get(period)
+
+        self.strategy.writeCtaLog('{}开始下载binance:{} {}数据.'.format(datetime.now(), binance_symbol, binance_period))
+
+        bars = []
+        try:
+            bars = self.client.get_klines(symbol=binance_symbol, interval=binance_period)
+            for i, bar in enumerate(bars):
+                add_bar = CtaBarData()
+                try:
+                    add_bar.vtSymbol = symbol
+                    add_bar.symbol = symbol
+                    add_bar.datetime = datetime.fromtimestamp(bar[0] / 1000)
+                    add_bar.date = add_bar.datetime.strftime('%Y-%m-%d')
+                    add_bar.time = add_bar.datetime.strftime('%H:%M:%S')
+                    add_bar.tradingDay = add_bar.date
+                    add_bar.open = float(bar[1])
+                    add_bar.high = float(bar[2])
+                    add_bar.low = float(bar[3])
+                    add_bar.close = float(bar[4])
+                    add_bar.volume = float(bar[5])
+                except Exception as ex:
+                    self.strategy.writeCtaError(
+                        'error when convert bar:{},ex:{},t:{}'.format(bar, str(ex), traceback.format_exc()))
+                    return False
+
+                if start_dt is not None and bar.datetime < start_dt:
+                    continue
+
+                if callback is not None:
+                    callback(add_bar, bar_is_completed, bar_freq)
+
+            return True
+        except Exception as ex:
+            self.strategy.writeCtaError('exception in get:{},{},{}'.format(binance_symbol,str(ex), traceback.format_exc()))
+            return False
+
+

vnpy/data/okex/okex_data.py

@@ -0,0 +1,87 @@
+# encoding: UTF-8
+
+# 从okex下载数据
+from datetime import datetime, timezone
+
+import requests
+import execjs
+import traceback
+from vnpy.trader.app.ctaStrategy.ctaBase import CtaBarData, CtaTickData
+
+period_list = ['1min','3min','5min','15min','30min','1day','1week','1hour','2hour','4hour','6hour','12hour']
+symbol_list = ['ltc_btc','eth_btc','etc_btc','bch_btc','btc_usdt','eth_usdt','ltc_usdt','etc_usdt','bch_usdt',
+              'etc_eth','bt1_btc','bt2_btc','btg_btc','qtum_btc','hsr_btc','neo_btc','gas_btc',
+              'qtum_usdt','hsr_usdt','neo_usdt','gas_usdt']
+
+
+class OkexData(object):
+
+    # ----------------------------------------------------------------------
+    def __init__(self, strategy):
+        """
+        构造函数
+        :param strategy: 上层策略，主要用与使用strategy.writeCtaLog（）
+        """
+        self.strategy = strategy
+
+        # 设置HTTP请求的尝试次数，建立连接session
+        requests.adapters.DEFAULT_RETRIES = 5
+        self.session = requests.session()
+        self.session.keep_alive = False
+
+    def get_bars(self, symbol, period, callback, bar_is_completed=False,bar_freq=1, start_dt=None):
+        """
+        返回k线数据
+        symbol：合约
+        period: 周期: 1min,3min,5min,15min,30min,1day,3day,1hour,2hour,4hour,6hour,12hour
+        """
+        if symbol not in symbol_list:
+            self.strategy.writeCtaError(u'{} {}不在下载清单中'.format(datetime.now(), symbol))
+            return
+
+        url = u'https://www.okex.com/api/v1/kline.do?symbol={}&type={}'.format(symbol, period)
+        self.strategy.writeCtaLog('{}开始下载:{} {}数据.URL:{}'.format(datetime.now(), symbol, period,url))
+
+        content = None
+        try:
+            content = self.session.get(url).content.decode('gbk')
+        except Exception as ex:
+            self.strategy.writeCtaError('exception in get:{},{},{}'.format(url,str(ex), traceback.format_exc()))
+            return
+
+        bars = execjs.eval(content)
+
+        for i, bar in enumerate(bars):
+            if len(bar) < 5:
+                self.strategy.writeCtaError('error when import bar:{}'.format(bar))
+                return False
+            if i == 0:
+                continue
+            add_bar = CtaBarData()
+            try:
+                add_bar.vtSymbol = symbol
+                add_bar.symbol = symbol
+                add_bar.datetime = datetime.fromtimestamp(bar[0] / 1000)
+                add_bar.date = add_bar.datetime.strftime('%Y-%m-%d')
+                add_bar.time = add_bar.datetime.strftime('%H:%M:%S')
+                add_bar.tradingDay = add_bar.date
+                add_bar.open = float(bar[1])
+                add_bar.high = float(bar[2])
+                add_bar.low = float(bar[3])
+                add_bar.close = float(bar[4])
+                add_bar.volume = float(bar[5])
+            except Exception as ex:
+                self.strategy.writeCtaError('error when convert bar:{},ex:{},t:{}'.format(bar, str(ex), traceback.format_exc()))
+                return False
+
+            if start_dt is not None and bar.datetime < start_dt:
+                continue
+
+            if callback is not None:
+                callback(add_bar, bar_is_completed, bar_freq)
+
+        return True
+
+
+
+

vnpy/trader/app/ctaStrategy/ctaBacktesting.py

@@ -3,6 +3,8 @@
 '''
 本文件中包含的是CTA模块的回测引擎，回测引擎的API和CTA引擎一致，
 可以使用和实盘相同的代码进行回测。
+
+修改者： 华富资产/李来佳/28888502
 '''
 from __future__ import division
 
@@ -32,7 +34,6 @@ from vnpy.trader.vtFunction import loadMongoSetting
 from vnpy.trader.vtEvent import *
 from vnpy.trader.setup_logger import setup_logger
 
-
 ########################################################################
 class BacktestingEngine(object):
     """
@@ -125,12 +126,13 @@ class BacktestingEngine(object):
         self.last_leg1_tick = None
         self.last_leg2_tick = None
         self.last_bar = None
+        self.is_7x24 = False
 
         # csvFile相关
         self.barTimeInterval = 60          # csv文件，属于K线类型，K线的周期（秒数）,缺省是1分钟
 
         # 费用情况
-        self.avaliable = EMPTY_FLOAT
+
         self.percent = EMPTY_FLOAT
         self.percentLimit = 30              # 投资仓位比例上限
 
@@ -143,6 +145,7 @@ class BacktestingEngine(object):
         self.netCapital = self.initCapital  # 实时资金净值（每日根据capital和持仓浮盈计算）
         self.maxCapital = self.initCapital          # 资金最高净值
         self.maxNetCapital = self.initCapital
+        self.avaliable =  self.initCapital
 
         self.maxPnl = 0                     # 最高盈利
         self.minPnl = 0                     # 最大亏损
@@ -168,8 +171,10 @@ class BacktestingEngine(object):
         self.daily_max_drawdown_rate = 0    # 按照日结算价计算
 
         self.dailyList = []
-        self.exportTradeList = []    # 导出交易记录列表
+        self.daily_first_benchmark = None
 
+        self.exportTradeList = []    # 导出交易记录列表
+        self.export_wenhua_signal = False
         self.fixCommission = EMPTY_FLOAT    # 固定交易费用
 
         self.logger = None
@@ -1569,10 +1574,6 @@ class BacktestingEngine(object):
         self.strategy.onInit()
         self.output(u'策略初始化完成')
 
-        self.strategy.trading = True
-        self.strategy.onStart()
-        self.output(u'策略启动完成')
-
         self.output(u'开始回放数据')
 
         import csv
@@ -1609,14 +1610,14 @@ class BacktestingEngine(object):
                 if 'trading_date' in row:
                     bar.tradingDay = row['trading_date']
                 else:
-                    if bar.datetime.hour >=21:
+                    if bar.datetime.hour >=21 and not self.is_7x24:
                         if bar.datetime.isoweekday() == 5:
                             # 星期五=》星期一
                             bar.tradingDay = (barEndTime + timedelta(days=3)).strftime('%Y-%m-%d')
                         else:
                             # 第二天
                             bar.tradingDay = (barEndTime + timedelta(days=1)).strftime('%Y-%m-%d')
-                    elif bar.datetime.hour < 8 and bar.datetime.isoweekday() == 6:
+                    elif bar.datetime.hour < 8 and bar.datetime.isoweekday() == 6 and not self.is_7x24:
                         # 星期六=>星期一
                         bar.tradingDay = (barEndTime + timedelta(days=2)).strftime('%Y-%m-%d')
                     else:
@@ -1626,11 +1627,16 @@ class BacktestingEngine(object):
                     if last_tradingDay != bar.tradingDay:
                         if last_tradingDay is not None:
                             self.savingDailyData(datetime.strptime(last_tradingDay, '%Y-%m-%d'), self.capital,
-                                                 self.maxCapital,self.totalCommission)
+                                                 self.maxCapital,self.totalCommission,benchmark=bar.close)
                         last_tradingDay = bar.tradingDay
 
                     self.newBar(bar)
 
+                if not self.strategy.trading and self.strategyStartDate < bar.datetime:
+                    self.strategy.trading = True
+                    self.strategy.onStart()
+                    self.output(u'策略启动完成')
+
                 if self.netCapital < 0:
                     self.writeCtaError(u'净值低于0，回测停止')
                     return
@@ -1844,7 +1850,7 @@ class BacktestingEngine(object):
             self.strategy.name = self.strategy.className
 
         self.strategy.onInit()
-        self.strategy.onStart()
+        #self.strategy.onStart()
 
     # ---------------------------------------------------------------------
     def saveStrategyData(self):
@@ -2167,7 +2173,7 @@ class BacktestingEngine(object):
         self.logger = setup_logger(filename=filename, name=self.strategy_name if len(self.strategy_name) > 0 else 'strategy', debug=debug,backtesing=True)
 
     #----------------------------------------------------------------------
-    def writeCtaLog(self, content):
+    def writeCtaLog(self, content,strategy_name=None):
         """记录日志"""
         #log = str(self.dt) + ' ' + content
         #self.logList.append(log)
@@ -2178,17 +2184,17 @@ class BacktestingEngine(object):
         else:
             self.createLogger()
 
-    def writeCtaError(self, content):
+    def writeCtaError(self, content,strategy_name=None):
         """记录异常"""
         self.output(u'Error:{}'.format(content))
         self.writeCtaLog(content)
 
-    def writeCtaWarning(self, content):
+    def writeCtaWarning(self, content,strategy_name=None):
         """记录告警"""
         self.output(u'Warning:{}'.format(content))
         self.writeCtaLog(content)
 
-    def writeCtaNotification(self,content):
+    def writeCtaNotification(self,content,strategy_name=None):
         """记录通知"""
         #print content
         self.output(u'Notify:{}'.format(content))
@@ -2613,7 +2619,7 @@ class BacktestingEngine(object):
         self.avaliable = self.netCapital - occupyMoney
         self.percent = round(float(occupyMoney * 100 / self.netCapital), 2)
 
-    def savingDailyData(self, d, c, m, commission):
+    def savingDailyData(self, d, c, m, commission, benchmark=0):
         """保存每日数据"""
         dict = {}
         dict['date'] = d.strftime('%Y/%m/%d')
@@ -2624,6 +2630,14 @@ class BacktestingEngine(object):
         long_pos_occupy_money = 0
         short_pos_occupy_money = 0
 
+        if self.daily_first_benchmark is None and benchmark >0:
+            self.daily_first_benchmark = benchmark
+
+        if benchmark > 0 and self.daily_first_benchmark is not None and self.daily_first_benchmark > 0:
+            benchmark = benchmark / self.daily_first_benchmark
+        else:
+            benchmark = 1
+
         for longpos in self.longPosition:
             symbol = '-' if longpos.vtSymbol == EMPTY_STRING else longpos.vtSymbol
             # 计算持仓浮盈浮亏/占用保证金
@@ -2673,7 +2687,7 @@ class BacktestingEngine(object):
         dict['occupyMoney'] = max(long_pos_occupy_money, short_pos_occupy_money)
         dict['occupyRate'] = dict['occupyMoney'] / dict['capital']
         dict['commission'] = commission
-
+        dict['benchmark'] = benchmark
         self.dailyList.append(dict)
 
         # 更新每日浮动净值
@@ -2688,6 +2702,45 @@ class BacktestingEngine(object):
             self.daily_max_drawdown_rate = drawdown_rate
             self.max_drowdown_rate_time = dict['date']
 
+    # ----------------------------------------------------------------------
+    def writeWenHuaSignal(self, filehandle, count, bardatetime, price, text):
+        """
+        输出到文华信号
+        :param filehandle:
+        :param count:
+        :param bardatetime:
+        :param text:
+        :return:
+        """
+        # 文华信号
+        barDate = bardatetime.strftime('%Y%m%d')
+        barTime = bardatetime.strftime('%H%M')
+        outputMsg = 'AA{}:=DATE={};\n'.format(count, barDate[2:])
+        filehandle.write(outputMsg)
+        outputMsg = 'BB{}:=PERIOD=1&&TIME={};\n'.format(count, barDate[2:], barTime)
+        #filehandle.write(outputMsg)
+        outputMsg = 'CC{}:=PERIOD=2&&TIME>={}&&TIME<={}+3;\n'.format(count, barTime, barTime)
+        #filehandle.write(outputMsg)
+        outputMsg = 'DD{}:=PERIOD=3&&TIME>={}&&TIME<={}+5;\n'.format(count, barTime, barTime)
+        #filehandle.write(outputMsg)
+        outputMsg = 'EE{}:=PERIOD=4&&TIME>={}&&TIME<={}+10;\n'.format(count, barTime, barTime)
+        #filehandle.write(outputMsg)
+        outputMsg = 'FF{}:=PERIOD=5&&TIME>={}&&TIME<={}+30;\n'.format(count, barTime, barTime)
+        filehandle.write(outputMsg)
+        outputMsg = 'GG{}:=PERIOD=6&&TIME>={}&&TIME<={}+60;\n'.format(count, barTime, barTime)
+        filehandle.write(outputMsg)
+        outputMsg = 'HH{}:=PERIOD=7&&TIME>={}&&TIME<={}+120;\n'.format(count, barTime, barTime)
+        filehandle.write(outputMsg)
+        outputMsg = 'II{}:=PERIOD=8;\n'.format(count)
+        filehandle.write(outputMsg)
+        outputMsg = 'DRAWICON(AA{} AND ( FF{} OR GG{} OR HH{} OR II{}), L, \'ICO14\');\n'.format(
+            count, count, count, count, count)
+        filehandle.write(outputMsg)
+        outputMsg = 'DRAWTEXT(AA{} AND (FF{} OR GG{} OR HH{} OR II{}), {}, \'{}\');\n'.format(
+            count, count, count, count, count, price, text)
+        filehandle.write(outputMsg)
+        filehandle.flush()
+
     # ----------------------------------------------------------------------
     def calculateBacktestingResult(self):
         """
@@ -2947,6 +3000,68 @@ class BacktestingEngine(object):
         for row in self.exportTradeList:
             writer.writerow(row)
 
+        if self.export_wenhua_signal:
+            wh_records = OrderedDict()
+            for t in self.exportTradeList:
+                if t['Direction'] is 'Long':
+                    k = '{}_{}_{}'.format(t['OpenTime'], 'Buy', t['OpenPrice'])
+                    # 生成文华用的指标信号
+                    v = {'time': datetime.strptime(t['OpenTime'], '%Y-%m-%d %H:%M:%S'), 'price':t['OpenPrice'], 'action': 'Buy', 'volume':t['Volume']}
+                    r = wh_records.get(k,None)
+                    if r is not None:
+                        r['volume'] += t['Volume']
+                    else:
+                        wh_records[k] = v
+
+                    k = '{}_{}_{}'.format(t['CloseTime'], 'Sell', t['ClosePrice'])
+                    # 生成文华用的指标信号
+                    v = {'time': datetime.strptime(t['CloseTime'], '%Y-%m-%d %H:%M:%S'), 'price': t['ClosePrice'], 'action': 'Sell', 'volume': t['Volume']}
+                    r = wh_records.get(k, None)
+                    if r is not None:
+                        r['volume'] += t['Volume']
+                    else:
+                        wh_records[k] = v
+
+                else:
+                    k = '{}_{}_{}'.format(t['OpenTime'], 'Short', t['OpenPrice'])
+                    # 生成文华用的指标信号
+                    v = {'time': datetime.strptime(t['OpenTime'], '%Y-%m-%d %H:%M:%S'), 'price': t['OpenPrice'], 'action': 'Short', 'volume': t['Volume']}
+                    r = wh_records.get(k, None)
+                    if r is not None:
+                        r['volume'] += t['Volume']
+                    else:
+                        wh_records[k] = v
+                    k = '{}_{}_{}'.format(t['CloseTime'], 'Cover', t['ClosePrice'])
+                    # 生成文华用的指标信号
+                    v = {'time': datetime.strptime(t['CloseTime'], '%Y-%m-%d %H:%M:%S'), 'price': t['ClosePrice'], 'action': 'Cover', 'volume': t['Volume']}
+                    r = wh_records.get(k, None)
+                    if r is not None:
+                        r['volume'] += t['Volume']
+                    else:
+                        wh_records[k] = v
+
+            branchs =  0
+            count = 0
+            wh_signal_file = None
+            for r in list(wh_records.values()):
+                if count % 200 == 0:
+                    if wh_signal_file is not None:
+                        wh_signal_file.close()
+
+                    # 交易记录生成文华对应的公式
+                    filename = os.path.abspath(os.path.join(self.get_logs_path(),
+                                                            '{}_WenHua_{}_{}.csv'.format(s, datetime.now().strftime('%Y%m%d_%H%M'), branchs)))
+                    branchs += 1
+                    self.writeCtaLog(u'save trade records for WenHua:{}'.format(filename))
+
+                    wh_signal_file = open(filename, mode='w')
+
+                count += 1
+                if wh_signal_file is not None:
+                    self.writeWenHuaSignal(filehandle=wh_signal_file, count=count, bardatetime=r['time'],price=r['price'], text='{}({})'.format(r['action'],r['volume']))
+            if wh_signal_file is not None:
+                wh_signal_file.close()
+
         # 导出每日净值记录表
         if not self.dailyList:
             return
@@ -2959,7 +3074,7 @@ class BacktestingEngine(object):
         self.writeCtaLog(u'save daily records to:{}'.format(csvOutputFile2))
 
         csvWriteFile2 = open(csvOutputFile2, 'w', encoding='utf8',newline='')
-        fieldnames = ['date', 'capital','net', 'maxCapital','rate', 'commission', 'longMoney','shortMoney','occupyMoney','occupyRate','longPos','shortPos']
+        fieldnames = ['date', 'capital','net', 'maxCapital','rate', 'commission', 'longMoney','shortMoney','occupyMoney','occupyRate','longPos','shortPos','benchmark']
         writer2 = csv.DictWriter(f=csvWriteFile2, fieldnames=fieldnames, dialect='excel')
         writer2.writeheader()
 
@@ -3332,38 +3447,5 @@ def optimize(strategyClass, setting, targetName,
     return (str(setting), targetValue)
 
 
-if __name__ == '__main__':
-    # 以下内容是一段回测脚本的演示，用户可以根据自己的需求修改
-    # 建议使用ipython notebook或者spyder来做回测
-    # 同样可以在命令模式下进行回测（一行一行输入运行）
-    from strategy.strategyEmaDemo import *
-    
-    # 创建回测引擎
-    engine = BacktestingEngine()
-    
-    # 设置引擎的回测模式为K线
-    engine.setBacktestingMode(engine.BAR_MODE)
-
-    # 设置回测用的数据起始日期
-    engine.setStartDate('20110101')
-    
-    # 载入历史数据到引擎中
-    engine.setDatabase(MINUTE_DB_NAME, 'IF0000')
-    
-    # 设置产品相关参数
-    engine.setSlippage(0.2)     # 股指1跳
-    engine.setRate(0.3/10000)   # 万0.3
-    engine.setSize(300)         # 股指合约大小    
-    
-    # 在引擎中创建策略对象
-    engine.initStrategy(EmaDemoStrategy, {})
-    
-    # 开始跑回测
-    engine.runBacktesting()
-    
-    # 显示回测结果
-    # spyder或者ipython notebook中运行时，会弹出盈亏曲线图
-    # 直接在cmd中回测则只会打印一些回测数值
-    engine.showBacktestingResult()
     
     

vnpy/trader/app/ctaStrategy/ctaEngine.py

@@ -112,7 +112,7 @@ class CtaEngine(object):
         self.strategy_group = EMPTY_STRING
 
         self.logger = None
-
+        self.strategy_loggers = {}
         self.createLogger()
 
     # ----------------------------------------------------------------------
@@ -128,6 +128,7 @@ class CtaEngine(object):
         req = VtOrderReq()
         req.symbol = contract.symbol  # 合约代码
         req.exchange = contract.exchange  # 交易所
+        req.vtSymbol = contract.vtSymbol
         req.price = self.roundToPriceTick(contract.priceTick, price)  # 价格
         req.volume = volume  # 数量
 
@@ -410,9 +411,9 @@ class CtaEngine(object):
             for key in d.keys():
                 d[key] = tick.__getattribute__(key)
 
-            if ctaTick.datetime:
+            if not ctaTick.datetime:
                 # 添加datetime字段
-                ctaTick.datetime = datetime.strptime(' '.join([tick.date, tick.time]), '%Y%m%d %H:%M:%S.%f')
+                ctaTick.datetime = datetime.strptime(' '.join([tick.date, tick.time]), '%Y-%m-%d %H:%M:%S.%f')
 
             # 逐个推送到策略实例中
             l = self.tickStrategyDict[tick.vtSymbol]
@@ -615,7 +616,7 @@ class CtaEngine(object):
         # ----------------------------------------------------------------------
 
     # 日志相关
-    def writeCtaLog(self, content):
+    def writeCtaLog(self, content, strategy_name=None):
         """快速发出CTA模块日志事件"""
         log = VtLogData()
         log.logContent = content
@@ -623,13 +624,19 @@ class CtaEngine(object):
         event.dict_['data'] = log
         self.eventEngine.put(event)
 
+        if strategy_name is None:
             # 写入本地log日志
             if self.logger:
                 self.logger.info(content)
             else:
                 self.createLogger()
+        else:
+            if strategy_name in self.strategy_loggers:
+                self.strategy_loggers[strategy_name].info(content)
+            else:
+                self.createLogger(strategy_name=strategy_name)
 
-    def createLogger(self):
+    def createLogger(self, strategy_name=None):
         """
         创建日志记录
         :return:
@@ -642,25 +649,58 @@ class CtaEngine(object):
             # 否则，使用缺省保存目录 vnpy/trader/app/ctaStrategy/data
             path = os.path.abspath(os.path.join(os.path.dirname(__file__), '..', '..', 'logs'))
 
+        if strategy_name is None:
             filename = os.path.abspath(os.path.join(path, 'ctaEngine'))
 
             print(u'create logger:{}'.format(filename))
             self.logger = setup_logger(filename=filename, name='ctaEngine', debug=True)
+        else:
+            filename = os.path.abspath(os.path.join(path, str(strategy_name)))
+            print(u'create logger:{}'.format(filename))
+            self.strategy_loggers[strategy_name] = setup_logger(filename=filename, name=str(strategy_name), debug=True)
 
-    def writeCtaError(self, content):
+    def writeCtaError(self, content, strategy_name=None):
         """快速发出CTA模块错误日志事件"""
+        if strategy_name is not None:
+            if strategy_name in self.strategy_loggers:
+                self.strategy_loggers[strategy_name].error(content)
+            else:
+                self.createLogger(strategy_name=strategy_name)
+                try:
+                    self.strategy_loggers[strategy_name].error(content)
+                except Exception as ex:
+                    pass
+
         self.mainEngine.writeError(content)
 
-    def writeCtaWarning(self, content):
+    def writeCtaWarning(self, content, strategy_name=None):
         """快速发出CTA模块告警日志事件"""
+        if strategy_name is not None:
+            if strategy_name in self.strategy_loggers:
+                self.strategy_loggers[strategy_name].warning(content)
+            else:
+                self.createLogger(strategy_name=strategy_name)
+                try:
+                    self.strategy_loggers[strategy_name].warning(content)
+                except Exception as ex:
+                    pass
         self.mainEngine.writeWarning(content)
 
-    def writeCtaNotification(self, content):
+    def writeCtaNotification(self, content, strategy_name=None):
         """快速发出CTA模块通知事件"""
         self.mainEngine.writeNotification(content)
 
-    def writeCtaCritical(self, content):
+    def writeCtaCritical(self, content, strategy_name=None):
         """快速发出CTA模块异常日志事件"""
+        if strategy_name is not None:
+            if strategy_name in self.strategy_loggers:
+                self.strategy_loggers[strategy_name].critical(content)
+            else:
+                self.createLogger(strategy_name=strategy_name)
+                try:
+                    self.strategy_loggers[strategy_name].critical(content)
+                except Exception as ex:
+                    pass
         self.mainEngine.writeCritical(content)
 
     def sendCtaSignal(self, source, symbol, direction, price, level):
@@ -830,7 +870,7 @@ class CtaEngine(object):
                 symbols.append(strategy.Leg2Symbol)
 
         for symbol in symbols:
-            self.writeCtaLog(u'添加合约{0}与策略的匹配目录'.format(symbol))
+            self.writeCtaLog(u'添加合约{}与策略{}的匹配目录'.format(symbol,strategy.name))
             if symbol in self.tickStrategyDict:
                 l = self.tickStrategyDict[symbol]
             else:
@@ -840,6 +880,7 @@ class CtaEngine(object):
 
             # 3.订阅合约
             self.writeCtaLog(u'向gateway订阅合约{0}'.format(symbol))
+            self.pendingSubcribeSymbols[symbol] = strategy
             self.subscribe(strategy=strategy, symbol=symbol)
 
         # 自动初始化
@@ -1951,22 +1992,42 @@ class PositionBuffer(object):
         self.shortToday = EMPTY_INT
         self.shortYd = EMPTY_INT
 
+        
     #----------------------------------------------------------------------
     def updatePositionData(self, pos):
         """更新持仓数据"""
-        if pos.direction == DIRECTION_LONG:
-            self.longPosition = pos.position      # >=0
-            self.longYd = pos.ydPosition          # >=0
-            self.longToday = self.longPosition - self.longYd  # >=0
-        else:
+        if pos.direction == DIRECTION_SHORT:
             self.shortPosition = pos.position  # >=0
             self.shortYd = pos.ydPosition  # >=0
             self.shortToday = self.shortPosition - self.shortYd  # >=0
+        else:
+            self.longPosition = pos.position  # >=0
+            self.longYd = pos.ydPosition  # >=0
+            self.longToday = self.longPosition - self.longYd  # >=0
 
     #----------------------------------------------------------------------
     def updateTradeData(self, trade):
         """更新成交数据"""
-        if trade.direction == DIRECTION_LONG:
+
+        if trade.direction == DIRECTION_SHORT:
+            # 空头和多头相同
+            if trade.offset == OFFSET_OPEN:
+                self.shortPosition += trade.volume
+                self.shortToday += trade.volume
+            elif trade.offset == OFFSET_CLOSETODAY:
+                self.longPosition -= trade.volume
+                self.longToday -= trade.volume
+            else:
+                self.longPosition -= trade.volume
+                self.longYd -= trade.volume
+
+            if self.longPosition <= 0:
+                self.longPosition = 0
+            if self.longToday <= 0:
+                self.longToday = 0
+            if self.longYd <= 0:
+                self.longYd = 0
+        else:
             # 多方开仓，则对应多头的持仓和今仓增加
             if trade.offset == OFFSET_OPEN:
                 self.longPosition += trade.volume
@@ -1986,21 +2047,3 @@ class PositionBuffer(object):
             if self.shortYd <= 0:
                 self.shortYd = 0
             # 多方平昨，对应空头的持仓和昨仓减少
-        else:
-            # 空头和多头相同
-            if trade.offset == OFFSET_OPEN:
-                self.shortPosition += trade.volume
-                self.shortToday += trade.volume
-            elif trade.offset == OFFSET_CLOSETODAY:
-                self.longPosition -= trade.volume
-                self.longToday -= trade.volume
-            else:
-                self.longPosition -= trade.volume
-                self.longYd -= trade.volume
-
-            if self.longPosition <= 0:
-                self.longPosition = 0
-            if self.longToday <= 0:
-                self.longToday = 0
-            if self.longYd <= 0:
-                self.longYd = 0

vnpy/trader/app/ctaStrategy/ctaLineBar.py

@@ -103,6 +103,8 @@ class CtaLineBar(object):
         self.round_n = 4  # round() 小数点的截断数量
         self.activeDayJump = False  # 隔夜跳空
 
+        self.is_7x24 = False
+
         # 当前的Tick
         self.curTick = None
         self.lastTick = None
@@ -173,6 +175,7 @@ class CtaLineBar(object):
         self.paramList.append('inputYb')
         self.paramList.append('inputYbLen')
         self.paramList.append('inputYbRef')
+        self.paramList.append('is_7x24')
 
         self.paramList.append('minDiff')
         self.paramList.append('shortSymbol')
@@ -389,14 +392,14 @@ class CtaLineBar(object):
         #    self.writeCtaLog(u'无效的tick时间:{0}'.format(tick.datetime))
         #    return
 
-        if tick.datetime.hour == 8 or tick.datetime.hour == 20:
+        if not self.is_7x24 and (tick.datetime.hour == 8 or tick.datetime.hour == 20 ):
             self.writeCtaLog(u'竞价排名tick时间:{0}'.format(tick.datetime))
             return
 
         self.curTick = tick
 
         # 3.生成x K线，若形成新Bar，则触发OnBar事件
-        self.__drawLineBar(tick)
+        self.drawLineBar(tick)
 
         # 更新curPeriod的High，low
         if self.curPeriod is not None:
@@ -613,7 +616,7 @@ class CtaLineBar(object):
 
         return msg
 
-    def __firstTick(self, tick):
+    def firstTick(self, tick):
         """ K线的第一个Tick数据"""
 
         self.bar = CtaBarData()                  # 创建新的K线
@@ -661,14 +664,14 @@ class CtaLineBar(object):
         self.lineBar.append(self.bar)           # 推入到lineBar队列
 
     # ----------------------------------------------------------------------
-    def __drawLineBar(self, tick):
+    def drawLineBar(self, tick):
         """生成 line Bar  """
 
         l1 = len(self.lineBar)
 
         # 保存第一个K线数据
         if l1 == 0:
-            self.__firstTick(tick)
+            self.firstTick(tick)
             return
 
         # 清除480周期前的数据，
@@ -680,6 +683,7 @@ class CtaLineBar(object):
 
         # 处理日内的间隔时段最后一个tick，如10:15分，11:30分，15:00 和 2:30分
         endtick = False
+        if not self.is_7x24:
             if (tick.datetime.hour == 10 and tick.datetime.minute == 15) \
                 or (tick.datetime.hour == 11 and tick.datetime.minute == 30) \
                 or (tick.datetime.hour == 15 and tick.datetime.minute == 00) \
@@ -730,7 +734,7 @@ class CtaLineBar(object):
             ) and not endtick:
 
             # 创建并推入新的Bar
-            self.__firstTick(tick)
+            self.firstTick(tick)
             # 触发OnBar事件
             self.onBar(lastBar)
 
@@ -750,7 +754,7 @@ class CtaLineBar(object):
                 lastBar.volume = tick.volume
             else:
                 # 针对新交易日的第一个bar：于上一个bar的时间在14，当前bar的时间不在14点,初始化为tick.volume
-                if self.lineBar[-2].datetime.hour == 14 and tick.datetime.hour != 14 and not endtick:
+                if self.lineBar[-2].datetime.hour == 14 and tick.datetime.hour != 14 and not endtick and not self.is_7x24:
                     lastBar.volume = tick.volume
                 else:
                     # 其他情况，bar为同一交易日，将tick的volume，减去上一bar的dayVolume
@@ -809,7 +813,7 @@ class CtaLineBar(object):
 
     # ----------------------------------------------------------------------
     def __recountSar(self):
-        """计算K线的MA1 和MA2"""
+        """计算K线的SAR"""
         l = len(self.lineBar)
         if l < 5:
             return
@@ -2716,7 +2720,7 @@ class CtaMinuteBar(CtaLineBar):
         self.m1_bars_count += bar_freq
 
     # ----------------------------------------------------------------------
-    def __drawLineBar(self, tick):
+    def drawLineBar(self, tick):
         """
         生成 line Bar
         :param tick:
@@ -2727,7 +2731,7 @@ class CtaMinuteBar(CtaLineBar):
 
         # 保存第一个K线数据
         if l1 == 0:
-            self.__firstTick(tick)
+            self.firstTick(tick)
             return
 
         # 清除480周期前的数据，
@@ -2738,13 +2742,33 @@ class CtaMinuteBar(CtaLineBar):
         lastBar = self.lineBar[-1]
         is_new_bar = False
 
+        endtick = False
+        if not self.is_7x24:
+            # 处理日内的间隔时段最后一个tick，如10:15分，11:30分，15:00 和 2:30分
+            if (tick.datetime.hour == 10 and tick.datetime.minute == 15) \
+                    or (tick.datetime.hour == 11 and tick.datetime.minute == 30) \
+                    or (tick.datetime.hour == 15 and tick.datetime.minute == 00) \
+                    or (tick.datetime.hour == 2 and tick.datetime.minute == 30):
+                endtick = True
+
+            # 夜盘1:30收盘
+            if self.shortSymbol in NIGHT_MARKET_SQ2 and tick.datetime.hour == 1 and tick.datetime.minute == 00:
+                endtick = True
+
+            # 夜盘23:00收盘
+            if self.shortSymbol in NIGHT_MARKET_SQ3 and tick.datetime.hour == 23 and tick.datetime.minute == 00:
+                endtick = True
+            # 夜盘23:30收盘
+            if self.shortSymbol in NIGHT_MARKET_ZZ or self.shortSymbol in NIGHT_MARKET_DL:
+                if tick.datetime.hour == 23 and tick.datetime.minute == 30:
+                    endtick = True
         # 不在同一交易日，推入新bar
         if self.curTradingDay != tick.tradingDay:
             is_new_bar = True
             self.curTradingDay = tick.tradingDay
         else:
             # 同一交易日，看分钟是否一致
-            if tick.datetime.minute != self.last_minute:
+            if tick.datetime.minute != self.last_minute and not endtick:
                 self.m1_bars_count += 1
                 self.last_minute = tick.datetime.minute
 
@@ -2753,7 +2777,7 @@ class CtaMinuteBar(CtaLineBar):
 
         if is_new_bar:
             # 创建并推入新的Bar
-            self.__firstTick(tick)
+            self.firstTick(tick)
             self.m1_bars_count = 1
             # 触发OnBar事件
             self.onBar(lastBar)
@@ -2913,7 +2937,7 @@ class CtaHourBar(CtaLineBar):
         self.__rt_countSkd()
 
     # ----------------------------------------------------------------------
-    def __drawLineBar(self, tick):
+    def drawLineBar(self, tick):
         """
         生成 line Bar
         :param tick:
@@ -2924,15 +2948,16 @@ class CtaHourBar(CtaLineBar):
 
         # 保存第一个K线数据
         if l1 == 0:
-            self.__firstTick(tick)
+            self.firstTick(tick)
             return
 
         # 清除480周期前的数据，
         if l1 > 60 * 8:
             del self.lineBar[0]
-
-        # 处理日内的间隔时段最后一个tick，如10:15分，11:30分，15:00 和 2:30分
         endtick = False
+        if not self.is_7x24:
+            # 处理日内的间隔时段最后一个tick，如10:15分，11:30分，15:00 和 2:30分
+
             if (tick.datetime.hour == 10 and tick.datetime.minute == 15) \
                     or (tick.datetime.hour == 11 and tick.datetime.minute == 30) \
                     or (tick.datetime.hour == 15 and tick.datetime.minute == 00) \
@@ -2970,7 +2995,7 @@ class CtaHourBar(CtaLineBar):
 
         if is_new_bar:
             # 创建并推入新的Bar
-            self.__firstTick(tick)
+            self.firstTick(tick)
             self.m1_bars_count = 1
             # 触发OnBar事件
             self.onBar(lastBar)
@@ -3148,7 +3173,7 @@ class CtaDayBar(CtaLineBar):
         self.__rt_countSkd()
 
 # ----------------------------------------------------------------------
-    def __drawLineBar(self, tick):
+    def drawLineBar(self, tick):
         """
         生成 line Bar
         :param tick:
@@ -3159,7 +3184,7 @@ class CtaDayBar(CtaLineBar):
 
         # 保存第一个K线数据
         if l1 == 0:
-            self.__firstTick(tick)
+            self.firstTick(tick)
             return
 
         # 清除480周期前的数据，
@@ -3176,7 +3201,7 @@ class CtaDayBar(CtaLineBar):
 
         if is_new_bar:
             # 创建并推入新的Bar
-            self.__firstTick(tick)
+            self.firstTick(tick)
             # 触发OnBar事件
             self.onBar(lastBar)
 
@@ -3217,6 +3242,7 @@ class CtaDayBar(CtaLineBar):
         if self.inputSkd:
             self.skd_is_high_dead_cross(runtime=True, high_skd=0)
             self.skd_is_low_golden_cross(runtime=True,low_skd=100)
+
 class TestStrategy(object):
 
     def __init__(self):
@@ -3224,9 +3250,53 @@ class TestStrategy(object):
         self.minDiff = 1
         self.shortSymbol = 'I'
         self.vtSymbol = 'I99'
+
+        self.lineM30 = None
+        self.lineH1 = None
         self.lineH2 = None
         self.lineD = None
 
+        self.TMinuteInterval = 1
+
+        self.save_m30_bars = []
+        self.save_h1_bars = []
+        self.save_h2_bars = []
+        self.save_d_bars = []
+
+    def createLineM30(self):
+        # 创建M30 K线
+        lineM30Setting = {}
+        lineM30Setting['name'] = u'M30'
+        lineM30Setting['period'] = PERIOD_MINUTE
+        lineM30Setting['barTimeInterval'] = 30
+        lineM30Setting['inputPreLen'] = 5
+        lineM30Setting['inputMa1Len'] = 5
+        lineM30Setting['inputMa2Len'] = 10
+        lineM30Setting['inputMa3Len'] = 18
+        lineM30Setting['inputYb'] = True
+        lineM30Setting['inputSkd'] = True
+        lineM30Setting['mode'] = CtaLineBar.TICK_MODE
+        lineM30Setting['minDiff'] = self.minDiff
+        lineM30Setting['shortSymbol'] = self.shortSymbol
+        self.lineM30 = CtaLineBar(self, self.onBarM30, lineM30Setting)
+
+    def createLineH1(self):
+        # 创建2小时K线
+        lineH2Setting = {}
+        lineH2Setting['name'] = u'H1'
+        lineH2Setting['period'] = PERIOD_HOUR
+        lineH2Setting['barTimeInterval'] = 1
+        lineH2Setting['inputPreLen'] = 5
+        lineH2Setting['inputMa1Len'] = 5
+        lineH2Setting['inputMa2Len'] = 10
+        lineH2Setting['inputMa3Len'] = 18
+        lineH2Setting['inputYb'] = True
+        lineH2Setting['inputSkd'] = True
+        lineH2Setting['mode'] = CtaLineBar.TICK_MODE
+        lineH2Setting['minDiff'] = self.minDiff
+        lineH2Setting['shortSymbol'] = self.shortSymbol
+        self.lineH1 = CtaHourBar(self, self.onBarH1, lineH2Setting)
+
     def createLineH2(self):
         # 创建2小时K线
         lineH2Setting = {}
@@ -3234,10 +3304,9 @@ class TestStrategy(object):
         lineH2Setting['period'] = PERIOD_HOUR
         lineH2Setting['barTimeInterval'] = 2
         lineH2Setting['inputPreLen'] = 5
-        lineH2Setting['inputMa1Len'] = 10
-        lineH2Setting['inputRsi1Len'] = 7
-        lineH2Setting['inputRsi2Len'] = 14
-
+        lineH2Setting['inputMa1Len'] = 5
+        lineH2Setting['inputMa2Len'] = 10
+        lineH2Setting['inputMa3Len'] = 18
         lineH2Setting['inputYb'] = True
         lineH2Setting['inputSkd'] = True
         lineH2Setting['mode'] = CtaLineBar.TICK_MODE
@@ -3256,6 +3325,7 @@ class TestStrategy(object):
         lineDaySetting['inputMa2Len'] = 10
         lineDaySetting['inputMa3Len'] = 18
         lineDaySetting['inputYb'] = True
+        lineDaySetting['inputSkd'] = True
         lineDaySetting['mode'] = CtaDayBar.TICK_MODE
         lineDaySetting['minDiff'] = self.minDiff
         lineDaySetting['shortSymbol'] = self.shortSymbol
@@ -3264,31 +3334,152 @@ class TestStrategy(object):
     def onBar(self, bar):
         #print(u'tradingDay:{},dt:{},o:{},h:{},l:{},c:{},v:{}'.format(bar.tradingDay,bar.datetime, bar.open, bar.high, bar.low, bar.close, bar.volume))
         if self.lineD:
-            self.lineD.addBar(bar)
+            self.lineD.addBar(bar, bar_freq=self.TMinuteInterval)
         if self.lineH2:
-            self.lineH2.addBar(bar)
+            self.lineH2.addBar(bar, bar_freq=self.TMinuteInterval)
+
+        if self.lineH1:
+            self.lineH1.addBar(bar, bar_freq=self.TMinuteInterval)
+
+        if self.lineM30:
+            self.lineM30.addBar(bar, bar_freq=self.TMinuteInterval)
+
+    def onBarM30(self, bar):
+        self.writeCtaLog(self.lineM30.displayLastBar())
+
+        self.save_m30_bars.append({
+            'datetime': bar.datetime,
+            'open': bar.open,
+            'high': bar.high,
+            'low': bar.low,
+            'close': bar.close,
+            'turnover':0,
+            'volume': bar.volume,
+            'openInterest': 0,
+            'ma5': self.lineM30.lineMa1[-1] if len(self.lineM30.lineMa1) > 0 else bar.close,
+            'ma10': self.lineM30.lineMa2[-1] if len(self.lineM30.lineMa2) > 0 else bar.close,
+            'ma18': self.lineM30.lineMa3[-1] if len(self.lineM30.lineMa3) > 0 else bar.close,
+            'sk': self.lineM30.lineSK[-1] if len(self.lineM30.lineSK) > 0 else 0,
+            'sd': self.lineM30.lineSD[-1] if len(self.lineM30.lineSD) > 0 else 0
+        })
+
+    def onBarH1(self, bar):
+        self.writeCtaLog(self.lineH1.displayLastBar())
+
+        self.save_h1_bars.append({
+            'datetime': bar.datetime,
+            'open': bar.open,
+            'high': bar.high,
+            'low': bar.low,
+            'close': bar.close,
+            'turnover':0,
+            'volume': bar.volume,
+            'openInterest': 0,
+            'ma5': self.lineH1.lineMa1[-1] if len(self.lineH1.lineMa1) > 0 else bar.close,
+            'ma10': self.lineH1.lineMa2[-1] if len(self.lineH1.lineMa2) > 0 else bar.close,
+            'ma18': self.lineH1.lineMa3[-1] if len(self.lineH1.lineMa3) > 0 else bar.close,
+            'sk': self.lineH1.lineSK[-1] if len(self.lineH1.lineSK) > 0 else 0,
+            'sd': self.lineH1.lineSD[-1] if len(self.lineH1.lineSD) > 0 else 0
+        })
 
     def onBarH2(self, bar):
         self.writeCtaLog(self.lineH2.displayLastBar())
 
+        self.save_h2_bars.append({
+            'datetime': bar.datetime,
+            'open': bar.open,
+            'high': bar.high,
+            'low': bar.low,
+            'close': bar.close,
+            'turnover':0,
+            'volume': bar.volume,
+            'openInterest': 0,
+            'ma5': self.lineH2.lineMa1[-1] if len(self.lineH2.lineMa1) > 0 else bar.close,
+            'ma10': self.lineH2.lineMa2[-1] if len(self.lineH2.lineMa2) > 0 else bar.close,
+            'ma18': self.lineH2.lineMa3[-1] if len(self.lineH2.lineMa3) > 0 else bar.close,
+            'sk': self.lineH2.lineSK[-1] if len(self.lineH2.lineSK) > 0 else 0,
+            'sd': self.lineH2.lineSD[-1] if len(self.lineH2.lineSD) > 0 else 0
+        })
+
     def onBarD(self, bar):
         self.writeCtaLog(self.lineD.displayLastBar())
-
+        self.save_d_bars.append({
+            'datetime': bar.datetime,
+            'open': bar.open,
+            'high': bar.high,
+            'low': bar.low,
+            'close': bar.close,
+            'turnover': 0,
+            'volume': bar.volume,
+            'openInterest': 0,
+            'ma5': self.lineD.lineMa1[-1] if len(self.lineD.lineMa1) > 0 else bar.close,
+            'ma10': self.lineD.lineMa2[-1] if len(self.lineD.lineMa2) > 0 else bar.close,
+            'ma18': self.lineD.lineMa3[-1] if len(self.lineD.lineMa3) > 0 else bar.close,
+            'sk': self.lineD.lineSK[-1] if len(self.lineD.lineSK) > 0 else 0,
+            'sd': self.lineD.lineSD[-1] if len(self.lineD.lineSD) > 0 else 0
+            })
     def onTick(self, tick):
         print(u'{0},{1},ap:{2},av:{3},bp:{4},bv:{5}'.format(tick.datetime, tick.lastPrice, tick.askPrice1, tick.askVolume1, tick.bidPrice1, tick.bidVolume1))
 
     def writeCtaLog(self, content):
         print(content)
 
+    def saveData(self):
+
+        if len(self.save_m30_bars) > 0:
+            outputFile = '{}_m30.csv'.format(self.vtSymbol)
+            with open(outputFile, 'w', encoding='utf8', newline='') as f:
+                fieldnames = ['datetime', 'open', 'price', 'high','low','close','turnover','volume','openInterest','ma5','ma10','ma18','sk','sd']
+                writer = csv.DictWriter(f=f, fieldnames=fieldnames, dialect='excel')
+                writer.writeheader()
+                for row in self.save_m30_bars:
+                    writer.writerow(row)
+
+        if len(self.save_h1_bars) > 0:
+            outputFile = '{}_h1.csv'.format(self.vtSymbol)
+            with open(outputFile, 'w', encoding='utf8', newline='') as f:
+                fieldnames = ['datetime', 'open', 'price', 'high','low','close','turnover','volume','openInterest','ma5','ma10','ma18','sk','sd']
+                writer = csv.DictWriter(f=f, fieldnames=fieldnames, dialect='excel')
+                writer.writeheader()
+                for row in self.save_h1_bars:
+                    writer.writerow(row)
+
+        if len(self.save_h2_bars) > 0:
+            outputFile = '{}_h2.csv'.format(self.vtSymbol)
+            with open(outputFile, 'w', encoding='utf8', newline='') as f:
+                fieldnames = ['datetime', 'open', 'price', 'high','low','close','turnover','volume','openInterest','ma5','ma10','ma18','sk','sd']
+                writer = csv.DictWriter(f=f, fieldnames=fieldnames, dialect='excel')
+                writer.writeheader()
+                for row in self.save_h2_bars:
+                    writer.writerow(row)
+
+        if len(self.save_d_bars) > 0:
+            outputFile = '{}_d.csv'.format(self.vtSymbol)
+            with open(outputFile, 'w', encoding='utf8', newline='') as f:
+                fieldnames = ['datetime', 'open', 'price', 'high','low','close','turnover','volume','openInterest','ma5','ma10','ma18','sk','sd']
+                writer = csv.DictWriter(f=f, fieldnames=fieldnames, dialect='excel')
+                writer.writeheader()
+                for row in self.save_d_bars:
+                    writer.writerow(row)
+
 if __name__ == '__main__':
     t = TestStrategy()
+    t.minDiff = 1
+    t.shortSymbol = 'J'
+    t.vtSymbol = 'J99'
+    # 创建M30线
+    t.createLineM30()
+
+    # 回测1小时线
+    t.createLineH1()
+
     # 回测2小时线
     t.createLineH2()
 
     # 回测日线
-    #t.createLineD()
+    t.createLineD()
 
-    filename = 'cache/I99_20141201_20171231_1m.csv'
+    filename = 'cache/{}_20141201_20171231_1m.csv'.format(t.vtSymbol)
 
     barTimeInterval = 60        # 60秒
     minDiff = 0.5       #回测数据的最小跳动
@@ -3351,3 +3542,5 @@ if __name__ == '__main__':
             t.writeCtaLog(u'{0}:{1}'.format(Exception, ex))
             traceback.print_exc()
             break
+
+    t.saveData()

vnpy/trader/app/ctaStrategy/ctaPolicy.py

@@ -1,13 +1,174 @@
 # encoding: UTF-8
 
+import os
+import sys
+import json
+from datetime import datetime
+from collections import OrderedDict
+
 from vnpy.trader.app.ctaStrategy.ctaBase import *
 from vnpy.trader.vtConstant import *
 
 
-DEBUGCTALOG = True
-
 class CtaPolicy(object):
-    """CTA的策略规则类
+    """
+    策略的持久化Policy
+    """
+
+    def __init__(self, strategy=None):
+        """
+        构造
+        :param strategy:
+        """
+        self.strategy = strategy
+
+        self.create_time = None
+        self.save_time = None
+
+    def writeCtaLog(self, log):
+        """
+        写入日志
+        :param log:
+        :return:
+        """
+        if self.strategy:
+            self.strategy.writeCtaLog(log)
+
+    def writeCtaError(self, log):
+        """
+        写入错误日志
+        :param log:
+        :return:
+        """
+        if self.strategy:
+            self.strategy.writeCtaError(log)
+
+    def toJson(self):
+        """
+        将数据转换成dict
+        datetime =》 string
+        object =》 string
+        :return:
+        """
+        j = OrderedDict()
+        j['create_time'] = self.create_time.strftime('%Y-%m-%d %H:%M:%S') if self.create_time is not None else EMPTY_STRING
+        j['save_time'] = self.save_time.strftime('%Y-%m-%d %H:%M:%S') if self.save_time is not None else EMPTY_STRING
+
+        return j
+
+    def fromJson(self, json_data):
+        """
+        将数据从json_data中恢复
+       :param json_data:
+        :return:
+        """
+        self.writeCtaLog(u'将数据从json_data中恢复')
+
+        if 'create_time' in json_data:
+            try:
+                self.create_time = datetime.strptime(json_data['create_time'], '%Y-%m-%d %H:%M:%S')
+            except Exception as ex:
+                self.writeCtaError(u'解释create_time异常:{}'.format(str(ex)))
+                self.create_time = datetime.now()
+
+        if 'save_time' in json_data:
+            try:
+                self.save_time = datetime.strptime(json_data['save_time'], '%Y-%m-%d %H:%M:%S')
+            except Exception as ex:
+                self.writeCtaError(u'解释save_time异常:{}'.format(str(ex)))
+                self.save_time = datetime.now()
+
+    def load(self):
+        """
+        从持久化文件中获取
+        :return:
+        """
+        json_file = os.path.abspath(os.path.join(self.get_data_folder(), u'{}_Policy.json'.format(self.strategy.name)))
+
+        json_data = {}
+        if os.path.exists(json_file):
+            try:
+                with open(json_file, 'r', encoding='utf8') as f:
+                    # 解析json文件
+                    json_data = json.load(f)
+            except IOError as ex:
+                self.writeCtaError(u'读取Policy文件{}出错,ex:{}'.format(json_file,str(ex)))
+                json_data = {}
+
+        # 从持久化文件恢复数据
+        self.fromJson(json_data)
+
+    def save(self):
+        """
+        保存至持久化文件
+        :return:
+        """
+        json_file = os.path.abspath(
+            os.path.join(self.get_data_folder(), u'{}_Policy.json'.format(self.strategy.name)))
+
+        try:
+            json_data = self.toJson()
+
+            if self.strategy and self.strategy.backtesting:
+                json_data['save_time'] = self.strategy.curDateTime.strftime('%Y-%m-%d %H:%M:%S')
+            else:
+                json_data['save_time'] = datetime.now().strftime('%Y-%m-%d %H:%M:%S')
+
+            with open(json_file, 'w') as f:
+                data = json.dumps(json_data, indent=4)
+                f.write(data)
+                #self.writeCtaLog(u'写入Policy文件:{}成功'.format(json_file))
+        except IOError as ex:
+            self.writeCtaError(u'写入Policy文件{}出错,ex:{}'.format(json_file, str(ex)))
+
+    def export_history(self):
+        """
+        导出历史
+        :return:
+        """
+        export_dir =  os.path.abspath(os.path.join(
+            self.get_data_folder(),
+             'export_csv',
+             '{}'.format(self.strategy.curDateTime.strftime('%Y%m%d'))))
+        if not os.path.exists(export_dir):
+            try:
+                os.mkdir(export_dir)
+            except Exception as ex:
+                self.writeCtaError(u'创建Policy切片目录{}出错,ex:{}'.format(export_dir, str(ex)))
+                return
+
+        json_file = os.path.abspath(os.path.join(
+             export_dir,
+             u'{}_Policy_{}.json'.format(self.strategy.name, self.strategy.curDateTime.strftime('%Y%m%d_%H%M'))))
+
+        try:
+            json_data = self.toJson()
+
+            if self.strategy and self.strategy.backtesting:
+                json_data['save_time'] = self.strategy.curDateTime.strftime('%Y-%m-%d %H:%M:%S')
+            else:
+                json_data['save_time'] = datetime.now().strftime('%Y-%m-%d %H:%M:%S')
+
+            with open(json_file, 'w') as f:
+                data = json.dumps(json_data, indent=4)
+                f.write(data)
+                # self.writeCtaLog(u'写入Policy文件:{}成功'.format(json_file))
+        except IOError as ex:
+            self.writeCtaError(u'写入Policy文件{}出错,ex:{}'.format(json_file, str(ex)))
+
+    def get_data_folder(self):
+        """获取数据目录"""
+        # 工作目录
+        currentFolder = os.path.abspath(os.path.join(os.getcwd(), u'data'))
+        if os.path.isdir(currentFolder):
+            # 如果工作目录下，存在data子目录，就使用data子目录
+            return currentFolder
+        else:
+            # 否则，使用缺省保存目录 vnpy/trader/app/ctaStrategy/data
+            return os.path.abspath(os.path.join(os.path.dirname(__file__), u'data'))
+
+class RenkoPolicy(CtaPolicy):
+    """Renko CTA的策略规则类
     包括：
     1、风险评估
     2、最低止损位置
@@ -19,10 +180,12 @@ class CtaPolicy(object):
     R2,Small Range/Renko
     """
 
-    def __init__(self, r1Period=EMPTY_STRING, r2Period=EMPTY_STRING):
+    def __init__(self, strategy):
 
-        self.openR1Period = r1Period              # 开仓周期Mode
-        self.openR2Period = r2Period              # 开仓周期Mode
+        super(RenkoPolicy, self).__init__(strategy)
+
+        self.openR1Period = None              # 开仓周期Mode
+        self.openR2Period = None              # 开仓周期Mode
 
         self.entryPrice = EMPTY_FLOAT             # 开仓价格
         self.lastPeriodBasePrice = EMPTY_FLOAT    # 上一个周期内的最近高价/低价(看R2 Rsi的高点和低点）
@@ -62,5 +225,514 @@ class CtaPolicy(object):
 
         self.reducePosOnEmaRtn = False
 
+    def set_r1Period(self,r1Period):
+        self.openR1Period = r1Period
+
+    def set_r2Period(self,r2Period):
+        self.openR2Period = r2Period
+
+class TurtlePolicy(CtaPolicy):
+    """海龟策略事务"""
+
+    def __init__(self, strategy):
+        super(TurtlePolicy, self).__init__(strategy)
+
+        self.tns_open_price = 0  # 首次开仓价格
+        self.last_open_price = 0  # 最后一次加仓价格
+        self.stop_price = 0  # 止损价
+        self.high_price_in_long = 0  # 多趋势时，最高价
+        self.low_price_in_short = 0  # 空趋势时，最低价
+        self.last_under_open_price = 0  # 低于首次开仓价的补仓价格
+        self.add_pos_count_under_first_price = 0  # 低于首次开仓价的补仓次数
+        self.tns_direction = None  # 事务方向 DIRECTION_LONG 向上/ DIRECTION_SHORT向下
+        self.tns_count = 0  # 当前事务开启后多少个bar，>0，做多方向，<0，做空方向
+        self.max_pos = 0  # 事务中最大仓位
+        self.tns_has_opened = False
+        self.tns_open_date = ''  # 事务开启的交易日
+        self.last_risk_level = 0  # 上一次风控评估的级别
+
+    def toJson(self):
+        """
+        将数据转换成dict
+        :return:
+        """
+        j = OrderedDict()
+        j['create_time'] = self.create_time.strftime(
+            '%Y-%m-%d %H:%M:%S') if self.create_time is not None else EMPTY_STRING
+        j['save_time'] = self.save_time.strftime('%Y-%m-%d %H:%M:%S') if self.save_time is not None else EMPTY_STRING
+        j['tns_open_date'] = self.tns_open_date
+        j['tns_open_price'] = self.tns_open_price if self.tns_open_price is not None else 0
+
+        j['last_open_price'] = self.last_open_price if self.last_open_price is not None else 0
+        j['stop_price'] = self.stop_price if self.stop_price is not None else 0
+        j['high_price_in_long'] = self.high_price_in_long if self.high_price_in_long is not None else 0
+        j['low_price_in_short'] = self.low_price_in_short if self.low_price_in_short is not None else 0
+        j[
+            'add_pos_count_under_first_price'] = self.add_pos_count_under_first_price if self.add_pos_count_under_first_price is not None else 0
+        j['last_under_open_price'] = self.last_under_open_price if self.last_under_open_price is not None else 0
+
+        j['max_pos'] = self.max_pos if self.max_pos is not None else 0
+        j['tns_direction'] = self.tns_direction if self.tns_direction is not None else EMPTY_STRING
+        j['tns_count'] = self.tns_count if self.tns_count is not None else 0
+
+        j['tns_has_opened'] = self.tns_has_opened
+        j['last_risk_level'] = self.last_risk_level
+
+        return j
+
+    def fromJson(self, json_data):
+        """
+        将dict转化为属性
+        :param json_data:
+        :return:
+        """
+        if 'create_time' in json_data:
+            try:
+                self.create_time = datetime.strptime(json_data['create_time'], '%Y-%m-%d %H:%M:%S')
+            except Exception as ex:
+                self.writeCtaError(u'解释create_time异常:{}'.format(str(ex)))
+                self.create_time = datetime.now()
+
+        if 'save_time' in json_data:
+            try:
+                self.save_time = datetime.strptime(json_data['save_time'], '%Y-%m-%d %H:%M:%S')
+            except Exception as ex:
+                self.writeCtaError(u'解释save_time异常:{}'.format(str(ex)))
+                self.save_time = datetime.now()
+
+        if 'tns_open_price' in json_data:
+            try:
+                self.tns_open_price = json_data['tns_open_price']
+            except Exception as ex:
+                self.writeCtaError(u'解释tns_open_price异常:{}'.format(str(ex)))
+                self.tns_open_price = 0
+
+        if 'tns_open_date' in json_data:
+            try:
+                self.tns_open_date = json_data['tns_open_date']
+            except Exception as ex:
+                self.writeCtaError(u'解释tns_open_date异常:{}'.format(str(ex)))
+                self.tns_open_date = ''
+
+        if 'last_under_open_price' in json_data:
+            try:
+                self.last_under_open_price = json_data['last_under_open_price']
+            except Exception as ex:
+                self.writeCtaError(u'解释last_under_open_price异常:{}'.format(str(ex)))
+                self.last_under_open_price = 0
+
+        if 'last_open_price' in json_data:
+            try:
+                self.last_open_price = json_data['last_open_price']
+            except Exception as ex:
+                self.writeCtaError(u'解释last_open_price异常:{}'.format(str(ex)))
+                self.last_open_price = 0
+
+        if 'stop_price' in json_data:
+            try:
+                self.stop_price = json_data['stop_price']
+            except Exception as ex:
+                self.writeCtaError(u'解释stop_price异常:{}'.format(str(ex)))
+                self.stop_price = 0
+
+        if 'high_price_in_long' in json_data:
+            try:
+                self.high_price_in_long = json_data['high_price_in_long']
+            except Exception as ex:
+                self.writeCtaError(u'解释high_price_in_long异常:{}'.format(str(ex)))
+                self.high_price_in_long = 0
+
+        if 'low_price_in_short' in json_data:
+            try:
+                self.low_price_in_short = json_data['low_price_in_short']
+            except Exception as ex:
+                self.writeCtaError(u'解释low_price_in_short异常:{}'.format(str(ex)))
+                self.low_price_in_short = 0
+
+        if 'max_pos' in json_data:
+            try:
+                self.max_pos = json_data['max_pos']
+            except Exception as ex:
+                self.writeCtaError(u'解释max_pos异常:{}'.format(str(ex)))
+                self.max_pos = 0
+
+        if 'add_pos_count_under_first_price' in json_data:
+            try:
+                self.add_pos_count_under_first_price = json_data['add_pos_count_under_first_price']
+            except Exception as ex:
+                self.writeCtaError(u'解释add_pos_count_under_first_price异常:{}'.format(str(ex)))
+                self.add_pos_count_under_first_price = 0
+
+        if 'tns_direction' in json_data:
+            try:
+                self.tns_direction = json_data['tns_direction']
+            except Exception as ex:
+                self.writeCtaError(u'解释tns_direction异常:{}'.format(str(ex)))
+                self.tns_direction = EMPTY_STRING
+
+        if 'tns_count' in json_data:
+            try:
+                self.tns_count = json_data['tns_count']
+            except Exception as ex:
+                self.writeCtaError(u'解释tns_count异常:{}'.format(str(ex)))
+                self.tns_count = EMPTY_STRING
+
+        if 'tns_has_opened' in json_data:
+            try:
+                self.tns_has_opened = json_data['tns_has_opened']
+            except Exception as ex:
+                self.writeCtaError(u'解释tns_has_opened异常:{}'.format(str(ex)))
+                self.tns_has_opened = False
+
+        if 'last_risk_level' in json_data:
+            try:
+                self.last_risk_level = json_data['last_risk_level']
+            except Exception as ex:
+                self.writeCtaError(u'解释last_risk_level异常:{}'.format(str(ex)))
+                self.last_risk_level = 0
+
+
+    def clean(self):
+        """
+        清空数据
+        :return:
+        """
+        self.writeCtaLog(u'清空policy数据')
+        self.tns_open_price = 0
+        self.tns_open_date = ''
+        self.last_open_price = 0
+        self.last_under_open_price = 0
+        self.stop_price = 0
+        self.high_price_in_long = 0
+        self.low_price_in_short = 0
+        self.max_pos = 0
+        self.add_pos_count_under_first_price = 0
+        self.tns_direction = None
+        self.tns_has_opened = False
+        self.last_risk_level = 0
+        self.tns_count = 0
+
+class TrendPolicy(CtaPolicy):
+    """
+    趋势策略规则
+    每次趋势交易，看作一个事务
+    """
+
+    def __init__(self, strategy):
+        super(TrendPolicy, self).__init__(strategy)
+
+        self.tns_open_price = 0          # 首次开仓价格
+        self.last_open_price = 0         # 最后一次加仓价格
+        self.stop_price = 0              # 止损价
+        self.high_price_in_long = 0      # 多趋势时，最高价
+        self.low_price_in_short = 0      # 空趋势时，最低价
+        self.last_under_open_price = 0   # 低于首次开仓价的补仓价格
+        self.add_pos_count_under_first_price = 0  # 低于首次开仓价的补仓次数
+        self.tns_direction = None        # 日线方向 DIRECTION_LONG 向上/ DIRECTION_SHORT向下
+        self.tns_count = 0               # 日线事务，>0，做多方向，<0，做空方向
+        self.max_pos = 0                 # 事务中最大仓位
+        self.pos_to_add = []             # 开仓/加仓得仓位数量分布列表
+        self.pos_reduced = {}            # 减仓记录
+        self.last_reduce_price = 0       # 最近一次减仓记录
+
+        self.tns_has_opened = False
+        self.tns_open_date = ''          # 事务开启的交易日
+        self.last_balance_level = 0      # 上一次平衡的级别
+        self.last_risk = EMPTY_STRING          # 上一次risk评估类别
+        self.cur_risk = EMPTY_STRING          # 当前risk评估类别
+
+        # 加仓记录
+        self.dtosc_add_pos = {}         # DTOSC 加仓
+
+    def toJson(self):
+        """
+        将数据转换成dict
+        :return:
+        """
+        j = OrderedDict()
+        j['create_time'] = self.create_time.strftime('%Y-%m-%d %H:%M:%S') if self.create_time is not None else EMPTY_STRING
+        j['save_time'] = self.save_time.strftime('%Y-%m-%d %H:%M:%S') if self.save_time is not None else EMPTY_STRING
+        j['tns_open_date'] = self.tns_open_date
+        j['tns_open_price'] = self.tns_open_price if self.tns_open_price is not None else 0
+
+        j['last_open_price'] = self.last_open_price if self.last_open_price is not None else 0
+        j['stop_price'] = self.stop_price if self.stop_price is not None else 0
+        j['high_price_in_long'] = self.high_price_in_long if self.high_price_in_long is not None else 0
+        j['low_price_in_short'] = self.low_price_in_short if self.low_price_in_short is not None else 0
+        j['add_pos_count_under_first_price'] = self.add_pos_count_under_first_price if self.add_pos_count_under_first_price is not None else 0
+        j['last_under_open_price'] = self.last_under_open_price if self.last_under_open_price is not None else 0
+
+        j['max_pos'] = self.max_pos if self.max_pos is not None else 0
+        j['tns_direction'] = self.tns_direction if self.tns_direction is not None else EMPTY_STRING
+        j['tns_count'] = self.tns_count if self.tns_count is not None else 0
+        j['pos_to_add'] = self.pos_to_add
+        j['pos_reduced'] = self.pos_reduced
+        j['tns_has_opened'] = self.tns_has_opened
+        j['last_balance_level'] = self.last_balance_level
+        j['last_reduce_price'] = self.last_reduce_price
+        j['dtosc_add_pos'] = self.dtosc_add_pos
+        return j
+
+    def fromJson(self, json_data):
+        """
+        将dict转化为属性
+        :param json_data:
+        :return:
+        """
+        if 'create_time' in json_data:
+            try:
+                self.create_time = datetime.strptime(json_data['create_time'], '%Y-%m-%d %H:%M:%S')
+            except Exception as ex:
+                self.writeCtaError(u'解释create_time异常:{}'.format(str(ex)))
+                self.create_time = datetime.now()
+
+        if 'save_time' in json_data:
+            try:
+                self.save_time = datetime.strptime(json_data['save_time'], '%Y-%m-%d %H:%M:%S')
+            except Exception as ex:
+                self.writeCtaError(u'解释save_time异常:{}'.format(str(ex)))
+                self.save_time = datetime.now()
+
+        if 'tns_open_price' in json_data:
+            try:
+                self.tns_open_price = json_data['tns_open_price']
+            except Exception as ex:
+                self.writeCtaError(u'解释tns_open_price异常:{}'.format(str(ex)))
+                self.tns_open_price = 0
+
+        if 'tns_open_date' in json_data:
+            try:
+                self.tns_open_date = json_data['tns_open_date']
+            except Exception as ex:
+                self.writeCtaError(u'解释tns_open_date异常:{}'.format(str(ex)))
+                self.tns_open_date = ''
+
+        if 'last_under_open_price' in json_data:
+            try:
+                self.last_under_open_price = json_data['last_under_open_price']
+            except Exception as ex:
+                self.writeCtaError(u'解释last_under_open_price异常:{}'.format(str(ex)))
+                self.last_under_open_price = 0
+
+        if 'last_open_price' in json_data:
+            try:
+                self.last_open_price = json_data['last_open_price']
+            except Exception as ex:
+                self.writeCtaError(u'解释last_open_price异常:{}'.format(str(ex)))
+                self.last_open_price = 0
+
+        if 'last_reduce_price' in json_data:
+            try:
+                self.last_reduce_price = json_data['last_reduce_price']
+            except Exception as ex:
+                self.writeCtaError(u'解释last_reduce_price异常:{}'.format(str(ex)))
+                self.last_reduce_price = 0
+
+        if 'stop_price' in json_data:
+            try:
+                self.stop_price = json_data['stop_price']
+            except Exception as ex:
+                self.writeCtaError(u'解释stop_price异常:{}'.format(str(ex)))
+                self.stop_price = 0
+
+        if 'high_price_in_long' in json_data:
+            try:
+                self.high_price_in_long = json_data['high_price_in_long']
+            except Exception as ex:
+                self.writeCtaError(u'解释high_price_in_long异常:{}'.format(str(ex)))
+                self.high_price_in_long = 0
+
+        if 'low_price_in_short' in json_data:
+            try:
+                self.low_price_in_short = json_data['low_price_in_short']
+            except Exception as ex:
+                self.writeCtaError(u'解释low_price_in_short异常:{}'.format(str(ex)))
+                self.low_price_in_short = 0
+
+        if 'max_pos' in json_data:
+            try:
+                self.max_pos = json_data['max_pos']
+            except Exception as ex:
+                self.writeCtaError(u'解释max_pos异常:{}'.format(str(ex)))
+                self.max_pos = 0
+
+        if 'add_pos_count_under_first_price' in json_data:
+            try:
+                self.add_pos_count_under_first_price = json_data['add_pos_count_under_first_price']
+            except Exception as ex:
+                self.writeCtaError(u'解释add_pos_count_under_first_price异常:{}'.format(str(ex)))
+                self.add_pos_count_under_first_price = 0
+
+        if 'tns_direction' in json_data:
+            try:
+                self.tns_direction = json_data['tns_direction']
+            except Exception as ex:
+                self.writeCtaError(u'解释tns_direction异常:{}'.format(str(ex)))
+                self.tns_direction = EMPTY_STRING
+
+        if 'tns_count' in json_data:
+            try:
+                self.tns_count = json_data['tns_count']
+            except Exception as ex:
+                self.writeCtaError(u'解释tns_count异常:{}'.format(str(ex)))
+                self.tns_count = EMPTY_STRING
+
+        if 'pos_to_add' in json_data:
+            try:
+                self.pos_to_add = json_data['pos_to_add']
+            except Exception as ex:
+                self.writeCtaError(u'解释pos_to_add异常:{}'.format(str(ex)))
+                self.pos_to_add = []
+
+        if 'pos_reduced' in json_data:
+            try:
+                self.pos_reduced = json_data['pos_reduced']
+            except Exception as ex:
+                self.writeCtaError(u'解释pos_reduced异常:{}'.format(str(ex)))
+                self.pos_reduced = {}
+
+        if 'tns_has_opened' in json_data:
+            try:
+                self.tns_has_opened = json_data['tns_has_opened']
+            except Exception as ex:
+                self.writeCtaError(u'解释tns_has_opened异常:{}'.format(str(ex)))
+                self.tns_has_opened = False
+
+        if 'last_balance_level' in json_data:
+            try:
+                self.last_balance_level = json_data['last_balance_level']
+            except Exception as ex:
+                self.writeCtaError(u'解释last_balance_level异常:{}'.format(str(ex)))
+                self.last_balance_level = 0
+
+        if 'dtosc_add_pos' in json_data:
+            try:
+                self.dtosc_add_pos = json_data['dtosc_add_pos']
+            except Exception as ex:
+                self.writeCtaError(u'解释dtosc_add_pos异常:{}'.format(str(ex)))
+                self.dtosc_add_pos = {}
+
+    def clean(self):
+        """
+        清空数据
+        :return:
+        """
+        self.writeCtaLog(u'清空policy数据')
+        self.tns_open_price = 0
+        self.tns_open_date = ''
+        self.last_open_price = 0
+        self.last_under_open_price = 0
+        self.stop_price = 0
+        self.high_price_in_long = 0
+        self.low_price_in_short = 0
+        self.max_pos = 0
+        self.add_pos_count_under_first_price = 0
+        self.tns_direction = None
+        self.pos_to_add = []
+        self.pos_reduced = {}
+        self.last_reduce_price = 0
+        self.tns_has_opened = False
+        self.last_balance_level = 0
+        self.dtosc_add_pos = {}
+
+    def get_last_reduced_pos(self, reduce_type):
+        """
+        获取最后得减仓数量
+        :param reduce_type:
+        :return:
+        """
+        reduce_list = self.pos_reduced.get(reduce_type,[])
+        if len(reduce_list):
+            last_pos = reduce_list.pop(-1)
+            return last_pos
+        return 0
+
+    def get_all_reduced_pos(self, reduce_type):
+        """
+        获取该类型得所有减仓数量
+        :param reduce_type:
+        :return:
+        """
+        reduce_list = self.pos_reduced.get(reduce_type, [])
+        return sum(reduce_list)
+
+    def add_reduced_pos(self, reduce_type, reduce_volume):
+        """
+        添加减仓数量
+        :param reduce_type:
+        :param reduce_volume:
+        :return:
+        """
+        reduce_list = self.pos_reduced.get(reduce_type, [])
+        reduce_list.append(reduce_volume)
+        self.pos_reduced[reduce_type] = reduce_list
+
+    def calculatePosToAdd(self, total_pos, add_count):
+        """
+        计算可供加仓得仓位
+        仓位 M%
+        加仓次数限定为：N次（N不超过16次）
+        则平均每次加仓手数为M%/N
+        那么第一次加仓手数为M%/N*(1+(N/2)/10) 
+        第二次加仓手数为M%/N*(1+(N/2-1)/10)
+        ……
+        第N/2次加仓手数为M%/N*1.1
+        第N/2+1次加仓手数为M%/N*0.9
+        ……
+        第N次加仓手数为M%/N*(1-(N/2)/10)
+        :param direction:
+        :return:
+        """
+        max_pos = total_pos
+
+        if len(self.pos_to_add) > 0:
+            self.writeCtaLog(u'加仓参考清单已存在,不重新分配：{}'.format(self.pos_to_add))
+            return
+
+        avg_pos = max_pos / add_count
+
+        for i in range(0, add_count):
+            if max_pos <= 0:
+                self.writeCtaLog(u'分配完毕')
+                break
+            add_pos = avg_pos * (1+(add_count/2-i)/10)
+            add_pos = int(add_pos) if add_pos >= 1 else 1
+            if max_pos <= add_pos:
+                add_pos = max_pos
+                max_pos = 0
+            else:
+                max_pos -= add_pos
+
+            self.pos_to_add.append(add_pos)
+
+        if max_pos > 0:
+            self.pos_to_add.append(max_pos)
+
+        self.writeCtaLog(u'总数量{},计划:{}'.format(total_pos,self.pos_to_add))
+
+    def getPosToAdd(self, max_pos):
+        if len(self.pos_to_add) == 0:
+            if max_pos > self.max_pos:
+                self.writeCtaLog(u'最大允许仓位{}>现最大加仓{}'.format(max_pos,self.max_pos))
+                self.pos_to_add.append(max_pos - self.max_pos)
+                return max_pos - self.max_pos
+            else:
+                self.writeCtaError(u'没有仓位可加')
+                return 0
+        else:
+            return self.pos_to_add[0]
+
+    def removePosToAdd(self, remove_pos):
+
+        if len(self.pos_to_add) == 0:
+            self.writeCtaError(u'可加仓清单列表为空，不能删除')
+            return
+
+        pos = self.pos_to_add.pop(0)
+        if pos > remove_pos:
+            self.writeCtaLog(u'不全移除，剩余：{}补充到最后'.format(pos-remove_pos))
+            self.pos_to_add.append(pos - remove_pos)
+        else:
+            self.writeCtaLog(u'移除:{},剩余:{}'.format(pos,self.pos_to_add))
 
 

vnpy/trader/app/ctaStrategy/ctaTemplate.py

@@ -259,18 +259,27 @@ class CtaTemplate(object):
     # ----------------------------------------------------------------------
     def writeCtaLog(self, content):
         """记录CTA日志"""
+        try:
+            self.ctaEngine.writeCtaLog(content, strategy_name=self.name)
+        except Exception as ex:
             content = self.name + ':' + content
             self.ctaEngine.writeCtaLog(content)
 
     # ----------------------------------------------------------------------
     def writeCtaError(self, content):
         """记录CTA出错日志"""
+        try:
+            self.ctaEngine.writeCtaError(content, strategy_name=self.name)
+        except Exception as ex:
             content = self.name + ':' + content
             self.ctaEngine.writeCtaError(content)
 
     # ----------------------------------------------------------------------
     def writeCtaWarning(self, content):
         """记录CTA告警日志"""
+        try:
+            self.ctaEngine.writeCtaWarning(content, strategy_name=self.name)
+        except Exception as ex:
             content = self.name + ':' + content
             self.ctaEngine.writeCtaWarning(content)
 
@@ -287,10 +296,15 @@ class CtaTemplate(object):
     # ----------------------------------------------------------------------
     def writeCtaCritical(self, content):
         """记录CTA系统异常日志"""
-        content = self.name + ':' + content
+
         if not self.backtesting:
+            try:
+                self.ctaEngine.writeCtaCritical(content,strategy_name=self.name)
+            except Exception as ex:
+                content = self.name + ':' + content
                 self.ctaEngine.writeCtaCritical(content)
         else:
+            content = self.name + ':' + content
             self.ctaEngine.writeCtaError(content)
 
     def sendSignal(self,direction,price, level):

vnpy/trader/uiBasicWidget.py

@@ -12,6 +12,7 @@ from vnpy.trader.vtFunction import *
 from vnpy.trader.vtGateway import *
 from vnpy.trader.vtText import text as vtText
 from vnpy.trader.uiQt import QtWidgets, QtGui, QtCore, BASIC_FONT
+from vnpy.trader.vtConstant import EXCHANGE_BINANCE,EXCHANGE_OKEX
 
 if str(platform.system()) == 'Windows':
     import winsound
@@ -36,8 +37,9 @@ class BasicCell(QtWidgets.QTableWidgetItem):
         """设置内容"""
         if text == '0' or text == '0.0' or type(text) == type(None):
             self.setText('')
-        #elif type(text) == type(float):
-        #    self.setText(str(text))
+        elif isinstance(text, float):
+            f_str = str("%.8f" % text)
+            self.setText(floatToStr(f_str))
         else:
             self.setText(str(text))
 
@@ -295,6 +297,7 @@ class BasicMonitor(QtWidgets.QTableWidget):
     
     # ----------------------------------------------------------------------
     def updateData(self, data):
+        try:
             """将数据更新到表格中"""
             # 如果允许了排序功能，则插入数据前必须关闭，否则插入新的数据会变乱
             if self.sorting:
@@ -361,6 +364,8 @@ class BasicMonitor(QtWidgets.QTableWidget):
             # 重新打开排序
             if self.sorting:
                 self.setSortingEnabled(True)
+        except Exception as ex:
+            print('update data exception:{},{}'.format(str(ex),traceback.format_exc()),file=sys.stderr)
 
     #----------------------------------------------------------------------
     def resizeColumns(self):
@@ -745,7 +750,8 @@ class TradingWidget(QtWidgets.QFrame):
                     EXCHANGE_NYMEX,
                     EXCHANGE_GLOBEX,
                     EXCHANGE_IDEALPRO,
-                    EXCHANGE_OKEX]
+                    EXCHANGE_OKEX,
+                    EXCHANGE_BINANCE]
     
     currencyList = [CURRENCY_NONE,
                     CURRENCY_CNY,
@@ -815,7 +821,7 @@ class TradingWidget(QtWidgets.QFrame):
 
         self.spinVolume = QtWidgets.QDoubleSpinBox()
         self.spinVolume.setMinimum(0)
-        self.spinVolume.setDecimals(4)
+        #self.spinVolume.setDecimals(8)
         self.spinVolume.setMaximum(sys.maxsize)
 
         self.comboPriceType = QtWidgets.QComboBox()
@@ -991,7 +997,7 @@ class TradingWidget(QtWidgets.QFrame):
             
         # 清空价格数量
         self.spinPrice.setValue(0)
-        self.spinVolume.setValue(0)
+        #self.spinVolume.setValue(0)
 
         # 清空行情显示
         self.labelBidPrice1.setText('')
@@ -1045,7 +1051,13 @@ class TradingWidget(QtWidgets.QFrame):
 
         if tick.vtSymbol == self.symbol:
             if not self.checkFixed.isChecked():
+                if isinstance(tick.lastPrice, float):
+                    p = decimal.Decimal(str(tick.lastPrice))
+                    decimal_len = abs(p.as_tuple().exponent)
+                    if decimal_len != self.spinPrice.decimals():
+                        self.spinPrice.setDecimals(decimal_len)
                 self.spinPrice.setValue(tick.lastPrice)
+
             self.labelBidPrice1.setText('{}'.format(tick.bidPrice1))
             self.labelAskPrice1.setText('{}'.format(tick.askPrice1))
             self.labelBidVolume1.setText('{}'.format(tick.bidVolume1))
@@ -1089,6 +1101,7 @@ class TradingWidget(QtWidgets.QFrame):
     def sendOrder(self):
         """发单"""
         symbol = str(self.lineSymbol.text())
+        vtSymbol = symbol
         exchange = self.comboExchange.currentText()
         currency = self.comboCurrency.currentText()
         productClass = self.comboProductClass.currentText()
@@ -1109,6 +1122,7 @@ class TradingWidget(QtWidgets.QFrame):
             
         req = VtOrderReq()
         req.symbol = symbol
+        req.vtSymbol = vtSymbol
         req.exchange = exchange
         req.price = self.spinPrice.value()
         req.volume = self.spinVolume.value()
@@ -1157,6 +1171,17 @@ class TradingWidget(QtWidgets.QFrame):
             pos = cell.data
             symbol = pos.symbol
 
+            symbol_split_list = symbol.split('.')
+            if len(symbol_split_list)==2:
+                exchange_name = symbol_split_list[-1]
+                if exchange_name in [EXCHANGE_OKEX,EXCHANGE_BINANCE]:
+                    symbol = symbol_split_list[0]
+
+                    symbol_pair_list = symbol.split('_')
+                    if len(symbol_pair_list) ==1:
+                        if symbol.lower() == 'usdt':
+                            return
+                        symbol = symbol_pair_list[0] + '_' + 'usdt'+'.'+symbol_split_list[-1]
             # 更新交易组件的显示合约
             self.lineSymbol.setText(symbol)
             self.updateSymbol()
@@ -1164,6 +1189,14 @@ class TradingWidget(QtWidgets.QFrame):
             # 自动填写信息
             self.comboPriceType.setCurrentIndex(self.priceTypeList.index(PRICETYPE_LIMITPRICE))
             self.comboOffset.setCurrentIndex(self.offsetList.index(OFFSET_CLOSE))
+            if isinstance(pos.position, float):
+                p = decimal.Decimal(str(pos.position))
+                decimal_len = abs(p.as_tuple().exponent)
+                if decimal_len > self.spinVolume.decimals():
+                    self.spinVolume.setDecimals(decimal_len)
+            elif isinstance(pos.position, int):
+                self.spinVolume.setDecimals(0)
+
             self.spinVolume.setValue(pos.position)
 
             if pos.direction == DIRECTION_LONG or pos.direction == DIRECTION_NET:

vnpy/trader/uiKLine/.gitignore

@@ -0,0 +1,101 @@
+# Byte-compiled / optimized / DLL files
+__pycache__/
+*.py[cod]
+*$py.class
+
+# C extensions
+*.so
+
+# Distribution / packaging
+.Python
+env/
+build/
+develop-eggs/
+dist/
+downloads/
+eggs/
+.eggs/
+lib/
+lib64/
+parts/
+sdist/
+var/
+wheels/
+*.egg-info/
+.installed.cfg
+*.egg
+
+# PyInstaller
+#  Usually these files are written by a python script from a template
+#  before PyInstaller builds the exe, so as to inject date/other infos into it.
+*.manifest
+*.spec
+
+# Installer logs
+pip-log.txt
+pip-delete-this-directory.txt
+
+# Unit test / coverage reports
+htmlcov/
+.tox/
+.coverage
+.coverage.*
+.cache
+nosetests.xml
+coverage.xml
+*.cover
+.hypothesis/
+
+# Translations
+*.mo
+*.pot
+
+# Django stuff:
+*.log
+local_settings.py
+
+# Flask stuff:
+instance/
+.webassets-cache
+
+# Scrapy stuff:
+.scrapy
+
+# Sphinx documentation
+docs/_build/
+
+# PyBuilder
+target/
+
+# Jupyter Notebook
+.ipynb_checkpoints
+
+# pyenv
+.python-version
+
+# celery beat schedule file
+celerybeat-schedule
+
+# SageMath parsed files
+*.sage.py
+
+# dotenv
+.env
+
+# virtualenv
+.venv
+venv/
+ENV/
+
+# Spyder project settings
+.spyderproject
+.spyproject
+
+# Rope project settings
+.ropeproject
+
+# mkdocs documentation
+/site
+
+# mypy
+.mypy_cache/

vnpy/trader/uiKLine/uiCrosshair.py

@@ -0,0 +1,298 @@
+# encoding: UTF-8
+import sys,os
+
+import pyqtgraph as pg
+import datetime as dt          
+import numpy as np
+import traceback
+
+from qtpy import QtWidgets, QtGui, QtCore
+from pyqtgraph.Point import Point
+import pandas as pd
+
+########################################################################
+# 十字光标支持
+########################################################################
+class Crosshair(QtCore.QObject):
+    """
+    此类给pg.PlotWidget()添加crossHair功能,PlotWidget实例需要初始化时传入
+    """
+    signal = QtCore.Signal(type(tuple([])))
+    signalInfo = QtCore.Signal(float,float)
+    #----------------------------------------------------------------------
+    def __init__(self, parent, master):
+        """Constructor"""
+        self.__view = parent        # PlatWidget
+        self.master = master        # KLineWidget
+        super(Crosshair, self).__init__()
+
+        self.xAxis = 0
+        self.yAxis = 0
+
+        self.datas = None
+
+        self.yAxises    = [0 for i in range(3)]
+        self.leftX      = [0 for i in range(3)]
+        self.showHLine  = [False for i in range(3)]
+        self.textPrices = [pg.TextItem('', anchor=(1, 1)) for i in range(3)]
+        # 取得 widget上的：主图/成交量/副图指标
+        self.views      = [parent.centralWidget.getItem(i+1, 0) for i in range(3)]
+        self.rects      = [self.views[i].sceneBoundingRect() for i in range(3)]
+        self.vLines     = [pg.InfiniteLine(angle=90, movable=False) for i in range(3)]
+        self.hLines     = [pg.InfiniteLine(angle=0,  movable=False) for i in range(3)]
+        
+        #mid 在y轴动态跟随最新价显示最新价和最新时间
+        self.__textDate   = pg.TextItem('date', anchor=(1, 1))                              # 文本：日期/时间
+        self.__textInfo   = pg.TextItem('lastBarInfo')                                      # 文本：bar信息
+        self.__text_main_indicators    = pg.TextItem('lastIndicatorsInfo', anchor=(1, 0))   # 文本：主图指标
+        self.__text_sub_indicators = pg.TextItem('lastSubIndicatorsInfo', anchor=(1, 0))    # 文本： 副图指标
+        self.__textVolume = pg.TextItem('lastBarVolume', anchor=(1,0))                      # 文本: 成交量
+
+        self.__textDate.setZValue(2)
+        self.__textInfo.setZValue(2)
+        self.__text_main_indicators.setZValue(2)
+        self.__text_sub_indicators.setZValue(2)
+        self.__textVolume.setZValue(2)
+        self.__textInfo.border = pg.mkPen(color=(230, 255, 0, 255), width=1.2)
+        
+        for i in range(3):
+            self.textPrices[i].setZValue(2)
+            self.vLines[i].setPos(0)
+            self.hLines[i].setPos(0)
+            self.vLines[i].setZValue(0)
+            self.hLines[i].setZValue(0)
+            self.views[i].addItem(self.vLines[i])
+            self.views[i].addItem(self.hLines[i])
+            self.views[i].addItem(self.textPrices[i])
+        
+        self.views[0].addItem(self.__textInfo, ignoreBounds=True)     
+        self.views[0].addItem(self.__text_main_indicators, ignoreBounds=True)
+
+        # 添加成交量的提示信息到 volume view
+        if self.master.display_vol:
+            self.views[1].addItem(self.__textVolume, ignoreBounds=True)
+
+        # 添加 副图指标/日期信息到 副图
+        if self.master.display_sub:
+            self.views[2].addItem(self.__textDate, ignoreBounds=True)
+            self.views[2].addItem(self.__text_sub_indicators, ignoreBounds=True)
+        else:
+            # 没有启用副图，日期信息放在主图
+            self.views[0].addItem(self.__textDate, ignoreBounds=True)
+
+        self.proxy = pg.SignalProxy(self.__view.scene().sigMouseMoved, rateLimit=360, slot=self.__mouseMoved)        
+        # 跨线程刷新界面支持
+        self.signal.connect(self.update)
+        self.signalInfo.connect(self.plotInfo)
+
+    #----------------------------------------------------------------------
+    def update(self, pos):
+        """刷新界面显示"""
+        try:
+            xAxis, yAxis = pos
+            xAxis, yAxis = (self.xAxis, self.yAxis) if xAxis is None else (xAxis, yAxis)
+            self.moveTo(xAxis, yAxis)
+        except Exception as ex:
+            print(u'Crosshair.update() exception:{},trace:{}'.format(str(ex), traceback.format_exc()))
+        
+    #----------------------------------------------------------------------
+    def __mouseMoved(self,evt):
+        """鼠标移动回调"""
+        try:
+            pos = evt[0]
+            self.rects = [self.views[i].sceneBoundingRect() for i in range(3)]
+            for i in range(3):
+                self.showHLine[i] = False
+                if i == 1 and not self.master.display_vol:
+                    continue
+
+                if i == 2 and not self.master.display_sub:
+                    continue
+
+                if self.rects[i].contains(pos):
+                    mousePoint = self.views[i].vb.mapSceneToView(pos)
+                    xAxis = mousePoint.x()
+                    yAxis = mousePoint.y()
+                    self.yAxises[i] = yAxis
+                    self.showHLine[i] = True
+                    self.moveTo(xAxis, yAxis)
+        except Exception as ex:
+            print(u'_mouseMove() exception:{},trace:{}'.format(str(ex), traceback.format_exc()))
+
+    #----------------------------------------------------------------------
+    def moveTo(self, xAxis, yAxis):
+        """
+        移动
+        :param xAxis:
+        :param yAxis:
+        :return:
+        """
+        try:
+            xAxis,yAxis = (self.xAxis,self.yAxis) if xAxis is None else (int(xAxis),yAxis)
+            self.rects  = [self.views[i].sceneBoundingRect() for i in range(3)]
+            if not xAxis or not yAxis:
+                return
+            self.xAxis = xAxis
+            self.yAxis = yAxis
+            self.vhLinesSetXY(xAxis,yAxis)
+            self.plotInfo(xAxis,yAxis)
+            self.master.pi_volume.update()
+        except Exception as ex:
+            print(u'_mouseMove() exception:{},trace:{}'.format(str(ex), traceback.format_exc()))
+    #----------------------------------------------------------------------
+    def vhLinesSetXY(self,xAxis, yAxis):
+        """水平和竖线位置设置"""
+        for i in range(3):
+            self.vLines[i].setPos(xAxis)
+            if self.showHLine[i]:
+                self.hLines[i].setPos(yAxis if i==0 else self.yAxises[i])
+                self.hLines[i].show()
+            else:
+                self.hLines[i].hide()
+
+    #----------------------------------------------------------------------
+    def plotInfo(self, xAxis, yAxis):
+        """
+        被嵌入的plotWidget在需要的时候通过调用此方法显示K线信息
+        """
+        if self.datas is None or xAxis >= len(self.datas):
+            return
+
+        tickDatetime = None
+        openPrice = 0
+        closePrice = 0
+        highPrice = 0
+        lowPrice = 0
+        preClosePrice = 0
+        volume = 0
+        openInterest = 0
+
+        try:
+            # 获取K线数据
+            data            = self.datas[xAxis]
+            lastdata        = self.datas[xAxis-1]
+            tickDatetime    = pd.to_datetime(data['datetime'])
+            openPrice       = data['open']
+            closePrice      = data['close']
+            lowPrice        = data['low']
+            highPrice       = data['high']
+            volume          = int(data['volume'])
+            openInterest    = int(data['openInterest'])
+            preClosePrice   = lastdata['close']
+
+        except Exception as ex:
+            print(u'exception:{},trace:{}'.format(str(ex), traceback.format_exc()))
+            return
+
+
+        if( isinstance(tickDatetime, dt.datetime)):
+            datetimeText = dt.datetime.strftime(tickDatetime, '%Y-%m-%d %H:%M:%S')
+            dateText     = dt.datetime.strftime(tickDatetime, '%Y-%m-%d')
+            timeText     = dt.datetime.strftime(tickDatetime, '%H:%M:%S')
+        else:
+            datetimeText = ""
+            dateText     = ""
+            timeText     = ""
+
+        # 显示所有的主图技术指标
+        html = u'<div style="text-align: right">'
+        for indicator in self.master.main_indicator_data:
+            val   = self.master.main_indicator_data[indicator][xAxis]
+            col   = self.master.main_indicator_colors[indicator]
+            html += u'<span style="color: %s;  font-size: 18px;">&nbsp;&nbsp;%s：%.2f</span>' %(col,indicator,val)
+        html += u'</div>'
+        self.__text_main_indicators.setHtml(html)
+
+        # 显示所有的主图技术指标
+        html = u'<div style="text-align: right">'
+        for indicator in self.master.sub_indicator_data:
+            val   = self.master.sub_indicator_data[indicator][xAxis]
+            col   = self.master.sub_indicator_colors[indicator]
+            html += u'<span style="color: %s;  font-size: 18px;">&nbsp;&nbsp;%s：%.2f</span>' %(col,indicator,val)
+        html += u'</div>'
+        self.__text_sub_indicators.setHtml(html)
+
+        # 和上一个收盘价比较，决定K线信息的字符颜色
+        cOpen     = 'red' if openPrice  > preClosePrice else 'green'
+        cClose    = 'red' if closePrice > preClosePrice else 'green'
+        cHigh     = 'red' if highPrice  > preClosePrice else 'green'
+        cLow      = 'red' if lowPrice   > preClosePrice else 'green'
+            
+        self.__textInfo.setHtml(
+                            u'<div style="text-align: center; background-color:#000">\
+                                <span style="color: white;  font-size: 16px;">日期</span><br>\
+                                <span style="color: yellow; font-size: 16px;">%s</span><br>\
+                                <span style="color: white;  font-size: 16px;">时间</span><br>\
+                                <span style="color: yellow; font-size: 16px;">%s</span><br>\
+                                <span style="color: white;  font-size: 16px;">价格</span><br>\
+                                <span style="color: %s;     font-size: 16px;">(开) %.3f</span><br>\
+                                <span style="color: %s;     font-size: 16px;">(高) %.3f</span><br>\
+                                <span style="color: %s;     font-size: 16px;">(低) %.3f</span><br>\
+                                <span style="color: %s;     font-size: 16px;">(收) %.3f</span><br>\
+                                <span style="color: white;  font-size: 16px;">成交量</span><br>\
+                                <span style="color: yellow; font-size: 16px;">(量) %d</span><br>\
+                            </div>'\
+                                % (dateText,timeText,cOpen,openPrice,cHigh,highPrice,\
+                                    cLow,lowPrice,cClose,closePrice,volume))
+        self.__textDate.setHtml(
+                            '<div style="text-align: center">\
+                                <span style="color: yellow; font-size: 12px;">%s</span>\
+                            </div>'\
+                                % (datetimeText))   
+
+        self.__textVolume.setHtml(
+                            '<div style="text-align: right">\
+                                <span style="color: white; font-size: 12px;">VOL : %.3f</span>\
+                            </div>'\
+                                % (volume))   
+        # 坐标轴宽度
+        rightAxisWidth = self.views[0].getAxis('right').width()
+        bottomAxisHeight = self.views[2].getAxis('bottom').height()           
+        offset = QtCore.QPointF(rightAxisWidth, bottomAxisHeight)
+
+        # 各个顶点
+        t1 = [None, None, None]
+        br = [None, None, None]
+        t1[0] = self.views[0].vb.mapSceneToView(self.rects[0].topLeft())
+        br[0] = self.views[0].vb.mapSceneToView(self.rects[0].bottomRight() - offset)
+
+        if self.master.display_vol:
+            t1[1] = self.views[1].vb.mapSceneToView(self.rects[1].topLeft())
+            br[1] = self.views[1].vb.mapSceneToView(self.rects[1].bottomRight() - offset)
+        if self.master.display_sub:
+            t1[2] = self.views[2].vb.mapSceneToView(self.rects[2].topLeft())
+            br[2] = self.views[2].vb.mapSceneToView(self.rects[2].bottomRight() - offset)
+
+
+        # 显示价格
+        for i in range(3):
+            if self.showHLine[i] and t1[i] is not None and br[i] is not None:
+                self.textPrices[i].setHtml(
+                        '<div style="text-align: right">\
+                             <span style="color: yellow; font-size: 18px;">\
+                               %0.3f\
+                             </span>\
+                         </div>'\
+                        % (yAxis if i==0 else self.yAxises[i]))   
+                self.textPrices[i].setPos(br[i].x(),yAxis if i==0 else self.yAxises[i])
+                self.textPrices[i].show()
+            else:
+                self.textPrices[i].hide()
+
+        
+        # 设置坐标
+        self.__textInfo.setPos(t1[0])
+        self.__text_main_indicators.setPos(br[0].x(), t1[0].y())
+        if self.master.display_sub:
+            self.__text_sub_indicators.setPos(br[2].x(), t1[2].y())
+        if self.master.display_vol:
+            self.__textVolume.setPos(br[1].x(),t1[1].y())
+
+        # 修改对称方式防止遮挡
+        self.__textDate.anchor = Point((1,1)) if xAxis > self.master.index else Point((0,1))
+        if br[2] is not None:
+            self.__textDate.setPos(xAxis, br[2].y())
+        elif br[1] is not None:
+            self.__textDate.setPos(xAxis, br[1].y())
+        else:
+            self.__textDate.setPos(xAxis, br[0].y())

vnpy/trader/uiKLine/uiMulti4KLine.py

@@ -0,0 +1,157 @@
+# -*- coding: utf-8 -*-
+"""
+多周期显示K线，
+时间点同步
+华富资产/李来佳
+"""
+
+import sys
+import os
+import ctypes
+import platform
+system = platform.system()
+
+# 将repostory的目录，作为根目录，添加到系统环境中。
+ROOT_PATH = os.path.abspath(os.path.join(os.path.dirname(__file__), '..' , '..'))
+sys.path.append(ROOT_PATH)
+
+
+from vnpy.trader.uiKLine.uiCrosshair import Crosshair
+from vnpy.trader.uiKLine.uiKLine import  *
+
+
+class GridKline(QtWidgets.QWidget):
+
+    def __init__(self, parent=None):
+        self.parent = parent
+        super(GridKline, self).__init__(parent)
+
+        self.periods = ['m30', 'h1', 'h2', 'd']
+        self.kline_dict = {}
+
+        self.initUI()
+
+    def initUI(self):
+        gridLayout = QtWidgets.QGridLayout()
+
+        for period_name in self.periods:
+            canvas = KLineWidget(display_vol=False, display_sub=True)
+            canvas.show()
+            canvas.KLtitle.setText('{}'.format(period_name), size='18pt')
+            canvas.title = '{}'.format(period_name)
+            canvas.add_indicator(indicator='ma5', is_main=True)
+            canvas.add_indicator(indicator='ma10', is_main=True)
+            canvas.add_indicator(indicator='ma18', is_main=True)
+            canvas.add_indicator(indicator='sk', is_main=False)
+            canvas.add_indicator(indicator='sd', is_main=False)
+            self.kline_dict[period_name] = canvas
+            # 注册重定向事件
+            canvas.relocate_notify_func = self.onRelocate
+
+        gridLayout.addWidget(self.kline_dict['m30'], 0, 1)
+        gridLayout.addWidget(self.kline_dict['h1'], 0, 2)
+        gridLayout.addWidget(self.kline_dict['h2'], 1, 1)
+        gridLayout.addWidget(self.kline_dict['d'], 1, 2)
+
+        self.setLayout(gridLayout)
+
+        self.show()
+
+        self.load_multi_kline()
+
+    # ----------------------------------------------------------------------
+    def load_multi_kline(self):
+        """加载多周期窗口"""
+
+        try:
+            for period_name in self.periods:
+                canvas = self.kline_dict.get(period_name,None)
+                if canvas is not None:
+                    df = pd.read_csv('I99_{}.csv'.format(period_name))
+                    df = df.set_index(pd.DatetimeIndex(df['datetime']))
+                    canvas.loadData(df, main_indicators=['ma5', 'ma10', 'ma18'], sub_indicators=['sk', 'sd'])
+
+            # 载入 回测引擎生成的成交记录
+            trade_list_file = 'TradeList.csv'
+            if os.path.exists(trade_list_file):
+                df_trade = pd.read_csv(trade_list_file)
+                self.kline_dict['h1'].add_signals(df_trade)
+
+            # 载入策略生成的交易事务过程
+            tns_file = 'tns.csv'
+            if os.path.exists(tns_file):
+                df_tns = pd.read_csv(tns_file)
+                self.kline_dict['h2'].add_trans_df(df_tns)
+                self.kline_dict['d'].add_trans_df(df_tns)
+
+
+        except Exception as ex:
+            traceback.print_exc()
+            QtWidgets.QMessageBox.warning(self, 'Exception', u'Load data Exception',
+                                          QtWidgets.QMessageBox.Cancel,
+                                          QtWidgets.QMessageBox.NoButton)
+
+            return
+
+    def onRelocate(self,window_id, t_value, count_k):
+        """
+        重定位所有周期的时间
+        :param window_id:
+        :param t_value:
+        :return:
+        """
+        for period_name in self.periods:
+            try:
+                canvas = self.kline_dict.get(period_name, None)
+                if canvas is not None:
+                    canvas.relocate(window_id,t_value, count_k)
+            except Exception as ex:
+                traceback.print_exc()
+########################################################################
+# 功能测试
+########################################################################
+
+from vnpy.trader.uiQt import createQApp
+from vnpy.trader.vtFunction import loadIconPath
+
+
+def  display_multi_grid():
+
+    qApp = createQApp()
+    qApp.setWindowIcon(QtGui.QIcon(loadIconPath('dashboard.ico')))
+    w = GridKline()
+    w.showMaximized()
+    sys.exit(qApp.exec_())
+
+if __name__ == '__main__':
+
+#
+    ## 界面设置
+    #cfgfile = QtCore.QFile('css.qss')
+    #cfgfile.open(QtCore.QFile.ReadOnly)
+    #styleSheet = cfgfile.readAll()
+    #styleSheet = str(styleSheet)
+    #qApp.setStyleSheet(styleSheet)
+#
+    # K线界面
+    try:
+        #ui = KLineWidget(display_vol=False,display_sub=True)
+        #ui.show()
+        #ui.KLtitle.setText('btc(H2)',size='20pt')
+        #ui.add_indicator(indicator='ma5', is_main=True)
+        #ui.add_indicator(indicator='ma10', is_main=True)
+        #ui.add_indicator(indicator='ma18', is_main=True)
+        #ui.add_indicator(indicator='sk',is_main=False)
+        #ui.add_indicator(indicator='sd', is_main=False)
+        #ui.loadData(pd.DataFrame.from_csv('data/btc_h2.csv'), main_indicators=['ma5','ma10','ma18'], sub_indicators=['sk','sd'])
+
+        #ui = MultiKline(parent=app)
+        #ui.show()
+
+        #app.exec_()
+    #
+
+        display_multi_grid()
+
+    except Exception as ex:
+        print(u'exception:{},trace:{}'.format(str(ex), traceback.format_exc()))

vnpy/trader/vtFunction.py

@@ -11,7 +11,23 @@ from datetime import datetime
 import importlib
 
 MAX_NUMBER = 10000000000000
-MAX_DECIMAL = 4
+MAX_DECIMAL = 8
+
+
+def floatToStr(float_str):
+    """格式化显示浮点字符串，去除后面的0"""
+    if '.' in float_str:
+        llen = len(float_str)
+        if llen > 0:
+            for i in range(llen):
+                vv = llen - i - 1
+                if float_str[vv] not in ['.', '0']:
+                    return float_str[:vv + 1]
+                elif float_str[vv] in ['.']:
+                    return float_str[:vv]
+        return float_str
+    else:
+        return float_str
 
 # ----------------------------------------------------------------------
 def safeUnicode(value):
@@ -25,7 +41,7 @@ def safeUnicode(value):
     if type(value) is float:
         d = decimal.Decimal(str(value))
         if abs(d.as_tuple().exponent) > MAX_DECIMAL:
-            value = round(value, ndigits=MAX_DECIMAL)
+            value = round(float(value), ndigits=MAX_DECIMAL)
 
     return value
 

vnpy/trader/vtObject.py

@@ -312,6 +312,7 @@ class VtOrderReq(object):
         """Constructor"""
         self.symbol = EMPTY_STRING  # 代码
         self.exchange = EMPTY_STRING  # 交易所
+        self.vtSymbol = EMPTY_STRING  # VT合约代码
         self.price = EMPTY_FLOAT  # 价格
         self.volume = EMPTY_FLOAT  # 数量
 
@@ -338,6 +339,7 @@ class VtCancelOrderReq(object):
         """Constructor"""
         self.symbol = EMPTY_STRING  # 代码
         self.exchange = EMPTY_STRING  # 交易所
+        self.vtSymbol = EMPTY_STRING  # VT合约代码
 
         # 以下字段主要和CTP、LTS类接口相关
         self.orderID = EMPTY_STRING  # 报单号