[bug fix] 修复数字货币精度，持仓
This commit is contained in:
msincenselee
parent
db6e107b95
commit
7f7f1e97ea
@ -41,7 +41,8 @@ from vnpy.trader.object import (
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TickData,
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OrderData,
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TradeData,
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ContractData
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ContractData,
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PositionData
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)
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from vnpy.trader.constant import (
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Exchange,
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@ -127,10 +128,6 @@ class BackTestingEngine(object):
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self.order_strategy_dict = {} # orderid 与 strategy的映射
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# 持仓缓存字典
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# key为vt_symbol，value为PositionBuffer对象
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self.pos_holding_dict = {}
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self.trade_count = 0 # 成交编号
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self.trade_dict = OrderedDict() # 用于统计成交收益时，还没处理得交易
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self.trades = OrderedDict() # 记录所有得成交记录
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@ -139,7 +136,7 @@ class BackTestingEngine(object):
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self.long_position_list = [] # 多单持仓
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self.short_position_list = [] # 空单持仓
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self.holdings = {} # 多空持仓
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self.positions = {} # 账号持仓，对象为PositionData
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# 当前最新数据，用于模拟成交用
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self.gateway_name = u'BackTest'
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@ -388,13 +385,13 @@ class BackTestingEngine(object):
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def get_exchange(self, symbol: str):
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return self.symbol_exchange_dict.get(symbol, Exchange.LOCAL)
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def get_position_holding(self, vt_symbol: str, gateway_name: str = ''):
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""" 查询合约在账号的持仓（包含多空）"""
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def get_position(self, vt_symbol: str, direction: Direction, gateway_name: str = ''):
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""" 查询合约在账号的持仓"""
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if not gateway_name:
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gateway_name = self.gateway_name
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k = f'{gateway_name}.{vt_symbol}'
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holding = self.holdings.get(k, None)
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if not holding:
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k = f'{gateway_name}.{vt_symbol}.{direction.value}'
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pos = self.positions.get(k, None)
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if not pos:
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contract = self.get_contract(vt_symbol)
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if not contract:
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self.write_log(f'{vt_symbol}合约信息不存在，构造一个')
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@ -413,9 +410,14 @@ class BackTestingEngine(object):
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size=self.get_size(vt_symbol),
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pricetick=self.get_price_tick(vt_symbol),
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margin_rate=self.get_margin_rate(vt_symbol))
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holding = PositionHolding(contract)
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self.holdings[k] = holding
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return holding
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pos = PositionData(
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gateway_name=gateway_name,
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symbol=contract.symbol,
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exchange=contract.exchange,
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direction=direction
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)
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self.positions[k] = pos
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return pos
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def set_name(self, test_name):
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"""
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@ -1081,9 +1083,13 @@ class BackTestingEngine(object):
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self.append_trade(trade)
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# 更新持仓缓存数据
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k = '.'.join([self.gateway_name, trade.vt_symbol])
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holding = self.get_position_holding(trade.vt_symbol, self.gateway_name)
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holding.update_trade(trade)
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pos = self.get_position(vt_symbol=trade.vt_symbol,direction=Direction.NET)
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pre_volume = pos.volume
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if trade.direction == Direction.LONG:
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pos.volume = round(pos.volume + trade.volume, 7)
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else:
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pos.volume = round(pos.volume - trade.volume, 7)
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self.write_log(f'{trade.vt_symbol} volume:{pre_volume} => {pos.volume}')
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strategy.on_trade(trade)
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@ -1160,22 +1166,27 @@ class BackTestingEngine(object):
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trade.strategy_name = strategy.strategy_name
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# 更新持仓缓存数据
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k = '.'.join([self.gateway_name, trade.vt_symbol])
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holding = self.get_position_holding(trade.vt_symbol, self.gateway_name)
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holding.update_trade(trade)
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strategy.on_trade(trade)
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pos = self.get_position(vt_symbol=trade.vt_symbol, direction=Direction.NET)
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pre_volume = pos.volume
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if trade.direction == Direction.LONG:
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pos.volume = round(pos.volume + trade.volume, 7)
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else:
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pos.volume = round(pos.volume - trade.volume, 7)
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self.write_log(f'{trade.vt_symbol} volume:{pre_volume} => {pos.volume}')
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self.trade_dict[trade.vt_tradeid] = trade
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self.trades[trade.vt_tradeid] = copy.copy(trade)
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self.write_log(u'vt_trade_id:{0}'.format(trade.vt_tradeid))
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self.write_log(u'{} : crossLimitOrder: TradeId:{}, posBuffer = {}'.format(trade.strategy_name,
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self.write_log(u'{} : crossLimitOrder: TradeId:{}'.format(trade.strategy_name,
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trade.tradeid,
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holding.to_str()))
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))
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# 写入交易记录
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self.append_trade(trade)
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strategy.on_trade(trade)
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# 更新资金曲线
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fund_kline = self.get_fund_kline(trade.strategy_name)
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if fund_kline:
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@ -1193,20 +1204,6 @@ class BackTestingEngine(object):
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# 实时计算模式
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self.realtime_calculate()
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def update_pos_buffer(self):
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"""更新持仓信息,把今仓=>昨仓"""
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for k, v in self.pos_holding_dict.items():
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if v.long_td > 0:
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self.write_log(u'调整多单持仓:今仓{}=> 0 昨仓{} => 昨仓:{}'.format(v.long_td, v.long_yd, v.long_pos))
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v.long_td = 0
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v.longYd = v.long_pos
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if v.short_td > 0:
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self.write_log(u'调整空单持仓:今仓{}=> 0 昨仓{} => 昨仓:{}'.format(v.short_td, v.short_yd, v.short_pos))
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v.short_td = 0
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v.short_yd = v.short_pos
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def get_data_path(self):
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"""
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获取数据保存目录
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@ -1842,19 +1839,6 @@ class BackTestingEngine(object):
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else:
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self.write_log(msg)
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# 今仓 =》 昨仓
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for holding in self.holdings.values():
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if holding.long_td > 0:
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self.write_log(
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f'{holding.vt_symbol} 多单今仓{holding.long_td},昨仓:{holding.long_yd}=> 昨仓:{holding.long_pos}')
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holding.long_td = 0
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holding.long_yd = holding.long_pos
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if holding.short_td > 0:
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self.write_log(
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f'{holding.vt_symbol} 空单今仓{holding.short_td},昨仓:{holding.short_yd}=> 昨仓:{holding.short_pos}')
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holding.short_td = 0
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holding.short_yd = holding.short_pos
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# ---------------------------------------------------------------------
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def export_trade_result(self):
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"""
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@ -138,7 +138,7 @@ class CtaEngine(BaseEngine):
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self.vt_tradeids = set() # for filtering duplicate trade
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self.holdings = {}
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self.positions = {}
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self.last_minute = None
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@ -243,9 +243,6 @@ class CtaEngine(BaseEngine):
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""""""
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order = event.data
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holding = self.get_position_holding(order.vt_symbol, order.gateway_name)
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holding.update_order(order)
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strategy = self.orderid_strategy_map.get(order.vt_orderid, None)
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if not strategy:
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return
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@ -282,9 +279,6 @@ class CtaEngine(BaseEngine):
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return
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self.vt_tradeids.add(trade.vt_tradeid)
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holding = self.get_position_holding(trade.vt_symbol, trade.gateway_name)
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holding.update_trade(trade)
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strategy = self.orderid_strategy_map.get(trade.vt_orderid, None)
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if not strategy:
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return
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@ -341,8 +335,7 @@ class CtaEngine(BaseEngine):
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""""""
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position = event.data
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holding = self.get_position_holding(position.vt_symbol, position.gateway_name)
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holding.update_position(position)
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self.positions.update({position.vt_positionid: position})
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def check_unsubscribed_symbols(self):
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"""检查未订阅合约"""
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@ -786,7 +779,7 @@ class CtaEngine(BaseEngine):
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contract = self.main_engine.get_contract(vt_symbol)
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if contract is None:
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self.write_error(f'查询不到{vt_symbol}合约信息')
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return 0.1
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return 0.001
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return contract.pricetick
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@ -796,7 +789,7 @@ class CtaEngine(BaseEngine):
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contract = self.main_engine.get_contract(vt_symbol)
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if contract is None:
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self.write_error(f'查询不到{vt_symbol}合约信息')
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return 1
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return 0.01
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return contract.min_volume
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@ -832,22 +825,14 @@ class CtaEngine(BaseEngine):
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def get_position(self, vt_symbol: str, direction: Direction, gateway_name: str = ''):
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""" 查询合约在账号的持仓,需要指定方向"""
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contract = self.main_engine.get_contract(vt_symbol)
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if contract:
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if contract.gateway_name and not gateway_name:
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gateway_name = contract.gateway_name
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vt_position_id = f"{gateway_name}.{vt_symbol}.{direction.value}"
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return self.main_engine.get_position(vt_position_id)
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def get_position_holding(self, vt_symbol: str, gateway_name: str = ''):
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""" 查询合约在账号的持仓（包含多空）"""
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k = f'{gateway_name}.{vt_symbol}'
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holding = self.holdings.get(k, None)
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if not holding:
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symbol, exchange = extract_vt_symbol(vt_symbol)
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contract = self.main_engine.get_contract(vt_symbol)
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holding = PositionHolding(contract)
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self.holdings[k] = holding
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return holding
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def get_engine_type(self):
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""""""
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return self.engine_type
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@ -1498,19 +1483,15 @@ class CtaEngine(BaseEngine):
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compare_pos = dict() # vt_symbol: {'账号多单': xx, '账号空单':xxx, '策略空单':[], '策略多单':[]}
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for holding_key in list(self.holdings.keys()):
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for position in list(self.positions.values()):
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# gateway_name.symbol.exchange => symbol.exchange
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vt_symbol = '.'.join(holding_key.split('.')[-2:])
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vt_symbol = position.vt_symbol
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vt_symbols.add(vt_symbol)
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holding = self.holdings.get(holding_key, None)
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if holding is None:
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continue
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compare_pos[vt_symbol] = OrderedDict(
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{
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"账号空单": holding.short_pos,
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'账号多单': holding.long_pos,
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"账号空单": abs(position.volume) if position.volume < 0 else 0,
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'账号多单': position.volume if position.volume > 0 else 0,
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'策略空单': 0,
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'策略多单': 0,
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'空单策略': [],
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@ -279,8 +279,7 @@ class PortfolioTestingEngine(BackTestingEngine):
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# 第二个交易日,撤单
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self.cancel_orders()
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# 更新持仓缓存
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self.update_pos_buffer()
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gc_collect_days += 1
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if gc_collect_days >= 10:
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@ -997,7 +997,9 @@ class CtaFutureTemplate(CtaTemplate):
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"""
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self.write_log(u'执行事务平多仓位:{}'.format(grid.to_json()))
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self.account_pos = self.cta_engine.get_position_holding(self.vt_symbol)
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self.account_pos = self.cta_engine.get_position(
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vt_symbol=self.vt_symbol,
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direction=Direction.NET)
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if self.account_pos is None:
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self.write_error(u'无法获取{}得持仓信息'.format(self.vt_symbol))
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@ -1050,7 +1052,9 @@ class CtaFutureTemplate(CtaTemplate):
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"""
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self.write_log(u'执行事务平空仓位:{}'.format(grid.to_json()))
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self.account_pos = self.cta_engine.get_position_holding(self.vt_symbol)
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self.account_pos = self.cta_engine.get_position(
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vt_symbol=self.vt_symbol,
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direction=Direction.NET)
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if self.account_pos is None:
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self.write_error(u'无法获取{}得持仓信息'.format(self.vt_symbol))
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return False
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@ -1064,17 +1068,21 @@ class CtaFutureTemplate(CtaTemplate):
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# 发出cover委托
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if grid.traded_volume > 0:
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grid.volume -= grid.traded_volume
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grid.volume = round(grid.volume, 7)
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grid.traded_volume = 0
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grid.volume = round(grid.volume, 7)
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if 0 < abs(self.account_pos.short_pos) < grid.volume:
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self.write_error(u'当前{}的空单持仓:{}，不满足平仓目标:{}, 强制降低'
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if self.account_pos.volume >= 0:
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self.write_error(u'当前{}的净持仓:{}，不能平空单'
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.format(self.vt_symbol,
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self.account_pos.short_pos,
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self.account_pos.volume))
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return False
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if abs(self.account_pos.volume) < grid.volume:
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self.write_error(u'当前{}的净持仓:{}，不满足平仓目标:{}, 强制降低'
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.format(self.vt_symbol,
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self.account_pos.volume,
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grid.volume))
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grid.volume = abs(self.account_pos.short_pos)
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grid.volume = abs(self.account_pos.volume)
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vt_orderids = self.cover(
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price=cover_price,
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@ -77,11 +77,12 @@ class CtaLineBar(object):
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self.lineM = None # 1分钟K线
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lineMSetting = {}
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lineMSetting['name'] = u'M1'
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lineMSetting['interval'] = Interval.MINUTE
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lineMSetting['bar_interval'] = 60 # 1分钟对应60秒
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lineMSetting['inputEma1Len'] = 7 # EMA线1的周期
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lineMSetting['inputEma2Len'] = 21 # EMA线2的周期
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lineMSetting['inputBollLen'] = 20 # 布林特线周期
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lineMSetting['inputBollStdRate'] = 2 # 布林特线标准差
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lineMSetting['para_ema1_len'] = 7 # EMA线1的周期
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lineMSetting['para_ema2_len'] = 21 # EMA线2的周期
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lineMSetting['para_boll_len'] = 20 # 布林特线周期
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lineMSetting['para_boll_std_rate'] = 2 # 布林特线标准差
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lineMSetting['price_tick'] = self.price_tick # 最小条
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lineMSetting['underlying_symbol'] = self.underlying_symbol #商品短号
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self.lineM = CtaLineBar(self, self.onBar, lineMSetting)
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@ -207,7 +208,7 @@ class CtaLineBar(object):
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# 修正精度
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if self.price_tick < 1:
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exponent = decimal.Decimal(str(self.price_tick))
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self.round_n = max(abs(exponent.as_tuple().exponent), 4)
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self.round_n = max(abs(exponent.as_tuple().exponent) + 2, 4)
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# 导入卡尔曼过滤器
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if self.para_active_kf:
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@ -494,10 +494,13 @@ class BinancefRestApi(RestClient):
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for asset in data["assets"]:
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account = AccountData(
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accountid=asset["asset"],
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balance=float(asset["walletBalance"]),
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balance=float(asset["walletBalance"]) + float(asset["maintMargin"]),
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frozen=float(asset["maintMargin"]),
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holding_profit=float(asset['unrealizedProfit']),
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gateway_name=self.gateway_name
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)
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# 修正vnpy AccountData
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account.balance += account.holding_profit
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if account.balance:
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self.gateway.on_account(account)
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@ -516,69 +519,18 @@ class BinancefRestApi(RestClient):
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""""""
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for d in data:
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volume = float(d["positionAmt"])
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if volume > 0:
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long_position = PositionData(
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symbol=d["symbol"],
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exchange=Exchange.BINANCE,
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direction=Direction.LONG,
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volume=abs(volume),
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price=float(d["entryPrice"]),
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pnl=float(d["unRealizedProfit"]),
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gateway_name=self.gateway_name,
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)
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short_position = PositionData(
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symbol=d["symbol"],
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exchange=Exchange.BINANCE,
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direction=Direction.SHORT,
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volume=0,
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price=0,
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pnl=0,
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gateway_name=self.gateway_name,
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)
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elif volume < 0:
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long_position = PositionData(
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symbol=d["symbol"],
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exchange=Exchange.BINANCE,
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direction=Direction.LONG,
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volume=0,
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price=0,
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pnl=0,
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gateway_name=self.gateway_name,
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)
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short_position = PositionData(
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symbol=d["symbol"],
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exchange=Exchange.BINANCE,
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direction=Direction.SHORT,
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volume=abs(volume),
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price=float(d["entryPrice"]),
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pnl=float(d["unRealizedProfit"]),
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gateway_name=self.gateway_name,
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)
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else:
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long_position = PositionData(
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||||
symbol=d["symbol"],
|
||||
exchange=Exchange.BINANCE,
|
||||
direction=Direction.LONG,
|
||||
volume=0,
|
||||
price=0,
|
||||
pnl=0,
|
||||
gateway_name=self.gateway_name,
|
||||
)
|
||||
short_position = PositionData(
|
||||
symbol=d["symbol"],
|
||||
exchange=Exchange.BINANCE,
|
||||
direction=Direction.SHORT,
|
||||
volume=0,
|
||||
price=0,
|
||||
pnl=0,
|
||||
gateway_name=self.gateway_name,
|
||||
)
|
||||
|
||||
self.gateway.on_position(long_position)
|
||||
self.gateway.on_position(short_position)
|
||||
|
||||
# self.gateway.write_log("持仓信息查询成功")
|
||||
position = PositionData(
|
||||
symbol=d["symbol"],
|
||||
exchange=Exchange.BINANCE,
|
||||
direction=Direction.NET,
|
||||
volume=volume,
|
||||
price=float(d["entryPrice"]),
|
||||
pnl=float(d["unRealizedProfit"]),
|
||||
gateway_name=self.gateway_name,
|
||||
)
|
||||
self.gateway.on_position(position)
|
||||
|
||||
# self.gateway.write_log("持仓信息查询成功")
|
||||
|
||||
def on_query_order(self, data: dict, request: Request) -> None:
|
||||
""""""
|
||||
@ -831,15 +783,34 @@ class BinancefTradeWebsocketApi(WebsocketClient):
|
||||
|
||||
def on_account(self, packet: dict) -> None:
|
||||
""""""
|
||||
holding_pnl = 0
|
||||
for pos_data in packet["a"]["P"]:
|
||||
print(pos_data)
|
||||
volume = float(pos_data["pa"])
|
||||
position = PositionData(
|
||||
symbol=pos_data["s"],
|
||||
exchange=Exchange.BINANCE,
|
||||
direction=Direction.NET,
|
||||
volume=abs(volume),
|
||||
price=float(pos_data["ep"]),
|
||||
pnl=float(pos_data["cr"]),
|
||||
gateway_name=self.gateway_name,
|
||||
)
|
||||
holding_pnl += float(pos_data['up'])
|
||||
self.gateway.on_position(position)
|
||||
|
||||
for acc_data in packet["a"]["B"]:
|
||||
account = AccountData(
|
||||
accountid=acc_data["a"],
|
||||
balance=float(acc_data["wb"]),
|
||||
balance=round(float(acc_data["wb"]), 7),
|
||||
frozen=float(acc_data["wb"]) - float(acc_data["cw"]),
|
||||
holding_profit=round(holding_pnl, 7),
|
||||
gateway_name=self.gateway_name
|
||||
)
|
||||
|
||||
if account.balance:
|
||||
account.balance += account.holding_profit
|
||||
account.available = float(acc_data["cw"])
|
||||
self.gateway.on_account(account)
|
||||
|
||||
for pos_data in packet["a"]["P"]:
|
||||
|
||||
@ -130,11 +130,11 @@ class PositionHolding:
|
||||
if position.direction == Direction.LONG:
|
||||
self.long_pos = position.volume
|
||||
self.long_yd = position.yd_volume
|
||||
self.long_td = self.long_pos - self.long_yd
|
||||
self.long_td = round(self.long_pos - self.long_yd, 7)
|
||||
else:
|
||||
self.short_pos = position.volume
|
||||
self.short_yd = position.yd_volume
|
||||
self.short_td = self.short_pos - self.short_yd
|
||||
self.short_td = round(self.short_pos - self.short_yd, 7)
|
||||
|
||||
def update_order(self, order: OrderData) -> None:
|
||||
""""""
|
||||
@ -211,7 +211,7 @@ class PositionHolding:
|
||||
if order.offset == Offset.OPEN:
|
||||
continue
|
||||
|
||||
frozen = order.volume - order.traded
|
||||
frozen = round(order.volume - order.traded, 7)
|
||||
|
||||
if order.direction == Direction.LONG:
|
||||
if order.offset == Offset.CLOSETODAY:
|
||||
@ -238,8 +238,8 @@ class PositionHolding:
|
||||
- self.long_td)
|
||||
self.long_td_frozen = self.long_td
|
||||
|
||||
self.long_pos_frozen = self.long_td_frozen + self.long_yd_frozen
|
||||
self.short_pos_frozen = self.short_td_frozen + self.short_yd_frozen
|
||||
self.long_pos_frozen = round(self.long_td_frozen + self.long_yd_frozen, 7)
|
||||
self.short_pos_frozen = round(self.short_td_frozen + self.short_yd_frozen, 7)
|
||||
|
||||
def convert_order_request_shfe(self, req: OrderRequest) -> List[OrderRequest]:
|
||||
"""上期所，委托单拆分"""
|
||||
|
||||
@ -750,7 +750,7 @@ class TradingWidget(QtWidgets.QWidget):
|
||||
self.return_label.setText(f"{r:.2f}%")
|
||||
|
||||
if tick.bid_price_2:
|
||||
self.bp2_label.setText(str(round(tick.bid_price_2), 7))
|
||||
self.bp2_label.setText(str(round(tick.bid_price_2, 7)))
|
||||
self.bv2_label.setText(str(round(tick.bid_volume_2, 7)))
|
||||
self.ap2_label.setText(str(round(tick.ask_price_2, 7)))
|
||||
self.av2_label.setText(str(round(tick.ask_volume_2, 7)))
|
||||
|
||||
Loading…
Reference in New Issue
Block a user