[Mod] complete test of algo trading function
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vn.py
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80c9dfe378
@ -1,5 +1,4 @@
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from typing import Any
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from math import floor, ceil
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from vnpy.trader.constant import Direction
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from vnpy.trader.object import (TickData, OrderData, TradeData)
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@ -35,6 +34,10 @@ class SpreadTakerAlgo(SpreadAlgoTemplate):
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def on_tick(self, tick: TickData):
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""""""
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# Return if tick not inited
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if not self.spread.bid_volume or not self.spread.ask_volume:
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return
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# Return if there are any existing orders
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if not self.check_order_finished():
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return
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@ -114,7 +117,7 @@ class SpreadTakerAlgo(SpreadAlgoTemplate):
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# Calculate passive leg target volume and do hedge
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for leg in self.spread.passive_legs:
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passive_traded = self.leg_orders[leg.vt_symbol]
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passive_traded = self.leg_traded[leg.vt_symbol]
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passive_target = self.spread.calculate_leg_volume(
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leg.vt_symbol,
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hedge_volume
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@ -133,6 +136,6 @@ class SpreadTakerAlgo(SpreadAlgoTemplate):
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if leg_volume > 0:
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price = leg_tick.ask_price_1 + leg_contract.pricetick * self.payup
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self.send_long_order(leg.vt_symbol, price, abs(leg_volume))
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else:
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elif leg_volume < 0:
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price = leg_tick.bid_price_1 - leg_contract.pricetick * self.payup
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self.send_short_order(leg.vt_symbol, price, abs(leg_volume))
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@ -11,15 +11,15 @@ from vnpy.trader.event import (
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from vnpy.trader.utility import load_json, save_json
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from vnpy.trader.object import (
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TickData, ContractData, LogData,
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SubscribeRequest, OrderRequest, CancelRequest
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SubscribeRequest, OrderRequest
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)
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from vnpy.trader.constant import Direction, Offset, OrderType
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from vnpy.trader.converter import OffsetConverter, PositionHolding
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from vnpy.trader.converter import OffsetConverter
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from .base import (
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LegData, SpreadData,
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EVENT_SPREAD_DATA, EVENT_SPREAD_ALGO,
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EVENT_SPREAD_LOG, EVENT_SPREAD_STRATEGY
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EVENT_SPREAD_LOG
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)
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from .template import SpreadAlgoTemplate
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from .algo import SpreadTakerAlgo
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@ -333,7 +333,8 @@ class SpreadAlgoEngine:
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price: float,
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volume: float,
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payup: int,
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interval: int
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interval: int,
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lock: bool
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) -> str:
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# Find spread object
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spread = self.spreads.get(spread_name, None)
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@ -355,7 +356,8 @@ class SpreadAlgoEngine:
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price,
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volume,
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payup,
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interval
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interval,
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lock
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)
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self.algos[algoid] = algo
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@ -420,13 +422,13 @@ class SpreadAlgoEngine:
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offset = Offset.CLOSE
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original_req = OrderRequest(
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contract.symbol,
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contract.exchange,
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direction,
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offset,
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OrderType.LIMIT,
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price,
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volume
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symbol=contract.symbol,
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exchange=contract.exchange,
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direction=direction,
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offset=offset,
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type=OrderType.LIMIT,
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price=price,
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volume=volume
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)
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# Convert with offset converter
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@ -55,6 +55,8 @@ class SpreadAlgoTemplate:
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self.leg_traded: Dict[str, float] = defaultdict(int)
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self.leg_orders: Dict[str, List[str]] = defaultdict(list)
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self.write_log("算法已启动")
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def is_active(self):
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""""""
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if self.status not in [Status.CANCELLED, Status.ALLTRADED]:
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@ -105,6 +107,7 @@ class SpreadAlgoTemplate:
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if self.is_active():
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self.cancel_all_order()
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self.status = Status.CANCELLED
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self.write_log("算法已停止")
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self.put_event()
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def update_tick(self, tick: TickData):
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@ -118,14 +121,25 @@ class SpreadAlgoTemplate:
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else:
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self.leg_traded[trade.vt_symbol] -= trade.volume
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msg = "委托成交，{}，{}，{}@{}".format(
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trade.vt_symbol,
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trade.direction,
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trade.volume,
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trade.price
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)
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self.write_log(msg)
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self.calculate_traded()
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self.put_event()
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self.on_trade(trade)
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def update_order(self, order: OrderData):
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""""""
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if not order.is_active():
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self.leg_orders[order.vt_symbol].remove(order.vt_orderid)
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vt_orderids = self.leg_orders[order.vt_symbol]
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if order.vt_orderid in vt_orderids:
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vt_orderids.remove(order.vt_orderid)
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self.on_order(order)
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@ -144,7 +158,7 @@ class SpreadAlgoTemplate:
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def write_log(self, msg: str):
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""""""
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self.algo_engine.write_algo_log(msg)
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self.algo_engine.write_algo_log(self, msg)
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def send_long_order(self, vt_symbol: str, price: float, volume: float):
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""""""
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@ -173,10 +187,18 @@ class SpreadAlgoTemplate:
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self.leg_orders[vt_symbol].extend(vt_orderids)
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msg = "发出委托，{}，{}，{}@{}".format(
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vt_symbol,
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direction,
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volume,
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price
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)
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self.write_log(msg)
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def cancel_leg_order(self, vt_symbol: str):
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""""""
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for vt_orderid in self.leg_orders[vt_symbol]:
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self.algo_engine.cancel_order(vt_orderid)
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self.algo_engine.cancel_order(self, vt_orderid)
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def cancel_all_order(self):
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""""""
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@ -201,8 +223,10 @@ class SpreadAlgoTemplate:
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else:
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if adjusted_leg_traded > 0:
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self.traded = min(self.traded, adjusted_leg_traded)
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else:
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elif adjusted_leg_traded < 0:
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self.traded = max(self.traded, adjusted_leg_traded)
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else:
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self.traded = 0
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self.traded_volume = abs(self.traded)
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@ -9,9 +9,8 @@ from vnpy.trader.ui import QtWidgets, QtCore, QtGui
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from vnpy.trader.ui.widget import (
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BaseMonitor, BaseCell,
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BidCell, AskCell,
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TimeCell, MsgCell,
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PnlCell, DirectionCell,
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EnumCell,
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TimeCell, PnlCell,
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DirectionCell, EnumCell,
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)
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from ..engine import (
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@ -19,8 +18,7 @@ from ..engine import (
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APP_NAME,
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EVENT_SPREAD_DATA,
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EVENT_SPREAD_LOG,
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EVENT_SPREAD_ALGO,
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EVENT_SPREAD_STRATEGY
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EVENT_SPREAD_ALGO
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)
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@ -153,7 +151,7 @@ class SpreadAlgoMonitor(BaseMonitor):
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headers = {
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"algoid": {"display": "算法", "cell": BaseCell, "update": False},
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"spread_name": {"display": "价差", "cell": BaseCell, "update": False},
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"direction": {"display": "方向", "cell": EnumCell, "update": False},
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"direction": {"display": "方向", "cell": DirectionCell, "update": False},
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"price": {"display": "价格", "cell": BaseCell, "update": False},
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"payup": {"display": "超价", "cell": BaseCell, "update": False},
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"volume": {"display": "数量", "cell": BaseCell, "update": False},
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@ -239,7 +237,7 @@ class SpreadAlgoDialog(QtWidgets.QDialog):
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form.addRow("数量", self.volume_line)
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form.addRow("超价", self.payup_line)
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form.addRow("间隔", self.interval_line)
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form.addRow("锁仓", self.lock_line)
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form.addRow("锁仓", self.lock_combo)
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form.addRow(button_start)
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self.setLayout(form)
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@ -471,7 +471,10 @@ class BitmexRestApi(RestClient):
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headers = request.response.headers
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self.rate_limit_remaining = int(headers["x-ratelimit-remaining"])
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self.rate_limit_sleep = int(headers.get("Retry-After", 0)) + 1 # 1 extra second sleep
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self.rate_limit_sleep = int(headers.get("Retry-After", 0))
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if self.rate_limit_sleep:
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self.rate_limit_sleep += 1 # 1 extra second sleep
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def reset_rate_limit(self):
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"""
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@ -117,6 +117,7 @@ class Exchange(Enum):
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BINANCE = "BINANCE"
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COINBASE = "COINBASE"
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class Currency(Enum):
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"""
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Currency.
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@ -158,7 +158,7 @@ class TimeCell(BaseCell):
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"""
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if content is None:
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return
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timestamp = content.strftime("%H:%M:%S")
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millisecond = int(content.microsecond / 1000)
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