[Mod] complete test of algo trading function

vnpy/app/spread_trading/algo.py

@@ -1,5 +1,4 @@
 from typing import Any
-from math import floor, ceil
 
 from vnpy.trader.constant import Direction
 from vnpy.trader.object import (TickData, OrderData, TradeData)
@@ -35,6 +34,10 @@ class SpreadTakerAlgo(SpreadAlgoTemplate):
 
     def on_tick(self, tick: TickData):
         """"""
+        # Return if tick not inited
+        if not self.spread.bid_volume or not self.spread.ask_volume:
+            return
+
         # Return if there are any existing orders
         if not self.check_order_finished():
             return
@@ -114,7 +117,7 @@ class SpreadTakerAlgo(SpreadAlgoTemplate):
 
         # Calculate passive leg target volume and do hedge
         for leg in self.spread.passive_legs:
-            passive_traded = self.leg_orders[leg.vt_symbol]
+            passive_traded = self.leg_traded[leg.vt_symbol]
             passive_target = self.spread.calculate_leg_volume(
                 leg.vt_symbol,
                 hedge_volume
@@ -133,6 +136,6 @@ class SpreadTakerAlgo(SpreadAlgoTemplate):
         if leg_volume > 0:
             price = leg_tick.ask_price_1 + leg_contract.pricetick * self.payup
             self.send_long_order(leg.vt_symbol, price, abs(leg_volume))
-        else:
+        elif leg_volume < 0:
             price = leg_tick.bid_price_1 - leg_contract.pricetick * self.payup
             self.send_short_order(leg.vt_symbol, price, abs(leg_volume))

vnpy/app/spread_trading/engine.py

@@ -11,15 +11,15 @@ from vnpy.trader.event import (
 from vnpy.trader.utility import load_json, save_json
 from vnpy.trader.object import (
     TickData, ContractData, LogData,
-    SubscribeRequest, OrderRequest, CancelRequest
+    SubscribeRequest, OrderRequest
 )
 from vnpy.trader.constant import Direction, Offset, OrderType
-from vnpy.trader.converter import OffsetConverter, PositionHolding
+from vnpy.trader.converter import OffsetConverter
 
 from .base import (
     LegData, SpreadData,
     EVENT_SPREAD_DATA, EVENT_SPREAD_ALGO,
-    EVENT_SPREAD_LOG, EVENT_SPREAD_STRATEGY
+    EVENT_SPREAD_LOG
 )
 from .template import SpreadAlgoTemplate
 from .algo import SpreadTakerAlgo
@@ -333,7 +333,8 @@ class SpreadAlgoEngine:
         price: float,
         volume: float,
         payup: int,
-        interval: int
+        interval: int,
+        lock: bool
     ) -> str:
         # Find spread object
         spread = self.spreads.get(spread_name, None)
@@ -355,7 +356,8 @@ class SpreadAlgoEngine:
             price,
             volume,
             payup,
-            interval
+            interval,
+            lock
         )
         self.algos[algoid] = algo
 
@@ -420,13 +422,13 @@ class SpreadAlgoEngine:
             offset = Offset.CLOSE
 
         original_req = OrderRequest(
-            contract.symbol,
+            symbol=contract.symbol,
-            contract.exchange,
+            exchange=contract.exchange,
-            direction,
+            direction=direction,
-            offset,
+            offset=offset,
-            OrderType.LIMIT,
+            type=OrderType.LIMIT,
-            price,
+            price=price,
-            volume
+            volume=volume
         )
 
         # Convert with offset converter

vnpy/app/spread_trading/template.py

@@ -55,6 +55,8 @@ class SpreadAlgoTemplate:
         self.leg_traded: Dict[str, float] = defaultdict(int)
         self.leg_orders: Dict[str, List[str]] = defaultdict(list)
 
+        self.write_log("算法已启动")
+
     def is_active(self):
         """"""
         if self.status not in [Status.CANCELLED, Status.ALLTRADED]:
@@ -105,6 +107,7 @@ class SpreadAlgoTemplate:
         if self.is_active():
             self.cancel_all_order()
             self.status = Status.CANCELLED
+            self.write_log("算法已停止")
             self.put_event()
 
     def update_tick(self, tick: TickData):
@@ -118,14 +121,25 @@ class SpreadAlgoTemplate:
         else:
             self.leg_traded[trade.vt_symbol] -= trade.volume
 
+        msg = "委托成交，{}，{}，{}@{}".format(
+            trade.vt_symbol,
+            trade.direction,
+            trade.volume,
+            trade.price
+        )
+        self.write_log(msg)
+
         self.calculate_traded()
+        self.put_event()
 
         self.on_trade(trade)
 
     def update_order(self, order: OrderData):
         """"""
         if not order.is_active():
-            self.leg_orders[order.vt_symbol].remove(order.vt_orderid)
+            vt_orderids = self.leg_orders[order.vt_symbol]
+            if order.vt_orderid in vt_orderids:
+                vt_orderids.remove(order.vt_orderid)
 
         self.on_order(order)
 
@@ -144,7 +158,7 @@ class SpreadAlgoTemplate:
 
     def write_log(self, msg: str):
         """"""
-        self.algo_engine.write_algo_log(msg)
+        self.algo_engine.write_algo_log(self, msg)
 
     def send_long_order(self, vt_symbol: str, price: float, volume: float):
         """"""
@@ -173,10 +187,18 @@ class SpreadAlgoTemplate:
 
         self.leg_orders[vt_symbol].extend(vt_orderids)
 
+        msg = "发出委托，{}，{}，{}@{}".format(
+            vt_symbol,
+            direction,
+            volume,
+            price
+        )
+        self.write_log(msg)
+
     def cancel_leg_order(self, vt_symbol: str):
         """"""
         for vt_orderid in self.leg_orders[vt_symbol]:
-            self.algo_engine.cancel_order(vt_orderid)
+            self.algo_engine.cancel_order(self, vt_orderid)
 
     def cancel_all_order(self):
         """"""
@@ -201,8 +223,10 @@ class SpreadAlgoTemplate:
             else:
                 if adjusted_leg_traded > 0:
                     self.traded = min(self.traded, adjusted_leg_traded)
-                else:
+                elif adjusted_leg_traded < 0:
                     self.traded = max(self.traded, adjusted_leg_traded)
+                else:
+                    self.traded = 0
 
         self.traded_volume = abs(self.traded)
 

vnpy/app/spread_trading/ui/widget.py

@@ -9,9 +9,8 @@ from vnpy.trader.ui import QtWidgets, QtCore, QtGui
 from vnpy.trader.ui.widget import (
     BaseMonitor, BaseCell,
     BidCell, AskCell,
-    TimeCell, MsgCell,
+    TimeCell, PnlCell,
-    PnlCell, DirectionCell,
+    DirectionCell, EnumCell,
-    EnumCell,
 )
 
 from ..engine import (
@@ -19,8 +18,7 @@ from ..engine import (
     APP_NAME,
     EVENT_SPREAD_DATA,
     EVENT_SPREAD_LOG,
-    EVENT_SPREAD_ALGO,
+    EVENT_SPREAD_ALGO
-    EVENT_SPREAD_STRATEGY
 )
 
 
@@ -153,7 +151,7 @@ class SpreadAlgoMonitor(BaseMonitor):
     headers = {
         "algoid": {"display": "算法", "cell": BaseCell, "update": False},
         "spread_name": {"display": "价差", "cell": BaseCell, "update": False},
-        "direction": {"display": "方向", "cell": EnumCell, "update": False},
+        "direction": {"display": "方向", "cell": DirectionCell, "update": False},
         "price": {"display": "价格", "cell": BaseCell, "update": False},
         "payup": {"display": "超价", "cell": BaseCell, "update": False},
         "volume": {"display": "数量", "cell": BaseCell, "update": False},
@@ -239,7 +237,7 @@ class SpreadAlgoDialog(QtWidgets.QDialog):
         form.addRow("数量", self.volume_line)
         form.addRow("超价", self.payup_line)
         form.addRow("间隔", self.interval_line)
-        form.addRow("锁仓", self.lock_line)
+        form.addRow("锁仓", self.lock_combo)
         form.addRow(button_start)
 
         self.setLayout(form)

vnpy/gateway/bitmex/bitmex_gateway.py

@@ -471,7 +471,10 @@ class BitmexRestApi(RestClient):
         headers = request.response.headers
 
         self.rate_limit_remaining = int(headers["x-ratelimit-remaining"])
-        self.rate_limit_sleep = int(headers.get("Retry-After", 0)) + 1      # 1 extra second sleep
+
+        self.rate_limit_sleep = int(headers.get("Retry-After", 0))
+        if self.rate_limit_sleep:
+            self.rate_limit_sleep += 1      # 1 extra second sleep
 
     def reset_rate_limit(self):
         """

vnpy/trader/constant.py

@@ -117,6 +117,7 @@ class Exchange(Enum):
     BINANCE = "BINANCE"
     COINBASE = "COINBASE"
 
+
 class Currency(Enum):
     """
     Currency.

vnpy/trader/ui/widget.py

@@ -158,7 +158,7 @@ class TimeCell(BaseCell):
         """
         if content is None:
             return
-            
+
         timestamp = content.strftime("%H:%M:%S")
 
         millisecond = int(content.microsecond / 1000)