[bug fix] 修复ctp的标准套利合约last_price为空；仓位比对增加参数判断
This commit is contained in:
msincenselee
parent
cf97252314
commit
81b7bf479e
@ -237,8 +237,9 @@ class CtaEngine(BaseEngine):
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# 推送到事件
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self.put_all_strategy_pos_event(all_strategy_pos)
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for strategy in self.strategies.values():
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if strategy.inited:
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for strategy_name in list(self.strategies.keys()):
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strategy = self.strategies.get(strategy_name, None)
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if strategy and strategy.inited:
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self.call_strategy_func(strategy, strategy.on_timer)
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@ -993,67 +993,62 @@ class CtaStockTemplate(CtaTemplate):
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self.tns_finish_sell_grid(grid)
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continue
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# 定位到首个满足条件的网格，跳出循环
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# 定位到首个满足条件的网格
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ordering_grid = grid
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break
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# 没有满足条件的网格
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if ordering_grid is None:
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return
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acc_symbol_pos = self.cta_engine.get_position(
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vt_symbol=ordering_grid.vt_symbol,
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direction=Direction.NET)
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if acc_symbol_pos is None:
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self.write_error(f'{self.strategy_name}当前{ordering_grid.vt_symbol}持仓查询不到, 无法执行卖出')
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continue
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acc_symbol_pos = self.cta_engine.get_position(
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vt_symbol=ordering_grid.vt_symbol,
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direction=Direction.NET)
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if acc_symbol_pos is None:
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self.write_error(f'{self.strategy_name}当前{ordering_grid.vt_symbol}持仓查询不到, 无法执行卖出')
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return
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vt_symbol = ordering_grid.vt_symbol
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sell_volume = ordering_grid.volume - ordering_grid.traded_volume
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vt_symbol = ordering_grid.vt_symbol
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sell_volume = ordering_grid.volume - ordering_grid.traded_volume
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if sell_volume > acc_symbol_pos.volume:
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self.write_error(u'账号{}持仓{},不满足减仓目标:{}'
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.format(vt_symbol, acc_symbol_pos.volume, sell_volume))
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continue
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if sell_volume > acc_symbol_pos.volume:
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self.write_error(u'账号{}持仓{},不满足减仓目标:{}'
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.format(vt_symbol, acc_symbol_pos.volume, sell_volume))
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return
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# 实盘运行时，要加入市场买卖量的判断
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if not self.backtesting:
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symbol_tick = self.cta_engine.get_tick(vt_symbol)
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if symbol_tick is None:
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self.cta_engine.subscribe_symbol(strategy_name=self.strategy_name, vt_symbol=vt_symbol)
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self.write_log(f'获取不到{vt_symbol}得tick,无法根据市场深度进行计算')
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continue
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# 实盘运行时，要加入市场买卖量的判断
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if not self.backtesting:
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symbol_tick = self.cta_engine.get_tick(vt_symbol)
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if symbol_tick is None:
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self.cta_engine.subscribe_symbol(strategy_name=self.strategy_name, vt_symbol=vt_symbol)
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self.write_log(f'获取不到{vt_symbol}得tick,无法根据市场深度进行计算')
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return
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symbol_volume_tick = self.cta_engine.get_volume_tick(vt_symbol)
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# 根据市场计算，前5档买单数量
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if all([symbol_tick.ask_volume_1, symbol_tick.ask_volume_2, symbol_tick.ask_volume_3,
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symbol_tick.ask_volume_4, symbol_tick.ask_volume_5]) \
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and all(
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[symbol_tick.bid_volume_1, symbol_tick.bid_volume_2, symbol_tick.bid_volume_3, symbol_tick.bid_volume_4,
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symbol_tick.bid_volume_5]):
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market_ask_volumes = symbol_tick.ask_volume_1 + symbol_tick.ask_volume_2 + symbol_tick.ask_volume_3 + symbol_tick.ask_volume_4 + symbol_tick.ask_volume_5
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market_bid_volumes = symbol_tick.bid_volume_1 + symbol_tick.bid_volume_2 + symbol_tick.bid_volume_3 + symbol_tick.bid_volume_4 + symbol_tick.bid_volume_5
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org_sell_volume = sell_volume
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if market_bid_volumes > 0 and market_ask_volumes > 0 and org_sell_volume >= 2 * symbol_volume_tick:
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sell_volume = min(market_bid_volumes / 4, market_ask_volumes / 4, sell_volume)
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sell_volume = max(round_to(value=sell_volume, target=symbol_volume_tick), symbol_volume_tick)
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if org_sell_volume != sell_volume:
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self.write_log(u'修正批次卖出{}数量:{}=>{}'.format(vt_symbol, org_sell_volume, sell_volume))
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symbol_volume_tick = self.cta_engine.get_volume_tick(vt_symbol)
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# 根据市场计算，前5档买单数量
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if all([symbol_tick.ask_volume_1, symbol_tick.ask_volume_2, symbol_tick.ask_volume_3,
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symbol_tick.ask_volume_4, symbol_tick.ask_volume_5]) \
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and all(
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[symbol_tick.bid_volume_1, symbol_tick.bid_volume_2, symbol_tick.bid_volume_3, symbol_tick.bid_volume_4,
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symbol_tick.bid_volume_5]):
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market_ask_volumes = symbol_tick.ask_volume_1 + symbol_tick.ask_volume_2 + symbol_tick.ask_volume_3 + symbol_tick.ask_volume_4 + symbol_tick.ask_volume_5
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market_bid_volumes = symbol_tick.bid_volume_1 + symbol_tick.bid_volume_2 + symbol_tick.bid_volume_3 + symbol_tick.bid_volume_4 + symbol_tick.bid_volume_5
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org_sell_volume = sell_volume
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if market_bid_volumes > 0 and market_ask_volumes > 0 and org_sell_volume >= 2 * symbol_volume_tick:
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sell_volume = min(market_bid_volumes / 4, market_ask_volumes / 4, sell_volume)
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sell_volume = max(round_to(value=sell_volume, target=symbol_volume_tick), symbol_volume_tick)
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if org_sell_volume != sell_volume:
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self.write_log(u'修正批次卖出{}数量:{}=>{}'.format(vt_symbol, org_sell_volume, sell_volume))
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# 获取当前价格
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sell_price = self.cta_engine.get_price(vt_symbol) - self.cta_engine.get_price_tick(vt_symbol)
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# 发出委托卖出
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vt_orderids = self.sell(
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vt_symbol=vt_symbol,
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price=sell_price,
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volume=sell_volume,
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order_time=self.cur_datetime,
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grid=ordering_grid)
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if vt_orderids is None or len(vt_orderids) == 0:
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self.write_error(f'{vt_symbol} 委托卖出失败，委托价:{sell_price} 数量:{sell_volume}')
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return
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else:
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self.write_log(f'{vt_symbol} 已委托卖出，{sell_volume},委托价:{sell_price}, 数量:{sell_volume}')
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# 获取当前价格
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sell_price = self.cta_engine.get_price(vt_symbol) - self.cta_engine.get_price_tick(vt_symbol)
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# 发出委托卖出
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vt_orderids = self.sell(
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vt_symbol=vt_symbol,
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price=sell_price,
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volume=sell_volume,
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order_time=self.cur_datetime,
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grid=ordering_grid)
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if vt_orderids is None or len(vt_orderids) == 0:
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self.write_error(f'{vt_symbol} 委托卖出失败，委托价:{sell_price} 数量:{sell_volume}')
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continue
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else:
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self.write_log(f'{vt_symbol} 已委托卖出，{sell_volume},委托价:{sell_price}, 数量:{sell_volume}')
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def tns_finish_sell_grid(self, grid):
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@ -1128,68 +1123,63 @@ class CtaStockTemplate(CtaTemplate):
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self.tns_finish_buy_grid(grid)
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return
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# 定位到首个满足条件的网格，跳出循环
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# 定位到首个满足条件的网格，
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ordering_grid = grid
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break
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# 没有满足条件的网格
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if ordering_grid is None:
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return
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balance, availiable, _, _ = self.cta_engine.get_account()
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if availiable <= 0:
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self.write_error(u'当前可用资金不足'.format(availiable))
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continue
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vt_symbol = ordering_grid.vt_symbol
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cur_price = self.cta_engine.get_price(vt_symbol)
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if cur_price is None:
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self.write_error(f'暂时不能获取{vt_symbol}最新价格')
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continue
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balance, availiable, _, _ = self.cta_engine.get_account()
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if availiable <= 0:
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self.write_error(u'当前可用资金不足'.format(availiable))
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return
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vt_symbol = ordering_grid.vt_symbol
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cur_price = self.cta_engine.get_price(vt_symbol)
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if cur_price is None:
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self.write_error(f'暂时不能获取{vt_symbol}最新价格')
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return
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buy_volume = ordering_grid.volume - ordering_grid.traded_volume
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min_trade_volume = self.cta_engine.get_volume_tick(vt_symbol)
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if availiable < buy_volume * cur_price:
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self.write_error(f'可用资金{availiable},不满足买入{vt_symbol},数量:{buy_volume} X价格{cur_price}')
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max_buy_volume = int(availiable / cur_price)
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max_buy_volume = max_buy_volume - max_buy_volume % min_trade_volume
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if max_buy_volume <= min_trade_volume:
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continue
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# 计划买入数量，与可用资金买入数量的差别
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diff_volume = buy_volume - max_buy_volume
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# 降低计划买入数量
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self.write_log(f'总计划{vt_symbol}买入数量:{ordering_grid.volume}=>{ordering_grid.volume - diff_volume}')
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ordering_grid.volume -= diff_volume
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self.gt.save()
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buy_volume = max_buy_volume
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buy_volume = ordering_grid.volume - ordering_grid.traded_volume
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min_trade_volume = self.cta_engine.get_volume_tick(vt_symbol)
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if availiable < buy_volume * cur_price:
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self.write_error(f'可用资金{availiable},不满足买入{vt_symbol},数量:{buy_volume} X价格{cur_price}')
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max_buy_volume = int(availiable / cur_price)
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max_buy_volume = max_buy_volume - max_buy_volume % min_trade_volume
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if max_buy_volume <= min_trade_volume:
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return
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# 计划买入数量，与可用资金买入数量的差别
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diff_volume = buy_volume - max_buy_volume
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# 降低计划买入数量
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self.write_log(f'总计划{vt_symbol}买入数量:{ordering_grid.volume}=>{ordering_grid.volume - diff_volume}')
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ordering_grid.volume -= diff_volume
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self.gt.save()
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buy_volume = max_buy_volume
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# 实盘运行时，要加入市场买卖量的判断
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if not self.backtesting and 'market' in ordering_grid.snapshot:
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symbol_tick = self.cta_engine.get_tick(vt_symbol)
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# 根据市场计算，前5档买单数量
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if all([symbol_tick.ask_volume_1, symbol_tick.ask_volume_2, symbol_tick.ask_volume_3,
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symbol_tick.ask_volume_4, symbol_tick.ask_volume_5]) \
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and all(
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[symbol_tick.bid_volume_1, symbol_tick.bid_volume_2, symbol_tick.bid_volume_3, symbol_tick.bid_volume_4,
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symbol_tick.bid_volume_5]):
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market_ask_volumes = symbol_tick.ask_volume_1 + symbol_tick.ask_volume_2 + symbol_tick.ask_volume_3 + symbol_tick.ask_volume_4 + symbol_tick.ask_volume_5
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market_bid_volumes = symbol_tick.bid_volume_1 + symbol_tick.bid_volume_2 + symbol_tick.bid_volume_3 + symbol_tick.bid_volume_4 + symbol_tick.bid_volume_5
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if market_bid_volumes > 0 and market_ask_volumes > 0:
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buy_volume = min(market_bid_volumes / 4, market_ask_volumes / 4, buy_volume)
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buy_volume = max(buy_volume - buy_volume % min_trade_volume, min_trade_volume)
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# 实盘运行时，要加入市场买卖量的判断
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if not self.backtesting and 'market' in ordering_grid.snapshot:
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symbol_tick = self.cta_engine.get_tick(vt_symbol)
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# 根据市场计算，前5档买单数量
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if all([symbol_tick.ask_volume_1, symbol_tick.ask_volume_2, symbol_tick.ask_volume_3,
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symbol_tick.ask_volume_4, symbol_tick.ask_volume_5]) \
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and all(
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[symbol_tick.bid_volume_1, symbol_tick.bid_volume_2, symbol_tick.bid_volume_3, symbol_tick.bid_volume_4,
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symbol_tick.bid_volume_5]):
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market_ask_volumes = symbol_tick.ask_volume_1 + symbol_tick.ask_volume_2 + symbol_tick.ask_volume_3 + symbol_tick.ask_volume_4 + symbol_tick.ask_volume_5
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market_bid_volumes = symbol_tick.bid_volume_1 + symbol_tick.bid_volume_2 + symbol_tick.bid_volume_3 + symbol_tick.bid_volume_4 + symbol_tick.bid_volume_5
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if market_bid_volumes > 0 and market_ask_volumes > 0:
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buy_volume = min(market_bid_volumes / 4, market_ask_volumes / 4, buy_volume)
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buy_volume = max(buy_volume - buy_volume % min_trade_volume, min_trade_volume)
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buy_price = cur_price + self.cta_engine.get_price_tick(vt_symbol) * 10
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buy_price = cur_price + self.cta_engine.get_price_tick(vt_symbol) * 10
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vt_orderids = self.buy(
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vt_symbol=vt_symbol,
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price=buy_price,
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volume=buy_volume,
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order_time=self.cur_datetime,
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grid=ordering_grid)
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if vt_orderids is None or len(vt_orderids) == 0:
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self.write_error(f'委托买入失败，{vt_symbol} 委托价:{buy_price} 数量:{buy_volume}')
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return
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else:
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self.write_log(f'{self.strategy_name}, {vt_orderids},已委托买入，{vt_symbol} 委托价:{buy_price} 数量:{buy_volume}')
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vt_orderids = self.buy(
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vt_symbol=vt_symbol,
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price=buy_price,
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volume=buy_volume,
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order_time=self.cur_datetime,
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grid=ordering_grid)
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if vt_orderids is None or len(vt_orderids) == 0:
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self.write_error(f'委托买入失败，{vt_symbol} 委托价:{buy_price} 数量:{buy_volume}')
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continue
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else:
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self.write_log(f'{self.strategy_name}, {vt_orderids},已委托买入，{vt_symbol} 委托价:{buy_price} 数量:{buy_volume}')
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def tns_finish_buy_grid(self, grid):
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"""
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@ -237,7 +237,7 @@ class CtaEngine(BaseEngine):
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all_strategy_pos = self.get_all_strategy_pos()
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# 每5分钟检查一次
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if dt.minute % 5 == 0:
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if dt.minute % 5 == 0 and self.engine_config.get('compare_pos',True):
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# 比对仓位，使用上述获取得持仓信息，不用重复获取
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self.compare_pos(strategy_pos_list=copy(all_strategy_pos))
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@ -859,7 +859,10 @@ class CtaEngine(BaseEngine):
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tick = self.main_engine.get_tick(vt_symbol)
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if tick:
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return tick.last_price
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if '&' in tick.symbol:
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return (tick.ask_price_1 + tick.bid_price_1) / 2
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else:
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return tick.last_price
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return None
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@ -383,6 +383,7 @@ class CtpGateway(BaseGateway):
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# 增加映射（ leg1 对应的合成器列表映射)
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leg1_symbol = setting.get('leg1_symbol')
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leg1_exchange = Exchange(setting.get('leg1_exchange'))
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combiner_list = self.tick_combiner_map.get(leg1_symbol, [])
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if combiner not in combiner_list:
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self.write_log(u'添加Leg1:{}与合成器得映射'.format(leg1_symbol))
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@ -391,6 +392,7 @@ class CtpGateway(BaseGateway):
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# 增加映射（ leg2 对应的合成器列表映射)
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leg2_symbol = setting.get('leg2_symbol')
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leg2_exchange = Exchange(setting.get('leg2_exchange'))
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combiner_list = self.tick_combiner_map.get(leg2_symbol, [])
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if combiner not in combiner_list:
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self.write_log(u'添加Leg2:{}与合成器得映射'.format(leg2_symbol))
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@ -400,14 +402,14 @@ class CtpGateway(BaseGateway):
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self.write_log(u'订阅leg1:{}'.format(leg1_symbol))
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leg1_req = SubscribeRequest(
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symbol=leg1_symbol,
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exchange=symbol_exchange_map.get(leg1_symbol, Exchange.LOCAL)
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exchange=leg1_exchange
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)
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self.subscribe(leg1_req)
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self.write_log(u'订阅leg2:{}'.format(leg2_symbol))
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leg2_req = SubscribeRequest(
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symbol=leg2_symbol,
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exchange=symbol_exchange_map.get(leg1_symbol, Exchange.LOCAL)
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exchange=leg2_exchange
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)
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self.subscribe(leg2_req)
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@ -646,6 +648,10 @@ class CtpMdApi(MdApi):
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gateway_name=self.gateway_name
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)
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# 处理一下标准套利合约的last_price
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if '&' in symbol:
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tick.last_price = (tick.ask_price_1 + tick.bid_price_1)/2
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if data["BidVolume2"] or data["AskVolume2"]:
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tick.bid_price_2 = adjust_price(data["BidPrice2"])
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tick.bid_price_3 = adjust_price(data["BidPrice3"])
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@ -137,9 +137,9 @@ class CtptestGateway(BaseGateway):
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exchanges = list(EXCHANGE_CTP2VT.values())
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def __init__(self, event_engine):
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def __init__(self, event_engine, gateway_name="CTPTEST"):
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"""Constructor"""
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super().__init__(event_engine, "CTPTEST")
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super().__init__(event_engine, gateway_name)
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self.td_api = CtpTdApi(self)
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self.md_api = CtpMdApi(self)
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@ -166,8 +166,9 @@ class CtptestGateway(BaseGateway):
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and (not md_address.startswith("ssl://"))
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):
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md_address = "tcp://" + md_address
|
||||
|
||||
print(f'连接交易前置机:{td_address}')
|
||||
self.td_api.connect(td_address, userid, password, brokerid, auth_code, appid, product_info)
|
||||
print(f'连接行情前置机:{md_address}')
|
||||
self.md_api.connect(md_address, userid, password, brokerid)
|
||||
|
||||
self.init_query()
|
||||
@ -772,10 +773,10 @@ class CtpTdApi(TdApi):
|
||||
|
||||
ctp_req = {
|
||||
"InstrumentID": req.symbol,
|
||||
"ExchangeID": req.exchange,
|
||||
"ExchangeID": req.exchange.value,
|
||||
"OrderRef": order_ref,
|
||||
"FrontID": int(frontid),
|
||||
"SessionID": int(sessionid),
|
||||
"SessionID": abs(int(sessionid)),
|
||||
"ActionFlag": THOST_FTDC_AF_Delete,
|
||||
"BrokerID": self.brokerid,
|
||||
"InvestorID": self.userid
|
||||
|
||||
@ -12,7 +12,7 @@ if vnpy_root not in sys.path:
|
||||
|
||||
from vnpy.gateway.ctptest import CtptestGateway
|
||||
from vnpy.event import EventEngine
|
||||
from vnpy.trader.constant import Exchange
|
||||
from vnpy.trader.constant import Exchange,OrderType
|
||||
from vnpy.trader.event import (
|
||||
EVENT_TICK,
|
||||
EVENT_ORDER,
|
||||
@ -22,17 +22,17 @@ from vnpy.trader.event import (
|
||||
EVENT_LOG,
|
||||
)
|
||||
from vnpy.trader.object import (
|
||||
SubscribeRequest,
|
||||
SubscribeRequest,OrderRequest,Direction,Offset,CancelRequest
|
||||
)
|
||||
# 这里放期货公司需要你连接的测试系统的相关信息
|
||||
ctp_setting = {
|
||||
"用户名": "xxx",
|
||||
"密码": "xxx",
|
||||
"经纪商代码": "9999",
|
||||
"交易服务器": "tcp://180.168.146.187:10100",
|
||||
"行情服务器": "tcp://180.168.146.187:10110",
|
||||
"产品名称": "simnow_client_test",
|
||||
"授权编码": "0000000000000000",
|
||||
"用户名": "12000430",
|
||||
"密码": "11112222w",
|
||||
"经纪商代码": "0187",
|
||||
"交易服务器": "tcp://110.87.99.14:61209",
|
||||
"行情服务器": "tcp://110.87.99.14:61219",
|
||||
"产品名称": "client_huafu_2.0.0",
|
||||
"授权编码": "BON2HDZHJBKLXKUK",
|
||||
"产品信息": ""
|
||||
}
|
||||
|
||||
@ -63,10 +63,11 @@ def test():
|
||||
event_engine.start()
|
||||
|
||||
gateway = CtptestGateway(event_engine)
|
||||
print(f'开始接入仿真测试:{ctp_setting}')
|
||||
gateway.connect(ctp_setting)
|
||||
|
||||
# gateway.connect()
|
||||
auto_subscribe_symbols = ['rb2010']
|
||||
auto_subscribe_symbols = ['rb2101']
|
||||
for symbol in auto_subscribe_symbols:
|
||||
print(u'自动订阅合约:{}'.format(symbol))
|
||||
sub = SubscribeRequest(symbol=symbol, exchange=Exchange.SHFE)
|
||||
@ -81,6 +82,46 @@ def test():
|
||||
sleep(1)
|
||||
couter -= 1
|
||||
|
||||
for i in range(5):
|
||||
print(f'发出rb2101的买入委托{i+1}')
|
||||
order_req = OrderRequest(
|
||||
strategy_name='',
|
||||
symbol='rb2101',
|
||||
exchange=Exchange.SHFE,
|
||||
direction=Direction.LONG,
|
||||
offset=Offset.OPEN,
|
||||
type=OrderType.LIMIT,
|
||||
price=3800,
|
||||
volume=i+1
|
||||
)
|
||||
gateway.send_order(order_req)
|
||||
|
||||
|
||||
for i in range(5):
|
||||
print(f'发出rb2101的平仓委托{i+1}')
|
||||
order_req = OrderRequest(
|
||||
strategy_name='',
|
||||
symbol='rb2101',
|
||||
exchange=Exchange.SHFE,
|
||||
direction=Direction.LONG,
|
||||
offset=Offset.CLOSETODAY,
|
||||
type=OrderType.LIMIT,
|
||||
price=3801,
|
||||
volume=i+1
|
||||
)
|
||||
gateway.send_order(order_req)
|
||||
|
||||
#
|
||||
for i in range(5):
|
||||
print(f'发出rb2101的撤单委托{i + 1}')
|
||||
cancel_req = CancelRequest(
|
||||
orderid=f'5_-78969411_{i+1}',
|
||||
symbol='rb2101',
|
||||
exchange=Exchange.SHFE
|
||||
)
|
||||
gateway.cancel_order(cancel_req)
|
||||
|
||||
|
||||
sys.exit(app.exec_())
|
||||
|
||||
|
||||
|
||||
@ -2023,14 +2023,14 @@ class PbTdApi(object):
|
||||
sys_orderid = str(data.wtxh)
|
||||
|
||||
if order_status in [Status.NOTTRADED] and len(sys_orderid) > 0:
|
||||
self.gateway.write_log(f'撤单：{data.__dict__}')
|
||||
self.gateway.write_log(f'撤单：{data.wtxh}')
|
||||
cancel_data = (int(sys_orderid), None, None, None, None, None, None, None)
|
||||
cancel_table.append(cancel_data)
|
||||
|
||||
orders_table.close()
|
||||
cancel_table.close()
|
||||
|
||||
except Exchange as ex:
|
||||
except Exception as ex:
|
||||
self.gateway.write_error(f'dbf全委托撤单异常:{str(ex)}')
|
||||
self.gateway.write_error(traceback.format_exc())
|
||||
return False
|
||||
|
||||
@ -532,7 +532,7 @@ class OmsEngine(BaseEngine):
|
||||
tick = event.data
|
||||
self.ticks[tick.vt_symbol] = tick
|
||||
|
||||
if tick.last_price:
|
||||
if '&' not in tick.symbol and tick.last_price:
|
||||
self.prices[tick.vt_symbol] = tick.last_price
|
||||
|
||||
def process_order_event(self, event: Event) -> None:
|
||||
|
||||
Loading…
Reference in New Issue
Block a user