添加VnTrader中的价差交易模块，完成价差行情的自动计算和显示

examples/VnTrader/run.py

@@ -18,7 +18,7 @@ from vnpy.trader.gateway import (ctpGateway, femasGateway, xspeedGateway,
 
 # 加载上层应用
 from vnpy.trader.app import (riskManager, dataRecorder,
-                             ctaStrategy)
+                             ctaStrategy, spreadTrading)
 
 
 #----------------------------------------------------------------------
@@ -45,6 +45,7 @@ def main():
     me.addApp(riskManager)
     me.addApp(dataRecorder)
     me.addApp(ctaStrategy)
+    me.addApp(spreadTrading)
     
     # 创建主窗口
     mw = MainWindow(me, ee)

vnpy/trader/app/ctaStrategy/ctaBase.py

@@ -33,6 +33,10 @@ MINUTE_DB_NAME = 'VnTrader_1Min_Db'
 ENGINETYPE_BACKTESTING = 'backtesting'  # 回测
 ENGINETYPE_TRADING = 'trading'          # 实盘
 
+# CTA模块事件
+EVENT_CTA_LOG = 'eCtaLog'               # CTA相关的日志事件
+EVENT_CTA_STRATEGY = 'eCtaStrategy.'    # CTA策略状态变化事件
+
 # CTA引擎中涉及的数据类定义
 from vnpy.trader.vtConstant import EMPTY_UNICODE, EMPTY_STRING, EMPTY_FLOAT, EMPTY_INT
 

vnpy/trader/app/dataRecorder/drBase.py

@@ -12,6 +12,8 @@ TICK_DB_NAME = 'VnTrader_Tick_Db'
 DAILY_DB_NAME = 'VnTrader_Daily_Db'
 MINUTE_DB_NAME = 'VnTrader_1Min_Db'
 
+# 行情记录模块事件
+EVENT_DATARECORDER_LOG = 'eDataRecorderLog'     # 行情记录日志更新事件
 
 # CTA引擎中涉及的数据类定义
 from vnpy.trader.vtConstant import EMPTY_UNICODE, EMPTY_STRING, EMPTY_FLOAT, EMPTY_INT

vnpy/trader/app/spreadTrading/ST_setting.json

@@ -0,0 +1,64 @@
+[
+    {
+        "name": "IF.07-09",
+
+        "activeLeg": 
+            {
+                "vtSymbol": "IF1707",
+                "ratio": 1,
+                "multiplier": 1.0,
+                "payup": 2
+            },
+
+        "passiveLegs": [
+            {
+                "vtSymbol": "IF1709",
+                "ratio": -1,
+                "multiplier": -1.0,
+                "payup": 2
+            }
+        ]
+    },
+
+    {
+        "name": "IH.07-09",
+
+        "activeLeg": 
+            {
+                "vtSymbol": "IH1707",
+                "ratio": 1,
+                "multiplier": 1.0,
+                "payup": 2
+            },
+
+        "passiveLegs": [
+            {
+                "vtSymbol": "IH1709",
+                "ratio": -1,
+                "multiplier": -1.0,
+                "payup": 2
+            }
+        ]
+    },
+
+    {
+        "name": "IC.07-09",
+
+        "activeLeg": 
+            {
+                "vtSymbol": "IC1707",
+                "ratio": 1,
+                "multiplier": 1.0,
+                "payup": 2
+            },
+
+        "passiveLegs": [
+            {
+                "vtSymbol": "IC1709",
+                "ratio": -1,
+                "multiplier": -1.0,
+                "payup": 2
+            }
+        ]
+    }
+]

vnpy/trader/app/spreadTrading/__init__.py

@@ -0,0 +1,10 @@
+# encoding: UTF-8
+
+from .stEngine import StEngine
+from .uiStWidget import StManager
+
+appName = 'SpreadTrading'
+appDisplayName = u'价差交易'
+appEngine = StEngine
+appWidget = StManager
+appIco = 'st.ico'

vnpy/trader/app/spreadTrading/stBase.py

@@ -0,0 +1,162 @@
+# encoding: UTF-8
+
+from __future__ import division
+
+from math import floor
+from datetime import datetime
+
+from vnpy.trader.vtConstant import (EMPTY_INT, EMPTY_FLOAT, 
+                                    EMPTY_STRING, EMPTY_UNICODE)
+
+
+
+EVENT_SPREADTRADING_TICK = 'eSpreadTradingTick.'
+
+
+
+########################################################################
+class StLeg(object):
+    """"""
+
+    #----------------------------------------------------------------------
+    def __init__(self):
+        """Constructor"""
+        self.vtSymbol = EMPTY_STRING      # 代码
+        self.ratio = EMPTY_INT          # 实际交易时的比例
+        self.multiplier = EMPTY_FLOAT   # 计算价差时的乘数
+        self.payup = EMPTY_INT          # 对冲时的超价tick
+        
+        self.bidPrice = EMPTY_FLOAT
+        self.askPrice = EMPTY_FLOAT
+        self.bidVolume = EMPTY_INT
+        self.askVolume = EMPTY_INT
+        
+        self.longPos = EMPTY_INT
+        self.shortPos = EMPTY_INT
+        self.netPos = EMPTY_INT
+
+
+########################################################################
+class StSpread(object):
+    """"""
+
+    #----------------------------------------------------------------------
+    def __init__(self):
+        """Constructor"""
+        self.name = EMPTY_UNICODE       # 名称
+        self.symbol = EMPTY_STRING      # 代码（基于组成腿计算）
+        
+        self.activeLeg = None           # 主动腿
+        self.passiveLegs = []           # 被动腿（支持多条）
+        self.allLegs = []               # 所有腿
+        
+        self.bidPrice = EMPTY_FLOAT
+        self.askPrice = EMPTY_FLOAT
+        self.bidVolume = EMPTY_INT
+        self.askVolume = EMPTY_INT
+        self.time = EMPTY_STRING
+        
+        self.longPos = EMPTY_INT
+        self.shortPos = EMPTY_INT
+        self.netPos = EMPTY_INT
+        
+    #----------------------------------------------------------------------
+    def initSpread(self):
+        """初始化价差"""
+        # 价差最少要有一条主动腿
+        if not self.activeLeg:
+            return
+        
+        # 生成所有腿列表
+        self.allLegs.append(self.activeLeg)
+        self.allLegs.extend(self.passiveLegs)
+        
+        # 生成价差代码
+        legSymbolList = []
+        
+        for leg in self.allLegs:
+            if leg.multiplier >= 0:
+                legSymbol = '+%s*%s' %(leg.multiplier, leg.vtSymbol)
+            else:
+                legSymbol = '%s*%s' %(leg.multiplier, leg.vtSymbol)
+            legSymbolList.append(legSymbol)
+        
+        self.symbol = ''.join(legSymbolList)
+        
+    #----------------------------------------------------------------------
+    def calculatePrice(self):
+        """计算价格"""
+        # 清空价格和委托量数据
+        self.bidPrice = EMPTY_FLOAT
+        self.askPrice = EMPTY_FLOAT
+        self.askVolume = EMPTY_INT
+        self.bidVolume = EMPTY_INT
+        
+        # 遍历价差腿列表
+        for n, leg in enumerate(self.allLegs):
+            # 计算价格
+            if leg.multiplier > 0:
+                self.bidPrice += leg.bidPrice * leg.multiplier
+                self.askPrice += leg.askPrice * leg.multiplier
+            else:
+                self.bidPrice += leg.askPrice * leg.multiplier
+                self.askPrice += leg.bidPrice * leg.multiplier
+                
+            # 计算报单量
+            if leg.ratio > 0:
+                legAdjustedBidVolume = floor(leg.bidVolume / leg.ratio)
+                legAdjustedAskVolume = floor(leg.askVolume / leg.ratio)
+            else:
+                legAdjustedBidVolume = floor(leg.askVolume / abs(leg.ratio))
+                legAdjustedAskVolume = floor(leg.bidVolume / abs(leg.ratio))
+            
+            if n == 0:
+                self.bidVolume = legAdjustedBidVolume                           # 对于第一条腿，直接初始化
+                self.askVolume = legAdjustedAskVolume
+            else:
+                self.bidVolume = min(self.bidVolume, legAdjustedBidVolume)      # 对于后续的腿，价差可交易报单量取较小值
+                self.askVolume = min(self.askVolume, legAdjustedAskVolume)
+                
+        # 更新时间
+        self.time = datetime.now().strftime('%H:%M:%S.%f')[:-3]
+        
+    #----------------------------------------------------------------------
+    def calculatePos(self):
+        """计算持仓"""
+        # 清空持仓数据
+        self.longPos = EMPTY_INT
+        self.shortPos = EMPTY_INT
+        self.netPos = EMPTY_INT
+        
+        # 遍历价差腿列表
+        for n, leg in enumerate(self.allLegs):
+            if leg.ratio > 0:
+                legAdjustedLongPos = floor(leg.longPos / leg.ratio)
+                legAdjustedShortPos = floor(leg.shortPos / leg.ratio)
+            else:
+                legAdjustedLongPos = floor(leg.shortPos / abs(leg.ratio))
+                legAdjustedShortPos = floor(leg.longPos / abs(leg.ratio))
+            
+            if n == 0:
+                self.longPos = legAdjustedLongPos
+                self.shortPos = legAdjustedShortPos
+            else:
+                self.longPos = min(self.longPos, legAdjustedLongPos)
+                self.shortPos = min(self.shortPos, legAdjustedShortPos)
+        
+        # 计算净仓位
+        self.netPos = self.longPos - self.shortPos
+    
+    #----------------------------------------------------------------------
+    def addActiveLeg(self, leg):
+        """添加主动腿"""
+        self.activeLeg = leg
+    
+    #----------------------------------------------------------------------
+    def addPassiveLeg(self, leg):
+        """添加被动腿"""
+        self.passiveLegs.append(leg)
+        
+        
+    
+    

vnpy/trader/app/spreadTrading/stEngine.py

@@ -0,0 +1,176 @@
+# encoding: UTF-8
+
+import json
+from copy import copy
+
+from vnpy.event import Event
+from vnpy.trader.vtFunction import getJsonPath
+from vnpy.trader.vtEvent import EVENT_TICK, EVENT_TRADE, EVENT_POSITION
+from vnpy.trader.vtObject import VtSubscribeReq
+
+from .stBase import StLeg, StSpread, EVENT_SPREADTRADING_TICK
+
+
+########################################################################
+class StEngine(object):
+    """"""
+    settingFileName = 'ST_setting.json'
+    settingFilePath = getJsonPath(settingFileName, __file__)
+
+    #----------------------------------------------------------------------
+    def __init__(self, mainEngine, eventEngine):
+        """Constructor"""
+        self.mainEngine = mainEngine
+        self.eventEngine = eventEngine
+        
+        # 腿、价差相关字典
+        self.legDict = {}                   # vtSymbol:StLeg
+        self.spreadDict = {}                # name:StSpread
+        self.vtSymbolSpreadDict = {}        # vtSymbol:StSpread
+        
+        self.registerEvent()
+        
+    #----------------------------------------------------------------------
+    def loadSetting(self):
+        """加载配置"""
+        with open(self.settingFilePath) as f:
+            l = json.load(f)
+            
+            for setting in l:
+                self.createSpread(setting)
+    
+    #----------------------------------------------------------------------
+    def saveSetting(self):
+        """保存配置"""
+        with open(self.settingFilePath) as f:
+            pass
+        
+    #----------------------------------------------------------------------
+    def createSpread(self, setting):
+        """创建价差"""
+        result = False
+        msg = ''
+        
+        # 检查价差重名
+        if setting['name'] in self.spreadDict:
+            msg = u'%s价差重名' %setting['name']
+            return result, msg
+        
+        # 检查腿是否已使用
+        l = []
+        l.append(setting['activeLeg']['vtSymbol'])
+        for d in setting['passiveLegs']:
+            l.append(d['vtSymbol'])
+            
+        for vtSymbol in l:
+            if vtSymbol in self.vtSymbolSpreadDict:
+                existingSpread = self.vtSymbolSpreadDict[vtSymbol]
+                msg = u'%s合约已经存在于%s价差中' %(vtSymbol, existingSpread.name)
+                return result, msg
+    
+        # 创建价差
+        spread = StSpread()
+        spread.name = setting['name']        
+        self.spreadDict[spread.name] = spread
+        
+        # 创建主动腿
+        activeSetting = setting['activeLeg']
+        
+        activeLeg = StLeg()
+        activeLeg.vtSymbol = activeSetting['vtSymbol']
+        activeLeg.ratio = activeSetting['ratio']
+        activeLeg.multiplier = activeSetting['multiplier']
+        activeLeg.payup = activeSetting['payup']
+        
+        spread.addActiveLeg(activeLeg)
+        self.legDict[activeLeg.vtSymbol] = activeLeg
+        self.vtSymbolSpreadDict[activeLeg.vtSymbol] = spread
+        
+        self.subscribeMarketData(activeLeg.vtSymbol)
+        
+        # 创建被动腿
+        passiveSettingList = setting['passiveLegs']
+        passiveLegList = []
+        
+        for d in passiveSettingList:
+            passiveLeg = StLeg()
+            passiveLeg.vtSymbol = d['vtSymbol']
+            passiveLeg.ratio = d['ratio']
+            passiveLeg.multiplier = d['multiplier']
+            passiveLeg.payup = d['payup']
+            
+            spread.addPassiveLeg(passiveLeg)
+            self.legDict[passiveLeg.vtSymbol] = passiveLeg
+            self.vtSymbolSpreadDict[passiveLeg.vtSymbol] = spread
+            
+            self.subscribeMarketData(passiveLeg.vtSymbol)  
+
+        # 初始化价差
+        spread.initSpread()
+        
+        # 返回结果
+        result = True
+        msg = u'%s价差创建成功' %spread.name
+        return result, msg
+    
+    #----------------------------------------------------------------------
+    def processTickEvent(self, event):
+        """处理行情推送"""
+        # 检查行情是否需要处理
+        tick = event.dict_['data']
+        if tick.vtSymbol not in self.legDict:
+            return
+        
+        # 更新腿价格
+        leg = self.legDict[tick.vtSymbol]
+        leg.bidPrice = tick.bidPrice1
+        leg.askPrice = tick.askPrice1
+        leg.bidVolume = tick.bidVolume1
+        leg.askVolume = tick.askVolume1
+        
+        # 更新价差价格
+        spread = self.vtSymbolSpreadDict[tick.vtSymbol]
+        spread.calculatePrice()
+        
+        # 推送价差更新
+        newSpread = copy(spread)
+        event = Event(EVENT_SPREADTRADING_TICK)
+        event.dict_['data'] = newSpread
+        self.eventEngine.put(event)
+    
+    #----------------------------------------------------------------------
+    def processTradeEvent(self, event):
+        """"""
+        pass
+    
+    #----------------------------------------------------------------------
+    def processPositionEvent(self, event):
+        """"""
+        pass
+    
+    #----------------------------------------------------------------------
+    def registerEvent(self):
+        """"""
+        self.eventEngine.register(EVENT_TICK, self.processTickEvent)
+        self.eventEngine.register(EVENT_TRADE, self.processTradeEvent)
+        self.eventEngine.register(EVENT_POSITION, self.processPositionEvent)
+        
+    #----------------------------------------------------------------------
+    def subscribeMarketData(self, vtSymbol):
+        """订阅行情"""
+        contract = self.mainEngine.getContract(vtSymbol)
+        if not contract:
+            return
+        
+        req = VtSubscribeReq()
+        req.symbol = contract.symbol
+        req.exchange = contract.exchange
+        
+        self.mainEngine.subscribe(req, contract.gatewayName)
+        
+    #----------------------------------------------------------------------
+    def stop(self):
+        """停止"""
+        pass
+
+    

vnpy/trader/app/spreadTrading/uiStWidget.py

@@ -0,0 +1,97 @@
+# encoding: UTF-8
+
+from collections import OrderedDict
+
+from vnpy.trader.uiQt import QtWidgets
+from vnpy.trader.uiBasicWidget import (BasicMonitor, BasicCell, 
+                                       AskCell, BidCell, BASIC_FONT)
+
+from .stBase import EVENT_SPREADTRADING_TICK
+
+
+
+########################################################################
+class StTickMonitor(BasicMonitor):
+    """"""
+    
+    #----------------------------------------------------------------------
+    def __init__(self, mainEngine, eventEngine, parent=None):
+        """Constructor"""
+        super(StTickMonitor, self).__init__(mainEngine, eventEngine, parent)
+        
+        # 设置表头有序字典
+        d = OrderedDict()
+        d['name'] = {'chinese':u'价差名称', 'cellType':BasicCell}
+        d['bidPrice'] = {'chinese':u'买价', 'cellType':BidCell}
+        d['bidVolume'] = {'chinese':u'买量', 'cellType':BidCell}
+        d['askPrice'] = {'chinese':u'卖价', 'cellType':AskCell}
+        d['askVolume'] = {'chinese':u'卖量', 'cellType':AskCell}
+        d['time'] = {'chinese':u'时间', 'cellType':BasicCell}
+        d['symbol'] = {'chinese':u'代码', 'cellType':BasicCell}
+        self.setHeaderDict(d)
+    
+        # 设置数据键
+        self.setDataKey('name')
+    
+        # 设置监控事件类型
+        self.setEventType(EVENT_SPREADTRADING_TICK)
+    
+        # 设置字体
+        self.setFont(BASIC_FONT)
+    
+        # 初始化表格
+        self.initTable()
+    
+        # 注册事件监听
+        self.registerEvent()        
+
+
+########################################################################
+class StManager(QtWidgets.QWidget):
+    """"""
+
+    #----------------------------------------------------------------------
+    def __init__(self, stEngine, eventEngine, parent=None):
+        """Constructor"""
+        super(StManager, self).__init__(parent)
+        
+        self.stEngine = stEngine
+        self.mainEngine = stEngine.mainEngine
+        self.eventEngine = eventEngine
+        
+        self.initUi()
+        
+    #----------------------------------------------------------------------
+    def initUi(self):
+        """初始化界面"""
+        self.setWindowTitle(u'价差交易')
+        
+        # 创建按钮
+        buttonLoadSetting = QtWidgets.QPushButton(u'加载配置')
+        
+        buttonLoadSetting.clicked.connect(self.stEngine.loadSetting)
+        
+        # 创建组件
+        tickMonitor = StTickMonitor(self.mainEngine, self.eventEngine)
+        
+        # 设置布局
+        hbox = QtWidgets.QHBoxLayout()
+        hbox.addWidget(buttonLoadSetting)
+        hbox.addStretch()
+        
+        vbox = QtWidgets.QVBoxLayout()
+        vbox.addLayout(hbox)
+        vbox.addWidget(tickMonitor)
+        
+        self.setLayout(vbox)
+        
+    #----------------------------------------------------------------------
+    def show(self):
+        """重载显示"""
+        self.showMaximized()
+        
+        
+    
+    
+    
+    

vnpy/trader/gateway/ctpGateway/ctpGateway.py

@@ -92,8 +92,6 @@ class CtpGateway(VtGateway):
         
         self.qryEnabled = False         # 循环查询
         
-        self.requireAuthentication = False
-        
     #----------------------------------------------------------------------
     def connect(self):
         """连接"""

vnpy/trader/gateway/windGateway/windGateway.py

@@ -26,6 +26,9 @@ exchangeMap[EXCHANGE_CZCE] = 'CZC'
 exchangeMap[EXCHANGE_UNKNOWN] = ''
 exchangeMapReverse = {v:k for k,v in exchangeMap.items()}
 
+# Wind接口相关事件
+EVENT_WIND_CONNECTREQ = 'eWindConnectReq'   # Wind接口请求连接事件
+
 
 ########################################################################
 class WindGateway(VtGateway):

vnpy/trader/vtEvent.py

@@ -18,13 +18,3 @@ EVENT_POSITION = 'ePosition.'           # 持仓回报事件
 EVENT_ACCOUNT = 'eAccount.'             # 账户回报事件
 EVENT_CONTRACT = 'eContract.'           # 合约基础信息回报事件
 EVENT_ERROR = 'eError.'                 # 错误回报事件
-
-# CTA模块相关
-EVENT_CTA_LOG = 'eCtaLog'               # CTA相关的日志事件
-EVENT_CTA_STRATEGY = 'eCtaStrategy.'    # CTA策略状态变化事件
-
-# 行情记录模块相关
-EVENT_DATARECORDER_LOG = 'eDataRecorderLog' # 行情记录日志更新事件
-
-# Wind接口相关
-EVENT_WIND_CONNECTREQ = 'eWindConnectReq'   # Wind接口请求连接事件

vnpy/trader/vtFunction.py

@@ -64,5 +64,20 @@ def getTempPath(name):
     path = os.path.join(tempPath, name)
     return path
     
+#----------------------------------------------------------------------
+def getJsonPath(name, moduleFile):
+    """
+    获取JSON配置文件的路径：
+    1. 优先从当前工作目录查找JSON文件
+    2. 若无法找到则前往模块所在目录查找
+    """
+    currentFolder = os.getcwd()
+    currentJsonPath = os.path.join(currentFolder, name)
+    if os.path.isfile(currentJsonPath):
+        return currentJsonPath
+    
+    moduleFolder = os.path.abspath(os.path.dirname(moduleFile))
+    moduleJsonPath = os.path.join(moduleFolder, '.', name)
+    return moduleJsonPath