[Add]新增委托全撤函数

vnpy/trader/app/ctaStrategy/ctaBacktesting.py

@@ -551,7 +551,17 @@ class BacktestingEngine(object):
         """记录日志"""
         log = str(self.dt) + ' ' + content 
         self.logList.append(log)
+    
+    #----------------------------------------------------------------------
+    def cancelAll(self, name):
+        """全部撤单"""
+        # 撤销限价单
+        for orderID in self.workingLimitOrderDict.keys():
+            self.cancelOrder(orderID)
         
+        # 撤销停止单
+        for stopOrderID in self.workingStopOrderDict.keys():
+            self.cancelStopOrder(stopOrderID)
 
     #------------------------------------------------
     # 结果计算相关
@@ -1042,7 +1052,7 @@ class BacktestingEngine(object):
         df['netPnl'].hist(bins=50)
         
         plt.show()
-        
+       
         
 ########################################################################
 class TradingResult(object):

vnpy/trader/app/ctaStrategy/ctaEngine.py

@@ -41,7 +41,9 @@ from .strategy import STRATEGY_CLASS
 class CtaEngine(object):
     """CTA策略引擎"""
     settingFileName = 'CTA_setting.json'
-    settingfilePath = getJsonPath(settingFileName, __file__)   
+    settingfilePath = getJsonPath(settingFileName, __file__)
+    
+    STATUS_FINISHED = set([STATUS_REJECTED, STATUS_CANCELLED, STATUS_ALLTRADED])
 
     #----------------------------------------------------------------------
     def __init__(self, mainEngine, eventEngine):
@@ -74,6 +76,10 @@ class CtaEngine(object):
         self.stopOrderDict = {}             # 停止单撤销后不会从本字典中删除
         self.workingStopOrderDict = {}      # 停止单撤销后会从本字典中删除
         
+        # 保存策略名称和委托号列表的字典
+        # key为name，value为保存orderID（限价+本地停止）的集合
+        self.strategyOrderDict = {}
+        
         # 成交号集合，用来过滤已经收到过的成交推送
         self.tradeSet = set()
         
@@ -131,6 +137,7 @@ class CtaEngine(object):
         for convertedReq in reqList:
             vtOrderID = self.mainEngine.sendOrder(convertedReq, contract.gatewayName)    # 发单
             self.orderStrategyDict[vtOrderID] = strategy                                 # 保存vtOrderID和策略的映射关系
+            self.strategyOrderDict[strategy.name].add(vtOrderID)                         # 添加到策略委托号集合中
             vtOrderIDList.append(vtOrderID)
             
         self.writeCtaLog(u'策略%s发送委托，%s，%s，%s@%s' 
@@ -189,6 +196,9 @@ class CtaEngine(object):
         self.stopOrderDict[stopOrderID] = so
         self.workingStopOrderDict[stopOrderID] = so
         
+        # 保存stopOrderID到策略委托号集合中
+        self.strategyOrderDict[strategy.name].add(stopOrderID)
+        
         # 推送停止单状态
         strategy.onStopOrder(so)
         
@@ -200,9 +210,19 @@ class CtaEngine(object):
         # 检查停止单是否存在
         if stopOrderID in self.workingStopOrderDict:
             so = self.workingStopOrderDict[stopOrderID]
+            strategy = so.strategy
+            
+            # 更改停止单状态为已撤销
             so.status = STOPORDER_CANCELLED
+            
+            # 从活动停止单字典中移除
             del self.workingStopOrderDict[stopOrderID]
-            so.strategy.onStopOrder(so)
+            
+            # 从策略委托号集合中移除
+            self.strategyOrderDict[strategy.name].remove(stopOrderID)
+            
+            # 通知策略
+            strategy.onStopOrder(so)
 
     #----------------------------------------------------------------------
     def processStopOrder(self, tick):
@@ -230,6 +250,9 @@ class CtaEngine(object):
                         # 从活动停止单字典中移除该停止单
                         del self.workingStopOrderDict[so.stopOrderID]
                         
+                        # 从策略委托号集合中移除
+                        self.strategyOrderDict[so.strategy.name].remove(so.stopOrderID)
+                        
                         # 更新停止单状态，并通知策略
                         so.status = STOPORDER_TRIGGERED
                         so.strategy.onStopOrder(so)
@@ -264,6 +287,11 @@ class CtaEngine(object):
         
         if order.vtOrderID in self.orderStrategyDict:
             strategy = self.orderStrategyDict[order.vtOrderID]            
+            
+            # 如果委托已经完成（拒单、撤销、全成），则从活动委托集合中移除
+            if order.status in self.STATUS_FINISHED:
+                self.strategyOrderDict[strategy.name].remove(order.vtOrderID)
+            
             self.callStrategyFunc(strategy, strategy.onOrder, order)
     
     #----------------------------------------------------------------------
@@ -367,6 +395,9 @@ class CtaEngine(object):
             strategy = strategyClass(self, setting)  
             self.strategyDict[name] = strategy
             
+            # 创建委托号列表
+            self.strategyOrderDict[name] = set()
+            
             # 保存Tick映射关系
             if strategy.vtSymbol in self.tickStrategyDict:
                 l = self.tickStrategyDict[strategy.vtSymbol]
@@ -576,4 +607,16 @@ class CtaEngine(object):
     def stop(self):
         """停止"""
         pass
+    
+    #----------------------------------------------------------------------
+    def cancelAll(self, name):
+        """全部撤单"""
+        s = self.strategyOrderDict[name]
+        
+        # 遍历集合，全部撤单
+        for orderID in s:
+            if STOPORDERPREFIX in orderID:
+                self.cancelStopOrder(orderID)
+            else:
+                self.cancelOrder(orderID)
 

vnpy/trader/app/ctaStrategy/ctaTemplate.py

@@ -144,6 +144,11 @@ class CtaTemplate(object):
             self.ctaEngine.cancelStopOrder(vtOrderID)
         else:
             self.ctaEngine.cancelOrder(vtOrderID)
+            
+    #----------------------------------------------------------------------
+    def cancelAll(self):
+        """全部撤单"""
+        self.ctaEngine.cancelAll(self.name)
     
     #----------------------------------------------------------------------
     def insertTick(self, tick):

vnpy/trader/app/ctaStrategy/strategy/strategyAtrRsi.py

@@ -41,8 +41,6 @@ class AtrRsiStrategy(CtaTemplate):
     intraTradeHigh = 0                  # 移动止损用的持仓期内最高价
     intraTradeLow = 0                   # 移动止损用的持仓期内最低价
 
-    orderList = []                      # 保存委托代码的列表
-
     # 参数列表，保存了参数的名称
     paramList = ['name',
                  'className',
@@ -114,10 +112,7 @@ class AtrRsiStrategy(CtaTemplate):
     #----------------------------------------------------------------------
     def onBar(self, bar):
         """收到Bar推送（必须由用户继承实现）"""
-        # 撤销之前发出的尚未成交的委托（包括限价单和停止单）
+        self.cancelAll()
-        for orderID in self.orderList:
-            self.cancelOrder(orderID)
-        self.orderList = []
 
         # 保存K线数据
         am = self.am
@@ -155,20 +150,20 @@ class AtrRsiStrategy(CtaTemplate):
             # 计算多头持有期内的最高价，以及重置最低价
             self.intraTradeHigh = max(self.intraTradeHigh, bar.high)
             self.intraTradeLow = bar.low
+            
             # 计算多头移动止损
             longStop = self.intraTradeHigh * (1-self.trailingPercent/100)
-            # 发出本地止损委托，并且把委托号记录下来，用于后续撤单
-            l = self.sell(longStop, abs(self.pos), stop=True)
-            self.orderList.extend(l)
 
+            # 发出本地止损委托，并且把委托号记录下来，用于后续撤单
+            self.sell(longStop, abs(self.pos), stop=True)
+            
         # 持有空头仓位
         elif self.pos < 0:
             self.intraTradeLow = min(self.intraTradeLow, bar.low)
             self.intraTradeHigh = bar.high
 
             shortStop = self.intraTradeLow * (1+self.trailingPercent/100)
-            l = self.cover(shortStop, abs(self.pos), stop=True)
+            self.cover(shortStop, abs(self.pos), stop=True)
-            self.orderList.extend(l)
 
         # 发出状态更新事件
         self.putEvent()

vnpy/trader/app/ctaStrategy/strategy/strategyBollChannel.py

@@ -51,8 +51,6 @@ class BollChannelStrategy(CtaTemplate):
     longStop = 0                        # 多头止损
     shortStop = 0                       # 空头止损
 
-    orderList = []                      # 保存委托代码的列表
-
     # 参数列表，保存了参数的名称
     paramList = ['name',
                  'className',
@@ -124,10 +122,8 @@ class BollChannelStrategy(CtaTemplate):
     #----------------------------------------------------------------------
     def onXminBar(self, bar):
         """收到X分钟K线"""
-        # 撤销之前发出的尚未成交的委托（包括限价单和停止单）
+        # 全撤之前发出的委托
-        for orderID in self.orderList:
+        self.cancelAll()
-            self.cancelOrder(orderID)
-        self.orderList = []
     
         # 保存K线数据
         am = self.am
@@ -150,11 +146,10 @@ class BollChannelStrategy(CtaTemplate):
             self.intraTradeLow = bar.low            
             
             if self.cciValue > 0:
-                l = self.buy(self.bollUp, self.fixedSize, True)
+                self.buy(self.bollUp, self.fixedSize, True)
-                self.orderList.extend(l)
+                
             elif self.cciValue < 0:
-                l = self.short(self.bollDown, self.fixedSize, True)
+                self.short(self.bollDown, self.fixedSize, True)
-                self.orderList.extend(l)
     
         # 持有多头仓位
         elif self.pos > 0:
@@ -162,8 +157,7 @@ class BollChannelStrategy(CtaTemplate):
             self.intraTradeLow = bar.low
             self.longStop = self.intraTradeHigh - self.atrValue * self.slMultiplier
             
-            l = self.sell(self.longStop, abs(self.pos), True)
+            self.sell(self.longStop, abs(self.pos), True)
-            self.orderList.extend(l)
     
         # 持有空头仓位
         elif self.pos < 0:
@@ -171,8 +165,7 @@ class BollChannelStrategy(CtaTemplate):
             self.intraTradeLow = min(self.intraTradeLow, bar.low)
             self.shortStop = self.intraTradeLow + self.atrValue * self.slMultiplier
             
-            l = self.cover(self.shortStop, abs(self.pos), True)
+            self.cover(self.shortStop, abs(self.pos), True)
-            self.orderList.extend(l)
     
         # 发出状态更新事件
         self.putEvent()        

vnpy/trader/app/ctaStrategy/strategy/strategyDualThrust.py

@@ -39,8 +39,6 @@ class DualThrustStrategy(CtaTemplate):
     longEntered = False
     shortEntered = False
 
-    orderList = []                      # 保存委托代码的列表
-
     # 参数列表，保存了参数的名称
     paramList = ['name',
                  'className',
@@ -99,9 +97,7 @@ class DualThrustStrategy(CtaTemplate):
     def onBar(self, bar):
         """收到Bar推送（必须由用户继承实现）"""
         # 撤销之前发出的尚未成交的委托（包括限价单和停止单）
-        for orderID in self.orderList:
+        self.cancelAll()
-            self.cancelOrder(orderID)
-        self.orderList = []
 
         # 计算指标数值
         self.barList.append(bar)
@@ -138,47 +134,39 @@ class DualThrustStrategy(CtaTemplate):
             if self.pos == 0:
                 if bar.close > self.dayOpen:
                     if not self.longEntered:
-                        l = self.buy(self.longEntry, self.fixedSize, stop=True)
+                        self.buy(self.longEntry, self.fixedSize, stop=True)
-                        self.orderList.extend(l)
                 else:
                     if not self.shortEntered:
-                        l = self.short(self.shortEntry, self.fixedSize, stop=True)
+                        self.short(self.shortEntry, self.fixedSize, stop=True)
-                        self.orderList.extend(l)
     
             # 持有多头仓位
             elif self.pos > 0:
                 self.longEntered = True
 
                 # 多头止损单
-                l = self.sell(self.shortEntry, self.fixedSize, stop=True)
+                self.sell(self.shortEntry, self.fixedSize, stop=True)
-                self.orderList.extend(l)
                 
                 # 空头开仓单
                 if not self.shortEntered:
-                    l = self.short(self.shortEntry, self.fixedSize, stop=True)
+                    self.short(self.shortEntry, self.fixedSize, stop=True)
-                    self.orderList.extend(l)
                 
             # 持有空头仓位
             elif self.pos < 0:
                 self.shortEntered = True
 
                 # 空头止损单
-                l = self.cover(self.longEntry, self.fixedSize, stop=True)
+                self.cover(self.longEntry, self.fixedSize, stop=True)
-                self.orderList.extend(l)
                 
                 # 多头开仓单
                 if not self.longEntered:
-                    l = self.buy(self.longEntry, self.fixedSize, stop=True)
+                    self.buy(self.longEntry, self.fixedSize, stop=True)
-                    self.orderList.extend(l)
             
         # 收盘平仓
         else:
             if self.pos > 0:
-                l = self.sell(bar.close * 0.99, abs(self.pos))
+                self.sell(bar.close * 0.99, abs(self.pos))
-                self.orderList.extend(l)
             elif self.pos < 0:
-                l = self.cover(bar.close * 1.01, abs(self.pos))
+                self.cover(bar.close * 1.01, abs(self.pos))
-                self.orderList.extend(l)
  
         # 发出状态更新事件
         self.putEvent()