Merge branch 'dev' into bybit

.github/ISSUE_TEMPLATE.md

@@ -1,8 +1,8 @@
 ## 环境
 
 * 操作系统: 如Windows 10或者Ubuntu 18.04
-* Anaconda版本: 如Anaconda 18.12 Python 3.7 64位
+* Python版本: 如VNStudio-2.0.6
-* vn.py版本: 如v2.0发行版或者dev branch 20190101（下载日期）
+* vn.py版本: 如v2.0.5发行版或者dev branch 20190101（下载日期）
 
 ## Issue类型
 三选一：Bug/Enhancement/Question

.gitlab-ci.yml

@@ -1,142 +0,0 @@
-# This file is a template, and might need editing before it works on your project.
-# Official language image. Look for the different tagged releases at:
-# https://hub.docker.com/r/library/python/tags/
-image: registry.cn-shanghai.aliyuncs.com/vnpy-ci/gcc-7-python-3.7:latest
-
-.services:
-  services: &services
-    - postgres:latest
-    - mysql:latest
-    - mongo:latest
-
-# Change pip's cache directory to be inside the project directory since we can
-# only cache local items.
-variables: &variables
-  GIT_DEPTH: "1"
-  PIP_CACHE_DIR: "$CI_PROJECT_DIR/.cache/pip"
-  POSTGRES_DB: &db_name "vnpy"
-  POSTGRES_USER: "postgres"
-  POSTGRES_PASSWORD: &db_password "1234"
-  VNPY_TEST_POSTGRESQL_PASSWORD: *db_password
-  MYSQL_DATABASE: *db_name
-  MYSQL_ROOT_PASSWORD: *db_password
-  VNPY_TEST_MYSQL_PASSWORD: *db_password
-  VNPY_BUILD_PARALLEL: "auto"
-
-# Pip's cache doesn't store the python packages
-# https://pip.pypa.io/en/stable/reference/pip_install/#caching
-#
-# If you want to also cache the installed packages, you have to install
-# them in a virtualenv and cache it as well.
-.default_cache:
-  cache:
-    <<: &cache
-      key: "pip_and_venv"
-      untracked: false
-      policy: pull
-      paths:
-        - .cache/pip
-        - venv/
-
-
-
-before_script:
-  - echo $PWD
-  - python -V
-  - gcc --version
-  - free
-  - date
-  
-  # venv
-  - pip install virtualenv
-  - virtualenv venv
-  - source venv/bin/activate
-
-  # some envs
-  - source ci/env.sh
-
-.scripts:
-  script:
-    - &install_scripts |
-      date
-      python -m pip --version
-      python -m pip install --upgrade pip wheel setuptools
-      python -m pip install https://pip.vnpy.com/colletion/ibapi-9.75.1-001-py3-none-any.whl
-      bash ci/gitlab_pre_install.sh
-
-      date
-      bash ./install.sh
-      date
-
-    - &test_scripts |
-      date
-      cd tests
-      python test_all.py
-      date
-##################################
-# stages
-
-stages:  # I use anchors for IDE hints only
-  - &single_module single_module
-  - &build_all build_all
-
-
-###########################################
-## jobs:
-flake8:
-  stage: *single_module
-  image: python:3.7
-  cache:
-    key: 'flake8'
-    paths:
-      - .cache/pip
-      - venv/
-  script:
-    - pip install flake8
-    - flake8
-
-ctp:
-  <<: &test_single_module
-    stage: *single_module
-    image: registry.cn-shanghai.aliyuncs.com/vnpy-ci/gcc-8-python-3.7:latest
-    services: *services
-    cache:
-      <<: *cache
-    script:
-      - *install_scripts
-      - *test_scripts
-  variables:
-    <<: *variables
-    VNPY_BUILD_CTP: 1
-
-oes:
-  <<: *test_single_module
-  variables:
-    <<: *variables
-    VNPY_BUILD_OES: 1
-
-no_building:
-  <<: *test_single_module
-  cache:
-    <<: *cache
-    policy: pull-push
-  variables:
-    <<: *variables
-    VNPY_BUILD_OES: 0
-    VNPY_BUILD_CTP: 0
-
-build-all-gcc8:
-  stage: *build_all
-  variables:
-    <<: *variables
-  image: registry.cn-shanghai.aliyuncs.com/vnpy-ci/gcc-8-python-3.7:latest
-  services: *services
-  cache:
-    key: "build-all"
-    paths: []
-  script:
-    - unset VNPY_BUILD_CTP
-    - unset VNPY_BUILD_OES
-    - *install_scripts
-    - *test_scripts
-

.travis.yml

@@ -1,101 +0,0 @@
-language: python
-
-dist: xenial  # required for Python >= 3.7 (travis-ci/travis-ci#9069)
-
-cache: pip
-
-git:
-  depth: 1
-
-env:
-  - >
-    VNPY_BUILD_PARALLEL=1
-    VNPY_BUILD_CTP=1
-    VNPY_BUILD_OES=1
-
-python:
-  - "3.7"
-
-services:
-  - mongodb
-  - mysql
-  - postgresql
-
-before_script:
-  - psql -d postgresql://postgres:${VNPY_TEST_POSTGRESQL_PASSWORD}@localhost -c "create database vnpy;"
-  - mysql -u root --password=${VNPY_TEST_MYSQL_PASSWORD} -e 'CREATE DATABASE vnpy;'
-  - source ci/env.sh;
-
-script:
-  - cd tests;
-  - python test_all.py
-
-matrix:
-  include:
-    - name: "code quality analysis: flake8"
-      before_install:
-        - python -m pip install flake8
-      install:
-        - ""  # prevent running "pip install -r requirements.txt"
-      script:
-        - flake8
-
-    - name: "pip install under Ubuntu: gcc-8"
-      addons:
-        apt:
-          sources:
-            - ubuntu-toolchain-r-test
-          packages:
-            - g++-8
-      before_install:
-        - sudo update-alternatives --install /usr/bin/g++ g++ /usr/bin/g++-8 90
-        - sudo update-alternatives --install /usr/bin/c++ c++ /usr/bin/g++-8 90
-        - sudo update-alternatives --install /usr/bin/gcc cc /usr/bin/gcc-8 90
-      install:
-        # update pip & setuptools
-        - python -m pip install --upgrade pip wheel setuptools
-        # Linux install script
-        - python -m pip install https://pip.vnpy.com/colletion/ibapi-9.75.1-001-py3-none-any.whl
-        - bash ./install.sh
-
-    - name: "sdist install under Ubuntu: gcc-7"
-      addons:
-        apt:
-          sources:
-            - ubuntu-toolchain-r-test
-          packages:
-            - g++-7
-      before_install:
-        - sudo update-alternatives --install /usr/bin/g++ g++ /usr/bin/g++-7 90
-        - sudo update-alternatives --install /usr/bin/c++ c++ /usr/bin/g++-7 90
-        - sudo update-alternatives --install /usr/bin/gcc cc /usr/bin/gcc-7 90
-      install:
-        # Linux install script
-        - python -m pip install --upgrade pip wheel setuptools
-        - pushd /tmp
-        -   wget http://prdownloads.sourceforge.net/ta-lib/ta-lib-0.4.0-src.tar.gz
-        -   tar -xf ta-lib-0.4.0-src.tar.gz
-        -   cd ta-lib
-        -   ./configure --prefix=/usr
-        -   make  # -j under gcc-7 failed!!?
-        -   sudo make install
-        - popd
-        - python -m pip install numpy
-        - python -m pip install --pre --extra-index-url https://rquser:ricequant99@py.ricequant.com/simple/ rqdatac
-        - python -m pip install https://pip.vnpy.com/colletion/ibapi-9.75.1-001-py3-none-any.whl
-        - python setup.py sdist
-        - python -m pip install dist/`ls dist`
-
-    - name: "pip install under osx"
-      os: osx
-      language: shell  # osx supports only shell
-      services: []
-      before_install: []
-      install:
-        - python3 -m pip install https://pip.vnpy.com/colletion/ibapi-9.75.1-001-py3-none-any.whl
-        - bash ./install_osx.sh
-      before_script: []
-      script:
-        - source ci/env.sh;
-        - cd tests; 
-        - VNPY_TEST_ONLY_SQLITE=1 python3 test_all.py

README.md

@@ -5,10 +5,10 @@
 </p>
 
 <p align="center">
-    <img src ="https://img.shields.io/badge/version-2.0.6-blueviolet.svg"/>
+    <img src ="https://img.shields.io/badge/version-2.0.7-blueviolet.svg"/>
     <img src ="https://img.shields.io/badge/platform-windows|linux|macos-yellow.svg"/>
     <img src ="https://img.shields.io/badge/python-3.7-blue.svg" />
-    <img src ="https://img.shields.io/travis/com/vnpy/vnpy/master.svg"/>
+    <img src ="https://img.shields.io/circleci/build/github/vnpy/vnpy?token=4d11df68295c8cc02a2bede46094991364190bbc"/>
     <img src ="https://img.shields.io/github/license/vnpy/vnpy.svg?color=orange"/>
 </p>
 
@@ -32,49 +32,61 @@ vn.py是一套基于Python的开源量化交易系统开发框架，于2015年1
 
     * 国内市场
 
-        * CTP(ctp)：国内期货、期权
+        * CTP（ctp）：国内期货、期权
 
-        * CTP Mini(mini)：国内期货、期权
+        * CTP Mini（mini）：国内期货、期权
 
-        * 飞马(femas)：国内期货
+        * CTP证券（sopt）：ETF期权
 
-        * 宽睿(oes)：国内证券（A股）
+        * 飞马（femas）：国内期货
 
-        * 中泰XTP(xtp)：国内证券（A股）
+        * 宽睿（oes）：国内证券（A股）
 
-        * 华鑫奇点(tora)：国内证券（A股）
+        * 中泰XTP（xtp）：国内证券（A股）
+
+        * 华鑫奇点（tora）：国内证券（A股）
+
+        * 鑫管家（xgj）：期货资管
+
+        * 融航（rohon）：期货资管
 
     * 海外市场
 
-        * 富途证券(futu)：港股、美股
+        * 富途证券（futu）：港股、美股
 
-        * 老虎证券(tiger)：全球证券、期货、期权、外汇等
+        * 老虎证券（tiger）：全球证券、期货、期权、外汇等
 
-        * Interactive Brokers(ib)：全球证券、期货、期权、外汇等
+        * Interactive Brokers（ib）：全球证券、期货、期权、外汇等
 
-        * 易盛9.0外盘(tap)：全球期货
+        * 易盛9.0外盘（tap）：全球期货
+
+        * 直达期货（da）：全球期货
 
     * 数字货币
 
-        * BitMEX(bitmex)：数字货币期货、期权、永续合约
+        * BitMEX（bitmex）：数字货币期货、期权、永续合约
 
-        * OKEX合约(okexf)：数字货币期货
+        * OKEX永续（okexs）：数字货币永续合约
 
-        * 火币合约(hbdm)：数字货币期货
+        * OKEX合约（okexf）：数字货币期货
 
-        * 币安(binance)：数字货币现货
+        * 火币合约（hbdm）：数字货币期货
 
-        * OKEX(okex)：数字货币现货
+        * 币安（binance）：数字货币现货
 
-        * 火币(huobi)：数字货币现货
+        * OKEX（okex）：数字货币现货
 
-        * Bitfinex(bitfinex)：数字货币现货
+        * 火币（huobi）：数字货币现货
 
-        * 1Token(onetoken)：数字货币券商（现货、期货）
+        * Bitfinex（bitfinex）：数字货币现货
+
+        * Coinbase（coinbase）：数字货币现货
+
+        * 1Token（onetoken）：数字货币券商（现货、期货）
 
     * 特殊应用
     
-        * RPC服务(rpc)：跨进程通讯接口，用于分布式架构
+        * RPC服务（rpc）：跨进程通讯接口，用于分布式架构
 
 3. 开箱即用的各类量化策略交易应用（vnpy.app）：
 
@@ -82,6 +94,8 @@ vn.py是一套基于Python的开源量化交易系统开发框架，于2015年1
 
     * cta_backtester：CTA策略回测模块，无需使用Jupyter Notebook，直接使用图形界面直接进行策略回测分析、参数优化等相关工作
 
+    * spread_trading：价差交易模块，支持自定义价差，实时计算价差行情和持仓，支持半自动价差算法交易以及全自动价差策略交易两种模式
+
     * algo_trading：算法交易模块，提供多种常用的智能交易算法：TWAP、Sniper、Iceberg、BestLimit等等，支持常用算法配置保存
 
     * script_trader：脚本策略模块，针对多标的组合类交易策略设计，同时也可以直接在命令行中实现REPL指令形式的交易，不支持回测功能
@@ -108,7 +122,7 @@ vn.py是一套基于Python的开源量化交易系统开发框架，于2015年1
 
 ## 环境准备
 
-* 推荐使用vn.py团队为量化交易专门打造的Python发行版[VNStudio-2.0.4](https://download.vnpy.com/vnstudio-2.0.4-r.exe)，内置了最新版的vn.py框架以及VN Station量化管理平台，无需手动安装
+* 推荐使用vn.py团队为量化交易专门打造的Python发行版[VNStudio-2.0.7](https://download.vnpy.com/vnstudio-2.0.7.exe)，内置了最新版的vn.py框架以及VN Station量化管理平台，无需手动安装
 * 支持的系统版本：Windows 7以上/Windows Server 2008以上/Ubuntu 18.04 LTS
 * 支持的Python版本：Python 3.7 64位（**注意必须是Python 3.7 64位版本**）
 
@@ -153,24 +167,24 @@ from vnpy.gateway.ctp import CtpGateway
 from vnpy.app.cta_strategy import CtaStrategyApp
 from vnpy.app.cta_backtester import CtaBacktesterApp
 
-def main():
+def main（）:
     """Start VN Trader"""
-    qapp = create_qapp()
+    qapp = create_qapp（）
 
-    event_engine = EventEngine()
+    event_engine = EventEngine（）
-    main_engine = MainEngine(event_engine)
+    main_engine = MainEngine（event_engine）
     
-    main_engine.add_gateway(CtpGateway)
+    main_engine.add_gateway（CtpGateway）
-    main_engine.add_app(CtaStrategyApp)
+    main_engine.add_app（CtaStrategyApp）
-    main_engine.add_app(CtaBacktesterApp)
+    main_engine.add_app（CtaBacktesterApp）
 
-    main_window = MainWindow(main_engine, event_engine)
+    main_window = MainWindow（main_engine, event_engine）
-    main_window.showMaximized()
+    main_window.showMaximized（）
 
-    qapp.exec()
+    qapp.exec（）
 
 if __name__ == "__main__":
-    main()
+    main（）
 ```
 
 在该目录下打开CMD（按住Shift->点击鼠标右键->在此处打开命令窗口/PowerShell）后运行下列命令启动VN Trader：
@@ -179,14 +193,14 @@ if __name__ == "__main__":
 
 ## 贡献代码
 
-vn.py使用Github托管其源代码，如果希望贡献代码请使用github的PR(Pull Request)的流程:
+vn.py使用Github托管其源代码，如果希望贡献代码请使用github的PR（Pull Request）的流程:
 
-1. [创建 Issue](https://github.com/vnpy/vnpy/issues/new) - 对于较大的改动(如新功能，大型重构等)最好先开issue讨论一下，较小的improvement(如文档改进，bugfix等)直接发PR即可
+1. [创建 Issue](https://github.com/vnpy/vnpy/issues/new) - 对于较大的改动（如新功能，大型重构等）最好先开issue讨论一下，较小的improvement（如文档改进，bugfix等）直接发PR即可
 
 2. Fork [vn.py](https://github.com/vnpy/vnpy) - 点击右上角**Fork**按钮
 
 3. Clone你自己的fork: ```git clone https://github.com/$userid/vnpy.git```
-	* 如果你的fork已经过时，需要手动sync：[https://help.github.com/articles/syncing-a-fork/](https://help.github.com/articles/syncing-a-fork/)
+	* 如果你的fork已经过时，需要手动sync：[同步方法](https://help.github.com/articles/syncing-a-fork/)
 
 4. 从**dev**创建你自己的feature branch: ```git checkout -b $my_feature_branch dev```
 

examples/vn_trader/run.py

@@ -5,10 +5,10 @@ from vnpy.trader.engine import MainEngine
 from vnpy.trader.ui import MainWindow, create_qapp
 
 # from vnpy.gateway.binance import BinanceGateway
-# from vnpy.gateway.bitmex import BitmexGateway
+from vnpy.gateway.bitmex import BitmexGateway
 # from vnpy.gateway.futu import FutuGateway
 # from vnpy.gateway.ib import IbGateway
-# from vnpy.gateway.ctp import CtpGateway
+from vnpy.gateway.ctp import CtpGateway
 # from vnpy.gateway.ctptest import CtptestGateway
 # from vnpy.gateway.mini import MiniGateway
 # from vnpy.gateway.sopt import SoptGateway
@@ -18,7 +18,7 @@ from vnpy.trader.ui import MainWindow, create_qapp
 # from vnpy.gateway.oes import OesGateway
 # from vnpy.gateway.okex import OkexGateway
 # from vnpy.gateway.huobi import HuobiGateway
-# from vnpy.gateway.bitfinex import BitfinexGateway
+from vnpy.gateway.bitfinex import BitfinexGateway
 # from vnpy.gateway.onetoken import OnetokenGateway
 from vnpy.gateway.okexf import OkexfGateway
 from vnpy.gateway.okexs import OkexsGateway
@@ -38,6 +38,7 @@ from vnpy.app.cta_backtester import CtaBacktesterApp
 # from vnpy.app.risk_manager import RiskManagerApp
 from vnpy.app.script_trader import ScriptTraderApp
 from vnpy.app.rpc_service import RpcServiceApp
+from vnpy.app.spread_trading import SpreadTradingApp
 
 
 def main():
@@ -49,7 +50,7 @@ def main():
     main_engine = MainEngine(event_engine)
 
     # main_engine.add_gateway(BinanceGateway)
-    # main_engine.add_gateway(CtpGateway)
+    main_engine.add_gateway(CtpGateway)
     # main_engine.add_gateway(CtptestGateway)
     # main_engine.add_gateway(MiniGateway)
     # main_engine.add_gateway(SoptGateway)
@@ -57,12 +58,12 @@ def main():
     # main_engine.add_gateway(FemasGateway)
     # main_engine.add_gateway(IbGateway)
     # main_engine.add_gateway(FutuGateway)
-    # main_engine.add_gateway(BitmexGateway)
+    main_engine.add_gateway(BitmexGateway)
     # main_engine.add_gateway(TigerGateway)
     # main_engine.add_gateway(OesGateway)
     # main_engine.add_gateway(OkexGateway)
     # main_engine.add_gateway(HuobiGateway)
-    # main_engine.add_gateway(BitfinexGateway)
+    main_engine.add_gateway(BitfinexGateway)
     # main_engine.add_gateway(OnetokenGateway)
     # main_engine.add_gateway(OkexfGateway)
     # main_engine.add_gateway(HbdmGateway)
@@ -80,8 +81,9 @@ def main():
     # main_engine.add_app(AlgoTradingApp)
     # main_engine.add_app(DataRecorderApp)
     # main_engine.add_app(RiskManagerApp)
-    main_engine.add_app(ScriptTraderApp)
+    # main_engine.add_app(ScriptTraderApp)
-    main_engine.add_app(RpcServiceApp)
+    # main_engine.add_app(RpcServiceApp)
+    main_engine.add_app(SpreadTradingApp)
 
     main_window = MainWindow(main_engine, event_engine)
     main_window.showMaximized()

requirements.txt

@@ -19,3 +19,4 @@ ibapi
 deap
 pyzmq
 sortedcontainers
+wmi

vnpy/__init__.py

@@ -1 +1 @@
-__version__ = "2.0.6"
+__version__ = "2.0.7"

vnpy/api/rest/rest_client.py

@@ -1,7 +1,9 @@
+import logging
 import multiprocessing
 import os
 import sys
 import traceback
+import uuid
 from datetime import datetime
 from enum import Enum
 from multiprocessing.dummy import Pool
@@ -11,6 +13,8 @@ from typing import Any, Callable, List, Optional, Type, Union
 
 import requests
 
+from vnpy.trader.utility import get_file_logger
+
 
 class RequestStatus(Enum):
     ready = 0  # Request created
@@ -110,10 +114,12 @@ class RestClient(object):
         """
         """
         self.url_base = ''  # type: str
-        self._active = False
+        self.logger: Optional[logging.Logger] = None
 
         self.proxies = None
 
+        self._active = False
+
         self._tasks_lock = Lock()
         self._tasks: List[multiprocessing.pool.AsyncResult] = []
         self._sessions_lock = Lock()
@@ -123,12 +129,24 @@ class RestClient(object):
     def alive(self):
         return self._active
 
-    def init(self, url_base: str, proxy_host: str = "", proxy_port: int = 0):
+    def init(self,
+             url_base: str,
+             proxy_host: str = "",
+             proxy_port: int = 0,
+             log_path: Optional[str] = None,
+             ):
         """
         Init rest client with url_base which is the API root address.
         e.g. 'https://www.bitmex.com/api/v1/'
+        :param url_base:
+        :param proxy_host:
+        :param proxy_port:
+        :param log_path: optional. file to save log.
         """
         self.url_base = url_base
+        if log_path is not None:
+            self.logger = get_file_logger(log_path)
+            self.logger.setLevel(logging.DEBUG)
 
         if proxy_host and proxy_port:
             proxy = f"{proxy_host}:{proxy_port}"
@@ -275,6 +293,11 @@ class RestClient(object):
         """
         return True
 
+    def _log(self, msg, *args):
+        logger = self.logger
+        if logger:
+            logger.debug(msg, *args)
+
     def _process_request(
         self, request: Request
     ):
@@ -283,19 +306,32 @@ class RestClient(object):
         """
         try:
             with self._get_session() as session:
+                # sign
                 request = self.sign(request)
 
+                # send request
                 url = self.make_full_url(request.path)
+                uid = uuid.uuid4()
 
+                method = request.method
+                headers = request.headers
+                params = request.params
+                data = request.data
+                self._log("[%s] sending request %s %s, headers:%s, params:%s, data:%s",
+                          uid, method, url,
+                          headers, params, data)
                 response = session.request(
-                    request.method,
+                    method,
                     url,
-                    headers=request.headers,
+                    headers=headers,
-                    params=request.params,
+                    params=params,
-                    data=request.data,
+                    data=data,
                     proxies=self.proxies,
                 )
                 request.response = response
+                self._log("[%s] received response from %s:%s", uid, method, url)
+
+                # check result & call corresponding callbacks
                 status_code = response.status_code
 
                 success = False

vnpy/api/tap/vntap/custom/custom_wrappers.hpp

@@ -6,168 +6,169 @@
 
 namespace c2py
 {
-    // TapAPIOrderInfoNotice
+    // // TapAPIOrderInfoNotice
-    struct FixedTapAPIOrderInfoNotice : ITapTrade::TapAPIOrderInfoNotice
+    // struct FixedTapAPIOrderInfoNotice : ITapTrade::TapAPIOrderInfoNotice
-    {
-        ITapTrade::TapAPIOrderInfo order_info;
-
-        // copy from original structure
-        FixedTapAPIOrderInfoNotice(const ITapTrade::TapAPIOrderInfoNotice* info)
-            : TapAPIOrderInfoNotice(*info), order_info(info->OrderInfo != nullptr ? *info->OrderInfo : ITapTrade::TapAPIOrderInfo{})
-        {
-            // fix pointer if there is one
-            this->OrderInfo = info->OrderInfo != nullptr ? &this->order_info : nullptr;
-        }
-
-        // copy constructor
-        FixedTapAPIOrderInfoNotice(const FixedTapAPIOrderInfoNotice& fixed)
-            : TapAPIOrderInfoNotice(fixed), order_info(fixed.order_info)
-        {
-            // fix pointer if there is one
-            this->OrderInfo = this->OrderInfo != nullptr ? &this->order_info : nullptr;
-        }
-    };
-    // TapAPIPositionProfit
-    struct FixedTapAPIPositionProfitNotice : ITapTrade::TapAPIPositionProfitNotice
-    {
-        ITapTrade::TapAPIPositionProfit data;
-
-        // copy from original structure
-        FixedTapAPIPositionProfitNotice(const ITapTrade::TapAPIPositionProfitNotice* info)
-            : TapAPIPositionProfitNotice(*info), data(info->Data != nullptr ? *info->Data : ITapTrade::TapAPIPositionProfit{})
-        {
-            // fix pointer if there is one
-            this->Data = info->Data != nullptr ? &this->data : nullptr;
-        }
-
-        // copy constructor
-        FixedTapAPIPositionProfitNotice(const FixedTapAPIPositionProfitNotice& fixed)
-            : TapAPIPositionProfitNotice(fixed), data(fixed.data)
-        {
-            // fix pointer if there is one
-            this->Data = this->Data != nullptr ? &this->data : nullptr;
-        }
-    };
-
-    namespace arg_helper
-    {
-        inline auto save(const ITapTrade::TapAPIOrderInfoNotice* info)
-        { // match char []
-            return FixedTapAPIOrderInfoNotice(info);
-        }
-
-        template <>
-        struct loader<ITapTrade::TapAPIOrderInfoNotice>
-        {
-            inline FixedTapAPIOrderInfoNotice operator ()(FixedTapAPIOrderInfoNotice& val)
-            {
-                return val;
-            }
-        };
-
-        inline auto save(const ITapTrade::TapAPIPositionProfitNotice* info)
-        { // match char []
-            return FixedTapAPIPositionProfitNotice(info);
-        }
-
-        template <>
-        struct loader<ITapTrade::TapAPIPositionProfitNotice>
-        {
-            inline FixedTapAPIPositionProfitNotice operator ()(FixedTapAPIPositionProfitNotice& val)
-            {
-                return val;
-            }
-        };
-    }
-
-    //template<>
-    //struct callback_wrapper<&ITapTrade::ITapTradeAPINotify::OnRspOrderAction>
-    //{
-    //    inline static void call(ITapTrade::ITapTradeAPINotify* instance, const char* py_func_name, ITapTrade::TAPIUINT32 sessionID, ITapTrade::TAPIINT32 errorCode, const ITapTrade::TapAPIOrderActionRsp* info)
     // {
-    //        ITapTrade::TapAPIOrderInfo orderInfo;
+    //     ITapTrade::TapAPIOrderInfo order_info;
-    //        if (info->OrderInfo != nullptr)
+    // 
+    //     // copy from original structure
+    //     FixedTapAPIOrderInfoNotice(const ITapTrade::TapAPIOrderInfoNotice* info)
+    //         : TapAPIOrderInfoNotice(*info), order_info(info->OrderInfo != nullptr ? *info->OrderInfo : ITapTrade::TapAPIOrderInfo{})
     //     {
-    //            orderInfo = *info->OrderInfo;
+    //         // fix pointer if there is one
+    //         this->OrderInfo = info->OrderInfo != nullptr ? &this->order_info : nullptr;
     //     }
-    //        ITapTrade::TapAPIOrderActionRsp copied_info = *info;
+    // 
-    //        auto task = [=]() mutable
+    //     // copy constructor
+    //     FixedTapAPIOrderInfoNotice(const FixedTapAPIOrderInfoNotice& fixed)
+    //         : TapAPIOrderInfoNotice(fixed), order_info(fixed.order_info)
     //     {
-    //            if (copied_info.OrderInfo != nullptr)
+    //         // fix pointer if there is one
-    //            {
+    //         this->OrderInfo = this->OrderInfo != nullptr ? &this->order_info : nullptr;
-    //                copied_info.OrderInfo = &orderInfo;  // ensure pointer is pointer to the correct address(address changes after constructed lambda)
-    //            }
-    //            try
-    //            {
-    //                return default_callback_wrapper<&ITapTrade::ITapTradeAPINotify::OnRspOrderAction>::sync(instance, py_func_name, sessionID, errorCode, &copied_info);
-    //            }
-    //            catch (const async_dispatch_exception& e)
-    //            {
-    //                async_callback_exception_handler::handle_excepiton(e);
-    //            }
-
-    //        };
-    //        dispatcher::instance().add(std::move(task));
-    //    }
-    //};
-    //template<>
-    //struct callback_wrapper<&ITapTrade::ITapTradeAPINotify::OnRtnOrder>
-    //{
-    //    inline static void call(ITapTrade::ITapTradeAPINotify* instance, const char* py_func_name, const ITapTrade::TapAPIOrderInfoNotice* info)
-    //    {
-    //        ITapTrade::TapAPIOrderInfo orderInfo;
-    //        if (info->OrderInfo != nullptr)
-    //        {
-    //            orderInfo = *info->OrderInfo;
-    //        }
-    //        ITapTrade::TapAPIOrderInfoNotice copied_info = *info;
-    //        auto task = [=]() mutable
-    //        {
-    //            if (copied_info.OrderInfo != nullptr)
-    //            {
-    //                copied_info.OrderInfo = &orderInfo;  // ensure pointer is pointer to the correct address(address changes after constructed lambda)
-    //            }
-    //            try
-    //            {
-    //                return default_callback_wrapper<&ITapTrade::ITapTradeAPINotify::OnRtnOrder>::sync(instance, py_func_name, &copied_info);
-    //            }
-    //            catch (const async_dispatch_exception& e)
-    //            {
-    //                async_callback_exception_handler::handle_excepiton(e);
     //     }
     // };
-    //        dispatcher::instance().add(std::move(task));
+    // // TapAPIPositionProfit
+    // struct FixedTapAPIPositionProfitNotice : ITapTrade::TapAPIPositionProfitNotice
+    // {
+    //     ITapTrade::TapAPIPositionProfit data;
+    // 
+    //     // copy from original structure
+    //     FixedTapAPIPositionProfitNotice(const ITapTrade::TapAPIPositionProfitNotice* info)
+    //         : TapAPIPositionProfitNotice(*info), data(info->Data != nullptr ? *info->Data : ITapTrade::TapAPIPositionProfit{})
+    //     {
+    //         // fix pointer if there is one
+    //         this->Data = info->Data != nullptr ? &this->data : nullptr;
     //     }
-    //};
+    // 
-
+    //     // copy constructor
-    //template<>
+    //     FixedTapAPIPositionProfitNotice(const FixedTapAPIPositionProfitNotice& fixed)
-    //struct callback_wrapper<&ITapTrade::ITapTradeAPINotify::OnRtnPositionProfit>
+    //         : TapAPIPositionProfitNotice(fixed), data(fixed.data)
-    //{
-    //    inline static void call(ITapTrade::ITapTradeAPINotify* instance, const char* py_func_name, const ITapTrade::TapAPIPositionProfitNotice* info)
     //     {
-
+    //         // fix pointer if there is one
-    //        ITapTrade::TapAPIPositionProfit profit;
+    //         this->Data = this->Data != nullptr ? &this->data : nullptr;
-    //        if (info->Data != nullptr)
-    //        {
-    //            profit = *info->Data;
-    //        }
-    //        ITapTrade::TapAPIPositionProfitNotice copied_info = *info;
-    //        auto task = [=]() mutable
-    //        {
-    //            if (copied_info.Data != nullptr)
-    //            {
-    //                copied_info.Data = &profit;  // ensure pointer is pointer to the correct address(address changes after constructed lambda)
-    //            }
-    //            try
-    //            {
-    //                return default_callback_wrapper<&ITapTrade::ITapTradeAPINotify::OnRtnPositionProfit>::sync(instance, py_func_name, &copied_info);
-    //            }
-    //            catch (const async_dispatch_exception& e)
-    //            {
-    //                async_callback_exception_handler::handle_excepiton(e);
     //     }
     // };
-    //        dispatcher::instance().add(std::move(task));
+    // 
+    // namespace arg_helper
+    // {
+    //     inline auto save(const ITapTrade::TapAPIOrderInfoNotice* info)
+    //     { // match char []
+    //         return FixedTapAPIOrderInfoNotice(info);
     //     }
-    //};
+    // 
+    //     template <>
+    //     struct loader<ITapTrade::TapAPIOrderInfoNotice>
+    //     {
+    //         inline FixedTapAPIOrderInfoNotice operator ()(FixedTapAPIOrderInfoNotice& val)
+    //         {
+    //             return val;
+    //         }
+    //     };
+    // 
+    //     inline auto save(const ITapTrade::TapAPIPositionProfitNotice* info)
+    //     { // match char []
+    //         return FixedTapAPIPositionProfitNotice(info);
+    //     }
+    // 
+    //     template <>
+    //     struct loader<ITapTrade::TapAPIPositionProfitNotice>
+    //     {
+    //         inline FixedTapAPIPositionProfitNotice operator ()(FixedTapAPIPositionProfitNotice& val)
+    //         {
+    //             return val;
+    //         }
+    //     };
+    // }
+
+    template<>
+    struct callback_wrapper<&ITapTrade::ITapTradeAPINotify::OnRspOrderAction>
+    {
+        inline static void call(ITapTrade::ITapTradeAPINotify* instance, const char* py_func_name, ITapTrade::TAPIUINT32 sessionID, ITapTrade::TAPIINT32 errorCode, const ITapTrade::TapAPIOrderActionRsp* info)
+        {
+            ITapTrade::TapAPIOrderInfo orderInfo;
+            if (info->OrderInfo != nullptr)
+            {
+                orderInfo = *info->OrderInfo;
+            }
+            ITapTrade::TapAPIOrderActionRsp copied_info = *info;
+            auto task = [=]() mutable
+            {
+                if (copied_info.OrderInfo != nullptr)
+                {
+                    copied_info.OrderInfo = &orderInfo;  // ensure pointer is pointer to the correct address(address changes after constructed lambda)
+                }
+                try
+                {
+                    return default_callback_wrapper<&ITapTrade::ITapTradeAPINotify::OnRspOrderAction>::sync(instance, py_func_name, sessionID, errorCode, &copied_info);
+                }
+                catch (const async_dispatch_exception& e)
+                {
+                    async_callback_exception_handler::handle_excepiton(e);
+                }
+
+            };
+            dispatcher::instance().add(std::move(task));
+        }
+    };
+    
+    template<>
+    struct callback_wrapper<&ITapTrade::ITapTradeAPINotify::OnRtnOrder>
+    {
+        inline static void call(ITapTrade::ITapTradeAPINotify* instance, const char* py_func_name, const ITapTrade::TapAPIOrderInfoNotice* info)
+        {
+            ITapTrade::TapAPIOrderInfo orderInfo;
+            if (info->OrderInfo != nullptr)
+            {
+                orderInfo = *info->OrderInfo;
+            }
+            ITapTrade::TapAPIOrderInfoNotice copied_info = *info;
+            auto task = [=]() mutable
+            {
+                if (copied_info.OrderInfo != nullptr)
+                {
+                    copied_info.OrderInfo = &orderInfo;  // ensure pointer is pointer to the correct address(address changes after constructed lambda)
+                }
+                try
+                {
+                    return default_callback_wrapper<&ITapTrade::ITapTradeAPINotify::OnRtnOrder>::sync(instance, py_func_name, &copied_info);
+                }
+                catch (const async_dispatch_exception& e)
+                {
+                    async_callback_exception_handler::handle_excepiton(e);
+                }
+            };
+            dispatcher::instance().add(std::move(task));
+        }
+    };
+
+    template<>
+    struct callback_wrapper<&ITapTrade::ITapTradeAPINotify::OnRtnPositionProfit>
+    {
+        inline static void call(ITapTrade::ITapTradeAPINotify* instance, const char* py_func_name, const ITapTrade::TapAPIPositionProfitNotice* info)
+        {
+
+            ITapTrade::TapAPIPositionProfit profit;
+            if (info->Data != nullptr)
+            {
+                profit = *info->Data;
+            }
+            ITapTrade::TapAPIPositionProfitNotice copied_info = *info;
+            auto task = [=]() mutable
+            {
+                if (copied_info.Data != nullptr)
+                {
+                    copied_info.Data = &profit;  // ensure pointer is pointer to the correct address(address changes after constructed lambda)
+                }
+                try
+                {
+                    return default_callback_wrapper<&ITapTrade::ITapTradeAPINotify::OnRtnPositionProfit>::sync(instance, py_func_name, &copied_info);
+                }
+                catch (const async_dispatch_exception& e)
+                {
+                    async_callback_exception_handler::handle_excepiton(e);
+                }
+            };
+            dispatcher::instance().add(std::move(task));
+        }
+    };
 }

vnpy/api/tap/vntap/vntap.vcxproj

@@ -115,30 +115,30 @@
     <TargetExt>.pyd</TargetExt>
     <OutDir>$(SolutionDir)</OutDir>
     <IntDir>$(Platform)\$(Configuration)\</IntDir>
-    <IncludePath>$(ProjectDir);$(ProjectDir)include;C:\Python37\include;$(IncludePath)</IncludePath>
+    <IncludePath>$(ProjectDir);$(ProjectDir)include;C:\Python37\include;C:\Python373\include;$(IncludePath)</IncludePath>
-    <LibraryPath>$(ProjectDir)\libs;C:\Python37\libs;$(LibraryPath)</LibraryPath>
+    <LibraryPath>$(ProjectDir)\libs;C:\Python37\libs;C:\Python373\libs;$(LibraryPath)</LibraryPath>
   </PropertyGroup>
   <PropertyGroup Condition="'$(Configuration)|$(Platform)'=='Debug|x64'">
     <LinkIncremental>true</LinkIncremental>
     <TargetExt>.pyd</TargetExt>
     <OutDir>$(SolutionDir)</OutDir>
-    <IncludePath>$(ProjectDir);$(ProjectDir)include;C:\Python37\include;$(IncludePath)</IncludePath>
+    <IncludePath>$(ProjectDir);$(ProjectDir)include;C:\Python37\include;C:\Python373\include;$(IncludePath)</IncludePath>
-    <LibraryPath>$(ProjectDir)\libs;C:\Python37\libs;$(LibraryPath)</LibraryPath>
+    <LibraryPath>$(ProjectDir)\libs;C:\Python37\libs;C:\Python373\libs;$(LibraryPath)</LibraryPath>
   </PropertyGroup>
   <PropertyGroup Condition="'$(Configuration)|$(Platform)'=='Release|Win32'">
     <LinkIncremental>false</LinkIncremental>
     <TargetExt>.pyd</TargetExt>
     <OutDir>$(SolutionDir)</OutDir>
     <IntDir>$(Platform)\$(Configuration)\</IntDir>
-    <IncludePath>$(ProjectDir);$(ProjectDir)include;C:\Python37\include;$(IncludePath)</IncludePath>
+    <IncludePath>$(ProjectDir);$(ProjectDir)include;C:\Python37\include;C:\Python373\include;$(IncludePath)</IncludePath>
-    <LibraryPath>$(ProjectDir)\libs;C:\Python37\libs;$(LibraryPath)</LibraryPath>
+    <LibraryPath>$(ProjectDir)\libs;C:\Python37\libs;C:\Python373\libs;$(LibraryPath)</LibraryPath>
   </PropertyGroup>
   <PropertyGroup Condition="'$(Configuration)|$(Platform)'=='Release|x64'">
     <LinkIncremental>false</LinkIncremental>
     <TargetExt>.pyd</TargetExt>
     <OutDir>$(SolutionDir)</OutDir>
-    <IncludePath>$(ProjectDir);$(ProjectDir)include;C:\Python37\include;$(IncludePath)</IncludePath>
+    <IncludePath>$(ProjectDir);$(ProjectDir)include;C:\Python37\include;C:\Python373\include;$(IncludePath)</IncludePath>
-    <LibraryPath>$(ProjectDir)\libs;C:\Python37\libs;$(LibraryPath)</LibraryPath>
+    <LibraryPath>$(ProjectDir)\libs;C:\Python37\libs;C:\Python373\libs;$(LibraryPath)</LibraryPath>
   </PropertyGroup>
   <ItemDefinitionGroup Condition="'$(Configuration)|$(Platform)'=='Debug|Win32'">
     <ClCompile>

vnpy/api/tap/vntap/vntap.vcxproj.filters

@@ -98,8 +98,5 @@
     <ClCompile Include="generated_files\generated_functions_10.cpp">
       <Filter>Source Files</Filter>
     </ClCompile>
-    <ClCompile Include="generated_files\generated_functions_11.cpp">
-      <Filter>Source Files</Filter>
-    </ClCompile>
   </ItemGroup>
 </Project>

vnpy/api/websocket/websocket_client.py

@@ -1,14 +1,18 @@
 import json
+import logging
+import socket
 import ssl
 import sys
 import traceback
-import socket
 from datetime import datetime
 from threading import Lock, Thread
 from time import sleep
+from typing import Optional
 
 import websocket
 
+from vnpy.trader.utility import get_file_logger
+
 
 class WebsocketClient(object):
     """
@@ -50,16 +54,33 @@ class WebsocketClient(object):
         self.ping_interval = 60  # seconds
         self.header = {}
 
+        self.logger: Optional[logging.Logger] = None
+
         # For debugging
         self._last_sent_text = None
         self._last_received_text = None
 
-    def init(self, host: str, proxy_host: str = "", proxy_port: int = 0, ping_interval: int = 60, header: dict = None):
+    def init(self,
+             host: str,
+             proxy_host: str = "",
+             proxy_port: int = 0,
+             ping_interval: int = 60,
+             header: dict = None,
+             log_path: Optional[str] = None,
+             ):
         """
+        :param host:
+        :param proxy_host:
+        :param proxy_port:
+        :param header:
         :param ping_interval: unit: seconds, type: int
+        :param log_path: optional. file to save log.
         """
         self.host = host
         self.ping_interval = ping_interval  # seconds
+        if log_path is not None:
+            self.logger = get_file_logger(log_path)
+            self.logger.setLevel(logging.DEBUG)
 
         if header:
             self.header = header
@@ -109,6 +130,11 @@ class WebsocketClient(object):
         self._record_last_sent_text(text)
         return self._send_text(text)
 
+    def _log(self, msg, *args):
+        logger = self.logger
+        if logger:
+            logger.debug(msg, *args)
+
     def _send_text(self, text: str):
         """
         Send a text string to server.
@@ -116,6 +142,7 @@ class WebsocketClient(object):
         ws = self._ws
         if ws:
             ws.send(text, opcode=websocket.ABNF.OPCODE_TEXT)
+            self._log('sent text: %s', text)
 
     def _send_binary(self, data: bytes):
         """
@@ -124,6 +151,7 @@ class WebsocketClient(object):
         ws = self._ws
         if ws:
             ws._send_binary(data)
+            self._log('sent binary: %s', data)
 
     def _create_connection(self, *args, **kwargs):
         """"""
@@ -184,6 +212,7 @@ class WebsocketClient(object):
                             print("websocket unable to parse data: " + text)
                             raise e
 
+                        self._log('recv data: %s', data)
                         self.on_packet(data)
                 # ws is closed before recv function is called
                 # For socket.error, see Issue #1608

vnpy/app/cta_backtester/engine.py

@@ -91,13 +91,15 @@ class BacktesterEngine(BaseEngine):
         """
         for dirpath, dirnames, filenames in os.walk(path):
             for filename in filenames:
+                # Load python source code file
                 if filename.endswith(".py"):
                     strategy_module_name = ".".join(
                         [module_name, filename.replace(".py", "")])
+                    self.load_strategy_class_from_module(strategy_module_name)
+                # Load compiled pyd binary file
                 elif filename.endswith(".pyd"):
                     strategy_module_name = ".".join(
                         [module_name, filename.split(".")[0]])
-
                     self.load_strategy_class_from_module(strategy_module_name)
 
     def load_strategy_class_from_module(self, module_name: str):
@@ -354,9 +356,12 @@ class BacktesterEngine(BaseEngine):
 
         contract = self.main_engine.get_contract(vt_symbol)
 
+        try:
             # If history data provided in gateway, then query
             if contract and contract.history_data:
-            data = self.main_engine.query_history(req, contract.gateway_name)
+                data = self.main_engine.query_history(
+                    req, contract.gateway_name
+                )
             # Otherwise use RQData to query data
             else:
                 data = rqdata_client.query_history(req)
@@ -366,6 +371,9 @@ class BacktesterEngine(BaseEngine):
                 self.write_log(f"{vt_symbol}-{interval}历史数据下载完成")
             else:
                 self.write_log(f"数据下载失败，无法获取{vt_symbol}的历史数据")
+        except Exception:
+            msg = f"数据下载失败，触发异常：\n{traceback.format_exc()}"
+            self.write_log(msg)
 
         # Clear thread object handler.
         self.thread = None

vnpy/app/cta_backtester/ui/widget.py

@@ -332,7 +332,7 @@ class BacktesterManager(QtWidgets.QWidget):
         end_date = self.end_date_edit.date()
 
         start = datetime(start_date.year(), start_date.month(), start_date.day())
-        end = datetime(end_date.year(), end_date.month(), end_date.day())
+        end = datetime(end_date.year(), end_date.month(), end_date.day(), 23, 59, 59)
 
         self.backtester_engine.start_downloading(
             vt_symbol,

vnpy/app/cta_strategy/engine.py

@@ -38,6 +38,7 @@ from vnpy.trader.constant import (
 from vnpy.trader.utility import load_json, save_json, extract_vt_symbol, round_to
 from vnpy.trader.database import database_manager
 from vnpy.trader.rqdata import rqdata_client
+from vnpy.trader.converter import OffsetConverter
 
 from .base import (
     APP_NAME,
@@ -50,7 +51,6 @@ from .base import (
     STOPORDER_PREFIX
 )
 from .template import CtaTemplate
-from .converter import OffsetConverter
 
 
 STOP_STATUS_MAP = {

vnpy/app/cta_strategy/strategies/turtle_signal_strategy.py

@@ -78,7 +78,12 @@ class TurtleSignalStrategy(CtaTemplate):
         if not self.am.inited:
             return
 
-        self.entry_up, self.entry_down = self.am.donchian(self.entry_window)
+        # Only calculates new entry channel when no position holding
+        if not self.pos:
+            self.entry_up, self.entry_down = self.am.donchian(
+                self.entry_window
+            )
+
         self.exit_up, self.exit_down = self.am.donchian(self.exit_window)
 
         if not self.pos:
@@ -92,13 +97,13 @@ class TurtleSignalStrategy(CtaTemplate):
             self.send_buy_orders(self.entry_up)
             self.send_short_orders(self.entry_down)
         elif self.pos > 0:
-            self.send_buy_orders(self.long_entry)
+            self.send_buy_orders(self.entry_up)
 
             sell_price = max(self.long_stop, self.exit_down)
             self.sell(sell_price, abs(self.pos), True)
 
         elif self.pos < 0:
-            self.send_short_orders(self.short_entry)
+            self.send_short_orders(self.entry_down)
 
             cover_price = min(self.short_stop, self.exit_up)
             self.cover(cover_price, abs(self.pos), True)

vnpy/app/spread_trading/__init__.py

@@ -0,0 +1,28 @@
+from pathlib import Path
+
+from vnpy.trader.app import BaseApp
+from vnpy.trader.object import (
+    OrderData,
+    TradeData
+)
+
+from .engine import (
+    SpreadEngine,
+    APP_NAME,
+    SpreadData,
+    LegData,
+    SpreadStrategyTemplate,
+    SpreadAlgoTemplate
+)
+
+
+class SpreadTradingApp(BaseApp):
+    """"""
+
+    app_name = APP_NAME
+    app_module = __module__
+    app_path = Path(__file__).parent
+    display_name = "价差交易"
+    engine_class = SpreadEngine
+    widget_name = "SpreadManager"
+    icon_name = "spread.ico"

vnpy/app/spread_trading/algo.py

@@ -0,0 +1,141 @@
+from typing import Any
+
+from vnpy.trader.constant import Direction
+from vnpy.trader.object import (TickData, OrderData, TradeData)
+
+from .template import SpreadAlgoTemplate
+from .base import SpreadData
+
+
+class SpreadTakerAlgo(SpreadAlgoTemplate):
+    """"""
+    algo_name = "SpreadTaker"
+
+    def __init__(
+        self,
+        algo_engine: Any,
+        algoid: str,
+        spread: SpreadData,
+        direction: Direction,
+        price: float,
+        volume: float,
+        payup: int,
+        interval: int,
+        lock: bool
+    ):
+        """"""
+        super().__init__(
+            algo_engine, algoid, spread, direction,
+            price, volume, payup, interval, lock
+        )
+
+        self.cancel_interval: int = 2
+        self.timer_count: int = 0
+
+    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
+
+        # Hedge if active leg is not fully hedged
+        if not self.check_hedge_finished():
+            self.hedge_passive_legs()
+            return
+
+        # Otherwise check if should take active leg
+        if self.direction == Direction.LONG:
+            if self.spread.ask_price <= self.price:
+                self.take_active_leg()
+        else:
+            if self.spread.bid_price >= self.price:
+                self.take_active_leg()
+
+    def on_order(self, order: OrderData):
+        """"""
+        # Only care active leg order update
+        if order.vt_symbol != self.spread.active_leg.vt_symbol:
+            return
+
+        # Do nothing if still any existing orders
+        if not self.check_order_finished():
+            return
+
+        # Hedge passive legs if necessary
+        if not self.check_hedge_finished():
+            self.hedge_passive_legs()
+
+    def on_trade(self, trade: TradeData):
+        """"""
+        pass
+
+    def on_interval(self):
+        """"""
+        if not self.check_order_finished():
+            self.cancel_all_order()
+
+    def take_active_leg(self):
+        """"""
+        # Calculate spread order volume of new round trade
+        spread_volume_left = self.target - self.traded
+
+        if self.direction == Direction.LONG:
+            spread_order_volume = self.spread.ask_volume
+            spread_order_volume = min(spread_order_volume, spread_volume_left)
+        else:
+            spread_order_volume = -self.spread.bid_volume
+            spread_order_volume = max(spread_order_volume, spread_volume_left)
+
+        # Calculate active leg order volume
+        leg_order_volume = self.spread.calculate_leg_volume(
+            self.spread.active_leg.vt_symbol,
+            spread_order_volume
+        )
+
+        # Send active leg order
+        self.send_leg_order(
+            self.spread.active_leg.vt_symbol,
+            leg_order_volume
+        )
+
+    def hedge_passive_legs(self):
+        """
+        Send orders to hedge all passive legs.
+        """
+        # Calcualte spread volume to hedge
+        active_leg = self.spread.active_leg
+        active_traded = self.leg_traded[active_leg.vt_symbol]
+
+        hedge_volume = self.spread.calculate_spread_volume(
+            active_leg.vt_symbol,
+            active_traded
+        )
+
+        # Calculate passive leg target volume and do hedge
+        for leg in self.spread.passive_legs:
+            passive_traded = self.leg_traded[leg.vt_symbol]
+            passive_target = self.spread.calculate_leg_volume(
+                leg.vt_symbol,
+                hedge_volume
+            )
+
+            leg_order_volume = passive_target - passive_traded
+            if leg_order_volume:
+                self.send_leg_order(leg.vt_symbol, leg_order_volume)
+
+    def send_leg_order(self, vt_symbol: str, leg_volume: float):
+        """"""
+        leg = self.spread.legs[vt_symbol]
+        leg_tick = self.get_tick(vt_symbol)
+        leg_contract = self.get_contract(vt_symbol)
+
+        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))
+        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/base.py

@@ -0,0 +1,235 @@
+from typing import Dict, List
+from math import floor, ceil
+from datetime import datetime
+
+from vnpy.trader.object import TickData, PositionData, TradeData
+from vnpy.trader.constant import Direction, Offset, Exchange
+
+
+EVENT_SPREAD_DATA = "eSpreadData"
+EVENT_SPREAD_POS = "eSpreadPos"
+EVENT_SPREAD_LOG = "eSpreadLog"
+EVENT_SPREAD_ALGO = "eSpreadAlgo"
+EVENT_SPREAD_STRATEGY = "eSpreadStrategy"
+
+
+class LegData:
+    """"""
+
+    def __init__(self, vt_symbol: str):
+        """"""
+        self.vt_symbol: str = vt_symbol
+
+        # Price and position data
+        self.bid_price: float = 0
+        self.ask_price: float = 0
+        self.bid_volume: float = 0
+        self.ask_volume: float = 0
+
+        self.long_pos: float = 0
+        self.short_pos: float = 0
+        self.net_pos: float = 0
+
+        # Tick data buf
+        self.tick: TickData = None
+
+    def update_tick(self, tick: TickData):
+        """"""
+        self.bid_price = tick.bid_price_1
+        self.ask_price = tick.ask_price_1
+        self.bid_volume = tick.bid_volume_1
+        self.ask_volume = tick.ask_volume_1
+
+        self.tick = tick
+
+    def update_position(self, position: PositionData):
+        """"""
+        if position.direction == Direction.NET:
+            self.net_pos = position.volume
+        else:
+            if position.direction == Direction.LONG:
+                self.long_pos = position.volume
+            else:
+                self.short_pos = position.volume
+            self.net_pos = self.long_pos - self.short_pos
+
+    def update_trade(self, trade: TradeData):
+        """"""
+        if trade.direction == Direction.LONG:
+            if trade.offset == Offset.OPEN:
+                self.long_pos += trade.volume
+            else:
+                self.short_pos -= trade.volume
+        else:
+            if trade.offset == Offset.OPEN:
+                self.short_pos += trade.volume
+            else:
+                self.long_pos -= trade.volume
+
+        self.net_pos = self.long_pos - self.net_pos
+
+
+class SpreadData:
+    """"""
+
+    def __init__(
+        self,
+        name: str,
+        legs: List[LegData],
+        price_multipliers: Dict[str, int],
+        trading_multipliers: Dict[str, int],
+        active_symbol: str
+    ):
+        """"""
+        self.name: str = name
+
+        self.legs: Dict[str, LegData] = {}
+        self.active_leg: LegData = None
+        self.passive_legs: List[LegData] = []
+
+        # For calculating spread price
+        self.price_multipliers: Dict[str: int] = price_multipliers
+
+        # For calculating spread pos and sending orders
+        self.trading_multipliers: Dict[str: int] = trading_multipliers
+
+        self.price_formula: str = ""
+        self.trading_formula: str = ""
+
+        for leg in legs:
+            self.legs[leg.vt_symbol] = leg
+            if leg.vt_symbol == active_symbol:
+                self.active_leg = leg
+            else:
+                self.passive_legs.append(leg)
+
+            price_multiplier = self.price_multipliers[leg.vt_symbol]
+            if price_multiplier > 0:
+                self.price_formula += f"+{price_multiplier}*{leg.vt_symbol}"
+            else:
+                self.price_formula += f"{price_multiplier}*{leg.vt_symbol}"
+
+            trading_multiplier = self.trading_multipliers[leg.vt_symbol]
+            if trading_multiplier > 0:
+                self.trading_formula += f"+{trading_multiplier}*{leg.vt_symbol}"
+            else:
+                self.trading_formula += f"{trading_multiplier}*{leg.vt_symbol}"
+
+        # Spread data
+        self.bid_price: float = 0
+        self.ask_price: float = 0
+        self.bid_volume: float = 0
+        self.ask_volume: float = 0
+
+        self.net_pos: float = 0
+        self.datetime: datetime = None
+
+    def calculate_price(self):
+        """"""
+        self.clear_price()
+
+        # Go through all legs to calculate price
+        for n, leg in enumerate(self.legs.values()):
+            # Filter not all leg price data has been received
+            if not leg.bid_volume or not leg.ask_volume:
+                self.clear_price()
+                return
+
+            # Calculate price
+            price_multiplier = self.price_multipliers[leg.vt_symbol]
+            if price_multiplier > 0:
+                self.bid_price += leg.bid_price * price_multiplier
+                self.ask_price += leg.ask_price * price_multiplier
+            else:
+                self.bid_price += leg.ask_price * price_multiplier
+                self.ask_price += leg.bid_price * price_multiplier
+
+            # Calculate volume
+            trading_multiplier = self.trading_multipliers[leg.vt_symbol]
+
+            if trading_multiplier > 0:
+                adjusted_bid_volume = floor(
+                    leg.bid_volume / trading_multiplier)
+                adjusted_ask_volume = floor(
+                    leg.ask_volume / trading_multiplier)
+            else:
+                adjusted_bid_volume = floor(
+                    leg.ask_volume / abs(trading_multiplier))
+                adjusted_ask_volume = floor(
+                    leg.bid_volume / abs(trading_multiplier))
+
+            # For the first leg, just initialize
+            if not n:
+                self.bid_volume = adjusted_bid_volume
+                self.ask_volume = adjusted_ask_volume
+            # For following legs, use min value of each leg quoting volume
+            else:
+                self.bid_volume = min(self.bid_volume, adjusted_bid_volume)
+                self.ask_volume = min(self.ask_volume, adjusted_ask_volume)
+
+            # Update calculate time
+            self.datetime = datetime.now()
+
+    def calculate_pos(self):
+        """"""
+        self.net_pos = 0
+
+        for n, leg in enumerate(self.legs.values()):
+            trading_multiplier = self.trading_multipliers[leg.vt_symbol]
+            adjusted_net_pos = leg.net_pos / trading_multiplier
+
+            if adjusted_net_pos > 0:
+                adjusted_net_pos = floor(adjusted_net_pos)
+            else:
+                adjusted_net_pos = ceil(adjusted_net_pos)
+
+            if not n:
+                self.net_pos = adjusted_net_pos
+            else:
+                if adjusted_net_pos > 0:
+                    self.net_pos = min(self.net_pos, adjusted_net_pos)
+                else:
+                    self.net_pos = max(self.net_pos, adjusted_net_pos)
+
+    def clear_price(self):
+        """"""
+        self.bid_price = 0
+        self.ask_price = 0
+        self.bid_volume = 0
+        self.ask_volume = 0
+
+    def calculate_leg_volume(self, vt_symbol: str, spread_volume: float) -> float:
+        """"""
+        leg = self.legs[vt_symbol]
+        trading_multiplier = self.trading_multipliers[leg.vt_symbol]
+        leg_volume = spread_volume * trading_multiplier
+        return leg_volume
+
+    def calculate_spread_volume(self, vt_symbol: str, leg_volume: float) -> float:
+        """"""
+        leg = self.legs[vt_symbol]
+        trading_multiplier = self.trading_multipliers[leg.vt_symbol]
+        spread_volume = leg_volume / trading_multiplier
+
+        if spread_volume > 0:
+            spread_volume = floor(spread_volume)
+        else:
+            spread_volume = ceil(spread_volume)
+
+        return spread_volume
+
+    def to_tick(self):
+        """"""
+        tick = TickData(
+            symbol=self.name,
+            exchange=Exchange.LOCAL,
+            datetime=self.datetime,
+            name=self.name,
+            last_price=(self.bid_price + self.ask_price) / 2,
+            bid_price_1=self.bid_price,
+            ask_price_1=self.ask_price,
+            bid_volume_1=self.bid_volume,
+            ask_volume_1=self.ask_volume,
+            gateway_name="SPREAD"
+        )
+        return tick

vnpy/app/spread_trading/engine.py

@@ -0,0 +1,997 @@
+import traceback
+import importlib
+import os
+from typing import List, Dict, Set, Callable, Any, Type
+from collections import defaultdict
+from copy import copy
+from pathlib import Path
+
+from vnpy.event import EventEngine, Event
+from vnpy.trader.engine import BaseEngine, MainEngine
+from vnpy.trader.event import (
+    EVENT_TICK, EVENT_POSITION, EVENT_CONTRACT,
+    EVENT_ORDER, EVENT_TRADE, EVENT_TIMER
+)
+from vnpy.trader.utility import load_json, save_json
+from vnpy.trader.object import (
+    TickData, ContractData, LogData,
+    SubscribeRequest, OrderRequest
+)
+from vnpy.trader.constant import Direction, Offset, OrderType
+from vnpy.trader.converter import OffsetConverter
+
+from .base import (
+    LegData, SpreadData,
+    EVENT_SPREAD_DATA, EVENT_SPREAD_POS,
+    EVENT_SPREAD_ALGO, EVENT_SPREAD_LOG,
+    EVENT_SPREAD_STRATEGY
+)
+from .template import SpreadAlgoTemplate, SpreadStrategyTemplate
+from .algo import SpreadTakerAlgo
+
+
+APP_NAME = "SpreadTrading"
+
+
+class SpreadEngine(BaseEngine):
+    """"""
+
+    def __init__(self, main_engine: MainEngine, event_engine: EventEngine):
+        """Constructor"""
+        super().__init__(main_engine, event_engine, APP_NAME)
+
+        self.active = False
+
+        self.data_engine: SpreadDataEngine = SpreadDataEngine(self)
+        self.algo_engine: SpreadAlgoEngine = SpreadAlgoEngine(self)
+        self.strategy_engine: SpreadStrategyEngine = SpreadStrategyEngine(self)
+
+        self.add_spread = self.data_engine.add_spread
+        self.remove_spread = self.data_engine.remove_spread
+        self.get_spread = self.data_engine.get_spread
+        self.get_all_spreads = self.data_engine.get_all_spreads
+
+        self.start_algo = self.algo_engine.start_algo
+        self.stop_algo = self.algo_engine.stop_algo
+
+    def start(self):
+        """"""
+        if self.active:
+            return
+        self.active = True
+
+        self.data_engine.start()
+        self.algo_engine.start()
+        self.strategy_engine.start()
+
+    def stop(self):
+        """"""
+        self.data_engine.stop()
+        self.algo_engine.stop()
+        self.strategy_engine.stop()
+
+    def write_log(self, msg: str):
+        """"""
+        log = LogData(
+            msg=msg,
+            gateway_name=APP_NAME
+        )
+        event = Event(EVENT_SPREAD_LOG, log)
+        self.event_engine.put(event)
+
+
+class SpreadDataEngine:
+    """"""
+    setting_filename = "spread_trading_setting.json"
+
+    def __init__(self, spread_engine: SpreadEngine):
+        """"""
+        self.spread_engine: SpreadEngine = spread_engine
+        self.main_engine: MainEngine = spread_engine.main_engine
+        self.event_engine: EventEngine = spread_engine.event_engine
+
+        self.write_log = spread_engine.write_log
+
+        self.legs: Dict[str, LegData] = {}          # vt_symbol: leg
+        self.spreads: Dict[str, SpreadData] = {}    # name: spread
+        self.symbol_spread_map: Dict[str, List[SpreadData]] = defaultdict(list)
+
+    def start(self):
+        """"""
+        self.load_setting()
+        self.register_event()
+
+        self.write_log("价差数据引擎启动成功")
+
+    def stop(self):
+        """"""
+        pass
+
+    def load_setting(self) -> None:
+        """"""
+        setting = load_json(self.setting_filename)
+
+        for spread_setting in setting:
+            self.add_spread(
+                spread_setting["name"],
+                spread_setting["leg_settings"],
+                spread_setting["active_symbol"],
+                save=False
+            )
+
+    def save_setting(self) -> None:
+        """"""
+        setting = []
+
+        for spread in self.spreads.values():
+            leg_settings = []
+            for leg in spread.legs.values():
+                price_multiplier = spread.price_multipliers[leg.vt_symbol]
+                trading_multiplier = spread.trading_multipliers[leg.vt_symbol]
+
+                leg_setting = {
+                    "vt_symbol": leg.vt_symbol,
+                    "price_multiplier": price_multiplier,
+                    "trading_multiplier": trading_multiplier
+                }
+                leg_settings.append(leg_setting)
+
+            spread_setting = {
+                "name": spread.name,
+                "leg_settings": leg_settings,
+                "active_symbol": spread.active_leg.vt_symbol
+            }
+            setting.append(spread_setting)
+
+        save_json(self.setting_filename, setting)
+
+    def register_event(self) -> None:
+        """"""
+        self.event_engine.register(EVENT_TICK, self.process_tick_event)
+        self.event_engine.register(EVENT_TRADE, self.process_trade_event)
+        self.event_engine.register(EVENT_POSITION, self.process_position_event)
+        self.event_engine.register(EVENT_CONTRACT, self.process_contract_event)
+
+    def process_tick_event(self, event: Event) -> None:
+        """"""
+        tick = event.data
+
+        leg = self.legs.get(tick.vt_symbol, None)
+        if not leg:
+            return
+        leg.update_tick(tick)
+
+        for spread in self.symbol_spread_map[tick.vt_symbol]:
+            spread.calculate_price()
+            self.put_data_event(spread)
+
+    def process_position_event(self, event: Event) -> None:
+        """"""
+        position = event.data
+
+        leg = self.legs.get(position.vt_symbol, None)
+        if not leg:
+            return
+        leg.update_position(position)
+
+        for spread in self.symbol_spread_map[position.vt_symbol]:
+            spread.calculate_pos()
+            self.put_pos_event(spread)
+
+    def process_trade_event(self, event: Event) -> None:
+        """"""
+        trade = event.data
+
+        leg = self.legs.get(trade.vt_symbol, None)
+        if not leg:
+            return
+        leg.update_trade(trade)
+
+        for spread in self.symbol_spread_map[trade.vt_symbol]:
+            spread.calculate_pos()
+            self.put_pos_event(spread)
+
+    def process_contract_event(self, event: Event) -> None:
+        """"""
+        contract = event.data
+
+        if contract.vt_symbol in self.legs:
+            req = SubscribeRequest(
+                contract.symbol, contract.exchange
+            )
+            self.main_engine.subscribe(req, contract.gateway_name)
+
+    def put_data_event(self, spread: SpreadData) -> None:
+        """"""
+        event = Event(EVENT_SPREAD_DATA, spread)
+        self.event_engine.put(event)
+
+    def put_pos_event(self, spread: SpreadData) -> None:
+        """"""
+        event = Event(EVENT_SPREAD_POS, spread)
+        self.event_engine.put(event)
+
+    def get_leg(self, vt_symbol: str) -> LegData:
+        """"""
+        leg = self.legs.get(vt_symbol, None)
+
+        if not leg:
+            leg = LegData(vt_symbol)
+            self.legs[vt_symbol] = leg
+
+            # Subscribe market data
+            contract = self.main_engine.get_contract(vt_symbol)
+            if contract:
+                req = SubscribeRequest(
+                    contract.symbol,
+                    contract.exchange
+                )
+                self.main_engine.subscribe(req, contract.gateway_name)
+
+        return leg
+
+    def add_spread(
+        self,
+        name: str,
+        leg_settings: List[Dict],
+        active_symbol: str,
+        save: bool = True
+    ) -> None:
+        """"""
+        if name in self.spreads:
+            self.write_log("价差创建失败，名称重复：{}".format(name))
+            return
+
+        legs: List[LegData] = []
+        price_multipliers: Dict[str, int] = {}
+        trading_multipliers: Dict[str, int] = {}
+
+        for leg_setting in leg_settings:
+            vt_symbol = leg_setting["vt_symbol"]
+            leg = self.get_leg(vt_symbol)
+
+            legs.append(leg)
+            price_multipliers[vt_symbol] = leg_setting["price_multiplier"]
+            trading_multipliers[vt_symbol] = leg_setting["trading_multiplier"]
+
+        spread = SpreadData(
+            name,
+            legs,
+            price_multipliers,
+            trading_multipliers,
+            active_symbol
+        )
+        self.spreads[name] = spread
+
+        for leg in spread.legs.values():
+            self.symbol_spread_map[leg.vt_symbol].append(spread)
+
+        if save:
+            self.save_setting()
+
+        self.write_log("价差创建成功：{}".format(name))
+        self.put_data_event(spread)
+
+    def remove_spread(self, name: str) -> None:
+        """"""
+        if name not in self.spreads:
+            return
+
+        spread = self.spreads.pop(name)
+
+        for leg in spread.legs.values():
+            self.symbol_spread_map[leg.vt_symbol].remove(spread)
+
+        self.save_setting()
+        self.write_log("价差移除成功：{}，重启后生效".format(name))
+
+    def get_spread(self, name: str) -> SpreadData:
+        """"""
+        spread = self.spreads.get(name, None)
+        return spread
+
+    def get_all_spreads(self) -> List[SpreadData]:
+        """"""
+        return list(self.spreads.values())
+
+
+class SpreadAlgoEngine:
+    """"""
+    algo_class = SpreadTakerAlgo
+
+    def __init__(self, spread_engine: SpreadEngine):
+        """"""
+        self.spread_engine: SpreadEngine = spread_engine
+        self.main_engine: MainEngine = spread_engine.main_engine
+        self.event_engine: EventEngine = spread_engine.event_engine
+
+        self.write_log = spread_engine.write_log
+
+        self.spreads: Dict[str: SpreadData] = {}
+        self.algos: Dict[str: SpreadAlgoTemplate] = {}
+
+        self.order_algo_map: dict[str: SpreadAlgoTemplate] = {}
+        self.symbol_algo_map: dict[str: SpreadAlgoTemplate] = defaultdict(list)
+
+        self.algo_count: int = 0
+        self.vt_tradeids: Set = set()
+
+        self.offset_converter: OffsetConverter = OffsetConverter(
+            self.main_engine
+        )
+
+    def start(self):
+        """"""
+        self.register_event()
+
+        self.write_log("价差算法引擎启动成功")
+
+    def stop(self):
+        """"""
+        for algo in self.algos.values():
+            self.stop_algo(algo)
+
+    def register_event(self):
+        """"""
+        self.event_engine.register(EVENT_TICK, self.process_tick_event)
+        self.event_engine.register(EVENT_ORDER, self.process_order_event)
+        self.event_engine.register(EVENT_TRADE, self.process_trade_event)
+        self.event_engine.register(EVENT_POSITION, self.process_position_event)
+        self.event_engine.register(EVENT_TIMER, self.process_timer_event)
+        self.event_engine.register(
+            EVENT_SPREAD_DATA, self.process_spread_event
+        )
+
+    def process_spread_event(self, event: Event):
+        """"""
+        spread: SpreadData = event.data
+        self.spreads[spread.name] = spread
+
+    def process_tick_event(self, event: Event):
+        """"""
+        tick = event.data
+        algos = self.symbol_algo_map[tick.vt_symbol]
+        if not algos:
+            return
+
+        buf = copy(algos)
+        for algo in buf:
+            if not algo.is_active():
+                algos.remove(algo)
+            else:
+                algo.update_tick(tick)
+
+    def process_order_event(self, event: Event):
+        """"""
+        order = event.data
+
+        self.offset_converter.update_order(order)
+
+        algo = self.order_algo_map.get(order.vt_orderid, None)
+        if algo and algo.is_active():
+            algo.update_order(order)
+
+    def process_trade_event(self, event: Event):
+        """"""
+        trade = event.data
+
+        # Filter duplicate trade push
+        if trade.vt_tradeid in self.vt_tradeids:
+            return
+        self.vt_tradeids.add(trade.vt_tradeid)
+
+        self.offset_converter.update_trade(trade)
+
+        algo = self.order_algo_map.get(trade.vt_orderid, None)
+        if algo and algo.is_active():
+            algo.update_trade(trade)
+
+    def process_position_event(self, event: Event):
+        """"""
+        position = event.data
+
+        self.offset_converter.update_position(position)
+
+    def process_timer_event(self, event: Event):
+        """"""
+        buf = list(self.algos.values())
+
+        for algo in buf:
+            if not algo.is_active():
+                self.algos.pop(algo.algoid)
+            else:
+                algo.update_timer()
+
+    def start_algo(
+        self,
+        spread_name: str,
+        direction: Direction,
+        price: float,
+        volume: float,
+        payup: int,
+        interval: int,
+        lock: bool
+    ) -> str:
+        # Find spread object
+        spread = self.spreads.get(spread_name, None)
+        if not spread:
+            self.write_log("创建价差算法失败，找不到价差：{}".format(spread_name))
+            return ""
+
+        # Generate algoid str
+        self.algo_count += 1
+        algo_count_str = str(self.algo_count).rjust(6, "0")
+        algoid = f"{self.algo_class.algo_name}_{algo_count_str}"
+
+        # Create algo object
+        algo = self.algo_class(
+            self,
+            algoid,
+            spread,
+            direction,
+            price,
+            volume,
+            payup,
+            interval,
+            lock
+        )
+        self.algos[algoid] = algo
+
+        # Generate map between vt_symbol and algo
+        for leg in spread.legs.values():
+            self.symbol_algo_map[leg.vt_symbol].append(algo)
+
+        # Put event to update GUI
+        self.put_algo_event(algo)
+
+        return algoid
+
+    def stop_algo(
+        self,
+        algoid: str
+    ):
+        """"""
+        algo = self.algos.get(algoid, None)
+        if not algo:
+            self.write_log("停止价差算法失败，找不到算法：{}".format(algoid))
+            return
+
+        algo.stop()
+
+    def put_algo_event(self, algo: SpreadAlgoTemplate) -> None:
+        """"""
+        event = Event(EVENT_SPREAD_ALGO, algo)
+        self.event_engine.put(event)
+
+    def write_algo_log(self, algo: SpreadAlgoTemplate, msg: str) -> None:
+        """"""
+        msg = f"{algo.algoid}：{msg}"
+        self.write_log(msg)
+
+    def send_order(
+        self,
+        algo: SpreadAlgoTemplate,
+        vt_symbol: str,
+        price: float,
+        volume: float,
+        direction: Direction,
+        lock: bool
+    ) -> List[str]:
+        """"""
+        holding = self.offset_converter.get_position_holding(vt_symbol)
+        contract = self.main_engine.get_contract(vt_symbol)
+
+        if direction == Direction.LONG:
+            available = holding.short_pos - holding.short_pos_frozen
+        else:
+            available = holding.long_pos - holding.long_pos_frozen
+
+        # If no position to close, just open new
+        if not available:
+            offset = Offset.OPEN
+        # If enougth position to close, just close old
+        elif volume < available:
+            offset = Offset.CLOSE
+        # Otherwise, just close existing position
+        else:
+            volume = available
+            offset = Offset.CLOSE
+
+        original_req = OrderRequest(
+            symbol=contract.symbol,
+            exchange=contract.exchange,
+            direction=direction,
+            offset=offset,
+            type=OrderType.LIMIT,
+            price=price,
+            volume=volume
+        )
+
+        # Convert with offset converter
+        req_list = self.offset_converter.convert_order_request(
+            original_req, lock)
+
+        # Send Orders
+        vt_orderids = []
+
+        for req in req_list:
+            vt_orderid = self.main_engine.send_order(
+                req, contract.gateway_name)
+
+            # Check if sending order successful
+            if not vt_orderid:
+                continue
+
+            vt_orderids.append(vt_orderid)
+
+            self.offset_converter.update_order_request(req, vt_orderid)
+
+            # Save relationship between orderid and algo.
+            self.order_algo_map[vt_orderid] = algo
+
+        return vt_orderids
+
+    def cancel_order(self, algo: SpreadAlgoTemplate, vt_orderid: str) -> None:
+        """"""
+        order = self.main_engine.get_order(vt_orderid)
+        if not order:
+            self.write_algo_log(algo, "撤单失败，找不到委托{}".format(vt_orderid))
+            return
+
+        req = order.create_cancel_request()
+        self.main_engine.cancel_order(req, order.gateway_name)
+
+    def get_tick(self, vt_symbol: str) -> TickData:
+        """"""
+        return self.main_engine.get_tick(vt_symbol)
+
+    def get_contract(self, vt_symbol: str) -> ContractData:
+        """"""
+        return self.main_engine.get_contract(vt_symbol)
+
+
+class SpreadStrategyEngine:
+    """"""
+
+    setting_filename = "spraed_trading_strategy.json"
+
+    def __init__(self, spread_engine: SpreadEngine):
+        """"""
+        self.spread_engine: SpreadEngine = spread_engine
+        self.main_engine: MainEngine = spread_engine.main_engine
+        self.event_engine: EventEngine = spread_engine.event_engine
+
+        self.write_log = spread_engine.write_log
+
+        self.strategy_setting: Dict[str: Dict] = {}
+
+        self.classes: Dict[str: Type[SpreadStrategyTemplate]] = {}
+        self.strategies: Dict[str: SpreadStrategyTemplate] = {}
+
+        self.order_strategy_map: dict[str: SpreadStrategyTemplate] = {}
+        self.algo_strategy_map: dict[str: SpreadStrategyTemplate] = {}
+        self.spread_strategy_map: dict[str: SpreadStrategyTemplate] = defaultdict(
+            list)
+
+        self.vt_tradeids: Set = set()
+
+        self.load_strategy_class()
+
+    def start(self):
+        """"""
+        self.load_strategy_setting()
+        self.register_event()
+
+        self.write_log("价差策略引擎启动成功")
+
+    def close(self):
+        """"""
+        self.stop_all_strategies()
+
+    def load_strategy_class(self):
+        """
+        Load strategy class from source code.
+        """
+        path1 = Path(__file__).parent.joinpath("strategies")
+        self.load_strategy_class_from_folder(
+            path1, "vnpy.app.spread_trading.strategies")
+
+        path2 = Path.cwd().joinpath("strategies")
+        self.load_strategy_class_from_folder(path2, "strategies")
+
+    def load_strategy_class_from_folder(self, path: Path, module_name: str = ""):
+        """
+        Load strategy class from certain folder.
+        """
+        for dirpath, dirnames, filenames in os.walk(str(path)):
+            for filename in filenames:
+                if filename.endswith(".py"):
+                    strategy_module_name = ".".join(
+                        [module_name, filename.replace(".py", "")])
+                elif filename.endswith(".pyd"):
+                    strategy_module_name = ".".join(
+                        [module_name, filename.split(".")[0]])
+
+                self.load_strategy_class_from_module(strategy_module_name)
+
+    def load_strategy_class_from_module(self, module_name: str):
+        """
+        Load strategy class from module file.
+        """
+        try:
+            module = importlib.import_module(module_name)
+
+            for name in dir(module):
+                value = getattr(module, name)
+                if (isinstance(value, type) and issubclass(value, SpreadStrategyTemplate) and value is not SpreadStrategyTemplate):
+                    self.classes[value.__name__] = value
+        except:  # noqa
+            msg = f"策略文件{module_name}加载失败，触发异常：\n{traceback.format_exc()}"
+            self.write_log(msg)
+
+    def get_all_strategy_class_names(self):
+        """"""
+        return list(self.classes.keys())
+
+    def load_strategy_setting(self):
+        """
+        Load setting file.
+        """
+        self.strategy_setting = load_json(self.setting_filename)
+
+        for strategy_name, strategy_config in self.strategy_setting.items():
+            self.add_strategy(
+                strategy_config["class_name"],
+                strategy_name,
+                strategy_config["spread_name"],
+                strategy_config["setting"]
+            )
+
+    def update_strategy_setting(self, strategy_name: str, setting: dict):
+        """
+        Update setting file.
+        """
+        strategy = self.strategies[strategy_name]
+
+        self.strategy_setting[strategy_name] = {
+            "class_name": strategy.__class__.__name__,
+            "spread_name": strategy.spread_name,
+            "setting": setting,
+        }
+        save_json(self.setting_filename, self.strategy_setting)
+
+    def remove_strategy_setting(self, strategy_name: str):
+        """
+        Update setting file.
+        """
+        if strategy_name not in self.strategy_setting:
+            return
+
+        self.strategy_setting.pop(strategy_name)
+        save_json(self.setting_filename, self.strategy_setting)
+
+    def register_event(self):
+        """"""
+        ee = self.event_engine
+        ee.register(EVENT_ORDER, self.process_order_event)
+        ee.register(EVENT_TRADE, self.process_trade_event)
+        ee.register(EVENT_SPREAD_DATA, self.process_spread_data_event)
+        ee.register(EVENT_SPREAD_POS, self.process_spread_pos_event)
+        ee.register(EVENT_SPREAD_ALGO, self.process_spread_algo_event)
+
+    def process_spread_data_event(self, event: Event):
+        """"""
+        spread = event.data
+        strategies = self.spread_strategy_map[spread.name]
+
+        for strategy in strategies:
+            if strategy.inited:
+                self.call_strategy_func(strategy, strategy.on_spread_data)
+
+    def process_spread_pos_event(self, event: Event):
+        """"""
+        spread = event.data
+        strategies = self.spread_strategy_map[spread.name]
+
+        for strategy in strategies:
+            if strategy.inited:
+                self.call_strategy_func(strategy, strategy.on_spread_pos)
+
+    def process_spread_algo_event(self, event: Event):
+        """"""
+        algo = event.data
+        strategy = self.algo_strategy_map.get(algo.algoid, None)
+
+        if strategy:
+            self.call_strategy_func(strategy, strategy.update_spread_algo, algo)
+
+    def process_order_event(self, event: Event):
+        """"""
+        order = event.data
+        strategy = self.order_strategy_map.get(order.vt_orderid, None)
+
+        if strategy:
+            self.call_strategy_func(strategy, strategy.update_order, order)
+
+    def process_trade_event(self, event: Event):
+        """"""
+        trade = event.data
+        strategy = self.order_strategy_map.get(trade.vt_orderid, None)
+
+        if strategy:
+            self.call_strategy_func(strategy, strategy.on_trade, trade)
+
+    def call_strategy_func(
+        self, strategy: SpreadStrategyTemplate, func: Callable, params: Any = None
+    ):
+        """
+        Call function of a strategy and catch any exception raised.
+        """
+        try:
+            if params:
+                func(params)
+            else:
+                func()
+        except Exception:
+            strategy.trading = False
+            strategy.inited = False
+
+            msg = f"触发异常已停止\n{traceback.format_exc()}"
+            self.write_strategy_log(strategy, msg)
+
+    def add_strategy(
+        self, class_name: str, strategy_name: str, spread_name: str, setting: dict
+    ):
+        """
+        Add a new strategy.
+        """
+        if strategy_name in self.strategies:
+            self.write_log(f"创建策略失败，存在重名{strategy_name}")
+            return
+
+        strategy_class = self.classes.get(class_name, None)
+        if not strategy_class:
+            self.write_log(f"创建策略失败，找不到策略类{class_name}")
+            return
+
+        spread = self.spread_engine.get_spread(spread_name)
+        if not spread:
+            self.write_log(f"创建策略失败，找不到价差{spread_name}")
+            return
+
+        strategy = strategy_class(self, strategy_name, spread, setting)
+        self.strategies[strategy_name] = strategy
+
+        # Add vt_symbol to strategy map.
+        strategies = self.spread_strategy_map[spread_name]
+        strategies.append(strategy)
+
+        # Update to setting file.
+        self.update_strategy_setting(strategy_name, setting)
+
+        self.put_strategy_event(strategy)
+
+    def edit_strategy(self, strategy_name: str, setting: dict):
+        """
+        Edit parameters of a strategy.
+        """
+        strategy = self.strategies[strategy_name]
+        strategy.update_setting(setting)
+
+        self.update_strategy_setting(strategy_name, setting)
+        self.put_strategy_event(strategy)
+
+    def remove_strategy(self, strategy_name: str):
+        """
+        Remove a strategy.
+        """
+        strategy = self.strategies[strategy_name]
+        if strategy.trading:
+            self.write_log(f"策略{strategy.strategy_name}移除失败，请先停止")
+            return
+
+        # Remove setting
+        self.remove_strategy_setting(strategy_name)
+
+        # Remove from symbol strategy map
+        strategies = self.spread_strategy_map[strategy.spread_name]
+        strategies.remove(strategy)
+
+        # Remove from strategies
+        self.strategies.pop(strategy_name)
+
+        return True
+
+    def init_strategy(self, strategy_name: str):
+        """"""
+        strategy = self.strategies[strategy_name]
+
+        if strategy.inited:
+            self.write_log(f"{strategy_name}已经完成初始化，禁止重复操作")
+            return
+
+        self.call_strategy_func(strategy, strategy.on_init)
+        strategy.inited = True
+
+        self.put_strategy_event(strategy)
+        self.write_log(f"{strategy_name}初始化完成")
+
+    def start_strategy(self, strategy_name: str):
+        """"""
+        strategy = self.strategies[strategy_name]
+        if not strategy.inited:
+            self.write_log(f"策略{strategy.strategy_name}启动失败，请先初始化")
+            return
+
+        if strategy.trading:
+            self.write_log(f"{strategy_name}已经启动，请勿重复操作")
+            return
+
+        self.call_strategy_func(strategy, strategy.on_start)
+        strategy.trading = True
+
+        self.put_strategy_event(strategy)
+
+    def stop_strategy(self, strategy_name: str):
+        """"""
+        strategy = self.strategies[strategy_name]
+        if not strategy.trading:
+            return
+
+        self.call_strategy_func(strategy, strategy.on_stop)
+
+        strategy.stop_all_algos()
+        strategy.cancel_all_orders()
+
+        strategy.trading = False
+
+        self.put_strategy_event(strategy)
+
+    def init_all_strategies(self):
+        """"""
+        for strategy in self.strategies.keys():
+            self.init_strategy(strategy)
+
+    def start_all_strategies(self):
+        """"""
+        for strategy in self.strategies.keys():
+            self.start_strategy(strategy)
+
+    def stop_all_strategies(self):
+        """"""
+        for strategy in self.strategies.keys():
+            self.stop_strategy(strategy)
+
+    def get_strategy_class_parameters(self, class_name: str):
+        """
+        Get default parameters of a strategy class.
+        """
+        strategy_class = self.classes[class_name]
+
+        parameters = {}
+        for name in strategy_class.parameters:
+            parameters[name] = getattr(strategy_class, name)
+
+        return parameters
+
+    def get_strategy_parameters(self, strategy_name):
+        """
+        Get parameters of a strategy.
+        """
+        strategy = self.strategies[strategy_name]
+        return strategy.get_parameters()
+
+    def start_algo(
+        self,
+        strategy: SpreadStrategyTemplate,
+        spread_name: str,
+        direction: Direction,
+        price: float,
+        volume: float,
+        payup: int,
+        interval: int,
+        lock: bool
+    ) -> str:
+        """"""
+        algoid = self.spread_engine.start_algo(
+            spread_name,
+            direction,
+            price,
+            volume,
+            payup,
+            interval,
+            lock
+        )
+
+        self.algo_strategy_map[algoid] = strategy
+
+        return algoid
+
+    def stop_algo(self, strategy: SpreadStrategyTemplate, algoid: str):
+        """"""
+        self.spread_engine.stop_algo(algoid)
+
+    def stop_all_algos(self, strategy: SpreadStrategyTemplate):
+        """"""
+        pass
+
+    def send_order(
+        self,
+        strategy: SpreadStrategyTemplate,
+        vt_symbol: str,
+        price: float,
+        volume: float,
+        direction: Direction,
+        offset: Offset,
+        lock: bool
+    ) -> List[str]:
+        contract = self.main_engine.get_contract(vt_symbol)
+
+        original_req = OrderRequest(
+            symbol=contract.symbol,
+            exchange=contract.exchange,
+            direction=direction,
+            offset=offset,
+            type=OrderType.LIMIT,
+            price=price,
+            volume=volume
+        )
+
+        # Convert with offset converter
+        req_list = self.offset_converter.convert_order_request(
+            original_req, lock)
+
+        # Send Orders
+        vt_orderids = []
+
+        for req in req_list:
+            vt_orderid = self.main_engine.send_order(
+                req, contract.gateway_name)
+
+            # Check if sending order successful
+            if not vt_orderid:
+                continue
+
+            vt_orderids.append(vt_orderid)
+
+            self.offset_converter.update_order_request(req, vt_orderid)
+
+            # Save relationship between orderid and strategy.
+            self.order_strategy_map[vt_orderid] = strategy
+
+        return vt_orderids
+
+    def cancel_order(self, strategy: SpreadStrategyTemplate, vt_orderid: str):
+        """"""
+        order = self.main_engine.get_order(vt_orderid)
+        if not order:
+            self.write_strategy_log(
+                strategy, "撤单失败，找不到委托{}".format(vt_orderid))
+            return
+
+        req = order.create_cancel_request()
+        self.main_engine.cancel_order(req, order.gateway_name)
+
+    def cancel_all_orders(self, strategy: SpreadStrategyTemplate):
+        """"""
+        pass
+
+    def put_strategy_event(self, strategy: SpreadStrategyTemplate):
+        """"""
+        data = strategy.get_data()
+        event = Event(EVENT_SPREAD_STRATEGY, data)
+        self.event_engine.put(event)
+
+    def write_strategy_log(self, strategy: SpreadStrategyTemplate, msg: str):
+        """"""
+        msg = f"{strategy.strategy_name}：{msg}"
+        self.write_log(msg)
+
+    def send_strategy_email(self, strategy: SpreadStrategyTemplate, msg: str):
+        """"""
+        if strategy:
+            subject = f"{strategy.strategy_name}"
+        else:
+            subject = "价差策略引擎"
+
+        self.main_engine.send_email(subject, msg)

vnpy/app/spread_trading/strategies/basic_spread_strategy.py

@@ -0,0 +1,168 @@
+from vnpy.app.spread_trading import (
+    SpreadStrategyTemplate,
+    SpreadAlgoTemplate,
+    SpreadData,
+    OrderData,
+    TradeData
+)
+
+
+class BasicSpreadStrategy(SpreadStrategyTemplate):
+    """"""
+
+    author = "用Python的交易员"
+
+    buy_price = 0.0
+    sell_price = 0.0
+    cover_price = 0.0
+    short_price = 0.0
+    max_pos = 0.0
+    payup = 10
+    interval = 5
+
+    spread_pos = 0.0
+    buy_algoid = ""
+    sell_algoid = ""
+    short_algoid = ""
+    cover_algoid = ""
+
+    parameters = [
+        "buy_price",
+        "sell_price",
+        "cover_price",
+        "short_price",
+        "max_pos",
+        "payup",
+        "interval"
+    ]
+    variables = [
+        "spread_pos",
+        "buy_algoid",
+        "sell_algoid",
+        "short_algoid",
+        "cover_algoid",
+    ]
+
+    def __init__(
+        self,
+        strategy_engine,
+        strategy_name: str,
+        spread: SpreadData,
+        setting: dict
+    ):
+        """"""
+        super().__init__(
+            strategy_engine, strategy_name, spread, setting
+        )
+
+    def on_init(self):
+        """
+        Callback when strategy is inited.
+        """
+        self.write_log("策略初始化")
+
+    def on_start(self):
+        """
+        Callback when strategy is started.
+        """
+        self.write_log("策略启动")
+
+    def on_stop(self):
+        """
+        Callback when strategy is stopped.
+        """
+        self.write_log("策略停止")
+
+        self.buy_algoid = ""
+        self.sell_algoid = ""
+        self.short_algoid = ""
+        self.cover_algoid = ""
+        self.put_event()
+
+    def on_spread_data(self):
+        """
+        Callback when spread price is updated.
+        """
+        self.spread_pos = self.get_spread_pos()
+
+        # No position
+        if not self.spread_pos:
+            # Start open algos
+            if not self.buy_algoid:
+                self.buy_algoid = self.start_long_algo(
+                    self.buy_price, self.max_pos, self.payup, self.interval
+                )
+
+            if not self.short_algoid:
+                self.short_algoid = self.start_short_algo(
+                    self.short_price, self.max_pos, self.payup, self.interval
+                )
+
+            # Stop close algos
+            if self.sell_algoid:
+                self.stop_algo(self.sell_algoid)
+
+            if self.cover_algoid:
+                self.stop_algo(self.cover_algoid)
+
+        # Long position
+        elif self.spread_pos > 0:
+            # Start sell close algo
+            if not self.sell_algoid:
+                self.sell_algoid = self.start_short_algo(
+                    self.sell_price, self.spread_pos, self.payup, self.interval
+                )
+
+            # Stop buy open algo
+            if self.buy_algoid:
+                self.stop_algo(self.buy_algoid)
+
+        # Short position
+        elif self.spread_pos < 0:
+            # Start cover close algo
+            if not self.cover_algoid:
+                self.cover_algoid = self.start_long_algo(
+                    self.cover_price, abs(
+                        self.spread_pos), self.payup, self.interval
+                )
+
+            # Stop short open algo
+            if self.short_algoid:
+                self.stop_algo(self.short_algoid)
+
+        self.put_event()
+
+    def on_spread_pos(self):
+        """
+        Callback when spread position is updated.
+        """
+        self.spread_pos = self.get_spread_pos()
+        self.put_event()
+
+    def on_spread_algo(self, algo: SpreadAlgoTemplate):
+        """
+        Callback when algo status is updated.
+        """
+        if not algo.is_active():
+            if self.buy_algoid == algo.algoid:
+                self.buy_algoid = ""
+            elif self.sell_algoid == algo.algoid:
+                self.sell_algoid = ""
+            elif self.short_algoid == algo.algoid:
+                self.short_algoid = ""
+            else:
+                self.cover_algoid = ""
+
+        self.put_event()
+
+    def on_order(self, order: OrderData):
+        """
+        Callback when order status is updated.
+        """
+        pass
+
+    def on_trade(self, trade: TradeData):
+        """
+        Callback when new trade data is received.
+        """
+        pass

vnpy/app/spread_trading/template.py

@@ -0,0 +1,592 @@
+
+from collections import defaultdict
+from typing import Dict, List, Set
+from math import floor, ceil
+from copy import copy
+
+from vnpy.trader.object import TickData, TradeData, OrderData, ContractData
+from vnpy.trader.constant import Direction, Status, Offset
+from vnpy.trader.utility import virtual
+
+from .base import SpreadData
+
+
+class SpreadAlgoTemplate:
+    """
+    Template for implementing spread trading algos.
+    """
+    algo_name = "AlgoTemplate"
+
+    def __init__(
+        self,
+        algo_engine,
+        algoid: str,
+        spread: SpreadData,
+        direction: Direction,
+        price: float,
+        volume: float,
+        payup: int,
+        interval: int,
+        lock: bool
+    ):
+        """"""
+        self.algo_engine = algo_engine
+        self.algoid: str = algoid
+
+        self.spread: SpreadData = spread
+        self.spread_name: str = spread.name
+
+        self.direction: Direction = direction
+        self.price: float = price
+        self.volume: float = volume
+        self.payup: int = payup
+        self.interval = interval
+        self.lock = lock
+
+        if direction == Direction.LONG:
+            self.target = volume
+        else:
+            self.target = -volume
+
+        self.status: Status = Status.NOTTRADED  # Algo status
+        self.count: int = 0                     # Timer count
+        self.traded: float = 0                  # Volume traded
+        self.traded_volume: float = 0           # Volume traded (Abs value)
+
+        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]:
+            return True
+        else:
+            return False
+
+    def check_order_finished(self):
+        """"""
+        finished = True
+
+        for leg in self.spread.legs.values():
+            vt_orderids = self.leg_orders[leg.vt_symbol]
+
+            if vt_orderids:
+                finished = False
+                break
+
+        return finished
+
+    def check_hedge_finished(self):
+        """"""
+        active_symbol = self.spread.active_leg.vt_symbol
+        active_traded = self.leg_traded[active_symbol]
+
+        spread_volume = self.spread.calculate_spread_volume(
+            active_symbol, active_traded
+        )
+
+        finished = True
+
+        for leg in self.spread.passive_legs:
+            passive_symbol = leg.vt_symbol
+
+            leg_target = self.spread.calculate_leg_volume(
+                passive_symbol, spread_volume
+            )
+            leg_traded = self.leg_traded[passive_symbol]
+
+            if leg_traded != leg_target:
+                finished = False
+                break
+
+        return finished
+
+    def stop(self):
+        """"""
+        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):
+        """"""
+        self.on_tick(tick)
+
+    def update_trade(self, trade: TradeData):
+        """"""
+        if trade.direction == Direction.LONG:
+            self.leg_traded[trade.vt_symbol] += trade.volume
+        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():
+            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)
+
+    def update_timer(self):
+        """"""
+        self.count += 1
+        if self.count > self.interval:
+            self.count = 0
+            self.on_interval()
+
+        self.put_event()
+
+    def put_event(self):
+        """"""
+        self.algo_engine.put_algo_event(self)
+
+    def write_log(self, msg: str):
+        """"""
+        self.algo_engine.write_algo_log(self, msg)
+
+    def send_long_order(self, vt_symbol: str, price: float, volume: float):
+        """"""
+        self.send_order(vt_symbol, price, volume, Direction.LONG)
+
+    def send_short_order(self, vt_symbol: str, price: float, volume: float):
+        """"""
+        self.send_order(vt_symbol, price, volume, Direction.SHORT)
+
+    def send_order(
+        self,
+        vt_symbol: str,
+        price: float,
+        volume: float,
+        direction: Direction,
+    ):
+        """"""
+        vt_orderids = self.algo_engine.send_order(
+            self,
+            vt_symbol,
+            price,
+            volume,
+            direction,
+            self.lock
+        )
+
+        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(self, vt_orderid)
+
+    def cancel_all_order(self):
+        """"""
+        for vt_symbol in self.leg_orders.keys():
+            self.cancel_leg_order(vt_symbol)
+
+    def calculate_traded(self):
+        """"""
+        self.traded = 0
+
+        for n, leg in enumerate(self.spread.legs.values()):
+            leg_traded = self.leg_traded[leg.vt_symbol]
+            trading_multiplier = self.spread.trading_multipliers[
+                leg.vt_symbol]
+            adjusted_leg_traded = leg_traded / trading_multiplier
+
+            if adjusted_leg_traded > 0:
+                adjusted_leg_traded = floor(adjusted_leg_traded)
+            else:
+                adjusted_leg_traded = ceil(adjusted_leg_traded)
+
+            if not n:
+                self.traded = adjusted_leg_traded
+            else:
+                if adjusted_leg_traded > 0:
+                    self.traded = min(self.traded, adjusted_leg_traded)
+                elif adjusted_leg_traded < 0:
+                    self.traded = max(self.traded, adjusted_leg_traded)
+                else:
+                    self.traded = 0
+
+        self.traded_volume = abs(self.traded)
+
+        if self.traded == self.target:
+            self.status = Status.ALLTRADED
+        elif not self.traded:
+            self.status = Status.NOTTRADED
+        else:
+            self.status = Status.PARTTRADED
+
+    def get_tick(self, vt_symbol: str) -> TickData:
+        """"""
+        return self.algo_engine.get_tick(vt_symbol)
+
+    def get_contract(self, vt_symbol: str) -> ContractData:
+        """"""
+        return self.algo_engine.get_contract(vt_symbol)
+
+    @virtual
+    def on_tick(self, tick: TickData):
+        """"""
+        pass
+
+    @virtual
+    def on_order(self, order: OrderData):
+        """"""
+        pass
+
+    @virtual
+    def on_trade(self, trade: TradeData):
+        """"""
+        pass
+
+    @virtual
+    def on_interval(self):
+        """"""
+        pass
+
+
+class SpreadStrategyTemplate:
+    """
+    Template for implementing spread trading strategies.
+    """
+
+    author: str = ""
+    parameters: List[str] = []
+    variables: List[str] = []
+
+    def __init__(
+        self,
+        strategy_engine,
+        strategy_name: str,
+        spread: SpreadData,
+        setting: dict
+    ):
+        """"""
+        self.strategy_engine = strategy_engine
+        self.strategy_name = strategy_name
+        self.spread = spread
+        self.spread_name = spread.name
+
+        self.inited = False
+        self.trading = False
+
+        self.variables = copy(self.variables)
+        self.variables.insert(0, "inited")
+        self.variables.insert(1, "trading")
+
+        self.vt_orderids: Set[str] = set()
+        self.algoids: Set[str] = set()
+
+        self.update_setting(setting)
+
+    def update_setting(self, setting: dict):
+        """
+        Update strategy parameter wtih value in setting dict.
+        """
+        for name in self.parameters:
+            if name in setting:
+                setattr(self, name, setting[name])
+
+    @classmethod
+    def get_class_parameters(cls):
+        """
+        Get default parameters dict of strategy class.
+        """
+        class_parameters = {}
+        for name in cls.parameters:
+            class_parameters[name] = getattr(cls, name)
+        return class_parameters
+
+    def get_parameters(self):
+        """
+        Get strategy parameters dict.
+        """
+        strategy_parameters = {}
+        for name in self.parameters:
+            strategy_parameters[name] = getattr(self, name)
+        return strategy_parameters
+
+    def get_variables(self):
+        """
+        Get strategy variables dict.
+        """
+        strategy_variables = {}
+        for name in self.variables:
+            strategy_variables[name] = getattr(self, name)
+        return strategy_variables
+
+    def get_data(self):
+        """
+        Get strategy data.
+        """
+        strategy_data = {
+            "strategy_name": self.strategy_name,
+            "spread_name": self.spread_name,
+            "class_name": self.__class__.__name__,
+            "author": self.author,
+            "parameters": self.get_parameters(),
+            "variables": self.get_variables(),
+        }
+        return strategy_data
+
+    def update_spread_algo(self, algo: SpreadAlgoTemplate):
+        """
+        Callback when algo status is updated.
+        """
+        if not algo.is_active() and algo.algoid in self.algoids:
+            self.algoids.remove(algo.algoid)
+
+        self.on_spread_algo(algo)
+
+    def update_order(self, order: OrderData):
+        """
+        Callback when order status is updated.
+        """
+        if not order.is_active() and order.vt_orderid in self.vt_orderids:
+            self.vt_orderids.remove(order.vt_orderid)
+
+        self.on_order(order)
+
+    @virtual
+    def on_init(self):
+        """
+        Callback when strategy is inited.
+        """
+        pass
+
+    @virtual
+    def on_start(self):
+        """
+        Callback when strategy is started.
+        """
+        pass
+
+    @virtual
+    def on_stop(self):
+        """
+        Callback when strategy is stopped.
+        """
+        pass
+
+    @virtual
+    def on_spread_data(self):
+        """
+        Callback when spread price is updated.
+        """
+        pass
+
+    @virtual
+    def on_spread_pos(self):
+        """
+        Callback when spread position is updated.
+        """
+        pass
+
+    @virtual
+    def on_spread_algo(self, algo: SpreadAlgoTemplate):
+        """
+        Callback when algo status is updated.
+        """
+        pass
+
+    @virtual
+    def on_order(self, order: OrderData):
+        """
+        Callback when order status is updated.
+        """
+        pass
+
+    @virtual
+    def on_trade(self, trade: TradeData):
+        """
+        Callback when new trade data is received.
+        """
+        pass
+
+    def start_algo(
+        self,
+        direction: Direction,
+        price: float,
+        volume: float,
+        payup: int,
+        interval: int,
+        lock: bool
+    ) -> str:
+        """"""
+        if not self.trading:
+            return ""
+
+        algoid: str = self.strategy_engine.start_algo(
+            self,
+            self.spread_name,
+            direction,
+            price,
+            volume,
+            payup,
+            interval,
+            lock
+        )
+
+        self.algoids.add(algoid)
+
+        return algoid
+
+    def start_long_algo(
+        self,
+        price: float,
+        volume: float,
+        payup: int,
+        interval: int,
+        lock: bool = False
+    ) -> str:
+        """"""
+        return self.start_algo(Direction.LONG, price, volume, payup, interval, lock)
+
+    def start_short_algo(
+        self,
+        price: float,
+        volume: float,
+        payup: int,
+        interval: int,
+        lock: bool = False
+    ) -> str:
+        """"""
+        return self.start_algo(Direction.SHORT, price, volume, payup, interval, lock)
+
+    def stop_algo(self, algoid: str):
+        """"""
+        if not self.trading:
+            return
+
+        self.strategy_engine.stop_algo(self, algoid)
+
+    def stop_all_algos(self):
+        """"""
+        for algoid in self.algoids:
+            self.stop_algo(algoid)
+
+    def buy(self, vt_symbol: str, price: float, volume: float, lock: bool = False) -> List[str]:
+        """"""
+        return self.send_order(vt_symbol, price, volume, Direction.LONG, Offset.OPEN, lock)
+
+    def sell(self, vt_symbol: str, price: float, volume: float, lock: bool = False) -> List[str]:
+        """"""
+        return self.send_order(vt_symbol, price, volume, Direction.SHORT, Offset.CLOSE, lock)
+
+    def short(self, vt_symbol: str, price: float, volume: float, lock: bool = False) -> List[str]:
+        """"""
+        return self.send_order(vt_symbol, price, volume, Direction.SHORT, Offset.OPEN, lock)
+
+    def cover(self, vt_symbol: str, price: float, volume: float, lock: bool = False) -> List[str]:
+        """"""
+        return self.send_order(vt_symbol, price, volume, Direction.LONG, Offset.CLOSE, lock)
+
+    def send_order(
+        self,
+        vt_symbol: str,
+        price: float,
+        volume: float,
+        direction: Direction,
+        offset: Offset,
+        lock: bool
+    ) -> List[str]:
+        """"""
+        if not self.trading:
+            return []
+
+        vt_orderids: List[str] = self.strategy_engine.send_order(
+            self,
+            vt_symbol,
+            price,
+            volume,
+            direction,
+            offset,
+            lock
+        )
+
+        for vt_orderid in vt_orderids:
+            self.vt_orderids.add(vt_orderid)
+
+        return vt_orderids
+
+    def cancel_order(self, vt_orderid: str):
+        """"""
+        if not self.trading:
+            return
+
+        self.strategy_engine.cancel_order(self, vt_orderid)
+
+    def cancel_all_orders(self):
+        """"""
+        for vt_orderid in self.vt_orderids:
+            self.cancel_order(vt_orderid)
+
+    def put_event(self):
+        """"""
+        self.strategy_engine.put_strategy_event(self)
+
+    def write_log(self, msg: str):
+        """"""
+        self.strategy_engine.write_strategy_log(self, msg)
+
+    def get_spread_tick(self) -> TickData:
+        """"""
+        return self.spread.to_tick()
+
+    def get_spread_pos(self) -> float:
+        """"""
+        return self.spread.net_pos
+
+    def get_leg_tick(self, vt_symbol: str) -> TickData:
+        """"""
+        leg = self.spread.legs.get(vt_symbol, None)
+
+        if not leg:
+            return None
+
+        return leg.tick
+
+    def get_leg_pos(self, vt_symbol: str, direction: Direction = Direction.NET) -> float:
+        """"""
+        leg = self.spread.legs.get(vt_symbol, None)
+
+        if not leg:
+            return None
+
+        if direction == Direction.NET:
+            return leg.net_pos
+        elif direction == Direction.LONG:
+            return leg.long_pos
+        else:
+            return leg.short_pos
+
+    def send_email(self, msg: str):
+        """
+        Send email to default receiver.
+        """
+        if self.inited:
+            self.strategy_engine.send_email(msg, self)

vnpy/app/spread_trading/ui/__init__.py

@@ -0,0 +1 @@
+from .widget import SpreadManager

vnpy/app/spread_trading/ui/widget.py

@@ -0,0 +1,810 @@
+"""
+Widget for spread trading.
+"""
+
+from vnpy.event import EventEngine, Event
+from vnpy.trader.engine import MainEngine
+from vnpy.trader.constant import Direction
+from vnpy.trader.ui import QtWidgets, QtCore, QtGui
+from vnpy.trader.ui.widget import (
+    BaseMonitor, BaseCell,
+    BidCell, AskCell,
+    TimeCell, PnlCell,
+    DirectionCell, EnumCell,
+)
+
+from ..engine import (
+    SpreadEngine,
+    SpreadStrategyEngine,
+    APP_NAME,
+    EVENT_SPREAD_DATA,
+    EVENT_SPREAD_POS,
+    EVENT_SPREAD_LOG,
+    EVENT_SPREAD_ALGO,
+    EVENT_SPREAD_STRATEGY
+)
+
+
+class SpreadManager(QtWidgets.QWidget):
+    """"""
+
+    def __init__(self, main_engine: MainEngine, event_engine: EventEngine):
+        """"""
+        super().__init__()
+
+        self.main_engine = main_engine
+        self.event_engine = event_engine
+
+        self.spread_engine = main_engine.get_engine(APP_NAME)
+
+        self.init_ui()
+
+    def init_ui(self):
+        """"""
+        self.setWindowTitle("价差交易")
+
+        self.algo_dialog = SpreadAlgoWidget(self.spread_engine)
+        algo_group = self.create_group("交易", self.algo_dialog)
+        algo_group.setMaximumWidth(300)
+
+        self.data_monitor = SpreadDataMonitor(
+            self.main_engine,
+            self.event_engine
+        )
+        self.log_monitor = SpreadLogMonitor(
+            self.main_engine,
+            self.event_engine
+        )
+        self.algo_monitor = SpreadAlgoMonitor(
+            self.spread_engine
+        )
+
+        self.strategy_monitor = SpreadStrategyMonitor(
+            self.spread_engine
+        )
+
+        grid = QtWidgets.QGridLayout()
+        grid.addWidget(self.create_group("价差", self.data_monitor), 0, 0)
+        grid.addWidget(self.create_group("日志", self.log_monitor), 1, 0)
+        grid.addWidget(self.create_group("算法", self.algo_monitor), 0, 1)
+        grid.addWidget(self.create_group("策略", self.strategy_monitor), 1, 1)
+
+        hbox = QtWidgets.QHBoxLayout()
+        hbox.addWidget(algo_group)
+        hbox.addLayout(grid)
+
+        self.setLayout(hbox)
+
+    def show(self):
+        """"""
+        self.spread_engine.start()
+        self.algo_dialog.update_class_combo()
+        self.showMaximized()
+
+    def create_group(self, title: str, widget: QtWidgets.QWidget):
+        """"""
+        group = QtWidgets.QGroupBox()
+
+        vbox = QtWidgets.QVBoxLayout()
+        vbox.addWidget(widget)
+
+        group.setLayout(vbox)
+        group.setTitle(title)
+
+        return group
+
+
+class SpreadDataMonitor(BaseMonitor):
+    """
+    Monitor for spread data.
+    """
+
+    event_type = EVENT_SPREAD_DATA
+    data_key = "name"
+    sorting = False
+
+    headers = {
+        "name": {"display": "名称", "cell": BaseCell, "update": False},
+        "bid_volume": {"display": "买量", "cell": BidCell, "update": True},
+        "bid_price": {"display": "买价", "cell": BidCell, "update": True},
+        "ask_price": {"display": "卖价", "cell": AskCell, "update": True},
+        "ask_volume": {"display": "卖量", "cell": AskCell, "update": True},
+        "net_pos": {"display": "净仓", "cell": PnlCell, "update": True},
+        "datetime": {"display": "时间", "cell": TimeCell, "update": True},
+        "price_formula": {"display": "定价", "cell": BaseCell, "update": False},
+        "trading_formula": {"display": "交易", "cell": BaseCell, "update": False},
+    }
+
+    def register_event(self):
+        """
+        Register event handler into event engine.
+        """
+        super().register_event()
+        self.event_engine.register(EVENT_SPREAD_POS, self.signal.emit)
+
+
+class SpreadLogMonitor(QtWidgets.QTextEdit):
+    """
+    Monitor for log data.
+    """
+    signal = QtCore.pyqtSignal(Event)
+
+    def __init__(self, main_engine: MainEngine, event_engine: EventEngine):
+        """"""
+        super().__init__()
+
+        self.main_engine = main_engine
+        self.event_engine = event_engine
+
+        self.init_ui()
+        self.register_event()
+
+    def init_ui(self):
+        """"""
+        self.setReadOnly(True)
+
+    def register_event(self):
+        """"""
+        self.signal.connect(self.process_log_event)
+
+        self.event_engine.register(EVENT_SPREAD_LOG, self.signal.emit)
+
+    def process_log_event(self, event: Event):
+        """"""
+        log = event.data
+        msg = f"{log.time.strftime('%H:%M:%S')}\t{log.msg}"
+        self.append(msg)
+
+
+class SpreadAlgoMonitor(BaseMonitor):
+    """
+    Monitor for algo status.
+    """
+
+    event_type = EVENT_SPREAD_ALGO
+    data_key = "algoid"
+    sorting = False
+
+    headers = {
+        "algoid": {"display": "算法", "cell": BaseCell, "update": False},
+        "spread_name": {"display": "价差", "cell": BaseCell, "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},
+        "traded_volume": {"display": "成交", "cell": BaseCell, "update": True},
+        "interval": {"display": "间隔", "cell": BaseCell, "update": False},
+        "count": {"display": "计数", "cell": BaseCell, "update": True},
+        "status": {"display": "状态", "cell": EnumCell, "update": True},
+    }
+
+    def __init__(self, spread_engine: SpreadEngine):
+        """"""
+        super().__init__(spread_engine.main_engine, spread_engine.event_engine)
+
+        self.spread_engine = spread_engine
+
+    def init_ui(self):
+        """
+        Connect signal.
+        """
+        super().init_ui()
+
+        self.setToolTip("双击单元格停止算法")
+        self.itemDoubleClicked.connect(self.stop_algo)
+
+    def stop_algo(self, cell):
+        """
+        Stop algo if cell double clicked.
+        """
+        algo = cell.get_data()
+        self.spread_engine.stop_algo(algo.algoid)
+
+
+class SpreadAlgoWidget(QtWidgets.QFrame):
+    """"""
+
+    def __init__(self, spread_engine: SpreadEngine):
+        """"""
+        super().__init__()
+
+        self.spread_engine: SpreadEngine = spread_engine
+        self.strategy_engine: SpreadStrategyEngine = spread_engine.strategy_engine
+
+        self.init_ui()
+
+    def init_ui(self):
+        """"""
+        self.setWindowTitle("启动算法")
+        self.setFrameShape(self.Box)
+        self.setLineWidth(1)
+
+        self.name_line = QtWidgets.QLineEdit()
+
+        self.direction_combo = QtWidgets.QComboBox()
+        self.direction_combo.addItems(
+            [Direction.LONG.value, Direction.SHORT.value]
+        )
+
+        float_validator = QtGui.QDoubleValidator()
+
+        self.price_line = QtWidgets.QLineEdit()
+        self.price_line.setValidator(float_validator)
+
+        self.volume_line = QtWidgets.QLineEdit()
+        self.volume_line.setValidator(float_validator)
+
+        int_validator = QtGui.QIntValidator()
+
+        self.payup_line = QtWidgets.QLineEdit()
+        self.payup_line.setValidator(int_validator)
+
+        self.interval_line = QtWidgets.QLineEdit()
+        self.interval_line.setValidator(int_validator)
+
+        button_start = QtWidgets.QPushButton("启动")
+        button_start.clicked.connect(self.start_algo)
+
+        self.lock_combo = QtWidgets.QComboBox()
+        self.lock_combo.addItems(
+            ["否", "是"]
+        )
+
+        self.class_combo = QtWidgets.QComboBox()
+
+        add_button = QtWidgets.QPushButton("添加策略")
+        add_button.clicked.connect(self.add_strategy)
+
+        init_button = QtWidgets.QPushButton("全部初始化")
+        init_button.clicked.connect(self.strategy_engine.init_all_strategies)
+
+        start_button = QtWidgets.QPushButton("全部启动")
+        start_button.clicked.connect(self.strategy_engine.start_all_strategies)
+
+        stop_button = QtWidgets.QPushButton("全部停止")
+        stop_button.clicked.connect(self.strategy_engine.stop_all_strategies)
+
+        add_spread_button = QtWidgets.QPushButton("创建价差")
+        add_spread_button.clicked.connect(self.add_spread)
+
+        remove_spread_button = QtWidgets.QPushButton("移除价差")
+        remove_spread_button.clicked.connect(self.remove_spread)
+
+        form = QtWidgets.QFormLayout()
+        form.addRow("价差", self.name_line)
+        form.addRow("方向", self.direction_combo)
+        form.addRow("价格", self.price_line)
+        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_combo)
+        form.addRow(button_start)
+
+        vbox = QtWidgets.QVBoxLayout()
+        vbox.addLayout(form)
+        vbox.addStretch()
+        vbox.addWidget(self.class_combo)
+        vbox.addWidget(add_button)
+        vbox.addWidget(init_button)
+        vbox.addWidget(start_button)
+        vbox.addWidget(stop_button)
+        vbox.addStretch()
+        vbox.addWidget(add_spread_button)
+        vbox.addWidget(remove_spread_button)
+
+        self.setLayout(vbox)
+
+    def start_algo(self):
+        """"""
+        name = self.name_line.text()
+        direction = Direction(self.direction_combo.currentText())
+        price = float(self.price_line.text())
+        volume = float(self.volume_line.text())
+        payup = int(self.payup_line.text())
+        interval = int(self.interval_line.text())
+
+        lock_str = self.lock_combo.currentText()
+        if lock_str == "是":
+            lock = True
+        else:
+            lock = False
+
+        self.spread_engine.start_algo(
+            name, direction, price, volume, payup, interval, lock
+        )
+
+    def add_spread(self):
+        """"""
+        dialog = SpreadDataDialog(self.spread_engine)
+        dialog.exec_()
+
+    def remove_spread(self):
+        """"""
+        dialog = SpreadRemoveDialog(self.spread_engine)
+        dialog.exec_()
+
+    def update_class_combo(self):
+        """"""
+        self.class_combo.addItems(
+            self.strategy_engine.get_all_strategy_class_names()
+        )
+
+    def remove_strategy(self, strategy_name):
+        """"""
+        manager = self.managers.pop(strategy_name)
+        manager.deleteLater()
+
+    def add_strategy(self):
+        """"""
+        class_name = str(self.class_combo.currentText())
+        if not class_name:
+            return
+
+        parameters = self.strategy_engine.get_strategy_class_parameters(
+            class_name)
+        editor = SettingEditor(parameters, class_name=class_name)
+        n = editor.exec_()
+
+        if n == editor.Accepted:
+            setting = editor.get_setting()
+            spread_name = setting.pop("spread_name")
+            strategy_name = setting.pop("strategy_name")
+
+            self.strategy_engine.add_strategy(
+                class_name, strategy_name, spread_name, setting
+            )
+
+
+class SpreadDataDialog(QtWidgets.QDialog):
+    """"""
+
+    def __init__(self, spread_engine: SpreadEngine):
+        """"""
+        super().__init__()
+
+        self.spread_engine: SpreadEngine = spread_engine
+
+        self.leg_widgets = []
+
+        self.init_ui()
+
+    def init_ui(self):
+        """"""
+        self.setWindowTitle("创建价差")
+
+        self.name_line = QtWidgets.QLineEdit()
+        self.active_line = QtWidgets.QLineEdit()
+
+        self.grid = QtWidgets.QGridLayout()
+
+        button_add = QtWidgets.QPushButton("创建价差")
+        button_add.clicked.connect(self.add_spread)
+
+        Label = QtWidgets.QLabel
+
+        grid = QtWidgets.QGridLayout()
+        grid.addWidget(Label("价差名称"), 0, 0)
+        grid.addWidget(self.name_line, 0, 1, 1, 3)
+        grid.addWidget(Label("主动腿代码"), 1, 0)
+        grid.addWidget(self.active_line, 1, 1, 1, 3)
+
+        grid.addWidget(Label(""), 2, 0)
+        grid.addWidget(Label("本地代码"), 3, 1)
+        grid.addWidget(Label("价格乘数"), 3, 2)
+        grid.addWidget(Label("交易乘数"), 3, 3)
+
+        int_validator = QtGui.QIntValidator()
+
+        leg_count = 5
+        for i in range(leg_count):
+            symbol_line = QtWidgets.QLineEdit()
+
+            price_line = QtWidgets.QLineEdit()
+            price_line.setValidator(int_validator)
+
+            trading_line = QtWidgets.QLineEdit()
+            trading_line.setValidator(int_validator)
+
+            grid.addWidget(Label("腿{}".format(i + 1)), 4 + i, 0)
+            grid.addWidget(symbol_line, 4 + i, 1)
+            grid.addWidget(price_line, 4 + i, 2)
+            grid.addWidget(trading_line, 4 + i, 3)
+
+            d = {
+                "symbol": symbol_line,
+                "price": price_line,
+                "trading": trading_line
+            }
+            self.leg_widgets.append(d)
+
+        grid.addWidget(Label(""), 4 + leg_count, 0,)
+        grid.addWidget(button_add, 5 + leg_count, 0, 1, 4)
+
+        self.setLayout(grid)
+
+    def add_spread(self):
+        """"""
+        spread_name = self.name_line.text()
+        if not spread_name:
+            QtWidgets.QMessageBox.warning(
+                self,
+                "创建失败",
+                "请输入价差名称",
+                QtWidgets.QMessageBox.Ok
+            )
+            return
+
+        active_symbol = self.active_line.text()
+
+        leg_settings = {}
+        for d in self.leg_widgets:
+            try:
+                vt_symbol = d["symbol"].text()
+                price_multiplier = int(d["price"].text())
+                trading_multiplier = int(d["trading"].text())
+
+                leg_settings[vt_symbol] = {
+                    "vt_symbol": vt_symbol,
+                    "price_multiplier": price_multiplier,
+                    "trading_multiplier": trading_multiplier
+                }
+            except ValueError:
+                pass
+
+        if len(leg_settings) < 2:
+            QtWidgets.QMessageBox.warning(
+                self,
+                "创建失败",
+                "价差最少需要2条腿",
+                QtWidgets.QMessageBox.Ok
+            )
+            return
+
+        if active_symbol not in leg_settings:
+            QtWidgets.QMessageBox.warning(
+                self,
+                "创建失败",
+                "各条腿中找不到主动腿代码",
+                QtWidgets.QMessageBox.Ok
+            )
+            return
+
+        self.spread_engine.add_spread(
+            spread_name,
+            list(leg_settings.values()),
+            active_symbol
+        )
+        self.accept()
+
+
+class SpreadRemoveDialog(QtWidgets.QDialog):
+    """"""
+
+    def __init__(self, spread_engine: SpreadEngine):
+        """"""
+        super().__init__()
+
+        self.spread_engine: SpreadEngine = spread_engine
+
+        self.init_ui()
+
+    def init_ui(self):
+        """"""
+        self.setWindowTitle("移除价差")
+        self.setMinimumWidth(300)
+
+        self.name_combo = QtWidgets.QComboBox()
+        spreads = self.spread_engine.get_all_spreads()
+        for spread in spreads:
+            self.name_combo.addItem(spread.name)
+
+        button_remove = QtWidgets.QPushButton("移除")
+        button_remove.clicked.connect(self.remove_spread)
+
+        hbox = QtWidgets.QHBoxLayout()
+        hbox.addWidget(self.name_combo)
+        hbox.addWidget(button_remove)
+
+        self.setLayout(hbox)
+
+    def remove_spread(self):
+        """"""
+        spread_name = self.name_combo.currentText()
+        self.spread_engine.remove_spread(spread_name)
+        self.accept()
+
+
+class SpreadStrategyMonitor(QtWidgets.QWidget):
+    """"""
+
+    signal_strategy = QtCore.pyqtSignal(Event)
+
+    def __init__(self, spread_engine: SpreadEngine):
+        super().__init__()
+
+        self.strategy_engine = spread_engine.strategy_engine
+        self.main_engine = spread_engine.main_engine
+        self.event_engine = spread_engine.event_engine
+
+        self.managers = {}
+
+        self.init_ui()
+        self.register_event()
+
+    def init_ui(self):
+        """"""
+        self.scroll_layout = QtWidgets.QVBoxLayout()
+        self.scroll_layout.addStretch()
+
+        scroll_widget = QtWidgets.QWidget()
+        scroll_widget.setLayout(self.scroll_layout)
+
+        scroll_area = QtWidgets.QScrollArea()
+        scroll_area.setWidgetResizable(True)
+        scroll_area.setWidget(scroll_widget)
+
+        vbox = QtWidgets.QVBoxLayout()
+        vbox.addWidget(scroll_area)
+        self.setLayout(vbox)
+
+    def register_event(self):
+        """"""
+        self.signal_strategy.connect(self.process_strategy_event)
+
+        self.event_engine.register(
+            EVENT_SPREAD_STRATEGY, self.signal_strategy.emit
+        )
+
+    def process_strategy_event(self, event):
+        """
+        Update strategy status onto its monitor.
+        """
+        data = event.data
+        strategy_name = data["strategy_name"]
+
+        if strategy_name in self.managers:
+            manager = self.managers[strategy_name]
+            manager.update_data(data)
+        else:
+            manager = SpreadStrategyWidget(self, self.strategy_engine, data)
+            self.scroll_layout.insertWidget(0, manager)
+            self.managers[strategy_name] = manager
+
+    def remove_strategy(self, strategy_name):
+        """"""
+        manager = self.managers.pop(strategy_name)
+        manager.deleteLater()
+
+
+class SpreadStrategyWidget(QtWidgets.QFrame):
+    """
+    Manager for a strategy
+    """
+
+    def __init__(
+        self,
+        strategy_monitor: SpreadStrategyMonitor,
+        strategy_engine: SpreadStrategyEngine,
+        data: dict
+    ):
+        """"""
+        super().__init__()
+
+        self.strategy_monitor = strategy_monitor
+        self.strategy_engine = strategy_engine
+
+        self.strategy_name = data["strategy_name"]
+        self._data = data
+
+        self.init_ui()
+
+    def init_ui(self):
+        """"""
+        self.setFixedHeight(300)
+        self.setFrameShape(self.Box)
+        self.setLineWidth(1)
+
+        init_button = QtWidgets.QPushButton("初始化")
+        init_button.clicked.connect(self.init_strategy)
+
+        start_button = QtWidgets.QPushButton("启动")
+        start_button.clicked.connect(self.start_strategy)
+
+        stop_button = QtWidgets.QPushButton("停止")
+        stop_button.clicked.connect(self.stop_strategy)
+
+        edit_button = QtWidgets.QPushButton("编辑")
+        edit_button.clicked.connect(self.edit_strategy)
+
+        remove_button = QtWidgets.QPushButton("移除")
+        remove_button.clicked.connect(self.remove_strategy)
+
+        strategy_name = self._data["strategy_name"]
+        spread_name = self._data["spread_name"]
+        class_name = self._data["class_name"]
+        author = self._data["author"]
+
+        label_text = (
+            f"{strategy_name}  -  {spread_name}  ({class_name} by {author})"
+        )
+        label = QtWidgets.QLabel(label_text)
+        label.setAlignment(QtCore.Qt.AlignCenter)
+
+        self.parameters_monitor = StrategyDataMonitor(self._data["parameters"])
+        self.variables_monitor = StrategyDataMonitor(self._data["variables"])
+
+        hbox = QtWidgets.QHBoxLayout()
+        hbox.addWidget(init_button)
+        hbox.addWidget(start_button)
+        hbox.addWidget(stop_button)
+        hbox.addWidget(edit_button)
+        hbox.addWidget(remove_button)
+
+        vbox = QtWidgets.QVBoxLayout()
+        vbox.addWidget(label)
+        vbox.addLayout(hbox)
+        vbox.addWidget(self.parameters_monitor)
+        vbox.addWidget(self.variables_monitor)
+        self.setLayout(vbox)
+
+    def update_data(self, data: dict):
+        """"""
+        self._data = data
+
+        self.parameters_monitor.update_data(data["parameters"])
+        self.variables_monitor.update_data(data["variables"])
+
+    def init_strategy(self):
+        """"""
+        self.strategy_engine.init_strategy(self.strategy_name)
+
+    def start_strategy(self):
+        """"""
+        self.strategy_engine.start_strategy(self.strategy_name)
+
+    def stop_strategy(self):
+        """"""
+        self.strategy_engine.stop_strategy(self.strategy_name)
+
+    def edit_strategy(self):
+        """"""
+        strategy_name = self._data["strategy_name"]
+
+        parameters = self.strategy_engine.get_strategy_parameters(
+            strategy_name)
+        editor = SettingEditor(parameters, strategy_name=strategy_name)
+        n = editor.exec_()
+
+        if n == editor.Accepted:
+            setting = editor.get_setting()
+            self.strategy_engine.edit_strategy(strategy_name, setting)
+
+    def remove_strategy(self):
+        """"""
+        result = self.strategy_engine.remove_strategy(self.strategy_name)
+
+        # Only remove strategy gui manager if it has been removed from engine
+        if result:
+            self.strategy_monitor.remove_strategy(self.strategy_name)
+
+
+class StrategyDataMonitor(QtWidgets.QTableWidget):
+    """
+    Table monitor for parameters and variables.
+    """
+
+    def __init__(self, data: dict):
+        """"""
+        super().__init__()
+
+        self._data = data
+        self.cells = {}
+
+        self.init_ui()
+
+    def init_ui(self):
+        """"""
+        labels = list(self._data.keys())
+        self.setColumnCount(len(labels))
+        self.setHorizontalHeaderLabels(labels)
+
+        self.setRowCount(1)
+        self.verticalHeader().setSectionResizeMode(
+            QtWidgets.QHeaderView.Stretch
+        )
+        self.verticalHeader().setVisible(False)
+        self.setEditTriggers(self.NoEditTriggers)
+
+        for column, name in enumerate(self._data.keys()):
+            value = self._data[name]
+
+            cell = QtWidgets.QTableWidgetItem(str(value))
+            cell.setTextAlignment(QtCore.Qt.AlignCenter)
+
+            self.setItem(0, column, cell)
+            self.cells[name] = cell
+
+    def update_data(self, data: dict):
+        """"""
+        for name, value in data.items():
+            cell = self.cells[name]
+            cell.setText(str(value))
+
+
+class SettingEditor(QtWidgets.QDialog):
+    """
+    For creating new strategy and editing strategy parameters.
+    """
+
+    def __init__(
+        self, parameters: dict, strategy_name: str = "", class_name: str = ""
+    ):
+        """"""
+        super(SettingEditor, self).__init__()
+
+        self.parameters = parameters
+        self.strategy_name = strategy_name
+        self.class_name = class_name
+
+        self.edits = {}
+
+        self.init_ui()
+
+    def init_ui(self):
+        """"""
+        form = QtWidgets.QFormLayout()
+
+        # Add spread_name and name edit if add new strategy
+        if self.class_name:
+            self.setWindowTitle(f"添加策略：{self.class_name}")
+            button_text = "添加"
+            parameters = {"strategy_name": "", "spread_name": ""}
+            parameters.update(self.parameters)
+        else:
+            self.setWindowTitle(f"参数编辑：{self.strategy_name}")
+            button_text = "确定"
+            parameters = self.parameters
+
+        for name, value in parameters.items():
+            type_ = type(value)
+
+            edit = QtWidgets.QLineEdit(str(value))
+            if type_ is int:
+                validator = QtGui.QIntValidator()
+                edit.setValidator(validator)
+            elif type_ is float:
+                validator = QtGui.QDoubleValidator()
+                edit.setValidator(validator)
+
+            form.addRow(f"{name} {type_}", edit)
+
+            self.edits[name] = (edit, type_)
+
+        button = QtWidgets.QPushButton(button_text)
+        button.clicked.connect(self.accept)
+        form.addRow(button)
+
+        self.setLayout(form)
+
+    def get_setting(self):
+        """"""
+        setting = {}
+
+        if self.class_name:
+            setting["class_name"] = self.class_name
+
+        for name, tp in self.edits.items():
+            edit, type_ = tp
+            value_text = edit.text()
+
+            if type_ == bool:
+                if value_text == "True":
+                    value = True
+                else:
+                    value = False
+            else:
+                value = type_(value_text)
+
+            setting[name] = value
+
+        return setting

vnpy/gateway/bitfinex/bitfinex_gateway.py

@@ -11,6 +11,8 @@ from datetime import datetime, timedelta
 from urllib.parse import urlencode
 from vnpy.api.rest import Request, RestClient
 from vnpy.api.websocket import WebsocketClient
+from vnpy.event import Event
+from vnpy.trader.event import EVENT_TIMER
 
 from vnpy.trader.constant import (
     Direction,
@@ -92,6 +94,9 @@ class BitfinexGateway(BaseGateway):
         """Constructor"""
         super(BitfinexGateway, self).__init__(event_engine, "BITFINEX")
 
+        self.timer_count = 0
+        self.resubscribe_interval = 60
+
         self.rest_api = BitfinexRestApi(self)
         self.ws_api = BitfinexWebsocketApi(self)
 
@@ -104,9 +109,10 @@ class BitfinexGateway(BaseGateway):
         proxy_port = setting["proxy_port"]
 
         self.rest_api.connect(key, secret, session, proxy_host, proxy_port)
-
         self.ws_api.connect(key, secret, proxy_host, proxy_port)
 
+        self.event_engine.register(EVENT_TIMER, self.process_timer_event)
+
     def subscribe(self, req: SubscribeRequest):
         """"""
         self.ws_api.subscribe(req)
@@ -136,6 +142,16 @@ class BitfinexGateway(BaseGateway):
         self.rest_api.stop()
         self.ws_api.stop()
 
+    def process_timer_event(self, event: Event):
+        """"""
+        self.timer_count += 1
+
+        if self.timer_count < self.resubscribe_interval:
+            return
+
+        self.timer_count = 0
+        self.ws_api.resubscribe()
+
 
 class BitfinexRestApi(RestClient):
     """
@@ -359,11 +375,12 @@ class BitfinexWebsocketApi(WebsocketClient):
         self.accounts = {}
         self.orders = {}
         self.trades = set()
-        self.tickDict = {}
+        self.ticks = {}
-        self.bidDict = {}
+        self.bids = {}
-        self.askDict = {}
+        self.asks = {}
-        self.orderLocalDict = {}
+        self.channels = {}       # channel_id : (Channel, Symbol)
-        self.channelDict = {}       # channel_id : (Channel, Symbol)
+
+        self.subscribed = {}
 
     def connect(
         self, key: str, secret: str, proxy_host: str, proxy_port: int
@@ -378,12 +395,16 @@ class BitfinexWebsocketApi(WebsocketClient):
         """
         Subscribe to tick data upate.
         """
+        if req.symbol not in self.subscribed:
+            self.subscribed[req.symbol] = req
+
         d = {
             "event": "subscribe",
             "channel": "book",
             "symbol": req.symbol,
         }
         self.send_packet(d)
+
         d = {
             "event": "subscribe",
             "channel": "ticker",
@@ -393,6 +414,11 @@ class BitfinexWebsocketApi(WebsocketClient):
 
         return int(round(time.time() * 1000))
 
+    def resubscribe(self):
+        """"""
+        for req in self.subscribed.values():
+            self.subscribe(req)
+
     def _gen_unqiue_cid(self):
         self.order_id += 1
         local_oid = time.strftime("%y%m%d") + str(self.order_id)
@@ -463,7 +489,7 @@ class BitfinexWebsocketApi(WebsocketClient):
 
         if data["event"] == "subscribed":
             symbol = str(data["symbol"].replace("t", ""))
-            self.channelDict[data["chanId"]] = (data["channel"], symbol)
+            self.channels[data["chanId"]] = (data["channel"], symbol)
 
     def on_update(self, data):
         """"""
@@ -480,12 +506,12 @@ class BitfinexWebsocketApi(WebsocketClient):
     def on_data_update(self, data):
         """"""
         channel_id = data[0]
-        channel, symbol = self.channelDict[channel_id]
+        channel, symbol = self.channels[channel_id]
         symbol = str(symbol.replace("t", ""))
 
         # Get the Tick object
-        if symbol in self.tickDict:
+        if symbol in self.ticks:
-            tick = self.tickDict[symbol]
+            tick = self.ticks[symbol]
         else:
             tick = TickData(
                 symbol=symbol,
@@ -495,7 +521,7 @@ class BitfinexWebsocketApi(WebsocketClient):
                 gateway_name=self.gateway_name,
             )
 
-            self.tickDict[symbol] = tick
+            self.ticks[symbol] = tick
 
         l_data1 = data[1]
 
@@ -509,8 +535,8 @@ class BitfinexWebsocketApi(WebsocketClient):
 
         # Update deep quote
         elif channel == "book":
-            bid = self.bidDict.setdefault(symbol, {})
+            bid = self.bids.setdefault(symbol, {})
-            ask = self.askDict.setdefault(symbol, {})
+            ask = self.asks.setdefault(symbol, {})
 
             if len(l_data1) > 3:
                 for price, count, amount in l_data1:
@@ -558,7 +584,7 @@ class BitfinexWebsocketApi(WebsocketClient):
 
                 # ASK
                 ask_keys = ask.keys()
-                askPriceList = sorted(ask_keys, reverse=True)
+                askPriceList = sorted(ask_keys)
 
                 tick.ask_price_1 = askPriceList[0]
                 tick.ask_price_2 = askPriceList[1]

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/gateway/ctp/ctp_gateway.py

@@ -479,6 +479,8 @@ class CtpTdApi(TdApi):
         if not data:
             return
 
+        # Check if contract data received
+        if data["InstrumentID"] in symbol_exchange_map:
             # Get buffered position object
             key = f"{data['InstrumentID'], data['PosiDirection']}"
             position = self.positions.get(key, None)
@@ -717,6 +719,10 @@ class CtpTdApi(TdApi):
         """
         self.order_ref += 1
 
+        if req.offset not in OFFSET_VT2CTP:
+            self.gateway.write_log("请选择开平方向")
+            return ""
+
         ctp_req = {
             "InstrumentID": req.symbol,
             "ExchangeID": req.exchange.value,

vnpy/gateway/ctptest/ctptest_gateway.py

@@ -478,6 +478,8 @@ class CtpTdApi(TdApi):
         if not data:
             return
 
+        # Check if contract data received
+        if data["InstrumentID"] in symbol_exchange_map:
             # Get buffered position object
             key = f"{data['InstrumentID'], data['PosiDirection']}"
             position = self.positions.get(key, None)

vnpy/gateway/hbdm/hbdm_gateway.py

@@ -63,6 +63,9 @@ ORDERTYPE_VT2HBDM = {
 ORDERTYPE_HBDM2VT = {v: k for k, v in ORDERTYPE_VT2HBDM.items()}
 ORDERTYPE_HBDM2VT[1] = OrderType.LIMIT
 ORDERTYPE_HBDM2VT[3] = OrderType.MARKET
+ORDERTYPE_HBDM2VT[4] = OrderType.MARKET
+ORDERTYPE_HBDM2VT[5] = OrderType.STOP
+ORDERTYPE_HBDM2VT[6] = OrderType.LIMIT
 
 DIRECTION_VT2HBDM = {
     Direction.LONG: "buy",

vnpy/gateway/ib/ib_gateway.py

@@ -64,6 +64,7 @@ EXCHANGE_VT2IB = {
     Exchange.ICE: "ICE",
     Exchange.SEHK: "SEHK",
     Exchange.HKFE: "HKFE",
+    Exchange.CFE: "CFE"
 }
 EXCHANGE_IB2VT = {v: k for k, v in EXCHANGE_VT2IB.items()}
 

vnpy/gateway/mini/mini_gateway.py

@@ -491,7 +491,7 @@ class MiniTdApi(TdApi):
 
     def onRspQryInvestorPosition(self, data: dict, error: dict, reqid: int, last: bool):
         """"""
-        if data:
+        if data and data["InstrumentID"] in symbol_exchange_map:
             # Get buffered position object
             key = f"{data['InstrumentID'], data['PosiDirection']}"
             position = self.positions.get(key, None)

vnpy/gateway/minitest/minitest_gateway.py

@@ -491,7 +491,7 @@ class MiniTdApi(TdApi):
 
     def onRspQryInvestorPosition(self, data: dict, error: dict, reqid: int, last: bool):
         """"""
-        if data:
+        if data and data["InstrumentID"] in symbol_exchange_map:
             # Get buffered position object
             key = f"{data['InstrumentID'], data['PosiDirection']}"
             position = self.positions.get(key, None)

vnpy/gateway/okexf/okexf_gateway.py

@@ -561,7 +561,7 @@ class OkexfRestApi(RestClient):
 
                 for l in data:
                     ts, o, h, l, c, v, _ = l
-                    dt = datetime.strptime(ts, "%Y-%m-%dT%H:%M:%S.%fZ")
+                    dt = utc_to_local(ts)
                     bar = BarData(
                         symbol=req.symbol,
                         exchange=req.exchange,

vnpy/rpc/__init__.py

@@ -1,3 +1,4 @@
+from zmq.backend.cython.constants import NOBLOCK
 import signal
 import threading
 import traceback
@@ -7,10 +8,11 @@ from typing import Any, Callable
 
 import zmq
 
-_ = lambda x: x
+
+def _(x): return x
 
 # Achieve Ctrl-c interrupt recv
-from zmq.backend.cython.constants import NOBLOCK
+
 
 signal.signal(signal.SIGINT, signal.SIG_DFL)
 
@@ -100,7 +102,7 @@ class RpcServer:
 
     def join(self):
         # Wait for RpcServer thread to exit
-        if self.__thread.isAlive():
+        if self.__thread and self.__thread.is_alive():
             self.__thread.join()
         self.__thread = None
 
@@ -237,7 +239,7 @@ class RpcClient:
 
     def join(self):
         # Wait for RpcClient thread to exit
-        if self.__thread.isAlive():
+        if self.__thread and self.__thread.is_alive():
             self.__thread.join()
         self.__thread = None
 

vnpy/trader/constant.py

@@ -100,6 +100,8 @@ class Exchange(Enum):
     HKFE = "HKFE"           # Hong Kong Futures Exchange
     SGX = "SGX"             # Singapore Global Exchange
     CBOT = "CBT"            # Chicago Board of Trade
+    CBOE = "CBOE"           # Chicago Board Options Exchange
+    CFE = "CFE"             # CBOE Futures Exchange
     DME = "DME"             # Dubai Mercantile Exchange
     EUREX = "EUX"           # Eurex Exchange
     APEX = "APEX"           # Asia Pacific Exchange
@@ -118,6 +120,9 @@ class Exchange(Enum):
     BYBIT = "BYBIT"         # bybit.com
     COINBASE = "COINBASE"
 
+    # Special Function
+    LOCAL = "LOCAL"         # For local generated data
+
 
 class Currency(Enum):
     """

vnpy/trader/ui/widget.py

@@ -156,6 +156,9 @@ class TimeCell(BaseCell):
         """
         Time format is 12:12:12.5
         """
+        if content is None:
+            return
+
         timestamp = content.strftime("%H:%M:%S")
 
         millisecond = int(content.microsecond / 1000)

vnpy/trader/utility.py

@@ -3,8 +3,10 @@ General utility functions.
 """
 
 import json
+import logging
 from pathlib import Path
-from typing import Callable
+from typing import Callable, Dict
+from decimal import Decimal
 
 import numpy as np
 import talib
@@ -13,6 +15,9 @@ from .object import BarData, TickData
 from .constant import Exchange, Interval
 
 
+log_formatter = logging.Formatter('[%(asctime)s] %(message)s')
+
+
 def extract_vt_symbol(vt_symbol: str):
     """
     :return: (symbol, exchange)
@@ -109,11 +114,13 @@ def save_json(filename: str, data: dict):
         )
 
 
-def round_to(value: float, target: float):
+def round_to(value: float, target: float) -> float:
     """
     Round price to price tick value.
     """
-    rounded = int(round(value / target)) * target
+    value = Decimal(str(value))
+    target = Decimal(str(target))
+    rounded = float(int(round(value / target)) * target)
     return rounded
 
 
@@ -458,3 +465,25 @@ def virtual(func: "callable"):
     that can be (re)implemented by subclasses.
     """
     return func
+
+
+file_handlers: Dict[str, logging.FileHandler] = {}
+
+
+def _get_file_logger_handler(filename: str):
+    handler = file_handlers.get(filename, None)
+    if handler is None:
+        handler = logging.FileHandler(filename)
+        file_handlers[filename] = handler  # Am i need a lock?
+    return handler
+
+
+def get_file_logger(filename: str):
+    """
+    return a logger that writes records into a file.
+    """
+    logger = logging.getLogger(filename)
+    handler = _get_file_logger_handler(filename)  # get singleton handler.
+    handler.setFormatter(log_formatter)
+    logger.addHandler(handler)  # each handler will be added only once.
+    return logger