[增强功能] PB gateway，xtp加固

vnpy/app/cta_crypto/engine.py

@@ -799,12 +799,19 @@ class CtaEngine(BaseEngine):
 
     def get_price(self, vt_symbol: str):
         """查询合约的最新价格"""
+        price = self.main_engine.get_price(vt_symbol)
+        if price:
+            return price
+
         tick = self.main_engine.get_tick(vt_symbol)
         if tick:
             return tick.last_price
 
         return None
 
+    def get_contract(self, vt_symbol):
+        return self.main_engine.get_contract(vt_symbol)
+
     def get_account(self, vt_accountid: str = ""):
         """ 查询账号的资金"""
         # 如果启动风控，则使用风控中的最大仓位
@@ -1200,6 +1207,25 @@ class CtaEngine(BaseEngine):
             self.write_error(u'保存策略{}数据异常:'.format(strategy_name, str(ex)))
             self.write_error(traceback.format_exc())
 
+    def get_strategy_snapshot(self, strategy_name):
+        """实时获取策略的K线切片（比较耗性能）"""
+        strategy = self.strategies.get(strategy_name, None)
+        if strategy is None:
+            return None
+
+        try:
+            # 5.保存策略切片
+            snapshot = strategy.get_klines_snapshot()
+            if not snapshot:
+                self.write_log(f'{strategy_name}返回得K线切片数据为空')
+                return None
+            return snapshot
+
+        except Exception as ex:
+            self.write_error(u'获取策略{}切片数据异常:'.format(strategy_name, str(ex)))
+            self.write_error(traceback.format_exc())
+            return None
+
     def save_strategy_snapshot(self, select_name: str = 'ALL'):
         """
         保存策略K线切片数据

vnpy/app/cta_crypto/template.py

@@ -601,7 +601,8 @@ class CtaFutureTemplate(CtaTemplate):
 
     def init_policy(self):
         self.write_log(u'init_policy(),初始化执行逻辑')
-        self.policy.load()
+        if self.policy:
+            self.policy.load()
 
     def init_position(self):
         """
@@ -1356,11 +1357,13 @@ class CtaFutureTemplate(CtaTemplate):
             return
         self.write_log(u'{} 当前 {}价格：{}'
                        .format(self.cur_datetime, self.vt_symbol, self.cur_price))
+
         if hasattr(self, 'policy'):
             policy = getattr(self, 'policy')
-            op = getattr(policy, 'to_json', None)
+            if policy:
-            if callable(op):
+                op = getattr(policy, 'to_json', None)
-                self.write_log(u'当前Policy:{}'.format(json.dumps(policy.to_json(), indent=2, ensure_ascii=False)))
+                if callable(op):
+                    self.write_log(u'当前Policy:{}'.format(json.dumps(policy.to_json(), indent=2, ensure_ascii=False)))
 
     def save_dist(self, dist_data):
         """

vnpy/app/cta_crypto/ui/widget.py

@@ -8,12 +8,14 @@ from vnpy.trader.ui.widget import (
     TimeCell,
     BaseMonitor
 )
+from vnpy.trader.ui.kline.ui_snapshot import UiSnapshot
 from ..base import (
     APP_NAME,
     EVENT_CTA_LOG,
     EVENT_CTA_STOPORDER,
     EVENT_CTA_STRATEGY
 )
+
 from ..engine import CtaEngine
 
 
@@ -202,11 +204,11 @@ class StrategyManager(QtWidgets.QFrame):
         reload_button = QtWidgets.QPushButton("重载")
         reload_button.clicked.connect(self.reload_strategy)
 
-        save_button = QtWidgets.QPushButton("缓存")
+        save_button = QtWidgets.QPushButton("保存")
         save_button.clicked.connect(self.save_strategy)
 
-        snapshot_button = QtWidgets.QPushButton("切片")
+        view_button = QtWidgets.QPushButton("K线")
-        snapshot_button.clicked.connect(self.save_snapshot)
+        view_button.clicked.connect(self.view_strategy_snapshot)
 
         strategy_name = self._data["strategy_name"]
         vt_symbol = self._data["vt_symbol"]
@@ -230,7 +232,7 @@ class StrategyManager(QtWidgets.QFrame):
         hbox.addWidget(remove_button)
         hbox.addWidget(reload_button)
         hbox.addWidget(save_button)
-        hbox.addWidget(snapshot_button)
+        hbox.addWidget(view_button)
 
         vbox = QtWidgets.QVBoxLayout()
         vbox.addWidget(label)
@@ -283,13 +285,18 @@ class StrategyManager(QtWidgets.QFrame):
         self.cta_engine.reload_strategy(self.strategy_name)
 
     def save_strategy(self):
-        """保存K线缓存"""
+        """保存策略缓存数据"""
         self.cta_engine.save_strategy_data(self.strategy_name)
-
-    def save_snapshot(self):
-        """ 保存切片"""
         self.cta_engine.save_strategy_snapshot(self.strategy_name)
 
+    def view_strategy_snapshot(self):
+        """实时查看策略切片"""
+        snapshot = self.cta_engine.get_strategy_snapshot(self.strategy_name)
+        if snapshot is None:
+            return
+        ui_snapshot = UiSnapshot()
+        ui_snapshot.show(snapshot_file="", d=snapshot)
+
 class DataMonitor(QtWidgets.QTableWidget):
     """
     Table monitor for parameters and variables.

vnpy/app/cta_stock/strategies/readme.md

@@ -13,7 +13,7 @@
 
     cythonize -i demo_strategy.py
     
-    编译完成后，Demo文件夹下会多出2个新的文件，其中就有已加密的策略文件demo_strategy.cp37-win_amd64.pyd
+    编译完成后，Demo文件夹下会多出2个新的文件，其中就有已加密的策略文件demo_strategy.cp37-win_amd64.pyd 
     
     改名=> demo_strategy.pyd
     

vnpy/app/cta_strategy_pro/engine.py

@@ -1108,14 +1108,23 @@ class CtaEngine(BaseEngine):
         if len(setting) == 0:
             strategies_setting = load_json(self.setting_filename)
             old_strategy_config = strategies_setting.get(strategy_name, {})
+            self.write_log(f'使用配置文件的配置:{old_strategy_config}')
         else:
             old_strategy_config = copy(self.strategy_setting[strategy_name])
+            self.write_log(f'使用已经运行的配置:{old_strategy_config}')
 
         class_name = old_strategy_config.get('class_name')
+        self.write_log(f'使用策略类名:{class_name}')
+
+        # 没有配置vt_symbol时，使用配置文件/旧配置中的vt_symbol
         if len(vt_symbol) == 0:
             vt_symbol = old_strategy_config.get('vt_symbol')
+            self.write_log(f'使用配置文件/已运行配置的vt_symbol:{vt_symbol}')
+
+        # 没有新配置时，使用配置文件/旧配置中的setting
         if len(setting) == 0:
             setting = old_strategy_config.get('setting')
+            self.write_log(f'没有新策略参数，使用配置文件/旧配置中的setting:{setting}')
 
         module_name = self.class_module_map[class_name]
         # 重新load class module
@@ -1639,15 +1648,17 @@ class CtaEngine(BaseEngine):
         compare_info = ''
         for vt_symbol in sorted(vt_symbols):
             # 发送不一致得结果
-            symbol_pos = compare_pos.pop(vt_symbol)
+            symbol_pos = compare_pos.pop(vt_symbol, None)
+            if symbol_pos is None:
+                continue
             d_long = {
-                'account_id': self.engine_config.get('account_id', '-'),
+                'account_id': self.engine_config.get('accountid', '-'),
                 'vt_symbol': vt_symbol,
                 'direction': Direction.LONG.value,
                 'strategy_list': symbol_pos.get('多单策略', [])}
 
             d_short = {
-                'account_id': self.engine_config.get('account_id', '-'),
+                'account_id': self.engine_config.get('accountid', '-'),
                 'vt_symbol': vt_symbol,
                 'direction': Direction.SHORT.value,
                 'strategy_list': symbol_pos.get('空单策略', [])}
@@ -1693,7 +1704,7 @@ class CtaEngine(BaseEngine):
         # 不匹配，输入到stdErr通道
         if pos_compare_result != '':
             msg = u'账户{}持仓不匹配: {}' \
-                .format(self.engine_config.get('account_id', '-'),
+                .format(self.engine_config.get('accountid', '-'),
                         pos_compare_result)
             try:
                 from vnpy.trader.util_wechat import send_wx_msg

vnpy/app/cta_strategy_pro/template.py

@@ -849,6 +849,7 @@ class CtaProTemplate(CtaTemplate):
 
         for vt_orderid in list(self.active_orders.keys()):
             order_info = self.active_orders.get(vt_orderid)
+            order_grid = order_info.get('grid',None)
             if order_info.get('status', None) in [Status.CANCELLED, Status.REJECTED]:
                 self.active_orders.pop(vt_orderid, None)
                 continue
@@ -863,6 +864,11 @@ class CtaProTemplate(CtaTemplate):
                     order_info.update({'status': Status.CANCELLING})
                 else:
                     order_info.update({'status': Status.CANCELLED})
+                    if order_grid:
+                        if vt_orderid in order_grid.order_ids:
+                            order_grid.order_ids.remove(vt_orderid)
+                        if len(order_grid.order_ids) == 0:
+                            order_grid.order_status = False
 
         if len(self.active_orders) < 1:
             self.entrust = 0

vnpy/component/cta_grid_trade.py

@@ -645,8 +645,8 @@ class CtaGridTrade(CtaComponent):
             if lots > 0:
                 for i in range(0, lots, 1):
                     # 做多，开仓价为下阻力线-网格高度*i，平仓价为开仓价+止盈高度，开仓数量为缺省
-                    open_price = int((down_line - self.grid_height * down_rate) / self.price_tick) * self.price_tick
+                    open_price = int((down_line - self.grid_height * down_rate * i) / self.price_tick) * self.price_tick
-                    close_price = int((open_price + self.grid_win * down_rate) / self.price_tick) * self.price_tick
+                    close_price = int((open_price + self.grid_win * down_rate * i) / self.price_tick) * self.price_tick
 
                     grid = CtaGrid(direction=Direction.LONG,
                                    open_price=open_price,
@@ -686,8 +686,8 @@ class CtaGridTrade(CtaComponent):
             if lots > 0:
                 # 做空，开仓价为上阻力线+网格高度*i，平仓价为开仓价-止盈高度，开仓数量为缺省
                 for i in range(0, lots, 1):
-                    open_price = int((upper_line + self.grid_height * upper_rate) / self.price_tick) * self.price_tick
+                    open_price = int((upper_line + self.grid_height * upper_rate * i) / self.price_tick) * self.price_tick
-                    close_price = int((open_price - self.grid_win * upper_rate) / self.price_tick) * self.price_tick
+                    close_price = int((open_price - self.grid_win * upper_rate * i) / self.price_tick) * self.price_tick
 
                     grid = CtaGrid(direction=Direction.SHORT,
                                    open_price=open_price,

vnpy/component/cta_line_bar.py

@@ -2935,7 +2935,7 @@ class CtaLineBar(object):
         if self.bar_len < maxLen:
             return
 
-        dif, dea, macd = ta.MACD(np.append(self.close_array[-maxLen:], [self.line_bar[-1].close]),
+        dif, dea, macd = ta.MACD(np.append(self.close_array[-maxLen:], [self.line_bar[-1].close_price]),
                                  fastperiod=self.para_macd_fast_len,
                                  slowperiod=self.para_macd_slow_len, signalperiod=self.para_macd_signal_len)
 
@@ -4008,7 +4008,7 @@ class CtaLineBar(object):
             return
         # 3、获取前InputN周期(包含当前周期）的K线
         last_bar_mid3 = (self.line_bar[-1].close_price + self.line_bar[-1].high_price + self.line_bar[-1].low_price) / 3
-        bar_mid3_ema10 = ta.EMA(np.append(self.mid3_array[-ema_len * 3:], [last_bar_mid3]), ema_len)[-1]
+        bar_mid3_ema10 = ta.EMA(np.append(self.mid3_array[-ema_len * 4:], [last_bar_mid3]), ema_len)[-1]
         self._rt_yb = round(float(bar_mid3_ema10), self.round_n)
 
     @property

vnpy/data/tdx/tdx_future_data.py

@@ -262,7 +262,6 @@ class TdxFutureData(object):
                 self.symbol_exchange_dict.update({tdx_symbol: Tdx_Vn_Exchange_Map.get(str(tdx_market_id))})
                 self.symbol_market_dict.update({tdx_symbol: tdx_market_id})
 
-
     # ----------------------------------------------------------------------
     def get_bars(self,
                  symbol: str,

vnpy/gateway/ctp/ctp_gateway.py

@@ -68,7 +68,8 @@ from vnpy.trader.utility import (
     get_trading_date,
     get_underlying_symbol,
     round_to,
-    BarGenerator
+    BarGenerator,
+    print_dict
 )
 from vnpy.trader.event import EVENT_TIMER
 
@@ -222,6 +223,12 @@ class CtpGateway(BaseGateway):
             self.combiner_conf_dict = c.get_config()
             if len(self.combiner_conf_dict) > 0:
                 self.write_log(u'加载的自定义价差/价比配置:{}'.format(self.combiner_conf_dict))
+
+                contract_dict = c.get_contracts()
+                for vt_symbol, contract in contract_dict.items():
+                    contract.gateway_name = self.gateway_name
+                    self.on_contract(contract)
+
         except Exception as ex:  # noqa
             pass
         if not self.td_api:

vnpy/gateway/ib/ib_gateway.py

@@ -53,19 +53,21 @@ from vnpy.trader.constant import (
 )
 from vnpy.trader.utility import get_file_path
 
-
+# 委托方式映射
 ORDERTYPE_VT2IB = {
-    OrderType.LIMIT: "LMT", 
+    OrderType.LIMIT: "LMT",    # 限价单
-    OrderType.MARKET: "MKT",
+    OrderType.MARKET: "MKT",   # 市场价
-    OrderType.STOP: "STP"
+    OrderType.STOP: "STP"      # 停止价
 }
 ORDERTYPE_IB2VT = {v: k for k, v in ORDERTYPE_VT2IB.items()}
 
+# 买卖方向映射
 DIRECTION_VT2IB = {Direction.LONG: "BUY", Direction.SHORT: "SELL"}
 DIRECTION_IB2VT = {v: k for k, v in DIRECTION_VT2IB.items()}
 DIRECTION_IB2VT["BOT"] = Direction.LONG
 DIRECTION_IB2VT["SLD"] = Direction.SHORT
 
+# 交易所映射
 EXCHANGE_VT2IB = {
     Exchange.SMART: "SMART",
     Exchange.NYMEX: "NYMEX",
@@ -75,10 +77,13 @@ EXCHANGE_VT2IB = {
     Exchange.ICE: "ICE",
     Exchange.SEHK: "SEHK",
     Exchange.HKFE: "HKFE",
-    Exchange.CFE: "CFE"
+    Exchange.CFE: "CFE",
+    Exchange.NYSE: "NYSE",
+    Exchange.NASDAQ: "NASDAQ"
 }
 EXCHANGE_IB2VT = {v: k for k, v in EXCHANGE_VT2IB.items()}
 
+# 状态映射
 STATUS_IB2VT = {
     "ApiPending": Status.SUBMITTING,
     "PendingSubmit": Status.SUBMITTING,
@@ -90,6 +95,7 @@ STATUS_IB2VT = {
     "Inactive": Status.REJECTED,
 }
 
+# 品种类型映射
 PRODUCT_IB2VT = {
     "STK": Product.EQUITY,
     "CASH": Product.FOREX,
@@ -99,14 +105,17 @@ PRODUCT_IB2VT = {
     "FOT": Product.OPTION
 }
 
+# 期权映射
 OPTION_VT2IB = {OptionType.CALL: "CALL", OptionType.PUT: "PUT"}
 
+# 币种映射
 CURRENCY_VT2IB = {
     Currency.USD: "USD",
     Currency.CNY: "CNY",
     Currency.HKD: "HKD",
 }
 
+# tick字段映射
 TICKFIELD_IB2VT = {
     0: "bid_volume_1",
     1: "bid_price_1",
@@ -121,6 +130,7 @@ TICKFIELD_IB2VT = {
     14: "open_price",
 }
 
+# 账号字段映射
 ACCOUNTFIELD_IB2VT = {
     "NetLiquidationByCurrency": "balance",
     "NetLiquidation": "balance",
@@ -129,12 +139,14 @@ ACCOUNTFIELD_IB2VT = {
     "MaintMarginReq": "margin",
 }
 
+# 时间周期映射
 INTERVAL_VT2IB = {
     Interval.MINUTE: "1 min",
     Interval.HOUR: "1 hour",
     Interval.DAILY: "1 day",
 }
 
+# 合约连接符
 JOIN_SYMBOL = "-"
 
 
@@ -150,9 +162,9 @@ class IbGateway(BaseGateway):
 
     exchanges = list(EXCHANGE_VT2IB.keys())
 
-    def __init__(self, event_engine):
+    def __init__(self, event_engine, gateway_name='IB'):
         """"""
-        super().__init__(event_engine, "IB")
+        super().__init__(event_engine, gateway_name)
 
         self.api = IbApi(self)
 
@@ -483,13 +495,14 @@ class IbApi(EWrapper):
             self.gateway.write_log(msg)
             return
 
-        ib_size = contract.multiplier
+        try:
-        if not ib_size:
+            ib_size = int(contract.multiplier)
+        except ValueError:
             ib_size = 1
         price = averageCost / ib_size
 
         pos = PositionData(
-            symbol=contract.conId,
+            symbol=generate_symbol(contract),
             exchange=exchange,
             direction=Direction.NET,
             volume=position,
@@ -807,7 +820,7 @@ class IbClient(EClient):
 
 
 def generate_ib_contract(symbol: str, exchange: Exchange) -> Optional[Contract]:
-    """"""
+    """生成ib合约"""
     try:
         fields = symbol.split(JOIN_SYMBOL)
 
@@ -831,7 +844,7 @@ def generate_ib_contract(symbol: str, exchange: Exchange) -> Optional[Contract]:
 
 
 def generate_symbol(ib_contract: Contract) -> str:
-    """"""
+    """生成合约代码"""
     fields = [ib_contract.symbol]
 
     if ib_contract.secType in ["FUT", "OPT", "FOP"]:

vnpy/gateway/rohon/rohon_gateway.py

@@ -67,7 +67,8 @@ from vnpy.trader.utility import (
     get_trading_date,
     get_underlying_symbol,
     round_to,
-    BarGenerator
+    BarGenerator,
+    print_dict
 )
 from vnpy.trader.event import EVENT_TIMER
 
@@ -214,6 +215,12 @@ class RohonGateway(BaseGateway):
             self.combiner_conf_dict = c.get_config()
             if len(self.combiner_conf_dict) > 0:
                 self.write_log(u'加载的自定义价差/价比配置:{}'.format(self.combiner_conf_dict))
+
+                contract_dict = c.get_contracts()
+                for vt_symbol, contract in contract_dict.items():
+                    contract.gateway_name = self.gateway_name
+                    self.on_contract(contract)
+
         except Exception as ex:  # noqa
             pass
 

vnpy/gateway/xtp/xtp_gateway.py

@@ -200,7 +200,7 @@ class XtpGateway(BaseGateway):
     def process_timer_event(self, event) -> None:
         """"""
         self.count += 1
-        if self.count < 2:
+        if self.count < 5:
             return
         self.count = 0
 
@@ -371,6 +371,8 @@ class XtpMdApi(MdApi):
             min_volume=data["buy_qty_unit"],
             gateway_name=self.gateway_name
         )
+        #if contract.symbol.startswith('1230'):
+        #    self.gateway.write_log(msg=f'合约信息:{contract.__dict__}')
         self.gateway.on_contract(contract)
 
         # 更新最新价

vnpy/trader/constant.py

@@ -43,6 +43,7 @@ class Status(Enum):
     CANCELLED = "已撤销"
     CANCELLING = "撤销中"
     REJECTED = "拒单"
+    UNKNOWN = "未知"
 
 
 class Product(Enum):
@@ -95,9 +96,12 @@ class Exchange(Enum):
     SZSE = "SZSE"           # Shenzhen Stock Exchange
     SGE = "SGE"             # Shanghai Gold Exchange
     WXE = "WXE"             # Wuxi Steel Exchange
+    CFETS = "CFETS"         # China Foreign Exchange Trade System
 
     # Global
     SMART = "SMART"         # Smart Router for US stocks
+    NYSE = "NYSE"           # New York Stock Exchnage
+    NASDAQ = "NASDAQ"       # Nasdaq Exchange
     NYMEX = "NYMEX"         # New York Mercantile Exchange
     COMEX = "COMEX"         # a division of theNew York Mercantile Exchange
     GLOBEX = "GLOBEX"       # Globex of CME

vnpy/trader/converter.py

@@ -57,10 +57,11 @@ class OffsetConverter:
 
     def get_position_holding(self, vt_symbol: str, gateway_name: str = '') -> "PositionHolding":
         """获取持仓信息"""
-        if len(gateway_name) == 0:
+        if gateway_name is None or len(gateway_name) == 0:
             contract = self.main_engine.get_contract(vt_symbol)
             if contract:
                 gateway_name = contract.gateway_name
+
         k = f'{gateway_name}.{vt_symbol}'
         holding = self.holdings.get(k, None)
         if not holding:

vnpy/trader/gateway.py

@@ -331,13 +331,15 @@ class LocalOrderManager:
     Management tool to support use local order id for trading.
     """
 
-    def __init__(self, gateway: BaseGateway, order_prefix: str = ""):
+    def __init__(self, gateway: BaseGateway, order_prefix: str = "", order_rjust:int = 8):
         """"""
         self.gateway: BaseGateway = gateway
 
         # For generating local orderid
         self.order_prefix: str = order_prefix
+        self.order_rjust: int = order_rjust
         self.order_count: int = 0
+
         self.orders: Dict[str, OrderData] = {}  # local_orderid: order
 
         # Map between local and system orderid
@@ -362,7 +364,7 @@ class LocalOrderManager:
         Generate a new local orderid.
         """
         self.order_count += 1
-        local_orderid = self.order_prefix + str(self.order_count).rjust(8, "0")
+        local_orderid = self.order_prefix + str(self.order_count).rjust(self.order_rjust, "0")
         return local_orderid
 
     def get_local_orderid(self, sys_orderid: str) -> str:
@@ -421,8 +423,11 @@ class LocalOrderManager:
 
     def get_order_with_local_orderid(self, local_orderid: str) -> OrderData:
         """"""
-        order = self.orders[local_orderid]
+        order = self.orders.get(local_orderid, None)
-        return copy(order)
+        if order:
+            return copy(order)
+        else:
+            return None
 
     def on_order(self, order: OrderData) -> None:
         """

vnpy/trader/ui/widget.py

@@ -1041,7 +1041,7 @@ class ContractManager(QtWidgets.QWidget):
         all_contracts = self.main_engine.get_all_contracts()
         if flt:
             contracts = [
-                contract for contract in all_contracts if flt in contract.vt_symbol
+                contract for contract in all_contracts if flt in contract.vt_symbol.lower()
             ]
         else:
             contracts = all_contracts

vnpy/trader/utility.py

@@ -344,7 +344,7 @@ def get_csv_last_dt(file_name, dt_index=0, dt_format='%Y-%m-%d %H:%M:%S', line_l
                     return None
         return None
 
-def append_data(file_name: str, dict_data: dict, field_names: list = []):
+def append_data(file_name: str, dict_data: dict, field_names: list = [], auto_header=True, encoding='utf8'):
     """
     添加数据到csv文件中
     :param file_name:  csv的文件全路径
@@ -354,15 +354,16 @@ def append_data(file_name: str, dict_data: dict, field_names: list = []):
     dict_fieldnames = sorted(list(dict_data.keys())) if len(field_names) == 0 else field_names
 
     try:
-        if not os.path.exists(file_name):
+        if not os.path.exists(file_name): # or os.path.getsize(file_name) == 0:
             print(u'create csv file:{}'.format(file_name))
             with open(file_name, 'a', encoding='utf8', newline='\n') as csvWriteFile:
                 writer = csv.DictWriter(f=csvWriteFile, fieldnames=dict_fieldnames, dialect='excel')
-                print(u'write csv header:{}'.format(dict_fieldnames))
+                if auto_header:
-                writer.writeheader()
+                    print(u'write csv header:{}'.format(dict_fieldnames))
+                    writer.writeheader()
                 writer.writerow(dict_data)
         else:
-            with open(file_name, 'a', encoding='utf8', newline='\n') as csvWriteFile:
+            with open(file_name, 'a', encoding=encoding, newline='\n') as csvWriteFile:
                 writer = csv.DictWriter(f=csvWriteFile, fieldnames=dict_fieldnames, dialect='excel',
                                         extrasaction='ignore')
                 writer.writerow(dict_data)