[Add] load and sync cta strategy data function

tests/trader/run.py

@@ -6,7 +6,7 @@ from vnpy.trader.ui import MainWindow, create_qapp
 
 from vnpy.gateway.bitmex import BitmexGateway
 from vnpy.gateway.futu import FutuGateway
-#from vnpy.gateway.ib import IbGateway
+from vnpy.gateway.ib import IbGateway
 from vnpy.gateway.ctp import CtpGateway
 
 from vnpy.app.cta_strategy import CtaStrategyApp
@@ -20,7 +20,7 @@ def main():
 
     main_engine = MainEngine(event_engine)
     main_engine.add_gateway(CtpGateway)
-    #main_engine.add_gateway(IbGateway)
+    main_engine.add_gateway(IbGateway)
     main_engine.add_gateway(FutuGateway)
     main_engine.add_gateway(BitmexGateway)
 

vnpy/app/cta_strategy/engine.py

@@ -19,7 +19,7 @@ from vnpy.trader.object import (
 )
 from vnpy.trader.event import EVENT_TICK, EVENT_ORDER, EVENT_TRADE
 from vnpy.trader.constant import Direction, PriceType, Interval
-from vnpy.trader.utility import get_temp_path
+from vnpy.trader.utility import get_temp_path, load_json, save_json
 from vnpy.trader.database import DbTickData, DbBarData
 
 from .base import (
@@ -41,7 +41,8 @@ class CtaEngine(BaseEngine):
 
     engine_type = EngineType.LIVE  # live trading engine
 
-    filename = "CtaStrategy.vt"
+    setting_filename = "cta_strategy_setting.vt"
+    data_filename = "cta_strategy_data.json"
 
     def __init__(self, main_engine: MainEngine, event_engine: EventEngine):
         """"""
@@ -49,6 +50,7 @@ class CtaEngine(BaseEngine):
             main_engine, event_engine, "CtaStrategy")
 
         self.setting_file = None    # setting file object
+        self.strategy_data = {}     # strategy_name: dict
 
         self.classes = {}           # class_name: stategy_class
         self.strategies = {}        # strategy_name: strategy
@@ -67,6 +69,7 @@ class CtaEngine(BaseEngine):
         """
         self.load_strategy_class()
         self.load_strategy_setting()
+        self.load_strategy_data()
         self.register_event()
         self.write_log("CTA策略引擎初始化成功")
 
@@ -404,8 +407,17 @@ class CtaEngine(BaseEngine):
         Init a strategy.
         """
         strategy = self.strategies[strategy_name]
+
+        # Call on_init function of strategy
         self.call_strategy_func(strategy, strategy.on_init)
-        strategy.inited = True
+
+        # Restore strategy data(variables)
+        data = self.strategy_data.get(strategy_name, None)
+        if data:
+            for name in strategy.variables:
+                value = data.get(name, None)
+                if value:
+                    setattr(strategy, name, value)
 
         # Subscribe market data
         contract = self.main_engine.get_contract(strategy.vt_symbol)
@@ -416,6 +428,7 @@ class CtaEngine(BaseEngine):
         else:
             self.write_log(f"行情订阅失败，找不到合约{strategy.vt_symbol}", strategy)
 
+        strategy.inited = True
         self.put_strategy_event(strategy)
 
     def start_strategy(self, strategy_name: str):
@@ -488,9 +501,10 @@ class CtaEngine(BaseEngine):
         """
         for dirpath, dirnames, filenames in os.walk(path):
             for filename in filenames:
-                module_name = ".".join(
-                    [module_name, filename.replace(".py", "")])
-                self.load_strategy_class_from_module(module_name)
+                if filename.endswith(".py"):
+                    strategy_module_name = ".".join(
+                        [module_name, filename.replace(".py", "")])
+                    self.load_strategy_class_from_module(strategy_module_name)
 
     def load_strategy_class_from_module(self, module_name: str):
         """
@@ -501,12 +515,29 @@ class CtaEngine(BaseEngine):
 
             for name in dir(module):
                 value = getattr(module, name)
-                if issubclass(value, CtaTemplate) and value is not CtaTemplate:
+                if (isinstance(value, type) and issubclass(value, CtaTemplate) and value is not CtaTemplate):
                     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 load_strategy_data(self):
+        """
+        Load strategy data from json file.
+        """
+        self.strategy_data = load_json(self.data_filename)
+
+    def sync_strategy_data(self, strategy: CtaTemplate):
+        """
+        Sync strategy data into json file.
+        """
+        data = strategy.get_variables()
+        data.pop("inited")      # Strategy status (inited, trading) should not be synced.
+        data.pop("trading")
+
+        self.strategy_data[strategy.strategy_name] = data
+        save_json(self.data_filename, self.strategy_data)
+
     def get_all_strategy_class_names(self):
         """
         Return names of strategy classes loaded.
@@ -554,7 +585,7 @@ class CtaEngine(BaseEngine):
         """
         Load setting file.
         """
-        filepath = str(get_temp_path(self.filename))
+        filepath = str(get_temp_path(self.setting_filename))
         self.setting_file = shelve.open(filepath)
 
         for tp in list(self.setting_file.values()):

vnpy/app/cta_strategy/template.py

@@ -233,7 +233,9 @@ class CtaTemplate(ABC):
         """
         self.cta_engine.send_email(msg, self)
 
-    def save_variables(self):
+    def sync_data(self):
         """
+        Sync strategy variables value into disk storage.
         """
-        self.cta_engine.save_strategy_variables(self)
+        if self.trading:
+            self.cta_engine.sync_strategy_data(self)

vnpy/trader/utility.py

@@ -11,7 +11,6 @@ import numpy as np
 import talib
 
 from .object import BarData, TickData
-from .constant import interval
 
 
 class Singleton(type):