diff --git a/vnpy/app/cta_crypto/engine.py b/vnpy/app/cta_crypto/engine.py index 02617421..c0302fa4 100644 --- a/vnpy/app/cta_crypto/engine.py +++ b/vnpy/app/cta_crypto/engine.py @@ -670,24 +670,17 @@ class CtaEngine(BaseEngine): price=price, volume=volume, gateway_name=gateway_name) - if order_type == OrderType.FAK: - return self.send_fak_order( - strategy=strategy, - contract=contract, - direction=direction, - offset=offset, - price=price, - volume=volume, - gateway_name=gateway_name) - else: - return self.send_limit_order( - strategy=strategy, - contract=contract, - direction=direction, - offset=offset, - price=price, - volume=volume, - gateway_name=gateway_name) + + return self.send_server_order( + strategy=strategy, + contract=contract, + direction=direction, + offset=offset, + price=price, + volume=volume, + type=order_type, + gateway_name=gateway_name + ) def cancel_order(self, strategy: CtaTemplate, vt_orderid: str): """ @@ -919,6 +912,7 @@ class CtaEngine(BaseEngine): self.write_log(msg=msg, strategy_name=strategy.strategy_name, level=logging.CRITICAL) + self.send_wechat(msg) def add_strategy( self, class_name: str, @@ -1490,8 +1484,7 @@ class CtaEngine(BaseEngine): compare_pos[vt_symbol] = OrderedDict( { - "账号空单": abs(position.volume) if position.volume < 0 else 0, - '账号多单': position.volume if position.volume > 0 else 0, + "账号净仓": position.volume, '策略空单': 0, '策略多单': 0, '空单策略': [], @@ -1511,8 +1504,7 @@ class CtaEngine(BaseEngine): self.write_log(u'账号持仓信息获取不到{}，创建一个'.format(vt_symbol)) symbol_pos = OrderedDict( { - "账号空单": 0, - '账号多单': 0, + "账号净仓": 0, '策略空单': 0, '策略多单': 0, '空单策略': [], @@ -1521,12 +1513,12 @@ class CtaEngine(BaseEngine): ) if pos.get('direction') == 'short': - symbol_pos.update({'策略空单': symbol_pos.get('策略空单', 0) + abs(pos.get('volume', 0))}) + symbol_pos.update({'策略空单': round(symbol_pos.get('策略空单', 0) + abs(pos.get('volume', 0)), 7)}) symbol_pos['空单策略'].append( u'{}({})'.format(strategy_pos['strategy_name'], abs(pos.get('volume', 0)))) self.write_log(u'更新{}策略持空仓=>{}'.format(vt_symbol, symbol_pos.get('策略空单', 0))) if pos.get('direction') == 'long': - symbol_pos.update({'策略多单': symbol_pos.get('策略多单', 0) + abs(pos.get('volume', 0))}) + symbol_pos.update({'策略多单': round(symbol_pos.get('策略多单', 0) + abs(pos.get('volume', 0)),7)}) symbol_pos['多单策略'].append( u'{}({})'.format(strategy_pos['strategy_name'], abs(pos.get('volume', 0)))) self.write_log(u'更新{}策略持多仓=>{}'.format(vt_symbol, symbol_pos.get('策略多单', 0))) @@ -1537,47 +1529,21 @@ class CtaEngine(BaseEngine): for vt_symbol in sorted(vt_symbols): # 发送不一致得结果 symbol_pos = compare_pos.pop(vt_symbol) - d_long = { - 'account_id': self.engine_config.get('account_id', '-'), - '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', '-'), - 'vt_symbol': vt_symbol, - 'direction': Direction.SHORT.value, - 'strategy_list': symbol_pos.get('空单策略', [])} + net_symbol_pos = round(round(symbol_pos['策略多单'], 7) - round(symbol_pos['策略空单'], 7),7) # 多空都一致 - if round(symbol_pos['账号空单'], 7) == round(symbol_pos['策略空单'], 7) and \ - round(symbol_pos['账号多单'], 7) == round(symbol_pos['策略多单'], 7): + if round(symbol_pos['账号净仓'], 7) == net_symbol_pos: msg = u'{}多空都一致.{}\n'.format(vt_symbol, json.dumps(symbol_pos, indent=2, ensure_ascii=False)) self.write_log(msg) compare_info += msg else: pos_compare_result += '\n{}: '.format(vt_symbol) - # 多单不一致 - if round(symbol_pos['策略多单'], 7) != round(symbol_pos['账号多单'], 7): - msg = '{}多单[账号({}), 策略{},共({})], ' \ - .format(vt_symbol, - symbol_pos['账号多单'], - symbol_pos['多单策略'], - symbol_pos['策略多单']) + msg = f"{vt_symbol} [{symbol_pos}]" - pos_compare_result += msg - self.write_error(u'{}不一致:{}'.format(vt_symbol, msg)) - compare_info += u'{}不一致:{}\n'.format(vt_symbol, msg) - # 空单不一致 - if round(symbol_pos['策略空单'], 7) != round(symbol_pos['账号空单'], 7): - msg = '{}空单[账号({}), 策略{},共({})], ' \ - .format(vt_symbol, - symbol_pos['账号空单'], - symbol_pos['空单策略'], - symbol_pos['策略空单']) - pos_compare_result += msg - self.write_error(u'{}不一致:{}'.format(vt_symbol, msg)) - compare_info += u'{}不一致:{}\n'.format(vt_symbol, msg) + pos_compare_result += msg + self.write_error(u'{}不一致:{}'.format(vt_symbol, json.dumps(symbol_pos, indent=2, ensure_ascii=False))) + compare_info += u'{}不一致:{}\n'.format(vt_symbol, json.dumps(symbol_pos, indent=2, ensure_ascii=False)) # 不匹配，输入到stdErr通道 if pos_compare_result != '': diff --git a/vnpy/app/cta_crypto/template.py b/vnpy/app/cta_crypto/template.py index 53d5ac51..fec4bffe 100644 --- a/vnpy/app/cta_crypto/template.py +++ b/vnpy/app/cta_crypto/template.py @@ -427,6 +427,7 @@ class CtaFutureTemplate(CtaTemplate): # 委托类型 order_type = OrderType.LIMIT cancel_seconds = 120 # 撤单时间(秒) + activate_market = False # 资金相关 max_invest_rate = 0.1 # 最大仓位(0~1) @@ -454,6 +455,7 @@ class CtaFutureTemplate(CtaTemplate): self.account_pos = None # 当前账号vt_symbol持仓信息 self.last_minute = None # 最后的分钟,用于on_tick内每分钟处理的逻辑 + self.display_bars = True super().__init__( cta_engine, strategy_name, vt_symbol, setting @@ -481,6 +483,20 @@ class CtaFutureTemplate(CtaTemplate): self.margin_rate = self.cta_engine.get_margin_rate(self.vt_symbol) self.volumn_tick = self.cta_engine.get_volume_tick(self.vt_symbol) + if self.activate_market: + self.write_log(f'{self.strategy_name}使用市价单委托方式') + self.order_type = OrderType.MARKET + + def sync_data(self): + """同步更新数据""" + if not self.backtesting: + self.write_log(u'保存k线缓存数据') + self.save_klines_to_cache() + + if self.inited and self.trading: + self.write_log(u'保存policy数据') + self.policy.save() + def save_klines_to_cache(self, kline_names: list = []): """ 保存K线数据到缓存 @@ -578,6 +594,7 @@ class CtaFutureTemplate(CtaTemplate): :return: """ self.write_log(u'init_position(),初始化持仓') + changed = False if len(self.gt.up_grids) <= 0: self.position.short_pos = 0 # 加载已开仓的空单数据，网格JSON @@ -592,12 +609,14 @@ class CtaFutureTemplate(CtaTemplate): if len(sg.order_ids) > 0 or sg.order_status: self.write_log(f'重置委托状态:{sg.order_status},清除委托单：{sg.order_ids}') sg.order_status = False + [self.cancel_order(vt_orderid) for vt_orderid in sg.order_ids] sg.order_ids = [] + changed = True self.write_log(u'加载持仓空单[{},价格:{},数量:{}手,开仓时间:{}' .format(self.vt_symbol, sg.open_price, sg.volume, sg.open_time)) - self.position.short_pos -= sg.volume + self.position.short_pos = round(self.position.short_pos - sg.volume, 7) self.write_log(u'持久化空单，共持仓:{}手'.format(abs(self.position.short_pos))) @@ -615,15 +634,17 @@ class CtaFutureTemplate(CtaTemplate): if len(lg.order_ids) > 0 or lg.order_status: self.write_log(f'重置委托状态:{lg.order_status},清除委托单：{lg.order_ids}') lg.order_status = False + [self.cancel_order(vt_orderid) for vt_orderid in lg.order_ids] lg.order_ids = [] + changed = True self.write_log(u'加载持仓多单[{},价格:{},数量:{}手, 开仓时间:{}' .format(self.vt_symbol, lg.open_price, lg.volume, lg.open_time)) - self.position.long_pos += lg.volume + self.position.long_pos = round(self.position.long_pos + lg.volume, 7) self.write_log(f'持久化多单，共持仓:{self.position.long_pos}手') - self.position.pos = self.position.long_pos + self.position.short_pos + self.position.pos = round(self.position.long_pos + self.position.short_pos, 7) self.write_log(u'{}加载持久化数据完成，多单:{}，空单:{},共:{}手' .format(self.strategy_name, @@ -631,7 +652,8 @@ class CtaFutureTemplate(CtaTemplate): abs(self.position.short_pos), self.position.pos)) self.pos = self.position.pos - self.gt.save() + if changed: + self.gt.save() self.display_grids() def get_positions(self): @@ -791,23 +813,17 @@ class CtaFutureTemplate(CtaTemplate): self.gt.save() # 在策略得活动订单中，移除 + self.write_log(f'委托单{order.vt_orderid}完成，从活动订单中移除') self.active_orders.pop(order.vt_orderid, None) def on_order_open_canceled(self, order: OrderData): """ 委托开仓单撤销 - 如果是FAK模式，重新修改价格，再提交 - FAK用于实盘，需要增加涨跌停判断 :param order: :return: """ self.write_log(u'委托开仓单撤销:{}'.format(order.__dict__)) - if not self.trading: - if not self.backtesting: - self.write_error(u'当前不允许交易') - return - if order.vt_orderid not in self.active_orders: self.write_error(u'{}不在未完成的委托单中{}。'.format(order.vt_orderid, self.active_orders)) return @@ -816,28 +832,19 @@ class CtaFutureTemplate(CtaTemplate): old_order = self.active_orders[order.vt_orderid] self.write_log(u'{} 委托信息:{}'.format(order.vt_orderid, old_order)) old_order['traded'] = order.traded - order_vt_symbol = copy(old_order['vt_symbol']) - order_volume = round(old_order['volume'] - old_order['traded'], 7) - if order_volume <= 0: - msg = u'{} {}{}需重新开仓数量为{}，不再开仓' \ - .format(self.strategy_name, - order.vt_orderid, - order_vt_symbol, - order_volume) - self.write_error(msg) - - self.write_log(u'移除:{}'.format(order.vt_orderid)) - self.active_orders.pop(order.vt_orderid, None) - return grid = old_order.get('grid', None) + pre_status = old_order.get('status', Status.NOTTRADED) old_order.update({'status': Status.CANCELLED}) self.write_log(u'委托单状态:{}=>{}'.format(pre_status, old_order.get('status'))) if grid: if order.vt_orderid in grid.order_ids: grid.order_ids.remove(order.vt_orderid) - + if order.traded > 0: + pre_traded_volume = grid.traded_volume + grid.traded_volume = round(grid.traded_volume + order.traded,7) + self.write_log(f'撤单中部分成交:{order.traded} + 原已成交:{pre_traded_volume} => {grid.traded_volume}') if not grid.order_ids: grid.order_status = False @@ -854,25 +861,10 @@ class CtaFutureTemplate(CtaTemplate): self.write_error(u'{}不在未完成的委托单中:{}。'.format(order.vt_orderid, self.active_orders)) return - if not self.trading: - self.write_error(u'当前不允许交易') - return - # 直接更新“未完成委托单”，更新volume,Retry次数 old_order = self.active_orders[order.vt_orderid] self.write_log(u'{} 订单信息:{}'.format(order.vt_orderid, old_order)) old_order['traded'] = order.traded - # order_time = old_order['order_time'] - order_symbol = copy(old_order['vt_symbol']) - order_volume = old_order['volume'] - old_order['traded'] - if order_volume <= 0: - msg = u'{} {}{}重新平仓数量为{}，不再平仓' \ - .format(self.strategy_name, order.vt_orderid, order_symbol, order_volume) - self.write_error(msg) - self.send_wechat(msg) - self.write_log(u'活动订单移除:{}'.format(order.vt_orderid)) - self.active_orders.pop(order.vt_orderid, None) - return grid = old_order.get('grid', None) pre_status = old_order.get('status', Status.NOTTRADED) @@ -881,6 +873,10 @@ class CtaFutureTemplate(CtaTemplate): if grid: if order.vt_orderid in grid.order_ids: grid.order_ids.remove(order.vt_orderid) + if order.traded > 0: + pre_traded_volume = grid.traded_volume + grid.traded_volume = round(grid.traded_volume + order.traded, 7) + self.write_log(f'撤单中部分成交:{order.traded} + 原已成交:{pre_traded_volume} => {grid.traded_volume}') if len(grid.order_ids) == 0: grid.order_status = False self.gt.save() @@ -942,6 +938,7 @@ class CtaFutureTemplate(CtaTemplate): vt_orderids = self.buy(vt_symbol=self.vt_symbol, price=self.cur_price, volume=grid.volume, + order_type=self.order_type, order_time=self.cur_datetime, grid=grid) if len(vt_orderids) > 0: @@ -964,6 +961,7 @@ class CtaFutureTemplate(CtaTemplate): vt_orderids = self.short(vt_symbol=self.vt_symbol, price=self.cur_price, volume=grid.volume, + order_type=self.order_type, order_time=self.cur_datetime, grid=grid) if len(vt_orderids) > 0: @@ -986,7 +984,7 @@ class CtaFutureTemplate(CtaTemplate): :return: """ self.write_log(u'执行事务平多仓位:{}'.format(grid.to_json())) - + """ self.account_pos = self.cta_engine.get_position( vt_symbol=self.vt_symbol, direction=Direction.NET) @@ -994,7 +992,7 @@ class CtaFutureTemplate(CtaTemplate): if self.account_pos is None: self.write_error(u'无法获取{}得持仓信息'.format(self.vt_symbol)) return False - + """ # 发出委托卖出单 if self.backtesting: sell_price = self.cur_price - self.price_tick @@ -1007,6 +1005,7 @@ class CtaFutureTemplate(CtaTemplate): grid.volume = round(grid.volume, 7) grid.traded_volume = 0 + """ if self.account_pos.volume <= 0: self.write_error(u'当前{}的净持仓:{}，不能平多单' .format(self.vt_symbol, @@ -1019,11 +1018,12 @@ class CtaFutureTemplate(CtaTemplate): grid.volume)) grid.volume = self.account_pos.volume - + """ vt_orderids = self.sell( vt_symbol=self.vt_symbol, price=sell_price, volume=grid.volume, + order_type=self.order_type, order_time=self.cur_datetime, grid=grid) if len(vt_orderids) == 0: @@ -1045,14 +1045,14 @@ class CtaFutureTemplate(CtaTemplate): :return: """ self.write_log(u'执行事务平空仓位:{}'.format(grid.to_json())) - + """ self.account_pos = self.cta_engine.get_position( vt_symbol=self.vt_symbol, direction=Direction.NET) if self.account_pos is None: self.write_error(u'无法获取{}得持仓信息'.format(self.vt_symbol)) return False - + """ # 发出委托单 if self.backtesting: cover_price = self.cur_price + self.price_tick @@ -1065,6 +1065,7 @@ class CtaFutureTemplate(CtaTemplate): grid.volume = round(grid.volume, 7) grid.traded_volume = 0 + """ if self.account_pos.volume >= 0: self.write_error(u'当前{}的净持仓:{}，不能平空单' .format(self.vt_symbol, @@ -1077,13 +1078,15 @@ class CtaFutureTemplate(CtaTemplate): grid.volume)) grid.volume = abs(self.account_pos.volume) - + """ vt_orderids = self.cover( price=cover_price, vt_symbol=self.vt_symbol, volume=grid.volume, + order_type=self.order_type, order_time=self.cur_datetime, grid=grid) + if len(vt_orderids) == 0: if self.backtesting: self.write_error(u'空单平仓委托失败') @@ -1115,9 +1118,6 @@ class CtaFutureTemplate(CtaTemplate): order_vt_symbol = order_info.get('vt_symbol', self.vt_symbol) order_time = order_info['order_time'] order_volume = order_info['volume'] - order_info['traded'] - # order_price = order_info['price'] - # order_direction = order_info['direction'] - # order_offset = order_info['offset'] order_grid = order_info['grid'] order_status = order_info.get('status', Status.NOTTRADED) order_type = order_info.get('order_type', OrderType.LIMIT) @@ -1240,7 +1240,7 @@ class CtaFutureTemplate(CtaTemplate): # 删除撤单的订单 for vt_orderid in canceled_ids: - self.write_log(u'删除orderID:{0}'.format(vt_orderid)) + self.write_log(f'活动订单撤单成功，移除{vt_orderid}') self.active_orders.pop(vt_orderid, None) if len(self.active_orders) == 0: @@ -1250,7 +1250,9 @@ class CtaFutureTemplate(CtaTemplate): """更新网格显示信息""" if not self.inited: return - + self.account_pos = self.cta_engine.get_position(vt_symbol=self.vt_symbol, direction=Direction.NET) + if self.account_pos: + self.write_log(f'账号{self.vt_symbol}持仓:{self.account_pos.volume}, 冻结:{self.account_pos.frozen}, 盈亏:{self.account_pos.pnl}') up_grids_info = self.gt.to_str(direction=Direction.SHORT) if len(self.gt.up_grids) > 0: self.write_log(up_grids_info) diff --git a/vnpy/app/cta_strategy_pro/template.py b/vnpy/app/cta_strategy_pro/template.py index d3f9f238..c48d62b6 100644 --- a/vnpy/app/cta_strategy_pro/template.py +++ b/vnpy/app/cta_strategy_pro/template.py @@ -634,6 +634,17 @@ class CtaProTemplate(CtaTemplate): self.symbol_size = self.cta_engine.get_size(self.vt_symbol) self.margin_rate = self.cta_engine.get_margin_rate(self.vt_symbol) + + def sync_data(self): + """同步更新数据""" + if not self.backtesting: + self.write_log(u'保存k线缓存数据') + self.save_klines_to_cache() + + if self.inited and self.trading: + self.write_log(u'保存policy数据') + self.policy.save() + def save_klines_to_cache(self, kline_names: list = []): """ 保存K线数据到缓存 diff --git a/vnpy/gateway/binancef/binancef_gateway.py b/vnpy/gateway/binancef/binancef_gateway.py index c603432f..ffbb2dc4 100644 --- a/vnpy/gateway/binancef/binancef_gateway.py +++ b/vnpy/gateway/binancef/binancef_gateway.py @@ -413,6 +413,9 @@ class BinancefRestApi(RestClient): "newClientOrderId": orderid, "newOrderRespType": "ACK" } + if req.type == OrderType.MARKET: + params.pop('timeInForce', None) + params.pop('price', None) self.add_request( method="POST", @@ -529,7 +532,7 @@ class BinancefRestApi(RestClient): gateway_name=self.gateway_name, ) self.gateway.on_position(position) - + # self.gateway.write_log("持仓信息查询成功") def on_query_order(self, data: dict, request: Request) -> None: