[Add]新增刷单算法StAlgo

2018-07-02 17:52:16 +08:00 · 2018-07-02 17:52:16 +08:00 · a5e972ce5a
commit a5e972ce5a
parent 69310cf420
7 changed files with 202 additions and 4 deletions
--- a/examples/CryptoTrader/BIGONE_connect.json
+++ b/examples/CryptoTrader/BIGONE_connect.json
@ -0,0 +1,5 @@
+{
+	"apiKey": "",
+	"apiSecret": "",
+	"symbols": ["BTC-USDT", "ETH-USDT", "EOS-USDT"]
+}
--- a/examples/CryptoTrader/FCOIN_connect.json
+++ b/examples/CryptoTrader/FCOIN_connect.json
@ -0,0 +1,5 @@
+{
+	"apiKey": "",
+	"apiSecret": "",
+	"symbols": ["ethusdt"]
+}
--- a/examples/CryptoTrader/run.py
+++ b/examples/CryptoTrader/run.py
@ -22,7 +22,8 @@ from vnpy.trader.uiMainWindow import MainWindow
 # 加载底层接口
 from vnpy.trader.gateway import (huobiGateway, okexGateway,
                                 binanceGateway, bitfinexGateway,
-                                 bitmexGateway)
+                                 bitmexGateway, fcoinGateway,
+                                 bigoneGateway)

 # 加载上层应用
 from vnpy.trader.app import (riskManager, algoTrading)
@ -41,12 +42,14 @@ def main():
    me = MainEngine(ee)

    # 添加交易接口
+    me.addGateway(bigoneGateway)
+    me.addGateway(fcoinGateway)
    me.addGateway(bitmexGateway)
    me.addGateway(huobiGateway)
    me.addGateway(okexGateway)
    me.addGateway(binanceGateway)
    me.addGateway(bitfinexGateway)
-
+    
    # 添加上层应用
    me.addApp(riskManager)
    me.addApp(algoTrading)
--- a/vnpy/trader/app/algoTrading/algoEngine.py
+++ b/vnpy/trader/app/algoTrading/algoEngine.py
@ -16,6 +16,7 @@ from vnpy.trader.vtObject import VtSubscribeReq, VtOrderReq, VtCancelOrderReq, V
 from .twapAlgo import TwapAlgo
 from .dmaAlgo import DmaAlgo
 from .stopAlgo import StopAlgo
+from .stAlgo import StAlgo

 EVENT_ALGO_LOG = 'eAlgoLog'         # 算法日志事件
 EVENT_ALGO_PARAM = 'eAlgoParam'     # 算法参数事件
@ -32,7 +33,8 @@ HISTORY_COLLECTION_NAME = 'AlgoHistory'             # 算法历史集合名
 ALGO_DICT = {
    TwapAlgo.templateName: TwapAlgo,
    DmaAlgo.templateName: DmaAlgo,
-    StopAlgo.templateName: StopAlgo
+    StopAlgo.templateName: StopAlgo,
+    StAlgo.templateName: StAlgo
 }


@ -274,6 +276,17 @@ class AlgoEngine(object):
            
        return tick
    
+    #----------------------------------------------------------------------
+    def getContract(self, algo, vtSymbol):
+        """查询合约"""
+        contract = self.mainEngine.getContract(vtSymbol)
+        if not contract:
+            self.writeLog(u'%s查询合约失败，找不到报价：%s' %(algo.algoName, vtSymbol))
+            return            
+        
+        return contract
+        
+    
    #----------------------------------------------------------------------
    def saveAlgoSetting(self, algoSetting):
        """保存算法配置"""
--- a/vnpy/trader/app/algoTrading/stAlgo.py
+++ b/vnpy/trader/app/algoTrading/stAlgo.py
@ -0,0 +1,170 @@
+# encoding: UTF-8
+
+from __future__ import division
+from collections import OrderedDict
+
+from vnpy.trader.vtConstant import (DIRECTION_LONG, DIRECTION_SHORT,
+                                    OFFSET_OPEN, OFFSET_CLOSE)
+from vnpy.trader.uiQt import QtWidgets
+
+from .algoTemplate import AlgoTemplate
+from .uiAlgoWidget import AlgoWidget, QtWidgets
+
+
+
+########################################################################
+class StAlgo(AlgoTemplate):
+    """自成交算法（self trade），用于刷成交量"""
+    
+    templateName = 'ST'
+
+    #----------------------------------------------------------------------
+    def __init__(self, engine, setting, algoName):
+        """Constructor"""
+        super(StAlgo, self).__init__(engine, setting, algoName)
+        
+        # 参数，强制类型转换，保证从CSV加载的配置正确
+        self.vtSymbol = str(setting['vtSymbol'])            # 合约代码
+        self.orderVolume = float(setting['orderVolume'])    # 委托数量
+        self.interval = int(setting['interval'])            # 运行间隔
+        self.minTickSpread = int(setting['minTickSpread'])  # 最小价差
+        
+        self.count = 0              # 定时计数
+        self.tradedVolume = 0       # 总成交数量
+        
+        self.subscribe(self.vtSymbol)
+        self.paramEvent()
+        self.varEvent()
+    
+    #----------------------------------------------------------------------
+    def onTick(self, tick):
+        """"""
+        pass   
+        
+    #----------------------------------------------------------------------
+    def onTrade(self, trade):
+        """"""
+        self.tradedVolume += trade.volume
+        self.varEvent()
+    
+    #----------------------------------------------------------------------
+    def onOrder(self, order):
+        """"""
+        pass
+    
+    #----------------------------------------------------------------------
+    def onTimer(self):
+        """"""
+        self.count += 1
+        if self.count == self.interval:
+            self.count = 0
+            
+            # 全撤委托
+            self.cancelAll()
+            
+            # 获取行情
+            tick = self.getTick(self.vtSymbol)
+            if not tick:
+                return
+            
+            contract = self.getContract(self.vtSymbol)
+            if not contract:
+                return
+            
+            tickSpread = (tick.askPrice1 - tick.bidPrice1) / contract.priceTick
+            if tickSpread < self.minTickSpread:
+                self.writeLog(u'当前价差为%s个Tick，小于算法设置%s，不执行刷单' %(tickSpread, self.minTickSpread))
+                return
+            
+            midPrice = tick.bidPrice1 + contract.priceTick * int(tickSpread/2)
+            
+            self.buy(self.vtSymbol, midPrice, self.orderVolume)
+            self.sell(self.vtSymbol, midPrice, self.orderVolume)
+            
+            self.writeLog(u'发出刷单买卖委托，价格：%s，数量：%s' %(midPrice, self.orderVolume))
+        
+        self.varEvent()
+        
+    #----------------------------------------------------------------------
+    def onStop(self):
+        """"""
+        self.writeLog(u'停止算法')
+        self.varEvent()
+        
+    #----------------------------------------------------------------------
+    def varEvent(self):
+        """更新变量"""
+        d = OrderedDict()
+        d[u'算法状态'] = self.active
+        d[u'成交数量'] = self.tradedVolume
+        d[u'定时计数'] = self.count
+        d['active'] = self.active
+        self.putVarEvent(d)
+    
+    #----------------------------------------------------------------------
+    def paramEvent(self):
+        """更新参数"""
+        d = OrderedDict()
+        d[u'代码'] = self.vtSymbol
+        d[u'单次委托数量'] = self.orderVolume
+        d[u'执行间隔'] = self.interval
+        d[u'最小价差Tick'] = self.minTickSpread    
+        self.putParamEvent(d)
+
+
+########################################################################
+class StWidget(AlgoWidget):
+    """"""
+    
+    #----------------------------------------------------------------------
+    def __init__(self, algoEngine, parent=None):
+        """Constructor"""
+        super(StWidget, self).__init__(algoEngine, parent)
+        
+        self.templateName = StAlgo.templateName
+        
+    #----------------------------------------------------------------------
+    def initAlgoLayout(self):
+        """"""
+        self.lineSymbol = QtWidgets.QLineEdit()
+        
+        self.spinVolume = QtWidgets.QDoubleSpinBox()
+        self.spinVolume.setMinimum(0)
+        self.spinVolume.setMaximum(1000000000)
+        self.spinVolume.setDecimals(6)
+        
+        self.spinInterval = QtWidgets.QSpinBox()
+        self.spinInterval.setMinimum(20)
+        self.spinInterval.setMaximum(3600)
+        
+        self.spinMinTickSpread = QtWidgets.QSpinBox()
+        self.spinMinTickSpread.setMinimum(0)
+        self.spinMinTickSpread.setMaximum(1000)       
+        
+        Label = QtWidgets.QLabel
+        
+        grid = QtWidgets.QGridLayout()
+        grid.addWidget(Label(u'代码'), 0, 0)
+        grid.addWidget(self.lineSymbol, 0, 1)
+        grid.addWidget(Label(u'单次刷单量'), 1, 0)
+        grid.addWidget(self.spinVolume, 1, 1)
+        grid.addWidget(Label(u'执行间隔'), 2, 0)
+        grid.addWidget(self.spinInterval, 2, 1)
+        grid.addWidget(Label(u'最小价差Tick'), 3, 0)
+        grid.addWidget(self.spinMinTickSpread, 3, 1)
+        
+        return grid
+    
+    #----------------------------------------------------------------------
+    def getAlgoSetting(self):
+        """"""
+        setting = OrderedDict()
+        setting['templateName'] = StAlgo.templateName
+        setting['vtSymbol'] = str(self.lineSymbol.text())
+        setting['orderVolume'] = float(self.spinVolume.value())
+        setting['interval'] = int(self.spinInterval.value())
+        setting['minTickSpread'] = int(self.spinMinTickSpread.value())
+        
+        return setting
+    
+    
--- a/vnpy/trader/app/algoTrading/uiAlgoManager.py
+++ b/vnpy/trader/app/algoTrading/uiAlgoManager.py
@ -15,6 +15,7 @@ from .algoEngine import (EVENT_ALGO_LOG, EVENT_ALGO_PARAM,
 from .twapAlgo import TwapWidget
 from .dmaAlgo import DmaWidget
 from .stopAlgo import StopWidget
+from .stAlgo import StWidget


 ########################################################################
@ -393,6 +394,7 @@ class AlgoManager(QtWidgets.QWidget):
        self.addAlgoWidget(TwapWidget)
        self.addAlgoWidget(DmaWidget)
        self.addAlgoWidget(StopWidget)
+        self.addAlgoWidget(StWidget)
        
        self.algoEngine.loadAlgoSetting()   # 界面初始化后，再加载算法配置
        
--- a/vnpy/trader/app/riskManager/RM_setting.json
+++ b/vnpy/trader/app/riskManager/RM_setting.json
@ -5,6 +5,6 @@
    "workingOrderLimit": 20, 
    "tradeLimit": 1000, 
    "orderSizeLimit": 100, 
-    "active": true, 
+    "active": false, 
    "orderFlowLimit": 50
 }