[update] RestAPI更新、基础组件更新、T.D.X下载更新

prod/jobs/daily_stock_adjust_grids.py

@@ -110,9 +110,21 @@ if __name__ == "__main__":
                 # 更新数量
                 grid['volume'] = adj_volume
 
+                # 更新开仓\平仓\止损价格
+                open_price = grid['open_price']
+                new_open_price = round(float(open_price * adj_rate), 3)
+                close_price = grid['close_price']
+                new_close_price = round(float(close_price * adj_rate), 3)
+                stop_price = grid['stop_price']
+                new_stop_price = round(float(stop_price * adj_rate), 3)
+
                 # 更新执行日期
                 grid['snapshot'].update({'adjusted_date': dividOperateDate})
-                msg = f'{strategy_name}:{vt_symbol}[{name}]发生除权调整:{cur_volume}=>{adj_volume}'
+                msg = f'{strategy_name}:{vt_symbol}[{name}]发生除权调整:持仓{cur_volume}=>{adj_volume},' \
+                    f'开仓价:{open_price}=>{new_open_price},' \
+                    f'平仓价:{close_price}=>{new_close_price},' \
+                    f'止损价:{stop_price}=>{new_stop_price}'
+
                 send_wx_msg(msg)
                 print(msg)
                 append_data(adj_record_file, dict_data={
@@ -126,8 +138,8 @@ if __name__ == "__main__":
                     'pre_back_adj': pre_data.get('backAdjustFactor'),
                     'last_back_adj': last_data.get('backAdjustFactor')
                 })
-                changed = True
 
+                changed = True
 
         if changed:
             print('保存更新后的Grids.json文件')

prod/jobs/refill_tdx_stock_bars.py

@@ -107,7 +107,7 @@ def refill(symbol_info):
         data_df = data_df.sort_index()
         # print(data_df.head())
         print(data_df.tail())
-        data_df.to_csv(bar_file_path, index=True)
+        data_df.to_csv(bar_file_path, index=True, encoding='utf8')
         d2 = datetime.now()
         microseconds = (d1 - d1).microseconds
         print(f'{progress}% 首次更新{stock_code} {stock_name}数据 {microseconds} 毫秒=> 文件{bar_file_path}')
@@ -176,8 +176,11 @@ if __name__ == '__main__':
         for symbol in symbol_dict.keys():
             info = copy(symbol_dict[symbol])
             stock_code = info['code']
-            if ('stock_type' in info.keys() and info['stock_type'] in ['stock_cn',
+
-                                                                       'cb_cn']) or stock_code in stock_list:
+            # 股票/可转债； 或 存在指定下载文件中
+            if ('stock_type' in info.keys() \
+                and info['stock_type'] in ['stock_cn', 'cb_cn']) \
+                    or stock_code in stock_list:
                 info['period'] = period
                 tasks.append(info)
                 # if len(tasks) > 12:

vnpy/api/rest/rest_client.py

@@ -46,6 +46,7 @@ class Request(object):
         params: dict,
         data: Union[dict, str, bytes],
         headers: dict,
+        cookies: Union[requests.cookies.RequestsCookieJar, dict]=None,
         callback: CALLBACK_TYPE = None,
         on_failed: ON_FAILED_TYPE = None,
         on_error: ON_ERROR_TYPE = None,
@@ -61,7 +62,7 @@ class Request(object):
         self.params = params
         self.data = data
         self.headers = headers
-
+        self.cookies = cookies
         self.stream = stream
         self.on_connected = on_connected
         self.processing_line: Optional[str] = ''
@@ -258,6 +259,7 @@ class RestClient(object):
         params: dict = None,
         data: Union[dict, str, bytes] = None,
         headers: dict = None,
+        cookies:  Union[requests.cookies.RequestsCookieJar, dict]=None,
         on_failed: ON_FAILED_TYPE = None,
         on_error: ON_ERROR_TYPE = None,
         extra: Any = None,
@@ -281,6 +283,7 @@ class RestClient(object):
             params=params,
             data=data,
             headers=headers,
+            cookies=cookies,
             callback=callback,
             on_failed=on_failed,
             on_error=on_error,
@@ -416,6 +419,7 @@ class RestClient(object):
                 headers = request.headers
                 params = request.params
                 data = request.data
+                cookies = request.cookies
                 self._log("[%s] sending request %s %s, headers:%s, params:%s, data:%s",
                           uid, method, url,
                           headers, params, data)
@@ -425,6 +429,7 @@ class RestClient(object):
                     headers=headers,
                     params=params,
                     data=data,
+                    cookies=cookies,
                     proxies=self.proxies,
                     stream=stream,
                 )
@@ -498,6 +503,7 @@ class RestClient(object):
         params: dict = None,
         data: dict = None,
         headers: dict = None,
+        cookies:  Union[requests.cookies.RequestsCookieJar, dict]=None
     ):
         """
         Add a new request.
@@ -514,6 +520,7 @@ class RestClient(object):
             params,
             data,
             headers,
+            cookies=cookies,
             client=self,
         )
         request = self.sign(request)
@@ -526,6 +533,7 @@ class RestClient(object):
             headers=request.headers,
             params=request.params,
             data=request.data,
-            proxies=self.proxies,
+            cookies=request.cookies,
+            proxies=self.proxies
         )
         return response

vnpy/app/cta_stock/back_testing.py

@@ -367,10 +367,10 @@ class BackTestingEngine(object):
         self.volume_tick.update({vt_symbol: volume_tick})
 
     def get_volume_tick(self, vt_symbol: str):
-        return self.volume_tick.get(vt_symbol, 1)
+        return self.volume_tick.get(vt_symbol, 100)
 
     def set_contract(self, symbol: str, exchange: Exchange, product: Product, name: str, size: int,
-                     price_tick: float, volume_tick: float = 1, margin_rate: float = 0.1):
+                     price_tick: float, volume_tick: float = 100, margin_rate: float = 0.1):
         """设置合约信息"""
         vt_symbol = '.'.join([symbol, exchange.value])
         if vt_symbol not in self.contract_dict:
@@ -580,7 +580,7 @@ class BackTestingEngine(object):
                 product=Product(symbol_data.get('product', "股票")),
                 size=symbol_data.get('symbol_size', 1),
                 price_tick=symbol_data.get('price_tick', 0.01),
-                volume_tick=symbol_data.get('min_volume', 10),
+                volume_tick=symbol_data.get('min_volume', 100),
                 margin_rate=margin_rate
             )
 

vnpy/app/cta_strategy_pro/template.py

@@ -1825,7 +1825,8 @@ class CtaProFutureTemplate(CtaProTemplate):
                         self.write_log(u'撤单逻辑 => 重新开仓')
                         # 开空委托单
                         if order_info['direction'] == Direction.SHORT:
-                            short_price = self.cur_mi_price - self.price_tick
+                            cur_price = self.cta_engine.get_price(order_vt_symbol)
+                            short_price = cur_price - self.price_tick
                             if order_grid.volume != order_volume and order_volume > 0:
                                 self.write_log(
                                     u'网格volume:{},order_volume:{}不一致，修正'.format(order_grid.volume, order_volume))
@@ -1845,7 +1846,8 @@ class CtaProFutureTemplate(CtaProTemplate):
                             else:
                                 self.write_error(u'撤单后，重新委托开空仓失败')
                         else:
-                            buy_price = self.cur_mi_price + self.price_tick
+                            cur_price = self.cta_engine.get_price(order_vt_symbol)
+                            buy_price = cur_price + self.price_tick
                             if order_grid.volume != order_volume and order_volume > 0:
                                 self.write_log(
                                     u'网格volume:{},order_volume:{}不一致，修正'.format(order_grid.volume, order_volume))

vnpy/component/cta_fund_kline.py

@@ -16,7 +16,7 @@ from datetime import datetime
 import pandas as pd
 import traceback
 
-from vnpy.component.cta_line_bar import CtaHourBar
+from vnpy.component.cta_line_bar import CtaMinuteBar, CtaHourBar, CtaDayBar, CtaLineBar, get_cta_bar_type
 from vnpy.component.cta_renko_bar import CtaRenkoBar
 from vnpy.trader.object import BarData, TickData
 from vnpy.trader.utility import get_folder_path, get_trading_date
@@ -60,9 +60,12 @@ class FundKline(object):
             self.write_log(u'使用CtaRenkoBar')
             self.kline = CtaRenkoBar(strategy=self, cb_on_bar=self.on_bar, setting=self.setting)
         else:
-            self.write_log(u'使用CtaHourBar')
+            kline_setting = self.setting
-            self.kline = CtaHourBar(strategy=self, cb_on_bar=self.on_bar, setting=self.setting)
+            kline_period = kline_setting.pop('kline_period', 'H1')  # 默认使用1小时K线
-        # self.kline = CtaDayBar(strategy=self, onBarFunc=self.onBar, setting=self.setting)
+            kline_class, kline_bar_interval = get_cta_bar_type(kline_period)
+            self.write_log(u'使用{}'.format(kline_period))
+            kline_setting['bar_interval'] = kline_bar_interval  # X分钟K线, X秒K线，X小时K线
+            self.kline = kline_class(strategy=self, cb_on_bar=self.on_bar, setting=kline_setting)
         self.inited = False
 
         self.long_pos_dict = {}

vnpy/component/cta_line_bar.py

@@ -6240,13 +6240,14 @@ class CtaLineBar(object):
         if bi_len < 3:
             return
 
-        if self.cur_fenxing.is_rt:
+        # if self.cur_fenxing.is_rt:
-            return
+        #     return
 
         bi_n = min(15, bi_len)
 
         price = self.cur_bi.low if self.cur_bi.direction == -1 else self.cur_bi.high
 
+        # 计算 3，5，7，，，，13笔的形态
         for n in range(3, bi_n, 2):
             # => 信号
             if n == 3:
@@ -6294,7 +6295,7 @@ class CtaLineBar(object):
                                         'end': self.cur_bi.end,
                                         'price': price,
                                         'signal': qsbc_2nd})
-            if cur_signal and self.export_xt_filename:
+            if cur_signal is not None and self.export_xt_filename:
                 self.append_data(
                     file_name=self.export_xt_filename.replace('_n_', f'_2nd_'),
                     dict_data=cur_signal,
@@ -6304,6 +6305,23 @@ class CtaLineBar(object):
         else:
             self.xt_2nd_signals[-1].update({'end': self.cur_bi.end, 'price': price, 'signal': qsbc_2nd})
 
+    def get_xt_signal(self, xt_name, x=0):
+        """
+        获取n笔形态/信号的倒x笔结果
+        :param n:
+        :param x: 倒x笔，如倒1笔
+        :return: {}
+        """
+        xt_signals = getattr(self, xt_name)
+        if xt_signals is None:
+            return {}
+
+        if len(xt_signals) > x:
+            return xt_signals[-1-x]
+        else:
+            return {}
+
+
     def write_log(self, content):
         """记录CTA日志"""
         self.strategy.write_log(u'[' + self.name + u']' + content)

vnpy/component/cta_utility.py

@@ -96,7 +96,7 @@ def check_bi_not_rt(kline, direction: Direction) -> bool:
                         and kline.cur_fenxing.index == kline.index_list[-1] \
                         and kline.line_bar[-1].datetime.strftime('%Y-%m-%d %H:%M:%S') > kline.cur_fenxing.index \
                         and kline.line_bar[-1].low_price > float(kline.cur_fenxing.low) \
-                        and kline.line_bar[-1].high_price < kline.line_bar[-2].high_price:
+                        and kline.line_bar[-1].high_price > kline.line_bar[-2].high_price:
                     return True
 
             return False
@@ -382,7 +382,7 @@ def check_chan_xt_five_bi(kline, bi_list: List[ChanObject]):
 
         # 五笔三买，要求bi_5.high是最高点, 或者bi_4.height，超过笔2、笔3两倍
         if min_low < max(bi_1.low, bi_3.low) < min(bi_1.high, bi_3.high) < bi_5.low:
-            if bi_5.high == max_high:
+            if bi_5.high == max_high:  #  and max(bi_1.high, bi_3.high) < bi_5.low
                 v = ChanSignals.LI0.value  # 类三买， 五笔
             elif bi_3.low == min_low and bi_1.high == max_high \
                     and bi_4.height > max(bi_1.height, bi_2.height, bi_3.height) \
@@ -418,7 +418,7 @@ def check_chan_xt_five_bi(kline, bi_list: List[ChanObject]):
 
         # 五笔三卖，要求bi_5.low是最低点，中枢可能是1~3
         if min(bi_1.high, bi_3.high) > max(bi_1.low, bi_3.low) > bi_5.high:
-            if bi_5.low == min_low:
+            if bi_5.low == min_low: # and min(bi_1.low, bi_3.low) > bi_5.high
                 return ChanSignals.SI0.value
             elif bi_3.high == max_high and bi_1.low == min_low \
                     and bi_4.height > max(bi_1.height, bi_2.height, bi_3.height) \
@@ -572,7 +572,7 @@ def check_chan_xt_nine_bi(kline, bi_list: List[ChanObject]):
                 and min(bi_2.high, bi_4.high) > max(bi_2.low, bi_4.low) > bi_6.high \
                 and min(bi_6.high, bi_8.high) > max(bi_6.low, bi_8.low) \
                 and min(bi_2.low, bi_4.low) > max(bi_6.high, bi_8.high) \
-                and bi_9.height < bi_5.height and bi_9.atan <= bi_5.atan:
+                and (bi_9.height < bi_5.height or bi_9.atan <= bi_5.atan):
             return ChanSignals.Q1L0.value  # k3='类买卖点', v1='类一买', v2='九笔aAb式')
 
         # 九笔GG 类三买（1357构成中枢，最低点在3或5）
@@ -639,7 +639,7 @@ def check_chan_xt_nine_bi(kline, bi_list: List[ChanObject]):
                 and bi_6.low > min(bi_2.high, bi_4.high) > max(bi_2.low, bi_4.low) \
                 and min(bi_6.high, bi_8.high) > max(bi_6.low, bi_8.low) \
                 and max(bi_2.high, bi_4.high) < min(bi_6.low, bi_8.low) \
-                and bi_9.height < bi_5.height and bi_9.atan <= bi_5.atan:
+                and (bi_9.height < bi_5.height or bi_9.atan <= bi_5.atan):
             return ChanSignals.Q1S0.value  # Signal(k1=freq.value, k2=di_name, k3='类买卖点', v1='类一卖', v2='九笔aAbBc式')
 
         # 九笔类三卖
@@ -812,7 +812,7 @@ def check_chan_xt_thirteen_bi(kline, bi_list: List[ChanObject]):
     if direction == -1:
         if min_low == bi_13.low and max_high == bi_1.high:
             # ABC式类一买，A5B3C5
-            if bi_5.low < min(bi_1.low, bi_3.low) and bi_9.high > max(bi_11.high, bi_13.high) \
+            if bi_5.low < max(bi_1.low, bi_3.low) and bi_9.high > max(bi_11.high, bi_13.high) \
                     and bi_8.high > bi_6.low and bi_1.high - bi_5.low > bi_9.high - bi_13.low:
                 return ChanSignals.Q1L0.value  # Signal(k1=freq.value, k2=di_name, k3='类买卖点', v1='类一买', v2="13笔A5B3C5式")
 
@@ -827,12 +827,13 @@ def check_chan_xt_thirteen_bi(kline, bi_list: List[ChanObject]):
                     and min(bi_6.high, bi_8.high, bi_10.high) > max(bi_6.low, bi_8.low, bi_10.low) \
                     and bi_1.high - bi_5.low > bi_11.high - bi_13.low:
                 return ChanSignals.Q1L0.value  # Signal(k1=freq.value, k2=di_name, k3='类买卖点', v1='类一买', v2="13笔A5B5C3式")
+            # AB式底背驰， aAbBc
 
     # 上涨线段时，判断背驰类型
     elif direction == 1:
         if max_high == bi_13.high and min_low == bi_1.low:
             # ABC式顶背驰，A5B3C5
-            if bi_5.high > max(bi_3.high, bi_1.high) and bi_9.low < min(bi_11.low, bi_13.low) \
+            if bi_5.high > min(bi_3.high, bi_1.high) and bi_9.low < min(bi_11.low, bi_13.low) \
                     and bi_8.low < bi_6.high and bi_5.high - bi_1.low > bi_13.high - bi_9.low:
                 return ChanSignals.Q1S0.value  # Signal(k1=freq.value, k2=di_name, k3='类买卖点', v1='类一卖', v2="13笔A5B3C5式")
 

vnpy/data/tdx/tdx_stock_data.py

@@ -16,6 +16,8 @@ import pickle
 import bz2
 import traceback
 import pandas as pd
+import random
+from time import sleep
 
 from datetime import datetime, timedelta
 from logging import ERROR
@@ -94,8 +96,8 @@ class TdxStockData(object):
         self.config = get_cache_config(TDX_STOCK_CONFIG)
         self.symbol_dict = self.config.get('symbol_dict', {})
         self.cache_time = self.config.get('cache_time', datetime.now() - timedelta(days=7))
-        self.best_ip = self.config.get('best_ip',{})
+        self.best_ip = self.config.get('best_ip', {})
-        self.exclude_ips = self.config.get('exclude_ips',[])
+        self.exclude_ips = self.config.get('exclude_ips', [])
 
         if len(self.symbol_dict) == 0 or self.cache_time < datetime.now() - timedelta(days=1):
             self.cache_config()
@@ -201,8 +203,8 @@ class TdxStockData(object):
                 self.connection_status = True
 
         except Exception as ex:
-            self.write_log(u'连接服务器{}tdx异常:{},{}'.format(self.best_ip,str(ex), traceback.format_exc()))
+            self.write_log(u'连接服务器{}tdx异常:{},{}'.format(self.best_ip, str(ex), traceback.format_exc()))
-            cur_ip = self.best_ip.get('ip',None)
+            cur_ip = self.best_ip.get('ip', None)
             if cur_ip is not None and cur_ip not in self.exclude_ips:
                 self.write_log(f'排除{cur_ip}')
                 self.exclude_ips.append(cur_ip)
@@ -320,7 +322,7 @@ class TdxStockData(object):
 
         self.write_log('{}开始下载tdx股票: {},代码:{} {}数据, {} to {}.'
                        .format(datetime.now(), name, tdx_code, tdx_period, qry_start_date, qry_end_date))
-        stock_type = get_stock_type(tdx_code,market_id)
+        stock_type = get_stock_type(tdx_code, market_id)
         if stock_type == 'index_cn':
             get_bar_func = self.api.get_index_bars
         else:
@@ -349,6 +351,7 @@ class TdxStockData(object):
             if len(_bars) == 0:
                 self.write_error('{} Handling {}, len1={}..., continue'.format(
                     str(datetime.now()), tdx_code, len(_bars)))
+                sleep(3 * random.random())
                 return False, ret_bars
 
             current_datetime = datetime.now()

vnpy/trader/engine.py

@@ -92,7 +92,7 @@ class MainEngine:
             # 缺省使用了接口自己定义的gateway_name
             gateway = gateway_class(self.event_engine)
             gateway_name = gateway.gateway_name
-
+        self.write_log(f'添加{gateway_name}网关')
         self.gateways[gateway_name] = gateway
 
         # Add gateway supported exchanges into engine

vnpy/trader/ui/kline/kline.py

@@ -1563,9 +1563,12 @@ class GridKline(QtWidgets.QWidget):
 
     # 配置项12: bi_file / duan_file / bi_zs_file / duan_zs_file，支持缠论的画线
 
-    def __init__(self, parent=None, kline_settings={}, title='', relocate=True):
+    def __init__(self, parent=None, kline_settings={}, title='', relocate=True,screen_file=""):
         self.parent = parent
         super(GridKline, self).__init__(parent)
+        self.width = 1920
+        self.height = 1080
+
         # widget的标题
         if title:
             self.setWindowTitle(title)
@@ -1590,6 +1593,9 @@ class GridKline(QtWidgets.QWidget):
         self.setLayout(self.grid_layout)
 
         self.relocate = relocate
+
+        self.screen_file = screen_file
+
         self.init_ui()
 
     def init_ui(self):
@@ -1598,13 +1604,14 @@ class GridKline(QtWidgets.QWidget):
         id = 1
 
         for kline_name, kline_setting in self.kline_settings.items():
-            canvas = getattr(self, f'canvas_{id}')
+            canvas = getattr(self, f'canvas_{id}',None)
             if id > 8:
                 print(f'最多支持8个K线同时展现', file=sys.stderr)
                 continue
-
+            if canvas is None:
-            # 创建K线图表
+                # 创建K线图表
-            canvas = KLineWidget(display_vol=False, display_sub=True)
+                canvas = KLineWidget(display_vol=False, display_sub=True)
+                setattr(self, f'canvas_{id}', canvas)
             canvas.show()
             # K线标题
             canvas.KLtitle.setText(f'{kline_name}', size='18pt')
@@ -1644,11 +1651,16 @@ class GridKline(QtWidgets.QWidget):
                 if len(kline_names) == 0:
                     break
             row += 1
-
+        if len(self.screen_file) == 0:
-        self.show()
+            self.show()
 
         self.load_multi_kline()
 
+        if len(self.screen_file) > 0:
+            p = self.grab()
+            p.save(self.screen_file,'png')
+            self.close()
+
     # ----------------------------------------------------------------------
     def load_multi_kline(self):
         """加载多周期窗口"""

vnpy/trader/ui/kline/ui_snapshot.py

@@ -10,8 +10,9 @@ import ctypes
 import bz2
 import pickle
 import zlib
+from time import sleep
 import pandas as pd
-
+from pyqtgraph import QtGui
 from vnpy.trader.ui.kline.crosshair import Crosshair
 from vnpy.trader.ui.kline.kline import *
 
@@ -29,7 +30,8 @@ class UiSnapshot(object):
              tns_file: str = "",
              dist_file: str = "",
              dist_include_list=[],
-             use_grid=True):
+             use_grid=True,
+             export_file=""):
         """
         显示切片
         :param snapshot_file: 切片文件路径（通过这个方法，可读取历史切片）
@@ -119,14 +121,38 @@ class UiSnapshot(object):
                     k: setting
                 }
             )
-        # K线界面
-        try:
-            if use_grid:
-                w = GridKline(kline_settings=kline_settings, title=d.get('strategy', ''), relocate=True)
-                w.showMaximized()
-            else:
-                w = MultiKlineWindow(kline_settings=kline_settings, title=d.get('strategy', ''))
-                w.showMaximized()
 
+        try:
+            if len(export_file) == 0:
+                # K线界面
+                if use_grid:
+                    w = GridKline(kline_settings=kline_settings, title=d.get('strategy', ''), relocate=True)
+                    w.showMaximized()
+                else:
+                    w = MultiKlineWindow(kline_settings=kline_settings, title=d.get('strategy', ''))
+                    w.showMaximized()
+            else:
+                w = GridKline(kline_settings=kline_settings, title=d.get('strategy',''),relocate=False,screen_file=export_file)
+                print('sleep')
+                sleep(1)
+                print('close')
+                w.close()
         except Exception as ex:
             print(u'exception:{},trace:{}'.format(str(ex), traceback.format_exc()))
+
+    def export(self,
+               snapshot_file: str,
+               d: dict = None,
+               trade_file: str = "",
+               tns_file: str = "",
+               dist_file: str = "",
+               dist_include_list=[],
+               export_file:str=""
+               ):
+
+        self.show(snapshot_file=snapshot_file,
+                  d=d,
+                  trade_file=trade_file,
+                  dist_file=dist_file,
+                  dist_include_list=dist_include_list,
+                  export_file=export_file)

vnpy/trader/utility.py

@@ -350,7 +350,7 @@ def get_csv_last_dt(file_name, dt_index=0, dt_format='%Y-%m-%d %H:%M:%S', line_l
     if not os.path.exists(file_name):
         return False
 
-    with open(file_name, 'r') as f:
+    with open(file_name, 'r', encoding='utf8') as f:
         f_size = os.path.getsize(file_name)
         if f_size < line_length:
             line_length = f_size