[Mod] change logic of grid algo

examples/no_ui/run.py

@@ -91,8 +91,6 @@ def run_parent():
         ):
             trading = True
 
-        trading = True
-
         # Start child process in trading period
         if trading and child_process is None:
             print("启动子进程")

vnpy/app/algo_trading/algos/grid_algo.py

@@ -13,18 +13,15 @@ class GridAlgo(AlgoTemplate):
     default_setting = {
         "vt_symbol": "",
         "price": 0.0,
-        "trade_count": 0.0,
         "step_price": 0.0,
         "step_volume": 0,
-        "interval": 0,
+        "interval": 10,
     }
 
     variables = [
-        "last_pos",
+        "pos",
         "timer_count",
-        "vt_orderid",
+        "vt_orderid"
-        "traded",
-        "count"
     ]
 
     def __init__(
@@ -39,17 +36,14 @@ class GridAlgo(AlgoTemplate):
         # Parameters
         self.vt_symbol = setting["vt_symbol"]
         self.price = setting["price"]
-        self.trade_count = setting["trade_count"]
         self.step_price = setting["step_price"]
         self.step_volume = setting["step_volume"]
         self.interval = setting["interval"]
 
         # Variables
-        self.vt_orderid = ""
-        self.count = 0
-        self.traded = 0
-        self.last_pos = 0
         self.timer_count = 0
+        self.vt_orderid = ""
+        self.pos = 0
         self.last_tick = None
 
         self.subscribe(self.vt_symbol)
@@ -74,12 +68,19 @@ class GridAlgo(AlgoTemplate):
         if self.vt_orderid:
             self.cancel_all()
 
-        # Calculate target volume to buy
+        # Calculate target volume to buy and sell
         target_buy_distance = (
             self.price - self.last_tick.ask_price_1) / self.step_price
         target_buy_position = math.floor(
             target_buy_distance) * self.step_volume
-        target_buy_volume = target_buy_position - self.last_pos
+        target_buy_volume = target_buy_position - self.pos
+
+        # Calculate target volume to sell
+        target_sell_distance = (
+            self.price - self.last_tick.bid_price_1) / self.step_price
+        target_sell_position = math.ceil(
+            target_sell_distance) * self.step_volume
+        target_sell_volume = self.pos - target_sell_position
 
         # Buy when price dropping
         if target_buy_volume > 0:
@@ -88,22 +89,17 @@ class GridAlgo(AlgoTemplate):
                 self.last_tick.ask_price_1,
                 min(target_buy_volume, self.last_tick.ask_volume_1)
             )
-
-        # Calculate target volume to sell
-        target_sell_distance = (
-            self.price - self.last_tick.bid_price_1) / self.step_price
-        target_sell_position = math.ceil(
-            target_sell_distance) * self.step_volume
-        target_sell_volume = self.last_pos - target_sell_position
-
         # Sell when price rising
-        if target_sell_volume > 0:
+        elif target_sell_volume > 0:
             self.vt_orderid = self.sell(
                 self.vt_symbol,
                 self.last_tick.bid_price_1,
                 min(target_sell_volume, self.last_tick.bid_volume_1)
             )
 
+        # Update UI
+        self.put_variables_event()
+
     def on_order(self, order: OrderData):
         """"""
         if not order.is_active():
@@ -111,21 +107,10 @@ class GridAlgo(AlgoTemplate):
             self.put_variables_event()
 
     def on_trade(self, trade: TradeData):
-        """"""
-        self.last_pos = self.update_last_pos(self.last_pos, trade)
-
-        self.traded += trade.volume
-        self.count += 1
-        if self.count >= self.trade_count:
-            self.write_log(f"已交易数量：{self.traded}，总成交次数：{self.count}")
-            self.stop()
-        else:
-            self.put_variables_event()
-
-    def update_last_pos(self, pos, trade: TradeData):
         """"""
         if trade.direction == Direction.LONG:
-            pos += trade.volume
+            self.pos += trade.volume
         else:
-            pos -= trade.volume
+            self.pos -= trade.volume
-        return pos
+
+        self.put_variables_event()

vnpy/app/algo_trading/ui/display.py

@@ -15,7 +15,6 @@ NAME_DISPLAY_MAP = {
     "display_volume": "挂出数量",
     "stop_price": "触发价格",
     "price_add": "委托超价",
-    "trade_count": "交易次数限制",
     "step_price": "网格交易间距",
     "step_volume": "网格交易数量",
     "order_type": "类型",