[一般更新] Flask8检查代码,套利模板，股票下载更新，天勤更新

prod/jobs/refill_bao_stock_bars.py

@@ -20,7 +20,7 @@ import baostock as bs
 from vnpy.trader.constant import Exchange
 from vnpy.data.tdx.tdx_common import get_tdx_market_code
 from vnpy.trader.utility import load_json, get_csv_last_dt, extract_vt_symbol
-from vnpy.data.stock.stock_base import get_stock_base
+from vnpy.data.stock.stock_base import update_stock_base, get_stock_base
 # 保存的1分钟指数 bar目录
 bar_data_folder = os.path.abspath(os.path.join(vnpy_root, 'bar_data'))
 
@@ -34,6 +34,9 @@ if __name__ == "__main__":
     if login_msg.error_code != '0':
         print(f'证券宝登录错误代码:{login_msg.error_code}, 错误信息:{login_msg.error_msg}')
 
+    print('更新股票基本信息')
+    update_stock_base()
+
     symbol_dict = get_stock_base()
     if len(sys.argv) >= 2 and sys.argv[1].lower() == 'all':
         stock_list = list(symbol_dict.keys())
@@ -43,7 +46,6 @@ if __name__ == "__main__":
         stock_list = load_json('stock_list.json')
         print('读取本地stock_list.json文件，共{}个'.format(len(stock_list)))
 
-
     day_fields = "date,code,open,high,low,close,preclose,volume,amount,adjustflag,turn,tradestatus,pctChg,isST"
     min_fields = "date,time,code,open,high,low,close,volume,amount,adjustflag"
 
@@ -74,7 +76,10 @@ if __name__ == "__main__":
                 exchange_name = '深交所'
                 exchange_code = 'sz'
 
-        symbol_info = symbol_dict.get(vt_symbol)
+        symbol_info = symbol_dict.get(vt_symbol,None)
+        if symbol_info is None:
+            print(f'找不到{vt_symbol}得配置信息', file=sys.stderr)
+            continue
         if symbol_info['类型'] == '指数':
             continue
         stock_name = symbol_info.get('name')

requirements.txt

@@ -1,4 +1,4 @@
-six==1.13.0
+six
 PyQt5
 pyqtgraph
 dataclasses; python_version<="3.6"
@@ -8,7 +8,7 @@ websocket-client
 peewee
 mongoengine
 numpy
-pandas==0.25.2
+pandas
 matplotlib
 seaborn
 futu-api

vnpy/app/cta_strategy_pro/back_testing.py

@@ -1945,7 +1945,7 @@ class BackTestingEngine(object):
             self.daily_max_drawdown_rate = drawdown_rate
             self.max_drawdown_rate_time = data['date']
 
-        msg = u'{}:  net={}, capital={} max={} margin={} commission={}， pos: {}' \
+        msg = u'{}:  net={}, capital={} max={} holding_profit={} commission={}， pos: {}' \
             .format(data['date'],
                     data['net'], c, m,
                     today_holding_profit,

vnpy/app/cta_strategy_pro/portfolio_testing.py

@@ -11,6 +11,7 @@ import sys
 import os
 import gc
 import pandas as pd
+import numpy as np
 import traceback
 import random
 import bz2
@@ -425,7 +426,10 @@ class PortfolioTestingEngine(BackTestingEngine):
                         last_price=tick_data['price'],
                         volume=tick_data['volume']
                     )
-
+                    if not isinstance(tick.last_price,float):
+                        continue
+                    if np.isnan(tick.last_price):
+                        continue
                     self.new_tick(tick)
 
                 # 结束一个交易日后，更新每日净值

vnpy/app/cta_strategy_pro/spread_testing.py

@@ -11,6 +11,7 @@ import sys
 import os
 import gc
 import pandas as pd
+import numpy as np
 import traceback
 
 import bz2
@@ -426,6 +427,9 @@ class SpreadTestingEngine(BackTestingEngine):
                         bid_volume_1=int(tick_data['bid_volume_1'])
                     )
 
+                    if np.isnan(tick.ask_price_1) or np.isnan(tick.bid_price_1):
+                        continue
+
                     self.new_tick(tick)
 
                 # 结束一个交易日后，更新每日净值

vnpy/app/cta_strategy_pro/template_spread.py

@@ -63,6 +63,12 @@ class CtaSpreadTemplate(CtaTemplate):
         self.klines = {}  # K线组件字典: kline_name: kline
 
         self.cur_datetime = None  # 当前Tick时间
+        self.cur_mi_tick = None  # 最新的主力合约tick( vt_symbol)
+        self.cur_99_tick = None  # 最新得指数合约tick( idx_symbol)
+
+        self.cur_mi_price = None  # 当前价（主力合约 vt_symbol)
+        self.cur_99_price = None  # 当前价（tick时，根据tick更新，onBar回测时，根据bar.close更新)
+
         self.cur_act_tick = None  # 最新的主动腿合约tick( act_vt_symbol)
         self.cur_pas_tick = None  # 最新得被动腿合约tick( pas_vt_symbol)
         self.cur_spd_tick = None  # 价差tick
@@ -124,7 +130,6 @@ class CtaSpreadTemplate(CtaTemplate):
             self.write_log(u'保存k线缓存数据')
             self.save_klines_to_cache()
 
-
     def save_klines_to_cache(self, kline_names: list = []):
         """
         保存K线数据到缓存
@@ -748,8 +753,8 @@ class CtaSpreadTemplate(CtaTemplate):
                     grid.order_ids.remove(order.vt_orderid)
 
                 # 网格的所有委托单已经执行完毕
-                if len(grid.order_ids) == 0:
+                #if len(grid.order_ids) == 0:
-                    grid.order_status = False
+                #    grid.order_status = False
 
                 self.gt.save()
                 self.write_log(u'网格信息更新:{}'.format(grid.__dict__))
@@ -776,7 +781,7 @@ class CtaSpreadTemplate(CtaTemplate):
                 self.write_log(f'{order_vt_symbol}涨停，不做buy')
                 return
 
-            # 发送委托
+            # FAK发送委托追单
             vt_orderids = self.buy(price=buy_price,
                                    volume=order_volume,
                                    vt_symbol=order_vt_symbol,
@@ -855,8 +860,8 @@ class CtaSpreadTemplate(CtaTemplate):
                     self.write_log(f'移除grid中order_ids:{order.vt_orderid}')
                     grid.order_ids.remove(order.vt_orderid)
 
-                if not grid.order_ids:
+                #if not grid.order_ids:
-                    grid.order_status = False
+                #    grid.order_status = False
 
                 self.gt.save()
             self.active_orders.update({order.vt_orderid: old_order})
@@ -872,7 +877,7 @@ class CtaSpreadTemplate(CtaTemplate):
             return
 
         if not self.trading:
-            self.write_error(u'当前不允许交易')
+            self.write_error(f'{self.cur_datetime} 当前不允许交易')
             return
 
         # 直接更新“未完成委托单”，更新volume,Retry次数
@@ -906,8 +911,8 @@ class CtaSpreadTemplate(CtaTemplate):
                 if order.vt_orderid in grid.order_ids:
                     self.write_log(f'移除grid中order_ids:{order.vt_orderid}')
                     grid.order_ids.remove(order.vt_orderid)
-                if not grid.order_ids:
+                #if not grid.order_ids:
-                    grid.order_status = False
+                #    grid.order_status = False
                 self.gt.save()
                 self.write_log(u'更新网格=>{}'.format(grid.__dict__))
 
@@ -1001,8 +1006,8 @@ class CtaSpreadTemplate(CtaTemplate):
                 if order.vt_orderid in grid.order_ids:
                     self.write_log(f'移除grid中order_ids:{order.vt_orderid}')
                     grid.order_ids.remove(order.vt_orderid)
-                if len(grid.order_ids) == 0:
+                #if len(grid.order_ids) == 0:
-                    grid.order_status = False
+                #    grid.order_status = False
                 self.gt.save()
             self.active_orders.update({order.vt_orderid: old_order})
 
@@ -1047,15 +1052,17 @@ class CtaSpreadTemplate(CtaTemplate):
                     self.active_orders.update({vt_orderid: order_info})
                     ret = self.cancel_order(str(vt_orderid))
                     if not ret:
-                        self.write_log(u'撤单失败,更新状态为撤单成功')
+                        self.write_log(f'{vt_orderid}撤单失败,更新状态为撤单成功')
                         order_info.update({'status': Status.CANCELLED})
                         self.active_orders.update({vt_orderid: order_info})
                     else:
+                        self.write_log(f'{vt_orderid}撤单成功')
                         if order_grid:
                             if vt_orderid in order_grid.order_ids:
+                                self.write_log(f'{vt_orderid}存在网格委托队列{order_grid.order_ids}中，移除')
                                 order_grid.order_ids.remove(vt_orderid)
-                            if len(order_grid.order_ids) == 0:
+                            #if len(order_grid.order_ids) == 0:
-                                order_grid.order_status = False
+                            #    order_grid.order_status = False
                 continue
 
             # 处理状态为‘撤销’的委托单
@@ -1234,10 +1241,10 @@ class CtaSpreadTemplate(CtaTemplate):
             self.write_log(u'停止状态，不开仓')
             return []
         if not self.allow_trading_open:
-            self.write_log(u'不允许开仓')
+            self.write_log(f'{self.cur_datetime}不允许开仓')
             return []
         if self.force_trading_close:
-            self.write_log(u'强制平仓日，不开仓')
+            self.write_log(f'{self.cur_datetime}强制平仓日，不开仓')
             return []
         # 检查流动性缺失
         if not self.check_liquidity( direction=Direction.SHORT,
@@ -1266,7 +1273,7 @@ class CtaSpreadTemplate(CtaTemplate):
                              f'委托价:{self.cur_act_tick.bid_price_1}')
             return []
 
-        # 开多被动腿
+        # 开多被动腿（FAK或者限价单）
         pas_vt_orderids = self.buy(vt_symbol=self.pas_vt_symbol,
                                    lock=self.pas_exchange==Exchange.CFFEX,
                                    price=self.cur_pas_tick.ask_price_1,
@@ -1303,10 +1310,10 @@ class CtaSpreadTemplate(CtaTemplate):
             self.write_log(u'停止状态，不开仓')
             return []
         if not self.allow_trading_open:
-            self.write_log(u'不允许开仓')
+            self.write_log(f'{self.cur_datetime}不允许开仓')
             return []
         if self.force_trading_close:
-            self.write_log(u'强制平仓日，不开仓')
+            self.write_log(f'{self.cur_datetime}强制平仓日，不开仓')
             return []
         # 检查流动性缺失
         if not self.check_liquidity(
@@ -1324,7 +1331,7 @@ class CtaSpreadTemplate(CtaTemplate):
             self.write_log(u'价差{}不满足:{}'.format(self.cur_spd_tick.bid_price_1, grid.open_price))
             return []
 
-        # 开多主动腿
+        # 开多主动腿（FAK 或者限价单）
         act_vt_orderids = self.buy(vt_symbol=self.act_vt_symbol,
                                    lock=self.act_exchange==Exchange.CFFEX,
                                    price=self.cur_act_tick.ask_price_1,

vnpy/app/cta_strategy_pro/ui/widget.py

@@ -300,6 +300,7 @@ class StrategyManager(QtWidgets.QFrame):
         tns_csv = os.path.abspath(os.path.join(self.cta_engine.get_data_path(), f'{self.strategy_name}_tns.csv'))
         ui_snapshot.show(snapshot_file="", d=snapshot, trade_file=trade_csv, tns_file=tns_csv)
 
+
 class DataMonitor(QtWidgets.QTableWidget):
     """
     Table monitor for parameters and variables.
@@ -477,7 +478,7 @@ class SettingEditor(QtWidgets.QDialog):
                 try:
                     value = type_(value_text)
                 except Exception as ex:
-                    print(f'{name}数据类型转换未指定')
+                    print(f'{name}数据类型转换未指定:{str(ex)}')
                     if isnumber(value_text):
                         value = float(value_text)
                     elif value_text == 'None':
@@ -489,6 +490,7 @@ class SettingEditor(QtWidgets.QDialog):
 
         return setting
 
+
 def isnumber(aString):
     try:
         float(aString)

vnpy/app/risk_manager/ui/widget.py

@@ -40,7 +40,6 @@ class RiskManager(QtWidgets.QDialog):
         self.trade_hold_active_limit_spin = RiskManagerSpinBox()
         self.trade_hold_percent_limit_spin = RiskManagerSpinBox()
 
-
         save_button = QtWidgets.QPushButton("保存")
         save_button.clicked.connect(self.save_setting)
 
@@ -57,7 +56,7 @@ class RiskManager(QtWidgets.QDialog):
         form.addRow("激活废单/撤单(笔)", self.ratio_active_limit_spin)
         form.addRow("废单比上限(%)", self.reject_limit_percent_spin)
         form.addRow("撤单比上限(%)", self.cancel_limit_percent_spin)
-        form.addRow("激活成交/持仓比阈值（笔）" ,self.trade_hold_active_limit_spin)
+        form.addRow("激活成交/持仓比阈值（笔）", self.trade_hold_active_limit_spin)
         form.addRow("成交/持仓比上限(%)", self.trade_hold_percent_limit_spin)
 
         form.addRow(save_button)

vnpy/data/renko/config.py

@@ -5,3 +5,5 @@ HEIGHT_LIST = [3, 5, 10, 'K3', 'K5', 'K10']
 
 FUTURE_RENKO_DB_NAME = 'FutureRenko'
 STOCK_RENKO_DB_NAME = 'StockRenko'
+CRYPTO_RENKO_DB_NAME= 'CryptoRenko'
+

vnpy/data/stock/stock_base.py

@@ -26,6 +26,17 @@ stock_type_map = {
 }
 STOCK_BASE_FILE = 'stock_base.pkb2'
 
+#  get_stock_base 返回数据格式
+#  vt_symbol: {
+#            'exchange': 交易所代码
+#            'code': 股票代码
+#            'name': 中文名
+#            'ipo_date': 上市日期
+#            'out_date': 退市日期
+#            '类型': 股票，指数，其他
+#            'type': stock_cn, index_cn,etf_cn,bond_cn,cb_cn
+#            'status': '上市'  '退市'
+#            }
 
 def get_stock_base():
     """ 获取股票基础信息"""

vnpy/data/tdx/tdx_stock_data.py

@@ -46,7 +46,6 @@ NUM_MINUTE_MAPPING['1day'] = 60 * 5.5  # 股票，收盘时间是15：00，开
 # 常量
 QSIZE = 800
 
-
 # 通达信 <=> 交易所代码 映射
 TDX_VN_STOCK_MARKET_MAP = {
     TDXParams.MARKET_SH: Exchange.SSE,  # 1: 上交所
@@ -76,7 +75,7 @@ class TdxStockData(object):
         self.proxy_ip = proxy_ip
         self.proxy_port = proxy_port
 
-        if self.proxy_port == 0 and len(self.proxy_ip)==0:
+        if self.proxy_port == 0 and len(self.proxy_ip) == 0:
             proxy_config = get_cache_json(TDX_PROXY_CONFIG)
             proxy_ip = proxy_config.get('proxy_ip', '')
             proxy_port = proxy_config.get('proxy_port', 0)
@@ -388,16 +387,16 @@ class TdxStockData(object):
                    cache_date: str):
         """加载缓存数据"""
         if not os.path.exists(cache_folder):
-            #self.write_error('缓存目录:{}不存在,不能读取'.format(cache_folder))
+            # self.write_error('缓存目录:{}不存在,不能读取'.format(cache_folder))
             return None
         cache_folder_year_month = os.path.join(cache_folder, cache_date[:6])
         if not os.path.exists(cache_folder_year_month):
-            #self.write_error('缓存目录:{}不存在,不能读取'.format(cache_folder_year_month))
+            # self.write_error('缓存目录:{}不存在,不能读取'.format(cache_folder_year_month))
             return None
 
         cache_file = os.path.join(cache_folder_year_month, '{}_{}.pkb2'.format(cache_symbol, cache_date))
         if not os.path.isfile(cache_file):
-            #self.write_error('缓存文件:{}不存在,不能读取'.format(cache_file))
+            # self.write_error('缓存文件:{}不存在,不能读取'.format(cache_file))
             return None
         with bz2.BZ2File(cache_file, 'rb') as f:
             data = pickle.load(f)
@@ -531,8 +530,10 @@ class TdxStockData(object):
             self.connect()
 
         data = pd.concat(
-            [pd.concat([self.api.to_df(self.api.get_security_list(j, i * 1000)).assign(sse='sz' if j == 0 else 'sh').set_index(
+            [pd.concat(
-                ['code', 'sse'], drop=False) for i in range(int(self.api.get_security_count(j) / 1000) + 1)], axis=0) for j
+                [self.api.to_df(self.api.get_security_list(j, i * 1000)).assign(sse='sz' if j == 0 else 'sh').set_index(
+                    ['code', 'sse'], drop=False) for i in range(int(self.api.get_security_count(j) / 1000) + 1)],
+                axis=0) for j
                 in range(2)], axis=0)
         sz = data.query('sse=="sz"')
         sh = data.query('sse=="sh"')
@@ -575,12 +576,13 @@ class TdxStockData(object):
 
     def get_stock_quotes_by_type(self, stock_type):
         """根据股票代码类型，获取其最新行情"""
-        stock_list = [(stock.get('market_id'), stock.get('code')) for stock in self.symbol_dict.values() if stock.get('stock_type') == stock_type]
+        stock_list = [(stock.get('market_id'), stock.get('code')) for stock in self.symbol_dict.values() if
+                      stock.get('stock_type') == stock_type]
 
         num_per_count = 60
         results = []
-        for i in range(0, len(stock_list)+1, num_per_count):
+        for i in range(0, len(stock_list) + 1, num_per_count):
-            cur_results = self.get_security_quotes(stock_list[i:i+num_per_count])
+            cur_results = self.get_security_quotes(stock_list[i:i + num_per_count])
             results.extend(cur_results)
 
         return results

vnpy/data/tdx/test_tdx_future.py

@@ -18,12 +18,12 @@ t2 = FakeStrategy()
 api_01 = TdxFutureData(strategy=t1)
 
 # 获取所有市场信息
-markets = api_01.get_markets()
+#markets = api_01.get_markets()
-str_markets = json.dumps(markets, indent=1, ensure_ascii=False)
+#str_markets = json.dumps(markets, indent=1, ensure_ascii=False)
-print(u'{}'.format(str_markets))
+#print(u'{}'.format(str_markets))
 
 # 获取所有的期货合约明细
-api_01.qry_instrument()
+#api_01.qry_instrument()
 
 # 获取某个合约得最新价
 #price = api_01.get_price('rb2010')
@@ -64,8 +64,8 @@ corr_rate = round(abs(corr.iloc[0, 1]) * 100, 2)
 # api_01.get_bars('IF99', period='1min', callback=t1.display_bar, bar_freq=1)
 
 # 获取bar，只返回 list[dict]
-"""
+
-result, bars = api_01.get_bars('IF99', period='1min', return_bar=False)
+result, bars = api_01.get_bars('SA2101', period='1min', return_bar=False)
 if result:
     print('前十根bar')
     for bar in bars[0:10]:
@@ -73,15 +73,15 @@ if result:
     print('后十根bar')
     for bar in bars[-10:]:
         print(bar)
-"""
+
 # result,datas = api_01.get_transaction_data(symbol='ni1905')
 # api_02 = TdxFutureData(t2)
 # api_02.get_bars('IF99', period='1min', callback=t1.display_bar)
 
 # 获取当前交易日分时数据
-ret,result = api_01.get_transaction_data('NI99')
+#ret,result = api_01.get_transaction_data('NI99')
-for r in result[0:10] + result[-10:]:
+#for r in result[0:10] + result[-10:]:
-    print(r)
+#    print(r)
 
 # 获取历史分时数据
 # ret, result = api_01.get_history_transaction_data('RB99', '20190109')

vnpy/data/tq/downloader.py

@@ -1,6 +1,6 @@
 #!/usr/bin/env python
 #  -*- coding: utf-8 -*-
-#__author__ = 'yangyang'
+# __author__ = 'yangyang'
 # 修改：
 # 1， 输入单个合约时，标题不再扩展为 合约.标题
 # 2.  下载tick时，5档行情都下载
@@ -74,11 +74,13 @@ class DataDownloader:
         if isinstance(start_dt, datetime):
             self._start_dt_nano = int(start_dt.timestamp() * 1e9)
         else:
-            self._start_dt_nano = _get_trading_day_start_time(int(datetime(start_dt.year, start_dt.month, start_dt.day).timestamp()) * 1000000000)
+            self._start_dt_nano = _get_trading_day_start_time(
+                int(datetime(start_dt.year, start_dt.month, start_dt.day).timestamp()) * 1000000000)
         if isinstance(end_dt, datetime):
             self._end_dt_nano = int(end_dt.timestamp() * 1e9)
         else:
-            self._end_dt_nano = _get_trading_day_end_time(int(datetime(end_dt.year, end_dt.month, end_dt.day).timestamp()) * 1000000000)
+            self._end_dt_nano = _get_trading_day_end_time(
+                int(datetime(end_dt.year, end_dt.month, end_dt.day).timestamp()) * 1000000000)
         self._current_dt_nano = self._start_dt_nano
         self._symbol_list = symbol_list if isinstance(symbol_list, list) else [symbol_list]
         # 检查合约代码是否存在
@@ -121,7 +123,7 @@ class DataDownloader:
             "focus_datetime": self._start_dt_nano,
             "focus_position": 0,
         }
-        if len(self._symbol_list) ==1:
+        if len(self._symbol_list) == 1:
             single_exchange, single_symbol = self._symbol_list[0].split('.')
         else:
             single_exchange, single_symbol = None, None
@@ -132,7 +134,7 @@ class DataDownloader:
         csv_header = []
         data_cols = ["open", "high", "low", "close", "volume", "open_oi", "close_oi"] if self._dur_nano != 0 else \
             ["last_price", "highest", "lowest", "volume",
-             "amount", "open_interest","upper_limit","lower_limit",
+             "amount", "open_interest", "upper_limit", "lower_limit",
              "bid_price1", "bid_volume1", "ask_price1", "ask_volume1",
              "bid_price2", "bid_volume2", "ask_price2", "ask_volume2",
              "bid_price3", "bid_volume3", "ask_price3", "ask_volume3",

vnpy/data/tq/tianqin_data.py

@@ -28,15 +28,16 @@ import csv
 # pd.pandas.reset_option(‘参数名’, 参数值)	# 恢复默认相关选项
 
 tick_csv_header = [
-    "datetime","symbol", "exchange", "last_price","highest","lowest","volume","amount","open_interest",
+    "datetime", "symbol", "exchange", "last_price", "highest", "lowest", "volume", "amount", "open_interest",
-    "upper_limit","lower_limit","bid_price1","bid_volume1","ask_price1",
+    "upper_limit", "lower_limit", "bid_price1", "bid_volume1", "ask_price1",
-    "ask_volume1","bid_price2","bid_volume2","ask_price2","ask_volume2",
+    "ask_volume1", "bid_price2", "bid_volume2", "ask_price2", "ask_volume2",
-    "bid_price3","bid_volume3","ask_price3","ask_volume3","bid_price4",
+    "bid_price3", "bid_volume3", "ask_price3", "ask_volume3", "bid_price4",
     "bid_volume4",
-    "ask_price4","ask_volume4",
+    "ask_price4", "ask_volume4",
-    "bid_price5","bid_volume5","ask_price5","ask_volume5"
+    "bid_price5", "bid_volume5", "ask_price5", "ask_volume5"
 ]
 
+
 @lru_cache(maxsize=9999)
 def to_vt_symbol(tq_symbol: str) -> str:
     """"""
@@ -95,8 +96,8 @@ def generate_tick_from_dict(vt_symbol: str, data: dict) -> TickData:
         volume=int(data["volume"]),
         open_interest=data["open_interest"],
         last_price=float(data["last_price"]),
-        #limit_up=float(data["upper_limit"]) if data["upper_limit"] !='#N/A' else None,
+        # limit_up=float(data["upper_limit"]) if data["upper_limit"] !='#N/A' else None,
-        #limit_down=float(data["lower_limit"]),
+        # limit_down=float(data["lower_limit"]),
         high_price=float(data["highest"]),
         low_price=float(data["lowest"]),
         bid_price_1=float(data["bid_price1"]),
@@ -182,7 +183,7 @@ class TqFutureData():
                 with open(file=ticks_file, mode='r', encoding='utf-8', ) as f:
                     reader = csv.DictReader(f=f, fieldnames=tick_csv_header, delimiter=",")
                     for row in reader:
-                        if str(row.get('last_price','nan')) not in['nan','last_price']:
+                        if str(row.get('last_price', 'nan')) not in ['nan', 'last_price']:
                             tick_dict_list.append(row)
 
                 return tick_dict_list
@@ -191,7 +192,7 @@ class TqFutureData():
 
         return []
 
-    def get_bars(self, vt_symbol: str, start_date: datetime=None, end_date: datetime = None):
+    def get_bars(self, vt_symbol: str, start_date: datetime = None, end_date: datetime = None):
         """
         获取历史bar（受限于最大长度8964根bar）
         :param vt_symbol:
@@ -235,7 +236,6 @@ class TqFutureData():
 
         return bars
 
-
     def get_ticks(self, vt_symbol: str, start_date: datetime, end_date: datetime = None):
         """获取历史tick"""
 
@@ -253,7 +253,7 @@ class TqFutureData():
 
         all_ticks = []
         # 轮询每一天，读取缓存数据
-        for n in range(n_days+1):
+        for n in range(n_days + 1):
             trading_date = start_date + timedelta(days=n)
             if trading_date.isoweekday() in [6, 7]:
                 continue
@@ -272,7 +272,7 @@ class TqFutureData():
                 all_ticks.extend(rt_ticks)
         return all_ticks
 
-    def get_runtime_ticks(self, vt_symbol: str, begin_dt: datetime= None):
+    def get_runtime_ticks(self, vt_symbol: str, begin_dt: datetime = None):
         """获取实时历史tick"""
         self.write_log(f"从天勤请求合约:{vt_symbol}的实时的8964条tick数据")
         symbol, exchange = extract_vt_symbol(vt_symbol)
@@ -290,7 +290,7 @@ class TqFutureData():
                       'bid_volume13', 'ask_price4', 'ask_volume14', 'bid_price4', 'bid_volume14',
                       'ask_price5', 'ask_volume15', 'bid_price5', 'bid_volume15', 'volume', 'amount',
                       'open_interest', 'symbol', 'duration']
-        df.drop(['id','average','duration'], axis=1)
+        df.drop(['id', 'average', 'duration'], axis=1)
 
         for index, row in df.iterrows():
             # 日期时间, 成交价, 成交量, 总量, 属性(持仓增减), B1价, B1量, B2价, B2量, B3价, B3量, S1价, S1量, S2价, S2量, S3价, S3量, BS
@@ -341,18 +341,14 @@ if __name__ == '__main__':
     # tqsdk = Query_tqsdk_data(strategy=self)   # 在策略中使用
     tqsdk = TqFutureData()
     # ticks = tqsdk.query_tick_current("pp2009.DCE")
-    #tick_df = tqsdk.query_tick_history_data(vt_symbol="ni2009.SHFE", start_date=pd.to_datetime("2020-07-22"))
+    # tick_df = tqsdk.query_tick_history_data(vt_symbol="ni2009.SHFE", start_date=pd.to_datetime("2020-07-22"))
-    #print(tick_df)
+    # print(tick_df)
 
-    #ticks = tqsdk.get_runtime_ticks("ni2009.SHFE")
+    # ticks = tqsdk.get_runtime_ticks("ni2009.SHFE")
 
-    #print(ticks[0])
+    # print(ticks[0])
 
-    #print(ticks[-1])
+    # print(ticks[-1])
     bars = tqsdk.get_bars(vt_symbol='ni2011.SHFE')
     print(bars[0])
     print(bars[-1])
-
-
-
-

vnpy/gateway/binancef/binancef_gateway.py

@@ -573,7 +573,7 @@ class BinancefRestApi(RestClient):
                     self.cache_position_symbols.update({position.symbol: position.volume})
 
             self.gateway.on_position(position)
-            #if position.symbol == 'BTCUSDT':
+            # if position.symbol == 'BTCUSDT':
             #    self.gateway.write_log(f'{position.__dict__}\n {d}')
         # self.gateway.write_log("持仓信息查询成功")
 

vnpy/gateway/ctp/ctp_gateway.py

@@ -180,6 +180,7 @@ TQ2VT_TYPE = {
     "OPTION": Product.OPTION,
 }
 
+
 @lru_cache(maxsize=9999)
 def vt_to_tq_symbol(symbol: str, exchange: Exchange) -> str:
     """
@@ -432,12 +433,12 @@ class CtpGateway(BaseGateway):
                         self.write_log(f'使用RabbitMQ接口订阅{req.symbol}')
                         self.rabbit_api.subscribe(req)
                     elif self.tq_api:
-                        self.write_log(f'使用天勤接口订阅{ req.symbol}')
+                        self.write_log(f'使用天勤接口订阅{req.symbol}')
                         self.tq_api.subscribe(req)
                 else:
                     # 上期所、上能源支持五档行情，使用天勤接口
                     if self.tq_api and req.exchange in [Exchange.SHFE, Exchange.INE]:
-                        self.write_log(f'使用天勤接口订阅{ req.symbol}')
+                        self.write_log(f'使用天勤接口订阅{req.symbol}')
                         self.tq_api.subscribe(req)
                     else:
                         self.write_log(f'使用CTP接口订阅{req.symbol}')
@@ -544,6 +545,7 @@ class CtpGateway(BaseGateway):
             tick = copy(tick)
             combiner.on_tick(tick)
 
+
 class CtpMdApi(MdApi):
     """"""
 
@@ -652,7 +654,7 @@ class CtpMdApi(MdApi):
 
         # 处理一下标准套利合约的last_price
         if '&' in symbol:
-            tick.last_price = (tick.ask_price_1 + tick.bid_price_1)/2
+            tick.last_price = (tick.ask_price_1 + tick.bid_price_1) / 2
 
         if data["BidVolume2"] or data["AskVolume2"]:
             tick.bid_price_2 = adjust_price(data["BidPrice2"])
@@ -846,7 +848,7 @@ class CtpTdApi(TdApi):
         )
         self.gateway.on_order(order)
 
-        #self.gateway.write_error("交易委托失败", error)
+        # self.gateway.write_error("交易委托失败", error)
 
     def onRspOrderAction(self, data: dict, error: dict, reqid: int, last: bool):
         """"""
@@ -965,7 +967,7 @@ class CtpTdApi(TdApi):
         """"""
         if "AccountID" not in data:
             return
-        if len(self.accountid)== 0:
+        if len(self.accountid) == 0:
             self.accountid = data['AccountID']
 
         balance = float(data["Balance"])
@@ -984,8 +986,11 @@ class CtpTdApi(TdApi):
         account.available = round(float(data["Available"]), 7)
         account.commission = round(float(data['Commission']), 7)
         account.margin = round(float(data['CurrMargin']), 7)
-        account.close_profit = round(float(data['CloseProfit']), 7)
+        account.close_profit = round(float(data['CloseProfit']), 7) + round(
-        account.holding_profit = round(float(data['PositionProfit']), 7)
+            float(data.get("SpecProductCloseProfit", 0)), 7)
+        account.holding_profit = round(float(data['PositionProfit']), 7) + round(
+            float(data.get("SpecProductPositionProfit", 0)), 7) + round(
+            float(data.get("SpecProductPositionProfitByAlg", 0)), 7)
         account.trading_day = str(data['TradingDay'])
         if '-' not in account.trading_day and len(account.trading_day) == 8:
             account.trading_day = '-'.join(
@@ -1014,7 +1019,7 @@ class CtpTdApi(TdApi):
                 gateway_name=self.gateway_name
             )
             # 保证金费率(期权合约的保证金比例数值可能不对，所以设置个0.2的最大值)
-            contract.margin_rate = min(0.2,max(data.get('LongMarginRatio', 0), data.get('ShortMarginRatio', 0)))
+            contract.margin_rate = min(0.2, max(data.get('LongMarginRatio', 0), data.get('ShortMarginRatio', 0)))
             if contract.margin_rate == 0:
                 contract.margin_rate = 0.1
 
@@ -1153,7 +1158,7 @@ class CtpTdApi(TdApi):
             exchange=exchange,
             orderid=orderid,
             sys_orderid=data.get("OrderSysID", orderid),
-            tradeid=tradeid.replace(' ',''),
+            tradeid=tradeid.replace(' ', ''),
             direction=DIRECTION_CTP2VT[data["Direction"]],
             offset=OFFSET_CTP2VT[data["OffsetFlag"]],
             price=data["Price"],
@@ -1789,7 +1794,7 @@ class SubMdApi():
         """转换dict， vnpy1 tick dict => vnpy2 tick dict"""
         if 'vtSymbol' not in d:
             return d
-        symbol= d.get('symbol')
+        symbol = d.get('symbol')
         exchange = d.get('exchange')
         vtSymbol = d.pop('vtSymbol', symbol)
         if '.' not in symbol:
@@ -1798,14 +1803,13 @@ class SubMdApi():
             d.update({'vt_symbol': f'{symbol}.{Exchange.LOCAL.value}'})
 
         # 成交数据
-        d.update({'last_price': d.pop('lastPrice',0.0)})  # 最新成交价
+        d.update({'last_price': d.pop('lastPrice', 0.0)})  # 最新成交价
         d.update({'last_volume': d.pop('lastVolume', 0)})  # 最新成交量
 
         d.update({'open_interest': d.pop('openInterest', 0)})  # 昨持仓量
 
         d.update({'open_interest': d.pop('tradingDay', get_trading_date())})
 
-
         # 常规行情
         d.update({'open_price': d.pop('openPrice', 0)})  # 今日开盘价
         d.update({'high_price': d.pop('highPrice', 0)})  # 今日最高价
@@ -1951,7 +1955,7 @@ class TqMdApi():
         )
         if symbol.endswith('99') and tick.ask_price_1 == 0.0 and tick.bid_price_1 == 0.0:
             price_tick = quote['price_tick']
-            if isinstance(price_tick, float) or isinstance(price_tick,int):
+            if isinstance(price_tick, float) or isinstance(price_tick, int):
                 tick.ask_price_1 = tick.last_price + price_tick
                 tick.ask_volume_1 = 1
                 tick.bid_price_1 = tick.last_price - price_tick

vnpy/gateway/futu/futu_gateway.py

@@ -485,7 +485,7 @@ class FutuGateway(BaseGateway):
 
         sys_orderid = ""
         for ix, row in data.iterrows():
-            sys_orderid = str(row.get("order_id",""))
+            sys_orderid = str(row.get("order_id", ""))
             if len(sys_orderid) > 0:
                 self.write_log(f'系统委托号:{sys_orderid}')
                 break

vnpy/gateway/gj/gj_gateway.py

@@ -1167,7 +1167,7 @@ class TqMdApi():
             return
         try:
             from tqsdk import TqApi
-            self.api = TqApi(_stock=True,url="wss://u.shinnytech.com/t/nfmd/front/mobile")
+            self.api = TqApi(_stock=True, url="wss://u.shinnytech.com/t/nfmd/front/mobile")
         except Exception as e:
             self.gateway.write_log(f'天勤股票行情API接入异常:'.format(str(e)))
             self.gateway.write_log(traceback.format_exc())

vnpy/gateway/pb/pb_gateway.py

@@ -17,6 +17,11 @@ from functools import lru_cache
 from collections import OrderedDict
 from multiprocessing.dummy import Pool
 from threading import Thread
+
+from pytdx.hq import TdxHq_API
+from pytdx.config.hosts import hq_hosts
+from pytdx.params import TDXParams
+
 from vnpy.event import EventEngine
 from vnpy.trader.event import EVENT_TIMER
 from vnpy.trader.constant import (
@@ -45,6 +50,9 @@ from vnpy.trader.object import (
 from vnpy.trader.utility import get_folder_path, print_dict, extract_vt_symbol, get_stock_exchange, append_data
 from vnpy.data.tdx.tdx_common import get_stock_type_sz, get_stock_type_sh
 
+# 通达信股票行情
+from vnpy.data.tdx.tdx_common import get_cache_config, get_tdx_market_code
+
 # 代码 <=> 中文名称
 symbol_name_map: Dict[str, str] = {}
 # 代码 <=> 交易所
@@ -303,11 +311,6 @@ STATUS_PB2VT: Dict[str, Status] = {
 }
 
 STOCK_CONFIG_FILE = 'tdx_stock_config.pkb2'
-from pytdx.hq import TdxHq_API
-# 通达信股票行情
-from vnpy.data.tdx.tdx_common import get_cache_config, get_tdx_market_code
-from pytdx.config.hosts import hq_hosts
-from pytdx.params import TDXParams
 
 
 class PbGateway(BaseGateway):
@@ -474,12 +477,12 @@ class PbMdApi(object):
                         {'ip': "124.160.88.183", 'port': 7709},
                         {'ip': "60.12.136.250", 'port': 7709},
                         {'ip': "218.108.98.244", 'port': 7709},
-                        #{'ip': "218.108.47.69", 'port': 7709},
+                        # {'ip': "218.108.47.69", 'port': 7709},
                         {'ip': "114.80.63.12", 'port': 7709},
                         {'ip': "114.80.63.35", 'port': 7709},
                         {'ip': "180.153.39.51", 'port': 7709},
-                        #{'ip': '14.215.128.18', 'port': 7709},
+                        # {'ip': '14.215.128.18', 'port': 7709},
-                        #{'ip': '59.173.18.140', 'port': 7709}
+                        # {'ip': '59.173.18.140', 'port': 7709}
                         ]
 
         self.best_ip = {'ip': None, 'port': None}
@@ -722,7 +725,7 @@ class PbMdApi(object):
                 margin_rate=1
             )
 
-            if product!= Product.INDEX:
+            if product != Product.INDEX:
                 # 缓存 合约 =》 中文名
                 symbol_name_map.update({contract.symbol: contract.name})
 
@@ -1654,7 +1657,8 @@ class PbTdApi(object):
                         order.status = Status.REJECTED
                         self.gateway.write_log(f'dbf批量下单，委托被拒:{order.__dict__}')
                         self.gateway.order_manager.on_order(order)
-                        self.gateway.write_error(msg=f'{order.direction.value},{order.vt_symbol},{err_msg}', error={"ErrorID": err_id, "ErrorMsg": "委托失败"})
+                        self.gateway.write_error(msg=f'{order.direction.value},{order.vt_symbol},{err_msg}',
+                                                 error={"ErrorID": err_id, "ErrorMsg": "委托失败"})
 
                     if sys_orderid != '0':
                         self.gateway.order_manager.update_orderid_map(local_orderid=local_orderid,
@@ -1933,7 +1937,6 @@ class PbTdApi(object):
                                                     '{}{}.dbf'.format(PB_FILE_NAMES.get('cancel_order'),
                                                                       self.trading_date)))
 
-
             # 打开dbf文件=》table
             table = dbf.Table(dbf_file)
             # 读取、写入模式
@@ -2062,14 +2065,14 @@ class TqMdApi():
 
         self.ticks = {}
 
-    def connect(self, setting = {}):
+    def connect(self, setting={}):
         """"""
         if self.api and self.is_connected:
             self.gateway.write_log(f'天勤行情已经接入，无需重新连接')
             return
         try:
             from tqsdk import TqApi
-            self.api = TqApi(_stock=True)
+            self.api = TqApi(_stock=True, url="wss://u.shinnytech.com/t/nfmd/front/mobile")
         except Exception as e:
             self.gateway.write_log(f'天勤股票行情API接入异常:'.format(str(e)))
             self.gateway.write_log(traceback.format_exc())
@@ -2203,4 +2206,3 @@ class TqMdApi():
                     self.update_thread.join()
         except Exception as e:
             self.gateway.write_log('退出天勤行情api异常:{}'.format(str(e)))
-

vnpy/gateway/rohon/rohon_gateway.py

@@ -4,7 +4,7 @@ import sys
 import json
 import traceback
 from datetime import datetime, timedelta
-from copy import copy,deepcopy
+from copy import copy, deepcopy
 from functools import lru_cache
 from typing import List
 import pandas as pd
@@ -175,6 +175,7 @@ TQ2VT_TYPE = {
     "OPTION": Product.OPTION,
 }
 
+
 @lru_cache(maxsize=9999)
 def vt_to_tq_symbol(symbol: str, exchange: Exchange) -> str:
     """
@@ -270,7 +271,7 @@ class RohonGateway(BaseGateway):
         product_info = setting["产品信息"]
         rabbit_dict = setting.get('rabbit', None)
         tq_dict = setting.get('tq', None)
-        self.debug = setting.get('debug',False)
+        self.debug = setting.get('debug', False)
 
         if not td_address.startswith("tcp://"):
             td_address = "tcp://" + td_address
@@ -425,12 +426,12 @@ class RohonGateway(BaseGateway):
                         self.write_log(f'使用RabbitMQ接口订阅{req.symbol}')
                         self.rabbit_api.subscribe(req)
                     elif self.tq_api:
-                        self.write_log(f'使用天勤接口订阅{ req.symbol}')
+                        self.write_log(f'使用天勤接口订阅{req.symbol}')
                         self.tq_api.subscribe(req)
                 else:
                     # 上期所、上能源支持五档行情，使用天勤接口
                     if self.tq_api and req.exchange in [Exchange.SHFE, Exchange.INE]:
-                        self.write_log(f'使用天勤接口订阅{ req.symbol}')
+                        self.write_log(f'使用天勤接口订阅{req.symbol}')
                         self.tq_api.subscribe(req)
                     else:
                         self.write_log(f'使用CTP接口订阅{req.symbol}')
@@ -537,6 +538,7 @@ class RohonGateway(BaseGateway):
             tick = copy(tick)
             combiner.on_tick(tick)
 
+
 class RohonMdApi(MdApi):
     """"""
 
@@ -645,7 +647,7 @@ class RohonMdApi(MdApi):
 
         # 处理一下标准套利合约的last_price
         if '&' in symbol:
-            tick.last_price = (tick.ask_price_1 + tick.bid_price_1)/2
+            tick.last_price = (tick.ask_price_1 + tick.bid_price_1) / 2
 
         if data["BidVolume2"] or data["AskVolume2"]:
             tick.bid_price_2 = adjust_price(data["BidPrice2"])
@@ -924,7 +926,7 @@ class RohonTdApi(TdApi):
 
         if "AccountID" not in data:
             return
-        if len(self.accountid)== 0:
+        if len(self.accountid) == 0:
             self.accountid = data['AccountID']
 
         account = AccountData(
@@ -955,7 +957,7 @@ class RohonTdApi(TdApi):
         """
         Callback of instrument query.
         """
-        #if self.gateway.debug:
+        # if self.gateway.debug:
         #    print(f'onRspQryInstrument')
 
         product = PRODUCT_ROHON2VT.get(data["ProductClass"], None)
@@ -1113,7 +1115,7 @@ class RohonTdApi(TdApi):
             exchange=exchange,
             orderid=orderid,
             sys_orderid=data.get("OrderSysID", orderid),
-            tradeid=tradeid.replace(' ',''),
+            tradeid=tradeid.replace(' ', ''),
             direction=DIRECTION_ROHON2VT[data["Direction"]],
             offset=OFFSET_ROHON2VT[data["OffsetFlag"]],
             price=data["Price"],
@@ -1760,23 +1762,22 @@ class SubMdApi():
         """转换dict， vnpy1 tick dict => vnpy2 tick dict"""
         if 'vtSymbol' not in d:
             return d
-        symbol= d.get('symbol')
+        symbol = d.get('symbol')
         exchange = d.get('exchange')
-        vtSymbol = d.pop('vtSymbol', symbol)
+        d.pop('vtSymbol', None)
         if '.' not in symbol:
             d.update({'vt_symbol': f'{symbol}.{exchange}'})
         else:
             d.update({'vt_symbol': f'{symbol}.{Exchange.LOCAL.value}'})
 
         # 成交数据
-        d.update({'last_price': d.pop('lastPrice',0.0)})  # 最新成交价
+        d.update({'last_price': d.pop('lastPrice', 0.0)})  # 最新成交价
         d.update({'last_volume': d.pop('lastVolume', 0)})  # 最新成交量
 
         d.update({'open_interest': d.pop('openInterest', 0)})  # 昨持仓量
 
         d.update({'open_interest': d.pop('tradingDay', get_trading_date())})
 
-
         # 常规行情
         d.update({'open_price': d.pop('openPrice', 0)})  # 今日开盘价
         d.update({'high_price': d.pop('highPrice', 0)})  # 今日最高价
@@ -1922,7 +1923,7 @@ class TqMdApi():
         )
         if symbol.endswith('99') and tick.ask_price_1 == 0.0 and tick.bid_price_1 == 0.0:
             price_tick = quote['price_tick']
-            if isinstance(price_tick, float) or isinstance(price_tick,int):
+            if isinstance(price_tick, float) or isinstance(price_tick, int):
                 tick.ask_price_1 = tick.last_price + price_tick
                 tick.ask_volume_1 = 1
                 tick.bid_price_1 = tick.last_price - price_tick
@@ -1960,7 +1961,7 @@ class TqMdApi():
     def query_contracts(self) -> None:
         """"""
         self.all_instruments = [
-            v for k, v in self.api._data["quotes"].items() if v["expired"] == False
+            v for k, v in self.api._data["quotes"].items() if not v["expired"]
         ]
         for contract in self.all_instruments:
             if (

vnpy/gateway/sopt/sopt_gateway.py

@@ -71,7 +71,6 @@ from vnpy.trader.utility import (
 )
 from vnpy.trader.event import EVENT_TIMER
 
-
 STATUS_SOPT2VT = {
     THOST_FTDC_OAS_Submitted: Status.SUBMITTING,
     THOST_FTDC_OAS_Accepted: Status.SUBMITTING,
@@ -127,6 +126,7 @@ symbol_name_map = {}
 symbol_size_map = {}
 option_name_map = {}
 
+
 class SoptGateway(BaseGateway):
     """
     VN Trader Gateway for SOPT .
@@ -282,7 +282,7 @@ class SoptGateway(BaseGateway):
         self.td_api.close()
         self.md_api.close()
 
-    #def write_error(self, msg: str, error: dict):
+    # def write_error(self, msg: str, error: dict):
     #    """"""
     #    error_id = error["ErrorID"]
     #    error_msg = error["ErrorMsg"]
@@ -306,7 +306,6 @@ class SoptGateway(BaseGateway):
         self.query_functions = [self.query_account, self.query_position]
         self.event_engine.register(EVENT_TIMER, self.process_timer_event)
 
-
     def on_custom_tick(self, tick):
         """推送自定义合约行情"""
         # 自定义合约行情
@@ -386,9 +385,9 @@ class SoptMdApi(MdApi):
         exchange = symbol_exchange_map.get(symbol, "")
         if not exchange:
             return
-        timestamp = f"{data['TradingDay']} {data['UpdateTime']}.{int(data['UpdateMillisec']/100)}"
+        timestamp = f"{data['TradingDay']} {data['UpdateTime']}.{int(data['UpdateMillisec'] / 100)}"
         dt = datetime.strptime(timestamp, "%Y%m%d %H:%M:%S.%f")
-        #dt = CHINA_TZ.localize(dt)
+        # dt = CHINA_TZ.localize(dt)
 
         tick = TickData(
             symbol=symbol,
@@ -408,6 +407,7 @@ class SoptMdApi(MdApi):
             ask_price_1=data["AskPrice1"],
             bid_volume_1=data["BidVolume1"],
             ask_volume_1=data["AskVolume1"],
+            trading_day=dt.strftime('%Y-%m-%d'),
             gateway_name=self.gateway_name
         )
 
@@ -597,7 +597,8 @@ class SoptTdApi(TdApi):
         )
         self.gateway.on_order(order)
 
-        self.gateway.write_error(f"交易委托失败:{symbol} {order.direction.value} {order.offset.value} {order.price}, {order.volume}", error)
+        self.gateway.write_error(
+            f"交易委托失败:{symbol} {order.direction.value} {order.offset.value} {order.price}, {order.volume}", error)
 
     def onRspOrderAction(self, data: dict, error: dict, reqid: int, last: bool):
         """"""
@@ -621,7 +622,7 @@ class SoptTdApi(TdApi):
         if not data:
             return
 
-        #self.gateway.write_log(print_dict(data))
+        # self.gateway.write_log(print_dict(data))
 
         # Get buffered position object
         key = f"{data['InstrumentID'], data['PosiDirection']}"
@@ -682,16 +683,20 @@ class SoptTdApi(TdApi):
                     # 重新累计多头期权动态权益
                     if position.direction == Direction.LONG:
                         if self.long_option_cost is None:
-                            self.long_option_cost = position.cur_price * position.volume * symbol_size_map.get(position.symbol, 0)
+                            self.long_option_cost = position.cur_price * position.volume * symbol_size_map.get(
+                                position.symbol, 0)
                         else:
-                            self.long_option_cost += position.cur_price * position.volume * symbol_size_map.get(position.symbol, 0)
+                            self.long_option_cost += position.cur_price * position.volume * symbol_size_map.get(
+                                position.symbol, 0)
 
                     # 重新累计空头期权动态权益
                     if position.direction == Direction.SHORT:
                         if self.short_option_cost is None:
-                            self.short_option_cost = position.cur_price * position.volume * symbol_size_map.get(position.symbol, 0)
+                            self.short_option_cost = position.cur_price * position.volume * symbol_size_map.get(
+                                position.symbol, 0)
                         else:
-                            self.short_option_cost += position.cur_price * position.volume * symbol_size_map.get(position.symbol, 0)
+                            self.short_option_cost += position.cur_price * position.volume * symbol_size_map.get(
+                                position.symbol, 0)
 
                 self.gateway.on_position(position)
 
@@ -704,7 +709,7 @@ class SoptTdApi(TdApi):
 
         # 资金差额（权利金，正数，是卖call或卖put，收入权利金; 负数，是买call、买put，付出权利金）
         cash_in = data.get('CashIn')
-        #balance -= cash_in
+        # balance -= cash_in
 
         if self.long_option_cost is not None:
             balance += self.long_option_cost
@@ -717,13 +722,14 @@ class SoptTdApi(TdApi):
             gateway_name=self.gateway_name
         )
 
-        #self.gateway.write_log(print_dict(data))
+        # self.gateway.write_log(print_dict(data))
 
         account.available = data["Available"]
         account.commission = round(float(data['Commission']), 7) + round(float(data['SpecProductCommission']), 7)
         account.margin = round(float(data['CurrMargin']), 7)
         account.close_profit = round(float(data['CloseProfit']), 7) + round(float(data['SpecProductCloseProfit']), 7)
-        account.holding_profit = round(float(data['PositionProfit']), 7) + round(float(data['SpecProductPositionProfit']), 7)
+        account.holding_profit = round(float(data['PositionProfit']), 7) + round(
+            float(data['SpecProductPositionProfit']), 7)
 
         account.trading_day = str(data.get('TradingDay', datetime.now().strftime('%Y-%m-%d')))
         if '-' not in account.trading_day and len(account.trading_day) == 8:
@@ -765,7 +771,7 @@ class SoptTdApi(TdApi):
                 )
                 contract.option_type = OPTIONTYPE_SOPT2VT.get(data["OptionsType"], None)
                 contract.option_strike = data["StrikePrice"]
-                #contract.option_index = str(data["StrikePrice"])
+                # contract.option_index = str(data["StrikePrice"])
                 contract.option_expiry = datetime.strptime(data["ExpireDate"], "%Y%m%d")
                 contract.option_index = get_option_index(
                     contract.option_strike, data["InstrumentCode"]
@@ -806,7 +812,7 @@ class SoptTdApi(TdApi):
 
         timestamp = f"{data['InsertDate']} {data['InsertTime']}"
         dt = datetime.strptime(timestamp, "%Y%m%d %H:%M:%S")
-        #dt = CHINA_TZ.localize(dt)
+        # dt = CHINA_TZ.localize(dt)
 
         order = OrderData(
             accountid=self.userid,

vnpy/gateway/xtp/xtp_gateway.py

@@ -128,12 +128,13 @@ symbol_name_map: Dict[str, str] = {}
 # 代码 <=> 交易所
 symbol_exchange_map: Dict[str, Exchange] = {}
 
+
 @lru_cache()
 def get_vt_symbol_name(vt_symbol):
     return symbol_name_map.get(vt_symbol, vt_symbol.split('.')[0])
 
-class XtpGateway(BaseGateway):
 
+class XtpGateway(BaseGateway):
     default_setting: Dict[str, Any] = {
         "账号": "",
         "密码": "",
@@ -301,7 +302,7 @@ class XtpMdApi(MdApi):
         tick.ask_volume_1, tick.ask_volume_2, tick.ask_volume_3, tick.ask_volume_4, tick.ask_volume_5 = data["ask_qty"][0:5]
 
         tick.name = get_vt_symbol_name(tick.vt_symbol)
-        #self.gateway.prices.update({tick.vt_symbol: tick.last_price})
+        # self.gateway.prices.update({tick.vt_symbol: tick.last_price})
         self.gateway.on_tick(tick)
 
     def onSubOrderBook(self, data: dict, error: dict, last: bool) -> None:
@@ -364,14 +365,14 @@ class XtpMdApi(MdApi):
             min_volume=data["buy_qty_unit"],
             gateway_name=self.gateway_name
         )
-        #if contract.symbol.startswith('1230'):
+        # if contract.symbol.startswith('1230'):
         #    self.gateway.write_log(msg=f'合约信息:{contract.__dict__}')
         self.gateway.on_contract(contract)
 
         # 更新最新价
         pre_close_price = float(data["pre_close_price"])
         vt_symbol = contract.vt_symbol
-        if vt_symbol not in self.gateway.prices and pre_close_price>0:
+        if vt_symbol not in self.gateway.prices and pre_close_price > 0:
             self.gateway.prices.update({vt_symbol: pre_close_price})
 
         # 更新 symbol <=> 中文名称映射
@@ -573,7 +574,7 @@ class XtpTdApi(TdApi):
             direction, offset = DIRECTION_STOCK_XTP2VT[data["side"]]
 
         trade_time = str(data["trade_time"])
-        dt = datetime.strptime(trade_time,'%Y%m%d%H%M%S%f')
+        dt = datetime.strptime(trade_time, '%Y%m%d%H%M%S%f')
 
         trade = TradeData(
             accountid=self.userid,
@@ -634,10 +635,10 @@ class XtpTdApi(TdApi):
             pnl=data["unrealized_pnl"],
             yd_volume=data["yesterday_position"],
             gateway_name=self.gateway_name,
-            cur_price=self.gateway.prices.get(vt_symbol,0)
+            cur_price=self.gateway.prices.get(vt_symbol, 0)
         )
         if position.volume > 0 and position.cur_price > 0:
-            position.pnl = round(position.volume * (position.cur_price - position.price),2)
+            position.pnl = round(position.volume * (position.cur_price - position.price), 2)
         self.gateway.on_position(position)
 
         # 如果持仓>0 获取持仓对应的当前最新价
@@ -648,7 +649,7 @@ class XtpTdApi(TdApi):
 
     def update_security_asset(self):
         """更新资产净值"""
-        #self.gateway.write_log(f'更新资产净值')
+        # self.gateway.write_log(f'更新资产净值')
         total_asset = 0
         for vt_symbol, volume in self.security_volumes.items():
             price = self.gateway.prices.get(vt_symbol, None)
@@ -662,7 +663,7 @@ class XtpTdApi(TdApi):
                 return
 
             total_asset += volume * price
-            #self.gateway.write_log(f'资产净值 => {total_asset}')
+            # self.gateway.write_log(f'资产净值 => {total_asset}')
 
         self.security_asset = total_asset
 
@@ -761,7 +762,7 @@ class XtpTdApi(TdApi):
                     exchange=exchange,
                     direction=Direction.SHORT,
                     gateway_name=self.gateway_name,
-                    cur_price=self.gateway.prices.get(f'{symbol}.{exchange.value}',0.0)
+                    cur_price=self.gateway.prices.get(f'{symbol}.{exchange.value}', 0.0)
                 )
                 self.short_positions[symbol] = position
 
@@ -860,7 +861,7 @@ class XtpTdApi(TdApi):
                 "market": MARKET_VT2XTP[req.exchange],
                 "price": req.price,
                 "quantity": int(req.volume),
-                "side": DIRECTION_STOCK_VT2XTP.get((req.direction,req.offset), ""),
+                "side": DIRECTION_STOCK_VT2XTP.get((req.direction, req.offset), ""),
                 "price_type": ORDERTYPE_VT2XTP[req.type],
                 "business_type": BUSINESS_VT2XTP[req.offset]
             }

vnpy/trader/constant.py

@@ -165,6 +165,7 @@ class Interval(Enum):
     WEEKLY = "w"
     RENKO = 'renko'
 
+
 class StockType(Enum):
     """股票类型（tdx）"""
     STOCK = 'stock_cn'  # 股票

vnpy/trader/converter.py

@@ -177,7 +177,7 @@ class PositionHolding:
                 self.short_yd -= trade.volume
             # 多，平仓 =》 减少
             elif trade.offset == Offset.CLOSE:
-                if trade.exchange in [Exchange.SHFE, Exchange.INE] and self.short_yd >=trade.volume:
+                if trade.exchange in [Exchange.SHFE, Exchange.INE] and self.short_yd >= trade.volume:
                     self.short_yd -= trade.volume
                 else:
                     self.short_td -= trade.volume
@@ -196,7 +196,7 @@ class PositionHolding:
             elif trade.offset == Offset.CLOSEYESTERDAY:
                 self.long_yd -= trade.volume
             elif trade.offset == Offset.CLOSE:
-                if trade.exchange in [Exchange.SHFE, Exchange.INE] and self.long_yd >=trade.volume:
+                if trade.exchange in [Exchange.SHFE, Exchange.INE] and self.long_yd >= trade.volume:
                     self.long_yd -= trade.volume
                 else:
                     self.long_td -= trade.volume

vnpy/trader/engine.py

@@ -568,7 +568,7 @@ class OmsEngine(BaseEngine):
             return Direction.LONG
         return direction
 
-    def create_spd_position_event(self, symbol, direction ):
+    def create_spd_position_event(self, symbol, direction):
         """创建自定义品种对持仓信息"""
         spd_symbols = self.symbol_spd_maping.get(symbol, [])
         if not spd_symbols:
@@ -614,7 +614,7 @@ class OmsEngine(BaseEngine):
                 continue
 
             # 根据leg1/leg2的volume ratio，计算出最小spd_volume
-            spd_volume = min(int(leg1_pos.volume/leg1_ratio), int(leg2_pos.volume/leg2_ratio))
+            spd_volume = min(int(leg1_pos.volume / leg1_ratio), int(leg2_pos.volume / leg2_ratio))
             if spd_volume <= 0 and spd_pos is None:
                 continue
 
@@ -766,6 +766,7 @@ class OmsEngine(BaseEngine):
         """根据主动腿/被动腿symbol，获取自定义套利对的symbol list"""
         return self.symbol_spd_maping.get(symbol, [])
 
+
 class CustomContract(object):
     """
     定制合约

vnpy/trader/gateway.py

@@ -334,7 +334,7 @@ class LocalOrderManager:
     Management tool to support use local order id for trading.
     """
 
-    def __init__(self, gateway: BaseGateway, order_prefix: str = "", order_rjust:int = 8):
+    def __init__(self, gateway: BaseGateway, order_prefix: str = "", order_rjust: int = 8):
         """"""
         self.gateway: BaseGateway = gateway
 

vnpy/trader/object.py

@@ -209,6 +209,7 @@ class TradeData(BaseData):
         self.vt_tradeid = f"{self.gateway_name}.{self.tradeid}"
         self.vt_accountid = f"{self.gateway_name}.{self.accountid}"
 
+
 @dataclass
 class PositionData(BaseData):
     """
@@ -238,6 +239,7 @@ class PositionData(BaseData):
         if self.name == "":
             self.name = self.vt_symbol
 
+
 @dataclass
 class AccountData(BaseData):
     """

vnpy/trader/ui/widget.py

@@ -9,7 +9,6 @@ from copy import copy
 
 from PyQt5 import QtCore, QtGui, QtWidgets
 
-
 from vnpy.event import Event, EventEngine
 from ..constant import Direction, Exchange, Offset, OrderType
 from ..engine import MainEngine
@@ -628,7 +627,7 @@ class TradingWidget(QtWidgets.QWidget):
             [order_type.value for order_type in OrderType])
 
         double_validator = QtGui.QDoubleValidator()
-        #double_validator.setBottom(0)
+        # double_validator.setBottom(0)
 
         self.price_line = QtWidgets.QLineEdit()
         self.price_line.setValidator(double_validator)

vnpy/trader/util_wechat.py

@@ -14,15 +14,16 @@ import requests
 import sys
 import traceback
 from datetime import datetime
-from functools import wraps
+# from functools import wraps
 from vnpy.trader.utility import print_dict
+
 global wechat_lock
 wechat_lock = Lock()
 
 # 这里可以设置UIDS, 多个人可同时接收
-UIDS = ['UID_kZguGPBQPWn41Ni9FK4CgPts2KjU']
+UIDS = ['UID_kZguGPBQPWn41Ni9FK4CgPts2Kjx']
 
-APP_TOKEN = 'AT_aDuiQu41dmAQV2vUMXOaaTDrWyhKJN2z'
+APP_TOKEN = 'AT_aDuiQu41dmAQV2vUMXOaaTDrWyhKJN2x'
 
 
 class wechat_thread(Thread):
@@ -42,7 +43,7 @@ class wechat_thread(Thread):
         self.topic_ids = topic_ids
         self.url = url
         self.lock = wechat_lock
-        self.app_token = app_token if len(app_token) > 0 else APP_TOKEN
+        self.app_token = app_token if app_token is not None and len(app_token) > 0 else APP_TOKEN
 
     def run(self):
         if self.content is None or len(self.content) == 0:
@@ -61,7 +62,7 @@ class wechat_thread(Thread):
             if not response.get('success', False):
                 print(response)
         except Exception as e:
-            print("{} wechat_thread sent failed! ex:{},trace:{}".format(datetime.now(), str(e), traceback.format_exc()),
+            print("{} 微信发送异常 ex:{},trace:{}".format(datetime.now(), str(e), traceback.format_exc()),
                   file=sys.stderr)
             return
 
@@ -84,8 +85,9 @@ def send_wx_msg(*args, **kwargs):
 
     try:
         # 如果存在华富资产的微信模块，则使用
-        from vnpy.trader.util_huafu import sendWeChatMsg, WECHAT_URL,WECHAT_GROUP, WECHAT_LEVEL_INFO, WECHAT_MSG_TYPE_ALERT
+        from vnpy.trader.util_huafu import sendWeChatMsg, WECHAT_URL, WECHAT_GROUP, WECHAT_LEVEL_INFO, \
-        target=kwargs.get('target','XXX')
+            WECHAT_MSG_TYPE_ALERT
+        target = kwargs.get('target', 'XXX')
         sendWeChatMsg(content=content,
                       target=WECHAT_GROUP.get(target),
                       url=kwargs.get('url', WECHAT_URL),
@@ -93,6 +95,7 @@ def send_wx_msg(*args, **kwargs):
                       msg_type=kwargs.get('msg_type', WECHAT_MSG_TYPE_ALERT))
         return
     except Exception as ex:
+        print(f'发送微信异常:{str(ex)}', file=sys.stderr)
         pass
 
     # dict => str, none str => str
@@ -114,6 +117,7 @@ def send_wx_msg(*args, **kwargs):
     # t.run()
     t.start()
 
+
 if __name__ == '__main__':
     text = u'微信测试标题!!!!\n第二行'
 

vnpy/trader/utility.py

@@ -163,6 +163,7 @@ def get_trading_date(dt: datetime = None):
     else:
         return dt.strftime('%Y-%m-%d')
 
+
 def extract_vt_symbol(vt_symbol: str) -> Tuple[str, Exchange]:
     """
     :return: (symbol, exchange)
@@ -328,6 +329,7 @@ def get_digits(value: float) -> int:
     else:
         return 0
 
+
 def print_dict(d: dict):
     """返回dict的字符串类型"""
     return '\n'.join([f'{key}:{d[key]}' for key in sorted(d.keys())])
@@ -356,6 +358,7 @@ def get_csv_last_dt(file_name, dt_index=0, dt_format='%Y-%m-%d %H:%M:%S', line_l
                     return None
         return None
 
+
 def append_data(file_name: str, dict_data: dict, field_names: list = [], auto_header=True, encoding='utf8'):
     """
     添加数据到csv文件中
@@ -410,11 +413,11 @@ def import_module_by_str(import_module_name):
             mod = import_module(loaded_modules)
 
             comp = modules[-1]
-            #if not hasattr(mod, comp):
+            # if not hasattr(mod, comp):
             # loaded_modules = '.'.join([loaded_modules, comp])
             print('realod {}'.format(loaded_modules))
             mod = reload(mod)
-            #else:
+            # else:
             #    print('from {} import {}'.format(loaded_modules, comp))
             comp = getattr(mod, comp)
             return comp
@@ -669,6 +672,7 @@ def load_data_from_pkb2(pkb2_file_name):
         data = pickle.load(f)
         return data
 
+
 def save_data_to_pkb2(data: Any, pkb2_file_name):
     """保存本地缓存的配置地址信息"""
     with bz2.BZ2File(pkb2_file_name, 'wb') as f: