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[一般更新] Flask8检查代码,套利模板，股票下载更新，天勤更新

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This commit is contained in:
msincenselee 2020-10-10 14:14:53 +08:00
parent 74d156b3ae
commit b32ca3b9d5
30 changed files with 382 additions and 323 deletions
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11
prod/jobs/refill_bao_stock_bars.py
View File

@ -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')

4
requirements.txt
View File

@ -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

2
vnpy/app/cta_strategy_pro/back_testing.py
View File

@ -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,

6
vnpy/app/cta_strategy_pro/portfolio_testing.py
View File

@ -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

4
vnpy/app/cta_strategy_pro/spread_testing.py
View File

@ -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

47
vnpy/app/cta_strategy_pro/template_spread.py
View File

@ -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:
grid.order_status = False
#if len(grid.order_ids) == 0:
# 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:
grid.order_status = False
#if not grid.order_ids:
# 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:
grid.order_status = False
#if not grid.order_ids:
# 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:
grid.order_status = False
#if len(grid.order_ids) == 0:
# 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:
order_grid.order_status = False
#if len(order_grid.order_ids) == 0:
# 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,

4
vnpy/app/cta_strategy_pro/ui/widget.py
View File

@ -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)

1
vnpy/app/risk_manager/ui/widget.py
View File

@ -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)

2
vnpy/data/renko/config.py
View File

@ -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'

11
vnpy/data/stock/stock_base.py
View File

@ -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"""

10
vnpy/data/tdx/tdx_stock_data.py
View File

@ -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
@ -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(
['code', 'sse'], drop=False) for i in range(int(self.api.get_security_count(j) / 1000) + 1)], axis=0) for j
[pd.concat(
[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"')
@ -575,7 +576,8 @@ 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 = []

20
vnpy/data/tdx/test_tdx_future.py
View File

@ -18,12 +18,12 @@ t2 = FakeStrategy()
api_01 = TdxFutureData(strategy=t1)
# 获取所有市场信息
markets = api_01.get_markets()
str_markets = json.dumps(markets, indent=1, ensure_ascii=False)
print(u'{}'.format(str_markets))
#markets = api_01.get_markets()
#str_markets = json.dumps(markets, indent=1, ensure_ascii=False)
#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')
for r in result[0:10] + result[-10:]:
print(r)
#ret,result = api_01.get_transaction_data('NI99')
#for r in result[0:10] + result[-10:]:
# print(r)
# 获取历史分时数据
# ret, result = api_01.get_history_transaction_data('RB99', '20190109')

6
vnpy/data/tq/downloader.py
View File

@ -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

6
vnpy/data/tq/tianqin_data.py
View File

@ -37,6 +37,7 @@ tick_csv_header = [
"bid_price5", "bid_volume5", "ask_price5", "ask_volume5"
]
@lru_cache(maxsize=9999)
def to_vt_symbol(tq_symbol: str) -> str:
""""""
@ -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"""
@ -352,7 +352,3 @@ if __name__ == '__main__':
bars = tqsdk.get_bars(vt_symbol='ni2011.SHFE')
print(bars[0])
print(bars[-1])

10
vnpy/gateway/ctp/ctp_gateway.py
View File

@ -180,6 +180,7 @@ TQ2VT_TYPE = {
"OPTION": Product.OPTION,
}
@lru_cache(maxsize=9999)
def vt_to_tq_symbol(symbol: str, exchange: Exchange) -> str:
"""
@ -544,6 +545,7 @@ class CtpGateway(BaseGateway):
tick = copy(tick)
combiner.on_tick(tick)
class CtpMdApi(MdApi):
""""""
@ -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.holding_profit = round(float(data['PositionProfit']), 7)
account.close_profit = round(float(data['CloseProfit']), 7) + round(
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(
@ -1805,7 +1810,6 @@ class SubMdApi():
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

20
vnpy/gateway/pb/pb_gateway.py
View File

@ -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):
@ -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
@ -2069,7 +2072,7 @@ class TqMdApi():
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)))

7
vnpy/gateway/rohon/rohon_gateway.py
View File

@ -175,6 +175,7 @@ TQ2VT_TYPE = {
"OPTION": Product.OPTION,
}
@lru_cache(maxsize=9999)
def vt_to_tq_symbol(symbol: str, exchange: Exchange) -> str:
"""
@ -537,6 +538,7 @@ class RohonGateway(BaseGateway):
tick = copy(tick)
combiner.on_tick(tick)
class RohonMdApi(MdApi):
""""""
@ -1762,7 +1764,7 @@ class SubMdApi():
return d
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:
@ -1776,7 +1778,6 @@ class SubMdApi():
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
@ -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 (

22
vnpy/gateway/sopt/sopt_gateway.py
View File

@ -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 .
@ -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
@ -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):
""""""
@ -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)
@ -723,7 +728,8 @@ class SoptTdApi(TdApi):
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:

3
vnpy/gateway/xtp/xtp_gateway.py
View File

@ -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": "",

1
vnpy/trader/constant.py
View File

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

1
vnpy/trader/engine.py
View File

@ -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

2
vnpy/trader/object.py
View File

@ -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):
"""

1
vnpy/trader/ui/widget.py
View File

@ -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

16
vnpy/trader/util_wechat.py
View File

@ -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
@ -84,7 +85,8 @@ 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, \
WECHAT_MSG_TYPE_ALERT
target = kwargs.get('target', 'XXX')
sendWeChatMsg(content=content,
target=WECHAT_GROUP.get(target),
@ -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'

4
vnpy/trader/utility.py
View File

@ -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
@ -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: