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[bug fix] 币安合约重复委托返回的bug。

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This commit is contained in:
msincenselee 2020-04-08 17:01:54 +08:00
parent 564b0b8c0a
commit b6a277ac4d
4 changed files with 18 additions and 8 deletions
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2
vnpy/app/cta_crypto/back_testing.py
View File

@ -385,7 +385,7 @@ class BackTestingEngine(object):
def get_exchange(self, symbol: str):
return self.symbol_exchange_dict.get(symbol, Exchange.LOCAL)
def get_position(self, vt_symbol: str, direction: Direction, gateway_name: str = ''):
def get_position(self, vt_symbol: str, direction: Direction = Direction.NET, gateway_name: str = ''):
""" 查询合约在账号的持仓"""
if not gateway_name:
gateway_name = self.gateway_name

12
vnpy/app/cta_crypto/template.py
View File

@ -20,6 +20,7 @@ from .base import StopOrder
from vnpy.component.cta_grid_trade import CtaGrid, CtaGridTrade
from vnpy.component.cta_position import CtaPosition
class CtaTemplate(ABC):
"""CTA策略模板"""
@ -853,6 +854,10 @@ class CtaFutureTemplate(CtaTemplate):
grid = old_order.get('grid', None)
pre_status = old_order.get('status', Status.NOTTRADED)
if pre_status == Status.CANCELLED:
self.write_log(f'当前状态已经是{Status.CANCELLED}，不做调整处理')
return
old_order.update({'status': Status.CANCELLED})
self.write_log(u'委托单状态:{}=>{}'.format(pre_status, old_order.get('status')))
if grid:
@ -891,6 +896,10 @@ class CtaFutureTemplate(CtaTemplate):
grid = old_order.get('grid', None)
pre_status = old_order.get('status', Status.NOTTRADED)
if pre_status == Status.CANCELLED:
self.write_log(f'当前状态已经是{Status.CANCELLED}，不做调整处理')
return
old_order.update({'status': Status.CANCELLED})
self.write_log(u'委托单状态:{}=>{}'.format(pre_status, old_order.get('status')))
if grid:
@ -1297,7 +1306,8 @@ class CtaFutureTemplate(CtaTemplate):
return
self.account_pos = self.cta_engine.get_position(vt_symbol=self.vt_symbol, direction=Direction.NET)
if self.account_pos:
self.write_log(f'账号{self.vt_symbol}持仓:{self.account_pos.volume}, 冻结:{self.account_pos.frozen}, 盈亏:{self.account_pos.pnl}')
self.write_log(
f'账号{self.vt_symbol}持仓:{self.account_pos.volume}, 冻结:{self.account_pos.frozen}, 盈亏:{self.account_pos.pnl}')
up_grids_info = ""
for grid in list(self.gt.up_grids):

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

@ -1263,7 +1263,7 @@ class BackTestingEngine(object):
if v.long_td > 0:
self.write_log(u'调整多单持仓:今仓{}=> 0 昨仓{} => 昨仓:{}'.format(v.long_td, v.long_yd, v.long_pos))
v.long_td = 0
v.longYd = v.long_pos
v.long_yd = v.long_pos
if v.short_td > 0:
self.write_log(u'调整空单持仓:今仓{}=> 0 昨仓{} => 昨仓:{}'.format(v.short_td, v.short_yd, v.short_pos))

6
vnpy/component/cta_line_bar.py
View File

@ -635,7 +635,7 @@ class CtaLineBar(object):
# 波段买卖指标
self.line_bd_fast = [] # 波段快线
self.line_bd_slow = [] # 波段慢线
self.cur_bd_cross = 0 # 当前波段快线慢线金叉死叉， +金叉计算， - 死叉技术
self.cur_bd_count = 0 # 当前波段快线慢线金叉死叉， +金叉计算， - 死叉技术
def set_params(self, setting: dict = {}):
"""设置参数"""
@ -4029,9 +4029,9 @@ class CtaLineBar(object):
# 判断金叉/死叉
if len(self.line_bd_fast) > 2 and len(self.line_bd_slow) > 2:
if self.line_bd_fast[-1] > self.line_bd_slow[-1]:
self.cur_bd_cross = max(1, self.cur_bd_cross + 1)
self.cur_bd_count = max(1, self.cur_bd_count + 1)
elif self.line_bd_fast[-1] < self.line_bd_slow[-1]:
self.cur_bd_cross = min(-1, self.cur_bd_cross -1)
self.cur_bd_count = min(-1, self.cur_bd_count - 1)
def write_log(self, content):
"""记录CTA日志"""