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This commit is contained in:
msincenselee 2016-02-14 13:03:41 +08:00
parent 843814bd83
commit b845966b2a
10 changed files with 146 additions and 30 deletions
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16
vn.trader/ctaConstant.py
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@ -6,10 +6,24 @@ CTAORDER_SELL = u'卖平'
CTAORDER_SHORT = u'卖开'
CTAORDER_COVER = u'买平'
CTAORDER_OPEN_REJECT = u'开单拒绝'
CTAORDER_OPEN_FAIL = u'开单失败'
CTAORDER_CLOSE_FAIL = u'平单失败'
# 本地停止单状态
STOPORDER_WAITING = u'等待中'
STOPORDER_CANCELLED = u'已撤销'
STOPORDER_TRIGGERED = u'已触发'
# 本地停止单前缀
STOPORDERPREFIX = 'CtaStopOrder.'
STOPORDERPREFIX = 'CtaStopOrder.'
# 各类商品所在市场
NIGHT_MARKET_SQ1 = {'AU': 0, 'AG': 0}
NIGHT_MARKET_SQ2 = {'CU': 0, 'PB': 0, 'AL': 0, 'ZN': 0, 'FU': 0, 'BU': 0, 'RB': 0, 'WR': 0, 'HC': 0}
NIGHT_MARKET_SQ3 = {'RU': 0}
NIGHT_MARKET_ZZ = {'TA': 0, 'JR': 0, 'OI': 0, 'RO': 0, 'PM': 0, 'WT': 0, 'WS': 0, 'WH': 0, 'CF': 0, 'SR': 0, 'FG': 0,
'ME': 0, 'MA': 0, 'RS': 0, 'RM': 0, 'TC': 0, 'RI': 0, 'ER': 0}
NIGHT_MARKET_DL = {'V': 0, 'L': 0, 'BB': 0, 'I': 0, 'FB': 0, 'C': 0, 'PP': 0, 'A': 0, 'B': 0, 'M': 0, 'Y': 0, 'P': 0,
'JM': 0, 'J': 0}

9
vn.trader/ctaEngine.py
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@ -153,15 +153,20 @@ class CtaEngine(object):
# ----------------------------------------------------------------------
def cancelStopOrder(self, stopOrderID):
"""撤销停止单"""
"""撤销停止单
Incense Li modified 20160124：
增加返回True 和 False
"""
# 1.检查停止单是否存在
if stopOrderID in self.workingStopOrderDict:
so = self.workingStopOrderDict[stopOrderID]
so.status = STOPORDER_CANCELLED # STOPORDER_WAITING =》STOPORDER_CANCELLED
del self.workingStopOrderDict[stopOrderID] # 删除
self.writeCtaLog(u'撤销停止单:{0}成功.'.format(stopOrderID))
return True
else:
self.writeCtaLog(u'撤销停止单:{0}失败，不存在Id.'.format(stopOrderID))
return False
# ----------------------------------------------------------------------
def processStopOrder(self, tick):
@ -240,6 +245,8 @@ class CtaEngine(object):
# 4.触发策略的委托推送事件方法
strategy.onOrder(order)
else:
self.writeCtaLog(u'当前订单不在字典中:OrderId:{0}'.format(order.vtOrderID))
# ----------------------------------------------------------------------

10
vn.trader/ctaObject.py
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@ -1,6 +1,6 @@
# encoding: UTF-8
from vtConstant import EMPTY_UNICODE, EMPTY_STRING, EMPTY_FLOAT, EMPTY_INT
from vtConstant import EMPTY_UNICODE, EMPTY_STRING, EMPTY_FLOAT, EMPTY_INT,COLOR_EQUAL
########################################################################
@ -43,6 +43,14 @@ class CtaBarData(object):
self.volume = EMPTY_INT # 成交量
self.openInterest = EMPTY_INT # 持仓量
self.color = COLOR_EQUAL # k 线颜色,COLOR_RED，COLOR_BLUE
self.traded = False
self.tradeStatus = EMPTY_STRING # 当前bar的交易情况: CTAORDER_BUY 、CTAORDER_SELL、
# CTAORDER_SHORT 、CTAORDER_COVER 、 CTAORDER_OPEN_REJECT 、
# CTAORDER_OPEN_FAIL 、CTAORDER_CLOSE_FAIL
self.seconds = EMPTY_INT # 当前Bar的秒数（针对RenkoBar)
########################################################################
class CtaTickData(object):

14
vn.trader/ctaStrategies.py
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@ -12,8 +12,18 @@
from ctaStrategyTemplate import TestStrategy
from ctaDataRecorder import DataRecorder
from ctaStrategy02 import Strategy02
from ctaStrategy03 import Strategy03
from ctaStrategy04 import Strategy04
from ctaStrategy05 import Strategy05
from ctaStrategy06 import Strategy06
strategyClassDict = {}
strategyClassDict['TestStrategy'] = TestStrategy
strategyClassDict['DataRecorder'] = DataRecorder
#strategyClassDict['TestStrategy'] = TestStrategy
#strategyClassDict['DataRecorder'] = DataRecorder
strategyClassDict['Strategy02'] = Strategy02
strategyClassDict['Strategy03'] = Strategy03
strategyClassDict['Strategy04'] = Strategy04
strategyClassDict['Strategy05'] = Strategy05
strategyClassDict['Strategy06'] = Strategy06

71
vn.trader/ctaStrategyTemplate.py
View File

@ -4,6 +4,7 @@ from vtConstant import *
from ctaConstant import *
from datetime import datetime
########################################################################
class CtaStrategyTemplate(object):
@ -26,12 +27,21 @@ class CtaStrategyTemplate(object):
self.vtSymbol = EMPTY_STRING # 交易的合约vt系统代码 AU1606，SR605
self.symbol = EMPTY_STRING # 交易的合约代码（除郑商所外与vtSymbol一致，一般为两位代码+两位年份+两位月份）AU1606，SR1605
self.shortSymbol = EMPTY_STRING # 合约类型代码
self.tickDbName = EMPTY_STRING # tick数据库名称
self.barDbName = EMPTY_STRING # bar数据库名称
self.trading = False # 控制是否启动交易
# 委托单状态
self.entrust = 0 # 0 表示没有委托，1 表示存在多仓的委托，-1 表示存在空仓的委托
# 保存委托单编号和相关委托单的字典
# key为委托单编号
# value为该合约相关的委托单
self.uncompletedOrders = {}
#self.init() # 初始化策略 Move to inhert strategy
#if setting:
# self.setParam(setting)
@ -72,7 +82,7 @@ class CtaStrategyTemplate(object):
raise NotImplementedError
# ----------------------------------------------------------------------
def buy(self, price, volume, stop=False):
def buy(self, price, volume, stop=False,orderTime=datetime.now()):
"""买开"""
# 如果stop为True，则意味着发本地停止单
if self.trading:
@ -81,13 +91,24 @@ class CtaStrategyTemplate(object):
orderID = self.ctaEngine.sendStopOrder(self.vtSymbol, CTAORDER_BUY, price, volume, self)
else:
self.writeCtaLog(u'Buy买开,Price:{0},Volume:{1}'.format(price, volume))
orderID = self.ctaEngine.sendOrder(self.vtSymbol, CTAORDER_BUY, price, volume, self)
if orderID:
self.entrust = 1 # 委托状态
self.uncompletedOrders[orderID] = {'DIRECTION': DIRECTION_LONG,
'OFFSET': OFFSET_OPEN,
'Volume': volume,
'Price': price,
'OrderTime': orderTime
}
return orderID
else:
return None
# ----------------------------------------------------------------------
def sell(self, price, volume, stop=False):
def sell(self, price, volume, stop=False, orderTime=datetime.now()):
"""卖平"""
# 如果stop为True，则意味着发本地停止单
if self.trading:
@ -96,13 +117,25 @@ class CtaStrategyTemplate(object):
orderID = self.ctaEngine.sendStopOrder(self.vtSymbol, CTAORDER_SELL, price, volume, self)
else:
self.writeCtaLog(u'sell卖平,Price:{0},Volume:{1}'.format(price, volume))
orderID = self.ctaEngine.sendOrder(self.vtSymbol, CTAORDER_SELL, price, volume, self)
orderID = self.ctaEngine.sendOrder(self.vtSymbol, CTAORDER_SELL, price, volume, self)
if orderID:
self.entrust = -1 # 置当前策略的委托单状态
# 记录委托单
self.uncompletedOrders[orderID] = {'DIRECTION': DIRECTION_SHORT,
'OFFSET': OFFSET_CLOSE,
'Volume': volume,
'Price': price,
'OrderTime': orderTime
}
return orderID
else:
return None
# ----------------------------------------------------------------------
def short(self, price, volume, stop=False):
def short(self, price, volume, stop=False, orderTime=datetime.now()):
"""卖开"""
# 如果stop为True，则意味着发本地停止单
if self.trading:
@ -111,13 +144,23 @@ class CtaStrategyTemplate(object):
orderID = self.ctaEngine.sendStopOrder(self.vtSymbol, CTAORDER_SHORT, price, volume, self)
else:
self.writeCtaLog(u'short卖开,Price:{0},Volume:{1}'.format(price, volume))
orderID = self.ctaEngine.sendOrder(self.vtSymbol, CTAORDER_SHORT, price, volume, self)
orderID = self.ctaEngine.sendOrder(self.vtSymbol, CTAORDER_SHORT, price, volume, self)
if orderID:
self.entrust = -1 # 委托状态
self.uncompletedOrders[orderID] = {'DIRECTION': DIRECTION_SHORT,
'OFFSET': OFFSET_OPEN,
'Volume': volume,
'Price': price,
'OrderTime': orderTime
}
return orderID
else:
return None
# ----------------------------------------------------------------------
def cover(self, price, volume, stop=False):
def cover(self, price, volume, stop=False,orderTime=datetime.now()):
"""买平"""
if self.trading:
# 如果stop为True，则意味着发本地停止单
@ -125,9 +168,20 @@ class CtaStrategyTemplate(object):
self.writeCtaLog(u'本地停止单，cover，买平,Price:{0},Volume:{1}'.format(price, volume))
orderID = self.ctaEngine.sendStopOrder(self.vtSymbol, CTAORDER_COVER, price, volume, self)
else:
self.writeCtaLog(u'Short卖开,cover:{0},Volume:{1}'.format(price, volume))
self.writeCtaLog(u'Cover买平,Price:{0},Volume:{1}'.format(price, volume))
orderID = self.ctaEngine.sendOrder(self.vtSymbol, CTAORDER_COVER, price, volume, self)
if orderID:
self.entrust = -1 # 置当前策略的委托单状态
# 记录委托单
self.uncompletedOrders[orderID] = {'DIRECTION': DIRECTION_SHORT,
'OFFSET': OFFSET_CLOSE,
'Volume': volume,
'Price': price,
'OrderTime': orderTime
}
orderID = self.ctaEngine.sendOrder(self.vtSymbol, CTAORDER_COVER, price, volume, self)
return orderID
else:
return None
@ -179,7 +233,6 @@ class CtaStrategyTemplate(object):
def writeCtaLog(self, content):
"""记录CTA日志"""
self.ctaEngine.writeCtaLog(self.name+':'+content)
########################################################################

18
vn.trader/uiMainWindow.py
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@ -85,15 +85,15 @@ class MainWindow(QtGui.QMainWindow):
#connectCtpAction = QtGui.QAction(u'连接CTP', self)
#connectCtpAction.triggered.connect(self.connectCtp)
connectLtsAction = QtGui.QAction(u'连接LTS', self)
connectLtsAction.triggered.connect(self.connectLts)
#connectLtsAction = QtGui.QAction(u'连接LTS', self)
#connectLtsAction.triggered.connect(self.connectLts)
connectWindAction = QtGui.QAction(u'连接Wind', self)
connectWindAction.triggered.connect(self.connectWind)
#connectWindAction = QtGui.QAction(u'连接Wind', self)
#connectWindAction.triggered.connect(self.connectWind)
connectIbAction = QtGui.QAction(u'连接IB', self)
connectIbAction.triggered.connect(self.connectIb)
#connectIbAction = QtGui.QAction(u'连接IB', self)
#connectIbAction.triggered.connect(self.connectIb)
connectDbAction = QtGui.QAction(u'连接数据库', self)
connectDbAction.triggered.connect(self.mainEngine.dbConnect)
@ -125,10 +125,10 @@ class MainWindow(QtGui.QMainWindow):
sysMenu.addAction(connectCtpTestAction)
#sysMenu.addAction(connectCtpAction)
sysMenu.addAction(connectLtsAction)
sysMenu.addAction(connectWindAction)
#sysMenu.addAction(connectLtsAction)
#sysMenu.addAction(connectWindAction)
sysMenu.addAction(connectIbAction)
#sysMenu.addAction(connectIbAction)
sysMenu.addSeparator()
sysMenu.addAction(connectDbAction)

5
vn.trader/vtConstant.py
View File

@ -6,6 +6,11 @@ EMPTY_UNICODE = u''
EMPTY_INT = 0
EMPTY_FLOAT = 0.0
# k线颜色
COLOR_RED = u'Red' # 上升K线
COLOR_BLUE = u'Blue' # 下降K线
COLOR_EQUAL = u'Equal' # 平K线
# 方向常量
DIRECTION_NONE = u'无方向'
DIRECTION_LONG = u'多'

5
vn.trader/vtGateway.py
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@ -2,6 +2,8 @@
import time
from datetime import datetime
from eventEngine import *
from vtConstant import *
@ -342,7 +344,8 @@ class VtLogData(VtBaseData):
"""Constructor"""
super(VtLogData, self).__init__()
self.logTime = time.strftime('%X', time.localtime()) # 日志生成时间
#self.logTime = time.strftime('%X:%f', time.localtime()) # 日志生成时间
self.logTime = datetime.now().strftime('%X:%f')
self.logContent = EMPTY_UNICODE # 日志信息

20
vn.trader/vtMain.py
View File

@ -2,15 +2,23 @@
import sys
import ctypes
#import bsddb3 as bsddb
#sys.modules['bsddb'] = bsddb
from vtEngine import MainEngine
from uiMainWindow import *
from simple_monitor import *
from setup_logger import setup_logger
setup_logger(filename='vnpy.log',debug=True)
# ----------------------------------------------------------------------
def main():
"""主程序入口"""
# 设置底部任务栏图标，win7以下请注释掉
ctypes.windll.shell32.SetCurrentProcessExplicitAppUserModelID('vn.py demo')
ctypes.windll.shell32.SetCurrentProcessExplicitAppUserModelID('vn.py demo')
app = QtGui.QApplication(sys.argv)
app.setWindowIcon(QtGui.QIcon('vnpy.ico'))
@ -19,7 +27,15 @@ def main():
mainEngine = MainEngine()
mainWindow = MainWindow(mainEngine, mainEngine.eventEngine, mainEngine.dataEngine)
mainWindow.showMaximized()
logM = LogMonitor(mainEngine.eventEngine)
ctaLogM = CtaLogMonitor(mainEngine.eventEngine)
errorM = ErrorMonitor(mainEngine.eventEngine)
tradeM = TradeMonitor(mainEngine.eventEngine)
orderM = OrderMonitor(mainEngine.eventEngine, mainEngine)
positionM = PositionMonitor(mainEngine.eventEngine)
accountM = AccountMonitor(mainEngine.eventEngine)
sys.exit(app.exec_())
if __name__ == '__main__':

8
vn.trader/windGateway.py
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@ -6,10 +6,10 @@ Wind Python API的gateway接入
from copy import copy
try:
from WindPy import w
except ImportError:
print u'请先安装WindPy接口'
#try:
# from WindPy import w
#except ImportError:
# print u'请先安装WindPy接口'
from vtGateway import *