[Add]新增Iceberg算法

vnpy/trader/app/algoTrading/algo/icebergAlgo.py

@@ -0,0 +1,199 @@
+# encoding: UTF-8
+
+from __future__ import division
+from collections import OrderedDict
+
+from six import text_type
+
+from vnpy.trader.vtConstant import (DIRECTION_LONG, DIRECTION_SHORT,
+                                    OFFSET_OPEN, OFFSET_CLOSE,
+                                    STATUS_ALLTRADED, STATUS_CANCELLED, STATUS_REJECTED)
+from vnpy.trader.uiQt import QtWidgets, QtGui
+from vnpy.trader.app.algoTrading.algoTemplate import AlgoTemplate
+from vnpy.trader.app.algoTrading.uiAlgoWidget import AlgoWidget
+
+
+
+STATUS_FINISHED = set([STATUS_ALLTRADED, STATUS_CANCELLED, STATUS_REJECTED])
+
+
+########################################################################
+class IcebergAlgo(AlgoTemplate):
+    """冰山算法"""
+    
+    templateName = u'Iceberg 冰山'
+
+    #----------------------------------------------------------------------
+    def __init__(self, engine, setting, algoName):
+        """Constructor"""
+        super(IcebergAlgo, self).__init__(engine, setting, algoName)
+        
+        # 参数，强制类型转换，保证从CSV加载的配置正确
+        self.vtSymbol = str(setting['vtSymbol'])            # 合约代码
+        self.direction = text_type(setting['direction'])    # 买卖
+        self.price = float(setting['price'])                # 价格
+        self.volume = float(setting['volume'])              # 数量
+        self.display = float(setting['display'])            # 挂出数量
+        self.offset = text_type(setting['offset'])          # 开平
+        
+        self.vtOrderID = ''     # 委托号
+        self.tradedVolume = 0   # 成交数量
+        
+        self.subscribe(self.vtSymbol)
+        self.paramEvent()
+        self.varEvent()
+    
+    #----------------------------------------------------------------------
+    def onTick(self, tick):
+        """"""
+        pass
+        
+    #----------------------------------------------------------------------
+    def onTrade(self, trade):
+        """"""
+        self.tradedVolume += trade.volume
+        
+        if self.tradedVolume >= self.volume:
+            self.stop()
+        
+        self.varEvent()
+    
+    #----------------------------------------------------------------------
+    def onOrder(self, order):
+        """"""
+        # 若委托已经结束，则清空委托号
+        if order.status in STATUS_FINISHED:
+            self.vtOrderID = ''
+            
+            self.varEvent()
+        
+    #----------------------------------------------------------------------
+    def onTimer(self):
+        """"""
+        if not self.vtOrderID:
+            orderVolume = self.volume - self.tradedVolume
+            orderVolume = min(orderVolume, self.display)
+            
+            if self.direction == DIRECTION_LONG:
+                self.vtOrderID = self.buy(self.vtSymbol, self.price,
+                                          orderVolume, offset=self.offset)
+            else:
+                self.vtOrderID = self.sell(self.vtSymbol, self.price,
+                                           orderVolume, offset=self.offset)
+            
+            self.varEvent()
+        
+    #----------------------------------------------------------------------
+    def onStop(self):
+        """"""
+        self.writeLog(u'停止算法')
+        self.varEvent()
+        
+    #----------------------------------------------------------------------
+    def varEvent(self):
+        """更新变量"""
+        d = OrderedDict()
+        d[u'算法状态'] = self.active
+        d[u'委托号'] = self.vtOrderID
+        d[u'成交数量'] = self.tradedVolume
+        self.putVarEvent(d)
+    
+    #----------------------------------------------------------------------
+    def paramEvent(self):
+        """更新参数"""
+        d = OrderedDict()
+        d[u'代码'] = self.vtSymbol
+        d[u'方向'] = self.direction
+        d[u'价格'] = self.price
+        d[u'数量'] = self.volume
+        d[u'挂出数量'] = self.display
+        d[u'开平'] = self.offset
+        self.putParamEvent(d)
+
+
+########################################################################
+class IcebergWidget(AlgoWidget):
+    """"""
+    
+    #----------------------------------------------------------------------
+    def __init__(self, algoEngine, parent=None):
+        """Constructor"""
+        super(IcebergWidget, self).__init__(algoEngine, parent)
+        
+        self.templateName = IcebergAlgo.templateName
+        
+    #----------------------------------------------------------------------
+    def initAlgoLayout(self):
+        """"""
+        self.lineVtSymbol = QtWidgets.QLineEdit()
+        
+        self.comboDirection = QtWidgets.QComboBox()
+        self.comboDirection.addItem(DIRECTION_LONG)
+        self.comboDirection.addItem(DIRECTION_SHORT)
+        self.comboDirection.setCurrentIndex(0)
+        
+        doubleValidator = QtGui.QDoubleValidator()
+        doubleValidator.setBottom(0)
+        
+        self.linePrice = QtWidgets.QLineEdit()
+        self.linePrice.setValidator(doubleValidator)
+        
+        self.lineVolume = QtWidgets.QLineEdit()
+        self.lineVolume.setValidator(doubleValidator)
+        
+        self.lineDisplay = QtWidgets.QLineEdit()
+        self.lineDisplay.setValidator(doubleValidator)        
+        
+        self.comboOffset = QtWidgets.QComboBox()
+        self.comboOffset.addItems(['', OFFSET_OPEN, OFFSET_CLOSE])
+        self.comboOffset.setCurrentIndex(0)
+        
+        buttonStart = QtWidgets.QPushButton(u'启动')
+        buttonStart.clicked.connect(self.addAlgo)
+        buttonStart.setMinimumHeight(100)
+        
+        Label = QtWidgets.QLabel
+        
+        grid = QtWidgets.QGridLayout()
+        grid.addWidget(Label(u'代码'), 0, 0)
+        grid.addWidget(self.lineVtSymbol, 0, 1)
+        grid.addWidget(Label(u'方向'), 1, 0)
+        grid.addWidget(self.comboDirection, 1, 1)
+        grid.addWidget(Label(u'价格'), 2, 0)
+        grid.addWidget(self.linePrice, 2, 1)
+        grid.addWidget(Label(u'数量'), 3, 0)
+        grid.addWidget(self.lineVolume, 3, 1)
+        grid.addWidget(Label(u'挂出数量'), 4, 0)
+        grid.addWidget(self.lineDisplay, 4, 1)        
+        grid.addWidget(Label(u'开平'), 5, 0)
+        grid.addWidget(self.comboOffset, 5, 1)
+        
+        return grid
+    
+    #----------------------------------------------------------------------
+    def getAlgoSetting(self):
+        """"""
+        setting = OrderedDict()
+        setting['templateName'] = StopAlgo.templateName
+        setting['vtSymbol'] = str(self.lineVtSymbol.text())
+        setting['direction'] = text_type(self.comboDirection.currentText())
+        setting['offset'] = text_type(self.comboOffset.currentText())
+        
+        priceText = self.linePrice.text()
+        if not priceText:
+            return
+        setting['price'] = float(priceText)
+        
+        volumeText = self.lineVolume.text()
+        if not volumeText:
+            return
+        setting['volume'] = float(volumeText)
+        
+        displayText = self.lineDisplay.text()
+        if not displayText:
+            return
+        setting['display'] = float(displayText)        
+        
+        return setting
+    
+