From c2ed8bfba1000c663101cda4a0d2a87d0a1167c3 Mon Sep 17 00:00:00 2001 From: msincenselee Date: Thu, 25 Nov 2021 10:24:14 +0800 Subject: [PATCH] [bug fix] --- vnpy/api/rest/rest_client.py | 6 ++++-- vnpy/app/cta_stock/template.py | 16 +++++++++------- vnpy/component/cta_line_bar.py | 2 +- vnpy/gateway/xtp/xtp_gateway.py | 5 +++-- vnpy/trader/object.py | 2 +- vnpy/trader/ui/kline/kline.py | 14 ++++++++++++++ vnpy/trader/ui/kline/ui_snapshot.py | 17 ++++++++++++++++- vnpy/trader/utility.py | 3 ++- 8 files changed, 50 insertions(+), 15 deletions(-) diff --git a/vnpy/api/rest/rest_client.py b/vnpy/api/rest/rest_client.py index 4e9ebe8c..29e2a9cf 100644 --- a/vnpy/api/rest/rest_client.py +++ b/vnpy/api/rest/rest_client.py @@ -524,8 +524,10 @@ class RestClient(object): client=self, ) request = self.sign(request) - - url = self.make_full_url(request.path) + if request.path.startswith('http'): + url = request.path + else: + url = self.make_full_url(request.path) response = requests.request( request.method, diff --git a/vnpy/app/cta_stock/template.py b/vnpy/app/cta_stock/template.py index 34ded569..d72ceada 100644 --- a/vnpy/app/cta_stock/template.py +++ b/vnpy/app/cta_stock/template.py @@ -1101,21 +1101,23 @@ class CtaStockTemplate(CtaTemplate): acc_symbol_pos = self.cta_engine.get_position( vt_symbol=ordering_grid.vt_symbol, direction=Direction.NET) - if acc_symbol_pos is None: - self.write_error(f'{self.strategy_name}当前{ordering_grid.vt_symbol}持仓查询不到, 无法执行卖出') - continue vt_symbol = ordering_grid.vt_symbol + cn_name = self.cta_engine.get_name(ordering_grid.vt_symbol) sell_volume = ordering_grid.volume - ordering_grid.traded_volume + if acc_symbol_pos is None: + self.write_error(f'{self.strategy_name}当前{vt_symbol}[{cn_name}]持仓查询不到, 无法执行卖出[{sell_volume}]') + continue + if sell_volume > acc_symbol_pos.volume: if not force: - self.write_error(u'账号{}持仓{},不满足减仓目标:{}' - .format(vt_symbol, acc_symbol_pos.volume, sell_volume)) + self.write_error(u'账号{}[{}]持仓{},不满足减仓目标:{}' + .format(vt_symbol,cn_name, acc_symbol_pos.volume, sell_volume)) continue else: - self.write_log(u'账号{}持仓{},不满足减仓目标:{}, 修正卖出数量:{}=>{}' - .format(vt_symbol, acc_symbol_pos.volume, sell_volume, sell_volume, + self.write_log(u'账号{}[{}]持仓{},不满足减仓目标:{}, 修正卖出数量:{}=>{}' + .format(vt_symbol,cn_name, acc_symbol_pos.volume, sell_volume, sell_volume, acc_symbol_pos.volume)) sell_volume = acc_symbol_pos.volume diff --git a/vnpy/component/cta_line_bar.py b/vnpy/component/cta_line_bar.py index 00510ce6..9533a673 100644 --- a/vnpy/component/cta_line_bar.py +++ b/vnpy/component/cta_line_bar.py @@ -6965,7 +6965,7 @@ class CtaMinuteBar(CtaLineBar): # 更新最后价格 self.cur_price = bar.close_price - self.cur_datetime = bar.datetime + self.cur_datetime = bar.datetime + timedelta(minutes=bar_freq) bar_len = len(self.line_bar) diff --git a/vnpy/gateway/xtp/xtp_gateway.py b/vnpy/gateway/xtp/xtp_gateway.py index d9f38172..7c10ccba 100644 --- a/vnpy/gateway/xtp/xtp_gateway.py +++ b/vnpy/gateway/xtp/xtp_gateway.py @@ -70,7 +70,8 @@ POSITION_DIRECTION_XTP2VT = { # 委托单类型 ORDERTYPE_XTP2VT: Dict[int, OrderType] = { 1: OrderType.LIMIT, - 2: OrderType.MARKET + 2: OrderType.MARKET, + 4: OrderType.MARKET } ORDERTYPE_VT2XTP: Dict[OrderType, int] = {v: k for k, v in ORDERTYPE_XTP2VT.items()} @@ -550,7 +551,7 @@ class XtpTdApi(TdApi): exchange=MARKET_XTP2VT[data["market"]], orderid=str(data["order_xtp_id"]), sys_orderid=str(data["order_xtp_id"]), - type=ORDERTYPE_XTP2VT[data["price_type"]], + type=ORDERTYPE_XTP2VT.get(data["price_type"], OrderType.LIMIT), direction=direction, offset=offset, price=data["price"], diff --git a/vnpy/trader/object.py b/vnpy/trader/object.py index aa6c814e..a418d70e 100644 --- a/vnpy/trader/object.py +++ b/vnpy/trader/object.py @@ -333,7 +333,7 @@ class ContractData(BaseData): net_position: bool = False # whether gateway uses net position volume history_data: bool = False # whether gateway provides bar history data - option_strike: float = 0 + option_strike: float = 0 # 行权价 option_underlying: str = "" # vt_symbol of underlying contract option_type: OptionType = None option_expiry: datetime = None diff --git a/vnpy/trader/ui/kline/kline.py b/vnpy/trader/ui/kline/kline.py index 39f33d16..82f33338 100644 --- a/vnpy/trader/ui/kline/kline.py +++ b/vnpy/trader/ui/kline/kline.py @@ -1536,6 +1536,9 @@ class GridKline(QtWidgets.QWidget): # 配置项3：sub_indicators， 副图指标 # 指标变量必须在data_file文件中存在字段 + # 配置项目: trade_symbol_filters,交易记录过滤，缺省[]时不执行过滤 + # 根据交易记录中得symbol字段内容进行过滤，满足过滤条件得交易记录才使用。 + # 配置项4：trade_list_file，开平仓交易记录 # 每条记录包含开仓，平仓，收益信息 # 回测时，每个策略实例，都产生trade_list.csv文件 @@ -1690,6 +1693,8 @@ class GridKline(QtWidgets.QWidget): main_indicators=kline_setting.get('main_indicators', []), sub_indicators=kline_setting.get('sub_indicators', []) ) + # 交易记录过滤 + trade_symbol_filters = kline_setting.get('trade_symbol_filters', []) # 加载开、平仓的交易信号（一般是回测系统产生的） trade_list_file = kline_setting.get('trade_list_file', None) @@ -1697,6 +1702,11 @@ class GridKline(QtWidgets.QWidget): print(f'loading {trade_list_file}') t1 = datetime.now() df_trade_list = pd.read_csv(trade_list_file) + + # 如果需要过滤记录，过滤vt_symbol这个字段 + if len(trade_symbol_filters) > 0 and 'vt_symbol' in df_trade_list.columns: + df_trade_list = df_trade_list[df_trade_list.vt_symbol.str.contains("|".join(trade_symbol_filters)).any(level=0)] + self.kline_dict[kline_name].add_signals(df_trade_list) t2 = datetime.now() s = (t2-t1).microseconds @@ -1708,6 +1718,10 @@ class GridKline(QtWidgets.QWidget): print(f'loading {trade_file}') t1 = datetime.now() df_trade = pd.read_csv(trade_file) + # 如果需要过滤记录，过滤vt_symbol这个字段 + if len(trade_symbol_filters)> 0 and 'vt_symbol' in df_trade.columns: + df_trade = df_trade[df_trade.vt_symbol.str.contains("|".join(trade_symbol_filters)).any(level=0)] + t2 = datetime.now() s = (t2 - t1).microseconds print(f'finished load in {s} ms') diff --git a/vnpy/trader/ui/kline/ui_snapshot.py b/vnpy/trader/ui/kline/ui_snapshot.py index db3e2378..2b31efbe 100644 --- a/vnpy/trader/ui/kline/ui_snapshot.py +++ b/vnpy/trader/ui/kline/ui_snapshot.py @@ -31,7 +31,9 @@ class UiSnapshot(object): dist_file: str = "", dist_include_list=[], use_grid=True, - export_file=""): + export_file="", + kline_filters=[], + symbol_filters=[]): """ 显示切片 :param snapshot_file: 切片文件路径（通过这个方法，可读取历史切片） @@ -40,6 +42,9 @@ class UiSnapshot(object): :param dist_file: 格式化策略逻辑日志文件 :param dist_include_list: 逻辑日志中，operation字段内需要过滤显示的内容 :param use_grid: 使用同一窗口 + :param export_file: 界面生成图片得文件 + :param kline_filters: 缺省为空，即全部K线，如果约定只显示得K线，则在里面放入过滤条件，满足过滤条件得即可通过 + :param symbol_filters: 交易记录数据过滤，缺省为空不过滤。根据交易记录里面得symbol进行过滤。一般用于单策略，多合约交易时过滤交易记录 :return: """ if d is None: @@ -60,6 +65,12 @@ class UiSnapshot(object): kline_settings = {} for k, v in klines.items(): + + # 如果存在k线名称过滤 + if len(kline_filters) > 0: + if not any([name in k for name in kline_filters]): + continue + # 获取bar各种数据/指标列表 data_list = v.pop('data_list', None) if data_list is None: @@ -84,6 +95,10 @@ class UiSnapshot(object): if len(trade_file) > 0 and os.path.exists(trade_file): setting.update({"trade_file": trade_file}) + # 交易合约过滤 + if len(symbol_filters) > 0: + setting.update({'trade_symbol_filters': symbol_filters}) + # 加载本地data目录的事务 if len(tns_file) > 0 and os.path.exists(tns_file): setting.update({"tns_file": tns_file}) diff --git a/vnpy/trader/utility.py b/vnpy/trader/utility.py index c8257193..1affbfb1 100644 --- a/vnpy/trader/utility.py +++ b/vnpy/trader/utility.py @@ -337,7 +337,8 @@ def get_digits(value: float) -> int: 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())]) + max_key_len = max([len(str(k)) for k in d.keys()]) + return '\n'.join([str(key) + (max_key_len-len(str(key))) * " " + f': {d[key]}' for key in sorted(d.keys())]) def get_csv_last_dt(file_name, dt_index=0, dt_format='%Y-%m-%d %H:%M:%S', line_length=1000):