[update] 增加查询所有持仓，一些bug修复
This commit is contained in:
msincenselee
parent
2aa264f30a
commit
c439195056
@ -23,7 +23,7 @@ conda create -name py37=python3.7
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解决：
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sudo find / -name libta_lib.so.0
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/home/ai/eco-ta/ta-lib/src/.libs/libta_lib.so.0
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/home/trade/ta-lib/src/.libs/libta_lib.so.0
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/usr/local/lib/libta_lib.so.0
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vi /etc/profile
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添加
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@ -13,7 +13,6 @@ matplotlib
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seaborn
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futu-api
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tigeropen
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rqdatac
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ta-lib
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ibapi
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deap
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@ -22,4 +21,4 @@ QScintilla
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PySocks
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pykalman
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cython
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tqsdk
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@ -1841,7 +1841,7 @@ class BackTestingEngine(object):
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self.daily_max_drawdown_rate = drawdown_rate
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self.max_drawdown_rate_time = data['date']
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msg = u'{}: net={}, capital={} max={} margin={} commission={}， pos: {}' \
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msg = u'{}: net={}, capital={} max={} holding_profit={} commission={}， pos: \n{}' \
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.format(data['date'],
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data['net'], c, m,
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today_holding_profit,
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@ -1922,6 +1922,7 @@ class BackTestingEngine(object):
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d = {}
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d['init_capital'] = self.init_capital
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d['profit'] = self.cur_capital - self.init_capital
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d['net_capital'] = self.net_capital
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d['max_capital'] = self.max_net_capital # 取消原 maxCapital
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if len(self.pnl_list) == 0:
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@ -2002,8 +2003,11 @@ class BackTestingEngine(object):
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result_info.update({u'期初资金': d['init_capital']})
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self.output(u'期初资金：\t%s' % format_number(d['init_capital']))
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result_info.update({u'总盈亏': d['profit']})
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self.output(u'总盈亏：\t%s' % format_number(d['profit']))
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result_info.update({u'期末资金': d['net_capital']})
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self.output(u'期末资金：\t%s' % format_number(d['net_capital']))
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result_info.update({u'平仓盈亏': d['profit']})
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self.output(u'平仓盈亏：\t%s' % format_number(d['profit']))
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result_info.update({u'资金最高净值': d['max_capital']})
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self.output(u'资金最高净值：\t%s' % format_number(d['max_capital']))
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@ -858,6 +858,10 @@ class CtaEngine(BaseEngine):
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vt_position_id = f"{gateway_name}.{vt_symbol}.{direction.value}"
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return self.main_engine.get_position(vt_position_id)
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def get_all_positions(self):
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"""查询当前帐号得所有持仓合约"""
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return self.main_engine.get_all_positions()
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def get_engine_type(self):
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""""""
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return self.engine_type
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@ -993,88 +997,110 @@ class CtaEngine(BaseEngine):
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"""
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Init strategies in queue.
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"""
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strategy = self.strategies[strategy_name]
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try:
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strategy = self.strategies[strategy_name]
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if strategy.inited:
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self.write_error(f"{strategy_name}已经完成初始化，禁止重复操作")
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return
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if strategy.inited:
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self.write_error(f"{strategy_name}已经完成初始化，禁止重复操作")
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return
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self.write_log(f"{strategy_name}开始执行初始化")
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self.write_log(f"{strategy_name}开始执行初始化")
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# Call on_init function of strategy
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self.call_strategy_func(strategy, strategy.on_init)
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# Call on_init function of strategy
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self.call_strategy_func(strategy, strategy.on_init)
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# Restore strategy data(variables)
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# Pro 版本不使用自动恢复除了内部数据功能，由策略自身初始化时完成
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# data = self.strategy_data.get(strategy_name, None)
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# if data:
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# for name in strategy.variables:
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# value = data.get(name, None)
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# if value:
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# setattr(strategy, name, value)
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# Restore strategy data(variables)
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# Pro 版本不使用自动恢复除了内部数据功能，由策略自身初始化时完成
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# data = self.strategy_data.get(strategy_name, None)
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# if data:
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# for name in strategy.variables:
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# value = data.get(name, None)
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# if value:
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# setattr(strategy, name, value)
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# Subscribe market data 订阅缺省的vt_symbol, 如果有其他合约需要订阅，由策略内部初始化时提交订阅即可。
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self.subscribe_symbol(strategy_name, vt_symbol=strategy.vt_symbol)
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# Subscribe market data 订阅缺省的vt_symbol, 如果有其他合约需要订阅，由策略内部初始化时提交订阅即可。
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self.subscribe_symbol(strategy_name, vt_symbol=strategy.vt_symbol)
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# Put event to update init completed status.
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strategy.inited = True
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self.put_strategy_event(strategy)
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self.write_log(f"{strategy_name}初始化完成")
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# Put event to update init completed status.
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strategy.inited = True
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self.put_strategy_event(strategy)
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self.write_log(f"{strategy_name}初始化完成")
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# 初始化后，自动启动策略交易
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if auto_start:
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self.start_strategy(strategy_name)
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except Exception as ex:
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msg = f'{strategy_name}执行on_init异常:{str(ex)}'
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self.write_error(ex)
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self.send_wechat(msg)
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self.write_error(traceback.format_exc())
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# 初始化后，自动启动策略交易
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if auto_start:
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self.start_strategy(strategy_name)
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def start_strategy(self, strategy_name: str):
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"""
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Start a strategy.
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"""
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strategy = self.strategies[strategy_name]
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if not strategy.inited:
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msg = f"策略{strategy.strategy_name}启动失败，请先初始化"
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self.write_error(msg)
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return False, msg
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try:
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strategy = self.strategies[strategy_name]
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if not strategy.inited:
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msg = f"策略{strategy.strategy_name}启动失败，请先初始化"
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self.write_error(msg)
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return False, msg
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if strategy.trading:
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msg = f"{strategy_name}已经启动，请勿重复操作"
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self.write_error(msg)
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return False, msg
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if strategy.trading:
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msg = f"{strategy_name}已经启动，请勿重复操作"
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self.write_error(msg)
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return False, msg
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self.call_strategy_func(strategy, strategy.on_start)
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strategy.trading = True
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self.call_strategy_func(strategy, strategy.on_start)
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strategy.trading = True
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self.put_strategy_event(strategy)
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self.put_strategy_event(strategy)
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return True, f'成功启动策略{strategy_name}'
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return True, f'成功启动策略{strategy_name}'
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except Exception as ex:
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msg = f'{strategy_name}执行on_start异常:{str(ex)}'
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self.write_error(ex)
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self.send_wechat(msg)
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self.write_error(traceback.format_exc())
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def stop_strategy(self, strategy_name: str):
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"""
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Stop a strategy.
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"""
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strategy = self.strategies[strategy_name]
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if not strategy.trading:
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msg = f'{strategy_name}策略实例已处于停止交易状态'
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self.write_log(msg)
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return False, msg
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try:
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strategy = self.strategies[strategy_name]
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if not strategy.trading:
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msg = f'{strategy_name}策略实例已处于停止交易状态'
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self.write_log(msg)
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return False, msg
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# Call on_stop function of the strategy
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self.write_log(f'调用{strategy_name}的on_stop,停止交易')
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self.call_strategy_func(strategy, strategy.on_stop)
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# Call on_stop function of the strategy
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self.write_log(f'调用{strategy_name}的on_stop,停止交易')
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self.call_strategy_func(strategy, strategy.on_stop)
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# Change trading status of strategy to False
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strategy.trading = False
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# Change trading status of strategy to False
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strategy.trading = False
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# Cancel all orders of the strategy
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self.write_log(f'撤销{strategy_name}所有委托')
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self.cancel_all(strategy)
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# Cancel all orders of the strategy
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self.write_log(f'撤销{strategy_name}所有委托')
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self.cancel_all(strategy)
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# Sync strategy variables to data file
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# 取消此功能，由策略自身完成数据的持久化
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# self.sync_strategy_data(strategy)
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# Sync strategy variables to data file
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# 取消此功能，由策略自身完成数据的持久化
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# self.sync_strategy_data(strategy)
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# Update GUI
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self.put_strategy_event(strategy)
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return True, f'成功停止策略{strategy_name}'
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# Update GUI
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self.put_strategy_event(strategy)
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return True, f'成功停止策略{strategy_name}'
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except Exception as ex:
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msg = f'执行stop_strategy({strategy_name})异常:{str(ex)}'
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self.write_error(ex)
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self.send_wechat(msg)
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self.write_error(traceback.format_exc())
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return False, f'停止策略失败{strategy_name},异常:{str(ex)}'
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def edit_strategy(self, strategy_name: str, setting: dict):
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"""
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@ -1094,36 +1120,45 @@ class CtaEngine(BaseEngine):
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"""
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Remove a strategy.
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"""
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strategy = self.strategies[strategy_name]
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if strategy.trading:
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err_msg = f"策略{strategy.strategy_name}移除失败，请先停止"
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self.write_error(err_msg)
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return False, err_msg
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try:
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# Remove setting
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self.remove_strategy_setting(strategy_name)
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strategy = self.strategies[strategy_name]
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if strategy.trading:
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err_msg = f"策略{strategy.strategy_name}移除失败，请先停止"
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self.write_error(err_msg)
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return False, err_msg
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# 移除订阅合约与策略的关联关系
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for vt_symbol in self.strategy_symbol_map[strategy_name]:
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# Remove from symbol strategy map
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self.write_log(f'移除{vt_symbol}《=》{strategy_name}的订阅关系')
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strategies = self.symbol_strategy_map[vt_symbol]
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strategies.remove(strategy)
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# Remove setting
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self.remove_strategy_setting(strategy_name)
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# Remove from active orderid map
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if strategy_name in self.strategy_orderid_map:
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vt_orderids = self.strategy_orderid_map.pop(strategy_name)
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self.write_log(f'移除{strategy_name}的所有委托订单映射关系')
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# Remove vt_orderid strategy map
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for vt_orderid in vt_orderids:
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if vt_orderid in self.orderid_strategy_map:
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self.orderid_strategy_map.pop(vt_orderid)
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# 移除订阅合约与策略的关联关系
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for vt_symbol in self.strategy_symbol_map[strategy_name]:
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# Remove from symbol strategy map
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self.write_log(f'移除{vt_symbol}《=》{strategy_name}的订阅关系')
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strategies = self.symbol_strategy_map[vt_symbol]
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strategies.remove(strategy)
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# Remove from strategies
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self.write_log(f'移除{strategy_name}策略实例')
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self.strategies.pop(strategy_name)
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# Remove from active orderid map
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if strategy_name in self.strategy_orderid_map:
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vt_orderids = self.strategy_orderid_map.pop(strategy_name)
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self.write_log(f'移除{strategy_name}的所有委托订单映射关系')
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# Remove vt_orderid strategy map
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for vt_orderid in vt_orderids:
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if vt_orderid in self.orderid_strategy_map:
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self.orderid_strategy_map.pop(vt_orderid)
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return True, f'成功移除{strategy_name}策略实例'
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# Remove from strategies
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self.write_log(f'移除{strategy_name}策略实例')
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self.strategies.pop(strategy_name)
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return True, f'成功移除{strategy_name}策略实例'
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except Exception as ex:
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msg = f'执行remove_strategy({strategy_name})异常:{str(ex)}'
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self.write_error(ex)
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self.send_wechat(msg)
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self.write_error(traceback.format_exc())
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return False, f'移除策略失败{strategy_name},异常:{str(ex)}'
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def reload_strategy(self, strategy_name: str, vt_symbol: str = '', setting: dict = {}):
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"""
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@ -1133,63 +1168,70 @@ class CtaEngine(BaseEngine):
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:param setting:
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:return:
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"""
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self.write_log(f'开始重新加载策略{strategy_name}')
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try:
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self.write_log(f'开始重新加载策略{strategy_name}')
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# 优先判断重启的策略，是否已经加载
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if strategy_name not in self.strategies or strategy_name not in self.strategy_setting:
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err_msg = f"{strategy_name}不在运行策略中，不能重启"
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self.write_error(err_msg)
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return False, err_msg
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# 从本地配置文件中读取
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if len(setting) == 0:
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strategies_setting = load_json(self.setting_filename)
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old_strategy_config = strategies_setting.get(strategy_name, {})
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else:
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old_strategy_config = copy(self.strategy_setting[strategy_name])
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class_name = old_strategy_config.get('class_name')
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if len(vt_symbol) == 0:
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vt_symbol = old_strategy_config.get('vt_symbol')
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if len(setting) == 0:
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setting = old_strategy_config.get('setting')
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module_name = self.class_module_map[class_name]
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# 重新load class module
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#if not self.load_strategy_class_from_module(module_name):
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# err_msg = f'不能加载模块:{module_name}'
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# self.write_error(err_msg)
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# return False, err_msg
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if module_name:
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new_class_name = module_name + '.' + class_name
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self.write_log(u'转换策略为全路径:{}'.format(new_class_name))
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strategy_class = import_module_by_str(new_class_name)
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if strategy_class is None:
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err_msg = u'加载策略模块失败:{}'.format(class_name)
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# 优先判断重启的策略，是否已经加载
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if strategy_name not in self.strategies or strategy_name not in self.strategy_setting:
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err_msg = f"{strategy_name}不在运行策略中，不能重启"
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self.write_error(err_msg)
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return False, err_msg
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self.write_log(f'重新加载模块成功，使用新模块:{new_class_name}')
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self.classes[class_name] = strategy_class
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# 从本地配置文件中读取
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if len(setting) == 0:
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strategies_setting = load_json(self.setting_filename)
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old_strategy_config = strategies_setting.get(strategy_name, {})
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else:
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old_strategy_config = copy(self.strategy_setting[strategy_name])
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# 停止当前策略实例的运行，撤单
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self.stop_strategy(strategy_name)
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class_name = old_strategy_config.get('class_name')
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if len(vt_symbol) == 0:
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vt_symbol = old_strategy_config.get('vt_symbol')
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if len(setting) == 0:
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setting = old_strategy_config.get('setting')
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# 移除运行中的策略实例
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self.remove_strategy(strategy_name)
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module_name = self.class_module_map[class_name]
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# 重新load class module
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#if not self.load_strategy_class_from_module(module_name):
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# err_msg = f'不能加载模块:{module_name}'
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# self.write_error(err_msg)
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# return False, err_msg
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if module_name:
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new_class_name = module_name + '.' + class_name
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self.write_log(u'转换策略为全路径:{}'.format(new_class_name))
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# 重新添加策略
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self.add_strategy(class_name=class_name,
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strategy_name=strategy_name,
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vt_symbol=vt_symbol,
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setting=setting,
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auto_init=old_strategy_config.get('auto_init', False),
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auto_start=old_strategy_config.get('auto_start', False))
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strategy_class = import_module_by_str(new_class_name)
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if strategy_class is None:
|
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err_msg = u'加载策略模块失败:{}'.format(class_name)
|
||||
self.write_error(err_msg)
|
||||
return False, err_msg
|
||||
|
||||
msg = f'成功重载策略{strategy_name}'
|
||||
self.write_log(msg)
|
||||
return True, msg
|
||||
self.write_log(f'重新加载模块成功，使用新模块:{new_class_name}')
|
||||
self.classes[class_name] = strategy_class
|
||||
|
||||
# 停止当前策略实例的运行，撤单
|
||||
self.stop_strategy(strategy_name)
|
||||
|
||||
# 移除运行中的策略实例
|
||||
self.remove_strategy(strategy_name)
|
||||
|
||||
# 重新添加策略
|
||||
self.add_strategy(class_name=class_name,
|
||||
strategy_name=strategy_name,
|
||||
vt_symbol=vt_symbol,
|
||||
setting=setting,
|
||||
auto_init=old_strategy_config.get('auto_init', False),
|
||||
auto_start=old_strategy_config.get('auto_start', False))
|
||||
|
||||
msg = f'成功重载策略{strategy_name}'
|
||||
self.write_log(msg)
|
||||
return True, msg
|
||||
except Exception as ex:
|
||||
msg = f'执行reload_strategy({strategy_name})异常:{str(ex)}'
|
||||
self.write_error(ex)
|
||||
self.send_wechat(msg)
|
||||
self.write_error(traceback.format_exc())
|
||||
return False, f'重启策略失败{strategy_name},异常:{str(ex)}'
|
||||
|
||||
def save_strategy_data(self, select_name: str = 'ALL'):
|
||||
""" save strategy data"""
|
||||
|
||||
@ -975,7 +975,7 @@ class CtaFutureTemplate(CtaTemplate):
|
||||
else:
|
||||
self.write_error(u'委托空单平仓失败')
|
||||
|
||||
def grid_buy(self, grid):
|
||||
def grid_buy(self, grid, **kwargs):
|
||||
"""
|
||||
事务开多仓
|
||||
:return:
|
||||
@ -1002,7 +1002,7 @@ class CtaFutureTemplate(CtaTemplate):
|
||||
.format(grid.type, grid.open_price, grid.volume, grid.close_price))
|
||||
return False
|
||||
|
||||
def grid_short(self, grid):
|
||||
def grid_short(self, grid, **kwargs):
|
||||
"""
|
||||
事务开空仓
|
||||
:return:
|
||||
@ -1029,7 +1029,7 @@ class CtaFutureTemplate(CtaTemplate):
|
||||
.format(grid.type, grid.open_price, grid.volume, grid.close_price))
|
||||
return False
|
||||
|
||||
def grid_sell(self, grid):
|
||||
def grid_sell(self, grid, **kwargs):
|
||||
"""
|
||||
事务平多单仓位
|
||||
1.来源自止损止盈平仓
|
||||
@ -1090,7 +1090,7 @@ class CtaFutureTemplate(CtaTemplate):
|
||||
|
||||
return True
|
||||
|
||||
def grid_cover(self, grid):
|
||||
def grid_cover(self, grid, **kwargs):
|
||||
"""
|
||||
事务平空单仓位
|
||||
1.来源自止损止盈平仓
|
||||
@ -1179,13 +1179,13 @@ class CtaFutureTemplate(CtaTemplate):
|
||||
# 只处理未成交的限价委托单
|
||||
if order_status in [Status.SUBMITTING, Status.NOTTRADED] and order_type == OrderType.LIMIT:
|
||||
if over_seconds > self.cancel_seconds or force: # 超过设置的时间还未成交
|
||||
self.write_log(u'超时{}秒未成交，取消委托单：vt_orderid:{},order:{}'
|
||||
.format(over_seconds, vt_orderid, order_info))
|
||||
self.write_log(u'{}超时{}秒未成交，取消委托单：vt_orderid:{},order:{}'
|
||||
.format(order_vt_symbol, over_seconds, vt_orderid, order_info))
|
||||
order_info.update({'status': Status.CANCELLING})
|
||||
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'{order_vt_symbol}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})
|
||||
if order_grid and vt_orderid in order_grid.order_ids:
|
||||
|
||||
@ -212,11 +212,12 @@ class BackTestingEngine(object):
|
||||
self.test_setting = None # 回测设置
|
||||
self.strategy_setting = None # 所有回测策略得设置
|
||||
|
||||
def create_fund_kline(self, name, use_renko=False):
|
||||
def create_fund_kline(self, name, use_renko=False, extra_setting = {}):
|
||||
"""
|
||||
创建资金曲线
|
||||
:param name: 账号名，或者策略名
|
||||
:param use_renko:
|
||||
:param use_renko:是否使用砖图
|
||||
:param extra_setting: 扩展得k线设置，例如macd等
|
||||
:return:
|
||||
"""
|
||||
setting = {}
|
||||
@ -228,7 +229,9 @@ class BackTestingEngine(object):
|
||||
setting['price_tick'] = 0.01
|
||||
setting['underlying_symbol'] = 'fund'
|
||||
setting['is_7x24'] = self.is_7x24
|
||||
|
||||
for k,v in extra_setting.items():
|
||||
if k not in setting:
|
||||
setting.update({k:v})
|
||||
if use_renko:
|
||||
# 使用砖图，高度是资金的千分之一
|
||||
setting['height'] = self.init_capital * 0.001
|
||||
@ -1255,7 +1258,7 @@ class BackTestingEngine(object):
|
||||
"""更新持仓信息,把今仓=>昨仓"""
|
||||
|
||||
for k, v in self.positions.items():
|
||||
if v.volume > 0:
|
||||
if v.volume != v.yd_volume:
|
||||
self.write_log(f'调整{v.vt_symbol}持仓: 昨仓{v.yd_volume} => {v.volume}')
|
||||
v.yd_volume = v.volume
|
||||
|
||||
|
||||
@ -598,20 +598,29 @@ class CtaStockTemplate(CtaTemplate):
|
||||
self.write_log(f'清除委托单：{lg.order_ids}')
|
||||
[self.cta_engine.cancel_order(self, vt_orderid) for vt_orderid in lg.order_ids]
|
||||
lg.order_ids = []
|
||||
if lg.open_status and not lg.close_status and not lg.order_status:
|
||||
|
||||
# 持仓
|
||||
if lg.open_status and not lg.close_status and not lg.order_status and lg.volume > 0:
|
||||
pos = self.get_position(lg.vt_symbol)
|
||||
pos.price = round((pos.price * pos.volume + lg.open_price * lg.volume) / (pos.volume + lg.volume),3)
|
||||
pos.volume += lg.volume
|
||||
lg.traded_volume = 0
|
||||
self.write_log(u'持仓状态，加载持仓多单[{},价格:{},数量:{}手, 开仓时间:{}'
|
||||
.format(lg.vt_symbol, lg.open_price, lg.volume, lg.open_time))
|
||||
self.positions.update({lg.vt_symbol: pos})
|
||||
|
||||
# 部分开仓
|
||||
elif lg.order_status and not lg.open_status and not lg.close_status and lg.traded_volume > 0:
|
||||
pos = self.get_position(lg.vt_symbol)
|
||||
pos.price = round(
|
||||
(pos.price * pos.volume + lg.open_price * lg.traded_volume) / (pos.volume + lg.traded_volume), 3)
|
||||
pos.volume += lg.traded_volume
|
||||
self.write_log(u'开仓状态，加载部分持仓多单[{},价格:{},数量:{}手, 开仓时间:{}'
|
||||
.format(lg.vt_symbol, lg.open_price, lg.traded_volume, lg.open_time))
|
||||
self.positions.update({lg.vt_symbol: pos})
|
||||
elif lg.order_status and lg.open_status and lg.close_status:
|
||||
|
||||
# 正在平仓 =>
|
||||
elif lg.order_status and lg.open_status and lg.close_status and lg.volume > 0:
|
||||
if lg.traded_volume > 0:
|
||||
old_volume = lg.volume
|
||||
lg.volume -= lg.traded_volume
|
||||
@ -619,6 +628,8 @@ class CtaStockTemplate(CtaTemplate):
|
||||
lg.traded_volume = 0
|
||||
|
||||
pos = self.get_position(lg.vt_symbol)
|
||||
pos.price = round(
|
||||
(pos.price * pos.volume + lg.open_price * lg.volume) / (pos.volume + lg.volume), 3)
|
||||
pos.volume += lg.volume
|
||||
self.write_log(u'卖出状态，加载持仓多单[{},价格:{},数量:{}手, 开仓时间:{}'
|
||||
.format(lg.vt_symbol, lg.open_price, lg.volume, lg.open_time))
|
||||
|
||||
@ -212,11 +212,12 @@ class BackTestingEngine(object):
|
||||
self.test_setting = None # 回测设置
|
||||
self.strategy_setting = None # 所有回测策略得设置
|
||||
|
||||
def create_fund_kline(self, name, use_renko=False):
|
||||
def create_fund_kline(self, name, use_renko=False, extra_setting = {}):
|
||||
"""
|
||||
创建资金曲线
|
||||
:param name: 账号名，或者策略名
|
||||
:param use_renko:
|
||||
:param extra_setting: 扩展得k线设置，例如macd等
|
||||
:return:
|
||||
"""
|
||||
setting = {}
|
||||
@ -232,6 +233,10 @@ class BackTestingEngine(object):
|
||||
setting['height'] = self.init_capital * 0.001
|
||||
setting['use_renko'] = True
|
||||
|
||||
for k, v in extra_setting.items():
|
||||
if k not in setting:
|
||||
setting.update({k: v})
|
||||
|
||||
fund_kline = FundKline(cta_engine=self, setting=setting)
|
||||
self.fund_kline_dict.update({name: fund_kline})
|
||||
return fund_kline
|
||||
@ -254,6 +259,36 @@ class BackTestingEngine(object):
|
||||
else:
|
||||
return None
|
||||
|
||||
# todo wj
|
||||
def save_fund_kline(self, name: str = None):
|
||||
# 没有指定账号，并且存在一个或多个资金K线
|
||||
if len(self.fund_kline_dict) > 0:
|
||||
# 优先找vt_setting中，配置了strategy_groud的资金K线
|
||||
kline = self.fund_kline_dict.get(name, None)
|
||||
# 找不到，返回第一个
|
||||
if kline is None:
|
||||
kline = self.fund_kline_dict.values()[0]
|
||||
|
||||
kline_file = str(os.path.join(self.get_data_path(), 'fund_{}.csv'.format(name)))
|
||||
# 如果数据文件存在，则删除数据
|
||||
if os.path.exists(kline_file):
|
||||
os.remove(kline_file)
|
||||
|
||||
# 设置 kline的输出文件
|
||||
kline.kline.export_filename = kline_file
|
||||
kline.kline.export_fields = [
|
||||
{'name': 'datetime', 'source': 'bar', 'attr': 'datetime', 'type_': 'datetime'},
|
||||
{'name': 'open', 'source': 'bar', 'attr': 'open_price', 'type_': 'float'},
|
||||
{'name': 'high', 'source': 'bar', 'attr': 'high_price', 'type_': 'float'},
|
||||
{'name': 'low', 'source': 'bar', 'attr': 'low_price', 'type_': 'float'},
|
||||
{'name': 'close', 'source': 'bar', 'attr': 'close_price', 'type_': 'float'},
|
||||
{'name': 'turnover', 'source': 'bar', 'attr': 'turnover', 'type_': 'float'},
|
||||
{'name': 'volume', 'source': 'bar', 'attr': 'volume', 'type_': 'float'},
|
||||
{'name': 'open_interest', 'source': 'bar', 'attr': 'open_interest', 'type_': 'float'}
|
||||
]
|
||||
|
||||
kline.save()
|
||||
|
||||
def get_account(self, vt_accountid: str = ""):
|
||||
"""返回账号的实时权益，可用资金，仓位比例,投资仓位比例上限"""
|
||||
if self.net_capital == 0.0:
|
||||
@ -2199,6 +2234,11 @@ class BackTestingEngine(object):
|
||||
def show_backtesting_result(self):
|
||||
"""显示回测结果"""
|
||||
|
||||
# 导出资金曲线
|
||||
if self.active_fund_kline:
|
||||
for key in self.fund_kline_dict.keys():
|
||||
self.save_fund_kline(key)
|
||||
|
||||
d, daily_net_capital, daily_capital = self.get_result()
|
||||
|
||||
if len(d) == 0:
|
||||
|
||||
@ -220,14 +220,20 @@ class CtaEngine(BaseEngine):
|
||||
|
||||
def process_timer_event(self, event: Event):
|
||||
""" 处理定时器事件"""
|
||||
|
||||
all_trading = True
|
||||
dt = datetime.now()
|
||||
|
||||
# 触发每个策略的定时接口
|
||||
for strategy in list(self.strategies.values()):
|
||||
strategy.on_timer()
|
||||
if not strategy.trading:
|
||||
all_trading = False
|
||||
|
||||
dt = datetime.now()
|
||||
# 临近夜晚收盘前，强制发出撤单
|
||||
if dt.hour == 2 and dt.minute == 59 and dt.second >= 55:
|
||||
self.cancel_all(strategy)
|
||||
|
||||
# 每分钟执行的逻辑
|
||||
if self.last_minute != dt.minute:
|
||||
self.last_minute = dt.minute
|
||||
|
||||
@ -904,6 +904,11 @@ class CtaProTemplate(CtaTemplate):
|
||||
|
||||
order_time = order_info.get('order_time')
|
||||
over_ms = (dt - order_time).total_seconds()
|
||||
|
||||
# 白天开盘或许有指数与真实tick的时间延迟，这个时刻不做撤单功能
|
||||
if f'{dt.hour}:{dt.minute}' in ['10:30', '13:30']:
|
||||
continue
|
||||
|
||||
if (over_ms > self.cancel_seconds) \
|
||||
or force: # 超过设置的时间还未成交
|
||||
self.write_log(f'{dt}, 超时{over_ms}秒未成交，取消委托单：{order_info}')
|
||||
|
||||
@ -4,6 +4,7 @@ import sys
|
||||
import traceback
|
||||
import json
|
||||
from datetime import datetime, timedelta
|
||||
from time import time
|
||||
from copy import copy, deepcopy
|
||||
from functools import lru_cache
|
||||
from typing import List
|
||||
@ -2055,8 +2056,9 @@ class TqMdApi():
|
||||
"""
|
||||
更新行情/委托/账户/持仓
|
||||
"""
|
||||
while self.api.wait_update():
|
||||
|
||||
while self.is_connected:
|
||||
deadline = time() + 5
|
||||
self.api.wait_update(deadline=deadline)
|
||||
# 更新行情信息
|
||||
for vt_symbol, quote in self.quote_objs:
|
||||
if self.api.is_changing(quote):
|
||||
|
||||
@ -357,6 +357,10 @@ class RohonGateway(BaseGateway):
|
||||
return False
|
||||
|
||||
if not self.td_api.connect_status or self.md_api.connect_status:
|
||||
if not self.td_api.connect_status:
|
||||
self.write_error(f'交易服务器连接断开')
|
||||
if not self.md_api.connect_status:
|
||||
self.write_error(f'行情服务器连接断开')
|
||||
return False
|
||||
|
||||
return True
|
||||
@ -572,7 +576,8 @@ class RohonMdApi(MdApi):
|
||||
Callback when front server is disconnected.
|
||||
"""
|
||||
self.login_status = False
|
||||
self.gateway.write_log(f"行情服务器连接断开，原因{reason}")
|
||||
self.connect_status = False
|
||||
self.gateway.write_error(f"行情服务器连接断开，原因{reason}")
|
||||
self.gateway.status.update({'md_con': False, 'md_dis_con_time': datetime.now().strftime('%Y-%m-%d %H:%M:%S')})
|
||||
|
||||
def onRspUserLogin(self, data: dict, error: dict, reqid: int, last: bool):
|
||||
@ -690,6 +695,7 @@ class RohonMdApi(MdApi):
|
||||
self.init()
|
||||
|
||||
self.connect_status = True
|
||||
|
||||
# If already connected, then login immediately.
|
||||
elif not self.login_status:
|
||||
self.login()
|
||||
@ -773,8 +779,8 @@ class RohonTdApi(TdApi):
|
||||
def onFrontDisconnected(self, reason: int):
|
||||
""""""
|
||||
self.login_status = False
|
||||
self.gateway.write_log(f"交易服务器连接断开，原因{reason}")
|
||||
self.gateway.status.update({'td_con': True, 'td_dis_con_time': datetime.now().strftime('%Y-%m-%d %H:%M:%S')})
|
||||
self.gateway.write_error(f"交易服务器连接断开，原因{reason}")
|
||||
self.gateway.status.update({'td_con': False, 'td_dis_con_time': datetime.now().strftime('%Y-%m-%d %H:%M:%S')})
|
||||
|
||||
def onRspAuthenticate(self, data: dict, error: dict, reqid: int, last: bool):
|
||||
""""""
|
||||
|
||||
Loading…
Reference in New Issue
Block a user