[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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@ -993,6 +997,7 @@ class CtaEngine(BaseEngine):
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"""
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Init strategies in queue.
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"""
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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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@ -1025,10 +1030,18 @@ class CtaEngine(BaseEngine):
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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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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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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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@ -1047,10 +1060,17 @@ class CtaEngine(BaseEngine):
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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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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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@ -1075,6 +1095,12 @@ class CtaEngine(BaseEngine):
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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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@ -1094,6 +1120,8 @@ class CtaEngine(BaseEngine):
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"""
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Remove a strategy.
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"""
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try:
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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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@ -1125,6 +1153,13 @@ class CtaEngine(BaseEngine):
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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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重新加载策略
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@ -1133,6 +1168,7 @@ class CtaEngine(BaseEngine):
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:param setting:
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:return:
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"""
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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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@ -1190,6 +1226,12 @@ class CtaEngine(BaseEngine):
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msg = f'成功重载策略{strategy_name}'
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self.write_log(msg)
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return True, msg
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except Exception as ex:
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msg = f'执行reload_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'重启策略失败{strategy_name},异常:{str(ex)}'
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def save_strategy_data(self, select_name: str = 'ALL'):
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""" save strategy data"""
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@ -975,7 +975,7 @@ class CtaFutureTemplate(CtaTemplate):
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else:
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self.write_error(u'委托空单平仓失败')
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def grid_buy(self, grid):
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def grid_buy(self, grid, **kwargs):
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"""
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事务开多仓
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:return:
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@ -1002,7 +1002,7 @@ class CtaFutureTemplate(CtaTemplate):
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.format(grid.type, grid.open_price, grid.volume, grid.close_price))
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return False
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def grid_short(self, grid):
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def grid_short(self, grid, **kwargs):
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"""
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事务开空仓
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:return:
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@ -1029,7 +1029,7 @@ class CtaFutureTemplate(CtaTemplate):
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.format(grid.type, grid.open_price, grid.volume, grid.close_price))
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return False
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def grid_sell(self, grid):
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def grid_sell(self, grid, **kwargs):
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"""
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事务平多单仓位
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1.来源自止损止盈平仓
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@ -1090,7 +1090,7 @@ class CtaFutureTemplate(CtaTemplate):
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return True
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def grid_cover(self, grid):
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def grid_cover(self, grid, **kwargs):
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"""
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事务平空单仓位
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1.来源自止损止盈平仓
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@ -1179,13 +1179,13 @@ class CtaFutureTemplate(CtaTemplate):
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# 只处理未成交的限价委托单
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if order_status in [Status.SUBMITTING, Status.NOTTRADED] and order_type == OrderType.LIMIT:
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if over_seconds > self.cancel_seconds or force: # 超过设置的时间还未成交
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self.write_log(u'超时{}秒未成交，取消委托单：vt_orderid:{},order:{}'
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.format(over_seconds, vt_orderid, order_info))
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self.write_log(u'{}超时{}秒未成交，取消委托单：vt_orderid:{},order:{}'
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.format(order_vt_symbol, over_seconds, vt_orderid, order_info))
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order_info.update({'status': Status.CANCELLING})
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self.active_orders.update({vt_orderid: order_info})
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ret = self.cancel_order(str(vt_orderid))
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if not ret:
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self.write_log(u'撤单失败,更新状态为撤单成功')
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self.write_log(f'{order_vt_symbol}撤单失败,更新状态为撤单成功')
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order_info.update({'status': Status.CANCELLED})
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self.active_orders.update({vt_orderid: order_info})
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if order_grid and vt_orderid in order_grid.order_ids:
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@ -212,11 +212,12 @@ class BackTestingEngine(object):
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self.test_setting = None # 回测设置
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self.strategy_setting = None # 所有回测策略得设置
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def create_fund_kline(self, name, use_renko=False):
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def create_fund_kline(self, name, use_renko=False, extra_setting = {}):
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"""
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创建资金曲线
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:param name: 账号名，或者策略名
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:param use_renko:
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:param use_renko:是否使用砖图
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:param extra_setting: 扩展得k线设置，例如macd等
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:return:
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"""
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setting = {}
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@ -228,7 +229,9 @@ class BackTestingEngine(object):
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setting['price_tick'] = 0.01
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setting['underlying_symbol'] = 'fund'
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setting['is_7x24'] = self.is_7x24
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for k,v in extra_setting.items():
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if k not in setting:
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setting.update({k:v})
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if use_renko:
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# 使用砖图，高度是资金的千分之一
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setting['height'] = self.init_capital * 0.001
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@ -1255,7 +1258,7 @@ class BackTestingEngine(object):
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"""更新持仓信息,把今仓=>昨仓"""
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for k, v in self.positions.items():
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if v.volume > 0:
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if v.volume != v.yd_volume:
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self.write_log(f'调整{v.vt_symbol}持仓: 昨仓{v.yd_volume} => {v.volume}')
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v.yd_volume = v.volume
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@ -598,20 +598,29 @@ class CtaStockTemplate(CtaTemplate):
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self.write_log(f'清除委托单：{lg.order_ids}')
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[self.cta_engine.cancel_order(self, vt_orderid) for vt_orderid in lg.order_ids]
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lg.order_ids = []
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if lg.open_status and not lg.close_status and not lg.order_status:
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# 持仓
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if lg.open_status and not lg.close_status and not lg.order_status and lg.volume > 0:
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pos = self.get_position(lg.vt_symbol)
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pos.price = round((pos.price * pos.volume + lg.open_price * lg.volume) / (pos.volume + lg.volume),3)
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pos.volume += lg.volume
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lg.traded_volume = 0
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self.write_log(u'持仓状态，加载持仓多单[{},价格:{},数量:{}手, 开仓时间:{}'
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.format(lg.vt_symbol, lg.open_price, lg.volume, lg.open_time))
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self.positions.update({lg.vt_symbol: pos})
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# 部分开仓
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elif lg.order_status and not lg.open_status and not lg.close_status and lg.traded_volume > 0:
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pos = self.get_position(lg.vt_symbol)
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pos.price = round(
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(pos.price * pos.volume + lg.open_price * lg.traded_volume) / (pos.volume + lg.traded_volume), 3)
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pos.volume += lg.traded_volume
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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:{}'
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.format(lg.vt_symbol, lg.open_price, lg.traded_volume, lg.open_time))
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self.positions.update({lg.vt_symbol: pos})
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elif lg.order_status and lg.open_status and lg.close_status:
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# 正在平仓 =>
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elif lg.order_status and lg.open_status and lg.close_status and lg.volume > 0:
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if lg.traded_volume > 0:
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old_volume = lg.volume
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lg.volume -= lg.traded_volume
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@ -619,6 +628,8 @@ class CtaStockTemplate(CtaTemplate):
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lg.traded_volume = 0
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pos = self.get_position(lg.vt_symbol)
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pos.price = round(
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(pos.price * pos.volume + lg.open_price * lg.volume) / (pos.volume + lg.volume), 3)
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pos.volume += lg.volume
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self.write_log(u'卖出状态，加载持仓多单[{},价格:{},数量:{}手, 开仓时间:{}'
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.format(lg.vt_symbol, lg.open_price, lg.volume, lg.open_time))
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@ -212,11 +212,12 @@ class BackTestingEngine(object):
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self.test_setting = None # 回测设置
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self.strategy_setting = None # 所有回测策略得设置
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def create_fund_kline(self, name, use_renko=False):
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def create_fund_kline(self, name, use_renko=False, extra_setting = {}):
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"""
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创建资金曲线
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:param name: 账号名，或者策略名
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:param use_renko:
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:param extra_setting: 扩展得k线设置，例如macd等
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:return:
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"""
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setting = {}
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@ -232,6 +233,10 @@ class BackTestingEngine(object):
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setting['height'] = self.init_capital * 0.001
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setting['use_renko'] = True
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for k, v in extra_setting.items():
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if k not in setting:
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setting.update({k: v})
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fund_kline = FundKline(cta_engine=self, setting=setting)
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self.fund_kline_dict.update({name: fund_kline})
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return fund_kline
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@ -254,6 +259,36 @@ class BackTestingEngine(object):
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else:
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return None
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# todo wj
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def save_fund_kline(self, name: str = None):
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# 没有指定账号，并且存在一个或多个资金K线
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if len(self.fund_kline_dict) > 0:
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# 优先找vt_setting中，配置了strategy_groud的资金K线
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kline = self.fund_kline_dict.get(name, None)
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# 找不到，返回第一个
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if kline is None:
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kline = self.fund_kline_dict.values()[0]
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kline_file = str(os.path.join(self.get_data_path(), 'fund_{}.csv'.format(name)))
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# 如果数据文件存在，则删除数据
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if os.path.exists(kline_file):
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os.remove(kline_file)
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# 设置 kline的输出文件
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kline.kline.export_filename = kline_file
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kline.kline.export_fields = [
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{'name': 'datetime', 'source': 'bar', 'attr': 'datetime', 'type_': 'datetime'},
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{'name': 'open', 'source': 'bar', 'attr': 'open_price', 'type_': 'float'},
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{'name': 'high', 'source': 'bar', 'attr': 'high_price', 'type_': 'float'},
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{'name': 'low', 'source': 'bar', 'attr': 'low_price', 'type_': 'float'},
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{'name': 'close', 'source': 'bar', 'attr': 'close_price', 'type_': 'float'},
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{'name': 'turnover', 'source': 'bar', 'attr': 'turnover', 'type_': 'float'},
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{'name': 'volume', 'source': 'bar', 'attr': 'volume', 'type_': 'float'},
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{'name': 'open_interest', 'source': 'bar', 'attr': 'open_interest', 'type_': 'float'}
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]
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kline.save()
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def get_account(self, vt_accountid: str = ""):
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"""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"""
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if self.net_capital == 0.0:
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@ -2199,6 +2234,11 @@ class BackTestingEngine(object):
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def show_backtesting_result(self):
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"""显示回测结果"""
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# 导出资金曲线
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if self.active_fund_kline:
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for key in self.fund_kline_dict.keys():
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self.save_fund_kline(key)
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d, daily_net_capital, daily_capital = self.get_result()
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if len(d) == 0:
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@ -220,14 +220,20 @@ class CtaEngine(BaseEngine):
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def process_timer_event(self, event: Event):
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""" 处理定时器事件"""
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all_trading = True
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dt = datetime.now()
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# 触发每个策略的定时接口
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for strategy in list(self.strategies.values()):
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strategy.on_timer()
|
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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