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[Fix]Close #601

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This commit is contained in:
vn.py 2017-12-15 22:22:18 +08:00
parent 601db4cf4a
commit c66f1c32b4
2 changed files with 21 additions and 7 deletions
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4
examples/CtaTrading/VT_setting.json
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@ -12,5 +12,7 @@
"logActive": false,
"logLevel": "debug",
"logConsole": true,
"logFile": true
"logFile": true,
"tdPenalty": ["IF", "IH", "IC"]
}

24
vnpy/trader/app/ctaStrategy/ctaTemplate.py
View File

@ -269,9 +269,7 @@ class TargetPosTemplate(CtaTemplate):
def trade(self):
"""执行交易"""
# 先撤销之前的委托
for vtOrderID in self.orderList:
self.cancelOrder(vtOrderID)
self.orderList = []
self.cancelAll()
# 如果目标仓位和实际仓位一致，则不进行任何操作
posChange = self.targetPos - self.pos
@ -285,8 +283,12 @@ class TargetPosTemplate(CtaTemplate):
if self.lastTick:
if posChange > 0:
longPrice = self.lastTick.askPrice1 + self.tickAdd
if tick.upperLimit:
longPrice = min(longPrice, tick.upperLimit) # 涨停价检查
else:
shortPrice = self.lastTick.bidPrice1 - self.tickAdd
if tick.lowerLimit:
shortPrice = max(shortPrice, tick.lowerLimit) # 跌停价检查
else:
if posChange > 0:
longPrice = self.lastBar.close + self.tickAdd
@ -310,14 +312,24 @@ class TargetPosTemplate(CtaTemplate):
# 买入
if posChange > 0:
# 若当前有空头持仓
if self.pos < 0:
l = self.cover(longPrice, abs(self.pos))
# 若买入量小于空头持仓，则直接平空买入量
if posChange < abs(self.pos):
l = self.cover(longPrice, posChange)
# 否则先平所有的空头仓位
else:
l = self.cover(longPrice, abs(self.pos))
# 若没有空头持仓，则执行开仓操作
else:
l = self.buy(longPrice, abs(posChange))
# 卖出
# 卖出和以上相反
else:
if self.pos > 0:
l = self.sell(shortPrice, abs(self.pos))
if abs(posChange) < self.pos:
l = self.sell(shortPrice, abs(posChange))
else:
l = self.sell(shortPrice, abs(self.pos))
else:
l = self.short(shortPrice, abs(posChange))
self.orderList.extend(l)