[增强功能] 普通更新

vnpy/app/cta_strategy_pro/back_testing.py

@@ -87,6 +87,7 @@ class BackTestingEngine(object):
         # 引擎类型为回测
         self.engine_type = EngineType.BACKTESTING
         self.contract_type = 'future'  # future, stock, digital
+        self.using_99_contract = True
 
         # 回测策略相关
         self.classes = {}  # 策略类，class_name: stategy_class
@@ -450,6 +451,10 @@ class BackTestingEngine(object):
 
         self.debug = test_setting.get('debug', False)
 
+        if 'using_99_contract' in test_setting:
+            self.using_99_contract = test_setting.get('using_99_contract')
+            self.write_log(f'是否使用指数合约:{self.using_99_contract}')
+
         # 更新数据目录
         if 'data_path' in test_setting:
             self.data_path = test_setting.get('data_path')
@@ -711,21 +716,27 @@ class BackTestingEngine(object):
             symbol, exchange = extract_vt_symbol(vt_symbol)
         elif self.contract_type == 'future':
             symbol = vt_symbol
-            underly_symbol = get_underlying_symbol(symbol).upper()
+            if self.using_99_contract:
-            exchange = self.get_exchange(f'{underly_symbol}99')
+                underly_symbol = get_underlying_symbol(symbol).upper()         # WJ: 当需要回测A1701.DCE时，不能替换成99合约。
+                exchange = self.get_exchange(f'{underly_symbol}99')
+            else:
+                exchange = self.get_exchange(symbol)
             vt_symbol = '.'.join([symbol, exchange.value])
+            strategy_setting.update({'vt_symbol': vt_symbol})
         else:
             symbol = vt_symbol
             exchange = Exchange.LOCAL
             vt_symbol = '.'.join([symbol, exchange.value])
-
-        # 在期货组合回测，中需要把一般配置的主力合约，更换为指数合约
-        if '99' not in symbol and exchange != Exchange.SPD and self.contract_type == 'future':
-            underly_symbol = get_underlying_symbol(symbol).upper()
-            self.write_log(u'更新vt_symbol为指数合约:{}=>{}'.format(vt_symbol, underly_symbol + '99.' + exchange.value))
-            vt_symbol = underly_symbol.upper() + '99.' + exchange.value
             strategy_setting.update({'vt_symbol': vt_symbol})
 
+        # 在期货组合回测时，如果直接使用运行得配置，需要把一般配置的主力合约，更换为指数合约
+        if self.using_99_contract:
+            if '99' not in symbol and exchange != Exchange.SPD and self.contract_type == 'future':
+                underly_symbol = get_underlying_symbol(symbol).upper()
+                self.write_log(u'更新vt_symbol为指数合约:{}=>{}'.format(vt_symbol, underly_symbol + '99.' + exchange.value))
+                vt_symbol = underly_symbol.upper() + '99.' + exchange.value
+                strategy_setting.update({'vt_symbol': vt_symbol})
+
         # 属于自定义套利合约
         if exchange == Exchange.SPD:
             symbol_pairs = symbol.split('-')
@@ -2186,6 +2197,9 @@ class BackTestingEngine(object):
             'test_setting': self.test_setting,  # 回测参数
             'strategy_setting': self.strategy_setting,  # 策略参数
         }
+        # 去除包含"."的域
+        if 'symbol_datas' in d['test_setting'].keys():
+            d['test_setting'].pop('symbol_datas')
 
         #  保存入数据库
         self.mongo_api.db_insert(

vnpy/app/cta_strategy_pro/portfolio_testing.py

@@ -226,8 +226,8 @@ class PortfolioTestingEngine(BackTestingEngine):
             if exchange == Exchange.SPD:
                 try:
                     active_symbol, active_rate, passive_symbol, passive_rate, spd_type = symbol.split('-')
-                    active_vt_symbol = '.'.join([active_symbol, self.get_exchange(symbol=active_symbol)])
+                    active_vt_symbol = '.'.join([active_symbol, self.get_exchange(symbol=active_symbol).value])
-                    passive_vt_symbol = '.'.join([passive_symbol, self.get_exchange(symbol=passive_symbol)])
+                    passive_vt_symbol = '.'.join([passive_symbol, self.get_exchange(symbol=passive_symbol).value])
                     self.load_bar_csv_to_df(active_vt_symbol, self.bar_csv_file.get(active_symbol))
                     self.load_bar_csv_to_df(passive_vt_symbol, self.bar_csv_file.get(passive_symbol))
                 except Exception as ex:
@@ -282,6 +282,8 @@ class PortfolioTestingEngine(BackTestingEngine):
                 str_td = str(bar_data.get('trading_day', ''))
                 if len(str_td) == 8:
                     bar.trading_day = str_td[0:4] + '-' + str_td[4:6] + '-' + str_td[6:8]
+                elif len(str_td) == 10:
+                    bar.trading_day = str_td
                 else:
                     bar.trading_day = get_trading_date(bar_datetime)
 
@@ -473,6 +475,9 @@ def single_test(test_setting: dict, strategy_setting: dict):
         # 回测结果，保存
         engine.show_backtesting_result()
 
+        # 保存策略得内部数据
+        engine.save_strategy_data()
+
     except Exception as ex:
         print('组合回测异常{}'.format(str(ex)))
         traceback.print_exc()

vnpy/app/cta_strategy_pro/template_spread.py

@@ -403,10 +403,14 @@ class CtaSpreadTemplate(CtaTemplate):
 
         # 找到委托单记录
         order_info = None
+        # 优先从活动订单获取
         if trade.vt_orderid in self.active_orders.keys():
             order_info = self.active_orders.get(trade.vt_orderid)
-        if trade.vt_orderid in self.history_orders.keys():
+        # 如果找不到，可能被移动到历史订单中，从历史订单获取
-            order_info = self.history_orders.get(trade.vt_orderid)
+        if not order_info:
+            if trade.vt_orderid in self.history_orders.keys():
+                order_info = self.history_orders.get(trade.vt_orderid)
+       # 找到委托记录
         if order_info is not None:
             # 委托单记录 =》 找到 Grid
             grid = order_info.get('grid')

vnpy/data/tq/tianqin_data.py

@@ -18,7 +18,7 @@ from vnpy.trader.constant import (
     OrderType,
     Interval,
 )
-from vnpy.trader.object import TickData
+from vnpy.trader.object import TickData, BarData
 from vnpy.trader.utility import extract_vt_symbol, get_trading_date
 import pandas as pd
 import csv
@@ -128,7 +128,7 @@ class TqFutureData():
     def __init__(self, strategy=None):
         self.strategy = strategy    # 传进来策略实例，这样可以写日志到策略实例
 
-        self.api = TqApi(TqSim())
+        self.api = TqApi(TqSim(), url="wss://u.shinnytech.com/t/md/front/mobile")
 
     def get_tick_serial(self, vt_symbol: str):
         # 获取最新的8964个数据 tick的话就相当于只有50分钟左右
@@ -191,6 +191,51 @@ class TqFutureData():
 
         return []
 
+    def get_bars(self, vt_symbol: str, start_date: datetime=None, end_date: datetime = None):
+        """
+        获取历史bar（受限于最大长度8964根bar）
+        :param vt_symbol:
+        :param start_date:
+        :param end_date:
+        :return:
+        """
+
+        self.write_log(f"从天勤请求合约:{vt_symbol}开始时间：{start_date}的历史1分钟bar数据")
+        symbol, exchange = extract_vt_symbol(vt_symbol)
+
+        # 获取一分钟数据
+        df = self.api.get_kline_serial(symbol=f'{exchange.value}.{symbol}', duration_seconds=60, data_length=8964)
+        bars = []
+        if df is None:
+            self.write_error(f'返回空白dataframe')
+            return []
+
+        for index, row in df.iterrows():
+            bar_datetime = datetime.strptime(self._nano_to_str(row['datetime']), "%Y-%m-%d %H:%M:%S.%f")
+            if start_date:
+                if bar_datetime < start_date:
+                    continue
+            if end_date:
+                if bar_datetime > end_date:
+                    continue
+            bar = BarData(
+                symbol=symbol,
+                exchange=exchange,
+                datetime=bar_datetime,
+                open_price=row['open'],
+                close_price=row['close'],
+                high_price=row['high'],
+                low_price=row['low'],
+                volume=row['volume'],
+                open_interest=row['close_oi'],
+                trading_day=get_trading_date(bar_datetime),
+                gateway_name='tq'
+            )
+            bars.append(bar)
+
+        return bars
+
+
     def get_ticks(self, vt_symbol: str, start_date: datetime, end_date: datetime = None):
         """获取历史tick"""
 
@@ -291,6 +336,7 @@ class TqFutureData():
         else:
             self.strategy.write_error(msg)
 
+
 if __name__ == '__main__':
     # tqsdk = Query_tqsdk_data(strategy=self)   # 在策略中使用
     tqsdk = TqFutureData()
@@ -298,11 +344,15 @@ if __name__ == '__main__':
     #tick_df = tqsdk.query_tick_history_data(vt_symbol="ni2009.SHFE", start_date=pd.to_datetime("2020-07-22"))
     #print(tick_df)
 
-    ticks = tqsdk.get_runtime_ticks("ni2009.SHFE")
+    #ticks = tqsdk.get_runtime_ticks("ni2009.SHFE")
 
-    print(ticks[0])
+    #print(ticks[0])
+
+    #print(ticks[-1])
+    bars = tqsdk.get_bars(vt_symbol='ni2011.SHFE')
+    print(bars[0])
+    print(bars[-1])
 
-    print(ticks[-1])
 
 
 

vnpy/gateway/ctp/ctp_gateway.py

@@ -926,7 +926,13 @@ class CtpTdApi(TdApi):
             position.cur_price = self.gateway.prices.get(position.vt_symbol, None)
             if position.cur_price is None:
                 position.cur_price = position.price
-                self.gateway.subscribe(SubscribeRequest(symbol=position.symbol, exchange=position.exchange))
+                # 交易所有时候会给一些奇怪得套利合约，并且主动腿和被动腿是相同得，排除掉这些垃圾合约
+                if position.symbol.startswith('SP') and '&' in position.symbol:
+                    act_symbol, pas_symbol = position.symbol.split(' ')[-1].split('&')
+                    if act_symbol != pas_symbol:
+                        self.gateway.subscribe(SubscribeRequest(symbol=position.symbol, exchange=position.exchange))
+                else:
+                    self.gateway.subscribe(SubscribeRequest(symbol=position.symbol, exchange=position.exchange))
 
         if last:
             self.long_option_cost = None

vnpy/gateway/xtp/xtp_gateway.py

@@ -214,13 +214,6 @@ class XtpGateway(BaseGateway):
         self.query_functions = [self.query_account, self.query_position]
         self.event_engine.register(EVENT_TIMER, self.process_timer_event)
 
-    def write_error(self, msg: str, error: dict) -> None:
-        """"""
-        error_id = error["error_id"]
-        error_msg = error["error_msg"]
-        msg = f"{msg}，代码：{error_id}，信息：{error_msg}"
-        self.write_log(msg)
-
 
 class XtpMdApi(MdApi):
 

vnpy/trader/converter.py

@@ -163,16 +163,21 @@ class PositionHolding:
         self.update_order(order)
 
     def update_trade(self, trade: TradeData) -> None:
-        """"""
+        """更新交易"""
+
         if trade.direction == Direction.LONG:
+            # 多，开仓 =》 增加今仓
             if trade.offset == Offset.OPEN:
                 self.long_td += trade.volume
+            # 多，平今 =》减少今仓
             elif trade.offset == Offset.CLOSETODAY:
                 self.short_td -= trade.volume
+            # 多，平昨 =》减少昨仓
             elif trade.offset == Offset.CLOSEYESTERDAY:
                 self.short_yd -= trade.volume
+            # 多，平仓 =》 减少
             elif trade.offset == Offset.CLOSE:
-                if trade.exchange in [Exchange.SHFE, Exchange.INE]:
+                if trade.exchange in [Exchange.SHFE, Exchange.INE] and self.short_yd >=trade.volume:
                     self.short_yd -= trade.volume
                 else:
                     self.short_td -= trade.volume
@@ -189,9 +194,9 @@ class PositionHolding:
             elif trade.offset == Offset.CLOSETODAY:
                 self.long_td -= trade.volume
             elif trade.offset == Offset.CLOSEYESTERDAY:
-                self.long_yd -= trade.volume
+                 self.long_yd -= trade.volume
             elif trade.offset == Offset.CLOSE:
-                if trade.exchange in [Exchange.SHFE, Exchange.INE]:
+                if trade.exchange in [Exchange.SHFE, Exchange.INE] and self.long_yd >=trade.volume:
                     self.long_yd -= trade.volume
                 else:
                     self.long_td -= trade.volume