[增强功能] ctp/sopt增加期权得动态权益，修正资金净值,界面增加当前价；cta_strategy_pro增加获取所有合约接口

vnpy/app/cta_strategy_pro/back_testing.py

@@ -2273,6 +2273,8 @@ class BackTestingEngine(object):
         self.trade_dict.clear()
         self.trades.clear()
         self.trade_pnl_list = []
+        self.last_bar.clear()
+        self.last_dt = None
 
     def append_trade(self, trade: TradeData):
         """

vnpy/app/cta_strategy_pro/engine.py

@@ -868,6 +868,9 @@ class CtaEngine(BaseEngine):
     def get_contract(self, vt_symbol):
         return self.main_engine.get_contract(vt_symbol)
 
+    def get_all_contracts(self):
+        return self.main_engine.get_all_contracts()
+
     def get_account(self, vt_accountid: str = ""):
         """ 查询账号的资金"""
         # 如果启动风控，则使用风控中的最大仓位

vnpy/app/cta_strategy_pro/portfolio_testing.py

@@ -188,6 +188,7 @@ class PortfolioTestingEngine(BackTestingEngine):
         self.cur_capital = self.init_capital  # 更新设置期初资金
         if not self.data_end_date:
             self.data_end_date = datetime.today()
+            self.test_end_date = datetime.now().strftime('%Y%m%d')
 
         # 保存回测脚本到数据库
         self.save_setting_to_mongo()
@@ -275,6 +276,7 @@ class PortfolioTestingEngine(BackTestingEngine):
                 bar.high_price = float(bar_data['high'])
                 bar.low_price = float(bar_data['low'])
                 bar.volume = int(bar_data['volume'])
+                bar.open_interest = int(bar_data.get('open_interest', 0))
                 bar.date = bar_datetime.strftime('%Y-%m-%d')
                 bar.time = bar_datetime.strftime('%H:%M:%S')
                 str_td = str(bar_data.get('trading_day', ''))

vnpy/app/cta_strategy_pro/template.py

@@ -1154,7 +1154,12 @@ class CtaProFutureTemplate(CtaProTemplate):
         self.put_event()
 
     def on_trade(self, trade: TradeData):
-        """交易更新"""
+        """
+        交易更新
+        支持股指期货的对锁单或者解锁
+        :param trade:
+        :return:
+        """
         self.write_log(u'{},交易更新事件:{},当前持仓：{} '
                        .format(self.cur_datetime,
                                trade.__dict__,
@@ -1168,30 +1173,45 @@ class CtaProFutureTemplate(CtaProTemplate):
         dist_record['volume'] = trade.volume
         dist_record['price'] = trade.price
         dist_record['symbol'] = trade.vt_symbol
+        if trade.exchange == Exchange.CFFEX:
+            if trade.direction == Direction.LONG:
+                if abs(self.position.short_pos) >= trade.volume:
+                    self.position.short_pos += trade.volume
+                else:
+                    self.position.long_pos += trade.volume
+            else:
+                if self.position.long_pos >= trade.volume:
+                    self.position.long_pos -= trade.volume
+                else:
+                    self.position.short_pos -= trade.volume
 
-        if trade.direction == Direction.LONG and trade.offset == Offset.OPEN:
+            self.position.pos = self.position.long_pos + self.position.short_pos
-            dist_record['operation'] = 'buy'
-            self.position.open_pos(trade.direction, volume=trade.volume)
             dist_record['long_pos'] = self.position.long_pos
             dist_record['short_pos'] = self.position.short_pos
+        else:
+            if trade.direction == Direction.LONG and trade.offset == Offset.OPEN:
+                dist_record['operation'] = 'buy'
+                self.position.open_pos(trade.direction, volume=trade.volume)
+                dist_record['long_pos'] = self.position.long_pos
+                dist_record['short_pos'] = self.position.short_pos
 
-        if trade.direction == Direction.SHORT and trade.offset == Offset.OPEN:
+            if trade.direction == Direction.SHORT and trade.offset == Offset.OPEN:
-            dist_record['operation'] = 'short'
+                dist_record['operation'] = 'short'
-            self.position.open_pos(trade.direction, volume=trade.volume)
+                self.position.open_pos(trade.direction, volume=trade.volume)
-            dist_record['long_pos'] = self.position.long_pos
+                dist_record['long_pos'] = self.position.long_pos
-            dist_record['short_pos'] = self.position.short_pos
+                dist_record['short_pos'] = self.position.short_pos
 
-        if trade.direction == Direction.LONG and trade.offset != Offset.OPEN:
+            if trade.direction == Direction.LONG and trade.offset != Offset.OPEN:
-            dist_record['operation'] = 'cover'
+                dist_record['operation'] = 'cover'
-            self.position.close_pos(trade.direction, volume=trade.volume)
+                self.position.close_pos(trade.direction, volume=trade.volume)
-            dist_record['long_pos'] = self.position.long_pos
+                dist_record['long_pos'] = self.position.long_pos
-            dist_record['short_pos'] = self.position.short_pos
+                dist_record['short_pos'] = self.position.short_pos
 
-        if trade.direction == Direction.SHORT and trade.offset != Offset.OPEN:
+            if trade.direction == Direction.SHORT and trade.offset != Offset.OPEN:
-            dist_record['operation'] = 'sell'
+                dist_record['operation'] = 'sell'
-            self.position.close_pos(trade.direction, volume=trade.volume)
+                self.position.close_pos(trade.direction, volume=trade.volume)
-            dist_record['long_pos'] = self.position.long_pos
+                dist_record['long_pos'] = self.position.long_pos
-            dist_record['short_pos'] = self.position.short_pos
+                dist_record['short_pos'] = self.position.short_pos
 
         self.save_dist(dist_record)
         self.pos = self.position.pos

vnpy/app/cta_strategy_pro/template_spread.py

@@ -71,12 +71,21 @@ class CtaSpreadTemplate(CtaTemplate):
 
         self.act_price_tick = None  # 主动合约价格跳动
         self.pas_price_tick = None  # 被动合约价格跳动
+        self.act_symbol_size = None
+        self.pas_symbol_size = None
+        self.act_margin_rate = None
+        self.pas_margin_rate = None
 
         self.act_pos = None  # 主动合约得holding pos
         self.pas_pos = None  # 被动合约得holding pos
 
         self.last_minute = None  # 最后的分钟,用于on_tick内每分钟处理的逻辑
 
+        # 资金相关
+        self.max_invest_rate = 0.1  # 最大仓位(0~1)
+        self.max_invest_margin = 0  # 资金上限 0，不限制
+        self.max_invest_pos = 0  # 单向头寸数量上限 0，不限制
+
     def update_setting(self, setting: dict):
         """更新配置参数"""
         super().update_setting(setting)
@@ -85,6 +94,10 @@ class CtaSpreadTemplate(CtaTemplate):
         self.pas_symbol, self.pas_exchange = extract_vt_symbol(self.pas_vt_symbol)
         self.act_price_tick = self.cta_engine.get_price_tick(self.act_vt_symbol)
         self.pas_price_tick = self.cta_engine.get_price_tick(self.pas_vt_symbol)
+        self.act_symbol_size = self.cta_engine.get_size(self.act_vt_symbol)
+        self.pas_symbol_size = self.cta_engine.get_size(self.pas_vt_symbol)
+        self.act_margin_rate = self.cta_engine.get_margin_rate(self.act_vt_symbol)
+        self.pas_margin_rate = self.cta_engine.get_margin_rate(self.pas_vt_symbol)
 
         # 实盘采用FAK
         if not self.backtesting and self.activate_fak:
@@ -467,6 +480,11 @@ class CtaSpreadTemplate(CtaTemplate):
         except Exception as ex:
             self.write_error(u'save_tns 异常:{} {}'.format(str(ex), traceback.format_exc()))
 
+    def save_data(self):
+        """保存过程数据"""
+        if not self.backtesting:
+            return
+
     def send_wechat(self, msg: str):
         """实盘时才发送微信"""
         if self.backtesting:
@@ -529,7 +547,7 @@ class CtaSpreadTemplate(CtaTemplate):
         if trade.offset == Offset.OPEN:
             # 更新开仓均价/数量
             if trade.vt_symbol == self.act_vt_symbol:
-                opened_price = grid.snapshot.get('act_open_price', grid.volume * self.act_vol_ratio)
+                opened_price = grid.snapshot.get('act_open_price', 0)
                 opened_volume = grid.snapshot.get('act_open_volume', grid.volume * self.act_vol_ratio)
                 act_open_volume = opened_volume + trade.volume
                 act_open_price = (opened_price * opened_volume + trade.price * trade.volume) / act_open_volume
@@ -632,6 +650,9 @@ class CtaSpreadTemplate(CtaTemplate):
         # 在策略得活动订单中，移除
         self.active_orders.pop(order.vt_orderid, None)
         self.gt.save()
+        if len(self.active_orders) < 1:
+            self.entrust = 0
+            return
 
     def on_order_open_canceled(self, order: OrderData):
         """
@@ -1202,12 +1223,16 @@ class CtaSpreadTemplate(CtaTemplate):
             self.write_error(f'spd_short，{self.pas_vt_symbol}开多仓{grid.volume * self.pas_vol_ratio}手失败，'
                              f'委托价:{self.cur_pas_tick.ask_price_1}')
             return []
-        grid.snapshot.update({"act_vt_symbol": self.act_vt_symbol, "act_open_volume": grid.volume * self.act_vol_ratio,
+        # WJ: update_grid_trade() 中会根据实际交易的数目更新 act_open_volume & pas_open_volume，
-                              "pas_vt_symbol": self.pas_vt_symbol, "pas_open_volume": grid.volume * self.pas_vol_ratio})
+        # 所以这里必须设置为初始值0，否则grid中的 open_volume会是实际持仓的2倍，导致spd_sell & spd_cover时失败
+        # grid.snapshot.update({"act_vt_symbol": self.act_vt_symbol, "act_open_volume": grid.volume * self.act_vol_ratio,
+        #                       "pas_vt_symbol": self.pas_vt_symbol, "pas_open_volume": grid.volume * self.pas_vol_ratio})
+        grid.snapshot.update({"act_vt_symbol": self.act_vt_symbol, "act_open_volume": 0,
+                              "pas_vt_symbol": self.pas_vt_symbol, "pas_open_volume": 0})
         grid.order_status = True
         grid.order_datetime = self.cur_datetime
 
-        vt_orderids = act_vt_orderids.extend(pas_vt_orderids)
+        vt_orderids = act_vt_orderids + pas_vt_orderids  # 不能用act_vt_orderids.extend(pas_vt_orderids)，它的返回值为 None，会导致没有vt_orderids
         self.write_log(u'spd short vt_order_ids：{0}'.format(vt_orderids))
         return vt_orderids
 
@@ -1264,11 +1289,11 @@ class CtaSpreadTemplate(CtaTemplate):
             self.write_error(f'spd_short，{self.pas_vt_symbol}开空仓{grid.volume * self.pas_vol_ratio}手失败，'
                              f'委托价:{self.cur_pas_tick.bid_price_1}')
             return []
-        grid.snapshot.update({"act_vt_symbol": self.act_vt_symbol, "act_open_volume": grid.volume * self.act_vol_ratio,
+        grid.snapshot.update({"act_vt_symbol": self.act_vt_symbol, "act_open_volume": 0,
-                              "pas_vt_symbol": self.pas_vt_symbol, "pas_open_volume": grid.volume * self.pas_vol_ratio})
+                              "pas_vt_symbol": self.pas_vt_symbol, "pas_open_volume": 0})
         grid.order_status = True
         grid.order_datetime = self.cur_datetime
-        vt_orderids = act_vt_orderids.extend(pas_vt_orderids)
+        vt_orderids = act_vt_orderids + pas_vt_orderids
         self.write_log(u'spd buy vt_ordderids：{}'.format(vt_orderids))
         return vt_orderids
 
@@ -1342,7 +1367,7 @@ class CtaSpreadTemplate(CtaTemplate):
 
         grid.order_status = True
         grid.order_datetime = self.cur_datetime
-        vt_orderids = act_vt_orderids.extend(pas_vt_orderids)
+        vt_orderids = act_vt_orderids + pas_vt_orderids
         self.write_log(f'spd sell vt_orderids：{vt_orderids}')
         return vt_orderids
 
@@ -1415,6 +1440,6 @@ class CtaSpreadTemplate(CtaTemplate):
 
         grid.order_status = True
         grid.order_datetime = self.cur_datetime
-        vt_orderids = act_vt_orderids.extend(pas_vt_orderids)
+        vt_orderids = act_vt_orderids + pas_vt_orderids
         self.write_log(f'spd cover vt_orderids：{vt_orderids}')
         return vt_orderids

vnpy/gateway/binancef/binancef_gateway.py

@@ -214,6 +214,8 @@ class BinancefRestApi(RestClient):
 
         self.orders = {}
 
+        self.cache_position_symbols = {}
+
         self.accountid = ""
 
     def sign(self, request: Request) -> Request:
@@ -561,6 +563,15 @@ class BinancefRestApi(RestClient):
                 pnl=float(d["unRealizedProfit"]),
                 gateway_name=self.gateway_name,
             )
+
+            # 如果持仓数量为0，且不在之前缓存过的合约信息中，不做on_position
+            if position.volume == 0:
+                if position.symbol not in self.cache_position_symbols:
+                    continue
+            else:
+                if position.symbol not in self.cache_position_symbols:
+                    self.cache_position_symbols.update({position.symbol: position.volume})
+
             self.gateway.on_position(position)
             #if position.symbol == 'BTCUSDT':
             #    self.gateway.write_log(f'{position.__dict__}\n {d}')

vnpy/gateway/ctp/ctp_gateway.py

@@ -154,6 +154,7 @@ OPTIONTYPE_CTP2VT = {
 MAX_FLOAT = sys.float_info.max
 
 symbol_exchange_map = {}
+option_name_map = {}
 symbol_name_map = {}
 symbol_size_map = {}
 index_contracts = {}
@@ -764,6 +765,9 @@ class CtpTdApi(TdApi):
 
         self.accountid = self.userid
 
+        self.long_option_cost = None  # 多头期权动态市值
+        self.short_option_cost = None  # 空头期权动态市值
+
     def onFrontConnected(self):
         """"""
         self.gateway.write_log("交易服务器连接成功")
@@ -903,7 +907,10 @@ class CtpTdApi(TdApi):
 
             # Update new position volume
             position.volume += data["Position"]
-            position.pnl += data["PositionProfit"]
+            if data["PositionProfit"] == 0 and position.symbol in option_name_map:
+                position.pnl += data["PositionCost"] - data["OpenCost"]
+            else:
+                position.pnl += data["PositionProfit"]
 
             # Calculate average position price
             if position.volume and size:
@@ -916,8 +923,34 @@ class CtpTdApi(TdApi):
             else:
                 position.frozen += data["LongFrozen"]
 
+            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))
+
         if last:
+            self.long_option_cost = None
+            self.short_option_cost = None
             for position in self.positions.values():
+                if position.symbol in option_name_map:
+                    # 重新累计多头期权动态权益
+                    if position.direction == Direction.LONG:
+                        if self.long_option_cost is None:
+                            self.long_option_cost = position.cur_price * position.volume * symbol_size_map.get(
+                                position.symbol, 0)
+                        else:
+                            self.long_option_cost += position.cur_price * position.volume * symbol_size_map.get(
+                                position.symbol, 0)
+
+                    # 重新累计空头期权动态权益
+                    if position.direction == Direction.SHORT:
+                        if self.short_option_cost is None:
+                            self.short_option_cost = position.cur_price * position.volume * symbol_size_map.get(
+                                position.symbol, 0)
+                        else:
+                            self.short_option_cost += position.cur_price * position.volume * symbol_size_map.get(
+                                position.symbol, 0)
+
                 self.gateway.on_position(position)
 
             self.positions.clear()
@@ -929,10 +962,16 @@ class CtpTdApi(TdApi):
         if len(self.accountid)== 0:
             self.accountid = data['AccountID']
 
+        balance = float(data["Balance"])
+        if self.long_option_cost is not None:
+            balance += self.long_option_cost
+        if self.short_option_cost is not None:
+            balance -= self.short_option_cost
+
         account = AccountData(
             accountid=data["AccountID"],
             pre_balance=round(float(data['PreBalance']), 7),
-            balance=round(float(data["Balance"]), 7),
+            balance=round(balance, 7),
             frozen=round(data["FrozenMargin"] + data["FrozenCash"] + data["FrozenCommission"], 7),
             gateway_name=self.gateway_name
         )
@@ -986,6 +1025,7 @@ class CtpTdApi(TdApi):
                 contract.option_strike = data["StrikePrice"]
                 contract.option_index = str(data["StrikePrice"])
                 contract.option_expiry = datetime.strptime(data["ExpireDate"], "%Y%m%d")
+                option_name_map[contract.symbol] = contract.name
 
             self.gateway.on_contract(contract)
 

vnpy/gateway/gj/gj_gateway.py

@@ -1167,7 +1167,7 @@ class TqMdApi():
             return
         try:
             from tqsdk import TqApi
-            self.api = TqApi(_stock=True)
+            self.api = TqApi(_stock=True,url="wss://u.shinnytech.com/t/nfmd/front/mobile")
         except Exception as e:
             self.gateway.write_log(f'天勤股票行情API接入异常:'.format(str(e)))
             self.gateway.write_log(traceback.format_exc())

vnpy/gateway/sopt/sopt_gateway.py

@@ -125,7 +125,7 @@ CHINA_TZ = pytz.timezone("Asia/Shanghai")
 symbol_exchange_map = {}
 symbol_name_map = {}
 symbol_size_map = {}
-
+option_name_map = {}
 
 class SoptGateway(BaseGateway):
     """
@@ -388,7 +388,7 @@ class SoptMdApi(MdApi):
             return
         timestamp = f"{data['TradingDay']} {data['UpdateTime']}.{int(data['UpdateMillisec']/100)}"
         dt = datetime.strptime(timestamp, "%Y%m%d %H:%M:%S.%f")
-        dt = CHINA_TZ.localize(dt)
+        #dt = CHINA_TZ.localize(dt)
 
         tick = TickData(
             symbol=symbol,
@@ -523,6 +523,9 @@ class SoptTdApi(TdApi):
         self.positions = {}
         self.sysid_orderid_map = {}
 
+        self.long_option_cost = None    # 多头期权动态市值
+        self.short_option_cost = None   # 空头期权动态市值
+
     def onFrontConnected(self):
         """"""
         self.gateway.write_log("交易服务器连接成功")
@@ -618,11 +621,14 @@ class SoptTdApi(TdApi):
         if not data:
             return
 
+        #self.gateway.write_log(print_dict(data))
+
         # Get buffered position object
         key = f"{data['InstrumentID'], data['PosiDirection']}"
         position = self.positions.get(key, None)
         if not position:
             position = PositionData(
+                accountid=self.userid,
                 symbol=data["InstrumentID"],
                 exchange=symbol_exchange_map[data["InstrumentID"]],
                 direction=DIRECTION_SOPT2VT[data["PosiDirection"]],
@@ -646,7 +652,10 @@ class SoptTdApi(TdApi):
 
         # Update new position volume
         position.volume += data["Position"]
-        position.pnl += data["PositionProfit"]
+        if data["PositionProfit"] == 0:
+            position.pnl += data["PositionCost"] - data["OpenCost"]
+        else:
+            position.pnl += data["PositionProfit"]
 
         # Calculate average position price
         if position.volume and size:
@@ -659,27 +668,63 @@ class SoptTdApi(TdApi):
         else:
             position.frozen += data["LongFrozen"]
 
+        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))
+
         if last:
+            self.long_option_cost = None
+            self.short_option_cost = None
             for position in self.positions.values():
+                if position.symbol in option_name_map:
+                    # 重新累计多头期权动态权益
+                    if position.direction == Direction.LONG:
+                        if self.long_option_cost is None:
+                            self.long_option_cost = position.cur_price * position.volume * symbol_size_map.get(position.symbol, 0)
+                        else:
+                            self.long_option_cost += position.cur_price * position.volume * symbol_size_map.get(position.symbol, 0)
+
+                    # 重新累计空头期权动态权益
+                    if position.direction == Direction.SHORT:
+                        if self.short_option_cost is None:
+                            self.short_option_cost = position.cur_price * position.volume * symbol_size_map.get(position.symbol, 0)
+                        else:
+                            self.short_option_cost += position.cur_price * position.volume * symbol_size_map.get(position.symbol, 0)
+
                 self.gateway.on_position(position)
 
             self.positions.clear()
 
     def onRspQryTradingAccount(self, data: dict, error: dict, reqid: int, last: bool):
         """"""
+
+        balance = float(data["Balance"])
+
+        # 资金差额（权利金，正数，是卖call或卖put，收入权利金; 负数，是买call、买put，付出权利金）
+        cash_in = data.get('CashIn')
+        #balance -= cash_in
+
+        if self.long_option_cost is not None:
+            balance += self.long_option_cost
+        if self.short_option_cost is not None:
+            balance -= self.short_option_cost
         account = AccountData(
             accountid=data["AccountID"],
-            balance=data["Balance"],
+            balance=balance,
             frozen=data["FrozenMargin"] + data["FrozenCash"] + data["FrozenCommission"],
             gateway_name=self.gateway_name
         )
-        account.available = data["Available"]
-        account.commission = round(float(data['Commission']), 7)
-        account.margin = round(float(data['CurrMargin']), 7)
-        account.close_profit = round(float(data['CloseProfit']), 7)
-        account.holding_profit = round(float(data['PositionProfit']), 7)
 
-        account.trading_day = str(data.get('TradingDay',datetime.now().strftime('%Y-%m-%d')))
+        #self.gateway.write_log(print_dict(data))
+
+        account.available = data["Available"]
+        account.commission = round(float(data['Commission']), 7) + round(float(data['SpecProductCommission']), 7)
+        account.margin = round(float(data['CurrMargin']), 7)
+        account.close_profit = round(float(data['CloseProfit']), 7) + round(float(data['SpecProductCloseProfit']), 7)
+        account.holding_profit = round(float(data['PositionProfit']), 7) + round(float(data['SpecProductPositionProfit']), 7)
+
+        account.trading_day = str(data.get('TradingDay', datetime.now().strftime('%Y-%m-%d')))
         if '-' not in account.trading_day and len(account.trading_day) == 8:
             account.trading_day = '-'.join(
                 [
@@ -701,7 +746,7 @@ class SoptTdApi(TdApi):
             contract = ContractData(
                 symbol=data["InstrumentID"],
                 exchange=EXCHANGE_SOPT2VT[data["ExchangeID"]],
-                name=data["InstrumentName"],
+                name=data["InstrumentName"].strip(),
                 product=product,
                 size=data["VolumeMultiple"],
                 pricetick=data["PriceTick"],
@@ -724,6 +769,7 @@ class SoptTdApi(TdApi):
                 contract.option_index = get_option_index(
                     contract.option_strike, data["InstrumentCode"]
                 )
+                option_name_map[contract.symbol] = contract.name
 
             self.gateway.on_contract(contract)
 

vnpy/trader/ui/widget.py

@@ -467,6 +467,7 @@ class PositionMonitor(BaseMonitor):
         "volume": {"display": "数量", "cell": BaseCell, "update": True},
         "yd_volume": {"display": "昨仓", "cell": BaseCell, "update": True},
         "frozen": {"display": "冻结", "cell": BaseCell, "update": True},
+        "cur_price": {"display": "当前价", "cell": BaseCell, "update": True},
         "price": {"display": "均价", "cell": BaseCell, "update": True},
         "pnl": {"display": "盈亏", "cell": PnlCell, "update": True},
         "gateway_name": {"display": "接口", "cell": BaseCell, "update": False},