[improved] bug fix 可用资金,增加支持港股、美股，币安现货

vnpy/app/cta_strategy_pro/back_testing.py

@@ -106,6 +106,7 @@ class BackTestingEngine(object):
         self.fix_commission = {}  # 每手固定手续费
         self.size = {}  # 合约大小，默认为1
         self.price_tick = {}  # 价格最小变动
+        self.volume_tick = {}  # 合约委托单最小单位
         self.margin_rate = {}  # 回测合约的保证金比率
         self.price_dict = {}  # 登记vt_symbol对应的最新价
         self.contract_dict = {}  # 登记vt_symbol得对应合约信息
@@ -161,7 +162,7 @@ class BackTestingEngine(object):
         self.net_capital = self.init_capital  # 实时资金净值（每日根据capital和持仓浮盈计算）
         self.max_capital = self.init_capital  # 资金最高净值
         self.max_net_capital = self.init_capital
-        self.avaliable = self.init_capital
+        self.available = self.init_capital
 
         self.max_pnl = 0  # 最高盈利
         self.min_pnl = 0  # 最大亏损
@@ -256,7 +257,7 @@ class BackTestingEngine(object):
         if self.net_capital == 0.0:
             self.percent = 0.0
 
-        return self.net_capital, self.avaliable, self.percent, self.percent_limit
+        return self.net_capital, self.available, self.percent, self.percent_limit
 
     def set_test_start_date(self, start_date: str = '20100416', init_days: int = 10):
         """设置回测的启动日期"""
@@ -289,7 +290,7 @@ class BackTestingEngine(object):
         self.net_capital = capital  # 实时资金净值（每日根据capital和持仓浮盈计算）
         self.max_capital = capital  # 资金最高净值
         self.max_net_capital = capital
-        self.avaliable = capital
+        self.available = capital
         self.init_capital = capital
 
     def set_margin_rate(self, vt_symbol: str, margin_rate: float):
@@ -345,8 +346,15 @@ class BackTestingEngine(object):
     def get_price_tick(self, vt_symbol: str):
         return self.price_tick.get(vt_symbol, 1)
 
+    def set_volume_tick(self, vt_symbol: str, volume_tick: float):
+        """设置委托单最小单位"""
+        self.volume_tick.update({vt_symbol: volume_tick})
+
+    def get_volume_tick(self, vt_symbol: str):
+        return self.volume_tick.get(vt_symbol, 1)
+
     def set_contract(self, symbol: str, exchange: Exchange, product: Product, name: str, size: int,
-                     price_tick: float, margin_rate: float = 0.1):
+                     price_tick: float, volume_tick: float = 1, margin_rate: float = 0.1):
         """设置合约信息"""
         vt_symbol = '.'.join([symbol, exchange.value])
         if vt_symbol not in self.contract_dict:
@@ -364,6 +372,7 @@ class BackTestingEngine(object):
             self.set_size(vt_symbol, size)
             self.set_margin_rate(vt_symbol, margin_rate)
             self.set_price_tick(vt_symbol, price_tick)
+            self.set_volume_tick(vt_symbol, volume_tick)
             self.symbol_exchange_dict.update({symbol: exchange})
 
     @lru_cache()
@@ -528,7 +537,8 @@ class BackTestingEngine(object):
         for symbol, symbol_data in data_dict.items():
             self.write_log(u'配置{}数据:{}'.format(symbol, symbol_data))
             self.set_price_tick(symbol, symbol_data.get('price_tick', 1))
-
+            volume_tick = symbol_data.get('min_volume', symbol_data.get('volume_tick', 1))
+            self.set_volume_tick(symbol, volume_tick)
             self.set_slippage(symbol, symbol_data.get('slippage', 0))
 
             self.set_size(symbol, symbol_data.get('symbol_size', 10))
@@ -544,6 +554,7 @@ class BackTestingEngine(object):
                 product=Product(symbol_data.get('product', "期货")),
                 size=symbol_data.get('symbol_size', 10),
                 price_tick=symbol_data.get('price_tick', 1),
+                volume_tick=volume_tick,
                 margin_rate=margin_rate
             )
 
@@ -1786,7 +1797,7 @@ class BackTestingEngine(object):
                                 occupy_short_money_dict.get(underly_symbol, 0))
 
         # 可用资金 = 当前净值 - 占用保证金
-        self.avaliable = self.net_capital - occupy_money
+        self.available = self.net_capital - occupy_money
         # 当前保证金占比
         self.percent = round(float(occupy_money * 100 / self.net_capital), 2)
         # 更新最大保证金占比
@@ -1840,7 +1851,7 @@ class BackTestingEngine(object):
             self.write_log(msg)
 
         # 重新计算一次avaliable
-        self.avaliable = self.net_capital - occupy_money
+        self.available = self.net_capital - occupy_money
         self.percent = round(float(occupy_money * 100 / self.net_capital), 2)
 
     def saving_daily_data(self, d, c, m, commission, benchmark=0):

vnpy/app/cta_strategy_pro/engine.py

@@ -28,7 +28,10 @@ from vnpy.trader.object import (
     SubscribeRequest,
     LogData,
     TickData,
-    ContractData
+    ContractData,
+    HistoryRequest,
+    Interval,
+    BarData
 )
 from vnpy.trader.event import (
     EVENT_TIMER,
@@ -351,6 +354,7 @@ class CtaEngine(BaseEngine):
         # Update GUI
         self.put_strategy_event(strategy)
 
+        # 如果配置文件 cta_stock_config.json中，有trade_2_wx的设置项，则发送微信通知
         if self.engine_config.get('trade_2_wx', False):
             accountid = self.engine_config.get('accountid', 'XXX')
             d = {
@@ -371,7 +375,6 @@ class CtaEngine(BaseEngine):
 
         self.offset_converter.update_position(position)
 
-
     def check_unsubscribed_symbols(self):
         """检查未订阅合约"""
 
@@ -809,11 +812,22 @@ class CtaEngine(BaseEngine):
         """查询价格最小跳动"""
         contract = self.main_engine.get_contract(vt_symbol)
         if contract is None:
-            self.write_error(f'查询不到{vt_symbol}合约信息')
+            self.write_error(f'查询不到{vt_symbol}合约信息，缺省使用0.1作为价格跳动')
             return 0.1
 
         return contract.pricetick
 
+    @lru_cache()
+    def get_volume_tick(self, vt_symbol: str):
+        """查询合约的最小成交数量"""
+        contract = self.main_engine.get_contract(vt_symbol)
+        if contract is None:
+            self.write_error(f'查询不到{vt_symbol}合约信息,缺省使用1作为最小成交数量')
+            return 1
+
+        return contract.min_volume
+
+
     def get_tick(self, vt_symbol: str):
         """获取合约得最新tick"""
         return self.main_engine.get_tick(vt_symbol)
@@ -878,6 +892,40 @@ class CtaEngine(BaseEngine):
         log_path = os.path.abspath(os.path.join(TRADER_DIR, 'log'))
         return log_path
 
+    def load_bar(
+            self,
+            vt_symbol: str,
+            days: int,
+            interval: Interval,
+            callback: Callable[[BarData], None],
+            interval_num: int = 1
+    ):
+        """获取历史记录"""
+        symbol, exchange = extract_vt_symbol(vt_symbol)
+        end = datetime.now()
+        start = end - timedelta(days)
+        bars = []
+
+        # Query bars from gateway if available
+        contract = self.main_engine.get_contract(vt_symbol)
+
+        if contract and contract.history_data:
+            req = HistoryRequest(
+                symbol=symbol,
+                exchange=exchange,
+                interval=interval,
+                interval_num=interval_num,
+                start=start,
+                end=end
+            )
+            bars = self.main_engine.query_history(req, contract.gateway_name)
+
+        for bar in bars:
+            if bar.trading_day:
+                bar.trading_day = bar.datetime.strftime('%Y-%m-%d')
+
+            callback(bar)
+
     def call_strategy_func(
             self, strategy: CtaTemplate, func: Callable, params: Any = None
     ):

vnpy/app/cta_strategy_pro/portfolio_testing.py

@@ -131,6 +131,9 @@ class PortfolioTestingEngine(BackTestingEngine):
         :return:
         """
         self.output('comine_df')
+        if len(self.bar_df_dict) == 0:
+            self.output(f'无加载任何数据,请检查bar文件路径配置')
+
         self.bar_df = pd.concat(self.bar_df_dict, axis=0).swaplevel(0, 1).sort_index()
         self.bar_df_dict.clear()
 

vnpy/data/binance/binance_spot_data.py

@@ -0,0 +1,229 @@
+# 币安现货数据
+
+import os
+import json
+from typing import Dict, List, Any
+from datetime import datetime, timedelta
+from vnpy.api.rest.rest_client import RestClient
+from vnpy.trader.object import (
+    Interval,
+    Exchange,
+    Product,
+    BarData,
+    HistoryRequest
+)
+from vnpy.trader.utility import save_json, load_json
+
+BINANCE_INTERVALS = ["1m", "3m", "5m", "15m", "30m", "1h", "2h", "4h", "6h", "8h", "12h", "1d", "3d", "1w", "1M"]
+
+INTERVAL_VT2BINANCEF: Dict[Interval, str] = {
+    Interval.MINUTE: "1m",
+    Interval.HOUR: "1h",
+    Interval.DAILY: "1d",
+}
+
+TIMEDELTA_MAP: Dict[Interval, timedelta] = {
+    Interval.MINUTE: timedelta(minutes=1),
+    Interval.HOUR: timedelta(hours=1),
+    Interval.DAILY: timedelta(days=1),
+}
+
+REST_HOST: str = "https://api.binance.com"
+
+
+class BinanceSpotData(RestClient):
+    """现货数据接口"""
+
+    def __init__(self, parent=None):
+        super().__init__()
+        self.parent = parent
+        self.init(url_base=REST_HOST)
+
+    def write_log(self, msg):
+        """日志"""
+        if self.parent and hasattr(self.parent, 'write_log'):
+            func = getattr(self.parent, 'write_log')
+            func(msg)
+        else:
+            print(msg)
+
+    def get_interval(self, interval, interval_num):
+        """ =》K线间隔"""
+        t = interval[-1]
+        b_interval = f'{interval_num}{t}'
+        if b_interval not in BINANCE_INTERVALS:
+            return interval
+        else:
+            return b_interval
+
+    def get_bars(self,
+                 req: HistoryRequest,
+                 return_dict=True,
+                 ) -> List[Any]:
+        """获取历史kline"""
+        bars = []
+        limit = 1000
+        start_time = int(datetime.timestamp(req.start))
+        b_interval = self.get_interval(INTERVAL_VT2BINANCEF[req.interval], req.interval_num)
+        while True:
+            # Create query params
+            params = {
+                "symbol": req.symbol,
+                "interval": b_interval,
+                "limit": limit,
+                "startTime": start_time * 1000,  # convert to millisecond
+            }
+
+            # Add end time if specified
+            if req.end:
+                end_time = int(datetime.timestamp(req.end))
+                params["endTime"] = end_time * 1000  # convert to millisecond
+
+            # Get response from server
+            resp = self.request(
+                "GET",
+                "/api/v3/klines",
+                data={},
+                params=params
+            )
+
+            # Break if request failed with other status code
+            if resp.status_code // 100 != 2:
+                msg = f"获取历史数据失败，状态码：{resp.status_code}，信息：{resp.text}"
+                self.write_log(msg)
+                break
+            else:
+                datas = resp.json()
+                if not datas:
+                    msg = f"获取历史数据为空，开始时间：{start_time}"
+                    self.write_log(msg)
+                    break
+
+                buf = []
+                begin, end = None, None
+                for data in datas:
+                    dt = datetime.fromtimestamp(data[0] / 1000)  # convert to second
+                    if not begin:
+                        begin = dt
+                    end = dt
+                    if return_dict:
+                        bar = {
+                            "datetime": dt,
+                            "symbol": req.symbol,
+                            "exchange": req.exchange.value,
+                            "vt_symbol": f'{req.symbol}.{req.exchange.value}',
+                            "interval": req.interval.value,
+                            "volume": float(data[5]),
+                            "open": float(data[1]),
+                            "high": float(data[2]),
+                            "low": float(data[3]),
+                            "close": float(data[4]),
+                            "gateway_name": "",
+                            "open_interest": 0,
+                            "trading_day": dt.strftime('%Y-%m-%d')
+                        }
+                    else:
+                        bar = BarData(
+                            symbol=req.symbol,
+                            exchange=req.exchange,
+                            datetime=dt,
+                            trading_day=dt.strftime('%Y-%m-%d'),
+                            interval=req.interval,
+                            volume=float(data[5]),
+                            open_price=float(data[1]),
+                            high_price=float(data[2]),
+                            low_price=float(data[3]),
+                            close_price=float(data[4]),
+                            gateway_name=self.gateway_name
+                        )
+                    buf.append(bar)
+
+                bars.extend(buf)
+
+                msg = f"获取历史数据成功，{req.symbol} - {b_interval}，{begin} - {end}"
+                self.write_log(msg)
+
+                # Break if total data count less than limit (latest date collected)
+                if len(datas) < limit:
+                    break
+
+                # Update start time
+                start_dt = end + TIMEDELTA_MAP[req.interval] * req.interval_num
+                start_time = int(datetime.timestamp(start_dt))
+
+        return bars
+
+    def export_to(self, bars, file_name):
+        """导出bar到文件"""
+        if len(bars) == 0:
+            self.write_log('not data in bars')
+            return
+
+        import pandas as pd
+        df = pd.DataFrame(bars)
+        df = df.set_index('datetime')
+        df.index.name = 'datetime'
+        df.to_csv(file_name, index=True)
+        self.write_log('保存成功')
+
+    def get_contracts(self):
+
+        contracts = {}
+        # Get response from server
+        resp = self.request(
+            "GET",
+            "/api/v3/exchangeInfo",
+            data={}
+        )
+        if resp.status_code // 100 != 2:
+            msg = f"获取交易所失败，状态码：{resp.status_code}，信息：{resp.text}"
+            self.write_log(msg)
+        else:
+            data = resp.json()
+            for d in data["symbols"]:
+                self.write_log(json.dumps(d, indent=2))
+                base_currency = d["baseAsset"]
+                quote_currency = d["quoteAsset"]
+                name = f"{base_currency.upper()}/{quote_currency.upper()}"
+
+                pricetick = 1
+                min_volume = 1
+
+                for f in d["filters"]:
+                    if f["filterType"] == "PRICE_FILTER":
+                        pricetick = float(f["tickSize"])
+                    elif f["filterType"] == "LOT_SIZE":
+                        min_volume = float(f["stepSize"])
+
+                contract = {
+                    "symbol": d["symbol"],
+                    "exchange": Exchange.BINANCE.value,
+                    "vt_symbol": d["symbol"] + '.' + Exchange.BINANCE.value,
+                    "name": name,
+                    "price_tick": pricetick,
+                    "symbol_size": 20,
+                    "margin_rate": 1,
+                    "min_volume": min_volume,
+                    "product": Product.SPOT.value,
+                    "commission_rate": 0.005
+                }
+
+                contracts.update({contract.get('vt_symbol'): contract})
+
+        return contracts
+
+    @classmethod
+    def load_contracts(self):
+        """读取本地配置文件获取期货合约配置"""
+        f = os.path.abspath(os.path.join(os.path.dirname(__file__), 'spot_contracts.json'))
+        contracts = load_json(f, auto_save=False)
+        return contracts
+
+    def save_contracts(self):
+        """保存合约配置"""
+        contracts = self.get_contracts()
+
+        if len(contracts) > 0:
+            f = os.path.abspath(os.path.join(os.path.dirname(__file__), 'spot_contracts.json'))
+            save_json(f, contracts)
+            self.write_log(f'保存合约配置=>{f}')

vnpy/data/tdx/tdx_future_data.py

@@ -398,7 +398,7 @@ class TdxFutureData(object):
                         add_bar.low_price = float(row['low'])
                         add_bar.close_price = float(row['close'])
                         add_bar.volume = float(row['volume'])
-                        add_bar.openInterest = float(row['open_interest'])
+                        add_bar.open_interest = float(row['open_interest'])
                     except Exception as ex:
                         self.write_error(
                             'error when convert bar:{},ex:{},t:{}'.format(row, str(ex), traceback.format_exc()))

vnpy/trader/engine.py

@@ -453,9 +453,12 @@ class OmsEngine(BaseEngine):
         contract_file_name = 'vn_contract.pkb2'
         if not os.path.exists(contract_file_name):
             return
-        with bz2.BZ2File(contract_file_name, 'rb') as f:
+        try:
-            self.contracts = pickle.load(f)
+            with bz2.BZ2File(contract_file_name, 'rb') as f:
-            self.write_log(f'加载缓存合约字典:{contract_file_name}')
+                self.contracts = pickle.load(f)
+                self.write_log(f'加载缓存合约字典:{contract_file_name}')
+        except Exception as ex:
+            self.write_log(f'加载缓存合约异常:{str(ex)}')
 
         # 更新自定义合约
         custom_contracts = self.get_all_custom_contracts()

vnpy/trader/utility.py

@@ -74,7 +74,7 @@ def get_underlying_symbol(symbol: str):
     p = re.compile(r"([A-Z]+)[0-9]+", re.I)
     underlying_symbol = p.match(symbol)
 
-    if underlying_symbol is None:
+    if underlying_symbol is None or len(underlying_symbol) == 0:
         return symbol
 
     return underlying_symbol.group(1)