senset/vnpy
1
0
Fork 0
Code Issues Pull Requests Packages Projects Releases Wiki Activity

[bug fix]；自动换合约的bug【原合约不能平仓，导致多次开仓新合约】

Browse Source
This commit is contained in:
msincenselee 2020-08-10 15:24:15 +08:00
parent b71d0ad919
commit cf97252314
2 changed files with 16 additions and 4 deletions
Show Stats Download Patch File Download Diff File Expand all files Collapse all files

4
vnpy/app/cta_strategy_pro/engine.py
View File

@ -1519,13 +1519,13 @@ class CtaEngine(BaseEngine):
# 新增处理SPD结尾得特殊自定义套利合约
try:
if strategy.vt_symbol.endswith('SPD') and len(pos_list) > 0:
if strategy.vt_symbol.endswith('.SPD') and len(pos_list) > 0:
old_pos_list = copy(pos_list)
pos_list = []
for pos in old_pos_list:
# SPD合约
spd_vt_symbol = pos.get('vt_symbol', None)
if spd_vt_symbol is not None and spd_vt_symbol.endswith('SPD'):
if spd_vt_symbol is not None and spd_vt_symbol.endswith('.SPD'):
spd_symbol, spd_exchange = extract_vt_symbol(spd_vt_symbol)
spd_setting = self.main_engine.get_all_custom_contracts(rtn_setting=True).get(spd_symbol, None)

16
vnpy/app/cta_strategy_pro/template.py
View File

@ -908,6 +908,7 @@ class CtaProTemplate(CtaTemplate):
continue
if not g.open_status or g.order_status or g.volume - g.traded_volume <= 0:
continue
none_mi_grid = g
if g.traded_volume > 0 and g.volume - g.traded_volume > 0:
g.volume -= g.traded_volume
@ -939,6 +940,12 @@ class CtaProTemplate(CtaTemplate):
if len(vt_orderids) > 0:
self.write_log(f'切换合约,委托卖出非主力合约{none_mi_symbol}持仓:{none_mi_grid.volume}')
# 已经发生过换月的，不执行买入新合约
if none_mi_grid.snapshot.get("switched", False):
self.write_log(f'已经执行过换月，不再创建新的买入操作')
return
none_mi_grid.snapshot.update({'switched': True})
# 添加买入主力合约
grid.snapshot.update({'mi_symbol': self.vt_symbol, 'open_price': self.cur_mi_price})
self.gt.dn_grids.append(grid)
@ -951,9 +958,9 @@ class CtaProTemplate(CtaTemplate):
if len(vt_orderids) > 0:
self.write_log(u'切换合约,委托买入主力合约:{},价格:{},数量:{}'
.format(self.vt_symbol, self.cur_mi_price, grid.volume))
self.gt.save()
else:
self.write_error(f'委托买入主力合约:{self.vt_symbol}失败')
self.gt.save()
else:
self.write_error(f'委托卖出非主力合约:{none_mi_symbol}失败')
@ -1006,7 +1013,12 @@ class CtaProTemplate(CtaTemplate):
grid=none_mi_grid)
if len(vt_orderids) > 0:
self.write_log(f'委托平空非主力合约{none_mi_symbol}持仓:{none_mi_grid.volume}')
# 已经发生过换月的，不执行开空新合约
if none_mi_grid.snapshot.get("switched", False):
self.write_log(f'已经执行过换月，不再创建新的空操作')
return
none_mi_grid.snapshot.update({'switched': True})
# 添加卖出主力合约
grid.id = str(uuid.uuid1())
grid.snapshot.update({'mi_symbol': self.vt_symbol, 'open_price': self.cur_mi_price})
@ -1018,9 +1030,9 @@ class CtaProTemplate(CtaTemplate):
grid=grid)
if len(vt_orderids) > 0:
self.write_log(f'委托做空主力合约:{self.vt_symbol},价格:{self.cur_mi_price},数量:{grid.volume}')
self.gt.save()
else:
self.write_error(f'委托做空主力合约:{self.vt_symbol}失败')
self.gt.save()
else:
self.write_error(f'委托平空非主力合约:{none_mi_symbol}失败')