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[Fix] check typo bug with flake8

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This commit is contained in:
vn.py 2019-01-30 09:54:51 +08:00
parent 346368cd2e
commit d05b558f87
9 changed files with 63 additions and 96 deletions
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63
tests/backtesting/turtle.ipynb
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File diff suppressed because one or more lines are too long

27
vnpy/app/cta_strategy/backtesting.py
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@ -22,15 +22,12 @@ from .base import (
STOPORDER_PREFIX,
StopOrder,
StopOrderStatus,
BacktestingMode,
ORDER_CTA2VT,
)
from .template import CtaTemplate
sns.set_style("whitegrid")
class OptimizationSetting:
"""
Setting for runnning optimization.
@ -77,8 +74,8 @@ class OptimizationSetting:
products = list(product(*values))
settings = []
for product in products:
setting = dict(zip(keys, product))
for p in products:
setting = dict(zip(keys, p))
settings.append(setting)
return settings
@ -419,7 +416,7 @@ class BacktestingEngine:
if not df:
df = self.daily_df
fig = plt.figure(figsize=(10, 16))
plt.figure(figsize=(10, 16))
balance_plot = plt.subplot(4, 1, 1)
balance_plot.set_title("Balance")
@ -472,7 +469,7 @@ class BacktestingEngine:
self.capital,
self.end,
self.mode
)))
)))
results.append(result)
pool.close()
@ -746,7 +743,7 @@ class BacktestingEngine:
return order.vt_orderid
def cancel_order(self, vt_orderid: str):
def cancel_order(self, strategy: CtaTemplate, vt_orderid: str):
"""
Cancel order by vt_orderid.
"""
@ -755,7 +752,7 @@ class BacktestingEngine:
else:
self.cancel_limit_order(vt_orderid)
def cancel_stop_order(self, vt_orderid: str):
def cancel_stop_order(self, strategy: CtaTemplate, vt_orderid: str):
""""""
if vt_orderid not in self.active_stop_orders:
return
@ -764,7 +761,7 @@ class BacktestingEngine:
stop_order.status = StopOrderStatus.CANCELLED
self.strategy.on_stop_order(stop_order)
def cancel_limit_order(self, vt_orderid: str):
def cancel_limit_order(self, strategy: CtaTemplate, vt_orderid: str):
""""""
if vt_orderid not in self.active_limit_orders:
return
@ -779,11 +776,11 @@ class BacktestingEngine:
"""
vt_orderids = list(self.active_limit_orders.keys())
for vt_orderid in vt_orderids:
self.cancel_limit_order(vt_orderid)
self.cancel_limit_order(strategy, vt_orderid)
stop_orderids = list(self.active_stop_orders.keys())
for vt_orderid in stop_orderids:
self.cancel_stop_order(vt_orderid)
self.cancel_stop_order(strategy, vt_orderid)
def write_log(self, msg: str, strategy: CtaTemplate = None):
"""
@ -905,7 +902,7 @@ def optimize(
capital=capital,
end=end,
mode=mode
)
)
engine.add_strategy(strategy_class, setting)
engine.load_data()
@ -913,7 +910,5 @@ def optimize(
engine.calculate_result()
statistics = engine.calculate_statistics()
target_value = result[target_name]
target_value = statistics[target_name]
return (str(setting), target_value, statistics)

34
vnpy/app/cta_strategy/engine.py
View File

@ -9,17 +9,15 @@ from pathlib import Path
from typing import Any, Callable
from vnpy.event import Event, EventEngine
from vnpy.trader.constant import Direction, Interval, PriceType
from vnpy.trader.engine import BaseEngine, MainEngine
from vnpy.trader.object import (
OrderRequest,
CancelRequest,
SubscribeRequest,
LogData,
TickData,
)
from vnpy.trader.event import EVENT_TICK, EVENT_ORDER, EVENT_TRADE
from vnpy.trader.constant import Direction, Offset, Exchange, PriceType, Interval
from vnpy.trader.constant import Direction, PriceType, Interval
from vnpy.trader.utility import get_temp_path
from .base import (
CtaOrderType,
@ -27,9 +25,10 @@ from .base import (
StopOrder,
StopOrderStatus,
EVENT_CTA_LOG,
EVENT_CTA_STOPORDER,
EVENT_CTA_STRATEGY,
EVENT_CTA_STOPORDER,
ORDER_CTA2VT,
STOPORDER_PREFIX
)
from .template import CtaTemplate
@ -127,10 +126,10 @@ class CtaEngine(BaseEngine):
continue
long_triggered = (
so.direction == Direction.LONG and tick.last_price >= stop_order.price
stop_order.direction == Direction.LONG and tick.last_price >= stop_order.price
)
short_triggered = (
so.direction == Direction.SHORT and tick.last_price <= stop_order.price
stop_order.direction == Direction.SHORT and tick.last_price <= stop_order.price
)
if long_triggered or short_triggered:
@ -139,7 +138,7 @@ class CtaEngine(BaseEngine):
# To get excuted immediately after stop order is
# triggered, use limit price if available, otherwise
# use ask_price_5 or bid_price_5
if so.direction == Direction.LONG:
if stop_order.direction == Direction.LONG:
if tick.limit_up:
price = tick.limit_up
else:
@ -160,8 +159,8 @@ class CtaEngine(BaseEngine):
self.stop_orders.pop(stop_order.stop_orderid)
vt_orderids = self.strategy_orderid_map[strategy.name]
if stop_orderid in vt_orderids:
vt_orderids.remove(stop_orderid)
if stop_order.stop_orderid in vt_orderids:
vt_orderids.remove(stop_order.stop_orderid)
# Change stop order status to cancelled and update to strategy.
stop_order.status = StopOrderStatus.TRIGGERED
@ -241,7 +240,7 @@ class CtaEngine(BaseEngine):
return stop_orderid
def cancel_limit_order(self, vt_orderid: str):
def cancel_limit_order(self, strategy: CtaTemplate, vt_orderid: str):
"""
Cancel existing order by vt_orderid.
"""
@ -253,7 +252,7 @@ class CtaEngine(BaseEngine):
req = order.create_cancel_request()
self.main_engine.cancel_limit_order(req, order.gateway_name)
def cancel_stop_order(self, stop_orderid: str):
def cancel_stop_order(self, strategy: CtaTemplate, stop_orderid: str):
"""
Cancel a local stop order.
"""
@ -289,13 +288,13 @@ class CtaEngine(BaseEngine):
else:
return self.send_limit_order(strategy, order_type, price, volume)
def cancel_order(self, vt_orderid: str):
def cancel_order(self, strategy: CtaTemplate, vt_orderid: str):
"""
"""
if vt_orderid.startswith(STOPORDER_PREFIX):
self.cancel_stop_order(vt_orderid)
self.cancel_stop_order(strategy, vt_orderid)
else:
self.cancel_limit_order(vt_orderid)
self.cancel_limit_order(strategy, vt_orderid)
def cancel_all(self, strategy: CtaTemplate):
"""
@ -306,7 +305,7 @@ class CtaEngine(BaseEngine):
return
for vt_orderid in vt_orderids:
self.cancel_limit_order(vt_orderid)
self.cancel_limit_order(strategy, vt_orderid)
def get_engine_type(self):
""""""
@ -374,7 +373,10 @@ class CtaEngine(BaseEngine):
# Subscribe market data
contract = self.main_engine.get_contract(strategy.vt_symbol)
if not contract:
if contract:
req = SubscribeRequest(symbol=contract.symbol, exchange=contract.exchange)
self.main_engine.subscribe(req, contract.gateway_name)
else:
self.write_log(f"行情订阅失败，找不到合约{strategy.vt_symbol}", strategy)
self.put_strategy_event(strategy)

2
vnpy/app/cta_strategy/template.py
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@ -181,7 +181,7 @@ class CtaTemplate(ABC):
"""
Cancel an existing order.
"""
self.cta_engine.cancel_order(vt_orderid)
self.cta_engine.cancel_order(self, vt_orderid)
def cancel_all(self):
"""

6
vnpy/gateway/bitmex/bitmex_gateway.py
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@ -94,11 +94,11 @@ class BitmexGateway(BaseGateway):
""""""
self.ws_api.subscribe(req)
def send_order(self, req):
def send_order(self, req: OrderRequest):
""""""
return self.rest_api.send_order(req)
def cancel_order(self, req):
def cancel_order(self, req: CancelRequest):
""""""
self.rest_api.cancel_order(req)
@ -197,7 +197,7 @@ class BitmexRestApi(RestClient):
self.gateway.write_log("REST API启动成功")
def send_order(self, req: SubscribeRequest):
def send_order(self, req: OrderRequest):
""""""
self.order_count += 1
orderid = str(self.connect_time + self.order_count)

14
vnpy/gateway/futu/futu_gateway.py
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@ -22,22 +22,22 @@ from futu import (
RET_OK,
StockQuoteHandlerBase,
TradeDealHandlerBase,
TradeOrderHandlerBase,
TradeDealHandlerBase
TradeOrderHandlerBase
)
from vnpy.trader.constant import Direction, Exchange, Product, Status
from vnpy.trader.event import EVENT_TIMER
from vnpy.trader.gateway import BaseGateway
from vnpy.trader.object import (
TickData,
TradeData,
AccountData,
ContractData,
OrderData,
PositionData,
AccountData,
SubscribeRequest,
OrderRequest,
CancelRequest,
CancelRequest
)
EXCHANGE_VT2FUTU = {
@ -232,7 +232,7 @@ class FutuGateway(BaseGateway):
self.trade_ctx.start()
self.write_log("交易接口连接成功")
def subscribe(self, req):
def subscribe(self, req: SubscribeRequest):
""""""
for data_type in ["QUOTE", "ORDER_BOOK"]:
futu_symbol = convert_symbol_vt2futu(req.symbol, req.exchange)
@ -241,7 +241,7 @@ class FutuGateway(BaseGateway):
if code:
self.write_log(f"订阅行情失败：{data}")
def send_order(self, req):
def send_order(self, req: OrderRequest):
""""""
side = DIRECTION_VT2FUTU[req.direction]
price_type = OrderType.NORMAL # Only limit order is supported.
@ -274,7 +274,7 @@ class FutuGateway(BaseGateway):
self.on_order(order)
return order.vt_orderid
def cancel_order(self, req):
def cancel_order(self, req: CancelRequest):
""""""
code, data = self.trade_ctx.modify_order(
ModifyOrderOp.CANCEL, req.orderid, 0, 0, trd_env=self.env

9
vnpy/gateway/ib/ib_gateway.py
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@ -8,25 +8,26 @@ from threading import Thread
from ibapi import comm
from ibapi.client import EClient
from ibapi.common import MAX_MSG_LEN, OrderId, TickAttrib, TickerId
from ibapi.common import MAX_MSG_LEN, NO_VALID_ID, OrderId, TickAttrib, TickerId
from ibapi.contract import Contract, ContractDetails
from ibapi.execution import Execution
from ibapi.order import Order
from ibapi.order_state import OrderState
from ibapi.ticktype import TickType
from ibapi.wrapper import EWrapper
from ibapi.errors import BAD_LENGTH
from vnpy.trader.gateway import BaseGateway
from vnpy.trader.object import (
AccountData,
CancelRequest,
ContractData,
TickData,
OrderData,
TradeData,
OrderRequest,
PositionData,
SubscribeRequest,
OrderRequest,
CancelRequest,
SubscribeRequest
)
from vnpy.trader.constant import (
Product,

2
vnpy/trader/engine.py
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@ -18,8 +18,6 @@ from .event import (
EVENT_LOG,
EVENT_ORDER,
EVENT_POSITION,
EVENT_ACCOUNT,
EVENT_CONTRACT,
EVENT_TICK,
EVENT_TRADE,
)

2
vnpy/trader/ui/widget.py
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@ -13,10 +13,8 @@ from ..constant import Direction, Exchange, Offset, PriceType
from ..engine import MainEngine
from ..event import (
EVENT_ACCOUNT,
EVENT_LOG,
EVENT_ORDER,
EVENT_POSITION,
EVENT_CONTRACT,
EVENT_LOG,
EVENT_TICK,
EVENT_TRADE