[bug fix]

Q_n_A.md

@@ -37,6 +37,16 @@
     conda config --set show_channel_urls yes
     conda install -c quantopian ta-lib=0.4.9
       
+    若出现libta_lib.so.0 cannot open shared object file no such file or directory
+    解决：
+    sudo find / -name libta_lib.so.0    
+    /home/ai/eco-ta/ta-lib/src/.libs/libta_lib.so.0    
+    /usr/local/lib/libta_lib.so.0    
+    vi /etc/profile    
+    添加    
+    export LD_LIBRARY_PATH=$LD_LIBRARY_PATH:/usr/local/lib    
+    source /etc/profile
+
 9、数字货币的增量安装
 
     conda install scipy

vnpy/app/algo_trading/engine.py

@@ -316,7 +316,7 @@ class AlgoEngine(BaseEngine):
         """查询合约的size"""
         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'get_size 查询不到{vt_symbol}合约信息')
             return 10
         return contract.size
 
@@ -325,7 +325,7 @@ class AlgoEngine(BaseEngine):
         """查询保证金比率"""
         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'get_margin_rate 查询不到{vt_symbol}合约信息')
             return 0.1
         if contract.margin_rate == 0:
             return 0.1
@@ -336,7 +336,7 @@ class AlgoEngine(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'get_price_tick 查询不到{vt_symbol}合约信息')
             return 0.1
 
         return contract.pricetick

vnpy/app/cta_crypto/back_testing.py

@@ -1762,7 +1762,7 @@ class BackTestingEngine(object):
             holding_profit = 0
             last_price = self.get_price(symbol)
             if last_price is not None:
-                holding_profit = (last_price - longpos.price) * longpos.volume * self.get_size(symbol)
+                holding_profit = (last_price - longpos.price) * longpos.volume
                 long_pos_occupy_money += last_price * abs(longpos.volume) * self.get_margin_rate(symbol)
 
             # 账号的持仓盈亏
@@ -1780,7 +1780,7 @@ class BackTestingEngine(object):
             holding_profit = 0
             last_price = self.get_price(symbol)
             if last_price is not None:
-                holding_profit = (shortpos.price - last_price) * shortpos.volume * self.get_size(symbol)
+                holding_profit = (shortpos.price - last_price) * shortpos.volume
                 short_pos_occupy_money += last_price * abs(shortpos.volume) * self.get_margin_rate(symbol)
 
             # 账号的持仓盈亏

vnpy/app/cta_crypto/engine.py

@@ -1021,17 +1021,19 @@ class CtaEngine(BaseEngine):
         strategy = self.strategies[strategy_name]
         if not strategy.inited:
             self.write_error(f"策略{strategy.strategy_name}启动失败，请先初始化")
-            return
+            return False
 
         if strategy.trading:
             self.write_error(f"{strategy_name}已经启动，请勿重复操作")
-            return
+            return False
 
         self.call_strategy_func(strategy, strategy.on_start)
         strategy.trading = True
 
         self.put_strategy_event(strategy)
 
+        return True
+
     def stop_strategy(self, strategy_name: str):
         """
         Stop a strategy.
@@ -1039,7 +1041,7 @@ class CtaEngine(BaseEngine):
         strategy = self.strategies[strategy_name]
         if not strategy.trading:
             self.write_log(f'{strategy_name}策略实例已处于停止交易状态')
-            return
+            return False
 
         # Call on_stop function of the strategy
         self.write_log(f'调用{strategy_name}的on_stop,停止交易')
@@ -1059,6 +1061,8 @@ class CtaEngine(BaseEngine):
         # Update GUI
         self.put_strategy_event(strategy)
 
+        return True
+
     def edit_strategy(self, strategy_name: str, setting: dict):
         """
         Edit parameters of a strategy.
@@ -1080,7 +1084,7 @@ class CtaEngine(BaseEngine):
         strategy = self.strategies[strategy_name]
         if strategy.trading:
             self.write_error(f"策略{strategy.strategy_name}移除失败，请先停止")
-            return
+            return False
 
         # Remove setting
         self.remove_strategy_setting(strategy_name)
@@ -1325,7 +1329,7 @@ class CtaEngine(BaseEngine):
         :param strategy_name:
         :return:
         """
-        return [{k: {'inited': v.inited, 'trading': v.trading}} for k, v in self.strategies.items()]
+        return {k: {'inited': v.inited, 'trading': v.trading} for k, v in self.strategies.items()}
 
     def get_strategy_pos(self, name, strategy=None):
         """

vnpy/app/cta_strategy_pro/back_testing.py

@@ -366,6 +366,8 @@ class BackTestingEngine(object):
 
     def get_position_holding(self, vt_symbol: str, gateway_name: str = ''):
         """ 查询合约在账号的持仓（包含多空）"""
+        if gateway_name:
+            gateway_name = self.gateway_name
         k = f'{gateway_name}.{vt_symbol}'
         holding = self.holdings.get(k, None)
         if not holding:
@@ -1070,7 +1072,7 @@ class BackTestingEngine(object):
             strategy.on_stop_order(stop_order)
             strategy.on_order(order)
             self.append_trade(trade)
-            holding = self.get_position_holding(vt_symbol=trade.vt_symbol)
+            holding = self.get_position_holding(vt_symbol=trade.vt_symbol, gateway_name=self.gateway_name)
             holding.update_trade(trade)
             strategy.on_trade(trade)
 
@@ -1154,14 +1156,11 @@ class BackTestingEngine(object):
                     self.write_log(u'vt_trade_id:{0}'.format(cov_trade.vt_tradeid))
 
                     # 更新持仓缓存数据
-                    pos_buffer = self.pos_holding_dict.get(cov_trade.vt_symbol, None)
+                    holding = self.get_position_holding(cov_trade.vt_symbol, self.gateway_name)
-                    if not pos_buffer:
+                    holding.update_trade(cov_trade)
-                        pos_buffer = PositionHolding(self.get_contract(vt_symbol))
-                        self.pos_holding_dict[cov_trade.vt_symbol] = pos_buffer
-                    pos_buffer.update_trade(cov_trade)
                     self.write_log(u'{} : crossLimitOrder: TradeId:{},  posBuffer = {}'.format(cov_trade.strategy_name,
                                                                                                cov_trade.tradeid,
-                                                                                               pos_buffer.to_str()))
+                                                                                               holding.to_str()))
 
                     # 写入交易记录
                     self.append_trade(cov_trade)

vnpy/app/cta_strategy_pro/engine.py

@@ -141,6 +141,7 @@ class CtaEngine(BaseEngine):
         self.load_strategy_class()
         self.load_strategy_setting()
         self.register_event()
+        self.register_funcs()
         self.write_log("CTA策略引擎初始化成功")
 
     def close(self):
@@ -173,18 +174,17 @@ class CtaEngine(BaseEngine):
         self.main_engine.save_strategy_snapshot = self.save_strategy_snapshot
 
         # 注册到远程服务调用
-        rpc_service = self.main_engine.apps.get('RpcService')
+        if self.main_engine.rpc_service:
-        if rpc_service:
+            self.main_engine.rpc_service.register(self.main_engine.get_strategy_status)
-            rpc_service.register(self.main_engine.get_strategy_status)
+            self.main_engine.rpc_service.register(self.main_engine.get_strategy_pos)
-            rpc_service.register(self.main_engine.get_strategy_pos)
+            self.main_engine.rpc_service.register(self.main_engine.add_strategy)
-            rpc_service.register(self.main_engine.add_strategy)
+            self.main_engine.rpc_service.register(self.main_engine.init_strategy)
-            rpc_service.register(self.main_engine.init_strategy)
+            self.main_engine.rpc_service.register(self.main_engine.start_strategy)
-            rpc_service.register(self.main_engine.start_strategy)
+            self.main_engine.rpc_service.register(self.main_engine.stop_strategy)
-            rpc_service.register(self.main_engine.stop_strategy)
+            self.main_engine.rpc_service.register(self.main_engine.remove_strategy)
-            rpc_service.register(self.main_engine.remove_strategy)
+            self.main_engine.rpc_service.register(self.main_engine.reload_strategy)
-            rpc_service.register(self.main_engine.reload_strategy)
+            self.main_engine.rpc_service.register(self.main_engine.save_strategy_data)
-            rpc_service.register(self.main_engine.save_strategy_data)
+            self.main_engine.rpc_service.register(self.main_engine.save_strategy_snapshot)
-            rpc_service.register(self.main_engine.save_strategy_snapshot)
 
     def process_timer_event(self, event: Event):
         """ 处理定时器事件"""

vnpy/gateway/binancef/binancef_gateway.py

@@ -279,7 +279,7 @@ class BinancefRestApi(RestClient):
         self.start(session_number)
 
         self.gateway.write_log("REST API启动成功")
-        self.gateway.status.update({'md_con': True, 'md_con_time': datetime.now().strftime('%Y-%m-%d %H:%M:%S')})
+        self.gateway.status.update({'td_con': True, 'td_con_time': datetime.now().strftime('%Y-%m-%d %H:%M:%S')})
 
         self.query_time()
         self.query_account()
@@ -922,7 +922,7 @@ class BinancefDataWebsocketApi(WebsocketClient):
     def on_connected(self) -> None:
         """"""
         self.gateway.write_log("行情Websocket API连接刷新")
-        self.gateway.status.update({'mdws_con': True, 'mdws_con_time': datetime.now().strftime('%Y-%m-%d %H:%M:%S')})
+        self.gateway.status.update({'md_con': True, 'md_con_time': datetime.now().strftime('%Y-%m-%d %H:%M:%S')})
 
     def subscribe(self, req: SubscribeRequest) -> None:
         """"""

vnpy/gateway/ctp/ctp_gateway.py

@@ -801,7 +801,7 @@ class CtpTdApi(TdApi):
         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.holding_profit = round(float(data['PositionProfit']), 7)
         account.trading_day = str(data['TradingDay'])
         if '-' not in account.trading_day and len(account.trading_day) == 8:
             account.trading_day = '-'.join(

vnpy/rpc/__init__.py

@@ -310,7 +310,7 @@ class RpcClient:
 
         while self.__active:
             if not self.__socket_sub.poll(pull_tolerance):
-                self._on_unexpected_disconnected()
+                #self._on_unexpected_disconnected()
                 continue
 
             # Receive data from subscribe socket

vnpy/trader/converter.py

@@ -171,6 +171,9 @@ class PositionHolding:
                     if self.short_td < 0:
                         self.short_yd += self.short_td
                         self.short_td = 0
+            self.short_yd = round(self.short_yd, 7)
+            self.short_td = round(self.short_td, 7)
+
         else:
             if trade.offset == Offset.OPEN:
                 self.short_td += trade.volume
@@ -187,9 +190,11 @@ class PositionHolding:
                     if self.long_td < 0:
                         self.long_yd += self.long_td
                         self.long_td = 0
+            self.long_td = round(self.long_td, 7)
+            self.long_yd = round(self.long_yd, 7)
 
-        self.long_pos = self.long_td + self.long_yd
+        self.long_pos = round(self.long_td + self.long_yd, 7)
-        self.short_pos = self.short_td + self.short_yd
+        self.short_pos = round(self.short_td + self.short_yd, 7)
 
     def calculate_frozen(self) -> None:
         """"""

vnpy/trader/engine.py

@@ -66,6 +66,7 @@ class MainEngine:
 
         self.rm_engine = None
         self.algo_engine = None
+        self.rpc_service = None
 
         os.chdir(TRADER_DIR)  # Change working directory
         self.init_engines()  # Initialize function engines
@@ -111,6 +112,8 @@ class MainEngine:
             self.rm_engine = engine
         elif app.app_name == "AlgoTrading":
             self.algo_engine == engine
+        elif app.app_name == 'RpcService':
+            self.rpc_service = engine
 
         return engine
 
@@ -262,6 +265,9 @@ class MainEngine:
         Make sure every gateway and app is closed properly before
         programme exit.
         """
+        if hasattr(self, 'save_contracts'):
+            self.save_contracts()
+
         # Stop event engine first to prevent new timer event.
         self.event_engine.stop()
 
@@ -315,7 +321,7 @@ class BaseEngine(ABC):
                 msg = f'[{source}]{msg}'
             self.logger.log(level, msg)
         else:
-            log = LogData(msg=msg, level=level)
+            log = LogData(msg=msg, level=level, gateway_name='')
             event = Event(EVENT_LOG, log)
             self.event_engine.put(event)
 
@@ -414,6 +420,7 @@ class OmsEngine(BaseEngine):
         self.positions: Dict[str, PositionData] = {}
         self.accounts: Dict[str, AccountData] = {}
         self.contracts: Dict[str, ContractData] = {}
+        self.today_contracts: Dict[str, ContractData] = {}
         self.custom_contracts = {}
         self.prices = {}
 
@@ -422,6 +429,33 @@ class OmsEngine(BaseEngine):
         self.add_function()
         self.register_event()
 
+    def __del__(self):
+        """保存缓存"""
+        self.save_contracts()
+
+    def load_contracts(self) -> None:
+        """从本地缓存加载合约字典"""
+        import bz2
+        import pickle
+        contract_file_name = 'vn_contract.pkb2'
+        if not os.path.exists(contract_file_name):
+            return
+        with bz2.BZ2File(contract_file_name, 'rb') as f:
+            self.contracts = pickle.load(f)
+            self.write_log(f'加载缓存合约字典:{contract_file_name}')
+
+    def save_contracts(self) -> None:
+        """持久化合约对象到缓存文件"""
+        import bz2
+        import pickle
+        contract_file_name = 'vn_contract.pkb2'
+        with bz2.BZ2File(contract_file_name, 'wb') as f:
+            if len(self.today_contracts) > 0:
+                self.write_log(f'保存今日合约对象到缓存文件')
+                pickle.dump(self.today_contracts, f)
+            else:
+                pickle.dump(self.contracts, f)
+
     def add_function(self) -> None:
         """Add query function to main engine."""
         self.main_engine.get_tick = self.get_tick
@@ -439,6 +473,7 @@ class OmsEngine(BaseEngine):
         self.main_engine.get_all_contracts = self.get_all_contracts
         self.main_engine.get_all_active_orders = self.get_all_active_orders
         self.main_engine.get_all_custom_contracts = self.get_all_custom_contracts
+        self.main_engine.save_contracts = self.save_contracts
 
     def register_event(self) -> None:
         """"""
@@ -489,6 +524,8 @@ class OmsEngine(BaseEngine):
         contract = event.data
         self.contracts[contract.vt_symbol] = contract
         self.contracts[contract.symbol] = contract
+        self.today_contracts[contract.vt_symbol] = contract
+        self.today_contracts[contract.symbol] = contract
 
     def get_tick(self, vt_symbol: str) -> Optional[TickData]:
         """