Merge branch 'dev' of https://github.com/vnpy/vnpy into dev

vnpy/trader/app/algoTrading/algoEngine.py

@@ -7,13 +7,14 @@ from __future__ import division
 
 from vnpy.event import Event
 from vnpy.trader.vtEvent import EVENT_TIMER, EVENT_TICK, EVENT_ORDER, EVENT_TRADE
-from vnpy.trader.vtConstant import (DIRECTION_LONG, DIRECTION_SHORT, PRICETYPE_LIMITPRICE,
+from vnpy.trader.vtConstant import (DIRECTION_LONG, DIRECTION_SHORT, 
+                                    PRICETYPE_LIMITPRICE, PRICETYPE_MARKETPRICE,
                                     OFFSET_OPEN, OFFSET_CLOSE,
                                     OFFSET_CLOSETODAY, OFFSET_CLOSEYESTERDAY)
 from vnpy.trader.vtObject import VtSubscribeReq, VtOrderReq, VtCancelOrderReq, VtLogData
 
 from .twapAlgo import TwapAlgo
-
+from .dmaAlgo import DmaAlgo
 
 EVENT_ALGO_LOG = 'eAlgoLog'         # 算法日志事件
 EVENT_ALGO_PARAM = 'eAlgoParam'     # 算法参数事件
@@ -147,7 +148,8 @@ class AlgoEngine(object):
             self.mainEngine.subscribe(req, contract.gatewayName)
 
     #----------------------------------------------------------------------
-    def sendOrder(self, algo, vtSymbol, direction, price, volume):
+    def sendOrder(self, algo, vtSymbol, direction, price, volume, 
+                  priceType=None, offset=None):
         """发单"""
         contract = self.mainEngine.getContract(vtSymbol)
         if not contract:
@@ -158,23 +160,33 @@ class AlgoEngine(object):
         req.symbol = contract.symbol
         req.exchange = contract.exchange
         req.direction = direction        
-        req.priceType = PRICETYPE_LIMITPRICE
         req.offset = OFFSET_CLOSETODAY
         req.price = price
         req.volume = volume
+        
+        if priceType:
+            req.priceType = priceType
+        else:
+            req.priceType = PRICETYPE_LIMITPRICE
+        
+        if offset:
+            req.offset = offset
+        else:
+            req.offset = OFFSET_OPEN
+        
         vtOrderID = self.mainEngine.sendOrder(req, contract.gatewayName)
         
         return vtOrderID
 
     #----------------------------------------------------------------------
-    def buy(self, algo, vtSymbol, price, volume):
+    def buy(self, algo, vtSymbol, price, volume, priceType=None, offset=None):
         """买入"""
-        return self.sendOrder(algo, vtSymbol, DIRECTION_LONG, price, volume)
+        return self.sendOrder(algo, vtSymbol, DIRECTION_LONG, price, volume, priceType, offset)
 
     #----------------------------------------------------------------------
-    def sell(self, algo, vtSymbol, price, volume):
+    def sell(self, algo, vtSymbol, price, volume, priceType=None, offset=None):
         """卖出"""
-        return self.sendOrder(algo, vtSymbol, DIRECTION_SHORT, price, volume)
+        return self.sendOrder(algo, vtSymbol, DIRECTION_SHORT, price, volume, priceType, offset)
 
     #----------------------------------------------------------------------
     def cancelOrder(self, algo, vtOrderID):

vnpy/trader/app/algoTrading/algoTemplate.py

@@ -119,14 +119,14 @@ class AlgoTemplate(object):
         self.engine.subscribe(self, vtSymbol)
     
     #----------------------------------------------------------------------
-    def buy(self, vtSymbol, price, volume):
+    def buy(self, vtSymbol, price, volume, priceType=None, offset=None):
         """"""
-        return self.engine.buy(self, vtSymbol, price, volume)
+        return self.engine.buy(self, vtSymbol, price, volume, priceType, offset)
     
     #----------------------------------------------------------------------
-    def sell(self, vtSymbol, price, volume):
+    def sell(self, vtSymbol, price, volume, priceType=None, offset=None):
         """"""
-        return self.engine.sell(self, vtSymbol, price, volume)
+        return self.engine.sell(self, vtSymbol, price, volume, priceType, offset)
     
     #----------------------------------------------------------------------
     def cancelOrder(self, vtOrderID):

vnpy/trader/app/algoTrading/dmaAlgo.py

@@ -0,0 +1,192 @@
+# encoding: UTF-8
+
+from __future__ import division
+from collections import OrderedDict
+
+from vnpy.trader.vtConstant import (DIRECTION_LONG, DIRECTION_SHORT,
+                                    OFFSET_OPEN, OFFSET_CLOSE,
+                                    PRICETYPE_LIMITPRICE, PRICETYPE_MARKETPRICE,
+                                    STATUS_REJECTED, STATUS_CANCELLED, STATUS_ALLTRADED)
+from vnpy.trader.uiQt import QtWidgets
+
+from .algoTemplate import AlgoTemplate
+from .uiAlgoWidget import AlgoWidget, QtWidgets
+
+
+
+STATUS_FINISHED = set([STATUS_ALLTRADED, STATUS_CANCELLED, STATUS_REJECTED])
+
+
+########################################################################
+class DmaAlgo(AlgoTemplate):
+    """DMA算法，直接发出限价或者市价委托"""
+    
+    templateName = 'DMA'
+
+    #----------------------------------------------------------------------
+    def __init__(self, engine, setting, algoName):
+        """Constructor"""
+        super(DmaAlgo, self).__init__(engine, setting, algoName)
+        
+        # 参数，强制类型转换，保证从CSV加载的配置正确
+        self.vtSymbol = str(setting['vtSymbol'])            # 合约代码
+        self.direction = unicode(setting['direction'])      # 买卖
+        self.offset = float(setting['offset'])              # 开平
+        self.priceType = float(setting['priceType'])        # 价格类型
+        self.price = float(setting['price'])                # 价格
+        self.totalVolume = int(setting['totalVolume'])      # 数量
+        
+        self.vtOrderID = ''     # 委托号
+        self.tradedVolume = 0   # 成交数量
+        self.orderStatus = ''   # 委托状态
+        
+        self.subscribe(self.vtSymbol)
+        self.paramEvent()
+        self.varEvent()
+    
+    #----------------------------------------------------------------------
+    def onTick(self, tick):
+        """"""
+        # 发出委托
+        if not self.vtOrderID:
+            if self.direction == DIRECTION_LONG:
+                func = self.buy
+            else:
+                func = self.sell
+                
+            self.vtOrderID = func(self.vtSymbol, self.price, self.volume, 
+                                  self.priceType, self.offset)
+        
+        # 更新变量
+        self.varEvent()        
+        
+    #----------------------------------------------------------------------
+    def onTrade(self, trade):
+        """"""
+        pass
+    
+    #----------------------------------------------------------------------
+    def onOrder(self, order):
+        """"""
+        self.tradedVolume = order.tradedVolume
+        self.orderStatus = order.status
+        
+        if self.orderStatus in STATUS_FINISHED:
+            self.stop()
+        
+        self.paramEvent()
+    
+    #----------------------------------------------------------------------
+    def onTimer(self):
+        """"""
+        pass
+        
+    #----------------------------------------------------------------------
+    def onStop(self):
+        """"""
+        if self.orderStatus not in STATUS_FINISHED:
+            self.cancelAll()
+            
+        # 处理这里的逻辑，区分用户停止和到期停止
+            
+        self.writeLog(u'委托已%s，停止算法' %self.status)
+        
+    #----------------------------------------------------------------------
+    def varEvent(self):
+        """更新变量"""
+        d = OrderedDict()
+        d[u'算法状态'] = self.active
+        d[u'委托号'] = self.vtOrderID
+        d[u'成交数量'] = self.tradedVolume
+        d[u'委托状态'] = self.orderStatus
+        self.putVarEvent(d)
+    
+    #----------------------------------------------------------------------
+    def paramEvent(self):
+        """更新参数"""
+        d = OrderedDict()
+        d[u'代码'] = self.vtSymbol
+        d[u'方向'] = self.direction
+        d[u'价格'] = self.price
+        d[u'数量'] = self.totalVolume
+        d[u'价格类型'] = self.priceType
+        d[u'开平'] = self.offset
+        self.putParamEvent(d)
+
+
+########################################################################
+class DmaWidget(AlgoWidget):
+    """"""
+    
+    #----------------------------------------------------------------------
+    def __init__(self, algoEngine, parent=None):
+        """Constructor"""
+        super(DmaWidget, self).__init__(algoEngine, parent)
+        
+        self.templateName = DmaAlgo.templateName
+        
+    #----------------------------------------------------------------------
+    def initAlgoLayout(self):
+        """"""
+        self.lineSymbol = QtWidgets.QLineEdit()
+        
+        self.comboDirection = QtWidgets.QComboBox()
+        self.comboDirection.addItem(DIRECTION_LONG)
+        self.comboDirection.addItem(DIRECTION_SHORT)
+        self.comboDirection.setCurrentIndex(0)
+        
+        self.spinPrice = QtWidgets.QDoubleSpinBox()
+        self.spinPrice.setMinimum(0)
+        self.spinPrice.setMaximum(1000000000)
+        self.spinPrice.setDecimals(8)
+        
+        self.spinVolume = QtWidgets.QDoubleSpinBox()
+        self.spinVolume.setMinimum(0)
+        self.spinVolume.setMaximum(1000000000)
+        self.spinVolume.setDecimals(6)
+        
+        self.comboPriceType = QtWidgets.QComboBox()
+        self.comboPriceType.addItems([PRICETYPE_LIMITPRICE, PRICETYPE_MARKETPRICE])
+        self.comboPriceType.setCurrentIndex(0)
+        
+        self.comboOffset = QtWidgets.QComboBox()
+        self.comboOffset.addItems(['', OFFSET_OPEN, OFFSET_CLOSE])
+        self.comboOffset.setCurrentIndex(0)
+        
+        buttonStart = QtWidgets.QPushButton(u'启动')
+        buttonStart.clicked.connect(self.addAlgo)
+        buttonStart.setMinimumHeight(100)
+        
+        Label = QtWidgets.QLabel
+        
+        grid = QtWidgets.QGridLayout()
+        grid.addWidget(Label(u'代码'), 0, 0)
+        grid.addWidget(self.lineSymbol, 0, 1)
+        grid.addWidget(Label(u'方向'), 1, 0)
+        grid.addWidget(self.comboDirection, 1, 1)
+        grid.addWidget(Label(u'价格'), 2, 0)
+        grid.addWidget(self.spinPrice, 2, 1)
+        grid.addWidget(Label(u'数量'), 3, 0)
+        grid.addWidget(self.spinVolume, 3, 1)
+        grid.addWidget(Label(u'类型'), 4, 0)
+        grid.addWidget(self.comboPriceType, 4, 1)
+        grid.addWidget(Label(u'开平'), 5, 0)
+        grid.addWidget(self.comboOffset, 5, 1)
+        
+        return grid
+    
+    #----------------------------------------------------------------------
+    def getAlgoSetting(self):
+        """"""
+        setting = OrderedDict()
+        setting['templateName'] = DmaAlgo.templateName
+        setting['vtSymbol'] = str(self.lineSymbol.text())
+        setting['direction'] = unicode(self.comboDirection.currentText())
+        setting['price'] = float(self.spinPrice.value())
+        setting['totalVolume'] = float(self.spinVolume.value())
+        setting['priceType'] = unicode(self.comboPriceType.currentText())
+        setting['offset'] = unicode(self.comboOffset.currentText())
+        
+        return setting
+    
+    

vnpy/trader/app/algoTrading/twapAlgo.py

@@ -152,7 +152,6 @@ class TwapAlgo(AlgoTemplate):
         d[u'单笔委托'] = self.orderSize
         d[u'本轮读秒'] = self.timerCount
         d[u'累计读秒'] = self.timerTotal
-        d['active'] = self.active
         self.putVarEvent(d)
     
     #----------------------------------------------------------------------

vnpy/trader/app/algoTrading/uiAlgoManager.py

@@ -10,6 +10,7 @@ from vnpy.trader.uiQt import QtCore, QtWidgets
 from .algoEngine import (EVENT_ALGO_LOG, EVENT_ALGO_PARAM, 
                          EVENT_ALGO_VAR, EVENT_ALGO_SETTING)
 from .twapAlgo import TwapWidget
+from .dmaAlgo import DmaWidget
 
 
 ########################################################################
@@ -386,6 +387,7 @@ class AlgoManager(QtWidgets.QWidget):
         
         self.initUi()
         self.addAlgoWidget(TwapWidget)
+        self.addAlgoWidget(DmaWidget)
         
         self.algoEngine.loadAlgoSetting()   # 界面初始化后，再加载算法配置