[新功能] CTA_STRATRGY_PRO 组件
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msincenselee
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vnpy/app/cta_strategy_pro/cta_grid_trade.py
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998
vnpy/app/cta_strategy_pro/cta_grid_trade.py
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# encoding: UTF-8
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import os
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import sys
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import json
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import uuid
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import traceback
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from collections import OrderedDict
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from datetime import datetime
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from dataclasses import dataclass, field
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from vnpy.trader.utility import get_folder_path
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from vnpy.app.cta_strategy_pro.base import Direction
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from vnpy.app.cta_strategy_pro.template import CtaComponent
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"""
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网格交易，用于套利单
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作者：李来佳，QQ/Wechat:28888502
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ChangeLog:
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160713,修改closeGrid，增加volume字段，关闭网格时，根据价格和交易量进行双重匹配.
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160715,增加保存json和重启后加载本地json文件
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170504，增加锁单网格
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170707，增加重用选项
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170719, 增加网格类型
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171208，增加open_prices/snapshot
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180420, 增加CtaLegacyGridTrade(传统网格：上网格做多，下网格做空)
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"""
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# 网格类型
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SPREAD_GRID = 'spread' # 价差回归网格
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PERIOD_GRID = 'period' # 周期网格
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TREND_GRID = 'trend' # 趋势网格
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LOCK_GRID = 'lock' # 对锁网格
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@dataclass
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class CtaGrid(object):
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"""网格类
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它是网格交易的最小单元
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包括交易方向，开仓价格，平仓价格，止损价格，开仓状态，平仓状态
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"""
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id: str = str(uuid.uuid1()) # gid
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direction: Direction = Direction.NET # 交易方向（LONG：多，正套；SHORT：空，反套）
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open_price: float = 0 # 开仓价格
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close_price: float = 0 # 止盈价格
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stop_price: float = 0 # 止损价格
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vt_symbol: str = '' # 品种合约
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volume: float = 0 # 开仓数量( 兼容数字货币 )
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traded_volume: float = 0 # 已成交数量 开仓时，为开仓数量，平仓时，为平仓数量
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order_status: bool = False # 挂单状态: True,已挂单，False，未挂单
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order_ids: list[str] = field(default_factory=list) # order_id list
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open_status: bool = False # 开仓状态
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close_status: bool = False # 平仓状态
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open_time: datetime = None # 开仓时间
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order_time: datetime = None # 委托时间
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lock_grid_ids: list[str] = field(default_factory=list) # 锁单的网格，[gid,gid]
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reuse_count: int = 0 # 重用次数（0， 平仓后是否删除）
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type: str = '' # 网格类型标签
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snapshot: dict = field(default_factory=dict) # 切片数据，如记录开仓点时的某些状态数据
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def to_json(self):
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"""输出JSON"""
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j = OrderedDict()
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j['id'] = self.id
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j['direction'] = self.direction
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j['open_price'] = self.open_price # 开仓价格
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j['close_price'] = self.close_price # 平仓价格
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j['stop_price'] = self.stop_price # 止损价格
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j['vt_symbol'] = self.vt_symbol # 品种数量
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j['volume'] = self.volume # 开仓数量
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j['traded_volume'] = self.traded_volume # 成交数量
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j['order_status'] = self.order_status # 挂单状态: True,已挂单，False，未挂单
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j['order_ids'] = self.order_ids # OrderId
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j['open_status'] = self.open_status # 开仓状态
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j['close_status'] = self.close_status # 平仓状态
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j['lockGrids'] = self.lock_grid_ids # 对锁的网格
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j['reuse_count'] = self.reuse_count # 是否重用
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j['type'] = self.type # 类型
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j['snapshot'] = self.snapshot # 切片数据
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# datetime => string
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j['open_time'] = self.open_time.strftime('%Y-%m-%d %H:%M:%S') if isinstance(self.open_time, datetime) else ''
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j['order_time'] = self.order_time.strftime('%Y-%m-%d %H:%M:%S') if isinstance(self.order_time, datetime) else ''
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return j
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def from_json(self, j):
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"""从JSON恢复"""
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try:
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self.id = j.get('id', str(uuid.uuid1()))
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self.direction = j.get('direction', Direction.NET)
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self.close_price = j.get('close_price', 0)
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self.open_price = j.get('open_price', 0)
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self.stop_price = j.get('stop_price', 0)
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self.order_status = j.get('order_status', False) # 挂单状态: True,已挂单，False，未挂单
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self.order_ids = j.get('order_ids', []) # OrderId
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self.open_status = j.get('open_status', False) # 开仓状态
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self.close_status = j.get('close_status', False) # 平仓状态
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# str => datetime
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open_time = j.get('open_time', '')
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self.open_time = datetime.strptime(open_time, '%Y-%m-%d %H:%M:%S') if len(open_time) > 0 else None
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order_time = j.get('order_time', '')
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self.order_time = datetime.strptime(order_time, '%Y-%m-%d %H:%M:%S') if len(order_time) > 0 else None
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self.vt_symbol = j.get('vt_symbol', '')
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self.volume = j.get('volume', 0.0)
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self.traded_volume = j.get('traded_volume', 0.0) # 已交易的合约数量
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self.lock_grid_ids = j.get('lockGrids', [])
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self.type = j.get('type', '')
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self.reuse_count = j.get('reuse_count', 0)
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self.snapshot = j.get('snapshot', {})
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except Exception as ex:
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print('CtaGrid fromJson Exception:{} {}'.format(str(ex), traceback.format_exc()), file=sys.stderr)
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def to_str(self):
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"""转换字符串显示内容"""
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str = u'o:{}/{};c:{}/{},r:{}/opentime:{}/ordertime:{}' \
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.format(self.open_price, self.open_status, self.close_price,
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self.close_status, self.order_ids, self.open_time, self.order_time)
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if len(self.vt_symbol) > 0:
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return u'{} {}'.format(self.vt_symbol, str)
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else:
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return str
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def __eq__(self, other):
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return self.id == other.id
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class CtaGridTrade(CtaComponent):
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"""网格交易类
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包括两个方向的网格队列，
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v1, 基本版
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v2，增加更新最小价格跳动，增加动态上下网格间距
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v3, 合并up/dn为一个文件
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"""
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def __init__(self, strategy, **kwargs):
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"""初始化
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maxlots,最大网格数
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height，网格高度（绝对值，包含minDiff）
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win，盈利数（包含minDiff）
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vol，网格开仓数
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minDiff, 最小价格跳动
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"""
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super(CtaGridTrade).__init__(strategy=strategy)
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self.price_tick = kwargs.get('price_tick', 1)
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self.jsonName = self.strategy.name # 策略名称
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self.max_lots = kwargs.get('max_lots', 10) # 缺省网格数量
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self.grid_height = kwargs.get('grid_height', 10 * self.price_tick) # 最小网格高度
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self.grid_win = kwargs.get('grid_win', 10 * self.price_tick) # 最小止盈高度
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self.volume = kwargs.get('volume', 1) # 每次网格开仓数量
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self.rate_list = kwargs.get('rate_list', [1, 1, 1, 1, 1, 1, 1, 1, 1, 1]) # 梯级开仓数量比例
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self.up_grids = [] # 上网格列表，专门做空
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self.dn_grids = [] # 下网格列表，专门做多
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self.avg_up_open_price = 0.0 # 上网格开仓均价
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self.avg_dn_open_price = 0.0 # 下网格开仓均价
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self.max_up_open_price = 0.0 # 上网格最高开仓价
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self.min_dn_open_price = 0.0 # 下网格最小开仓价
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self.json_file_path = os.path.join(get_folder_path('data'), f'{self.jsonName}_Grids.json') # 网格的路径
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def get_volume_rate(self, idx: int = 0):
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"""获取网格索引对应的开仓数量比例"""
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if idx >= len(self.rate_list) or idx < 0:
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return 1
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rate = self.rate_list[idx]
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if rate == 0:
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return 1
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else:
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return rate
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def create_grids(self, upper_line: float = 0.0, down_line: float = 0.0, max_lots: int = 0, reuse_count: int = 0):
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"""创建网格队列
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upline，上支撑线
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dnline，下阻力线
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"""
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lots = self.max_lots if max_lots == 0 else max_lots
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self.write_log(f'创建网格队列，upline:{upper_line},dnline:{down_line}')
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# 做空，开仓价为上阻力线+网格高度*i，平仓价为开仓价-止盈高度，开仓数量为缺省
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for i in range(0, lots, 1):
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grid = CtaGrid(direction=Direction.SHORT,
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open_price=upper_line + self.grid_height * i,
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close_price=upper_line + self.grid_height * i - self.grid_win,
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volume=self.volume * self.get_volume_rate(i))
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if reuse_count:
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grid.reuse_count = reuse_count
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self.up_grids.append(grid)
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self.write_log(u'上网格{}==>{}初始化完成'.format(upper_line, upper_line + self.grid_height * self.max_lots))
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for i in range(0, lots, 1):
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# 做多，开仓价为下阻力线-网格高度*i，平仓价为开仓价+止盈高度，开仓数量为缺省
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grid = CtaGrid(direction=Direction.LONG,
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open_price=down_line - self.grid_height * i,
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close_price=down_line - self.grid_height * i + self.grid_win,
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volume=self.volume * self.get_volume_rate(i))
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if reuse_count:
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grid.reuse_count = reuse_count
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self.dn_grids.append(grid)
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self.write_log(u'下网格{}==>{}初始化完成'.format(down_line, down_line - self.grid_height * self.max_lots))
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self.save()
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def to_str(self, direction: Direction):
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"""显示网格"""
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pending_close_list = u'' # 平仓清单
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pending_open_list = u'' # 开仓清单
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deactive_list = u'' # 待激活清单
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opened_volume_dict = {} # 开仓数量汇总
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if direction == Direction.LONG:
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for grid in self.dn_grids:
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t = ''
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if grid.type == LOCK_GRID:
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t = u'L:'
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elif grid.type == TREND_GRID:
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t = u'T:'
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elif grid.type == PERIOD_GRID:
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t = u'P:'
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else:
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t = grid.type
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# 待平仓
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if grid.open_status:
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opened_volume = 0
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if grid.traded_volume == 0:
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pending_close_list = pending_close_list + u'{}[{}->{},sp:{},v:{}];' \
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.format(t, grid.open_price, grid.close_price, grid.stop_price, grid.volume)
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opened_volume = grid.volume
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else:
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pending_close_list = pending_close_list + u'[{}{}->{},sp:{},v:{}/{}];' \
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.format(t, grid.open_price, grid.close_price, grid.volume, grid.stop_price,
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grid.traded_volume)
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opened_volume = grid.volume - grid.traded_volume
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if grid.type != '':
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if grid.type not in opened_volume_dict:
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opened_volume_dict[grid.type] = opened_volume
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else:
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opened_volume_dict[grid.type] += opened_volume
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if 'All' not in opened_volume_dict:
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opened_volume_dict['All'] = opened_volume
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else:
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opened_volume_dict['All'] += opened_volume
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# 待开仓成交
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elif not grid.open_status and grid.order_status:
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if grid.traded_volume == 0:
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pending_open_list = pending_open_list + u'[{}{},v:{}];'.format(t, grid.open_price, grid.volume)
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else:
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pending_open_list = pending_open_list + u'[{} {},v:{}/{}];' \
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.format(t, grid.open_price, grid.volume, grid.traded_volume)
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# 等待挂单
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else:
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deactive_list = deactive_list + u'[{}{}];'.format(t, grid.open_price)
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return u'多:待平:[{}],{};开:{};待:{}'.format(opened_volume_dict, pending_close_list, pending_open_list,
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deactive_list)
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if direction == Direction.SHORT:
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for grid in self.up_grids:
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t = ''
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if grid.type == LOCK_GRID:
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t = u'L:'
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elif grid.type == TREND_GRID:
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t = u'T:'
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elif grid.type == PERIOD_GRID:
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t = u'P:'
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else:
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t = grid.type
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# 待平仓
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if grid.open_status:
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opened_volume = 0
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if grid.traded_volume == 0:
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pending_close_list = pending_close_list + u'[{} {}->{},sp:{},v:{}];' \
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.format(t, grid.open_price, grid.close_price, grid.stop_price, grid.volume)
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opened_volume = grid.volume
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else:
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pending_close_list = pending_close_list + u'[{} {}->{},sp:{}, v:{}/{}];' \
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.format(t, grid.open_price, grid.close_price, grid.stop_price, grid.volume,
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grid.traded_volume)
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opened_volume = grid.volume - grid.traded_volume
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if grid.type != '':
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if grid.type not in opened_volume_dict:
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opened_volume_dict[grid.type] = opened_volume
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else:
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opened_volume_dict[grid.type] += opened_volume
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if 'All' not in opened_volume_dict:
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opened_volume_dict['All'] = opened_volume
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else:
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opened_volume_dict['All'] += opened_volume
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# 待开仓成交
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elif not grid.open_status and grid.order_status:
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if grid.traded_volume == 0:
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pending_open_list = pending_open_list + u'[{} {},v:{}];'.format(t, grid.open_price, grid.volume)
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else:
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pending_open_list = pending_open_list + u'[{} {},v:{}/{}];' \
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.format(t, grid.open_price, grid.volume, grid.traded_volume)
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# 等待挂单
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else:
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deactive_list = deactive_list + u'[{}{}];'.format(t, grid.open_price)
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return u'空:待平:[{}],{};开:{};待:{}'.format(opened_volume_dict, pending_close_list, pending_open_list,
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deactive_list)
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def get_grids_with_types(self, direction: Direction, types: list = []):
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"""获取符合类型的网格
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direction:做多、做空方向: 做多方向时，从dnGrids中获取; 做空方向时，从upGrids中获取
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type：网格类型列表，
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"""
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# 状态一致，价格大于最低价格
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if direction == Direction.LONG:
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grids = [x for x in self.dn_grids
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if x.type in types]
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return grids
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# 状态一致，开仓价格小于最高价格
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if direction == Direction.SHORT:
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grids = [x for x in self.up_grids
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if x.type in types]
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return grids
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def get_opened_grids_within_types(self, direction: Direction, types: list = []):
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"""获取符合类型的持仓网格
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direction:做多、做空方向: 做多方向时，从dnGrids中获取; 做空方向时，从upGrids中获取
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type：网格类型列表，
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"""
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# 状态一致，价格大于最低价格
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if direction == Direction.LONG:
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grids = [x for x in self.dn_grids
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if x.open_status and x.type in types]
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return grids
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# 状态一致，开仓价格小于最高价格
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if direction == Direction.SHORT:
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grids = [x for x in self.up_grids
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if x.open_status and x.type in types]
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return grids
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def get_opened_grids_without_types(self, direction: Direction, types: list = []):
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"""获取不符合类型的持仓网格
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direction:做多、做空方向: 做多方向时，从dnGrids中获取; 做空方向时，从upGrids中获取
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type：不符合网格类型列表(排除)
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"""
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# 状态一致，价格大于最低价格
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if direction == Direction.LONG:
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grids = [x for x in self.dn_grids
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if x.open_status and x.type not in types]
|
||||
return grids
|
||||
|
||||
# 状态一致，开仓价格小于最高价格
|
||||
if direction == Direction.SHORT:
|
||||
grids = [x for x in self.up_grids
|
||||
if x.open_status and x.type not in types]
|
||||
return grids
|
||||
|
||||
def get_opened_grids(self, direction: Direction, allow_empty_volume: bool = False):
|
||||
"""获取已开仓的网格
|
||||
direction:做多、做空方向: 做多方向时，从dnGrids中获取; 做空方向时，从upGrids中获取
|
||||
"""
|
||||
# 状态一致，价格大于最低价格
|
||||
if direction == Direction.LONG:
|
||||
grids = [x for x in self.dn_grids
|
||||
if x.open_status and (x.volume - x.traded_volume > 0 or allow_empty_volume)]
|
||||
|
||||
return grids
|
||||
|
||||
# 状态一致，开仓价格小于最高价格
|
||||
if direction == Direction.SHORT:
|
||||
grids = [x for x in self.up_grids
|
||||
if x.open_status and (x.volume - x.traded_volume > 0 or allow_empty_volume)]
|
||||
return grids
|
||||
|
||||
def get_grids(self, direction: Direction,
|
||||
ordered: bool = False,
|
||||
opened: bool = False,
|
||||
closed: bool = False,
|
||||
begin: float = 0.0,
|
||||
end: float = 0.0,
|
||||
type: str = ''):
|
||||
"""获取未挂单的网格
|
||||
direction:做多、做空方向: 做多方向时，从dnGrids中获取; 做空方向时，从upGrids中获取
|
||||
ordered:是否已提交至服务器
|
||||
opened：是否已开仓
|
||||
closed：是否已平仓
|
||||
begin：开始价格,
|
||||
end：结束价格，
|
||||
"""
|
||||
|
||||
# 状态一致，价格大于最低价格
|
||||
if direction == Direction.LONG:
|
||||
if begin == 0.0:
|
||||
begin = sys.maxsize
|
||||
if end == 0.0:
|
||||
end = 0 - sys.maxsize
|
||||
|
||||
grids = []
|
||||
for x in self.dn_grids:
|
||||
if x.order_status == ordered \
|
||||
and x.open_status == opened \
|
||||
and x.close_status == closed \
|
||||
and end <= x.open_price <= begin \
|
||||
and x.type == type:
|
||||
grids.append(x)
|
||||
return grids
|
||||
|
||||
# 状态一致，开仓价格小于最高价格
|
||||
if direction == Direction.SHORT:
|
||||
if begin == 0.0:
|
||||
begin = 0 - sys.maxsize
|
||||
if end == 0.0:
|
||||
end = sys.maxsize
|
||||
grids = []
|
||||
for x in self.up_grids:
|
||||
if x.order_status == ordered \
|
||||
and x.open_status == opened \
|
||||
and x.close_status == closed \
|
||||
and end >= x.open_price >= begin \
|
||||
and x.type == type:
|
||||
grids.append(x)
|
||||
return grids
|
||||
|
||||
def get_grid_by_id(self, direction: Direction, id: str):
|
||||
"""寻找指定id的网格"""
|
||||
if id == '' or len(id) < 1:
|
||||
return None
|
||||
|
||||
if direction == Direction.LONG:
|
||||
for x in self.dn_grids[:]:
|
||||
if x.id == id:
|
||||
self.write_log(u'找到下网格[open={},close={},stop={},volume={}]'
|
||||
.format(x.open_price, x.close_price, x.stop_price, x.volume))
|
||||
return x
|
||||
|
||||
if direction == Direction.SHORT:
|
||||
for x in self.up_grids[:]:
|
||||
if x.id == id:
|
||||
self.write_log(u'找到上网格[open={},close={},stop={},volume={}]'
|
||||
.format(x.open_price, x.close_price, x.stop_price, x.volume))
|
||||
return x
|
||||
return None
|
||||
|
||||
def get_opened_volumes(self, direction: Direction, types: list = []):
|
||||
"""获取特定类型的网格持仓"""
|
||||
if direction == Direction.LONG:
|
||||
long_vol = [x.volume - x.traded_volume for x in self.dn_grids if x.open_status and x.type in types]
|
||||
return sum(long_vol)
|
||||
|
||||
if direction == Direction.SHORT:
|
||||
short_vol = [x.volume - x.traded_volume for x in self.up_grids if x.open_status and x.type in types]
|
||||
return sum(short_vol)
|
||||
|
||||
def get_first_n_last_grid(self, direction: Direction, type: str = ''):
|
||||
"""获取最前/后一个的网格"""
|
||||
# 做空网格：,first =开仓价最高一个,last= 最低一个
|
||||
if direction == Direction.SHORT:
|
||||
short_grids = self.get_grids_with_types(direction=direction, types=[type])
|
||||
if short_grids is None or len(short_grids) == 0:
|
||||
return None, None
|
||||
|
||||
if len(short_grids) == 1:
|
||||
return short_grids[0], short_grids[0]
|
||||
|
||||
# 价格由低至高排列
|
||||
sortedGrids = sorted(short_grids, key=lambda g: g.open_price)
|
||||
return sortedGrids[-1], sortedGrids[0]
|
||||
|
||||
# 做多网格： first =最低一个,last= 开仓价最高一个
|
||||
if direction == Direction.LONG:
|
||||
long_grids = self.get_grids_with_types(direction=direction, types=[type])
|
||||
if long_grids is None or len(long_grids) == 0:
|
||||
return None, None
|
||||
|
||||
if len(long_grids) == 1:
|
||||
return long_grids[0], long_grids[0]
|
||||
|
||||
sortedGrids = sorted(long_grids, key=lambda g: g.open_price)
|
||||
return sortedGrids[0], sortedGrids[-1]
|
||||
|
||||
return None, None
|
||||
|
||||
def get_last_opened_grid(self, direction: Direction, type: str = '', orderby_asc: bool = True):
|
||||
"""获取最后一个开仓的网格"""
|
||||
# highest_short_price_grid = getLastOpenedGrid(Direction.SHORT
|
||||
if direction == Direction.SHORT:
|
||||
|
||||
opened_short_grids = self.get_grids(direction=direction, opened=True, type=type)
|
||||
if opened_short_grids is None or len(opened_short_grids) == 0:
|
||||
return None
|
||||
if len(opened_short_grids) > 1:
|
||||
sorted_grids = sorted(opened_short_grids, key=lambda g: g.open_price)
|
||||
if orderby_asc:
|
||||
# 取价格最高的一格
|
||||
opened_short_grids = sorted_grids[-1:]
|
||||
else:
|
||||
# 取价格最低的一格
|
||||
opened_short_grids = sorted_grids[0:1]
|
||||
|
||||
return opened_short_grids[0]
|
||||
|
||||
if direction == Direction.LONG:
|
||||
opened_long_grids = self.get_grids(direction=direction, opened=True, type=type)
|
||||
if opened_long_grids is None or len(opened_long_grids) == 0:
|
||||
return None
|
||||
if len(opened_long_grids) > 1:
|
||||
sorted_grids = sorted(opened_long_grids, key=lambda g: g.open_price)
|
||||
if orderby_asc:
|
||||
# 取价格最低的一格
|
||||
opened_long_grids = sorted_grids[0:1]
|
||||
else:
|
||||
# 取价格最高的一格
|
||||
opened_long_grids = sorted_grids[-1:]
|
||||
|
||||
return opened_long_grids[0]
|
||||
|
||||
def remove_grids_by_ids(self, direction: Direction, ids: list = []):
|
||||
"""移除指定id的网格"""
|
||||
if len(ids) == 0:
|
||||
return
|
||||
|
||||
if direction == Direction.LONG:
|
||||
for x in self.dn_grids[:]:
|
||||
if x.id in ids:
|
||||
self.write_log(u'清除下网格[open={},close={},stop={},volume={}]'
|
||||
.format(x.open_price, x.close_price, x.stop_price, x.volume))
|
||||
self.dn_grids.remove(x)
|
||||
|
||||
if direction == Direction.SHORT:
|
||||
for x in self.up_grids[:]:
|
||||
if x.id in id:
|
||||
self.write_log(u'清除上网格[open={},close={},stop={},volume={}]'
|
||||
.format(x.open_price, x.close_price, x.stop_price, x.volume))
|
||||
self.up_grids.remove(x)
|
||||
|
||||
def remove_unopen_grids_by_price(self, direction: Direction, priceline: float, types: list = ['']):
|
||||
"""清除价格线以下的未开仓，未委托网格"""
|
||||
if direction == Direction.LONG:
|
||||
for x in self.dn_grids[:]:
|
||||
if x.open_price > priceline \
|
||||
and not x.order_status \
|
||||
and not x.open_status \
|
||||
and not x.close_status \
|
||||
and x.type in types:
|
||||
self.write_log(u'清除下网格[open={0}]'.format(x.open_price))
|
||||
self.dn_grids.remove(x)
|
||||
|
||||
if direction == Direction.SHORT:
|
||||
for x in self.up_grids[:]:
|
||||
if x.open_price < priceline \
|
||||
and not x.order_status \
|
||||
and not x.open_status \
|
||||
and not x.close_status \
|
||||
and x.type in types:
|
||||
self.write_log(u'清除上网格[open={0}]'.format(x.open_price))
|
||||
self.up_grids.remove(x)
|
||||
|
||||
def shift_grids(self, direction, pricedelta, type=''):
|
||||
"""按pricedelta平移所有网格"""
|
||||
if direction == Direction.LONG:
|
||||
for x in self.dn_grids[:]:
|
||||
x.open_price += pricedelta # 开仓价格
|
||||
x.close_price += pricedelta # 平仓价格
|
||||
x.stop_price += pricedelta # 止损价格
|
||||
x.type = type # 网格类型标签
|
||||
# self.open_prices = {} # 套利使用，开仓价格，symbol:price
|
||||
|
||||
if direction == Direction.SHORT:
|
||||
for x in self.up_grids[:]:
|
||||
x.open_price += pricedelta # 开仓价格
|
||||
x.close_price += pricedelta # 平仓价格
|
||||
x.stop_price += pricedelta # 止损价格
|
||||
x.type = type # 网格类型标签
|
||||
# self.open_prices = {} # 套利使用，开仓价格，symbol:price
|
||||
|
||||
def rebuild_grids(self, direction: Direction,
|
||||
upper_line: float = 0.0,
|
||||
down_line: float = 0.0,
|
||||
middle_line: float = 0.0,
|
||||
upper_rate: float = 1,
|
||||
down_rate: float = 1,
|
||||
reuse_count: int = 0):
|
||||
"""重新拉网
|
||||
清除未挂单的网格，
|
||||
在上轨/下轨位置重新挂单
|
||||
upRate , 上轨网格高度比率
|
||||
dnRate， 下轨网格高度比率
|
||||
"""
|
||||
self.write_log(u'重新拉网:direction:{},upline:{},dnline:{}'.format(direction, upper_line, down_line))
|
||||
|
||||
# 检查上下网格的高度比率，不能低于0.5
|
||||
if upper_rate < 0.5 or down_rate < 0.5:
|
||||
upper_rate = max(0.5, upper_rate)
|
||||
down_rate = max(0.5, down_rate)
|
||||
|
||||
# 重建下网格(移除未挂单、保留开仓得网格、在最低价之下才增加网格
|
||||
if direction == Direction.LONG:
|
||||
min_long_price = middle_line
|
||||
remove_grids = []
|
||||
opened_grids = []
|
||||
# 移除未挂单的下网格
|
||||
for x in self.dn_grids[:]:
|
||||
if not x.order_status and not x.open_status and not x.close_status:
|
||||
remove_grids.append(u'{}=>{}'.format(x.open_price, x.close_price))
|
||||
self.dn_grids.remove(x)
|
||||
else:
|
||||
opened_grids.append(u'{}=>{}'.format(x.open_price, x.close_price))
|
||||
if x.open_price < min_long_price:
|
||||
min_long_price = x.open_price
|
||||
|
||||
if len(remove_grids) > 0:
|
||||
self.write_log(u'清除下网格[{}]'.format(remove_grids))
|
||||
if len(opened_grids) > 0:
|
||||
self.write_log(u'保留下网格[{}]'.format(opened_grids))
|
||||
|
||||
# 需要重建的剩余网格数量
|
||||
remainLots = len(self.dn_grids)
|
||||
lots = self.max_lots - remainLots
|
||||
|
||||
down_line = min(down_line, min_long_price - self.grid_height * down_rate)
|
||||
self.write_log(u'需要重建的网格数量:{0},起点:{1}'.format(lots, down_line))
|
||||
|
||||
if lots > 0:
|
||||
for i in range(0, lots, 1):
|
||||
# 做多，开仓价为下阻力线-网格高度*i，平仓价为开仓价+止盈高度，开仓数量为缺省
|
||||
open_price = int((down_line - self.grid_height * down_rate) / self.price_tick) * self.price_tick
|
||||
close_price = int((open_price + self.grid_win * down_rate) / self.price_tick) * self.price_tick
|
||||
|
||||
grid = CtaGrid(direction=Direction.LONG,
|
||||
open_price=open_price,
|
||||
close_price=close_price,
|
||||
volume=self.volume * self.get_volume_rate(remainLots + i))
|
||||
grid.reuse_count = reuse_count
|
||||
self.dn_grids.append(grid)
|
||||
self.write_log(u'重新拉下网格:[{0}==>{1}]'.format(down_line, down_line - lots * self.grid_height * down_rate))
|
||||
|
||||
# 重建上网格(移除未挂单、保留开仓得网格、在最高价之上才增加网格
|
||||
if direction == Direction.SHORT:
|
||||
max_short_price = middle_line # 最高开空价
|
||||
remove_grids = [] # 移除的网格列表
|
||||
opened_grids = [] # 已开仓的网格列表
|
||||
# 移除未挂单的上网格
|
||||
for x in self.up_grids[:]:
|
||||
if not x.order_status and not x.open_status and not x.close_status:
|
||||
remove_grids.append(u'{}=>{}'.format(x.open_price, x.close_price))
|
||||
self.up_grids.remove(x)
|
||||
else:
|
||||
opened_grids.append(u'{}=>{}'.format(x.open_price, x.close_price))
|
||||
|
||||
if x.open_price > max_short_price:
|
||||
max_short_price = x.open_price
|
||||
|
||||
if len(remove_grids) > 0:
|
||||
self.write_log(u'清除上网格[{}]'.format(remove_grids))
|
||||
if len(opened_grids) > 0:
|
||||
self.write_log(u'保留上网格[{}]'.format(opened_grids))
|
||||
|
||||
# 需要重建的剩余网格数量
|
||||
remainLots = len(self.up_grids)
|
||||
lots = self.max_lots - remainLots
|
||||
upper_line = max(upper_line, max_short_price + self.grid_height * upper_rate)
|
||||
self.write_log(u'需要重建的网格数量:{0},起点:{1}'.format(lots, upper_line))
|
||||
|
||||
if lots > 0:
|
||||
# 做空，开仓价为上阻力线+网格高度*i，平仓价为开仓价-止盈高度，开仓数量为缺省
|
||||
for i in range(0, lots, 1):
|
||||
open_price = int((upper_line + self.grid_height * upper_rate) / self.price_tick) * self.price_tick
|
||||
close_price = int((open_price - self.grid_win * upper_rate) / self.price_tick) * self.price_tick
|
||||
|
||||
grid = CtaGrid(direction=Direction.SHORT,
|
||||
open_price=open_price,
|
||||
close_price=close_price,
|
||||
volume=self.volume * self.get_volume_rate(remainLots + i))
|
||||
grid.reuse_count = reuse_count
|
||||
self.up_grids.append(grid)
|
||||
|
||||
self.write_log(
|
||||
u'重新拉上网格:[{0} ==> {1}]'.format(upper_line, upper_line + lots * self.grid_height * upper_rate))
|
||||
|
||||
def recount_avg_open_price(self):
|
||||
"""计算网格的平均开仓价"""
|
||||
up_open_list = [x for x in self.up_grids if x.open_status]
|
||||
|
||||
self.max_up_open_price = 0 - sys.maxsize
|
||||
self.avg_up_open_price = 0 - sys.maxsize
|
||||
self.min_dn_open_price = sys.maxsize
|
||||
self.avg_dn_open_price = sys.maxsize
|
||||
|
||||
total_price = 0.0
|
||||
total_volume = 0
|
||||
for x in up_open_list:
|
||||
self.max_up_open_price = max(self.max_up_open_price, x.open_price)
|
||||
total_price += x.open_price * x.volume
|
||||
total_volume += x.volume
|
||||
|
||||
if total_volume > 0:
|
||||
self.avg_up_open_price = total_price / total_volume
|
||||
|
||||
total_price = 0.0
|
||||
total_volume = 0
|
||||
|
||||
dn_open_list = [x for x in self.dn_grids if x.open_status]
|
||||
for x in dn_open_list:
|
||||
self.min_dn_open_price = min(self.min_dn_open_price, x.open_price)
|
||||
total_price += x.open_price * x.volume
|
||||
total_volume += x.volume
|
||||
|
||||
if total_volume > 0:
|
||||
self.avg_dn_open_price = total_price / total_volume
|
||||
|
||||
def count_avg_open_price(self, grid_list):
|
||||
"""计算平均开仓价"""
|
||||
total_price = 0.0
|
||||
total_volume = 0
|
||||
avg_price = 0.0
|
||||
|
||||
for g in grid_list:
|
||||
total_price += g.open_price * g.volume
|
||||
total_volume += g.volume
|
||||
|
||||
if total_volume > 0:
|
||||
avg_price = total_price / total_volume
|
||||
return avg_price
|
||||
|
||||
def combine_opened_grids(self, direction, type=''):
|
||||
"""合并已开仓的网格"""
|
||||
total_open_price = 0.0
|
||||
total_close_price = 0.0
|
||||
total_volume = 0
|
||||
|
||||
if direction == Direction.SHORT:
|
||||
opened_short_grids = self.get_grids(direction=direction,
|
||||
opened=True,
|
||||
ordered=False,
|
||||
type=type)
|
||||
|
||||
if len(opened_short_grids) <= 1:
|
||||
return
|
||||
self.write_log(u'{}个空网格合并为1个'.format(len(opened_short_grids)))
|
||||
saved_grid = opened_short_grids[-1]
|
||||
|
||||
for g in opened_short_grids:
|
||||
total_open_price += g.open_price * g.volume
|
||||
total_close_price += g.close_price * g.volume
|
||||
total_volume += g.volume
|
||||
if g != saved_grid:
|
||||
self.write_log(u'删除空网格 {}=>{},v:{}'.format(g.open_price, g.close_price, g.volume))
|
||||
self.up_grids.remove(g)
|
||||
else:
|
||||
self.write_log(u'保留空网格 {}=>{},v:{}'.format(g.open_price, g.close_price, g.volume))
|
||||
|
||||
# 更新网格的开仓价和仓位数量
|
||||
saved_grid.open_price = int((total_open_price / total_volume) / self.price_tick) * self.price_tick
|
||||
saved_grid.volume = total_volume
|
||||
saved_grid.close_price = int((total_close_price / total_volume) / self.price_tick) * self.price_tick
|
||||
|
||||
self.write_log(
|
||||
u'合并后空网格为{}=>{},v:{}'.format(saved_grid.open_price, saved_grid.close_price, saved_grid.volume))
|
||||
|
||||
elif direction == Direction.LONG:
|
||||
opened_long_grids = self.get_grids(direction=direction, opened=True, ordered=False, type=type)
|
||||
|
||||
if len(opened_long_grids) <= 1:
|
||||
return
|
||||
self.write_log(u'{}个多网格合并为1个'.format(len(opened_long_grids)))
|
||||
saved_grid = opened_long_grids[-1]
|
||||
|
||||
for g in opened_long_grids:
|
||||
total_open_price += g.open_price * g.volume
|
||||
total_close_price += g.close_price * g.volume
|
||||
total_volume += g.volume
|
||||
if g != saved_grid:
|
||||
self.write_log(u'删除多网格 {}=>{},v:{}'.format(g.open_price, g.close_price, g.volume))
|
||||
self.dn_grids.remove(g)
|
||||
else:
|
||||
self.write_log(u'保留多网格 {}=>{},v:{}'.format(g.open_price, g.close_price, g.volume))
|
||||
|
||||
# 更新网格的开仓价和仓位数量
|
||||
saved_grid.open_price = int((total_open_price / total_volume) / self.price_tick) * self.price_tick
|
||||
saved_grid.volume = total_volume
|
||||
saved_grid.close_price = int((total_close_price / total_volume) / self.price_tick) * self.price_tick
|
||||
|
||||
self.write_log(f'合并后多网格为{saved_grid.open_price}=>{saved_grid.close_price},v:{saved_grid.volume}')
|
||||
|
||||
def clear_duplicate_grids(self, direction: Direction = None, type: str = ''):
|
||||
"""去除重复开仓价的未开仓网格"""
|
||||
|
||||
if direction == Direction.SHORT or direction is None:
|
||||
if len(self.up_grids) < 2:
|
||||
return
|
||||
checking_grids = self.get_grids(direction=Direction.SHORT, opened=False, ordered=False, type=type)
|
||||
|
||||
if len(checking_grids) < 2:
|
||||
return
|
||||
|
||||
open_price_list = []
|
||||
remove_grids = []
|
||||
|
||||
for g in checking_grids:
|
||||
if g.open_price in open_price_list:
|
||||
remove_grids.append(g)
|
||||
continue
|
||||
|
||||
open_price_list.append(g.open_price)
|
||||
|
||||
for rg in remove_grids:
|
||||
try:
|
||||
self.up_grids.remove(rg)
|
||||
except Exception:
|
||||
pass
|
||||
|
||||
if direction == Direction.LONG or direction is None:
|
||||
if len(self.dn_grids) < 2:
|
||||
return
|
||||
checking_grids = self.get_grids(direction=Direction.LONG, opened=False, ordered=False, type=type)
|
||||
|
||||
if len(checking_grids) < 2:
|
||||
return
|
||||
|
||||
open_price_list = []
|
||||
remove_grids = []
|
||||
for g in checking_grids:
|
||||
if g.open_price in open_price_list:
|
||||
remove_grids.append(g)
|
||||
continue
|
||||
|
||||
open_price_list.append(g.open_price)
|
||||
|
||||
for rg in remove_grids:
|
||||
try:
|
||||
self.dn_grids.remove(rg)
|
||||
except Exception:
|
||||
pass
|
||||
|
||||
def save(self):
|
||||
"""
|
||||
保存网格至本地Json文件
|
||||
2017/11/23 update: 保存时，空的列表也保存
|
||||
:return:
|
||||
"""""
|
||||
# 回测模式不保存
|
||||
if self.strategy and getattr(self.strategy, 'backtesting', False):
|
||||
return
|
||||
|
||||
# 更新开仓均价
|
||||
self.recount_avg_open_price()
|
||||
grids_save_path = get_folder_path('data')
|
||||
|
||||
# 确保json名字与策略一致
|
||||
if self.jsonName != self.strategy.name:
|
||||
self.write_log(u'JsonName {} 与 上层策略名{} 不一致.'.format(self.jsonName, self.strategy.name))
|
||||
self.jsonName = self.strategy.name
|
||||
|
||||
# 新版网格持久化文件
|
||||
grid_json_file = os.path.join(grids_save_path, u'{}_Grids.json'.format(self.jsonName))
|
||||
self.json_file_path = grid_json_file
|
||||
|
||||
data = {}
|
||||
up_grids = []
|
||||
for grid in self.up_grids:
|
||||
up_grids.append(grid.to_json())
|
||||
dn_grids = []
|
||||
for grid in self.dn_grids:
|
||||
dn_grids.append(grid.to_json())
|
||||
data[u'up_grids'] = up_grids
|
||||
data[u'dn_grids'] = dn_grids
|
||||
|
||||
with open(grid_json_file, 'w') as f:
|
||||
json_data = json.dumps(data, indent=4)
|
||||
f.write(json_data)
|
||||
|
||||
self.write_log(u'GrideTrade保存文件{}完成'.format(grid_json_file))
|
||||
|
||||
def load(self, direction, open_status_filter=[]):
|
||||
"""
|
||||
加载本地Json至网格
|
||||
:param direction: Direction.SHORT,做空网格；Direction.LONG，做多网格
|
||||
:param open_status_filter: 缺省，不做过滤；True，只提取已开仓的数据，False，只提取未开仓的数据
|
||||
:return:
|
||||
"""
|
||||
data = {}
|
||||
grids_save_path = get_folder_path('data')
|
||||
|
||||
if self.jsonName != self.strategy.name:
|
||||
self.write_log(u'JsonName {} 与 上层策略名{} 不一致.'.format(self.jsonName, self.strategy.name))
|
||||
self.jsonName = self.strategy.name
|
||||
|
||||
# 若json文件不存在，就保存一个；若存在，就优先使用数据文件
|
||||
grid_json_file = os.path.join(grids_save_path, u'{}_Grids.json'.format(self.jsonName))
|
||||
if not os.path.exists(grid_json_file):
|
||||
data['up_grids'] = []
|
||||
data['dn_grids'] = []
|
||||
self.write_log(u'{}不存在，新建保存保存'.format(grid_json_file))
|
||||
try:
|
||||
with open(grid_json_file, 'w') as f:
|
||||
json_data = json.dumps(data, indent=4)
|
||||
f.write(json_data)
|
||||
except Exception as ex:
|
||||
self.write_log(u'写入网格文件{}异常:{}'.format(grid_json_file, str(ex)))
|
||||
else:
|
||||
# 读取json文件
|
||||
try:
|
||||
with open(grid_json_file, 'r', encoding='utf8') as f:
|
||||
data = json.load(f)
|
||||
except Exception as ex:
|
||||
self.write_error(u'读取网格文件{}异常:{}'.format(grid_json_file, str(ex)))
|
||||
|
||||
# 从文件获取数据
|
||||
json_grids = []
|
||||
if direction == Direction.SHORT:
|
||||
json_grids = data['up_grids'] if 'up_grids' in data else []
|
||||
|
||||
elif direction == Direction.LONG:
|
||||
json_grids = data['dn_grids'] if 'dn_grids' in data else []
|
||||
|
||||
grids = []
|
||||
for grid_obj in json_grids:
|
||||
|
||||
grid = CtaGrid(grid_obj)
|
||||
|
||||
self.write_log(grid.to_str())
|
||||
|
||||
# 增加对开仓状态的过滤，满足某些策略只提取已开仓的网格数据
|
||||
if len(open_status_filter) > 0:
|
||||
if grid.open_status not in open_status_filter:
|
||||
continue
|
||||
|
||||
grids.append(grid)
|
||||
|
||||
# 更新开仓均价
|
||||
self.recount_avg_open_price()
|
||||
return grids
|
||||
|
||||
def change_strategy_name(self, old_name, new_name):
|
||||
"""
|
||||
在线更换策略实例名称，需要把Json文件也转移
|
||||
:param old_name:
|
||||
:param new_name:
|
||||
:return:
|
||||
"""
|
||||
if old_name == new_name:
|
||||
self.write_log(u'更换策略实例名称失败,old:{} =>new:{}'.format(old_name, new_name))
|
||||
return
|
||||
|
||||
data_folder = get_folder_path('data')
|
||||
|
||||
self.jsonName = new_name
|
||||
# 旧文件
|
||||
old_json_file = os.path.join(data_folder, u'{0}_Grids.json'.format(old_name))
|
||||
|
||||
if os.path.isfile(old_json_file): # 新文件若存在，移除
|
||||
try:
|
||||
os.remove(old_json_file)
|
||||
except Exception as ex:
|
||||
self.write_error(u'GridTrade.change_strategy_name 删除文件：{}异常:{}'.format(old_json_file, str(ex)))
|
||||
|
||||
self.save()
|
||||
|
||||
def get_types_of_opened_grids(self, direction: Direction, include_empty: bool = False):
|
||||
"""
|
||||
获取开仓的网格类型列表
|
||||
:param direction:
|
||||
:param include_empty: 是否包含空值的类型
|
||||
:return:
|
||||
"""
|
||||
grids = self.get_opened_grids(direction)
|
||||
types = []
|
||||
for g in grids:
|
||||
if g.type not in types and (g.type != '' if not include_empty else True):
|
||||
types.append(g.type)
|
||||
|
||||
return types
|
||||
5821
vnpy/app/cta_strategy_pro/cta_line_bar.py
Normal file
5821
vnpy/app/cta_strategy_pro/cta_line_bar.py
Normal file
File diff suppressed because it is too large
Load Diff
46
vnpy/app/cta_strategy_pro/cta_period.py
Normal file
46
vnpy/app/cta_strategy_pro/cta_period.py
Normal file
@ -0,0 +1,46 @@
|
||||
# encoding: UTF-8
|
||||
|
||||
# 周期类，定义CTA的五种周期，及其周期变换矩阵
|
||||
from enum import Enum
|
||||
from datetime import datetime
|
||||
|
||||
|
||||
# 周期方向
|
||||
class Period(Enum):
|
||||
INIT = u'初始状态'
|
||||
LONG = u'多'
|
||||
SHORT = u'空'
|
||||
SHOCK = u'震荡'
|
||||
LONG_EXTREME = u'极端多'
|
||||
SHORT_EXTREME = u'极端空'
|
||||
|
||||
|
||||
class CtaPeriod(object):
|
||||
"""CTA 周期"""
|
||||
|
||||
def __init__(self, mode: Period, price: float, pre_mode: Period = Period.INIT, dt: datetime = None):
|
||||
"""初始化函数"""
|
||||
self.open = price # 开始价格
|
||||
self.close = price # 结束价格
|
||||
self.high = price # 最高价格
|
||||
self.low = price # 最低价格
|
||||
|
||||
self.mode = mode # 周期模式 XXX
|
||||
self.pre_mode = pre_mode # 上一周期
|
||||
|
||||
self.datetime = dt if dt else datetime.now() # 周期的开始时间
|
||||
|
||||
def update_price(self, price):
|
||||
"""更新周期的价格"""
|
||||
|
||||
if price > self.high:
|
||||
self.high = price
|
||||
self.close = price
|
||||
return
|
||||
|
||||
if price < self.low:
|
||||
self.low = price
|
||||
self.close = price
|
||||
return
|
||||
|
||||
self.close = price
|
||||
105
vnpy/app/cta_strategy_pro/cta_policy.py
Normal file
105
vnpy/app/cta_strategy_pro/cta_policy.py
Normal file
@ -0,0 +1,105 @@
|
||||
# encoding: UTF-8
|
||||
|
||||
import os
|
||||
import json
|
||||
from datetime import datetime
|
||||
from collections import OrderedDict
|
||||
from vnpy.app.cta_strategy_pro.template import CtaComponent
|
||||
from vnpy.trader.utility import get_folder_path
|
||||
|
||||
|
||||
class CtaPolicy(CtaComponent):
|
||||
"""
|
||||
策略的持久化Policy组件
|
||||
"""
|
||||
|
||||
def __init__(self, strategy=None, **kwargs):
|
||||
"""
|
||||
构造
|
||||
:param strategy:
|
||||
"""
|
||||
super(CtaPolicy).__init__(strategy=strategy)
|
||||
|
||||
self.create_time = None
|
||||
self.save_time = None
|
||||
|
||||
def toJson(self):
|
||||
"""
|
||||
将数据转换成dict
|
||||
datetime =》 string
|
||||
object =》 string
|
||||
:return:
|
||||
"""
|
||||
j = OrderedDict()
|
||||
j['create_time'] = self.create_time.strftime('%Y-%m-%d %H:%M:%S') if self.create_time is not None else ''
|
||||
j['save_time'] = self.save_time.strftime('%Y-%m-%d %H:%M:%S') if self.save_time is not None else ''
|
||||
|
||||
return j
|
||||
|
||||
def fromJson(self, json_data):
|
||||
"""
|
||||
将数据从json_data中恢复
|
||||
:param json_data:
|
||||
:return:
|
||||
"""
|
||||
self.write_log(u'将数据从json_data中恢复')
|
||||
|
||||
self.create_time = datetime.now()
|
||||
create_time = json_data.get('create_time', '')
|
||||
|
||||
if len(create_time) > 0:
|
||||
try:
|
||||
self.create_time = datetime.strptime(create_time, '%Y-%m-%d %H:%M:%S')
|
||||
except Exception as ex:
|
||||
self.write_error(u'解释create_time异常:{}'.format(str(ex)))
|
||||
self.create_time = datetime.now()
|
||||
|
||||
save_time = json_data.get('save_time', '')
|
||||
if len(save_time) > 0:
|
||||
try:
|
||||
self.save_time = datetime.strptime(save_time, '%Y-%m-%d %H:%M:%S')
|
||||
except Exception as ex:
|
||||
self.write_error(u'解释save_time异常:{}'.format(str(ex)))
|
||||
self.save_time = datetime.now()
|
||||
|
||||
def load(self):
|
||||
"""
|
||||
从持久化文件中获取
|
||||
:return:
|
||||
"""
|
||||
json_file = os.path.abspath(os.path.join(get_folder_path('data'), u'{}_Policy.json'.format(self.strategy.name)))
|
||||
|
||||
json_data = {}
|
||||
if os.path.exists(json_file):
|
||||
try:
|
||||
with open(json_file, 'r', encoding='utf8') as f:
|
||||
# 解析json文件
|
||||
json_data = json.load(f)
|
||||
except Exception as ex:
|
||||
self.write_error(u'读取Policy文件{}出错,ex:{}'.format(json_file, str(ex)))
|
||||
json_data = {}
|
||||
|
||||
# 从持久化文件恢复数据
|
||||
self.fromJson(json_data)
|
||||
|
||||
def save(self):
|
||||
"""
|
||||
保存至持久化文件
|
||||
:return:
|
||||
"""
|
||||
json_file = os.path.abspath(
|
||||
os.path.join(get_folder_path('data'), u'{}_Policy.json'.format(self.strategy.name)))
|
||||
|
||||
try:
|
||||
# 修改为：回测时不保存
|
||||
if self.strategy and self.strategy.backtesting:
|
||||
return
|
||||
|
||||
json_data = self.toJson()
|
||||
json_data['save_time'] = datetime.now().strftime('%Y-%m-%d %H:%M:%S')
|
||||
with open(json_file, 'w') as f:
|
||||
data = json.dumps(json_data, indent=4)
|
||||
f.write(data)
|
||||
|
||||
except IOError as ex:
|
||||
self.write_error(u'写入Policy文件{}出错,ex:{}'.format(json_file, str(ex)))
|
||||
82
vnpy/app/cta_strategy_pro/cta_position.py
Normal file
82
vnpy/app/cta_strategy_pro/cta_position.py
Normal file
@ -0,0 +1,82 @@
|
||||
# encoding: UTF-8
|
||||
|
||||
import sys
|
||||
|
||||
from vnpy.app.cta_strategy_pro.base import Direction
|
||||
from vnpy.app.cta_strategy_pro.template import CtaComponent
|
||||
|
||||
|
||||
class CtaPosition(CtaComponent):
|
||||
"""策略的仓位管理类组件
|
||||
简单的数值，代表多仓数量和空仓数量, 净仓数量，最大仓位
|
||||
上层策略使用:
|
||||
1、 on_trade 或 on_order（套利) 时，通过open_pos close_pos，更新仓位
|
||||
2、 逻辑判断, self.pos:代表净仓位; self.long_pos:代表多仓， self.short_pos，代表空仓
|
||||
"""
|
||||
|
||||
def __init__(self, strategy, **kwargs):
|
||||
super(CtaComponent).__init__(strategy=strategy)
|
||||
self.long_pos = 0 # 多仓持仓(正数)
|
||||
self.short_pos = 0 # 空仓持仓(负数)
|
||||
self.pos = 0 # 持仓状态 0:空仓/对空平等； >=1 净多仓 ；<=-1 净空仓
|
||||
self.maxPos = sys.maxsize # 最大持仓量（多仓+空仓总量）
|
||||
|
||||
def open_pos(self, direction: Direction, volume: int):
|
||||
"""开、加仓"""
|
||||
# volume: 正整数
|
||||
|
||||
if direction == Direction.LONG: # 加多仓
|
||||
if (max(self.pos, self.long_pos) + volume) > self.maxPos:
|
||||
self.write_error(content=f'开仓异常,净:{self.pos},多:{self.long_pos},加多:{volume},超过:{self.maxPos}')
|
||||
|
||||
# 更新
|
||||
self.write_log(f'多仓:{self.long_pos}->{self.long_pos + volume}')
|
||||
self.write_log(u'净:{self.pos}->{self.pos + volume}')
|
||||
self.long_pos += volume
|
||||
self.pos += volume
|
||||
|
||||
if direction == Direction.SHORT: # 加空仓
|
||||
if (min(self.pos, self.short_pos) - volume) < (0 - self.maxPos):
|
||||
self.write_error(content=f'开仓异常,净:{self.pos},空:{self.short_pos},加空:{volume},超过:{self.maxPos}')
|
||||
|
||||
self.write_log(f'空仓:{self.short_pos}->{self.short_pos - volume}')
|
||||
self.write_log(u'净:{self.pos}->{self.pos - volume}')
|
||||
self.short_pos -= volume
|
||||
self.pos -= volume
|
||||
|
||||
return True
|
||||
|
||||
def close_pos(self, direction: Direction, volume):
|
||||
"""平、减仓"""
|
||||
# vol: 正整数
|
||||
|
||||
if direction == Direction.LONG: # 平空仓 Cover
|
||||
if self.short_pos + volume > 0:
|
||||
self.write_error(u'平仓异常，超出仓位。净:{0},空:{1},平仓:{2}'.format(self.pos, self.short_pos, volume))
|
||||
|
||||
self.write_log(f'空仓:{self.short_pos}->{self.short_pos + volume}')
|
||||
self.write_log(f'净:{self.pos}->{self.pos + volume}')
|
||||
self.short_pos += volume
|
||||
self.pos += volume
|
||||
|
||||
# 更新上层策略的pos。该方法不推荐使用
|
||||
self.strategy.pos = self.pos
|
||||
|
||||
if direction == Direction.SHORT: # 平多仓
|
||||
if self.long_pos - volume < 0:
|
||||
self.write_error(u'平仓异常，超出仓位。净:{0},多:{1},平仓:{2}'.format(self.pos, self.long_pos, volume))
|
||||
|
||||
self.write_log(f'多仓:{self.long_pos}->{self.long_pos - volume}')
|
||||
self.write_log(f'净:{self.pos}->{self.pos - volume}')
|
||||
|
||||
self.long_pos -= volume
|
||||
self.pos -= volume
|
||||
|
||||
return True
|
||||
|
||||
def clear(self):
|
||||
"""清除状态"""
|
||||
self.write_log(u'清除所有持仓状态')
|
||||
self.pos = 0
|
||||
self.long_pos = 0
|
||||
self.short_pos = 0
|
||||
Loading…
Reference in New Issue
Block a user