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增加CTA策略末班的停止单状态更新函数

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This commit is contained in:
vn.py 2017-07-10 20:39:13 +08:00
parent 801e3edd1e
commit e1ca7de271
7 changed files with 49 additions and 10 deletions
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25
vnpy/trader/app/ctaStrategy/ctaBacktesting.py
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@ -272,8 +272,8 @@ class BacktestingEngine(object):
so.price = self.roundToPriceTick(price)
so.volume = volume
so.strategy = strategy
so.stopOrderID = stopOrderID
so.status = STOPORDER_WAITING
so.stopOrderID = stopOrderID
if orderType == CTAORDER_BUY:
so.direction = DIRECTION_LONG
@ -292,6 +292,9 @@ class BacktestingEngine(object):
self.stopOrderDict[stopOrderID] = so
self.workingStopOrderDict[stopOrderID] = so
# 推送停止单初始更新
self.strategy.onStopOrder(so)
return stopOrderID
#----------------------------------------------------------------------
@ -302,6 +305,7 @@ class BacktestingEngine(object):
so = self.workingStopOrderDict[stopOrderID]
so.status = STOPORDER_CANCELLED
del self.workingStopOrderDict[stopOrderID]
self.strategy.onStopOrder(so)
#----------------------------------------------------------------------
def crossLimitOrder(self):
@ -395,6 +399,11 @@ class BacktestingEngine(object):
# 如果发生了成交
if buyCross or sellCross:
# 更新停止单状态，并从字典中删除该停止单
so.status = STOPORDER_TRIGGERED
if stopOrderID in self.workingStopOrderDict:
del self.workingStopOrderDict[stopOrderID]
# 推送成交数据
self.tradeCount += 1 # 成交编号自增1
tradeID = str(self.tradeCount)
@ -414,19 +423,15 @@ class BacktestingEngine(object):
orderID = str(self.limitOrderCount)
trade.orderID = orderID
trade.vtOrderID = orderID
trade.direction = so.direction
trade.offset = so.offset
trade.volume = so.volume
trade.tradeTime = str(self.dt)
trade.dt = self.dt
self.strategy.onTrade(trade)
self.tradeDict[tradeID] = trade
# 推送委托数据
so.status = STOPORDER_TRIGGERED
order = VtOrderData()
order.vtSymbol = so.vtSymbol
order.symbol = so.vtSymbol
@ -439,14 +444,14 @@ class BacktestingEngine(object):
order.tradedVolume = so.volume
order.status = STATUS_ALLTRADED
order.orderTime = trade.tradeTime
self.strategy.onOrder(order)
self.limitOrderDict[orderID] = order
# 从字典中删除该限价单
if stopOrderID in self.workingStopOrderDict:
del self.workingStopOrderDict[stopOrderID]
# 按照顺序推送数据
self.strategy.onStopOrder(so)
self.strategy.onOrder(order)
self.strategy.onTrade(trade)
#----------------------------------------------------------------------
def insertData(self, dbName, collectionName, data):
"""考虑到回测中不允许向数据库插入数据，防止实盘交易中的一些代码出错"""

5
vnpy/trader/app/ctaStrategy/ctaEngine.py
View File

@ -210,6 +210,9 @@ class CtaEngine(object):
self.stopOrderDict[stopOrderID] = so
self.workingStopOrderDict[stopOrderID] = so
# 推送停止单状态
strategy.onStopOrder(so)
return stopOrderID
#----------------------------------------------------------------------
@ -220,6 +223,7 @@ class CtaEngine(object):
so = self.workingStopOrderDict[stopOrderID]
so.status = STOPORDER_CANCELLED
del self.workingStopOrderDict[stopOrderID]
so.strategy.onStopOrder(so)
#----------------------------------------------------------------------
def processStopOrder(self, tick):
@ -244,6 +248,7 @@ class CtaEngine(object):
so.status = STOPORDER_TRIGGERED
self.sendOrder(so.vtSymbol, so.orderType, price, so.volume, so.strategy)
del self.workingStopOrderDict[so.stopOrderID]
so.strategy.onStopOrder(so)
#----------------------------------------------------------------------
def processTickEvent(self, event):

5
vnpy/trader/app/ctaStrategy/ctaTemplate.py
View File

@ -90,6 +90,11 @@ class CtaTemplate(object):
"""收到Bar推送（必须由用户继承实现）"""
raise NotImplementedError
#----------------------------------------------------------------------
def onStopOrder(self, so):
"""收到停止单推送（必须由用户继承实现）"""
raise NotImplementedError
#----------------------------------------------------------------------
def buy(self, price, volume, stop=False):
"""买开"""

4
vnpy/trader/app/ctaStrategy/strategy/strategyAtrRsi.py
View File

@ -237,3 +237,7 @@ class AtrRsiStrategy(CtaTemplate):
# 发出状态更新事件
self.putEvent()
#----------------------------------------------------------------------
def onStopOrder(self, so):
"""停止单推送"""
pass

5
vnpy/trader/app/ctaStrategy/strategy/strategyDualThrust.py
View File

@ -221,3 +221,8 @@ class DualThrustStrategy(CtaTemplate):
def onTrade(self, trade):
# 发出状态更新事件
self.putEvent()
#----------------------------------------------------------------------
def onStopOrder(self, so):
"""停止单推送"""
pass

10
vnpy/trader/app/ctaStrategy/strategy/strategyEmaDemo.py
View File

@ -188,6 +188,11 @@ class EmaDemoStrategy(CtaTemplate):
# 对于无需做细粒度委托控制的策略，可以忽略onOrder
pass
#----------------------------------------------------------------------
def onStopOrder(self, so):
"""停止单推送"""
pass
########################################################################################
class OrderManagementDemoStrategy(CtaTemplate):
@ -294,3 +299,8 @@ class OrderManagementDemoStrategy(CtaTemplate):
"""收到成交推送（必须由用户继承实现）"""
# 对于无需做细粒度委托控制的策略，可以忽略onOrder
pass
#----------------------------------------------------------------------
def onStopOrder(self, so):
"""停止单推送"""
pass

5
vnpy/trader/app/ctaStrategy/strategy/strategyKingKeltner.py
View File

@ -278,3 +278,8 @@ class KkStrategy(CtaTemplate):
# 将委托号记录到列表中
self.orderList.append(self.buyOrderID)
self.orderList.append(self.shortOrderID)
#----------------------------------------------------------------------
def onStopOrder(self, so):
"""停止单推送"""
pass