Merge pull request #1811 from 1122455801/algo_trade_0608
[Mod] algo_trader.md
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- engine：定义了算法引擎，其中包括：引擎初始化、保存/移除/加载算法配置、启动算法、停止算法、订阅行情、挂撤单等。
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- template：定义了交易算法模板，具体的算法示例，如冰山算法，都需要继承于该模板。
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- algos：官方提供的交易算法示例，包括：冰山算法、狙击手算法、时间加权平均算法、条件委托、最优限价。
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- algos：具体的交易算法示例。用户基于算法模板和官方提供是算法示例，可以自己搭建新的算法。
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- ui：基于PyQt5的GUI图形应用。
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@ -83,6 +83,37 @@
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## 算法示例
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### 直接委托算法
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直接发出新的委托（限价单、停止单、市价单）
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```
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def on_tick(self, tick: TickData):
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""""""
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if not self.vt_orderid:
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if self.direction == Direction.LONG:
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self.vt_orderid = self.buy(
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self.vt_symbol,
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self.price,
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self.volume,
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self.order_type,
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self.offset
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)
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else:
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self.vt_orderid = self.sell(
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self.vt_symbol,
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self.price,
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self.volume,
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self.order_type,
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self.offset
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)
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self.put_variables_event()
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```
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### 时间加权平均算法
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- 将委托数量平均分布在某个时间区域内；
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@ -319,3 +350,160 @@
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offset=self.offset
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)
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```
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### 网格算法
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- 每隔一段时间检查委托情况，若有委托则先清空。
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- 基于用户设置的价格步进（即网格）计算目标距离，目标距离=（目标价格- 当前价格）/价格步进，故当前价格低于目标价格，目标距离为正，方向为买入；当前价格高于目标价格，目标距离为负，方向为卖出。（高抛低吸概念）
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- 计算目标仓位，目标仓位= 取整后的目标距离 * 委托数量步进。注意卖卖方向取整的方式是不同的：买入方向要向下取整math.floor()，如目标距离为1.6，取1；卖出方向要向上取整，如目标距离为-1.6，取-1。
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- 计算具体委托仓位：若目标买入仓位大于当前仓位，执行买入操作；若目标卖出仓位低于当前仓位，执行卖出操作。
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- 为了能够快速成交，买入情况是基于ask price计算，卖出情况是基于bid price计算。
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```
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def on_timer(self):
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""""""
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if not self.last_tick:
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return
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self.timer_count += 1
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if self.timer_count < self.interval:
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self.put_variables_event()
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return
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self.timer_count = 0
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if self.vt_orderid:
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self.cancel_all()
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# Calculate target volume to buy
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target_buy_distance = (self.price - self.last_tick.ask_price_1) / self.step_price
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target_buy_position = math.floor(target_buy_distance) * self.step_volume
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target_buy_volume = target_buy_position - self.last_pos
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# Buy when price dropping
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if target_buy_volume > 0:
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self.vt_orderid = self.buy(
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self.vt_symbol,
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self.last_tick.ask_price_1,
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min(target_buy_volume, self.last_tick.ask_volume_1)
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)
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# Calculate target volume to sell
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target_sell_distance = (self.price - self.last_tick.bid_price_1) / self.step_price
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target_sell_position = math.ceil(target_sell_distance) * self.step_volume
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target_sell_volume = self.last_pos - target_sell_position
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# Sell when price rising
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if target_sell_volume > 0:
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self.vt_orderid = self.sell(
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self.vt_symbol,
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self.last_tick.bid_price_1,
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min(target_sell_volume, self.last_tick.bid_volume_1)
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)
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```
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### 套利算法
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- 每隔一段时间检查委托情况，若有委托则先清空；若主动腿还持有净持仓，通过被动腿成交来对冲。
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- 计算价差spread_bid_price 和 spread_ask_price, 以及对应的委托数量
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- 卖出情况：主动腿价格相对被动腿上涨，其价差spread_bid_price大于spread_up时，触发买入信号
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- 买入情况：主动腿价格相对被动腿下跌，其价差spread_ask_price小于 - spread_down(spread_down默认设置为正数)时，触发卖出信号
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- 在买卖信号判断加入最大持仓的限制，其作用是避免持仓过多导致保证金不足或者直接被交易所惩罚性强平；而且随着价差持续波动，主动腿持仓可以从0 -> 10 -> 0 -> -10 -> 0,从而实现平仓获利离场。
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```
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def on_timer(self):
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""""""
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self.timer_count += 1
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if self.timer_count < self.interval:
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self.put_variables_event()
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return
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self.timer_count = 0
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if self.active_vt_orderid or self.passive_vt_orderid:
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self.cancel_all()
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return
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if self.net_pos:
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self.hedge()
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return
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active_tick = self.get_tick(self.active_vt_symbol)
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passive_tick = self.get_tick(self.passive_vt_symbol)
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if not active_tick or not passive_tick:
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return
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# Calculate spread
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spread_bid_price = active_tick.bid_price_1 - passive_tick.ask_price_1
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spread_ask_price = active_tick.ask_price_1 - passive_tick.bid_price_1
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spread_bid_volume = min(active_tick.bid_volume_1, passive_tick.ask_volume_1)
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spread_ask_volume = min(active_tick.ask_volume_1, passive_tick.bid_volume_1)
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# Sell condition
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if spread_bid_price > self.spread_up:
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if self.acum_pos <= -self.max_pos:
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return
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else:
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self.active_vt_orderid = self.sell(
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self.active_vt_symbol,
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active_tick.bid_price_1,
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spread_bid_volume
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)
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# Buy condition
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elif spread_ask_price < -self.spread_down:
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if self.acum_pos >= self.max_pos:
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return
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else:
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self.active_vt_orderid = self.buy(
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self.active_vt_symbol,
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active_tick.ask_price_1,
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spread_ask_volume
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)
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self.put_variables_event()
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def hedge(self):
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""""""
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tick = self.get_tick(self.passive_vt_symbol)
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volume = abs(self.net_pos)
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if self.net_pos > 0:
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self.passive_vt_orderid = self.sell(
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self.passive_vt_symbol,
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tick.bid_price_5,
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volume
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)
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elif self.net_pos < 0:
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self.passive_vt_orderid = self.buy(
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self.passive_vt_symbol,
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tick.ask_price_5,
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volume
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)
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def on_trade(self, trade: TradeData):
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""""""
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# Update net position volume
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if trade.direction == Direction.LONG:
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self.net_pos += trade.volume
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else:
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self.net_pos -= trade.volume
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# Update active symbol position
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if trade.vt_symbol == self.active_vt_symbol:
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if trade.direction == Direction.LONG:
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self.acum_pos += trade.volume
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else:
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self.acum_pos -= trade.volume
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# Hedge if active symbol traded
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if trade.vt_symbol == self.active_vt_symbol:
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self.hedge()
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self.put_variables_event()
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```
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