[bug fix]
This commit is contained in:
msincenselee
parent
5c80cde613
commit
e6452844a9
@ -432,7 +432,7 @@ class CtaStockTemplate(CtaTemplate):
|
||||
self.klines = {} # K线组件字典: kline_name: kline
|
||||
self.positions = {} # 策略内持仓记录， vt_symbol: PositionData
|
||||
self.order_type = OrderType.LIMIT
|
||||
self.cancel_seconds = 120 # 撤单时间(秒)
|
||||
self.cancel_seconds = 10 # 撤单时间(秒)
|
||||
|
||||
# 资金相关
|
||||
self.max_invest_rate = 0.1 # 最大仓位(0~1)
|
||||
@ -585,12 +585,28 @@ class CtaStockTemplate(CtaTemplate):
|
||||
self.write_log(f'清除委托单：{lg.order_ids}')
|
||||
[self.cta_engine.cancel_order(self, vt_orderid) for vt_orderid in lg.order_ids]
|
||||
lg.order_ids = []
|
||||
if lg.open_status:
|
||||
if lg.open_status and not lg.close_status and not lg.open_status:
|
||||
pos = self.get_position(lg.vt_symbol)
|
||||
pos.volume += lg.volume
|
||||
self.write_log(u'加载持仓多单[{},价格:{},数量:{}手, 开仓时间:{}'
|
||||
lg.traded_volume = 0
|
||||
self.write_log(u'持仓状态，加载持仓多单[{},价格:{},数量:{}手, 开仓时间:{}'
|
||||
.format(lg.vt_symbol, lg.open_price, lg.volume, lg.open_time))
|
||||
elif lg.order_status and not lg.open_status and not lg.close_status and lg.traded_volume > 0:
|
||||
pos = self.get_position(lg.vt_symbol)
|
||||
pos.volume += lg.traded_volume
|
||||
self.write_log(u'开仓状态，加载部分持仓多单[{},价格:{},数量:{}手, 开仓时间:{}'
|
||||
.format(lg.vt_symbol, lg.open_price, lg.traded_volume, lg.open_time))
|
||||
elif lg.order_status and lg.open_status and lg.close_status:
|
||||
if lg.traded_volume > 0:
|
||||
old_volume = lg.volume
|
||||
lg.volume -= lg.traded_volume
|
||||
self.write_log(f'平仓状态，已成交:{lg.traded_volume} => 0 , 持仓:{old_volume}=>{lg.volume}')
|
||||
lg.traded_volume = 0
|
||||
|
||||
pos = self.get_position(lg.vt_symbol)
|
||||
pos.volume += lg.volume
|
||||
self.write_log(u'卖出状态，加载持仓多单[{},价格:{},数量:{}手, 开仓时间:{}'
|
||||
.format(lg.vt_symbol, lg.open_price, lg.volume, lg.open_time))
|
||||
self.gt.save()
|
||||
self.display_grids()
|
||||
|
||||
@ -686,19 +702,19 @@ class CtaStockTemplate(CtaTemplate):
|
||||
self.on_order_close_canceled(order)
|
||||
|
||||
elif order.status == Status.REJECTED:
|
||||
if order.offset == Offset.OPEN:
|
||||
self.write_error(u'{}委托单开{}被拒，price:{},total:{},traded:{}，status:{}'
|
||||
.format(order.vt_symbol, order.direction, order.price, order.volume,
|
||||
if order.direction == Direction.LONG:
|
||||
self.write_error(u'买入委托单被拒:{}，委托价:{},总量:{},已成交:{}，状态:{}'
|
||||
.format(order.vt_symbol, order.price, order.volume,
|
||||
order.traded, order.status))
|
||||
self.on_order_open_canceled(order)
|
||||
else:
|
||||
self.write_error(u'OnOrder({})委托单平{}被拒，price:{},total:{},traded:{}，status:{}'
|
||||
.format(order.vt_symbol, order.direction, order.price, order.volume,
|
||||
self.write_error(u'卖出委托单被拒:{}，委托价:{},总量:{},已成交:{}，状态:{}'
|
||||
.format(order.vt_symbol, order.price, order.volume,
|
||||
order.traded, order.status))
|
||||
self.on_order_close_canceled(order)
|
||||
else:
|
||||
self.write_log(u'委托单未完成,total:{},traded:{},tradeStatus:{}'
|
||||
.format(order.volume, order.traded, order.status))
|
||||
self.write_log(u'委托单未完成,{} 委托总量:{},已成交:{},委托状态:{}'
|
||||
.format(order.vt_symbol, order.volume, order.traded, order.status))
|
||||
else:
|
||||
self.write_error(u'委托单{}不在策略的未完成订单列表中:{}'.format(order.vt_orderid, self.active_orders))
|
||||
|
||||
@ -708,7 +724,7 @@ class CtaStockTemplate(CtaTemplate):
|
||||
:param order:
|
||||
:return:
|
||||
"""
|
||||
self.write_log(u'{},委托单:{}全部完成'.format(order.time, order.vt_orderid))
|
||||
self.write_log(u'{},委托单:{}, 状态: 全部完成'.format(order.time, order.vt_orderid))
|
||||
order_info = self.active_orders[order.vt_orderid]
|
||||
|
||||
# 通过vt_orderid，找到对应的网格
|
||||
@ -718,39 +734,43 @@ class CtaStockTemplate(CtaTemplate):
|
||||
if order.vt_orderid in grid.order_ids:
|
||||
grid.order_ids.remove(order.vt_orderid)
|
||||
|
||||
# 更新成交
|
||||
old_traded_volume = grid.traded_volume
|
||||
grid.traded_volume += order.volume
|
||||
grid.traded_volume = round(grid.traded_volume, 7)
|
||||
|
||||
self.write_log(f'{order.vt_symbol}, 方向:{order.direction.value},{order.volume} 成交，'
|
||||
+ f'网格volume:{grid.volume}, traded_volume:{old_traded_volume}=>{grid.traded_volume}')
|
||||
if len(grid.order_ids) > 0:
|
||||
self.write_log(f'剩余委托单号:{grid.order_ids}')
|
||||
|
||||
# 网格的所有委托单已经执行完毕
|
||||
if len(grid.order_ids) == 0:
|
||||
if grid.volume <= grid.traded_volume:
|
||||
grid.order_status = False
|
||||
if grid.volume < grid.traded_volume:
|
||||
self.write_error(f'{order.vt_symbol} 已成交总量:{grid.traded_volume}超出{grid.volume}, 更新=>{grid.traded_volume}')
|
||||
grid.volume = grid.traded_volume
|
||||
grid.traded_volume = 0
|
||||
|
||||
# 平仓完毕（cover， sell）
|
||||
if order.offset != Offset.OPEN:
|
||||
# 卖出完毕（sell）
|
||||
if order.direction != Direction.LONG:
|
||||
grid.open_status = False
|
||||
grid.close_status = True
|
||||
|
||||
self.write_log(f'{grid.direction.value}单已平仓完毕,order_price:{order.price}'
|
||||
+ f',volume:{order.volume}')
|
||||
self.write_log(f'卖出{order.vt_symbol}完毕，总量:{grid.volume},最后一笔委托价:{order.price}'
|
||||
+ f',成交数量:{order.volume}')
|
||||
|
||||
self.write_log(f'移除网格:{grid.to_json()}')
|
||||
self.gt.remove_grids_by_ids(direction=grid.direction, ids=[grid.id])
|
||||
|
||||
# 开仓完毕( buy, sell)
|
||||
# 开仓完毕( buy)
|
||||
else:
|
||||
grid.open_status = True
|
||||
grid.open_time = self.cur_datetime
|
||||
self.write_log(f'{grid.direction.value}单已开仓完毕,order_price:{order.price}'
|
||||
+ f',volume:{order.volume}')
|
||||
self.write_log(f'买入{order.vt_symbol}完毕,总量:{grid.volume},最后一笔委托价:{order.price}'
|
||||
+ f',成交:{order.volume}')
|
||||
|
||||
# 网格的所有委托单部分执行完毕
|
||||
else:
|
||||
old_traded_volume = grid.traded_volume
|
||||
grid.traded_volume += order.volume
|
||||
grid.traded_volume = round(grid.traded_volume, 7)
|
||||
|
||||
self.write_log(f'{grid.direction.value}单部分{order.offset}仓，'
|
||||
+ f'网格volume:{grid.volume}, traded_volume:{old_traded_volume}=>{grid.traded_volume}')
|
||||
|
||||
self.write_log(f'剩余委托单号:{grid.order_ids}')
|
||||
self.gt.save()
|
||||
|
||||
# 在策略得活动订单中，移除
|
||||
self.active_orders.pop(order.vt_orderid, None)
|
||||
@ -851,7 +871,7 @@ class CtaStockTemplate(CtaTemplate):
|
||||
continue
|
||||
|
||||
cur_price = self.cta_engine.get_price(lg.vt_symbol)
|
||||
if lg.stop_price > 0 and lg.stop_price > cur_price > 0:
|
||||
if not lg.stop_price and lg.stop_price > cur_price > 0:
|
||||
# 调用平仓模块
|
||||
self.write_log(u'{} {}当前价:{} 触发止损线{},开仓价:{},v：{}'.
|
||||
format(self.cur_datetime,
|
||||
|
||||
Loading…
Reference in New Issue
Block a user