From e6452844a9bf1938e76b19695c2631b5fa6aa3ef Mon Sep 17 00:00:00 2001 From: msincenselee Date: Fri, 8 May 2020 15:20:45 +0800 Subject: [PATCH] [bug fix] --- vnpy/app/cta_stock/template.py | 80 +++++++++++++++++++++------------- 1 file changed, 50 insertions(+), 30 deletions(-) diff --git a/vnpy/app/cta_stock/template.py b/vnpy/app/cta_stock/template.py index 4085a18c..d9f23fd2 100644 --- a/vnpy/app/cta_stock/template.py +++ b/vnpy/app/cta_stock/template.py @@ -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,