From e7c7c209c175dac0814bcb92c23346541bf61e90 Mon Sep 17 00:00:00 2001 From: msincenselee Date: Sat, 12 Sep 2020 21:06:28 +0800 Subject: [PATCH] [bug fix] --- vnpy/app/cta_stock/back_testing.py | 4 +- vnpy/app/cta_stock/template.py | 4 +- vnpy/app/cta_strategy_pro/back_testing.py | 4 +- vnpy/app/cta_strategy_pro/engine.py | 2 +- vnpy/data/tdx/future_contracts.json | 1452 ++++++++++++++++----- 5 files changed, 1148 insertions(+), 318 deletions(-) diff --git a/vnpy/app/cta_stock/back_testing.py b/vnpy/app/cta_stock/back_testing.py index 7e10069a..ff8a2489 100644 --- a/vnpy/app/cta_stock/back_testing.py +++ b/vnpy/app/cta_stock/back_testing.py @@ -1001,8 +1001,8 @@ class BackTestingEngine(object): order.status = Status.CANCELLED order.cancel_time = str(self.last_dt) del self.active_limit_orders[vt_orderid] - if strategy: - strategy.on_order(order) + if order_strategy: + order_strategy.on_order(order) # 撤销本地停止单 for stop_orderid in list(self.active_stop_orders.keys()): diff --git a/vnpy/app/cta_stock/template.py b/vnpy/app/cta_stock/template.py index d1dc8df6..c8339197 100644 --- a/vnpy/app/cta_stock/template.py +++ b/vnpy/app/cta_stock/template.py @@ -873,8 +873,8 @@ class CtaStockTemplate(CtaTemplate): 网格逐一止损/止盈检查 (根据指数价格进行止损止盈） :return: """ - if self.entrust != 0: - return + #if self.entrust != 0: + # return if not self.trading and not self.inited: self.write_error(u'当前不允许交易') diff --git a/vnpy/app/cta_strategy_pro/back_testing.py b/vnpy/app/cta_strategy_pro/back_testing.py index f1bd3c6e..6139e8fe 100644 --- a/vnpy/app/cta_strategy_pro/back_testing.py +++ b/vnpy/app/cta_strategy_pro/back_testing.py @@ -983,8 +983,8 @@ class BackTestingEngine(object): order.status = Status.CANCELLED order.cancel_time = str(self.last_dt) del self.active_limit_orders[vt_orderid] - if strategy: - strategy.on_order(order) + if order_strategy: + order_strategy.on_order(order) # 撤销本地停止单 for stop_orderid in list(self.active_stop_orders.keys()): diff --git a/vnpy/app/cta_strategy_pro/engine.py b/vnpy/app/cta_strategy_pro/engine.py index 5e4c1122..efa2a473 100644 --- a/vnpy/app/cta_strategy_pro/engine.py +++ b/vnpy/app/cta_strategy_pro/engine.py @@ -1076,7 +1076,7 @@ class CtaEngine(BaseEngine): if strategy.trading: msg = f"{strategy_name}已经启动，请勿重复操作" - self.write_error(msg) + self.write_log(msg) return False, msg self.call_strategy_func(strategy, strategy.on_start) diff --git a/vnpy/data/tdx/future_contracts.json b/vnpy/data/tdx/future_contracts.json index c659519e..4e501455 100644 --- a/vnpy/data/tdx/future_contracts.json +++ b/vnpy/data/tdx/future_contracts.json @@ -1,605 +1,1435 @@ { "A": { "underlying_symbol": "A", - "mi_symbol": "a2009", - "full_symbol": "A2009", + "mi_symbol": "a2101", + "full_symbol": "A2101", "exchange": "DCE", - "margin_rate": 0.08, + "margin_rate": 0.1, "symbol_size": 10, - "price_tick": 1.0 + "price_tick": 1.0, + "open_interesting": 123, + "symbols": [ + "A2009", + "A2011", + "A2101", + "A2103", + "A2105", + "A2107" + ] }, "AG": { "underlying_symbol": "AG", - "mi_symbol": "ag2007", - "full_symbol": "AG2007", + "mi_symbol": "ag2012", + "full_symbol": "AG2012", "exchange": "SHFE", "margin_rate": 0.1, "symbol_size": 15, - "price_tick": 1.0 + "price_tick": 1.0, + "open_interesting": 652, + "symbols": [ + "AG2009", + "AG2010", + "AG2011", + "AG2012", + "AG2101", + "AG2102", + "AG2103", + "AG2104", + "AG2105", + "AG2106", + "AG2107", + "AG2108" + ] }, "AL": { "underlying_symbol": "AL", - "mi_symbol": "al2006", - "full_symbol": "AL2006", + "mi_symbol": "al2010", + "full_symbol": "AL2010", "exchange": "SHFE", "margin_rate": 0.1, "symbol_size": 5, - "price_tick": 5.0 + "price_tick": 5.0, + "open_interesting": 134, + "symbols": [ + "AL2009", + "AL2010", + "AL2011", + "AL2012", + "AL2101", + "AL2102", + "AL2103", + "AL2104", + "AL2105", + "AL2106", + "AL2107", + "AL2108" + ] }, "AP": { "underlying_symbol": "AP", "mi_symbol": "AP010", "full_symbol": "AP2010", "exchange": "CZCE", - "margin_rate": 0.08, + "margin_rate": 0.1, "symbol_size": 10, - "price_tick": 1.0 + "price_tick": 1.0, + "open_interesting": 188275, + "symbols": [ + "AP2010", + "AP2011", + "AP2012", + "AP2101", + "AP2103", + "AP2105" + ] }, "AU": { "underlying_symbol": "AU", - "mi_symbol": "au2006", - "full_symbol": "AU2006", + "mi_symbol": "au2012", + "full_symbol": "AU2012", "exchange": "SHFE", - "margin_rate": 0.08, + "margin_rate": 0.1, "symbol_size": 1000, - "price_tick": 0.02 + "price_tick": 0.02, + "open_interesting": 35, + "symbols": [ + "AU2009", + "AU2010", + "AU2011", + "AU2012", + "AU2102", + "AU2104", + "AU2106", + "AU2108" + ] }, "B": { "underlying_symbol": "B", - "mi_symbol": "b2006", - "full_symbol": "B2006", + "mi_symbol": "b2010", + "full_symbol": "B2010", "exchange": "DCE", - "margin_rate": 0.08, + "margin_rate": 0.1, "symbol_size": 10, - "price_tick": 1.0 + "price_tick": 1.0, + "open_interesting": 111, + "symbols": [ + "B2009", + "B2010", + "B2011", + "B2012", + "B2101", + "B2102", + "B2103", + "B2104", + "B2105", + "B2106", + "B2107", + "B2108" + ] }, "BB": { "underlying_symbol": "BB", - "mi_symbol": "bb2101", - "full_symbol": "BB2101", + "mi_symbol": "bb2105", + "full_symbol": "BB2105", "exchange": "DCE", - "margin_rate": 0.2, + "margin_rate": 0.1, "symbol_size": 500, - "price_tick": 0.05 + "price_tick": 0.05, + "open_interesting": 2, + "symbols": [ + "BB2009", + "BB2010", + "BB2011", + "BB2012", + "BB2101", + "BB2102", + "BB2103", + "BB2104", + "BB2105", + "BB2106", + "BB2107", + "BB2108" + ] }, "BU": { "underlying_symbol": "BU", - "mi_symbol": "bu2006", - "full_symbol": "BU2006", + "mi_symbol": "bu2012", + "full_symbol": "BU2012", "exchange": "SHFE", - "margin_rate": 0.11, + "margin_rate": 0.1, "symbol_size": 10, - "price_tick": 2.0 + "price_tick": 2.0, + "open_interesting": 1025, + "symbols": [ + "BU2009", + "BU2010", + "BU2011", + "BU2012", + "BU2101", + "BU2102", + "BU2103", + "BU2106", + "BU2109", + "BU2112", + "BU2203", + "BU2206" + ] }, "C": { "underlying_symbol": "C", - "mi_symbol": "c2009", - "full_symbol": "C2009", + "mi_symbol": "c2101", + "full_symbol": "C2101", "exchange": "DCE", - "margin_rate": 0.06, + "margin_rate": 0.1, "symbol_size": 10, - "price_tick": 1.0 + "price_tick": 1.0, + "open_interesting": 1337, + "symbols": [ + "C2009", + "C2011", + "C2101", + "C2103", + "C2105", + "C2107" + ] }, "CF": { "underlying_symbol": "CF", - "mi_symbol": "CF009", - "full_symbol": "CF2009", + "mi_symbol": "CF101", + "full_symbol": "CF2101", "exchange": "CZCE", - "margin_rate": 0.07, + "margin_rate": 0.1, "symbol_size": 5, - "price_tick": 5.0 + "price_tick": 5.0, + "open_interesting": 1431, + "symbols": [ + "CF2009", + "CF2011", + "CF2101", + "CF2103", + "CF2105", + "CF2107" + ] }, "CJ": { "underlying_symbol": "CJ", - "mi_symbol": "CJ009", - "full_symbol": "CJ2009", + "mi_symbol": "CJ101", + "full_symbol": "CJ2101", "exchange": "CZCE", - "margin_rate": 0.07, + "margin_rate": 0.1, "symbol_size": 5, - "price_tick": 5.0 + "price_tick": 5.0, + "open_interesting": 34982, + "symbols": [ + "CJ2009", + "CJ2012", + "CJ2101", + "CJ2103", + "CJ2105", + "CJ2107" + ] }, "CS": { "underlying_symbol": "CS", - "mi_symbol": "cs2009", - "full_symbol": "CS2009", + "mi_symbol": "cs2101", + "full_symbol": "CS2101", "exchange": "DCE", - "margin_rate": 0.06, + "margin_rate": 0.1, "symbol_size": 10, - "price_tick": 1.0 + "price_tick": 1.0, + "open_interesting": 252, + "symbols": [ + "CS2009", + "CS2011", + "CS2101", + "CS2103", + "CS2105", + "CS2107" + ] }, "CU": { "underlying_symbol": "CU", - "mi_symbol": "cu2006", - "full_symbol": "CU2006", + "mi_symbol": "cu2010", + "full_symbol": "CU2010", "exchange": "SHFE", "margin_rate": 0.1, "symbol_size": 5, - "price_tick": 10.0 + "price_tick": 10.0, + "open_interesting": 180, + "symbols": [ + "CU2009", + "CU2010", + "CU2011", + "CU2012", + "CU2101", + "CU2102", + "CU2103", + "CU2104", + "CU2105", + "CU2106", + "CU2107", + "CU2108" + ] }, "CY": { "underlying_symbol": "CY", - "mi_symbol": "CY009", - "full_symbol": "CY2009", + "mi_symbol": "CY101", + "full_symbol": "CY2101", "exchange": "CZCE", - "margin_rate": 0.07, + "margin_rate": 0.1, "symbol_size": 5, - "price_tick": 5.0 + "price_tick": 5.0, + "open_interesting": 1, + "symbols": [ + "CY2009", + "CY2010", + "CY2011", + "CY2012", + "CY2101", + "CY2102", + "CY2103", + "CY2104", + "CY2105", + "CY2106", + "CY2107", + "CY2108" + ] }, "EB": { "underlying_symbol": "EB", - "mi_symbol": "eb2009", - "full_symbol": "EB2009", + "mi_symbol": "eb2101", + "full_symbol": "EB2101", "exchange": "DCE", - "margin_rate": 0.11, + "margin_rate": 0.1, "symbol_size": 5, - "price_tick": 1.0 + "price_tick": 1.0, + "open_interesting": 115, + "symbols": [ + "EB2009", + "EB2010", + "EB2011", + "EB2012", + "EB2101", + "EB2102", + "EB2103", + "EB2104", + "EB2105", + "EB2106", + "EB2107", + "EB2108" + ] }, "EG": { "underlying_symbol": "EG", - "mi_symbol": "eg2009", - "full_symbol": "EG2009", + "mi_symbol": "eg2101", + "full_symbol": "EG2101", "exchange": "DCE", - "margin_rate": 0.11, + "margin_rate": 0.1, "symbol_size": 10, - "price_tick": 1.0 + "price_tick": 1.0, + "open_interesting": 722, + "symbols": [ + "EG2009", + "EG2010", + "EG2011", + "EG2012", + "EG2101", + "EG2102", + "EG2103", + "EG2104", + "EG2105", + "EG2106", + "EG2107", + "EG2108" + ] }, "FB": { "underlying_symbol": "FB", - "mi_symbol": "fb2005", - "full_symbol": "FB2005", + "mi_symbol": "fb2010", + "full_symbol": "FB2010", "exchange": "DCE", "margin_rate": 0.1, "symbol_size": 10, - "price_tick": 0.5 + "price_tick": 0.5, + "open_interesting": 691, + "symbols": [ + "FB2009", + "FB2010", + "FB2011", + "FB2012", + "FB2101", + "FB2102", + "FB2103", + "FB2104", + "FB2105", + "FB2106", + "FB2107", + "FB2108" + ] }, "FG": { "underlying_symbol": "FG", - "mi_symbol": "FG009", - "full_symbol": "FG2009", + "mi_symbol": "FG104", + "full_symbol": "FG2104", "exchange": "CZCE", - "margin_rate": 0.05, + "margin_rate": 0.1, "symbol_size": 20, - "price_tick": 1.0 + "price_tick": 1.0, + "open_interesting": 999, + "symbols": [ + "FG2009", + "FG2010", + "FG2011", + "FG2012", + "FG2101", + "FG2102", + "FG2103", + "FG2104", + "FG2105", + "FG2106", + "FG2107", + "FG2108" + ] }, "FU": { "underlying_symbol": "FU", - "mi_symbol": "fu2009", - "full_symbol": "FU2009", + "mi_symbol": "fu2101", + "full_symbol": "FU2101", "exchange": "SHFE", - "margin_rate": 0.11, + "margin_rate": 0.1, "symbol_size": 10, - "price_tick": 1.0 + "price_tick": 1.0, + "open_interesting": 1669, + "symbols": [ + "FU2010", + "FU2011", + "FU2012", + "FU2101", + "FU2102", + "FU2103", + "FU2104", + "FU2105", + "FU2106", + "FU2107", + "FU2108", + "FU2109" + ] }, "HC": { "underlying_symbol": "HC", - "mi_symbol": "hc2010", - "full_symbol": "HC2010", + "mi_symbol": "hc2101", + "full_symbol": "HC2101", "exchange": "SHFE", - "margin_rate": 0.09, + "margin_rate": 0.1, "symbol_size": 10, - "price_tick": 1.0 + "price_tick": 1.0, + "open_interesting": 586, + "symbols": [ + "HC2009", + "HC2010", + "HC2011", + "HC2012", + "HC2101", + "HC2102", + "HC2103", + "HC2104", + "HC2105", + "HC2106", + "HC2107", + "HC2108" + ] }, "I": { "underlying_symbol": "I", - "mi_symbol": "i2009", - "full_symbol": "I2009", + "mi_symbol": "i2101", + "full_symbol": "I2101", "exchange": "DCE", - "margin_rate": 0.08, + "margin_rate": 0.1, "symbol_size": 100, - "price_tick": 0.5 + "price_tick": 0.5, + "open_interesting": 1361, + "symbols": [ + "I2009", + "I2010", + "I2011", + "I2012", + "I2101", + "I2102", + "I2103", + "I2104", + "I2105", + "I2106", + "I2107", + "I2108" + ] }, "IC": { "underlying_symbol": "IC", - "mi_symbol": "IC2005", - "full_symbol": "IC2005", + "mi_symbol": "IC2009", + "full_symbol": "IC2009", "exchange": "CFFEX", - "margin_rate": 0.12, + "margin_rate": 0.1, "symbol_size": 200, - "price_tick": 0.2 + "price_tick": 0.2, + "open_interesting": 113728, + "symbols": [ + "IC2009", + "IC2010", + "IC2012", + "IC2103" + ] }, "IF": { "underlying_symbol": "IF", - "mi_symbol": "IF2006", - "full_symbol": "IF2006", + "mi_symbol": "IF2009", + "full_symbol": "IF2009", "exchange": "CFFEX", "margin_rate": 0.1, "symbol_size": 300, - "price_tick": 0.2 + "price_tick": 0.2, + "open_interesting": 123468, + "symbols": [ + "IF2009", + "IF2010", + "IF2012", + "IF2103" + ] }, "IH": { "underlying_symbol": "IH", - "mi_symbol": "IH2006", - "full_symbol": "IH2006", + "mi_symbol": "IH2009", + "full_symbol": "IH2009", "exchange": "CFFEX", "margin_rate": 0.1, "symbol_size": 300, - "price_tick": 0.2 + "price_tick": 0.2, + "open_interesting": 42735, + "symbols": [ + "IH2009", + "IH2010", + "IH2012", + "IH2103" + ] }, "J": { "underlying_symbol": "J", - "mi_symbol": "j2009", - "full_symbol": "J2009", + "mi_symbol": "j2101", + "full_symbol": "J2101", "exchange": "DCE", - "margin_rate": 0.08, + "margin_rate": 0.1, "symbol_size": 100, - "price_tick": 0.5 + "price_tick": 0.5, + "open_interesting": 171367, + "symbols": [ + "J2009", + "J2010", + "J2011", + "J2012", + "J2101", + "J2102", + "J2103", + "J2104", + "J2105", + "J2106", + "J2107", + "J2108" + ] }, "JD": { "underlying_symbol": "JD", - "mi_symbol": "jd2006", - "full_symbol": "JD2006", + "mi_symbol": "jd2010", + "full_symbol": "JD2010", "exchange": "DCE", - "margin_rate": 0.07, + "margin_rate": 0.1, "symbol_size": 10, - "price_tick": 1.0 + "price_tick": 1.0, + "open_interesting": 368055, + "symbols": [ + "JD2009", + "JD2010", + "JD2011", + "JD2012", + "JD2101", + "JD2102", + "JD2103", + "JD2104", + "JD2105", + "JD2106", + "JD2107", + "JD2108" + ] }, "JM": { "underlying_symbol": "JM", - "mi_symbol": "jm2009", - "full_symbol": "JM2009", + "mi_symbol": "jm2101", + "full_symbol": "JM2101", "exchange": "DCE", - "margin_rate": 0.08, + "margin_rate": 0.1, "symbol_size": 60, - "price_tick": 0.5 + "price_tick": 0.5, + "open_interesting": 203, + "symbols": [ + "JM2009", + "JM2010", + "JM2011", + "JM2012", + "JM2101", + "JM2102", + "JM2103", + "JM2104", + "JM2105", + "JM2106", + "JM2107", + "JM2108" + ] }, "JR": { "underlying_symbol": "JR", "mi_symbol": "JR101", "full_symbol": "JR2101", "exchange": "CZCE", - "margin_rate": 0.05, + "margin_rate": 0.1, "symbol_size": 20, - "price_tick": 1.0 + "price_tick": 1.0, + "open_interesting": 2, + "symbols": [ + "JR2009", + "JR2011", + "JR2101", + "JR2103", + "JR2105", + "JR2107" + ] }, "L": { "underlying_symbol": "L", - "mi_symbol": "l2009", - "full_symbol": "L2009", + "mi_symbol": "l2101", + "full_symbol": "L2101", "exchange": "DCE", - "margin_rate": 0.08, + "margin_rate": 0.1, "symbol_size": 5, - "price_tick": 5.0 + "price_tick": 5.0, + "open_interesting": 383, + "symbols": [ + "L2009", + "L2010", + "L2011", + "L2012", + "L2101", + "L2102", + "L2103", + "L2104", + "L2105", + "L2106", + "L2107", + "L2108" + ] }, "LR": { "underlying_symbol": "LR", - "mi_symbol": "LR007", - "full_symbol": "LR2007", + "mi_symbol": "LR011", + "full_symbol": "LR2011", "exchange": "CZCE", - "margin_rate": 0.05, + "margin_rate": 0.1, "symbol_size": 20, - "price_tick": 1.0 + "price_tick": 1.0, + "open_interesting": 45, + "symbols": [ + "LR2011", + "LR2101", + "LR2103", + "LR2105", + "LR2107" + ] }, "M": { "underlying_symbol": "M", - "mi_symbol": "m2009", - "full_symbol": "M2009", + "mi_symbol": "m2101", + "full_symbol": "M2101", "exchange": "DCE", - "margin_rate": 0.08, + "margin_rate": 0.1, "symbol_size": 10, - "price_tick": 1.0 + "price_tick": 1.0, + "open_interesting": 1145871, + "symbols": [ + "M2009", + "M2011", + "M2012", + "M2101", + "M2103", + "M2105", + "M2107", + "M2108" + ] }, "MA": { "underlying_symbol": "MA", - "mi_symbol": "MA009", - "full_symbol": "MA2009", + "mi_symbol": "MA105", + "full_symbol": "MA2105", "exchange": "CZCE", - "margin_rate": 0.07, + "margin_rate": 0.1, "symbol_size": 10, - "price_tick": 1.0 + "price_tick": 1.0, + "open_interesting": 4000, + "symbols": [ + "MA2009", + "MA2010", + "MA2011", + "MA2012", + "MA2101", + "MA2102", + "MA2103", + "MA2104", + "MA2105", + "MA2106", + "MA2107", + "MA2108" + ] }, "NI": { "underlying_symbol": "NI", - "mi_symbol": "ni2007", - "full_symbol": "NI2007", + "mi_symbol": "ni2011", + "full_symbol": "NI2011", "exchange": "SHFE", "margin_rate": 0.1, "symbol_size": 1, - "price_tick": 10.0 + "price_tick": 10.0, + "open_interesting": 240, + "symbols": [ + "NI2009", + "NI2010", + "NI2011", + "NI2012", + "NI2101", + "NI2102", + "NI2103", + "NI2104", + "NI2105", + "NI2106", + "NI2107", + "NI2108" + ] }, "NR": { "underlying_symbol": "NR", - "mi_symbol": "nr2006", - "full_symbol": "NR2006", + "mi_symbol": "nr2011", + "full_symbol": "NR2011", "exchange": "INE", - "margin_rate": 0.11, + "margin_rate": 0.1, "symbol_size": 10, - "price_tick": 5.0 + "price_tick": 5.0, + "open_interesting": 4, + "symbols": [ + "NR2009", + "NR2010", + "NR2011", + "NR2012", + "NR2101", + "NR2102", + "NR2103", + "NR2104", + "NR2105", + "NR2106", + "NR2107", + "NR2108" + ] }, "OI": { "underlying_symbol": "OI", - "mi_symbol": "OI007", - "full_symbol": "OI2007", + "mi_symbol": "OI101", + "full_symbol": "OI2101", "exchange": "CZCE", - 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