diff --git a/vnpy/app/cta_strategy_pro/template.py b/vnpy/app/cta_strategy_pro/template.py index e461d178..41609904 100644 --- a/vnpy/app/cta_strategy_pro/template.py +++ b/vnpy/app/cta_strategy_pro/template.py @@ -574,6 +574,7 @@ class CtaProTemplate(CtaTemplate): cur_99_price = None # 当前价(tick时,根据tick更新,onBar回测时,根据bar.close更新) last_minute = None # 最后的分钟,用于on_tick内每分钟处理的逻辑 + order_type = OrderType.LIMIT cancel_seconds = 120 # 撤单时间(秒) # 资金相关 @@ -893,7 +894,10 @@ class CtaProTemplate(CtaTemplate): grid = copy(none_mi_grid) # 委托卖出非主力合约 - vt_orderids = self.sell(price=none_mi_price, volume=none_mi_grid.volume, vt_symbol=none_mi_symbol, + vt_orderids = self.sell(price=none_mi_price, + volume=none_mi_grid.volume, + vt_symbol=none_mi_symbol, + order_type=self.order_type, grid=none_mi_grid) if len(vt_orderids) > 0: self.write_log(f'切换合约,委托卖出非主力合约{none_mi_symbol}持仓:{none_mi_grid.volume}') @@ -904,7 +908,10 @@ class CtaProTemplate(CtaTemplate): self.gt.dn_grids.append(grid) vt_orderids = self.buy(price=self.cur_mi_price + 5 * self.price_tick, - volume=grid.volume, vt_symbol=self.vt_symbol, grid=grid) + volume=grid.volume, + vt_symbol=self.vt_symbol, + order_type=self.order_type, + grid=grid) if len(vt_orderids) > 0: self.write_log(u'切换合约,委托买入主力合约:{},价格:{},数量:{}' .format(self.vt_symbol, self.cur_mi_price, grid.volume)) @@ -955,7 +962,10 @@ class CtaProTemplate(CtaTemplate): grid = copy(none_mi_grid) # 委托平空非主力合约 - vt_orderids = self.cover(price=none_mi_price, volume=none_mi_grid.volume, vt_symbol=self.vt_symbol, + vt_orderids = self.cover(price=none_mi_price, + volume=none_mi_grid.volume, + vt_symbol=self.vt_symbol, + order_type=self.order_type, grid=none_mi_grid) if len(vt_orderids) > 0: self.write_log(f'委托平空非主力合约{none_mi_symbol}持仓:{none_mi_grid.volume}') @@ -964,7 +974,11 @@ class CtaProTemplate(CtaTemplate): grid.id = str(uuid.uuid1()) grid.snapshot.update({'mi_symbol': self.vt_symbol, 'open_price': self.cur_mi_price}) self.gt.up_grids.append(grid) - vt_orderids = self.short(price=self.cur_mi_price, volume=grid.volume, vt_symbol=self.vt_symbol, grid=grid) + vt_orderids = self.short(price=self.cur_mi_price, + volume=grid.volume, + vt_symbol=self.vt_symbol, + order_type=self.order_type, + grid=grid) if len(vt_orderids) > 0: self.write_log(f'委托做空主力合约:{self.vt_symbol},价格:{self.cur_mi_price},数量:{grid.volume}') self.gt.save() @@ -1048,7 +1062,6 @@ class CtaProTemplate(CtaTemplate): class CtaProFutureTemplate(CtaProTemplate): """期货交易增强版模板""" - order_type = OrderType.LIMIT activate_fak = False activate_today_lock = False