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[增强] order_type => 移至CtaPro模板,

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msincenselee 2020-02-29 21:47:15 +08:00
parent 3bdb880e4f
commit ea764f6e2a
1 changed files with 18 additions and 5 deletions
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23
vnpy/app/cta_strategy_pro/template.py
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@ -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) 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 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) cancel_seconds = 120 # 撤单时间(秒)
# 资金相关 # 资金相关
@ -893,7 +894,10 @@ class CtaProTemplate(CtaTemplate):
grid = copy(none_mi_grid) grid = copy(none_mi_grid)
# 委托卖出非主力合约 # 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) grid=none_mi_grid)
if len(vt_orderids) > 0: 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}') 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) self.gt.dn_grids.append(grid)
vt_orderids = self.buy(price=self.cur_mi_price + 5 * self.price_tick, 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: 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:{}' 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)) .format(self.vt_symbol, self.cur_mi_price, grid.volume))
@ -955,7 +962,10 @@ class CtaProTemplate(CtaTemplate):
grid = copy(none_mi_grid) grid = copy(none_mi_grid)
# 委托平空非主力合约 # 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) grid=none_mi_grid)
if len(vt_orderids) > 0: 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}') 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.id = str(uuid.uuid1())
grid.snapshot.update({'mi_symbol': self.vt_symbol, 'open_price': self.cur_mi_price}) grid.snapshot.update({'mi_symbol': self.vt_symbol, 'open_price': self.cur_mi_price})
self.gt.up_grids.append(grid) 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: 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.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() self.gt.save()
@ -1048,7 +1062,6 @@ class CtaProTemplate(CtaTemplate):
class CtaProFutureTemplate(CtaProTemplate): class CtaProFutureTemplate(CtaProTemplate):
"""期货交易增强版模板""" """期货交易增强版模板"""
order_type = OrderType.LIMIT
activate_fak = False activate_fak = False
activate_today_lock = False activate_today_lock = False