更新

README.md

@@ -74,6 +74,7 @@ QQ/Wechat：28888502
     wget -c https://mirrors.tuna.tsinghua.edu.cn/anaconda/archive/Anaconda3-4.3.1-Linux-x86_64.sh
     chmod a+x Anaconda3-4.3.1-Linux-x86_64.sh
     ./Anaconda3-4.3.1-Linux-x86_64.sh
+    .
 
     # 配置为国内的镜像
     conda config --add channels https://mirrors.tuna.tsinghua.edu.cn/anaconda/pkgs/free/

vnpy/trader/app/ctaStrategy/ctaBacktesting.py

@@ -1920,7 +1920,7 @@ class BacktestingEngine(object):
             self.writeCtaLog(u'请指定回测数据文件')
             return
 
-        if not self.dataStartDate:
+        if not self.strategyStartDate:
             self.writeCtaLog(u'回测开始日期未设置。')
             return
 
@@ -1942,8 +1942,8 @@ class BacktestingEngine(object):
 
         #self.output(u'开始回测')
 
-        #self.strategy.inited = True
         self.strategy.onInit()
+        self.strategy.trading = False
         self.output(u'策略初始化完成')
 
         self.output(u'开始回放数据')
@@ -2013,18 +2013,24 @@ class BacktestingEngine(object):
                     else:
                         bar.tradingDay = bar.date
 
-                if self.dataStartDate <= bar.datetime <= self.dataEndDate:
+                if self.strategyStartDate <= bar.datetime <= self.dataEndDate:
                     if last_tradingDay != bar.tradingDay:
                         if last_tradingDay is not None:
                             self.savingDailyData(datetime.strptime(last_tradingDay, '%Y-%m-%d'), self.capital,
                                                  self.maxCapital,self.totalCommission,benchmark=bar.close)
                         last_tradingDay = bar.tradingDay
 
-                    # Check the order triggers and deliver the bar to the Strategy
-                    if self.useBreakoutMode is False:
-                        self.newBar(bar)
-                    else:
-                        self.newBarForBreakout(bar)
+                if self.dataStartDate >= bar.datetime:
+                    continue
+
+                if bar.datetime > self.dataEndDate:
+                    continue
+
+                # Check the order triggers and deliver the bar to the Strategy
+                if self.useBreakoutMode is False:
+                    self.newBar(bar)
+                else:
+                    self.newBarForBreakout(bar)
 
                 if not self.strategy.trading and self.strategyStartDate < bar.datetime:
                     self.strategy.trading = True
@@ -2046,7 +2052,7 @@ class BacktestingEngine(object):
         added by IncenseLee
         """
         self.capital = self.initCapital  # 更新设置期初资金
-        if not self.dataStartDate:
+        if not self.strategyStartDate:
             self.writeCtaLog(u'回测开始日期未设置。')
             return
 
@@ -2068,9 +2074,9 @@ class BacktestingEngine(object):
         self.strategy.onInit()
         self.output(u'策略初始化完成')
 
-        self.strategy.trading = True
-        self.strategy.onStart()
-        self.output(u'策略启动完成')
+        #self.strategy.trading = True
+        #self.strategy.onStart()
+        #self.output(u'策略启动完成')
 
         self.output(u'开始载入数据')
 
@@ -2140,8 +2146,7 @@ class BacktestingEngine(object):
             #                 .format(bar.date+' '+bar.time, bar.open, bar.high,
             #                         bar.low, bar.close, bar.volume, bar.tradingDay, self.lineH2.m1_bars_count))
 
-            # if not (bar.datetime < self.dataStartDate or bar.datetime >= self.dataEndDate):
-            if True:
+            if self.strategyStartDate <= bar.datetime <= self.dataEndDate:
                 if last_tradingDay == 0:
                     last_tradingDay = bar.tradingDay
                 elif last_tradingDay != bar.tradingDay:
@@ -2149,16 +2154,21 @@ class BacktestingEngine(object):
                         self.savingDailyData(last_tradingDay, self.capital, self.maxCapital, self.totalCommission)
                     last_tradingDay = bar.tradingDay
 
-                # Simulate latest tick and send it to Strategy
-                simTick = self.__barToTick(bar)
-                # self.tick = simTick
-                self.strategy.curTick = simTick
+            # Simulate latest tick and send it to Strategy
+            #simTick = self.__barToTick(bar)
+            # self.tick = simTick
+            #self.strategy.curTick = simTick
 
-                # Check the order triggers and deliver the bar to the Strategy
-                if self.useBreakoutMode is False:
-                    self.newBar(bar)
-                else:
-                    self.newBarForBreakout(bar)
+            # Check the order triggers and deliver the bar to the Strategy
+            if self.useBreakoutMode is False:
+                self.newBar(bar)
+            else:
+                self.newBarForBreakout(bar)
+
+            if not self.strategy.trading and self.strategyStartDate < bar.datetime:
+                self.strategy.trading = True
+                self.strategy.onStart()
+                self.output(u'策略启动完成')
 
             if self.netCapital < 0:
                 self.writeCtaError(u'净值低于0，回测停止')
@@ -2378,8 +2388,10 @@ class BacktestingEngine(object):
         if not self.strategy.name:
             self.strategy.name = self.strategy.className
 
-        self.strategy.onInit()
-        self.strategy.onStart()
+        if setting.get('auto_init',False):
+            self.strategy.onInit()
+        if setting.get('auto_start',False):
+            self.strategy.onStart()
 
     # ---------------------------------------------------------------------
     def saveStrategyData(self):
@@ -3851,7 +3863,7 @@ class BacktestingEngine(object):
 
         return d, capitalNetList, capitalList
 
-    #----------------------------------------------------------------------
+    # ----------------------------------------------------------------------
     def showBacktestingResult(self):
         """显示回测结果"""
         if self.calculateMode != self.REALTIME_MODE:

vnpy/trader/app/ctaStrategy/ctaBase.py

@@ -33,15 +33,25 @@ ATRRATE_JUMP = 1
 STOPORDERPREFIX = 'CtaStopOrder.'
 
 # 各类商品所在市场
-NIGHT_MARKET_SQ1 = {'AU': 0, 'AG': 0}
-NIGHT_MARKET_SQ2 = {'CU': 0, 'PB': 0, 'AL': 0, 'ZN': 0, 'FU': 0, 'BU': 0, 'WR': 0}
-NIGHT_MARKET_SQ3 = {'RU': 0, 'RB': 0, 'HC': 0}
+# 上期所夜盘，9:00~10:15, 10:30~11:30, 13:30~15:00,  21:00 ~2:30
+NIGHT_MARKET_SQ1 = {'AU': 0, 'AG': 0,'SC':0}
+# 上期所夜盘，9:00~10:15, 10:30~11:30, 13:30~15:00,  21:00 ~1:00
+NIGHT_MARKET_SQ2 = {'CU': 0, 'PB': 0, 'AL': 0, 'ZN': 0, 'FU': 0, 'BU': 0, 'WR': 0,'NI':0}
+# 上期所夜盘，9:00~10:15, 10:30~11:30, 13:30~15:00,  21:00 ~23:00
+NIGHT_MARKET_SQ3 = {'RU': 0, 'RB': 0, 'HC': 0,'SP':0}
+# 郑商所夜盘，9:00~10:15, 10:30~11:30, 13:30~15:00, 21:00 ~23:30
 NIGHT_MARKET_ZZ = {'TA': 0, 'JR': 0, 'OI': 0, 'RO': 0, 'PM': 0, 'WT': 0, 'WS': 0, 'WH': 0, 'CF': 0, 'SR': 0, 'FG': 0,
-                   'ME': 0, 'MA': 0, 'RS': 0, 'RM': 0, 'TC': 0, 'RI': 0, 'ER': 0}
+                   'ME': 0, 'MA': 0, 'RS': 0, 'RM': 0, 'TC': 0, 'RI': 0, 'ER': 0,'ZC':0}
+# 郑商所夜盘，9:00~10:15, 10:30~11:30, 13:30~15:00, 21:00 ~23:30
 NIGHT_MARKET_DL = {'V': 0, 'L': 0, 'BB': 0, 'I': 0, 'FB': 0, 'C': 0, 'PP': 0, 'A': 0, 'B': 0, 'M': 0, 'Y': 0, 'P': 0,
                    'JM': 0, 'J': 0}
+# 中金日盘，9:15 ~11:30, 13:00~15:15
 MARKET_ZJ = {'IC': 0, 'IF': 0, 'IH': 0, 'T': 0, 'TF': 0}
 
+
+# 只有日盘得合约
+MARKET_DAY_ONLY = {'IC': 0, 'IF': 0, 'IH': 0, 'T': 0, 'TF': 0,'PP':0,'JD':0,'BB':0,'C':0,'CS':0,'FB':0,'L':0,'V':0,
+                   'JR':0, 'LR':0,'PM':0,'RI':0,'RS':0,'SM':0,'WH':0,'AP':0}
 # 数据库名称
 SETTING_DB_NAME = 'VnTrader_Setting_Db'
 POSITION_DB_NAME = 'VnTrader_Position_Db'
@@ -76,7 +86,6 @@ class StopOrder(object):
         self.stopOrderID = EMPTY_STRING  # 停止单的本地编号 
         self.status = EMPTY_STRING       # 停止单状态
 
-
 ########################################################################
 class CtaBarData(object):
     """K线数据"""
@@ -101,7 +110,7 @@ class CtaBarData(object):
         self.volume = EMPTY_INT             # 成交量
         self.dayVolume = EMPTY_INT          # 当日累计成交量（ctp是提供这个的）
         self.openInterest = EMPTY_INT       # 持仓量
-        self.color = COLOR_EQUAL          # k 线颜色,COLOR_RED，COLOR_BLUE,COLOR_EQUAL
+        self.color = COLOR_EQUAL           # k 线颜色,COLOR_RED，COLOR_BLUE,COLOR_EQUAL
 
         self.traded = False
         self.tradeStatus = EMPTY_STRING     # 当前bar的交易情况: CTAORDER_BUY 、CTAORDER_SELL、

vnpy/trader/app/ctaStrategy/ctaEngine.py

@@ -38,8 +38,9 @@ from vnpy.trader.app.ctaStrategy.ctaBase import *
 from vnpy.trader.setup_logger import setup_logger
 from vnpy.trader.vtFunction import todayDate, getJsonPath
 from vnpy.trader.util_mail import sendmail
+from vnpy.trader.vtGlobal import globalSetting
 # 加载 strategy目录下所有的策略
-from vnpy.trader.app.ctaStrategy.strategy import STRATEGY_CLASS
+from vnpy.trader.app.ctaStrategy.strategy import STRATEGY_CLASS,reloadStrategyModule
 try:
     from vnpy.trader.util_wechat import *
 except:
@@ -463,7 +464,15 @@ class CtaEngine(object):
         tick = event.dict_['data']
         tick = copy.copy(tick)
         # 移除待订阅的合约清单
-        if tick.vtSymbol in self.pendingSubcribeSymbols:
+        if '.' in tick.vtSymbol:
+            symbol = tick.vtSymbol.split('.')[0]
+        else:
+            symbol = tick.vtSymbol
+        if symbol in self.pendingSubcribeSymbols :
+            self.writeCtaLog(u'已成功订阅{0}，从待订阅清单中移除'.format(symbol))
+            del self.pendingSubcribeSymbols[symbol]
+
+        if tick.vtSymbol in self.pendingSubcribeSymbols :
             self.writeCtaLog(u'已成功订阅{0}，从待订阅清单中移除'.format(tick.vtSymbol))
             del self.pendingSubcribeSymbols[tick.vtSymbol]
 
@@ -500,6 +509,10 @@ class CtaEngine(object):
         order = event.dict_['data']
 
         # order.vtOrderID 在gateway中，已经格式化为 gatewayName.vtOrderID
+        self.writeCtaLog(u'{}vt报单,orderID:{}'.format(order.vtOrderID,order.orderID))
+        self.writeCtaLog(u'symbol{},totalVol:{},tradedVol:{},offset:{},price:{},direction:{},status:{}'
+                .format( order.vtSymbol, order.totalVolume, order.tradedVolume,
+                        order.offset, order.price, order.direction, order.status))
 
         # 2.判断order是否在策略的映射字典中
         if order.vtOrderID in self.orderStrategyDict:
@@ -534,6 +547,24 @@ class CtaEngine(object):
             # else:
             #    strategy.pos -= trade.volume
 
+            # 根据策略名称，写入 data\straetgy_name_trade.csv文件
+            strategy_name = getattr(strategy,'name',None)
+            trade_fields = ['symbol','exchange','vtSymbol','tradeID','vtTradeID','orderID','vtOrderID','direction','offset','price','volume','tradeTime']
+            trade_dict = OrderedDict()
+            try:
+                for k in trade_fields:
+                    if k == 'tradeTime':
+                        trade_dict[k] = datetime.now().strftime('%Y-%m-%d')+' '+ getattr(trade, k, EMPTY_STRING)
+                    else:
+                        trade_dict[k] = getattr(trade,k,EMPTY_STRING)
+
+                if strategy_name is not None:
+                    trade_file = os.path.abspath(os.path.join(self.get_data_path(),'{}_trade.csv'.format(strategy_name)))
+                    self.append_data(file_name=trade_file,dict_data=trade_dict)
+            except Exception as ex:
+                self.writeCtaError(u'写入交易记录csv出错：{},{}'.format(str(ex),traceback.format_exc()))
+
+            # 推送到策略onTrade事件
             self.callStrategyFunc(strategy, strategy.onTrade, trade)
 
         # 更新持仓缓存数据
@@ -686,7 +717,38 @@ class CtaEngine(object):
 
         return l
 
-        # ----------------------------------------------------------------------
+    # ----------------------------------------------------------------------
+    #  保存记录相关
+    def append_data(self, file_name, dict_data, field_names=None):
+        """
+        添加数据到csv文件中
+        :param file_name:  csv的文件全路径
+        :param dict_data:  OrderedDict
+        :return:
+        """
+        if not isinstance(dict_data, dict):
+            self.writeCtaError(u'append_data，输入数据不是dict')
+            return
+
+        dict_fieldnames = list(dict_data.keys()) if field_names is None else field_names
+
+        if not isinstance(dict_fieldnames, list):
+            self.writeCtaError(u'append_data，输入字段不是list')
+            return
+        try:
+            if not os.path.exists(file_name):
+                self.writeCtaLog(u'create csv file:{}'.format(file_name))
+                with open(file_name, 'a', encoding='utf8', newline='') as csvWriteFile:
+                    writer = csv.DictWriter(f=csvWriteFile, fieldnames=dict_fieldnames, dialect='excel')
+                    self.writeCtaLog(u'write csv header:{}'.format(dict_fieldnames))
+                    writer.writeheader()
+                    writer.writerow(dict_data)
+            else:
+                with open(file_name, 'a', encoding='utf8', newline='') as csvWriteFile:
+                    writer = csv.DictWriter(f=csvWriteFile, fieldnames=dict_fieldnames, dialect='excel',extrasaction='ignore')
+                    writer.writerow(dict_data)
+        except Exception as ex:
+            self.writeCtaError(u'append_data exception:{}'.format(str(ex)))
 
     # 日志相关
     def writeCtaLog(self, content, strategy_name=None):
@@ -741,8 +803,11 @@ class CtaEngine(object):
                 self.createLogger(strategy_name=strategy_name)
                 try:
                     self.strategy_loggers[strategy_name].error(content)
+
                 except Exception as ex:
-                    pass
+                    print('{}'.format(datetime.now()), file=sys.stderr)
+                    print('could not create cta logger for {},excption:{},trace:{}'.format(strategy_name,str(ex),traceback.format_exc()))
+                    print(content, file=sys.stderr)
 
         self.mainEngine.writeError(content)
 
@@ -832,6 +897,24 @@ class CtaEngine(object):
             print(u'Warning, can not find {0} in contracts'.format(symbol))
             self.writeCtaLog(u'交易合约{}无法找到，添加到待订阅列表'.format(symbol))
             self.pendingSubcribeSymbols[symbol] = strategy
+            try:
+                req = VtSubscribeReq()
+                req.symbol = symbol
+
+                self.mainEngine.subscribe(req,None)
+
+            except Exception as ex:
+                self.writeCtaError(u'重新订阅{}异常:{},{}'.format(symbol, str(ex), traceback.format_exc()))
+                return
+
+        if strategy is not None:
+            if symbol not in self.tickStrategyDict:
+                self.tickStrategyDict.update({symbol:[strategy]})
+            else:
+                strategies = self.tickStrategyDict.get(symbol,[])
+                if strategy not in strategies:
+                    strategies.append(strategy)
+                    self.tickStrategyDict.update({symbol: strategies})
 
     def checkUnsubscribedSymbols(self, event):
         """持仓更新信息时，检查未提交的合约"""
@@ -844,12 +927,21 @@ class CtaEngine(object):
                 #    continue
                 dt = datetime.now()
                 # 若为中金所的合约，白天才提交订阅请求
-                if s in MARKET_ZJ and not (9 < dt.hour < 16):
+                if s in MARKET_DAY_ONLY and not (9 < dt.hour < 16):
                     continue
 
                 self.writeCtaLog(u'重新提交合约{0}订阅请求'.format(symbol))
                 strategy = self.pendingSubcribeSymbols[symbol]
                 self.subscribe(strategy=strategy, symbol=symbol)
+            else:
+                try:
+                    req = VtSubscribeReq()
+                    req.symbol = symbol
+                    self.mainEngine.subscribe(req, None)
+
+                except Exception as ex:
+                    self.writeCtaError(u'重新订阅{}异常:{},{}'.format(symbol, str(ex), traceback.format_exc()))
+                    return
 
     # ----------------------------------------------------------------------
     # 策略相关（加载/初始化/启动/停止)
@@ -874,7 +966,7 @@ class CtaEngine(object):
 
         return RUNING
 
-    def loadStrategy(self, setting, is_dispatch=False):
+    def loadStrategy(self, setting, is_dispatch=False,reload_module_name=EMPTY_STRING):
         """
         载入策略
         :param setting: 策略设置参数
@@ -889,6 +981,11 @@ class CtaEngine(object):
             self.mainEngine.writeCritical(u'载入策略出错：%s' % e)
             return False
 
+        # 运行时，强制重新加载策略class
+        if len(reload_module_name)>0:
+            moduleName = 'vnpy.trader.app.ctaStrategy.strategy.' + reload_module_name
+            reloadStrategyModule(moduleName)
+
         # 获取策略类
         strategyClass = STRATEGY_CLASS.get(className, None)
         if not strategyClass:
@@ -1016,25 +1113,35 @@ class CtaEngine(object):
                 # strategy.inited = True
             else:
                 self.writeCtaLog(u'请勿重复初始化策略实例：%s' % name)
+            return True
+
         else:
             self.writeCtaError(u'策略实例不存在：%s' % name)
+            return False
 
     def startStrategy(self, name):
         """启动策略"""
         # 1.判断策略名称是否存在字典中
         if name in self.strategyDict:
 
-            # 2.提取策略
-            strategy = self.strategyDict[name]
+            try:
+                # 2.提取策略
+                strategy = self.strategyDict[name]
+
+                # 3.判断策略是否运行
+                if strategy.inited and not strategy.trading:
+                    # 4.设置运行状态
+                    strategy.trading = True
+                    # 5.启动策略
+                    self.callStrategyFunc(strategy, strategy.onStart)
+            except Exception as ex:
+                self.writeCtaError(u'start Strategy:{} Exception:{},{}'.format(name,str(ex),traceback.format_exc()))
+                return False
+            return True
 
-            # 3.判断策略是否运行
-            if strategy.inited and not strategy.trading:
-                # 4.设置运行状态
-                strategy.trading = True
-                # 5.启动策略
-                self.callStrategyFunc(strategy, strategy.onStart)
         else:
             self.writeCtaError(u'策略实例不存在：%s' % name)
+            return False
 
     def stopStrategy(self, name):
         """停止策略运行"""
@@ -1059,8 +1166,85 @@ class CtaEngine(object):
                 for stopOrderID, so in self.workingStopOrderDict.items():
                     if so.strategy is strategy:
                         self.cancelStopOrder(stopOrderID)
+
+            return True
         else:
             self.writeCtaError(u'策略实例不存在：%s' % name)
+            return False
+
+    def reloadStrategy(self,strategy_name,strategy_setting=None):
+        """
+        重新加载策略
+        :param strategy_name:策略实例名
+        :param strategy_setting: 新的策略设置
+        :return:
+        """
+        if strategy_setting:
+            if strategy_name != strategy_setting.get('name',None):
+                msg = u'重新加载策略，配置参数name:{}与{}不一致'.format(strategy_setting.get('name',None),strategy_name)
+                self.writeCtaError(msg)
+                return False,msg
+
+            # 更新配置
+            self.writeCtaLog(u'使用新的配置:{}'.format(strategy_setting))
+            self.settingDict.update({strategy_name:strategy_setting})
+            self.saveSetting()
+
+        else:
+            self.writeCtaLog(u'重新加载{}中的{}配置'.format(self.settingfilePath,strategy_name))
+            with open(self.settingfilePath,'r',encoding='UTF-8') as f:
+                settings = json.load(f)
+                for setting in settings:
+                    if strategy_name == setting.get('name', None):
+                        strategy_setting = copy.copy(setting)
+                        self.writeCtaLog(u'配置:{}'.format(strategy_setting))
+                        self.settingDict.update({strategy_name: strategy_setting})
+
+        if strategy_setting is None:
+            msg = u'{}文件没有{}的配置'.format(self.settingfilePath,strategy_name)
+            self.writeCtaError(msg)
+            return False,msg
+
+        self.writeCtaLog(u'开始移除运行中的策略{}'.format(strategy_name))
+        try:
+            strategy = self.strategyDict.get(strategy_name,None)
+            if strategy:
+                # 1、将运行dict的策略移除.
+                self.strategyDict[strategy_name] = None
+                self.writeCtaLog(u'将运行dict的策略{}关联移除'.format(strategy_name))
+                self.strategyDict.pop(strategy_name, None)
+
+                strategy.trading = False
+
+                # 2、撤销所有委托单
+                if hasattr(strategy, 'cancelAllOrders'):
+                    self.writeCtaLog(u'撤销所有委托单')
+                    strategy.cancelAllOrders()
+
+                # 3、移除行情订阅信息
+                self.writeCtaLog(u'将策略{}从合约-策略列表中移除'.format(strategy.name))
+                for vtSymbol in list(self.tickStrategyDict.keys()):
+                    symbol_strategy_list = self.tickStrategyDict.get(vtSymbol,[])
+                    if strategy in symbol_strategy_list:
+                        self.writeCtaLog(u'移除策略{}的{}订阅'.format(strategy_name, vtSymbol))
+                        symbol_strategy_list.remove(strategy)
+
+                strategy = None
+
+        except Exception as ex:
+            errMsg = u'移除策略异常:{},{}'.format(str(ex), traceback.format_exc())
+            self.writeCtaCritical(errMsg)
+            traceback.print_exc()
+            return False, errMsg
+
+        try:
+            self.writeCtaLog(u'重新加载策略:{}'.format(strategy_name))
+            self.loadStrategy(setting=strategy_setting,reload_module_name=strategy_setting.get('strategy_module',EMPTY_STRING))
+            return True,u'重新加载策略:{}成功'.format(strategy_name)
+        except Exception as ex:
+            errMsg = u'加载策略{}异常:{},{}'.format(strategy_name,str(ex), traceback.format_exc())
+            self.writeCtaCritical(errMsg)
+            return False, errMsg
 
     def removeStrategy(self, strategy_name):
         """
@@ -1068,8 +1252,10 @@ class CtaEngine(object):
         :param strategy_name: 策略实例名
         :return: True/False，errMsg
         """
+        self.writeCtaLog(u'开始移除策略{}'.format(strategy_name))
         # 移除策略设置,下次启动不再执行该设置
         if strategy_name in self.settingDict:
+            self.writeCtaLog(u'移除CTA_Setting中策略{}配置'.format(strategy_name))
             self.settingDict.pop(strategy_name, None)
 
         try:
@@ -1089,15 +1275,15 @@ class CtaEngine(object):
             # 3、将策略的持仓，登记在dispatch_long_pos/dispatch_short_pos,移除json文件
             if strategy.inited and strategy.position is not None and (
                     strategy.position.longPos != 0 or strategy.position.shortPos != 0):
+                pos_list = self.getStategyPos(name=strategy.name,strategy=strategy)
                 strategy.inited = False
-                pos_list = strategy.getPositions()
                 self.writeCtaLog(u'被移除策略{}的持仓情况:{}'.format(strategy.name, pos_list))
                 if len(pos_list) > 0:
                     for pos in pos_list:
                         # 添加多头持仓
-                        if pos['direction'] == DIRECTION_LONG and pos['volume'] > 0:
-                            symbol = pos['vtSymbol']
-
+                        if pos['direction'] in [DIRECTION_LONG,'long'] and pos['volume'] > 0:
+                            symbol = pos['symbol']
+                            # 这里有bug，盘前调度，超时时间一定要设置到开盘时间
                             d = {
                                 'strategy_group': self.strategy_group,
                                 'strategy': strategy.name,
@@ -1119,9 +1305,9 @@ class CtaEngine(object):
                             self.mainEngine.dbInsert(MATRIX_DB_NAME, POSITION_DISPATCH_HISTORY_COLL_NAME, h)
 
                         # 添加空头持仓
-                        if pos['direction'] == DIRECTION_SHORT and pos['volume'] > 0:
-                            symbol = pos['vtSymbol']
-
+                        if pos['direction'] in [DIRECTION_SHORT,'short'] and pos['volume'] > 0:
+                            symbol = pos['symbol']
+                            # 这里有bug，盘前调度，超时时间一定要设置到开盘时间
                             d = {
                                 'strategy_group': self.strategy_group,
                                 'strategy': strategy.name,
@@ -1181,6 +1367,10 @@ class CtaEngine(object):
             traceback.print_exc()
             return False, errMsg
 
+    def getStrategyNames(self):
+        """返回策略实例名称"""
+        return list(self.strategyDict.keys())
+
     def get_data_path(self):
         """
         获取CTA策略的对应数据目录
@@ -1502,6 +1692,7 @@ class CtaEngine(object):
                      'result': False, 'datetime': datetime.now()}
                 self.mainEngine.dbInsert(MATRIX_DB_NAME, POSITION_DISPATCH_HISTORY_COLL_NAME, h)
 
+                # 这里有bug，盘前调度，超时时间一定要设置到开盘时间
                 d = {
                     'strategy_group': self.strategy_group,
                     'strategy': 'onOrder_dispatch_close_pos',
@@ -1526,6 +1717,7 @@ class CtaEngine(object):
                                                                      'retry': old_order['retry']+1}
 
             else:
+                # 这里有bug，盘前调度，超时时间一定要设置到开盘时间
                 d = {
                     'strategy_group': self.strategy_group,
                     'strategy': 'onOrder_dispatch_close_pos',
@@ -1655,9 +1847,42 @@ class CtaEngine(object):
         """保存策略配置"""
         try:
             with open(self.settingfilePath, 'w') as f:
-                l = list(self.settingDict.values())
-                jsonL = json.dumps(l, indent=4)
+                # 策略名称，排序
+                keys = list(self.settingDict.keys())
+                sorted_keys = sorted(keys)
+
+                # 保存列表
+                save_list = []
+
+                for strategy_name in sorted_keys:
+                    # 策略配置
+                    setting_dict = self.settingDict.get(strategy_name,None)
+                    if setting_dict is None:
+                        self.writeCtaError(u'保存策略配置时，找不到配置dict中name={}的策略配置'.format(strategy_name))
+                        continue
+                    sorted_setting_dict = OrderedDict()
+
+                    # 配置参数排序
+                    setting_keys = list(setting_dict.keys())
+                    sorted_setting_keys = sorted(setting_keys)
+
+                    # 先保存name,comment
+                    sorted_setting_dict['name'] = strategy_name
+                    if 'comment' in setting_dict:
+                        sorted_setting_dict['comment'] = setting_dict['comment']
+
+                    # 其他参数，逐一
+                    for setting_key in sorted_setting_keys:
+                        if setting_key in ['name','comment']:
+                            continue
+                        sorted_setting_dict[setting_key] = setting_dict[setting_key]
+
+                    save_list.append(sorted_setting_dict)
+
+                # 导出json格式的string，保存文件
+                jsonL = json.dumps(save_list, indent=4,ensure_ascii=False)
                 f.write(jsonL)
+
         except Exception as ex:
             self.writeCtaCritical(u'保存策略配置异常:{},{}'.format(str(ex),traceback.format_exc()))
 
@@ -1715,59 +1940,66 @@ class CtaEngine(object):
             self.writeCtaLog(u'策略实例不存在：' + name)    
             return None
 
-    def getStategyPos(self, name):
+    def getStategyPos(self, name,strategy=None):
         """
         获取策略的持仓字典
         :param name:策略名
         :return:
         """
-        if name in self.strategyDict:
+        # 兼容处理，如果strategy是None，通过name获取
+        if strategy is None:
+            if name not in self.strategyDict:
+                self.writeCtaLog(u'getStategyPos 策略实例不存在：' + name)
+                return []
             # 获取策略实例
             strategy = self.strategyDict[name]
-            pos_list = []
 
-            if strategy.inited:
-                # 有 ctaPosition属性
-                if hasattr(strategy, 'position'):
-                    # 多仓
+        pos_list = []
+
+        if strategy.inited:
+            if hasattr(strategy,'getPositions'):
+                pos_list=strategy.getPositions()
+                for pos in pos_list:
+                    pos.update({'symbol':pos.get('vtSymbol')})
+                return pos_list
+            # 有 ctaPosition属性
+            if hasattr(strategy, 'position'):
+                # 多仓
+                long_pos = {}
+                long_pos['symbol'] = strategy.vtSymbol
+                long_pos['direction'] = 'long'
+                long_pos['volume'] = strategy.position.longPos
+                if long_pos['volume'] > 0:
+                    pos_list.append(long_pos)
+
+                # 空仓
+                short_pos = {}
+                short_pos['symbol'] = strategy.vtSymbol
+                short_pos['direction'] = 'short'
+                short_pos['volume'] = abs(strategy.position.shortPos)
+                if short_pos['volume'] > 0:
+                    pos_list.append(short_pos)
+
+            # 模板缺省pos属性
+            elif hasattr(strategy, 'pos'):
+                if strategy.pos > 0:
                     long_pos = {}
                     long_pos['symbol'] = strategy.vtSymbol
                     long_pos['direction'] = 'long'
-                    long_pos['volume'] = strategy.position.longPos
+                    long_pos['volume'] = strategy.pos
+                    #long_pos['datetime'] = datetime.now()
                     if long_pos['volume'] > 0:
                         pos_list.append(long_pos)
-
-                    # 空仓
+                elif strategy.pos < 0:
                     short_pos = {}
                     short_pos['symbol'] = strategy.vtSymbol
                     short_pos['direction'] = 'short'
-                    short_pos['volume'] = abs(strategy.position.shortPos)
+                    short_pos['volume'] = abs(strategy.pos)
+                    #short_pos['datetime'] = datetime.now()
                     if short_pos['volume'] > 0:
                         pos_list.append(short_pos)
 
-                # 模板缺省pos属性
-                elif hasattr(strategy, 'pos'):
-                    if strategy.pos > 0:
-                        long_pos = {}
-                        long_pos['symbol'] = strategy.vtSymbol
-                        long_pos['direction'] = 'long'
-                        long_pos['volume'] = strategy.pos
-                        #long_pos['datetime'] = datetime.now()
-                        if long_pos['volume'] > 0:
-                            pos_list.append(long_pos)
-                    elif strategy.pos < 0:
-                        short_pos = {}
-                        short_pos['symbol'] = strategy.vtSymbol
-                        short_pos['direction'] = 'short'
-                        short_pos['volume'] = abs(strategy.pos)
-                        #short_pos['datetime'] = datetime.now()
-                        if short_pos['volume'] > 0:
-                            pos_list.append(short_pos)
-
-            return pos_list
-        else:
-            self.writeCtaLog(u'getStategyPos 策略实例不存在：' + name)
-            return []
+        return pos_list
 
     def updateStrategySetting(self,strategy_name,setting_key,setting_value):
         """
@@ -1839,9 +2071,7 @@ class CtaEngine(object):
             self.writeCtaError(content)
             self.mainEngine.writeCritical(content)
 
-            if hasattr(strategy,'backtesting') and hasattr(strategy,'wechat_source'):
-                if not strategy.backtesting and len(strategy.wechat_source)>0:
-                    self.sendAlertToWechat(content=content,target=strategy.wechat_source)
+            self.sendAlertToWechat(content=content,target=globalSetting.get('gateway_name',None))
 
     # ----------------------------------------------------------------------
     # 仓位持久化相关
@@ -1881,20 +2111,32 @@ class CtaEngine(object):
         if not priceTick:
             return price
 
-        newPrice = round(price / priceTick, 0) * priceTick
+        if price > 0:
+            # 根据最小跳动取整
+            newPrice = price - price % priceTick
+        else:
+            # 兼容套利品种的负数价格
+            newPrice = round(price / priceTick, 0) * priceTick
 
+        # 数字货币，对浮点的长度有要求，需要砍除多余
         if isinstance(priceTick,float):
             price_exponent = decimal.Decimal(str(newPrice))
             tick_exponent = decimal.Decimal(str(priceTick))
             if abs(price_exponent.as_tuple().exponent) > abs(tick_exponent.as_tuple().exponent):
                 newPrice = round(newPrice, ndigits=abs(tick_exponent.as_tuple().exponent))
                 newPrice = float(str(newPrice))
+
+        if price!=newPrice:
+            self.writeCtaLog(u'roundToPriceTick:{}=>{} by {}'.format(price,newPrice,priceTick))
+
         return newPrice
 
     def roundToVolumeTick(self,volumeTick,volume):
         if volumeTick == 0:
             return volume
-        newVolume = round(volume / volumeTick, 0) * volumeTick
+        # 取整
+        newVolume = volume - volume % volumeTick
+
         if isinstance(volumeTick,float):
             v_exponent = decimal.Decimal(str(newVolume))
             vt_exponent = decimal.Decimal(str(volumeTick))
@@ -1902,6 +2144,8 @@ class CtaEngine(object):
                 newVolume = round(newVolume, ndigits=abs(vt_exponent.as_tuple().exponent))
                 newVolume = float(str(newVolume))
 
+        if volume !=newVolume:
+            self.writeCtaLog(u'roundToVolumeTick:{}=>{} by {}'.format(volume,newVolume,volumeTick))
         return newVolume
 
     def getShortSymbol(self, symbol):

vnpy/trader/app/ctaStrategy/ctaGridTrade.py

@@ -942,6 +942,9 @@ class CtaGridTrade(object):
         :param direction: 
         :return: 
         """""
+        # 回测模式不保存
+        if self.strategy and getattr(self.strategy,'backtesting',False):
+            return
 
         # 更新开仓均价
         self.recount_avg_open_price()
@@ -2260,6 +2263,9 @@ class CtaLegacyGridTrade(object):
         :param direction: 
         :return: 
         """""
+        # 回测模式不保存
+        if self.strategy and getattr(self.strategy, 'backtesting', False):
+            return
 
         # 更新开仓均价
         self.recount_avg_open_price()
@@ -2758,6 +2764,10 @@ class ArbitrageTrade(object):
             self.writeCtaError(u'策略对象为空，不能保存')
             return
 
+        # 回测模式不保存
+        if self.strategy and getattr(self.strategy, 'backtesting', False):
+            return
+
         json_file = os.path.abspath(
             os.path.join(self.get_data_folder(), u'{}_AGrids.json'.format(self.strategy.name)))
 

vnpy/trader/app/ctaStrategy/ctaPolicy.py

@@ -63,16 +63,21 @@ class CtaPolicy(object):
         """
         self.writeCtaLog(u'将数据从json_data中恢复')
 
-        if 'create_time' in json_data:
+        self.create_time = datetime.now()
+        create_time = json_data.get('create_time',None)
+
+        if len(create_time) > 0:
             try:
-                self.create_time = datetime.strptime(json_data['create_time'], '%Y-%m-%d %H:%M:%S')
+                self.create_time = datetime.strptime(create_time, '%Y-%m-%d %H:%M:%S')
             except Exception as ex:
                 self.writeCtaError(u'解释create_time异常:{}'.format(str(ex)))
                 self.create_time = datetime.now()
 
-        if 'save_time' in json_data:
+        self.create_time = datetime.now()
+        save_time = json_data.get('save_time',None)
+        if len(save_time)> 0:
             try:
-                self.save_time = datetime.strptime(json_data['save_time'], '%Y-%m-%d %H:%M:%S')
+                self.save_time = datetime.strptime(save_time, '%Y-%m-%d %H:%M:%S')
             except Exception as ex:
                 self.writeCtaError(u'解释save_time异常:{}'.format(str(ex)))
                 self.save_time = datetime.now()
@@ -90,12 +95,12 @@ class CtaPolicy(object):
                 with open(json_file, 'r', encoding='utf8') as f:
                     # 解析json文件
                     json_data = json.load(f)
-            except IOError as ex:
+            except Exception as ex:
                 self.writeCtaError(u'读取Policy文件{}出错,ex:{}'.format(json_file,str(ex)))
                 json_data = {}
 
-        # 从持久化文件恢复数据
-        self.fromJson(json_data)
+            # 从持久化文件恢复数据
+            self.fromJson(json_data)
 
     def save(self):
         """
@@ -106,13 +111,22 @@ class CtaPolicy(object):
             os.path.join(self.get_data_folder(), u'{}_Policy.json'.format(self.strategy.name)))
 
         try:
-            json_data = self.toJson()
-
+            # 修改为：回测时不保存
             if self.strategy and self.strategy.backtesting:
-                json_data['save_time'] = self.strategy.curDateTime.strftime('%Y-%m-%d %H:%M:%S')
-            else:
-                json_data['save_time'] = datetime.now().strftime('%Y-%m-%d %H:%M:%S')
+                return
 
+            #json_data = self.toJson()
+            #if self.strategy and self.strategy.backtesting:
+            #    dt = getattr(self.strategy,'curDateTime')
+            #    if dt is not None:
+            #        json_data['save_time'] = self.strategy.curDateTime.strftime('%Y-%m-%d %H:%M:%S')
+            #    else:
+            #        json_data['save_time'] = datetime.now().strftime('%Y-%m-%d %H:%M:%S')
+            #else:
+            #    json_data['save_time'] = datetime.now().strftime('%Y-%m-%d %H:%M:%S')
+
+            json_data = self.toJson()
+            json_data['save_time'] = datetime.now().strftime('%Y-%m-%d %H:%M:%S')
             with open(json_file, 'w') as f:
                 data = json.dumps(json_data, indent=4)
                 f.write(data)
@@ -125,6 +139,9 @@ class CtaPolicy(object):
         导出历史
         :return:
         """
+        if getattr(self.strategy,'curDateTime') is None:
+            return
+
         export_dir =  os.path.abspath(os.path.join(
             self.get_data_folder(),
              'export_csv',
@@ -285,16 +302,21 @@ class TurtlePolicy(CtaPolicy):
         :param json_data:
         :return:
         """
-        if 'create_time' in json_data:
+        self.create_time = datetime.now()
+        create_time = json_data.get('create_time', None)
+
+        if len(create_time) > 0:
             try:
-                self.create_time = datetime.strptime(json_data['create_time'], '%Y-%m-%d %H:%M:%S')
+                self.create_time = datetime.strptime(create_time, '%Y-%m-%d %H:%M:%S')
             except Exception as ex:
                 self.writeCtaError(u'解释create_time异常:{}'.format(str(ex)))
                 self.create_time = datetime.now()
 
-        if 'save_time' in json_data:
+        self.create_time = datetime.now()
+        save_time = json_data.get('save_time', None)
+        if len(save_time) > 0:
             try:
-                self.save_time = datetime.strptime(json_data['save_time'], '%Y-%m-%d %H:%M:%S')
+                self.save_time = datetime.strptime(save_time, '%Y-%m-%d %H:%M:%S')
             except Exception as ex:
                 self.writeCtaError(u'解释save_time异常:{}'.format(str(ex)))
                 self.save_time = datetime.now()
@@ -485,16 +507,21 @@ class TrendPolicy(CtaPolicy):
         :param json_data:
         :return:
         """
-        if 'create_time' in json_data:
+        self.create_time = datetime.now()
+        create_time = json_data.get('create_time', None)
+
+        if len(create_time) > 0:
             try:
-                self.create_time = datetime.strptime(json_data['create_time'], '%Y-%m-%d %H:%M:%S')
+                self.create_time = datetime.strptime(create_time, '%Y-%m-%d %H:%M:%S')
             except Exception as ex:
                 self.writeCtaError(u'解释create_time异常:{}'.format(str(ex)))
                 self.create_time = datetime.now()
 
-        if 'save_time' in json_data:
+        self.create_time = datetime.now()
+        save_time = json_data.get('save_time', None)
+        if len(save_time) > 0:
             try:
-                self.save_time = datetime.strptime(json_data['save_time'], '%Y-%m-%d %H:%M:%S')
+                self.save_time = datetime.strptime(save_time, '%Y-%m-%d %H:%M:%S')
             except Exception as ex:
                 self.writeCtaError(u'解释save_time异常:{}'.format(str(ex)))
                 self.save_time = datetime.now()

vnpy/trader/app/ctaStrategy/ctaPosition.py

@@ -45,7 +45,7 @@ class CtaPosition:
 
         if direction == DIRECTION_LONG:     # 加多仓
             if (max(self.pos, self.longPos) + vol) > self.maxPos:
-                self.writeCtaError(u'异常，超出仓位。净:{0},多:{1},加多:{2},最大:{3}'
+                self.writeCtaError(u'异常，超出仓位。净:{},多:{},加多:{},最大:{}'
                                  .format(self.pos, self.longPos, vol, self.maxPos))
 
                 # 只告警
@@ -62,7 +62,7 @@ class CtaPosition:
 
         if direction == DIRECTION_SHORT:    # 加空仓
             if (min(self.pos, self.shortPos) - vol) < (0 - self.maxPos):
-                self.writeCtaError(u'异常，超出仓位。净:{0},空:{1},加空:{2},最大:{3}'
+                self.writeCtaError(u'异常，超出仓位。净:{},空:{},加空:{},最大:{}'
                                  .format(self.pos, self.shortPos, vol, self.maxPos))
                 #return False
 
@@ -91,7 +91,7 @@ class CtaPosition:
 
         if direction == DIRECTION_LONG:     # 平空仓 Cover
             if self.shortPos + vol > 0:
-                self.writeCtaError(u'异常，超出仓位。净:{0},空:{1},平仓:{2}'.format(self.pos, self.shortPos, vol))
+                self.writeCtaError(u'异常，超出仓位。净:{},空:{},平仓:{}'.format(self.pos, self.shortPos, vol))
                 #self.strategy.pos = self.pos
                 #return False
 
@@ -105,7 +105,7 @@ class CtaPosition:
 
         if direction == DIRECTION_SHORT:    # 平多仓
             if self.longPos - vol < 0:
-                self.writeCtaError(u'异常，超出仓位。净:{0},多:{1},平仓:{2}'.format(self.pos, self.longPos, vol))
+                self.writeCtaError(u'异常，超出仓位。净:{},多:{},平仓:{}'.format(self.pos, self.longPos, vol))
                 #self.strategy.pos = self.pos
                 #return False
 

vnpy/trader/app/ctaStrategy/ctaTemplate.py

@@ -96,7 +96,12 @@ class CtaTemplate(object):
     def onOrder(self, order):
         """收到委托变化推送（必须由用户继承实现）"""
         raise NotImplementedError
-    
+        # ----------------------------------------------------------------------
+
+    def onStopOrder(self, orderRef):
+        """停止单更新"""
+        self.writeCtaLog(u'停止单触发，orderRef:{}'.format(orderRef))
+
     # ----------------------------------------------------------------------
     def onTrade(self, trade):
         """收到成交推送（必须由用户继承实现）"""
@@ -302,7 +307,6 @@ class CtaTemplate(object):
             try:
                 self.ctaEngine.writeCtaCritical(content,strategy_name=self.name)
             except Exception as ex:
-
                 self.ctaEngine.writeCtaCritical(content)
         else:
 
@@ -380,6 +384,7 @@ class CtaTemplate(object):
             return
         try:
             if not os.path.exists(file_name):
+                # 写入表头
                 self.writeCtaLog(u'create csv file:{}'.format(file_name))
                 with open(file_name, 'a', encoding='utf8', newline='') as csvWriteFile:
                     writer = csv.DictWriter(f=csvWriteFile, fieldnames=dict_fieldnames, dialect='excel')
@@ -387,9 +392,11 @@ class CtaTemplate(object):
                     writer.writeheader()
                     writer.writerow(dict_data)
             else:
+                # 写入数据
                 with open(file_name, 'a', encoding='utf8', newline='') as csvWriteFile:
-                    writer = csv.DictWriter(f=csvWriteFile, fieldnames=dict_fieldnames, dialect='excel')
+                    writer = csv.DictWriter(f=csvWriteFile, fieldnames=dict_fieldnames, dialect='excel',extrasaction='ignore')
                     writer.writerow(dict_data)
+
         except Exception as ex:
             self.writeCtaError(u'append_data exception:{}'.format(str(ex)))
 
@@ -453,15 +460,16 @@ class MatrixTemplate(CtaTemplate):
         """
         if not self.position:
             return []
-        l = []
+        pos_list = []
         if self.position.longPos > 0:
-            l.append({'vtSymbol': self.vtSymbol, 'direction': DIRECTION_LONG, 'volume': self.position.longPos})
+            pos_list.append({'vtSymbol': self.vtSymbol, 'direction': 'long', 'volume': self.position.longPos})
 
         if abs(self.position.shortPos) > 0:
-            l.append({'vtSymbol': self.vtSymbol, 'direction': DIRECTION_SHORT, 'volume': abs(self.position.shortPos)})
+            pos_list.append({'vtSymbol': self.vtSymbol, 'direction': 'short', 'volume': abs(self.position.shortPos)})
 
-        self.writeCtaLog(u'当前持仓:{}'.format(l))
-        return l
+        if len(pos_list)>0:
+            self.writeCtaLog(u'当前持仓:{}'.format(pos_list))
+        return pos_list
 
     def timeWindow(self, dt):
         """交易与平仓窗口"""

vnpy/trader/app/ctaStrategy/strategy/__init__.py

@@ -5,7 +5,7 @@
 如果重复，工作目录的strategy优先。
 '''
 
-import os
+import os,sys
 import importlib
 
 import traceback
@@ -33,6 +33,27 @@ def loadStrategyModule(moduleName):
         print('Failed to import strategy file %s:' % moduleName)
         print('Exception:{},{}'.format(str(ex),traceback.format_exc()))
 
+# ----------------------------------------------------------------------
+def reloadStrategyModule(moduleName):
+    """使用importlib动态重新载入模块"""
+    try:
+        print('reloading {}'.format(moduleName))
+        module = importlib.import_module(moduleName)
+        module = importlib.reload(module)
+
+        # 遍历模块下的对象，只有名称中包含'Strategy'的才是策略类
+        for k in dir(module):
+            if 'Strategy' in k:
+                print('reloading: add {} into STRATEGY_CLASS'.format(k))
+                v = module.__getattribute__(k)
+                if k in STRATEGY_CLASS:
+                    print('Replace strategy {} with {}'.format(k, moduleName))
+                STRATEGY_CLASS[k] = v
+    except Exception as ex:
+        print('-' * 20)
+        print('Failed to reload strategy file %s:' % moduleName,file=sys.stderr)
+        print('Exception:{},{}'.format(str(ex), traceback.format_exc()), file=sys.stderr)
+
     # 获取目录路径
 path = os.path.abspath(os.path.dirname(__file__))
 

vnpy/trader/app/ctaStrategy/uiCtaWidget.py

@@ -49,7 +49,11 @@ class CtaValueMonitor(QtWidgets.QTableWidget):
             # 新增数据
             col = 0
             for k, v in data.items():
-                cell = QtWidgets.QTableWidgetItem(v)
+                #if isinstance(v,dict):
+                #    item = u'{}'.format(v)
+                #else:
+                #    item = v
+                cell = QtWidgets.QTableWidgetItem(str(v))
                 self.keyCellDict[k] = cell
                 self.setItem(0, col, cell)
                 col += 1
@@ -285,9 +289,12 @@ class CtaEngineManager(QtWidgets.QWidget):
     #----------------------------------------------------------------------
     def updateCtaLog(self, event):
         """更新CTA相关日志"""
-        log = event.dict_['data']
-        content = '\t'.join([log.logTime, log.logContent])
-        self.ctaLogMonitor.append(content)
+        try:
+            log = event.dict_['data']
+            content = '{}\t{}'.format(log.logTime, log.logContent)
+            self.ctaLogMonitor.append(content)
+        except Exception as ex:
+            print(u'update exception:{},{}'.format(str(ex),traceback.format_exc()))
     
     #----------------------------------------------------------------------
     def registerEvent(self):

vnpy/trader/util_monitor.py

@@ -77,7 +77,7 @@ class BasicMonitor(object):
             #        v = v.decode('gbk')
             #    except:
             #        v = v.decode('utf8')
-            s.append('%s: %s' % (value['chinese'], v))
+            s.append('%s: %s' % (value['chinese'], str(v)))
         if self.logger is not None:
            self.logger.info(' '.join(s))
 

vnpy/trader/util_wx_ft.py

@@ -0,0 +1,72 @@
+# -*- coding:utf-8 -*-
+'''
+通过FTQQ发送Weixin的消息
+http://sc.ftqq.com/3.version
+'''
+
+from threading import Lock,Thread
+import requests
+import json
+import sys
+import traceback
+from urllib.parse import urlencode
+from datetime import datetime
+
+global wxft_lock
+wxft_lock = Lock()
+
+# 这里可以设置多个微信接受者的Token,列表方式添加就好
+SEC_TOKENS = ['SCU3803xxxxcc2e70f64d']
+
+class wxft_thread(Thread):
+    def __init__(self,token, text, desp):
+
+        # text：消息标题，最长为256，必填。
+        # desp：消息内容，最长64Kb，可空，支持MarkDown。
+
+        super(wxft_thread, self).__init__(name="wxft_thread")
+        self.url = "https://sc.ftqq.com/{}.send".format(token)
+        self.token = token
+        self.text = text
+        self.desp = desp
+        self.lock = wxft_lock
+
+    def run(self):
+        if self.text is None or len(self.text)==0:
+            return
+        params = {}
+        params['text'] = self.text
+        params['desp'] = self.desp
+
+        # 发送请求
+        try:
+            response = requests.get(self.url,params=urlencode(params))
+        except Exception as e:
+            print("{} wx_ft sent failed! ex:{},trace:{}".format(datetime.now(),str(e),traceback.format_exc()),file=sys.stderr)
+            return
+
+        print("wx_ft sent successful!")
+
+def sendWxMsg(text = '',desp = ''):
+    """
+    发送微信Msg
+    :param chat_id:  接收者ID,空值时，直接发发送给i-quant群组，列表时，就逐一发送
+    :param parse_mode:  发送内容格式(普通文本，Markdown，html
+    :param text:   发送内容
+
+    :return:
+    """
+    if len(text) == 0:
+        return
+
+    for token in SEC_TOKENS:
+        t = wxft_thread(token=token,text=text,desp=desp)
+        t.daemon = False
+        # t.run()
+        t.start()
+
+if __name__ == '__main__':
+    text = u'测试标题!!!!\n第二行'
+    desp = u'测试备注\n第二行备注'
+
+    sendWxMsg(text,desp)

vnpy/trader/vtEngine.py

@@ -293,6 +293,7 @@ class MainEngine(object):
         """退出程序前调用，保证正常退出"""        
         # 安全关闭所有接口
         for gateway in list(self.gatewayDict.values()):
+            self.writeLog(u'vtEngine退出,关闭接口')
             gateway.close()
         
         # 停止事件引擎
@@ -323,6 +324,7 @@ class MainEngine(object):
 
             # 断开所有的gateway
             for gateway in list(self.gatewayDict.values()):
+                self.writeLog(u'vtEngine.disconnect()，断开所有的gateway')
                 gateway.close()
 
             return True
@@ -376,10 +378,7 @@ class MainEngine(object):
         # 写入本地log日志
         if self.logger is not None:
             self.logger.error(content)
-            print('{}'.format(datetime.now()),file=sys.stderr)
-            print(content, file=sys.stderr)
         else:
-            print(content, file=sys.stderr)
             self.createLogger()
 
         # 发出邮件/微信
@@ -401,6 +400,9 @@ class MainEngine(object):
         event.dict_['data'] = log
         self.eventEngine.put(event)
 
+        print('{}'.format(datetime.now()), file=sys.stderr)
+        print(content, file=sys.stderr)
+
         # 写入本地log日志
         if self.logger is not None:
             self.logger.warning(content)
@@ -459,13 +461,13 @@ class MainEngine(object):
         event.dict_['data'] = log
         self.eventEngine.put(event)
 
+        print('{}'.format(datetime.now()), file=sys.stderr)
+        print(content, file=sys.stderr)
+
         # 写入本地log日志
         if self.logger:
             self.logger.critical(content)
-            print('{}'.format(datetime.now()), file=sys.stderr)
-            print(content, file=sys.stderr)
         else:
-            print(content, file=sys.stderr)
             self.createLogger()
 
         # 发出邮件
@@ -693,9 +695,6 @@ class MainEngine(object):
             if self.db_has_connected:
                 self.writeLog(u'重新尝试连接数据库')
                 self.dbConnect()
-        except AutoReconnect as ex:
-            self.writeError(u'数据库连接断开重连:{}'.format(str(ex)))
-            time.sleep(1)
         except Exception as ex:
             self.writeError(u'dbDelete exception:{}'.format(str(ex)))
 
@@ -773,16 +772,18 @@ class MainEngine(object):
     def startStrategy(self,name):
         if not self.ctaEngine:
             self.writeError(u'Cta Engine not started')
-            return
+            return False
         self.ctaEngine.startStrategy(name=name)
         self.qryStatus()
+        return True
 
     def stopStrategy(self,name):
         if not self.ctaEngine:
             self.writeError(u'Cta Engine not started')
-            return
+            return False
         self.ctaEngine.stopStrategy(name=name)
         self.qryStatus()
+        return True
 
 ########################################################################
 class DataEngine(object):
@@ -818,6 +819,13 @@ class DataEngine(object):
     def updateContract(self, event):
         """更新合约数据"""
         contract = event.dict_['data']
+        if contract.vtSymbol.endswith('99'):
+            old_contract = self.contractDict.get(contract.vtSymbol,None)
+            if old_contract is not None:
+                contract.size = max(contract.size, old_contract.size)
+                contract.longMarginRatio = max(contract.longMarginRatio,old_contract.longMarginRatio)
+                contract.shortMarginRatio = max(contract.shortMarginRatio, old_contract.shortMarginRatio)
+
         self.contractDict[contract.vtSymbol] = contract
         self.contractDict[contract.symbol] = contract       # 使用常规代码（不包括交易所）可能导致重复
         

vnpy/trader/vtFunction.py

@@ -9,6 +9,7 @@ import decimal
 import json
 from datetime import datetime
 import importlib
+import re
 
 MAX_NUMBER = 10000000000000
 MAX_DECIMAL = 8
@@ -29,6 +30,43 @@ def floatToStr(float_str):
     else:
         return float_str
 
+def getShortSymbol(symbol):
+    """取得合约的短号"""
+    # 套利合约
+    if symbol.find(' ') != -1:
+        # 排除SP SPC SPD
+        s = symbol.split(' ')
+        if len(s) < 2:
+            return symbol
+        symbol = s[1]
+
+        # 只提取leg1合约
+        if symbol.find('&') != -1:
+            s = symbol.split('&')
+            if len(s) < 2:
+                return symbol
+            symbol = s[0]
+
+    p = re.compile(r"([A-Z]+)[0-9]+", re.I)
+    shortSymbol = p.match(symbol)
+
+    if shortSymbol is None:
+        return symbol
+
+    return shortSymbol.group(1)
+
+def getFullSymbol(symbol):
+    """获取全路径得合约名称"""
+    short_symbol = getShortSymbol(symbol)
+    if short_symbol == symbol:
+        return symbol
+
+    symbol_month = symbol.replace(short_symbol, '')
+    if len(symbol_month) == 3:
+        return '{0}1{1}'.format(short_symbol, symbol_month)
+    else:
+        return symbol
+
 # -----------------------------------------
 def systemSymbolToVnSymbol(symbol):
     """
@@ -252,7 +290,6 @@ def save_text_to_excel(file_name, sheet_name, text):
         print(u'save_text_to_excel exception:{}'.format(str(ex)), traceback.format_exc(),file=sys.stderr)
         return False
 
-
 def save_images_to_excel(file_name, sheet_name, image_names):
     """
     # 保存图形文件到excel

vnpy/trader/vtGateway.py

@@ -212,3 +212,16 @@ class VtGateway(object):
         if self.logger:
             self.logger.error(content)
 
+
+    # ----------------------------------------------------------------------
+    def printDict(self,d):
+        """返回dict的字符串类型"""
+        if not isinstance(d,dict):
+            return EMPTY_STRING
+
+        l = d.keys()
+        l = sorted(l)
+        str = EMPTY_STRING
+        for k in l:
+            str +=u'{}:{}\n'.format(k, d[k])
+        return str

vnpy/trader/vtMain.py

@@ -1,74 +0,0 @@
-# encoding: UTF-8
-
-
-# 重载sys模块，设置默认字符串编码方式为utf8
-import sys
-#reload(sys)
-#sys.setdefaultencoding('utf8')
-
-import sys
-import os
-import ctypes
-import platform
-system = platform.system()
-
-# 将repostory的目录，作为根目录，添加到系统环境中。
-ROOT_PATH = os.path.abspath(os.path.join(os.path.dirname(__file__), '..' , '..'))
-sys.path.append(ROOT_PATH)
-
-from vnpy.trader.vtEngine import MainEngine
-from vnpy.trader.uiQt import createQApp
-from vnpy.trader.uiMainWindow import *
-
-# 加载底层接口
-from vnpy.trader.gateway import ctpGateway
-# 初始化的接口模块，以及其指定的名称,CTP是模块，value，是该模块下的多个连接配置文件,如 CTP_JR_connect.json    'CTP_Prod', 'CTP_JR', , 'CTP_JK', 'CTP_02'
-init_gateway_names = {'CTP': ['CTP','CTP_YH01', 'CTP_YH02', 'CTP_YH03','CTP_JK','CTP_Huafu001','CTP_Huafu002']}
-
-from vnpy.trader.app import (ctaStrategy, riskManager, spreadTrading)
-
-# 文件路径名
-path = os.path.abspath(os.path.dirname(__file__))
-ICON_FILENAME = 'vnpy.ico'
-ICON_FILENAME = os.path.join(path, ICON_FILENAME)
-
-from vnpy.trader.setup_logger import setup_logger
-
-# ----------------------------------------------------------------------
-def main():
-    """主程序入口"""
-
-    logger = setup_logger(filename='logs/vnpy.log', debug=False)
-
-    # 创建Qt应用对象
-    qApp = createQApp()
-
-    # 创建事件引擎
-    ee = EventEngine2()
-
-    # 初始化主引擎和主窗口对象
-    mainEngine = MainEngine(ee)
-
-    mainEngine.logger = logger
-
-    # 添加Gatway
-    for gw_name in init_gateway_names['CTP']:
-        print('add {0}'.format(gw_name))
-        mainEngine.addGateway(ctpGateway, gw_name)
-
-    # 添加应用
-    mainEngine.addApp(ctaStrategy)
-    mainEngine.addApp(riskManager)
-    mainEngine.addApp(spreadTrading)
-
-    mainWindow = MainWindow(mainEngine, ee)
-    mainWindow.showMaximized()
-    # 在主线程中启动Qt事件循环
-    sys.exit(qApp.exec_())
-
-if __name__ == '__main__':
-    try:
-        main()
-    except Exception as ex:
-        print(str(ex))
-        traceback.print_exc()

vnpy/trader/vtServer.py

@@ -1,116 +0,0 @@
-# encoding: utf-8
-
-import os
-import sys
-
-import ctypes
-from datetime import datetime, timedelta, date
-from time import sleep
-from threading import Thread
-
-# 将repostory的目录i，作为根目录，添加到系统环境中。
-ROOT_PATH = os.path.abspath(os.path.join(os.path.dirname(__file__), '..','..'))
-sys.path.append(ROOT_PATH)
-
-from datetime import datetime
-from time import sleep
-from threading import Thread
-
-import vtEvent
-from vnpy.rpc import RpcServer
-from vnpy.trader.vtEngine import MainEngine
-
-from vnpy.trader.gateway import ctpGateway
-init_gateway_names = {'CTP': ['CTP', 'CTP_Prod', 'CTP_Post', 'CTP_EBF', 'CTP_JR', 'CTP_JR2']}
-
-########################################################################
-class VtServer(RpcServer):
-    """vn.trader服务器"""
-
-    #----------------------------------------------------------------------
-    def __init__(self, repAddress, pubAddress):
-        """Constructor"""
-        super(VtServer, self).__init__(repAddress, pubAddress)
-        self.usePickle()
-        
-        # 创建主引擎对象
-        self.engine = MainEngine()
-
-        for gw_name in init_gateway_names['CTP']:
-            print( 'add {0}'.format(gw_name))
-            self.engine.addGateway(ctpGateway, gw_name)
-
-        # 注册主引擎的方法到服务器的RPC函数
-        self.register(self.engine.connect)
-        self.register(self.engine.disconnect)
-        self.register(self.engine.subscribe)
-        self.register(self.engine.sendOrder)
-        self.register(self.engine.cancelOrder)
-        self.register(self.engine.qryAccount)
-        self.register(self.engine.qryPosition)
-        self.register(self.engine.checkGatewayStatus)               # 检测gateway的连接状态
-        self.register(self.engine.qryStatus)                        # 检测ctaEngine的状态
-        self.register(self.engine.exit)
-        self.register(self.engine.writeLog)
-        self.register(self.engine.dbConnect)
-        self.register(self.engine.dbInsert)
-        self.register(self.engine.dbQuery)
-        self.register(self.engine.dbUpdate)
-        self.register(self.engine.getContract)
-        self.register(self.engine.getAllContracts)
-        self.register(self.engine.getOrder)
-        self.register(self.engine.getAllWorkingOrders)
-        self.register(self.engine.getAllGatewayNames)
-        self.register(self.engine.saveData)
-        
-        # 注册事件引擎发送的事件处理监听
-        self.engine.eventEngine.registerGeneralHandler(self.eventHandler)
-        
-    #----------------------------------------------------------------------
-    def eventHandler(self, event):
-        """事件处理"""
-        self.publish(event.type_, event)
-        
-    #----------------------------------------------------------------------
-    def stopServer(self):
-        """停止服务器"""
-        # 关闭引擎
-        self.engine.exit()
-        
-        # 停止服务器线程
-        self.stop()
-
-
-#----------------------------------------------------------------------
-def printLog(content):
-    """打印日志"""
-    print( datetime.now().strftime("%H:%M:%S"), '\t', content)
-
-
-#----------------------------------------------------------------------
-def runServer():
-    """运行服务器"""
-    repAddress = 'tcp://*:2014'
-    pubAddress = 'tcp://*:2016'
-    
-    # 创建并启动服务器
-    server = VtServer(repAddress, pubAddress)
-    server.start()
-    
-    printLog('-'*50)
-    printLog(u'vn.trader服务器已启动')
-    
-    # 进入主循环
-    while True:
-        printLog(u'请输入exit来关闭服务器')
-        if raw_input() != 'exit':
-            continue
-
-        printLog(u'确认关闭服务器？yes|no')
-        if raw_input() == 'yes':
-            break
-    
-    server.stopServer()
-    
-if __name__ == '__main__':
-    runServer()