[增强] 期货CtaPro模板, 组合回测引擎(支持tick级别组合回测）

README.md

@@ -37,8 +37,11 @@
     - 提供单独重启某一策略实例功能，可在线更新策略源码后，重启某一策略实例，不影响其他运行实例。
     - 支持单策略多合约行情订阅，支持指数合约行情订阅
     - 提供组合回测引擎，能够直接加载cta_strategy_pro_setting.json文件进行组合回测。
+    - 拆分组合回测引擎和回测引擎，组合回测引擎支持bar/tick级别的组合回测
     - 增加定时器，推动策略on_timer
     - 增加定时推送策略持仓event
+    - 增加CtaPro模板，支持精细化策略持久模板，
+    - 增加CtaPro期货模板，支持FAK委托，自动换月等
     
 8、增强主引擎，包括：
         

requirements.txt

@@ -5,8 +5,6 @@ qdarkstyle
 requests
 websocket-client
 peewee
-pymysql
-psycopg2
 mongoengine
 numpy
 pandas>=0.24.2
@@ -21,3 +19,5 @@ deap
 pyzmq
 wmi
 QScintilla
+pytdx
+pykalman

tests/renko/test_rebuild_future.py

@@ -12,7 +12,7 @@ from vnpy.data.renko.rebuild_future import *
 
 # Mongo数据库得地址，renko数据库名，tick文件缓存目录
 setting = {
-    "host": "192.168.0.207",
+    "host": "127.0.0.1",
     "db_name": FUTURE_RENKO_DB_NAME,
     "cache_folder": os.path.join(vnpy_root, 'tick_data', 'tdx', 'future')
 }
@@ -20,8 +20,12 @@ builder = FutureRenkoRebuilder(setting)
 
 # 生成单个
 # builder.start(symbol='RB99',min_diff=1, height=10, start_date='2019-04-01', end_date='2019-09-10')
+
 # 生成多个
-builder.start(symbol='J99', price_tick=0.5, height=[10], start_date='2016-01-01', end_date='2016-02-16')
+#builder.start(symbol='J99', price_tick=0.5, height=[10, 'K3'], start_date='2016-01-01', end_date='2016-02-16')
+
+# 在数据库最新renko基础上开始追加数据
+builder.start(symbol='J99', price_tick=0.5, height=[10, 'K3', 'K5'], start_date='2016-01-01', refill=True)
 
 # 导出csv
 # builder.export(symbol='RB99',height=10, start_date='2019-04-01', end_date='2019-09-10')

vnpy/app/account_recorder/engine.py

@@ -14,21 +14,31 @@
 
 '''
 
-import json
-import os
 import sys
 import copy
 import traceback
-import csv
+
 from datetime import datetime, timedelta
 from queue import Queue
 from threading import Thread
 from time import time
-from concurrent.futures import ThreadPoolExecutor
 
 from vnpy.event import Event, EventEngine
-from vnpy.trader.event import *
+from vnpy.trader.event import (
-from vnpy.trader.constant import Direction
+    EVENT_TIMER,
+    EVENT_ACCOUNT,
+    EVENT_ORDER,
+    EVENT_TRADE,
+    EVENT_POSITION,
+    EVENT_HISTORY_TRADE,
+    EVENT_HISTORY_ORDER,
+    EVENT_FUNDS_FLOW,
+    EVENT_STRATEGY_POS,
+    EVENT_ERROR,
+    EVENT_WARNING,
+    EVENT_CRITICAL,
+)
+# from vnpy.trader.constant import Direction
 from vnpy.trader.engine import BaseEngine, MainEngine
 from vnpy.trader.utility import get_trading_date, load_json, save_json
 from vnpy.data.mongo.mongo_data import MongoData
@@ -246,7 +256,7 @@ class AccountRecorder(BaseEngine):
                 self.save_setting()
 
         except Exception as ex:
-            self.main_engine.writeError(u'更新数据日期异常:{}'.format(str(ex)))
+            self.main_engine.write_error(u'更新数据日期异常:{}'.format(str(ex)))
             self.write_log(traceback.format_exc())
 
     def get_begin_day(self, gw_name: str, data_type: str):
@@ -393,7 +403,7 @@ class AccountRecorder(BaseEngine):
             price = self.main_engine.get_price(pos.vt_symbol)
             if price:
                 data.update({'cur_price': price})
-        except:
+        except:  # noqa
             pass
 
         self.update_data(db_name=ACCOUNT_DB_NAME, col_name=TODAY_POSITION_COL, fld=fld, data=data)
@@ -561,7 +571,7 @@ class AccountRecorder(BaseEngine):
                     self.write_log(u'运行 {}.{} 更新 耗时:{}ms >200ms,数据:{}'
                                    .format(db_name, col_name, execute_ms, d))
 
-            except Exception as ex:
+            except Exception as ex:  # noqa
                 pass
 
     # ----------------------------------------------------------------------

vnpy/app/cta_backtester/engine.py

@@ -4,7 +4,6 @@ import traceback
 from datetime import datetime
 from threading import Thread
 from pathlib import Path
-from inspect import getfile
 
 from vnpy.event import Event, EventEngine
 from vnpy.trader.engine import BaseEngine, MainEngine

vnpy/app/cta_strategy_pro/__init__.py

@@ -1,17 +1,18 @@
 from pathlib import Path
 
 from vnpy.trader.app import BaseApp
-from vnpy.trader.constant import Direction,Offset,Status
+from vnpy.trader.constant import Direction,Offset,Status,Color
 from vnpy.trader.object import TickData, BarData, TradeData, OrderData
 from vnpy.trader.utility import BarGenerator, ArrayManager
 from .cta_position import CtaPosition
 from .cta_line_bar import CtaLineBar, CtaMinuteBar, CtaHourBar, CtaDayBar, CtaWeekBar
+from .base import APP_NAME, StopOrder, CtaComponent
 from .cta_policy import CtaPolicy
 from .cta_grid_trade import CtaGrid, CtaGridTrade
-from .base import APP_NAME, StopOrder
+
 from .engine import CtaEngine
 
-from .template import CtaTemplate, CtaSignal, TargetPosTemplate, CtaProTemplate
+from .template import CtaTemplate, CtaSignal, TargetPosTemplate, CtaProTemplate, CtaProFutureTemplate
 
 class CtaStrategyProApp(BaseApp):
     """"""

vnpy/app/cta_strategy_pro/base.py

@@ -1,6 +1,7 @@
 """
 Defines constants and objects used in CtaStrategyPro App.
 """
+import sys
 from abc import ABC
 from dataclasses import dataclass, field
 from enum import Enum
@@ -93,6 +94,7 @@ INTERVAL_DELTA_MAP = {
     Interval.DAILY: timedelta(days=1),
 }
 
+
 class CtaComponent(ABC):
     """ CTA策略基础组件"""
 
@@ -103,7 +105,6 @@ class CtaComponent(ABC):
         """
         self.strategy = strategy
 
-    # ----------------------------------------------------------------------
     def write_log(self, content: str):
         """记录日志"""
         if self.strategy:
@@ -111,11 +112,9 @@ class CtaComponent(ABC):
         else:
             print(content)
 
-    # ----------------------------------------------------------------------
     def write_error(self, content: str, level: int = ERROR):
         """记录错误日志"""
         if self.strategy:
             self.strategy.write_log(msg=content, level=level)
         else:
             print(content, file=sys.stderr)
-

vnpy/app/cta_strategy_pro/cta_grid_trade.py

@@ -9,8 +9,6 @@ import traceback
 
 from collections import OrderedDict
 from datetime import datetime
-from dataclasses import dataclass, field
-from typing import List
 from vnpy.trader.utility import get_folder_path
 from vnpy.app.cta_strategy_pro.base import Direction, CtaComponent
 

vnpy/app/cta_strategy_pro/cta_line_bar.py

@@ -12,6 +12,7 @@ import sys
 import traceback
 import talib as ta
 import numpy as np
+import csv
 
 from collections import OrderedDict
 from datetime import datetime, timedelta
@@ -27,7 +28,7 @@ from vnpy.app.cta_strategy_pro.base import (
     MARKET_ZJ)
 from vnpy.app.cta_strategy_pro.cta_period import CtaPeriod, Period
 from vnpy.trader.object import BarData, TickData
-from vnpy.trader.constant import Interval, Color, Exchange
+from vnpy.trader.constant import Interval, Color
 from vnpy.trader.utility import round_to, get_trading_date, get_underlying_symbol
 
 
@@ -1062,7 +1063,6 @@ class CtaLineBar(object):
 
         self.line_bar.append(self.cur_bar)  # 推入到lineBar队列
 
-    # ----------------------------------------------------------------------
     def generate_bar(self, tick: TickData):
         """生成 line Bar  """
 
@@ -1184,7 +1184,6 @@ class CtaLineBar(object):
         if not endtick:
             self.last_tick = tick
 
-    # ----------------------------------------------------------------------
     def __count_pre_high_low(self):
         """计算 K线的前周期最高和最低"""
 
@@ -1206,7 +1205,6 @@ class CtaLineBar(object):
             del self.line_pre_low[0]
         self.line_pre_low.append(preLow)
 
-    # ----------------------------------------------------------------------
     def __count_sar(self):
         """计算K线的SAR"""
 
@@ -1331,7 +1329,6 @@ class CtaLineBar(object):
         if len(self.line_sar) > self.max_hold_bars:
             del self.line_sar[0]
 
-    # ----------------------------------------------------------------------
     def __count_ma(self):
         """计算K线的MA1 和MA2"""
 
@@ -1486,7 +1483,8 @@ class CtaLineBar(object):
         if self.para_ma1_len > 0:
             count_len = min(self.bar_len, self.para_ma1_len)
             if count_len > 0:
-                close_ma_array = ta.MA(np.append(self.close_array[-count_len:], [self.line_bar[-1].close_price]), count_len)
+                close_ma_array = ta.MA(np.append(self.close_array[-count_len:], [self.line_bar[-1].close_price]),
+                                       count_len)
                 self._rt_ma1 = round(float(close_ma_array[-1]), self.round_n)
 
                 # 计算斜率
@@ -1497,7 +1495,8 @@ class CtaLineBar(object):
         if self.para_ma2_len > 0:
             count_len = min(self.bar_len, self.para_ma2_len)
             if count_len > 0:
-                close_ma_array = ta.MA(np.append(self.close_array[-count_len:], [self.line_bar[-1].close_price]), count_len)
+                close_ma_array = ta.MA(np.append(self.close_array[-count_len:], [self.line_bar[-1].close_price]),
+                                       count_len)
                 self._rt_ma2 = round(float(close_ma_array[-1]), self.round_n)
 
                 # 计算斜率
@@ -1508,7 +1507,8 @@ class CtaLineBar(object):
         if self.para_ma3_len > 0:
             count_len = min(self.bar_len, self.para_ma3_len)
             if count_len > 0:
-                close_ma_array = ta.MA(np.append(self.close_array[-count_len:], [self.line_bar[-1].close_price]), count_len)
+                close_ma_array = ta.MA(np.append(self.close_array[-count_len:], [self.line_bar[-1].close_price]),
+                                       count_len)
                 self._rt_ma3 = round(float(close_ma_array[-1]), self.round_n)
 
                 # 计算斜率
@@ -1558,7 +1558,6 @@ class CtaLineBar(object):
             return self.line_ma3_atan[-1]
         return self._rt_ma3_atan
 
-    # ----------------------------------------------------------------------
     def __count_ema(self):
         """计算K线的EMA1 和EMA2"""
 
@@ -1613,7 +1612,6 @@ class CtaLineBar(object):
                 del self.line_ema3[0]
             self.line_ema3.append(barEma3)
 
-    # ----------------------------------------------------------------------
     def rt_count_ema(self):
         """计算K线的EMA1 和EMA2"""
 
@@ -1844,7 +1842,7 @@ class CtaLineBar(object):
 
         if self.para_atr3_len > 0:
             count_len = min(self.bar_len, self.para_atr3_len)
-            cur_atr3 = ta.ATR(self.high_array[-count_len * 2 :], self.low_array[-count_len * 2:],
+            cur_atr3 = ta.ATR(self.high_array[-count_len * 2:], self.low_array[-count_len * 2:],
                               self.close_array[-count_len * 2:], count_len)
             self.cur_atr3 = round(cur_atr3[-1], self.round_n)
 
@@ -1853,7 +1851,6 @@ class CtaLineBar(object):
 
             self.line_atr3.append(self.cur_atr3)
 
-    # ----------------------------------------------------------------------
     def __count_vol_ma(self):
         """计算平均成交量"""
 
@@ -1869,7 +1866,6 @@ class CtaLineBar(object):
             del self.line_vol_ma[0]
         self.line_vol_ma.append(avgVol)
 
-    # ----------------------------------------------------------------------
     def __count_rsi(self):
         """计算K线的RSI"""
         if self.para_rsi1_len <= 0 and self.para_rsi2_len <= 0:
@@ -3943,7 +3939,6 @@ class CtaLineBar(object):
             return self.line_bias3[-1]
         return self._rt_bias3
 
-    # ----------------------------------------------------------------------
     def write_log(self, content):
         """记录CTA日志"""
         self.strategy.write_log(u'[' + self.name + u']' + content)
@@ -4586,7 +4581,6 @@ class CtaMinuteBar(CtaLineBar):
             # 实时计算
             self.rt_executed = False
 
-    # ----------------------------------------------------------------------
     def generate_bar(self, tick):
         """
         生成 line Bar
@@ -4821,8 +4815,6 @@ class CtaHourBar(CtaLineBar):
             # 实时计算
             self.rt_executed = False
 
-        # ----------------------------------------------------------------------
-
     def generate_bar(self, tick):
         """
         生成 line Bar
@@ -5047,7 +5039,6 @@ class CtaDayBar(CtaLineBar):
             # 实时计算
             self.rt_executed = False
 
-    # ----------------------------------------------------------------------
     def generate_bar(self, tick):
         """
         生成 line Bar
@@ -5280,7 +5271,6 @@ class CtaWeekBar(CtaLineBar):
                                                 '%Y-%m-%d %H:%M:%S')
             return friday_night_dt
 
-    # ----------------------------------------------------------------------
     def generate_bar(self, tick):
         """
         生成 line Bar
@@ -5338,4 +5328,3 @@ class CtaWeekBar(CtaLineBar):
             self.rt_executed = False
 
         self.last_tick = tick
-

vnpy/app/cta_strategy_pro/cta_policy.py

@@ -7,6 +7,11 @@ from collections import OrderedDict
 from vnpy.app.cta_strategy_pro.base import CtaComponent
 from vnpy.trader.utility import get_folder_path
 
+TNS_STATUS_OBSERVATE = 'observate'
+TNS_STATUS_ORDERING = 'ordering'
+TNS_STATUS_OPENED = 'opened'
+TNS_STATUS_CLOSED = 'closed'
+
 
 class CtaPolicy(CtaComponent):
     """
@@ -18,7 +23,7 @@ class CtaPolicy(CtaComponent):
         构造
         :param strategy:
         """
-        super(CtaPolicy,self).__init__(strategy=strategy, kwargs=kwargs)
+        super().__init__(strategy=strategy, kwargs=kwargs)
 
         self.create_time = None
         self.save_time = None
@@ -67,7 +72,8 @@ class CtaPolicy(CtaComponent):
         从持久化文件中获取
         :return:
         """
-        json_file = os.path.abspath(os.path.join(get_folder_path('data'), u'{}_Policy.json'.format(self.strategy.strategy_name)))
+        json_file = os.path.abspath(
+            os.path.join(get_folder_path('data'), u'{}_Policy.json'.format(self.strategy.strategy_name)))
 
         json_data = {}
         if os.path.exists(json_file):

vnpy/app/cta_strategy_pro/cta_position.py

@@ -45,7 +45,7 @@ class CtaPosition(CtaComponent):
 
         return True
 
-    def close_pos(self, direction: Direction, volume:float):
+    def close_pos(self, direction: Direction, volume: float):
         """平、减仓"""
         # vol: 正整数
 

vnpy/app/cta_strategy_pro/engine.py

@@ -1,14 +1,13 @@
 """"""
 
 import importlib
-import csv
 import os
 import sys
 import traceback
 from collections import defaultdict
 from pathlib import Path
 from typing import Any, Callable
-from datetime import datetime, timedelta
+from datetime import datetime
 from collections import OrderedDict
 from concurrent.futures import ThreadPoolExecutor
 from copy import copy
@@ -19,10 +18,8 @@ from vnpy.trader.engine import BaseEngine, MainEngine
 from vnpy.trader.object import (
     OrderRequest,
     SubscribeRequest,
-    HistoryRequest,
     LogData,
     TickData,
-    BarData,
     ContractData
 )
 from vnpy.trader.event import (
@@ -37,8 +34,6 @@ from vnpy.trader.event import (
 from vnpy.trader.constant import (
     Direction,
     OrderType,
-    Interval,
-    Exchange,
     Offset,
     Status
 )
@@ -359,12 +354,8 @@ class CtaEngine(BaseEngine):
             if stop_order.vt_symbol != tick.vt_symbol:
                 continue
 
-            long_triggered = (
+            long_triggered = stop_order.direction == Direction.LONG and tick.last_price >= stop_order.price
-                    stop_order.direction == Direction.LONG and tick.last_price >= stop_order.price
+            short_triggered = stop_order.direction == Direction.SHORT and tick.last_price <= stop_order.price
-            )
-            short_triggered = (
-                    stop_order.direction == Direction.SHORT and tick.last_price <= stop_order.price
-            )
 
             if long_triggered or short_triggered:
                 strategy = self.strategies[stop_order.strategy_name]
@@ -1340,7 +1331,7 @@ class CtaEngine(BaseEngine):
                             pos_list.append(pos)
 
             except Exception as ex:
-                self.write_error(u'分解SPD失败')
+                self.write_error(f'分解SPD失败:{str(ex)}')
 
         # update local pos dict
         self.strategy_pos_dict.update({name: pos_list})
@@ -1439,16 +1430,21 @@ class CtaEngine(BaseEngine):
         Update setting file.
         """
         strategy = self.strategies[strategy_name]
-
+        # 原配置
-        strategy_config = self.strategy_setting.get('strategy_name', {})
+        old_config = self.strategy_setting.get('strategy_name', {})
-
+        new_config = {
-        self.strategy_setting[strategy_name] = {
             "class_name": strategy.__class__.__name__,
             "vt_symbol": strategy.vt_symbol,
             "auto_init": auto_init,
             "auto_start": auto_start,
             "setting": setting
         }
+
+        if old_config:
+            self.write_log(f'{strategy_name} 配置变更:\n{old_config} \n=> \n{new_config}')
+
+        self.strategy_setting[strategy_name] = new_config
+
         save_json(self.setting_filename, self.strategy_setting)
 
     def remove_strategy_setting(self, strategy_name: str):

vnpy/app/cta_strategy_pro/strategies/turtle_signal_strategy.py

@@ -2,7 +2,6 @@ from vnpy.app.cta_strategy_pro import (
     CtaTemplate,
     StopOrder,
     Direction,
-    Offset,
     TickData,
     BarData,
     TradeData,
@@ -112,7 +111,7 @@ class TurtleSignalStrategy(CtaTemplate):
             self.send_short_orders(self.entry_down)
 
             cover_price = min(self.short_stop, self.exit_up)
-            ret = self.cover(cover_price, abs(self.pos), True)
+            self.cover(cover_price, abs(self.pos), True)
 
         self.put_event()
 
@@ -149,7 +148,7 @@ class TurtleSignalStrategy(CtaTemplate):
         if self.pos >= 4:
             return
 
-        if self.cur_mi_price <= price - self.atr_value/2:
+        if self.cur_mi_price <= price - self.atr_value / 2:
             return
 
         t = self.pos / self.fixed_size

vnpy/app/cta_strategy_pro/strategies/turtle_signal_strategy_v2.py

@@ -2,7 +2,6 @@ from vnpy.app.cta_strategy_pro import (
     CtaTemplate,
     StopOrder,
     Direction,
-    Offset,
     TickData,
     BarData,
     TradeData,
@@ -10,7 +9,6 @@ from vnpy.app.cta_strategy_pro import (
     BarGenerator,
     ArrayManager,
 )
-
 from vnpy.trader.utility import round_to
 
 
@@ -189,7 +187,7 @@ class TurtleSignalStrategy_v2(CtaTemplate):
                 self.write_log(f'买入委托编号:{refs}')
 
         if t == 1 and self.cur_mi_price > price:
-            buy_price = round_to(price + self.atr_value * 0.5 , self.symbol_price_tick)
+            buy_price = round_to(price + self.atr_value * 0.5, self.symbol_price_tick)
             self.write_log(u'发出做多停止单，触发价格为: {}'.format(buy_price))
             refs = self.buy(buy_price, self.invest_pos, True)
             if len(refs) > 0:

vnpy/app/risk_manager/engine.py

@@ -1,5 +1,5 @@
 """"""
-
+import logging
 from copy import copy
 from collections import defaultdict
 from datetime import datetime
@@ -182,20 +182,24 @@ class RiskManagerEngine(BaseEngine):
         if vt_accountid:
             account = self.account_dict.get(vt_accountid, None)
             if account:
-                return account.balance, \
+                return (
-                       account.available, \
+                    account.balance,
-                       round(account.frozen * 100 / (account.balance + 0.01), 2), \
+                    account.available,
+                    round(account.frozen * 100 / (account.balance + 0.01), 2),
                     self.percent_limit
+                )
         if len(self.account_dict.values()) > 0:
             account = list(self.account_dict.values())[0]
-            return account.balance, \
+            return (
-                   account.available, \
+                account.balance,
-                   round(account.frozen * 100 / (account.balance + 0.01), 2), \
+                account.available,
+                round(account.frozen * 100 / (account.balance + 0.01), 2),
                 self.percent_limit
+            )
         else:
             return 0, 0, 0, 0
 
-    def write_log(self, msg: str):
+    def write_log(self, msg: str, source: str = "", level: int = logging.DEBUG):
         """"""
         log = LogData(msg=msg, gateway_name="RiskManager")
         event = Event(type=EVENT_LOG, data=log)

vnpy/chart/__init__.py

@@ -1,2 +1,2 @@
-from .widget import ChartWidget
+from .widget import ChartWidget, KlineWidget
 from .item import CandleItem, VolumeItem

vnpy/chart/widget.py

@@ -1,5 +1,5 @@
 from typing import List, Dict, Type
-
+from collections import deque
 import pyqtgraph as pg
 
 from vnpy.trader.ui import QtGui, QtWidgets, QtCore
@@ -11,8 +11,7 @@ from .base import (
     to_int, NORMAL_FONT
 )
 from .axis import DatetimeAxis
-from .item import ChartItem
+from .item import ChartItem, CandleItem, VolumeItem
-
 
 pg.setConfigOptions(antialias=True)
 
@@ -21,10 +20,10 @@ class ChartWidget(pg.PlotWidget):
     """"""
     MIN_BAR_COUNT = 100
 
-    def __init__(self, parent: QtWidgets.QWidget = None):
+    def __init__(self, parent: QtWidgets.QWidget = None, title: str = "ChartWidget of vn.py"):
         """"""
         super().__init__(parent)
-
+        self.title = title
         self._manager: BarManager = BarManager()
 
         self._plots: Dict[str, pg.PlotItem] = {}
@@ -41,7 +40,7 @@ class ChartWidget(pg.PlotWidget):
 
     def _init_ui(self) -> None:
         """"""
-        self.setWindowTitle("ChartWidget of vn.py")
+        self.setWindowTitle(self.title)
 
         self._layout = pg.GraphicsLayout()
         self._layout.setContentsMargins(10, 10, 10, 10)
@@ -119,12 +118,15 @@ class ChartWidget(pg.PlotWidget):
         """
         Add chart item.
         """
+        # 创建显示的对象，蜡烛图，bar图，散点，线等
         item = item_class(self._manager)
         self._items[item_name] = item
 
+        # 获取设置的显示区域，例如主图/volume/附图等
         plot = self._plots.get(plot_name)
         plot.addItem(item)
 
+        # 绑定显示对象与显示区域关系
         self._item_plot_map[item] = plot
 
     def get_plot(self, plot_name: str) -> pg.PlotItem:
@@ -173,6 +175,7 @@ class ChartWidget(pg.PlotWidget):
         for item in self._items.values():
             item.update_bar(bar)
 
+        # 刷新显示区域的最高/最低值
         self._update_plot_limits()
 
         if self._right_ix >= (self._manager.get_count() - self._bar_count / 2):
@@ -480,7 +483,9 @@ class ChartCursor(QtCore.QObject):
                     buf[plot] += ("\n\n" + item_info_text)
 
         for plot_name, plot in self._plots.items():
-            plot_info_text = buf[plot]
+            plot_info_text = buf.get(plot, None)
+            if not plot_info_text:
+                continue
             info = self._infos[plot_name]
             info.setText(plot_info_text)
             info.show()
@@ -532,3 +537,124 @@ class ChartCursor(QtCore.QObject):
 
         for label in list(self._y_labels.values()) + [self._x_label]:
             label.hide()
+
+
+class KlineWidget(ChartWidget):
+    """ k线widget，支持多widget；主图/volume/附图"""
+    clsId = 0
+
+    def __init__(self, parent: QtWidgets.QWidget = None,
+                 title: str = "kline",
+                 display_volume: bool = False,
+                 display_sub: bool = False):
+
+        super().__init__(parent, title)
+
+        KlineWidget.clsId += 1
+        self.windowId = str(KlineWidget.clsId)
+
+        # 所有K线上指标
+        self.main_color_pool = deque(['red', 'green', 'yellow', 'white'])
+        self.main_indicator_data = {}  # 主图指标数据（字典，key是指标，value是list）
+        self.main_indicator_colors = {}  # 主图指标颜色（字典，key是指标，value是list
+        self.main_indicator_plots = {}  # 主图指标的所有画布（字典，key是指标，value是plot)
+
+        self.display_volume = display_volume
+        self.display_sub = display_sub
+
+        # 所有副图上指标
+        self.sub_color_pool = deque(['red', 'green', 'yellow', 'white'])
+        self.sub_indicator_data = {}
+        self.sub_indicator_colors = {}
+        self.sub_indicator_plots = {}
+
+        self.main_plot_name = f'{self.windowId}_main'
+        self.volume_plot_name = f'{self.windowId}_volume'
+        self.sub_plot_name = f'{self.windowId}_sub'
+
+        self.main_plot = None
+        self.volume_plot = None
+        self.sub_plot = None
+        if self.display_volume or self.display_sub:
+            self.add_plot(self.main_plot_name, hide_x_axis=True)  # 主图
+            self.add_item(CandleItem, "candle", self.main_plot_name)  # 往主图区域，加入
+            if self.display_volume:
+                self.add_plot(self.volume_plot_name, maximum_height=60)  # volume 附图
+                self.add_item(VolumeItem, "volume", self.volume_plot_name)
+                self.volume_plot = self.get_plot(self.volume_plot_name)
+            if self.display_sub:
+                self.add_plot(self.sub_plot_name, maximum_height=180)  # 附图
+                self.sub_plot = self.get_plot(self.sub_plot_name)
+
+        else:
+            self.add_plot(self.main_plot_name, hide_x_axis=False)  # 主图
+            self.add_item(CandleItem, "candle", self.main_plot_name)  # 往主图区域，加入
+        self.add_cursor()
+        self.main_plot = self.get_plot(self.main_plot_name)
+
+    def add_indicator(self, indicator: str, is_main: bool = True):
+        """
+        新增指标信号图
+        :param indicator: 指标/信号的名称，如ma10，
+        :param is_main: 是否为主图
+        :return:
+        """
+        if is_main:
+
+            if indicator in self.main_indicator_plots:
+                self.main_plot.removeItem(self.main_indicator_plots[indicator])  # 存在该指标/信号，先移除原有画布
+
+            self.main_indicator_plots[indicator] = self.main_plot.plot()  # 为该指标/信号，创建新的主图画布，登记字典
+            self.main_indicator_colors[indicator] = self.main_color_pool[0]  # 登记该指标/信号使用的颜色
+            self.main_color_pool.append(self.main_color_pool.popleft())  # 调整剩余颜色
+            if indicator not in self.main_indicator_data:
+                self.main_indicator_data[indicator] = []
+        else:
+            if indicator in self.sub_indicator_plots:
+                self.sub_plot.removeItem(self.sub_indicator_plots[indicator])  # 若存在该指标/信号，先移除原有的附图画布
+            self.sub_indicator_plots[indicator] = self.sub_plot.plot()  # 为该指标/信号，创建新的主图画布，登记字典
+            self.sub_indicator_colors[indicator] = self.sub_color_pool[0]  # 登记该指标/信号使用的颜色
+            self.sub_color_pool.append(self.sub_color_pool.popleft())  # 调整剩余颜色
+            if indicator not in self.sub_indicator_data:
+                self.sub_indicator_data[indicator] = []
+
+    def clear_indicator(self, main=True):
+        """清空指标图形"""
+        # 清空信号图
+        if main:
+            for indicator in self.main_indicator_plots:
+                self.main_plot.removeItem(self.main_indicator_plots[indicator])
+            self.main_indicator_data = {}
+            self.main_indicator_plots = {}
+        else:
+            for indicator in self.sub_indicator_plots:
+                self.sub_plot.removeItem(self.sub_indicator_plots[indicator])
+            self.sub_indicator_data = {}
+            self.sub_indicator_plots = {}
+
+    def plot_indicator(self, datas: dict, is_main=True, clear=False):
+        """
+        刷新指标/信号图( 新数据）
+        :param datas: 所有数据
+        :param is_main: 是否为主图
+        :param clear: 是否要清除旧数据
+        :return:
+        """
+        if clear:
+            self.clear_indicator(is_main)  # 清除主图/副图
+
+        if is_main:
+            for indicator in datas:
+                self.add_indicator(indicator, is_main)  # 逐一添加主图信号/指标
+                self.main_indicator_data[indicator] = datas[indicator]  # 更新组件数据字典
+                # 调用该信号/指标画布(plotDataItem.setData())，更新数据，更新画笔颜色，更新名称
+                self.main_indicator_plots[indicator].setData(datas[indicator],
+                                                             pen=self.main_indicator_colors[indicator][0],
+                                                             name=indicator)
+        else:
+            for indicator in datas:
+                self.add_indicator(indicator, is_main)  # 逐一增加子图指标/信号
+                self.sub_indicator_data[indicator] = datas[indicator]  # 更新组件数据字典
+                # 调用该信号/指标画布(plotDataItem.setData())，更新数据，更新画笔颜色，更新名称
+                self.sub_indicator_plots[indicator].setData(datas[indicator],
+                                                            pen=self.sub_indicator_colors[indicator][0], name=indicator)

vnpy/data/renko/config.py

@@ -3,5 +3,5 @@
 
 HEIGHT_LIST = [3, 5, 10, 'K3', 'K5', 'K10']
 
-FUTURE_RENKO_DB_NAME = 'FutureRenko_Db'
+FUTURE_RENKO_DB_NAME = 'FutureRenko'
-STOCK_RENKO_DB_NAME = 'StockRenko_Db'
+STOCK_RENKO_DB_NAME = 'StockRenko'

vnpy/gateway/ctp/ctp_gateway.py

@@ -144,7 +144,6 @@ OPTIONTYPE_CTP2VT = {
 
 MAX_FLOAT = sys.float_info.max
 
-
 symbol_exchange_map = {}
 symbol_name_map = {}
 symbol_size_map = {}
@@ -790,8 +789,14 @@ class CtpTdApi(TdApi):
         account.close_profit = data['CloseProfit']
         account.holding_profit = data['PositionProfit']
         account.trading_day = str(data['TradingDay'])
-        if '-' not in account.trading_day and len(account.trading_day)== 8:
+        if '-' not in account.trading_day and len(account.trading_day) == 8:
-            account.trading_day = account.trading_day[0:4] + '-' + account.trading_day[4:6] + '-' + account.trading_day[6:8]
+            account.trading_day = '-'.join(
+                [
+                    account.trading_day[0:4],
+                    account.trading_day[4:6],
+                    account.trading_day[6:8]
+                ]
+            )
 
         self.gateway.on_account(account)
 
@@ -1121,6 +1126,7 @@ def adjust_price(price: float) -> float:
         price = 0
     return price
 
+
 class TdxMdApi():
     """
     通达信数据行情API实现
@@ -1745,38 +1751,58 @@ class TickCombiner(object):
             self.gateway.on_tick(spread_tick)
 
         if self.is_ratio:
-            ratio_tick = TickData(gateway_name=self.gateway_name,
+            ratio_tick = TickData(
+                gateway_name=self.gateway_name,
                 symbol=self.symbol,
                 exchange=Exchange.SPD,
-                                  datetime=tick.datetime)
+                datetime=tick.datetime
+            )
 
             ratio_tick.trading_day = tick.trading_day
             ratio_tick.date = tick.date
             ratio_tick.time = tick.time
 
             # 比率tick
-            ratio_tick.ask_price_1 = round_to(target=self.price_tick,
+            ratio_tick.ask_price_1 = 100 * self.last_leg1_tick.ask_price_1 * self.leg1_ratio \
-                                              value=100 * self.last_leg1_tick.ask_price_1 * self.leg1_ratio / (
+                                     / (self.last_leg2_tick.bid_price_1 * self.leg2_ratio)  # noqa
-                                                      self.last_leg2_tick.bid_price_1 * self.leg2_ratio))
+            ratio_tick.ask_price_1 = round_to(
-            ratio_tick.ask_volume_1 = min(self.last_leg1_tick.ask_volume_1, self.last_leg2_tick.bid_volume_1)
+                target=self.price_tick,
+                value=ratio_tick.ask_price_1
+            )
+
+            ratio_tick.ask_volume_1 = min(self.last_leg1_tick.ask_volume_1, self.last_leg2_tick.bid_volume_1)
+            ratio_tick.bid_price_1 = 100 * self.last_leg1_tick.bid_price_1 * self.leg1_ratio \
+                                     / (self.last_leg2_tick.ask_price_1 * self.leg2_ratio)  # noqa
+            ratio_tick.bid_price_1 = round_to(
+                target=self.price_tick,
+                value=ratio_tick.bid_price_1
+            )
 
-            ratio_tick.bid_price_1 = round_to(target=self.price_tick,
-                                              value=100 * self.last_leg1_tick.bid_price_1 * self.leg1_ratio / (
-                                                      self.last_leg2_tick.ask_price_1 * self.leg2_ratio))
             ratio_tick.bid_volume_1 = min(self.last_leg1_tick.bid_volume_1, self.last_leg2_tick.ask_volume_1)
-            ratio_tick.lastPrice = round_to(target=self.price_tick,
+            ratio_tick.last_price = (ratio_tick.ask_price_1 + ratio_tick.bid_price_1) / 2
-                                            value=(ratio_tick.ask_price_1 + ratio_tick.bid_price_1) / 2)
+            ratio_tick.last_price = round_to(
+                target=self.price_tick,
+                value=ratio_tick.last_price
+            )
 
             # 昨收盘价
             if self.last_leg2_tick.pre_close > 0 and self.last_leg1_tick.pre_close > 0:
-                ratio_tick.pre_close = round_to(target=self.price_tick,
+                ratio_tick.pre_close = 100 * self.last_leg1_tick.pre_close * self.leg1_ratio / (
-                                                value=100 * self.last_leg1_tick.pre_close * self.leg1_ratio / (
+                            self.last_leg2_tick.pre_close * self.leg2_ratio)  # noqa
-                                                        self.last_leg2_tick.pre_close * self.leg2_ratio))
+                ratio_tick.pre_close = round_to(
+                    target=self.price_tick,
+                    value=ratio_tick.pre_close
+                )
+
             # 开盘价
             if self.last_leg2_tick.open_price > 0 and self.last_leg1_tick.open_price > 0:
-                ratio_tick.open_price = round_to(target=self.price_tick,
+                ratio_tick.open_price = 100 * self.last_leg1_tick.open_price * self.leg1_ratio / (
-                                                 value=100 * self.last_leg1_tick.open_price * self.leg1_ratio / (
+                            self.last_leg2_tick.open_price * self.leg2_ratio)  # noqa
-                                                         self.last_leg2_tick.open_price * self.leg2_ratio))
+                ratio_tick.open_price = round_to(
+                    target=self.price_tick,
+                    value=ratio_tick.open_price
+                )
+
             # 最高价
             if self.ratio_high:
                 self.ratio_high = max(self.ratio_high, ratio_tick.ask_price_1)

vnpy/task/celery_app.py

@@ -40,7 +40,7 @@ print(u'Celery 使用redis配置:\nbroker:{}\nbackend:{}'.format(broker, backend
 app = Celery('vnpy_task', broker=broker)
 
 # 动态导入task目录下子任务
-app.conf.CELERY_IMPORTS = ['vnpy.task.celery_app.worker_started']
+# app.conf.CELERY_IMPORTS = ['vnpy.task.celery_app.worker_started']
 
 
 def worker_started():

vnpy/task/celery_config.json

@@ -1,4 +1,4 @@
 {
-  "celery_broker": "amqp://admin:admin@192.168.0.202:5672//",
+  "celery_broker": "amqp://admin:admin@127.0.0.1:5672//",
-  "celery_backend": "amqp://admin:admin@192.168.0.202:5672//"
+  "celery_backend": "amqp://admin:admin@127.0.0.1:5672//"
 }

vnpy/trader/ui/widget.py

@@ -24,7 +24,6 @@ from ..object import OrderRequest, SubscribeRequest
 from ..utility import load_json, save_json
 from ..setting import SETTING_FILENAME, SETTINGS
 
-
 COLOR_LONG = QtGui.QColor("red")
 COLOR_SHORT = QtGui.QColor("green")
 COLOR_BID = QtGui.QColor(255, 174, 201)
@@ -640,7 +639,7 @@ class TradingWidget(QtWidgets.QWidget):
         form1.addRow("方向", self.direction_combo)
         form1.addRow("开平", self.offset_combo)
         form1.addRow("类型", self.order_type_combo)
-        form1.addRow( self.checkFixed, self.price_line)
+        form1.addRow(self.checkFixed, self.price_line)
         form1.addRow("数量", self.volume_line)
         form1.addRow("接口", self.gateway_combo)
         form1.addRow(send_button)
@@ -899,8 +898,6 @@ class TradingWidget(QtWidgets.QWidget):
         except Exception as ex:
             self.main_engine.write_log(u'tradingWg.autoFillSymbol exception:{}'.format(str(ex)))
 
-
-    #----------------------------------------------------------------------
     def close_position(self, cell):
         """根据持仓信息自动填写交易组件"""
         try:
@@ -926,13 +923,14 @@ class TradingWidget(QtWidgets.QWidget):
             self.volume_line.setText(str(pos.volume))
 
             if pos.direction in [Direction.LONG, Direction.NET]:
-                self.direction_combo.setCurrentText(Direction.SHORT)
+                self.direction_combo.setCurrentText(Direction.SHORT.value)
             else:
-                self.direction_combo.setCurrentText(Direction.LONG)
+                self.direction_combo.setCurrentText(Direction.LONG.value)
 
         except Exception as ex:
             self.main_engine.write_log(u'tradingWg.closePosition exception:{}'.format(str(ex)))
 
+
 class ActiveOrderMonitor(OrderMonitor):
     """
     Monitor which shows active order only.

vnpy/trader/utility.py

@@ -612,6 +612,7 @@ def display_dual_axis(df, columns1, columns2=[], invert_yaxis1=False, invert_yax
     else:
         plt.show()
 
+
 class BarGenerator:
     """
     For:
@@ -1225,7 +1226,7 @@ def get_bars(csv_file: str,
              symbol: str,
              exchange: Exchange,
              start_date: datetime = None,
-             end_date: datetime = None,):
+             end_date: datetime = None, ):
     """
     获取bar
     数据存储目录: 项目/bar_data

win_clean_celery_jobs.bat

@@ -0,0 +1 @@
+celery -A vnpy.task.celery_app purge

win_start_celery_worker.bat

@@ -0,0 +1 @@
+celery worker -c 2 -A vnpy.task.celery_app  -P eventlet -l debug -f celery.log