增加CTA引擎内部对于上期所自动区分平今平昨的功能

vn.trader/ctaAlgo/ctaEngine.py

@@ -2,6 +2,18 @@
 
 '''
 本文件中实现了CTA策略引擎，针对CTA类型的策略，抽象简化了部分底层接口的功能。
+
+关于平今和平昨规则：
+1. 普通的平仓OFFSET_CLOSET等于平昨OFFSET_CLOSEYESTERDAY
+2. 只有上期所的品种需要考虑平今和平昨的区别
+3. 当上期所的期货有今仓时，调用Sell和Cover会使用OFFSET_CLOSETODAY，否则
+   会使用OFFSET_CLOSE
+4. 以上设计意味着如果Sell和Cover的数量超过今日持仓量时，会导致出错（即用户
+   希望通过一个指令同时平今和平昨）
+5. 采用以上设计的原因是考虑到vn.trader的用户主要是对TB、MC和金字塔类的平台
+   感到功能不足的用户（即希望更高频的交易），交易策略不应该出现4中所述的情况
+6. 对于想要实现4中所述情况的用户，需要实现一个策略信号引擎和交易委托引擎分开
+   的定制化统结构（没错，得自己写）
 '''
 
 import json
@@ -54,6 +66,10 @@ class CtaEngine(object):
         self.stopOrderDict = {}             # 停止单撤销后不会从本字典中删除
         self.workingStopOrderDict = {}      # 停止单撤销后会从本字典中删除
         
+        # 持仓缓存字典
+        # key为vtSymbol，value为PositionBuffer对象
+        self.posBufferDict = {}
+        
         # 注册事件监听
         self.registerEvent()
  
@@ -78,15 +94,48 @@ class CtaEngine(object):
         if orderType == CTAORDER_BUY:
             req.direction = DIRECTION_LONG
             req.offset = OFFSET_OPEN
+            
         elif orderType == CTAORDER_SELL:
             req.direction = DIRECTION_SHORT
-            req.offset = OFFSET_CLOSE
+            
+            # 只有上期所才要考虑平今平昨
+            if contract.exchange != EXCHANGE_SHFE:
+                req.offset = OFFSET_CLOSE
+            else:
+                # 获取持仓缓存数据
+                posBuffer = self.posBufferDict.get(vtSymbol, None)
+                # 如果获取持仓缓存失败，则默认平昨
+                if not posBuffer:
+                    req.offset = OFFSET_CLOSE
+                # 否则如果有多头今仓，则使用平今
+                elif posBuffer.longToday:
+                    req.offset= OFFSET_CLOSETODAY
+                # 其他情况使用平昨
+                else:
+                    req.offset = OFFSET_CLOSE
+                
         elif orderType == CTAORDER_SHORT:
             req.direction = DIRECTION_SHORT
             req.offset = OFFSET_OPEN
+            
         elif orderType == CTAORDER_COVER:
             req.direction = DIRECTION_LONG
-            req.offset = OFFSET_CLOSE
+            
+            # 只有上期所才要考虑平今平昨
+            if contract.exchange != EXCHANGE_SHFE:
+                req.offset = OFFSET_CLOSE
+            else:
+                # 获取持仓缓存数据
+                posBuffer = self.posBufferDict.get(vtSymbol, None)
+                # 如果获取持仓缓存失败，则默认平昨
+                if not posBuffer:
+                    req.offset = OFFSET_CLOSE
+                # 否则如果有空头今仓，则使用平今
+                elif posBuffer.shortToday:
+                    req.offset= OFFSET_CLOSETODAY
+                # 其他情况使用平昨
+                else:
+                    req.offset = OFFSET_CLOSE
         
         vtOrderID = self.mainEngine.sendOrder(req, contract.gatewayName)    # 发单
         self.orderStrategyDict[vtOrderID] = strategy        # 保存vtOrderID和策略的映射关系
@@ -229,6 +278,29 @@ class CtaEngine(object):
                 strategy.pos -= trade.volume
             
             strategy.onTrade(trade)
+            
+        # 更新持仓缓存数据
+        if trade.vtSymbol in self.tickStrategyDict:
+            posBuffer = self.posBufferDict.get(trade.vtSymbol, None)
+            if not posBuffer:
+                posBuffer = PositionBuffer()
+                posBuffer.vtSymbol = trade.vtSymbol
+                self.posBufferDict[trade.vtSymbol] = posBuffer
+            posBuffer.updateTradeData(trade)            
+            
+    #----------------------------------------------------------------------
+    def processPositionEvent(self, event):
+        """处理持仓推送"""
+        pos = event.dict_['data']
+        
+        # 更新持仓缓存数据
+        if pos.vtSymbol in self.tickStrategyDict:
+            posBuffer = self.posBufferDict.get(pos.vtSymbol, None)
+            if not posBuffer:
+                posBuffer = PositionBuffer()
+                posBuffer.vtSymbol = pos.vtSymbol
+                self.posBufferDict[pos.vtSymbol] = posBuffer
+            posBuffer.updatePositionData(pos)
     
     #----------------------------------------------------------------------
     def registerEvent(self):
@@ -236,6 +308,7 @@ class CtaEngine(object):
         self.eventEngine.register(EVENT_TICK, self.procecssTickEvent)
         self.eventEngine.register(EVENT_ORDER, self.processOrderEvent)
         self.eventEngine.register(EVENT_TRADE, self.processTradeEvent)
+        self.eventEngine.register(EVENT_POSITION, self.processPositionEvent)
  
     #----------------------------------------------------------------------
     def insertData(self, dbName, collectionName, data):
@@ -442,4 +515,67 @@ class CtaEngine(object):
         
 
 
+########################################################################
+class PositionBuffer(object):
+    """持仓缓存信息（本地维护的持仓数据）"""
+
+    #----------------------------------------------------------------------
+    def __init__(self):
+        """Constructor"""
+        self.vtSymbol = EMPTY_STRING
+        
+        # 多头
+        self.longPosition = EMPTY_INT
+        self.longToday = EMPTY_INT
+        self.longYd = EMPTY_INT
+        
+        # 空头
+        self.shortPosition = EMPTY_INT
+        self.shortToday = EMPTY_INT
+        self.shortYd = EMPTY_INT
+        
+    #----------------------------------------------------------------------
+    def updatePositionData(self, pos):
+        """更新持仓数据"""
+        if pos.direction == DIRECTION_LONG:
+            self.longPosition = pos.position
+            self.longYd = pos.ydPosition
+            self.longToday = self.longPosition - self.longYd
+        else:
+            self.shortPosition = pos.position
+            self.shortYd = pos.ydPosition
+            self.shortToday = self.shortPosition - self.shortYd
+    
+    #----------------------------------------------------------------------
+    def updateTradeData(self, trade):
+        """更新成交数据"""
+        if trade.direction == DIRECTION_LONG:
+            # 多方开仓，则对应多头的持仓和今仓增加
+            if trade.offset == OFFSET_OPEN:
+                self.longPosition += trade.volume
+                self.longToday += trade.volume
+            # 多方平今，对应空头的持仓和今仓减少
+            elif trade.offset == OFFSET_CLOSETODAY:
+                self.shortPosition -= trade.volume
+                self.shortToday -= trade.volume
+            # 多方平昨，对应空头的持仓和昨仓减少
+            else:
+                self.shortPosition -= trade.volume
+                self.shortYd -= trade.volume
+        else:
+            # 空头和多头相同
+            if trade.offset == OFFSET_OPEN:
+                self.shortPosition += trade.volume
+                self.shortToday += trade.volume
+            elif trade.offset == OFFSET_CLOSETODAY:
+                self.longPosition -= trade.volume
+                self.longToday -= trade.volume
+            else:
+                self.longPosition -= trade.volume
+                self.longYd -= trade.volume
+        
+        
+    
+    
+