Merge pull request #1767 from 1122455801/stop_algo_01

[Add] DMA algo

vnpy/app/algo_trading/algos/dma_algo.py

@@ -0,0 +1,99 @@
+from vnpy.trader.constant import Offset, Direction, OrderType
+from vnpy.trader.object import TradeData, OrderData, TickData
+from vnpy.trader.engine import BaseEngine
+
+from vnpy.app.algo_trading import AlgoTemplate
+
+
+class DmaAlgo(AlgoTemplate):
+    """"""
+
+    display_name = "DMA 直接委托"
+
+    default_setting = {
+        "vt_symbol": "",
+        "direction": [Direction.LONG.value, Direction.SHORT.value],
+        "order_type": [
+            OrderType.MARKET.value, 
+            OrderType.LIMIT.value,
+            OrderType.STOP.value,
+            OrderType.FAK.value,
+            OrderType.FOK.value
+        ],
+        "price": 0.0,
+        "volume": 0.0,
+        "offset": [
+            Offset.NONE.value,
+            Offset.OPEN.value,
+            Offset.CLOSE.value,
+            Offset.CLOSETODAY.value,
+            Offset.CLOSEYESTERDAY.value
+        ]
+    }
+
+    variables = [
+        "traded",
+        "vt_orderid",
+        "order_status",
+    ]
+
+    def __init__(
+        self,
+        algo_engine: BaseEngine,
+        algo_name: str,
+        setting: dict
+    ):
+        """"""
+        super().__init__(algo_engine, algo_name, setting)
+
+        # Parameters
+        self.vt_symbol = setting["vt_symbol"]
+        self.direction = Direction(setting["direction"])
+        self.order_type = OrderType(setting["order_type"])
+        self.price = setting["price"]
+        self.volume = setting["volume"]
+        self.offset = Offset(setting["offset"])
+
+        # Variables
+        self.vt_orderid = ""
+        self.traded = 0
+        self.order_status = ""
+
+        self.subscribe(self.vt_symbol)
+        self.put_parameters_event()
+        self.put_variables_event()
+
+    def on_tick(self, tick: TickData):
+        """"""
+        if not self.vt_orderid:
+            if self.direction == Direction.LONG:
+                self.vt_orderid = self.buy(
+                    self.vt_symbol,
+                    self.price,
+                    self.volume,
+                    self.order_type,
+                    self.offset
+                )
+                
+            else:
+                self.vt_orderid = self.sell(
+                    self.vt_symbol,
+                    self.price,
+                    self.volume,
+                    self.order_type,
+                    self.offset
+                )
+        self.put_variables_event()
+
+    def on_order(self, order: OrderData):
+        """"""
+        self.traded = order.traded
+        self.order_status = order.status
+
+        if not order.is_active():
+            self.stop()
+        self.put_variables_event()
+
+    def on_trade(self, trade: TradeData):
+        """"""
+        pass   

vnpy/app/algo_trading/algos/stop_algo.py

@@ -85,7 +85,7 @@ class StopAlgo(AlgoTemplate):
                 if tick.limit_down:
                     price = max(price, tick.limit_down)
 
-                self.vt_orderid = self.buy(
+                self.vt_orderid = self.sell(
                     self.vt_symbol,
                     price,
                     self.volume,

vnpy/app/algo_trading/engine.py

@@ -49,6 +49,7 @@ class AlgoEngine(BaseEngine):
         from .algos.stop_algo import StopAlgo
         from .algos.best_limit_algo import BestLimitAlgo
         from .algos.grid_algo import GridAlgo
+        from .algos.dma_algo import DmaAlgo
 
         self.add_algo_template(TwapAlgo)
         self.add_algo_template(IcebergAlgo)
@@ -56,6 +57,7 @@ class AlgoEngine(BaseEngine):
         self.add_algo_template(StopAlgo)
         self.add_algo_template(BestLimitAlgo)
         self.add_algo_template(GridAlgo)
+        self.add_algo_template(DmaAlgo)
 
     def add_algo_template(self, template: AlgoTemplate):
         """"""