[增强] 账号/策略仓位比对，市价单委托

vnpy/app/cta_crypto/template.py

@@ -449,7 +449,15 @@ class CtaFutureTemplate(CtaTemplate):
         self.policy = None  # 事务执行组件
         self.gt = None  # 网格交易组件
         self.klines = {}  # K线组件字典: kline_name: kline
+
+        self.price_tick = 1  # 商品的最小价格跳动
+        self.symbol_size = 10  # 商品得合约乘数
+        self.margin_rate = 0.1  # 商品的保证金
+        self.volumn_tick = 1  # 商品最小成交数量
+        self.cancel_seconds = 120  # 撤单时间(秒)
         self.activate_market = False
+        self.order_type = OrderType.LIMIT
+        self.backtesting = False
 
         self.cur_datetime: datetime = None  # 当前Tick时间
         self.cur_tick: TickData = None  # 最新的合约tick( vt_symbol)
@@ -488,6 +496,10 @@ class CtaFutureTemplate(CtaTemplate):
         if self.activate_market:
             self.write_log(f'{self.strategy_name}使用市价单委托方式')
             self.order_type = OrderType.MARKET
+        else:
+            if not self.backtesting:
+                self.cancel_seconds = 10
+                self.write_log(f'实盘撤单时间10秒')
 
     def sync_data(self):
         """同步更新数据"""
@@ -789,6 +801,9 @@ class CtaFutureTemplate(CtaTemplate):
                 if order.offset != Offset.OPEN:
                     grid.open_status = False
                     grid.close_status = True
+                    if grid.volume < order.traded:
+                        self.write_log(f'网格平仓数量{grid.volume}，小于委托单成交数量:{order.volume}，修正为:{order.volume}')
+                        grid.volume = order.traded
 
                     self.write_log(f'{grid.direction.value}单已平仓完毕,order_price:{order.price}'
                                    + f',volume:{order.volume}')
@@ -847,7 +862,7 @@ class CtaFutureTemplate(CtaTemplate):
                 pre_traded_volume = grid.traded_volume
                 grid.traded_volume = round(grid.traded_volume + order.traded, 7)
                 self.write_log(f'撤单中部分开仓:{order.traded} + 原已成交:{pre_traded_volume}  => {grid.traded_volume}')
-            if len(grid.order_ids):
+            if len(grid.order_ids)==0:
                 grid.order_status = False
                 if grid.traded_volume > 0:
                     pre_volume = grid.volume
@@ -953,9 +968,13 @@ class CtaFutureTemplate(CtaTemplate):
         事务开多仓
         :return:
         """
+        if self.backtesting:
+            buy_price = self.cur_price + self.price_tick
+        else:
+            buy_price = self.cur_tick.ask_price_1
 
         vt_orderids = self.buy(vt_symbol=self.vt_symbol,
-                               price=self.cur_price,
+                               price=buy_price,
                                volume=grid.volume,
                                order_type=self.order_type,
                                order_time=self.cur_datetime,
@@ -976,15 +995,18 @@ class CtaFutureTemplate(CtaTemplate):
         事务开空仓
         :return:
         """
-
+        if self.backtesting:
+            short_price = self.cur_price - self.price_tick
+        else:
+            short_price = self.cur_tick.bid_price_1
         vt_orderids = self.short(vt_symbol=self.vt_symbol,
-                                 price=self.cur_price,
+                                 price=short_price,
                                  volume=grid.volume,
                                  order_type=self.order_type,
                                  order_time=self.cur_datetime,
                                  grid=grid)
         if len(vt_orderids) > 0:
-            self.write_log(u'创建{}事务空单,指数开空价：{}，主力开仓价:{},数量：{}，止盈价:{},止损价:{}'
+            self.write_log(u'创建{}事务空单,事务开空价：{}，当前价:{},数量：{}，止盈价:{},止损价:{}'
                            .format(grid.type, grid.open_price, self.cur_price, grid.volume, grid.close_price,
                                    grid.stop_price))
             self.gt.up_grids.append(grid)
@@ -1154,6 +1176,8 @@ class CtaFutureTemplate(CtaTemplate):
                         self.write_log(u'撤单失败,更新状态为撤单成功')
                         order_info.update({'status': Status.CANCELLED})
                         self.active_orders.update({vt_orderid: order_info})
+                        if order_grid and vt_orderid in order_grid.order_ids:
+                            order_grid.order_ids.remove(vt_orderid)
 
                 continue
 
@@ -1272,13 +1296,40 @@ class CtaFutureTemplate(CtaTemplate):
         self.account_pos = self.cta_engine.get_position(vt_symbol=self.vt_symbol, direction=Direction.NET)
         if self.account_pos:
             self.write_log(f'账号{self.vt_symbol}持仓:{self.account_pos.volume}, 冻结:{self.account_pos.frozen}, 盈亏:{self.account_pos.pnl}')
-        up_grids_info = self.gt.to_str(direction=Direction.SHORT)
-        if len(self.gt.up_grids) > 0:
-            self.write_log(up_grids_info)
 
-        dn_grids_info = self.gt.to_str(direction=Direction.LONG)
-        if len(self.gt.dn_grids) > 0:
-            self.write_log(dn_grids_info)
+        up_grids_info = ""
+        for grid in list(self.gt.up_grids):
+            if not grid.open_status and grid.order_status:
+                up_grids_info += f'平空中: [已平:{grid.traded_volume} => 目标:{grid.volume}, 委托时间:{grid.order_time}\n'
+                if len(grid.order_ids) > 0:
+                    up_grids_info += f'委托单号:{grid.order_ids}'
+                continue
+
+            if grid.open_status and not grid.order_status:
+                up_grids_info += f'持空中: [数量:{grid.volume}\n, 开仓时间:{grid.open_time}'
+                continue
+
+            if not grid.open_status and grid.order_status:
+                up_grids_info += f'开空中: [已开:{grid.traded_volume} => 目标:{grid.volume}, 委托时间:{grid.order_time}\n'
+                if len(grid.order_ids) > 0:
+                    up_grids_info += f'委托单号:{grid.order_ids}'
+
+        dn_grids_info = ""
+        for grid in list(self.gt.dn_grids):
+            if not grid.open_status and grid.order_status:
+                up_grids_info += f'平多中: [已平:{grid.traded_volume} => 目标:{grid.volume}, 委托时间:{grid.order_time}\n'
+                if len(grid.order_ids) > 0:
+                    up_grids_info += f'委托单号:{grid.order_ids}'
+                continue
+
+            if grid.open_status and not grid.order_status:
+                up_grids_info += f'持多中: [数量:{grid.volume}\n, 开仓时间:{grid.open_time}'
+                continue
+
+            if not grid.open_status and grid.order_status:
+                up_grids_info += f'开多中: [已开:{grid.traded_volume} => 目标:{grid.volume}, 委托时间:{grid.order_time}\n'
+                if len(grid.order_ids) > 0:
+                    up_grids_info += f'委托单号:{grid.order_ids}'
 
     def display_tns(self):
         """显示事务的过程记录=》 log"""

vnpy/app/dispatch/dispatch_engine.py

@@ -4,9 +4,9 @@
 
 # 华富资产
 from vnpy.event import EventEngine
-from vnpy.trader.constant import Exchange
+from vnpy.trader.constant import Exchange  # noqa
 from vnpy.trader.engine import BaseEngine, MainEngine
-from vnpy.trader.event import EVENT_TIMER
+from vnpy.trader.event import EVENT_TIMER  # noqa
 
 APP_NAME = 'DispatchEngine'
 
@@ -20,4 +20,3 @@ class DispatchEngine(BaseEngine):
         self.main_engine = main_engine
         self.event_engine = event_engine
         self.create_logger(logger_name=APP_NAME)
-

vnpy/component/cta_grid_trade.py

@@ -38,7 +38,7 @@ class CtaGrid(object):
     包括交易方向，开仓价格，平仓价格，止损价格，开仓状态，平仓状态
     """
 
-    def __init__(self, **kwargs ):
+    def __init__(self, **kwargs):
 
         self.id: str = kwargs.get('id', str(uuid.uuid1()))  # gid
         self.direction = kwargs.get('direction', None)  # 交易方向（LONG：多，正套；SHORT：空，反套）
@@ -51,7 +51,7 @@ class CtaGrid(object):
         self.volume = kwargs.get('volume', 0.0)  # 开仓数量( 兼容数字货币 )
         self.traded_volume = kwargs.get('traded_volume', 0.0)  # 已成交数量 开仓时，为开仓数量，平仓时，为平仓数量
         self.order_status = kwargs.get('order_status', False)  # 挂单状态: True,已挂单，False，未挂单
-        self.order_ids = kwargs.get('order_ids',[])  # order_id list
+        self.order_ids = kwargs.get('order_ids', [])  # order_id list
         self.open_status = kwargs.get('open_status', False)  # 开仓状态
         self.close_status = kwargs.get('close_status', False)  # 平仓状态
         self.open_time = kwargs.get('open_time', None)  # 开仓时间
@@ -59,7 +59,7 @@ class CtaGrid(object):
         self.lock_grid_ids = kwargs.get('lock_grid_ids', [])  # 锁单的网格，[gid,gid]
         self.reuse_count = kwargs.get('reuse_count', 0)  # 重用次数（0， 平仓后是否删除）
         self.type = kwargs.get('type', '')  # 网格类型标签
-        self.snapshot = kwargs.get('snapshot',{})  # 切片数据，如记录开仓点时的某些状态数据
+        self.snapshot = kwargs.get('snapshot', {})  # 切片数据，如记录开仓点时的某些状态数据
 
     def to_json(self):
         """输出JSON"""

vnpy/component/cta_line_bar.py

@@ -209,7 +209,7 @@ class CtaLineBar(object):
             if self.price_tick < 1:
                 exponent = decimal.Decimal(str(self.price_tick))
                 self.round_n = max(abs(exponent.as_tuple().exponent) + 2, 4)
-
+                self.write_log(f'round_n: {self.round_n}')
             # 导入卡尔曼过滤器
             if self.para_active_kf:
                 try:
@@ -298,6 +298,8 @@ class CtaLineBar(object):
         self.paramList.append('para_bias2_len')
         self.paramList.append('para_bias3_len')
 
+        self.paramList.append('para_bd_len')
+
         self.paramList.append('is_7x24')
 
         self.paramList.append('price_tick')
@@ -409,6 +411,8 @@ class CtaLineBar(object):
         self.para_bias2_len = 0  # 乖离率观测周期2
         self.para_bias3_len = 0  # 乖离率观测周期3
 
+        self.para_bd_len = 0   # 波段买卖观测长度
+
         # K 线的相关计算结果数据
         self.line_pre_high = []  # K线的前para_pre_len的的最高
         self.line_pre_low = []  # K线的前para_pre_len的的最低
@@ -628,6 +632,11 @@ class CtaLineBar(object):
         self._rt_bias2 = None
         self._rt_bias3 = None
 
+        # 波段买卖指标
+        self.line_bd_fast = []  # 波段快线
+        self.line_bd_slow = []  # 波段慢线
+        self.cur_bd_cross = 0  # 当前波段快线慢线金叉死叉， +金叉计算， - 死叉技术
+
     def set_params(self, setting: dict = {}):
         """设置参数"""
         d = self.__dict__
@@ -800,6 +809,7 @@ class CtaLineBar(object):
         self.__count_golden_section()
         self.__count_area(bar)
         self.__count_bias()
+        self.__count_bd()
         self.export_to_csv(bar)
 
         self.rt_executed = False
@@ -1370,7 +1380,7 @@ class CtaLineBar(object):
             count_len = min(self.para_ma1_len, self.bar_len)
 
             barMa1 = ta.MA(self.close_array[-count_len:], count_len)[-1]
-            barMa1 = round(float(barMa1), self.round_n)
+            barMa1 = round(barMa1, self.round_n)
 
             if len(self.line_ma1) > self.max_hold_bars:
                 del self.line_ma1[0]
@@ -1388,7 +1398,7 @@ class CtaLineBar(object):
         if self.para_ma2_len > 0:
             count_len = min(self.para_ma2_len, self.bar_len)
             barMa2 = ta.MA(self.close_array[-count_len:], count_len)[-1]
-            barMa2 = round(float(barMa2), self.round_n)
+            barMa2 = round(barMa2, self.round_n)
 
             if len(self.line_ma2) > self.max_hold_bars:
                 del self.line_ma2[0]
@@ -1406,7 +1416,7 @@ class CtaLineBar(object):
         if self.para_ma3_len > 0:
             count_len = min(self.para_ma3_len, self.bar_len)
             barMa3 = ta.MA(self.close_array[-count_len:], count_len)[-1]
-            barMa3 = round(float(barMa3), self.round_n)
+            barMa3 = round(barMa3, self.round_n)
 
             if len(self.line_ma3) > self.max_hold_bars:
                 del self.line_ma3[0]
@@ -1508,7 +1518,7 @@ class CtaLineBar(object):
             if count_len > 0:
                 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)
+                self._rt_ma1 = round(close_ma_array[-1], self.round_n)
 
                 # 计算斜率
                 if len(close_ma_array) > 2 and close_ma_array[-2] != 0:
@@ -1520,7 +1530,7 @@ class CtaLineBar(object):
             if count_len > 0:
                 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)
+                self._rt_ma2 = round(close_ma_array[-1], self.round_n)
 
                 # 计算斜率
                 if len(close_ma_array) > 2 and close_ma_array[-2] != 0:
@@ -1532,7 +1542,7 @@ class CtaLineBar(object):
             if count_len > 0:
                 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)
+                self._rt_ma3 = round(close_ma_array[-1], self.round_n)
 
                 # 计算斜率
                 if len(close_ma_array) > 2 and close_ma_array[-2] != 0:
@@ -3985,10 +3995,49 @@ class CtaLineBar(object):
             return self.line_bias3[-1]
         return self._rt_bias3
 
+    def __count_bd(self):
+        """计算波段快/慢线"""
+        #
+        if self.para_bd_len <= 0:
+            # 不计算
+            return
+
+        if len(self.line_bar) < 2 * self.para_bd_len:
+            return
+
+        mid4_ema_array = ta.EMA(self.mid4_array, self.para_bd_len)
+
+        mid4_std = np.std(self.mid4_array[-self.para_bd_len:], ddof=1)
+
+        mid4_ema_diff_array = self.mid4_array - mid4_ema_array
+        var5_array = (mid4_ema_diff_array / mid4_std * 100 + 200) / 4
+        var6_array = (ta.EMA(var5_array, 5) - 25) * 1.56
+        fast_array = ta.EMA(var6_array, 2) * 1.22
+        slow_array = ta.EMA(fast_array, 2)
+
+        # 快线/慢线最后记录，追加到line_bd_fast/ list_bd_slow中
+        if len(self.line_bd_fast) > self.max_hold_bars:
+            self.line_bd_fast.pop(0)
+        if not np.isnan(fast_array[-1]):
+            self.line_bd_fast.append(fast_array[-1])
+
+        if len(self.line_bd_slow) > self.max_hold_bars:
+            self.line_bd_slow.pop(0)
+        if not np.isnan(slow_array[-1]):
+            self.line_bd_slow.append(slow_array[-1])
+
+        # 判断金叉/死叉
+        if len(self.line_bd_fast) > 2 and len(self.line_bd_slow) > 2:
+            if self.line_bd_fast[-1] > self.line_bd_slow[-1]:
+                self.cur_bd_cross = max(1, self.cur_bd_cross + 1)
+            elif self.line_bd_fast[-1] < self.line_bd_slow[-1]:
+                self.cur_bd_cross = min(-1, self.cur_bd_cross -1)
+
     def write_log(self, content):
         """记录CTA日志"""
         self.strategy.write_log(u'[' + self.name + u']' + content)
 
+
     def append_data(self, file_name, dict_data, field_names=None):
         """
         添加数据到csv文件中

vnpy/gateway/binancef/binancef_gateway.py

@@ -142,6 +142,7 @@ class BinancefGateway(BaseGateway):
     def cancel_order(self, req: CancelRequest) -> Request:
         """"""
         self.rest_api.cancel_order(req)
+        return True
 
     def query_account(self) -> None:
         """"""
@@ -397,7 +398,7 @@ class BinancefRestApi(RestClient):
             self.gateway_name
         )
         self.orders.update({orderid: copy(order)})
-        self.gateway.write_log(f'返回订单更新:{order.__dict__}')
+        self.gateway.write_log(f'委托返回订单更新:{order.__dict__}')
         self.gateway.on_order(order)
 
         data = {
@@ -861,7 +862,7 @@ class BinancefTradeWebsocketApi(WebsocketClient):
 
     def on_order(self, packet: dict) -> None:
         """ws处理on_order事件"""
-        self.gateway.write_log(json.dumps(packet, indent=2))
+        self.gateway.write_log('ws返回订单更新:\n'.format(json.dumps(packet, indent=2)))
         dt = datetime.fromtimestamp(packet["E"] / 1000)
         time = dt.strftime("%Y-%m-%d %H:%M:%S")
 
@@ -891,12 +892,12 @@ class BinancefTradeWebsocketApi(WebsocketClient):
                 time=time,
                 gateway_name=self.gateway_name
             )
-        self.gateway.write_log(f'WS返回订单更新:{order.__dict__}')
+        self.gateway.write_log(f'WS订单更新:\n{order.__dict__}')
         self.gateway.on_order(order)
 
         # Push trade event
         trade_volume = float(ord_data["l"])
-        if not trade_volume:
+        if trade_volume <= 0:
             return
 
         trade_dt = datetime.fromtimestamp(ord_data["T"] / 1000)
@@ -915,6 +916,7 @@ class BinancefTradeWebsocketApi(WebsocketClient):
             datetime=trade_time,
             gateway_name=self.gateway_name,
         )
+        self.gateway.write_log(f'WS成交更新:\n{trade.__dict__}')
         self.gateway.on_trade(trade)
 
 

vnpy/gateway/ctp/ctp_gateway.py

@@ -703,7 +703,6 @@ class CtpTdApi(TdApi):
         if data["OrderPriceType"] == THOST_FTDC_OPT_AnyPrice:
             order_type = OrderType.MARKET
 
-
         order = OrderData(
             symbol=symbol,
             exchange=exchange,
@@ -1287,7 +1286,8 @@ class TdxMdApi():
                 else:
                     self.gateway.write_log(u'创建tdx连接, IP: {}/{}'.format(self.best_ip['ip'], self.best_ip['port']))
                     self.connection_status = True
-                    self.gateway.status.update({'tdx_con': True, 'tdx_con_time': datetime.now().strftime('%Y-%m-%d %H:%M%S')})
+                    self.gateway.status.update(
+                        {'tdx_con': True, 'tdx_con_time': datetime.now().strftime('%Y-%m-%d %H:%M%S')})
                     self.thread = Thread(target=self.run)
                     self.thread.start()
 
@@ -1824,7 +1824,7 @@ class TickCombiner(object):
             # 昨收盘价
             if self.last_leg2_tick.pre_close > 0 and self.last_leg1_tick.pre_close > 0:
                 ratio_tick.pre_close = 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)  # noqa
                 ratio_tick.pre_close = round_to(
                     target=self.price_tick,
                     value=ratio_tick.pre_close
@@ -1833,7 +1833,7 @@ class TickCombiner(object):
             # 开盘价
             if self.last_leg2_tick.open_price > 0 and self.last_leg1_tick.open_price > 0:
                 ratio_tick.open_price = 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)  # noqa
                 ratio_tick.open_price = round_to(
                     target=self.price_tick,
                     value=ratio_tick.open_price

vnpy/trader/utility.py

@@ -333,7 +333,7 @@ def get_csv_last_dt(file_name, dt_index=0, dt_format='%Y-%m-%d %H:%M:%S', line_l
                 try:
                     last_dt = datetime.strptime(datas[dt_index], dt_format)
                     return last_dt
-                except:
+                except: # noqa
                     return None
         return None