From f3a1fa13e3e8a3001920829fac0361859beed1ec Mon Sep 17 00:00:00 2001 From: msincenselee Date: Mon, 6 Apr 2020 21:24:23 +0800 Subject: [PATCH] =?UTF-8?q?[=E5=A2=9E=E5=BC=BA]=20=E8=B4=A6=E5=8F=B7/?= =?UTF-8?q?=E7=AD=96=E7=95=A5=E4=BB=93=E4=BD=8D=E6=AF=94=E5=AF=B9=EF=BC=8C?= =?UTF-8?q?=E5=B8=82=E4=BB=B7=E5=8D=95=E5=A7=94=E6=89=98?= MIME-Version: 1.0 Content-Type: text/plain; charset=UTF-8 Content-Transfer-Encoding: 8bit --- vnpy/app/cta_crypto/template.py | 73 +++++++++++++++++++---- vnpy/app/dispatch/dispatch_engine.py | 5 +- vnpy/component/cta_grid_trade.py | 6 +- vnpy/component/cta_line_bar.py | 63 ++++++++++++++++--- vnpy/gateway/binancef/binancef_gateway.py | 10 ++-- vnpy/gateway/ctp/ctp_gateway.py | 8 +-- vnpy/trader/utility.py | 2 +- 7 files changed, 134 insertions(+), 33 deletions(-) diff --git a/vnpy/app/cta_crypto/template.py b/vnpy/app/cta_crypto/template.py index 81413f9b..b94d1ea3 100644 --- a/vnpy/app/cta_crypto/template.py +++ b/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""" diff --git a/vnpy/app/dispatch/dispatch_engine.py b/vnpy/app/dispatch/dispatch_engine.py index 244a5224..6cfdcf17 100644 --- a/vnpy/app/dispatch/dispatch_engine.py +++ b/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) - diff --git a/vnpy/component/cta_grid_trade.py b/vnpy/component/cta_grid_trade.py index 1cc50969..eb060037 100644 --- a/vnpy/component/cta_grid_trade.py +++ b/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""" diff --git a/vnpy/component/cta_line_bar.py b/vnpy/component/cta_line_bar.py index d67c60be..fc09765a 100644 --- a/vnpy/component/cta_line_bar.py +++ b/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 diff --git a/vnpy/gateway/binancef/binancef_gateway.py b/vnpy/gateway/binancef/binancef_gateway.py index 440e6fe7..3e152b6b 100644 --- a/vnpy/gateway/binancef/binancef_gateway.py +++ b/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) diff --git a/vnpy/gateway/ctp/ctp_gateway.py b/vnpy/gateway/ctp/ctp_gateway.py index 5a2d2be0..35d32ebb 100644 --- a/vnpy/gateway/ctp/ctp_gateway.py +++ b/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 diff --git a/vnpy/trader/utility.py b/vnpy/trader/utility.py index 79fae4ae..22d2775d 100644 --- a/vnpy/trader/utility.py +++ b/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