[增强] 账号/策略仓位比对，市价单委托
This commit is contained in:
msincenselee
parent
941a6bcf01
commit
f3a1fa13e3
@ -449,7 +449,15 @@ class CtaFutureTemplate(CtaTemplate):
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self.policy = None # 事务执行组件
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self.gt = None # 网格交易组件
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self.klines = {} # K线组件字典: kline_name: kline
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self.price_tick = 1 # 商品的最小价格跳动
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self.symbol_size = 10 # 商品得合约乘数
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self.margin_rate = 0.1 # 商品的保证金
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self.volumn_tick = 1 # 商品最小成交数量
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self.cancel_seconds = 120 # 撤单时间(秒)
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self.activate_market = False
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self.order_type = OrderType.LIMIT
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self.backtesting = False
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self.cur_datetime: datetime = None # 当前Tick时间
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self.cur_tick: TickData = None # 最新的合约tick( vt_symbol)
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@ -488,6 +496,10 @@ class CtaFutureTemplate(CtaTemplate):
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if self.activate_market:
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self.write_log(f'{self.strategy_name}使用市价单委托方式')
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self.order_type = OrderType.MARKET
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else:
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if not self.backtesting:
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self.cancel_seconds = 10
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self.write_log(f'实盘撤单时间10秒')
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def sync_data(self):
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"""同步更新数据"""
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@ -789,6 +801,9 @@ class CtaFutureTemplate(CtaTemplate):
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if order.offset != Offset.OPEN:
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grid.open_status = False
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grid.close_status = True
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if grid.volume < order.traded:
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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}')
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grid.volume = order.traded
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self.write_log(f'{grid.direction.value}单已平仓完毕,order_price:{order.price}'
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+ f',volume:{order.volume}')
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@ -847,7 +862,7 @@ class CtaFutureTemplate(CtaTemplate):
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pre_traded_volume = grid.traded_volume
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grid.traded_volume = round(grid.traded_volume + order.traded, 7)
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self.write_log(f'撤单中部分开仓:{order.traded} + 原已成交:{pre_traded_volume} => {grid.traded_volume}')
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if len(grid.order_ids):
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if len(grid.order_ids)==0:
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grid.order_status = False
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if grid.traded_volume > 0:
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pre_volume = grid.volume
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@ -953,9 +968,13 @@ class CtaFutureTemplate(CtaTemplate):
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事务开多仓
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:return:
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"""
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if self.backtesting:
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buy_price = self.cur_price + self.price_tick
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else:
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buy_price = self.cur_tick.ask_price_1
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vt_orderids = self.buy(vt_symbol=self.vt_symbol,
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price=self.cur_price,
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price=buy_price,
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volume=grid.volume,
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order_type=self.order_type,
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order_time=self.cur_datetime,
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@ -976,15 +995,18 @@ class CtaFutureTemplate(CtaTemplate):
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事务开空仓
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:return:
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"""
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if self.backtesting:
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short_price = self.cur_price - self.price_tick
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else:
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short_price = self.cur_tick.bid_price_1
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vt_orderids = self.short(vt_symbol=self.vt_symbol,
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price=self.cur_price,
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price=short_price,
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volume=grid.volume,
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order_type=self.order_type,
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order_time=self.cur_datetime,
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grid=grid)
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if len(vt_orderids) > 0:
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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:{}'
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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:{}'
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.format(grid.type, grid.open_price, self.cur_price, grid.volume, grid.close_price,
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grid.stop_price))
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self.gt.up_grids.append(grid)
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@ -1154,6 +1176,8 @@ class CtaFutureTemplate(CtaTemplate):
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self.write_log(u'撤单失败,更新状态为撤单成功')
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order_info.update({'status': Status.CANCELLED})
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self.active_orders.update({vt_orderid: order_info})
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if order_grid and vt_orderid in order_grid.order_ids:
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order_grid.order_ids.remove(vt_orderid)
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continue
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@ -1272,13 +1296,40 @@ class CtaFutureTemplate(CtaTemplate):
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self.account_pos = self.cta_engine.get_position(vt_symbol=self.vt_symbol, direction=Direction.NET)
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if self.account_pos:
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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}')
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up_grids_info = self.gt.to_str(direction=Direction.SHORT)
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if len(self.gt.up_grids) > 0:
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self.write_log(up_grids_info)
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dn_grids_info = self.gt.to_str(direction=Direction.LONG)
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if len(self.gt.dn_grids) > 0:
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self.write_log(dn_grids_info)
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up_grids_info = ""
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for grid in list(self.gt.up_grids):
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if not grid.open_status and grid.order_status:
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up_grids_info += f'平空中: [已平:{grid.traded_volume} => 目标:{grid.volume}, 委托时间:{grid.order_time}\n'
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if len(grid.order_ids) > 0:
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up_grids_info += f'委托单号:{grid.order_ids}'
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continue
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if grid.open_status and not grid.order_status:
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up_grids_info += f'持空中: [数量:{grid.volume}\n, 开仓时间:{grid.open_time}'
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continue
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if not grid.open_status and grid.order_status:
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up_grids_info += f'开空中: [已开:{grid.traded_volume} => 目标:{grid.volume}, 委托时间:{grid.order_time}\n'
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if len(grid.order_ids) > 0:
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up_grids_info += f'委托单号:{grid.order_ids}'
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dn_grids_info = ""
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for grid in list(self.gt.dn_grids):
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if not grid.open_status and grid.order_status:
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up_grids_info += f'平多中: [已平:{grid.traded_volume} => 目标:{grid.volume}, 委托时间:{grid.order_time}\n'
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if len(grid.order_ids) > 0:
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up_grids_info += f'委托单号:{grid.order_ids}'
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continue
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if grid.open_status and not grid.order_status:
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up_grids_info += f'持多中: [数量:{grid.volume}\n, 开仓时间:{grid.open_time}'
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continue
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if not grid.open_status and grid.order_status:
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up_grids_info += f'开多中: [已开:{grid.traded_volume} => 目标:{grid.volume}, 委托时间:{grid.order_time}\n'
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if len(grid.order_ids) > 0:
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up_grids_info += f'委托单号:{grid.order_ids}'
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def display_tns(self):
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"""显示事务的过程记录=》 log"""
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@ -4,9 +4,9 @@
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# 华富资产
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from vnpy.event import EventEngine
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from vnpy.trader.constant import Exchange
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from vnpy.trader.constant import Exchange # noqa
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from vnpy.trader.engine import BaseEngine, MainEngine
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from vnpy.trader.event import EVENT_TIMER
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from vnpy.trader.event import EVENT_TIMER # noqa
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APP_NAME = 'DispatchEngine'
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@ -20,4 +20,3 @@ class DispatchEngine(BaseEngine):
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self.main_engine = main_engine
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self.event_engine = event_engine
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self.create_logger(logger_name=APP_NAME)
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@ -38,7 +38,7 @@ class CtaGrid(object):
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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
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"""
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def __init__(self, **kwargs ):
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def __init__(self, **kwargs):
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self.id: str = kwargs.get('id', str(uuid.uuid1())) # gid
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self.direction = kwargs.get('direction', None) # 交易方向（LONG：多，正套；SHORT：空，反套）
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@ -51,7 +51,7 @@ class CtaGrid(object):
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self.volume = kwargs.get('volume', 0.0) # 开仓数量( 兼容数字货币 )
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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
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self.order_status = kwargs.get('order_status', False) # 挂单状态: True,已挂单，False，未挂单
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self.order_ids = kwargs.get('order_ids',[]) # order_id list
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self.order_ids = kwargs.get('order_ids', []) # order_id list
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self.open_status = kwargs.get('open_status', False) # 开仓状态
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self.close_status = kwargs.get('close_status', False) # 平仓状态
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self.open_time = kwargs.get('open_time', None) # 开仓时间
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@ -59,7 +59,7 @@ class CtaGrid(object):
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self.lock_grid_ids = kwargs.get('lock_grid_ids', []) # 锁单的网格，[gid,gid]
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self.reuse_count = kwargs.get('reuse_count', 0) # 重用次数（0， 平仓后是否删除）
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self.type = kwargs.get('type', '') # 网格类型标签
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self.snapshot = kwargs.get('snapshot',{}) # 切片数据，如记录开仓点时的某些状态数据
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self.snapshot = kwargs.get('snapshot', {}) # 切片数据，如记录开仓点时的某些状态数据
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def to_json(self):
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"""输出JSON"""
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@ -209,7 +209,7 @@ class CtaLineBar(object):
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if self.price_tick < 1:
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exponent = decimal.Decimal(str(self.price_tick))
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self.round_n = max(abs(exponent.as_tuple().exponent) + 2, 4)
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self.write_log(f'round_n: {self.round_n}')
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# 导入卡尔曼过滤器
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if self.para_active_kf:
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try:
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@ -298,6 +298,8 @@ class CtaLineBar(object):
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self.paramList.append('para_bias2_len')
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self.paramList.append('para_bias3_len')
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self.paramList.append('para_bd_len')
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self.paramList.append('is_7x24')
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self.paramList.append('price_tick')
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@ -409,6 +411,8 @@ class CtaLineBar(object):
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self.para_bias2_len = 0 # 乖离率观测周期2
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self.para_bias3_len = 0 # 乖离率观测周期3
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self.para_bd_len = 0 # 波段买卖观测长度
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# K 线的相关计算结果数据
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self.line_pre_high = [] # K线的前para_pre_len的的最高
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self.line_pre_low = [] # K线的前para_pre_len的的最低
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@ -628,6 +632,11 @@ class CtaLineBar(object):
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self._rt_bias2 = None
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self._rt_bias3 = None
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# 波段买卖指标
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self.line_bd_fast = [] # 波段快线
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self.line_bd_slow = [] # 波段慢线
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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
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def set_params(self, setting: dict = {}):
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"""设置参数"""
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d = self.__dict__
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@ -800,6 +809,7 @@ class CtaLineBar(object):
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self.__count_golden_section()
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self.__count_area(bar)
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self.__count_bias()
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self.__count_bd()
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self.export_to_csv(bar)
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self.rt_executed = False
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@ -1370,7 +1380,7 @@ class CtaLineBar(object):
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count_len = min(self.para_ma1_len, self.bar_len)
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barMa1 = ta.MA(self.close_array[-count_len:], count_len)[-1]
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barMa1 = round(float(barMa1), self.round_n)
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barMa1 = round(barMa1, self.round_n)
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if len(self.line_ma1) > self.max_hold_bars:
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del self.line_ma1[0]
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@ -1388,7 +1398,7 @@ class CtaLineBar(object):
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if self.para_ma2_len > 0:
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count_len = min(self.para_ma2_len, self.bar_len)
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barMa2 = ta.MA(self.close_array[-count_len:], count_len)[-1]
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barMa2 = round(float(barMa2), self.round_n)
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barMa2 = round(barMa2, self.round_n)
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if len(self.line_ma2) > self.max_hold_bars:
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del self.line_ma2[0]
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@ -1406,7 +1416,7 @@ class CtaLineBar(object):
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if self.para_ma3_len > 0:
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count_len = min(self.para_ma3_len, self.bar_len)
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barMa3 = ta.MA(self.close_array[-count_len:], count_len)[-1]
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barMa3 = round(float(barMa3), self.round_n)
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barMa3 = round(barMa3, self.round_n)
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if len(self.line_ma3) > self.max_hold_bars:
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del self.line_ma3[0]
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@ -1508,7 +1518,7 @@ class CtaLineBar(object):
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if count_len > 0:
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close_ma_array = ta.MA(np.append(self.close_array[-count_len:], [self.line_bar[-1].close_price]),
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count_len)
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self._rt_ma1 = round(float(close_ma_array[-1]), self.round_n)
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self._rt_ma1 = round(close_ma_array[-1], self.round_n)
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# 计算斜率
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if len(close_ma_array) > 2 and close_ma_array[-2] != 0:
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@ -1520,7 +1530,7 @@ class CtaLineBar(object):
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if count_len > 0:
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close_ma_array = ta.MA(np.append(self.close_array[-count_len:], [self.line_bar[-1].close_price]),
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count_len)
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self._rt_ma2 = round(float(close_ma_array[-1]), self.round_n)
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self._rt_ma2 = round(close_ma_array[-1], self.round_n)
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# 计算斜率
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if len(close_ma_array) > 2 and close_ma_array[-2] != 0:
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@ -1532,7 +1542,7 @@ class CtaLineBar(object):
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if count_len > 0:
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close_ma_array = ta.MA(np.append(self.close_array[-count_len:], [self.line_bar[-1].close_price]),
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count_len)
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self._rt_ma3 = round(float(close_ma_array[-1]), self.round_n)
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self._rt_ma3 = round(close_ma_array[-1], self.round_n)
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# 计算斜率
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if len(close_ma_array) > 2 and close_ma_array[-2] != 0:
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@ -3985,10 +3995,49 @@ class CtaLineBar(object):
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return self.line_bias3[-1]
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return self._rt_bias3
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def __count_bd(self):
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"""计算波段快/慢线"""
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#
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if self.para_bd_len <= 0:
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# 不计算
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return
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if len(self.line_bar) < 2 * self.para_bd_len:
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return
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mid4_ema_array = ta.EMA(self.mid4_array, self.para_bd_len)
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mid4_std = np.std(self.mid4_array[-self.para_bd_len:], ddof=1)
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mid4_ema_diff_array = self.mid4_array - mid4_ema_array
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var5_array = (mid4_ema_diff_array / mid4_std * 100 + 200) / 4
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var6_array = (ta.EMA(var5_array, 5) - 25) * 1.56
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fast_array = ta.EMA(var6_array, 2) * 1.22
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slow_array = ta.EMA(fast_array, 2)
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# 快线/慢线最后记录，追加到line_bd_fast/ list_bd_slow中
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if len(self.line_bd_fast) > self.max_hold_bars:
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self.line_bd_fast.pop(0)
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if not np.isnan(fast_array[-1]):
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self.line_bd_fast.append(fast_array[-1])
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if len(self.line_bd_slow) > self.max_hold_bars:
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self.line_bd_slow.pop(0)
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if not np.isnan(slow_array[-1]):
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self.line_bd_slow.append(slow_array[-1])
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# 判断金叉/死叉
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if len(self.line_bd_fast) > 2 and len(self.line_bd_slow) > 2:
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if self.line_bd_fast[-1] > self.line_bd_slow[-1]:
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self.cur_bd_cross = max(1, self.cur_bd_cross + 1)
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elif self.line_bd_fast[-1] < self.line_bd_slow[-1]:
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self.cur_bd_cross = min(-1, self.cur_bd_cross -1)
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def write_log(self, content):
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"""记录CTA日志"""
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self.strategy.write_log(u'[' + self.name + u']' + content)
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def append_data(self, file_name, dict_data, field_names=None):
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"""
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添加数据到csv文件中
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@ -142,6 +142,7 @@ class BinancefGateway(BaseGateway):
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def cancel_order(self, req: CancelRequest) -> Request:
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""""""
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self.rest_api.cancel_order(req)
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return True
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def query_account(self) -> None:
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""""""
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@ -397,7 +398,7 @@ class BinancefRestApi(RestClient):
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self.gateway_name
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)
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self.orders.update({orderid: copy(order)})
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self.gateway.write_log(f'返回订单更新:{order.__dict__}')
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self.gateway.write_log(f'委托返回订单更新:{order.__dict__}')
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self.gateway.on_order(order)
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data = {
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@ -861,7 +862,7 @@ class BinancefTradeWebsocketApi(WebsocketClient):
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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)
|
||||
|
||||
|
||||
|
||||
@ -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()
|
||||
|
||||
|
||||
@ -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
|
||||
|
||||
|
||||
Loading…
Reference in New Issue
Block a user