[bug fix]

Q_n_A.md

@@ -2,59 +2,67 @@
 --------------------------------------------------------------------------------------------
 ###FAQ：
 
-#3、碰到的问题：找不到vnpy.xx.xx(原2.7环境)
+3、碰到的问题：找不到vnpy.xx.xx(原2.7环境)
+
     可能你使用了vnpy的原版，安装到conda环境中了。需要先卸载 pip uninstall vnpy
 
 
-#4、碰到的问题：importError: libGL.so.1: cannot open shared object file: No such file or directory
+4、碰到的问题：importError: libGL.so.1: cannot open shared object file: No such file or directory
+
     ubuntu下：sudo apt install libgl1-mesa-glx
     centOS下：sudo yum install mesa-libGL.x86_64
 
-#5、碰到的问题：version `GLIBCXX_3.4.21' not found
+5、碰到的问题：version `GLIBCXX_3.4.21' not found
+
     conda install libgcc
     若出现更高版本需求，参见第10点
 
-#6、碰到的问题：在3.7 env下安装RqPlus时，报错:talib/common.c:242:28: fatal error: ta-lib/ta_defs.h: No such file or directory
+6、碰到的问题：在3.7 env下安装RqPlus时，报错:talib/common.c:242:28: fatal error: ta-lib/ta_defs.h: No such file or directory
+
     locate ta_defs.h
     找到地址：/home/user/anaconda3/pkgs/ta-lib-0.4.9-np111py27_0/include/ta-lib
     # 复制一份到/usr/include目录下
     sudo cp /home/user/anaconda3/pkgs/ta-lib-0.4.9-np111py27_0/include/ta-lib /usr/include -R
 
-#7、碰到的问题：安装某些组件，提示 cl.exe Not found
+7、碰到的问题：安装某些组件，提示 cl.exe Not found
+
     如果你安装了VC基础组件，需要增加一个用户环境变量，把"C:\Program Files (x86)\Microsoft Visual Studio\Shared\14.0\VC\bin" 添加到path变量中
 
-#8、Install Ta-Lib
+8、Install Ta-Lib
-如果你用py37虚拟环境
-source activate py37
     
-conda config --add channels https://mirrors.tuna.tsinghua.edu.cn/anaconda/pkgs/free/
+    如果你用py37虚拟环境
-conda config --set show_channel_urls yes
+    source activate py37
-conda install -c quantopian ta-lib=0.4.9
     
-# 9、数字货币的增量安装
+    conda config --add channels https://mirrors.tuna.tsinghua.edu.cn/anaconda/pkgs/free/
-conda install scipy
+    conda config --set show_channel_urls yes
+    conda install -c quantopian ta-lib=0.4.9
 
-pip install autobahn
+9、数字货币的增量安装
-pip install twisted
+
-若出现找不到rc.exe， 请先使用vs x86&x64界面，激活py37后，再运行
+    conda install scipy
-pip install pyOpenSSL
+    
+    pip install autobahn
+    pip install twisted
+    若出现找不到rc.exe， 请先使用vs x86&x64界面，激活py37后，再运行
+    pip install pyOpenSSL
+
+10、升级gcc
 
-# 10、升级gcc
     使用奇正MOM的CTP API时，提示`GLIBCXX_3.4.22' not found，当前centos最高版本是 3.4.21，通过yum不能升级，需要手工下载升级。
     
     wget http://ftp.de.debian.org/debian/pool/main/g/gcc-9/libstdc++6_9.2.1-8_amd64.deb
-解压
+    解压
-
     ar -x libstdc++6_9.2.1-8_amd64.deb    
     （就是 ar 命令，不是tar）    
     tar -xvf data.tar.xz
 
-安装
+    安装
     
     删除： rm /usr/lib64/libstdc++.so.6    
     拷贝： cp usr/lib/x86_64-linux-gnu/libstdc++.so.6.0.28 /usr/lib64/    
     连接： ln -s /usr/lib64/libstdc++.so.6.0.28    /usr/lib64/libstdc++.so.6
-结果
+    
+    结果
 
     strings /usr/lib64/libstdc++.so.6 | grep GLIBCXX
     
@@ -86,7 +94,8 @@ pip install pyOpenSSL
     GLIBCXX_3.4.25
     GLIBCXX_DEBUG_MESSAGE_LENGTH
 
-# 11、升级glibc
+11、升级glibc
+
     使用奇正MOM的CTP API时，提示`GLIBC_2.18' not found，当前centos最高版本是 3.4.21，通过yum不能升级，需要手工下载升级。
     
     root 用户登录

examples/vn_trader/ar_setting.json

@@ -0,0 +1,16 @@
+{
+  "mongo_db":
+  {
+    "host": "192.168.0.207",
+    "port": 27017
+  },
+  "accounts":
+  {
+
+    "ctp":
+    {
+      "copy_history_trades": true,
+      "copy_history_orders": true
+    }
+  }
+}

examples/vn_trader/cta_strategy_pro_config.json

@@ -0,0 +1,4 @@
+{
+    "accountid" : "112022",
+    "strategy_group": "win01"
+}

examples/vn_trader/run.py

@@ -5,10 +5,10 @@ from vnpy.trader.engine import MainEngine
 from vnpy.trader.ui import MainWindow, create_qapp
 
 # from vnpy.gateway.binance import BinanceGateway
-from vnpy.gateway.bitmex import BitmexGateway
+#from vnpy.gateway.bitmex import BitmexGateway
 # from vnpy.gateway.futu import FutuGateway
 # from vnpy.gateway.ib import IbGateway
-# from vnpy.gateway.ctp import CtpGateway
+from vnpy.gateway.ctp import CtpGateway
 # from vnpy.gateway.ctptest import CtptestGateway
 # from vnpy.gateway.mini import MiniGateway
 # from vnpy.gateway.sopt import SoptGateway
@@ -31,30 +31,33 @@ from vnpy.gateway.bitmex import BitmexGateway
 # from vnpy.gateway.coinbase import CoinbaseGateway
 # from vnpy.gateway.bitstamp import BitstampGateway
 # from vnpy.gateway.gateios import GateiosGateway
-from vnpy.gateway.bybit import BybitGateway
+# from vnpy.gateway.bybit import BybitGateway
 
-# from vnpy.app.cta_strategy import CtaStrategyApp
+from vnpy.app.cta_strategy_pro import CtaStrategyProApp
 # from vnpy.app.csv_loader import CsvLoaderApp
 # from vnpy.app.algo_trading import AlgoTradingApp
 from vnpy.app.cta_backtester import CtaBacktesterApp
 # from vnpy.app.data_recorder import DataRecorderApp
-# from vnpy.app.risk_manager import RiskManagerApp
+from vnpy.app.tick_recorder import TickRecorderApp
+from vnpy.app.risk_manager import RiskManagerApp
 # from vnpy.app.script_trader import ScriptTraderApp
 # from vnpy.app.rpc_service import RpcServiceApp
 # from vnpy.app.spread_trading import SpreadTradingApp
-from vnpy.app.portfolio_manager import PortfolioManagerApp
+# from vnpy.app.portfolio_manager import PortfolioManagerApp
-
+from vnpy.app.account_recorder import AccountRecorderApp
 
 def main():
     """"""
     qapp = create_qapp()
 
-    event_engine = EventEngine()
+    event_engine = EventEngine(debug=True, over_ms=200)
 
     main_engine = MainEngine(event_engine)
 
     # main_engine.add_gateway(BinanceGateway)
-    # main_engine.add_gateway(CtpGateway)
+    main_engine.add_gateway(CtpGateway, gateway_name='ctp')
+    main_engine.add_gateway(CtpGateway, gateway_name='ctp_yh01')
+
     # main_engine.add_gateway(CtptestGateway)
     # main_engine.add_gateway(MiniGateway)
     # main_engine.add_gateway(SoptGateway)
@@ -62,7 +65,7 @@ def main():
     # main_engine.add_gateway(FemasGateway)
     # main_engine.add_gateway(IbGateway)
     # main_engine.add_gateway(FutuGateway)
-    main_engine.add_gateway(BitmexGateway)
+    #main_engine.add_gateway(BitmexGateway)
     # main_engine.add_gateway(TigerGateway)
     # main_engine.add_gateway(OesGateway)
     # main_engine.add_gateway(OkexGateway)
@@ -80,18 +83,21 @@ def main():
     # main_engine.add_gateway(CoinbaseGateway)
     # main_engine.add_gateway(BitstampGateway)
     # main_engine.add_gateway(GateiosGateway)
-    main_engine.add_gateway(BybitGateway)
+    #main_engine.add_gateway(BybitGateway)
 
-    # main_engine.add_app(CtaStrategyApp)
+    #main_engine.add_app(CtaStrategyApp)
-    main_engine.add_app(CtaBacktesterApp)
+    main_engine.add_app(CtaStrategyProApp)
+    #main_engine.add_app(CtaBacktesterApp)
     # main_engine.add_app(CsvLoaderApp)
     # main_engine.add_app(AlgoTradingApp)
     # main_engine.add_app(DataRecorderApp)
-    # main_engine.add_app(RiskManagerApp)
+    # main_engine.add_app(TickRecorderApp)
+    main_engine.add_app(RiskManagerApp)
     # main_engine.add_app(ScriptTraderApp)
     # main_engine.add_app(RpcServiceApp)
     # main_engine.add_app(SpreadTradingApp)
-    main_engine.add_app(PortfolioManagerApp)
+    # main_engine.add_app(PortfolioManagerApp)
+    # main_engine.add_app(AccountRecorderApp)
 
     main_window = MainWindow(main_engine, event_engine)
     main_window.showMaximized()

vnpy/app/cta_strategy_pro/__init__.py

@@ -1,14 +1,17 @@
 from pathlib import Path
 
 from vnpy.trader.app import BaseApp
-from vnpy.trader.constant import Direction,Offset
+from vnpy.trader.constant import Direction,Offset,Status
 from vnpy.trader.object import TickData, BarData, TradeData, OrderData
 from vnpy.trader.utility import BarGenerator, ArrayManager
-
+from .cta_position import CtaPosition
+from .cta_line_bar import CtaLineBar, CtaMinuteBar, CtaHourBar, CtaDayBar, CtaWeekBar
+from .cta_policy import CtaPolicy
+from .cta_grid_trade import CtaGrid, CtaGridTrade
 from .base import APP_NAME, StopOrder
 from .engine import CtaEngine
 
-from .template import CtaTemplate, CtaSignal, TargetPosTemplate
+from .template import CtaTemplate, CtaSignal, TargetPosTemplate, CtaProTemplate
 
 class CtaStrategyProApp(BaseApp):
     """"""

vnpy/app/cta_strategy_pro/base.py

@@ -1,11 +1,11 @@
 """
 Defines constants and objects used in CtaStrategyPro App.
 """
-
+from abc import ABC
 from dataclasses import dataclass, field
 from enum import Enum
 from datetime import timedelta
-
+from logging import INFO, ERROR
 from vnpy.trader.constant import Direction, Offset, Interval
 
 APP_NAME = "CtaStrategyPro"
@@ -92,3 +92,30 @@ INTERVAL_DELTA_MAP = {
     Interval.HOUR: timedelta(hours=1),
     Interval.DAILY: timedelta(days=1),
 }
+
+class CtaComponent(ABC):
+    """ CTA策略基础组件"""
+
+    def __init__(self, strategy=None, **kwargs):
+        """
+        构造
+        :param strategy:
+        """
+        self.strategy = strategy
+
+    # ----------------------------------------------------------------------
+    def write_log(self, content: str):
+        """记录日志"""
+        if self.strategy:
+            self.strategy.write_log(msg=content, level=INFO)
+        else:
+            print(content)
+
+    # ----------------------------------------------------------------------
+    def write_error(self, content: str, level: int = ERROR):
+        """记录错误日志"""
+        if self.strategy:
+            self.strategy.write_log(msg=content, level=level)
+        else:
+            print(content, file=sys.stderr)
+

vnpy/app/cta_strategy_pro/cta_grid_trade.py

@@ -10,10 +10,9 @@ import traceback
 from collections import OrderedDict
 from datetime import datetime
 from dataclasses import dataclass, field
-
+from typing import List
 from vnpy.trader.utility import get_folder_path
-from vnpy.app.cta_strategy_pro.base import Direction
+from vnpy.app.cta_strategy_pro.base import Direction, CtaComponent
-from vnpy.app.cta_strategy_pro.template import CtaComponent
 
 """
 网格交易，用于套利单
@@ -35,37 +34,47 @@ TREND_GRID = 'trend'  # 趋势网格
 LOCK_GRID = 'lock'  # 对锁网格
 
 
-@dataclass
 class CtaGrid(object):
     """网格类
     它是网格交易的最小单元
     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
     """
-    id: str = str(uuid.uuid1())  # gid
 
-    direction: Direction = Direction.NET  # 交易方向（LONG：多，正套；SHORT：空，反套）
+    def __init__(self,
-    open_price: float = 0  # 开仓价格
+                 direction: Direction = None,
-    close_price: float = 0  # 止盈价格
+                 open_price: float = 0,
-    stop_price: float = 0  # 止损价格
+                 close_price: float = 0,
+                 stop_price: float = 0,
+                 vt_symbol: str = '',
+                 volume: float = 0,
+                 traded_volume: float = 0,
+                 order_status: bool = False,
+                 open_status: bool = False,
+                 close_status: bool = False,
+                 open_time: datetime = None,
+                 order_time: datetime = None,
+                 reuse_count: int = 0,
+                 type: str = ''
+                 ):
 
-    vt_symbol: str = ''  # 品种合约
+        self.id: str = str(uuid.uuid1())  # gid
-    volume: float = 0  # 开仓数量( 兼容数字货币 )
+        self.direction = direction  # 交易方向（LONG：多，正套；SHORT：空，反套）
-
+        self.open_price = open_price  # 开仓价格
-    traded_volume: float = 0  # 已成交数量 开仓时，为开仓数量，平仓时，为平仓数量
+        self.close_price = close_price  # 止盈价格
-
+        self.stop_price = stop_price  # 止损价格
-    order_status: bool = False  # 挂单状态: True,已挂单，False，未挂单
+        self.vt_symbol = vt_symbol  # 品种合约
-    order_ids: list[str] = field(default_factory=list)  # order_id list
+        self.volume = volume  # 开仓数量( 兼容数字货币 )
-    open_status: bool = False  # 开仓状态
+        self.traded_volume = traded_volume  # 已成交数量 开仓时，为开仓数量，平仓时，为平仓数量
-    close_status: bool = False  # 平仓状态
+        self.order_status = order_status  # 挂单状态: True,已挂单，False，未挂单
-
+        self.order_ids = []  # order_id list
-    open_time: datetime = None  # 开仓时间
+        self.open_status = open_status  # 开仓状态
-    order_time: datetime = None  # 委托时间
+        self.close_status = close_status  # 平仓状态
-
+        self.open_time = open_time  # 开仓时间
-    lock_grid_ids: list[str] = field(default_factory=list)  # 锁单的网格，[gid,gid]
+        self.order_time = order_time  # 委托时间
-    reuse_count: int = 0  # 重用次数（0， 平仓后是否删除）
+        self.lock_grid_ids = []  # 锁单的网格，[gid,gid]
-    type: str = ''  # 网格类型标签
+        self.reuse_count = reuse_count  # 重用次数（0， 平仓后是否删除）
-
+        self.type = type  # 网格类型标签
-    snapshot: dict = field(default_factory=dict)  # 切片数据，如记录开仓点时的某些状态数据
+        self.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"""
@@ -156,10 +165,10 @@ class CtaGridTrade(CtaComponent):
         vol，网格开仓数
         minDiff, 最小价格跳动
         """
-        super(CtaGridTrade).__init__(strategy=strategy)
+        super(CtaGridTrade, self).__init__(strategy=strategy)
 
         self.price_tick = kwargs.get('price_tick', 1)
-        self.jsonName = self.strategy.name  # 策略名称
+        self.json_name = self.strategy.strategy_name  # 策略名称
         self.max_lots = kwargs.get('max_lots', 10)  # 缺省网格数量
         self.grid_height = kwargs.get('grid_height', 10 * self.price_tick)  # 最小网格高度
         self.grid_win = kwargs.get('grid_win', 10 * self.price_tick)  # 最小止盈高度
@@ -176,7 +185,8 @@ class CtaGridTrade(CtaComponent):
         self.max_up_open_price = 0.0  # 上网格最高开仓价
         self.min_dn_open_price = 0.0  # 下网格最小开仓价
 
-        self.json_file_path = os.path.join(get_folder_path('data'), f'{self.jsonName}_Grids.json')  # 网格的路径
+        # 网格json文件的路径
+        self.json_file_path = os.path.join(get_folder_path('data'), f'{self.json_name}_Grids.json')
 
     def get_volume_rate(self, idx: int = 0):
         """获取网格索引对应的开仓数量比例"""
@@ -554,7 +564,7 @@ class CtaGridTrade(CtaComponent):
 
         if direction == Direction.SHORT:
             for x in self.up_grids[:]:
-                if x.id in id:
+                if x.id in ids:
                     self.write_log(u'清除上网格[open={},close={},stop={},volume={}]'
                                    .format(x.open_price, x.close_price, x.stop_price, x.volume))
                     self.up_grids.remove(x)
@@ -873,12 +883,12 @@ class CtaGridTrade(CtaComponent):
         grids_save_path = get_folder_path('data')
 
         # 确保json名字与策略一致
-        if self.jsonName != self.strategy.name:
+        if self.json_name != self.strategy.strategy_name:
-            self.write_log(u'JsonName {} 与 上层策略名{} 不一致.'.format(self.jsonName, self.strategy.name))
+            self.write_log(u'JsonName {} 与 上层策略名{} 不一致.'.format(self.json_name, self.strategy.strategy_name))
-            self.jsonName = self.strategy.name
+            self.json_name = self.strategy.strategy_name
 
         # 新版网格持久化文件
-        grid_json_file = os.path.join(grids_save_path, u'{}_Grids.json'.format(self.jsonName))
+        grid_json_file = os.path.join(grids_save_path, u'{}_Grids.json'.format(self.json_name))
         self.json_file_path = grid_json_file
 
         data = {}
@@ -907,12 +917,12 @@ class CtaGridTrade(CtaComponent):
         data = {}
         grids_save_path = get_folder_path('data')
 
-        if self.jsonName != self.strategy.name:
+        if self.json_name != self.strategy.strategy_name:
-            self.write_log(u'JsonName {} 与 上层策略名{} 不一致.'.format(self.jsonName, self.strategy.name))
+            self.write_log(u'JsonName {} 与 上层策略名{} 不一致.'.format(self.json_name, self.strategy.strategy_name))
-            self.jsonName = self.strategy.name
+            self.json_name = self.strategy.strategy_name
 
         # 若json文件不存在，就保存一个；若存在，就优先使用数据文件
-        grid_json_file = os.path.join(grids_save_path, u'{}_Grids.json'.format(self.jsonName))
+        grid_json_file = os.path.join(grids_save_path, u'{}_Grids.json'.format(self.json_name))
         if not os.path.exists(grid_json_file):
             data['up_grids'] = []
             data['dn_grids'] = []
@@ -970,7 +980,7 @@ class CtaGridTrade(CtaComponent):
 
         data_folder = get_folder_path('data')
 
-        self.jsonName = new_name
+        self.json_name = new_name
         # 旧文件
         old_json_file = os.path.join(data_folder, u'{0}_Grids.json'.format(old_name))
 

vnpy/app/cta_strategy_pro/cta_line_bar.py

@@ -1016,7 +1016,12 @@ class CtaLineBar(object):
     def first_tick(self, tick: TickData):
         """ K线的第一个Tick数据"""
 
-        self.cur_bar = BarData()  # 创建新的K线
+        self.cur_bar = BarData(
+            gateway_name=tick.gateway_name,
+            symbol=tick.symbol,
+            exchange=tick.exchange,
+            datetime=tick.datetime
+        )  # 创建新的K线
         # 计算K线的整点分钟周期，这里周期最小是1分钟。如果你是采用非整点分钟，例如1.5分钟，请把这段注解掉
         if self.minute_interval and self.interval == Interval.SECOND:
             self.minute_interval = int(self.bar_interval / 60)
@@ -1506,7 +1511,7 @@ class CtaLineBar(object):
         if self.para_ma1_len > 0:
             count_len = min(self.bar_len, self.para_ma1_len)
             if count_len > 0:
-                close_ma_array = ta.MA(np.append(self.close_array[-count_len:], [self.line_bar[-1].close]), count_len)
+                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)
 
                 # 计算斜率
@@ -1517,7 +1522,7 @@ class CtaLineBar(object):
         if self.para_ma2_len > 0:
             count_len = min(self.bar_len, self.para_ma2_len)
             if count_len > 0:
-                close_ma_array = ta.MA(np.append(self.close_array[-count_len:], [self.line_bar[-1].close]), count_len)
+                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)
 
                 # 计算斜率
@@ -1528,7 +1533,7 @@ class CtaLineBar(object):
         if self.para_ma3_len > 0:
             count_len = min(self.bar_len, self.para_ma3_len)
             if count_len > 0:
-                close_ma_array = ta.MA(np.append(self.close_array[-count_len:], [self.line_bar[-1].close]), count_len)
+                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)
 
                 # 计算斜率
@@ -1846,27 +1851,27 @@ class CtaLineBar(object):
         # 计算 ATR
         if self.para_atr1_len > 0:
             count_len = min(self.bar_len, self.para_atr1_len)
-            self.cur_atr1 = ta.ATR(self.high_array[-count_len:], self.low_array[-count_len:],
+            cur_atr1 = ta.ATR(self.high_array[-count_len * 2:], self.low_array[-count_len * 2:],
-                                   self.close_array[-count_len:], count_len)
+                                   self.close_array[-count_len * 2:], count_len)
-            self.cur_atr1 = round(self.cur_atr1, self.round_n)
+            self.cur_atr1 = round(cur_atr1[-1], self.round_n)
             if len(self.line_atr1) > self.max_hold_bars:
                 del self.line_atr1[0]
             self.line_atr1.append(self.cur_atr1)
 
         if self.para_atr2_len > 0:
             count_len = min(self.bar_len, self.para_atr2_len)
-            self.cur_atr2 = ta.ATR(self.high_array[-count_len:], self.low_array[-count_len:],
+            cur_atr2 = ta.ATR(self.high_array[-count_len * 2:], self.low_array[-count_len * 2:],
-                                   self.close_array[-count_len:], count_len)
+                                   self.close_array[-count_len * 2:], count_len)
-            self.cur_atr2 = round(self.cur_atr2, self.round_n)
+            self.cur_atr2 = round(cur_atr2[-1], self.round_n)
             if len(self.line_atr2) > self.max_hold_bars:
                 del self.line_atr2[0]
             self.line_atr2.append(self.cur_atr2)
 
         if self.para_atr3_len > 0:
             count_len = min(self.bar_len, self.para_atr3_len)
-            self.cur_atr3 = ta.ATR(self.high_array[-count_len:], self.low_array[-count_len:],
+            cur_atr3 = ta.ATR(self.high_array[-count_len * 2 :], self.low_array[-count_len * 2:],
-                                   self.close_array[-count_len:], count_len)
+                                   self.close_array[-count_len * 2:], count_len)
-            self.cur_atr3 = round(self.cur_atr3, self.round_n)
+            self.cur_atr3 = round(cur_atr3[-1], self.round_n)
 
             if len(self.line_atr3) > self.max_hold_bars:
                 del self.line_atr3[0]
@@ -5398,424 +5403,5 @@ class CtaWeekBar(CtaLineBar):
             # 实时计算
             self.rt_executed = False
 
-        self.lastTick = tick
+        self.last_tick = tick
 
-
-class test_strategy(object):
-
-    def __init__(self):
-
-        self.price_tick = 1
-        self.underlying_symbol = 'I'
-        self.vt_symbol = 'I99'
-
-        self.lineM5 = None
-        self.lineM30 = None
-        self.lineH1 = None
-        self.lineH2 = None
-        self.lineD = None
-        self.lineW = None
-
-        self.TMinuteInterval = 1
-
-        self.save_m30_bars = []
-        self.save_h1_bars = []
-        self.save_h2_bars = []
-        self.save_d_bars = []
-
-        self.save_w_bars = []
-
-    def createM5(self):
-        """使用ctalinbar，创建5分钟K线"""
-        lineM5Setting = {}
-        lineM5Setting['name'] = u'M5'
-        lineM5Setting['interval'] = Interval.MINUTE
-        lineM5Setting['bar_interval'] = 5
-        lineM5Setting['mode'] = CtaLineBar.TICK_MODE
-        lineM5Setting['price_tick'] = self.price_tick
-        lineM5Setting['underlying_symbol'] = self.underlying_symbol
-        self.lineM5 = CtaLineBar(self, self.onBarM5, lineM5Setting)
-
-    def onBarM5(self, bar):
-        self.write_log(self.lineM5.get_last_bar_str())
-
-    def createlineM30_with_macd(self):
-        """使用CtaLineBar，创建30分钟时间"""
-        # 创建M30 K线
-        lineM30Setting = {}
-        lineM30Setting['name'] = u'M30'
-        lineM30Setting['interval'] = Interval.MINUTE
-        lineM30Setting['bar_interval'] = 30
-        lineM30Setting['para_macd_fast_len'] = 26
-        lineM30Setting['para_macd_slow_len'] = 12
-        lineM30Setting['para_macd_signal_len'] = 9
-        lineM30Setting['mode'] = CtaLineBar.TICK_MODE
-        lineM30Setting['price_tick'] = self.price_tick
-        lineM30Setting['underlying_symbol'] = self.underlying_symbol
-        self.lineM30 = CtaLineBar(self, self.onBarM30MACD, lineM30Setting)
-
-    def onBarM30MACD(self, bar):
-        self.write_log(self.lineM30.get_last_bar_str())
-
-    def createLineM30(self):
-        """使用ctaMinuteBar, 测试内部自动写入csv文件"""
-        # 创建M30 K线
-        lineM30Setting = {}
-        lineM30Setting['name'] = u'M30'
-        lineM30Setting['interval'] = Interval.MINUTE
-        lineM30Setting['bar_interval'] = 30
-        lineM30Setting['para_pre_len'] = 10
-        lineM30Setting['para_ma1_len'] = 5
-        lineM30Setting['para_ma2_len'] = 10
-        lineM30Setting['para_ma3_len'] = 60
-        lineM30Setting['para_active_yb'] = True
-        lineM30Setting['para_active_skd'] = True
-        lineM30Setting['mode'] = CtaLineBar.TICK_MODE
-        lineM30Setting['price_tick'] = self.price_tick
-        lineM30Setting['underlying_symbol'] = self.underlying_symbol
-        self.lineM30 = CtaMinuteBar(self, self.onBarM30, lineM30Setting)
-
-        # 写入文件
-        self.lineM30.export_filename = os.path.abspath(
-            os.path.join(os.getcwd(),
-                         u'export_{}_{}.csv'.format(self.vt_symbol, self.lineM30.name)))
-
-        self.lineM30.export_fields = [
-            {'name': 'datetime', 'source': 'bar', 'attr': 'datetime', 'type_': 'datetime'},
-            {'name': 'open', 'source': 'bar', 'attr': 'open_price', 'type_': 'float'},
-            {'name': 'high', 'source': 'bar', 'attr': 'high_price', 'type_': 'float'},
-            {'name': 'low', 'source': 'bar', 'attr': 'low_price', 'type_': 'float'},
-            {'name': 'close', 'source': 'bar', 'attr': 'close_price', 'type_': 'float'},
-            {'name': 'turnover', 'source': 'bar', 'attr': 'turnover', 'type_': 'float'},
-            {'name': 'volume', 'source': 'bar', 'attr': 'volume', 'type_': 'float'},
-            {'name': 'open_interest', 'source': 'bar', 'attr': 'open_interest', 'type_': 'float'},
-            {'name': 'kf', 'source': 'line_bar', 'attr': 'line_statemean', 'type_': 'list'}
-        ]
-
-    def createLineH1(self):
-        # 创建2小时K线
-        lineH1Setting = {}
-        lineH1Setting['name'] = u'H1'
-        lineH1Setting['interval'] = Interval.HOUR
-        lineH1Setting['bar_interval'] = 1
-        lineH1Setting['para_pre_len'] = 10
-        lineH1Setting['para_ema1_len'] = 5
-        lineH1Setting['para_ema2_len'] = 10
-        lineH1Setting['para_ema3_len'] = 60
-        lineH1Setting['para_active_yb'] = True
-        lineH1Setting['para_active_skd'] = True
-        lineH1Setting['mode'] = CtaLineBar.TICK_MODE
-        lineH1Setting['price_tick'] = self.price_tick
-        lineH1Setting['underlying_symbol'] = self.underlying_symbol
-        self.lineH1 = CtaLineBar(self, self.onBarH1, lineH1Setting)
-
-    def createLineH2(self):
-        # 创建2小时K线
-        lineH2Setting = {}
-        lineH2Setting['name'] = u'H2'
-        lineH2Setting['interval'] = Interval.HOUR
-        lineH2Setting['bar_interval'] = 2
-        lineH2Setting['para_pre_len'] = 5
-        lineH2Setting['para_ma1_len'] = 5
-        lineH2Setting['para_ma2_len'] = 10
-        lineH2Setting['para_ma3_len'] = 18
-        lineH2Setting['para_active_yb'] = True
-        lineH2Setting['para_active_skd'] = True
-        lineH2Setting['mode'] = CtaLineBar.TICK_MODE
-        lineH2Setting['price_tick'] = self.price_tick
-        lineH2Setting['underlying_symbol'] = self.underlying_symbol
-        self.lineH2 = CtaHourBar(self, self.onBarH2, lineH2Setting)
-
-    def createLineD(self):
-        # 创建的日K线
-        lineDaySetting = {}
-        lineDaySetting['name'] = u'D1'
-        lineDaySetting['bar_interval'] = 1
-        lineDaySetting['para_pre_len'] = 5
-        lineDaySetting['para_art1_len'] = 26
-        lineDaySetting['para_ma1_len'] = 5
-        lineDaySetting['para_ma2_len'] = 10
-        lineDaySetting['para_ma3_len'] = 18
-        lineDaySetting['para_active_yb'] = True
-        lineDaySetting['para_active_skd'] = True
-        lineDaySetting['mode'] = CtaDayBar.TICK_MODE
-        lineDaySetting['price_tick'] = self.price_tick
-        lineDaySetting['underlying_symbol'] = self.underlying_symbol
-        self.lineD = CtaDayBar(self, self.onBarD, lineDaySetting)
-
-    def createLineW(self):
-        """创建周线"""
-        lineWeekSetting = {}
-        lineWeekSetting['name'] = u'W1'
-        lineWeekSetting['para_pre_len'] = 5
-        lineWeekSetting['para_art1_len'] = 26
-        lineWeekSetting['para_ma1_len'] = 5
-        lineWeekSetting['para_ma2_len'] = 10
-        lineWeekSetting['para_ma3_len'] = 18
-        lineWeekSetting['para_active_yb'] = True
-        lineWeekSetting['para_active_skd'] = True
-        lineWeekSetting['mode'] = CtaDayBar.TICK_MODE
-        lineWeekSetting['price_tick'] = self.price_tick
-        lineWeekSetting['underlying_symbol'] = self.underlying_symbol
-        self.lineW = CtaWeekBar(self, self.onBarW, lineWeekSetting)
-
-    def onBar(self, bar):
-        # print(u'tradingDay:{},dt:{},o:{},h:{},l:{},c:{},v:{}'.format(bar.trading_day,bar.datetime, bar.open, bar.high, bar.low_price, bar.close_price, bar.volume))
-        if self.lineW:
-            self.lineW.add_bar(bar, bar_freq=self.TMinuteInterval)
-        if self.lineD:
-            self.lineD.add_bar(bar, bar_freq=self.TMinuteInterval)
-        if self.lineH2:
-            self.lineH2.add_bar(bar, bar_freq=self.TMinuteInterval)
-
-        if self.lineH1:
-            self.lineH1.add_bar(bar, bar_freq=self.TMinuteInterval)
-
-        if self.lineM30:
-            self.lineM30.add_bar(bar, bar_freq=self.TMinuteInterval)
-
-        if self.lineM5:
-            self.lineM5.add_bar(bar, bar_freq=self.TMinuteInterval)
-
-        # if self.lineH2:
-        #    self.lineH2.skd_is_high_dead_cross(runtime=True, high_skd=30)
-        #    self.lineH2.skd_is_low_golden_cross(runtime=True, low_skd=70)
-
-    def onBarM30(self, bar):
-        self.write_log(self.lineM30.get_last_bar_str())
-
-        self.save_m30_bars.append({
-            'datetime': bar.datetime,
-            'open': bar.open_price,
-            'high': bar.high_price,
-            'low': bar.low_price,
-            'close': bar.close_price,
-            'turnover': 0,
-            'volume': bar.volume,
-            'open_interest': 0,
-            'ma5': self.lineM30.line_ma1[-1] if len(self.lineM30.line_ma1) > 0 else bar.close_price,
-            'ma10': self.lineM30.line_ma2[-1] if len(self.lineM30.line_ma2) > 0 else bar.close_price,
-            'ma60': self.lineM30.line_ma3[-1] if len(self.lineM30.line_ma3) > 0 else bar.close_price,
-            'sk': self.lineM30.line_sk[-1] if len(self.lineM30.line_sk) > 0 else 0,
-            'sd': self.lineM30.line_sd[-1] if len(self.lineM30.line_sd) > 0 else 0
-        })
-
-    def onBarH1(self, bar):
-        self.write_log(self.lineH1.get_last_bar_str())
-
-        self.save_h1_bars.append({
-            'datetime': bar.datetime,
-            'open': bar.open_price,
-            'high': bar.high_price,
-            'low': bar.low_price,
-            'close': bar.close_price,
-            'turnover': 0,
-            'volume': bar.volume,
-            'open_interest': 0,
-            'ema5': self.lineH1.line_ema1[-1] if len(self.lineH1.line_ema1) > 0 else bar.close_price,
-            'ema10': self.lineH1.line_ema2[-1] if len(self.lineH1.line_ema2) > 0 else bar.close_price,
-            'ema60': self.lineH1.line_ema3[-1] if len(self.lineH1.line_ema3) > 0 else bar.close_price,
-            'sk': self.lineH1.line_sk[-1] if len(self.lineH1.line_sk) > 0 else 0,
-            'sd': self.lineH1.line_sd[-1] if len(self.lineH1.line_sd) > 0 else 0
-        })
-
-    def onBarH2(self, bar):
-        self.write_log(self.lineH2.get_last_bar_str())
-
-        self.save_h2_bars.append({
-            'datetime': bar.datetime,
-            'open': bar.open_price,
-            'high': bar.high_price,
-            'low': bar.low_price,
-            'close': bar.close_price,
-            'turnover': 0,
-            'volume': bar.volume,
-            'open_interest': 0,
-            'ma5': self.lineH2.line_ma1[-1] if len(self.lineH2.line_ma1) > 0 else bar.close_price,
-            'ma10': self.lineH2.line_ma2[-1] if len(self.lineH2.line_ma2) > 0 else bar.close_price,
-            'ma18': self.lineH2.line_ma3[-1] if len(self.lineH2.line_ma3) > 0 else bar.close_price,
-            'sk': self.lineH2.line_sk[-1] if len(self.lineH2.line_sk) > 0 else 0,
-            'sd': self.lineH2.line_sd[-1] if len(self.lineH2.line_sd) > 0 else 0
-        })
-
-    def onBarD(self, bar):
-        self.write_log(self.lineD.get_last_bar_str())
-        self.save_d_bars.append({
-            'datetime': bar.datetime,
-            'open': bar.open_price,
-            'high': bar.high_price,
-            'low': bar.low_price,
-            'close': bar.close_price,
-            'turnover': 0,
-            'volume': bar.volume,
-            'open_interest': 0,
-            'ma5': self.lineD.line_ma1[-1] if len(self.lineD.line_ma1) > 0 else bar.close_price,
-            'ma10': self.lineD.line_ma2[-1] if len(self.lineD.line_ma2) > 0 else bar.close_price,
-            'ma18': self.lineD.line_ma3[-1] if len(self.lineD.line_ma3) > 0 else bar.close_price,
-            'sk': self.lineD.line_sk[-1] if len(self.lineD.line_sk) > 0 else 0,
-            'sd': self.lineD.line_sd[-1] if len(self.lineD.line_sd) > 0 else 0
-        })
-
-    def onBarW(self, bar):
-        self.write_log(self.lineW.get_last_bar_str())
-        self.save_w_bars.append({
-            'datetime': bar.datetime,
-            'open': bar.open_price,
-            'high': bar.high_price,
-            'low': bar.low_price,
-            'close': bar.close_price,
-            'turnover': 0,
-            'volume': bar.volume,
-            'open_interest': 0,
-            'ma5': self.lineW.line_ma1[-1] if len(self.lineW.line_ma1) > 0 else bar.close_price,
-            'ma10': self.lineW.line_ma2[-1] if len(self.lineW.line_ma2) > 0 else bar.close_price,
-            'ma18': self.lineW.line_ma3[-1] if len(self.lineW.line_ma3) > 0 else bar.close_price,
-            'sk': self.lineW.line_sk[-1] if len(self.lineW.line_sk) > 0 else 0,
-            'sd': self.lineW.line_sd[-1] if len(self.lineW.line_sd) > 0 else 0
-        })
-
-    def on_tick(self, tick):
-        print(u'{0},{1},ap:{2},av:{3},bp:{4},bv:{5}'.format(tick.datetime, tick.last_price, tick.ask_price_1,
-                                                            tick.ask_volume_1, tick.bid_price_1, tick.bid_volume_1))
-
-    def write_log(self, content):
-        print(content)
-
-    def saveData(self):
-
-        if len(self.save_m30_bars) > 0:
-            outputFile = '{}_m30.csv'.format(self.vt_symbol)
-            with open(outputFile, 'w', encoding='utf8', newline='') as f:
-                fieldnames = ['datetime', 'open', 'high', 'low', 'close', 'turnover', 'volume', 'open_interest',
-                              'ma5', 'ma10', 'ma60', 'sk', 'sd']
-                writer = csv.DictWriter(f=f, fieldnames=fieldnames, dialect='excel')
-                writer.writeheader()
-                for row in self.save_m30_bars:
-                    writer.writerow(row)
-
-        if len(self.save_h1_bars) > 0:
-            outputFile = '{}_h1.csv'.format(self.vt_symbol)
-            with open(outputFile, 'w', encoding='utf8', newline='') as f:
-                fieldnames = ['datetime', 'open', 'high', 'low', 'close', 'turnover', 'volume', 'open_interest',
-                              'ema5', 'ema10', 'ema60', 'sk', 'sd']
-                writer = csv.DictWriter(f=f, fieldnames=fieldnames, dialect='excel')
-                writer.writeheader()
-                for row in self.save_h1_bars:
-                    writer.writerow(row)
-
-        if len(self.save_h2_bars) > 0:
-            outputFile = '{}_h2.csv'.format(self.vt_symbol)
-            with open(outputFile, 'w', encoding='utf8', newline='') as f:
-                fieldnames = ['datetime', 'open', 'high', 'low', 'close', 'turnover', 'volume', 'open_interest',
-                              'ma5', 'ma10', 'ma18', 'sk', 'sd']
-                writer = csv.DictWriter(f=f, fieldnames=fieldnames, dialect='excel')
-                writer.writeheader()
-                for row in self.save_h2_bars:
-                    writer.writerow(row)
-
-        if len(self.save_d_bars) > 0:
-            outputFile = '{}_d.csv'.format(self.vt_symbol)
-            with open(outputFile, 'w', encoding='utf8', newline='') as f:
-                fieldnames = ['datetime', 'open', 'high', 'low', 'close', 'turnover', 'volume', 'open_interest',
-                              'ma5', 'ma10', 'ma18', 'sk', 'sd']
-                writer = csv.DictWriter(f=f, fieldnames=fieldnames, dialect='excel')
-                writer.writeheader()
-                for row in self.save_d_bars:
-                    writer.writerow(row)
-
-        if len(self.save_w_bars) > 0:
-            outputFile = '{}_w.csv'.format(self.vt_symbol)
-            with open(outputFile, 'w', encoding='utf8', newline='') as f:
-                fieldnames = ['datetime', 'open', 'high', 'low', 'close', 'turnover', 'volume', 'open_interest',
-                              'ma5', 'ma10', 'ma18', 'sk', 'sd']
-                writer = csv.DictWriter(f=f, fieldnames=fieldnames, dialect='excel')
-                writer.writeheader()
-                for row in self.save_w_bars:
-                    writer.writerow(row)
-
-
-if __name__ == '__main__':
-    t = test_strategy()
-    t.price_tick = 0.5
-    t.underlying_symbol = 'J'
-    t.vt_symbol = 'J99'
-
-    # t.createM5()
-    # t.createLineW()
-
-    # t.createlineM30_with_macd()
-
-    # 创建M30线
-    # t.createLineM30()
-
-    # 回测1小时线
-    # t.createLineH1()
-
-    # 回测2小时线
-    # t.createLineH2()
-
-    # 回测日线
-    # t.createLineD()
-
-    # 测试周线
-    t.createLineW()
-
-    # vnpy/app/cta_strategy_pro/
-    vnpy_root = os.path.abspath(os.path.join(os.path.dirname(__file__), '..', '..', '..'))
-
-    filename = os.path.abspath(os.path.join(vnpy_root, 'bar_data/{}_20160101_20190517_1m.csv'.format(t.vt_symbol)))
-    csv_bar_seconds = 60  # csv 文件内，bar的时间间隔60秒
-
-    import csv
-
-    csvfile = open(filename, 'r', encoding='utf8')
-    reader = csv.DictReader((line.replace('\0', '') for line in csvfile), delimiter=",")
-    last_tradingDay = None
-    for row in reader:
-        try:
-            dt = datetime.strptime(row['index'], '%Y-%m-%d %H:%M:%S') - timedelta(seconds=csv_bar_seconds)
-
-            bar = BarData(
-                gateway_name='',
-                symbol=t.vt_symbol,
-                exchange=Exchange.LOCAL,
-                datetime=dt,
-                interval=Interval.MINUTE,
-                open_price=round_to(float(row['open']), t.price_tick),
-                high_price=round_to(float(row['high']), t.price_tick),
-                low_price=round_to(float(row['low']), t.price_tick),
-                close_price=round_to(float(row['close']), t.price_tick),
-                volume=float(row['volume'])
-            )
-
-            if 'trading_date' in row:
-                bar.trading_day = row['trading_date']
-                if len(bar.trading_day) == 8 and '-' not in bar.trading_day:
-                    bar.trading_day = bar.trading_day[0:4] + '-' + bar.trading_day[4:6] + '-' + bar.trading_day[6:8]
-            else:
-                if bar.datetime.hour >= 21:
-                    if bar.datetime.isoweekday() == 5:
-                        # 星期五=》星期一
-                        bar.trading_day = (dt + timedelta(days=3)).strftime('%Y-%m-%d')
-                    else:
-                        # 第二天
-                        bar.trading_day = (dt + timedelta(days=1)).strftime('%Y-%m-%d')
-                elif bar.datetime.hour < 8 and bar.datetime.isoweekday() == 6:
-                    # 星期六=>星期一
-                    bar.trading_day = (dt + timedelta(days=2)).strftime('%Y-%m-%d')
-                else:
-                    bar.trading_day = bar.datetime.strftime('%Y-%m-%d')
-
-            t.onBar(bar)
-            # 测试 实时计算值
-            # sk, sd = t.lineM30.getRuntimeSKD()
-
-            # 测试实时计算值
-            # if bar.datetime.minute==1:
-            #    print('rt_Dif:{}'.format(t.lineM30.rt_Dif))
-        except Exception as ex:
-            t.write_log(u'{0}:{1}'.format(Exception, ex))
-            traceback.print_exc()
-            break
-
-    t.saveData()

vnpy/app/cta_strategy_pro/cta_policy.py

@@ -4,7 +4,7 @@ import os
 import json
 from datetime import datetime
 from collections import OrderedDict
-from vnpy.app.cta_strategy_pro.template import CtaComponent
+from vnpy.app.cta_strategy_pro.base import CtaComponent
 from vnpy.trader.utility import get_folder_path
 
 
@@ -18,12 +18,12 @@ class CtaPolicy(CtaComponent):
         构造
         :param strategy:
         """
-        super(CtaPolicy).__init__(strategy=strategy)
+        super(CtaPolicy,self).__init__(strategy=strategy, kwargs=kwargs)
 
         self.create_time = None
         self.save_time = None
 
-    def toJson(self):
+    def to_json(self):
         """
         将数据转换成dict
         datetime =》 string
@@ -36,7 +36,7 @@ class CtaPolicy(CtaComponent):
 
         return j
 
-    def fromJson(self, json_data):
+    def from_json(self, json_data):
         """
         将数据从json_data中恢复
        :param json_data:
@@ -67,7 +67,7 @@ class CtaPolicy(CtaComponent):
         从持久化文件中获取
         :return:
         """
-        json_file = os.path.abspath(os.path.join(get_folder_path('data'), u'{}_Policy.json'.format(self.strategy.name)))
+        json_file = os.path.abspath(os.path.join(get_folder_path('data'), u'{}_Policy.json'.format(self.strategy.strategy_name)))
 
         json_data = {}
         if os.path.exists(json_file):
@@ -80,7 +80,7 @@ class CtaPolicy(CtaComponent):
                 json_data = {}
 
             # 从持久化文件恢复数据
-            self.fromJson(json_data)
+            self.from_json(json_data)
 
     def save(self):
         """
@@ -88,14 +88,14 @@ class CtaPolicy(CtaComponent):
         :return:
         """
         json_file = os.path.abspath(
-            os.path.join(get_folder_path('data'), u'{}_Policy.json'.format(self.strategy.name)))
+            os.path.join(get_folder_path('data'), u'{}_Policy.json'.format(self.strategy.strategy_name)))
 
         try:
             # 修改为：回测时不保存
             if self.strategy and self.strategy.backtesting:
                 return
 
-            json_data = self.toJson()
+            json_data = self.to_json()
             json_data['save_time'] = datetime.now().strftime('%Y-%m-%d %H:%M:%S')
             with open(json_file, 'w') as f:
                 data = json.dumps(json_data, indent=4)

vnpy/app/cta_strategy_pro/cta_position.py

@@ -2,8 +2,7 @@
 
 import sys
 
-from vnpy.app.cta_strategy_pro.base import Direction
+from vnpy.app.cta_strategy_pro.base import Direction, CtaComponent
-from vnpy.app.cta_strategy_pro.template import CtaComponent
 
 
 class CtaPosition(CtaComponent):
@@ -15,13 +14,13 @@ class CtaPosition(CtaComponent):
     """
 
     def __init__(self, strategy, **kwargs):
-        super(CtaComponent).__init__(strategy=strategy)
+        super(CtaPosition, self).__init__(strategy=strategy, kwargs=kwargs)
         self.long_pos = 0    # 多仓持仓(正数)
         self.short_pos = 0   # 空仓持仓(负数)
         self.pos = 0        # 持仓状态 0:空仓/对空平等； >=1 净多仓 ；<=-1 净空仓
         self.maxPos = sys.maxsize        # 最大持仓量（多仓+空仓总量）
 
-    def open_pos(self, direction: Direction, volume: int):
+    def open_pos(self, direction: Direction, volume: float):
         """开、加仓"""
         # volume: 正整数
 
@@ -31,7 +30,7 @@ class CtaPosition(CtaComponent):
 
             # 更新
             self.write_log(f'多仓:{self.long_pos}->{self.long_pos + volume}')
-            self.write_log(u'净:{self.pos}->{self.pos + volume}')
+            self.write_log(f'净:{self.pos}->{self.pos + volume}')
             self.long_pos += volume
             self.pos += volume
 
@@ -40,13 +39,13 @@ class CtaPosition(CtaComponent):
                 self.write_error(content=f'开仓异常,净:{self.pos},空:{self.short_pos},加空:{volume},超过:{self.maxPos}')
 
             self.write_log(f'空仓:{self.short_pos}->{self.short_pos - volume}')
-            self.write_log(u'净:{self.pos}->{self.pos - volume}')
+            self.write_log(f'净:{self.pos}->{self.pos - volume}')
             self.short_pos -= volume
             self.pos -= volume
 
         return True
 
-    def close_pos(self, direction: Direction, volume):
+    def close_pos(self, direction: Direction, volume:float):
         """平、减仓"""
         # vol: 正整数
 

vnpy/app/cta_strategy_pro/engine.py

@@ -43,13 +43,17 @@ from vnpy.trader.constant import (
     Status
 )
 from vnpy.trader.utility import (
-    load_json, save_json,
+    load_json,
+    save_json,
     extract_vt_symbol,
-    round_to, get_folder_path,
+    round_to,
+    TRADER_DIR,
+    get_folder_path,
     get_underlying_symbol,
     append_data)
 
 from vnpy.trader.util_logger import setup_logger, logging
+from vnpy.trader.util_wechat import send_wx_msg
 from vnpy.trader.converter import OffsetConverter
 
 from .base import (
@@ -88,7 +92,6 @@ class CtaEngine(BaseEngine):
     6、支持指定gateway的交易。主引擎可接入多个gateway
     """
 
-    engine_type = EngineType.LIVE  # live trading engine
     engine_type = EngineType.LIVE  # live trading engine
 
     # 策略配置文件
@@ -264,13 +267,17 @@ class CtaEngine(BaseEngine):
         #     strategy.pos -= trade.volume
         # 根据策略名称，写入 data\straetgy_name_trade.csv文件
         strategy_name = getattr(strategy, 'name')
-        trade_fields = ['time', 'symbol', 'exchange', 'vt_symbol', 'tradeid', 'vt_tradeid', 'orderid', 'vt_orderid',
+        trade_fields = ['datetime', 'symbol', 'exchange', 'vt_symbol', 'tradeid', 'vt_tradeid', 'orderid', 'vt_orderid',
                         'direction', 'offset', 'price', 'volume', 'idx_price']
         trade_dict = OrderedDict()
         try:
             for k in trade_fields:
-                if k == 'time':
+                if k == 'datetime':
-                    trade_dict[k] = datetime.now().strftime('%Y-%m-%d') + ' ' + getattr(trade, k, '')
+                    dt = getattr(trade, 'datetime')
+                    if isinstance(dt, datetime):
+                        trade_dict[k] = dt.strftime('%Y-%m-%d %H:%M:%S')
+                    else:
+                        trade_dict[k] = datetime.now().strftime('%Y-%m-%d') + ' ' + getattr(trade, 'time', '')
                 if k in ['exchange', 'direction', 'offset']:
                     trade_dict[k] = getattr(trade, k).value
                 else:
@@ -586,12 +593,12 @@ class CtaEngine(BaseEngine):
         order = self.main_engine.get_order(vt_orderid)
         if not order:
             self.write_log(msg=f"撤单失败，找不到委托{vt_orderid}",
-                           strategy_Name=strategy.name,
+                           strategy_Name=strategy.strategy_name,
                            level=logging.ERROR)
-            return
+            return False
 
         req = order.create_cancel_request()
-        self.main_engine.cancel_order(req, order.gateway_name)
+        return self.main_engine.cancel_order(req, order.gateway_name)
 
     def cancel_local_stop_order(self, strategy: CtaTemplate, stop_orderid: str):
         """
@@ -599,7 +606,7 @@ class CtaEngine(BaseEngine):
         """
         stop_order = self.stop_orders.get(stop_orderid, None)
         if not stop_order:
-            return
+            return False
         strategy = self.strategies[stop_order.strategy_name]
 
         # Remove from relation map.
@@ -614,6 +621,7 @@ class CtaEngine(BaseEngine):
 
         self.call_strategy_func(strategy, strategy.on_stop_order, stop_order)
         self.put_stop_order_event(stop_order)
+        return True
 
     def send_order(
             self,
@@ -634,7 +642,7 @@ class CtaEngine(BaseEngine):
         contract = self.main_engine.get_contract(vt_symbol)
         if not contract:
             self.write_log(msg=f"委托失败，找不到合约：{vt_symbol}",
-                           strategy_name=strategy.name,
+                           strategy_name=strategy.strategy_name,
                            level=logging.ERROR)
             return ""
         if contract.gateway_name and not gateway_name:
@@ -659,9 +667,9 @@ class CtaEngine(BaseEngine):
         """
         """
         if vt_orderid.startswith(STOPORDER_PREFIX):
-            self.cancel_local_stop_order(strategy, vt_orderid)
+            return self.cancel_local_stop_order(strategy, vt_orderid)
         else:
-            self.cancel_server_order(strategy, vt_orderid)
+            return self.cancel_server_order(strategy, vt_orderid)
 
     def cancel_all(self, strategy: CtaTemplate):
         """
@@ -689,7 +697,7 @@ class CtaEngine(BaseEngine):
             self.main_engine.subscribe(req, gateway_name)
         else:
             self.write_log(msg=f"找不到合约{vt_symbol},添加到待订阅列表",
-                           strategy_name=strategy.name)
+                           strategy_name=strategy.strategy_name)
             self.pending_subcribe_symbol_map[f'{gateway_name}.{vt_symbol}'].add((strategy_name, is_bar))
             try:
                 self.write_log(f'找不到合约{vt_symbol}信息，尝试请求所有接口')
@@ -713,7 +721,7 @@ class CtaEngine(BaseEngine):
             strategies.append(strategy)
 
         # 添加 策略名 strategy_name  <=> 合约订阅 vt_symbol 的映射
-        subscribe_symbol_set = self.strategy_symbol_map[strategy.name]
+        subscribe_symbol_set = self.strategy_symbol_map[strategy.strategy_name]
         subscribe_symbol_set.add(contract.vt_symbol)
 
         return True
@@ -786,6 +794,16 @@ class CtaEngine(BaseEngine):
         """"""
         return self.engine_type
 
+    @lru_cache()
+    def get_data_path(self):
+        data_path = os.path.abspath(os.path.join(TRADER_DIR, 'data'))
+        return data_path
+
+    @lru_cache()
+    def get_logs_path(self):
+        log_path = os.path.abspath(os.path.join(TRADER_DIR, 'log'))
+        return log_path
+
     def call_strategy_func(
             self, strategy: CtaTemplate, func: Callable, params: Any = None
     ):
@@ -1389,3 +1407,17 @@ class CtaEngine(BaseEngine):
             subject = "CTA策略引擎"
 
         self.main_engine.send_email(subject, msg)
+
+    def send_wechat(self, msg: str, strategy: CtaTemplate = None):
+        """
+        send wechat message to default receiver
+        :param msg:
+        :param strategy:
+        :return:
+        """
+        if strategy:
+            subject = f"{strategy.strategy_name}"
+        else:
+            subject = "CTAPRO引擎"
+
+        send_wx_msg(content=f'{subject}:{msg}')

vnpy/app/cta_strategy_pro/strategies/turtle_signal_strategy.py

@@ -33,7 +33,7 @@ class TurtleSignalStrategy(CtaTemplate):
     long_stop = 0
     short_stop = 0
 
-    parameters = ["x_minuite", "entry_window", "exit_window", "atr_window", "fixed_size"]
+    parameters = ["x_minute", "entry_window", "exit_window", "atr_window", "fixed_size"]
     variables = ["entry_up", "entry_down", "exit_up", "exit_down", "atr_value"]
 
     def __init__(self, cta_engine, strategy_name, vt_symbol, setting):
@@ -52,7 +52,7 @@ class TurtleSignalStrategy(CtaTemplate):
         Callback when strategy is inited.
         """
         self.write_log("策略初始化")
-        #self.load_bar(20)
+        # self.load_bar(20)
 
     def on_start(self):
         """

vnpy/app/cta_strategy_pro/strategies/turtle_signal_strategy_v2.py

@@ -11,6 +11,8 @@ from vnpy.app.cta_strategy_pro import (
     ArrayManager,
 )
 
+from vnpy.trader.utility import round_to
+
 
 class TurtleSignalStrategy_v2(CtaTemplate):
     """"""
@@ -35,7 +37,7 @@ class TurtleSignalStrategy_v2(CtaTemplate):
     long_stop = 0
     short_stop = 0
 
-    parameters = ["x_minuite", "entry_window", "exit_window", "atr_window", "fixed_size"]
+    parameters = ["x_minute", "entry_window", "exit_window", "atr_window", "fixed_size"]
     variables = ["entry_up", "entry_down", "exit_up", "exit_down", "atr_value"]
 
     def __init__(self, cta_engine, strategy_name, vt_symbol, setting):
@@ -47,6 +49,7 @@ class TurtleSignalStrategy_v2(CtaTemplate):
         # 获取合约乘数，保证金比例
         self.symbol_size = self.cta_engine.get_size(self.vt_symbol)
         self.symbol_margin_rate = self.cta_engine.get_margin_rate(self.vt_symbol)
+        self.symbol_price_tick = self.cta_engine.get_price_tick(self.vt_symbol)
 
         self.bg = BarGenerator(self.on_bar, window=self.x_minute)
         self.am = ArrayManager()
@@ -58,7 +61,7 @@ class TurtleSignalStrategy_v2(CtaTemplate):
         Callback when strategy is inited.
         """
         self.write_log("策略初始化")
-        #self.load_bar(20)
+        # self.load_bar(20)
 
     def on_start(self):
         """
@@ -98,8 +101,12 @@ class TurtleSignalStrategy_v2(CtaTemplate):
 
         self.exit_up, self.exit_down = self.am.donchian(self.exit_window)
 
+        if bar.datetime.strftime('%Y-%m-%d %H') == '2016-03-07 09':
+            a = 1  # noqa
+
         if not self.pos:
             self.atr_value = self.am.atr(self.atr_window)
+            self.atr_value = max(4 * self.symbol_price_tick, self.atr_value)
 
             self.long_entry = 0
             self.short_entry = 0
@@ -112,13 +119,17 @@ class TurtleSignalStrategy_v2(CtaTemplate):
             self.send_buy_orders(self.entry_up)
 
             sell_price = max(self.long_stop, self.exit_down)
-            self.sell(sell_price, abs(self.pos), True)
+            refs = self.sell(sell_price, abs(self.pos), True)
+            if len(refs) > 0:
+                self.write_log(f'平多委托编号:{refs}')
 
         elif self.pos < 0:
             self.send_short_orders(self.entry_down)
 
             cover_price = min(self.short_stop, self.exit_up)
-            ret = self.cover(cover_price, abs(self.pos), True)
+            refs = self.cover(cover_price, abs(self.pos), True)
+            if len(refs) > 0:
+                self.write_log(f'平空委托编号:{refs}')
 
         self.put_event()
 
@@ -161,48 +172,77 @@ class TurtleSignalStrategy_v2(CtaTemplate):
 
     def send_buy_orders(self, price):
         """"""
-        if self.pos >= 4:
-            return
 
-        if self.cur_mi_price <= price - self.atr_value/2:
+        if self.cur_mi_price <= price - self.atr_value / 2:
             return
 
         self.update_invest_pos()
 
-        t = self.pos / self.invest_pos
+        t = int(self.pos / self.invest_pos)
+
+        if t >= 4:
+            return
 
         if t < 1:
-            self.buy(price, self.invest_pos, True)
+            refs = self.buy(price, self.invest_pos, True)
+            if len(refs) > 0:
+                self.write_log(f'买入委托编号:{refs}')
 
-        if t < 2:
+        if t == 1 and self.cur_mi_price > price:
-            self.buy(price + self.atr_value * 0.5, self.invest_pos, True)
+            buy_price = round_to(price + self.atr_value * 0.5 , self.symbol_price_tick)
+            self.write_log(u'发出做多停止单，触发价格为: {}'.format(buy_price))
+            refs = self.buy(buy_price, self.invest_pos, True)
+            if len(refs) > 0:
+                self.write_log(f'买入委托编号:{refs}')
 
-        if t < 3:
+        if t == 2 and self.cur_mi_price > price + self.atr_value * 0.5:
-            self.buy(price + self.atr_value, self.invest_pos, True)
+            buy_price = round_to(price + self.atr_value, self.symbol_price_tick)
+            self.write_log(u'发出做多停止单，触发价格为: {}'.format(buy_price))
+            refs = self.buy(buy_price, self.invest_pos, True)
+            if len(refs) > 0:
+                self.write_log(f'买入委托编号:{refs}')
 
-        if t < 4:
+        if t == 3 and self.cur_mi_price > price + self.atr_value:
-            self.buy(price + self.atr_value * 1.5, self.invest_pos, True)
+            buy_price = round_to(price + self.atr_value * 1.5, self.symbol_price_tick)
+            self.write_log(u'发出做多停止单，触发价格为: {}'.format(buy_price))
+            refs = self.buy(buy_price, self.invest_pos, True)
+            if len(refs) > 0:
+                self.write_log(f'买入委托编号:{refs}')
 
     def send_short_orders(self, price):
         """"""
-        if self.pos <= -4:
-            return
-
         if self.cur_mi_price >= price + self.atr_value / 2:
             return
 
         self.update_invest_pos()
 
-        t = self.pos / self.invest_pos
+        t = int(self.pos / self.invest_pos)
+
+        if t <= -4:
+            return
 
         if t > -1:
-            self.short(price, self.invest_pos, True)
+            refs = self.short(price, self.invest_pos, True)
+            if len(refs) > 0:
+                self.write_log(f'卖出委托编号:{refs}')
 
-        if t > -2:
+        if t == -1 and self.cur_mi_price < price:
-            self.short(price - self.atr_value * 0.5, self.invest_pos, True)
+            short_price = round_to(price - self.atr_value * 0.5, self.symbol_price_tick)
+            self.write_log(u'发出做空停止单，触发价格为: {}'.format(short_price))
+            refs = self.short(short_price, self.invest_pos, True)
+            if len(refs) > 0:
+                self.write_log(f'卖出委托编号:{refs}')
 
-        if t > -3:
+        if t == -2 and self.cur_mi_price < price + self.atr_value * 0.5:
-            self.short(price - self.atr_value, self.invest_pos, True)
+            short_price = round_to(price - self.atr_value, self.symbol_price_tick)
+            self.write_log(u'发出做空停止单，触发价格为: {}'.format(short_price))
+            refs = self.short(short_price, self.invest_pos, True)
+            if len(refs) > 0:
+                self.write_log(f'卖出委托编号:{refs}')
 
-        if t > -4:
+        if t == -3 and self.cur_mi_price < price + self.atr_value:
-            self.short(price - self.atr_value * 1.5, self.invest_pos, True)
+            short_price = round_to(price - self.atr_value * 1.5, self.symbol_price_tick)
+            self.write_log(u'发出做空停止单，触发价格为: {}'.format(short_price))
+            refs = self.short(short_price, self.invest_pos, True)
+            if len(refs) > 0:
+                self.write_log(f'卖出委托编号:{refs}')

vnpy/app/cta_strategy_pro/template.py

@@ -1,40 +1,23 @@
 """"""
-import sys
+import os
+import uuid
+import bz2
+import pickle
+import copy
+import traceback
+
 from abc import ABC
 from copy import copy
 from typing import Any, Callable
 from logging import INFO, ERROR
-from vnpy.trader.constant import Interval, Direction, Offset
+from datetime import datetime
+from vnpy.trader.constant import Interval, Direction, Offset, Status
 from vnpy.trader.object import BarData, TickData, OrderData, TradeData
-from vnpy.trader.utility import virtual
+from vnpy.trader.utility import virtual, append_data, extract_vt_symbol,get_underlying_symbol
 
 from .base import StopOrder, EngineType
-
+from .cta_grid_trade import CtaGrid, CtaGridTrade
-
+from .cta_position import CtaPosition
-class CtaComponent(ABC):
-    """ CTA策略基础组件"""
-    def __init__(self, strategy=None, **kwargs):
-        """
-        构造
-        :param strategy:
-        """
-        self.strategy = strategy
-
-    # ----------------------------------------------------------------------
-    def write_log(self, content: str):
-        """记录日志"""
-        if self.strategy:
-            self.strategy.write_log(msg=content, level=INFO)
-        else:
-            print(content)
-
-    # ----------------------------------------------------------------------
-    def write_error(self, content: str, level: int = ERROR):
-        """记录错误日志"""
-        if self.strategy:
-            self.strategy.write_log(msg=content, level=level)
-        else:
-            print(content, file=sys.stderr)
 
 
 class CtaTemplate(ABC):
@@ -56,9 +39,17 @@ class CtaTemplate(ABC):
         self.strategy_name = strategy_name
         self.vt_symbol = vt_symbol
 
-        self.inited = False
+        self.inited = False  # 是否初始化完毕
-        self.trading = False
+        self.trading = False  # 是否开始交易
-        self.pos = 0
+        self.pos = 0  # 持仓/仓差
+        self.entrust = 0  # 是否正在委托, 0, 无委托 , 1, 委托方向是LONG， -1, 委托方向是SHORT
+
+        self.tick_dict = {}  # 记录所有on_tick传入最新tick
+
+        # 保存委托单编号和相关委托单的字典
+        # key为委托单编号
+        # value为该合约相关的委托单
+        self.active_orders = {}
 
         # Copy a new variables list here to avoid duplicate insert when multiple
         # strategy instances are created with the same strategy class.
@@ -66,8 +57,7 @@ class CtaTemplate(ABC):
         self.variables.insert(0, "inited")
         self.variables.insert(1, "trading")
         self.variables.insert(2, "pos")
-
+        self.variables.insert(3, "entrust")
-        self.update_setting(setting)
 
     def update_setting(self, setting: dict):
         """
@@ -119,6 +109,23 @@ class CtaTemplate(ABC):
         }
         return strategy_data
 
+    def get_positions(self):
+        """ 返回持仓数量"""
+        pos_list = []
+        if self.pos > 0:
+            pos_list.append({
+                "vt_symbol": self.vt_symbol,
+                "direction": "long",
+                "volume": self.pos
+            })
+        elif self.pos < 0:
+            pos_list.append({
+                "vt_symbol": self.vt_symbol,
+                "direction": "short",
+                "volume": abs(self.pos)
+            })
+
+    @virtual
     def on_timer(self):
         pass
 
@@ -178,19 +185,24 @@ class CtaTemplate(ABC):
         """
         pass
 
-    def buy(self, price: float, volume: float, stop: bool = False, lock: bool = False, vt_symbol: str = ''):
+    def buy(self, price: float, volume: float, stop: bool = False, lock: bool = False,
+            vt_symbol: str = '', order_time: datetime = None, grid: CtaGrid = None):
         """
         Send buy order to open a long position.
         """
+
         return self.send_order(vt_symbol=vt_symbol,
                                direction=Direction.LONG,
                                offset=Offset.OPEN,
                                price=price,
                                volume=volume,
                                stop=stop,
-                               lock=lock)
+                               lock=lock,
+                               order_time=order_time,
+                               grid=grid)
 
-    def sell(self, price: float, volume: float, stop: bool = False, lock: bool = False, vt_symbol: str = ''):
+    def sell(self, price: float, volume: float, stop: bool = False, lock: bool = False,
+             vt_symbol: str = '', order_time: datetime = None, grid: CtaGrid = None):
         """
         Send sell order to close a long position.
         """
@@ -200,9 +212,12 @@ class CtaTemplate(ABC):
                                price=price,
                                volume=volume,
                                stop=stop,
-                               lock=lock)
+                               lock=lock,
+                               order_time=order_time,
+                               grid=grid)
 
-    def short(self, price: float, volume: float, stop: bool = False, lock: bool = False, vt_symbol: str = ''):
+    def short(self, price: float, volume: float, stop: bool = False, lock: bool = False,
+              vt_symbol: str = '', order_time: datetime = None, grid: CtaGrid = None):
         """
         Send short order to open as short position.
         """
@@ -212,9 +227,12 @@ class CtaTemplate(ABC):
                                price=price,
                                volume=volume,
                                stop=stop,
-                               lock=lock)
+                               lock=lock,
+                               order_time=order_time,
+                               grid=grid)
 
-    def cover(self, price: float, volume: float, stop: bool = False, lock: bool = False, vt_symbol: str = ''):
+    def cover(self, price: float, volume: float, stop: bool = False, lock: bool = False,
+              vt_symbol: str = '', order_time: datetime = None, grid: CtaGrid = None):
         """
         Send cover order to close a short position.
         """
@@ -224,7 +242,9 @@ class CtaTemplate(ABC):
                                price=price,
                                volume=volume,
                                stop=stop,
-                               lock=lock)
+                               lock=lock,
+                               order_time=order_time,
+                               grid=grid)
 
     def send_order(
             self,
@@ -234,7 +254,9 @@ class CtaTemplate(ABC):
             price: float,
             volume: float,
             stop: bool = False,
-        lock: bool = False
+            lock: bool = False,
+            order_time: datetime = None,
+            grid: CtaGrid = None
     ):
         """
         Send a new order.
@@ -243,20 +265,44 @@ class CtaTemplate(ABC):
         if vt_symbol == '':
             vt_symbol = self.vt_symbol
 
-        if self.trading:
+        if not self.trading:
+            return []
         vt_orderids = self.cta_engine.send_order(
             self, vt_symbol, direction, offset, price, volume, stop, lock
         )
+
+        if order_time is None:
+            order_time = datetime.now()
+
+        for vt_orderid in vt_orderids:
+            d = {
+                'direction': direction.value,
+                'offset': offset.value,
+                'vt_symbol': vt_symbol,
+                'price': price,
+                'volume': volume,
+                'traded': 0,
+                'order_time': order_time,
+                'status': Status.SUBMITTING
+            }
+            if grid:
+                d.update({'grid': grid})
+                grid.order_ids.append(vt_orderid)
+            self.active_orders.update({vt_orderid: d})
+        if direction == Direction.LONG:
+            self.entrust = 1
+        elif direction == Direction.SHORT:
+            self.entrust = -1
         return vt_orderids
-        else:
-            return []
 
     def cancel_order(self, vt_orderid: str):
         """
         Cancel an existing order.
         """
         if self.trading:
-            self.cta_engine.cancel_order(self, vt_orderid)
+            return self.cta_engine.cancel_order(self, vt_orderid)
+
+        return False
 
     def cancel_all(self):
         """
@@ -265,12 +311,32 @@ class CtaTemplate(ABC):
         if self.trading:
             self.cta_engine.cancel_all(self)
 
+    def is_upper_limit(self, symbol):
+        """是否涨停"""
+        tick = self.tick_dict.get(symbol, None)
+        if tick is None or tick.limit_up is None or tick.limit_up == 0:
+            return False
+        if tick.bid_price_1 == tick.limit_up:
+            return True
+
+    def is_lower_limit(self, symbol):
+        """是否跌停"""
+        tick = self.tick_dict.get(symbol, None)
+        if tick is None or tick.limit_down is None or tick.limit_down == 0:
+            return False
+        if tick.ask_price_1 == tick.limit_down:
+            return True
+
     def write_log(self, msg: str, level: int = INFO):
         """
         Write a log message.
         """
         self.cta_engine.write_log(msg=msg, strategy_name=self.strategy_name, level=level)
 
+    def write_error(self, msg: str):
+        """write error log message"""
+        self.write_log(msg=msg, level=ERROR)
+
     def get_engine_type(self):
         """
         Return whether the cta_engine is backtesting or live trading.
@@ -452,3 +518,474 @@ class TargetPosTemplate(CtaTemplate):
                 else:
                     vt_orderids = self.short(short_price, abs(pos_change))
             self.vt_orderids.extend(vt_orderids)
+
+
+class CtaProTemplate(CtaTemplate):
+    """
+    增强模板
+    """
+
+    # 逻辑过程日志
+    dist_fieldnames = ['datetime', 'symbol', 'volume', 'price',
+                       'operation', 'signal', 'stop_price', 'target_price',
+                       'long_pos', 'short_pos']
+
+    def __init__(self, cta_engine, strategy_name, vt_symbol, setting):
+        """"""
+        super(CtaProTemplate, self).__init__(
+            cta_engine, strategy_name, vt_symbol, setting
+        )
+
+        self.idx_symbol = None  # 指数合约
+
+        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.cur_datetime = None  # 当前Tick时间
+
+        self.cur_mi_tick = None  # 最新的主力合约tick( vt_symbol)
+        self.cur_99_tick = None  # 最新得指数合约tick( idx_symbol)
+
+        self.cur_mi_price = None  # 当前价（主力合约 vt_symbol)
+        self.cur_99_price = None  # 当前价（tick时，根据tick更新，onBar回测时，根据bar.close更新)
+
+        self.cancel_seconds = 120  # 撤单时间(秒)
+
+        self.backtesting = False
+
+        self.klines = {}  # K线字典: kline_name: kline
+
+        # 增加仓位管理模块
+        self.position = CtaPosition(strategy=self)
+
+        # 增加网格持久化模块
+        self.gt = CtaGridTrade(strategy=self)
+
+        # 增加指数合约
+        if 'idx_symbol' not in self.parameters:
+            self.parameters.append('idx_symbol')
+
+        if 'backtesting' not in self.parameters:
+            self.parameters.append('backtesting')
+
+    def update_setting(self, setting: dict):
+        """
+        Update strategy parameter wtih value in setting dict.
+        """
+        for name in self.parameters:
+            if name in setting:
+                setattr(self, name, setting[name])
+
+        if self.idx_symbol is None:
+            symbol, exchange = extract_vt_symbol(self.vt_symbol)
+            self.idx_symbol = get_underlying_symbol(symbol).upper() + '99.' + exchange.value
+        if self.vt_symbol != self.idx_symbol:
+            self.write_log(f'指数合约:{self.idx_symbol}, 主力合约:{self.vt_symbol}')
+        self.price_tick = self.cta_engine.get_price_tick(self.vt_symbol)
+        self.symbol_size = self.cta_engine.get_size(self.vt_symbol)
+
+    def save_klines_to_cache(self, kline_names: list = []):
+        """
+        保存K线数据到缓存
+        :param kline_names: 一般为self.klines的keys
+        :return:
+        """
+        if len(kline_names) == 0:
+            kline_names = list(self.klines.keys())
+
+        # 获取保存路径
+        save_path = self.cta_engine.get_data_path()
+        # 保存缓存的文件名
+        file_name = os.path.abspath(os.path.join(save_path, f'{self.strategy_name}_klines.pkb2'))
+        with bz2.BZ2File(file_name, 'wb') as f:
+            klines = {}
+            for kline_name in kline_names:
+                klines.update({kline_name: self.klines.get(kline_name, None)})
+            pickle.dump(klines, f)
+
+    def load_klines_from_cache(self, kline_names: list = []):
+        """
+        从缓存加载K线数据
+        :param kline_names:
+        :return:
+        """
+        if len(kline_names) == 0:
+            kline_names = list(self.klines.keys())
+
+        save_path = self.cta_engine.get_data_path()
+        file_name = os.path.abspath(os.path.join(save_path, f'{self.strategy_name}_klines.pkb2'))
+        try:
+            last_bar_dt = None
+            with bz2.BZ2File(file_name, 'rb') as f:
+                klines = pickle.load(f)
+                # 逐一恢复K线
+                for kline_name in kline_names:
+                    # 缓存的k线实例
+                    cache_kline = klines.get(kline_name, None)
+                    # 当前策略实例的K线实例
+                    strategy_kline = self.klines.get(kline_name, None)
+
+                    if cache_kline and strategy_kline:
+                        # 临时保存当前的回调函数
+                        cb_on_bar = strategy_kline.cb_on_bar
+                        # 缓存实例数据 =》 当前实例数据
+                        strategy_kline.__dict__.update(cache_kline.__dict__)
+
+                        # 所有K线的最后时间
+                        if last_bar_dt and strategy_kline.cur_datetime:
+                            last_bar_dt = max(last_bar_dt, strategy_kline.cur_datetime)
+                        else:
+                            last_bar_dt = strategy_kline.cur_datetime
+
+                        # 重新绑定k线策略与on_bar回调函数
+                        strategy_kline.strategy = self
+                        strategy_kline.cb_on_bar = cb_on_bar
+
+                        self.write_log(f'恢复{kline_name}缓存数据,最新bar结束时间:{last_bar_dt}')
+
+                self.write_log(u'加载缓存k线数据完毕')
+                return last_bar_dt
+        except Exception as ex:
+            self.write_error(f'加载缓存K线数据失败:{str(ex)}')
+        return None
+
+    def get_klines_snapshot(self):
+        """返回当前klines的切片数据"""
+        try:
+            d = {
+                'strategy': self.strategy_name,
+                'datetime': datetime.now()}
+
+            for kline_name in self.klines.keys():
+                d.update({kline_name: self.klines.get(kline_name).get_data()})
+            return d
+        except Exception as ex:
+            self.write_error(u'获取klines切片数据失败')
+            return {}
+
+    def init_position(self):
+        """
+        初始化Positin
+        使用网格的持久化，获取开仓状态的多空单，更新
+        :return:
+        """
+        self.write_log(u'init_position(),初始化持仓')
+        pos_symbols = set()
+        if len(self.gt.up_grids) <= 0:
+            self.position.short_pos = 0
+            # 加载已开仓的空单数据，网格JSON
+            short_grids = self.gt.load(direction=Direction.SHORT, open_status_filter=[True])
+            if len(short_grids) == 0:
+                self.write_log(u'没有持久化的空单数据')
+                self.gt.up_grids = []
+
+            else:
+                self.gt.up_grids = short_grids
+                for sg in short_grids:
+                    if len(sg.order_ids) > 0 or sg.order_status:
+                        self.write_log(f'重置委托状态:{sg.order_status},清除委托单：{sg.order_ids}')
+                        sg.order_status = False
+                        sg.order_ids = []
+
+                    short_symbol = sg.snapshot.get('mi_symbol', self.vt_symbol)
+                    pos_symbols.add(short_symbol)
+                    self.write_log(u'加载持仓空单[{},价格:{}],[指数:{},价格：{}],数量:{}手'
+                                   .format(short_symbol, sg.snapshot.get('open_price'),
+                                           self.idx_symbol, sg.open_price, sg.volume))
+                    self.position.short_pos -= sg.volume
+
+                self.write_log(u'持久化空单，共持仓:{}手'.format(abs(self.position.short_pos)))
+
+        if len(self.gt.dn_grids) <= 0:
+            # 加载已开仓的多数据，网格JSON
+            self.position.long_pos = 0
+            long_grids = self.gt.load(direction=Direction.LONG, open_status_filter=[True])
+            if len(long_grids) == 0:
+                self.write_log(u'没有持久化的多单数据')
+                self.gt.dn_grids = []
+            else:
+                self.gt.dn_grids = long_grids
+                for lg in long_grids:
+
+                    if len(lg.order_ids) > 0 or lg.order_status:
+                        self.write_log(f'重置委托状态:{lg.order_status},清除委托单：{lg.order_ids}')
+                        lg.order_status = False
+                        lg.order_ids = []
+                    # lg.type = self.line.name
+                    long_symbol = lg.snapshot.get('mi_symbol', self.vt_symbol)
+                    pos_symbols.add(long_symbol)
+
+                    self.write_log(u'加载持仓多单[{},价格:{}],[指数{},价格:{}],数量:{}手'
+                                   .format(lg.snapshot.get('miSymbol'), lg.snapshot.get('open_price'),
+                                           self.idx_symbol, lg.open_price, lg.volume))
+                    self.position.long_pos += lg.volume
+
+                self.write_log(f'持久化多单，共持仓:{self.position.long_pos}手')
+
+        self.position.pos = self.position.long_pos + self.position.short_pos
+
+        self.write_log(
+            u'{}加载持久化数据完成，多单:{}，空单:{},共:{}手'
+                .format(self.strategy_name,
+                        self.position.long_pos,
+                        abs(self.position.short_pos),
+                        self.position.pos))
+        self.pos = self.position.pos
+        self.gt.save()
+        self.display_grids()
+
+        if not self.backtesting:
+            pos_symbols.add(self.vt_symbol)
+            pos_symbols.add(self.idx_symbol)
+            # 如果持仓的合约，不在self.vt_symbol中，需要订阅
+            for symbol in list(pos_symbols):
+                self.write_log(f'新增订阅合约:{symbol}')
+                self.cta_engine.subscribe_symbol(strategy_name=self.strategy_name, vt_symbol=symbol)
+
+    def get_positions(self):
+        """
+        获取策略当前持仓(重构，使用主力合约）
+        :return: [{'vt_symbol':symbol,'direction':direction,'volume':volume]
+        """
+        if not self.position:
+            return []
+        pos_list = []
+
+        if self.position.long_pos > 0:
+            for g in self.gt.get_opened_grids(direction=Direction.LONG):
+                vt_symbol = g.snapshot.get('mi_symbol', self.vt_symbol)
+                open_price = g.snapshot.get('open_price', g.openPrice)
+                pos_list.append({'vt_symbol': vt_symbol,
+                                 'direction': 'long',
+                                 'volume': g.volume - g.traded_volume,
+                                 'price': open_price})
+
+        if abs(self.position.short_pos) > 0:
+            for g in self.gt.get_opened_grids(direction=Direction.SHORT):
+                vt_symbol = g.snapshot.get('mi_symbol', self.vt_symbol)
+                open_price = g.snapshot.get('open_price', g.open_price)
+                pos_list.append({'vt_symbol': vt_symbol,
+                                 'direction': 'short',
+                                 'volume': abs(g.volume - g.traded_volume),
+                                 'price': open_price})
+
+        if self.cur_datetime and (datetime.now() - self.cur_datetime).total_seconds() < 10:
+            self.write_log(u'当前持仓:{}'.format(pos_list))
+        return pos_list
+
+    def tns_cancel_logic(self, dt, force=False):
+        "撤单逻辑"""
+        if len(self.active_orders) < 1:
+            self.entrust = 0
+            return
+
+        for vt_orderid in list(self.active_orders.keys()):
+            order_info = self.active_orders.get(vt_orderid)
+            if order_info.get('status', None) in [Status.CANCELLED, Status.REJECTED]:
+                self.active_orders.pop(vt_orderid, None)
+                continue
+
+            order_time = order_info.get('order_time')
+            over_ms = (dt - order_time).total_seconds()
+            if (over_ms > self.cancel_seconds) \
+                    or force:  # 超过设置的时间还未成交
+                self.write_log(f'{dt}, 超时{over_ms}秒未成交，取消委托单：{order_info}')
+
+                if self.cancel_order(vt_orderid):
+                    order_info.update({'status': Status.CANCELLING})
+                else:
+                    order_info.update({'status': Status.CANCELLED})
+
+        if len(self.active_orders) < 1:
+            self.entrust = 0
+
+    def tns_switch_long_pos(self):
+        """切换合约，从持仓的非主力合约，切换至主力合约"""
+
+        if self.entrust != 0 and self.position.long_pos == 0:
+            return
+
+        if self.cur_mi_price == 0:
+            return
+
+        none_mi_grid = None
+        none_mi_symbol = None
+
+        # 找出非主力合约的持仓网格
+        for g in self.gt.get_opened_grids(direction=Direction.LONG):
+            none_mi_symbol = g.snapshot.get('mi_symbol')
+            if none_mi_symbol is None or none_mi_symbol == self.vt_symbol:
+                # 如果持仓的合约，跟策略配置的vt_symbol一致，则不处理
+                continue
+            if not g.open_status or g.order_status or g.volume - g.traded_volume <= 0:
+                continue
+            none_mi_grid = g
+            if g.traded_volume > 0 and g.volume - g.traded_volume > 0:
+                g.volume -= g.traded_volume
+                g.traded_volume = 0
+            break
+        if none_mi_grid is None:
+            return
+
+        # 找到行情中非主力合约/主力合约的最新价
+        none_mi_tick = self.tick_dict.get(none_mi_symbol)
+        mi_tick = self.tick_dict.get(self.vt_symbol, None)
+        if none_mi_tick is None or mi_tick is None:
+            return
+
+        # 如果涨停价，不做卖出
+        if self.is_upper_limit(none_mi_symbol) or self.is_upper_limit(self.vt_symbol):
+            return
+        none_mi_price = max(none_mi_tick.last_price, none_mi_tick.bid_price_1)
+
+        grid = copy.copy(none_mi_grid)
+
+        # 委托卖出非主力合约
+        order_ids = self.sell(price=none_mi_price, volume=none_mi_grid.volume, vt_symbol=none_mi_symbol,
+                              grid=none_mi_grid)
+        if len(order_ids) > 0:
+            self.write_log(f'切换合约,委托卖出非主力合约{none_mi_symbol}持仓:{none_mi_grid.volume}')
+
+            # 添加买入主力合约
+            grid.id = str(uuid.uuid1())
+            grid.snapshot.update({'mi_symbol': self.vt_symbol, 'open_price': self.cur_mi_price})
+            self.gt.dn_grids.append(grid)
+
+            order_ids = self.buy(price=self.cur_mi_price, volume=grid.volume, vt_symbol=self.vt_symbol, grid=grid)
+            if len(order_ids) > 0:
+                self.write_log(u'切换合约,委托买入主力合约:{},价格:{},数量:{}'
+                               .format(self.vt_symbol, self.cur_mi_price, grid.volume))
+                self.gt.save()
+            else:
+                self.write_error(f'委托买入主力合约:{self.vt_symbol}失败')
+        else:
+            self.write_error(f'委托卖出非主力合约:{none_mi_symbol}失败')
+
+    def tns_switch_short_pos(self):
+        """切换合约，从持仓的非主力合约，切换至主力合约"""
+        if self.entrust != 0 and self.position.short_pos == 0:
+            return
+
+        if self.cur_mi_price == 0:
+            return
+
+        none_mi_grid = None
+        none_mi_symbol = None
+
+        # 找出非主力合约的持仓网格
+        for g in self.gt.get_opened_grids(direction=Direction.SHORT):
+            none_mi_symbol = g.snapshot.get('miSymbol')
+            if none_mi_symbol is None or none_mi_symbol == self.vt_symbol:
+                continue
+            if not g.open_status or g.order_status or g.volume - g.traded_volume <= 0:
+                continue
+            none_mi_grid = g
+            if g.traded_volume > 0 and g.volume - g.traded_volume > 0:
+                g.volume -= g.traded_volume
+                g.traded_volume = 0
+            break
+
+        # 找不到与主力合约不一致的持仓网格
+        if none_mi_grid is None:
+            return
+
+        # 找到行情中非主力合约的最新价
+        none_mi_tick = self.tick_dict.get(none_mi_symbol)
+        mi_tick = self.tick_dict.get(self.vt_symbol, None)
+        if none_mi_tick is None or mi_tick is None:
+            return
+
+        # 如果跌停价，不做cover
+        if self.is_lower_limit(none_mi_symbol) or self.is_lower_limit(self.vt_symbol):
+            return
+        none_mi_price = max(none_mi_tick.last_price, none_mi_tick.bid_price_1)
+
+        grid = copy.copy(none_mi_grid)
+        # 委托平空非主力合约
+        order_ids = self.cover(price=none_mi_price, volume=none_mi_grid.volume, vt_symbol=self.vt_symbol,
+                               grid=none_mi_grid)
+        if len(order_ids) > 0:
+            self.write_log(f'委托平空非主力合约{none_mi_symbol}持仓:{none_mi_grid.volume}')
+
+            # 添加卖出主力合约
+            grid.id = str(uuid.uuid1())
+            grid.snapshot.update({'mi_symbol': self.vt_symbol, 'open_price': self.cur_mi_price})
+            self.gt.up_grids.append(grid)
+            order_ids = self.short(price=self.cur_mi_price, volume=grid.volume, vt_symbol=self.vt_symbol, grid=grid)
+            if len(order_ids) > 0:
+                self.write_log(f'委托做空主力合约:{self.vt_symbol},价格:{self.cur_mi_price},数量:{grid.volume}')
+                self.gt.save()
+            else:
+                self.write_error(f'委托做空主力合约:{self.vt_symbol}失败')
+        else:
+            self.write_error(f'委托平空非主力合约:{none_mi_symbol}失败')
+
+    def display_grids(self):
+        """更新网格显示信息"""
+        if not self.inited:
+            return
+
+        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)
+
+    def display_tns(self):
+        """显示事务的过程记录=》 log"""
+        if not self.inited:
+            return
+        self.write_log(u'{} 当前指数{}价格:{},当前主力{}价格：{}'
+                       .format(self.cur_datetime,
+                               self.idx_symbol, self.cur_99_price,
+                               self.vt_symbol, self.cur_mi_price))
+        if hasattr(self, 'policy'):
+            policy = getattr(self, 'policy')
+            op = getattr(policy, 'to_json', None)
+            if callable(op):
+                self.write_log(u'当前Policy:{}'.format(policy.to_json()))
+
+    def save_dist(self, dist_data):
+        """
+        保存策略逻辑过程记录=》 csv文件按
+        :param dist_data:
+        :return:
+        """
+        if self.backtesting:
+            save_path = self.cta_engine.get_logs_path()
+        else:
+            save_path = self.cta_engine.get_data_path()
+        try:
+            if self.position:
+                dist_data.update({'long_pos': self.position.long_pos})
+                dist_data.update({'short_pos': self.position.short_pos})
+
+            file_name = os.path.abspath(os.path.join(save_path, f'{self.strategy_name}_dist.csv'))
+            append_data(file_name=file_name, dict_data=dist_data, field_names=self.dist_fieldnames)
+        except Exception as ex:
+            self.write_error(u'save_dist 异常:{} {}'.format(str(ex), traceback.format_exc()))
+
+    def save_tns(self, tns_data):
+        """
+        保存多空事务记录=》csv文件,便于后续分析
+        :param tns_data:
+        :return:
+        """
+        if self.backtesting:
+            save_path = self.cta_engine.get_logs_path()
+        else:
+            save_path = self.cta_engine.get_data_path()
+
+        try:
+            file_name = os.path.abspath(os.path.join(save_path, f'{self.strategy_name}_tns.csv'))
+            append_data(file_name=file_name, dict_data=tns_data)
+        except Exception as ex:
+            self.write_error(u'save_tns 异常:{} {}'.format(str(ex), traceback.format_exc()))
+
+    def send_wechat(self, msg: str):
+        """实盘时才发送微信"""
+        if self.backtesting:
+            return
+        self.cta_engine.send_wechat(msg=msg, strategy=self)

vnpy/app/cta_strategy_pro/test_line_bar_01.py

@@ -0,0 +1,65 @@
+# flake8: noqa
+
+# 测试 app.cta_strategy_pro.CtaLineBar组件
+# 从通达信获取历史交易记录，模拟tick。推送至line_bar
+
+import os
+import sys
+import json
+
+vnpy_root = os.path.abspath(os.path.join(os.path.dirname(__file__), '..', '..', '..'))
+if vnpy_root not in sys.path:
+    print(f'sys.path apppend:{vnpy_root}')
+    sys.path.append(vnpy_root)
+
+os.environ["VNPY_TESTING"] = "1"
+
+from vnpy.trader.constant import Interval, Exchange
+from vnpy.data.tdx.tdx_common import FakeStrategy
+from vnpy.data.tdx.tdx_future_data import TdxFutureData
+from vnpy.app.cta_strategy_pro.cta_line_bar import CtaLineBar
+from vnpy.trader.object import TickData
+from vnpy.trader.utility import get_trading_date
+
+t1 = FakeStrategy()
+
+tdx_api = TdxFutureData(strategy=t1)
+
+
+def on_bar(bar):
+    print(f'{bar.__dict__}')
+
+
+# 创建10秒周期的k线
+kline_setting = {}
+kline_setting["name"] = "S10"
+kline_setting['interval'] = Interval.SECOND
+kline_setting['bar_interval'] = 10
+kline_setting['price_tick'] = 0.5
+kline_setting['underlying_symbol'] = 'J'
+kline_s10 = CtaLineBar(strategy=t1, cb_on_bar=on_bar, setting=kline_setting)
+
+ret, result = tdx_api.get_history_transaction_data('J99', '20200106')
+# for data in result[0:10] + result[-10:]:
+#    print(data)
+
+for data in result:
+    dt = data['datetime']
+    price = float(data['price'])
+    volume = float(data['volume'])
+
+    tick = TickData(
+        gateway_name='tdx',
+        datetime=dt,
+        last_price=price,
+        volume=volume,
+        symbol='J99',
+        exchange=Exchange('DCE'),
+        date=dt.strftime('%Y-%m-%d'),
+        time=dt.strftime('%H:%M:%S'),
+        trading_day=get_trading_date(dt)
+    )
+
+    kline_s10.on_tick(tick)
+
+os._exit(0)

vnpy/app/cta_strategy_pro/test_line_bar_02.py

@@ -0,0 +1,442 @@
+# flake8: noqa
+
+# 测试 app.cta_strategy_pro.CtaLineBar组件
+# 从通达信获取历史交易记录，模拟tick。推送至line_bar
+
+import os
+import sys
+import json
+import traceback
+from datetime import datetime, timedelta
+
+vnpy_root = os.path.abspath(os.path.join(os.path.dirname(__file__), '..', '..', '..'))
+if vnpy_root not in sys.path:
+    print(f'sys.path apppend:{vnpy_root}')
+    sys.path.append(vnpy_root)
+
+os.environ["VNPY_TESTING"] = "1"
+
+from vnpy.trader.constant import Interval, Exchange
+from vnpy.trader.object import BarData
+from vnpy.app.cta_strategy_pro.cta_line_bar import (
+ CtaLineBar,
+ CtaMinuteBar,
+ CtaHourBar,
+ CtaDayBar,
+ CtaWeekBar)
+from vnpy.trader.utility import round_to
+
+class test_strategy(object):
+
+    def __init__(self):
+
+        self.price_tick = 1
+        self.underlying_symbol = 'I'
+        self.vt_symbol = 'I99'
+
+        self.lineM5 = None
+        self.lineM30 = None
+        self.lineH1 = None
+        self.lineH2 = None
+        self.lineD = None
+        self.lineW = None
+
+        self.TMinuteInterval = 1
+
+        self.save_m30_bars = []
+        self.save_h1_bars = []
+        self.save_h2_bars = []
+        self.save_d_bars = []
+
+        self.save_w_bars = []
+
+    def createM5(self):
+        """使用ctalinbar，创建5分钟K线"""
+        lineM5Setting = {}
+        lineM5Setting['name'] = u'M5'
+        lineM5Setting['interval'] = Interval.MINUTE
+        lineM5Setting['bar_interval'] = 5
+        lineM5Setting['mode'] = CtaLineBar.TICK_MODE
+        lineM5Setting['price_tick'] = self.price_tick
+        lineM5Setting['underlying_symbol'] = self.underlying_symbol
+        self.lineM5 = CtaLineBar(self, self.onBarM5, lineM5Setting)
+
+    def onBarM5(self, bar):
+        self.write_log(self.lineM5.get_last_bar_str())
+
+    def createlineM30_with_macd(self):
+        """使用CtaLineBar，创建30分钟时间"""
+        # 创建M30 K线
+        lineM30Setting = {}
+        lineM30Setting['name'] = u'M30'
+        lineM30Setting['interval'] = Interval.MINUTE
+        lineM30Setting['bar_interval'] = 30
+        lineM30Setting['para_macd_fast_len'] = 26
+        lineM30Setting['para_macd_slow_len'] = 12
+        lineM30Setting['para_macd_signal_len'] = 9
+        lineM30Setting['price_tick'] = self.price_tick
+        lineM30Setting['underlying_symbol'] = self.underlying_symbol
+        self.lineM30 = CtaLineBar(self, self.onBarM30MACD, lineM30Setting)
+
+    def onBarM30MACD(self, bar):
+        self.write_log(self.lineM30.get_last_bar_str())
+
+    def createLineM30(self):
+        """使用ctaMinuteBar, 测试内部自动写入csv文件"""
+        # 创建M30 K线
+        lineM30Setting = {}
+        lineM30Setting['name'] = u'M30'
+        lineM30Setting['interval'] = Interval.MINUTE
+        lineM30Setting['bar_interval'] = 30
+        lineM30Setting['para_pre_len'] = 10
+        lineM30Setting['para_ma1_len'] = 5
+        lineM30Setting['para_ma2_len'] = 10
+        lineM30Setting['para_ma3_len'] = 60
+        lineM30Setting['para_active_yb'] = True
+        lineM30Setting['para_active_skd'] = True
+        lineM30Setting['price_tick'] = self.price_tick
+        lineM30Setting['underlying_symbol'] = self.underlying_symbol
+        self.lineM30 = CtaMinuteBar(self, self.onBarM30, lineM30Setting)
+
+        # 写入文件
+        self.lineM30.export_filename = os.path.abspath(
+            os.path.join(os.getcwd(),
+                         u'export_{}_{}.csv'.format(self.vt_symbol, self.lineM30.name)))
+
+        self.lineM30.export_fields = [
+            {'name': 'datetime', 'source': 'bar', 'attr': 'datetime', 'type_': 'datetime'},
+            {'name': 'open', 'source': 'bar', 'attr': 'open_price', 'type_': 'float'},
+            {'name': 'high', 'source': 'bar', 'attr': 'high_price', 'type_': 'float'},
+            {'name': 'low', 'source': 'bar', 'attr': 'low_price', 'type_': 'float'},
+            {'name': 'close', 'source': 'bar', 'attr': 'close_price', 'type_': 'float'},
+            {'name': 'turnover', 'source': 'bar', 'attr': 'turnover', 'type_': 'float'},
+            {'name': 'volume', 'source': 'bar', 'attr': 'volume', 'type_': 'float'},
+            {'name': 'open_interest', 'source': 'bar', 'attr': 'open_interest', 'type_': 'float'},
+            {'name': 'kf', 'source': 'line_bar', 'attr': 'line_statemean', 'type_': 'list'}
+        ]
+
+    def createLineH1(self):
+        # 创建2小时K线
+        lineH1Setting = {}
+        lineH1Setting['name'] = u'H1'
+        lineH1Setting['interval'] = Interval.HOUR
+        lineH1Setting['bar_interval'] = 1
+        lineH1Setting['para_pre_len'] = 10
+        lineH1Setting['para_ema1_len'] = 5
+        lineH1Setting['para_ema2_len'] = 10
+        lineH1Setting['para_ema3_len'] = 60
+        lineH1Setting['para_active_yb'] = True
+        lineH1Setting['para_active_skd'] = True
+        lineH1Setting['price_tick'] = self.price_tick
+        lineH1Setting['underlying_symbol'] = self.underlying_symbol
+        self.lineH1 = CtaLineBar(self, self.onBarH1, lineH1Setting)
+
+    def createLineH2(self):
+        # 创建2小时K线
+        lineH2Setting = {}
+        lineH2Setting['name'] = u'H2'
+        lineH2Setting['interval'] = Interval.HOUR
+        lineH2Setting['bar_interval'] = 2
+        lineH2Setting['para_pre_len'] = 5
+        lineH2Setting['para_ma1_len'] = 5
+        lineH2Setting['para_ma2_len'] = 10
+        lineH2Setting['para_ma3_len'] = 18
+        lineH2Setting['para_active_yb'] = True
+        lineH2Setting['para_active_skd'] = True
+        lineH2Setting['mode'] = CtaLineBar.TICK_MODE
+        lineH2Setting['price_tick'] = self.price_tick
+        lineH2Setting['underlying_symbol'] = self.underlying_symbol
+        self.lineH2 = CtaHourBar(self, self.onBarH2, lineH2Setting)
+
+    def createLineD(self):
+        # 创建的日K线
+        lineDaySetting = {}
+        lineDaySetting['name'] = u'D1'
+        lineDaySetting['bar_interval'] = 1
+        lineDaySetting['para_pre_len'] = 5
+        lineDaySetting['para_art1_len'] = 26
+        lineDaySetting['para_ma1_len'] = 5
+        lineDaySetting['para_ma2_len'] = 10
+        lineDaySetting['para_ma3_len'] = 18
+        lineDaySetting['para_active_yb'] = True
+        lineDaySetting['para_active_skd'] = True
+        lineDaySetting['price_tick'] = self.price_tick
+        lineDaySetting['underlying_symbol'] = self.underlying_symbol
+        self.lineD = CtaDayBar(self, self.onBarD, lineDaySetting)
+
+    def createLineW(self):
+        """创建周线"""
+        lineWeekSetting = {}
+        lineWeekSetting['name'] = u'W1'
+        lineWeekSetting['para_pre_len'] = 5
+        lineWeekSetting['para_art1_len'] = 26
+        lineWeekSetting['para_ma1_len'] = 5
+        lineWeekSetting['para_ma2_len'] = 10
+        lineWeekSetting['para_ma3_len'] = 18
+        lineWeekSetting['para_active_yb'] = True
+        lineWeekSetting['para_active_skd'] = True
+        lineWeekSetting['mode'] = CtaDayBar.TICK_MODE
+        lineWeekSetting['price_tick'] = self.price_tick
+        lineWeekSetting['underlying_symbol'] = self.underlying_symbol
+        self.lineW = CtaWeekBar(self, self.onBarW, lineWeekSetting)
+
+    def onBar(self, bar):
+        # print(u'tradingDay:{},dt:{},o:{},h:{},l:{},c:{},v:{}'.format(bar.trading_day,bar.datetime, bar.open, bar.high, bar.low_price, bar.close_price, bar.volume))
+        if self.lineW:
+            self.lineW.add_bar(bar, bar_freq=self.TMinuteInterval)
+        if self.lineD:
+            self.lineD.add_bar(bar, bar_freq=self.TMinuteInterval)
+        if self.lineH2:
+            self.lineH2.add_bar(bar, bar_freq=self.TMinuteInterval)
+
+        if self.lineH1:
+            self.lineH1.add_bar(bar, bar_freq=self.TMinuteInterval)
+
+        if self.lineM30:
+            self.lineM30.add_bar(bar, bar_freq=self.TMinuteInterval)
+
+        if self.lineM5:
+            self.lineM5.add_bar(bar, bar_freq=self.TMinuteInterval)
+
+        # if self.lineH2:
+        #    self.lineH2.skd_is_high_dead_cross(runtime=True, high_skd=30)
+        #    self.lineH2.skd_is_low_golden_cross(runtime=True, low_skd=70)
+
+    def onBarM30(self, bar):
+        self.write_log(self.lineM30.get_last_bar_str())
+
+        self.save_m30_bars.append({
+            'datetime': bar.datetime,
+            'open': bar.open_price,
+            'high': bar.high_price,
+            'low': bar.low_price,
+            'close': bar.close_price,
+            'turnover': 0,
+            'volume': bar.volume,
+            'open_interest': 0,
+            'ma5': self.lineM30.line_ma1[-1] if len(self.lineM30.line_ma1) > 0 else bar.close_price,
+            'ma10': self.lineM30.line_ma2[-1] if len(self.lineM30.line_ma2) > 0 else bar.close_price,
+            'ma60': self.lineM30.line_ma3[-1] if len(self.lineM30.line_ma3) > 0 else bar.close_price,
+            'sk': self.lineM30.line_sk[-1] if len(self.lineM30.line_sk) > 0 else 0,
+            'sd': self.lineM30.line_sd[-1] if len(self.lineM30.line_sd) > 0 else 0
+        })
+
+    def onBarH1(self, bar):
+        self.write_log(self.lineH1.get_last_bar_str())
+
+        self.save_h1_bars.append({
+            'datetime': bar.datetime,
+            'open': bar.open_price,
+            'high': bar.high_price,
+            'low': bar.low_price,
+            'close': bar.close_price,
+            'turnover': 0,
+            'volume': bar.volume,
+            'open_interest': 0,
+            'ema5': self.lineH1.line_ema1[-1] if len(self.lineH1.line_ema1) > 0 else bar.close_price,
+            'ema10': self.lineH1.line_ema2[-1] if len(self.lineH1.line_ema2) > 0 else bar.close_price,
+            'ema60': self.lineH1.line_ema3[-1] if len(self.lineH1.line_ema3) > 0 else bar.close_price,
+            'sk': self.lineH1.line_sk[-1] if len(self.lineH1.line_sk) > 0 else 0,
+            'sd': self.lineH1.line_sd[-1] if len(self.lineH1.line_sd) > 0 else 0
+        })
+
+    def onBarH2(self, bar):
+        self.write_log(self.lineH2.get_last_bar_str())
+
+        self.save_h2_bars.append({
+            'datetime': bar.datetime,
+            'open': bar.open_price,
+            'high': bar.high_price,
+            'low': bar.low_price,
+            'close': bar.close_price,
+            'turnover': 0,
+            'volume': bar.volume,
+            'open_interest': 0,
+            'ma5': self.lineH2.line_ma1[-1] if len(self.lineH2.line_ma1) > 0 else bar.close_price,
+            'ma10': self.lineH2.line_ma2[-1] if len(self.lineH2.line_ma2) > 0 else bar.close_price,
+            'ma18': self.lineH2.line_ma3[-1] if len(self.lineH2.line_ma3) > 0 else bar.close_price,
+            'sk': self.lineH2.line_sk[-1] if len(self.lineH2.line_sk) > 0 else 0,
+            'sd': self.lineH2.line_sd[-1] if len(self.lineH2.line_sd) > 0 else 0
+        })
+
+    def onBarD(self, bar):
+        self.write_log(self.lineD.get_last_bar_str())
+        self.save_d_bars.append({
+            'datetime': bar.datetime,
+            'open': bar.open_price,
+            'high': bar.high_price,
+            'low': bar.low_price,
+            'close': bar.close_price,
+            'turnover': 0,
+            'volume': bar.volume,
+            'open_interest': 0,
+            'ma5': self.lineD.line_ma1[-1] if len(self.lineD.line_ma1) > 0 else bar.close_price,
+            'ma10': self.lineD.line_ma2[-1] if len(self.lineD.line_ma2) > 0 else bar.close_price,
+            'ma18': self.lineD.line_ma3[-1] if len(self.lineD.line_ma3) > 0 else bar.close_price,
+            'sk': self.lineD.line_sk[-1] if len(self.lineD.line_sk) > 0 else 0,
+            'sd': self.lineD.line_sd[-1] if len(self.lineD.line_sd) > 0 else 0
+        })
+
+    def onBarW(self, bar):
+        self.write_log(self.lineW.get_last_bar_str())
+        self.save_w_bars.append({
+            'datetime': bar.datetime,
+            'open': bar.open_price,
+            'high': bar.high_price,
+            'low': bar.low_price,
+            'close': bar.close_price,
+            'turnover': 0,
+            'volume': bar.volume,
+            'open_interest': 0,
+            'ma5': self.lineW.line_ma1[-1] if len(self.lineW.line_ma1) > 0 else bar.close_price,
+            'ma10': self.lineW.line_ma2[-1] if len(self.lineW.line_ma2) > 0 else bar.close_price,
+            'ma18': self.lineW.line_ma3[-1] if len(self.lineW.line_ma3) > 0 else bar.close_price,
+            'sk': self.lineW.line_sk[-1] if len(self.lineW.line_sk) > 0 else 0,
+            'sd': self.lineW.line_sd[-1] if len(self.lineW.line_sd) > 0 else 0
+        })
+
+    def on_tick(self, tick):
+        print(u'{0},{1},ap:{2},av:{3},bp:{4},bv:{5}'.format(tick.datetime, tick.last_price, tick.ask_price_1,
+                                                            tick.ask_volume_1, tick.bid_price_1, tick.bid_volume_1))
+
+    def write_log(self, content):
+        print(content)
+
+    def saveData(self):
+
+        if len(self.save_m30_bars) > 0:
+            outputFile = '{}_m30.csv'.format(self.vt_symbol)
+            with open(outputFile, 'w', encoding='utf8', newline='') as f:
+                fieldnames = ['datetime', 'open', 'high', 'low', 'close', 'turnover', 'volume', 'open_interest',
+                              'ma5', 'ma10', 'ma60', 'sk', 'sd']
+                writer = csv.DictWriter(f=f, fieldnames=fieldnames, dialect='excel')
+                writer.writeheader()
+                for row in self.save_m30_bars:
+                    writer.writerow(row)
+
+        if len(self.save_h1_bars) > 0:
+            outputFile = '{}_h1.csv'.format(self.vt_symbol)
+            with open(outputFile, 'w', encoding='utf8', newline='') as f:
+                fieldnames = ['datetime', 'open', 'high', 'low', 'close', 'turnover', 'volume', 'open_interest',
+                              'ema5', 'ema10', 'ema60', 'sk', 'sd']
+                writer = csv.DictWriter(f=f, fieldnames=fieldnames, dialect='excel')
+                writer.writeheader()
+                for row in self.save_h1_bars:
+                    writer.writerow(row)
+
+        if len(self.save_h2_bars) > 0:
+            outputFile = '{}_h2.csv'.format(self.vt_symbol)
+            with open(outputFile, 'w', encoding='utf8', newline='') as f:
+                fieldnames = ['datetime', 'open', 'high', 'low', 'close', 'turnover', 'volume', 'open_interest',
+                              'ma5', 'ma10', 'ma18', 'sk', 'sd']
+                writer = csv.DictWriter(f=f, fieldnames=fieldnames, dialect='excel')
+                writer.writeheader()
+                for row in self.save_h2_bars:
+                    writer.writerow(row)
+
+        if len(self.save_d_bars) > 0:
+            outputFile = '{}_d.csv'.format(self.vt_symbol)
+            with open(outputFile, 'w', encoding='utf8', newline='') as f:
+                fieldnames = ['datetime', 'open', 'high', 'low', 'close', 'turnover', 'volume', 'open_interest',
+                              'ma5', 'ma10', 'ma18', 'sk', 'sd']
+                writer = csv.DictWriter(f=f, fieldnames=fieldnames, dialect='excel')
+                writer.writeheader()
+                for row in self.save_d_bars:
+                    writer.writerow(row)
+
+        if len(self.save_w_bars) > 0:
+            outputFile = '{}_w.csv'.format(self.vt_symbol)
+            with open(outputFile, 'w', encoding='utf8', newline='') as f:
+                fieldnames = ['datetime', 'open', 'high', 'low', 'close', 'turnover', 'volume', 'open_interest',
+                              'ma5', 'ma10', 'ma18', 'sk', 'sd']
+                writer = csv.DictWriter(f=f, fieldnames=fieldnames, dialect='excel')
+                writer.writeheader()
+                for row in self.save_w_bars:
+                    writer.writerow(row)
+
+
+if __name__ == '__main__':
+    t = test_strategy()
+    t.price_tick = 0.5
+    t.underlying_symbol = 'J'
+    t.vt_symbol = 'J99'
+
+    # t.createM5()
+    # t.createLineW()
+
+    # t.createlineM30_with_macd()
+
+    # 创建M30线
+    # t.createLineM30()
+
+    # 回测1小时线
+    # t.createLineH1()
+
+    # 回测2小时线
+    # t.createLineH2()
+
+    # 回测日线
+    # t.createLineD()
+
+    # 测试周线
+    t.createLineW()
+
+    # vnpy/app/cta_strategy_pro/
+    vnpy_root = os.path.abspath(os.path.join(os.path.dirname(__file__), '..', '..', '..'))
+
+    filename = os.path.abspath(os.path.join(vnpy_root, 'bar_data/{}_20160101_1m.csv'.format(t.vt_symbol)))
+    csv_bar_seconds = 60  # csv 文件内，bar的时间间隔60秒
+
+    import csv
+
+    csvfile = open(filename, 'r', encoding='utf8')
+    reader = csv.DictReader((line.replace('\0', '') for line in csvfile), delimiter=",")
+    last_tradingDay = None
+    for row in reader:
+        try:
+            dt = datetime.strptime(row['datetime'], '%Y-%m-%d %H:%M:%S') - timedelta(seconds=csv_bar_seconds)
+
+            bar = BarData(
+                gateway_name='',
+                symbol=t.vt_symbol,
+                exchange=Exchange.LOCAL,
+                datetime=dt,
+                interval=Interval.MINUTE,
+                open_price=round_to(float(row['open']), t.price_tick),
+                high_price=round_to(float(row['high']), t.price_tick),
+                low_price=round_to(float(row['low']), t.price_tick),
+                close_price=round_to(float(row['close']), t.price_tick),
+                volume=float(row['volume'])
+            )
+
+            if 'trading_date' in row:
+                bar.trading_day = row['trading_date']
+                if len(bar.trading_day) == 8 and '-' not in bar.trading_day:
+                    bar.trading_day = bar.trading_day[0:4] + '-' + bar.trading_day[4:6] + '-' + bar.trading_day[6:8]
+            else:
+                if bar.datetime.hour >= 21:
+                    if bar.datetime.isoweekday() == 5:
+                        # 星期五=》星期一
+                        bar.trading_day = (dt + timedelta(days=3)).strftime('%Y-%m-%d')
+                    else:
+                        # 第二天
+                        bar.trading_day = (dt + timedelta(days=1)).strftime('%Y-%m-%d')
+                elif bar.datetime.hour < 8 and bar.datetime.isoweekday() == 6:
+                    # 星期六=>星期一
+                    bar.trading_day = (dt + timedelta(days=2)).strftime('%Y-%m-%d')
+                else:
+                    bar.trading_day = bar.datetime.strftime('%Y-%m-%d')
+
+            t.onBar(bar)
+            # 测试 实时计算值
+            # sk, sd = t.lineM30.getRuntimeSKD()
+
+            # 测试实时计算值
+            # if bar.datetime.minute==1:
+            #    print('rt_Dif:{}'.format(t.lineM30.rt_Dif))
+        except Exception as ex:
+            t.write_log(u'{0}:{1}'.format(Exception, ex))
+            traceback.print_exc()
+            break
+
+    t.saveData()

vnpy/app/index_tick_publisher/engine.py

@@ -3,8 +3,6 @@
 # 通达信指数行情发布器
 # 华富资产
 
-import os
-import sys
 import copy
 import json
 import traceback

vnpy/app/risk_manager/engine.py

@@ -11,7 +11,6 @@ from vnpy.trader.event import EVENT_TRADE, EVENT_ORDER, EVENT_LOG, EVENT_ACCOUNT
 from vnpy.trader.constant import Status
 from vnpy.trader.utility import load_json, save_json
 
-
 APP_NAME = "RiskManager"
 
 
@@ -178,6 +177,24 @@ class RiskManagerEngine(BaseEngine):
                             account.balance, account_percent, self.percent_limit)
                 self.write_log(msg)
 
+    def get_account(self, vt_accountid: str = ""):
+        """获取账号的当前净值，可用资金，账号当前仓位百分比，允许的最大仓位百分比"""
+        if vt_accountid:
+            account = self.account_dict.get(vt_accountid, None)
+            if account:
+                return account.balance, \
+                       account.available, \
+                       round(account.frozen * 100 / (account.balance + 0.01), 2), \
+                       self.percent_limit
+        if len(self.account_dict.values()) > 0:
+            account = self.account_dict.values()[0]
+            return account.balance, \
+                   account.available, \
+                   round(account.frozen * 100 / (account.balance + 0.01), 2), \
+                   self.percent_limit
+        else:
+            return 0, 0, 0, 0
+
     def write_log(self, msg: str):
         """"""
         log = LogData(msg=msg, gateway_name="RiskManager")

vnpy/data/tdx/future_contracts.json

@@ -13,7 +13,7 @@
         "mi_symbol": "ag2007",
         "full_symbol": "AG2007",
         "exchange": "SHFE",
-        "margin_rate": 0.08,
+        "margin_rate": 0.07,
         "symbol_size": 15,
         "price_tick": 1.0
     },
@@ -22,7 +22,7 @@
         "mi_symbol": "al2003",
         "full_symbol": "AL2003",
         "exchange": "SHFE",
-        "margin_rate": 0.1,
+        "margin_rate": 0.07,
         "symbol_size": 5,
         "price_tick": 5.0
     },
@@ -31,7 +31,7 @@
         "mi_symbol": "AP005",
         "full_symbol": "AP2005",
         "exchange": "CZCE",
-        "margin_rate": 0.07,
+        "margin_rate": 0.08,
         "symbol_size": 10,
         "price_tick": 1.0
     },
@@ -40,7 +40,7 @@
         "mi_symbol": "au2006",
         "full_symbol": "AU2006",
         "exchange": "SHFE",
-        "margin_rate": 0.08,
+        "margin_rate": 0.06,
         "symbol_size": 1000,
         "price_tick": 0.02
     },
@@ -55,8 +55,8 @@
     },
     "BB": {
         "underlying_symbol": "BB",
-        "mi_symbol": "bb2012",
+        "mi_symbol": "bb2101",
-        "full_symbol": "BB2012",
+        "full_symbol": "BB2101",
         "exchange": "DCE",
         "margin_rate": 0.2,
         "symbol_size": 500,
@@ -67,7 +67,7 @@
         "mi_symbol": "bu2006",
         "full_symbol": "BU2006",
         "exchange": "SHFE",
-        "margin_rate": 0.1,
+        "margin_rate": 0.09,
         "symbol_size": 10,
         "price_tick": 2.0
     },
@@ -82,8 +82,8 @@
     },
     "CF": {
         "underlying_symbol": "CF",
-        "mi_symbol": "CF005",
+        "mi_symbol": "CF009",
-        "full_symbol": "CF2005",
+        "full_symbol": "CF2009",
         "exchange": "CZCE",
         "margin_rate": 0.05,
         "symbol_size": 5,
@@ -112,7 +112,7 @@
         "mi_symbol": "cu2003",
         "full_symbol": "CU2003",
         "exchange": "SHFE",
-        "margin_rate": 0.09,
+        "margin_rate": 0.07,
         "symbol_size": 5,
         "price_tick": 10.0
     },
@@ -139,7 +139,7 @@
         "mi_symbol": "eg2005",
         "full_symbol": "EG2005",
         "exchange": "DCE",
-        "margin_rate": 0.05,
+        "margin_rate": 0.06,
         "symbol_size": 10,
         "price_tick": 1.0
     },
@@ -148,9 +148,9 @@
         "mi_symbol": "fb2005",
         "full_symbol": "FB2005",
         "exchange": "DCE",
-        "margin_rate": 0.2,
+        "margin_rate": 0.1,
-        "symbol_size": 500,
+        "symbol_size": 10,
-        "price_tick": 0.05
+        "price_tick": 0.5
     },
     "FG": {
         "underlying_symbol": "FG",
@@ -166,7 +166,7 @@
         "mi_symbol": "fu2005",
         "full_symbol": "FU2005",
         "exchange": "SHFE",
-        "margin_rate": 0.2,
+        "margin_rate": 0.1,
         "symbol_size": 10,
         "price_tick": 1.0
     },
@@ -175,7 +175,7 @@
         "mi_symbol": "hc2005",
         "full_symbol": "HC2005",
         "exchange": "SHFE",
-        "margin_rate": 0.1,
+        "margin_rate": 0.08,
         "symbol_size": 10,
         "price_tick": 1.0
     },
@@ -184,7 +184,7 @@
         "mi_symbol": "i2005",
         "full_symbol": "I2005",
         "exchange": "DCE",
-        "margin_rate": 0.05,
+        "margin_rate": 0.08,
         "symbol_size": 100,
         "price_tick": 0.5
     },
@@ -193,7 +193,7 @@
         "mi_symbol": "IC2003",
         "full_symbol": "IC2003",
         "exchange": "CFFEX",
-        "margin_rate": 0.1,
+        "margin_rate": 0.12,
         "symbol_size": 200,
         "price_tick": 0.2
     },
@@ -220,7 +220,7 @@
         "mi_symbol": "j2005",
         "full_symbol": "J2005",
         "exchange": "DCE",
-        "margin_rate": 0.05,
+        "margin_rate": 0.08,
         "symbol_size": 100,
         "price_tick": 0.5
     },
@@ -229,7 +229,7 @@
         "mi_symbol": "jd2005",
         "full_symbol": "JD2005",
         "exchange": "DCE",
-        "margin_rate": 0.08,
+        "margin_rate": 0.07,
         "symbol_size": 10,
         "price_tick": 1.0
     },
@@ -238,14 +238,14 @@
         "mi_symbol": "jm2005",
         "full_symbol": "JM2005",
         "exchange": "DCE",
-        "margin_rate": 0.05,
+        "margin_rate": 0.08,
         "symbol_size": 60,
         "price_tick": 0.5
     },
     "JR": {
         "underlying_symbol": "JR",
-        "mi_symbol": "JR011",
+        "mi_symbol": "JR101",
-        "full_symbol": "JR2011",
+        "full_symbol": "JR2101",
         "exchange": "CZCE",
         "margin_rate": 0.05,
         "symbol_size": 20,
@@ -328,14 +328,14 @@
         "mi_symbol": "pb2003",
         "full_symbol": "PB2003",
         "exchange": "SHFE",
-        "margin_rate": 0.1,
+        "margin_rate": 0.07,
         "symbol_size": 5,
         "price_tick": 5.0
     },
     "PM": {
         "underlying_symbol": "PM",
-        "mi_symbol": "PM011",
+        "mi_symbol": "PM101",
-        "full_symbol": "PM2011",
+        "full_symbol": "PM2101",
         "exchange": "CZCE",
         "margin_rate": 0.05,
         "symbol_size": 50,
@@ -355,14 +355,14 @@
         "mi_symbol": "rb2005",
         "full_symbol": "RB2005",
         "exchange": "SHFE",
-        "margin_rate": 0.1,
+        "margin_rate": 0.08,
         "symbol_size": 10,
         "price_tick": 1.0
     },
     "RI": {
         "underlying_symbol": "RI",
-        "mi_symbol": "RI011",
+        "mi_symbol": "RI101",
-        "full_symbol": "RI2011",
+        "full_symbol": "RI2101",
         "exchange": "CZCE",
         "margin_rate": 0.05,
         "symbol_size": 20,
@@ -373,7 +373,7 @@
         "mi_symbol": "RM005",
         "full_symbol": "RM2005",
         "exchange": "CZCE",
-        "margin_rate": 0.05,
+        "margin_rate": 0.06,
         "symbol_size": 10,
         "price_tick": 1.0
     },
@@ -391,7 +391,7 @@
         "mi_symbol": "RS011",
         "full_symbol": "RS2011",
         "exchange": "CZCE",
-        "margin_rate": 0.05,
+        "margin_rate": 0.2,
         "symbol_size": 10,
         "price_tick": 1.0
     },
@@ -400,7 +400,7 @@
         "mi_symbol": "ru2005",
         "full_symbol": "RU2005",
         "exchange": "SHFE",
-        "margin_rate": 0.1,
+        "margin_rate": 0.09,
         "symbol_size": 10,
         "price_tick": 5.0
     },
@@ -418,7 +418,7 @@
         "mi_symbol": "sc2003",
         "full_symbol": "SC2003",
         "exchange": "INE",
-        "margin_rate": 0.05,
+        "margin_rate": 0.07,
         "symbol_size": 1000,
         "price_tick": 0.1
     },
@@ -427,7 +427,7 @@
         "mi_symbol": "SF005",
         "full_symbol": "SF2005",
         "exchange": "CZCE",
-        "margin_rate": 0.05,
+        "margin_rate": 0.07,
         "symbol_size": 5,
         "price_tick": 2.0
     },
@@ -436,7 +436,7 @@
         "mi_symbol": "SM005",
         "full_symbol": "SM2005",
         "exchange": "CZCE",
-        "margin_rate": 0.05,
+        "margin_rate": 0.07,
         "symbol_size": 5,
         "price_tick": 2.0
     },
@@ -445,7 +445,7 @@
         "mi_symbol": "sn2006",
         "full_symbol": "SN2006",
         "exchange": "SHFE",
-        "margin_rate": 0.09,
+        "margin_rate": 0.08,
         "symbol_size": 1,
         "price_tick": 10.0
     },
@@ -490,7 +490,7 @@
         "mi_symbol": "TA005",
         "full_symbol": "TA2005",
         "exchange": "CZCE",
-        "margin_rate": 0.05,
+        "margin_rate": 0.06,
         "symbol_size": 5,
         "price_tick": 2.0
     },
@@ -535,7 +535,7 @@
         "mi_symbol": "WH011",
         "full_symbol": "WH2011",
         "exchange": "CZCE",
-        "margin_rate": 0.05,
+        "margin_rate": 0.07,
         "symbol_size": 20,
         "price_tick": 1.0
     },
@@ -544,7 +544,7 @@
         "mi_symbol": "wr2012",
         "full_symbol": "WR2012",
         "exchange": "SHFE",
-        "margin_rate": 0.2,
+        "margin_rate": 0.08,
         "symbol_size": 10,
         "price_tick": 1.0
     },
@@ -562,7 +562,7 @@
         "mi_symbol": "ZC005",
         "full_symbol": "ZC2005",
         "exchange": "CZCE",
-        "margin_rate": 0.05,
+        "margin_rate": 0.06,
         "symbol_size": 100,
         "price_tick": 0.2
     },
@@ -571,7 +571,7 @@
         "mi_symbol": "zn2003",
         "full_symbol": "ZN2003",
         "exchange": "SHFE",
-        "margin_rate": 0.1,
+        "margin_rate": 0.07,
         "symbol_size": 5,
         "price_tick": 5.0
     }

vnpy/data/tdx/refill_tdx_future_bars.py

@@ -29,7 +29,7 @@ api_01 = TdxFutureData()
 api_01.update_mi_contracts()
 
 # 逐一指数合约下载并更新
-for underlying_symbol in ['RB', 'J']:  #api_01.future_contracts.keys():
+for underlying_symbol in api_01.future_contracts.keys():
     index_symbol = underlying_symbol + '99'
     print(f'开始更新:{index_symbol}')
     # csv数据文件名

vnpy/data/tdx/tdx_future_data.py

@@ -137,7 +137,7 @@ class TdxFutureData(object):
                             last_datetime = datetime.strptime(last_datetime_str, '%Y-%m-%d %H:%M:%S')
                             if (datetime.now() - last_datetime).total_seconds() > 60 * 60 * 2:
                                 self.best_ip = {}
-                        except Exception as ex:
+                        except Exception as ex: # noqa
                             self.best_ip = {}
                     else:
                         self.best_ip = {}
@@ -262,6 +262,8 @@ class TdxFutureData(object):
         """
 
         ret_bars = []
+        if '.' in symbol:
+            symbol = symbol.split('.')[0]
         tdx_symbol = symbol.upper().replace('_', '')
         tdx_symbol = tdx_symbol.replace('99', 'L9')
         underlying_symbol = get_underlying_symbol(symbol).upper()

vnpy/task/celery_app.py

@@ -3,7 +3,6 @@
 # Celery app
 # 该py脚本，为启动celery worker app
 # 在项目根目录下，运行 celery -A vnpy.task.celery worker
-import time
 from celery import Celery
 
 import sys
@@ -23,7 +22,7 @@ if vnpy_root not in sys.path:
     sys.path.append(vnpy_root)
 
 # 使用本地配置的
-from vnpy.trader.utility import load_json
+from vnpy.trader.utility import load_json  # noqa
 
 file_path = os.path.abspath(os.path.join(os.path.dirname(__file__), 'celery_config.json'))
 celery_config = load_json(file_path)
@@ -40,17 +39,8 @@ print(u'Celery 使用redis配置:\nbroker:{}\nbackend:{}'.format(broker, backend
 
 app = Celery('vnpy_task', broker=broker)
 
-
 # 动态导入task目录下子任务
-# app.conf.CELERY_IMPORTS = ['vnpy.task.celery_app.worker_started']
+app.conf.CELERY_IMPORTS = ['vnpy.task.celery_app.worker_started']
-
-# app.conf.update(
-#        CELERY_TASK_SERIALIZER='json',
-#        CELERY_RESULT_SERIALIZER='json',
-#        CELERY_ACCEPT_CONTENT=['json'],
-#        CELERY_TIMEZONE='Asia/Shanghai',
-#        CELERY_ENABLE_UTC=True
-#                )
 
 
 def worker_started():
@@ -59,7 +49,7 @@ def worker_started():
         import socket
         from vnpy.trader.util_wechat import send_wx_msg
         send_wx_msg(u'{} Celery Worker 启动'.format(socket.gethostname()))
-    except:
+    except:  # noqa
         pass
 
 

vnpy/trader/constant.py

@@ -136,6 +136,7 @@ class Exchange(Enum):
     LOCAL = "LOCAL"  # For local generated data
     SPD = "SPD"  # Customer Spread data
 
+
 class Currency(Enum):
     """
     Currency.

vnpy/trader/engine.py

@@ -176,7 +176,7 @@ class MainEngine:
             if gateway:
                 gateway.subscribe(req)
         else:
-            for gateway in self.gateways.items():
+            for gateway in self.gateways.values():
                 if gateway:
                     gateway.subscribe(req)
 
@@ -196,7 +196,8 @@ class MainEngine:
         """
         gateway = self.get_gateway(gateway_name)
         if gateway:
-            gateway.cancel_order(req)
+            return gateway.cancel_order(req)
+        return False
 
     def send_orders(self, reqs: Sequence[OrderRequest], gateway_name: str):
         """
@@ -588,12 +589,13 @@ class CustomContract(object):
         for symbol, setting in self.setting.items():
             gateway_name = setting.get('gateway_name', None)
             if gateway_name is None:
-                gateway_name= SETTINGS.get('gateway_name','')
+                gateway_name = SETTINGS.get('gateway_name', '')
             vn_exchange = Exchange(setting.get('exchange', 'LOCAL'))
             contract = ContractData(
                 gateway_name=gateway_name,
                 symbol=symbol,
-                name=contract.symbol,
+                exchange=vn_exchange,
+                name=setting.get('name', symbol),
                 size=setting.get('size', 100),
                 pricetick=setting.get('price_tick', 0.01),
                 margin_rate=setting.get('margin_rate', 0.1)
@@ -602,6 +604,7 @@ class CustomContract(object):
 
         return d
 
+
 class EmailEngine(BaseEngine):
     """
     Provides email sending function for VN Trader.

vnpy/trader/event.py

@@ -26,4 +26,3 @@ EVENT_FUNDS_FLOW = 'eFundsFlow.'
 EVENT_ERROR = 'eError'
 EVENT_WARNING = 'eWarning'
 EVENT_CRITICAL = 'eCritical'
-

vnpy/trader/gateway.py

@@ -262,7 +262,7 @@ class BaseGateway(ABC):
         implementation should finish the tasks blow:
         * send request to server
         """
-        pass
+        return False
 
     def send_orders(self, reqs: Sequence[OrderRequest]):
         """

vnpy/trader/object.py

@@ -8,7 +8,7 @@ from logging import INFO
 
 from .constant import Direction, Exchange, Interval, Offset, Status, Product, OptionType, OrderType
 
-ACTIVE_STATUSES = set([Status.SUBMITTING, Status.NOTTRADED, Status.PARTTRADED])
+ACTIVE_STATUSES = set([Status.SUBMITTING, Status.NOTTRADED, Status.PARTTRADED, Status.CANCELLING])
 
 
 @dataclass
@@ -339,6 +339,7 @@ class SubscribeRequest:
     def __eq__(self, other):
         return self.vt_symbol == other.vt_symbol
 
+
 @dataclass
 class OrderRequest:
     """

vnpy/trader/utility.py

@@ -172,17 +172,20 @@ def extract_vt_symbol(vt_symbol: str):
     symbol, exchange_str = vt_symbol.split(".")
     return symbol, Exchange(exchange_str)
 
+
 def generate_vt_symbol(symbol: str, exchange: Exchange):
     """
     return vt_symbol
     """
     return f"{symbol}.{exchange.value}"
 
+
 def format_number(n):
     """格式化数字到字符串"""
     rn = round(n, 2)  # 保留两位小数
     return format(rn, ',')  # 加上千分符
 
+
 def _get_trader_dir(temp_name: str):
     """
     Get path where trader is running in.
@@ -212,8 +215,9 @@ def _get_trader_dir(temp_name: str):
 
 
 TRADER_DIR, TEMP_DIR = _get_trader_dir(".vntrader")
-sys.path.append(str(TRADER_DIR))
+if TRADER_DIR not in sys.path:
-print(f'sys.path append: {str(TRADER_DIR)}')
+    sys.path.append(str(TRADER_DIR))
+    print(f'sys.path append: {str(TRADER_DIR)}')
 
 
 def get_file_path(filename: str):
@@ -306,7 +310,7 @@ def print_dict(d: dict):
     return '\n'.join([f'{key}:{d[key]}' for key in sorted(d.keys())])
 
 
-def append_data(self, file_name: str, dict_data: dict, field_names: list = []):
+def append_data(file_name: str, dict_data: dict, field_names: list = []):
     """
     添加数据到csv文件中
     :param file_name:  csv的文件全路径
@@ -360,19 +364,254 @@ def import_module_by_str(import_module_name):
 
             comp = modules[-1]
             if not hasattr(mod, comp):
-                loaded_modules = '.'.join([loaded_modules,comp])
+                loaded_modules = '.'.join([loaded_modules, comp])
                 print('realod {}'.format(loaded_modules))
                 mod = reload(loaded_modules)
             else:
-                print('from {} import {}'.format(loaded_modules,comp))
+                print('from {} import {}'.format(loaded_modules, comp))
                 mod = getattr(mod, comp)
             return mod
 
     except Exception as ex:
-        print('import {} fail,{},{}'.format(import_module_name,str(ex),traceback.format_exc()))
+        print('import {} fail,{},{}'.format(import_module_name, str(ex), traceback.format_exc()))
 
         return None
 
+
+def save_df_to_excel(file_name, sheet_name, df):
+    """
+    保存dataframe到execl
+    :param file_name: 保存的excel文件名
+    :param sheet_name: 保存的sheet
+    :param df: dataframe
+    :return: True/False
+    """
+    if file_name is None or sheet_name is None or df is None:
+        return False
+
+    # ----------------------------- 扩展的功能 ---------
+    try:
+        import openpyxl
+        from openpyxl.utils.dataframe import dataframe_to_rows
+        # from openpyxl.drawing.image import Image
+    except: # noqa
+        print(u'can not import openpyxl', file=sys.stderr)
+
+    if 'openpyxl' not in sys.modules:
+        print(u'can not import openpyxl', file=sys.stderr)
+        return False
+
+    try:
+        ws = None
+
+        try:
+            # 读取文件
+            wb = openpyxl.load_workbook(file_name)
+        except: # noqa
+            # 创建一个excel workbook
+            wb = openpyxl.Workbook()
+            ws = wb.active
+            ws.title = sheet_name
+        try:
+            # 定位WorkSheet
+            if ws is None:
+                ws = wb[sheet_name]
+        except: # noqa
+            # 创建一个WorkSheet
+            ws = wb.create_sheet()
+            ws.title = sheet_name
+
+        rows = dataframe_to_rows(df)
+        for r_idx, row in enumerate(rows, 1):
+            for c_idx, value in enumerate(row, 1):
+                ws.cell(row=r_idx, column=c_idx, value=value)
+
+        # Save the workbook
+        wb.save(file_name)
+        wb.close()
+    except Exception as ex:
+        import traceback
+        print(u'save_df_to_excel exception:{}'.format(str(ex)), traceback.format_exc(), file=sys.stderr)
+
+
+def save_text_to_excel(file_name, sheet_name, text):
+    """
+    保存文本文件到excel
+    :param file_name:
+    :param sheet_name:
+    :param text:
+    :return:
+    """
+    if file_name is None or len(sheet_name) == 0 or len(text) == 0:
+        return False
+
+    # ----------------------------- 扩展的功能 ---------
+    try:
+        import openpyxl
+        # from openpyxl.utils.dataframe import dataframe_to_rows
+        # from openpyxl.drawing.image import Image
+    except: # noqa
+        print(u'can not import openpyxl', file=sys.stderr)
+
+    if 'openpyxl' not in sys.modules:
+        return False
+
+    try:
+        ws = None
+        try:
+            # 读取文件
+            wb = openpyxl.load_workbook(file_name)
+        except: # noqa
+            # 创建一个excel workbook
+            wb = openpyxl.Workbook()
+            ws = wb.active
+            ws.title = sheet_name
+        try:
+            # 定位WorkSheet
+            if ws is None:
+                ws = wb[sheet_name]
+        except: # noqa
+            # 创建一个WorkSheet
+            ws = wb.create_sheet()
+            ws.title = sheet_name
+
+        # 设置宽度，自动换行方式
+        ws.column_dimensions["A"].width = 120
+        ws['A2'].alignment = openpyxl.styles.Alignment(wrapText=True)
+        ws['A2'].value = text
+
+        # Save the workbook
+        wb.save(file_name)
+        wb.close()
+        return True
+    except Exception as ex:
+        import traceback
+        print(u'save_text_to_excel exception:{}'.format(str(ex)), traceback.format_exc(), file=sys.stderr)
+        return False
+
+
+def save_images_to_excel(file_name, sheet_name, image_names):
+    """
+    # 保存图形文件到excel
+    :param file_name: excel文件名
+    :param sheet_name: workSheet
+    :param image_names: 图像文件名列表
+    :return:
+    """
+    if file_name is None or len(sheet_name) == 0 or len(image_names) == 0:
+        return False
+    # ----------------------------- 扩展的功能 ---------
+    try:
+        import openpyxl
+        # from openpyxl.utils.dataframe import dataframe_to_rows
+        from openpyxl.drawing.image import Image
+    except Exception as ex:
+        print(f'can not import openpyxl:{str(ex)}', file=sys.stderr)
+
+    if 'openpyxl' not in sys.modules:
+        return False
+    try:
+        ws = None
+
+        try:
+            # 读取文件
+            wb = openpyxl.load_workbook(file_name)
+        except: # noqa
+            # 创建一个excel workbook
+            wb = openpyxl.Workbook()
+            ws = wb.active
+            ws.title = sheet_name
+        try:
+            # 定位WorkSheet
+            if ws is None:
+                ws = wb[sheet_name]
+        except Exception as ex:  # noqa
+            # 创建一个WorkSheet
+            ws = wb.create_sheet()
+            ws.title = sheet_name
+
+        i = 1
+
+        for image_name in image_names:
+            try:
+                # 加载图形文件
+                img1 = Image(image_name)
+
+                cell_id = 'A{0}'.format(i)
+                ws[cell_id].value = image_name
+                cell_id = 'A{0}'.format(i + 1)
+
+                i += 30
+
+                # 添加至对应的WorkSheet中
+                ws.add_image(img1, cell_id)
+            except Exception as ex:
+                print('exception loading image {}, {}'.format(image_name, str(ex)), file=sys.stderr)
+                return False
+
+        # Save the workbook
+        wb.save(file_name)
+        wb.close()
+        return True
+    except Exception as ex:
+        import traceback
+        print(u'save_images_to_excel exception:{}'.format(str(ex)), traceback.format_exc(), file=sys.stderr)
+        return False
+
+
+def display_dual_axis(df, columns1, columns2=[], invert_yaxis1=False, invert_yaxis2=False, file_name=None,
+                      sheet_name=None,
+                      image_name=None):
+    """
+    显示(保存)双Y轴的走势图
+    :param df: DataFrame
+    :param columns1:  y1轴
+    :param columns2: Y2轴
+    :param invert_yaxis1: Y1 轴反转
+    :param invert_yaxis2: Y2 轴翻转
+    :param file_name:   保存的excel 文件名称
+    :param sheet_name:  excel 的sheet
+    :param image_name:  保存的image 文件名
+    :return:
+    """
+
+    import matplotlib
+    import matplotlib.pyplot as plt
+    matplotlib.rcParams['figure.figsize'] = (20.0, 10.0)
+
+    df1 = df[columns1]
+    df1.index = list(range(len(df)))
+    fig, ax1 = plt.subplots()
+    if invert_yaxis1:
+        ax1.invert_yaxis()
+    ax1.plot(df1)
+
+    if len(columns2) > 0:
+        df2 = df[columns2]
+        df2.index = list(range(len(df)))
+        ax2 = ax1.twinx()
+        if invert_yaxis2:
+            ax2.invert_yaxis()
+        ax2.plot(df2)
+
+    # 修改x轴得label为时间
+    xt = ax1.get_xticks()
+    xt2 = [df.index[int(i)] for i in xt[1:-2]]
+    xt2.insert(0, '')
+    xt2.append('')
+    ax1.set_xticklabels(xt2)
+
+    # 是否保存图片到文件
+    if image_name is not None:
+        fig = plt.gcf()
+        fig.savefig(image_name, bbox_inches='tight')
+
+        # 插入图片到指定的excel文件sheet中并保存excel
+        if file_name is not None and sheet_name is not None:
+            save_images_to_excel(file_name, sheet_name, [image_name])
+    else:
+        plt.show()
+
 class BarGenerator:
     """
     For: