Merge pull request #1884 from vnpy/trading_master

Script Trader

examples/vn_trader/run.py

@@ -5,9 +5,9 @@ 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.ib import IbGateway
 # from vnpy.gateway.ctp import CtpGateway
 # from vnpy.gateway.ctptest import CtptestGateway
 # from vnpy.gateway.femas import FemasGateway
@@ -30,6 +30,7 @@ from vnpy.app.cta_strategy import CtaStrategyApp
 from vnpy.app.cta_backtester import CtaBacktesterApp
 # from vnpy.app.data_recorder import DataRecorderApp
 # from vnpy.app.risk_manager import RiskManagerApp
+from vnpy.app.script_trader import ScriptTraderApp
 
 
 def main():
@@ -44,9 +45,9 @@ def main():
     # main_engine.add_gateway(CtpGateway)
     # main_engine.add_gateway(CtptestGateway)
     # main_engine.add_gateway(FemasGateway)
-    main_engine.add_gateway(IbGateway)
+    # 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)
@@ -66,6 +67,7 @@ def main():
     # main_engine.add_app(AlgoTradingApp)
     # main_engine.add_app(DataRecorderApp)
     # main_engine.add_app(RiskManagerApp)
+    main_engine.add_app(ScriptTraderApp)
 
     main_window = MainWindow(main_engine, event_engine)
     main_window.showMaximized()

vnpy/app/script_trader/__init__.py

@@ -0,0 +1,14 @@
+from pathlib import Path
+from vnpy.trader.app import BaseApp
+from .engine import ScriptEngine, APP_NAME
+
+
+class ScriptTraderApp(BaseApp):
+    """"""
+    app_name = APP_NAME
+    app_module = __module__
+    app_path = Path(__file__).parent
+    display_name = "脚本策略"
+    engine_class = ScriptEngine
+    widget_name = "ScriptManager"
+    icon_name = "script.ico"

vnpy/app/script_trader/engine.py

@@ -0,0 +1,262 @@
+""""""
+
+import sys
+import importlib
+import traceback
+from typing import Sequence
+from pathlib import Path
+from datetime import datetime
+from threading import Thread
+
+from vnpy.event import Event, EventEngine
+from vnpy.trader.engine import BaseEngine, MainEngine
+from vnpy.trader.constant import Direction, Offset, OrderType, Interval
+from vnpy.trader.object import (
+    OrderRequest,
+    HistoryRequest,
+    SubscribeRequest,
+    TickData,
+    OrderData,
+    TradeData,
+    PositionData,
+    AccountData,
+    ContractData,
+    LogData,
+    BarData
+)
+from vnpy.trader.rqdata import rqdata_client
+
+
+APP_NAME = "ScriptTrader"
+
+EVENT_SCRIPT_LOG = "eScriptLog"
+
+
+class ScriptEngine(BaseEngine):
+    """"""
+    setting_filename = "script_trader_setting.json"
+
+    def __init__(self, main_engine: MainEngine, event_engine: EventEngine):
+        """"""
+        super().__init__(main_engine, event_engine, APP_NAME)
+
+        self.main_engine = main_engine
+        self.event_engine = event_engine
+
+        self.get_tick = main_engine.get_tick
+        self.get_order = main_engine.get_order
+        self.get_trade = main_engine.get_trade
+        self.get_position = main_engine.get_position
+        self.get_account = main_engine.get_account
+        self.get_contract = main_engine.get_contract
+        self.get_all_ticks = main_engine.get_all_ticks
+        self.get_all_orders = main_engine.get_all_orders
+        self.get_all_trades = main_engine.get_all_trades
+        self.get_all_positions = main_engine.get_all_positions
+        self.get_all_accounts = main_engine.get_all_accounts
+        self.get_all_contracts = main_engine.get_all_contracts
+        self.get_all_active_orders = main_engine.get_all_active_orders
+
+        self.strategy_active = False
+        self.strategy_thread = None
+
+    def init(self):
+        """
+        Start script engine.
+        """
+        result = rqdata_client.init()
+        if result:
+            self.write_log("RQData数据接口初始化成功")
+
+    def start_strategy(self, script_path: str):
+        """"""
+        if self.strategy_active:
+            return
+        self.strategy_active = True
+
+        self.strategy_thread = Thread(
+            target=self.run_strategy, args=(script_path,))
+        self.strategy_thread.start()
+
+        self.write_log("策略交易脚本启动")
+
+    def run_strategy(self, script_path: str):
+        """"""
+        path = Path(script_path)
+        sys.path.append(str(path.parent))
+
+        script_name = path.parts[-1]
+        module_name = script_name.replace(".py", "")
+
+        try:
+            module = importlib.import_module(module_name)
+            importlib.reload(module)
+            module.run(self)
+        except:     # noqa
+            msg = f"触发异常已停止\n{traceback.format_exc()}"
+            self.write_log(msg)
+
+    def stop_strategy(self):
+        """"""
+        if not self.strategy_active:
+            return
+        self.strategy_active = False
+
+        if self.strategy_thread:
+            self.strategy_thread.join()
+        self.strategy_thread = None
+
+        self.write_log("策略交易脚本停止")
+
+    def send_order(
+        self,
+        vt_symbol: str,
+        price: float,
+        volume: float,
+        direction: Direction,
+        offset: Offset,
+        order_type: OrderType
+    ) -> str:
+        """"""
+        contract = self.get_contract(vt_symbol)
+        if not contract:
+            return ""
+
+        req = OrderRequest(
+            symbol=contract.symbol,
+            exchange=contract.exchange,
+            type=order_type,
+            volume=volume,
+            price=price,
+            offset=offset
+        )
+
+        vt_orderid = self.main_engine.send_order(req, contract.gateway_name)
+        return vt_orderid
+
+    def subscribe(self, vt_symbols):
+        """"""
+        for vt_symbol in vt_symbols:
+            contract = self.main_engine.get_contract(vt_symbol)
+            if contract:
+                req = SubscribeRequest(
+                    symbol=contract.symbol,
+                    exchange=contract.exchange
+                )
+                self.main_engine.subscribe(req, contract.gateway_name)
+
+    def buy(self, vt_symbol: str, price: str, volume: str, order_type: OrderType = OrderType.LIMIT) -> str:
+        """"""
+        return self.send_order(vt_symbol, price, volume, Direction.LONG, Offset.OPEN, order_type)
+
+    def sell(self, vt_symbol: str, price: str, volume: str, order_type: OrderType = OrderType.LIMIT) -> str:
+        """"""
+        return self.send_order(vt_symbol, price, volume, Direction.SHORT, Offset.CLOSE, order_type)
+
+    def short(self, vt_symbol: str, price: str, volume: str, order_type: OrderType = OrderType.LIMIT) -> str:
+        """"""
+        return self.send_order(vt_symbol, price, volume, Direction.SHORT, Offset.OPEN, order_type)
+
+    def cover(self, vt_symbol: str, price: str, volume: str, order_type: OrderType = OrderType.LIMIT) -> str:
+        """"""
+        return self.send_order(vt_symbol, price, volume, Direction.LONG, Offset.CLOSE, order_type)
+
+    def cancel_order(self, vt_orderid: str) -> None:
+        """"""
+        order = self.get_order(vt_orderid)
+        if not order:
+            return
+
+        req = order.create_cancel_request()
+        self.main_engine.cancel_order(req, order.gateway_name)
+
+    def get_tick(self, vt_symbol: str) -> TickData:
+        """"""
+        return self.main_engine.get_tick(vt_symbol)
+
+    def get_ticks(self, vt_symbols: Sequence[str]) -> Sequence[TickData]:
+        """"""
+        ticks = []
+        for vt_symbol in vt_symbols:
+            tick = self.main_engine.get_tick(vt_symbol)
+            ticks.append(tick)
+        return ticks
+
+    def get_order(self, vt_orderid: str) -> OrderData:
+        """"""
+        return self.main_engine.get_order(vt_orderid)
+
+    def get_orders(self, vt_orderids: Sequence[str]) -> Sequence[OrderData]:
+        """"""
+        orders = []
+        for vt_orderid in vt_orderids:
+            order = self.main_engine.get_order(vt_orderid)
+            orders.append(order)
+        return orders
+
+    def get_trades(self, vt_orderid: str) -> Sequence[TradeData]:
+        """"""
+        trades = []
+        all_trades = self.main_engine.get_all_trades()
+
+        for trade in all_trades:
+            if trade.vt_orderid == vt_orderid:
+                trades.append(trade)
+
+        return trades
+
+    def get_all_active_orders(self) -> Sequence[OrderData]:
+        """"""
+        return self.main_engine.get_all_active_orders()
+
+    def get_contract(self, vt_symbol) -> ContractData:
+        """"""
+        return self.main_engine.get_contract(vt_symbol)
+
+    def get_all_contracts(self) -> Sequence[ContractData]:
+        """"""
+        return self.main_engine.get_all_contracts()
+
+    def get_account(self, vt_accountid: str) -> AccountData:
+        """"""
+        return self.main_engine.get_account(vt_accountid)
+
+    def get_all_accounts(self) -> Sequence[AccountData]:
+        """"""
+        return self.main_engine.get_all_accounts()
+
+    def get_position(self, vt_positionid: str) -> PositionData:
+        """"""
+        return self.main_engine.get_position(vt_positionid)
+
+    def get_all_positions(self) -> Sequence[AccountData]:
+        """"""
+        return self.main_engine.get_all_positions()
+
+    def get_bars(self, vt_symbol: str, start_date: str, interval: Interval) -> Sequence[BarData]:
+        """"""
+        contract = self.main_engine.get_contract(vt_symbol)
+        if not contract:
+            return []
+
+        start = datetime.strptime(start_date, "%Y%m%d")
+
+        req = HistoryRequest(
+            symbol=contract.symbol,
+            exchange=contract.exchange,
+            start=start,
+            interval=interval
+        )
+
+        bars = rqdata_client.query_history(req)
+        if not bars:
+            return []
+        return bars
+
+    def write_log(self, msg: str) -> None:
+        """"""
+        log = LogData(msg=msg, gateway_name=APP_NAME)
+        print(f"{log.time}\t{log.msg}")
+
+        event = Event(EVENT_SCRIPT_LOG, log)
+        self.event_engine.put(event)

vnpy/app/script_trader/ui/__init__.py

@@ -0,0 +1 @@
+from .widget import ScriptManager

vnpy/app/script_trader/ui/widget.py

@@ -0,0 +1,97 @@
+from pathlib import Path
+
+from vnpy.event import EventEngine, Event
+from vnpy.trader.engine import MainEngine
+from vnpy.trader.ui import QtWidgets, QtCore
+from ..engine import APP_NAME, EVENT_SCRIPT_LOG
+
+
+class ScriptManager(QtWidgets.QWidget):
+    """"""
+    signal_log = QtCore.pyqtSignal(Event)
+
+    def __init__(self, main_engine: MainEngine, event_engine: EventEngine):
+        """"""
+        super().__init__()
+
+        self.main_engine = main_engine
+        self.event_engine = event_engine
+
+        self.script_engine = main_engine.get_engine(APP_NAME)
+
+        self.script_path = ""
+
+        self.init_ui()
+        self.register_event()
+
+        self.script_engine.init()
+
+    def init_ui(self):
+        """"""
+        self.setWindowTitle("脚本策略")
+
+        start_button = QtWidgets.QPushButton("启动")
+        start_button.clicked.connect(self.start_script)
+
+        stop_button = QtWidgets.QPushButton("停止")
+        stop_button.clicked.connect(self.stop_script)
+
+        select_button = QtWidgets.QPushButton("打开")
+        select_button.clicked.connect(self.select_script)
+
+        self.strategy_line = QtWidgets.QLineEdit()
+
+        self.log_monitor = QtWidgets.QTextEdit()
+        self.log_monitor.setReadOnly(True)
+
+        hbox = QtWidgets.QHBoxLayout()
+        hbox.addWidget(self.strategy_line)
+        hbox.addWidget(select_button)
+        hbox.addWidget(start_button)
+        hbox.addWidget(stop_button)
+
+        vbox = QtWidgets.QVBoxLayout()
+        vbox.addLayout(hbox)
+        vbox.addWidget(self.log_monitor)
+
+        self.setLayout(vbox)
+
+    def register_event(self):
+        """"""
+        self.signal_log.connect(self.process_log_event)
+
+        self.event_engine.register(EVENT_SCRIPT_LOG, self.signal_log.emit)
+
+    def show(self):
+        """"""
+        self.showMaximized()
+
+    def process_log_event(self, event: Event):
+        """"""
+        log = event.data
+        msg = f"{log.time}\t{log.msg}"
+        self.log_monitor.append(msg)
+
+    def start_script(self):
+        """"""
+        if self.script_path:
+            self.script_engine.start_strategy(self.script_path)
+
+    def stop_script(self):
+        """"""
+        self.script_engine.stop_strategy()
+
+    def select_script(self):
+        """"""
+        cwd = str(Path.cwd())
+
+        path, type_ = QtWidgets.QFileDialog.getOpenFileName(
+            self,
+            u"载入策略脚本",
+            cwd,
+            "Python File(*.py)"
+        )
+
+        if path:
+            self.script_path = path
+            self.strategy_line.setText(path)

vnpy/gateway/onetoken/onetoken_gateway.py

@@ -619,7 +619,7 @@ class OnetokenTradeWebsocketApi(WebsocketClient):
             elif _type == "future":
                 long_position = PositionData(
                     symbol=account_data["contract"],
-                    exchange=Exchange(self.exchange.upper()),  
+                    exchange=Exchange(self.exchange.upper()),
                     direction=Direction.LONG,
                     price=account_data["average_open_price_long"],
                     volume=account_data["total_amount_long"],
@@ -629,7 +629,7 @@ class OnetokenTradeWebsocketApi(WebsocketClient):
                 )
                 short_position = PositionData(
                     symbol=account_data["contract"],
-                    exchange=Exchange(self.exchange.upper()), 
+                    exchange=Exchange(self.exchange.upper()),
                     direction=Direction.SHORT,
                     price=account_data["average_open_price_short"],
                     volume=account_data["total_amount_short"],
@@ -661,7 +661,7 @@ class OnetokenTradeWebsocketApi(WebsocketClient):
                 gateway_name=self.gateway_name
             )
 
-            if order_data["status"] in ("withdrawn","part-deal-withdrawn"):
+            if order_data["status"] in ("withdrawn", "part-deal-withdrawn"):
                 order.status = Status.CANCELLED
             else:
                 if order.traded == order.volume:

vnpy/trader/engine.py

@@ -3,6 +3,7 @@
 
 import logging
 import smtplib
+import os
 from abc import ABC
 from datetime import datetime
 from email.message import EmailMessage
@@ -30,7 +31,7 @@ from .object import (
     HistoryRequest
 )
 from .setting import SETTINGS
-from .utility import get_folder_path
+from .utility import get_folder_path, TRADER_DIR
 
 
 class MainEngine:
@@ -51,7 +52,8 @@ class MainEngine:
         self.apps = {}
         self.exchanges = []
 
-        self.init_engines()
+        os.chdir(TRADER_DIR)    # Change working directory
+        self.init_engines()     # Initialize function engines
 
     def add_engine(self, engine_class: Any):
         """