From ffe45c9beafd6079892bc73c35badbded92cbb7e Mon Sep 17 00:00:00 2001 From: msincenselee Date: Thu, 15 Jun 2017 18:19:57 +0800 Subject: [PATCH] sync vnpy1.6.2 --- .../strategy30_NonStdArbitrageExecutor.py | 1740 ----------------- 1 file changed, 1740 deletions(-) delete mode 100644 vnpy/trader/app/ctaStrategy/strategy/strategy30_NonStdArbitrageExecutor.py diff --git a/vnpy/trader/app/ctaStrategy/strategy/strategy30_NonStdArbitrageExecutor.py b/vnpy/trader/app/ctaStrategy/strategy/strategy30_NonStdArbitrageExecutor.py deleted file mode 100644 index 0226f64e..00000000 --- a/vnpy/trader/app/ctaStrategy/strategy/strategy30_NonStdArbitrageExecutor.py +++ /dev/null @@ -1,1740 +0,0 @@ -# encoding: UTF-8 - -# 首先写系统内置模块 -import sys -import os -from datetime import datetime, timedelta, date -from time import sleep -import copy -import logging - -# 第三方模块 -import talib as ta -import math -import numpy -import requests -import execjs -import pykalman - -# vntrader基础模块 -from vnpy.trader.vtConstant import EMPTY_STRING, EMPTY_INT, DIRECTION_LONG, DIRECTION_SHORT, OFFSET_OPEN,OFFSET_CLOSE,OFFSET_CLOSETODAY,OFFSET_CLOSEYESTERDAY, STATUS_CANCELLED - -# 然后CTA模块 -from vnpy.trader.app.ctaStrategy.ctaTemplate import * -from vnpy.trader.app.ctaStrategy.ctaBase import * -from vnpy.trader.app.ctaStrategy.ctaPolicy import * -from vnpy.trader.app.ctaStrategy.ctaLineBar import * -from vnpy.trader.app.ctaStrategy.ctaPosition import * -from vnpy.trader.app.ctaStrategy.ctaGridTrade import * - -cta_engine_path = os.path.abspath(os.path.join(os.path.dirname(__file__), '..')) - -######################################from################################## -class Strategy30(CtaTemplate): - """非标准合约的协整套利+网格交易执行器 - 只接受外部界面的Grid输入 - - 配置参考 - { - "name": "S28_螺纹钢跨期套利", - "className": "Strategy28", - "vtSymbol": "rb1705;rb1710", - "symbol": "rb1705;rb1710", - "shortSymbol":"RB", - "Leg1Symbol":"rb1705", - "Leg2Symbol":"rb1710", - "baseUpLine":240, - "baseMidLine":0, - "baseDnLine":-240, - "minDiff":1, - "inputSS":1, - "height":5, - "win":10, - "maxPos":4, - "maxLots":4, - "deadLine":"2017-4-20", - "mode":"tick" - } - - """ - className = 'Strategy30' - author = u'李来佳' - - # 策略在外部设置的参数 - inputSS = 1 # 参数SS，下单，范围是1~100，步长为1，默认=1， - minDiff = 1 # 商品的最小交易单位 - maxPos = 10 # 最大仓位（网格）数量 - -#---------------------------------------------------------------------- - def __init__(self, ctaEngine, setting=None): - """Constructor""" - super(Strategy30, self).__init__(ctaEngine, setting) - - self.paramList.append('inputSS') - self.paramList.append('Leg1Symbol') # 近期合约 - self.paramList.append('Leg2Symbol') # 远期合约 - self.paramList.append('minDiff') - self.paramList.append('maxPos') - self.paramList.append('maxLots') - self.paramList.append('height') # - self.paramList.append('win') - self.paramList.append('baseUpLine') - self.paramList.append('baseMidLine') # 基准中轴 - self.paramList.append('baseDnLine') - - #self.varList.remove('pos') - self.varList.append('gridpos') - self.varList.append('entrust') - self.varList.append('upGrids') - self.varList.append('dnGrids') - self.varList.append('tradingOpen') - - self.cancelSeconds = 2 # 未成交撤单的秒数 - - self.curDateTime = None # 当前Tick时间 - self.curTick = None # 最新的tick - - self.Leg1Symbol = EMPTY_STRING - self.Leg2Symbol = EMPTY_STRING - self.lastLeg1Tick = None - self.lastLeg2Tick = None - - self.firstTrade = True # 交易日的首个交易 - - # 交易窗口 - self.tradeWindow = False - # 开市窗口 - self.openWindow = False - # 收市平仓窗口 - self.closeWindow = False - - # 仓位状态 - self.position = CtaPosition(self) # 0 表示没有仓位，1 表示持有多头，-1 表示持有空头 - self.position.maxPos = self.maxPos - self.gridpos = 0 - self.lastTradedTime = datetime.now() # 上一交易时间 - - self.tradingOpen = True # 允许开仓 - self.recheckPositions = True - - self.forceClose = EMPTY_STRING # 强制平仓的日期（参数，字符串） - self.forceCloseDate = None # 强制平仓的日期（日期类型） - self.forceTradingClose = False # 强制平仓标志 - - # 是否完成了策略初始化 - self.inited = False - - self.backtesting = False - - # 初始化时读取的历史数据的起始日期(可以选择外部设置) - self.startDate = None - self.policy = CtaPolicy() # 成交后的执行策略 - - self.recheckPositions = True # 重新提交平仓订单。在每个交易日的下午14点59分时激活，在新的交易日（21点）开始时，重新执行。 - - self.volumeList = [1, 1, 1, 1, 1, 1, 1, 1, 1, 1] - self.height = 4 - self.win = 4 - self.upGrids = EMPTY_STRING # 做空网格的显示字符串 - self.dnGrids = EMPTY_STRING # 做多网格的显示字符串 - self.sigle_exist = False # 是否一次性全平仓 -# - self.baseUpLine = EMPTY_INT # 网格做空起步线 - self.baseMidLine = EMPTY_INT # 基准中轴线，区分多空 - self.baseDnLine = EMPTY_INT # 网格做多起步线 - - self.upRate = 1 # 做空网格间距放大比率 - self.dnRate = 1 # 做多网格间距放大比率 - self.rebuildUpGrid = False # 重建网格标志 - self.rebuildDnGrid = False # 重建网格标志 - self.rebuildGrid = False # 分钟触发重建网格 - - self.maxLots = 10 # 网格的最大数量# - - self.logMsg = EMPTY_STRING # 临时输出日志变量 - - - if setting: - - # 根据配置文件更新参数 - self.setParam(setting) - - self.onInit() - - #---------------------------------------------------------------------- - def onInit(self, force = False): - """初始化 - """ - if force: - self.writeCtaLog(u'策略强制初始化') - self.inited = False - self.trading = False # 控制是否启动交易 - else: - self.writeCtaLog(u'策略初始化') - if self.inited: - self.writeCtaLog(u'已经初始化过，不再执行') - return - - # 初始化持仓相关数据 - self.position.pos = EMPTY_INT - self.pos = self.position.pos - self.gridpos = self.position.pos - self.position.maxPos = self.maxPos - - # 初始化网格 - self.gridHeight = self.height * self.minDiff # 网格距离跳数*每跳高度 - self.gridWin = self.win * self.minDiff # 止盈跳数*每跳高度 - - if self.baseUpLine == EMPTY_INT: - self.writeCtaLog(u'初始化baseUpLine为空，缺省设置为50个MinDiff') - self.baseUpLine = 9999 * self.minDiff # 网格做空起步线 - if self.baseDnLine == EMPTY_INT: - self.writeCtaLog(u'baseDnLine，缺省设置为-50个MinDiff') - self.baseDnLine = -9999 * self.minDiff # 网格做多起步线 - - self.upLine = self.baseUpLine # 网格做空的上轨 - self.dnLine = self.baseDnLine # 网格做多的下轨 - - # 创建网格交易策略 - self.gt = CtaGridTrade(strategy=self, maxlots=self.maxLots, height=self.gridHeight, win=self.gridWin, - vol=self.inputSS, minDiff=self.minDiff) - # 更新网格仓位策略 - if self.volumeList: - self.gt.volumeList = self.volumeList - else: - self.gt.volumeList = [1, 1, 1, 1, 1, 1, 1, 1, 1, 1] - - - # 初始化网格交易器（或从本地记录文件中获取） - self.__initGrids() - - # 更新初始化标识和交易标识 - self.inited = True - self.trading = True # 控制是否启动交易 - self.recheckPositions = True - - self.putEvent() - self.writeCtaLog(u'策略初始化完成') - - def onStart(self): - """启动策略（必须由用户继承实现）""" - self.writeCtaLog(u'启动') - self.trading = True - - #---------------------------------------------------------------------- - def onStop(self): - """停止策略（必须由用户继承实现）""" - self.uncompletedOrders.clear() - self.recheckPositions = True - - self.position.clear() - self.gridpos = self.position.pos - self.entrust = 0 - - self.writeCtaLog(u'保存下网格') - self.gt.save(direction=DIRECTION_LONG) - self.writeCtaLog(u'保存上网格') - self.gt.save(direction=DIRECTION_SHORT) - - self.trading = False - self.writeCtaLog(u'停止' ) - self.putEvent() - - #---------------------------------------------------------------------- - def onTrade(self, trade): - """交易更新""" - self.writeCtaLog(u'{0},OnTrade(),当前持仓：{1} '.format(self.curDateTime, self.position.pos)) - - #---------------------------------------------------------------------- - def onOrder(self, order): - """报单更新""" - self.writeCtaLog(u'OnOrder()报单更新，orderID:{0},{1},totalVol:{2},tradedVol:{3},offset:{4},price:{5},direction:{6},status:{7}' - .format(order.orderID, order.vtSymbol, order.totalVolume,order.tradedVolume, - order.offset, order.price, order.direction, order.status)) - - orderkey = order.gatewayName+u'.'+order.orderID - - if orderkey in self.uncompletedOrders: - - if order.totalVolume == order.tradedVolume: - # 开仓，平仓委托单全部成交 - self.__onOrderAllTraded(order) - - elif order.tradedVolume > 0 and not order.totalVolume == order.tradedVolume : - # 委托单部分成交 - self.__onOrderPartTraded(order) - - elif order.offset == OFFSET_OPEN and order.status == STATUS_CANCELLED: - # 开仓委托单被撤销 - pass - - else: - self.writeCtaLog(u'OnOrder()委托单返回，total:{0},traded:{1}' - .format(order.totalVolume, order.tradedVolume,)) - - self.__updateGridsDisplay() - self.pos = self.position.pos - self.gridpos = self.position.pos - self.writeCtaLog(u'OnOrder()self.gridpos={0}'.format(self.gridpos)) - self.putEvent() - - def __onOrderAllTraded(self, order): - """订单的所有成交事件""" - self.writeCtaLog(u'onOrderAllTraded(),{0},委托单全部完成'.format(order.orderTime )) - orderkey = order.gatewayName+u'.'+order.orderID - - # 平空仓完成(cover) - if self.uncompletedOrders[orderkey]['DIRECTION'] == DIRECTION_LONG and order.offset != OFFSET_OPEN: - # 通过orderID，找到对应的网格 - grid = self.uncompletedOrders[orderkey]['Grid'] - - if grid is not None: - orders = grid.orderRef.split(';') - if len(orders) == 2 and orderkey in orders: - self.writeCtaLog(u'更新网格:closePrice={0}的{1}平空'.format(grid.closePrice, order.vtSymbol)) - orders.remove(orderkey) - grid.orderRef = orders[0] - elif len(orders) == 1 and orderkey in orders: - self.writeCtaLog(u'更新网格:closePrice={0}的{1}平空'.format(grid.closePrice, order.vtSymbol)) - grid.orderRef = EMPTY_STRING - grid.orderStatus = False - grid.openStatus = False - grid.closeStatus = False - grid.tradedVolume = EMPTY_INT - grid.openDatetime = EMPTY_STRING - # 更新仓位 - direction = grid.direction - if direction == DIRECTION_LONG: - self.writeCtaLog(u'更新仓位，正套网格平多仓{0}手'.format(grid.volume)) - self.position.closePos(DIRECTION_SHORT, vol=grid.volume) - self.writeCtaLog(u'移除网格{0},{1}'.format(grid.direction, grid.openPrice)) - self.gt.dnGrids.remove(grid) - else: - self.writeCtaLog(u'更新仓位，反套网格平空仓{0}手'.format(grid.volume)) - self.position.closePos(DIRECTION_LONG, vol=grid.volume) - self.writeCtaLog(u'移除网格{0},{1}'.format(grid.direction, grid.openPrice)) - self.gt.upGrids.remove(grid) - self.entrust = 0 - self.gridpos = self.position.pos - self.gt.save(direction=direction) - - - else: - self.writeCtaLog(u'异常，orderRef:{0}对应的网格内，Ref字段:{1}'.format(orderkey, grid.orderRef)) - else: - self.writeCtaLog(u'异常，找不到orderRef:{0}对应的网格'.format(orderkey)) - - # 平多仓完成(sell) - if self.uncompletedOrders[orderkey]['DIRECTION'] == DIRECTION_SHORT and order.offset != OFFSET_OPEN: - # 通过orderID，找到对应的网格 - grid = self.uncompletedOrders[orderkey]['Grid'] - if grid is not None: - orders = grid.orderRef.split(';') - if len(orders) == 2 and orderkey in orders: - self.writeCtaLog(u'更新网格:closePrice={0}的{1}平多'.format(grid.closePrice, order.vtSymbol)) - orders.remove(orderkey) - grid.orderRef = orders[0] - elif len(orders) == 1 and orderkey in orders: - self.writeCtaLog(u'更新网格:closePrice={0}的{1}平多'.format(grid.closePrice, order.vtSymbol)) - grid.orderRef = EMPTY_STRING - grid.orderStatus = False - grid.openStatus = False - grid.closeStatus = False - grid.tradedVolume = EMPTY_INT - grid.openDatetime = EMPTY_STRING - # 更新仓位 - direction = grid.direction - if direction == DIRECTION_LONG: # 网格的开仓方向是开多 - self.writeCtaLog(u'更新仓位，正套网格平多仓{0}手'.format(grid.volume)) - self.position.closePos(DIRECTION_SHORT, vol=grid.volume) - self.writeCtaLog(u'移除网格{0},{1}'.format(grid.direction,grid.openPrice)) - self.gt.dnpGrids.remove(grid) - else: # 网格的开仓方向是开空 - self.writeCtaLog(u'更新仓位，反套网格平空仓{0}手'.format(grid.volume)) - self.position.closePos(DIRECTION_LONG, vol=grid.volume) - self.writeCtaLog(u'移除网格{0},{1}'.format(grid.direction, grid.openPrice)) - self.gt.upGrids.remove(grid) - self.gridpos = self.position.pos - self.entrust = 0 - self.gt.save(direction=direction) - - else: - self.writeCtaLog(u'异常，orderRef:{0}对应的网格内，Ref字段:{1}'.format(orderkey, grid.orderRef)) - else: - self.writeCtaLog(u'异常，找不到orderRef:{0}对应的网格'.format(orderkey)) - - # 开多仓完成 - if self.uncompletedOrders[orderkey]['DIRECTION'] == DIRECTION_LONG and order.offset == OFFSET_OPEN: - self.writeCtaLog(u'{0}开多仓完成'.format(order.vtSymbol)) - # 通过orderID，找到对应的网格 - grid = self.uncompletedOrders[orderkey]['Grid'] - - if grid is not None: - orders = grid.orderRef.split(';') - if len(orders) == 2 and orderkey in orders: - self.writeCtaLog(u'更新网格:Grid.OpenPrice={0}的{1}开多{2}'.format(grid.openPrice, order.vtSymbol, order.price)) - orders.remove(orderkey) - grid.orderRef = orders[0] - elif len(orders) == 1 and orderkey in orders: - self.writeCtaLog(u'更新网格:Grid.OpenPrice={0}的{1}开多{2}'.format(grid.openPrice, order.vtSymbol, order.price)) - grid.orderRef = EMPTY_STRING - grid.openStatus = True - grid.orderStatus = False - grid.openDatetime = self.curDateTime - # 更新仓位 - self.writeCtaLog(u'更新仓位，网格{0}仓{1}手'.format(grid.direction, grid.volume)) - self.position.openPos(grid.direction, vol=grid.volume, price=grid.openPrice) - self.pos = self.position.pos - self.gridpos = self.position.pos - self.entrust = 0 - - else: - self.writeCtaLog(u'异常，orderRef:{0}对应的网格内，Ref字段:{1}'.format(orderkey, grid.orderRef)) - - direction = grid.direction - self.gt.save(direction=direction) - else: - self.writeCtaLog(u'异常，找不到orderRef:{0}对应的网格'.format(orderkey)) - - # 开空仓完成 - if self.uncompletedOrders[orderkey]['DIRECTION'] == DIRECTION_SHORT and order.offset == OFFSET_OPEN: - self.writeCtaLog(u'开空仓完成'.format(order.vtSymbol)) - # 通过orderID，找到对应的网格 - grid = self.uncompletedOrders[orderkey]['Grid'] - - if grid is not None: - orders = grid.orderRef.split(';') - if len(orders) == 2 and orderkey in orders: - self.writeCtaLog(u'更新网格:Grid.OpenPrice={0}的{1}开空{2}'.format(grid.openPrice, order.vtSymbol,order.price)) - orders.remove(orderkey) - grid.orderRef = orders[0] - elif len(orders) == 1 and orderkey in orders: - self.writeCtaLog(u'更新网格:Grid.OpenPrice={0}的{1}开空{2}'.format(grid.openPrice, order.vtSymbol,order.price)) - grid.orderRef = EMPTY_STRING - grid.orderStatus = False - grid.openStatus = True - grid.openDatetime = self.curDateTime - # 更新仓位 - self.writeCtaLog(u'更新仓位，网格{0}仓{1}手'.format(grid.direction, grid.volume)) - self.position.openPos(grid.direction, vol=grid.volume, price=grid.openPrice) - self.pos = self.position.pos - self.gridpos = self.position.pos - self.entrust = 0 - else: - self.writeCtaLog(u'异常，orderRef:{0}对应的网格内，Ref字段:{1}'.format(orderkey, grid.orderRef)) - - direction = grid.direction - self.gt.save(direction=direction) - - else: - self.writeCtaLog(u'异常，找不到orderRef:{0}对应的网格'.format(orderkey)) - try: - del self.uncompletedOrders[orderkey] - except Exception as ex: - self.writeCtaLog(u'onOrder uncompletedOrders中找不到{0}'.format(orderkey)) - self.__updateGridsDisplay() - - def __onOrderPartTraded(self, order): - """订单部分成交""" - self.writeCtaLog(u'onOrderPartTraded(),{0},委托单部分完成'.format(order.orderTime )) - orderkey = order.gatewayName+u'.'+order.orderID - if orderkey in self.uncompletedOrders: - self.uncompletedOrders[orderkey]['TradedVolume'] = order.tradedVolume - else: - self.writeCtaLog(u'异常，找不到委托单:{0}'.format(orderkey)) - - self.__updateGridsDisplay() - def __onOpenOrderCanceled(self, order): - """委托开仓单撤销""" - self.writeCtaLog(u'__onOpenOrderCanceled(),{0},委托开仓单已撤销'.format(order.orderTime )) - - orderkey = order.gatewayName+u'.'+order.orderID - - if self.uncompletedOrders[orderkey]['DIRECTION'] == DIRECTION_LONG : - # 更新网格交易器 - updateGrid = self.gt.getGrid(direction=DIRECTION_LONG, openPrice=order.price, - orderRef=order.orderID, t=u'OpenPrice') - if type(updateGrid)!=type(None): - self.writeCtaLog(u'更新网格[{0}]的状态为开多仓撤销'.format(updateGrid.openPrice)) - updateGrid.openStatus = False - updateGrid.openDatetime = EMPTY_STRING - else: - self.writeCtaLog(u'异常，找不到网格[{0}]'.format(order.price)) - - self.gt.save(direction=DIRECTION_LONG) - - if self.uncompletedOrders[orderkey]['DIRECTION'] == DIRECTION_SHORT : - - # 更新网格交易器 - updateGrid = self.gt.getGrid(direction=DIRECTION_SHORT, openPrice=order.price, - orderRef=order.orderID, t=u'OpenPrice') - if type(updateGrid)!=type(None): - self.writeCtaLog(u'更新网格[{0}]的状态为开空仓撤销'.format(updateGrid.openPrice)) - updateGrid.openStatus = False - updateGrid.openDatetime = EMPTY_STRING - else: - self.writeCtaLog(u'异常，找不到网格[{0}]'.format(order.price)) - - self.gt.save(direction=DIRECTION_SHORT) - - self.__updateGridsDisplay() - - # ---------------------------------------------------------------------- - def onStopOrder(self, orderRef): - """停止单更新""" - self.writeCtaLog(u'{0},停止单触发，orderRef:{1}'.format(self.curDateTime, orderRef)) - pass - - # ---------------------------------------------------------------------- - def __combineTick(self, tick): - """合并两腿合约，成为套利合约""" - - combinable = False - - if tick.vtSymbol == self.Leg1Symbol: - # leg1合约 - self.lastLeg1Tick = tick - if self.lastLeg2Tick is not None: - if self.lastLeg1Tick.datetime == self.lastLeg2Tick.datetime: - combinable = True - elif tick.vtSymbol == self.Leg2Symbol: - # leg2合约 - self.lastLeg2Tick = tick - if self.lastLeg1Tick is not None: - if self.lastLeg2Tick.datetime == self.lastLeg1Tick.datetime: - combinable = True - - # 不能合并 - if not combinable: - return None - - spread_tick = CtaTickData() - spread_tick.vtSymbol = self.vtSymbol - spread_tick.symbol = self.symbol - - spread_tick.datetime = tick.datetime - spread_tick.date = tick.date - spread_tick.time = tick.time - - # 以下情况，基本为单腿涨跌停，不合成价差Tick - if (self.lastLeg1Tick.askPrice1 == float('1.79769E308') or self.lastLeg1Tick.askPrice1 == 0 or self.lastLeg1Tick.bidPrice1 == self.lastLeg1Tick.upperLimit) and self.lastLeg1Tick.askVolume1 == 0: - self.writeCtaLog(u'leg1:{0}涨停{1}，不合成价差Tick'.format(self.lastLeg1Tick.vtSymbol,self.lastLeg1Tick.bidPrice1)) - return None - if (self.lastLeg1Tick.bidPrice1 == float('1.79769E308') or self.lastLeg1Tick.bidPrice1 == 0 or self.lastLeg1Tick.askPrice1 == self.lastLeg1Tick.lowerLimit) and self.lastLeg1Tick.bidVolume1 == 0: - self.writeCtaLog(u'leg1:{0}跌停{1}，不合成价差Tick'.format(self.lastLeg1Tick.vtSymbol, self.lastLeg1Tick.askPrice1)) - return None - if (self.lastLeg2Tick.askPrice1 == float('1.79769E308') or self.lastLeg2Tick.askPrice1 == 0 or self.lastLeg2Tick.bidPrice1 == self.lastLeg2Tick.upperLimit) and self.lastLeg2Tick.askVolume1 == 0: - self.writeCtaLog(u'leg2:{0}涨停{1}，不合成价差Tick'.format(self.lastLeg2Tick.vtSymbol, self.lastLeg2Tick.bidPrice1)) - return None - if (self.lastLeg2Tick.bidPrice1 == float('1.79769E308') or self.lastLeg2Tick.bidPrice1 == 0 or self.lastLeg2Tick.askPrice1 == self.lastLeg2Tick.lowerLimit) and self.lastLeg2Tick.bidVolume1 == 0: - self.writeCtaLog(u'leg2:{0}跌停{1}，不合成价差Tick'.format(self.lastLeg2Tick.vtSymbol, self.lastLeg2Tick.askPrice1)) - return None - - # 叫卖价差=leg1.askPrice1 - leg2.bidPrice1，volume为两者最小 - spread_tick.askPrice1 = self.lastLeg1Tick.askPrice1 - self.lastLeg2Tick.bidPrice1 - spread_tick.askVolume1 = min(self.lastLeg1Tick.askVolume1, self.lastLeg2Tick.bidVolume1) - - # 叫买价差=leg1.bidPrice1 - leg2.askPrice1，volume为两者最小 - spread_tick.bidPrice1 = self.lastLeg1Tick.bidPrice1 - self.lastLeg2Tick.askPrice1 - spread_tick.bidVolume1 = min(self.lastLeg1Tick.bidVolume1, self.lastLeg2Tick.askVolume1) - - return spread_tick - - def __checkLiquidity(self): - """检查流动性缺失""" - if self.lastLeg1Tick.bidPrice1 <= self.lastLeg1Tick.lastPrice <= self.lastLeg1Tick.askPrice1 \ - and self.lastLeg2Tick.bidPrice1 <= self.lastLeg2Tick.lastPrice <= self.lastLeg2Tick.askPrice1: - return True - - self.writeCtaLog(u'流动性缺失导致最新价超出买1卖1范围') - return False - - # ---------------------------------------------------------------------- - def __arbShort(self,grid): - """非标准合约的套利反套（开空）指令""" - self.writeCtaLog(u'套利价差反套（开空）单,price={0},volume={1}'.format(grid.openPrice, grid.volume)) - - if not self.trading: - self.writeCtaLog(u'停止状态，不开仓') - return None - - bidPrice = self.lastLeg1Tick.bidPrice1 - self.lastLeg2Tick.askPrice1 - - if self.lastLeg1Tick.bidPrice1 >= self.lastLeg1Tick.lastPrice: - if self.lastLeg1Tick.bidVolume1 < 3: - shortPrice = self.lastLeg1Tick.lastPrice - 2*self.minDiff - elif self.lastLeg1Tick.bidVolume1 < 10: - shortPrice = self.lastLeg1Tick.lastPrice - self.minDiff - else: - shortPrice = self.lastLeg1Tick.lastPrice - else: - if self.lastLeg1Tick.bidVolume1 < 10 or self.lastLeg1Tick.bidVolume1 <= grid.volume: - shortPrice = self.lastLeg1Tick.bidPrice1 - self.minDiff - else: - shortPrice = self.lastLeg1Tick.bidPrice1 - - if self.lastLeg2Tick.askPrice1 <= self.lastLeg2Tick.lastPrice: - if self.lastLeg2Tick.askVolume1 < 3: - buyPrice = self.lastLeg2Tick.lastPrice+2*self.minDiff - elif self.lastLeg2Tick.askVolume1 < 10: - buyPrice = self.lastLeg2Tick.lastPrice + self.minDiff - else: - buyPrice = self.lastLeg2Tick.lastPrice - else: - if self.lastLeg2Tick.askVolume1 < 10 or self.lastLeg2Tick.bidVolume1 <= grid.volume: - buyPrice = self.lastLeg2Tick.askPrice1 + self.minDiff - else: - buyPrice = self.lastLeg2Tick.askPrice1 - - if bidPrice < grid.openPrice: - self.writeCtaLog(u'实际价差{0}不满足:{1}'.format(bidPrice, grid.openPrice)) - return None - - if (shortPrice - buyPrice + self.minDiff) < grid.openPrice: - self.writeCtaLog(u'买卖价差{0}不满足:{1}'.format(shortPrice - buyPrice + self.minDiff, grid.openPrice)) - return None - - # 开空leg1 - orderID = self.ctaEngine.sendOrder(self.Leg1Symbol, CTAORDER_SHORT, shortPrice, grid.volume, self) - if orderID is None or len(orderID) == 0: - self.writeCtaLog(u'异常，Leg1开空仓失败') - return None - orders = orderID - self.uncompletedOrders[orderID] = {'SYMBOL':self.Leg1Symbol, 'DIRECTION': DIRECTION_SHORT, - 'OFFSET': OFFSET_OPEN, 'Volume': grid.volume, - 'Price': shortPrice, 'TradedVolume': EMPTY_INT, - 'OrderTime': self.curDateTime, - 'Grid': grid} - - # 开多leg2 - orderID = self.ctaEngine.sendOrder(self.Leg2Symbol, CTAORDER_BUY, buyPrice, grid.volume, self) - if orderID is None or len(orderID) == 0: - self.writeCtaLog(u'异常，Leg2开多仓失败') - # 这里要不要处理之前的Leg1开仓？（放在后面cancelorder中处理） - return None - orders = orders + ';' + orderID - self.uncompletedOrders[orderID] = {'SYMBOL': self.Leg2Symbol, 'DIRECTION': DIRECTION_LONG, - 'OFFSET': OFFSET_OPEN, 'Volume': grid.volume, - 'Price': buyPrice, 'TradedVolume': EMPTY_INT, - 'OrderTime': self.curDateTime, - 'Grid': grid} - grid.orderStatus = True - grid.orderDatetime = self.curDateTime - - self.entrust = -1 - self.writeCtaLog(u'arb short Orders：{0}'.format(orders)) - return orders - - # ---------------------------------------------------------------------- - def __arbBuy(self,grid): - """非标准合约的套利正套（开多）指令""" - self.writeCtaLog(u'套利价差正套（开多）单,price={0},volume={1}'.format(grid.openPrice, grid.volume)) - if not self.trading: - self.writeCtaLog(u'停止状态，不开仓') - return None - - askPrice = self.lastLeg1Tick.askPrice1 - self.lastLeg2Tick.bidPrice1 - if self.lastLeg1Tick.askPrice1 <= self.lastLeg1Tick.lastPrice: - if self.lastLeg1Tick.askVolume1 < 3: - buyPrice = self.lastLeg1Tick.lastPrice+2*self.minDiff - elif self.lastLeg1Tick.askVolume1 < 10: - buyPrice = self.lastLeg1Tick.lastPrice + self.minDiff - else: - buyPrice = self.lastLeg1Tick.lastPrice - else: - if self.lastLeg1Tick.askVolume1 < 10 or self.lastLeg1Tick.bidVolume1 <= grid.volume: - buyPrice = self.lastLeg1Tick.askPrice1 + self.minDiff - else: - buyPrice = self.lastLeg1Tick.askPrice1 - - if self.lastLeg2Tick.bidPrice1 >= self.lastLeg2Tick.lastPrice: - if self.lastLeg2Tick.bidVolume1 < 3: - shortPrice = self.lastLeg2Tick.lastPrice - 2*self.minDiff - elif self.lastLeg2Tick.bidVolume1 < 10: - shortPrice = self.lastLeg2Tick.lastPrice - self.minDiff - else: - shortPrice = self.lastLeg2Tick.lastPrice - else: - if self.lastLeg2Tick.bidVolume1 < 10 or self.lastLeg2Tick.bidVolume1 <= grid.volume: - shortPrice = self.lastLeg2Tick.bidPrice1 - self.minDiff - else: - shortPrice = self.lastLeg2Tick.bidPrice1 - - if askPrice > grid.openPrice: - self.writeCtaLog(u'实际价差{0}不满足:{1}'.format(askPrice, grid.openPrice)) - return None - - if (buyPrice - shortPrice - self.minDiff) > grid.openPrice: - self.writeCtaLog(u'对价价差{0}不满足:{1}'.format((buyPrice - shortPrice - self.minDiff), grid.openPrice)) - return None - - # 开多leg1 - orderID = self.ctaEngine.sendOrder(self.Leg1Symbol, CTAORDER_BUY, buyPrice, grid.volume, self) - if orderID is None or len(orderID) == 0: - self.writeCtaLog(u'异常，Leg1开多仓失败') - return None - orders = orderID - self.uncompletedOrders[orderID] = {'SYMBOL': self.Leg1Symbol, 'DIRECTION': DIRECTION_LONG, - 'OFFSET': OFFSET_OPEN, 'Volume': grid.volume, - 'Price': buyPrice, 'TradedVolume': EMPTY_INT, - 'OrderTime': self.curDateTime, - 'Grid': grid} - - # 开空leg2 - orderID = self.ctaEngine.sendOrder(self.Leg2Symbol, CTAORDER_SHORT, shortPrice, grid.volume, self) - if (orderID is None) or len(orderID) == 0: - self.writeCtaLog(u'异常，Leg2开空仓失败') - # 这里要不要处理之前的Leg1开仓？（放在后面cancelorder中处理） - return None - orders = orders + ';' + orderID - self.uncompletedOrders[orderID] = {'SYMBOL': self.Leg2Symbol, 'DIRECTION': DIRECTION_SHORT, - 'OFFSET': OFFSET_OPEN, 'Volume': grid.volume, - 'Price': shortPrice, 'TradedVolume': EMPTY_INT, - 'OrderTime': self.curDateTime, - 'Grid':grid} - grid.orderStatus = True - self.entrust = 1 - grid.orderDatetime = self.curDateTime - self.writeCtaLog(u'arb Buy Orders：{0}'.format(orders)) - return orders - - # ---------------------------------------------------------------------- - def __arbSell(self, grid, force = False): - """非标准合约的套利平正套（平多）指令""" - self.writeCtaLog(u'套利价差正套（平多）单,price={0},volume={1}'.format(grid.closePrice, grid.volume)) - if not self.trading: - self.writeCtaLog(u'停止状态，不开仓') - return None - - bidPrice = self.lastLeg1Tick.bidPrice1 - self.lastLeg2Tick.askPrice1 - - if self.lastLeg1Tick.bidPrice1 >= self.lastLeg1Tick.lastPrice: - if self.lastLeg1Tick.bidVolume1 < 3: - sellPrice = self.lastLeg1Tick.lastPrice - 2*self.minDiff - elif self.lastLeg1Tick.bidVolume1 < 10: - sellPrice = self.lastLeg1Tick.lastPrice - self.minDiff - else: - sellPrice = self.lastLeg1Tick.lastPrice - else: - if self.lastLeg1Tick.bidVolume1 < 10 or self.lastLeg1Tick.bidVolume1 <= grid.volume: - sellPrice = self.lastLeg1Tick.bidPrice1 - self.minDiff - else: - sellPrice = self.lastLeg1Tick.bidPrice1 - - if self.lastLeg2Tick.askPrice1 <= self.lastLeg2Tick.lastPrice: - - if self.lastLeg2Tick.askVolume1 < 3: - coverPrice = self.lastLeg2Tick.lastPrice + 2*self.minDiff - elif self.lastLeg2Tick.askVolume1 < 10: - coverPrice = self.lastLeg2Tick.lastPrice + self.minDiff - else: - coverPrice = self.lastLeg2Tick.lastPrice - - else: - if self.lastLeg2Tick.askVolume1 < 10 or self.lastLeg2Tick.bidVolume1 <= grid.volume: - coverPrice = self.lastLeg2Tick.askPrice1 + self.minDiff - else: - coverPrice = self.lastLeg2Tick.askPrice1 - - if bidPrice < grid.closePrice and not force: - self.writeCtaLog(u'实际价差{0}不满足:{1}'.format(bidPrice, grid.closePrice)) - return None - - #if sellPrice - coverPrice < grid.closePrice and not force: - # self.writeCtaLog(u'对价差{0}不满足:{1}'.format(bidPrice, grid.closePrice)) - # return None - - if force: - sellPrice -= self.minDiff - coverPrice += self.minDiff - - leg1Pos = self.ctaEngine.posBufferDict.get(self.Leg1Symbol, None) - leg2Pos = self.ctaEngine.posBufferDict.get(self.Leg2Symbol, None) - - if leg1Pos is None: - self.writeCtaLog(u'查询不到Leg1:{0}的持仓数据'.format(self.Leg1Symbol)) - return None - if leg2Pos is None: - self.writeCtaLog(u'查询不到Leg2:{0}的持仓数据'.format(self.Leg2Symbol)) - return None - - if leg1Pos.longPosition < grid.volume: - self.writeCtaLog(u'{0}仓位{1}不足{2}'.format(self.Leg1Symbol,leg1Pos.longPosition,grid.volume)) - return None - if leg2Pos.shortPosition < grid.volume: - self.writeCtaLog(u'{0}仓位{1}不足{2}'.format(self.Leg2Symbol,leg2Pos.shortPosition,grid.volume)) - return None - - # ------------------平多leg1--------------------------------- - # 只有1手的情况下 - if grid.volume == 1 or self.backtesting: - orderID = self.ctaEngine.sendOrder(self.Leg1Symbol, CTAORDER_SELL, sellPrice, grid.volume, self) - orders = orderID - if orderID is None: - self.writeCtaLog(u'异常，Leg1:{0}平多仓失败'.format(self.Leg1Symbol)) - return None - self.uncompletedOrders[orderID] = {'SYMBOL': self.Leg1Symbol, 'DIRECTION': DIRECTION_SHORT, - 'OFFSET': OFFSET_CLOSE, 'Volume': grid.volume, 'TradedVolume': EMPTY_INT, - 'Price': sellPrice, 'OrderTime': self.curDateTime, - 'Grid': grid} - - else: - # 昨仓有，并且少于平仓数量 - if leg1Pos.longYd > EMPTY_INT and leg1Pos.longYd < grid.volume: - volYd = leg1Pos.longYd # 昨仓全平 - volToday = grid.volume - volYd # 剩余的数量，平今仓 - - self.writeCtaLog(u'{0}昨仓:{1}/今仓:{2}，分别平昨仓:{3}手、:今仓{4}手' - .format(self.Leg1Symbol, leg1Pos.longYd, leg1Pos.longToday, volYd, volToday)) - - # 平昨仓(第一次调用时，ctaEngine同样使用昨仓优先） - orderID = self.ctaEngine.sendOrder(self.Leg1Symbol, CTAORDER_SELL, sellPrice, - volYd, self) - if orderID is None: - self.writeCtaLog(u'异常，Leg1:{0}平多仓（昨仓:{1}手）失败'.format(self.Leg1Symbol,volYd)) - return None - self.uncompletedOrders[orderID] = {'SYMBOL': self.Leg1Symbol, 'DIRECTION': DIRECTION_SHORT, - 'OFFSET': OFFSET_CLOSE, 'Volume': volYd, 'TradedVolume': EMPTY_INT, - 'Price': sellPrice, 'OrderTime': self.curDateTime, - 'Grid': grid} - # 更新持仓数据中的昨仓为0，避免瞬间连续平仓引发的昨仓数量不足 - leg1Pos.longYd = 0 - - orders = orderID - # 平今仓 - orderID = self.ctaEngine.sendOrder(self.Leg1Symbol, CTAORDER_SELL, sellPrice, volToday, self) - if orderID is None: - self.writeCtaLog(u'异常，Leg1:{0}平多仓（今仓:{1}手）失败'.format(self.Leg1Symbol,volToday)) - return None - self.uncompletedOrders[orderID] = {'SYMBOL': self.Leg1Symbol, 'DIRECTION': DIRECTION_SHORT, - 'OFFSET': OFFSET_CLOSE, 'Volume': volToday, 'TradedVolume': EMPTY_INT, - 'Price': sellPrice, 'OrderTime': self.curDateTime, - 'Grid': grid} - - orders = orders + ';' + orderID - - # 剩余：要么昨仓数量大于平仓数量、要么没有昨仓数量，今仓数量 >= 平仓数量，都交给catEngine自己解决 - else: - orderID = self.ctaEngine.sendOrder(self.Leg1Symbol, CTAORDER_SELL, sellPrice, grid.volume, self) - orders = orderID - if orderID is None: - self.writeCtaLog(u'异常，Leg1:{0}平多仓:{1}手失败'.format(self.Leg1Symbol,grid.volume)) - return None - self.uncompletedOrders[orderID] = {'SYMBOL': self.Leg1Symbol, 'DIRECTION': DIRECTION_SHORT, - 'OFFSET': OFFSET_CLOSE, 'Volume': grid.volume, 'TradedVolume': EMPTY_INT, - 'Price': sellPrice, 'OrderTime': self.curDateTime, - 'Grid': grid} - - # --------------平空leg2----------------------- - - # 只有1手的情况下 - if grid.volume == 1 or self.backtesting: - orderID = self.ctaEngine.sendOrder(self.Leg2Symbol, CTAORDER_COVER, coverPrice, grid.volume, self) - if orderID is None: - self.writeCtaLog(u'异常，Leg2:{0}平空仓失败'.format(self.Leg2Symbol)) - # 这里要不要处理之前的Leg1开仓？（放在后面cancelorder中处理） - return None - orders = orders + ';' + orderID - self.uncompletedOrders[orderID] = {'SYMBOL': self.Leg2Symbol, 'DIRECTION': DIRECTION_LONG, - 'OFFSET': OFFSET_CLOSE, 'Volume': grid.volume, 'TradedVolume': EMPTY_INT, - 'Price': coverPrice, 'OrderTime': self.curDateTime, - 'Grid': grid} - else: - # 昨仓有，并且少于平仓数量 - if leg2Pos.shortYd > EMPTY_INT and leg2Pos.shortYd < grid.volume: - volYd = leg2Pos.shortYd # 平所有的昨仓 - volToday = grid.volume - volYd # 剩余的今仓平 - self.writeCtaLog(u'{0}当前昨仓{1}/今仓:{2},分别平昨仓:{3}、今仓:{4}' - .format(self.Leg2Symbol,leg2Pos.shortYd, leg2Pos.shortToday, volYd, volToday)) - - # 平昨仓 - orderID = self.ctaEngine.sendOrder(self.Leg2Symbol, CTAORDER_COVER, coverPrice, volYd, self) - if orderID is None: - self.writeCtaLog(u'异常，Leg2:{0}平空仓(昨仓:{1}手）失败'.format(self.Leg2Symbol, volYd)) - return None - - orders = orders + ';' + orderID - self.uncompletedOrders[orderID] = {'SYMBOL': self.Leg2Symbol, 'DIRECTION': DIRECTION_LONG, - 'OFFSET': OFFSET_CLOSE, 'Volume': volYd, 'TradedVolume': EMPTY_INT, - 'Price': coverPrice, 'OrderTime': self.curDateTime, - 'Grid': grid} - # 更新持仓数据中的昨仓为0，避免瞬间连续平仓引发的昨仓数量不足 - leg2Pos.shortYd = 0 - - # 平今仓 - orderID = self.ctaEngine.sendOrder(self.Leg2Symbol, CTAORDER_COVER, coverPrice, volToday, self) - if orderID is None: - self.writeCtaLog(u'异常，Leg2:{0}平空仓(今仓:{1}）失败'.format(self.Leg2Symbol, volToday)) - return None - - orders = orders + ';' + orderID - self.uncompletedOrders[orderID] = {'SYMBOL': self.Leg2Symbol, 'DIRECTION': DIRECTION_LONG, - 'OFFSET': OFFSET_CLOSE, 'Volume': volToday, 'TradedVolume': EMPTY_INT, - 'Price': coverPrice, 'OrderTime': self.curDateTime, - 'Grid': grid} - else: - # 其他情况 - orderID = self.ctaEngine.sendOrder(self.Leg2Symbol, CTAORDER_COVER, coverPrice, grid.volume, self) - if orderID is None: - self.writeCtaLog(u'异常，Leg2:{0}平空仓({1}手)失败'.format(self.Leg2Symbol, grid.volume)) - # 这里要不要处理之前的Leg1开仓？（放在后面cancelorder中处理） - return None - orders = orders + ';' + orderID - self.uncompletedOrders[orderID] = {'SYMBOL': self.Leg2Symbol, 'DIRECTION': DIRECTION_LONG, - 'OFFSET': OFFSET_CLOSE, 'Volume': grid.volume, - 'Price': coverPrice, 'TradedVolume': EMPTY_INT, - 'OrderTime': self.curDateTime, - 'Grid': grid} - - self.entrust = -1 - grid.orderDatetime = self.curDateTime - self.writeCtaLog(u'arb Sell Orders：{0}'.format(orders)) - return orders - - # ---------------------------------------------------------------------- - def __arbCover(self, grid, force = False): - """非标准合约的套利平反套（平空）指令""" - self.writeCtaLog(u'套利价差平反套（平多）单,price={0},volume={1}'.format(grid.closePrice, grid.volume)) - if not self.trading: - self.writeCtaLog(u'停止状态，不开仓') - return None - - askPrice = self.lastLeg1Tick.askPrice1 - self.lastLeg2Tick.bidPrice1 - if self.lastLeg1Tick.askPrice1 <= self.lastLeg1Tick.lastPrice: - if self.lastLeg1Tick.askVolume1 < 3: - coverPrice = self.lastLeg1Tick.lastPrice+2*self.minDiff - elif self.lastLeg1Tick.askVolume1 < 10: - coverPrice = self.lastLeg1Tick.lastPrice + self.minDiff - else: - coverPrice = self.lastLeg1Tick.lastPrice - - else: - if self.lastLeg1Tick.askVolume1 < 10 or self.lastLeg1Tick.bidVolume1 <= grid.volume: - coverPrice = self.lastLeg1Tick.askPrice1 + self.minDiff - else: - coverPrice = self.lastLeg1Tick.askPrice1 - - if self.lastLeg2Tick.bidPrice1 >= self.lastLeg2Tick.lastPrice: - if self.lastLeg2Tick.bidVolume1 < 3: - sellPrice = self.lastLeg2Tick.lastPrice - 2*self.minDiff - elif self.lastLeg2Tick.bidVolume1 < 10: - sellPrice = self.lastLeg2Tick.lastPrice - self.minDiff - else: - sellPrice = self.lastLeg2Tick.lastPrice - - else: - if self.lastLeg2Tick.bidVolume1 < 10 or self.lastLeg2Tick.bidVolume1 <= grid.volume: - sellPrice = self.lastLeg2Tick.bidPrice1 - self.minDiff - else: - sellPrice = self.lastLeg2Tick.bidPrice1 - - if askPrice > grid.closePrice and not force: - self.writeCtaLog(u'实际价差{0}不满足:{1}'.format(askPrice, grid.closePrice)) - return None - - #if (coverPrice - sellPrice) > grid.closePrice and not force: - # self.writeCtaLog(u'对价价差{0}不满足:{1}'.format((coverPrice - sellPrice), grid.closePrice)) - # return None - - if force: - coverPrice +=self.minDiff - sellPrice -= self.minDiff - - leg1Pos = self.ctaEngine.posBufferDict.get(self.Leg1Symbol, None) - leg2Pos = self.ctaEngine.posBufferDict.get(self.Leg2Symbol, None) - - if leg1Pos is None: - self.writeCtaLog(u'查询不到Leg1:{0}的持仓数据'.format(self.Leg1Symbol)) - return None - if leg2Pos is None: - self.writeCtaLog(u'查询不到Leg2:{0}的持仓数据'.format(self.Leg2Symbol)) - return None - - if leg1Pos.shortPosition < grid.volume: - self.writeCtaLog(u'{0}仓位{1}不足{2}'.format(self.Leg1Symbol, leg1Pos.shortPosition, grid.volume)) - return None - if leg2Pos.longPosition < grid.volume: - self.writeCtaLog(u'{0}仓位{1}不足{2}'.format(self.Leg2Symbol, leg2Pos.longPosition, grid.volume)) - return None - - # 平空leg1 - # 只有1手的情况下 - if grid.volume == 1 or self.backtesting: - orderID = self.ctaEngine.sendOrder(self.Leg1Symbol, CTAORDER_COVER, coverPrice, grid.volume, self) - if orderID is None: - self.writeCtaLog(u'Leg1:{0}平空仓({1}手)失败'.format(self.Leg1Symbol, grid.volume)) - return None - orders = orderID - self.uncompletedOrders[orderID] = {'SYMBOL': self.Leg1Symbol, 'DIRECTION': DIRECTION_LONG, - 'OFFSET': OFFSET_CLOSE, 'Volume': grid.volume, 'TradedVolume': EMPTY_INT, - 'Price': coverPrice, 'OrderTime': self.curDateTime, - 'Grid': grid} - else: - # 昨仓有，并且少于平仓数量 - if leg1Pos.shortYd > EMPTY_INT and leg1Pos.shortYd < grid.volume: - volYd = leg1Pos.shortYd # 昨仓全平 - volToday = grid.volume - volYd # 今仓平剩余部分 - self.writeCtaLog(u'{0}分别平昨仓:{1}、今仓:{2}'.format(self.Leg1Symbol, volYd, volToday)) - - # 优先平昨仓 - orderID = self.ctaEngine.sendOrder(self.Leg1Symbol, CTAORDER_COVER, coverPrice, volYd, self) - if orderID is None: - self.writeCtaLog(u'Leg1:{0}平空仓(昨仓:{1}手）失败'.format(self.Leg1Symbol, volYd)) - return None - orders = orderID - self.uncompletedOrders[orderID] = {'SYMBOL': self.Leg1Symbol, 'DIRECTION': DIRECTION_LONG, - 'OFFSET': OFFSET_CLOSE, 'Volume': volYd, 'TradedVolume': EMPTY_INT, - 'Price': coverPrice, 'OrderTime': self.curDateTime, - 'Grid': grid} - # 更新持仓数据中的昨仓为0，避免瞬间连续平仓引发的昨仓数量不足 - leg1Pos.shortYd = 0 - - # 平今仓 - orderID = self.ctaEngine.sendOrder(self.Leg1Symbol, CTAORDER_COVER, coverPrice, volToday, self) - if orderID is None: - self.writeCtaLog(u'Leg1:{0}平空仓(今仓:{1}手）失败'.format(self.Leg1Symbol, volToday)) - # 这里要不要处理之前的Leg1开仓？（放在后面cancelorder中处理） - return None - orders = orders + ';' + orderID - self.uncompletedOrders[orderID] = {'SYMBOL': self.Leg1Symbol, 'DIRECTION': DIRECTION_LONG, - 'OFFSET': OFFSET_CLOSE, 'Volume': volToday, 'TradedVolume': EMPTY_INT, - 'Price': coverPrice, 'OrderTime': self.curDateTime, - 'Grid': grid} - else: - # 其他情况(全部昨天仓/全部今仓） - orderID = self.ctaEngine.sendOrder(self.Leg1Symbol, CTAORDER_COVER, coverPrice, grid.volume, self) - if orderID is None: - self.writeCtaLog(u'Leg1:{0}平空仓({1}手)失败'.format(self.Leg1Symbol, grid.volume)) - # 这里要不要处理之前的Leg1开仓？（放在后面cancelorder中处理） - return None - orders = orderID - self.uncompletedOrders[orderID] = {'SYMBOL': self.Leg1Symbol, 'DIRECTION': DIRECTION_LONG, - 'OFFSET': OFFSET_CLOSE, 'Volume': grid.volume, 'TradedVolume': EMPTY_INT, - 'Price': coverPrice, 'OrderTime': self.curDateTime, - 'Grid': grid} - - # 平多leg2 - - - # 只有1手的情况下 - if grid.volume == 1 or self.backtesting: - orderID = self.ctaEngine.sendOrder(self.Leg2Symbol, CTAORDER_SELL, sellPrice, grid.volume, self) - orders = orders + ';' + orderID - if orderID is None: - self.writeCtaLog(u'Leg2:{0}平多仓({1}手)失败'.format(self.Leg2Symbol, grid.volume)) - return None - self.uncompletedOrders[orderID] = {'SYMBOL': self.Leg2Symbol, 'DIRECTION': DIRECTION_SHORT, - 'OFFSET': OFFSET_CLOSE, 'Volume': grid.volume, 'TradedVolume': EMPTY_INT, - 'Price': sellPrice, 'OrderTime': self.curDateTime, - 'Grid': grid} - - else: - # 昨仓有，并且少于平仓数量 - if leg2Pos.longYd > EMPTY_INT and leg2Pos.longYd < grid.volume: - volYd= leg2Pos.longYd - volToday = grid.volume - volYd - - self.writeCtaLog(u'{0}分别平今仓:{1}、:昨仓{2}'.format(self.Leg2Symbol, volToday, volYd)) - - # 平昨仓(第一次调用时，ctaEngine同样使用昨仓优先） - orderID = self.ctaEngine.sendOrder(self.Leg2Symbol, CTAORDER_SELL, sellPrice, volYd, self) - - if orderID is None: - self.writeCtaLog(u'Leg2:{0}平多仓（昨仓:{1}手）失败'.format(self.Leg2Symbol, volYd)) - return None - self.uncompletedOrders[orderID] = {'SYMBOL': self.Leg2Symbol, 'DIRECTION': DIRECTION_SHORT, - 'OFFSET': OFFSET_CLOSE, 'Volume': volYd, 'TradedVolume': EMPTY_INT, - 'Price': sellPrice, 'OrderTime': self.curDateTime, - 'Grid': grid} - - # 更新持仓数据中的昨仓为0，避免瞬间连续平仓引发的昨仓数量不足 - leg2Pos.longYd = 0 - - orders = orders + ';' + orderID - # 平今仓 - orderID = self.ctaEngine.sendOrder(self.Leg2Symbol, CTAORDER_SELL, sellPrice, volToday, self) - if orderID is None: - self.writeCtaLog(u'Leg2:{0}平多仓（昨仓）失败'.format(self.Leg2Symbol)) - return None - self.uncompletedOrders[orderID] = {'SYMBOL': self.Leg2Symbol, 'DIRECTION': DIRECTION_SHORT, - 'OFFSET': OFFSET_CLOSE, 'Volume': volToday, 'TradedVolume': EMPTY_INT, - 'Price': sellPrice, 'OrderTime': self.curDateTime, - 'Grid': grid} - - orders = orders + ';' + orderID - - # 剩余：要么昨仓数量大于平仓数量、要么没有昨仓数量，今仓数量 >= 平仓数量，都交给catEngine自己解决 - else: - orderID = self.ctaEngine.sendOrder(self.Leg2Symbol, CTAORDER_SELL, sellPrice, grid.volume, self) - orders = orders + ';' + orderID - if orderID is None: - self.writeCtaLog(u'Leg2:{0}平多仓（{1}手）失败'.format(self.Leg2Symbol, grid.volume)) - return None - self.uncompletedOrders[orderID] = {'SYMBOL': self.Leg2Symbol, 'DIRECTION': DIRECTION_SHORT, - 'OFFSET': OFFSET_CLOSE, 'Volume': grid.volume, 'TradedVolume': EMPTY_INT, - 'Price': sellPrice, - 'OrderTime': self.curDateTime, - 'Grid': grid} - - self.entrust = 1 - grid.orderDatetime = self.curDateTime - self.writeCtaLog(u'arb Cover Orders：{0}'.format(orders)) - return orders - - # ---------------------------------------------------------------------- - def onTick(self, tick): - """行情更新 - :type tick: object - """ - # 更新策略执行的时间（用于回测时记录发生的时间） - self.curDateTime = tick.datetime - - spread_tick = None - - # 合并tick - if tick.vtSymbol != self.vtSymbol: - spread_tick = self.__combineTick(tick) - if spread_tick is None : - return - - # 修正lastPrice，大于中轴(0)时，取最小值，小于中轴时，取最大值 - if spread_tick.bidPrice1 > self.baseMidLine and spread_tick.askPrice1 > self.baseMidLine: - spread_tick.lastPrice = min(spread_tick.bidPrice1, spread_tick.askPrice1) - elif spread_tick.bidPrice1 < self.baseMidLine and spread_tick.askPrice1 < self.baseMidLine: - spread_tick.lastPrice = max(spread_tick.bidPrice1, spread_tick.askPrice1) - - self.curTick = spread_tick - - if not self.backtesting: - dt = datetime.now() - if (dt.hour >= 3 and dt.hour < 8) or (dt.hour >= 16 and dt.hour < 20): - return - - if (spread_tick.datetime.hour >= 3 and spread_tick.datetime.hour <= 8) or (spread_tick.datetime.hour >= 16 and spread_tick.datetime.hour <= 20): - self.writeCtaLog(u'休市/集合竞价排名时数据不处理') - self.__initGrids() - return - - if not self.recheckPositions and self.closeWindow: - self.writeCtaLog(u'激活重新提交平仓单') - self.recheckPositions = True - - # 2、计算交易时间和平仓时间 - self.__timeWindow(spread_tick) - - # 4、交易逻辑 - # 首先检查是否是实盘运行还是数据预处理阶段 - if not self.inited : - return - - # 初始化网格交易器（或从本地记录文件中获取） - self.__initGrids() - - if self.tradeWindow and not self.closeWindow and self.recheckPositions: - self.writeCtaLog(u'交易时间，重新计算持仓') - # 重新计算持仓 - self.__recheckPositions() - - if not self.tradeWindow and self.closeWindow and not self.recheckPositions: - self.writeCtaLog(u'收盘时间，重置计算持仓标志') - self.recheckPositions = True - if self.inited: - self.gt.save(direction=DIRECTION_LONG) - self.gt.save(direction=DIRECTION_SHORT) - - # 执行撤单逻辑 - self.__cancelLogic(self.curDateTime) - - if self.curDateTime.second == 0: - self.__updateGridsDisplay() - - if self.entrust == 0: - # 获取满足的未挂单(开空单） - pendingGrids = self.gt.getGrids(direction=DIRECTION_SHORT, - end=spread_tick.bidPrice1) - - if len(pendingGrids) > 1: - self.writeCtaLog(u'有多个挂单，只选择价格最高的一个') - sortedGrids = sorted(pendingGrids, key=lambda g:g.openPrice) - pendingGrids = sortedGrids[-1:] - - # 提交挂单 - for x in pendingGrids[:]: - if self.position.avaliablePos2Add() < 1: - msg = u'持空仓数量已满，不再开仓' - if msg != self.logMsg: - self.logMsg = msg - self.writeCtaLog(msg) - continue - - if not (spread_tick.bidPrice1 >= x.openPrice): - msg = u'spread_tick.bidPrice1:{0}< 网格:{1},不开空仓'.format(spread_tick.bidPrice1, x.openPrice) - if msg != self.logMsg: - self.logMsg = msg - self.writeCtaLog(msg) - continue - - if not self.__checkAccountLimit(): - msg = u'资金占用超过限制值，不开仓' - if msg != self.logMsg: - self.logMsg = msg - self.writeCtaLog(msg) - continue - - # 调用套利下单指令 - ref = self.__arbShort(x) - if ref is not None and len(ref)>0: - self.writeCtaLog(u'开空委托单号{0}'.format(ref)) - self.gt.updateOrderRef(direction=DIRECTION_SHORT, openPrice=x.openPrice, orderRef=ref) - else: - self.writeCtaLog(u'开空委托单失败:{0},v:{1}'.format(x.openPrice, x.volume)) - - # 获取满足价格的未挂单(开多单） - pendingGrids = self.gt.getGrids(direction=DIRECTION_LONG, - end=spread_tick.askPrice1) - - if len(pendingGrids) > 1: - self.writeCtaLog(u'有多个挂单，只选择价格最低的一个') - sortedGrids = sorted(pendingGrids, key=lambda g: g.openPrice) - pendingGrids = sortedGrids[0:1] - - # 逐一提交挂单 - for x in pendingGrids: - if self.position.avaliablePos2Add() < 1: - msg = u'持多仓数量已满，不再开多仓' - if msg != self.logMsg: - self.logMsg = msg - self.writeCtaLog(msg) - continue - - if not spread_tick.askPrice1 <= x.openPrice: - msg = u'spread_tick.askPrice1:{0} > 网格:{1},不开多仓'.format(spread_tick.askPrice1, x.openPrice) - if msg != self.logMsg: - self.logMsg = msg - self.writeCtaLog(msg) - continue - - if not self.__checkAccountLimit(): - msg = u'资金占用超过限制值，不开仓' - if msg != self.logMsg: - self.logMsg = msg - self.writeCtaLog(msg) - continue - - ref = self.__arbBuy(x) - if ref is not None and len(ref) > 0: - self.writeCtaLog(u'开多委托单号{0}'.format(ref)) - self.gt.updateOrderRef(direction=DIRECTION_LONG, openPrice=x.openPrice, orderRef=ref) - else: - self.writeCtaLog(u'开多委托单失败:{0},v:{1}'.format(x.openPrice, x.volume)) - - # 持有正套的单 - if self.position.longPos > 0 and self.entrust == 0 and self.tradeWindow: - - # 从网格获取，未平仓状态，价格，注意检查是否有可以平仓的网格 - pendingGrids = self.gt.getGrids(direction=DIRECTION_LONG, opened=True, closed=False, ordered=False, - begin=999999 , end= -999999) - for x in pendingGrids: - if self.sigle_exist and len(pendingGrids) > 1: - continue - - if x.closePrice < spread_tick.bidPrice1: - ref = self.__arbSell(x) - if ref is not None: - self.writeCtaLog(u'平正套（平多）委托单号{0}'.format(ref)) - self.gt.updateOrderRef(direction=DIRECTION_LONG, openPrice=x.openPrice, orderRef=ref) - else: - self.writeCtaLog(u'平正套（平多）委托单失败:{0},v:{1}'.format(x.closePrice, x.volume)) - - # 持有反套的单，检查平仓条件 - if self.position.shortPos < 0 and self.entrust == 0 and self.tradeWindow: - - # 从网格获取，未平仓状态，价格 - pendingGrids = self.gt.getGrids(direction=DIRECTION_SHORT, opened=True, closed=False, ordered=False, - begin=-999999, end=999999) - - for x in pendingGrids: - if self.sigle_exist and len(pendingGrids) > 1: - continue - - if x.closePrice > spread_tick.askPrice1: - ref = self.__arbCover(x) - if ref is not None: - self.writeCtaLog(u'平反套（平空）委托单号{0}'.format(ref)) - self.gt.updateOrderRef(direction=DIRECTION_SHORT, openPrice=x.openPrice, orderRef=ref) - else: - self.writeCtaLog(u'平反套（平空）委托单失败:{0},v:{1}'.format(x.closePrice, x.volume)) - - - # ---------------------------------------------------------------------- - def onBar(self, bar): - """分钟K线数据更新 - bar，k周期数据 - """ - pass - # ---------------------------------------------------------------------- - def __initGrids(self): - if len(self.gt.upGrids) <= 0 or len(self.gt.dnGrids) <= 0: - self.writeCtaLog(u'__initGrids(),初始化网格交易器') - self.gt.initGrid(upline=self.baseUpLine, dnline=self.baseDnLine) - self.writeCtaLog(u'__initGrids(),初始化网格完成') - self.recheckPositions = True - - def __updateGridsDisplay(self): - """更新网格显示信息""" - self.upGrids = self.gt.toStr(direction=DIRECTION_SHORT) - self.writeCtaLog(self.upGrids) - - self.dnGrids = self.gt.toStr(direction=DIRECTION_LONG) - self.writeCtaLog(self.dnGrids) - - def __closeAllGrids(self, direction, closePrice): - """对所有的网格强制平仓""" - if direction == DIRECTION_SHORT: - # 扫描上网格 - for x in self.gt.upGrids[:]: - # 已发送订单，已开仓，未平仓 - if not x.openStatus or x.closeStatus: - continue - - if x.orderStatus and x.orderRef != EMPTY_STRING and x.orderDatetime is not None: - orders = x.orderRef.split(';') - if len(orders) == 1: - self.writeCtaLog(u'{0}只有单腿委托{1}'.format(x.openPrice, orders[0])) - continue - - # 当前分钟内，不再委托强平 - if x.orderDatetime.minute == self.curDateTime.minute: - continue - - self.writeCtaLog(u'取消平仓单:[ref={0},closeprice={1}]'.format(x.orderRef, x.closePrice)) - for order in orders: - self.writeCtaLog(u'撤单:{0}'.format(order)) - self.cancelOrder(order) - - sleep(0.3) - - oldPrice = x.closePrice - x.closePrice = closePrice - ref = self.__arbCover(x, force=True) - - if ref: - x.orderRef = ref - x.orderStatus = True - x.orderDatetime = self.curDateTime - self.writeCtaLog(u'强制提交平空委托单[closeprice={0},volume={1}]' - .format(x.closePrice, x.volume)) - else: - self.writeCtaLog(u'提交平仓委托单失败') - x.closePrice = oldPrice - - if direction == DIRECTION_LONG: - # 扫描下网格 - for x in self.gt.dnGrids[:]: - if not x.openStatus or x.closeStatus: - self.writeCtaLog(u'网格[open={0},close={1} 不满足状态'.format(x.openPrice, x.closePrice)) - continue - - if x.orderStatus and x.orderRef != EMPTY_STRING and x.orderDatetime is not None: - orders = x.orderRef.split(';') - if len(orders) == 1: - self.writeCtaLog(u'{0}只有单腿委托{1}'.format(x.openPrice, orders[0])) - continue - - if x.orderDatetime.minute == self.curDateTime.minute: - continue - - self.writeCtaLog(u'取消平多单:[ref={0},closeprice={1}]'.format(x.orderRef, x.closePrice)) - - for order in orders: - self.writeCtaLog(u'撤单:{0}'.format(order)) - self.cancelOrder(order) - - sleep(0.3) - - oldPrice = x.closePrice - x.closePrice = closePrice - # 强制平仓 - ref = self.__arbSell(x, force=True) - if ref: - x.orderRef = ref - x.orderStatus = True - x.orderDatetime = self.curDateTime - self.writeCtaLog( - u'强制提交平多委托单[closeprice={0},volume={1}]'.format(x.closePrice, x.volume )) - else: - self.writeCtaLog(u'提交平仓委托单失败') - x.closePrice = oldPrice - - - # ---------------------------------------------------------------------- - def __timeWindow(self, tick): - """交易与平仓窗口""" - # 交易窗口 避开早盘和夜盘的前5分钟，防止隔夜跳空。 - self.closeWindow = False - self.tradeWindow = False - self.openWindow = False - - # 初始化当日的首次交易 - #if (tick.datetime.hour == 9 or tick.datetime.hour == 21) and tick.datetime.minute == 0 and tick.datetime.second ==0: - # self.firstTrade = True - - # 开市期，波动较大，用于判断止损止盈，或开仓 - if (tick.datetime.hour == 9 or tick.datetime.hour == 21) and tick.datetime.minute < 10: - self.openWindow = True - - # 日盘 - if tick.datetime.hour == 9 and ((tick.datetime.minute >= 0 and self.shortSymbol not in MARKET_ZJ) or tick.datetime.minute >= 15): - self.tradeWindow = True - return - - if tick.datetime.hour == 10: - if (tick.datetime.minute <= 15 or tick.datetime.minute >= 30) or self.shortSymbol in MARKET_ZJ: - self.tradeWindow = True - return - - if tick.datetime.hour == 11 and tick.datetime.minute <= 30: - self.tradeWindow = True - return - - # 中金所是13:00开盘，大连、郑商、上期所，是13:30开盘 - if tick.datetime.hour == 13 and tick.datetime.minute >= 00: - self.tradeWindow = True - return - - # 大连、郑商、上期所，是15:00 收盘 - if tick.datetime.hour == 14: - if tick.datetime.minute < 59 or self.shortSymbol in MARKET_ZJ: - self.tradeWindow = True - return - - if tick.datetime.minute == 59: # 日盘平仓 - self.closeWindow = True - return - - # 中金所是15:15收盘 - if tick.datetime.hour == 15 and self.shortSymbol in MARKET_ZJ: - if tick.datetime.minute < 14: - self.tradeWindow = True - return - - if tick.datetime.minute >= 14: # 日盘平仓 - self.closeWindow = True - return - - # 夜盘 - if tick.datetime.hour == 21 and tick.datetime.minute >= 0: - self.tradeWindow = True - return - - # 上期 贵金属， 次日凌晨2:30 - if self.shortSymbol in NIGHT_MARKET_SQ1: - if tick.datetime.hour == 22 or tick.datetime.hour == 23 or tick.datetime.hour == 0 or tick.datetime.hour ==1: - self.tradeWindow = True - return - - if tick.datetime.hour == 2: - if tick.datetime.minute < 29: # 收市前29分钟 - self.tradeWindow = True - return - if tick.datetime.minute == 29: # 夜盘平仓 - self.closeWindow = True - return - return - - # 上期 有色金属，黑色金属，沥青 次日01:00 - if self.shortSymbol in NIGHT_MARKET_SQ2: - if tick.datetime.hour == 22 or tick.datetime.hour == 23: - self.tradeWindow = True - return - - if tick.datetime.hour == 0: - if tick.datetime.minute < 59: # 收市前29分钟 - self.tradeWindow = True - return - - if tick.datetime.minute == 59: # 夜盘平仓 - self.closeWindow = True - return - - return - - # 上期 天然橡胶 23:00 - if self.shortSymbol in NIGHT_MARKET_SQ3: - - if tick.datetime.hour == 22: - if tick.datetime.minute < 59: # 收市前1分钟 - self.tradeWindow = True - return - - if tick.datetime.minute == 59: # 夜盘平仓 - self.closeWindow = True - return - - # 郑商、大连 23:30 - if self.shortSymbol in NIGHT_MARKET_ZZ or self.shortSymbol in NIGHT_MARKET_DL: - if tick.datetime.hour == 22: - self.tradeWindow = True - return - - if tick.datetime.hour == 23: - if tick.datetime.minute < 29: # 收市前1分钟 - self.tradeWindow = True - return - if tick.datetime.minute == 29 and tick.datetime.second > 30: # 夜盘平仓 - self.closeWindow = True - return - return - - def __checkAccountLimit(self): - """主动检查是否超过总体资金占用比例""" - c, a, p, pl = self.ctaEngine.getAccountInfo() - if p > pl: - return False - - return True - - def __recheckPositions(self): - """重新计算持仓""" - self.writeCtaLog(u'扫描网格，重新计算持仓') - # 重置position - self.position.clear() - checks = EMPTY_INT - - # 扫描上网格 - for x in self.gt.upGrids[:]: - # 已发送订单，已开仓，未平仓 - if x.openStatus and not x.closeStatus: - closePrice = min(x.closePrice, self.curTick.lastPrice) - x.orderRef = EMPTY_STRING - # 未平仓的volume=网格的volume-已交易的volume， - # 更新仓位 - self.position.openPos(direction=DIRECTION_SHORT, vol=x.volume - x.tradedVolume, - price=x.openPrice) - - checks = checks + 1 - self.writeCtaLog(u'增加空仓{0},V:{1}'.format(x.openPrice,x.volume - x.tradedVolume)) - - elif x.orderStatus and not x.openStatus: - self.writeCtaLog(u'重置网格[{0}]的开仓单委托'.format(x.openPrice)) - x.orderStatus = False - x.orderRef = EMPTY_STRING - - if checks == EMPTY_INT: - self.writeCtaLog(u'上网格没空单') - - checks = EMPTY_INT - # 扫描下网格 - for x in self.gt.dnGrids[:]: - # 已发送订单，已开仓，未平仓 - if x.openStatus and not x.closeStatus: - closePrice = max(x.closePrice, self.curTick.lastPrice) - - x.orderRef = EMPTY_STRING - # 未平仓的volume=网格的volume-已交易的volume， - # 更新仓位 - self.position.openPos(direction=DIRECTION_LONG, vol=x.volume - x.tradedVolume, - price=x.openPrice) - - checks = checks + 1 - self.writeCtaLog(u'增加多仓{0},V:{1}'.format(x.openPrice, x.volume - x.tradedVolume)) - - elif x.orderStatus and not x.openStatus: - self.writeCtaLog(u'重置网格[{0}]的开仓单委托'.format(x.openPrice)) - x.orderStatus = False - x.orderRef = EMPTY_STRING - - if checks == EMPTY_INT: - self.writeCtaLog(u'下网格没有多单') - - self.gridpos = self.position.pos - # 重置为已执行 - self.recheckPositions = False - - def __cancelLogic(self, dt, force=False): - "撤单逻辑""" - if len(self.uncompletedOrders) < 1: - return - - canceled_keys = [] - - #if ((dt - self.lastOrderTime).seconds > self.cancelSeconds / i ) \ - # or force: # 超过设置的时间还未成交 - """ - {'SYMBOL': self.Leg1Symbol, 'DIRECTION': DIRECTION_SHORT, - 'OFFSET': OFFSET_OPEN, 'Volume': grid.volume, - 'Price': shortPrice, 'TradedVolume':0 , - 'OrderTime': self.curDateTime, - 'Grid': grid} - """ - - order_keys = self.uncompletedOrders.keys() - - for order_key in order_keys: - if order_key not in self.uncompletedOrders: - self.writeCtaLog(u'{0}不在未完成的委托单中。'.format(order_key)) - continue - order = self.uncompletedOrders[order_key] - order_time = order['OrderTime'] - order_symbol = copy.copy(order['SYMBOL']) - order_volume = order['Volume'] - order['TradedVolume'] - order_price = order['Price'] - - if (dt - order_time).seconds > self.cancelSeconds: - self.writeCtaLog(u'{0}超时{1}秒未成交，取消委托单：{2}'.format(order_symbol, (dt - order_time).seconds, order)) - - # 获得对应的网格,检查网格是否两个lge的order都未成交 - grid = order['Grid'] - orders_in_grid = grid.orderRef.split(';') - if len(orders_in_grid) > 1: - self.writeCtaLog(u'{0}=>{1}网格两腿超时未成交，均撤单'.format(grid.openPrice,grid.closePrice)) - for order_in_grid in orders_in_grid: - # 分别撤销委托单 - self.cancelOrder(str(order_in_grid)) - self.writeCtaLog(u'删除orderID:{0}'.format(order_in_grid)) - try: - del self.uncompletedOrders[order_in_grid] - except Exception as ex: - self.writeCtaLog(u'uncompletedOrders找不到{0}'.format(order_in_grid)) - - grid.orderStatus = False - grid.orderRef = EMPTY_STRING - grid.orderDatetime = None - self.entrust = 0 - continue - - # 撤销该委托单 - self.cancelOrder(str(order_key)) - - # 撤销的委托单，属于平仓类，需要追平 - if order['OFFSET'] == OFFSET_CLOSE: - # 属于平多委托单 - if order['DIRECTION'] == DIRECTION_SHORT: - - if order_symbol == self.Leg1Symbol: - sellPrice = min(self.lastLeg1Tick.bidPrice1, self.lastLeg1Tick.lastPrice) - self.minDiff - else: - sellPrice = min(self.lastLeg2Tick.bidPrice1, self.lastLeg2Tick.lastPrice) - self.minDiff - - orderID = self.ctaEngine.sendOrder(order_symbol, CTAORDER_SELL, sellPrice, order_volume, self) - - if orderID is None: - self.writeCtaLog(u'重新提交{0} {1}手平多单{2}失败'.format(order_symbol,order_volume,sellPrice)) - continue - - # 添加到待删除的清单 - canceled_keys.append(order_key) - # 更新网格的委托单 - grid = order['Grid'] - grid.orderRef = grid.orderRef.replace(order_key, orderID) - # 重新添加平多委托单 - self.uncompletedOrders[orderID] = {'SYMBOL': order_symbol, 'DIRECTION': DIRECTION_SHORT, - 'OFFSET': OFFSET_CLOSE, 'Volume': order_volume,'TradedVolume': EMPTY_INT, - 'Price': sellPrice, 'OrderTime': self.curDateTime, - 'Grid': grid} - - # 属于平空委托单 - else: - # 获取对价 - if order_symbol == self.Leg1Symbol: - coverPrice = max(self.lastLeg1Tick.askPrice1, self.lastLeg1Tick.lastPrice) + self.minDiff - else: - coverPrice = max(self.lastLeg2Tick.askPrice1, self.lastLeg2Tick.lastPrice) + self.minDiff - - orderID = self.ctaEngine.sendOrder(order_symbol, CTAORDER_COVER, coverPrice, order_volume, self) - if orderID is None: - self.writeCtaLog(u'重新提交{0} {1}手平空单{2}失败'.format(order_symbol, order_volume, coverPrice)) - continue - - # 添加到待删除的清单 - canceled_keys.append(order_key) - # 更新网格的委托单 - grid = order['Grid'] - grid.orderRef = grid.orderRef.replace(order_key, orderID) - # 重新添加平空委托单 - self.uncompletedOrders[orderID] = {'SYMBOL': order_symbol, 'DIRECTION': DIRECTION_LONG, - 'OFFSET': OFFSET_CLOSE, 'Volume': order_volume,'TradedVolume': EMPTY_INT, - 'Price': coverPrice, 'OrderTime': self.curDateTime, - 'Grid': grid} - - # 撤销的委托单，属于开仓类，需要追开 - else: - # 属于开空委托单 - if order['DIRECTION'] == DIRECTION_SHORT: - if order_symbol == self.Leg1Symbol: - shortPrice = min(self.lastLeg1Tick.bidPrice1, self.lastLeg1Tick.lastPrice) - self.minDiff - else: - shortPrice = min(self.lastLeg2Tick.bidPrice1, self.lastLeg2Tick.lastPrice) - self.minDiff - - # 发送委托 - orderID = self.ctaEngine.sendOrder(order_symbol, CTAORDER_SHORT, shortPrice, order_volume, self) - if orderID is None or len(orderID) == 0: - self.writeCtaLog(u'重新提交{0} {1}手开空单{2}失败'.format(order_symbol, order_volume, shortPrice)) - continue - - # 添加到待删除的清单 - canceled_keys.append(order_key) - # 更新网格的委托单 - grid = order['Grid'] - grid.orderRef = grid.orderRef.replace(order_key, orderID) - if shortPrice < order_price: - # 修正止盈点位 - if grid.direction == DIRECTION_SHORT: - grid.closePrice -= (order_price-shortPrice) - else: - grid.closePrice += (order_price-shortPrice) - # 重新添加开空委托单 - self.uncompletedOrders[orderID] = {'SYMBOL': order_symbol, 'DIRECTION': DIRECTION_SHORT, - 'OFFSET': OFFSET_OPEN, 'Volume': order_volume, - 'Price': shortPrice, 'TradedVolume': EMPTY_INT, - 'OrderTime': self.curDateTime, - 'Grid': grid} - # 属于开多委托单 - else: - if order_symbol == self.Leg1Symbol: - buyPrice = max(self.lastLeg1Tick.askPrice1, self.lastLeg1Tick.lastPrice) + self.minDiff - else: - buyPrice = max(self.lastLeg2Tick.askPrice1, self.lastLeg2Tick.lastPrice) + self.minDiff - - # 发送委托 - orderID = self.ctaEngine.sendOrder(order_symbol, CTAORDER_BUY, buyPrice, order_volume, self) - if orderID is None or len(orderID) == 0: - self.writeCtaLog(u'重新提交{0} {1}手开多单{2}失败'.format(order_symbol, order_volume, buyPrice)) - continue - - # 添加到待删除的清单 - canceled_keys.append(order_key) - # 更新网格的委托单 - grid = order['Grid'] - grid.orderRef = grid.orderRef.replace(order_key, orderID) - if buyPrice > order_price: - # 修正止盈点位 - if grid.direction == DIRECTION_SHORT: - grid.closePrice -= (buyPrice - order_price) - else: - grid.closePrice += (buyPrice - order_price) - - # 重新添加开空委托单 - self.uncompletedOrders[orderID] = {'SYMBOL': order_symbol, 'DIRECTION': DIRECTION_LONG, - 'OFFSET': OFFSET_OPEN, 'Volume': order_volume, - 'Price': buyPrice, 'TradedVolume': EMPTY_INT, - 'OrderTime': self.curDateTime, - 'Grid': grid} - - # 删除撤单的订单 - for key in canceled_keys: - if key in self.uncompletedOrders: - self.writeCtaLog(u'删除orderID:{0}'.format(key)) - del self.uncompletedOrders[key] - - - # ---------------------------------------------------------------------- - def saveData(self, id): - """保存过程数据""" - # 保存K线 - if not self.backtesting: - return - - - -