使用嚮導介面 豐富細節的移倉助手
vntrader 自帶的移倉助手相當不錯，不過細節少了些。
我結合實際使用，使用嚮導介面，在豐富了一些細節，在原理程式碼上做了一個新版移倉助手。
第一頁介面
輸入移倉合約後，跳出需要移倉的策略。
這裡可以透過打勾選擇需要移倉的策略，如果策略不用移倉可以取消。這裡增加了一些錯誤判斷，比如目標合約不能是帶移倉合約。
第二頁介面
下一步後進入第二頁介面，上面是統計策略持倉和賬戶實際持倉；如果不一致，則會報錯；當然如果上一頁某些策略取消，則可能不一致，可以改成warning message。
另外這裡程式碼是按照淨倉模式來處理，如果是按照預設模式，需要改程式碼。
下半部頁面是移倉發單操作；因為有可能移倉手數太多，這個相當一個小型演算法交易，定義了每筆手數，如果是10，對於25就是拆分成三筆。
下面是超價，如果想使用市價單，把超價改為-1即可。
最後是每筆成交後，等待時間，如果3秒，則等上筆交易完成3秒後再發下一筆。
第三頁介面
上版部分是移倉指令的資訊彙總，中間是啟動移倉，下面是log報告
這裡面改動的地方是，新倉位的開倉價原來開倉價是加上新合約開倉價和舊合約平倉價的差值。比如舊合約開倉價格50，現在平倉價格70，新合約開倉價格80，那麼新合約的持倉價格是50+（80-70） = 60，包含了舊持倉20的盈利點位。
完成同時會在策略級別生成一個虛擬平倉單和虛擬開倉單，方便歷史統計計算。
程式碼如下，因為改動東西比較多，僅作參考。
from datetime import datetime
from threading import Timer
from time import sleep
from typing import TYPE_CHECKING
# from vnpy.trader.ui import QtWidgets
from PyQt5 import QtCore, QtGui, QtWidgets
from PyQt5.QtCore import Qt
from PyQt5.QtGui import QFont
from PyQt5.QtWidgets import (QMessageBox, QFrame,
QWizard, QWizardPage, QVBoxLayout, QGridLayout,
QLabel)
from vnpy.trader.constant import OrderType
from vnpy.trader.converter import OffsetConverter, PositionHolding
from vnpy.trader.database import database_manager
from vnpy.trader.engine import MainEngine
from vnpy.trader.event import (
EVENT_TRADE
)
from vnpy.trader.object import ContractData, OrderRequest, SubscribeRequest, TickData
from vnpy.trader.object import Direction, Offset
from vnpy.trader.utility import round_to
from ..base import StopOrder, StopOrderStatus
from ..engine import CtaEngine, APP_NAME
from ..template import CtaTemplate
if TYPE_CHECKING:
from .widget import CtaManager
class WizardPage1(QWizardPage):
def __init__(self, parent=None):
super(WizardPage1, self).__init__(parent)
self.parent = parent
self.cta_manager: "CtaManager" = parent.cta_manager
self.cta_engine: CtaEngine = parent.cta_manager.cta_engine
self.main_engine: MainEngine = parent.cta_manager.main_engine
self.init_ui()
def init_ui(self):
""""""
self.setTitle("選擇移倉合約和策略")
old_symbols = []
for vt_symbol, strategies in self.cta_engine.symbol_strategy_map.items():
if strategies:
old_symbols.append(vt_symbol)
self.old_symbol_combo = QtWidgets.QComboBox()
self.old_symbol_combo.addItems(old_symbols)
self.new_symbol_line = QtWidgets.QLineEdit()
self.message_line = QtWidgets.QLabel()
self.strategy_table = StrategyMonitor()
self.strategy_table.setMinimumWidth(500)
button = QtWidgets.QPushButton("待移倉策略")
button.clicked.connect(self.display_traget_strategies)
button.setFixedHeight(button.sizeHint().height() * 2)
form = QtWidgets.QFormLayout()
form.addRow("移倉合約", self.old_symbol_combo)
form.addRow("目標合約", self.new_symbol_line)
form.addRow(self.message_line)
form.addRow(button)
hbox = QtWidgets.QHBoxLayout()
hbox.addLayout(form)
hbox.addWidget(self.strategy_table)
self.setLayout(hbox)
def validatePage(self):
self.strategy_table.actived_strategyies()
if self.strategy_table.rollover_strategies_name:
# (lambda x: x * x, [y for y in range(10)])
self.parent.rollover_strategies = [self.cta_engine.strategies[x] for x in
self.strategy_table.rollover_strategies_name]
self.parent.old_symbol = self.old_symbol_combo.currentText()
if not self.new_symbol_line.text():
QMessageBox.warning(self, '資訊', '移倉目標合約為空')
return False
elif self.parent.old_symbol == self.new_symbol_line.text():
QMessageBox.warning(self, '資訊', '移倉目標重複')
return False
new_symbol = self.new_symbol_line.text()
# 確認是否有這個合約
self.parent.subscribe(new_symbol)
sleep(1)
new_tick = self.main_engine.get_tick(new_symbol)
if not new_tick:
# self.setTitle(f"無法獲取目標合約{new_symbol}的盤口資料，請先訂閱行情")
QMessageBox.warning(self, '資訊', f"無法獲取目標合約{new_symbol}的盤口資料，請先訂閱行情")
return False
contract = self.main_engine.get_contract(new_symbol)
self.parent.priceTick = contract.pricetick
self.parent.new_symbol = new_symbol
return True
else:
# self.setTitle("沒有策略被選中")
QMessageBox.warning(self, '資訊', f"沒有策略被選中")
return False
def display_traget_strategies(self):
selected_vt_symbol = self.old_symbol_combo.currentText()
strategies = self.cta_engine.symbol_strategy_map[selected_vt_symbol]
self.strategy_table.setRowCount(0)
self.strategy_table.update_data(strategies)
class StrategyMonitor(QtWidgets.QTableWidget):
"""
Table monitor for parameters and variables.
"""
def __init__(self):
""""""
super(StrategyMonitor, self).__init__()
self.rollover_strategies_name = []
self.init_ui()
def init_ui(self):
""""""
labels = list(["選擇", "策略名稱", "持倉數"])
self.setColumnCount(len(labels))
self.setHorizontalHeaderLabels(labels)
# self.setMaximumWidth(100)
self.verticalHeader().setVisible(False)
# self.verticalHeader().setSectionResizeMode(QtWidgets.QHeaderView.ResizeToContents)
self.verticalHeader().setSectionResizeMode(QtWidgets.QHeaderView.ResizeToContents)
self.horizontalHeader().setSectionResizeMode(QtWidgets.QHeaderView.ResizeToContents)
self.horizontalHeader().setSectionResizeMode(2, QtWidgets.QHeaderView.Stretch)
def update_data(self, strategies):
if strategies:
for iterable, strategy in enumerate(strategies):
self.insertRow(iterable)
item_checked = QtWidgets.QTableWidgetItem()
item_checked.setCheckState(Qt.Checked)
item_checked.checkState()
self.setItem(iterable, 0, item_checked)
self.setItem(iterable, 1, QtWidgets.QTableWidgetItem(strategy.strategy_name))
self.setItem(iterable, 2, QtWidgets.QTableWidgetItem(str(strategy.pos)))
def actived_strategyies(self):
""""""
rowCount = self.rowCount()
if rowCount > 0:
self.rollover_strategies_name = []
for rowId in range(rowCount):
if self.item(rowId, 0).checkState():
# strategy = self.parent.cta_engine.strategies[self.item(rowId,1)]
self.rollover_strategies_name.append(self.item(rowId, 1).text())
return self.rollover_strategies_name
class WizardPage2(QWizardPage):
def __init__(self, parent=None):
super(WizardPage2, self).__init__(parent)
self.parent = parent
self.strategy_positive_pos = 0
self.strategy_negative_pos = 0
self.strategy_net_pos = 0
self.account_positive_pos = 0
self.account_negative_pos = 0
self.account_net_pos = 0
self._conclusion_list = {
0: "持倉待更新",
1: "策略淨持倉和賬戶合約淨持倉相等, 賬戶單向持倉，淨倉模式",
2: "策略淨持倉和賬戶合約淨持倉相等, 賬戶雙向持倉",
3: "策略淨持倉和賬戶合約淨持倉存在差異"
}
self.conclusion = 0
self.init_ui()
def init_ui(self):
""""""
self.setTitle('移倉數量和賬戶持倉資料')
AllvLayout = QVBoxLayout()
# 中間視窗部分顯示的內容
vLayout = QGridLayout()
self.strategy_info = QLabel()
self.strategy_positive_info = QLabel()
self.strategy_negative_info = QLabel()
self.strategy_net_info = QLabel()
vLayout.addWidget(self.strategy_info, 0, 0)
vLayout.addWidget(self.strategy_positive_info, 1, 0)
vLayout.addWidget(self.strategy_negative_info, 2, 0)
vLayout.addWidget(self.strategy_net_info, 3, 0)
frame = QFrame() #
frame.setFrameStyle(QFrame.Box)
self.accnout_info = QLabel()
self.accnout_positive_info = QLabel()
self.accnout_negative_info = QLabel()
self.accnout_net_info = QLabel()
vLayout.addWidget(self.accnout_info, 0, 1)
vLayout.addWidget(self.accnout_positive_info, 1, 1)
vLayout.addWidget(self.accnout_negative_info, 2, 1)
vLayout.addWidget(self.accnout_net_info, 3, 1)
frame.setLayout(vLayout)
self.conclusion_info = QLabel()
self.conclusion_info.setFont(QFont(self.conclusion_info.font().family(), 14))
self.conclusion_info.setAlignment(Qt.AlignCenter)
frame2 = QFrame()
form = QtWidgets.QFormLayout()
self.max_order_count_spin = QtWidgets.QSpinBox()
self.max_order_count_spin.setRange(1,5000)
self.max_order_count_spin.setValue(100)
self.wait_time_spin = QtWidgets.QSpinBox()
self.wait_time_spin.setRange(0, 10000)
self.payup_spin = QtWidgets.QSpinBox()
self.payup_spin.setRange(-1,50000)
self.payup_spin.setValue(2)
self.wait_time_spin.setValue(3)
form.addRow("交易單筆限額 ", self.max_order_count_spin)
form.addRow("移倉發單超價", self.payup_spin)
form.addRow(QLabel("超價設為 -1 時，按市價單發單"))
form.addRow("單筆成交後等待(秒)", self.wait_time_spin)
frame2.setLayout(form)
AllvLayout.addWidget(frame)
AllvLayout.addWidget(self.conclusion_info)
AllvLayout.addWidget(frame2)
self.setLayout(AllvLayout)
self.setButtonText(QWizard.NextButton, '確定移倉')
def initializePage(self):
self.strategy_positive_pos = 0
self.strategy_negative_pos = 0
for strategy in self.parent.rollover_strategies:
if strategy.pos > 0:
self.strategy_positive_pos += strategy.pos
elif strategy.pos < 0:
self.strategy_negative_pos += strategy.pos
self.strategy_net_pos = self.strategy_positive_pos + self.strategy_negative_pos
self.strategy_info.setText(f"選取 {self.parent.old_symbol} 策略共: {len(self.parent.rollover_strategies)} 個")
self.strategy_positive_info.setText(f"策略多倉共： {self.strategy_positive_pos}")
self.strategy_negative_info.setText(f"策略空倉共： {abs(self.strategy_negative_pos)}")
self.strategy_net_info.setText(f"策略淨持倉共： {self.strategy_net_pos}")
current_holding = self.parent.current_position()
self.account_positive_pos = current_holding.long_pos
self.account_negative_pos = -current_holding.short_pos
self.account_net_pos = self.account_positive_pos + self.account_negative_pos
self.accnout_info.setText(f"賬戶當前合約: {self.parent.old_symbol}")
self.accnout_positive_info.setText(f"賬戶多倉共： {self.account_positive_pos}")
self.accnout_negative_info.setText(f"賬戶空倉共： {abs(self.account_negative_pos)}")
self.accnout_net_info.setText(f"賬戶淨持倉共： {self.account_net_pos}")
if self.account_net_pos == self.strategy_net_pos and (
self.account_negative_pos == 0 or self.account_positive_pos == 0):
self.conclusion = 1
self.parent.move_position = self.strategy_net_pos
elif self.account_net_pos == self.strategy_net_pos and self.account_negative_pos != 0 and self.account_positive_pos != 0:
self.conclusion = 2
elif self.account_net_pos != self.strategy_net_pos:
self.conclusion = 3
self.conclusion_info.setText(self._conclusion_list[self.conclusion])
def validatePage(self):
if self.conclusion == 1:
self.parent.ROLL_OVER_MAX = self.max_order_count_spin.value()
self.parent.trade_wait_time = self.wait_time_spin.value()
self.parent.payup = self.payup_spin.value()
return True
else:
QMessageBox.warning(self, '資訊', self._conclusion_list[self.conclusion])
return False
class WizardPage3(QWizardPage):
def __init__(self, parent=None):
super(WizardPage3, self).__init__(parent)
self.parent = parent
self.init_ui()
def init_ui(self):
self.setTitle("移倉交易")
self.setMinimumHeight(600)
vboxLayout = QtWidgets.QVBoxLayout()
self.old_symbol_info = QLabel()
self.new_symbol_info = QLabel()
self.move_pistion = QLabel()
self.move_strategy = QLabel()
self.roll_over_info = QLabel()
form = QtWidgets.QFormLayout()
form.addRow("移倉合約 ", self.old_symbol_info)
form.addRow("目標合約 ", self.new_symbol_info)
form.addRow("委託移倉數量 ", self.move_pistion)
form.addRow("更新策略 ", self.move_strategy)
form.addRow("交易說明 ", self.roll_over_info)
button = QtWidgets.QPushButton("移倉啟動")
button.clicked.connect(self.parent.roll_all)
button.setFixedHeight(button.sizeHint().height() * 2)
self.log_edit = QtWidgets.QTextEdit()
self.log_edit.setReadOnly(True)
self.log_edit.setMinimumWidth(500)
self.log_edit.setMinimumHeight(200)
vboxLayout.addLayout(form)
vboxLayout.addWidget(button)
vboxLayout.addWidget(self.log_edit)
self.setLayout(vboxLayout)
def initializePage(self):
self.old_symbol_info.setText(self.parent.old_symbol)
self.new_symbol_info.setText(self.parent.new_symbol)
self.move_pistion.setText(str(self.parent.move_position))
textline = ""
for strategy in self.parent.rollover_strategies:
textline += f"策略： {strategy.strategy_name} 倉位： {strategy.pos}" + "\n"
self.move_strategy.setText(textline)
roundCount = abs(self.parent.move_position) // self.parent.ROLL_OVER_MAX
self.parent.request_split_list = [self.parent.ROLL_OVER_MAX for x in range(roundCount)]
lastAmount = abs(self.parent.move_position) - self.parent.ROLL_OVER_MAX * roundCount
if lastAmount != 0:
self.parent.request_split_list.append(abs(self.parent.move_position) - self.parent.ROLL_OVER_MAX * roundCount)
self.parent.send_count = len(self.parent.request_split_list)
sendMessage = "按照市價" if self.parent.payup < 0 else "市場價格加超價" + str(self.parent.payup)
if self.parent.send_count > 0:
self.roll_over_info.setText(f"移倉手數： {self.parent.move_position}； 發單限額： {self.parent.ROLL_OVER_MAX} \n" +
f"交易將會分: {self.parent.send_count} 次發出; 每次筆數為 {self.parent.request_split_list} \n"+
sendMessage + f"發單, 每個交易完成後等待{self.parent.trade_wait_time}秒\n")
elif self.parent.move_position !=0:
self.roll_over_info.setText(f"交易將會單次發出; 按當前"
+ sendMessage + f"發單")
elif self.parent.move_position ==0:
self.roll_over_info.setText(f"無需交易，僅作策略合約切換")
class RolloverTool(QWizard):
""""""
log_signal: QtCore.pyqtSignal = QtCore.pyqtSignal(str)
# trade_signal: QtCore.pyqtSignal = QtCore.pyqtSignal(Event)
def __init__(self, cta_manager: "CtaManager") -> None:
""""""
super().__init__()
self.cta_manager: "CtaManager" = cta_manager
self.event_engine = cta_manager.event_engine
self.cta_engine: CtaEngine = cta_manager.cta_engine
self.main_engine: MainEngine = cta_manager.main_engine
self.rollover_strategies = []
self.new_strategies = []
self.old_symbol = ""
self.new_symbol = ""
self.move_position = 0
self.ROLL_OVER_MAX = 100
self.send_count = 0
self.request_split_list = []
self.request_count = 0
self.payup = 0
self.trade_wait_time = 3
self.deal_volume = 0
self.priceTick = 0
self.old_completed_traders = 0
self.new_completed_traders = 0
self.new_vt_orderids = []
self.old_vt_orderids = []
self.new_vt_traders = []
self.old_vt_traders = []
self.total_new_vt_traders = []
self.total_old_vt_traders = []
self.page1 = WizardPage1(self)
self.page2 = WizardPage2(self)
self.page3 = WizardPage3(self)
self.register_event()
self.log_signal.connect(self.log_txt_append)
self.init_ui()
def register_event(self):
""""""
# self.trade_signal.connect(self.process_trade_event)
self.event_engine.register(EVENT_TRADE, self.process_trade_event)
def process_trade_event(self, event):
trade = event.data
if trade.vt_orderid in self.old_vt_orderids:
self.old_vt_traders.append((trade.volume,trade.price))
self.old_completed_traders +=trade.volume
elif trade.vt_orderid in self.new_vt_orderids:
self.new_vt_traders.append((trade.volume,trade.price))
self.new_completed_traders +=trade.volume
else:
return
if self.new_completed_traders == 0 or self.old_completed_traders == 0:
return
if self.send_count == 0 and self.old_completed_traders == self.deal_volume and self.new_completed_traders == self.deal_volume:
self.update_strategies(self.old_vt_traders,self.new_vt_traders)
elif self.send_count != 0 and self.old_completed_traders == self.deal_volume and self.new_completed_traders == self.deal_volume:
self.total_old_vt_traders.extend(self.old_vt_traders)
self.total_new_vt_traders.extend(self.new_vt_traders)
self.write_log(f"第({self.request_count+1})筆移倉交易完成，移倉數量：{self.deal_volume}")
if self.request_count == self.send_count:
self.update_strategies(self.total_old_vt_traders,self.total_new_vt_traders)
return
# sleep(self.trade_wait_time)
wait_Timer = Timer(self.trade_wait_time,self.next_trade_request)
self.write_log(f"等待{self.trade_wait_time}秒後啟動下一個筆交易")
wait_Timer.start()
def next_trade_request(self):
self.old_vt_traders = []
self.new_vt_traders = []
self.old_completed_traders = 0
self.new_completed_traders = 0
self.deal_volume = self.request_split_list[self.request_count]
self.roll_position(self.old_symbol, self.new_symbol, self.payup)
self.request_count += 1
def init_ui(self):
self.setPage(0, self.page1)
self.setPage(1, self.page2)
self.setPage(2, self.page3)
# 去掉幫助按鈕
self.setWindowFlags(self.windowFlags() & ~Qt.WindowContextHelpButtonHint)
# 視窗最小化
self.setWindowFlags(Qt.WindowMinimizeButtonHint|Qt.WindowCloseButtonHint)
# 設定導航樣式
self.setWizardStyle(QWizard.ModernStyle)
# 設定導航視窗標題
self.setWindowTitle("移倉助手")
# 去掉頁面的一些按鈕
self.setOption(QWizard.NoBackButtonOnStartPage) # 首頁沒有回退按鈕
# self.setOption(QWizard.NoBackButtonOnLastPage) # 最後一頁沒有回退按鈕
self.setOption(QWizard.NoCancelButton) # 沒有取消按鈕
# 設定按鈕的顯示名稱
self.setButtonText(QWizard.NextButton, '下一步')
self.setButtonText(QWizard.BackButton, '上一步')
self.setButtonText(QWizard.FinishButton, '完成')
def write_log(self, text: str) -> None:
""""""
now = datetime.now()
text = now.strftime("%H:%M:%S\t") + text
self.log_signal.emit(text)
self.main_engine.write_log(text)
def log_txt_append(self,text):
self.page3.log_edit.append(text)
self.page3.log_edit.moveCursor(QtGui.QTextCursor.End)
def subscribe(self, vt_symbol: str) -> None:
""""""
contract = self.main_engine.get_contract(vt_symbol)
if not contract:
return
req = SubscribeRequest(contract.symbol, contract.exchange)
self.main_engine.subscribe(req, contract.gateway_name)
def roll_all(self) -> None:
""""""
# Check all strategies inited (pos data loaded from disk json file)
for strategy in self.rollover_strategies:
if not strategy.inited:
self.write_log(f"策略{strategy.strategy_name}尚未初始化，無法執行移倉")
return
if strategy.trading:
self.write_log(f"策略{strategy.strategy_name}是交易狀態，將停止交易")
self.cta_engine.stop_strategy(strategy.strategy_name)
self.write_log(f"策略{strategy.strategy_name}已經停止交易")
# self.setOption(QWizard.NoBackButtonOnLastPage)
# self.setEnabled(False)
# Roll position first
if self.send_count == 0:
self.deal_volume = abs(self.move_position)
self.roll_position(self.old_symbol, self.new_symbol, self.payup)
else:
self.deal_volume = self.request_split_list[self.request_count]
self.roll_position(self.old_symbol, self.new_symbol, self.payup)
self.request_count +=1
# Disable self
def rollover_price_diff(self,old_tuplelist, new_tuplelist):
old_average_price = self.calculte_average(old_tuplelist)
self.write_log(f"舊合約平倉均價：{round_to(old_average_price,self.priceTick)}")
new_average_price = self.calculte_average(new_tuplelist)
self.write_log(f"目標合約開倉均價：{round_to(new_average_price,self.priceTick)}")
price_diff = new_average_price - old_average_price
self.write_log(f"新舊移倉差價：{price_diff}")
return price_diff
def calculte_average(self, tuplelist):
total_volume= 0
total_price = 0
for tupleOne in tuplelist:
total_volume += tupleOne[0]
total_price += tupleOne[0]*tupleOne[1]
return total_price/total_volume
def current_position(self) -> PositionHolding:
""""""
converter = self.cta_engine.offset_converter
holding: PositionHolding = converter.get_position_holding(self.old_symbol)
return holding
def roll_position(self, old_symbol: str, new_symbol: str, payup: int) -> None:
""""""
converter = self.cta_engine.offset_converter
holding: PositionHolding = converter.get_position_holding(old_symbol)
if self.deal_volume == 0:
self.write_log(f"無需交易，移倉數量：{self.deal_volume}")
self.update_strategies(self.old_vt_traders,self.new_vt_traders)
return
if holding.long_pos:
# if holding.long_pos != self.move_position:
# QMessageBox.warning(self, '資訊', f"賬戶持倉數量改變，請退回")
# return
self.old_vt_orderids = self.send_order(
old_symbol,
Direction.SHORT,
Offset.CLOSE,
payup,
self.deal_volume
)
self.new_vt_orderids = self.send_order(
new_symbol,
Direction.LONG,
Offset.OPEN,
payup,
self.deal_volume
)
# Roll short postiion
if holding.short_pos:
# if holding.short_pos != self.move_position:
# QMessageBox.warning(self, '資訊', f"賬戶持倉數量改變，請退回")
# return
self.old_vt_orderids = self.send_order(
old_symbol,
Direction.LONG,
Offset.CLOSE,
payup,
self.deal_volume
)
self.new_vt_orderids = self.send_order(
new_symbol,
Direction.SHORT,
Offset.OPEN,
payup,
self.deal_volume
)
self.write_log(f"第({self.request_count+1})筆移倉交易請求發出，移倉數量：{self.deal_volume}")
def update_strategies(self,old_vt_traders,new_vt_traders):
"""when deal complete, update_strategies"""
self.write_log(f"===========持倉更新完成，開始更新策略, 請完成後再關閉視窗============")
if old_vt_traders and new_vt_traders:
price_diff = self.rollover_price_diff(old_vt_traders,new_vt_traders)
else:
old_tick: TickData = self.main_engine.get_tick(self.old_symbol)
new_tick: TickData = self.main_engine.get_tick(self.new_symbol)
price_diff = new_tick.last_price - old_tick.last_price
# Then roll strategy
for strategy in self.rollover_strategies:
self.roll_strategy(strategy, self.new_symbol, price_diff)
check_Timer = Timer(5, self.check_update_strategies)
check_Timer.start()
def check_update_strategies(self):
if self.new_strategies:
for new_strategy in self.new_strategies:
if new_strategy.inited:
self.cta_engine.start_strategy(new_strategy.strategy_name)
self.write_log(f"更新策略 [{new_strategy.strategy_name}] 初始化完成，啟動完成")
self.new_strategies.remove(new_strategy)
check_Timer = Timer(5,self.check_update_strategies)
check_Timer.start()
else:
self.write_log(f"==========={self.old_symbol} -> {self.new_symbol} 移倉完成 請關閉視窗 ============")
self.setEnabled(True)
def roll_strategy(self, strategy: CtaTemplate, vt_symbol: str, price_diff) -> None:
""""""
if not strategy.inited:
self.cta_engine._init_strategy(strategy.strategy_name)
# Save data of old strategy
pos = strategy.pos
name = strategy.strategy_name
vt_local = strategy.vt_local
parameters = strategy.get_parameters()
if pos !=0:
new_price = round_to(strategy.PosPrice + price_diff, self.priceTick)
else:
new_price = 0
# Remove old strategy
result = self.cta_engine.remove_strategy(name)
if result:
self.cta_manager.remove_strategy(name)
self.write_log(f"移除老策略 [{name}] [{strategy.vt_symbol}],倉位:{strategy.pos}, 原價格:{strategy.PosPrice}")
# Add new strategy
if ("init_pos" in parameters) and ("init_entry_price" in parameters):
parameters["init_entry_price"] = new_price
# Add new strategy
self.cta_engine.add_strategy(
strategy.__class__.__name__,
name,
vt_symbol,
vt_local,
parameters
)
# Init new strategy
self.cta_engine.init_strategy(name)
# Update pos to new strategy
new_strategy: CtaTemplate = self.cta_engine.strategies[name]
new_strategy.pos = pos
new_strategy.PosPrice = new_price
self.cta_engine.sync_strategy_data(new_strategy)
self.cta_engine.put_strategy_event(new_strategy)
self.new_strategies.append(new_strategy)
self.write_log(f"更新策略 [{name}] [{vt_symbol}]完成,倉位:{new_strategy.pos}, 價格:{new_price}")
# Save close and open dummy deal to database
if strategy.pos == 0:
return
elif strategy.pos > 0:
close_old_direction = Direction.SHORT
open_new_direction = Direction.LONG
elif strategy.pos < 0:
close_old_direction = Direction.LONG
open_new_direction = Direction.SHORT
dummy_close_old_strategy_order = StopOrder(
vt_symbol= strategy.vt_symbol,
direction = close_old_direction,
offset = Offset.CLOSE,
price = strategy.PosPrice,
volume = pos,
stop_orderid = f"{name}_{strategy.vt_symbol}_{vt_symbol}_Rollover",
strategy_name = name,
datetime = datetime.now(),
lock = False,
net = False,
vt_orderids = [],
status = StopOrderStatus.TRIGGERED
)
dummy_close_old_strategy_order.completed_volume = pos
dummy_close_old_strategy_order.average_price = strategy.PosPrice
dummy_close_old_strategy_order.first_price = strategy.PosPrice
dummy_close_old_strategy_order.triggered_price = strategy.PosPrice
database_manager.save_triggered_stop_order_data(dummy_close_old_strategy_order)
dummy_open_new_strategy_order = StopOrder(
vt_symbol= vt_symbol,
direction = open_new_direction,
offset = Offset.OPEN,
price = new_price,
volume = pos,
stop_orderid = f"{name}_{strategy.vt_symbol}_{vt_symbol}_Rollover",
strategy_name = name,
datetime = datetime.now(),
lock = False,
net = False,
vt_orderids = [],
status = StopOrderStatus.TRIGGERED
)
dummy_open_new_strategy_order.completed_volume = pos
dummy_open_new_strategy_order.average_price = new_price
dummy_open_new_strategy_order.first_price = new_price
dummy_open_new_strategy_order.triggered_price = new_price
database_manager.save_triggered_stop_order_data(dummy_open_new_strategy_order)
self.write_log(f"虛擬平倉單已經錄入資料庫")
def send_order(
self,
vt_symbol: str,
direction: Direction,
offset: Offset,
payup: int,
volume: float,
):
"""
Send a new order to server.
"""
contract: ContractData = self.main_engine.get_contract(vt_symbol)
tick: TickData = self.main_engine.get_tick(vt_symbol)
offset_converter: OffsetConverter = self.cta_engine.offset_converter
if self.payup >= 0:
if direction == Direction.LONG:
price = tick.ask_price_1 + contract.pricetick * payup
else:
price = tick.bid_price_1 - contract.pricetick * payup
else:
if direction == Direction.LONG:
if tick.limit_up:
price = tick.limit_up
else:
price = tick.ask_price_5
else:
if tick.limit_down:
price = tick.limit_down
else:
price = tick.bid_price_5
original_req: OrderRequest = OrderRequest(
symbol=contract.symbol,
exchange=contract.exchange,
direction=direction,
offset=offset,
type=OrderType.LIMIT,
price=price,
volume=volume,
reference=f"{APP_NAME}_Rollover"
)
req_list = offset_converter.convert_order_request(original_req, False, False)
vt_orderids = []
for req in req_list:
vt_orderid = self.main_engine.send_order(req, contract.gateway_name)
if not vt_orderid:
continue
vt_orderids.append(vt_orderid)
offset_converter.update_order_request(req, vt_orderid)
msg = f"發出委託{vt_symbol}，{direction.value} {offset.value}，{volume}@{price}"
self.write_log(msg)
return vt_orderids
來自 “ ITPUB部落格 ” ，連結：http://blog.itpub.net/22259926/viewspace-2919374/，如需轉載，請註明出處，否則將追究法律責任。
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