[增强功能] 回测引擎增加跨品种套利bar模式; 价差行情模块移动=> gateway.py; kline增加缠论支持

vnpy/app/cta_strategy_pro/__init__.py

@@ -8,6 +8,7 @@
 from .template import (
     Direction,
     Offset,
+    Exchange,
     Status,
     Color,
     TickData,

vnpy/app/cta_strategy_pro/back_testing.py

@@ -1240,7 +1240,7 @@ def convert_spd_trade(self, trade):
             active_exchange = self.get_exchange(active_symbol)
             active_vt_symbol = active_symbol + '.' + active_exchange.value
             passive_exchange = self.get_exchange(passive_symbol)
-            # passive_vt_symbol = active_symbol + '.' + passive_exchange.value
+            passive_vt_symbol = passive_symbol + '.' + passive_exchange.value
             # 主动腿成交记录
             act_trade = TradeData(gateway_name=self.gateway_name,
                                   symbol=active_symbol,
@@ -1438,10 +1438,10 @@ def realtime_calculate(self):
                     # 如果当前没有空单，属于异常行为
                     if len(self.short_position_list) == 0:
                         self.write_error(u'异常!没有空单持仓，不能cover')
-                        raise Exception(u'异常!没有空单持仓，不能cover')
+                        # raise Exception(u'异常!没有空单持仓，不能cover')
                         return
 
-                    cur_short_pos_list = [s_pos.volume for s_pos in self.short_position_list]
+                    cur_short_pos_list = [s_pos.volume for s_pos in self.short_position_list if s_pos.vt_symbol == trade.vt_symbol]
 
                     self.write_log(u'{}当前空单:{}'.format(trade.vt_symbol, cur_short_pos_list))
 
@@ -1450,9 +1450,13 @@ def realtime_calculate(self):
                                   val.vt_symbol == trade.vt_symbol and val.strategy_name == trade.strategy_name]
 
                     if len(pop_indexs) < 1:
-                        self.write_error(u'异常，{}没有对应symbol:{}的空单持仓'.format(trade.strategy_name, trade.vt_symbol))
-                        raise Exception(u'realtimeCalculate2() Exception,没有对应symbol:{0}的空单持仓'.format(trade.vt_symbol))
-                        return
+                        if 'spd' in vt_tradeid:
+                            self.write_error(f'没有{trade.strategy_name}对应的symbol:{trade.vt_symbol}的空单持仓, 继续')
+                            break
+                        else:
+                            self.write_error(u'异常，{}没有对应symbol:{}的空单持仓, 终止'.format(trade.strategy_name, trade.vt_symbol))
+                            # raise Exception(u'realtimeCalculate2() Exception,没有对应symbol:{0}的空单持仓'.format(trade.vt_symbol))
+                            return
 
                     pop_index = pop_indexs[0]
                     # 从未平仓的空头交易
@@ -1494,7 +1498,7 @@ def realtime_calculate(self):
                         self.trade_pnl_list.append(t)
 
                         # 非自定义套利对，才更新到策略盈亏
-                        if not open_trade.vt_symbol.endswith('SPD'):
+                        if not (open_trade.vt_symbol.endswith('SPD') or open_trade.vt_symbol.endswith('SPD99')):
                             # 更新策略实例的累加盈亏
                             self.pnl_strategy_dict.update(
                                 {open_trade.strategy_name: self.pnl_strategy_dict.get(open_trade.strategy_name,
@@ -1506,7 +1510,9 @@ def realtime_calculate(self):
                                         open_trade.volume, result.pnl, result.commission)
 
                             self.write_log(msg)
-                        result_list.append(result)
+
+                            # 添加到交易结果汇总
+                            result_list.append(result)
 
                         if g_result is None:
                             if cover_volume > 0:
@@ -1569,6 +1575,9 @@ def realtime_calculate(self):
 
                             self.write_log(msg)
 
+                            # 添加到交易结果汇总
+                            result_list.append(result)
+
                         # 更新（减少）开仓单的volume,重新推进开仓单列表中
                         open_trade.volume = remain_volume
                         self.write_log(u'更新（减少）开仓单的volume,重新推进开仓单列表中:{}'.format(open_trade.volume))
@@ -1577,7 +1586,7 @@ def realtime_calculate(self):
                         self.write_log(u'当前空单:{}'.format(cur_short_pos_list))
 
                         cover_volume = 0
-                        result_list.append(result)
+
 
                         if g_result is not None:
                             # 更新组合的数据
@@ -1606,18 +1615,21 @@ def realtime_calculate(self):
                 while sell_volume > 0:
                     if len(self.long_position_list) == 0:
                         self.write_error(f'异常，没有{trade.vt_symbol}的多仓')
-                        raise RuntimeError(u'realtimeCalculate2() Exception,没有开多单')
+                        # raise RuntimeError(u'realtimeCalculate2() Exception,没有开多单')
                         return
 
                     pop_indexs = [i for i, val in enumerate(self.long_position_list) if
                                   val.vt_symbol == trade.vt_symbol and val.strategy_name == trade.strategy_name]
                     if len(pop_indexs) < 1:
-                        self.write_error(f'没有{trade.strategy_name}对应的symbol{trade.vt_symbol}多单数据,')
-                        raise RuntimeError(
-                            f'realtimeCalculate2() Exception,没有对应的symbol{trade.vt_symbol}多单数据,')
-                        return
+                        if 'spd' in vt_tradeid:
+                            self.write_error(f'没有{trade.strategy_name}对应的symbol:{trade.vt_symbol}多单数据, 继续')
+                            break
+                        else:
+                            self.write_error(f'没有{trade.strategy_name}对应的symbol:{trade.vt_symbol}多单数据, 终止')
+                            # raise RuntimeError(f'realtimeCalculate2() Exception,没有对应的symbol:{trade.vt_symbol}多单数据,')
+                            return
 
-                    cur_long_pos_list = [s_pos.volume for s_pos in self.long_position_list]
+                    cur_long_pos_list = [s_pos.volume for s_pos in self.long_position_list if s_pos.vt_symbol == trade.vt_symbol]
 
                     self.write_log(u'{}当前多单:{}'.format(trade.vt_symbol, cur_long_pos_list))
 
@@ -1669,7 +1681,9 @@ def realtime_calculate(self):
                                         open_trade.volume, result.pnl, result.commission)
 
                             self.write_log(msg)
-                        result_list.append(result)
+
+                            # 添加到交易结果汇总
+                            result_list.append(result)
 
                         if g_result is None:
                             if sell_volume > 0:
@@ -1728,13 +1742,14 @@ def realtime_calculate(self):
                                         result.commission)
 
                             self.write_log(msg)
+                            # 添加到交易结果汇总
+                            result_list.append(result)
 
                         # 减少开多volume,重新推进多单持仓列表中
                         open_trade.volume = remain_volume
                         self.long_position_list.append(open_trade)
 
                         sell_volume = 0
-                        result_list.append(result)
 
                         if g_result is not None:
                             # 更新组合的数据
@@ -1786,8 +1801,11 @@ def realtime_calculate(self):
                     continue
                 # 当前空单保证金
                 if self.use_margin:
-                    cur_occupy_money = max(self.get_price(t.vt_symbol), t.price) * abs(t.volume) * self.get_size(
-                        t.vt_symbol) * self.get_margin_rate(t.vt_symbol)
+                    try:
+                        cur_occupy_money = max(self.get_price(t.vt_symbol), t.price) * abs(t.volume) * self.get_size(
+                            t.vt_symbol) * self.get_margin_rate(t.vt_symbol)
+                    except Exception as ex:
+                        self.write_error(ex)
                 else:
                     cur_occupy_money = self.get_price(t.vt_symbol) * abs(t.volume) * self.get_size(
                         t.vt_symbol) * self.get_margin_rate(t.vt_symbol)

vnpy/app/cta_strategy_pro/engine.py

@@ -797,6 +797,10 @@ def subscribe_symbol(self, strategy_name: str, vt_symbol: str, gateway_name: str
 
         return True
 
+    @lru_cache()
+    def get_exchange(self, symbol):
+        return self.main_engine.get_exchange(symbol)
+
     @lru_cache()
     def get_name(self, vt_symbol: str):
         """查询合约的name"""
@@ -868,6 +872,9 @@ def get_price(self, vt_symbol: str):
     def get_contract(self, vt_symbol):
         return self.main_engine.get_contract(vt_symbol)
 
+    def get_custom_contract(self, vt_symbol):
+        return self.main_engine.get_custom_contract(vt_symbol.split('.')[0])
+
     def get_all_contracts(self):
         return self.main_engine.get_all_contracts()
 
@@ -986,38 +993,47 @@ def add_strategy(
         """
         Add a new strategy.
         """
-        if strategy_name in self.strategies:
-            msg = f"创建策略失败，存在重名{strategy_name}"
-            self.write_log(msg=msg,
-                           level=logging.CRITICAL)
-            return False, msg
-
-        strategy_class = self.classes.get(class_name, None)
-        if not strategy_class:
-            msg = f"创建策略失败，找不到策略类{class_name}"
-            self.write_log(msg=msg,
-                           level=logging.CRITICAL)
-            return False, msg
+        try:
+            if strategy_name in self.strategies:
+                msg = f"创建策略失败，存在重名{strategy_name}"
+                self.write_log(msg=msg,
+                               level=logging.CRITICAL)
+                return False, msg
+
+            strategy_class = self.classes.get(class_name, None)
+            if not strategy_class:
+                msg = f"创建策略失败，找不到策略类{class_name}"
+                self.write_log(msg=msg,
+                               level=logging.CRITICAL)
+                return False, msg
+
+            self.write_log(f'开始添加策略类{class_name}，实例名:{strategy_name}')
+            strategy = strategy_class(self, strategy_name, vt_symbol, setting)
+            self.strategies[strategy_name] = strategy
+
+            # Add vt_symbol to strategy map.
+            strategies = self.symbol_strategy_map[vt_symbol]
+            strategies.append(strategy)
 
-        self.write_log(f'开始添加策略类{class_name}，实例名:{strategy_name}')
-        strategy = strategy_class(self, strategy_name, vt_symbol, setting)
-        self.strategies[strategy_name] = strategy
+            subscribe_symbol_set = self.strategy_symbol_map[strategy_name]
+            subscribe_symbol_set.add(vt_symbol)
 
-        # Add vt_symbol to strategy map.
-        strategies = self.symbol_strategy_map[vt_symbol]
-        strategies.append(strategy)
+            # Update to setting file.
+            self.update_strategy_setting(strategy_name, setting, auto_init, auto_start)
 
-        subscribe_symbol_set = self.strategy_symbol_map[strategy_name]
-        subscribe_symbol_set.add(vt_symbol)
+            self.put_strategy_event(strategy)
 
-        # Update to setting file.
-        self.update_strategy_setting(strategy_name, setting, auto_init, auto_start)
+            # 判断设置中是否由自动初始化和自动启动项目
+            if auto_init:
+                self.init_strategy(strategy_name, auto_start=auto_start)
 
-        self.put_strategy_event(strategy)
+        except Exception as ex:
+            msg = f'添加策略实例{strategy_name}失败,{str(ex)}'
+            self.write_error(msg)
+            self.write_error(traceback.format_exc())
+            self.send_wechat(msg)
 
-        # 判断设置中是否由自动初始化和自动启动项目
-        if auto_init:
-            self.init_strategy(strategy_name, auto_start=auto_start)
+            return False, f'添加策略实例{strategy_name}失败'
 
         return True, f'成功添加{strategy_name}'
 
@@ -1789,7 +1805,7 @@ def compare_pos(self, strategy_pos_list=[], auto_balance=False):
             # 其他期货：帐号多单 vs 除了多单， 空单 vs 空单
             if vt_symbol.endswith(".CFFEX"):
                 diff_match = (symbol_pos.get('账号多单', 0) - symbol_pos.get('账号空单', 0)) == (
-                            symbol_pos.get('策略多单', 0) - symbol_pos.get('策略空单', 0))
+                        symbol_pos.get('策略多单', 0) - symbol_pos.get('策略空单', 0))
                 pos_match = symbol_pos.get('账号空单', 0) == symbol_pos.get('策略空单', 0) and \
                             symbol_pos.get('账号多单', 0) == symbol_pos.get('策略多单', 0)
                 match = diff_match
@@ -1803,11 +1819,12 @@ def compare_pos(self, strategy_pos_list=[], auto_balance=False):
                             symbol_pos.get('策略多单', 0),
                             symbol_pos.get('策略空单', 0)
                         ))
-                        diff_pos_dict.update({vt_symbol: {"long":symbol_pos.get('账号多单', 0) - symbol_pos.get('策略多单', 0),
-                                                          "short":symbol_pos.get('账号空单', 0) - symbol_pos.get('策略空单', 0)}})
+                        diff_pos_dict.update({vt_symbol: {"long": symbol_pos.get('账号多单', 0) - symbol_pos.get('策略多单', 0),
+                                                          "short": symbol_pos.get('账号空单', 0) - symbol_pos.get('策略空单',
+                                                                                                              0)}})
             else:
                 match = round(symbol_pos.get('账号空单', 0), 7) == round(symbol_pos.get('策略空单', 0), 7) and \
-                            round(symbol_pos.get('账号多单', 0), 7) == round(symbol_pos.get('策略多单', 0), 7)
+                        round(symbol_pos.get('账号多单', 0), 7) == round(symbol_pos.get('策略多单', 0), 7)
             # 多空都一致
             if match:
                 msg = u'{}多空都一致.{}\n'.format(vt_symbol, json.dumps(symbol_pos, indent=2, ensure_ascii=False))
@@ -1862,7 +1879,7 @@ def compare_pos(self, strategy_pos_list=[], auto_balance=False):
         else:
             self.write_log(u'账户持仓与策略一致')
             if len(diff_pos_dict) > 0:
-                for k,v in diff_pos_dict.items():
+                for k, v in diff_pos_dict.items():
                     self.write_log(f'{k} 存在大于策略的轧差持仓:{v}')
             return True, compare_info
 

vnpy/app/cta_strategy_pro/portfolio_testing.py

@@ -277,7 +277,7 @@ def run_bar_test(self):
                 bar.high_price = float(bar_data['high'])
                 bar.low_price = float(bar_data['low'])
                 bar.volume = int(bar_data['volume'])
-                bar.open_interest = int(bar_data.get('open_interest', 0))
+                bar.open_interest = float(bar_data.get('open_interest', 0))
                 bar.date = bar_datetime.strftime('%Y-%m-%d')
                 bar.time = bar_datetime.strftime('%H:%M:%S')
                 str_td = str(bar_data.get('trading_day', ''))