Merge pull request #82 from xingetouzi/spotOrderTemplate-trading

Spot order template trading

vnpy/trader/app/ctaStrategy/ctaBacktesting.py

@@ -260,12 +260,13 @@ def loadHistoryData(self, symbolList, startDate, endDate=None, dataMode=None):
             self.output(f"{symbol}： 从本地缓存文件实取{acq}, 最大应取{need}, 还需从数据库取{need-acq}")
 
         # 如果没有完全从本地文件加载完数据, 则尝试从指定的mongodb下载数据, 并缓存到本地
-        if self.dbURI:
+        dbName = None
+        if dataMode == self.BAR_MODE:
+            dbName = self.bardbName
+        else:
+            dbName = self.tickdbName
+        if self.dbURI and dbName is not None: # 有设置从指定数据库和表取数据
             import pymongo
-            if dataMode == self.BAR_MODE:
-                dbName = self.bardbName
-            else:
-                dbName = self.tickdbName
             self.dbClient = pymongo.MongoClient(self.dbURI)[dbName]
             for symbol, need_datetimes in symbols_no_data.items():
                 if len(need_datetimes) > 0:  # 需要从数据库取数据
@@ -300,7 +301,7 @@ def loadHistoryData(self, symbolList, startDate, endDate=None, dataMode=None):
                         self.output("数据库没有 %s 这个品种" % symbol)
                         self.output("这些品种在我们的数据库里: %s" % self.dbClient.collection_names())
         else:
-            self.output('没有设置回测数据库URI, 无法回补缓存数据。请在回测设置 engine.setDB_URI("mongodb://localhost:27017")')
+            self.output('没有设置回测数据库相关信息, 无法回补缓存数据。请在回测入口设置 engine.setDB_URI 和 engine.setDatabase')
 
         if len(dataList) > 0:
             dataList.sort(key=lambda x: x.datetime)

vnpy/trader/gateway/okexGateway/spot.py

@@ -27,6 +27,8 @@
 # 方向和开平映射
 typeMap = {}
 typeMap[(DIRECTION_LONG, OFFSET_OPEN)] = 'buy'
+typeMap[(DIRECTION_LONG, OFFSET_CLOSE)] = 'buy'
+typeMap[(DIRECTION_SHORT, OFFSET_OPEN)] = 'sell'
 typeMap[(DIRECTION_SHORT, OFFSET_CLOSE)] = 'sell'
 typeMapReverse = {v:k for k,v in typeMap.items()}
 
@@ -740,9 +742,7 @@ def onSpotTick(self, d):
             tick.volume = float(data['quote_volume_24h'])
             tick.askPrice1 = float(data['best_ask'])
             tick.bidPrice1 = float(data['best_bid'])
-            tick.datetime = datetime.strptime(data['timestamp'], ISO_DATETIME_FORMAT)
-            tick.date = tick.datetime.strftime('%Y%m%d')
-            tick.time = tick.datetime.strftime('%H:%M:%S.%f')
+            tick.datetime, tick.date, tick.time = self.gateway.convertDatetime(data['timestamp'])
             tick.localTime = datetime.now()
             tick.volumeChange = 0
             tick.lastVolume = 0
@@ -772,9 +772,7 @@ def onSpotDepth(self, d):
                 tick.__setattr__(f'bidPrice{(idx + 1)}', float(price))
                 tick.__setattr__(f'bidVolume{(idx + 1)}', float(volume))
 
-            tick.datetime = datetime.strptime(data['timestamp'], ISO_DATETIME_FORMAT)
-            tick.date = tick.datetime.strftime('%Y%m%d')
-            tick.time = tick.datetime.strftime('%H:%M:%S.%f')
+            tick.datetime, tick.date, tick.time = self.gateway.convertDatetime(data['timestamp'])
             tick.localTime = datetime.now()
             tick.volumeChange = 0
             tick.lastVolume = 0
@@ -792,6 +790,7 @@ def onSpotTrades(self,d):
             tick.lastTradedTime = data['timestamp']
             tick.type = data['side']
             tick.volumeChange = 1
+            tick.datetime, tick.date, tick.time = self.gateway.convertDatetime(data['timestamp'])
             tick.localTime = datetime.now()
             if tick.askPrice1:
                 tick=copy(tick)

vnpy/trader/utils/templates/Readme.MD

@@ -410,13 +410,17 @@ OrderPack.info 用于记录自定义信息，但是有一些字段已被占用
 |price|float|限制价格。|
 |volume|float|下单数。|
 |expire|float|存在时间，秒数|
-|vtOrderIDs|set|与该信息绑定的订单号|
+|vtOrderIDs|set|与该信息绑定的未结束的订单号|
+|closedOrderIDs|set|结束/有成交的订单号|
+|inValidOrderIDs|set|结束/无成交的订单号|
+
 
 ### 构造方法
 
 **`
 TimeLimitOrderInfo.__init__(vtSymbol, orderType, volume, price, expire)
 `**
+
 |name|type|description|
 |:-|:-|:-|
 |orderType|str|发单类型，支持ctaBase.CTAORDER_BUY, ctaBase.CTAORDER_COVER, ctaBase.CTAORDER_SELL, ctaBase.CTAORDER_SHORT。|
@@ -434,11 +438,16 @@ TimeLimitOrderInfo.__init__(vtSymbol, orderType, volume, price, expire)
 
 基础属性继承自TimeLimitOrderInfo
 
-额外属性：
-
 |name|type|description|
 |:-|:-|:-|
 |TYPE|str: "_ComposoryOrderInfo"|强制单单标记字段|
+|orderType|str|发单类型，支持ctaBase.CTAORDER_BUY, ctaBase.CTAORDER_COVER, ctaBase.CTAORDER_SELL, ctaBase.CTAORDER_SHORT。|
+|vtSymbol|str|品种名。|
+|volume|float|下单数。|
+|expire|float|存在时间，秒数|
+|vtOrderIDs|set|与该信息绑定的未结束的订单号|
+|closedOrderIDs|set|结束/有成交的订单号|
+|inValidOrderIDs|set|结束/无成交的订单号|
 
 
 ## `class` AutoExitInfo

vnpy/trader/utils/templates/orderTemplate.py

@@ -388,6 +388,8 @@ def onOrder(self, order):
         else:
             if op.info.get(self._FINISH_TAG, False):
                 return
+            if order.status in STATUS_FINISHED:
+                op.info[self._FINISH_TAG] = True
             op.order = order
 
         for name in op.tracks:
@@ -400,10 +402,6 @@ def onOrder(self, order):
 
         self.onOrderPack(op)
 
-        if op.order.status in STATUS_FINISHED:
-            op.info[self._FINISH_TAG] = True
-
-
     def onOrderPack(self, op):
         pass
 
@@ -418,9 +416,10 @@ def _round(self, value):
 
     def makeOrder(self, orderType, vtSymbol, price, volume, priceType=constant.PRICETYPE_LIMITPRICE, stop=False, **info):
         volume = self._round(volume)
-        assert volume > 0
+        assert volume > 0, volume
+
         price = self.adjustPrice(vtSymbol, price, "send order")
-        assert price > 0
+        assert price > 0, price
         vtOrderIDList = self.sendOrder(orderType, vtSymbol, price, volume, priceType, stop)
         logging.debug("%s | makeOrder: %s, %s, %s, %s | into: %s", self.currentTime, orderType, vtSymbol, price, volume, info)
 
@@ -707,9 +706,11 @@ def checkTimeLimitOrders(self):
             if not tlo.vtOrderIDs:
                 pool.pop(id(tlo))
 
-    def checkComposoryOrders(self):
+    def checkComposoryOrders(self, vtSymbol):
         pool = self._infoPool[ComposoryOrderInfo.TYPE]
         for cpo in list(pool.values()):
+            if cpo.vtSymbol != vtSymbol:
+                continue
             for op in self.iterValidOrderPacks(*cpo.vtOrderIDs):
                 self.onComposoryOrder(op, True)
             if not cpo.vtOrderIDs:
@@ -1041,15 +1042,15 @@ def currentTime(self):
     def getExecPrice(self, vtSymbol, orderType):
         if orderType in self._ORDERTYPE_LONG:
             if vtSymbol in self._tickInstance:
-                return self._tickInstance[vtSymbol].upperLimit*0.99
+                return self._tickInstance[vtSymbol].lastPrice * 1.02
             elif vtSymbol in self._barInstance:
                 return self._barInstance[vtSymbol].high
             else:
                 return None
 
         elif orderType in self._ORDERTYPE_SHORT:
             if vtSymbol in self._tickInstance:
-                return self._tickInstance[vtSymbol].lowerLimit*1.01
+                return self._tickInstance[vtSymbol].lastPrice * 0.98
             elif vtSymbol in self._barInstance:
                 return self._barInstance[vtSymbol].low
             else:
@@ -1154,7 +1155,7 @@ def onJoinOrderChild(self, op):
         self.onOrder(parent.order)
 
     def checkOnPeriodStart(self, bar):
-        self.checkComposoryOrders()
+        self.checkComposoryOrders(bar.vtSymbol)
         self.checkTimeLimitOrders()
         self.checkAutoExit(bar.vtSymbol)
         self.checkConditionalClose()

vnpy/trader/utils/templates/spotOrderTemplate.py

@@ -1,4 +1,4 @@
-from vnpy.trader.utils.templates.orderTemplate import OrderTemplate, DIRECTION_MAP, ctaBase, constant
+from vnpy.trader.utils.templates.orderTemplate import OrderTemplate, DIRECTION_MAP, ctaBase, constant, STATUS_FINISHED, showOrder
 import numpy as np
 
 
@@ -15,6 +15,8 @@ class SpotOrderTemplate(OrderTemplate):
 
     _MAXIMUM_VOLUME_ADJUST = 1
 
+    _ORIGIN_TRADED_VOLUME = "_ORIGIN_TRADED_VOLUME"
+
     def maximumOrderVolume(self, vtSymbol, orderType, price=None):
         if self.getEngineType() != ctaBase.ENGINETYPE_TRADING:
             return np.inf
@@ -47,4 +49,12 @@ def adjustVolume(self, vtSymbol, volume):
         if contract.minVolume:
             return int(volume/contract.minVolume) * contract.minVolume
         else:
-            return volume
+            return volume
+
+    def composoryClose(self, op, expire=None, volume=None):
+        if volume:
+            if op.order.status not in STATUS_FINISHED:
+                raise ValueError("Order not finished: %s" % showOrder(op.order, "vtOrderID", "status", "tradedVolume"))
+            op.order.tradedVolume = volume
+            op.info[self._ORIGIN_TRADED_VOLUME] = op.order.tradedVolume
+        return super().composoryClose(op, expire)