Merge pull request #15 from vnpy/dev

1.0.3 Release

CHANGELOG.md

@@ -1,3 +1,12 @@
+# 1.0.3版本
+
+1. 调整模块设计（模板、引擎），只支持单合约算法执行交易
+2. 调整算法模板，增加默认参数和变量字段，以及对应函数传参
+3. 优化算法状态控制，增加状态枚举值，算法支持暂停和恢复运行
+4. 移除DMA算法
+5. 移除算法配置缓存和加载功能
+6. 调整图形界面，优化算法状态信息显示
+
 # 1.0.2版本
 
 1. 将模块的图标文件信息，改为完整路径字符串

README.md

@@ -5,7 +5,7 @@
 </p>
 
 <p align="center">
-    <img src ="https://img.shields.io/badge/version-1.0.2-blueviolet.svg"/>
+    <img src ="https://img.shields.io/badge/version-1.0.3-blueviolet.svg"/>
     <img src ="https://img.shields.io/badge/platform-windows|linux|macos-yellow.svg"/>
     <img src ="https://img.shields.io/badge/python-3.7|3.8|3.9|3.10-blue.svg" />
     <img src ="https://img.shields.io/github/license/vnpy/vnpy.svg?color=orange"/>

setup.cfg

@@ -1,6 +1,6 @@
 [metadata]
 name = vnpy_algotrading
-version = 1.0.2
+version = 1.0.3
 url = https://www.vnpy.com
 license = MIT
 author = Xiaoyou Chen

vnpy_algotrading/__init__.py

@@ -27,7 +27,6 @@
 from vnpy.trader.app import BaseApp
 
 from .engine import AlgoEngine, APP_NAME
-from .template import AlgoTemplate
 
 
 try:

vnpy_algotrading/algos/best_limit_algo.py

@@ -1,163 +1,121 @@
 from random import uniform
 
-from vnpy.trader.constant import Offset, Direction
+from vnpy.trader.constant import Direction
 from vnpy.trader.object import TradeData, OrderData, TickData
 from vnpy.trader.engine import BaseEngine
-from vnpy.trader.utility import round_to
 
 from ..template import AlgoTemplate
 
 
 class BestLimitAlgo(AlgoTemplate):
-    """"""
-
-    display_name = "BestLimit 最优限价"
-
-    default_setting = {
-        "vt_symbol": "",
-        "direction": [Direction.LONG.value, Direction.SHORT.value],
-        "volume": 0.0,
-        "min_volume": 0.0,
-        "max_volume": 0.0,
-        "volume_change": [
-            "1",
-            "0.1",
-            "0.01",
-            "0.001",
-            "0.0001",
-            "0.00001"
-        ],
-        "offset": [
-            Offset.NONE.value,
-            Offset.OPEN.value,
-            Offset.CLOSE.value,
-            Offset.CLOSETODAY.value,
-            Offset.CLOSEYESTERDAY.value
-        ]
+    """最优限价算法类"""
+
+    display_name: str = "BestLimit 最优限价"
+
+    default_setting: dict = {
+        "min_volume": 0,
+        "max_volume": 0,
     }
 
-    variables = [
-        "traded",
+    variables: list = [
         "vt_orderid",
-        "order_price",
-        "last_tick",
+        "order_price"
     ]
 
     def __init__(
         self,
         algo_engine: BaseEngine,
         algo_name: str,
+        vt_symbol: str,
+        direction: str,
+        offset: str,
+        price: float,
+        volume: float,
         setting: dict
-    ):
-        """"""
-        super().__init__(algo_engine, algo_name, setting)
+    ) -> None:
+        """构造函数"""
+        super().__init__(algo_engine, algo_name, vt_symbol, direction, offset, price, volume, setting)
 
         # 参数
-        self.vt_symbol = setting["vt_symbol"]
-        self.direction = Direction(setting["direction"])
-        self.volume = setting["volume"]
-        self.offset = Offset(setting["offset"])
-
-        self.min_volume = setting["min_volume"]
-        self.max_volume = setting["max_volume"]
-
-        if "." in setting["volume_change"]:
-            self.volume_change = float(setting["volume_change"])
-        else:
-            self.volume_change = int(setting["volume_change"])
+        self.min_volume: float = setting["min_volume"]
+        self.max_volume: float = setting["max_volume"]
 
         # 变量
-        self.vt_orderid = ""
-        self.traded = 0
-        self.last_tick = None
-        self.order_price = 0
+        self.vt_orderid: str = ""
+        self.order_price: float = 0
 
-        self.put_parameters_event()
-        self.put_variables_event()
+        self.put_event()
 
         # 检查最大/最小挂单量
         if self.min_volume <= 0:
             self.write_log("最小挂单量必须大于0，算法启动失败")
-            self.stop()
+            self.finish()
             return
 
         if self.max_volume < self.min_volume:
             self.write_log("最大挂单量必须不小于最小委托量，算法启动失败")
-            self.stop()
+            self.finish()
             return
 
-        self.subscribe(self.vt_symbol)
-
-    def on_tick(self, tick: TickData):
-        """"""
-        self.last_tick = tick
-
+    def on_tick(self, tick: TickData) -> None:
+        """Tick行情回调"""
         if self.direction == Direction.LONG:
             if not self.vt_orderid:
-                self.buy_best_limit()
-            elif self.order_price != self.last_tick.bid_price_1:
+                self.buy_best_limit(tick.bid_price_1)
+            elif self.order_price != tick.bid_price_1:
                 self.cancel_all()
         else:
             if not self.vt_orderid:
-                self.sell_best_limit()
-            elif self.order_price != self.last_tick.ask_price_1:
+                self.sell_best_limit(tick.ask_price_1)
+            elif self.order_price != tick.ask_price_1:
                 self.cancel_all()
 
-        self.put_variables_event()
-
-    def on_trade(self, trade: TradeData):
-        """"""
-        self.traded += trade.volume
+        self.put_event()
 
+    def on_trade(self, trade: TradeData) -> None:
+        """成交回调"""
         if self.traded >= self.volume:
             self.write_log(f"已交易数量：{self.traded}，总数量：{self.volume}")
-            self.stop()
+            self.finish()
         else:
-            self.put_variables_event()
+            self.put_event()
 
-    def on_order(self, order: OrderData):
-        """"""
+    def on_order(self, order: OrderData) -> None:
+        """委托回调"""
         if not order.is_active():
             self.vt_orderid = ""
             self.order_price = 0
-            self.put_variables_event()
+            self.put_event()
 
-    def buy_best_limit(self):
-        """"""
-        volume_left = self.volume - self.traded
+    def buy_best_limit(self, bid_price_1: float) -> None:
+        """最优限价买入"""
+        volume_left: float = self.volume - self.traded
 
-        rand_volume = self.generate_rand_volume()
-        order_volume = min(rand_volume, volume_left)
+        rand_volume: int = self.generate_rand_volume()
+        order_volume: float = min(rand_volume, volume_left)
 
-        self.order_price = self.last_tick.bid_price_1
+        self.order_price = bid_price_1
         self.vt_orderid = self.buy(
-            self.vt_symbol,
             self.order_price,
             order_volume,
             offset=self.offset
         )
 
-    def sell_best_limit(self):
-        """"""
-        volume_left = self.volume - self.traded
+    def sell_best_limit(self, ask_price_1: float) -> None:
+        """最优限价卖出"""
+        volume_left: float = self.volume - self.traded
 
-        rand_volume = self.generate_rand_volume()
-        order_volume = min(rand_volume, volume_left)
+        rand_volume: int = self.generate_rand_volume()
+        order_volume: float = min(rand_volume, volume_left)
 
-        self.order_price = self.last_tick.ask_price_1
+        self.order_price = ask_price_1
         self.vt_orderid = self.sell(
-            self.vt_symbol,
             self.order_price,
             order_volume,
             offset=self.offset
         )
 
-    def generate_rand_volume(self):
-        """"""
-        rand_volume = uniform(self.min_volume, self.max_volume)
-        rand_volume = round_to(rand_volume, self.volume_change)
-
-        if self.volume_change == 1:
-            rand_volume = int(rand_volume)
-
-        return rand_volume
+    def generate_rand_volume(self) -> int:
+        """随机生成委托数量"""
+        rand_volume: float = uniform(self.min_volume, self.max_volume)
+        return int(rand_volume)