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Add algos
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‎vnpy_algotrading/algos/__init__.py

Whitespace-only changes.

‎vnpy_algotrading/algos/arbitrage_algo.py

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from vnpy.trader.constant import Direction
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from vnpy.trader.object import TradeData, OrderData
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from vnpy.trader.engine import BaseEngine
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from ..template import AlgoTemplate
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class ArbitrageAlgo(AlgoTemplate):
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""""""
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display_name = "Arbitrage 套利"
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default_setting = {
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"active_vt_symbol": "",
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"passive_vt_symbol": "",
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"spread_up": 0.0,
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"spread_down": 0.0,
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"max_pos": 0,
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"interval": 0,
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}
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variables = [
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"timer_count",
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"active_vt_orderid",
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"passive_vt_orderid",
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"active_pos",
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"passive_pos"
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]
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def __init__(
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self,
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algo_engine: BaseEngine,
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algo_name: str,
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setting: dict
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):
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""""""
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super().__init__(algo_engine, algo_name, setting)
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# 参数
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self.active_vt_symbol = setting["active_vt_symbol"]
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self.passive_vt_symbol = setting["passive_vt_symbol"]
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self.spread_up = setting["spread_up"]
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self.spread_down = setting["spread_down"]
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self.max_pos = setting["max_pos"]
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self.interval = setting["interval"]
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# 变量
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self.active_vt_orderid = ""
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self.passive_vt_orderid = ""
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self.active_pos = 0
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self.passive_pos = 0
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self.timer_count = 0
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self.subscribe(self.active_vt_symbol)
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self.subscribe(self.passive_vt_symbol)
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self.put_parameters_event()
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self.put_variables_event()
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def on_stop(self):
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""""""
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self.write_log("停止算法")
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def on_order(self, order: OrderData):
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""""""
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if order.vt_symbol == self.active_vt_symbol:
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if not order.is_active():
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self.active_vt_orderid = ""
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elif order.vt_symbol == self.passive_vt_symbol:
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if not order.is_active():
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self.passive_vt_orderid = ""
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self.put_variables_event()
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def on_trade(self, trade: TradeData):
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""""""
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# 更新持仓
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if trade.direction == Direction.LONG:
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if trade.vt_symbol == self.active_vt_symbol:
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self.active_pos += trade.volume
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else:
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self.passive_pos += trade.volume
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else:
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if trade.vt_symbol == self.active_vt_symbol:
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self.active_pos -= trade.volume
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else:
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self.passive_pos -= trade.volume
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# 主动腿成交，执行对冲
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if trade.vt_symbol == self.active_vt_symbol:
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self.write_log("收到主动腿成交回报，执行对冲")
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self.hedge()
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self.put_variables_event()
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def on_timer(self):
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""""""
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# 定时执行算法
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self.timer_count += 1
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if self.timer_count < self.interval:
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self.put_variables_event()
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return
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self.timer_count = 0
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# 继续运行前撤销所有活动中订单
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if self.active_vt_orderid or self.passive_vt_orderid:
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self.write_log("有未成交委托，执行撤单")
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self.cancel_all()
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return
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# 确保主动腿和被动腿完全对冲
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if (self.active_pos + self.passive_pos) != 0:
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self.write_log("主动腿和被动腿数量不一致，执行对冲")
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self.hedge()
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return
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# 确保两条套利腿的行情数据都通畅
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active_tick = self.get_tick(self.active_vt_symbol)
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passive_tick = self.get_tick(self.passive_vt_symbol)
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if not active_tick or not passive_tick:
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self.write_log("获取某条套利腿的行情失败，无法交易")
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return
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# 计算价差
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spread_bid_price = active_tick.bid_price_1 - passive_tick.ask_price_1
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spread_ask_price = active_tick.ask_price_1 - passive_tick.bid_price_1
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spread_bid_volume = min(active_tick.bid_volume_1,
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passive_tick.ask_volume_1)
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spread_ask_volume = min(active_tick.ask_volume_1,
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passive_tick.bid_volume_1)
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msg = f"价差盘口，买：{spread_bid_price} ({spread_bid_volume})，卖：{spread_ask_price} ({spread_ask_volume})"
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self.write_log(msg)
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# 做空条件
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if spread_bid_price > self.spread_up:
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self.write_log("套利价差超过上限，满足做空条件")
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if self.active_pos > -self.max_pos:
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self.write_log("当前持仓小于最大持仓限制，执行卖出操作")
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volume = min(spread_bid_volume,
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self.active_pos + self.max_pos)
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self.active_vt_orderid = self.sell(
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self.active_vt_symbol,
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active_tick.bid_price_1,
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volume
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)
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# 做多条件
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elif spread_ask_price < -self.spread_down:
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self.write_log("套利价差超过下限，满足做多条件")
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if self.active_pos < self.max_pos:
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self.write_log("当前持仓小于最大持仓限制，执行买入操作")
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volume = min(spread_ask_volume,
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self.max_pos - self.active_pos)
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self.active_vt_orderid = self.buy(
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self.active_vt_symbol,
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active_tick.ask_price_1,
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volume
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)
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self.put_variables_event()
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def hedge(self):
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"""对冲"""
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tick = self.get_tick(self.passive_vt_symbol)
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volume = -self.active_pos - self.passive_pos
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if volume > 0:
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self.passive_vt_orderid = self.buy(
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self.passive_vt_symbol,
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tick.ask_price_1,
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volume
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)
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elif volume < 0:
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self.passive_vt_orderid = self.sell(
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self.passive_vt_symbol,
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tick.bid_price_1,
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abs(volume)
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)

‎vnpy_algotrading/algos/best_limit_algo.py

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

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