Home >  > Vn.py学习记录五–交易时间段及Widgets

Vn.py学习记录五–交易时间段及Widgets

0

蜗牛博客VNPY学习记录:

VN.PY 2.0学习记录一(如何回测)
VN.PY 2.0学习记录二(策略开发)
Vn.py学习记录三(米筐教程)
VN.PY 2.0学习记录四(多线程、多进程)
Vn.py学习记录五–交易时间段及Widgets
Vn.py学习记录六(无界面模拟盘)
Vn.py学习记录七(V2.0.5版本)
Vnpy学习记录八(R-Breaker及pickle)
Vn.py学习记录九(事件驱动引擎)
VN.PY学习记录十(源码概述)
VNPY学习记录11(微信+Vscode)
VNPY学习记录12(父子进程、回调函数)

一、其他

def onBar(self,bar):
	#更新策略执行的时间(用于回测时记录发生时间)
        #从datasource拿到的bar.datetime是bar的结束时间,比如:9:00-9:05的time就是9:05=curDatetime因为策略中已经将9:05调整为9:00,所以这里要加回来。
	self.curDatetime = bar.datetime + timedelta(seconds = self.lineM5.barTimeInterval)

	#2 计算交易时间和平仓时间
	self.__timeWindow(bar.datetime)

	#推送tick到15分钻K线
	self.lineM5.addBar(bar)

def __timeWindow(self,dt):
	"""交易与平仓窗口"""
	self.tradeWindow = False
	self.closeWindow = False
	self.openWindow =  False


	#开市期,波动较大,用于判断止损止盈,或开仓
	if (dt.hour == 9 or dt.hour == 21) and dt.minute < 2:
		self.openWindow = Ture

	#日盘
	if dt.hour == 9 and dt.minute >= 0:
		self.tradeWindow = Ture
		return

	if dt.hour == 10:
		if dt.minute <= 15 or  dt.minute >= 30:
		self.tradeWindow = Ture
		return		

	if dt.hour == 11 and dt.minute <= 30:
		self.tradeWindow = Ture
		return

	if dt.hour == 13 and dt.minute >= 30:
		self.tradeWindow = Ture
		return

	if dt.hour == 14:

		if dt.minute < 59:
			self.tradeWindow = Ture
			return

		if dt.minute == 59: #日盘平仓
			self.closeWindow = Ture
			return

	#夜盘
	if dt.hour == 21 and dt.minute >= 0:
		self.tradeWindow = Ture
		return

	#上期 贵金属  次日 02:30

	if self.shortSymbol in NIGHT_MARKET_SQ1:

		if dt.hour == 22 or dt.hour == 23 or dt.hour == 0 or dt.hour == 1:
			self.tradeWindow = Ture
			return

		if dt.hour == 2:
			if dt.minute < 29: #收市前29分钟
				self.tradeWindow = Ture
				return

			if dt.minute == 29: #夜盘平仓
				self.closeWindow = Ture
				return

		return

	#上期 有色金额 黑色金额 沥青  次日 01:00

	if self.shortSymbol in NIGHT_MARKET_SQ2:
		if dt.hour == 22 or dt.hour == 23:
			self.tradeWindow = Ture
			return

		if dt.hour == 0:
			if dt.minute < 59: #收市前59分钟
				self.tradeWindow = Ture
				return

			if dt.minute == 59: #夜盘平仓
				self.closeWindow = Ture
				return

		return


	#上期  天然橡胶 23:00

	if self.shortSymbol in NIGHT_MARKET_SQ3:

		if dt.hour ==22:
			if dt.minute < 59: #收市前1分钟
				self.tradeWindow = Ture
				return

			if dt.minute == 59: #夜盘平仓
				self.closeWindow = Ture
				return

		return


#也可以写死
def __dailyClosecheck(self,bar):
	"""
	每天收盘前检查,如果是亏损单,则平掉
	"""
	if self.position.pos == 0 and self.entrust == 0:
		return False


	if bar.time not in ['14:45:00','14:50:00','14:55:00','22:45:00','22:50:00','22:55:00',]:
		return False

	#撤销未成交的订单
	if len(self.uncompletedOrders) > 0:
		for order in self.uncompletedOrders.keys():
			self.writeCtaLog("{},收盘前15分钟,仍未成交,取消委托单:{}".format(bar.datetime,order))
			self.cancelOrder(str(order))

		self.uncompletedOrders.clear()

	self.entrust = 0


	#强制平仓
	if self.position.pos > 0 and bar.close < self.policey.entryPrice + self.atr:
		self.writeCtaLog("强制日内平亏损多仓")
		#降低两个滑点
		orderid = self.sell(price = bar.close-2*self.minDiff, volume = self.inputSS, orderTime = self.curDatetime)
	    if orderid:
	    	#更新下单时间
	    	self.lastOrderTime = self.curDatetime
	    return Ture	

	if self.position.pos < 0 and bar.close > self.policey.entryPrice - self.atr:
		self.writeCtaLog("强制日内平亏损空仓")
		#降低两个滑点
		orderid = self.over(price = bar.close+2*self.minDiff, volume = self.inputSS, orderTime = self.curDatetime)
	    if orderid:
	    	#更新下单时间
	    	self.lastOrderTime = self.curDatetime
	    return Ture

    return Ture

二、备留后用:

            # 日盘平仓时间
            if nowTime >= datetime.time(hour=14, minute=56) and nowTime < datetime.time(hour=15, minute=00):
                self.cancelAll()      # 撤销所有未成交委托
                
                if self.pos > 0:
                    self.sell(bar.close-5,abs(self.pos))  # 超价卖平仓

                elif self.pos < 0:
                    self.cover(bar.close+5,abs(self.pos)) # 超价买平仓

            # 夜盘平仓时间
            if nowTime >= datetime.time(hour=23, minute=26) and nowTime < datetime.time(hour=23, minute=30):
                self.cancelAll()      # 撤销所有未成交委托
                
                if self.pos > 0:
                    self.sell(bar.close-5,abs(self.pos))  # 超价卖平仓

                elif self.pos < 0:
                    self.cover(bar.close+5,abs(self.pos)) # 超价买平仓

其中:

import datetime
print(datetime.time(hour=14, minute=56))

的执行结果就是:14:56:00

三、Widgets开发
1.首先准备图片以及文件

2.demoEngine.py

from vnpy.event import Event
from vnpy.trader.vtEvent import EVENT_TICK

from vnpy.trader.vtObject import VtSubscribeReq

EVENT_DEMO_LOG = "eDemolog"

class DemoEngine(object):
	def __init__(self,mainEngine,eventEngine):
		self.mainEngine = mainEngine
		self.eventEngine = eventEngine

		sefl.symbol = 'rb1805'
		self.priceDict = {}


		self.registerEvent()

	def subscribeData(self):
		req = VtSubscribeReq()
		req.symbol = self.symbol
		slef.mainEngine.subscribe(req,'CTP')

	def registerEvent(self):
		sefl.eventEngine.register(EVENT_TICK,self.processTickEvent)

	def processTickEvent(self,event):
		tick = event.dict_['data']
		last = tick.lastPrice

		if self.priceDict:
			if last >= self.priceDict['ask']:
				result = "外盘"
			elif last <= self.priceDict['bid']:
				result = "内盘"
			else:
				result = "中性"

			self.writeLog("最新Tick的成交价为s%,交易方向为:s%" %(last,result))
		
		self.priceDict['bid'] = tick.bidPrice
		self.priceDict['ask'] = tick.askPrice

	def writeLog(self,msg):
		event = Event(EVENT_DEMO_LOG)
		event.dict_['data'] = msg
		self.eventEngine.put(event)

3.uiDemoWidget.py

from datetime import datetime
from .demoEngine import EVENT_DEMO_LOG
from vnpy.event import event
from vnpy.trader.uiQt import QtCore,QtWidgets

class ClassName(QtWidgets.Qwidget):
	signalLog = QtCore.Signal(type(Event()))



	"""docstring for ClassName"""
	def __init__(self, demoEngine,eventEngine,parent=None):
		super(DemoWidget, self).__init__(parent)
		
		self.demoEngine = demoEngine
		self.eventEngine = eventEngine

		self.initUi()
		self.registerEvent()

	def initUi(self):
		self.setWindowTitle("DemoAPP")

		self.botton = QtWidgets.QPushButton("订阅行情")
		self.button.click.connect(self.demoEngine.subscribeData)

		self.logMoniter = QtWidgets.QTextEdit()
		self.logMoniter.setReadOnly(True)

		#横向排版
		hbox = QtWidgets.QHBoxLayout()
		hbox = addWidget(self.button)
		hbox.addStretch()
        
        #竖向排版
		vbox = QtWidgets.QVBoxLayout()
		vbox = addLayout(hbox)
		vbox.addWidget(self.logMoniter)

		self.selfLayout(vbox)


	def registerEvent():
		self.signalLog.connect(self.processLogEvent)
		sefl.eventEngine.register(EVENT_DEMO_LOG,self.signalLog.emit)


	def processLogEvent(self,event):
		msg = event.dict_['data']
		t = datetime.now()

		mas = str(t)+ "  " + msg
		self.logMoniter.append(msg)	
			

4. init.py

from demoEngine import DemoEngine
from uiDemoWidget import DemoWidget

app_name = "DemoAPP"
appDisplayName = "DemoAPP"
appEngine = DemoEngine
appWidget = DemoWidget
appIco = "demo.ico"

然后再修改run.py,就可以跑起来测试了。

本文暂无标签

发表评论

*

*