[Mod] complete test of rollover tool

CHANGELOG.md

@@ -17,6 +17,8 @@
 
 ## 新增
 1. 新增DataManager在导入CSV文件时，对于时间戳时区的选择功能
+2. 新增CtaStrategy模块的策略移仓助手功能，实现一键式期货换月移仓支持
+
 
 # 2.2.0版本
 

vnpy/app/chart_wizard/engine.py

@@ -73,4 +73,4 @@ def _query_history(
             )
 
         event = Event(EVENT_CHART_HISTORY, data)
-        self.event_engine.put(event)
+        self.event_engine.put(event)

vnpy/app/cta_strategy/engine.py

@@ -782,6 +782,7 @@ def remove_strategy(self, strategy_name: str):
         # Remove from strategies
         self.strategies.pop(strategy_name)
 
+        self.write_log(f"策略{strategy.strategy_name}移除移除成功")
         return True
 
     def load_strategy_class(self):
@@ -937,7 +938,7 @@ def write_log(self, msg: str, strategy: CtaTemplate = None):
         Create cta engine log event.
         """
         if strategy:
-            msg = f"{strategy.strategy_name}: {msg}"
+            msg = f"[{strategy.strategy_name}]  {msg}"
 
         log = LogData(msg=msg, gateway_name=APP_NAME)
         event = Event(type=EVENT_CTA_LOG, data=log)

vnpy/app/cta_strategy/ui/rollover.py

@@ -1,36 +1,44 @@
 from datetime import datetime
+from time import sleep
+from typing import TYPE_CHECKING
 
 from vnpy.trader.engine import MainEngine
 from vnpy.trader.constant import OrderType
-from vnpy.trader.object import ContractData, OrderRequest, TickData
+from vnpy.trader.object import ContractData, OrderRequest, SubscribeRequest, TickData
 from vnpy.trader.object import Direction, Offset
 from vnpy.trader.ui import QtWidgets
-from vnpy.trader.converter import PositionHolding
+from vnpy.trader.converter import OffsetConverter, PositionHolding
 
 from ..engine import CtaEngine, APP_NAME
 from ..template import CtaTemplate
 
+if TYPE_CHECKING:
+    from .widget import CtaManager
+
 
 class RolloverTool(QtWidgets.QDialog):
     """"""
 
-    def __init__(self, cta_engine: CtaEngine) -> None:
+    def __init__(self, cta_manager: "CtaManager") -> None:
         """"""
         super().__init__()
 
-        self.cta_engine = cta_engine
-        self.main_engine: MainEngine = cta_engine.main_engine
+        self.cta_manager: "CtaManager" = cta_manager
+        self.cta_engine: CtaEngine = cta_manager.cta_engine
+        self.main_engine: MainEngine = cta_manager.main_engine
 
         self.init_ui()
 
     def init_ui(self) -> None:
         """"""
         self.setWindowTitle("移仓助手")
 
+        old_symbols = []
+        for vt_symbol, strategies in self.cta_engine.symbol_strategy_map.items():
+            if strategies:
+                old_symbols.append(vt_symbol)
         self.old_symbol_combo = QtWidgets.QComboBox()
-        self.old_symbol_combo.addItems(
-            self.cta_engine.symbol_strategy_map.keys()
-        )
+        self.old_symbol_combo.addItems(old_symbols)
 
         self.new_symbol_line = QtWidgets.QLineEdit()
 
@@ -39,37 +47,69 @@ def init_ui(self) -> None:
 
         self.log_edit = QtWidgets.QTextEdit()
         self.log_edit.setReadOnly(True)
+        self.log_edit.setMinimumWidth(500)
 
         button = QtWidgets.QPushButton("移仓")
         button.clicked.connect(self.roll_all)
+        button.setFixedHeight(button.sizeHint().height() * 2)
 
         form = QtWidgets.QFormLayout()
         form.addRow("移仓合约", self.old_symbol_combo)
         form.addRow("目标合约", self.new_symbol_line)
         form.addRow("委托超价", self.payup_spin)
-
         form.addRow(button)
-        form.addRow(self.log_edit)
 
-        self.setLayout(form)
+        hbox = QtWidgets.QHBoxLayout()
+        hbox.addLayout(form)
+        hbox.addWidget(self.log_edit)
+        self.setLayout(hbox)
 
     def write_log(self, text: str) -> None:
         """"""
         now = datetime.now()
         text = now.strftime("%H:%M:%S\t") + text
         self.log_edit.append(text)
 
+    def subscribe(self, vt_symbol: str) -> None:
+        """"""
+        contract = self.main_engine.get_contract(vt_symbol)
+        if not contract:
+            return
+
+        req = SubscribeRequest(contract.symbol, contract.exchange)
+        self.main_engine.subscribe(req, contract.gateway_name)
+
     def roll_all(self) -> None:
         """"""
         old_symbol = self.old_symbol_combo.currentText()
+
         new_symbol = self.new_symbol_line.text()
+        self.subscribe(new_symbol)
+        sleep(1)
+
+        new_tick = self.main_engine.get_tick(new_symbol)
+        if not new_tick:
+            self.write_log(f"无法获取目标合约{new_symbol}的盘口数据，请先订阅行情")
+            return
+
         payup = self.payup_spin.value()
 
+        # Check all strategies inited (pos data loaded from disk json file)
+        strategies = self.cta_engine.symbol_strategy_map[old_symbol]
+        for strategy in strategies:
+            if not strategy.inited:
+                self.write_log(f"策略{strategy.strategy_name}尚未初始化，无法执行移仓")
+                return
+
+        # Roll position first
         self.roll_position(old_symbol, new_symbol, payup)
 
-        strategies = self.cta_engine.symbol_strategy_map[old_symbol]
+        # Then roll strategy
         for strategy in strategies:
-            self.roll_strategy(strategy, new_symbol, payup)
+            self.roll_strategy(strategy, new_symbol)
+
+        # Disable self
+        self.setEnabled(False)
 
     def roll_position(self, old_symbol: str, new_symbol: str, payup: int) -> None:
         """"""
@@ -78,53 +118,58 @@ def roll_position(self, old_symbol: str, new_symbol: str, payup: int) -> None:
 
         # Roll long position
         if holding.long_pos:
+            volume = holding.long_pos
+
             self.send_order(
                 old_symbol,
                 Direction.SHORT,
                 Offset.CLOSE,
                 payup,
-                holding.long_pos
+                volume
             )
 
             self.send_order(
                 new_symbol,
                 Direction.LONG,
                 Offset.OPEN,
                 payup,
-                holding.long_pos
+                volume
             )
 
         # Roll short postiion
         if holding.short_pos:
+            volume = holding.short_pos
+
             self.send_order(
                 old_symbol,
                 Direction.LONG,
                 Offset.CLOSE,
                 payup,
-                holding.short_pos
+                volume
             )
 
             self.send_order(
                 new_symbol,
                 Direction.SHORT,
                 Offset.OPEN,
                 payup,
-                holding.short_pos
+                volume
             )
 
     def roll_strategy(self, strategy: CtaTemplate, vt_symbol: str) -> None:
         """"""
         if not strategy.inited:
-            self.write_log(f"无法执行移仓，请先初始化策略{strategy.strategy_name}")
-            return
+            self.cta_engine._init_strategy(strategy.strategy_name)
 
         # Save data of old strategy
         pos = strategy.pos
         name = strategy.strategy_name
         parameters = strategy.get_parameters()
 
         # Remove old strategy
-        self.cta_engine.remove_strategy(name)
+        result = self.cta_engine.remove_strategy(name)
+        if result:
+            self.cta_manager.remove_strategy(name)
 
         self.write_log(f"移除老策略{name}[{strategy.vt_symbol}]")
 
@@ -160,6 +205,7 @@ def send_order(
         """
         contract: ContractData = self.main_engine.get_contract(vt_symbol)
         tick: TickData = self.main_engine.get_tick(vt_symbol)
+        offset_converter: OffsetConverter = self.cta_engine.offset_converter
 
         if direction == Direction.LONG:
             price = tick.ask_price_1 + contract.pricetick * payup
@@ -177,7 +223,7 @@ def send_order(
             reference=f"{APP_NAME}_Rollover"
         )
 
-        req_list = self.offset_converter.convert_order_request(original_req, False, False)
+        req_list = offset_converter.convert_order_request(original_req, False, False)
 
         vt_orderids = []
         for req in req_list:
@@ -186,7 +232,7 @@ def send_order(
                 continue
 
             vt_orderids.append(vt_orderid)
-            self.offset_converter.update_order_request(req, vt_orderid)
+            offset_converter.update_order_request(req, vt_orderid)
 
             msg = f"发出委托{vt_symbol}，{direction.value} {offset.value}，{volume}@{price}"
             self.write_log(msg)

vnpy/app/cta_strategy/ui/widget.py

@@ -164,7 +164,7 @@ def show(self):
 
     def roll(self):
         """"""
-        dialog = RolloverTool(self.cta_engine)
+        dialog = RolloverTool(self)
         dialog.exec_()
 
 

vnpy/app/market_radar/engine.py

@@ -331,7 +331,7 @@ def remove_signal(self, signal_id: int) -> None:
         signal = self.signals.pop(signal_id)
         signal.active = False
 
-        self.rule_signal_map[signal.rule_name].remove(signal)        
+        self.rule_signal_map[signal.rule_name].remove(signal)
         self.put_event(EVENT_RADAR_SIGNAL, signal)
 
     def check_signal(self, rule_name: str, rule_value: float) -> None:

vnpy/gateway/binances/binances_gateway.py

@@ -695,7 +695,7 @@ def query_history(self, req: HistoryRequest) -> List[BarData]:
                 if req.end:
                     end_time = int(datetime.timestamp(req.end))
                     params["endTime"] = end_time * 1000     # convert to millisecond
-                   
+
             else:
                 params["endTime"] = end_time * 1000
                 path = "/dapi/v1/klines"
@@ -760,7 +760,7 @@ def query_history(self, req: HistoryRequest) -> List[BarData]:
                 else:
                     end_dt = begin - TIMEDELTA_MAP[req.interval]
                     end_time = int(datetime.timestamp(end_dt))
- 
+
         if not self.usdt_base:
             history = list(reversed(history))
         return history