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Update cta_strategy.md

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1122455801 committed Jun 13, 2019
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  1. +196 −0 docs/cta_strategy.md
@@ -1134,3 +1134,199 @@ def optimize(
return True
```

 

### 锁仓操作

用户在编写策略时,可以通过填写lock字段来让策略完成锁仓操作,即禁止平今,通过反向开仓来代替。

- 在cta策略模板template中,可以看到如下具体委托函数都有lock字段,并且默认为False。

```
def buy(self, price: float, volume: float, stop: bool = False, lock: bool = False):
"""
Send buy order to open a long position.
"""
return self.send_order(Direction.LONG, Offset.OPEN, price, volume, stop, lock)
def sell(self, price: float, volume: float, stop: bool = False, lock: bool = False):
"""
Send sell order to close a long position.
"""
return self.send_order(Direction.SHORT, Offset.CLOSE, price, volume, stop, lock)
def short(self, price: float, volume: float, stop: bool = False, lock: bool = False):
"""
Send short order to open as short position.
"""
return self.send_order(Direction.SHORT, Offset.OPEN, price, volume, stop, lock)
def cover(self, price: float, volume: float, stop: bool = False, lock: bool = False):
"""
Send cover order to close a short position.
"""
return self.send_order(Direction.LONG, Offset.CLOSE, price, volume, stop, lock)
def send_order(
self,
direction: Direction,
offset: Offset,
price: float,
volume: float,
stop: bool = False,
lock: bool = False
):
"""
Send a new order.
"""
if self.trading:
vt_orderids = self.cta_engine.send_order(
self, direction, offset, price, volume, stop, lock
)
return vt_orderids
else:
return []
```

 

- 设置lock=True后,cta实盘引擎send_order()函数发生响应,并且调用其最根本的委托函数send_server_order()去处理锁仓委托转换。首先是创建原始委托original_req,然后调用converter文件里面OffsetConverter类的convert_order_request来进行相关转换。

```
def send_order(
self,
strategy: CtaTemplate,
direction: Direction,
offset: Offset,
price: float,
volume: float,
stop: bool,
lock: bool
):
"""
"""
contract = self.main_engine.get_contract(strategy.vt_symbol)
if not contract:
self.write_log(f"委托失败,找不到合约:{strategy.vt_symbol}", strategy)
return ""
if stop:
if contract.stop_supported:
return self.send_server_stop_order(strategy, contract, direction, offset, price, volume, lock)
else:
return self.send_local_stop_order(strategy, direction, offset, price, volume, lock)
else:
return self.send_limit_order(strategy, contract, direction, offset, price, volume, lock)
def send_limit_order(
self,
strategy: CtaTemplate,
contract: ContractData,
direction: Direction,
offset: Offset,
price: float,
volume: float,
lock: bool
):
"""
Send a limit order to server.
"""
return self.send_server_order(
strategy,
contract,
direction,
offset,
price,
volume,
OrderType.LIMIT,
lock
)
def send_server_order(
self,
strategy: CtaTemplate,
contract: ContractData,
direction: Direction,
offset: Offset,
price: float,
volume: float,
type: OrderType,
lock: bool
):
"""
Send a new order to server.
"""
# Create request and send order.
original_req = OrderRequest(
symbol=contract.symbol,
exchange=contract.exchange,
direction=direction,
offset=offset,
type=type,
price=price,
volume=volume,
)
# Convert with offset converter
req_list = self.offset_converter.convert_order_request(original_req, lock)
# Send Orders
vt_orderids = []
for req in req_list:
vt_orderid = self.main_engine.send_order(
req, contract.gateway_name)
vt_orderids.append(vt_orderid)
self.offset_converter.update_order_request(req, vt_orderid)
# Save relationship between orderid and strategy.
self.orderid_strategy_map[vt_orderid] = strategy
self.strategy_orderid_map[strategy.strategy_name].add(vt_orderid)
return vt_orderids
```

 

- 在convert_order_request_lock()函数中,先计算今仓的量和昨可用量;然后进行判断:若有今仓,只能开仓(锁仓);无今仓时候,若平仓量小于等于昨可用,全部平昨,反之,先平昨,剩下的反向开仓。

```
def convert_order_request_lock(self, req: OrderRequest):
""""""
if req.direction == Direction.LONG:
td_volume = self.short_td
yd_available = self.short_yd - self.short_yd_frozen
else:
td_volume = self.long_td
yd_available = self.long_yd - self.long_yd_frozen
# If there is td_volume, we can only lock position
if td_volume:
req_open = copy(req)
req_open.offset = Offset.OPEN
return [req_open]
# If no td_volume, we close opposite yd position first
# then open new position
else:
open_volume = max(0, req.volume - yd_available)
req_list = []
if yd_available:
req_yd = copy(req)
if self.exchange == Exchange.SHFE:
req_yd.offset = Offset.CLOSEYESTERDAY
else:
req_yd.offset = Offset.CLOSE
req_list.append(req_yd)
if open_volume:
req_open = copy(req)
req_open.offset = Offset.OPEN
req_open.volume = open_volume
req_list.append(req_open)
return req_list
```

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