Merge pull request vnpy#2181 from vnpy/dev-spread-crypto

Dev spread crypto

examples/vn_trader/run.py

@@ -8,7 +8,7 @@
 from vnpy.gateway.bitmex import BitmexGateway
 # from vnpy.gateway.futu import FutuGateway
 # from vnpy.gateway.ib import IbGateway
-from vnpy.gateway.ctp import CtpGateway
+# from vnpy.gateway.ctp import CtpGateway
 # from vnpy.gateway.ctptest import CtptestGateway
 # from vnpy.gateway.mini import MiniGateway
 # from vnpy.gateway.sopt import SoptGateway
@@ -18,20 +18,20 @@
 # from vnpy.gateway.oes import OesGateway
 # from vnpy.gateway.okex import OkexGateway
 # from vnpy.gateway.huobi import HuobiGateway
-from vnpy.gateway.bitfinex import BitfinexGateway
+# from vnpy.gateway.bitfinex import BitfinexGateway
 # from vnpy.gateway.onetoken import OnetokenGateway
-from vnpy.gateway.okexf import OkexfGateway
-from vnpy.gateway.okexs import OkexsGateway
+# from vnpy.gateway.okexf import OkexfGateway
+# from vnpy.gateway.okexs import OkexsGateway
 # from vnpy.gateway.xtp import XtpGateway
 # from vnpy.gateway.hbdm import HbdmGateway
 # from vnpy.gateway.tap import TapGateway
 # from vnpy.gateway.tora import ToraGateway
 # from vnpy.gateway.alpaca import AlpacaGateway
-from vnpy.gateway.da import DaGateway
-from vnpy.gateway.coinbase import CoinbaseGateway
-from vnpy.gateway.bitstamp import BitstampGateway
-from vnpy.gateway.gateios import GateiosGateway
-from vnpy.gateway.bybit import BybitGateway
+# from vnpy.gateway.da import DaGateway
+# from vnpy.gateway.coinbase import CoinbaseGateway
+# from vnpy.gateway.bitstamp import BitstampGateway
+# from vnpy.gateway.gateios import GateiosGateway
+# from vnpy.gateway.bybit import BybitGateway
 
 from vnpy.app.cta_strategy import CtaStrategyApp
 # from vnpy.app.csv_loader import CsvLoaderApp
@@ -79,7 +79,7 @@ def main():
     # main_engine.add_gateway(CoinbaseGateway)
     # main_engine.add_gateway(BitstampGateway)
     # main_engine.add_gateway(GateiosGateway)
-    main_engine.add_gateway(BybitGateway)
+    # main_engine.add_gateway(BybitGateway)
 
     main_engine.add_app(CtaStrategyApp)
     main_engine.add_app(CtaBacktesterApp)

vnpy/api/mini/include/mini/ThostFtdcTraderApi.h

@@ -48,6 +48,7 @@ class CThostFtdcTraderSpi
 	///客户端认证响应
 	virtual void OnRspAuthenticate(CThostFtdcRspAuthenticateField *pRspAuthenticateField, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {};
 
+
 	///登录请求响应
 	virtual void OnRspUserLogin(CThostFtdcRspUserLoginField *pRspUserLogin, CThostFtdcRspInfoField *pRspInfo, int nRequestID, bool bIsLast) {};
 

vnpy/api/mini/include/mini/ThostFtdcUserApiDataType.h

@@ -1976,6 +1976,11 @@ typedef char TThostFtdcCommentType[31];
 /////////////////////////////////////////////////////////////////////////
 typedef char TThostFtdcVersionType[4];
 
+/////////////////////////////////////////////////////////////////////////
+/////UtpCipherVersionType是一个版本信息类型
+///////////////////////////////////////////////////////////////////////////
+typedef char UtpCipherVersionType[65];
+
 /////////////////////////////////////////////////////////////////////////
 ///TFtdcTradeCodeType是一个交易代码类型
 /////////////////////////////////////////////////////////////////////////
@@ -6410,11 +6415,11 @@ typedef char TThostFtdcClientSystemInfoType[273];
 /////////////////////////////////////////////////////////////////////////
 ///TThostFtdcAppIDType是App代码类型
 /////////////////////////////////////////////////////////////////////////
-typedef char TThostFtdcClientAppIDType[21];
+typedef char  TThostFtdcClientAppIDType[33];
 
 /////////////////////////////////////////////////////////////////////////
 ///TThostFtdcAutoCodeType是AutoCode代码类型
 /////////////////////////////////////////////////////////////////////////
-typedef char TThostFtdcAutoCodeType[17];
+typedef char  TThostFtdcAutoCodeType[17];
 
 #endif

vnpy/api/mini/include/mini/ThostFtdcUserApiStruct.h

@@ -112,8 +112,8 @@ struct CThostFtdcReqAuthenticateField
 	TThostFtdcProductInfoType	UserProductInfo;
 	///认证码
 	TThostFtdcAuthCodeType	AuthCode;
-	///App代码
-	TThostFtdcClientAppIDType	AppID;
+	// App代码
+	TThostFtdcClientAppIDType AppID;
 };
 
 ///客户端认证响应
@@ -125,8 +125,8 @@ struct CThostFtdcRspAuthenticateField
 	TThostFtdcUserIDType	UserID;
 	///用户端产品信息
 	TThostFtdcProductInfoType	UserProductInfo;
-	///App代码
-	TThostFtdcClientAppIDType	AppID;
+	// App代码
+	TThostFtdcClientAppIDType AppID;
 };
 
 ///客户端认证信息
@@ -139,13 +139,15 @@ struct CThostFtdcAuthenticationInfoField
 	///用户端产品信息
 	TThostFtdcProductInfoType	UserProductInfo;
 	///时间戳
-	TThostFtdcAuthInfoType	TimeStamp;
+	TThostFtdcAuthInfoType TimeStamp;
 	///认证信息
 	TThostFtdcAuthInfoType	AuthInfo;
 	///是否为认证结果
 	TThostFtdcBoolType	IsResult;
-	///App代码
-	TThostFtdcClientAppIDType	AppID;
+	// App代码
+	TThostFtdcClientAppIDType AppID;
+	// 版本信息
+    UtpCipherVersionType    VerInfo;
 };
 
 ///银期转帐报文头
@@ -1926,9 +1928,9 @@ struct CThostFtdcTransFundField
 	///投资者帐号
 	TThostFtdcAccountIDType	AccountID;
 	///出金的核心地址
-	TThostFtdcAddressAndPortType	DepositKernel;
+	TThostFtdcAddressAndPortType DepositKernel;
 	///入金的核心地址
-	TThostFtdcAddressAndPortType	IncomingKernel;
+	TThostFtdcAddressAndPortType IncomingKernel;
 	///币种代码
 	TThostFtdcCurrencyIDType	CurrencyID;
 	///转账金额

vnpy/app/cta_strategy/backtesting.py

@@ -552,7 +552,8 @@ def run_optimization(self, optimization_setting: OptimizationSetting, output=Tru
                 self.pricetick,
                 self.capital,
                 self.end,
-                self.mode
+                self.mode,
+                self.inverse
             )))
             results.append(result)
 
@@ -612,6 +613,7 @@ def mutate_individual(individual, indpb):
         global ga_capital
         global ga_end
         global ga_mode
+        global ga_inverse
 
         ga_target_name = target_name
         ga_strategy_class = self.strategy_class
@@ -626,6 +628,7 @@ def mutate_individual(individual, indpb):
         ga_capital = self.capital
         ga_end = self.end
         ga_mode = self.mode
+        ga_inverse = self.inverse
 
         # Set up genetic algorithem
         toolbox = base.Toolbox()
@@ -1217,7 +1220,8 @@ def _ga_optimize(parameter_values: tuple):
         ga_pricetick,
         ga_capital,
         ga_end,
-        ga_mode
+        ga_mode,
+        ga_inverse
     )
     return (result[1],)
 

vnpy/app/script_trader/cli.py

@@ -1,4 +1,4 @@
-from typing import Sequence
+from typing import Sequence, Type
 
 from vnpy.event import EventEngine, Event
 from vnpy.trader.engine import MainEngine
@@ -14,7 +14,7 @@ def process_log_event(event: Event):
     print(f"{log.time}\t{log.msg}")
 
 
-def init_cli_trading(gateways: Sequence[BaseGateway]):
+def init_cli_trading(gateways: Sequence[Type[BaseGateway]]):
     """"""
     event_engine = EventEngine()
     event_engine.register(EVENT_LOG, process_log_event)

vnpy/app/spread_trading/algo.py

@@ -1,7 +1,8 @@
 from typing import Any
 
-from vnpy.trader.constant import Direction
+from vnpy.trader.constant import Direction, Offset
 from vnpy.trader.object import (TickData, OrderData, TradeData)
+from vnpy.trader.utility import round_to
 
 from .template import SpreadAlgoTemplate
 from .base import SpreadData
@@ -17,6 +18,7 @@ def __init__(
         algoid: str,
         spread: SpreadData,
         direction: Direction,
+        offset: Offset,
         price: float,
         volume: float,
         payup: int,
@@ -25,8 +27,9 @@ def __init__(
     ):
         """"""
         super().__init__(
-            algo_engine, algoid, spread, direction,
-            price, volume, payup, interval, lock
+            algo_engine, algoid, spread,
+            direction, offset, price, volume,
+            payup, interval, lock
         )
 
         self.cancel_interval: int = 2
@@ -109,6 +112,7 @@ def hedge_passive_legs(self):
         # Calcualte spread volume to hedge
         active_leg = self.spread.active_leg
         active_traded = self.leg_traded[active_leg.vt_symbol]
+        active_traded = round_to(active_traded, self.spread.min_volume)
 
         hedge_volume = self.spread.calculate_spread_volume(
             active_leg.vt_symbol,
@@ -118,6 +122,8 @@ def hedge_passive_legs(self):
         # Calculate passive leg target volume and do hedge
         for leg in self.spread.passive_legs:
             passive_traded = self.leg_traded[leg.vt_symbol]
+            passive_traded = round_to(passive_traded, self.spread.min_volume)
+
             passive_target = self.spread.calculate_leg_volume(
                 leg.vt_symbol,
                 hedge_volume