99 lines
4.1 KiB
Python
99 lines
4.1 KiB
Python
"""PaperCtaEngine：vnpy_ctastrategy CtaTemplate 的纸面适配器（spec §5）。
|
||
|
||
实现 CtaTemplate 所需的 cta_engine 接口（send_order/cancel_order），
|
||
拦截 send_order → 构造 PaperOrder → 收集到 pending_orders，
|
||
供 PaperEngine 撮合。参考 vnpy_ctastrategy BacktestingEngine 的策略桥接
|
||
（它也是假 cta_engine）。
|
||
|
||
vnpy_ctastrategy 是 pip 依赖（容器有，本机可能无）——本模块不顶部 import 它，
|
||
只在 load_strategy 时 lazy import；本机用 mock 策略测 send_order 收集逻辑。
|
||
"""
|
||
import logging
|
||
|
||
from .models import MatchSession, OrderSide, PaperOrder
|
||
|
||
logger = logging.getLogger(__name__)
|
||
|
||
|
||
def _direction_to_side(direction) -> OrderSide:
|
||
"""vnpy Direction.LONG/SHORT（或 '多'/'空'）→ OrderSide。"""
|
||
s = str(direction)
|
||
if "LONG" in s or "多" in s:
|
||
return OrderSide.BUY
|
||
if "SHORT" in s or "空" in s:
|
||
return OrderSide.SELL
|
||
return OrderSide.BUY
|
||
|
||
|
||
class PaperCtaEngine:
|
||
"""纸面 cta_engine：拦截 CtaTemplate.send_order 转 PaperOrder。"""
|
||
|
||
def __init__(self, strategy_id: str,
|
||
match_session: MatchSession | str = MatchSession.NEXT_OPEN,
|
||
listing_days: int = 0, size: int = 1) -> None:
|
||
self.strategy_id = strategy_id
|
||
self.match_session = MatchSession(match_session) if isinstance(match_session, str) else match_session
|
||
self.listing_days = listing_days
|
||
self.size = size # 合约乘数：A 股 1 手=100 股 → size=100；mock 默认 1
|
||
self.strategy = None
|
||
self.pending_orders: list[PaperOrder] = []
|
||
|
||
def set_strategy(self, strategy) -> None:
|
||
self.strategy = strategy
|
||
|
||
def send_order(self, strategy, direction, offset, price, volume,
|
||
stop: bool = False, lock: bool = False, net: bool = False) -> list[str]:
|
||
"""拦截 CtaTemplate.send_order → 收集 PaperOrder。返回假 vt_orderids。"""
|
||
del stop, lock, net # 未用（首版不支持 stop/lock/net）
|
||
vt_symbol = getattr(strategy, "vt_symbol", "")
|
||
symbol = vt_symbol.split(".")[0] if vt_symbol else getattr(strategy, "symbol", "")
|
||
order = PaperOrder(
|
||
strategy_id=self.strategy_id,
|
||
symbol=symbol,
|
||
side=_direction_to_side(direction),
|
||
price=float(price),
|
||
volume=int(volume) * self.size, # vnpy 策略 volume 单位=手，转股（A 股 ×100）
|
||
is_market=True,
|
||
match_session=self.match_session,
|
||
listing_days=self.listing_days,
|
||
)
|
||
self.pending_orders.append(order)
|
||
return [f"paper.{self.strategy_id}.{len(self.pending_orders)}"]
|
||
|
||
def cancel_order(self, vt_orderid) -> None:
|
||
"""首版简化：取消从 pending 移除（未撮合的）。"""
|
||
if isinstance(vt_orderid, (list, tuple)):
|
||
for oid in vt_orderid:
|
||
self._cancel_one(oid)
|
||
else:
|
||
self._cancel_one(vt_orderid)
|
||
|
||
def cancel_all(self, vt_symbol: str | None = None) -> None:
|
||
"""撤销所有挂单（纸面：清 pending；CtaTemplate.on_bar 开头常调）。"""
|
||
self.pending_orders = []
|
||
|
||
def __getattr__(self, name: str):
|
||
"""兜底未实现的 cta_engine 方法（load_bar/put_event/write_log/send_email
|
||
/get_data/load_tick 等）返回 no-op，避免 CtaTemplate 调用时 AttributeError。"""
|
||
return lambda *a, **kw: None
|
||
|
||
def _cancel_one(self, vt_orderid: str) -> None:
|
||
try:
|
||
idx = int(vt_orderid.rsplit(".", 1)[-1]) - 1
|
||
if 0 <= idx < len(self.pending_orders):
|
||
self.pending_orders.pop(idx)
|
||
except (ValueError, IndexError):
|
||
logger.warning("cancel_order 找不到 %s", vt_orderid)
|
||
|
||
def on_bar(self, bar) -> None:
|
||
"""逐根 bar：清空上一根 pending，转发策略 on_bar（策略内调 send_order 收集新单）。"""
|
||
self.pending_orders = []
|
||
if self.strategy is not None:
|
||
self.strategy.on_bar(bar)
|
||
|
||
def pop_orders(self) -> list[PaperOrder]:
|
||
"""PaperEngine 撮合后取走 pending_orders。"""
|
||
orders = self.pending_orders
|
||
self.pending_orders = []
|
||
return orders
|