vnpy_scripttrader 1.0.3__py3-none-any.whl

vnpy_scripttrader/__init__.py

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+# The MIT License (MIT)
+#
+# Copyright (c) 2015-present, Xiaoyou Chen
+#
+# Permission is hereby granted, free of charge, to any person obtaining a copy
+# of this software and associated documentation files (the "Software"), to deal
+# in the Software without restriction, including without limitation the rights
+# to use, copy, modify, merge, publish, distribute, sublicense, and/or sell
+# copies of the Software, and to permit persons to whom the Software is
+# furnished to do so, subject to the following conditions:
+#
+# The above copyright notice and this permission notice shall be included in all
+# copies or substantial portions of the Software.
+#
+# THE SOFTWARE IS PROVIDED "AS IS", WITHOUT WARRANTY OF ANY KIND, EXPRESS OR
+# IMPLIED, INCLUDING BUT NOT LIMITED TO THE WARRANTIES OF MERCHANTABILITY,
+# FITNESS FOR A PARTICULAR PURPOSE AND NONINFRINGEMENT. IN NO EVENT SHALL THE
+# AUTHORS OR COPYRIGHT HOLDERS BE LIABLE FOR ANY CLAIM, DAMAGES OR OTHER
+# LIABILITY, WHETHER IN AN ACTION OF CONTRACT, TORT OR OTHERWISE, ARISING FROM,
+# OUT OF OR IN CONNECTION WITH THE SOFTWARE OR THE USE OR OTHER DEALINGS IN THE
+# SOFTWARE.
+
+
+from pathlib import Path
+
+import importlib_metadata
+from vnpy.trader.app import BaseApp
+
+from .engine import ScriptEngine, APP_NAME
+from .cli import init_cli_trading
+
+try:
+    __version__ = importlib_metadata.version("vnpy_scripttrader")
+except importlib_metadata.PackageNotFoundError:
+    __version__ = "dev"
+
+
+class ScriptTraderApp(BaseApp):
+    """"""
+
+    app_name: str = APP_NAME
+    app_module: str = __module__
+    app_path: Path = Path(__file__).parent
+    display_name: str = "脚本策略"
+    engine_class: ScriptEngine = ScriptEngine
+    widget_name: str = "ScriptManager"
+    icon_name: str = str(app_path.joinpath("ui", "script.ico"))

vnpy_scripttrader/cli.py

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+from typing import Sequence, Type
+
+from vnpy.event import EventEngine, Event
+from vnpy.trader.engine import MainEngine
+from vnpy.trader.gateway import BaseGateway
+from vnpy.trader.event import EVENT_LOG
+from vnpy.trader.object import LogData
+
+from .engine import ScriptEngine, BaseEngine
+
+
+def process_log_event(event: Event) -> None:
+    """"""
+    log: LogData = event.data
+    print(f"{log.time}\t{log.msg}")
+
+
+def init_cli_trading(gateways: Sequence[Type[BaseGateway]]) -> BaseEngine:
+    """"""
+    event_engine: EventEngine = EventEngine()
+    event_engine.register(EVENT_LOG, process_log_event)
+
+    main_engine: MainEngine = MainEngine(event_engine)
+    for gateway in gateways:
+        main_engine.add_gateway(gateway)
+
+    script_engine: ScriptEngine = main_engine.add_engine(ScriptEngine)
+
+    return script_engine

vnpy_scripttrader/engine.py

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+import sys
+import importlib
+import traceback
+from types import ModuleType
+from typing import Optional, Sequence, Any, List
+from pathlib import Path
+from datetime import datetime
+from threading import Thread
+
+from pandas import DataFrame
+
+from vnpy.event import Event, EventEngine
+from vnpy.trader.engine import BaseEngine, MainEngine
+from vnpy.trader.constant import Direction, Offset, OrderType, Interval
+from vnpy.trader.object import (
+    BaseData,
+    OrderRequest,
+    HistoryRequest,
+    SubscribeRequest,
+    TickData,
+    OrderData,
+    TradeData,
+    PositionData,
+    AccountData,
+    ContractData,
+    LogData,
+    BarData,
+    CancelRequest
+)
+from vnpy.trader.datafeed import BaseDatafeed, get_datafeed
+
+
+APP_NAME = "ScriptTrader"
+
+EVENT_SCRIPT_LOG = "eScriptLog"
+
+
+class ScriptEngine(BaseEngine):
+    """"""
+    setting_filename: str = "script_trader_setting.json"
+
+    def __init__(self, main_engine: MainEngine, event_engine: EventEngine) -> None:
+        """"""
+        super().__init__(main_engine, event_engine, APP_NAME)
+
+        self.strategy_active: bool = False
+        self.strategy_thread: Thread = None
+
+        self.datafeed: BaseDatafeed = get_datafeed()
+
+    def init(self) -> None:
+        """启动策略引擎"""
+        result: bool = self.datafeed.init()
+        if result:
+            self.write_log("数据服务初始化成功")
+
+    def start_strategy(self, script_path: str) -> None:
+        """运行策略线程中的策略方法"""
+        if self.strategy_active:
+            return
+        self.strategy_active: bool = True
+
+        self.strategy_thread: Thread = Thread(
+            target=self.run_strategy, args=(script_path,))
+        self.strategy_thread.start()
+
+        self.write_log("策略交易脚本启动")
+
+    def run_strategy(self, script_path: str) -> None:
+        """加载策略脚本并调用run函数"""
+        path: Path = Path(script_path)
+        sys.path.append(str(path.parent))
+
+        script_name: str = path.parts[-1]
+        module_name: str = script_name.replace(".py", "")
+
+        try:
+            module: ModuleType = importlib.import_module(module_name)
+            importlib.reload(module)
+            module.run(self)
+        except Exception:
+            msg: str = f"触发异常已停止\n{traceback.format_exc()}"
+            self.write_log(msg)
+
+    def stop_strategy(self) -> None:
+        """停止运行中的策略"""
+        if not self.strategy_active:
+            return
+        self.strategy_active: bool = False
+
+        if self.strategy_thread:
+            self.strategy_thread.join()
+        self.strategy_thread: Thread = None
+
+        self.write_log("策略交易脚本停止")
+
+    def connect_gateway(self, setting: dict, gateway_name: str) -> None:
+        """"""
+        self.main_engine.connect(setting, gateway_name)
+
+    def send_order(
+        self,
+        vt_symbol: str,
+        price: float,
+        volume: float,
+        direction: Direction,
+        offset: Offset,
+        order_type: OrderType
+    ) -> str:
+        """"""
+        contract: Optional[ContractData] = self.get_contract(vt_symbol)
+        if not contract:
+            return ""
+
+        req: OrderRequest = OrderRequest(
+            symbol=contract.symbol,
+            exchange=contract.exchange,
+            direction=direction,
+            type=order_type,
+            volume=volume,
+            price=price,
+            offset=offset,
+            reference=APP_NAME
+        )
+
+        vt_orderid: str = self.main_engine.send_order(req, contract.gateway_name)
+        return vt_orderid
+
+    def subscribe(self, vt_symbols) -> None:
+        """"""
+        for vt_symbol in vt_symbols:
+            contract: Optional[ContractData] = self.main_engine.get_contract(vt_symbol)
+            if contract:
+                req: SubscribeRequest = SubscribeRequest(
+                    symbol=contract.symbol,
+                    exchange=contract.exchange
+                )
+                self.main_engine.subscribe(req, contract.gateway_name)
+
+    def buy(
+        self,
+        vt_symbol: str,
+        price: float,
+        volume: float,
+        order_type: OrderType = OrderType.LIMIT
+    ) -> str:
+        """"""
+        return self.send_order(vt_symbol, price, volume, Direction.LONG, Offset.OPEN, order_type)
+
+    def sell(
+        self,
+        vt_symbol: str,
+        price: float,
+        volume: float,
+        order_type: OrderType = OrderType.LIMIT
+    ) -> str:
+        """"""
+        return self.send_order(vt_symbol, price, volume, Direction.SHORT, Offset.CLOSE, order_type)
+
+    def short(
+        self,
+        vt_symbol: str,
+        price: float,
+        volume: float,
+        order_type: OrderType = OrderType.LIMIT
+    ) -> str:
+        """"""
+        return self.send_order(vt_symbol, price, volume, Direction.SHORT, Offset.OPEN, order_type)
+
+    def cover(
+        self,
+        vt_symbol: str,
+        price: float,
+        volume: float,
+        order_type: OrderType = OrderType.LIMIT
+    ) -> str:
+        """"""
+        return self.send_order(vt_symbol, price, volume, Direction.LONG, Offset.CLOSE, order_type)
+
+    def cancel_order(self, vt_orderid: str) -> None:
+        """"""
+        order: Optional[OrderData] = self.get_order(vt_orderid)
+        if not order:
+            return
+
+        req: CancelRequest = order.create_cancel_request()
+        self.main_engine.cancel_order(req, order.gateway_name)
+
+    def get_tick(self, vt_symbol: str, use_df: bool = False) -> Optional[TickData]:
+        """"""
+        return get_data(self.main_engine.get_tick, arg=vt_symbol, use_df=use_df)
+
+    def get_ticks(self, vt_symbols: Sequence[str], use_df: bool = False) -> Sequence[TickData]:
+        """"""
+        ticks: list = []
+        for vt_symbol in vt_symbols:
+            tick: Optional[TickData] = self.main_engine.get_tick(vt_symbol)
+            ticks.append(tick)
+
+        if not use_df:
+            return ticks
+        else:
+            return to_df(ticks)
+
+    def get_order(self, vt_orderid: str, use_df: bool = False) -> Optional[OrderData]:
+        """"""
+        return get_data(self.main_engine.get_order, arg=vt_orderid, use_df=use_df)
+
+    def get_orders(self, vt_orderids: Sequence[str], use_df: bool = False) -> Sequence[OrderData]:
+        """"""
+        orders: list = []
+        for vt_orderid in vt_orderids:
+            order: Optional[OrderData] = self.main_engine.get_order(vt_orderid)
+            orders.append(order)
+
+        if not use_df:
+            return orders
+        else:
+            return to_df(orders)
+
+    def get_trades(self, vt_orderid: str, use_df: bool = False) -> Sequence[TradeData]:
+        """"""
+        trades: list = []
+        all_trades: List[TradeData] = self.main_engine.get_all_trades()
+
+        for trade in all_trades:
+            if trade.vt_orderid == vt_orderid:
+                trades.append(trade)
+
+        if not use_df:
+            return trades
+        else:
+            return to_df(trades)
+
+    def get_all_active_orders(self, use_df: bool = False) -> Sequence[OrderData]:
+        """"""
+        return get_data(self.main_engine.get_all_active_orders, use_df=use_df)
+
+    def get_contract(self, vt_symbol, use_df: bool = False) -> Optional[ContractData]:
+        """"""
+        return get_data(self.main_engine.get_contract, arg=vt_symbol, use_df=use_df)
+
+    def get_all_contracts(self, use_df: bool = False) -> Sequence[ContractData]:
+        """"""
+        return get_data(self.main_engine.get_all_contracts, use_df=use_df)
+
+    def get_account(self, vt_accountid: str, use_df: bool = False) -> Optional[AccountData]:
+        """"""
+        return get_data(self.main_engine.get_account, arg=vt_accountid, use_df=use_df)
+
+    def get_all_accounts(self, use_df: bool = False) -> Sequence[AccountData]:
+        """"""
+        return get_data(self.main_engine.get_all_accounts, use_df=use_df)
+
+    def get_position(self, vt_positionid: str, use_df: bool = False) -> Optional[PositionData]:
+        """"""
+        return get_data(self.main_engine.get_position, arg=vt_positionid, use_df=use_df)
+
+    def get_position_(self, vt_symbol: str, direction: Direction, use_df: bool = False) -> PositionData:
+        """"""
+        contract: ContractData = self.main_engine.get_contract(vt_symbol)
+        if not contract:
+            return None
+
+        vt_positionid: str = f"{contract.gateway_name}.{contract.vt_symbol}.{direction.value}"
+        return get_data(self.main_engine.get_position, arg=vt_positionid, use_df=use_df)
+
+    def get_all_positions(self, use_df: bool = False) -> Sequence[PositionData]:
+        """"""
+        return get_data(self.main_engine.get_all_positions, use_df=use_df)
+
+    def get_bars(
+        self,
+        vt_symbol: str,
+        start_date: str,
+        interval: Interval,
+        use_df: bool = False
+    ) -> Sequence[BarData]:
+        """"""
+        contract: Optional[ContractData] = self.main_engine.get_contract(vt_symbol)
+        if not contract:
+            return []
+
+        start: datetime = datetime.strptime(start_date, "%Y%m%d")
+        end: datetime = datetime.now()
+
+        req: HistoryRequest = HistoryRequest(
+            symbol=contract.symbol,
+            exchange=contract.exchange,
+            start=start,
+            end=end,
+            interval=interval
+        )
+
+        return get_data(self.datafeed.query_bar_history, arg=req, use_df=use_df)
+
+    def write_log(self, msg: str) -> None:
+        """"""
+        log: LogData = LogData(msg=msg, gateway_name=APP_NAME)
+        print(f"{log.time}\t{log.msg}")
+
+        event: Event = Event(EVENT_SCRIPT_LOG, log)
+        self.event_engine.put(event)
+
+    def send_email(self, msg: str) -> None:
+        """"""
+        subject: str = "脚本策略引擎通知"
+        self.main_engine.send_email(subject, msg)
+
+
+def to_df(data_list: Sequence) -> Optional[DataFrame]:
+    """"""
+    if not data_list:
+        return None
+
+    dict_list: list = [data.__dict__ for data in data_list if data]
+    return DataFrame(dict_list)
+
+
+def get_data(func: callable, arg: Any = None, use_df: bool = False) -> Optional[BaseData]:
+    """"""
+    if not arg:
+        data = func()
+    else:
+        data = func(arg)
+
+    if not use_df:
+        return data
+    elif data is None:
+        return data
+    else:
+        if not isinstance(data, list):
+            data: list = [data]
+        return to_df(data)

vnpy_scripttrader/ui/__init__.py

@@ -0,0 +1 @@
+from .widget import ScriptManager

vnpy_scripttrader/ui/widget.py

@@ -0,0 +1,103 @@
+from pathlib import Path
+
+from vnpy.event import EventEngine, Event
+from vnpy.trader.engine import MainEngine
+from vnpy.trader.ui import QtWidgets, QtCore
+from vnpy.trader.object import LogData
+from ..engine import APP_NAME, EVENT_SCRIPT_LOG, BaseEngine
+
+
+class ScriptManager(QtWidgets.QWidget):
+    """"""
+    signal_log: QtCore.Signal = QtCore.Signal(Event)
+
+    def __init__(self, main_engine: MainEngine, event_engine: EventEngine) -> None:
+        """"""
+        super().__init__()
+
+        self.main_engine: MainEngine = main_engine
+        self.event_engine: EventEngine = event_engine
+
+        self.script_engine: BaseEngine = main_engine.get_engine(APP_NAME)
+
+        self.script_path: str = ""
+
+        self.init_ui()
+        self.register_event()
+
+        self.script_engine.init()
+
+    def init_ui(self) -> None:
+        """"""
+        self.setWindowTitle("脚本策略")
+
+        start_button: QtWidgets.QPushButton = QtWidgets.QPushButton("启动")
+        start_button.clicked.connect(self.start_script)
+
+        stop_button: QtWidgets.QPushButton = QtWidgets.QPushButton("停止")
+        stop_button.clicked.connect(self.stop_script)
+
+        select_button: QtWidgets.QPushButton = QtWidgets.QPushButton("打开")
+        select_button.clicked.connect(self.select_script)
+
+        self.strategy_line: QtWidgets.QLineEdit = QtWidgets.QLineEdit()
+
+        self.log_monitor: QtWidgets.QTextEdit = QtWidgets.QTextEdit()
+        self.log_monitor.setReadOnly(True)
+
+        clear_button: QtWidgets.QPushButton = QtWidgets.QPushButton("清空")
+        clear_button.clicked.connect(self.log_monitor.clear)
+
+        hbox: QtWidgets.QHBoxLayout = QtWidgets.QHBoxLayout()
+        hbox.addWidget(self.strategy_line)
+        hbox.addWidget(select_button)
+        hbox.addWidget(start_button)
+        hbox.addWidget(stop_button)
+        hbox.addStretch()
+        hbox.addWidget(clear_button)
+
+        vbox: QtWidgets.QVBoxLayout = QtWidgets.QVBoxLayout()
+        vbox.addLayout(hbox)
+        vbox.addWidget(self.log_monitor)
+
+        self.setLayout(vbox)
+
+    def register_event(self) -> None:
+        """"""
+        self.signal_log.connect(self.process_log_event)
+
+        self.event_engine.register(EVENT_SCRIPT_LOG, self.signal_log.emit)
+
+    def show(self) -> None:
+        """"""
+        self.showMaximized()
+
+    def process_log_event(self, event: Event) -> None:
+        """"""
+        log: LogData = event.data
+        msg: str = f"{log.time}\t{log.msg}"
+        self.log_monitor.append(msg)
+
+    def start_script(self) -> None:
+        """"""
+        if self.script_path:
+            self.script_engine.start_strategy(self.script_path)
+
+    def stop_script(self) -> None:
+        """"""
+        self.script_engine.stop_strategy()
+
+    def select_script(self) -> None:
+        """"""
+        cwd: str = str(Path.cwd())
+
+        path, type_ = QtWidgets.QFileDialog.getOpenFileName(
+            self,
+            u"载入策略脚本",
+            cwd,
+            "Python File(*.py)"
+        )
+
+        if path:
+            self.script_path = path
+            self.strategy_line.setText(path)

vnpy_scripttrader-1.0.3.dist-info/METADATA

@@ -0,0 +1,59 @@
+Metadata-Version: 2.4
+Name: vnpy_scripttrader
+Version: 1.0.3
+Summary: Script trading application for VeighNa quant trading framework.
+Home-page: https://www.vnpy.com
+Author: Xiaoyou Chen
+Author-email: xiaoyou.chen@mail.vnpy.com
+License: MIT
+Keywords: quant,quantitative,investment,trading,algotrading
+Classifier: Development Status :: 5 - Production/Stable
+Classifier: Operating System :: OS Independent
+Classifier: Programming Language :: Python :: 3
+Classifier: Programming Language :: Python :: 3.10
+Classifier: Programming Language :: Python :: 3.11
+Classifier: Programming Language :: Python :: 3.12
+Classifier: Programming Language :: Python :: 3.13
+Classifier: Topic :: Office/Business :: Financial :: Investment
+Classifier: Programming Language :: Python :: Implementation :: CPython
+Classifier: License :: OSI Approved :: MIT License
+Classifier: Natural Language :: Chinese (Simplified)
+Description-Content-Type: text/markdown
+License-File: LICENSE
+Requires-Dist: importlib_metadata
+Requires-Dist: pandas
+Dynamic: license-file
+
+# VeighNa框架的脚本交易模块
+
+<p align="center">
+  <img src ="https://vnpy.oss-cn-shanghai.aliyuncs.com/vnpy-logo.png"/>
+</p>
+
+<p align="center">
+    <img src ="https://img.shields.io/badge/version-1.0.3-blueviolet.svg"/>
+    <img src ="https://img.shields.io/badge/platform-windows|linux|macos-yellow.svg"/>
+    <img src ="https://img.shields.io/badge/python-3.10|3.11|3.12|3.13-blue.svg" />
+    <img src ="https://img.shields.io/github/license/vnpy/vnpy.svg?color=orange"/>
+</p>
+
+## 说明
+
+ScriptTrader是用于交易脚本执行的功能模块，和其他策略模块最大的区别在于其基于【时间驱动】的【同步逻辑】，也支持在命令行（Jupyter Notebook）中以REPL指令形式的进行交易操作，该模块没有回测功能。
+
+## 安装
+
+安装环境推荐基于3.0.0版本以上的【[**VeighNa Studio**](https://www.vnpy.com)】。
+
+直接使用pip命令：
+
+```
+pip install vnpy_scripttrader
+```
+
+
+或者下载源代码后，解压后在cmd中运行：
+
+```
+pip install .
+```

vnpy_scripttrader-1.0.3.dist-info/RECORD

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+vnpy_scripttrader-1.0.3.dist-info/licenses/LICENSE,sha256=PhdGUM_j-YTyaMqZFRcSqAUQU4nVwDzC4I1584GpKvg,1109
+vnpy_scripttrader-1.0.3.dist-info/METADATA,sha256=ijlw_L68YmhBcnbq773Eo0faWDi1DeN0RsswCWp4Dok,2120
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vnpy_scripttrader-1.0.3.dist-info/WHEEL

@@ -0,0 +1,5 @@
+Wheel-Version: 1.0
+Generator: setuptools (78.1.0)
+Root-Is-Purelib: true
+Tag: py3-none-any
+

vnpy_scripttrader-1.0.3.dist-info/licenses/LICENSE

@@ -0,0 +1,21 @@
+The MIT License (MIT)
+
+Copyright (c) 2015-present, Xiaoyou Chen
+
+Permission is hereby granted, free of charge, to any person obtaining a copy
+of this software and associated documentation files (the "Software"), to deal
+in the Software without restriction, including without limitation the rights
+to use, copy, modify, merge, publish, distribute, sublicense, and/or sell
+copies of the Software, and to permit persons to whom the Software is
+furnished to do so, subject to the following conditions:
+
+The above copyright notice and this permission notice shall be included in all
+copies or substantial portions of the Software.
+
+THE SOFTWARE IS PROVIDED "AS IS", WITHOUT WARRANTY OF ANY KIND, EXPRESS OR
+IMPLIED, INCLUDING BUT NOT LIMITED TO THE WARRANTIES OF MERCHANTABILITY,
+FITNESS FOR A PARTICULAR PURPOSE AND NONINFRINGEMENT. IN NO EVENT SHALL THE
+AUTHORS OR COPYRIGHT HOLDERS BE LIABLE FOR ANY CLAIM, DAMAGES OR OTHER
+LIABILITY, WHETHER IN AN ACTION OF CONTRACT, TORT OR OTHERWISE, ARISING FROM,
+OUT OF OR IN CONNECTION WITH THE SOFTWARE OR THE USE OR OTHER DEALINGS IN THE
+SOFTWARE.

vnpy_scripttrader-1.0.3.dist-info/top_level.txt

@@ -0,0 +1 @@
+vnpy_scripttrader