vnpy_spreadtrading 1.2.6__tar.gz

vnpy_spreadtrading-1.2.6/LICENSE

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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.

vnpy_spreadtrading-1.2.6/PKG-INFO

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+Metadata-Version: 2.4
+Name: vnpy_spreadtrading
+Version: 1.2.6
+Summary: Spread 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)
+Requires-Python: >=3.10
+Description-Content-Type: text/markdown
+License-File: LICENSE
+Requires-Dist: numpy
+Requires-Dist: pandas
+Requires-Dist: plotly
+Dynamic: license-file
+
+# VeighNa框架的价差交易模块
+
+<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-1.2.6-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
+
+针对多条合约腿价差交易设计的应用模块，覆盖价差盘口计算、价差算法执行、价差策略开发的全流程业务功能。
+
+## 注意
+
+不支持使用交易所套利单组成的价差交易合约。
+
+## 安装
+
+安装环境推荐基于3.9.0版本以上的【[**VeighNa Studio**](https://www.vnpy.com)】。
+
+直接使用pip命令：
+
+```
+pip install vnpy_spreadtrading
+```
+
+
+或者下载源代码后，解压后在cmd中运行：
+
+```
+pip install .
+```

vnpy_spreadtrading-1.2.6/README.md

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+# VeighNa框架的价差交易模块
+
+<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-1.2.6-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
+
+针对多条合约腿价差交易设计的应用模块，覆盖价差盘口计算、价差算法执行、价差策略开发的全流程业务功能。
+
+## 注意
+
+不支持使用交易所套利单组成的价差交易合约。
+
+## 安装
+
+安装环境推荐基于3.9.0版本以上的【[**VeighNa Studio**](https://www.vnpy.com)】。
+
+直接使用pip命令：
+
+```
+pip install vnpy_spreadtrading
+```
+
+
+或者下载源代码后，解压后在cmd中运行：
+
+```
+pip install .
+```

vnpy_spreadtrading-1.2.6/setup.cfg

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+[metadata]
+name = vnpy_spreadtrading
+version = 1.2.6
+url = https://www.vnpy.com
+license = MIT
+author = Xiaoyou Chen
+author_email = xiaoyou.chen@mail.vnpy.com
+description = Spread trading application for VeighNa quant trading framework.
+long_description = file: README.md
+long_description_content_type = text/markdown
+keywords = 
+	quant
+	quantitative
+	investment
+	trading
+	algotrading
+classifiers = 
+	Development Status :: 5 - Production/Stable
+	Operating System :: OS Independent
+	Programming Language :: Python :: 3
+	Programming Language :: Python :: 3.10
+	Programming Language :: Python :: 3.11
+	Programming Language :: Python :: 3.12
+	Programming Language :: Python :: 3.13
+	Topic :: Office/Business :: Financial :: Investment
+	Programming Language :: Python :: Implementation :: CPython
+	License :: OSI Approved :: MIT License
+	Natural Language :: Chinese (Simplified)
+
+[options]
+packages = find:
+zip_safe = False
+python_requires = >=3.10
+install_requires = 
+	numpy
+	pandas
+	plotly
+
+[options.package_data]
+* = *.ico
+
+[egg_info]
+tag_build = 
+tag_date = 0
+

vnpy_spreadtrading-1.2.6/setup.py

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+from setuptools import setup
+
+
+setup()

vnpy_spreadtrading-1.2.6/vnpy_spreadtrading/__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 vnpy.trader.object import (
+    OrderData,
+    TradeData,
+    TickData,
+    BarData
+)
+
+from .engine import (
+    SpreadEngine,
+    APP_NAME,
+    SpreadData,
+    LegData,
+    SpreadStrategyTemplate,
+    SpreadAlgoTemplate
+)
+
+
+try:
+    __version__ = importlib_metadata.version("vnpy_spreadtrading")
+except importlib_metadata.PackageNotFoundError:
+    __version__ = "dev"
+
+
+class SpreadTradingApp(BaseApp):
+    """"""
+
+    app_name: str = APP_NAME
+    app_module: str = __module__
+    app_path: Path = Path(__file__).parent
+    display_name: str = "价差交易"
+    engine_class: SpreadEngine = SpreadEngine
+    widget_name: str = "SpreadManager"
+    icon_name: str = str(app_path.joinpath("ui", "spread.ico"))

vnpy_spreadtrading-1.2.6/vnpy_spreadtrading/algo.py

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+from typing import TYPE_CHECKING, Optional
+
+from vnpy.trader.constant import Direction
+from vnpy.trader.object import TickData, OrderData, TradeData, ContractData
+from vnpy.trader.utility import round_to
+
+from .template import SpreadAlgoTemplate
+from .base import SpreadData, LegData
+
+if TYPE_CHECKING:
+    from .engine import SpreadAlgoEngine
+
+
+class SpreadTakerAlgo(SpreadAlgoTemplate):
+    """"""
+    algo_name: str = "SpreadTaker"
+
+    def __init__(
+        self,
+        algo_engine: "SpreadAlgoEngine",
+        algoid: str,
+        spread: SpreadData,
+        direction: Direction,
+        price: float,
+        volume: float,
+        payup: int,
+        interval: int,
+        lock: bool,
+        extra: dict
+    ) -> None:
+        """"""
+        super().__init__(
+            algo_engine,
+            algoid,
+            spread,
+            direction,
+            price,
+            volume,
+            payup,
+            interval,
+            lock,
+            extra
+        )
+
+    def on_tick(self, tick: TickData) -> None:
+        """"""
+        # Return if there are any existing orders
+        if not self.is_order_finished():
+            return
+
+        # Hedge if active leg is not fully hedged
+        if not self.is_hedge_finished():
+            self.hedge_passive_legs()
+            return
+
+        # Return if tick not inited
+        if not self.spread.bid_volume or not self.spread.ask_volume:
+            return
+
+        # Otherwise check if should take active leg
+        if self.direction == Direction.LONG:
+            if self.spread.ask_price <= self.price:
+                self.take_active_leg()
+        else:
+            if self.spread.bid_price >= self.price:
+                self.take_active_leg()
+
+    def on_order(self, order: OrderData) -> None:
+        """"""
+        # Only care active leg order update
+        if order.vt_symbol != self.spread.active_leg.vt_symbol:
+            return
+
+        # Do nothing if still any existing orders
+        if not self.is_order_finished():
+            return
+
+        # Hedge passive legs if necessary
+        if not self.is_hedge_finished():
+            self.hedge_passive_legs()
+
+    def on_trade(self, trade: TradeData) -> None:
+        """"""
+        pass
+
+    def on_interval(self) -> None:
+        """"""
+        if not self.is_order_finished():
+            self.cancel_all_order()
+
+    def take_active_leg(self) -> None:
+        """"""
+        active_symbol: str = self.spread.active_leg.vt_symbol
+
+        # Calculate spread order volume of new round trade
+        spread_volume_left: float = self.target - self.traded
+
+        if self.direction == Direction.LONG:
+            spread_order_volume: float = self.spread.ask_volume
+            spread_order_volume = min(spread_order_volume, spread_volume_left)
+        else:
+            spread_order_volume: float = -self.spread.bid_volume
+            spread_order_volume = max(spread_order_volume, spread_volume_left)
+
+        # Calculate active leg order volume
+        leg_order_volume: float = self.spread.calculate_leg_volume(
+            active_symbol,
+            spread_order_volume
+        )
+
+        # Check active leg volume left
+        active_volume_target: float = self.spread.calculate_leg_volume(
+            active_symbol,
+            self.target
+        )
+        active_volume_traded: float = self.leg_traded[active_symbol]
+        active_volume_left: float = active_volume_target - active_volume_traded
+
+        # Limit order volume to total volume left of the active leg
+        if active_volume_left > 0:
+            leg_order_volume: float = min(leg_order_volume, active_volume_left)
+        else:
+            leg_order_volume: float = max(leg_order_volume, active_volume_left)
+
+        # Send active leg order
+        self.send_leg_order(
+            active_symbol,
+            leg_order_volume
+        )
+
+    def hedge_passive_legs(self) -> None:
+        """
+        Send orders to hedge all passive legs.
+        """
+        # Calcualte spread volume to hedge
+        active_leg: LegData = self.spread.active_leg
+        active_traded: float = self.leg_traded[active_leg.vt_symbol]
+        active_traded: float = round_to(active_traded, self.spread.min_volume)
+
+        hedge_volume: float = self.spread.calculate_spread_volume(
+            active_leg.vt_symbol,
+            active_traded
+        )
+
+        # Calculate passive leg target volume and do hedge
+        for leg in self.spread.passive_legs:
+            passive_traded: float = self.leg_traded[leg.vt_symbol]
+            passive_traded: float = round_to(passive_traded, self.spread.min_volume)
+
+            passive_target: float = self.spread.calculate_leg_volume(
+                leg.vt_symbol,
+                hedge_volume
+            )
+
+            leg_order_volume: float = passive_target - passive_traded
+            if leg_order_volume:
+                self.send_leg_order(leg.vt_symbol, leg_order_volume)
+
+    def send_leg_order(self, vt_symbol: str, leg_volume: float) -> None:
+        """"""
+        leg: LegData = self.spread.legs[vt_symbol]
+        leg_tick: Optional[TickData] = self.get_tick(vt_symbol)
+        leg_contract: Optional[ContractData] = self.get_contract(vt_symbol)
+
+        if leg_volume > 0:
+            price: float = leg_tick.ask_price_1 + leg_contract.pricetick * self.payup
+            self.send_order(leg.vt_symbol, price, abs(leg_volume), Direction.LONG)
+        elif leg_volume < 0:
+            price: float = leg_tick.bid_price_1 - leg_contract.pricetick * self.payup
+            self.send_order(leg.vt_symbol, price, abs(leg_volume), Direction.SHORT)