vnpy社区

• https://www.vnpy.com/forum/
• 注册账号，colderleo，g7
• vnpy作者：陈晓优，QQ418225424

使用文档

https://www.vnpy.com/docs/cn/index.html

期权定价模型

隐含波动率 vnpy\app\option_master\pricing\black_76.py calculate_impv

RQData

• RQData通过vnpy试用

(418225424)：最近很多人问RQData试用申请的问题，找米筐那边沟通了下，现在通过vn.py专用的RQDATA页面申请试用，不需要上传名片：https://www.ricequant.com/welcome/purchase?utm_source=vnpy 另外RQData也已经推出国内期权的数据服务，vn.py这边也已经全部完成对接支持，实盘可以和之前期货一样完全无缝使用

• RQData替换为免费的天勤SDK

https://www.vnpy.com/forum/topic/2780-shi-yong-mian-fei-de-tian-qin-sdkshu-ju-ti-huan-fu-fei-de-rqdata

https SSLError

https://www.cnblogs.com/hum0ro/p/9536033.html 只要安装一下几个requests依赖包就可以解决此问题。试了之后解决不了，应该是代理的原因。

pip install cryptography 
pip install pyOpenSSL
pip install certifi

各个平台的交易品种代码

vt_symbol，合约.交易所，如：IF1905.CFFEX

连上交易所后，在‘帮助-合约查询’中可以查到交易所的所有合约（区分大小写）。常用的：

• XBTUSD.BITMEX
• BTC-USDT.OKEX
• btcusdt.HUOBI
• au2004.SHFE，黄金-上海期货
• IF2005.CFFEX，沪深300股指期货-中金
• BTCUSD.BYBIT
• BTCUSDT.BINANCE

源码

cta_strategy 策略onticker

2.11每个策略只触发它自己对应的onticker。2.12版本加入了单策略多品种，还没看。

vnpy\app\cta_strategy\engine.py

    def process_tick_event(self, event: Event):
        """"""
        tick = event.data

        strategies = self.symbol_strategy_map[tick.vt_symbol]
        if not strategies:
            return

        self.check_stop_order(tick)

        for strategy in strategies:
            if strategy.inited:
                self.call_strategy_func(strategy, strategy.on_tick, tick)

gateway的名字

# 通过下面的方式可以获取gateway的实例。
gateway_name = 'BINANCEF'
main_engine.get_gateway(gateway_name)

# 这里的gateway_name是在gateway初始化的时候定义的，例如 binancef_gateway.py中
class BinancefGateway(BaseGateway):
    def __init__(self, event_engine: EventEngine):
        super().__init__(event_engine, "BINANCEF")

vt_symbol

# 通过vt_symbol获取gateway
	contract:ContractData = main_engine.get_contract(vt_symbol)
	if contract:
		gateway = main_engine.get_gateway(contract.gateway_name)

gateway: _ensure_connection

vnpy\api\websocket\websocket_client.py

    def _ensure_connection(self):
        """"""
        triggered = False
        with self._ws_lock:
            if self._ws is None:
                self._ws = self._create_connection(
                    self.host,
                    sslopt={"cert_reqs": ssl.CERT_NONE},
                    http_proxy_host=self.proxy_host,
                    http_proxy_port=self.proxy_port,
                    header=self.header
                )
                triggered = True 
		# 上面的self._create_connection()函数如果失败会抛出异常，如果没有抛出异常则表示成功连接
        # 成功连接时执行下面的on_connected()
        if triggered:  
            self.on_connected()

使用日志

各个模块的日志如果要打印出来，需要将其log type注册到event_engine中。

log_engine:LogEngine = main_engine.get_engine('log')
self.recorder_engine.event_engine.register(EVENT_RECORDER_LOG, \
	log_engine.process_log_event)

bug 修改

bybit加了一行类型转换

vnpy\gateway\bybit\bybit_gateway.py

class BybitRestApi(RestClient):
    def on_query_contract(self, data: dict, request: Request):
                # pricetick=d["price_filter"]["tick_size"],
                pricetick=float(d["price_filter"]["tick_size"]),

spread添加精度保留小数

有的交易所会提示精度要求太高。

vnpy\app\spread_trading\template.py

class SpreadAlgoTemplate:
	def send_order(
        leg = self.spread.legs[vt_symbol]
        volume = round_to(volume, leg.min_volume)
        
        # add float precious round. some exchanges don't accept too high precious
        price = round(price, 6)

data_recorder 写日志报错

    def write_log(self, msg: str):
        """"""
        log = LogData(msg=msg, gateway_name=APP_NAME)
        event = Event(type=EVENT_RECORDER_LOG, data=log)
        self.event_engine.put(event)

        # 原来的
        # event = Event(
        #     EVENT_RECORDER_LOG,
        #     msg
        # )
        # self.event_engine.put(event)

功能修改

websocket加上额外的expcet类型

vnpy\api\websocket\websocket_client.py

E:\gaoliu\mycode\vntest\vnpy\api\websocket\websocket_client.py
    
class WebsocketClient:
    def _run(self):
        try:
            while self._active:
                try:
                    self._ensure_connection()
					...
                # ws is closed before recv function is called
                # For socket.error, see Issue #1608
                except (
                    websocket.WebSocketConnectionClosedException,
                    websocket.WebSocketBadStatusException,
                    socket.error,
                    websocket.WebSocketAddressException,  # 加上额外的expcet类型
                ):

settings

vnpy\app\data_recorder\engine.py

    
    def load_setting(self):
    	# 原来的
    	setting = load_json(self.setting_filename)
        self.tick_recordings = setting.get("tick", {})
        self.bar_recordings = setting.get("bar", {})
	
    	# 修改
        self.tick_recordings = {}
        self.bar_recordings = {}
    
    
    def save_setting(self):
        # 修改为直接return

火币加上行情resubscribe

websocket重连时，重新订阅行情。后面用一个线程监控tick数据，如果3秒没有就resubscribe，这个不需要了。

class HuobiGateway(BaseGateway):
    def __init__(self, event_engine):
        self.subscribed: Dict[str, SubscribeRequest] = {}
            
    def resubscribe(self):
        for req in self.subscribed.values():
            self.subscribe(req)
            
    def subscribe(self, req: SubscribeRequest):
        self.subscribed[req.symbol] = req 
        
        
class HuobiTradeWebsocketApi(HuobiWebsocketApiBase):
    def on_login(self):
        self.gateway.write_log("交易Websocket API登录成功")
        self.gateway.resubscribe()

日志加上gateway

vnpy\trader\object.py
class LogData(BaseData):
    def __post_init__(self):
        self.time = datetime.now()
        self.msg = f'{self.gateway_name}  {self.msg}'  # add

增加MainUi替换原来的MainWindow

• 增加文件vnpy\trader\ui\main_ui.py
• vnpy\trader\ui\widget.py 中增加 class GatewayWidget