Merge branch 'dev' of https://github.com/vnpy/vnpy into dev

Author: vnpy

vnpy/app/portfolio_strategy/backtesting.py

@@ -42,7 +42,7 @@ def __init__(self):
         self.priceticks: Dict[str, float] = 0
 
         self.capital: float = 1_000_000
-        self.risk_free: float = 0.02
+        self.risk_free: float = 0
 
         self.strategy: StrategyTemplate = None
         self.bars: Dict[str, BarData] = {}
@@ -520,7 +520,8 @@ def new_bars(self, dt: datetime) -> None:
         self.cross_limit_order()
         self.strategy.on_bars(bars)
 
-        self.update_daily_close(self.bars, dt)
+        if self.strategy.inited:
+            self.update_daily_close(self.bars, dt)
 
     def cross_limit_order(self) -> None:
         """

vnpy/gateway/coinbase/coinbase_gateway.py

@@ -646,7 +646,6 @@ def on_query_instrument(self, data, request):
                 pricetick=float(d["quote_increment"]),
                 size=1,
                 min_volume=float(d["base_min_size"]),
-                net_position=True,
                 history_data=True,
                 gateway_name=self.gateway_name,
             )

vnpy/gateway/futu/futu_gateway.py

@@ -347,7 +347,7 @@ def query_position(self):
             pos = PositionData(
                 symbol=symbol,
                 exchange=exchange,
-                direction=Direction.LONG,
+                direction=Direction.NET,
                 volume=row["qty"],
                 frozen=(float(row["qty"]) - float(row["can_sell_qty"])),
                 price=float(row["cost_price"]),

vnpy/gateway/gateios/gateios_gateway.py

@@ -413,7 +413,8 @@ def on_query_contract(self, data, request):  # type: (dict, Request)->None
                 min_volume=d["order_size_min"],
                 product=Product.FUTURES,
                 gateway_name=self.gateway_name,
-                history_data=True
+                history_data=True,
+                net_position=True
             )
             self.gateway.on_contract(contract)
 

vnpy/gateway/gtja/gtja_gateway.py

@@ -401,6 +401,7 @@ def onSHBaseInfo(self, code, data):
             min_volume=data["i64BuyNumUnit"],
             pricetick=data["i64PriceLevel"] / 10000,
             size=1,
+            net_position=True
         )
         self.gateway.on_contract(contract)
         symbol_name_map[contract.vt_symbol] = contract.name
@@ -418,6 +419,7 @@ def onSZBaseInfo(self, code, data):
             min_volume=data["i64BuyQtyUnit"],
             pricetick=data.get("i64PriceTick", 100) / 10000,
             size=1,
+            net_position=True
         )
 
         self.gateway.on_contract(contract)

vnpy/gateway/ib/ib_gateway.py

@@ -12,22 +12,19 @@
 
 from copy import copy
 from datetime import datetime
-from queue import Empty
 from threading import Thread, Condition
 from typing import Optional
 import shelve
 from tzlocal import get_localzone
 
-from ibapi import comm
 from ibapi.client import EClient
-from ibapi.common import MAX_MSG_LEN, NO_VALID_ID, OrderId, TickAttrib, TickerId
+from ibapi.common import OrderId, TickAttrib, TickerId
 from ibapi.contract import Contract, ContractDetails
 from ibapi.execution import Execution
 from ibapi.order import Order
 from ibapi.order_state import OrderState
 from ibapi.ticktype import TickType, TickTypeEnum
 from ibapi.wrapper import EWrapper
-from ibapi.errors import BAD_LENGTH
 from ibapi.common import BarData as IbBarData
 
 from vnpy.trader.gateway import BaseGateway
@@ -89,7 +86,8 @@
     Exchange.BATS: "BATS",
     Exchange.IEX: "IEX",
     Exchange.IBKRATS: "IBKRATS",
-    Exchange.OTC: "PINK"
+    Exchange.OTC: "PINK",
+    Exchange.SGX: "SGX"
 }
 EXCHANGE_IB2VT = {v: k for k, v in EXCHANGE_VT2IB.items()}
 
@@ -110,7 +108,8 @@
     "CMDTY": Product.SPOT,
     "FUT": Product.FUTURES,
     "OPT": Product.OPTION,
-    "FOT": Product.OPTION
+    "FOT": Product.OPTION,
+    "CONTFUT": Product.FUTURES
 }
 
 OPTION_VT2IB = {OptionType.CALL: "CALL", OptionType.PUT: "PUT"}
@@ -357,6 +356,8 @@ def tickPrice(  # pylint: disable=invalid-name
         # We need to calculate locally.
         exchange = self.tick_exchange[reqId]
         if exchange is Exchange.IDEALPRO or "CMDTY" in tick.symbol:
+            if not tick.bid_price_1 or not tick.ask_price_1:
+                return
             tick.last_price = (tick.bid_price_1 + tick.ask_price_1) / 2
             tick.datetime = datetime.now(self.local_tz)
         self.gateway.on_tick(copy(tick))
@@ -632,7 +633,11 @@ def historicalData(self, reqId: int, ib_bar: IbBarData):
         """
         Callback of history data update.
         """
-        dt = datetime.strptime(ib_bar.date, "%Y%m%d %H:%M:%S")
+        # When requesting daily and weekly history data, the date format is "%Y%m%d"
+        if len(ib_bar.date) > 8:
+            dt = datetime.strptime(ib_bar.date, "%Y%m%d %H:%M:%S")
+        else:
+            dt = datetime.strptime(ib_bar.date, "%Y%m%d")
         dt = self.local_tz.localize(dt)
 
         bar = BarData(

vnpy/gateway/kaisa/kaisa_gateway.py

@@ -45,7 +45,6 @@
 START_PUSH = 200
 STOP_PUSH = 201
 SYNCHRONIZE_PUSH = 250
-QUERY_HISTORY = 36
 QUERY_CONTRACT = 52
 ON_TICK = 251
 PING = 2
@@ -253,8 +252,8 @@ def _query_contract(self):
                     size=1,
                     min_volume=d["lotsize"],
                     product=Product.SPOT,
-                    history_data=True,
                     gateway_name=self.gateway_name,
+                    net_position=True
                 )
                 self.on_contract(contract)
 
@@ -525,7 +524,7 @@ def on_query_order(self, data: dict, request: Request) -> None:
                 )
                 self.gateway.on_trade(trade)
 
-        self.gateway.write_log(f"委托信息查询成功")
+        self.gateway.write_log("委托信息查询成功")
         self.gateway.write_log("成交查询成功")
 
     def on_send_order(self, data: dict, request: Request) -> None:

vnpy/gateway/sec/sec_gateway.py

@@ -849,6 +849,7 @@ def onRspStockQryStockStaticInfo(self, data: dict, error: dict, last: bool) -> N
                 size=data["tradeUnit"],
                 pricetick=0.001,
                 product=Product.EQUITY,
+                net_position=True,
                 gateway_name=self.gateway_name
             )
             self.gateway.on_contract(contract)
@@ -921,7 +922,7 @@ def onRspStockQryPosition(self, data: dict, error: dict, last: bool) -> None:
         pos = PositionData(
             symbol=data["securityID"],
             exchange=EXCHANGE_SEC2VT[data["exchangeID"]],
-            direction=Direction.NEt,
+            direction=Direction.NET,
             volume=data["totalQty"],
             price=data["avgPositionPrice"],
             gateway_name=self.gateway_name

vnpy/gateway/tora/toraoption_gateway.py

@@ -884,6 +884,8 @@ def send_order(self, req: OrderRequest):
         )
         self.api.ReqOrderInsert(info, self.reqid)
 
+        return f"{self.gateway_name}.{order_id}"
+
     def cancel_order(self, req: CancelRequest) -> None:
         """"""
         self.reqid += 1

vnpy/gateway/tora/torastock_gateway.py

@@ -848,6 +848,8 @@ def send_order(self, req: OrderRequest):
         )
         self.api.ReqOrderInsert(info, self.reqid)
 
+        return f"{self.gateway_name}.{order_id}"
+
     def cancel_order(self, req: CancelRequest) -> None:
         """"""
         self.reqid += 1