Merge branch 'dev' into dev

Author: vnpy

.gitignore

@@ -1,5 +1,6 @@
 # Python
 *.pyc
+*.pyo
 *.egg-info/
 
 # Jupyter
@@ -33,4 +34,4 @@ _static
 _templates
 
 # Misc
-.DS_Store
+.DS_Store

README.md

@@ -108,6 +108,8 @@ vn.py是一套基于Python的开源量化交易系统开发框架，于2015年1
 
     * script_trader：脚本策略模块，针对多标的组合类交易策略设计，同时也可以直接在命令行中实现REPL指令形式的交易，不支持回测功能
 
+    * portfolio_manager：投资组合模块，面向各类基本面交易策略，以独立的策略子账户为基础，提供交易仓位的自动跟踪以及盈亏实时统计功能
+
     * rpc_service：RPC服务模块，允许将某一VN Trader进程启动为服务端，作为统一的行情和交易路由通道，允许多客户端同时连接，实现多进程分布式系统
 
     * csv_loader：CSV历史数据加载器，用于加载CSV格式文件中的历史数据到平台数据库中，用于策略的回测研究以及实盘初始化等功能，支持自定义数据表头格式
@@ -130,7 +132,7 @@ vn.py是一套基于Python的开源量化交易系统开发框架，于2015年1
 
 ## 环境准备
 
-* 推荐使用vn.py团队为量化交易专门打造的Python发行版[VNStudio-2.0.7](https://download.vnpy.com/vnstudio-2.0.7.exe)，内置了最新版的vn.py框架以及VN Station量化管理平台，无需手动安装
+* 推荐使用vn.py团队为量化交易专门打造的Python发行版[VNStudio-2.0.8](https://download.vnpy.com/vnstudio-2.0.8.exe)，内置了最新版的vn.py框架以及VN Station量化管理平台，无需手动安装
 * 支持的系统版本：Windows 7以上/Windows Server 2008以上/Ubuntu 18.04 LTS
 * 支持的Python版本：Python 3.7 64位（**注意必须是Python 3.7 64位版本**）
 

appveyor.yml

@@ -13,6 +13,7 @@ vn.py项目文档
    data_recoder.md
    algo_trader.md
    script_trader.md
+   spread_trading.md
    rpc_service.md
    gateway.md
    database.md

docs/index.rst

@@ -8,7 +8,7 @@
 from vnpy.gateway.bitmex import BitmexGateway
 # from vnpy.gateway.futu import FutuGateway
 # from vnpy.gateway.ib import IbGateway
-# from vnpy.gateway.ctp import CtpGateway
+from vnpy.gateway.ctp import CtpGateway
 # from vnpy.gateway.ctptest import CtptestGateway
 # from vnpy.gateway.mini import MiniGateway
 # from vnpy.gateway.sopt import SoptGateway
@@ -36,7 +36,7 @@
 # from vnpy.app.cta_strategy import CtaStrategyApp
 # from vnpy.app.csv_loader import CsvLoaderApp
 # from vnpy.app.algo_trading import AlgoTradingApp
-# from vnpy.app.cta_backtester import CtaBacktesterApp
+from vnpy.app.cta_backtester import CtaBacktesterApp
 # from vnpy.app.data_recorder import DataRecorderApp
 # from vnpy.app.risk_manager import RiskManagerApp
 # from vnpy.app.script_trader import ScriptTraderApp
@@ -54,7 +54,7 @@ def main():
     main_engine = MainEngine(event_engine)
 
     # main_engine.add_gateway(BinanceGateway)
-    # main_engine.add_gateway(CtpGateway)
+    main_engine.add_gateway(CtpGateway)
     # main_engine.add_gateway(CtptestGateway)
     # main_engine.add_gateway(MiniGateway)
     # main_engine.add_gateway(SoptGateway)
@@ -83,7 +83,7 @@ def main():
     main_engine.add_gateway(BybitGateway)
 
     # main_engine.add_app(CtaStrategyApp)
-    # main_engine.add_app(CtaBacktesterApp)
+    main_engine.add_app(CtaBacktesterApp)
     # main_engine.add_app(CsvLoaderApp)
     # main_engine.add_app(AlgoTradingApp)
     # main_engine.add_app(DataRecorderApp)

examples/vn_trader/run.py

@@ -9,6 +9,7 @@ pymysql
 psycopg2
 mongoengine
 numpy
+pandas==0.24.2
 matplotlib
 seaborn
 futu-api

requirements.txt

@@ -895,7 +895,12 @@ def cross_stop_order(self):
             self.strategy.on_trade(trade)
 
     def load_bar(
-        self, vt_symbol: str, days: int, interval: Interval, callback: Callable
+        self,
+        vt_symbol: str,
+        days: int,
+        interval: Interval,
+        callback: Callable,
+        use_database: bool
     ):
         """"""
         self.days = days

vnpy/app/cta_strategy/backtesting.py

@@ -514,29 +514,33 @@ def load_bar(
         vt_symbol: str,
         days: int,
         interval: Interval,
-        callback: Callable[[BarData], None]
+        callback: Callable[[BarData], None],
+        use_database: bool
     ):
         """"""
         symbol, exchange = extract_vt_symbol(vt_symbol)
         end = datetime.now()
         start = end - timedelta(days)
+        bars = []
+
+        # Pass gateway and RQData if use_database set to True
+        if not use_database:
+            # Query bars from gateway if available
+            contract = self.main_engine.get_contract(vt_symbol)
+
+            if contract and contract.history_data:
+                req = HistoryRequest(
+                    symbol=symbol,
+                    exchange=exchange,
+                    interval=interval,
+                    start=start,
+                    end=end
+                )
+                bars = self.main_engine.query_history(req, contract.gateway_name)
 
-        # Query bars from gateway if available
-        contract = self.main_engine.get_contract(vt_symbol)
-
-        if contract and contract.history_data:
-            req = HistoryRequest(
-                symbol=symbol,
-                exchange=exchange,
-                interval=interval,
-                start=start,
-                end=end
-            )
-            bars = self.main_engine.query_history(req, contract.gateway_name)
-
-        # Try to query bars from RQData, if not found, load from database.
-        else:
-            bars = self.query_bar_from_rq(symbol, exchange, interval, start, end)
+            # Try to query bars from RQData, if not found, load from database.
+            else:
+                bars = self.query_bar_from_rq(symbol, exchange, interval, start, end)
 
         if not bars:
             bars = database_manager.load_bar_data(

vnpy/app/cta_strategy/engine.py

@@ -36,9 +36,7 @@ class AtrRsiStrategy(CtaTemplate):
 
     def __init__(self, cta_engine, strategy_name, vt_symbol, setting):
         """"""
-        super(AtrRsiStrategy, self).__init__(
-            cta_engine, strategy_name, vt_symbol, setting
-        )
+        super().__init__(cta_engine, strategy_name, vt_symbol, setting)
         self.bg = BarGenerator(self.on_bar)
         self.am = ArrayManager()
 

vnpy/app/cta_strategy/strategies/atr_rsi_strategy.py

@@ -39,9 +39,7 @@ class BollChannelStrategy(CtaTemplate):
 
     def __init__(self, cta_engine, strategy_name, vt_symbol, setting):
         """"""
-        super(BollChannelStrategy, self).__init__(
-            cta_engine, strategy_name, vt_symbol, setting
-        )
+        super().__init__(cta_engine, strategy_name, vt_symbol, setting)
 
         self.bg = BarGenerator(self.on_bar, 15, self.on_15min_bar)
         self.am = ArrayManager()