加入了一些注释

strategy.py

@@ -136,6 +136,7 @@ class Strategy:
         logger.addHandler(handler)
         return logger
 
+    # TODO 目前看来是开仓前的一些准备，对本地数据状态进行更新
     # @utils.timeit
     def _update_data(self, data:model.TraderMsg):
         '''更新本地数据'''
@@ -151,7 +152,8 @@ class Strategy:
             if self.pos.shortPos != data.position.shortPos:
                 self.pos.shortPos = data.position.shortPos
                 self.pos.shortAvg = data.position.shortAvg
-            # bp ap 
+            # TODO data.market里面是组合盘口信息，所以此处的bp和ap都是从组合盘口里拿出来的
+            # bp ap
             self.bp = data.market[utils.BP_INDEX]
             self.ap = data.market[utils.AP_INDEX]
             # trade mp
@@ -170,6 +172,8 @@ class Strategy:
             ########### 当前持仓价值 ###########
             self.long_hold_value = self.pos.longPos * self.mp
             self.short_hold_value = self.pos.shortPos * self.mp
+
+            # TODO 177-186计算单边最大持仓数量
             ########### 现货 ###########
             if 'spot' in self.exchange:
                 ### 计算总保证金情况
@@ -180,11 +184,14 @@ class Strategy:
                 ### 计算总保证金情况
                 self.max_long_value = self.equity * self.leverrate * self.adjust_leverrate
                 self.max_short_value = self.max_long_value
+
+            # TODO 做市模式识别
             ###### maker mode ######
             if self.ref_name[self.ref_index] == self.trade_name:
                 self.maker_mode = 'free'
             else:
                 self.maker_mode = 'follow'
+
             ###### ref price ######
             if data.ref_price == None:
                 self.ref_bp = self.bp
@@ -194,12 +201,14 @@ class Strategy:
                 self.ref_bp = data.ref_price[self.ref_index][0]
                 self.ref_ap = data.ref_price[self.ref_index][1]
                 self.ref_price = (self.ref_bp+self.ref_ap)*0.5
+
             # spread
             self.predict = utils.clip(data.predict*self.predict_alpha, -self.trade_open_dist, self.trade_open_dist)
             # is base spread normal ? can take but can't move too far
             # if abs(self.ref_price - self.mp)/self.mp > self.trade_open_dist*3:
                 # back to pure market making strategy
                 # self.ref_price = self.mp
+
             # equity 当前账户可用cash和coin
             self.coin = data.coin
             self.cash = data.cash
@@ -383,24 +392,24 @@ class Strategy:
         pkAmount = 0.0
         pkOrderNum = 0
         # 计算
-        cond1 = self.close_dist[0]
-        cond2 = self.close_dist[1]
-        cond3 = self.close_dist[2]
-        cond4 = self.close_dist[3]
+        long_upper = self.close_dist[0]
+        long_lower = self.close_dist[1]
+        short_lower = self.close_dist[2]
+        short_upper = self.close_dist[3]
         # # 获取当前挂单
         for cid in self.local_orders:
             i = self.local_orders[cid]
             if i['side'] == 'pk':
-                c1 = i['price'] > cond1
-                c2 = i['price'] < cond2
+                c1 = i['price'] > long_upper
+                c2 = i['price'] < long_lower
                 if c1 or c2:
                     signals[f'Cancel{cid}'] = [i['client_id'], i['order_id']]
                 # else:
                 pkAmount += i['amount']
                 pkOrderNum += 1
             elif i['side'] == 'pd':
-                c1 = i['price'] < cond3
-                c2 = i['price'] > cond4
+                c1 = i['price'] < short_lower
+                c2 = i['price'] > short_upper
                 if c1 or c2:
                     signals[f'Cancel{cid}'] = [i['client_id'], i['order_id']]
                 # else:
@@ -420,7 +429,7 @@ class Strategy:
             ### 需要平多的价值大于最小交易价值 执行平多逻辑 
             if self.pos.longPos * self.mp > self._min_amount_value:  
                 if pdOrderNum == 0:  # 需要更新平仓挂单
-                    price = (cond3 + cond4)*0.5
+                    price = (short_lower + short_upper)*0.5
                     price = utils.clip(price, self.bp*0.9995, self.ap*1.03)
                     price = utils.fix_price(price, self.tickSize)
                     amount = self.pos.longPos
@@ -434,7 +443,7 @@ class Strategy:
                         ])
             if self.pos.shortPos > self._min_amount_value:  
                 if pkOrderNum == 0:  # 需要更新平仓挂单
-                    price = (cond1 + cond2)*0.5
+                    price = (long_upper + long_lower)*0.5
                     price = utils.clip(price, self.bp*0.97, self.ap*1.0005)
                     price = utils.fix_price(price, self.tickSize)
                     amount = self.pos.shortPos
@@ -449,7 +458,7 @@ class Strategy:
         else:
             if self.pos.longPos > 0.0:  # 正常平多
                 if pdOrderNum == 0:  # 需要更新平仓挂单
-                    price = cond3*0.5 + cond4*0.5
+                    price = short_lower*0.5 + short_upper*0.5
                     price = utils.clip(price, self.bp*0.9995, self.ap*1.03)
                     price = utils.fix_price(price, self.tickSize)
                     signals['Limits_close'].append([
@@ -460,7 +469,7 @@ class Strategy:
                     ])
             if self.pos.shortPos > 0.0:  # 正常平空
                 if pkOrderNum == 0:  # 需要更新平仓挂单
-                    price = cond1*0.5 + cond2*0.5
+                    price = long_upper*0.5 + long_lower*0.5
                     price = utils.clip(price, self.bp*0.97, self.ap*1.0005)
                     price = utils.fix_price(price, self.tickSize)
                     signals['Limits_close'].append([
@@ -478,26 +487,28 @@ class Strategy:
         # 准备命令
         signals = dict()
         # 计算挂单范围
-        cond1 = self.open_dist[0]
-        cond2 = self.open_dist[1]
-        cond3 = self.open_dist[2]
-        cond4 = self.open_dist[3]
+        long_upper = self.open_dist[0]  # long upper--------高风险
+        long_lower = self.open_dist[1]  # long lower--------低风险
+        short_lower = self.open_dist[2]  # short lower------高风险
+        short_upper = self.open_dist[3]  # short upper------低风险
         # # 获取当前挂单
         for cid in self.local_orders:
             i = self.local_orders[cid]
             if i['side'] == 'kd':
+                # TODO 在挂单范围之外时
                 # 撤开多单
-                c1 = i['price'] > cond1
-                c2 = i['price'] < cond2
-                # c3 = i['price'] > cond1*(1-self.long_hold_rate) + cond2*self.long_hold_rate
+                c1 = i['price'] > long_upper
+                c2 = i['price'] < long_lower
+                # c3 = i['price'] > long_upper*(1-self.long_hold_rate) + long_lower*self.long_hold_rate
                 # if c1 or c2 or c3:
                 if c1 or c2:
                     signals[f'Cancel{cid}'] = [i['client_id'], i['order_id']]
             elif i['side'] == 'kk':
+                # TODO 在挂单范围之外时
                 # 撤开空单
-                c1 = i['price'] < cond3
-                c2 = i['price'] > cond4
-                # c3 = i['price'] < cond3*(1-self.short_hold_rate) + cond4*self.short_hold_rate
+                c1 = i['price'] < short_lower
+                c2 = i['price'] > short_upper
+                # c3 = i['price'] < short_lower*(1-self.short_hold_rate) + short_upper*self.short_hold_rate
                 # if c1 or c2 or c3:
                 if c1 or c2:
                     signals[f'Cancel{cid}'] = [i['client_id'], i['order_id']]
@@ -512,10 +523,10 @@ class Strategy:
         signals = dict()
         signals['Limits_open'] = []
         # 计算挂单范围
-        cond1 = self.open_dist[0]
-        cond2 = self.open_dist[1]
-        cond3 = self.open_dist[2]
-        cond4 = self.open_dist[3]
+        long_upper = self.open_dist[0]
+        long_lower = self.open_dist[1]
+        short_lower = self.open_dist[2]
+        short_upper = self.open_dist[3]
         # # 获取当前挂单
         buyP = []
         sellP = []
@@ -529,6 +540,7 @@ class Strategy:
             if i['side'] in ['kk']:
                 sellP.append(i['price'])
                 sell_value += i['amount'] * i['price']
+        # TODO 计算可开价值
         ########### 现货 ###########
         if 'spot' in self.exchange:
             ### 计算当前持币和持u ###
@@ -548,25 +560,29 @@ class Strategy:
         ########### 挂多单 ###########
         if self.post_side >= 0:
             if len(buyP) == 0:
+                # TODO 计算开单价格，并限定范围，要求价格有效，截取小数位数。
                 # 1
-                targit_buy_price = cond1 * 0.5 + cond2 * 0.5
+                targit_buy_price = long_upper * 0.5 + long_lower * 0.5
                 targit_buy_price = utils.clip(targit_buy_price, self.bp*0.97, self.ap*1.0005)
                 targit_buy_price = utils.fix_price(targit_buy_price, self.tickSize)
                 value = min(one_hand_long_value, long_free_value)
                 amount = utils.fix_amount(value/self.mp, self.stepSize)
                 amount_value = float(amount) * self.mp
+                # TODO 下单前最后检测
                 if amount_value >= self._min_amount_value and amount_value <= long_free_value:
                     signals['Limits_open'].append([amount, 'kd', targit_buy_price, utils.get_cid(self.broker_id)])
         ########### 挂空单 ###########
         if self.post_side <= 0:
             if len(sellP) == 0:
+                # TODO 计算开单价格，并限定范围，要求价格有效，截取小数位数。
                 # 1
-                targit_sell_price = cond3 * 0.5 + cond4 * 0.5
+                targit_sell_price = short_lower * 0.5 + short_upper * 0.5
                 targit_sell_price = utils.clip(targit_sell_price, self.bp*0.9995, self.ap*1.03)
                 targit_sell_price = utils.fix_price(targit_sell_price, self.tickSize)
                 value = min(one_hand_short_value, short_free_value)
                 amount = utils.fix_amount(value/self.mp, self.stepSize)
                 amount_value = float(amount) * self.mp
+                # TODO 下单前最后检测
                 if amount_value >= self._min_amount_value and amount_value <= short_free_value:
                     signals['Limits_open'].append([amount, 'kk', targit_sell_price, utils.get_cid(self.broker_id)])
         return signals
@@ -830,6 +846,7 @@ class Strategy:
                         self.logger.info("预热中")
             # 更新状态
             if self._update_data(data):
+                # TODO 我吐了啊，准备不充分才执行下面的，准备充分是直接return
                 # 检查是否准备充分
                 if self.check_ready():
                     return dict()
@@ -866,8 +883,10 @@ class Strategy:
                 signals.update(self._cancel_open())
                 # 获取开仓信号 整点时刻前后不报单
                 if self.check_allow_post_open():
+                    # TODO 报单延迟检测
                     if self.local_time - self.post_open_time > self.post_open_interval:
                         self.post_open_time = self.local_time
+                        # TODO 开仓指令获取
                         signals.update(self._post_open())
                 # 获取平仓信号
                 signals.update(self._post_close())