vn.py（开源量化交易框架）

vn.py is the most popular open-source quantitative trading framework in China, community-driven. Supports CTA strategies, spread trading, options volatility trading, and more. Connects to CTP, Femas, Hundsun, and 20+ broker gateways.

Docs: https://www.vnpy.com/docs/cn/ GitHub: https://github.com/vnpy/vnpy

安装

# Install core framework
pip install vnpy

# Install CTP gateway (futures)
pip install vnpy-ctp

# Install common components
pip install vnpy-ctastrategy    # CTA strategy module
pip install vnpy-spreadtrading  # Spread trading module
pip install vnpy-datamanager    # Data management module
pip install vnpy-sqlite         # SQLite database
pip install vnpy-rqdata         # RQData data service

架构概述

VeighNa Trader (GUI)
    ├── Gateway (Broker Interface)
    │   ├── CTP (Futures)
    │   ├── Femas (Futures)
    │   ├── Hundsun UFT (Securities)
    │   ├── EMT (Securities)
    │   └── IB / Alpaca (International)
    ├── App (Application Modules)
    │   ├── CtaStrategy (CTA Strategy)
    │   ├── SpreadTrading (Spread Trading)
    │   ├── OptionMaster (Options Trading)
    │   ├── PortfolioStrategy (Portfolio Strategy)
    │   └── AlgoTrading (Algorithmic Trading)
    └── DataService
        ├── RQData
        ├── TuShare
        └── Custom Data Sources

启动GUI

from vnpy.event import EventEngine
from vnpy.trader.engine import MainEngine
from vnpy.trader.ui import MainWindow, create_qapp

# Import broker gateways
from vnpy_ctp import CtpGateway

# Import application modules
from vnpy_ctastrategy import CtaStrategyApp
from vnpy_spreadtrading import SpreadTradingApp
from vnpy_datamanager import DataManagerApp

# Create application
qapp = create_qapp()
event_engine = EventEngine()
main_engine = MainEngine(event_engine)

# Add broker gateways
main_engine.add_gateway(CtpGateway)

# Add application modules
main_engine.add_app(CtaStrategyApp)
main_engine.add_app(SpreadTradingApp)
main_engine.add_app(DataManagerApp)

# Create and show main window
main_window = MainWindow(main_engine, event_engine)
main_window.showMaximized()
qapp.exec()

CTA策略开发

CTA (Commodity Trading Advisor) strategies are the core strategy type in vn.py, suitable for trend following, mean reversion, etc.

策略模板

from vnpy_ctastrategy import (
    CtaTemplate,
    StopOrder,
    TickData,
    BarData,
    TradeData,
    OrderData,
    BarGenerator,
    ArrayManager,
)

class DoubleMaStrategy(CtaTemplate):
    """Dual Moving Average CTA Strategy"""
    author = "Quant Developer"

    # Strategy parameters (editable in GUI)
    fast_window = 10       # 快速均线周期
    slow_window = 20       # 慢速均线周期
    fixed_size = 1         # 每次交易手数

    # Strategy variables (displayed in GUI)
    fast_ma0 = 0.0
    slow_ma0 = 0.0