def __init__(self, symbol: str, tick: TickData, max_depth: int):
self.symbol = symbol
self.max_depth = max_depth
self.buy_book = sortedcontainers.SortedDict()
self.sell_book = sortedcontainers.SortedDict()
for idx in range(tick.data_depth):
q = OrderQueue(tick.bid_price[idx])
q.add_order(OrderData({'volume': tick.bid_volume[idx], 'is_history': True, 'traded': 0}))
self.buy_book[tick.bid_price[idx]] = q
q = OrderQueue(tick.ask_price[idx])
q.add_order(OrderData({'volume': tick.ask_volume[idx], 'is_history': True, 'traded': 0}))
self.sell_book[tick.ask_price[idx]] = q
def place_order(self, d) -> OrderData:
if 'is_history' not in d:
d['is_history'] = False
order = OrderData(d)
order.submit_time = datetime.datetime.now()
order.traded = 0
order.status = Status.SUBMITTING
symbol = order.symbol
if symbol in self.futures:
self.futures[symbol].place_order(order)
else:
print(f'future {symbol} not exist!')
return order
def add_order(self, order: OrderData):
if order.is_history:
self.queue.append([order, self.next_orders])
self.next_orders = []
else:
self.next_orders.append(order)
self.total_amount_var += order.remain()
def cancel_order(self, order_id: int):
order = OrderData.get_order(order_id)
if order.price in self.sell_book:
self.sell_book[order.price].cancel_algo_order(order_id)
if self.sell_book[order.price].history_amount() == 0:
del self.sell_book[order.price]
if order.price in self.buy_book:
self.buy_book[order.price].cancel_algo_order(order_id)
if self.buy_book[order.price].history_amount() == 0:
del self.buy_book[order.price]
def place_order(self, d, account_name = None) -> OrderData:
if 'is_history' not in d:
d['is_history'] = False
order = OrderData(d)
order.submit_time = datetime.datetime.now()
order.traded = 0
order.status = Status.SUBMITTING
symbol = order.symbol
if symbol in self.futures:
self.futures[symbol].place_order(order)
else:
print(f'future {symbol} not exist!')
return
if account_name is not None:
if account_name not in self.accounts:
print(f'account {account_name} not exist!')
else:
self.order_account[order.order_id] = account_name
self._process_trade_data()
return order
def place_order(self, order: OrderData):
if order.volume == 0:
return
if order.order_type == OrderType.LIMIT:
if order.direction == Direction.LONG and order.offset == Offset.OPEN or order.direction == Direction.SHORT and order.offset == Offset.CLOSE:
sell_prices = list(self.sell_book.keys())
for sp in sell_prices:
if sp > order.price:
break
order.volume = self.sell_book[sp].match_order(order.volume)
if order.volume > 0:
del self.sell_book[sp]
else:
break
if order.volume > 0:
if order.price not in self.buy_book:
self.buy_book[order.price] = OrderQueue()
self.buy_book[order.price].add_order(order)
elif order.direction == Direction.SHORT and order.offset == Offset.OPEN or order.direction == Direction.LONG and order.offset == Offset.CLOSE:
buy_prices = list(reversed(self.buy_book.keys()))
for bp in buy_prices:
if bp < order.price:
break
order.volume = self.buy_book[bp].match_order(order.volume)
if order.volume > 0:
del self.buy_book[bp]
else:
break
if order.volume > 0:
if order.price not in self.sell_book:
self.sell_book[order.price] = OrderQueue()
self.sell_book[order.price].add_order(order)
elif order.order_type == OrderType.MARKET:
pass
else:
pass
def _process_trade_data(self):
global order_fill_list
for fill in order_fill_list:
order_id = fill.order_id
if order_id in self.order_account:
account = self.accounts[self.order_account[order_id]]
order = OrderData.get_order(order_id)
if order.direction == Direction.LONG and order.offset == Offset.OPEN:
# print(f'long open, balance - {fill.fill_amount * fill.price}')
account.balance -= fill.fill_amount * fill.price
account.position[order.symbol]['long'] += fill.fill_amount
elif order.direction == Direction.LONG and order.offset == Offset.CLOSE:
# print(f'long close, balance + {fill.fill_amount * fill.price}')
account.balance += fill.fill_amount * fill.price
account.position[order.symbol]['long'] -= fill.fill_amount
elif order.direction == Direction.SHORT and order.offset == Offset.OPEN:
# print(f'short open, balance + {fill.fill_amount * fill.price}')
account.balance += fill.fill_amount * fill.price
account.position[order.symbol]['short'] += fill.fill_amount
elif order.direction == Direction.SHORT and order.offset == Offset.CLOSE:
# print(f'short close, balance - {fill.fill_amount * fill.price}')
account.balance -= fill.fill_amount * fill.price
account.position[order.symbol]['short'] -= fill.fill_amount
order_fill_list = []
def place_order(self, order: OrderData):
global order_fill_list
if order.volume == 0:
order.callback() if hasattr(order, 'callback') else None
return
if order.order_type == OrderType.LIMIT:
if order.direction == Direction.LONG and order.offset == Offset.OPEN or order.direction == Direction.SHORT and order.offset == Offset.CLOSE:
sell_prices = list(self.sell_book.keys())
for sp in sell_prices:
if sp > order.price:
break
if not order.is_history:
order.callback() if hasattr(order, 'callback') else None
order_fill_list.append(TradeData(order.order_id, sp, order.volume))
order.volume = 0
break
order.volume = self.sell_book[sp].match_order(order.volume)
if self.sell_book[sp].history_amount() <= 0:
del self.sell_book[sp]
else:
break
if order.volume > 0:
if order.price not in self.buy_book:
self.buy_book[order.price] = OrderQueue(order.price)
self.buy_book[order.price].add_order(order)
elif order.direction == Direction.SHORT and order.offset == Offset.OPEN or order.direction == Direction.LONG and order.offset == Offset.CLOSE:
buy_prices = list(reversed(self.buy_book.keys()))
for bp in buy_prices:
if bp < order.price:
break
if not order.is_history:
order.callback() if hasattr(order, 'callback') else None
order_fill_list.append(TradeData(order.order_id, bp, order.volume))
order.volume = 0
break
order.volume = self.buy_book[bp].match_order(order.volume)
if self.buy_book[bp].history_amount() <= 0:
del self.buy_book[bp]
else:
break
if order.volume > 0:
if order.price not in self.sell_book:
self.sell_book[order.price] = OrderQueue(order.price)
self.sell_book[order.price].add_order(order)
elif order.order_type == OrderType.MARKET:
if order.is_history:
# not possible
return
if order.direction == Direction.LONG and order.offset == Offset.OPEN or order.direction == Direction.SHORT and order.offset == Offset.CLOSE:
sell_prices = list(self.sell_book.keys())
order.callback() if hasattr(order, 'callback') else None
order_fill_list.append(TradeData(order.order_id, sell_prices[0], order.volume))
order.volume = 0
elif order.direction == Direction.SHORT and order.offset == Offset.OPEN or order.direction == Direction.LONG and order.offset == Offset.CLOSE:
buy_prices = list(reversed(self.buy_book.keys()))
order.callback() if hasattr(order, 'callback') else None
order_fill_list.append(TradeData(order.order_id, buy_prices[0], order.volume))
order.volume = 0
else:
pass