def on_order(self, d):
""""""
if "ordStatus" not in d:
return
sysid = d["orderID"]
order = self.orders.get(sysid, None)
if not order:
if d["clOrdID"]:
orderid = d["clOrdID"]
else:
orderid = sysid
# time = d["timestamp"][11:19]
order = OrderData(
symbol=d["symbol"],
exchange=Exchange.BITMEX,
orderid=orderid,
direction=DIRECTION_BITMEX2VT[d["side"]],
price=d["price"],
volume=d["orderQty"],
time=d["timestamp"][11:19],
gateway_name=self.gateway_name,
)
self.orders[sysid] = order
order.traded = d.get("cumQty", order.traded)
order.status = STATUS_BITMEX2VT.get(d["ordStatus"], order.status)
self.gateway.on_order(copy(order))
def update_order(self, order: OrderData):
""""""
if order.is_active():
self.active_orders[order.vt_orderid] = order
else:
if order.vt_orderid in self.active_orders:
self.active_orders.pop(order.vt_orderid)
self.calculate_frozen()
def update_order(self, data: dict) -> None:
""""""
symbol = data["InstrumentID"]
exchange = EXCHANGE_UFT2VT[data["ExchangeID"]]
sessionid = data["SessionID"]
order_ref = data["OrderRef"]
orderid = f"{sessionid}_{order_ref}"
order = OrderData(symbol=symbol,
exchange=exchange,
orderid=orderid,
type=ORDERTYPE_UFT2VT[data["OrderCommand"]],
direction=DIRECTION_UFT2VT[data["Direction"]],
offset=OFFSET_UFT2VT[data["OffsetFlag"]],
price=data["OrderPrice"],
volume=data["OrderVolume"],
traded=data["TradeVolume"],
status=STATUS_UFT2VT.get(data["OrderStatus"],
Status.SUBMITTING),
time=generate_time(data["InsertTime"]),
gateway_name=self.gateway_name)
self.gateway.on_order(order)
print("on_order", order.orderid, order.status, data["OrderStatus"])
def onRtnOrder(self, data: dict):
"""
Callback of order status update.
"""
symbol = data["InstrumentID"]
exchange = symbol_exchange_map.get(symbol, "")
if not exchange:
self.order_data.append(data)
return
frontid = data["FrontID"]
sessionid = data["SessionID"]
order_ref = data["OrderRef"]
orderid = f"{frontid}_{sessionid}_{order_ref}"
timestamp = f"{data['InsertDate']} {data['InsertTime']}"
dt = datetime.strptime(timestamp, "%Y%m%d %H:%M:%S")
dt = dt.replace(tzinfo=CHINA_TZ)
order = OrderData(
symbol=symbol,
exchange=exchange,
orderid=orderid,
type=ORDERTYPE_XGJ2VT[data["OrderPriceType"]],
direction=DIRECTION_XGJ2VT[data["Direction"]],
offset=OFFSET_XGJ2VT[data["CombOffsetFlag"]],
price=data["LimitPrice"],
volume=data["VolumeTotalOriginal"],
traded=data["VolumeTraded"],
status=STATUS_XGJ2VT[data["OrderStatus"]],
datetime=dt,
gateway_name=self.gateway_name
)
self.gateway.on_order(order)
self.sysid_orderid_map[data["OrderSysID"]] = orderid
def process_order(self, data):
"""
Process order data for both query and update.
"""
for ix, row in data.iterrows():
# Ignore order with status DELETED
if row["order_status"] == OrderStatus.DELETED:
continue
symbol, exchange = convert_symbol_futu2vt(row["code"])
order = OrderData(
symbol=symbol,
exchange=exchange,
orderid=str(row["order_id"]),
direction=DIRECTION_FUTU2VT[row["trd_side"]],
price=float(row["price"]),
volume=row["qty"],
traded=row["dealt_qty"],
status=STATUS_FUTU2VT[row["order_status"]],
time=row["create_time"].split(" ")[-1],
gateway_name=self.gateway_name,
)
self.on_order(order)
def onRtnOrder(self, data: dict):
"""
Callback of order status update.
"""
timestamp = f"{data['InsertDate']} {data['InsertTime']}"
dt = datetime.strptime(timestamp, "%Y%m%d %H:%M:%S")
dt = dt.replace(tzinfo=CHINA_TZ)
order = OrderData(
symbol=data["InstrumentID"],
exchange=EXCHANGE_FEMAS2VT[data["ExchangeID"]],
orderid=data["UserOrderLocalID"],
direction=DIRECTION_FEMAS2VT[data["Direction"]],
offset=OFFSET_FEMAS2VT[data["OffsetFlag"]],
price=data["LimitPrice"],
volume=data["Volume"],
traded=data["VolumeTraded"],
status=STATUS_FEMAS2VT[data["OrderStatus"]],
datettime=dt,
gateway_name=self.gateway_name,
)
self.localid = max(self.localid, int(order.orderid))
self.gateway.on_order(order)
def onRspOrderInsert(self, data: dict, error: dict, reqid: int,
last: bool):
""""""
if not error["ErrorID"]:
return
orderid = data["UserOrderLocalID"]
symbol = data["InstrumentID"]
exchange = symbol_exchange_map[symbol]
order = OrderData(
symbol=symbol,
exchange=exchange,
orderid=orderid,
direction=DIRECTION_FEMAS2VT[data["Direction"]],
offset=OFFSET_FEMAS2VT[data["OffsetFlag"]],
price=data["LimitPrice"],
volume=data["Volume"],
status=Status.REJECTED,
gateway_name=self.gateway_name,
)
self.gateway.on_order(order)
self.gateway.write_error("交易委托失败", error)
def onRspErrorOrderInsert(self, data: dict, error: dict, reqid: int,
last: bool) -> None:
""""""
self.gateway.write_error("委托下单失败", error)
order_ref = data["OrderRef"]
orderid = f"{self.sessionid}_{order_ref}"
symbol = data["InstrumentID"]
exchange = EXCHANGE_UFT2VT[data["ExchangeID"]]
order = OrderData(symbol=symbol,
exchange=exchange,
orderid=orderid,
direction=DIRECTION_UFT2VT[data["Direction"]],
offset=OFFSET_UFT2VT.get(data["OffsetFlag"],
Offset.NONE),
price=data["OrderPrice"],
volume=data["OrderVolume"],
status=Status.REJECTED,
gateway_name=self.gateway_name)
self.gateway.on_order(order)
self.gateway.write_error("交易委托失败", error)
def on_query_order(self, data: dict, request: Request) -> None:
""""""
if self.check_error(data, "查询委托"):
return
responseBody = data["data"]["responseBody"]
if not responseBody.get("items", None):
return
for d in responseBody["items"][::-1]:
timestamp = f'{d["tradingDate"]} {d["entrustTime"]}'
dt = CHINA_TZ.localize(datetime.strptime(timestamp, "%Y%m%d %H%M%S"))
entrustNo = str(d["entrustNo"])
orderid = self.gateway.orders.get(entrustNo, None)
if not orderid:
orderid = self.new_orderid()
order = OrderData(
gateway_name=self.gateway_name,
symbol=d["goodsCode"],
exchange=Exchange.SR,
orderid=orderid,
direction=DIRECTION_SUGAR2VT.get(str(d["entrustBs"]), None),
offset=OFFSET_SUGAR2VT.get(str(d["entrustTs"]), None),
price=int(d["entrustPrice"] / 100),
volume=int(d["entrustAmount"]),
traded=int(d["businessAmount"]),
status=STATUS_SUGAR2VT.get(d["entrustStatusStr"], None),
datetime=dt
)
order.entrustNo = entrustNo
self.gateway.orders[entrustNo] = orderid
self.gateway.on_order(order)
else:
order: OrderData = self.gateway.orders.get(orderid, None)
if order.status == Status.SUBMITTING:
if d["entrustStatusStr"] == "已报":
order.status = Status.NOTTRADED
self.gateway.on_order(order)
elif d["entrustStatusStr"] == "已撤" or d["entrustStatusStr"] == "部撤":
order.status = Status.CANCELLED
self.gateway.on_order(order)
elif d["entrustStatusStr"] == "已成":
order.status = Status.ALLTRADED
order.traded = int(d["businessAmount"])
self.gateway.on_order(order)
elif d["entrustStatusStr"] == "部成":
order.status = Status.PARTTRADED
order.traded = int(d["businessAmount"])
self.gateway.on_order(order)
elif d["entrustStatusStr"] == "废单":
order.status = Status.INVALID
self.gateway.on_order(order)
elif order.status == Status.NOTTRADED and d["entrustStatusStr"] != "已报":
if d["entrustStatusStr"] == "已撤" or d["entrustStatusStr"] == "部撤":
order.status = Status.CANCELLED
self.gateway.on_order(order)
elif d["entrustStatusStr"] == "已成":
order.status = Status.ALLTRADED
order.traded = int(d["businessAmount"])
self.gateway.on_order(order)
elif d["entrustStatusStr"] == "部成":
order.status = Status.PARTTRADED
order.traded = int(d["businessAmount"])
self.gateway.on_order(order)
elif d["entrustStatusStr"] == "废单":
order.status = Status.INVALID
self.gateway.on_order(order)
elif order.status == Status.PARTTRADED:
if d["entrustStatusStr"] == "已成":
order.status = Status.ALLTRADED
order.traded = int(d["businessAmount"])
self.gateway.on_order(order)
elif d["entrustStatusStr"] == "部成" and order.traded < int(d["businessAmount"]):
order.status = Status.PARTTRADED
order.traded = int(d["businessAmount"])
self.gateway.on_order(order)
elif d["entrustStatusStr"] == "部撤" or d["entrustStatusStr"] == "已撤":
order.status = Status.CANCELLED
self.gateway.on_order(order)
elif d["entrustStatusStr"] == "废单":
order.status = Status.INVALID
self.gateway.on_order(order)
elif order.status == Status.EXCEPTION or order.status == Status.ERROR:
if d["entrustStatusStr"] == "已报":
order.status = Status.NOTTRADED
self.gateway.on_order(order)
elif d["entrustStatusStr"] == "已撤" or d["entrustStatusStr"] == "部撤":
order.status = Status.CANCELLED
self.gateway.on_order(order)
elif d["entrustStatusStr"] == "已成":
order.status = Status.ALLTRADED
order.traded = int(d["businessAmount"])
self.gateway.on_order(order)
elif d["entrustStatusStr"] == "部成":
order.status = Status.PARTTRADED
order.traded = int(d["businessAmount"])
self.gateway.on_order(order)
elif d["entrustStatusStr"] == "废单":
order.status = Status.INVALID
self.gateway.on_order(order)
print(f"{datetime.now()}\t订单状态异常，信息：{d}")
print("*"*80)
self.callback_dt = datetime.now()
def on_order_info(self, packet: dict) -> None:
""""""
data = packet["data"]
if not data["order"]:
if data["trans_type"] == TRADE_TRANSACTION_REQUEST:
local_id = data["request_comment"]
order = self.orders.get(local_id, None)
if local_id and order:
order_id = str(data["result_order"])
if data["result_order"] and self.sys_local_map[
order_id] == order_id:
order.orderid = local_id
order.traded = data["result_volume"]
if order.traded == order.volume:
order.status = Status.ALLTRADED
else:
order.status = Status.PARTTRADED
self.on_order(order)
trade = TradeData(symbol=order.symbol,
exchange=order.exchange,
direction=order.direction,
orderid=data["request_comment"],
tradeid=data["result_deal"],
price=data["result_price"],
volume=data["result_volume"],
datetime=LOCAL_TZ.localize(
datetime.now()),
gateway_name=self.gateway_name)
self.on_trade(trade)
elif data["result_retcode"] == TRADE_RETCODE_MARKET_CLOSED:
order.status = Status.REJECTED
self.write_log(f"委托{local_id}拒单，原因market_closed")
self.on_order(order)
return
trans_type = data["trans_type"]
# Map sys and local orderid
if trans_type == TRADE_TRANSACTION_ORDER_ADD:
sys_id = str(data["order"])
local_id = data["order_comment"]
if not local_id:
local_id = sys_id
self.local_sys_map[local_id] = sys_id
self.sys_local_map[sys_id] = local_id
order = self.orders.get(local_id, None)
if local_id and order:
order.datetime = generate_datetime(data["order_time_setup"])
# Update order data
elif trans_type in {
TRADE_TRANSACTION_ORDER_UPDATE, TRADE_TRANSACTION_ORDER_DELETE
}:
sysid = str(data["order"])
local_id = self.sys_local_map[sysid]
order = self.orders.get(local_id, None)
if not order:
direction, order_type = ORDERTYPE_MT2VT[data["order_type"]]
order = OrderData(symbol=data["symbol"].replace('.', '-'),
exchange=Exchange.OTC,
orderid=local_id,
type=order_type,
direction=direction,
price=data["order_price"],
volume=data["order_volume_initial"],
gateway_name=self.gateway_name)
self.orders[local_id] = order
if data["order_time_setup"]:
order.datetime = generate_datetime(data["order_time_setup"])
if data["trans_state"] in STATUS_MT2VT:
order.status = STATUS_MT2VT[data["trans_state"]]
self.on_order(order)
# Update trade data
elif trans_type == TRADE_TRANSACTION_HISTORY_ADD:
sysid = str(data["order"])
local_id = self.sys_local_map[sysid]
order = self.orders.get(local_id, None)
if order:
if data["order_time_setup"]:
order.datetime = generate_datetime(
data["order_time_setup"])
trade = TradeData(symbol=order.symbol.replace('.', '-'),
exchange=order.exchange,
direction=order.direction,
orderid=order.orderid,
tradeid=data["deal"],
price=data["trans_price"],
volume=data["trans_volume"],
datetime=LOCAL_TZ.localize(datetime.now()),
gateway_name=self.gateway_name)
order.traded = trade.volume
self.on_order(order)
self.on_trade(trade)
# 委托管理相关的所有内容 from vnpy.trader.object import OrderData, OrderRequest, Status, PositionData, AccountData, ContractData, TradeData, ACTIVE_STATUSES from vnpy.trader.constant import Offset, Status, OrderType, Exchange, Interval from vnpy.trader.converter import PositionHolding from vnpy.app.cta_strategy.base import StopOrder, StopOrderStatus # 委托订单类型 order1 = OrderData() order1.vt_orderid order1.vt_symbol order1.status order1.gateway_name order1.orderid order1.datetime order1.status = Status.ALLTRADED order1.status = Status.CANCELLED order1.status = Status.PARTTRADED order1.status = Status.REJECTED order1.status = Status.SUBMITTING order1.is_active = ACTIVE_STATUSES stop_order1 = StopOrder() stop_order1.stop_orderid stop_order1.vt_orderids stop_order1.vt_symbol stop_order1.status = StopOrderStatus.WAITING stop_order1.status = StopOrderStatus.TRIGGERED stop_order1.status = StopOrderStatus.CANCELLED trade_data1 = TradeData() trade_data1.orderid
def on_order(self, order: OrderData):
""""""
if not order.is_active():
self.vt_orderid = ""
self.order_price = 0
self.put_variables_event()
def cross_stop_order(self):
"""
Cross stop order with last bar/tick data.
T时刻内，价格上下波动，形成T日K线；
T时刻走完，基于T日以及之前数据计算通道上下轨
T+1时刻开盘，基于上一步的通道上下轨挂出对应的停止单
T+1时刻内，价格突破通道是触发停止单，立即发出市价单成交
"""
if self.mode == BacktestingMode.BAR:
long_cross_price = self.bar.high_price
short_cross_price = self.bar.low_price
long_best_price = self.bar.open_price
short_best_price = self.bar.open_price
else:
long_cross_price = self.tick.last_price
short_cross_price = self.tick.last_price
long_best_price = long_cross_price
short_best_price = short_cross_price
for stop_order in list(self.active_stop_orders.values()):
# Check whether stop order can be triggered.
# self.active_stop_orders.values里面的数据结构是一个类，这里面使用类来保存数据。
long_cross = (stop_order.direction == Direction.LONG
and stop_order.price <= long_cross_price)
short_cross = (stop_order.direction == Direction.SHORT
and stop_order.price >= short_cross_price)
if not long_cross and not short_cross:
continue
# Create order data.
# 停止单最后还是要转化为限价单
self.limit_order_count += 1
order = OrderData(symbol=self.symbol,
exchange=self.exchange,
orderid=str(self.limit_order_count),
direction=stop_order.direction,
offset=stop_order.offset,
price=stop_order.price,
volume=stop_order.volume,
status=Status.ALLTRADED,
gateway_name=self.gateway_name,
time=self.datetime.strftime("%H:%M:%S"))
"""
symbol表示交易品种，如IF88，在最开始传入
exchange表示交易所，在set_parameters中传入的
self.limit_order_count表示限价单的数量
stop_order表示在发送停止单时的一些信息
stop_order.direction的方向在上面
offset表示开或平
status: Status = Status.SUBMITTING这个是默认值，
getway_name是在BacktestingEngine中确定的
"""
order.datetime = self.datetime
# 这个地方和可能是直接给这个类添加属性，这个有什么用呢，为什么不直接放进OrderData里面去，self.datetime= bar.datetime
self.limit_orders[order.vt_orderid] = order
# 没有把这笔交易推给策略，没有搞懂为什么，这个不是active，因为一旦发出即成交了,两种情况，一种是t时刻就已经把单子挂在交易所那边，另一种是挂在自己的系统上面只要满足条件就提交订单，并不一定需要t+1的K线形成才可以
# Create trade data.
if long_cross:
trade_price = max(stop_order.price, long_best_price)
pos_change = order.volume
else:
trade_price = min(stop_order.price, short_best_price)
pos_change = -order.volume
self.trade_count += 1
trade = TradeData(
symbol=order.symbol,
exchange=order.exchange,
orderid=order.orderid,
tradeid=str(self.trade_count),
direction=order.direction,
offset=order.offset,
price=trade_price,
volume=order.volume,
time=self.datetime.strftime("%H:%M:%S"),
gateway_name=self.gateway_name,
)
trade.datetime = self.datetime
# direction表示方向，offset表示经常模式，一手多两手空，会平掉多仓空仓，然后开
# 一个空仓
# 这个time是一个字符串
self.trades[trade.vt_tradeid] = trade
# Update stop order.
stop_order.vt_orderids.append(order.vt_orderid)
stop_order.status = StopOrderStatus.TRIGGERED
if stop_order.stop_orderid in self.active_stop_orders:
self.active_stop_orders.pop(stop_order.stop_orderid)
# Push update to strategy.
self.strategy.on_stop_order(stop_order)
self.strategy.on_order(order)
# 这个地方把停止单推给了策略
self.strategy.pos += pos_change
self.strategy.on_trade(trade)
def on_order(self, order: OrderData):
""""""
on_order_time = order.datetime.time()
print(f"\
on_order\n\
orderid:{order.orderid}\n\
status:{order.status}\n\
offset:{order.offset}\n\
direction:{order.direction}\n\
on_order_time:{on_order_time}\
")
# ACTIVE_STATUSES = set([Status.SUBMITTING, Status.NOTTRADED, Status.PARTTRADED])
if order.is_active():
return
for buf_orderids in [
self.sell_lvt_orderids,
self.cover_lvt_orderids
]:
if order.orderid in buf_orderids:
buf_orderids.remove(order.orderid)
# not ACTIVE_STATUSES = set([Status.ALLTRADED, Status.CANCELLED, Status.REJECTED])
if not (self.clearance_time <= self.on_bar_time <= self.liq_time):
if order.status in [Status.CANCELLED, Status.REJECTED]:
if self.pos == 0:
if self.ultosc > self.buy_dis:
if not self.buy_svt_orderids and self.short_svt_orderids:
self.buy_svt_orderids = self.buy(self.boll_up, self.trading_size, True)
print(f"on_order, buy_svt:{self.buy_svt_orderids}, volume:{self.trading_size}")
elif self.ultosc < self.short_dis:
if not self.buy_svt_orderids and self.short_svt_orderids:
self.short_svt_orderids = self.short(self.boll_down, self.trading_size, True)
print(f"on_order, short_svt:{self.short_svt_orderids}, volume:{self.trading_size}")
elif self.pos > 0:
pos = copy.deepcopy(self.pos)
if not self.sell_svt_orderids:
self.sell_svt_orderids = self.sell(self.long_stop, abs(self.pos), True)
print(f"on_order, sell_svt:{self.sell_svt_orderids}, volume:{pos}")
else:
pos = copy.deepcopy(self.pos)
if not self.cover_svt_orderids:
self.cover_svt_orderids = self.cover(self.short_stop, abs(self.pos), True)
print(f"on_order, cover_svt:{self.cover_svt_orderids}, volume:{pos}")
else:
if order.status in [Status.CANCELLED, Status.REJECTED]:
pos = copy.deepcopy(self.pos)
if self.pos > 0:
if not self.buy_svt_orderids and not self.short_svt_orderids\
and not self.sell_svt_orderids and not self.cover_svt_orderids\
and not self.sell_lvt_orderids and not self.cover_lvt_orderids:
self.sell_lvt_orderids = self.sell(self.liq_price - 5, abs(self.pos))
print(f"clearance time, on_order, sell volume:{pos}, on_bar_time:{self.on_bar_time}")
elif self.pos < 0:
if not self.buy_svt_orderids and not self.short_svt_orderids\
and not self.sell_svt_orderids and not self.cover_svt_orderids\
and not self.sell_lvt_orderids and not self.cover_lvt_orderids:
self.cover_lvt_orderids = self.cover(self.liq_price + 5, abs(self.pos))
print(f"clearance time, on_order, cover volume:{pos}, on_bar_time:{self.on_bar_time}")
from vnpy.app.cta_strategy.engine import CtaEngine
from vnpy.app.cta_strategy.base import StopOrder
from vnpy.trader.object import OrderData
from vnpy.tra
ctaengine = CtaEngine()
ctaengine.strategy_orderid_map # strategy_name: orderid list
ctaengine.orderid_strategy_map # vt_orderid: strategy
ctaengine.symbol_strategy_map # vt_symbol: strategy list
ctaengine.stop_orders # stop_orderid: stop_order
ctaengine.strategies # strategy_name: strategy
# 以下用于说明oderid和vt_orderid的区别
order = OrderData()
orderid = order.orderid
vt_orderid = f"{self.gateway_name}.{self.orderid}"
stoporder = StopOrder()
stoporder.vt_orderids
def on_order(self, order: OrderData):
""""""
on_order_time = datetime.now().time()
self.write_log(
f"on_order, {order.orderid} {order.status} {order.offset} {order.direction}, on_order_time:{on_order_time}"
)
# ACTIVE_STATUSES = set([Status.SUBMITTING, Status.NOTTRADED, Status.PARTTRADED])
if order.is_active():
return
# not ACTIVE_STATUSES = set([Status.ALLTRADED, Status.CANCELLED, Status.REJECTED])
if order.status in [Status.CANCELLED, Status.REJECTED]:
if not self.day_clearance:
if not self.cta_engine.strategy_orderid_map[
self.strategy_name]:
if self.pos == 0:
if self.ultosc > self.buy_dis:
self.buy(self.boll_up, self.trading_size, True)
self.write_log(
f"on_order, buy_svt:{list(self.cta_engine.strategy_orderid_map[self.strategy_name])}, volume:{self.trading_size}"
)
elif self.ultosc < self.short_dis:
self.short(self.boll_down, self.trading_size, True)
self.write_log(
f"on_order, short_svt:{list(self.cta_engine.strategy_orderid_map[self.strategy_name])}, volume:{self.trading_size}"
)
elif self.pos > 0:
pos = copy.deepcopy(self.pos)
self.sell(self.long_stop, abs(self.pos), True)
self.write_log(
f"on_order, sell_svt:{list(self.cta_engine.strategy_orderid_map[self.strategy_name])}, volume:{pos}"
)
else:
pos = copy.deepcopy(self.pos)
self.cover(self.short_stop, abs(self.pos), True)
self.write_log(
f"on_order, cover_svt:{list(self.cta_engine.strategy_orderid_map[self.strategy_name])}, volume:{pos}"
)
else:
pos = copy.deepcopy(self.pos)
if not self.cta_engine.strategy_orderid_map[
self.strategy_name]:
if self.pos > 0:
self.sell(self.liq_price - 5, abs(self.pos))
self.write_log(
f"clearance time, on_order, sell volume:{pos}, on_bar_time:{self.on_bar_time}"
)
elif self.pos < 0:
self.cover(self.liq_price + 5, abs(self.pos))
self.write_log(
f"clearance time, on_order, cover volume:{pos}, on_bar_time:{self.on_bar_time}"
)
self.put_event()
def on_order_info(self, packet: dict) -> None:
""""""
data = packet["data"]
if not data["order"]:
return
trans_type = data["trans_type"]
# Map sys and local orderid
if trans_type == TRADE_TRANSACTION_ORDER_ADD:
sys_id = str(data["order"])
local_id = data["order_comment"]
if not local_id:
local_id = sys_id
self.local_sys_map[local_id] = sys_id
self.sys_local_map[sys_id] = local_id
order = self.orders.get(local_id, None)
if local_id and order:
order.datetime = generate_datetime(data["order_time_setup"])
# Update order data
elif trans_type in {TRADE_TRANSACTION_ORDER_UPDATE, TRADE_TRANSACTION_ORDER_DELETE}:
sysid = str(data["order"])
local_id = self.sys_local_map[sysid]
order = self.orders.get(local_id, None)
if not order:
direction, order_type = ORDERTYPE_MT2VT[data["order_type"]]
order = OrderData(
symbol=data["symbol"].replace('.', '-'),
exchange=Exchange.OTC,
orderid=local_id,
type=order_type,
direction=direction,
price=data["order_price"],
volume=data["order_volume_initial"],
gateway_name=self.gateway_name
)
self.orders[local_id] = order
if data["order_time_setup"]:
order.datetime = generate_datetime(data["order_time_setup"])
if data["trans_state"] in STATUS_MT2VT:
order.status = STATUS_MT2VT[data["trans_state"]]
self.on_order(order)
# Update trade data
elif trans_type == TRADE_TRANSACTION_HISTORY_ADD:
sysid = str(data["order"])
local_id = self.sys_local_map[sysid]
order = self.orders.get(local_id, None)
if order:
if data["order_time_setup"]:
order.datetime = generate_datetime(data["order_time_setup"])
trade = TradeData(
symbol=order.symbol.replace('.', '-'),
exchange=order.exchange,
direction=order.direction,
orderid=order.orderid,
tradeid=data["deal"],
price=data["trans_price"],
volume=data["trans_volume"],
datetime=LOCAL_TZ.localize(datetime.now()),
gateway_name=self.gateway_name
)
order.traded = trade.volume
self.on_order(order)
self.on_trade(trade)
def query_orders(self, symbols: "list"):
"""
请求 active 订单信息
:return:
"""
for symbol in symbols:
order_datas = self.gateway.fetch_open_orders(symbol=symbol)
ret = self.__get_symbol_type(symbol)
if "spot" == ret:
# 现货
for order_data in order_datas:
order_id = order_data["info"]["client_oid"]
if not order_id:
order_id = order_data["info"]["order_id"]
order = OrderData(
symbol=order_data["info"]["instrument_id"],
exchange=Exchange.OKEX,
type=ORDERTYPE_OKEX2VT[order_data["info"]["type"]],
orderid=order_id,
direction=DIRECTION_OKEX2VT[order_data["info"]
["side"]],
price=float(order_data["info"]["price"]),
volume=float(order_data["info"]["size"]),
traded=float(order_data["info"]["filled_size"]),
time=utc_to_local(order_data["info"]["timestamp"]),
status=STATUS_OKEX2VT[order_data["info"]["status"]],
gateway_name=self.gateway_name,
)
self.on_order(order)
elif "swap" == ret:
# 永续
for order_data in order_datas:
offset, direction = TYPE_OKEXS2VT[order_data["info"]
["type"]]
order_id = order_data["info"]["client_oid"]
if not order_id:
order_id = order_data["info"]["order_id"]
order = OrderData(
symbol=order_data["info"]["instrument_id"],
exchange=Exchange.OKEX,
type=ORDERTYPE_OKEXS2VT[order_data["info"]
["order_type"]],
orderid=order_id,
direction=direction,
offset=offset,
traded=int(order_data["info"]["filled_qty"]),
price=float(order_data["info"]["price"]),
volume=float(order_data["info"]["size"]),
time=utc_to_local(order_data["info"]["timestamp"]),
status=STATUS_OKEXS2VT[order_data["info"]["status"]],
gateway_name=self.gateway_name,
)
self.on_order(order)
elif "futures" == ret:
# 交割
for order_data in order_datas:
offset, direction = TYPE_OKEXF2VT[order_data["info"]
["type"]]
order_id = order_data["info"]["client_oid"]
if not order_id:
order_id = order_data["info"]["order_id"]
order = OrderData(
symbol=order_data["info"]["instrument_id"],
exchange=Exchange.OKEX,
type=ORDERTYPE_OKEXF2VT[order_data["info"]
["order_type"]],
orderid=order_id,
direction=direction,
offset=offset,
traded=int(order_data["info"]["filled_qty"]),
price=float(order_data["info"]["price"]),
volume=float(order_data["info"]["size"]),
time=utc_to_local(order_data["info"]["timestamp"]),
status=STATUS_OKEXF2VT[order_data["info"]["status"]],
gateway_name=self.gateway_name,
)
self.on_order(order)
self.write_log("委托信息查询成功")
def cross_stop_order(self):
"""
Cross stop order with last bar/tick data.
"""
if self.mode == BacktestingMode.BAR:
long_cross_price = self.bar.high_price
short_cross_price = self.bar.low_price
long_best_price = self.bar.open_price
short_best_price = self.bar.open_price
else:
long_cross_price = self.tick.last_price
short_cross_price = self.tick.last_price
long_best_price = long_cross_price
short_best_price = short_cross_price
for stop_order in list(self.active_stop_orders.values()):
# Check whether stop order can be triggered.
long_cross = (stop_order.direction == Direction.LONG
and stop_order.price <= long_cross_price)
short_cross = (stop_order.direction == Direction.SHORT
and stop_order.price >= short_cross_price)
if not long_cross and not short_cross:
continue
# Create order data.
self.limit_order_count += 1
order = OrderData(symbol=self.symbol,
exchange=self.exchange,
orderid=str(self.limit_order_count),
direction=stop_order.direction,
offset=stop_order.offset,
price=stop_order.price,
volume=stop_order.volume,
traded=stop_order.volume,
status=Status.ALLTRADED,
gateway_name=self.gateway_name,
datetime=self.datetime)
self.limit_orders[order.vt_orderid] = order
# Create trade data.
if long_cross:
trade_price = max(stop_order.price, long_best_price)
pos_change = order.volume
else:
trade_price = min(stop_order.price, short_best_price)
pos_change = -order.volume
self.trade_count += 1
trade = TradeData(
symbol=order.symbol,
exchange=order.exchange,
orderid=order.orderid,
tradeid=str(self.trade_count),
direction=order.direction,
offset=order.offset,
price=trade_price,
volume=order.volume,
datetime=self.datetime,
gateway_name=self.gateway_name,
)
self.trades[trade.vt_tradeid] = trade
# Update stop order.
stop_order.vt_orderids.append(order.vt_orderid)
stop_order.status = StopOrderStatus.TRIGGERED
if stop_order.stop_orderid in self.active_stop_orders:
self.active_stop_orders.pop(stop_order.stop_orderid)
# Push update to strategy.
self.strategy.on_stop_order(stop_order)
self.strategy.on_order(order)
self.strategy.pos += pos_change
self.strategy.on_trade(trade)
def on_order_info(self, packet: dict) -> None:
""""""
data = packet["data"]
if not data["order"]:
return
trans_type = data["trans_type"]
# Map sys and local orderid
if trans_type == 0:
sys_id = str(data["order"])
local_id = data["order_comment"]
if not local_id:
local_id = sys_id
self.local_sys_map[local_id] = sys_id
self.sys_local_map[sys_id] = local_id
# Update order data
elif trans_type in {1, 2}:
sysid = str(data["order"])
local_id = self.sys_local_map[sysid]
order = self.orders.get(local_id, None)
if not order:
direction, order_type = ORDERTYPE_MT2VT[data["order_type"]]
order = OrderData(symbol=data["symbol"],
exchange=Exchange.OTC,
orderid=local_id,
type=order_type,
direction=direction,
price=data["order_price"],
volume=data["order_volume_initial"],
gateway_name=self.gateway_name)
self.orders[local_id] = order
order.traded = data["order_volume_initial"] - data[
"order_volume_current"]
if data["order_time_setup"]:
order.datetime = generate_datetime(data["order_time_setup"])
if data["trans_state"] in STATUS_MT2VT:
order.status = STATUS_MT2VT[data["trans_state"]]
self.on_order(order)
# Update trade data
elif trans_type == 6:
sysid = str(data["order"])
local_id = self.sys_local_map[sysid]
order = self.orders.get(local_id, None)
if order:
if data["order_time_setup"]:
order.datetime = generate_datetime(
data["order_time_setup"])
trade = TradeData(
symbol=order.symbol,
exchange=order.exchange,
direction=order.direction,
orderid=order.orderid,
tradeid=data["deal"],
price=data["trans_price"],
volume=data["trans_volume"],
datetime=datetime.now().replace(tzinfo=LOCAL_TZ),
gateway_name=self.gateway_name)
self.on_trade(trade)
