def onOrderReport(self, head: dict, data: dict) -> None:
""""""
sysid = data["clOrdId"]
orderid = data["origClOrdId"]
self.sys_local_ids[sysid] = orderid
self.local_sys_ids[orderid] = sysid
timestamp = f"{data['ordDate']} {data['ordCnfmTime']}"
dt = datetime.strptime(timestamp, "%Y%m%d %H%M%S%f")
status = STATUS_OES2VT[data["ordStatus"]]
order = self.orders.get(orderid, None)
if not order:
symbol = data["securityId"]
direction = DIRECTION_OES2VT.get(data["bsType"], None)
offset = Offset.NONE
if len(symbol) > 6:
(direction, offset) = OPTION_DIRECTION_OES2VT[data["bsType"]]
order = OrderData(orderid=orderid,
symbol=symbol,
exchange=EXCHANGE_OES2VT[data["mktId"]],
type=ORDERTYPE_OES2VT[data["ordType"]],
direction=direction,
offset=offset,
price=data["ordPrice"] / 10000,
volume=data["ordQty"],
status=status,
datetime=dt,
gateway_name=self.gateway_name)
self.gateway.on_order(order)
else:
order.status = status
order.datetime = dt
self.gateway.on_order(order)
def send_limit_order(self,
direction: Direction,
offset: Offset,
price: float,
volume: float,
extra: dict = None):
""""""
self.limit_order_count += 1
order = OrderData(symbol=self.symbol,
exchange=self.exchange,
orderid=str(self.limit_order_count),
direction=direction,
offset=offset,
price=price,
volume=volume,
status=Status.SUBMITTING,
gateway_name=self.gateway_name,
extra=extra)
order.datetime = self.datetime
self.active_limit_orders[order.vt_orderid] = order
self.limit_orders[order.vt_orderid] = order
return order.vt_orderid
def send_order(self, strategy: StrategyTemplate, vt_symbol: str,
direction: Direction, offset: Offset, price: float,
volume: float, lock: bool) -> List[str]:
""""""
price = round_to(price, self.priceticks[vt_symbol])
symbol, exchange = extract_vt_symbol(vt_symbol)
self.limit_order_count += 1
order = OrderData(
symbol=symbol,
exchange=exchange,
orderid=str(self.limit_order_count),
direction=direction,
offset=offset,
price=price,
volume=volume,
status=Status.SUBMITTING,
gateway_name=self.gateway_name,
)
order.datetime = self.datetime
self.active_limit_orders[order.vt_orderid] = order
self.limit_orders[order.vt_orderid] = order
return [order.vt_orderid]
def send_limit_order(
self,
direction: Direction,
offset: Offset,
price: float,
volume: float
):
""""""
self.limit_order_count += 1
order = OrderData(
symbol=self.symbol,
exchange=self.exchange,
orderid=str(self.limit_order_count),
direction=direction,
offset=offset,
price=price,
volume=volume,
status=Status.SUBMITTING,
gateway_name=self.gateway_name,
)
# volume是在buy里面的fixed_size
order.datetime = self.datetime
# 这个很可能是添加order的属性
self.active_limit_orders[order.vt_orderid] = order
self.limit_orders[order.vt_orderid] = order
return order.vt_orderid
def onOrderEvent(self, data: dict, error: dict, session: int) -> None:
""""""
if error["error_id"]:
self.gateway.write_error("交易委托失败", error)
symbol = data["ticker"]
if len(symbol) == 8:
direction = DIRECTION_OPTION_XTP2VT[data["side"]]
offset = OFFSET_XTP2VT[data["position_effect"]]
order_type = OPTION_ORDERTYPE_XTP2VT.get(data["price_type"],
OrderType.MARKET)
else:
direction, offset = DIRECTION_STOCK_XTP2VT[data["side"]]
if symbol.startswith("688"):
type_map = STAR_ORDERTYPE_XTP2VT
else:
type_map = EQUITY_ORDERTYPE_XTP2VT
order_type = type_map.get(data["price_type"], OrderType.MARKET)
orderid = str(data["order_xtp_id"])
if orderid not in self.orders:
order = OrderData(symbol=symbol,
exchange=MARKET_XTP2VT[data["market"]],
orderid=orderid,
type=order_type,
direction=direction,
offset=offset,
price=data["price"],
volume=data["quantity"],
traded=data["qty_traded"],
status=STATUS_XTP2VT[data["order_status"]],
gateway_name=self.gateway_name)
self.orders[orderid] = order
else:
order = self.orders[orderid]
order.traded = data["qty_traded"]
order.status = STATUS_XTP2VT[data["order_status"]]
if not order.datetime:
timestamp = str(data["insert_time"])
dt = datetime.strptime(timestamp, "%Y%m%d%H%M%S%f")
dt = CHINA_TZ.localize(dt)
order.datetime = dt
self.gateway.on_order(copy(order))
def onOrderStatus(self, data) -> None:
""""""
exchange, symbol = data["symbol"].split(".")
orderid = data["cl_order_id"]
sysid = data["order_id"]
if not orderid:
orderid = sysid
timestamp = f"{data['order_date']} {data['order_time']}"
dt = datetime.strptime(timestamp, "%Y%m%d %H%M%S%f")
dt = CHINA_TZ.localize(dt)
order = self.orders.get(orderid, None)
if not order:
order = OrderData(
orderid=orderid,
gateway_name=self.gateway_name,
symbol=symbol,
exchange=EXCHANGE_GTJA2VT[exchange],
direction=DIRECTION_GTJA2VT[data["side"]],
type=ORDERTYPE_GTJA2VT.get(data["order_type"],
OrderType.MARKET),
price=data["price"] / 10000,
volume=data["volume"],
traded=data["filled_volume"],
status=ORDERSTATUS_GTJA2VT[data["order_status"]],
datetime=dt,
)
self.orders[orderid] = order
elif not order.datetime:
order.datetime = dt
order.traded = data["filled_volume"]
order.status = ORDERSTATUS_GTJA2VT[data["order_status"]]
self.gateway.on_order(order)
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,
status=Status.ALLTRADED,
gateway_name=self.gateway_name,
)
order.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,
time=self.datetime.strftime("%H:%M:%S"),
gateway_name=self.gateway_name,
)
trade.datetime = self.datetime
self.trades[trade.vt_tradeid] = trade
# Update stop order.
stop_order.vt_orderid = order.vt_orderid
stop_order.status = StopOrderStatus.TRIGGERED
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 == 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 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)
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)
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)
