def on_order(self, order: OrderData):
""""""
if order.vt_symbol == self.active_vt_symbol:
if not order.is_active():
self.active_vt_orderid = ""
elif order.vt_symbol == self.passive_vt_symbol:
if not order.is_active():
self.passive_vt_orderid = ""
self.put_variables_event()
def on_order(self, order: OrderData):
"""收到订单之后的处理"""
if order.vt_symbol == self.active_vt_symbol:
# 如果订单仍有效 submitting
if not order.is_active():
self.active_vt_orderid = ""
elif order.vt_symbol == self.passive_vt_symbol:
# 如果订单仍有效
if not order.is_active():
self.passive_vt_orderid = ""
self.put_variables_event()
def on_order(self, order: OrderData) -> None:
""""""
if not order.is_active():
if order.vt_orderid in self.long_active_orderids:
self.long_active_orderids.remove(order.vt_orderid)
elif order.vt_orderid in self.short_active_orderids:
self.short_active_orderids.remove(order.vt_orderid)
def on_order(self, order: OrderData):
""""""
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 order.status in [Status.CANCELLED, Status.REJECTED]:
if self.day_clearance:
# pos = copy.deepcopy(self.pos)
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:
if self.pos > 0:
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:
self.cover_lvt_orderids = self.cover(
self.liq_price + 5, abs(self.pos))
def on_order(self, order: OrderData):
""""""
self.traded = order.traded
self.order_status = order.status
if not order.is_active():
self.stop()
self.put_variables_event()
def update_order(self, order: OrderData) -> None:
"""
Callback of new order data update.
"""
self.orders[order.vt_orderid] = order
if not order.is_active() and order.vt_orderid in self.active_orderids:
self.active_orderids.remove(order.vt_orderid)
def update_order(self, order: OrderData):
""""""
if not order.is_active():
vt_orderids = self.leg_orders[order.vt_symbol]
if order.vt_orderid in vt_orderids:
vt_orderids.remove(order.vt_orderid)
self.on_order(order)
def on_order(self, order: OrderData):
""""""
msg = f"委托号：{order.vt_orderid}，委托状态：{order.status.value}"
self.write_log(msg)
if not order.is_active():
self.vt_orderid = ""
self.put_variables_event()
def update_order(self, order: OrderData):
"""
Callback when order status is updated.
"""
if not order.is_active() and order.vt_orderid in self.vt_orderids:
self.vt_orderids.remove(order.vt_orderid)
self.on_order(order)
def on_order(self, order: OrderData):
"""
Callback of new order data update.
"""
vt_orderid = order.vt_orderid
if not order.is_active() and vt_orderid in self.vt_orderids:
self.vt_orderids.remove(vt_orderid)
def update_order(self, order: OrderData):
""""""
if order.is_active():
self.active_orders[order.vt_orderid] = order
elif order.vt_orderid in self.active_orders:
self.active_orders.pop(order.vt_orderid)
self.on_order(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, 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 on_order(self, order: OrderData):
super().on_order(order)
vt_orderid = order.vt_orderid
if not order.is_active():
if vt_orderid in self.active_orderids:
self.active_orderids.remove(vt_orderid)
if vt_orderid in self.cancel_orderids:
self.cancel_orderids.remove(vt_orderid)
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 and not self.night_clearance:
if self.pos == 0:
if self.ultosc > self.buy_dis:
if not self.cta_engine.strategy_orderid_map[self.strategy_name]:
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:
if not self.cta_engine.strategy_orderid_map[self.strategy_name]:
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)
if not self.cta_engine.strategy_orderid_map[self.strategy_name]:
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)
if not self.cta_engine.strategy_orderid_map[self.strategy_name]:
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 self.pos > 0:
if not self.cta_engine.strategy_orderid_map[self.strategy_name]:
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:
if not self.cta_engine.strategy_orderid_map[self.strategy_name]:
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(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}"
)
if order.is_active():
return
if self.day_clearance:
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 order.status in [Status.CANCELLED, Status.REJECTED]:
if self.day_clearance:
pos = copy.deepcopy(self.pos)
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:
if self.pos > 0:
self.sell_lvt_orderids = 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_lvt_orderids = 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(self, data: dict):
""""""
if data["order_type"] not in ORDERTYPE_DERIBIT2VT:
self.gateway.write_log(f"收到不支持的类型委托推送{data}")
return
if data["label"]:
local_id = data["label"]
else:
local_id = data["order_id"]
sys_id = data["order_id"]
self.local_sys_map[local_id] = sys_id
self.sys_local_map[sys_id] = local_id
if data["price"].isdigit():
price = float(data["price"])
else:
price = 0
order = OrderData(
symbol=data["instrument_name"],
exchange=Exchange.DERIBIT,
type=ORDERTYPE_DERIBIT2VT[data["order_type"]],
orderid=local_id,
direction=DIRECTION_DERIBIT2VT[data["direction"]],
price=price,
volume=float(data["amount"]),
traded=float(data["filled_amount"]),
datetime=generate_datetime(data["last_update_timestamp"]),
status=STATUS_DERIBIT2VT[data["order_state"]],
gateway_name=self.gateway_name,
)
if data["reduce_only"]:
order.offset = Offset.CLOSE
self.gateway.on_order(order)
# Send cancel requests if necessary
if order.orderid in self.cancel_requests:
req = self.cancel_requests.pop(order.orderid)
if order.is_active():
self.cancel_order(req)
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 (self.clearance_time <= self.on_bar_time <= self.liq_time):
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:
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.cover_lvt_orderids:
self.cover_lvt_orderids = self.cover(self.liq_price + 5, abs(self.pos))
def on_order(self, order: OrderData):
""""""
# 遭遇拒单则停止策略 事前风控引擎超量，交易所拒，账户上资金不足等
if order.status == Status.REJECTED:
self.stop()
return
# Only care active leg order update
if order.vt_symbol != self.spread.active_leg.vt_symbol:
return
# Clear quote price record
if not order.is_active():
self.active_quote_price = 0 # 下一轮 在 on_tick
# Do nothing if still any existing orders
if not self.check_order_finished():
return
# Hedge passive legs if necessary
if not self.check_hedge_finished():
self.hedge_passive_legs()
def on_order(self, order: OrderData):
""""""
if not order.is_active():
self.vt_orderid = ""
self.order_price = 0
self.put_variables_event()
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 trade_data1.vt_orderid trade_data1.tradeid trade_data1.offset trade_data1.direction
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}")
