def send_order(self, strategy: MultiFactorTemplate, direction: Direction,
offset: Offset, price: float, volume: float, stop: bool,
lock: bool):
"""
cta的下单
"""
contract = self.main_engine.get_contract(strategy.vt_symbol)
if not contract:
self.write_log(f"委托失败，找不到合约：{strategy.vt_symbol}", strategy)
return ""
# Round order price and volume to nearest incremental value
# 价格，首先要对价格处理，变成可下单的价格，最小变动要保持一致
price = round_to(price, contract.pricetick)
volume = round_to(volume, contract.min_volume)
# 如果是停止单
if stop:
# 如果服务器支持，发服务器的单子，从这里可以看出，如果是支持服务器停止单的，要写在查询合约的回调函数内
if contract.stop_supported:
return self.send_server_stop_order(strategy, contract,
direction, offset, price,
volume, lock)
# 如果服务器不支持，发本地的单子
else:
return self.send_local_stop_order(strategy, direction, offset,
price, volume, lock)
else:
# 如果不是停止单，就是限价单
return self.send_limit_order(strategy, contract, direction, offset,
price, volume, lock)
def calculate_price(self):
""""""
self.clear_price()
# Go through all legs to calculate price
for n, leg in enumerate(self.legs.values()):
# Filter not all leg price data has been received
if not leg.bid_volume or not leg.ask_volume:
self.clear_price()
return
# Calculate price
price_multiplier = self.price_multipliers[leg.vt_symbol]
if price_multiplier > 0:
self.bid_price += leg.bid_price * price_multiplier
self.ask_price += leg.ask_price * price_multiplier
else:
self.bid_price += leg.ask_price * price_multiplier
self.ask_price += leg.bid_price * price_multiplier
# Round price to pricetick
if self.pricetick:
self.bid_price = round_to(self.bid_price, self.pricetick)
self.ask_price = round_to(self.ask_price, self.pricetick)
# Calculate volume
trading_multiplier = self.trading_multipliers[leg.vt_symbol]
inverse_contract = self.inverse_contracts[leg.vt_symbol]
if not inverse_contract:
leg_bid_volume = leg.bid_volume
leg_ask_volume = leg.ask_volume
else:
leg_bid_volume = calculate_inverse_volume(
leg.bid_volume, leg.bid_price, leg.size)
leg_ask_volume = calculate_inverse_volume(
leg.ask_volume, leg.ask_price, leg.size)
if trading_multiplier > 0:
adjusted_bid_volume = floor_to(
leg_bid_volume / trading_multiplier, self.min_volume)
adjusted_ask_volume = floor_to(
leg_ask_volume / trading_multiplier, self.min_volume)
else:
adjusted_bid_volume = floor_to(
leg_ask_volume / abs(trading_multiplier), self.min_volume)
adjusted_ask_volume = floor_to(
leg_bid_volume / abs(trading_multiplier), self.min_volume)
# For the first leg, just initialize
if not n:
self.bid_volume = adjusted_bid_volume
self.ask_volume = adjusted_ask_volume
# For following legs, use min value of each leg quoting volume
else:
self.bid_volume = min(self.bid_volume, adjusted_bid_volume)
self.ask_volume = min(self.ask_volume, adjusted_ask_volume)
# Update calculate time
self.datetime = datetime.now(LOCAL_TZ)
def hedge_passive_legs(self):
"""
Send orders to hedge all passive legs.
"""
# Calcualte spread volume to hedge
active_leg = self.spread.active_leg
active_traded = self.leg_traded[active_leg.vt_symbol]
active_traded = round_to(active_traded, self.spread.min_volume)
hedge_volume = self.spread.calculate_spread_volume(
active_leg.vt_symbol,
active_traded
)
# Calculate passive leg target volume and do hedge
for leg in self.spread.passive_legs:
passive_traded = self.leg_traded[leg.vt_symbol]
passive_traded = round_to(passive_traded, self.spread.min_volume)
passive_target = self.spread.calculate_leg_volume(
leg.vt_symbol,
hedge_volume
)
leg_order_volume = passive_target - passive_traded
if leg_order_volume:
self.send_leg_order(leg.vt_symbol, leg_order_volume)
def send_order(self, strategy: CtaTemplate, direction: Direction,
offset: Offset, price: float, volume: float, stop: bool,
lock: bool):
"""
"""
contract = self.main_engine.get_contract(strategy.vt_symbol)
if not contract:
self.write_log(f"委托失败，找不到合约：{strategy.vt_symbol}", strategy)
return ""
# Round order price and volume to nearest incremental value
price = round_to(price, contract.pricetick)
# volume = round_to(volume, contract.min_volume)
# 判断是现货交易所，下单量的精度调整
if strategy.exchangematerial in EXCHANGE_MATERIAL:
# 如果在列表里，下单量就不做任何四舍五入处理（原样）
pass
else:
volume = round_to(volume, contract.min_volume)
if stop:
if contract.stop_supported:
return self.send_server_stop_order(strategy, contract,
direction, offset, price,
volume, lock)
else:
return self.send_local_stop_order(strategy, direction, offset,
price, volume, lock)
else:
return self.send_limit_order(strategy, contract, direction, offset,
price, volume, lock)
def send_order(self, strategy: CtaTemplate, direction: Direction,
offset: Offset, price: float, volume: float, stop: bool,
lock: bool):
"""
"""
contract = self.main_engine.get_contract(strategy.vt_symbol)
if not contract:
self.write_log(f"委托失败，找不到合约：{strategy.vt_symbol}", strategy)
return ""
# Round order price and volume to nearest incremental value
price = round_to(price, contract.pricetick)
volume = round_to(volume, contract.min_volume)
if stop:
if contract.stop_supported:
return self.send_server_stop_order(strategy, contract,
direction, offset, price,
volume, lock)
else:
return self.send_local_stop_order(strategy, direction, offset,
price, volume, lock)
else:
return self.send_limit_order(strategy, contract, direction, offset,
price, volume, lock)
def on_trade(self, trade: TradeData):
# 同步数据到数据库
if self.entrust == 0:
if trade.offset == Offset.OPEN:
msg = f'{trade.offset.value}{trade.direction.value},{trade.volume}张,成交价:{trade.price}'
self.entrust = 1
self.write_log(f'交易完成,{trade.orderid[-3:]},{msg}')
if trade.direction == Direction.LONG:
price = self.ask_price
price = round_to(price, self.min_diff)
ref = self.sell(price, self.input_ss, False)
self.write_log(u'平多单{},价:{}'.format(ref[-5:-3], price))
elif trade.direction == Direction.SHORT:
price = self.bid_price
price = round_to(price, self.min_diff)
ref = self.cover(price, self.input_ss, False)
self.write_log(u'平空单{},价:{}'.format(ref[-5:-3], price))
else:
if trade.direction == Direction.LONG:
direc = '空'
else:
direc = '多'
msg = f'{trade.offset.value}{direc},{trade.volume}张,成交价:{trade.price}'
self.write_log(f'交易完成,{trade.orderid[-3:]},{msg}')
self.put_event()
def send_order(
self,
strategy: StrategyTemplate,
vt_symbol: str,
direction: Direction,
offset: Offset,
price: float,
volume: float,
lock: bool,
net: bool,
):
"""
Send a new order to server.
"""
contract: ContractData = self.main_engine.get_contract(vt_symbol)
if not contract:
self.write_log(f"委托失败，找不到合约：{vt_symbol}", strategy)
return ""
# Round order price and volume to nearest incremental value
price = round_to(price, contract.pricetick)
volume = round_to(volume, contract.min_volume)
# Create request and send order.
original_req = OrderRequest(
symbol=contract.symbol,
exchange=contract.exchange,
direction=direction,
offset=offset,
type=OrderType.LIMIT,
price=price,
volume=volume,
reference=f"{APP_NAME}_{strategy.strategy_name}")
# Convert with offset converter
req_list = self.offset_converter.convert_order_request(
original_req, lock, net)
# Send Orders
vt_orderids = []
for req in req_list:
req.reference = strategy.strategy_name # Add strategy name as order reference
vt_orderid = self.main_engine.send_order(req,
contract.gateway_name)
# Check if sending order successful
if not vt_orderid:
continue
vt_orderids.append(vt_orderid)
self.offset_converter.update_order_request(req, vt_orderid)
# Save relationship between orderid and strategy.
self.orderid_strategy_map[vt_orderid] = strategy
return vt_orderids
def calculate_traded(self):
""""""
# Calculate traded volume
self.traded = 0
for n, leg in enumerate(self.spread.legs.values()):
leg_traded = self.leg_traded[leg.vt_symbol]
trading_multiplier = self.spread.trading_multipliers[leg.vt_symbol]
adjusted_leg_traded = leg_traded / trading_multiplier
adjusted_leg_traded = round_to(adjusted_leg_traded,
self.spread.min_volume)
if adjusted_leg_traded > 0:
adjusted_leg_traded = floor_to(adjusted_leg_traded,
self.spread.min_volume)
else:
adjusted_leg_traded = ceil_to(adjusted_leg_traded,
self.spread.min_volume)
if not n:
self.traded = adjusted_leg_traded
else:
if adjusted_leg_traded > 0:
self.traded = min(self.traded, adjusted_leg_traded)
elif adjusted_leg_traded < 0:
self.traded = max(self.traded, adjusted_leg_traded)
else:
self.traded = 0
self.traded_volume = abs(self.traded)
if self.target > 0 and self.traded >= self.target:
self.status = Status.ALLTRADED
elif self.target < 0 and self.traded <= self.target:
self.status = Status.ALLTRADED
elif not self.traded:
self.status = Status.NOTTRADED
else:
self.status = Status.PARTTRADED
# Calculate traded price
self.traded_price = 0
for n, leg in enumerate(self.spread.legs.values()):
# If any leg is not traded yet, set spread trade price to 0
leg_traded = self.leg_traded[leg.vt_symbol]
if not leg_traded:
self.traded_price = 0
break
leg_cost = self.leg_cost[leg.vt_symbol]
leg_price = leg_cost / leg_traded
price_multiplier = self.spread.price_multipliers[leg.vt_symbol]
self.traded_price += leg_price * price_multiplier
self.traded_price = round_to(self.traded_price, self.spread.pricetick)
def send_order(self, strategy: CtaTemplate, direction: Direction,
offset: Offset, price: float, volume: float, stop: bool,
lock: bool):
""""""
if callable(self.pricetick):
price = round_to(price, self.pricetick(price))
else:
price = round_to(price, self.pricetick)
if stop:
vt_orderid = self.send_stop_order(direction, offset, price, volume)
else:
vt_orderid = self.send_limit_order(direction, offset, price,
volume)
return [vt_orderid]
def on_order(self, order: OrderData):
"""
Callback of new order data update.
"""
msg = f'\t报单更新,{order.orderid},{order.symbol},{order.offset.value},价:{order.price},委托:{order.volume},{order.status.value}'
self.write_log(msg)
if order.volume == order.traded or order.status == Status.ALLTRADED:
# 开仓，平仓委托单全部成交
# 计算收益
if order.direction == Direction.LONG:
self.buy_times = self.buy_times + 1
self.roi = self.roi - order.price * order.traded * self.rate
else:
self.sell_times = self.sell_times + 1
self.roi = self.roi + (order.price - self.base_line -
order.price * self.rate) * order.traded
self.base_line = order.price
self.new_up = self.base_line * (1 + self.grid_height / 100)
self.new_down = self.base_line / (1 + self.grid_height / 100)
self.new_down = round_to(self.new_down, self.min_diff)
self.entrust = 0
if self.get_engine_type() == EngineType.LIVE:
base_pos = self.cta_engine.main_engine.get_account('.'.join(
[order.exchange.value, self.base]))
volumn = round_to(base_pos.balance, self.min_volumn)
else:
volumn = 10
sub = order.symbol + ' ' + order.offset.value + u',{}'.format(
order.price)
self.roi = round(self.roi, 4)
msg2 = u'{},\n低吸次数:{},高抛次数:{},套利:{}{}, 持仓{}'.format(
msg, self.buy_times, self.sell_times, self.roi, self.quote,
volumn)
if self.get_engine_type() == EngineType.LIVE:
self.send_email(msg2)
sendWxMsg(sub, msg2)
elif order.status in [Status.CANCELLED, Status.REJECTED]:
self.write_log("取消多余的单")
self.cancel_all()
sleep(10) # 10s
self.entrust = 0
self.put_event()
def calculate_traded_price(self):
""""""
self.traded_price = 0
spread = self.spread
# Basic spread
if not isinstance(spread, AdvancedSpreadData):
for leg in spread.legs.values():
# If any leg is not traded yet, set spread trade price to 0
leg_traded = self.leg_traded[leg.vt_symbol]
if not leg_traded:
self.traded_price = 0
break
leg_cost = self.leg_cost[leg.vt_symbol]
leg_price = leg_cost / leg_traded
price_multiplier = spread.price_multipliers[leg.vt_symbol]
self.traded_price += leg_price * price_multiplier
self.traded_price = round_to(self.traded_price, spread.pricetick)
# Advanced spread
else:
data = {}
for variable, vt_symbol in spread.variable_symbols.items():
leg = spread.legs[vt_symbol]
trading_multiplier = spread.trading_multipliers[leg.vt_symbol]
# Use last price for non-trading leg (trading multiplier is 0)
if not trading_multiplier:
data[variable] = leg.tick.last_price
else:
# If any leg is not traded yet, clear data dict to set traded price to 0
leg_traded = self.leg_traded[leg.vt_symbol]
if not leg_traded:
data.clear()
break
leg_cost = self.leg_cost[leg.vt_symbol]
data[variable] = leg_cost / leg_traded
if data:
self.traded_price = spread.parse_formula(
spread.price_code, data)
self.traded_price = round_to(self.traded_price,
spread.pricetick)
else:
self.traded_price = 0
def send_order(
self,
vt_symbol: str,
price: float,
volume: float,
direction: Direction,
):
""""""
# For inverse contract:
# calculate contract trading volume from coin trading volume
if self.spread.is_inverse(vt_symbol):
size = self.spread.get_leg_size(vt_symbol)
if self.offset == Offset.CLOSE:
leg = self.spread.legs[vt_symbol]
volume = volume * leg.net_pos_price / size
else:
volume = volume * price / size
# Round order volume to min_volume of contract
leg = self.spread.legs[vt_symbol]
volume = round_to(volume, leg.min_volume)
# If new order volume is 0, then check if algo finished
if not volume:
finished = self.check_algo_finished()
if finished:
self.status = Status.ALLTRADED
self.put_event()
msg = "各腿剩余数量均不足最小下单量，算法执行结束"
self.write_log(msg)
return
# Round order price to pricetick of contract
price = round_to(price, leg.pricetick)
# Otherwise send order
vt_orderids = self.algo_engine.send_order(self, vt_symbol, price,
volume, direction, self.lock)
self.leg_orders[vt_symbol].extend(vt_orderids)
msg = "发出委托[{}]，{}，{}，{}@{}".format("|".join(vt_orderids), vt_symbol,
direction.value, volume, price)
self.write_log(msg)
def send_order(
self,
algo: AlgoTemplate,
vt_symbol: str,
direction: Direction,
price: float,
volume: float,
order_type: OrderType,
offset: Offset
):
""""""
contract = self.main_engine.get_contract(vt_symbol)
if not contract:
self.write_log(f'委托下单失败，找不到合约：{vt_symbol}', algo)
return
volume = round_to(volume, contract.min_volume)
if not volume:
return ""
req = OrderRequest(
symbol=contract.symbol,
exchange=contract.exchange,
direction=direction,
type=order_type,
volume=volume,
price=price,
offset=offset,
reference=f"{APP_NAME}_{algo.algo_name}"
)
vt_orderid = self.main_engine.send_order(req, contract.gateway_name)
self.orderid_algo_map[vt_orderid] = algo
return vt_orderid
def send_order(self, strategy: CtaTemplate, direction: Direction,
offset: Offset, price: float, volume: float, stop: bool,
lock: bool):
""""""
price = round_to(price, self.pricetick)
vt_orderid = self.send_limit_order(direction, offset, price, volume)
return [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,
datetime=self.datetime,
gateway_name=self.gateway_name,
)
self.active_limit_orders[order.vt_orderid] = order
self.limit_orders[order.vt_orderid] = order
return [order.vt_orderid]
def on_order(self, packet: dict) -> None:
"""委托更新推送"""
data = packet["data"]
for d in data:
order: OrderData = parse_order_data(d, self.gateway_name)
self.gateway.on_order(order)
# 检查是否有成交
if d["fillSz"] == "0":
return
# 将成交数量四舍五入到正确精度
trade_volume: float = float(d["fillSz"])
contract: ContractData = symbol_contract_map.get(
order.symbol, None)
if contract:
trade_volume = round_to(trade_volume, contract.min_volume)
trade: TradeData = TradeData(
symbol=order.symbol,
exchange=order.exchange,
orderid=order.orderid,
tradeid=d["tradeId"],
direction=order.direction,
offset=order.offset,
price=float(d["fillPx"]),
volume=trade_volume,
datetime=parse_timestamp(d["uTime"]),
gateway_name=self.gateway_name,
)
self.gateway.on_trade(trade)
def on_order(self, data: dict) -> None:
""""""
orderid = data["clientOrderId"]
order = self.gateway.get_order(orderid)
if not order:
return
traded_volume = float(data.get("tradeVolume", 0))
contract = symbol_contract_map.get(order.symbol, None)
if contract:
traded_volume = round_to(traded_volume, contract.min_volume)
# Push order event
order.traded += traded_volume
order.status = STATUS_HUOBI2VT.get(data["orderStatus"], None)
self.gateway.on_order(order)
# Push trade event
if not traded_volume:
return
trade = TradeData(
symbol=order.symbol,
exchange=Exchange.HUOBI,
orderid=order.orderid,
tradeid=str(data["tradeId"]),
direction=order.direction,
price=float(data["tradePrice"]),
volume=traded_volume,
datetime=datetime.now(CHINA_TZ),
gateway_name=self.gateway_name,
)
self.gateway.on_trade(trade)
def __init__(self, algo_engine: BaseEngine, algo_name: str, setting: dict):
""""""
super().__init__(algo_engine, algo_name, setting)
# Parameters
self.vt_symbol = setting["vt_symbol"]
self.direction = Direction(setting["direction"])
self.price = setting["price"]
self.volume = setting["volume"]
self.time = setting["time"]
self.interval = setting["interval"]
self.offset = Offset(setting["offset"])
# Variables
self.order_volume = self.volume / (self.time / self.interval)
contract = self.get_contract(self.vt_symbol)
if contract:
self.order_volume = round_to(self.order_volume,
contract.min_volume)
self.timer_count = 0
self.total_count = 0
self.traded = 0
self.last_tick = None
self.subscribe(self.vt_symbol)
self.put_parameters_event()
self.put_variables_event()
def load_bar_data(
spread: SpreadData,
interval: Interval,
start: datetime,
end: datetime,
pricetick: float = 0
):
""""""
# Load bar data of each spread leg
leg_bars: Dict[str, Dict] = {}
for vt_symbol in spread.legs.keys():
symbol, exchange = extract_vt_symbol(vt_symbol)
bar_data: List[BarData] = database_manager.load_bar_data(
symbol, exchange, interval, start, end
)
bars: Dict[datetime, BarData] = {bar.datetime: bar for bar in bar_data}
leg_bars[vt_symbol] = bars
# Calculate spread bar data
spread_bars: List[BarData] = []
for dt in bars.keys():
spread_price = 0
spread_value = 0
spread_available = True
for leg in spread.legs.values():
leg_bar = leg_bars[leg.vt_symbol].get(dt, None)
if leg_bar:
price_multiplier = spread.price_multipliers[leg.vt_symbol]
spread_price += price_multiplier * leg_bar.close_price
spread_value += abs(price_multiplier) * leg_bar.close_price
else:
spread_available = False
if spread_available:
if pricetick:
spread_price = round_to(spread_price, pricetick)
spread_bar = BarData(
symbol=spread.name,
exchange=exchange.LOCAL,
datetime=dt,
interval=interval,
open_price=spread_price,
high_price=spread_price,
low_price=spread_price,
close_price=spread_price,
gateway_name="SPREAD",
)
spread_bar.value = spread_value
spread_bars.append(spread_bar)
return spread_bars
def generate_rand_volume(self):
""""""
rand_volume = uniform(self.min_volume, self.max_volume)
rand_volume = round_to(rand_volume, self.volume_change)
if self.volume_change == 1:
rand_volume = int(rand_volume)
return rand_volume
def on_start(self):
"""
Callback when strategy is started.
"""
self.new_up = self.base_line * (1 + self.grid_height / 100)
self.new_down = self.base_line / (1 + self.grid_height / 100)
self.new_down = round_to(self.new_down, self.min_diff)
self.write_log("策略启动")
def onMarketData(self, mk_type: int, symbol: str, data: dict) -> None:
""""""
timestamp = f"{self.date}{str(data['nTime'])}"
dt = datetime.strptime(timestamp, "%Y%m%d%H%M%S%f")
dt = CHINA_TZ.localize(dt)
tick = TickData(symbol=symbol,
exchange=MK_GTJA2VT[mk_type],
datetime=dt,
volume=data["iVolume"],
last_price=data["uMatch"] / 10000,
limit_up=data["uHighLimited"] / 10000,
limit_down=data["uLowLimited"] / 10000,
open_price=data["uOpen"] / 10000,
high_price=data["uHigh"] / 10000,
low_price=data["uLow"] / 10000,
pre_close=data["uPreClose"] / 10000,
gateway_name=self.gateway_name)
tick.bid_price_1, tick.bid_price_2, tick.bid_price_3, tick.bid_price_4, tick.bid_price_5 = data[
"bid"][0:5]
tick.ask_price_1, tick.ask_price_2, tick.ask_price_3, tick.ask_price_4, tick.ask_price_5 = data[
"ask"][0:5]
tick.bid_volume_1, tick.bid_volume_2, tick.bid_volume_3, tick.bid_volume_4, tick.bid_volume_5 = data[
"bid_qty"][0:5]
tick.ask_volume_1, tick.ask_volume_2, tick.ask_volume_3, tick.ask_volume_4, tick.ask_volume_5 = data[
"ask_qty"][0:5]
pricetick = symbol_pricetick_map.get(tick.vt_symbol, 0)
if pricetick:
tick.bid_price_1 = round_to(tick.bid_price_1 / 10000, pricetick)
tick.bid_price_2 = round_to(tick.bid_price_2 / 10000, pricetick)
tick.bid_price_3 = round_to(tick.bid_price_3 / 10000, pricetick)
tick.bid_price_4 = round_to(tick.bid_price_4 / 10000, pricetick)
tick.bid_price_5 = round_to(tick.bid_price_5 / 10000, pricetick)
tick.ask_price_1 = round_to(tick.ask_price_1 / 10000, pricetick)
tick.ask_price_2 = round_to(tick.ask_price_2 / 10000, pricetick)
tick.ask_price_3 = round_to(tick.ask_price_3 / 10000, pricetick)
tick.ask_price_4 = round_to(tick.ask_price_4 / 10000, pricetick)
tick.ask_price_5 = round_to(tick.ask_price_5 / 10000, pricetick)
tick.name = symbol_name_map.get(tick.vt_symbol, tick.symbol)
self.gateway.on_tick(tick)
def cal_annual_returns(trades: {}, end_date, end_cash):
"""计算年化收益，需要交易日、金额， 截止日：金额"""
# cash1 * (1 + x / 100)^[(end_date - self.start_date)/365] + cash2 * (1 + x / 100)^[(end_date - self.start_date)/365] = end_val
# trades, key: date, value: cash
expression = ''
for date, cash in trades.items():
td = round_to((end_date - date).days / 365, 0.001)
expression = expression + str(cash) + '*(1 + x) **' + str(td) + '+'
expression = expression[:-1] + '-' + str(end_cash)
return expression
def onDepthMarketData(self, data: dict) -> None:
""""""
timestamp = str(data["data_time"])
dt = datetime.strptime(timestamp, "%Y%m%d%H%M%S%f")
dt = dt.replace(tzinfo=CHINA_TZ)
tick = TickData(symbol=data["ticker"],
exchange=EXCHANGE_XTP2VT[data["exchange_id"]],
datetime=dt,
volume=data["qty"],
last_price=data["last_price"],
limit_up=data["upper_limit_price"],
limit_down=data["lower_limit_price"],
open_price=data["open_price"],
high_price=data["high_price"],
low_price=data["low_price"],
pre_close=data["pre_close_price"],
gateway_name=self.gateway_name)
tick.bid_price_1, tick.bid_price_2, tick.bid_price_3, tick.bid_price_4, tick.bid_price_5 = data[
"bid"][0:5]
tick.ask_price_1, tick.ask_price_2, tick.ask_price_3, tick.ask_price_4, tick.ask_price_5 = data[
"ask"][0:5]
tick.bid_volume_1, tick.bid_volume_2, tick.bid_volume_3, tick.bid_volume_4, tick.bid_volume_5 = data[
"bid_qty"][0:5]
tick.ask_volume_1, tick.ask_volume_2, tick.ask_volume_3, tick.ask_volume_4, tick.ask_volume_5 = data[
"ask_qty"][0:5]
pricetick = symbol_pricetick_map.get(tick.vt_symbol, 0)
if pricetick:
tick.bid_price_1 = round_to(tick.bid_price_1, pricetick)
tick.bid_price_2 = round_to(tick.bid_price_2, pricetick)
tick.bid_price_3 = round_to(tick.bid_price_3, pricetick)
tick.bid_price_4 = round_to(tick.bid_price_4, pricetick)
tick.bid_price_5 = round_to(tick.bid_price_5, pricetick)
tick.ask_price_1 = round_to(tick.ask_price_1, pricetick)
tick.ask_price_2 = round_to(tick.ask_price_2, pricetick)
tick.ask_price_3 = round_to(tick.ask_price_3, pricetick)
tick.ask_price_4 = round_to(tick.ask_price_4, pricetick)
tick.ask_price_5 = round_to(tick.ask_price_5, pricetick)
tick.name = symbol_name_map.get(tick.vt_symbol, tick.symbol)
self.gateway.on_tick(tick)
def calculate_price(self) -> None:
""""""
option = self.option
# Get ref price
self.pricing_impv = option.pricing_impv
ref_price = option.calculate_ref_price()
self.ref_price = round_to(ref_price, self.pricetick)
# Calculate spread
algo_spread = max(self.price_spread,
self.volatility_spread * option.cash_vega)
half_spread = algo_spread / 2
# Calculate bid/ask
self.algo_bid_price = round_to(ref_price - half_spread, self.pricetick)
self.algo_ask_price = round_to(ref_price + half_spread, self.pricetick)
self.algo_spread = round_to(algo_spread, self.pricetick)
self.put_pricing_event()
def update_trade(self, trade: TradeData):
""""""
# For inverse contract:
# record coin trading volume as leg trading volume,
# not contract volume!
if self.spread.is_inverse(trade.vt_symbol):
size = self.spread.get_leg_size(trade.vt_symbol)
trade_volume = calculate_inverse_volume(
trade.volume,
trade.price,
size
)
else:
trade_volume = trade.volume
if trade.direction == Direction.LONG:
self.leg_traded[trade.vt_symbol] += trade_volume
self.leg_cost[trade.vt_symbol] += trade_volume * trade.price
else:
self.leg_traded[trade.vt_symbol] -= trade_volume
self.leg_cost[trade.vt_symbol] -= trade_volume * trade.price
self.calculate_traded_volume()
self.calculate_traded_price()
# Sum up total traded volume of each order,
self.order_trade_volume[trade.vt_orderid] += trade.volume
# Remove order from active list if all volume traded
order = self.orders[trade.vt_orderid]
contract = self.get_contract(trade.vt_symbol)
trade_volume = round_to(
self.order_trade_volume[order.vt_orderid],
contract.min_volume
)
if trade_volume == order.volume:
vt_orderids = self.leg_orders[order.vt_symbol]
if order.vt_orderid in vt_orderids:
vt_orderids.remove(order.vt_orderid)
msg = "委托成交[{}]，{}，{}，{}@{}".format(
trade.vt_orderid,
trade.vt_symbol,
trade.direction.value,
trade.volume,
trade.price
)
self.write_log(msg)
self.put_event()
self.on_trade(trade)
def onRtnOptionData(self, head: dict, data: dict) -> None:
""""""
timestamp = f"{head['tradeDate']} {head['updateTime']}"
tick = TickData(symbol=data["SecurityID"],
exchange=EXCHANGE_OES2VT[head["exchId"]],
datetime=datetime.strptime(timestamp,
"%Y%m%d %H%M%S%f"),
volume=data["TotalVolumeTraded"],
pre_close=data["PrevClosePx"],
last_price=data["TradePx"] / 10000,
open_price=data["OpenPx"] / 10000,
high_price=data["HighPx"] / 10000,
low_price=data["LowPx"] / 10000,
gateway_name=self.gateway_name)
tick.bid_price_1, tick.bid_price_2, tick.bid_price_3, tick.bid_price_4, tick.bid_price_5 = data[
"bid"][0:5]
tick.ask_price_1, tick.ask_price_2, tick.ask_price_3, tick.ask_price_4, tick.ask_price_5 = data[
"ask"][0:5]
tick.bid_volume_1, tick.bid_volume_2, tick.bid_volume_3, tick.bid_volume_4, tick.bid_volume_5 = data[
"bid_qty"][0:5]
tick.ask_volume_1, tick.ask_volume_2, tick.ask_volume_3, tick.ask_volume_4, tick.ask_volume_5 = data[
"ask_qty"][0:5]
pricetick = SYMBOL_PRICETICK_MAP.get(tick.vt_symbol, 0)
if pricetick:
tick.bid_price_1 = round_to(tick.bid_price_1 / 10000, pricetick)
tick.bid_price_2 = round_to(tick.bid_price_2 / 10000, pricetick)
tick.bid_price_3 = round_to(tick.bid_price_3 / 10000, pricetick)
tick.bid_price_4 = round_to(tick.bid_price_4 / 10000, pricetick)
tick.bid_price_5 = round_to(tick.bid_price_5 / 10000, pricetick)
tick.ask_price_1 = round_to(tick.ask_price_1 / 10000, pricetick)
tick.ask_price_2 = round_to(tick.ask_price_2 / 10000, pricetick)
tick.ask_price_3 = round_to(tick.ask_price_3 / 10000, pricetick)
tick.ask_price_4 = round_to(tick.ask_price_4 / 10000, pricetick)
tick.ask_price_5 = round_to(tick.ask_price_5 / 10000, pricetick)
tick.name = SYMBOL_NAME_MAP.get(tick.vt_symbol, "")
self.gateway.on_tick(tick)
def process_trade_event(self, event: Event):
""""""
trade = event.data
# Filter duplicate trade push
if trade.vt_tradeid in self.vt_tradeids:
return
self.vt_tradeids.add(trade.vt_tradeid)
self.offset_converter.update_trade(trade)
strategy = self.orderid_strategy_map.get(trade.vt_orderid, None)
if not strategy:
return
contract = self.main_engine.get_contract(strategy.vt_symbol)
if not contract:
volume = trade.volume
else:
# Round order price and volume to nearest incremental value
volume = round_to(trade.volume, contract.min_volume)
# Update strategy pos before calling on_trade method
if trade.direction == Direction.LONG:
strategy.pos += volume
else:
strategy.pos -= volume
if contract:
strategy.pos = round_to(strategy.pos, contract.min_volume)
self.call_strategy_func(strategy, strategy.on_trade, trade)
# Sync strategy variables to data file
self.sync_strategy_data(strategy)
# Update GUI
self.put_strategy_event(strategy)
def send_order(self, strategy: CtaTemplate, direction: Direction,
offset: Offset, price: float, volume: float, lock: bool,
order_type: OrderType, extra: dict):
""""""
price = round_to(price, self.pricetick)
if order_type == order_type.STOP:
vt_orderid = self.send_stop_order(direction, offset, price, volume)
elif order_type == order_type.MARKET:
vt_orderid = self.send_market_order(direction, offset, price,
volume, extra)
else:
vt_orderid = self.send_limit_order(direction, offset, price,
volume, extra)
return [vt_orderid]
def on_trade(self, trade: TradeData):
# 同步数据到数据库
self.posPrice = trade.price
self.sync_data()
if self.entrust == 0:
msg = u'{}{},{}张,成交价:{}'.format(trade.offset.value,
trade.direction.value,
trade.volume, trade.price)
self.write_log(u'交易完成,{},{},pos:{}'.format(trade.orderid, msg,
self.poss))
if trade.offset == Offset.OPEN:
if trade.direction == Direction.LONG:
price = trade.price - self.step
price = round_to(price, self.min_diff)
ref = self.sell(price, self.input_ss, True)
self.write_log(u'开多停止单{},价:{}'.format(ref, price))
elif trade.direction == Direction.SHORT:
price = trade.price + self.step
price = round_to(price, self.min_diff)
ref = self.cover(price, self.input_ss, True)
self.write_log(u'开空停止单{},价:{}'.format(ref, price))
self.put_event()
