def settle_for_stocks(self, last_date, date):
if self.df_dividend is None:
return
df = self.df_dividend.loc[(self.df_dividend['exdiv_date'] > last_date) & (self.df_dividend['exdiv_date'] <= date)]
if df.empty:
return
df2 = df.set_index('symbol')
for symbol in df2.index:
if symbol in self.ctx.pm.holding_securities:
df_symbol = df2.loc[symbol]
shares_ratio = df_symbol['shares']
cash_ratio = df_symbol['cash_tax']
pos = self.ctx.pm.get_position(symbol).current_size
if cash_ratio > 0:
cash_added = cash_ratio * pos
#self.ctx.pm.cash += cash_added
trade_ind1, trade_ind2 = generate_cash_trade_ind(symbol, cash_added, date, 60000)
self.ctx.strategy.on_trade(trade_ind1)
self.ctx.strategy.on_trade(trade_ind2)
if shares_ratio > 0:
pos_diff = abs(pos * shares_ratio)
trade_ind = Trade()
trade_ind.symbol = symbol
trade_ind.task_id = self.POSITION_ADJUST_NO
trade_ind.entrust_no = self.POSITION_ADJUST_NO
if pos > 0:
trade_ind.entrust_action = common.ORDER_ACTION.BUY
else:
trade_ind.entrust_action = common.ORDER_ACTION.SELL
trade_ind.set_fill_info(price=0.0, size=pos_diff, date=date, time=60000, no=self.POSITION_ADJUST_NO)
self.ctx.strategy.on_trade(trade_ind)
def match(self, price_dic, date=19700101, time=150000):
self._validate_price(price_dic)
results = []
for order in self.__orders.values():
symbol = order.symbol
symbol_dic = price_dic[symbol]
# get fill price
if isinstance(order, FixedPriceTypeOrder):
price_target = order.price_target
fill_price = symbol_dic[price_target]
elif isinstance(order, VwapOrder):
if order.start != -1:
raise NotImplementedError("Vwap of a certain time range")
fill_price = symbol_dic['vwap']
elif isinstance(order, Order):
# TODO
fill_price = symbol_dic['close']
else:
raise NotImplementedError("order class {} not support!".format(
order.__class__))
# get fill size
fill_size = order.entrust_size - order.fill_size
# create trade indication
trade_ind = Trade(order)
trade_ind.set_fill_info(fill_price,
fill_size,
date,
time,
self._next_fill_no(),
trade_date=date)
# update order status
order.fill_price = (order.fill_price * order.fill_size +
fill_price * fill_size) / (order.fill_size +
fill_size)
order.fill_size += fill_size
if order.fill_size == order.entrust_size:
order.order_status = common.ORDER_STATUS.FILLED
order_status_ind = OrderStatusInd(order)
results.append((trade_ind, order_status_ind))
self.__orders = {
k: v
for k, v in self.__orders.items() if not v.is_finished
}
# self.cancel_order(order.entrust_no) # TODO DEBUG
return results
def settle_for_stocks(self, last_date, date):
if self.df_dividend is None:
return
df = self.df_dividend.loc[(self.df_dividend['exdiv_date'] > last_date) & (self.df_dividend['exdiv_date'] <= date)]
if df.empty:
return
df2 = df.set_index('symbol')
for symbol in df2.index:
if symbol in self.ctx.pm.holding_securities:
df_symbol = df2.loc[symbol]
shares_ratio = df_symbol['shares']
cash_ratio = df_symbol['cash_tax']
pos = self.ctx.pm.get_position(symbol).current_size
if cash_ratio > 0:
cash_added = cash_ratio * pos
#self.ctx.pm.cash += cash_added
trade_ind1, trade_ind2 = generate_cash_trade_ind(symbol, cash_added, date, 60000)
self.ctx.strategy.on_trade(trade_ind1)
self.ctx.strategy.on_trade(trade_ind2)
if shares_ratio > 0:
pos_diff = abs(pos * shares_ratio)
trade_ind = Trade()
trade_ind.symbol = symbol
trade_ind.task_id = self.POSITION_ADJUST_NO
trade_ind.entrust_no = self.POSITION_ADJUST_NO
if pos > 0:
trade_ind.entrust_action = common.ORDER_ACTION.BUY
else:
trade_ind.entrust_action = common.ORDER_ACTION.SELL
trade_ind.set_fill_info(price=0.0, size=pos_diff, date=date, time=60000, no=self.POSITION_ADJUST_NO)
self.ctx.strategy.on_trade(trade_ind)
def delist_adjust(self):
df_inst = self.ctx.dataview.data_inst
start = self.last_rebalance_date # start will be one day later
end = self.current_rebalance_date # end is the same to ensure position adjusted for dividend on rebalance day
mask = np.logical_and(df_inst['delist_date'] >= start, df_inst['delist_date'] <= end)
dic_inst = df_inst.loc[mask, :].to_dict(orient='index')
if not dic_inst:
return
pm = self.ctx.pm
for symbol in pm.holding_securities.copy():
value_dic = dic_inst.get(symbol, None)
if value_dic is None:
continue
pos = pm.get_position(symbol).current_size
last_trade_date = self._get_last_trade_date(value_dic['delist_date'])
last_close_price = self.ctx.dataview.get_snapshot(last_trade_date, symbol=symbol, fields='close')
last_close_price = last_close_price.at[symbol, 'close']
trade_ind = Trade()
trade_ind.symbol = symbol
trade_ind.task_id = self.DELIST_ADJUST_NO
trade_ind.entrust_no = self.DELIST_ADJUST_NO
trade_ind.entrust_action = common.ORDER_ACTION.SELL # for now only BUY
trade_ind.set_fill_info(price=last_close_price, size=pos,
date=last_trade_date, time=150000,
no=self.DELIST_ADJUST_NO,
trade_date=last_trade_date)
self.ctx.strategy.cash += trade_ind.fill_price * trade_ind.fill_size
#self.ctx.pm.cash += trade_ind.fill_price * trade_ind.fill_size
self.ctx.strategy.on_trade(trade_ind)
def test_order_trade_task():
from jaqs.data.basic import TradeStat, Trade, Task, TaskInd, Order, OrderStatusInd
order = Order()
order.symbol = 'SPY'
order.task_id = 10000001
order.entrust_no = '123'
order.entrust_size = 10
order.entrust_action = 'Short'
order.entrust_price = 1.2
order.entrust_time = 95055
order.entrust_date = 20171201
order.fill_price = 1.19
order.fill_size = 3
order.commission = 0.001
str(order)
o2 = Order(order)
o2.entrust_no = '124'
o3 = Order.new_order('SPY', 'Buy', 10, 10, 20111111, 143029, 'Limit')
oind = OrderStatusInd(order)
OrderStatusInd.create_from_dict({'symbol': 'SPY'})
str(oind)
task = Task(order.task_id, 'vwap', {'a': 'b'}, order, 'place_order',
order.entrust_date)
assert (not task.is_finished)
task.task_status = common.TASK_STATUS.DONE
assert task.is_finished
tind = TaskInd(task.task_id, task.task_status, task.algo, 'success')
str(tind)
tind2 = TaskInd.create_from_dict({'task_id': 2011223})
trade = Trade(order)
trade.set_fill_info(15, 20, 20171202, 112311, 12345)
str(trade)
t2 = Trade.create_from_dict({'symbol': 'SPY'})
tstat = TradeStat()
str(tstat)
def test_order_trade_task():
from jaqs.data.basic import TradeStat, Trade, Task, TaskInd, Order, OrderStatusInd
order = Order()
order.symbol = 'SPY'
order.task_id = 10000001
order.entrust_no = '123'
order.entrust_size = 10
order.entrust_action = 'Short'
order.entrust_price = 1.2
order.entrust_time = 95055
order.entrust_date = 20171201
order.fill_price = 1.19
order.fill_size = 3
order.commission = 0.001
str(order)
o2 = Order(order)
o2.entrust_no = '124'
o3 = Order.new_order('SPY', 'Buy', 10, 10, 20111111, 143029, 'Limit')
oind = OrderStatusInd(order)
OrderStatusInd.create_from_dict({'symbol': 'SPY'})
str(oind)
task = Task(order.task_id, 'vwap', {'a': 'b'}, order, 'place_order', order.entrust_date)
assert (not task.is_finished)
task.task_status = common.TASK_STATUS.DONE
assert task.is_finished
tind = TaskInd(task.task_id, task.task_status, task.algo, 'success')
str(tind)
tind2 = TaskInd.create_from_dict({'task_id': 2011223})
trade = Trade(order)
trade.set_fill_info(15, 20, 20171202, 112311, 12345)
str(trade)
t2 = Trade.create_from_dict({'symbol': 'SPY'})
tstat = TradeStat()
str(tstat)
def match(self, price_dic, date=19700101, time=150000):
self._validate_price(price_dic)
results = []
for order in self.__orders.values():
symbol = order.symbol
symbol_dic = price_dic[symbol]
# get fill price
if isinstance(order, FixedPriceTypeOrder):
price_target = order.price_target
fill_price = symbol_dic[price_target]
elif isinstance(order, VwapOrder):
if order.start != -1:
raise NotImplementedError("Vwap of a certain time range")
fill_price = symbol_dic['vwap']
elif isinstance(order, Order):
# TODO
fill_price = symbol_dic['close']
else:
raise NotImplementedError("order class {} not support!".format(order.__class__))
# get fill size
fill_size = order.entrust_size - order.fill_size
# create trade indication
trade_ind = Trade(order)
trade_ind.set_fill_info(fill_price, fill_size,
date, time,
self._next_fill_no())
# update order status
order.fill_price = (order.fill_price * order.fill_size
+ fill_price * fill_size) / (order.fill_size + fill_size)
order.fill_size += fill_size
if order.fill_size == order.entrust_size:
order.order_status = common.ORDER_STATUS.FILLED
order_status_ind = OrderStatusInd(order)
results.append((trade_ind, order_status_ind))
self.__orders = {k: v for k, v in self.__orders.items() if not v.is_finished}
# self.cancel_order(order.entrust_no) # TODO DEBUG
return results
def delist_adjust(self):
df_inst = self.ctx.dataview.data_inst
start = self.last_rebalance_date # start will be one day later
end = self.current_rebalance_date # end is the same to ensure position adjusted for dividend on rebalance day
mask = np.logical_and(df_inst['delist_date'] >= start, df_inst['delist_date'] <= end)
dic_inst = df_inst.loc[mask, :].to_dict(orient='index')
if not dic_inst:
return
pm = self.ctx.pm
for symbol in pm.holding_securities.copy():
value_dic = dic_inst.get(symbol, None)
if value_dic is None:
continue
pos = pm.get_position(symbol).current_size
last_trade_date = self._get_last_trade_date(value_dic['delist_date'])
last_close_price = self.ctx.dataview.get_snapshot(last_trade_date, symbol=symbol, fields='close')
last_close_price = last_close_price.at[symbol, 'close']
trade_ind = Trade()
trade_ind.symbol = symbol
trade_ind.task_id = self.DELIST_ADJUST_NO
trade_ind.entrust_no = self.DELIST_ADJUST_NO
trade_ind.entrust_action = common.ORDER_ACTION.SELL # for now only BUY
trade_ind.set_fill_info(price=last_close_price, size=pos,
date=last_trade_date, time=150000, no=self.DELIST_ADJUST_NO)
self.ctx.strategy.cash += trade_ind.fill_price * trade_ind.fill_size
#self.ctx.pm.cash += trade_ind.fill_price * trade_ind.fill_size
self.ctx.strategy.on_trade(trade_ind)
def position_adjust(self):
"""
adjust happens after market close
Before each re-balance day, adjust for all dividend and cash paid actions during the last period.
We assume all cash will be re-invested.
Since we adjust our position at next re-balance day, PnL before that may be incorrect.
"""
start = self.last_rebalance_date # start will be one day later
end = self.current_rebalance_date # end is the same to ensure position adjusted for dividend on rebalance day
df_adj = self.ctx.dataview.get_ts('_daily_adjust_factor',
start_date=start,
end_date=end)
# FIXME: the first day should have been balanced before?
df_adj = df_adj[1:]
pm = self.ctx.pm
# Find symbols which has adj_factor not equaling 1
tmp = df_adj[df_adj != 1].fillna(0.0).sum()
adj_symbols = set(tmp[tmp != 0].index).intersection(
pm.holding_securities)
#for symbol in pm.holding_securities:
for symbol in adj_symbols:
ser = df_adj.loc[:, symbol]
ser_adj = ser.dropna()
for date, ratio in ser_adj.iteritems():
pos_old = pm.get_position(symbol).current_size
# TODO pos will become float, original: int
pos_new = pos_old * ratio
pos_diff = pos_new - pos_old # must be positive
if pos_diff <= 0:
# TODO this is possible
# raise ValueError("pos_diff <= 0")
continue
trade_ind = Trade()
trade_ind.symbol = symbol
trade_ind.task_id = self.POSITION_ADJUST_NO
trade_ind.entrust_no = self.POSITION_ADJUST_NO
trade_ind.entrust_action = common.ORDER_ACTION.BUY # for now only BUY
trade_ind.set_fill_info(price=0.0,
size=pos_diff,
date=date,
time=200000,
no=self.POSITION_ADJUST_NO,
trade_date=date)
self.ctx.strategy.on_trade(trade_ind)
def on_trade(self, ind_dic):
"""
Parameters
----------
ind_dic : dict
"""
# print("\nGateway on trade: ")
# print(ind_dic)
if 'security' in ind_dic:
ind_dic['symbol'] = ind_dic.pop('security')
ind = Trade.create_from_dict(ind_dic)
self.ctx.strategy.on_trade(ind)
def on_trade(self, ind_dic):
"""
Parameters
----------
ind_dic : dict
"""
# print("\nGateway on trade: ")
# print(ind_dic)
if 'security' in ind_dic:
ind_dic['symbol'] = ind_dic.pop('security')
ind = Trade.create_from_dict(ind_dic)
self.ctx.strategy.on_trade(ind)
def position_adjust(self):
"""
adjust happens after market close
Before each re-balance day, adjust for all dividend and cash paid actions during the last period.
We assume all cash will be re-invested.
Since we adjust our position at next re-balance day, PnL before that may be incorrect.
"""
start = self.last_rebalance_date # start will be one day later
end = self.current_rebalance_date # end is the same to ensure position adjusted for dividend on rebalance day
df_adj = self.ctx.dataview.get_ts('adjust_factor',
start_date=start,
end_date=end)
pm = self.ctx.pm
for symbol in pm.holding_securities:
ser = df_adj.loc[:, symbol]
ser_div = ser.div(ser.shift(1)).fillna(1.0)
mask_diff = ser_div != 1
ser_adj = ser_div.loc[mask_diff]
for date, ratio in ser_adj.iteritems():
pos_old = pm.get_position(symbol).current_size
# TODO pos will become float, original: int
pos_new = pos_old * ratio
pos_diff = pos_new - pos_old # must be positive
if pos_diff <= 0:
# TODO this is possible
# raise ValueError("pos_diff <= 0")
continue
trade_ind = Trade()
trade_ind.symbol = symbol
trade_ind.task_id = self.POSITION_ADJUST_NO
trade_ind.entrust_no = self.POSITION_ADJUST_NO
trade_ind.entrust_action = common.ORDER_ACTION.BUY # for now only BUY
trade_ind.set_fill_info(price=0.0,
size=pos_diff,
date=date,
time=200000,
no=self.POSITION_ADJUST_NO)
self.ctx.strategy.on_trade(trade_ind)
def on_trade(self, ind_dic):
"""
Parameters
----------
ind_dic : dict
"""
# print("\nGateway on trade: ")
# print(ind_dic)
if 'security' in ind_dic:
ind_dic['symbol'] = ind_dic.pop('security')
ind = Trade.create_from_dict(ind_dic)
ind.task_no = self._task_no_id_map[ind.task_id]
e = Event(EVENT_TYPE.TRADE_IND)
e.dic['ind'] = ind
self.ctx.instance.put(e)
def position_adjust(self):
"""
adjust happens after market close
Before each re-balance day, adjust for all dividend and cash paid actions during the last period.
We assume all cash will be re-invested.
Since we adjust our position at next re-balance day, PnL before that may be incorrect.
"""
start = self.last_rebalance_date # start will be one day later
end = self.current_rebalance_date # end is the same to ensure position adjusted for dividend on rebalance day
df_adj = self.ctx.dataview.get_ts('adjust_factor',
start_date=start, end_date=end)
pm = self.ctx.pm
for symbol in pm.holding_securities:
ser = df_adj.loc[:, symbol]
ser_div = ser.div(ser.shift(1)).fillna(1.0)
mask_diff = ser_div != 1
ser_adj = ser_div.loc[mask_diff]
for date, ratio in ser_adj.iteritems():
pos_old = pm.get_position(symbol).current_size
# TODO pos will become float, original: int
pos_new = pos_old * ratio
pos_diff = pos_new - pos_old # must be positive
if pos_diff <= 0:
# TODO this is possible
# raise ValueError("pos_diff <= 0")
continue
trade_ind = Trade()
trade_ind.symbol = symbol
trade_ind.task_id = self.POSITION_ADJUST_NO
trade_ind.entrust_no = self.POSITION_ADJUST_NO
trade_ind.entrust_action = common.ORDER_ACTION.BUY # for now only BUY
trade_ind.set_fill_info(price=0.0, size=pos_diff, date=date, time=200000, no=self.POSITION_ADJUST_NO)
self.ctx.strategy.on_trade(trade_ind)
def _make_trade_bar(self, quote_dic):
result = []
for entrust_no, order in self.orders.items():
quote = quote_dic[order.symbol]
low = quote.low
high = quote.high
quote_date = quote.trade_date
quote_time = quote.time
volume = quote.volume
'''
if order.order_type == common.ORDER_TYPE.LIMIT:
if order.entrust_action == common.ORDER_ACTION.BUY and order.entrust_price >= low:
trade = Trade()
trade.init_from_order(order)
trade.send_fill_info(order.entrust_price, order.entrust_size,
quote_date, quote_time,
self._next_fill_no())
order.order_status = common.ORDER_STATUS.FILLED
order.fill_size = trade.fill_size
order.fill_price = trade.fill_price
orderstatus_ind = OrderStatusInd()
orderstatus_ind.init_from_order(order)
result.append((trade, orderstatus_ind))
elif order.entrust_action == common.ORDER_ACTION.SELL and order.entrust_price <= high:
trade = Trade()
trade.init_from_order(order)
trade.send_fill_info(order.entrust_price, order.entrust_size,
quote_date, quote_time,
self._next_fill_no())
order.order_status = common.ORDER_STATUS.FILLED
order.fill_size = trade.fill_size
order.fill_price = trade.fill_price
orderstatus_ind = OrderStatusInd()
orderstatus_ind.init_from_order(order)
result.append((trade, orderstatus_ind))
elif order.order_type == common.ORDER_TYPE.STOP:
if order.entrust_action == common.ORDER_ACTION.BUY and order.entrust_price <= high:
trade = Trade()
trade.init_from_order(order)
trade.send_fill_info(order.entrust_price, order.entrust_size,
quote_date, quote_time,
self._next_fill_no())
order.order_status = common.ORDER_STATUS.FILLED
order.fill_size = trade.fill_size
order.fill_price = trade.fill_price
orderstatus_ind = OrderStatusInd()
orderstatus_ind.init_from_order(order)
result.append((trade, orderstatus_ind))
if order.entrust_action == common.ORDER_ACTION.SELL and order.entrust_price >= low:
trade = Trade()
trade.init_from_order(order)
trade.send_fill_info(order.entrust_price, order.entrust_size,
quote_date, quote_time,
self._next_fill_no())
order.order_status = common.ORDER_STATUS.FILLED
order.fill_size = trade.fill_size
order.fill_price = trade.fill_price
orderstatus_ind = OrderStatusInd()
orderstatus_ind.init_from_order(order)
result.append((trade, orderstatus_ind))
'''
entrust_price = order.entrust_price
entrust_size = order.entrust_size
fill_size = 0
if order.order_type == common.ORDER_TYPE.LIMIT:
if common.ORDER_ACTION.is_positive(
order.entrust_action) and entrust_price >= low:
fill_price = min(entrust_price, high)
# fill_size = min(entrust_size, self.participation_rate * volume)
fill_size = entrust_size
elif common.ORDER_ACTION.is_negative(
order.entrust_action) and order.entrust_price <= high:
fill_price = max(entrust_price, low)
# fill_size = min(entrust_size, self.participation_rate * volume)
fill_size = entrust_size
elif order.order_type == common.ORDER_TYPE.STOP:
if common.ORDER_ACTION.is_positive(
order.entrust_action) and order.entrust_price <= high:
fill_price = max(entrust_price, low)
# fill_size = min(entrust_size, self.participation_rate * volume)
fill_size = entrust_size
if common.ORDER_ACTION.is_negative(
order.entrust_action) and order.entrust_price >= low:
fill_price = min(entrust_price, high)
# fill_size = min(entrust_size, self.participation_rate * volume)
fill_size = entrust_size
elif order.order_type == common.ORDER_TYPE.VWAP:
fill_price = quote.vwap
fill_size = entrust_size
if not fill_size:
continue
trade_ind = Trade(order)
trade_ind.set_fill_info(order.entrust_price,
order.entrust_size, quote_date, quote_time,
self._next_fill_no())
order.fill_price = (
(order.fill_price * order.fill_size + fill_size * fill_price) /
(order.fill_size + fill_size))
order.fill_size += fill_size
if order.fill_size == order.entrust_size:
order.order_status = common.ORDER_STATUS.FILLED
order_status_ind = OrderStatusInd(order)
result.append((trade_ind, order_status_ind))
self.orders = {
k: v
for k, v in self.orders.items() if not v.is_finished
}
return result
if __name__ == '__main__':
props = dict()
props['start_date'] = 20170702
props['end_date'] = 20170712
props['future_commission_rate'] = 0.005
props['stock_commission_rate'] = 0.005
props['stock_tax_rate'] = 0.002
props['symbol'] = '600030.SH'
pnlmgr = PnlManager()
from jaqs.data import RemoteDataService
ds = RemoteDataService()
pnlmgr.initFromConfig(props, ds)
trades = []
t1 = Trade()
t1.symbol = '600030.SH'
t1.action = common.ORDER_ACTION.BUY
t1.fill_date = 20170704
t1.fill_size = 100
t1.fill_price = 16.72
t2 = Trade()
t2.symbol = '600030.SH'
t2.action = common.ORDER_ACTION.SELL
t2.fill_date = 20170706
t2.fill_size = 50
t2.fill_price = 16.69
t3 = Trade()
t3.symbol = '600030.SH'
t3.action = common.ORDER_ACTION.SELL
t3.fill_date = 20170707
def generate_cash_trade_ind(symbol, amount, date, time=200000):
trade_ind = Trade()
trade_ind.symbol = symbol
trade_ind.task_id = 0
trade_ind.entrust_no = "0"
trade_ind.set_fill_info(price=0.0, size=abs(amount), date=date, time=time, no="0", trade_date=date)
trade_ind2 = Trade()
trade_ind2.symbol = symbol
trade_ind2.task_id = 0
trade_ind2.entrust_no = "0"
trade_ind2.set_fill_info(price=1.0, size=abs(amount), date=date, time=time, no="0",trade_date=date)
if amount > 0:
trade_ind.entrust_action = common.ORDER_ACTION.BUY
trade_ind2.entrust_action = common.ORDER_ACTION.SELL
else:
trade_ind.entrust_action = common.ORDER_ACTION.SELL
trade_ind2.entrust_action = common.ORDER_ACTION.BUY
return trade_ind, trade_ind2
def _make_trade_bar(self, quote_dic):
result = []
for entrust_no, order in self.orders.items():
quote = quote_dic[order.symbol]
low = quote.low
high = quote.high
quote_date = quote.trade_date
quote_time = quote.time
volume = quote.volume
'''
if order.order_type == common.ORDER_TYPE.LIMIT:
if order.entrust_action == common.ORDER_ACTION.BUY and order.entrust_price >= low:
trade = Trade()
trade.init_from_order(order)
trade.send_fill_info(order.entrust_price, order.entrust_size,
quote_date, quote_time,
self._next_fill_no())
order.order_status = common.ORDER_STATUS.FILLED
order.fill_size = trade.fill_size
order.fill_price = trade.fill_price
orderstatus_ind = OrderStatusInd()
orderstatus_ind.init_from_order(order)
result.append((trade, orderstatus_ind))
elif order.entrust_action == common.ORDER_ACTION.SELL and order.entrust_price <= high:
trade = Trade()
trade.init_from_order(order)
trade.send_fill_info(order.entrust_price, order.entrust_size,
quote_date, quote_time,
self._next_fill_no())
order.order_status = common.ORDER_STATUS.FILLED
order.fill_size = trade.fill_size
order.fill_price = trade.fill_price
orderstatus_ind = OrderStatusInd()
orderstatus_ind.init_from_order(order)
result.append((trade, orderstatus_ind))
elif order.order_type == common.ORDER_TYPE.STOP:
if order.entrust_action == common.ORDER_ACTION.BUY and order.entrust_price <= high:
trade = Trade()
trade.init_from_order(order)
trade.send_fill_info(order.entrust_price, order.entrust_size,
quote_date, quote_time,
self._next_fill_no())
order.order_status = common.ORDER_STATUS.FILLED
order.fill_size = trade.fill_size
order.fill_price = trade.fill_price
orderstatus_ind = OrderStatusInd()
orderstatus_ind.init_from_order(order)
result.append((trade, orderstatus_ind))
if order.entrust_action == common.ORDER_ACTION.SELL and order.entrust_price >= low:
trade = Trade()
trade.init_from_order(order)
trade.send_fill_info(order.entrust_price, order.entrust_size,
quote_date, quote_time,
self._next_fill_no())
order.order_status = common.ORDER_STATUS.FILLED
order.fill_size = trade.fill_size
order.fill_price = trade.fill_price
orderstatus_ind = OrderStatusInd()
orderstatus_ind.init_from_order(order)
result.append((trade, orderstatus_ind))
'''
entrust_price = order.entrust_price
entrust_size = order.entrust_size
fill_size = 0
if order.order_type == common.ORDER_TYPE.LIMIT:
if common.ORDER_ACTION.is_positive(order.entrust_action) and entrust_price >= low:
fill_price = min(entrust_price, high)
# fill_size = min(entrust_size, self.participation_rate * volume)
fill_size = entrust_size
elif common.ORDER_ACTION.is_negative(order.entrust_action) and order.entrust_price <= high:
fill_price = max(entrust_price, low)
# fill_size = min(entrust_size, self.participation_rate * volume)
fill_size = entrust_size
elif order.order_type == common.ORDER_TYPE.STOP:
if common.ORDER_ACTION.is_positive(order.entrust_action) and order.entrust_price <= high:
fill_price = max(entrust_price, low)
# fill_size = min(entrust_size, self.participation_rate * volume)
fill_size = entrust_size
if common.ORDER_ACTION.is_negative(order.entrust_action) and order.entrust_price >= low:
fill_price = min(entrust_price, high)
# fill_size = min(entrust_size, self.participation_rate * volume)
fill_size = entrust_size
elif order.order_type == common.ORDER_TYPE.VWAP:
fill_price = quote.vwap
fill_size = entrust_size
if not fill_size:
continue
trade_ind = Trade(order)
trade_ind.set_fill_info(order.entrust_price, order.entrust_size,
quote_date, quote_time,
self._next_fill_no())
order.fill_price = ((order.fill_price * order.fill_size + fill_size * fill_price)
/ (order.fill_size + fill_size))
order.fill_size += fill_size
if order.fill_size == order.entrust_size:
order.order_status = common.ORDER_STATUS.FILLED
order_status_ind = OrderStatusInd(order)
result.append((trade_ind, order_status_ind))
self.orders = {k: v for k, v in self.orders.items() if not v.is_finished}
return result
def generate_cash_trade_ind(symbol, amount, date, time=200000):
trade_ind = Trade()
trade_ind.symbol = symbol
trade_ind.task_id = 0
trade_ind.entrust_no = "0"
trade_ind.set_fill_info(price=0.0, size=abs(amount), date=date, time=time, no="0")
trade_ind2 = Trade()
trade_ind2.symbol = symbol
trade_ind2.task_id = 0
trade_ind2.entrust_no = "0"
trade_ind2.set_fill_info(price=1.0, size=abs(amount), date=date, time=time, no="0")
if amount > 0:
trade_ind.entrust_action = common.ORDER_ACTION.BUY
trade_ind2.entrust_action = common.ORDER_ACTION.SELL
else:
trade_ind.entrust_action = common.ORDER_ACTION.SELL
trade_ind2.entrust_action = common.ORDER_ACTION.BUY
return trade_ind, trade_ind2