def test_is_changing(self):
"""
is_changing() 测试
注：本函数不是回测，重新生成测试用例script文件时更改为当前可交易的合约代码,在盘中生成,且_ins_url可能需修改。
"""
# 预设服务器端响应
dir_path = os.path.dirname(os.path.realpath(__file__))
self.mock.run(
os.path.join(dir_path, "log_file",
"test_func_basic_is_changing.script.lzma"))
# 测试: 模拟账户下单
utils.RD = random.Random(4)
api = TqApi(_ins_url=self.ins_url_2020_04_02,
_td_url=self.td_url,
_md_url=self.md_url)
quote = api.get_quote("SHFE.rb2010")
position = api.get_position("SHFE.rb2010")
order1 = api.insert_order("DCE.m2009", "BUY", "OPEN", 1)
api.wait_update()
order2 = api.insert_order("SHFE.rb2010", "SELL", "OPEN", 2)
api.wait_update()
self.assertTrue(api.is_changing(order2, "status"))
self.assertTrue(api.is_changing(position, "volume_short"))
self.assertFalse(api.is_changing(position, "volume_long"))
order3 = api.insert_order("SHFE.rb2010", "BUY", "CLOSETODAY", 1)
while order3.status == "ALIVE":
api.wait_update()
self.assertTrue(api.is_changing(order3, "status"))
self.assertTrue(api.is_changing(position, "volume_short"))
self.assertFalse(api.is_changing(quote, "last_price"))
api.close()
def test_insert_order(self):
"""
下单
"""
# 预设服务器端响应
dir_path = os.path.dirname(os.path.realpath(__file__))
self.mock.run(
os.path.join(dir_path,
"test_td_basic_insert_order_simulate.script"))
# 测试: 模拟账户下单
TqApi.RD = random.Random(2)
api = TqApi(_ins_url=self.ins_url,
_td_url=self.td_url,
_md_url=self.md_url)
order1 = api.insert_order("DCE.jd2001", "BUY", "OPEN", 1)
order2 = api.insert_order("SHFE.cu2001",
"BUY",
"OPEN",
2,
limit_price=47550)
while order1.status == "ALIVE" or order2.status == "ALIVE":
api.wait_update()
self.assertEqual(order1.order_id, "d95bafc8f2a4d27bdcf4bb99f4bea973")
self.assertEqual(order1.direction, "BUY")
self.assertEqual(order1.offset, "OPEN")
self.assertEqual(order1.volume_orign, 1)
self.assertEqual(order1.volume_left, 0)
self.assertEqual(order1.limit_price != order1.limit_price,
True) # 判断nan
self.assertEqual(order1.price_type, "ANY")
self.assertEqual(order1.volume_condition, "ANY")
self.assertEqual(order1.time_condition, "IOC")
self.assertEqual(order1.insert_date_time, 631123200000000000)
self.assertEqual(order1.status, "FINISHED")
for k, v in order1.trade_records.items(): # 模拟交易为一次性全部成交
self.assertEqual(
str(v),
"{'order_id': 'd95bafc8f2a4d27bdcf4bb99f4bea973', 'trade_id': 'd95bafc8f2a4d27bdcf4bb99f4bea973|1', 'exchange_trade_id': 'd95bafc8f2a4d27bdcf4bb99f4bea973|1', 'exchange_id': 'DCE', 'instrument_id': 'jd2001', 'direction': 'BUY', 'offset': 'OPEN', 'price': 4570.0, 'volume': 1, 'trade_date_time': 1568875128644000000, 'symbol': 'DCE.jd2001', 'user_id': 'TQSIM', 'commission': 6.122999999999999}"
)
self.assertEqual(order2.order_id, "5c6e433715ba2bdd177219d30e7a269f")
self.assertEqual(order2.direction, "BUY")
self.assertEqual(order2.offset, "OPEN")
self.assertEqual(order2.volume_orign, 2)
self.assertEqual(order2.volume_left, 0)
self.assertEqual(order2.limit_price, 47550.0)
self.assertEqual(order2.price_type, "LIMIT")
self.assertEqual(order2.volume_condition, "ANY")
self.assertEqual(order2.time_condition, "GFD")
self.assertEqual(order2.insert_date_time, 631123200000000000)
self.assertEqual(order2.status, "FINISHED")
for k, v in order2.trade_records.items(): # 模拟交易为一次性全部成交
self.assertEqual(
str(v),
"{'order_id': '5c6e433715ba2bdd177219d30e7a269f', 'trade_id': '5c6e433715ba2bdd177219d30e7a269f|2', 'exchange_trade_id': '5c6e433715ba2bdd177219d30e7a269f|2', 'exchange_id': 'SHFE', 'instrument_id': 'cu2001', 'direction': 'BUY', 'offset': 'OPEN', 'price': 47550.0, 'volume': 2, 'trade_date_time': 1568875122000000000, 'symbol': 'SHFE.cu2001', 'user_id': 'TQSIM', 'commission': 23.189999999999998}"
)
api.close()
def test_various_combinations_of_order_3(self):
"""
测试 能在回测时正常使用开、平顺序的多种组合方式下单
1 单次开平 * n次
2 多次开 一次全平完
3 多次开 分多次平完 (本测试函数)
4 单次开 分多次平完
related commit: a2623aed0fd1d5e5e01c7d2452e7f7f7de999c6e
"""
# 预设服务器端响应
dir_path = os.path.dirname(os.path.realpath(__file__))
self.mock.run(os.path.join(dir_path, "log_file", "test_various_combinations_of_order_3.script"))
# 测试3：多次开 分多次平完
TqApi.RD = random.Random(4)
api = TqApi(backtest=TqBacktest(start_dt=datetime(2019, 12, 10, 9), end_dt=datetime(2019, 12, 11)))
symbol = "DCE.m2005"
position = api.get_position(symbol)
t = 3
for i in range(t):
order_open = api.insert_order(symbol, "BUY", "OPEN", 1)
while order_open.status != "FINISHED":
api.wait_update()
self.assertEqual(position.pos, i + 1)
for i in range(t):
order_close = api.insert_order(symbol, "SELL", "CLOSE", 1)
while order_close.status != "FINISHED":
api.wait_update()
self.assertEqual(position.pos, t - 1 - i)
api.close()
def test_cancel_order(self):
"""
撤单
注：本函数不是回测，重新在盘中生成测试用例script文件时更改为当前可交易的合约代码,且_ins_url可能需修改。
"""
# 预设服务器端响应
dir_path = os.path.dirname(os.path.realpath(__file__))
self.mock.run(os.path.join(dir_path, "log_file", "test_td_basic_cancel_order_simulate.script.lzma"))
# 测试: 模拟账户
utils.RD = random.Random(2)
api = TqApi(_ins_url=self.ins_url_2020_04_02, _td_url=self.td_url, _md_url=self.md_url)
order1 = api.insert_order("DCE.jd2005", "BUY", "OPEN", 1, limit_price=3040)
order2 = api.insert_order("SHFE.cu2005", "BUY", "OPEN", 2, limit_price=39600)
api.wait_update()
self.assertEqual("ALIVE", order1.status)
self.assertEqual("ALIVE", order2.status)
api.cancel_order(order1)
api.cancel_order(order2.order_id)
while order1.status != "FINISHED" or order2.status != "FINISHED":
api.wait_update()
self.assertEqual("FINISHED", order1.status)
self.assertEqual("FINISHED", order2.status)
self.assertNotEqual(order1.volume_left, 0)
self.assertNotEqual(order2.volume_left, 0)
api.close()
def test_cancel_order(self):
"""
撤单
"""
# 预设服务器端响应
dir_path = os.path.dirname(os.path.realpath(__file__))
self.mock.run(os.path.join(dir_path, "log_file", "test_td_basic_cancel_order_simulate.script"))
# 测试: 模拟账户
TqApi.RD = random.Random(2)
api = TqApi(_ins_url=self.ins_url, _td_url=self.td_url, _md_url=self.md_url)
order1 = api.insert_order("DCE.jd2001", "BUY", "OPEN", 1, limit_price=4570)
order2 = api.insert_order("SHFE.cu2001", "BUY", "OPEN", 2, limit_price=47070)
api.wait_update()
self.assertEqual("ALIVE", order1.status)
self.assertEqual("ALIVE", order2.status)
api.cancel_order(order1)
api.cancel_order(order2.order_id)
api.wait_update()
self.assertEqual("FINISHED", order1.status)
self.assertEqual("FINISHED", order2.status)
api.close()
def test_sim_insert_order_time_check_6(self):
"""
模拟交易下单时间判断测试6
测试：
限价单，直到交易日结束都不能成交: 预期交易日结束撤单
"""
# 预设服务器端响应
dir_path = os.path.dirname(os.path.realpath(__file__))
self.mock.run(os.path.join(dir_path, "log_file", "test_sim_insert_order_time_check_6.script.lzma"))
# 测试：
utils.RD = random.Random(4)
api = TqApi(backtest=TqBacktest(datetime.datetime(2019, 12, 2, 10, 31, 00), datetime.datetime(2019, 12, 3)),
_ins_url=self.ins_url_2019_12_04)
symbol = "DCE.m2009"
order1 = api.insert_order(symbol=symbol, direction="BUY", offset="OPEN", volume=5,
limit_price=2750) # 到交易日结束都无法成交
order2 = api.insert_order(symbol=symbol, direction="BUY", offset="OPEN", volume=3)
try:
while True:
api.wait_update()
except BacktestFinished:
self.assertEqual(order1.status, "FINISHED")
self.assertEqual(order1.volume_orign, 5)
self.assertEqual(order1.volume_left, 5)
self.assertEqual(order2.status, "FINISHED")
self.assertEqual(order2.volume_orign, 3)
self.assertEqual(order2.volume_left, 0)
self.assertEqual(order1.last_msg, "交易日结束，自动撤销当日有效的委托单（GFD）")
api.close()
def test_various_combinations_of_order_2(self):
"""
测试 能在回测时正常使用开、平顺序的多种组合方式下单
1 单次开平 * n次
2 多次开 一次全平完 (本测试函数)
3 多次开 分多次平完
4 单次开 分多次平完
related commit: a2623aed0fd1d5e5e01c7d2452e7f7f7de999c6e
"""
# 预设服务器端响应
dir_path = os.path.dirname(os.path.realpath(__file__))
self.mock.run(os.path.join(dir_path, "log_file", "test_various_combinations_of_order_2.script.lzma"))
# 测试2：多次开,一次全平完
utils.RD = random.Random(4)
api = TqApi(
backtest=TqBacktest(start_dt=datetime.datetime(2019, 12, 10, 9), end_dt=datetime.datetime(2019, 12, 11)),
_ins_url=self.ins_url_2019_07_03, _td_url=self.td_url, _md_url=self.md_url)
symbol = "DCE.m2005"
position = api.get_position(symbol)
order_open1 = api.insert_order(symbol, "BUY", "OPEN", 1)
order_open2 = api.insert_order(symbol, "BUY", "OPEN", 1)
order_open3 = api.insert_order(symbol, "BUY", "OPEN", 1)
while order_open1.status != "FINISHED" or order_open2.status != "FINISHED" or order_open3.status != "FINISHED":
api.wait_update()
self.assertEqual(position.pos, 3)
order_close1 = api.insert_order(symbol, "SELL", "CLOSE", 3)
while order_close1.status != "FINISHED":
api.wait_update()
self.assertEqual(position.pos, 0)
api.close()
def test_is_changing(self):
"""is_changing() 测试"""
# 预设服务器端响应
dir_path = os.path.dirname(os.path.realpath(__file__))
self.mock.run(os.path.join(dir_path, "log_file", "test_func_basic_is_changing.script.lzma"))
# 测试: 模拟账户下单
TqApi.RD = random.Random(4)
api = TqApi(_ins_url=self.ins_url, _td_url=self.td_url, _md_url=self.md_url)
quote = api.get_quote("SHFE.rb2001")
position = api.get_position("SHFE.rb2001")
order1 = api.insert_order("DCE.m2001", "BUY", "OPEN", 1)
api.wait_update()
order2 = api.insert_order("SHFE.rb2001", "SELL", "OPEN", 2)
api.wait_update()
self.assertEqual(api.is_changing(order2, "status"), True)
self.assertEqual(api.is_changing(position, "volume_short"), True)
self.assertEqual(api.is_changing(position, "volume_long"), False)
order3 = api.insert_order("SHFE.rb2001", "BUY", "CLOSETODAY", 1)
while order3.status == "ALIVE":
api.wait_update()
self.assertEqual(api.is_changing(order3, "status"), True)
self.assertEqual(api.is_changing(position, "volume_short"), True)
self.assertEqual(api.is_changing(quote, "last_price"), False)
api.close()
def test_get_trade_option(self):
"""
获取成交记录
"""
# 预设服务器端响应
dir_path = os.path.dirname(os.path.realpath(__file__))
self.mock.run(
os.path.join(
dir_path, "log_file",
"test_td_basic_get_trade_simulate_option.script.lzma"))
# 测试: 模拟账户
utils.RD = random.Random(4)
api = TqApi(_ins_url=self.ins_url_2020_04_02,
_td_url=self.td_url,
_md_url=self.md_url)
order1 = api.insert_order("CZCE.SR007C5600",
"SELL",
"OPEN",
1,
limit_price=50)
order2 = api.insert_order("DCE.m2007-P-2900",
"BUY",
"OPEN",
2,
limit_price=180)
while order1.status == "ALIVE" or order2.status == "ALIVE":
api.wait_update()
trade1 = api.get_trade("1710cf5327ac435a7a97c643656412a9|1")
trade2 = api.get_trade("8ca5996666ceab360512bd1311072231|2")
self.assertAlmostEqual(1586501231007428000 / 1e9,
trade1.trade_date_time / 1e9,
places=1)
self.assertAlmostEqual(1586501233361505000 / 1e9,
trade2.trade_date_time / 1e9,
places=1)
del trade1["trade_date_time"]
del trade2["trade_date_time"]
self.assertEqual(
str(trade1),
"{'order_id': '1710cf5327ac435a7a97c643656412a9', 'trade_id': '1710cf5327ac435a7a97c643656412a9|1', 'exchange_trade_id': '1710cf5327ac435a7a97c643656412a9|1', 'exchange_id': 'CZCE', 'instrument_id': 'SR007C5600', 'direction': 'SELL', 'offset': 'OPEN', 'price': 50.0, 'volume': 1, 'user_id': 'TQSIM', 'commission': 10}"
)
self.assertEqual(
str(trade2),
"{'order_id': '8ca5996666ceab360512bd1311072231', 'trade_id': '8ca5996666ceab360512bd1311072231|2', 'exchange_trade_id': '8ca5996666ceab360512bd1311072231|2', 'exchange_id': 'DCE', 'instrument_id': 'm2007-P-2900', 'direction': 'BUY', 'offset': 'OPEN', 'price': 180.0, 'volume': 2, 'user_id': 'TQSIM', 'commission': 20}"
)
self.assertEqual(trade1.direction, "SELL")
self.assertEqual(trade1.offset, "OPEN")
self.assertEqual(trade1.price, 50.0)
self.assertEqual(trade1.volume, 1)
self.assertEqual(trade1.commission, 10)
self.assertEqual(trade2.direction, "BUY")
self.assertEqual(trade2.offset, "OPEN")
self.assertEqual(trade2.price, 180.0)
self.assertEqual(trade2.volume, 2)
self.assertEqual(trade2.commission, 20)
api.close()
def test_get_trade(self):
"""
获取成交记录
"""
# 预设服务器端响应
dir_path = os.path.dirname(os.path.realpath(__file__))
self.mock.run(
os.path.join(dir_path, "log_file",
"test_td_basic_get_trade_simulate.script.lzma"))
# 测试: 模拟账户
utils.RD = random.Random(4)
api = TqApi(_ins_url=self.ins_url_2019_07_03,
_td_url=self.td_url,
_md_url=self.md_url)
order1 = api.insert_order("DCE.jd2005", "BUY", "OPEN", 1)
order2 = api.insert_order("SHFE.cu2005",
"BUY",
"OPEN",
2,
limit_price=40870)
while order1.status == "ALIVE" or order2.status == "ALIVE":
api.wait_update()
trade1 = api.get_trade(
"PYSDK_insert_1710cf5327ac435a7a97c643656412a9|1")
trade2 = api.get_trade(
"PYSDK_insert_8ca5996666ceab360512bd1311072231|2")
self.assertAlmostEqual(1586414355666978000 / 1e9,
trade1.trade_date_time / 1e9,
places=1)
self.assertAlmostEqual(1586414355667884000 / 1e9,
trade2.trade_date_time / 1e9,
places=1)
del trade1["trade_date_time"]
del trade2["trade_date_time"]
self.assertEqual(
str(trade1),
"{'order_id': 'PYSDK_insert_1710cf5327ac435a7a97c643656412a9', 'trade_id': 'PYSDK_insert_1710cf5327ac435a7a97c643656412a9|1', 'exchange_trade_id': 'PYSDK_insert_1710cf5327ac435a7a97c643656412a9|1', 'exchange_id': 'DCE', 'instrument_id': 'jd2005', 'direction': 'BUY', 'offset': 'OPEN', 'price': 3317.0, 'volume': 1, 'user_id': 'TQSIM', 'commission': 6.122999999999999}"
)
self.assertEqual(
str(trade2),
"{'order_id': 'PYSDK_insert_8ca5996666ceab360512bd1311072231', 'trade_id': 'PYSDK_insert_8ca5996666ceab360512bd1311072231|2', 'exchange_trade_id': 'PYSDK_insert_8ca5996666ceab360512bd1311072231|2', 'exchange_id': 'SHFE', 'instrument_id': 'cu2005', 'direction': 'BUY', 'offset': 'OPEN', 'price': 40870.0, 'volume': 2, 'user_id': 'TQSIM', 'commission': 23.189999999999998}"
)
self.assertEqual(trade1.direction, "BUY")
self.assertEqual(trade1.offset, "OPEN")
self.assertEqual(trade1.price, 3317.0)
self.assertEqual(trade1.volume, 1)
self.assertEqual(trade1.commission, 6.122999999999999)
self.assertEqual(trade2.direction, "BUY")
self.assertEqual(trade2.offset, "OPEN")
self.assertEqual(trade2.price, 40870.0)
self.assertEqual(trade2.volume, 2)
self.assertEqual(trade2.commission, 23.189999999999998)
api.close()
def test_get_order(self):
"""
获取委托单信息
"""
# 预设服务器端响应
dir_path = os.path.dirname(os.path.realpath(__file__))
self.mock.run(os.path.join(dir_path, "log_file", "test_td_basic_get_order_simulate.script.lzma"))
# 测试: 模拟账户下单
utils.RD = random.Random(4)
api = TqApi(_ins_url=self.ins_url_2019_07_03, _td_url=self.td_url, _md_url=self.md_url)
order1 = api.insert_order("DCE.jd2005", "BUY", "OPEN", 1)
order2 = api.insert_order("SHFE.cu2005", "SELL", "OPEN", 2, limit_price=40750)
while order1.status == "ALIVE" or order2.status == "ALIVE":
api.wait_update()
get_order1 = api.get_order(order1.order_id)
get_order2 = api.get_order(order2.order_id)
self.assertEqual(get_order1.order_id, "1710cf5327ac435a7a97c643656412a9")
self.assertEqual(get_order1.direction, "BUY")
self.assertEqual(get_order1.offset, "OPEN")
self.assertEqual(get_order1.volume_orign, 1)
self.assertEqual(get_order1.volume_left, 0)
self.assertNotEqual(get_order1.limit_price, get_order1.limit_price) # 判断nan
self.assertEqual(get_order1.price_type, "ANY")
self.assertEqual(get_order1.volume_condition, "ANY")
self.assertEqual(get_order1.time_condition, "IOC")
# 因为TqSim模拟交易的 insert_date_time 不是固定值，所以改为判断范围（前后100毫秒）
self.assertAlmostEqual(1586415071223454000 / 1e9, get_order1.insert_date_time / 1e9, places=1)
self.assertEqual(get_order1.last_msg, "全部成交")
self.assertEqual(get_order1.status, "FINISHED")
self.assertEqual(get_order1.frozen_margin, 0)
self.assertEqual(get_order2.order_id, "8ca5996666ceab360512bd1311072231")
self.assertEqual(get_order2.direction, "SELL")
self.assertEqual(get_order2.offset, "OPEN")
self.assertEqual(get_order2.volume_orign, 2)
self.assertEqual(get_order2.volume_left, 0)
self.assertEqual(get_order2.limit_price, 40750)
self.assertEqual(get_order2.price_type, "LIMIT")
self.assertEqual(get_order2.volume_condition, "ANY")
self.assertEqual(get_order2.time_condition, "GFD")
self.assertAlmostEqual(1586415071224110000 / 1e9, get_order2["insert_date_time"] / 1e9, places=1)
self.assertEqual(get_order2["last_msg"], "全部成交")
self.assertEqual(get_order2["status"], "FINISHED")
self.assertEqual(get_order2.frozen_margin, 0)
del get_order1["insert_date_time"]
del get_order2["insert_date_time"]
self.assertEqual(str(get_order1),
"{'order_id': '1710cf5327ac435a7a97c643656412a9', 'exchange_order_id': '1710cf5327ac435a7a97c643656412a9', 'exchange_id': 'DCE', 'instrument_id': 'jd2005', 'direction': 'BUY', 'offset': 'OPEN', 'volume_orign': 1, 'volume_left': 0, 'limit_price': nan, 'price_type': 'ANY', 'volume_condition': 'ANY', 'time_condition': 'IOC', 'last_msg': '全部成交', 'status': 'FINISHED', 'user_id': 'TQSIM', 'frozen_margin': 0.0, 'frozen_premium': 0.0}")
self.assertEqual(str(get_order2),
"{'order_id': '8ca5996666ceab360512bd1311072231', 'exchange_order_id': '8ca5996666ceab360512bd1311072231', 'exchange_id': 'SHFE', 'instrument_id': 'cu2005', 'direction': 'SELL', 'offset': 'OPEN', 'volume_orign': 2, 'volume_left': 0, 'limit_price': 40750.0, 'price_type': 'LIMIT', 'volume_condition': 'ANY', 'time_condition': 'GFD', 'last_msg': '全部成交', 'status': 'FINISHED', 'user_id': 'TQSIM', 'frozen_margin': 0.0, 'frozen_premium': 0.0}")
api.close()
def test_get_order(self):
"""
获取委托单信息
"""
# 预设服务器端响应
dir_path = os.path.dirname(os.path.realpath(__file__))
self.mock.run(os.path.join(dir_path, "log_file", "test_td_basic_get_order_simulate.script"))
# 测试: 模拟账户下单
TqApi.RD = random.Random(4)
api = TqApi(_ins_url=self.ins_url, _td_url=self.td_url, _md_url=self.md_url)
order1 = api.insert_order("DCE.jd2001", "BUY", "OPEN", 1)
order2 = api.insert_order("SHFE.cu2001", "SELL", "OPEN", 2, limit_price=47040)
while order1.status == "ALIVE" or order2.status == "ALIVE":
api.wait_update()
get_order1 = api.get_order(order1.order_id)
get_order2 = api.get_order(order2.order_id)
self.assertEqual(str(get_order1),
"{'order_id': '1710cf5327ac435a7a97c643656412a9', 'exchange_order_id': '1710cf5327ac435a7a97c643656412a9', 'exchange_id': 'DCE', 'instrument_id': 'jd2001', 'direction': 'BUY', 'offset': 'OPEN', 'volume_orign': 1, 'volume_left': 0, 'limit_price': nan, 'price_type': 'ANY', 'volume_condition': 'ANY', 'time_condition': 'IOC', 'insert_date_time': 631123200000000000, 'last_msg': '全部成交', 'status': 'FINISHED', 'user_id': 'TQSIM', 'symbol': 'DCE.jd2001', 'frozen_margin': 0.0}")
self.assertEqual(str(get_order2),
"{'order_id': '8ca5996666ceab360512bd1311072231', 'exchange_order_id': '8ca5996666ceab360512bd1311072231', 'exchange_id': 'SHFE', 'instrument_id': 'cu2001', 'direction': 'SELL', 'offset': 'OPEN', 'volume_orign': 2, 'volume_left': 0, 'limit_price': 47040.0, 'price_type': 'LIMIT', 'volume_condition': 'ANY', 'time_condition': 'GFD', 'insert_date_time': 631123200000000000, 'last_msg': '全部成交', 'status': 'FINISHED', 'user_id': 'TQSIM', 'symbol': 'SHFE.cu2001', 'frozen_margin': 0.0}")
self.assertEqual(get_order1.order_id, "1710cf5327ac435a7a97c643656412a9")
self.assertEqual(get_order1.direction, "BUY")
self.assertEqual(get_order1.offset, "OPEN")
self.assertEqual(get_order1.volume_orign, 1)
self.assertEqual(get_order1.volume_left, 0)
self.assertEqual(get_order1.limit_price != get_order1.limit_price, True) # 判断nan
self.assertEqual(get_order1.price_type, "ANY")
self.assertEqual(get_order1.volume_condition, "ANY")
self.assertEqual(get_order1.time_condition, "IOC")
self.assertEqual(get_order1.insert_date_time, 631123200000000000)
self.assertEqual(get_order1.last_msg, "全部成交")
self.assertEqual(get_order1.status, "FINISHED")
self.assertEqual(get_order1.symbol, "DCE.jd2001")
self.assertEqual(get_order1.frozen_margin, 0)
self.assertEqual(get_order2.order_id, "8ca5996666ceab360512bd1311072231")
self.assertEqual(get_order2.direction, "SELL")
self.assertEqual(get_order2.offset, "OPEN")
self.assertEqual(get_order2.volume_orign, 2)
self.assertEqual(get_order2.volume_left, 0)
self.assertEqual(get_order2.limit_price, 47040)
self.assertEqual(get_order2.price_type, "LIMIT")
self.assertEqual(get_order2.volume_condition, "ANY")
self.assertEqual(get_order2.time_condition, "GFD")
self.assertEqual(get_order2["insert_date_time"], 631123200000000000)
self.assertEqual(get_order2["last_msg"], "全部成交")
self.assertEqual(get_order2["status"], "FINISHED")
self.assertEqual(get_order2.symbol, "SHFE.cu2001")
self.assertEqual(get_order2.frozen_margin, 0)
api.close()
def test_get_account_option(self):
"""
获取账户资金信息
"""
# 预设服务器端响应
dir_path = os.path.dirname(os.path.realpath(__file__))
self.mock.run(
os.path.join(
dir_path, "log_file",
"test_td_basic_get_account_simulate_option.script.lzma"))
# 测试: 获取数据
api = TqApi(_ins_url=self.ins_url_2020_04_02,
_td_url=self.td_url,
_md_url=self.md_url)
utils.RD = random.Random(4)
order1 = api.insert_order("CZCE.SR007C5600",
"SELL",
"OPEN",
2,
limit_price=50)
order2 = api.insert_order("DCE.m2007-P-2900",
"BUY",
"OPEN",
3,
limit_price=180)
while order1.status == "ALIVE" or order2.status == "ALIVE":
api.wait_update()
account = api.get_account()
# 测试脚本重新生成后，数据根据实际情况有变化
self.assertEqual(
str(account),
"{'currency': 'CNY', 'pre_balance': 10000000.0, 'static_balance': 10000000.0, 'balance': 9998650.0, 'available': 9989752.8, 'ctp_balance': nan, 'ctp_available': nan, 'float_profit': -300.0, 'position_profit': 0.0, 'close_profit': 0.0, 'frozen_margin': 0.0, 'margin': 4797.200000000001, 'frozen_commission': 0.0, 'commission': 50.0, 'frozen_premium': 0.0, 'premium': -5400.0, 'deposit': 0.0, 'withdraw': 0.0, 'risk_ratio': 0.00047978477094407754, 'market_value': 4100.0}"
)
self.assertEqual(account.currency, "CNY")
self.assertEqual(account.pre_balance, 10000000.0)
self.assertEqual(account.balance, 9998650.0)
self.assertEqual(account["commission"], 50.0)
self.assertEqual(account["margin"], 4797.200000000001)
self.assertEqual(account.position_profit, 0.0)
self.assertEqual(account.available, 9989752.8)
self.assertNotEqual(account.ctp_balance, account.ctp_balance) # nan
self.assertEqual(account.float_profit, -300.0)
self.assertEqual(account.position_profit, 0.0)
self.assertEqual(account.margin, 4797.200000000001)
self.assertEqual(account.commission, 50.0)
self.assertEqual(account.premium, -5400.0)
self.assertEqual(account.risk_ratio, 0.00047978477094407754)
self.assertEqual(account.market_value, 4100.0)
api.close()
def test_insert_order(self):
"""
下单
"""
# 预设服务器端响应
dir_path = os.path.dirname(os.path.realpath(__file__))
self.mock.run(os.path.join(dir_path, "log_file", "test_td_basic_insert_order_simulate.script.lzma"))
# 测试: 模拟账户下单
# 非回测, 则需在盘中生成测试脚本: 测试脚本重新生成后，数据根据实际情况有变化,因此需要修改assert语句的内容
utils.RD = random.Random(2)
api = TqApi(_ins_url=self.ins_url_2019_07_03, _td_url=self.td_url, _md_url=self.md_url)
order1 = api.insert_order("DCE.jd2005", "BUY", "OPEN", 1)
order2 = api.insert_order("SHFE.cu2004", "BUY", "OPEN", 2, limit_price=49200)
while order1.status == "ALIVE" or order2.status == "ALIVE":
api.wait_update()
self.assertEqual(order1.order_id, "5c6e433715ba2bdd177219d30e7a269f")
self.assertEqual(order1.direction, "BUY")
self.assertEqual(order1.offset, "OPEN")
self.assertEqual(order1.volume_orign, 1)
self.assertEqual(order1.volume_left, 0)
self.assertNotEqual(order1.limit_price, order1.limit_price) # 判断nan
self.assertEqual(order1.price_type, "ANY")
self.assertEqual(order1.volume_condition, "ANY")
self.assertEqual(order1.time_condition, "IOC")
self.assertAlmostEqual(1584423143664478000 / 1e9, order1.insert_date_time / 1e9, places=1)
self.assertEqual(order1.status, "FINISHED")
for k, v in order1.trade_records.items(): # 模拟交易为一次性全部成交，因此只有一条成交记录
self.assertAlmostEqual(1584423143664478000 / 1e9, v.trade_date_time / 1e9, places=1)
del v.trade_date_time
self.assertEqual(str(v),
"{'order_id': '5c6e433715ba2bdd177219d30e7a269f', 'trade_id': '5c6e433715ba2bdd177219d30e7a269f|1', 'exchange_trade_id': '5c6e433715ba2bdd177219d30e7a269f|1', 'exchange_id': 'DCE', 'instrument_id': 'jd2005', 'direction': 'BUY', 'offset': 'OPEN', 'price': 3205.0, 'volume': 1, 'user_id': 'TQSIM', 'commission': 6.122999999999999}")
self.assertEqual(order2.order_id, "cf1822ffbc6887782b491044d5e34124")
self.assertEqual(order2.direction, "BUY")
self.assertEqual(order2.offset, "OPEN")
self.assertEqual(order2.volume_orign, 2)
self.assertEqual(order2.volume_left, 0)
self.assertEqual(order2.limit_price, 49200.0)
self.assertEqual(order2.price_type, "LIMIT")
self.assertEqual(order2.volume_condition, "ANY")
self.assertEqual(order2.time_condition, "GFD")
self.assertAlmostEqual(1584423143666130000 / 1e9, order2.insert_date_time / 1e9, places=1)
self.assertEqual(order2.status, "FINISHED")
for k, v in order2.trade_records.items(): # 模拟交易为一次性全部成交，因此只有一条成交记录
self.assertAlmostEqual(1584423143666130000 / 1e9, v.trade_date_time / 1e9, places=1)
del v.trade_date_time
self.assertEqual(str(v),
"{'order_id': 'cf1822ffbc6887782b491044d5e34124', 'trade_id': 'cf1822ffbc6887782b491044d5e34124|2', 'exchange_trade_id': 'cf1822ffbc6887782b491044d5e34124|2', 'exchange_id': 'SHFE', 'instrument_id': 'cu2004', 'direction': 'BUY', 'offset': 'OPEN', 'price': 49200.0, 'volume': 2, 'user_id': 'TQSIM', 'commission': 23.189999999999998}")
api.close()
def test_get_trade(self):
"""
获取成交记录
"""
# 预设服务器端响应
dir_path = os.path.dirname(os.path.realpath(__file__))
self.mock.run(
os.path.join(dir_path, "log_file",
"test_td_basic_get_trade_simulate.script"))
# 测试: 模拟账户
TqApi.RD = random.Random(4)
api = TqApi(_ins_url=self.ins_url,
_td_url=self.td_url,
_md_url=self.md_url)
order1 = api.insert_order("DCE.jd2001", "BUY", "OPEN", 1)
order2 = api.insert_order("SHFE.cu2001",
"BUY",
"OPEN",
2,
limit_price=47550)
while order1.status == "ALIVE" or order2.status == "ALIVE":
api.wait_update()
trade1 = api.get_trade("b8a1abcd1a6916c74da4f9fc3c6da5d7|1")
trade2 = api.get_trade("1710cf5327ac435a7a97c643656412a9|2")
self.assertEqual(
str(trade1),
"{'order_id': 'b8a1abcd1a6916c74da4f9fc3c6da5d7', 'trade_id': 'b8a1abcd1a6916c74da4f9fc3c6da5d7|1', 'exchange_trade_id': 'b8a1abcd1a6916c74da4f9fc3c6da5d7|1', 'exchange_id': 'DCE', 'instrument_id': 'jd2001', 'direction': 'BUY', 'offset': 'OPEN', 'price': 4569.0, 'volume': 1, 'trade_date_time': 1568876399999500000, 'symbol': 'DCE.jd2001', 'user_id': 'TQSIM', 'commission': 6.122999999999999}"
)
self.assertEqual(
str(trade2),
"{'order_id': '1710cf5327ac435a7a97c643656412a9', 'trade_id': '1710cf5327ac435a7a97c643656412a9|2', 'exchange_trade_id': '1710cf5327ac435a7a97c643656412a9|2', 'exchange_id': 'SHFE', 'instrument_id': 'cu2001', 'direction': 'BUY', 'offset': 'OPEN', 'price': 47550.0, 'volume': 2, 'trade_date_time': 1568876399999500000, 'symbol': 'SHFE.cu2001', 'user_id': 'TQSIM', 'commission': 23.189999999999998}"
)
self.assertEqual(trade1.direction, "BUY")
self.assertEqual(trade1.offset, "OPEN")
self.assertEqual(trade1.price, 4569.0)
self.assertEqual(trade1.volume, 1)
self.assertEqual(trade1.trade_date_time, 1568876399999500000)
self.assertEqual(trade1.commission, 6.122999999999999)
self.assertEqual(trade2.direction, "BUY")
self.assertEqual(trade2.offset, "OPEN")
self.assertEqual(trade2.price, 47550.0)
self.assertEqual(trade2.volume, 2)
self.assertEqual(trade2.trade_date_time, 1568876399999500000)
self.assertEqual(trade2.commission, 23.189999999999998)
api.close()
def run_tianqin_code(bid, user_id, pwd, td_url):
api = TqApi(TqAccount(bid, user_id, pwd),
auth="[email protected],MaYanQiong",
_stock=True,
_td_url=td_url,
debug="c.log")
is_ctp = False if bid == "快期模拟" else True
account = api.get_account()
if bid == "快期模拟":
assert account.ctp_balance == '-' or math.isnan(account.ctp_balance)
assert account.ctp_available == '-' or math.isnan(
account.ctp_available)
else:
logger.info(f"{account.ctp_balance}, {account.ctp_available}")
logger.info(f"{'='*30} 登录成功后，账户初始状态 {'='*30}")
positions = api._data["trade"][user_id]["positions"]
orders = api._data["trade"][user_id]["orders"]
check_orders(orders, api, is_ctp)
check_positions(positions, api, is_ctp)
check_account(account, positions, is_ctp)
check_risk_rule(api, None)
check_risk_data(api, "SSE.10002504")
api.set_risk_management_rule("SZSE", True)
logger.info(f"{'='*12} 期权 开仓 {'='*12}")
# quote = api.get_quote("SZSE.91000999") # ETF 期权 SSE.10002504
# print(quote)
# 挂单
# order = api.insert_order(symbol="SSE.10002504", direction="BUY", offset="OPEN", limit_price=quote.lower_limit + quote.price_tick, volume=2)
# order = api.insert_order(symbol="SSE.10002504", direction="SELL", offset="OPEN", limit_price=quote.upper_limit - quote.price_tick, volume=2)
# 可成交
# order = api.insert_order(symbol="SSE.10002513", direction="BUY", offset="OPEN", limit_price=quote.ask_price1, volume=3)
# 可成交 FAK 下单失败,CTP:交易所不支持的价格类型
# order = api.insert_order(symbol="SSE.10002513", direction="BUY", offset="OPEN", limit_price=quote.ask_price1, volume=2, advanced="FAK")
# 可成交 FOK
# order = api.insert_order(symbol="SSE.10002513", direction="BUY", offset="OPEN", limit_price=quote.ask_price1, volume=2, advanced="FOK")
# BEST
order = api.insert_order(symbol="SZSE.91000999",
direction="BUY",
offset="OPEN",
limit_price="BEST",
volume=5)
# BEST FOK 下单失败,已撤单报单被拒绝12038，合约代码:SSE.10002513，下单方向:买，开平标志:开仓，委托价格:最优价，委托手数:3
# order = api.insert_order(symbol="SSE.10002513", direction="SELL", offset="CLOSE", limit_price="BEST", volume=3, advanced="FOK")
# any_price 通知: 下单失败,CTP:交易所不支持的价格类型
# order = api.insert_order(symbol="SSE.10002513", direction="BUY", offset="OPEN", volume=3)
# FIVELEVEL 通知: 下单失败,CTP:交易所不支持的价格类型
# order = api.insert_order(symbol="SSE.10002513", direction="BUY", offset="OPEN", limit_price="FIVELEVEL", volume=3)
api.wait_update()
# api.cancel_order(order)
while order.status == "ALIVE":
api.wait_update()
check_all(api, bid, user_id)
# check_risk_rule(api,None)
check_risk_data(api, "SZSE.91000999")
api.close()
def test_get_account(self):
"""
获取账户资金信息
"""
# 预设服务器端响应
self.mock.run("test_td_basic_get_account_simulate.script")
# 测试: 获取数据
api = TqApi(_ins_url=self.ins_url,
_td_url=self.td_url,
_md_url=self.md_url)
TqApi.RD = random.Random(4)
order = api.insert_order("DCE.jd2001",
"BUY",
"OPEN",
1,
limit_price=4570)
while order.status == "ALIVE":
api.wait_update()
account = api.get_account()
self.assertEqual(
str(account),
"{'currency': 'CNY', 'pre_balance': 10000000.0, 'static_balance': 10000000.0, 'balance': 9999973.877, 'available': 9997116.477, 'float_profit': -20.0, 'position_profit': -20.0, 'close_profit': 0.0, 'frozen_margin': 0.0, 'margin': 2857.4, 'frozen_commission': 0.0, 'commission': 6.122999999999999, 'frozen_premium': 0.0, 'premium': 0.0, 'deposit': 0.0, 'withdraw': 0.0, 'risk_ratio': 0.00028574074644055193}"
)
self.assertEqual(account.currency, "CNY")
self.assertEqual(account.pre_balance, 10000000.0)
self.assertEqual(9999973.877, account.balance)
self.assertEqual(6.122999999999999, account["commission"])
self.assertEqual(2857.4, account["margin"])
self.assertEqual(-20.0, account.position_profit)
api.close()
def test_get_account(self):
"""
获取账户资金信息
"""
# 预设服务器端响应
dir_path = os.path.dirname(os.path.realpath(__file__))
self.mock.run(
os.path.join(dir_path, "log_file",
"test_td_basic_get_account_simulate.script.lzma"))
# 测试: 获取数据
api = TqApi(_ins_url=self.ins_url,
_td_url=self.td_url,
_md_url=self.md_url)
TqApi.RD = random.Random(4)
order = api.insert_order("DCE.jd2001",
"BUY",
"OPEN",
1,
limit_price=4570)
while order.status == "ALIVE":
api.wait_update()
account = api.get_account()
# 测试脚本重新生成后，数据根据实际情况有变化
self.assertEqual(
str(account),
"{'currency': 'CNY', 'pre_balance': 10000000.0, 'static_balance': 10000000.0, 'balance': 9994873.877, 'available': 9992016.477, 'float_profit': -5120.0, 'position_profit': -5120.0, 'close_profit': 0.0, 'frozen_margin': 0.0, 'margin': 2857.4, 'frozen_commission': 0.0, 'commission': 6.122999999999999, 'frozen_premium': 0.0, 'premium': 0.0, 'deposit': 0.0, 'withdraw': 0.0, 'risk_ratio': 0.00028588654896140217}"
)
self.assertEqual(account.currency, "CNY")
self.assertEqual(account.pre_balance, 10000000.0)
self.assertEqual(9994873.877, account.balance)
self.assertEqual(6.122999999999999, account["commission"])
self.assertEqual(2857.4, account["margin"])
self.assertEqual(-5120.0, account.position_profit)
api.close()
def sell_close():
api = TqApi(TqAccount(bid, user_id, pwd),
url=td_url,
auth="ringo,Shinnytech123")
test_logger.info(f"{'='*12} 期权 卖平仓 {'='*12}")
quote = api.get_quote(symbol) # ETF 期权
order = api.insert_order(symbol=symbol,
direction="SELL",
offset="CLOSE",
limit_price=quote.bid_price1,
volume=3)
while order.status == "ALIVE":
api.wait_update()
api.wait_update()
api.close()
def test_is_changing(self):
# 预设服务器端响应
self.mock.run("test_func_basic_is_changing.script")
# 测试: 模拟账户下单
TqApi.RD = random.Random(4)
api = TqApi(_ins_url=self.ins_url,
_td_url=self.td_url,
_md_url=self.md_url)
quote = api.get_quote("SHFE.rb2001")
position = api.get_position("SHFE.rb2001")
order1 = api.insert_order("DCE.m2001", "BUY", "OPEN", 1)
api.wait_update()
order2 = api.insert_order("SHFE.rb2001", "SELL", "OPEN", 2)
api.wait_update()
self.assertEqual(api.is_changing(order2, "status"), True)
self.assertEqual(api.is_changing(position, "volume_short"), True)
self.assertEqual(api.is_changing(position, "volume_long"), False)
order3 = api.insert_order("SHFE.rb2001", "BUY", "CLOSETODAY", 1)
while order3.status == "ALIVE":
api.wait_update()
self.assertEqual(api.is_changing(order3, "status"), True)
self.assertEqual(api.is_changing(position, "volume_short"), True)
self.assertEqual(api.is_changing(quote, "last_price"), False)
def test_get_position(self):
"""
获取持仓
"""
# 预设服务器端响应
dir_path = os.path.dirname(os.path.realpath(__file__))
self.mock.run(
os.path.join(dir_path, "log_file",
"test_td_basic_get_position_simulate.script.lzma"))
# 测试: 获取数据
api = TqApi(_ins_url=self.ins_url,
_td_url=self.td_url,
_md_url=self.md_url)
order1 = api.insert_order("DCE.jd2001",
"BUY",
"OPEN",
1,
limit_price=4592)
order2 = api.insert_order("DCE.jd2001", "BUY", "OPEN", 3)
order3 = api.insert_order("DCE.jd2001", "SELL", "OPEN", 3)
while order1.status == "ALIVE" or order2.status == "ALIVE" or order3.status == "ALIVE":
api.wait_update()
position = api.get_position("DCE.jd2001")
# 测试脚本重新生成后，数据根据实际情况有变化
self.assertEqual(
"{'exchange_id': 'DCE', 'instrument_id': 'jd2001', 'pos_long_his': 0, 'pos_long_today': 4, 'pos_short_his': 0, 'pos_short_today': 3, 'volume_long_today': 4, 'volume_long_his': 0, 'volume_long': 4, 'volume_long_frozen_today': 0, 'volume_long_frozen_his': 0, 'volume_long_frozen': 0, 'volume_short_today': 3, 'volume_short_his': 0, 'volume_short': 3, 'volume_short_frozen_today': 0, 'volume_short_frozen_his': 0, 'volume_short_frozen': 0, 'open_price_long': 4193.0, 'open_price_short': 4059.0, 'open_cost_long': 167720.0, 'open_cost_short': 121770.0, 'position_price_long': 4193.0, 'position_price_short': 4059.0, 'position_cost_long': 167720.0, 'position_cost_short': 121770.0, 'float_profit_long': -5320.0, 'float_profit_short': -30.0, 'float_profit': -5350.0, 'position_profit_long': -5320.0, 'position_profit_short': -30.0, 'position_profit': -5350.0, 'margin_long': 11429.6, 'margin_short': 8572.2, 'margin': 20001.800000000003, 'symbol': 'DCE.jd2001', 'last_price': 4060.0}",
str(position))
self.assertEqual(1, position.pos)
self.assertEqual(4, position.pos_long)
self.assertEqual(3, position.pos_short)
self.assertEqual(position.exchange_id, "DCE")
self.assertEqual(position.instrument_id, "jd2001")
self.assertEqual(position.pos_long_his, 0)
self.assertEqual(position.pos_long_today, 4)
self.assertEqual(position.pos_short_his, 0)
self.assertEqual(position.pos_short_today, 3)
self.assertEqual(position.volume_long_today, 4)
self.assertEqual(position.volume_long_his, 0)
self.assertEqual(position.volume_long, 4)
self.assertEqual(position.volume_long_frozen_today, 0)
self.assertEqual(position.volume_long_frozen_his, 0)
self.assertEqual(position.volume_long_frozen, 0)
self.assertEqual(position.volume_short_today, 3)
self.assertEqual(position.volume_short_his, 0)
self.assertEqual(position.volume_short, 3)
self.assertEqual(position.volume_short_frozen_today, 0)
self.assertEqual(position.volume_short_frozen_his, 0)
self.assertEqual(position.volume_short_frozen, 0)
self.assertEqual(position.open_price_long, 4193.0)
self.assertEqual(position.open_price_short, 4059.0)
self.assertEqual(position.open_cost_long, 167720.0)
self.assertEqual(position.open_cost_short, 121770.0)
self.assertEqual(position.position_price_long, 4193.0)
self.assertEqual(position.position_price_short, 4059.0)
self.assertEqual(position.position_cost_long, 167720.0)
self.assertEqual(position.position_cost_short, 121770.0)
self.assertEqual(position.float_profit_long, -5320.0)
self.assertEqual(position.float_profit_short, -30.0)
self.assertEqual(position.float_profit, -5350.0)
self.assertEqual(position.position_profit_long, -5320.0)
self.assertEqual(position.position_profit_short, -30.0)
self.assertEqual(position.position_profit, -5350.0)
self.assertEqual(position.margin_long, 11429.6)
self.assertEqual(position.margin_short, 8572.2)
self.assertEqual(position.margin, 20001.800000000003)
self.assertEqual(position.symbol, "DCE.jd2001")
self.assertEqual(position.last_price, 4060.0)
# 其他取值方式测试
self.assertEqual(position["pos_long_today"], 4)
self.assertEqual(position["pos_short_today"], 3)
self.assertEqual(position["volume_long_his"], 0)
self.assertEqual(position["volume_long"], 4)
api.close()
def run_tianqin_code(bid, user_id, pwd, td_url):
api = TqApi(TqAccount(bid, user_id, pwd), auth="[email protected],MaYanQiong", _stock=True,
_md_url="wss://nfmd.shinnytech.com/t/nfmd/front/mobile", _td_url=td_url)
print(api._md_url)
is_ctp = False if bid == "快期模拟" else True
account = api.get_account()
if bid == "快期模拟":
assert account.ctp_balance == '-' or math.isnan(account.ctp_balance)
assert account.ctp_available == '-' or math.isnan(account.ctp_available)
else:
logger.info(f"{account.ctp_balance}, {account.ctp_available}")
logger.info(f"{'='*30} 登录成功后，账户初始状态 {'='*30}")
positions = api._data["trade"][user_id]["positions"]
orders = api._data["trade"][user_id]["orders"]
check_orders(orders, api, is_ctp)
check_positions(positions, api, is_ctp)
check_account(account, positions, is_ctp)
logger.info(f"{'='*12} 期权 开仓 {'='*12}")
quote = api.get_quote("CZCE.RM105") # ETF 期权
print(quote)
# 挂单
# order = api.insert_order(symbol="SSE.10002513", direction="BUY", offset="OPEN", limit_price=quote.lower_limit + quote.price_tick, volume=2)
# 可成交
order = api.insert_order(symbol="CZCE.RM105", direction="BUY", offset="OPEN", limit_price=quote.ask_price1, volume=1)
# order = api.insert_order(symbol="SSE.10002513", direction="BUY", offset="OPEN", limit_price=quote.ask_price1, volume=3)
# 可成交 FAK 下单失败,CTP:交易所不支持的价格类型
# order = api.insert_order(symbol="SSE.10002513", direction="BUY", offset="OPEN", limit_price=quote.ask_price1, volume=2, advanced="FAK")
# 可成交 FOK
# order = api.insert_order(symbol="SSE.10002513", direction="BUY", offset="OPEN", limit_price=quote.ask_price1, volume=2, advanced="FOK")
# BEST
# order = api.insert_order(symbol="SSE.10002513", direction="SELL", offset="CLOSE", limit_price="BEST", volume=10)
# BEST FOK 下单失败,已撤单报单被拒绝12038，合约代码:SSE.10002513，下单方向:买，开平标志:开仓，委托价格:最优价，委托手数:3
# order = api.insert_order(symbol="SSE.10002513", direction="SELL", offset="CLOSE", limit_price="BEST", volume=3, advanced="FOK")
# any_price 通知: 下单失败,CTP:交易所不支持的价格类型
# order = api.insert_order(symbol="SSE.10002513", direction="BUY", offset="OPEN", volume=3)
# FIVELEVEL 通知: 下单失败,CTP:交易所不支持的价格类型
# order = api.insert_order(symbol="SSE.10002513", direction="BUY", offset="OPEN", limit_price="FIVELEVEL", volume=3)
while order.status == "ALIVE":
api.wait_update()
api.wait_update()
api.wait_update()
check_all(api, bid, user_id)
# logger.info(f"{'='*30} 发平仓挂单 {'='*30}")
# positions = api._data["trade"][user_id]["positions"]
# for pos in positions.values():
# symbol = f"{pos.exchange_id}.{pos.instrument_id}"
# quote = api.get_quote(symbol)
# if pos.pos_long > 0:
# api.insert_order(symbol=symbol, direction="SELL", offset="CLOSE",
# limit_price=quote.upper_limit - quote.price_tick,
# volume=pos.pos_long)
# if pos.pos_short > 0:
# api.insert_order(symbol=symbol, direction="BUY", offset="CLOSE",
# limit_price=quote.lower_limit + quote.price_tick,
# volume=pos.pos_short)
# check_all(api, bid, user_id)
api.close()
df_long = reset_df_long(quote, GRID_AMOUNT, grid_region_long, grid_volume_long)
df_short = reset_df_short(quote, GRID_AMOUNT, grid_region_short, grid_volume_short)
#################################################################################
while True:
api.wait_update()
#################################################################################
if api.is_changing(ticks):
now = time_to_datetime(ticks.iloc[-1].datetime)
if (now.hour >= 9 and now.hour < 15) or (now.hour >= 21 and now.hour < 23):
if is_clear_all1:
api.insert_order(symbol, "SELL", close, position.pos_long, quote.bid_price1 - 2)
is_clear_all1 = False
if is_clear_all2:
api.insert_order(symbol, "BUY", close, position.pos_short, quote.ask_price1 + 2)
is_clear_all2 = False
#################################################################################
if api.is_changing(quote):
df = pd.DataFrame(api.get_order().values())
if not df.empty:
df_long_open = df[
((df["exchange_id"] + "." + df["instrument_id"]) == symbol) & (df["direction"] == "BUY") & (
df["offset"] == "OPEN") & (df["volume_left"] == df["volume_orign"]) & (
df["status"] == "ALIVE")]
df_short_open = df[
def test_get_position_option(self):
"""
获取持仓
"""
# 预设服务器端响应
dir_path = os.path.dirname(os.path.realpath(__file__))
self.mock.run(
os.path.join(
dir_path, "log_file",
"test_td_basic_get_position_simulate_option.script.lzma"))
# 测试: 获取数据
api = TqApi(_ins_url=self.ins_url_2020_04_02,
_td_url=self.td_url,
_md_url=self.md_url)
order1 = api.insert_order("CZCE.SR007C5600",
"BUY",
"OPEN",
2,
limit_price=55)
order2 = api.insert_order("CZCE.SR007C5600",
"BUY",
"OPEN",
3,
limit_price=55)
order3 = api.insert_order("CZCE.SR007C5600",
"SELL",
"OPEN",
3,
limit_price=10)
order4 = api.insert_order("CZCE.SR007C5600", "SELL", "OPEN",
3) # 只有郑商所支持期权市价单
order5 = api.insert_order("DCE.m2007-P-2900", "BUY", "OPEN",
1) # 只有郑商所支持期权市价单
while order1.status == "ALIVE" or order2.status == "ALIVE" or order3.status == "ALIVE" or order4.status == "ALIVE" or order5.status == "ALIVE":
api.wait_update()
self.assertEqual(order4.volume_left, 0)
self.assertEqual(order5.volume_left, 1)
position = api.get_position("CZCE.SR007C5600")
position2 = api.get_position("DCE.m2007-P-2900")
self.assertEqual(0, position2.pos_long)
self.assertEqual(0, position2.pos_short)
# 测试脚本重新生成后，数据根据实际情况有变化
self.assertEqual(
"{'exchange_id': 'CZCE', 'instrument_id': 'SR007C5600', 'pos_long_his': 0, 'pos_long_today': 5, 'pos_short_his': 0, 'pos_short_today': 6, 'volume_long_today': 5, 'volume_long_his': 0, 'volume_long': 5, 'volume_long_frozen_today': 0, 'volume_long_frozen_his': 0, 'volume_long_frozen': 0, 'volume_short_today': 6, 'volume_short_his': 0, 'volume_short': 6, 'volume_short_frozen_today': 0, 'volume_short_frozen_his': 0, 'volume_short_frozen': 0, 'open_price_long': 55.0, 'open_price_short': 22.5, 'open_cost_long': 2750.0, 'open_cost_short': 1350.0, 'position_price_long': 55.0, 'position_price_short': 22.5, 'position_cost_long': 2750.0, 'position_cost_short': 1350.0, 'float_profit_long': -1000.0, 'float_profit_short': -750.0, 'float_profit': -1750.0, 'position_profit_long': 0.0, 'position_profit_short': 0.0, 'position_profit': 0.0, 'margin_long': 0.0, 'margin_short': 8156.4000000000015, 'margin': 8156.4000000000015, 'market_value_long': 1750.0, 'market_value_short': -2100.0, 'market_value': -350.0, 'last_price': 35.0}",
str(position))
self.assertEqual(-1, position.pos)
self.assertEqual(5, position.pos_long)
self.assertEqual(6, position.pos_short)
self.assertEqual(position.exchange_id, "CZCE")
self.assertEqual(position.instrument_id, "SR007C5600")
self.assertEqual(position.pos_long_his, 0)
self.assertEqual(position.pos_long_today, 5)
self.assertEqual(position.pos_short_his, 0)
self.assertEqual(position.pos_short_today, 6)
self.assertEqual(position.volume_long_today, 5)
self.assertEqual(position.volume_long_his, 0)
self.assertEqual(position.volume_long, 5)
self.assertEqual(position.volume_long_frozen_today, 0)
self.assertEqual(position.volume_long_frozen_his, 0)
self.assertEqual(position.volume_long_frozen, 0)
self.assertEqual(position.volume_short_today, 6)
self.assertEqual(position.volume_short_his, 0)
self.assertEqual(position.volume_short, 6)
self.assertEqual(position.volume_short_frozen_today, 0)
self.assertEqual(position.volume_short_frozen_his, 0)
self.assertEqual(position.volume_short_frozen, 0)
self.assertEqual(position.open_price_long, 55.0)
self.assertEqual(position.open_price_short, 22.5)
self.assertEqual(position.open_cost_long, 2750.0)
self.assertEqual(position.open_cost_short, 1350.0)
self.assertEqual(position.position_price_long, 55.0)
self.assertEqual(position.position_price_short, 22.5)
self.assertEqual(position.position_cost_long, 2750.0)
self.assertEqual(position.position_cost_short, 1350.0)
self.assertEqual(position.float_profit_long, -1000.0)
self.assertEqual(position.float_profit_short, -750.0)
self.assertEqual(position.float_profit, -1750.0)
self.assertEqual(position.position_profit_long, 0.0)
self.assertEqual(position.position_profit_short, 0.0)
self.assertEqual(position.position_profit, 0.0)
self.assertEqual(position.margin_long, 0.0)
self.assertEqual(position.margin_short, 8156.4000000000015)
self.assertEqual(position.margin, 8156.4000000000015)
self.assertEqual(position.market_value_long, 1750.0)
self.assertEqual(position.market_value_short, -2100.0)
self.assertEqual(position.market_value, -350.0)
self.assertEqual(position.last_price, 35.0)
# 其他取值方式测试
self.assertEqual(position["pos_long_today"], 5)
self.assertEqual(position["pos_short_today"], 6)
self.assertEqual(position["volume_long_his"], 0)
self.assertEqual(position["volume_long"], 5)
api.close()
#!/usr/bin/env python
# -*- coding: utf-8 -*-
from tqsdk import TqApi
api = TqApi()
quote = api.get_quote("SHFE.rb1910")
# 开仓两手并等待完成
order = api.insert_order(symbol="SHFE.rb1910",
direction="BUY",
offset="OPEN",
limit_price=quote.ask_price1,
volume=2)
while order.status != "FINISHED":
api.wait_update()
print("已开仓")
# 平今两手并等待完成
order = api.insert_order(symbol="SHFE.rb1910",
direction="SELL",
offset="CLOSETODAY",
limit_price=quote.bid_price1,
volume=2)
while order.status != "FINISHED":
api.wait_update()
print("已平今")
# 关闭api,释放相应资源
api.close()
def test_insert_order_option(self):
"""
期权下单
"""
# 预设服务器端响应
dir_path = os.path.dirname(os.path.realpath(__file__))
self.mock.run(
os.path.join(
dir_path, "log_file",
"test_td_basic_insert_order_simulate_option.script.lzma"))
# 测试: 模拟账户下单
# 非回测, 则需在盘中生成测试脚本: 测试脚本重新生成后，数据根据实际情况有变化,因此需要修改assert语句的内容
utils.RD = random.Random(2)
api = TqApi(_ins_url=self.ins_url_2020_04_02,
_td_url=self.td_url,
_md_url=self.md_url)
order1 = api.insert_order("SHFE.cu2006C47000",
"BUY",
"OPEN",
1,
limit_price=135)
order2 = api.insert_order("CZCE.SR007C5600",
"SELL",
"OPEN",
2,
limit_price=30)
order3 = api.insert_order("DCE.m2007-P-2900",
"BUY",
"OPEN",
3,
limit_price=192)
while order1.status == "ALIVE" or order2.status == "ALIVE" or order3.status == "ALIVE":
api.wait_update()
self.assertEqual(order1.order_id, "5c6e433715ba2bdd177219d30e7a269f")
self.assertEqual(order1.direction, "BUY")
self.assertEqual(order1.offset, "OPEN")
self.assertEqual(order1.volume_orign, 1)
self.assertEqual(order1.volume_left, 0)
self.assertEqual(order1.limit_price, 135.0)
self.assertEqual(order1.price_type, "LIMIT")
self.assertEqual(order1.volume_condition, "ANY")
self.assertEqual(order1.time_condition, "GFD")
self.assertAlmostEqual(1586829882005334000 / 1e9,
order1.insert_date_time / 1e9,
places=1)
self.assertEqual(order1.status, "FINISHED")
for k, v in order1.trade_records.items(): # 模拟交易为一次性全部成交，因此只有一条成交记录
self.assertAlmostEqual(1586829882005979000 / 1e9,
v.trade_date_time / 1e9,
places=1)
del v.trade_date_time
self.assertEqual(
str(v),
"{'order_id': '5c6e433715ba2bdd177219d30e7a269f', 'trade_id': '5c6e433715ba2bdd177219d30e7a269f|1', 'exchange_trade_id': '5c6e433715ba2bdd177219d30e7a269f|1', 'exchange_id': 'SHFE', 'instrument_id': 'cu2006C47000', 'direction': 'BUY', 'offset': 'OPEN', 'price': 135.0, 'volume': 1, 'user_id': 'TQSIM', 'commission': 10}"
)
self.assertEqual(order2.order_id, "cf1822ffbc6887782b491044d5e34124")
self.assertEqual(order2.direction, "SELL")
self.assertEqual(order2.offset, "OPEN")
self.assertEqual(order2.volume_orign, 2)
self.assertEqual(order2.volume_left, 0)
self.assertEqual(order2.limit_price, 30.0)
self.assertEqual(order2.price_type, "LIMIT")
self.assertEqual(order2.volume_condition, "ANY")
self.assertEqual(order2.time_condition, "GFD")
self.assertAlmostEqual(1586829882236154000 / 1e9,
order2.insert_date_time / 1e9,
places=1)
self.assertEqual(order2.status, "FINISHED")
for k, v in order2.trade_records.items(): # 模拟交易为一次性全部成交，因此只有一条成交记录
self.assertAlmostEqual(1586829882236518000 / 1e9,
v.trade_date_time / 1e9,
places=1)
del v.trade_date_time
self.assertEqual(
str(v),
"{'order_id': 'cf1822ffbc6887782b491044d5e34124', 'trade_id': 'cf1822ffbc6887782b491044d5e34124|2', 'exchange_trade_id': 'cf1822ffbc6887782b491044d5e34124|2', 'exchange_id': 'CZCE', 'instrument_id': 'SR007C5600', 'direction': 'SELL', 'offset': 'OPEN', 'price': 30.0, 'volume': 2, 'user_id': 'TQSIM', 'commission': 20}"
)
self.assertEqual(order3.order_id, "4067c3584ee207f8da94e3e8ab73738f")
self.assertEqual(order3.direction, "BUY")
self.assertEqual(order3.offset, "OPEN")
self.assertEqual(order3.volume_orign, 3)
self.assertEqual(order3.volume_left, 0)
self.assertEqual(order3.limit_price, 192.0)
self.assertEqual(order3.price_type, "LIMIT")
self.assertEqual(order3.volume_condition, "ANY")
self.assertEqual(order3.time_condition, "GFD")
self.assertAlmostEqual(1586829882228039000 / 1e9,
order3.insert_date_time / 1e9,
places=1)
self.assertEqual(order3.status, "FINISHED")
for k, v in order3.trade_records.items(): # 模拟交易为一次性全部成交，因此只有一条成交记录
self.assertAlmostEqual(1586829882228603000 / 1e9,
v.trade_date_time / 1e9,
places=1)
del v.trade_date_time
self.assertEqual(
str(v),
"{'order_id': '4067c3584ee207f8da94e3e8ab73738f', 'trade_id': '4067c3584ee207f8da94e3e8ab73738f|3', 'exchange_trade_id': '4067c3584ee207f8da94e3e8ab73738f|3', 'exchange_id': 'DCE', 'instrument_id': 'm2007-P-2900', 'direction': 'BUY', 'offset': 'OPEN', 'price': 192.0, 'volume': 3, 'user_id': 'TQSIM', 'commission': 30}"
)
api.close()
from otg_check_helper import check_orders, check_positions, check_account, check_risk_rule, check_risk_data, check_all
from test_for_etf.base_info import bid, user_id, pwd, td_url, test_logger
if __name__ == '__main__':
api = TqApi(TqAccount(bid, user_id, pwd),
auth="ringo,Shinnytech123",
_stock=True,
_td_url=td_url)
# 成交持仓比风控规则
rule = api.set_risk_management_rule("SSE",
True,
trade_units_limit=6,
trade_position_ratio_limit=150)
test_logger.info(f"{'='*12} 期权 开仓 {'='*12}")
symbol = "SSE.10002477"
quote = api.get_quote(symbol) # ETF 期权
# 挂单
buy_order = api.insert_order(symbol=symbol,
direction="BUY",
offset="OPEN",
limit_price=quote.ask_price1,
volume=10)
while buy_order.status == "ALIVE":
api.wait_update()
check_all(api, bid, user_id)
check_risk_rule(api, None)
check_risk_data(api, symbol)
api.close()
#!/usr/bin/env python
# -*- coding: utf-8 -*-
__author__ = 'chengzhi'
from tqsdk import TqApi, TqSim
api = TqApi(TqSim())
# 获得 m1909 的持仓引用，当持仓有变化时 position 中的字段会对应更新
position = api.get_position("DCE.m1909")
# 获得资金账户引用，当账户有变化时 account 中的字段会对应更新
account = api.get_account()
# 下单并返回委托单的引用，当该委托单有变化时 order 中的字段会对应更新
order = api.insert_order(symbol="DCE.m1909",
direction="BUY",
offset="OPEN",
volume=5)
while True:
api.wait_update()
if api.is_changing(order, ["status", "volume_orign", "volume_left"]):
print("单状态: %s, 已成交: %d 手" %
(order["status"], order["volume_orign"] - order["volume_left"]))
if api.is_changing(position, "volume_long_today"):
print("今多头: %d 手" % (position["volume_long_today"]))
if api.is_changing(account, "available"):
print("可用资金: %.2f" % (account["available"]))
# api = TqApi(TqAccount("快期模拟", "cjj208", "Chenjj1230"))
api = TqApi(TqAccount("simnow",
"090828",
"jimc1230",
front_broker='9999',
front_url='tcp://180.168.146.187:10100'),
web_gui="0.0.0.0:9876")
# 获得 m2005 的持仓引用，当持仓有变化时 position 中的字段会对应更新
position = api.get_position("SHFE.rb2005")
# 获得资金账户引用，当账户有变化时 account 中的字段会对应更新
account = api.get_account()
# 下单并返回委托单的引用，当该委托单有变化时 order 中的字段会对应更新
order = api.insert_order(symbol="SHFE.rb2005",
direction="BUY",
offset="OPEN",
volume=2,
limit_price=3521)
#canorder = api.cancel_order(order)
while True:
api.wait_update()
if api.is_changing(order, ["status", "volume_orign", "volume_left"]):
#subprocess.call("cls",shell=True)
print("单状态: %s, 已成交: %d 手" %
(order.status, order.volume_orign - order.volume_left))
if api.is_changing(position, "pos_long_today"):
print("今多头: %d 手" % (position.pos_long_today))
if api.is_changing(account, "available"):
print("可用资金: %.2f" % (account.available))
如果小于则平仓
'''
api = TqApi()
# 获得 m2005 10秒K线的引用
klines = api.get_kline_serial("DCE.m2005", 10)
# 判断开仓条件
while True:
api.wait_update()
if api.is_changing(klines):
ma = sum(klines.close.iloc[-15:]) / 15
print("最新价", klines.close.iloc[-1], "MA", ma)
if klines.close.iloc[-1] > ma:
print("最新价大于MA: 市价开仓")
api.insert_order(symbol="DCE.m2005",
direction="BUY",
offset="OPEN",
volume=5)
break
# 判断平仓条件
while True:
api.wait_update()
if api.is_changing(klines):
ma = sum(klines.close.iloc[-15:]) / 15
print("最新价", klines.close.iloc[-1], "MA", ma)
if klines.close.iloc[-1] < ma:
print("最新价小于MA: 市价平仓")
api.insert_order(symbol="DCE.m2005",
direction="SELL",
offset="CLOSE",
volume=5)
break
