def order(self, asset, amount, limit_price, stop_price, style):
is_buy = (amount > 0)
zp_order = ZPOrder(
dt=pd.to_datetime('now', utc=True),
asset=asset,
amount=amount,
stop=style.get_stop_price(is_buy),
limit=style.get_limit_price(is_buy))
contract = Contract()
contract.m_symbol = str(asset.symbol)
contract.m_currency = self.currency
contract.m_exchange = 'SMART'
contract.m_secType = 'STK'
order = Order()
order.m_totalQuantity = int(fabs(amount))
order.m_action = "BUY" if amount > 0 else "SELL"
order.m_lmtPrice = 0
order.m_auxPrice = 0
if isinstance(style, MarketOrder):
order.m_orderType = "MKT"
elif isinstance(style, LimitOrder):
order.m_orderType = "LMT"
order.m_lmtPrice = limit_price
elif isinstance(style, StopOrder):
order.m_orderType = "STP"
order.m_auxPrice = stop_price
elif isinstance(style, StopLimitOrder):
order.m_orderType = "STP LMT"
order.m_auxPrice = stop_price
order.m_lmtPrice = limit_price
order.m_tif = "DAY"
ib_order_id = self._tws.next_order_id
zp_order.broker_order_id = ib_order_id
self.orders[zp_order.id] = zp_order
self._tws.placeOrder(ib_order_id, contract, order)
return zp_order.id
def tdx_order_to_zipline_order(self, order):
"""
status
0 已报
1 部分成交
2 全部成交
3 部分撤单
4 全部撤单
5 交易所拒单
6 柜台未接受
:param order:
:return:
"""
if order.status == "3" or '4' == order.status:
zp_status = ZP_ORDER_STATUS.CANCELLED
elif order.status == "0":
zp_status = ZP_ORDER_STATUS.OPEN
elif order.status == "1":
zp_status = ZP_ORDER_STATUS.FILLED
elif order.status == "2":
zp_status = ZP_ORDER_STATUS.HELD
elif order.status == "5" or order.status == "6":
zp_status = ZP_ORDER_STATUS.REJECTED
zp_order_id = self._tdx_to_zp_order_id(order.order_id)
od = ZPOrder(
dt=order.dt,
asset=symbol(order.symbol),
amount=order.amount,
filled=order.filled,
stop=None,
limit=order.price, # TODO 市价单和限价单
id=zp_order_id,
)
od.broker_order_id = order.order_id
od.status = zp_status
return od
def tdx_order_to_zipline_order(self, order):
if order.status is not None and 'CANCEL' == order.status:
zp_status = ZP_ORDER_STATUS.CANCELLED
elif order.filled == 0:
zp_status = ZP_ORDER_STATUS.OPEN
else:
zp_status = ZP_ORDER_STATUS.FILLED
zp_order_id = self._tdx_to_zp_order_id(order.order_id)
od = ZPOrder(
dt=pd.to_datetime(order.dt),
asset=symbol(order.symbol),
amount=order.amount,
filled=order.filled,
stop=None,
limit=order.price, # TODO 市价单和限价单
id=zp_order_id,
)
od.broker_order_id = order.order_id
od.status = zp_status
return od
def tdx_order_to_zipline_order(self, order):
if order.status == '已撤':
zp_status = ZP_ORDER_STATUS.CANCELLED
elif order.filled == 0:
zp_status = ZP_ORDER_STATUS.OPEN
else:
zp_status = ZP_ORDER_STATUS.FILLED
zp_order_id = self._tdx_to_zp_order_id(order.order_id)
od = ZPOrder(
dt=pd.to_datetime(order.dt),
asset=symbol(order.symbol),
amount=order.amount,
filled=order.filled,
stop=None,
limit=order.price, # TODO 市价单和限价单
id=zp_order_id,
)
od.broker_order_id = order.order_id
od.status = zp_status
return od