def on_bar(self, bar):
timeStampNow = (pandas.Timestamp)(bar.strtime)
global fiveMinQuantity
global TargetQuantity
global oneMinVolList
if IntervalBorderList.count(timeStampNow) > 0:
# 5分钟整点
print(timeStampNow)
intervalIndex = IntervalBorderList.index(timeStampNow)
fiveMinQuantity = CalNextLargeIntervalVol(RemindQuantity, intervalIndex)
oneMinVolList = SplitLargeIntoOneMinAverage(fiveMinQuantity, 5)
minNow = timeStampNow.minute % 5
td.open_short(Market, StockId, 0, oneMinVolList[minNow])
'''currentPriceList = GetCurrentPriceList(HistoryPriceMatrix, )'''
def on_login():
# place 4 orders
order1 = td.open_long('CFFEX', 'IF1512', 0, 100)
order2 = td.open_short('CFFEX', 'IF1512', 0, 100)
order3 = td.close_long('CFFEX', 'IF1512', 0, 10)
order4 = td.close_short('CFFEX', 'IF1512', 0, 10)
print('placed 4 orders: \n', order_to_dict(order1), order_to_dict(order2), order3, order4)
# try to cancel order1
td.cancel_order(order1.cl_ord_id)
# query order
order = td.get_order(order2.cl_ord_id)
print('query order: ', order_to_dict(order) if order else '')
# query cash
cash = td.get_cash()
print('query cash: ', cash_to_dict(cash) if cash else '')
# query position
position = td.get_position('CFFEX', 'IF1512', OrderSide_Bid)
print('query position: ', position_to_dict(position) if position else '')
# query all positions
positions = td.get_positions()
print('query all positions: ', positions)
# get unfinished orders
orders = td.get_unfinished_orders()
print('query unfinished orders: ', orders)
def on_bar(self, bar):
timeStampNow = (pandas.Timestamp)(bar.strtime)
fiveMinQuantity = 0
global TargetQuantity
global OneMinVolList
global CurrentTimeIndex
if IntervalBorderList.count(timeStampNow) > 0:
# 5分钟整点
CurrentTimeIndex = IntervalBorderList.index(timeStampNow)
print(timeStampNow)
intervalIndex = IntervalBorderList.index(timeStampNow)
fiveMinQuantity = CalNextLargeIntervalVol(RemindQuantity, intervalIndex)
OneMinVolList = SplitLargeIntoOneMinAverage(fiveMinQuantity, 5)
print("OneMinVolList", intervalIndex, OneMinVolList)
#OneMinVolList = ReturnSchdule(intervalIndex, bar, bool(1))
minNow = timeStampNow.minute % 5
order = td.open_short(Market, StockId, 0, OneMinVolList[minNow])
OrderRecordList.append(OneMinVolList[minNow])
if CurrentTimeIndex != -1:
IndexToOrderIdMap[CurrentTimeIndex].append(order.cl_ord_id)
def on_login():
# place 4 orders
order1 = td.open_long('SHSE', '600000', 0, 100)
order2 = td.open_short('SHSE', '600000', 0, 100)
order3 = td.close_long('SHSE', '600000', 0, 10)
order4 = td.close_short('SHSE', '600000', 0, 10)
print('placed 4 orders:', order1, order2, order3, order4)
# try to cancel order1
td.cancel_order(order1.cl_ord_id)
# query order
order = td.get_order(order2.cl_ord_id)
print('query order: ', order)
# get orders
orders = td.get_orders('2016-01-01', '2016-03-16')
print('query orders: ', len(orders))
# get orders
orders = td.get_orders_by_symbol('SHSE', '600000', '2016-01-01',
'2016-03-16')
print('query orders by symbol: ', len(orders))
# query cash
cash = td.get_cash()
print('query cash: ', cash)
# query position
position = td.get_position('SHSE', '600000', OrderSide_Bid)
print('query position: ', position)
# query all positions
positions = td.get_positions()
print('query all positions: ', positions)
# get unfinished orders
orders = td.get_unfinished_orders()
print('query unfinished orders: ', orders)
def on_login():
# place 4 orders
order1 = td.open_long('SHSE', '600000', 0, 100)
order2 = td.open_short('SHSE', '600000', 0, 100)
order3 = td.close_long('SHSE', '600000', 0, 10)
order4 = td.close_short('SHSE', '600000', 0, 10)
print('placed 4 orders:', order1, order2, order3, order4)
# try to cancel order1
td.cancel_order(order1.cl_ord_id)
# query order
order = td.get_order(order2.cl_ord_id)
print('query order: ', order)
# get orders
orders = td.get_orders('2016-01-01', '2016-03-16')
print('query orders: ', len(orders))
# get orders
orders = td.get_orders_by_symbol('SHSE', '600000', '2016-01-01', '2016-03-16')
print('query orders by symbol: ', len(orders))
# query cash
cash = td.get_cash()
print('query cash: ', cash)
# query position
position = td.get_position('SHSE', '600000', OrderSide_Bid)
print('query position: ', position)
# query all positions
positions = td.get_positions()
print('query all positions: ', positions)
# get unfinished orders
orders = td.get_unfinished_orders()
print('query unfinished orders: ', orders)