def close_tradepos(self, idx, tradepos, price):
valid_time = self.agent.tick_id + self.trade_valid_time
insts = tradepos.insts
nAsset = len(insts)
trade_vol = [-v * tradepos.pos for v in tradepos.volumes]
order_type = [self.order_type] * nAsset
if (self.order_type == OPT_LIMIT_ORDER) and (nAsset > 1):
order_type[-1] = OPT_MARKET_ORDER
conv_f = [self.agent.instruments[inst].multiple for inst in insts]
etrade = order.ETrade( insts, trade_vol, order_type, -price*tradepos.direction, [self.num_tick] * nAsset, \
valid_time, self.name, self.agent.name, conv_f[-1]*abs(tradepos.pos), conv_f)
tradepos.exit_tradeid = etrade.id
self.submitted_trades[idx].append(etrade)
return
def open_tradepos(self, idx, direction, price):
valid_time = self.agent.tick_id + self.trade_valid_time
insts = self.underliers[idx]
nAsset = len(insts)
trade_vol = [ v * self.trade_unit[idx] * direction for v in self.volumes[idx] ]
order_type = [self.order_type] * nAsset
if (self.order_type == OPT_LIMIT_ORDER) and (nAsset > 1):
order_type[-1] = OPT_MARKET_ORDER
conv_f = [ self.agent.instruments[inst].multiple for inst in insts ]
etrade = order.ETrade( insts, trade_vol, order_type, price * direction, [self.num_tick] * nAsset, \
valid_time, self.name, self.agent.name, conv_f[-1]*self.trade_unit[idx], conv_f)
tradepos = self.pos_class(insts, self.volumes[idx], direction * self.trade_unit[idx], \
price, price, conv_f[-1]*self.trade_unit[idx], **self.pos_args)
tradepos.entry_tradeid = etrade.id
self.submitted_trades[idx].append(etrade)
self.positions[idx].append(tradepos)
return
def on_trade(self, etrade):
save_status = False
under_key = '_'.join(sorted(etrade.instIDs))
idx = self.under2idx[under_key]
entry_ids = [tp.entry_tradeid for tp in self.positions[idx]]
exit_ids = [tp.exit_tradeid for tp in self.positions[idx]]
i = 0
if etrade.id in entry_ids:
i = entry_ids.index(etrade.id)
is_entry = True
elif etrade.id in exit_ids:
i = exit_ids.index(etrade.id)
is_entry = False
else:
self.logger.warning(
'the trade %s is in status = %s but not found in the strat=%s tradepos table'
% (etrade.id, etrade.status, self.name))
etrade.status = order.ETradeStatus.StratConfirm
return
tradepos = self.positions[idx][i]
if etrade.status == order.ETradeStatus.Done:
traded_price = etrade.final_price()
if is_entry:
tradepos.open(traded_price, datetime.datetime.now())
self.logger.info(
'strat %s successfully opened a position on %s after tradeid=%s is done, trade status is changed to confirmed'
% (self.name, '_'.join(sorted(tradepos.insts)), etrade.id))
etrade.status = order.ETradeStatus.StratConfirm
self.num_entries[idx] += 1
else:
tradepos.close(traded_price, datetime.datetime.now())
self.save_closed_pos(tradepos)
self.logger.info(
'strat %s successfully closed a position on %s after tradeid=%s is done, the closed trade position is saved'
% (self.name, '_'.join(sorted(tradepos.insts)), etrade.id))
etrade.status = order.ETradeStatus.StratConfirm
self.num_exits[idx] += 1
elif etrade.status == order.ETradeStatus.Cancelled:
if self.pos_exec_flag == STRAT_POS_CANCEL:
if is_entry:
tradepos.cancel_open()
self.logger.info(
'strat %s cancelled an open position on %s after tradeid=%s is cancelled. Both the trade and the position will be removed.'
% (self.name, '_'.join(sorted(
tradepos.insts)), etrade.id))
etrade.status = order.ETradeStatus.StratConfirm
else:
tradepos.cancel_close()
self.logger.info(
'strat %s cancelled closing a position on %s after tradeid=%s is cancelled. The position is still open.'
% (self.name, '_'.join(sorted(
tradepos.insts)), etrade.id))
etrade.status = order.ETradeStatus.StratConfirm
if self.pos_exec_flag == STRAT_POS_MUST_EXEC:
etrade.status = order.ETradeStatus.StratConfirm
valid_time = self.agent.tick_id + self.trade_valid_time
new_trade = order.ETrade( etrade.instIDs, etrade.volumes, etrade.order_types, etrade.limit_price, etrade.slip_ticks, \
valid_time, self.name, self.agent.name, etrade.price_unit, etrade.conv_f)
if is_entry:
tradepos.entry_tradeid = new_trade.id
else:
tradepos.exit_tradeid = new_trade.id
self.submitted_trades[idx].append(new_trade)
self.positions[idx] = [
tradepos for tradepos in self.positions[idx]
if not tradepos.is_closed
]
self.submitted_trades[idx] = [
etrade for etrade in self.submitted_trades[idx]
if etrade.status != order.ETradeStatus.StratConfirm
]
self.save_state()