async def submit_orders(self, delta_position):
""" 根据当前最新的delta_position来执行下单操作
"""
delta = tools.nearest(delta_position['BTC'], self.syminfo.size_tick) #下单量
if abs(delta) < 0.01: #原因是现货买入交易手续费从'货'中扣,极为恶心的设计
return
if delta > 0: #做多
s, e = await self.create_order(self.gw, self.symbols[0], ORDER_ACTION_BUY, self.last_kline.close+100, abs(delta)) #限价单模拟市价单
if e:
logger.error("error:", e, caller=self)
elif delta < 0: #做空
s, e = await self.create_order(self.gw, self.symbols[0], ORDER_ACTION_SELL, self.last_kline.close-100, abs(delta)) #限价单模拟市价单
if e:
logger.error("error:", e, caller=self)
async def create_order(self, action, price, quantity, order_type=ORDER_TYPE_LIMIT):
""" 下单
"""
if not self._last_kline or not self._last_kline.usable:
return None, "无法创建订单"
#获取符号相关信息
syminfo = config.backtest["feature"][self._platform]["syminfo"][self._symbol]
price_tick = syminfo["price_tick"] #价格变动最小精度
size_tick = syminfo["size_tick"] #下单数量变动最小精度
size_limit = syminfo["size_limit"] #下单数量最小限制
value_tick = syminfo["value_tick"] #下单金额变动最小精度
value_limit = syminfo["value_limit"] #下单金额最小限制
base_currency = syminfo["base_currency"] #基础币种,交易标的,或者说就是'货'
settlement_currency = syminfo["settlement_currency"] #结算币种,或者说就是'钱'
#输入参数验证
if order_type == ORDER_TYPE_MARKET:
if price:
return None, "无法创建订单,市价单价格必须填0"
if action == ORDER_ACTION_BUY:
#市价买单quantity代表的是下单金额
if quantity < value_limit:
return None, "无法创建订单,下单金额太少"
if not self.precision_verify(quantity, value_tick):
return None, "无法创建订单,下单金额精度错误"
else:
if quantity < size_limit:
return None, "无法创建订单,下单数量太少"
if not self.precision_verify(quantity, size_tick):
return None, "无法创建订单,下单数量精度错误"
else:
if price <= 0:
return None, "无法创建订单,价格必须大于0"
if not self.precision_verify(price, price_tick):
return None, "无法创建订单,价格精度错误"
if quantity < size_limit:
return None, "无法创建订单,下单数量太少"
if not self.precision_verify(quantity, size_tick):
return None, "无法创建订单,下单数量精度错误"
#获取当前时间
ts = ModelAPI.current_milli_timestamp()
#
if order_type == ORDER_TYPE_MARKET: #市价单
if action == ORDER_ACTION_BUY: #买
bc = self._trader._assets[base_currency]
sc = self._trader._assets[settlement_currency]
if quantity > sc['free']:
return None, "账户余额不够"
#收盘均价模拟成交价
tradeprice = tools.nearest(self._last_kline.close_avg_fillna, price_tick)
#市价买单quantity指的是'钱',逼真模拟
tradevolmue, left_money = self.market_buy_order_cross(quantity, tradeprice, size_tick)
#市价买单quantity指的是'钱'
#tradevolmue = quantity/tradeprice
#对于现货交易,手续费是从接收币种里面扣除
fee = tradevolmue*self.taker_commission_rate
#订单通知
order_no = self.next_order_no()
o = {
"platform": self._platform,
"account": self._account,
"strategy": self._strategy,
"order_no": order_no,
"action": action,
"symbol": self._symbol,
"price": 0,
"quantity": tools.nearest(quantity, value_tick),
"remain": tools.nearest(left_money, value_tick),
"status": ORDER_STATUS_FILLED,
"order_type": order_type,
"ctime": ts,
"utime": ts
#avg_price
#trade_type
}
order = Order(**o)
if self.cb.on_order_update_callback:
await self.cb.on_order_update_callback(order)
#成交通知
fill_no = self.next_fill_no()
f = {
"platform": self._platform,
"account": self._account,
"strategy": self._strategy,
"fill_no": fill_no,
"order_no": order_no,
"side": action, #成交方向,买还是卖
"symbol": self._symbol,
"price": tools.nearest(tradeprice, price_tick), #成交价格
"quantity": tools.nearest(tradevolmue, size_tick), #成交数量
"liquidity": LIQUIDITY_TYPE_TAKER, #maker成交还是taker成交
"fee": tools.nearest(fee, size_tick),
"ctime": ts
}
fill = Fill(**f)
if self.cb.on_fill_update_callback:
await self.cb.on_fill_update_callback(fill)
#账户资产通知
#'货'增加
bc['free'] += (tradevolmue-fee)
bc['free'] = tools.nearest(bc['free'], size_tick)
bc['total'] = bc['free'] + bc['locked']
bc['total'] = tools.nearest(bc['total'], size_tick)
#'钱'减少
sc['free'] -= quantity #市价买单quantity指的是'钱'
sc['free'] = tools.nearest(sc['free'], value_tick)
sc['total'] = sc['free'] + sc['locked']
sc['total'] = tools.nearest(sc['total'], value_tick)
#
ast = Asset(self._platform, self._account, self._trader._assets, ts, True)
if self.cb.on_asset_update_callback:
await self.cb.on_asset_update_callback(ast)
elif action == ORDER_ACTION_SELL: #卖
bc = self._trader._assets[base_currency]
sc = self._trader._assets[settlement_currency]
if quantity > bc['free']:
return None, "账户币不足"
#收盘均价模拟成交价
tradeprice = tools.nearest(self._last_kline.close_avg_fillna, price_tick)
trademoney = quantity*tradeprice
#对于现货交易,手续费是从接收币种里面扣除
fee = trademoney*self.taker_commission_rate
trademoney -= fee
#订单通知
order_no = self.next_order_no()
o = {
"platform": self._platform,
"account": self._account,
"strategy": self._strategy,
"order_no": order_no,
"action": action,
"symbol": self._symbol,
"price": 0,
"quantity": tools.nearest(quantity, size_tick),
"remain": 0,
"status": ORDER_STATUS_FILLED,
"order_type": order_type,
"ctime": ts,
"utime": ts
#avg_price
#trade_type
}
order = Order(**o)
if self.cb.on_order_update_callback:
await self.cb.on_order_update_callback(order)
#成交通知
fill_no = self.next_fill_no()
f = {
"platform": self._platform,
"account": self._account,
"strategy": self._strategy,
"fill_no": fill_no,
"order_no": order_no,
"side": action, #成交方向,买还是卖
"symbol": self._symbol,
"price": tools.nearest(tradeprice, price_tick), #成交价格
"quantity": tools.nearest(quantity, size_tick), #成交数量
"liquidity": LIQUIDITY_TYPE_TAKER, #maker成交还是taker成交
"fee": tools.nearest(fee, value_tick),
"ctime": ts
}
fill = Fill(**f)
if self.cb.on_fill_update_callback:
await self.cb.on_fill_update_callback(fill)
#账户资产通知
#'货'减少
bc['free'] -= quantity
bc['free'] = tools.nearest(bc['free'], size_tick)
bc['total'] = bc['free'] + bc['locked']
bc['total'] = tools.nearest(bc['total'], size_tick)
#'钱'增加
sc['free'] += trademoney
sc['free'] = tools.nearest(sc['free'], value_tick)
sc['total'] = sc['free'] + sc['locked']
sc['total'] = tools.nearest(sc['total'], value_tick)
#
ast = Asset(self._platform, self._account, self._trader._assets, ts, True)
if self.cb.on_asset_update_callback:
await self.cb.on_asset_update_callback(ast)
elif order_type == ORDER_TYPE_LIMIT: #限价单
if action == ORDER_ACTION_BUY: #买
bc = self._trader._assets[base_currency]
sc = self._trader._assets[settlement_currency]
if quantity*price > sc['free']:
return None, "账户余额不够"
#如果下单价格小于当前价格,那意味着无法成交,订单将进入订单薄挂着
if price < self._last_kline.close_avg_fillna:
#订单通知
order_no = self.next_order_no()
o = {
"platform": self._platform,
"account": self._account,
"strategy": self._strategy,
"order_no": order_no,
"action": action,
"symbol": self._symbol,
"price": tools.nearest(price, price_tick),
"quantity": tools.nearest(quantity, size_tick),
"remain": tools.nearest(quantity, size_tick),
"status": ORDER_STATUS_SUBMITTED,
"order_type": order_type,
"ctime": ts,
"utime": ts
#avg_price
#trade_type
}
order = Order(**o)
self._orders[order_no] = order #进入订单簿
if self.cb.on_order_update_callback:
await self.cb.on_order_update_callback(order)
#账户资产通知
#'钱'需要被锁定一部分
sc['locked'] += quantity*price #挂单部分所占用的资金需要被锁定
sc['locked'] = tools.nearest(sc['locked'], value_tick)
sc['free'] = sc['total'] - sc['locked']
sc['free'] = tools.nearest(sc['free'], value_tick)
#
ast = Asset(self._platform, self._account, self._trader._assets, ts, True)
if self.cb.on_asset_update_callback:
await self.cb.on_asset_update_callback(ast)
else: #直接成交
#收盘均价模拟成交价
tradeprice = tools.nearest(self._last_kline.close_avg_fillna, price_tick)
tradevolmue = quantity #直接模拟全部成交
trademoney = tradeprice*tradevolmue #成交金额
#对于现货交易,手续费是从接收币种里面扣除
fee = tradevolmue*self.taker_commission_rate
#订单通知
order_no = self.next_order_no()
o = {
"platform": self._platform,
"account": self._account,
"strategy": self._strategy,
"order_no": order_no,
"action": action,
"symbol": self._symbol,
"price": tools.nearest(price, price_tick),
"quantity": tools.nearest(quantity, size_tick),
"remain": 0,
"status": ORDER_STATUS_FILLED,
"order_type": order_type,
"ctime": ts,
"utime": ts
#avg_price
#trade_type
}
order = Order(**o)
if self.cb.on_order_update_callback:
await self.cb.on_order_update_callback(order)
#成交通知
fill_no = self.next_fill_no()
f = {
"platform": self._platform,
"account": self._account,
"strategy": self._strategy,
"fill_no": fill_no,
"order_no": order_no,
"side": action, #成交方向,买还是卖
"symbol": self._symbol,
"price": tools.nearest(tradeprice, price_tick), #成交价格
"quantity": tools.nearest(tradevolmue, size_tick), #成交数量
"liquidity": LIQUIDITY_TYPE_TAKER, #maker成交还是taker成交
"fee": tools.nearest(fee, size_tick),
"ctime": ts
}
fill = Fill(**f)
if self.cb.on_fill_update_callback:
await self.cb.on_fill_update_callback(fill)
#账户资产通知
#'货'增加
bc['free'] += (tradevolmue-fee)
bc['free'] = tools.nearest(bc['free'], size_tick)
bc['total'] = bc['free'] + bc['locked']
bc['total'] = tools.nearest(bc['total'], size_tick)
#'钱'减少
sc['free'] -= trademoney
sc['free'] = tools.nearest(sc['free'], value_tick)
sc['total'] = sc['free'] + sc['locked']
sc['total'] = tools.nearest(sc['total'], value_tick)
#
ast = Asset(self._platform, self._account, self._trader._assets, ts, True)
if self.cb.on_asset_update_callback:
await self.cb.on_asset_update_callback(ast)
elif action == ORDER_ACTION_SELL: #卖
bc = self._trader._assets[base_currency]
sc = self._trader._assets[settlement_currency]
if quantity > bc['free']:
return None, "账户币不足"
#如果下单价格大于当前价格,那意味着无法成交,订单将进入订单薄挂着
if price > self._last_kline.close_avg_fillna:
#订单通知
order_no = self.next_order_no()
o = {
"platform": self._platform,
"account": self._account,
"strategy": self._strategy,
"order_no": order_no,
"action": action,
"symbol": self._symbol,
"price": tools.nearest(price, price_tick),
"quantity": tools.nearest(quantity, size_tick),
"remain": tools.nearest(quantity, size_tick),
"status": ORDER_STATUS_SUBMITTED,
"order_type": order_type,
"ctime": ts,
"utime": ts
#avg_price
#trade_type
}
order = Order(**o)
self._orders[order_no] = order #进入订单簿
if self.cb.on_order_update_callback:
await self.cb.on_order_update_callback(order)
#账户资产通知
#'货'需要被锁定一部分
bc['locked'] += quantity #挂单部分所占用的'货'需要被锁定
bc['locked'] = tools.nearest(bc['locked'], size_tick)
bc['free'] = bc['total'] - bc['locked']
bc['free'] = tools.nearest(bc['free'], size_tick)
#
ast = Asset(self._platform, self._account, self._trader._assets, ts, True)
if self.cb.on_asset_update_callback:
await self.cb.on_asset_update_callback(ast)
else: #直接成交
#收盘均价模拟成交价
tradeprice = tools.nearest(self._last_kline.close_avg_fillna, price_tick)
trademoney = quantity*tradeprice
#对于现货交易,手续费是从接收币种里面扣除
fee = trademoney*self.taker_commission_rate
trademoney -= fee
#订单通知
order_no = self.next_order_no()
o = {
"platform": self._platform,
"account": self._account,
"strategy": self._strategy,
"order_no": order_no,
"action": action,
"symbol": self._symbol,
"price": tools.nearest(price, price_tick),
"quantity": tools.nearest(quantity, size_tick),
"remain": 0,
"status": ORDER_STATUS_FILLED,
"order_type": order_type,
"ctime": ts,
"utime": ts
#avg_price
#trade_type
}
order = Order(**o)
if self.cb.on_order_update_callback:
await self.cb.on_order_update_callback(order)
#成交通知
fill_no = self.next_fill_no()
f = {
"platform": self._platform,
"account": self._account,
"strategy": self._strategy,
"fill_no": fill_no,
"order_no": order_no,
"side": action, #成交方向,买还是卖
"symbol": self._symbol,
"price": tools.nearest(tradeprice, price_tick), #成交价格
"quantity": tools.nearest(quantity, size_tick), #成交数量
"liquidity": LIQUIDITY_TYPE_TAKER, #maker成交还是taker成交
"fee": tools.nearest(fee, value_tick),
"ctime": ts
}
fill = Fill(**f)
if self.cb.on_fill_update_callback:
await self.cb.on_fill_update_callback(fill)
#账户资产通知
#'货'减少
bc['free'] -= quantity
bc['free'] = tools.nearest(bc['free'], size_tick)
bc['total'] = bc['free'] + bc['locked']
bc['total'] = tools.nearest(bc['total'], size_tick)
#'钱'增加
sc['free'] += trademoney
sc['free'] = tools.nearest(sc['free'], value_tick)
sc['total'] = sc['free'] + sc['locked']
sc['total'] = tools.nearest(sc['total'], value_tick)
#
ast = Asset(self._platform, self._account, self._trader._assets, ts, True)
if self.cb.on_asset_update_callback:
await self.cb.on_asset_update_callback(ast)
elif order_type == ORDER_TYPE_IOC:
raise NotImplementedError
#返回订单号
return order_no, None
async def make_trade(self):
""" 尝试和订单列表中的订单进行撮合成交
"""
#遍历订单簿里面所有挂单
os = copy.copy(self._orders)
for (k, o) in os.items():
syminfo = config.backtest["feature"][self._platform]["syminfo"][self._symbol]
price_tick = syminfo["price_tick"] #价格变动最小精度
size_tick = syminfo["size_tick"] #下单数量变动最小精度
value_tick = syminfo["value_tick"] #下单金额变动最小精度
base_currency = syminfo["base_currency"] #基础币种,交易标的,或者说就是'货'
settlement_currency = syminfo["settlement_currency"] #结算币种,或者说就是'钱'
bc = self._trader._assets[base_currency]
sc = self._trader._assets[settlement_currency]
if o.action == ORDER_ACTION_BUY: #买单
if o.price >= self._last_kline.close_avg_fillna: #当前价格可以成交
ts = ModelAPI.current_milli_timestamp()
#收盘均价模拟成交价
tradeprice = tools.nearest(self._last_kline.close_avg_fillna, price_tick)
tradevolmue = o.quantity #直接模拟全部成交
trademoney = tradeprice*tradevolmue #成交金额
#对于现货交易,手续费是从接收币种里面扣除
fee = tradevolmue*self.maker_commission_rate
#订单通知
o.remain = 0
o.status = ORDER_STATUS_FILLED
o.utime = ts
if self.cb.on_order_update_callback:
await self.cb.on_order_update_callback(o)
#成交通知
fill_no = self.next_fill_no()
f = {
"platform": self._platform,
"account": self._account,
"strategy": self._strategy,
"fill_no": fill_no,
"order_no": o.order_no,
"side": o.action, #成交方向,买还是卖
"symbol": self._symbol,
"price": tools.nearest(tradeprice, price_tick), #成交价格
"quantity": tools.nearest(tradevolmue, size_tick), #成交数量
"liquidity": LIQUIDITY_TYPE_MAKER, #maker成交还是taker成交
"fee": tools.nearest(fee, size_tick),
"ctime": ts
}
fill = Fill(**f)
if self.cb.on_fill_update_callback:
await self.cb.on_fill_update_callback(fill)
#账户资产通知
#'货'增加
bc['free'] += (tradevolmue-fee)
bc['free'] = tools.nearest(bc['free'], size_tick)
bc['total'] = bc['free'] + bc['locked']
bc['total'] = tools.nearest(bc['total'], size_tick)
#释放挂单占用的'钱'
sc['locked'] -= o.quantity*o.price
sc['locked'] = tools.nearest(sc['locked'], value_tick)
sc['free'] = sc['total'] - sc['locked']
#'钱'减少
sc['free'] -= trademoney
sc['free'] = tools.nearest(sc['free'], value_tick)
sc['total'] = sc['free'] + sc['locked']
sc['total'] = tools.nearest(sc['total'], value_tick)
#
ast = Asset(self._platform, self._account, self._trader._assets, ts, True)
if self.cb.on_asset_update_callback:
await self.cb.on_asset_update_callback(ast)
#删除订单簿中的订单
del self._orders[o.order_no]
elif o.action == ORDER_ACTION_SELL: #卖单
if o.price <= self._last_kline.close_avg_fillna: #当前价格可以成交
ts = ModelAPI.current_milli_timestamp()
#收盘均价模拟成交价
tradeprice = tools.nearest(self._last_kline.close_avg_fillna, price_tick)
trademoney = o.quantity*tradeprice #模拟全部成交
#对于现货交易,手续费是从接收币种里面扣除
fee = trademoney*self.maker_commission_rate
trademoney -= fee
#订单通知
o.remain = 0
o.status = ORDER_STATUS_FILLED
o.utime = ts
if self.cb.on_order_update_callback:
await self.cb.on_order_update_callback(o)
#成交通知
fill_no = self.next_fill_no()
f = {
"platform": self._platform,
"account": self._account,
"strategy": self._strategy,
"fill_no": fill_no,
"order_no": o.order_no,
"side": o.action, #成交方向,买还是卖
"symbol": self._symbol,
"price": tools.nearest(tradeprice, price_tick), #成交价格
"quantity": tools.nearest(o.quantity, size_tick), #成交数量
"liquidity": LIQUIDITY_TYPE_MAKER, #maker成交还是taker成交
"fee": tools.nearest(fee, value_tick),
"ctime": ts
}
fill = Fill(**f)
if self.cb.on_fill_update_callback:
await self.cb.on_fill_update_callback(fill)
#账户资产通知
#释放挂单占用的'货'
bc['locked'] -= o.quantity
bc['locked'] = tools.nearest(bc['locked'], size_tick)
bc['free'] = bc['total'] - bc['locked']
#'货'减少
bc['free'] -= o.quantity
bc['free'] = tools.nearest(bc['free'], size_tick)
bc['total'] = bc['free'] + bc['locked']
bc['total'] = tools.nearest(bc['total'], size_tick)
#'钱'增加
sc['free'] += trademoney
sc['free'] = tools.nearest(sc['free'], value_tick)
sc['total'] = sc['free'] + sc['locked']
sc['total'] = tools.nearest(sc['total'], value_tick)
#
ast = Asset(self._platform, self._account, self._trader._assets, ts, True)
if self.cb.on_asset_update_callback:
await self.cb.on_asset_update_callback(ast)
#删除订单簿中的订单
del self._orders[o.order_no]