def short_margin_ratio(cls, strcontract):
try:
return cls._get_info().loc[strcontract.upper(),
'short_margin_ratio']
except KeyError:
log.warn("Can't not find contract: %s" % strcontract)
return 1
def update_signal(self, event):
""" 处理策略函数产生的下单事件。
可能产生一系列order事件，在bar的开盘时间交易。
"""
assert event.route == Event.SIGNAL
new_orders = []
for order in event.orders:
errmsg = self._valid_order(order)
if errmsg == '':
order.datetime = self._datetime
new_orders.append(order)
if order.side == TradeSide.OPEN:
self.holding['cash'] -= \
order.order_margin(self._bars[order.contract].open)
else:
log.warn(errmsg)
# six.print_(len(event.orders), len(new_orders))
continue
self.open_orders.update(new_orders) # 改变对象的值，不改变对象地址。
self._all_orders.extend(new_orders)
for order in new_orders:
self.api.order(copy.deepcopy(order))
for order in new_orders:
if order.side == TradeSide.CLOSE:
pos = self.positions[PositionKey(order.contract,
order.direction)]
pos.closable -= order.quantity
def long_margin_ratio(cls, strcontract):
try:
## @todo 确保CONTRACTS.csv里面没有重复的项，否则有可能返回数组．
return cls._get_info().loc[strcontract.upper(),
'long_margin_ratio']
except KeyError:
log.warn("Can't not find contract: %s" % strcontract)
return 1
def __init__(self):
self._src, type_ = get_setting_datasource()
if Contract.source_type and Contract.source_type != type_:
log.warn("数据源发生了切换！之前可能以另外一个数据源调用Contract.xxx")
Contract.info = self._src.get_contracts()
Contract.source_type = type_
def volume_multiple(cls, strcontract):
try:
return cls._get_info().loc[strcontract.upper(), 'volume_multiple']
except KeyError:
log.warn("Can't not find contract: %s" % strcontract)
return 1