class Order(object):
order_id_gen = id_gen(int(time.time()) * 10000)
__repr__ = property_repr
def __init__(self):
self._order_id = None
self._secondary_order_id = None
self._calendar_dt = None
self._trading_dt = None
self._quantity = None
self._order_book_id = None
self._side = None
self._position_effect = None
self._message = None
self._filled_quantity = None
self._status = None
self._frozen_price = None
self._type = None
self._avg_price = None
self._transaction_cost = None
self._kwargs = None
@staticmethod
def _str_to_enum(enum_class, s):
return enum_class.__members__[s]
def get_state(self):
return {
'order_id': self._order_id,
'secondary_order_id': self._secondary_order_id,
'calendar_dt': self._calendar_dt,
'trading_dt': self._trading_dt,
'order_book_id': self._order_book_id,
'quantity': self._quantity,
'side': self._side,
'position_effect': self._position_effect,
'message': self._message,
'filled_quantity': self._filled_quantity,
'status': self._status,
'frozen_price': self._frozen_price,
'type': self._type,
'transaction_cost': self._transaction_cost,
'avg_price': self._avg_price,
'kwargs': self._kwargs,
}
def set_state(self, d):
self._order_id = d['order_id']
if 'secondary_order_id' in d:
self._secondary_order_id = d['secondary_order_id']
self._calendar_dt = d['calendar_dt']
self._trading_dt = d['trading_dt']
self._order_book_id = d['order_book_id']
self._quantity = d['quantity']
self._side = SIDE[d["side"]]
self._position_effect = POSITION_EFFECT[
d["position_effect"]] if d["position_effect"] else None
self._message = d['message']
self._filled_quantity = d['filled_quantity']
self._status = ORDER_STATUS[d["order_status"]]
self._frozen_price = d['frozen_price']
self._type = ORDER_TYPE[d["type"]]
self._transaction_cost = d['transaction_cost']
self._avg_price = d['avg_price']
self._kwargs = d['kwargs']
@classmethod
def __from_create__(cls, order_book_id, quantity, side, style,
position_effect, **kwargs):
env = Environment.get_instance()
order = cls()
order._order_id = next(order.order_id_gen)
order._calendar_dt = env.calendar_dt
order._trading_dt = env.trading_dt
order._quantity = quantity
order._order_book_id = order_book_id
order._side = side
order._position_effect = position_effect
order._message = ""
order._filled_quantity = 0
order._status = ORDER_STATUS.PENDING_NEW
if isinstance(style, LimitOrder):
if env.config.base.round_price:
tick_size = env.data_proxy.get_tick_size(order_book_id)
style.round_price(tick_size)
order._frozen_price = style.get_limit_price()
order._type = ORDER_TYPE.LIMIT
else:
order._frozen_price = 0.
order._type = ORDER_TYPE.MARKET
order._avg_price = 0
order._transaction_cost = 0
order._kwargs = kwargs
return order
@property
def order_id(self):
"""
[int] 唯一标识订单的id
"""
return self._order_id
@property
def secondary_order_id(self):
"""
[str] 实盘交易中交易所产生的订单ID
"""
return self._secondary_order_id
@property
def trading_datetime(self):
"""
[datetime.datetime] 订单的交易日期（对应期货夜盘）
"""
return self._trading_dt
@property
def datetime(self):
"""
[datetime.datetime] 订单创建时间
"""
return self._calendar_dt
@property
def quantity(self):
"""
[int] 订单数量
"""
if np.isnan(self._quantity):
raise RuntimeError(
"Quantity of order {} is not supposed to be nan.".format(
self.order_id))
return self._quantity
@property
def unfilled_quantity(self):
"""
[int] 订单未成交数量
"""
return self.quantity - self.filled_quantity
@property
def order_book_id(self):
"""
[str] 合约代码
"""
return self._order_book_id
@property
def side(self):
"""
[SIDE] 订单方向
"""
return self._side
@property
def position_effect(self):
"""
[POSITION_EFFECT] 订单开平（期货专用）
"""
if self._position_effect is None:
if self._side == SIDE.BUY:
return POSITION_EFFECT.OPEN
else:
return POSITION_EFFECT.CLOSE
return self._position_effect
@property
def position_direction(self):
# type: () -> POSITION_DIRECTION
return get_position_direction(self._side, self._position_effect)
@property
def message(self):
"""
[str] 信息。比如拒单时候此处会提示拒单原因
"""
return self._message
@property
def filled_quantity(self):
"""
[int] 订单已成交数量
"""
if np.isnan(self._filled_quantity):
raise RuntimeError(
"Filled quantity of order {} is not supposed to be nan.".
format(self.order_id))
return self._filled_quantity
@property
def status(self):
"""
[ORDER_STATUS] 订单状态
"""
return self._status
@property
def price(self):
"""
[float] 订单价格，只有在订单类型为'限价单'的时候才有意义
"""
return 0 if self.type == ORDER_TYPE.MARKET else self.frozen_price
@property
def type(self):
"""
[ORDER_TYPE] 订单类型
"""
return self._type
@property
def avg_price(self):
"""
[float] 成交均价
"""
return self._avg_price
@property
def transaction_cost(self):
"""
[float] 费用
"""
return self._transaction_cost
@property
def frozen_price(self):
"""
[float] 冻结价格
"""
if np.isnan(self._frozen_price):
raise RuntimeError(
"Frozen price of order {} is not supposed to be nan.".format(
self.order_id))
return self._frozen_price
@property
def kwargs(self):
return self._kwargs
def is_final(self):
return self._status not in {
ORDER_STATUS.PENDING_NEW, ORDER_STATUS.ACTIVE,
ORDER_STATUS.PENDING_CANCEL
}
def is_active(self):
return self.status == ORDER_STATUS.ACTIVE
def active(self):
self._status = ORDER_STATUS.ACTIVE
def set_pending_cancel(self):
if not self.is_final():
self._status = ORDER_STATUS.PENDING_CANCEL
def fill(self, trade):
quantity = trade.last_quantity
assert self.filled_quantity + quantity <= self.quantity
new_quantity = self._filled_quantity + quantity
self._transaction_cost += trade.commission + trade.tax
self._filled_quantity = new_quantity
if self.unfilled_quantity == 0:
self._status = ORDER_STATUS.FILLED
if trade.position_effect != POSITION_EFFECT.MATCH:
self._avg_price = (self._avg_price * self._filled_quantity +
trade.last_price * quantity) / new_quantity
def mark_rejected(self, reject_reason):
if not self.is_final():
self._message = reject_reason
self._status = ORDER_STATUS.REJECTED
user_system_log.warn(reject_reason)
def mark_cancelled(self, cancelled_reason, user_warn=True):
if not self.is_final():
self._message = cancelled_reason
self._status = ORDER_STATUS.CANCELLED
if user_warn:
user_system_log.warn(cancelled_reason)
def set_frozen_price(self, value):
self._frozen_price = value
def set_secondary_order_id(self, secondary_order_id):
self._secondary_order_id = str(secondary_order_id)
def __simple_object__(self):
return properties(self)
class Trade(object):
__repr__ = property_repr
trade_id_gen = id_gen(int(time.time()) * 10000)
def __init__(self):
self._calendar_dt = None
self._trading_dt = None
self._price = None
self._amount = None
self._order_id = None
self._commission = None
self._tax = None
self._trade_id = None
self._close_today_amount = None
self._side = None
self._position_effect = None
self._order_book_id = None
self._frozen_price = None
@classmethod
def __from_create__(cls,
order_id,
price,
amount,
side,
position_effect,
order_book_id,
commission=0.,
tax=0.,
trade_id=None,
close_today_amount=0,
frozen_price=0,
calendar_dt=None,
trading_dt=None):
trade = cls()
trade_id = trade_id or next(trade.trade_id_gen)
for value in (price, amount, commission, tax, frozen_price):
if value != value:
raise RuntimeError(
_("price, amount, commission, tax and frozen_price of trade {trade_id} is not supposed to be nan, "
"current_value is {price}, {amount}, {commission}, {tax}, {frozen_price}"
).format(trade_id=trade_id,
price=price,
amount=amount,
commission=commission,
tax=tax,
frozen_price=frozen_price))
env = Environment.get_instance()
trade._calendar_dt = calendar_dt or env.calendar_dt
trade._trading_dt = trading_dt or env.trading_dt
trade._price = price
trade._amount = amount
trade._order_id = order_id
trade._commission = commission
trade._tax = tax
trade._trade_id = trade_id
trade._close_today_amount = close_today_amount
trade._side = side
trade._position_effect = position_effect
trade._order_book_id = order_book_id
trade._frozen_price = frozen_price
return trade
@property
def order_book_id(self):
return self._order_book_id
@property
def trading_datetime(self):
return self._trading_dt
@property
def datetime(self):
return self._calendar_dt
@property
def order_id(self):
return self._order_id
@property
def last_price(self):
return self._price
@property
def last_quantity(self):
return self._amount
@property
def commission(self):
return self._commission
@property
def tax(self):
return self._tax
@property
def transaction_cost(self):
return self.tax + self.commission
@property
def side(self):
return self._side
@property
def position_effect(self):
return self._position_effect
@property
def exec_id(self):
return self._trade_id
@property
def frozen_price(self):
return self._frozen_price
@property
def close_today_amount(self):
return self._close_today_amount
def __simple_object__(self):
return properties(self)
class Order(object):
order_id_gen = id_gen(int(time.time()))
__repr__ = property_repr
def __init__(self):
self._order_id = None
self._calendar_dt = None
self._trading_dt = None
self._quantity = None
self._order_book_id = None
self._side = None
self._position_effect = None
self._message = None
self._filled_quantity = None
self._status = None
self._frozen_price = None
self._type = None
self._avg_price = None
self._transaction_cost = None
@staticmethod
def _enum_to_str(v):
return v.name
@staticmethod
def _str_to_enum(enum_class, s):
return enum_class.__members__[s]
def get_state(self):
return {
'order_id':
self._order_id,
'calendar_dt':
self._calendar_dt,
'trading_dt':
self._trading_dt,
'order_book_id':
self._order_book_id,
'quantity':
self._quantity,
'side':
self._enum_to_str(self._side),
'position_effect':
self._enum_to_str(self._position_effect)
if self._position_effect is not None else None,
'message':
self._message,
'filled_quantity':
self._filled_quantity,
'status':
self._enum_to_str(self._status),
'frozen_price':
self._frozen_price,
'type':
self._enum_to_str(self._type),
'transaction_cost':
self._transaction_cost,
'avg_price':
self._avg_price,
}
def set_state(self, d):
self._order_id = d['order_id']
self._calendar_dt = d['calendar_dt']
self._trading_dt = d['trading_dt']
self._order_book_id = d['order_book_id']
self._quantity = d['quantity']
self._side = self._str_to_enum(SIDE, d['side'])
if d['position_effect'] is None:
self._position_effect = None
else:
self._position_effect = self._str_to_enum(POSITION_EFFECT,
d['position_effect'])
self._message = d['message']
self._filled_quantity = d['filled_quantity']
self._status = self._str_to_enum(ORDER_STATUS, d['status'])
self._frozen_price = d['frozen_price']
self._type = self._str_to_enum(ORDER_TYPE, d['type'])
self._transaction_cost = d['transaction_cost']
self._avg_price = d['avg_price']
@classmethod
def __from_create__(cls, order_book_id, quantity, side, style,
position_effect):
env = Environment.get_instance()
order = cls()
order._order_id = next(order.order_id_gen)
order._calendar_dt = env.calendar_dt
order._trading_dt = env.trading_dt
order._quantity = quantity
order._order_book_id = order_book_id
order._side = side
order._position_effect = position_effect
order._message = ""
order._filled_quantity = 0
order._status = ORDER_STATUS.PENDING_NEW
if isinstance(style, LimitOrder):
order._frozen_price = style.get_limit_price()
order._type = ORDER_TYPE.LIMIT
else:
order._frozen_price = 0.
order._type = ORDER_TYPE.MARKET
order._avg_price = 0
order._transaction_cost = 0
return order
@property
def order_id(self):
"""
[int] 唯一标识订单的id
"""
return self._order_id
@property
def trading_datetime(self):
"""
[datetime.datetime] 订单的交易日期（对应期货夜盘）
"""
return self._trading_dt
@property
def datetime(self):
"""
[datetime.datetime] 订单创建时间
"""
return self._calendar_dt
@property
def quantity(self):
"""
[int] 订单数量
"""
return self._quantity
@property
def unfilled_quantity(self):
"""
[int] 订单未成交数量
"""
return self._quantity - self._filled_quantity
@property
def order_book_id(self):
"""
[str] 合约代码
"""
return self._order_book_id
@property
def side(self):
"""
[SIDE] 订单方向
"""
return self._side
@property
def position_effect(self):
"""
[POSITION_EFFECT] 订单开平（期货专用）
"""
return self._position_effect
@property
def message(self):
"""
[str] 信息。比如拒单时候此处会提示拒单原因
"""
return self._message
@property
def filled_quantity(self):
"""
[int] 订单已成交数量
"""
return self._filled_quantity
@property
def status(self):
"""
[ORDER_STATUS] 订单状态
"""
return self._status
@property
def price(self):
"""
[float] 订单价格，只有在订单类型为'限价单'的时候才有意义
"""
return 0 if self.type == ORDER_TYPE.MARKET else self._frozen_price
@property
def type(self):
"""
[ORDER_TYPE] 订单类型
"""
return self._type
@property
def avg_price(self):
"""
[float] 成交均价
"""
return self._avg_price
@property
def transaction_cost(self):
"""
[float] 费用
"""
return self._transaction_cost
@property
def frozen_price(self):
"""
[float] 冻结价格
"""
return self._frozen_price
def is_final(self):
return self._status not in {
ORDER_STATUS.PENDING_NEW, ORDER_STATUS.ACTIVE,
ORDER_STATUS.PENDING_CANCEL
}
def is_active(self):
return self.status == ORDER_STATUS.ACTIVE
def active(self):
self._status = ORDER_STATUS.ACTIVE
def set_pending_cancel(self):
if not self.is_final():
self._status = ORDER_STATUS.PENDING_CANCEL
def fill(self, trade):
quantity = trade.last_quantity
assert self.filled_quantity + quantity <= self.quantity
new_quantity = self._filled_quantity + quantity
self._avg_price = (self._avg_price * self._filled_quantity +
trade.last_price * quantity) / new_quantity
self._transaction_cost += trade.commission + trade.tax
self._filled_quantity = new_quantity
if self.unfilled_quantity == 0:
self._status = ORDER_STATUS.FILLED
def mark_rejected(self, reject_reason):
if not self.is_final():
self._message = reject_reason
self._status = ORDER_STATUS.REJECTED
user_system_log.warn(reject_reason)
def mark_cancelled(self, cancelled_reason, user_warn=True):
if not self.is_final():
self._message = cancelled_reason
self._status = ORDER_STATUS.CANCELLED
if user_warn:
user_system_log.warn(cancelled_reason)
def set_frozen_price(self, value):
self._frozen_price = value
def __simple_object__(self):
return properties(self)
class Trade(object):
__repr__ = property_repr
trade_id_gen = id_gen(int(time.time()) * 10000)
def __init__(self):
self._calendar_dt = None
self._trading_dt = None
self._price = None
self._amount = None
self._order_id = None
self._commission = None
self._tax = None
self._trade_id = None
self._close_today_amount = None
self._side = None
self._position_effect = None
self._right_type = None # type: Optional[RIGHT_TYPE]
self._order_book_id = None
self._frozen_price = None
@classmethod
def __from_create__(
cls, order_id, price, amount, side, position_effect, order_book_id, commission=0., tax=0.,
trade_id=None, close_today_amount=0, frozen_price=0, calendar_dt=None, trading_dt=None, right_type=None
):
trade = cls()
trade_id = trade_id or next(trade.trade_id_gen)
for value in (price, amount, commission, tax, frozen_price):
if value != value:
raise RuntimeError(_(
"price, amount, commission, tax and frozen_price of trade {trade_id} is not supposed to be nan, "
"current_value is {price}, {amount}, {commission}, {tax}, {frozen_price}"
).format(
trade_id=trade_id, price=price, amount=amount, commission=commission, tax=tax,
frozen_price=frozen_price
))
env = Environment.get_instance()
trade._calendar_dt = calendar_dt or env.calendar_dt
trade._trading_dt = trading_dt or env.trading_dt
trade._price = price
trade._amount = amount
trade._order_id = order_id
trade._commission = commission
trade._tax = tax
trade._trade_id = trade_id
trade._close_today_amount = close_today_amount
trade._side = side
trade._position_effect = position_effect
trade._right_type = right_type
trade._order_book_id = order_book_id
trade._frozen_price = frozen_price
return trade
order_book_id = property(lambda self: self._order_book_id)
trading_datetime = property(lambda self: self._trading_dt)
datetime = property(lambda self: self._calendar_dt)
order_id = property(lambda self: self._order_id)
last_price = property(lambda self: self._price)
last_quantity = property(lambda self: self._amount)
commission = property(lambda self: self._commission)
tax = property(lambda self: self._tax)
transaction_cost = property(lambda self: self.commission + self.tax)
side = property(lambda self: self._side)
position_effect = property(lambda self: self._position_effect or (
POSITION_EFFECT.OPEN if self._side == SIDE.BUY else POSITION_EFFECT.CLOSE
))
position_direction = property(lambda self: get_position_direction(self._side, self._position_effect))
right_type = property(lambda self: self._right_type)
exec_id = property(lambda self: self._trade_id)
frozen_price = property(lambda self: self._frozen_price)
close_today_amount = property(lambda self: self._close_today_amount)
def __simple_object__(self):
return properties(self)
class Trade(object):
__repr__ = property_repr
trade_id_gen = id_gen(int(time.time()) * 10000)
def __init__(self):
self._calendar_dt = None
self._trading_dt = None
self._price = None
self._amount = None
self._order_id = None
self._commission = None
self._tax = None
self._trade_id = None
self._close_today_amount = None
self._side = None
self._position_effect = None
self._order_book_id = None
self._frozen_price = None
@classmethod
def __from_create__(cls,
order_id,
price,
amount,
side,
position_effect,
order_book_id,
commission=0.,
tax=0.,
trade_id=None,
close_today_amount=0,
frozen_price=0,
calendar_dt=None,
trading_dt=None):
env = Environment.get_instance()
trade = cls()
trade._calendar_dt = calendar_dt or env.calendar_dt
trade._trading_dt = trading_dt or env.trading_dt
trade._price = price
trade._amount = amount
trade._order_id = order_id
trade._commission = commission
trade._tax = tax
trade._trade_id = trade_id if trade_id is not None else next(
trade.trade_id_gen)
trade._close_today_amount = close_today_amount
trade._side = side
trade._position_effect = position_effect
trade._order_book_id = order_book_id
trade._frozen_price = frozen_price
return trade
@property
def order_book_id(self):
return self._order_book_id
@property
def trading_datetime(self):
return self._trading_dt
@property
def datetime(self):
return self._calendar_dt
@property
def order_id(self):
return self._order_id
@property
def last_price(self):
return self._price
@property
def last_quantity(self):
return self._amount
@property
def commission(self):
return self._commission
@property
def tax(self):
return self._tax
@property
def transaction_cost(self):
return self._tax + self._commission
@property
def side(self):
return self._side
@property
def position_effect(self):
return self._position_effect
@property
def exec_id(self):
return self._trade_id
@property
def frozen_price(self):
return self._frozen_price
@property
def close_today_amount(self):
return self._close_today_amount
def __simple_object__(self):
return properties(self)
