Example #1
0
    def sendOrder(self, vtSymbol, orderType, price, volume, strategy):
        """发单"""
        self.limitOrderCount += 1
        orderID = str(self.limitOrderCount)

        order = VtOrderData()
        order.vtSymbol = vtSymbol
        order.price = self.roundToPriceTick(price)
        order.totalVolume = volume
        order.orderID = orderID
        order.vtOrderID = orderID
        order.orderTime = self.dt.strftime('%H:%M:%S')

        # CTA委托类型映射
        if orderType == CTAORDER_BUY:
            order.direction = DIRECTION_LONG
            order.offset = OFFSET_OPEN
        elif orderType == CTAORDER_SELL:
            order.direction = DIRECTION_SHORT
            order.offset = OFFSET_CLOSE
        elif orderType == CTAORDER_SHORT:
            order.direction = DIRECTION_SHORT
            order.offset = OFFSET_OPEN
        elif orderType == CTAORDER_COVER:
            order.direction = DIRECTION_LONG
            order.offset = OFFSET_CLOSE

        # 保存到限价单字典中
        self.workingLimitOrderDict[orderID] = order
        self.limitOrderDict[orderID] = order

        return [orderID]
Example #2
0
 def sendOrder(self, vtSymbol, orderType, price, volume, strategy):
     """发单"""
     self.limitOrderCount += 1
     orderID = str(self.limitOrderCount)
     
     order = VtOrderData()
     order.vtSymbol = vtSymbol
     order.price = self.roundToPriceTick(price)
     order.totalVolume = volume
     order.orderID = orderID
     order.vtOrderID = orderID
     order.orderTime = self.dt.strftime('%H:%M:%S')
     
     # CTA委托类型映射
     if orderType == CTAORDER_BUY:
         order.direction = DIRECTION_LONG
         order.offset = OFFSET_OPEN
     elif orderType == CTAORDER_SELL:
         order.direction = DIRECTION_SHORT
         order.offset = OFFSET_CLOSE
     elif orderType == CTAORDER_SHORT:
         order.direction = DIRECTION_SHORT
         order.offset = OFFSET_OPEN
     elif orderType == CTAORDER_COVER:
         order.direction = DIRECTION_LONG
         order.offset = OFFSET_CLOSE     
     
     # 保存到限价单字典中
     self.workingLimitOrderDict[orderID] = order
     self.limitOrderDict[orderID] = order
     
     return [orderID]
Example #3
0
    def sendOrder(self, vtSymbol, orderType, price, volume, strategy):
        """发单"""
        self.limitOrderCount += 1
        orderID = str(self.limitOrderCount)

        order = VtOrderData()
        order.vtSymbol = vtSymbol
        order.price = self.roundToPriceTick(price)
        order.totalVolume = volume
        order.status = STATUS_NOTTRADED  # 刚提交尚未成交
        order.orderID = orderID
        order.vtOrderID = orderID
        order.orderTime = str(self.dt)

        # STUB委托类型映射
        if orderType == STUBORDER_BUY:
            order.direction = DIRECTION_LONG
            order.offset = OFFSET_OPEN
        elif orderType == STUBORDER_SELL:
            order.direction = DIRECTION_SHORT
            order.offset = OFFSET_CLOSE
        elif orderType == STUBORDER_SHORT:
            order.direction = DIRECTION_SHORT
            order.offset = OFFSET_OPEN
        elif orderType == STUBORDER_COVER:
            order.direction = DIRECTION_LONG
            order.offset = OFFSET_CLOSE

        # 保存到限价单字典中
        self.workingLimitOrderDict[orderID] = order
        self.limitOrderDict[orderID] = order

        return orderID
Example #4
0
    def crossStopOrder(self):
        """基于最新数据撮合停止单"""
        # 先确定会撮合成交的价格,这里和限价单规则相反
        if self.mode == self.BAR_MODE:
            buyCrossPrice = self.bar.high  # 若买入方向停止单价格低于该价格,则会成交
            sellCrossPrice = self.bar.low  # 若卖出方向限价单价格高于该价格,则会成交
            bestCrossPrice = self.bar.open  # 最优成交价,买入停止单不能低于,卖出停止单不能高于
        else:
            buyCrossPrice = self.tick.lastPrice
            sellCrossPrice = self.tick.lastPrice
            bestCrossPrice = self.tick.lastPrice

        # 遍历停止单字典中的所有停止单
        for stopOrderID, so in list(self.workingStopOrderDict.items()):
            # 判断是否会成交
            buyCross = so.direction == DIRECTION_LONG and so.price <= buyCrossPrice
            sellCross = so.direction == DIRECTION_SHORT and so.price >= sellCrossPrice

            # 如果发生了成交
            if buyCross or sellCross:
                # 更新停止单状态,并从字典中删除该停止单
                so.status = STOPORDER_TRIGGERED
                if stopOrderID in self.workingStopOrderDict:
                    del self.workingStopOrderDict[stopOrderID]

                # 推送成交数据
                self.tradeCount += 1  # 成交编号自增1
                tradeID = str(self.tradeCount)
                trade = VtTradeData()
                trade.vtSymbol = so.vtSymbol
                trade.tradeID = tradeID
                trade.vtTradeID = tradeID

                if buyCross:
                    self.strategy.pos += so.volume
                    trade.price = max(bestCrossPrice, so.price)
                else:
                    self.strategy.pos -= so.volume
                    trade.price = min(bestCrossPrice, so.price)

                self.limitOrderCount += 1
                orderID = str(self.limitOrderCount)
                trade.orderID = orderID
                trade.vtOrderID = orderID
                trade.direction = so.direction
                trade.offset = so.offset
                trade.volume = so.volume
                trade.tradeTime = self.dt.strftime('%H:%M:%S')
                trade.dt = self.dt

                self.tradeDict[tradeID] = trade

                # 推送委托数据
                order = VtOrderData()
                order.vtSymbol = so.vtSymbol
                order.symbol = so.vtSymbol
                order.orderID = orderID
                order.vtOrderID = orderID
                order.direction = so.direction
                order.offset = so.offset
                order.price = so.price
                order.totalVolume = so.volume
                order.tradedVolume = so.volume
                order.status = STATUS_ALLTRADED
                order.orderTime = trade.tradeTime

                self.limitOrderDict[orderID] = order

                # 按照顺序推送数据
                self.strategy.onStopOrder(so)
                self.strategy.onOrder(order)
                self.strategy.onTrade(trade)
Example #5
0
    def crossStopOrder(self):
        """基于最新数据撮合停止单"""
        # 先确定会撮合成交的价格,这里和限价单规则相反
        if self.mode == self.BAR_MODE:
            buyCrossPrice = self.bar.high    # 若买入方向停止单价格低于该价格,则会成交
            sellCrossPrice = self.bar.low    # 若卖出方向限价单价格高于该价格,则会成交
            bestCrossPrice = self.bar.open   # 最优成交价,买入停止单不能低于,卖出停止单不能高于
        else:
            buyCrossPrice = self.tick.lastPrice
            sellCrossPrice = self.tick.lastPrice
            bestCrossPrice = self.tick.lastPrice
        
        # 遍历停止单字典中的所有停止单
        for stopOrderID, so in self.workingStopOrderDict.items():
            # 判断是否会成交
            buyCross = so.direction==DIRECTION_LONG and so.price<=buyCrossPrice
            sellCross = so.direction==DIRECTION_SHORT and so.price>=sellCrossPrice
            
            # 如果发生了成交
            if buyCross or sellCross:
                # 更新停止单状态,并从字典中删除该停止单
                so.status = STOPORDER_TRIGGERED
                if stopOrderID in self.workingStopOrderDict:
                    del self.workingStopOrderDict[stopOrderID]                        

                # 推送成交数据
                self.tradeCount += 1            # 成交编号自增1
                tradeID = str(self.tradeCount)
                trade = VtTradeData()
                trade.vtSymbol = so.vtSymbol
                trade.tradeID = tradeID
                trade.vtTradeID = tradeID
                
                if buyCross:
                    self.strategy.pos += so.volume
                    trade.price = max(bestCrossPrice, so.price)
                else:
                    self.strategy.pos -= so.volume
                    trade.price = min(bestCrossPrice, so.price)                
                
                self.limitOrderCount += 1
                orderID = str(self.limitOrderCount)
                trade.orderID = orderID
                trade.vtOrderID = orderID
                trade.direction = so.direction
                trade.offset = so.offset
                trade.volume = so.volume
                trade.tradeTime = self.dt.strftime('%H:%M:%S')
                trade.dt = self.dt
                
                self.tradeDict[tradeID] = trade
                
                # 推送委托数据
                order = VtOrderData()
                order.vtSymbol = so.vtSymbol
                order.symbol = so.vtSymbol
                order.orderID = orderID
                order.vtOrderID = orderID
                order.direction = so.direction
                order.offset = so.offset
                order.price = so.price
                order.totalVolume = so.volume
                order.tradedVolume = so.volume
                order.status = STATUS_ALLTRADED
                order.orderTime = trade.tradeTime
                
                self.limitOrderDict[orderID] = order
                
                # 按照顺序推送数据
                self.strategy.onStopOrder(so)
                self.strategy.onOrder(order)
                self.strategy.onTrade(trade)
Example #6
0
    def crossStopOrder(self):
        """基于最新数据撮合停止单
            A stop order is an order to buy or sell a security when its price moves past
            a particular point, ensuring a higher probability of achieving a predetermined 
            entry or exit price, limiting the investor's loss or locking in a profit. Once 
            the price crosses the predefined entry/exit point, the stop order becomes a
            market order.
        """
        # 先确定会撮合成交的价格,这里和限价单规则相反
        if self.mode == self.BAR_MODE:
            buyCrossPrice = self.bar.high  # 若买入方向停止单价格低于该价格,则会成交
            sellCrossPrice = self.bar.low  # 若卖出方向限价单价格高于该价格,则会成交
            bestCrossPrice = self.bestBarCrossPrice(
                self.bar)  # 最优成交价,买入停止单不能低于,卖出停止单不能高于
            maxVolumeCross = self.bar.volume
        else:
            buyCrossPrice = self.tick.lastPrice
            sellCrossPrice = self.tick.lastPrice
            bestCrossPrice = self.tick.lastPrice
            topVolumeCross = self.tick.volume

        # 遍历停止单字典中的所有停止单
        for stopOrderID, so in self.workingStopOrderDict.items():
            # 判断是否会成交
            buyCross = (so.direction
                        == DIRECTION_LONG) and so.price <= buyCrossPrice
            sellCross = (so.direction
                         == DIRECTION_SHORT) and so.price >= sellCrossPrice

            # 忽略未发生成交
            if not buyCross and not sellCross:  # and (so.volume < maxVolumeCross):
                continue

            # 更新停止单状态,并从字典中删除该停止单
            so.status = STOPORDER_TRIGGERED
            if stopOrderID in self.workingStopOrderDict:
                del self.workingStopOrderDict[stopOrderID]

            # 推送成交数据
            self.tradeCount += 1  # 成交编号自增1
            tradeID = str(self.tradeCount)
            trade = VtTradeData()
            trade.vtSymbol = so.vtSymbol
            trade.tradeID = tradeID
            trade.vtTradeID = tradeID

            if buyCross:
                self.strategy.pos += so.volume
                trade.price = max(bestCrossPrice, so.price)
            else:
                self.strategy.pos -= so.volume
                trade.price = min(bestCrossPrice, so.price)

            self.limitOrderCount += 1
            orderID = str(self.limitOrderCount)
            trade.orderID = orderID
            trade.vtOrderID = orderID
            trade.direction = so.direction
            trade.offset = so.offset
            trade.volume = so.volume
            trade.tradeTime = self.dt.strftime('%H:%M:%S')
            trade.dt = self.dt

            self.tradeDict[tradeID] = trade

            # 推送委托数据
            order = VtOrderData()
            order.vtSymbol = so.vtSymbol
            order.symbol = so.vtSymbol
            order.orderID = orderID
            order.vtOrderID = orderID
            order.direction = so.direction
            order.offset = so.offset
            order.price = so.price
            order.totalVolume = so.volume
            order.tradedVolume = so.volume
            order.status = STATUS_ALLTRADED
            order.orderTime = trade.tradeTime

            self.limitOrderDict[orderID] = order

            # 按照顺序推送数据
            self.strategy.onStopOrder(so)
            self.strategy.onOrder(order)
            self.strategy.onTrade(trade)