def sendOrder(self, vtSymbol, direction, offset, price, volume, payup=0): """发单""" contract = self.mainEngine.getContract(vtSymbol) if not contract: return '' req = VtOrderReq() req.symbol = contract.symbol req.exchange = contract.exchange req.vtSymbol = contract.vtSymbol req.direction = direction req.offset = offset req.volume = int(volume) req.priceType = PRICETYPE_LIMITPRICE if direction == DIRECTION_LONG: req.price = price + payup * contract.priceTick else: req.price = price - payup * contract.priceTick # 委托转换 reqList = self.mainEngine.convertOrderReq(req) vtOrderIDList = [] for req in reqList: vtOrderID = self.mainEngine.sendOrder(req, contract.gatewayName) vtOrderIDList.append(vtOrderID) return vtOrderIDList
def onPlaceOrder(self, clientId, req): """委托""" params = req['params'] s, e = params['security'].split('.') contract = self.mainEngine.getContract(s) if not contract: vtOrderID = '' error = [-1, u'委托失败,找不到合约%s' % params['security']] else: vor = VtOrderReq() vor.symbol = s vor.exchange = EXCHANGE_MAP[e] vor.direction, vor.offset = ACTION_MAP[params['action']] vor.price = float(params['price']) vor.volume = int(params['size']) vor.priceType = PRICETYPE_LIMITPRICE vtOrderID = self.mainEngine.sendOrder(vor, contract.gatewayName) error = [0, ''] self.server.send_rsp(clientId, req, vtOrderID, error) self.writeLog(u'发出响应:%s' % vtOrderID)
def sendOrder(self, vtSymbol, direction, offset, price, volume, payup=0): """发单""" contract = self.mainEngine.getContract(vtSymbol) if not contract: return '' req = VtOrderReq() req.symbol = contract.symbol req.exchange = contract.exchange req.vtSymbol = contract.vtSymbol req.direction = direction req.offset = offset req.volume = int(volume) req.priceType = PRICETYPE_LIMITPRICE if direction == DIRECTION_LONG: req.price = price + payup * contract.priceTick else: req.price = price - payup * contract.priceTick # 委托转换 reqList = self.mainEngine.convertOrderReq(req) vtOrderIDList = [] for req in reqList: vtOrderID = self.mainEngine.sendOrder(req, contract.gatewayName) vtOrderIDList.append(vtOrderID) return vtOrderIDList
def sendOrder(self, algo, vtSymbol, direction, price, volume, priceType=None, offset=None): """发单""" contract = self.mainEngine.getContract(vtSymbol) if not contract: self.writeLog(u'%s委托下单失败,找不到合约:%s' %(algo.algoName, vtSymbol)) req = VtOrderReq() req.vtSymbol = vtSymbol req.symbol = contract.symbol req.exchange = contract.exchange req.direction = direction req.offset = OFFSET_CLOSETODAY req.price = price req.volume = volume if priceType: req.priceType = priceType else: req.priceType = PRICETYPE_LIMITPRICE if offset: req.offset = offset else: req.offset = OFFSET_OPEN vtOrderID = self.mainEngine.sendOrder(req, contract.gatewayName) self.orderAlgoDict[vtOrderID] = algo return vtOrderID
def post(self): """发单""" args = self.postParser.parse_args() token = args['token'] if token != TOKEN: return {'result_code':'error','message':'token error'} print(args) vtSymbol = args['vtSymbol'] price = args['price'] volume = args['volume'] priceType = args['priceType'] direction = args['direction'] offset = args['offset'] contract = me.getContract(vtSymbol) if not contract: return {'result_code':'error','message':'contract error'} priceType_map = {'PRICETYPE_LIMITPRICE' : u'限价','PRICETYPE_MARKETPRICE' : u'市价','PRICETYPE_FAK' : u'FAK','PRICETYPE_FOK' : u'FOK'} direction_map = {'DIRECTION_LONG' : u'多','DIRECTION_SHORT' : u'空'} offset_map = {'OFFSET_OPEN' : u'开仓', 'OFFSET_CLOSE' : u'平仓','OFFSET_CLOSETODAY' : u'平今','OFFSET_CLOSEYESTERDAY' : u'平昨'} req = VtOrderReq() req.symbol = contract.symbol req.exchange = contract.exchange req.price = float(price) req.volume = int(volume) req.priceType = priceType_map[ priceType ] req.direction = direction_map[ direction ] req.offset = offset_map[ offset ] vtOrderID = me.sendOrder(req, contract.gatewayName) return {'result_code':'success','data':vtOrderID}
def create_bulk_orders(self, orders): try: req = VtOrderReq() for order in orders: req.symbol = self.symbol if order['side'] == 'Buy': req.direction = DIRECTION_LONG elif order['side'] == 'Sell': req.direction = DIRECTION_SHORT else: logger.error( "Create_bulk_orders: Order direction is worng!") req.volume = order['orderQty'] req.price = order['price'] req.priceType = PRICETYPE_LIMITPRICE if not self.dry_run: if req.direction == DIRECTION_LONG and self.mainengine.dataEngine.positionDict[ 'eth'].position - self.mainengine.dataEngine.positionDict[ 'eth'].frozen > settings.ORDER_START_SIZE * float( self.get_ticker().bidPrice1 ) or req.direction == DIRECTION_SHORT and self.mainengine.dataEngine.positionDict[ 'ada'].position - self.mainengine.dataEngine.positionDict[ 'ada'].frozen > settings.ORDER_START_SIZE: self.mainengine.getGateway(GATEWAY_NAME).sendOrder(req) else: logger.info("no sufficent money!") sleep(settings.API_REST_INTERVAL) self.mm_debug() except Exception, e: print e
def place_order(self, orderInfo): global order_time try: print orderInfo #rs = [] req = VtOrderReq() for order in orderInfo: req.symbol = order['tickerPair'] if order['action'] == 'bid': req.direction = DIRECTION_LONG else: req.direction = DIRECTION_SHORT #req.direction = order['action'] req.volume = order['amount'] req.price = order['price'] req.priceType = PRICETYPE_LIMITPRICE #if not self.mock and order_time == 0: if not self.mock: self.mainengine.getGateway(GATEWAY_NAME).sendOrder(req) #if not self.mock: # responses = self.send_request(rs) order_time = 1 self.hasOpenOrder = True self.openOrderCheckCount = 0 except Exception, e: # raise print e
def onPlaceOrder(self, clientId, req): """委托""" params = req['params'] s, e = params['security'].split('.') contract = self.mainEngine.getContract(s) if not contract: vtOrderID = '' error = [-1, u'委托失败,找不到合约%s' %params['security']] else: vor = VtOrderReq() vor.symbol = s vor.exchange = EXCHANGE_MAP[e] vor.direction, vor.offset = ACTION_MAP[params['action']] vor.price = float(params['price']) vor.volume = int(params['size']) vor.priceType = PRICETYPE_LIMITPRICE vtOrderID = self.mainEngine.sendOrder(vor, contract.gatewayName) error = [0, ''] self.server.send_rsp(clientId, req, vtOrderID, error) self.writeLog(u'发出响应:%s' %vtOrderID)
def fastTrade(self, symbol, direction, offset, price, volume): """封装下单函数""" contract = self.mainEngine.getContract(symbol) if not contract: return req = VtOrderReq() req.symbol = symbol req.exchange = contract.exchange req.direction = direction req.offset = offset req.price = price req.volume = volume req.priceType = PRICETYPE_LIMITPRICE self.mainEngine.sendOrder(req, contract.gatewayName)
def fastTrade(self, symbol, direction, offset, price, volume): """封装下单函数""" contract = self.mainEngine.getContract(symbol) if not contract: return req = VtOrderReq() req.symbol = symbol req.exchange = contract.exchange req.direction = direction req.offset = offset req.price = price req.volume = volume req.priceType = PRICETYPE_LIMITPRICE self.mainEngine.sendOrder(req, contract.gatewayName)
def sendOrder(self, vtSymbol, direction, offset, price, volume): """发单""" contract = self.mainEngine.getContract(vtSymbol) if not contract: return '' req = VtOrderReq() req.symbol = contract.symbol req.exchange = contract.exchange req.vtSymbol = vtSymbol req.price = price req.volume = volume req.direction = direction req.offset = offset req.priceType = PRICETYPE_LIMITPRICE return self.mainEngine.sendOrder(req, contract.gatewayName)
def sendOrder(self, vtSymbol, direction, offset, price, volume): """发单""" contract = self.mainEngine.getContract(vtSymbol) if not contract: return '' req = VtOrderReq() req.symbol = contract.symbol req.exchange = contract.exchange req.vtSymbol = vtSymbol req.price = price req.volume = volume req.direction = direction req.offset = offset req.priceType = PRICETYPE_LIMITPRICE return self.mainEngine.sendOrder(req, contract.gatewayName)
def sendOrder(self, algo, vtSymbol, direction, price, volume): """发单""" contract = self.mainEngine.getContract(vtSymbol) if not contract: self.writeLog(u'%s委托下单失败,找不到合约:%s' % (algo.algoName, vtSymbol)) req = VtOrderReq() req.vtSymbol = vtSymbol req.symbol = contract.symbol req.exchange = contract.exchange req.direction = direction req.priceType = PRICETYPE_LIMITPRICE req.offset = OFFSET_CLOSETODAY req.price = price req.volume = volume vtOrderID = self.mainEngine.sendOrder(req, contract.gatewayName) return vtOrderID
def sendOrder(self, algo, vtSymbol, direction, price, volume, priceType=None, offset=None): """发单""" contract = self.mainEngine.getContract(vtSymbol) if not contract: self.writeLog(u'%s委托下单失败,找不到合约:%s' % (algo.algoName, vtSymbol)) vtSymbol = '.'.join([contract.symbol, contract.exchange]) req = VtOrderReq() req.vtSymbol = vtSymbol req.symbol = contract.symbol req.exchange = contract.exchange req.direction = direction req.offset = OFFSET_CLOSETODAY req.price = price req.volume = volume if priceType: req.priceType = priceType else: req.priceType = PRICETYPE_LIMITPRICE if offset: req.offset = offset else: req.offset = OFFSET_OPEN strData = 'symbol %s exchange %s price %.2f volume %d direction %s offset %s vtSymbol %s gatewayName %s'\ %(req.symbol,req.exchange,req.price,req.volume,req.direction,req.offset,req.vtSymbol,contract.gatewayName) print 'currency productClass ', req.currency, req.productClass # print 'sendOrder req:' # print strData vtOrderID = self.mainEngine.sendOrder(req, contract.gatewayName) self.orderAlgoDict[vtOrderID] = algo return vtOrderID
def grid_place_order(self, order_type, level): try: #logger.info("grid_place_order level %d, grid[level] %s" % (level, grid[level])) if 0 <= level < GRID_LEVELS: price = self.grid_price(level) # logger.info("grid_place_order : level %d, price %f, direction %s" % (level, price, order_type)) if (grid[level] == "" or grid[level] == "-"): req = VtOrderReq() req.symbol = self.exchange.symbol req.volume = TRANCHE_SIZE req.price = price req.priceType = PRICETYPE_LIMITPRICE if order_type == 'buy' and self.exchange.mainengine.dataEngine.positionDict[ 'btc'].position - self.exchange.mainengine.dataEngine.positionDict[ 'btc'].frozen > TRANCHE_SIZE * self.basePrice: req.direction = DIRECTION_LONG id = self.exchange.place_order(req) elif order_type == 'sell' and self.exchange.mainengine.dataEngine.positionDict[ 'eth'].position - self.exchange.mainengine.dataEngine.positionDict[ 'eth'].frozen > TRANCHE_SIZE: req.direction = DIRECTION_SHORT id = self.exchange.place_order(req) else: id = "" logger.error( "insufficent money!Create_bulk_orders: Order direction is worng!" ) else: logger.info("placing order on wrong level!") #print out grid self.grid_debug() id = "" else: id = "" except Exception, e: id = "" print e
def sendOrder(self, algo, vtSymbol, direction, price, volume, priceType=None, offset=None): logger.info(f"{algo.algoName}") print(f"进入发单") print(vtSymbol) """发单""" contract = self.mainEngine.getContract(vtSymbol) if not contract: self.writeLog(u'%s委托下单失败,找不到合约:%s' % (algo.algoName, vtSymbol)) req = VtOrderReq() req.vtSymbol = vtSymbol req.symbol = contract.symbol req.exchange = contract.exchange req.direction = direction req.offset = OFFSET_CLOSETODAY req.price = price req.volume = volume if priceType: req.priceType = priceType else: req.priceType = PRICETYPE_LIMITPRICE if offset: req.offset = offset else: req.offset = OFFSET_OPEN vtOrderID = self.mainEngine.sendOrder(req, contract.gatewayName) self.orderAlgoDict[vtOrderID] = algo logger.info(f"{vtOrderID}") return vtOrderID
def sendOrder(self, symbol, orderType, price, volume, strategy): try: req = VtOrderReq() req.symbol = symbol req.vtSymbol = symbol req.price = price req.volume = volume req.priceType = PRICETYPE_LIMITPRICE gatewayName = "TradeDllAShare" # CTA委托类型映射 if orderType == CTAORDER_BUY: req.direction = DIRECTION_LONG elif orderType == CTAORDER_SELL: req.direction = DIRECTION_SHORT else: self.writeLog(u"不支持订单方向类型:" + orderType) VtOrderID = self.mainEngine.sendOrder(req, gatewayName) if VtOrderID: # 下单成功,添加orderid和策略对应关系 # self.orderStrategyDict[VtOrderID] = strategy # 保存order和策略的映射关系 # self.strategyDict[strategy.strategyID].addOrder(VtOrderID) # 添加到策略委托号集合中 self.writeLog(u'策略%s发送委托成功,%s,%s,%s@%s' % (strategy.strategyID, symbol, req.direction, volume, price)) else: self.writeLog(u"策略%s发送委托失败,%s,%s,%s@%s" % (strategy.strategyID, symbol, req.direction, volume, price)) return VtOrderID except: traceback.print_exc() return VtOrderID
def sendOrder(self, symbol, orderType, price, volume): try: req = VtOrderReq() req.symbol = symbol req.vtSymbol = symbol req.price = price req.volume = volume req.priceType = PRICETYPE_LIMITPRICE gatewayName = "FUTU" req.direction = orderType orderID = self.mainEngine.sendOrder(req, gatewayName) if orderID: self.writeLog(u'委托成功 %s, %s,%s@%s %s' % (symbol, orderType, volume, price, orderID)) else: self.writeLog(u'委托失败 %s, %s,%s@%s %s' % (symbol, orderType, volume, price, orderID)) return orderID except: traceback.print_exc()
def newOrder(self, vtSymbol): """""" for vtPositionName in self.targetDict.keys(): if vtSymbol not in vtPositionName: continue pos = self.posDict[vtPositionName] target = self.targetDict[vtPositionName] if pos == target: continue contract = self.mainEngine.getContract(vtSymbol) tick = self.mainEngine.getTick(vtSymbol) if not tick: return req = VtOrderReq() req.symbol = contract.symbol req.exchange = contract.exchange req.priceType = PRICETYPE_LIMITPRICE req.volume = abs(target - pos) # Open position if target > pos: req.offset = OFFSET_OPEN if DIRECTION_LONG in vtPositionName: req.direction = DIRECTION_LONG if tick.upperLimit: req.price = tick.upperLimit else: req.price = tick.askPrice1 elif DIRECTION_SHORT in vtPositionName: req.direction = DIRECTION_SHORT if tick.lowerLimit: req.price = tick.lowerLimit else: req.price = tick.bidPrice1 self.mainEngine.sendOrder(req, contract.gatewayName) # Close position elif target < pos: req.offset = OFFSET_CLOSE if DIRECTION_LONG in vtPositionName: req.direction = DIRECTION_SHORT if tick.upperLimit: req.price = tick.upperLimit else: req.price = tick.askPrice1 elif DIRECTION_SHORT in vtPositionName: req.direction = DIRECTION_LONG if tick.lowerLimit: req.price = tick.lowerLimit else: req.price = tick.bidPrice1 # Use auto-convert for solving today/yesterday position problem reqList = self.mainEngine.convertOrderReq(req) for convertedReq in reqList: self.mainEngine.sendOrder(convertedReq, contract.gatewayName) # Write log msg = u'发出%s委托 %s%s %s@%s' %(vtSymbol, req.direction, req.offset, req.price, req.volume) self.writeLog(msg)
def newOrder(self, vtSymbol): """""" for vtPositionName in self.targetDict.keys(): if vtSymbol not in vtPositionName: continue pos = self.posDict[vtPositionName] target = self.targetDict[vtPositionName] if pos == target: continue contract = self.mainEngine.getContract(vtSymbol) tick = self.mainEngine.getTick(vtSymbol) if not tick: return req = VtOrderReq() req.symbol = contract.symbol req.exchange = contract.exchange req.priceType = PRICETYPE_LIMITPRICE req.volume = abs(target - pos) # Open position if target > pos: req.offset = OFFSET_OPEN if DIRECTION_LONG in vtPositionName: req.direction = DIRECTION_LONG if tick.upperLimit: req.price = tick.upperLimit else: req.price = tick.askPrice1 elif DIRECTION_SHORT in vtPositionName: req.direction = DIRECTION_SHORT if tick.lowerLimit: req.price = tick.lowerLimit else: req.price = tick.bidPrice1 self.mainEngine.sendOrder(req, contract.gatewayName) # Close position elif target < pos: req.offset = OFFSET_CLOSE if DIRECTION_LONG in vtPositionName: req.direction = DIRECTION_SHORT if tick.upperLimit: req.price = tick.upperLimit else: req.price = tick.askPrice1 elif DIRECTION_SHORT in vtPositionName: req.direction = DIRECTION_LONG if tick.lowerLimit: req.price = tick.lowerLimit else: req.price = tick.bidPrice1 # Use auto-convert for solving today/yesterday position problem reqList = self.mainEngine.convertOrderReq(req) for convertedReq in reqList: self.mainEngine.sendOrder(convertedReq, contract.gatewayName) # Write log msg = u'发出%s委托 %s%s %s@%s' % (vtSymbol, req.direction, req.offset, req.price, req.volume) self.writeLog(msg)