class QA_OrderHandler(QA_Worker):
"""ORDER执行器
ORDEHANDLDER 归属于MARKET前置
仅负责一个无状态的执行层
ORDER执行器的作用是因为
在实盘中 当一个订单发送出去的时候,市场不会返回一个更新的订单类回来
大部分时间都依赖子线程主动查询 或者是一个市场信息来进行判断
ORDER_Handler的作用就是根据信息更新Order
用于接受订单 发送给相应的marker_broker 再根据返回的信息 进行更新
可用的market_broker:
1.回测盘
2.实时模拟盘
3.实盘
"""
def __init__(self, *args, **kwargs):
super().__init__()
self.order_queue = QA_OrderQueue()
self.type = EVENT_TYPE.MARKET_EVENT
self.event = QA_Event()
def run(self, event):
if event.event_type is BROKER_EVENT.RECEIVE_ORDER:
# 此时的message应该是订单类
order = self.order_queue.insert_order(event.order)
if event.callback:
event.callback(order)
elif event.event_type is BROKER_EVENT.TRADE:
res=[]
for item in self.order_queue.trade_list:
result=event.broker.receive_order(
QA_Event(event_type=BROKER_EVENT.TRADE, order=item))
self.order_queue.set_status(
item.order_id, result['header']['status'])
if item.callback:
item.callback(result)
res.append(result)
event.res = res
return event
elif event.event_type is BROKER_EVENT.SETTLE:
self.order_queue.settle()
elif event.event_type is MARKET_EVENT.QUERY_ORDER:
return self.query_order(event.order_id)
def query_order(self, order_id):
return self.order_queue.queue_df.query()
class QA_OrderHandler(QA_Worker):
"""ORDER执行器
ORDEHANDLDER 归属于MARKET前置
仅负责一个无状态的执行层
ORDER执行器的作用是因为
在实盘中 当一个订单发送出去的时候,市场不会返回一个更新的订单类回来
大部分时间都依赖子线程主动查询 或者是一个市场信息来进行判断
ORDER_Handler的作用就是根据信息更新Order
用于接受订单 发送给相应的marker_broker 再根据返回的信息 进行更新
可用的market_broker:
1.回测盘
2.实时模拟盘
3.实盘
"""
def __init__(self, *args, **kwargs):
super().__init__()
self.order_queue = QA_OrderQueue()
self.type = EVENT_TYPE.MARKET_EVENT
self.event = QA_Event()
def run(self, event):
if event.event_type is BROKER_EVENT.RECEIVE_ORDER:
# 此时的message应该是订单类
order = self.order_queue.insert_order(event.order)
if event.callback:
event.callback(order)
elif event.event_type is BROKER_EVENT.TRADE:
res=[]
for item in self.order_queue.trade_list:
result=event.broker.receive_order(
QA_Event(event_type=BROKER_EVENT.TRADE, order=item))
self.order_queue.set_status(
item.order_id, result['header']['status'])
if item.callback:
item.callback(result)
res.append(result)
event.res = res
return event
elif event.event_type is BROKER_EVENT.SETTLE:
self.order_queue.settle()
elif event.event_type is MARKET_EVENT.QUERY_ORDER:
return self.query_order(event.order_id)
def query_order(self, order_id):
return self.order_queue.queue.query()
class QA_OrderHandler(QA_Worker):
"""ORDER执行器
ORDEHANDLDER 归属于MARKET前置
仅负责一个无状态的执行层
ORDER执行器的作用是因为
在实盘中 当一个订单发送出去的时候,市场不会返回一个更新的订单类回来
大部分时间都依赖子线程主动查询 或者是一个市场信息来进行判断
ORDER_Handler的作用就是根据信息更新Order
用于接受订单 发送给相应的marker_broker 再根据返回的信息 进行更新
可用的market_broker:
1.回测盘
2.实时模拟盘
3.实盘
ORDERHANDLER 持久化问题:
设定机制: 2秒查询1次
持久化: 2秒一次
2018-07-29
# 重新设置ORDERHADLER的运行模式:
-- 常规检查 5秒一次
-- 如果出现订单 则2-3秒 对账户轮询(直到出现订单成交/撤单为止)
"""
def __init__(self, *args, **kwargs):
super().__init__()
self.order_queue = QA_OrderQueue()
self.type = EVENT_TYPE.MARKET_EVENT
self.event = QA_Event()
self.order_status = pd.DataFrame()
self.deal_status = pd.DataFrame()
self.if_start_orderquery = False
def run(self, event):
if event.event_type is BROKER_EVENT.RECEIVE_ORDER:
# 此时的message应该是订单类
"""
OrderHandler 收到订单
orderhandler 调控转发给broker
broker返回发单结果(成功/失败)
orderhandler.order_queue 插入一个订单
执行回调
"""
order = event.order
# print(event.broker)
order = event.broker.receive_order(
QA_Event(event_type=BROKER_EVENT.TRADE, order=event.order))
# print(threading.current_thread().ident)
order = self.order_queue.insert_order(order)
if event.callback:
event.callback(order)
elif event.event_type is BROKER_EVENT.TRADE:
# 实盘和本地 同步执行
res = []
for order in self.order_queue.pending:
result = event.broker.query_orders(order.account_cookie,
order.realorder_id)
self.order_queue.set_status(order.order_id,
result['header']['status'])
if order.callback:
order.callback(result)
res.append(result)
event.res = res
return event
elif event.event_type is BROKER_EVENT.SETTLE:
self.order_queue.settle()
elif event.event_type is MARKET_EVENT.QUERY_ORDER:
"""query_order和query_deal 需要联动使用
query_order 得到所有的订单列表
query_deal 判断订单状态--> 运行callback函数
实盘涉及到外部订单问题:
及 订单的来源 不完全从QUANTAXIS中发出, 则QA无法记录来源 (标记为外部订单)
"""
if self.if_start_orderquery:
# if QA_util_if_tradetime(datetime.datetime.now()):
# print(event.broker)
# print(event.account_cookie)
try:
# 做一些容错处理
res = [
event.broker[i].query_orders(event.account_cookie[i],
'')
for i in range(len(event.account_cookie))
]
res = pd.concat(res, axis=0) if len(res) > 0 else None
except:
time.sleep(1)
self.order_status = res if res is not None else self.order_status
if len(self.order_status) > 0:
QA_SU_save_order(self.order_status)
# else:
# time.sleep(1)
# 这里加入随机的睡眠时间 以免被发现固定的刷新请求
# event=event
event.event_type = MARKET_EVENT.QUERY_DEAL
if event.event_queue.qsize() < 1:
time.sleep(random.randint(1, 2))
# 非阻塞
event.event_queue.put(
QA_Task(worker=self, engine='ORDER', event=event))
# time.sleep(random.randint(2,5))
# print(event.event_type)
# print(event2.event_type)
# self.run(event)
# print(self.order_status)
# print('UPDATE ORDERS')
elif event.event_type is MARKET_EVENT.QUERY_DEAL:
"""order_handler- query_deal
将order_handler订单队列中的订单---和deal中匹配起来
"""
# if len(self.order_queue.pending) > 0:
# for order in self.order_queue.pending:
# #self.query
# waiting_realorder_id = [
# order.realorder_id for order in self.order_queue.trade_list]
# result = event.broker.query_deal
# time.sleep(1)
if self.if_start_orderquery:
self.deal_status = [
event.broker[i].query_orders(event.account_cookie[i],
'filled')
for i in range(len(event.account_cookie))
]
# print(self.order_status)
self.deal_status = pd.concat(
self.deal_status,
axis=0) if len(self.deal_status) > 0 else pd.DataFrame()
if len(self.deal_status) > 0:
QA_SU_save_deal(self.deal_status)
# print(self.order_status)
# 这里加入随机的睡眠时间 以免被发现固定的刷新请求
if event.event_queue.qsize() < 1:
time.sleep(random.randint(2, 5))
event.event_type = MARKET_EVENT.QUERY_ORDER
event.event_queue.put(
QA_Task(worker=self, engine='ORDER', event=event))
# self.run(event)
# self.run(event)
elif event.event_type is MARKET_EVENT.QUERY_POSITION:
pass
def query_order(self, order_id):
pass
