def on_order(self, order: OrderData): """""" if order.vt_symbol == self.active_vt_symbol: if not order.is_active(): self.active_vt_orderid = "" elif order.vt_symbol == self.passive_vt_symbol: if not order.is_active(): self.passive_vt_orderid = "" self.put_variables_event()
def send_order(self, strategy: StrategyTemplate, vt_symbol: str, direction: Direction, offset: Offset, price: float, volume: float, lock: bool) -> List[str]: """""" price = round_to(price, self.priceticks[vt_symbol]) symbol, exchange = extract_vt_symbol(vt_symbol) self.limit_order_count += 1 order = OrderData( symbol=symbol, exchange=exchange, orderid=str(self.limit_order_count), direction=direction, offset=offset, price=price, volume=volume, status=Status.SUBMITTING, datetime=self.datetime, gateway_name=self.gateway_name, ) self.active_limit_orders[order.vt_orderid] = order self.limit_orders[order.vt_orderid] = order return [order.vt_orderid]
def cross_order(self, order: OrderData, tick: TickData): """""" contract = self.main_engine.get_contract(order.vt_symbol) trade_price = 0 # Cross market order immediately after received if order.type == OrderType.MARKET: if order.direction == Direction.LONG: trade_price = tick.ask_price_1 + self.trade_slippage * contract.pricetick else: trade_price = tick.bid_price_1 - self.trade_slippage * contract.pricetick # Cross limit order only if price touched elif order.type == OrderType.LIMIT: if order.direction == Direction.LONG: if order.price >= tick.ask_price_1: trade_price = tick.ask_price_1 else: if order.price <= tick.bid_price_1: trade_price = tick.bid_price_1 # Cross limit order only if price broken elif order.type == OrderType.STOP: if order.direction == Direction.LONG: if tick.ask_price_1 >= order.price: trade_price = tick.ask_price_1 + self.trade_slippage * contract.pricetick else: if tick.bid_price_1 <= order.price: trade_price = tick.bid_price_1 - self.trade_slippage * contract.pricetick if trade_price: order.status = Status.ALLTRADED order.traded = order.volume self.put_event(EVENT_ORDER, order) trade = TradeData(symbol=order.symbol, exchange=order.exchange, orderid=order.orderid, tradeid=order.orderid, direction=order.direction, offset=order.offset, price=trade_price, volume=order.volume, datetime=datetime.now(LOCAL_TZ), gateway_name=order.gateway_name) self.put_event(EVENT_TRADE, trade) self.update_position(trade, contract)
def update_order(self, order: OrderData): """ Callback when order status is updated. """ if not order.is_active() and order.vt_orderid in self.vt_orderids: self.vt_orderids.remove(order.vt_orderid) self.on_order(order)
def on_order(self, order: OrderData): """""" self.traded = order.traded self.order_status = order.status if not order.is_active(): self.stop() self.put_variables_event()
def update_order(self, order: OrderData) -> None: """ Callback of new order data update. """ self.orders[order.vt_orderid] = order if not order.is_active() and order.vt_orderid in self.active_orderids: self.active_orderids.remove(order.vt_orderid)
def on_order(self, order: OrderData): """""" msg = f"委托号:{order.vt_orderid},委托状态:{order.status.value}" self.write_log(msg) if not order.is_active(): self.vt_orderid = "" self.put_variables_event()
def update_order(self, order: OrderData): """""" if self.active: if order.is_active(): self.active_orders[order.vt_orderid] = order elif order.vt_orderid in self.active_orders: self.active_orders.pop(order.vt_orderid) self.on_order(order)
def on_order(self, packet: dict) -> None: """""" ord_data = packet["o"] key = (ord_data["o"], ord_data["f"]) order_type = ORDERTYPE_BINANCES2VT.get(key, None) if not order_type: return order = OrderData( symbol=ord_data["s"], exchange=Exchange.BINANCE, orderid=str(ord_data["c"]), type=order_type, direction=DIRECTION_BINANCES2VT[ord_data["S"]], price=float(ord_data["p"]), volume=float(ord_data["q"]), traded=float(ord_data["z"]), status=STATUS_BINANCES2VT[ord_data["X"]], datetime=generate_datetime(packet["E"]), gateway_name=self.gateway_name ) # Push trade event trade_volume = float(ord_data["l"]) if trade_volume: trade_data = TradeData( symbol=order.symbol, exchange=order.exchange, orderid=order.orderid, tradeid=ord_data["t"], direction=order.direction, price=float(ord_data["L"]), volume=trade_volume, datetime=generate_datetime(ord_data["T"]), gateway_name=self.gateway_name, ) order.trade_data = trade_data else: order.trade_data = None self.gateway.on_order(order)
def on_order(self, order: OrderData): """ Callback of new order data update. """ vt_orderid = order.vt_orderid if not order.is_active(): if vt_orderid in self.active_orderids: self.active_orderids.remove(vt_orderid) if vt_orderid in self.cancel_orderids: self.cancel_orderids.remove(vt_orderid)
def on_order(self, packet: dict): """""" if packet["C"] == "": orderid = packet["c"] else: orderid = packet["C"] order = OrderData(symbol=packet["s"].lower(), exchange=Exchange.BINANCE, orderid=orderid, type=ORDERTYPE_BINANCE2VT[packet["o"]], direction=DIRECTION_BINANCE2VT[packet["S"]], price=float(packet["p"]), volume=float(packet["q"]), traded=float(packet["z"]), status=STATUS_BINANCE2VT[packet["X"]], datetime=generate_datetime(packet["O"]), gateway_name=self.gateway_name) # Push trade event trade_volume = float(packet["l"]) if trade_volume: trade_data = TradeData( symbol=order.symbol, exchange=order.exchange, orderid=order.orderid, tradeid=packet["t"], direction=order.direction, price=float(packet["L"]), volume=trade_volume, datetime=generate_datetime(packet["T"]), gateway_name=self.gateway_name, ) order.trade_data = trade_data else: order.trade_data = None self.gateway.on_order(order)
def check_order_valid(self, order: OrderData, contract: ContractData) -> Optional[PositionData]: """""" # Reject unsupported order type if order.type in {OrderType.FAK, OrderType.FOK, OrderType.RFQ}: order.status = Status.REJECTED elif order.type == OrderType.STOP and not contract.stop_supported: order.status = Status.REJECTED if order.status == Status.REJECTED: self.write_log(f"委托被拒单,不支持的委托类型{order.type.value}") # Reject close order if no more available position if contract.net_position or order.offset == Offset.OPEN: return if order.direction == Direction.LONG: short_position = self.get_position(order.vt_symbol, Direction.SHORT) available = short_position.volume - short_position.frozen if order.volume > available: order.status = Status.REJECTED else: short_position.frozen += order.volume return short_position else: long_position = self.get_position(order.vt_symbol, Direction.LONG) available = long_position.volume - long_position.frozen if order.volume > available: order.status = Status.REJECTED else: long_position.frozen += order.volume return long_position if order.status == Status.REJECTED: self.write_log(f"委托被拒单,可平仓位不足")
def on_query_order(self, data, request): """""" order = OrderData( orderid=data["clientOrderId"], symbol=data["symbol"].lower(), exchange=Exchange.BINANCE, price=float(data["price"]), volume=float(data["origQty"]), type=ORDERTYPE_BINANCE2VT[data["type"]], direction=DIRECTION_BINANCE2VT[data["side"]], traded=float(data["executedQty"]), status=STATUS_BINANCE2VT.get(data["status"], None), datetime=generate_datetime(data["time"]), gateway_name=self.gateway_name, ) self.gateway.on_order(order) self.gateway.write_log("委托订单查询成功")
def send_limit_order(self, direction: Direction, offset: Offset, price: float, volume: float): """""" self.limit_order_count += 1 order = OrderData(symbol=self.symbol, exchange=self.exchange, orderid=str(self.limit_order_count), direction=direction, offset=offset, price=price, volume=volume, status=Status.SUBMITTING, gateway_name=self.gateway_name, datetime=self.datetime) self.active_limit_orders[order.vt_orderid] = order self.limit_orders[order.vt_orderid] = order return order.vt_orderid
def on_query_order(self, data: dict, request: Request) -> None: """""" key = (data["type"], data["timeInForce"]) order_type = ORDERTYPE_BINANCES2VT.get(key, None) if not order_type: return order = OrderData( orderid=data["clientOrderId"], symbol=data["symbol"], exchange=Exchange.BINANCE, price=float(data["price"]), volume=float(data["origQty"]), type=order_type, direction=DIRECTION_BINANCES2VT[data["side"]], traded=float(data["executedQty"]), status=STATUS_BINANCES2VT.get(data["status"], None), datetime=generate_datetime(data["time"]), gateway_name=self.gateway_name, ) self.gateway.on_order(order) self.gateway.write_log("订单信息查询成功")
def on_order(self, order: OrderData): """""" if not order.is_active(): self.vt_orderid = "" self.put_variables_event()