def test_order_trade_task():
from jaqs.data.basic import TradeStat, Trade, Task, TaskInd, Order, OrderStatusInd
order = Order()
order.symbol = 'SPY'
order.task_id = 10000001
order.entrust_no = '123'
order.entrust_size = 10
order.entrust_action = 'Short'
order.entrust_price = 1.2
order.entrust_time = 95055
order.entrust_date = 20171201
order.fill_price = 1.19
order.fill_size = 3
order.commission = 0.001
str(order)
o2 = Order(order)
o2.entrust_no = '124'
o3 = Order.new_order('SPY', 'Buy', 10, 10, 20111111, 143029, 'Limit')
oind = OrderStatusInd(order)
OrderStatusInd.create_from_dict({'symbol': 'SPY'})
str(oind)
task = Task(order.task_id, 'vwap', {'a': 'b'}, order, 'place_order', order.entrust_date)
assert (not task.is_finished)
task.task_status = common.TASK_STATUS.DONE
assert task.is_finished
tind = TaskInd(task.task_id, task.task_status, task.algo, 'success')
str(tind)
tind2 = TaskInd.create_from_dict({'task_id': 2011223})
trade = Trade(order)
trade.set_fill_info(15, 20, 20171202, 112311, 12345)
str(trade)
t2 = Trade.create_from_dict({'symbol': 'SPY'})
tstat = TradeStat()
str(tstat)
def _on_order_status(self, ind):
"""
Parameters
----------
ind : OrderStatusInd
"""
if ind.task_id not in self.tasks:
return
# TODO
if ind.entrust_no == 101010 or ind.entrust_no == 202020: # trades generate by system
return
# add/update order
order = self.orders.get(ind.entrust_no, None)
if order is None:
order = Order()
order.copy(ind)
self.orders[ind.entrust_no] = order
task = self.get_task(ind.task_id)
if task.function_name == 'place_order':
order = task.data
order.copy(ind)
elif task.function_name == 'place_batch_order':
for order in task.data:
if order.entrust_no == ind.entrust_no:
order.copy(ind)
elif task.function_name == 'goal_portfolio':
for order in task.data:
if order.entrust_no == ind.entrust_no:
order.copy(ind)
# order status other than CANCELLED/REJECTED will be dealt with self.on_trade
if (ind.order_status == common.ORDER_STATUS.CANCELLED) or (ind.order_status == common.ORDER_STATUS.REJECTED):
# update TradeStat
trade_stat = self._get_trade_stat(ind.symbol)
release_size = ind.entrust_size - ind.fill_size
if common.ORDER_ACTION.is_positive(ind.entrust_action):
trade_stat.buy_want_size -= release_size
else:
trade_stat.sell_want_size -= release_size
self.tradestat[self._make_trade_stat_key(ind.symbol)] = trade_stat
# update task
self._update_task_if_done(ind.task_id)
"""
entrust_no = ind.entrust_no
order = self.orders.get(self._make_order_key(entrust_no, self.ctx.strategy.ctx.trade_date), None)
if order is not None:
order.order_status = ind.order_status
tradestat = self.tradestat.get(ind.symbol)
release_size = ind.entrust_size - ind.fill_size
if ind.entrust_action == common.ORDER_ACTION.BUY:
tradestat.buy_want_size -= release_size
else:
tradestat.sell_want_size -= release_size
else:
raise ValueError("order {} does not exist".format(entrust_no))
"""
self.original_on_order_status(ind)
def test_order_trade_task():
from jaqs.data.basic import TradeStat, Trade, Task, TaskInd, Order, OrderStatusInd
order = Order()
order.symbol = 'SPY'
order.task_id = 10000001
order.entrust_no = '123'
order.entrust_size = 10
order.entrust_action = 'Short'
order.entrust_price = 1.2
order.entrust_time = 95055
order.entrust_date = 20171201
order.fill_price = 1.19
order.fill_size = 3
order.commission = 0.001
str(order)
o2 = Order(order)
o2.entrust_no = '124'
o3 = Order.new_order('SPY', 'Buy', 10, 10, 20111111, 143029, 'Limit')
oind = OrderStatusInd(order)
OrderStatusInd.create_from_dict({'symbol': 'SPY'})
str(oind)
task = Task(order.task_id, 'vwap', {'a': 'b'}, order, 'place_order',
order.entrust_date)
assert (not task.is_finished)
task.task_status = common.TASK_STATUS.DONE
assert task.is_finished
tind = TaskInd(task.task_id, task.task_status, task.algo, 'success')
str(tind)
tind2 = TaskInd.create_from_dict({'task_id': 2011223})
trade = Trade(order)
trade.set_fill_info(15, 20, 20171202, 112311, 12345)
str(trade)
t2 = Trade.create_from_dict({'symbol': 'SPY'})
tstat = TradeStat()
str(tstat)