def seed(dbpath=DBPATH):
ORM.dbpath = dbpath
default = Account(username='******',
balance=10000.00,
first='sami',
last='s',
api_key="12345678912345678902")
default.set_password('1234')
default.save()
default_buy = Trade(buy_sell='Buy',
username='******',
ticker='tsla',
price='100',
shares='10',
time=time())
default_buy.save()
default_sale = Trade(buy_sell='Sell',
username='******',
ticker='tsla',
price='110',
shares='5',
time=time())
default_sale.save()
default_position = Position(username='******', ticker='tsla', shares='5')
default_position.save()
def parse_trade_data(trade_data_list):
trades = []
for trade_data in trade_data_list:
if len(trade_data['STOCK CODE']) > 0: # check that row is not empty
trade = Trade(asset_name=trade_data['STOCK CODE'],
entry_date=trade_data['BUY DATE'],
exit_date=trade_data['SELL DATE'],
buy_price=trade_data['BUY PRICE'],
number_of_shares=trade_data['NUMBER OF SHARES'])
if trade.data_fetch_successful:
trades.append(trade)
portfolio = Portfolio(trades)
return portfolio
def record_trade(self, stock_symbol, trade_data, stock=None):
"""
:param stock:
:return:
:type stock_symbol: string
:type trade_data: Trade object
"""
if not stock_symbol:
logger.error("record_trade :: Stock Symbol can not be empty")
raise ValueError("Stock Symbol cannot be None")
if not trade_data:
logger.error("record_trade :: Trade data can not be empty")
raise ValueError("Trade data cannot be None")
if not stock:
stock = get_stock_by_symbol(stock_symbol)
trade = Trade()
trade.indicator = trade_data.indicator
trade.price = trade_data.price
trade.quantity = trade_data.quantity
trade.timestamp = trade_data.timestamp
stock.trade_list = trade
print(stock.trade_list)
return stock
def __get__trade_list(account_id, trade_array, order_dict):
trade_list = []
for trade_info in trade_array:
trade_db = Trade()
trade_db.symbol = getattr(trade_info, 'm_strInstrumentID', '')
trade_db.order_id = getattr(trade_info, 'm_strOrderSysID', '')
if trade_db.order_id not in order_dict:
print '[Error]unfind OrderID:', trade_db.order_id
continue
trade_db.trade_id = getattr(trade_info, 'm_strTradeID', '')
trading_day = getattr(trade_info, 'm_strTradeDate', '')
insert_time = getattr(trade_info, 'm_strTradeTime', '')
if (trading_day != '') and (insert_time != ''):
insert_time_str = '%s-%s-%s %s' % (trading_day[0:4],
trading_day[4:6],
trading_day[6:8], insert_time)
if insert_time > now_datetime_str:
insert_time_str = '%s %s' % (last_trading_day, insert_time)
else:
insert_time_str = '%s 00:00:00' % (now_date_str, )
trade_db.time = insert_time_str
order_db = order_dict[trade_db.order_id]
qty = getattr(trade_info, 'm_nVolume', '')
if order_db.direction == '48':
trade_db.qty = qty
elif order_db.direction == '49':
trade_db.qty = 0 - int(qty)
trade_db.price = getattr(trade_info, 'm_dAveragePrice', '')
# 普通成交:'0'|期权执行:'1'|OTC成交:'2'|期转现衍生成交:'3'|组合衍生成交:'4'
trade_db.trade_type = 0
# 开仓:'0'|平仓:'1'|强平:'2'|平今:'3'|平昨:'4'|强减:'5'|本地强平:'6'
trade_db.offsetflag = getattr(trade_info, 'm_nOffsetFlag', '')
trade_db.account = account_id
trade_db.direction = getattr(trade_info, 'm_nDirection', '')
hedge_flag = getattr(trade_info, 'm_nHedgeFlag', '')
trade_db.hedgeflag = HEDGE_FLAG_MAP[hedge_flag]
trade_list.append(trade_db)
return trade_list
def __build_trade(account_id, order_info):
trade_db = Trade()
trade_db.account = account_id
trade_db.order_id = getattr(order_info, 'ORDER_ID', '')
trade_db.trade_id = getattr(order_info, 'SYS_ORDER_ID', '')
trade_db.time = getattr(order_info, 'FILL_TIME', '').replace('/', '-')
message_symbol = getattr(order_info, 'SYMBOL', 'NULL').split('.')[0]
instrumet_db = instrument_dict[message_symbol]
trade_db.symbol = instrumet_db.ticker
# 成交量
filled_quantity = getattr(order_info, 'FILLED_QUANTITY', '')
trade_db.qty = Decimal(filled_quantity)
trade_db.price = Decimal(getattr(order_info, 'FILLED_PRICE', ''))
# 普通成交:'0'|期权执行:'1'|OTC成交:'2'|期转现衍生成交:'3'|组合衍生成交:'4'
trade_db.trade_type = 0
# 开仓:'0'|平仓:'1'|强平:'2'|平今:'3'|平昨:'4'|强减:'5'|本地强平:'6'
action = getattr(order_info, 'ACTION', '')
if action == 'BUYTOOPEN':
# 0:开仓 1:平仓 3:平今 4:平昨
trade_db.offsetflag = 0
# 0:买，1：卖
trade_db.direction = 0
elif action == 'BUYTOCLOSE':
if 'yd' in trade_db.order_id:
trade_db.offsetflag = 4
else:
trade_db.offsetflag = 1
trade_db.direction = 0
elif action == 'SELLTOOPEN':
trade_db.offsetflag = 0
trade_db.direction = 1
elif action == 'SELLTOCLOSE':
if 'yd' in trade_db.order_id:
trade_db.offsetflag = 4
else:
trade_db.offsetflag = 1
trade_db.direction = 1
trade_db.hedgeflag = 0
return trade_db
def match(self, open_orders):
price_board = self._env.price_board
for account, order in open_orders:
order_book_id = order.order_book_id
instrument = self._env.get_instrument(order_book_id)
if np.isnan(price_board.get_last_price(order_book_id)):
listed_date = instrument.listed_date.date()
if listed_date == self._trading_dt.date():
reason = _(
u"Order Cancelled: current security [{order_book_id}] can not be traded in listed date [{listed_date}]"
).format(
order_book_id=order.order_book_id,
listed_date=listed_date,
)
else:
reason = _(
u"Order Cancelled: current bar [{order_book_id}] miss market data."
).format(order_book_id=order.order_book_id)
order.mark_rejected(reason)
continue
deal_price = self._deal_price_decider(order_book_id, order.side)
if order.type == ORDER_TYPE.LIMIT:
if order.side == SIDE.BUY and order.price < deal_price:
continue
if order.side == SIDE.SELL and order.price > deal_price:
continue
# 是否限制涨跌停不成交
if self._price_limit:
if order.side == SIDE.BUY and deal_price >= price_board.get_limit_up(
order_book_id):
continue
if order.side == SIDE.SELL and deal_price <= price_board.get_limit_down(
order_book_id):
continue
if self._liquidity_limit:
if order.side == SIDE.BUY and price_board.get_a1(
order_book_id) == 0:
continue
if order.side == SIDE.SELL and price_board.get_b1(
order_book_id) == 0:
continue
else:
if self._price_limit:
if order.side == SIDE.BUY and deal_price >= price_board.get_limit_up(
order_book_id):
reason = _(
"Order Cancelled: current bar [{order_book_id}] reach the limit_up price."
).format(order_book_id=order.order_book_id)
order.mark_rejected(reason)
continue
if order.side == SIDE.SELL and deal_price <= price_board.get_limit_down(
order_book_id):
reason = _(
"Order Cancelled: current bar [{order_book_id}] reach the limit_down price."
).format(order_book_id=order.order_book_id)
order.mark_rejected(reason)
continue
if self._liquidity_limit:
if order.side == SIDE.BUY and price_board.get_a1(
order_book_id) == 0:
reason = _(
"Order Cancelled: [{order_book_id}] has no liquidity."
).format(order_book_id=order.order_book_id)
order.mark_rejected(reason)
continue
if order.side == SIDE.SELL and price_board.get_b1(
order_book_id) == 0:
reason = _(
"Order Cancelled: [{order_book_id}] has no liquidity."
).format(order_book_id=order.order_book_id)
order.mark_rejected(reason)
continue
if self._volume_limit:
bar = self._env.bar_dict[order_book_id]
volume_limit = round(
bar.volume *
self._volume_percent) - self._turnover[order.order_book_id]
round_lot = instrument.round_lot
volume_limit = (volume_limit // round_lot) * round_lot
if volume_limit <= 0:
if order.type == ORDER_TYPE.MARKET:
reason = _(
u"Order Cancelled: market order {order_book_id} volume {order_volume}"
u" due to volume limit").format(
order_book_id=order.order_book_id,
order_volume=order.quantity)
order.mark_cancelled(reason)
continue
unfilled = order.unfilled_quantity
fill = min(unfilled, volume_limit)
else:
fill = order.unfilled_quantity
ct_amount = account.positions.get_or_create(
order.order_book_id).cal_close_today_amount(fill, order.side)
price = self._slippage_decider.get_trade_price(
order.side, deal_price)
trade = Trade.__from_create__(
order_id=order.order_id,
calendar_dt=self._calendar_dt,
trading_dt=self._trading_dt,
price=price,
amount=fill,
side=order.side,
position_effect=order.position_effect,
order_book_id=order.order_book_id,
frozen_price=order.frozen_price,
close_today_amount=ct_amount)
trade._commission = self._commission_decider.get_commission(
account.type, trade)
trade._tax = self._tax_decider.get_tax(account.type, trade)
order.fill(trade)
self._turnover[order.order_book_id] += fill
self._env.event_bus.publish_event(
Event(EVENT.TRADE, account=account, trade=trade, order=order))
if order.type == ORDER_TYPE.MARKET and order.unfilled_quantity != 0:
reason = _(
u"Order Cancelled: market order {order_book_id} volume {order_volume} is"
u" larger than 25 percent of current bar volume, fill {filled_volume} actually"
).format(order_book_id=order.order_book_id,
order_volume=order.quantity,
filled_volume=order.filled_quantity)
order.mark_cancelled(reason)
def __init__(self):
self.tradeObject = Trade()
def __get__trade_list(account_id, trade_array, order_dict):
trade_list = []
for trade_info in trade_array:
trade_db = Trade()
trade_db.symbol = getattr(trade_info, 'InstrumentID', '')
if local_server_name == 'huabao':
if not ('IH' in trade_db.symbol or 'IC' in trade_db.symbol or 'IF' in trade_db.symbol):
continue
if local_server_name == 'zhongxin':
if 'IH' in trade_db.symbol or 'IC' in trade_db.symbol or 'IF' in trade_db.symbol:
continue
trade_db.order_id = getattr(trade_info, 'OrderSysID', '')
if trade_db.order_id not in order_dict:
print '[Error]unfind OrderID:', trade_db.order_id
continue
trade_db.trade_id = getattr(trade_info, 'TradeID', '')
trading_day = getattr(trade_info, 'TradeDate', '')
insert_time = getattr(trade_info, 'TradeTime', '')
if (trading_day != '') and (insert_time != ''):
insert_time_str = '%s-%s-%s %s' % (trading_day[0:4], trading_day[4:6], trading_day[6:8], insert_time)
if insert_time > now_datetime_str:
insert_time_str = '%s %s' % (last_trading_day, insert_time)
else:
insert_time_str = '%s 00:00:00' % (now_date_str,)
trade_db.time = insert_time_str
order_db = order_dict[trade_db.order_id]
qty = getattr(trade_info, 'Volume', '')
if order_db.direction == '0':
trade_db.qty = qty
elif order_db.direction == '1':
trade_db.qty = 0 - int(qty)
trade_db.price = getattr(trade_info, 'Price', '')
# 普通成交:'0'|期权执行:'1'|OTC成交:'2'|期转现衍生成交:'3'|组合衍生成交:'4'
trade_db.trade_type = getattr(trade_info, 'TradeType', '')
# 开仓:'0'|平仓:'1'|强平:'2'|平今:'3'|平昨:'4'|强减:'5'|本地强平:'6'
trade_db.offsetflag = getattr(trade_info, 'OffsetFlag', '')
trade_db.account = account_id
trade_db.direction = getattr(trade_info, 'Direction', '')
hedge_flag = getattr(trade_info, 'HedgeFlag', '')
trade_db.hedgeflag = const.HEDGE_FLAG_MAP[hedge_flag]
trade_list.append(trade_db)
return trade_list
def save_trade(account_id, trade_array):
for trade_info in trade_array:
trade_db = Trade()
trade_db.trade_id = getattr(trade_info, 'TradeID', '')
trading_day = getattr(trade_info, 'TradingDay', '')
insert_time = getattr(trade_info, 'InsertTime', '')
if (trading_day != '') and (insert_time != ''):
insert_time_str = '%s-%s-%s %s' % (trading_day[0:4], trading_day[4:6], trading_day[6:8], insert_time)
else:
insert_time_str = '%s 00:00:00' % (today_str,)
trade_db.time = insert_time_str
trade_db.symbol = getattr(trade_info, 'InstrumentID', '')
trade_db.qty = getattr(trade_info, 'TradeVolume', '')
trade_db.price = getattr(trade_info, 'TradePrice', '')
trade_db.account = account_id
trade_db.order_id = getattr(trade_info, 'OrderSysID', '')
# 买:'0'|卖:'1'
trade_db.direction = getattr(trade_info, 'Direction', '')
# 开仓:'0'|平仓:'1'|强平:'2'|平今:'3'|平昨:'4'
trade_db.offsetflag = getattr(trade_info, 'OffsetFlag', '')
hedge_flag = getattr(trade_info, 'HedgeFlag', '1')
if hedge_flag == '':
trade_db.hedgeflag = '0'
else:
trade_db.hedgeflag = const.HEDGE_FLAG_MAP[hedge_flag]
trade_list.append(trade_db)
def __get__trade_list(account_id, trade_array, order_dict):
trade_list = []
for trade_info in trade_array:
trade_db = Trade()
trade_db.symbol = getattr(trade_info, 'stock_code', '')
trade_db.order_id = getattr(trade_info, 'report_no', '')
if trade_db.order_id not in order_dict:
print '[Error]unfind OrderID:', trade_db.order_id
continue
trade_db.trade_id = getattr(trade_info, 'business_no', '')
trading_day = getattr(trade_info, 'date', '')
insert_time = getattr(trade_info, 'business_time', '').zfill(6)
if (trading_day != '') and (insert_time != ''):
insert_time_str = '%s-%s-%s %s:%s:%s' % (trading_day[0:4], trading_day[4:6], trading_day[6:8], \
insert_time[:2], insert_time[2:4], insert_time[4:6])
if insert_time > now_datetime_str:
insert_time_str = '%s %s' % (last_trading_day, insert_time)
else:
insert_time_str = '%s 00:00:00' % (now_date_str, )
trade_db.time = insert_time_str
order_db = order_dict[trade_db.order_id]
qty = getattr(trade_info, 'business_amount', '')
if order_db.direction == '0':
trade_db.qty = qty
elif order_db.direction == '1':
trade_db.qty = 0 - float(qty)
trade_db.price = getattr(trade_info, 'business_price', '')
# 普通成交:'0'|期权执行:'1'|OTC成交:'2'|期转现衍生成交:'3'|组合衍生成交:'4'
trade_db.trade_type = 0
# trade_db.offsetflag = getattr(trade_info, 'm_nOffsetFlag', '')
trade_db.offsetflag = 0
trade_db.account = account_id
trade_db.direction = getattr(trade_info, 'entrust_bs', '')
# hedge_flag = getattr(trade_info, 'm_nHedgeFlag', '')
# trade_db.hedgeflag = HEDGE_FLAG_MAP[hedge_flag]
trade_db.hedgeflag = 0
trade_list.append(trade_db)
return trade_list
def _match(self, account, order):
order_book_id = order.order_book_id
price_board = self._env.price_board
last_price = price_board.get_last_price(order_book_id)
if np.isnan(last_price):
instrument = self._env.get_instrument(order_book_id)
listed_date = instrument.listed_date.date()
if listed_date == self._env.trading_dt.date():
reason = _(
"Order Cancelled: current security [{order_book_id}] can not be traded in listed date [{listed_date}]"
).format(
order_book_id=order_book_id,
listed_date=listed_date,
)
else:
reason = _(
u"Order Cancelled: current bar [{order_book_id}] miss market data."
).format(order_book_id=order_book_id)
order.mark_rejected(reason)
self._env.event_bus.publish_event(
Event(EVENT.ORDER_UNSOLICITED_UPDATE,
account=account,
order=order))
return
if order.type == ORDER_TYPE.LIMIT:
deal_price = order.frozen_price
else:
deal_price = last_price
if self._price_limit:
"""
在 Signal 模式下，不再阻止涨跌停是否买进，price_limit 参数表示是否给出警告提示。
"""
if order.side == SIDE.BUY and deal_price >= price_board.get_limit_up(
order_book_id):
user_system_log.warning(
_(u"You have traded {order_book_id} with {quantity} lots in {bar_status}"
).format(order_book_id=order_book_id,
quantity=order.quantity,
bar_status=BAR_STATUS.LIMIT_UP))
return
if order.side == SIDE.SELL and deal_price <= price_board.get_limit_down(
order_book_id):
user_system_log.warning(
_(u"You have traded {order_book_id} with {quantity} lots in {bar_status}"
).format(order_book_id=order_book_id,
quantity=order.quantity,
bar_status=BAR_STATUS.LIMIT_DOWN))
return
ct_amount = account.positions.get_or_create(
order_book_id).cal_close_today_amount(order.quantity, order.side)
trade_price = self._slippage_decider.get_trade_price(
order.side, deal_price)
trade = Trade.__from_create__(order_id=order.order_id,
calendar_dt=self._env.calendar_dt,
trading_dt=self._env.trading_dt,
price=trade_price,
amount=order.quantity,
side=order.side,
position_effect=order.position_effect,
order_book_id=order_book_id,
frozen_price=order.frozen_price,
close_today_amount=ct_amount)
trade._commission = self._commission_decider.get_commission(
account.type, trade)
trade._tax = self._tax_decider.get_tax(account.type, trade)
order.fill(trade)
self._env.event_bus.publish_event(
Event(EVENT.TRADE, account=account, trade=trade, order=order))