def get_stop_price_trigger(action, stopPrice, useAdjustedValues, bar):
ret = None
open_ = bar.getOpen(useAdjustedValues)
high = bar.getHigh(useAdjustedValues)
low = bar.getLow(useAdjustedValues)
# If the bar is above the stop price, use the open price.
# If the bar includes the stop price, use the open price or the stop price. Whichever is better.
if action in [broker.Order.Action.BUY, broker.Order.Action.BUY_TO_COVER]:
if low > stopPrice:
ret = open_
elif stopPrice <= high:
if open_ > stopPrice: # The stop price was penetrated on open.
ret = open_
else:
ret = stopPrice
# If the bar is below the stop price, use the open price.
# If the bar includes the stop price, use the open price or the stop price. Whichever is better.
elif action in [broker.Order.Action.SELL, broker.Order.Action.SELL_SHORT]:
if high < stopPrice:
ret = open_
elif stopPrice >= low:
if open_ < stopPrice: # The stop price was penetrated on open.
ret = open_
else:
ret = stopPrice
else: # Unknown action
assert (False)
return ret
def fillMarketOrder(self, broker_, order, bar):
# Calculate the fill size for the order.
# 计算订单的建仓大小。
fillSize = self.__calculateFillSize(broker_, order, bar)
if fillSize == 0:
broker_.getLogger().debug(
"Not enough volume to fill %s market order [%s] for %s share/s"
% (order.getInstrument(), order.getId(), order.getRemaining()))
return None
# Unless its a fill-on-close order, use the open price.
if order.getFillOnClose():
price = bar.getClose(broker_.getUseAdjustedValues())
else:
price = bar.getOpen(broker_.getUseAdjustedValues())
assert price is not None
# Don't slip prices when the bar represents the trading activity of a single trade.
if bar.getFrequency() != mooquant.bar.Frequency.TRADE:
price = self.__slippageModel.calculatePrice(
order, price, fillSize, bar,
self.__volumeUsed[order.getInstrument()])
return FillInfo(price, fillSize)
def addBar(self, instrument, bar, frequency):
instrument = normalize_instrument(instrument)
instrumentId = self.__getOrCreateInstrument(instrument)
timeStamp = dt.datetime_to_timestamp(bar.getDateTime())
try:
sql = "INSERT INTO bar (instrument_id, frequency, timestamp, open, high, low, close, volume, adj_close) VALUES (?, ?, ?, ?, ?, ?, ?, ?, ?)"
params = [instrumentId, frequency, timeStamp, bar.getOpen(), bar.getHigh(), bar.getLow(), bar.getClose(),
bar.getVolume(), bar.getAdjClose()]
self.__connection.execute(sql, params)
except sqlite3.IntegrityError:
sql = "UPDATE bar SET open = ?, high = ?, low = ?, close = ?, volume = ?, adj_close = ?" \
" WHERE instrument_id = ? AND frequency = ? AND timestamp = ?"
params = [bar.getOpen(), bar.getHigh(), bar.getLow(), bar.getClose(), bar.getVolume(), bar.getAdjClose(),
instrumentId, frequency, timeStamp]
self.__connection.execute(sql, params)
def fillStopOrder(self, broker_, order, bar):
ret = None
# First check if the stop price was hit so the market order becomes active.
stopPriceTrigger = None
if not order.getStopHit():
stopPriceTrigger = get_stop_price_trigger(
order.getAction(), order.getStopPrice(),
broker_.getUseAdjustedValues(), bar)
order.setStopHit(stopPriceTrigger is not None)
# If the stop price was hit, check if we can fill the market order.
if order.getStopHit():
# Calculate the fill size for the order.
fillSize = self.__calculateFillSize(broker_, order, bar)
if fillSize == 0:
broker_.getLogger().debug(
"Not enough volume to fill %s stop order [%s] for %s share/s"
% (order.getInstrument(), order.getId(),
order.getRemaining()))
return None
# If we just hit the stop price we'll use it as the fill price.
# For the remaining bars we'll use the open price.
if stopPriceTrigger is not None:
price = stopPriceTrigger
else:
price = bar.getOpen(broker_.getUseAdjustedValues())
assert price is not None
# Don't slip prices when the bar represents the trading activity of a single trade.
if bar.getFrequency() != mooquant.bar.Frequency.TRADE:
price = self.__slippageModel.calculatePrice(
order, price, fillSize, bar,
self.__volumeUsed[order.getInstrument()])
ret = FillInfo(price, fillSize)
return ret