def __init__(self, instrument_id_):
self.instrument_id = instrument_id_
self.longSnapshot = Snapshot()
self.shortSnapshot = Snapshot()
self.longOpenPosition = 0
self.shortOpenPosition = 0
self.bid_list = OrderList(is_bid=True)
self.ask_list = OrderList(is_bid=False)
self.OrderRef2OrderInfo = {}
self.snapshot = self.longSnapshot # point to longSnapshot/shortSnapshot based on direction/offset
self.order_list = self.bid_list # point to bid_list/ask_list based on direction
class OrderManager(object):
def __init__(self, instrument_id_):
self.instrument_id = instrument_id_
self.longSnapshot = Snapshot()
self.shortSnapshot = Snapshot()
self.longOpenPosition = 0
self.shortOpenPosition = 0
self.bid_list = OrderList(is_bid=True)
self.ask_list = OrderList(is_bid=False)
self.OrderRef2OrderInfo = {}
self.snapshot = self.longSnapshot # point to longSnapshot/shortSnapshot based on direction/offset
self.order_list = self.bid_list # point to bid_list/ask_list based on direction
def place_limit_order(self, orderRef, direction, offset, price, volume):
orderInfo = OrderInfo(orderRef=orderRef,
priceType=PHX_FTDC_OPT_LimitPrice,
direction=direction,
offset=offset,
price=price,
volume=volume,
InstrumentID=self.instrument_id)
return self._place_order(orderInfo)
def place_market_order(self, orderRef, direction, offset, volume):
orderInfo = OrderInfo(orderRef=orderRef,
priceType=PHX_FTDC_OPT_AnyPrice,
direction=direction,
offset=offset,
volume=volume,
InstrumentID=self.instrument_id)
return self._place_order(orderInfo)
def place_cancel_order(self, orderRef):
if orderRef not in self.OrderRef2OrderInfo:
return
orderInfo = self.OrderRef2OrderInfo[orderRef]
if OrderManager.is_tradable_status(orderInfo.OrderStatus):
pass
def on_rsp_order_insert(self, orderRef):
if orderRef not in self.OrderRef2OrderInfo:
return
orderInfo = self.OrderRef2OrderInfo[orderRef]
self.set_snapshot(orderInfo.Direction, orderInfo.OffsetFlag)
self.set_order_list(orderInfo.Direction)
old_status = orderInfo.OrderStatus
orderInfo.OrderStatus = PHX_FTDC_OST_Error
self.snapshot.TotalErrorTimes += 1
tmp = orderInfo.VolumeTotalOriginal - orderInfo.VolumeTraded
if old_status == PHX_FTDC_OST_Unknown:
if orderInfo.OffsetFlag == PHX_FTDC_OF_Open:
self.snapshot.OpenUnknownVolume -= tmp
else:
self.snapshot.FrozenPosition -= tmp
self.snapshot.CloseUnknownVolume -= tmp
else:
if orderInfo.OffsetFlag == PHX_FTDC_OF_Open:
self.snapshot.OpenUntradedVolume -= tmp
else:
self.snapshot.FrozenPosition -= tmp
self.snapshot.CloseUntradedVolume -= tmp
self.order_list.remove_by_order_ref(orderInfo.OrderLocalID)
def on_rtn_order(self, order: CPhxFtdcOrderField):
if order.OrderLocalID not in self.OrderRef2OrderInfo:
return
orderInfo = self.OrderRef2OrderInfo[order.OrderLocalID]
if orderInfo.OrderSysID is None:
orderInfo.OrderSysID = order.OrderSysID
self.set_snapshot(orderInfo.Direction, orderInfo.OffsetFlag)
self.set_order_list(orderInfo.Direction)
if orderInfo.OrderStatus == PHX_FTDC_OST_Unknown and order.OrderStatus != PHX_FTDC_OST_Unknown:
if orderInfo.OffsetFlag == PHX_FTDC_OF_Open:
self.snapshot.OpenUnknownVolume -= order.VolumeTotalOriginal
self.snapshot.OpenUntradedVolume += order.VolumeTotalOriginal
else:
self.snapshot.CloseUnknownVolume -= order.VolumeTotalOriginal
self.snapshot.CloseUntradedVolume += order.VolumeTotalOriginal
if order.OrderStatus == PHX_FTDC_OST_Canceled:
self.snapshot.TotalCanceledTimes += 1
orderInfo.OrderStatus = order.OrderStatus
orderInfo.VolumeTraded = order.VolumeTraded
if OrderManager.is_final_status(orderInfo.OrderStatus):
tmp = orderInfo.VolumeTotalOriginal - orderInfo.VolumeTraded
if orderInfo.OffsetFlag == PHX_FTDC_OF_Open:
self.snapshot.OpenUntradedVolume -= tmp
else:
self.snapshot.FrozenPosition -= tmp
self.snapshot.CloseUntradedVolume -= tmp
self.order_list.remove_by_order_ref(orderInfo.OrderLocalID)
# print('OnRtnOrder, data=%s' % json.dumps(order.__dict__))
def on_rtn_trade(self, trade: CPhxFtdcTradeField):
if trade.OrderLocalID not in self.OrderRef2OrderInfo:
return
orderInfo = self.OrderRef2OrderInfo[trade.OrderLocalID]
orderInfo.TradeVolume += trade.Volume
self.set_snapshot(orderInfo.Direction, orderInfo.OffsetFlag)
if orderInfo.OffsetFlag == PHX_FTDC_OF_Open:
self.snapshot.Position += trade.Volume
self.snapshot.OpenVolume += trade.Volume
self.snapshot.OpenUntradedVolume -= trade.Volume
else:
self.snapshot.Position -= trade.Volume
self.snapshot.CloseVolume += trade.Volume
self.snapshot.CloseUntradedVolume -= trade.Volume
# print('OnRtnTrade, data=%s' % json.dumps(trade.__dict__))
def get_total_canceled_times(self):
return self.longSnapshot.TotalCanceledTimes + self.shortSnapshot.TotalCanceledTimes
def get_total_error_times(self):
return self.longSnapshot.TotalErrorTimes + self.shortSnapshot.TotalErrorTimes
def get_total_order_times(self):
return self.longSnapshot.TotalOrderTimes + self.shortSnapshot.TotalOrderTimes
def get_open_volume(self):
return self.longSnapshot.OpenVolume + self.shortSnapshot.OpenVolume
def get_close_volume(self):
return self.longSnapshot.CloseVolume + self.shortSnapshot.CloseVolume
def get_traded_volume(self):
return self.get_open_volume() + self.get_close_volume()
def get_effective_long_trading_volume(self):
return self.longSnapshot.OpenUnknownVolume + self.longSnapshot.OpenUntradedVolume \
+ self.shortSnapshot.CloseUnknownVolume + self.shortSnapshot.CloseUntradedVolume
def get_effective_short_trading_volume(self):
return self.shortSnapshot.OpenUnknownVolume + self.shortSnapshot.OpenUntradedVolume \
+ self.longSnapshot.CloseUnknownVolume + self.longSnapshot.CloseUntradedVolume
def get_long_position_closeable(self):
return self.longSnapshot.Position - self.longSnapshot.CloseUntradedVolume \
- self.longSnapshot.CloseUnknownVolume
def get_short_position_closeable(self):
return self.shortSnapshot.Position - self.shortSnapshot.CloseUntradedVolume \
- self.shortSnapshot.CloseUnknownVolume
def get_effective_long_position(self):
return self.longSnapshot.Position + self.get_effective_long_trading_volume(
)
def get_effective_short_position(self):
return self.shortSnapshot.Position + self.get_effective_short_trading_volume(
)
def get_current_net_position(self):
return self.get_effective_long_position(
) - self.get_effective_short_position()
def get_current_net_holding_position(self):
return self.longSnapshot.Position - self.shortSnapshot.Position
def has_unknown_order(self):
return self.longSnapshot.OpenUnknownVolume > 0 or self.longSnapshot.CloseUnknownVolume > 0 \
or self.shortSnapshot.OpenUnknownVolume > 0 or self.shortSnapshot.CloseUnknownVolume > 0
def get_unknown_orders(self):
return self._get_orders_by(PHX_FTDC_OST_Unknown)
def get_untraded_orders(self):
return self._get_orders_by(PHX_FTDC_OST_NoTradeQueueing)
def get_live_orders(self):
bids = self.bid_list.get_orders()
asks = self.ask_list.get_orders()
return bids, asks
def get_live_order_num(self):
return self.bid_list.size() + self.ask_list.size()
@staticmethod
def is_final_status(status):
return status == PHX_FTDC_OST_AllTraded or status == PHX_FTDC_OST_Canceled or status == PHX_FTDC_OST_Error
@staticmethod
def is_tradable_status(status):
return status == PHX_FTDC_OST_PartTradedQueueing or status == PHX_FTDC_OST_NoTradeQueueing
def clear(self):
self.longSnapshot.clear()
self.shortSnapshot.clear()
self.bid_list.clear()
self.ask_list.clear()
self.longOpenPosition = 0
self.shortOpenPosition = 0
self.OrderRef2OrderInfo = {}
def _get_orders_by(self, order_status):
bids = self.bid_list.get_order_by_status(order_status)
asks = self.ask_list.get_order_by_status(order_status)
return bids, asks
def _remove_order_from_list(self, orderInfo: OrderInfo):
if orderInfo.OrderPriceType != PHX_FTDC_OPT_LimitPrice:
return
if orderInfo.Direction == PHX_FTDC_D_Buy:
self.bid_list.remove_by_order_ref(orderInfo.OrderLocalID)
else:
self.ask_list.remove_by_order_ref(orderInfo.OrderLocalID)
def _place_order(self, orderInfo: OrderInfo):
self.OrderRef2OrderInfo[orderInfo.OrderLocalID] = orderInfo
if orderInfo.Direction == PHX_FTDC_D_Buy:
if orderInfo.OrderPriceType == PHX_FTDC_OPT_LimitPrice:
self.bid_list.insert(orderInfo)
self.snapshot = self.longSnapshot
else:
if orderInfo.OrderPriceType == PHX_FTDC_OPT_LimitPrice:
self.ask_list.insert(orderInfo)
self.snapshot = self.shortSnapshot
self.snapshot.TotalOrderTimes += 1
self.snapshot.TotalOrderVolume += orderInfo.VolumeTotalOriginal
if orderInfo.OffsetFlag == PHX_FTDC_OF_Open:
self.snapshot.OpenUnknownVolume += orderInfo.VolumeTotalOriginal
else:
self.snapshot.FrozenPosition += orderInfo.VolumeTotalOriginal
self.snapshot.CloseUnknownVolume += orderInfo.VolumeTotalOriginal
return orderInfo
def set_order_list(self, direction):
if direction == PHX_FTDC_D_Buy:
self.order_list = self.bid_list
else:
self.order_list = self.ask_list
def set_snapshot(self, direction, offset):
if direction == PHX_FTDC_D_Buy:
if offset == PHX_FTDC_OF_Open:
self.snapshot = self.longSnapshot
else:
self.snapshot = self.shortSnapshot
else:
if offset == PHX_FTDC_OF_Open:
self.snapshot = self.shortSnapshot
else:
self.snapshot = self.longSnapshot
def insert_init_order(self, order: CPhxFtdcOrderField):
if order.OrderLocalID in self.OrderRef2OrderInfo:
return
offset = PHX_FTDC_OF_Open
if order.CombOffsetFlag[0] != PHX_FTDC_OF_Open:
offset = PHX_FTDC_OF_Close
if order.OrderPriceType == PHX_FTDC_OPT_AnyPrice:
self.place_market_order(order.OrderLocalID, order.Direction,
offset, order.VolumeTotalOriginal)
else:
self.place_limit_order(order.OrderLocalID, order.Direction, offset,
order.LimitPrice, order.VolumeTotalOriginal)