def data_events(self):
yield Event(event_type=EventType.INITIALIZE)
for data in self._env.data_proxy.data_walker:
# 每天先完成上个交易日下单的撮合成交
yield Event(event_type=EventType.ORDER_DEAL)
yield Event(event_type=EventType.BEFORE_TRADING, data=data)
yield Event(event_type=EventType.BAR, data=data)
# 当前Bar订单提交
yield Event(event_type=EventType.SETTLEMENT)
def subscribe(self, symbols, before_bar_count=1):
if isinstance(symbols, str):
symbols = [
symbols,
]
evt = Event(event_type=EventType.SUBSCRIBE,
symbols=symbols,
before_bar_count=before_bar_count)
self._env.event_bus.emit(event=evt)
def on_order_submission(self, evt: Event):
oder_obj = getattr(evt, 'order_obj')
order_reason = self._order_manager.on_order_submission(oder_obj)
flag = order_reason.result
# ====================== 下单前验证 =====================
if flag:
order_reason = self._portfolio_manager.on_order_submission(
oder_obj)
flag = order_reason.result
# ====================== 验证结束 ======================
if flag:
self._env.event_bus.emit()
else:
self._env.event_bus.emit(
Event(event_type=EventType.ORDER_REJECTED,
info=order_reason.reason))
def order(self,
symbol,
quantity,
limit_price=None,
order_type=OrderType.MKT):
if quantity > 0:
side = OrderSide.BUY
else:
side = OrderSide.SELL
quantity = abs(quantity)
dt = self._env.data_proxy.get_datetime()
order_obj = Order(symbol=symbol,
quantity=quantity,
side=side,
order_type=order_type,
limit_price=limit_price,
order_time=dt)
evt = Event(event_type=EventType.ORDER_NEW, order_obj=order_obj)
self._env.event_bus.emit(evt)
def _order_cancel_rejected(self, order):
self._env.event_bus.emit(
Event(EventType.ORDER_CANCELLATION_REJECTED, order=order))
def _order_cancel_passed(self, order):
self._open_orders[order.symbol].remove(order)
self._env.event_bus.emit(
Event(EventType.ORDER_CANCELLATION_PASSED, order=order))
def data_events(self):
yield Event(event_type=EventType.INITIALIZE)
for data in self._env.data_proxy.data_walker:
yield Event(event_type=EventType.BAR, data=data)
def initialize(self):
self.load_apps()
self.load_broker()
self._env.strategy.set_up()
self._env.event_bus.emit(Event(EventType.INITIALIZE))