def _generate_order_data_from_req(self, req: OrderRequest):
""" 将发单请求转换为发单数据 """
self.order_ref += 1
order_id = f"{self.frontid}-{self.sessionid}-{self.order_ref}"
return req._create_order_data(gateway_name="looper",
order_id=order_id,
time=self.datetime)
def send_server_order(self, contract: ContractData, direction: Direction,
offset: Offset, price: float, volume: float,
type: OrderType, lock: bool):
"""
发送新的单子给服务器
"""
# 创建新的order_req.
original_req = OrderRequest(
symbol=contract.symbol,
exchange=contract.exchange,
direction=direction,
offset=offset,
type=type,
price=price,
volume=volume,
)
# 通过本地持仓携带的转换请求功能 --> 详情见ctpbee下面的data_handle/local_position.py
req_list = self.cta.app.recorder.position_manager.get(
contract.local_symbol).convert_order_request(original_req, lock)
# 发单
local_orderids = []
for req in req_list:
local_orderid = self.cta.app.send_order(req, contract.gateway_name)
local_orderids.append(local_orderid)
self.cta.app.recorder.position_manager.get(
contract.local_symbol).update_order_request(
req, local_orderid)
# Save relationship between orderid and strategy.
self.orderid_strategy_map[local_orderid] = self.cta
self.strategy_orderid_map[self.cta.cta_name].add(local_orderid)
return local_orderids
def short(self, price, volume, origin, **kwargs):
req = OrderRequest(price=price,
volume=volume,
exchange=origin.exchange,
offset=Offset.OPEN,
direction=Direction.SHORT,
type=OrderType.LIMIT)
return self.looper.send_order(req)
def generate_order_req_by_str(cls, symbol: str, exchange: str, direction: str, offset: str, type: str, volume,
price):
""" 手动构造发单请求"""
if "." in symbol:
symbol = symbol.split(".")[1]
return OrderRequest(exchange=cls.exchange_map.get(exchange.upper()), symbol=symbol,
direction=cls.direction_map.get(direction.upper()),
offset=cls.offset_map.get(offset.upper()), type=cls.price_type_map.get(type.upper()),
volume=volume, price=price)
def _convert_req_to_data(self, order: OrderRequest):
# 随机生成一个order_ref
while True:
ref = random.randint(1, 100000)
if ref not in self.order_ref_set:
self.order_ref_set.add(ref)
break
order_id = f"{self.frontid}_{self.sessionid}_{ref}"
return order._create_order_data(order_id=order_id, gateway_name="looper")
def generate_order_req_by_var(cls, symbol: str, exchange: Exchange,
direction: Direction, offset: Offset,
type: OrderType, volume, price: float):
if "." in symbol:
symbol = symbol.split(".")[0]
return OrderRequest(symbol=symbol,
exchange=exchange,
direction=direction,
offset=offset,
type=type,
volume=volume,
price=price)
def buy(self,
price,
volume,
origin,
price_type: OrderType = OrderType.LIMIT,
**kwargs):
req = OrderRequest(price=price,
volume=volume,
exchange=origin.exchange,
offset=Offset.OPEN,
direction=Direction.LONG,
type=price_type)
return self.looper.send_order(req)
def short(self,
price,
volume,
origin,
price_type: OrderType = OrderType.LIMIT,
**kwargs):
if not isinstance(self.looper.params['slippage_short'],
float) and not isinstance(
self.looper.params['slippage_short'], int):
raise ConfigError(message="滑点配置应为浮点小数")
req = OrderRequest(price=price,
volume=volume,
exchange=origin.exchange,
offset=Offset.OPEN,
direction=Direction.SHORT,
type=price_type,
symbol=origin.symbol)
return self.looper.send_order(req)
def send_order(self, req: OrderRequest):
"""
Send new order.
"""
self.order_ref += 1
ctp_req = {
"InstrumentID": req.symbol,
"LimitPrice": req.price,
"VolumeTotalOriginal": int(req.volume),
"OrderPriceType": ORDERTYPE_VT2CTP.get(req.type, ""),
"Direction": DIRECTION_VT2CTP.get(req.direction, ""),
"CombOffsetFlag": OFFSET_VT2CTP.get(req.offset, ""),
"OrderRef": str(self.order_ref),
"InvestorID": self.userid,
"UserID": self.userid,
"BrokerID": self.brokerid,
"CombHedgeFlag": THOST_FTDC_HF_Speculation,
"ContingentCondition": THOST_FTDC_CC_Immediately,
"ForceCloseReason": THOST_FTDC_FCC_NotForceClose,
"IsAutoSuspend": 0,
"TimeCondition": THOST_FTDC_TC_GFD,
"VolumeCondition": THOST_FTDC_VC_AV,
"MinVolume": 1,
"ExchangeID": req.exchange.value
}
if req.type == OrderType.FAK:
ctp_req["OrderPriceType"] = THOST_FTDC_OPT_LimitPrice
ctp_req["TimeCondition"] = THOST_FTDC_TC_IOC
ctp_req["VolumeCondition"] = THOST_FTDC_VC_AV
elif req.type == OrderType.FOK:
ctp_req["OrderPriceType"] = THOST_FTDC_OPT_LimitPrice
ctp_req["TimeCondition"] = THOST_FTDC_TC_IOC
ctp_req["VolumeCondition"] = THOST_FTDC_VC_CV
self.reqid += 1
self.reqOrderInsert(ctp_req, self.reqid)
order_id = f"{self.frontid}_{self.sessionid}_{self.order_ref}"
order = req._create_order_data(order_id, self.gateway_name)
self.on_event(type=EVENT_ORDER, data=order)
return order.local_order_id
def update_order_request(self, req: OrderRequest, local_order_id: str):
""""""
gateway_name, orderid = local_order_id.split(".")
order = req.create_order_data(orderid, gateway_name)
self.update_order(order)
