def on_match(self):
"""交易撮合"""
self.write_log("{}：交易市场已开启".format(self.market_name))
try:
# 行情连接
self.hq_client.connect_api()
# 加载数据
self.load_data()
while self._active:
# 交易时间检验
if not self.time_verification():
continue
if not self.orders_book:
continue
# 复制交易簿
orders = copy.copy(self.orders_book)
for order_id, order in orders.items():
sleep(1)
# 订单撮合
if self.on_orders_match(order):
del self.orders_book[order_id]
except Exception as e:
event = Event(EVENT_ERROR, traceback.format_exc())
self.event_engine.put(event)
def write_log(self, msg: str, level: int = logging.INFO):
""""""
log = LogData(
log_content=msg,
log_level=level
)
event = Event(EVENT_LOG, log)
self.event_engine.put(event)
def on_match(self, db):
"""交易撮合"""
self.db = db
self.write_log("{}：交易市场已开启".format(self.market_name))
try:
if self.match_mode == EngineMode.REALTIME.value:
self.on_realtime_match()
else:
self.on_simulation_match()
except Exception as e:
event = Event(EVENT_ERROR, traceback.format_exc())
self.event_engine.put(event)
def on_close(self):
"""模拟交易市场关闭"""
# 关闭市场撮合
self._active = False
# 模拟交易结束，拒绝所有未成交的订单
self.on_refused_all()
# 清算
self.liquidation()
# 关闭行情接口
self.hq_client.close()
# 推送关闭事件
event = Event(EVENT_MARKET_CLOSE, self.market_name)
self.event_engine.put(event)
def on_match(self):
"""交易撮合"""
self.write_log("{}：交易市场已开启".format(self.market_name))
try:
while self._active:
if self.orders_queue.empty():
continue
order = self.orders_queue.get(block=True)
# 订单成交
# 回测使用委托价格作为成交价格
order.trade_price = order.order_price
self.on_order_deal(order)
except Exception as e:
event = Event(EVENT_ERROR, traceback.format_exc())
self.event_engine.put(event)
def on_close(self):
"""模拟交易市场关闭"""
# 阻止接收新订单
SETTINGS["MARKET_NAME"] = ""
# 关闭市场撮合
self._active = False
# 模拟交易结束，拒绝所有未成交的订单
self.on_orders_book_rejected_all()
# 清算
self.liquidation()
# 关闭行情接口
self.hq_client.close()
# 推送关闭事件
event = Event(EVENT_MARKET_CLOSE, self.market_name)
self.event_engine.put(event)
def __make_event(self, event_name, data):
"""制造事件"""
if self.__pst_active:
new_data = copy.deepcopy(data)
event = Event(event_name, new_data)
self.event_engine.put(event)