def __OnRtnTrade(self, f):
""""""
tf = TradeField()
tf.Direction = DirectType.Buy if f.getDirection(
) == DirectionType.Buy else DirectType.Sell
tf.ExchangeID = f.getExchangeID()
tf.InstrumentID = f.getInstrumentID()
tf.Offset = OffsetType.Open if f.getOffsetFlag(
) == OffsetFlagType.Open else OffsetType.Close if f.getOffsetFlag(
) == OffsetFlagType.Close else OffsetType.CloseToday
tf.Price = f.getPrice()
tf.SysID = f.getOrderSysID()
tf.TradeID = f.getTradeID()
tf.TradeTime = f.getTradeTime()
tf.TradingDay = f.getTradingDay()
tf.Volume = f.getVolume()
self.DicTradeField[tf.TradeID] = tf
id = self.__dic_orderid_sysid[tf.SysID]
of = self.DicOrderField[id]
tf.OrderID = id # tradeid 与 orderid 关联
of.TradeTime = tf.TradeTime
# of.AvgPrice = (of.AvgPrice * (of.Volume - of.VolumeLeft) + pTrade.Price * pTrade.Volume) / (of.Volume - of.VolumeLeft + pTrade.Volume);
of.AvgPrice = (of.AvgPrice *
(of.Volume - of.VolumeLeft) + tf.Price * tf.Volume) / (
of.Volume - of.VolumeLeft + tf.Volume)
of.TradeVolume = tf.Volume
of.VolumeLeft -= tf.Volume
if of.VolumeLeft == 0:
of.Status = OrderStatus.Filled
of.StatusMsg = '全部成交'
else:
of.Status = OrderStatus.Partial
of.StatusMsg = '部分成交'
# 更新持仓 *****
if tf.Offset == OffsetType.Open:
key = '{0}_{1}'.format(tf.InstrumentID, tf.Direction)
pf = self.DicPositionField.get(key)
if not pf:
pf = PositionField()
self.DicPositionField[key] = pf
pf.InstrumentID = tf.InstrumentID
pf.Direction = tf.Direction
pf.Price = (pf.Price * pf.Position +
tf.Price * tf.Volume) / (pf.Position + tf.Volume)
pf.TdPosition += tf.Volume
pf.Position += tf.Volume
else:
key = '{0}_{1}'.format(
tf.InstrumentID, DirectType.Sell
if tf.Direction == DirectType.Buy else DirectType.Buy)
pf = self.DicPositionField.get(key)
if pf: # 有可能出现无持仓的情况
if tf.Offset == OffsetType.CloseToday:
pf.TdPosition -= tf.Volume
else:
tdclose = min(pf.TdPosition, tf.Volume)
if pf.TdPosition > 0:
pf.TdPosition -= tdclose
pf.YdPosition -= max(0, tf.Volume - tdclose)
pf.Position -= tf.Volume
_thread.start_new_thread(self.__onRtn, (of, tf))
def OnTrade(self, trade=TradeField()):
"""成交响应"""
print('成交反应')
print('strategy trade')
print(trade)
def OnTrade(self, trade=TradeField()):
"""成交响应"""
pass