def _force_close(self):
""" 在回测的最后一根k线以close价格强平持仓位。 """
force_trans = []
if self._all_transactions:
price_type = self._all_transactions[-1].price_type
else:
price_type = PriceType.LMT
for pos in self.positions.values():
order = Order(
self._datetime,
pos.contract,
price_type,
TradeSide.PING,
pos.direction,
self._bars[pos.contract].close,
pos.quantity
)
force_trans.append(Transaction(order))
for trans in force_trans:
self._update_holding(trans)
self._update_positions(trans)
if force_trans:
self.update_status(trans.datetime, False, False)
self.positions = {}
return
def sell(self, direction, price, quantity, price_type, contract):
self._orders.append(Order(
None,
contract,
price_type,
TradeSide.PING,
direction,
float(price),
quantity
))
def buy(self, direction, price, quantity, price_type='LMT', contract=None):
""" 开仓。
:param str/int direction: 下单方向。多头 - 'long' / 1 ；空头 - 'short' / 2
:param float price: 价格。
:param int quantity: 数量。
:param str/int price_type: 下单价格类型。限价单 - 'lmt' / 1；市价单 - 'mkt' / 2
"""
contract = None
con = Contract(contract) if contract else self._main_contract
self._orders.append(
Order(self.datetime, con,
PriceType.arg_to_type(price_type), TradeSide.KAI,
Direction.arg_to_type(direction), float(price), quantity))
def sell(self, price, quantity, symbol=None):
""" 平多仓。
Args:
price (float): 价格, 0表市价。
quantity (int): 数量。
symbol (str): 合约
"""
if not self.on_bar:
raise Exception('只有on_bar函数内能下单！')
if symbol:
contract = Contract(symbol) if isinstance(symbol, str) else symbol
else:
contract = self.contract
price_type = PriceType.MKT if price == 0 else PriceType.LMT
self._orders.append(
Order(None, contract, price_type, TradeSide.CLOSE, Direction.LONG,
float(price), quantity))
def cover(self, price, quantity, price_type, contract):
self._exit_orders.append(
Order(None, contract, price_type, TradeSide.PING, Direction.SHORT,
float(price), quantity))
def short(self, price, quantity, price_type, contract):
self._entry_orders.append(
Order(None, contract, price_type, TradeSide.KAI, Direction.SHORT,
float(price), quantity))
def buy(self, price, quantity, price_type, contract):
self._orders.append(
Order(None, contract, price_type, TradeSide.KAI, Direction.LONG,
float(price), quantity))
