def market_close(self, event: Event, account: AbstractAccount,
data_portal: DataPortal):
account.cancel_all_open_orders()
for code in account.positions.keys():
sell_order = MKTOrder(code, OrderDirection.SELL,
account.positions[code], event.visible_time)
account.place_order(sell_order)
def order_status_change(self, order: Order, account: AbstractAccount):
if order.status != OrderStatus.FILLED:
return
current_time = order.filled_end_time
if current_time >= (
self.scope.trading_calendar.next_close(current_time) -
Timedelta(minutes=1)):
# 收盘前一分钟不下单
return
# 取消当前所有的订单
account.cancel_all_open_orders()
# 挂上下两个网格的交易订单
k = round((order.filled_avg_price - self.base_price) /
self.base_price / self.p)
hold_quantity = 0 if self.code not in account.positions else account.positions[
self.code]
# 上一个格子的卖单
if (k + 1) <= self.n:
up_percentage = 0.5 - (k + 1) * (0.5 / self.n)
up_price = self.base_price + self.base_price * self.p * (k + 1)
up_net_val = hold_quantity * up_price + account.cash
dest_quantity = int(up_net_val * up_percentage / up_price)
sell_order = LimitOrder(self.code, OrderDirection.SELL,
hold_quantity - dest_quantity,
current_time, up_price)
account.place_order(sell_order)
# 下一个格子的买单
if (k - 1) >= -self.n:
down_percentage = 0.5 - (k - 1) * (0.5 / self.n)
down_price = self.base_price + self.base_price * self.p * (k - 1)
down_net_val = hold_quantity * down_price + account.cash
dest_quantity = int(down_net_val * down_percentage / down_price)
buy_order = LimitOrder(self.code, OrderDirection.BUY,
dest_quantity - hold_quantity, current_time,
down_price)
account.place_order(buy_order)