def cross_stop_order(self):
"""
Cross stop order with last bar/tick data.
"""
if self.mode == BacktestingMode.BAR:
long_cross_price = self.bar.high_price
short_cross_price = self.bar.low_price
long_best_price = self.bar.open_price
short_best_price = self.bar.open_price
else:
long_cross_price = self.tick.last_price
short_cross_price = self.tick.last_price
long_best_price = long_cross_price
short_best_price = short_cross_price
for stop_order in list(self.active_stop_orders.values()):
strategy = self.orderStrategyDict[stop_order.stop_orderid]
# Check whether stop order can be triggered.
long_cross = (stop_order.direction == Direction.LONG
and stop_order.price <= long_cross_price)
short_cross = (stop_order.direction == Direction.SHORT
and stop_order.price >= short_cross_price)
if not long_cross and not short_cross:
continue
# Create order data.
self.limit_order_count += 1
order = OrderData(
symbol=self.symbol,
exchange=self.exchange,
orderid=str(self.limit_order_count),
direction=stop_order.direction,
offset=stop_order.offset,
price=stop_order.price,
volume=stop_order.volume,
status=Status.ALLTRADED,
gateway_name=self.gateway_name,
)
order.datetime = self.datetime
self.limit_orders[order.vt_orderid] = order
# Create trade data.
if long_cross:
trade_price = max(stop_order.price, long_best_price)
pos_change = order.volume
else:
trade_price = min(stop_order.price, short_best_price)
pos_change = -order.volume
self.trade_count += 1
trade = TradeData(
symbol=order.symbol,
exchange=order.exchange,
orderid=order.orderid,
tradeid=str(self.trade_count),
direction=order.direction,
offset=order.offset,
price=trade_price,
volume=order.volume,
time=self.datetime.strftime("%H:%M:%S"),
gateway_name=self.gateway_name,
)
trade.datetime = self.datetime
#add trade strategy name, 以便于区别多策略混合效果
trade.name = strategy.strategy_name
self.trades[trade.vt_tradeid] = trade
# Update stop order.
stop_order.vt_orderids.append(order.vt_orderid)
stop_order.status = StopOrderStatus.TRIGGERED
if stop_order.stop_orderid in self.active_stop_orders:
self.active_stop_orders.pop(stop_order.stop_orderid)
# Push update to strategy.
strategy.on_stop_order(stop_order)
strategy.on_order(order)
strategy.pos += pos_change
strategy.on_trade(trade)
def cross_limit_order(self):
"""
Cross limit order with last bar/tick data.
"""
if self.mode == BacktestingMode.BAR:
long_cross_price = self.bar.low_price
short_cross_price = self.bar.high_price
long_best_price = self.bar.open_price
short_best_price = self.bar.open_price
else:
long_cross_price = self.tick.ask_price_1
short_cross_price = self.tick.bid_price_1
long_best_price = long_cross_price
short_best_price = short_cross_price
for order in list(self.active_limit_orders.values()):
#增加多策略测试
strategy = self.orderStrategyDict[order.vt_orderid]
# Push order update with status "not traded" (pending).
if order.status == Status.SUBMITTING:
order.status = Status.NOTTRADED
strategy.on_order(order)
# Check whether limit orders can be filled.
long_cross = (order.direction == Direction.LONG
and order.price >= long_cross_price
and long_cross_price > 0)
short_cross = (order.direction == Direction.SHORT
and order.price <= short_cross_price
and short_cross_price > 0)
if not long_cross and not short_cross:
continue
# Push order udpate with status "all traded" (filled).
order.traded = order.volume
order.status = Status.ALLTRADED
strategy.on_order(order)
self.active_limit_orders.pop(order.vt_orderid)
# Push trade update
self.trade_count += 1
if long_cross:
trade_price = min(order.price, long_best_price)
pos_change = order.volume
else:
trade_price = max(order.price, short_best_price)
pos_change = -order.volume
trade = TradeData(
symbol=order.symbol,
exchange=order.exchange,
orderid=order.orderid,
tradeid=str(self.trade_count),
direction=order.direction,
offset=order.offset,
price=trade_price,
volume=order.volume,
time=self.datetime.strftime("%H:%M:%S"),
gateway_name=self.gateway_name,
)
trade.datetime = self.datetime
#add trade strategy name, 以便于区别多策略混合效果
trade.name = strategy.strategy_name
strategy.pos += pos_change
strategy.on_trade(trade)
self.trades[trade.vt_tradeid] = trade
