def cross_algo(self):
"""
Cross limit order with last bar/tick data.
"""
if self.mode == BacktestingMode.BAR:
long_cross_price = self.bar.close_price
short_cross_price = self.bar.close_price
else:
long_cross_price = self.tick.ask_price_1
short_cross_price = self.tick.bid_price_1
for algo in list(self.active_algos.values()):
# Check whether limit orders can be filled.
long_cross = (algo.direction == Direction.LONG
and algo.price >= long_cross_price)
short_cross = (algo.direction == Direction.SHORT
and algo.price <= short_cross_price)
if not long_cross and not short_cross:
continue
# Push order udpate with status "all traded" (filled).
algo.traded = algo.volume
algo.status = Status.ALLTRADED
self.strategy.update_spread_algo(algo)
self.active_algos.pop(algo.algoid)
# Push trade update
self.trade_count += 1
if long_cross:
trade_price = long_cross_price
pos_change = algo.volume
else:
trade_price = short_cross_price
pos_change = -algo.volume
trade = TradeData(
symbol=self.spread.name,
exchange=Exchange.LOCAL,
orderid=algo.algoid,
tradeid=str(self.trade_count),
direction=algo.direction,
offset=algo.offset,
price=trade_price,
volume=algo.volume,
datetime=self.datetime,
gateway_name=self.gateway_name,
)
if self.mode == BacktestingMode.BAR:
trade.value = self.bar.value
else:
trade.value = trade_price
self.spread.net_pos += pos_change
self.strategy.on_spread_pos()
self.trades[trade.vt_tradeid] = trade
