def sendOrder(self, vtSymbol, orderType, price, volume, strategy): """发单""" self.limitOrderCount += 1 orderID = str(self.limitOrderCount) order = VtOrderData() order.vtSymbol = vtSymbol order.price = self.roundToPriceTick(price) order.totalVolume = volume order.status = STATUS_NOTTRADED # 刚提交尚未成交 order.orderID = orderID order.vtOrderID = orderID order.orderTime = str(self.dt) # CTA委托类型映射 if orderType == CTAORDER_BUY: order.direction = DIRECTION_LONG order.offset = OFFSET_OPEN elif orderType == CTAORDER_SELL: order.direction = DIRECTION_SHORT order.offset = OFFSET_CLOSE elif orderType == CTAORDER_SHORT: order.direction = DIRECTION_SHORT order.offset = OFFSET_OPEN elif orderType == CTAORDER_COVER: order.direction = DIRECTION_LONG order.offset = OFFSET_CLOSE # 保存到限价单字典中 self.workingLimitOrderDict[orderID] = order self.limitOrderDict[orderID] = order return orderID
def sendOrder(self, vtSymbol, orderType, price, volume, strategy): """发单""" self.limitOrderCount += 1 orderID = str(self.limitOrderCount) order = VtOrderData() order.vtSymbol = vtSymbol order.price = self.roundToPriceTick(price) order.totalVolume = volume order.status = STATUS_NOTTRADED # 刚提交尚未成交 order.orderID = orderID order.vtOrderID = orderID order.orderTime = str(self.dt) # CTA委托类型映射 if orderType == CTAORDER_BUY: order.direction = DIRECTION_LONG order.offset = OFFSET_OPEN elif orderType == CTAORDER_SELL: order.direction = DIRECTION_SHORT order.offset = OFFSET_CLOSE elif orderType == CTAORDER_SHORT: order.direction = DIRECTION_SHORT order.offset = OFFSET_OPEN elif orderType == CTAORDER_COVER: order.direction = DIRECTION_LONG order.offset = OFFSET_CLOSE # 保存到限价单字典中 self.workingLimitOrderDict[orderID] = order self.limitOrderDict[orderID] = order return orderID
def crossStopOrder(self): """基于最新数据撮合停止单""" # 先确定会撮合成交的价格,这里和限价单规则相反 if self.mode == self.BAR_MODE: buyCrossPrice = self.bar.high # 若买入方向停止单价格低于该价格,则会成交 sellCrossPrice = self.bar.low # 若卖出方向限价单价格高于该价格,则会成交 bestCrossPrice = self.bar.open # 最优成交价,买入停止单不能低于,卖出停止单不能高于 else: buyCrossPrice = self.tick.lastPrice sellCrossPrice = self.tick.lastPrice bestCrossPrice = self.tick.lastPrice # 遍历停止单字典中的所有停止单 for stopOrderID, so in list(self.workingStopOrderDict.items()): # 判断是否会成交 buyCross = so.direction == DIRECTION_LONG and so.price <= buyCrossPrice sellCross = so.direction == DIRECTION_SHORT and so.price >= sellCrossPrice # 如果发生了成交 if buyCross or sellCross: # 更新停止单状态,并从字典中删除该停止单 so.status = STOPORDER_TRIGGERED if stopOrderID in self.workingStopOrderDict: del self.workingStopOrderDict[stopOrderID] # 推送成交数据 self.tradeCount += 1 # 成交编号自增1 tradeID = str(self.tradeCount) trade = VtTradeData() trade.vtSymbol = so.vtSymbol trade.tradeID = tradeID trade.vtTradeID = tradeID if buyCross: self.strategy.pos += so.volume trade.price = max(bestCrossPrice, so.price) else: self.strategy.pos -= so.volume trade.price = min(bestCrossPrice, so.price) self.limitOrderCount += 1 orderID = str(self.limitOrderCount) trade.orderID = orderID trade.vtOrderID = orderID trade.direction = so.direction trade.offset = so.offset trade.volume = so.volume trade.tradeTime = self.dt.strftime('%H:%M:%S') trade.dt = self.dt self.tradeDict[tradeID] = trade # 推送委托数据 order = VtOrderData() order.vtSymbol = so.vtSymbol order.symbol = so.vtSymbol order.orderID = orderID order.vtOrderID = orderID order.direction = so.direction order.offset = so.offset order.price = so.price order.totalVolume = so.volume order.tradedVolume = so.volume order.status = STATUS_ALLTRADED order.orderTime = trade.tradeTime self.limitOrderDict[orderID] = order # 按照顺序推送数据 self.strategy.onStopOrder(so) self.strategy.onOrder(order) self.strategy.onTrade(trade)
def crossStopOrder(self): """基于最新数据撮合停止单""" # 先确定会撮合成交的价格,这里和限价单规则相反 if self.mode == self.BAR_MODE: buyCrossPrice = self.bar.high # 若买入方向停止单价格低于该价格,则会成交 sellCrossPrice = self.bar.low # 若卖出方向限价单价格高于该价格,则会成交 bestCrossPrice = self.bar.open # 最优成交价,买入停止单不能低于,卖出停止单不能高于 else: buyCrossPrice = self.tick.lastPrice sellCrossPrice = self.tick.lastPrice bestCrossPrice = self.tick.lastPrice # 遍历停止单字典中的所有停止单 for stopOrderID, so in self.workingStopOrderDict.items(): # 判断是否会成交 buyCross = so.direction==DIRECTION_LONG and so.price<=buyCrossPrice sellCross = so.direction==DIRECTION_SHORT and so.price>=sellCrossPrice # 如果发生了成交 if buyCross or sellCross: # 更新停止单状态,并从字典中删除该停止单 so.status = STOPORDER_TRIGGERED if stopOrderID in self.workingStopOrderDict: del self.workingStopOrderDict[stopOrderID] # 推送成交数据 self.tradeCount += 1 # 成交编号自增1 tradeID = str(self.tradeCount) trade = VtTradeData() trade.vtSymbol = so.vtSymbol trade.tradeID = tradeID trade.vtTradeID = tradeID if buyCross: self.strategy.pos += so.volume trade.price = max(bestCrossPrice, so.price) else: self.strategy.pos -= so.volume trade.price = min(bestCrossPrice, so.price) self.limitOrderCount += 1 orderID = str(self.limitOrderCount) trade.orderID = orderID trade.vtOrderID = orderID trade.direction = so.direction trade.offset = so.offset trade.volume = so.volume trade.tradeTime = self.dt.strftime('%H:%M:%S') trade.dt = self.dt self.tradeDict[tradeID] = trade # 推送委托数据 order = VtOrderData() order.vtSymbol = so.vtSymbol order.symbol = so.vtSymbol order.orderID = orderID order.vtOrderID = orderID order.direction = so.direction order.offset = so.offset order.price = so.price order.totalVolume = so.volume order.tradedVolume = so.volume order.status = STATUS_ALLTRADED order.orderTime = trade.tradeTime self.limitOrderDict[orderID] = order # 按照顺序推送数据 self.strategy.onStopOrder(so) self.strategy.onOrder(order) self.strategy.onTrade(trade)
def crossStopOrder(self): """基于最新数据撮合停止单 A stop order is an order to buy or sell a security when its price moves past a particular point, ensuring a higher probability of achieving a predetermined entry or exit price, limiting the investor's loss or locking in a profit. Once the price crosses the predefined entry/exit point, the stop order becomes a market order. """ # 先确定会撮合成交的价格,这里和限价单规则相反 if self.mode == self.BAR_MODE: buyCrossPrice = self.bar.high # 若买入方向停止单价格低于该价格,则会成交 sellCrossPrice = self.bar.low # 若卖出方向限价单价格高于该价格,则会成交 bestCrossPrice = self.bestBarCrossPrice( self.bar) # 最优成交价,买入停止单不能低于,卖出停止单不能高于 maxVolumeCross = self.bar.volume else: buyCrossPrice = self.tick.lastPrice sellCrossPrice = self.tick.lastPrice bestCrossPrice = self.tick.lastPrice topVolumeCross = self.tick.volume # 遍历停止单字典中的所有停止单 for stopOrderID, so in self.workingStopOrderDict.items(): # 判断是否会成交 buyCross = (so.direction == DIRECTION_LONG) and so.price <= buyCrossPrice sellCross = (so.direction == DIRECTION_SHORT) and so.price >= sellCrossPrice # 忽略未发生成交 if not buyCross and not sellCross: # and (so.volume < maxVolumeCross): continue # 更新停止单状态,并从字典中删除该停止单 so.status = STOPORDER_TRIGGERED if stopOrderID in self.workingStopOrderDict: del self.workingStopOrderDict[stopOrderID] # 推送成交数据 self.tradeCount += 1 # 成交编号自增1 tradeID = str(self.tradeCount) trade = VtTradeData() trade.vtSymbol = so.vtSymbol trade.tradeID = tradeID trade.vtTradeID = tradeID if buyCross: self.strategy.pos += so.volume trade.price = max(bestCrossPrice, so.price) else: self.strategy.pos -= so.volume trade.price = min(bestCrossPrice, so.price) self.limitOrderCount += 1 orderID = str(self.limitOrderCount) trade.orderID = orderID trade.vtOrderID = orderID trade.direction = so.direction trade.offset = so.offset trade.volume = so.volume trade.tradeTime = self.dt.strftime('%H:%M:%S') trade.dt = self.dt self.tradeDict[tradeID] = trade # 推送委托数据 order = VtOrderData() order.vtSymbol = so.vtSymbol order.symbol = so.vtSymbol order.orderID = orderID order.vtOrderID = orderID order.direction = so.direction order.offset = so.offset order.price = so.price order.totalVolume = so.volume order.tradedVolume = so.volume order.status = STATUS_ALLTRADED order.orderTime = trade.tradeTime self.limitOrderDict[orderID] = order # 按照顺序推送数据 self.strategy.onStopOrder(so) self.strategy.onOrder(order) self.strategy.onTrade(trade)