def crossLimitOrder(self):
"""基于最新数据撮合限价单"""
# 先确定会撮合成交的价格
if self.mode == self.BAR_MODE:
buyCrossPrice = self.bar.low # 若买入方向限价单价格高于该价格，则会成交
sellCrossPrice = self.bar.high # 若卖出方向限价单价格低于该价格，则会成交
buyBestCrossPrice = self.bar.open # 在当前时间点前发出的买入委托可能的最优成交价
sellBestCrossPrice = self.bar.open # 在当前时间点前发出的卖出委托可能的最优成交价
else:
buyCrossPrice = self.tick.askPrice1
sellCrossPrice = self.tick.bidPrice1
buyBestCrossPrice = self.tick.askPrice1
sellBestCrossPrice = self.tick.bidPrice1
# 遍历限价单字典中的所有限价单
for orderID, order in list(self.workingLimitOrderDict.items()):
# 推送委托进入队列（未成交）的状态更新
if not order.status:
order.status = STATUS_NOTTRADED
self.strategy.onOrder(order)
# 判断是否会成交
buyCross = (order.direction == DIRECTION_LONG
and order.price >= buyCrossPrice and buyCrossPrice > 0
) # 国内的tick行情在涨停时askPrice1为0，此时买无法成交
sellCross = (order.direction == DIRECTION_SHORT
and order.price <= sellCrossPrice
and sellCrossPrice > 0
) # 国内的tick行情在跌停时bidPrice1为0，此时卖无法成交
# 如果发生了成交
if buyCross or sellCross:
# 推送成交数据
self.tradeCount += 1 # 成交编号自增1
tradeID = str(self.tradeCount)
trade = VtTradeData()
trade.vtSymbol = order.vtSymbol
trade.tradeID = tradeID
trade.vtTradeID = tradeID
trade.orderID = order.orderID
trade.vtOrderID = order.orderID
trade.direction = order.direction
trade.offset = order.offset
# 以买入为例：
# 1. 假设当根K线的OHLC分别为：100, 125, 90, 110
# 2. 假设在上一根K线结束(也是当前K线开始)的时刻，策略发出的委托为限价105
# 3. 则在实际中的成交价会是100而不是105，因为委托发出时市场的最优价格是100
if buyCross:
trade.price = min(order.price, buyBestCrossPrice)
self.strategy.pos += order.totalVolume
else:
trade.price = max(order.price, sellBestCrossPrice)
self.strategy.pos -= order.totalVolume
trade.volume = order.totalVolume
trade.tradeTime = self.dt.strftime('%H:%M:%S')
trade.dt = self.dt
self.strategy.onTrade(trade)
self.tradeDict[tradeID] = trade
# 推送委托数据
order.tradedVolume = order.totalVolume
order.status = STATUS_ALLTRADED
self.strategy.onOrder(order)
# 从字典中删除该限价单
del self.workingLimitOrderDict[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 crossLimitOrder(self):
"""基于最新数据撮合限价单"""
# 先确定会撮合成交的价格
if self.mode == self.BAR_MODE:
buyCrossPrice = self.bar.low # 若买入方向限价单价格高于该价格，则会成交
sellCrossPrice = self.bar.high # 若卖出方向限价单价格低于该价格，则会成交
buyBestCrossPrice = self.bar.open # 在当前时间点前发出的买入委托可能的最优成交价
sellBestCrossPrice = self.bar.open # 在当前时间点前发出的卖出委托可能的最优成交价
else:
buyCrossPrice = self.tick.askPrice1
sellCrossPrice = self.tick.bidPrice1
buyBestCrossPrice = self.tick.askPrice1
sellBestCrossPrice = self.tick.bidPrice1
# 遍历限价单字典中的所有限价单
for orderID, order in self.workingLimitOrderDict.items():
# 推送委托进入队列（未成交）的状态更新
if not order.status:
order.status = STATUS_NOTTRADED
self.strategy.onOrder(order)
# 判断是否会成交
buyCross = (order.direction==DIRECTION_LONG and
order.price>=buyCrossPrice and
buyCrossPrice > 0) # 国内的tick行情在涨停时askPrice1为0，此时买无法成交
sellCross = (order.direction==DIRECTION_SHORT and
order.price<=sellCrossPrice and
sellCrossPrice > 0) # 国内的tick行情在跌停时bidPrice1为0，此时卖无法成交
# 如果发生了成交
if buyCross or sellCross:
# 推送成交数据
self.tradeCount += 1 # 成交编号自增1
tradeID = str(self.tradeCount)
trade = VtTradeData()
trade.vtSymbol = order.vtSymbol
trade.tradeID = tradeID
trade.vtTradeID = tradeID
trade.orderID = order.orderID
trade.vtOrderID = order.orderID
trade.direction = order.direction
trade.offset = order.offset
# 以买入为例：
# 1. 假设当根K线的OHLC分别为：100, 125, 90, 110
# 2. 假设在上一根K线结束(也是当前K线开始)的时刻，策略发出的委托为限价105
# 3. 则在实际中的成交价会是100而不是105，因为委托发出时市场的最优价格是100
if buyCross:
trade.price = min(order.price, buyBestCrossPrice)
self.strategy.pos += order.totalVolume
else:
trade.price = max(order.price, sellBestCrossPrice)
self.strategy.pos -= order.totalVolume
trade.volume = order.totalVolume
trade.tradeTime = self.dt.strftime('%H:%M:%S')
trade.dt = self.dt
self.strategy.onTrade(trade)
self.tradeDict[tradeID] = trade
# 推送委托数据
order.tradedVolume = order.totalVolume
order.status = STATUS_ALLTRADED
self.strategy.onOrder(order)
# 从字典中删除该限价单
if orderID in self.workingLimitOrderDict:
del self.workingLimitOrderDict[orderID]
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)
def crossLimitOrder(self):
"""基于最新数据撮合限价单
A limit order is an order placed with a brokerage to execute a buy or
sell transaction at a set number of shares and at a specified limit
price or better. It is a take-profit order placed with a bank or
brokerage to buy or sell a set amount of a financial instrument at a
specified price or better; because a limit order is not a market order,
it may not be executed if the price set by the investor cannot be met
during the period of time in which the order is left open.
"""
# 先确定会撮合成交的价格
if self.mode == self.BAR_MODE:
buyCrossPrice = self.bar.low # 若买入方向限价单价格高于该价格，则会成交
sellCrossPrice = self.bar.high # 若卖出方向限价单价格低于该价格，则会成交
buyBestCrossPrice = self.bestBarCrossPrice(
self.bar) # 在当前时间点前发出的买入委托可能的最优成交价
sellBestCrossPrice = self.bestBarCrossPrice(
self.bar) # 在当前时间点前发出的卖出委托可能的最优成交价
else:
buyCrossPrice = self.tick.askPrice1
sellCrossPrice = self.tick.bidPrice1
buyBestCrossPrice = self.tick.askPrice1
sellBestCrossPrice = self.tick.bidPrice1
# 遍历限价单字典中的所有限价单
for orderID, order in self.workingLimitOrderDict.items():
# 推送委托进入队列（未成交）的状态更新
if not order.status:
order.status = STATUS_NOTTRADED
self.strategy.onOrder(order)
# 判断是否会成交
buyCross = (order.direction == DIRECTION_LONG
and order.price >= buyCrossPrice and buyCrossPrice > 0
) # 国内的tick行情在涨停时askPrice1为0，此时买无法成交
sellCross = (order.direction == DIRECTION_SHORT
and order.price <= sellCrossPrice
and sellCrossPrice > 0
) # 国内的tick行情在跌停时bidPrice1为0，此时卖无法成交
# 如果发生了成交
if buyCross or sellCross:
# 推送成交数据
self.tradeCount += 1 # 成交编号自增1
tradeID = str(self.tradeCount)
trade = VtTradeData()
trade.vtSymbol = order.vtSymbol
trade.tradeID = tradeID
trade.vtTradeID = tradeID
trade.orderID = order.orderID
trade.vtOrderID = order.orderID
trade.direction = order.direction
trade.offset = order.offset
# 以买入为例：
# 1. 假设当根K线的OHLC分别为：100, 125, 90, 110
# 2. 假设在上一根K线结束(也是当前K线开始)的时刻，策略发出的委托为限价105
# 3. 则在实际中的成交价会是100而不是105，因为委托发出时市场的最优价格是100
if buyCross:
trade.price = min(order.price, buyBestCrossPrice)
self.strategy.pos += order.totalVolume
else:
trade.price = max(order.price, sellBestCrossPrice)
self.strategy.pos -= order.totalVolume
trade.volume = order.totalVolume
trade.tradeTime = self.dt.strftime('%H:%M:%S')
trade.dt = self.dt
self.strategy.onTrade(trade)
self.tradeDict[tradeID] = trade
# 推送委托数据
order.tradedVolume = order.totalVolume
order.status = STATUS_ALLTRADED
self.strategy.onOrder(order)
# 从字典中删除该限价单
if orderID in self.workingLimitOrderDict:
del self.workingLimitOrderDict[orderID]
def crossLimitOrder(self):
"""基于最新数据撮合限价单"""
# 先确定会撮合成交的价格
if self.mode == self.BAR_MODE:
buyCrossPrice = self.bar.low # 若买入方向限价单价格高于该价格，则会成交
sellCrossPrice = self.bar.high # 若卖出方向限价单价格低于该价格，则会成交
buyBestCrossPrice = self.bar.open # 在当前时间点前发出的买入委托可能的最优成交价
sellBestCrossPrice = self.bar.open # 在当前时间点前发出的卖出委托可能的最优成交价
else:
buyCrossPrice = self.tick.askPrice1
sellCrossPrice = self.tick.bidPrice1
buyBestCrossPrice = self.tick.askPrice1
sellBestCrossPrice = self.tick.bidPrice1
# 遍历限价单字典中的所有限价单
for orderID, order in self.workingLimitOrderDict.items():
# 判断是否会成交
buyCross = (order.direction == DIRECTION_LONG
and order.price >= buyCrossPrice and buyCrossPrice > 0
) # 国内的tick行情在涨停时askPrice1为0，此时买无法成交
sellCross = (order.direction == DIRECTION_SHORT
and order.price <= sellCrossPrice
and sellCrossPrice > 0
) # 国内的tick行情在跌停时bidPrice1为0，此时卖无法成交
# 如果发生了成交
if buyCross or sellCross:
# 推送成交数据
self.tradeCount += 1 # 成交编号自增1
tradeID = str(self.tradeCount)
trade = VtTradeData()
trade.vtSymbol = order.vtSymbol
trade.tradeID = tradeID
trade.vtTradeID = tradeID
trade.orderID = order.orderID
trade.vtOrderID = order.orderID
trade.direction = order.direction
trade.offset = order.offset
# print(order.totalVolume)
# 以买入为例：
# 1. 假设当根K线的OHLC分别为：100, 125, 90, 110
# 2. 假设在上一根K线结束(也是当前K线开始)的时刻，策略发出的委托为限价105
# 3. 则在实际中的成交价会是100而不是105，因为委托发出时市场的最优价格是100
if buyCross:
trade.price = min(order.price, buyBestCrossPrice)
# print("{0},{1}".format(order.price, buyBestCrossPrice))
if self.strategy.pos == 0: # 做多
order.totalVolume = self.strategy.initCapital / trade.price
self.strategy.pos += self.strategy.initCapital / trade.price
self.strategy.initCapital = 0
# print(order.totalVolume)
else: # 平空
result = TradingResult(self.strategy.last_entry_price,
None, trade.price, None,
-order.totalVolume, self.rate,
0.0, self.size)
self.strategy.pos += order.totalVolume
self.strategy.initCapital = order.totalVolume * self.strategy.last_entry_price + result.pnl
# print("{0},{1}".format(order.totalVolume, order.price))
else:
trade.price = max(order.price, sellBestCrossPrice)
# print("{0},{1}".format(order.price, sellBestCrossPrice))
if self.strategy.pos == 0: # 做空
order.totalVolume = self.strategy.initCapital / trade.price
self.strategy.pos -= self.strategy.initCapital / trade.price
self.strategy.initCapital = 0
else: # 平多
result = TradingResult(self.strategy.last_entry_price,
None, trade.price, None,
+order.totalVolume, self.rate,
0.0, self.size)
self.strategy.pos -= order.totalVolume
self.strategy.initCapital = order.totalVolume * self.strategy.last_entry_price + result.pnl
# print("{0},{1}".format(order.totalVolume, order.price))
# print(self.strategy.pos)
self.strategy.last_entry_price = trade.price
trade.volume = order.totalVolume
trade.tradeTime = str(self.dt)
trade.dt = self.dt
self.strategy.onTrade(trade)
self.tradeDict[tradeID] = trade
# print(u'{0},{1},{2},{3},{4}'.format(order.orderTime ,order.price, order.totalVolume, order.offset, order.direction))
# 推送委托数据
order.tradedVolume = order.totalVolume
order.status = STATUS_ALLTRADED
self.strategy.onOrder(order)
# 从字典中删除该限价单
del self.workingLimitOrderDict[orderID]
