def sendOrder(self, vtSymbol, direction, offset, price, volume, payup=0):
"""发单"""
contract = self.mainEngine.getContract(vtSymbol)
if not contract:
return ''
req = VtOrderReq()
req.symbol = contract.symbol
req.exchange = contract.exchange
req.vtSymbol = contract.vtSymbol
req.direction = direction
req.offset = offset
req.volume = int(volume)
req.priceType = PRICETYPE_LIMITPRICE
if direction == DIRECTION_LONG:
req.price = price + payup * contract.priceTick
else:
req.price = price - payup * contract.priceTick
# 委托转换
reqList = self.mainEngine.convertOrderReq(req)
vtOrderIDList = []
for req in reqList:
vtOrderID = self.mainEngine.sendOrder(req, contract.gatewayName)
vtOrderIDList.append(vtOrderID)
return vtOrderIDList
def sendOrder(self, vtSymbol, direction, offset, price, volume, payup=0):
"""发单"""
contract = self.mainEngine.getContract(vtSymbol)
if not contract:
return ''
req = VtOrderReq()
req.symbol = contract.symbol
req.exchange = contract.exchange
req.vtSymbol = contract.vtSymbol
req.direction = direction
req.offset = offset
req.volume = int(volume)
req.priceType = PRICETYPE_LIMITPRICE
if direction == DIRECTION_LONG:
req.price = price + payup * contract.priceTick
else:
req.price = price - payup * contract.priceTick
# 委托转换
reqList = self.mainEngine.convertOrderReq(req)
vtOrderIDList = []
for req in reqList:
vtOrderID = self.mainEngine.sendOrder(req, contract.gatewayName)
vtOrderIDList.append(vtOrderID)
return vtOrderIDList
def onPlaceOrder(self, clientId, req):
"""委托"""
params = req['params']
s, e = params['security'].split('.')
contract = self.mainEngine.getContract(s)
if not contract:
vtOrderID = ''
error = [-1, u'委托失败，找不到合约%s' % params['security']]
else:
vor = VtOrderReq()
vor.symbol = s
vor.exchange = EXCHANGE_MAP[e]
vor.direction, vor.offset = ACTION_MAP[params['action']]
vor.price = float(params['price'])
vor.volume = int(params['size'])
vor.priceType = PRICETYPE_LIMITPRICE
vtOrderID = self.mainEngine.sendOrder(vor, contract.gatewayName)
error = [0, '']
self.server.send_rsp(clientId, req, vtOrderID, error)
self.writeLog(u'发出响应：%s' % vtOrderID)
def sendOrder(self, algo, vtSymbol, direction, price, volume,
priceType=None, offset=None):
"""发单"""
contract = self.mainEngine.getContract(vtSymbol)
if not contract:
self.writeLog(u'%s委托下单失败，找不到合约：%s' %(algo.algoName, vtSymbol))
req = VtOrderReq()
req.vtSymbol = vtSymbol
req.symbol = contract.symbol
req.exchange = contract.exchange
req.direction = direction
req.offset = OFFSET_CLOSETODAY
req.price = price
req.volume = volume
if priceType:
req.priceType = priceType
else:
req.priceType = PRICETYPE_LIMITPRICE
if offset:
req.offset = offset
else:
req.offset = OFFSET_OPEN
vtOrderID = self.mainEngine.sendOrder(req, contract.gatewayName)
self.orderAlgoDict[vtOrderID] = algo
return vtOrderID
def post(self):
"""发单"""
args = self.postParser.parse_args()
token = args['token']
if token != TOKEN:
return {'result_code':'error','message':'token error'}
print(args)
vtSymbol = args['vtSymbol']
price = args['price']
volume = args['volume']
priceType = args['priceType']
direction = args['direction']
offset = args['offset']
contract = me.getContract(vtSymbol)
if not contract:
return {'result_code':'error','message':'contract error'}
priceType_map = {'PRICETYPE_LIMITPRICE' : u'限价','PRICETYPE_MARKETPRICE' : u'市价','PRICETYPE_FAK' : u'FAK','PRICETYPE_FOK' : u'FOK'}
direction_map = {'DIRECTION_LONG' : u'多','DIRECTION_SHORT' : u'空'}
offset_map = {'OFFSET_OPEN' : u'开仓', 'OFFSET_CLOSE' : u'平仓','OFFSET_CLOSETODAY' : u'平今','OFFSET_CLOSEYESTERDAY' : u'平昨'}
req = VtOrderReq()
req.symbol = contract.symbol
req.exchange = contract.exchange
req.price = float(price)
req.volume = int(volume)
req.priceType = priceType_map[ priceType ]
req.direction = direction_map[ direction ]
req.offset = offset_map[ offset ]
vtOrderID = me.sendOrder(req, contract.gatewayName)
return {'result_code':'success','data':vtOrderID}
def create_bulk_orders(self, orders):
try:
req = VtOrderReq()
for order in orders:
req.symbol = self.symbol
if order['side'] == 'Buy':
req.direction = DIRECTION_LONG
elif order['side'] == 'Sell':
req.direction = DIRECTION_SHORT
else:
logger.error(
"Create_bulk_orders: Order direction is worng!")
req.volume = order['orderQty']
req.price = order['price']
req.priceType = PRICETYPE_LIMITPRICE
if not self.dry_run:
if req.direction == DIRECTION_LONG and self.mainengine.dataEngine.positionDict[
'eth'].position - self.mainengine.dataEngine.positionDict[
'eth'].frozen > settings.ORDER_START_SIZE * float(
self.get_ticker().bidPrice1
) or req.direction == DIRECTION_SHORT and self.mainengine.dataEngine.positionDict[
'ada'].position - self.mainengine.dataEngine.positionDict[
'ada'].frozen > settings.ORDER_START_SIZE:
self.mainengine.getGateway(GATEWAY_NAME).sendOrder(req)
else:
logger.info("no sufficent money!")
sleep(settings.API_REST_INTERVAL)
self.mm_debug()
except Exception, e:
print e
def place_order(self, orderInfo):
global order_time
try:
print orderInfo
#rs = []
req = VtOrderReq()
for order in orderInfo:
req.symbol = order['tickerPair']
if order['action'] == 'bid':
req.direction = DIRECTION_LONG
else:
req.direction = DIRECTION_SHORT
#req.direction = order['action']
req.volume = order['amount']
req.price = order['price']
req.priceType = PRICETYPE_LIMITPRICE
#if not self.mock and order_time == 0:
if not self.mock:
self.mainengine.getGateway(GATEWAY_NAME).sendOrder(req)
#if not self.mock:
# responses = self.send_request(rs)
order_time = 1
self.hasOpenOrder = True
self.openOrderCheckCount = 0
except Exception, e:
# raise
print e
def onPlaceOrder(self, clientId, req):
"""委托"""
params = req['params']
s, e = params['security'].split('.')
contract = self.mainEngine.getContract(s)
if not contract:
vtOrderID = ''
error = [-1, u'委托失败，找不到合约%s' %params['security']]
else:
vor = VtOrderReq()
vor.symbol = s
vor.exchange = EXCHANGE_MAP[e]
vor.direction, vor.offset = ACTION_MAP[params['action']]
vor.price = float(params['price'])
vor.volume = int(params['size'])
vor.priceType = PRICETYPE_LIMITPRICE
vtOrderID = self.mainEngine.sendOrder(vor, contract.gatewayName)
error = [0, '']
self.server.send_rsp(clientId, req, vtOrderID, error)
self.writeLog(u'发出响应：%s' %vtOrderID)
def fastTrade(self, symbol, direction, offset, price, volume):
"""封装下单函数"""
contract = self.mainEngine.getContract(symbol)
if not contract:
return
req = VtOrderReq()
req.symbol = symbol
req.exchange = contract.exchange
req.direction = direction
req.offset = offset
req.price = price
req.volume = volume
req.priceType = PRICETYPE_LIMITPRICE
self.mainEngine.sendOrder(req, contract.gatewayName)
def fastTrade(self, symbol, direction, offset, price, volume):
"""封装下单函数"""
contract = self.mainEngine.getContract(symbol)
if not contract:
return
req = VtOrderReq()
req.symbol = symbol
req.exchange = contract.exchange
req.direction = direction
req.offset = offset
req.price = price
req.volume = volume
req.priceType = PRICETYPE_LIMITPRICE
self.mainEngine.sendOrder(req, contract.gatewayName)
def sendOrder(self, vtSymbol, direction, offset, price, volume):
"""发单"""
contract = self.mainEngine.getContract(vtSymbol)
if not contract:
return ''
req = VtOrderReq()
req.symbol = contract.symbol
req.exchange = contract.exchange
req.vtSymbol = vtSymbol
req.price = price
req.volume = volume
req.direction = direction
req.offset = offset
req.priceType = PRICETYPE_LIMITPRICE
return self.mainEngine.sendOrder(req, contract.gatewayName)
def sendOrder(self, vtSymbol, direction, offset, price, volume):
"""发单"""
contract = self.mainEngine.getContract(vtSymbol)
if not contract:
return ''
req = VtOrderReq()
req.symbol = contract.symbol
req.exchange = contract.exchange
req.vtSymbol = vtSymbol
req.price = price
req.volume = volume
req.direction = direction
req.offset = offset
req.priceType = PRICETYPE_LIMITPRICE
return self.mainEngine.sendOrder(req, contract.gatewayName)
def sendOrder(self, algo, vtSymbol, direction, price, volume):
"""发单"""
contract = self.mainEngine.getContract(vtSymbol)
if not contract:
self.writeLog(u'%s委托下单失败，找不到合约：%s' % (algo.algoName, vtSymbol))
req = VtOrderReq()
req.vtSymbol = vtSymbol
req.symbol = contract.symbol
req.exchange = contract.exchange
req.direction = direction
req.priceType = PRICETYPE_LIMITPRICE
req.offset = OFFSET_CLOSETODAY
req.price = price
req.volume = volume
vtOrderID = self.mainEngine.sendOrder(req, contract.gatewayName)
return vtOrderID
def sendOrder(self,
algo,
vtSymbol,
direction,
price,
volume,
priceType=None,
offset=None):
"""发单"""
contract = self.mainEngine.getContract(vtSymbol)
if not contract:
self.writeLog(u'%s委托下单失败，找不到合约：%s' % (algo.algoName, vtSymbol))
vtSymbol = '.'.join([contract.symbol, contract.exchange])
req = VtOrderReq()
req.vtSymbol = vtSymbol
req.symbol = contract.symbol
req.exchange = contract.exchange
req.direction = direction
req.offset = OFFSET_CLOSETODAY
req.price = price
req.volume = volume
if priceType:
req.priceType = priceType
else:
req.priceType = PRICETYPE_LIMITPRICE
if offset:
req.offset = offset
else:
req.offset = OFFSET_OPEN
strData = 'symbol %s exchange %s price %.2f volume %d direction %s offset %s vtSymbol %s gatewayName %s'\
%(req.symbol,req.exchange,req.price,req.volume,req.direction,req.offset,req.vtSymbol,contract.gatewayName)
print 'currency productClass ', req.currency, req.productClass
# print 'sendOrder req:'
# print strData
vtOrderID = self.mainEngine.sendOrder(req, contract.gatewayName)
self.orderAlgoDict[vtOrderID] = algo
return vtOrderID
def grid_place_order(self, order_type, level):
try:
#logger.info("grid_place_order level %d, grid[level] %s" % (level, grid[level]))
if 0 <= level < GRID_LEVELS:
price = self.grid_price(level)
# logger.info("grid_place_order : level %d, price %f, direction %s" % (level, price, order_type))
if (grid[level] == "" or grid[level] == "-"):
req = VtOrderReq()
req.symbol = self.exchange.symbol
req.volume = TRANCHE_SIZE
req.price = price
req.priceType = PRICETYPE_LIMITPRICE
if order_type == 'buy' and self.exchange.mainengine.dataEngine.positionDict[
'btc'].position - self.exchange.mainengine.dataEngine.positionDict[
'btc'].frozen > TRANCHE_SIZE * self.basePrice:
req.direction = DIRECTION_LONG
id = self.exchange.place_order(req)
elif order_type == 'sell' and self.exchange.mainengine.dataEngine.positionDict[
'eth'].position - self.exchange.mainengine.dataEngine.positionDict[
'eth'].frozen > TRANCHE_SIZE:
req.direction = DIRECTION_SHORT
id = self.exchange.place_order(req)
else:
id = ""
logger.error(
"insufficent money!Create_bulk_orders: Order direction is worng!"
)
else:
logger.info("placing order on wrong level!")
#print out grid
self.grid_debug()
id = ""
else:
id = ""
except Exception, e:
id = ""
print e
def sendOrder(self,
algo,
vtSymbol,
direction,
price,
volume,
priceType=None,
offset=None):
logger.info(f"{algo.algoName}")
print(f"进入发单")
print(vtSymbol)
"""发单"""
contract = self.mainEngine.getContract(vtSymbol)
if not contract:
self.writeLog(u'%s委托下单失败，找不到合约：%s' % (algo.algoName, vtSymbol))
req = VtOrderReq()
req.vtSymbol = vtSymbol
req.symbol = contract.symbol
req.exchange = contract.exchange
req.direction = direction
req.offset = OFFSET_CLOSETODAY
req.price = price
req.volume = volume
if priceType:
req.priceType = priceType
else:
req.priceType = PRICETYPE_LIMITPRICE
if offset:
req.offset = offset
else:
req.offset = OFFSET_OPEN
vtOrderID = self.mainEngine.sendOrder(req, contract.gatewayName)
self.orderAlgoDict[vtOrderID] = algo
logger.info(f"{vtOrderID}")
return vtOrderID
def sendOrder(self, symbol, orderType, price, volume, strategy):
try:
req = VtOrderReq()
req.symbol = symbol
req.vtSymbol = symbol
req.price = price
req.volume = volume
req.priceType = PRICETYPE_LIMITPRICE
gatewayName = "TradeDllAShare"
# CTA委托类型映射
if orderType == CTAORDER_BUY:
req.direction = DIRECTION_LONG
elif orderType == CTAORDER_SELL:
req.direction = DIRECTION_SHORT
else:
self.writeLog(u"不支持订单方向类型:" + orderType)
VtOrderID = self.mainEngine.sendOrder(req, gatewayName)
if VtOrderID:
# 下单成功，添加orderid和策略对应关系
# self.orderStrategyDict[VtOrderID] = strategy # 保存order和策略的映射关系
# self.strategyDict[strategy.strategyID].addOrder(VtOrderID) # 添加到策略委托号集合中
self.writeLog(u'策略%s发送委托成功，%s，%s，%s@%s' %
(strategy.strategyID, symbol, req.direction,
volume, price))
else:
self.writeLog(u"策略%s发送委托失败，%s，%s，%s@%s" %
(strategy.strategyID, symbol, req.direction,
volume, price))
return VtOrderID
except:
traceback.print_exc()
return VtOrderID
def sendOrder(self, symbol, orderType, price, volume):
try:
req = VtOrderReq()
req.symbol = symbol
req.vtSymbol = symbol
req.price = price
req.volume = volume
req.priceType = PRICETYPE_LIMITPRICE
gatewayName = "FUTU"
req.direction = orderType
orderID = self.mainEngine.sendOrder(req, gatewayName)
if orderID:
self.writeLog(u'委托成功 %s, %s，%s@%s %s' %
(symbol, orderType, volume, price, orderID))
else:
self.writeLog(u'委托失败 %s, %s，%s@%s %s' %
(symbol, orderType, volume, price, orderID))
return orderID
except:
traceback.print_exc()
def newOrder(self, vtSymbol):
""""""
for vtPositionName in self.targetDict.keys():
if vtSymbol not in vtPositionName:
continue
pos = self.posDict[vtPositionName]
target = self.targetDict[vtPositionName]
if pos == target:
continue
contract = self.mainEngine.getContract(vtSymbol)
tick = self.mainEngine.getTick(vtSymbol)
if not tick:
return
req = VtOrderReq()
req.symbol = contract.symbol
req.exchange = contract.exchange
req.priceType = PRICETYPE_LIMITPRICE
req.volume = abs(target - pos)
# Open position
if target > pos:
req.offset = OFFSET_OPEN
if DIRECTION_LONG in vtPositionName:
req.direction = DIRECTION_LONG
if tick.upperLimit:
req.price = tick.upperLimit
else:
req.price = tick.askPrice1
elif DIRECTION_SHORT in vtPositionName:
req.direction = DIRECTION_SHORT
if tick.lowerLimit:
req.price = tick.lowerLimit
else:
req.price = tick.bidPrice1
self.mainEngine.sendOrder(req, contract.gatewayName)
# Close position
elif target < pos:
req.offset = OFFSET_CLOSE
if DIRECTION_LONG in vtPositionName:
req.direction = DIRECTION_SHORT
if tick.upperLimit:
req.price = tick.upperLimit
else:
req.price = tick.askPrice1
elif DIRECTION_SHORT in vtPositionName:
req.direction = DIRECTION_LONG
if tick.lowerLimit:
req.price = tick.lowerLimit
else:
req.price = tick.bidPrice1
# Use auto-convert for solving today/yesterday position problem
reqList = self.mainEngine.convertOrderReq(req)
for convertedReq in reqList:
self.mainEngine.sendOrder(convertedReq, contract.gatewayName)
# Write log
msg = u'发出%s委托 %s%s %s@%s' %(vtSymbol, req.direction, req.offset,
req.price, req.volume)
self.writeLog(msg)
def newOrder(self, vtSymbol):
""""""
for vtPositionName in self.targetDict.keys():
if vtSymbol not in vtPositionName:
continue
pos = self.posDict[vtPositionName]
target = self.targetDict[vtPositionName]
if pos == target:
continue
contract = self.mainEngine.getContract(vtSymbol)
tick = self.mainEngine.getTick(vtSymbol)
if not tick:
return
req = VtOrderReq()
req.symbol = contract.symbol
req.exchange = contract.exchange
req.priceType = PRICETYPE_LIMITPRICE
req.volume = abs(target - pos)
# Open position
if target > pos:
req.offset = OFFSET_OPEN
if DIRECTION_LONG in vtPositionName:
req.direction = DIRECTION_LONG
if tick.upperLimit:
req.price = tick.upperLimit
else:
req.price = tick.askPrice1
elif DIRECTION_SHORT in vtPositionName:
req.direction = DIRECTION_SHORT
if tick.lowerLimit:
req.price = tick.lowerLimit
else:
req.price = tick.bidPrice1
self.mainEngine.sendOrder(req, contract.gatewayName)
# Close position
elif target < pos:
req.offset = OFFSET_CLOSE
if DIRECTION_LONG in vtPositionName:
req.direction = DIRECTION_SHORT
if tick.upperLimit:
req.price = tick.upperLimit
else:
req.price = tick.askPrice1
elif DIRECTION_SHORT in vtPositionName:
req.direction = DIRECTION_LONG
if tick.lowerLimit:
req.price = tick.lowerLimit
else:
req.price = tick.bidPrice1
# Use auto-convert for solving today/yesterday position problem
reqList = self.mainEngine.convertOrderReq(req)
for convertedReq in reqList:
self.mainEngine.sendOrder(convertedReq,
contract.gatewayName)
# Write log
msg = u'发出%s委托 %s%s %s@%s' % (vtSymbol, req.direction, req.offset,
req.price, req.volume)
self.writeLog(msg)