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
copy = dict((k, v) for k, v in self.workingLimitOrderDict.items())
for orderID, order in copy.items():
# 判断是否会成交
buyCross = order.direction == DIRECTION_LONG and order.price >= buyCrossPrice
sellCross = order.direction == DIRECTION_SHORT and order.price <= sellCrossPrice
# 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 = str(self.dt)
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 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
sellCross = order.direction==DIRECTION_SHORT and order.price<=sellCrossPrice
# 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 = str(self.dt)
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
else:
buyCrossPrice = self.tick.lastPrice
sellCrossPrice = self.tick.lastPrice
# 遍历限价单字典中的所有限价单
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:
# 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
self.limitOrderCount += 1
orderID = str(self.limitOrderCount)
trade.orderID = orderID
trade.vtOrderID = orderID
trade.direction = so.direction
trade.offset = so.offset
trade.price = so.price
trade.volume = so.volume
trade.tradeTime = str(self.dt)
self.strategy.onTrade(trade)
self.tradeDict[tradeID] = trade
# 推送委托数据
so.status = STOPORDER_TRIGGERED
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.strategy.onOrder(order)
# 从字典中删除该限价单
del self.workingStopOrderDict[stopOrderID]
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
else:
buyCrossPrice = self.tick.lastPrice
sellCrossPrice = self.tick.lastPrice
# 遍历限价单字典中的所有限价单
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:
# 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
self.limitOrderCount += 1
orderID = str(self.limitOrderCount)
trade.orderID = orderID
trade.vtOrderID = orderID
trade.direction = so.direction
trade.offset = so.offset
trade.price = so.price
trade.volume = so.volume
trade.tradeTime = str(self.dt)
self.strategy.onTrade(trade)
self.tradeDict[tradeID] = trade
# 推送委托数据
so.status = STOPORDER_TRIGGERED
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.strategy.onOrder(order)
# 从字典中删除该限价单
del self.workingStopOrderDict[stopOrderID]
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
else:
buyCrossPrice = self.tick.lastPrice
sellCrossPrice = self.tick.lastPrice
# 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
sellCross = order.direction == DIRECTION_SHORT and order.price <= sellCrossPrice
# 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
trade.price = order.price
trade.volume = order.totalVolume
trade.tradeTime = str(self.dt)
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 self.workingStopOrderDict[
self.bar.symbol].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:
# 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.strategyDict[self.bar.symbol].pos += so.volume
trade.price = max(bestCrossPrice, so.price)
else:
self.strategyDict[self.bar.symbol].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 = str(self.dt)
trade.dt = self.dt
trade.symbol = self.bar.symbol
stra = self.strategyDict[self.bar.symbol]
stra.onTrade(trade)
self.tradeDict[trade.vtSymbol][tradeID] = trade
'''#在此处更新回测账户'''
#print REDPREFIX + str(trade.symbol) + "\t"+ "%.1f"%trade.price + "\t" +\
# trade.direction + "\t" + trade.offset + "\t" + str(trade.volume)
self.updateAccount(trade)
# 推送委托数据
so.status = STOPORDER_TRIGGERED
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
stra = self.strategyDict[self.bar.symbol]
stra.onOrder(order)
self.limitOrderDict[order.symbol][orderID] = order
# 从字典中删除该限价单
del self.workingStopOrderDict[order.symbol][stopOrderID]
def crossLimitOrder(self):
"""基于最新数据撮合限价单"""
if not self.tradeCount:
output=open('trade.log','w')
# 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
bestCrossPrice = self.bar.open # 在当前时间点前发出的委托可能的最优成交价
else:
buyCrossPrice = self.tick.lastPrice
sellCrossPrice = self.tick.lastPrice
bestCrossPrice = self.tick.lastPrice
# 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
sellCross = order.direction==DIRECTION_SHORT and order.price<=sellCrossPrice
# 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 = order.price
self.strategy.pos += order.totalVolume
else:
trade.price = order.price
self.strategy.pos -= order.totalVolume
trade.volume = order.totalVolume
trade.tradeTime = str(self.dt)
trade.dt = self.dt
self.strategy.onTrade(trade)
self.tradeDict[tradeID] = trade
output=open('trade.log','a')
output.write(u'策略%s发送委托，%s,%s，%s，%s@%s'
%('Turtle',trade.dt, trade.vtSymbol, trade.direction, trade.volume, trade.price)+'\n')
output.close
# 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 crossLimitOrder(self):
"""基于最新数据撮合限价单"""
"""Check LimitOrder base on newest market data"""
# 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
sellCross = order.direction == DIRECTION_SHORT and order.price <= sellCrossPrice
# 如果发生了成交
# If transaction happens
if buyCross or sellCross:
# 推送成交数据
# Update trade data
self.tradeCount += 1 # TradeID increase by 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
# Buy as example:
# 1. Suppose the OHLC of current Bar are 100, 125, 90, 110 (Open = 100)
# 2. Suppose at the end of last Bar(not the start of current Bar), the price of limit order is 105,
# (Last Close = 105)
# 3. In real trading, the trade price will be 100 instead of 105, because the best market price is 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 = str(self.dt)
trade.dt = self.dt
self.strategy.onTrade(trade)
self.tradeDict[tradeID] = trade
# 推送委托数据
# Upadte order data
order.tradedVolume = order.totalVolume
order.status = STATUS_ALLTRADED
self.strategy.onOrder(order)
# 从字典中删除该限价单
# Remove this order from "working limit order dictionary"
del self.workingLimitOrderDict[orderID]
