def process_order(self, event, order):
return create_transaction(
event,
order,
event.price + (self.spread / 2.0 * order.direction),
order.amount,
)
def process_order(self, event, order):
return create_transaction(
event,
order,
event.price + (self.spread / 2.0 * order.direction),
order.amount,
)
def process_order(self, event, order):
max_volume = self.volume_limit * event.volume
# price impact accounts for the total volume of transactions
# created against the current minute bar
# 价格影响占当前分钟栏创建的交易总量
remaining_volume = max_volume - self.volume_for_bar
if remaining_volume < 1:
# we can't fill any more transactions
raise LiquidityExceeded()
# the current order amount will be the min of the
# volume available in the bar or the open amount.
cur_volume = int(min(remaining_volume, abs(order.open_amount)))
if cur_volume < 1:
return
# tally the current amount into our total amount ordered.
# total amount will be used to calculate price impact
total_volume = self.volume_for_bar + cur_volume
volume_share = min(total_volume / event.volume,
self.volume_limit)
simulated_impact = volume_share ** 2 \
* math.copysign(self.price_impact, order.direction) \
* event.open
if order.give_price==None:
impacted_price = event.close + simulated_impact
else:
impacted_price = order.give_price+simulated_impact
print u'收盘价',event.close,u'给定价',order.give_price,u'here里面'
#print simulated_impact,u'滑点情况'
#impacted_price = event.close + simulated_impact
#print event ,u'event 情况'
#raw_input()
if order.limit:
# this is tricky! if an order with a limit price has reached
# the limit price, we will try to fill the order. do not fill
# these shares if the impacted price is worse than the limit
# price. return early to avoid creating the transaction.
# buy order is worse if the impacted price is greater than
# the limit price. sell order is worse if the impacted price
# is less than the limit price
if (order.direction > 0 and impacted_price > order.limit) or \
(order.direction < 0 and impacted_price < order.limit):
return
return create_transaction(
event,
order,
impacted_price,
math.copysign(cur_volume, order.direction)
)
def process_order(self, event, order):
max_volume = self.volume_limit * event.volume
# price impact accounts for the total volume of transactions
# created against the current minute bar
remaining_volume = max_volume - self.volume_for_bar
if remaining_volume < 1:
# we can't fill any more transactions
raise LiquidityExceeded()
# the current order amount will be the min of the
# volume available in the bar or the open amount.
cur_volume = int(min(remaining_volume, abs(order.open_amount)))
if cur_volume < 1:
return
# tally the current amount into our total amount ordered.
# total amount will be used to calculate price impact
total_volume = self.volume_for_bar + cur_volume
volume_share = min(total_volume / event.volume,
self.volume_limit)
simulated_impact = volume_share ** 2 \
* math.copysign(self.price_impact, order.direction) \
* event.open
impacted_price = event.open + simulated_impact
if order.limit:
# this is tricky! if an order with a limit price has reached
# the limit price, we will try to fill the order. do not fill
# these shares if the impacted price is worse than the limit
# price. return early to avoid creating the transaction.
# buy order is worse if the impacted price is greater than
# the limit price. sell order is worse if the impacted price
# is less than the limit price
if (order.direction > 0 and impacted_price > order.limit) or \
(order.direction < 0 and impacted_price < order.limit):
return
return create_transaction(
event,
order,
impacted_price,
math.copysign(cur_volume, order.direction)
)
def simulate(self, data, asset, orders_for_asset):
self._volume_for_bar = 0
volume = data.current(asset, "volume")
if volume == 0:
return
# can use the close price, since we verified there's volume in this
# bar.
price = data.current(asset, "close")
# BEGIN
#
# Remove this block after fixing data to ensure volume always has
# corresponding price.
if isnull(price):
return
# END
dt = data.current_dt
for order in orders_for_asset:
if order.open_amount == 0:
continue
order.check_triggers(price, dt)
if not order.triggered:
continue
txn = None
try:
execution_price, execution_volume = \
self.process_order(data, order)
if execution_price is not None:
txn = create_transaction(
order,
data.current_dt,
execution_price,
execution_volume
)
except LiquidityExceeded:
break
if txn:
self._volume_for_bar += abs(txn.amount)
yield order, txn
def simulate(self, data, asset, orders_for_asset):
self._volume_for_bar = 0
volume = data.current(asset, "volume")
if volume == 0:
return
# can use the close price, since we verified there's volume in this
# bar.
price = data.current(asset, "close")
# BEGIN
#
# Remove this block after fixing data to ensure volume always has
# corresponding price.
if isnull(price):
return
# END
dt = data.current_dt
for order in orders_for_asset:
if order.open_amount == 0:
continue
order.check_triggers(price, dt)
if not order.triggered:
continue
txn = None
try:
execution_price, execution_volume = \
self.process_order(data, order)
if execution_price is not None:
txn = create_transaction(
order,
data.current_dt,
execution_price,
execution_volume
)
except LiquidityExceeded:
break
if txn:
self._volume_for_bar += abs(txn.amount)
yield order, txn
def simulate(self, data, asset, orders_for_asset):
self._volume_for_bar = 0
volume = data.current(asset, "volume")
if volume == 0:
pass
# GD meant to avoid delayed executions based on volume checks
# return
# can use the close price, since we verified there's volume in this
# bar.
price = data.current(asset, "close")
dt = data.current_dt
for order in orders_for_asset:
if order.open_amount == 0:
continue
order.check_triggers(price, dt)
if not order.triggered:
continue
txn = None
try:
execution_price, execution_volume = \
self.process_order(data, order)
if execution_price is not None:
txn = create_transaction(
order,
data.current_dt,
execution_price,
execution_volume
)
except LiquidityExceeded:
break
if txn:
self._volume_for_bar += abs(txn.amount)
yield order, txn
def simulate(self, data, asset, orders_for_asset):
self._volume_for_bar = 0
volume = data.current(asset, "volume")
if volume == 0:
return
# can use the close price, since we verified there's volume in this
# bar.
# yuusha note: sell at bid, buy at ask
dt = data.current_dt
for order in orders_for_asset:
if order.open_amount == 0:
continue
if order.amount > 0:
price = data.current(order.asset, "ask")
else:
price = data.current(order.asset, "bid")
order.check_triggers(price, dt)
if not order.triggered:
continue
txn = None
try:
execution_price, execution_volume = \
self.process_order(data, order)
if execution_price is not None:
txn = create_transaction(order, data.current_dt,
execution_price, execution_volume)
except LiquidityExceeded:
break
if txn:
self._volume_for_bar += abs(txn.amount)
yield order, txn