def update_position(self, current_position, order_amount, current_price, order_type, timestamp):
"""
:param timestamp:
:type timestamp:
:param current_position:
:type current_position: Position
:param order_amount:
:type order_amount:
:param current_price:
:type current_price:
:param order_type:
:type order_type:
"""
if order_type == ORDER_TYPE_LONG:
need_money = (order_amount * current_price) * (1 + self.slippage + self.buy_cost)
if self.latest_account['cash'] < need_money:
raise NotEnoughMoneyError()
self.latest_account['cash'] -= need_money
# 计算平均价
long_amount = current_position['long_amount'] + order_amount
current_position['average_long_price'] = (current_position['average_long_price'] * current_position[
'long_amount'] + current_price * order_amount) / long_amount
current_position['long_amount'] = long_amount
if current_position['trading_t'] == 0:
current_position['available_long'] += order_amount
elif order_type == ORDER_TYPE_SHORT:
need_money = (order_amount * current_price) * (1 + self.slippage + self.buy_cost)
if self.latest_account['cash'] < need_money:
raise NotEnoughMoneyError
self.latest_account['cash'] -= need_money
short_amount = current_position['short_amount'] + order_amount
current_position['average_short_price'] = (current_position['average_short_price'] * current_position[
'short_amount']
+ current_price * order_amount) / short_amount
current_position['short_amount'] = short_amount
if current_position['trading_t'] == 0:
current_position['available_short'] += order_amount
elif order_type == ORDER_TYPE_CLOSE_LONG:
self.latest_account['cash'] += (order_amount * current_price * (1 - self.slippage - self.sell_cost))
current_position['available_long'] -= order_amount
current_position['long_amount'] -= order_amount
elif order_type == ORDER_TYPE_CLOSE_SHORT:
self.latest_account['cash'] += 2 * (order_amount * current_position['average_short_price'])
self.latest_account['cash'] -= order_amount * current_price * (1 + self.slippage + self.sell_cost)
current_position['available_short'] -= order_amount
current_position['short_amount'] -= order_amount
# save the order info to db
order_id = '{}_{}_{}_{}'.format(self.trader_name, order_type, current_position['security_id'],
to_time_str(timestamp, TIME_FORMAT_ISO8601))
order = Order(id=order_id, timestamp=to_pd_timestamp(timestamp), trader_name=self.trader_name,
security_id=current_position['security_id'], order_price=current_price, order_amount=order_amount,
order_type=order_type,
status='success')
self.session.add(order)
self.session.commit()
def order(self,
entity_id,
current_price,
current_timestamp,
order_amount=0,
order_pct=1.0,
order_price=0,
order_type=ORDER_TYPE_LONG,
order_money=0):
"""
下单
Parameters
----------
entity_id : str
交易标的id
current_price : float
当前价格
current_timestamp: timestamp
下单的时间
order_amount : int
数量
order_pct : float
使用可用现金(仓位)的百分比,0.0-1.0
order_price : float
用于限价交易
order_type : {ORDER_TYPE_LONG,ORDER_TYPE_SHORT,ORDER_TYPE_CLOSE_LONG,ORDER_TYPE_CLOSE_SHORT}
交易类型
Returns
"""
# 市价交易,就是买卖是"当时"并"一定"能成交的
# 简单起见，目前只支持这种方式
if order_price == 0:
current_position = self.get_current_position(entity_id=entity_id)
if not current_position:
trading_t = get_trading_meta(entity_id=entity_id)['trading_t']
current_position = {
'trader_name': self.trader_name,
'entity_id': entity_id,
'long_amount': 0,
'available_long': 0,
'average_long_price': 0,
'short_amount': 0,
'available_short': 0,
'average_short_price': 0,
'profit': 0,
'value': 0,
'trading_t': trading_t
}
# add it to latest account
self.latest_account['positions'].append(current_position)
# 按钱交易
if order_money > 0:
# 开多
if order_type == ORDER_TYPE_LONG:
if current_position['short_amount'] > 0:
raise InvalidOrderError(
"close the short position before open long")
if order_money > self.latest_account['cash']:
raise NotEnoughMoneyError()
cost = current_price * (1 + self.slippage + self.buy_cost)
# 买的数量
order_amount = order_money // cost
if order_amount > 0:
self.update_position(current_position, order_amount,
current_price, order_type,
current_timestamp)
else:
raise NotEnoughMoneyError()
# 开空
elif order_type == ORDER_TYPE_SHORT:
if current_position['long_amount'] > 0:
raise InvalidOrderError(
"close the long position before open short")
if order_money > self.latest_account['cash']:
raise NotEnoughMoneyError()
cost = current_price * (1 + self.slippage + self.buy_cost)
order_amount = order_money // cost
if order_amount > 0:
self.update_position(current_position, order_amount,
current_price, order_type,
current_timestamp)
else:
raise NotEnoughMoneyError()
else:
raise InvalidOrderParamError(
'close long/short not support order_money')
# 按数量交易
elif order_amount > 0:
# 开多
if order_type == ORDER_TYPE_LONG:
if current_position['short_amount'] > 0:
raise InvalidOrderError(
"close the short position before open long")
self.update_position(current_position, order_amount,
current_price, order_type,
current_timestamp)
# 开空
elif order_type == ORDER_TYPE_SHORT:
if current_position['long_amount'] > 0:
raise InvalidOrderError(
"close the long position before open short")
self.update_position(current_position, order_amount,
current_price, order_type,
current_timestamp)
# 平多
elif order_type == ORDER_TYPE_CLOSE_LONG:
if current_position['available_long'] >= order_amount:
self.update_position(current_position, order_amount,
current_price, order_type,
current_timestamp)
else:
raise NotEnoughPositionError()
# 平空
elif order_type == ORDER_TYPE_CLOSE_SHORT:
if current_position['available_short'] >= order_amount:
self.update_position(current_position, order_amount,
current_price, order_type,
current_timestamp)
else:
raise Exception("not enough position")
# 按仓位比例交易
elif 0 < order_pct <= 1:
# 开多
if order_type == ORDER_TYPE_LONG:
if current_position['short_amount'] > 0:
raise InvalidOrderError(
"close the short position before open long")
cost = current_price * (1 + self.slippage + self.buy_cost)
want_pay = self.latest_account['cash'] * order_pct
# 买的数量
order_amount = want_pay // cost
if order_amount > 0:
self.update_position(current_position, order_amount,
current_price, order_type,
current_timestamp)
else:
raise NotEnoughMoneyError()
# 开空
elif order_type == ORDER_TYPE_SHORT:
if current_position['long_amount'] > 0:
raise InvalidOrderError(
"close the long position before open short")
cost = current_price * (1 + self.slippage + self.buy_cost)
want_pay = self.latest_account['cash'] * order_pct
order_amount = want_pay // cost
if order_amount > 0:
self.update_position(current_position, order_amount,
current_price, order_type,
current_timestamp)
else:
raise NotEnoughMoneyError()
# 平多
elif order_type == ORDER_TYPE_CLOSE_LONG:
if current_position['available_long'] > 0:
if order_pct == 1.0:
order_amount = current_position['available_long']
else:
order_amount = math.floor(
current_position['available_long'] * order_pct)
if order_amount != 0:
self.update_position(current_position,
order_amount, current_price,
order_type, current_timestamp)
else:
self.logger.warning(
"{} available_long:{} order_pct:{} order_amount:{}",
entity_id, current_position['available_long'],
order_pct, order_amount)
else:
raise NotEnoughPositionError()
# 平空
elif order_type == ORDER_TYPE_CLOSE_SHORT:
if current_position['available_short'] > 0:
if order_pct == 1.0:
order_amount = current_position['available_short']
else:
order_amount = math.floor(
current_position['available_short'] *
order_pct)
if order_amount != 0:
self.update_position(current_position,
order_amount, current_price,
order_type, current_timestamp)
else:
self.logger.warning(
"{} available_long:{} order_pct:{} order_amount:{}",
entity_id, current_position['available_long'],
order_pct, order_amount)
else:
raise Exception("not enough position")
def update_position(self, current_position, order_amount, current_price,
order_type, timestamp):
"""
:param timestamp:
:type timestamp:
:param current_position:
:type current_position: Position
:param order_amount:
:type order_amount:
:param current_price:
:type current_price:
:param order_type:
:type order_type:
"""
if order_type == ORDER_TYPE_LONG:
need_money = (order_amount * current_price) * (1 + self.slippage +
self.buy_cost)
if self.account.cash < need_money:
if self.rich_mode:
self.input_money()
else:
raise NotEnoughMoneyError()
self.account.cash -= need_money
# 计算平均价
long_amount = current_position.long_amount + order_amount
if long_amount == 0:
current_position.average_long_price = 0
current_position.average_long_price = (
current_position.average_long_price *
current_position.long_amount +
current_price * order_amount) / long_amount
current_position.long_amount = long_amount
if current_position.trading_t == 0:
current_position.available_long += order_amount
elif order_type == ORDER_TYPE_SHORT:
need_money = (order_amount * current_price) * (1 + self.slippage +
self.buy_cost)
if self.account.cash < need_money:
if self.rich_mode:
self.input_money()
else:
raise NotEnoughMoneyError()
self.account.cash -= need_money
short_amount = current_position.short_amount + order_amount
current_position.average_short_price = (
current_position.average_short_price *
current_position.short_amount +
current_price * order_amount) / short_amount
current_position.short_amount = short_amount
if current_position.trading_t == 0:
current_position.available_short += order_amount
elif order_type == ORDER_TYPE_CLOSE_LONG:
self.account.cash += order_amount * current_price * (
1 - self.slippage - self.sell_cost)
# FIXME:如果没卖完，重新计算计算平均价
current_position.available_long -= order_amount
current_position.long_amount -= order_amount
elif order_type == ORDER_TYPE_CLOSE_SHORT:
self.account.cash += 2 * (order_amount *
current_position.average_short_price)
self.account.cash -= order_amount * current_price * (
1 + self.slippage + self.sell_cost)
current_position.available_short -= order_amount
current_position.short_amount -= order_amount
# save the order info to db
order_id = "{}_{}_{}_{}".format(
self.trader_name, order_type, current_position.entity_id,
to_time_str(timestamp, TIME_FORMAT_ISO8601))
order = Order(
id=order_id,
timestamp=to_pd_timestamp(timestamp),
trader_name=self.trader_name,
entity_id=current_position.entity_id,
order_price=current_price,
order_amount=order_amount,
order_type=order_type,
level=self.level.value,
status="success",
)
self.session.add(order)
self.session.commit()
def order(
self,
entity_id,
current_price,
current_timestamp,
order_amount=0,
order_pct=1.0,
order_price=0,
order_type=ORDER_TYPE_LONG,
order_money=0,
):
"""
下单
Parameters
----------
entity_id : str
交易标的id
current_price : float
当前价格
current_timestamp: timestamp
下单的时间
order_amount : int
数量
order_pct : float
使用可用现金(仓位)的百分比,0.0-1.0
order_price : float
用于限价交易
order_type : {ORDER_TYPE_LONG,ORDER_TYPE_SHORT,ORDER_TYPE_CLOSE_LONG,ORDER_TYPE_CLOSE_SHORT}
交易类型
Returns
"""
# 市价交易,就是买卖是"当时"并"一定"能成交的
# 简单起见，目前只支持这种方式
if order_price == 0:
current_position = self.get_current_position(entity_id=entity_id)
if not current_position:
trading_t = self.entity_schema.get_trading_t()
current_position = Position(
trader_name=self.trader_name,
entity_id=entity_id,
long_amount=0,
available_long=0,
average_long_price=0,
short_amount=0,
available_short=0,
average_short_price=0,
profit=0,
value=0,
trading_t=trading_t,
)
# add it to latest account
self.account.positions.append(current_position)
# 按钱交易
if order_money > 0:
# 开多
if order_type == ORDER_TYPE_LONG:
if current_position.short_amount > 0:
raise InvalidOrderError(
"close the short position before open long")
if order_money > self.account.cash:
if self.rich_mode:
self.input_money()
else:
raise NotEnoughMoneyError()
cost = current_price * (1 + self.slippage + self.buy_cost)
# 买的数量
order_amount = order_money // cost
if order_amount < 1:
self.logger.error(
f"invalid order_money:{order_money}, cost:{cost}, order_amount:{order_amount}"
)
return
self.update_position(current_position, order_amount,
current_price, order_type,
current_timestamp)
# 开空
elif order_type == ORDER_TYPE_SHORT:
if current_position.long_amount > 0:
raise InvalidOrderError(
"close the long position before open short")
if order_money > self.account.cash:
if self.rich_mode:
self.input_money()
else:
raise NotEnoughMoneyError()
cost = current_price * (1 + self.slippage + self.buy_cost)
order_amount = order_money // cost
if order_amount < 1:
self.logger.error(
f"invalid order_money:{order_money}, cost:{cost}, order_amount:{order_amount}"
)
return
self.update_position(current_position, order_amount,
current_price, order_type,
current_timestamp)
else:
raise InvalidOrderParamError(
"close long/short not support order_money")
# 按数量交易
elif order_amount > 0:
# 开多
if order_type == ORDER_TYPE_LONG:
if current_position.short_amount > 0:
raise InvalidOrderError(
"close the short position before open long")
self.update_position(current_position, order_amount,
current_price, order_type,
current_timestamp)
# 开空
elif order_type == ORDER_TYPE_SHORT:
if current_position.long_amount > 0:
raise InvalidOrderError(
"close the long position before open short")
self.update_position(current_position, order_amount,
current_price, order_type,
current_timestamp)
# 平多
elif order_type == ORDER_TYPE_CLOSE_LONG:
if current_position.available_long >= order_amount:
self.update_position(current_position, order_amount,
current_price, order_type,
current_timestamp)
else:
raise NotEnoughPositionError()
# 平空
elif order_type == ORDER_TYPE_CLOSE_SHORT:
if current_position.available_short >= order_amount:
self.update_position(current_position, order_amount,
current_price, order_type,
current_timestamp)
else:
raise Exception("not enough position")
# 按仓位比例交易
elif 0 < order_pct <= 1:
# 开多
if order_type == ORDER_TYPE_LONG:
if current_position.short_amount > 0:
raise InvalidOrderError(
"close the short position before open long")
cost = current_price * (1 + self.slippage + self.buy_cost)
want_pay = self.account.cash * order_pct
# 买的数量
order_amount = want_pay // cost
if order_amount < 1:
if self.rich_mode:
self.input_money()
order_amount = max(
(self.account.cash * order_pct) // cost, 1)
else:
raise NotEnoughMoneyError()
self.update_position(current_position, order_amount,
current_price, order_type,
current_timestamp)
# 开空
elif order_type == ORDER_TYPE_SHORT:
if current_position.long_amount > 0:
raise InvalidOrderError(
"close the long position before open short")
cost = current_price * (1 + self.slippage + self.buy_cost)
want_pay = self.account.cash * order_pct
order_amount = want_pay // cost
if order_amount < 1:
if self.rich_mode:
self.input_money()
order_amount = max(
(self.account.cash * order_pct) // cost, 1)
else:
raise NotEnoughMoneyError()
self.update_position(current_position, order_amount,
current_price, order_type,
current_timestamp)
# 平多
elif order_type == ORDER_TYPE_CLOSE_LONG:
if current_position.available_long > 0:
if order_pct == 1.0:
order_amount = current_position.available_long
else:
order_amount = math.floor(
current_position.available_long * order_pct)
if order_amount != 0:
self.update_position(current_position,
order_amount, current_price,
order_type, current_timestamp)
else:
self.logger.warning(
f"{entity_id} available_long:{current_position.available_long} order_pct:{order_pct} order_amount:{order_amount}"
)
else:
raise NotEnoughPositionError()
# 平空
elif order_type == ORDER_TYPE_CLOSE_SHORT:
if current_position.available_short > 0:
if order_pct == 1.0:
order_amount = current_position.available_short
else:
order_amount = math.floor(
current_position.available_short * order_pct)
if order_amount != 0:
self.update_position(current_position,
order_amount, current_price,
order_type, current_timestamp)
else:
self.logger.warning(
f"{entity_id} available_long:{current_position.available_long} order_pct:{order_pct} order_amount:{order_amount}"
)
else:
raise Exception("not enough position")
def order(self, security_id, current_price, current_timestamp, order_amount=0, order_pct=1.0, order_price=0,
order_type=ORDER_TYPE_LONG):
"""
下单
Parameters
----------
security_id : str
交易标的id
current_price : float
当前价格
current_timestamp: timestamp
下单的时间
order_amount : int
数量
order_pct : float
使用可用现金(仓位)的百分比,0.0-1.0
order_price : float
用于限价交易
order_type : {ORDER_TYPE_LONG,ORDER_TYPE_SHORT,ORDER_TYPE_CLOSE_LONG,ORDER_TYPE_CLOSE_SHORT}
交易类型
Returns
-------
"""
# 市价交易,就是买卖是"当时"并"一定"能成交的
# 简单起见，目前只支持这种方式
if order_price == 0:
current_position: Position = self.get_current_position(security_id=security_id)
the_id = '{}_{}_{}'.format(self.trader_name, security_id,
to_time_str(current_timestamp, TIME_FORMAT_ISO8601))
if not current_position:
current_position = Position(id=the_id, trader_name=self.trader_name, timestamp=current_timestamp,
security_id=security_id, long_amount=0, available_long=0,
average_long_price=0, short_amount=0,
available_short=0, average_short_price=0, profit=0, value=0)
else:
current_position = Position(id=the_id, trader_name=self.trader_name, timestamp=current_timestamp,
security_id=security_id, long_amount=current_position.long_amount,
available_long=current_position.available_long,
average_long_price=current_position.average_long_price,
short_amount=current_position.short_amount,
available_short=current_position.available_short,
average_short_price=current_position.average_short_price,
profit=current_position.profit, value=current_position.value)
# 按数量交易
if order_amount > 0:
# 开多
if order_type == ORDER_TYPE_LONG:
if current_position.short_amount > 0:
raise InvalidOrderError("close the short position before open long")
self.update_position(current_position, order_amount, current_price, order_type)
# 开空
elif order_type == ORDER_TYPE_SHORT:
if current_position.long_amount > 0:
raise InvalidOrderError("close the long position before open short")
self.update_position(current_position, order_amount, current_price, order_type)
# 平多
elif order_type == ORDER_TYPE_CLOSE_LONG:
if current_position.available_long >= order_amount:
self.update_position(current_position, order_amount, current_price, order_type)
else:
raise NotEnoughPositionError()
# 平空
elif order_type == ORDER_TYPE_CLOSE_SHORT:
if current_position.available_short >= order_amount:
self.update_position(current_position, order_amount, current_price, order_type)
else:
raise Exception("not enough position")
# 按仓位比例交易
elif 0 < order_pct <= 1:
# 开多
if order_type == ORDER_TYPE_LONG:
if current_position.short_amount > 0:
raise InvalidOrderError("close the short position before open long")
cost = current_price * (1 + self.slippage + self.buy_cost)
want_pay = self.latest_account.cash * order_pct
# 买的数量
order_amount = want_pay // cost
if order_amount > 0:
self.update_position(current_position, order_amount, current_price, order_type)
else:
raise NotEnoughMoneyError()
# 开空
elif order_type == ORDER_TYPE_SHORT:
if current_position.long_amount > 0:
raise InvalidOrderError("close the long position before open short")
cost = current_price * (1 + self.slippage + self.buy_cost)
want_pay = self.latest_account.cash * order_pct
order_amount = want_pay // cost
if order_amount > 0:
self.update_position(current_position, order_amount, current_price, order_type)
else:
raise NotEnoughMoneyError()
# 平多
elif order_type == ORDER_TYPE_CLOSE_LONG:
if current_position.available_long > 1:
if order_pct == 1.0:
order_amount = current_position.available_long
else:
order_amount = math.floor(current_position.available_long * order_pct)
if order_amount != 0:
self.update_position(current_position, order_amount, current_price, order_type)
else:
self.logger.warning("{} available_long:{} order_pct:{} order_amount:{}", security_id,
current_position.available_long, order_pct, order_amount)
else:
raise NotEnoughPositionError()
# 平空
elif order_type == ORDER_TYPE_CLOSE_SHORT:
if current_position.available_short > 1:
if order_pct == 1.0:
order_amount = current_position.available_short
else:
order_amount = math.floor(current_position.available_short * order_pct)
if order_amount != 0:
self.update_position(current_position, order_amount, current_price, order_type)
else:
self.logger.warning("{} available_long:{} order_pct:{} order_amount:{}", security_id,
current_position.available_long, order_pct, order_amount)
else:
raise Exception("not enough position")
self.update_account(security_id, current_position, current_timestamp)
