def shift_contract_by_VWAP(self, id_c1: str, id_c2: str, hold_unit: int,
open_unit: int, long_short: LongShort, slippage,
execute_type):
if long_short == LongShort.LONG:
close_order_long_short = LongShort.SHORT
else:
close_order_long_short = LongShort.LONG
close_order = Order(dt_trade=self.eval_date,
id_instrument=id_c1,
trade_unit=hold_unit,
trade_price=None,
time_signal=self.eval_datetime,
long_short=close_order_long_short)
# TODO: OPEN ORDER UNIT SHOULD BE RECALCULATED BY DELTA.
open_order = Order(dt_trade=self.eval_date,
id_instrument=id_c2,
trade_unit=open_unit,
trade_price=None,
time_signal=self.eval_datetime,
long_short=long_short)
if self.frequency in Util.LOW_FREQUENT:
return
else:
df_c1_today = self.df_all_futures_daily[
(self.df_all_futures_daily[Util.DT_DATE] == self.eval_date)
& (self.df_all_futures_daily[Util.ID_INSTRUMENT] == id_c1)]
total_trade_value_c1 = df_c1_today[
Util.AMT_TRADING_VALUE].values[0]
total_volume_c1 = df_c1_today[Util.AMT_TRADING_VOLUME].values[0]
# volume_weighted_price_c1 = total_trade_value_c1 / (total_volume_c1 * self.multiplier())
price_c1 = (df_c1_today[Util.AMT_CLOSE].values[0] +
df_c1_today[Util.AMT_OPEN].values[0]) / 2.0
total_trade_value_c2 = 0.0
total_volume_c2 = 0.0
while not self.is_last_minute():
total_trade_value_c2 += self.mktprice_close(
) * self.trading_volume() * self.multiplier()
total_volume_c2 += self.trading_volume()
self.next()
total_trade_value_c2 += self.mktprice_close(
) * self.trading_volume() * self.multiplier()
total_volume_c2 += self.trading_volume()
volume_weighted_price_c2 = total_trade_value_c2 / (
total_volume_c2 * self.multiplier())
# close_order.trade_price = volume_weighted_price_c1
close_order.trade_price = price_c1
open_order.trade_price = volume_weighted_price_c2
close_execution_record = self.execute_order(
close_order, slippage, execute_type)
open_execution_record = self.execute_order(open_order, slippage,
execute_type)
return close_execution_record, open_execution_record
def execute_order_by_VWAP(
self,
order: Order,
slippage=0,
execute_type: ExecuteType = ExecuteType.EXECUTE_ALL_UNITS):
if self.frequency in Util.LOW_FREQUENT:
return
else:
total_trade_value = 0.0
total_volume_value = 0.0
while not self.is_last_minute():
total_trade_value += self.mktprice_close(
) * self.trading_volume()
total_volume_value += self.trading_volume()
self.next()
total_trade_value += self.mktprice_close() * self.trading_volume()
total_volume_value += self.trading_volume()
volume_weighted_price = total_trade_value / total_volume_value
order.trade_price = volume_weighted_price
execution_record = self.execute_order(order, slippage,
execute_type)
return execution_record