def on_order(self, order: OrderData): """""" if order.vt_symbol == self.active_vt_symbol: if not order.is_active(): self.active_vt_orderid = "" elif order.vt_symbol == self.passive_vt_symbol: if not order.is_active(): self.passive_vt_orderid = "" self.put_variables_event()
def cross_order(self, order: OrderData, tick: TickData): """""" contract = self.main_engine.get_contract(order.vt_symbol) trade_price = 0 # Cross market order immediately after received if order.type == OrderType.MARKET: if order.direction == Direction.LONG: trade_price = tick.ask_price_1 + self.trade_slippage * contract.pricetick else: trade_price = tick.bid_price_1 - self.trade_slippage * contract.pricetick # Cross limit order only if price touched elif order.type == OrderType.LIMIT: if order.direction == Direction.LONG: if order.price >= tick.ask_price_1: trade_price = tick.ask_price_1 else: if order.price <= tick.bid_price_1: trade_price = tick.bid_price_1 # Cross limit order only if price broken elif order.type == OrderType.STOP: if order.direction == Direction.LONG: if tick.ask_price_1 >= order.price: trade_price = tick.ask_price_1 + self.trade_slippage * contract.pricetick else: if tick.bid_price_1 <= order.price: trade_price = tick.bid_price_1 - self.trade_slippage * contract.pricetick if trade_price: order.status = Status.ALLTRADED order.traded = order.volume self.put_event(EVENT_ORDER, order) trade = TradeData( symbol=order.symbol, exchange=order.exchange, orderid=order.orderid, tradeid=order.orderid, direction=order.direction, offset=order.offset, price=trade_price, volume=order.volume, datetime=datetime.now(LOCAL_TZ), gateway_name=order.gateway_name ) self.put_event(EVENT_TRADE, trade) self.update_position(trade, contract)
def on_query_order(self, data: dict, request: Request) -> None: """""" if self.check_error(data, "查询活动委托"): return for d in data["data"]["orders"]: timestamp = d["created_at"] dt = generate_datetime(timestamp / 1000) if d["client_order_id"]: orderid = d["client_order_id"] else: orderid = d["order_id"] order = OrderData( orderid=orderid, symbol=d["contract_code"], exchange=Exchange.HUOBI, price=d["price"], volume=d["volume"], type=ORDERTYPE_HUOBIO2VT[d["order_price_type"]], direction=DIRECTION_HUOBIO2VT[d["direction"]], offset=OFFSET_HUOBIO2VT[d["offset"]], traded=d["trade_volume"], status=STATUS_HUOBIO2VT[d["status"]], datetime=dt, gateway_name=self.gateway_name, ) self.gateway.on_order(order) self.gateway.write_log("活动委托信息查询成功")
def on_query_orders(self, data: dict, request: Request) -> None: """""" if self.check_error(data, "查询委托"): return for d in data["data"]: direction, order_type = ORDERTYPE_HUOBI2VT[d["type"]] dt = generate_datetime(d["created-at"] / 1000) order = OrderData( orderid=d["client-order-id"], symbol=d["symbol"], exchange=Exchange.HUOBI, price=float(d["price"]), volume=float(d["amount"]), type=order_type, direction=direction, traded=float(d["filled-amount"]), status=STATUS_HUOBI2VT.get(d["state"], None), datetime=dt, gateway_name=self.gateway_name, ) self.gateway.on_order(order) self.gateway.write_log("委托信息查询成功")
def send_order(self, strategy: StrategyTemplate, vt_symbol: str, direction: Direction, offset: Offset, price: float, volume: float, lock: bool) -> List[str]: """""" price = round_to(price, self.priceticks[vt_symbol]) symbol, exchange = extract_vt_symbol(vt_symbol) self.limit_order_count += 1 order = OrderData( symbol=symbol, exchange=exchange, orderid=str(self.limit_order_count), direction=direction, offset=offset, price=price, volume=volume, status=Status.SUBMITTING, datetime=self.datetime, gateway_name=self.gateway_name, ) self.active_limit_orders[order.vt_orderid] = order self.limit_orders[order.vt_orderid] = order return [order.vt_orderid]
def on_order(self, order: OrderData): """""" self.traded = order.traded self.order_status = order.status if not order.is_active(): self.stop() self.put_variables_event()
def update_order(self, order: OrderData): """ Callback when order status is updated. """ if not order.is_active() and order.vt_orderid in self.vt_orderids: self.vt_orderids.remove(order.vt_orderid) self.on_order(order)
def update_order(self, order: OrderData) -> None: """ Callback of new order data update. """ self.orders[order.vt_orderid] = order if not order.is_active() and order.vt_orderid in self.active_orderids: self.active_orderids.remove(order.vt_orderid)
def on_order(self, order: OrderData): """""" msg = f"委托号:{order.vt_orderid},委托状态:{order.status.value}" self.write_log(msg) if not order.is_active(): self.vt_orderid = "" self.put_variables_event()
def update_order(self, order: OrderData): """""" if self.active: if order.is_active(): self.active_orders[order.vt_orderid] = order elif order.vt_orderid in self.active_orders: self.active_orders.pop(order.vt_orderid) self.on_order(order)
def on_order(self, order: OrderData): """ Callback of new order data update. """ vt_orderid = order.vt_orderid if not order.is_active(): if vt_orderid in self.active_orderids: self.active_orderids.remove(vt_orderid) if vt_orderid in self.cancel_orderids: self.cancel_orderids.remove(vt_orderid)
def check_order_valid(self, order: OrderData, contract: ContractData) -> Optional[PositionData]: """""" # Reject unsupported order type if order.type in {OrderType.FAK, OrderType.FOK, OrderType.RFQ}: order.status = Status.REJECTED elif order.type == OrderType.STOP and not contract.stop_supported: order.status = Status.REJECTED if order.status == Status.REJECTED: self.write_log(f"委托被拒单,不支持的委托类型{order.type.value}") # Reject close order if no more available position if contract.net_position or order.offset == Offset.OPEN: return if order.direction == Direction.LONG: short_position = self.get_position(order.vt_symbol, Direction.SHORT) available = short_position.volume - short_position.frozen if order.volume > available: order.status = Status.REJECTED else: short_position.frozen += order.volume return short_position else: long_position = self.get_position(order.vt_symbol, Direction.LONG) available = long_position.volume - long_position.frozen if order.volume > available: order.status = Status.REJECTED else: long_position.frozen += order.volume return long_position if order.status == Status.REJECTED: self.write_log(f"委托被拒单,可平仓位不足")
def on_order(self, data: dict) -> None: """""" dt = generate_datetime(data["created_at"] / 1000) if data["client_order_id"]: orderid = data["client_order_id"] else: orderid = data["order_id"] order = OrderData( symbol=data["contract_code"], exchange=Exchange.HUOBI, orderid=orderid, type=ORDERTYPE_HUOBIO2VT[data["order_price_type"]], direction=DIRECTION_HUOBIO2VT[data["direction"]], offset=OFFSET_HUOBIO2VT[data["offset"]], price=data["price"], volume=data["volume"], traded=data["trade_volume"], status=STATUS_HUOBIO2VT[data["status"]], datetime=dt, gateway_name=self.gateway_name ) self.gateway.on_order(order) # Push trade event trades = data["trade"] if not trades: return for d in trades: dt = generate_datetime(d["created_at"] / 1000) trade = TradeData( symbol=order.symbol, exchange=Exchange.HUOBI, orderid=order.orderid, tradeid=str(d["id"]), direction=order.direction, offset=order.offset, price=d["trade_price"], volume=d["trade_volume"], datetime=dt, gateway_name=self.gateway_name, ) self.gateway.on_trade(trade)
def send_limit_order(self, direction: Direction, offset: Offset, price: float, volume: float): """""" self.limit_order_count += 1 order = OrderData(symbol=self.symbol, exchange=self.exchange, orderid=str(self.limit_order_count), direction=direction, offset=offset, price=price, volume=volume, status=Status.SUBMITTING, gateway_name=self.gateway_name, datetime=self.datetime) self.active_limit_orders[order.vt_orderid] = order self.limit_orders[order.vt_orderid] = order return order.vt_orderid
def cross_stop_order(self): """ Cross stop order with last bar/tick data. """ if self.mode == BacktestingMode.BAR: long_cross_price = self.bar.high_price short_cross_price = self.bar.low_price long_best_price = self.bar.open_price short_best_price = self.bar.open_price else: long_cross_price = self.tick.last_price short_cross_price = self.tick.last_price long_best_price = long_cross_price short_best_price = short_cross_price for stop_order in list(self.active_stop_orders.values()): # Check whether stop order can be triggered. long_cross = (stop_order.direction == Direction.LONG and stop_order.price <= long_cross_price) short_cross = (stop_order.direction == Direction.SHORT and stop_order.price >= short_cross_price) if not long_cross and not short_cross: continue # Create order data. self.limit_order_count += 1 order = OrderData(symbol=self.symbol, exchange=self.exchange, orderid=str(self.limit_order_count), direction=stop_order.direction, offset=stop_order.offset, price=stop_order.price, volume=stop_order.volume, traded=stop_order.volume, status=Status.ALLTRADED, gateway_name=self.gateway_name, datetime=self.datetime) self.limit_orders[order.vt_orderid] = order # Create trade data. if long_cross: trade_price = max(stop_order.price, long_best_price) pos_change = order.volume else: trade_price = min(stop_order.price, short_best_price) pos_change = -order.volume self.trade_count += 1 trade = TradeData( symbol=order.symbol, exchange=order.exchange, orderid=order.orderid, tradeid=str(self.trade_count), direction=order.direction, offset=order.offset, price=trade_price, volume=order.volume, datetime=self.datetime, gateway_name=self.gateway_name, ) self.trades[trade.vt_tradeid] = trade # Update stop order. stop_order.vt_orderids.append(order.vt_orderid) stop_order.status = StopOrderStatus.TRIGGERED if stop_order.stop_orderid in self.active_stop_orders: self.active_stop_orders.pop(stop_order.stop_orderid) # Push update to strategy. self.strategy.on_stop_order(stop_order) self.strategy.on_order(order) self.strategy.pos += pos_change self.strategy.on_trade(trade)
def on_order(self, order: OrderData): """""" if not order.is_active(): self.vt_orderid = "" self.put_variables_event()