def send_stop_order(self, dt, accnt, stock, direction, offset, price,
volume, comments):
self.context.stop_order_count += 1
stop_order = StopOrder(symbol=stock,
exchange=get_exchange(stock),
order_id=generate_random_id('stoporder'),
direction=direction,
offset=offset,
price=price,
order_volume=volume,
account=accnt,
order_datetime=dt,
comments=comments)
self.context.active_stop_orders[stop_order.order_id] = stop_order
self.context.stop_orders[stop_order.order_id] = stop_order
event_order = Event(EVENT_ORDER, dt, stop_order)
self.event_engine.put(event_order)
def send_limit_order(self, dt, accnt, stock, direction, offset, price,
volume, comments):
self.context.limit_order_count += 1
order = OrderData(symbol=stock,
exchange=get_exchange(stock),
order_id=generate_random_id('order'),
direction=direction,
offset=offset,
price=price,
order_volume=volume,
status=Status_SUBMITTING,
account=accnt,
gateway=self.gateway,
order_datetime=dt,
comments=comments)
self.context.active_limit_orders[order.order_id] = order
self.context.limit_orders[order.order_id] = order
event_order = Event(EVENT_ORDER, dt, order)
self.event_engine.put(event_order)
def cross_stop_order(self, event_market, cur_mkt_data):
"""处理未成交止损单"""
print("-- this is deal_stop_order() @ {0}.".format(event_market.dt))
# 逐个未成交委托进行判断
for stop_order in list(self.context.active_stop_orders.values()):
long_cross_price = cur_mkt_data['high'][stop_order.symbol]
short_cross_price = cur_mkt_data['low'][stop_order.symbol]
long_best_price = cur_mkt_data['open'][stop_order.symbol]
short_best_price = cur_mkt_data['open'][stop_order.symbol]
# 检查止损单是否能被触发
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)
# 如果委托单仍然不能被触发，则其所有状态都不改变，继续等待被触发
if not long_cross and not short_cross:
continue
# 否则新增一笔限价单（止损单在本地被触发后，最终以限价单形式发送到交易所）
self.context.limit_order_count += 1
order = OrderData(symbol=stop_order.symbol,
exchange=get_exchange(stop_order.symbol),
order_id=generate_random_id('order'),
direction=stop_order.direction,
offset=stop_order.offset,
price=stop_order.price,
order_volume=stop_order.order_volume,
filled_volume=stop_order.order_volume,
status=Status_ALL_TRADED,
account=stop_order.accnt,
order_datetime=event_market.dt)
self.context.limit_orders[order.order_id] = order
# 更新stop_order对象的属性
# stop_order.order_ids.append(order.order_id)
stop_order.filled_datetime = event_market.dt
stop_order.status = StopOrderStatus_TRIGGERED
# 未成交止损单清单中将本止损单去掉
if stop_order.order_id in self.context.active_stop_orders:
self.context.active_stop_orders.pop(stop_order.order_id)
# 止损单被触发，本地止损单转成限价单成交，新增order_event并送入队列中
event_order = Event(EVENT_ORDER, event_market.dt, order)
self.event_engine.put(event_order)
# 止损单被触发，新建一个成交对象
if long_cross:
trade_price = max(stop_order.price, long_best_price)
pos_change = order.order_volume
else:
trade_price = min(stop_order.price, short_best_price)
pos_change = -order.order_volume
self.context.trade_count += 1
trade = TradeData(symbol=order.symbol,
exchange=order.exchange,
order_id=order.order_id,
trade_id=generate_random_id('filled'),
direction=order.direction,
offset=order.offset,
price=trade_price,
volume=order.order_volume,
datetime=self.datetime,
gateway=self.gateway)
self.pos[trade.symbol] += pos_change
# 新建成交事件，并推送到事件队列中
event_trade = Event(EVENT_TRADE, event_market.dt, trade)
self.event_engine.put(event_trade)
self.handle_trade(event_trade)
self.context.trade_data_dict[trade.trade_id] = trade
def handle_trade(self, event_trade):
"""订单成交后，在 context 中更新相关持仓数据"""
print('handle_trade() method @ {0}'.format(
event_trade.data.order_datetime))
# 更新 context 中的交易信息
self.context.current_trade_data.trade_id = generate_random_id('traded')
self.context.current_trade_data.order_id = self.context.current_order_data.order_id
self.context.current_trade_data.symbol = self.context.current_order_data.symbol
self.context.current_trade_data.exchange = self.context.current_order_data.exchange
self.context.current_trade_data.account_id = self.context.current_order_data.account_id
self.context.current_trade_data.price = self.context.current_order_data.price
self.context.current_trade_data.direction = self.context.current_order_data.direction
self.context.current_trade_data.offset = self.context.current_order_data.offset
self.context.current_trade_data.volume = self.context.current_order_data.total_volume
self.context.current_trade_data.datetime = self.context.current_order_data.order_time
self.context.current_trade_data.frozen += self.context.current_order_data.filled_volume
# 计算滑点
if self.context.current_trade_data.exchange == "SH" or self.context.current_trade_data.exchange == "SZ":
if self.context.slippage_dict[Product_STOCK][
"slippage_type"] == SLIPPAGE_FIX:
if self.context.current_trade_data.offset == Offset_OPEN:
self.context.current_trade_data.price += \
self.context.slippage_dict[Product_STOCK]["value"]
elif self.context.current_trade_data.offset == Offset_CLOSE:
self.context.current_trade_data.trade_price -= \
self.context.slippage_dict[Product_STOCK]["value"]
elif self.context.slippage_dict[Product_STOCK][
"slippage_type"] == SLIPPAGE_PERCENT:
if self.context.current_trade_data.offset == Offset_OPEN:
self.context.current_trade_data.price *= (
1 + self.context.slippage_dict[Product_STOCK]["value"])
elif self.context.current_trade_data.offset == Offset_CLOSE:
self.context.current_trade_data.trade_price *= (
1 - self.context.slippage_dict[Product_STOCK]["value"])
# 计算手续费
commission = {}
trade_balance = self.context.current_trade_data.price * self.context.current_trade_data.trade_volume
# 分市场标的计算手续费率
if self.context.current_trade_data.exchange == "SH":
commission = self.context.commission_dict[Product_STOCK_SH]
elif self.context.current_trade_data.exchange == "SZ":
commission = self.context.commission_dict[Product_STOCK_SZ]
# 根据经过交易手续费后的成交额，更新成交价格
if self.context.current_trade_data.offset == Offset_OPEN:
total_commission = commission['open_commission']
trade_balance *= 1 + total_commission
self.context.current_trade_data.price = trade_balance / self.context.current_trade_data.trade_volume
elif self.context.current_trade_data.offset == Offset_CLOSE:
total_commission = commission['close_commission'] + commission[
'tax']
trade_balance *= 1 - total_commission
self.context.current_trade_data.price = trade_balance / self.context.current_trade_data.trade_volume
# 更新 context 中的持仓信息
self.context.current_position_data.trade_id = self.context.current_trade_data.trade_id
self.context.current_position_data.order_id = self.context.current_trade_data.order_id
self.context.current_position_data.symbol = self.context.current_trade_data.symbol
self.context.current_position_data.exchange = self.context.current_trade_data.exchange
self.context.current_position_data.account_id = self.context.current_order_data.account_id
self.context.current_position_data.price = self.context.current_trade_data.price
self.context.current_position_data.direction = self.context.current_trade_data.direction
self.context.current_position_data.offset = self.context.current_trade_data.offset
self.context.current_position_data.volume = self.context.current_trade_data.total_volume
self.context.current_position_data.datetime = self.context.current_trade_data.order_time
self.context.current_position_data.frozen += self.context.current_trade_data.filled_volume
if self.context.bar_position_data_list:
position_num = 0
position_hold = False
for position_data in self.context.bar_position_data_list:
position_num += 1
if self.context.current_position_data.symbol == position_data.symbol:
position_hold = True
# print(self.context.current_trade_data.offset, "方向"*10)
if self.context.current_trade_data.offset == Offset_OPEN:
total_position = position_data.position + self.context.current_trade_data.trade_volume
position_cost_balance = position_data.position * position_data.init_price
trade_balance = \
self.context.current_trade_data.trade_volume * self.context.current_trade_data.price
# 更新持仓成本
position_data.init_price = \
(position_cost_balance + trade_balance) / total_position
# 更新持仓数量
position_data.position = total_position
# 更新冻结数量
position_data.frozen += self.context.current_trade_data.trade_volume
# print("update_position_list")
elif self.context.current_trade_data.offset == Offset_CLOSE:
total_position = \
position_data.position - self.context.current_trade_data.trade_volume
position_cost_balance = position_data.position * position_data.init_price
trade_balance = \
self.context.current_trade_data.trade_volume * self.context.current_trade_data.price
if total_position > 0:
position_data.init_price = \
(position_cost_balance - trade_balance) / total_position
else:
position_data.init_price = 0
position_data.position = total_position
# print("sell position"*5, position_data.position)
# 持仓不为空，且不在持仓里面的，append到self.context.bar_position_data_list
if position_num == len(self.context.bar_position_data_list
) and position_hold is False:
self.context.current_position_data.init_price = self.context.current_trade_data.trade_price
self.context.current_position_data.position = self.context.current_trade_data.trade_volume
self.context.bar_position_data_list.append(
self.context.current_position_data)
else:
self.context.current_position_data.init_price = self.context.current_trade_data.trade_price
self.context.current_position_data.position = self.context.current_trade_data.trade_volume
# 持仓为空，append到self.context.bar_position_data_list
self.context.bar_position_data_list.append(
self.context.current_position_data)
# 更新委托的状态和成交数量，并把此次委托append到self.context.bar_order_data_list
self.context.current_order_data.status = Status_ALL_TRADED
self.context.current_order_data.trade_volume = self.context.current_trade_data.trade_volume
self.context.bar_order_data_list.append(
self.context.current_order_data)
# 把此次成交append到self.context.bar_trade_data_list
self.context.bar_trade_data_list.append(
self.context.current_trade_data)
# 更新现金
if self.context.bar_account_data_list:
for account in self.context.bar_account_data_list:
if account.account_id == self.context.current_order_data.account_id:
if self.context.current_trade_data.offset == Offset_OPEN:
# 更新可用资金
account.available -= \
self.context.current_trade_data.price * self.context.current_trade_data.trade_volume
elif self.context.current_trade_data.offset == Offset_CLOSE:
account.available += \
self.context.current_trade_data.price * self.context.current_trade_data.trade_volume
self.context.refresh_current_data()
# 订单状态及时更新
print('--- * update trade info *')
def cross_limit_order(self, event_market, cur_mkt_data):
"""处理未成交限价单"""
print("-- this is deal_limit_order() @ {0}".format(event_market.dt))
# 逐个未成交委托进行判断
for order in list(self.context.active_limit_orders.values()):
long_cross_price = cur_mkt_data['low'][order.symbol]
short_cross_price = cur_mkt_data['high'][order.symbol]
long_best_price = cur_mkt_data['open'][order.symbol]
short_best_price = cur_mkt_data['open'][order.symbol]
# 委托状态从“待提交”转成“未成交“
if order.status == Status_SUBMITTING:
order.status = Status_NOT_TRADED
event_order = Event(EVENT_ORDER, event_market.dt, order)
self.event_engine.put(event_order)
# 检查限价单是否能被成交
long_cross = (order.direction == Direction_LONG
and order.price >= long_cross_price > 0)
short_cross = (order.direction == Direction_SHORT
and order.price <= short_cross_price
and short_cross_price > 0)
# 如果委托单仍然不能被成交，则其所有状态都不改变，继续等待被成交
if not long_cross and not short_cross:
continue
# 委托单被成交了，状态改变成 filled
order.filled_volume = order.order_volume
order.status = Status_ALL_TRADED
event_order = Event(EVENT_ORDER, event_market.dt, order)
self.event_engine.put(event_order)
self.context.active_limit_orders.pop(order.order_id)
# 交易数量 + 1
self.context.trade_count += 1
if long_cross:
trade_price = min(order.price, long_best_price)
pos_change = order.order_volume
else:
trade_price = max(order.price, short_best_price)
pos_change = -order.order_volume
# 新建交易事件并送入事件驱动队列中
trade = TradeData(symbol=order.symbol,
exchange=order.exchange,
order_id=order.order_id,
trade_id=generate_random_id('filled'),
direction=order.direction,
offset=order.offset,
price=trade_price,
volume=order.order_volume,
datetime=event_market.dt,
gateway=self.gateway)
self.pos[trade.symbol] += pos_change
event_trade = Event(EVENT_TRADE, event_market.dt, trade)
self.event_engine.put(event_trade)
self.handle_trade(event_trade)
# 交易事件更新
self.context.trade_data_dict[trade.trade_id] = trade