def place_order(self, security, action, price, size, algo="", algo_param={}, userdata=""):
if size <= 0:
print("Invalid size {}".format(size))
return
# Generate Task
order = Order.new_order(security, action, price, size, self.ctx.trade_date, self.ctx.time,
order_type=common.ORDER_TYPE.LIMIT)
task_id = self._get_next_task_id()
order.task_id = task_id
task = Task(task_id,
algo=algo, algo_param=algo_param, data=order,
function_name='place_order', trade_date=self.ctx.trade_date)
# task.task_no = task_id
# Send Order to Exchange
entrust_no = self._simulator.add_order(order)
task.data.entrust_no = entrust_no
self.ctx.pm.add_task(task)
self.entrust_no_task_id_map[entrust_no] = task.task_id
order_status_ind = OrderStatusInd(order)
order_status_ind.order_status = common.ORDER_STATUS.ACCEPTED
self._order_status_callback(order_status_ind)
return task_id, ""
def place_order(self, security, action, price, size, algo="", algo_param={}, userdata=""):
if size <= 0:
print("Invalid size {}".format(size))
return
# Generate Task
order = Order.new_order(security, action, price, size, self.ctx.trade_date, self.ctx.time,
order_type=common.ORDER_TYPE.LIMIT)
task_id = self._get_next_task_id()
order.task_id = task_id
task = Task(task_id,
algo=algo, algo_param=algo_param, data=order,
function_name='place_order', trade_date=self.ctx.trade_date)
# task.task_no = task_id
# Send Order to Exchange
entrust_no = self._simulator.add_order(order)
task.data.entrust_no = entrust_no
self.ctx.pm.add_task(task)
self.entrust_no_task_id_map[entrust_no] = task.task_id
order_status_ind = OrderStatusInd(order)
order_status_ind.order_status = common.ORDER_STATUS.ACCEPTED
self._order_status_callback(order_status_ind)
return task_id, ""
def place_order(self,
security,
action,
price,
size,
algo="",
algo_param={},
userdata=""):
if size <= 0:
print("Invalid size {}".format(size))
return
# Generate Order
if algo == 'vwap':
order_type = common.ORDER_TYPE.VWAP
else:
order_type = common.ORDER_TYPE.LIMIT
order = Order.new_order(security,
action,
price,
size,
self.ctx.trade_date,
self.ctx.time,
order_type=order_type)
# Generate Task
task_id = self._get_next_task_id()
order.task_id = task_id
task = Task(task_id,
algo=algo,
algo_param=algo_param,
data=order,
function_name='place_order',
trade_date=self.ctx.trade_date)
# task.task_no = task_id
# Send Order to Exchange
entrust_no = self._orderbook.add_order(order)
task.data.entrust_no = entrust_no
self.ctx.pm.add_task(task)
self.entrust_no_task_id_map[entrust_no] = task.task_id
order_status_ind = OrderStatusInd(order)
order_status_ind.order_status = common.ORDER_STATUS.ACCEPTED
# order_status_ind.task_no = task_id
self._order_status_callback(order_status_ind)
'''
# TODO: not necessary
rsp = OrderRsp(entrust_no=entrust_no, task_id=task_id, msg="")
self.ctx.instance.strategy.on_order_rsp(rsp)
'''
return task_id, ""
def goal_portfolio(self, positions, algo="", algo_param={}, userdata=""):
# Generate Orders
task_id = self._get_next_task_id()
orders = {}
for goal in positions:
sec, goal_size = goal['symbol'], goal['size']
if sec in self.ctx.pm.holding_securities:
current_size = self.ctx.pm.get_position(sec).current_size
else:
current_size = 0
diff_size = goal_size - current_size
if diff_size != 0:
action = common.ORDER_ACTION.BUY if diff_size > 0 else common.ORDER_ACTION.SELL
order = FixedPriceTypeOrder.new_order(sec, action, 0.0,
abs(diff_size),
self.ctx.trade_date, 0)
if algo == 'vwap':
order.price_target = 'vwap' # TODO
elif algo.startswith('limit:'):
order.price_target = algo.split(':')[1].strip()
elif algo == '':
order.price_target = 'vwap'
else:
raise NotImplementedError(
"goal_portfolio algo = {}".format(algo))
order.task_id = task_id
order.entrust_no = self._simulator.add_order(order)
orders[order.entrust_no] = order
# Generate Task
task = Task(task_id,
algo=algo,
algo_param=algo_param,
data=orders,
function_name='goal_portfolio',
trade_date=self.ctx.trade_date)
self.ctx.pm.add_task(task)
# Send Orders to Exchange
for entrust_no, order in orders.items():
self.entrust_no_task_id_map[entrust_no] = task.task_id
order_status_ind = OrderStatusInd(order)
order_status_ind.order_status = common.ORDER_STATUS.ACCEPTED
self._order_status_callback(order_status_ind)
def goal_portfolio(self, positions, algo="", algo_param={}, userdata=""):
# Generate Orders
task_id = self._get_next_task_id()
orders = []
for goal in positions:
sec, goal_size = goal['symbol'], goal['size']
if sec in self.ctx.pm.holding_securities:
current_size = self.ctx.pm.get_position(sec).current_size
else:
current_size = 0
diff_size = goal_size - current_size
if diff_size != 0:
action = common.ORDER_ACTION.BUY if diff_size > 0 else common.ORDER_ACTION.SELL
order = FixedPriceTypeOrder.new_order(sec, action, 0.0, abs(diff_size), self.ctx.trade_date, 0)
if algo == 'vwap':
order.price_target = 'vwap' # TODO
elif algo == '':
order.price_target = 'vwap'
else:
raise NotImplementedError("goal_portfolio algo = {}".format(algo))
order.task_id = task_id
orders.append(order)
# Generate Task
task = Task(task_id,
algo=algo, algo_param=algo_param, data=orders,
function_name='goal_portfolio', trade_date=self.ctx.trade_date)
self.ctx.pm.add_task(task)
# Send Orders to Exchange
for order in orders:
entrust_no = self._simulator.add_order(order)
# task.data.entrust_no = entrust_no
self.entrust_no_task_id_map[entrust_no] = task.task_id
order_status_ind = OrderStatusInd(order)
order_status_ind.order_status = common.ORDER_STATUS.ACCEPTED
self._order_status_callback(order_status_ind)
def place_order(self, security, action, price, size, algo="", algo_param={}, userdata=""):
if size <= 0:
print("Invalid size {}".format(size))
return
# Generate Order
if algo == 'vwap':
order_type = common.ORDER_TYPE.VWAP
else:
order_type = common.ORDER_TYPE.LIMIT
order = Order.new_order(security, action, price, size, self.ctx.trade_date, self.ctx.time,
order_type=order_type)
# Generate Task
task_id = self._get_next_task_id()
order.task_id = task_id
task = Task(task_id,
algo=algo, algo_param=algo_param, data=order,
function_name='place_order', trade_date=self.ctx.trade_date)
# task.task_no = task_id
# Send Order to Exchange
entrust_no = self._orderbook.add_order(order)
task.data.entrust_no = entrust_no
self.ctx.pm.add_task(task)
self.entrust_no_task_id_map[entrust_no] = task.task_id
order_status_ind = OrderStatusInd(order)
order_status_ind.order_status = common.ORDER_STATUS.ACCEPTED
# order_status_ind.task_no = task_id
self._order_status_callback(order_status_ind)
'''
# TODO: not necessary
rsp = OrderRsp(entrust_no=entrust_no, task_id=task_id, msg="")
self.ctx.instance.strategy.on_order_rsp(rsp)
'''
return task_id, ""
