def send_leg_order(self,
vt_symbol: str,
leg_volume: float,
borrowmoney=False):
""""""
leg = self.spread.legs[vt_symbol]
leg_contract = self.get_contract(vt_symbol)
if leg_volume > 0:
if vt_symbol == self.spread.active_leg.vt_symbol:
price = round_to(
self.spread.active_leg.ask_price +
leg_contract.pricetick * self.spread.payup * 10,
leg_contract.pricetick)
else:
price = round_to(
self.spread.passive_leg.ask_price +
leg_contract.pricetick * self.spread.payup,
leg_contract.pricetick)
self.send_long_order(leg.vt_symbol, price, abs(leg_volume))
elif leg_volume < 0:
if vt_symbol == self.spread.active_leg.vt_symbol:
# print(self.algo_engine.spread_engine.data_engine.margin_accounts)
price = round_to(
self.spread.active_leg.bid_price -
leg_contract.pricetick * self.spread.payup * 10,
leg_contract.pricetick)
else:
price = round_to(
self.spread.passive_leg.bid_price -
leg_contract.pricetick * self.spread.payup,
leg_contract.pricetick)
self.send_short_order(leg.vt_symbol, price, abs(leg_volume),
borrowmoney)
def hedge_passive_leg(self):
"""
Send orders to hedge all passive legs.
"""
# 是否有被动腿对冲单挂单，有则不再进行对冲
if not self.check_passive_order_finished():
return
active_traded = round_to(self.active_leg.net_pos,
self.spread.min_volume)
hedge_volume = self.spread.calculate_spread_volume(
self.active_leg.vt_symbol, active_traded)
# Calculate passive leg target volume and do hedge
# passive_traded = self.leg_traded[self.passive_leg.vt_symbol]
passive_traded = round_to(self.passive_leg.net_pos,
self.spread.min_volume)
passive_target = self.spread.calculate_leg_volume(
self.passive_leg.vt_symbol, hedge_volume)
leg_order_volume = passive_target - passive_traded
if abs(leg_order_volume) * self.passive_leg.bids[0, 0] > 12:
self.send_passiveleg_order(leg_order_volume)
self.write_log(
f'hedge_passive_leg active_traded: {active_traded}, passive_target: {passive_target}, passive_traded: {passive_traded}'
)
return False
return True
def hedge_passive_leg(self):
"""
Send orders to hedge all passive legs.
"""
# Calcualte spread volume to hedge
# active_leg = self.spread.active_leg
# active_traded = self.leg_traded[active_leg.vt_symbol]
active_traded = round_to(self.spread.active_leg.net_pos,
self.spread.min_volume)
hedge_volume = self.spread.calculate_spread_volume(
self.spread.active_leg.vt_symbol, active_traded)
# Calculate passive leg target volume and do hedge
# passive_traded = self.leg_traded[self.spread.passive_leg.vt_symbol]
passive_traded = round_to(self.spread.passive_leg.net_pos,
self.spread.min_volume)
passive_target = self.spread.calculate_leg_volume(
self.spread.passive_leg.vt_symbol, hedge_volume)
leg_order_volume = passive_target - passive_traded
if abs(leg_order_volume) * self.spread.passive_leg.last_price > 12:
self.send_leg_order(self.spread.passive_leg.vt_symbol,
leg_order_volume)
# self.write_log(f'HEDGE PASSIVE LEG>>>spread.bid_price:{self.spread.bid_price}, activeleg.bid_price:{self.spread.active_leg.bid_price}, passiveleg.ask_price:{self.spread.passive_leg.ask_price}, send order:{datetime.now()}, tick datetime: {self.spread.active_leg.tick.datetime}, event_engine size:{self.algo_engine.event_engine.get_qsize()}. active_traded: {active_traded}, passive_traded: {passive_traded}, passive_target: {passive_target}')
return False
return True
def send_order(self,
vt_symbol: str,
price: float,
volume: float,
direction: Direction,
borrowmoney=False):
""""""
# For inverse contract:
# calculate contract trading volume from coin trading volume
if self.spread.is_inverse(vt_symbol):
size = self.spread.get_leg_size(vt_symbol)
volume = volume * price / size
# Round order volume to min_volume of contract
leg = self.spread.legs[vt_symbol]
volume = round_to(volume, leg.min_volume)
vt_orderids = self.algo_engine.send_order(self, vt_symbol, price,
volume, direction,
borrowmoney)
self.leg_orders[vt_symbol].extend(
[[vt_orderid, price, volume, direction]
for vt_orderid in vt_orderids])
msg = "发出委托，{}，{}，{}@{}".format(vt_symbol, direction, volume, price)
self.write_log(msg)
return vt_orderids[0]
def send_passiveleg_order(self,
leg_volume: float,
borrowmoney=False,
PAYUPN=1):
""""""
if leg_volume > 0:
price = round_to(
self.passive_leg.asks[0, 0] * (1 + self.payup * PAYUPN),
self.passive_leg.pricetick)
self.send_long_order(self.passive_leg.vt_symbol, price, leg_volume)
elif leg_volume < 0:
price = round_to(
self.passive_leg.bids[0, 0] * (1 - self.payup * PAYUPN),
self.passive_leg.pricetick)
self.send_short_order(self.passive_leg.vt_symbol, price,
abs(leg_volume))
def calculate_traded(self):
""""""
self.traded = 0
# print('algo template calculate_traded>>>>')
for n, leg in enumerate(self.spread.legs.values()):
leg_traded = self.leg_traded[leg.vt_symbol]
trading_multiplier = self.spread.trading_multipliers[leg.vt_symbol]
adjusted_leg_traded = leg_traded / trading_multiplier
adjusted_leg_traded = round_to(adjusted_leg_traded,
self.spread.min_volume)
if adjusted_leg_traded > 0:
adjusted_leg_traded = floor_to(adjusted_leg_traded,
self.spread.min_volume)
else:
adjusted_leg_traded = ceil_to(adjusted_leg_traded,
self.spread.min_volume)
if not n:
self.traded = adjusted_leg_traded
else:
if adjusted_leg_traded > 0:
self.traded = min(self.traded, adjusted_leg_traded)
elif adjusted_leg_traded < 0:
self.traded = max(self.traded, adjusted_leg_traded)
else:
self.traded = 0
self.traded_volume = abs(self.traded)
if self.traded == self.target:
self.status = Status.ALLTRADED
# print("algo calculate_traded: %s status is ALLTRADE" % self.algoid)
elif not self.traded:
self.status = Status.NOTTRADED
# print("algo calculate_traded: %s status is NOTTRADED" % self.algoid)
else:
self.status = Status.PARTTRADED
def short_active_leg(self, shadow_ask, bestask, vol):
# # 10档报价低于要提报价格，则不报。
# if self.active_leg.asks[19,0] < shadow_ask:
# if self.submitting_short_dict['order_id'] and self.cancel_short_orderid is None:
# if self.submitting_short_dict['status'] in [Status.NOTTRADED, Status.PARTTRADED]:
# self.cancel_order(self.submitting_short_dict['order_id'])
# self.cancel_short_orderid = self.submitting_short_dict['order_id']
# self.write_log(f"higher then 9th asks, cancel order, oder_id: {self.cancel_short_orderid}, 9th ask: {self.active_leg.asks[9,0]}, shadow_ask :{shadow_ask}", level=DEBUG)
# 开始报价
if bestask > shadow_ask:
# if shadow_ask < bestask:
# # 根据 bestask shadow_ask
# shadow_ask = bestask - self.active_leg.pricetick * 2
# shadow_ask = round_to(shadow_ask, self.active_leg.pricetick)
# else:
shadow_ask = round_to(shadow_ask, self.active_leg.pricetick)
# 如果没有报单，则发出委托；否则取消原委托
if self.submitting_short_dict['order_id'] is None and self.hedging:
borrow = False
if vol > self.algo_engine.margin_accounts[
self.active_leg.vt_symbol].free:
# 可借不足，调整数量
if (vol - self.algo_engine.margin_accounts[
self.active_leg.vt_symbol].free
) > self.algo_engine.margin_accounts[
self.active_leg.vt_symbol].max_borrow:
vol = self.algo_engine.margin_accounts[
self.active_leg.
vt_symbol].free + self.algo_engine.margin_accounts[
self.active_leg.vt_symbol].max_borrow * 0.9
borrow = True
self.algo_engine.margin_accounts[
self.active_leg.vt_symbol].free = vol
self.algo_engine.margin_accounts[
self.active_leg.vt_symbol].max_borrow -= (
vol - self.algo_engine.margin_accounts[
self.active_leg.vt_symbol].free)
# 不足最小金额，立即返回
if shadow_ask * vol < 12:
return
self.submitting_short_dict['order_id'] = self.send_short_order(
self.active_leg.vt_symbol, shadow_ask, vol, borrow)
self.submitting_short_dict['price'] = shadow_ask
self.submitting_short_dict['status'] = Status.SUBMITTING
self.submitting_short_dict['vol'] = vol
if borrow:
self.cancel_short_orderid = self.submitting_short_dict[
'order_id']
else:
if self.submitting_short_dict['status'] in [
Status.NOTTRADED, Status.PARTTRADED
]:
if (abs(self.submitting_short_dict['price'] - shadow_ask) >
shadow_ask *
0.0002) and self.cancel_short_orderid is None:
self.cancel_order(
self.submitting_short_dict['order_id'])
self.cancel_short_orderid = self.submitting_short_dict[
'order_id']
self.write_log(
f"short more than 2%%, last short: {self.submitting_short_dict['price']}, this shadow_ask: {shadow_ask}"
)
else:
if self.submitting_short_dict[
'order_id'] and self.submitting_short_dict['status'] in [
Status.NOTTRADED, Status.PARTTRADED
] and self.cancel_short_orderid is None:
if (abs(self.submitting_short_dict['price'] - shadow_ask) >
shadow_ask *
0.0002) and self.cancel_short_orderid is None:
self.cancel_order(self.submitting_short_dict['order_id'])
self.cancel_short_orderid = self.submitting_short_dict[
'order_id']
self.write_log(
f"price out, bestask: {bestask} short more than 3 tick, last short: {self.submitting_short_dict['price']}, this shadow_ask: {shadow_ask}"
)
def long_active_leg(self, shadow_bid, bestbid, vol):
# # 10档价格高于预报价，则不报。
# if self.active_leg.bids[19,0] > shadow_bid:
# if self.submitting_long_dict['order_id'] and self.cancel_long_orderid is None:
# if self.submitting_long_dict['status'] in [Status.NOTTRADED, Status.PARTTRADED]:
# self.cancel_order(self.submitting_long_dict['order_id'])
# self.cancel_long_orderid = self.submitting_long_dict['order_id']
# self.write_log(f"lower then 9th bids, cancel order, oder_id: {self.cancel_long_orderid}, 9th bids: {self.active_leg.bids[9,0]}, shadow_bid: {shadow_bid}", level=DEBUG)
# 开始报价
if bestbid < shadow_bid:
# if shadow_bid > bestbid:
# # 根据 bestbid 调整shadow_bids
# shadow_bid = bestbid + self.active_leg.pricetick * 2
# shadow_bid = round_to(shadow_bid, self.active_leg.pricetick)
# else:
shadow_bid = round_to(shadow_bid, self.active_leg.pricetick)
# 如果没有报单，则发出委托；否则取消原委托
if self.submitting_long_dict['order_id'] is None and self.hedging:
# 可用资金不足，调整数量
if shadow_bid * vol > self.algo_engine.margin_accounts[
"USDTUSDT." + self.active_leg.exchange.value].free:
vol = self.algo_engine.margin_accounts[
"USDTUSDT." +
self.active_leg.exchange.value].free * 0.9 / shadow_bid
# 不足最小金额，立即返回
if shadow_bid * vol < 12:
return
self.submitting_long_dict['order_id'] = self.send_long_order(
self.active_leg.vt_symbol, shadow_bid, vol)
self.submitting_long_dict['price'] = shadow_bid
self.submitting_long_dict['status'] = Status.SUBMITTING
self.submitting_long_dict['vol'] = vol
else:
if self.submitting_long_dict['status'] in [
Status.NOTTRADED, Status.PARTTRADED
]:
if (abs(self.submitting_long_dict['price'] - shadow_bid) >
shadow_bid *
0.0002) and self.cancel_long_orderid is None:
self.cancel_order(
self.submitting_long_dict['order_id'])
self.cancel_long_orderid = self.submitting_long_dict[
'order_id']
self.write_log(
f"long more than 2%%, last long: {self.submitting_long_dict['price']}, this shadow_bid: {shadow_bid}"
)
else:
if self.submitting_long_dict[
'order_id'] and self.submitting_long_dict['status'] in [
Status.NOTTRADED, Status.PARTTRADED
] and self.cancel_long_orderid is None:
if (abs(self.submitting_long_dict['price'] - shadow_bid) >
shadow_bid *
0.0002) and self.cancel_long_orderid is None:
self.cancel_order(self.submitting_long_dict['order_id'])
self.cancel_long_orderid = self.submitting_long_dict[
'order_id']
self.write_log(
f"price out bestbid: {bestbid}, long more than 3 tick, last long: {self.submitting_long_dict['price']}, this shadow_bid: {shadow_bid}"
)