def fillMarketOrder(self, broker_, order, bar):
# Calculate the fill size for the order.
fillSize = self.__calculateFillSize(broker_, order, bar)
if fillSize == 0:
broker_.getLogger().debug(
"Not enough volume to fill %s market order [%s] for %s share/s" % (
order.getInstrument(),
order.getId(),
order.getRemaining()
)
)
return None
# Unless its a fill-on-close order, use the open price.
if order.getFillOnClose():
price = bar.getClose(broker_.getUseAdjustedValues())
else:
price = bar.getOpen(broker_.getUseAdjustedValues())
assert price is not None
# Don't slip prices when the bar represents the trading activity of a single trade.
if bar.getFrequency() != pyalgotrade.bar.Frequency.TRADE:
price = self.__slippageModel.calculatePrice(
order, price, fillSize, bar, self.__volumeUsed[order.getInstrument()]
)
return FillInfo(price, fillSize)
def onBars(self, bars):
if self.__instrument not in bars or len(
self.resampled_bars) < self.maxLength * 3 or 'old' in bars[
self.__instrument].getExtraColumns() or not self.running:
return
bar = bars[self.__instrument]
if bar.getFrequency() == self._resampledBF.getFrequency():
super().log_orderfill(self._resampledBF.getFrequency())
# prices_high = bar_ds_high_to_numpy(self.resampled_bars, self.lb)
# prices_low = bar_ds_low_to_numpy(self.resampled_bars, self.lb)
#
# ph = np.max(prices_high)
# pl = np.min(prices_low)
prices_close = bar_ds_close_to_numpy(self.resampled_bars, self.lb)
ph = np.min(prices_close)
pl = np.max(prices_close)
self.entry("Long", self.__instrument, self.long, self.__posSize,
ph - self.i)
self.entry("Lng", self.__instrument, not self.long, self.__posSize,
pl + self.i)
def fillMarketOrder(self, broker_, order, bar):
# Calculate the fill size for the order.
# redefined
fillSize = self.__calculateFillSize(broker_, order, bar)
if fillSize == 0:
broker_.getLogger().debug(
"Not enough volume to fill %s market order [%s] for %s share/s"
% (order.getInstrument(), order.getId(), order.getRemaining()))
return None
# here fill on close is changed its meaning ,it means whether use the opposite value
if order.getFillOnClose():
if order.getAction() == pyalgotrade.broker.Order.Action.BUY:
price = bar.getAp()
else: #sell short
price = bar.getBp()
else:
if order.getAction(
) == pyalgotrade.broker.Order.Action.BUY: #not use the opposite value
price = bar.getBp()
else:
price = bar.getAp()
assert price is not None
# Don't slip prices when the bar represents the trading activity of a single trade.
if bar.getFrequency() != pyalgotrade.bar.Frequency.TRADE:
price = self.__slippageModel.calculatePrice(
order, price, fillSize, bar,
self.__volumeUsed[order.getInstrument()])
return FillInfo(price, fillSize)
def fillMarketOrder(self, broker_, order, bar):
broker_.getLogger().debug('fillMarketOrder')
# Calculate the fill size for the order.
fillSize = self.__calculateFillSize(broker_, order, bar)
if fillSize == 0:
broker_.getLogger().debug(
"Not enough volume to fill %s market order [%s] for %s share/s"
% (order.getInstrument(), order.getId(), order.getRemaining()))
return None
# Unless its a fill-on-close order, use the open price.
if order.getFillOnClose():
broker_.getLogger().debug('fillMarketOrder -> getFillOnClose()')
price = bar.getClose(broker_.getUseAdjustedValues())
else:
broker_.getLogger().debug('fillMarketOrder -> getFillOnOpen()')
price = bar.getOpen(broker_.getUseAdjustedValues())
assert price is not None
# Don't slip prices when the bar represents the trading activity of a single trade.
if bar.getFrequency() != pyalgotrade.bar.Frequency.TRADE:
price = self.__slippageModel.calculatePrice(
order, price, fillSize, bar,
self.__volumeUsed[order.getInstrument()])
broker_.getLogger().debug('fillMarketOrder, return FillInfo')
return FillInfo(price, fillSize)
def onBars(self, dateTime, bars):
# Update the volume available for each instrument.
volumeLeft = {}
for instrument in bars.getInstruments():
bar = bars[instrument]
if bar.getFrequency() == pyalgotrade.bar.Frequency.TRADE:
volumeLeft[instrument] = bar.getVolume()
elif self.__volumeLimit is not None:
volumeLeft[instrument] = bar.getVolume() * self.__volumeLimit
self.__volumeLeft = volumeLeft
def onBars(self, broker_, bars):
volumeLeft = {}
for instrument in bars.getInstruments():
bar = bars[instrument]
# Update the volume available for each instrument.
if bar.getFrequency() == pyalgotrade.bar.Frequency.TRADE:
volumeLeft[instrument] = bar.getVolume()
elif self.__volumeLimit is not None:
volumeLeft[instrument] = bar.getVolume() * self.__volumeLimit
# Update the volume used for each instrument.
self.__volumeUsed[instrument] = 0.0
self.__volumeLeft = volumeLeft
def onBars(self, broker_, bars):
volumeLeft = {}
for instrument in bars.getInstruments():
bar = bars[instrument]
# Reset the volume available for each instrument.
if bar.getFrequency() == pyalgotrade.bar.Frequency.TRADE:
volumeLeft[instrument] = bar.getVolume()
elif self.__volumeLimit is not None:
# We can't round here because there is no order to request the instrument traits.
volumeLeft[instrument] = bar.getVolume() * self.__volumeLimit
# Reset the volume used for each instrument.
self.__volumeUsed[instrument] = 0.0
self.__volumeLeft = volumeLeft
def onBars(self, broker_, bars):
volumeLeft = {}
for instrument in bars.getInstruments():
bar = bars[instrument]
# Reset the volume available for each instrument.
if bar.getFrequency() == pyalgotrade.bar.Frequency.TRADE:
volumeLeft[instrument] = bar.getVolume()
elif self.__volumeLimit is not None:
# We can't round here because there is no order to request the instrument traits.
volumeLeft[instrument] = bar.getVolume() * self.__volumeLimit
# Reset the volume used for each instrument.
self.__volumeUsed[instrument] = 0.0
self.__volumeLeft = volumeLeft
def onBarsFrequency(self, dt, bars):
#这里需要划分交易所
try:
k = []
Frequency = None
for key in bars.keys():
bar = bars[key]
Frequency = bar.getFrequency()
#更新self.__kline
k = self._kline[Frequency].get(key)
except Exception as e:
logging.error('%r', e)
def __getFillSize(self, order, bar):
if self.__volumeLimit is not None:
# If these are trade bars, then allow the whole volume to be used.
if bar.getFrequency() == pyalgotrade.bar.Frequency.TRADE:
maxQuantity = bar.getVolume()
else:
maxQuantity = bar.getVolume() * self.__volumeLimit
if order.getQuantity() > maxQuantity:
# Partial fills not supported yet.
ret = None
else:
ret = order.getQuantity()
else:
ret = order.getQuantity()
return ret
def onBars(self, broker_, bars):
self.__volumeUsed = {}
self.__volumeLeft = {}
# Reset volumes.
for bar in bars.getBars():
instrument = bar.getInstrument()
self.__volumeUsed[instrument] = 0.0
if self.__volumeLimit is not None:
# For TRADE bars we can use all the volume available.
if bar.getFrequency() == pyalgotrade.bar.Frequency.TRADE:
volumeLeft = bar.getVolume()
else:
volumeLeft = self.__instrumentTraits.round(
bar.getVolume() * self.__volumeLimit,
bar.getInstrument().symbol,
roundDown=True)
self.__volumeLeft[instrument] = volumeLeft
def fillStopOrder(self, broker_, order, bar):
ret = None
# First check if the stop price was hit so the market order becomes active.
stopPriceTrigger = None
if not order.getStopHit():
stopPriceTrigger = get_stop_price_trigger(
order.getAction(),
order.getStopPrice(),
broker_.getUseAdjustedValues(),
bar
)
order.setStopHit(stopPriceTrigger is not None)
# If the stop price was hit, check if we can fill the market order.
if order.getStopHit():
# Calculate the fill size for the order.
fillSize = self.__calculateFillSize(broker_, order, bar)
if fillSize == 0:
broker_.getLogger().debug("Not enough volume to fill %s stop order [%s] for %s share/s" % (
order.getInstrument(),
order.getId(),
order.getRemaining()
))
return None
# If we just hit the stop price we'll use it as the fill price.
# For the remaining bars we'll use the open price.
if stopPriceTrigger is not None:
price = stopPriceTrigger
else:
price = bar.getOpen(broker_.getUseAdjustedValues())
assert price is not None
# Don't slip prices when the bar represents the trading activity of a single trade.
if bar.getFrequency() != pyalgotrade.bar.Frequency.TRADE:
price = self.__slippageModel.calculatePrice(
order, price, fillSize, bar, self.__volumeUsed[order.getInstrument()]
)
ret = FillInfo(price, fillSize)
return ret
def fillStopOrder(self, broker_, order, bar):
ret = None
# First check if the stop price was hit so the market order becomes active.
stopPriceTrigger = None
if not order.getStopHit():
stopPriceTrigger = get_stop_price_trigger(
order.getAction(),
order.getStopPrice(),
broker_.getUseAdjustedValues(),
bar
)
order.setStopHit(stopPriceTrigger is not None)
# If the stop price was hit, check if we can fill the market order.
if order.getStopHit():
# Calculate the fill size for the order.
fillSize = self.__calculateFillSize(broker_, order, bar)
if fillSize == 0:
broker_.getLogger().debug("Not enough volume to fill %s stop order [%s] for %s share/s" % (
order.getInstrument(),
order.getId(),
order.getRemaining()
))
return None
# If we just hit the stop price we'll use it as the fill price.
# For the remaining bars we'll use the open price.
if stopPriceTrigger is not None:
price = stopPriceTrigger
else:
price = bar.getOpen(broker_.getUseAdjustedValues())
assert price is not None
# Don't slip prices when the bar represents the trading activity of a single trade.
if bar.getFrequency() != pyalgotrade.bar.Frequency.TRADE:
price = self.__slippageModel.calculatePrice(
order, price, fillSize, bar, self.__volumeUsed[order.getInstrument()]
)
ret = FillInfo(price, fillSize)
return ret
