if settlement_price is None:
if "FUTURE" in str(product):
settlement_price = 30000
else:
settlement_price = 0
pricey = settlement_price
depth_level = 1
while depth_level <= 1:
for i in range(0, 2):
side = aenums.TT_BUY
custDefaults = custDefaults0
kwantiteh = 800
if i == 1:
side = aenums.TT_SELL
custDefaults = custDefaults1
kwantiteh = 1
pricey = (cppclient.TTTick.PriceIntToInt(pricey, contract, +1))
orderParams = dict(order_qty=kwantiteh, buy_sell=side, order_action=aenums.TT_ORDER_ACTION_ADD, limit_prc=pricey, order_type=aenums.TT_LIMIT_ORDER, tif="GTC", srs=contract, exchange_clearing_account=custDefaults.exchange_clearing_account, clearing_mbr=custDefaults.exchange_sub_account, exchange_sub_account=custDefaults.exchange_sub_account, free_text=custDefaults.free_text, acct_type=cppclient.AEnum_Account.TT_ACCT_AGENT_1)
newOrder = TTAPIOrder()
newOrder.setFields(**orderParams)
if i == 0:
orderSession0.send(newOrder)
else:
orderSession0.send(newOrder)
depth_level += 1
if create_depth:
pricey = (cppclient.TTTick.PriceIntToInt(pricey, contract, +1))
break
break
exchange_clearing_account=custDefaults.
exchange_clearing_account) #, stop_prc=stop_pricey)
newOrder = TTAPIOrder()
newOrder.setFields(**orderParams)
# newOrder.order_flags = aenums.TT_IF_TOUCHED_MOD_CODE
if restriction is not None:
newOrder.order_restrict = restriction
if tiffy == 'GTDATE':
newOrder.order_exp_date = date2_ttDate(
datetime.datetime(year=time.localtime()[0],
month=time.localtime()[1],
day=time.localtime()[2]))
newOrder2 = TTAPIOrder()
newOrder2.setFields(**orderParams)
newOrder2.order_exp_date = date2_ttDate(
datetime.datetime(year=time.localtime()[0],
month=time.localtime()[1],
day=time.localtime()[2] + 1))
orderSession.send(newOrder2)
if tiffy == 'IOC':
newOrder.order_restrict = aenums.TT_IOC_ORDER_RES
# newOrder.tiffy = 'GTD'
if tiffy == 'FOK':
newOrder.order_restrict = aenums.TT_FOK_ORDER_RES
# newOrder.tiffy = 'GTD'
orderSession.send(newOrder)
exit()
# break
newOrderB2.limit_prc = 20500 newOrderB2.buy_sell = aenums.TT_SELL newOrderC1.setFields(**orderParams) newOrderC1.limit_prc = 21001 newOrderD1.setFields(**orderParams) newOrderD1.limit_prc = 21001 newOrderD1.buy_sell = aenums.TT_SELL orderSession.send(newOrderA1) orderSession.send(newOrderA2) time.sleep(180) orderSession.send(newOrderB1) orderSession.send(newOrderB2) time.sleep(120) orderSession.send(newOrderC1) time.sleep(60)
orderParams = dict(
order_qty=40,
buy_sell=side,
order_action=aenums.TT_ORDER_ACTION_ADD,
limit_prc=order_prc,
order_type=aenums.TT_LIMIT_ORDER,
tif="GTD",
srs=contract,
exchange_clearing_account=custDefaults.
exchange_clearing_account,
free_text=custDefaults.free_text,
acct_type=cppclient.AEnum_Account.
TT_ACCT_AGENT_1)
newOrder = TTAPIOrder()
newOrder.setFields(**orderParams)
orderSession.send(newOrder)
depth_level += 1
dd += 1
buy_cross_order_prc = (cppclient.TTTick.PriceIntToInt(
pricey, contract, +3))
sell_cross_order_prc = (cppclient.TTTick.PriceIntToInt(
pricey, contract, -3))
for side in [aenums.TT_SELL, aenums.TT_BUY]:
order_prc = sell_cross_order_prc if "SELL" in str(
side) else buy_cross_order_prc
orderParams = dict(
order_qty=40,
buy_sell=side,
order_action=aenums.TT_ORDER_ACTION_ADD,
limit_prc=order_prc,
order_type=aenums.TT_LIMIT_ORDER,