def make_market(self, bars):
""" 价格撮合"""
#for order in self._open_orders:
#print order.id
fill_orders = set()
for order in self._open_orders:
if order.side == TradeSide.CANCEL:
transact = Transaction(order)
self.events.put(FillEvent(transact))
fill_orders.add(order)
continue
try:
bar = bars[order.contract]
except KeyError:
logger.error('所交易的合约[%s]数据不存在' % order.contract)
continue
transact = Transaction(order)
if self._strict:
if order.price_type == PriceType.LMT:
# 限价单以最高和最低价格为成交的判断条件．
if (order.side == TradeSide.KAI and \
(order.direction == Direction.LONG and order.price >= bar.low or \
order.direction == Direction.SHORT and order.price <= bar.high)) or \
(order.side == TradeSide.PING and \
(order.direction == Direction.LONG and order.price <= bar.high or \
order.direction == Direction.SHORT and order.price >= bar.low)):
transact.price = order.price
# Bar的结束时间做为交易成交时间.
transact.datetime = bar.datetime
fill_orders.add(order)
self.events.put(FillEvent(transact))
elif order.price_type == PriceType.MKT:
# 市价单以最高或最低价格为成交价格．
if order.side == TradeSide.KAI:
if order.direction == Direction.LONG:
transact.price = bar.high
else:
transact.price = bar.low
elif order.side == TradeSide.PING:
if order.direction == Direction.LONG:
transact.price = bar.low
else:
transact.price = bar.high
transact.datetime = bar.datetime
fill_orders.add(order)
self.events.put(FillEvent(transact))
else:
transact.datetime = bar.datetime
fill_orders.add(order)
#
self.events.put(FillEvent(transact))
# end of for
if fill_orders:
self._open_orders -= fill_orders
def make_market(self, bars):
""" 价格撮合"""
#for order in self._open_orders:
#print order.id
fill_orders = set()
for order in self._open_orders:
if order.side == TradeSide.CANCEL:
transact = Transaction(order)
self.events.put(FillEvent(transact))
fill_orders.add(order)
continue
try:
bar = bars[order.contract]
except KeyError:
logger.error('所交易的合约[%s]数据不存在' % order.contract)
continue
transact = Transaction(order)
if self._strict:
if order.price_type == PriceType.LMT:
# 限价单以最高和最低价格为成交的判断条件．
if (order.side == TradeSide.KAI and \
(order.direction == Direction.LONG and order.price >= bar.low or \
order.direction == Direction.SHORT and order.price <= bar.high)) or \
(order.side == TradeSide.PING and \
(order.direction == Direction.LONG and order.price <= bar.high or \
order.direction == Direction.SHORT and order.price >= bar.low)):
transact.price = order.price
# Bar的结束时间做为交易成交时间.
transact.datetime = bar.datetime
fill_orders.add(order)
self.events.put(FillEvent(transact))
elif order.price_type == PriceType.MKT:
# 市价单以最高或最低价格为成交价格．
if order.side == TradeSide.KAI:
if order.direction == Direction.LONG:
transact.price = bar.high
else:
transact.price = bar.low
elif order.side == TradeSide.PING:
if order.direction == Direction.LONG:
transact.price = bar.low
else:
transact.price = bar.high
transact.datetime = bar.datetime
fill_orders.add(order)
self.events.put(FillEvent(transact))
else:
transact.datetime = bar.datetime
fill_orders.add(order)
#
self.events.put(FillEvent(transact))
# end of for
if fill_orders:
self._open_orders -= fill_orders
def rolling_forward(self):
""" 滚动读取下一步的数据。 """
self.new_row, self.last_curbar = self._Helper.rolling_forward()
if not self.new_row:
self.last_curbar -= 1
return False, None
self.next_datetime = self._Helper.data.index[self.last_curbar]
if self.datetime[0] >= self.next_datetime and self.curbar != 0:
logger.error('合约[%s] 数据时间逆序或冗余' % self.pcontract)
raise
return True, self.new_row
def rolling_forward(self):
""" 滚动读取下一步的数据。 """
self.new_row, self.last_curbar = self._Helper.rolling_forward()
if not self.new_row:
self.last_curbar -= 1
return False, None
self.next_datetime = self._Helper.data.index[self.last_curbar]
if self.datetime[0] >= self.next_datetime and self.curbar != 0:
logger.error('合约[%s] 数据时间逆序或冗余' % self.pcontract)
raise
return True, self.new_row
def rolling_forward(self):
""" 滚动读取下一步的数据。 """
new_row, self.last_curbar = self._wrapper.rolling_forward()
if not new_row:
self.last_curbar -= 1
return False, None
self.last_row = [1] # mark
self.last_date = self._wrapper.data.index[self.last_curbar]
if self.datetime[0] >= self.last_date and self.curbar != 0:
logger.error('合约[%s] 数据时间逆序或冗余' % self.pcontract)
assert (False)
return True, new_row
def rolling_forward(self):
""" 滚动读取下一步的数据。 """
new_row, self.last_curbar = self._wrapper.rolling_forward()
if not new_row:
self.last_curbar -= 1
return False, None
self.last_row = [1] # mark
self.last_date = self._wrapper.data.index[self.last_curbar]
if self.datetime[0] >= self.last_date and self.curbar != 0:
logger.error('合约[%s] 数据时间逆序或冗余' % self.pcontract)
assert(False)
return True, new_row
