def update_signal(self, event):
""" 处理策略函数产生的下单事件。
可能产生一系列order事件，在bar的开盘时间交易。
"""
assert event.type == Event.SIGNAL
new_orders = []
for order in event.orders:
errmsg = self._valid_order(order)
if errmsg == '':
order.datetime = self._datetime
new_orders.append(order)
if order.side == TradeSide.KAI:
self.holding['cash'] -= \
order.order_margin(self._bars[order.contract].open)
else:
logger.warn(errmsg)
# print len(event.orders), len(new_orders)
continue
self.open_orders.update(new_orders) # 改变对象的值，不改变对象地址。
self._all_orders.extend(new_orders)
for order in new_orders:
self.api.order(copy.deepcopy(order))
for order in new_orders:
if order.side == TradeSide.PING:
pos = self.positions[
PositionKey(order.contract, order.direction)]
pos.closable -= order.quantity
def _valid_order(self, order):
""" 判断订单是否合法。 """
if order.side == TradeSide.PING:
try:
pos = self.current_positions[order.contract]
if pos.quantity >= order.quantity:
return True
except KeyError:
# 没有持有该合约
logger.warn("不存在合约[%s]" % order.contract)
#assert False
return False
logger.warn("下单仓位问题")
return False
elif order.side == TradeSide.KAI:
if self.current_holdings['cash'] < order.price * order.quantity:
raise Exception('没有足够的资金开仓')
return True
def _valid_order(self, order):
if order.quantity <= 0:
logger.warn("下单数量错误！")
return False
""" 判断订单是否合法。 """
if order.side == TradeSide.PING:
try:
poskey = PositionKey(order.contract, order.direction)
pos = self.positions[poskey]
if pos.quantity >= order.quantity:
return True
except KeyError:
# 没有持有该合约
logger.warn("不存在合约[%s]" % order.contract)
#assert False
return False
logger.warn("下单仓位问题")
return False
elif order.side == TradeSide.KAI:
if self.holding['cash'] < order.price * order.quantity:
raise TradingError(err='没有足够的资金开仓')
else:
new_price = self._ticks[order.contract]
self.holding['cash'] -= order.order_margin(new_price)
return True
def _valid_order(self, order):
""" 判断订单是否合法。 """
if order.quantity<=0:
logger.warn("下单数量错误！")
return False
# 撤单
if order.side == TradeSide.CANCEL:
if order in self.open_orders:
return True
else:
raise TradingError(err='撤销失败： 不存在该订单！')
if order.side == TradeSide.PING:
try:
poskey = PositionKey(order.contract, order.direction)
pos = self.positions[poskey]
if pos.quantity >= order.quantity:
return True
except KeyError:
# 没有持有该合约
logger.warn("不存在合约[%s]" % order.contract)
#assert False
return False
logger.warn("下单仓位问题")
return False
elif order.side == TradeSide.KAI:
if self.holding['cash'] < order.price * order.quantity:
raise TradingError(err='没有足够的资金开仓')
else:
new_price = self._ticks[order.contract]
self.holding['cash'] -= order.order_margin(new_price)
return True
def process_trading_events(self, append):
""" 提交订单，撮合，更新持仓 """
if self._orders:
self.events_pool.put(SignalEvent(self._orders))
self._orders = []
new_signal = False # 保证至少一次价格撮合。
event = None
while True:
# 事件处理。
try:
event = self.events_pool.get()
except Queue.Empty:
assert(False)
except IndexError:
if new_signal:
break
else:
#if event.type == 'MARKET':
#strategy.calculate_signals(event)
#port.update_timeindex(event)
if event.type == Event.SIGNAL:
try:
self.blotter.update_signal(event)
except TradingError as e:
new_signal = True
logger.warn(e)
return
elif event.type == Event.ORDER:
self.exchange.insert_order(event)
elif event.type == Event.FILL:
# 模拟交易接口收到报单成交
self.blotter.api.on_transaction(event)
# 价格撮合。note: bar价格撮合要求撮合置于运算后面。
if event == None or event.type == Event.ORDER:
self.exchange.make_market(self.blotter._bars)
new_signal = True
self.blotter.update_status(self._datetime, append)
def process_trading_events(self, append):
""" 提交订单，撮合，更新持仓 """
if self._orders:
self.events_pool.put(SignalEvent(self._orders))
self._orders = []
new_signal = False # 保证至少一次价格撮合。
event = None
while True:
# 事件处理。
try:
event = self.events_pool.get()
except Queue.Empty:
assert(False)
except IndexError:
if new_signal:
break
else:
#if event.type == 'MARKET':
#strategy.calculate_signals(event)
#port.update_timeindex(event)
if event.type == Event.SIGNAL:
try:
self.blotter.update_signal(event)
except TradingError as e:
new_signal = True
logger.warn(e)
return
elif event.type == Event.ORDER:
self.exchange.insert_order(event)
elif event.type == Event.FILL:
# 模拟交易接口收到报单成交
self.blotter.api.on_transaction(event)
# 价格撮合。note: bar价格撮合要求撮合置于运算后面。
if event == None or event.type == Event.ORDER:
self.exchange.make_market(self.blotter._bars)
new_signal = True
self.blotter.update_status(self._datetime, append)
