def on_order(self, order: OrderData):
"""
Callback of new order data update.
"""
# 移除成交或撤销的订单
if not order.is_active() and order.vt_orderid in self.vt_orderids:
self.vt_orderids.remove(order.vt_orderid)
def on_order(self, order: OrderData):
"""
判断是否完全成交，如果成交获取成交数量，计数器加减
移除成交、拒绝、撤单的订单号
"""
if order.vt_orderid in self.vt_orderids:
if order.status == Status.ALLTRADED:
if order.direction == Direction.LONG:
self.target_pos = order.traded
self.grid_count += 1
self.cumulative_usdt_volume += self.grid_usdt_volume
# 买入时，实际得到币量为总买量减手续费
msg = f"开仓，成交量为：{self.target_pos}"
self.write_log(msg)
self.target_pos = 0
else:
self.target_pos = -order.traded
self.grid_count -= 1
self.cumulative_usdt_volume -= self.grid_usdt_volume
msg = f"平仓，成交量为：{self.target_pos}"
self.write_log(msg)
self.target_pos = 0
if not order.is_active():
self.vt_orderids.remove(order.vt_orderid)
self.sync_data()
def on_order(self, order: OrderData):
"""
Callback of new order data update.
"""
if not order.is_active():
self.vt_orderid = ""
self.put_variables_event()
def on_order(self, order: OrderData):
""""""
on_order_time = datetime.now().time()
self.write_log(f"on_order, {order.orderid} {order.status} {order.offset} {order.direction}, on_order_time:{on_order_time}")
# ACTIVE_STATUSES = set([Status.SUBMITTING, Status.NOTTRADED, Status.PARTTRADED])
if order.is_active():
return
# not ACTIVE_STATUSES = set([Status.ALLTRADED, Status.CANCELLED, Status.REJECTED])
if ((self.day_start <= self.on_bar_time < self.clearance_time) or (self.night_start <= self.on_bar_time <= self.night_end)):
if order.status in [Status.CANCELLED, Status.REJECTED]:
pos = copy.deepcopy(self.pos)
if self.pos == 0:
if self.ultosc > self.buy_dis:
if not self.cta_engine.strategy_orderid_map[self.strategy_name]:
self.buy(self.boll_up, self.trading_size, True)
self.write_log(f"on_order, buy_svt:{list(self.cta_engine.strategy_orderid_map[self.strategy_name])}, volume:{self.trading_size}")
elif self.ultosc < self.short_dis:
if not self.cta_engine.strategy_orderid_map[self.strategy_name]:
self.short(self.boll_down, self.trading_size, True)
self.write_log(f"on_order, short_svt:{list(self.cta_engine.strategy_orderid_map[self.strategy_name])}, volume:{self.trading_size}")
elif self.pos > 0:
if not self.cta_engine.strategy_orderid_map[self.strategy_name]:
self.sell(self.long_stop, abs(self.pos), True)
self.write_log(f"on_order, sell_svt:{list(self.cta_engine.strategy_orderid_map[self.strategy_name])}, volume:{pos}")
else:
if not self.cta_engine.strategy_orderid_map[self.strategy_name]:
self.cover(self.short_stop, abs(self.pos), True)
self.write_log(f"on_order, cover_svt:{list(self.cta_engine.strategy_orderid_map[self.strategy_name])}, volume:{pos}")
elif (self.clearance_time <= self.on_bar_time <= self.liq_time):
if order.status in [Status.CANCELLED, Status.REJECTED]:
pos = copy.deepcopy(self.pos)
if self.pos > 0:
if not self.cta_engine.strategy_orderid_map[self.strategy_name]:
self.sell(self.liq_price - 5, abs(self.pos))
self.write_log(f"clearance time, on_order, sell volume:{pos}, on_order_time:{on_order_time}")
elif self.pos < 0:
if not self.cta_engine.strategy_orderid_map[self.strategy_name]:
self.cover(self.liq_price + 5, abs(self.pos))
self.write_log(f"clearance time, on_order, cover volume:{pos}, time:{on_order_time}")
self.put_event()
def on_order(self, order: OrderData):
"""
Callback of new order data update.
"""
# 只有实盘交易才使用BestLimit算法
if self.engine_type != EngineType.LIVE:
return
if not order.is_active() and order.vt_orderid in self.vt_orderids:
self.vt_orderids.remove(order.vt_orderid)
if not self.vt_orderids:
self.order_price = 0
def on_order(self, order: OrderData):
""""""
self.write_log(
f"on_order {order.orderid} {order.status} {order.offset} {order.direction}"
)
# ACTIVE_STATUSES = set([Status.SUBMITTING, Status.NOTTRADED, Status.PARTTRADED])
if order.is_active():
return
# not ACTIVE_STATUSES = set([Status.ALLTRADED, Status.CANCELLED, Status.REJECTED])
for buf_orderids in [
self.buy_lvt_orderids, self.sell_lvt_orderids,
self.short_lvt_orderids, self.cover_lvt_orderids
]:
if order.orderid in buf_orderids:
buf_orderids.remove(order.orderid)
print(
f"on_order从buf_orderids:{buf_orderids}中移除{order.orderid}")
if order.orderid in self.lvt_orderids:
self.lvt_orderids.remove(order.orderid)
print(
f"on_order从lvt_orderids:{self.lvt_orderids}中移除{order.orderid}")
self.current_time = datetime.now().time()
if ((self.current_time >= self.day_start
and self.current_time < self.day_end)
or (self.current_time >= self.night_start
and self.current_time <= self.night_end)):
if order.status in [Status.CANCELLED, Status.REJECTED]:
if self.pos == 0:
if self.ultosc > self.buy_dis:
if not self.svt_orderids and not self.lvt_orderids:
self.buy_svt_orderids = self.buy(
self.boll_up, self.trading_size, True)
self.svt_orderids.extend(self.buy_svt_orderids)
self.write_log(
f"on_order开多仓，停止单号：{self.buy_svt_orderids}，委托手数：{self.trading_size}"
)
elif self.ultosc < self.short_dis:
if not self.svt_orderids and not self.lvt_orderids:
self.short_svt_orderids = self.short(
self.boll_down, self.trading_size, True)
self.svt_orderids.extend(self.short_svt_orderids)
self.write_log(
f"on_order开空仓，停止单号：{self.short_svt_orderids}，委托手数：{self.trading_size}"
)
elif self.pos > 0:
if not self.sell_svt_orderids and not self.sell_lvt_orderids:
self.sell_svt_orderids = self.sell(
self.long_stop, abs(self.pos), True)
self.write_log(
f"on_order平多仓，停止单号：{self.sell_svt_orderids}，委托手数：{abs(self.pos)}"
)
else:
if not self.cover_svt_orderids and not self.cover_lvt_orderids:
self.cover_svt_orderids = self.cover(
self.short_stop, abs(self.pos), True)
self.write_log(
f"on_order平空仓，停止单号：{self.cover_svt_orderids}，委托手数：{abs(self.pos)}"
)
elif self.current_time >= self.day_end and self.current_time <= self.liq_time:
for buf_orderids in [
self.sell_vt_orderids, self.cover_vt_orderids
]:
if order.orderid in buf_orderids:
buf_orderids.remove(order.orderid)
self.write_log(
f"清仓时段on_order从buf_orderids:{buf_orderids}中移除{order.orderid}"
)
if order.status in [Status.CANCELLED, Status.REJECTED]:
if self.pos > 0:
if not self.sell_vt_orderids:
self.sell_vt_orderids = self.sell(
bar.close_price - 5, abs(self.pos))
self.write_log(
f"清仓时段on_order平多仓，限价单号：{self.sell_vt_orderids}，委托手数：{abs(self.pos)}"
)
elif self.pos < 0:
if not self.cover_vt_orderids:
self.cover_vt_orderids = self.cover(
bar.close_price + 5, abs(self.pos))
self.write_log(
f"清仓时段on_order平空仓，限价单号：{self.cover_vt_orderids}，委托手数：{abs(self.pos)}"
)
self.put_event()