def sendOrder(self, vtSymbol, orderType, price, volume, strategy):
"""发单"""
self.limitOrderCount += 1
orderID = str(self.limitOrderCount)
order = VtOrderData()
order.vtSymbol = vtSymbol
order.price = self.roundToPriceTick(price)
order.totalVolume = volume
order.orderID = orderID
order.vtOrderID = orderID
order.orderTime = self.dt.strftime('%H:%M:%S')
# CTA委托类型映射
if orderType == CTAORDER_BUY:
order.direction = DIRECTION_LONG
order.offset = OFFSET_OPEN
elif orderType == CTAORDER_SELL:
order.direction = DIRECTION_SHORT
order.offset = OFFSET_CLOSE
elif orderType == CTAORDER_SHORT:
order.direction = DIRECTION_SHORT
order.offset = OFFSET_OPEN
elif orderType == CTAORDER_COVER:
order.direction = DIRECTION_LONG
order.offset = OFFSET_CLOSE
# 保存到限价单字典中
self.workingLimitOrderDict[orderID] = order
self.limitOrderDict[orderID] = order
return [orderID]
def sendOrder(self, vtSymbol, orderType, price, volume, strategy):
"""发单"""
self.limitOrderCount += 1
orderID = str(self.limitOrderCount)
order = VtOrderData()
order.vtSymbol = vtSymbol
order.price = self.roundToPriceTick(price)
order.totalVolume = volume
order.orderID = orderID
order.vtOrderID = orderID
order.orderTime = self.dt.strftime('%H:%M:%S')
# CTA委托类型映射
if orderType == CTAORDER_BUY:
order.direction = DIRECTION_LONG
order.offset = OFFSET_OPEN
elif orderType == CTAORDER_SELL:
order.direction = DIRECTION_SHORT
order.offset = OFFSET_CLOSE
elif orderType == CTAORDER_SHORT:
order.direction = DIRECTION_SHORT
order.offset = OFFSET_OPEN
elif orderType == CTAORDER_COVER:
order.direction = DIRECTION_LONG
order.offset = OFFSET_CLOSE
# 保存到限价单字典中
self.workingLimitOrderDict[orderID] = order
self.limitOrderDict[orderID] = order
return [orderID]
def sendOrder(self, vtSymbol, orderType, price, volume, strategy):
"""发单"""
self.limitOrderCount += 1
orderID = str(self.limitOrderCount)
order = VtOrderData()
order.vtSymbol = vtSymbol
order.price = self.roundToPriceTick(price)
order.totalVolume = volume
order.status = STATUS_NOTTRADED # 刚提交尚未成交
order.orderID = orderID
order.vtOrderID = orderID
order.orderTime = str(self.dt)
# STUB委托类型映射
if orderType == STUBORDER_BUY:
order.direction = DIRECTION_LONG
order.offset = OFFSET_OPEN
elif orderType == STUBORDER_SELL:
order.direction = DIRECTION_SHORT
order.offset = OFFSET_CLOSE
elif orderType == STUBORDER_SHORT:
order.direction = DIRECTION_SHORT
order.offset = OFFSET_OPEN
elif orderType == STUBORDER_COVER:
order.direction = DIRECTION_LONG
order.offset = OFFSET_CLOSE
# 保存到限价单字典中
self.workingLimitOrderDict[orderID] = order
self.limitOrderDict[orderID] = order
return orderID
def crossStopOrder(self):
"""基于最新数据撮合停止单"""
# 先确定会撮合成交的价格，这里和限价单规则相反
if self.mode == self.BAR_MODE:
buyCrossPrice = self.bar.high # 若买入方向停止单价格低于该价格，则会成交
sellCrossPrice = self.bar.low # 若卖出方向限价单价格高于该价格，则会成交
bestCrossPrice = self.bar.open # 最优成交价，买入停止单不能低于，卖出停止单不能高于
else:
buyCrossPrice = self.tick.lastPrice
sellCrossPrice = self.tick.lastPrice
bestCrossPrice = self.tick.lastPrice
# 遍历停止单字典中的所有停止单
for stopOrderID, so in list(self.workingStopOrderDict.items()):
# 判断是否会成交
buyCross = so.direction == DIRECTION_LONG and so.price <= buyCrossPrice
sellCross = so.direction == DIRECTION_SHORT and so.price >= sellCrossPrice
# 如果发生了成交
if buyCross or sellCross:
# 更新停止单状态，并从字典中删除该停止单
so.status = STOPORDER_TRIGGERED
if stopOrderID in self.workingStopOrderDict:
del self.workingStopOrderDict[stopOrderID]
# 推送成交数据
self.tradeCount += 1 # 成交编号自增1
tradeID = str(self.tradeCount)
trade = VtTradeData()
trade.vtSymbol = so.vtSymbol
trade.tradeID = tradeID
trade.vtTradeID = tradeID
if buyCross:
self.strategy.pos += so.volume
trade.price = max(bestCrossPrice, so.price)
else:
self.strategy.pos -= so.volume
trade.price = min(bestCrossPrice, so.price)
self.limitOrderCount += 1
orderID = str(self.limitOrderCount)
trade.orderID = orderID
trade.vtOrderID = orderID
trade.direction = so.direction
trade.offset = so.offset
trade.volume = so.volume
trade.tradeTime = self.dt.strftime('%H:%M:%S')
trade.dt = self.dt
self.tradeDict[tradeID] = trade
# 推送委托数据
order = VtOrderData()
order.vtSymbol = so.vtSymbol
order.symbol = so.vtSymbol
order.orderID = orderID
order.vtOrderID = orderID
order.direction = so.direction
order.offset = so.offset
order.price = so.price
order.totalVolume = so.volume
order.tradedVolume = so.volume
order.status = STATUS_ALLTRADED
order.orderTime = trade.tradeTime
self.limitOrderDict[orderID] = order
# 按照顺序推送数据
self.strategy.onStopOrder(so)
self.strategy.onOrder(order)
self.strategy.onTrade(trade)
def crossStopOrder(self):
"""基于最新数据撮合停止单"""
# 先确定会撮合成交的价格，这里和限价单规则相反
if self.mode == self.BAR_MODE:
buyCrossPrice = self.bar.high # 若买入方向停止单价格低于该价格，则会成交
sellCrossPrice = self.bar.low # 若卖出方向限价单价格高于该价格，则会成交
bestCrossPrice = self.bar.open # 最优成交价，买入停止单不能低于，卖出停止单不能高于
else:
buyCrossPrice = self.tick.lastPrice
sellCrossPrice = self.tick.lastPrice
bestCrossPrice = self.tick.lastPrice
# 遍历停止单字典中的所有停止单
for stopOrderID, so in self.workingStopOrderDict.items():
# 判断是否会成交
buyCross = so.direction==DIRECTION_LONG and so.price<=buyCrossPrice
sellCross = so.direction==DIRECTION_SHORT and so.price>=sellCrossPrice
# 如果发生了成交
if buyCross or sellCross:
# 更新停止单状态，并从字典中删除该停止单
so.status = STOPORDER_TRIGGERED
if stopOrderID in self.workingStopOrderDict:
del self.workingStopOrderDict[stopOrderID]
# 推送成交数据
self.tradeCount += 1 # 成交编号自增1
tradeID = str(self.tradeCount)
trade = VtTradeData()
trade.vtSymbol = so.vtSymbol
trade.tradeID = tradeID
trade.vtTradeID = tradeID
if buyCross:
self.strategy.pos += so.volume
trade.price = max(bestCrossPrice, so.price)
else:
self.strategy.pos -= so.volume
trade.price = min(bestCrossPrice, so.price)
self.limitOrderCount += 1
orderID = str(self.limitOrderCount)
trade.orderID = orderID
trade.vtOrderID = orderID
trade.direction = so.direction
trade.offset = so.offset
trade.volume = so.volume
trade.tradeTime = self.dt.strftime('%H:%M:%S')
trade.dt = self.dt
self.tradeDict[tradeID] = trade
# 推送委托数据
order = VtOrderData()
order.vtSymbol = so.vtSymbol
order.symbol = so.vtSymbol
order.orderID = orderID
order.vtOrderID = orderID
order.direction = so.direction
order.offset = so.offset
order.price = so.price
order.totalVolume = so.volume
order.tradedVolume = so.volume
order.status = STATUS_ALLTRADED
order.orderTime = trade.tradeTime
self.limitOrderDict[orderID] = order
# 按照顺序推送数据
self.strategy.onStopOrder(so)
self.strategy.onOrder(order)
self.strategy.onTrade(trade)
def crossStopOrder(self):
"""基于最新数据撮合停止单
A stop order is an order to buy or sell a security when its price moves past
a particular point, ensuring a higher probability of achieving a predetermined
entry or exit price, limiting the investor's loss or locking in a profit. Once
the price crosses the predefined entry/exit point, the stop order becomes a
market order.
"""
# 先确定会撮合成交的价格，这里和限价单规则相反
if self.mode == self.BAR_MODE:
buyCrossPrice = self.bar.high # 若买入方向停止单价格低于该价格，则会成交
sellCrossPrice = self.bar.low # 若卖出方向限价单价格高于该价格，则会成交
bestCrossPrice = self.bestBarCrossPrice(
self.bar) # 最优成交价，买入停止单不能低于，卖出停止单不能高于
maxVolumeCross = self.bar.volume
else:
buyCrossPrice = self.tick.lastPrice
sellCrossPrice = self.tick.lastPrice
bestCrossPrice = self.tick.lastPrice
topVolumeCross = self.tick.volume
# 遍历停止单字典中的所有停止单
for stopOrderID, so in self.workingStopOrderDict.items():
# 判断是否会成交
buyCross = (so.direction
== DIRECTION_LONG) and so.price <= buyCrossPrice
sellCross = (so.direction
== DIRECTION_SHORT) and so.price >= sellCrossPrice
# 忽略未发生成交
if not buyCross and not sellCross: # and (so.volume < maxVolumeCross):
continue
# 更新停止单状态，并从字典中删除该停止单
so.status = STOPORDER_TRIGGERED
if stopOrderID in self.workingStopOrderDict:
del self.workingStopOrderDict[stopOrderID]
# 推送成交数据
self.tradeCount += 1 # 成交编号自增1
tradeID = str(self.tradeCount)
trade = VtTradeData()
trade.vtSymbol = so.vtSymbol
trade.tradeID = tradeID
trade.vtTradeID = tradeID
if buyCross:
self.strategy.pos += so.volume
trade.price = max(bestCrossPrice, so.price)
else:
self.strategy.pos -= so.volume
trade.price = min(bestCrossPrice, so.price)
self.limitOrderCount += 1
orderID = str(self.limitOrderCount)
trade.orderID = orderID
trade.vtOrderID = orderID
trade.direction = so.direction
trade.offset = so.offset
trade.volume = so.volume
trade.tradeTime = self.dt.strftime('%H:%M:%S')
trade.dt = self.dt
self.tradeDict[tradeID] = trade
# 推送委托数据
order = VtOrderData()
order.vtSymbol = so.vtSymbol
order.symbol = so.vtSymbol
order.orderID = orderID
order.vtOrderID = orderID
order.direction = so.direction
order.offset = so.offset
order.price = so.price
order.totalVolume = so.volume
order.tradedVolume = so.volume
order.status = STATUS_ALLTRADED
order.orderTime = trade.tradeTime
self.limitOrderDict[orderID] = order
# 按照顺序推送数据
self.strategy.onStopOrder(so)
self.strategy.onOrder(order)
self.strategy.onTrade(trade)
