def sendOrder(self, vtSymbol, orderType, price, volume, priceType,
levelRate, strategy):
"""发单"""
contract = self.mainEngine.getContract(vtSymbol)
req = VtOrderReq()
req.symbol = contract.symbol
req.exchange = contract.exchange
req.vtSymbol = contract.vtSymbol
req.price = self.roundToPriceTick(contract.priceTick, price)
req.volume = volume
req.productClass = strategy.productClass
req.currency = strategy.currency
req.byStrategy = strategy.name
# 设计为CTA引擎发出的委托只允许使用限价单
# req.priceType = PRICETYPE_LIMITPRICE
req.priceType = priceType
req.levelRate = str(levelRate)
# CTA委托类型映射
if orderType == CTAORDER_BUY:
req.direction = DIRECTION_LONG
req.offset = OFFSET_OPEN
elif orderType == CTAORDER_SELL:
req.direction = DIRECTION_SHORT
req.offset = OFFSET_CLOSE
elif orderType == CTAORDER_SHORT:
req.direction = DIRECTION_SHORT
req.offset = OFFSET_OPEN
elif orderType == CTAORDER_COVER:
req.direction = DIRECTION_LONG
req.offset = OFFSET_CLOSE
# 委托转换
reqList = self.mainEngine.convertOrderReq(req)
vtOrderIDList = []
if not reqList:
return vtOrderIDList
for convertedReq in reqList:
vtOrderID = self.mainEngine.sendOrder(convertedReq,
contract.gatewayName) # 发单
self.orderStrategyDict[vtOrderID] = strategy # 保存vtOrderID和策略的映射关系
self.strategyOrderDict[strategy.name].add(vtOrderID) # 添加到策略委托号集合中
vtOrderIDList.append(vtOrderID)
self.writeCtaLog('策略%s: 发送%s委托%s, 交易：%s，%s，数量：%s @ %s' %
(strategy.name, priceType, vtOrderID, vtSymbol,
orderType, volume, price))
return vtOrderIDList
def sendOrder(self, vtSymbol, orderType, price, volume, priceType,
strategy):
"""发单"""
contract = self.mainEngine.getContract(vtSymbol)
req = VtOrderReq()
reqList = []
req.symbol = contract.symbol
req.exchange = contract.exchange
req.vtSymbol = contract.vtSymbol
req.price = self.roundToPriceTick(contract.priceTick, price)
req.volume = volume
req.productClass = strategy.productClass
req.currency = strategy.currency
req.byStrategy = strategy.name
req.priceType = priceType
# CTA委托类型映射
if orderType == CTAORDER_BUY:
req.direction = constant.DIRECTION_LONG
req.offset = constant.OFFSET_OPEN
elif orderType == CTAORDER_SELL:
req.direction = constant.DIRECTION_SHORT
# 只有上期所才要考虑平今平昨
if contract.exchange != constant.EXCHANGE_SHFE:
req.offset = constant.OFFSET_CLOSE
else:
# 获取持仓缓存数据
posBuffer = self.ydPositionDict.get(vtSymbol + '_LONG', None)
# 如果获取持仓缓存失败，则默认平昨
if not posBuffer:
self.writeCtaLog(u'获取昨持多仓为0, 发出平今指令')
req.offset = constant.OFFSET_CLOSETODAY
elif posBuffer:
if volume <= posBuffer:
req.offset = constant.OFFSET_CLOSE
self.writeCtaLog(
f'{vtSymbol}优先平昨, 昨多仓:{posBuffer}, 平仓数:{volume}')
req.offset = constant.OFFSET_CLOSE
if (posBuffer - volume) > 0:
self.writeCtaLog(
f'{vtSymbol}剩余昨多仓{(posBuffer - volume)}')
else:
req.offset = constant.OFFSET_CLOSE
req.volume = posBuffer
self.writeCtaLog(
f'{vtSymbol}平仓量{volume}, 大于昨多仓, 拆分优先平昨仓数:{posBuffer}'
)
req2 = copy(req)
req2.offset = constant.OFFSET_CLOSETODAY
req2.volume = volume - posBuffer
self.writeCtaLog(
f'{vtSymbol}平仓量大于昨多仓, 拆分到平今仓数:{req2.volume}')
reqList.append(req2)
elif orderType == CTAORDER_SHORT:
req.direction = constant.DIRECTION_SHORT
req.offset = constant.OFFSET_OPEN
elif orderType == CTAORDER_COVER:
req.direction = constant.DIRECTION_LONG
# # 只有上期所才要考虑平今平昨
if contract.exchange != constant.EXCHANGE_SHFE:
req.offset = constant.OFFSET_CLOSE
else:
# 获取持仓缓存数据
posBuffer = self.ydPositionDict.get(vtSymbol + '_SHORT', None)
# 如果获取持仓缓存失败，则默认平昨
if not posBuffer:
self.writeCtaLog(u'获取昨持空仓为0, 发出平今指令')
req.offset = constant.OFFSET_CLOSETODAY
elif posBuffer:
if volume <= posBuffer:
req.offset = constant.OFFSET_CLOSE
self.writeCtaLog(
f'{vtSymbol}优先平昨，昨空仓:{posBuffer}, 平仓数:{volume}')
req.offset = constant.OFFSET_CLOSE
if (posBuffer - volume) > 0:
self.writeCtaLog(
f'{vtSymbol}剩余昨空仓{(posBuffer - volume)}')
else:
req.offset = constant.OFFSET_CLOSE
req.volume = posBuffer
self.writeCtaLog(
f'{vtSymbol}平仓量{volume}, 大于昨空仓, 拆分优先平昨仓数:{posBuffer}'
)
req2 = copy(req)
req2.offset = constant.OFFSET_CLOSETODAY
req2.volume = volume - posBuffer
self.writeCtaLog(
f'{vtSymbol}平仓量大于昨空仓, 拆分到平今仓数:{req2.volume}')
reqList.append(req2)
# 委托转换
# reqList = self.mainEngine.convertOrderReq(req) # 不转了
reqList.append(req)
vtOrderIDList = []
# if not reqList:
# return vtOrderIDList
for convertedReq in reqList:
vtOrderID = self.mainEngine.sendOrder(convertedReq,
contract.gatewayName) # 发单
self.orderStrategyDict[vtOrderID] = strategy # 保存vtOrderID和策略的映射关系
self.strategyOrderDict[strategy.name].add(vtOrderID) # 添加到策略委托号集合中
vtOrderIDList.append(vtOrderID)
self.writeCtaLog('策略%s: 发送%s委托%s, 交易：%s，%s，数量：%s @ %s' %
(strategy.name, priceType, vtOrderID, vtSymbol,
orderType, volume, price))
return vtOrderIDList
def sendOrder(self, vtSymbol, orderType, price, volume, priceType, strategy):
"""发单"""
contract = self.mainEngine.getContract(vtSymbol)
req = VtOrderReq()
reqcount = 1
req.symbol = contract.symbol
req.exchange = contract.exchange
req.vtSymbol = contract.vtSymbol
req.price = self.roundToPriceTick(contract.priceTick, price)
req.volume = volume
req.productClass = strategy.productClass
req.currency = strategy.currency
req.byStrategy = strategy.name
# 设计为CTA引擎发出的委托只允许使用限价单
# req.priceType = PRICETYPE_LIMITPRICE
req.priceType = priceType
# CTA委托类型映射
if orderType == CTAORDER_BUY:
req.direction = DIRECTION_LONG
req.offset = OFFSET_OPEN
elif orderType == CTAORDER_SELL:
req.direction = DIRECTION_SHORT
# 只有上期所才要考虑平今平昨
if contract.exchange != EXCHANGE_SHFE:
req.offset = OFFSET_CLOSE
else:
# 获取持仓缓存数据
posBuffer = self.ydPositionDict.get(vtSymbol+'_LONG', None)
# 如果获取持仓缓存失败，则默认平昨
if not posBuffer:
self.writeCtaLog(u'获取昨持多仓为0，发出平今指令')
req.offset = OFFSET_CLOSETODAY
elif posBuffer:
if volume <= posBuffer:
req.offset = OFFSET_CLOSE
self.writeCtaLog(u'{}优先平昨，昨多仓:{}，平仓数:{}'.format(vtSymbol, posBuffer, volume))
req.offset = OFFSET_CLOSE
if (posBuffer - volume)>0:
self.writeCtaLog(u'{}剩余昨多仓{}'.format(vtSymbol,(posBuffer - volume)))
else:
req.offset = OFFSET_CLOSE
req.volume = posBuffer
self.writeCtaLog(u'{}平仓量{}，大于昨多仓，拆分优先平昨仓数:{}'.format(vtSymbol, volume, posBuffer))
req2 = copy(req)
req2.offset = OFFSET_CLOSETODAY
req2.volume = volume - posBuffer
self.writeCtaLog(u'{}平仓量大于昨多仓，拆分到平今仓数:{}'.format(vtSymbol, req2.volume))
reqcount = 2
elif orderType == CTAORDER_SHORT:
req.direction = DIRECTION_SHORT
req.offset = OFFSET_OPEN
elif orderType == CTAORDER_COVER:
req.direction = DIRECTION_LONG
# # 只有上期所才要考虑平今平昨
if contract.exchange != EXCHANGE_SHFE:
req.offset = OFFSET_CLOSE
else:
# 获取持仓缓存数据
posBuffer = self.ydPositionDict.get(vtSymbol+'_SHORT', None)
# 如果获取持仓缓存失败，则默认平昨
if not posBuffer:
self.writeCtaLog(u'获取昨持空仓为0，发出平今指令')
req.offset = OFFSET_CLOSETODAY
elif posBuffer:
if volume <= posBuffer:
req.offset = OFFSET_CLOSE
self.writeCtaLog(u'{}优先平昨，昨空仓:{}，平仓数:{}'.format(vtSymbol, posBuffer, volume))
req.offset = OFFSET_CLOSE
if (posBuffer - volume)>0:
self.writeCtaLog(u'{}剩余昨空仓{}'.format(vtSymbol,(posBuffer - volume)))
else:
req.offset = OFFSET_CLOSE
req.volume = posBuffer
self.writeCtaLog(u'{}平仓量{}，大于昨空仓，拆分优先平昨仓数:{}'.format(vtSymbol, volume, posBuffer))
req2 = copy(req)
req2.offset = OFFSET_CLOSETODAY
req2.volume = volume - posBuffer
self.writeCtaLog(u'{}平仓量大于昨空仓，拆分到平今仓数:{}'.format(vtSymbol, req2.volume))
reqcount = 2
# 委托转换
# reqList = self.mainEngine.convertOrderReq(req) # 不转了
if reqcount == 1:
reqList = [req]
else:
reqList = [req,req2]
vtOrderIDList = []
# if not reqList:
# return vtOrderIDList
for convertedReq in reqList:
vtOrderID = self.mainEngine.sendOrder(convertedReq, contract.gatewayName) # 发单
self.orderStrategyDict[vtOrderID] = strategy # 保存vtOrderID和策略的映射关系
self.strategyOrderDict[strategy.name].add(vtOrderID) # 添加到策略委托号集合中
vtOrderIDList.append(vtOrderID)
self.writeCtaLog('策略%s: 发送%s委托%s, 交易：%s，%s，数量：%s @ %s'
%(strategy.name, priceType, vtOrderID, vtSymbol, orderType, volume, price ))
return vtOrderIDList
def sendOrder(self, vtSymbol, orderType, price, volume, priceType,
strategy):
"""发单
cta引擎之中所有的操作都是基于引擎的，具体数据流为 strategy --->ctatemple----->ctaenging
在ctaenging 之中进行四个交易方向的order 分别为"买开" "卖开" "买平" "卖平"
这块是非常重要的，首先在存储的reqorder list 列表之中进行循环，调用底层接口进行发单，返回vtOrder;维护两个列表 orderStrategyDict[vtOrderID]
保存vtOrderID和strategy对象映射的字典（用于推送order和trade数据） key为vtOrderID，value为strategy对象； 保存策略名称和委托号列表的字典
key为name，value为保存orderID（限价+本地停止）的集合
"""
contract = self.mainEngine.getContract(vtSymbol)
req = VtOrderReq()
reqcount = 1
req.symbol = contract.symbol
req.exchange = contract.exchange
req.vtSymbol = contract.vtSymbol
req.price = self.roundToPriceTick(contract.priceTick, price)
req.volume = volume
req.productClass = strategy.productClass
req.currency = strategy.currency
req.byStrategy = strategy.name
# 设计为CTA引擎发出的委托只允许使用限价单
# req.priceType = PRICETYPE_LIMITPRICE
req.priceType = priceType
# CTA委托类型映射
"""
cta策略底层委托映射 可以根据传入的ordertype求出来相应的direction 和 offset,进而判断开平仓方向
注意这里使用的bitfinex 由于bitfinex gateway api 没有开平，所以需要在gateway 之中进行定义转换
"""
if orderType == CTAORDER_BUY:
req.direction = constant.DIRECTION_LONG
req.offset = constant.OFFSET_OPEN
elif orderType == CTAORDER_SELL:
req.direction = constant.DIRECTION_SHORT
# 只有上期所才要考虑平今平昨，上期所映射
if contract.exchange != constant.EXCHANGE_SHFE:
req.offset = constant.OFFSET_CLOSE
else:
# 获取持仓缓存数据
posBuffer = self.ydPositionDict.get(vtSymbol + '_LONG', None)
# 如果获取持仓缓存失败，则默认平昨
if not posBuffer:
self.writeCtaLog(u'获取昨持多仓为0，发出平今指令')
req.offset = constant.OFFSET_CLOSETODAY
elif posBuffer:
if volume <= posBuffer:
req.offset = constant.OFFSET_CLOSE
self.writeCtaLog(u'{}优先平昨，昨多仓:{}，平仓数:{}'.format(
vtSymbol, posBuffer, volume))
req.offset = constant.OFFSET_CLOSE
if (posBuffer - volume) > 0:
self.writeCtaLog(u'{}剩余昨多仓{}'.format(
vtSymbol, (posBuffer - volume)))
else:
req.offset = constant.OFFSET_CLOSE
req.volume = posBuffer
self.writeCtaLog(u'{}平仓量{}，大于昨多仓，拆分优先平昨仓数:{}'.format(
vtSymbol, volume, posBuffer))
req2 = copy(req)
req2.offset = constant.OFFSET_CLOSETODAY
req2.volume = volume - posBuffer
self.writeCtaLog(u'{}平仓量大于昨多仓，拆分到平今仓数:{}'.format(
vtSymbol, req2.volume))
reqcount = 2
elif orderType == CTAORDER_SHORT:
req.direction = constant.DIRECTION_SHORT
req.offset = constant.OFFSET_OPEN
elif orderType == CTAORDER_COVER:
req.direction = constant.DIRECTION_LONG
# # 只有上期所才要考虑平今平昨
if contract.exchange != constant.EXCHANGE_SHFE:
req.offset = constant.OFFSET_CLOSE
else:
# 获取持仓缓存数据
posBuffer = self.ydPositionDict.get(vtSymbol + '_SHORT', None)
# 如果获取持仓缓存失败，则默认平昨
if not posBuffer:
self.writeCtaLog(u'获取昨持空仓为0，发出平今指令')
req.offset = constant.OFFSET_CLOSETODAY
elif posBuffer:
if volume <= posBuffer:
req.offset = constant.OFFSET_CLOSE
self.writeCtaLog(u'{}优先平昨，昨空仓:{}，平仓数:{}'.format(
vtSymbol, posBuffer, volume))
req.offset = constant.OFFSET_CLOSE
if (posBuffer - volume) > 0:
self.writeCtaLog(u'{}剩余昨空仓{}'.format(
vtSymbol, (posBuffer - volume)))
else:
req.offset = constant.OFFSET_CLOSE
req.volume = posBuffer
self.writeCtaLog(u'{}平仓量{}，大于昨空仓，拆分优先平昨仓数:{}'.format(
vtSymbol, volume, posBuffer))
req2 = copy(req)
req2.offset = constant.OFFSET_CLOSETODAY
req2.volume = volume - posBuffer
self.writeCtaLog(u'{}平仓量大于昨空仓，拆分到平今仓数:{}'.format(
vtSymbol, req2.volume))
reqcount = 2
# 委托转换
# reqList = self.mainEngine.convertOrderReq(req) # 不转了
if reqcount == 1:
reqList = [req]
else:
reqList = [req, req2]
vtOrderIDList = [] # 维系一个列表 vtOrderIDList
# if not reqList:
# return vtOrderIDList
for convertedReq in reqList:
vtOrderID = self.mainEngine.sendOrder(convertedReq,
contract.gatewayName) # 发单
self.orderStrategyDict[vtOrderID] = strategy # 保存vtOrderID和策略的映射关系
self.strategyOrderDict[strategy.name].add(vtOrderID) # 添加到策略委托号集合中
vtOrderIDList.append(vtOrderID)
self.writeCtaLog('策略%s: 发送%s委托%s, 交易：%s，%s，数量：%s @ %s' %
(strategy.name, priceType, vtOrderID, vtSymbol,
orderType, volume, price))
return vtOrderIDList
