def ReqOrderInsert(self, order, request_id):
'''报单录入请求, 需要调用成交函数'''
logging.info(u'报单')
oid = order.OrderRef
trade = ApiStruct.Trade(
InstrumentID=order.InstrumentID,
Direction=order.Direction,
Price=order.LimitPrice,
Volume=order.VolumeTotalOriginal,
OrderRef=oid,
TradeID=oid,
OrderSysID=oid,
BrokerOrderSeq=oid,
OrderLocalID=oid,
TradeTime=time.strftime('%H%M%S'), #只有备案作用
)
if order.CombOffsetFlag == ApiStruct.OF_Open: #开仓. 为方便起见,假设都是股指
self.available -= order.LimitPrice * 300 * 0.17
else:
self.available += order.LimitPrice * 300 * 0.17
fl_open = strategy.MAX_OPEN_OVERFLOW * 0.2
fl_close = strategy.MAX_CLOSE_OVERFLOW * 0.2
if order.CombOffsetFlag == ApiStruct.OF_Open:
trade.Price += -fl_open if order.Direction == ApiStruct.D_Buy else fl_open
else:
trade.Price += -fl_close if order.Direction == ApiStruct.D_Buy else fl_close
self.myagent.rtn_trade(trade)
def _check_trade_one(self, pOrder, last_tick):
#print(last_tick.price,pOrder.LimitPrice)
if pOrder.Direction == UType.D_Buy and last_tick.price > pOrder.LimitPrice:
return False
elif pOrder.Direction == UType.D_Sell and last_tick.price < pOrder.LimitPrice:
return False
#print("check_trade_one:True")
#其它完成状态. 通道测试(非逻辑!!)
#RTN_ORDER_DONE, 各种状态, 因为trade_matcher中允许多次on_done,所以这么测试分支没有问题
#正确完成状态: 全部成功
pOrder.VolumeTraded = pOrder.volume_wanted
pOrder.OrderStatus = UType.OST_AllTraded
self.OnRtnOrder(pOrder) #
#RTN_TRADE
pTrade = UStruct.Trade(
InstrumentID=pOrder.InstrumentID,
Direction=pOrder.Direction,
ExchangeID=self._exchange_id,
OrderSysID=pOrder.OrderSysID,
#TradingDay = self.trading_day,
TradingDay=last_tick.date,
TradeDate=last_tick.date,
TradeTime=last_tick.time,
Volume=pOrder.VolumeTraded,
Price=last_tick.price,
)
self.OnRtnTrade(pTrade)
if pOrder.CombOffsetFlag == UType.OF_Open:
self._exchange.add(self._contracts[pOrder.InstrumentID],
pOrder.Direction, pOrder.VolumeTotalOriginal,
last_tick.price, pOrder.LimitPrice)
else:
self._exchange.remove(self._contracts[pOrder.InstrumentID],
pOrder.Direction, pOrder.VolumeTotalOriginal,
last_tick.price)
#print("ROI SUCCESS: ",pInputOrder.InstrumentID)
return True
