def _generate_trade_data_from_order(self, order_data: OrderData):
""" 将orderdata转换成成交单 """
p = TradeData(price=order_data.price, istraded=order_data.volume, volume=order_data.volume,
trade_id=uuid.uuid1(),
gateway_name=order_data.gateway_name, time=order_data.time,
order_id=order_data.order_id)
return p
def _generate_trade_data_from_order(self, order_data: OrderData):
""" 将orderdata转换成成交单 """
p = TradeData(price=order_data.price, istraded=order_data.volume, volume=order_data.volume,
tradeid=str(uuid.uuid1()), offset=order_data.offset, direction=order_data.direction,
gateway_name=order_data.gateway_name, order_time=order_data.time, time=self.datetime,
order_id=order_data.order_id, symbol=order_data.symbol, exchange=order_data.exchange)
return p
def match_deal(self, data: OrderData):
""" 撮合成交 """
if self.parmas.get("deal_pattern") == "match":
""" 撮合成交 """
# todo: 是否可以模拟一定量的市场冲击响应？ 以靠近更加逼真的回测效果 ？？？？
elif self.parmas.get("deal_pattern") == "price":
""" 见价成交 """
# 先判断价格和手数是否满足限制条件
if data.volume > self.parmas.get(
"single_order_limit"
) or self.today_volume > self.parmas.get("single_day_limit"):
""" 超出限制 直接返回不允许成交 """
return
if data.price < self.drop_price or data.price > self.upper_price:
""" 超出涨跌价格 """
return
""" 判断账户资金是否足以支撑成交 """
if self.account.is_traded(data):
""" 生成成交单 """
p = TradeData(price=data.price,
istraded=data.volume,
volume=data.volume,
trade_id=uuid.uuid1(),
gateway_name=data.gateway_name,
time=data.time,
order_id=data.order_id)
self.account.update_trade(p)
# 调用strategy的on_trade
self.strategy.on_trade(p)
self.today_volume += data.volume
else:
""" 当前账户不足以支撑成交 """
self.logger.error("资金不足啦!")
return
else:
raise TypeError("未支持的成交机制")
def _cal_whether_traded(self, order: OrderData, tick: TickData) -> TradeData or None:
"""
计算是否进行成交， 这个地方需要用到lru缓存来提升计算性能
:param order:报单
:param tick:当前行情
:return: 成交单或者空
"""
if tick.ask_price_1 and tick.bid_price_1:
pass
if tick.ask_price_1 >= tick.bid_price_1:
# 撮合成交
return TradeData(
direction=order.direction,
price=order.price,
symbol=order.symbol,
offset=order.offset,
type=order.type,
time=order.time,
)
pass
else:
return None
def onRtnTrade(self, data: dict):
"""
Callback of trade status update.
"""
symbol = data["InstrumentID"]
exchange = symbol_exchange_map.get(symbol, "")
if not exchange:
self.trade_data.append(data)
return
order_id = self.sysid_orderid_map[data["OrderSysID"]]
trade = TradeData(symbol=symbol,
exchange=exchange,
order_id=order_id,
tradeid=data["TradeID"],
direction=DIRECTION_CTP2VT[data["Direction"]],
offset=OFFSET_CTP2VT[data["OffsetFlag"]],
price=data["Price"],
volume=data["Volume"],
time=data["TradeTime"],
gateway_name=self.gateway_name)
self.on_event(type=EVENT_TRADE, data=trade)
def on_trade(self, trade: TradeData) -> None:
trades = []
for trade in self.app.recorder.get_all_trades():
trades.append(trade._to_dict())
data = {"type": "trade", "data": trades}
self.io.emit('trade', data)
def on_trade(self, trade: TradeData) -> None:
data = {
"type": "trade",
"data": trade._to_dict()
}
self.io.emit('trade', data)