def on_trade(self, trade: TradeData):
"""
Callback of new trade data update.
"""
if self.entrust == 0 and trade.offset == Offset.OPEN:
if trade.direction == Direction.LONG:
self.long_price = trade.price
else:
self.short_price = trade.price
msg = f'{trade.offset.value}{trade.direction.value},{trade.volume}张,成交价:{trade.price}'
self.write_log(f'交易完成,{trade.orderid},{msg}')
if self.get_engine_type() == EngineType.LIVE:
sendWxMsg(trade.symbol + msg, '')
if self.entrust2 == 0 and trade.offset == Offset.CLOSE:
if trade.direction == Direction.LONG:
direc = '空'
else:
direc = '多'
msg = f'{trade.offset.value}{direc},{trade.volume}张,成交价:{trade.price}'
self.write_log(f'\t交易完成,{trade.orderid},{msg}')
if self.get_engine_type() == EngineType.LIVE:
sendWxMsg(trade.symbol + msg, '')
self.put_event()
def on_order(self, order: OrderData):
"""收到委托变化推送（必须由用户继承实现）"""
'''
SUBMITTING = "提交中"
NOTTRADED = "未成交"
PARTTRADED = "部分成交"
ALLTRADED = "全部成交"
CANCELLED = "已撤销"
REJECTED = "拒单"
不完全成交会出现下面的重复bug
2019-07-28 00:01:58,261 INFO: tick1: 报单更新，19072722371710923,拒单,平,多单,价87.204
2019-07-28 00:01:58,408 INFO: tick1: 报单更新，19072722371710924,提交中,平,多单,价87.204
2019-07-28 00:01:58,785 INFO: 委托请求出错，代码：1040，信息：Invalid amount, please modify and order again.
'''
if order.offset == Offset.OPEN:
msg = u'{}{},{}张,价:{}'.format(order.offset.value,
order.direction.value, order.traded,
order.price)
else:
if order.direction == Direction.LONG:
dir = '空'
else:
dir = '多'
msg = u'{}{},{}张,价:{}'.format(order.offset.value, dir,
order.traded, order.price)
self.write_log(u' 报单更新,{},{},{}'.format(order.orderid,
order.status.value, msg))
if order.status == Status.SUBMITTING:
self.entrust = 1
if order.status == Status.NOTTRADED:
# if order.offset == Offset.OPEN:
# sleep(20)
# self.write_log("取消开单")
# self.cancel_all()
# self.entrust = 0
pass
if order.status in [Status.ALLTRADED]:
if order.offset == Offset.OPEN:
self.new_step = self.step * 0.5
self.wincount = 0
if order.direction == Direction.LONG:
self.poss += self.input_ss
elif order.direction == Direction.SHORT:
self.poss -= self.input_ss
self.entrust = 0
sendWxMsg(order.symbol + msg, '')
elif order.status in [Status.CANCELLED, Status.REJECTED]:
if order.offset == Offset.CLOSE: # 停止单异常
self.write_log("取消多余的平仓单")
self.cancel_all()
sleep(10) #10s
self.entrust = 0
else:
pass
self.put_event()
def on_order(self, order: OrderData):
"""
Callback of new order data update.
"""
if order.status == Status.SUBMITTING:
self.entrust = 1
if order.offset == Offset.OPEN:
msg = u'{}{},{}张,价:{}'.format(order.offset.value,
order.direction.value,
order.volume, order.price)
else:
if order.direction == Direction.LONG:
dir = '空'
else:
dir = '多'
msg = u'{}{},{}张,价:{}'.format(order.offset.value, dir,
order.volume, order.price)
self.write_log(u' 报单更新,{},{},{}'.format(order.orderid,
order.status.value,
msg))
elif order.status in [Status.ALLTRADED]:
if order.offset == Offset.OPEN:
msg = u'{}{},{}张,价:{}'.format(order.offset.value,
order.direction.value,
order.volume, order.price)
else:
if order.direction == Direction.LONG:
dir = '空'
else:
dir = '多'
msg = u'{}{},{}张,价:{}'.format(order.offset.value, dir,
order.volume, order.price)
self.write_log(u' 报单更新,{},{},{}'.format(order.orderid,
order.status.value,
msg))
if self.get_engine_type() == EngineType.LIVE:
sendWxMsg(order.symbol + msg, '')
self.entrust = 0
elif order.status in [Status.CANCELLED, Status.REJECTED]:
if order.offset == Offset.CLOSE: # 平单异常
self.write_log("取消多余的平仓单")
self.cancel_all()
sleep(5) #10s
self.entrust = 0
self.put_event()
def on_order(self, order: OrderData):
"""
Callback of new order data update.
"""
msg = f'\t报单更新,{order.orderid},{order.symbol},{order.offset.value},价:{order.price},委托:{order.volume},{order.status.value}'
self.write_log(msg)
if order.volume == order.traded or order.status == Status.ALLTRADED:
# 开仓，平仓委托单全部成交
# 计算收益
if order.direction == Direction.LONG:
self.buy_times = self.buy_times + 1
self.roi = self.roi - order.price * order.traded * self.rate
else:
self.sell_times = self.sell_times + 1
self.roi = self.roi + (order.price - self.base_line -
order.price * self.rate) * order.traded
self.base_line = order.price
self.new_up = self.base_line * (1 + self.grid_height / 100)
self.new_down = self.base_line / (1 + self.grid_height / 100)
self.new_down = round_to(self.new_down, self.min_diff)
self.entrust = 0
if self.get_engine_type() == EngineType.LIVE:
base_pos = self.cta_engine.main_engine.get_account('.'.join(
[order.exchange.value, self.base]))
volumn = round_to(base_pos.balance, self.min_volumn)
else:
volumn = 10
sub = order.symbol + ' ' + order.offset.value + u',{}'.format(
order.price)
self.roi = round(self.roi, 4)
msg2 = u'{},\n低吸次数:{},高抛次数:{},套利:{}{}, 持仓{}'.format(
msg, self.buy_times, self.sell_times, self.roi, self.quote,
volumn)
if self.get_engine_type() == EngineType.LIVE:
self.send_email(msg2)
sendWxMsg(sub, msg2)
elif order.status in [Status.CANCELLED, Status.REJECTED]:
self.write_log("取消多余的单")
self.cancel_all()
sleep(10) # 10s
self.entrust = 0
self.put_event()
def on_tick(self, tick: TickData):
"""
Callback of new tick data update. run once one second
"""
# 首先检查是否是实盘运行还是数据预处理阶段
if not self.inited or not self.trading:
return
if self.entrust != 0:
return
if tick.last_price > self.grid_up_line:
if self.__singleton1:
if self.get_engine_type() == EngineType.LIVE:
sendWxMsg(u'价格上涨超出区间', u'价格:{}'.format(tick.last_price))
self.__singleton1 = False
return
# 下限清仓
if tick.last_price < self.grid_dn_line:
if self.__singleton2:
if self.get_engine_type() == EngineType.LIVE:
sendWxMsg(u'价格下跌超出区间', u'价格:{}'.format(tick.last_price))
self.__singleton2 = False
if self.get_engine_type() == EngineType.LIVE:
base_pos = self.cta_engine.main_engine.get_account(
'.'.join([tick.exchange.value, self.base]))
if base_pos is not None:
sell_volume = base_pos.balance
else:
sell_volume = 0
else:
sell_volume = 50
sell_volume = round_to(sell_volume, self.min_volumn)
if sell_volume >= self.min_volumn:
price = tick.bid_price_1 # 买一价
price = round_to(price, self.min_diff)
ref = self.sell(price=price, volume=sell_volume)
if ref is not None and len(ref) > 0:
self.entrust = -1
self.write_log(
u'清仓委托卖出成功, 委托编号:{},委托价格:{},卖出数量{}'.format(
ref, price, sell_volume))
if self.get_engine_type() == EngineType.LIVE:
sendWxMsg(
u'清仓委托卖出成功', u'委托编号:{},委托价格:{},卖出数量{}'.format(
ref, price, sell_volume))
else:
self.write_log(u'清仓委托卖出{}失败,价格:{},数量:{}'.format(
self.vt_symbol, price, sell_volume))
return
price = tick.last_price
if price <= self.new_down:
# 买入,开多
if self.get_engine_type() == EngineType.LIVE:
account = self.cta_engine.main_engine.get_account('.'.join(
[tick.exchange.value, self.quote]))
if account is not None:
buy = account.balance
else:
buy = 0
else:
buy = 1000
price = tick.ask_price_1 #卖一价
price = round_to(price, self.min_diff)
buy_volume = min(buy / price, float(self.input_ss))
buy_volume = round_to(buy_volume, self.min_volumn)
if buy_volume < self.min_volumn:
return
ref = self.buy(price=price, volume=buy_volume)
if ref is not None and len(ref) > 0:
self.entrust = 1
self.write_log(u'开多委托单号{},价：{},数量{}'.format(
ref, price, buy_volume))
else:
self.write_log(u'开多委托单失败:价:{},数量:{}'.format(price, buy_volume))
elif price >= self.new_up:
# 卖出，平多
if self.get_engine_type() == EngineType.LIVE:
base_pos = self.cta_engine.main_engine.get_account('.'.join(
[tick.exchange.value, self.base]))
if base_pos is not None:
sell_volume1 = base_pos.balance
else:
sell_volume1 = 0
else:
sell_volume1 = 10
price = tick.bid_price_1 #买一价
price = round_to(price, self.min_diff)
sell_volume = min(sell_volume1, float(self.input_ss))
sell_volume = round_to(sell_volume, self.min_volumn)
if sell_volume < self.min_volumn:
return
ref = self.sell(price=price, volume=sell_volume)
if ref is not None and len(ref) > 0:
self.entrust = -1
self.write_log(u'平多委托单号{},价：{},数量{}'.format(
ref, price, sell_volume))
else:
self.write_log(u'平多委托单失败:价:{},数量:{}'.format(
price, sell_volume))