def send_order(self, algo: AlgoTemplate, vt_symbol: str,
direction: Direction, price: float, volume: float,
order_type: OrderType, offset: Offset):
""""""
contract = self.main_engine.get_contract(vt_symbol)
if not contract:
self.write_log(f'委托下单失败，找不到合约：{vt_symbol}', algo)
return
volume = round_to(volume, contract.min_volume)
if not volume:
return ""
req = OrderRequest(symbol=contract.symbol,
exchange=contract.exchange,
direction=direction,
type=order_type,
volume=volume,
price=price,
offset=offset,
reference=f"{APP_NAME}_{algo.algo_name}")
vt_orderid = self.main_engine.send_order(req, contract.gateway_name)
self.orderid_algo_map[vt_orderid] = algo
return vt_orderid
def send_order(
self,
strategy: StrategyTemplate,
vt_symbol: str,
direction: Direction,
offset: Offset,
price: float,
volume: float,
lock: bool
):
"""
Send a new order to server.
"""
contract: ContractData = self.main_engine.get_contract(vt_symbol)
if not contract:
self.write_log(f"委托失败，找不到合约：{vt_symbol}", strategy)
return ""
# Round order price and volume to nearest incremental value
price = round_to(price, contract.pricetick)
volume = round_to(volume, contract.min_volume)
# Create request and send order.
original_req = OrderRequest(
symbol=contract.symbol,
exchange=contract.exchange,
direction=direction,
offset=offset,
type=OrderType.LIMIT,
price=price,
volume=volume,
reference=f"{APP_NAME}_{strategy.strategy_name}"
)
# Convert with offset converter
req_list = self.offset_converter.convert_order_request(original_req, lock)
# Send Orders
vt_orderids = []
for req in req_list:
req.reference = strategy.strategy_name # Add strategy name as order reference
vt_orderid = self.main_engine.send_order(
req, contract.gateway_name)
# Check if sending order successful
if not vt_orderid:
continue
vt_orderids.append(vt_orderid)
self.offset_converter.update_order_request(req, vt_orderid)
# Save relationship between orderid and strategy.
self.orderid_strategy_map[vt_orderid] = strategy
return vt_orderids
def send_server_order(
self,
strategy: CtaTemplate,
contract: ContractData,
direction: Direction,
offset: Offset,
price: float,
volume: float,
type: OrderType,
lock: bool
):
"""
Send a new order to server.
"""
# Create request and send order.
original_req = OrderRequest(
symbol=contract.symbol,
exchange=contract.exchange,
direction=direction,
offset=offset,
type=type,
price=price,
volume=volume,
reference=f"{APP_NAME}_{strategy.strategy_name}"
)
# Convert with offset converter
req_list = self.offset_converter.convert_order_request(original_req, lock)
# Send Orders
vt_orderids = []
for req in req_list:
vt_orderid = self.main_engine.send_order(
req, contract.gateway_name)
# Check if sending order successful
if not vt_orderid:
continue
vt_orderids.append(vt_orderid)
self.offset_converter.update_order_request(req, vt_orderid)
# Save relationship between orderid and strategy.
self.orderid_strategy_map[vt_orderid] = strategy
self.strategy_orderid_map[strategy.strategy_name].add(vt_orderid)
return vt_orderids
def send_order(
self,
strategy: SpreadStrategyTemplate,
vt_symbol: str,
price: float,
volume: float,
direction: Direction,
offset: Offset,
lock: bool
) -> List[str]:
contract = self.main_engine.get_contract(vt_symbol)
original_req = OrderRequest(
symbol=contract.symbol,
exchange=contract.exchange,
direction=direction,
offset=offset,
type=OrderType.LIMIT,
price=price,
volume=volume,
reference=f"{APP_NAME}_{strategy.strategy_name}"
)
# Convert with offset converter
req_list = self.offset_converter.convert_order_request(
original_req, lock)
# Send Orders
vt_orderids = []
for req in req_list:
vt_orderid = self.main_engine.send_order(
req, contract.gateway_name)
# Check if sending order successful
if not vt_orderid:
continue
vt_orderids.append(vt_orderid)
self.offset_converter.update_order_request(req, vt_orderid)
# Save relationship between orderid and strategy.
self.order_strategy_map[vt_orderid] = strategy
return vt_orderids
def send_order(
self,
algo: SpreadAlgoTemplate,
vt_symbol: str,
price: float,
volume: float,
direction: Direction,
lock: bool
) -> List[str]:
""""""
holding = self.offset_converter.get_position_holding(vt_symbol)
contract = self.main_engine.get_contract(vt_symbol)
if direction == Direction.LONG:
available = holding.short_pos - holding.short_pos_frozen
else:
available = holding.long_pos - holding.long_pos_frozen
# If no position to close, just open new
if not available:
offset = Offset.OPEN
# If enougth position to close, just close old
elif volume < available:
offset = Offset.CLOSE
# Otherwise, just close existing position
else:
volume = available
offset = Offset.CLOSE
original_req = OrderRequest(
symbol=contract.symbol,
exchange=contract.exchange,
direction=direction,
offset=offset,
type=OrderType.LIMIT,
price=price,
volume=volume,
reference=f"{APP_NAME}_{algo.spread_name}"
)
# Convert with offset converter
req_list = self.offset_converter.convert_order_request(
original_req, lock)
# Send Orders
vt_orderids = []
for req in req_list:
vt_orderid = self.main_engine.send_order(
req, contract.gateway_name)
# Check if sending order successful
if not vt_orderid:
continue
vt_orderids.append(vt_orderid)
self.offset_converter.update_order_request(req, vt_orderid)
# Save relationship between orderid and algo.
self.order_algo_map[vt_orderid] = algo
return vt_orderids