def _order_value(account, position, ins, cash_amount, style):
env = Environment.get_instance()
if cash_amount > 0:
cash_amount = min(cash_amount, account.cash)
if isinstance(style, LimitOrder):
price = style.get_limit_price()
else:
price = env.data_proxy.get_last_price(ins.order_book_id)
amount = int(Decimal(cash_amount) / Decimal(price))
if cash_amount > 0:
round_lot = int(ins.round_lot)
amount = int(Decimal(amount) / Decimal(round_lot)) * round_lot
while amount > 0:
expected_transaction_cost = env.get_order_transaction_cost(Order.__from_create__(
ins.order_book_id, amount, SIDE.BUY, LimitOrder(price), POSITION_EFFECT.OPEN
))
if amount * price + expected_transaction_cost <= cash_amount:
break
amount -= round_lot
else:
user_system_log.warn(_(u"Order Creation Failed: 0 order quantity"))
return
if amount < 0:
amount = max(amount, -position.closable)
return _order_shares(ins, amount, style, auto_switch_order_value=False)
def update_data(self, data):
self.order_id = int(data.OrderRef)
self.trade_id = data.TradeID
self.order_book_id = make_order_book_id(data.InstrumentID)
self.side = SIDE_REVERSE.get(data.Direction, SIDE.BUY)
self.exchange_id = data.ExchangeID
if self.exchange_id == 'SHFE':
if data.OffsetFlag == ApiStruct.OF_Open:
self.position_effect = POSITION_EFFECT.OPEN
elif data.OffsetFlag == ApiStruct.OF_CloseToday:
self.position_effect = POSITION_EFFECT.CLOSE_TODAY
else:
self.position_effect = POSITION_EFFECT.CLOSE
else:
if data.OffsetFlag == ApiStruct.OF_Open:
self.position_effect = POSITION_EFFECT.OPEN
else:
self.position_effect = POSITION_EFFECT.CLOSE
self.quantity = data.Volume
self.price = data.Price
self.style = LimitOrder(self.price)
self.is_valid = True
def update_data(self, data):
self.order_id = int(data['OrderRef'])
self.trade_id = data['TradeID']
self.order_book_id = make_order_book_id(data['InstrumentID'])
self.side = SIDE_REVERSE.get(data['Direction'], SIDE.BUY)
self.exchange_id = data['ExchangeID']
if self.exchange_id == 'SHFE':
if data['OffsetFlag'] == defineDict['THOST_FTDC_OF_Open']:
self.position_effect = POSITION_EFFECT.OPEN
elif data['OffsetFlag'] == defineDict['THOST_FTDC_OF_CloseToday']:
self.position_effect = POSITION_EFFECT.CLOSE_TODAY
else:
self.position_effect = POSITION_EFFECT.CLOSE
else:
if data['OffsetFlag'] == defineDict['THOST_FTDC_OF_Open']:
self.position_effect = POSITION_EFFECT.OPEN
else:
self.position_effect = POSITION_EFFECT.CLOSE
self.amount = data['Volume']
self.price = data['Price']
self.style = LimitOrder(self.price)
self.is_valid = True
def update_data(self, data, rejected=False):
if not data['InstrumentID']:
return
try:
self.order_id = int(data['OrderRef'])
except ValueError:
self.order_id = np.nan
self.order_book_id = make_order_book_id(data['InstrumentID'])
if 'FrontID' in data:
self.front_id = data['FrontID']
self.session_id = data['SessionID']
self.quantity = data['VolumeTotalOriginal']
if 'VolumeTraded' in data:
self.filled_quantity = data['VolumeTraded']
self.unfilled_quantity = self.quantity - self.filled_quantity
self.side = SIDE_REVERSE.get(data['Direction'], SIDE.BUY)
self.price = data['LimitPrice']
self.exchange_id = data['ExchangeID']
if self.exchange_id == 'SHFE':
if data['CombOffsetFlag'] == defineDict['THOST_FTDC_OF_Open']:
self.position_effect = POSITION_EFFECT.OPEN
elif data['CombOffsetFlag'] == defineDict[
'THOST_FTDC_OF_CloseToday']:
self.position_effect = POSITION_EFFECT.CLOSE_TODAY
else:
self.position_effect = POSITION_EFFECT.CLOSE
else:
if data['CombOffsetFlag'] == defineDict['THOST_FTDC_OF_Open']:
self.position_effect = POSITION_EFFECT.OPEN
else:
self.position_effect = POSITION_EFFECT.CLOSE
if rejected:
self.status = ORDER_STATUS.REJECTED
else:
if 'OrderStatus' in data:
if data['OrderStatus'] in [
defineDict["THOST_FTDC_OST_PartTradedQueueing"],
defineDict["THOST_FTDC_OST_NoTradeQueueing"]
]:
self.status = ORDER_STATUS.ACTIVE
elif data['OrderStatus'] == defineDict[
"THOST_FTDC_OST_AllTraded"]:
self.status = ORDER_STATUS.FILLED
elif data['OrderStatus'] == defineDict[
"THOST_FTDC_OST_Canceled"]:
self.status = ORDER_STATUS.CANCELLED
else:
return
self.style = LimitOrder(self.price)
self.is_valid = True
def make_order(cls, vnpy_order):
calendar_dt = parse(vnpy_order.orderTime)
trading_dt = cls.make_trading_dt(calendar_dt)
order_book_id = cls.make_order_book_id(vnpy_order.symbol)
quantity = vnpy_order.totalVolume
side = cls.SIDE_REVERSE[vnpy_order.direction]
style = LimitOrder(vnpy_order.price)
position_effect = cls.make_position_effect(vnpy_order.exchange, vnpy_order.offset)
order = Order.__from_create__(calendar_dt, trading_dt, order_book_id, quantity, side, style, position_effect)
order._filled_quantity = vnpy_order.totalVolume
return order
def cal_style(price, style):
if price is None and style is None:
return MarketOrder()
if style is not None:
if not isinstance(style, OrderStyle):
raise RuntimeError
return style
if isinstance(price, OrderStyle):
# 为了 order_xxx('RB1710', 10, MarketOrder()) 这种写法
return price
return LimitOrder(price)
def make_order_from_vnpy_trade(vnpy_trade):
order_book_id = make_order_book_id(vnpy_trade.symbol)
quantity = vnpy_trade.volume
side = SIDE_REVERSE[vnpy_trade.direction]
style = LimitOrder(vnpy_trade.price)
position_effect = make_position_effect(vnpy_trade.exchange,
vnpy_trade.offset)
order = Order.__from_create__(order_book_id, quantity, side, style,
position_effect)
order._filled_quantity = vnpy_trade.volume
order._status = ORDER_STATUS.FILLED
order._avg_price = vnpy_trade.price
order._transaction_cost = 0
return order
def make_order(vnpy_order):
order_book_id = make_order_book_id(vnpy_order.symbol)
quantity = vnpy_order.totalVolume
side = SIDE_REVERSE[vnpy_order.direction]
style = LimitOrder(vnpy_order.price)
position_effect = make_position_effect(vnpy_order.exchange,
vnpy_order.offset)
order_id = vnpy_order.orderID
order = Order.__from_create__(order_book_id, quantity, side, style,
position_effect)
order._filled_quantity = vnpy_order.totalVolume
order._order_id = order_id
return order
def make_order_from_vnpy_trade(cls, vnpy_trade):
calendar_dt = parse(vnpy_trade.tradeTime)
trading_dt = cls.make_trading_dt(calendar_dt)
order_book_id = cls.make_order_book_id(vnpy_trade.symbol)
quantity = vnpy_trade.volume
side = cls.SIDE_REVERSE[vnpy_trade.direction]
style = LimitOrder(vnpy_trade.price)
position_effect = cls.make_position_effect(vnpy_trade.exchange, vnpy_trade.offset)
order = Order.__from_create__(calendar_dt, trading_dt, order_book_id, quantity, side, style, position_effect)
order._filled_quantity = vnpy_trade.volume
order._status = ORDER_STATUS.FILLED
order._avg_price = vnpy_trade.price
# FIXME: 用近似值代替
order._transaction_cost = 0
return order
def cal_style(price, style):
if price is None and style is None:
return MarketOrder()
if style is not None:
if not isinstance(style, OrderStyle):
raise RuntimeError
return style
if isinstance(price, OrderStyle):
# 为了 order_xxx('RB1710', 10, MarketOrder()) 这种写法
if isinstance(price, LimitOrder):
if np.isnan(price.get_limit_price()):
raise RQInvalidArgument(_(u"Limit order price should not be nan."))
return price
if np.isnan(price):
raise RQInvalidArgument(_(u"Limit order price should not be nan."))
return LimitOrder(price)
def _order_value(order_book_id, cash_amount, style):
env = Environment.get_instance()
price = env.get_last_price(order_book_id)
if not is_valid_price(price):
user_system_log.warn(
_(u"Order Creation Failed: [{order_book_id}] No market data").format(order_book_id=order_book_id))
return
account = env.portfolio.accounts[DEFAULT_ACCOUNT_TYPE.STOCK.name]
if cash_amount > 0:
cash_amount = min(cash_amount, account.cash)
price = price if isinstance(style, MarketOrder) else style.get_limit_price()
amount = int(Decimal(cash_amount) / Decimal(price))
if cash_amount > 0:
round_lot = int(env.get_instrument(order_book_id).round_lot)
# FIXME: logic duplicate with order_shares
amount = int(Decimal(amount) / Decimal(round_lot)) * round_lot
while amount > 0:
dummy_order = Order.__from_create__(order_book_id, amount, SIDE.BUY, LimitOrder(price),
POSITION_EFFECT.OPEN)
expected_transaction_cost = env.get_order_transaction_cost(dummy_order)
if amount * price + expected_transaction_cost <= cash_amount:
break
amount -= round_lot
else:
user_system_log.warn(_(u"Order Creation Failed: 0 order quantity"))
return
# if the cash_amount is larger than you current security’s position,
# then it will sell all shares of this security.
position = account.get_position(order_book_id, POSITION_DIRECTION.LONG)
amount = downsize_amount(amount, position)
return _order_shares(order_book_id, amount, style, auto_switch_order_value=False)
def order_value(id_or_ins, cash_amount, price=None, style=None):
"""
使用想要花费的金钱买入/卖出股票，而不是买入/卖出想要的股数，正数代表买入，负数代表卖出。股票的股数总是会被调整成对应的100的倍数（在A中国A股市场1手是100股）。如果资金不足，该API将不会创建发送订单。
需要注意：
当您提交一个买单时，cash_amount 代表的含义是您希望买入股票消耗的金额（包含税费），最终买入的股数不仅和发单的价格有关，还和税费相关的参数设置有关。
当您提交一个卖单时，cash_amount 代表的意义是您希望卖出股票的总价值。如果金额超出了您所持有股票的价值，那么您将卖出所有股票。
:param id_or_ins: 下单标的物
:type id_or_ins: :class:`~Instrument` object | `str`
:param float cash_amount: 需要花费现金购买/卖出证券的数目。正数代表买入，负数代表卖出。
:param float price: 下单价格，默认为None，表示 :class:`~MarketOrder`, 此参数主要用于简化 `style` 参数。
:param style: 下单类型, 默认是市价单。目前支持的订单类型有 :class:`~LimitOrder` 和 :class:`~MarketOrder`
:type style: `OrderStyle` object
:return: :class:`~Order` object | None
:example:
.. code-block:: python
#花费最多￥10000买入平安银行股票，并以市价单发送。具体下单的数量与您策略税费相关的配置有关。
order_value('000001.XSHE', 10000)
#卖出价值￥10000的现在持有的平安银行：
order_value('000001.XSHE', -10000)
"""
style = cal_style(price, style)
if isinstance(style, LimitOrder):
if style.get_limit_price() <= 0:
raise RQInvalidArgument(_(u"Limit order price should be positive"))
order_book_id = assure_stock_order_book_id(id_or_ins)
env = Environment.get_instance()
price = env.get_last_price(order_book_id)
if not is_valid_price(price):
user_system_log.warn(
_(u"Order Creation Failed: [{order_book_id}] No market data").format(order_book_id=order_book_id))
return
account = env.portfolio.accounts[DEFAULT_ACCOUNT_TYPE.STOCK.name]
if cash_amount > 0:
cash_amount = min(cash_amount, account.cash)
price = price if isinstance(style, MarketOrder) else style.get_limit_price()
amount = int(Decimal(cash_amount) / Decimal(price))
if cash_amount > 0:
round_lot = int(env.get_instrument(order_book_id).round_lot)
# FIXME: logic duplicate with order_shares
amount = int(Decimal(amount) / Decimal(round_lot)) * round_lot
while amount > 0:
dummy_order = Order.__from_create__(order_book_id, amount, SIDE.BUY, LimitOrder(price), POSITION_EFFECT.OPEN)
expected_transaction_cost = env.get_order_transaction_cost(DEFAULT_ACCOUNT_TYPE.STOCK, dummy_order)
if amount * price + expected_transaction_cost <= cash_amount:
break
amount -= round_lot
else:
user_system_log.warn(_(u"Order Creation Failed: 0 order quantity"))
return
# if the cash_amount is larger than you current security’s position,
# then it will sell all shares of this security.
position = account.positions[order_book_id]
amount = downsize_amount(amount, position)
return order_shares(order_book_id, amount, style=style)
def update_data(self, data, rejected=False):
if not data.InstrumentID:
return
try:
self.order_id = int(data.OrderRef)
except ValueError:
self.order_id = np.nan
self.order_book_id = make_order_book_id(data.InstrumentID)
try:
self.front_id = data.FrontID
self.session_id = data.SessionID
except AttributeError:
pass
self.quantity = data.VolumeTotalOriginal
try:
self.filled_quantity = data.VolumeTraded
self.unfilled_quantity = self.quantity - self.filled_quantity
except AttributeError:
pass
self.side = SIDE_REVERSE.get(data.Direction, SIDE.BUY)
self.price = data.LimitPrice
try:
self.exchange_id = data.ExchangeID
except AttributeError:
pass
if self.exchange_id == 'SHFE':
if data.CombOffsetFlag == ApiStruct.OF_Open:
self.position_effect = POSITION_EFFECT.OPEN
elif data.CombOffsetFlag == ApiStruct.OF_CloseToday:
self.position_effect = POSITION_EFFECT.CLOSE_TODAY
else:
self.position_effect = POSITION_EFFECT.CLOSE
else:
if data.CombOffsetFlag == ApiStruct.OF_Open:
self.position_effect = POSITION_EFFECT.OPEN
else:
self.position_effect = POSITION_EFFECT.CLOSE
if rejected:
self.status = ORDER_STATUS.REJECTED
else:
try:
if data.OrderStatus in [ApiStruct.OST_PartTradedQueueing, ApiStruct.OST_NoTradeQueueing]:
self.status = ORDER_STATUS.ACTIVE
elif data.OrderStatus == ApiStruct.OST_AllTraded:
self.status = ORDER_STATUS.FILLED
elif data.OrderStatus == ApiStruct.OST_Canceled:
self.status = ORDER_STATUS.CANCELLED
else:
return
except AttributeError:
pass
self.style = LimitOrder(self.price)
self.is_valid = True