def _on_post_bar(self, event):
if self._open_orders:
data = self._query_filled_orders()
if data is not None:
for item in data:
trade_no = item[u'成交编号']
if trade_no in self._trade_no:
continue
entrust_no = item[u'合同编号']
order_id = self._order_id_map.get(entrust_no, None)
if order_id:
order = self._open_orders.get(order_id, None)
if order:
trade = Trade.__from_create__(
order_id=order.order_id,
price=float(item[u'成交均价']),
amount=int(item[u'成交数量']),
side=order.side,
position_effect=order.position_effect,
order_book_id=order.order_book_id,
frozen_price=order.frozen_price,
)
account = self._env.get_account(order.order_book_id)
trade._commission = self._env.get_trade_commission(account_type_str2enum(account.type), trade)
trade._tax = self._env.get_trade_tax(account_type_str2enum(account.type), trade)
order.fill(trade)
self._env.event_bus.publish_event(Event(EVENT.TRADE, account=account, trade=trade, order=order))
self._trade_no.add(trade_no)
if order.is_final():
str_order_id = str(order.order_id)
del self._open_orders[str_order_id]
del self._order_id_map[entrust_no]
del self._order_id_map[str_order_id]
def match(self, open_orders):
price_board = self._env.price_board
for account, order in open_orders:
order_book_id = order.order_book_id
instrument = self._env.get_instrument(order_book_id)
deal_price = self._deal_price_decider(order_book_id, order.side)
if not is_valid_price(deal_price):
listed_date = instrument.listed_date.date()
if listed_date == self._trading_dt.date():
reason = _(
u"Order Cancelled: current security [{order_book_id}] can not be traded in listed date [{listed_date}]"
).format(
order_book_id=order.order_book_id,
listed_date=listed_date,
)
else:
reason = _(
u"Order Cancelled: current bar [{order_book_id}] miss market data."
).format(order_book_id=order.order_book_id)
order.mark_rejected(reason)
continue
if order.type == ORDER_TYPE.LIMIT:
if order.side == SIDE.BUY and order.price < deal_price:
continue
if order.side == SIDE.SELL and order.price > deal_price:
continue
# 是否限制涨跌停不成交
if self._price_limit:
if order.side == SIDE.BUY and deal_price >= price_board.get_limit_up(
order_book_id):
continue
if order.side == SIDE.SELL and deal_price <= price_board.get_limit_down(
order_book_id):
continue
if self._liquidity_limit:
if order.side == SIDE.BUY and price_board.get_a1(
order_book_id) == 0:
continue
if order.side == SIDE.SELL and price_board.get_b1(
order_book_id) == 0:
continue
else:
if self._price_limit:
if order.side == SIDE.BUY and deal_price >= price_board.get_limit_up(
order_book_id):
reason = _(
"Order Cancelled: current bar [{order_book_id}] reach the limit_up price."
).format(order_book_id=order.order_book_id)
order.mark_rejected(reason)
continue
if order.side == SIDE.SELL and deal_price <= price_board.get_limit_down(
order_book_id):
reason = _(
"Order Cancelled: current bar [{order_book_id}] reach the limit_down price."
).format(order_book_id=order.order_book_id)
order.mark_rejected(reason)
continue
if self._liquidity_limit:
if order.side == SIDE.BUY and price_board.get_a1(
order_book_id) == 0:
reason = _(
"Order Cancelled: [{order_book_id}] has no liquidity."
).format(order_book_id=order.order_book_id)
order.mark_rejected(reason)
continue
if order.side == SIDE.SELL and price_board.get_b1(
order_book_id) == 0:
reason = _(
"Order Cancelled: [{order_book_id}] has no liquidity."
).format(order_book_id=order.order_book_id)
order.mark_rejected(reason)
continue
if self._volume_limit:
bar = self._env.bar_dict[order_book_id]
volume_limit = round(
bar.volume *
self._volume_percent) - self._turnover[order.order_book_id]
round_lot = instrument.round_lot
volume_limit = (volume_limit // round_lot) * round_lot
if volume_limit <= 0:
if order.type == ORDER_TYPE.MARKET:
reason = _(
u"Order Cancelled: market order {order_book_id} volume {order_volume}"
u" due to volume limit").format(
order_book_id=order.order_book_id,
order_volume=order.quantity)
order.mark_cancelled(reason)
continue
unfilled = order.unfilled_quantity
fill = min(unfilled, volume_limit)
else:
fill = order.unfilled_quantity
ct_amount = account.positions.get_or_create(
order.order_book_id).cal_close_today_amount(fill, order.side)
price = self._slippage_decider.get_trade_price(order, deal_price)
trade = Trade.__from_create__(
order_id=order.order_id,
price=price,
amount=fill,
side=order.side,
position_effect=order.position_effect,
order_book_id=order.order_book_id,
frozen_price=order.frozen_price,
close_today_amount=ct_amount)
trade._commission = self._env.get_trade_commission(
account_type_str2enum(account.type), trade)
trade._tax = self._env.get_trade_tax(
account_type_str2enum(account.type), trade)
order.fill(trade)
self._turnover[order.order_book_id] += fill
self._env.event_bus.publish_event(
Event(EVENT.TRADE, account=account, trade=trade, order=order))
if order.type == ORDER_TYPE.MARKET and order.unfilled_quantity != 0:
reason = _(
u"Order Cancelled: market order {order_book_id} volume {order_volume} is"
u" larger than {volume_percent_limit} percent of current bar volume, fill {filled_volume} actually"
).format(order_book_id=order.order_book_id,
order_volume=order.quantity,
filled_volume=order.filled_quantity,
volume_percent_limit=self._volume_percent * 100.0)
order.mark_cancelled(reason)
def match(self, open_orders):
price_board = self._env.price_board
for account, order in open_orders:
order_book_id = order.order_book_id
instrument = self._env.get_instrument(order_book_id)
deal_price = self._deal_price_decider(order_book_id, order.side)
if not is_valid_price(deal_price):
listed_date = instrument.listed_date.date()
if listed_date == self._trading_dt.date():
reason = _(
u"Order Cancelled: current security [{order_book_id}] can not be traded in listed date [{listed_date}]").format(
order_book_id=order.order_book_id,
listed_date=listed_date,
)
else:
reason = _(u"Order Cancelled: current bar [{order_book_id}] miss market data.").format(
order_book_id=order.order_book_id)
order.mark_rejected(reason)
continue
if order.type == ORDER_TYPE.LIMIT:
if order.side == SIDE.BUY and order.price < deal_price:
continue
if order.side == SIDE.SELL and order.price > deal_price:
continue
# 是否限制涨跌停不成交
if self._price_limit:
if order.side == SIDE.BUY and deal_price >= price_board.get_limit_up(order_book_id):
continue
if order.side == SIDE.SELL and deal_price <= price_board.get_limit_down(order_book_id):
continue
if self._liquidity_limit:
if order.side == SIDE.BUY and price_board.get_a1(order_book_id) == 0:
continue
if order.side == SIDE.SELL and price_board.get_b1(order_book_id) == 0:
continue
else:
if self._price_limit:
if order.side == SIDE.BUY and deal_price >= price_board.get_limit_up(order_book_id):
reason = _(
"Order Cancelled: current bar [{order_book_id}] reach the limit_up price."
).format(order_book_id=order.order_book_id)
order.mark_rejected(reason)
continue
if order.side == SIDE.SELL and deal_price <= price_board.get_limit_down(order_book_id):
reason = _(
"Order Cancelled: current bar [{order_book_id}] reach the limit_down price."
).format(order_book_id=order.order_book_id)
order.mark_rejected(reason)
continue
if self._liquidity_limit:
if order.side == SIDE.BUY and price_board.get_a1(order_book_id) == 0:
reason = _(
"Order Cancelled: [{order_book_id}] has no liquidity."
).format(order_book_id=order.order_book_id)
order.mark_rejected(reason)
continue
if order.side == SIDE.SELL and price_board.get_b1(order_book_id) == 0:
reason = _(
"Order Cancelled: [{order_book_id}] has no liquidity."
).format(order_book_id=order.order_book_id)
order.mark_rejected(reason)
continue
if self._volume_limit:
bar = self._env.bar_dict[order_book_id]
volume_limit = round(bar.volume * self._volume_percent) - self._turnover[order.order_book_id]
round_lot = instrument.round_lot
volume_limit = (volume_limit // round_lot) * round_lot
if volume_limit <= 0:
if order.type == ORDER_TYPE.MARKET:
reason = _(u"Order Cancelled: market order {order_book_id} volume {order_volume}"
u" due to volume limit").format(
order_book_id=order.order_book_id,
order_volume=order.quantity
)
order.mark_cancelled(reason)
continue
unfilled = order.unfilled_quantity
fill = min(unfilled, volume_limit)
else:
fill = order.unfilled_quantity
ct_amount = account.positions.get_or_create(order.order_book_id).cal_close_today_amount(fill, order.side)
price = self._slippage_decider.get_trade_price(order, deal_price)
trade = Trade.__from_create__(
order_id=order.order_id,
price=price,
amount=fill,
side=order.side,
position_effect=order.position_effect,
order_book_id=order.order_book_id,
frozen_price=order.frozen_price,
close_today_amount=ct_amount
)
trade._commission = self._env.get_trade_commission(account_type_str2enum(account.type), trade)
trade._tax = self._env.get_trade_tax(account_type_str2enum(account.type), trade)
order.fill(trade)
self._turnover[order.order_book_id] += fill
self._env.event_bus.publish_event(Event(EVENT.TRADE, account=account, trade=trade, order=order))
if order.type == ORDER_TYPE.MARKET and order.unfilled_quantity != 0:
reason = _(
u"Order Cancelled: market order {order_book_id} volume {order_volume} is"
u" larger than {volume_percent_limit} percent of current bar volume, fill {filled_volume} actually"
).format(
order_book_id=order.order_book_id,
order_volume=order.quantity,
filled_volume=order.filled_quantity,
volume_percent_limit=self._volume_percent * 100.0
)
order.mark_cancelled(reason)
def _match(self, account, order):
order_book_id = order.order_book_id
price_board = self._env.price_board
last_price = price_board.get_last_price(order_book_id)
if not is_valid_price(last_price):
instrument = self._env.get_instrument(order_book_id)
listed_date = instrument.listed_date.date()
if listed_date == self._env.trading_dt.date():
reason = _(
"Order Cancelled: current security [{order_book_id}] can not be traded in listed date [{listed_date}]").format(
order_book_id=order_book_id,
listed_date=listed_date,
)
else:
reason = _(u"Order Cancelled: current bar [{order_book_id}] miss market data.").format(
order_book_id=order_book_id)
order.mark_rejected(reason)
self._env.event_bus.publish_event(Event(EVENT.ORDER_UNSOLICITED_UPDATE, account=account, order=copy(order)))
return
if order.type == ORDER_TYPE.LIMIT:
deal_price = order.frozen_price
else:
deal_price = last_price
if self._price_limit:
"""
在 Signal 模式下，不再阻止涨跌停是否买进，price_limit 参数表示是否给出警告提示。
"""
if order.side == SIDE.BUY and deal_price >= price_board.get_limit_up(order_book_id):
user_system_log.warning(_(u"You have traded {order_book_id} with {quantity} lots in {bar_status}").format(
order_book_id=order_book_id,
quantity=order.quantity,
bar_status=BAR_STATUS.LIMIT_UP
))
if order.side == SIDE.SELL and deal_price <= price_board.get_limit_down(order_book_id):
user_system_log.warning(_(u"You have traded {order_book_id} with {quantity} lots in {bar_status}").format(
order_book_id=order_book_id,
quantity=order.quantity,
bar_status=BAR_STATUS.LIMIT_DOWN
))
ct_amount = account.positions.get_or_create(order_book_id).cal_close_today_amount(order.quantity, order.side)
trade_price = self._slippage_decider.get_trade_price(order, deal_price)
trade = Trade.__from_create__(
order_id=order.order_id,
price=trade_price,
amount=order.quantity,
side=order.side,
position_effect=order.position_effect,
order_book_id=order_book_id,
frozen_price=order.frozen_price,
close_today_amount=ct_amount
)
trade._commission = self._env.get_trade_commission(account_type_str2enum(account.type), trade)
trade._tax = self._env.get_trade_tax(account_type_str2enum(account.type), trade)
order.fill(trade)
self._env.event_bus.publish_event(Event(EVENT.TRADE, account=account, trade=trade, order=copy(order)))
def _match(self, account, order):
order_book_id = order.order_book_id
price_board = self._env.price_board
last_price = price_board.get_last_price(order_book_id)
if not is_valid_price(last_price):
instrument = self._env.get_instrument(order_book_id)
listed_date = instrument.listed_date.date()
if listed_date == self._env.trading_dt.date():
reason = _(
"Order Cancelled: current security [{order_book_id}] can not be traded in listed date [{listed_date}]").format(
order_book_id=order_book_id,
listed_date=listed_date,
)
else:
reason = _(u"Order Cancelled: current bar [{order_book_id}] miss market data.").format(
order_book_id=order_book_id)
order.mark_rejected(reason)
self._env.event_bus.publish_event(Event(EVENT.ORDER_UNSOLICITED_UPDATE, account=account, order=copy(order)))
return
if order.type == ORDER_TYPE.LIMIT:
deal_price = order.frozen_price
else:
deal_price = last_price
if self._price_limit:
"""
在 Signal 模式下，不再阻止涨跌停是否买进，price_limit 参数表示是否给出警告提示。
"""
if order.side == SIDE.BUY and deal_price >= price_board.get_limit_up(order_book_id):
user_system_log.warning(_(u"You have traded {order_book_id} with {quantity} lots in {bar_status}").format(
order_book_id=order_book_id,
quantity=order.quantity,
bar_status=BAR_STATUS.LIMIT_UP
))
return
if order.side == SIDE.SELL and deal_price <= price_board.get_limit_down(order_book_id):
user_system_log.warning(_(u"You have traded {order_book_id} with {quantity} lots in {bar_status}").format(
order_book_id=order_book_id,
quantity=order.quantity,
bar_status=BAR_STATUS.LIMIT_DOWN
))
return
ct_amount = account.positions.get_or_create(order_book_id).cal_close_today_amount(order.quantity, order.side)
trade_price = self._slippage_decider.get_trade_price(order, deal_price)
trade = Trade.__from_create__(
order_id=order.order_id,
price=trade_price,
amount=order.quantity,
side=order.side,
position_effect=order.position_effect,
order_book_id=order_book_id,
frozen_price=order.frozen_price,
close_today_amount=ct_amount
)
trade._commission = self._env.get_trade_commission(account_type_str2enum(account.type), trade)
trade._tax = self._env.get_trade_tax(account_type_str2enum(account.type), trade)
order.fill(trade)
self._env.event_bus.publish_event(Event(EVENT.TRADE, account=account, trade=trade, order=copy(order)))
