def sendOrder(self, vtSymbol, orderType, price, volume, strategy):
"""发单"""
contract = self.mainEngine.getContract(vtSymbol)
req = VtOrderReq()
req.symbol = contract.symbol
req.exchange = contract.exchange
req.price = price
req.volume = volume
req.productClass = strategy.productClass
req.currency = strategy.currency
# 设计为CTA引擎发出的委托只允许使用限价单
req.priceType = PRICETYPE_LIMITPRICE
# CTA委托类型映射
if orderType == CTAORDER_BUY:
req.direction = DIRECTION_LONG
req.offset = OFFSET_OPEN
elif orderType == CTAORDER_SELL:
req.direction = DIRECTION_SHORT
# 只有上期所才要考虑平今平昨
if contract.exchange != EXCHANGE_SHFE:
req.offset = OFFSET_CLOSE
else:
# 获取持仓缓存数据
posBuffer = self.posBufferDict.get(vtSymbol, None)
# 如果获取持仓缓存失败，则默认平昨
if not posBuffer:
req.offset = OFFSET_CLOSE
# 否则如果有多头今仓，则使用平今
elif posBuffer.longToday:
req.offset= OFFSET_CLOSETODAY
# 其他情况使用平昨
else:
req.offset = OFFSET_CLOSE
elif orderType == CTAORDER_SHORT:
req.direction = DIRECTION_SHORT
req.offset = OFFSET_OPEN
elif orderType == CTAORDER_COVER:
req.direction = DIRECTION_LONG
# 只有上期所才要考虑平今平昨
if contract.exchange != EXCHANGE_SHFE:
req.offset = OFFSET_CLOSE
else:
# 获取持仓缓存数据
posBuffer = self.posBufferDict.get(vtSymbol, None)
# 如果获取持仓缓存失败，则默认平昨
if not posBuffer:
req.offset = OFFSET_CLOSE
# 否则如果有空头今仓，则使用平今
elif posBuffer.shortToday:
req.offset= OFFSET_CLOSETODAY
# 其他情况使用平昨
else:
req.offset = OFFSET_CLOSE
vtOrderID = self.mainEngine.sendOrder(req, contract.gatewayName) # 发单
self.orderStrategyDict[vtOrderID] = strategy # 保存vtOrderID和策略的映射关系
self.writeCtaLog(u'策略%s发送委托，%s，%s，%s@%s'
%(strategy.name, vtSymbol, req.direction, volume, price))
return vtOrderID
def sendOrder(self, vtSymbol, orderType, price, volume, strategy):
"""发单"""
contract = self.mainEngine.getContract(vtSymbol)
req = VtOrderReq()
req.symbol = contract.symbol # 合约代码
req.exchange = contract.exchange # 交易所
req.price = price # 价格
req.volume = volume # 数量
if strategy:
req.productClass = strategy.productClass
req.currency = strategy.currency
else:
req.productClass = ''
req.currency = ''
# 设计为CTA引擎发出的委托只允许使用限价单
req.priceType = PRICETYPE_LIMITPRICE # 价格类型
# CTA委托类型映射
if orderType == CTAORDER_BUY:
req.direction = DIRECTION_LONG # 合约方向
req.offset = OFFSET_OPEN # 开/平
elif orderType == CTAORDER_SELL:
req.direction = DIRECTION_SHORT
# 只有上期所才要考虑平今平昨
if contract.exchange != EXCHANGE_SHFE:
req.offset = OFFSET_CLOSE
else:
# 获取持仓缓存数据
posBuffer = self.posBufferDict.get(vtSymbol, None)
# 如果获取持仓缓存失败，则默认平昨
if not posBuffer:
req.offset = OFFSET_CLOSE
# modified by IncenseLee 2016/11/08，改为优先平昨仓
elif posBuffer.longYd :
req.offset = OFFSET_CLOSE
else:
req.offset = OFFSET_CLOSETODAY
# 否则如果有多头今仓，则使用平今
#elif posBuffer.longToday:
# req.offset= OFFSET_CLOSETODAY
# 其他情况使用平昨
#else:
# req.offset = OFFSET_CLOSE
elif orderType == CTAORDER_SHORT:
req.direction = DIRECTION_SHORT
req.offset = OFFSET_OPEN
elif orderType == CTAORDER_COVER:
req.direction = DIRECTION_LONG
# 只有上期所才要考虑平今平昨
if contract.exchange != EXCHANGE_SHFE:
req.offset = OFFSET_CLOSE
else:
# 获取持仓缓存数据
posBuffer = self.posBufferDict.get(vtSymbol, None)
# 如果获取持仓缓存失败，则默认平昨
if not posBuffer:
req.offset = OFFSET_CLOSE
#modified by IncenseLee 2016/11/08，改为优先平昨仓
elif posBuffer.shortYd:
req.offset = OFFSET_CLOSE
else:
req.offset = OFFSET_CLOSETODAY
# 否则如果有空头今仓，则使用平今
#elif posBuffer.shortToday:
# req.offset= OFFSET_CLOSETODAY
# 其他情况使用平昨
#else:
# req.offset = OFFSET_CLOSE
vtOrderID = self.mainEngine.sendOrder(req, contract.gatewayName) # 发单
if strategy:
self.orderStrategyDict[vtOrderID] = strategy # 保存vtOrderID和策略的映射关系
self.writeCtaLog(u'策略%s发送委托，%s, %s，%s，%s@%s'
%(strategy.name, vtSymbol, req.offset, req.direction, volume, price))
else:
self.writeCtaLog(u'%s发送委托，%s, %s，%s，%s@%s'
% ('CtaEngine', vtSymbol, req.offset, req.direction, volume, price))
return vtOrderID
def sendOrder(self, vtSymbol, orderType, price, volume, strategy):
"""发单"""
contract = self.mainEngine.getContract(vtSymbol)
req = VtOrderReq()
req.symbol = contract.symbol
req.exchange = contract.exchange
req.price = price
req.volume = volume
# 设计为CTA引擎发出的委托只允许使用限价单
req.priceType = PRICETYPE_LIMITPRICE
# CTA委托类型映射
if orderType == CTAORDER_BUY:
req.direction = DIRECTION_LONG
req.offset = OFFSET_OPEN
elif orderType == CTAORDER_SELL:
req.direction = DIRECTION_SHORT
req.offset = OFFSET_CLOSE
elif orderType == CTAORDER_SHORT:
req.direction = DIRECTION_SHORT
req.offset = OFFSET_OPEN
elif orderType == CTAORDER_COVER:
req.direction = DIRECTION_LONG
req.offset = OFFSET_CLOSE
vtOrderID = self.mainEngine.sendOrder(req, contract.gatewayName) # 发单
self.orderStrategyDict[vtOrderID] = strategy # 保存vtOrderID和策略的映射关系
#self.writeCtaLog(u'发送委托：' + str(req.__dict__))
return vtOrderID
def sendOrder(self, vtSymbol, orderType, price, volume, strategy, isMKT):
"""发单"""
contract = self.mainEngine.getContract(vtSymbol)
if contract.gatewayName == "IB":
return self.sendIBOrder(vtSymbol, orderType, price, volume,
strategy, isMKT)
req = VtOrderReq()
req.symbol = contract.symbol
req.exchange = contract.exchange
priceTick = contract.priceTick
req.price = self.getPrice(float(price), float(priceTick))
req.volume = volume
closeFirst = strategy.closeFirst
req.productClass = strategy.productClass
req.currency = strategy.currency
# 设计为CTA引擎发出的委托只允许使用限价单
req.priceType = PRICETYPE_LIMITPRICE
if vtSymbol not in self.mPosInfo.keys():
l = {}
l['ytd'] = 0
l['td'] = 0
s = {}
s['ytd'] = 0
s['td'] = 0
self.mPosInfo[vtSymbol] = {}
self.mPosInfo[vtSymbol]['long'] = l
self.mPosInfo[vtSymbol]['short'] = s
if closeFirst != None and closeFirst == False:
if orderType == CTAORDER_BUY:
req.direction = DIRECTION_LONG
req.offset = OFFSET_OPEN
self.mPosInfo[vtSymbol]['long']['td'] += volume
elif orderType == CTAORDER_SELL:
req.direction = DIRECTION_SHORT
if contract.exchange != EXCHANGE_SHFE:
req.offset = OFFSET_CLOSE
if self.mPosInfo[vtSymbol]['long']['td'] >= volume:
self.mPosInfo[vtSymbol]['long']['td'] -= volume
else:
self.mPosInfo[vtSymbol]['long']['ytd'] -= volume
else:
# 如果获取持仓缓存失败，则默认平昨
if self.mPosInfo[vtSymbol]['long']['ytd'] >= volume:
req.offset = OFFSET_CLOSE
self.mPosInfo[vtSymbol]['long']['ytd'] -= volume
# 否则如果有多头今仓，则使用平今
else:
req.offset = OFFSET_CLOSETODAY
self.mPosInfo[vtSymbol]['long']['td'] -= volume
elif orderType == CTAORDER_SHORT:
req.direction = DIRECTION_SHORT
req.offset = OFFSET_OPEN
self.mPosInfo[vtSymbol]['short']['td'] += volume
elif orderType == CTAORDER_COVER:
req.direction = DIRECTION_LONG
# 只有上期所才要考虑平今平昨
if contract.exchange != EXCHANGE_SHFE:
req.offset = OFFSET_CLOSE
if self.mPosInfo[vtSymbol]['short']['td'] >= volume:
self.mPosInfo[vtSymbol]['short']['td'] -= volume
else:
self.mPosInfo[vtSymbol]['short']['ytd'] -= volume
else:
if self.mPosInfo[vtSymbol]['short']['ytd'] >= volume:
req.offset = OFFSET_CLOSE
self.mPosInfo[vtSymbol]['short']['ytd'] -= volume
elif self.mPosInfo[vtSymbol]['short']['td'] >= volume:
req.offset = OFFSET_CLOSETODAY
self.mPosInfo[vtSymbol]['short']['td'] -= volume
vtOrderID = self.mainEngine.sendOrder(req, contract.gatewayName,
strategy) # 发单
self.orderStrategyDict[vtOrderID] = strategy # 保存vtOrderID和策略的映射关系
self.writeCtaLog(u'策略%s发送委托，%s，%s，%s, %s@%s' %
(strategy.name, vtSymbol, req.direction,
req.offset, volume, price))
return vtOrderID
if orderType == CTAORDER_BUY:
req.direction = DIRECTION_LONG
if self.mPosInfo[vtSymbol]['short']['ytd'] >= volume:
req.offset = OFFSET_CLOSE
self.mPosInfo[vtSymbol]['short']['ytd'] -= volume
elif self.mPosInfo[vtSymbol]['short']['td'] >= volume:
req.offset = OFFSET_CLOSETODAY
self.mPosInfo[vtSymbol]['short']['td'] -= volume
else:
req.offset = OFFSET_OPEN
self.mPosInfo[vtSymbol]['long']['td'] += volume
elif orderType == CTAORDER_SELL:
req.direction = DIRECTION_SHORT
# 只有上期所才要考虑平今平昨
if contract.exchange != EXCHANGE_SHFE:
if self.mPosInfo[vtSymbol]['long']['ytd'] >= volume:
req.offset = OFFSET_CLOSE
self.mPosInfo[vtSymbol]['long']['ytd'] -= volume
elif self.mPosInfo[vtSymbol]['long']['td'] >= volume:
req.offset = OFFSET_CLOSE
self.mPosInfo[vtSymbol]['long']['td'] -= volume
else:
req.offset = OFFSET_OPEN
self.mPosInfo[vtSymbol]['short']['td'] += volume
else:
if self.mPosInfo[vtSymbol]['long']['ytd'] >= volume:
req.offset = OFFSET_CLOSE
self.mPosInfo[vtSymbol]['long']['ytd'] -= volume
elif self.mPosInfo[vtSymbol]['long']['td'] >= volume:
req.offset = OFFSET_CLOSETODAY
self.mPosInfo[vtSymbol]['long']['td'] -= volume
else:
req.offset = OFFSET_OPEN
self.mPosInfo[vtSymbol]['short']['td'] += volume
#=======================================================================
elif orderType == CTAORDER_SHORT:
req.direction = DIRECTION_SHORT
if self.mPosInfo[vtSymbol]['long']['ytd'] >= volume:
req.offset = OFFSET_CLOSE
self.mPosInfo[vtSymbol]['long']['ytd'] -= volume
elif self.mPosInfo[vtSymbol]['long']['td'] >= volume:
req.offset = OFFSET_CLOSETODAY
self.mPosInfo[vtSymbol]['long']['td'] -= volume
else:
req.offset = OFFSET_OPEN
self.mPosInfo[vtSymbol]['short']['td'] += volume
elif orderType == CTAORDER_COVER:
req.direction = DIRECTION_LONG
# 只有上期所才要考虑平今平昨
if contract.exchange != EXCHANGE_SHFE:
if self.mPosInfo[vtSymbol]['short']['ytd'] >= volume:
req.offset = OFFSET_CLOSE
self.mPosInfo[vtSymbol]['short']['ytd'] -= volume
elif self.mPosInfo[vtSymbol]['short']['td'] >= volume:
req.offset = OFFSET_CLOSE
self.mPosInfo[vtSymbol]['short']['td'] -= volume
else:
req.offset = OFFSET_OPEN
self.mPosInfo[vtSymbol]['long']['td'] += volume
else:
if self.mPosInfo[vtSymbol]['short']['ytd'] >= volume:
req.offset = OFFSET_CLOSE
self.mPosInfo[vtSymbol]['short']['ytd'] -= volume
elif self.mPosInfo[vtSymbol]['short']['td'] >= volume:
req.offset = OFFSET_CLOSETODAY
self.mPosInfo[vtSymbol]['short']['td'] -= volume
else:
req.offset = OFFSET_OPEN
self.mPosInfo[vtSymbol]['long']['td'] += volume
#=======================================================================
vtOrderID = self.mainEngine.sendOrder(req, contract.gatewayName,
strategy) # 发单
self.orderStrategyDict[vtOrderID] = strategy # 保存vtOrderID和策略的映射关系
self.writeCtaLog(
u'策略%s发送委托，%s，%s，%s@%s' %
(strategy.name, vtSymbol, req.direction, volume, price))
return vtOrderID
def sendOrder(self, vtSymbol, orderType, price, volume, strategy):
"""发单"""
contract = self.mainEngine.getContract(vtSymbol)
req = VtOrderReq()
req.symbol = contract.symbol
req.exchange = contract.exchange
req.price = self.roundToPriceTick(contract.priceTick, price)
req.volume = volume
req.productClass = strategy.productClass
req.currency = strategy.currency
# 设计为CTA引擎发出的委托只允许使用限价单
req.priceType = PRICETYPE_LIMITPRICE
# CTA委托类型映射
if orderType == CTAORDER_BUY:
req.direction = DIRECTION_LONG
req.offset = OFFSET_OPEN
elif orderType == CTAORDER_SELL:
req.direction = DIRECTION_SHORT
# 只有上期所才要考虑平今平昨
if contract.exchange != EXCHANGE_SHFE:
req.offset = OFFSET_CLOSE
else:
# 获取持仓缓存数据
posBuffer = self.posBufferDict.get(vtSymbol, None)
# 如果获取持仓缓存失败，则默认平昨
if not posBuffer:
req.offset = OFFSET_CLOSE
# 否则如果有多头今仓，则使用平今
elif posBuffer.longToday:
req.offset = OFFSET_CLOSETODAY
# 其他情况使用平昨
else:
req.offset = OFFSET_CLOSE
elif orderType == CTAORDER_SHORT:
req.direction = DIRECTION_SHORT
req.offset = OFFSET_OPEN
elif orderType == CTAORDER_COVER:
req.direction = DIRECTION_LONG
# 只有上期所才要考虑平今平昨
if contract.exchange != EXCHANGE_SHFE:
req.offset = OFFSET_CLOSE
else:
# 获取持仓缓存数据
posBuffer = self.posBufferDict.get(vtSymbol, None)
# 如果获取持仓缓存失败，则默认平昨
if not posBuffer:
req.offset = OFFSET_CLOSE
# 否则如果有空头今仓，则使用平今
elif posBuffer.shortToday:
req.offset = OFFSET_CLOSETODAY
# 其他情况使用平昨
else:
req.offset = OFFSET_CLOSE
vtOrderID = self.mainEngine.sendOrder(req, contract.gatewayName) # 发单
self.orderStrategyDict[vtOrderID] = strategy # 保存vtOrderID和策略的映射关系
self.writeCtaLog(
u'策略%s发送委托，%s，%s，%s@%s' %
(strategy.name, vtSymbol, req.direction, volume, price))
return vtOrderID
def sendIBOrder(self, vtSymbol, orderType, price, volume, strategy, isMKT):
contract = self.mainEngine.getContract(vtSymbol)
req = VtOrderReq()
req.symbol = contract.symbol
req.exchange = contract.exchange
#req.price = self.getPrice(float(price), float(contract.priceTick))
req.price = price
req.volume = volume
if isMKT:
req.priceType = PRICETYPE_MARKETPRICE
else:
req.priceType = PRICETYPE_LIMITPRICE
req.productClass = strategy.productClass
req.currency = strategy.currency
if orderType == CTAORDER_BUY or orderType == CTAORDER_COVER:
req.direction = DIRECTION_LONG
else:
req.direction = DIRECTION_SHORT
vtOrderID = self.mainEngine.sendOrder(req, contract.gatewayName,
strategy) # 发单
self.orderStrategyDict[vtOrderID] = strategy # 保存vtOrderID和策略的映射关系
self.writeCtaLog(
u'策略%s发送委托，%s，%s，%s@%s' %
(strategy.name, vtSymbol, req.direction, volume, price))
return vtOrderID
def sendOrder(self, vtSymbol, orderType, price, volume, strategy):
"""发单"""
contract = self.mainEngine.getContract(vtSymbol)
req = VtOrderReq()
req.symbol = contract.symbol
req.exchange = contract.exchange
req.price = price
req.volume = volume
# 设计为CTA引擎发出的委托只允许使用限价单
req.priceType = PRICETYPE_LIMITPRICE
# CTA委托类型映射
if orderType == CTAORDER_BUY:
req.direction = DIRECTION_LONG
req.offset = OFFSET_OPEN
elif orderType == CTAORDER_SELL:
req.direction = DIRECTION_SHORT
req.offset = OFFSET_CLOSE
elif orderType == CTAORDER_SHORT:
req.direction = DIRECTION_SHORT
req.offset = OFFSET_OPEN
elif orderType == CTAORDER_COVER:
req.direction = DIRECTION_LONG
req.offset = OFFSET_CLOSE
vtOrderID = self.mainEngine.sendOrder(req, contract.gatewayName) # 发单
self.orderStrategyDict[vtOrderID] = strategy # 保存vtOrderID和策略的映射关系
#self.writeCtaLog(u'发送委托：' + str(req.__dict__))
return vtOrderID
def pd_sendOrder(self):
print "sendOrder"
if self.gatewayName_1 in self.tickDict and self.gatewayName_2 in self.tickDict:
if self.tickDict[self.gatewayName_1] > self.tickDict[self.gatewayName_2]:
sellResult=getPosition("sell",self.positionDict_1,self.tickDict[self.gatewayName_1],self.lots)
buyResult = getPosition("buy", self.positionDict_2, self.tickDict[self.gatewayName_2], self.lots)
if sellResult and buyResult:
req = VtOrderReq()
req.symbol="BTC_CNY_SPOT"
req.direction=DIRECTION_SHORT
req.price=self.tickDict[self.gatewayName_1]-self.margin
req.volume=self.lots
self.writeLog(u'火币发送委托卖单，%s@%s' % (req.volume, req.price))
#print (u'HUOBI发送委托卖单，%s@%s' % (req.volume, req.price))
self.mainEngine.sendOrder(req,self.gatewayName_1)
self.orderCondition.acquire()
self.orderCondition.wait()
self.orderCondition.release()
if self.gatewayName_1 in self.orderDict:
orderData = self.orderDict[self.gatewayName_1]
if orderData.status == TRADER_STATUS_DEAL:
self.writeLog(u'火币卖单成交，%s@%s' % (req.volume, req.price))
req.symbol="BTC_CNY_SPOT"
req.direction=DIRECTION_LONG
req.priceType = PRICETYPE_LIMITPRICE
req.price = self.tickDict[self.gatewayName_2]+self.margin
req.volume = self.lots
self.writeLog(u'OKCOIN发送委托买单，%s@%s' % (req.volume, req.price))
# print (u'OKCOIN发送委托买单，%s@%s' % (req.volume, req.price))
self.mainEngine.sendOrder(req, self.gatewayName_2)
else:
self.writeLog(u'火币卖单未成交，%s@%s' % (req.volume, req.price))
else:
if not sellResult:
self.writeLog(u'火币账户币不足无法执行卖出单')
if not buyResult:
self.writeLog(u'OKCOIN账户钱不足无法执行买入单')
else:
buyResult = getPosition("buy", self.positionDict_1, self.tickDict[self.gatewayName_1], self.lots)
sellResult = getPosition("sell", self.positionDict_2, self.tickDict[self.gatewayName_2], self.lots)
if sellResult and buyResult:
req = VtOrderReq()
req.symbol = "BTC_CNY_SPOT"
req.direction = DIRECTION_LONG
req.price = 5000#self.tickDict[self.gatewayName_1] + self.margin
req.volume = self.lots
self.writeLog(u'火币发送委托买单，%s@%s' % (req.volume, req.price))
#print (u'HUOBI发送委托买单，%s@%s' % (req.volume, req.price))
self.mainEngine.sendOrder(req, self.gatewayName_1)
# 等待发单回调推送委托号信息
self.orderCondition.acquire()
self.orderCondition.wait()
self.orderCondition.release()
if self.gatewayName_1 in self.orderDict:
orderData=self.orderDict[self.gatewayName_1]
if orderData.status==TRADER_STATUS_DEAL:
self.writeLog(u'火币买单成交，%s@%s' % (req.volume, req.price))
req.symbol = "BTC_CNY_SPOT"
req.direction = DIRECTION_SHORT
req.priceType = PRICETYPE_LIMITPRICE
req.price = self.tickDict[self.gatewayName_2] - self.margin
req.volume = self.lots
self.writeLog(u'OKCOIN发送委托卖单，%s@%s' % (req.volume, req.price))
#print (u'OKCOIN发送委托卖单，%s@%s' % (req.volume, req.price))
self.mainEngine.sendOrder(req, self.gatewayName_2)
else:
self.writeLog(u'火币买单未成交，%s@%s' % (req.volume, req.price))
else:
if not sellResult:
self.writeLog(u'OKCOIN账户币不足无法执行卖出单')
if not buyResult:
self.writeLog(u'火币账户钱不足无法执行买入单')
def sendOrder(self, vtSymbol, orderType, price, volume, strategy):
"""发单"""
contract = self.mainEngine.getContract(vtSymbol)
req = VtOrderReq()
req.symbol = contract.symbol # 合约代码
req.exchange = contract.exchange # 交易所
req.price = price # 价格
req.volume = volume # 数量
if strategy:
req.productClass = strategy.productClass
req.currency = strategy.currency
else:
req.productClass = ''
req.currency = ''
# 设计为CTA引擎发出的委托只允许使用限价单
req.priceType = PRICETYPE_LIMITPRICE # 价格类型
# CTA委托类型映射
if orderType == CTAORDER_BUY:
req.direction = DIRECTION_LONG # 合约方向
req.offset = OFFSET_OPEN # 开/平
elif orderType == CTAORDER_SELL:
req.direction = DIRECTION_SHORT
# 只有上期所才要考虑平今平昨
if contract.exchange != EXCHANGE_SHFE:
req.offset = OFFSET_CLOSE
else:
# 获取持仓缓存数据
posBuffer = self.posBufferDict.get(vtSymbol, None)
# 如果获取持仓缓存失败，则默认平昨
if not posBuffer:
req.offset = OFFSET_CLOSE
# modified by IncenseLee 2016/11/08，改为优先平昨仓
elif posBuffer.longYd:
req.offset = OFFSET_CLOSE
else:
req.offset = OFFSET_CLOSETODAY
# 否则如果有多头今仓，则使用平今
#elif posBuffer.longToday:
# req.offset= OFFSET_CLOSETODAY
# 其他情况使用平昨
#else:
# req.offset = OFFSET_CLOSE
elif orderType == CTAORDER_SHORT:
req.direction = DIRECTION_SHORT
req.offset = OFFSET_OPEN
elif orderType == CTAORDER_COVER:
req.direction = DIRECTION_LONG
# 只有上期所才要考虑平今平昨
if contract.exchange != EXCHANGE_SHFE:
req.offset = OFFSET_CLOSE
else:
# 获取持仓缓存数据
posBuffer = self.posBufferDict.get(vtSymbol, None)
# 如果获取持仓缓存失败，则默认平昨
if not posBuffer:
req.offset = OFFSET_CLOSE
#modified by IncenseLee 2016/11/08，改为优先平昨仓
elif posBuffer.shortYd:
req.offset = OFFSET_CLOSE
else:
req.offset = OFFSET_CLOSETODAY
# 否则如果有空头今仓，则使用平今
#elif posBuffer.shortToday:
# req.offset= OFFSET_CLOSETODAY
# 其他情况使用平昨
#else:
# req.offset = OFFSET_CLOSE
vtOrderID = self.mainEngine.sendOrder(req, contract.gatewayName) # 发单
if strategy:
self.orderStrategyDict[vtOrderID] = strategy # 保存vtOrderID和策略的映射关系
self.writeCtaLog(u'策略%s发送委托，%s, %s，%s，%s@%s' %
(strategy.name, vtSymbol, req.offset,
req.direction, volume, price))
else:
self.writeCtaLog(u'%s发送委托，%s, %s，%s，%s@%s' %
('CtaEngine', vtSymbol, req.offset, req.direction,
volume, price))
return vtOrderID
def sendOrder(self, vtSymbol, orderType, price, volume, strategy,gatewayName):
"""发单"""
req = VtOrderReq()
req.symbol = vtSymbol
# CTA委托类型映射
if orderType == CTAORDER_BUY:
req.direction = DIRECTION_LONG
req.offset = OFFSET_OPEN
elif orderType == CTAORDER_SELL:
req.direction = DIRECTION_SHORT
req.offset = OFFSET_CLOSE
elif orderType == CTAORDER_SHORT:
req.direction = DIRECTION_SHORT
req.offset = OFFSET_OPEN
elif orderType == CTAORDER_COVER:
req.direction = DIRECTION_LONG
req.offset = OFFSET_CLOSE
req.price = price
req.volume = volume
req.priceType=PRICETYPE_LIMITPRICE
req.orderStyle=1
vtOrderID = self.mainEngine.sendOrder(req, gatewayName) # 发单
self.orderStrategyDict[vtOrderID] = strategy # 保存vtOrderID和策略的映射关系
#print (u'策略%s发送委托，%s，%s，%s@%s,%s' %(strategy.name, vtSymbol, req.direction, volume, price,gatewayName))
self.writeCtaLog(u'策略%s发送委托，%s，%s，%s@%s'
%(strategy.name, vtSymbol, req.direction, volume, price))
return vtOrderID
