Пример #1
0
    def _update_order(self, order_info):
        """ Order update.

        Args:
            order_info: Order information.
        """
        if order_info["contract_code"] != self._symbol:
            return
        order_no = str(order_info["order_id"])
        status = order_info["status"]

        order = self._orders.get(order_no)
        if not order:
            if order_info["direction"] == "buy":
                if order_info["offset"] == "open":
                    trade_type = TRADE_TYPE_BUY_OPEN
                else:
                    trade_type = TRADE_TYPE_BUY_CLOSE
            else:
                if order_info["offset"] == "close":
                    trade_type = TRADE_TYPE_SELL_CLOSE
                else:
                    trade_type = TRADE_TYPE_SELL_OPEN

            info = {
                "platform":
                self._platform,
                "account":
                self._account,
                "strategy":
                self._strategy,
                "order_no":
                order_no,
                "client_order_id":
                order_info.get("client_order_id"),
                "order_price_type":
                order_info.get("order_price_type"),
                "order_type":
                order_info["order_type"],
                "action":
                ORDER_ACTION_BUY
                if order_info["direction"] == "buy" else ORDER_ACTION_SELL,
                "symbol":
                self._symbol + '/' + self._contract_type,
                "price":
                order_info["price"],
                "quantity":
                order_info["volume"],
                "trade_type":
                trade_type
            }
            order = Order(**info)
            self._orders[order_no] = order

        order.trade_quantity = None
        order.trade_price = None
        if order_info.get("trade"):
            quantity = 0
            price = 0
            amount = 0
            count = len(order_info.get("trade"))
            for trade in order_info.get("trade"):
                order.role = trade.get("role")
                quantity += float(trade.get("trade_volume"))
                amount += float(
                    trade.get("trade_volume") * trade.get("trade_price"))
            price = amount / quantity
            order.trade_quantity = int(quantity)
            order.trade_price = price

        if status in [1, 2, 3]:
            order.status = ORDER_STATUS_SUBMITTED
        elif status == 4:
            order.status = ORDER_STATUS_PARTIAL_FILLED
            order.remain = int(order.quantity) - int(
                order_info["trade_volume"])
        elif status == 6:
            order.status = ORDER_STATUS_FILLED
            order.remain = 0
        elif status in [5, 7]:
            order.status = ORDER_STATUS_CANCELED
            order.remain = int(order.quantity) - int(
                order_info["trade_volume"])
        else:
            return

        order.avg_price = order_info["trade_avg_price"]
        order.ctime = order_info["created_at"]
        order.utime = order_info["ts"]

        SingleTask.run(self._order_update_callback, copy.copy(order))

        # Delete order that already completed.
        if order.status in [
                ORDER_STATUS_FAILED, ORDER_STATUS_CANCELED, ORDER_STATUS_FILLED
        ]:
            self._orders.pop(order_no)

        # publish order
        logger.info("symbol:", order.symbol, "order:", order, caller=self)
Пример #2
0
    def _update_order(self, order_info):
        # print("_update_order")
        # print(order_info)
        if order_info["symbol"] != self._symbol:
            return
        if order_info["contract_type"] != self._contract_type:
            return
        order_no = str(order_info["order_id"])
        status = order_info["status"]

        order = self._orders.get(order_no)
        if not order:
            if order_info["direction"] == "buy":
                if order_info["offset"] == "open":
                    trade_type = TRADE_TYPE_BUY_OPEN
                else:
                    trade_type = TRADE_TYPE_BUY_CLOSE
            else:
                if order_info["offset"] == "close":
                    trade_type = TRADE_TYPE_SELL_CLOSE
                else:
                    trade_type = TRADE_TYPE_SELL_OPEN

            info = {
                "platform": self._platform,
                "account": self._account,
                "strategy": self._strategy,
                "order_no": order_no,
                "action": ORDER_ACTION_BUY if order_info["direction"] == "buy" else ORDER_ACTION_SELL,
                "symbol": self._symbol + '/' + self._contract_type,
                "price": order_info["price"],
                "quantity": order_info["volume"],
                "trade_type": trade_type
            }
            order = Order(**info)
            self._orders[order_no] = order

        if status in [1, 2, 3]:
            order.status = ORDER_STATUS_SUBMITTED
        elif status == 4:
            order.status = ORDER_STATUS_PARTIAL_FILLED
            order.remain = int(order.quantity) - int(order_info["trade_volume"])
        elif status == 6:
            order.status = ORDER_STATUS_FILLED
            order.remain = 0
        elif status in [5, 7]:
            order.status = ORDER_STATUS_CANCELED
            order.remain = int(order.quantity) - int(order_info["trade_volume"])
        else:
            return

        order.avg_price = order_info["trade_avg_price"]
        order.ctime = order_info["created_at"]
        order.utime = order_info["ts"]

        SingleTask.run(self._order_update_callback, copy.copy(order))

        # Delete order that already completed.
        if order.status in [ORDER_STATUS_FAILED, ORDER_STATUS_CANCELED, ORDER_STATUS_FILLED]:
            self._orders.pop(order_no)
        
        # publish order
        logger.info("symbol:", order.symbol, "order:", order, caller=self)