def send_order(self, req: OrderRequest):
""""""
# Need both offset and direction for sending order.
if (req.offset, req.direction) not in TYPE_VT2OKEXS:
return ""
orderid = f"a{self.connect_time}{self._new_order_id()}"
data = {
"client_oid": orderid,
"type": TYPE_VT2OKEXS[(req.offset, req.direction)],
"instrument_id": req.symbol,
"price": str(req.price),
"size": str(int(req.volume)),
}
if req.type == OrderType.MARKET:
data["match_price"] = "1"
else:
data["match_price"] = "0"
order = req.create_order_data(orderid, self.gateway_name)
self.add_request(
"POST",
"/api/swap/v3/order",
callback=self.on_send_order,
data=data,
extra=order,
on_failed=self.on_send_order_failed,
on_error=self.on_send_order_error,
)
self.gateway.on_order(order)
return order.vt_orderid
def send_order(self, req: OrderRequest):
""""""
orderid = str(self.connect_time + self._new_order_id())
order = req.create_order_data(orderid, self.gateway_name)
self.gateway.on_order(order)
data = {"security": Security.SIGNED}
params = {
"symbol": req.symbol,
"timeInForce": "IOC",
"side": DIRECTION_VT2BINANCE[req.direction],
"type": ORDERTYPE_VT2BINANCE[req.type],
"price": str(req.price),
"quantity": str(req.volume),
"newClientOrderId": orderid,
}
self.add_request(method="POST",
path="/fapi/v1/order",
callback=self.on_send_order,
data=data,
params=params,
extra=order,
on_error=self.on_send_order_error,
on_failed=self.on_send_order_failed)
msg = f'Futures Gateway send order:{order.vt_orderid}'
self.gateway.write_log(msg, level=DEBUG)
return order.vt_orderid
def send_order(self, req: OrderRequest):
""""""
orderid = f"a{self.connect_time}{self._new_order_id()}"
data = {
"client_oid": orderid,
"type": ORDERTYPE_VT2OKEX[req.type],
"side": DIRECTION_VT2OKEX[req.direction],
"instrument_id": req.symbol
}
if req.type == OrderType.MARKET:
if req.direction == Direction.LONG:
data["notional"] = req.volume
else:
data["size"] = req.volume
else:
data["price"] = req.price
data["size"] = req.volume
order = req.create_order_data(orderid, self.gateway_name)
self.add_request(
"POST",
"/api/spot/v3/orders",
callback=self.on_send_order,
data=data,
extra=order,
on_failed=self.on_send_order_failed,
on_error=self.on_send_order_error,
)
self.gateway.on_order(order)
return order.vt_orderid
def send_order(self, req: OrderRequest):
""""""
local_orderid = self.new_local_orderid()
order = req.create_order_data(local_orderid, self.gateway_name)
order.time = datetime.now().strftime("%H:%M:%S")
data = {
"contract_code": req.symbol,
"client_order_id": int(local_orderid),
"price": req.price,
"volume": int(req.volume),
"direction": DIRECTION_VT2HBDM.get(req.direction, ""),
"offset": OFFSET_VT2HBDM.get(req.offset, ""),
"order_price_type": ORDERTYPE_VT2HBDM.get(req.type, ""),
"lever_rate": 20
}
self.add_request(method="POST",
path="/api/v1/contract_order",
callback=self.on_send_order,
data=data,
extra=order,
on_error=self.on_send_order_error,
on_failed=self.on_send_order_failed)
self.gateway.on_order(order)
return order.vt_orderid
def send_order(self, req: OrderRequest):
""""""
huobi_type = ORDERTYPE_VT2HUOBI.get((req.direction, req.type), "")
local_orderid = self.order_manager.new_local_orderid()
order = req.create_order_data(local_orderid, self.gateway_name)
order.time = datetime.now().strftime("%H:%M:%S")
data = {
"account-id": self.margin_account_id,
"amount": str(req.volume),
"symbol": req.symbol,
"type": huobi_type,
"price": str(req.price),
"source": "api"
}
self.add_request(method="POST",
path="/v1/order/orders/place",
callback=self.on_send_order,
data=data,
extra=order,
on_error=self.on_send_order_error,
on_failed=self.on_send_order_failed)
self.order_manager.on_order(order)
return order.vt_orderid
def update_order_request(self, req: OrderRequest, vt_orderid: str) -> None:
""""""
gateway_name, orderid = vt_orderid.split(".")
order = req.create_order_data(orderid, gateway_name)
self.update_order(order)
def send_order(self,
algo: SpreadAlgoTemplate,
vt_symbol: str,
price: float,
volume: float,
direction: Direction,
borrowmoney=False,
lock: bool = False):
""""""
holding = self.offset_converter.get_position_holding(vt_symbol)
contract = self.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,
borrowmoney=borrowmoney)
# 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.spread_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
self.write_log(
f'send_order vt_orderid: {vt_orderid}, event_engine size: {self.event_engine.get_qsize()}',
level=INFO)
# print('%s algo engine send_order vt_orderid:%s,price: %s' % (algo.algoid, vt_orderid, req.price))
return vt_orderids