def events(self, start_date, end_date, frequency):
benchmark_symbol = self._env.config.base.benchmark
for dt in self._env.get_calendar(benchmark_symbol, frequency, start_date, end_date):
dt = dt.to_pydatetime()
yield Event(EVENT.BEFORE_TRADING, calendar_dt=dt, trading_dt=dt)
yield Event(EVENT.BAR, calendar_dt=dt, trading_dt=dt)
yield Event(EVENT.AFTER_TRADING, calendar_dt=dt, trading_dt=dt)
yield Event(EVENT.SETTLEMENT, calendar_dt=dt, trading_dt=dt)
def submit_order(self, order):
account = self._env.get_account_by_symbol(order.symbol)
self._env.event_bus.publish_event(
Event(EVENT.ORDER_PENDING_NEW, account=account, order=order))
if order.is_final():
return
self._open_orders.append((account, order))
order.active()
self._env.event_bus.publish_event(
Event(EVENT.ORDER_CREATION_PASS, account=account, order=order))
self._match()
def cancel_order(self, order):
account = self._env.get_account_by_symbol(order.symbol)
self._env.event_bus.publish_event(
Event(EVENT.ORDER_PENDING_CANCEL, account=account, order=order))
order.cancel("{order_id} order has been cancelled by user.").format(
order_id=order.order_id)
self._env.event_bus.publish_event(
Event(EVENT.ORDER_CANCELLATION_PASS, account=account, order=order))
try:
self._open_orders.remove((account, order))
except ValueError:
pass
def after_trading(self, event):
for account, order in self._open_orders:
order.reject(order.message +
" and {symbol} can not match. Market close.".format(
symbol=order.symbol))
self._env.event_bus.publish_event(
Event(EVENT.ORDER_UNSOLICITED_UPDATE,
account=account,
order=order))
def _match(self, symbol=None):
open_orders = self._open_orders
if symbol is not None:
open_orders = [(a, o) for (a, o) in self._open_orders
if o.symbol == symbol]
self._matcher.match(open_orders)
final_orders = [(a, o) for a, o in self._open_orders if o.is_final()]
self._open_orders = [(a, o) for a, o in self._open_orders
if not o.is_final()]
for account, order in final_orders:
if order.status == ORDER_STATUS.REJECTED or order.status == ORDER_STATUS.CANCELLED:
self._env.event_bus.publish_event(
Event(EVENT.ORDER_UNSOLICITED_UPDATE,
account=account,
order=order))
def match(self, open_orders):
for account, order in open_orders:
symbol = order.symbol
last_price = self._env.get_last_price(symbol)
deal_price = order.price if order.type == ORDER_TYPE.LIMIT else last_price
deal_price = self._slippage_decider.get_trade_price(
account.type, order.side, deal_price)
if order.type == ORDER_TYPE.LIMIT:
if order.side == SIDE.BUY:
if deal_price < last_price:
order.message = 'Rejected [{order_price} < {last_price}]:order price too low < last price' \
.format(order_price=deal_price, last_price=last_price)
continue
elif account.cash < order.amount * deal_price:
order.message = 'Rejected [{cash} < {need_cash}] not enough cash' \
.format(cash=account.cash, need_cash=order.amount * deal_price)
continue
if order.side == SIDE.SELL:
if deal_price > last_price:
order.message = 'Rejected [{order_price} > {last_price}]:order price too high > last price' \
.format(order_price=deal_price, last_price=last_price)
continue
elif account.positions[order.symbol].amount < order.amount:
order.message = 'Rejected [{amount} < {order_amount}]: not enough amount' \
.format(amount=account.positions[order.symbol].amount, order_amount=order.amount)
continue
trade = Trade.create_trade(
order_id=order.order_id,
symbol=order.symbol,
side=order.side,
price=deal_price,
frozen_price=order.price,
amount=order.unfilled_amount,
fee=order.fee,
)
order.fill(trade)
self._env.event_bus.publish_event(
Event(EVENT.TRADE, account=account, trade=trade, order=order))
def run(config, kwargs):
user_funcs = {
'init': kwargs.init,
'handle_bar': kwargs.handle_bar,
'before_trading': kwargs.before_trading,
'after_trading': kwargs.after_trading,
}
env = Environment(config)
mod_handler = ModHandler(env)
mod_handler.start()
_adjust_env(env)
try:
context = Context()
env.event_bus.publish_event(Event(EVENT.POST_SYSTEM_INIT))
strategy = Strategy(env.event_bus, user_funcs, context)
strategy.init()
Executor(env).run()
result = mod_handler.stop(const.EXIT_CODE.EXIT_SUCCESS)
return result
except Exception as e:
sys_log.error(util.error_msg())
def before_trading(self, event):
for account, order in self._open_orders:
order.active()
self._env.event_bus.publish_event(
Event(EVENT.ORDER_CREATION_PASS, account=account, order=order))
def init(self):
if not self._init:
return
self._init(self._user_context)
Environment.get_instance().event_bus.publish_event(
Event(EVENT.POST_USER_INIT))
#!/usr/bin/env python
# -*- coding: utf-8 -*-
"""
@author = 'wyx'
@time = 2017/5/24 11:43
@annotation = ''
"""
from quant.events import Event, EVENT
PRE_BEFORE_TRADING = Event(EVENT.PRE_BEFORE_TRADING)
POST_BEFORE_TRADING = Event(EVENT.POST_BEFORE_TRADING)
PRE_BAR = Event(EVENT.PRE_BAR)
POST_BAR = Event(EVENT.POST_BAR)
PRE_AFTER_TRADING = Event(EVENT.PRE_AFTER_TRADING)
POST_AFTER_TRADING = Event(EVENT.POST_AFTER_TRADING)
PRE_SETTLEMENT = Event(EVENT.PRE_SETTLEMENT)
POST_SETTLEMENT = Event(EVENT.POST_SETTLEMENT)
class Executor(object):
def __init__(self, env):
self._env = env
KNOWN_EVENTS = {
EVENT.BAR,
EVENT.BEFORE_TRADING,
EVENT.AFTER_TRADING,
EVENT.POST_SETTLEMENT,
}
def run(self):