def get_trade_price(self, order, price):
side = order.side
temp_price = price + price * self.rate * (1 if side == SIDE.BUY else -1)
try:
temp_bar = Environment.get_instance().bar_dict[order.order_book_id]
except KeyError:
pass
else:
limit_up, limit_down = temp_bar.limit_up, temp_bar.limit_down
if is_valid_price(limit_up):
temp_price = min(temp_price, limit_up)
if is_valid_price(limit_down):
temp_price = max(temp_price, limit_down)
return temp_price
def order_value(id_or_ins, cash_amount, price=None, style=None):
"""
使用想要花费的金钱买入/卖出股票，而不是买入/卖出想要的股数，正数代表买入，负数代表卖出。股票的股数总是会被调整成对应的100的倍数（在A中国A股市场1手是100股）。当您提交一个卖单时，该方法代表的意义是您希望通过卖出该股票套现的金额。如果金额超出了您所持有股票的价值，那么您将卖出所有股票。需要注意，如果资金不足，该API将不会创建发送订单。
:param id_or_ins: 下单标的物
:type id_or_ins: :class:`~Instrument` object | `str`
:param float cash_amount: 需要花费现金购买/卖出证券的数目。正数代表买入，负数代表卖出。
:param float price: 下单价格，默认为None，表示 :class:`~MarketOrder`, 此参数主要用于简化 `style` 参数。
:param style: 下单类型, 默认是市价单。目前支持的订单类型有 :class:`~LimitOrder` 和 :class:`~MarketOrder`
:type style: `OrderStyle` object
:return: :class:`~Order` object
:example:
.. code-block:: python
#买入价值￥10000的平安银行股票，并以市价单发送。如果现在平安银行股票的价格是￥7.5，那么下面的代码会买入1300股的平安银行，因为少于100股的数目将会被自动删除掉：
order_value('000001.XSHE', 10000)
#卖出价值￥10000的现在持有的平安银行：
order_value('000001.XSHE', -10000)
"""
style = cal_style(price, style)
if isinstance(style, LimitOrder):
if style.get_limit_price() <= 0:
raise RQInvalidArgument(_(u"Limit order price should be positive"))
order_book_id = assure_stock_order_book_id(id_or_ins)
env = Environment.get_instance()
price = env.get_last_price(order_book_id)
if not is_valid_price(price):
user_system_log.warn(
_(u"Order Creation Failed: [{order_book_id}] No market data").format(order_book_id=order_book_id))
return
account = env.portfolio.accounts[DEFAULT_ACCOUNT_TYPE.STOCK.name]
round_lot = int(env.get_instrument(order_book_id).round_lot)
if cash_amount > 0:
cash_amount = min(cash_amount, account.cash)
if isinstance(style, MarketOrder):
amount = int(Decimal(cash_amount) / Decimal(price) / Decimal(round_lot)) * round_lot
else:
amount = int(Decimal(cash_amount) / Decimal(style.get_limit_price()) / Decimal(round_lot)) * round_lot
# if the cash_amount is larger than you current security’s position,
# then it will sell all shares of this security.
position = account.positions[order_book_id]
amount = downsize_amount(amount, position)
return order_shares(order_book_id, amount, style=style)
def submit_order(id_or_ins, amount, side, price=None, position_effect=None):
order_book_id = assure_order_book_id(id_or_ins)
env = Environment.get_instance()
if env.config.base.run_type != RUN_TYPE.BACKTEST:
if "88" in order_book_id:
raise RQInvalidArgument(_(u"Main Future contracts[88] are not supported in paper trading."))
if "99" in order_book_id:
raise RQInvalidArgument(_(u"Index Future contracts[99] are not supported in paper trading."))
style = cal_style(price, None)
market_price = env.get_last_price(order_book_id)
if not is_valid_price(market_price):
user_system_log.warn(
_(u"Order Creation Failed: [{order_book_id}] No market data").format(order_book_id=order_book_id)
)
return
order = Order.__from_create__(
order_book_id=order_book_id,
quantity=amount,
side=side,
style=style,
position_effect=position_effect
)
if order.type == ORDER_TYPE.MARKET:
order.set_frozen_price(market_price)
if env.can_submit_order(order):
env.broker.submit_order(order)
return order
def _on_bar(self, event):
# run once
if len(self._positions) == 0:
price = event.bar_dict[self.benchmark].close
if not is_valid_price(price):
return
position = self._positions.get_or_create(self.benchmark)
quantity = int(self._total_cash / price)
position._quantity = quantity
position._avg_price = price
self._total_cash -= quantity * price
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 order_shares(id_or_ins, amount, price=None, style=None):
"""
落指定股数的买/卖单，最常见的落单方式之一。如有需要落单类型当做一个参量传入，如果忽略掉落单类型，那么默认是市价单（market order）。
:param id_or_ins: 下单标的物
:type id_or_ins: :class:`~Instrument` object | `str`
:param int amount: 下单量, 正数代表买入，负数代表卖出。将会根据一手xx股来向下调整到一手的倍数，比如中国A股就是调整成100股的倍数。
:param float price: 下单价格，默认为None，表示 :class:`~MarketOrder`, 此参数主要用于简化 `style` 参数。
:param style: 下单类型, 默认是市价单。目前支持的订单类型有 :class:`~LimitOrder` 和 :class:`~MarketOrder`
:type style: `OrderStyle` object
:return: :class:`~Order` object
:example:
.. code-block:: python
#购买Buy 2000 股的平安银行股票，并以市价单发送：
order_shares('000001.XSHE', 2000)
#卖出2000股的平安银行股票，并以市价单发送：
order_shares('000001.XSHE', -2000)
#购买1000股的平安银行股票，并以限价单发送，价格为￥10：
order_shares('000001.XSHG', 1000, style=LimitOrder(10))
"""
if amount == 0:
# 如果下单量为0，则认为其并没有发单，则直接返回None
return None
style = cal_style(price, style)
if isinstance(style, LimitOrder):
if style.get_limit_price() <= 0:
raise RQInvalidArgument(_(u"Limit order price should be positive"))
order_book_id = assure_stock_order_book_id(id_or_ins)
env = Environment.get_instance()
price = env.get_last_price(order_book_id)
if not is_valid_price(price):
user_system_log.warn(
_(u"Order Creation Failed: [{order_book_id}] No market data").format(order_book_id=order_book_id))
return
if amount > 0:
side = SIDE.BUY
else:
amount = abs(amount)
side = SIDE.SELL
round_lot = int(env.get_instrument(order_book_id).round_lot)
try:
amount = int(Decimal(amount) / Decimal(round_lot)) * round_lot
except ValueError:
amount = 0
r_order = Order.__from_create__(order_book_id, amount, side, style, None)
if price == 0:
user_system_log.warn(
_(u"Order Creation Failed: [{order_book_id}] No market data").format(order_book_id=order_book_id))
r_order.mark_rejected(
_(u"Order Creation Failed: [{order_book_id}] No market data").format(order_book_id=order_book_id))
return r_order
if amount == 0:
# 如果计算出来的下单量为0, 则不生成Order, 直接返回None
# 因为很多策略会直接在handle_bar里面执行order_target_percent之类的函数，经常会出现下一个量为0的订单，如果这些订单都生成是没有意义的。
r_order.mark_rejected(_(u"Order Creation Failed: 0 order quantity"))
return r_order
if r_order.type == ORDER_TYPE.MARKET:
r_order.set_frozen_price(price)
if env.can_submit_order(r_order):
env.broker.submit_order(r_order)
return r_order
def order(id_or_ins, amount, side, position_effect, style):
if not isinstance(style, OrderStyle):
raise RuntimeError
if amount < 0:
raise RuntimeError
if amount == 0:
user_system_log.warn(_(u"Order Creation Failed: Order amount is 0."))
return None
if isinstance(style, LimitOrder) and style.get_limit_price() <= 0:
raise RQInvalidArgument(_(u"Limit order price should be positive"))
order_book_id = assure_future_order_book_id(id_or_ins)
env = Environment.get_instance()
if env.config.base.run_type != RUN_TYPE.BACKTEST:
if "88" in order_book_id:
raise RQInvalidArgument(_(u"Main Future contracts[88] are not supported in paper trading."))
if "99" in order_book_id:
raise RQInvalidArgument(_(u"Index Future contracts[99] are not supported in paper trading."))
price = env.get_last_price(order_book_id)
if not is_valid_price(price):
user_system_log.warn(
_(u"Order Creation Failed: [{order_book_id}] No market data").format(order_book_id=order_book_id)
)
return
amount = int(amount)
env = Environment.get_instance()
orders = []
if position_effect == POSITION_EFFECT.CLOSE:
if side == SIDE.BUY:
if env.portfolio:
position = env.portfolio.positions[order_book_id]
sell_quantity, sell_old_quantity = position.sell_quantity, position.sell_old_quantity
else:
position = env.booking.get_position(order_book_id, POSITION_DIRECTION.SHORT)
sell_quantity, sell_old_quantity = position.quantity, position.old_quantity
# 如果平仓量大于持仓量，则 Warning 并 取消订单创建
if amount > sell_quantity:
user_system_log.warn(
_(u"Order Creation Failed: close amount {amount} is larger than position "
u"quantity {quantity}").format(amount=amount, quantity=sell_quantity)
)
return []
sell_old_quantity = sell_old_quantity
if amount > sell_old_quantity:
if sell_old_quantity != 0:
# 如果有昨仓，则创建一个 POSITION_EFFECT.CLOSE 的平仓单
orders.append(Order.__from_create__(
order_book_id,
sell_old_quantity,
side,
style,
POSITION_EFFECT.CLOSE
))
# 剩下还有仓位，则创建一个 POSITION_EFFECT.CLOSE_TODAY 的平今单
orders.append(Order.__from_create__(
order_book_id,
amount - sell_old_quantity,
side,
style,
POSITION_EFFECT.CLOSE_TODAY
))
else:
# 创建 POSITION_EFFECT.CLOSE 的平仓单
orders.append(Order.__from_create__(
order_book_id,
amount,
side,
style,
POSITION_EFFECT.CLOSE
))
else:
if env.portfolio:
position = env.portfolio.positions[order_book_id]
buy_quantity, buy_old_quantity = position.buy_quantity, position.buy_old_quantity
else:
position = env.booking.get_position(order_book_id, POSITION_DIRECTION.LONG)
buy_quantity, buy_old_quantity = position.quantity, position.old_quantity
if amount > buy_quantity:
user_system_log.warn(
_(u"Order Creation Failed: close amount {amount} is larger than position "
u"quantity {quantity}").format(amount=amount, quantity=buy_quantity)
)
return []
buy_old_quantity = buy_old_quantity
if amount > buy_old_quantity:
if buy_old_quantity != 0:
orders.append(Order.__from_create__(
order_book_id,
buy_old_quantity,
side,
style,
POSITION_EFFECT.CLOSE
))
orders.append(Order.__from_create__(
order_book_id,
amount - buy_old_quantity,
side,
style,
POSITION_EFFECT.CLOSE_TODAY
))
else:
orders.append(Order.__from_create__(
order_book_id,
amount,
side,
style,
POSITION_EFFECT.CLOSE
))
else:
orders.append(Order.__from_create__(
order_book_id,
amount,
side,
style,
position_effect
))
if not is_valid_price(price):
user_system_log.warn(
_(u"Order Creation Failed: [{order_book_id}] No market data").format(order_book_id=order_book_id))
return []
if len(orders) > 1:
user_system_log.warn(_(
"Order was separated, original order: {original_order_repr}, new orders: [{new_orders_repr}]".format(
original_order_repr="Order(order_book_id={}, quantity={}, side={}, position_effect={})".format(
order_book_id, amount, side, position_effect
), new_orders_repr=", ".join(["Order({}, {}, {}, {})".format(
o.order_book_id, o.quantity, o.side, o.position_effect
) for o in orders])
)
))
for o in orders:
if o.type == ORDER_TYPE.MARKET:
o.set_frozen_price(price)
if env.can_submit_order(o):
env.broker.submit_order(o)
else:
orders.remove(o)
# 向前兼容，如果创建的order_list 只包含一个订单的话，直接返回对应的订单，否则返回列表
if len(orders) == 1:
return orders[0]
else:
return orders
def order_value(id_or_ins, cash_amount, price=None, style=None):
"""
使用想要花费的金钱买入/卖出股票，而不是买入/卖出想要的股数，正数代表买入，负数代表卖出。股票的股数总是会被调整成对应的100的倍数（在A中国A股市场1手是100股）。如果资金不足，该API将不会创建发送订单。
需要注意：
当您提交一个买单时，cash_amount 代表的含义是您希望买入股票消耗的金额（包含税费），最终买入的股数不仅和发单的价格有关，还和税费相关的参数设置有关。
当您提交一个卖单时，cash_amount 代表的意义是您希望卖出股票的总价值。如果金额超出了您所持有股票的价值，那么您将卖出所有股票。
:param id_or_ins: 下单标的物
:type id_or_ins: :class:`~Instrument` object | `str`
:param float cash_amount: 需要花费现金购买/卖出证券的数目。正数代表买入，负数代表卖出。
:param float price: 下单价格，默认为None，表示 :class:`~MarketOrder`, 此参数主要用于简化 `style` 参数。
:param style: 下单类型, 默认是市价单。目前支持的订单类型有 :class:`~LimitOrder` 和 :class:`~MarketOrder`
:type style: `OrderStyle` object
:return: :class:`~Order` object | None
:example:
.. code-block:: python
#花费最多￥10000买入平安银行股票，并以市价单发送。具体下单的数量与您策略税费相关的配置有关。
order_value('000001.XSHE', 10000)
#卖出价值￥10000的现在持有的平安银行：
order_value('000001.XSHE', -10000)
"""
style = cal_style(price, style)
if isinstance(style, LimitOrder):
if style.get_limit_price() <= 0:
raise RQInvalidArgument(_(u"Limit order price should be positive"))
order_book_id = assure_stock_order_book_id(id_or_ins)
env = Environment.get_instance()
price = env.get_last_price(order_book_id)
if not is_valid_price(price):
user_system_log.warn(
_(u"Order Creation Failed: [{order_book_id}] No market data").format(order_book_id=order_book_id))
return
account = env.portfolio.accounts[DEFAULT_ACCOUNT_TYPE.STOCK.name]
if cash_amount > 0:
cash_amount = min(cash_amount, account.cash)
price = price if isinstance(style, MarketOrder) else style.get_limit_price()
amount = int(Decimal(cash_amount) / Decimal(price))
if cash_amount > 0:
round_lot = int(env.get_instrument(order_book_id).round_lot)
# FIXME: logic duplicate with order_shares
amount = int(Decimal(amount) / Decimal(round_lot)) * round_lot
while amount > 0:
dummy_order = Order.__from_create__(order_book_id, amount, SIDE.BUY, style, POSITION_EFFECT.OPEN)
expected_transaction_cost = env.get_order_transaction_cost(DEFAULT_ACCOUNT_TYPE.STOCK, dummy_order)
if amount * price + expected_transaction_cost <= cash_amount:
break
amount -= round_lot
else:
user_system_log.warn(_(u"Order Creation Failed: 0 order quantity"))
return
# if the cash_amount is larger than you current security’s position,
# then it will sell all shares of this security.
position = account.positions[order_book_id]
amount = downsize_amount(amount, position)
return order_shares(order_book_id, amount, style=style)
def match(self, account, order, open_auction):
# type: (Account, Order, bool) -> None
if not (order.position_effect in self.SUPPORT_POSITION_EFFECTS
and order.side in self.SUPPORT_SIDES):
raise NotImplementedError
order_book_id = order.order_book_id
instrument = self._env.get_instrument(order_book_id)
if open_auction:
deal_price = self._open_auction_deal_price_decider(
order_book_id, order.side)
else:
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._env.trading_dt.date():
reason = _(
u"Order Cancelled: current security [{order_book_id}] can not be traded"
u" 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)
return
price_board = self._env.price_board
if order.type == ORDER_TYPE.LIMIT:
if order.side == SIDE.BUY and order.price < deal_price:
return
if order.side == SIDE.SELL and order.price > deal_price:
return
# 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):
return
if order.side == SIDE.SELL and deal_price <= price_board.get_limit_down(
order_book_id):
return
if self._liquidity_limit:
if order.side == SIDE.BUY and price_board.get_a1(
order_book_id) == 0:
return
if order.side == SIDE.SELL and price_board.get_b1(
order_book_id) == 0:
return
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)
return
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)
return
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)
return
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)
return
if self._inactive_limit:
bar_volume = self._env.get_bar(order_book_id).volume
if bar_volume == 0:
reason = _(u"Order Cancelled: {order_book_id} bar no volume"
).format(order_book_id=order.order_book_id)
order.mark_cancelled(reason)
return
if self._volume_limit:
if open_auction:
volume = self._env.data_proxy.get_open_auction_bar(
order_book_id, self._env.calendar_dt).volume
else:
volume = self._env.get_bar(order_book_id).volume
if volume == volume:
volume_limit = round(
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)
return
fill = min(order.unfilled_quantity, volume_limit)
else:
fill = order.unfilled_quantity
else:
fill = order.unfilled_quantity
ct_amount = account.calc_close_today_amount(order_book_id, fill,
order.position_direction)
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(trade)
trade._tax = self._env.get_trade_tax(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)
if not is_valid_price(price_board.get_last_price(order_book_id)):
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
deal_price = self._deal_price_decider(order_book_id, order.side)
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._commission_decider.get_commission(
account.type, trade)
trade._tax = self._tax_decider.get_tax(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 submit_order(id_or_ins, amount, side, price=None, position_effect=None):
"""
通用下单函数，策略可以通过该函数自由选择参数下单。
:param id_or_ins: 下单标的物
:type id_or_ins: :class:`~Instrument` object | `str`
:param float amount: 下单量，需为正数
:param side: 多空方向，多（SIDE.BUY）或空（SIDE.SELL）
:type side: :class:`~SIDE` enum
:param float price: 下单价格，默认为None，表示市价单
:param position_effect: 开平方向，开仓（POSITION_EFFECT.OPEN），平仓（POSITION.CLOSE）或平今（POSITION_EFFECT.CLOSE_TODAY），交易股票不需要该参数
:type position_effect: :class:`~POSITION_EFFECT` enum
:return: :class:`~Order` object | None
:example:
.. code-block:: python
# 购买 2000 股的平安银行股票，并以市价单发送：
submit_order('000001.XSHE', 2000, SIDE.BUY)
# 平 10 份 RB1812 多方向的今仓，并以 4000 的价格发送限价单
submit_order('RB1812', 10, SIDE.SELL, price=4000, position_effect=POSITION_EFFECT.CLOSE_TODAY)
"""
order_book_id = assure_order_book_id(id_or_ins)
env = Environment.get_instance()
if (env.config.base.run_type != RUN_TYPE.BACKTEST
and env.get_instrument(order_book_id).type == "Future"):
if "88" in order_book_id:
raise RQInvalidArgument(
_(u"Main Future contracts[88] are not supported in paper trading."
))
if "99" in order_book_id:
raise RQInvalidArgument(
_(u"Index Future contracts[99] are not supported in paper trading."
))
style = cal_style(price, None)
market_price = env.get_last_price(order_book_id)
if not is_valid_price(market_price):
user_system_log.warn(
_(u"Order Creation Failed: [{order_book_id}] No market data").
format(order_book_id=order_book_id))
return
amount = int(amount)
order = Order.__from_create__(
order_book_id=order_book_id,
quantity=amount,
side=side,
style=style,
position_effect=position_effect,
)
if order.type == ORDER_TYPE.MARKET:
order.set_frozen_price(market_price)
if env.can_submit_order(order):
env.broker.submit_order(order)
return order
def order_target_portfolio(target_portfolio):
# type: (Dict[Union[str, Instrument], float]) -> List[Order]
"""
买入/卖出证券以批量调整证券的仓位，以期使其持仓市值占账户总权益的比重达到指定值。
:param target_portfolio: 下单标的物及其目标市值占比的字典
:example:
.. code-block:: python
# 调整仓位，以使平安银行和万科 A 的持仓占比分别达到 10% 和 15%
order_target_portfolio({
'000001.XSHE': 0.1
'000002.XSHE': 0.15
})
"""
if isinstance(target_portfolio, pd.Series):
# FIXME: kind of dirty
total_percent = sum(target_portfolio)
else:
total_percent = sum(six.itervalues(target_portfolio))
if total_percent > 1 and not np.isclose(total_percent, 1):
raise RQInvalidArgument(
_(u"total percent should be lower than 1, current: {}").format(
total_percent))
env = Environment.get_instance()
account = env.portfolio.accounts[DEFAULT_ACCOUNT_TYPE.STOCK]
account_value = account.total_value
target_quantities = {}
for id_or_ins, target_percent in target_portfolio.items():
order_book_id = assure_order_book_id(id_or_ins)
if target_percent < 0:
raise RQInvalidArgument(
_(u"target percent of {} should between 0 and 1, current: {}").
format(order_book_id, target_percent))
price = env.data_proxy.get_last_price(order_book_id)
if not is_valid_price(price):
user_system_log.warn(
_(u"Order Creation Failed: [{order_book_id}] No market data").
format(order_book_id=order_book_id))
continue
target_quantities[order_book_id] = (account_value * target_percent /
price, price)
close_orders, open_orders = [], []
current_quantities = {
p.order_book_id: p.quantity
for p in account.get_positions()
if p.direction == POSITION_DIRECTION.LONG
}
for order_book_id, quantity in current_quantities.items():
if order_book_id not in target_portfolio:
close_orders.append(
Order.__from_create__(order_book_id, quantity, SIDE.SELL,
MarketOrder(), POSITION_EFFECT.CLOSE))
round_lot = 100
for order_book_id, (target_quantity, price) in target_quantities.items():
if order_book_id in current_quantities:
delta_quantity = target_quantity - current_quantities[order_book_id]
else:
delta_quantity = target_quantity
if delta_quantity >= round_lot:
delta_quantity = math.floor(delta_quantity / round_lot) * round_lot
open_order = Order.__from_create__(order_book_id, delta_quantity,
SIDE.BUY, MarketOrder(),
POSITION_EFFECT.OPEN)
open_order.set_frozen_price(price)
open_orders.append(open_order)
elif delta_quantity < -1:
delta_quantity = math.floor(delta_quantity)
close_order = Order.__from_create__(order_book_id,
abs(delta_quantity), SIDE.SELL,
MarketOrder(),
POSITION_EFFECT.CLOSE)
close_order.set_frozen_price(price)
close_orders.append(close_order)
submit_orders = []
for order in chain(close_orders, open_orders):
if env.can_submit_order(order):
submit_orders.append(order)
env.broker.submit_order(order)
return submit_orders
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.position_effect != POSITION_EFFECT.EXERCISE:
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 limit up status"
).format(order_book_id=order_book_id,
quantity=order.quantity))
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 limit down status"
).format(order_book_id=order_book_id,
quantity=order.quantity))
ct_amount = account.calc_close_today_amount(order_book_id,
order.quantity,
order.position_direction)
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(trade)
trade._tax = self._env.get_trade_tax(trade)
order.fill(trade)
self._env.event_bus.publish_event(
Event(EVENT.TRADE, account=account, trade=trade,
order=copy(order)))
def order(id_or_ins, amount, side, position_effect, style):
if not isinstance(style, OrderStyle):
raise RuntimeError
if amount < 0:
raise RuntimeError
if amount == 0:
user_system_log.warn(_(u"Order Creation Failed: Order amount is 0."))
return None
if isinstance(style, LimitOrder) and style.get_limit_price() <= 0:
raise RQInvalidArgument(_(u"Limit order price should be positive"))
order_book_id = assure_future_order_book_id(id_or_ins)
env = Environment.get_instance()
if env.config.base.run_type != RUN_TYPE.BACKTEST:
if "88" in order_book_id:
raise RQInvalidArgument(
_(u"Main Future contracts[88] are not supported in paper trading."
))
if "99" in order_book_id:
raise RQInvalidArgument(
_(u"Index Future contracts[99] are not supported in paper trading."
))
price = env.get_last_price(order_book_id)
if not is_valid_price(price):
user_system_log.warn(
_(u"Order Creation Failed: [{order_book_id}] No market data").
format(order_book_id=order_book_id))
return
amount = int(amount)
position = Environment.get_instance().portfolio.positions[order_book_id]
orders = []
if position_effect == POSITION_EFFECT.CLOSE:
if side == SIDE.BUY:
# 如果平仓量大于持仓量，则 Warning 并 取消订单创建
if amount > position.sell_quantity:
user_system_log.warn(
_(u"Order Creation Failed: close amount {amount} is larger than position "
u"quantity {quantity}").format(
amount=amount, quantity=position.sell_quantity))
return []
sell_old_quantity = position.sell_old_quantity
if amount > sell_old_quantity:
if sell_old_quantity != 0:
# 如果有昨仓，则创建一个 POSITION_EFFECT.CLOSE 的平仓单
orders.append(
Order.__from_create__(order_book_id, sell_old_quantity,
side, style,
POSITION_EFFECT.CLOSE))
# 剩下还有仓位，则创建一个 POSITION_EFFECT.CLOSE_TODAY 的平今单
orders.append(
Order.__from_create__(order_book_id,
amount - sell_old_quantity, side,
style, POSITION_EFFECT.CLOSE_TODAY))
else:
# 创建 POSITION_EFFECT.CLOSE 的平仓单
orders.append(
Order.__from_create__(order_book_id, amount, side, style,
POSITION_EFFECT.CLOSE))
else:
if amount > position.buy_quantity:
user_system_log.warn(
_(u"Order Creation Failed: close amount {amount} is larger than position "
u"quantity {quantity}").format(
amount=amount, quantity=position.buy_quantity))
return []
buy_old_quantity = position.buy_old_quantity
if amount > buy_old_quantity:
if buy_old_quantity != 0:
orders.append(
Order.__from_create__(order_book_id, buy_old_quantity,
side, style,
POSITION_EFFECT.CLOSE))
orders.append(
Order.__from_create__(order_book_id,
amount - buy_old_quantity, side,
style, POSITION_EFFECT.CLOSE_TODAY))
else:
orders.append(
Order.__from_create__(order_book_id, amount, side, style,
POSITION_EFFECT.CLOSE))
else:
orders.append(
Order.__from_create__(order_book_id, amount, side, style,
position_effect))
if not is_valid_price(price):
user_system_log.warn(
_(u"Order Creation Failed: [{order_book_id}] No market data").
format(order_book_id=order_book_id))
return []
for o in orders:
if o.type == ORDER_TYPE.MARKET:
o.set_frozen_price(price)
if env.can_submit_order(o):
env.broker.submit_order(o)
else:
orders.remove(o)
# 向前兼容，如果创建的order_list 只包含一个订单的话，直接返回对应的订单，否则返回列表
if len(orders) == 1:
return orders[0]
else:
return orders
def submit_order(id_or_ins, amount, side, price=None, position_effect=None):
"""
通用下单函数，策略可以通过该函数自由选择参数下单。
:param id_or_ins: 下单标的物
:type id_or_ins: :class:`~Instrument` object | `str`
:param float amount: 下单量，需为正数
:param side: 多空方向，多（SIDE.BUY）或空（SIDE.SELL）
:type side: :class:`~SIDE` enum
:param float price: 下单价格，默认为None，表示市价单
:param position_effect: 开平方向，开仓（POSITION_EFFECT.OPEN），平仓（POSITION.CLOSE）或平今（POSITION_EFFECT.CLOSE_TODAY），交易股票不需要该参数
:type position_effect: :class:`~POSITION_EFFECT` enum
:return: :class:`~Order` object | None
:example:
.. code-block:: python
# 购买 2000 股的平安银行股票，并以市价单发送：
submit_order('000001.XSHE', 2000, SIDE.BUY)
# 平 10 份 RB1812 多方向的今仓，并以 4000 的价格发送限价单
submit_order('RB1812', 10, SIDE.SELL, price=4000, position_effect=POSITION_EFFECT.CLOSE_TODAY)
"""
order_book_id = assure_order_book_id(id_or_ins)
env = Environment.get_instance()
if (
env.config.base.run_type != RUN_TYPE.BACKTEST
and env.get_instrument(order_book_id).type == "Future"
):
if "88" in order_book_id:
raise RQInvalidArgument(
_(u"Main Future contracts[88] are not supported in paper trading.")
)
if "99" in order_book_id:
raise RQInvalidArgument(
_(u"Index Future contracts[99] are not supported in paper trading.")
)
style = cal_style(price, None)
market_price = env.get_last_price(order_book_id)
if not is_valid_price(market_price):
user_system_log.warn(
_(u"Order Creation Failed: [{order_book_id}] No market data").format(
order_book_id=order_book_id
)
)
return
amount = int(amount)
order = Order.__from_create__(
order_book_id=order_book_id,
quantity=amount,
side=side,
style=style,
position_effect=position_effect,
)
if order.type == ORDER_TYPE.MARKET:
order.set_frozen_price(market_price)
if env.can_submit_order(order):
env.broker.submit_order(order)
return 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.side, 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._commission_decider.get_commission(account.type, trade)
trade._tax = self._tax_decider.get_tax(account.type, trade)
order.fill(trade)
self._env.event_bus.publish_event(Event(EVENT.TRADE, account=account, trade=trade, order=copy(order)))
def prev_close(self):
if not is_valid_price(self._prev_close):
env = Environment.get_instance()
self._prev_close = env.data_proxy.get_prev_close(
self._order_book_id, env.trading_dt)
return self._prev_close