def order_status_change(self, order: Order, account: AbstractAccount):
if order.status != OrderStatus.FILLED:
return
current_time = order.filled_end_time
if current_time >= (
self.scope.trading_calendar.next_close(current_time) -
Timedelta(minutes=1)):
# 收盘前一分钟不下单
return
# 取消当前所有的订单
account.cancel_all_open_orders()
# 挂上下两个网格的交易订单
k = round((order.filled_avg_price - self.base_price) /
self.base_price / self.p)
hold_quantity = 0 if self.code not in account.positions else account.positions[
self.code]
# 上一个格子的卖单
if (k + 1) <= self.n:
up_percentage = 0.5 - (k + 1) * (0.5 / self.n)
up_price = self.base_price + self.base_price * self.p * (k + 1)
up_net_val = hold_quantity * up_price + account.cash
dest_quantity = int(up_net_val * up_percentage / up_price)
sell_order = LimitOrder(self.code, OrderDirection.SELL,
hold_quantity - dest_quantity,
current_time, up_price)
account.place_order(sell_order)
# 下一个格子的买单
if (k - 1) >= -self.n:
down_percentage = 0.5 - (k - 1) * (0.5 / self.n)
down_price = self.base_price + self.base_price * self.p * (k - 1)
down_net_val = hold_quantity * down_price + account.cash
dest_quantity = int(down_net_val * down_percentage / down_price)
buy_order = LimitOrder(self.code, OrderDirection.BUY,
dest_quantity - hold_quantity, current_time,
down_price)
account.place_order(buy_order)
def market_open(self, event: Event, account: AbstractAccount, data_portal: DataPortal):
dest_position = 0
current_position = 0
net_value = None
# 等待直到获取到最新的股票价格
current_price = None
try:
current_price = data_portal.current_price([self.code], event.visible_time)[self.code].price
except:
logging.error("没有获取到当天的开盘价,code:{}".format(self.code))
if current_price:
net_value = account.net_value({self.code: current_price})
current_bid_ask = None
try:
current_bid_ask = data_portal.current_bid_ask([self.code])[self.code]
except:
logging.error("没有获取到最新的买卖价， code:{}".format(self.code))
if self.last_close_price and current_price:
if np.log(current_price / self.last_close_price) < 0.025:
dest_position = int(net_value / current_price)
if len(account.positions) > 0:
current_position = account.positions[self.code]
change = dest_position - current_position
if change != 0:
direction = OrderDirection.BUY if change > 0 else OrderDirection.SELL
reason = "时间:{}, 当前持仓:{}, 总市值：{}, 目标持仓:{}, 昨日收盘价:{}, 今日开盘价：{}, 最新买卖价:{}, strategy:{}" \
.format(event.visible_time, current_position, net_value, dest_position, self.last_close_price,
current_price, current_bid_ask.__dict__ if current_bid_ask else None, TestStrategy3.__doc__)
if current_bid_ask:
delta = 0.01
limit_price = (current_bid_ask.bid_price + delta) if direction == OrderDirection.BUY else (
current_bid_ask.ask_price - delta)
order = LimitOrder(self.code, direction, abs(change), event.visible_time, limit_price)
order.with_reason(reason)
account.place_order(order)
# self.ensure_order_filled(account, data_portal, order, period=30, retry_count=3)
self.ensure_order_filled_v2(account, data_portal, order, duration=60, delta=delta)
else:
order = MKTOrder(self.code, direction, abs(change), event.visible_time)
order.with_reason(reason)
account.place_order(order)
else:
msg = "不需要下单, 时间:{}, 当前持仓:{}, 总市值：{}, 目标持仓:{}, 昨日收盘价:{}, 今日开盘价：{}". \
format(event.visible_time, current_position, net_value, dest_position, self.last_close_price,
current_price)
logging.info(msg)
def _to_order(self, od_model: UserOrderModel) -> Order:
if od_model.type == "MKTOrder":
o = MKTOrder(od_model.code, OrderDirection(od_model.direction),
od_model.quantity,
self._to_timestamp(od_model.place_time))
elif od_model.type == "LimitOrder":
o = LimitOrder(od_model.code, OrderDirection(od_model.direction),
od_model.quantity,
self._to_timestamp(od_model.place_time),
od_model.limit_price)
elif od_model.type == "DelayMKTOrder":
o = DelayMKTOrder(od_model.code,
OrderDirection(od_model.direction),
od_model.quantity,
self._to_timestamp(od_model.place_time),
Timedelta(od_model.delay_time))
elif od_model.type == 'CrossMKTOrder':
o = CrossMKTOrder(od_model.code,
OrderDirection(od_model.direction),
od_model.quantity,
self._to_timestamp(od_model.place_time),
CrossDirection(od_model.cross_direction),
od_model.cross_price)
else:
raise RuntimeError("wrong order type")
new_execution_map = {}
for exec_id in od_model.execution_map.keys():
oe_model: UserOrderExecutionModel = od_model.execution_map[exec_id]
oe = OrderExecution(exec_id, oe_model.version, oe_model.commission,
oe_model.filled_quantity,
oe_model.filled_avg_price,
self._to_timestamp(oe_model.filled_start_time),
self._to_timestamp(oe_model.filled_end_time),
OrderDirection(oe_model.direction),
oe_model.attributes)
new_execution_map[exec_id] = oe
o.execution_map = new_execution_map
o.filled_start_time = self._to_timestamp(od_model.filled_start_time)
o.filled_end_time = self._to_timestamp(od_model.filled_end_time)
o.filled_avg_price = od_model.filled_avg_price
o.filled_quantity = od_model.filled_quantity
o.status = OrderStatus(od_model.status)
return o
def market_close(self, event: Event, account: AbstractAccount, data_portal: DataPortal):
dest_position = 0
current_position = 0
net_value = None
# 等待直到获取到最新的股票价格
current_price = None
try:
current_price = data_portal.current_price([self.code], event.visible_time)[self.code].price
except:
logging.error("没有获取到当天的开盘价,code:{}".format(self.code))
if current_price:
net_value = account.net_value({self.code: current_price})
if current_price and self.last_close and current_price > self.last_close:
dest_position = int(net_value / current_price)
if len(account.positions) > 0:
current_position = account.positions[self.code]
change = dest_position - current_position
if change != 0:
direction = OrderDirection.BUY if change > 0 else OrderDirection.SELL
reason = "时间:{}, 当前持仓:{}, 总市值：{}, 目标持仓:{}, 昨日收盘价:{}, 今日收盘价:{}, strategy:{}".format(event.visible_time,
current_position,
net_value, dest_position,
self.last_close,
current_price, TestStrategy2.__doc__)
if current_price:
order = LimitOrder(self.code, direction, abs(change), event.visible_time, current_price)
order.with_reason(reason)
account.place_order(order)
self.ensure_order_filled(account, data_portal, order, 40, 1)
else:
order = MKTOrder(self.code, direction, abs(change), event.visible_time)
order.with_reason(reason)
account.place_order(order)
else:
logging.info("不需要下单, 时间:{}, 当前持仓:{}, 总市值：{}, 目标持仓:{}, 今日开盘价:{}, 今日收盘价:{}".
format(event.visible_time,
current_position,
net_value, dest_position,
self.last_open,
current_price))
self.last_close = current_price
def on_tick(self, event: Event, account: AbstractAccount, data_portal: DataPortal):
if not self.market_is_open:
return
if not isinstance(event.data, Tick):
raise RuntimeError("wrong data")
data = DataFrame([{'visible_time': event.data.visible_time, 'price': event.data.price}]).set_index('visible_time')
self.daily_ticks.append(data)
now = Timestamp.now(tz='Asia/Shanghai')
start = now - self.time_span
check_df = self.daily_ticks[start: now]
this_price = event.data.price
if len(account.get_open_orders()) <= 0:
if len(account.positions) > 0:
max_price = check_df['price'].max()
change = abs((this_price - max_price) / max_price)
if change > self.threshold:
reason = '当前价格:{}, 时间范围：{}的最高价为：{}, 当前持仓:{}'.\
format(this_price, self.time_span, max_price, account.positions)
order = LimitOrder(self.code, OrderDirection.SELL, quantity=abs(account.positions[self.code]),
place_time=event.visible_time, limit_price=this_price)
order.with_reason(reason)
account.place_order(order)
self.ensure_order_filled(account, data_portal, order, period=10, retry_count=2)
else:
logging.info("当前价格:{}, 时间范围：{}的最高价为：{}, 变动为:{}".
format(this_price, self.time_span, max_price, change))
else:
lowest_price = check_df['price'].min()
change = abs((this_price - lowest_price) / lowest_price)
if change > self.threshold:
reason = '当前价格:{}, 时间范围：{}的最低价为：{}, 当前持仓:{}'.\
format(this_price, self.time_span, lowest_price, account.positions)
quantity = int(account.cash / this_price)
order = LimitOrder(self.code, OrderDirection.BUY, quantity=quantity,
place_time=event.visible_time, limit_price=this_price)
order.with_reason(reason)
account.place_order(order)
self.ensure_order_filled(account, data_portal, order, period=10, retry_count=2)
else:
logging.info("当前价格:{}, 时间范围：{}的最低价为：{}, 变动为:{}".
format(this_price, self.time_span, lowest_price, change))
def ensure():
try:
time.sleep(period)
logging.info("ensure order filled thread start")
if order.status == OrderStatus.CREATED or order.status == OrderStatus.PARTIAL_FILLED \
or order.status == OrderStatus.SUBMITTED:
account.cancel_open_order(order)
# 保证下单的总价值是相同的
remain_quantity = order.quantity - order.filled_quantity
cp = data_portal.current_price(
[order.code],
Timestamp.now(tz='Asia/Shanghai'))[order.code]
new_quantity = int(remain_quantity * order.limit_price /
cp.price)
now = Timestamp.now(tz='Asia/Shanghai')
if retry_count > 1:
new_order = LimitOrder(order.code, order.direction,
new_quantity, now, cp.price)
else:
new_order = MKTOrder(order.code, order.direction,
new_quantity, now)
account.place_order(new_order)
if retry_count > 1:
self.ensure_order_filled(account, data_portal,
new_order, period,
retry_count - 1)
else:
logging.info("没有还未成交的订单, 不需要ensure")
except:
import traceback
err_msg = "ensure order filled失败:{}".format(
traceback.format_exc())
logging.error(err_msg)
# 显示告警，因为在线程的Runable方法中，不能再抛出异常。
do_alarm('ensure order filled', AlarmLevel.ERROR, None, None,
'{}'.format(traceback.format_exc()))
def market_close(self, event: Event, account: AbstractAccount,
data_portal: DataPortal):
dest_position = 0
current_position = 0
net_value = None
# 等待直到获取到最新的股票价格
current_price = None
try:
current_price = data_portal.current_price(
[self.code], event.visible_time)[self.code].price
except:
logging.error("没有获取到当天的开盘价,code:{}".format(self.code))
if current_price:
net_value = account.net_value({self.code: current_price})
current_bid_ask = None
try:
current_bid_ask = data_portal.current_bid_ask([self.code
])[self.code]
except:
logging.error("没有获取到最新的买卖价,code:{}".format(self.code))
# if current_price and self.last_close and current_price > self.last_close:
if True:
dest_position = int(net_value * self.long_leverage / current_price)
if len(account.positions) > 0:
current_position = account.positions[self.code]
change = dest_position - current_position
if change != 0:
direction = OrderDirection.BUY if change > 0 else OrderDirection.SELL
reason = "时间:{}, 当前持仓:{}, 总市值：{}, 目标持仓:{}, 昨日收盘价:{}, 今日收盘价:{}, " \
"买卖价:{}, strategy:{}".format(event.visible_time,
current_position,
net_value, dest_position,
self.last_close,
current_price,
current_bid_ask.__dict__ if current_bid_ask else None,
SPCEStrategy.__doc__)
if current_bid_ask:
delta = 0.01
limit_price = (current_bid_ask.bid_price +
delta) if direction == OrderDirection.BUY else (
current_bid_ask.ask_price - delta)
order = LimitOrder(self.code, direction, abs(change),
event.visible_time, limit_price)
order.with_reason(reason)
account.place_order(order)
# self.ensure_order_filled(account, data_portal, order, 40, 1)
self.ensure_order_filled_v2(account, data_portal, order, 40,
delta)
else:
order = MKTOrder(self.code, direction, abs(change),
event.visible_time)
order.with_reason(reason)
account.place_order(order)
else:
logging.info(
"不需要下单, 时间:{}, 当前持仓:{}, 总市值：{}, 目标持仓:{}, 今日开盘价:{}, 今日收盘价:{}".
format(event.visible_time, current_position, net_value,
dest_position, self.last_open, current_price))
self.last_close = current_price
acc.with_order_callback(TestStrategy(None))
code = '700_STK_HKD_SEHK'
contract = acc.cli.code_to_contract(code)
ib_order: IBOrder = IBOrder()
ib_order.orderType = "MKT"
ib_order.totalQuantity = 100
# ib_order.lmtPrice = 85
ib_order.action = 'SELL'
# ib_order.outsideRth = True
# ib_order.tif = "GTD"
# ib_order.goodAfterTime = '18:45:00'
# ib_order.goodTillDate = '19:56:00'
# ib_order.orderType = "LIMIT"
# ib_order.lmtPrice = 100
# ib_order.totalQuantity = 100
# ib_order.action = 'BUY'
# ib_order.outsideRth = True
# # 设置自适应算法
# ib_order.algoStrategy = 'Adaptive'
# ib_order.algoParams = [TagValue("adaptivePriority", 'Normal')]
order: Order = LimitOrder(code,
OrderDirection.BUY,
quantity=1000,
place_time=Timestamp.now(),
limit_price=644)
# acc.cli.cli.cancelOrder(34)
# acc.cli.placeOrder(acc.cli.next_valid_id(), contract, ib_order)
acc.place_order(order)
print("done")
