def parse_order(item):
contract_fields = {}
order_fields = {}
for key, value in item.items():
if value is None:
continue
if isinstance(value, six.string_types):
value = get_string(value)
tag = ORDER_FIELD_MAPPINGS[key] if key in ORDER_FIELD_MAPPINGS else key
if tag in CONTRACT_FIELDS:
contract_fields[tag] = value
else:
order_fields[tag] = value
contract_id = contract_fields.get('contract_id')
symbol = contract_fields.get('symbol')
currency = contract_fields.get('currency')
sec_type = contract_fields.get('sec_type')
exchange = contract_fields.get('exchange')
origin_symbol = contract_fields.get('origin_symbol')
local_symbol = contract_fields.get('local_symbol')
expiry = contract_fields.get('expiry')
strike = contract_fields.get('strike')
put_call = contract_fields.get('right')
multiplier = contract_fields.get('multiplier')
contract = Contract(symbol, currency, contract_id=contract_id, sec_type=sec_type, exchange=exchange,
origin_symbol=origin_symbol, local_symbol=local_symbol, expiry=expiry,
strike=strike, put_call=put_call, multiplier=multiplier)
account = order_fields.get('account')
action = order_fields.get('action')
order_type = order_fields.get('order_type')
quantity = order_fields.get('quantity')
limit_price = order_fields.get('limit_price')
aux_price = order_fields.get('aux_price')
trail_stop_price = order_fields.get('trail_stop_price')
trailing_percent = order_fields.get('trailing_percent')
percent_offset = order_fields.get('percent_offset')
time_in_force = order_fields.get('time_in_force')
outside_rth = order_fields.get('outside_rth')
filled = order_fields.get('filled')
avg_fill_price = order_fields.get('avg_fill_price')
commission = order_fields.get('commission')
realized_pnl = order_fields.get('realized_pnl')
id = order_fields.get('id')
order_id = order_fields.get('order_id')
parent_id = order_fields.get('parent_id')
status = OrdersResponse.get_status(order_fields.get('status'))
order = Order(account, contract, action, order_type, quantity, limit_price=limit_price, aux_price=aux_price,
trail_stop_price=trail_stop_price, trailing_percent=trailing_percent,
percent_offset=percent_offset, time_in_force=time_in_force, outside_rth=outside_rth,
filled=filled, avg_fill_price=avg_fill_price, commission=commission,
realized_pnl=realized_pnl, id=id, order_id=order_id, parent_id=parent_id)
if 'order_time' in order_fields:
order.order_time = order_fields.get('order_time')
if 'trade_time' in order_fields:
order.trade_time = order_fields.get('trade_time')
order.status = status
return order
def limit_order_with_legs(account,
contract,
action,
quantity,
limit_price,
order_legs=None):
"""
限价单 + 附加订单(仅环球账户支持)
:param account:
:param contract:
:param action: BUY/SELL
:param quantity:
:param limit_price: 限价单价格
:param order_legs: 附加订单列表
:return:
"""
if order_legs and len(order_legs) > 2:
raise Exception('2 order legs at most')
return Order(account,
contract,
action,
'LMT',
quantity,
limit_price=limit_price,
order_legs=order_legs)
def algo_order(account,
contract,
action,
quantity,
strategy,
algo_params=None,
limit_price=None):
"""
算法订单
:param account:
:param contract:
:param action:
:param quantity:
:param strategy: 交易量加权平均价格（VWAP）/时间加权平均价格(TWAP)
:param algo_params: tigeropen.trade.domain.order.AlgoParams
:param limit_price:
:return:
"""
return Order(account,
contract,
action,
order_type=strategy,
quantity=quantity,
algo_params=algo_params,
limit_price=limit_price,
outside_rth=False)
def create_order(self,
account,
contract,
action,
order_type,
quantity,
limit_price=None,
aux_price=None,
trail_stop_price=None,
trailing_percent=None,
percent_offset=None,
time_in_force=None,
outside_rth=None):
"""
创建订单对象.
:param account:
:param contract:
:param action:
:param order_type:
:param quantity:
:param limit_price: 限价
:param aux_price: 在止损单表示止损价格; 在跟踪止损单表示价差
:param trail_stop_price: 跟踪止损单--触发止损单的价格
:param trailing_percent: 跟踪止损单--百分比
:param percent_offset:
:param time_in_force: 订单有效期， 'DAY'（当日有效）和'GTC'（取消前有效)
:param outside_rth: 是否允许盘前盘后交易(美股专属)
:return:
"""
params = AccountsParams()
params.account = account if account else self._account
request = OpenApiRequest(ORDER_NO, biz_model=params)
response_content = self.__fetch_data(request)
if response_content:
response = OrderIdResponse()
response.parse_response_content(response_content)
if response.is_success():
order_id = response.order_id
order = Order(account,
contract,
action,
order_type,
quantity,
limit_price=limit_price,
aux_price=aux_price,
trail_stop_price=trail_stop_price,
trailing_percent=trailing_percent,
percent_offset=percent_offset,
time_in_force=time_in_force,
outside_rth=outside_rth,
order_id=order_id)
return order
else:
raise ApiException(response.code, response.message)
return None
def market_order(account, contract, action, quantity):
"""
市价单
:param account:
:param contract:
:param action: BUY/SELL
:param quantity:
:return:
"""
return Order(account, contract, action, 'MKT', quantity)
def stop_order(account, contract, action, quantity, aux_price):
"""
止损单
:param account:
:param contract:
:param action: BUY/SELL
:param quantity:
:param aux_price: 触发止损单的价格
:return:
"""
return Order(account, contract, action, 'STP', quantity, aux_price=aux_price)
def limit_order(account, contract, action, quantity, limit_price):
"""
限价单
:param account:
:param contract:
:param action: BUY/SELL
:param quantity:
:param limit_price: 限价的价格
:return:
"""
return Order(account, contract, action, 'LMT', quantity, limit_price=limit_price)
def trail_order(account, contract, action, quantity, trailing_percent=None, aux_price=None):
"""
移动止损单
:param account:
:param contract:
:param action: BUY/SELL
:param quantity:
:param trailing_percent: 百分比 (0~100)
:param aux_price: 价差 aux_price 和 trailing_percent 两者互斥
:return:
"""
return Order(account, contract, action, 'TRAIL', quantity, trailing_percent=trailing_percent, aux_price=aux_price)
def stop_limit_order(account, contract, action, quantity, limit_price, aux_price):
"""
限价止损单
:param account:
:param contract:
:param action: BUY/SELL
:param quantity:
:param limit_price: 发出限价单的价格
:param aux_price: 触发止损单的价格
:return:
"""
return Order(account, contract, action, 'STP_LMT', quantity, limit_price=limit_price, aux_price=aux_price)
def create_order(self, account, contract, action, order_type, quantity, limit_price=None, aux_price=None,
trail_stop_price=None, trailing_percent=None, percent_offset=None, time_in_force=None,
outside_rth=None):
params = AccountsParams()
params.account = self._account
request = OpenApiRequest(ORDER_NO, biz_model=params)
response_content = self.__fetch_data(request)
if response_content:
response = OrderIdResponse()
response.parse_response_content(response_content)
if response.is_success():
order_id = response.order_id
order = Order(account, contract, action, order_type, quantity, limit_price=limit_price,
aux_price=aux_price, trail_stop_price=trail_stop_price,
trailing_percent=trailing_percent, percent_offset=percent_offset,
time_in_force=time_in_force, outside_rth=outside_rth, order_id=order_id)
return order
else:
raise ApiException(response.code, response.message)
return None
def parse_order(item, secret_key=None):
contract_fields = {}
order_fields = {}
for key, value in item.items():
if value is None:
continue
tag = ORDER_FIELD_MAPPINGS[
key] if key in ORDER_FIELD_MAPPINGS else key
if tag in CONTRACT_FIELDS:
contract_fields[tag] = value
else:
order_fields[tag] = value
contract_id = contract_fields.get('contract_id')
symbol = contract_fields.get('symbol')
currency = contract_fields.get('currency')
sec_type = contract_fields.get('sec_type')
exchange = contract_fields.get('exchange')
origin_symbol = contract_fields.get('origin_symbol')
local_symbol = contract_fields.get('local_symbol')
expiry = contract_fields.get('expiry')
strike = contract_fields.get('strike')
put_call = contract_fields.get('right')
multiplier = contract_fields.get('multiplier')
identifier = contract_fields.get('identifier')
contract = Contract(symbol,
currency,
contract_id=contract_id,
sec_type=sec_type,
exchange=exchange,
origin_symbol=origin_symbol,
local_symbol=local_symbol,
expiry=expiry,
strike=strike,
put_call=put_call,
multiplier=multiplier,
identifier=identifier)
account = order_fields.get('account')
action = order_fields.get('action')
order_type = order_fields.get('order_type')
quantity = order_fields.get('quantity')
limit_price = order_fields.get('limit_price')
aux_price = order_fields.get('aux_price')
trail_stop_price = order_fields.get('trail_stop_price')
trailing_percent = order_fields.get('trailing_percent')
percent_offset = order_fields.get('percent_offset')
time_in_force = order_fields.get('time_in_force')
outside_rth = order_fields.get('outside_rth')
filled = order_fields.get('filled')
avg_fill_price = order_fields.get('avg_fill_price')
commission = order_fields.get('commission')
realized_pnl = order_fields.get('realized_pnl')
id_ = order_fields.get('id')
order_id = order_fields.get('order_id')
parent_id = order_fields.get('parent_id')
status = get_order_status(order_fields.get('status'))
algo_params = AlgoParams.from_tags(order_fields.get('algo_params'))
liquidation = order_fields.get('liquidation')
algo_strategy = order_fields.get('algo_strategy')
discount = order_fields.get('discount')
order = Order(account,
contract,
action,
order_type,
quantity,
limit_price=limit_price,
aux_price=aux_price,
trail_stop_price=trail_stop_price,
trailing_percent=trailing_percent,
percent_offset=percent_offset,
time_in_force=time_in_force,
outside_rth=outside_rth,
filled=filled,
avg_fill_price=avg_fill_price,
commission=commission,
realized_pnl=realized_pnl,
id=id_,
order_id=order_id,
parent_id=parent_id,
algo_params=algo_params,
liquidation=liquidation,
algo_strategy=algo_strategy,
discount=discount)
if 'order_time' in order_fields:
order.order_time = order_fields.get('order_time')
if 'trade_time' in order_fields:
order.trade_time = order_fields.get('trade_time')
if 'reason' in order_fields:
order.reason = order_fields.get('reason')
if secret_key is not None:
order.secret_key = secret_key
order.status = status
return order
