def cross_limit_order(self) -> None:
"""
Cross limit order with last bar/tick data.
"""
for order in list(self.active_limit_orders.values()):
bar = self.bars[order.vt_symbol]
long_cross_price = bar.low_price
short_cross_price = bar.high_price
long_best_price = bar.open_price
short_best_price = bar.open_price
# Push order update with status "not traded" (pending).
if order.status == Status.SUBMITTING:
order.status = Status.NOTTRADED
self.strategy.update_order(order)
# Check whether limit orders can be filled.
long_cross = (order.direction == Direction.LONG
and order.price >= long_cross_price
and long_cross_price > 0)
short_cross = (order.direction == Direction.SHORT
and order.price <= short_cross_price
and short_cross_price > 0)
if not long_cross and not short_cross:
continue
# Push order update with status "all traded" (filled).
order.traded = order.volume
order.status = Status.ALLTRADED
self.strategy.update_order(order)
self.active_limit_orders.pop(order.vt_orderid)
# Push trade update
self.trade_count += 1
if long_cross:
trade_price = min(order.price, long_best_price)
else:
trade_price = max(order.price, short_best_price)
trade = TradeData(
symbol=order.symbol,
exchange=order.exchange,
orderid=order.orderid,
tradeid=str(self.trade_count),
direction=order.direction,
offset=order.offset,
price=trade_price,
volume=order.volume,
time=self.datetime.strftime("%H:%M:%S"),
gateway_name=self.gateway_name,
)
trade.datetime = self.datetime
self.strategy.update_trade(trade)
self.trades[trade.vt_tradeid] = trade
def cross_algo(self):
"""
Cross limit order with last bar/tick data.
"""
if self.mode == BacktestingMode.BAR:
long_cross_price = self.bar.close_price
short_cross_price = self.bar.close_price
else:
long_cross_price = self.tick.ask_price_1
short_cross_price = self.tick.bid_price_1
for algo in list(self.active_algos.values()):
# Check whether limit orders can be filled.
long_cross = (algo.direction == Direction.LONG
and algo.price >= long_cross_price
and long_cross_price > 0)
short_cross = (algo.direction == Direction.SHORT
and algo.price <= short_cross_price
and short_cross_price > 0)
if not long_cross and not short_cross:
continue
# Push order udpate with status "all traded" (filled).
algo.traded = algo.volume
algo.status = Status.ALLTRADED
self.strategy.update_spread_algo(algo)
self.active_algos.pop(algo.algoid)
# Push trade update
self.trade_count += 1
if long_cross:
trade_price = long_cross_price
pos_change = algo.volume
else:
trade_price = short_cross_price
pos_change = -algo.volume
trade = TradeData(
symbol=self.spread.name,
exchange=Exchange.LOCAL,
orderid=algo.algoid,
tradeid=str(self.trade_count),
direction=algo.direction,
offset=algo.offset,
price=trade_price,
volume=algo.volume,
time=self.datetime.strftime("%H:%M:%S"),
gateway_name=self.gateway_name,
)
trade.datetime = self.datetime
self.spread.net_pos += pos_change
self.strategy.on_spread_pos()
self.trades[trade.vt_tradeid] = trade
def cross_stop_order(self):
"""
Cross stop order with last bar/tick data.
"""
if self.mode == BacktestingMode.BAR:
long_cross_price = self.bar.high_price
short_cross_price = self.bar.low_price
long_best_price = self.bar.open_price
short_best_price = self.bar.open_price
else:
long_cross_price = self.tick.last_price
short_cross_price = self.tick.last_price
long_best_price = long_cross_price
short_best_price = short_cross_price
for stop_order in list(self.active_stop_orders.values()):
# Check whether stop order can be triggered.
long_cross = (stop_order.direction == Direction.LONG
and stop_order.price <= long_cross_price)
short_cross = (stop_order.direction == Direction.SHORT
and stop_order.price >= short_cross_price)
if not long_cross and not short_cross:
continue
# Create order data.
self.limit_order_count += 1
order = OrderData(
symbol=self.symbol,
exchange=self.exchange,
orderid=str(self.limit_order_count),
direction=stop_order.direction,
offset=stop_order.offset,
price=stop_order.price,
volume=stop_order.volume,
status=Status.ALLTRADED,
gateway_name=self.gateway_name,
)
order.datetime = self.datetime
self.limit_orders[order.vt_orderid] = order
# Create trade data.
if long_cross:
trade_price = max(stop_order.price, long_best_price)
pos_change = order.volume
else:
trade_price = min(stop_order.price, short_best_price)
pos_change = -order.volume
self.trade_count += 1
trade = TradeData(
symbol=order.symbol,
exchange=order.exchange,
orderid=order.orderid,
tradeid=str(self.trade_count),
direction=order.direction,
offset=order.offset,
price=trade_price,
volume=order.volume,
time=self.datetime.strftime("%H:%M:%S"),
gateway_name=self.gateway_name,
)
trade.datetime = self.datetime
self.trades[trade.vt_tradeid] = trade
# Update stop order.
stop_order.vt_orderid = order.vt_orderid
stop_order.status = StopOrderStatus.TRIGGERED
self.active_stop_orders.pop(stop_order.stop_orderid)
# Push update to strategy.
self.strategy.on_stop_order(stop_order)
self.strategy.on_order(order)
self.strategy.pos += pos_change
self.strategy.on_trade(trade)
def cross_limit_order(self):
"""
Cross limit order with last bar/tick data.
"""
if self.mode == BacktestingMode.BAR:
long_cross_price = self.bar.low_price
short_cross_price = self.bar.high_price
long_best_price = self.bar.open_price
short_best_price = self.bar.open_price
else:
long_cross_price = self.tick.ask_price_1
short_cross_price = self.tick.bid_price_1
long_best_price = long_cross_price
short_best_price = short_cross_price
for order in list(self.active_limit_orders.values()):
# Push order update with status "not traded" (pending).
if order.status == Status.SUBMITTING:
order.status = Status.NOTTRADED
self.strategy.on_order(order)
order: OrderData = order
pos_change = 0
trade_price = 0
if order.type == OrderType.LIMIT:
# Check whether limit orders can be filled.
long_cross = (order.direction == Direction.LONG
and order.price >= long_cross_price
and long_cross_price > 0)
short_cross = (order.direction == Direction.SHORT
and order.price <= short_cross_price
and short_cross_price > 0)
if not long_cross and not short_cross:
continue
if long_cross:
trade_price = min(order.price, long_best_price)
pos_change = order.volume
else:
trade_price = max(order.price, short_best_price)
pos_change = -order.volume
else:
if order.direction == Direction.LONG:
trade_price = self.bar.high_price
pos_change = order.volume
else:
trade_price = self.bar.low_price
pos_change = -order.volume
# Push order udpate with status "all traded" (filled).
order.traded = order.volume
order.status = Status.ALLTRADED
self.strategy.on_order(order)
self.active_limit_orders.pop(order.vt_orderid)
# Push trade update
self.trade_count += 1
trade = TradeData(symbol=order.symbol,
exchange=order.exchange,
orderid=order.orderid,
tradeid=str(self.trade_count),
direction=order.direction,
offset=order.offset,
price=trade_price,
volume=order.volume,
time=self.datetime.strftime("%H:%M:%S"),
gateway_name=self.gateway_name,
extra=order.extra)
trade.datetime = self.datetime
self.strategy.pos += pos_change
self.strategy.on_trade(trade)
self.trades[trade.vt_tradeid] = trade
def cross_stop_order(self):
"""
Cross stop order with last bar/tick data.
T时刻内，价格上下波动，形成T日K线；
T时刻走完，基于T日以及之前数据计算通道上下轨
T+1时刻开盘，基于上一步的通道上下轨挂出对应的停止单
T+1时刻内，价格突破通道是触发停止单，立即发出市价单成交
"""
if self.mode == BacktestingMode.BAR:
long_cross_price = self.bar.high_price
short_cross_price = self.bar.low_price
long_best_price = self.bar.open_price
short_best_price = self.bar.open_price
else:
long_cross_price = self.tick.last_price
short_cross_price = self.tick.last_price
long_best_price = long_cross_price
short_best_price = short_cross_price
for stop_order in list(self.active_stop_orders.values()):
# Check whether stop order can be triggered.
# self.active_stop_orders.values里面的数据结构是一个类，这里面使用类来保存数据。
long_cross = (stop_order.direction == Direction.LONG
and stop_order.price <= long_cross_price)
short_cross = (stop_order.direction == Direction.SHORT
and stop_order.price >= short_cross_price)
if not long_cross and not short_cross:
continue
# Create order data.
# 停止单最后还是要转化为限价单
self.limit_order_count += 1
order = OrderData(symbol=self.symbol,
exchange=self.exchange,
orderid=str(self.limit_order_count),
direction=stop_order.direction,
offset=stop_order.offset,
price=stop_order.price,
volume=stop_order.volume,
status=Status.ALLTRADED,
gateway_name=self.gateway_name,
time=self.datetime.strftime("%H:%M:%S"))
"""
symbol表示交易品种，如IF88，在最开始传入
exchange表示交易所，在set_parameters中传入的
self.limit_order_count表示限价单的数量
stop_order表示在发送停止单时的一些信息
stop_order.direction的方向在上面
offset表示开或平
status: Status = Status.SUBMITTING这个是默认值，
getway_name是在BacktestingEngine中确定的
"""
order.datetime = self.datetime
# 这个地方和可能是直接给这个类添加属性，这个有什么用呢，为什么不直接放进OrderData里面去，self.datetime= bar.datetime
self.limit_orders[order.vt_orderid] = order
# 没有把这笔交易推给策略，没有搞懂为什么，这个不是active，因为一旦发出即成交了,两种情况，一种是t时刻就已经把单子挂在交易所那边，另一种是挂在自己的系统上面只要满足条件就提交订单，并不一定需要t+1的K线形成才可以
# Create trade data.
if long_cross:
trade_price = max(stop_order.price, long_best_price)
pos_change = order.volume
else:
trade_price = min(stop_order.price, short_best_price)
pos_change = -order.volume
self.trade_count += 1
trade = TradeData(
symbol=order.symbol,
exchange=order.exchange,
orderid=order.orderid,
tradeid=str(self.trade_count),
direction=order.direction,
offset=order.offset,
price=trade_price,
volume=order.volume,
time=self.datetime.strftime("%H:%M:%S"),
gateway_name=self.gateway_name,
)
trade.datetime = self.datetime
# direction表示方向，offset表示经常模式，一手多两手空，会平掉多仓空仓，然后开
# 一个空仓
# 这个time是一个字符串
self.trades[trade.vt_tradeid] = trade
# Update stop order.
stop_order.vt_orderids.append(order.vt_orderid)
stop_order.status = StopOrderStatus.TRIGGERED
if stop_order.stop_orderid in self.active_stop_orders:
self.active_stop_orders.pop(stop_order.stop_orderid)
# Push update to strategy.
self.strategy.on_stop_order(stop_order)
self.strategy.on_order(order)
# 这个地方把停止单推给了策略
self.strategy.pos += pos_change
self.strategy.on_trade(trade)
def cross_limit_order(self):
"""
Cross limit order with last bar/tick data.
此处的回测只用了bar进行了回测，没有用tick进行相应的回测
次函数的作用就是在T时刻，把T-1时刻之前所有的委托都进行一遍撮合
"""
if self.mode == BacktestingMode.BAR:
long_cross_price = self.bar.low_price
short_cross_price = self.bar.high_price
long_best_price = self.bar.open_price
short_best_price = self.bar.open_price
else:
long_cross_price = self.tick.ask_price_1
short_cross_price = self.tick.bid_price_1
long_best_price = long_cross_price
short_best_price = short_cross_price
"""long_cross_price表示多头可能成交价格"""
# long_best_price多头有机会最好的成交价格
for order in list(self.active_limit_orders.values()):
# 如果list是空的，不会进入到循环里面来，也不会报错
# come from backtesting.send_stop_order
# Push order update with status "not traded" (pending).key是委托号，value是委托对象
# 此处的order是一个类
if order.status == Status.SUBMITTING:
order.status = Status.NOTTRADED
self.strategy.on_order(order)
# 这个on_order是当状态有更新的时候推送给策略，需要自己去定义
# //TODO:很有可能order里面还有很多的列，其中一个是status
# status这个属性是从哪来的，很可能跟object中的BaseData有关系
# Check whether limit orders can be filled.
long_cross = (order.direction == Direction.LONG
and order.price >= long_cross_price
and long_cross_price > 0)
short_cross = (order.direction == Direction.SHORT
and order.price <= short_cross_price
and short_cross_price > 0)
if not long_cross and not short_cross:
continue
# 这个if continue是过滤掉没有成交的单子
# Push order udpate with status "all traded" (filled).
order.traded = order.volume
# 表示已经完成的成交数量
order.status = Status.ALLTRADED
# 变更状态
self.strategy.on_order(order)
# 订单的状态发生变化后，把订单发给策略
self.active_limit_orders.pop(order.vt_orderid)
# Push trade update
self.trade_count += 1
# 这个是在init中定义的变量
if long_cross:
trade_price = min(order.price, long_best_price)
pos_change = order.volume
else:
trade_price = max(order.price, short_best_price)
pos_change = -order.volume
if self.trade_count != 0:
trade = TradeData(
symbol=order.symbol,
exchange=order.exchange,
orderid=order.orderid,
tradeid=str(self.trade_count),
direction=order.direction,
offset=order.offset,
price=trade_price,
volume=order.volume,
time=self.datetime.strftime("%Y:%m:%d %H:%M:%S"),
gateway_name=self.gateway_name,
)
trade.datetime = self.datetime
# 这个self.datetime是在传bar数据的时候确定的日期，为什么这个交易时间不直接放进去
self.strategy.pos += pos_change
# pos是外部引擎处理的
self.strategy.on_trade(trade)
# 把这笔交易推送出去交易
self.trades[trade.vt_tradeid] = trade
def cross_stop_order(self):
"""
Cross stop order with last bar/tick data.
"""
if self.mode == BacktestingMode.BAR:
long_cross_price = self.bar.high_price
short_cross_price = self.bar.low_price
long_best_price = self.bar.open_price
short_best_price = self.bar.open_price
else:
long_cross_price = self.tick.last_price
short_cross_price = self.tick.last_price
long_best_price = long_cross_price
short_best_price = short_cross_price
for stop_order in list(self.active_stop_orders.values()):
# Check whether stop order can be triggered.
long_cross = (
stop_order.direction == Direction.LONG
and stop_order.price <= long_cross_price
)
short_cross = (
stop_order.direction == Direction.SHORT
and stop_order.price >= short_cross_price
)
if not long_cross and not short_cross:
continue
# Create order data.
self.limit_order_count += 1
order = OrderData(
symbol=self.symbol,
exchange=self.exchange,
orderid=str(self.limit_order_count),
direction=stop_order.direction,
offset=stop_order.offset,
price=stop_order.price,
volume=stop_order.volume,
status=Status.ALLTRADED,
gateway_name=self.gateway_name,
)
self.limit_orders[order.vt_orderid] = order
# Create trade data.
if long_cross:
trade_price = max(stop_order.price, long_best_price)
pos_change = order.volume
else:
trade_price = min(stop_order.price, short_best_price)
pos_change = -order.volume
self.trade_count += 1
trade = TradeData(
symbol=order.symbol,
exchange=order.exchange,
orderid=order.orderid,
tradeid=str(self.trade_count),
direction=order.direction,
offset=order.offset,
price=trade_price,
volume=order.volume,
time=self.datetime.strftime("%H:%M:%S"),
gateway_name=self.gateway_name,
)
trade.datetime = self.datetime
self.trades[trade.vt_tradeid] = trade
# Update stop order.
stop_order.vt_orderid = order.vt_orderid
stop_order.status = StopOrderStatus.TRIGGERED
self.active_stop_orders.pop(stop_order.stop_orderid)
# Push update to strategy.
self.strategy.on_stop_order(stop_order)
self.strategy.on_order(order)
self.strategy.pos += pos_change
self.strategy.on_trade(trade)
def cross_limit_order(self):
"""
Cross limit order with last bar/tick data.
"""
if self.mode == BacktestingMode.BAR:
long_cross_price = self.bar.low_price
short_cross_price = self.bar.high_price
long_best_price = self.bar.open_price
short_best_price = self.bar.open_price
else:
long_cross_price = self.tick.ask_price_1
short_cross_price = self.tick.bid_price_1
long_best_price = long_cross_price
short_best_price = short_cross_price
for order in list(self.active_limit_orders.values()):
# Push order update with status "not traded" (pending).
if order.status == Status.SUBMITTING:
order.status = Status.NOTTRADED
self.strategy.on_order(order)
# Check whether limit orders can be filled.
long_cross = (
order.direction == Direction.LONG
and order.price >= long_cross_price
and long_cross_price > 0
)
short_cross = (
order.direction == Direction.SHORT
and order.price <= short_cross_price
and short_cross_price > 0
)
if not long_cross and not short_cross:
continue
# Push order udpate with status "all traded" (filled).
order.traded = order.volume
order.status = Status.ALLTRADED
self.strategy.on_order(order)
self.active_limit_orders.pop(order.vt_orderid)
# Push trade update
self.trade_count += 1
if long_cross:
trade_price = min(order.price, long_best_price)
pos_change = order.volume
else:
trade_price = max(order.price, short_best_price)
pos_change = -order.volume
trade = TradeData(
symbol=order.symbol,
exchange=order.exchange,
orderid=order.orderid,
tradeid=str(self.trade_count),
direction=order.direction,
offset=order.offset,
price=trade_price,
volume=order.volume,
time=self.datetime.strftime("%H:%M:%S"),
gateway_name=self.gateway_name,
)
trade.datetime = self.datetime
self.strategy.pos += pos_change
self.strategy.on_trade(trade)
self.trades[trade.vt_tradeid] = trade
