def send_order(self, code, amount, time, towards, price, order_model,
amount_model):
"""[summary]
Arguments:
code {[type]} -- [description]
amount {[type]} -- [description]
time {[type]} -- [description]
towards {[type]} -- [description]
price {[type]} -- [description]
order_model {[type]} -- [description]
amount_model {[type]} -- [description]
Returns:
[type] -- [description]
"""
flag = False
date = str(time)[0:10] if len(str(time)) == 19 else str(time)
time = str(time) if len(str(time)) == 19 else '{} 09:31:00'.format(
str(time)[0:10])
amount = amount if amount_model is AMOUNT_MODEL.BY_AMOUNT else int(
amount / price)
if self.market_type is MARKET_TYPE.STOCK_CN:
amount = int(amount / 100) * 100
marketvalue = amount * price if amount_model is AMOUNT_MODEL.BY_AMOUNT else amount
amount_model = AMOUNT_MODEL.BY_AMOUNT
if int(towards) > 0:
# 是买入的情况(包括买入.买开.买平)
if self.cash_available >= marketvalue:
self.cash_available -= marketvalue
flag = True
elif int(towards) < 0:
if self.allow_sellopen:
flag = True
if self.sell_available.get(code, 0) >= amount:
self.sell_available[code] -= amount
flag = True
if flag and amount > 0:
return QA_Order(user_cookie=self.user_cookie,
strategy=self.strategy_name,
frequence=self.frequence,
account_cookie=self.account_cookie,
code=code,
market_type=self.market_type,
date=date,
datetime=time,
sending_time=time,
callback=self.receive_deal,
amount=amount,
price=price,
order_model=order_model,
towards=towards,
amount_model=amount_model) # init
else:
return flag
def on_order(self, order: QA_Order):
"""这里是一些外部操作导致的POS变化
- 交易过程的外部手动交易
- 风控状态下的监控外部交易
order_id 是外部的
trade_id 不一定存在
"""
if order['order_id'] not in self.frozen.keys():
print('OUTSIDE ORDER')
#self.frozen[order['order_id']] = order[]
# 回放订单/注册进订单系统
self.send_order(
order.get('amount', order.get('volume')), order['price'],
eval('ORDER_DIRECTION.{}_{}'.format(order.get('direction'),
order.get('offset'))))
def send_order(self,
code=None,
amount=None,
time=None,
towards=None,
price=None,
money=None,
order_model=None,
amount_model=None,
*args,
**kwargs):
"""
ATTENTION CHANGELOG 1.0.28
修改了Account的send_order方法, 区分按数量下单和按金额下单两种方式
- AMOUNT_MODEL.BY_PRICE ==> AMOUNT_MODEL.BY_MONEY # 按金额下单
- AMOUNT_MODEL.BY_AMOUNT # 按数量下单
在按金额下单的时候,应给予 money参数
在按数量下单的时候,应给予 amount参数
python code:
Account=QA.QA_Account()
Order_bymoney=Account.send_order(code='000001',
price=11,
money=0.3*Account.cash_available,
time='2018-05-09',
towards=QA.ORDER_DIRECTION.BUY,
order_model=QA.ORDER_MODEL.MARKET,
amount_model=QA.AMOUNT_MODEL.BY_MONEY
)
Order_byamount=Account.send_order(code='000001',
price=11,
amount=100,
time='2018-05-09',
towards=QA.ORDER_DIRECTION.BUY,
order_model=QA.ORDER_MODEL.MARKET,
amount_model=QA.AMOUNT_MODEL.BY_AMOUNT
)
:param code: 证券代码
:param amount: 买卖 数量多数股
:param time: Timestamp 对象 下单时间
:param towards: int , towards>0 买入 towards<0 卖出
:param price: 买入，卖出 标的证券的价格
:param money: 买卖 价格
:param order_model: 类型 QA.ORDER_MODE
:param amount_model:类型 QA.AMOUNT_MODEL
:return:
"""
assert code is not None and time is not None and towards is not None and order_model is not None and amount_model is not None
# 🛠todo 移到Utils类中， 时间转换
# date 字符串 2011-10-11 长度10
date = str(time)[0:10] if len(str(time)) == 19 else str(time)
# time 字符串 20011-10-11 09:02:00 长度 19
time = str(time) if len(str(time)) == 19 else '{} 09:31:00'.format(
str(time)[0:10])
# 🛠todo 移到Utils类中， amount_to_money 成交量转金额
# BY_MONEY :: amount --钱 如10000元 因此 by_money里面 需要指定价格,来计算实际的股票数
# by_amount :: amount --股数 如10000股
# amount = amount if amount_model is AMOUNT_MODEL.BY_AMOUNT else int(
# money / (price*(1+self.commission_coeff)))
amount = amount if amount_model is AMOUNT_MODEL.BY_AMOUNT else int(
money / (price * (1 + self.commission_coeff)) / 100) * 100
# 🛠todo 移到Utils类中， money_to_amount 金额转成交量
money = amount * price * \
(1+self.commission_coeff) if amount_model is AMOUNT_MODEL.BY_AMOUNT else money
# amount_model = AMOUNT_MODEL.BY_AMOUNT
# flag 判断买卖 数量和价格以及买卖方向是否正确
flag = False
assert (int(towards) != 0)
if int(towards) in [1, 2, 3]:
# 是买入的情况(包括买入.买开.买平)
if self.cash_available >= money:
if self.market_type is MARKET_TYPE.STOCK_CN: # 如果是股票 买入的时候有100股的最小限制
amount = int(amount / 100) * 100
if self.running_environment == RUNNING_ENVIRONMENT.TZERO:
if self.buy_available.get(code, 0) >= amount:
flag = True
self.cash_available -= money
self.buy_available[code] -= amount
else:
flag = False
print('T0交易买入超出限额')
else:
self.cash_available -= money
flag = True
else:
# 如果有负持仓-- 允许卖空的时候
if self.allow_sellopen and towards == 3: # 多平
_hold = self.sell_available.get(code, 0)
left_amount = amount + _hold if _hold < 0 else amount
_money = float(left_amount * price +
amount * price * self.commission_coeff)
if self.cash_available >= _money:
self.cash_available -= _money
flag = True
else:
print(
'QAACCOUNT: 可用资金不足 cash_available {} code {} time {} amount {} towards {}'
.format(self.cash_available, code, time, amount,
towards))
elif int(towards) in [-1, -2, -3]:
# 是卖出的情况(包括卖出，卖出开仓allow_sellopen如果允许. 卖出平仓)
# print(self.sell_available[code])
_hold = self.sell_available.get(code, 0) # _hold 是你的持仓
# 如果你的hold> amount>0
# 持仓数量>卖出数量
if _hold >= amount:
self.sell_available[code] -= amount
#towards = ORDER_DIRECTION.SELL
flag = True
# 如果持仓数量<卖出数量
else:
# 如果是允许卖空开仓 实际计算时 先减去持仓(正持仓) 再计算 负持仓 就按原先的占用金额计算
if self.allow_sellopen:
# left_amount = amount-_hold if _hold > 0 else amount # 如果仓位是反的
# _money = float(left_amount * price + amount *
# price*self.commission_coeff)
if towards == -2: # 卖开
if self.cash_available >= money: # 卖空的市值小于现金（有担保的卖空）， 不允许裸卖空
#self.cash_available -= money
flag = True
else:
print('sellavailable', _hold)
print('amount', amount)
print('aqureMoney', money)
print('cash', self.cash_available)
print("卖空资金不足/不允许裸卖空")
# else:
# print('资金股份不足/不允许卖空开仓')
if flag and amount > 0:
_order = QA_Order(user_cookie=self.user_cookie,
strategy=self.strategy_name,
frequence=self.frequence,
account_cookie=self.account_cookie,
code=code,
market_type=self.market_type,
date=date,
datetime=time,
sending_time=time,
callback=self.receive_deal,
amount=amount,
price=price,
order_model=order_model,
towards=towards,
money=money,
amount_model=amount_model,
commission_coeff=self.commission_coeff,
tax_coeff=self.tax_coeff,
*args,
**kwargs) # init
# 历史委托order状态存储， 保存到 QA_Order 对象中的队列中
self.datetime = time
self.orders.insert_order(_order)
return _order
else:
print('ERROR : CODE {} TIME {} AMOUNT {} TOWARDS {}'.format(
code, time, amount, towards))
return False
def send_order(self,
code=None,
amount=None,
time=None,
towards=None,
price=None,
money=None,
order_model=None,
amount_model=None):
"""
ATTENTION CHANGELOG 1.0.28
修改了Account的send_order方法, 区分按数量下单和按金额下单两种方式
- AMOUNT_MODEL.BY_PRICE ==> AMOUNT_MODEL.BY_MONEY # 按金额下单
- AMOUNT_MODEL.BY_AMOUNT # 按数量下单
在按金额下单的时候,应给予 money参数
在按数量下单的时候,应给予 amount参数
python code:
Account=QA.QA_Account()
Order_bymoney=Account.send_order(code='000001',
price=11,
money=0.3*Account.cash_available,
time='2018-05-09',
towards=QA.ORDER_DIRECTION.BUY,
order_model=QA.ORDER_MODEL.MARKET,
amount_model=QA.AMOUNT_MODEL.BY_MONEY
)
Order_byamount=Account.send_order(code='000001',
price=11,
amount=100,
time='2018-05-09',
towards=QA.ORDER_DIRECTION.BUY,
order_model=QA.ORDER_MODEL.MARKET,
amount_model=QA.AMOUNT_MODEL.BY_AMOUNT
)
:param code: 证券代码
:param amount: 买卖 数量多数股
:param time: Timestamp 对象 下单时间
:param towards: int , towards>0 买入 towards<0 卖出
:param price: 买入，卖出 标的证券的价格
:param money: 买卖 价格
:param order_model: 类型 QA.ORDER_MODE
:param amount_model:类型 QA.AMOUNT_MODEL
:return:
"""
assert code is not None and time is not None and towards is not None and order_model is not None and amount_model is not None
# 🛠todo 移到Utils类中， 时间转换
# date 字符串 2011-10-11 长度10
date = str(time)[0:10] if len(str(time)) == 19 else str(time)
# time 字符串 20011-10-11 09:02:00 长度 19
time = str(time) if len(str(time)) == 19 else '{} 09:31:00'.format(
str(time)[0:10])
# 🛠todo 移到Utils类中， amount_to_money 成交量转金额
# BY_MONEY :: amount --钱 如10000元 因此 by_money里面 需要指定价格,来计算实际的股票数
# by_amount :: amount --股数 如10000股
amount = amount if amount_model is AMOUNT_MODEL.BY_AMOUNT else int(
money / (price * (1 + self.commission_coeff)))
# 🛠todo 移到Utils类中， money_to_amount 金额转成交量
money = amount * price * \
(1+self.commission_coeff) if amount_model is AMOUNT_MODEL.BY_AMOUNT else money
# amount_model = AMOUNT_MODEL.BY_AMOUNT
# flag 判断买卖 数量和价格以及买卖方向是否正确
flag = False
assert (int(towards) != 0)
if int(towards) > 0:
# 是买入的情况(包括买入.买开.买平)
if self.cash_available >= money:
if self.market_type is MARKET_TYPE.STOCK_CN: # 如果是股票 买入的时候有100股的最小限制
amount = int(amount / 100) * 100
if self.running_environment == RUNNING_ENVIRONMENT.TZERO:
if self.buy_available.get(code, 0) >= amount:
flag = True
self.cash_available -= money
self.buy_available[code] -= amount
else:
flag = False
print('T0交易买入超出限额')
else:
self.cash_available -= money
flag = True
else:
print('可用资金不足 {} {} {} {}'.format(code, time, amount, towards))
elif int(towards) < 0:
# 是卖出的情况(包括卖出，卖出开仓allow_sellopen如果允许. 卖出平仓)
#print(self.sell_available[code])
if self.sell_available.get(code, 0) >= amount:
self.sell_available[code] -= amount
flag = True
elif self.allow_sellopen:
if self.cash_available > money: # 卖空的市值小于现金（有担保的卖空）， 不允许裸卖空
flag = True
else:
print("卖空资金不足/不允许裸卖空")
else:
print('资金股份不足/不允许卖空开仓')
if flag and amount > 0:
_order = QA_Order(user_cookie=self.user_cookie,
strategy=self.strategy_name,
frequence=self.frequence,
account_cookie=self.account_cookie,
code=code,
market_type=self.market_type,
date=date,
datetime=time,
sending_time=time,
callback=self.receive_deal,
amount=amount,
price=price,
order_model=order_model,
towards=towards,
money=money,
amount_model=amount_model,
commission_coeff=self.commission_coeff,
tax_coeff=self.tax_coeff) # init
# 历史委托order状态存储， 保存到 QA_Order 对象中的队列中
self.datetime = time
self.orders.insert_order(_order)
return _order
else:
print('ERROR : amount=0 {} {} {} {}'.format(
code, time, amount, towards))
return False
def send_order(self,
code=None,
amount=None,
time=None,
towards=None,
price=None,
money=None,
order_model=None,
amount_model=None):
"""
ATTENTION CHANGELOG 1.0.28
修改了Account的send_order方法, 区分按数量下单和按金额下单两种方式
- AMOUNT_MODEL.BY_PRICE ==> AMOUNT_MODEL.BY_MONEY # 按金额下单
- AMOUNT_MODEL.BY_AMOUNT # 按数量下单
在按金额下单的时候,应给予 money参数
在按数量下单的时候,应给予 amount参数
python code:
Account=QA.QA_Account()
Order_bymoney=Account.send_order(code='000001',
price=11,
money=0.3*Account.cash_available,
time='2018-05-09',
towards=QA.ORDER_DIRECTION.BUY,
order_model=QA.ORDER_MODEL.MARKET,
amount_model=QA.AMOUNT_MODEL.BY_MONEY
)
Order_byamount=Account.send_order(code='000001',
price=11,
amount=100,
time='2018-05-09',
towards=QA.ORDER_DIRECTION.BUY,
order_model=QA.ORDER_MODEL.MARKET,
amount_model=QA.AMOUNT_MODEL.BY_AMOUNT
)
:param code:
:param amount:
:param time:
:param towards:
:param price:
:param money:
:param order_model:
:param amount_model:
:return:
"""
assert code is not None and time is not None and towards is not None and order_model is not None and amount_model is not None
flag = False
date = str(time)[0:10] if len(str(time)) == 19 else str(time)
time = str(time) if len(str(time)) == 19 else '{} 09:31:00'.format(
str(time)[0:10])
# BY_MONEY :: amount --钱 如10000元 因此 by_money里面 需要指定价格,来计算实际的股票数
# by_amount :: amount --股数 如10000股
amount = amount if amount_model is AMOUNT_MODEL.BY_AMOUNT else int(
money / (price * (1 + self.commission_coeff)))
money = amount * price * \
(1+self.commission_coeff) if amount_model is AMOUNT_MODEL.BY_AMOUNT else money
# amount_model = AMOUNT_MODEL.BY_AMOUNT
if int(towards) > 0:
# 是买入的情况(包括买入.买开.买平)
if self.cash_available >= money:
self.cash_available -= money
if self.market_type is MARKET_TYPE.STOCK_CN: # 如果是股票 买入的时候有100股的最小限制
amount = int(amount / 100) * 100
flag = True
else:
print('可用资金不足')
elif int(towards) < 0:
if self.sell_available.get(code, 0) >= amount:
self.sell_available[code] -= amount
flag = True
elif self.allow_sellopen:
if self.cash_available > money: # 卖空的市值小于现金
flag = True
else:
print('资金股份不足/不允许卖空开仓')
if flag and amount > 0:
_order = QA_Order(user_cookie=self.user_cookie,
strategy=self.strategy_name,
frequence=self.frequence,
account_cookie=self.account_cookie,
code=code,
market_type=self.market_type,
date=date,
datetime=time,
sending_time=time,
callback=self.receive_deal,
amount=amount,
price=price,
order_model=order_model,
towards=towards,
money=money,
amount_model=amount_model,
commission_coeff=self.commission_coeff,
tax_coeff=self.tax_coeff) # init
self.orders.insert_order(_order) # order状态存储
return _order
else:
print('ERROR : amount=0')
return False
def send_order(self,
code=None,
amount=None,
time=None,
towards=None,
price=None,
money=None,
order_model=None,
amount_model=None):
"""[summary]
Arguments:
code {[type]} -- [description]
amount {[type]} -- [description]
time {[type]} -- [description]
towards {[type]} -- [description]
price {[type]} -- [description]
order_model {[type]} -- [description]
amount_model {[type]} -- [description]
Returns:
[type] -- [description]
ATTENTION CHANGELOG 1.0.28
修改了Account的send_order方法, 区分按数量下单和按金额下单两种方式
- AMOUNT_MODEL.BY_PRICE ==> AMOUNT_MODEL.BY_MONEY # 按金额下单
- AMOUNT_MODEL.BY_AMOUNT # 按数量下单
在按金额下单的时候,应给予 money参数
在按数量下单的时候,应给予 amount参数
```python
Account=QA.QA_Account()
Order_bymoney=Account.send_order(code='000001',
price=11,
money=0.3*Account.cash_available,
time='2018-05-09',
towards=QA.ORDER_DIRECTION.BUY,
order_model=QA.ORDER_MODEL.MARKET,
amount_model=QA.AMOUNT_MODEL.BY_MONEY
)
Order_byamount=Account.send_order(code='000001',
price=11,
amount=100,
time='2018-05-09',
towards=QA.ORDER_DIRECTION.BUY,
order_model=QA.ORDER_MODEL.MARKET,
amount_model=QA.AMOUNT_MODEL.BY_AMOUNT
)
```
"""
assert code is not None and time is not None and towards is not None and order_model is not None and amount_model is not None
flag = False
date = str(time)[0:10] if len(str(time)) == 19 else str(time)
time = str(time) if len(str(time)) == 19 else '{} 09:31:00'.format(
str(time)[0:10])
# BY_MONEY :: amount --钱 如10000元 因此 by_money里面 需要指定价格,来计算实际的股票数
# by_amount :: amount --股数 如10000股
amount = amount if amount_model is AMOUNT_MODEL.BY_AMOUNT else int(
money / (price * (1 + self.commission_coeff)))
if self.market_type is MARKET_TYPE.STOCK_CN:
amount = int(amount / 100) * 100
money = amount * price * (1 + self.commission_coeff)
amount_model = AMOUNT_MODEL.BY_AMOUNT
if int(towards) > 0:
# 是买入的情况(包括买入.买开.买平)
if self.cash_available >= money:
self.cash_available -= money
flag = True
elif int(towards) < 0:
if self.allow_sellopen:
flag = True
if self.sell_available.get(code, 0) >= amount:
self.sell_available[code] -= amount
flag = True
if flag and amount > 0:
return QA_Order(user_cookie=self.user_cookie,
strategy=self.strategy_name,
frequence=self.frequence,
account_cookie=self.account_cookie,
code=code,
market_type=self.market_type,
date=date,
datetime=time,
sending_time=time,
callback=self.receive_deal,
amount=amount,
price=price,
order_model=order_model,
towards=towards,
amount_model=amount_model) # init
else:
return False