def cross_order(self, order: OrderData, tick: TickData):
""""""
contract = self.main_engine.get_contract(order.vt_symbol)
trade_price = 0
# Cross market order immediately after received
if order.type == OrderType.MARKET:
if order.direction == Direction.LONG:
trade_price = tick.ask_price_1 + self.trade_slippage * contract.pricetick
else:
trade_price = tick.bid_price_1 - self.trade_slippage * contract.pricetick
# Cross limit order only if price touched
elif order.type == OrderType.LIMIT:
if order.direction == Direction.LONG:
if order.price >= tick.ask_price_1:
trade_price = tick.ask_price_1
else:
if order.price <= tick.bid_price_1:
trade_price = tick.bid_price_1
# Cross limit order only if price broken
elif order.type == OrderType.STOP:
if order.direction == Direction.LONG:
if tick.ask_price_1 >= order.price:
trade_price = tick.ask_price_1 + self.trade_slippage * contract.pricetick
else:
if tick.bid_price_1 <= order.price:
trade_price = tick.bid_price_1 - self.trade_slippage * contract.pricetick
if trade_price:
order.status = Status.ALLTRADED
order.traded = order.volume
self.put_event(EVENT_ORDER, order)
trade = TradeData(
symbol=order.symbol,
exchange=order.exchange,
orderid=order.orderid,
tradeid=order.orderid,
direction=order.direction,
offset=order.offset,
price=trade_price,
volume=order.volume,
datetime=datetime.now(LOCAL_TZ),
gateway_name=order.gateway_name
)
self.put_event(EVENT_TRADE, trade)
self.update_position(trade, contract)
def check_order_valid(self, order: OrderData, contract: ContractData) -> Optional[PositionData]:
""""""
# Reject unsupported order type
if order.type in {OrderType.FAK, OrderType.FOK, OrderType.RFQ}:
order.status = Status.REJECTED
elif order.type == OrderType.STOP and not contract.stop_supported:
order.status = Status.REJECTED
if order.status == Status.REJECTED:
self.write_log(f"委托被拒单，不支持的委托类型{order.type.value}")
# Reject close order if no more available position
if contract.net_position or order.offset == Offset.OPEN:
return
if order.direction == Direction.LONG:
short_position = self.get_position(order.vt_symbol, Direction.SHORT)
available = short_position.volume - short_position.frozen
if order.volume > available:
order.status = Status.REJECTED
else:
short_position.frozen += order.volume
return short_position
else:
long_position = self.get_position(order.vt_symbol, Direction.LONG)
available = long_position.volume - long_position.frozen
if order.volume > available:
order.status = Status.REJECTED
else:
long_position.frozen += order.volume
return long_position
if order.status == Status.REJECTED:
self.write_log(f"委托被拒单，可平仓位不足")