def commitOrderExecution(self, order, dateTime, fillInfo):
price = fillInfo.getPrice()
quantity = fillInfo.getQuantity()
if order.isBuy():
cost = price * quantity * -1
assert (cost < 0)
sharesDelta = quantity
elif order.isSell():
cost = price * quantity
assert (cost > 0)
sharesDelta = quantity * -1
else: # Unknown action
assert (False)
commission = self.getCommission().calculate(order, price, quantity)
cost -= commission
resultingCash = self.getCash() + cost
# Check that we're ok on cash after the commission.
if resultingCash >= 0 or self.__allowNegativeCash:
# Update the order before updating internal state since addExecutionInfo may raise.
# addExecutionInfo should switch the order state.
orderExecutionInfo = broker.OrderExecutionInfo(
price, quantity, commission, dateTime)
order.addExecutionInfo(orderExecutionInfo)
# Commit the order execution.
self.__cash = resultingCash
updatedShares = order.getInstrumentTraits().roundQuantity(
self.getShares(order.getInstrument()) + sharesDelta)
if updatedShares == 0:
del self.__shares[order.getInstrument()]
else:
self.__shares[order.getInstrument()] = updatedShares
# Let the strategy know that the order was filled.
self.__fillStrategy.onOrderFilled(self, order)
# Notify the order update
if order.isFilled():
self._unregisterOrder(order)
self.notifyOrderEvent(
broker.OrderEvent(order, broker.OrderEvent.Type.FILLED,
orderExecutionInfo))
elif order.isPartiallyFilled():
self.notifyOrderEvent(
broker.OrderEvent(order,
broker.OrderEvent.Type.PARTIALLY_FILLED,
orderExecutionInfo))
else:
assert (False)
else:
self.__logger.debug(
"Not enough cash to fill %s order [%s] for %s share/s" %
(order.getInstrument(), order.getId(), order.getRemaining()))
def _onUserTrades(self, trades):
for trade in trades:
order = self.__activeOrders.get(trade.getOrderId())
if order is not None:
fee = trade.getFee()
fillPrice = trade.getBTCUSD()
btcAmount = trade.getBTC()
dateTime = trade.getDateTime()
# Update cash and shares.
self.refreshAccountBalance()
# Update the order.
orderExecutionInfo = broker.OrderExecutionInfo(
fillPrice, abs(btcAmount), fee, dateTime)
order.addExecutionInfo(orderExecutionInfo)
if not order.isActive():
self._unregisterOrder(order)
# Notify that the order was updated.
if order.isFilled():
eventType = broker.OrderEvent.Type.FILLED
else:
eventType = broker.OrderEvent.Type.PARTIALLY_FILLED
self.notifyOrderEvent(
broker.OrderEvent(order, eventType, orderExecutionInfo))
else:
common.logger.info(
"Trade %d refered to order %d that is not active" %
(trade.getId(), trade.getOrderId()))
def cancelOrder(self, order):
activeOrder = self.__activeOrders.get(order.getId())
if activeOrder is None:
raise Exception("The order is not active anymore")
if activeOrder.isFilled():
raise Exception("Can't cancel order that has already been filled")
self._unregisterOrder(activeOrder)
activeOrder.switchState(broker.Order.State.CANCELED)
self.notifyOrderEvent(
broker.OrderEvent(activeOrder, broker.OrderEvent.Type.CANCELED,
"User requested cancellation"))
def submitOrder(self, order):
if order.isInitial():
order.setSubmitted(self._getNextOrderId(),
self._getCurrentDateTime())
self._registerOrder(order)
# Switch from INITIAL -> SUBMITTED
order.switchState(broker.Order.State.SUBMITTED)
self.notifyOrderEvent(
broker.OrderEvent(order, broker.OrderEvent.Type.SUBMITTED,
None))
else:
raise Exception("The order was already processed")
def _onOrderAction(self, msg_dict):
order = self.__activeOrders.get(msg_dict['order_id'])
if msg_dict['action'] == 'canceled':
self._unregisterOrder(order)
order.switchState(broker.Order.State.CANCELED)
# Notify that the order was canceled.
self.notifyOrderEvent(
broker.OrderEvent(order, broker.OrderEvent.Type.CANCELED,
"User requested cancellation"))
# Update cash and shares.
self.__api.qryAccount()
# Update position.
self.__api.qryPosition()
def __postProcessOrder(self, order, bar_):
# For non-GTC orders and daily (or greater) bars we need to check if orders should expire right now
# before waiting for the next bar.
if not order.getGoodTillCanceled():
expired = False
if self.__barFeed.getFrequency() >= engine.bar.Frequency.DAY:
expired = bar_.getDateTime().date(
) >= order.getAcceptedDateTime().date()
# Cancel the order if it will expire in the next bar.
if expired:
self._unregisterOrder(order)
order.switchState(broker.Order.State.CANCELED)
self.notifyOrderEvent(
broker.OrderEvent(order, broker.OrderEvent.Type.CANCELED,
"Expired"))
def __preProcessOrder(self, order, bar_):
ret = True
# For non-GTC orders we need to check if the order has expired.
if not order.getGoodTillCanceled():
expired = bar_.getDateTime().date() > order.getAcceptedDateTime(
).date()
# Cancel the order if it is expired.
if expired:
ret = False
self._unregisterOrder(order)
order.switchState(broker.Order.State.CANCELED)
self.notifyOrderEvent(
broker.OrderEvent(order, broker.OrderEvent.Type.CANCELED,
"Expired"))
return ret
def cancelOrder(self, order):
activeOrder = self.__activeOrders.get(order.getId())
if activeOrder is None:
raise Exception("The order is not active anymore")
if activeOrder.isFilled():
raise Exception("Can't cancel order that has already been filled")
self.__httpClient.cancelOrder(order.getId())
self._unregisterOrder(order)
order.switchState(broker.Order.State.CANCELED)
# Update cash and shares.
self.refreshAccountBalance()
# Notify that the order was canceled.
self.notifyOrderEvent(
broker.OrderEvent(order, broker.OrderEvent.Type.CANCELED,
"User requested cancellation"))
def __onBarsImpl(self, order, bars):
# IF WE'RE DEALING WITH MULTIPLE INSTRUMENTS WE SKIP ORDER PROCESSING IF THERE IS NO BAR FOR THE ORDER'S
# INSTRUMENT TO GET THE SAME BEHAVIOUR AS IF WERE BE PROCESSING ONLY ONE INSTRUMENT.
bar_ = bars.getBar(order.getInstrument())
if bar_ is not None:
# Switch from SUBMITTED -> ACCEPTED
if order.isSubmitted():
order.setAcceptedDateTime(bar_.getDateTime())
order.switchState(broker.Order.State.ACCEPTED)
self.notifyOrderEvent(
broker.OrderEvent(order, broker.OrderEvent.Type.ACCEPTED,
None))
if order.isActive():
# This may trigger orders to be added/removed from __activeOrders.
self.__processOrder(order, bar_)
else:
# If an order is not active it should be because it was canceled in this same loop and it should
# have been removed.
assert (order.isCanceled())
assert (order not in self.__activeOrders)
def _onUserTrades(self, msg_dict):
print "_onUserTrades"
order = self.__activeOrders.get(msg_dict['order_id'])
if order is not None:
commision = self.getInstrumentTraits().getCommission(
msg_dict['instrument_id'])
fill_price = msg_dict['price']
volume = msg_dict['volume']
datetime = msg_dict['datetime']
# Update the order.
orderExecutionInfo = broker.OrderExecutionInfo(
fill_price, abs(volume), commision, datetime)
order.addExecutionInfo(orderExecutionInfo)
if not order.isActive():
self._unregisterOrder(order)
# Notify that the order was updated.
if order.isFilled():
eventType = broker.OrderEvent.Type.FILLED
else:
eventType = broker.OrderEvent.Type.PARTIALLY_FILLED
self.notifyOrderEvent(
broker.OrderEvent(order, eventType, orderExecutionInfo))
print msg_dict
self.__TradeDetailDB.update(
{'strategy_id': find_strategy(get_task_id())},
msg_dict,
upsert=True)
# Update cash and shares.
self.__api.qryAccount()
# Update position.
self.__api.qryPosition()
else:
logger.info("Trade %d refered to order %d that is not active" %
(int(msg_dict['trade_id']), int(msg_dict['order_id'])))
def dispatch(self):
# Switch orders from SUBMITTED to ACCEPTED.
ordersToProcess = self.__activeOrders.values()
for order in ordersToProcess:
if order.isSubmitted():
order.switchState(broker.Order.State.ACCEPTED)
self.notifyOrderEvent(
broker.OrderEvent(order, broker.OrderEvent.Type.ACCEPTED,
None))
# Dispatch events from the trade monitor.
try:
eventType, eventData = self.__tradeMonitor.getQueue().get(
True, LiveBroker.QUEUE_TIMEOUT)
if eventType == TradeMonitor.ON_USER_TRADE:
self._onUserTrades(eventData)
else:
common.logger.error(
"Invalid event received to dispatch: %s - %s" %
(eventType, eventData))
except Queue.Empty:
pass
def dispatch(self):
# Switch orders from SUBMITTED to ACCEPTED.
ordersToProcess = self.__activeOrders.values()
for order in ordersToProcess:
if order.isSubmitted():
order.switchState(broker.Order.State.ACCEPTED)
self.notifyOrderEvent(
broker.OrderEvent(order, broker.OrderEvent.Type.ACCEPTED,
None))
# Dispatch events from the trade monitor.
while self.__msg_queue.qsize() > 0:
msg = self.__msg_queue.get(True, LiveBroker.QUEUE_TIMEOUT)
if msg['event_type'] == CTPTdApi.EventType.ON_TRADE:
self._onUserTrades(msg)
elif msg['event_type'] == CTPTdApi.EventType.ON_QUERY_ACCOUNT:
self.refreshAccountBalance(msg)
elif msg['event_type'] == CTPTdApi.EventType.ON_ORDER_ACTION:
self._onOrderAction(msg)
elif msg['event_type'] == CTPTdApi.EventType.ON_QUERY_POSITION:
self.refreshStrategInfo(msg)
else:
pass
