def on_order(self, order: OrderData):
"""
Callback of new order data update.
"""
if order.status == Status.ALLTRADED:
if order.vt_orderid in self.buy_orders:
self.buy_orders.remove(order.vt_orderid)
if order.vt_orderid in self.sell_orders:
self.sell_orders.remove(order.vt_orderid)
self.cancel_all()
print(f"订单买卖单完全成交, 先撤销所有订单")
self.last_filled_order = order
# tick 存在且仓位数量还没有达到设置的最大值.
if self.tick and abs(self.pos) < self.max_size * self.trading_size:
step = self.get_step()
buy_price = order.price - step * self.grid_step
sell_price = order.price + step * self.grid_step
buy_price = min(self.tick.bid_price_1 * (1 - 0.0001),
buy_price) # marker
sell_price = max(self.tick.ask_price_1 * (1 + 0.0001),
sell_price)
buy_ids = self.buy(buy_price, self.trading_size)
sell_ids = self.sell(sell_price, self.trading_size)
self.buy_orders.extend(buy_ids)
self.sell_orders.extend(sell_ids)
print(
f"订单完全成交, 分别下双边网格: BUY: {buy_ids}@{buy_price}, SELL: {sell_ids}@{sell_price}"
)
if not order.is_active():
if order.vt_orderid in self.buy_orders:
self.buy_orders.remove(order.vt_orderid)
elif order.vt_orderid in self.sell_orders:
self.sell_orders.remove(order.vt_orderid)
self.put_event()
def on_order(self, order: OrderData):
"""
Callback of new order data update.
"""
if order.status == Status.ALLTRADED:
if order.direction == Direction.LONG:
# 买单成交.
self.current_increase_pos_times += 1
self.last_entry_price = order.price # 记录上一次成绩的价格.
if not order.is_active():
if order.vt_orderid in self.sell_orders:
self.sell_orders.remove(order.vt_orderid)
elif order.vt_orderid in self.buy_orders:
self.buy_orders.remove(order.vt_orderid)
self.put_event() # 更新UI使用.
def on_order(self, order: OrderData):
"""
Callback of new order data update.
"""
self.position.update_position(order)
self.current_pos = self.position.pos
self.avg_price = self.position.avg_price
if order.vt_orderid in self.long_orders:
if order.status == Status.ALLTRADED:
self.long_orders.remove(order.vt_orderid)
print("多头成交，撤销空头订单和止盈订单")
for vt_id in (self.short_orders + self.profit_orders):
self.cancel_order(vt_id)
self.last_filled_order = order
if self.position.pos > 0:
if abs(self.position.pos
) < self.trading_size * self.max_pos:
if not self.tick:
return
step = self.get_step()
price = order.price - self.grid_step * step
price = min(price,
self.tick.bid_price_1 * (1 - 0.0001))
ids = self.buy(price, self.trading_size)
self.long_orders.extend(ids)
print(f"多头仓位继续下多头订单: {ids}@{price}")
elif order.status in [Status.REJECTED, Status.CANCELLED]:
self.long_orders.remove(order.vt_orderid)
elif order.vt_orderid in self.short_orders:
if order.status == Status.ALLTRADED:
self.short_orders.remove(order.vt_orderid)
print("空头成交，撤销多头订单和止盈订单")
for vt_id in (self.long_orders + self.profit_orders):
self.cancel_order(vt_id)
self.last_filled_order = order
if self.position.pos < 0:
if abs(self.position.pos
) < self.trading_size * self.max_pos:
if not self.tick:
return
step = self.get_step()
price = order.price + self.grid_step * step
price = max(price,
self.tick.ask_price_1 * (1 + 0.0001))
ids = self.short(price, self.trading_size)
self.short_orders.extend(ids)
print(f"空头仓位继续下空头订单: {ids}@{price}")
elif order.status in [Status.REJECTED, Status.CANCELLED]:
self.short_orders.remove(order.vt_orderid) # remove orderid
elif order.vt_orderid in self.stop_orders:
if not order.is_active():
self.stop_orders.remove(order.vt_orderid)
elif order.vt_orderid in self.profit_orders:
if not order.is_active():
self.profit_orders.remove(order.vt_orderid)
self.put_event()
def on_order(self, order: OrderData):
"""
Callback of new order data update.
"""
self.position_calculator.update_position(order)
self.current_pos = self.position_calculator.pos
self.avg_price = self.position_calculator.avg_price
if order.status == Status.ALLTRADED:
if order.vt_orderid in (self.long_orders + self.short_orders):
if order.vt_orderid in self.long_orders:
self.long_orders.remove(order.vt_orderid)
if order.vt_orderid in self.short_orders:
self.short_orders.remove(order.vt_orderid)
self.cancel_all()
print(f"订单买卖单完全成交, 先撤销所有订单")
self.last_filled_order = order
if abs(self.position_calculator.pos) < self.trading_size:
print("仓位为零， 需要重新开始.")
return
# tick 存在且仓位数量还没有达到设置的最大值.
if self.tick and abs(self.position_calculator.pos) < self.max_pos * self.trading_size:
buy_step = self.get_step()
sell_step = self.get_step()
# 解决步长的问题.
buy_price = order.price - buy_step * self.grid_step
sell_price = order.price + sell_step * self.grid_step
buy_price = min(self.tick.bid_price_1 * (1 - 0.0001), buy_price)
sell_price = max(self.tick.ask_price_1 * (1 + 0.0001), sell_price) # BUSD
long_ids = self.buy(buy_price, self.trading_size)
short_ids = self.sell(sell_price, self.trading_size)
self.long_orders.extend(long_ids)
self.short_orders.extend(short_ids)
print(
f"订单完全成交, 分别下双边网格: LONG: {self.long_orders}:{buy_price}, SHORT: {self.short_orders}:{sell_price}")
elif order.vt_orderid in self.profit_orders:
self.profit_orders.remove(order.vt_orderid)
if abs(self.position_calculator.pos) < self.trading_size:
self.cancel_all()
print(f"止盈单子成交,且仓位为零, 先撤销所有订单，然后重新开始")
elif order.vt_orderid in self.stop_orders:
self.stop_orders.remove(order.vt_orderid)
if abs(self.position_calculator.pos) < self.trading_size:
self.trigger_stop_loss = True
self.cancel_all()
print("止损单子成交，且仓位为零, 先撤销所有订单，然后重新开始")
if not order.is_active():
if order.vt_orderid in self.long_orders:
self.long_orders.remove(order.vt_orderid)
elif order.vt_orderid in self.short_orders:
self.short_orders.remove(order.vt_orderid)
elif order.vt_orderid in self.profit_orders:
self.profit_orders.remove(order.vt_orderid)
elif order.vt_orderid in self.stop_orders:
self.stop_orders.remove(order.vt_orderid)
self.put_event()