def place_order(self,
symbol,
action,
price,
size,
algo="",
algo_param=None,
userdata=""):
if algo_param is None:
algo_param = dict()
# this order object is not for TradeApi, but for strategy itself to remember the order
order = Order.new_order(symbol, action, price, size,
self.ctx.trade_date, 0)
order.entrust_no = self._get_next_num('entrust_no')
task = Task(self._get_next_task_no(),
algo=algo,
algo_param=algo_param,
data=order,
function_name="place_order")
self.ctx.pm.add_task(task)
# self.task_id_map[order.task_id].append(order.entrust_no)
# self.pm.add_order(order)
e = Event(EVENT_TYPE.PLACE_ORDER)
e.dic['task'] = task
self.publish_event(e)
def on_task_status(self, ind_dic):
# print("\nGateway on task ind: ")
# print(ind_dic)
ind = TaskInd.create_from_dict(ind_dic)
ind.task_no = self._task_no_id_map[ind.task_id]
e = Event(EVENT_TYPE.TASK_STATUS_IND)
e.dic['ind'] = ind
self.ctx.instance.put(e)
def _generate_on_task_rsp(self, task_no, task_id, msg):
# this rsp is generated by gateway itself
rsp = TaskRsp(task_no=task_no, task_id=task_id, msg=msg)
if rsp.success:
self._task_no_id_map[task_id] = task_no
# DEBUG
print("\nGateway generate task_rsp {}".format(rsp))
e = Event(EVENT_TYPE.TASK_RSP)
e.dic['rsp'] = rsp
self.ctx.instance.put(e)
def goal_portfolio(self, positions, algo="", algo_param=None, userdata=""):
if algo_param is None:
algo_param = dict()
task = Task(self._get_next_task_no(),
data=positions,
algo=algo,
algo_param=algo_param,
function_name="goal_portfolio")
self.ctx.pm.add_task(task)
e = Event(EVENT_TYPE.GOAL_PORTFOLIO)
e.dic['task'] = task
self.publish_event(e)
def on_order_status(self, ind_dic):
"""
Parameters
----------
ind_dic : dict
"""
# print("\nGateway on order status: ")
# print(ind_dic)
if 'security' in ind_dic:
ind_dic['symbol'] = ind_dic.pop('security')
ind = OrderStatusInd.create_from_dict(ind_dic)
ind.task_no = self._task_no_id_map[ind.task_id]
e = Event(EVENT_TYPE.ORDER_STATUS_IND)
e.dic['ind'] = ind
self.ctx.instance.put(e)
def on_trade(self, ind_dic):
"""
Parameters
----------
ind_dic : dict
"""
# print("\nGateway on trade: ")
# print(ind_dic)
if 'security' in ind_dic:
ind_dic['symbol'] = ind_dic.pop('security')
ind = Trade.create_from_dict(ind_dic)
ind.task_no = self._task_no_id_map[ind.task_id]
e = Event(EVENT_TYPE.TRADE_IND)
e.dic['ind'] = ind
self.ctx.instance.put(e)
def on_connection_callback(self, connected):
"""
Parameters
----------
connected : bool
"""
if connected:
print("TradeAPI connected.")
event_type = EVENT_TYPE.TRADE_API_CONNECTED
else:
print("TradeAPI disconnected.")
event_type = EVENT_TYPE.TRADE_API_DISCONNECTED
e = Event(event_type)
self.ctx.instance.put(e)
def mkt_data_callback(self, key, quote):
e = Event(EVENT_TYPE.MARKET_DATA)
# print quote
e.dic = {'quote': quote}
self.ctx.instance.put(e)
def query_trade(self, task_id=-1, userdata=""):
args = locals()
e = Event(EVENT_TYPE.QUERY_TRADE)
e.dic['args'] = args
self.publish_event(e)
def query_order(self, task_id=-1, userdata=""):
args = locals()
e = Event(EVENT_TYPE.QUERY_ORDER)
e.dic['args'] = args
self.publish_event(e)
def query_portfolio_async(self, userdata=""):
args = locals()
e = Event(EVENT_TYPE.QUERY_PORTFOLIO)
e.dic['args'] = args
self.publish_event(e)
def query_position_async(self, mode="all", symbols="", userdata=""):
args = locals()
e = Event(EVENT_TYPE.QUERY_POSITION)
e.dic['args'] = args
e.dic['securities'] = e.dic.pop['symbols']
self.publish_event(e)
def query_universe_async(self, userdata=""):
args = locals()
e = Event(EVENT_TYPE.QUERY_UNIVERSE)
e.dic['args'] = args
self.publish_event(e)
def query_account_async(self, userdata=""):
args = locals()
e = Event(EVENT_TYPE.QUERY_ACCOUNT)
e.dic['args'] = args
self.publish_event(e)
def cancel_order(self, entrust_no):
e = Event(EVENT_TYPE.CANCEL_ORDER)
e.dic['entrust_no'] = entrust_no
self.publish_event(e)
def mkt_data_callback(self, key, quote):
e = Event(EVENT_TYPE.MARKET_DATA)
# print quote
e.dic = {'quote': quote}
if (self.ctx is not None) and (self.ctx.instance is not None):
self.ctx.instance.put(e)