def cancel_order(self, order_number, code, amount):
logger.print('Cancel Order', order_number, code, amount)
self.obj.SetInputValue(1, order_number)
self.obj.SetInputValue(2, self.account_num)
self.obj.SetInputValue(3, self.account_type)
self.obj.SetInputValue(4, code)
self.obj.SetInputValue(5, 0) # 0이면 전량 취소 0, 일단 0으로 고정
while True:
ret = self.obj.BlockRequest()
if ret == 0:
break
elif ret == 4:
if self.conn.request_left_count() <= 0:
time.sleep(self.conn.get_remain_time() / 1000)
continue
else:
logger.error('TD0314 Cancel Order Failed')
return
if self.obj.GetDibStatus() != 0:
logger.error('TD0314 Cancel Order Status Error',
self.obj.GetDibMsg1())
return False
return True
def _check_on_market_queue(self):
logger.print('check on market queue', len(self.on_market_queue))
if len(self.on_market_queue) == 0: # Try to avoid to call blockrequest
return
orders = self.order_in_queue.request()
# Use Cp5339 and verify not traded items
for k, v in self.on_market_queue.items():
if v['order_modify_type'] == OrderTransaction.NORMAL and datetime.now() - v['date'] > timedelta(seconds=8):
in_bills = None
for order in orders:
if order['number'] == v['order_number']:
in_bills = order
break
if in_bills is None:
logger.error('Cannot find matched item in bills')
continue
if v['order_type']: # BUY
cancel_order = CancelOrder(self.account_num, self.account_type)
record_cancel_order(k, v.copy())
cancel_order.cancel_order(v['order_number'], k, 0)
v['order_modify_type'] = OrderTransaction.CANCEL
else:
# modify order to sell immediately
modify_order = ModifyOrder(self.account_num, self.account_type)
record_modify_order(k, v.copy())
order_new_num = modify_order.modify_order(v['order_number'], k, 0, self.account_obj.get_ask_price(k, 4))
order['number'] = order_new_num
v['order_modify_type'] = OrderTransaction.MODIFY
def handle_traded(self, code, is_buy, result):
logger.print('handle_traded', code, is_buy)
if code in self.on_market_queue:
on_market_item = self.on_market_queue[code]
traded_quantity = result['quantity']
if on_market_item['quantity'] == traded_quantity:
if is_buy:
if code in self.long_list: # Partiallty traded and done
self.long_list[code] += traded_quantity
else:
self.long_list[code] = traded_quantity
self.on_market_queue.pop(code, None)
else:
self.long_list.pop(code, None)
self.on_market_queue.pop(code, None)
else:
if code not in self.long_list:
self.long_list[code] = 0
if is_buy:
self.long_list[code] += traded_quantity
else:
self.long_list[code] -= traded_quantity
on_market_item['quantity'] -= traded_quantity
QTimer.singleShot(10000, self._check_on_market_queue)
else:
logger.error('code is not in on market queue', code)
def modify_order(self, order_number, code, amount, price):
self.obj.SetInputValue(1, order_number)
self.obj.SetInputValue(2, self.account_num)
self.obj.SetInputValue(3, self.account_type)
self.obj.SetInputValue(4, code)
self.obj.SetInputValue(5, 0) # 0인 경우 전량 정정임
self.obj.SetInputValue(6, price)
while True:
ret = self.obj.BlockRequest()
if ret == 0:
break
elif ret == 4:
if self.conn.request_left_count() <= 0:
time.sleep(self.conn.get_remain_time() / 1000)
continue
else:
logger.error('TD0313 Modify Order Failed')
return
if self.obj.GetDibStatus() != 0:
logger.error('TD0313 Modify Order Status Error',
self.obj.GetDibMsg1())
return 0
return self.obj.GetHeaderValue(7) # 새로운 주문 번호
def _check_order_wait_queue(self):
logger.print('check order wait timeout')
remove_keys = []
for k, v in self.order_wait_queue.items():
if datetime.now() - v['date'] > timedelta(seconds=8):
logger.error('Order queue not processed(will be removed)', k)
remove_keys.append(k)
for k in remove_keys:
logger.print('remove key', k)
self.order_wait_queue.pop(k, None)
def handle_edited(self, code, is_buy, result):
logger.print('handle_edited', code, is_buy)
if code in self.on_market_queue:
on_market_item = self.on_market_queue[code]
if on_market_item['order_modify_type'] == OrderTransaction.CANCEL:
if on_market_item['order_number'] != result['order_num']:
logger.error('TODO order number is not matched')
self.on_market_queue.pop(code, None)
elif on_market_item['order_modify_type'] == OrderTransaction.MODIFY:
logger.print('ORDER MODIFY SUCCESS', str(result))
else:
logger.error('code is not in on market queue(editied)', code)
def handle_queued(self, code, is_buy, result):
logger.print('handle_queued', code, is_buy)
if code in self.order_wait_queue:
order_wait_item = self.order_wait_queue[code]
if result['quantity'] == order_wait_item['quantity'] and is_buy == order_wait_item['order_type']:
self.on_market_queue[code] = {'date': order_wait_item['date'],
'order_type': is_buy,
'order_number': result['order_number'],
'quantity': result['quantity'],
'price': result['price'],
'order_modify_type': OrderTransaction.NORMAL}
self.order_wait_queue.pop(code, None)
QTimer.singleShot(10000, self._check_on_market_queue)
else:
logger.error('wait queue and order event differ',
result['quantity'], order_wait_item['quantity'],
is_buy, order_wait_item['order_type'])
else:
logger.error('code is not in order wait queue', code)
def make_order(self, code, price, quantity, is_buy):
if not is_buy:
if code in self.long_list:
quantity = self.long_list[code]
else:
logger.error(code, 'is not int long_list')
return
record_make_order(code, price, quantity, is_buy)
status, msg = self.order.process(code, quantity, self.account_num,
self.account_type, price, is_buy)
if status != 0:
logger.error(code, 'process error', code, price, quantity, is_buy, msg)
else:
logger.print('ORDER process', code, msg)
self.order_wait_queue[code] = {
'date': datetime.now(), 'order_type': is_buy,
'quantity': quantity, 'price': price}
QTimer.singleShot(10000, self._check_order_wait_queue)
def transaction(self, msg):
buy, code, price = msg['result'], msg['target'], msg['value']
price = int(price)
if code not in self.bidask_table:
logger.error(code, 'is not in BIDASK Table')
return
bidask_str = 'ask' if buy else 'bid'
process_price = self.bidask_table[code][bidask_str][4]
# does not support split selling
quantity = int(self.get_one_shot_amount() /
process_price) if buy else 0
if buy and quantity == 0:
logger.error('not enough to buy shares', self.one_shot_amount,
process_price)
else:
self.order_transaction.make_order(code, process_price, quantity,
buy)
return process_price, quantity
return 0, 0
def _td5339(self):
orders = []
while True:
try:
ret = self.obj.BlockRequest()
except com_error:
logger.error('TD5339 BlockRequest Error')
return []
if self.obj.GetDibStatus() != 0:
logger.error('TD5339 failed')
return []
elif ret == 2 or ret == 3:
logger.error('TD5339 communication failed')
return []
while ret == 4:
if self.conn.request_left_count() <= 0:
time.sleep(self.conn.get_remain_time() / 1000)
ret = self.obj.BlockRequest()
count = self.obj.GetHeaderValue(5)
for i in range(count):
order = dict()
order['number'] = self.obj.GetDataValue(1, i)
order['prev'] = self.obj.GetDataValue(2, i) # 원주문 번호?
order['code'] = self.obj.GetDataValue(3, i)
order['name'] = self.obj.GetDataValue(4, i)
order['desc'] = self.obj.GetDataValue(5, i)
order['quantity'] = self.obj.GetDataValue(6, i)
order['price'] = self.obj.GetDataValue(7, i)
order['traded_quantity'] = self.obj.GetDataValue(8, i) # 체결수량
order['credit_type'] = self.obj.GetDataValue(9, i) # 신용구분
order['edit_available_quantity'] = self.obj.GetDataValue(11, i) #정정취소 가능수량
order['is_buy'] = self.obj.GetDataValue(13, i) # 매매구분코드
order['credit_date'] = self.obj.GetDataValue(17, i) # 대출일
order['flag_describe'] = self.obj.GetDataValue(19, i) # 주문호가구분코드 내용
order['flag'] = self.obj.GetDataValue(21, i) # 주문호가구분코드
logger.print('ORDER IN QUEUE', order)
orders.append(order)
if self.obj.Continue == False:
break
return orders
def get_ask_price(self, code, n_th):
if code not in self.bidask_table or n_th > 4:
logger.error(code, n_th, ' get_ask_price error')
return 0
return self.bidask_table[code]['ask'][n_th]
def received(self, datas):
for d in datas:
current = d['date']
if self.current_datetime is None:
self.current_datetime = current
if (current.hour >= 9 and current.minute > 2) and (
current.hour <= 15
and current.minute < 20) and d['market_type'] == ord('1'):
self.is_vi = True
else:
self.is_vi = False
if current.minute != self.current_datetime.minute:
dt = self.current_datetime
year, month, day, hour, minute = dt.year, dt.month, dt.day, dt.hour, dt.minute
if len(self.ticks) == 0:
logger.error('ticks len is 0', d['target'], current.minute,
self.current_datetime.minute)
self.ticks.append(d)
else:
start_price = self.ticks[0]['current_price']
if self.is_first_tick:
self.is_first_tick = False
start_price = self.ticks[0][
'current_price'] - self.ticks[0]['yesterday_diff']
min_data = {
'date':
datetime(year, month, day, hour, minute),
'volume':
sum([t['volume'] for t in self.ticks]),
'cum_buy_volume':
self.ticks[-1]
['cum_buy_volume'], # currently just use current vol
'cum_sell_volume':
self.ticks[-1]
['cum_sell_volume'], # currently just use current vol
'close_price':
self.ticks[-1]['current_price'],
'start_price':
start_price,
'highest_price':
max([t['current_price'] for t in self.ticks]),
'lowest_price':
min([t['current_price'] for t in self.ticks]),
'VI':
self.is_vi,
'stream':
d['stream'],
'target':
d['target']
}
self.ticks.clear()
self.ticks.append(
d) # This shoule be put before send event
self.ms.received([min_data])
self.current_datetime = d['date']
else:
self.ticks.append(d)
