def on_orders_match(self, order: Order):
"""订单撮合"""
hq = self.hq_client.get_realtime_data(order.pt_symbol)
if hq is not None:
now_price = float(hq.loc[0, "price"])
if order.price_type == PriceType.MARKET.value:
order.order_price = now_price
# 订单成交
self.on_orders_deal(order)
return
elif order.price_type == PriceType.LIMIT.value:
if order.order_type == OrderType.BUY.value:
if order.order_price >= now_price:
if order.status == Status.SUBMITTING.value:
order.trade_price = now_price
# 订单成交
self.on_orders_deal(order)
return
else:
if order.order_price <= now_price:
if order.status == Status.SUBMITTING.value:
order.trade_price = now_price
# 订单成交
self.on_orders_deal(order)
return
# 没有成交更新订单状态
self.on_orders_status_modify(order)
def on_order_deal(order: Order, db):
"""订单成交处理"""
# 持仓处理
on_position_update(order, db)
# 账户处理
on_account_update(order, db)
if order.volume == order.traded:
order.status = Status.ALLTRADED.value
else:
order.status = Status.PARTTRADED.value
on_order_update(order, db)
def on_orders_deal(self, order: Order):
"""订单成交"""
if not order.trade_price:
order.trade_price = order.order_price
order.traded = order.volume
order.trade_type = self.turnover_mode
on_order_deal(order, self.db)
self.write_log(
"处理订单：账户：{}, 订单号：{}, 结果：{}".format(
order.account_id,
order.order_id,
"全部成交"))
def on_back_verification(self, order: Order):
"""后端验证"""
for k, verification in self.verification.items():
result, msg = verification(order)
if not result:
order.status = Status.REJECTED.value
order.error_msg = msg
self.on_order_refused(order)
self.write_log("处理订单：账户：{}, 订单号：{}, 结果：{}".format(
order.account_id, order.order_id, msg))
return False
return True
def on_orders_insert(order: Order, db):
"""订单插入"""
order.order_id = str(time.time())
token = order.account_id
order.status = Status.NOTTRADED.value
raw_data = {}
raw_data['flt'] = {'order_id': order.order_id}
raw_data['data'] = order
db_data = DBData(db_name=SETTINGS['TRADE_DB'],
db_cl=token,
raw_data=raw_data)
if db.on_replace_one(db_data):
return True, order
else:
return False, "交易表新增订单失败"
def cancel_order_generate(token, order_id):
"""撤销订单生成器"""
try:
order = Order(code="",
exchange="",
account_id=token,
order_id=order_id,
order_type=OrderType.CANCEL.value)
return order
except Exception:
raise ValueError("订单数据有误")
def on_order_deal(self, order: Order):
"""订单成交处理"""
# 买入处理
if order.order_type == OrderType.BUY.value:
pos_val_diff = self.__on_position_append(order)
self.__on_account_buy(order, pos_val_diff)
# 卖出处理
else:
pos_val_diff = self.__on_position_reduce(order)
self.__on_account_sell(order, pos_val_diff)
if order.volume == order.traded:
order.status = Status.ALLTRADED.value
else:
order.status = Status.PARTTRADED.value
# 订单更新
new_order = copy.copy(order)
self.orders[order.order_id] = new_order
# 订单更新事件
self.__make_event(EVENT_ORDER_UPDATE, order)
def liq_order_generate(token, symbol, price, check_date):
"""清算订单生成器"""
try:
code, exchange = symbol.split('.')
order = Order(code=code,
exchange=exchange,
account_id=token,
order_price=price,
order_type=OrderType.LIQ.value,
order_date=check_date)
return order
except Exception:
raise ValueError("订单数据有误")
def on_orders_arrived(self, order: Order):
"""订单到达"""
# 接收订单前的验证
if SETTINGS['VERIFICATION']:
result, msg = self.__on_front_verification(order)
if not result:
return result, msg
# 生成订单ID
order.order_id = str(time.time())
# 补充订单信息
if order.order_price == 0:
order.price_type = PriceType.MARKET.value
else:
order.price_type = PriceType.LIMIT.value
self.orders[order.order_id] = order
# 推送订单保存事件
self.__make_event(EVENT_ORDER_INSERT, order)
return True, order
def new_order_generate(d: dict):
"""新订单生成器，提高了容错并简化了数据,也是接收订单数据的标准"""
try:
vol = d.get('vol', 0)
volume = d.get('volume', vol)
order = Order(code=d['code'],
exchange=d['exchange'],
account_id=d['account_id'],
order_type=d['order_type'],
order_price=d.get('order_price', 0),
volume=volume,
order_date=d['order_date'],
order_time=d['order_time'])
return order
except Exception:
raise ValueError("订单数据有误")
def order_generate(d: dict):
"""订单生成器"""
try:
order = Order(code=d['code'],
exchange=d['exchange'],
account_id=d['account_id'],
order_id=d['order_id'],
order_type=d['order_type'],
price_type=d['price_type'],
trade_type=d['trade_type'],
order_price=d['order_price'],
trade_price=d['trade_price'],
volume=d['volume'],
traded=d['traded'],
status=d['status'],
order_date=d['order_date'],
order_time=d['order_time'],
error_msg=d['error_msg'])
return order
except Exception:
raise ValueError("订单数据有误")
def on_orders_match(self, order: Order):
"""订单撮合"""
try:
hq = self.hq_client.get_realtime_data(order.pt_symbol)
if len(hq):
ask1 = float(hq.loc[0, "ask1"])
bid1 = float(hq.loc[0, 'bid1'])
if order.order_type == OrderType.BUY.value:
# 涨停
if ask1 == 0:
return
# 市价委托即时成交
if order.price_type == PriceType.MARKET.value:
order.order_price = ask1
order.trade_price = ask1
self.on_order_deal(order)
return True
# 限价委托
elif order.price_type == PriceType.LIMIT.value:
if order.order_price >= ask1:
order.trade_price = ask1
# 订单成交
self.on_order_deal(order)
return True
else:
# 跌停
if bid1 == 0:
return
# 市价委托即时成交
if order.price_type == PriceType.MARKET.value:
order.order_price = bid1
order.trade_price = bid1
self.on_order_deal(order)
return True
# 限价委托
elif order.price_type == PriceType.LIMIT.value:
if order.order_price <= bid1:
order.trade_price = bid1
# 订单成交
self.on_order_deal(order)
return True
except Exception as e:
self.write_log(traceback.format_exc())
return False
def on_order_cancel(self, order: Order):
"""取消订单"""
order.status = Status.CANCELLED.value
self.on_order_refuse(order)
def on_order_deal(self, order: Order):
"""订单成交"""
order.traded = order.volume
order.trade_type = self.turnover_mode
self.account_engine.orders_deal(order)