def fillMarketOrder(self, broker_, order, bar):
# Calculate the fill size for the order.
# redefined
fillSize = self.__calculateFillSize(broker_, order, bar)
if fillSize == 0:
broker_.getLogger().debug(
"Not enough volume to fill %s market order [%s] for %s share/s"
% (order.getInstrument(), order.getId(), order.getRemaining()))
return None
# here fill on close is changed its meaning ,it means whether use the opposite value
if order.getFillOnClose():
if order.getAction() == pyalgotrade.broker.Order.Action.BUY:
price = bar.getAp()
else: #sell short
price = bar.getBp()
else:
if order.getAction(
) == pyalgotrade.broker.Order.Action.BUY: #not use the opposite value
price = bar.getBp()
else:
price = bar.getAp()
assert price is not None
# Don't slip prices when the bar represents the trading activity of a single trade.
if bar.getFrequency() != pyalgotrade.bar.Frequency.TRADE:
price = self.__slippageModel.calculatePrice(
order, price, fillSize, bar,
self.__volumeUsed[order.getInstrument()])
return FillInfo(price, fillSize)
def onBars(self, bars):
# If a position was not opened, check if we should enter a long position.
bar = bars[self.__instrument]
print bar.getDateTime(), bar.getBp(), bar.getAp(), self.__sma[-1]