def test_cancel_order(self):
"""
撤单
注：本函数不是回测，重新在盘中生成测试用例script文件时更改为当前可交易的合约代码,且_ins_url可能需修改。
"""
# 预设服务器端响应
dir_path = os.path.dirname(os.path.realpath(__file__))
self.mock.run(os.path.join(dir_path, "log_file", "test_td_basic_cancel_order_simulate.script.lzma"))
# 测试: 模拟账户
utils.RD = random.Random(2)
api = TqApi(_ins_url=self.ins_url_2020_04_02, _td_url=self.td_url, _md_url=self.md_url)
order1 = api.insert_order("DCE.jd2005", "BUY", "OPEN", 1, limit_price=3040)
order2 = api.insert_order("SHFE.cu2005", "BUY", "OPEN", 2, limit_price=39600)
api.wait_update()
self.assertEqual("ALIVE", order1.status)
self.assertEqual("ALIVE", order2.status)
api.cancel_order(order1)
api.cancel_order(order2.order_id)
while order1.status != "FINISHED" or order2.status != "FINISHED":
api.wait_update()
self.assertEqual("FINISHED", order1.status)
self.assertEqual("FINISHED", order2.status)
self.assertNotEqual(order1.volume_left, 0)
self.assertNotEqual(order2.volume_left, 0)
api.close()
def test_cancel_order(self):
"""
撤单
"""
# 预设服务器端响应
dir_path = os.path.dirname(os.path.realpath(__file__))
self.mock.run(os.path.join(dir_path, "log_file", "test_td_basic_cancel_order_simulate.script"))
# 测试: 模拟账户
TqApi.RD = random.Random(2)
api = TqApi(_ins_url=self.ins_url, _td_url=self.td_url, _md_url=self.md_url)
order1 = api.insert_order("DCE.jd2001", "BUY", "OPEN", 1, limit_price=4570)
order2 = api.insert_order("SHFE.cu2001", "BUY", "OPEN", 2, limit_price=47070)
api.wait_update()
self.assertEqual("ALIVE", order1.status)
self.assertEqual("ALIVE", order2.status)
api.cancel_order(order1)
api.cancel_order(order2.order_id)
api.wait_update()
self.assertEqual("FINISHED", order1.status)
self.assertEqual("FINISHED", order2.status)
api.close()
def run_tianqin_code(bid, user_id, pwd, td_url):
api = TqApi(TqAccount(bid, user_id, pwd),
auth="[email protected],MaYanQiong",
_stock=True,
_td_url=td_url)
is_ctp = False if bid == "快期模拟" else True
account = api.get_account()
if bid == "快期模拟":
assert account.ctp_balance == '-' or math.isnan(account.ctp_balance)
assert account.ctp_available == '-' or math.isnan(
account.ctp_available)
else:
logger.info(f"{account.ctp_balance}, {account.ctp_available}")
logger.info(f"{'='*30} 登录成功后，账户初始状态 {'='*30}")
positions = api._data["trade"][user_id]["positions"]
orders = api._data["trade"][user_id]["orders"]
check_orders(orders, api, is_ctp)
check_positions(positions, api, is_ctp)
check_account(account, positions, is_ctp)
check_risk_rule(api, None)
check_risk_data(api, "SSE.10002513")
api.set_risk_management_rule("SSE", True)
logger.info(f"{'='*12} 期权 开仓 {'='*12}")
quote = api.get_quote("SSE.10002513") # ETF 期权
# 挂单
# order = api.insert_order(symbol="SSE.10002513", direction="BUY", offset="OPEN", limit_price=quote.lower_limit + quote.price_tick, volume=2)
order = api.insert_order(symbol="SSE.10002513",
direction="SELL",
offset="OPEN",
limit_price=quote.upper_limit - quote.price_tick,
volume=2)
# 可成交
# order = api.insert_order(symbol="SSE.10002513", direction="BUY", offset="OPEN", limit_price=quote.ask_price1, volume=3)
# 可成交 FAK 下单失败,CTP:交易所不支持的价格类型
# order = api.insert_order(symbol="SSE.10002513", direction="BUY", offset="OPEN", limit_price=quote.ask_price1, volume=2, advanced="FAK")
# 可成交 FOK
# order = api.insert_order(symbol="SSE.10002513", direction="BUY", offset="OPEN", limit_price=quote.ask_price1, volume=2, advanced="FOK")
# BEST
# order = api.insert_order(symbol="SSE.10002513", direction="SELL", offset="CLOSE", limit_price="BEST", volume=10)
# BEST FOK 下单失败,已撤单报单被拒绝12038，合约代码:SSE.10002513，下单方向:买，开平标志:开仓，委托价格:最优价，委托手数:3
# order = api.insert_order(symbol="SSE.10002513", direction="SELL", offset="CLOSE", limit_price="BEST", volume=3, advanced="FOK")
# any_price 通知: 下单失败,CTP:交易所不支持的价格类型
# order = api.insert_order(symbol="SSE.10002513", direction="BUY", offset="OPEN", volume=3)
# FIVELEVEL 通知: 下单失败,CTP:交易所不支持的价格类型
# order = api.insert_order(symbol="SSE.10002513", direction="BUY", offset="OPEN", limit_price="FIVELEVEL", volume=3)
api.cancel_order(order)
api.cancel_order(order)
api.cancel_order(order)
while order.status == "ALIVE":
api.wait_update()
check_all(api, bid, user_id)
check_risk_rule(api, None)
check_risk_data(api, "SSE.10002513")
api.close()
send_email(trading_info, subject, receiver)
trading_info['position'] = trading_info['position'].apply(
lambda x: int(np.around(x, 0)))
trading_info.index = trading_info['trading_code']
print(trading_info)
code_lst = trading_info.trading_code.tolist()
while datetime.datetime.now().hour < 15:
print(
'=========================================================================================='
)
orders = api.get_order()
for oid, order in orders.items():
if order.status == 'ALIVE':
print(order.status)
api.cancel_order(order)
positions = api.get_position()
for symbol, order in positions.items():
if symbol not in code_lst:
if order.pos_long > 0:
Trd.insert_order_sp_limit(symbol)
if order.pos_short > 0:
Trd.insert_order_bp_limit(symbol)
for code in code_lst:
position_account = api.get_position(code)
position_long = position_account.pos_long
position_short = position_account.pos_short
position = trading_info.loc[code]['position']
if code == 'DCE.y2009':
order_close_info = api.get_order(row["委平单号"])
if order_close_info.status == "FINISHED" and order_close_info.volume_left == 0:
df_long.iloc[index, 4], df_long.iloc[index, 7], df_long.iloc[index, 8] = row[
"持仓"] - order_close_info.volume_orign, \
row[
"委平"] - order_close_info.volume_orign, float(
"nan")
# 多头委托10分钟不成交撤单，重设网格
if not df_long_open.empty and position.pos_long_today == 0:
if df_long_open.insert_date_time.max() > 0 and time_to_datetime(quote.datetime) > time_to_datetime(
df_long_open.insert_date_time.max()):
if (time_to_datetime(quote.datetime) - time_to_datetime(
df_long_open.insert_date_time.max())).seconds > 10 * 60:
for i in df_long_open.order_id:
api.cancel_order(i)
df_long = reset_df_long(quote, GRID_AMOUNT, grid_region_long, grid_volume_long)
# 多头平仓10分钟无成交且价格偏离5跳以上，平仓且重设多头网格
if not df_long_close.empty and position.pos_short_today > 0:
if df_long_close.insert_date_time.max() > 0 and time_to_datetime(quote.datetime) > time_to_datetime(
df_long_close.insert_date_time.max()):
if (time_to_datetime(quote.datetime) - time_to_datetime(
df_long_close.insert_date_time.max())).seconds > 10 * 60 and df_long_close.limit_price.min() - quote.bid_price1 >= 5:
for i in df_long_close.order_id:
api.cancel_order(i)
is_clear_all1 = True
df_long = reset_df_long(quote, GRID_AMOUNT, grid_region_long, grid_volume_long)
#################################################################################
#!/usr/bin/env python
# -*- coding: utf-8 -*-
import time
from tqsdk import TqApi, TqAccount
api = TqApi(TqAccount('快期模拟', 'yhlz714', '86888196'), web_gui=True)
# 获得 m2005 的持仓引用，当持仓有变化时 position 中的字段会对应更新
position = api.get_position("SHFE.rb2010")
# 获得资金账户引用，当账户有变化时 account 中的字段会对应更新
account = api.get_account()
# 下单并返回委托单的引用，当该委托单有变化时 order 中的字段会对应更新
# order = api.insert_order(symbol="SHFE.rb2010", direction="BUY", offset="OPEN", volume=5, limit_price=3575)
orders = api.get_order()
for i in orders:
api.cancel_order(orders[i])
count = 0
while True:
api.wait_update()
# if api.is_changing(order, ["status", "volume_orign", "volume_left"]):
# print("单状态: %s, 已成交: %d 手" % (order.status, order.volume_orign - order.volume_left))
# print(order.status)
if api.is_changing(position, "pos_long_today"):
print("今多头: %d 手" % (position.pos_long_today))
if api.is_changing(account, "available"):
print("可用资金: %.2f" % (account.available))
count += 1
if 50 < count < 52:
pass
# api.cancel_order(order)
def run_tianqin_code(bid, user_id, pwd, td_url):
api = TqApi(TqAccount(bid, user_id, pwd),
auth="[email protected],MaYanQiong",
_td_url=td_url)
is_ctp = False if bid == "快期模拟" else True
account = api.get_account()
if bid == "快期模拟":
assert account.ctp_balance == '-' or math.isnan(account.ctp_balance)
assert account.ctp_available == '-' or math.isnan(
account.ctp_available)
else:
logger.info(f"{account.ctp_balance}, {account.ctp_available}")
logger.info(f"{'='*30} 登录成功后，账户初始状态 {'='*30}")
positions = api._data["trade"][user_id]["positions"]
orders = api._data["trade"][user_id]["orders"]
check_orders(orders, api, is_ctp)
check_positions(positions, api, is_ctp)
check_account(account, positions, is_ctp)
logger.info(f"{'='*30} 全部撤单 & 全部平仓 {'='*30}")
for order in orders.values():
if order.status != "FINISHED":
api.cancel_order(order)
for pos in positions.values():
symbol = f"{pos.exchange_id}.{pos.instrument_id}"
quote = api.get_quote(symbol)
if pos.pos_long > 0:
api.insert_order(symbol=symbol,
direction="SELL",
offset="CLOSE",
limit_price=quote.bid_price1,
volume=pos.pos_long)
if pos.pos_short > 0:
api.insert_order(symbol=symbol,
direction="BUY",
offset="CLOSE",
limit_price=quote.ask_price1,
volume=pos.pos_short)
while True:
api.wait_update(deadline=time.time() + 30)
# 全部持仓清 0
is_all_clear = True
for pos in positions.values():
if pos.pos_long > 0 or pos.pos_short > 0:
is_all_clear = False
for order in orders.values():
if order.status != "FINISHED":
is_all_clear = False
if is_all_clear:
logger.info("全部撤单 & 全部平仓 ok")
break
else:
logger.info("还没完成全部撤单 & 全部平仓")
logger.info(f"{'='*12} 期货 开仓 {'='*12}")
quote = api.get_quote("CZCE.RM105")
api.insert_order(symbol="CZCE.RM105",
direction="BUY",
offset="OPEN",
limit_price=quote.lower_limit + quote.price_tick,
volume=2)
api.insert_order(symbol="CZCE.RM105",
direction="BUY",
offset="OPEN",
limit_price=quote.ask_price1,
volume=3)
quote1 = api.get_quote("CZCE.CF105")
api.insert_order(symbol="CZCE.CF105",
direction="SELL",
offset="OPEN",
limit_price=quote1.upper_limit - quote1.price_tick,
volume=2)
api.insert_order(symbol="CZCE.CF105",
direction="SELL",
offset="OPEN",
limit_price=quote1.bid_price1,
volume=3)
check_all(api, bid, user_id)
# logger.info(f"{'='*12} 期权 开仓 {'='*12}")
# quote = api.get_quote("CZCE.RM009C2300")
# api.insert_order(symbol="CZCE.RM009C2300", direction="BUY", offset="OPEN",
# limit_price=quote.lower_limit + quote.price_tick,
# volume=2)
# api.insert_order(symbol="CZCE.RM009C2300", direction="BUY", offset="OPEN", limit_price=quote.ask_price1,
# volume=3)
# quote1 = api.get_quote("CZCE.CF009C11600")
# api.insert_order(symbol="CZCE.CF009C11600", direction="SELL", offset="OPEN",
# limit_price=quote1.upper_limit - quote1.price_tick,
# volume=2)
# api.insert_order(symbol="CZCE.CF009C11600", direction="SELL", offset="OPEN", limit_price=quote1.bid_price1,
# volume=3)
#
# quote2 = api.get_quote("CZCE.RM009P2300")
# api.insert_order(symbol="CZCE.RM009P2300", direction="BUY", offset="OPEN",
# limit_price=quote2.lower_limit + quote2.price_tick,
# volume=2)
# api.insert_order(symbol="CZCE.RM009P2300", direction="BUY", offset="OPEN", limit_price=quote2.ask_price1,
# volume=3)
# quote3 = api.get_quote("CZCE.CF009C11600")
# api.insert_order(symbol="CZCE.CF009P11600", direction="SELL", offset="OPEN",
# limit_price=quote3.upper_limit - quote3.price_tick,
# volume=2)
# api.insert_order(symbol="CZCE.CF009P11600", direction="SELL", offset="OPEN", limit_price=quote3.bid_price1,
# volume=3)
# PUT
# check_all(api, bid, user_id)
# logger.info(f"{'='*30} 发平仓挂单 {'='*30}")
# positions = api._data["trade"][user_id]["positions"]
# for pos in positions.values():
# symbol = f"{pos.exchange_id}.{pos.instrument_id}"
# quote = api.get_quote(symbol)
# if pos.pos_long > 0:
# api.insert_order(symbol=symbol, direction="SELL", offset="CLOSE",
# limit_price=quote.upper_limit - quote.price_tick,
# volume=pos.pos_long)
# if pos.pos_short > 0:
# api.insert_order(symbol=symbol, direction="BUY", offset="CLOSE",
# limit_price=quote.lower_limit + quote.price_tick,
# volume=pos.pos_short)
# check_all(api, bid, user_id)
api.close()
