def sendOrder(self, vtSymbol, orderType, price, volume, strategy):
"""发单"""
contract = self.mainEngine.getContract(vtSymbol)
req = VtOrderReq()
req.symbol = contract.symbol
req.exchange = contract.exchange
req.vtSymbol = contract.vtSymbol
req.price = self.roundToPriceTick(contract.priceTick, price)
req.volume = volume
req.productClass = strategy.productClass
req.currency = strategy.currency
# 设计为CTA引擎发出的委托只允许使用限价单
req.priceType = PRICETYPE_LIMITPRICE
# CTA委托类型映射
if orderType == CTAORDER_BUY:
req.direction = DIRECTION_LONG
req.offset = OFFSET_OPEN
elif orderType == CTAORDER_SELL:
req.direction = DIRECTION_SHORT
req.offset = OFFSET_CLOSE
elif orderType == CTAORDER_SHORT:
req.direction = DIRECTION_SHORT
req.offset = OFFSET_OPEN
elif orderType == CTAORDER_COVER:
req.direction = DIRECTION_LONG
req.offset = OFFSET_CLOSE
# 委托转换
reqList = self.mainEngine.convertOrderReq(req)
vtOrderIDList = []
if not reqList:
return vtOrderIDList
for convertedReq in reqList:
vtOrderID = self.mainEngine.sendOrder(convertedReq,
contract.gatewayName) # 发单
self.orderStrategyDict[vtOrderID] = strategy # 保存vtOrderID和策略的映射关系
self.strategyOrderDict[strategy.name].add(vtOrderID) # 添加到策略委托号集合中
vtOrderIDList.append(vtOrderID)
self.writeCtaLog(
u'策略%s发送委托，%s，%s，%s@%s' %
(strategy.name, vtSymbol, req.direction, volume, price))
flt = {'name': strategy.name, 'vtSymbol': strategy.vtSymbol}
d = copy(flt)
d['order_time'] = datetime.now()
d['direction'] = req.direction
d['volume'] = volume
d['price'] = price
self.mainEngine.dbInsert(ORDER_DB_NAME, strategy.name, d) #记录每次下单的情况
return vtOrderIDList
def sendOrder(self, vtSymbol, orderType, price, volume, strategy):
"""发单"""
contract = self.mainEngine.getContract(vtSymbol)
req = VtOrderReq()
req.symbol = contract.symbol
req.exchange = contract.exchange
req.vtSymbol = contract.vtSymbol
req.price = self.roundToPriceTick(contract.priceTick, price)
req.volume = volume
req.productClass = strategy.productClass
req.currency = strategy.currency
# 设计为MMK引擎发出的委托只允许使用限价单
req.priceType = PRICETYPE_LIMITPRICE
# MMK委托类型映射
if orderType == MMKORDER_BUY:
req.direction = DIRECTION_LONG
req.offset = OFFSET_OPEN
elif orderType == MMKORDER_SELL:
req.direction = DIRECTION_SHORT
req.offset = OFFSET_CLOSE
elif orderType == MMKORDER_SHORT:
req.direction = DIRECTION_SHORT
req.offset = OFFSET_OPEN
elif orderType == MMKORDER_COVER:
req.direction = DIRECTION_LONG
req.offset = OFFSET_CLOSE
# 委托转换
reqList = self.mainEngine.convertOrderReq(req)
vtOrderIDList = []
if not reqList:
return vtOrderIDList
for convertedReq in reqList:
vtOrderID = self.mainEngine.sendOrder(convertedReq,
contract.gatewayName) # 发单
self.orderStrategyDict[vtOrderID] = strategy # 保存vtOrderID和策略的映射关系
self.strategyOrderDict[strategy.name].add(vtOrderID) # 添加到策略委托号集合中
vtOrderIDList.append(vtOrderID)
self.writeMmkLog(
u'策略%s发送委托，%s，%s，%s@%s' %
(strategy.name, vtSymbol, req.direction, volume, price))
return vtOrderIDList
def sendOrder(self, vtSymbol, orderType, price, volume, strategy):
"""发单"""
contract = self.mainEngine.getContract(vtSymbol)
req = VtOrderReq()
req.symbol = contract.symbol
req.exchange = contract.exchange
req.vtSymbol = contract.vtSymbol
req.price = self.roundToPriceTick(contract.priceTick, price)
req.volume = volume
req.productClass = strategy.productClass
req.currency = strategy.currency
# 设计为CTA引擎发出的委托只允许使用限价单
req.priceType = PRICETYPE_LIMITPRICE
# CTA委托类型映射
if orderType == CTAORDER_BUY:
req.direction = DIRECTION_LONG
req.offset = OFFSET_OPEN
elif orderType == CTAORDER_SELL:
req.direction = DIRECTION_SHORT
req.offset = OFFSET_CLOSE
elif orderType == CTAORDER_SHORT:
req.direction = DIRECTION_SHORT
req.offset = OFFSET_OPEN
elif orderType == CTAORDER_COVER:
req.direction = DIRECTION_LONG
req.offset = OFFSET_CLOSE
# 委托转换
reqList = self.mainEngine.convertOrderReq(req)
vtOrderIDList = []
if not reqList:
return vtOrderIDList
for convertedReq in reqList:
vtOrderID = self.mainEngine.sendOrder(convertedReq, contract.gatewayName) # 发单
self.orderStrategyDict[vtOrderID] = strategy # 保存vtOrderID和策略的映射关系
self.strategyOrderDict[strategy.name].add(vtOrderID) # 添加到策略委托号集合中
vtOrderIDList.append(vtOrderID)
self.writeCtaLog(u'策略%s发送委托，%s，%s，%s@%s'
%(strategy.name, vtSymbol, req.direction, volume, price))
return vtOrderIDList
def sendOrder(self, vtSymbol, orderType, price, volume, strategy):
"""发单"""
contract = self.mainEngine.getContract(vtSymbol)
if contract.gatewayName == "IB":
return self.sendIBOrder(vtSymbol, orderType, price, volume,
strategy, False)
req = VtOrderReq()
req.symbol = contract.symbol
req.exchange = contract.exchange
req.price = self.roundToPriceTick(contract.priceTick, price)
req.volume = volume
req.productClass = strategy.productClass
req.currency = strategy.currency
# 设计为ARB引擎发出的委托只允许使用限价单
req.priceType = PRICETYPE_LIMITPRICE
# ARB委托类型映射
if orderType == CTAORDER_BUY:
req.direction = DIRECTION_LONG
req.offset = OFFSET_OPEN
elif orderType == CTAORDER_SELL:
req.direction = DIRECTION_SHORT
req.offset = OFFSET_CLOSE
elif orderType == CTAORDER_SELL_TODAY:
req.direction = DIRECTION_SHORT
req.offset = OFFSET_CLOSETODAY
elif orderType == CTAORDER_SHORT:
req.direction = DIRECTION_SHORT
req.offset = OFFSET_OPEN
elif orderType == CTAORDER_COVER:
req.direction = DIRECTION_LONG
req.offset = OFFSET_CLOSE
elif orderType == CTAORDER_COVER_TODAY:
req.direction = DIRECTION_LONG
req.offset = OFFSET_CLOSETODAY
vtOrderID = self.mainEngine.sendOrder(req, contract.gatewayName) # 发单
self.orderStrategyDict[vtOrderID] = strategy # 保存vtOrderID和策略的映射关系
self.writeArbLog(
u'策略%s发送委托，%s，%s，%s@%s' %
(strategy.name, vtSymbol, req.direction, volume, price))
return vtOrderID
def sendIBOrder(self,
vtSymbol,
orderType,
price,
volume,
strategy,
isMktOrder=False):
"""IB 发单"""
contract = self.mainEngine.getContract(vtSymbol)
req = VtOrderReq()
req.symbol = contract.symbol
req.exchange = contract.exchange
req.price = self.roundToPriceTick(contract.priceTick, price)
req.volume = volume
if isMktOrder:
req.priceType = PRICETYPE_MARKETPRICE
else:
req.priceType = PRICETYPE_LIMITPRICE
req.productClass = strategy.productClass
req.currency = strategy.currency
if orderType == CTAORDER_BUY or orderType == CTAORDER_COVER:
req.direction = DIRECTION_LONG
else:
req.direction = DIRECTION_SHORT
vtOrderID = self.mainEngine.sendOrder(req, contract.gatewayName) # 发单
self.orderStrategyDict[vtOrderID] = strategy # 保存vtOrderID和策略的映射关系
self.writeArbLog(
u'策略%s发送委托，%s，%s，%s@%s' %
(strategy.name, vtSymbol, req.direction, volume, price))
return vtOrderID
def sendOrder(self, vtSymbol, orderType, price, volume, strategy):
"""发单"""
contract = self.mainEngine.getContract(vtSymbol)
req = VtOrderReq()
req.symbol = contract.symbol
req.exchange = contract.exchange
req.price = self.roundToPriceTick(contract.priceTick, price)
req.volume = volume
req.productClass = strategy.productClass
req.currency = strategy.currency
# 设计为CTA引擎发出的委托只允许使用限价单
req.priceType = PRICETYPE_LIMITPRICE
# CTA委托类型映射
if orderType == CTAORDER_BUY:
req.direction = DIRECTION_LONG
req.offset = OFFSET_OPEN
elif orderType == CTAORDER_SELL:
req.direction = DIRECTION_SHORT
# 只有上期所才要考虑平今平昨
if contract.exchange != EXCHANGE_SHFE:
req.offset = OFFSET_CLOSE
else:
# 获取持仓缓存数据
posBuffer = self.posBufferDict.get(vtSymbol, None)
# 如果获取持仓缓存失败，则默认平昨
if not posBuffer:
req.offset = OFFSET_CLOSE
# 否则如果有多头今仓，则使用平今
elif posBuffer.longToday:
req.offset= OFFSET_CLOSETODAY
# 其他情况使用平昨
else:
req.offset = OFFSET_CLOSE
elif orderType == CTAORDER_SHORT:
req.direction = DIRECTION_SHORT
req.offset = OFFSET_OPEN
elif orderType == CTAORDER_COVER:
req.direction = DIRECTION_LONG
# 只有上期所才要考虑平今平昨
if contract.exchange != EXCHANGE_SHFE:
req.offset = OFFSET_CLOSE
else:
# 获取持仓缓存数据
posBuffer = self.posBufferDict.get(vtSymbol, None)
# 如果获取持仓缓存失败，则默认平昨
if not posBuffer:
req.offset = OFFSET_CLOSE
# 否则如果有空头今仓，则使用平今
elif posBuffer.shortToday:
req.offset= OFFSET_CLOSETODAY
# 其他情况使用平昨
else:
req.offset = OFFSET_CLOSE
vtOrderID = self.mainEngine.sendOrder(req, contract.gatewayName) # 发单
self.orderStrategyDict[vtOrderID] = strategy # 保存vtOrderID和策略的映射关系
self.writeCtaLog(u'策略%s发送委托，%s，%s，%s@%s'
%(strategy.name, vtSymbol, req.direction, volume, price))
return vtOrderID
def sendOrder(self, vtSymbol, orderType, price, volume, strategy):
"""发单"""
contract = self.mainEngine.getContract(vtSymbol)
req = VtOrderReq()
req.symbol = contract.symbol
req.exchange = contract.exchange
req.vtSymbol = contract.vtSymbol
req.price = self.roundToPriceTick(contract.priceTick, price)
req.volume = volume
req.productClass = strategy.productClass
req.currency = strategy.currency
# 设计为CTA引擎发出的委托只允许使用限价单
req.priceType = PRICETYPE_LIMITPRICE
# CTA委托类型映射
if orderType == CTAORDER_BUY:
req.direction = DIRECTION_LONG
req.offset = OFFSET_OPEN
elif orderType == CTAORDER_SELL:
req.direction = DIRECTION_SHORT
req.offset = OFFSET_CLOSE
elif orderType == CTAORDER_SHORT:
req.direction = DIRECTION_SHORT
req.offset = OFFSET_OPEN
elif orderType == CTAORDER_COVER:
req.direction = DIRECTION_LONG
req.offset = OFFSET_CLOSE
# 委托转换
reqList = self.mainEngine.convertOrderReq(req)
vtOrderIDList = []
if not reqList:
return vtOrderIDList
for convertedReq in reqList:
vtOrderID = self.mainEngine.sendOrder(convertedReq,
contract.gatewayName) # 发单
self.orderStrategyDict[vtOrderID] = strategy # 保存vtOrderID和策略的映射关系
self.strategyOrderDict[req.symbol + strategy.className].add(
vtOrderID) # 添加到策略委托号集合中
vtOrderIDList.append(vtOrderID)
##写数据库
traderOrd = TraderOrder()
traderOrd.orderID = vtOrderID
traderOrd.orderUuid = datetime.now().strftime(
"%Y%m%d%H%M%S") + vtOrderID
traderOrd.symbol = contract.symbol
traderOrd.strategyName = strategy.className
traderOrd.direction = req.direction
traderOrd.offset = req.offset
traderOrd.orderVolume = convertedReq.volume
traderOrd.orderPrice = convertedReq.price
self.mainEngine.mysqlClient.dbInsert(SQL_TABLENAME_TRADER,
traderOrd)
if traderOrd.offset == OFFSET_OPEN:
self.lastOpenTrade[traderOrd.symbol] = traderOrd
self.traderDict[vtOrderID] = traderOrd
self.writeCtaLog(u'策略%s发送委托，%s，%s，%s@%s, %s' %
(strategy.name, vtSymbol, req.direction, volume,
price, req.offset))
return vtOrderIDList
def sendOrder(self, vtSymbol, orderType, price, volume, priceType,
strategy):
"""发单"""
contract = self.mainEngine.getContract(vtSymbol)
req = VtOrderReq()
reqList = []
req.symbol = contract.symbol
req.exchange = contract.exchange
req.vtSymbol = contract.vtSymbol
req.price = self.roundToPriceTick(contract.priceTick, price)
req.volume = volume
req.productClass = strategy.productClass
req.currency = strategy.currency
req.byStrategy = strategy.name
req.priceType = priceType
# CTA委托类型映射
if orderType == CTAORDER_BUY:
req.direction = constant.DIRECTION_LONG
req.offset = constant.OFFSET_OPEN
elif orderType == CTAORDER_SELL:
req.direction = constant.DIRECTION_SHORT
# 只有上期所才要考虑平今平昨
if contract.exchange != constant.EXCHANGE_SHFE:
req.offset = constant.OFFSET_CLOSE
else:
# 获取持仓缓存数据
posBuffer = self.ydPositionDict.get(vtSymbol + '_LONG', None)
# 如果获取持仓缓存失败，则默认平昨
if not posBuffer:
self.writeCtaLog(u'获取昨持多仓为0, 发出平今指令')
req.offset = constant.OFFSET_CLOSETODAY
elif posBuffer:
if volume <= posBuffer:
req.offset = constant.OFFSET_CLOSE
self.writeCtaLog(
f'{vtSymbol}优先平昨, 昨多仓:{posBuffer}, 平仓数:{volume}')
req.offset = constant.OFFSET_CLOSE
if (posBuffer - volume) > 0:
self.writeCtaLog(
f'{vtSymbol}剩余昨多仓{(posBuffer - volume)}')
else:
req.offset = constant.OFFSET_CLOSE
req.volume = posBuffer
self.writeCtaLog(
f'{vtSymbol}平仓量{volume}, 大于昨多仓, 拆分优先平昨仓数:{posBuffer}'
)
req2 = copy(req)
req2.offset = constant.OFFSET_CLOSETODAY
req2.volume = volume - posBuffer
self.writeCtaLog(
f'{vtSymbol}平仓量大于昨多仓, 拆分到平今仓数:{req2.volume}')
reqList.append(req2)
elif orderType == CTAORDER_SHORT:
req.direction = constant.DIRECTION_SHORT
req.offset = constant.OFFSET_OPEN
elif orderType == CTAORDER_COVER:
req.direction = constant.DIRECTION_LONG
# # 只有上期所才要考虑平今平昨
if contract.exchange != constant.EXCHANGE_SHFE:
req.offset = constant.OFFSET_CLOSE
else:
# 获取持仓缓存数据
posBuffer = self.ydPositionDict.get(vtSymbol + '_SHORT', None)
# 如果获取持仓缓存失败，则默认平昨
if not posBuffer:
self.writeCtaLog(u'获取昨持空仓为0, 发出平今指令')
req.offset = constant.OFFSET_CLOSETODAY
elif posBuffer:
if volume <= posBuffer:
req.offset = constant.OFFSET_CLOSE
self.writeCtaLog(
f'{vtSymbol}优先平昨，昨空仓:{posBuffer}, 平仓数:{volume}')
req.offset = constant.OFFSET_CLOSE
if (posBuffer - volume) > 0:
self.writeCtaLog(
f'{vtSymbol}剩余昨空仓{(posBuffer - volume)}')
else:
req.offset = constant.OFFSET_CLOSE
req.volume = posBuffer
self.writeCtaLog(
f'{vtSymbol}平仓量{volume}, 大于昨空仓, 拆分优先平昨仓数:{posBuffer}'
)
req2 = copy(req)
req2.offset = constant.OFFSET_CLOSETODAY
req2.volume = volume - posBuffer
self.writeCtaLog(
f'{vtSymbol}平仓量大于昨空仓, 拆分到平今仓数:{req2.volume}')
reqList.append(req2)
# 委托转换
# reqList = self.mainEngine.convertOrderReq(req) # 不转了
reqList.append(req)
vtOrderIDList = []
# if not reqList:
# return vtOrderIDList
for convertedReq in reqList:
vtOrderID = self.mainEngine.sendOrder(convertedReq,
contract.gatewayName) # 发单
self.orderStrategyDict[vtOrderID] = strategy # 保存vtOrderID和策略的映射关系
self.strategyOrderDict[strategy.name].add(vtOrderID) # 添加到策略委托号集合中
vtOrderIDList.append(vtOrderID)
self.writeCtaLog('策略%s: 发送%s委托%s, 交易：%s，%s，数量：%s @ %s' %
(strategy.name, priceType, vtOrderID, vtSymbol,
orderType, volume, price))
return vtOrderIDList
def sendOrder(self, vtSymbol, orderType, price, volume, priceType, strategy):
"""发单"""
contract = self.mainEngine.getContract(vtSymbol)
req = VtOrderReq()
reqcount = 1
req.symbol = contract.symbol
req.exchange = contract.exchange
req.vtSymbol = contract.vtSymbol
req.price = self.roundToPriceTick(contract.priceTick, price)
req.volume = volume
req.productClass = strategy.productClass
req.currency = strategy.currency
req.byStrategy = strategy.name
# 设计为CTA引擎发出的委托只允许使用限价单
# req.priceType = PRICETYPE_LIMITPRICE
req.priceType = priceType
# CTA委托类型映射
if orderType == CTAORDER_BUY:
req.direction = DIRECTION_LONG
req.offset = OFFSET_OPEN
elif orderType == CTAORDER_SELL:
req.direction = DIRECTION_SHORT
# 只有上期所才要考虑平今平昨
if contract.exchange != EXCHANGE_SHFE:
req.offset = OFFSET_CLOSE
else:
# 获取持仓缓存数据
posBuffer = self.ydPositionDict.get(vtSymbol+'_LONG', None)
# 如果获取持仓缓存失败，则默认平昨
if not posBuffer:
self.writeCtaLog(u'获取昨持多仓为0，发出平今指令')
req.offset = OFFSET_CLOSETODAY
elif posBuffer:
if volume <= posBuffer:
req.offset = OFFSET_CLOSE
self.writeCtaLog(u'{}优先平昨，昨多仓:{}，平仓数:{}'.format(vtSymbol, posBuffer, volume))
req.offset = OFFSET_CLOSE
if (posBuffer - volume)>0:
self.writeCtaLog(u'{}剩余昨多仓{}'.format(vtSymbol,(posBuffer - volume)))
else:
req.offset = OFFSET_CLOSE
req.volume = posBuffer
self.writeCtaLog(u'{}平仓量{}，大于昨多仓，拆分优先平昨仓数:{}'.format(vtSymbol, volume, posBuffer))
req2 = copy(req)
req2.offset = OFFSET_CLOSETODAY
req2.volume = volume - posBuffer
self.writeCtaLog(u'{}平仓量大于昨多仓，拆分到平今仓数:{}'.format(vtSymbol, req2.volume))
reqcount = 2
elif orderType == CTAORDER_SHORT:
req.direction = DIRECTION_SHORT
req.offset = OFFSET_OPEN
elif orderType == CTAORDER_COVER:
req.direction = DIRECTION_LONG
# # 只有上期所才要考虑平今平昨
if contract.exchange != EXCHANGE_SHFE:
req.offset = OFFSET_CLOSE
else:
# 获取持仓缓存数据
posBuffer = self.ydPositionDict.get(vtSymbol+'_SHORT', None)
# 如果获取持仓缓存失败，则默认平昨
if not posBuffer:
self.writeCtaLog(u'获取昨持空仓为0，发出平今指令')
req.offset = OFFSET_CLOSETODAY
elif posBuffer:
if volume <= posBuffer:
req.offset = OFFSET_CLOSE
self.writeCtaLog(u'{}优先平昨，昨空仓:{}，平仓数:{}'.format(vtSymbol, posBuffer, volume))
req.offset = OFFSET_CLOSE
if (posBuffer - volume)>0:
self.writeCtaLog(u'{}剩余昨空仓{}'.format(vtSymbol,(posBuffer - volume)))
else:
req.offset = OFFSET_CLOSE
req.volume = posBuffer
self.writeCtaLog(u'{}平仓量{}，大于昨空仓，拆分优先平昨仓数:{}'.format(vtSymbol, volume, posBuffer))
req2 = copy(req)
req2.offset = OFFSET_CLOSETODAY
req2.volume = volume - posBuffer
self.writeCtaLog(u'{}平仓量大于昨空仓，拆分到平今仓数:{}'.format(vtSymbol, req2.volume))
reqcount = 2
# 委托转换
# reqList = self.mainEngine.convertOrderReq(req) # 不转了
if reqcount == 1:
reqList = [req]
else:
reqList = [req,req2]
vtOrderIDList = []
# if not reqList:
# return vtOrderIDList
for convertedReq in reqList:
vtOrderID = self.mainEngine.sendOrder(convertedReq, contract.gatewayName) # 发单
self.orderStrategyDict[vtOrderID] = strategy # 保存vtOrderID和策略的映射关系
self.strategyOrderDict[strategy.name].add(vtOrderID) # 添加到策略委托号集合中
vtOrderIDList.append(vtOrderID)
self.writeCtaLog('策略%s: 发送%s委托%s, 交易：%s，%s，数量：%s @ %s'
%(strategy.name, priceType, vtOrderID, vtSymbol, orderType, volume, price ))
return vtOrderIDList
def sendOrder(self, vtSymbol, orderType, price, volume, priceType,
strategy):
"""发单
cta引擎之中所有的操作都是基于引擎的，具体数据流为 strategy --->ctatemple----->ctaenging
在ctaenging 之中进行四个交易方向的order 分别为"买开" "卖开" "买平" "卖平"
这块是非常重要的，首先在存储的reqorder list 列表之中进行循环，调用底层接口进行发单，返回vtOrder;维护两个列表 orderStrategyDict[vtOrderID]
保存vtOrderID和strategy对象映射的字典（用于推送order和trade数据） key为vtOrderID，value为strategy对象； 保存策略名称和委托号列表的字典
key为name，value为保存orderID（限价+本地停止）的集合
"""
contract = self.mainEngine.getContract(vtSymbol)
req = VtOrderReq()
reqcount = 1
req.symbol = contract.symbol
req.exchange = contract.exchange
req.vtSymbol = contract.vtSymbol
req.price = self.roundToPriceTick(contract.priceTick, price)
req.volume = volume
req.productClass = strategy.productClass
req.currency = strategy.currency
req.byStrategy = strategy.name
# 设计为CTA引擎发出的委托只允许使用限价单
# req.priceType = PRICETYPE_LIMITPRICE
req.priceType = priceType
# CTA委托类型映射
"""
cta策略底层委托映射 可以根据传入的ordertype求出来相应的direction 和 offset,进而判断开平仓方向
注意这里使用的bitfinex 由于bitfinex gateway api 没有开平，所以需要在gateway 之中进行定义转换
"""
if orderType == CTAORDER_BUY:
req.direction = constant.DIRECTION_LONG
req.offset = constant.OFFSET_OPEN
elif orderType == CTAORDER_SELL:
req.direction = constant.DIRECTION_SHORT
# 只有上期所才要考虑平今平昨，上期所映射
if contract.exchange != constant.EXCHANGE_SHFE:
req.offset = constant.OFFSET_CLOSE
else:
# 获取持仓缓存数据
posBuffer = self.ydPositionDict.get(vtSymbol + '_LONG', None)
# 如果获取持仓缓存失败，则默认平昨
if not posBuffer:
self.writeCtaLog(u'获取昨持多仓为0，发出平今指令')
req.offset = constant.OFFSET_CLOSETODAY
elif posBuffer:
if volume <= posBuffer:
req.offset = constant.OFFSET_CLOSE
self.writeCtaLog(u'{}优先平昨，昨多仓:{}，平仓数:{}'.format(
vtSymbol, posBuffer, volume))
req.offset = constant.OFFSET_CLOSE
if (posBuffer - volume) > 0:
self.writeCtaLog(u'{}剩余昨多仓{}'.format(
vtSymbol, (posBuffer - volume)))
else:
req.offset = constant.OFFSET_CLOSE
req.volume = posBuffer
self.writeCtaLog(u'{}平仓量{}，大于昨多仓，拆分优先平昨仓数:{}'.format(
vtSymbol, volume, posBuffer))
req2 = copy(req)
req2.offset = constant.OFFSET_CLOSETODAY
req2.volume = volume - posBuffer
self.writeCtaLog(u'{}平仓量大于昨多仓，拆分到平今仓数:{}'.format(
vtSymbol, req2.volume))
reqcount = 2
elif orderType == CTAORDER_SHORT:
req.direction = constant.DIRECTION_SHORT
req.offset = constant.OFFSET_OPEN
elif orderType == CTAORDER_COVER:
req.direction = constant.DIRECTION_LONG
# # 只有上期所才要考虑平今平昨
if contract.exchange != constant.EXCHANGE_SHFE:
req.offset = constant.OFFSET_CLOSE
else:
# 获取持仓缓存数据
posBuffer = self.ydPositionDict.get(vtSymbol + '_SHORT', None)
# 如果获取持仓缓存失败，则默认平昨
if not posBuffer:
self.writeCtaLog(u'获取昨持空仓为0，发出平今指令')
req.offset = constant.OFFSET_CLOSETODAY
elif posBuffer:
if volume <= posBuffer:
req.offset = constant.OFFSET_CLOSE
self.writeCtaLog(u'{}优先平昨，昨空仓:{}，平仓数:{}'.format(
vtSymbol, posBuffer, volume))
req.offset = constant.OFFSET_CLOSE
if (posBuffer - volume) > 0:
self.writeCtaLog(u'{}剩余昨空仓{}'.format(
vtSymbol, (posBuffer - volume)))
else:
req.offset = constant.OFFSET_CLOSE
req.volume = posBuffer
self.writeCtaLog(u'{}平仓量{}，大于昨空仓，拆分优先平昨仓数:{}'.format(
vtSymbol, volume, posBuffer))
req2 = copy(req)
req2.offset = constant.OFFSET_CLOSETODAY
req2.volume = volume - posBuffer
self.writeCtaLog(u'{}平仓量大于昨空仓，拆分到平今仓数:{}'.format(
vtSymbol, req2.volume))
reqcount = 2
# 委托转换
# reqList = self.mainEngine.convertOrderReq(req) # 不转了
if reqcount == 1:
reqList = [req]
else:
reqList = [req, req2]
vtOrderIDList = [] # 维系一个列表 vtOrderIDList
# if not reqList:
# return vtOrderIDList
for convertedReq in reqList:
vtOrderID = self.mainEngine.sendOrder(convertedReq,
contract.gatewayName) # 发单
self.orderStrategyDict[vtOrderID] = strategy # 保存vtOrderID和策略的映射关系
self.strategyOrderDict[strategy.name].add(vtOrderID) # 添加到策略委托号集合中
vtOrderIDList.append(vtOrderID)
self.writeCtaLog('策略%s: 发送%s委托%s, 交易：%s，%s，数量：%s @ %s' %
(strategy.name, priceType, vtOrderID, vtSymbol,
orderType, volume, price))
return vtOrderIDList
def sendOrder(self, vtSymbol, orderType, price, volume, strategy):
"""发单"""
print(orderType)
contract = self.mainEngine.getContract(vtSymbol)
req = VtOrderReq()
req.symbol = contract.symbol
req.exchange = contract.exchange
req.vtSymbol = contract.vtSymbol
req.price = self.roundToPriceTick(contract.priceTick, price)
req.volume = volume
req.productClass = strategy.productClass
req.currency = strategy.currency
# 设计为CTA引擎发出的委托只允许使用限价单
req.priceType = PRICETYPE_LIMITPRICE #PRICETYPE_MARKETPRICE
direction = 'LONG'
offset = 'OPEN'
# CTA委托类型映射
if orderType == CTAORDER_BUY:
req.direction = DIRECTION_LONG
req.offset = OFFSET_OPEN
elif orderType == CTAORDER_SELL:
req.direction = DIRECTION_SHORT
req.offset = OFFSET_CLOSE
#req.priceType = PRICETYPE_MARKETPRICE
direction = 'SHORT'
offset = 'CLOSE'
elif orderType == CTAORDER_SHORT:
req.direction = DIRECTION_SHORT
req.offset = OFFSET_OPEN
direction = 'SHORT'
offset = 'OPEN'
elif orderType == CTAORDER_COVER:
req.direction = DIRECTION_LONG
req.offset = OFFSET_CLOSE
#req.priceType = PRICETYPE_MARKETPRICE
direction = 'LONG'
offset = 'CLOSE'
# 委托转换
reqList = self.mainEngine.convertOrderReq(req)
vtOrderIDList = []
if not reqList:
return vtOrderIDList
for convertedReq in reqList:
vtOrderID = self.mainEngine.sendOrder(convertedReq,
contract.gatewayName) # 发单
self.orderStrategyDict[vtOrderID] = strategy # 保存vtOrderID和策略的映射关系
self.strategyOrderDict[strategy.name].add(vtOrderID) # 添加到策略委托号集合中
vtOrderIDList.append(vtOrderID)
self.writeCtaLog(u'策略%s发送委托，%s，%s,%s,，%s@%s,%s' %
(strategy.name, vtSymbol, req.direction, req.offset,
volume, price, vtOrderID))
date = dt.datetime.now().strftime("%Y%m%d")
time = dt.datetime.now().strftime("%H:%M:%S")
dict1 = {
'symbol': req.symbol,
'date': date,
'time': time,
'price': req.price,
'volume': 1,
'direction': direction,
'offset': offset
}
self.mainEngine.dbUpdateTradeRecord(Trade_DB_NAME, strategy.className,
dict1)
#addTradeRecord(req) req.symbol,req.vtSymbol,req.offset,req.direction,req.price,req.volume
return vtOrderIDList