def _order2zp(self, order):
zp_order = ZPOrder(
id=order.client_order_id,
asset=symbol_lookup(order.symbol),
amount=int(order.qty) if order.side == 'buy' else -int(order.qty),
stop=float(order.stop_price) if order.stop_price else None,
limit=float(order.limit_price) if order.limit_price else None,
dt=order.submitted_at,
commission=0,
)
zp_order.status = ZP_ORDER_STATUS.OPEN
if order.canceled_at:
zp_order.status = ZP_ORDER_STATUS.CANCELLED
if order.failed_at:
zp_order.status = ZP_ORDER_STATUS.REJECTED
if order.filled_at:
zp_order.status = ZP_ORDER_STATUS.FILLED
zp_order.filled = int(order.filled_qty)
return zp_order
def tdx_order_to_zipline_order(self, order):
"""
status
0 已报
1 部分成交
2 全部成交
3 部分撤单
4 全部撤单
5 交易所拒单
6 柜台未接受
:param order:
:return:
"""
if order.status == "3" or '4' == order.status:
zp_status = ZP_ORDER_STATUS.CANCELLED
elif order.status == "0":
zp_status = ZP_ORDER_STATUS.OPEN
elif order.status == "1":
zp_status = ZP_ORDER_STATUS.FILLED
elif order.status == "2":
zp_status = ZP_ORDER_STATUS.HELD
elif order.status == "5" or order.status == "6":
zp_status = ZP_ORDER_STATUS.REJECTED
zp_order_id = self._tdx_to_zp_order_id(order.order_id)
od = ZPOrder(
dt=order.dt,
asset=symbol(order.symbol),
amount=order.amount,
filled=order.filled,
stop=None,
limit=order.price, # TODO 市价单和限价单
id=zp_order_id,
)
od.broker_order_id = order.order_id
od.status = zp_status
return od
def tdx_order_to_zipline_order(self, order):
if order.status is not None and 'CANCEL' == order.status:
zp_status = ZP_ORDER_STATUS.CANCELLED
elif order.filled == 0:
zp_status = ZP_ORDER_STATUS.OPEN
else:
zp_status = ZP_ORDER_STATUS.FILLED
zp_order_id = self._tdx_to_zp_order_id(order.order_id)
od = ZPOrder(
dt=pd.to_datetime(order.dt),
asset=symbol(order.symbol),
amount=order.amount,
filled=order.filled,
stop=None,
limit=order.price, # TODO 市价单和限价单
id=zp_order_id,
)
od.broker_order_id = order.order_id
od.status = zp_status
return od
def tdx_order_to_zipline_order(self, order):
if order.status == '已撤':
zp_status = ZP_ORDER_STATUS.CANCELLED
elif order.filled == 0:
zp_status = ZP_ORDER_STATUS.OPEN
else:
zp_status = ZP_ORDER_STATUS.FILLED
zp_order_id = self._tdx_to_zp_order_id(order.order_id)
od = ZPOrder(
dt=pd.to_datetime(order.dt),
asset=symbol(order.symbol),
amount=order.amount,
filled=order.filled,
stop=None,
limit=order.price, # TODO 市价单和限价单
id=zp_order_id,
)
od.broker_order_id = order.order_id
od.status = zp_status
return od