def _get_orders(asset1, asset2):
return {
sentinel.order_id1:
ZPOrder(dt=sentinel.dt,
asset=asset1,
amount=12,
stop=sentinel.stop1,
limit=sentinel.limit1,
id=sentinel.order_id1),
sentinel.order_id2:
ZPOrder(dt=sentinel.dt,
asset=asset1,
amount=-12,
limit=sentinel.limit2,
id=sentinel.order_id2),
sentinel.order_id3:
ZPOrder(dt=sentinel.dt,
asset=asset2,
amount=3,
stop=sentinel.stop2,
limit=sentinel.limit2,
id=sentinel.order_id3),
sentinel.order_id4:
ZPOrder(dt=sentinel.dt,
asset=asset2,
amount=-122,
id=sentinel.order_id4),
}
def order(self, asset, amount, style):
symbol = asset.symbol
qty = amount if amount > 0 else -amount
side = 'buy' if amount > 0 else 'sell'
order_type = 'market'
zp_order_id = self._new_order_id()
dt = pd.to_datetime('now', utc=True)
stop_price = self.get_stop_price(symbol)
limit_price = self.get_limit_price(symbol)
zp_order = ZPOrder(
dt=dt,
asset=asset,
amount=amount,
stop=stop_price,
limit=limit_price,
id=zp_order_id,
)
order = self.api_client.Order.Order_new(symbol=symbol,
orderQty=qty,
price=limit_price).result()[0]
zp_order = self._order2zp(order)
return zp_order
def _create_zp_order(self, order_id, asset, price, amount, order_type):
zp_order_id = self._tdx_to_zp_order_id(order_id)
if zp_order_id in self._orders:
return self._orders[zp_order_id]
dt = pd.to_datetime("now", utc=True)
self._orders[zp_order_id] = ZPOrder(
dt=dt,
asset=asset,
amount=amount,
stop=None,
limit=price if order_type is LIMIT_CHARGE else None,
id=zp_order_id,
broker_order_id=order_id)
return self._orders[zp_order_id]
def order(self, asset, amount, style):
if style.exit_take_profit_price is not None or style.exit_stop_loss_price is not None:
raise NotImplementedError(
'Order exit T/P or S/L prices support not implemented (Alpaca)!'
)
symbol = asset.symbol
qty = amount if amount > 0 else -amount
side = 'buy' if amount > 0 else 'sell'
order_type = 'market'
if isinstance(style, MarketOrder):
order_type = 'market'
elif isinstance(style, LimitOrder):
order_type = 'limit'
elif isinstance(style, StopOrder):
order_type = 'stop'
elif isinstance(style, StopLimitOrder):
order_type = 'stop_limit'
limit_price = style.get_limit_price(side == 'buy') or None
stop_price = style.get_stop_price(side == 'buy') or None
zp_order_id = self._new_order_id()
dt = pd.to_datetime('now', utc=True)
zp_order = ZPOrder(
dt=dt,
asset=asset,
amount=amount,
stop=stop_price,
limit=limit_price,
id=zp_order_id,
)
order = self._api.submit_order(
symbol=symbol,
qty=qty,
side=side,
type=order_type,
time_in_force='day',
limit_price=limit_price,
stop_price=stop_price,
client_order_id=zp_order.id,
)
zp_order = self._order2zp(order)
return zp_order
def order(self, asset, amount, limit_price, stop_price, style):
is_buy = (amount > 0)
zp_order = ZPOrder(
dt=pd.to_datetime('now', utc=True),
asset=asset,
amount=amount,
stop=style.get_stop_price(is_buy),
limit=style.get_limit_price(is_buy))
contract = Contract()
contract.m_symbol = str(asset.symbol)
contract.m_currency = self.currency
contract.m_exchange = 'SMART'
contract.m_secType = 'STK'
order = Order()
order.m_totalQuantity = int(fabs(amount))
order.m_action = "BUY" if amount > 0 else "SELL"
order.m_lmtPrice = 0
order.m_auxPrice = 0
if isinstance(style, MarketOrder):
order.m_orderType = "MKT"
elif isinstance(style, LimitOrder):
order.m_orderType = "LMT"
order.m_lmtPrice = limit_price
elif isinstance(style, StopOrder):
order.m_orderType = "STP"
order.m_auxPrice = stop_price
elif isinstance(style, StopLimitOrder):
order.m_orderType = "STP LMT"
order.m_auxPrice = stop_price
order.m_lmtPrice = limit_price
order.m_tif = "DAY"
ib_order_id = self._tws.next_order_id
zp_order.broker_order_id = ib_order_id
self.orders[zp_order.id] = zp_order
self._tws.placeOrder(ib_order_id, contract, order)
return zp_order.id
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 order(self, asset, amount, style):
symbol = asset.symbol
qty = amount if amount > 0 else -amount
side = 'buy' if amount > 0 else 'sell'
order_type = 'market'
if isinstance(style, MarketOrder):
order_type = 'market'
elif isinstance(style, LimitOrder):
order_type = 'limit'
elif isinstance(style, StopOrder):
order_type = 'stop'
elif isinstance(style, StopLimitOrder):
order_type = 'stop_limit'
limit_price = style.get_limit_price(side == 'buy') or None
stop_price = style.get_stop_price(side == 'buy') or None
zp_order_id = self._new_order_id()
dt = pd.to_datetime('now', utc=True)
zp_order = ZPOrder(
dt=dt,
asset=asset,
amount=amount,
stop=stop_price,
limit=limit_price,
id=zp_order_id,
)
order = self._api.submit_order(
symbol=symbol,
qty=qty,
side=side,
type=order_type,
time_in_force='day',
limit_price=limit_price,
stop_price=stop_price,
client_order_id=zp_order.id,
)
zp_order = self._order2zp(order)
return zp_order
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 _get_or_create_zp_order(self,
ib_order_id,
ib_order=None,
ib_contract=None):
zp_order_id = self._ib_to_zp_order_id(ib_order_id)
if zp_order_id in self._orders:
return self._orders[zp_order_id]
# Try to reconstruct the order from the given information:
# open order state and execution state
ib_symbol, order_details = None, None
if ib_order and ib_contract:
ib_symbol = ib_contract.symbol
order_details = self._parse_order_ref(ib_order.orderRef)
if not order_details and ib_order_id in self._tws.open_orders:
open_order = self._tws.open_orders[ib_order_id]
ib_symbol = open_order['contract'].symbol
order_details = self._parse_order_ref(open_order['order'].orderRef)
if not order_details and ib_order_id in self._tws.executions:
executions = self._tws.executions[ib_order_id]
last_exec_detail = list(executions.values())[-1]['exec_detail']
last_exec_contract = list(executions.values())[-1]['contract']
ib_symbol = last_exec_contract.symbol
order_details = self._parse_order_ref(last_exec_detail.orderRef)
asset = self._safe_symbol_lookup(ib_symbol)
if not asset:
log.warning("Ignoring symbol {symbol} which has associated "
"order but it is not registered in bundle".format(
symbol=ib_symbol))
return None
if order_details:
amount = self._action_qty_to_amount(order_details['action'],
order_details['qty'])
stop_price = order_details['stop_price']
limit_price = order_details['limit_price']
dt = order_details['dt']
else:
dt = pd.to_datetime('now', utc=True)
amount, stop_price, limit_price = 0, None, None
if ib_order_id in self._tws.open_orders:
open_order = self._tws.open_orders[ib_order_id]['order']
amount = self._action_qty_to_amount(open_order.action,
open_order.totalQuantity)
stop_price = open_order.auxPrice
limit_price = open_order.lmtPrice
stop_price = None if stop_price == 0 else stop_price
limit_price = None if limit_price == 0 else limit_price
self._orders[zp_order_id] = ZPOrder(dt=dt,
asset=asset,
amount=amount,
stop=stop_price,
limit=limit_price,
id=zp_order_id)
self._orders[zp_order_id].broker_order_id = ib_order_id
return self._orders[zp_order_id]