[更新] 修复回测的手续费计算，更新模板，增加网格买卖开平操作
This commit is contained in:
msincenselee
parent
5766873849
commit
0b626d7501
@ -2118,11 +2118,11 @@ class TradingResult(object):
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self.volume = volume # 交易数量（+/-代表方向）
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self.group_id = group_id # 主交易ID（针对多手平仓）
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self.turnover = (self.open_price + self.exit_price) * size * abs(volume) # 成交金额
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self.turnover = (self.open_price + self.exit_price) * abs(volume) # 成交金额
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if fix_commission > 0:
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self.commission = fix_commission * abs(self.volume)
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else:
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self.commission = abs(self.turnover * rate) # 手续费成本
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self.slippage = slippage * 2 * size * abs(volume) # 滑点成本
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self.slippage = slippage * 2 * abs(volume) # 滑点成本
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self.pnl = ((self.exit_price - self.open_price) * volume * size
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- self.commission - self.slippage) # 净盈亏
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@ -452,9 +452,10 @@ class CtaFutureTemplate(CtaTemplate):
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self.gt = None # 网格交易组件
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self.klines = {} # K线组件字典: kline_name: kline
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self.cur_datetime = None # 当前Tick时间
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self.cur_tick = None # 最新的合约tick( vt_symbol)
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self.cur_datetime: datetime = None # 当前Tick时间
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self.cur_tick: TickData = None # 最新的合约tick( vt_symbol)
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self.cur_price = None # 当前价（主力合约 vt_symbol)
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self.account_pos = None # 当前账号vt_symbol持仓信息
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self.last_minute = None # 最后的分钟,用于on_tick内每分钟处理的逻辑
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@ -570,6 +571,10 @@ class CtaFutureTemplate(CtaTemplate):
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self.write_error(f'获取klines切片数据失败:{str(ex)}')
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return {}
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def init_policy(self):
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self.write_log(u'init_policy(),初始化执行逻辑')
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self.policy.load()
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def init_position(self):
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"""
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初始化Positin
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@ -660,32 +665,600 @@ class CtaFutureTemplate(CtaTemplate):
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self.write_log(u'当前持仓:{}'.format(pos_list))
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return pos_list
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def tns_cancel_logic(self, dt, force=False):
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def on_trade(self, trade: TradeData):
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"""交易更新"""
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self.write_log(u'{},交易更新:{},当前持仓：{} '
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.format(self.cur_datetime,
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trade.__dict__,
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self.position.pos))
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dist_record = dict()
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if self.backtesting:
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dist_record['datetime'] = trade.time
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else:
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dist_record['datetime'] = ' '.join([self.cur_datetime.strftime('%Y-%m-%d'), trade.time])
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dist_record['volume'] = trade.volume
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dist_record['price'] = trade.price
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dist_record['symbol'] = trade.vt_symbol
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if trade.direction == Direction.LONG and trade.offset == Offset.OPEN:
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dist_record['operation'] = 'buy'
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self.position.open_pos(trade.direction, volume=trade.volume)
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dist_record['long_pos'] = self.position.long_pos
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dist_record['short_pos'] = self.position.short_pos
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if trade.direction == Direction.SHORT and trade.offset == Offset.OPEN:
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dist_record['operation'] = 'short'
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self.position.open_pos(trade.direction, volume=trade.volume)
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dist_record['long_pos'] = self.position.long_pos
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dist_record['short_pos'] = self.position.short_pos
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if trade.direction == Direction.LONG and trade.offset != Offset.OPEN:
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dist_record['operation'] = 'cover'
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self.position.close_pos(trade.direction, volume=trade.volume)
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dist_record['long_pos'] = self.position.long_pos
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dist_record['short_pos'] = self.position.short_pos
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if trade.direction == Direction.SHORT and trade.offset != Offset.OPEN:
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dist_record['operation'] = 'sell'
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self.position.close_pos(trade.direction, volume=trade.volume)
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dist_record['long_pos'] = self.position.long_pos
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dist_record['short_pos'] = self.position.short_pos
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self.save_dist(dist_record)
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self.pos = self.position.pos
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def on_order(self, order: OrderData):
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"""报单更新"""
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# 未执行的订单中，存在是异常，删除
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self.write_log(u'{}报单更新，{}'.format(self.cur_datetime, order.__dict__))
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if order.vt_orderid in self.active_orders:
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if order.volume == order.traded and order.status in [Status.ALLTRADED]:
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self.on_order_all_traded(order)
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elif order.offset == Offset.OPEN and order.status in [Status.CANCELLED]:
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# 开仓委托单被撤销
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self.on_order_open_canceled(order)
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elif order.offset != Offset.OPEN and order.status in [Status.CANCELLED]:
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# 平仓委托单被撤销
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self.on_order_close_canceled(order)
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elif order.status == Status.REJECTED:
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if order.offset == Offset.OPEN:
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self.write_error(u'{}委托单开{}被拒，price:{},total:{},traded:{}，status:{}'
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.format(order.vt_symbol, order.direction, order.price, order.volume,
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order.traded, order.status))
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self.on_order_open_canceled(order)
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else:
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self.write_error(u'OnOrder({})委托单平{}被拒，price:{},total:{},traded:{}，status:{}'
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.format(order.vt_symbol, order.direction, order.price, order.volume,
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order.traded, order.status))
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self.on_order_close_canceled(order)
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else:
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self.write_log(u'委托单未完成,total:{},traded:{},tradeStatus:{}'
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.format(order.volume, order.traded, order.status))
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else:
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self.write_error(u'委托单{}不在策略的未完成订单列表中:{}'.format(order.vt_orderid, self.active_orders))
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def on_order_all_traded(self, order: OrderData):
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"""
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订单全部成交
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:param order:
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:return:
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"""
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self.write_log(u'{},委托单:{}全部完成'.format(order.time, order.vt_orderid))
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order_info = self.active_orders[order.vt_orderid]
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# 通过vt_orderid，找到对应的网格
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grid = order_info.get('grid', None)
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if grid is not None:
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# 移除当前委托单
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if order.vt_orderid in grid.order_ids:
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grid.order_ids.remove(order.vt_orderid)
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# 网格的所有委托单已经执行完毕
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if len(grid.order_ids) == 0:
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grid.order_status = False
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grid.traded_volume = 0
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# 平仓完毕（cover， sell）
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if order.offset != Offset.OPEN:
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grid.open_status = False
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grid.close_status = True
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self.write_log(f'{grid.direction.value}单已平仓完毕,order_price:{order.price}'
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+ f',volume:{order.volume}')
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self.write_log(f'移除网格:{grid.to_json()}')
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self.gt.remove_grids_by_ids(direction=grid.direction, ids=[grid.id])
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# 开仓完毕( buy, short)
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else:
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grid.open_status = True
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self.write_log(f'{grid.direction.value}单已开仓完毕,order_price:{order.price}'
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+ f',volume:{order.volume}')
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# 网格的所有委托单部分执行完毕
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else:
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old_traded_volume = grid.traded_volume
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grid.traded_volume += order.volume
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self.write_log(f'{grid.direction.value}单部分{order.offset}仓，'
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+ f'网格volume:{grid.volume}, traded_volume:{old_traded_volume}=>{grid.traded_volume}')
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self.write_log(f'剩余委托单号:{grid.order_ids}')
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# 在策略得活动订单中，移除
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self.active_orders.pop(order.vt_orderid, None)
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def on_order_open_canceled(self, order: OrderData):
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"""
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委托开仓单撤销
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如果是FAK模式，重新修改价格，再提交
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FAK用于实盘，需要增加涨跌停判断
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:param order:
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:return:
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"""
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self.write_log(u'委托开仓单撤销:{}'.format(order.__dict__))
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if not self.trading:
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if not self.backtesting:
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self.write_error(u'当前不允许交易')
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return
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if order.vt_orderid not in self.active_orders:
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self.write_error(u'{}不在未完成的委托单中{}。'.format(order.vt_orderid, self.active_orders))
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return
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# 直接更新“未完成委托单”，更新volume,retry次数
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old_order = self.active_orders[order.vt_orderid]
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self.write_log(u'{} 委托信息:{}'.format(order.vt_orderid, old_order))
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old_order['traded'] = order.traded
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order_vt_symbol = copy(old_order['vt_symbol'])
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order_volume = old_order['volume'] - old_order['traded']
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if order_volume <= 0:
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msg = u'{} {}{}需重新开仓数量为{}，不再开仓' \
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.format(self.strategy_name,
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order.vt_orderid,
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order_vt_symbol,
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order_volume)
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self.write_error(msg)
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self.write_log(u'移除:{}'.format(order.vt_orderid))
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self.active_orders.pop(order.vt_orderid, None)
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return
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order_price = old_order['price']
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order_type = old_order.get('order_type', OrderType.LIMIT)
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order_retry = old_order.get('retry', 0)
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grid = old_order.get('grid', None)
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if order_retry > 20:
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# 这里超过20次尝试失败后，不再尝试,发出告警信息
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msg = u'{} {}/{}手， 重试开仓次数{}>20' \
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.format(self.strategy_name,
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order_vt_symbol,
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order_volume,
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order_retry)
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self.write_error(msg)
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self.send_wechat(msg)
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if grid:
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if order.vt_orderid in grid.order_ids:
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grid.order_ids.remove(order.vt_orderid)
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# 网格的所有委托单已经执行完毕
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if len(grid.order_ids) == 0:
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grid.order_status = False
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self.gt.save()
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self.write_log(u'网格信息更新:{}'.format(grid.__dict__))
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self.write_log(u'移除:{}'.format(order.vt_orderid))
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self.active_orders.pop(order.vt_orderid, None)
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return
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order_retry += 1
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pre_status = old_order.get('status', Status.NOTTRADED)
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old_order.update({'status': Status.CANCELLED})
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self.write_log(u'委托单状态:{}=>{}'.format(pre_status, old_order.get('status')))
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if grid:
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if order.vt_orderid in grid.order_ids:
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grid.order_ids.remove(order.vt_orderid)
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if not grid.order_ids:
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grid.order_status = False
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self.gt.save()
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self.active_orders.update({order.vt_orderid: old_order})
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self.display_grids()
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def on_order_close_canceled(self, order: OrderData):
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"""委托平仓单撤销"""
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self.write_log(u'委托平仓单撤销:{}'.format(order.__dict__))
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if order.vt_orderid not in self.active_orders:
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self.write_error(u'{}不在未完成的委托单中:{}。'.format(order.vt_orderid, self.active_orders))
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return
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if not self.trading:
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self.write_error(u'当前不允许交易')
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return
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# 直接更新“未完成委托单”，更新volume,Retry次数
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old_order = self.active_orders[order.vt_orderid]
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self.write_log(u'{} 订单信息:{}'.format(order.vt_orderid, old_order))
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old_order['traded'] = order.traded
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# order_time = old_order['order_time']
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order_symbol = copy(old_order['symbol'])
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order_volume = old_order['volume'] - old_order['traded']
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if order_volume <= 0:
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msg = u'{} {}{}重新平仓数量为{}，不再平仓' \
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.format(self.strategy_name, order.vt_orderid, order_symbol, order_volume)
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self.write_error(msg)
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self.send_wechat(msg)
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self.write_log(u'活动订单移除:{}'.format(order.vt_orderid))
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self.active_orders.pop(order.vt_orderid, None)
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return
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order_price = old_order['price']
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order_type = old_order.get('order_type', OrderType.LIMIT)
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order_retry = old_order['retry']
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grid = old_order.get('grid', None)
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if order_retry > 20:
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msg = u'{} 平仓撤单 {}/{}手， 重试平仓次数{}>20' \
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.format(self.strategy_name, order_symbol, order_volume, order_retry)
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self.write_error(msg)
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self.send_wechat(msg)
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if grid:
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if order.vt_orderid in grid.order_ids:
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grid.order_ids.remove(order.vt_orderid)
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if not grid.order_ids:
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grid.order_status = False
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self.gt.save()
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self.write_log(u'更新网格=>{}'.format(grid.__dict__))
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self.write_log(u'移除活动订单:{}'.format(order.vt_orderid))
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self.active_orders.pop(order.vt_orderid, None)
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return
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order_retry += 1
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pre_status = old_order.get('status', Status.NOTTRADED)
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old_order.update({'status': Status.CANCELLED})
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self.write_log(u'委托单状态:{}=>{}'.format(pre_status, old_order.get('status')))
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if grid:
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if order.vt_orderid in grid.order_ids:
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grid.order_ids.remove(order.vt_orderid)
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if len(grid.order_ids) == 0:
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grid.order_status = False
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self.gt.save()
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self.active_orders.update({order.vt_orderid: old_order})
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self.display_grids()
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def on_stop_order(self, stop_order: StopOrder):
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self.write_log(f'停止单触发:{stop_order.__dict__}')
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def grid_check_stop(self):
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"""
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网格逐一止损/止盈检查 (根据指数价格进行止损止盈）
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:return:
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"""
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if self.entrust != 0:
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return
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if not self.trading and not self.inited:
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self.write_error(u'当前不允许交易')
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return
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# 多单网格逐一止损/止盈检查：
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long_grids = self.gt.get_opened_grids(direction=Direction.LONG)
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for g in long_grids:
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if g.stop_price > 0 and g.stop_price > self.cur_price and g.open_status and not g.order_status:
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# 调用平仓模块
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self.write_log(u'{} {}当前价:{} 触发多单止损线{},开仓价:{},v：{}'.
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format(self.cur_datetime,
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self.vt_symbol,
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self.cur_price,
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g.stop_price,
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g.open_price,
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g.volume))
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if self.grid_sell(g):
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self.write_log(u'多单止盈/止损委托成功')
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else:
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self.write_error(u'多单止损委托失败')
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# 空单网格止损检查
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short_grids = self.gt.get_opened_grids(direction=Direction.SHORT)
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for g in short_grids:
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if g.stop_price > 0 and g.stop_price < self.cur_price and g.open_status and not g.order_status:
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# 网格止损
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self.write_log(u'{} {}当前价:{} 触发空单止损线:{}, 开仓价:{},v：{}'.
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format(self.cur_datetime, self.vt_symbol, self.cur_price, g.stop_price,
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g.open_price, g.volume))
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if self.grid_cover(g):
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self.write_log(u'空单止盈/止损委托成功')
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else:
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self.write_error(u'委托空单平仓失败')
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def grid_buy(self, grid):
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"""
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事务开多仓
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:return:
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"""
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vt_orderids = self.buy(price=self.cur_price, volume=grid.volume, grid=grid)
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if len(vt_orderids) > 0:
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self.write_log(u'创建{}事务多单,开仓价：{}，数量：{}，止盈价:{},止损价:{}'
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.format(grid.type, grid.open_price, grid.volume, grid.close_price, grid.stop_price))
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self.gt.dn_grids.append(grid)
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self.gt.save()
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return True
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else:
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self.write_error(u'创建{}事务多单,委托失败，开仓价：{}，数量：{}，止盈价:{}'
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.format(grid.type, grid.open_price, grid.volume, grid.close_price))
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return False
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def grid_short(self, grid):
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"""
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事务开空仓
|
||||
:return:
|
||||
"""
|
||||
|
||||
vt_orderids = self.short(price=self.cur_price, volume=grid.volume, grid=grid)
|
||||
if len(vt_orderids) > 0:
|
||||
self.write_log(u'创建{}事务空单,指数开空价：{}，主力开仓价:{},数量：{}，止盈价:{},止损价:{}'
|
||||
.format(grid.type, grid.open_price, self.cur_price, grid.volume, grid.close_price,
|
||||
grid.stop_price))
|
||||
self.gt.up_grids.append(grid)
|
||||
self.gt.save()
|
||||
return True
|
||||
else:
|
||||
self.write_error(u'创建{}事务空单,委托失败,开仓价：{}，数量：{}，止盈价:{}'
|
||||
.format(grid.type, grid.open_price, grid.volume, grid.close_price))
|
||||
return False
|
||||
|
||||
def grid_sell(self, grid):
|
||||
"""
|
||||
事务平多单仓位
|
||||
1.来源自止损止盈平仓
|
||||
:param 平仓网格
|
||||
:return:
|
||||
"""
|
||||
self.write_log(u'执行事务平多仓位:{}'.format(grid.to_json()))
|
||||
|
||||
if self.account_pos is None:
|
||||
self.write_error(u'无法获取{}得持仓信息'.format(self.vt_symbol))
|
||||
return False
|
||||
|
||||
# 发出委托卖出单
|
||||
if self.backtesting:
|
||||
sell_price = self.cur_price - self.price_tick
|
||||
else:
|
||||
sell_price = self.cur_tick.bid_price_1
|
||||
|
||||
# 发出平多委托
|
||||
if grid.traded_volume > 0:
|
||||
grid.volume -= grid.traded_volume
|
||||
grid.traded_volume = 0
|
||||
|
||||
if self.account_pos.long_pos < grid.volume:
|
||||
self.write_error(u'当前{}的多单持仓:{}，不满足平仓目标:{}'
|
||||
.format(self.vt_symbol,
|
||||
self.account_pos.long_pos,
|
||||
grid.volume))
|
||||
|
||||
vt_orderids = self.sell(price=sell_price, volume=grid.volume, order_time=self.cur_datetime, grid=grid)
|
||||
if len(vt_orderids) == 0:
|
||||
if self.backtesting:
|
||||
self.write_error(u'多单平仓委托失败')
|
||||
else:
|
||||
self.write_error(u'多单平仓委托失败')
|
||||
return False
|
||||
else:
|
||||
self.write_log(u'多单平仓委托成功，编号:{}'.format(vt_orderids))
|
||||
|
||||
return True
|
||||
|
||||
def grid_cover(self, grid):
|
||||
"""
|
||||
事务平空单仓位
|
||||
1.来源自止损止盈平仓
|
||||
:param 平仓网格
|
||||
:return:
|
||||
"""
|
||||
self.write_log(u'执行事务平空仓位:{}'.format(grid.to_json()))
|
||||
|
||||
if self.account_pos is None:
|
||||
self.write_error(u'无法获取{}得持仓信息'.format(self.vt_symbol))
|
||||
return False
|
||||
|
||||
# 发出委托单
|
||||
if self.backtesting:
|
||||
cover_price = self.cur_price + self.price_tick
|
||||
else:
|
||||
cover_price = self.cur_tick.ask_price_1
|
||||
|
||||
# 发出cover委托
|
||||
if grid.traded_volume > 0:
|
||||
grid.volume -= grid.traded_volume
|
||||
grid.traded_volume = 0
|
||||
|
||||
vt_orderids = self.cover(price=cover_price,
|
||||
volume=grid.volume,
|
||||
order_time=self.cur_datetime,
|
||||
grid=grid)
|
||||
if len(vt_orderids) == 0:
|
||||
if self.backtesting:
|
||||
self.write_error(u'空单平仓委托失败')
|
||||
else:
|
||||
self.write_error(u'空单平仓委托失败')
|
||||
return False
|
||||
else:
|
||||
self.write_log(u'空单平仓委托成功，编号:{}'.format(vt_orderids))
|
||||
return True
|
||||
|
||||
def cancel_all_orders(self):
|
||||
"""
|
||||
重载撤销所有正在进行得委托
|
||||
:return:
|
||||
"""
|
||||
self.write_log(u'撤销所有正在进行得委托')
|
||||
self.tns_cancel_logic(dt=datetime.now(), force=True, reopen=False)
|
||||
|
||||
def tns_cancel_logic(self, dt, force=False, reopen=False):
|
||||
"撤单逻辑"""
|
||||
if len(self.active_orders) < 1:
|
||||
self.entrust = 0
|
||||
return
|
||||
|
||||
canceled_ids = []
|
||||
|
||||
for vt_orderid in list(self.active_orders.keys()):
|
||||
order_info = self.active_orders.get(vt_orderid)
|
||||
if order_info.get('status', None) in [Status.CANCELLED, Status.REJECTED]:
|
||||
self.active_orders.pop(vt_orderid, None)
|
||||
order_info = self.active_orders[vt_orderid]
|
||||
order_vt_symbol = order_info.get('vt_symbol', self.vt_symbol)
|
||||
order_time = order_info['order_time']
|
||||
order_volume = order_info['volume'] - order_info['traded']
|
||||
# order_price = order_info['price']
|
||||
# order_direction = order_info['direction']
|
||||
# order_offset = order_info['offset']
|
||||
order_grid = order_info['grid']
|
||||
order_status = order_info.get('status', Status.NOTTRADED)
|
||||
order_type = order_info.get('order_type', OrderType.LIMIT)
|
||||
over_seconds = (dt - order_time).total_seconds()
|
||||
|
||||
# 只处理未成交的限价委托单
|
||||
if order_status in [Status.NOTTRADED] and order_type == OrderType.LIMIT:
|
||||
if over_seconds > self.cancel_seconds or force: # 超过设置的时间还未成交
|
||||
self.write_log(u'超时{}秒未成交，取消委托单：vt_orderid:{},order:{}'
|
||||
.format(over_seconds, vt_orderid, order_info))
|
||||
order_info.update({'status': Status.CANCELING})
|
||||
self.active_orders.update({vt_orderid: order_info})
|
||||
ret = self.cancel_order(str(vt_orderid))
|
||||
if not ret:
|
||||
self.write_log(u'撤单失败,更新状态为撤单成功')
|
||||
order_info.update({'status': Status.CANCELLED})
|
||||
self.active_orders.update({vt_orderid: order_info})
|
||||
|
||||
continue
|
||||
|
||||
order_time = order_info.get('order_time')
|
||||
over_ms = (dt - order_time).total_seconds()
|
||||
if (over_ms > self.cancel_seconds) \
|
||||
or force: # 超过设置的时间还未成交
|
||||
self.write_log(f'{dt}, 超时{over_ms}秒未成交，取消委托单：{order_info}')
|
||||
# 处理状态为‘撤销’的委托单
|
||||
elif order_status == Status.CANCELLED:
|
||||
self.write_log(u'委托单{}已成功撤单，删除{}'.format(vt_orderid, order_info))
|
||||
canceled_ids.append(vt_orderid)
|
||||
|
||||
if self.cancel_order(vt_orderid):
|
||||
order_info.update({'status': Status.CANCELLING})
|
||||
if reopen:
|
||||
# 撤销的委托单，属于开仓类，需要重新委托
|
||||
if order_info['offset'] == Offset.OPEN:
|
||||
self.write_log(u'超时撤单后，重新开仓')
|
||||
# 开空委托单
|
||||
if order_info['direction'] == Direction.SHORT:
|
||||
if self.backtesting:
|
||||
short_price = self.cur_price - self.price_tick
|
||||
else:
|
||||
short_price = self.cur_tick.bid_price_1
|
||||
if order_grid.volume != order_volume and order_volume > 0:
|
||||
self.write_log(
|
||||
u'网格volume:{},order_volume:{}不一致，修正'.format(order_grid.volume, order_volume))
|
||||
order_grid.volume = order_volume
|
||||
|
||||
self.write_log(u'重新提交{}开空委托,开空价{}，v:{}'.format(order_vt_symbol, short_price, order_volume))
|
||||
vt_orderids = self.short(price=short_price,
|
||||
volume=order_volume,
|
||||
vt_symbol=order_vt_symbol,
|
||||
order_type=order_type,
|
||||
order_time=self.cur_datetime,
|
||||
grid=order_grid)
|
||||
|
||||
if len(vt_orderids) > 0:
|
||||
self.write_log(u'委托成功，orderid:{}'.format(vt_orderids))
|
||||
order_grid.snapshot.update({'open_price': short_price})
|
||||
else:
|
||||
self.write_error(u'撤单后，重新委托开空仓失败')
|
||||
else:
|
||||
if self.backtesting:
|
||||
buy_price = self.cur_price + self.price_tick
|
||||
else:
|
||||
buy_price = self.cur_tick.ask_price_1
|
||||
if order_grid.volume != order_volume and order_volume > 0:
|
||||
self.write_log(
|
||||
u'网格volume:{},order_volume:{}不一致，修正'.format(order_grid.volume, order_volume))
|
||||
order_grid.volume = order_volume
|
||||
|
||||
self.write_log(u'重新提交{}开多委托,开多价{}，v:{}'.format(order_vt_symbol, buy_price, order_volume))
|
||||
vt_orderids = self.buy(price=buy_price,
|
||||
volume=order_volume,
|
||||
vt_symbol=order_vt_symbol,
|
||||
order_type=order_type,
|
||||
order_time=self.cur_datetime,
|
||||
grid=order_grid)
|
||||
|
||||
if len(vt_orderids) > 0:
|
||||
self.write_log(u'委托成功，orderids:{}'.format(vt_orderids))
|
||||
order_grid.snapshot.update({'open_price': buy_price})
|
||||
else:
|
||||
self.write_error(u'撤单后，重新委托开多仓失败')
|
||||
else:
|
||||
# 属于平多委托单
|
||||
if order_info['direction'] == Direction.SHORT:
|
||||
if self.backtesting:
|
||||
sell_price = self.cur_price - self.price_tick
|
||||
else:
|
||||
sell_price = self.cur_tick.bid_price_1
|
||||
self.write_log(u'重新提交{}平多委托,{}，v:{}'.format(order_vt_symbol, sell_price, order_volume))
|
||||
vt_orderids = self.sell(price=sell_price,
|
||||
volume=order_volume,
|
||||
vt_symbol=order_vt_symbol,
|
||||
order_type=order_type,
|
||||
order_time=self.cur_datetime,
|
||||
grid=order_grid)
|
||||
if len(vt_orderids) > 0:
|
||||
self.write_log(u'委托成功，orderids:{}'.format(vt_orderids))
|
||||
else:
|
||||
self.write_error(u'撤单后，重新委托平多仓失败')
|
||||
# 属于平空委托单
|
||||
else:
|
||||
if self.backtesting:
|
||||
cover_price = self.cur_price + self.price_tick
|
||||
else:
|
||||
cover_price = self.cur_tick.ask_price_1
|
||||
self.write_log(u'重新提交{}平空委托,委托价{}，v:{}'.format(order_vt_symbol, cover_price, order_volume))
|
||||
vt_orderids = self.cover(price=cover_price,
|
||||
volume=order_volume,
|
||||
vt_symbol=order_vt_symbol,
|
||||
order_type=order_type,
|
||||
order_time=self.cur_datetime,
|
||||
grid=order_grid)
|
||||
if len(vt_orderids) > 0:
|
||||
self.write_log(u'委托成功，orderids:{}'.format(vt_orderids))
|
||||
else:
|
||||
self.write_error(u'撤单后，重新委托平空仓失败')
|
||||
else:
|
||||
order_info.update({'status': Status.CANCELLED})
|
||||
if order_info['offset'] == Offset.OPEN \
|
||||
and order_grid \
|
||||
and len(order_grid.order_ids) == 0 \
|
||||
and order_grid.traded_volume == 0:
|
||||
self.write_log(u'移除委托网格{}'.format(order_grid.__dict__))
|
||||
order_info['grid'] = None
|
||||
self.gt.remove_grids_by_ids(direction=order_grid.direction, ids=[order_grid.id])
|
||||
|
||||
if len(self.active_orders) < 1:
|
||||
# 删除撤单的订单
|
||||
for vt_orderid in canceled_ids:
|
||||
self.write_log(u'删除orderID:{0}'.format(vt_orderid))
|
||||
self.active_orders.pop(vt_orderid, None)
|
||||
|
||||
if len(self.active_orders) == 0:
|
||||
self.entrust = 0
|
||||
|
||||
|
||||
def display_grids(self):
|
||||
"""更新网格显示信息"""
|
||||
if not self.inited:
|
||||
|
||||
Loading…
Reference in New Issue
Block a user