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[Add]增加停止单触发时对于委托失败的检查处理

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vn.py 2018-08-03 20:57:48 +08:00
parent 9be16f46ce
commit 176c4f26b1
1 changed files with 15 additions and 12 deletions
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27
vnpy/trader/app/ctaStrategy/ctaEngine.py
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@ -234,19 +234,22 @@ class CtaEngine(object):
price = tick.lowerLimit
# 发出市价委托
self.sendOrder(so.vtSymbol, so.orderType, price, so.volume, so.strategy)
vtOrderID = self.sendOrder(so.vtSymbol, so.orderType,
price, so.volume, so.strategy)
# 从活动停止单字典中移除该停止单
del self.workingStopOrderDict[so.stopOrderID]
# 从策略委托号集合中移除
s = self.strategyOrderDict[so.strategy.name]
if so.stopOrderID in s:
s.remove(so.stopOrderID)
# 更新停止单状态，并通知策略
so.status = STOPORDER_TRIGGERED
so.strategy.onStopOrder(so)
# 检查因为风控流控等原因导致的委托失败（无委托号）
if vtOrderID:
# 从活动停止单字典中移除该停止单
del self.workingStopOrderDict[so.stopOrderID]
# 从策略委托号集合中移除
s = self.strategyOrderDict[so.strategy.name]
if so.stopOrderID in s:
s.remove(so.stopOrderID)
# 更新停止单状态，并通知策略
so.status = STOPORDER_TRIGGERED
so.strategy.onStopOrder(so)
#----------------------------------------------------------------------
def processTickEvent(self, event):