Create best_limit_algo.py

vnpy/app/algo_trading/algos/best_limit_algo.py

@@ -0,0 +1,112 @@
+from vnpy.trader.constant import Offset, Direction
+from vnpy.trader.object import TradeData, OrderData, TickData
+from vnpy.trader.engine import BaseEngine
+
+from vnpy.app.algo_trading import AlgoTemplate
+
+
+class BestLimitAlgo(AlgoTemplate):
+    """"""
+
+    display_name = "BestLimit 最优限价"
+
+    default_setting = {
+        "vt_symbol": "",
+        "direction": [Direction.LONG.value, Direction.SHORT.value],
+        "volume": 0.0,
+        "offset": [
+            Offset.NONE.value,
+            Offset.OPEN.value,
+            Offset.CLOSE.value,
+            Offset.CLOSETODAY.value,
+            Offset.CLOSEYESTERDAY.value
+        ]
+    }
+
+    variables = [
+        "traded",
+        "vt_orderid",
+        "order_price",
+        "last_tick",
+    ]
+
+    def __init__(
+        self,
+        algo_engine: BaseEngine,
+        algo_name: str,
+        setting: dict
+    ):
+        """"""
+        super().__init__(algo_engine, algo_name, setting)
+
+        # Parameters
+        self.vt_symbol = setting["vt_symbol"]
+        self.direction = Direction(setting["direction"])
+        self.volume = setting["volume"]
+        self.offset = Offset(setting["offset"])
+
+        # Variables
+        self.vt_orderid = ""
+        self.traded = 0
+        self.last_tick = None
+        self.order_price = 0
+
+        self.subscribe(self.vt_symbol)
+        self.put_parameters_event()
+        self.put_variables_event()
+
+    def on_tick(self, tick: TickData):
+        """"""
+        self.last_tick = tick
+
+        if self.direction == Direction.LONG:
+            if not self.vt_orderid:
+                self.buy_best_limit()
+            elif self.order_price != self.last_tick.bid_price_1:
+                self.cancel_all()
+        else:
+            if not self.vt_orderid:
+                self.sell_best_limit()
+            elif self.order_price != self.last_tick.ask_price_1:
+                self.cancel_all()
+
+        self.put_variables_event()
+
+    def on_trade(self, trade: TradeData):
+        """"""
+        self.traded += trade.volume
+
+        if self.traded >= self.volume:
+            self.write_log(f"已交易数量：{self.traded}，总数量：{self.volume}")
+            self.stop()
+        else:
+            self.put_variables_event()
+
+    def on_order(self, order: OrderData):
+        """"""
+        if not order.is_active():
+            self.vt_orderid = ""
+            self.order_price = 0
+            self.put_variables_event()   
+
+    def buy_best_limit(self):
+        """"""
+        order_volume = self.volume - self.traded
+        self.order_price = self.last_tick.bid_price_1
+        self.vt_orderid = self.buy(
+            self.vt_symbol,
+            self.order_price,
+            order_volume,
+            offset=self.offset
+        )        
+
+    def sell_best_limit(self):
+        """"""
+        order_volume = self.volume - self.traded
+        self.order_price = self.last_tick.ask_price_1
+        self.vt_orderid = self.sell(
+            self.vt_symbol,
+            self.order_price,
+            order_volume,
+            offset=self.offset
+        )