Update ctaDemo.py

vn.trader/ctaAlgo/ctaDemo.py

@@ -6,10 +6,8 @@
 2. 委托未成交，需要撤单后重新委托
 3. 断网后恢复交易状态
 4. 等等
-
 这些点是作者选择特意忽略不去实现，因此想实盘的朋友请自己多多研究CTA交易的一些细节，
 做到了然于胸后再去交易，对自己的money和时间负责。
-
 也希望社区能做出一个解决了以上潜在风险的Demo出来。
 """
 
@@ -180,5 +178,109 @@ class DoubleEmaDemo(CtaTemplate):
         """收到成交推送（必须由用户继承实现）"""
         # 对于无需做细粒度委托控制的策略，可以忽略onOrder
         pass
+########################################################################################
+## 基于tick级别细粒度撤单追单测试demo
 
-    
+class OrderManagementDemo(CtaTemplate):
+    """追撤单策略Demo"""
+    className = 'OrderManagementDemo'
+    author = u'用Python的交易员'
+    
+    # 策略参数
+
+    initDays = 10   # 初始化数据所用的天数
+    
+    # 策略变量
+    bar = None
+    barMinute = EMPTY_STRING
+    
+    
+    # 参数列表，保存了参数的名称
+    paramList = ['name',
+                 'className',
+                 'author',
+                 'vtSymbol']
+    
+    # 变量列表，保存了变量的名称
+    varList = ['inited',
+               'trading',
+               'pos']
+
+    #----------------------------------------------------------------------
+    def __init__(self, ctaEngine, setting):
+        """Constructor"""
+        super(OrderManagementDemo, self).__init__(ctaEngine, setting)
+		
+	    self.lastOrder = None
+        self.orderType = ''
+    #----------------------------------------------------------------------
+    def onInit(self):
+        """初始化策略（必须由用户继承实现）"""
+        self.writeCtaLog(u'双EMA演示策略初始化')
+        
+        initData = self.loadBar(self.initDays)
+        for bar in initData:
+            self.onBar(bar)
+        
+        self.putEvent()
+        
+    #----------------------------------------------------------------------
+    def onStart(self):
+        """启动策略（必须由用户继承实现）"""
+        self.writeCtaLog(u'双EMA演示策略启动')
+        self.putEvent()
+    
+    #----------------------------------------------------------------------
+    def onStop(self):
+        """停止策略（必须由用户继承实现）"""
+        self.writeCtaLog(u'双EMA演示策略停止')
+        self.putEvent()
+        
+    #----------------------------------------------------------------------
+    def onTick(self, tick):
+        """收到行情TICK推送（必须由用户继承实现）"""
+
+		# 建立不成交买单测试单	
+		
+		if self.lastOrder == None:
+        self.buy(tick.lastprice - 10.0, 1)
+
+	    # CTA委托类型映射
+        if self.lastOrder != None and self.lastOrder.direction == u'多' and self.lastOrder.offset == u'开仓':
+            self.orderType = u'买开'
+
+        elif self.lastOrder != None and self.lastOrder.direction == u'多' and self.lastOrder.offset == u'平仓':
+            self.orderType = u'买平'
+
+        elif self.lastOrder != None and self.lastOrder.direction == u'空' and self.lastOrder.offset == u'开仓':
+            self.orderType = u'卖开'
+
+        elif self.lastOrder != None and self.lastOrder.direction == u'空' and self.lastOrder.offset == u'平仓':
+            self.orderType = u'卖平'
+		
+		# 不成交，即撤单，并追单
+        if self.lastOrder != None and self.lastOrder.status == u'未成交':
+
+            self.cancelOrder(self.lastOrder.vtOrderID)
+            self.lastOrder = None
+        elif self.lastOrder != None and self.lastOrder.status == u'已撤销':
+            # 追单并设置为不能成交
+            
+            self.sendOrder(self.orderType, self.tick.lastprice - 10, 1)
+            self.lastOrder = None
+    #----------------------------------------------------------------------
+    def onBar(self, bar):
+        """收到Bar推送（必须由用户继承实现）"""
+		pass
+    #----------------------------------------------------------------------
+    def onOrder(self, order):
+        """收到委托变化推送（必须由用户继承实现）"""
+        # 对于无需做细粒度委托控制的策略，可以忽略onOrder
+        self.lastOrder = order
+    
+    #----------------------------------------------------------------------
+    def onTrade(self, trade):
+        """收到成交推送（必须由用户继承实现）"""
+        # 对于无需做细粒度委托控制的策略，可以忽略onOrder
+        pass
+