From a6ae319333558caa61a2ee8bd9ec85e500a5b6bf Mon Sep 17 00:00:00 2001 From: "vn.py" Date: Fri, 22 Mar 2019 22:31:19 +0800 Subject: [PATCH] [Add]cta strategy app supports for server side stop order --- vnpy/app/cta_strategy/backtesting.py | 1 - vnpy/app/cta_strategy/base.py | 1 - vnpy/app/cta_strategy/engine.py | 88 ++++++++++++++++++++++------ 3 files changed, 70 insertions(+), 20 deletions(-) diff --git a/vnpy/app/cta_strategy/backtesting.py b/vnpy/app/cta_strategy/backtesting.py index 989d41c6..cc00cad2 100644 --- a/vnpy/app/cta_strategy/backtesting.py +++ b/vnpy/app/cta_strategy/backtesting.py @@ -18,7 +18,6 @@ from vnpy.trader.utility import round_to_pricetick from .base import ( BacktestingMode, EngineType, - ORDER_CTA2VT, STOPORDER_PREFIX, StopOrder, StopOrderStatus, diff --git a/vnpy/app/cta_strategy/base.py b/vnpy/app/cta_strategy/base.py index 82fc03ce..4586c073 100644 --- a/vnpy/app/cta_strategy/base.py +++ b/vnpy/app/cta_strategy/base.py @@ -43,4 +43,3 @@ class StopOrder: EVENT_CTA_LOG = "eCtaLog" EVENT_CTA_STRATEGY = "eCtaStrategy" EVENT_CTA_STOPORDER = "eCtaStopOrder" - diff --git a/vnpy/app/cta_strategy/engine.py b/vnpy/app/cta_strategy/engine.py index d1ab5b5f..9eefcf2a 100644 --- a/vnpy/app/cta_strategy/engine.py +++ b/vnpy/app/cta_strategy/engine.py @@ -18,7 +18,8 @@ from vnpy.trader.object import ( SubscribeRequest, LogData, TickData, - BarData + BarData, + ContractData ) from vnpy.trader.event import EVENT_TICK, EVENT_ORDER, EVENT_TRADE from vnpy.trader.constant import Direction, OrderType, Interval, Exchange, Offset @@ -33,7 +34,6 @@ from .base import ( EngineType, StopOrder, StopOrderStatus, - ORDER_CTA2VT, STOPORDER_PREFIX ) from .template import CtaTemplate @@ -256,29 +256,26 @@ class CtaEngine(BaseEngine): strategy, strategy.on_stop_order, stop_order ) - def send_limit_order( + def send_server_order( self, strategy: CtaTemplate, + contract: ContractData, direction: Direction, offset: Offset, price: float, volume: float, + type: OrderType ): """ - Send a new order. + Send a new order to server. """ - contract = self.main_engine.get_contract(strategy.vt_symbol) - if not contract: - self.write_log(f"委托失败，找不到合约：{strategy.vt_symbol}", strategy) - return "" - # Create request and send order. req = OrderRequest( symbol=contract.symbol, exchange=contract.exchange, direction=direction, offset=offset, - type=OrderType.LIMIT, + type=type, price=price, volume=volume, ) @@ -292,8 +289,55 @@ class CtaEngine(BaseEngine): vt_orderids.add(vt_orderid) return vt_orderid + + def send_limit_order( + self, + strategy: CtaTemplate, + contract: ContractData, + direction: Direction, + offset: Offset, + price: float, + volume: float + ): + """ + Send a limit order to server. + """ + return self.send_server_order( + strategy, + contract, + direction, + offset, + price, + volume, + OrderType.LIMIT + ) + + def send_server_stop_order( + self, + strategy: CtaTemplate, + contract: ContractData, + direction: Direction, + offset: Offset, + price: float, + volume: float + ): + """ + Send a stop order to server. + + Should only be used if stop order supported + on the trading server. + """ + return self.send_server_order( + strategy, + contract, + direction, + offset, + price, + volume, + OrderType.STOP + ) - def send_stop_order( + def send_local_stop_order( self, strategy: CtaTemplate, direction: Direction, @@ -302,7 +346,7 @@ class CtaEngine(BaseEngine): volume: float, ): """ - Send a new order. + Create a new local stop order. """ self.stop_order_count += 1 stop_orderid = f"{STOPORDER_PREFIX}.{self.stop_order_count}" @@ -326,7 +370,7 @@ class CtaEngine(BaseEngine): return stop_orderid - def cancel_limit_order(self, strategy: CtaTemplate, vt_orderid: str): + def cancel_server_order(self, strategy: CtaTemplate, vt_orderid: str): """ Cancel existing order by vt_orderid. """ @@ -338,7 +382,7 @@ class CtaEngine(BaseEngine): req = order.create_cancel_request() self.main_engine.cancel_order(req, order.gateway_name) - def cancel_stop_order(self, strategy: CtaTemplate, stop_orderid: str): + def cancel_local_stop_order(self, strategy: CtaTemplate, stop_orderid: str): """ Cancel a local stop order. """ @@ -370,18 +414,26 @@ class CtaEngine(BaseEngine): ): """ """ + contract = self.main_engine.get_contract(strategy.vt_symbol) + if not contract: + self.write_log(f"委托失败，找不到合约：{strategy.vt_symbol}", strategy) + return "" + if stop: - return self.send_stop_order(strategy, direction, offset, price, volume) + if contract.stop_supported: + return self.send_server_stop_order(strategy, contract, direction, offset, price, volume) + else: + return self.send_local_stop_order(strategy, contract, direction, offset, price, volume) else: - return self.send_limit_order(strategy, direction, offset, price, volume) + return self.send_limit_order(strategy, contract, direction, offset, price, volume) def cancel_order(self, strategy: CtaTemplate, vt_orderid: str): """ """ if vt_orderid.startswith(STOPORDER_PREFIX): - self.cancel_stop_order(strategy, vt_orderid) + self.cancel_local_stop_order(strategy, vt_orderid) else: - self.cancel_limit_order(strategy, vt_orderid) + self.cancel_server_order(strategy, vt_orderid) def cancel_all(self, strategy: CtaTemplate): """