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[Add]call strategy on_stop_order when receives server stop order event update

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This commit is contained in:
vn.py 2019-03-22 23:07:20 +08:00
parent a6ae319333
commit e296a8098c
1 changed files with 29 additions and 1 deletions
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30
vnpy/app/cta_strategy/engine.py
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@ -22,7 +22,9 @@ from vnpy.trader.object import (
ContractData
)
from vnpy.trader.event import EVENT_TICK, EVENT_ORDER, EVENT_TRADE
from vnpy.trader.constant import Direction, OrderType, Interval, Exchange, Offset
from vnpy.trader.constant import (
Direction, OrderType, Interval, Exchange, Offset, Status
)
from vnpy.trader.utility import load_json, save_json
from vnpy.trader.database import DbTickData, DbBarData
from vnpy.trader.setting import SETTINGS
@ -39,6 +41,16 @@ from .base import (
from .template import CtaTemplate
STOP_STATUS_MAP = {
Status.SUBMITTING: StopOrderStatus.WAITING,
Status.NOTTRADED: StopOrderStatus.WAITING,
Status.PARTTRADED: StopOrderStatus.TRIGGERED,
Status.ALLTRADED: StopOrderStatus.TRIGGERED,
Status.CANCELLED: StopOrderStatus.CANCELLED,
Status.REJECTED: StopOrderStatus.CANCELLED
}
class CtaEngine(BaseEngine):
""""""
@ -183,6 +195,22 @@ class CtaEngine(BaseEngine):
if order.vt_orderid in vt_orderids and not order.is_active():
vt_orderids.remove(order.vt_orderid)
# For server stop order, call strategy on_stop_order function
if order.type == OrderType.STOP:
so = StopOrder(
vt_symbol=order.vt_symbol,
direction=order.direction,
offset=order.offset,
price=order.price,
volume=order.volume,
stop_orderid=order.vt_orderid,
strategy_name=strategy.strategy_name,
status=STOP_STATUS_MAP[order.status],
vt_orderid=order.vt_orderid,
)
self.call_strategy_func(strategy, strategy.on_stop_order, so)
# Call strategy on_order function
self.call_strategy_func(strategy, strategy.on_order, order)
def process_trade_event(self, event: Event):