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exchange.py
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114 lines (108 loc) · 5.29 KB
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# -*- coding: utf-8 -*-
from quantdigger.datastruct import Transaction, PriceType, TradeSide, Direction
from quantdigger.event import FillEvent
from quantdigger.util import elogger as logger
class Exchange(object):
""" 模拟交易所。
:ivar events: 事件池。
:ivar name: 策略名，用于代码跟踪。
"""
def __init__(self, name, events_pool, slippage=None, strict=True):
self.events = events_pool
self.name = name
self._slippage = slippage
self._open_orders = set()
# strict 为False表示只关注信号源的可视化，而非实际成交情况。
self._strict = strict
self._datetime = None
def make_market(self, bars, at_baropen):
""" 价格撮合"""
if len(self._open_orders) == 0:
return
fill_orders = set()
for order in self._open_orders:
if order.side == TradeSide.CANCEL:
fill_orders.add(order)
transact = Transaction(order)
self.events.put(FillEvent(transact))
continue
try:
bar = bars[order.contract]
except KeyError:
logger.error('所交易的合约[%s]数据不存在' % order.contract)
continue
transact = Transaction(order)
if self._strict:
if at_baropen:
if order.price_type == PriceType.LMT:
price = bar.open
if (order.side == TradeSide.KAI and \
(order.direction == Direction.LONG and order.price >= price or \
order.direction == Direction.SHORT and order.price <= price)) or \
(order.side == TradeSide.PING and \
(order.direction == Direction.LONG and order.price <= price or \
order.direction == Direction.SHORT and order.price >= price)):
transact.price = order.price
transact.datetime = bar.datetime
fill_orders.add(order)
self.events.put(FillEvent(transact))
elif order.price_type == PriceType.MKT:
transact.price = bar.open
transact.datetime = bar.datetime
# recompute commission when price changed
transact.compute_commission()
fill_orders.add(order)
self.events.put(FillEvent(transact))
else:
if order.price_type == PriceType.LMT:
# 限价单以最高和最低价格为成交的判断条件．
if (order.side == TradeSide.KAI and \
(order.direction == Direction.LONG and order.price >= bar.low or \
order.direction == Direction.SHORT and order.price <= bar.high)) or \
(order.side == TradeSide.PING and \
(order.direction == Direction.LONG and order.price <= bar.high or \
order.direction == Direction.SHORT and order.price >= bar.low)):
transact.price = order.price
# Bar的结束时间做为交易成交时间.
transact.datetime = bar.datetime
fill_orders.add(order)
self.events.put(FillEvent(transact))
elif order.price_type == PriceType.MKT:
# 市价单以最高或最低价格为成交价格．
if order.side == TradeSide.KAI:
if order.direction == Direction.LONG:
transact.price = bar.high
else:
transact.price = bar.low
elif order.side == TradeSide.PING:
if order.direction == Direction.LONG:
transact.price = bar.low
else:
transact.price = bar.high
transact.datetime = bar.datetime
# recompute commission when price changed
transact.compute_commission()
fill_orders.add(order)
self.events.put(FillEvent(transact))
else:
transact.datetime = bar.datetime
fill_orders.add(order)
#
self.events.put(FillEvent(transact))
# end of for
if fill_orders:
self._open_orders -= fill_orders
def insert_order(self, event):
"""
模拟交易所收到订单。
"""
## @TODO
if event.order in self._open_orders:
# 撤单处理, set不会自动覆盖。
self._open_orders.remove(event.order)
self._open_orders.add(event.order)
def update_datetime(self, dt):
if self._datetime:
if self._datetime.date() != dt.date():
self._open_orders.clear()
self._datetime = dt