# -*- coding: utf-8 -*-
# 版权所有 2019 深圳米筐科技有限公司（下称“米筐科技”）
#
# 除非遵守当前许可，否则不得使用本软件。
#
# * 非商业用途（非商业用途指个人出于非商业目的使用本软件，或者高校、研究所等非营利机构出于教育、科研等目的使用本软件）：
# 遵守 Apache License 2.0（下称“Apache 2.0 许可”），
# 您可以在以下位置获得 Apache 2.0 许可的副本：http://www.apache.org/licenses/LICENSE-2.0。
# 除非法律有要求或以书面形式达成协议，否则本软件分发时需保持当前许可“原样”不变，且不得附加任何条件。
#
# * 商业用途（商业用途指个人出于任何商业目的使用本软件，或者法人或其他组织出于任何目的使用本软件）：
# 未经米筐科技授权，任何个人不得出于任何商业目的使用本软件（包括但不限于向第三方提供、销售、出租、出借、转让本软件、
# 本软件的衍生产品、引用或借鉴了本软件功能或源代码的产品或服务），任何法人或其他组织不得出于任何目的使用本软件，
# 否则米筐科技有权追究相应的知识产权侵权责任。
# 在此前提下，对本软件的使用同样需要遵守 Apache 2.0 许可，Apache 2.0 许可与本许可冲突之处，以本许可为准。
# 详细的授权流程，请联系 public@ricequant.com 获取。
import time
from decimal import Decimal
import numpy as np
from rqalpha.const import ORDER_STATUS, ORDER_TYPE, SIDE, POSITION_EFFECT, POSITION_DIRECTION, ALGO
from rqalpha.utils import id_gen, decimal_rounding_floor, get_position_direction
from rqalpha.utils.repr import property_repr, properties
from rqalpha.utils.logger import user_system_log
from rqalpha.environment import Environment
[文档]class Order(object):
order_id_gen = id_gen(int(time.time()) * 10000)
__repr__ = property_repr
def __init__(self):
self._order_id = None
self._secondary_order_id = None
self._calendar_dt = None
self._trading_dt = None
self._quantity = None
self._order_book_id = None
self._side = None
self._position_effect = None
self._message = None
self._filled_quantity = None
self._status = None
self._frozen_price = None
self._init_frozen_cash = None
self._type = None
self._avg_price = None
self._transaction_cost = None
self._style = None
self._kwargs = {}
@staticmethod
def _str_to_enum(enum_class, s):
return enum_class.__members__[s]
def get_state(self):
return {
'order_id': self._order_id,
'secondary_order_id': self._secondary_order_id,
'calendar_dt': self._calendar_dt,
'trading_dt': self._trading_dt,
'order_book_id': self._order_book_id,
'quantity': self._quantity,
'side': self._side,
'position_effect': self._position_effect,
'message': self._message,
'filled_quantity': self._filled_quantity,
'status': self._status,
'frozen_price': self._frozen_price,
'type': self._type,
'transaction_cost': self._transaction_cost,
'avg_price': self._avg_price,
'kwargs': self._kwargs,
}
def set_state(self, d):
self._order_id = d['order_id']
if 'secondary_order_id' in d:
self._secondary_order_id = d['secondary_order_id']
self._calendar_dt = d['calendar_dt']
self._trading_dt = d['trading_dt']
self._order_book_id = d['order_book_id']
self._quantity = d['quantity']
self._side = SIDE[d["side"]]
self._position_effect = POSITION_EFFECT[d["position_effect"]] if d["position_effect"] else None
self._message = d['message']
self._filled_quantity = d['filled_quantity']
self._status = ORDER_STATUS[d["status"]]
self._frozen_price = d['frozen_price']
self._type = ORDER_TYPE[d["type"]]
self._transaction_cost = d['transaction_cost']
self._avg_price = d['avg_price']
self._kwargs = d['kwargs']
@classmethod
def __from_create__(cls, order_book_id, quantity, side, style, position_effect, **kwargs):
env = Environment.get_instance()
order = cls()
order._order_id = next(order.order_id_gen)
order._calendar_dt = env.calendar_dt
order._trading_dt = env.trading_dt
order._quantity = quantity
order._order_book_id = order_book_id
order._side = side
order._position_effect = position_effect
order._message = ""
order._filled_quantity = 0
order._status = ORDER_STATUS.PENDING_NEW
order._style = style
if isinstance(style, LimitOrder):
if env.config.base.round_price:
tick_size = env.data_proxy.get_tick_size(order_book_id)
style.round_price(tick_size)
order._frozen_price = style.get_limit_price()
order._type = ORDER_TYPE.LIMIT
elif isinstance(style, ALGO_ORDER_STYLES):
algo_price, _ = env.data_proxy.get_algo_bar(order_book_id, style, env.calendar_dt)
order._frozen_price = env.get_last_price(order_book_id) if np.isnan(algo_price) else algo_price
order._type = ORDER_TYPE.ALGO
else:
order._frozen_price = env.get_last_price(order_book_id)
order._type = ORDER_TYPE.MARKET
order._avg_price = 0
order._transaction_cost = 0
order._kwargs = kwargs
return order
@property
def order_id(self):
# type: () -> int
"""
[int] 唯一标识订单的id
"""
return self._order_id
@property
def secondary_order_id(self):
"""
[str] 实盘交易中交易所产生的订单ID
"""
return self._secondary_order_id
@property
def trading_datetime(self):
"""
[datetime.datetime] 订单的交易日期（对应期货夜盘）
"""
return self._trading_dt
@property
def datetime(self):
"""
[datetime.datetime] 订单创建时间
"""
return self._calendar_dt
@property
def quantity(self):
"""
[int] 订单数量
"""
if np.isnan(self._quantity):
raise RuntimeError("Quantity of order {} is not supposed to be nan.".format(self.order_id))
return self._quantity
@property
def unfilled_quantity(self):
"""
[int] 订单未成交数量
"""
return self.quantity - self.filled_quantity
@property
def order_book_id(self):
"""
[str] 合约代码
"""
return self._order_book_id
@property
def side(self):
# type: () -> SIDE
"""
[SIDE] 订单方向
"""
return self._side
@property
def position_effect(self):
"""
[POSITION_EFFECT] 订单开平（期货专用）
"""
if self._position_effect is None:
if self._side == SIDE.BUY:
return POSITION_EFFECT.OPEN
else:
return POSITION_EFFECT.CLOSE
return self._position_effect
@property
def position_direction(self):
# type: () -> POSITION_DIRECTION
return get_position_direction(self._side, self._position_effect)
@property
def message(self):
"""
[str] 信息。比如拒单时候此处会提示拒单原因
"""
return self._message
@property
def filled_quantity(self):
"""
[int] 订单已成交数量
"""
if np.isnan(self._filled_quantity):
raise RuntimeError("Filled quantity of order {} is not supposed to be nan.".format(self.order_id))
return self._filled_quantity
@property
def status(self):
"""
[ORDER_STATUS] 订单状态
"""
return self._status
@property
def price(self):
"""
[float] 订单价格，只有在订单类型为'限价单'的时候才有意义
"""
return 0 if self.type == ORDER_TYPE.MARKET else self.frozen_price
@property
def type(self):
"""
[ORDER_TYPE] 订单类型
"""
return self._type
@property
def style(self):
"""
[ORDER_STYLE] 订单类型
"""
return self._style
@property
def avg_price(self):
"""
[float] 成交均价
"""
return self._avg_price
@property
def transaction_cost(self):
"""
[float] 费用
"""
return self._transaction_cost
@property
def frozen_price(self):
"""
[float] 冻结价格
"""
if np.isnan(self._frozen_price):
raise RuntimeError("Frozen price of order {} is not supposed to be nan.".format(self.order_id))
return self._frozen_price
@property
def init_frozen_cash(self):
"""
[float] 冻结资金
"""
if np.isnan(self._init_frozen_cash):
raise RuntimeError("Frozen cash of order {} is not supposed to be nan.".format(self.order_id))
return self._init_frozen_cash
@property
def kwargs(self):
return self._kwargs
def __getattr__(self, item):
try:
return self.__dict__["_kwargs"][item]
except KeyError:
raise AttributeError("'{}' object has no attribute '{}'".format(self.__class__.__name__, item))
def is_final(self):
return self._status not in {
ORDER_STATUS.PENDING_NEW,
ORDER_STATUS.ACTIVE,
ORDER_STATUS.PENDING_CANCEL
}
def is_active(self):
return self.status == ORDER_STATUS.ACTIVE
def active(self):
self._status = ORDER_STATUS.ACTIVE
def set_pending_cancel(self):
if not self.is_final():
self._status = ORDER_STATUS.PENDING_CANCEL
def fill(self, trade):
quantity = trade.last_quantity
assert self.filled_quantity + quantity <= self.quantity
new_quantity = self._filled_quantity + quantity
self._transaction_cost += trade.commission + trade.tax
if trade.position_effect != POSITION_EFFECT.MATCH:
self._avg_price = (self._avg_price * self._filled_quantity + trade.last_price * quantity) / new_quantity
self._filled_quantity = new_quantity
if self.unfilled_quantity == 0:
self._status = ORDER_STATUS.FILLED
def mark_rejected(self, reject_reason):
if not self.is_final():
self._message = reject_reason
self._status = ORDER_STATUS.REJECTED
user_system_log.warn(reject_reason)
def mark_cancelled(self, cancelled_reason, user_warn=True):
if not self.is_final():
self._message = cancelled_reason
self._status = ORDER_STATUS.CANCELLED
if user_warn:
user_system_log.warn(cancelled_reason)
def set_frozen_price(self, value):
self._frozen_price = value
def set_frozen_cash(self, value):
self._init_frozen_cash = value
def set_secondary_order_id(self, secondary_order_id):
self._secondary_order_id = str(secondary_order_id)
def __simple_object__(self):
return properties(self)
class OrderStyle(object):
def get_limit_price(self):
raise NotImplementedError
class AlgoOrder(OrderStyle):
__repr__ = ORDER_TYPE.ALGO.__repr__
def __init__(self, start_min, end_min):
self.start_min = start_min
self.end_min = end_min
def get_limit_price(self):
return None
[文档]class TWAPOrder(AlgoOrder):
TYPE = ALGO.TWAP
__repr__ = ALGO.TWAP.__repr__
[文档]class VWAPOrder(AlgoOrder):
TYPE = ALGO.VWAP
__repr__ = ALGO.VWAP.__repr__
[文档]class MarketOrder(OrderStyle):
__repr__ = ORDER_TYPE.MARKET.__repr__
def get_limit_price(self):
return None
[文档]class LimitOrder(OrderStyle):
__repr__ = ORDER_TYPE.LIMIT.__repr__
def __init__(self, limit_price):
self.limit_price = float(limit_price)
def get_limit_price(self):
return self.limit_price
def round_price(self, tick_size):
if tick_size:
with decimal_rounding_floor():
limit_price_decimal = Decimal("{:.4f}".format(self.limit_price))
tick_size_decimal = Decimal("{:.4f}".format(tick_size))
self.limit_price = float((limit_price_decimal / tick_size_decimal).to_integral() * tick_size_decimal)
else:
user_system_log.warn('Invalid tick size: {}'.format(tick_size))
ALGO_ORDER_STYLES = (VWAPOrder, TWAPOrder)
ALL_ORDER_STYPES = (LimitOrder, MarketOrder, TWAPOrder, VWAPOrder)