""" 发单逻辑部分 """
def tqz_synchronization_position_cffex_lock_mode(self, market_vt_symbol, now_price, offset_price, strategy_position_net, real_position_net):
"""
synchronization position with lock mode(cffex mode)
"""
vt_orderids = []
buy_price = min(now_price + offset_price, self.vt_symbols_limit_prices[market_vt_symbol].limit_up)
sell_price = max(now_price - offset_price, self.vt_symbols_limit_prices[market_vt_symbol].limit_down)
if strategy_position_net >= 0 and real_position_net >= 0:
if strategy_position_net > real_position_net:
lot = TQZPositionData.tqz_risk_control(lot=strategy_position_net-real_position_net)
print(f'开多 {str(lot)} 手', end=" ")
vt_orderids = self.buy(vt_symbol=market_vt_symbol, price=buy_price, volume=lot, lock=True)
print(f'vt_orderids: {vt_orderids}')
elif strategy_position_net < real_position_net:
lot = TQZPositionData.tqz_risk_control(lot=real_position_net - strategy_position_net)
print(f'平多 {str(lot)} 手', end=" ")
vt_orderids = self.sell(vt_symbol=market_vt_symbol, price=sell_price, volume=lot, lock=True)
print(f'vt_orderids: {vt_orderids}')
elif strategy_position_net is real_position_net:
print(f'净仓相等, 不做处理')
elif strategy_position_net >= 0 and real_position_net <= 0:
lot = TQZPositionData.tqz_risk_control(lot=strategy_position_net-real_position_net)
print(f'开多 {str(lot)} 手', end=" ")
vt_orderids = self.buy(vt_symbol=market_vt_symbol, price=buy_price, volume=lot, lock=True)
print(f'vt_orderids: {vt_orderids}')
elif strategy_position_net <= 0 and real_position_net >= 0:
lot = TQZPositionData.tqz_risk_control(lot=real_position_net - strategy_position_net)
print(f'开空 {str(lot)} 手', end=" ")
vt_orderids = self.short(vt_symbol=market_vt_symbol, price=sell_price, volume=lot, lock=True)
print(f'vt_orderids: {vt_orderids}')
elif strategy_position_net <= 0 and real_position_net <= 0:
if abs(strategy_position_net) > abs(real_position_net):
lot = TQZPositionData.tqz_risk_control(lot=abs(strategy_position_net)-abs(real_position_net))
print(f'开空 {str(lot)} 手', end=" ")
vt_orderids = self.short(vt_symbol=market_vt_symbol, price=sell_price, volume=lot, lock=True)
print(f'vt_orderids: {vt_orderids}')
elif abs(strategy_position_net) < abs(real_position_net):
lot = TQZPositionData.tqz_risk_control(lot=abs(real_position_net) - abs(strategy_position_net))
print(f'平空 {str(lot)} 手', end=" ")
vt_orderids = self.cover(vt_symbol=market_vt_symbol, price=buy_price, volume=lot, lock=True)
print(f'vt_orderids: {vt_orderids}')
elif strategy_position_net is real_position_net:
print(f'净仓相等, 不做处理')
return vt_orderids
def tqz_synchronization_position_min_netting_mode(self, market_vt_symbol, now_price, offset_price, strategy_position_buy, strategy_position_sell, real_position_buy, real_position_sell):
"""
synchronization position in min netting with double direction(buy direction & sell direction) mode.
"""
net_buy_abs = abs(strategy_position_buy - real_position_buy)
net_sell_abs = abs(strategy_position_sell - real_position_sell)
buy_vt_orderids = []
sell_vt_orderids = []
buy_price = min(now_price + offset_price, self.vt_symbols_limit_prices[market_vt_symbol].limit_up)
sell_price = max(now_price - offset_price, self.vt_symbols_limit_prices[market_vt_symbol].limit_down)
interval = " | "
print(market_vt_symbol, end=" ")
if net_buy_abs >= net_sell_abs:
if strategy_position_buy < real_position_buy:
lot = TQZPositionData.tqz_risk_control(lot=real_position_buy - strategy_position_buy)
print(f'平多 {str(lot)} 手', end=" ")
buy_vt_orderids = self.sell(vt_symbol=market_vt_symbol, price=sell_price, volume=lot)
print(f'sell_result: {buy_vt_orderids}', end=interval)
if strategy_position_sell > real_position_sell:
lot = TQZPositionData.tqz_risk_control(lot=strategy_position_sell - real_position_sell)
print(f'开空 {str(lot)} 手', end=" ")
sell_vt_orderids = self.short(vt_symbol=market_vt_symbol, price=sell_price, volume=lot)
print(f'short_result: {sell_vt_orderids}')
else:
if strategy_position_buy > real_position_buy:
lot = TQZPositionData.tqz_risk_control(lot=strategy_position_buy - real_position_buy)
print(f'开多 {str(lot)} 手', end=" ")
buy_vt_orderids = self.buy(vt_symbol=market_vt_symbol, price=buy_price, volume=lot)
print(f'buy_result: {buy_vt_orderids}', end=interval)
if strategy_position_sell < real_position_sell:
lot = TQZPositionData.tqz_risk_control(lot=real_position_sell - strategy_position_sell)
print(f'平空 {str(lot)} 手', end=" ")
sell_vt_orderids = self.cover(vt_symbol=market_vt_symbol, price=buy_price, volume=lot)
print(f'cover_result: {sell_vt_orderids}')
return list(set(buy_vt_orderids + sell_vt_orderids))
def tqz_synchronization_position_double_direction_mode(self, market_vt_symbol, now_price, offset_price, strategy_position_buy, strategy_position_sell, real_position_buy, real_position_sell):
buy_vt_orderids = []
sell_vt_orderids = []
buy_price = min(now_price + offset_price, self.vt_symbols_limit_prices[market_vt_symbol].limit_up)
sell_price = max(now_price - offset_price, self.vt_symbols_limit_prices[market_vt_symbol].limit_down)
interval = " | "
print(market_vt_symbol, end=" ")
if strategy_position_buy > real_position_buy:
lot = TQZPositionData.tqz_risk_control(lot=strategy_position_buy - real_position_buy)
print(f'开多 {str(lot)} 手', end=" ")
buy_vt_orderids = self.buy(vt_symbol=market_vt_symbol, price=buy_price, volume=lot)
print(f'buy_result: {buy_vt_orderids}', end=interval)
elif strategy_position_buy < real_position_buy:
lot = TQZPositionData.tqz_risk_control(lot=real_position_buy - strategy_position_buy)
print(f'平多 {str(lot)} 手', end=" ")
buy_vt_orderids = self.sell(vt_symbol=market_vt_symbol, price=sell_price, volume=lot)
print(f'sell_result: {buy_vt_orderids}', end=interval)
elif strategy_position_buy is real_position_buy:
print("多单匹配 不处理", end=interval)
if strategy_position_sell > real_position_sell:
lot = TQZPositionData.tqz_risk_control(lot=strategy_position_sell - real_position_sell)
print(f'开空 {str(lot)} 手', end=" ")
sell_vt_orderids = self.short(vt_symbol=market_vt_symbol, price=sell_price, volume=lot)
print(f'short_result: {sell_vt_orderids}')
elif strategy_position_sell < real_position_sell:
lot = TQZPositionData.tqz_risk_control(lot=real_position_sell - strategy_position_sell)
print(f'平空 {str(lot)} 手', end=" ")
sell_vt_orderids = self.cover(vt_symbol=market_vt_symbol, price=buy_price, volume=lot)
print(f'cover_result: {sell_vt_orderids}')
elif strategy_position_sell is real_position_sell:
print("空单匹配 不处理")
return list(set(buy_vt_orderids + sell_vt_orderids))
def tqz_synchronization_position_net_mode(self, market_vt_symbol, now_price, offset_price, strategy_position_buy, strategy_position_sell, real_position_buy, real_position_sell):
buy_vt_orderids = []
sell_vt_orderids = []
if strategy_position_buy > strategy_position_sell:
strategy_position_buy, strategy_position_sell = strategy_position_buy - strategy_position_sell, 0
elif strategy_position_buy < strategy_position_sell:
strategy_position_sell, strategy_position_buy = strategy_position_sell - strategy_position_buy, 0
elif strategy_position_buy is strategy_position_sell:
strategy_position_buy, strategy_position_sell = 0, 0
buy_price = min(now_price + offset_price, self.vt_symbols_limit_prices[market_vt_symbol].limit_up)
sell_price = max(now_price - offset_price, self.vt_symbols_limit_prices[market_vt_symbol].limit_down)
interval = " | "
print(market_vt_symbol, end=" ")
if strategy_position_buy > real_position_buy:
lot = TQZPositionData.tqz_risk_control(lot=strategy_position_buy - real_position_buy)
print(f'开多 {str(lot)} 手', end=" ")
buy_vt_orderids = self.buy(vt_symbol=market_vt_symbol, price=buy_price, volume=lot)
print(f'buy_result: {buy_vt_orderids}', end=interval)
elif strategy_position_buy < real_position_buy:
lot = TQZPositionData.tqz_risk_control(lot=real_position_buy - strategy_position_buy)
print(f'平多 {str(lot)} 手', end=" ")
buy_vt_orderids = self.sell(vt_symbol=market_vt_symbol, price=sell_price, volume=lot)
print(f'sell_result: {buy_vt_orderids}', end=interval)
elif strategy_position_buy is real_position_buy:
print("多单匹配 不处理", end=interval)
if strategy_position_sell > real_position_sell:
lot = TQZPositionData.tqz_risk_control(lot=strategy_position_sell - real_position_sell)
print(f'开空 {str(lot)} 手', end=" ")
sell_vt_orderids = self.short(vt_symbol=market_vt_symbol, price=sell_price, volume=lot)
print(f'short_result: {sell_vt_orderids}')
elif strategy_position_sell < real_position_sell:
lot = TQZPositionData.tqz_risk_control(lot=real_position_sell - strategy_position_sell)
print(f'平空 {str(lot)} 手', end=" ")
sell_vt_orderids = self.cover(vt_symbol=market_vt_symbol, price=buy_price, volume=lot)
print(f'cover_result: {sell_vt_orderids}')
elif strategy_position_sell is real_position_sell:
print("空单匹配 不处理")
return list(set(buy_vt_orderids + sell_vt_orderids))
