在CTA策略-课时29-委托控制 中, 提到了关于order_control 的精细控制, 为了保证再新下单前, 基于last_bar的order_data能被取消, 所以通过遍历的方式在每次下单前都先检查是否有旧的订单, 如有有就用cancel_order取消之前的订单.
通过上面的遍历方式已经能保证下新订单前已经没有旧订单了,同时也已经发出了新订单委托, 为什么又需要在on_stop_order中再次发出委托.
如下是代码:
from vnpy.app.cta_strategy import (
CtaTemplate,
StopOrder,
TickData,
BarData,
TradeData,
OrderData,
BarGenerator,
ArrayManager,
Direction
)
from vnpy.app.cta_strategy.base import StopOrderStatus
class OrderDemoStrategy(CtaTemplate):
""""""
author = "用Python的交易员"
boll_window = 18
boll_dev = 3.4
fixed_size = 1
atr_window = 20
atr_multiplier = 2
boll_up = 0
boll_down = 0
boll_mid = 0
atr_value = 0
intra_trade_high = 0
long_sl = 0
intra_trade_low = 0
short_sl = 0
long_entry = 0
short_entry = 0
parameters = [
"boll_window", "boll_dev",
"fixed_size",
"atr_window", "atr_multiplier"
]
variables = [
"boll_up", "boll_down", "boll_mid",
"atr_value",
"intra_trade_high", "long_sl",
"intra_trade_low", "short_sl"
]
def __init__(self, cta_engine, strategy_name, vt_symbol, setting):
""""""
super().__init__(cta_engine, strategy_name, vt_symbol, setting)
self.bg = BarGenerator(self.on_bar, 15, self.on_15min_bar)
self.am = ArrayManager()
self.buy_vt_orderids = []
self.sell_vt_orderids = []
self.short_vt_orderids = []
self.cover_vt_orderids = []
self.buy_price = 0
self.sell_price = 0
self.short_price = 0
self.cover_price = 0
def on_init(self):
"""
Callback when strategy is inited.
"""
self.write_log("策略初始化")
self.load_bar(10)
def on_start(self):
"""
Callback when strategy is started.
"""
self.write_log("策略启动")
def on_stop(self):
"""
Callback when strategy is stopped.
"""
self.write_log("策略停止")
def on_tick(self, tick: TickData):
"""
Callback of new tick data update.
"""
self.bg.update_tick(tick)
def on_bar(self, bar: BarData):
"""
Callback of new bar data update.
"""
self.bg.update_bar(bar)
def on_15min_bar(self, bar: BarData):
""""""
# 生成交易信号
am = self.am
am.update_bar(bar)
if not am.inited:
return
self.boll_up, self.boll_down = am.boll(self.boll_window, self.boll_dev)
self.boll_mid = am.sma(self.boll_window)
self.atr_value = am.atr(self.atr_window)
if self.pos == 0:
self.intra_trade_high = bar.high_price
self.intra_trade_low = bar.low_price
self.buy_price = self.boll_up
self.sell_price = 0
self.short_price = self.boll_down
self.cover_price = 0
elif self.pos > 0:
self.intra_trade_high = max(self.intra_trade_high, bar.high_price)
self.intra_trade_low = bar.low_price
self.long_sl = self.intra_trade_high - self.atr_value * self.atr_multiplier
self.long_sl = max(self.boll_mid, self.long_sl)
self.buy_price = 0
self.sell_price = self.long_sl
self.short_price = 0
self.cover_price = 0
elif self.pos < 0:
self.intra_trade_low = min(self.intra_trade_low, bar.low_price)
self.intra_trade_high = bar.high_price
self.short_sl = self.intra_trade_low + self.atr_value * self.atr_multiplier
self.short_sl = min(self.boll_mid, self.short_sl)
self.buy_price = 0
self.sell_price = 0
self.short_price = 0
self.cover_price = self.short_sl
# 根据信号执行挂撤交易
if self.pos == 0:
# 检查之前委托都已经结束
if not self.buy_vt_orderids:
# 检查存在信号
if self.buy_price:
self.buy_vt_orderids = self.buy(self.buy_price, self.fixed_size, True)
self.buy_price = 0 # 执行需要清空信号
else:
# 遍历委托号列表撤单
for vt_orderid in self.buy_vt_orderids:
self.cancel_order(vt_orderid)
if not self.short_vt_orderids:
if self.short_price:
self.short_vt_orderids = self.short(self.short_price, self.fixed_size, True)
self.short_price = 0
else:
for vt_orderid in self.short_vt_orderids:
self.cancel_order(vt_orderid)
elif self.pos > 0:
if not self.sell_vt_orderids:
if self.sell_price:
self.sell_vt_orderids = self.sell(self.sell_price, abs(self.pos), True)
self.sell_price = 0
else:
for vt_orderid in self.sell_vt_orderids:
self.cancel_order(vt_orderid)
else:
if not self.cover_vt_orderids:
if self.cover_price:
self.cover_vt_orderids = self.cover(self.cover_price, abs(self.pos), True)
self.cover_price = 0
else:
for vt_orderid in self.cover_vt_orderids:
self.cancel_order(vt_orderid)
# Update UI
self.put_event()
def on_order(self, order: OrderData):
"""
Callback of new order data update.
"""
pass
def on_trade(self, trade: TradeData):
"""
Callback of new trade data update.
"""
self.put_event()
def on_stop_order(self, stop_order: StopOrder):
"""
Callback of stop order update.
"""
# 只处理撤销或者触发的停止单委托
if stop_order.status == StopOrderStatus.WAITING:
return
# 移除已经结束的停止单委托号
for buf_orderids in [
self.buy_vt_orderids,
self.sell_vt_orderids,
self.short_vt_orderids,
self.cover_vt_orderids
]:
if stop_order.stop_orderid in buf_orderids:
buf_orderids.remove(stop_order.stop_orderid)
# 发出新的委托
if self.pos == 0:
if not self.buy_vt_orderids:
if self.buy_price:
self.buy_vt_orderids = self.buy(self.buy_price, self.fixed_size, True)
self.buy_price = 0
if not self.short_vt_orderids:
if self.short_price:
self.short_vt_orderids = self.short(self.short_price, self.fixed_size, True)
self.short_price = 0
elif self.pos > 0:
if not self.sell_vt_orderids:
if not self.sell_price:
self.sell_vt_orderids = self.sell(self.sell_price, abs(self.pos), True)
self.sell_price = 0
else:
if not self.cover_vt_orderids:
if not self.cover_price:
self.cover_vt_orderids = self.cover(self.cover_price, abs(self.pos), True)
self.cover_price = 0问题所关注的code是:
def on_stop_order(self, stop_order: StopOrder):
"""
Callback of stop order update.
""'
# 发出新的委托
if self.pos == 0:
if not self.buy_vt_orderids:
if self.buy_price:
self.buy_vt_orderids = self.buy(self.buy_price, self.fixed_size, True)
self.buy_price = 0
if not self.short_vt_orderids:
if self.short_price:
self.short_vt_orderids = self.short(self.short_price, self.fixed_size, True)
self.short_price = 0
elif self.pos > 0:
if not self.sell_vt_orderids:
if not self.sell_price:
self.sell_vt_orderids = self.sell(self.sell_price, abs(self.pos), True)
self.sell_price = 0
else:
if not self.cover_vt_orderids:
if not self.cover_price:
self.cover_vt_orderids = self.cover(self.cover_price, abs(self.pos), True)
self.cover_price = 0
