价格撮合
(self, bar)
| 16 | self._strict = strict |
| 17 | |
| 18 | def make_market(self, bar): |
| 19 | """ 价格撮合""" |
| 20 | if self._open_orders: |
| 21 | fill_orders = set() |
| 22 | for order in self._open_orders: |
| 23 | transact = Transaction(order) |
| 24 | if self._strict: |
| 25 | if order.price_type == PriceType.LMT: |
| 26 | # 限价单以最高和最低价格为成交的判断条件． |
| 27 | if (order.side == TradeSide.KAI and \ |
| 28 | (order.direction == Direction.LONG and order.price >= bar.low or \ |
| 29 | order.direction == Direction.SHORT and order.price <= bar.high)) or \ |
| 30 | (order.kpp == TradeSide.PING and \ |
| 31 | (order.direction == Direction.LONG and order.price <= bar.high or \ |
| 32 | order.direction == Direction.SHORT and order.price >= bar.low)): |
| 33 | transact.price = order.price |
| 34 | # Bar的结束时间做为交易成交时间. |
| 35 | transact.datetime = bar.datetime |
| 36 | fill_orders.add(order) |
| 37 | self.events.put(FillEvent(transact)) |
| 38 | elif order.type == PriceType.MKT: |
| 39 | # 市价单以最高或最低价格为成交价格． |
| 40 | if order.direction == Direction.LONG: |
| 41 | transact.price = bar.high |
| 42 | else: |
| 43 | transact.price = bar.low |
| 44 | transact.datetime = bar.datetime |
| 45 | fill_orders.add(order) |
| 46 | self.events.put(FillEvent(transact)) |
| 47 | else: |
| 48 | transact.datetime = bar.datetime |
| 49 | fill_orders.add(order) |
| 50 | self.events.put(FillEvent(transact)) |
| 51 | if fill_orders: |
| 52 | self._open_orders -= fill_orders |
| 53 | |
| 54 | |
| 55 | def insert_order(self, order_event): |
no test coverage detected