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@@ -370,32 +370,6 @@ class Strategy:
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signals['Limits_close'].append([amount, 'pk', price,utils.get_cid(self.broker_id)])
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return signals
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- # def _cancel_close(self):
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- # '''
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- # 取消平仓订单
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- # '''
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- # # 准备命令
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- # signals = dict()
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- # # 撤掉危险挂单
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- # cond1 = self.close_dist[0]
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- # cond2 = self.close_dist[1]
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- # cond3 = self.close_dist[2]
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- # cond4 = self.close_dist[3]
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- # # # 获取当前挂单
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- # for cid in self.local_orders:
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- # i = self.local_orders[cid]
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- # if i['side'] == 'pk':
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- # if (i['price'] >= cond1 or i['price'] <= cond2):
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- # cid = i['client_id']
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- # oid = i['order_id']
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- # signals[f'Cancel{cid}'] = [cid, oid]
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- # if i['side'] == 'pd':
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- # if (i['price'] <= cond3 or i['price'] >= cond4):
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- # cid = i['client_id']
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- # oid = i['order_id']
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- # signals[f'Cancel{cid}'] = [cid, oid]
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- # return signals
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-
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def _post_close(self):
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'''
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处理平仓
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@@ -595,81 +569,6 @@ class Strategy:
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amount_value = float(amount) * self.mp
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if amount_value >= self._min_amount_value and amount_value <= short_free_value:
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signals['Limits_open'].append([amount, 'kk', targit_sell_price, utils.get_cid(self.broker_id)])
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- ############## 多层挂单 #################
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- # step = (cond1-cond2) / self.grid
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- # ########### 挂多单 ###########
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- # if self.post_side >= 0:
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- # if len(buyP) == 0:
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- # # 1
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- # targit_buy_price = cond1 * 0.1 + cond2 * 0.9
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- # targit_buy_price = utils.clip(targit_buy_price, self.bp*0.97, self.ap*1.0005)
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- # targit_buy_price = self.fix_price(targit_buy_price)
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- # value = min(one_hand_long_value, long_free_value)
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- # amount = self.fix_amount(value/self.mp)
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- # amount_value = float(amount) * self.mp
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- # if targit_buy_price < cond1*(1-self.long_hold_rate) + cond2*self.long_hold_rate:
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- # if amount_value >= self._min_amount_value and amount_value <= long_free_value:
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- # signals['Limits_open'].append([amount, 'kd', targit_buy_price, utils.get_cid(self.broker_id)])
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- # else:
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- # # 2
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- # targit_buy_price = max(buyP) + step
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- # targit_buy_price = utils.clip(targit_buy_price, self.bp*0.97, self.ap*1.0005)
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- # targit_buy_price = self.fix_price(targit_buy_price)
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- # value = min(one_hand_long_value, long_free_value)
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- # amount = self.fix_amount(value/self.mp)
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- # amount_value = float(amount) * self.mp
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- # if targit_buy_price < cond1*(1-self.long_hold_rate) + cond2*self.long_hold_rate:
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- # if targit_buy_price < cond1 - 0.1*step and targit_buy_price > cond2 + 0.1*step:
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- # if amount_value >= self._min_amount_value and amount_value <= long_free_value:
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- # signals['Limits_open'].append([amount, 'kd', targit_buy_price, utils.get_cid(self.broker_id)])
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- # # 3
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- # targit_buy_price = min(buyP) - step
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- # targit_buy_price = utils.clip(targit_buy_price, self.bp*0.97, self.ap*1.0005)
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- # targit_buy_price = self.fix_price(targit_buy_price)
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- # value = min(one_hand_long_value, long_free_value)
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- # amount = self.fix_amount(value/self.mp)
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- # amount_value = float(amount) * self.mp
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- # if targit_buy_price < cond1*(1-self.long_hold_rate) + cond2*self.long_hold_rate:
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- # if targit_buy_price < cond1 - 0.1*step and targit_buy_price > cond2 + 0.1*step:
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- # if amount_value >= self._min_amount_value and amount_value <= long_free_value:
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- # signals['Limits_open'].append([amount, 'kd', targit_buy_price, utils.get_cid(self.broker_id)])
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- # ########### 挂空单 ###########
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- # if self.post_side <= 0:
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- # if len(sellP) == 0:
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- # # 1
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- # targit_sell_price = cond3 * 0.1 + cond4 * 0.9
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- # targit_sell_price = utils.clip(targit_sell_price, self.bp*0.9995, self.ap*1.03)
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- # targit_sell_price = self.fix_price(targit_sell_price)
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- # value = min(one_hand_short_value, short_free_value)
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- # amount = self.fix_amount(value/self.mp)
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- # amount_value = float(amount) * self.mp
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- # if targit_sell_price > cond3*(1-self.short_hold_rate) + cond4*self.short_hold_rate:
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- # if amount_value >= self._min_amount_value and amount_value <= short_free_value:
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- # signals['Limits_open'].append([amount, 'kk', targit_sell_price, utils.get_cid(self.broker_id)])
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- # else:
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- # # 2
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- # targit_sell_price = min(sellP) - step
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- # targit_sell_price = utils.clip(targit_sell_price, self.bp*0.9995, self.ap*1.03)
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- # targit_sell_price = self.fix_price(targit_sell_price)
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- # value = min(one_hand_short_value, short_free_value)
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- # amount = self.fix_amount(value/self.mp)
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- # amount_value = float(amount) * self.mp
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- # if targit_sell_price > cond3*(1-self.short_hold_rate) + cond4*self.short_hold_rate:
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- # if targit_sell_price > cond3 + 0.1*step and targit_sell_price < cond4 - 0.1*step:
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- # if amount_value >= self._min_amount_value and amount_value <= short_free_value:
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- # signals['Limits_open'].append([amount, 'kk', targit_sell_price, utils.get_cid(self.broker_id)])
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- # # 3
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- # targit_sell_price = max(sellP) + step
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- # targit_sell_price = utils.clip(targit_sell_price, self.bp*0.9995, self.ap*1.03)
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- # targit_sell_price = self.fix_price(targit_sell_price)
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- # value = min(one_hand_short_value, short_free_value)
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- # amount = self.fix_amount(value/self.mp)
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- # amount_value = float(amount) * self.mp
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- # if targit_sell_price > cond3*(1-self.short_hold_rate) + cond4*self.short_hold_rate:
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- # if targit_sell_price > cond3 + 0.1*step and targit_sell_price < cond4 - 0.1*step:
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- # if amount_value >= self._min_amount_value and amount_value <= short_free_value:
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- # signals['Limits_open'].append([amount, 'kk', targit_sell_price, utils.get_cid(self.broker_id)])
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- ############################################
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return signals
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# @utils.timeit
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@@ -915,97 +814,6 @@ class Strategy:
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except:
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traceback.print_exc()
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- # @timeit
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- # def onOrder(self, data):
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- # '''
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- # call on order update event
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- # '''
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- # try:
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- # # 更新状态
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- # if self._update_data(data):
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- # # 检查是否准备充分
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- # if self.check_ready():
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- # return dict()
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- # ###### 关键操作 ######
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- # # 更新挂单距离
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- # self._pos_rate()
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- # open_dist, close_dist = self.gen_dist(
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- # open=self.trade_open_dist,
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- # close=self.trade_close_dist,
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- # pos_rate=[self.long_hold_rate, self.short_hold_rate],
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- # ref_bp=self.ref_bp,
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- # ref_ap=self.ref_ap,
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- # predict=self.predict,
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- # grid=self.grid,
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- # mode=self.maker_mode,
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- # )
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- # self.open_dist = \
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- # [
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- # self.fix_price(open_dist[0]),
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- # self.fix_price(open_dist[1]),
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- # self.fix_price(open_dist[2]),
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- # self.fix_price(open_dist[3]),
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- # ]
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- # self.close_dist = \
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- # [
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- # self.fix_price(close_dist[0]),
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- # self.fix_price(close_dist[1]),
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- # self.fix_price(close_dist[2]),
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- # self.fix_price(close_dist[3]),
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- # ]
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- # # 获取开平仓指令
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- # signals = dict()
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- # # 获取平仓信号
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- # signals.update(self._post_close())
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- # # 更新撤单队列
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- # signals = self._update_in_cancel(signals)
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- # # 限制频率
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- # signals = self._check_request_limit(signals)
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- # # 统计请求频率
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- # self._update_request_num(signals)
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- # ##########################
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- # return signals
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- # except:
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- # traceback.print_exc()
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- # if self._is_print:self.logger.error(traceback.format_exc())
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-
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- # @timeit
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- # def onTick(self, data):
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- # '''
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- # call on ticker update event
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- # '''
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- # try:
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- # # 更新状态
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- # if self._update_data(data):
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- # # 检查是否准备充分
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- # if self.check_ready():
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- # return dict()
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- # ###### 关键操作 ######
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- # # 更新挂单距离
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- # self.open_dist, self.close_dist = utils.gen_dist(
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- # self.trade_open_dist,
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- # self.trade_close_dist,
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- # self._pos_rate(),
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- # self.ref_bp,
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- # self.ref_ap,
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- # self.predict
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- # )
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- # # 获取开平仓指令
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- # signals = dict()
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- # # 获取平仓信号
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- # signals.update(self._cancel_open())
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- # # 更新撤单队列
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- # signals = self._update_in_cancel(signals)
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- # # 限制频率
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- # signals = self._check_request_limit(signals)
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- # # 统计请求频率
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- # self._update_request_num(signals)
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- # ##########################
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- # return signals
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- # except:
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- # traceback.print_exc()
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- # if self._is_print:self.logger.error(traceback.format_exc())
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-
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# @utils.timeit
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def onTime(self, data):
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'''
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