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https://gitee.com/fasiondog/hikyuu.git
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102 lines
4.1 KiB
C++
102 lines
4.1 KiB
C++
#!/usr/bin/python
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# -*- coding: utf8 -*-
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# cp936
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#
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# The MIT License (MIT)
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#
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# Copyright (c) 2010-2017 fasiondog
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#
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# Permission is hereby granted, free of charge, to any person obtaining a copy
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# of this software and associated documentation files (the "Software"), to deal
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# in the Software without restriction, including without limitation the rights
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# to use, copy, modify, merge, publish, distribute, sublicense, and/or sell
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# copies of the Software, and to permit persons to whom the Software is
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# furnished to do so, subject to the following conditions:
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#
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# The above copyright notice and this permission notice shall be included in all
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# copies or substantial portions of the Software.
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#
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# THE SOFTWARE IS PROVIDED "AS IS", WITHOUT WARRANTY OF ANY KIND, EXPRESS OR
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# IMPLIED, INCLUDING BUT NOT LIMITED TO THE WARRANTIES OF MERCHANTABILITY,
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# FITNESS FOR A PARTICULAR PURPOSE AND NONINFRINGEMENT. IN NO EVENT SHALL THE
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# AUTHORS OR COPYRIGHT HOLDERS BE LIABLE FOR ANY CLAIM, DAMAGES OR OTHER
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# LIABILITY, WHETHER IN AN ACTION OF CONTRACT, TORT OR OTHERWISE, ARISING FROM,
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# OUT OF OR IN CONNECTION WITH THE SOFTWARE OR THE USE OR OTHER DEALINGS IN THE
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# SOFTWARE.
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#===============================================================================
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# History:
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# 1. 20170704, Added by fasiondog
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#===============================================================================
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from hikyuu import OrderBrokerBase
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from hikyuu import Datetime
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class OrderBrokerWrap(OrderBrokerBase):
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"""订单代理包装类，用户可以参考自定义自己的订单代理，加入额外的处理
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包装只有买卖操作参数只有(code, price, num)的交易接口类
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"""
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def __init__(self, broker, real=True, slip=0.03):
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"""
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订单代理包装类，用户可以参考自定义自己的订单代理，加入额外的处理
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:param bool real: 下单前是否重新实时获取实时分笔数据
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:param float slip: 如果当前的卖一价格和指示买入的价格绝对差值不超过slip则下单，
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否则忽略; 对卖出操作无效，立即以当前价卖出
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"""
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super(OrderBrokerWrap, self).__init__()
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self._broker = broker
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self._real = real
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self._slip = slip
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def _buy(self, datetime, market, code, price, num):
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"""实现 OrderBrokerBase 的 _buy 接口"""
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if self._real:
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import tushare as ts
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df = ts.get_realtime_quotes(code)
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new_price = float(df.ix[0]['ask'])
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if (abs(new_price - price) <= self._slip):
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self._broker.buy(code, new_price, num)
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else:
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print("out of slip, not buy!!!!!!!!!!")
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return Datetime.now()
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else:
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self._broker.buy(code, price, num)
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return datetime
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def _sell(self, datetime, market, code, price, num):
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"""实现 OrderBrokerBase 的 _sell 接口"""
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if self._real:
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import tushare as ts
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df = ts.get_realtime_quotes(code)
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new_price = float(df.ix[0]['bid'])
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self._broker.sell(code, new_price, num)
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return Datetime.now()
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else:
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self._broker.sell(code, price, num)
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return datetime
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class TestOrderBroker:
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"""用于测试的订单代理，仅在执行买入/卖出时打印信息"""
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def __init__(self):
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pass
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def buy(self, code, price, num):
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print("买入：%s %.3f %i" % (code, price, num))
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def sell(self, code, price, num):
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print("卖出：%s %.3f %i" % (code, price, num))
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def crtOB(broker, real=True, slip=0.03):
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"""
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快速生成订单代理包装对象
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:param broker: 订单代理示例，必须拥有buy和sell方法，并且参数为 code, price, num
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:param bool real: 下单前是否重新实时获取实时分笔数据
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:param float slip: 如果当前的卖一价格和指示买入的价格绝对差值不超过slip则下单，
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否则忽略; 对卖出操作无效，立即以当前价卖出
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"""
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return OrderBrokerWrap(broker, real, slip) |