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Editor to share with you how to send trading orders to the exchange of the source code in VNPY, I believe most people do not know much about it, so share this article for your reference, I hope you can learn a lot after reading this article, let's go to know it!

In the strategy, sendOrder () is generally not called directly, and four quadratic wrapper functions are used, all of which are defined in class CtaTemplate. The main difference is that the ordertype in the sendorder () function is different, which is used to distinguish the transaction types such as buy and sell.

Returns a vtOrderIDList, which contains vtOrderID, which is an internal number that can be used to track the status of the same order.

Def buy (self, price, volume, stop=False): "" Buy "" return self.sendOrder (CTAORDER_BUY, price, volume, stop) #-def sell (self, price, volume Stop=False): "return self.sendOrder (CTAORDER_SELL, price, volume, stop) #-def short (self, price, volume) Stop=False): "" sell "return self.sendOrder (CTAORDER_SHORT, price, volume, stop) #-def cover (self, price, volume) Stop=False): "" buy even "" return self.sendOrder (CTAORDER_COVER, price, volume, stop)

two。 Next, let's take a look at the sendOrder () source code, which is also defined in class CtaTemplate; if stop is a local stop order, the stop order is not sent to the exchange, but is stored internally, using the ctaEngine.sendStopOrder () function; otherwise, it is sent directly to the exchange, using the ctaEngine.sendStopOrder function.

A vtOrderIDList is returned here, and the list contains vtOrderID, which is then returned on the top of the quilt. I would like to add here that the real transaction triggered by StopOrder is usually a market order (Market price) issued by an up-and-down price, the parameter price is only a trigger condition, while an ordinary sendOrder is a limit order (Limit price) that really follows the parameter price.

Def sendOrder (self, orderType, price, volume, stop=False): "" send delegate "" if self.trading: # if stop is True It means sending a local stop order if stop: vtOrderIDList = self.ctaEngine.sendStopOrder (self.vtSymbol, orderType, price, volume, self) else: vtOrderIDList = self.ctaEngine.sendOrder (self.vtSymbol, orderType, price, volume, self) return vtOrderIDList else: # an empty string return is returned when the transaction stops

3. First of all, let's take a look at the ctaEngine.sendStopOrder () function, which is defined in class CtaEngine. First, two dictionaries are defined to store the stoporder when the instance is initialized. The difference is that one is deleted after the single revocation is stopped, and the other will not be deleted. It also defines a dictionary and all the orderID corresponding to the policy.

Def _ _ init__ (self, mainEngine, eventEngine):. # Local stop list dictionary # key is stopOrderID,value stopOrder object self.stopOrderDict = {} # self.workingStopOrderDict will not be deleted from this dictionary after stopping order revocation # it will be deleted from this dictionary after stopping order revocation # save policy name and delegate number list dictionary # key is name Value is the collection that saves orderID (limit price + local stop) self.strategyOrderDict = {}.

Then in the function sendStopOrder, first record a special number for the local stop, that is, the prefix is followed by a sequential number, where STOPORDERPREFIX is' CtaStopOrder.', so the first local code is' CtaStopOrder.1'. The following is the bill information; here you can find that orderType is actually a combination of direction and offset, the transaction direction direction has Long and short, and the transaction has open and close for offset. The combination is bought from above, sold flat, and so on. Then put the stoporder in the dictionary and wait for the price to arrive to trigger the real billing. Here the local code is returned as vtOrderIDList.

Def sendStopOrder (self, vtSymbol, orderType, price, volume Strategy): "" send stop order (local implementation) "" self.stopOrderCount + = 1 stopOrderID = STOPORDERPREFIX + str (self.stopOrderCount) so = StopOrder () so.vtSymbol = vtSymbol so.orderType = orderType so.price = price so.volume = volume so.strategy = strategy so.stopOrderID = stopOrderID so.status = STOPORDER_WAITING If orderType = = CTAORDER_BUY: so.direction = DIRECTION_LONG so.offset = OFFSET_OPEN elif orderType = = CTAORDER_SELL: so.direction = DIRECTION_SHORT so.offset = OFFSET_CLOSE elif orderType = = CTAORDER_SHORT: so.direction = DIRECTION_SHORT so.offset = OFFSET_OPEN elif orderType = = CTAORDER_COVER: So.direction = DIRECTION_LONG so.offset = OFFSET_CLOSE # Save the stopOrder object to the dictionary self.stopOrderDict [stopOrderID] = so self.workingStopOrderDict [stopOrderID] = so # Save stopOrderID to the policy delegate number collection self.strategyO rderDict [rougy.name] .add (stopOrderID) # push stop Stop order status strategy.onStopOrder (so) return [stopOrderID]

4. The following is the processStopOrder () function, also defined in class CtaEngine, mainly how to send real trading orders when the market conforms to, because stopOrderID is not the focus of tick transactions, here briefly, see the source code for details.

When the tick is received, it will check whether the tick.vtSymbol is the same as the so.vtSymbol of the workingStopOrderDict. If so, see whether the tick.lastPrice price can meet the trigger threshold. If so, according to the original so transaction Direction,Long according to the rising limit price, Short issues the commission according to the falling limit price. Then remove the so from workingStopOrderDic and strategyOrderDict, update the so status, and trigger the event onStopOrder (so).

It is found here that so only issues orders to the exchange according to the price limit and does not guarantee the results, and the actual trading vtOrderID entrusted by the market price has not been returned; from the perspective of tick trading, the ability to send a transaction after receiving the tick is also a delay of one tick. Therefore, stoporder is not recommended for general tick-level transactions.

Def processStopOrder (self, tick): "" vtSymbol = tick.vtSymbol # first check if there is a strategy to trade the contract if vtSymbol in self.tickStrategyDict: # traversing the waiting stop order after receiving the quotation (check whether to issue it immediately) Check whether for so in self.workingStopOrderDict.values (): if so.vtSymbol = = vtSymbol: longTriggered = so.direction==DIRECTION_LONG and tick.lastPrice > = so.price # Multi-stop is triggered shortTriggered = so.direction==DIRECTION_SHORT and tick.lastPrice CtaEngine-> mainEngine-> ctpgateway-> CtpTdApi, and passed to the API encapsulated by C++. What is returned is that vtOrderID; may return a set of split cases such as lock and backhand due to the existence of yesterday, today and lock.

The above is all the contents of this article "how to send trading orders to the source code of the exchange in VNPY". Thank you for reading! I believe we all have a certain understanding, hope to share the content to help you, if you want to learn more knowledge, welcome to follow the industry information channel!

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