Merge pull request #638 from mar-heaven/counterparty_offer

Counterparty offer

rqalpha/interface.py

@@ -239,34 +239,6 @@ def get_b1(self, order_book_id):
         """
         raise NotImplementedError
 
-    def get_ask_vols(self, order_book_id):
-        # type: (str) -> list
-        """
-        获取合约的多档卖方申报量
-        """
-        raise NotImplementedError
-
-    def get_bid_vols(self, order_book_id):
-        # type: (str) -> list
-        """
-        获取合约的多档买方申报量
-        """
-        raise NotImplementedError
-
-    def get_ask_prices(self, order_book_id):
-        # type: (str) -> list
-        """
-        获取合约的多档卖方申报价
-        """
-        raise NotImplementedError
-
-    def get_bid_prices(self, order_book_id):
-        # type: (str) -> list
-        """
-        获取合约的多档买方申报价
-        """
-        raise NotImplementedError
-
 
 class AbstractDataSource(object):
     """

rqalpha/mod/rqalpha_mod_sys_simulation/matcher.py

@@ -247,6 +247,7 @@ def __init__(self, env, mod_config):
         self._b_volume = {}
         self._a_price = {}
         self._b_price = {}
+        self._env.event_bus.add_listener(EVENT.TICK, self._pre_tick)
 
     def match(self, account, order, open_auction):
         # type: (Account, Order, bool) -> None
@@ -260,7 +261,6 @@ def match(self, account, order, open_auction):
         按照该tick，a1，b1进行成交，剩余订单直接撤单
         """
         order_book_id = order.order_book_id
-        self._pre_match(order_book_id)
 
         self._pop_volume_and_price(order)
         if order.side == SIDE.BUY:
@@ -318,16 +318,12 @@ def match(self, account, order, open_auction):
             self._b_volume[order.order_book_id][0] -= min(amount, fill)
 
         if order.type == ORDER_TYPE.MARKET and order.unfilled_quantity != 0:
-            reason = _(
-                u"Order Cancelled: market order {order_book_id} volume {order_volume} is"
-                u" larger than {volume_percent_limit} percent of current bar volume, fill {filled_volume} actually"
-            ).format(
+            reason = _("Order Cancelled: market order {order_book_id} fill {filled_volume} actually").format(
                 order_book_id=order.order_book_id,
-                order_volume=order.quantity,
                 filled_volume=order.filled_quantity,
-                volume_percent_limit=self._volume_percent * 100.0
             )
             order.mark_cancelled(reason)
+            return
         if order.unfilled_quantity != 0:
             self.match(account, order, open_auction)
 
@@ -344,13 +340,13 @@ def _pop_volume_and_price(self, order):
         except IndexError:
             return
 
-    def _pre_match(self, order_book_id):
-        if self._a_volume.get(order_book_id) is None:
-            self._a_volume[order_book_id] = self._env.price_board.get_ask_vols(order_book_id)
-            self._b_volume[order_book_id] = self._env.price_board.get_bid_vols(order_book_id)
+    def _pre_tick(self, event):
+        order_book_id = event.tick.order_book_id
+        self._a_volume[order_book_id] = event.tick.ask_vols
+        self._b_volume[order_book_id] = event.tick.bid_vols
 
-            self._a_price[order_book_id] = self._env.price_board.get_ask_prices(order_book_id)
-            self._b_price[order_book_id] = self._env.price_board.get_bid_prices(order_book_id)
+        self._a_price[order_book_id] = event.tick.asks
+        self._b_price[order_book_id] = event.tick.bids
 
     def update(self):
         pass

rqalpha/mod/rqalpha_mod_sys_simulation/simulation_broker.py

@@ -98,6 +98,7 @@ def _account_order_from_state(order_state):
         self._open_auction_orders = [_account_order_from_state(v) for v in value.get("open_auction_orders", [])]
 
     def submit_order(self, order):
+        self._check_subscribe(order)
         if order.position_effect == POSITION_EFFECT.MATCH:
             raise TypeError(_("unsupported position_effect {}").format(order.position_effect))
         account = self._env.get_account(order.order_book_id)
@@ -170,3 +171,8 @@ def _match(self, order_book_id=None):
         for account, order in final_orders:
             if order.status == ORDER_STATUS.REJECTED or order.status == ORDER_STATUS.CANCELLED:
                 self._env.event_bus.publish_event(Event(EVENT.ORDER_UNSOLICITED_UPDATE, account=account, order=order))
+
+    def _check_subscribe(self, order):
+        if self._env.config.base.frequency == "tick" and order.order_book_id not in self._env.get_universe():
+            raise RuntimeError(_("{order_book_id} should be subscribed when frequency is tick.").format(
+                    order_book_id=order.order_book_id))

rqalpha/utils/translations/zh_Hans_CN/LC_MESSAGES/messages.po

@@ -463,6 +463,12 @@ msgstr ""
 "{order_book_id} 下单量 {order_volume} 超过当前 Bar 成交量的 "
 "{volume_percent_limit}%，实际成交 {filled_volume}"
 
+#: rqalpha/mod/rqalpha_mod_sys_simulation/matcher.py:226
+msgid ""
+"Order Cancelled: market order {order_book_id} fill {filled_volume} actually"
+msgstr ""
+"订单取消：标的 {order_book_id} 实际成交 {filled_volume}"
+
 #: rqalpha/mod/rqalpha_mod_sys_simulation/mod.py:42
 msgid "invalid margin multiplier value: value range is (0, +∞]"
 msgstr "无效的 保证金乘数 设置: 其值范围为 (0, +∞]"
@@ -506,6 +512,10 @@ msgstr "订单 {order_id} 被手动取消。"
 msgid "Order Rejected: {order_book_id} can not match. Market close."
 msgstr "订单被拒单: {order_book_id} 当天交易结束，订单无法成交。"
 
+#: rqalpha/mod/rqalpha_mod_sys_simulation/simulation_broker.py:177
+msgid "{order_book_id} should be subscribed when frequency is tick."
+msgstr "tick回测下单失败，请使用 subscribe 订阅合约 {order_book_id}。"
+
 #: rqalpha/mod/rqalpha_mod_sys_simulation/simulation_event_source.py:44
 #: rqalpha/mod/rqalpha_mod_sys_simulation/simulation_event_source.py:72
 msgid "Unsupported market {}"