update

ricequant · Mar 7, 2017 · 6828298 · 6828298
1 parent d2d64cb
commit 6828298
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Showing 3 changed files with 27 additions and 36 deletions.
diff --git a/rqalpha/mod/simulation/simulation_broker.py b/rqalpha/mod/simulation/simulation_broker.py
@@ -172,7 +172,5 @@ def _match(self):
         self._open_orders = [(a, o) for a, o in self._open_orders if not o._is_final()]
 
         for account, order in final_orders:
-            if order.status == ORDER_STATUS.REJECTED:
+            if order.status == ORDER_STATUS.REJECTED or order.status == ORDER_STATUS.CANCELLED:
                 self._env.event_bus.publish_event(EVENT.ORDER_UNSOLICITED_UPDATE, account, order)
-            elif order.status == ORDER_STATUS.CANCELLED:
-                self._env.event_bus.publish_event(EVENT.ORDER_CANCELLATION_PASS, account, order)
diff --git a/rqalpha/model/account/future_account.py b/rqalpha/model/account/future_account.py
@@ -135,19 +135,25 @@ def order_pending_cancel(self, account, order):
         pass
 
     def order_cancellation_pass(self, account, order):
+        self._cancel_order_cal(account, order)
+
+    def order_cancellation_reject(self, account, order):
+        pass
+
+    def order_unsolicited_update(self, account, order):
+        self._cancel_order_cal(account, order)
+
+    def _cancel_order_cal(self, account, order):
         if self != account:
             return
         order_book_id = order.order_book_id
-        position = self.portfolio.positions[order_book_id]
-        canceled_quantity = order.unfilled_quantity
-        canceled_value = -order._frozen_price * canceled_quantity * position._contract_multiplier
-        frozen_margin = self.margin_decider.cal_margin(order_book_id, order.order_book_id, canceled_value)
-        self._update_order_data(position, order, -canceled_quantity, canceled_value)
+        position = self.portfolio.positions[order.order_book_id]
+        rejected_quantity = order.unfilled_quantity
+        rejected_value = -order._frozen_price * rejected_quantity * position._contract_multiplier
+        frozen_margin = self.margin_decider.cal_margin(order_book_id, order.side, rejected_value)
+        self._update_order_data(position, order, -rejected_quantity, rejected_value)
         self._update_frozen_cash(order, frozen_margin)
 
-    def order_cancellation_reject(self, account, order):
-        pass
-
     def trade(self, account, trade):
         if self != account:
             return
@@ -185,17 +191,6 @@ def trade(self, account, trade):
         self._update_market_value(position, bar_dict[order_book_id].close)
         self._last_trade_id = trade.exec_id
 
-    def order_unsolicited_update(self, account, order):
-        if self != account:
-            return
-        order_book_id = order.order_book_id
-        position = self.portfolio.positions[order.order_book_id]
-        rejected_quantity = order.unfilled_quantity
-        rejected_value = -order._frozen_price * rejected_quantity * position._contract_multiplier
-        frozen_margin = self.margin_decider.cal_margin(order_book_id, order.side, rejected_value)
-        self._update_order_data(position, order, -rejected_quantity, rejected_value)
-        self._update_frozen_cash(order, frozen_margin)
-
     @staticmethod
     def _update_holding_by_settle(position, settle_price):
         position._prev_settle_price = settle_price

diff --git a/rqalpha/model/account/stock_account.py b/rqalpha/model/account/stock_account.py
@@ -134,16 +134,22 @@ def order_pending_cancel(self, account, order):
         pass
 
     def order_cancellation_pass(self, account, order):
-        if self != account:
-            return
-        canceled_quantity = order.unfilled_quantity
-        canceled_value = order._frozen_price * canceled_quantity
-        self._update_order_data(order, -canceled_quantity, -canceled_value)
-        self._update_frozen_cash(order, -canceled_value)
+        self._cancel_order_cal(account, order)
 
     def order_cancellation_reject(self, account, order):
         pass
 
+    def order_unsolicited_update(self, account, order):
+        self._cancel_order_cal(account, order)
+
+    def _cancel_order_cal(self, account, order):
+        if self != account:
+            return
+        rejected_quantity = order.unfilled_quantity
+        rejected_value = order._frozen_price * rejected_quantity
+        self._update_order_data(order, -rejected_quantity, -rejected_value)
+        self._update_frozen_cash(order, -rejected_value)
+
     def trade(self, account, trade):
         if self != account:
             return
@@ -183,14 +189,6 @@ def trade(self, account, trade):
 
         self._last_trade_id = trade.exec_id
 
-    def order_unsolicited_update(self, account, order):
-        if self != account:
-            return
-        rejected_quantity = order.unfilled_quantity
-        rejected_value = order._frozen_price * rejected_quantity
-        self._update_order_data(order, -rejected_quantity, -rejected_value)
-        self._update_frozen_cash(order, -rejected_value)
-
     def _update_order_data(self, order, inc_order_quantity, inc_order_value):
         position = self.portfolio.positions[order.order_book_id]
         if order.side == SIDE.BUY: