Merge 25260b7 into 8718fa2

docs/source/api/base_api.rst

@@ -141,6 +141,56 @@ after_trading - 盘后
 交易接口
 =================
 
+OrderStyle - 订单类型
+------------------------------------------------------
+
+该类型可供后续下单接口中 price_or_style 参数使用
+
+.. module:: rqalpha.model.order
+
+.. _order_style:
+
+.. autoclass:: MarketOrder
+
+    .. code-block:: python
+
+        order_shares("000001.XSHE", amount=100, price_or_style=MarketOrder())
+
+市价单
+
+.. autoclass:: LimitOrder
+
+    :param float limit_price: 价格
+
+    .. code-block:: python
+
+        order_shares("000001.XSHE", amount=100, price_or_style=LimitOrder(10))
+
+限价单
+
+.. autoclass:: TWAPOrder
+
+    :param int start_min: 分钟起始时间
+    :param int end_min: 分钟结束时间
+
+    .. code-block:: python
+
+        order_shares("000001.XSHE", amount=100, price_or_style=TWAPOrder(931, 945))
+
+算法时间加权价格订单
+
+.. autoclass:: VWAPOrder
+
+    :param int start_min: 分钟起始时间
+    :param int end_min: 分钟结束时间
+
+    .. code-block:: python
+
+        order_shares("000001.XSHE", amount=100, price_or_style=VWAPOrder(931, 945))
+
+
+算法成交量加权价格订单
+
 ..  module:: rqalpha.api
 
 submit_order - 自由参数下单「通用」
@@ -651,6 +701,8 @@ Order - 订单
 ------------------------------------------------------
 ..  module:: rqalpha.model.order
 
+.. _order:
+
 ..  autoclass:: Order
     :members:
     :show-inheritance:
@@ -878,6 +930,10 @@ ORDER_TYPE - 订单类型
 
         限价单
 
+    .. py:attribute:: ALGO
+
+        算法单
+
 
 ORDER_STATUS - 订单状态
 ------------------------------------------------------

rqalpha/apis/api_base.py

@@ -71,26 +71,40 @@ def assure_order_book_id(id_or_ins):
     return assure_instrument(id_or_ins).order_book_id
 
 
-def cal_style(price, style):
-    if price is None and style is None:
+def cal_style(price, style, price_or_style=None):
+    if price_or_style is None:
+        if price:
+            price_or_style = price
+        if style:
+            price_or_style = style
+
+    if price_or_style is None:
         return MarketOrder()
 
-    if style is not None:
-        if not isinstance(style, OrderStyle):
-            raise RuntimeError
-        return style
+    if not isinstance(price_or_style, (int, float, OrderStyle)):
+        raise RQInvalidArgument(f"price or style or price_or_style type no support. {price_or_style}")
 
-    if isinstance(price, OrderStyle):
-        # 为了 order_xxx('RB1710', 10, MarketOrder()) 这种写法
-        if isinstance(price, LimitOrder):
-            if np.isnan(price.get_limit_price()):
-                raise RQInvalidArgument(_(u"Limit order price should not be nan."))
-        return price
+    if isinstance(price_or_style, OrderStyle):
+        return price_or_style
 
-    if np.isnan(price):
-        raise RQInvalidArgument(_(u"Limit order price should not be nan."))
+    return LimitOrder(price_or_style)
 
-    return LimitOrder(price)
+
+def calc_open_close_style(price, style, price_or_style):
+    if isinstance(price_or_style, tuple):
+        _length = len(price_or_style)
+        if _length == 0:
+            o, c = None, None
+        elif _length == 1:
+            o, c = price_or_style[0], price_or_style[0]
+        else:
+            o, c = price_or_style[0], price_or_style[1]
+        open_style = cal_style(price, style, o)
+        close_style = cal_style(price, style, c)
+    else:
+        open_style = cal_style(price, style, price_or_style)
+        close_style = open_style
+    return open_style, close_style
 
 
 @export_as_api

rqalpha/const.py

@@ -94,6 +94,12 @@ class MATCHING_TYPE(CustomEnum):
 class ORDER_TYPE(CustomEnum):
     MARKET = "MARKET"
     LIMIT = "LIMIT"
+    ALGO = "ALGO"
+
+
+class ALGO(CustomEnum):
+    TWAP = "TWAP"
+    VWAP = "VWAP"
 
 
 # noinspection PyPep8Naming

rqalpha/data/base_data_source/data_source.py

@@ -367,3 +367,6 @@ def get_merge_ticks(self, order_book_id_list, trading_date, last_dt=None):
 
     def history_ticks(self, instrument, count, dt):
         raise NotImplementedError
+
+    def get_algo_bar(self, id_or_ins, start_min, end_min, dt):
+        raise NotImplementedError("open source rqalpha not support algo order")

rqalpha/data/data_proxy.py

@@ -16,7 +16,7 @@
 #         详细的授权流程，请联系 public@ricequant.com 获取。
 
 from datetime import datetime, date
-from typing import Union, List, Sequence, Optional
+from typing import Union, List, Sequence, Optional, Tuple
 
 import six
 import numpy as np
@@ -28,6 +28,7 @@
 from rqalpha.model.bar import BarObject, NANDict, PartialBarObject
 from rqalpha.model.tick import TickObject
 from rqalpha.model.instrument import Instrument
+from rqalpha.model.order import TWAPOrder, VWAPOrder, ALGO_ORDER_STYLES
 from rqalpha.utils.functools import lru_cache
 from rqalpha.utils.datetime_func import convert_int_to_datetime, convert_date_to_int
 from rqalpha.utils.typing import DateLike, StrOrIter
@@ -130,9 +131,9 @@ def get_prev_close(self, order_book_id, dt):
 
     @lru_cache(10240)
     def _get_prev_settlement(self, instrument, dt):
-        prev_trading_date = self.get_previous_trading_date(dt)
-        bar = self._data_source.history_bars(instrument, 1, '1d', 'settlement', prev_trading_date,
-                                             skip_suspended=False, adjust_orig=dt)
+        bar = self._data_source.history_bars(
+            instrument, 1, '1d', fields='prev_settlement', dt=dt, skip_suspended=False, adjust_orig=dt
+        )
         if bar is None or len(bar) == 0:
             return np.nan
         return bar[0]
@@ -303,3 +304,16 @@ def get_trading_period(self, sym_or_ids, default_trading_period=None):
     def is_night_trading(self, sym_or_ids):
         # type: (StrOrIter) -> bool
         return any((instrument.trade_at_night for instrument in self.instruments(sym_or_ids)))
+
+    def get_algo_bar(self, id_or_ins, order_style, dt):
+        # type: (Union[str, Instrument], Union[*ALGO_ORDER_STYLES], datetime) -> Tuple[float, int]
+        if not isinstance(order_style, ALGO_ORDER_STYLES):
+            raise RuntimeError("get_algo_bar only support VWAPOrder and TWAPOrder")
+        if not isinstance(id_or_ins, Instrument):
+            id_or_ins = self.instrument(id_or_ins)
+        if id_or_ins is None:
+            return np.nan, 0
+        bar = self._data_source.get_algo_bar(id_or_ins, order_style.start_min, order_style.end_min, dt)
+        return (bar[order_style.TYPE], bar["volume"]) if bar else (np.nan, 0)
+
+

rqalpha/interface.py

@@ -445,6 +445,11 @@ def is_st_stock(self, order_book_id, dates):
         # type: (str, Sequence[DateLike]) -> Sequence[bool]
         raise NotImplementedError
 
+    def get_algo_bar(self, id_or_ins, start_min, end_min, dt):
+        # type: (Union[str, Instrument], int, int, datetime) -> Optional[numpy.void]
+        # 格式: (date, VWAP, TWAP, volume) -> 案例 (20200102, 16.79877183, 16.83271429, 144356044)
+        raise NotImplementedError
+
 
 class AbstractBroker(with_metaclass(abc.ABCMeta)):
     """

rqalpha/mod/rqalpha_mod_sys_accounts/api/api_future.py

@@ -18,13 +18,15 @@
 from __future__ import division
 from typing import Union, Optional, List
 
+import numpy as np
+
 from rqalpha.api import export_as_api
 from rqalpha.apis.api_base import assure_instrument
 from rqalpha.apis.api_abstract import order, order_to, buy_open, buy_close, sell_open, sell_close
 from rqalpha.apis.api_base import cal_style
 from rqalpha.apis.api_rqdatac import futures
 from rqalpha.environment import Environment
-from rqalpha.model.order import Order, LimitOrder, OrderStyle
+from rqalpha.model.order import Order, LimitOrder, OrderStyle, ALGO_ORDER_STYLES
 from rqalpha.const import SIDE, POSITION_EFFECT, ORDER_TYPE, RUN_TYPE, INSTRUMENT_TYPE, POSITION_DIRECTION
 from rqalpha.model.instrument import Instrument
 from rqalpha.portfolio.position import Position
@@ -35,8 +37,7 @@
 from rqalpha.utils.arg_checker import apply_rules, verify_that
 
 
-__all__ = [
-]
+__all__ = []
 
 
 def _submit_order(id_or_ins, amount, side, position_effect, style):
@@ -50,9 +51,8 @@ def _submit_order(id_or_ins, amount, side, position_effect, style):
             u"Order Creation Failed: 0 order quantity, order_book_id={order_book_id}"
         ).format(order_book_id=order_book_id))
         return None
-    if isinstance(style, LimitOrder) and style.get_limit_price() <= 0:
-        raise RQInvalidArgument(_(u"Limit order price should be positive"))
-
+    if isinstance(style, LimitOrder) and np.isnan(style.get_limit_price()):
+        raise RQInvalidArgument(_(u"Limit order price should not be nan."))
 
     if env.config.base.run_type != RUN_TYPE.BACKTEST and instrument.type == INSTRUMENT_TYPE.FUTURE:
         if "88" in order_book_id:
@@ -121,8 +121,6 @@ def _submit_order(id_or_ins, amount, side, position_effect, style):
         )
 
     for o in orders:
-        if o.type == ORDER_TYPE.MARKET:
-            o.set_frozen_price(price)
         if env.can_submit_order(o):
             env.broker.submit_order(o)
         else:
@@ -176,37 +174,37 @@ def _order(order_book_id, quantity, style, target):
 
 
 @order.register(INSTRUMENT_TYPE.FUTURE)
-def future_order(order_book_id, quantity, price=None, style=None):
-    # type: (Union[str, Instrument], int, Optional[float], Optional[OrderStyle]) -> List[Order]
-    return _order(order_book_id, quantity, cal_style(price, style), False)
+def future_order(order_book_id, quantity, price=None, style=None, price_or_style=None):
+    # type: (Union[str, Instrument], int, Optional[float], Optional[OrderStyle], Optional[Union[float, OrderStyle]]) -> List[Order]
+    return _order(order_book_id, quantity, cal_style(price, style, price_or_style), False)
 
 
 @order_to.register(INSTRUMENT_TYPE.FUTURE)
-def future_order_to(order_book_id, quantity, price=None, style=None):
-    # type: (Union[str, Instrument], int, Optional[float], Optional[OrderStyle]) -> List[Order]
-    return _order(order_book_id, quantity, cal_style(price, style), True)
+def future_order_to(order_book_id, quantity, price=None, style=None, price_or_style=None):
+    # type: (Union[str, Instrument], int, Optional[float], Optional[OrderStyle], Optional[Union[float, OrderStyle]]) -> List[Order]
+    return _order(order_book_id, quantity, cal_style(price, style, price_or_style), True)
 
 
 @buy_open.register(INSTRUMENT_TYPE.FUTURE)
-def future_buy_open(id_or_ins, amount, price=None, style=None):
-    return _submit_order(id_or_ins, amount, SIDE.BUY, POSITION_EFFECT.OPEN, cal_style(price, style))
+def future_buy_open(id_or_ins, amount, price=None, style=None, price_or_style=None):
+    return _submit_order(id_or_ins, amount, SIDE.BUY, POSITION_EFFECT.OPEN, cal_style(price, style, price_or_style))
 
 
 @buy_close.register(INSTRUMENT_TYPE.FUTURE)
-def future_buy_close(id_or_ins, amount, price=None, style=None, close_today=False):
+def future_buy_close(id_or_ins, amount, price=None, style=None, close_today=False, price_or_style=None):
     position_effect = POSITION_EFFECT.CLOSE_TODAY if close_today else POSITION_EFFECT.CLOSE
-    return _submit_order(id_or_ins, amount, SIDE.BUY, position_effect, cal_style(price, style))
+    return _submit_order(id_or_ins, amount, SIDE.BUY, position_effect, cal_style(price, style, price_or_style))
 
 
 @sell_open.register(INSTRUMENT_TYPE.FUTURE)
-def future_sell_open(id_or_ins, amount, price=None, style=None):
-    return _submit_order(id_or_ins, amount, SIDE.SELL, POSITION_EFFECT.OPEN, cal_style(price, style))
+def future_sell_open(id_or_ins, amount, price=None, style=None, price_or_style=None):
+    return _submit_order(id_or_ins, amount, SIDE.SELL, POSITION_EFFECT.OPEN, cal_style(price, style, price_or_style))
 
 
 @sell_close.register(INSTRUMENT_TYPE.FUTURE)
-def future_sell_close(id_or_ins, amount, price=None, style=None, close_today=False):
+def future_sell_close(id_or_ins, amount, price=None, style=None, close_today=False, price_or_style=None):
     position_effect = POSITION_EFFECT.CLOSE_TODAY if close_today else POSITION_EFFECT.CLOSE
-    return _submit_order(id_or_ins, amount, SIDE.SELL, position_effect, cal_style(price, style))
+    return _submit_order(id_or_ins, amount, SIDE.SELL, position_effect, cal_style(price, style, price_or_style))
 
 
 @export_as_api