新增算法单: TVWPOrder 和 VWAPOrder #793
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Cuizi7
requested changes
May 29, 2023
rqalpha/apis/api_abstract.py
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| """ | ||
| 指定股数的买/卖单，最常见的落单方式之一。如有需要落单类型当做一个参量传入，如果忽略掉落单类型，那么默认是市价单（market order）。 | ||
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| :param id_or_ins: 下单标的物 | ||
| :param amount: 下单量, 正数代表买入，负数代表卖出。将会根据一手xx股来向下调整到一手的倍数，比如中国A股就是调整成100股的倍数。 | ||
| :param price: 下单价格，默认为None，表示 :class:`~MarketOrder`, 此参数主要用于简化 `style` 参数。 | ||
| :param style: 下单类型, 默认是市价单。目前支持的订单类型有 :class:`~LimitOrder` 和 :class:`~MarketOrder` | ||
| :param price_or_style: 原参数price和style的整合 |
| @@ -151,11 +167,11 @@ def order_percent(id_or_ins, percent, price=None, style=None): | |||
| ) | |||
| @apply_rules( | |||
| verify_that('cash_amount').is_number(), | |||
| verify_that('style').is_instance_of((MarketOrder, LimitOrder, type(None))) | |||
| *common_rules | |||
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这里 price_or_style 还应支持 tuple 类型，似乎没在参数检查中体现。
| @@ -38,6 +38,9 @@ def start_up(self, env, mod_config): | |||
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| mod_config.matching_type = self.parse_matching_type(mod_config.matching_type, env.config.base.frequency) | |||
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| if mod_config.matching_type == MATCHING_TYPE.VWAP: | |||
| user_system_log.warning("matching_type: vwap is deprecated") | |||
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我想了一下是不是先不废弃 vwap 比较好，我们只在日回测中引入了新的 OrderStyle，分钟回测下 vwap 撮合类型仍然是有意义的。
rqalpha/interface.py
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| @@ -445,6 +445,10 @@ def is_st_stock(self, order_book_id, dates): | |||
| # type: (str, Sequence[DateLike]) -> Sequence[bool] | |||
| raise NotImplementedError | |||
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| def get_algo_bar(self, id_or_ins, start_min, end_min, dt): | |||
| # type: (Union[str, Instrument], int, int, datetime) -> Optional[numpy.ndarray] | |||
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这里加一些注释吧，说明返回的是个啥样的 ndarray
| 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) |
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TYPE 不是 OrderStyle 基类的属性，此处至少要用 type hint 限制一下 order_style 的类型
| @@ -61,7 +61,8 @@ def _submit_order(id_or_ins, amount, side, position_effect, style): | |||
| raise RQInvalidArgument(_(u"Index Future contracts[99] are not supported in paper trading.")) | |||
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| price = env.get_last_price(order_book_id) | |||
| if not is_valid_price(price): | |||
| algo_price = env.data_proxy.get_algo_bar(instrument, style, env.calendar_dt)[0] if isinstance(style, ALGO_ORDER_STYLES) else 1 | |||
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这里我觉得可以沿用老的判断，有 last_price 即认为有行情，不需要提前计算 algo_price
| price = env.data_proxy.get_last_price(ins.order_book_id) | ||
| if not is_valid_price(price): | ||
| algo_price = env.data_proxy.get_algo_bar(ins, style, env.calendar_dt)[0] if isinstance(style, ALGO_ORDER_STYLES) else 1 |
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和期货那边类似，可以简化处理，只看 last_price 来判断是否有行情
| _(u"Order Creation Failed: [{order_book_id}] No market data").format(order_book_id=ins.order_book_id) | ||
| ) | ||
| return | ||
| price = _get_order_style_price(ins.order_book_id, style) |
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此处计算数量我也觉得用 last_price 更合理一些，直接用 vwap 或者 twap 加个计算数量用了太多的未来数据
tests/api_tests/test_api_stock.py
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