Python Order.m_auxPrice方法代码示例

# 需要导入模块: from ib.ext.Order import Order [as 别名]
# 或者: from ib.ext.Order.Order import m_auxPrice [as 别名]
    def order(self, sid, amount, limit_price, stop_price, order_id=None):
        id = super(LiveBlotter, self).order(sid, amount, limit_price, stop_price, order_id=None)
        order_obj = self.orders[id]

        ib_order = IBOrder()
        ib_order.m_transmit = True
        ib_order.m_orderRef = order_obj.id
        ib_order.m_totalQuantity = order_obj.amount
        ib_order.m_action = ["BUY" if ib_order.m_totalQuantity > 0 else "SELL"][0]
        ib_order.m_tif = "DAY"
        # Todo: make the FA params configurable
        ib_order.m_faGroup = "ALL"
        ib_order.m_faMethod = "AvailableEquity"

        # infer order type
        if order_obj.stop and not order_obj.limit:
            ib_order.m_orderType = "STP"
            ib_order.m_auxPrice = float(order_obj.stop)

        elif order_obj.limit and not order_obj.stop:
            ib_order.m_orderType = "LMT"
            ib_order.m_lmtPrice = float(order_obj.limit)

        elif order_obj.stop and order_obj.limit:
            ib_order.m_orderType = "STPLMT"
            ib_order.m_auxPrice = float(order_obj.stop)
            ib_order.m_lmtPrice = float(order_obj.limit)

        else:
            ib_order.m_orderType = "MKT"

        contract = Contract()
        contract.m_symbol = order_obj.sid
        contract.m_currency = "USD"

        if hasattr(order_obj, "contract"):
            # This is a futures contract
            contract.m_secType = "FUT"
            contract.m_exchange = "GLOBEX"
            contract.m_expiry = order_obj.contract

        else:
            # This is a stock
            contract.m_secType = "STK"
            contract.m_exchange = "SMART"

        ib_id = self.place_order(contract, ib_order)
        self.id_map[order_obj.id] = ib_id

        return order_obj.id

# 需要导入模块: from ib.ext.Order import Order [as 别名]
# 或者: from ib.ext.Order.Order import m_auxPrice [as 别名]
 def _create_order(action, qty, order_type, limit_price, stop_price):
     order = Order()
     order.m_action = action
     order.m_totalQuantity = qty
     order.m_auxPrice = stop_price
     order.m_lmtPrice = limit_price
     order.m_orderType = order_type
     return order

# 需要导入模块: from ib.ext.Order import Order [as 别名]
# 或者: from ib.ext.Order.Order import m_auxPrice [as 别名]
def makeOptOrder(action, orderID, tif, orderType):
    newOptOrder = Order()
    newOptOrder.m_orderId = orderID
    newOptOrder.m_clientId = 0
    newOptOrder.m_permid = 0
    newOptOrder.m_action = action
    newOptOrder.m_lmtPrice = 0
    newOptOrder.m_auxPrice = 0
    newOptOrder.m_tif = tif
    newOptOrder.m_transmit = False
    newOptOrder.m_orderType = orderType
    newOptOrder.m_totalQuantity = 1
    return newOptOrder

# 需要导入模块: from ib.ext.Order import Order [as 别名]
# 或者: from ib.ext.Order.Order import m_auxPrice [as 别名]
    def makeOrder(self, action, orderId, tif, orderType, price, transmit, parentId):
        newOrder = Order()
        newOrder.m_orderId = orderId
        newOrder.m_transmit = transmit
        newOrder.m_lmtPrice = price
        newOrder.m_tif = tif
        newOrder.m_action = action
        newOrder.m_orderType = orderType
        if parentId is not None:
            newOrder.m_parentId = parentId

        newOrder.m_hidden = False
        newOrder.m_outsideRth = True
        newOrder.m_clientId = 999
        newOrder.m_permid = 0
        if orderType == 'LMT':
            newOrder.m_auxPrice = 0
        elif orderType == 'STP' or orderType == 'MIT':
            newOrder.m_auxPrice = price
        newOrder.m_totalQuantity = 1
        
        return newOrder

# 需要导入模块: from ib.ext.Order import Order [as 别名]
# 或者: from ib.ext.Order.Order import m_auxPrice [as 别名]
    def order(self, asset, amount, style):
        contract = Contract()
        contract.m_symbol = str(asset.symbol)
        contract.m_currency = self.currency
        contract.m_exchange = symbol_to_exchange[str(asset.symbol)]
        contract.m_secType = symbol_to_sec_type[str(asset.symbol)]

        order = Order()
        order.m_totalQuantity = int(fabs(amount))
        order.m_action = "BUY" if amount > 0 else "SELL"

        is_buy = (amount > 0)
        order.m_lmtPrice = style.get_limit_price(is_buy) or 0
        order.m_auxPrice = style.get_stop_price(is_buy) or 0

        if isinstance(style, MarketOrder):
            order.m_orderType = "MKT"
        elif isinstance(style, LimitOrder):
            order.m_orderType = "LMT"
        elif isinstance(style, StopOrder):
            order.m_orderType = "STP"
        elif isinstance(style, StopLimitOrder):
            order.m_orderType = "STP LMT"

        order.m_tif = "DAY"
        order.m_orderRef = self._create_order_ref(order)

        ib_order_id = self._tws.next_order_id
        zp_order = self._get_or_create_zp_order(ib_order_id, order, contract)

        log.info(
            "Placing order-{order_id}: "
            "{action} {qty} {symbol} with {order_type} order. "
            "limit_price={limit_price} stop_price={stop_price} {tif}".format(
                order_id=ib_order_id,
                action=order.m_action,
                qty=order.m_totalQuantity,
                symbol=contract.m_symbol,
                order_type=order.m_orderType,
                limit_price=order.m_lmtPrice,
                stop_price=order.m_auxPrice,
                tif=order.m_tif
            ))

        self._tws.placeOrder(ib_order_id, contract, order)

        return zp_order

# 需要导入模块: from ib.ext.Order import Order [as 别名]
# 或者: from ib.ext.Order.Order import m_auxPrice [as 别名]
def addmktorder(cid, action, qty):
    id = len(orders)
    o = Order()
    o.m_orderId = id
    o.m_clientId = 0
    o.m_permid = 0
    o.m_action = action
    o.m_lmtPrice = 0
    o.m_auxPrice = 0
    o.m_tif = 'DAY'
    o.m_orderType = 'MKT'
    o.m_totalQuantity = qty
    o.m_transmit = True
    orders.append([o, cid, qty, id])        
    con.placeOrder(id, contracts[cid], o)
    position(cid)
    pending(cid)

# 需要导入模块: from ib.ext.Order import Order [as 别名]
# 或者: from ib.ext.Order.Order import m_auxPrice [as 别名]
def create_order(order_type, quantity, action, limitprice, transmitf, auxprice, stopprice, rptype):
    order = Order()
    order.m_orderType = order_type
    order.m_totalQuantity = quantity
    order.m_action = action
    order.m_lmtPrice = limitprice
    order.m_transmit = transmitf
    order.m_faGroup = 'rpacct'
##    order.m_faProfile = 'allocateALL'
    order.m_faMethod = 'AvailableEquity'
    if order_type == 'LMT':
        pass
##        order.m_lmtPrice = limitprice
    elif order_type  == 'STP':
        order.m_auxPrice = stopprice
    else:
        print'failing on price in ibutiles..bad order type...need one'
    return order

# 需要导入模块: from ib.ext.Order import Order [as 别名]
# 或者: from ib.ext.Order.Order import m_auxPrice [as 别名]
def create_stock_order(order_id, quantity, is_buy, price=None, stop_price=None):
    order = Order()

    order.m_outsideRth = True
    order.m_orderId = order_id
    order.m_totalQuantity = quantity
    order.m_action = DataType.ORDER_ACTION_BUY if is_buy else DataType.ORDER_ACTION_SELL

    if price is None:
        order.m_orderType = DataType.ORDER_TYPE_MARKET
    else:
        order.m_lmtPrice = price
        order.m_orderType = DataType.ORDER_TYPE_LIMIT

        if stop_price is not None:
            order.m_auxPrice = stop_price
            order.m_orderType = DataType.ORDER_TYPE_STOP_LIMIT

    return order

# 需要导入模块: from ib.ext.Order import Order [as 别名]
# 或者: from ib.ext.Order.Order import m_auxPrice [as 别名]

#.........这里部分代码省略.........
         version = self.readInt()
         timeStamp = self.readStr()
         self.eWrapper().updateAccountTime(timeStamp)
     elif msgId == self.ERR_MSG:
         version = self.readInt()
         if version < 2:
             msg = self.readStr()
             self.m_parent.error(msg)
         else:
             id = self.readInt()
             errorCode = self.readInt()
             errorMsg = self.readStr()
             self.m_parent.error(id, errorCode, errorMsg)
     elif msgId == self.OPEN_ORDER:
         version = self.readInt()
         order = Order()
         order.m_orderId = self.readInt()
         contract = Contract()
         if version >= 17:
             contract.m_conId = self.readInt()
         contract.m_symbol = self.readStr()
         contract.m_secType = self.readStr()
         contract.m_expiry = self.readStr()
         contract.m_strike = self.readDouble()
         contract.m_right = self.readStr()
         contract.m_exchange = self.readStr()
         contract.m_currency = self.readStr()
         if version >= 2:
             contract.m_localSymbol = self.readStr()
         order.m_action = self.readStr()
         order.m_totalQuantity = self.readInt()
         order.m_orderType = self.readStr()
         order.m_lmtPrice = self.readDouble()
         order.m_auxPrice = self.readDouble()
         order.m_tif = self.readStr()
         order.m_ocaGroup = self.readStr()
         order.m_account = self.readStr()
         order.m_openClose = self.readStr()
         order.m_origin = self.readInt()
         order.m_orderRef = self.readStr()
         if version >= 3:
             order.m_clientId = self.readInt()
         if version >= 4:
             order.m_permId = self.readInt()
             if version < 18:
                 self.readBoolFromInt()
             else:
                 order.m_outsideRth = self.readBoolFromInt()
             order.m_hidden = (self.readInt() == 1)
             order.m_discretionaryAmt = self.readDouble()
         if version >= 5:
             order.m_goodAfterTime = self.readStr()
         if version >= 6:
             self.readStr()
         if version >= 7:
             order.m_faGroup = self.readStr()
             order.m_faMethod = self.readStr()
             order.m_faPercentage = self.readStr()
             order.m_faProfile = self.readStr()
         if version >= 8:
             order.m_goodTillDate = self.readStr()
         if version >= 9:
             order.m_rule80A = self.readStr()
             order.m_percentOffset = self.readDouble()
             order.m_settlingFirm = self.readStr()
             order.m_shortSaleSlot = self.readInt()

# 需要导入模块: from ib.ext.Order import Order [as 别名]
# 或者: from ib.ext.Order.Order import m_auxPrice [as 别名]
    def submitOrder(self, order):
        if order.isInitial():

            ibContract = Contract()
            ibOrder = Order()

            ibContract.m_symbol = order.getInstrument()


            ibContract.m_secType = self.__marketOptions['assetType']
            ibContract.m_currency = self.__marketOptions['currency']
            ibContract.m_exchange = self.__marketOptions['routing']

            ibOrder.m_totalQuantity = order.getInstrumentTraits().roundQuantity(order.getQuantity())
            if order.getAction() == (broker.Order.Action.BUY or broker.Order.Action.BUY_TO_COVER):
                ibOrder.m_action = 'BUY'
            elif order.getAction() == broker.Order.Action.SELL:
                ibOrder.m_action = 'SELL'
            elif order.getAction() == broker.Order.Action.SELL_SHORT:
                ibOrder.m_action = 'SELL'

            if order.getType() == broker.Order.Type.MARKET:                
                if order.getFillOnClose():
                    ibOrder.m_orderType = 'MOC'
                else:
                    ibOrder.m_orderType = 'MKT'
            elif order.getType() == broker.Order.Type.LIMIT:
                ibOrder.m_orderType = 'LMT'
                ibOrder.m_lmtPrice = order.getInstrumentTraits().roundPrice(order.getLimitPrice())
            elif order.getType() == broker.Order.Type.STOP:
                ibOrder.m_orderType = 'STP'
                ibOrder.m_auxPrice = order.getInstrumentTraits().roundPrice(order.getStopPrice())
            elif order.getType() == broker.Order.Type.STOP_LIMIT:
                ibOrder.m_orderType = 'STP LMT'
                ibOrder.m_lmtPrice = order.getInstrumentTraits().roundPrice(order.getLimitPrice())
                ibOrder.m_auxPrice = order.getInstrumentTraits().roundPrice(order.getStopPrice())

            

            if order.getAllOrNone() == True:
                ibOrder.m_allOrNone = 1
            else:
                ibOrder.m_allOrNone = 0


            if order.getGoodTillCanceled() == True:
                ibOrder.m_tif = 'GTC'
            else:
                ibOrder.m_tif = 'DAY'

            self.__ib.placeOrder(self.__nextOrderId, ibContract, ibOrder)

            order.setSubmitted(self.__nextOrderId, datetime.datetime.now())
            
            self.__nextOrderId += 1

            self._registerOrder(order)
            # Switch from INITIAL -> SUBMITTED
            # IMPORTANT: Do not emit an event for this switch because when using the position interface
            # the order is not yet mapped to the position and Position.onOrderUpdated will get called.
            order.switchState(broker.Order.State.SUBMITTED)
        else:
            raise Exception("The order was already processed")