pr update

rqalpha/apis/api_base.py

@@ -172,7 +172,7 @@ def submit_order(id_or_ins, amount, side, price=None, position_effect=None):
     if not is_valid_price(market_price):
         reason = _(u"Order Creation Failed: [{order_book_id}] No market data").format(order_book_id=order_book_id)
         user_system_log.warn(reason)
-        env.event_bus.publish_event(Event(EVENT.ORDER_CREATION_REJECT, order_book_id=order_book_id, order=None, reason=reason))
+        env.event_bus.publish_event(Event(EVENT.ORDER_CREATION_REJECT, order_book_id=order_book_id, reason=reason))
         return
 
     amount = int(amount)

rqalpha/environment.py

@@ -20,7 +20,7 @@
 from itertools import chain
 
 import rqalpha
-from rqalpha.core.events import EventBus
+from rqalpha.core.events import EventBus, Event, EVENT
 from rqalpha.const import INSTRUMENT_TYPE
 from rqalpha.utils.logger import system_log, user_log, user_system_log
 from rqalpha.core.global_var import GlobalVars
@@ -114,9 +114,7 @@ def _get_frontend_validators(self, instrument_type):
         return chain(self._frontend_validators.get(instrument_type, []), self._default_frontend_validators)
 
     def submit_order(self, order):
-        instrument_type = self.data_proxy.instrument(order.order_book_id).type
-        account = self.portfolio.get_account(order.order_book_id)
-        if all(v.can_submit_order(order, account) for v in self._get_frontend_validators(instrument_type)):
+        if self.can_submit_order(order):
             self.broker.submit_order(order)
             return order
 
@@ -184,6 +182,8 @@ def can_submit_order(self, order):
         instrument_type = self.data_proxy.instrument(order.order_book_id).type
         account = self.portfolio.get_account(order.order_book_id)
         for v in self._get_frontend_validators(instrument_type):
-            if not v.can_submit_order(order, account):
+            result = v.can_submit_order(order, account)
+            if not (result is True):
+                self.event_bus.publish_event(Event(EVENT.ORDER_CREATION_REJECT, order_book_id=order.order_book_id, reason=result))
                 return False
         return True

rqalpha/interface.py

@@ -654,6 +654,7 @@ class AbstractFrontendValidator(with_metaclass(abc.ABCMeta)):
     def can_submit_order(self, order, account=None):
         """
         判断是否可以下单
+        :return: 可以下单返回 `True`, 不可下单返回原因
         """
         raise NotImplementedError
 

rqalpha/mod/rqalpha_mod_sys_accounts/api/api_stock.py

@@ -103,7 +103,7 @@ def _submit_order(ins, amount, side, position_effect, style, current_quantity, a
     if not is_valid_price(price):
         reason = _(u"Order Creation Failed: [{order_book_id}] No market data").format(order_book_id=ins.order_book_id)
         user_system_log.warn(reason)
-        env.event_bus.publish_event(Event(EVENT.ORDER_CREATION_REJECT, order_book_id=ins.order_book_id, order=None, reason=reason))
+        env.event_bus.publish_event(Event(EVENT.ORDER_CREATION_REJECT, order_book_id=ins.order_book_id, reason=reason))
         return
 
     if (side == SIDE.BUY and current_quantity != -amount) or (side == SIDE.SELL and current_quantity != abs(amount)):
@@ -113,7 +113,7 @@ def _submit_order(ins, amount, side, position_effect, style, current_quantity, a
     if amount == 0:
         reason = _(u"Order Creation Failed: 0 order quantity, order_book_id={order_book_id}").format(order_book_id=ins.order_book_id)
         user_system_log.warn(reason)
-        env.event_bus.publish_event(Event(EVENT.ORDER_CREATION_REJECT, order_book_id=ins.order_book_id, order=None, reason=reason))
+        env.event_bus.publish_event(Event(EVENT.ORDER_CREATION_REJECT, order_book_id=ins.order_book_id, reason=reason))
         return
     order = Order.__from_create__(ins.order_book_id, abs(amount), side, style, position_effect)
     if side == SIDE.BUY and auto_switch_order_value:
@@ -142,7 +142,7 @@ def _order_value(account, position, ins, cash_amount, style):
         if not is_valid_price(price):
             reason = _(u"Order Creation Failed: [{order_book_id}] No market data").format(order_book_id=ins.order_book_id)
             user_system_log.warn(reason)
-            env.event_bus.publish_event(Event(EVENT.ORDER_CREATION_REJECT, order_book_id=ins.order_book_id, order=None, reason=reason))
+            env.event_bus.publish_event(Event(EVENT.ORDER_CREATION_REJECT, order_book_id=ins.order_book_id, reason=reason))
             return
 
     amount = int(Decimal(cash_amount) / Decimal(price))
@@ -159,7 +159,7 @@ def _order_value(account, position, ins, cash_amount, style):
         else:
             reason = _(u"Order Creation Failed: 0 order quantity, order_book_id={order_book_id}").format(order_book_id=ins.order_book_id)
             user_system_log.warn(reason)
-            env.event_bus.publish_event(Event(EVENT.ORDER_CREATION_REJECT, order_book_id=ins.order_book_id, order=None, reason=reason))
+            env.event_bus.publish_event(Event(EVENT.ORDER_CREATION_REJECT, order_book_id=ins.order_book_id, reason=reason))
             return
 
     if amount < 0:
@@ -192,26 +192,44 @@ def stock_order_percent(id_or_ins, percent, price_or_style=None, price=None, sty
 
 @order_target_value.register(INST_TYPE_IN_STOCK_ACCOUNT)
 def stock_order_target_value(id_or_ins, cash_amount, price_or_style=None, price=None, style=None):
+    env = Environment.get_instance()
     account, position, ins = _get_account_position_ins(id_or_ins)
     open_style, close_style = calc_open_close_style(price, style, price_or_style)
     if cash_amount == 0:
         return _submit_order(
             ins, position.closable, SIDE.SELL, POSITION_EFFECT.CLOSE, close_style, position.quantity, False
         )
     _delta = cash_amount - position.market_value
+    price = env.data_proxy.get_last_price(ins.order_book_id)
+    if not is_valid_price(price):
+        reason = _(u"Order Creation Failed: [{order_book_id}] No market data").format(order_book_id=ins.order_book_id)
+        user_system_log.warn(reason)
+        env.event_bus.publish_event(Event(EVENT.ORDER_CREATION_REJECT, order_book_id=ins.order_book_id, reason=reason))
+    amount = int(Decimal(_delta) / Decimal(price))
+    if _round_order_quantity(ins, amount) == 0:
+        return
     _style = open_style if _delta > 0 else close_style
     return _order_value(account, position, ins, _delta, _style)
 
 
 @order_target_percent.register(INST_TYPE_IN_STOCK_ACCOUNT)
 def stock_order_target_percent(id_or_ins, percent, price_or_style=None, price=None, style=None):
+    env = Environment.get_instance()
     account, position, ins = _get_account_position_ins(id_or_ins)
     open_style, close_style = calc_open_close_style(price, style, price_or_style)
     if percent == 0:
         return _submit_order(
             ins, position.closable, SIDE.SELL, POSITION_EFFECT.CLOSE, close_style, position.quantity, False
         )
     _delta = account.total_value * percent - position.market_value
+    price = env.data_proxy.get_last_price(ins.order_book_id)
+    if not is_valid_price(price):
+        reason = _(u"Order Creation Failed: [{order_book_id}] No market data").format(order_book_id=ins.order_book_id)
+        user_system_log.warn(reason)
+        env.event_bus.publish_event(Event(EVENT.ORDER_CREATION_REJECT, order_book_id=ins.order_book_id, reason=reason))
+    amount = int(Decimal(_delta) / Decimal(price))
+    if _round_order_quantity(ins, amount) == 0:
+        return
     _style = open_style if _delta > 0 else close_style
     return _order_value(account, position, ins, _delta, _style)
 
@@ -346,7 +364,7 @@ def order_target_portfolio(
         if not is_valid_price(last_price):
             reason = _(u"Order Creation Failed: [{order_book_id}] No market data").format(order_book_id=order_book_id)
             user_system_log.warn(reason)
-            env.event_bus.publish_event(Event(EVENT.ORDER_CREATION_REJECT, order_book_id=ins.order_book_id, order=None, reason=reason))
+            env.event_bus.publish_event(Event(EVENT.ORDER_CREATION_REJECT, order_book_id=ins.order_book_id, reason=reason))
             continue
 
         price_or_style = price_or_styles.get(ins.order_book_id)
@@ -386,7 +404,7 @@ def order_target_portfolio(
                 id_or_ins=order_book_id, close_price=close_price, open_price=open_price
             )
             user_system_log.warn(reason)
-            env.event_bus.publish_event(Event(EVENT.ORDER_CREATION_REJECT, order_book_id=order_book_id, order=None, reason=reason))
+            env.event_bus.publish_event(Event(EVENT.ORDER_CREATION_REJECT, order_book_id=order_book_id, reason=reason))
             continue
 
         delta_quantity = (account_value * target_percent / close_price) - current_quantities.get(order_book_id, 0)

rqalpha/mod/rqalpha_mod_sys_accounts/position_validator.py

@@ -22,8 +22,6 @@
 from rqalpha.utils.logger import user_system_log
 from rqalpha.model.order import Order
 from rqalpha.portfolio.account import Account
-from rqalpha.core.events import Event, EVENT
-from rqalpha.environment import Environment
 
 from rqalpha.utils.i18n import gettext as _
 
@@ -48,8 +46,7 @@ def can_submit_order(self, order, account=None):
                 closable=position.today_closable,
             )
             user_system_log.warn(reason)
-            Environment.get_instance().event_bus.publish_event(Event(EVENT.ORDER_CREATION_REJECT, order_book_id=order._order_book_id, order=order, reason=reason))
-            return False
+            return reason
         if order.position_effect == POSITION_EFFECT.CLOSE and order.quantity > position.closable:
             reason = _(
                 "Order Creation Failed: not enough position {order_book_id} to close or exercise, target"
@@ -59,6 +56,5 @@ def can_submit_order(self, order, account=None):
                 closable=position.closable,
             )
             user_system_log.warn(reason)
-            Environment.get_instance().event_bus.publish_event(Event(EVENT.ORDER_CREATION_REJECT, order_book_id=order.order_book_id, order=order, reason=reason))
-            return False
+            return reason
         return True

rqalpha/mod/rqalpha_mod_sys_risk/validators/cash_validator.py

@@ -18,7 +18,6 @@
 from rqalpha.interface import AbstractFrontendValidator
 from rqalpha.const import POSITION_EFFECT
 from rqalpha.utils.logger import user_system_log
-from rqalpha.core.events import Event, EVENT
 
 from rqalpha.utils.i18n import gettext as _
 
@@ -36,7 +35,7 @@ def is_cash_enough(env, order, cash, warn=False):
                 cost_money=cost_money,
                 cash=cash)
         user_system_log.warn(reason)
-        env.event_bus.publish_event(Event(EVENT.ORDER_CREATION_REJECT, order_book_id=order.order_book_id, order=order, reason=reason))
+        return reason
     return False
 
 

rqalpha/mod/rqalpha_mod_sys_risk/validators/is_trading_validator.py

@@ -20,8 +20,6 @@
 from rqalpha.utils.logger import user_system_log
 from rqalpha.utils.i18n import gettext as _
 from rqalpha.const import INSTRUMENT_TYPE
-from rqalpha.core.events import Event, EVENT
-from rqalpha.environment import Environment
 
 
 class IsTradingValidator(AbstractFrontendValidator):
@@ -34,17 +32,15 @@ def can_submit_order(self, order, account=None):
             reason = _(u"Order Creation Failed: {order_book_id} is not listing!").format(
                 order_book_id=order.order_book_id)
             user_system_log.warn(reason)
-            Environment.get_instance().event_bus.publish_event(Event(EVENT.ORDER_CREATION_REJECT, order_book_id=order._order_book_id, order=order, reason=reason))
-            return False
+            return reason
 
         if instrument.type == 'CS' and self._env.data_proxy.is_suspended(order.order_book_id, self._env.trading_dt):
             reason = _(u"Order Creation Failed: security {order_book_id} is suspended on {date}").format(
                 order_book_id=order.order_book_id,
                 date=self._env.trading_dt.date()
             )
             user_system_log.warn(reason)
-            Environment.get_instance().event_bus.publish_event(Event(EVENT.ORDER_CREATION_REJECT, order_book_id=order._order_book_id, order=order, reason=reason))
-            return False
+            return reason
 
         return True
 

rqalpha/mod/rqalpha_mod_sys_risk/validators/price_validator.py

@@ -16,8 +16,6 @@
 from rqalpha.interface import AbstractFrontendValidator
 from rqalpha.const import ORDER_TYPE, POSITION_EFFECT
 from rqalpha.utils.logger import user_system_log
-from rqalpha.core.events import Event, EVENT
-from rqalpha.environment import Environment
 
 from rqalpha.utils.i18n import gettext as _
 
@@ -42,8 +40,7 @@ def can_submit_order(self, order, account=None):
                 limit_up=limit_up
             )
             user_system_log.warn(reason)
-            Environment.get_instance().event_bus.publish_event(Event(EVENT.ORDER_CREATION_REJECT, order_book_id=order.order_book_id, order=order, reason=reason))
-            return False
+            return reason
 
         limit_down = round(self._env.price_board.get_limit_down(order.order_book_id), 4)
         if order.price < limit_down:
@@ -56,8 +53,7 @@ def can_submit_order(self, order, account=None):
                 limit_down=limit_down
             )
             user_system_log.warn(reason)
-            Environment.get_instance().event_bus.publish_event(Event(EVENT.ORDER_CREATION_REJECT, order_book_id=order._order_book_id, order=order, reason=reason))
-            return False
+            return reason
 
         return True
 

rqalpha/model/order.py

@@ -25,7 +25,6 @@
 from rqalpha.utils.repr import property_repr, properties
 from rqalpha.utils.logger import user_system_log
 from rqalpha.environment import Environment
-from rqalpha.core.events import Event, EVENT
 
 
 class Order(object):
@@ -326,19 +325,13 @@ def mark_rejected(self, reject_reason):
             self._message = reject_reason
             self._status = ORDER_STATUS.REJECTED
             user_system_log.warn(reject_reason)
-            Environment.get_instance().event_bus.publish_event(
-                Event(EVENT.ORDER_CREATION_REJECT, order_book_id=self.order_book_id, order=self, reason=reject_reason)
-            )
 
     def mark_cancelled(self, cancelled_reason, user_warn=True):
         if not self.is_final():
             self._message = cancelled_reason
             self._status = ORDER_STATUS.CANCELLED
             if user_warn:
                 user_system_log.warn(cancelled_reason)
-                Environment.get_instance().event_bus.publish_event(
-                    Event(EVENT.ORDER_CREATION_REJECT, order_book_id=self.order_book_id, order=self, reason=cancelled_reason)
-                )
 
     def set_frozen_price(self, value):
         self._frozen_price = value