綁訂報價模式

Shioaji 提供綁訂報價模式，可以用來將報價儲存於訊息佇列，將報價推送至Redis Stream，或者實現觸價委託單。我們提供以下範例，讓您可以更了解綁訂報價模式如何運作。

範例

綁訂報價至訊息佇列

In: pythonic way by using decorator

from collections import defaultdict, deque
from shioaji import TickFOPv1, Exchange

# set context
msg_queue = defaultdict(deque)
api.set_context(msg_queue)

# In order to use context, set bind=True
@api.on_tick_fop_v1(bind=True)
def quote_callback(self, exchange:Exchange, tick:TickFOPv1):
    # append quote to message queue
    self[tick.code].append(tick)

# subscribe
api.quote.subscribe(
    api.Contracts.Futures.TXF['TXF202107'],
    quote_type = sj.constant.QuoteType.Tick, 
    version = sj.constant.QuoteVersion.v1
)

In: traditional way

def quote_callback(self, exchange:Exchange, tick:TickFOPv1):
    # append tick to context
    self[tick.code].append(tick)

# In order to use context, set bind=True
api.quote.set_on_tick_fop_v1_callback(quote_callback, bind=True)

Out

# after subscribe and wait for a few seconds ...
# print(msg_queue)
defaultdict(collections.deque, 
    {
        'TXFG1': [
            Tick(code='TXFG1', datetime=datetime.datetime(2021, 7, 5, 10, 0, 21, 220000), open=Decimal('17755'), underlying_price=Decimal('17851.88'), bid_side_total_vol=34824, ask_side_total_vol=36212, avg_price=Decimal('17837.053112'), close=Decimal('17833'), high=Decimal('17900'), low=Decimal('17742'), amount=Decimal('17833'), total_amount=Decimal('981323314'), volume=1, total_volume=55016, tick_type=1, chg_type=2, price_chg=Decimal('184'), pct_chg=Decimal('1.042552'), simtrade=0),
            Tick(code='TXFG1', datetime=datetime.datetime(2021, 7, 5, 10, 0, 21, 781000), open=Decimal('17755'), underlying_price=Decimal('17851.88'), bid_side_total_vol=34825, ask_side_total_vol=36213, avg_price=Decimal('17837.053056'), close=Decimal('17834'), high=Decimal('17900'), low=Decimal('17742'), amount=Decimal('17834'), total_amount=Decimal('981341148'), volume=1, total_volume=55017, tick_type=1, chg_type=2, price_chg=Decimal('185'), pct_chg=Decimal('1.048218'), simtrade=0)
        ]
    }
)

將報價推送至Redis Stream

在開始之前，請先安裝redis。

In

import redis
import json
from shioaji import TickFOPv1, Exchange

# redis setting
r = redis.Redis(host='localhost', port=6379, db=0, decode_responses=True)

# set up context
api.set_context(r)

# In order to use context, set bind=True
@api.on_tick_fop_v1(bind=True)
def quote_callback(self, exchange:Exchange, tick:TickFOPv1):
    # push them to redis stream
    channel = 'Q:' + tick.code # ='Q:TXFG1' in this example
    self.xadd(channel, {'tick':json.dumps(tick.to_dict(raw=True))})

Out

# after subscribe and wait for a few seconds ...
# r.xread({'Q:TXFG1':'0-0'})
[
    ['Q:TXFG1',
        [
            ('1625454940107-0',
                {'tick': 
                    '{"code": "TXFG1", "datetime": "2021-07-05T11:15:49.066000", "open": "17755", "underlying_price": "17904.03", "bid_side_total_vol": 49698, "ask_side_total_vol": 51490, "avg_price": "17851.312322", "close": "17889", "high": "17918", "low": "17742", "amount": "268335", "total_amount": "1399310819", "volume": 15, "total_volume": 78387, "tick_type": 2, "chg_type": 2, "price_chg": "240", "pct_chg": "1.35985", "simtrade": 0}'
                }
            ),
            ('1625454941854-0',
                {'tick': 
                    '{"code": "TXFG1", "datetime": "2021-07-05T11:15:50.815000", "open": "17755", "underlying_price": "17902.58", "bid_side_total_vol": 49702, "ask_side_total_vol": 51478, "avg_price": "17851.313258", "close": "17888", "high": "17918", "low": "17742", "amount": "35776", "total_amount": "1399346595", "volume": 2, "total_volume": 78389, "tick_type": 2, "chg_type": 2, "price_chg": "239", "pct_chg": "1.354184", "simtrade": 0}'
                }
            )
        ]
    ]
]


# parse redis stream
# [json.loads(x[-1]['tick']) for x in r.xread({'Q:TXFG1':'0-0'})[0][-1]]
[
    {
        'code': 'TXFG1',
        'datetime': '2021-07-05T11:15:49.066000',
        'open': '17755',
        'underlying_price': '17904.03',
        'bid_side_total_vol': 49698,
        'ask_side_total_vol': 51490,
        'avg_price': '17851.312322',
        'close': '17889',
        'high': '17918',
        'low': '17742',
        'amount': '268335',
        'total_amount': '1399310819',
        'volume': 15,
        'total_volume': 78387,
        'tick_type': 2,
        'chg_type': 2,
        'price_chg': '240',
        'pct_chg': '1.35985',
        'simtrade': 0
    },
    {
        'code': 'TXFG1',
        'datetime': '2021-07-05T11:15:50.815000',
        'open': '17755',
        'underlying_price': '17902.58',
        'bid_side_total_vol': 49702,
        'ask_side_total_vol': 51478,
        'avg_price': '17851.313258',
        'close': '17888',
        'high': '17918',
        'low': '17742',
        'amount': '35776',
        'total_amount': '1399346595',
        'volume': 2,
        'total_volume': 78389,
        'tick_type': 2,
        'chg_type': 2,
        'price_chg': '239',
        'pct_chg': '1.354184',
        'simtrade': 0
    },
]

觸價委託單

觸價委託單，在市場價格觸及委託單上所設定之價位時，委託單立刻轉為限價單或市價單。

以下僅為範例，請小心使用並自行承擔風險

Example: stop order

import time
from typing import Union

import shioaji as sj

class StopOrderExcecutor:
    def __init__(self, api: sj.Shioaji) -> None:
        self.api = api
        self._stop_orders = {}

    def on_quote(
        self, quote: Union[sj.BidAskFOPv1, sj.BidAskSTKv1, sj.TickFOPv1, sj.TickSTKv1]
    ) -> None:
        code = quote.code
        if code in self._stop_orders:
            for stop_order in self._stop_orders[code]:
                if stop_order['executed']:
                    continue
                if hasattr(quote, "ask_price"):
                    price = 0.5 * float(
                        quote.bid_price[0] + quote.ask_price[0]
                    )  # mid price
                else:
                    price = float(quote.close)  # Tick

                is_execute = False
                if stop_order["stop_price"] >= stop_order["ref_price"]:
                    if price >= stop_order["stop_price"]:
                        is_execute = True

                elif stop_order["stop_price"] < stop_order["ref_price"]:
                    if price <= stop_order["stop_price"]:
                        is_execute = True

                if is_execute:
                    self.api.place_order(stop_order["contract"], stop_order["pending_order"])
                    stop_order['executed'] = True
                    stop_order['ts_executed'] = time.time()
                    print(f"execute stop order: {stop_order}")
                else:
                    self._stop_orders[code]

    def add_stop_order(
        self,
        contract: sj.contracts.Contract,
        stop_price: float,
        order: sj.order.Order,
    ) -> None:
        code = contract.code
        snap = self.api.snapshots([contract])[0]
        # use mid price as current price to avoid illiquidity
        ref_price = 0.5 * (snap.buy_price + snap.sell_price)
        stop_order = {
            "code": contract.code,
            "stop_price": stop_price,
            "ref_price": ref_price,
            "contract": contract,
            "pending_order": order,
            "ts_create": time.time(),
            "executed": False,
            "ts_executed": 0.0
        }

        if code not in self._stop_orders:
            self._stop_orders[code] = []
        self._stop_orders[code].append(stop_order)
        print(f"add stop order: {stop_order}")

    def get_stop_orders(self) -> dict:
        return self._stop_orders

    def cancel_stop_order_by_code(self, code: str) -> None:
        if code in self._stop_orders:
            _ = self._stop_orders.pop(code)

    def cancel_stop_order(self, stop_order: dict) -> None:
        code = stop_order["code"]
        if code in self._stop_orders:
            self._stop_orders[code].remove(stop_order)
            if len(self._stop_orders[code]) == 0:
                self._stop_orders.pop(code)

    def cancel_all_stop_orders(self) -> None:
        self._stop_orders.clear()

• 使用snapshots的中價作為參考價格，以區分觸價委託單的方向。

基本上，委託單會在您的電腦上待命，只有在商品價格觸擊所設定價格時，觸價委託單才會被送出，以下範例顯示如何提交限價觸價委託單(Stop-Limit Order)。

Set up a stop order

# shioaji order
contract = api.Contracts.Futures.TXF['TXF202301']
order = api.Order(
    action='Buy',
    price=14800,
    quantity=1,
    price_type='LMT',
    order_type='ROD', 
    octype=sj.constant.FuturesOCType.Auto,
    account=api.futopt_account
)

# Stop Order Excecutor
soe = StopOrderExcecutor(api)
soe.add_stop_order(contract=contract, stop_price=14805, order=order)

Out

add stop order: {
    'code': 'TXFA3', 
    'stop_price': 14805, 
    'ref_price': 14790,
    'contract': Future(
        code='TXFA3', 
        symbol='TXF202301', 
        name='臺股期貨01', 
        category='TXF', 
        delivery_month='202301', 
        delivery_date='2023/01/30', 
        underlying_kind='I', 
        unit=1, 
        limit_up=16241.0, 
        limit_down=13289.0, 
        reference=14765.0, 
        update_date='2023/01/10'
    ), 
    'pending_order': Order(
        action=<Action.Buy: 'Buy'>, 
        price=14800, 
        quantity=1, 
        account=FutureAccount(person_id='A123456789', broker_id='F002000', account_id='1234567', signed=True, username='PAIUSER'),
        price_type=<StockPriceType.LMT: 'LMT'>, 
        order_type=<OrderType.ROD: 'ROD'>
    ), 
    'ts_create': 1673329115.1056178, 
    'executed': False, 
    'ts_executed': 0.0
}

• 市價觸價委託單(Stop-Market Order): price_type = 'MKT'

最後，我們將StopOrderExcecutor綁訂在報價上。請注意，您必須訂略商品報價，觸價委託單才會執行。

Set up context and callback function

from shioaji import TickFOPv1, Exchange

# set up context
api.set_context(soe)

# In order to use context, set bind=True
@api.on_tick_fop_v1(bind=True)
def quote_callback(self, exchange:Exchange, tick:TickFOPv1):
    # pass tick object to Stop Order Excecutor
    self.on_quote(tick)

# subscribe
api.quote.subscribe(
    contract,
    quote_type = sj.constant.QuoteType.Tick, 
    version = sj.constant.QuoteVersion.v1
)

Out: Once close/mid price hit stop price

execute stop order: {
    'code': 'TXFA3', 
    'stop_price': 14805, 
    'ref_price': 14790, 
    'contract': Future(
        code='TXFA3', 
        symbol='TXF202301', 
        name='臺股期貨01', 
        category='TXF', 
        delivery_month='202301', 
        delivery_date='2023/01/30', 
        underlying_kind='I', 
        unit=1, 
        limit_up=16241.0, 
        limit_down=13289.0, 
        reference=14765.0, 
        update_date='2023/01/10'
    ), 
    'pending_order': Order(
        action=<Action.Buy: 'Buy'>, 
        price=14800, 
        quantity=1, 
        account=FutureAccount(person_id='A123456789', broker_id='F002000', account_id='1234567', signed=True, username='PAIUSER'),
        price_type=<StockPriceType.LMT: 'LMT'>, 
        order_type=<OrderType.ROD: 'ROD'>
    ), 
    'ts_create': 1673329115.1056178, 
    'executed': True, 
    'ts_executed': 1673329161.3224185
}