blotter.py 文件源码

 复制代码def process_transactions(self, trade_event, current_orders):
        for order, txn in self.transact(trade_event, current_orders):
            if txn.type == zp.DATASOURCE_TYPE.COMMISSION:
                order.commission = (order.commission or 0.0) + txn.cost
            else:
                if txn.amount == 0:
                    raise zipline.errors.TransactionWithNoAmount(txn=txn)
                if math.copysign(1, txn.amount) != order.direction:
                    raise zipline.errors.TransactionWithWrongDirection(
                        txn=txn, order=order)
                if abs(txn.amount) > abs(self.orders[txn.order_id].amount):
                    raise zipline.errors.TransactionVolumeExceedsOrder(
                        txn=txn, order=order)

                order.filled += txn.amount
                if txn.commission is not None:
                    order.commission = ((order.commission or 0.0) +
                                        txn.commission)

            # mark the date of the order to match the transaction
            # that is filling it.
            order.dt = txn.dt

            yield txn, order