gateway.py 文件源码

 复制代码def save_order_list(self, tday):
        orders = self.id2order.keys()
        if len(self.id2order) > 1:
            orders.sort()
        order_list = [self.id2order[key] for key in orders]
        filename = self.file_prefix + 'order_' + tday.strftime('%y%m%d') + '.csv'
        with open(filename, 'wb') as log_file:
            file_writer = csv.writer(log_file, delimiter=',', quotechar='|', quoting=csv.QUOTE_MINIMAL);
            file_writer.writerow(
                ['order_ref', 'local_id', 'sysID', 'inst', 'volume',
                 'filledvolume', 'filledprice', 'filledorders',
                 'action_type', 'direction', 'price_type',
                 'limitprice', 'order_time', 'status', 'order_class', 'trade_ref'])
            for iorder in order_list:
                forders = [ str(key) + ':' + '_'.join([str(s) for s in iorder.filled_orders[key]]) for key in iorder.filled_orders if len(str(key))>0 ]
                filled_str = '|'.join(forders)
                file_writer.writerow(
                    [iorder.order_ref, iorder.local_id, iorder.sys_id, iorder.instrument, iorder.volume,
                     iorder.filled_volume, iorder.filled_price, filled_str,
                     iorder.action_type, iorder.direction, iorder.price_type,
                     iorder.limit_price, iorder.start_tick, iorder.status, iorder.type, iorder.trade_ref])