vnpy/vn.trader/ibGateway/ibGateway.py

# encoding: UTF-8

'''
Interactive Brokers的gateway接入，已经替换为vn.ib封装。

注意事项：
1. ib api只能获取和操作当前连接后下的单，并且每次重启程序后，之前下的单子收不到
2. ib api的成交也只会推送当前连接后的成交
3. ib api的持仓和账户更新可以订阅成主推模式，因此qryAccount和qryPosition就用不到了
4. 目前只支持股票和期货交易，ib api里期权合约的确定是基于Contract对象的多个字段，比较复杂暂时没做
5. 海外市场的交易规则和国内有很多细节上的不同，所以一些字段类型的映射可能不合理，如果发现问题欢迎指出
'''

import os
import json
import calendar
from datetime import datetime, timedelta
from copy import copy

from PyQt4 import QtGui, QtCore

from vnib import *
from vtGateway import *


# 以下为一些VT类型和CTP类型的映射字典
# 价格类型映射
priceTypeMap = {}
priceTypeMap[PRICETYPE_LIMITPRICE] = 'LMT'
priceTypeMap[PRICETYPE_MARKETPRICE] = 'MKT'
priceTypeMapReverse = {v: k for k, v in priceTypeMap.items()} 

# 方向类型映射
directionMap = {}
directionMap[DIRECTION_LONG] = 'BUY'
#directionMap[DIRECTION_SHORT] = 'SSHORT'   # SSHORT在IB系统中代表对股票的融券做空（而不是国内常见的卖出）
directionMap[DIRECTION_SHORT] = 'SELL'      # 出于和国内的统一性考虑，这里选择把IB里的SELL印射为vt的SHORT

directionMapReverse = {v: k for k, v in directionMap.items()}
directionMapReverse['BOT'] = DIRECTION_LONG
directionMapReverse['SLD'] = DIRECTION_SHORT

# 交易所类型映射
exchangeMap = {}
exchangeMap[EXCHANGE_SMART] = 'SMART'
exchangeMap[EXCHANGE_NYMEX] = 'NYMEX'
exchangeMap[EXCHANGE_GLOBEX] = 'GLOBEX'
exchangeMap[EXCHANGE_IDEALPRO] = 'IDEALPRO'
exchangeMapReverse = {v:k for k,v in exchangeMap.items()}

# 报单状态映射
orderStatusMap = {}
orderStatusMap[STATUS_NOTTRADED] = 'Submitted'
orderStatusMap[STATUS_ALLTRADED] = 'Filled'
orderStatusMap[STATUS_CANCELLED] = 'Cancelled'
orderStatusMapReverse = {v:k for k,v in orderStatusMap.items()}
orderStatusMapReverse['PendingSubmit'] = STATUS_UNKNOWN     # 这里未来视乎需求可以拓展vt订单的状态类型
orderStatusMapReverse['PendingCancel'] = STATUS_UNKNOWN
orderStatusMapReverse['PreSubmitted'] = STATUS_UNKNOWN
orderStatusMapReverse['Inactive'] = STATUS_UNKNOWN

# 合约类型映射
productClassMap = {}
productClassMap[PRODUCT_EQUITY] = 'STK'
productClassMap[PRODUCT_FUTURES] = 'FUT'
productClassMap[PRODUCT_OPTION] = 'OPT'
productClassMap[PRODUCT_FOREX] = 'CASH'
productClassMapReverse = {v:k for k,v in productClassMap.items()}

# 期权类型映射
optionTypeMap = {}
optionTypeMap[OPTION_CALL] = 'CALL'
optionTypeMap[OPTION_PUT] = 'PUT'
optionTypeMap = {v:k for k,v in optionTypeMap.items()}

# 货币类型映射
currencyMap = {}
currencyMap[CURRENCY_USD] = 'USD'
currencyMap[CURRENCY_CNY] = 'CNY'
currencyMap = {v:k for k,v in currencyMap.items()}

# Tick数据的Field和名称映射
tickFieldMap = {}
tickFieldMap[0] = 'bidVolume1'
tickFieldMap[1] = 'bidPrice1'
tickFieldMap[2] = 'askPrice1'
tickFieldMap[3] = 'askVolume1'
tickFieldMap[4] = 'lastPrice'
tickFieldMap[5] = 'lastVolume'
tickFieldMap[6] = 'highPrice'
tickFieldMap[7] = 'lowPrice'
tickFieldMap[8] = 'volume'
tickFieldMap[9] = 'preClosePrice'
tickFieldMap[14] = 'openPrice'
tickFieldMap[22] = 'openInterest'

# Account数据Key和名称的映射
accountKeyMap = {}
accountKeyMap['NetLiquidationByCurrency'] = 'balance'
accountKeyMap['NetLiquidation'] = 'balance'
accountKeyMap['UnrealizedPnL'] = 'positionProfit'
accountKeyMap['AvailableFunds'] = 'available'
accountKeyMap['MaintMarginReq'] = 'margin'


########################################################################
class IbGateway(VtGateway):
    """IB接口"""

    #----------------------------------------------------------------------
    def __init__(self, eventEngine, gatewayName='IB'):
        """Constructor"""
        super(IbGateway, self).__init__(eventEngine, gatewayName)
        
        self.host = EMPTY_STRING        # 连接地址
        self.port = EMPTY_INT           # 连接端口
        self.clientId = EMPTY_INT       # 用户编号
        self.accountCode = EMPTY_STRING # 账户编号
        
        self.tickerId = 0               # 订阅行情时的代码编号    
        self.tickDict = {}              # tick快照字典，key为tickerId，value为VtTickData对象
        self.tickProductDict = {}       # tick对应的产品类型字典，key为tickerId，value为产品类型
        
        self.orderId  = 0               # 订单编号
        self.orderDict = {}             # 报单字典，key为orderId，value为VtOrderData对象
        
        self.accountDict = {}           # 账户字典
        
        self.contractDict = {}          # 合约字典
        
        self.subscribeReqDict = {}      # 用来保存订阅请求的字典 
        
        self.connected = False          # 连接状态
        
        self.api = IbWrapper(self)      # API接口

    #----------------------------------------------------------------------
    def connect(self):
        """连接"""
        # 载入json文件
        fileName = self.gatewayName + '_connect.json'
        path = os.path.abspath(os.path.dirname(__file__))
        fileName = os.path.join(path, fileName)
        
        try:
            f = file(fileName)
        except IOError:
            log = VtLogData()
            log.gatewayName = self.gatewayName
            log.logContent = u'读取连接配置出错，请检查'
            self.onLog(log)
            return
        
        # 解析json文件
        setting = json.load(f)
        try:
            self.host = str(setting['host'])
            self.port = int(setting['port'])
            self.clientId = int(setting['clientId'])
            self.accountCode = str(setting['accountCode'])
        except KeyError:
            log = VtLogData()
            log.gatewayName = self.gatewayName
            log.logContent = u'连接配置缺少字段，请检查'
            self.onLog(log)
            return            
        
        # 发起连接
        self.api.eConnect(self.host, self.port, self.clientId, False)
        
        # 查询服务器时间
        self.api.reqCurrentTime()
        
        # 请求账户数据主推更新
        self.api.reqAccountUpdates(True, self.accountCode)
    
    #----------------------------------------------------------------------
    def subscribe(self, subscribeReq):
        """订阅行情"""
        # 如果尚未连接行情，则将订阅请求缓存下来后直接返回
        if not self.connected:
            self.subscribeReqDict[subscribeReq.symbol] = subscribeReq
            return
        
        contract = Contract()
        contract.localSymbol = str(subscribeReq.symbol)
        contract.exchange = exchangeMap.get(subscribeReq.exchange, '')
        contract.secType = productClassMap.get(subscribeReq.productClass, '')
        contract.currency = currencyMap.get(subscribeReq.currency, '')
        contract.expiry = subscribeReq.expiry
        contract.strike = subscribeReq.strikePrice
        contract.right = optionTypeMap.get(subscribeReq.optionType, '')

        # 获取合约详细信息
        self.tickerId += 1
        self.api.reqContractDetails(self.tickerId, contract)        
        
        # 创建合约对象并保存到字典中
        ct = VtContractData()
        ct.gatewayName = self.gatewayName
        ct.symbol = str(subscribeReq.symbol)
        ct.exchange = subscribeReq.exchange
        ct.vtSymbol = '.'.join([ct.symbol, ct.exchange])
        ct.productClass = subscribeReq.productClass
        self.contractDict[ct.vtSymbol] = ct
        
        # 订阅行情
        self.tickerId += 1   
        self.api.reqMktData(self.tickerId, contract, '', False, TagValueList())
        
        # 创建Tick对象并保存到字典中
        tick = VtTickData()
        tick.symbol = subscribeReq.symbol
        tick.exchange = subscribeReq.exchange
        tick.vtSymbol = '.'.join([tick.symbol, tick.exchange])
        tick.gatewayName = self.gatewayName
        self.tickDict[self.tickerId] = tick   
        self.tickProductDict[self.tickerId] = subscribeReq.productClass

    #----------------------------------------------------------------------
    def sendOrder(self, orderReq):
        """发单"""
        # 增加报单号1，最后再次进行查询
        # 这里双重设计的目的是为了防止某些情况下，连续发单时，nextOrderId的回调推送速度慢导致没有更新
        self.orderId += 1
        
        # 创建合约对象
        contract = Contract()
        contract.localSymbol = str(orderReq.symbol)
        contract.exchange = exchangeMap.get(orderReq.exchange, '')
        contract.secType = productClassMap.get(orderReq.productClass, '')
        contract.currency = currencyMap.get(orderReq.currency, '')
        contract.expiry = orderReq.expiry
        contract.strike = orderReq.strikePrice
        contract.right = optionTypeMap.get(orderReq.optionType, '')
        
        # 创建委托对象
        order = Order()
        order.orderId = self.orderId
        order.clientId = self.clientId
        order.action = directionMap.get(orderReq.direction, '')
        order.lmtPrice = orderReq.price
        order.totalQuantity = orderReq.volume
        order.orderType = priceTypeMap.get(orderReq.priceType, '')
        
        # 发送委托
        self.api.placeOrder(self.orderId, contract, order)
        
        # 查询下一个有效编号
        self.api.reqIds(1)
        
        # 返回委托编号
        vtOrderID = '.'.join([self.gatewayName, str(self.orderId)])
        return vtOrderID
    
    #----------------------------------------------------------------------
    def cancelOrder(self, cancelOrderReq):
        """撤单"""
        self.api.cancelOrder(int(cancelOrderReq.orderID))
    
    #----------------------------------------------------------------------
    def qryAccount(self):
        """查询账户资金"""
        log = VtLogData()
        log.gatewayName = self.gatewayName        
        log.logContent = u'IB接口账户信息提供主推更新，无需查询'
        self.onLog(log) 
    
    #----------------------------------------------------------------------
    def qryPosition(self):
        """查询持仓"""
        log = VtLogData()
        log.gatewayName = self.gatewayName        
        log.logContent = u'IB接口持仓信息提供主推更新，无需查询'
        self.onLog(log) 
    
    #----------------------------------------------------------------------
    def close(self):
        """关闭"""
        self.api.eDisconnect()


########################################################################
class IbWrapper(IbApi):
    """IB回调接口的实现"""

    #----------------------------------------------------------------------
    def __init__(self, gateway):
        """Constructor"""
        super(IbWrapper, self).__init__()
        
        self.apiStatus = False               # 连接状态
        
        self.gateway = gateway                      # gateway对象
        self.gatewayName = gateway.gatewayName      # gateway对象名称
        
        self.tickDict = gateway.tickDict            # tick快照字典，key为tickerId，value为VtTickData对象
        self.orderDict = gateway.orderDict          # order字典
        self.accountDict = gateway.accountDict      # account字典
        self.contractDict = gateway.contractDict    # contract字典
        self.tickProductDict = gateway.tickProductDict
        self.subscribeReqDict = gateway.subscribeReqDict

    #----------------------------------------------------------------------
    def nextValidId(self, orderId):
        """"""
        self.gateway.orderId = orderId
        
    #----------------------------------------------------------------------
    def currentTime(self, time):
        """连接成功后推送当前时间"""
        dt = datetime.fromtimestamp(time)
        t = dt.strftime("%Y-%m-%d %H:%M:%S.%f")

        self.apiStatus = True
        self.gateway.connected = True
        
        log = VtLogData()
        log.gatewayName = self.gatewayName
        log.logContent = (u'IB接口连接成功，当前服务器时间 %s' %t)
        self.gateway.onLog(log) 
        
        for symbol, req in self.subscribeReqDict.items():
            del self.subscribeReqDict[symbol]
            self.gateway.subscribe(req)        
        
    #----------------------------------------------------------------------
    def connectAck(self):
        """"""
        pass
        
    #----------------------------------------------------------------------
    def error(self, id_, errorCode, errorString):
        """错误推送"""
        err = VtErrorData()
        err.gatewayName = self.gatewayName
        err.errorID = errorCode
        err.errorMsg = errorString
        self.gateway.onError(err)
        
    #----------------------------------------------------------------------
    def accountSummary(self, reqId, account, tag, value, curency):
        """"""
        pass
        
    #----------------------------------------------------------------------
    def accountSummaryEnd(self, reqId):
        """"""
        pass
         
    #----------------------------------------------------------------------
    def tickPrice(self, tickerId, field, price, canAutoExecute):
        """行情价格相关推送"""
        if field in tickFieldMap:
            tick = self.tickDict[tickerId]
            key = tickFieldMap[field]
            tick.__setattr__(key, price)
            
            if self.tickProductDict[tickerId] == PRODUCT_FOREX:
                tick.lastPrice = (tick.bidPrice1 + tick.askPrice1) / 2
            
            dt = datetime.now()
            tick.time = dt.strftime('%H:%M:%S.%f')
            tick.date = dt.strftime('%Y%m%d')
            
            # 行情数据更新
            newtick = copy(tick)
            self.gateway.onTick(newtick)
        else:
            print field
        
    #----------------------------------------------------------------------
    def tickSize(self, tickerId, field, size):
        """行情数量相关推送"""
        if field in tickFieldMap:
            tick = self.tickDict[tickerId]
            key = tickFieldMap[field]
            tick.__setattr__(key, size)
            
            dt = datetime.now()
            tick.time = dt.strftime('%H:%M:%S.%f')
            tick.date = dt.strftime('%Y%m%d')
                
            # 行情数据更新
            newtick = copy(tick)
            self.gateway.onTick(newtick)      
        else:
            print field
        
    #----------------------------------------------------------------------
    def tickOptionComputation(self, tickerId, tickType, impliedVol, delta, optPrice, pvDividend, gamma, vega, theta, undPrice):
        """"""
        pass

    #----------------------------------------------------------------------
    def tickGeneric(self, tickerId, tickType, value):
        """"""
        pass
        
    #----------------------------------------------------------------------
    def tickString(self, tickerId, tickType, value):
        """"""
        pass
        
    #----------------------------------------------------------------------
    def tickEFP(self, tickerId, tickType, basisPoints, formattedBasisPoints, totalDividends, holdDays, futureLastTradeDate, dividendImpact, dividendsToLastTradeDate):
        """"""
        pass
        
    #----------------------------------------------------------------------
    def orderStatus(self, orderId, status, filled, remaining, avgFillPrice, permId, parentId, lastFillPrice, clientId, whyHeld):
        """委托状态更新"""
        orderId = str(orderId)
        
        if orderId in self.orderDict:
            od = self.orderDict[orderId]
        else:
            od = VtOrderData()  # od代表orderData
            od.orderID = orderId
            od.vtOrderID = '.'.join([self.gatewayName, orderId])
            od.gatewayName = self.gatewayName
            self.orderDict[orderId] = od
        
        od.status = orderStatusMapReverse.get(status, STATUS_UNKNOWN)
        od.tradedVolume = filled
        
        newod = copy(od)
        self.gateway.onOrder(newod)
        
    #----------------------------------------------------------------------
    def openOrder(self, orderId, contract, order, orderState):
        """下达委托推送"""
        orderId = str(orderId)  # orderId是整数
        
        if orderId in self.orderDict:
            od = self.orderDict[orderId]
        else:
            od = VtOrderData()  # od代表orderData
            od.orderID = orderId
            od.vtOrderID = '.'.join([self.gatewayName, orderId])
            od.symbol = contract.localSymbol
            od.exchange = exchangeMapReverse.get(contract.exchange, '')
            od.vtSymbol = '.'.join([od.symbol, od.exchange])  
            od.gatewayName = self.gatewayName
            self.orderDict[orderId] = od
        
        od.direction = directionMapReverse.get(order.action, '')
        od.price = order.lmtPrice
        od.totalVolume = order.totalQuantity
        
        newod = copy(od)
        self.gateway.onOrder(newod)
        
    #----------------------------------------------------------------------
    def openOrderEnd(self):
        """"""
        pass
          
    #----------------------------------------------------------------------
    def winError(self, str_, lastError):
        """"""
        pass
 
    #----------------------------------------------------------------------
    def connectionClosed(self):
        """断线"""
        self.apiStatus = False
        self.gateway.connected = False
    
        log = VtLogData()
        log.gatewayName = self.gatewayName
        log.logContent = (u'IB接口连接断开')
        self.gateway.onLog(log) 
        
    #----------------------------------------------------------------------
    def updateAccountValue(self, key, val, currency, accountName):
        """更新账户数据"""
        # 仅逐个字段更新数据，这里对于没有currency的推送忽略
        if currency:
            name = '.'.join([accountName, currency])
            
            if name in self.accountDict:
                account = self.accountDict[name]
            else:
                account = VtAccountData()
                account.accountID = name
                account.vtAccountID = name
                account.gatewayName = self.gatewayName
                self.accountDict[name] = account
            
            if key in accountKeyMap:
                k = accountKeyMap[key]
                account.__setattr__(k, float(val))
        
    #----------------------------------------------------------------------
    def updatePortfolio(self, contract, position, marketPrice, marketValue, averageCost, unrealizedPNL, realizedPNL, accountName):
        """持仓更新"""
        pos = VtPositionData()
    
        pos.symbol = contract.localSymbol
        pos.exchange = exchangeMapReverse.get(contract.exchange, contract.exchange)
        pos.vtSymbol = '.'.join([pos.symbol, pos.exchange])
        pos.direction = DIRECTION_NET
        pos.position = position
        pos.price = averageCost
        pos.vtPositionName = pos.vtSymbol
        pos.gatewayName = self.gatewayName
    
        self.gateway.onPosition(pos)
        
    #----------------------------------------------------------------------
    def updateAccountTime(self, timeStamp):
        """更新账户时间"""
        # 推送数据
        for account in self.accountDict.values():
            newaccount = copy(account)
            self.gateway.onAccount(newaccount)
        
    #----------------------------------------------------------------------
    def accountDownloadEnd(self, accountName):
        """"""
        pass
         
    #----------------------------------------------------------------------
    def contractDetails(self, reqId, contractDetails):
        """合约查询回报"""
        symbol = contractDetails.summary.localSymbol
        exchange = exchangeMapReverse.get(contractDetails.summary.exchange, EXCHANGE_UNKNOWN)
        vtSymbol = '.'.join([symbol, exchange])
        ct = self.contractDict.get(vtSymbol, None)
        
        if not ct:
            return
        
        ct.name = contractDetails.longName.decode('UTF-8')
        ct.priceTick = contractDetails.minTick        

        # 推送
        self.gateway.onContract(ct)
        
    #----------------------------------------------------------------------
    def bondContractDetails(self, reqId, contractDetails):
        """"""
        pass
        
    #----------------------------------------------------------------------
    def contractDetailsEnd(self, reqId):
        """"""
        pass

    #----------------------------------------------------------------------
    def execDetails(self, reqId, contract, execution):
        """成交推送"""
        trade = VtTradeData()
        trade.gatewayName = self.gatewayName     
        trade.tradeID = execution.execId
        trade.vtTradeID = '.'.join([self.gatewayName, trade.tradeID])
    
        trade.symbol = contract.localSymbol
        trade.exchange = exchangeMapReverse.get(contract.exchange, '')
        trade.vtSymbol = '.'.join([trade.symbol, trade.exchange])  
    
        trade.orderID = str(execution.orderId)
        trade.vtOrderID = '.'.join([self.gatewayName, trade.orderId])
        trade.direction = directionMapReverse.get(execution.side, '')
        trade.price = execution.price
        trade.volume = execution.shares
        trade.tradeTime = execution.time  
    
        self.gateway.onTrade(trade)
        
    #----------------------------------------------------------------------
    def execDetailsEnd(self, reqId):
        """"""
        pass

    #----------------------------------------------------------------------
    def updateMktDepth(self, id_, position, operation, side, price, size):
        """"""
        pass

    #----------------------------------------------------------------------
    def updateMktDepthL2(self, id_, position, marketMaker, operation, side, price, size):
        """"""
        pass

    #----------------------------------------------------------------------
    def updateNewsBulletin(self, msgId, msgType, newsMessage, originExch):
        """"""
        pass

    #----------------------------------------------------------------------
    def managedAccounts(self, accountsList):
        """"""
        pass
        
    #----------------------------------------------------------------------
    def receiveFA(self, pFaDataType, cxml):
        """"""
        pass
        
    #----------------------------------------------------------------------
    def historicalData(self, reqId, date, open_, high, low, close, volume, barCount, WAP, hasGaps):
        """"""
        pass
        
    #----------------------------------------------------------------------
    def scannerParameters(self, xml):
        """"""
        pass
          
    #----------------------------------------------------------------------
    def scannerData(self, reqId, rank, contractDetails, distance, benchmark, projection, legsStr):
        """"""
        pass
        
    #----------------------------------------------------------------------
    def scannerDataEnd(self, reqId):
        """"""
        pass

    #----------------------------------------------------------------------
    def realtimeBar(self, reqId, time, open_, high, low, close, volume, wap, count):
        """"""
        pass
        
    #----------------------------------------------------------------------
    def fundamentalData(self, reqId, data):
        """"""
        pass
         
    #----------------------------------------------------------------------
    def deltaNeutralValidation(self, reqId, underComp):
        """"""
        pass
        
    #----------------------------------------------------------------------
    def tickSnapshotEnd(self, reqId):
        """"""
        pass

    #----------------------------------------------------------------------
    def marketDataType(self, reqId, marketDataType):
        """"""
        pass
         
    #----------------------------------------------------------------------
    def commissionReport(self, commissionReport):
        """"""
        pass
          
    #----------------------------------------------------------------------
    def position(self, account, contract, position, avgCost):
        """"""
        pass
        
    #----------------------------------------------------------------------
    def positionEnd(self):
        """"""
        pass 
        
    #----------------------------------------------------------------------
    def verifyMessageAPI(self, apiData):
        """"""
        pass
        
    #----------------------------------------------------------------------
    def verifyCompleted(self, isSuccessful, errorText):
        """"""
        pass

    #----------------------------------------------------------------------
    def displayGroupList(self, reqId, groups):
        """"""
        pass
         
    #----------------------------------------------------------------------
    def displayGroupUpdated(self, reqId, contractInfo):
        """"""
        pass   
        
    #----------------------------------------------------------------------
    def verifyAndAuthMessageAPI(self, apiData, xyzChallange):
        """"""
        pass

    #----------------------------------------------------------------------
    def verifyAndAuthCompleted(self, isSuccessful, errorText):
        """"""
        pass
         
    #----------------------------------------------------------------------
    def positionMulti(self, reqId, account, modelCode, contract, pos, avgCost):
        """"""
        pass
         
    #----------------------------------------------------------------------
    def positionMultiEnd(self, reqId):	
        """"""
        pass
          
    #----------------------------------------------------------------------
    def accountUpdateMulti(self, reqId, account, modelCode, key, value, currency):
        """"""
        pass

    #----------------------------------------------------------------------
    def accountUpdateMultiEnd(self, reqId):	
        """"""
        pass

    #----------------------------------------------------------------------
    def securityDefinitionOptionalParameter(self, reqId, exchange, underlyingConId, tradingClass, multiplier, expirations, strikes):
        """"""
        pass

    #----------------------------------------------------------------------
    def securityDefinitionOptionalParameterEnd(self, reqId):
        """"""
        pass
    
    #----------------------------------------------------------------------
    def softDollarTiers(self, reqId, tiers):
        """"""
        pass