456 lines
16 KiB
Python
456 lines
16 KiB
Python
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# encoding: UTF-8
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'''
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vn.oanda的gateway接入
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由于OANDA采用的是外汇做市商的交易模式，因此和国内接口方面有若干区别，具体如下：
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* 行情数据反映的是OANDA的报价变化，因此只有买卖价，而没有成交价
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* OANDA的持仓管理分为单笔成交持仓（Trade数据，国内没有）
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和单一资产汇总持仓（Position数据）
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* OANDA系统中的所有时间都采用UTC时间（世界协调时，中国是UTC+8）
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* 由于采用的是外汇做市商的模式，用户的限价委托当价格被触及时就会立即全部成交，
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不会出现部分成交的情况，因此委托状态只有已报、成交、撤销三种
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* 外汇市场采用24小时交易，因此OANDA的委托不像国内收盘后自动失效，需要用户指定
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失效时间，本接口中默认设置为24个小时候失效
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'''
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import os
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import json
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import datetime
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from vnoanda import OandaApi
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from vtGateway import *
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# 价格类型映射
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priceTypeMap = {}
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priceTypeMap[PRICETYPE_LIMITPRICE] = 'limit'
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priceTypeMap[PRICETYPE_MARKETPRICE] = 'market'
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priceTypeMapReverse = {v: k for k, v in priceTypeMap.items()}
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# 方向类型映射
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directionMap = {}
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directionMap[DIRECTION_LONG] = 'buy'
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directionMap[DIRECTION_SHORT] = 'sell'
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directionMapReverse = {v: k for k, v in directionMap.items()}
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########################################################################
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class OandaGateway(VtGateway):
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"""OANDA接口"""
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#----------------------------------------------------------------------
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def __init__(self, eventEngine, gatewayName='OANDA'):
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"""Constructor"""
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super(OandaGateway, self).__init__(eventEngine, gatewayName)
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self.api = Api(self)
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self.qryEnabled = False # 是否要启动循环查询
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#----------------------------------------------------------------------
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def connect(self):
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"""连接"""
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# 载入json文件
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fileName = self.gatewayName + '_connect.json'
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fileName = os.getcwd() + '\\oandaGateway\\' + fileName
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try:
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f = file(fileName)
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except IOError:
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log = VtLogData()
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log.gatewayName = self.gatewayName
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log.logContent = u'读取连接配置出错，请检查'
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self.onLog(log)
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return
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# 解析json文件
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setting = json.load(f)
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try:
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token = str(setting['token'])
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accountId = str(setting['accountId'])
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settingName = str(setting['settingName'])
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except KeyError:
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log = VtLogData()
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log.gatewayName = self.gatewayName
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log.logContent = u'连接配置缺少字段，请检查'
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self.onLog(log)
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return
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# 初始化接口
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self.api.init(settingName, token, accountId)
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log = VtLogData()
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log.gatewayName = self.gatewayName
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log.logContent = u'接口初始化成功'
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self.onLog(log)
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# 查询信息
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self.api.qryInstruments()
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self.api.qryOrders()
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self.api.qryTrades()
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# 初始化并启动查询
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self.initQuery()
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#----------------------------------------------------------------------
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def subscribe(self, subscribeReq):
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"""订阅行情"""
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pass
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#----------------------------------------------------------------------
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def sendOrder(self, orderReq):
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"""发单"""
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return self.api.sendOrder_(orderReq)
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#----------------------------------------------------------------------
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def cancelOrder(self, cancelOrderReq):
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"""撤单"""
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self.api.cancelOrder_(cancelOrderReq)
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#----------------------------------------------------------------------
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def qryAccount(self):
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"""查询账户资金"""
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self.api.getAccountInfo()
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#----------------------------------------------------------------------
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def qryPosition(self):
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"""查询持仓"""
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self.api.getPositions()
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#----------------------------------------------------------------------
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def close(self):
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"""关闭"""
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self.api.exit()
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#----------------------------------------------------------------------
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def initQuery(self):
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"""初始化连续查询"""
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if self.qryEnabled:
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# 需要循环的查询函数列表
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self.qryFunctionList = [self.qryAccount, self.qryPosition]
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self.qryCount = 0 # 查询触发倒计时
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self.qryTrigger = 2 # 查询触发点
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self.qryNextFunction = 0 # 上次运行的查询函数索引
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self.startQuery()
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#----------------------------------------------------------------------
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def query(self, event):
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"""注册到事件处理引擎上的查询函数"""
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self.qryCount += 1
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if self.qryCount > self.qryTrigger:
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# 清空倒计时
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self.qryCount = 0
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# 执行查询函数
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function = self.qryFunctionList[self.qryNextFunction]
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function()
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# 计算下次查询函数的索引，如果超过了列表长度，则重新设为0
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self.qryNextFunction += 1
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if self.qryNextFunction == len(self.qryFunctionList):
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self.qryNextFunction = 0
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#----------------------------------------------------------------------
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def startQuery(self):
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"""启动连续查询"""
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self.eventEngine.register(EVENT_TIMER, self.query)
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#----------------------------------------------------------------------
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def setQryEnabled(self, qryEnabled):
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"""设置是否要启动循环查询"""
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self.qryEnabled = qryEnabled
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########################################################################
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class Api(OandaApi):
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"""OANDA的API实现"""
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#----------------------------------------------------------------------
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def __init__(self, gateway):
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"""Constructor"""
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super(Api, self).__init__()
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self.gateway = gateway # gateway对象
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self.gatewayName = gateway.gatewayName # gateway对象名称
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self.orderDict = {} # 缓存委托数据
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#----------------------------------------------------------------------
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def onError(self, error, reqID):
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"""错误信息回调"""
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err = VtErrorData()
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err.gatewayName = self.gatewayName
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err.errorMsg = error
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self.gateway.onError(err)
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#----------------------------------------------------------------------
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def onGetInstruments(self, data, reqID):
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"""回调函数"""
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if not 'instruments' in data:
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return
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l = data['instruments']
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for d in l:
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contract = VtContractData()
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contract.gatewayName = self.gatewayName
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contract.symbol = d['instrument']
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contract.name = d['displayName']
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contract.exchange = EXCHANGE_OANDA
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contract.vtSymbol = '.'.join([contract.symbol, contract.exchange])
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contract.priceTick = float(d['pip'])
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contract.size = 1
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contract.productClass = PRODUCT_FOREX
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self.gateway.onContract(contract)
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self.writeLog(u'交易合约信息查询完成')
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#----------------------------------------------------------------------
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def onGetAccountInfo(self, data, reqID):
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"""回调函数"""
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account = VtAccountData()
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account.gatewayName = self.gatewayName
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account.accountID = str(data['accountId'])
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account.vtAccountID = '.'.join([self.gatewayName, account.accountID])
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account.available = data['marginAvail']
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account.margin = data['marginUsed']
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account.closeProfit = data['realizedPl']
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account.positionProfit = data['unrealizedPl']
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account.balance = data['balance']
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self.gateway.onAccount(account)
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#----------------------------------------------------------------------
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def onGetOrders(self, data, reqID):
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"""回调函数"""
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if not 'orders' in data:
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return
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l = data['orders']
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for d in l:
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order = VtOrderData()
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order.gatewayName = self.gatewayName
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order.symbol = d['instrument']
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order.exchange = EXCHANGE_OANDA
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order.vtSymbol = '.'.join([order.symbol, order.exchange])
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order.orderID = str(d['id'])
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order.direction = directionMapReverse.get(d['side'], DIRECTION_UNKNOWN)
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order.offset = OFFSET_NONE
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order.status = STATUS_NOTTRADED # OANDA查询到的订单都是活动委托
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order.price = d['price']
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order.totalVolume = d['units']
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order.orderTime = getTime(d['time'])
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order.vtOrderID = '.'.join([self.gatewayName , order.orderID])
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self.gateway.onOrder(order)
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self.orderDict[order.orderID] = order
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self.writeLog(u'委托信息查询完成')
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#----------------------------------------------------------------------
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def onGetPositions(self, data, reqID):
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"""回调函数"""
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if not 'positions' in data:
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return
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l = data['positions']
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for d in l:
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pos = VtPositionData()
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pos.gatewayName = self.gatewayName
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pos.symbol = d['instrument']
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pos.exchange = EXCHANGE_OANDA
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pos.vtSymbol = '.'.join([pos.symbol, pos.exchange])
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pos.direction = directionMapReverse.get(d['side'], DIRECTION_UNKNOWN)
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pos.position = d['units']
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pos.price = d['avgPrice']
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pos.vtPositionName = '.'.join([pos.vtSymbol, pos.direction])
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self.gateway.onPosition(pos)
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#----------------------------------------------------------------------
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def onGetTransactions(self, data, reqID):
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"""回调函数"""
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if not 'transactions' in data:
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return
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l = data['transactions']
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for d in l:
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# 这里我们只关心委托成交
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if d['type'] == 'ORDER_FILLED':
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trade = VtTradeData()
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trade.gatewayName = self.gatewayName
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trade.symbol = d['instrument']
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trade.exchange = EXCHANGE_OANDA
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trade.vtSymbol = '.'.join([trade.symbol, trade.exchange])
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trade.tradeID = str(d['id'])
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trade.vtTradeID = '.'.join([self.gatewayName, trade.tradeID])
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trade.orderID = str(d['orderId'])
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trade.vtOrderID = '.'.join([self.gatewayName, trade.orderID])
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trade.direction = directionMapReverse.get(d['side'], DIRECTION_UNKNOWN)
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trade.offset = OFFSET_NONE
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trade.price = d['price']
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trade.volume = d['units']
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trade.tradeTime = getTime(d['time'])
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self.gateway.onTrade(trade)
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self.writeLog(u'成交信息查询完成')
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#----------------------------------------------------------------------
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def onPrice(self, data):
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"""行情推送"""
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if 'tick' not in data:
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return
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d = data['tick']
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tick = VtTickData()
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tick.gatewayName = self.gatewayName
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tick.symbol = d['instrument']
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tick.exchange = EXCHANGE_OANDA
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tick.vtSymbol = '.'.join([tick.symbol, tick.exchange])
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tick.bidPrice1 = d['bid']
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tick.askPrice1 = d['ask']
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tick.time = getTime(d['time'])
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# 做市商的TICK数据只有买卖的报价，因此最新价格选用中间价代替
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tick.lastPrice = (tick.bidPrice1 + tick.askPrice1)/2
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self.gateway.onTick(tick)
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#----------------------------------------------------------------------
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def onEvent(self, data):
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"""事件推送（成交等）"""
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if 'transaction' not in data:
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return
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d = data['transaction']
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# 委托成交
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if d['type'] == 'ORDER_FILLED':
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# 推送成交事件
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trade = VtTradeData()
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trade.gatewayName = self.gatewayName
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trade.symbol = d['instrument']
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trade.exchange = EXCHANGE_OANDA
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trade.vtSymbol = '.'.join([trade.symbol, trade.exchange])
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trade.tradeID = str(d['id'])
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trade.vtTradeID = '.'.join([self.gatewayName, trade.tradeID])
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|
trade.orderID = str(d['orderId'])
|
|||
|
|
trade.vtOrderID = '.'.join([self.gatewayName, trade.orderID])
|
|||
|
|
|
|||
|
|
trade.direction = directionMapReverse.get(d['side'], DIRECTION_UNKNOWN)
|
|||
|
|
trade.offset = OFFSET_NONE
|
|||
|
|
|
|||
|
|
trade.price = d['price']
|
|||
|
|
trade.volume = d['units']
|
|||
|
|
trade.tradeTime = getTime(d['time'])
|
|||
|
|
|
|||
|
|
self.gateway.onTrade(trade)
|
|||
|
|
|
|||
|
|
# 推送委托事件
|
|||
|
|
order = self.orderDict.get(str(d['orderId']), None)
|
|||
|
|
if not order:
|
|||
|
|
return
|
|||
|
|
order.status = STATUS_ALLTRADED
|
|||
|
|
self.gateway.onOrder(order)
|
|||
|
|
|
|||
|
|
# 委托下达
|
|||
|
|
elif d['type'] in ['MARKET_ORDER_CREATE', 'LIMIT_ORDER_CREATE']:
|
|||
|
|
order = VtOrderData()
|
|||
|
|
order.gatewayName = self.gatewayName
|
|||
|
|
|
|||
|
|
order.symbol = d['instrument']
|
|||
|
|
order.exchange = EXCHANGE_OANDA
|
|||
|
|
order.vtSymbol = '.'.join([order.symbol, order.exchange])
|
|||
|
|
order.orderID = str(d['id'])
|
|||
|
|
order.direction = directionMapReverse.get(d['side'], DIRECTION_UNKNOWN)
|
|||
|
|
order.offset = OFFSET_NONE
|
|||
|
|
order.status = STATUS_NOTTRADED
|
|||
|
|
order.price = d['price']
|
|||
|
|
order.totalVolume = d['units']
|
|||
|
|
order.orderTime = getTime(d['time'])
|
|||
|
|
order.vtOrderID = '.'.join([self.gatewayName , order.orderID])
|
|||
|
|
|
|||
|
|
self.gateway.onOrder(order)
|
|||
|
|
self.orderDict[order.orderID] = order
|
|||
|
|
|
|||
|
|
# 委托撤销
|
|||
|
|
elif d['type'] == 'ORDER_CANCEL':
|
|||
|
|
order = self.orderDict.get(str(d['orderId']), None)
|
|||
|
|
if not order:
|
|||
|
|
return
|
|||
|
|
order.status = STATUS_CANCELLED
|
|||
|
|
self.gateway.onOrder(order)
|
|||
|
|
|
|||
|
|
#----------------------------------------------------------------------
|
|||
|
|
def writeLog(self, logContent):
|
|||
|
|
"""发出日志"""
|
|||
|
|
log = VtLogData()
|
|||
|
|
log.gatewayName = self.gatewayName
|
|||
|
|
log.logContent = logContent
|
|||
|
|
self.gateway.onLog(log)
|
|||
|
|
|
|||
|
|
#----------------------------------------------------------------------
|
|||
|
|
def qryInstruments(self):
|
|||
|
|
"""查询合约"""
|
|||
|
|
params = {'accountId': self.accountId}
|
|||
|
|
self.getInstruments(params)
|
|||
|
|
|
|||
|
|
#----------------------------------------------------------------------
|
|||
|
|
def qryOrders(self):
|
|||
|
|
"""查询委托"""
|
|||
|
|
self.getOrders({})
|
|||
|
|
|
|||
|
|
#----------------------------------------------------------------------
|
|||
|
|
def qryTrades(self):
|
|||
|
|
"""查询成交"""
|
|||
|
|
# 最多查询100条记录
|
|||
|
|
self.getTransactions({'count': 100})
|
|||
|
|
|
|||
|
|
#----------------------------------------------------------------------
|
|||
|
|
def sendOrder_(self, orderReq):
|
|||
|
|
"""发送委托"""
|
|||
|
|
params = {}
|
|||
|
|
params['instrument'] = orderReq.symbol
|
|||
|
|
params['units'] = orderReq.volume
|
|||
|
|
params['side'] = directionMap.get(orderReq.direction, '')
|
|||
|
|
params['price'] = orderReq.price
|
|||
|
|
params['type'] = priceTypeMap.get(orderReq.priceType, '')
|
|||
|
|
|
|||
|
|
# 委托有效期24小时
|
|||
|
|
expire = datetime.datetime.now() + datetime.timedelta(days=1)
|
|||
|
|
params['expiry'] = expire.isoformat('T') + 'Z'
|
|||
|
|
|
|||
|
|
self.sendOrder(params)
|
|||
|
|
|
|||
|
|
#----------------------------------------------------------------------
|
|||
|
|
def cancelOrder_(self, cancelOrderReq):
|
|||
|
|
"""撤销委托"""
|
|||
|
|
self.cancelOrder(cancelOrderReq.orderID)
|
|||
|
|
|
|||
|
|
|
|||
|
|
#----------------------------------------------------------------------
|
|||
|
|
def getTime(t):
|
|||
|
|
"""把OANDA返回的时间格式转化为简单的时间字符串"""
|
|||
|
|
return t[11:19]
|