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vnpy/vn.trader/oandaGateway/oandaGateway.py

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增加vn.trader的oandaGateway
2016-03-06 10:09:15 +00:00
# encoding: UTF-8
'''
vn.oanda的gateway接入
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：
* 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
* OANDA的持仓管理分为单笔成交持仓（Trade数据，国内没有）
和单一资产汇总持仓（Position数据）
* 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）
* 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，
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
* 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
失效时间，本接口中默认设置为24个小时候失效
'''
import os
import json
import datetime
from vnoanda import OandaApi
from vtGateway import *
# 价格类型映射
priceTypeMap = {}
priceTypeMap[PRICETYPE_LIMITPRICE] = 'limit'
priceTypeMap[PRICETYPE_MARKETPRICE] = 'market'
priceTypeMapReverse = {v: k for k, v in priceTypeMap.items()}
# 方向类型映射
directionMap = {}
directionMap[DIRECTION_LONG] = 'buy'
directionMap[DIRECTION_SHORT] = 'sell'
directionMapReverse = {v: k for k, v in directionMap.items()}
########################################################################
class OandaGateway(VtGateway):
"""OANDA接口"""
#----------------------------------------------------------------------
def __init__(self, eventEngine, gatewayName='OANDA'):
"""Constructor"""
super(OandaGateway, self).__init__(eventEngine, gatewayName)
self.api = Api(self)
self.qryEnabled = False # 是否要启动循环查询
#----------------------------------------------------------------------
def connect(self):
"""连接"""
# 载入json文件
fileName = self.gatewayName + '_connect.json'
1. 更换目录分隔符，兼容win和linux 2. 增加BasicMonitor用于保存表格内容到csv文件的功能 3. 增加VT_setting.json用于保存trader的一些配置（如字体）
2016-04-14 15:07:06 +00:00
fileName = os.getcwd() + '/oandaGateway/' + fileName
增加vn.trader的oandaGateway
2016-03-06 10:09:15 +00:00
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:
token = str(setting['token'])
accountId = str(setting['accountId'])
settingName = str(setting['settingName'])
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
# 初始化接口
self.api.init(settingName, token, accountId)
log = VtLogData()
log.gatewayName = self.gatewayName
log.logContent = u'接口初始化成功'
self.onLog(log)
# 查询信息
self.api.qryInstruments()
self.api.qryOrders()
self.api.qryTrades()
# 初始化并启动查询
self.initQuery()
#----------------------------------------------------------------------
def subscribe(self, subscribeReq):
"""订阅行情"""
pass
#----------------------------------------------------------------------
def sendOrder(self, orderReq):
"""发单"""
return self.api.sendOrder_(orderReq)
#----------------------------------------------------------------------
def cancelOrder(self, cancelOrderReq):
"""撤单"""
self.api.cancelOrder_(cancelOrderReq)
#----------------------------------------------------------------------
def qryAccount(self):
"""查询账户资金"""
self.api.getAccountInfo()
#----------------------------------------------------------------------
def qryPosition(self):
"""查询持仓"""
self.api.getPositions()
#----------------------------------------------------------------------
def close(self):
"""关闭"""
self.api.exit()
#----------------------------------------------------------------------
def initQuery(self):
"""初始化连续查询"""
if self.qryEnabled:
# 需要循环的查询函数列表
self.qryFunctionList = [self.qryAccount, self.qryPosition]
self.qryCount = 0 # 查询触发倒计时
self.qryTrigger = 2 # 查询触发点
self.qryNextFunction = 0 # 上次运行的查询函数索引
self.startQuery()
#----------------------------------------------------------------------
def query(self, event):
"""注册到事件处理引擎上的查询函数"""
self.qryCount += 1
if self.qryCount > self.qryTrigger:
# 清空倒计时
self.qryCount = 0
# 执行查询函数
function = self.qryFunctionList[self.qryNextFunction]
function()
# 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
self.qryNextFunction += 1
if self.qryNextFunction == len(self.qryFunctionList):
self.qryNextFunction = 0
#----------------------------------------------------------------------
def startQuery(self):
"""启动连续查询"""
self.eventEngine.register(EVENT_TIMER, self.query)
#----------------------------------------------------------------------
def setQryEnabled(self, qryEnabled):
"""设置是否要启动循环查询"""
self.qryEnabled = qryEnabled
########################################################################
class Api(OandaApi):
"""OANDA的API实现"""
#----------------------------------------------------------------------
def __init__(self, gateway):
"""Constructor"""
super(Api, self).__init__()
self.gateway = gateway # gateway对象
self.gatewayName = gateway.gatewayName # gateway对象名称
self.orderDict = {} # 缓存委托数据
#----------------------------------------------------------------------
def onError(self, error, reqID):
"""错误信息回调"""
err = VtErrorData()
err.gatewayName = self.gatewayName
err.errorMsg = error
self.gateway.onError(err)
#----------------------------------------------------------------------
def onGetInstruments(self, data, reqID):
"""回调函数"""
if not 'instruments' in data:
return
l = data['instruments']
for d in l:
contract = VtContractData()
contract.gatewayName = self.gatewayName
contract.symbol = d['instrument']
contract.name = d['displayName']
contract.exchange = EXCHANGE_OANDA
contract.vtSymbol = '.'.join([contract.symbol, contract.exchange])
contract.priceTick = float(d['pip'])
contract.size = 1
contract.productClass = PRODUCT_FOREX
self.gateway.onContract(contract)
self.writeLog(u'交易合约信息查询完成')
#----------------------------------------------------------------------
def onGetAccountInfo(self, data, reqID):
"""回调函数"""
account = VtAccountData()
account.gatewayName = self.gatewayName
account.accountID = str(data['accountId'])
account.vtAccountID = '.'.join([self.gatewayName, account.accountID])
account.available = data['marginAvail']
account.margin = data['marginUsed']
account.closeProfit = data['realizedPl']
account.positionProfit = data['unrealizedPl']
account.balance = data['balance']
self.gateway.onAccount(account)
#----------------------------------------------------------------------
def onGetOrders(self, data, reqID):
"""回调函数"""
if not 'orders' in data:
return
l = data['orders']
for d in l:
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 # OANDA查询到的订单都是活动委托
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
self.writeLog(u'委托信息查询完成')
#----------------------------------------------------------------------
def onGetPositions(self, data, reqID):
"""回调函数"""
if not 'positions' in data:
return
l = data['positions']
for d in l:
pos = VtPositionData()
pos.gatewayName = self.gatewayName
pos.symbol = d['instrument']
pos.exchange = EXCHANGE_OANDA
pos.vtSymbol = '.'.join([pos.symbol, pos.exchange])
pos.direction = directionMapReverse.get(d['side'], DIRECTION_UNKNOWN)
pos.position = d['units']
pos.price = d['avgPrice']
pos.vtPositionName = '.'.join([pos.vtSymbol, pos.direction])
self.gateway.onPosition(pos)
#----------------------------------------------------------------------
def onGetTransactions(self, data, reqID):
"""回调函数"""
if not 'transactions' in data:
return
l = data['transactions']
for d in l:
# 这里我们只关心委托成交
if d['type'] == 'ORDER_FILLED':
trade = VtTradeData()
trade.gatewayName = self.gatewayName
trade.symbol = d['instrument']
trade.exchange = EXCHANGE_OANDA
trade.vtSymbol = '.'.join([trade.symbol, trade.exchange])
trade.tradeID = str(d['id'])
trade.vtTradeID = '.'.join([self.gatewayName, trade.tradeID])
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)
self.writeLog(u'成交信息查询完成')
#----------------------------------------------------------------------
def onPrice(self, data):
"""行情推送"""
if 'tick' not in data:
return
d = data['tick']
tick = VtTickData()
tick.gatewayName = self.gatewayName
tick.symbol = d['instrument']
tick.exchange = EXCHANGE_OANDA
tick.vtSymbol = '.'.join([tick.symbol, tick.exchange])
tick.bidPrice1 = d['bid']
tick.askPrice1 = d['ask']
tick.time = getTime(d['time'])
# 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
tick.lastPrice = (tick.bidPrice1 + tick.askPrice1)/2
self.gateway.onTick(tick)
#----------------------------------------------------------------------
def onEvent(self, data):
"""事件推送（成交等）"""
if 'transaction' not in data:
return
d = data['transaction']
# 委托成交
if d['type'] == 'ORDER_FILLED':
# 推送成交事件
trade = VtTradeData()
trade.gatewayName = self.gatewayName
trade.symbol = d['instrument']
trade.exchange = EXCHANGE_OANDA
trade.vtSymbol = '.'.join([trade.symbol, trade.exchange])
trade.tradeID = str(d['id'])
trade.vtTradeID = '.'.join([self.gatewayName, trade.tradeID])
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]
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