Merge pull request #1858 from vigarbuaa/master
[add] add alpaca gateway to vnpy
This commit is contained in:
vn.py
GitHub
commit
0d1a536b23
@ -256,12 +256,14 @@ class RestClient(object):
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proxies=self.proxies,
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)
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request.response = response
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status_code = response.status_code
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if status_code // 100 == 2: # 2xx都算成功，尽管交易所都用200
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jsonBody = response.json()
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request.callback(jsonBody, request)
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request.status = RequestStatus.success
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try:
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jsonBody = response.json()
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request.callback(jsonBody, request)
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request.status = RequestStatus.success
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except:
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print("not json body from request, check body: ",response.text)
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else:
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request.status = RequestStatus.failed
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1
vnpy/gateway/alpaca/__init__.py
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1
vnpy/gateway/alpaca/__init__.py
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@ -0,0 +1 @@
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from .alpaca_gateway import AlpacaGateway
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581
vnpy/gateway/alpaca/alpaca_gateway.py
Normal file
581
vnpy/gateway/alpaca/alpaca_gateway.py
Normal file
@ -0,0 +1,581 @@
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# encoding: UTF-8
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"""
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Author: vigarbuaa
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"""
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import hashlib
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import hmac
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import sys
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import time
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from copy import copy
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from threading import Lock
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from datetime import datetime
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from urllib.parse import urlencode
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from vnpy.api.rest import Request, RestClient
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from vnpy.api.websocket import WebsocketClient
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from vnpy.event import Event
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from vnpy.trader.event import EVENT_TIMER
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from vnpy.trader.constant import (
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Direction,
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Exchange,
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OrderType,
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Product,
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Status,
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Offset,
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Interval
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)
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from vnpy.trader.gateway import BaseGateway
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from vnpy.trader.object import (
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TickData,
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OrderData,
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TradeData,
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PositionData, AccountData,
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ContractData,
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OrderRequest,
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CancelRequest,
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SubscribeRequest,
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)
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REST_HOST = "https://api.alpaca.markets"
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WEBSOCKET_HOST = "wss://api.alpaca.markets/stream" # Market Data
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PAPER_REST_HOST = "https://paper-api.alpaca.markets"
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PAPER_WEBSOCKET_HOST = "wss://paper-api.alpaca.markets/stream" # Market Data
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KEY = ""
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SECRET = ""
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STATUS_ALPACA2VT = {
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"new": Status.SUBMITTING,
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"partial_fill": Status.PARTTRADED,
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"fill": Status.ALLTRADED,
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"cancelled": Status.CANCELLED,
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# "done_for_day": Status.CANCELLED,
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"expired": Status.NOTTRADED
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}
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DIRECTION_VT2ALPACA = {Direction.LONG: "buy", Direction.SHORT: "sell"}
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DIRECTION_ALPACA2VT = {"buy": Direction.LONG, "sell": Direction.SHORT,
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"long": Direction.LONG, "short": Direction.SHORT}
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ORDERTYPE_VT2ALPACA = {
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OrderType.LIMIT: "limit",
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OrderType.MARKET: "market"
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}
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ORDERTYPE_ALPACA2VT = {v: k for k, v in ORDERTYPE_VT2ALPACA.items()}
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GLOBAL_ORDER = {}
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class AlpacaGateway(BaseGateway):
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"""
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VN Trader Gateway for Alpaca connection.
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"""
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default_setting = {
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"key": "",
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"secret": "",
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"session": 3,
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"服务器": ["REAL", "PAPER"],
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"proxy_host": "127.0.0.1",
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"proxy_port": 1080,
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}
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def __init__(self, event_engine):
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"""Constructor"""
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super(AlpacaGateway, self).__init__(event_engine, "ALPACA")
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self.rest_api = AlpacaRestApi(self)
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self.ws_api = AlpacaWebsocketApi(self)
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self.order_map = {}
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def connect(self, setting: dict):
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""""""
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key = setting["key"]
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secret = setting["secret"]
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session = setting["session"]
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proxy_host = setting["proxy_host"]
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proxy_port = setting["proxy_port"]
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env = setting['服务器']
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rest_url = REST_HOST if env == "REAL" else PAPER_REST_HOST
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websocket_url = WEBSOCKET_HOST if env == "REAL" else PAPER_WEBSOCKET_HOST
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self.rest_api.connect(key, secret, session,
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proxy_host, proxy_port, rest_url)
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self.ws_api.connect(key, secret, proxy_host, proxy_port, websocket_url)
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self.init_query()
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def subscribe(self, req: SubscribeRequest):
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""""""
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self.ws_api.subscribe(req)
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def send_order(self, req: OrderRequest):
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""""""
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return self.rest_api.send_order(req)
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def cancel_order(self, req: CancelRequest):
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""""""
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self.rest_api.cancel_order(req)
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def query_account(self):
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""""""
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self.rest_api.query_account()
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def query_position(self):
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""""""
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self.rest_api.query_position()
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def close(self):
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""""""
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self.rest_api.stop()
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self.ws_api.stop()
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def process_timer_event(self, event: Event):
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""""""
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self.count += 1
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if self.count < 5:
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return
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self.query_account()
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self.query_position()
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def init_query(self):
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""""""
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self.count = 0
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self.event_engine.register(EVENT_TIMER, self.process_timer_event)
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def process_timer_event(self, event: Event):
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""""""
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self.count += 1
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if self.count < 5:
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return
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else:
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self.count = 0
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self.query_account()
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self.query_position()
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class AlpacaRestApi(RestClient):
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"""
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Alpaca REST API
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"""
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def __init__(self, gateway: BaseGateway):
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""""""
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super(AlpacaRestApi, self).__init__()
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self.gateway = gateway
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self.gateway_name = gateway.gateway_name
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self.key = ""
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self.secret = ""
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self.order_count = 1_000_000
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self.order_count_lock = Lock()
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self.connect_time = 0
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self.order_dict = {}
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def query_account(self):
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path = f"/v1/account"
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self.add_request(
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method="GET",
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path=path,
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callback=self.on_query_account
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)
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def on_query_account(self, data, request):
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account = AccountData(
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accountid=data['id'],
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balance=float(data['cash']),
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frozen=float(data['cash']) - float(data['buying_power']),
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gateway_name=self.gateway_name
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)
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self.gateway.on_account(account)
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def query_position(self):
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path = f"/v1/positions"
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self.add_request(
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method="GET",
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path=path,
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callback=self.on_query_position
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)
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def on_query_position(self, data, request):
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for d in data:
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position = PositionData(
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symbol=d['symbol'],
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exchange=Exchange.ALPACA,
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direction=DIRECTION_ALPACA2VT[d['side']],
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volume=d['qty'],
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price=round(d['avg_entry_price'], 3),
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pnl=d['unrealized_pl'],
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gateway_name=self.gateway_name,
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)
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self.gateway.on_position(position)
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def sign(self, request):
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"""
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Generate Alpaca signature.
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"""
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headers = {
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"APCA-API-KEY-ID": self.key,
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"APCA-API-SECRET-KEY": self.secret,
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'Content-Type': 'application/json'
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}
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request.headers = headers
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request.allow_redirects = False
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return request
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def _new_order_id(self):
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with self.order_count_lock:
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self.order_count += 1
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return self.order_count
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def connect(
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self,
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key: str,
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secret: str,
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session_num: int,
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proxy_host: str,
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proxy_port: int,
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url: str,
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):
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"""
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Initialize connection to REST server.
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"""
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self.key = key
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self.secret = secret
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self.init(url, proxy_host, proxy_port)
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self.start(session_num)
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self.connect_time = (
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int(datetime.now().strftime("%y%m%d%H%M%S")) * self.order_count
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)
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self.gateway.write_log("ALPACA REST API启动成功")
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self.query_account()
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self.query_position()
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# self.query_contracts()
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def on_send_order(self, data, request: Request):
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remote_order_id = data['id']
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order = request.extra
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self.order_dict[order.orderid] = remote_order_id
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self.gateway.on_order(order)
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GLOBAL_ORDER[remote_order_id] = order
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def on_failed_order(self, status_code: int, request: Request):
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"""
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Callback to handle request failed.
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"""
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order = request.extra
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order.status = Status.REJECTED
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self.gateway.on_order(order)
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msg = f"请求失败，状态码：{status_code}，信息：{request.response.text}"
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self.gateway.write_log(msg)
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def on_error_order(
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self, exception_type: type, exception_value: Exception, tb, request: Request
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):
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"""
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Callback to handler request exception.
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"""
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order = request.extra
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order.status = Status.REJECTED
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self.gateway.on_order(order)
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msg = f"触发异常，状态码：{exception_type}，信息：{exception_value}"
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print('debug on_error', msg)
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self.gateway.write_log(msg)
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sys.stderr.write(
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self.exception_detail(exception_type, exception_value, tb, request)
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)
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def cancel_order(self, req: CancelRequest):
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""""""
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order_id = req.orderid
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remote_order_id = self.order_dict[order_id]
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if remote_order_id is None:
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print("[error]: can not get remote_order_id from local dict!")
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return
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path = "/v1/orders/" + str(remote_order_id)
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self.add_request(
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"DELETE",
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path,
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callback=self.on_cancel_order,
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on_error=self.on_cancel_order_error,
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extra=req
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)
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print("come to cancel_order", order_id)
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def on_cancel_order(self, data, request):
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"""Websocket will push a new order status"""
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pass
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def on_cancel_order_error(self, exception_type: type, exception_value: Exception, tb, request: Request):
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# Record exception if not ConnectionError
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if not issubclass(exception_type, ConnectionError):
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self.on_error(exception_type, exception_value, tb, request)
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def send_order(self, req: OrderRequest):
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orderid = str(self.connect_time + self._new_order_id())
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raw_dict = {
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"symbol": req.symbol,
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"qty": int(req.volume),
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"side": DIRECTION_VT2ALPACA[req.direction],
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"type": ORDERTYPE_VT2ALPACA[req.type],
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"time_in_force": 'day',
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}
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if raw_dict['type'] == "limit":
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raw_dict['limit_price'] = float(req.price)
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data = raw_dict
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order = req.create_order_data(orderid, self.gateway_name)
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print("debug send_order orderBody extra: ", order)
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self.add_request(
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"POST",
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"/v1/orders",
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callback=self.on_send_order,
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data=data,
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extra=order,
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on_failed=self.on_failed_order,
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on_error=self.on_error_order,
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# json_str=data,
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)
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print("debug send_order ret val : ", order.vt_orderid)
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return order.vt_orderid
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def on_query_contracts(self, data, request: Request):
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for instrument_data in data:
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symbol = instrument_data['symbol']
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contract = ContractData(
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symbol=symbol,
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exchange=Exchange.ALPACA,
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name=symbol,
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product=Product.SPOT,
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size=1,
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pricetick=0.01,
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gateway_name=self.gateway_name
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)
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self.on_contract(contract)
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def on_failed_query_contracts(self, status_code: int, request: Request):
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pass
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def on_error_query_contracts(self, exception_type: type, exception_value: Exception, tb, request: Request):
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pass
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def query_contracts(self):
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params = {"status": "active"}
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self.add_request(
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"GET",
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"/v1/assets",
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params=params,
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callback=self.on_query_contracts,
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on_failed=self.on_failed_query_contracts,
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on_error=self.on_error_query_contracts,
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)
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class AlpacaWebsocketApi(WebsocketClient):
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""""""
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def __init__(self, gateway):
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""""""
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super(AlpacaWebsocketApi, self).__init__()
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self.gateway = gateway
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self.gateway_name = gateway.gateway_name
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self.order_id = 1_000_000
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# self.date = int(datetime.now().strftime('%y%m%d%H%M%S')) * self.orderId
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self.key = ""
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self.secret = ""
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self.callbacks = {
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"trade": self.on_tick,
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"orderBook10": self.on_depth,
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"execution": self.on_trade,
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"order": self.on_order,
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"position": self.on_position,
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"margin": self.on_account,
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"instrument": self.on_contract,
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}
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self.ticks = {}
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self.accounts = {}
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self.orders = {}
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self.trades = set()
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self.tickDict = {}
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self.bidDict = {}
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self.askDict = {}
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self.orderLocalDict = {}
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self.channelDict = {} # ChannelID : (Channel, Symbol)
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self.channels = ["account_updates", "trade_updates"]
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def connect(
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self, key: str, secret: str, proxy_host: str, proxy_port: int, url: str
|
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):
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""""""
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self.key = key
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self.secret = secret
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self.init(url, proxy_host, proxy_port)
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self.start()
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def authenticate(self):
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""""""
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params = {"action": "authenticate", "data": {
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"key_id": self.key, "secret_key": self.secret
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}}
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self.send_packet(params)
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def on_authenticate(self):
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""""""
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params = {"action": "listen", "data": {
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"streams": self.channels
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}}
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self.send_packet(params)
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def subscribe(self, req: SubscribeRequest):
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self.channels.append("A." + req.symbol)
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self.channels.append("Q." + req.symbol)
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print("debug subscribe: {} ".format(self.channels))
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params = {"action": "listen", "data": {
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"streams": self.channels
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}}
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self.send_packet(params)
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def send_order(self, req: OrderRequest):
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pass
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|
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# ----------------------------------------------------------------------
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def cancel_order(self, req: CancelRequest):
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""""""
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pass
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def on_connected(self):
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""""""
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self.gateway.write_log("Websocket API连接成功")
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self.authenticate()
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def on_disconnected(self):
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""""""
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self.gateway.write_log("Websocket API连接断开")
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def on_packet(self, packet: dict):
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""""""
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print("debug on_packet: ", packet)
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if "stream" in packet and "data" in packet:
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stream_ret = packet['stream']
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data_ret = packet['data']
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if(stream_ret == "authorization"):
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self.handle_auth(packet)
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elif(stream_ret == "listening"):
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self.gateway.write_log("listening {}".format(data_ret))
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else:
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self.on_data(packet)
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else:
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print("unrecognize msg", packet)
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|
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# ----------------------------------------------------------------------
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def on_data(self, data):
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print("on_data is {}".format(data))
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stream_ret = data['stream']
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data_ret = data['data']
|
||||
if(stream_ret == "account_updates"):
|
||||
account = AccountData(
|
||||
accountid=data_ret['id'],
|
||||
balance=float(data_ret['cash']),
|
||||
frozen=float(data_ret['cash']) -
|
||||
float(data_ret['cash_withdrawable']),
|
||||
gateway_name=self.gateway_name
|
||||
)
|
||||
self.gateway.on_account(account)
|
||||
elif(stream_ret == "trade_updates"):
|
||||
d = data_ret['order']
|
||||
order_id = d['id']
|
||||
order = GLOBAL_ORDER[order_id]
|
||||
local_order_id = order.orderid
|
||||
order.status = STATUS_ALPACA2VT[data_ret['event']]
|
||||
self.gateway.on_order(order)
|
||||
if (data_ret['event'] == "fill" or data_ret['event'] == "partial_fill"):
|
||||
trade = TradeData(
|
||||
symbol=d["symbol"],
|
||||
exchange=Exchange.ALPACA,
|
||||
orderid=local_order_id,
|
||||
tradeid=d['id'],
|
||||
direction=DIRECTION_ALPACA2VT[d["side"]],
|
||||
price=d["filled_avg_price"],
|
||||
volume=d["filled_qty"],
|
||||
time=data_ret["timestamp"][11:19],
|
||||
gateway_name=self.gateway_name,
|
||||
)
|
||||
self.gateway.on_trade(trade)
|
||||
else:
|
||||
pass
|
||||
|
||||
# ----------------------------------------------------------------------
|
||||
def handle_auth(self, data):
|
||||
stream_ret = data['stream']
|
||||
data_ret = data['data']
|
||||
if (data_ret['status'] == "authorized"):
|
||||
print("authorization success!!!")
|
||||
self.gateway.write_log("authorization success!!!")
|
||||
self.on_authenticate()
|
||||
elif (data_ret['status'] == "unauthorized"):
|
||||
print("authorization failed!!!")
|
||||
self.gateway.write_log("authorization failed!!!")
|
||||
else:
|
||||
print("??unhandled status: ", data)
|
||||
|
||||
# ----------------------------------------------------------------------
|
||||
def on_response(self, data):
|
||||
""""""
|
||||
pass
|
||||
# ----------------------------------------------------------------------
|
||||
|
||||
def on_update(self, data):
|
||||
""""""
|
||||
pass
|
||||
|
||||
# ----------------------------------------------------------------------
|
||||
|
||||
def on_error(self, exception_type: type, exception_value: Exception, tb):
|
||||
""""""
|
||||
print("on_error: ", type, Exception, tb)
|
||||
sys.stderr.write(
|
||||
self.exception_detail(exception_type, exception_value, tb)
|
||||
)
|
||||
|
||||
def subscribe_topic(self):
|
||||
pass
|
||||
|
||||
def on_tick(self, d):
|
||||
""""""
|
||||
pass
|
||||
|
||||
def on_depth(self, d):
|
||||
""""""
|
||||
pass
|
||||
|
||||
def on_trade(self, d):
|
||||
""""""
|
||||
pass
|
||||
|
||||
def generateDateTime(self, s):
|
||||
"""生成时间"""
|
||||
dt = datetime.fromtimestamp(s / 1000.0)
|
||||
time = dt.strftime("%H:%M:%S.%f")
|
||||
return time
|
||||
|
||||
def on_order(self, data):
|
||||
""""""
|
||||
pass
|
||||
|
||||
def on_position(self, d):
|
||||
""""""
|
||||
pass
|
||||
|
||||
def on_account(self, d):
|
||||
""""""
|
||||
pass
|
||||
|
||||
def on_contract(self, d):
|
||||
""""""
|
||||
pass
|
||||
Loading…
Reference in New Issue
Block a user