[增强功能] 国金证券easytrader接口；算法交易引擎增加FAK和限价单支持套利；股票支持策略定时器接口；Cta增强引擎增加锁单功能；融航ctpGateway添加天勤五档行情

README.md

@@ -10,6 +10,19 @@ github 链接： https://github.com/msincenselee/vnpy
 gitee  链接： https://gitee.com/vnpy2/vnpy
 
 ###Fork版本主要改进如下
+16、EasyTrade股票接入（国金证券）
+
+    - vnpy.api.easytrader, 
+        + 直接使用，无需pip install easytrader；
+        + 任然需要安装组件 pip install -r vnpy/api/easytrader/requirement.txt
+    - vnpy.gateway.gj 国金证券的gateway
+        + 使用了tdx作为股票基础数据
+        + 使用了天勤作为行情服务
+        + 使用了easytrader的remote_client作为接入.
+    - prod.stock_qj 运行例子
+        + run_es_restful_server.py 放在A机器，安装国金全能客户端。
+        + run_main_gj01.py 放在B机器，运行vn_trader客户端
+        
 15、天勤行情接入
     
     - vnpy.data.tq 定制downloder，扩展下载字段

prod/stock_gj/connect_gj01.json

@@ -0,0 +1,6 @@
+{
+    "资金账号": "----",
+    "登录密码": "----",
+    "RPC IP": "192.168.0.201",
+    "RPC Port": 1430
+}

prod/stock_gj/run_es_restful_server.py

@@ -0,0 +1,12 @@
+# flake8: noqa
+
+import os
+import sys
+# 将repostory的目录i，作为根目录，添加到系统环境中。
+ROOT_PATH = os.path.abspath(os.path.join(os.path.dirname(__file__), '..', '..'))
+sys.path.append(ROOT_PATH)
+print(f'append {ROOT_PATH} into sys.path')
+
+from vnpy.api.easytrader import server
+
+server.run(port=1430)

prod/stock_gj/run_main_gj01.py

@@ -12,7 +12,7 @@ from vnpy.event import EventEngine
 from vnpy.trader.engine import MainEngine
 from vnpy.trader.ui import MainWindow, create_qapp
 
-from vnpy.gateway.binancef import BinancefGateway
+#from vnpy.gateway.binancef import BinancefGateway
 # from vnpy.gateway.bitmex import BitmexGateway
 # from vnpy.gateway.futu import FutuGateway
 # from vnpy.gateway.ib import IbGateway
@@ -40,8 +40,10 @@ from vnpy.gateway.binancef import BinancefGateway
 # from vnpy.gateway.bitstamp import BitstampGateway
 # from vnpy.gateway.gateios import GateiosGateway
 # from vnpy.gateway.bybit import BybitGateway
+from vnpy.gateway.gj import GjGateway
 
-from vnpy.app.cta_strategy_pro import CtaStrategyProApp
+# from vnpy.app.cta_crypto import CtaCryptoApp
+from vnpy.app.cta_stock import CtaStockApp
 # from vnpy.app.csv_loader import CsvLoaderApp
 # from vnpy.app.algo_trading import AlgoTradingApp
 # from vnpy.app.cta_backtester import CtaBacktesterApp
@@ -62,7 +64,7 @@ def main():
 
     main_engine = MainEngine(event_engine)
 
-    main_engine.add_gateway(BinancefGateway, 'binance_future')
+    main_engine.add_gateway(GjGateway, 'gj01')
     #main_engine.add_gateway(CtpGateway)
     # main_engine.add_gateway(CtptestGateway)
     # main_engine.add_gateway(MiniGateway)
@@ -92,7 +94,7 @@ def main():
     #main_engine.add_gateway(BybitGateway)
 
     #main_engine.add_app(CtaStrategyApp)
-    main_engine.add_app(CtaStrategyProApp)
+    main_engine.add_app(CtaStockApp)
     #main_engine.add_app(CtaBacktesterApp)
     # main_engine.add_app(CsvLoaderApp)
     # main_engine.add_app(AlgoTradingApp)

vnpy/api/easytrader/__init__.py

@@ -0,0 +1,11 @@
+# -*- coding: utf-8 -*-
+import urllib3
+
+from .exceptions import *
+from .api import use, follower
+from .log import logger
+
+urllib3.disable_warnings(urllib3.exceptions.InsecureRequestWarning)
+
+__version__ = "0.22.0"
+__author__ = "shidenggui"

vnpy/api/easytrader/api.py

@@ -0,0 +1,92 @@
+# -*- coding: utf-8 -*-
+import logging
+import sys
+
+import six
+
+from .joinquant_follower import JoinQuantFollower
+from .log import logger
+from .ricequant_follower import RiceQuantFollower
+from .xq_follower import XueQiuFollower
+from .xqtrader import XueQiuTrader
+
+if sys.version_info <= (3, 5):
+    raise TypeError("不支持 Python3.5 及以下版本，请升级")
+
+
+def use(broker, debug=False, **kwargs):
+    """用于生成特定的券商对象
+    :param broker:券商名支持 ['yh_client', '银河客户端'] ['ht_client', '华泰客户端']
+    :param debug: 控制 debug 日志的显示, 默认为 True
+    :param initial_assets: [雪球参数] 控制雪球初始资金，默认为一百万
+    :return the class of trader
+
+    Usage::
+        >>> import easytrader
+        >>> user = easytrader.use('xq')
+        >>> user.prepare('xq.json')
+    """
+    if debug:
+        logger.setLevel(logging.DEBUG)
+
+    if broker.lower() in ["xq", "雪球"]:
+        return XueQiuTrader(**kwargs)
+
+    if broker.lower() in ["yh_client", "银河客户端"]:
+        from .yh_clienttrader import YHClientTrader
+
+        return YHClientTrader()
+
+    if broker.lower() in ["ht_client", "华泰客户端"]:
+        from .ht_clienttrader import HTClientTrader
+
+        return HTClientTrader()
+
+    if broker.lower() in ["wk_client", "五矿客户端"]:
+        from .wk_clienttrader import WKClientTrader
+
+        return WKClientTrader()
+
+    if broker.lower() in ["htzq_client", "海通证券客户端"]:
+        from .htzq_clienttrader import HTZQClientTrader
+
+        return HTZQClientTrader()
+
+    if broker.lower() in ["gj_client", "国金客户端"]:
+        from .gj_clienttrader import GJClientTrader
+
+        return GJClientTrader()
+
+    if broker.lower() in ["ths", "同花顺客户端"]:
+        from .clienttrader import ClientTrader
+
+        return ClientTrader()
+
+    raise NotImplementedError
+
+
+def follower(platform, **kwargs):
+    """用于生成特定的券商对象
+    :param platform:平台支持 ['jq', 'joinquant', '聚宽’]
+    :param initial_assets: [雪球参数] 控制雪球初始资金，默认为一万,
+        总资金由 initial_assets * 组合当前净值 得出
+    :param total_assets: [雪球参数] 控制雪球总资金，无默认值,
+        若设置则覆盖 initial_assets
+    :return the class of follower
+
+    Usage::
+
+        >>> import easytrader
+        >>> user = easytrader.use('xq')
+        >>> user.prepare('xq.json')
+        >>> jq = easytrader.follower('jq')
+        >>> jq.login(user='username', password='password')
+        >>> jq.follow(users=user, strategies=['strategies_link'])
+    """
+    if platform.lower() in ["rq", "ricequant", "米筐"]:
+        return RiceQuantFollower()
+    if platform.lower() in ["jq", "joinquant", "聚宽"]:
+        return JoinQuantFollower()
+    if platform.lower() in ["xq", "xueqiu", "雪球"]:
+        return XueQiuFollower(**kwargs)
+    raise NotImplementedError

vnpy/api/easytrader/clienttrader.py

@@ -0,0 +1,545 @@
+# -*- coding: utf-8 -*-
+import abc
+import functools
+import logging
+import os
+import re
+import sys
+import time
+from typing import Type, Union
+
+import easyutils
+from pywinauto import findwindows, timings
+
+from . import grid_strategies, pop_dialog_handler, refresh_strategies
+from .config import client
+from .grid_strategies import IGridStrategy
+from .log import logger
+from .refresh_strategies import IRefreshStrategy
+from .utils.misc import file2dict
+from .utils.perf import perf_clock
+
+if not sys.platform.startswith("darwin"):
+    import pywinauto
+    import pywinauto.clipboard
+
+
+class IClientTrader(abc.ABC):
+    @property
+    @abc.abstractmethod
+    def app(self):
+        """Return current app instance"""
+        pass
+
+    @property
+    @abc.abstractmethod
+    def main(self):
+        """Return current main window instance"""
+        pass
+
+    @property
+    @abc.abstractmethod
+    def config(self):
+        """Return current config instance"""
+        pass
+
+    @abc.abstractmethod
+    def wait(self, seconds: float):
+        """Wait for operation return"""
+        pass
+
+    @abc.abstractmethod
+    def refresh(self):
+        """Refresh data"""
+        pass
+
+    @abc.abstractmethod
+    def is_exist_pop_dialog(self):
+        pass
+
+
+class ClientTrader(IClientTrader):
+    _editor_need_type_keys = False
+    # The strategy to use for getting grid data
+    #grid_strategy: Union[IGridStrategy, Type[IGridStrategy]] = grid_strategies.Copy
+    grid_strategy: Union[IGridStrategy, Type[IGridStrategy]] = grid_strategies.Xls
+    _grid_strategy_instance: IGridStrategy = None
+    refresh_strategy: IRefreshStrategy = refresh_strategies.Switch()
+
+    def enable_type_keys_for_editor(self):
+        """
+        有些客户端无法通过 set_edit_text 方法输入内容，可以通过使用 type_keys 方法绕过
+        """
+        self._editor_need_type_keys = True
+
+    @property
+    def grid_strategy_instance(self):
+        if self._grid_strategy_instance is None:
+            self._grid_strategy_instance = (
+                self.grid_strategy
+                if isinstance(self.grid_strategy, IGridStrategy)
+                else self.grid_strategy()
+            )
+            self._grid_strategy_instance.set_trader(self)
+        return self._grid_strategy_instance
+
+    def __init__(self):
+        self._config = client.create(self.broker_type)
+        self._app = None
+        self._main = None
+        self._toolbar = None
+
+    @property
+    def app(self):
+        return self._app
+
+    @property
+    def main(self):
+        return self._main
+
+    @property
+    def config(self):
+        return self._config
+
+    def connect(self, exe_path=None, **kwargs):
+        """
+        直接连接登陆后的客户端
+        :param exe_path: 客户端路径类似 r'C:\\htzqzyb2\\xiadan.exe', 默认 r'C:\\htzqzyb2\\xiadan.exe'
+        :return:
+        """
+        connect_path = exe_path or self._config.DEFAULT_EXE_PATH
+        if connect_path is None:
+            raise ValueError(
+                "参数 exe_path 未设置，请设置客户端对应的 exe 地址,类似 C:\\客户端安装目录\\xiadan.exe"
+            )
+
+        self._app = pywinauto.Application().connect(path=connect_path, timeout=10)
+        self._close_prompt_windows()
+        self._main = self._app.top_window()
+        self._init_toolbar()
+
+    @property
+    def broker_type(self):
+        return "ths"
+
+    @property
+    def balance(self):
+        self._switch_left_menus(["查询[F4]", "资金股票"])
+
+        return self._get_balance_from_statics()
+
+    def _init_toolbar(self):
+        self._toolbar = self._main.child_window(class_name="ToolbarWindow32")
+
+    def _get_balance_from_statics(self):
+        result = {}
+        for key, control_id in self._config.BALANCE_CONTROL_ID_GROUP.items():
+            result[key] = float(
+                self._main.child_window(
+                    control_id=control_id, class_name="Static"
+                ).window_text()
+            )
+        return result
+
+    @property
+    def position(self):
+        self._switch_left_menus(["查询[F4]", "资金股票"])
+
+        return self._get_grid_data(self._config.COMMON_GRID_CONTROL_ID)
+
+    @property
+    def today_entrusts(self):
+        self._switch_left_menus(["查询[F4]", "当日委托"])
+
+        return self._get_grid_data(self._config.COMMON_GRID_CONTROL_ID)
+
+    @property
+    def today_trades(self):
+        self._switch_left_menus(["查询[F4]", "当日成交"])
+
+        return self._get_grid_data(self._config.COMMON_GRID_CONTROL_ID)
+
+    @property
+    def cancel_entrusts(self):
+        self.refresh()
+        self._switch_left_menus(["撤单[F3]"])
+
+        return self._get_grid_data(self._config.COMMON_GRID_CONTROL_ID)
+
+    @perf_clock
+    def cancel_entrust(self, entrust_no):
+        self.refresh()
+        for i, entrust in enumerate(self.cancel_entrusts):
+            if entrust[self._config.CANCEL_ENTRUST_ENTRUST_FIELD] == entrust_no:
+                self._cancel_entrust_by_double_click(i)
+                return self._handle_pop_dialogs()
+        return {"message": "委托单状态错误不能撤单, 该委托单可能已经成交或者已撤"}
+
+    @perf_clock
+    def repo(self, security, price, amount, **kwargs):
+        self._switch_left_menus(["债券回购", "融资回购（正回购）"])
+
+        return self.trade(security, price, amount)
+
+    @perf_clock
+    def reverse_repo(self, security, price, amount, **kwargs):
+        self._switch_left_menus(["债券回购", "融劵回购（逆回购）"])
+
+        return self.trade(security, price, amount)
+
+    @perf_clock
+    def buy(self, security, price, amount, **kwargs):
+        self._switch_left_menus(["买入[F1]"])
+
+        return self.trade(security, price, amount)
+
+    @perf_clock
+    def sell(self, security, price, amount, **kwargs):
+        self._switch_left_menus(["卖出[F2]"])
+
+        return self.trade(security, price, amount)
+
+    @perf_clock
+    def market_buy(self, security, amount, ttype=None, limit_price=None, **kwargs):
+        """
+        市价买入
+        :param security: 六位证券代码
+        :param amount: 交易数量
+        :param ttype: 市价委托类型，默认客户端默认选择，
+                     深市可选 ['对手方最优价格', '本方最优价格', '即时成交剩余撤销', '最优五档即时成交剩余 '全额成交或撤销']
+                     沪市可选 ['最优五档成交剩余撤销', '最优五档成交剩余转限价']
+        :param limit_price: 科创板 限价
+
+        :return: {'entrust_no': '委托单号'}
+        """
+        self._switch_left_menus(["市价委托", "买入"])
+
+        return self.market_trade(security, amount, ttype, limit_price=limit_price)
+
+    @perf_clock
+    def market_sell(self, security, amount, ttype=None, limit_price=None, **kwargs):
+        """
+        市价卖出
+        :param security: 六位证券代码
+        :param amount: 交易数量
+        :param ttype: 市价委托类型，默认客户端默认选择，
+                     深市可选 ['对手方最优价格', '本方最优价格', '即时成交剩余撤销', '最优五档即时成交剩余 '全额成交或撤销']
+                     沪市可选 ['最优五档成交剩余撤销', '最优五档成交剩余转限价']
+        :param limit_price: 科创板 限价
+        :return: {'entrust_no': '委托单号'}
+        """
+        self._switch_left_menus(["市价委托", "卖出"])
+
+        return self.market_trade(security, amount, ttype, limit_price=limit_price)
+
+    def market_trade(self, security, amount, ttype=None, limit_price=None, **kwargs):
+        """
+        市价交易
+        :param security: 六位证券代码
+        :param amount: 交易数量
+        :param ttype: 市价委托类型，默认客户端默认选择，
+                     深市可选 ['对手方最优价格', '本方最优价格', '即时成交剩余撤销', '最优五档即时成交剩余 '全额成交或撤销']
+                     沪市可选 ['最优五档成交剩余撤销', '最优五档成交剩余转限价']
+
+        :return: {'entrust_no': '委托单号'}
+        """
+        code = security[-6:]
+        self._type_edit_control_keys(self._config.TRADE_SECURITY_CONTROL_ID, code)
+        if ttype is not None:
+            retry = 0
+            retry_max = 10
+            while retry < retry_max:
+                try:
+                    self._set_market_trade_type(ttype)
+                    break
+                except:
+                    retry += 1
+                    self.wait(0.1)
+        self._set_market_trade_params(security, amount, limit_price=limit_price)
+        self._submit_trade()
+
+        return self._handle_pop_dialogs(
+            handler_class=pop_dialog_handler.TradePopDialogHandler
+        )
+
+    def _set_market_trade_type(self, ttype):
+        """根据选择的市价交易类型选择对应的下拉选项"""
+        selects = self._main.child_window(
+            control_id=self._config.TRADE_MARKET_TYPE_CONTROL_ID, class_name="ComboBox"
+        )
+        for i, text in enumerate(selects.texts()):
+            # skip 0 index, because 0 index is current select index
+            if i == 0:
+                if re.search(ttype, text):  # 当前已经选中
+                    return
+                else:
+                    continue
+            if re.search(ttype, text):
+                selects.select(i - 1)
+                return
+        raise TypeError("不支持对应的市价类型: {}".format(ttype))
+
+    def auto_ipo(self):
+        self._switch_left_menus(self._config.AUTO_IPO_MENU_PATH)
+
+        stock_list = self._get_grid_data(self._config.COMMON_GRID_CONTROL_ID)
+
+        if len(stock_list) == 0:
+            return {"message": "今日无新股"}
+        invalid_list_idx = [
+            i for i, v in enumerate(stock_list) if v[self.config.AUTO_IPO_NUMBER] <= 0
+        ]
+
+        if len(stock_list) == len(invalid_list_idx):
+            return {"message": "没有发现可以申购的新股"}
+
+        self._click(self._config.AUTO_IPO_SELECT_ALL_BUTTON_CONTROL_ID)
+        self.wait(0.1)
+
+        for row in invalid_list_idx:
+            self._click_grid_by_row(row)
+        self.wait(0.1)
+
+        self._click(self._config.AUTO_IPO_BUTTON_CONTROL_ID)
+        self.wait(0.1)
+
+        return self._handle_pop_dialogs()
+
+    def _click_grid_by_row(self, row):
+        x = self._config.COMMON_GRID_LEFT_MARGIN
+        y = (
+            self._config.COMMON_GRID_FIRST_ROW_HEIGHT
+            + self._config.COMMON_GRID_ROW_HEIGHT * row
+        )
+        self._app.top_window().child_window(
+            control_id=self._config.COMMON_GRID_CONTROL_ID,
+            class_name="CVirtualGridCtrl",
+        ).click(coords=(x, y))
+
+    @perf_clock
+    def is_exist_pop_dialog(self):
+        self.wait(0.5)  # wait dialog display
+        try:
+            return (
+                self._main.wrapper_object() != self._app.top_window().wrapper_object()
+            )
+        except (
+            findwindows.ElementNotFoundError,
+            timings.TimeoutError,
+            RuntimeError,
+        ) as ex:
+            logger.exception("check pop dialog timeout")
+            return False
+
+    def _run_exe_path(self, exe_path):
+        return os.path.join(os.path.dirname(exe_path), "xiadan.exe")
+
+    def wait(self, seconds):
+        time.sleep(seconds)
+
+    def exit(self):
+        self._app.kill()
+
+    def _close_prompt_windows(self):
+        self.wait(1)
+        for window in self._app.windows(class_name="#32770", visible_only=True):
+            title = window.window_text()
+            if title != self._config.TITLE:
+                logging.info("close " + title)
+                window.close()
+                self.wait(0.2)
+        self.wait(1)
+
+    def close_pormpt_window_no_wait(self):
+        for window in self._app.windows(class_name="#32770"):
+            if window.window_text() != self._config.TITLE:
+                window.close()
+
+    def trade(self, security, price, amount):
+        self._set_trade_params(security, price, amount)
+
+        self._submit_trade()
+
+        return self._handle_pop_dialogs(
+            handler_class=pop_dialog_handler.TradePopDialogHandler
+        )
+
+    def _click(self, control_id):
+        self._app.top_window().child_window(
+            control_id=control_id, class_name="Button"
+        ).click()
+
+    @perf_clock
+    def _submit_trade(self):
+        time.sleep(0.2)
+        self._main.child_window(
+            control_id=self._config.TRADE_SUBMIT_CONTROL_ID, class_name="Button"
+        ).click()
+
+    @perf_clock
+    def __get_top_window_pop_dialog(self):
+        return self._app.top_window().window(
+            control_id=self._config.POP_DIALOD_TITLE_CONTROL_ID
+        )
+
+    @perf_clock
+    def _get_pop_dialog_title(self):
+        return (
+            self._app.top_window()
+            .child_window(control_id=self._config.POP_DIALOD_TITLE_CONTROL_ID)
+            .window_text()
+        )
+
+    def _set_trade_params(self, security, price, amount):
+        code = security[-6:]
+
+        self._type_edit_control_keys(self._config.TRADE_SECURITY_CONTROL_ID, code)
+
+        # wait security input finish
+        self.wait(0.1)
+
+        self._type_edit_control_keys(
+            self._config.TRADE_PRICE_CONTROL_ID,
+            easyutils.round_price_by_code(price, code),
+        )
+        self._type_edit_control_keys(
+            self._config.TRADE_AMOUNT_CONTROL_ID, str(int(amount))
+        )
+
+    def _set_market_trade_params(self, security, amount, limit_price=None):
+        self._type_edit_control_keys(
+            self._config.TRADE_AMOUNT_CONTROL_ID, str(int(amount))
+        )
+        self.wait(0.1)
+        price_control = None
+        if str(security).startswith("68"):  # 科创板存在限价
+            try:
+                price_control = self._main.child_window(
+                    control_id=self._config.TRADE_PRICE_CONTROL_ID, class_name="Edit"
+                )
+            except:
+                pass
+        if price_control is not None:
+            price_control.set_edit_text(limit_price)
+
+    def _get_grid_data(self, control_id):
+        return self.grid_strategy_instance.get(control_id)
+
+    def _type_keys(self, control_id, text):
+        self._main.child_window(control_id=control_id, class_name="Edit").set_edit_text(
+            text
+        )
+
+    def _type_edit_control_keys(self, control_id, text):
+        if not self._editor_need_type_keys:
+            self._main.child_window(
+                control_id=control_id, class_name="Edit"
+            ).set_edit_text(text)
+        else:
+            editor = self._main.child_window(control_id=control_id, class_name="Edit")
+            editor.select()
+            editor.type_keys(text)
+
+    def _collapse_left_menus(self):
+        items = self._get_left_menus_handle().roots()
+        for item in items:
+            item.collapse()
+
+    @perf_clock
+    def _switch_left_menus(self, path, sleep=0.2):
+        self._get_left_menus_handle().get_item(path).click()
+        self._app.top_window().type_keys('{ESC}')
+        self._app.top_window().type_keys('{F5}')
+        self.wait(sleep)
+
+    def _switch_left_menus_by_shortcut(self, shortcut, sleep=0.5):
+        self._app.top_window().type_keys(shortcut)
+        self.wait(sleep)
+
+    @functools.lru_cache()
+    def _get_left_menus_handle(self):
+        count = 2
+        while True:
+            try:
+                handle = self._main.child_window(
+                    control_id=129, class_name="SysTreeView32"
+                )
+                if count <= 0:
+                    return handle
+                # sometime can't find handle ready, must retry
+                handle.wait("ready", 2)
+                return handle
+            # pylint: disable=broad-except
+            except Exception as ex:
+                logger.exception("error occurred when trying to get left menus")
+            count = count - 1
+
+    def _cancel_entrust_by_double_click(self, row):
+        x = self._config.CANCEL_ENTRUST_GRID_LEFT_MARGIN
+        y = (
+            self._config.CANCEL_ENTRUST_GRID_FIRST_ROW_HEIGHT
+            + self._config.CANCEL_ENTRUST_GRID_ROW_HEIGHT * row
+        )
+        self._app.top_window().child_window(
+            control_id=self._config.COMMON_GRID_CONTROL_ID,
+            class_name="CVirtualGridCtrl",
+        ).double_click(coords=(x, y))
+
+    def refresh(self):
+        self.refresh_strategy.set_trader(self)
+        self.refresh_strategy.refresh()
+
+    @perf_clock
+    def _handle_pop_dialogs(self, handler_class=pop_dialog_handler.PopDialogHandler):
+        handler = handler_class(self._app)
+
+        while self.is_exist_pop_dialog():
+            try:
+                title = self._get_pop_dialog_title()
+            except pywinauto.findwindows.ElementNotFoundError:
+                return {"message": "success"}
+
+            result = handler.handle(title)
+            if result:
+                return result
+        return {"message": "success"}
+
+
+class BaseLoginClientTrader(ClientTrader):
+    @abc.abstractmethod
+    def login(self, user, password, exe_path, comm_password=None, **kwargs):
+        """Login Client Trader"""
+        pass
+
+    def prepare(
+        self,
+        config_path=None,
+        user=None,
+        password=None,
+        exe_path=None,
+        comm_password=None,
+        **kwargs
+    ):
+        """
+        登陆客户端
+        :param config_path: 登陆配置文件，跟参数登陆方式二选一
+        :param user: 账号
+        :param password: 明文密码
+        :param exe_path: 客户端路径类似 r'C:\\htzqzyb2\\xiadan.exe', 默认 r'C:\\htzqzyb2\\xiadan.exe'
+        :param comm_password: 通讯密码
+        :return:
+        """
+        if config_path is not None:
+            account = file2dict(config_path)
+            user = account["user"]
+            password = account["password"]
+            comm_password = account.get("comm_password")
+            exe_path = account.get("exe_path")
+        self.login(
+            user,
+            password,
+            exe_path or self._config.DEFAULT_EXE_PATH,
+            comm_password,
+            **kwargs
+        )
+        self._init_toolbar()

vnpy/api/easytrader/config/client.py

@@ -0,0 +1,153 @@
+# -*- coding: utf-8 -*-
+def create(broker):
+    if broker == "yh":
+        return YH
+    if broker == "ht":
+        return HT
+    if broker == "gj":
+        return GJ
+    if broker == "ths":
+        return CommonConfig
+    if broker == "wk":
+        return WK
+    if broker == "htzq":
+        return HTZQ
+    raise NotImplementedError
+
+
+class CommonConfig:
+    DEFAULT_EXE_PATH: str = ""
+    TITLE = "网上股票交易系统5.0"
+
+    TRADE_SECURITY_CONTROL_ID = 1032
+    TRADE_PRICE_CONTROL_ID = 1033
+    TRADE_AMOUNT_CONTROL_ID = 1034
+
+    TRADE_SUBMIT_CONTROL_ID = 1006
+
+    TRADE_MARKET_TYPE_CONTROL_ID = 1541
+
+    COMMON_GRID_CONTROL_ID = 1047
+
+    COMMON_GRID_LEFT_MARGIN = 10
+    COMMON_GRID_FIRST_ROW_HEIGHT = 30
+    COMMON_GRID_ROW_HEIGHT = 16
+
+    BALANCE_MENU_PATH = ["查询[F4]", "资金股票"]
+    POSITION_MENU_PATH = ["查询[F4]", "资金股票"]
+    TODAY_ENTRUSTS_MENU_PATH = ["查询[F4]", "当日委托"]
+    TODAY_TRADES_MENU_PATH = ["查询[F4]", "当日成交"]
+
+    BALANCE_CONTROL_ID_GROUP = {
+        "资金余额": 1012,
+        "可用金额": 1016,
+        "可取金额": 1017,
+        "股票市值": 1014,
+        "总资产": 1015,
+    }
+
+    POP_DIALOD_TITLE_CONTROL_ID = 1365
+
+    GRID_DTYPE = {
+        "操作日期": str,
+        "委托编号": str,
+        "申请编号": str,
+        "合同编号": str,
+        "证券代码": str,
+        "股东代码": str,
+        "资金帐号": str,
+        "资金帐户": str,
+        "发生日期": str,
+    }
+
+    CANCEL_ENTRUST_ENTRUST_FIELD = "合同编号"
+    CANCEL_ENTRUST_GRID_LEFT_MARGIN = 50
+    CANCEL_ENTRUST_GRID_FIRST_ROW_HEIGHT = 30
+    CANCEL_ENTRUST_GRID_ROW_HEIGHT = 16
+
+    AUTO_IPO_SELECT_ALL_BUTTON_CONTROL_ID = 1098
+    AUTO_IPO_BUTTON_CONTROL_ID = 1006
+    AUTO_IPO_MENU_PATH = ["新股申购", "批量新股申购"]
+    AUTO_IPO_NUMBER = '申购数量'
+
+
+class YH(CommonConfig):
+    DEFAULT_EXE_PATH = r"C:\双子星-中国银河证券\Binarystar.exe"
+
+    BALANCE_GRID_CONTROL_ID = 1308
+
+    GRID_DTYPE = {
+        "操作日期": str,
+        "委托编号": str,
+        "申请编号": str,
+        "合同编号": str,
+        "证券代码": str,
+        "股东代码": str,
+        "资金帐号": str,
+        "资金帐户": str,
+        "发生日期": str,
+    }
+
+    AUTO_IPO_MENU_PATH = ["新股申购", "一键打新"]
+
+
+class HT(CommonConfig):
+    DEFAULT_EXE_PATH = r"C:\htzqzyb2\xiadan.exe"
+
+    BALANCE_CONTROL_ID_GROUP = {
+        "资金余额": 1012,
+        "冻结资金": 1013,
+        "可用金额": 1016,
+        "可取金额": 1017,
+        "股票市值": 1014,
+        "总资产": 1015,
+    }
+
+    GRID_DTYPE = {
+        "操作日期": str,
+        "委托编号": str,
+        "申请编号": str,
+        "合同编号": str,
+        "证券代码": str,
+        "股东代码": str,
+        "资金帐号": str,
+        "资金帐户": str,
+        "发生日期": str,
+    }
+
+    AUTO_IPO_MENU_PATH = ["新股申购", "批量新股申购"]
+
+
+class GJ(CommonConfig):
+    DEFAULT_EXE_PATH = "C:\\全能行证券交易终端\\xiadan.exe"
+
+    GRID_DTYPE = {
+        "操作日期": str,
+        "委托编号": str,
+        "申请编号": str,
+        "合同编号": str,
+        "证券代码": str,
+        "股东代码": str,
+        "资金帐号": str,
+        "资金帐户": str,
+        "发生日期": str,
+    }
+
+    AUTO_IPO_MENU_PATH = ["新股申购", "新股批量申购"]
+
+
+class WK(HT):
+    pass
+
+
+class HTZQ(CommonConfig):
+    DEFAULT_EXE_PATH = r"c:\\海通证券委托\\xiadan.exe"
+
+    BALANCE_CONTROL_ID_GROUP = {
+        "资金余额": 1012,
+        "可用金额": 1016,
+        "可取金额": 1017,
+        "总资产": 1015,
+    }
+
+    AUTO_IPO_NUMBER = '可申购数量'

vnpy/api/easytrader/config/global.json

@@ -0,0 +1,52 @@
+{
+  "response_format": {
+    "int": [
+      "current_amount",
+      "enable_amount",
+      "entrust_amount",
+      "business_amount",
+      "成交数量",
+      "撤单数量",
+      "委托数量",
+      "股份可用",
+      "买入冻结",
+      "卖出冻结",
+      "当前持仓",
+      "股份余额"
+    ],
+    "float": [
+      "current_balance",
+      "enable_balance",
+      "fetch_balance",
+      "market_value",
+      "asset_balance",
+      "av_buy_price",
+      "cost_price",
+      "income_balance",
+      "market_value",
+      "entrust_price",
+      "business_price",
+      "business_balance",
+      "fare1",
+      "occur_balance",
+      "farex",
+      "fare0",
+      "occur_amount",
+      "post_balance",
+      "fare2",
+      "fare3",
+      "资金余额",
+      "可用资金",
+      "参考市值",
+      "总资产",
+      "股份参考盈亏",
+      "委托价格",
+      "成交价格",
+      "成交金额",
+      "参考盈亏",
+      "参考成本价",
+      "参考市价",
+      "参考市值"
+    ]
+  }
+}

vnpy/api/easytrader/config/xq.json

@@ -0,0 +1,9 @@
+{
+  "login_api": "https://xueqiu.com/user/login",
+  "prefix": "https://xueqiu.com/user/login",
+  "portfolio_url": "https://xueqiu.com/p/",
+  "search_stock_url": "https://xueqiu.com/stock/p/search.json",
+  "rebalance_url": "https://xueqiu.com/cubes/rebalancing/create.json",
+  "history_url": "https://xueqiu.com/cubes/rebalancing/history.json",
+  "referer": "https://xueqiu.com/p/update?action=holdings&symbol=%s"
+}

vnpy/api/easytrader/exceptions.py

@@ -0,0 +1,11 @@
+# -*- coding: utf-8 -*-
+
+
+class TradeError(IOError):
+    pass
+
+
+class NotLoginError(Exception):
+    def __init__(self, result=None):
+        super(NotLoginError, self).__init__()
+        self.result = result

vnpy/api/easytrader/follower.py

@@ -0,0 +1,408 @@
+# -*- coding: utf-8 -*-
+import abc
+import datetime
+import os
+import pickle
+import queue
+import re
+import threading
+import time
+from typing import List
+
+import requests
+
+from . import exceptions
+from .log import logger
+
+
+class BaseFollower(metaclass=abc.ABCMeta):
+    """
+    slippage: 滑点，取值范围为 [0, 1]
+    """
+
+    LOGIN_PAGE = ""
+    LOGIN_API = ""
+    TRANSACTION_API = ""
+    CMD_CACHE_FILE = "cmd_cache.pk"
+    WEB_REFERER = ""
+    WEB_ORIGIN = ""
+
+    def __init__(self):
+        self.trade_queue = queue.Queue()
+        self.expired_cmds = set()
+
+        self.s = requests.Session()
+        self.s.verify = False
+
+        self.slippage: float = 0.0
+
+    def login(self, user=None, password=None, **kwargs):
+        """
+        登陆接口
+        :param user: 用户名
+        :param password: 密码
+        :param kwargs: 其他参数
+        :return:
+        """
+        headers = self._generate_headers()
+        self.s.headers.update(headers)
+
+        # init cookie
+        self.s.get(self.LOGIN_PAGE)
+
+        # post for login
+        params = self.create_login_params(user, password, **kwargs)
+        rep = self.s.post(self.LOGIN_API, data=params)
+
+        self.check_login_success(rep)
+        logger.info("登录成功")
+
+    def _generate_headers(self):
+        headers = {
+            "Accept": "application/json, text/javascript, */*; q=0.01",
+            "Accept-Encoding": "gzip, deflate, br",
+            "Accept-Language": "en-US,en;q=0.8",
+            "User-Agent": "Mozilla/5.0 (X11; Linux x86_64) "
+            "AppleWebKit/537.36 (KHTML, like Gecko) "
+            "Chrome/54.0.2840.100 Safari/537.36",
+            "Referer": self.WEB_REFERER,
+            "X-Requested-With": "XMLHttpRequest",
+            "Origin": self.WEB_ORIGIN,
+            "Content-Type": "application/x-www-form-urlencoded; charset=UTF-8",
+        }
+        return headers
+
+    def check_login_success(self, rep):
+        """检查登录状态是否成功
+        :param rep: post login 接口返回的 response 对象
+        :raise 如果登录失败应该抛出 NotLoginError """
+        pass
+
+    def create_login_params(self, user, password, **kwargs) -> dict:
+        """生成 post 登录接口的参数
+        :param user: 用户名
+        :param password: 密码
+        :return dict 登录参数的字典
+        """
+        return {}
+
+    def follow(
+        self,
+        users,
+        strategies,
+        track_interval=1,
+        trade_cmd_expire_seconds=120,
+        cmd_cache=True,
+        slippage: float = 0.0,
+        **kwargs
+    ):
+        """跟踪平台对应的模拟交易，支持多用户多策略
+
+        :param users: 支持easytrader的用户对象，支持使用 [] 指定多个用户
+        :param strategies: 雪球组合名, 类似 ZH123450
+        :param total_assets: 雪球组合对应的总资产， 格式 [ 组合1对应资金, 组合2对应资金 ]
+            若 strategies=['ZH000001', 'ZH000002'] 设置 total_assets=[10000, 10000], 则表明每个组合对应的资产为 1w 元，
+            假设组合 ZH000001 加仓 价格为 p 股票 A 10%, 则对应的交易指令为 买入 股票 A 价格 P 股数 1w * 10% / p 并按 100 取整
+        :param initial_assets:雪球组合对应的初始资产, 格式 [ 组合1对应资金, 组合2对应资金 ]
+            总资产由 初始资产 × 组合净值 算得， total_assets 会覆盖此参数
+        :param track_interval: 轮询模拟交易时间，单位为秒
+        :param trade_cmd_expire_seconds: 交易指令过期时间, 单位为秒
+        :param cmd_cache: 是否读取存储历史执行过的指令，防止重启时重复执行已经交易过的指令
+        :param slippage: 滑点，0.0 表示无滑点, 0.05 表示滑点为 5%
+        """
+        self.slippage = slippage
+
+    def _calculate_price_by_slippage(self, action: str, price: float) -> float:
+        """
+        计算考虑滑点之后的价格
+        :param action: 交易动作， 支持 ['buy', 'sell']
+        :param price: 原始交易价格
+        :return: 考虑滑点后的交易价格
+        """
+        if action == "buy":
+            return price * (1 + self.slippage)
+        if action == "sell":
+            return price * (1 - self.slippage)
+        return price
+
+    def load_expired_cmd_cache(self):
+        if os.path.exists(self.CMD_CACHE_FILE):
+            with open(self.CMD_CACHE_FILE, "rb") as f:
+                self.expired_cmds = pickle.load(f)
+
+    def start_trader_thread(
+        self,
+        users,
+        trade_cmd_expire_seconds,
+        entrust_prop="limit",
+        send_interval=0,
+    ):
+        trader = threading.Thread(
+            target=self.trade_worker,
+            args=[users],
+            kwargs={
+                "expire_seconds": trade_cmd_expire_seconds,
+                "entrust_prop": entrust_prop,
+                "send_interval": send_interval,
+            },
+        )
+        trader.setDaemon(True)
+        trader.start()
+
+    @staticmethod
+    def warp_list(value):
+        if not isinstance(value, list):
+            value = [value]
+        return value
+
+    @staticmethod
+    def extract_strategy_id(strategy_url):
+        """
+        抽取 策略 id，一般用于获取策略相关信息
+        :param strategy_url: 策略 url
+        :return: str 策略 id
+        """
+        pass
+
+    def extract_strategy_name(self, strategy_url):
+        """
+        抽取 策略名，主要用于日志打印，便于识别
+        :param strategy_url:
+        :return: str 策略名
+        """
+        pass
+
+    def track_strategy_worker(self, strategy, name, interval=10, **kwargs):
+        """跟踪下单worker
+        :param strategy: 策略id
+        :param name: 策略名字
+        :param interval: 轮询策略的时间间隔，单位为秒"""
+        while True:
+            try:
+                transactions = self.query_strategy_transaction(
+                    strategy, **kwargs
+                )
+            # pylint: disable=broad-except
+            except Exception as e:
+                logger.exception("无法获取策略 %s 调仓信息, 错误: %s, 跳过此次调仓查询", name, e)
+                time.sleep(3)
+                continue
+            for transaction in transactions:
+                trade_cmd = {
+                    "strategy": strategy,
+                    "strategy_name": name,
+                    "action": transaction["action"],
+                    "stock_code": transaction["stock_code"],
+                    "amount": transaction["amount"],
+                    "price": transaction["price"],
+                    "datetime": transaction["datetime"],
+                }
+                if self.is_cmd_expired(trade_cmd):
+                    continue
+                logger.info(
+                    "策略 [%s] 发送指令到交易队列, 股票: %s 动作: %s 数量: %s 价格: %s 信号产生时间: %s",
+                    name,
+                    trade_cmd["stock_code"],
+                    trade_cmd["action"],
+                    trade_cmd["amount"],
+                    trade_cmd["price"],
+                    trade_cmd["datetime"],
+                )
+                self.trade_queue.put(trade_cmd)
+                self.add_cmd_to_expired_cmds(trade_cmd)
+            try:
+                for _ in range(interval):
+                    time.sleep(1)
+            except KeyboardInterrupt:
+                logger.info("程序退出")
+                break
+
+    @staticmethod
+    def generate_expired_cmd_key(cmd):
+        return "{}_{}_{}_{}_{}_{}".format(
+            cmd["strategy_name"],
+            cmd["stock_code"],
+            cmd["action"],
+            cmd["amount"],
+            cmd["price"],
+            cmd["datetime"],
+        )
+
+    def is_cmd_expired(self, cmd):
+        key = self.generate_expired_cmd_key(cmd)
+        return key in self.expired_cmds
+
+    def add_cmd_to_expired_cmds(self, cmd):
+        key = self.generate_expired_cmd_key(cmd)
+        self.expired_cmds.add(key)
+
+        with open(self.CMD_CACHE_FILE, "wb") as f:
+            pickle.dump(self.expired_cmds, f)
+
+    @staticmethod
+    def _is_number(s):
+        try:
+            float(s)
+            return True
+        except ValueError:
+            return False
+
+    def _execute_trade_cmd(
+        self, trade_cmd, users, expire_seconds, entrust_prop, send_interval
+    ):
+        """分发交易指令到对应的 user 并执行
+        :param trade_cmd:
+        :param users:
+        :param expire_seconds:
+        :param entrust_prop:
+        :param send_interval:
+        :return:
+        """
+        for user in users:
+            # check expire
+            now = datetime.datetime.now()
+            expire = (now - trade_cmd["datetime"]).total_seconds()
+            if expire > expire_seconds:
+                logger.warning(
+                    "策略 [%s] 指令(股票: %s 动作: %s 数量: %s 价格: %s)超时，指令产生时间: %s 当前时间: %s, 超过设置的最大过期时间 %s 秒, 被丢弃",
+                    trade_cmd["strategy_name"],
+                    trade_cmd["stock_code"],
+                    trade_cmd["action"],
+                    trade_cmd["amount"],
+                    trade_cmd["price"],
+                    trade_cmd["datetime"],
+                    now,
+                    expire_seconds,
+                )
+                break
+
+            # check price
+            price = trade_cmd["price"]
+            if not self._is_number(price) or price <= 0:
+                logger.warning(
+                    "策略 [%s] 指令(股票: %s 动作: %s 数量: %s 价格: %s)超时，指令产生时间: %s 当前时间: %s, 价格无效 , 被丢弃",
+                    trade_cmd["strategy_name"],
+                    trade_cmd["stock_code"],
+                    trade_cmd["action"],
+                    trade_cmd["amount"],
+                    trade_cmd["price"],
+                    trade_cmd["datetime"],
+                    now,
+                )
+                break
+
+            # check amount
+            if trade_cmd["amount"] <= 0:
+                logger.warning(
+                    "策略 [%s] 指令(股票: %s 动作: %s 数量: %s 价格: %s)超时，指令产生时间: %s 当前时间: %s, 买入股数无效 , 被丢弃",
+                    trade_cmd["strategy_name"],
+                    trade_cmd["stock_code"],
+                    trade_cmd["action"],
+                    trade_cmd["amount"],
+                    trade_cmd["price"],
+                    trade_cmd["datetime"],
+                    now,
+                )
+                break
+
+            actual_price = self._calculate_price_by_slippage(
+                trade_cmd["action"], trade_cmd["price"]
+            )
+            args = {
+                "security": trade_cmd["stock_code"],
+                "price": actual_price,
+                "amount": trade_cmd["amount"],
+                "entrust_prop": entrust_prop,
+            }
+            try:
+                response = getattr(user, trade_cmd["action"])(**args)
+            except exceptions.TradeError as e:
+                trader_name = type(user).__name__
+                err_msg = "{}: {}".format(type(e).__name__, e.args)
+                logger.error(
+                    "%s 执行 策略 [%s] 指令(股票: %s 动作: %s 数量: %s 价格(考虑滑点): %s 指令产生时间: %s) 失败, 错误信息: %s",
+                    trader_name,
+                    trade_cmd["strategy_name"],
+                    trade_cmd["stock_code"],
+                    trade_cmd["action"],
+                    trade_cmd["amount"],
+                    actual_price,
+                    trade_cmd["datetime"],
+                    err_msg,
+                )
+            else:
+                logger.info(
+                    "策略 [%s] 指令(股票: %s 动作: %s 数量: %s 价格(考虑滑点): %s 指令产生时间: %s) 执行成功, 返回: %s",
+                    trade_cmd["strategy_name"],
+                    trade_cmd["stock_code"],
+                    trade_cmd["action"],
+                    trade_cmd["amount"],
+                    actual_price,
+                    trade_cmd["datetime"],
+                    response,
+                )
+
+    def trade_worker(
+        self, users, expire_seconds=120, entrust_prop="limit", send_interval=0
+    ):
+        """
+        :param send_interval: 交易发送间隔， 默认为0s。调大可防止卖出买入时买出单没有及时成交导致的买入金额不足
+        """
+        while True:
+            trade_cmd = self.trade_queue.get()
+            self._execute_trade_cmd(
+                trade_cmd, users, expire_seconds, entrust_prop, send_interval
+            )
+            time.sleep(send_interval)
+
+    def query_strategy_transaction(self, strategy, **kwargs):
+        params = self.create_query_transaction_params(strategy)
+
+        rep = self.s.get(self.TRANSACTION_API, params=params)
+        history = rep.json()
+
+        transactions = self.extract_transactions(history)
+        self.project_transactions(transactions, **kwargs)
+        return self.order_transactions_sell_first(transactions)
+
+    def extract_transactions(self, history) -> List[str]:
+        """
+        抽取接口返回中的调仓记录列表
+        :param history: 调仓接口返回信息的字典对象
+        :return: [] 调参历史记录的列表
+        """
+        return []
+
+    def create_query_transaction_params(self, strategy) -> dict:
+        """
+        生成用于查询调参记录的参数
+        :param strategy: 策略 id
+        :return: dict 调参记录参数
+        """
+        return {}
+
+    @staticmethod
+    def re_find(pattern, string, dtype=str):
+        return dtype(re.search(pattern, string).group())
+
+    @staticmethod
+    def re_search(pattern, string, dtype=str):
+        return dtype(re.search(pattern,string).group(1))
+
+    def project_transactions(self, transactions, **kwargs):
+        """
+        修证调仓记录为内部使用的统一格式
+        :param transactions: [] 调仓记录的列表
+        :return: [] 修整后的调仓记录
+        """
+        pass
+
+    def order_transactions_sell_first(self, transactions):
+        # 调整调仓记录的顺序为先卖再买
+        sell_first_transactions = []
+        for transaction in transactions:
+            if transaction["action"] == "sell":
+                sell_first_transactions.insert(0, transaction)
+            else:
+                sell_first_transactions.append(transaction)
+        return sell_first_transactions

vnpy/api/easytrader/gj_clienttrader.py

@@ -0,0 +1,80 @@
+# -*- coding: utf-8 -*-
+import re
+import tempfile
+import time
+
+import pywinauto
+import pywinauto.clipboard
+
+from . import clienttrader
+from .utils.captcha import recognize_verify_code
+
+
+class GJClientTrader(clienttrader.BaseLoginClientTrader):
+    @property
+    def broker_type(self):
+        return "gj"
+
+    def login(self, user, password, exe_path, comm_password=None, **kwargs):
+        """
+        登陆客户端
+
+        :param user: 账号
+        :param password: 明文密码
+        :param exe_path: 客户端路径类似 'C:\\中国银河证券双子星3.2\\Binarystar.exe',
+            默认 'C:\\中国银河证券双子星3.2\\Binarystar.exe'
+        :param comm_password: 通讯密码, 华泰需要，可不设
+        :return:
+        """
+        try:
+            self._app = pywinauto.Application().connect(
+                path=self._run_exe_path(exe_path), timeout=1
+            )
+        # pylint: disable=broad-except
+        except Exception:
+            self._app = pywinauto.Application().start(exe_path)
+
+            # wait login window ready
+            while True:
+                try:
+                    self._app.top_window().Edit1.wait("ready")
+                    break
+                except RuntimeError:
+                    pass
+
+            self._app.top_window().Edit1.type_keys(user)
+            self._app.top_window().Edit2.type_keys(password)
+            edit3 = self._app.top_window().window(control_id=0x3eb)
+            while True:
+                try:
+                    code = self._handle_verify_code()
+                    edit3.type_keys(code)
+                    time.sleep(1)
+                    self._app.top_window()["确定(Y)"].click()
+                    # detect login is success or not
+                    try:
+                        self._app.top_window().wait_not("exists", 5)
+                        break
+
+                    # pylint: disable=broad-except
+                    except Exception:
+                        self._app.top_window()["确定"].click()
+
+                # pylint: disable=broad-except
+                except Exception:
+                    pass
+
+            self._app = pywinauto.Application().connect(
+                path=self._run_exe_path(exe_path), timeout=10
+            )
+        self._main = self._app.window(title="网上股票交易系统5.0")
+
+    def _handle_verify_code(self):
+        control = self._app.top_window().window(control_id=0x5db)
+        control.click()
+        time.sleep(0.2)
+        file_path = tempfile.mktemp() + ".jpg"
+        control.capture_as_image().save(file_path)
+        time.sleep(0.2)
+        vcode = recognize_verify_code(file_path, "gj_client")
+        return "".join(re.findall("[a-zA-Z0-9]+", vcode))

vnpy/api/easytrader/grid_strategies.py

@@ -0,0 +1,220 @@
+# -*- coding: utf-8 -*-
+import abc
+import io
+import tempfile
+from io import StringIO
+from typing import TYPE_CHECKING, Dict, List, Optional
+
+import pandas as pd
+import pywinauto.keyboard
+import pywinauto
+import pywinauto.clipboard
+
+from .log import logger
+from .utils.captcha import captcha_recognize
+from .utils.win_gui import SetForegroundWindow, ShowWindow, win32defines
+
+if TYPE_CHECKING:
+    # pylint: disable=unused-import
+    from easytrader import clienttrader
+
+
+class IGridStrategy(abc.ABC):
+    @abc.abstractmethod
+    def get(self, control_id: int) -> List[Dict]:
+        """
+        获取 gird 数据并格式化返回
+
+        :param control_id: grid 的 control id
+        :return: grid 数据
+        """
+        pass
+
+    @abc.abstractmethod
+    def set_trader(self, trader: "clienttrader.IClientTrader"):
+        pass
+
+
+class BaseStrategy(IGridStrategy):
+    def __init__(self):
+        self._trader = None
+
+    def set_trader(self, trader: "clienttrader.IClientTrader"):
+        self._trader = trader
+
+    @abc.abstractmethod
+    def get(self, control_id: int) -> List[Dict]:
+        """
+        :param control_id: grid 的 control id
+        :return: grid 数据
+        """
+        pass
+
+    def _get_grid(self, control_id: int):
+        grid = self._trader.main.child_window(
+            control_id=control_id, class_name="CVirtualGridCtrl"
+        )
+        return grid
+
+    def _set_foreground(self, grid=None):
+        try:
+            if grid is None:
+                grid = self._trader.main
+            if grid.has_style(win32defines.WS_MINIMIZE):  # if minimized
+                ShowWindow(grid.wrapper_object(), 9)  # restore window state
+            else:
+                SetForegroundWindow(grid.wrapper_object())  # bring to front
+        except:
+            pass
+
+
+class Copy(BaseStrategy):
+    """
+    通过复制 grid 内容到剪切板再读取来获取 grid 内容
+    """
+
+    _need_captcha_reg = True
+
+    def get(self, control_id: int) -> List[Dict]:
+        grid = self._get_grid(control_id)
+        self._set_foreground(grid)
+        grid.type_keys("^A^C", set_foreground=False)
+        content = self._get_clipboard_data()
+        return self._format_grid_data(content)
+
+    def _format_grid_data(self, data: str) -> List[Dict]:
+        try:
+            df = pd.read_csv(
+                io.StringIO(data),
+                delimiter="\t",
+                dtype=self._trader.config.GRID_DTYPE,
+                na_filter=False,
+            )
+            return df.to_dict("records")
+        except:
+            Copy._need_captcha_reg = True
+
+    def _get_clipboard_data(self) -> str:
+        if Copy._need_captcha_reg:
+            if (
+                    self._trader.app.top_window().window(class_name="Static", title_re="验证码").exists(timeout=1)
+            ):
+                file_path = "tmp.png"
+                count = 5
+                found = False
+                while count > 0:
+                    self._trader.app.top_window().window(
+                        control_id=0x965, class_name="Static"
+                    ).capture_as_image().save(
+                        file_path
+                    )  # 保存验证码
+
+                    captcha_num = captcha_recognize(file_path)  # 识别验证码
+                    logger.info("captcha result-->" + captcha_num)
+                    if len(captcha_num) == 4:
+                        self._trader.app.top_window().window(
+                            control_id=0x964, class_name="Edit"
+                        ).set_text(
+                            captcha_num
+                        )  # 模拟输入验证码
+
+                        self._trader.app.top_window().set_focus()
+                        pywinauto.keyboard.SendKeys("{ENTER}")  # 模拟发送enter，点击确定
+                        try:
+                            logger.info(
+                                self._trader.app.top_window()
+                                    .window(control_id=0x966, class_name="Static")
+                                    .window_text()
+                            )
+                        except Exception as ex:  # 窗体消失
+                            logger.exception(ex)
+                            found = True
+                            break
+                    count -= 1
+                    self._trader.wait(0.1)
+                    self._trader.app.top_window().window(
+                        control_id=0x965, class_name="Static"
+                    ).click()
+                if not found:
+                    self._trader.app.top_window().Button2.click()  # 点击取消
+            else:
+                Copy._need_captcha_reg = False
+        count = 5
+        while count > 0:
+            try:
+                return pywinauto.clipboard.GetData()
+            # pylint: disable=broad-except
+            except Exception as e:
+                count -= 1
+                logger.exception("%s, retry ......", e)
+
+
+class WMCopy(Copy):
+    """
+    通过复制 grid 内容到剪切板再读取来获取 grid 内容
+    """
+
+    def get(self, control_id: int) -> List[Dict]:
+        grid = self._get_grid(control_id)
+        grid.post_message(win32defines.WM_COMMAND, 0xE122, 0)
+        self._trader.wait(0.1)
+        content = self._get_clipboard_data()
+        return self._format_grid_data(content)
+
+
+class Xls(BaseStrategy):
+    """
+    通过将 Grid 另存为 xls 文件再读取的方式获取 grid 内容
+    """
+
+    def __init__(self, tmp_folder: Optional[str] = None):
+        """
+        :param tmp_folder: 用于保持临时文件的文件夹
+        """
+        super().__init__()
+        self.tmp_folder = tmp_folder
+
+    def get(self, control_id: int) -> List[Dict]:
+        grid = self._get_grid(control_id)
+
+        # ctrl+s 保存 grid 内容为 xls 文件
+        self._set_foreground(grid)  # setFocus buggy, instead of SetForegroundWindow
+        grid.type_keys("^s", set_foreground=False)
+        count = 10
+        while count > 0:
+            if self._trader.is_exist_pop_dialog():
+                break
+            self._trader.wait(0.2)
+            count -= 1
+
+        temp_path = tempfile.mktemp(suffix=".xls", dir=self.tmp_folder)
+        self._set_foreground(self._trader.app.top_window())
+
+        # alt+s保存，alt+y替换已存在的文件
+        self._trader.app.top_window().Edit1.set_edit_text(temp_path)
+        self._trader.wait(0.1)
+        self._trader.app.top_window().type_keys("%{s}%{y}", set_foreground=False)
+        # Wait until file save complete otherwise pandas can not find file
+        self._trader.wait(0.2)
+        if self._trader.is_exist_pop_dialog():
+            self._trader.app.top_window().Button2.click()
+            self._trader.wait(0.2)
+
+        return self._format_grid_data(temp_path)
+
+    def _format_grid_data(self, data: str) -> List[Dict]:
+        try:
+            with open(data, encoding="gbk", errors="replace") as f:
+                content = f.read()
+
+            df = pd.read_csv(
+                StringIO(content),
+                delimiter="\t",
+                dtype=self._trader.config.GRID_DTYPE,
+                na_filter=False,
+            )
+            return df.to_dict("records")
+
+        except Exception as ex:
+            print(f'打开文件{data}异常:{str(ex)}')
+            return []

vnpy/api/easytrader/ht_clienttrader.py

@@ -0,0 +1,78 @@
+# -*- coding: utf-8 -*-
+
+import pywinauto
+import pywinauto.clipboard
+
+from . import grid_strategies
+from . import clienttrader
+
+
+class HTClientTrader(clienttrader.BaseLoginClientTrader):
+    grid_strategy = grid_strategies.Xls
+
+    @property
+    def broker_type(self):
+        return "ht"
+
+    def login(self, user, password, exe_path, comm_password=None, **kwargs):
+        """
+        :param user: 用户名
+        :param password: 密码
+        :param exe_path: 客户端路径, 类似
+        :param comm_password:
+        :param kwargs:
+        :return:
+        """
+        self._editor_need_type_keys = False
+        if comm_password is None:
+            raise ValueError("华泰必须设置通讯密码")
+
+        try:
+            self._app = pywinauto.Application().connect(
+                path=self._run_exe_path(exe_path), timeout=1
+            )
+        # pylint: disable=broad-except
+        except Exception:
+            self._app = pywinauto.Application().start(exe_path)
+
+            # wait login window ready
+            while True:
+                try:
+                    self._app.top_window().Edit1.wait("ready")
+                    break
+                except RuntimeError:
+                    pass
+            self._app.top_window().Edit1.set_focus()
+            self._app.top_window().Edit1.type_keys(user)
+            self._app.top_window().Edit2.type_keys(password)
+
+            self._app.top_window().Edit3.type_keys(comm_password)
+
+            self._app.top_window().button0.click()
+
+            # detect login is success or not
+            self._app.top_window().wait_not("exists", 100)
+
+            self._app = pywinauto.Application().connect(
+                path=self._run_exe_path(exe_path), timeout=10
+            )
+        self._close_prompt_windows()
+        self._main = self._app.window(title="网上股票交易系统5.0")
+
+    @property
+    def balance(self):
+        self._switch_left_menus(self._config.BALANCE_MENU_PATH)
+
+        return self._get_balance_from_statics()
+
+    def _get_balance_from_statics(self):
+        result = {}
+        for key, control_id in self._config.BALANCE_CONTROL_ID_GROUP.items():
+            result[key] = float(
+                self._main.child_window(
+                    control_id=control_id, class_name="Static"
+                ).window_text()
+            )
+        return result
+
+

vnpy/api/easytrader/htzq_clienttrader.py

@@ -0,0 +1,61 @@
+# -*- coding: utf-8 -*-
+
+import pywinauto
+import pywinauto.clipboard
+
+from . import grid_strategies
+from . import clienttrader
+
+
+class HTZQClientTrader(clienttrader.BaseLoginClientTrader):
+    grid_strategy = grid_strategies.Xls
+
+    @property
+    def broker_type(self):
+        return "htzq"
+
+    def login(self, user, password, exe_path, comm_password=None, **kwargs):
+        """
+        :param user: 用户名
+        :param password: 密码
+        :param exe_path: 客户端路径, 类似
+        :param comm_password:
+        :param kwargs:
+        :return:
+        """
+        self._editor_need_type_keys = False
+        if comm_password is None:
+            raise ValueError("必须设置通讯密码")
+
+        try:
+            self._app = pywinauto.Application().connect(
+                path=self._run_exe_path(exe_path), timeout=1
+            )
+        # pylint: disable=broad-except
+        except Exception:
+            self._app = pywinauto.Application().start(exe_path)
+
+            # wait login window ready
+            while True:
+                try:
+                    self._app.top_window().Edit1.wait("ready")
+                    break
+                except RuntimeError:
+                    pass
+            self._app.top_window().Edit1.set_focus()
+            self._app.top_window().Edit1.type_keys(user)
+            self._app.top_window().Edit2.type_keys(password)
+
+            self._app.top_window().Edit3.type_keys(comm_password)
+
+            self._app.top_window().button0.click()
+
+            # detect login is success or not
+            self._app.top_window().wait_not("exists", 100)
+
+            self._app = pywinauto.Application().connect(
+                path=self._run_exe_path(exe_path), timeout=10
+            )
+        self._close_prompt_windows()
+        self._main = self._app.window(title="网上股票交易系统5.0")
+

vnpy/api/easytrader/joinquant_follower.py

@@ -0,0 +1,137 @@
+# -*- coding: utf-8 -*-
+from datetime import datetime
+from threading import Thread
+
+from . import exceptions
+from .follower import BaseFollower
+from .log import logger
+
+
+class JoinQuantFollower(BaseFollower):
+    LOGIN_PAGE = "https://www.joinquant.com"
+    LOGIN_API = "https://www.joinquant.com/user/login/doLogin?ajax=1"
+    TRANSACTION_API = (
+        "https://www.joinquant.com/algorithm/live/transactionDetail"
+    )
+    WEB_REFERER = "https://www.joinquant.com/user/login/index"
+    WEB_ORIGIN = "https://www.joinquant.com"
+
+    def create_login_params(self, user, password, **kwargs):
+        params = {
+            "CyLoginForm[username]": user,
+            "CyLoginForm[pwd]": password,
+            "ajax": 1,
+        }
+        return params
+
+    def check_login_success(self, rep):
+        set_cookie = rep.headers["set-cookie"]
+        if len(set_cookie) < 50:
+            raise exceptions.NotLoginError("登录失败，请检查用户名和密码")
+        self.s.headers.update({"cookie": set_cookie})
+
+    def follow(
+            self,
+            users,
+            strategies,
+            track_interval=1,
+            trade_cmd_expire_seconds=120,
+            cmd_cache=True,
+            entrust_prop="limit",
+            send_interval=0,
+    ):
+        """跟踪joinquant对应的模拟交易，支持多用户多策略
+        :param users: 支持easytrader的用户对象，支持使用 [] 指定多个用户
+        :param strategies: joinquant 的模拟交易地址，支持使用 [] 指定多个模拟交易,
+            地址类似 https://www.joinquant.com/algorithm/live/index?backtestId=xxx
+        :param track_interval: 轮训模拟交易时间，单位为秒
+        :param trade_cmd_expire_seconds: 交易指令过期时间, 单位为秒
+        :param cmd_cache: 是否读取存储历史执行过的指令，防止重启时重复执行已经交易过的指令
+        :param entrust_prop: 委托方式, 'limit' 为限价，'market' 为市价, 仅在银河实现
+        :param send_interval: 交易发送间隔， 默认为0s。调大可防止卖出买入时卖出单没有及时成交导致的买入金额不足
+        """
+        users = self.warp_list(users)
+        strategies = self.warp_list(strategies)
+
+        if cmd_cache:
+            self.load_expired_cmd_cache()
+
+        self.start_trader_thread(
+            users, trade_cmd_expire_seconds, entrust_prop, send_interval
+        )
+
+        workers = []
+        for strategy_url in strategies:
+            try:
+                strategy_id = self.extract_strategy_id(strategy_url)
+                strategy_name = self.extract_strategy_name(strategy_url)
+            except:
+                logger.error("抽取交易id和策略名失败, 无效的模拟交易url: %s", strategy_url)
+                raise
+            strategy_worker = Thread(
+                target=self.track_strategy_worker,
+                args=[strategy_id, strategy_name],
+                kwargs={"interval": track_interval},
+            )
+            strategy_worker.start()
+            workers.append(strategy_worker)
+            logger.info("开始跟踪策略: %s", strategy_name)
+        for worker in workers:
+            worker.join()
+
+    # @staticmethod
+    # def extract_strategy_id(strategy_url):
+    #     return re.search(r"(?<=backtestId=)\w+", strategy_url).group()
+    #
+    # def extract_strategy_name(self, strategy_url):
+    #     rep = self.s.get(strategy_url)
+    #     return self.re_find(
+    #         r'(?<=title="点击修改策略名称"\>).*(?=\</span)', rep.content.decode("utf8")
+    #     )
+    def extract_strategy_id(self, strategy_url):
+        rep = self.s.get(strategy_url)
+        return self.re_search(r'name="backtest\[backtestId\]"\s+?value="(.*?)">', rep.content.decode("utf8"))
+
+    def extract_strategy_name(self, strategy_url):
+        rep = self.s.get(strategy_url)
+        return self.re_search(r'class="backtest_name".+?>(.*?)</span>', rep.content.decode("utf8"))
+
+    def create_query_transaction_params(self, strategy):
+        today_str = datetime.today().strftime("%Y-%m-%d")
+        params = {"backtestId": strategy, "date": today_str, "ajax": 1}
+        return params
+
+    def extract_transactions(self, history):
+        transactions = history["data"]["transaction"]
+        return transactions
+
+    @staticmethod
+    def stock_shuffle_to_prefix(stock):
+        assert (
+                len(stock) == 11
+        ), "stock {} must like 123456.XSHG or 123456.XSHE".format(stock)
+        code = stock[:6]
+        if stock.find("XSHG") != -1:
+            return "sh" + code
+
+        if stock.find("XSHE") != -1:
+            return "sz" + code
+        raise TypeError("not valid stock code: {}".format(code))
+
+    def project_transactions(self, transactions, **kwargs):
+        for transaction in transactions:
+            transaction["amount"] = self.re_find(
+                r"\d+", transaction["amount"], dtype=int
+            )
+
+            time_str = "{} {}".format(transaction["date"], transaction["time"])
+            transaction["datetime"] = datetime.strptime(
+                time_str, "%Y-%m-%d %H:%M:%S"
+            )
+
+            stock = self.re_find(r"\d{6}\.\w{4}", transaction["stock"])
+            transaction["stock_code"] = self.stock_shuffle_to_prefix(stock)
+
+            transaction["action"] = (
+                "buy" if transaction["transaction"] == "买" else "sell"
+            )

vnpy/api/easytrader/log.py

@@ -0,0 +1,14 @@
+# -*- coding: utf-8 -*-
+import logging
+
+logger = logging.getLogger("easytrader")
+logger.setLevel(logging.INFO)
+logger.propagate = False
+
+fmt = logging.Formatter(
+    "%(asctime)s [%(levelname)s] %(filename)s %(lineno)s: %(message)s"
+)
+ch = logging.StreamHandler()
+
+ch.setFormatter(fmt)
+logger.handlers.append(ch)

vnpy/api/easytrader/pop_dialog_handler.py

@@ -0,0 +1,98 @@
+# coding:utf-8
+import re
+import time
+from typing import Optional
+
+from . import exceptions
+from .utils.perf import perf_clock
+from .utils.win_gui import SetForegroundWindow, ShowWindow, win32defines
+
+
+class PopDialogHandler:
+    def __init__(self, app):
+        self._app = app
+
+    @staticmethod
+    def _set_foreground(window):
+        if window.has_style(win32defines.WS_MINIMIZE):  # if minimized
+            ShowWindow(window.wrapper_object(), 9)  # restore window state
+        else:
+            SetForegroundWindow(window.wrapper_object())  # bring to front
+
+    @perf_clock
+    def handle(self, title):
+        if any(s in title for s in {"提示信息", "委托确认", "网上交易用户协议", "撤单确认"}):
+            self._submit_by_shortcut()
+            return None
+
+        if "提示" in title:
+            content = self._extract_content()
+            self._submit_by_click()
+            return {"message": content}
+
+        content = self._extract_content()
+        self._close()
+        return {"message": "unknown message: {}".format(content)}
+
+    def _extract_content(self):
+        return self._app.top_window().Static.window_text()
+
+    @staticmethod
+    def _extract_entrust_id(content):
+        return re.search(r"[\da-zA-Z]+", content).group()
+
+    def _submit_by_click(self):
+        try:
+            self._app.top_window()["确定"].click()
+        except Exception as ex:
+            self._app.Window_(best_match="Dialog", top_level_only=True).ChildWindow(
+                best_match="确定"
+            ).click()
+
+    def _submit_by_shortcut(self):
+        self._set_foreground(self._app.top_window())
+        self._app.top_window().type_keys("%Y", set_foreground=False)
+
+    def _close(self):
+        self._app.top_window().close()
+
+
+class TradePopDialogHandler(PopDialogHandler):
+    @perf_clock
+    def handle(self, title) -> Optional[dict]:
+        if title == "委托确认":
+            self._submit_by_shortcut()
+            return None
+
+        if title == "提示信息":
+            content = self._extract_content()
+            if "超出涨跌停" in content:
+                self._submit_by_shortcut()
+                return None
+
+            if "委托价格的小数价格应为" in content:
+                self._submit_by_shortcut()
+                return None
+
+            if "逆回购" in content:
+                self._submit_by_shortcut()
+                return None
+
+            if "正回购" in content:
+                self._submit_by_shortcut()
+                return None
+
+            return None
+
+        if title == "提示":
+            content = self._extract_content()
+            if "成功" in content:
+                entrust_no = self._extract_entrust_id(content)
+                self._submit_by_click()
+                return {"entrust_no": entrust_no}
+
+            self._submit_by_click()
+            time.sleep(0.05)
+            raise exceptions.TradeError(content)
+        self._close()
+        return None

vnpy/api/easytrader/refresh_strategies.py

@@ -0,0 +1,59 @@
+# -*- coding: utf-8 -*-
+import abc
+import io
+import tempfile
+from io import StringIO
+from typing import TYPE_CHECKING, Dict, List, Optional
+
+import pandas as pd
+import pywinauto.keyboard
+import pywinauto
+import pywinauto.clipboard
+
+from .log import logger
+from .utils.captcha import captcha_recognize
+from .utils.win_gui import SetForegroundWindow, ShowWindow, win32defines
+
+if TYPE_CHECKING:
+    # pylint: disable=unused-import
+    from easytrader import clienttrader
+
+
+class IRefreshStrategy(abc.ABC):
+    _trader: "clienttrader.ClientTrader"
+
+    @abc.abstractmethod
+    def refresh(self):
+        """
+        刷新数据
+        """
+        pass
+
+    def set_trader(self, trader: "clienttrader.ClientTrader"):
+        self._trader = trader
+
+
+# noinspection PyProtectedMember
+class Switch(IRefreshStrategy):
+    """通过切换菜单栏刷新"""
+
+    def __init__(self, sleep: float = 0.1):
+        self.sleep = sleep
+
+    def refresh(self):
+        self._trader._switch_left_menus_by_shortcut("{F5}", sleep=self.sleep)
+
+
+# noinspection PyProtectedMember
+class Toolbar(IRefreshStrategy):
+    """通过点击工具栏刷新按钮刷新"""
+
+    def __init__(self, refresh_btn_index: int = 4):
+        """
+        :param refresh_btn_index:
+            交易客户端工具栏中“刷新”排序，默认为第4个，请根据自己实际调整
+        """
+        self.refresh_btn_index = refresh_btn_index
+
+    def refresh(self):
+        self._trader._toolbar.button(self.refresh_btn_index - 1).click()

vnpy/api/easytrader/remoteclient.py

@@ -0,0 +1,108 @@
+# -*- coding: utf-8 -*-
+import requests
+
+from .utils.misc import file2dict
+
+
+def use(broker, host, port=1430, **kwargs):
+    return RemoteClient(broker, host, port)
+
+
+class RemoteClient:
+    def __init__(self, broker, host, port=1430, **kwargs):
+        self._s = requests.session()
+        self._api = "http://{}:{}".format(host, port)
+        self._broker = broker
+
+    def prepare(
+        self,
+        config_path=None,
+        user=None,
+        password=None,
+        exe_path=None,
+        comm_password=None,
+        **kwargs
+    ):
+        """
+        登陆客户端
+        :param config_path: 登陆配置文件，跟参数登陆方式二选一
+        :param user: 账号
+        :param password: 明文密码
+        :param exe_path: 客户端路径类似 r'C:\\htzqzyb2\\xiadan.exe',
+            默认 r'C:\\htzqzyb2\\xiadan.exe'
+        :param comm_password: 通讯密码
+        :return:
+        """
+        params = locals().copy()
+        params.pop("self")
+
+        if config_path is not None:
+            account = file2dict(config_path)
+            params["user"] = account["user"]
+            params["password"] = account["password"]
+
+        params["broker"] = self._broker
+
+        response = self._s.post(self._api + "/prepare", json=params)
+        if response.status_code >= 300:
+            raise Exception(response.json()["error"])
+        return response.json()
+
+    @property
+    def balance(self):
+        return self.common_get("balance")
+
+    @property
+    def position(self):
+        return self.common_get("position")
+
+    @property
+    def today_entrusts(self):
+        return self.common_get("today_entrusts")
+
+    @property
+    def today_trades(self):
+        return self.common_get("today_trades")
+
+    @property
+    def cancel_entrusts(self):
+        return self.common_get("cancel_entrusts")
+
+    def auto_ipo(self):
+        return self.common_get("auto_ipo")
+
+    def exit(self):
+        return self.common_get("exit")
+
+    def common_get(self, endpoint):
+        response = self._s.get(self._api + "/" + endpoint)
+        if response.status_code >= 300:
+            print(Exception(response.json()["error"]))
+        return response.json()
+
+    def buy(self, security, price, amount, **kwargs):
+        params = locals().copy()
+        params.pop("self")
+
+        response = self._s.post(self._api + "/buy", json=params)
+        if response.status_code >= 300:
+            raise Exception(response.json()["error"])
+        return response.json()
+
+    def sell(self, security, price, amount, **kwargs):
+        params = locals().copy()
+        params.pop("self")
+
+        response = self._s.post(self._api + "/sell", json=params)
+        if response.status_code >= 300:
+            raise Exception(response.json()["error"])
+        return response.json()
+
+    def cancel_entrust(self, entrust_no):
+        params = locals().copy()
+        params.pop("self")
+
+        response = self._s.post(self._api + "/cancel_entrust", json=params)
+        if response.status_code >= 300:
+            raise Exception(response.json()["error"])
+        return response.json()

vnpy/api/easytrader/requirements.txt

@@ -0,0 +1,31 @@
+-i http://mirrors.aliyun.com/pypi/simple/
+--trusted-host mirrors.aliyun.com
+beautifulsoup4
+bs4
+certifi
+chardet
+click
+cssselect
+dill
+easyutils
+flask
+idna
+itsdangerous
+jinja2
+lxml
+markupsafe
+numpy
+pandas
+pillow
+pyperclip
+pyquery
+pytesseract
+python-dateutil
+python-xlib
+pytz
+pywinauto==0.6.6
+requests
+six
+urllib3
+werkzeug
+

vnpy/api/easytrader/ricequant_follower.py

@@ -0,0 +1,119 @@
+# -*- coding: utf-8 -*-
+
+from datetime import datetime
+from threading import Thread
+
+from .follower import BaseFollower
+from .log import logger
+
+
+class RiceQuantFollower(BaseFollower):
+    def __init__(self):
+        super().__init__()
+        self.client = None
+
+    def login(self, user=None, password=None, **kwargs):
+        from rqopen_client import RQOpenClient
+
+        self.client = RQOpenClient(user, password, logger=logger)
+
+    def follow(
+        self,
+        users,
+        run_id,
+        track_interval=1,
+        trade_cmd_expire_seconds=120,
+        cmd_cache=True,
+        entrust_prop="limit",
+        send_interval=0,
+    ):
+        """跟踪ricequant对应的模拟交易，支持多用户多策略
+        :param users: 支持easytrader的用户对象，支持使用 [] 指定多个用户
+        :param run_id: ricequant 的模拟交易ID，支持使用 [] 指定多个模拟交易
+        :param track_interval: 轮训模拟交易时间，单位为秒
+        :param trade_cmd_expire_seconds: 交易指令过期时间, 单位为秒
+        :param cmd_cache: 是否读取存储历史执行过的指令，防止重启时重复执行已经交易过的指令
+        :param entrust_prop: 委托方式, 'limit' 为限价，'market' 为市价, 仅在银河实现
+        :param send_interval: 交易发送间隔， 默认为0s。调大可防止卖出买入时卖出单没有及时成交导致的买入金额不足
+        """
+        users = self.warp_list(users)
+        run_ids = self.warp_list(run_id)
+
+        if cmd_cache:
+            self.load_expired_cmd_cache()
+
+        self.start_trader_thread(
+            users, trade_cmd_expire_seconds, entrust_prop, send_interval
+        )
+
+        workers = []
+        for id_ in run_ids:
+            strategy_name = self.extract_strategy_name(id_)
+            strategy_worker = Thread(
+                target=self.track_strategy_worker,
+                args=[id_, strategy_name],
+                kwargs={"interval": track_interval},
+            )
+            strategy_worker.start()
+            workers.append(strategy_worker)
+            logger.info("开始跟踪策略: %s", strategy_name)
+        for worker in workers:
+            worker.join()
+
+    def extract_strategy_name(self, run_id):
+        ret_json = self.client.get_positions(run_id)
+        if ret_json["code"] != 200:
+            logger.error(
+                "fetch data from run_id %s fail, msg %s",
+                run_id,
+                ret_json["msg"],
+            )
+            raise RuntimeError(ret_json["msg"])
+        return ret_json["resp"]["name"]
+
+    def extract_day_trades(self, run_id):
+        ret_json = self.client.get_day_trades(run_id)
+        if ret_json["code"] != 200:
+            logger.error(
+                "fetch day trades from run_id %s fail, msg %s",
+                run_id,
+                ret_json["msg"],
+            )
+            raise RuntimeError(ret_json["msg"])
+        return ret_json["resp"]["trades"]
+
+    def query_strategy_transaction(self, strategy, **kwargs):
+        transactions = self.extract_day_trades(strategy)
+        transactions = self.project_transactions(transactions, **kwargs)
+        return self.order_transactions_sell_first(transactions)
+
+    @staticmethod
+    def stock_shuffle_to_prefix(stock):
+        assert (
+            len(stock) == 11
+        ), "stock {} must like 123456.XSHG or 123456.XSHE".format(stock)
+        code = stock[:6]
+        if stock.find("XSHG") != -1:
+            return "sh" + code
+        if stock.find("XSHE") != -1:
+            return "sz" + code
+        raise TypeError("not valid stock code: {}".format(code))
+
+    def project_transactions(self, transactions, **kwargs):
+        new_transactions = []
+        for transaction in transactions:
+            new_transaction = {}
+            new_transaction["price"] = transaction["price"]
+            new_transaction["amount"] = int(abs(transaction["quantity"]))
+            new_transaction["datetime"] = datetime.strptime(
+                transaction["time"], "%Y-%m-%d %H:%M:%S"
+            )
+            new_transaction["stock_code"] = self.stock_shuffle_to_prefix(
+                transaction["order_book_id"]
+            )
+            new_transaction["action"] = (
+                "buy" if transaction["quantity"] > 0 else "sell"
+            )
+            new_transactions.append(new_transaction)
+
+        return new_transactions

vnpy/api/easytrader/server.py

@@ -0,0 +1,137 @@
+import functools
+
+from flask import Flask, jsonify, request
+
+from . import api
+from .log import logger
+
+app = Flask(__name__)
+
+global_store = {}
+
+
+def error_handle(func):
+    @functools.wraps(func)
+    def wrapper(*args, **kwargs):
+        try:
+            return func(*args, **kwargs)
+        # pylint: disable=broad-except
+        except Exception as e:
+            logger.exception("server error")
+            message = "{}: {}".format(e.__class__, e)
+            return jsonify({"error": message}), 400
+
+    return wrapper
+
+
+@app.route("/prepare", methods=["POST"])
+@error_handle
+def post_prepare():
+    json_data = request.get_json(force=True)
+
+    user = api.use(json_data.pop("broker"))
+    user.prepare(**json_data)
+
+    global_store["user"] = user
+    return jsonify({"msg": "login success"}), 201
+
+
+@app.route("/balance", methods=["GET"])
+@error_handle
+def get_balance():
+    print('get balance')
+    user = global_store["user"]
+    balance = user.balance
+
+    return jsonify(balance), 200
+
+
+@app.route("/position", methods=["GET"])
+@error_handle
+def get_position():
+    print('get position')
+    user = global_store["user"]
+    position = user.position
+
+    return jsonify(position), 200
+
+
+@app.route("/auto_ipo", methods=["GET"])
+@error_handle
+def get_auto_ipo():
+    user = global_store["user"]
+    res = user.auto_ipo()
+
+    return jsonify(res), 200
+
+
+@app.route("/today_entrusts", methods=["GET"])
+@error_handle
+def get_today_entrusts():
+    user = global_store["user"]
+    today_entrusts = user.today_entrusts
+
+    return jsonify(today_entrusts), 200
+
+
+@app.route("/today_trades", methods=["GET"])
+@error_handle
+def get_today_trades():
+    user = global_store["user"]
+    today_trades = user.today_trades
+
+    return jsonify(today_trades), 200
+
+
+@app.route("/cancel_entrusts", methods=["GET"])
+@error_handle
+def get_cancel_entrusts():
+    user = global_store["user"]
+    cancel_entrusts = user.cancel_entrusts
+
+    return jsonify(cancel_entrusts), 200
+
+
+@app.route("/buy", methods=["POST"])
+@error_handle
+def post_buy():
+    json_data = request.get_json(force=True)
+    user = global_store["user"]
+    res = user.buy(**json_data)
+
+    return jsonify(res), 201
+
+
+@app.route("/sell", methods=["POST"])
+@error_handle
+def post_sell():
+    json_data = request.get_json(force=True)
+
+    user = global_store["user"]
+    res = user.sell(**json_data)
+
+    return jsonify(res), 201
+
+
+@app.route("/cancel_entrust", methods=["POST"])
+@error_handle
+def post_cancel_entrust():
+    json_data = request.get_json(force=True)
+
+    user = global_store["user"]
+    res = user.cancel_entrust(**json_data)
+
+    return jsonify(res), 201
+
+
+@app.route("/exit", methods=["GET"])
+@error_handle
+def get_exit():
+    user = global_store["user"]
+    user.exit()
+
+    return jsonify({"msg": "exit success"}), 200
+
+
+def run(port=1430):
+    app.run(host="0.0.0.0", port=port)

vnpy/api/easytrader/utils/__init__.py

@@ -0,0 +1 @@
+

vnpy/api/easytrader/utils/captcha.py

@@ -0,0 +1,103 @@
+import re
+
+import requests
+from PIL import Image
+
+from vnpy.api.easytrader import exceptions
+
+
+def captcha_recognize(img_path):
+    import pytesseract
+
+    im = Image.open(img_path).convert("L")
+    # 1. threshold the image
+    threshold = 200
+    table = []
+    for i in range(256):
+        if i < threshold:
+            table.append(0)
+        else:
+            table.append(1)
+
+    out = im.point(table, "1")
+    # 2. recognize with tesseract
+    num = pytesseract.image_to_string(out)
+    return num
+
+
+def recognize_verify_code(image_path, broker="ht"):
+    """识别验证码，返回识别后的字符串，使用 tesseract 实现
+    :param image_path: 图片路径
+    :param broker: 券商 ['ht', 'yjb', 'gf', 'yh']
+    :return recognized: verify code string"""
+
+    if broker == "gf":
+        return detect_gf_result(image_path)
+    if broker in ["yh_client", "gj_client"]:
+        return detect_yh_client_result(image_path)
+    # 调用 tesseract 识别
+    return default_verify_code_detect(image_path)
+
+
+def detect_yh_client_result(image_path):
+    """封装了tesseract的识别，部署在阿里云上，
+    服务端源码地址为： https://github.com/shidenggui/yh_verify_code_docker"""
+    api = "http://yh.ez.shidenggui.com:5000/yh_client"
+    with open(image_path, "rb") as f:
+        rep = requests.post(api, files={"image": f})
+    if rep.status_code != 201:
+        error = rep.json()["message"]
+        raise exceptions.TradeError("request {} error: {}".format(api, error))
+    return rep.json()["result"]
+
+
+def input_verify_code_manual(image_path):
+    from PIL import Image
+
+    image = Image.open(image_path)
+    image.show()
+    code = input(
+        "image path: {}, input verify code answer:".format(image_path)
+    )
+    return code
+
+
+def default_verify_code_detect(image_path):
+    from PIL import Image
+
+    img = Image.open(image_path)
+    return invoke_tesseract_to_recognize(img)
+
+
+def detect_gf_result(image_path):
+    from PIL import ImageFilter, Image
+
+    img = Image.open(image_path)
+    if hasattr(img, "width"):
+        width, height = img.width, img.height
+    else:
+        width, height = img.size
+    for x in range(width):
+        for y in range(height):
+            if img.getpixel((x, y)) < (100, 100, 100):
+                img.putpixel((x, y), (256, 256, 256))
+    gray = img.convert("L")
+    two = gray.point(lambda p: 0 if 68 < p < 90 else 256)
+    min_res = two.filter(ImageFilter.MinFilter)
+    med_res = min_res.filter(ImageFilter.MedianFilter)
+    for _ in range(2):
+        med_res = med_res.filter(ImageFilter.MedianFilter)
+    return invoke_tesseract_to_recognize(med_res)
+
+
+def invoke_tesseract_to_recognize(img):
+    import pytesseract
+
+    try:
+        res = pytesseract.image_to_string(img)
+    except FileNotFoundError:
+        raise Exception(
+            "tesseract 未安装，请至 https://github.com/tesseract-ocr/tesseract/wiki 查看安装教程"
+        )
+    valid_chars = re.findall("[0-9a-z]", res, re.IGNORECASE)
+    return "".join(valid_chars)

vnpy/api/easytrader/utils/misc.py

@@ -0,0 +1,31 @@
+# coding:utf-8
+import json
+
+
+def parse_cookies_str(cookies):
+    """
+    parse cookies str to dict
+    :param cookies: cookies str
+    :type cookies: str
+    :return: cookie dict
+    :rtype: dict
+    """
+    cookie_dict = {}
+    for record in cookies.split(";"):
+        key, value = record.strip().split("=", 1)
+        cookie_dict[key] = value
+    return cookie_dict
+
+
+def file2dict(path):
+    with open(path, encoding="utf-8") as f:
+        return json.load(f)
+
+
+def grep_comma(num_str):
+    return num_str.replace(",", "")
+
+
+def str2num(num_str, convert_type="float"):
+    num = float(grep_comma(num_str))
+    return num if convert_type == "float" else int(num)

vnpy/api/easytrader/utils/perf.py

@@ -0,0 +1,46 @@
+# coding:utf-8
+import functools
+import logging
+import timeit
+
+from vnpy.api.easytrader import logger
+
+try:
+    from time import process_time
+except:
+    from time import clock as process_time
+
+
+def perf_clock(f):
+    @functools.wraps(f)
+    def wrapper(*args, **kwargs):
+        if not logger.isEnabledFor(logging.DEBUG):
+            return f(*args, **kwargs)
+
+        ts = timeit.default_timer()
+        cs = process_time()
+        ex = None
+        result = None
+
+        try:
+            result = f(*args, **kwargs)
+        except Exception as ex1:
+            ex = ex1
+
+        te = timeit.default_timer()
+        ce = process_time()
+        logger.debug(
+            "%r consume %2.4f sec, cpu %2.4f sec. args %s, extra args %s"
+            % (
+                f.__name__,
+                te - ts,
+                ce - cs,
+                args[1:],
+                kwargs,
+            )
+        )
+        if ex is not None:
+            raise ex
+        return result
+
+    return wrapper

vnpy/api/easytrader/utils/stock.py

@@ -0,0 +1,91 @@
+# coding:utf-8
+import datetime
+import json
+import random
+
+import requests
+
+
+def get_stock_type(stock_code):
+    """判断股票ID对应的证券市场
+    匹配规则
+    ['50', '51', '60', '90', '110'] 为 sh
+    ['00', '13', '18', '15', '16', '18', '20', '30', '39', '115'] 为 sz
+    ['5', '6', '9'] 开头的为 sh， 其余为 sz
+    :param stock_code:股票ID, 若以 'sz', 'sh' 开头直接返回对应类型，否则使用内置规则判断
+    :return 'sh' or 'sz'"""
+    stock_code = str(stock_code)
+    if stock_code.startswith(("sh", "sz")):
+        return stock_code[:2]
+    if stock_code.startswith(
+        ("50", "51", "60", "73", "90", "110", "113", "132", "204", "78")
+    ):
+        return "sh"
+    if stock_code.startswith(
+        ("00", "13", "18", "15", "16", "18", "20", "30", "39", "115", "1318")
+    ):
+        return "sz"
+    if stock_code.startswith(("5", "6", "9")):
+        return "sh"
+    return "sz"
+
+
+def get_30_date():
+    """
+    获得用于查询的默认日期, 今天的日期, 以及30天前的日期
+    用于查询的日期格式通常为 20160211
+    :return:
+    """
+    now = datetime.datetime.now()
+    end_date = now.date()
+    start_date = end_date - datetime.timedelta(days=30)
+    return start_date.strftime("%Y%m%d"), end_date.strftime("%Y%m%d")
+
+
+def get_today_ipo_data():
+    """
+    查询今天可以申购的新股信息
+    :return: 今日可申购新股列表 apply_code申购代码 price发行价格
+    """
+
+    agent = "Mozilla/5.0 (Macintosh; Intel Mac OS X 10.11; rv:43.0) Gecko/20100101 Firefox/43.0"
+    send_headers = {
+        "Host": "xueqiu.com",
+        "User-Agent": agent,
+        "Accept": "application/json, text/javascript, */*; q=0.01",
+        "Accept-Language": "zh-CN,zh;q=0.8,en-US;q=0.5,en;q=0.3",
+        "Accept-Encoding": "deflate",
+        "Cache-Control": "no-cache",
+        "X-Requested-With": "XMLHttpRequest",
+        "Referer": "https://xueqiu.com/hq",
+        "Connection": "keep-alive",
+    }
+
+    timestamp = random.randint(1000000000000, 9999999999999)
+    home_page_url = "https://xueqiu.com"
+    ipo_data_url = (
+        "https://xueqiu.com/proipo/query.json?column=symbol,name,onl_subcode,onl_subbegdate,actissqty,onl"
+        "_actissqty,onl_submaxqty,iss_price,onl_lotwiner_stpub_date,onl_lotwinrt,onl_lotwin_amount,stock_"
+        "income&orderBy=onl_subbegdate&order=desc&stockType=&page=1&size=30&_=%s"
+        % (str(timestamp))
+    )
+
+    session = requests.session()
+    session.get(home_page_url, headers=send_headers)  # 产生cookies
+    ipo_response = session.post(ipo_data_url, headers=send_headers)
+
+    json_data = json.loads(ipo_response.text)
+    today_ipo = []
+
+    for line in json_data["data"]:
+        if datetime.datetime.now().strftime("%a %b %d") == line[3][:10]:
+            today_ipo.append(
+                {
+                    "stock_code": line[0],
+                    "stock_name": line[1],
+                    "apply_code": line[2],
+                    "price": line[7],
+                }
+            )
+
+    return today_ipo

vnpy/api/easytrader/utils/win_gui.py

@@ -0,0 +1,3 @@
+# coding:utf-8
+from pywinauto import win32defines
+from pywinauto.win32functions import SetForegroundWindow, ShowWindow

vnpy/api/easytrader/webtrader.py

@@ -0,0 +1,245 @@
+# -*- coding: utf-8 -*-
+import abc
+import logging
+import os
+import re
+import time
+from threading import Thread
+
+import requests
+import requests.exceptions
+
+from . import exceptions
+from .log import logger
+from .utils.misc import file2dict, str2num
+from .utils.stock import get_30_date
+
+
+# noinspection PyIncorrectDocstring
+class WebTrader(metaclass=abc.ABCMeta):
+    global_config_path = os.path.dirname(__file__) + "/config/global.json"
+    config_path = ""
+
+    def __init__(self, debug=True):
+        self.__read_config()
+        self.trade_prefix = self.config["prefix"]
+        self.account_config = ""
+        self.heart_active = True
+        self.heart_thread = Thread(target=self.send_heartbeat)
+        self.heart_thread.setDaemon(True)
+
+        self.log_level = logging.DEBUG if debug else logging.INFO
+
+    def read_config(self, path):
+        try:
+            self.account_config = file2dict(path)
+        except ValueError:
+            logger.error("配置文件格式有误，请勿使用记事本编辑，推荐 sublime text")
+        for value in self.account_config:
+            if isinstance(value, int):
+                logger.warning("配置文件的值最好使用双引号包裹，使用字符串，否则可能导致不可知问题")
+
+    def prepare(self, config_file=None, user=None, password=None, **kwargs):
+        """登录的统一接口
+        :param config_file 登录数据文件，若无则选择参数登录模式
+        :param user: 各家券商的账号
+        :param password: 密码, 券商为加密后的密码
+        :param cookies: [雪球登录需要]雪球登录需要设置对应的 cookies
+        :param portfolio_code: [雪球登录需要]组合代码
+        :param portfolio_market: [雪球登录需要]交易市场，
+            可选['cn', 'us', 'hk'] 默认 'cn'
+        """
+        if config_file is not None:
+            self.read_config(config_file)
+        else:
+            self._prepare_account(user, password, **kwargs)
+        self.autologin()
+
+    def _prepare_account(self, user, password, **kwargs):
+        """映射用户名密码到对应的字段"""
+        raise Exception("支持参数登录需要实现此方法")
+
+    def autologin(self, limit=10):
+        """实现自动登录
+        :param limit: 登录次数限制
+        """
+        for _ in range(limit):
+            if self.login():
+                break
+        else:
+            raise exceptions.NotLoginError(
+                "登录失败次数过多, 请检查密码是否正确 / 券商服务器是否处于维护中 / 网络连接是否正常"
+            )
+        self.keepalive()
+
+    def login(self):
+        pass
+
+    def keepalive(self):
+        """启动保持在线的进程 """
+        if self.heart_thread.is_alive():
+            self.heart_active = True
+        else:
+            self.heart_thread.start()
+
+    def send_heartbeat(self):
+        """每隔10秒查询指定接口保持 token 的有效性"""
+        while True:
+            if self.heart_active:
+                self.check_login()
+            else:
+                time.sleep(1)
+
+    def check_login(self, sleepy=30):
+        logger.setLevel(logging.ERROR)
+        try:
+            response = self.heartbeat()
+            self.check_account_live(response)
+        except requests.exceptions.ConnectionError:
+            pass
+        except requests.exceptions.RequestException as e:
+            logger.setLevel(self.log_level)
+            logger.error("心跳线程发现账户出现错误: %s %s, 尝试重新登陆", e.__class__, e)
+            self.autologin()
+        finally:
+            logger.setLevel(self.log_level)
+        time.sleep(sleepy)
+
+    def heartbeat(self):
+        return self.balance
+
+    def check_account_live(self, response):
+        pass
+
+    def exit(self):
+        """结束保持 token 在线的进程"""
+        self.heart_active = False
+
+    def __read_config(self):
+        """读取 config"""
+        self.config = file2dict(self.config_path)
+        self.global_config = file2dict(self.global_config_path)
+        self.config.update(self.global_config)
+
+    @property
+    def balance(self):
+        return self.get_balance()
+
+    def get_balance(self):
+        """获取账户资金状况"""
+        return self.do(self.config["balance"])
+
+    @property
+    def position(self):
+        return self.get_position()
+
+    def get_position(self):
+        """获取持仓"""
+        return self.do(self.config["position"])
+
+    @property
+    def entrust(self):
+        return self.get_entrust()
+
+    def get_entrust(self):
+        """获取当日委托列表"""
+        return self.do(self.config["entrust"])
+
+    @property
+    def current_deal(self):
+        return self.get_current_deal()
+
+    def get_current_deal(self):
+        """获取当日委托列表"""
+        # return self.do(self.config['current_deal'])
+        logger.warning("目前仅在 佣金宝/银河子类 中实现, 其余券商需要补充")
+
+    @property
+    def exchangebill(self):
+        """
+        默认提供最近30天的交割单, 通常只能返回查询日期内最新的 90 天数据。
+        :return:
+        """
+        # TODO 目前仅在 华泰子类 中实现
+        start_date, end_date = get_30_date()
+        return self.get_exchangebill(start_date, end_date)
+
+    def get_exchangebill(self, start_date, end_date):
+        """
+        查询指定日期内的交割单
+        :param start_date: 20160211
+        :param end_date: 20160211
+        :return:
+        """
+        logger.warning("目前仅在 华泰子类 中实现, 其余券商需要补充")
+
+    def get_ipo_limit(self, stock_code):
+        """
+        查询新股申购额度申购上限
+        :param stock_code: 申购代码 ID
+        :return:
+        """
+        logger.warning("目前仅在 佣金宝子类 中实现, 其余券商需要补充")
+
+    def do(self, params):
+        """发起对 api 的请求并过滤返回结果
+        :param params: 交易所需的动态参数"""
+        request_params = self.create_basic_params()
+        request_params.update(params)
+        response_data = self.request(request_params)
+        try:
+            format_json_data = self.format_response_data(response_data)
+        # pylint: disable=broad-except
+        except Exception:
+            # Caused by server force logged out
+            return None
+        return_data = self.fix_error_data(format_json_data)
+        try:
+            self.check_login_status(return_data)
+        except exceptions.NotLoginError:
+            self.autologin()
+        return return_data
+
+    def create_basic_params(self) -> dict:
+        """生成基本的参数"""
+        return {}
+
+    def request(self, params) -> dict:
+        """请求并获取 JSON 数据
+        :param params: Get 参数"""
+        return {}
+
+    def format_response_data(self, data):
+        """格式化返回的 json 数据
+        :param data: 请求返回的数据 """
+        return data
+
+    def fix_error_data(self, data):
+        """若是返回错误移除外层的列表
+        :param data: 需要判断是否包含错误信息的数据"""
+        return data
+
+    def format_response_data_type(self, response_data):
+        """格式化返回的值为正确的类型
+        :param response_data: 返回的数据
+        """
+        if isinstance(response_data, list) and not isinstance(
+            response_data, str
+        ):
+            return response_data
+
+        int_match_str = "|".join(self.config["response_format"]["int"])
+        float_match_str = "|".join(self.config["response_format"]["float"])
+        for item in response_data:
+            for key in item:
+                try:
+                    if re.search(int_match_str, key) is not None:
+                        item[key] = str2num(item[key], "int")
+                    elif re.search(float_match_str, key) is not None:
+                        item[key] = str2num(item[key], "float")
+                except ValueError:
+                    continue
+        return response_data
+
+    def check_login_status(self, return_data):
+        pass

vnpy/api/easytrader/wk_clienttrader.py

@@ -0,0 +1,56 @@
+# -*- coding: utf-8 -*-
+import pywinauto
+
+from .ht_clienttrader import HTClientTrader
+
+
+class WKClientTrader(HTClientTrader):
+    @property
+    def broker_type(self):
+        return "wk"
+
+    def login(self, user, password, exe_path, comm_password=None, **kwargs):
+        """
+                :param user: 用户名
+                :param password: 密码
+                :param exe_path: 客户端路径, 类似
+                :param comm_password:
+                :param kwargs:
+                :return:
+                """
+        self._editor_need_type_keys = False
+        if comm_password is None:
+            raise ValueError("五矿必须设置通讯密码")
+
+        try:
+            self._app = pywinauto.Application().connect(
+                path=self._run_exe_path(exe_path), timeout=1
+            )
+        # pylint: disable=broad-except
+        except Exception:
+            self._app = pywinauto.Application().start(exe_path)
+
+            # wait login window ready
+            while True:
+                try:
+                    self._app.top_window().Edit1.wait("ready")
+                    break
+                except RuntimeError:
+                    pass
+
+            self._app.top_window().Edit1.set_focus()
+            self._app.top_window().Edit1.set_edit_text(user)
+            self._app.top_window().Edit2.set_edit_text(password)
+
+            self._app.top_window().Edit3.set_edit_text(comm_password)
+
+            self._app.top_window().Button1.click()
+
+            # detect login is success or not
+            self._app.top_window().wait_not("exists", 100)
+
+            self._app = pywinauto.Application().connect(
+                path=self._run_exe_path(exe_path), timeout=10
+            )
+        self._close_prompt_windows()
+        self._main = self._app.window(title="网上股票交易系统5.0")

vnpy/api/easytrader/xq_follower.py

@@ -0,0 +1,249 @@
+# -*- coding: utf-8 -*-
+from __future__ import division, print_function, unicode_literals
+
+import json
+import re
+from datetime import datetime
+from numbers import Number
+from threading import Thread
+
+from .follower import BaseFollower
+from .log import logger
+from .utils.misc import parse_cookies_str
+
+
+class XueQiuFollower(BaseFollower):
+    LOGIN_PAGE = "https://www.xueqiu.com"
+    LOGIN_API = "https://xueqiu.com/snowman/login"
+    TRANSACTION_API = "https://xueqiu.com/cubes/rebalancing/history.json"
+    PORTFOLIO_URL = "https://xueqiu.com/p/"
+    WEB_REFERER = "https://www.xueqiu.com"
+
+    def __init__(self):
+        super().__init__()
+        self._adjust_sell = None
+        self._users = None
+
+    def login(self, user=None, password=None, **kwargs):
+        """
+        雪球登陆， 需要设置 cookies
+        :param cookies: 雪球登陆需要设置 cookies， 具体见
+            https://smalltool.github.io/2016/08/02/cookie/
+        :return:
+        """
+        cookies = kwargs.get("cookies")
+        if cookies is None:
+            raise TypeError(
+                "雪球登陆需要设置 cookies， 具体见" "https://smalltool.github.io/2016/08/02/cookie/"
+            )
+        headers = self._generate_headers()
+        self.s.headers.update(headers)
+
+        self.s.get(self.LOGIN_PAGE)
+
+        cookie_dict = parse_cookies_str(cookies)
+        self.s.cookies.update(cookie_dict)
+
+        logger.info("登录成功")
+
+    def follow(  # type: ignore
+        self,
+        users,
+        strategies,
+        total_assets=10000,
+        initial_assets=None,
+        adjust_sell=False,
+        track_interval=10,
+        trade_cmd_expire_seconds=120,
+        cmd_cache=True,
+        slippage: float = 0.0,
+    ):
+        """跟踪 joinquant 对应的模拟交易，支持多用户多策略
+        :param users: 支持 easytrader 的用户对象，支持使用 [] 指定多个用户
+        :param strategies: 雪球组合名, 类似 ZH123450
+        :param total_assets: 雪球组合对应的总资产， 格式 [组合1对应资金, 组合2对应资金]
+            若 strategies=['ZH000001', 'ZH000002'],
+                设置 total_assets=[10000, 10000], 则表明每个组合对应的资产为 1w 元
+            假设组合 ZH000001 加仓 价格为 p 股票 A 10%,
+                则对应的交易指令为 买入 股票 A 价格 P 股数 1w * 10% / p 并按 100 取整
+        :param adjust_sell: 是否根据用户的实际持仓数调整卖出股票数量，
+            当卖出股票数大于实际持仓数时，调整为实际持仓数。目前仅在银河客户端测试通过。
+            当 users 为多个时，根据第一个 user 的持仓数决定
+        :type adjust_sell: bool
+        :param initial_assets: 雪球组合对应的初始资产,
+            格式 [ 组合1对应资金, 组合2对应资金 ]
+            总资产由 初始资产 × 组合净值 算得， total_assets 会覆盖此参数
+        :param track_interval: 轮训模拟交易时间，单位为秒
+        :param trade_cmd_expire_seconds: 交易指令过期时间, 单位为秒
+        :param cmd_cache: 是否读取存储历史执行过的指令，防止重启时重复执行已经交易过的指令
+        :param slippage: 滑点，0.0 表示无滑点, 0.05 表示滑点为 5%
+        """
+        super().follow(
+            users=users,
+            strategies=strategies,
+            track_interval=track_interval,
+            trade_cmd_expire_seconds=trade_cmd_expire_seconds,
+            cmd_cache=cmd_cache,
+            slippage=slippage,
+        )
+
+        self._adjust_sell = adjust_sell
+
+        self._users = self.warp_list(users)
+
+        strategies = self.warp_list(strategies)
+        total_assets = self.warp_list(total_assets)
+        initial_assets = self.warp_list(initial_assets)
+
+        if cmd_cache:
+            self.load_expired_cmd_cache()
+
+        self.start_trader_thread(self._users, trade_cmd_expire_seconds)
+
+        for strategy_url, strategy_total_assets, strategy_initial_assets in zip(
+            strategies, total_assets, initial_assets
+        ):
+            assets = self.calculate_assets(
+                strategy_url, strategy_total_assets, strategy_initial_assets
+            )
+            try:
+                strategy_id = self.extract_strategy_id(strategy_url)
+                strategy_name = self.extract_strategy_name(strategy_url)
+            except:
+                logger.error("抽取交易id和策略名失败, 无效模拟交易url: %s", strategy_url)
+                raise
+            strategy_worker = Thread(
+                target=self.track_strategy_worker,
+                args=[strategy_id, strategy_name],
+                kwargs={"interval": track_interval, "assets": assets},
+            )
+            strategy_worker.start()
+            logger.info("开始跟踪策略: %s", strategy_name)
+
+    def calculate_assets(self, strategy_url, total_assets=None, initial_assets=None):
+        # 都设置时优先选择 total_assets
+        if total_assets is None and initial_assets is not None:
+            net_value = self._get_portfolio_net_value(strategy_url)
+            total_assets = initial_assets * net_value
+        if not isinstance(total_assets, Number):
+            raise TypeError("input assets type must be number(int, float)")
+        if total_assets < 1e3:
+            raise ValueError("雪球总资产不能小于1000元，当前预设值 {}".format(total_assets))
+        return total_assets
+
+    @staticmethod
+    def extract_strategy_id(strategy_url):
+        return strategy_url
+
+    def extract_strategy_name(self, strategy_url):
+        base_url = "https://xueqiu.com/cubes/nav_daily/all.json?cube_symbol={}"
+        url = base_url.format(strategy_url)
+        rep = self.s.get(url)
+        info_index = 0
+        return rep.json()[info_index]["name"]
+
+    def extract_transactions(self, history):
+        if history["count"] <= 0:
+            return []
+        rebalancing_index = 0
+        raw_transactions = history["list"][rebalancing_index]["rebalancing_histories"]
+        transactions = []
+        for transaction in raw_transactions:
+            if transaction["price"] is None:
+                logger.info("该笔交易无法获取价格，疑似未成交，跳过。交易详情: %s", transaction)
+                continue
+            transactions.append(transaction)
+
+        return transactions
+
+    def create_query_transaction_params(self, strategy):
+        params = {"cube_symbol": strategy, "page": 1, "count": 1}
+        return params
+
+    # noinspection PyMethodOverriding
+    def none_to_zero(self, data):
+        if data is None:
+            return 0
+        return data
+
+    # noinspection PyMethodOverriding
+    def project_transactions(self, transactions, assets):
+        for transaction in transactions:
+            weight_diff = self.none_to_zero(transaction["weight"]) - self.none_to_zero(
+                transaction["prev_weight"]
+            )
+
+            initial_amount = abs(weight_diff) / 100 * assets / transaction["price"]
+
+            transaction["datetime"] = datetime.fromtimestamp(
+                transaction["created_at"] // 1000
+            )
+
+            transaction["stock_code"] = transaction["stock_symbol"].lower()
+
+            transaction["action"] = "buy" if weight_diff > 0 else "sell"
+
+            transaction["amount"] = int(round(initial_amount, -2))
+            if transaction["action"] == "sell" and self._adjust_sell:
+                transaction["amount"] = self._adjust_sell_amount(
+                    transaction["stock_code"], transaction["amount"]
+                )
+
+    def _adjust_sell_amount(self, stock_code, amount):
+        """
+        根据实际持仓值计算雪球卖出股数
+          因为雪球的交易指令是基于持仓百分比，在取近似值的情况下可能出现不精确的问题。
+        导致如下情况的产生，计算出的指令为买入 1049 股，取近似值买入 1000 股。
+        而卖出的指令计算出为卖出 1051 股，取近似值卖出 1100 股，超过 1000 股的买入量，
+        导致卖出失败
+        :param stock_code: 证券代码
+        :type stock_code: str
+        :param amount: 卖出股份数
+        :type amount: int
+        :return: 考虑实际持仓之后的卖出股份数
+        :rtype: int
+        """
+        stock_code = stock_code[-6:]
+        user = self._users[0]
+        position = user.position
+        try:
+            stock = next(s for s in position if s["证券代码"] == stock_code)
+        except StopIteration:
+            logger.info("根据持仓调整 %s 卖出额，发现未持有股票 %s, 不做任何调整", stock_code, stock_code)
+            return amount
+
+        available_amount = stock["可用余额"]
+        if available_amount >= amount:
+            return amount
+
+        adjust_amount = available_amount // 100 * 100
+        logger.info(
+            "股票 %s 实际可用余额 %s, 指令卖出股数为 %s, 调整为 %s",
+            stock_code,
+            available_amount,
+            amount,
+            adjust_amount,
+        )
+        return adjust_amount
+
+    def _get_portfolio_info(self, portfolio_code):
+        """
+        获取组合信息
+        """
+        url = self.PORTFOLIO_URL + portfolio_code
+        portfolio_page = self.s.get(url)
+        match_info = re.search(r"(?<=SNB.cubeInfo = ).*(?=;\n)", portfolio_page.text)
+        if match_info is None:
+            raise Exception("cant get portfolio info, portfolio url : {}".format(url))
+        try:
+            portfolio_info = json.loads(match_info.group())
+        except Exception as e:
+            raise Exception("get portfolio info error: {}".format(e))
+        return portfolio_info
+
+    def _get_portfolio_net_value(self, portfolio_code):
+        """
+        获取组合信息
+        """
+        portfolio_info = self._get_portfolio_info(portfolio_code)
+        return portfolio_info["net_value"]

vnpy/api/easytrader/xqtrader.py

@@ -0,0 +1,549 @@
+# -*- coding: utf-8 -*-
+import json
+import numbers
+import os
+import re
+import time
+
+import requests
+
+from . import exceptions, webtrader
+from .log import logger
+from .utils.misc import parse_cookies_str
+
+
+class XueQiuTrader(webtrader.WebTrader):
+    config_path = os.path.dirname(__file__) + "/config/xq.json"
+
+    _HEADERS = {
+        "User-Agent": "Mozilla/5.0 (Macintosh; Intel Mac OS X 10_12_6) "
+        "AppleWebKit/537.36 (KHTML, like Gecko) "
+        "Chrome/64.0.3282.167 Safari/537.36",
+        "Host": "xueqiu.com",
+        "Pragma": "no-cache",
+        "Connection": "keep-alive",
+        "Accept": "*/*",
+        "Accept-Encoding": "gzip, deflate, br",
+        "Accept-Language": "zh-CN,zh;q=0.9,en;q=0.8",
+        "Cache-Control": "no-cache",
+        "Referer": "https://xueqiu.com/P/ZH004612",
+        "X-Requested-With": "XMLHttpRequest",
+    }
+
+    def __init__(self, **kwargs):
+        super(XueQiuTrader, self).__init__()
+
+        # 资金换算倍数
+        self.multiple = (
+            kwargs["initial_assets"] if "initial_assets" in kwargs else 1000000
+        )
+        if not isinstance(self.multiple, numbers.Number):
+            raise TypeError("initial assets must be number(int, float)")
+        if self.multiple < 1e3:
+            raise ValueError("雪球初始资产不能小于1000元，当前预设值 {}".format(self.multiple))
+
+        self.s = requests.Session()
+        self.s.verify = False
+        self.s.headers.update(self._HEADERS)
+        self.account_config = None
+
+    def autologin(self, **kwargs):
+        """
+        使用 cookies 之后不需要自动登陆
+        :return:
+        """
+        self._set_cookies(self.account_config["cookies"])
+
+    def _set_cookies(self, cookies):
+        """设置雪球 cookies，代码来自于
+        https://github.com/shidenggui/easytrader/issues/269
+        :param cookies: 雪球 cookies
+        :type cookies: str
+        """
+        cookie_dict = parse_cookies_str(cookies)
+        self.s.cookies.update(cookie_dict)
+
+    def _prepare_account(self, user="", password="", **kwargs):
+        """
+        转换参数到登录所需的字典格式
+        :param cookies: 雪球登陆需要设置 cookies， 具体见
+            https://smalltool.github.io/2016/08/02/cookie/
+        :param portfolio_code: 组合代码
+        :param portfolio_market: 交易市场， 可选['cn', 'us', 'hk'] 默认 'cn'
+        :return:
+        """
+        if "portfolio_code" not in kwargs:
+            raise TypeError("雪球登录需要设置 portfolio_code(组合代码) 参数")
+        if "portfolio_market" not in kwargs:
+            kwargs["portfolio_market"] = "cn"
+        if "cookies" not in kwargs:
+            raise TypeError(
+                "雪球登陆需要设置 cookies， 具体见"
+                "https://smalltool.github.io/2016/08/02/cookie/"
+            )
+        self.account_config = {
+            "cookies": kwargs["cookies"],
+            "portfolio_code": kwargs["portfolio_code"],
+            "portfolio_market": kwargs["portfolio_market"],
+        }
+
+    def _virtual_to_balance(self, virtual):
+        """
+        虚拟净值转化为资金
+        :param virtual: 雪球组合净值
+        :return: 换算的资金
+        """
+        return virtual * self.multiple
+
+    def _get_html(self, url):
+        return self.s.get(url).text
+
+    def _search_stock_info(self, code):
+        """
+        通过雪球的接口获取股票详细信息
+        :param code: 股票代码 000001
+        :return: 查询到的股票 {u'stock_id': 1000279, u'code': u'SH600325',
+            u'name': u'华发股份', u'ind_color': u'#d9633b', u'chg': -1.09,
+            u'ind_id': 100014, u'percent': -9.31, u'current': 10.62,
+            u'hasexist': None, u'flag': 1, u'ind_name': u'房地产', u'type': None,
+            u'enName': None}
+            ** flag : 未上市(0)、正常(1)、停牌(2)、涨跌停(3)、退市(4)
+        """
+        data = {
+            "code": str(code),
+            "size": "300",
+            "key": "47bce5c74f",
+            "market": self.account_config["portfolio_market"],
+        }
+        r = self.s.get(self.config["search_stock_url"], params=data)
+        stocks = json.loads(r.text)
+        stocks = stocks["stocks"]
+        stock = None
+        if len(stocks) > 0:
+            stock = stocks[0]
+        return stock
+
+    def _get_portfolio_info(self, portfolio_code):
+        """
+        获取组合信息
+        :return: 字典
+        """
+        url = self.config["portfolio_url"] + portfolio_code
+        html = self._get_html(url)
+        match_info = re.search(r"(?<=SNB.cubeInfo = ).*(?=;\n)", html)
+        if match_info is None:
+            raise Exception(
+                "cant get portfolio info, portfolio html : {}".format(html)
+            )
+        try:
+            portfolio_info = json.loads(match_info.group())
+        except Exception as e:
+            raise Exception("get portfolio info error: {}".format(e))
+        return portfolio_info
+
+    def get_balance(self):
+        """
+        获取账户资金状况
+        :return:
+        """
+        portfolio_code = self.account_config.get("portfolio_code", "ch")
+        portfolio_info = self._get_portfolio_info(portfolio_code)
+        asset_balance = self._virtual_to_balance(
+            float(portfolio_info["net_value"])
+        )  # 总资产
+        position = portfolio_info["view_rebalancing"]  # 仓位结构
+        cash = asset_balance * float(position["cash"]) / 100
+        market = asset_balance - cash
+        return [
+            {
+                "asset_balance": asset_balance,
+                "current_balance": cash,
+                "enable_balance": cash,
+                "market_value": market,
+                "money_type": u"人民币",
+                "pre_interest": 0.25,
+            }
+        ]
+
+    def _get_position(self):
+        """
+        获取雪球持仓
+        :return:
+        """
+        portfolio_code = self.account_config["portfolio_code"]
+        portfolio_info = self._get_portfolio_info(portfolio_code)
+        position = portfolio_info["view_rebalancing"]  # 仓位结构
+        stocks = position["holdings"]  # 持仓股票
+        return stocks
+
+    @staticmethod
+    def _time_strftime(time_stamp):
+        try:
+            local_time = time.localtime(time_stamp / 1000)
+            return time.strftime("%Y-%m-%d %H:%M:%S", local_time)
+        # pylint: disable=broad-except
+        except Exception:
+            return time.strftime("%Y-%m-%d %H:%M:%S", time.localtime())
+
+    def get_position(self):
+        """
+        获取持仓
+        :return:
+        """
+        xq_positions = self._get_position()
+        balance = self.get_balance()[0]
+        position_list = []
+        for pos in xq_positions:
+            volume = pos["weight"] * balance["asset_balance"] / 100
+            position_list.append(
+                {
+                    "cost_price": volume / 100,
+                    "current_amount": 100,
+                    "enable_amount": 100,
+                    "income_balance": 0,
+                    "keep_cost_price": volume / 100,
+                    "last_price": volume / 100,
+                    "market_value": volume,
+                    "position_str": "random",
+                    "stock_code": pos["stock_symbol"],
+                    "stock_name": pos["stock_name"],
+                }
+            )
+        return position_list
+
+    def _get_xq_history(self):
+        """
+        获取雪球调仓历史
+        :param instance:
+        :param owner:
+        :return:
+        """
+        data = {
+            "cube_symbol": str(self.account_config["portfolio_code"]),
+            "count": 20,
+            "page": 1,
+        }
+        resp = self.s.get(self.config["history_url"], params=data)
+        res = json.loads(resp.text)
+        return res["list"]
+
+    @property
+    def history(self):
+        return self._get_xq_history()
+
+    def get_entrust(self):
+        """
+        获取委托单(目前返回20次调仓的结果)
+        操作数量都按1手模拟换算的
+        :return:
+        """
+        xq_entrust_list = self._get_xq_history()
+        entrust_list = []
+        replace_none = lambda s: s or 0
+        for xq_entrusts in xq_entrust_list:
+            status = xq_entrusts["status"]  # 调仓状态
+            if status == "pending":
+                status = "已报"
+            elif status in ["canceled", "failed"]:
+                status = "废单"
+            else:
+                status = "已成"
+            for entrust in xq_entrusts["rebalancing_histories"]:
+                price = entrust["price"]
+                entrust_list.append(
+                    {
+                        "entrust_no": entrust["id"],
+                        "entrust_bs": u"买入"
+                        if entrust["target_weight"]
+                        > replace_none(entrust["prev_weight"])
+                        else u"卖出",
+                        "report_time": self._time_strftime(
+                            entrust["updated_at"]
+                        ),
+                        "entrust_status": status,
+                        "stock_code": entrust["stock_symbol"],
+                        "stock_name": entrust["stock_name"],
+                        "business_amount": 100,
+                        "business_price": price,
+                        "entrust_amount": 100,
+                        "entrust_price": price,
+                    }
+                )
+        return entrust_list
+
+    def cancel_entrust(self, entrust_no):
+        """
+        对未成交的调仓进行伪撤单
+        :param entrust_no:
+        :return:
+        """
+        xq_entrust_list = self._get_xq_history()
+        is_have = False
+        for xq_entrusts in xq_entrust_list:
+            status = xq_entrusts["status"]  # 调仓状态
+            for entrust in xq_entrusts["rebalancing_histories"]:
+                if entrust["id"] == entrust_no and status == "pending":
+                    is_have = True
+                    buy_or_sell = (
+                        "buy"
+                        if entrust["target_weight"] < entrust["weight"]
+                        else "sell"
+                    )
+                    if (
+                        entrust["target_weight"] == 0
+                        and entrust["weight"] == 0
+                    ):
+                        raise exceptions.TradeError(u"移除的股票操作无法撤销,建议重新买入")
+                    balance = self.get_balance()[0]
+                    volume = (
+                        abs(entrust["target_weight"] - entrust["weight"])
+                        * balance["asset_balance"]
+                        / 100
+                    )
+                    r = self._trade(
+                        security=entrust["stock_symbol"],
+                        volume=volume,
+                        entrust_bs=buy_or_sell,
+                    )
+                    if len(r) > 0 and "error_info" in r[0]:
+                        raise exceptions.TradeError(
+                            u"撤销失败!%s" % ("error_info" in r[0])
+                        )
+        if not is_have:
+            raise exceptions.TradeError(u"撤销对象已失效")
+        return True
+
+    def adjust_weight(self, stock_code, weight):
+        """
+        雪球组合调仓, weight 为调整后的仓位比例
+        :param stock_code: str 股票代码
+        :param weight: float 调整之后的持仓百分比， 0 - 100 之间的浮点数
+        """
+
+        stock = self._search_stock_info(stock_code)
+        if stock is None:
+            raise exceptions.TradeError(u"没有查询要操作的股票信息")
+        if stock["flag"] != 1:
+            raise exceptions.TradeError(u"未上市、停牌、涨跌停、退市的股票无法操作。")
+
+        # 仓位比例向下取两位数
+        weight = round(weight, 2)
+        # 获取原有仓位信息
+        position_list = self._get_position()
+
+        # 调整后的持仓
+        for position in position_list:
+            if position["stock_id"] == stock["stock_id"]:
+                position["proactive"] = True
+                position["weight"] = weight
+
+        if weight != 0 and stock["stock_id"] not in [
+            k["stock_id"] for k in position_list
+        ]:
+            position_list.append(
+                {
+                    "code": stock["code"],
+                    "name": stock["name"],
+                    "enName": stock["enName"],
+                    "hasexist": stock["hasexist"],
+                    "flag": stock["flag"],
+                    "type": stock["type"],
+                    "current": stock["current"],
+                    "chg": stock["chg"],
+                    "percent": str(stock["percent"]),
+                    "stock_id": stock["stock_id"],
+                    "ind_id": stock["ind_id"],
+                    "ind_name": stock["ind_name"],
+                    "ind_color": stock["ind_color"],
+                    "textname": stock["name"],
+                    "segment_name": stock["ind_name"],
+                    "weight": weight,
+                    "url": "/S/" + stock["code"],
+                    "proactive": True,
+                    "price": str(stock["current"]),
+                }
+            )
+
+        remain_weight = 100 - sum(i.get("weight") for i in position_list)
+        cash = round(remain_weight, 2)
+        logger.info("调仓比例:%f, 剩余持仓 :%f", weight, remain_weight)
+        data = {
+            "cash": cash,
+            "holdings": str(json.dumps(position_list)),
+            "cube_symbol": str(self.account_config["portfolio_code"]),
+            "segment": "true",
+            "comment": "",
+        }
+
+        try:
+            resp = self.s.post(self.config["rebalance_url"], data=data)
+        # pylint: disable=broad-except
+        except Exception as e:
+            logger.warning("调仓失败: %s ", e)
+            return None
+        logger.info("调仓 %s: 持仓比例%d", stock["name"], weight)
+        resp_json = json.loads(resp.text)
+        if "error_description" in resp_json and resp.status_code != 200:
+            logger.error("调仓错误: %s", resp_json["error_description"])
+            return [
+                {
+                    "error_no": resp_json["error_code"],
+                    "error_info": resp_json["error_description"],
+                }
+            ]
+        logger.info("调仓成功 %s: 持仓比例%d", stock["name"], weight)
+        return None
+
+    def _trade(self, security, price=0, amount=0, volume=0, entrust_bs="buy"):
+        """
+        调仓
+        :param security:
+        :param price:
+        :param amount:
+        :param volume:
+        :param entrust_bs:
+        :return:
+        """
+        stock = self._search_stock_info(security)
+        balance = self.get_balance()[0]
+        if stock is None:
+            raise exceptions.TradeError(u"没有查询要操作的股票信息")
+        if not volume:
+            volume = int(float(price) * amount)  # 可能要取整数
+        if balance["current_balance"] < volume and entrust_bs == "buy":
+            raise exceptions.TradeError(u"没有足够的现金进行操作")
+        if stock["flag"] != 1:
+            raise exceptions.TradeError(u"未上市、停牌、涨跌停、退市的股票无法操作。")
+        if volume == 0:
+            raise exceptions.TradeError(u"操作金额不能为零")
+
+        # 计算调仓调仓份额
+        weight = volume / balance["asset_balance"] * 100
+        weight = round(weight, 2)
+
+        # 获取原有仓位信息
+        position_list = self._get_position()
+
+        # 调整后的持仓
+        is_have = False
+        for position in position_list:
+            if position["stock_id"] == stock["stock_id"]:
+                is_have = True
+                position["proactive"] = True
+                old_weight = position["weight"]
+                if entrust_bs == "buy":
+                    position["weight"] = weight + old_weight
+                else:
+                    if weight > old_weight:
+                        raise exceptions.TradeError(u"操作数量大于实际可卖出数量")
+                    else:
+                        position["weight"] = old_weight - weight
+                position["weight"] = round(position["weight"], 2)
+        if not is_have:
+            if entrust_bs == "buy":
+                position_list.append(
+                    {
+                        "code": stock["code"],
+                        "name": stock["name"],
+                        "enName": stock["enName"],
+                        "hasexist": stock["hasexist"],
+                        "flag": stock["flag"],
+                        "type": stock["type"],
+                        "current": stock["current"],
+                        "chg": stock["chg"],
+                        "percent": str(stock["percent"]),
+                        "stock_id": stock["stock_id"],
+                        "ind_id": stock["ind_id"],
+                        "ind_name": stock["ind_name"],
+                        "ind_color": stock["ind_color"],
+                        "textname": stock["name"],
+                        "segment_name": stock["ind_name"],
+                        "weight": round(weight, 2),
+                        "url": "/S/" + stock["code"],
+                        "proactive": True,
+                        "price": str(stock["current"]),
+                    }
+                )
+            else:
+                raise exceptions.TradeError(u"没有持有要卖出的股票")
+
+        if entrust_bs == "buy":
+            cash = (
+                (balance["current_balance"] - volume)
+                / balance["asset_balance"]
+                * 100
+            )
+        else:
+            cash = (
+                (balance["current_balance"] + volume)
+                / balance["asset_balance"]
+                * 100
+            )
+        cash = round(cash, 2)
+        logger.info("weight:%f, cash:%f", weight, cash)
+
+        data = {
+            "cash": cash,
+            "holdings": str(json.dumps(position_list)),
+            "cube_symbol": str(self.account_config["portfolio_code"]),
+            "segment": 1,
+            "comment": "",
+        }
+
+        try:
+            resp = self.s.post(self.config["rebalance_url"], data=data)
+        # pylint: disable=broad-except
+        except Exception as e:
+            logger.warning("调仓失败: %s ", e)
+            return None
+        else:
+            logger.info(
+                "调仓 %s%s: %d", entrust_bs, stock["name"], resp.status_code
+            )
+            resp_json = json.loads(resp.text)
+            if "error_description" in resp_json and resp.status_code != 200:
+                logger.error("调仓错误: %s", resp_json["error_description"])
+                return [
+                    {
+                        "error_no": resp_json["error_code"],
+                        "error_info": resp_json["error_description"],
+                    }
+                ]
+            return [
+                {
+                    "entrust_no": resp_json["id"],
+                    "init_date": self._time_strftime(resp_json["created_at"]),
+                    "batch_no": "委托批号",
+                    "report_no": "申报号",
+                    "seat_no": "席位编号",
+                    "entrust_time": self._time_strftime(
+                        resp_json["updated_at"]
+                    ),
+                    "entrust_price": price,
+                    "entrust_amount": amount,
+                    "stock_code": security,
+                    "entrust_bs": "买入",
+                    "entrust_type": "雪球虚拟委托",
+                    "entrust_status": "-",
+                }
+            ]
+
+    def buy(self, security, price=0, amount=0, volume=0, entrust_prop=0):
+        """买入卖出股票
+        :param security: 股票代码
+        :param price: 买入价格
+        :param amount: 买入股数
+        :param volume: 买入总金额 由 volume / price 取整， 若指定 price 则此参数无效
+        :param entrust_prop:
+        """
+        return self._trade(security, price, amount, volume, "buy")
+
+    def sell(self, security, price=0, amount=0, volume=0, entrust_prop=0):
+        """卖出股票
+        :param security: 股票代码
+        :param price: 卖出价格
+        :param amount: 卖出股数
+        :param volume: 卖出总金额 由 volume / price 取整， 若指定 price 则此参数无效
+        :param entrust_prop:
+        """
+        return self._trade(security, price, amount, volume, "sell")

vnpy/api/easytrader/yh_clienttrader.py

@@ -0,0 +1,126 @@
+# -*- coding: utf-8 -*-
+import re
+import tempfile
+
+import pywinauto
+
+from . import clienttrader, grid_strategies
+from .utils.captcha import recognize_verify_code
+
+
+class YHClientTrader(clienttrader.BaseLoginClientTrader):
+    """
+    Changelog:
+
+    2018.07.01:
+        银河客户端 2018.5.11 更新后不再支持通过剪切板复制获取 Grid 内容，
+        改为使用保存为 Xls 再读取的方式获取
+    """
+
+    grid_strategy = grid_strategies.Xls
+
+    @property
+    def broker_type(self):
+        return "yh"
+
+    def login(self, user, password, exe_path, comm_password=None, **kwargs):
+        """
+        登陆客户端
+        :param user: 账号
+        :param password: 明文密码
+        :param exe_path: 客户端路径类似 'C:\\中国银河证券双子星3.2\\Binarystar.exe',
+            默认 'C:\\中国银河证券双子星3.2\\Binarystar.exe'
+        :param comm_password: 通讯密码, 华泰需要，可不设
+        :return:
+        """
+        try:
+            self._app = pywinauto.Application().connect(
+                path=self._run_exe_path(exe_path), timeout=1
+            )
+        # pylint: disable=broad-except
+        except Exception:
+            self._app = pywinauto.Application().start(exe_path)
+            is_xiadan = True if "xiadan.exe" in exe_path else False
+            # wait login window ready
+            while True:
+                try:
+                    self._app.top_window().Edit1.wait("ready")
+                    break
+                except RuntimeError:
+                    pass
+
+            self._app.top_window().Edit1.type_keys(user)
+            self._app.top_window().Edit2.type_keys(password)
+            while True:
+                self._app.top_window().Edit3.type_keys(
+                    self._handle_verify_code(is_xiadan)
+                )
+                self._app.top_window()["确定" if is_xiadan else "登录"].click()
+
+                # detect login is success or not
+                try:
+                    self._app.top_window().wait_not("exists visible", 10)
+                    break
+                # pylint: disable=broad-except
+                except Exception:
+                    if is_xiadan:
+                        self._app.top_window()["确定"].click()
+
+            self._app = pywinauto.Application().connect(
+                path=self._run_exe_path(exe_path), timeout=10
+            )
+        self._close_prompt_windows()
+        self._main = self._app.window(title="网上股票交易系统5.0")
+        try:
+            self._main.child_window(
+                control_id=129, class_name="SysTreeView32"
+            ).wait("ready", 2)
+        # pylint: disable=broad-except
+        except Exception:
+            self.wait(2)
+            self._switch_window_to_normal_mode()
+
+    def _switch_window_to_normal_mode(self):
+        self._app.top_window().child_window(
+            control_id=32812, class_name="Button"
+        ).click()
+
+    def _handle_verify_code(self, is_xiadan):
+        control = self._app.top_window().child_window(
+            control_id=1499 if is_xiadan else 22202
+        )
+        control.click()
+
+        file_path = tempfile.mktemp()
+        if is_xiadan:
+            rect = control.element_info.rectangle
+            rect.right = round(
+                rect.right + (rect.right - rect.left) * 0.3
+            )  # 扩展验证码控件截图范围为4个字符
+            control.capture_as_image(rect).save(file_path, "jpeg")
+        else:
+            control.capture_as_image().save(file_path, "jpeg")
+        verify_code = recognize_verify_code(file_path, "yh_client")
+        return "".join(re.findall(r"\d+", verify_code))
+
+    @property
+    def balance(self):
+        self._switch_left_menus(self._config.BALANCE_MENU_PATH)
+        return self._get_grid_data(self._config.BALANCE_GRID_CONTROL_ID)
+
+    def auto_ipo(self):
+        self._switch_left_menus(self._config.AUTO_IPO_MENU_PATH)
+        stock_list = self._get_grid_data(self._config.COMMON_GRID_CONTROL_ID)
+        if len(stock_list) == 0:
+            return {"message": "今日无新股"}
+        invalid_list_idx = [
+            i for i, v in enumerate(stock_list) if v["申购数量"] <= 0
+        ]
+        if len(stock_list) == len(invalid_list_idx):
+            return {"message": "没有发现可以申购的新股"}
+        self.wait(0.1)
+        # for row in invalid_list_idx:
+        # self._click_grid_by_row(row)
+        self._click(self._config.AUTO_IPO_BUTTON_CONTROL_ID)
+        self.wait(0.1)
+        return self._handle_pop_dialogs()

vnpy/app/algo_trading/engine.py

@@ -187,7 +187,8 @@ class AlgoEngine(BaseEngine):
         price: float,
         volume: float,
         order_type: OrderType,
-        offset: Offset
+        offset: Offset,
+        lock:bool=False
     ):
         """"""
         contract = self.main_engine.get_contract(vt_symbol)
@@ -208,7 +209,7 @@ class AlgoEngine(BaseEngine):
             price=price,
             offset=offset
         )
-        req_list = self.offset_converter.convert_order_request(req=original_req, lock=False, gateway_name=contract.gateway_name)
+        req_list = self.offset_converter.convert_order_request(req=original_req, lock=lock, gateway_name=contract.gateway_name)
         vt_orderids = []
         for req in req_list:
             vt_orderid = self.main_engine.send_order(req, contract.gateway_name)
@@ -251,7 +252,8 @@ class AlgoEngine(BaseEngine):
             'order_volume': req.volume,
             'timer_interval': 60 * 60 * 24,
             'strategy_name': req.strategy_name,
-            'gateway_name': gateway_name
+            'gateway_name': gateway_name,
+            'order_type': req.type
         }
         # 更新算法配置
         setting.update(contract)

vnpy/app/algo_trading/template.py

@@ -1,6 +1,6 @@
 from vnpy.trader.engine import BaseEngine
 from vnpy.trader.object import TickData, OrderData, TradeData
-from vnpy.trader.constant import OrderType, Offset, Direction
+from vnpy.trader.constant import OrderType, Offset, Direction,Exchange
 from vnpy.trader.utility import virtual
 
 
@@ -114,7 +114,8 @@ class AlgoTemplate:
         price,
         volume,
         order_type: OrderType = OrderType.LIMIT,
-        offset: Offset = Offset.NONE
+        offset: Offset = Offset.NONE,
+        lock: bool = False
     ):
         """"""
         if offset in [Offset.CLOSE]:
@@ -131,7 +132,8 @@ class AlgoTemplate:
             price,
             volume,
             order_type,
-            offset
+            offset,
+            lock
         )
 
     def sell(
@@ -140,7 +142,8 @@ class AlgoTemplate:
         price,
         volume,
         order_type: OrderType = OrderType.LIMIT,
-        offset: Offset = Offset.NONE
+        offset: Offset = Offset.NONE,
+        lock: bool = False
     ):
         """"""
         if offset in [Offset.NONE, Offset.CLOSE]:
@@ -157,7 +160,8 @@ class AlgoTemplate:
             price,
             volume,
             order_type,
-            offset
+            offset,
+            lock
         )
 
     def cancel_order(self, vt_orderid: str):

vnpy/app/cta_stock/engine.py

@@ -237,6 +237,11 @@ class CtaEngine(BaseEngine):
                 # 推送到事件
                 self.put_all_strategy_pos_event(all_strategy_pos)
 
+        for strategy in self.strategies.values():
+            if strategy.inited:
+                self.call_strategy_func(strategy, strategy.on_timer)
+
+
     def process_tick_event(self, event: Event):
         """处理tick到达事件"""
         tick = event.data

vnpy/app/cta_strategy_pro/template.py

@@ -11,7 +11,7 @@ from copy import copy,deepcopy
 from typing import Any, Callable
 from logging import INFO, ERROR
 from datetime import datetime
-from vnpy.trader.constant import Interval, Direction, Offset, Status, OrderType, Color
+from vnpy.trader.constant import Interval, Direction, Offset, Status, OrderType, Color, Exchange
 from vnpy.trader.object import BarData, TickData, OrderData, TradeData
 from vnpy.trader.utility import virtual, append_data, extract_vt_symbol, get_underlying_symbol
 
@@ -836,7 +836,7 @@ class CtaProTemplate(CtaTemplate):
 
         if self.position.long_pos > 0:
             for g in self.gt.get_opened_grids(direction=Direction.LONG):
-                vt_symbol = g.snapshot.get('mi_symbol', self.vt_symbol)
+                vt_symbol = g.snapshot.get('mi_symbol', g.vt_symbol if g.vt_symbol and '99' not in g.vt_symbol else self.vt_symbol)
                 open_price = g.snapshot.get('open_price', g.open_price)
                 pos_list.append({'vt_symbol': vt_symbol,
                                  'direction': 'long',
@@ -845,7 +845,7 @@ class CtaProTemplate(CtaTemplate):
 
         if abs(self.position.short_pos) > 0:
             for g in self.gt.get_opened_grids(direction=Direction.SHORT):
-                vt_symbol = g.snapshot.get('mi_symbol', self.vt_symbol)
+                vt_symbol = g.snapshot.get('mi_symbol',  g.vt_symbol if g.vt_symbol and '99' not in g.vt_symbol else self.vt_symbol)
                 open_price = g.snapshot.get('open_price', g.open_price)
                 pos_list.append({'vt_symbol': vt_symbol,
                                  'direction': 'short',
@@ -1202,20 +1202,25 @@ class CtaProFutureTemplate(CtaProTemplate):
         self.fix_order(order)
 
         if order.vt_orderid in self.active_orders:
+            active_order = self.active_orders[order.vt_orderid]
 
             if order.volume == order.traded and order.status in [Status.ALLTRADED]:
                 self.on_order_all_traded(order)
 
-            elif order.offset == Offset.OPEN and order.status in [Status.CANCELLED]:
+            #elif order.offset == Offset.OPEN and order.status in [Status.CANCELLED]:
+            # 这里 换成active_order的，因为原始order有可能被换成锁仓方式
+            elif active_order['offset'] == Offset.OPEN and order.status in [Status.CANCELLED]:
                 # 开仓委托单被撤销
                 self.on_order_open_canceled(order)
 
-            elif order.offset != Offset.OPEN and order.status in [Status.CANCELLED]:
+            #elif order.offset != Offset.OPEN and order.status in [Status.CANCELLED]:
+            #  # 这里 换成active_order的，因为原始order有可能被换成锁仓方式
+            elif active_order['offset'] != Offset.OPEN and order.status in [Status.CANCELLED]:
                 # 平仓委托单被撤销
                 self.on_order_close_canceled(order)
 
             elif order.status == Status.REJECTED:
-                if order.offset == Offset.OPEN:
+                if active_order['offset'] == Offset.OPEN:
                     self.write_error(u'{}委托单开{}被拒，price:{},total:{},traded:{}，status:{}'
                                      .format(order.vt_symbol, order.direction, order.price, order.volume,
                                              order.traded, order.status))
@@ -1238,10 +1243,10 @@ class CtaProFutureTemplate(CtaProTemplate):
         :return:
         """
         self.write_log(u'委托单全部完成:{}'.format(order.__dict__))
-        order_info = self.active_orders[order.vt_orderid]
+        active_order = self.active_orders[order.vt_orderid]
 
         # 通过vt_orderid，找到对应的网格
-        grid = order_info.get('grid', None)
+        grid = active_order.get('grid', None)
         if grid is not None:
             # 移除当前委托单
             if order.vt_orderid in grid.order_ids:
@@ -1253,7 +1258,7 @@ class CtaProFutureTemplate(CtaProTemplate):
                 grid.traded_volume = 0
 
                 # 平仓完毕（cover， sell）
-                if order.offset != Offset.OPEN:
+                if active_order['offset'] != Offset.OPEN:
                     grid.open_status = False
                     grid.close_status = True
 

vnpy/app/cta_strategy_pro/template_spread.py

@@ -7,7 +7,7 @@ from copy import copy
 import bz2
 import pickle
 import zlib
-from vnpy.trader.utility import append_data
+from vnpy.trader.utility import append_data, extract_vt_symbol
 from .template import (
     CtaPosition,
     CtaGridTrade,
@@ -16,6 +16,7 @@ from .template import (
     Direction,
     datetime,
     Offset,
+    Exchange,
     OrderType,
     OrderData,
     TradeData,
@@ -27,10 +28,14 @@ from .template import (
 class CtaSpreadTemplate(CtaTemplate):
     """CTA套利模板"""
 
+    activate_fak = False
     order_type = OrderType.LIMIT
     act_vt_symbol = ""  # 主动腿合约
     pas_vt_symbol = ""  # 被动腿合约
-
+    act_symbol = ""
+    pas_symbol = ""
+    act_exchange = None
+    pas_exchange = None
     act_vol_ratio = 1
     pas_vol_ratio = 1
 
@@ -48,6 +53,8 @@ class CtaSpreadTemplate(CtaTemplate):
         """"""
         super().__init__(cta_engine, strategy_name, vt_symbol, setting)
 
+        self.parameters.append('activate_fak')
+
         # 基础组件
         self.position = CtaPosition(strategy=self)
         self.gt = CtaGridTrade(strategy=self)
@@ -74,11 +81,13 @@ class CtaSpreadTemplate(CtaTemplate):
         """更新配置参数"""
         super().update_setting(setting)
 
+        self.act_symbol, self.act_exchange = extract_vt_symbol(self.act_vt_symbol)
+        self.pas_symbol, self.pas_exchange = extract_vt_symbol(self.pas_vt_symbol)
         self.act_price_tick = self.cta_engine.get_price_tick(self.act_vt_symbol)
         self.pas_price_tick = self.cta_engine.get_price_tick(self.pas_vt_symbol)
 
         # 实盘采用FAK
-        if not self.backtesting:
+        if not self.backtesting and self.activate_fak:
             self.order_type = OrderType.FAK
 
     def display_grids(self):
@@ -298,6 +307,59 @@ class CtaSpreadTemplate(CtaTemplate):
                 self.write_log(f'新增订阅合约:{vt_symbol}')
                 self.cta_engine.subscribe_symbol(strategy_name=self.strategy_name, vt_symbol=vt_symbol)
 
+    def get_positions(self):
+        """
+        获取策略当前持仓(重构，使用主力合约）
+        :return: [{'vt_symbol':symbol,'direction':direction,'volume':volume]
+        """
+        if not self.position:
+            return []
+        pos_list = []
+
+        for grid in self.gt.get_opened_grids(direction=Direction.LONG):
+            act_vt_symbol = grid.snapshot.get('act_vt_symbol', self.act_vt_symbol)
+            act_open_volume = grid.snapshot.get('act_open_volume', grid.volume)
+            act_open_price = grid.snapshot.get('act_open_price')
+
+            pas_vt_symbol = grid.snapshot.get('pas_vt_symbol', self.pas_vt_symbol)
+            pas_open_volume = grid.snapshot.get('pas_open_volume', grid.volume)
+            pas_open_price = grid.snapshot.get('pas_open_price')
+
+            pos_list.append({'vt_symbol': act_vt_symbol,
+                             'direction': 'long',
+                             'volume': act_open_volume,
+                             'price': act_open_price})
+
+            pos_list.append({'vt_symbol': pas_vt_symbol,
+                             'direction': 'short',
+                             'volume': pas_open_volume,
+                             'price': pas_open_price})
+
+
+        for grid in self.gt.get_opened_grids(direction=Direction.SHORT):
+            act_vt_symbol = grid.snapshot.get('act_vt_symbol', self.act_vt_symbol)
+            act_open_volume = grid.snapshot.get('act_open_volume', grid.volume)
+            act_open_price = grid.snapshot.get('act_open_price')
+
+            pas_vt_symbol = grid.snapshot.get('pas_vt_symbol', self.pas_vt_symbol)
+            pas_open_volume = grid.snapshot.get('pas_open_volume', grid.volume)
+            pas_open_price = grid.snapshot.get('pas_open_price')
+
+            pos_list.append({'vt_symbol': act_vt_symbol,
+                             'direction': 'short',
+                             'volume': act_open_volume,
+                             'price': act_open_price})
+
+            pos_list.append({'vt_symbol': pas_vt_symbol,
+                             'direction': 'long',
+                             'volume': pas_open_volume,
+                             'price': pas_open_price})
+
+        if self.cur_datetime and (datetime.now() - self.cur_datetime).total_seconds() < 10:
+            self.write_log(u'当前持仓:{}'.format(pos_list))
+        return pos_list
+
+
     def on_start(self):
         """启动策略（必须由用户继承实现）"""
         # 订阅主动腿/被动腿合约
@@ -434,20 +496,20 @@ class CtaSpreadTemplate(CtaTemplate):
         self.fix_order(order)
 
         if order.vt_orderid in self.active_orders:
-
+            active_order = self.active_orders[order.vt_orderid]
             if order.volume == order.traded and order.status in [Status.ALLTRADED]:
                 self.on_order_all_traded(order)
 
-            elif order.offset == Offset.OPEN and order.status in [Status.CANCELLED]:
+            elif active_order['offset'] == Offset.OPEN and order.status in [Status.CANCELLED]:
                 # 开仓委托单被撤销
                 self.on_order_open_canceled(order)
 
-            elif order.offset != Offset.OPEN and order.status in [Status.CANCELLED]:
+            elif active_order['offset'] != Offset.OPEN and order.status in [Status.CANCELLED]:
                 # 平仓委托单被撤销
                 self.on_order_close_canceled(order)
 
             elif order.status == Status.REJECTED:
-                if order.offset == Offset.OPEN:
+                if active_order['offset'] == Offset.OPEN:
                     self.write_error(u'{}委托单开{}被拒，price:{},total:{},traded:{}，status:{}'
                                      .format(order.vt_symbol, order.direction, order.price, order.volume,
                                              order.traded, order.status))
@@ -517,6 +579,7 @@ class CtaSpreadTemplate(CtaTemplate):
                                       'pas_close_volume': pas_open_volume,
                                       'pas_vt_symbol': self.pas_vt_symbol})
 
+        self.gt.save()
     def on_order_all_traded(self, order: OrderData):
         """
         订单全部成交
@@ -593,6 +656,8 @@ class CtaSpreadTemplate(CtaTemplate):
         self.write_log(u'{} 委托信息:{}'.format(order.vt_orderid, old_order))
         old_order['traded'] = order.traded
         order_vt_symbol = copy(old_order['vt_symbol'])
+        order_symbol, order_exchange = extract_vt_symbol(order_vt_symbol)
+
         order_volume = old_order['volume'] - old_order['traded']
         if order_volume <= 0:
             msg = u'{} {}{}需重新开仓数量为{}，不再开仓' \
@@ -657,6 +722,7 @@ class CtaSpreadTemplate(CtaTemplate):
             vt_orderids = self.buy(price=buy_price,
                                    volume=order_volume,
                                    vt_symbol=order_vt_symbol,
+                                   lock=order_exchange==Exchange.CFFEX,
                                    order_type=OrderType.FAK,
                                    order_time=self.cur_datetime,
                                    grid=grid)
@@ -693,6 +759,7 @@ class CtaSpreadTemplate(CtaTemplate):
             vt_orderids = self.short(price=short_price,
                                      volume=order_volume,
                                      vt_symbol=order_vt_symbol,
+                                     lock=order_exchange==Exchange.CFFEX,
                                      order_type=OrderType.FAK,
                                      order_time=self.cur_datetime,
                                      grid=grid)
@@ -745,6 +812,8 @@ class CtaSpreadTemplate(CtaTemplate):
         old_order['traded'] = order.traded
         # order_time = old_order['order_time']
         order_vt_symbol = copy(old_order['vt_symbol'])
+        order_symbol,order_exchange = extract_vt_symbol(order_vt_symbol)
+
         order_volume = old_order['volume'] - old_order['traded']
         if order_volume <= 0:
             msg = u'{} {}{}重新平仓数量为{}，不再平仓' \
@@ -796,6 +865,7 @@ class CtaSpreadTemplate(CtaTemplate):
             vt_orderids = self.cover(price=cover_price,
                                      volume=order_volume,
                                      vt_symbol=order_vt_symbol,
+                                     lock=order_exchange==Exchange.CFFEX,
                                      order_type=OrderType.FAK,
                                      order_time=self.cur_datetime,
                                      grid=grid)
@@ -829,6 +899,7 @@ class CtaSpreadTemplate(CtaTemplate):
             vt_orderids = self.sell(price=sell_price,
                                     volume=order_volume,
                                     vt_symbol=order_vt_symbol,
+                                    lock=order_exchange==Exchange.CFFEX,
                                     order_type=OrderType.FAK,
                                     order_time=self.cur_datetime,
                                     grid=grid)
@@ -882,6 +953,7 @@ class CtaSpreadTemplate(CtaTemplate):
         for vt_orderid in list(self.active_orders.keys()):
             order_info = self.active_orders[vt_orderid]
             order_vt_symbol = order_info.get('vt_symbol', self.vt_symbol)
+            order_symbol, order_exchange = extract_vt_symbol(order_vt_symbol)
             order_time = order_info['order_time']
             order_volume = order_info['volume'] - order_info['traded']
             order_grid = order_info['grid']
@@ -928,6 +1000,7 @@ class CtaSpreadTemplate(CtaTemplate):
                             vt_orderids = self.short(price=short_price,
                                                      volume=order_volume,
                                                      vt_symbol=order_vt_symbol,
+                                                     lock=order_exchange == Exchange.CFFEX,
                                                      order_type=order_type,
                                                      order_time=self.cur_datetime,
                                                      grid=order_grid)
@@ -946,6 +1019,7 @@ class CtaSpreadTemplate(CtaTemplate):
                             vt_orderids = self.buy(price=buy_price,
                                                    volume=order_volume,
                                                    vt_symbol=order_vt_symbol,
+                                                   lock=order_exchange == Exchange.CFFEX,
                                                    order_type=order_type,
                                                    order_time=self.cur_datetime,
                                                    grid=order_grid)
@@ -965,6 +1039,7 @@ class CtaSpreadTemplate(CtaTemplate):
                             vt_orderids = self.sell(price=sell_price,
                                                     volume=order_volume,
                                                     vt_symbol=order_vt_symbol,
+                                                    lock=order_exchange == Exchange.CFFEX,
                                                     order_type=order_type,
                                                     order_time=self.cur_datetime,
                                                     grid=order_grid)
@@ -981,6 +1056,7 @@ class CtaSpreadTemplate(CtaTemplate):
                             vt_orderids = self.cover(price=cover_price,
                                                      volume=order_volume,
                                                      vt_symbol=order_vt_symbol,
+                                                     lock=order_exchange == Exchange.CFFEX,
                                                      order_type=order_type,
                                                      order_time=self.cur_datetime,
                                                      grid=order_grid)
@@ -1082,6 +1158,7 @@ class CtaSpreadTemplate(CtaTemplate):
 
         # 开空主动腿
         act_vt_orderids = self.short(vt_symbol=self.act_vt_symbol,
+                                     lock=self.act_exchange == Exchange.CFFEX,
                                      price=self.cur_act_tick.bid_price_1,
                                      volume=grid.volume * self.act_vol_ratio,
                                      order_type=self.order_type,
@@ -1094,6 +1171,7 @@ class CtaSpreadTemplate(CtaTemplate):
 
         # 开多被动腿
         pas_vt_orderids = self.buy(vt_symbol=self.pas_vt_symbol,
+                                   lock=self.pas_exchange==Exchange.CFFEX,
                                    price=self.cur_pas_tick.ask_price_1,
                                    volume=grid.volume * self.pas_vol_ratio,
                                    order_type=self.order_type,
@@ -1141,6 +1219,7 @@ class CtaSpreadTemplate(CtaTemplate):
 
         # 开多主动腿
         act_vt_orderids = self.buy(vt_symbol=self.act_vt_symbol,
+                                   lock=self.act_exchange==Exchange.CFFEX,
                                    price=self.cur_act_tick.ask_price_1,
                                    volume=grid.volume * self.act_vol_ratio,
                                    order_type=self.order_type,
@@ -1153,6 +1232,7 @@ class CtaSpreadTemplate(CtaTemplate):
 
         # 开空被动腿
         pas_vt_orderids = self.short(vt_symbol=self.pas_vt_symbol,
+                                     lock=self.pas_exchange==Exchange.CFFEX,
                                      price=self.cur_pas_tick.bid_price_1,
                                      volume=grid.volume * self.pas_vol_ratio,
                                      order_type=self.order_type,
@@ -1212,6 +1292,7 @@ class CtaSpreadTemplate(CtaTemplate):
 
         # 主动腿多单平仓
         act_vt_orderids = self.sell(vt_symbol=self.act_vt_symbol,
+                                    lock=self.act_exchange==Exchange.CFFEX,
                                     price=self.cur_act_tick.bid_price_1,
                                     volume=grid.volume * self.act_vol_ratio,
                                     order_type=self.order_type,
@@ -1224,6 +1305,7 @@ class CtaSpreadTemplate(CtaTemplate):
 
         # 被动腿空单平仓
         pas_vt_orderids = self.cover(vt_symbol=self.pas_vt_symbol,
+                                     lock=self.pas_exchange==Exchange.CFFEX,
                                      price=self.cur_pas_tick.ask_price_1,
                                      volume=grid.volume * self.pas_vol_ratio,
                                      order_type=self.order_type,
@@ -1268,8 +1350,8 @@ class CtaSpreadTemplate(CtaTemplate):
             self.write_error('主动腿/被动退得持仓数据不存在')
             return []
 
-        act_close_volume = grid.snapshot.get('act_open_volume')
-        pas_close_volume = grid.snapshot.get('pas_open_volume')
+        act_close_volume = grid.snapshot.get('act_open_volume', 0)
+        pas_close_volume = grid.snapshot.get('pas_open_volume', 0)
 
         if self.act_pos.short_pos < act_close_volume:
             self.write_error(f'账号 {self.act_vt_symbol} 空单持仓{self.act_pos.short_pos}'
@@ -1283,6 +1365,7 @@ class CtaSpreadTemplate(CtaTemplate):
 
         # 主动腿空单平仓
         act_vt_orderids = self.cover(vt_symbol=self.act_vt_symbol,
+                                     lock=self.act_exchange==Exchange.CFFEX,
                                      price=self.cur_act_tick.ask_price_1,
                                      volume=grid.volume * self.act_vol_ratio,
                                      order_type=self.order_type,
@@ -1295,6 +1378,7 @@ class CtaSpreadTemplate(CtaTemplate):
 
         # 被动腿多单平仓
         pas_vt_orderids = self.sell(vt_symbol=self.pas_vt_symbol,
+                                    lock=self.pas_exchange==Exchange.CFFEX,
                                     price=self.cur_pas_tick.bid_price_1,
                                     volume=grid.volume * self.pas_vol_ratio,
                                     order_type=self.order_type,

vnpy/gateway/gj/__init__.py

@@ -0,0 +1 @@
+from .gj_gateway import GjGateway

vnpy/gateway/gj/readme.md

@@ -0,0 +1,9 @@
+采用restful方式，访问另一台windows机器上的1430端口。
+服务运行:
+    
+    from vnpy.api.easytrader import server
+    server.run(port=1430)
+
+    资金账号和密码，通过http request的方式请求，无需在服务器中指定；
+    国金证券的'全能行证券交易终端'安装在服务器缺省的目录。
+    

vnpy/gateway/rohon/rohon_gateway.py

@@ -5,6 +5,9 @@ import json
 import traceback
 from datetime import datetime, timedelta
 from copy import copy,deepcopy
+from functools import lru_cache
+from typing import List
+import pandas as pd
 
 from .vnctpmd import MdApi
 from .vnctptd import TdApi
@@ -47,11 +50,13 @@ from vnpy.trader.constant import (
     OrderType,
     Product,
     Status,
-    OptionType
+    OptionType,
+    Interval
 )
 from vnpy.trader.gateway import BaseGateway
 from vnpy.trader.object import (
     TickData,
+    BarData,
     OrderData,
     TradeData,
     PositionData,
@@ -60,6 +65,7 @@ from vnpy.trader.object import (
     OrderRequest,
     CancelRequest,
     SubscribeRequest,
+    HistoryRequest
 )
 from vnpy.trader.utility import (
     extract_vt_symbol,
@@ -150,6 +156,64 @@ index_contracts = {}
 # tdx 期货配置本地缓存
 future_contracts = get_future_contracts()
 
+# 时间戳对齐
+TIME_GAP = 8 * 60 * 60 * 1000000000
+INTERVAL_VT2TQ = {
+    Interval.MINUTE: 60,
+    Interval.HOUR: 60 * 60,
+    Interval.DAILY: 60 * 60 * 24,
+}
+
+TQ2VT_TYPE = {
+    "FUTURE_OPTION": Product.OPTION,
+    "INDEX": Product.INDEX,
+    "FUTURE_COMBINE": Product.SPREAD,
+    "SPOT": Product.SPOT,
+    "FUTURE_CONT": Product.INDEX,
+    "FUTURE": Product.FUTURES,
+    "FUTURE_INDEX": Product.INDEX,
+    "OPTION": Product.OPTION,
+}
+
+@lru_cache(maxsize=9999)
+def vt_to_tq_symbol(symbol: str, exchange: Exchange) -> str:
+    """
+    TQSdk exchange first
+    """
+    for count, word in enumerate(symbol):
+        if word.isdigit():
+            break
+
+    fix_symbol = symbol
+    if exchange in [Exchange.INE, Exchange.SHFE, Exchange.DCE]:
+        fix_symbol = symbol.lower()
+
+    # Check for index symbol
+    time_str = symbol[count:]
+
+    if time_str in ["88"]:
+        return f"KQ.m@{exchange.value}.{fix_symbol[:count]}"
+    if time_str in ["99"]:
+        return f"KQ.i@{exchange.value}.{fix_symbol[:count]}"
+
+    return f"{exchange.value}.{fix_symbol}"
+
+
+@lru_cache(maxsize=9999)
+def tq_to_vt_symbol(tq_symbol: str) -> str:
+    """"""
+    if "KQ.m" in tq_symbol:
+        ins_type, instrument = tq_symbol.split("@")
+        exchange, symbol = instrument.split(".")
+        return f"{symbol}88.{exchange}"
+    elif "KQ.i" in tq_symbol:
+        ins_type, instrument = tq_symbol.split("@")
+        exchange, symbol = instrument.split(".")
+        return f"{symbol}99.{exchange}"
+    else:
+        exchange, symbol = tq_symbol.split(".")
+        return f"{symbol}.{exchange}"
+
 
 class RohonGateway(BaseGateway):
     """
@@ -183,6 +247,7 @@ class RohonGateway(BaseGateway):
         self.md_api = None
         self.tdx_api = None
         self.rabbit_api = None
+        self.tq_api = None
 
         self.subscribed_symbols = set()  # 已订阅合约代码
 
@@ -202,7 +267,7 @@ class RohonGateway(BaseGateway):
         auth_code = setting["授权编码"]
         product_info = setting["产品信息"]
         rabbit_dict = setting.get('rabbit', None)
-
+        tq_dict = setting.get('tq', None)
         if not td_address.startswith("tcp://"):
             td_address = "tcp://" + td_address
         if not md_address.startswith("tcp://"):
@@ -232,22 +297,28 @@ class RohonGateway(BaseGateway):
         self.md_api.connect(md_address, userid, password, brokerid)
 
         if rabbit_dict:
+            self.write_log(f'激活RabbitMQ行情接口')
             self.rabbit_api = SubMdApi(gateway=self)
             self.rabbit_api.connect(rabbit_dict)
+        elif tq_dict is not None:
+            self.write_log(f'激活天勤行情接口')
+            self.tq_api = TqMdApi(gateway=self)
+            self.tq_api.connect(tq_dict)
         else:
+            self.write_log(f'激活通达信行情接口')
             self.tdx_api = TdxMdApi(gateway=self)
             self.tdx_api.connect()
 
         self.init_query()
 
-        for (vt_symbol, is_bar) in self.subscribed_symbols:
+        for (vt_symbol, is_bar) in list(self.subscribed_symbols):
             symbol, exchange = extract_vt_symbol(vt_symbol)
             req = SubscribeRequest(
                 symbol=symbol,
                 exchange=exchange,
                 is_bar=is_bar
             )
-            # 指数合约，从tdx行情订阅
+            # 指数合约，从tdx行情、天勤订阅
             if req.symbol[-2:] in ['99']:
                 req.symbol = req.symbol.upper()
                 if self.tdx_api is not None:
@@ -255,7 +326,16 @@ class RohonGateway(BaseGateway):
                     self.tdx_api.connect()
                     self.tdx_api.subscribe(req)
                 elif self.rabbit_api is not None:
+                    # 使用rabbitmq获取
                     self.rabbit_api.subscribe(req)
+                elif self.tq_api:
+                    # 使用天勤行情获取
+                    self.tq_api.subscribe(req)
+            else:
+                # 上期所、上能源支持五档行情，使用天勤接口
+                if self.tq_api and req.exchange in [Exchange.SHFE, Exchange.INE]:
+                    self.write_log(f'使用天勤接口订阅')
+                    self.tq_api.subscribe(req)
                 else:
                     self.md_api.subscribe(req)
 
@@ -332,10 +412,21 @@ class RohonGateway(BaseGateway):
                 if req.symbol[-2:] in ['99']:
                     req.symbol = req.symbol.upper()
                     if self.tdx_api:
+                        self.write_log(f'使用通达信接口订阅{req.symbol}')
                         self.tdx_api.subscribe(req)
                     elif self.rabbit_api:
+                        self.write_log(f'使用RabbitMQ接口订阅{req.symbol}')
                         self.rabbit_api.subscribe(req)
+                    elif self.tq_api:
+                        self.write_log(f'使用天勤接口订阅{ req.symbol}')
+                        self.tq_api.subscribe(req)
                 else:
+                    # 上期所、上能源支持五档行情，使用天勤接口
+                    if self.tq_api and req.exchange in [Exchange.SHFE, Exchange.INE]:
+                        self.write_log(f'使用天勤接口订阅{ req.symbol}')
+                        self.tq_api.subscribe(req)
+                    else:
+                        self.write_log(f'使用CTP接口订阅{req.symbol}')
                         self.md_api.subscribe(req)
 
             # Allow the strategies to start before the connection
@@ -375,6 +466,13 @@ class RohonGateway(BaseGateway):
         """"""
         self.td_api.query_position()
 
+    def query_history(self, req: HistoryRequest) -> List[BarData]:
+        """查询K线历史"""
+        if self.tq_api:
+            return self.tq_api.query_history(req)
+        else:
+            return []
+
     def close(self):
         """"""
         if self.md_api:
@@ -401,6 +499,12 @@ class RohonGateway(BaseGateway):
             self.rabbit_api = None
             tmp4.close()
 
+        if self.tq_api:
+            self.write_log(u'天勤行情API')
+            tmp5 = self.tq_api
+            self.tq_api = None
+            tmp5.close()
+
     def process_timer_event(self, event):
         """"""
         self.count += 1
@@ -1703,6 +1807,224 @@ class SubMdApi():
             self.gateway.write_log(u'RabbitMQ行情订阅 {}'.format(str(vn_symbol)))
 
 
+class TqMdApi():
+    """天勤行情API"""
+
+    def __init__(self, gateway):
+        """"""
+        super().__init__()
+
+        self.gateway = gateway
+        self.gateway_name = gateway.gateway_name
+
+        self.api = None
+        self.is_connected = False
+        self.subscribe_array = []
+        # 行情对象列表
+        self.quote_objs = []
+
+        # 数据更新线程
+        self.update_thread = None
+        # 所有的合约
+        self.all_instruments = []
+
+        self.ticks = {}
+
+    def connect(self, setting):
+        """"""
+        try:
+            from tqsdk import TqApi
+            self.api = TqApi()
+        except Exception as e:
+            self.gateway.write_log(f'天勤行情API接入异常'.format(str(e)))
+        if self.api:
+            self.is_connected = True
+            self.gateway.write_log(f'天勤行情API已连接')
+            self.update_thread = Thread(target=self.update)
+            self.update_thread.start()
+
+    def generate_tick_from_quote(self, vt_symbol, quote) -> TickData:
+        """
+        生成TickData
+        """
+        # 清洗 nan
+        quote = {k: 0 if v != v else v for k, v in quote.items()}
+        symbol, exchange = extract_vt_symbol(vt_symbol)
+        tick = TickData(
+            symbol=symbol,
+            exchange=exchange,
+            datetime=datetime.strptime(quote["datetime"], "%Y-%m-%d %H:%M:%S.%f"),
+            name=symbol,
+            volume=quote["volume"],
+            open_interest=quote["open_interest"],
+            last_price=quote["last_price"],
+            limit_up=quote["upper_limit"],
+            limit_down=quote["lower_limit"],
+            open_price=quote["open"],
+            high_price=quote["highest"],
+            low_price=quote["lowest"],
+            pre_close=quote["pre_close"],
+            bid_price_1=quote["bid_price1"],
+            bid_price_2=quote["bid_price2"],
+            bid_price_3=quote["bid_price3"],
+            bid_price_4=quote["bid_price4"],
+            bid_price_5=quote["bid_price5"],
+            ask_price_1=quote["ask_price1"],
+            ask_price_2=quote["ask_price2"],
+            ask_price_3=quote["ask_price3"],
+            ask_price_4=quote["ask_price4"],
+            ask_price_5=quote["ask_price5"],
+            bid_volume_1=quote["bid_volume1"],
+            bid_volume_2=quote["bid_volume2"],
+            bid_volume_3=quote["bid_volume3"],
+            bid_volume_4=quote["bid_volume4"],
+            bid_volume_5=quote["bid_volume5"],
+            ask_volume_1=quote["ask_volume1"],
+            ask_volume_2=quote["ask_volume2"],
+            ask_volume_3=quote["ask_volume3"],
+            ask_volume_4=quote["ask_volume4"],
+            ask_volume_5=quote["ask_volume5"],
+            gateway_name=self.gateway_name
+        )
+        if symbol.endswith('99') and tick.ask_price_1 == 0.0 and tick.bid_price_1 == 0.0:
+            price_tick = quote['price_tick']
+            if isinstance(price_tick, float) or isinstance(price_tick,int):
+                tick.ask_price_1 = tick.last_price + price_tick
+                tick.ask_volume_1 = 1
+                tick.bid_price_1 = tick.last_price - price_tick
+                tick.bid_volume_1 = 1
+
+        return tick
+
+    def update(self) -> None:
+        """
+        更新行情/委托/账户/持仓
+        """
+        while self.api.wait_update():
+
+            # 更新行情信息
+            for vt_symbol, quote in self.quote_objs:
+                if self.api.is_changing(quote):
+                    tick = self.generate_tick_from_quote(vt_symbol, quote)
+                    if tick:
+                        self.gateway.on_tick(tick)
+                        self.gateway.on_custom_tick(tick)
+
+    def subscribe(self, req: SubscribeRequest) -> None:
+        """
+        订阅行情
+        """
+        if req.vt_symbol not in self.subscribe_array:
+            symbol, exchange = extract_vt_symbol(req.vt_symbol)
+            try:
+                quote = self.api.get_quote(vt_to_tq_symbol(symbol, exchange))
+                self.quote_objs.append((req.vt_symbol, quote))
+                self.subscribe_array.append(req.vt_symbol)
+            except Exception as ex:
+                self.gateway.write_log('订阅天勤行情异常:{}'.format(str(ex)))
+
+    def query_contracts(self) -> None:
+        """"""
+        self.all_instruments = [
+            v for k, v in self.api._data["quotes"].items() if v["expired"] == False
+        ]
+        for contract in self.all_instruments:
+            if (
+                "SSWE" in contract["instrument_id"]
+                or "CSI" in contract["instrument_id"]
+            ):
+                # vnpy没有这两个交易所，需要可以自行修改vnpy代码
+                continue
+
+            vt_symbol = tq_to_vt_symbol(contract["instrument_id"])
+            symbol, exchange = extract_vt_symbol(vt_symbol)
+
+            if TQ2VT_TYPE[contract["ins_class"]] == Product.OPTION:
+                contract_data = ContractData(
+                    symbol=symbol,
+                    exchange=exchange,
+                    name=symbol,
+                    product=TQ2VT_TYPE[contract["ins_class"]],
+                    size=contract["volume_multiple"],
+                    pricetick=contract["price_tick"],
+                    history_data=True,
+                    option_strike=contract["strike_price"],
+                    option_underlying=tq_to_vt_symbol(contract["underlying_symbol"]),
+                    option_type=OptionType[contract["option_class"]],
+                    option_expiry=datetime.fromtimestamp(contract["expire_datetime"]),
+                    option_index=tq_to_vt_symbol(contract["underlying_symbol"]),
+                    gateway_name=self.gateway_name,
+                )
+            else:
+                contract_data = ContractData(
+                    symbol=symbol,
+                    exchange=exchange,
+                    name=symbol,
+                    product=TQ2VT_TYPE[contract["ins_class"]],
+                    size=contract["volume_multiple"],
+                    pricetick=contract["price_tick"],
+                    history_data=True,
+                    gateway_name=self.gateway_name,
+                )
+            self.gateway.on_contract(contract_data)
+
+    def query_history(self, req: HistoryRequest) -> List[BarData]:
+        """
+        获取历史数据
+        """
+        symbol = req.symbol
+        exchange = req.exchange
+        interval = req.interval
+        start = req.start
+        end = req.end
+        # 天勤需要的数据
+        tq_symbol = vt_to_tq_symbol(symbol, exchange)
+        tq_interval = INTERVAL_VT2TQ.get(interval)
+        end += timedelta(1)
+        total_days = end - start
+        # 一次最多只能下载 8964 根Bar
+        min_length = min(8964, total_days.days * 500)
+        df = self.api.get_kline_serial(tq_symbol, tq_interval, min_length).sort_values(
+            by=["datetime"]
+        )
+
+        # 时间戳对齐
+        df["datetime"] = pd.to_datetime(df["datetime"] + TIME_GAP)
+
+        # 过滤开始结束时间
+        df = df[(df["datetime"] >= start - timedelta(days=1)) & (df["datetime"] < end)]
+
+        data: List[BarData] = []
+        if df is not None:
+            for ix, row in df.iterrows():
+                bar = BarData(
+                    symbol=symbol,
+                    exchange=exchange,
+                    interval=interval,
+                    datetime=row["datetime"].to_pydatetime(),
+                    open_price=row["open"],
+                    high_price=row["high"],
+                    low_price=row["low"],
+                    close_price=row["close"],
+                    volume=row["volume"],
+                    open_interest=row.get("close_oi", 0),
+                    gateway_name=self.gateway_name,
+                )
+                data.append(bar)
+        return data
+
+    def close(self) -> None:
+        """"""
+        try:
+            if self.api:
+                self.api.close()
+                self.is_connected = False
+                if self.update_thread:
+                    self.update_thread.join()
+        except Exception as e:
+            self.gateway.write_log('退出天勤行情api异常:{}'.format(str(e)))
+
+
 class TickCombiner(object):
     """
     Tick合成类