[Mod] complete test of QuoteApi
This commit is contained in:
vn.py
parent
260e270c22
commit
18b4162f4f
@ -1,31 +1,31 @@
|
||||
|
||||
from vnpy.event import EventEngine
|
||||
|
||||
from vnpy.trader.engine import MainEngine
|
||||
from vnpy.trader.ui import MainWindow, create_qapp
|
||||
|
||||
from vnpy.gateway.bitmex import BitmexGateway
|
||||
from vnpy.gateway.futu import FutuGateway
|
||||
from vnpy.gateway.ib import IbGateway
|
||||
from vnpy.gateway.ctp import CtpGateway
|
||||
# from vnpy.gateway.ctptest import CtptestGateway
|
||||
from vnpy.gateway.femas import FemasGateway
|
||||
from vnpy.gateway.tiger import TigerGateway
|
||||
from vnpy.gateway.oes import OesGateway
|
||||
from vnpy.gateway.okex import OkexGateway
|
||||
from vnpy.gateway.huobi import HuobiGateway
|
||||
from vnpy.gateway.bitfinex import BitfinexGateway
|
||||
from vnpy.gateway.onetoken import OnetokenGateway
|
||||
from vnpy.gateway.okexf import OkexfGateway
|
||||
from vnpy.gateway.xtp import XtpGateway
|
||||
from vnpy.gateway.hbdm import HbdmGateway
|
||||
# from vnpy.gateway.bitmex import BitmexGateway
|
||||
# from vnpy.gateway.futu import FutuGateway
|
||||
# from vnpy.gateway.ib import IbGateway
|
||||
# from vnpy.gateway.ctp import CtpGateway
|
||||
# # from vnpy.gateway.ctptest import CtptestGateway
|
||||
# from vnpy.gateway.femas import FemasGateway
|
||||
# from vnpy.gateway.tiger import TigerGateway
|
||||
# from vnpy.gateway.oes import OesGateway
|
||||
# from vnpy.gateway.okex import OkexGateway
|
||||
# from vnpy.gateway.huobi import HuobiGateway
|
||||
# from vnpy.gateway.bitfinex import BitfinexGateway
|
||||
# from vnpy.gateway.onetoken import OnetokenGateway
|
||||
# from vnpy.gateway.okexf import OkexfGateway
|
||||
# from vnpy.gateway.xtp import XtpGateway
|
||||
# from vnpy.gateway.hbdm import HbdmGateway
|
||||
from vnpy.gateway.tap import TapGateway
|
||||
|
||||
from vnpy.app.cta_strategy import CtaStrategyApp
|
||||
from vnpy.app.csv_loader import CsvLoaderApp
|
||||
from vnpy.app.algo_trading import AlgoTradingApp
|
||||
from vnpy.app.cta_backtester import CtaBacktesterApp
|
||||
from vnpy.app.data_recorder import DataRecorderApp
|
||||
from vnpy.app.risk_manager import RiskManagerApp
|
||||
# from vnpy.app.cta_strategy import CtaStrategyApp
|
||||
# from vnpy.app.csv_loader import CsvLoaderApp
|
||||
# from vnpy.app.algo_trading import AlgoTradingApp
|
||||
# from vnpy.app.cta_backtester import CtaBacktesterApp
|
||||
# from vnpy.app.data_recorder import DataRecorderApp
|
||||
# from vnpy.app.risk_manager import RiskManagerApp
|
||||
|
||||
|
||||
def main():
|
||||
@ -35,28 +35,29 @@ def main():
|
||||
event_engine = EventEngine()
|
||||
|
||||
main_engine = MainEngine(event_engine)
|
||||
main_engine.add_gateway(XtpGateway)
|
||||
main_engine.add_gateway(CtpGateway)
|
||||
# main_engine.add_gateway(CtptestGateway)
|
||||
main_engine.add_gateway(FemasGateway)
|
||||
main_engine.add_gateway(IbGateway)
|
||||
main_engine.add_gateway(FutuGateway)
|
||||
main_engine.add_gateway(BitmexGateway)
|
||||
main_engine.add_gateway(TigerGateway)
|
||||
main_engine.add_gateway(OesGateway)
|
||||
main_engine.add_gateway(OkexGateway)
|
||||
main_engine.add_gateway(HuobiGateway)
|
||||
main_engine.add_gateway(BitfinexGateway)
|
||||
main_engine.add_gateway(OnetokenGateway)
|
||||
main_engine.add_gateway(OkexfGateway)
|
||||
main_engine.add_gateway(HbdmGateway)
|
||||
# main_engine.add_gateway(XtpGateway)
|
||||
# main_engine.add_gateway(CtpGateway)
|
||||
# # main_engine.add_gateway(CtptestGateway)
|
||||
# main_engine.add_gateway(FemasGateway)
|
||||
# main_engine.add_gateway(IbGateway)
|
||||
# main_engine.add_gateway(FutuGateway)
|
||||
# main_engine.add_gateway(BitmexGateway)
|
||||
# main_engine.add_gateway(TigerGateway)
|
||||
# main_engine.add_gateway(OesGateway)
|
||||
# main_engine.add_gateway(OkexGateway)
|
||||
# main_engine.add_gateway(HuobiGateway)
|
||||
# main_engine.add_gateway(BitfinexGateway)
|
||||
# main_engine.add_gateway(OnetokenGateway)
|
||||
# main_engine.add_gateway(OkexfGateway)
|
||||
# main_engine.add_gateway(HbdmGateway)
|
||||
main_engine.add_gateway(TapGateway)
|
||||
|
||||
main_engine.add_app(CtaStrategyApp)
|
||||
main_engine.add_app(CtaBacktesterApp)
|
||||
main_engine.add_app(CsvLoaderApp)
|
||||
main_engine.add_app(AlgoTradingApp)
|
||||
main_engine.add_app(DataRecorderApp)
|
||||
main_engine.add_app(RiskManagerApp)
|
||||
# main_engine.add_app(CtaStrategyApp)
|
||||
# main_engine.add_app(CtaBacktesterApp)
|
||||
# main_engine.add_app(CsvLoaderApp)
|
||||
# main_engine.add_app(AlgoTradingApp)
|
||||
# main_engine.add_app(DataRecorderApp)
|
||||
# main_engine.add_app(RiskManagerApp)
|
||||
|
||||
main_window = MainWindow(main_engine, event_engine)
|
||||
main_window.showMaximized()
|
||||
|
||||
Binary file not shown.
0
vnpy/api/tap/__init__.py
Normal file
0
vnpy/api/tap/__init__.py
Normal file
@ -138,7 +138,7 @@ class CtpGateway(BaseGateway):
|
||||
|
||||
def __init__(self, event_engine):
|
||||
"""Constructor"""
|
||||
super(CtpGateway, self).__init__(event_engine, "CTP")
|
||||
super().__init__(event_engine, "CTP")
|
||||
|
||||
self.td_api = CtpTdApi(self)
|
||||
self.md_api = CtpMdApi(self)
|
||||
|
||||
@ -3,17 +3,27 @@ from dataclasses import dataclass
|
||||
from datetime import datetime
|
||||
from typing import Any, Dict, Optional, Tuple
|
||||
|
||||
from vnpy.api.tap.vntap import (APIYNFLAG_NO, AsyncDispatchException, CreateTapQuoteAPI,
|
||||
FreeTapQuoteAPI, ITapQuoteAPI, ITapQuoteAPINotify,
|
||||
TAPIERROR_SUCCEED, TAPI_CALLPUT_FLAG_NONE,
|
||||
TAPI_COMMODITY_TYPE_FUTURES, TAPI_COMMODITY_TYPE_INDEX,
|
||||
TAPI_COMMODITY_TYPE_OPTION, TAPI_COMMODITY_TYPE_SPOT,
|
||||
TAPI_COMMODITY_TYPE_STOCK, TapAPIApplicationInfo, TapAPIContract,
|
||||
TapAPIQuotLoginRspInfo, TapAPIQuoteCommodityInfo,
|
||||
TapAPIQuoteContractInfo, TapAPIQuoteLoginAuth, TapAPIQuoteWhole,
|
||||
set_async_callback_exception_handler)
|
||||
|
||||
from vnpy.api.tap.vntap import (
|
||||
APIYNFLAG_NO, AsyncDispatchException, CreateTapQuoteAPI,
|
||||
FreeTapQuoteAPI, ITapQuoteAPI, ITapQuoteAPINotify,
|
||||
TAPIERROR_SUCCEED, TAPI_CALLPUT_FLAG_NONE,
|
||||
TAPI_COMMODITY_TYPE_FUTURES, TAPI_COMMODITY_TYPE_INDEX,
|
||||
TAPI_COMMODITY_TYPE_OPTION, TAPI_COMMODITY_TYPE_SPOT,
|
||||
TAPI_COMMODITY_TYPE_STOCK, TapAPIApplicationInfo, TapAPIContract,
|
||||
TapAPIQuotLoginRspInfo, TapAPIQuoteCommodityInfo,
|
||||
TapAPIQuoteContractInfo, TapAPIQuoteLoginAuth, TapAPIQuoteWhole,
|
||||
set_async_callback_exception_handler,
|
||||
CreateITapTradeAPI
|
||||
)
|
||||
from vnpy.api.tap.vntap.ITapTrade import (
|
||||
ITapTradeAPINotify, ITapTradeAPI,
|
||||
TapAPITradeLoginRspInfo,
|
||||
TapAPIApplicationInfo as TapTradeAPIApplicationInfo,
|
||||
TapAPITradeLoginAuth, TapAPIAccQryReq, TapAPIFundReq,
|
||||
TapAPIAccountInfo, TapAPIFundData
|
||||
)
|
||||
from vnpy.api.tap.error_codes import error_map
|
||||
|
||||
from vnpy.event import EventEngine
|
||||
from vnpy.trader.constant import Exchange, Product
|
||||
from vnpy.trader.gateway import BaseGateway
|
||||
@ -38,124 +48,212 @@ EXCHANGE_TAP2VT = {
|
||||
'APEX': Exchange.APEX,
|
||||
'NYMEX': Exchange.NYMEX,
|
||||
'LME': Exchange.LME,
|
||||
'COMEX': Exchange.COMEX, # verify: I added this exchange in vnpy, is this correct?
|
||||
'COMEX': Exchange.COMEX,
|
||||
'CBOT': Exchange.CBOT,
|
||||
'HKEX': Exchange.HKFE, # verify: is this correct?,
|
||||
'HKEX': Exchange.HKFE,
|
||||
'CME': Exchange.CME,
|
||||
}
|
||||
EXCHANGE_VT2TAP = {v: k for k, v in EXCHANGE_TAP2VT.items()}
|
||||
|
||||
|
||||
def parse_datetime(dt_str: str):
|
||||
# todo: 我不知道这个时间所用的是哪种时间
|
||||
# yyyy-MM-dd hh:nn:ss.xxx
|
||||
return datetime.strptime(dt_str, "%Y-%m-%d %H:%M:%S.%f")
|
||||
commodity_infos = {}
|
||||
extra_infos = {}
|
||||
|
||||
|
||||
def error_to_str(err_code: int) -> str:
|
||||
try:
|
||||
return error_map[err_code]
|
||||
except KeyError:
|
||||
return f"Unknown error({err_code})"
|
||||
|
||||
|
||||
@dataclass()
|
||||
class ContractExtraInfo:
|
||||
class TapGateway(BaseGateway):
|
||||
"""
|
||||
缓存一些ITAP API不直接提供的信息，而且仅仅保存这些信息。Symbol之类的作为键就不保存在这里面了
|
||||
VN Trader gateway for Esunny 9.0.
|
||||
"""
|
||||
name: str
|
||||
commodity_type: int
|
||||
commodity_no: str
|
||||
|
||||
default_setting = {
|
||||
"quote_username": "",
|
||||
"quote_password": "",
|
||||
"quote_host": "",
|
||||
"quote_port": 0,
|
||||
"trade_username": "",
|
||||
"trade_password": "",
|
||||
"trade_host": "",
|
||||
"trade_port": 0,
|
||||
"auth_code": ""
|
||||
}
|
||||
|
||||
exchanges = list(EXCHANGE_VT2TAP.keys())
|
||||
|
||||
def __init__(self, event_engine: EventEngine):
|
||||
""""""
|
||||
super().__init__(event_engine, "TAP")
|
||||
|
||||
self.quote_api = QuoteApi(self)
|
||||
self.trade_api = TradeApi(self)
|
||||
|
||||
set_async_callback_exception_handler(
|
||||
self._async_callback_exception_handler)
|
||||
|
||||
def connect(self, setting: dict):
|
||||
""""""
|
||||
quote_username = setting["quote_username"]
|
||||
quote_password = setting["quote_password"]
|
||||
quote_host = setting["quote_host"]
|
||||
quote_port = setting["quote_port"]
|
||||
trade_username = setting["trade_username"]
|
||||
trade_password = setting["trade_password"]
|
||||
trade_host = setting["trade_host"]
|
||||
trade_port = setting["trade_port"]
|
||||
auth_code = setting["auth_code"]
|
||||
|
||||
self.trade_api.connect(
|
||||
trade_username,
|
||||
trade_password,
|
||||
trade_host,
|
||||
trade_port,
|
||||
auth_code
|
||||
)
|
||||
self.quote_api.connect(
|
||||
quote_username,
|
||||
quote_password,
|
||||
quote_host,
|
||||
quote_port,
|
||||
auth_code
|
||||
)
|
||||
|
||||
def close(self):
|
||||
""""""
|
||||
self.trade_api.close()
|
||||
self.quote_api.close()
|
||||
|
||||
def subscribe(self, req: SubscribeRequest):
|
||||
""""""
|
||||
self.quote_api.subscribe(req)
|
||||
|
||||
def send_order(self, req: OrderRequest) -> str:
|
||||
""""""
|
||||
return self.trade_api.send_order(req)
|
||||
|
||||
def cancel_order(self, req: CancelRequest):
|
||||
""""""
|
||||
self.trade_api.cancel_order(req)
|
||||
|
||||
def query_account(self):
|
||||
""""""
|
||||
self.trade_api.query_account()
|
||||
|
||||
def query_position(self):
|
||||
""""""
|
||||
self.trade_api.query_position()
|
||||
|
||||
def _async_callback_exception_handler(self, e: AsyncDispatchException):
|
||||
""""""
|
||||
error_str = (f"发生内部错误，位置：\n{e.instance}.{e.function_name}，详细信息：\n"
|
||||
f"{e.what}\n"
|
||||
)
|
||||
print(error_str)
|
||||
self.write_log(error_str)
|
||||
return True
|
||||
|
||||
|
||||
class QuoteNotify(ITapQuoteAPINotify):
|
||||
class QuoteApi(ITapQuoteAPINotify):
|
||||
""""""
|
||||
|
||||
def __init__(self, gateway: "TapGateway"):
|
||||
def __init__(self, gateway: TapGateway):
|
||||
""""""
|
||||
super().__init__()
|
||||
|
||||
self.gateway = gateway
|
||||
self.api = None
|
||||
|
||||
@property
|
||||
def api(self) -> ITapQuoteAPI:
|
||||
return self.gateway.api
|
||||
|
||||
def OnRspLogin(self, errorCode: int, info: TapAPIQuotLoginRspInfo) -> Any:
|
||||
if self.gateway.if_error_write_log(errorCode, "OnRspQryCommodity"):
|
||||
def OnRspLogin(self, errorCode: int, info: TapAPIQuotLoginRspInfo):
|
||||
""""""
|
||||
if errorCode != TAPIERROR_SUCCEED:
|
||||
self.gateway.write_log("行情服务器登录失败")
|
||||
return
|
||||
self.gateway.write_log("行情服务器登录成功")
|
||||
else:
|
||||
self.gateway.write_log("行情服务器登录成功")
|
||||
|
||||
def OnAPIReady(self) -> Any:
|
||||
print("OnApiReady")
|
||||
error_code, sessionId = self.api.QryCommodity()
|
||||
if self.gateway.if_error_write_log(error_code, "api.QryCommodity"):
|
||||
return
|
||||
def OnAPIReady(self):
|
||||
""""""
|
||||
self.api.QryCommodity()
|
||||
|
||||
def OnDisconnect(self, reasonCode: int) -> Any:
|
||||
print(f"OnDisconnect : {error_to_str(reasonCode)}")
|
||||
def OnDisconnect(self, reasonCode: int):
|
||||
""""""
|
||||
self.gateway.write_log(f"行情服务器连接断开，原因：{reasonCode}")
|
||||
|
||||
def OnRspQryCommodity(
|
||||
self,
|
||||
sessionID: int,
|
||||
errorCode: int,
|
||||
isLast: int,
|
||||
isLast: str,
|
||||
info: TapAPIQuoteCommodityInfo,
|
||||
) -> Any:
|
||||
if self.gateway.if_error_write_log(errorCode, "OnRspQryCommodity"):
|
||||
):
|
||||
""""""
|
||||
if errorCode != TAPIERROR_SUCCEED:
|
||||
self.gateway.write_log("查询交易品种信息失败")
|
||||
return
|
||||
|
||||
error_code, session_id = self.api.QryContract(info.Commodity)
|
||||
if self.gateway.if_error_write_log(error_code, "api.QryContract"):
|
||||
return
|
||||
commodity_info = CommodityInfo(
|
||||
name=info.CommodityName,
|
||||
size=info.ContractSize, # value is 0 in sim environment
|
||||
pricetick=info.CommodityTickSize
|
||||
)
|
||||
commodity_infos[info.Commodity.CommodityNo] = commodity_info
|
||||
|
||||
self.api.QryContract(info.Commodity)
|
||||
|
||||
if isLast == "Y":
|
||||
self.gateway.write_log("查询交易品种信息成功")
|
||||
|
||||
def OnRspQryContract(
|
||||
self, sessionID: int, errorCode: int, isLast: int, info: TapAPIQuoteContractInfo
|
||||
) -> Any:
|
||||
if self.gateway.if_error_write_log(errorCode, "OnRspQryContract"):
|
||||
self, sessionID: int, errorCode: int, isLast: str, info: TapAPIQuoteContractInfo
|
||||
):
|
||||
""""""
|
||||
if errorCode != TAPIERROR_SUCCEED:
|
||||
self.gateway.write_log("查询交易合约信息失败")
|
||||
return
|
||||
if info is not None: # isLast == True ==> info is None
|
||||
symbol = info.Contract.ContractNo1 # what's the different between No1 and No2?
|
||||
exchange = EXCHANGE_TAP2VT[info.Contract.Commodity.ExchangeNo]
|
||||
name = info.ContractName
|
||||
contract_data = ContractData(
|
||||
gateway_name=self.gateway.gateway_name,
|
||||
symbol=symbol,
|
||||
exchange=exchange,
|
||||
name=name,
|
||||
product=PRODUCT_TYPE_TAP2VT.get(info.ContractType, Product.EQUITY),
|
||||
size=1, # verify: no key for this
|
||||
pricetick=1, # verify: no key for this
|
||||
min_volume=1, # verify: no key for this
|
||||
# ...
|
||||
)
|
||||
contract_extra_info = ContractExtraInfo(
|
||||
name=name,
|
||||
commodity_type=info.Contract.Commodity.CommodityType,
|
||||
commodity_no=info.Contract.Commodity.CommodityNo,
|
||||
)
|
||||
self.gateway.contract_extra_infos[(symbol, exchange)] = contract_extra_info
|
||||
self.gateway.on_contract(contract_data)
|
||||
|
||||
if not info:
|
||||
return
|
||||
|
||||
commodity_info = commodity_infos[info.Contract.Commodity.CommodityNo]
|
||||
symbol = info.Contract.Commodity.CommodityNo + info.Contract.ContractNo1
|
||||
|
||||
contract = ContractData(
|
||||
symbol=symbol,
|
||||
exchange=EXCHANGE_TAP2VT[info.Contract.Commodity.ExchangeNo],
|
||||
name=symbol,
|
||||
product=Product.FUTURES,
|
||||
size=commodity_info.size,
|
||||
pricetick=commodity_info.pricetick,
|
||||
gateway_name=self.gateway.gateway_name
|
||||
)
|
||||
self.gateway.on_contract(contract)
|
||||
|
||||
extra_info = ExtraInfo(
|
||||
name=contract.name,
|
||||
commodity_type=info.Contract.Commodity.CommodityType,
|
||||
commodity_no=info.Contract.Commodity.CommodityNo,
|
||||
)
|
||||
extra_infos[(contract.symbol, contract.exchange)] = extra_info
|
||||
|
||||
def OnRspSubscribeQuote(
|
||||
self, sessionID: int, errorCode: int, isLast: int, info: TapAPIQuoteWhole
|
||||
) -> Any:
|
||||
print("OnRspSubscribeQuote")
|
||||
if self.gateway.if_error_write_log(errorCode, "OnRspSubscribeQuote"):
|
||||
return
|
||||
self, sessionID: int, errorCode: int, isLast: str, info: TapAPIQuoteWhole
|
||||
):
|
||||
if errorCode != TAPIERROR_SUCCEED:
|
||||
self.gateway.write_log("订阅行情失败")
|
||||
else:
|
||||
self.update_tick(info)
|
||||
|
||||
def OnRspUnSubscribeQuote(
|
||||
self, sessionID: int, errorCode: int, isLast: int, info: TapAPIContract
|
||||
) -> Any:
|
||||
print("OnRspUnSubscribeQuote")
|
||||
if self.gateway.if_error_write_log(errorCode, "OnRspUnSubscribeQuote"):
|
||||
return
|
||||
def OnRtnQuote(self, info: TapAPIQuoteWhole):
|
||||
""""""
|
||||
self.update_tick(info)
|
||||
|
||||
def OnRtnQuote(self, info: TapAPIQuoteWhole) -> Any:
|
||||
def update_tick(self, info: TapAPIQuoteWhole):
|
||||
""""""
|
||||
symbol = info.Contract.ContractNo1
|
||||
exchange = EXCHANGE_TAP2VT[info.Contract.Commodity.ExchangeNo]
|
||||
extra_info = self.gateway.contract_extra_infos[(symbol, exchange)]
|
||||
|
||||
extra_info = extra_infos.get((symbol, exchange), None)
|
||||
if not extra_info:
|
||||
return
|
||||
|
||||
tick = TickData(
|
||||
gateway_name=self.gateway.gateway_name,
|
||||
symbol=symbol,
|
||||
exchange=exchange,
|
||||
datetime=parse_datetime(info.DateTimeStamp),
|
||||
@ -189,113 +287,174 @@ class QuoteNotify(ITapQuoteAPINotify):
|
||||
ask_volume_3=info.QAskQty[2],
|
||||
ask_volume_4=info.QAskQty[3],
|
||||
ask_volume_5=info.QAskQty[4],
|
||||
gateway_name=self.gateway.gateway_name,
|
||||
)
|
||||
self.gateway.on_tick(tick=tick)
|
||||
self.gateway.on_tick(tick)
|
||||
|
||||
def connect(self, username: str, password: str, host: str, port: int, auth_code: str):
|
||||
""""""
|
||||
# Create API object
|
||||
info = TapAPIApplicationInfo()
|
||||
info.AuthCode = auth_code
|
||||
|
||||
class TapGateway(BaseGateway):
|
||||
default_setting = {
|
||||
"auth_code": "",
|
||||
"quote_host": "123.15.58.21",
|
||||
"quote_port": 7171,
|
||||
"quote_username": "",
|
||||
"quote_password": "",
|
||||
}
|
||||
exchanges = list(EXCHANGE_VT2TAP.keys())
|
||||
|
||||
def __init__(self, event_engine: EventEngine):
|
||||
super().__init__(event_engine, "ITAP")
|
||||
self.api: Optional[ITapQuoteAPI] = None
|
||||
self.quote_notify = QuoteNotify(self)
|
||||
|
||||
# [symbol, exchange] : [CommodityType, CommodityNo]
|
||||
self.contract_extra_infos: Dict[Tuple[str, Exchange], ContractExtraInfo] = {}
|
||||
set_async_callback_exception_handler(self._async_callback_exception_handler)
|
||||
|
||||
def connect(self, setting: dict):
|
||||
auth_code = setting["auth_code"]
|
||||
quote_host = setting["quote_host"]
|
||||
quote_port = setting["quote_port"]
|
||||
quote_username = setting["quote_username"]
|
||||
quote_password = setting["quote_password"]
|
||||
# print("quote version:", GetTapQuoteAPIVersion())
|
||||
# print("trade version:", GetITapTradeAPIVersion())
|
||||
|
||||
ai = TapAPIApplicationInfo()
|
||||
ai.AuthCode = auth_code
|
||||
|
||||
# iResult是输出参数，Python中只能用返回值作为输出。
|
||||
# 具体输出了哪些，可以看pyi的注释
|
||||
api, iResult = CreateTapQuoteAPI(ai)
|
||||
if api is None:
|
||||
self.if_error_write_log(iResult, "CreateTapQuoteAPI")
|
||||
self.api, iResult = CreateTapQuoteAPI(info)
|
||||
if not self.api:
|
||||
self.gateway.write_log("行情API初始化失败")
|
||||
return
|
||||
|
||||
assert self.api is None
|
||||
self.api = api
|
||||
# Set server address and port
|
||||
self.api.SetAPINotify(self)
|
||||
self.api.SetHostAddress(host, port)
|
||||
|
||||
api.SetAPINotify(self.quote_notify)
|
||||
error_code: int = api.SetHostAddress(quote_host, quote_port)
|
||||
if self.if_error_write_log(error_code, "SetHostAddress"):
|
||||
return
|
||||
# Start connection
|
||||
login_auth = TapAPIQuoteLoginAuth()
|
||||
login_auth.UserNo = username
|
||||
login_auth.Password = password
|
||||
login_auth.ISDDA = APIYNFLAG_NO
|
||||
login_auth.ISModifyPassword = APIYNFLAG_NO
|
||||
|
||||
# login
|
||||
la = TapAPIQuoteLoginAuth()
|
||||
la.UserNo = quote_username
|
||||
la.Password = quote_password
|
||||
la.ISDDA = APIYNFLAG_NO
|
||||
la.ISModifyPassword = APIYNFLAG_NO
|
||||
error_code: int = api.Login(la) # async
|
||||
if self.if_error_write_log(error_code, "api.Login"):
|
||||
return
|
||||
self.api.Login(login_auth)
|
||||
|
||||
def close(self):
|
||||
""""""
|
||||
self.api.SetAPINotify(None)
|
||||
self.quote_notify = None
|
||||
FreeTapQuoteAPI(self.api)
|
||||
self.api = None
|
||||
pass
|
||||
|
||||
def subscribe(self, req: SubscribeRequest):
|
||||
contract = TapAPIContract()
|
||||
extra_info = self.contract_extra_infos[(req.symbol, req.exchange)]
|
||||
contract.Commodity.ExchangeNo = EXCHANGE_VT2TAP[req.exchange]
|
||||
contract.Commodity.CommodityType = extra_info.commodity_type
|
||||
contract.Commodity.CommodityNo = extra_info.commodity_no
|
||||
contract.ContractNo1 = req.symbol
|
||||
contract.CallOrPutFlag1 = TAPI_CALLPUT_FLAG_NONE
|
||||
contract.CallOrPutFlag2 = TAPI_CALLPUT_FLAG_NONE
|
||||
error_code, session_id = self.api.SubscribeQuote(contract)
|
||||
if self.if_error_write_log(error_code, "api.SubscribeQuote"):
|
||||
""""""
|
||||
extra_info = extra_infos.get((req.symbol, req.exchange), None)
|
||||
if not extra_info:
|
||||
self.gateway.write_log(
|
||||
f"找不到匹配的合约：{req.symbol}和{req.exchange.value}")
|
||||
return
|
||||
|
||||
def send_order(self, req: OrderRequest) -> str:
|
||||
tap_contract = TapAPIContract()
|
||||
tap_contract.Commodity.ExchangeNo = EXCHANGE_VT2TAP[req.exchange]
|
||||
tap_contract.Commodity.CommodityType = extra_info.commodity_type
|
||||
tap_contract.Commodity.CommodityNo = extra_info.commodity_no
|
||||
tap_contract.ContractNo1 = req.symbol
|
||||
tap_contract.CallOrPutFlag1 = TAPI_CALLPUT_FLAG_NONE
|
||||
tap_contract.CallOrPutFlag2 = TAPI_CALLPUT_FLAG_NONE
|
||||
|
||||
self.api.SubscribeQuote(tap_contract)
|
||||
|
||||
|
||||
class TradeApi(ITapTradeAPINotify):
|
||||
""""""
|
||||
|
||||
def __init__(self, gateway: TapGateway):
|
||||
""""""
|
||||
super().__init__()
|
||||
|
||||
self.gateway = gateway
|
||||
self.api = None
|
||||
|
||||
def OnConnect(self):
|
||||
""""""
|
||||
self.gateway.write_log("交易服务器连接成功")
|
||||
|
||||
def OnRspLogin(self, errorCode: int, info: TapAPITradeLoginRspInfo):
|
||||
""""""
|
||||
if errorCode != TAPIERROR_SUCCEED:
|
||||
error_msg = error_to_str(errorCode)
|
||||
self.gateway.write_log(f"交易服务器登录失败：{error_msg}")
|
||||
else:
|
||||
self.gateway.write_log("交易服务器登录成功")
|
||||
|
||||
def OnRspQryAccount(
|
||||
self,
|
||||
sessionID: int,
|
||||
errorCode: int,
|
||||
isLast: str,
|
||||
info: TapAPIFundData
|
||||
):
|
||||
req = TapAPIFundReq()
|
||||
req.AccountNo = info.AccountNo
|
||||
self.api.QryFund(req)
|
||||
|
||||
def OnRspQryFund(
|
||||
self,
|
||||
sessionID: int,
|
||||
errorCode: int,
|
||||
isLast: str,
|
||||
info: TapAPIAccountInfo
|
||||
):
|
||||
self.update_account(info)
|
||||
|
||||
def update_account(self, info: TapAPIAccountInfo):
|
||||
""""""
|
||||
account = AccountData()
|
||||
|
||||
def connect(self, username: str, password: str, host: str, port: int, auth_code: str):
|
||||
""""""
|
||||
# Create API object
|
||||
info = TapTradeAPIApplicationInfo()
|
||||
info.AuthCode = auth_code
|
||||
|
||||
self.api, iResult = CreateITapTradeAPI(info)
|
||||
if not self.api:
|
||||
self.gateway.write_log("交易API初始化失败")
|
||||
return
|
||||
|
||||
# Set server address and port
|
||||
self.api.SetAPINotify(self)
|
||||
self.api.SetHostAddress(host, port, False)
|
||||
|
||||
# Start connection
|
||||
login_auth = TapAPITradeLoginAuth()
|
||||
login_auth.UserNo = username
|
||||
login_auth.Password = password
|
||||
login_auth.ISModifyPassword = APIYNFLAG_NO
|
||||
|
||||
self.api.Login(login_auth)
|
||||
|
||||
def send_order(self, req: OrderRequest):
|
||||
""""""
|
||||
pass
|
||||
|
||||
def cancel_order(self, req: CancelRequest):
|
||||
""""""
|
||||
pass
|
||||
|
||||
def query_account(self):
|
||||
pass
|
||||
""""""
|
||||
req = TapAPIAccQryReq()
|
||||
self.api.QryAccount(req)
|
||||
|
||||
def query_position(self):
|
||||
""""""
|
||||
pass
|
||||
|
||||
def _async_callback_exception_handler(self, e: AsyncDispatchException):
|
||||
error_str = (f"发生内部错误，位置：\n{e.instance}.{e.function_name}，详细信息：\n"
|
||||
f"{e.what}\n"
|
||||
)
|
||||
print(error_str, file=sys.stderr, flush=True)
|
||||
self.write_log(error_str)
|
||||
return True
|
||||
|
||||
def if_error_write_log(self, error_code: int, function: str):
|
||||
"""
|
||||
检查返回值，如果发生错误，调用write_log报告该错误，并返回True
|
||||
:return: 若有错误发生，返回True
|
||||
"""
|
||||
if TAPIERROR_SUCCEED != error_code:
|
||||
error_msg = f"调用{function}时出错：\n{error_to_str(error_code)}"
|
||||
self.write_log(error_msg)
|
||||
print(error_msg, file=sys.stderr)
|
||||
return True
|
||||
def parse_datetime(dt_str: str):
|
||||
""""""
|
||||
try:
|
||||
dt = datetime.strptime(dt_str, "%Y-%m-%d %H:%M:%S.%f")
|
||||
except ValueError:
|
||||
dt = datetime(1970, 1, 1)
|
||||
return dt
|
||||
|
||||
|
||||
def error_to_str(err_code: int) -> str:
|
||||
""""""
|
||||
try:
|
||||
return error_map[err_code]
|
||||
except KeyError:
|
||||
return f"Unknown error({err_code})"
|
||||
|
||||
|
||||
@dataclass
|
||||
class ExtraInfo:
|
||||
""""""
|
||||
name: str
|
||||
commodity_type: int
|
||||
commodity_no: str
|
||||
|
||||
|
||||
@dataclass
|
||||
class CommodityInfo:
|
||||
""""""
|
||||
name: str
|
||||
size: int
|
||||
pricetick: float
|
||||
|
||||
Loading…
Reference in New Issue
Block a user