vn.py
parent
ee4f690e26
commit
1aa3b53726
@ -9,9 +9,6 @@ from vnpy.api.xtp.vnxtp import (
|
||||
XTPSpecificTickerStruct,
|
||||
XTPTickByTickStruct,
|
||||
XTPTickerPriceInfo,
|
||||
XTPQueryOrderReq,
|
||||
XTPQueryTraderReq,
|
||||
XTPOrderInsertInfo,
|
||||
XTP_EXCHANGE_TYPE,
|
||||
XTP_LOG_LEVEL,
|
||||
XTP_PROTOCOL_TYPE,
|
||||
@ -21,17 +18,11 @@ from vnpy.api.xtp.vnxtp import (
|
||||
XTP_TICKER_TYPE_BOND,
|
||||
XTP_TICKER_TYPE_OPTION,
|
||||
XTP_PROTOCOL_TCP,
|
||||
XTP_PROTOCOL_UDP,
|
||||
XTP_TERT_RESTART,
|
||||
XTP_SIDE_BUY,
|
||||
XTP_SIDE_SELL,
|
||||
XTP_PRICE_LIMIT,
|
||||
XTP_PRICE_BEST5_OR_CANCEL,
|
||||
XTP_BUSINESS_TYPE_CASH
|
||||
XTP_PROTOCOL_UDP
|
||||
)
|
||||
|
||||
from vnpy.event import EventEngine
|
||||
from vnpy.trader.constant import Exchange, Product, Direction, OrderType
|
||||
from vnpy.trader.constant import Exchange, Product
|
||||
from vnpy.trader.gateway import BaseGateway
|
||||
from vnpy.trader.object import (CancelRequest, OrderRequest, SubscribeRequest,
|
||||
TickData, ContractData, OrderData, TradeData,
|
||||
@ -54,18 +45,6 @@ PRODUCT_XTP2VT = {
|
||||
XTP_TICKER_TYPE_OPTION: Product.OPTION
|
||||
}
|
||||
|
||||
DIRECTION_VT2XTP = {
|
||||
Direction.LONG: XTP_SIDE_BUY,
|
||||
Direction.SHORT: XTP_SIDE_SELL
|
||||
}
|
||||
DIRECTION_XTP2VT = {v: k for k, v in DIRECTION_VT2XTP.items()}
|
||||
|
||||
ORDERTYPE_VT2XTP = {
|
||||
OrderType.LIMIT: XTP_PRICE_LIMIT,
|
||||
OrderType.MARKET: XTP_PRICE_BEST5_OR_CANCEL
|
||||
}
|
||||
ORDERTYPE_XTP2VT = {v: k for k, v in ORDERTYPE_VT2XTP.items()}
|
||||
|
||||
|
||||
symbol_name_map = {}
|
||||
|
||||
@ -88,7 +67,6 @@ class XtpGateway(BaseGateway):
|
||||
super().__init__(event_engine, "XTP")
|
||||
|
||||
self.quote_api = XtpQuoteApi(self)
|
||||
self.trader_api = XtpTraderApi(self)
|
||||
|
||||
def connect(self, setting: dict):
|
||||
""""""
|
||||
@ -97,47 +75,38 @@ class XtpGateway(BaseGateway):
|
||||
client_id = setting['客户号']
|
||||
quote_ip = setting['行情地址']
|
||||
quote_port = setting['行情端口']
|
||||
trader_ip = setting['交易地址']
|
||||
trader_port = setting['交易端口']
|
||||
trade_ip = setting['交易地址']
|
||||
trade_port = setting['交易端口']
|
||||
quote_protocol = setting["行情协议"]
|
||||
|
||||
self.quote_api.connect(userid, password, client_id,
|
||||
quote_ip, quote_port, quote_protocol)
|
||||
self.trader_api.connect(userid, password, client_id,
|
||||
trader_ip, trader_port)
|
||||
|
||||
def close(self):
|
||||
""""""
|
||||
self.quote_api.close()
|
||||
self.trader_api.close()
|
||||
pass
|
||||
|
||||
def subscribe(self, req: SubscribeRequest):
|
||||
""""""
|
||||
self.quote_api.subscrbie(req)
|
||||
|
||||
def send_order(self, req: OrderRequest) -> str:
|
||||
""""""
|
||||
return self.trader_api.send_order(req)
|
||||
pass
|
||||
|
||||
def cancel_order(self, req: CancelRequest):
|
||||
""""""
|
||||
self.trader_api.cancel_order(req)
|
||||
pass
|
||||
|
||||
def query_account(self):
|
||||
""""""
|
||||
self.trader_api.query_account()
|
||||
pass
|
||||
|
||||
def query_position(self):
|
||||
""""""
|
||||
self.trader_api.query_position()
|
||||
pass
|
||||
|
||||
|
||||
class XtpQuoteApi(API.QuoteSpi):
|
||||
|
||||
def __init__(self, gateway: BaseGateway):
|
||||
""""""
|
||||
super().__init__()
|
||||
|
||||
self.gateway = gateway
|
||||
self.gateway_name = gateway.gateway_name
|
||||
|
||||
@ -197,17 +166,12 @@ class XtpQuoteApi(API.QuoteSpi):
|
||||
|
||||
if not ret:
|
||||
msg = "行情服务器登录成功"
|
||||
|
||||
self.query_contract()
|
||||
else:
|
||||
msg = f"行情服务器登录失败，原因：{ret}"
|
||||
self.gateway.write_log(msg)
|
||||
|
||||
def close(self):
|
||||
""""""
|
||||
if self.api:
|
||||
self.api.RegisterSpi(None)
|
||||
self.api.Release()
|
||||
|
||||
def subscrbie(self, req: SubscribeRequest):
|
||||
""""""
|
||||
xtp_exchange = EXCHANGE_VT2XTP.get(req.exchange, "")
|
||||
@ -350,22 +314,23 @@ class XtpQuoteApi(API.QuoteSpi):
|
||||
def OnQueryAllTickers(self, ticker_info: XTPQuoteStaticInfo, error_info: XTPRspInfoStruct,
|
||||
is_last: bool) -> Any:
|
||||
""""""
|
||||
if self.check_error("查询合约", error_info):
|
||||
return
|
||||
# if self.check_error("查询合约", error_info):
|
||||
# return
|
||||
|
||||
contract = ContractData(
|
||||
symbol=ticker_info.ticker,
|
||||
exchange=EXCHANGE_XTP2VT[ticker_info.exchange_id],
|
||||
name=ticker_info.ticker_name,
|
||||
product=PRODUCT_XTP2VT[ticker_info.ticker_type],
|
||||
size=1,
|
||||
pricetick=ticker_info.pricetick,
|
||||
min_volume=ticker_info.buy_qty_unit,
|
||||
gateway_name=self.gateway_name
|
||||
)
|
||||
self.gateway.on_contract(contract)
|
||||
# contract = ContractData(
|
||||
# symbol=ticker_info.ticker,
|
||||
# exchange=EXCHANGE_XTP2VT[ticker_info.exchange_id],
|
||||
# name=ticker_info.ticker_name,
|
||||
# product=PRODUCT_XTP2VT[ticker_info.ticker_type],
|
||||
# size=1,
|
||||
# pricetick=ticker_info.pricetick,
|
||||
# min_volume=ticker_info.buy_qty_unit,
|
||||
# gateway_name=self.gateway_name
|
||||
# )
|
||||
# self.gateway.on_contract(contract)
|
||||
|
||||
symbol_name_map[contract.vt_symbol] = contract.name
|
||||
# symbol_name_map[contract.vt_symbol] = contract.name
|
||||
|
||||
def OnQueryTickersPriceInfo(self, ticker_info: XTPTickerPriceInfo, error_info: XTPRspInfoStruct,
|
||||
is_last: bool) -> Any:
|
||||
@ -401,126 +366,3 @@ class XtpQuoteApi(API.QuoteSpi):
|
||||
error_info: XTPRspInfoStruct) -> Any:
|
||||
""""""
|
||||
pass
|
||||
|
||||
|
||||
class XtpTraderApi(API.TraderSpi):
|
||||
|
||||
def __init__(self, gateway: BaseGateway):
|
||||
""""""
|
||||
super().__init__()
|
||||
|
||||
self.gateway = gateway
|
||||
self.gateway_name = gateway.gateway_name
|
||||
|
||||
self.userid = ""
|
||||
self.password = ""
|
||||
self.client_id = ""
|
||||
self.server_ip = ""
|
||||
self.server_port = ""
|
||||
|
||||
self.api = None
|
||||
self.session_id = 0
|
||||
|
||||
self.reqid = 0
|
||||
self.orderid = 0
|
||||
|
||||
def connect(
|
||||
self,
|
||||
userid: str,
|
||||
password: str,
|
||||
client_id: str,
|
||||
server_ip: str,
|
||||
server_port: str
|
||||
):
|
||||
""""""
|
||||
if self.api:
|
||||
return
|
||||
|
||||
self.userid = userid
|
||||
self.password = password
|
||||
self.client_id = client_id
|
||||
self.server_ip = server_ip
|
||||
self.server_port = server_port
|
||||
|
||||
# Create API object
|
||||
path = str(get_folder_path(self.gateway_name.lower()))
|
||||
|
||||
self.api = API.TraderApi.CreateTraderApi(
|
||||
self.client_id,
|
||||
path,
|
||||
XTP_LOG_LEVEL.XTP_LOG_LEVEL_TRACE
|
||||
)
|
||||
|
||||
self.api.RegisterSpi(self)
|
||||
self.api.SubscribePublicTopic(XTP_TERT_RESTART)
|
||||
|
||||
self.gateway.write_log("交易接口初始化成功")
|
||||
|
||||
# Login to server
|
||||
self.session_id = self.api.Login(
|
||||
self.server_ip,
|
||||
self.server_port,
|
||||
self.userid,
|
||||
self.password,
|
||||
XTP_PROTOCOL_TCP
|
||||
)
|
||||
|
||||
if self.session_id:
|
||||
msg = "交易服务器登录成功"
|
||||
else:
|
||||
reason = self.api.GetApiLastError()
|
||||
msg = f"交易服务器登录失败，原因：{reason}"
|
||||
|
||||
self.gateway.write_log(msg)
|
||||
|
||||
def close(self):
|
||||
""""""
|
||||
if self.api:
|
||||
self.api.RegisterSpi(None)
|
||||
self.api.Release()
|
||||
|
||||
def send_order(self, req: OrderRequest) -> str:
|
||||
""""""
|
||||
self.orderid += 1
|
||||
|
||||
xtp_req = XTPOrderInsertInfo()
|
||||
xtp_req.ticker = req.symbol
|
||||
xtp_req.market = EXCHANGE_XTP2VT[req.exchange]
|
||||
xtp_req.price = req.price
|
||||
xtp_req.quantity = req.volume
|
||||
xtp_req.order_client_id = self.client_id
|
||||
xtp_req.order_xtp_id = self.orderid
|
||||
xtp_req.side = DIRECTION_XTP2VT.get(req.direction, "")
|
||||
xtp_req.price_type = ORDERTYPE_XTP2VT.get(req.type, "")
|
||||
xtp_req.business_type = XTP_BUSINESS_TYPE_CASH
|
||||
|
||||
self.api.InsertOrder(xtp_req, self.session_id)
|
||||
|
||||
order = req.create_order_data(str(self.orderid))
|
||||
self.gateway.on_order(order)
|
||||
|
||||
return order.vt_orderid
|
||||
|
||||
def cancel_order(self, req: CancelRequest):
|
||||
""""""
|
||||
self.api.CancelOrder(req.orderid, self.session_id)
|
||||
|
||||
def query_account(self):
|
||||
""""""
|
||||
self.reqid += 1
|
||||
self.api.QueryAsset(self.session_id, self.reqid)
|
||||
|
||||
def query_position(self):
|
||||
""""""
|
||||
self.reqid += 1
|
||||
self.api.QueryPosition("", self.session_id, self.reqid)
|
||||
|
||||
def query_order(self):
|
||||
""""""
|
||||
self.reqid += 1
|
||||
self.api.QueryOrders(XTPQueryOrderReq(), self.session_id, self.reqid)
|
||||
|
||||
def query_trade(self):
|
||||
""""""
|
||||
self.reqid += 1
|
||||
self.api.QueryTrades(XTPQueryTraderReq(), self.session_id, self.reqid)
|
||||
|
||||
Loading…
Reference in New Issue
Block a user