[Add]新增FutuTrader，修改futuGateway兼容Python3新版

examples/FutuTrader/CTA_setting.json

@@ -0,0 +1,19 @@
+[
+    {
+        "name": "double ema",
+        "className": "DoubleMaStrategy",
+        "vtSymbol": "rb1805"
+    },
+
+    {
+        "name": "atr rsi",
+        "className": "AtrRsiStrategy",
+        "vtSymbol": "IC1802"
+    },
+
+    {
+        "name": "king keltner",
+        "className": "KkStrategy",
+        "vtSymbol": "IH1802"
+    }
+]

examples/FutuTrader/Futu_connect.json

@@ -0,0 +1,7 @@
+{
+	"host": "127.0.0.1",
+	"port": 11111,
+	"market": "US",
+    "password": "123123",
+    "env": "REAL"
+}

examples/FutuTrader/RM_setting.json

@@ -0,0 +1,10 @@
+{
+    "active": false,
+    "orderFlowLimit": 50,
+    "orderFlowClear": 1,
+    "orderSizeLimit": 100,
+    "tradeLimit": 1000,
+    "workingOrderLimit": 20,
+    "orderCancelLimit": 10,
+    "marginRatioLimit": 0.85
+}

examples/FutuTrader/VT_setting.json

@@ -0,0 +1,20 @@
+{
+	"fontFamily": "微软雅黑",
+	"fontSize": 12,
+
+	"mongoHost": "localhost",
+	"mongoPort": 27017,
+	"mongoLogging": true,
+
+	"darkStyle": true,
+	"language": "chinese",
+
+	"logActive": true,
+	"logLevel": "debug",
+	"logConsole": true,
+	"logFile": true,
+
+	"tdPenalty": ["IF", "IH", "IC"],
+
+	"maxDecimal": 4
+}

examples/FutuTrader/run.py

@@ -0,0 +1,46 @@
+# encoding: UTF-8
+
+import sys
+
+# vn.trader模块
+from vnpy.event import EventEngine
+from vnpy.trader.vtEngine import MainEngine
+from vnpy.trader.uiQt import createQApp
+from vnpy.trader.uiMainWindow import MainWindow
+
+# 加载底层接口
+from vnpy.trader.gateway import futuGateway
+
+# 加载上层应用
+from vnpy.trader.app import riskManager#, ctaStrategy
+
+
+#----------------------------------------------------------------------
+def main():
+    """主程序入口"""
+    # 创建Qt应用对象
+    qApp = createQApp()
+
+    # 创建事件引擎
+    ee = EventEngine()
+
+    # 创建主引擎
+    me = MainEngine(ee)
+
+    # 添加交易接口
+    me.addGateway(futuGateway)
+    
+    # 添加上层应用
+    me.addApp(riskManager)
+    #me.addApp(ctaStrategy)
+    
+    # 创建主窗口
+    mw = MainWindow(me, ee)
+    mw.showMaximized()
+
+    # 在主线程中启动Qt事件循环
+    sys.exit(qApp.exec_())
+
+
+if __name__ == '__main__':
+    main()

examples/FutuTrader/temp/ContractData.vt.dir

@@ -0,0 +1 @@
+'data', (0, 1462865)

examples/VnTrader/TKPRO_connect.json

@@ -1,7 +0,0 @@
-{
-    "username": "请在quantos.org申请",
-    "token": "请在quantos.org申请",
-    "strategy": 625,
-    "tradeAddress": "tcp://gw.quantos.org:8901", 
-    "dataAddress": "tcp://data.tushare.org:8910"
-}

vnpy/trader/gateway/futuGateway/futuGateway.py

@@ -11,8 +11,9 @@ from time import sleep
 from datetime import datetime
 from copy import copy
 
-import futuquant as ft
+from futuquant import (OpenQuoteContext, OpenHKTradeContext, OpenUSTradeContext,
-from futuquant import (RET_ERROR, RET_OK, TrdEnv,
+                       RET_ERROR, RET_OK, 
+                       TrdEnv, TrdSide, OrderType, OrderStatus, ModifyOrderOp,
                        StockQuoteHandlerBase, OrderBookHandlerBase,
                        TradeOrderHandlerBase, TradeDealHandlerBase)
 
@@ -33,23 +34,20 @@ productMap[PRODUCT_WARRANT] = 'WARRANT'
 productMap[PRODUCT_BOND] = 'BOND'
 
 directionMap = {}
-directionMap[DIRECTION_LONG] = '0'
+directionMap[DIRECTION_LONG] = TrdSide.BUY
-directionMap[DIRECTION_SHORT] = '1'
+directionMap[DIRECTION_SHORT] = TrdSide.SELL
 directionMapReverse = {v:k for k,v in directionMap.items()}
 
 statusMapReverse = {}
-statusMapReverse['0'] = STATUS_UNKNOWN
+statusMapReverse[OrderStatus.NONE] = STATUS_UNKNOWN
-statusMapReverse['1'] = STATUS_NOTTRADED
+statusMapReverse[OrderStatus.SUBMITTED] = STATUS_NOTTRADED
-statusMapReverse['2'] = STATUS_PARTTRADED
+statusMapReverse[OrderStatus.FILLED_PART] = STATUS_PARTTRADED
-statusMapReverse['3'] = STATUS_ALLTRADED
+statusMapReverse[OrderStatus.FILLED_ALL] = STATUS_ALLTRADED
-statusMapReverse['4'] = STATUS_CANCELLED
+statusMapReverse[OrderStatus.CANCELLED_ALL] = STATUS_CANCELLED
-statusMapReverse['5'] = STATUS_REJECTED
+statusMapReverse[OrderStatus.CANCELLED_PART] = STATUS_CANCELLED
-statusMapReverse['6'] = STATUS_CANCELLED
+statusMapReverse[OrderStatus.SUBMIT_FAILED] = STATUS_REJECTED
-statusMapReverse['7'] = STATUS_CANCELLED
+statusMapReverse[OrderStatus.FAILED] = STATUS_REJECTED
-statusMapReverse['8'] = STATUS_UNKNOWN
+statusMapReverse[OrderStatus.DISABLED] = STATUS_CANCELLED
-statusMapReverse['21'] = STATUS_UNKNOWN
-statusMapReverse['22'] = STATUS_UNKNOWN
-statusMapReverse['23'] = STATUS_UNKNOWN
 
 
 
@@ -137,7 +135,7 @@ class FutuGateway(VtGateway):
     #----------------------------------------------------------------------
     def connectQuote(self):
         """连接行情功能"""
-        self.quoteCtx = ft.OpenQuoteContext(self.host, self.port)
+        self.quoteCtx = OpenQuoteContext(self.host, self.port)
         
         # 继承实现处理器类
         class QuoteHandler(StockQuoteHandlerBase):
@@ -176,9 +174,9 @@ class FutuGateway(VtGateway):
         """连接交易功能"""
         # 连接交易接口
         if self.market == 'US':
-            self.tradeCtx = ft.OpenUSTradeContext(self.host, self.port)
+            self.tradeCtx = OpenUSTradeContext(self.host, self.port)
         else:
-            self.tradeCtx = ft.OpenHKTradeContext(self.host, self.port)
+            self.tradeCtx = OpenHKTradeContext(self.host, self.port)
             
         # 继承实现处理器类
         class OrderHandler(TradeOrderHandlerBase):
@@ -204,7 +202,7 @@ class FutuGateway(VtGateway):
                 return RET_OK, content  
 
         # 只有港股实盘交易才需要解锁
-        if self.market == 'HK' and self.env == 0:
+        if self.market == 'HK' and self.env == TrdEnv.REAL:
             self.tradeCtx.unlock_trade(self.password)
         
         # 设置回调处理对象
@@ -229,26 +227,25 @@ class FutuGateway(VtGateway):
     def sendOrder(self, orderReq):
         """发单"""
         side = directionMap[orderReq.direction]
-        priceType = 0       # 只支持限价单
+        priceType = OrderType.NORMAL        # 只支持限价单
         
         # 设置价格调整模式为向内调整（即买入调整后价格比原始价格低）
         if orderReq.direction ==  DIRECTION_LONG:
-            priceMode = PriceRegularMode.LOWER
+            adjustLimit = 0.05
         else:
-            priceMode = PriceRegularMode.UPPER
+            adjustLimit = -0.05
-        
+            
         code, data = self.tradeCtx.place_order(orderReq.price, orderReq.volume, 
-                                               orderReq.symbol, side, 
+                                               orderReq.symbol, side, priceType, 
-                                               priceType, self.env,
+                                               trd_env=self.env,
-                                               order_deal_push=True,
+                                               adjust_limit=adjustLimit)
-                                               price_mode=priceMode)
         
         if code:
             self.writeError(code, u'委托失败：%s' %data)
             return ''
         
         for ix, row in data.iterrows():
-            orderID = str(row['orderid'])
+            orderID = str(row['order_id'])
         
         vtOrderID = '.'.join([self.gatewayName, orderID])
         
@@ -257,8 +254,8 @@ class FutuGateway(VtGateway):
     #----------------------------------------------------------------------
     def cancelOrder(self, cancelOrderReq):
         """撤单"""
-        code, data = self.tradeCtx.set_order_status(0, int(cancelOrderReq.orderID), 
+        code, data = self.tradeCtx.modify_order(ModifyOrderOp.CANCEL, cancelOrderReq.orderID, 
-                                                    self.env)
+                                                0, 0, trd_env=self.env) 
         
         if code:
             self.writeError(code, u'撤单失败：%s' %data)
@@ -304,9 +301,8 @@ class FutuGateway(VtGateway):
             
             account.accountID = '%s_%s' %(self.gatewayName, self.market)
             account.vtAccountID = '.'.join([self.gatewayName, account.accountID])
-            account.balance = float(row['ZCJZ'])
+            account.balance = float(row['total_assets'])
-            account.margin = float(row['GPBZJ'])
+            account.available = float(row['avl_withdrawal_cash'])
-            account.available = float(row['XJJY'])
             
             self.onAccount(account)
         
@@ -448,7 +444,7 @@ class FutuGateway(VtGateway):
     #----------------------------------------------------------------------
     def processOrderBook(self, data):
         """订单簿推送"""
-        symbol = data['stock_code']
+        symbol = data['code']
     
         tick = self.tickDict.get(symbol, None)
         if not tick:
@@ -487,25 +483,24 @@ class FutuGateway(VtGateway):
             order.symbol = row['code']
             order.vtSymbol = order.symbol
             
-            order.orderID = str(row['orderid'])
+            order.orderID = str(row['order_id'])
             order.vtOrderID = '.'.join([self.gatewayName, order.orderID])
             
             order.price = float(row['price'])
             order.totalVolume = int(row['qty'])
             order.tradedVolume = int(row['dealt_qty'])
-            
+            order.orderTime = row['create_time'].split(' ')[-1]      
-            t = datetime.fromtimestamp(float(row['submited_time']))
-            order.orderTime = t.strftime('%H:%M:%S')            
 
-            order.status = statusMapReverse.get(str(row['status']), STATUS_UNKNOWN)
+            order.status = statusMapReverse.get(row['order_status'], STATUS_UNKNOWN)
-            order.direction = directionMapReverse[str(row['order_side'])]
+            order.direction = directionMapReverse[row['trd_side']]
+            
             self.onOrder(order)        
     
     #----------------------------------------------------------------------
     def processDeal(self, data):
         """处理成交推送"""
         for ix, row in data.iterrows():
-            tradeID = row['dealid']
+            tradeID = row['deal_id']
             if tradeID in self.tradeSet:
                 continue
             self.tradeSet.add(tradeID)
@@ -519,14 +514,13 @@ class FutuGateway(VtGateway):
             trade.tradeID = tradeID
             trade.vtTradeID = '.'.join([self.gatewayName, trade.tradeID])
             
-            trade.orderID = row['orderid']
+            trade.orderID = row['order_id']
             trade.vtOrderID = '.'.join([self.gatewayName, trade.orderID])
             
             trade.price = float(row['price'])
             trade.volume = float(row['qty'])
-            trade.direction = directionMapReverse[str(row['order_side'])]
+            trade.direction = directionMapReverse[row['trd_side']]
             
-            t = datetime.fromtimestamp(float(row['time']))
+            trade.tradeTime = row['create_time'].split(' ')[-1]
-            trade.tradeTime = t.strftime('%H:%M:%S')
             
             self.onTrade(trade)