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Merge pull request #1489 from nanoric/oes_optimize

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Oes optimize
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vn.py 2019-03-19 13:45:46 +08:00 committed by GitHub
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6 changed files with 665 additions and 308 deletions
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vnpy/api/oes/vnoes.pyd
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vnpy/gateway/oes/oes_gateway.py
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@ -4,7 +4,7 @@
import hashlib
import os
from gettext import gettext as _
from threading import Thread, Lock
from threading import Lock, Thread
from vnpy.trader.gateway import BaseGateway
from vnpy.trader.object import (CancelRequest, OrderRequest,
@ -17,7 +17,14 @@ from .utils import config_template
class OesGateway(BaseGateway):
"""
VN Trader Gateway for BitMEX connection.
VN Trader Gateway for OES
Because the design of OES API, multiple gateway instance with a same account is currently
not supported.
running multiple gateway instance with the same account will make send_order and
cancel_order fail frequently, because:
* seq_index is not unique between instances
* value range of client_id is too small to create a unique hash for different client.
"""
default_setting = {
@ -28,6 +35,7 @@ class OesGateway(BaseGateway):
"md_qry_server": "",
"username": "",
"password": "",
"hdd_serial": "",
}
def __init__(self, event_engine):
@ -69,7 +77,14 @@ class OesGateway(BaseGateway):
log_path=log_path)
f.write(content)
self.md_api.tcp_server = setting['md_tcp_server']
self.md_api.qry_server = setting['md_qry_server']
Thread(target=self._connect_md_sync, args=(config_path, username, password)).start()
self.td_api.ord_server = setting['td_ord_server']
self.td_api.rpt_server = setting['td_rpt_server']
self.td_api.qry_server = setting['td_qry_server']
self.td_api.hdd_serial = setting['hdd_serial']
Thread(target=self._connect_td_sync, args=(config_path, username, password)).start()
def _connect_td_sync(self, config_path, username, password):
@ -92,6 +107,7 @@ class OesGateway(BaseGateway):
self.md_api.username = username
self.md_api.password = password
if self.md_api.connect():
self.write_log(_("成功连接到行情服务器"))
self.md_api.start()
else:
self.write_log(_("无法连接到行情服务器，请检查你的配置"))

68
vnpy/gateway/oes/oes_md.py
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@ -1,18 +1,20 @@
import time
from copy import copy
from datetime import datetime
from gettext import gettext as _
from threading import Thread
# noinspection PyUnresolvedReferences
from typing import Any, Callable, Dict
from vnpy.api.oes.vnoes import MdsApiClientEnvT, MdsApi_DestoryAll, MdsApi_InitAllByConvention, \
MdsApi_IsValidQryChannel, MdsApi_IsValidTcpChannel, MdsApi_LogoutAll, MdsApi_SetThreadPassword, \
from vnpy.api.oes.vnoes import MdsApiClientEnvT, MdsApi_DestoryAll, MdsApi_InitLogger, \
MdsApi_InitTcpChannel2, MdsApi_LogoutAll, MdsApi_SetThreadPassword, \
MdsApi_SetThreadUsername, MdsApi_SubscribeMarketData, MdsApi_WaitOnMsg, MdsL2StockSnapshotBodyT, \
MdsMktDataRequestEntryT, MdsMktDataRequestReqT, MdsMktRspMsgBodyT, MdsStockSnapshotBodyT, \
SGeneralClientChannelT, SMsgHeadT, SPlatform_IsNegEpipe, cast, \
MdsMktDataRequestEntryT, MdsMktDataRequestReqBufT, MdsMktDataRequestReqT, MdsMktRspMsgBodyT, \
MdsStockSnapshotBodyT, SGeneralClientChannelT, SMsgHeadT, cast, \
eMdsExchangeIdT, eMdsMktSubscribeFlagT, eMdsMsgTypeT, eMdsSecurityTypeT, eMdsSubscribeDataTypeT, \
eMdsSubscribeModeT, eMdsSubscribedTickExpireTypeT, eSMsgProtocolTypeT
eMdsSubscribeModeT, eMdsSubscribedTickExpireTypeT, eMdsSubscribedTickTypeT, eSMsgProtocolTypeT
from vnpy.gateway.oes.utils import create_remote_config, is_disconnected
from vnpy.trader.constant import Exchange
from vnpy.trader.gateway import BaseGateway
from vnpy.trader.object import SubscribeRequest, TickData
@ -36,7 +38,7 @@ class OesMdMessageLoop:
self._md = md
self._th = Thread(target=self._message_loop)
self.message_handlers: Dict[int, Callable[[dict], None]] = {
self.message_handlers: Dict[eMdsMsgTypeT, Callable[[MdsMktRspMsgBodyT], int]] = {
# tick & orderbook
eMdsMsgTypeT.MDS_MSGTYPE_MARKET_DATA_SNAPSHOT_FULL_REFRESH: self.on_market_full_refresh,
eMdsMsgTypeT.MDS_MSGTYPE_L2_MARKET_DATA_SNAPSHOT: self.on_l2_market_data_snapshot,
@ -65,6 +67,7 @@ class OesMdMessageLoop:
def start(self):
""""""
if not self._alive: # not thread-safe
self._alive = True
self._th.start()
@ -79,7 +82,7 @@ class OesMdMessageLoop:
def reconnect(self):
""""""
self.gateway.write_log(_("正在尝试重新连接到行情服务器。"))
return self._md.connect()
return self._md.connect_tcp_channel()
def _get_last_tick(self, symbol):
""""""
@ -116,8 +119,6 @@ class OesMdMessageLoop:
""""""
tcp_channel = self.env.tcpChannel
timeout_ms = 1000
# is_timeout = SPlatform_IsNegEtimeout
is_disconnected = SPlatform_IsNegEpipe
while self._alive:
ret = MdsApi_WaitOnMsg(tcp_channel,
timeout_ms,
@ -145,7 +146,7 @@ class OesMdMessageLoop:
tick.__dict__['bid_price_' + str(i + 1)] = data.BidLevels[i].Price / 10000
for i in range(min(data.OfferPriceLevel, 5)):
tick.__dict__['ask_price_' + str(i + 1)] = data.OfferLevels[i].Price / 10000
self.gateway.on_tick(tick)
self.gateway.on_tick(copy(tick))
def on_market_full_refresh(self, d: MdsMktRspMsgBodyT):
""""""
@ -161,7 +162,7 @@ class OesMdMessageLoop:
tick.__dict__['bid_price_' + str(i + 1)] = data.BidLevels[i].Price / 10000
for i in range(5):
tick.__dict__['ask_price_' + str(i + 1)] = data.OfferLevels[i].Price / 10000
self.gateway.on_tick(tick)
self.gateway.on_tick(copy(tick))
def on_l2_trade(self, d: MdsMktRspMsgBodyT):
""""""
@ -171,7 +172,7 @@ class OesMdMessageLoop:
tick.datetime = datetime.utcnow()
tick.volume = data.TradeQty
tick.last_price = data.TradePrice / 10000
self.gateway.on_tick(tick)
self.gateway.on_tick(copy(tick))
def on_market_data_request(self, d: MdsMktRspMsgBodyT):
""""""
@ -212,6 +213,9 @@ class OesMdApi:
""""""
self.gateway = gateway
self.config_path: str = ''
self.tcp_server: str = ''
self.qry_server: str = ''
self.username: str = ''
self.password: str = ''
@ -223,17 +227,8 @@ class OesMdApi:
"""Connect to trading server.
:note set config_path before calling this function
"""
MdsApi_SetThreadUsername(self.username)
MdsApi_SetThreadPassword(self.password)
config_path = self.config_path
if not MdsApi_InitAllByConvention(self._env, config_path):
return False
if not MdsApi_IsValidTcpChannel(self._env.tcpChannel):
return False
if not MdsApi_IsValidQryChannel(self._env.qryChannel):
return False
return True
MdsApi_InitLogger(self.config_path, "log")
return self.connect_tcp_channel()
def start(self):
""""""
@ -249,7 +244,32 @@ class OesMdApi:
""""""
self._message_loop.join()
# why isn't arg a ContractData?
def connect_tcp_channel(self):
""""""
MdsApi_SetThreadUsername(self.username)
MdsApi_SetThreadPassword(self.password)
info = MdsMktDataRequestReqBufT()
info.mktDataRequestReq.subMode = eMdsSubscribeModeT.MDS_SUB_MODE_SET
info.mktDataRequestReq.tickType = eMdsSubscribedTickTypeT.MDS_TICK_TYPE_LATEST_SIMPLIFIED
info.mktDataRequestReq.isRequireInitialMktData = True
info.mktDataRequestReq.tickExpireType = eMdsSubscribedTickExpireTypeT.MDS_TICK_EXPIRE_TYPE_TIMELY
info.mktDataRequestReq.dataTypes = (eMdsSubscribeDataTypeT.MDS_SUB_DATA_TYPE_L1_SNAPSHOT
| eMdsSubscribeDataTypeT.MDS_SUB_DATA_TYPE_L2_SNAPSHOT
| eMdsSubscribeDataTypeT.MDS_SUB_DATA_TYPE_L2_BEST_ORDERS
| eMdsSubscribeDataTypeT.MDS_SUB_DATA_TYPE_L2_TRADE
| eMdsSubscribeDataTypeT.MDS_SUB_DATA_TYPE_L2_ORDER
)
info.mktDataRequestReq.beginTime = 0
info.mktDataRequestReq.subSecurityCnt = 0
if not MdsApi_InitTcpChannel2(self._env.tcpChannel,
create_remote_config(server=self.tcp_server,
username=self.username,
password=self.password),
info):
return False
return True
def subscribe(self, req: SubscribeRequest):
""""""
mds_req = MdsMktDataRequestReqT()

164
vnpy/gateway/oes/oes_td.py
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@ -1,3 +1,5 @@
import time
from copy import copy
from dataclasses import dataclass
from datetime import datetime, timedelta, timezone
from gettext import gettext as _
@ -5,18 +7,20 @@ from threading import Lock, Thread
# noinspection PyUnresolvedReferences
from typing import Any, Callable, Dict
from vnpy.api.oes.vnoes import OesApiClientEnvT, OesApi_DestoryAll, OesApi_InitAllByConvention, \
OesApi_IsValidOrdChannel, OesApi_IsValidQryChannel, OesApi_IsValidRptChannel, OesApi_LogoutAll, \
OesApi_QueryCashAsset, OesApi_QueryOptHolding, OesApi_QueryOption, OesApi_QueryOrder, \
OesApi_QueryStkHolding, OesApi_QueryStock, OesApi_SendOrderCancelReq, OesApi_SendOrderReq, \
from vnpy.api.oes.vnoes import OesApiClientEnvT, OesApiSubscribeInfoT, OesApi_DestoryAll, \
OesApi_InitLogger, OesApi_InitOrdChannel2, OesApi_InitQryChannel2, OesApi_InitRptChannel2, \
OesApi_LogoutAll, OesApi_QueryCashAsset, \
OesApi_QueryOptHolding, OesApi_QueryOption, OesApi_QueryOrder, OesApi_QueryStkHolding, \
OesApi_QueryStock, OesApi_SendOrderCancelReq, OesApi_SendOrderReq, OesApi_SetCustomizedDriverId, \
OesApi_SetThreadPassword, OesApi_SetThreadUsername, OesApi_WaitReportMsg, OesOrdCancelReqT, \
OesOrdCnfmT, OesOrdRejectT, OesOrdReqT, OesQryCashAssetFilterT, OesQryCursorT, \
OesQryOptionFilterT, OesQryOrdFilterT, OesQryStkHoldingFilterT, OesQryStockFilterT, \
OesRspMsgBodyT, OesStockBaseInfoT, OesTrdCnfmT, SGeneralClientChannelT, SMSG_PROTO_BINARY, \
SMsgHeadT, SPlatform_IsNegEpipe, cast, eOesBuySellTypeT, eOesMarketIdT, \
eOesMsgTypeT, eOesOrdStatusT, eOesOrdTypeShT, eOesOrdTypeSzT
SMsgHeadT, cast, eOesBuySellTypeT, eOesMarketIdT, eOesMsgTypeT, \
eOesOrdStatusT, eOesOrdTypeShT, eOesOrdTypeSzT, eOesSubscribeReportTypeT
from vnpy.gateway.oes.error_code import error_to_str
from vnpy.gateway.oes.utils import create_remote_config, is_disconnected
from vnpy.trader.constant import Direction, Exchange, Offset, PriceType, Product, Status
from vnpy.trader.gateway import BaseGateway
from vnpy.trader.object import AccountData, CancelRequest, ContractData, OrderData, OrderRequest, \
@ -62,7 +66,6 @@ BUY_SELL_TYPE_VT2OES = {
(Exchange.SHFE, Offset.CLOSE, Direction.LONG): eOesBuySellTypeT.OES_BS_TYPE_BUY_CLOSE,
(Exchange.SHFE, Offset.CLOSE, Direction.SHORT): eOesBuySellTypeT.OES_BS_TYPE_SELL_CLOSE,
(Exchange.SHFE, Offset.CLOSE, Direction.NET): eOesBuySellTypeT.OES_BS_TYPE_BUY_CLOSE,
# todo: eOesBuySellTypeT.OES_BS_TYPE_OPTION_EXERCISE == 行权
}
STATUS_OES2VT = {
@ -125,7 +128,7 @@ class OesTdMessageLoop:
self._alive = False
self._th = Thread(target=self._message_loop)
self.message_handlers: Dict[int, Callable[[dict], None]] = {
self.message_handlers: Dict[eOesMsgTypeT, Callable[[OesRspMsgBodyT], int]] = {
eOesMsgTypeT.OESMSG_RPT_BUSINESS_REJECT: self.on_order_rejected,
eOesMsgTypeT.OESMSG_RPT_ORDER_INSERT: self.on_order_inserted,
eOesMsgTypeT.OESMSG_RPT_ORDER_REPORT: self.on_order_report,
@ -140,6 +143,7 @@ class OesTdMessageLoop:
def start(self):
""""""
if not self._alive: # not thread-safe
self._alive = True
self._th.start()
@ -154,7 +158,7 @@ class OesTdMessageLoop:
def reconnect(self):
""""""
self.gateway.write_log(_("正在尝试重新连接到交易服务器。"))
self._td.connect()
self._td.connect_rpt_channel()
def _on_message(self, session_info: SGeneralClientChannelT,
head: SMsgHeadT,
@ -175,7 +179,6 @@ class OesTdMessageLoop:
""""""
rpt_channel = self._env.rptChannel
timeout_ms = 1000
is_disconnected = SPlatform_IsNegEpipe
while self._alive:
ret = OesApi_WaitReportMsg(rpt_channel,
@ -196,15 +199,18 @@ class OesTdMessageLoop:
error_string = error_to_str(error_code)
data: OesOrdRejectT = d.rptMsg.rptBody.ordRejectRsp
if not data.origClSeqNo:
try:
i = self._td.get_order(data.clSeqNo)
vt_order = i.vt_order
except KeyError:
return # rejected order created by others, don't need to care.
vt_order = i.vt_order
if vt_order == Status.ALLTRADED:
return
vt_order.status = Status.REJECTED
self.gateway.on_order(vt_order)
self.gateway.on_order(copy(vt_order))
self.gateway.write_log(
f"Order: {vt_order.vt_symbol}-{vt_order.vt_orderid} Code: {error_code} Rejected: {error_string}")
else:
@ -215,8 +221,10 @@ class OesTdMessageLoop:
data = d.rptMsg.rptBody.ordInsertRsp
if not data.origClSeqNo:
# normal order
i = self._td.get_order(data.clSeqNo)
else:
# data.ordStatus == eOesOrdStatusT.OES_ORD_STATUS_CANCEL_DONE:
i = self._td.get_order(data.origClSeqNo)
vt_order = i.vt_order
vt_order.status = STATUS_OES2VT[data.ordStatus]
@ -224,15 +232,17 @@ class OesTdMessageLoop:
vt_order.traded = data.cumQty
vt_order.time = parse_oes_datetime(data.ordDate, data.ordTime)
self.gateway.on_order(vt_order)
self.gateway.on_order(copy(vt_order))
def on_order_report(self, d: OesRspMsgBodyT):
""""""
data: OesOrdCnfmT = d.rptMsg.rptBody.ordCnfm
if not data.origClSeqNo:
# normal order
i = self._td.get_order(data.clSeqNo)
else:
# data.ordStatus == eOesOrdStatusT.OES_ORD_STATUS_CANCEL_DONE:
i = self._td.get_order(data.origClSeqNo)
vt_order = i.vt_order
@ -241,7 +251,7 @@ class OesTdMessageLoop:
vt_order.traded = data.cumQty
vt_order.time = parse_oes_datetime(data.ordDate, data.ordCnfmTime)
self.gateway.on_order(vt_order)
self.gateway.on_order(copy(vt_order))
def on_trade_report(self, d: OesRspMsgBodyT):
""""""
@ -255,19 +265,19 @@ class OesTdMessageLoop:
gateway_name=self.gateway.gateway_name,
symbol=data.securityId,
exchange=EXCHANGE_OES2VT[data.mktId],
orderid=data.userInfo,
tradeid=data.exchTrdNum,
orderid=str(data.clSeqNo),
tradeid=str(data.exchTrdNum),
direction=vt_order.direction,
offset=vt_order.offset,
price=data.trdPrice / 10000,
volume=data.trdQty,
time=parse_oes_datetime(data.trdDate, data.trdTime)
time=parse_oes_datetime(data.trdDate, data.trdTime).isoformat()
)
vt_order.status = STATUS_OES2VT[data.ordStatus]
vt_order.traded = data.cumQty
vt_order.time = parse_oes_datetime(data.trdDate, data.trdTime)
self.gateway.on_trade(trade)
self.gateway.on_order(vt_order)
self.gateway.on_order(copy(vt_order))
def on_option_holding(self, d: OesRspMsgBodyT):
""""""
@ -282,7 +292,7 @@ class OesTdMessageLoop:
exchange=EXCHANGE_OES2VT[data.mktId],
direction=Direction.NET,
volume=data.sumHld,
frozen=data.lockHld, # todo: to verify
frozen=data.lockHld,
price=data.costPrice / 10000,
# pnl=data.costPrice - data.originalCostAmt,
pnl=0,
@ -312,9 +322,14 @@ class OesTdApi:
def __init__(self, gateway: BaseGateway):
""""""
self.config_path: str = None
self.config_path: str = ''
self.ord_server: str = ''
self.qry_server: str = ''
self.rpt_server: str = ''
self.username: str = ''
self.password: str = ''
self.hdd_serial: str = ''
self.gateway = gateway
self._env = OesApiClientEnvT()
@ -325,6 +340,7 @@ class OesTdApi:
self._last_seq_lock = Lock()
self._last_seq_index = 1000000 # 0 has special manning for oes
self._ord_reconnect_lock = Lock()
self._orders: Dict[int, InternalOrder] = {}
@ -332,20 +348,18 @@ class OesTdApi:
"""Connect to trading server.
:note set config_path before calling this function
"""
OesApi_SetThreadUsername(self.username)
OesApi_SetThreadPassword(self.password)
OesApi_InitLogger(self.config_path, 'log')
config_path = self.config_path
if not OesApi_InitAllByConvention(self._env, config_path, -1, self._last_seq_index):
return False
self._last_seq_index = max(self._last_seq_index, self._env.ordChannel.lastOutMsgSeq + 1)
OesApi_SetCustomizedDriverId(self.hdd_serial)
if not OesApi_IsValidOrdChannel(self._env.ordChannel):
return False
if not OesApi_IsValidQryChannel(self._env.qryChannel):
return False
if not OesApi_IsValidRptChannel(self._env.rptChannel):
return False
if not self._connect_ord_channel():
self.gateway.write_log(_("无法初始化交易下单通道(td_ord_server)"))
if not self._connect_qry_channel():
self.gateway.write_log(_("无法初始化交易查询通道(td_qry_server)"))
if not self.connect_rpt_channel():
self.gateway.write_log(_("无法初始化交易查询通道(td_qry_server)"))
return True
def start(self):
@ -369,6 +383,60 @@ class OesTdApi:
self._last_seq_index += 1
return index
def _connect_qry_channel(self):
OesApi_SetThreadUsername(self.username)
OesApi_SetThreadPassword(self.password)
return OesApi_InitQryChannel2(self._env.qryChannel,
create_remote_config(self.qry_server,
self.username,
self.password))
def _connect_ord_channel(self):
OesApi_SetThreadUsername(self.username)
OesApi_SetThreadPassword(self.password)
if not OesApi_InitOrdChannel2(self._env.ordChannel,
create_remote_config(self.ord_server,
self.username,
self.password),
0):
return False
self._last_seq_index = max(self._last_seq_index, self._env.ordChannel.lastOutMsgSeq + 1)
return True
def connect_rpt_channel(self):
OesApi_SetThreadUsername(self.username)
OesApi_SetThreadPassword(self.password)
subscribe_info = OesApiSubscribeInfoT()
subscribe_info.clEnvId = 0
subscribe_info.rptTypes = (eOesSubscribeReportTypeT.OES_SUB_RPT_TYPE_BUSINESS_REJECT
| eOesSubscribeReportTypeT.OES_SUB_RPT_TYPE_ORDER_INSERT
| eOesSubscribeReportTypeT.OES_SUB_RPT_TYPE_ORDER_REPORT
| eOesSubscribeReportTypeT.OES_SUB_RPT_TYPE_TRADE_REPORT
| eOesSubscribeReportTypeT.OES_SUB_RPT_TYPE_FUND_TRSF_REPORT
| eOesSubscribeReportTypeT.OES_SUB_RPT_TYPE_CASH_ASSET_VARIATION
| eOesSubscribeReportTypeT.OES_SUB_RPT_TYPE_HOLDING_VARIATION
)
return OesApi_InitRptChannel2(self._env.rptChannel,
create_remote_config(self.rpt_server,
self.username,
self.password),
subscribe_info,
0)
def _reconnect_ord_channel(self):
with self._ord_reconnect_lock: # prevent spawning multiple reconnect thread
self.gateway.write_log(_("正在重新连接到交易下单通道"))
while not self._connect_ord_channel():
time.sleep(1)
self.gateway.write_log(_("成功重新连接到交易下单通道"))
def _schedule_reconnect_ord_channel(self):
Thread(target=self._reconnect_ord_channel, ).start()
def query_account(self):
""""""
OesApi_QueryCashAsset(self._env.qryChannel,
@ -479,7 +547,7 @@ class OesTdApi:
frozen=data.lockHld,
price=data.costPrice / 10000,
# pnl=data.costPrice - data.originalCostAmt,
pnl=0, # todo: oes只提供日初持仓价格信息，不提供最初持仓价格信息，所以pnl只有当日的
pnl=0,
yd_volume=data.originalHld,
)
self.gateway.on_position(position)
@ -489,7 +557,6 @@ class OesTdApi:
""""""
f = OesQryStkHoldingFilterT()
f.mktId = eOesMarketIdT.OES_MKT_ID_UNDEFINE
f.userInfo = 0
ret = OesApi_QueryOptHolding(self._env.qryChannel,
f,
self.on_query_holding
@ -573,9 +640,14 @@ class OesTdApi:
)
if ret >= 0:
self.gateway.on_order(order)
order.status = Status.SUBMITTING
else:
self.gateway.write_log("Failed to send_order!")
order.status = Status.REJECTED
self.gateway.write_log(_("下单失败")) # todo: can I stringify error?
if is_disconnected(ret):
self.gateway.write_log(_("下单时连接发现连接已断开，正在尝试重连"))
self._schedule_reconnect_ord_channel()
self.gateway.on_order(order)
return order.vt_orderid
@ -591,8 +663,14 @@ class OesTdApi:
oes_req.origClSeqNo = order_id
oes_req.invAcctId = ""
oes_req.securityId = vt_req.symbol
OesApi_SendOrderCancelReq(self._env.ordChannel,
ret = OesApi_SendOrderCancelReq(self._env.ordChannel,
oes_req)
if ret < 0:
self.gateway.write_log(_("撤单失败")) # todo: can I stringify error?
if is_disconnected(ret): # is here any other ret code indicating connection lost?
self.gateway.write_log(_("撤单时连接发现连接已断开，正在尝试重连"))
self._schedule_reconnect_ord_channel()
def query_order(self, internal_order: InternalOrder) -> bool:
""""""
@ -616,9 +694,9 @@ class OesTdApi:
i = self.get_order(data.clSeqNo)
vt_order = i.vt_order
vt_order.status = STATUS_OES2VT[data.ordStatus]
vt_order.volume = data.ordQty - data.canceledQty
vt_order.volume = data.ordQty
vt_order.traded = data.cumQty
self.gateway.on_order(vt_order)
self.gateway.on_order(copy(vt_order))
return 1
def query_orders(self) -> bool:
@ -642,9 +720,9 @@ class OesTdApi:
i = self.get_order(data.clSeqNo)
vt_order = i.vt_order
vt_order.status = STATUS_OES2VT[data.ordStatus]
vt_order.volume = data.ordQty - data.canceledQty
vt_order.volume = data.ordQty
vt_order.traded = data.cumQty
self.gateway.on_order(vt_order)
self.gateway.on_order(copy(vt_order))
except KeyError:
# order_id = self.order_manager.new_remote_id()
order_id = data.clSeqNo
@ -658,7 +736,7 @@ class OesTdApi:
gateway_name=self.gateway.gateway_name,
symbol=data.securityId,
exchange=EXCHANGE_OES2VT[data.mktId],
orderid=order_id if order_id else data.origClSeqNo, # generated id
orderid=str(order_id if order_id else data.origClSeqNo), # generated id
direction=Direction.NET,
offset=offset,
price=data.ordPrice / 10000,
@ -670,7 +748,7 @@ class OesTdApi:
time=datetime.utcnow().isoformat(),
)
self.save_order(order_id, vt_order)
self.gateway.on_order(vt_order)
self.gateway.on_order(copy(vt_order))
return 1
def save_order(self, order_id: int, order: OrderData):

37
vnpy/gateway/oes/utils.py
View File

@ -1,6 +1,43 @@
import os
from vnpy.api.oes.vnoes import SGeneralClientRemoteCfgT
mydir = os.path.dirname(__file__)
config_template_path = os.path.join(mydir, "config_template.ini")
with open(config_template_path, "rt", encoding='utf-8') as f:
config_template = f.read()
def create_remote_config(server: str, username: str, password: str):
"""
create a SGeneralClientRemoteCfgT.
"""
cfg = SGeneralClientRemoteCfgT()
cfg.username = username
cfg.password = password
cfg.addrCnt = 1
cfg.addrList[0].uri = server
cfg.clEnvId = 0
cfg.clusterType = 0
cfg.socketOpt.soRcvbuf = 8192
cfg.socketOpt.soSndbuf = 8192
cfg.socketOpt.connTimeoutMs = 5000
cfg.socketOpt.tcpNodelay = 1
cfg.socketOpt.quickAck = 1
cfg.socketOpt.keepalive = 1
cfg.socketOpt.keepIdle = 60
cfg.socketOpt.keepIntvl = 5
cfg.socketOpt.keepCnt = 9
return cfg
def is_disconnected(ret: int):
"""
check whether connection is lost by return value of OesApi/MdsApi
106 : ECONNABORTED
107 : ECONNREFUSED
108 : ECONNRESET
maybe there is more than there error codes indicating a disconnected state
"""
return ret == -106 or ret == -107 or ret == -108