[Del] remove trailing white space
[Del] remove spaces in blank lines
This commit is contained in:
nanoric
parent
85603bb369
commit
2505f78c14
2
.flake8
2
.flake8
@ -3,5 +3,3 @@ exclude = venv,build,__pycache__,__init__.py,ib,talib,uic
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ignore =
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E501 line too long, fixed by black
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W503 line break before binary operator
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W293 blank line contains whitespace
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W291 trailing whitespace
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@ -7,7 +7,7 @@ from vnpy.rpc import RpcClient
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class TestClient(RpcClient):
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"""
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Test RpcClient
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Test RpcClient
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"""
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def __init__(self):
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File diff suppressed because it is too large
Load Diff
@ -147,7 +147,7 @@ class RestClient(object):
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"""
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Add a new request.
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:param method: GET, POST, PUT, DELETE, QUERY
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:param path:
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:param path:
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:param callback: callback function if 2xx status, type: (dict, Request)
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:param params: dict for query string
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:param data: Http body. If it is a dict, it will be converted to form-data. Otherwise, it will be converted to bytes.
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@ -296,7 +296,7 @@ class RestClient(object):
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"""
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Add a new request.
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:param method: GET, POST, PUT, DELETE, QUERY
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:param path:
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:param path:
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:param params: dict for query string
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:param data: dict for body
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:param headers: dict for headers
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@ -14,7 +14,7 @@ class DmaAlgo(AlgoTemplate):
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"vt_symbol": "",
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"direction": [Direction.LONG.value, Direction.SHORT.value],
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"order_type": [
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OrderType.MARKET.value,
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OrderType.MARKET.value,
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OrderType.LIMIT.value,
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OrderType.STOP.value,
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OrderType.FAK.value,
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@ -74,7 +74,7 @@ class DmaAlgo(AlgoTemplate):
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self.order_type,
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self.offset
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)
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else:
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self.vt_orderid = self.sell(
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self.vt_symbol,
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@ -96,4 +96,4 @@ class DmaAlgo(AlgoTemplate):
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def on_trade(self, trade: TradeData):
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""""""
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pass
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pass
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@ -1013,13 +1013,13 @@ class CandleChartDialog(QtWidgets.QDialog):
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def update_trades(self, trades: list):
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""""""
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trade_data = []
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for trade in trades:
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ix = self.dt_ix_map[trade.datetime]
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scatter = {
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"pos": (ix, trade.price),
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"data": 1,
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"pos": (ix, trade.price),
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"data": 1,
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"size": 14,
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"pen": pg.mkPen((255, 255, 255))
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}
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@ -1030,11 +1030,11 @@ class CandleChartDialog(QtWidgets.QDialog):
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else:
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scatter["symbol"] = "t"
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scatter["brush"] = pg.mkBrush((0, 0, 255))
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trade_data.append(scatter)
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self.trade_scatter.setData(trade_data)
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def clear_data(self):
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""""""
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self.updated = False
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@ -1042,7 +1042,7 @@ class CandleChartDialog(QtWidgets.QDialog):
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self.dt_ix_map.clear()
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self.trade_scatter.clear()
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def is_updated(self):
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""""""
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return self.updated
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@ -13,7 +13,7 @@ import seaborn as sns
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from pandas import DataFrame
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from deap import creator, base, tools, algorithms
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from vnpy.trader.constant import (Direction, Offset, Exchange,
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from vnpy.trader.constant import (Direction, Offset, Exchange,
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Interval, Status)
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from vnpy.trader.database import database_manager
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from vnpy.trader.object import OrderData, TradeData, BarData, TickData
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@ -84,12 +84,12 @@ class OptimizationSetting:
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settings.append(setting)
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return settings
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def generate_setting_ga(self):
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""""""
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""""""
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settings_ga = []
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settings = self.generate_setting()
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for d in settings:
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settings = self.generate_setting()
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for d in settings:
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param = [tuple(i) for i in d.items()]
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settings_ga.append(param)
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return settings_ga
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@ -215,8 +215,8 @@ class BacktestingEngine:
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self.end = datetime.now()
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if self.start >= self.end:
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self.output("起始日期必须小于结束日期")
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return
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self.output("起始日期必须小于结束日期")
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return
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self.history_data.clear() # Clear previously loaded history data
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@ -230,7 +230,7 @@ class BacktestingEngine:
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while start < self.end:
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end = min(end, self.end) # Make sure end time stays within set range
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if self.mode == BacktestingMode.BAR:
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data = load_bar_data(
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self.symbol,
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@ -248,15 +248,15 @@ class BacktestingEngine:
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)
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self.history_data.extend(data)
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progress += progress_delta / total_delta
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progress = min(progress, 1)
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progress_bar = "#" * int(progress * 10)
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self.output(f"加载进度：{progress_bar} [{progress:.0%}]")
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start = end
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end += progress_delta
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self.output(f"历史数据加载完成，数据量：{len(self.history_data)}")
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def run_backtesting(self):
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@ -271,7 +271,7 @@ class BacktestingEngine:
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# Use the first [days] of history data for initializing strategy
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day_count = 0
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ix = 0
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for ix, data in enumerate(self.history_data):
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if self.datetime and data.datetime.day != self.datetime.day:
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day_count += 1
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@ -339,8 +339,8 @@ class BacktestingEngine:
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# Check DataFrame input exterior
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if df is None:
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df = self.daily_df
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# Check for init DataFrame
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# Check for init DataFrame
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if df is None:
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# Set all statistics to 0 if no trade.
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start_date = ""
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@ -484,11 +484,11 @@ class BacktestingEngine:
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def show_chart(self, df: DataFrame = None):
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""""""
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# Check DataFrame input exterior
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# Check DataFrame input exterior
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if df is None:
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df = self.daily_df
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# Check for init DataFrame
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# Check for init DataFrame
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if df is None:
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return
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@ -580,7 +580,7 @@ class BacktestingEngine:
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def generate_parameter():
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""""""
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return random.choice(settings)
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def mutate_individual(individual, indpb):
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""""""
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size = len(individual)
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@ -620,24 +620,24 @@ class BacktestingEngine:
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ga_mode = self.mode
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# Set up genetic algorithem
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toolbox = base.Toolbox()
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toolbox.register("individual", tools.initIterate, creator.Individual, generate_parameter)
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toolbox.register("population", tools.initRepeat, list, toolbox.individual)
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toolbox.register("mate", tools.cxTwoPoint)
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toolbox.register("mutate", mutate_individual, indpb=1)
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toolbox.register("evaluate", ga_optimize)
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toolbox.register("select", tools.selNSGA2)
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toolbox = base.Toolbox()
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toolbox.register("individual", tools.initIterate, creator.Individual, generate_parameter)
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toolbox.register("population", tools.initRepeat, list, toolbox.individual)
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toolbox.register("mate", tools.cxTwoPoint)
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toolbox.register("mutate", mutate_individual, indpb=1)
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toolbox.register("evaluate", ga_optimize)
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toolbox.register("select", tools.selNSGA2)
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total_size = len(settings)
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pop_size = population_size # number of individuals in each generation
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lambda_ = pop_size # number of children to produce at each generation
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mu = int(pop_size * 0.8) # number of individuals to select for the next generation
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cxpb = 0.95 # probability that an offspring is produced by crossover
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cxpb = 0.95 # probability that an offspring is produced by crossover
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mutpb = 1 - cxpb # probability that an offspring is produced by mutation
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ngen = ngen_size # number of generation
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pop = toolbox.population(pop_size)
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pop = toolbox.population(pop_size)
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hof = tools.ParetoFront() # end result of pareto front
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stats = tools.Statistics(lambda ind: ind.fitness.values)
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@ -662,22 +662,22 @@ class BacktestingEngine:
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start = time()
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algorithms.eaMuPlusLambda(
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pop,
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toolbox,
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mu,
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lambda_,
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cxpb,
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mutpb,
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ngen,
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pop,
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toolbox,
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mu,
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lambda_,
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cxpb,
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mutpb,
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ngen,
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stats,
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halloffame=hof
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)
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)
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end = time()
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cost = int((end - start))
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self.output(f"遗传算法优化完成，耗时{cost}秒")
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# Return result list
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results = []
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@ -685,7 +685,7 @@ class BacktestingEngine:
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setting = dict(parameter_values)
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target_value = ga_optimize(parameter_values)[0]
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results.append((setting, target_value, {}))
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return results
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def update_daily_close(self, price: float):
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@ -743,14 +743,14 @@ class BacktestingEngine:
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# Check whether limit orders can be filled.
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long_cross = (
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order.direction == Direction.LONG
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and order.price >= long_cross_price
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order.direction == Direction.LONG
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and order.price >= long_cross_price
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and long_cross_price > 0
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)
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short_cross = (
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order.direction == Direction.SHORT
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and order.price <= short_cross_price
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order.direction == Direction.SHORT
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and order.price <= short_cross_price
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and short_cross_price > 0
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)
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@ -811,12 +811,12 @@ class BacktestingEngine:
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for stop_order in list(self.active_stop_orders.values()):
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# Check whether stop order can be triggered.
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long_cross = (
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stop_order.direction == Direction.LONG
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stop_order.direction == Direction.LONG
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and stop_order.price <= long_cross_price
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)
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short_cross = (
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stop_order.direction == Direction.SHORT
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stop_order.direction == Direction.SHORT
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and stop_order.price >= short_cross_price
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)
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@ -911,10 +911,10 @@ class BacktestingEngine:
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return [vt_orderid]
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def send_stop_order(
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self,
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direction: Direction,
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offset: Offset,
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price: float,
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self,
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direction: Direction,
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offset: Offset,
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price: float,
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volume: float
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):
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""""""
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@ -936,15 +936,15 @@ class BacktestingEngine:
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return stop_order.stop_orderid
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def send_limit_order(
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self,
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self,
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direction: Direction,
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offset: Offset,
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price: float,
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price: float,
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volume: float
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):
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""""""
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self.limit_order_count += 1
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order = OrderData(
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symbol=self.symbol,
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exchange=self.exchange,
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@ -1008,13 +1008,13 @@ class BacktestingEngine:
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"""
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msg = f"{self.datetime}\t{msg}"
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self.logs.append(msg)
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def send_email(self, msg: str, strategy: CtaTemplate = None):
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"""
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Send email to default receiver.
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"""
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pass
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def sync_strategy_data(self, strategy: CtaTemplate):
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"""
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Sync strategy data into json file.
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@ -1145,7 +1145,7 @@ def optimize(
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Function for running in multiprocessing.pool
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"""
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engine = BacktestingEngine()
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engine.set_parameters(
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vt_symbol=vt_symbol,
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interval=interval,
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@ -22,17 +22,17 @@ from vnpy.trader.object import (
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ContractData
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)
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from vnpy.trader.event import (
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EVENT_TICK,
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EVENT_ORDER,
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EVENT_TICK,
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EVENT_ORDER,
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EVENT_TRADE,
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EVENT_POSITION
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)
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from vnpy.trader.constant import (
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Direction,
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OrderType,
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Interval,
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Exchange,
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Offset,
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Direction,
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OrderType,
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Interval,
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Exchange,
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Offset,
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Status
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)
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from vnpy.trader.utility import load_json, save_json, extract_vt_symbol, round_to
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@ -162,7 +162,7 @@ class CtaEngine(BaseEngine):
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def process_order_event(self, event: Event):
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""""""
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order = event.data
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self.offset_converter.update_order(order)
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strategy = self.orderid_strategy_map.get(order.vt_orderid, None)
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@ -187,7 +187,7 @@ class CtaEngine(BaseEngine):
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status=STOP_STATUS_MAP[order.status],
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vt_orderids=[order.vt_orderid],
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)
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self.call_strategy_func(strategy, strategy.on_stop_order, so)
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self.call_strategy_func(strategy, strategy.on_stop_order, so)
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# Call strategy on_order function
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self.call_strategy_func(strategy, strategy.on_order, order)
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@ -256,15 +256,15 @@ class CtaEngine(BaseEngine):
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price = tick.limit_down
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else:
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price = tick.bid_price_5
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contract = self.main_engine.get_contract(stop_order.vt_symbol)
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vt_orderids = self.send_limit_order(
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strategy,
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strategy,
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contract,
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stop_order.direction,
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stop_order.offset,
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price,
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stop_order.direction,
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stop_order.offset,
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price,
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stop_order.volume,
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stop_order.lock
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)
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@ -329,13 +329,13 @@ class CtaEngine(BaseEngine):
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vt_orderids.append(vt_orderid)
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self.offset_converter.update_order_request(req, vt_orderid)
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# Save relationship between orderid and strategy.
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self.orderid_strategy_map[vt_orderid] = strategy
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self.strategy_orderid_map[strategy.strategy_name].add(vt_orderid)
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return vt_orderids
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def send_limit_order(
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self,
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strategy: CtaTemplate,
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@ -359,7 +359,7 @@ class CtaEngine(BaseEngine):
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OrderType.LIMIT,
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lock
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)
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def send_server_stop_order(
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self,
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strategy: CtaTemplate,
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@ -372,8 +372,8 @@ class CtaEngine(BaseEngine):
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):
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"""
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Send a stop order to server.
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Should only be used if stop order supported
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Should only be used if stop order supported
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on the trading server.
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"""
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return self.send_server_order(
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@ -473,11 +473,11 @@ class CtaEngine(BaseEngine):
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if not contract:
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self.write_log(f"委托失败，找不到合约：{strategy.vt_symbol}", strategy)
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return ""
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# Round order price and volume to nearest incremental value
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price = round_to(price, contract.pricetick)
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volume = round_to(volume, contract.min_volume)
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if stop:
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if contract.stop_supported:
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return self.send_server_stop_order(strategy, contract, direction, offset, price, volume, lock)
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@ -510,9 +510,9 @@ class CtaEngine(BaseEngine):
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return self.engine_type
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def load_bar(
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self,
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vt_symbol: str,
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days: int,
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self,
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vt_symbol: str,
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days: int,
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interval: Interval,
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callback: Callable[[BarData], None]
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):
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@ -536,7 +536,7 @@ class CtaEngine(BaseEngine):
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callback(bar)
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def load_tick(
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self,
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self,
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vt_symbol: str,
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days: int,
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callback: Callable[[TickData], None]
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@ -836,9 +836,9 @@ class CtaEngine(BaseEngine):
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for strategy_name, strategy_config in self.strategy_setting.items():
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self.add_strategy(
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strategy_config["class_name"],
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strategy_config["class_name"],
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strategy_name,
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strategy_config["vt_symbol"],
|
||||
strategy_config["vt_symbol"],
|
||||
strategy_config["setting"]
|
||||
)
|
||||
|
||||
|
||||
@ -33,7 +33,7 @@ class CtaTemplate(ABC):
|
||||
self.trading = False
|
||||
self.pos = 0
|
||||
|
||||
# Copy a new variables list here to avoid duplicate insert when multiple
|
||||
# Copy a new variables list here to avoid duplicate insert when multiple
|
||||
# strategy instances are created with the same strategy class.
|
||||
self.variables = copy(self.variables)
|
||||
self.variables.insert(0, "inited")
|
||||
|
||||
@ -13,9 +13,9 @@ EVENT_TIMER = "eTimer"
|
||||
|
||||
class Event:
|
||||
"""
|
||||
Event object consists of a type string which is used
|
||||
by event engine for distributing event, and a data
|
||||
object which contains the real data.
|
||||
Event object consists of a type string which is used
|
||||
by event engine for distributing event, and a data
|
||||
object which contains the real data.
|
||||
"""
|
||||
|
||||
def __init__(self, type: str, data: Any = None):
|
||||
@ -30,7 +30,7 @@ HandlerType = Callable[[Event], None]
|
||||
|
||||
class EventEngine:
|
||||
"""
|
||||
Event engine distributes event object based on its type
|
||||
Event engine distributes event object based on its type
|
||||
to those handlers registered.
|
||||
|
||||
It also generates timer event by every interval seconds,
|
||||
@ -64,7 +64,7 @@ class EventEngine:
|
||||
def _process(self, event: Event):
|
||||
"""
|
||||
First ditribute event to those handlers registered listening
|
||||
to this type.
|
||||
to this type.
|
||||
|
||||
Then distrubute event to those general handlers which listens
|
||||
to all types.
|
||||
@ -108,7 +108,7 @@ class EventEngine:
|
||||
|
||||
def register(self, type: str, handler: HandlerType):
|
||||
"""
|
||||
Register a new handler function for a specific event type. Every
|
||||
Register a new handler function for a specific event type. Every
|
||||
function can only be registered once for each event type.
|
||||
"""
|
||||
handler_list = self._handlers[type]
|
||||
@ -129,7 +129,7 @@ class EventEngine:
|
||||
|
||||
def register_general(self, handler: HandlerType):
|
||||
"""
|
||||
Register a new handler function for all event types. Every
|
||||
Register a new handler function for all event types. Every
|
||||
function can only be registered once for each event type.
|
||||
"""
|
||||
if handler not in self._general_handlers:
|
||||
|
||||
@ -543,7 +543,7 @@ class BinanceRestApi(RestClient):
|
||||
"limit": limit,
|
||||
"startTime": start_time * 1000, # convert to millisecond
|
||||
}
|
||||
|
||||
|
||||
# Add end time if specified
|
||||
if req.end:
|
||||
end_time = int(datetime.timestamp(req.end))
|
||||
@ -570,7 +570,7 @@ class BinanceRestApi(RestClient):
|
||||
break
|
||||
|
||||
buf = []
|
||||
|
||||
|
||||
for l in data:
|
||||
dt = datetime.fromtimestamp(l[0] / 1000) # convert to second
|
||||
|
||||
@ -641,7 +641,7 @@ class BinanceTradeWebsocketApi(WebsocketClient):
|
||||
frozen=float(d["l"]),
|
||||
gateway_name=self.gateway_name
|
||||
)
|
||||
|
||||
|
||||
if account.balance:
|
||||
self.gateway.on_account(account)
|
||||
|
||||
|
||||
@ -13,7 +13,7 @@ from vnpy.api.ctp import (
|
||||
THOST_FTDC_OST_PartTradedQueueing,
|
||||
THOST_FTDC_OST_AllTraded,
|
||||
THOST_FTDC_OST_Canceled,
|
||||
THOST_FTDC_D_Buy,
|
||||
THOST_FTDC_D_Buy,
|
||||
THOST_FTDC_D_Sell,
|
||||
THOST_FTDC_PD_Long,
|
||||
THOST_FTDC_PD_Short,
|
||||
@ -73,7 +73,7 @@ STATUS_CTP2VT = {
|
||||
}
|
||||
|
||||
DIRECTION_VT2CTP = {
|
||||
Direction.LONG: THOST_FTDC_D_Buy,
|
||||
Direction.LONG: THOST_FTDC_D_Buy,
|
||||
Direction.SHORT: THOST_FTDC_D_Sell
|
||||
}
|
||||
DIRECTION_CTP2VT = {v: k for k, v in DIRECTION_VT2CTP.items()}
|
||||
@ -81,13 +81,13 @@ DIRECTION_CTP2VT[THOST_FTDC_PD_Long] = Direction.LONG
|
||||
DIRECTION_CTP2VT[THOST_FTDC_PD_Short] = Direction.SHORT
|
||||
|
||||
ORDERTYPE_VT2CTP = {
|
||||
OrderType.LIMIT: THOST_FTDC_OPT_LimitPrice,
|
||||
OrderType.LIMIT: THOST_FTDC_OPT_LimitPrice,
|
||||
OrderType.MARKET: THOST_FTDC_OPT_AnyPrice
|
||||
}
|
||||
ORDERTYPE_CTP2VT = {v: k for k, v in ORDERTYPE_VT2CTP.items()}
|
||||
|
||||
OFFSET_VT2CTP = {
|
||||
Offset.OPEN: THOST_FTDC_OF_Open,
|
||||
Offset.OPEN: THOST_FTDC_OF_Open,
|
||||
Offset.CLOSE: THOST_FTDC_OFEN_Close,
|
||||
Offset.CLOSETODAY: THOST_FTDC_OFEN_CloseToday,
|
||||
Offset.CLOSEYESTERDAY: THOST_FTDC_OFEN_CloseYesterday,
|
||||
@ -136,7 +136,7 @@ class CtpGateway(BaseGateway):
|
||||
}
|
||||
|
||||
exchanges = list(EXCHANGE_CTP2VT.values())
|
||||
|
||||
|
||||
def __init__(self, event_engine):
|
||||
"""Constructor"""
|
||||
super().__init__(event_engine, "CTP")
|
||||
@ -154,15 +154,15 @@ class CtpGateway(BaseGateway):
|
||||
appid = setting["产品名称"]
|
||||
auth_code = setting["授权编码"]
|
||||
product_info = setting["产品信息"]
|
||||
|
||||
|
||||
if not td_address.startswith("tcp://"):
|
||||
td_address = "tcp://" + td_address
|
||||
if not md_address.startswith("tcp://"):
|
||||
md_address = "tcp://" + md_address
|
||||
|
||||
|
||||
self.td_api.connect(td_address, userid, password, brokerid, auth_code, appid, product_info)
|
||||
self.md_api.connect(md_address, userid, password, brokerid)
|
||||
|
||||
|
||||
self.init_query()
|
||||
|
||||
def subscribe(self, req: SubscribeRequest):
|
||||
@ -195,19 +195,19 @@ class CtpGateway(BaseGateway):
|
||||
error_id = error["ErrorID"]
|
||||
error_msg = error["ErrorMsg"]
|
||||
msg = f"{msg}，代码：{error_id}，信息：{error_msg}"
|
||||
self.write_log(msg)
|
||||
|
||||
self.write_log(msg)
|
||||
|
||||
def process_timer_event(self, event):
|
||||
""""""
|
||||
self.count += 1
|
||||
if self.count < 2:
|
||||
return
|
||||
self.count = 0
|
||||
|
||||
|
||||
func = self.query_functions.pop(0)
|
||||
func()
|
||||
self.query_functions.append(func)
|
||||
|
||||
|
||||
def init_query(self):
|
||||
""""""
|
||||
self.count = 0
|
||||
@ -221,20 +221,20 @@ class CtpMdApi(MdApi):
|
||||
def __init__(self, gateway):
|
||||
"""Constructor"""
|
||||
super(CtpMdApi, self).__init__()
|
||||
|
||||
|
||||
self.gateway = gateway
|
||||
self.gateway_name = gateway.gateway_name
|
||||
|
||||
|
||||
self.reqid = 0
|
||||
|
||||
|
||||
self.connect_status = False
|
||||
self.login_status = False
|
||||
self.subscribed = set()
|
||||
|
||||
|
||||
self.userid = ""
|
||||
self.password = ""
|
||||
self.brokerid = ""
|
||||
|
||||
|
||||
def onFrontConnected(self):
|
||||
"""
|
||||
Callback when front server is connected.
|
||||
@ -256,23 +256,23 @@ class CtpMdApi(MdApi):
|
||||
if not error["ErrorID"]:
|
||||
self.login_status = True
|
||||
self.gateway.write_log("行情服务器登录成功")
|
||||
|
||||
|
||||
for symbol in self.subscribed:
|
||||
self.subscribeMarketData(symbol)
|
||||
else:
|
||||
self.gateway.write_error("行情服务器登录失败", error)
|
||||
|
||||
|
||||
def onRspError(self, error: dict, reqid: int, last: bool):
|
||||
"""
|
||||
Callback when error occured.
|
||||
"""
|
||||
self.gateway.write_error("行情接口报错", error)
|
||||
|
||||
|
||||
def onRspSubMarketData(self, data: dict, error: dict, reqid: int, last: bool):
|
||||
""""""
|
||||
if not error or not error["ErrorID"]:
|
||||
return
|
||||
|
||||
|
||||
self.gateway.write_error("行情订阅失败", error)
|
||||
|
||||
def onRtnDepthMarketData(self, data: dict):
|
||||
@ -283,9 +283,9 @@ class CtpMdApi(MdApi):
|
||||
exchange = symbol_exchange_map.get(symbol, "")
|
||||
if not exchange:
|
||||
return
|
||||
|
||||
|
||||
timestamp = f"{data['ActionDay']} {data['UpdateTime']}.{int(data['UpdateMillisec']/100)}"
|
||||
|
||||
|
||||
tick = TickData(
|
||||
symbol=symbol,
|
||||
exchange=exchange,
|
||||
@ -306,7 +306,7 @@ class CtpMdApi(MdApi):
|
||||
ask_volume_1=data["AskVolume1"],
|
||||
gateway_name=self.gateway_name
|
||||
)
|
||||
self.gateway.on_tick(tick)
|
||||
self.gateway.on_tick(tick)
|
||||
|
||||
def connect(self, address: str, userid: str, password: str, brokerid: int):
|
||||
"""
|
||||
@ -315,12 +315,12 @@ class CtpMdApi(MdApi):
|
||||
self.userid = userid
|
||||
self.password = password
|
||||
self.brokerid = brokerid
|
||||
|
||||
|
||||
# If not connected, then start connection first.
|
||||
if not self.connect_status:
|
||||
path = get_folder_path(self.gateway_name.lower())
|
||||
self.createFtdcMdApi(str(path) + "\\Md")
|
||||
|
||||
|
||||
self.registerFront(address)
|
||||
self.init()
|
||||
|
||||
@ -328,7 +328,7 @@ class CtpMdApi(MdApi):
|
||||
# If already connected, then login immediately.
|
||||
elif not self.login_status:
|
||||
self.login()
|
||||
|
||||
|
||||
def login(self):
|
||||
"""
|
||||
Login onto server.
|
||||
@ -338,10 +338,10 @@ class CtpMdApi(MdApi):
|
||||
"Password": self.password,
|
||||
"BrokerID": self.brokerid
|
||||
}
|
||||
|
||||
|
||||
self.reqid += 1
|
||||
self.reqUserLogin(req, self.reqid)
|
||||
|
||||
|
||||
def subscribe(self, req: SubscribeRequest):
|
||||
"""
|
||||
Subscribe to tick data update.
|
||||
@ -349,7 +349,7 @@ class CtpMdApi(MdApi):
|
||||
if self.login_status:
|
||||
self.subscribeMarketData(req.symbol)
|
||||
self.subscribed.add(req.symbol)
|
||||
|
||||
|
||||
def close(self):
|
||||
"""
|
||||
Close the connection.
|
||||
@ -364,47 +364,47 @@ class CtpTdApi(TdApi):
|
||||
def __init__(self, gateway):
|
||||
"""Constructor"""
|
||||
super(CtpTdApi, self).__init__()
|
||||
|
||||
|
||||
self.gateway = gateway
|
||||
self.gateway_name = gateway.gateway_name
|
||||
|
||||
|
||||
self.reqid = 0
|
||||
self.order_ref = 0
|
||||
|
||||
|
||||
self.connect_status = False
|
||||
self.login_status = False
|
||||
self.auth_staus = False
|
||||
self.login_failed = False
|
||||
|
||||
|
||||
self.userid = ""
|
||||
self.password = ""
|
||||
self.brokerid = ""
|
||||
self.auth_code = ""
|
||||
self.appid = ""
|
||||
self.product_info = ""
|
||||
|
||||
|
||||
self.frontid = 0
|
||||
self.sessionid = 0
|
||||
|
||||
|
||||
self.order_data = []
|
||||
self.trade_data = []
|
||||
self.positions = {}
|
||||
self.sysid_orderid_map = {}
|
||||
|
||||
|
||||
def onFrontConnected(self):
|
||||
""""""
|
||||
self.gateway.write_log("交易服务器连接成功")
|
||||
|
||||
|
||||
if self.auth_code:
|
||||
self.authenticate()
|
||||
else:
|
||||
self.login()
|
||||
|
||||
|
||||
def onFrontDisconnected(self, reason: int):
|
||||
""""""
|
||||
self.login_status = False
|
||||
self.gateway.write_log(f"交易服务器连接断开，原因{reason}")
|
||||
|
||||
self.gateway.write_log(f"交易服务器连接断开，原因{reason}")
|
||||
|
||||
def onRspAuthenticate(self, data: dict, error: dict, reqid: int, last: bool):
|
||||
""""""
|
||||
if not error['ErrorID']:
|
||||
@ -413,7 +413,7 @@ class CtpTdApi(TdApi):
|
||||
self.login()
|
||||
else:
|
||||
self.gateway.write_error("交易服务器授权验证失败", error)
|
||||
|
||||
|
||||
def onRspUserLogin(self, data: dict, error: dict, reqid: int, last: bool):
|
||||
""""""
|
||||
if not error["ErrorID"]:
|
||||
@ -421,7 +421,7 @@ class CtpTdApi(TdApi):
|
||||
self.sessionid = data["SessionID"]
|
||||
self.login_status = True
|
||||
self.gateway.write_log("交易服务器登录成功")
|
||||
|
||||
|
||||
# Confirm settlement
|
||||
req = {
|
||||
"BrokerID": self.brokerid,
|
||||
@ -431,17 +431,17 @@ class CtpTdApi(TdApi):
|
||||
self.reqSettlementInfoConfirm(req, self.reqid)
|
||||
else:
|
||||
self.login_failed = True
|
||||
|
||||
|
||||
self.gateway.write_error("交易服务器登录失败", error)
|
||||
|
||||
|
||||
def onRspOrderInsert(self, data: dict, error: dict, reqid: int, last: bool):
|
||||
""""""
|
||||
order_ref = data["OrderRef"]
|
||||
orderid = f"{self.frontid}_{self.sessionid}_{order_ref}"
|
||||
|
||||
|
||||
symbol = data["InstrumentID"]
|
||||
exchange = symbol_exchange_map[symbol]
|
||||
|
||||
|
||||
order = OrderData(
|
||||
symbol=symbol,
|
||||
exchange=exchange,
|
||||
@ -454,31 +454,31 @@ class CtpTdApi(TdApi):
|
||||
gateway_name=self.gateway_name
|
||||
)
|
||||
self.gateway.on_order(order)
|
||||
|
||||
|
||||
self.gateway.write_error("交易委托失败", error)
|
||||
|
||||
|
||||
def onRspOrderAction(self, data: dict, error: dict, reqid: int, last: bool):
|
||||
""""""
|
||||
self.gateway.write_error("交易撤单失败", error)
|
||||
|
||||
|
||||
def onRspQueryMaxOrderVolume(self, data: dict, error: dict, reqid: int, last: bool):
|
||||
""""""
|
||||
pass
|
||||
|
||||
|
||||
def onRspSettlementInfoConfirm(self, data: dict, error: dict, reqid: int, last: bool):
|
||||
"""
|
||||
Callback of settlment info confimation.
|
||||
"""
|
||||
self.gateway.write_log("结算信息确认成功")
|
||||
|
||||
|
||||
self.reqid += 1
|
||||
self.reqQryInstrument({}, self.reqid)
|
||||
|
||||
|
||||
def onRspQryInvestorPosition(self, data: dict, error: dict, reqid: int, last: bool):
|
||||
""""""
|
||||
if not data:
|
||||
return
|
||||
|
||||
|
||||
# Get buffered position object
|
||||
key = f"{data['InstrumentID'], data['PosiDirection']}"
|
||||
position = self.positions.get(key, None)
|
||||
@ -490,7 +490,7 @@ class CtpTdApi(TdApi):
|
||||
gateway_name=self.gateway_name
|
||||
)
|
||||
self.positions[key] = position
|
||||
|
||||
|
||||
# For SHFE position data update
|
||||
if position.exchange == Exchange.SHFE:
|
||||
if data["YdPosition"] and not data["TodayPosition"]:
|
||||
@ -498,34 +498,34 @@ class CtpTdApi(TdApi):
|
||||
# For other exchange position data update
|
||||
else:
|
||||
position.yd_volume = data["Position"] - data["TodayPosition"]
|
||||
|
||||
|
||||
# Get contract size (spread contract has no size value)
|
||||
size = symbol_size_map.get(position.symbol, 0)
|
||||
|
||||
|
||||
# Calculate previous position cost
|
||||
cost = position.price * position.volume * size
|
||||
|
||||
|
||||
# Update new position volume
|
||||
position.volume += data["Position"]
|
||||
position.pnl += data["PositionProfit"]
|
||||
|
||||
|
||||
# Calculate average position price
|
||||
if position.volume and size:
|
||||
cost += data["PositionCost"]
|
||||
position.price = cost / (position.volume * size)
|
||||
|
||||
|
||||
# Get frozen volume
|
||||
if position.direction == Direction.LONG:
|
||||
position.frozen += data["ShortFrozen"]
|
||||
else:
|
||||
position.frozen += data["LongFrozen"]
|
||||
|
||||
|
||||
if last:
|
||||
for position in self.positions.values():
|
||||
self.gateway.on_position(position)
|
||||
|
||||
|
||||
self.positions.clear()
|
||||
|
||||
|
||||
def onRspQryTradingAccount(self, data: dict, error: dict, reqid: int, last: bool):
|
||||
""""""
|
||||
if "AccountID" not in data:
|
||||
@ -538,15 +538,15 @@ class CtpTdApi(TdApi):
|
||||
gateway_name=self.gateway_name
|
||||
)
|
||||
account.available = data["Available"]
|
||||
|
||||
|
||||
self.gateway.on_account(account)
|
||||
|
||||
|
||||
def onRspQryInstrument(self, data: dict, error: dict, reqid: int, last: bool):
|
||||
"""
|
||||
Callback of instrument query.
|
||||
"""
|
||||
product = PRODUCT_CTP2VT.get(data["ProductClass"], None)
|
||||
if product:
|
||||
if product:
|
||||
contract = ContractData(
|
||||
symbol=data["InstrumentID"],
|
||||
exchange=EXCHANGE_CTP2VT[data["ExchangeID"]],
|
||||
@ -556,31 +556,31 @@ class CtpTdApi(TdApi):
|
||||
pricetick=data["PriceTick"],
|
||||
gateway_name=self.gateway_name
|
||||
)
|
||||
|
||||
|
||||
# For option only
|
||||
if contract.product == Product.OPTION:
|
||||
contract.option_underlying = data["UnderlyingInstrID"],
|
||||
contract.option_type = OPTIONTYPE_CTP2VT.get(data["OptionsType"], None),
|
||||
contract.option_strike = data["StrikePrice"],
|
||||
contract.option_expiry = datetime.strptime(data["ExpireDate"], "%Y%m%d"),
|
||||
|
||||
|
||||
self.gateway.on_contract(contract)
|
||||
|
||||
|
||||
symbol_exchange_map[contract.symbol] = contract.exchange
|
||||
symbol_name_map[contract.symbol] = contract.name
|
||||
symbol_size_map[contract.symbol] = contract.size
|
||||
|
||||
|
||||
if last:
|
||||
self.gateway.write_log("合约信息查询成功")
|
||||
|
||||
|
||||
for data in self.order_data:
|
||||
self.onRtnOrder(data)
|
||||
self.order_data.clear()
|
||||
|
||||
|
||||
for data in self.trade_data:
|
||||
self.onRtnTrade(data)
|
||||
self.trade_data.clear()
|
||||
|
||||
|
||||
def onRtnOrder(self, data: dict):
|
||||
"""
|
||||
Callback of order status update.
|
||||
@ -590,12 +590,12 @@ class CtpTdApi(TdApi):
|
||||
if not exchange:
|
||||
self.order_data.append(data)
|
||||
return
|
||||
|
||||
|
||||
frontid = data["FrontID"]
|
||||
sessionid = data["SessionID"]
|
||||
order_ref = data["OrderRef"]
|
||||
orderid = f"{frontid}_{sessionid}_{order_ref}"
|
||||
|
||||
|
||||
order = OrderData(
|
||||
symbol=symbol,
|
||||
exchange=exchange,
|
||||
@ -611,9 +611,9 @@ class CtpTdApi(TdApi):
|
||||
gateway_name=self.gateway_name
|
||||
)
|
||||
self.gateway.on_order(order)
|
||||
|
||||
|
||||
self.sysid_orderid_map[data["OrderSysID"]] = orderid
|
||||
|
||||
|
||||
def onRtnTrade(self, data: dict):
|
||||
"""
|
||||
Callback of trade status update.
|
||||
@ -625,7 +625,7 @@ class CtpTdApi(TdApi):
|
||||
return
|
||||
|
||||
orderid = self.sysid_orderid_map[data["OrderSysID"]]
|
||||
|
||||
|
||||
trade = TradeData(
|
||||
symbol=symbol,
|
||||
exchange=exchange,
|
||||
@ -638,15 +638,15 @@ class CtpTdApi(TdApi):
|
||||
time=data["TradeTime"],
|
||||
gateway_name=self.gateway_name
|
||||
)
|
||||
self.gateway.on_trade(trade)
|
||||
|
||||
self.gateway.on_trade(trade)
|
||||
|
||||
def connect(
|
||||
self,
|
||||
address: str,
|
||||
userid: str,
|
||||
password: str,
|
||||
brokerid: int,
|
||||
auth_code: str,
|
||||
self,
|
||||
address: str,
|
||||
userid: str,
|
||||
password: str,
|
||||
brokerid: int,
|
||||
auth_code: str,
|
||||
appid: str,
|
||||
product_info
|
||||
):
|
||||
@ -659,21 +659,21 @@ class CtpTdApi(TdApi):
|
||||
self.auth_code = auth_code
|
||||
self.appid = appid
|
||||
self.product_info = product_info
|
||||
|
||||
|
||||
if not self.connect_status:
|
||||
path = get_folder_path(self.gateway_name.lower())
|
||||
self.createFtdcTraderApi(str(path) + "\\Td")
|
||||
|
||||
|
||||
self.subscribePrivateTopic(0)
|
||||
self.subscribePublicTopic(0)
|
||||
|
||||
|
||||
self.registerFront(address)
|
||||
self.init()
|
||||
self.init()
|
||||
|
||||
self.connect_status = True
|
||||
else:
|
||||
self.authenticate()
|
||||
|
||||
|
||||
def authenticate(self):
|
||||
"""
|
||||
Authenticate with auth_code and appid.
|
||||
@ -687,10 +687,10 @@ class CtpTdApi(TdApi):
|
||||
|
||||
if self.product_info:
|
||||
req["UserProductInfo"] = self.product_info
|
||||
|
||||
|
||||
self.reqid += 1
|
||||
self.reqAuthenticate(req, self.reqid)
|
||||
|
||||
|
||||
def login(self):
|
||||
"""
|
||||
Login onto server.
|
||||
@ -707,16 +707,16 @@ class CtpTdApi(TdApi):
|
||||
|
||||
if self.product_info:
|
||||
req["UserProductInfo"] = self.product_info
|
||||
|
||||
|
||||
self.reqid += 1
|
||||
self.reqUserLogin(req, self.reqid)
|
||||
|
||||
|
||||
def send_order(self, req: OrderRequest):
|
||||
"""
|
||||
Send new order.
|
||||
"""
|
||||
self.order_ref += 1
|
||||
|
||||
|
||||
ctp_req = {
|
||||
"InstrumentID": req.symbol,
|
||||
"ExchangeID": req.exchange.value,
|
||||
@ -737,7 +737,7 @@ class CtpTdApi(TdApi):
|
||||
"VolumeCondition": THOST_FTDC_VC_AV,
|
||||
"MinVolume": 1
|
||||
}
|
||||
|
||||
|
||||
if req.type == OrderType.FAK:
|
||||
ctp_req["OrderPriceType"] = THOST_FTDC_OPT_LimitPrice
|
||||
ctp_req["TimeCondition"] = THOST_FTDC_TC_IOC
|
||||
@ -745,23 +745,23 @@ class CtpTdApi(TdApi):
|
||||
elif req.type == OrderType.FOK:
|
||||
ctp_req["OrderPriceType"] = THOST_FTDC_OPT_LimitPrice
|
||||
ctp_req["TimeCondition"] = THOST_FTDC_TC_IOC
|
||||
ctp_req["VolumeCondition"] = THOST_FTDC_VC_CV
|
||||
|
||||
ctp_req["VolumeCondition"] = THOST_FTDC_VC_CV
|
||||
|
||||
self.reqid += 1
|
||||
self.reqOrderInsert(ctp_req, self.reqid)
|
||||
|
||||
|
||||
orderid = f"{self.frontid}_{self.sessionid}_{self.order_ref}"
|
||||
order = req.create_order_data(orderid, self.gateway_name)
|
||||
self.gateway.on_order(order)
|
||||
|
||||
|
||||
return order.vt_orderid
|
||||
|
||||
|
||||
def cancel_order(self, req: CancelRequest):
|
||||
"""
|
||||
Cancel existing order.
|
||||
"""
|
||||
frontid, sessionid, order_ref = req.orderid.split("_")
|
||||
|
||||
|
||||
ctp_req = {
|
||||
"InstrumentID": req.symbol,
|
||||
"ExchangeID": req.exchange.value,
|
||||
@ -772,32 +772,32 @@ class CtpTdApi(TdApi):
|
||||
"BrokerID": self.brokerid,
|
||||
"InvestorID": self.userid
|
||||
}
|
||||
|
||||
|
||||
self.reqid += 1
|
||||
self.reqOrderAction(ctp_req, self.reqid)
|
||||
|
||||
|
||||
def query_account(self):
|
||||
"""
|
||||
Query account balance data.
|
||||
"""
|
||||
self.reqid += 1
|
||||
self.reqQryTradingAccount({}, self.reqid)
|
||||
|
||||
|
||||
def query_position(self):
|
||||
"""
|
||||
Query position holding data.
|
||||
"""
|
||||
if not symbol_exchange_map:
|
||||
return
|
||||
|
||||
|
||||
req = {
|
||||
"BrokerID": self.brokerid,
|
||||
"InvestorID": self.userid
|
||||
}
|
||||
|
||||
self.reqid += 1
|
||||
|
||||
self.reqid += 1
|
||||
self.reqQryInvestorPosition(req, self.reqid)
|
||||
|
||||
|
||||
def close(self):
|
||||
""""""
|
||||
if self.connect_status:
|
||||
|
||||
@ -136,7 +136,7 @@ class CtptestGateway(BaseGateway):
|
||||
}
|
||||
|
||||
exchanges = list(EXCHANGE_CTP2VT.values())
|
||||
|
||||
|
||||
def __init__(self, event_engine):
|
||||
"""Constructor"""
|
||||
super().__init__(event_engine, "CTPTEST")
|
||||
@ -154,15 +154,15 @@ class CtptestGateway(BaseGateway):
|
||||
appid = setting["产品名称"]
|
||||
auth_code = setting["授权编码"]
|
||||
product_info = setting["产品信息"]
|
||||
|
||||
|
||||
if not td_address.startswith("tcp://"):
|
||||
td_address = "tcp://" + td_address
|
||||
if not md_address.startswith("tcp://"):
|
||||
md_address = "tcp://" + md_address
|
||||
|
||||
|
||||
self.td_api.connect(td_address, userid, password, brokerid, auth_code, appid, product_info)
|
||||
self.md_api.connect(md_address, userid, password, brokerid)
|
||||
|
||||
|
||||
self.init_query()
|
||||
|
||||
def subscribe(self, req: SubscribeRequest):
|
||||
@ -195,19 +195,19 @@ class CtptestGateway(BaseGateway):
|
||||
error_id = error["ErrorID"]
|
||||
error_msg = error["ErrorMsg"]
|
||||
msg = f"{msg}，代码：{error_id}，信息：{error_msg}"
|
||||
self.write_log(msg)
|
||||
|
||||
self.write_log(msg)
|
||||
|
||||
def process_timer_event(self, event):
|
||||
""""""
|
||||
self.count += 1
|
||||
if self.count < 2:
|
||||
return
|
||||
self.count = 0
|
||||
|
||||
|
||||
func = self.query_functions.pop(0)
|
||||
func()
|
||||
self.query_functions.append(func)
|
||||
|
||||
|
||||
def init_query(self):
|
||||
""""""
|
||||
self.count = 0
|
||||
@ -221,20 +221,20 @@ class CtpMdApi(MdApi):
|
||||
def __init__(self, gateway):
|
||||
"""Constructor"""
|
||||
super(CtpMdApi, self).__init__()
|
||||
|
||||
|
||||
self.gateway = gateway
|
||||
self.gateway_name = gateway.gateway_name
|
||||
|
||||
|
||||
self.reqid = 0
|
||||
|
||||
|
||||
self.connect_status = False
|
||||
self.login_status = False
|
||||
self.subscribed = set()
|
||||
|
||||
|
||||
self.userid = ""
|
||||
self.password = ""
|
||||
self.brokerid = ""
|
||||
|
||||
|
||||
def onFrontConnected(self):
|
||||
"""
|
||||
Callback when front server is connected.
|
||||
@ -256,23 +256,23 @@ class CtpMdApi(MdApi):
|
||||
if not error["ErrorID"]:
|
||||
self.login_status = True
|
||||
self.gateway.write_log("行情服务器登录成功")
|
||||
|
||||
|
||||
for symbol in self.subscribed:
|
||||
self.subscribeMarketData(symbol)
|
||||
else:
|
||||
self.gateway.write_error("行情服务器登录失败", error)
|
||||
|
||||
|
||||
def onRspError(self, error: dict, reqid: int, last: bool):
|
||||
"""
|
||||
Callback when error occured.
|
||||
"""
|
||||
self.gateway.write_error("行情接口报错", error)
|
||||
|
||||
|
||||
def onRspSubMarketData(self, data: dict, error: dict, reqid: int, last: bool):
|
||||
""""""
|
||||
if not error or not error["ErrorID"]:
|
||||
return
|
||||
|
||||
|
||||
self.gateway.write_error("行情订阅失败", error)
|
||||
|
||||
def onRtnDepthMarketData(self, data: dict):
|
||||
@ -283,9 +283,9 @@ class CtpMdApi(MdApi):
|
||||
exchange = symbol_exchange_map.get(symbol, "")
|
||||
if not exchange:
|
||||
return
|
||||
|
||||
|
||||
timestamp = f"{data['ActionDay']} {data['UpdateTime']}.{int(data['UpdateMillisec']/100)}"
|
||||
|
||||
|
||||
tick = TickData(
|
||||
symbol=symbol,
|
||||
exchange=exchange,
|
||||
@ -305,7 +305,7 @@ class CtpMdApi(MdApi):
|
||||
ask_volume_1=data["AskVolume1"],
|
||||
gateway_name=self.gateway_name
|
||||
)
|
||||
self.gateway.on_tick(tick)
|
||||
self.gateway.on_tick(tick)
|
||||
|
||||
def connect(self, address: str, userid: str, password: str, brokerid: int):
|
||||
"""
|
||||
@ -314,12 +314,12 @@ class CtpMdApi(MdApi):
|
||||
self.userid = userid
|
||||
self.password = password
|
||||
self.brokerid = brokerid
|
||||
|
||||
|
||||
# If not connected, then start connection first.
|
||||
if not self.connect_status:
|
||||
path = get_folder_path(self.gateway_name.lower())
|
||||
self.createFtdcMdApi(str(path) + "\\Md")
|
||||
|
||||
|
||||
self.registerFront(address)
|
||||
self.init()
|
||||
|
||||
@ -327,7 +327,7 @@ class CtpMdApi(MdApi):
|
||||
# If already connected, then login immediately.
|
||||
elif not self.login_status:
|
||||
self.login()
|
||||
|
||||
|
||||
def login(self):
|
||||
"""
|
||||
Login onto server.
|
||||
@ -337,10 +337,10 @@ class CtpMdApi(MdApi):
|
||||
"Password": self.password,
|
||||
"BrokerID": self.brokerid
|
||||
}
|
||||
|
||||
|
||||
self.reqid += 1
|
||||
self.reqUserLogin(req, self.reqid)
|
||||
|
||||
|
||||
def subscribe(self, req: SubscribeRequest):
|
||||
"""
|
||||
Subscribe to tick data update.
|
||||
@ -348,7 +348,7 @@ class CtpMdApi(MdApi):
|
||||
if self.login_status:
|
||||
self.subscribeMarketData(req.symbol)
|
||||
self.subscribed.add(req.symbol)
|
||||
|
||||
|
||||
def close(self):
|
||||
"""
|
||||
Close the connection.
|
||||
@ -363,47 +363,47 @@ class CtpTdApi(TdApi):
|
||||
def __init__(self, gateway):
|
||||
"""Constructor"""
|
||||
super(CtpTdApi, self).__init__()
|
||||
|
||||
|
||||
self.gateway = gateway
|
||||
self.gateway_name = gateway.gateway_name
|
||||
|
||||
|
||||
self.reqid = 0
|
||||
self.order_ref = 0
|
||||
|
||||
|
||||
self.connect_status = False
|
||||
self.login_status = False
|
||||
self.auth_staus = False
|
||||
self.login_failed = False
|
||||
|
||||
|
||||
self.userid = ""
|
||||
self.password = ""
|
||||
self.brokerid = ""
|
||||
self.auth_code = ""
|
||||
self.appid = ""
|
||||
self.product_info = ""
|
||||
|
||||
|
||||
self.frontid = 0
|
||||
self.sessionid = 0
|
||||
|
||||
|
||||
self.order_data = []
|
||||
self.trade_data = []
|
||||
self.positions = {}
|
||||
self.sysid_orderid_map = {}
|
||||
|
||||
|
||||
def onFrontConnected(self):
|
||||
""""""
|
||||
self.gateway.write_log("交易服务器连接成功")
|
||||
|
||||
|
||||
if self.auth_code:
|
||||
self.authenticate()
|
||||
else:
|
||||
self.login()
|
||||
|
||||
|
||||
def onFrontDisconnected(self, reason: int):
|
||||
""""""
|
||||
self.login_status = False
|
||||
self.gateway.write_log(f"交易服务器连接断开，原因{reason}")
|
||||
|
||||
self.gateway.write_log(f"交易服务器连接断开，原因{reason}")
|
||||
|
||||
def onRspAuthenticate(self, data: dict, error: dict, reqid: int, last: bool):
|
||||
""""""
|
||||
if not error['ErrorID']:
|
||||
@ -412,7 +412,7 @@ class CtpTdApi(TdApi):
|
||||
self.login()
|
||||
else:
|
||||
self.gateway.write_error("交易服务器授权验证失败", error)
|
||||
|
||||
|
||||
def onRspUserLogin(self, data: dict, error: dict, reqid: int, last: bool):
|
||||
""""""
|
||||
if not error["ErrorID"]:
|
||||
@ -420,7 +420,7 @@ class CtpTdApi(TdApi):
|
||||
self.sessionid = data["SessionID"]
|
||||
self.login_status = True
|
||||
self.gateway.write_log("交易服务器登录成功")
|
||||
|
||||
|
||||
# Confirm settlement
|
||||
req = {
|
||||
"BrokerID": self.brokerid,
|
||||
@ -430,17 +430,17 @@ class CtpTdApi(TdApi):
|
||||
self.reqSettlementInfoConfirm(req, self.reqid)
|
||||
else:
|
||||
self.login_failed = True
|
||||
|
||||
|
||||
self.gateway.write_error("交易服务器登录失败", error)
|
||||
|
||||
|
||||
def onRspOrderInsert(self, data: dict, error: dict, reqid: int, last: bool):
|
||||
""""""
|
||||
order_ref = data["OrderRef"]
|
||||
orderid = f"{self.frontid}_{self.sessionid}_{order_ref}"
|
||||
|
||||
|
||||
symbol = data["InstrumentID"]
|
||||
exchange = symbol_exchange_map[symbol]
|
||||
|
||||
|
||||
order = OrderData(
|
||||
symbol=symbol,
|
||||
exchange=exchange,
|
||||
@ -453,31 +453,31 @@ class CtpTdApi(TdApi):
|
||||
gateway_name=self.gateway_name
|
||||
)
|
||||
self.gateway.on_order(order)
|
||||
|
||||
|
||||
self.gateway.write_error("交易委托失败", error)
|
||||
|
||||
|
||||
def onRspOrderAction(self, data: dict, error: dict, reqid: int, last: bool):
|
||||
""""""
|
||||
self.gateway.write_error("交易撤单失败", error)
|
||||
|
||||
|
||||
def onRspQueryMaxOrderVolume(self, data: dict, error: dict, reqid: int, last: bool):
|
||||
""""""
|
||||
pass
|
||||
|
||||
|
||||
def onRspSettlementInfoConfirm(self, data: dict, error: dict, reqid: int, last: bool):
|
||||
"""
|
||||
Callback of settlment info confimation.
|
||||
"""
|
||||
self.gateway.write_log("结算信息确认成功")
|
||||
|
||||
|
||||
self.reqid += 1
|
||||
self.reqQryInstrument({}, self.reqid)
|
||||
|
||||
|
||||
def onRspQryInvestorPosition(self, data: dict, error: dict, reqid: int, last: bool):
|
||||
""""""
|
||||
if not data:
|
||||
return
|
||||
|
||||
|
||||
# Get buffered position object
|
||||
key = f"{data['InstrumentID'], data['PosiDirection']}"
|
||||
position = self.positions.get(key, None)
|
||||
@ -489,7 +489,7 @@ class CtpTdApi(TdApi):
|
||||
gateway_name=self.gateway_name
|
||||
)
|
||||
self.positions[key] = position
|
||||
|
||||
|
||||
# For SHFE position data update
|
||||
if position.exchange == Exchange.SHFE:
|
||||
if data["YdPosition"] and not data["TodayPosition"]:
|
||||
@ -497,34 +497,34 @@ class CtpTdApi(TdApi):
|
||||
# For other exchange position data update
|
||||
else:
|
||||
position.yd_volume = data["Position"] - data["TodayPosition"]
|
||||
|
||||
|
||||
# Get contract size (spread contract has no size value)
|
||||
size = symbol_size_map.get(position.symbol, 0)
|
||||
|
||||
|
||||
# Calculate previous position cost
|
||||
cost = position.price * position.volume * size
|
||||
|
||||
|
||||
# Update new position volume
|
||||
position.volume += data["Position"]
|
||||
position.pnl += data["PositionProfit"]
|
||||
|
||||
|
||||
# Calculate average position price
|
||||
if position.volume and size:
|
||||
cost += data["PositionCost"]
|
||||
position.price = cost / (position.volume * size)
|
||||
|
||||
|
||||
# Get frozen volume
|
||||
if position.direction == Direction.LONG:
|
||||
position.frozen += data["ShortFrozen"]
|
||||
else:
|
||||
position.frozen += data["LongFrozen"]
|
||||
|
||||
|
||||
if last:
|
||||
for position in self.positions.values():
|
||||
self.gateway.on_position(position)
|
||||
|
||||
|
||||
self.positions.clear()
|
||||
|
||||
|
||||
def onRspQryTradingAccount(self, data: dict, error: dict, reqid: int, last: bool):
|
||||
""""""
|
||||
if "AccountID" not in data:
|
||||
@ -537,15 +537,15 @@ class CtpTdApi(TdApi):
|
||||
gateway_name=self.gateway_name
|
||||
)
|
||||
account.available = data["Available"]
|
||||
|
||||
|
||||
self.gateway.on_account(account)
|
||||
|
||||
|
||||
def onRspQryInstrument(self, data: dict, error: dict, reqid: int, last: bool):
|
||||
"""
|
||||
Callback of instrument query.
|
||||
"""
|
||||
product = PRODUCT_CTP2VT.get(data["ProductClass"], None)
|
||||
if product:
|
||||
if product:
|
||||
contract = ContractData(
|
||||
symbol=data["InstrumentID"],
|
||||
exchange=EXCHANGE_CTP2VT[data["ExchangeID"]],
|
||||
@ -555,31 +555,31 @@ class CtpTdApi(TdApi):
|
||||
pricetick=data["PriceTick"],
|
||||
gateway_name=self.gateway_name
|
||||
)
|
||||
|
||||
|
||||
# For option only
|
||||
if contract.product == Product.OPTION:
|
||||
contract.option_underlying = data["UnderlyingInstrID"],
|
||||
contract.option_type = OPTIONTYPE_CTP2VT.get(data["OptionsType"], None),
|
||||
contract.option_strike = data["StrikePrice"],
|
||||
contract.option_expiry = datetime.strptime(data["ExpireDate"], "%Y%m%d"),
|
||||
|
||||
|
||||
self.gateway.on_contract(contract)
|
||||
|
||||
|
||||
symbol_exchange_map[contract.symbol] = contract.exchange
|
||||
symbol_name_map[contract.symbol] = contract.name
|
||||
symbol_size_map[contract.symbol] = contract.size
|
||||
|
||||
|
||||
if last:
|
||||
self.gateway.write_log("合约信息查询成功")
|
||||
|
||||
|
||||
for data in self.order_data:
|
||||
self.onRtnOrder(data)
|
||||
self.order_data.clear()
|
||||
|
||||
|
||||
for data in self.trade_data:
|
||||
self.onRtnTrade(data)
|
||||
self.trade_data.clear()
|
||||
|
||||
|
||||
def onRtnOrder(self, data: dict):
|
||||
"""
|
||||
Callback of order status update.
|
||||
@ -589,12 +589,12 @@ class CtpTdApi(TdApi):
|
||||
if not exchange:
|
||||
self.order_data.append(data)
|
||||
return
|
||||
|
||||
|
||||
frontid = data["FrontID"]
|
||||
sessionid = data["SessionID"]
|
||||
order_ref = data["OrderRef"]
|
||||
orderid = f"{frontid}_{sessionid}_{order_ref}"
|
||||
|
||||
|
||||
order = OrderData(
|
||||
symbol=symbol,
|
||||
exchange=exchange,
|
||||
@ -610,9 +610,9 @@ class CtpTdApi(TdApi):
|
||||
gateway_name=self.gateway_name
|
||||
)
|
||||
self.gateway.on_order(order)
|
||||
|
||||
|
||||
self.sysid_orderid_map[data["OrderSysID"]] = orderid
|
||||
|
||||
|
||||
def onRtnTrade(self, data: dict):
|
||||
"""
|
||||
Callback of trade status update.
|
||||
@ -624,7 +624,7 @@ class CtpTdApi(TdApi):
|
||||
return
|
||||
|
||||
orderid = self.sysid_orderid_map[data["OrderSysID"]]
|
||||
|
||||
|
||||
trade = TradeData(
|
||||
symbol=symbol,
|
||||
exchange=exchange,
|
||||
@ -637,15 +637,15 @@ class CtpTdApi(TdApi):
|
||||
time=data["TradeTime"],
|
||||
gateway_name=self.gateway_name
|
||||
)
|
||||
self.gateway.on_trade(trade)
|
||||
|
||||
self.gateway.on_trade(trade)
|
||||
|
||||
def connect(
|
||||
self,
|
||||
address: str,
|
||||
userid: str,
|
||||
password: str,
|
||||
brokerid: int,
|
||||
auth_code: str,
|
||||
self,
|
||||
address: str,
|
||||
userid: str,
|
||||
password: str,
|
||||
brokerid: int,
|
||||
auth_code: str,
|
||||
appid: str,
|
||||
product_info
|
||||
):
|
||||
@ -658,21 +658,21 @@ class CtpTdApi(TdApi):
|
||||
self.auth_code = auth_code
|
||||
self.appid = appid
|
||||
self.product_info = product_info
|
||||
|
||||
|
||||
if not self.connect_status:
|
||||
path = get_folder_path(self.gateway_name.lower())
|
||||
self.createFtdcTraderApi(str(path) + "\\Td")
|
||||
|
||||
|
||||
self.subscribePrivateTopic(0)
|
||||
self.subscribePublicTopic(0)
|
||||
|
||||
|
||||
self.registerFront(address)
|
||||
self.init()
|
||||
self.init()
|
||||
|
||||
self.connect_status = True
|
||||
else:
|
||||
self.authenticate()
|
||||
|
||||
|
||||
def authenticate(self):
|
||||
"""
|
||||
Authenticate with auth_code and appid.
|
||||
@ -686,10 +686,10 @@ class CtpTdApi(TdApi):
|
||||
|
||||
if self.product_info:
|
||||
req["UserProductInfo"] = self.product_info
|
||||
|
||||
|
||||
self.reqid += 1
|
||||
self.reqAuthenticate(req, self.reqid)
|
||||
|
||||
|
||||
def login(self):
|
||||
"""
|
||||
Login onto server.
|
||||
@ -706,16 +706,16 @@ class CtpTdApi(TdApi):
|
||||
|
||||
if self.product_info:
|
||||
req["UserProductInfo"] = self.product_info
|
||||
|
||||
|
||||
self.reqid += 1
|
||||
self.reqUserLogin(req, self.reqid)
|
||||
|
||||
|
||||
def send_order(self, req: OrderRequest):
|
||||
"""
|
||||
Send new order.
|
||||
"""
|
||||
self.order_ref += 1
|
||||
|
||||
|
||||
ctp_req = {
|
||||
"InstrumentID": req.symbol,
|
||||
"LimitPrice": req.price,
|
||||
@ -735,7 +735,7 @@ class CtpTdApi(TdApi):
|
||||
"VolumeCondition": THOST_FTDC_VC_AV,
|
||||
"MinVolume": 1
|
||||
}
|
||||
|
||||
|
||||
if req.type == OrderType.FAK:
|
||||
ctp_req["OrderPriceType"] = THOST_FTDC_OPT_LimitPrice
|
||||
ctp_req["TimeCondition"] = THOST_FTDC_TC_IOC
|
||||
@ -743,23 +743,23 @@ class CtpTdApi(TdApi):
|
||||
elif req.type == OrderType.FOK:
|
||||
ctp_req["OrderPriceType"] = THOST_FTDC_OPT_LimitPrice
|
||||
ctp_req["TimeCondition"] = THOST_FTDC_TC_IOC
|
||||
ctp_req["VolumeCondition"] = THOST_FTDC_VC_CV
|
||||
|
||||
ctp_req["VolumeCondition"] = THOST_FTDC_VC_CV
|
||||
|
||||
self.reqid += 1
|
||||
self.reqOrderInsert(ctp_req, self.reqid)
|
||||
|
||||
|
||||
orderid = f"{self.frontid}_{self.sessionid}_{self.order_ref}"
|
||||
order = req.create_order_data(orderid, self.gateway_name)
|
||||
self.gateway.on_order(order)
|
||||
|
||||
|
||||
return order.vt_orderid
|
||||
|
||||
|
||||
def cancel_order(self, req: CancelRequest):
|
||||
"""
|
||||
Cancel existing order.
|
||||
"""
|
||||
frontid, sessionid, order_ref = req.orderid.split("_")
|
||||
|
||||
|
||||
ctp_req = {
|
||||
"InstrumentID": req.symbol,
|
||||
"Exchange": req.exchange,
|
||||
@ -770,32 +770,32 @@ class CtpTdApi(TdApi):
|
||||
"BrokerID": self.brokerid,
|
||||
"InvestorID": self.userid
|
||||
}
|
||||
|
||||
|
||||
self.reqid += 1
|
||||
self.reqOrderAction(ctp_req, self.reqid)
|
||||
|
||||
|
||||
def query_account(self):
|
||||
"""
|
||||
Query account balance data.
|
||||
"""
|
||||
self.reqid += 1
|
||||
self.reqQryTradingAccount({}, self.reqid)
|
||||
|
||||
|
||||
def query_position(self):
|
||||
"""
|
||||
Query position holding data.
|
||||
"""
|
||||
if not symbol_exchange_map:
|
||||
return
|
||||
|
||||
|
||||
req = {
|
||||
"BrokerID": self.brokerid,
|
||||
"InvestorID": self.userid
|
||||
}
|
||||
|
||||
self.reqid += 1
|
||||
|
||||
self.reqid += 1
|
||||
self.reqQryInvestorPosition(req, self.reqid)
|
||||
|
||||
|
||||
def close(self):
|
||||
""""""
|
||||
if self.connect_status:
|
||||
|
||||
@ -366,7 +366,7 @@ class HbdmRestApi(RestClient):
|
||||
else:
|
||||
for d in data["data"]:
|
||||
dt = datetime.fromtimestamp(d["id"])
|
||||
|
||||
|
||||
bar = BarData(
|
||||
symbol=req.symbol,
|
||||
exchange=req.exchange,
|
||||
@ -617,7 +617,7 @@ class HbdmRestApi(RestClient):
|
||||
for d in data["data"]["trades"]:
|
||||
dt = datetime.fromtimestamp(d["create_date"] / 1000)
|
||||
time = dt.strftime("%H:%M:%S")
|
||||
|
||||
|
||||
trade = TradeData(
|
||||
tradeid=d["match_id"],
|
||||
orderid=d["order_id"],
|
||||
@ -744,7 +744,7 @@ class HbdmRestApi(RestClient):
|
||||
Callback when sending order caused exception.
|
||||
"""
|
||||
orders = request.extra
|
||||
|
||||
|
||||
for order in orders:
|
||||
order.status = Status.REJECTED
|
||||
self.gateway.on_order(order)
|
||||
@ -770,7 +770,7 @@ class HbdmRestApi(RestClient):
|
||||
""""""
|
||||
if data["status"] != "error":
|
||||
return False
|
||||
|
||||
|
||||
error_code = data["err_code"]
|
||||
error_msg = data["err_msg"]
|
||||
|
||||
@ -795,17 +795,17 @@ class HbdmWebsocketApiBase(WebsocketClient):
|
||||
self.req_id = 0
|
||||
|
||||
def connect(
|
||||
self,
|
||||
key: str,
|
||||
secret: str,
|
||||
url: str,
|
||||
proxy_host: str,
|
||||
self,
|
||||
key: str,
|
||||
secret: str,
|
||||
url: str,
|
||||
proxy_host: str,
|
||||
proxy_port: int
|
||||
):
|
||||
""""""
|
||||
self.key = key
|
||||
self.secret = secret
|
||||
|
||||
|
||||
host, path = _split_url(url)
|
||||
self.sign_host = host
|
||||
self.path = path
|
||||
@ -822,7 +822,7 @@ class HbdmWebsocketApiBase(WebsocketClient):
|
||||
"type": "api",
|
||||
"cid": str(self.req_id),
|
||||
}
|
||||
params.update(create_signature(self.key, "GET", self.sign_host, self.path, self.secret))
|
||||
params.update(create_signature(self.key, "GET", self.sign_host, self.path, self.secret))
|
||||
return self.send_packet(params)
|
||||
|
||||
def on_login(self, packet):
|
||||
@ -832,7 +832,7 @@ class HbdmWebsocketApiBase(WebsocketClient):
|
||||
@staticmethod
|
||||
def unpack_data(data):
|
||||
""""""
|
||||
return json.loads(zlib.decompress(data, 31))
|
||||
return json.loads(zlib.decompress(data, 31))
|
||||
|
||||
def on_packet(self, packet):
|
||||
""""""
|
||||
@ -851,17 +851,17 @@ class HbdmWebsocketApiBase(WebsocketClient):
|
||||
return self.on_login()
|
||||
else:
|
||||
self.on_data(packet)
|
||||
|
||||
def on_data(self, packet):
|
||||
|
||||
def on_data(self, packet):
|
||||
""""""
|
||||
print("data : {}".format(packet))
|
||||
|
||||
def on_error_msg(self, packet):
|
||||
def on_error_msg(self, packet):
|
||||
""""""
|
||||
msg = packet["err-msg"]
|
||||
if msg == "invalid pong":
|
||||
return
|
||||
|
||||
|
||||
self.gateway.write_log(packet["err-msg"])
|
||||
|
||||
|
||||
@ -900,7 +900,7 @@ class HbdmTradeWebsocketApi(HbdmWebsocketApiBase):
|
||||
op = packet.get("op", None)
|
||||
if op != "notify":
|
||||
return
|
||||
|
||||
|
||||
topic = packet["topic"]
|
||||
if "orders" in topic:
|
||||
self.on_order(packet)
|
||||
@ -930,7 +930,7 @@ class HbdmTradeWebsocketApi(HbdmWebsocketApiBase):
|
||||
gateway_name=self.gateway_name
|
||||
)
|
||||
self.gateway.on_order(order)
|
||||
|
||||
|
||||
# Push trade event
|
||||
trades = data["trade"]
|
||||
if not trades:
|
||||
@ -951,7 +951,7 @@ class HbdmTradeWebsocketApi(HbdmWebsocketApiBase):
|
||||
volume=d["trade_volume"],
|
||||
time=time,
|
||||
gateway_name=self.gateway_name,
|
||||
)
|
||||
)
|
||||
self.gateway.on_trade(trade)
|
||||
|
||||
|
||||
@ -974,7 +974,7 @@ class HbdmDataWebsocketApi(HbdmWebsocketApiBase):
|
||||
|
||||
for ws_symbol in self.ticks.keys():
|
||||
self.subscribe_data(ws_symbol)
|
||||
|
||||
|
||||
def subscribe(self, req: SubscribeRequest):
|
||||
""""""
|
||||
contract_type = symbol_type_map.get(req.symbol, "")
|
||||
@ -995,25 +995,25 @@ class HbdmDataWebsocketApi(HbdmWebsocketApiBase):
|
||||
datetime=datetime.now(),
|
||||
gateway_name=self.gateway_name,
|
||||
)
|
||||
self.ticks[ws_symbol] = tick
|
||||
self.ticks[ws_symbol] = tick
|
||||
|
||||
self.subscribe_data(ws_symbol)
|
||||
|
||||
|
||||
def subscribe_data(self, ws_symbol: str):
|
||||
""""""
|
||||
# Subscribe to market depth update
|
||||
self.req_id += 1
|
||||
req = {
|
||||
"sub": f"market.{ws_symbol}.depth.step0",
|
||||
"id": str(self.req_id)
|
||||
"id": str(self.req_id)
|
||||
}
|
||||
self.send_packet(req)
|
||||
|
||||
|
||||
# Subscribe to market detail update
|
||||
self.req_id += 1
|
||||
req = {
|
||||
"sub": f"market.{ws_symbol}.detail",
|
||||
"id": str(self.req_id)
|
||||
"id": str(self.req_id)
|
||||
}
|
||||
self.send_packet(req)
|
||||
|
||||
@ -1040,7 +1040,7 @@ class HbdmDataWebsocketApi(HbdmWebsocketApiBase):
|
||||
if "bids" not in tick_data or "asks" not in tick_data:
|
||||
print(data)
|
||||
return
|
||||
|
||||
|
||||
bids = tick_data["bids"]
|
||||
for n in range(5):
|
||||
price, volume = bids[n]
|
||||
@ -1061,7 +1061,7 @@ class HbdmDataWebsocketApi(HbdmWebsocketApiBase):
|
||||
ws_symbol = data["ch"].split(".")[1]
|
||||
tick = self.ticks[ws_symbol]
|
||||
tick.datetime = datetime.fromtimestamp(data["ts"] / 1000)
|
||||
|
||||
|
||||
tick_data = data["tick"]
|
||||
tick.open_price = tick_data["open"]
|
||||
tick.high_price = tick_data["high"]
|
||||
@ -1100,16 +1100,16 @@ def create_signature(api_key, method, host, path, secret_key, get_params=None):
|
||||
sorted_params.extend(list(get_params.items()))
|
||||
sorted_params = list(sorted(sorted_params))
|
||||
encode_params = urllib.parse.urlencode(sorted_params)
|
||||
|
||||
|
||||
payload = [method, host, path, encode_params]
|
||||
payload = "\n".join(payload)
|
||||
payload = payload.encode(encoding="UTF8")
|
||||
|
||||
|
||||
secret_key = secret_key.encode(encoding="UTF8")
|
||||
|
||||
|
||||
digest = hmac.new(secret_key, payload, digestmod=hashlib.sha256).digest()
|
||||
signature = base64.b64encode(digest)
|
||||
|
||||
|
||||
params = dict(sorted_params)
|
||||
params["Signature"] = signature.decode("UTF8")
|
||||
return params
|
||||
|
||||
@ -373,7 +373,7 @@ class HuobiRestApi(RestClient):
|
||||
name = f"{base_currency.upper()}/{quote_currency.upper()}"
|
||||
pricetick = 1 / pow(10, d["price-precision"])
|
||||
min_volume = 1 / pow(10, d["amount-precision"])
|
||||
|
||||
|
||||
contract = ContractData(
|
||||
symbol=d["symbol"],
|
||||
exchange=Exchange.HUOBI,
|
||||
@ -433,13 +433,13 @@ class HuobiRestApi(RestClient):
|
||||
cancel_request = request.extra
|
||||
local_orderid = cancel_request.orderid
|
||||
order = self.order_manager.get_order_with_local_orderid(local_orderid)
|
||||
|
||||
|
||||
if self.check_error(data, "撤单"):
|
||||
order.status = Status.REJECTED
|
||||
else:
|
||||
order.status = Status.CANCELLED
|
||||
self.gateway.write_log(f"委托撤单成功：{order.orderid}")
|
||||
|
||||
|
||||
self.order_manager.on_order(order)
|
||||
|
||||
def on_error(
|
||||
@ -459,7 +459,7 @@ class HuobiRestApi(RestClient):
|
||||
""""""
|
||||
if data["status"] != "error":
|
||||
return False
|
||||
|
||||
|
||||
error_code = data["err-code"]
|
||||
error_msg = data["err-msg"]
|
||||
|
||||
@ -483,17 +483,17 @@ class HuobiWebsocketApiBase(WebsocketClient):
|
||||
self.path = ""
|
||||
|
||||
def connect(
|
||||
self,
|
||||
key: str,
|
||||
secret: str,
|
||||
url: str,
|
||||
proxy_host: str,
|
||||
self,
|
||||
key: str,
|
||||
secret: str,
|
||||
url: str,
|
||||
proxy_host: str,
|
||||
proxy_port: int
|
||||
):
|
||||
""""""
|
||||
self.key = key
|
||||
self.secret = secret
|
||||
|
||||
|
||||
host, path = _split_url(url)
|
||||
self.sign_host = host
|
||||
self.path = path
|
||||
@ -504,7 +504,7 @@ class HuobiWebsocketApiBase(WebsocketClient):
|
||||
def login(self):
|
||||
""""""
|
||||
params = {"op": "auth"}
|
||||
params.update(create_signature(self.key, "GET", self.sign_host, self.path, self.secret))
|
||||
params.update(create_signature(self.key, "GET", self.sign_host, self.path, self.secret))
|
||||
return self.send_packet(params)
|
||||
|
||||
def on_login(self, packet):
|
||||
@ -514,7 +514,7 @@ class HuobiWebsocketApiBase(WebsocketClient):
|
||||
@staticmethod
|
||||
def unpack_data(data):
|
||||
""""""
|
||||
return json.loads(zlib.decompress(data, 31))
|
||||
return json.loads(zlib.decompress(data, 31))
|
||||
|
||||
def on_packet(self, packet):
|
||||
""""""
|
||||
@ -533,17 +533,17 @@ class HuobiWebsocketApiBase(WebsocketClient):
|
||||
return self.on_login()
|
||||
else:
|
||||
self.on_data(packet)
|
||||
|
||||
def on_data(self, packet):
|
||||
|
||||
def on_data(self, packet):
|
||||
""""""
|
||||
print("data : {}".format(packet))
|
||||
|
||||
def on_error_msg(self, packet):
|
||||
def on_error_msg(self, packet):
|
||||
""""""
|
||||
msg = packet["err-msg"]
|
||||
if msg == "invalid pong":
|
||||
return
|
||||
|
||||
|
||||
self.gateway.write_log(packet["err-msg"])
|
||||
|
||||
|
||||
@ -586,7 +586,7 @@ class HuobiTradeWebsocketApi(HuobiWebsocketApiBase):
|
||||
op = packet.get("op", None)
|
||||
if op != "notify":
|
||||
return
|
||||
|
||||
|
||||
topic = packet["topic"]
|
||||
if "orders" in topic:
|
||||
self.on_order(packet["data"])
|
||||
@ -594,19 +594,19 @@ class HuobiTradeWebsocketApi(HuobiWebsocketApiBase):
|
||||
def on_order(self, data: dict):
|
||||
""""""
|
||||
sys_orderid = str(data["order-id"])
|
||||
|
||||
|
||||
order = self.order_manager.get_order_with_sys_orderid(sys_orderid)
|
||||
if not order:
|
||||
self.order_manager.add_push_data(sys_orderid, data)
|
||||
return
|
||||
|
||||
|
||||
traded_volume = float(data["filled-amount"])
|
||||
|
||||
# Push order event
|
||||
order.traded += traded_volume
|
||||
order.status = STATUS_HUOBI2VT.get(data["order-state"], None)
|
||||
self.order_manager.on_order(order)
|
||||
|
||||
|
||||
# Push trade event
|
||||
if not traded_volume:
|
||||
return
|
||||
@ -621,7 +621,7 @@ class HuobiTradeWebsocketApi(HuobiWebsocketApiBase):
|
||||
volume=float(data["filled-amount"]),
|
||||
time=datetime.now().strftime("%H:%M:%S"),
|
||||
gateway_name=self.gateway_name,
|
||||
)
|
||||
)
|
||||
self.gateway.on_trade(trade)
|
||||
|
||||
|
||||
@ -642,7 +642,7 @@ class HuobiDataWebsocketApi(HuobiWebsocketApiBase):
|
||||
def on_connected(self):
|
||||
""""""
|
||||
self.gateway.write_log("行情Websocket API连接成功")
|
||||
|
||||
|
||||
def subscribe(self, req: SubscribeRequest):
|
||||
""""""
|
||||
symbol = req.symbol
|
||||
@ -655,21 +655,21 @@ class HuobiDataWebsocketApi(HuobiWebsocketApiBase):
|
||||
datetime=datetime.now(),
|
||||
gateway_name=self.gateway_name,
|
||||
)
|
||||
self.ticks[symbol] = tick
|
||||
|
||||
self.ticks[symbol] = tick
|
||||
|
||||
# Subscribe to market depth update
|
||||
self.req_id += 1
|
||||
req = {
|
||||
"sub": f"market.{symbol}.depth.step0",
|
||||
"id": str(self.req_id)
|
||||
"id": str(self.req_id)
|
||||
}
|
||||
self.send_packet(req)
|
||||
|
||||
|
||||
# Subscribe to market detail update
|
||||
self.req_id += 1
|
||||
req = {
|
||||
"sub": f"market.{symbol}.detail",
|
||||
"id": str(self.req_id)
|
||||
"id": str(self.req_id)
|
||||
}
|
||||
self.send_packet(req)
|
||||
|
||||
@ -691,7 +691,7 @@ class HuobiDataWebsocketApi(HuobiWebsocketApiBase):
|
||||
symbol = data["ch"].split(".")[1]
|
||||
tick = self.ticks[symbol]
|
||||
tick.datetime = datetime.fromtimestamp(data["ts"] / 1000)
|
||||
|
||||
|
||||
bids = data["tick"]["bids"]
|
||||
for n in range(5):
|
||||
price, volume = bids[n]
|
||||
@ -712,7 +712,7 @@ class HuobiDataWebsocketApi(HuobiWebsocketApiBase):
|
||||
symbol = data["ch"].split(".")[1]
|
||||
tick = self.ticks[symbol]
|
||||
tick.datetime = datetime.fromtimestamp(data["ts"] / 1000)
|
||||
|
||||
|
||||
tick_data = data["tick"]
|
||||
tick.open_price = float(tick_data["open"])
|
||||
tick.high_price = float(tick_data["high"])
|
||||
@ -751,16 +751,16 @@ def create_signature(api_key, method, host, path, secret_key, get_params=None):
|
||||
sorted_params.extend(list(get_params.items()))
|
||||
sorted_params = list(sorted(sorted_params))
|
||||
encode_params = urllib.parse.urlencode(sorted_params)
|
||||
|
||||
|
||||
payload = [method, host, path, encode_params]
|
||||
payload = "\n".join(payload)
|
||||
payload = payload.encode(encoding="UTF8")
|
||||
|
||||
|
||||
secret_key = secret_key.encode(encoding="UTF8")
|
||||
|
||||
|
||||
digest = hmac.new(secret_key, payload, digestmod=hashlib.sha256).digest()
|
||||
signature = base64.b64encode(digest)
|
||||
|
||||
|
||||
params = dict(sorted_params)
|
||||
params["Signature"] = signature.decode("UTF8")
|
||||
return params
|
||||
|
||||
@ -13,7 +13,7 @@ from vnpy.api.mini import (
|
||||
THOST_FTDC_OST_PartTradedQueueing,
|
||||
THOST_FTDC_OST_AllTraded,
|
||||
THOST_FTDC_OST_Canceled,
|
||||
THOST_FTDC_D_Buy,
|
||||
THOST_FTDC_D_Buy,
|
||||
THOST_FTDC_D_Sell,
|
||||
THOST_FTDC_PD_Long,
|
||||
THOST_FTDC_PD_Short,
|
||||
@ -73,7 +73,7 @@ STATUS_MINI2VT = {
|
||||
}
|
||||
|
||||
DIRECTION_VT2MINI = {
|
||||
Direction.LONG: THOST_FTDC_D_Buy,
|
||||
Direction.LONG: THOST_FTDC_D_Buy,
|
||||
Direction.SHORT: THOST_FTDC_D_Sell
|
||||
}
|
||||
DIRECTION_MINI2VT = {v: k for k, v in DIRECTION_VT2MINI.items()}
|
||||
@ -81,13 +81,13 @@ DIRECTION_MINI2VT[THOST_FTDC_PD_Long] = Direction.LONG
|
||||
DIRECTION_MINI2VT[THOST_FTDC_PD_Short] = Direction.SHORT
|
||||
|
||||
ORDERTYPE_VT2MINI = {
|
||||
OrderType.LIMIT: THOST_FTDC_OPT_LimitPrice,
|
||||
OrderType.LIMIT: THOST_FTDC_OPT_LimitPrice,
|
||||
OrderType.MARKET: THOST_FTDC_OPT_AnyPrice
|
||||
}
|
||||
ORDERTYPE_MINI2VT = {v: k for k, v in ORDERTYPE_VT2MINI.items()}
|
||||
|
||||
OFFSET_VT2MINI = {
|
||||
Offset.OPEN: THOST_FTDC_OF_Open,
|
||||
Offset.OPEN: THOST_FTDC_OF_Open,
|
||||
Offset.CLOSE: THOST_FTDC_OFEN_Close,
|
||||
Offset.CLOSETODAY: THOST_FTDC_OFEN_CloseToday,
|
||||
Offset.CLOSEYESTERDAY: THOST_FTDC_OFEN_CloseYesterday,
|
||||
@ -136,7 +136,7 @@ class MiniGateway(BaseGateway):
|
||||
}
|
||||
|
||||
exchanges = list(EXCHANGE_MINI2VT.values())
|
||||
|
||||
|
||||
def __init__(self, event_engine):
|
||||
"""Constructor"""
|
||||
super().__init__(event_engine, "MINI")
|
||||
@ -154,15 +154,15 @@ class MiniGateway(BaseGateway):
|
||||
appid = setting["产品名称"]
|
||||
auth_code = setting["授权编码"]
|
||||
product_info = setting["产品信息"]
|
||||
|
||||
|
||||
if not td_address.startswith("tcp://"):
|
||||
td_address = "tcp://" + td_address
|
||||
if not md_address.startswith("tcp://"):
|
||||
md_address = "tcp://" + md_address
|
||||
|
||||
|
||||
self.td_api.connect(td_address, userid, password, brokerid, auth_code, appid, product_info)
|
||||
self.md_api.connect(md_address, userid, password, brokerid)
|
||||
|
||||
|
||||
self.init_query()
|
||||
|
||||
def subscribe(self, req: SubscribeRequest):
|
||||
@ -195,19 +195,19 @@ class MiniGateway(BaseGateway):
|
||||
error_id = error["ErrorID"]
|
||||
error_msg = error["ErrorMsg"]
|
||||
msg = f"{msg}，代码：{error_id}，信息：{error_msg}"
|
||||
self.write_log(msg)
|
||||
|
||||
self.write_log(msg)
|
||||
|
||||
def process_timer_event(self, event):
|
||||
""""""
|
||||
self.count += 1
|
||||
if self.count < 2:
|
||||
return
|
||||
self.count = 0
|
||||
|
||||
|
||||
func = self.query_functions.pop(0)
|
||||
func()
|
||||
self.query_functions.append(func)
|
||||
|
||||
|
||||
def init_query(self):
|
||||
""""""
|
||||
self.count = 0
|
||||
@ -221,20 +221,20 @@ class MiniMdApi(MdApi):
|
||||
def __init__(self, gateway):
|
||||
"""Constructor"""
|
||||
super(MiniMdApi, self).__init__()
|
||||
|
||||
|
||||
self.gateway = gateway
|
||||
self.gateway_name = gateway.gateway_name
|
||||
|
||||
|
||||
self.reqid = 0
|
||||
|
||||
|
||||
self.connect_status = False
|
||||
self.login_status = False
|
||||
self.subscribed = set()
|
||||
|
||||
|
||||
self.userid = ""
|
||||
self.password = ""
|
||||
self.brokerid = ""
|
||||
|
||||
|
||||
def onFrontConnected(self):
|
||||
"""
|
||||
Callback when front server is connected.
|
||||
@ -256,23 +256,23 @@ class MiniMdApi(MdApi):
|
||||
if not error["ErrorID"]:
|
||||
self.login_status = True
|
||||
self.gateway.write_log("行情服务器登录成功")
|
||||
|
||||
|
||||
for symbol in self.subscribed:
|
||||
self.subscribeMarketData(symbol)
|
||||
else:
|
||||
self.gateway.write_error("行情服务器登录失败", error)
|
||||
|
||||
|
||||
def onRspError(self, error: dict, reqid: int, last: bool):
|
||||
"""
|
||||
Callback when error occured.
|
||||
"""
|
||||
self.gateway.write_error("行情接口报错", error)
|
||||
|
||||
|
||||
def onRspSubMarketData(self, data: dict, error: dict, reqid: int, last: bool):
|
||||
""""""
|
||||
if not error or not error["ErrorID"]:
|
||||
return
|
||||
|
||||
|
||||
self.gateway.write_error("行情订阅失败", error)
|
||||
|
||||
def onRtnDepthMarketData(self, data: dict):
|
||||
@ -283,9 +283,9 @@ class MiniMdApi(MdApi):
|
||||
exchange = symbol_exchange_map.get(symbol, "")
|
||||
if not exchange:
|
||||
return
|
||||
|
||||
|
||||
timestamp = f"{data['ActionDay']} {data['UpdateTime']}.{int(data['UpdateMillisec']/100)}"
|
||||
|
||||
|
||||
tick = TickData(
|
||||
symbol=symbol,
|
||||
exchange=exchange,
|
||||
@ -328,7 +328,7 @@ class MiniMdApi(MdApi):
|
||||
tick.ask_volume_4 = data["AskVolume4"]
|
||||
tick.ask_volume_5 = data["AskVolume5"]
|
||||
|
||||
self.gateway.on_tick(tick)
|
||||
self.gateway.on_tick(tick)
|
||||
|
||||
def connect(self, address: str, userid: str, password: str, brokerid: int):
|
||||
"""
|
||||
@ -337,12 +337,12 @@ class MiniMdApi(MdApi):
|
||||
self.userid = userid
|
||||
self.password = password
|
||||
self.brokerid = brokerid
|
||||
|
||||
|
||||
# If not connected, then start connection first.
|
||||
if not self.connect_status:
|
||||
path = get_folder_path(self.gateway_name.lower())
|
||||
self.createFtdcMdApi(str(path) + "\\Md")
|
||||
|
||||
|
||||
self.registerFront(address)
|
||||
self.init()
|
||||
|
||||
@ -350,7 +350,7 @@ class MiniMdApi(MdApi):
|
||||
# If already connected, then login immediately.
|
||||
elif not self.login_status:
|
||||
self.login()
|
||||
|
||||
|
||||
def login(self):
|
||||
"""
|
||||
Login onto server.
|
||||
@ -360,10 +360,10 @@ class MiniMdApi(MdApi):
|
||||
"Password": self.password,
|
||||
"BrokerID": self.brokerid
|
||||
}
|
||||
|
||||
|
||||
self.reqid += 1
|
||||
self.reqUserLogin(req, self.reqid)
|
||||
|
||||
|
||||
def subscribe(self, req: SubscribeRequest):
|
||||
"""
|
||||
Subscribe to tick data update.
|
||||
@ -371,7 +371,7 @@ class MiniMdApi(MdApi):
|
||||
if self.login_status:
|
||||
self.subscribeMarketData(req.symbol)
|
||||
self.subscribed.add(req.symbol)
|
||||
|
||||
|
||||
def close(self):
|
||||
"""
|
||||
Close the connection.
|
||||
@ -386,47 +386,47 @@ class MiniTdApi(TdApi):
|
||||
def __init__(self, gateway):
|
||||
"""Constructor"""
|
||||
super(MiniTdApi, self).__init__()
|
||||
|
||||
|
||||
self.gateway = gateway
|
||||
self.gateway_name = gateway.gateway_name
|
||||
|
||||
|
||||
self.reqid = 0
|
||||
self.order_ref = 0
|
||||
|
||||
|
||||
self.connect_status = False
|
||||
self.login_status = False
|
||||
self.auth_staus = False
|
||||
self.login_failed = False
|
||||
|
||||
|
||||
self.userid = ""
|
||||
self.password = ""
|
||||
self.brokerid = ""
|
||||
self.auth_code = ""
|
||||
self.appid = ""
|
||||
self.product_info = ""
|
||||
|
||||
|
||||
self.frontid = 0
|
||||
self.sessionid = 0
|
||||
|
||||
|
||||
self.order_data = []
|
||||
self.trade_data = []
|
||||
self.positions = {}
|
||||
self.sysid_orderid_map = {}
|
||||
|
||||
|
||||
def onFrontConnected(self):
|
||||
""""""
|
||||
self.gateway.write_log("交易服务器连接成功")
|
||||
|
||||
|
||||
if self.auth_code:
|
||||
self.authenticate()
|
||||
else:
|
||||
self.login()
|
||||
|
||||
|
||||
def onFrontDisconnected(self, reason: int):
|
||||
""""""
|
||||
self.login_status = False
|
||||
self.gateway.write_log(f"交易服务器连接断开，原因{reason}")
|
||||
|
||||
self.gateway.write_log(f"交易服务器连接断开，原因{reason}")
|
||||
|
||||
def onRspAuthenticate(self, data: dict, error: dict, reqid: int, last: bool):
|
||||
""""""
|
||||
if not error['ErrorID']:
|
||||
@ -435,7 +435,7 @@ class MiniTdApi(TdApi):
|
||||
self.login()
|
||||
else:
|
||||
self.gateway.write_error("交易服务器授权验证失败", error)
|
||||
|
||||
|
||||
def onRspUserLogin(self, data: dict, error: dict, reqid: int, last: bool):
|
||||
""""""
|
||||
if not error["ErrorID"]:
|
||||
@ -443,23 +443,23 @@ class MiniTdApi(TdApi):
|
||||
self.sessionid = data["SessionID"]
|
||||
self.login_status = True
|
||||
self.gateway.write_log("交易服务器登录成功")
|
||||
|
||||
|
||||
# Get instrument data directly without confirm settlement
|
||||
self.reqid += 1
|
||||
self.reqQryInstrument({}, self.reqid)
|
||||
else:
|
||||
self.login_failed = True
|
||||
|
||||
|
||||
self.gateway.write_error("交易服务器登录失败", error)
|
||||
|
||||
|
||||
def onRspOrderInsert(self, data: dict, error: dict, reqid: int, last: bool):
|
||||
""""""
|
||||
order_ref = data["OrderRef"]
|
||||
orderid = f"{self.frontid}_{self.sessionid}_{order_ref}"
|
||||
|
||||
|
||||
symbol = data["InstrumentID"]
|
||||
exchange = symbol_exchange_map[symbol]
|
||||
|
||||
|
||||
order = OrderData(
|
||||
symbol=symbol,
|
||||
exchange=exchange,
|
||||
@ -472,23 +472,23 @@ class MiniTdApi(TdApi):
|
||||
gateway_name=self.gateway_name
|
||||
)
|
||||
self.gateway.on_order(order)
|
||||
|
||||
|
||||
self.gateway.write_error("交易委托失败", error)
|
||||
|
||||
|
||||
def onRspOrderAction(self, data: dict, error: dict, reqid: int, last: bool):
|
||||
""""""
|
||||
self.gateway.write_error("交易撤单失败", error)
|
||||
|
||||
|
||||
def onRspQueryMaxOrderVolume(self, data: dict, error: dict, reqid: int, last: bool):
|
||||
""""""
|
||||
pass
|
||||
|
||||
|
||||
def onRspSettlementInfoConfirm(self, data: dict, error: dict, reqid: int, last: bool):
|
||||
"""
|
||||
Callback of settlment info confimation.
|
||||
"""
|
||||
pass
|
||||
|
||||
|
||||
def onRspQryInvestorPosition(self, data: dict, error: dict, reqid: int, last: bool):
|
||||
""""""
|
||||
if data:
|
||||
@ -503,7 +503,7 @@ class MiniTdApi(TdApi):
|
||||
gateway_name=self.gateway_name
|
||||
)
|
||||
self.positions[key] = position
|
||||
|
||||
|
||||
# For SHFE position data update
|
||||
if position.exchange == Exchange.SHFE:
|
||||
if data["YdPosition"] and not data["TodayPosition"]:
|
||||
@ -511,34 +511,34 @@ class MiniTdApi(TdApi):
|
||||
# For other exchange position data update
|
||||
else:
|
||||
position.yd_volume = data["Position"] - data["TodayPosition"]
|
||||
|
||||
|
||||
# Get contract size (spread contract has no size value)
|
||||
size = symbol_size_map.get(position.symbol, 0)
|
||||
|
||||
|
||||
# Calculate previous position cost
|
||||
cost = position.price * position.volume * size
|
||||
|
||||
|
||||
# Update new position volume
|
||||
position.volume += data["Position"]
|
||||
position.pnl += data["PositionProfit"]
|
||||
|
||||
|
||||
# Calculate average position price
|
||||
if position.volume and size:
|
||||
cost += data["PositionCost"]
|
||||
position.price = cost / (position.volume * size)
|
||||
|
||||
|
||||
# Get frozen volume
|
||||
if position.direction == Direction.LONG:
|
||||
position.frozen += data["ShortFrozen"]
|
||||
else:
|
||||
position.frozen += data["LongFrozen"]
|
||||
|
||||
|
||||
if last:
|
||||
for position in self.positions.values():
|
||||
self.gateway.on_position(position)
|
||||
|
||||
|
||||
self.positions.clear()
|
||||
|
||||
|
||||
def onRspQryTradingAccount(self, data: dict, error: dict, reqid: int, last: bool):
|
||||
""""""
|
||||
if "AccountID" not in data:
|
||||
@ -551,15 +551,15 @@ class MiniTdApi(TdApi):
|
||||
gateway_name=self.gateway_name
|
||||
)
|
||||
account.available = data["Available"]
|
||||
|
||||
|
||||
self.gateway.on_account(account)
|
||||
|
||||
|
||||
def onRspQryInstrument(self, data: dict, error: dict, reqid: int, last: bool):
|
||||
"""
|
||||
Callback of instrument query.
|
||||
"""
|
||||
product = PRODUCT_MINI2VT.get(data.get("ProductClass", None), None)
|
||||
if product:
|
||||
if product:
|
||||
contract = ContractData(
|
||||
symbol=data["InstrumentID"],
|
||||
exchange=EXCHANGE_MINI2VT[data["ExchangeID"]],
|
||||
@ -569,31 +569,31 @@ class MiniTdApi(TdApi):
|
||||
pricetick=data["PriceTick"],
|
||||
gateway_name=self.gateway_name
|
||||
)
|
||||
|
||||
|
||||
# For option only
|
||||
if contract.product == Product.OPTION:
|
||||
contract.option_underlying = data["UnderlyingInstrID"],
|
||||
contract.option_type = OPTIONTYPE_MINI2VT.get(data["OptionsType"], None),
|
||||
contract.option_strike = data["StrikePrice"],
|
||||
contract.option_expiry = datetime.strptime(data["ExpireDate"], "%Y%m%d"),
|
||||
|
||||
|
||||
self.gateway.on_contract(contract)
|
||||
|
||||
|
||||
symbol_exchange_map[contract.symbol] = contract.exchange
|
||||
symbol_name_map[contract.symbol] = contract.name
|
||||
symbol_size_map[contract.symbol] = contract.size
|
||||
|
||||
|
||||
if last:
|
||||
self.gateway.write_log("合约信息查询成功")
|
||||
|
||||
|
||||
for data in self.order_data:
|
||||
self.onRtnOrder(data)
|
||||
self.order_data.clear()
|
||||
|
||||
|
||||
for data in self.trade_data:
|
||||
self.onRtnTrade(data)
|
||||
self.trade_data.clear()
|
||||
|
||||
|
||||
def onRtnOrder(self, data: dict):
|
||||
"""
|
||||
Callback of order status update.
|
||||
@ -603,12 +603,12 @@ class MiniTdApi(TdApi):
|
||||
if not exchange:
|
||||
self.order_data.append(data)
|
||||
return
|
||||
|
||||
|
||||
frontid = data["FrontID"]
|
||||
sessionid = data["SessionID"]
|
||||
order_ref = data["OrderRef"]
|
||||
orderid = f"{frontid}_{sessionid}_{order_ref}"
|
||||
|
||||
|
||||
order = OrderData(
|
||||
symbol=symbol,
|
||||
exchange=exchange,
|
||||
@ -624,9 +624,9 @@ class MiniTdApi(TdApi):
|
||||
gateway_name=self.gateway_name
|
||||
)
|
||||
self.gateway.on_order(order)
|
||||
|
||||
|
||||
self.sysid_orderid_map[data["OrderSysID"]] = orderid
|
||||
|
||||
|
||||
def onRtnTrade(self, data: dict):
|
||||
"""
|
||||
Callback of trade status update.
|
||||
@ -638,7 +638,7 @@ class MiniTdApi(TdApi):
|
||||
return
|
||||
|
||||
orderid = self.sysid_orderid_map[data["OrderSysID"]]
|
||||
|
||||
|
||||
trade = TradeData(
|
||||
symbol=symbol,
|
||||
exchange=exchange,
|
||||
@ -651,15 +651,15 @@ class MiniTdApi(TdApi):
|
||||
time=data["TradeTime"],
|
||||
gateway_name=self.gateway_name
|
||||
)
|
||||
self.gateway.on_trade(trade)
|
||||
|
||||
self.gateway.on_trade(trade)
|
||||
|
||||
def connect(
|
||||
self,
|
||||
address: str,
|
||||
userid: str,
|
||||
password: str,
|
||||
brokerid: int,
|
||||
auth_code: str,
|
||||
self,
|
||||
address: str,
|
||||
userid: str,
|
||||
password: str,
|
||||
brokerid: int,
|
||||
auth_code: str,
|
||||
appid: str,
|
||||
product_info
|
||||
):
|
||||
@ -672,21 +672,21 @@ class MiniTdApi(TdApi):
|
||||
self.auth_code = auth_code
|
||||
self.appid = appid
|
||||
self.product_info = product_info
|
||||
|
||||
|
||||
if not self.connect_status:
|
||||
path = get_folder_path(self.gateway_name.lower())
|
||||
self.createFtdcTraderApi(str(path) + "\\Td")
|
||||
|
||||
|
||||
self.subscribePrivateTopic(0)
|
||||
self.subscribePublicTopic(0)
|
||||
|
||||
|
||||
self.registerFront(address)
|
||||
self.init()
|
||||
self.init()
|
||||
|
||||
self.connect_status = True
|
||||
else:
|
||||
self.authenticate()
|
||||
|
||||
|
||||
def authenticate(self):
|
||||
"""
|
||||
Authenticate with auth_code and appid.
|
||||
@ -700,10 +700,10 @@ class MiniTdApi(TdApi):
|
||||
|
||||
if self.product_info:
|
||||
req["UserProductInfo"] = self.product_info
|
||||
|
||||
|
||||
self.reqid += 1
|
||||
self.reqAuthenticate(req, self.reqid)
|
||||
|
||||
|
||||
def login(self):
|
||||
"""
|
||||
Login onto server.
|
||||
@ -720,16 +720,16 @@ class MiniTdApi(TdApi):
|
||||
|
||||
if self.product_info:
|
||||
req["UserProductInfo"] = self.product_info
|
||||
|
||||
|
||||
self.reqid += 1
|
||||
self.reqUserLogin(req, self.reqid)
|
||||
|
||||
|
||||
def send_order(self, req: OrderRequest):
|
||||
"""
|
||||
Send new order.
|
||||
"""
|
||||
self.order_ref += 1
|
||||
|
||||
|
||||
mini_req = {
|
||||
"InstrumentID": req.symbol,
|
||||
"ExchangeID": req.exchange.value,
|
||||
@ -750,7 +750,7 @@ class MiniTdApi(TdApi):
|
||||
"VolumeCondition": THOST_FTDC_VC_AV,
|
||||
"MinVolume": 1
|
||||
}
|
||||
|
||||
|
||||
if req.type == OrderType.FAK:
|
||||
mini_req["OrderPriceType"] = THOST_FTDC_OPT_LimitPrice
|
||||
mini_req["TimeCondition"] = THOST_FTDC_TC_IOC
|
||||
@ -758,23 +758,23 @@ class MiniTdApi(TdApi):
|
||||
elif req.type == OrderType.FOK:
|
||||
mini_req["OrderPriceType"] = THOST_FTDC_OPT_LimitPrice
|
||||
mini_req["TimeCondition"] = THOST_FTDC_TC_IOC
|
||||
mini_req["VolumeCondition"] = THOST_FTDC_VC_CV
|
||||
|
||||
mini_req["VolumeCondition"] = THOST_FTDC_VC_CV
|
||||
|
||||
self.reqid += 1
|
||||
self.reqOrderInsert(mini_req, self.reqid)
|
||||
|
||||
|
||||
orderid = f"{self.frontid}_{self.sessionid}_{self.order_ref}"
|
||||
order = req.create_order_data(orderid, self.gateway_name)
|
||||
self.gateway.on_order(order)
|
||||
|
||||
|
||||
return order.vt_orderid
|
||||
|
||||
|
||||
def cancel_order(self, req: CancelRequest):
|
||||
"""
|
||||
Cancel existing order.
|
||||
"""
|
||||
frontid, sessionid, order_ref = req.orderid.split("_")
|
||||
|
||||
|
||||
mini_req = {
|
||||
"InstrumentID": req.symbol,
|
||||
"ExchangeID": req.exchange.value,
|
||||
@ -785,32 +785,32 @@ class MiniTdApi(TdApi):
|
||||
"BrokerID": self.brokerid,
|
||||
"InvestorID": self.userid
|
||||
}
|
||||
|
||||
|
||||
self.reqid += 1
|
||||
self.reqOrderAction(mini_req, self.reqid)
|
||||
|
||||
|
||||
def query_account(self):
|
||||
"""
|
||||
Query account balance data.
|
||||
"""
|
||||
self.reqid += 1
|
||||
self.reqQryTradingAccount({}, self.reqid)
|
||||
|
||||
|
||||
def query_position(self):
|
||||
"""
|
||||
Query position holding data.
|
||||
"""
|
||||
if not symbol_exchange_map:
|
||||
return
|
||||
|
||||
|
||||
req = {
|
||||
"BrokerID": self.brokerid,
|
||||
"InvestorID": self.userid
|
||||
}
|
||||
|
||||
self.reqid += 1
|
||||
|
||||
self.reqid += 1
|
||||
self.reqQryInvestorPosition(req, self.reqid)
|
||||
|
||||
|
||||
def close(self):
|
||||
""""""
|
||||
if self.connect_status:
|
||||
|
||||
@ -11,7 +11,7 @@ from vnpy.api.mini import (
|
||||
THOST_FTDC_OST_PartTradedQueueing,
|
||||
THOST_FTDC_OST_AllTraded,
|
||||
THOST_FTDC_OST_Canceled,
|
||||
THOST_FTDC_D_Buy,
|
||||
THOST_FTDC_D_Buy,
|
||||
THOST_FTDC_D_Sell,
|
||||
THOST_FTDC_PD_Long,
|
||||
THOST_FTDC_PD_Short,
|
||||
@ -73,7 +73,7 @@ STATUS_MINI2VT = {
|
||||
}
|
||||
|
||||
DIRECTION_VT2MINI = {
|
||||
Direction.LONG: THOST_FTDC_D_Buy,
|
||||
Direction.LONG: THOST_FTDC_D_Buy,
|
||||
Direction.SHORT: THOST_FTDC_D_Sell
|
||||
}
|
||||
DIRECTION_MINI2VT = {v: k for k, v in DIRECTION_VT2MINI.items()}
|
||||
@ -81,13 +81,13 @@ DIRECTION_MINI2VT[THOST_FTDC_PD_Long] = Direction.LONG
|
||||
DIRECTION_MINI2VT[THOST_FTDC_PD_Short] = Direction.SHORT
|
||||
|
||||
ORDERTYPE_VT2MINI = {
|
||||
OrderType.LIMIT: THOST_FTDC_OPT_LimitPrice,
|
||||
OrderType.LIMIT: THOST_FTDC_OPT_LimitPrice,
|
||||
OrderType.MARKET: THOST_FTDC_OPT_AnyPrice
|
||||
}
|
||||
ORDERTYPE_MINI2VT = {v: k for k, v in ORDERTYPE_VT2MINI.items()}
|
||||
|
||||
OFFSET_VT2MINI = {
|
||||
Offset.OPEN: THOST_FTDC_OF_Open,
|
||||
Offset.OPEN: THOST_FTDC_OF_Open,
|
||||
Offset.CLOSE: THOST_FTDC_OFEN_Close,
|
||||
Offset.CLOSETODAY: THOST_FTDC_OFEN_CloseToday,
|
||||
Offset.CLOSEYESTERDAY: THOST_FTDC_OFEN_CloseYesterday,
|
||||
@ -136,7 +136,7 @@ class MinitestGateway(BaseGateway):
|
||||
}
|
||||
|
||||
exchanges = list(EXCHANGE_MINI2VT.values())
|
||||
|
||||
|
||||
def __init__(self, event_engine):
|
||||
"""Constructor"""
|
||||
super().__init__(event_engine, "MINITEST")
|
||||
@ -154,15 +154,15 @@ class MinitestGateway(BaseGateway):
|
||||
appid = setting["产品名称"]
|
||||
auth_code = setting["授权编码"]
|
||||
product_info = setting["产品信息"]
|
||||
|
||||
|
||||
if not td_address.startswith("tcp://"):
|
||||
td_address = "tcp://" + td_address
|
||||
if not md_address.startswith("tcp://"):
|
||||
md_address = "tcp://" + md_address
|
||||
|
||||
|
||||
self.td_api.connect(td_address, userid, password, brokerid, auth_code, appid, product_info)
|
||||
self.md_api.connect(md_address, userid, password, brokerid)
|
||||
|
||||
|
||||
self.init_query()
|
||||
|
||||
def subscribe(self, req: SubscribeRequest):
|
||||
@ -195,19 +195,19 @@ class MinitestGateway(BaseGateway):
|
||||
error_id = error["ErrorID"]
|
||||
error_msg = error["ErrorMsg"]
|
||||
msg = f"{msg}，代码：{error_id}，信息：{error_msg}"
|
||||
self.write_log(msg)
|
||||
|
||||
self.write_log(msg)
|
||||
|
||||
def process_timer_event(self, event):
|
||||
""""""
|
||||
self.count += 1
|
||||
if self.count < 2:
|
||||
return
|
||||
self.count = 0
|
||||
|
||||
|
||||
func = self.query_functions.pop(0)
|
||||
func()
|
||||
self.query_functions.append(func)
|
||||
|
||||
|
||||
def init_query(self):
|
||||
""""""
|
||||
self.count = 0
|
||||
@ -221,20 +221,20 @@ class MiniMdApi(MdApi):
|
||||
def __init__(self, gateway):
|
||||
"""Constructor"""
|
||||
super(MiniMdApi, self).__init__()
|
||||
|
||||
|
||||
self.gateway = gateway
|
||||
self.gateway_name = gateway.gateway_name
|
||||
|
||||
|
||||
self.reqid = 0
|
||||
|
||||
|
||||
self.connect_status = False
|
||||
self.login_status = False
|
||||
self.subscribed = set()
|
||||
|
||||
|
||||
self.userid = ""
|
||||
self.password = ""
|
||||
self.brokerid = ""
|
||||
|
||||
|
||||
def onFrontConnected(self):
|
||||
"""
|
||||
Callback when front server is connected.
|
||||
@ -256,23 +256,23 @@ class MiniMdApi(MdApi):
|
||||
if not error["ErrorID"]:
|
||||
self.login_status = True
|
||||
self.gateway.write_log("行情服务器登录成功")
|
||||
|
||||
|
||||
for symbol in self.subscribed:
|
||||
self.subscribeMarketData(symbol)
|
||||
else:
|
||||
self.gateway.write_error("行情服务器登录失败", error)
|
||||
|
||||
|
||||
def onRspError(self, error: dict, reqid: int, last: bool):
|
||||
"""
|
||||
Callback when error occured.
|
||||
"""
|
||||
self.gateway.write_error("行情接口报错", error)
|
||||
|
||||
|
||||
def onRspSubMarketData(self, data: dict, error: dict, reqid: int, last: bool):
|
||||
""""""
|
||||
if not error or not error["ErrorID"]:
|
||||
return
|
||||
|
||||
|
||||
self.gateway.write_error("行情订阅失败", error)
|
||||
|
||||
def onRtnDepthMarketData(self, data: dict):
|
||||
@ -283,9 +283,9 @@ class MiniMdApi(MdApi):
|
||||
exchange = symbol_exchange_map.get(symbol, "")
|
||||
if not exchange:
|
||||
return
|
||||
|
||||
|
||||
timestamp = f"{data['ActionDay']} {data['UpdateTime']}.{int(data['UpdateMillisec']/100)}"
|
||||
|
||||
|
||||
tick = TickData(
|
||||
symbol=symbol,
|
||||
exchange=exchange,
|
||||
@ -328,7 +328,7 @@ class MiniMdApi(MdApi):
|
||||
tick.ask_volume_4 = data["AskVolume4"]
|
||||
tick.ask_volume_5 = data["AskVolume5"]
|
||||
|
||||
self.gateway.on_tick(tick)
|
||||
self.gateway.on_tick(tick)
|
||||
|
||||
def connect(self, address: str, userid: str, password: str, brokerid: int):
|
||||
"""
|
||||
@ -337,12 +337,12 @@ class MiniMdApi(MdApi):
|
||||
self.userid = userid
|
||||
self.password = password
|
||||
self.brokerid = brokerid
|
||||
|
||||
|
||||
# If not connected, then start connection first.
|
||||
if not self.connect_status:
|
||||
path = get_folder_path(self.gateway_name.lower())
|
||||
self.createFtdcMdApi(str(path) + "\\Md")
|
||||
|
||||
|
||||
self.registerFront(address)
|
||||
self.init()
|
||||
|
||||
@ -350,7 +350,7 @@ class MiniMdApi(MdApi):
|
||||
# If already connected, then login immediately.
|
||||
elif not self.login_status:
|
||||
self.login()
|
||||
|
||||
|
||||
def login(self):
|
||||
"""
|
||||
Login onto server.
|
||||
@ -360,10 +360,10 @@ class MiniMdApi(MdApi):
|
||||
"Password": self.password,
|
||||
"BrokerID": self.brokerid
|
||||
}
|
||||
|
||||
|
||||
self.reqid += 1
|
||||
self.reqUserLogin(req, self.reqid)
|
||||
|
||||
|
||||
def subscribe(self, req: SubscribeRequest):
|
||||
"""
|
||||
Subscribe to tick data update.
|
||||
@ -371,7 +371,7 @@ class MiniMdApi(MdApi):
|
||||
if self.login_status:
|
||||
self.subscribeMarketData(req.symbol)
|
||||
self.subscribed.add(req.symbol)
|
||||
|
||||
|
||||
def close(self):
|
||||
"""
|
||||
Close the connection.
|
||||
@ -386,47 +386,47 @@ class MiniTdApi(TdApi):
|
||||
def __init__(self, gateway):
|
||||
"""Constructor"""
|
||||
super(MiniTdApi, self).__init__()
|
||||
|
||||
|
||||
self.gateway = gateway
|
||||
self.gateway_name = gateway.gateway_name
|
||||
|
||||
|
||||
self.reqid = 0
|
||||
self.order_ref = 0
|
||||
|
||||
|
||||
self.connect_status = False
|
||||
self.login_status = False
|
||||
self.auth_staus = False
|
||||
self.login_failed = False
|
||||
|
||||
|
||||
self.userid = ""
|
||||
self.password = ""
|
||||
self.brokerid = ""
|
||||
self.auth_code = ""
|
||||
self.appid = ""
|
||||
self.product_info = ""
|
||||
|
||||
|
||||
self.frontid = 0
|
||||
self.sessionid = 0
|
||||
|
||||
|
||||
self.order_data = []
|
||||
self.trade_data = []
|
||||
self.positions = {}
|
||||
self.sysid_orderid_map = {}
|
||||
|
||||
|
||||
def onFrontConnected(self):
|
||||
""""""
|
||||
self.gateway.write_log("交易服务器连接成功")
|
||||
|
||||
|
||||
if self.auth_code:
|
||||
self.authenticate()
|
||||
else:
|
||||
self.login()
|
||||
|
||||
|
||||
def onFrontDisconnected(self, reason: int):
|
||||
""""""
|
||||
self.login_status = False
|
||||
self.gateway.write_log(f"交易服务器连接断开，原因{reason}")
|
||||
|
||||
self.gateway.write_log(f"交易服务器连接断开，原因{reason}")
|
||||
|
||||
def onRspAuthenticate(self, data: dict, error: dict, reqid: int, last: bool):
|
||||
""""""
|
||||
if not error['ErrorID']:
|
||||
@ -435,7 +435,7 @@ class MiniTdApi(TdApi):
|
||||
self.login()
|
||||
else:
|
||||
self.gateway.write_error("交易服务器授权验证失败", error)
|
||||
|
||||
|
||||
def onRspUserLogin(self, data: dict, error: dict, reqid: int, last: bool):
|
||||
""""""
|
||||
if not error["ErrorID"]:
|
||||
@ -443,23 +443,23 @@ class MiniTdApi(TdApi):
|
||||
self.sessionid = data["SessionID"]
|
||||
self.login_status = True
|
||||
self.gateway.write_log("交易服务器登录成功")
|
||||
|
||||
|
||||
# Get instrument data directly without confirm settlement
|
||||
self.reqid += 1
|
||||
self.reqQryInstrument({}, self.reqid)
|
||||
else:
|
||||
self.login_failed = True
|
||||
|
||||
|
||||
self.gateway.write_error("交易服务器登录失败", error)
|
||||
|
||||
|
||||
def onRspOrderInsert(self, data: dict, error: dict, reqid: int, last: bool):
|
||||
""""""
|
||||
order_ref = data["OrderRef"]
|
||||
orderid = f"{self.frontid}_{self.sessionid}_{order_ref}"
|
||||
|
||||
|
||||
symbol = data["InstrumentID"]
|
||||
exchange = symbol_exchange_map[symbol]
|
||||
|
||||
|
||||
order = OrderData(
|
||||
symbol=symbol,
|
||||
exchange=exchange,
|
||||
@ -472,23 +472,23 @@ class MiniTdApi(TdApi):
|
||||
gateway_name=self.gateway_name
|
||||
)
|
||||
self.gateway.on_order(order)
|
||||
|
||||
|
||||
self.gateway.write_error("交易委托失败", error)
|
||||
|
||||
|
||||
def onRspOrderAction(self, data: dict, error: dict, reqid: int, last: bool):
|
||||
""""""
|
||||
self.gateway.write_error("交易撤单失败", error)
|
||||
|
||||
|
||||
def onRspQueryMaxOrderVolume(self, data: dict, error: dict, reqid: int, last: bool):
|
||||
""""""
|
||||
pass
|
||||
|
||||
|
||||
def onRspSettlementInfoConfirm(self, data: dict, error: dict, reqid: int, last: bool):
|
||||
"""
|
||||
Callback of settlment info confimation.
|
||||
"""
|
||||
pass
|
||||
|
||||
|
||||
def onRspQryInvestorPosition(self, data: dict, error: dict, reqid: int, last: bool):
|
||||
""""""
|
||||
if data:
|
||||
@ -503,7 +503,7 @@ class MiniTdApi(TdApi):
|
||||
gateway_name=self.gateway_name
|
||||
)
|
||||
self.positions[key] = position
|
||||
|
||||
|
||||
# For SHFE position data update
|
||||
if position.exchange == Exchange.SHFE:
|
||||
if data["YdPosition"] and not data["TodayPosition"]:
|
||||
@ -511,34 +511,34 @@ class MiniTdApi(TdApi):
|
||||
# For other exchange position data update
|
||||
else:
|
||||
position.yd_volume = data["Position"] - data["TodayPosition"]
|
||||
|
||||
|
||||
# Get contract size (spread contract has no size value)
|
||||
size = symbol_size_map.get(position.symbol, 0)
|
||||
|
||||
|
||||
# Calculate previous position cost
|
||||
cost = position.price * position.volume * size
|
||||
|
||||
|
||||
# Update new position volume
|
||||
position.volume += data["Position"]
|
||||
position.pnl += data["PositionProfit"]
|
||||
|
||||
|
||||
# Calculate average position price
|
||||
if position.volume and size:
|
||||
cost += data["PositionCost"]
|
||||
position.price = cost / (position.volume * size)
|
||||
|
||||
|
||||
# Get frozen volume
|
||||
if position.direction == Direction.LONG:
|
||||
position.frozen += data["ShortFrozen"]
|
||||
else:
|
||||
position.frozen += data["LongFrozen"]
|
||||
|
||||
|
||||
if last:
|
||||
for position in self.positions.values():
|
||||
self.gateway.on_position(position)
|
||||
|
||||
|
||||
self.positions.clear()
|
||||
|
||||
|
||||
def onRspQryTradingAccount(self, data: dict, error: dict, reqid: int, last: bool):
|
||||
""""""
|
||||
if "AccountID" not in data:
|
||||
@ -551,15 +551,15 @@ class MiniTdApi(TdApi):
|
||||
gateway_name=self.gateway_name
|
||||
)
|
||||
account.available = data["Available"]
|
||||
|
||||
|
||||
self.gateway.on_account(account)
|
||||
|
||||
|
||||
def onRspQryInstrument(self, data: dict, error: dict, reqid: int, last: bool):
|
||||
"""
|
||||
Callback of instrument query.
|
||||
"""
|
||||
product = PRODUCT_MINI2VT.get(data.get("ProductClass", None), None)
|
||||
if product:
|
||||
if product:
|
||||
contract = ContractData(
|
||||
symbol=data["InstrumentID"],
|
||||
exchange=EXCHANGE_MINI2VT[data["ExchangeID"]],
|
||||
@ -569,31 +569,31 @@ class MiniTdApi(TdApi):
|
||||
pricetick=data["PriceTick"],
|
||||
gateway_name=self.gateway_name
|
||||
)
|
||||
|
||||
|
||||
# For option only
|
||||
if contract.product == Product.OPTION:
|
||||
contract.option_underlying = data["UnderlyingInstrID"],
|
||||
contract.option_type = OPTIONTYPE_MINI2VT.get(data["OptionsType"], None),
|
||||
contract.option_strike = data["StrikePrice"],
|
||||
contract.option_expiry = datetime.strptime(data["ExpireDate"], "%Y%m%d"),
|
||||
|
||||
|
||||
self.gateway.on_contract(contract)
|
||||
|
||||
|
||||
symbol_exchange_map[contract.symbol] = contract.exchange
|
||||
symbol_name_map[contract.symbol] = contract.name
|
||||
symbol_size_map[contract.symbol] = contract.size
|
||||
|
||||
|
||||
if last:
|
||||
self.gateway.write_log("合约信息查询成功")
|
||||
|
||||
|
||||
for data in self.order_data:
|
||||
self.onRtnOrder(data)
|
||||
self.order_data.clear()
|
||||
|
||||
|
||||
for data in self.trade_data:
|
||||
self.onRtnTrade(data)
|
||||
self.trade_data.clear()
|
||||
|
||||
|
||||
def onRtnOrder(self, data: dict):
|
||||
"""
|
||||
Callback of order status update.
|
||||
@ -603,12 +603,12 @@ class MiniTdApi(TdApi):
|
||||
if not exchange:
|
||||
self.order_data.append(data)
|
||||
return
|
||||
|
||||
|
||||
frontid = data["FrontID"]
|
||||
sessionid = data["SessionID"]
|
||||
order_ref = data["OrderRef"]
|
||||
orderid = f"{frontid}_{sessionid}_{order_ref}"
|
||||
|
||||
|
||||
order = OrderData(
|
||||
symbol=symbol,
|
||||
exchange=exchange,
|
||||
@ -624,9 +624,9 @@ class MiniTdApi(TdApi):
|
||||
gateway_name=self.gateway_name
|
||||
)
|
||||
self.gateway.on_order(order)
|
||||
|
||||
|
||||
self.sysid_orderid_map[data["OrderSysID"]] = orderid
|
||||
|
||||
|
||||
def onRtnTrade(self, data: dict):
|
||||
"""
|
||||
Callback of trade status update.
|
||||
@ -638,7 +638,7 @@ class MiniTdApi(TdApi):
|
||||
return
|
||||
|
||||
orderid = self.sysid_orderid_map[data["OrderSysID"]]
|
||||
|
||||
|
||||
trade = TradeData(
|
||||
symbol=symbol,
|
||||
exchange=exchange,
|
||||
@ -651,15 +651,15 @@ class MiniTdApi(TdApi):
|
||||
time=data["TradeTime"],
|
||||
gateway_name=self.gateway_name
|
||||
)
|
||||
self.gateway.on_trade(trade)
|
||||
|
||||
self.gateway.on_trade(trade)
|
||||
|
||||
def connect(
|
||||
self,
|
||||
address: str,
|
||||
userid: str,
|
||||
password: str,
|
||||
brokerid: int,
|
||||
auth_code: str,
|
||||
self,
|
||||
address: str,
|
||||
userid: str,
|
||||
password: str,
|
||||
brokerid: int,
|
||||
auth_code: str,
|
||||
appid: str,
|
||||
product_info
|
||||
):
|
||||
@ -672,21 +672,21 @@ class MiniTdApi(TdApi):
|
||||
self.auth_code = auth_code
|
||||
self.appid = appid
|
||||
self.product_info = product_info
|
||||
|
||||
|
||||
if not self.connect_status:
|
||||
path = get_folder_path(self.gateway_name.lower())
|
||||
self.createFtdcTraderApi(str(path) + "\\Td")
|
||||
|
||||
|
||||
self.subscribePrivateTopic(0)
|
||||
self.subscribePublicTopic(0)
|
||||
|
||||
|
||||
self.registerFront(address)
|
||||
self.init()
|
||||
self.init()
|
||||
|
||||
self.connect_status = True
|
||||
else:
|
||||
self.authenticate()
|
||||
|
||||
|
||||
def authenticate(self):
|
||||
"""
|
||||
Authenticate with auth_code and appid.
|
||||
@ -700,10 +700,10 @@ class MiniTdApi(TdApi):
|
||||
|
||||
if self.product_info:
|
||||
req["UserProductInfo"] = self.product_info
|
||||
|
||||
|
||||
self.reqid += 1
|
||||
self.reqAuthenticate(req, self.reqid)
|
||||
|
||||
|
||||
def login(self):
|
||||
"""
|
||||
Login onto server.
|
||||
@ -720,16 +720,16 @@ class MiniTdApi(TdApi):
|
||||
|
||||
if self.product_info:
|
||||
req["UserProductInfo"] = self.product_info
|
||||
|
||||
|
||||
self.reqid += 1
|
||||
self.reqUserLogin(req, self.reqid)
|
||||
|
||||
|
||||
def send_order(self, req: OrderRequest):
|
||||
"""
|
||||
Send new order.
|
||||
"""
|
||||
self.order_ref += 1
|
||||
|
||||
|
||||
mini_req = {
|
||||
"InstrumentID": req.symbol,
|
||||
"ExchangeID": req.exchange.value,
|
||||
@ -750,7 +750,7 @@ class MiniTdApi(TdApi):
|
||||
"VolumeCondition": THOST_FTDC_VC_AV,
|
||||
"MinVolume": 1
|
||||
}
|
||||
|
||||
|
||||
if req.type == OrderType.FAK:
|
||||
mini_req["OrderPriceType"] = THOST_FTDC_OPT_LimitPrice
|
||||
mini_req["TimeCondition"] = THOST_FTDC_TC_IOC
|
||||
@ -758,23 +758,23 @@ class MiniTdApi(TdApi):
|
||||
elif req.type == OrderType.FOK:
|
||||
mini_req["OrderPriceType"] = THOST_FTDC_OPT_LimitPrice
|
||||
mini_req["TimeCondition"] = THOST_FTDC_TC_IOC
|
||||
mini_req["VolumeCondition"] = THOST_FTDC_VC_CV
|
||||
|
||||
mini_req["VolumeCondition"] = THOST_FTDC_VC_CV
|
||||
|
||||
self.reqid += 1
|
||||
self.reqOrderInsert(mini_req, self.reqid)
|
||||
|
||||
|
||||
orderid = f"{self.frontid}_{self.sessionid}_{self.order_ref}"
|
||||
order = req.create_order_data(orderid, self.gateway_name)
|
||||
self.gateway.on_order(order)
|
||||
|
||||
|
||||
return order.vt_orderid
|
||||
|
||||
|
||||
def cancel_order(self, req: CancelRequest):
|
||||
"""
|
||||
Cancel existing order.
|
||||
"""
|
||||
frontid, sessionid, order_ref = req.orderid.split("_")
|
||||
|
||||
|
||||
mini_req = {
|
||||
"InstrumentID": req.symbol,
|
||||
"ExchangeID": req.exchange.value,
|
||||
@ -785,32 +785,32 @@ class MiniTdApi(TdApi):
|
||||
"BrokerID": self.brokerid,
|
||||
"InvestorID": self.userid
|
||||
}
|
||||
|
||||
|
||||
self.reqid += 1
|
||||
self.reqOrderAction(mini_req, self.reqid)
|
||||
|
||||
|
||||
def query_account(self):
|
||||
"""
|
||||
Query account balance data.
|
||||
"""
|
||||
self.reqid += 1
|
||||
self.reqQryTradingAccount({}, self.reqid)
|
||||
|
||||
|
||||
def query_position(self):
|
||||
"""
|
||||
Query position holding data.
|
||||
"""
|
||||
if not symbol_exchange_map:
|
||||
return
|
||||
|
||||
|
||||
req = {
|
||||
"BrokerID": self.brokerid,
|
||||
"InvestorID": self.userid
|
||||
}
|
||||
|
||||
self.reqid += 1
|
||||
|
||||
self.reqid += 1
|
||||
self.reqQryInvestorPosition(req, self.reqid)
|
||||
|
||||
|
||||
def close(self):
|
||||
""""""
|
||||
if self.connect_status:
|
||||
|
||||
@ -84,7 +84,7 @@ class OkexfGateway(BaseGateway):
|
||||
"API Key": "",
|
||||
"Secret Key": "",
|
||||
"Passphrase": "",
|
||||
"Leverage": 10,
|
||||
"Leverage": 10,
|
||||
"会话数": 3,
|
||||
"代理地址": "",
|
||||
"代理端口": "",
|
||||
@ -248,7 +248,7 @@ class OkexfRestApi(RestClient):
|
||||
return ""
|
||||
|
||||
orderid = f"a{self.connect_time}{self._new_order_id()}"
|
||||
|
||||
|
||||
data = {
|
||||
"client_oid": orderid,
|
||||
"type": TYPE_VT2OKEXF[(req.offset, req.direction)],
|
||||
@ -377,8 +377,8 @@ class OkexfRestApi(RestClient):
|
||||
balance=float(d["equity"]),
|
||||
frozen=float(d.get("margin_for_unfilled", 0)),
|
||||
gateway_name=self.gateway_name,
|
||||
)
|
||||
self.gateway.on_account(account)
|
||||
)
|
||||
self.gateway.on_account(account)
|
||||
self.gateway.write_log("账户资金查询成功")
|
||||
|
||||
def on_query_position(self, data, request):
|
||||
@ -447,7 +447,7 @@ class OkexfRestApi(RestClient):
|
||||
|
||||
order = request.extra
|
||||
order.status = Status.REJECTED
|
||||
order.time = datetime.now().strftime("%H:%M:%S.%f")
|
||||
order.time = datetime.now().strftime("%H:%M:%S.%f")
|
||||
self.gateway.on_order(order)
|
||||
msg = f"委托失败，状态码：{status_code}，信息：{request.response.text}"
|
||||
self.gateway.write_log(msg)
|
||||
@ -532,12 +532,12 @@ class OkexfRestApi(RestClient):
|
||||
|
||||
for i in range(10):
|
||||
path = f"/api/futures/v3/instruments/{req.symbol}/candles"
|
||||
|
||||
|
||||
# Create query params
|
||||
params = {
|
||||
"granularity": INTERVAL_VT2OKEXF[req.interval]
|
||||
}
|
||||
|
||||
|
||||
if end_time:
|
||||
params["end"] = end_time
|
||||
|
||||
@ -586,7 +586,7 @@ class OkexfRestApi(RestClient):
|
||||
|
||||
index = list(buf.keys())
|
||||
index.sort()
|
||||
|
||||
|
||||
history = [buf[i] for i in index]
|
||||
return history
|
||||
|
||||
@ -886,7 +886,7 @@ class OkexfWebsocketApi(WebsocketClient):
|
||||
gateway_name=self.gateway_name,
|
||||
)
|
||||
self.gateway.on_position(pos)
|
||||
|
||||
|
||||
|
||||
def generate_signature(msg: str, secret_key: str):
|
||||
"""OKEX V3 signature"""
|
||||
@ -901,6 +901,6 @@ def get_timestamp():
|
||||
|
||||
|
||||
def utc_to_local(timestamp):
|
||||
time = datetime.strptime(timestamp, "%Y-%m-%dT%H:%M:%S.%fZ")
|
||||
time = datetime.strptime(timestamp, "%Y-%m-%dT%H:%M:%S.%fZ")
|
||||
utc_time = time + timedelta(hours=8)
|
||||
return utc_time
|
||||
|
||||
@ -13,7 +13,7 @@ from vnpy.api.sopt import (
|
||||
THOST_FTDC_OST_PartTradedQueueing,
|
||||
THOST_FTDC_OST_AllTraded,
|
||||
THOST_FTDC_OST_Canceled,
|
||||
THOST_FTDC_D_Buy,
|
||||
THOST_FTDC_D_Buy,
|
||||
THOST_FTDC_D_Sell,
|
||||
THOST_FTDC_PD_Long,
|
||||
THOST_FTDC_PD_Short,
|
||||
@ -73,7 +73,7 @@ STATUS_SOPT2VT = {
|
||||
}
|
||||
|
||||
DIRECTION_VT2SOPT = {
|
||||
Direction.LONG: THOST_FTDC_D_Buy,
|
||||
Direction.LONG: THOST_FTDC_D_Buy,
|
||||
Direction.SHORT: THOST_FTDC_D_Sell
|
||||
}
|
||||
DIRECTION_SOPT2VT = {v: k for k, v in DIRECTION_VT2SOPT.items()}
|
||||
@ -81,13 +81,13 @@ DIRECTION_SOPT2VT[THOST_FTDC_PD_Long] = Direction.LONG
|
||||
DIRECTION_SOPT2VT[THOST_FTDC_PD_Short] = Direction.SHORT
|
||||
|
||||
ORDERTYPE_VT2SOPT = {
|
||||
OrderType.LIMIT: THOST_FTDC_OPT_LimitPrice,
|
||||
OrderType.LIMIT: THOST_FTDC_OPT_LimitPrice,
|
||||
OrderType.MARKET: THOST_FTDC_OPT_AnyPrice
|
||||
}
|
||||
ORDERTYPE_SOPT2VT = {v: k for k, v in ORDERTYPE_VT2SOPT.items()}
|
||||
|
||||
OFFSET_VT2SOPT = {
|
||||
Offset.OPEN: THOST_FTDC_OF_Open,
|
||||
Offset.OPEN: THOST_FTDC_OF_Open,
|
||||
Offset.CLOSE: THOST_FTDC_OFEN_Close,
|
||||
Offset.CLOSETODAY: THOST_FTDC_OFEN_CloseToday,
|
||||
Offset.CLOSEYESTERDAY: THOST_FTDC_OFEN_CloseYesterday,
|
||||
@ -133,7 +133,7 @@ class SoptGateway(BaseGateway):
|
||||
}
|
||||
|
||||
exchanges = list(EXCHANGE_SOPT2VT.values())
|
||||
|
||||
|
||||
def __init__(self, event_engine):
|
||||
"""Constructor"""
|
||||
super().__init__(event_engine, "SOPT")
|
||||
@ -151,15 +151,15 @@ class SoptGateway(BaseGateway):
|
||||
appid = setting["产品名称"]
|
||||
auth_code = setting["授权编码"]
|
||||
product_info = setting["产品信息"]
|
||||
|
||||
|
||||
if not td_address.startswith("tcp://"):
|
||||
td_address = "tcp://" + td_address
|
||||
if not md_address.startswith("tcp://"):
|
||||
md_address = "tcp://" + md_address
|
||||
|
||||
|
||||
self.td_api.connect(td_address, userid, password, brokerid, auth_code, appid, product_info)
|
||||
self.md_api.connect(md_address, userid, password, brokerid)
|
||||
|
||||
|
||||
self.init_query()
|
||||
|
||||
def subscribe(self, req: SubscribeRequest):
|
||||
@ -192,19 +192,19 @@ class SoptGateway(BaseGateway):
|
||||
error_id = error["ErrorID"]
|
||||
error_msg = error["ErrorMsg"]
|
||||
msg = f"{msg}，代码：{error_id}，信息：{error_msg}"
|
||||
self.write_log(msg)
|
||||
|
||||
self.write_log(msg)
|
||||
|
||||
def process_timer_event(self, event):
|
||||
""""""
|
||||
self.count += 1
|
||||
if self.count < 2:
|
||||
return
|
||||
self.count = 0
|
||||
|
||||
|
||||
func = self.query_functions.pop(0)
|
||||
func()
|
||||
self.query_functions.append(func)
|
||||
|
||||
|
||||
def init_query(self):
|
||||
""""""
|
||||
self.count = 0
|
||||
@ -218,20 +218,20 @@ class SoptMdApi(MdApi):
|
||||
def __init__(self, gateway):
|
||||
"""Constructor"""
|
||||
super(SoptMdApi, self).__init__()
|
||||
|
||||
|
||||
self.gateway = gateway
|
||||
self.gateway_name = gateway.gateway_name
|
||||
|
||||
|
||||
self.reqid = 0
|
||||
|
||||
|
||||
self.connect_status = False
|
||||
self.login_status = False
|
||||
self.subscribed = set()
|
||||
|
||||
|
||||
self.userid = ""
|
||||
self.password = ""
|
||||
self.brokerid = ""
|
||||
|
||||
|
||||
def onFrontConnected(self):
|
||||
"""
|
||||
Callback when front server is connected.
|
||||
@ -253,23 +253,23 @@ class SoptMdApi(MdApi):
|
||||
if not error["ErrorID"]:
|
||||
self.login_status = True
|
||||
self.gateway.write_log("行情服务器登录成功")
|
||||
|
||||
|
||||
for symbol in self.subscribed:
|
||||
self.subscribeMarketData(symbol)
|
||||
else:
|
||||
self.gateway.write_error("行情服务器登录失败", error)
|
||||
|
||||
|
||||
def onRspError(self, error: dict, reqid: int, last: bool):
|
||||
"""
|
||||
Callback when error occured.
|
||||
"""
|
||||
self.gateway.write_error("行情接口报错", error)
|
||||
|
||||
|
||||
def onRspSubMarketData(self, data: dict, error: dict, reqid: int, last: bool):
|
||||
""""""
|
||||
if not error or not error["ErrorID"]:
|
||||
return
|
||||
|
||||
|
||||
self.gateway.write_error("行情订阅失败", error)
|
||||
|
||||
def onRtnDepthMarketData(self, data: dict):
|
||||
@ -281,7 +281,7 @@ class SoptMdApi(MdApi):
|
||||
if not exchange:
|
||||
return
|
||||
timestamp = f"{data['TradingDay']} {data['UpdateTime']}.{int(data['UpdateMillisec']/100)}"
|
||||
|
||||
|
||||
tick = TickData(
|
||||
symbol=symbol,
|
||||
exchange=exchange,
|
||||
@ -302,7 +302,7 @@ class SoptMdApi(MdApi):
|
||||
ask_volume_1=data["AskVolume1"],
|
||||
gateway_name=self.gateway_name
|
||||
)
|
||||
self.gateway.on_tick(tick)
|
||||
self.gateway.on_tick(tick)
|
||||
|
||||
def connect(self, address: str, userid: str, password: str, brokerid: int):
|
||||
"""
|
||||
@ -311,7 +311,7 @@ class SoptMdApi(MdApi):
|
||||
self.userid = userid
|
||||
self.password = password
|
||||
self.brokerid = brokerid
|
||||
|
||||
|
||||
# If not connected, then start connection first.
|
||||
if not self.connect_status:
|
||||
path = get_folder_path(self.gateway_name.lower())
|
||||
@ -322,7 +322,7 @@ class SoptMdApi(MdApi):
|
||||
# If already connected, then login immediately.
|
||||
elif not self.login_status:
|
||||
self.login()
|
||||
|
||||
|
||||
def login(self):
|
||||
"""
|
||||
Login onto server.
|
||||
@ -332,10 +332,10 @@ class SoptMdApi(MdApi):
|
||||
"Password": self.password,
|
||||
"BrokerID": self.brokerid
|
||||
}
|
||||
|
||||
|
||||
self.reqid += 1
|
||||
self.reqUserLogin(req, self.reqid)
|
||||
|
||||
|
||||
def subscribe(self, req: SubscribeRequest):
|
||||
"""
|
||||
Subscribe to tick data update.
|
||||
@ -343,7 +343,7 @@ class SoptMdApi(MdApi):
|
||||
if self.login_status:
|
||||
self.subscribeMarketData(req.symbol)
|
||||
self.subscribed.add(req.symbol)
|
||||
|
||||
|
||||
def close(self):
|
||||
"""
|
||||
Close the connection.
|
||||
@ -358,49 +358,49 @@ class SoptTdApi(TdApi):
|
||||
def __init__(self, gateway):
|
||||
"""Constructor"""
|
||||
super(SoptTdApi, self).__init__()
|
||||
|
||||
|
||||
self.test = []
|
||||
|
||||
self.gateway = gateway
|
||||
self.gateway_name = gateway.gateway_name
|
||||
|
||||
|
||||
self.reqid = 0
|
||||
self.order_ref = 0
|
||||
|
||||
|
||||
self.connect_status = False
|
||||
self.login_status = False
|
||||
self.auth_staus = False
|
||||
self.login_failed = False
|
||||
|
||||
|
||||
self.userid = ""
|
||||
self.password = ""
|
||||
self.brokerid = ""
|
||||
self.auth_code = ""
|
||||
self.appid = ""
|
||||
self.product_info = ""
|
||||
|
||||
|
||||
self.frontid = 0
|
||||
self.sessionid = 0
|
||||
|
||||
|
||||
self.order_data = []
|
||||
self.trade_data = []
|
||||
self.positions = {}
|
||||
self.sysid_orderid_map = {}
|
||||
|
||||
|
||||
def onFrontConnected(self):
|
||||
""""""
|
||||
self.gateway.write_log("交易服务器连接成功")
|
||||
|
||||
|
||||
if self.auth_code:
|
||||
self.authenticate()
|
||||
else:
|
||||
self.login()
|
||||
|
||||
|
||||
def onFrontDisconnected(self, reason: int):
|
||||
""""""
|
||||
self.login_status = False
|
||||
self.gateway.write_log(f"交易服务器连接断开，原因{reason}")
|
||||
|
||||
self.gateway.write_log(f"交易服务器连接断开，原因{reason}")
|
||||
|
||||
def onRspAuthenticate(self, data: dict, error: dict, reqid: int, last: bool):
|
||||
""""""
|
||||
if not error['ErrorID']:
|
||||
@ -409,7 +409,7 @@ class SoptTdApi(TdApi):
|
||||
self.login()
|
||||
else:
|
||||
self.gateway.write_error("交易服务器授权验证失败", error)
|
||||
|
||||
|
||||
def onRspUserLogin(self, data: dict, error: dict, reqid: int, last: bool):
|
||||
""""""
|
||||
if not error["ErrorID"]:
|
||||
@ -417,7 +417,7 @@ class SoptTdApi(TdApi):
|
||||
self.sessionid = data["SessionID"]
|
||||
self.login_status = True
|
||||
self.gateway.write_log("交易服务器登录成功")
|
||||
|
||||
|
||||
# Confirm settlement
|
||||
req = {
|
||||
"BrokerID": self.brokerid,
|
||||
@ -427,17 +427,17 @@ class SoptTdApi(TdApi):
|
||||
self.reqSettlementInfoConfirm(req, self.reqid)
|
||||
else:
|
||||
self.login_failed = True
|
||||
|
||||
|
||||
self.gateway.write_error("交易服务器登录失败", error)
|
||||
|
||||
|
||||
def onRspOrderInsert(self, data: dict, error: dict, reqid: int, last: bool):
|
||||
""""""
|
||||
order_ref = data["OrderRef"]
|
||||
orderid = f"{self.frontid}_{self.sessionid}_{order_ref}"
|
||||
|
||||
|
||||
symbol = data["InstrumentID"]
|
||||
exchange = symbol_exchange_map[symbol]
|
||||
|
||||
|
||||
order = OrderData(
|
||||
symbol=symbol,
|
||||
exchange=exchange,
|
||||
@ -450,31 +450,31 @@ class SoptTdApi(TdApi):
|
||||
gateway_name=self.gateway_name
|
||||
)
|
||||
self.gateway.on_order(order)
|
||||
|
||||
|
||||
self.gateway.write_error("交易委托失败", error)
|
||||
|
||||
|
||||
def onRspOrderAction(self, data: dict, error: dict, reqid: int, last: bool):
|
||||
""""""
|
||||
self.gateway.write_error("交易撤单失败", error)
|
||||
|
||||
|
||||
def onRspQueryMaxOrderVolume(self, data: dict, error: dict, reqid: int, last: bool):
|
||||
""""""
|
||||
pass
|
||||
|
||||
|
||||
def onRspSettlementInfoConfirm(self, data: dict, error: dict, reqid: int, last: bool):
|
||||
"""
|
||||
Callback of settlment info confimation.
|
||||
"""
|
||||
self.gateway.write_log("结算信息确认成功")
|
||||
|
||||
|
||||
self.reqid += 1
|
||||
self.reqQryInstrument({}, self.reqid)
|
||||
|
||||
|
||||
def onRspQryInvestorPosition(self, data: dict, error: dict, reqid: int, last: bool):
|
||||
""""""
|
||||
if not data:
|
||||
return
|
||||
|
||||
|
||||
# Get buffered position object
|
||||
key = f"{data['InstrumentID'], data['PosiDirection']}"
|
||||
position = self.positions.get(key, None)
|
||||
@ -486,7 +486,7 @@ class SoptTdApi(TdApi):
|
||||
gateway_name=self.gateway_name
|
||||
)
|
||||
self.positions[key] = position
|
||||
|
||||
|
||||
# For SHFE position data update
|
||||
if position.exchange == Exchange.SHFE:
|
||||
if data["YdPosition"] and not data["TodayPosition"]:
|
||||
@ -494,34 +494,34 @@ class SoptTdApi(TdApi):
|
||||
# For other exchange position data update
|
||||
else:
|
||||
position.yd_volume = data["Position"] - data["TodayPosition"]
|
||||
|
||||
|
||||
# Get contract size (spread contract has no size value)
|
||||
size = symbol_size_map.get(position.symbol, 0)
|
||||
|
||||
|
||||
# Calculate previous position cost
|
||||
cost = position.price * position.volume * size
|
||||
|
||||
|
||||
# Update new position volume
|
||||
position.volume += data["Position"]
|
||||
position.pnl += data["PositionProfit"]
|
||||
|
||||
|
||||
# Calculate average position price
|
||||
if position.volume and size:
|
||||
cost += data["PositionCost"]
|
||||
position.price = cost / (position.volume * size)
|
||||
|
||||
|
||||
# Get frozen volume
|
||||
if position.direction == Direction.LONG:
|
||||
position.frozen += data["ShortFrozen"]
|
||||
else:
|
||||
position.frozen += data["LongFrozen"]
|
||||
|
||||
|
||||
if last:
|
||||
for position in self.positions.values():
|
||||
self.gateway.on_position(position)
|
||||
|
||||
|
||||
self.positions.clear()
|
||||
|
||||
|
||||
def onRspQryTradingAccount(self, data: dict, error: dict, reqid: int, last: bool):
|
||||
""""""
|
||||
account = AccountData(
|
||||
@ -531,16 +531,16 @@ class SoptTdApi(TdApi):
|
||||
gateway_name=self.gateway_name
|
||||
)
|
||||
account.available = data["Available"]
|
||||
|
||||
|
||||
self.gateway.on_account(account)
|
||||
|
||||
|
||||
def onRspQryInstrument(self, data: dict, error: dict, reqid: int, last: bool):
|
||||
"""
|
||||
Callback of instrument query.
|
||||
"""
|
||||
product = PRODUCT_SOPT2VT.get(data["ProductClass"], None)
|
||||
|
||||
if product:
|
||||
if product:
|
||||
contract = ContractData(
|
||||
symbol=data["InstrumentID"],
|
||||
exchange=EXCHANGE_SOPT2VT[data["ExchangeID"]],
|
||||
@ -550,31 +550,31 @@ class SoptTdApi(TdApi):
|
||||
pricetick=data["PriceTick"],
|
||||
gateway_name=self.gateway_name
|
||||
)
|
||||
|
||||
|
||||
# For option only
|
||||
if contract.product == Product.OPTION:
|
||||
contract.option_underlying = data["UnderlyingInstrID"],
|
||||
contract.option_type = OPTIONTYPE_SOPT2VT.get(data["OptionsType"], None),
|
||||
contract.option_strike = data["StrikePrice"],
|
||||
contract.option_expiry = datetime.strptime(data["ExpireDate"], "%Y%m%d"),
|
||||
|
||||
|
||||
self.gateway.on_contract(contract)
|
||||
|
||||
|
||||
symbol_exchange_map[contract.symbol] = contract.exchange
|
||||
symbol_name_map[contract.symbol] = contract.name
|
||||
symbol_size_map[contract.symbol] = contract.size
|
||||
|
||||
|
||||
if last:
|
||||
self.gateway.write_log("合约信息查询成功")
|
||||
|
||||
|
||||
for data in self.order_data:
|
||||
self.onRtnOrder(data)
|
||||
self.order_data.clear()
|
||||
|
||||
|
||||
for data in self.trade_data:
|
||||
self.onRtnTrade(data)
|
||||
self.trade_data.clear()
|
||||
|
||||
|
||||
def onRtnOrder(self, data: dict):
|
||||
"""
|
||||
Callback of order status update.
|
||||
@ -584,12 +584,12 @@ class SoptTdApi(TdApi):
|
||||
if not exchange:
|
||||
self.order_data.append(data)
|
||||
return
|
||||
|
||||
|
||||
frontid = data["FrontID"]
|
||||
sessionid = data["SessionID"]
|
||||
order_ref = data["OrderRef"]
|
||||
orderid = f"{frontid}_{sessionid}_{order_ref}"
|
||||
|
||||
|
||||
order = OrderData(
|
||||
symbol=symbol,
|
||||
exchange=exchange,
|
||||
@ -605,9 +605,9 @@ class SoptTdApi(TdApi):
|
||||
gateway_name=self.gateway_name
|
||||
)
|
||||
self.gateway.on_order(order)
|
||||
|
||||
|
||||
self.sysid_orderid_map[data["OrderSysID"]] = orderid
|
||||
|
||||
|
||||
def onRtnTrade(self, data: dict):
|
||||
"""
|
||||
Callback of trade status update.
|
||||
@ -619,7 +619,7 @@ class SoptTdApi(TdApi):
|
||||
return
|
||||
|
||||
orderid = self.sysid_orderid_map[data["OrderSysID"]]
|
||||
|
||||
|
||||
trade = TradeData(
|
||||
symbol=symbol,
|
||||
exchange=exchange,
|
||||
@ -632,15 +632,15 @@ class SoptTdApi(TdApi):
|
||||
time=data["TradeTime"],
|
||||
gateway_name=self.gateway_name
|
||||
)
|
||||
self.gateway.on_trade(trade)
|
||||
|
||||
self.gateway.on_trade(trade)
|
||||
|
||||
def connect(
|
||||
self,
|
||||
address: str,
|
||||
userid: str,
|
||||
password: str,
|
||||
brokerid: int,
|
||||
auth_code: str,
|
||||
self,
|
||||
address: str,
|
||||
userid: str,
|
||||
password: str,
|
||||
brokerid: int,
|
||||
auth_code: str,
|
||||
appid: str,
|
||||
product_info
|
||||
):
|
||||
@ -653,21 +653,21 @@ class SoptTdApi(TdApi):
|
||||
self.auth_code = auth_code
|
||||
self.appid = appid
|
||||
self.product_info = product_info
|
||||
|
||||
|
||||
if not self.connect_status:
|
||||
path = get_folder_path(self.gateway_name.lower())
|
||||
self.createFtdcTraderApi(str(path) + "\\Td")
|
||||
|
||||
|
||||
self.subscribePrivateTopic(0)
|
||||
self.subscribePublicTopic(0)
|
||||
|
||||
|
||||
self.registerFront(address)
|
||||
self.init()
|
||||
self.init()
|
||||
|
||||
self.connect_status = True
|
||||
else:
|
||||
self.authenticate()
|
||||
|
||||
|
||||
def authenticate(self):
|
||||
"""
|
||||
Authenticate with auth_code and appid.
|
||||
@ -681,10 +681,10 @@ class SoptTdApi(TdApi):
|
||||
|
||||
if self.product_info:
|
||||
req["UserProductInfo"] = self.product_info
|
||||
|
||||
|
||||
self.reqid += 1
|
||||
self.reqAuthenticate(req, self.reqid)
|
||||
|
||||
|
||||
def login(self):
|
||||
"""
|
||||
Login onto server.
|
||||
@ -701,16 +701,16 @@ class SoptTdApi(TdApi):
|
||||
|
||||
if self.product_info:
|
||||
req["UserProductInfo"] = self.product_info
|
||||
|
||||
|
||||
self.reqid += 1
|
||||
self.reqUserLogin(req, self.reqid)
|
||||
|
||||
|
||||
def send_order(self, req: OrderRequest):
|
||||
"""
|
||||
Send new order.
|
||||
"""
|
||||
self.order_ref += 1
|
||||
|
||||
|
||||
sopt_req = {
|
||||
"InstrumentID": req.symbol,
|
||||
"ExchangeID": req.exchange.value,
|
||||
@ -731,7 +731,7 @@ class SoptTdApi(TdApi):
|
||||
"VolumeCondition": THOST_FTDC_VC_AV,
|
||||
"MinVolume": 1
|
||||
}
|
||||
|
||||
|
||||
if req.type == OrderType.FAK:
|
||||
sopt_req["OrderPriceType"] = THOST_FTDC_OPT_LimitPrice
|
||||
sopt_req["TimeCondition"] = THOST_FTDC_TC_IOC
|
||||
@ -739,23 +739,23 @@ class SoptTdApi(TdApi):
|
||||
elif req.type == OrderType.FOK:
|
||||
sopt_req["OrderPriceType"] = THOST_FTDC_OPT_LimitPrice
|
||||
sopt_req["TimeCondition"] = THOST_FTDC_TC_IOC
|
||||
sopt_req["VolumeCondition"] = THOST_FTDC_VC_CV
|
||||
|
||||
sopt_req["VolumeCondition"] = THOST_FTDC_VC_CV
|
||||
|
||||
self.reqid += 1
|
||||
self.reqOrderInsert(sopt_req, self.reqid)
|
||||
|
||||
|
||||
orderid = f"{self.frontid}_{self.sessionid}_{self.order_ref}"
|
||||
order = req.create_order_data(orderid, self.gateway_name)
|
||||
self.gateway.on_order(order)
|
||||
|
||||
|
||||
return order.vt_orderid
|
||||
|
||||
|
||||
def cancel_order(self, req: CancelRequest):
|
||||
"""
|
||||
Cancel existing order.
|
||||
"""
|
||||
frontid, sessionid, order_ref = req.orderid.split("_")
|
||||
|
||||
|
||||
sopt_req = {
|
||||
"InstrumentID": req.symbol,
|
||||
"Exchange": req.exchange,
|
||||
@ -766,32 +766,32 @@ class SoptTdApi(TdApi):
|
||||
"BrokerID": self.brokerid,
|
||||
"InvestorID": self.userid
|
||||
}
|
||||
|
||||
|
||||
self.reqid += 1
|
||||
self.reqOrderAction(sopt_req, self.reqid)
|
||||
|
||||
|
||||
def query_account(self):
|
||||
"""
|
||||
Query account balance data.
|
||||
"""
|
||||
self.reqid += 1
|
||||
self.reqQryTradingAccount({}, self.reqid)
|
||||
|
||||
|
||||
def query_position(self):
|
||||
"""
|
||||
Query position holding data.
|
||||
"""
|
||||
if not symbol_exchange_map:
|
||||
return
|
||||
|
||||
|
||||
req = {
|
||||
"BrokerID": self.brokerid,
|
||||
"InvestorID": self.userid
|
||||
}
|
||||
|
||||
self.reqid += 1
|
||||
|
||||
self.reqid += 1
|
||||
self.reqQryInvestorPosition(req, self.reqid)
|
||||
|
||||
|
||||
def close(self):
|
||||
""""""
|
||||
if self.connect_status:
|
||||
|
||||
@ -222,7 +222,7 @@ class QuoteApi(ITapQuoteAPINotify):
|
||||
|
||||
def OnAPIReady(self):
|
||||
"""
|
||||
Callback when API is ready for sending requests or queries.
|
||||
Callback when API is ready for sending requests or queries.
|
||||
"""
|
||||
self.api.QryCommodity()
|
||||
|
||||
@ -400,7 +400,7 @@ class TradeApi(ITapTradeAPINotify):
|
||||
|
||||
def OnAPIReady(self, code: int):
|
||||
"""
|
||||
Callback when API is ready for sending requests or queries.
|
||||
Callback when API is ready for sending requests or queries.
|
||||
"""
|
||||
self.api.QryCommodity()
|
||||
|
||||
|
||||
@ -512,7 +512,7 @@ class XtpTraderApi(API.TraderSpi):
|
||||
self.margin_trading = False
|
||||
self.option_trading = False
|
||||
|
||||
#
|
||||
#
|
||||
self.short_positions = {}
|
||||
|
||||
def connect(
|
||||
@ -791,13 +791,13 @@ class XtpTraderApi(API.TraderSpi):
|
||||
""""""
|
||||
pass
|
||||
|
||||
def OnQueryCreditDebtInfo(self, debt_info: XTPCrdDebtInfo, error_info: XTPRspInfoStruct,
|
||||
def OnQueryCreditDebtInfo(self, debt_info: XTPCrdDebtInfo, error_info: XTPRspInfoStruct,
|
||||
request_id: int, is_last: bool, session_id: int) -> Any:
|
||||
""""""
|
||||
if debt_info.debt_type == 1:
|
||||
symbol = debt_info.ticker
|
||||
exchange = MARKET_XTP2VT[debt_info.market]
|
||||
|
||||
|
||||
position = self.short_positions.get(symbol, None)
|
||||
if not position:
|
||||
position = PositionData(
|
||||
@ -809,7 +809,7 @@ class XtpTraderApi(API.TraderSpi):
|
||||
self.short_positions[symbol] = position
|
||||
|
||||
position.volume += debt_info.remain_qty
|
||||
|
||||
|
||||
if is_last:
|
||||
for position in self.short_positions.values():
|
||||
self.gateway.on_position(position)
|
||||
|
||||
@ -293,7 +293,7 @@ class LogEngine(BaseEngine):
|
||||
|
||||
def add_file_handler(self):
|
||||
"""
|
||||
Add file output of log.
|
||||
Add file output of log.
|
||||
"""
|
||||
today_date = datetime.now().strftime("%Y%m%d")
|
||||
filename = f"vt_{today_date}.log"
|
||||
|
||||
@ -213,7 +213,7 @@ class BaseGateway(ABC):
|
||||
def send_orders(self, reqs: Sequence[OrderRequest]):
|
||||
"""
|
||||
Send a batch of orders to server.
|
||||
Use a for loop of send_order function by default.
|
||||
Use a for loop of send_order function by default.
|
||||
Reimplement this function if batch order supported on server.
|
||||
"""
|
||||
vt_orderids = []
|
||||
@ -227,7 +227,7 @@ class BaseGateway(ABC):
|
||||
def cancel_orders(self, reqs: Sequence[CancelRequest]):
|
||||
"""
|
||||
Cancel a batch of orders to server.
|
||||
Use a for loop of cancel_order function by default.
|
||||
Use a for loop of cancel_order function by default.
|
||||
Reimplement this function if batch cancel supported on server.
|
||||
"""
|
||||
for req in reqs:
|
||||
|
||||
@ -14,7 +14,7 @@ ACTIVE_STATUSES = set([Status.SUBMITTING, Status.NOTTRADED, Status.PARTTRADED])
|
||||
@dataclass
|
||||
class BaseData:
|
||||
"""
|
||||
Any data object needs a gateway_name as source
|
||||
Any data object needs a gateway_name as source
|
||||
and should inherit base data.
|
||||
"""
|
||||
|
||||
@ -102,7 +102,7 @@ class BarData(BaseData):
|
||||
@dataclass
|
||||
class OrderData(BaseData):
|
||||
"""
|
||||
Order data contains information for tracking lastest status
|
||||
Order data contains information for tracking lastest status
|
||||
of a specific order.
|
||||
"""
|
||||
|
||||
|
||||
@ -132,7 +132,7 @@ class PnlCell(BaseCell):
|
||||
|
||||
def set_content(self, content: Any, data: Any):
|
||||
"""
|
||||
Cell color is set based on whether pnl is
|
||||
Cell color is set based on whether pnl is
|
||||
positive or negative.
|
||||
"""
|
||||
super(PnlCell, self).set_content(content, data)
|
||||
@ -993,7 +993,7 @@ class AboutDialog(QtWidgets.QDialog):
|
||||
text = """
|
||||
Developed by Traders, for Traders.
|
||||
License：MIT
|
||||
|
||||
|
||||
Website：www.vnpy.com
|
||||
Github：www.github.com/vnpy/vnpy
|
||||
|
||||
|
||||
@ -119,7 +119,7 @@ def round_to(value: float, target: float):
|
||||
|
||||
class BarGenerator:
|
||||
"""
|
||||
For:
|
||||
For:
|
||||
1. generating 1 minute bar data from tick data
|
||||
2. generateing x minute bar/x hour bar data from 1 minute data
|
||||
|
||||
|
||||
Loading…
Reference in New Issue
Block a user