[bug fix]
This commit is contained in:
msincenselee
parent
dc16eb99cd
commit
3496ee92b0
@ -197,6 +197,9 @@ class CtaTemplate(ABC):
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if self.is_upper_limit(vt_symbol):
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self.write_error(u'涨停价不做FAK/FOK委托')
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return []
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if volume == 0:
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self.write_error(f'委托数量有误，必须大于0，{vt_symbol}, price:{price}')
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return []
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return self.send_order(vt_symbol=vt_symbol,
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direction=Direction.LONG,
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offset=Offset.OPEN,
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@ -218,6 +221,9 @@ class CtaTemplate(ABC):
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if self.is_lower_limit(vt_symbol):
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self.write_error(u'跌停价不做FAK/FOK sell委托')
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return []
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if volume == 0:
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self.write_error(f'委托数量有误，必须大于0，{vt_symbol}, price:{price}')
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return []
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return self.send_order(vt_symbol=vt_symbol,
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direction=Direction.SHORT,
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offset=Offset.CLOSE,
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@ -239,6 +245,9 @@ class CtaTemplate(ABC):
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if self.is_lower_limit(vt_symbol):
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self.write_error(u'跌停价不做FAK/FOK short委托')
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return []
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if volume == 0:
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self.write_error(f'委托数量有误，必须大于0，{vt_symbol}, price:{price}')
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return []
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return self.send_order(vt_symbol=vt_symbol,
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direction=Direction.SHORT,
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offset=Offset.OPEN,
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@ -260,6 +269,9 @@ class CtaTemplate(ABC):
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if self.is_upper_limit(vt_symbol):
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self.write_error(u'涨停价不做FAK/FOK cover委托')
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return []
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if volume == 0:
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self.write_error(f'委托数量有误，必须大于0，{vt_symbol}, price:{price}')
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return []
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return self.send_order(vt_symbol=vt_symbol,
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direction=Direction.LONG,
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offset=Offset.CLOSE,
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@ -2021,7 +2033,7 @@ class CtaProFutureTemplate(CtaProTemplate):
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target_long_grid = None
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remove_long_grid_ids = []
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for g in sorted(locked_long_grids, key=lambda grid: grid.volume):
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if g.order_status or len(g.orderRef) > 0:
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if g.order_status or len(g.order_ids) > 0:
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continue
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if target_long_grid is None:
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target_long_grid = g
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@ -2035,7 +2047,7 @@ class CtaProFutureTemplate(CtaProTemplate):
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remain_grid = copy(g)
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g.volume = open_volume
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remain_grid.volume -= open_volume
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remain_grid.id = uuid.uuid1()
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remain_grid.id = str(uuid.uuid1())
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self.gt.dn_grids.append(remain_grid)
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self.write_log(u'添加剩余仓位到新多单网格:g.volume:{}'
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.format(remain_grid.volume))
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@ -2081,7 +2093,7 @@ class CtaProFutureTemplate(CtaProTemplate):
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remain_grid = copy(g)
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g.volume = open_volume
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remain_grid.volume -= open_volume
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remain_grid.id = uuid.uuid1()
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remain_grid.id = str(uuid.uuid1())
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self.gt.up_grids.append(remain_grid)
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self.write_log(u'添加剩余仓位到新空单网格:g.volume:{}'
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.format(remain_grid.volume))
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@ -2146,6 +2158,8 @@ class CtaProFutureTemplate(CtaProTemplate):
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# 正在委托时,不处理
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if self.entrust != 0:
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return
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if not self.activate_today_lock:
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return
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# 多单得对锁格
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locked_long_grids = self.gt.get_opened_grids_within_types(direction=Direction.LONG, types=[LOCK_GRID])
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@ -16,7 +16,7 @@ from time import sleep
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from functools import lru_cache
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from collections import OrderedDict
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from multiprocessing.dummy import Pool
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from threading import Thread
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from vnpy.event import EventEngine
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from vnpy.trader.event import EVENT_TIMER
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from vnpy.trader.constant import (
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@ -25,10 +25,12 @@ from vnpy.trader.constant import (
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Direction,
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OrderType,
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Status,
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Offset
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Offset,
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Interval
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)
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from vnpy.trader.gateway import BaseGateway, LocalOrderManager
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from vnpy.trader.object import (
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BarData,
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CancelRequest,
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OrderRequest,
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SubscribeRequest,
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@ -37,7 +39,8 @@ from vnpy.trader.object import (
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OrderData,
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TradeData,
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PositionData,
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AccountData
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AccountData,
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HistoryRequest
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)
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from vnpy.trader.utility import get_folder_path, print_dict, extract_vt_symbol, get_stock_exchange, append_data
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from vnpy.data.tdx.tdx_common import get_stock_type_sz, get_stock_type_sh
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@ -47,6 +50,14 @@ symbol_name_map: Dict[str, str] = {}
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# 代码 <=> 交易所
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symbol_exchange_map: Dict[str, Exchange] = {}
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# 时间戳对齐
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TIME_GAP = 8 * 60 * 60 * 1000000000
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INTERVAL_VT2TQ = {
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Interval.MINUTE: 60,
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Interval.HOUR: 60 * 60,
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Interval.DAILY: 60 * 60 * 24,
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}
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# 功能<->文件对应
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PB_FILE_NAMES = {
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'send_order': 'XHPT_WT', # 通用接口_委托
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@ -323,6 +334,7 @@ class PbGateway(BaseGateway):
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self.md_api = PbMdApi(self)
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self.td_api = PbTdApi(self)
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self.tq_api = None
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self.tdx_connected = False # 通达信行情API得连接状态
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@ -359,6 +371,8 @@ class PbGateway(BaseGateway):
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product_id=product_id,
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unit_id=unit_id,
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holder_ids=holder_ids)
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self.tq_api = TqMdApi(self)
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self.tq_api.connect()
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self.init_query()
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def close(self) -> None:
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@ -368,6 +382,9 @@ class PbGateway(BaseGateway):
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def subscribe(self, req: SubscribeRequest) -> None:
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""""""
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if self.tq_api and self.tq_api.is_connected:
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self.tq_api.subscribe(req)
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else:
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self.md_api.subscribe(req)
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def send_order(self, req: OrderRequest) -> str:
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@ -2012,3 +2029,167 @@ class PbTdApi(object):
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def cancel_all_csv(self):
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pass
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class TqMdApi():
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"""天勤行情API"""
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def __init__(self, gateway):
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""""""
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super().__init__()
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self.gateway = gateway
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self.gateway_name = gateway.gateway_name
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self.api = None
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self.is_connected = False
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self.subscribe_array = []
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# 行情对象列表
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self.quote_objs = []
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# 数据更新线程
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self.update_thread = None
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# 所有的合约
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self.all_instruments = []
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self.ticks = {}
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def connect(self, setting = {}):
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""""""
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try:
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from tqsdk import TqApi
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self.api = TqApi(_stock=True)
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except Exception as e:
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self.gateway.write_log(f'天勤股票行情API接入异常:'.format(str(e)))
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self.gateway.write_log(traceback.format_exc())
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if self.api:
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self.is_connected = True
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self.gateway.write_log(f'天勤股票行情API已连接')
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self.update_thread = Thread(target=self.update)
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self.update_thread.start()
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def generate_tick_from_quote(self, vt_symbol, quote) -> TickData:
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"""
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生成TickData
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"""
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# 清洗 nan
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quote = {k: 0 if v != v else v for k, v in quote.items()}
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symbol, exchange = extract_vt_symbol(vt_symbol)
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return TickData(
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symbol=symbol,
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exchange=exchange,
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datetime=datetime.strptime(quote["datetime"], "%Y-%m-%d %H:%M:%S.%f"),
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name=symbol,
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volume=quote["volume"],
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open_interest=quote["open_interest"],
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last_price=quote["last_price"],
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limit_up=quote["upper_limit"],
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limit_down=quote["lower_limit"],
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open_price=quote["open"],
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high_price=quote["highest"],
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low_price=quote["lowest"],
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pre_close=quote["pre_close"],
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bid_price_1=quote["bid_price1"],
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bid_price_2=quote["bid_price2"],
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bid_price_3=quote["bid_price3"],
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bid_price_4=quote["bid_price4"],
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bid_price_5=quote["bid_price5"],
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ask_price_1=quote["ask_price1"],
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ask_price_2=quote["ask_price2"],
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ask_price_3=quote["ask_price3"],
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ask_price_4=quote["ask_price4"],
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ask_price_5=quote["ask_price5"],
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bid_volume_1=quote["bid_volume1"],
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bid_volume_2=quote["bid_volume2"],
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bid_volume_3=quote["bid_volume3"],
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bid_volume_4=quote["bid_volume4"],
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bid_volume_5=quote["bid_volume5"],
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ask_volume_1=quote["ask_volume1"],
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ask_volume_2=quote["ask_volume2"],
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ask_volume_3=quote["ask_volume3"],
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ask_volume_4=quote["ask_volume4"],
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ask_volume_5=quote["ask_volume5"],
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gateway_name=self.gateway_name
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)
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def update(self) -> None:
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"""
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更新行情/委托/账户/持仓
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"""
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while self.api.wait_update():
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# 更新行情信息
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for vt_symbol, quote in self.quote_objs:
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if self.api.is_changing(quote):
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tick = self.generate_tick_from_quote(vt_symbol, quote)
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tick and self.gateway.on_tick(tick) and self.gateway.on_custom_tick(tick)
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def subscribe(self, req: SubscribeRequest) -> None:
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"""
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订阅行情
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"""
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if req.vt_symbol not in self.subscribe_array:
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symbol, exchange = extract_vt_symbol(req.vt_symbol)
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try:
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quote = self.api.get_quote(f'{exchange.value}.{symbol}')
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self.quote_objs.append((req.vt_symbol, quote))
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self.subscribe_array.append(req.vt_symbol)
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except Exception as ex:
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self.gateway.write_log('订阅天勤行情异常:{}'.format(str(ex)))
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def query_history(self, req: HistoryRequest) -> List[BarData]:
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"""
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获取历史数据
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"""
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symbol = req.symbol
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exchange = req.exchange
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interval = req.interval
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start = req.start
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end = req.end
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# 天勤需要的数据
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tq_symbol = f'{exchange.value}.{symbol}'
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tq_interval = INTERVAL_VT2TQ.get(interval)
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end += timedelta(1)
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total_days = end - start
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# 一次最多只能下载 8964 根Bar
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min_length = min(8964, total_days.days * 500)
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df = self.api.get_kline_serial(tq_symbol, tq_interval, min_length).sort_values(
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by=["datetime"]
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)
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# 时间戳对齐
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df["datetime"] = pd.to_datetime(df["datetime"] + TIME_GAP)
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# 过滤开始结束时间
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df = df[(df["datetime"] >= start - timedelta(days=1)) & (df["datetime"] < end)]
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data: List[BarData] = []
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if df is not None:
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for ix, row in df.iterrows():
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bar = BarData(
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symbol=symbol,
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exchange=exchange,
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interval=interval,
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datetime=row["datetime"].to_pydatetime(),
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open_price=row["open"],
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high_price=row["high"],
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low_price=row["low"],
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close_price=row["close"],
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volume=row["volume"],
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open_interest=row.get("close_oi", 0),
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gateway_name=self.gateway_name,
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)
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data.append(bar)
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return data
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def close(self) -> None:
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""""""
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try:
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if self.api and self.api.wait_update():
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self.api.close()
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self.is_connected = False
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if self.update_thread:
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self.update_thread.join()
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except Exception as e:
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self.gateway.write_log('退出天勤行情api异常:{}'.format(str(e)))
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@ -5,7 +5,7 @@ http://wxpusher.zjiecode.com/
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开通步骤：
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1、关注公众号，注册
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2、通过公众号，获取UID
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3、通过网站=》应用列表=》新建应用，如vnpy2，并获得APP_TOOKEN
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3、通过网站打开管理后台：http://wxpusher.zjiecode.com/admin/ 使用微信扫码登录，=》应用列表=》新建应用，如vnpy2，并获得APP_TOOKEN
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4、应用列表=》应用（vnpy2）=》 关注.
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'''
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@ -20,7 +20,7 @@ global wechat_lock
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wechat_lock = Lock()
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# 这里可以设置UIDS, 多个人可同时接收
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UIDS = ['UID_kZguGPBQPWn41Ni9FK4CgPts2Kj']
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UIDS = ['UID_kZguGPBQPWn41Ni9FK4CgPts2KjU']
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APP_TOKEN = 'AT_aDuiQu41dmAQV2vUMXOaaTDrWyhKJN2z'
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