[update] 币安接口、欧式期权接口、t.d.x选择IP

README.md

@@ -16,14 +16,14 @@ gitee  链接： https://gitee.com/vnpy2/vnpy
         + 直接使用，无需pip install easytrader；
         + 任然需要安装组件 pip install -r vnpy/api/easytrader/requirement.txt
     - vnpy.gateway.gj 国金证券的gateway
-        + 使用了tdx作为股票基础数据
+        + 使用了t.d.x作为股票基础数据
-        + 使用了天勤作为行情服务
+        + 使用了天.勤.作为行情服务
         + 使用了easytrader的remote_client作为接入.
     - prod.stock_qj 运行例子
         + run_es_restful_server.py 放在A机器，安装国金全能客户端。
         + run_main_gj01.py 放在B机器，运行vn_trader客户端
         
-15、天勤行情接入
+15、天.勤.行情接入
     
     - vnpy.data.tq 定制downloder，扩展下载字段
     - prod.jobs.refill_tq_future.ticks， 下载tick
@@ -113,7 +113,7 @@ gitee  链接： https://gitee.com/vnpy2/vnpy
 
     
     - 提供指数行情订阅
-    - 使用RabbitMQ指数源，或tdx单一数据源    
+    - 使用RabbitMQ指数源，或t.d.x单一数据源    
     - 提供自定义合约功能，实时提供其合成后的tick行情
     - 增加天勤行情，实现上期所5档行情和指数行情
         
@@ -124,8 +124,7 @@ gitee  链接： https://gitee.com/vnpy2/vnpy
 4、 增加App: tick_recorder, 直接异步写入csv文件
 
 
-3、 增加tdx 免费数据源,包括
+3、 增加t.d.x 免费数据源,包括
-
     
      - 提供主力合约/指数合约的信息获取
      - 提供期货/股票数据bar 和分笔成交数据下载

vnpy/component/base.py

@@ -26,9 +26,9 @@ class Area(Enum):
 # 上期所夜盘，9:00~10:15, 10:30~11:30, 13:30~15:00,  21:00 ~2:30
 NIGHT_MARKET_SQ1 = {'AU': 0.05, 'AG': 1, 'SC': 0.1}
 # 上期所夜盘，9:00~10:15, 10:30~11:30, 13:30~15:00,  21:00 ~1:00
-NIGHT_MARKET_SQ2 = {'CU': 10, 'PB': 5, 'AL': 5, 'ZN': 5, 'WR': 1, 'NI': 10}
+NIGHT_MARKET_SQ2 = {'CU': 10, 'PB': 5, 'AL': 5, 'ZN': 5, 'WR': 1, 'NI': 10, 'SS':5,'BC':10}
 # 上期所夜盘，9:00~10:15, 10:30~11:30, 13:30~15:00,  21:00 ~23:00
-NIGHT_MARKET_SQ3 = {'RU': 5, 'RB': 1, 'HC': 1, 'SP': 2, 'FU': 1, 'BU': 2, 'NR': 5, 'C': 1, 'CS': 1, 'LU':1}
+NIGHT_MARKET_SQ3 = {'RU': 5, 'RB': 1, 'HC': 1, 'SP': 2, 'FU': 1, 'BU': 2, 'NR': 5, 'C': 1, 'CS': 1, 'LU':1,'PF':2}
 # 郑商所夜盘，9:00~10:15, 10:30~11:30, 13:30~15:00, 21:00 ~23:00
 NIGHT_MARKET_ZZ = {'TA': 2, 'JR': 1, 'OI': 0, 'RO': 1, 'PM': 1, 'WH': 1, 'CF': 5, 'SR': 0, 'FG': 1,
                    'MA': 1, 'RS': 1, 'RM': 1, 'RI': 1, 'ZC': 0.2}
@@ -42,7 +42,7 @@ MARKET_ZJ = {'IC': 0.2, 'IF': 0.2, 'IH': 0.2, 'T': 0.005, 'TF': 0.005, 'TS': 0.0
 # 只有日盘得合约
 MARKET_DAY_ONLY = {'IC': 0.2, 'IF': 0.2, 'IH': 0.2, 'T': 0.005, 'TF': 0.005, 'TS': 0.005,
                    'JD': 1, 'BB': 0.05, 'CS': 1, 'FB': 0.05, 'L': 5, 'V': 5,
-                   'JR': 1, 'LR': 1, 'PM': 1, 'RI': 1, 'RS': 1, 'SM': 2, 'WH': 1, 'AP': 1, 'CJ': 1, 'UR': 1}
+                   'JR': 1, 'LR': 1, 'PM': 1, 'RI': 1, 'RS': 1, 'SM': 2, 'WH': 1, 'AP': 1, 'CJ': 1, 'UR': 1,"LH":5,'PK':2}
 
 # 夜盘23:00收盘的合约
 NIGHT_MARKET_23 = {**NIGHT_MARKET_DL, **NIGHT_MARKET_ZZ, **NIGHT_MARKET_SQ3}

vnpy/component/cta_grid_trade.py

@@ -854,7 +854,7 @@ class CtaGridTrade(CtaComponent):
                 except Exception:
                     pass
 
-    def save(self):
+    def save(self, **kwargs):
         """
         保存网格至本地Json文件
         2017/11/23 update: 保存时，空的列表也保存
@@ -865,7 +865,9 @@ class CtaGridTrade(CtaComponent):
             return
 
         # 更新开仓均价
+        if not kwargs.get('count_avg_price', True):
             self.recount_avg_open_price()
+
         grids_save_path = get_folder_path('data')
 
         # 确保json名字与策略一致
@@ -893,7 +895,7 @@ class CtaGridTrade(CtaComponent):
 
         self.write_log(u'GrideTrade保存文件{}完成'.format(grid_json_file))
 
-    def load(self, direction, open_status_filter=[]):
+    def load(self, direction, open_status_filter=[], **kwargs):
         """
         加载本地Json至网格
         :param direction: Direction.SHORT,做空网格；Direction.LONG，做多网格
@@ -950,6 +952,7 @@ class CtaGridTrade(CtaComponent):
             grids.append(grid)
 
         # 更新开仓均价
+        if not kwargs.get('count_avg_price',True):
             self.recount_avg_open_price()
         return grids
 

vnpy/data/binance/binance_future_data.py

@@ -152,6 +152,43 @@ class BinanceFutureData(RestClient):
 
         return bars
 
+    def get_fund_rate(self, symbol=""):
+
+        params = {}
+        if symbol:
+            params.update({"symbol": symbol})
+
+        # Get response from server
+        resp = self.request(
+            "GET",
+            "/fapi/v1/premiumIndex",
+            data={},
+            params=params
+        )
+
+        # Break if request failed with other status code
+        if resp.status_code // 100 != 2:
+            msg = f"获取资费失败，状态码：{resp.status_code}，信息：{resp.text}"
+            self.write_log(msg)
+            return {} if symbol else []
+        else:
+            datas = resp.json()
+            if not datas:
+                msg = f"获取资费为空"
+                self.write_log(msg)
+                return {} if symbol else []
+
+            if isinstance(datas, list):
+                for d in datas:
+                    for k in list(d.keys()):
+                        if k in ['nextFundingTime', 'time']:
+                            d.update({k: datetime.fromtimestamp(d.get(k) / 1000).strftime('%Y-%m-%d %H:%M:%S')})
+            elif isinstance(datas, dict):
+                for k in list(datas.keys()):
+                    if k in ['nextFundingTime', 'time']:
+                        datas.update({k: datetime.fromtimestamp(datas.get(k) / 1000).strftime('%Y-%m-%d %H:%M:%S')})
+            return datas
+
     def export_to(self, bars, file_name):
         """导出bar到文件"""
         if len(bars) == 0:
@@ -218,6 +255,7 @@ class BinanceFutureData(RestClient):
         contracts = load_json(f, auto_save=False)
         return contracts
 
+
     def save_contracts(self):
         """保存合约配置"""
         contracts = self.get_contracts()

vnpy/data/tdx/tdx_future_data.py

@@ -191,8 +191,11 @@ class TdxFutureData(object):
                         if last_datetime_str:
                             try:
                                 last_datetime = datetime.strptime(last_datetime_str, '%Y-%m-%d %H:%M:%S')
-                                if (datetime.now() - last_datetime).total_seconds() > 60 * 60 * 2:
+                                ip = self.best_ip.get('ip')
+                                is_bad_ip = ip and ip in self.best_ip.get('exclude_ips',[])
+                                if (datetime.now() - last_datetime).total_seconds() > 60 * 60 * 2 or is_bad_ip :
                                     self.best_ip = {}
+                                    if not is_bad_ip:
                                         self.exclude_ips = []
                             except Exception as ex:  # noqa
                                 self.best_ip = {}

vnpy/gateway/binancef/binancef_gateway.py

@@ -60,7 +60,8 @@ STATUS_BINANCEF2VT: Dict[str, Status] = {
 
 ORDERTYPE_VT2BINANCEF: Dict[OrderType, str] = {
     OrderType.LIMIT: "LIMIT",
-    OrderType.MARKET: "MARKET"
+    OrderType.MARKET: "MARKET",
+    OrderType.STOP: "STOP_MARKET"
 }
 ORDERTYPE_BINANCEF2VT: Dict[str, OrderType] = {v: k for k, v in ORDERTYPE_VT2BINANCEF.items()}
 
@@ -172,7 +173,7 @@ class BinancefGateway(BaseGateway):
             self.status.update({'con': True})
 
         self.count += 1
-        if self.count < 2:
+        if self.count < 60:
             return
         self.count = 0
         if len(self.query_functions) > 0:

vnpy/gateway/binanceo/binanceo_gateway.py

@@ -198,7 +198,7 @@ class BinanceoGateway(BaseGateway):
             self.status.update({'con': True})
 
         self.count += 1
-        if self.count < 2:
+        if self.count < 60:
             return
         self.count = 0
         if len(self.query_functions) > 0:

vnpy/trader/utility.py

@@ -608,10 +608,10 @@ def save_images_to_excel(file_name, sheet_name, image_names):
         print(u'save_images_to_excel exception:{}'.format(str(ex)), traceback.format_exc(), file=sys.stderr)
         return False
 
-
 def display_dual_axis(df, columns1, columns2=[], invert_yaxis1=False, invert_yaxis2=False, file_name=None,
                       sheet_name=None,
-                      image_name=None):
+                      image_name=None,
+                      label_column='index'):
     """
     显示(保存)双Y轴的走势图
     :param df: DataFrame
@@ -622,6 +622,7 @@ def display_dual_axis(df, columns1, columns2=[], invert_yaxis1=False, invert_yax
     :param file_name:   保存的excel 文件名称
     :param sheet_name:  excel 的sheet
     :param image_name:  保存的image 文件名
+    :param label_cloumn: 显示在x轴的label所在字段，例如 df的index，或者 'datetime'
     颜色色系:https://www.osgeo.cn/matplotlib/tutorials/colors/colormaps.html
     :return:
     """
@@ -648,7 +649,8 @@ def display_dual_axis(df, columns1, columns2=[], invert_yaxis1=False, invert_yax
 
     # 修改x轴得label为时间
     xt = ax1.get_xticks()
-    xt2 = [df.index[int(i)] for i in xt[1:-2]]
+    label_values = df.index.values if label_column == 'index' else df[label_column].values
+    xt2 = [label_values[int(i)] for i in xt[1:-2]]
     xt2.insert(0, '')
     xt2.append('')
     ax1.set_xticklabels(xt2)