[Add]TraderApi for XtpGateway
This commit is contained in:
vn.py
parent
1b547aac45
commit
3853b47e47
@ -1,4 +1,3 @@
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import sys
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from typing import Any, Sequence
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from vnpy.api.xtp.vnxtp import (
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@ -10,24 +9,33 @@ from vnpy.api.xtp.vnxtp import (
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XTPSpecificTickerStruct,
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XTPTickByTickStruct,
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XTPTickerPriceInfo,
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XTPQueryOrderReq,
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XTPQueryTraderReq,
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XTPOrderInsertInfo,
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XTP_EXCHANGE_TYPE,
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XTP_LOG_LEVEL,
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XTP_PROTOCOL_TYPE,
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set_async_callback_exception_handler,
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AsyncDispatchException,
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XTP_TICKER_TYPE,
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XTP_TICKER_TYPE_STOCK,
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XTP_TICKER_TYPE_INDEX,
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XTP_TICKER_TYPE_FUND,
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XTP_TICKER_TYPE_BOND,
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XTP_TICKER_TYPE_OPTION,
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XTP_PROTOCOL_TCP,
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XTP_PROTOCOL_UDP,
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XTP_TERT_RESTART,
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XTP_SIDE_BUY,
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XTP_SIDE_SELL,
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XTP_PRICE_LIMIT,
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XTP_PRICE_BEST5_OR_CANCEL,
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XTP_BUSINESS_TYPE_CASH
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)
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from vnpy.event import EventEngine
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from vnpy.trader.constant import Exchange, Product
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from vnpy.trader.constant import Exchange, Product, Direction, OrderType
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from vnpy.trader.gateway import BaseGateway
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from vnpy.trader.object import (
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CancelRequest,
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OrderRequest,
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SubscribeRequest,
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TickData,
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ContractData,
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)
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from vnpy.trader.object import (CancelRequest, OrderRequest, SubscribeRequest,
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TickData, ContractData, OrderData, TradeData,
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PositionData, AccountData)
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from vnpy.trader.utility import get_folder_path
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API = XTP.API
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@ -39,17 +47,31 @@ EXCHANGE_XTP2VT = {
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EXCHANGE_VT2XTP = {v: k for k, v in EXCHANGE_XTP2VT.items()}
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PRODUCT_XTP2VT = {
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XTP_TICKER_TYPE.XTP_TICKER_TYPE_STOCK: Product.EQUITY,
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XTP_TICKER_TYPE.XTP_TICKER_TYPE_INDEX: Product.INDEX,
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XTP_TICKER_TYPE.XTP_TICKER_TYPE_FUND: Product.FUND,
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XTP_TICKER_TYPE.XTP_TICKER_TYPE_BOND: Product.BOND,
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XTP_TICKER_TYPE.XTP_TICKER_TYPE_OPTION: Product.OPTION,
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XTP_TICKER_TYPE_STOCK: Product.EQUITY,
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XTP_TICKER_TYPE_INDEX: Product.INDEX,
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XTP_TICKER_TYPE_FUND: Product.FUND,
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XTP_TICKER_TYPE_BOND: Product.BOND,
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XTP_TICKER_TYPE_OPTION: Product.OPTION
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}
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DIRECTION_VT2XTP = {
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Direction.LONG: XTP_SIDE_BUY,
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Direction.SHORT: XTP_SIDE_SELL
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}
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DIRECTION_XTP2VT = {v: k for k, v in DIRECTION_VT2XTP.items()}
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ORDERTYPE_VT2XTP = {
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OrderType.LIMIT: XTP_PRICE_LIMIT,
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OrderType.MARKET: XTP_PRICE_BEST5_OR_CANCEL
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}
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ORDERTYPE_XTP2VT = {v: k for k, v in ORDERTYPE_VT2XTP.items()}
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symbol_name_map = {}
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class XtpGateway(BaseGateway):
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default_setting = {
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"账号": "",
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"密码": "",
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@ -58,7 +80,7 @@ class XtpGateway(BaseGateway):
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"行情端口": 0,
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"交易地址": "",
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"交易端口": 0,
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"行情协议": ["TCP", "UDP"],
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"行情协议": ["TCP", "UDP"]
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}
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def __init__(self, event_engine: EventEngine):
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@ -66,56 +88,56 @@ class XtpGateway(BaseGateway):
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super().__init__(event_engine, "XTP")
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self.quote_api = XtpQuoteApi(self)
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set_async_callback_exception_handler(self._async_callback_exception_handler)
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pass
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self.trader_api = XtpTraderApi(self)
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def connect(self, setting: dict):
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""""""
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userid = setting["账号"]
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password = setting["密码"]
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client_id = int(setting["客户号"])
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quote_ip = setting["行情地址"]
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quote_port = int(setting["行情端口"])
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trade_ip = setting["交易地址"]
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trade_port = setting["交易端口"]
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userid = setting['账号']
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password = setting['密码']
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client_id = setting['客户号']
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quote_ip = setting['行情地址']
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quote_port = setting['行情端口']
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trader_ip = setting['交易地址']
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trader_port = setting['交易端口']
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quote_protocol = setting["行情协议"]
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self.quote_api.connect(
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userid, password, client_id, quote_ip, quote_port, quote_protocol
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)
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self.quote_api.connect(userid, password, client_id,
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quote_ip, quote_port, quote_protocol)
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self.trader_api.connect(userid, password, client_id,
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trader_ip, trader_port)
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def close(self):
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""""""
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pass
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self.quote_api.close()
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self.trader_api.close()
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def subscribe(self, req: SubscribeRequest):
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""""""
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self.quote_api.subscrbie(req)
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def send_order(self, req: OrderRequest) -> str:
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pass
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""""""
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return self.trader_api.send_order(req)
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def cancel_order(self, req: CancelRequest):
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pass
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""""""
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self.trader_api.cancel_order(req)
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def query_account(self):
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pass
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""""""
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self.trader_api.query_account()
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def query_position(self):
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pass
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def _async_callback_exception_handler(self, e: AsyncDispatchException):
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error_str = f"发生内部错误：\n" f"位置：{e.instance}.{e.function_name}" f"详细信息：{e.what}"
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print(error_str, file=sys.stderr)
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self.write_log(error_str) # write_error function?
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""""""
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self.trader_api.query_position()
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class XtpQuoteApi(API.QuoteSpi):
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def __init__(self, gateway: BaseGateway):
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""""""
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super(XtpQuoteApi, self).__init__()
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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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@ -132,10 +154,10 @@ class XtpQuoteApi(API.QuoteSpi):
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self,
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userid: str,
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password: str,
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client_id: int,
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client_id: str,
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server_ip: str,
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server_port: int,
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quote_protocol: str,
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server_port: str,
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quote_protocol: str
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):
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""""""
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if self.api:
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@ -148,15 +170,17 @@ class XtpQuoteApi(API.QuoteSpi):
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self.server_port = server_port
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if quote_protocol == "CTP":
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self.quote_protocol = XTP_PROTOCOL_TYPE.XTP_PROTOCOL_TCP
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self.quote_protocol = XTP_PROTOCOL_TCP
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else:
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self.quote_protocol = XTP_PROTOCOL_TYPE.XTP_PROTOCOL_UDP
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self.quote_protocol = XTP_PROTOCOL_UDP
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# Create API object
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path = str(get_folder_path(self.gateway_name.lower()))
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self.api = API.QuoteApi.CreateQuoteApi(
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self.client_id, path, XTP_LOG_LEVEL.XTP_LOG_LEVEL_TRACE
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self.client_id,
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path,
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XTP_LOG_LEVEL.XTP_LOG_LEVEL_TRACE
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)
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self.api.RegisterSpi(self)
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@ -168,17 +192,22 @@ class XtpQuoteApi(API.QuoteSpi):
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self.server_port,
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self.userid,
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self.password,
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self.quote_protocol,
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self.quote_protocol
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)
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if not ret:
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msg = "行情服务器登录成功"
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self.query_contract()
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else:
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msg = f"行情服务器登录失败，原因：{ret}"
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self.gateway.write_log(msg)
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def close(self):
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""""""
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if self.api:
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self.api.RegisterSpi(None)
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self.api.Release()
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def subscrbie(self, req: SubscribeRequest):
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""""""
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xtp_exchange = EXCHANGE_VT2XTP.get(req.exchange, "")
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@ -187,13 +216,11 @@ class XtpQuoteApi(API.QuoteSpi):
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def query_contract(self):
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""""""
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for exchange_id in EXCHANGE_XTP2VT.keys():
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ret = self.api.QueryAllTickers(exchange_id)
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if ret != 0:
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self.gateway.write_log("订阅合约失败")
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self.api.QueryAllTickers(exchange_id)
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def check_error(self, func_name: str, error_info: XTPRspInfoStruct):
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""""""
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if error_info and error_info.error_id:
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if error_info.error_id:
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msg = f"{func_name}发生错误, 代码：{error_info.error_id}，信息：{error_info.error_msg}"
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self.gateway.write_log(msg)
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return True
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@ -208,37 +235,21 @@ class XtpQuoteApi(API.QuoteSpi):
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""""""
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self.check_error("行情接口", error_info)
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def OnSubMarketData(
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self,
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ticker: XTPSpecificTickerStruct,
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error_info: XTPRspInfoStruct,
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is_last: bool,
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) -> Any:
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def OnSubMarketData(self, ticker: XTPSpecificTickerStruct, error_info: XTPRspInfoStruct,
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is_last: bool) -> Any:
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""""""
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self.check_error("订阅行情", error_info)
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return super().OnSubMarketData(ticker, error_info, is_last)
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def OnUnSubMarketData(
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self,
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ticker: XTPSpecificTickerStruct,
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error_info: XTPRspInfoStruct,
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is_last: bool,
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) -> Any:
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def OnUnSubMarketData(self, ticker: XTPSpecificTickerStruct, error_info: XTPRspInfoStruct,
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is_last: bool) -> Any:
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""""""
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pass
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def OnDepthMarketData(
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self,
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market_data: XTPMarketDataStruct,
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bid1_qty: Sequence[int],
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bid1_count: int,
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max_bid1_count: int,
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ask1_qty: Sequence[int],
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ask1_count: int,
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max_ask1_count: int,
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) -> Any:
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def OnDepthMarketData(self, market_data: XTPMarketDataStruct, bid1_qty: Sequence[int],
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bid1_count: int, max_bid1_count: int, ask1_qty: Sequence[int],
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ask1_count: int, max_ask1_count: int) -> Any:
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""""""
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timestamp = market_data.data_time
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timestamp = market_data.date_time
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tick = TickData(
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symbol=market_data.ticker,
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@ -272,27 +283,19 @@ class XtpQuoteApi(API.QuoteSpi):
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ask_volume_3=market_data.ask_qty[2],
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ask_volume_4=market_data.ask_qty[3],
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ask_volume_5=market_data.ask_qty[4],
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gateway_name=self.gateway_name,
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gateway_name=self.gateway_name
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)
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tick.name = symbol_name_map.get(tick.vt_symbol, tick.symbol)
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self.gateway.on_tick(tick)
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def OnSubOrderBook(
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self,
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ticker: XTPSpecificTickerStruct,
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error_info: XTPRspInfoStruct,
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is_last: bool,
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) -> Any:
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def OnSubOrderBook(self, ticker: XTPSpecificTickerStruct, error_info: XTPRspInfoStruct,
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is_last: bool) -> Any:
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""""""
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pass
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def OnUnSubOrderBook(
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self,
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ticker: XTPSpecificTickerStruct,
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error_info: XTPRspInfoStruct,
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is_last: bool,
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) -> Any:
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def OnUnSubOrderBook(self, ticker: XTPSpecificTickerStruct, error_info: XTPRspInfoStruct,
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is_last: bool) -> Any:
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""""""
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pass
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@ -300,21 +303,13 @@ class XtpQuoteApi(API.QuoteSpi):
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""""""
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pass
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def OnSubTickByTick(
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self,
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ticker: XTPSpecificTickerStruct,
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error_info: XTPRspInfoStruct,
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is_last: bool,
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) -> Any:
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def OnSubTickByTick(self, ticker: XTPSpecificTickerStruct, error_info: XTPRspInfoStruct,
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is_last: bool) -> Any:
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""""""
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pass
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def OnUnSubTickByTick(
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self,
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ticker: XTPSpecificTickerStruct,
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error_info: XTPRspInfoStruct,
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is_last: bool,
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) -> Any:
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def OnUnSubTickByTick(self, ticker: XTPSpecificTickerStruct, error_info: XTPRspInfoStruct,
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is_last: bool) -> Any:
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""""""
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pass
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@ -322,48 +317,39 @@ class XtpQuoteApi(API.QuoteSpi):
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""""""
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pass
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def OnSubscribeAllMarketData(
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self, exchange_id: XTP_EXCHANGE_TYPE, error_info: XTPRspInfoStruct
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) -> Any:
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def OnSubscribeAllMarketData(self, exchange_id: XTP_EXCHANGE_TYPE,
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error_info: XTPRspInfoStruct) -> Any:
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""""""
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pass
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def OnUnSubscribeAllMarketData(
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self, exchange_id: XTP_EXCHANGE_TYPE, error_info: XTPRspInfoStruct
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) -> Any:
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def OnUnSubscribeAllMarketData(self, exchange_id: XTP_EXCHANGE_TYPE,
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error_info: XTPRspInfoStruct) -> Any:
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""""""
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pass
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def OnSubscribeAllOrderBook(
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self, exchange_id: XTP_EXCHANGE_TYPE, error_info: XTPRspInfoStruct
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) -> Any:
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def OnSubscribeAllOrderBook(self, exchange_id: XTP_EXCHANGE_TYPE,
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error_info: XTPRspInfoStruct) -> Any:
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""""""
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pass
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def OnUnSubscribeAllOrderBook(
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self, exchange_id: XTP_EXCHANGE_TYPE, error_info: XTPRspInfoStruct
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) -> Any:
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def OnUnSubscribeAllOrderBook(self, exchange_id: XTP_EXCHANGE_TYPE,
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error_info: XTPRspInfoStruct) -> Any:
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""""""
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pass
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def OnSubscribeAllTickByTick(
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self, exchange_id: XTP_EXCHANGE_TYPE, error_info: XTPRspInfoStruct
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) -> Any:
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def OnSubscribeAllTickByTick(self, exchange_id: XTP_EXCHANGE_TYPE,
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error_info: XTPRspInfoStruct) -> Any:
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""""""
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pass
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def OnUnSubscribeAllTickByTick(
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self, exchange_id: XTP_EXCHANGE_TYPE, error_info: XTPRspInfoStruct
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) -> Any:
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def OnUnSubscribeAllTickByTick(self, exchange_id: XTP_EXCHANGE_TYPE,
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error_info: XTPRspInfoStruct) -> Any:
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""""""
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pass
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def OnQueryAllTickers(
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self,
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ticker_info: XTPQuoteStaticInfo,
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error_info: XTPRspInfoStruct,
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is_last: bool,
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) -> Any:
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def OnQueryAllTickers(self, ticker_info: XTPQuoteStaticInfo, error_info: XTPRspInfoStruct,
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is_last: bool) -> Any:
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""""""
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if self.check_error("查询合约", error_info):
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return
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@ -375,53 +361,166 @@ class XtpQuoteApi(API.QuoteSpi):
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size=1,
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pricetick=ticker_info.pricetick,
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min_volume=ticker_info.buy_qty_unit,
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gateway_name=self.gateway_name,
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gateway_name=self.gateway_name
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)
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self.gateway.on_contract(contract)
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symbol_name_map[contract.vt_symbol] = contract.name
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def OnQueryTickersPriceInfo(
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def OnQueryTickersPriceInfo(self, ticker_info: XTPTickerPriceInfo, error_info: XTPRspInfoStruct,
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is_last: bool) -> Any:
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""""""
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pass
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def OnSubscribeAllOptionMarketData(self, exchange_id: XTP_EXCHANGE_TYPE,
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error_info: XTPRspInfoStruct) -> Any:
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""""""
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pass
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def OnUnSubscribeAllOptionMarketData(self, exchange_id: XTP_EXCHANGE_TYPE,
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error_info: XTPRspInfoStruct) -> Any:
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""""""
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pass
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def OnSubscribeAllOptionOrderBook(self, exchange_id: XTP_EXCHANGE_TYPE,
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error_info: XTPRspInfoStruct) -> Any:
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""""""
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pass
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def OnUnSubscribeAllOptionOrderBook(self, exchange_id: XTP_EXCHANGE_TYPE,
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||||
error_info: XTPRspInfoStruct) -> Any:
|
||||
""""""
|
||||
pass
|
||||
|
||||
def OnSubscribeAllOptionTickByTick(self, exchange_id: XTP_EXCHANGE_TYPE,
|
||||
error_info: XTPRspInfoStruct) -> Any:
|
||||
""""""
|
||||
pass
|
||||
|
||||
def OnUnSubscribeAllOptionTickByTick(self, exchange_id: XTP_EXCHANGE_TYPE,
|
||||
error_info: XTPRspInfoStruct) -> Any:
|
||||
""""""
|
||||
pass
|
||||
|
||||
|
||||
class XtpTraderApi(API.TraderSpi):
|
||||
|
||||
def __init__(self, gateway: BaseGateway):
|
||||
""""""
|
||||
super().__init__()
|
||||
|
||||
self.gateway = gateway
|
||||
self.gateway_name = gateway.gateway_name
|
||||
|
||||
self.userid = ""
|
||||
self.password = ""
|
||||
self.client_id = ""
|
||||
self.server_ip = ""
|
||||
self.server_port = ""
|
||||
|
||||
self.api = None
|
||||
self.session_id = 0
|
||||
|
||||
self.reqid = 0
|
||||
self.orderid = 0
|
||||
|
||||
def connect(
|
||||
self,
|
||||
ticker_info: XTPTickerPriceInfo,
|
||||
error_info: XTPRspInfoStruct,
|
||||
is_last: bool,
|
||||
) -> Any:
|
||||
userid: str,
|
||||
password: str,
|
||||
client_id: str,
|
||||
server_ip: str,
|
||||
server_port: str
|
||||
):
|
||||
""""""
|
||||
pass
|
||||
if self.api:
|
||||
return
|
||||
|
||||
def OnSubscribeAllOptionMarketData(
|
||||
self, exchange_id: XTP_EXCHANGE_TYPE, error_info: XTPRspInfoStruct
|
||||
) -> Any:
|
||||
""""""
|
||||
pass
|
||||
self.userid = userid
|
||||
self.password = password
|
||||
self.client_id = client_id
|
||||
self.server_ip = server_ip
|
||||
self.server_port = server_port
|
||||
|
||||
def OnUnSubscribeAllOptionMarketData(
|
||||
self, exchange_id: XTP_EXCHANGE_TYPE, error_info: XTPRspInfoStruct
|
||||
) -> Any:
|
||||
""""""
|
||||
pass
|
||||
# Create API object
|
||||
path = str(get_folder_path(self.gateway_name.lower()))
|
||||
|
||||
def OnSubscribeAllOptionOrderBook(
|
||||
self, exchange_id: XTP_EXCHANGE_TYPE, error_info: XTPRspInfoStruct
|
||||
) -> Any:
|
||||
""""""
|
||||
pass
|
||||
self.api = API.TraderApi.CreateTraderApi(
|
||||
self.client_id,
|
||||
path,
|
||||
XTP_LOG_LEVEL.XTP_LOG_LEVEL_TRACE
|
||||
)
|
||||
|
||||
def OnUnSubscribeAllOptionOrderBook(
|
||||
self, exchange_id: XTP_EXCHANGE_TYPE, error_info: XTPRspInfoStruct
|
||||
) -> Any:
|
||||
""""""
|
||||
pass
|
||||
self.api.RegisterSpi(self)
|
||||
self.api.SubscribePublicTopic(XTP_TERT_RESTART)
|
||||
|
||||
def OnSubscribeAllOptionTickByTick(
|
||||
self, exchange_id: XTP_EXCHANGE_TYPE, error_info: XTPRspInfoStruct
|
||||
) -> Any:
|
||||
""""""
|
||||
pass
|
||||
self.gateway.write_log("交易接口初始化成功")
|
||||
|
||||
def OnUnSubscribeAllOptionTickByTick(
|
||||
self, exchange_id: XTP_EXCHANGE_TYPE, error_info: XTPRspInfoStruct
|
||||
) -> Any:
|
||||
# Login to server
|
||||
self.session_id = self.api.Login(
|
||||
self.server_ip,
|
||||
self.server_port,
|
||||
self.userid,
|
||||
self.password,
|
||||
XTP_PROTOCOL_TCP
|
||||
)
|
||||
|
||||
if self.session_id:
|
||||
msg = "交易服务器登录成功"
|
||||
else:
|
||||
reason = self.api.GetApiLastError()
|
||||
msg = f"交易服务器登录失败，原因：{reason}"
|
||||
|
||||
self.gateway.write_log(msg)
|
||||
|
||||
def close(self):
|
||||
""""""
|
||||
pass
|
||||
if self.api:
|
||||
self.api.RegisterSpi(None)
|
||||
self.api.Release()
|
||||
|
||||
def send_order(self, req: OrderRequest) -> str:
|
||||
""""""
|
||||
self.orderid += 1
|
||||
|
||||
xtp_req = XTPOrderInsertInfo()
|
||||
xtp_req.ticker = req.symbol
|
||||
xtp_req.market = EXCHANGE_XTP2VT[req.exchange]
|
||||
xtp_req.price = req.price
|
||||
xtp_req.quantity = req.volume
|
||||
xtp_req.order_client_id = self.client_id
|
||||
xtp_req.order_xtp_id = self.orderid
|
||||
xtp_req.side = DIRECTION_XTP2VT.get(req.direction, "")
|
||||
xtp_req.price_type = ORDERTYPE_XTP2VT.get(req.type, "")
|
||||
xtp_req.business_type = XTP_BUSINESS_TYPE_CASH
|
||||
|
||||
self.api.InsertOrder(xtp_req, self.session_id)
|
||||
|
||||
order = req.create_order_data(str(self.orderid))
|
||||
self.gateway.on_order(order)
|
||||
|
||||
return order.vt_orderid
|
||||
|
||||
def cancel_order(self, req: CancelRequest):
|
||||
""""""
|
||||
self.api.CancelOrder(req.orderid, self.session_id)
|
||||
|
||||
def query_account(self):
|
||||
""""""
|
||||
self.reqid += 1
|
||||
self.api.QueryAsset(self.session_id, self.reqid)
|
||||
|
||||
def query_position(self):
|
||||
""""""
|
||||
self.reqid += 1
|
||||
self.api.QueryPosition("", self.session_id, self.reqid)
|
||||
|
||||
def query_order(self):
|
||||
""""""
|
||||
self.reqid += 1
|
||||
self.api.QueryOrders(XTPQueryOrderReq(), self.session_id, self.reqid)
|
||||
|
||||
def query_trade(self):
|
||||
""""""
|
||||
self.reqid += 1
|
||||
self.api.QueryTrades(XTPQueryTraderReq(), self.session_id, self.reqid)
|
||||
|
||||
Loading…
Reference in New Issue
Block a user