senset/vnpy
1
0
Fork 0
Code Issues Pull Requests Packages Projects Releases Wiki Activity

[Add] query history order and trade data

Browse Source
This commit is contained in:
vn.py 2019-05-10 14:06:27 +08:00
parent 6a64313fbf
commit 3b279c68eb
1 changed files with 104 additions and 11 deletions
Show Stats Download Patch File Download Diff File Expand all files Collapse all files

115
vnpy/gateway/hbdm/hbdm_gateway.py
View File

@ -57,7 +57,8 @@ ORDERTYPE_VT2HBDM = {
OrderType.LIMIT: "limit",
}
ORDERTYPE_HBDM2VT = {v: k for k, v in ORDERTYPE_VT2HBDM.items()}
ORDERTYPE_HBDM2VT[1] = OrderType.LIMIT
ORDERTYPE_HBDM2VT[3] = OrderType.MARKET
DIRECTION_VT2HBDM = {
Direction.LONG: "buy",
@ -174,7 +175,7 @@ class HbdmRestApi(RestClient):
self.gateway = gateway
self.gateway_name = gateway.gateway_name
self.host = ""
self.key = ""
self.secret = ""
@ -254,12 +255,47 @@ class HbdmRestApi(RestClient):
def query_order(self):
""""""
for currency in self.currencies:
# Open Orders
data = {"symbol": currency}
self.add_request(
method="POST",
path="/api/v1/contract_openorders",
callback=self.on_query_order,
callback=self.on_query_active_order,
data=data,
extra=currency
)
# History Orders
data = {
"symbol": currency,
"trade_type": 0,
"type": 2,
"status": 0,
"create_date": 7
}
self.add_request(
method="POST",
path="/api/v1/contract_hisorders",
callback=self.on_query_history_order,
data=data,
extra=currency
)
def query_trade(self):
""""""
for currency in self.currencies:
data = {
"symbol": currency,
"trade_type": 0,
"create_date": 7
}
self.add_request(
method="POST",
path="/api/v1/contract_matchresults",
callback=self.on_query_trade,
data=data,
extra=currency
)
@ -271,7 +307,7 @@ class HbdmRestApi(RestClient):
path="/api/v1/contract_contract_info",
callback=self.on_query_contract
)
def new_local_orderid(self):
""""""
with self.order_count_lock:
@ -320,7 +356,7 @@ class HbdmRestApi(RestClient):
for req in reqs:
local_orderid = self.new_local_orderid()
order = req.create_order_data(
local_orderid,
self.gateway_name
@ -412,7 +448,7 @@ class HbdmRestApi(RestClient):
for d in data["data"]:
key = f"{d['contract_code']}_{d['direction']}"
position = self.positions.get(key, None)
if not position:
position = PositionData(
symbol=d["contract_code"],
@ -426,17 +462,18 @@ class HbdmRestApi(RestClient):
position.frozen = d["frozen"]
position.price = d["cost_hold"]
position.pnl = d["profit"]
for position in self.positions.values():
self.gateway.on_position(position)
def on_query_order(self, data, request):
def on_query_active_order(self, data, request):
""""""
if self.check_error(data, "查询委托"):
if self.check_error(data, "查询活动委托"):
return
for d in data["data"]["orders"]:
dt = datetime.fromtimestamp(d["created_at"] / 1000)
timestamp = d["created_at"]
dt = datetime.fromtimestamp(timestamp / 1000)
time = dt.strftime("%H:%M:%S")
if d["client_order_id"]:
@ -460,7 +497,62 @@ class HbdmRestApi(RestClient):
)
self.gateway.on_order(order)
self.gateway.write_log(f"{request.extra}委托信息查询成功")
self.gateway.write_log(f"{request.extra}活动委托信息查询成功")
def on_query_history_order(self, data, request):
""""""
if self.check_error(data, "查询历史委托"):
return
for d in data["data"]["orders"]:
timestamp = d["create_date"]
dt = datetime.fromtimestamp(timestamp / 1000)
time = dt.strftime("%H:%M:%S")
orderid = d["order_id"]
order = OrderData(
orderid=orderid,
symbol=d["contract_code"],
exchange=Exchange.HUOBI,
price=d["price"],
volume=d["volume"],
type=ORDERTYPE_HBDM2VT[d["order_price_type"]],
direction=DIRECTION_HBDM2VT[d["direction"]],
offset=OFFSET_HBDM2VT[d["offset"]],
traded=d["trade_volume"],
status=STATUS_HBDM2VT[d["status"]],
time=time,
gateway_name=self.gateway_name,
)
self.gateway.on_order(order)
self.gateway.write_log(f"{request.extra}历史委托信息查询成功")
def on_query_trade(self, data, request):
""""""
if self.check_error(data, "查询成交"):
return
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"],
symbol=d["contract_code"],
exchange=Exchange.HUOBI,
price=d["trade_price"],
volume=d["trade_volume"],
direction=DIRECTION_HBDM2VT[d["direction"]],
offset=OFFSET_HBDM2VT[d["offset"]],
time=time,
gateway_name=self.gateway_name,
)
self.gateway.on_trade(trade)
self.gateway.write_log(f"{request.extra}成交信息查询成功")
def on_query_contract(self, data, request): # type: (dict, Request)->None
""""""
@ -487,6 +579,7 @@ class HbdmRestApi(RestClient):
self.gateway.write_log("合约信息查询成功")
self.query_order()
self.query_trade()
def on_send_order(self, data, request):
""""""