[Mod]修改futuGateway的部分实现
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vn.py
parent
8b84365bba
commit
49a1dfdff1
@ -8,7 +8,7 @@ import json
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from collections import OrderedDict
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from threading import Thread
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from time import sleep
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import traceback
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from datetime import datetime
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import futuquant as ft
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from futuquant.open_context import (RET_ERROR, RET_OK,
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@ -20,6 +20,8 @@ from vnpy.trader.vtGateway import *
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from vnpy.trader.vtConstant import GATEWAYTYPE_INTERNATIONAL
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from vnpy.trader.vtFunction import getJsonPath
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# 常量数据映射
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productMap = OrderedDict()
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productMap[PRODUCT_EQUITY] = 'STOCK'
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productMap[PRODUCT_INDEX] = 'IDX'
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@ -100,6 +102,9 @@ class FutuGateway(VtGateway):
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#----------------------------------------------------------------------
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def qryData(self):
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"""初始化时查询数据"""
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# 等待2秒保证行情和交易接口启动完成
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sleep(2.0)
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# 查询合约、成交、委托、持仓、账户
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self.qryContract()
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self.qryTrade()
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@ -121,10 +126,7 @@ class FutuGateway(VtGateway):
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gateway = self # 缓存Gateway对象
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def on_recv_rsp(self, rsp_str):
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try:
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ret_code, content = super(QuoteHandler, self).on_recv_rsp(rsp_str)
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except:
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traceback.print_exc()
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ret_code, content = super(QuoteHandler, self).on_recv_rsp(rsp_str)
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if ret_code != RET_OK:
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return RET_ERROR, content
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self.gateway.processQuote(content)
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@ -135,10 +137,7 @@ class FutuGateway(VtGateway):
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gateway = self
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def on_recv_rsp(self, rsp_str):
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try:
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ret_code, content = super(OrderBookHandler, self).on_recv_rsp(rsp_str)
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except:
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traceback.print_exc()
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ret_code, content = super(OrderBookHandler, self).on_recv_rsp(rsp_str)
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if ret_code != RET_OK:
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return RET_ERROR, content
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self.gateway.processOrderBook(content)
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@ -216,7 +215,6 @@ class FutuGateway(VtGateway):
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#----------------------------------------------------------------------
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def subscribe(self, subscribeReq):
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"""订阅行情"""
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return
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for data_type in ['QUOTE', 'ORDER_BOOK']:
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code, data = self.quoteCtx.subscribe(subscribeReq.symbol, data_type, True)
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@ -401,40 +399,9 @@ class FutuGateway(VtGateway):
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#----------------------------------------------------------------------
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def processQuote(self, data):
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"""报价推送"""
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try:
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for ix, row in data.iterrows():
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symbol = row['code']
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tick = self.tickDict.get(symbol, None)
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if not tick:
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tick = VtTickData()
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tick.symbol = symbol
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tick.vtSymbol = tick.symbol
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tick.gatewayName = self.gatewayName
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self.tickDict[symbol] = tick
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tick.date = row['data_date']
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tick.time = row['data_time']
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tick.datetime = None
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tick.openPrice = row['open_price']
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tick.highPrice = row['high_price']
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tick.lowPrice = row['low_price']
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tick.preClosePrice = row['prev_close_price']
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tick.lastPrice = row['last_price']
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tick.volume = row['volume']
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self.onTick(tick)
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except:
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traceback.print_exc()
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for ix, row in data.iterrows():
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symbol = row['code']
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#----------------------------------------------------------------------
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def processOrderBook(self, data):
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"""订单簿推送"""
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try:
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symbol = data['stock_code']
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tick = self.tickDict.get(symbol, None)
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if not tick:
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tick = VtTickData()
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@ -442,21 +409,45 @@ class FutuGateway(VtGateway):
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tick.vtSymbol = tick.symbol
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tick.gatewayName = self.gatewayName
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self.tickDict[symbol] = tick
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tick.date = row['data_date']
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tick.time = row['data_time']
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tick.openPrice = row['open_price']
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tick.highPrice = row['high_price']
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tick.lowPrice = row['low_price']
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tick.preClosePrice = row['prev_close_price']
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tick.lastPrice = row['last_price']
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tick.volume = row['volume']
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d = tick.__dict__
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for i in range(5):
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bidData = data['Bid'][i]
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askData = data['Ask'][i]
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n = i + 1
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d['bidPrice%s' %n] = bidData[0]
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d['bidVolume%s' %n] = bidData[1]
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d['askPrice%s' %n] = askData[0]
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d['askVolume%s' %n] = askData[1]
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self.onTick(tick)
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except:
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traceback.print_exc()
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#----------------------------------------------------------------------
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def processOrderBook(self, data):
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"""订单簿推送"""
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symbol = data['stock_code']
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tick = self.tickDict.get(symbol, None)
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if not tick:
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tick = VtTickData()
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tick.symbol = symbol
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tick.vtSymbol = tick.symbol
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tick.gatewayName = self.gatewayName
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self.tickDict[symbol] = tick
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d = tick.__dict__
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for i in range(5):
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bidData = data['Bid'][i]
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askData = data['Ask'][i]
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n = i + 1
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d['bidPrice%s' %n] = bidData[0]
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d['bidVolume%s' %n] = bidData[1]
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d['askPrice%s' %n] = askData[0]
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d['askVolume%s' %n] = askData[1]
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self.onTick(tick)
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#----------------------------------------------------------------------
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def processOrder(self, data):
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@ -474,7 +465,10 @@ class FutuGateway(VtGateway):
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order.price = float(row['price'])
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order.totalVolume = int(row['qty'])
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order.tradedVolume = int(row['dealt_qty'])
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order.orderTime = row['submited_time']
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t = datetime.fromtimestamp(float(row['submited_time']))
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order.orderTime = t.strftime('%H:%M:%S')
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order.status = statusMapReverse.get(str(row['status']), STATUS_UNKNOWN)
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order.direction = directionMapReverse[str(row['order_side'])]
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self.onOrder(order)
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@ -498,8 +492,8 @@ class FutuGateway(VtGateway):
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trade.price = float(row['price'])
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trade.volume = float(row['qty'])
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trade.direction = directionMapReverse[str(row['order_side'])]
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trade.tradeTime = row['time']
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self.onTrade(trade)
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t = datetime.fromtimestamp(float(row['time']))
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trade.tradeTime = t.strftime('%H:%M:%S')
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self.onTrade(trade)
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