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Merge pull request #1650 from vnpy/gateway_exchange

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Gateway exchange
This commit is contained in:
vn.py 2019-04-30 14:31:37 +08:00 committed by GitHub
commit 4ec6ca2af7
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18 changed files with 70 additions and 15 deletions
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2
vnpy/app/cta_strategy/converter.py
View File

@ -219,7 +219,7 @@ class PositionHolding:
elif order.offset == Offset.CLOSE:
self.long_td_frozen += frozen
if self.long_td_frozen > self.short_td:
if self.long_td_frozen > self.long_td:
self.long_yd_frozen += (self.long_td_frozen
- self.long_td)
self.long_td_frozen = self.long_td

2
vnpy/gateway/bitfinex/bitfinex_gateway.py
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@ -72,6 +72,8 @@ class BitfinexGateway(BaseGateway):
"proxy_port": 1080,
}
exchanges = [Exchange.BITFINEX]
def __init__(self, event_engine):
"""Constructor"""
super(BitfinexGateway, self).__init__(event_engine, "BITFINEX")

2
vnpy/gateway/bitmex/bitmex_gateway.py
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@ -75,6 +75,8 @@ class BitmexGateway(BaseGateway):
"代理端口": "",
}
exchanges = [Exchange.BITMEX]
def __init__(self, event_engine):
"""Constructor"""
super(BitmexGateway, self).__init__(event_engine, "BITMEX")

2
vnpy/gateway/ctp/ctp_gateway.py
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@ -134,6 +134,8 @@ class CtpGateway(BaseGateway):
"授权编码": ""
}
exchanges = list(EXCHANGE_CTP2VT.values())
def __init__(self, event_engine):
"""Constructor"""
super(CtpGateway, self).__init__(event_engine, "CTP")

8
vnpy/gateway/femas/femas_gateway.py
View File

@ -87,12 +87,6 @@ OFFSET_VT2FEMAS = {
}
OFFSET_FEMAS2VT = {v: k for k, v in OFFSET_VT2FEMAS.items()}
# PRODUCT_CTP2VT = {
# THOST_FTDC_PC_Futures: Product.FUTURES,
# THOST_FTDC_PC_Options: Product.OPTION,
# THOST_FTDC_PC_Combination: Product.SPREAD
# }
DIRECTION_FEMAS2VT = {v: k for k, v in DIRECTION_VT2FEMAS.items()}
DIRECTION_FEMAS2VT[USTP_FTDC_PD_Long] = Direction.LONG
DIRECTION_FEMAS2VT[USTP_FTDC_PD_Short] = Direction.SHORT
@ -128,6 +122,8 @@ class FemasGateway(BaseGateway):
"md_address": "",
}
exchanges = list(EXCHANGE_FEMAS2VT.values())
def __init__(self, event_engine):
"""Constructor"""
super(FemasGateway, self).__init__(event_engine, "FEMAS")

2
vnpy/gateway/futu/futu_gateway.py
View File

@ -86,6 +86,8 @@ class FutuGateway(BaseGateway):
"环境": [TrdEnv.REAL, TrdEnv.SIMULATE],
}
exchanges = list(EXCHANGE_FUTU2VT.values())
def __init__(self, event_engine):
"""Constructor"""
super(FutuGateway, self).__init__(event_engine, "FUTU")

2
vnpy/gateway/huobi/huobi_gateway.py
View File

@ -77,6 +77,8 @@ class HuobiGateway(BaseGateway):
"代理端口": "",
}
exchanges = [Exchange.HUOBI]
def __init__(self, event_engine):
"""Constructor"""
super(HuobiGateway, self).__init__(event_engine, "HUOBI")

2
vnpy/gateway/ib/ib_gateway.py
View File

@ -116,6 +116,8 @@ class IbGateway(BaseGateway):
"客户号": 1
}
exchanges = list(EXCHANGE_VT2IB.keys())
def __init__(self, event_engine):
""""""
super(IbGateway, self).__init__(event_engine, "IB")

13
vnpy/gateway/oes/oes_gateway.py
View File

@ -12,7 +12,7 @@ from vnpy.trader.object import (CancelRequest, OrderRequest,
SubscribeRequest)
from vnpy.trader.utility import get_file_path
from .oes_md import OesMdApi
from .oes_td import OesTdApi
from .oes_td import OesTdApi, EXCHANGE_VT2OES
from .utils import config_template
@ -39,6 +39,8 @@ class OesGateway(BaseGateway):
"hdd_serial": "",
}
exchanges = list(EXCHANGE_VT2OES.keys())
def __init__(self, event_engine):
"""Constructor"""
super().__init__(event_engine, "OES")
@ -55,7 +57,8 @@ class OesGateway(BaseGateway):
def connect(self, setting: dict):
""""""
if not setting['password'].startswith("md5:"):
setting['password'] = "md5:" + hashlib.md5(setting['password'].encode()).hexdigest()
setting['password'] = "md5:" + \
hashlib.md5(setting['password'].encode()).hexdigest()
username = setting['username']
password = setting['password']
@ -80,13 +83,15 @@ class OesGateway(BaseGateway):
self.md_api.tcp_server = setting['md_tcp_server']
self.md_api.qry_server = setting['md_qry_server']
Thread(target=self._connect_md_sync, args=(config_path, username, password)).start()
Thread(target=self._connect_md_sync, args=(
config_path, username, password)).start()
self.td_api.ord_server = setting['td_ord_server']
self.td_api.rpt_server = setting['td_rpt_server']
self.td_api.qry_server = setting['td_qry_server']
self.td_api.hdd_serial = setting['hdd_serial']
Thread(target=self._connect_td_sync, args=(config_path, username, password)).start()
Thread(target=self._connect_td_sync, args=(
config_path, username, password)).start()
def _connect_td_sync(self, config_path, username, password):
self.td_api.config_path = config_path

2
vnpy/gateway/okex/okex_gateway.py
View File

@ -78,6 +78,8 @@ class OkexGateway(BaseGateway):
"代理端口": "",
}
exchanges = [Exchange.OKEX]
def __init__(self, event_engine):
"""Constructor"""
super(OkexGateway, self).__init__(event_engine, "OKEX")

2
vnpy/gateway/okexf/okexf_gateway.py
View File

@ -81,6 +81,8 @@ class OkexfGateway(BaseGateway):
"代理端口": "",
}
exchanges = [Exchange.OKEX]
def __init__(self, event_engine):
"""Constructor"""
super(OkexfGateway, self).__init__(event_engine, "OKEXF")

2
vnpy/gateway/onetoken/onetoken_gateway.py
View File

@ -71,6 +71,8 @@ class OnetokenGateway(BaseGateway):
"代理端口": 1080,
}
exchanges = list(EXCHANGE_VT2ONETOKEN.keys())
def __init__(self, event_engine):
"""Constructor"""
super(OnetokenGateway, self).__init__(event_engine, "1TOKEN")

7
vnpy/gateway/tiger/tiger_gateway.py
View File

@ -96,6 +96,13 @@ class TigerGateway(BaseGateway):
"private_key": '',
}
exchanges = [
Exchange.SEHK,
Exchange.SMART,
Exchange.SSE,
Exchange.SZSE
]
def __init__(self, event_engine):
"""Constructor"""
super(TigerGateway, self).__init__(event_engine, "TIGER")

2
vnpy/gateway/xtp/xtp_gateway.py
View File

@ -111,6 +111,8 @@ class XtpGateway(BaseGateway):
"授权码": ""
}
exchanges = list(EXCHANGE_VT2XTP.keys())
def __init__(self, event_engine: EventEngine):
""""""
super().__init__(event_engine, "XTP")

13
vnpy/trader/engine.py
View File

@ -43,6 +43,7 @@ class MainEngine:
self.gateways = {}
self.engines = {}
self.apps = {}
self.exchanges = []
self.init_engines()
@ -60,6 +61,12 @@ class MainEngine:
"""
gateway = gateway_class(self.event_engine)
self.gateways[gateway.gateway_name] = gateway
# Add gateway supported exchanges into engine
for exchange in gateway.exchanges:
if exchange not in self.exchanges:
self.exchanges.append(exchange)
return gateway
def add_app(self, app_class: BaseApp):
@ -127,6 +134,12 @@ class MainEngine:
"""
return list(self.apps.values())
def get_all_exchanges(self):
"""
Get all exchanges.
"""
return self.exchanges
def connect(self, setting: dict, gateway_name: str):
"""
Start connection of a specific gateway.

3
vnpy/trader/gateway.py
View File

@ -72,6 +72,9 @@ class BaseGateway(ABC):
# Fields required in setting dict for connect function.
default_setting = {}
# Exchanges supported in the gateway.
exchanges = []
def __init__(self, event_engine: EventEngine, gateway_name: str):
""""""
self.event_engine = event_engine

16
vnpy/trader/rqdata.py
View File

@ -12,10 +12,16 @@ from .object import BarData
INTERVAL_VT2RQ = {
Interval.MINUTE: "1m",
Interval.HOUR: "1h",
Interval.HOUR: "60m",
Interval.DAILY: "1d",
}
INTERVAL_ADJUSTMENT_MAP = {
Interval.MINUTE: timedelta(minutes=1),
Interval.HOUR: timedelta(hours=1),
Interval.DAILY: timedelta() # no need to adjust for daily bar
}
class RqdataClient:
"""
@ -102,7 +108,11 @@ class RqdataClient:
if not rq_interval:
return None
end += timedelta(1) # For querying night trading period data
# For adjust timestamp from bar close point (RQData) to open point (VN Trader)
adjustment = INTERVAL_ADJUSTMENT_MAP[interval]
# For querying night trading period data
end += timedelta(1)
df = rqdata_get_price(
rq_symbol,
@ -118,7 +128,7 @@ class RqdataClient:
symbol=symbol,
exchange=exchange,
interval=interval,
datetime=row.name.to_pydatetime(),
datetime=row.name.to_pydatetime() - adjustment,
open_price=row["open"],
high_price=row["high"],
low_price=row["low"],

3
vnpy/trader/ui/widget.py
View File

@ -582,8 +582,9 @@ class TradingWidget(QtWidgets.QWidget):
self.setFixedWidth(300)
# Trading function area
exchanges = self.main_engine.get_all_exchanges()
self.exchange_combo = QtWidgets.QComboBox()
self.exchange_combo.addItems([exchange.value for exchange in Exchange])
self.exchange_combo.addItems([exchange.value for exchange in exchanges])
self.symbol_line = QtWidgets.QLineEdit()
self.symbol_line.returnPressed.connect(self.set_vt_symbol)