Merge pull request #1650 from vnpy/gateway_exchange

Gateway exchange

vnpy/app/cta_strategy/converter.py

@@ -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

vnpy/gateway/bitfinex/bitfinex_gateway.py

@@ -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")

vnpy/gateway/bitmex/bitmex_gateway.py

@@ -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")

vnpy/gateway/ctp/ctp_gateway.py

@@ -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")

vnpy/gateway/femas/femas_gateway.py

@@ -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")

vnpy/gateway/futu/futu_gateway.py

@@ -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")

vnpy/gateway/huobi/huobi_gateway.py

@@ -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")

vnpy/gateway/ib/ib_gateway.py

@@ -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")

vnpy/gateway/oes/oes_gateway.py

@@ -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

vnpy/gateway/okex/okex_gateway.py

@@ -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")

vnpy/gateway/okexf/okexf_gateway.py

@@ -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")

vnpy/gateway/onetoken/onetoken_gateway.py

@@ -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")

vnpy/gateway/tiger/tiger_gateway.py

@@ -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")

vnpy/gateway/xtp/xtp_gateway.py

@@ -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")

vnpy/trader/engine.py

@@ -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.

vnpy/trader/gateway.py

@@ -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

vnpy/trader/rqdata.py

@@ -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"],

vnpy/trader/ui/widget.py

@@ -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)