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[Add]新增fxcmGateway

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This commit is contained in:
vn.py 2018-01-26 10:27:10 +08:00
parent a44decddbd
commit 5b7c190882
8 changed files with 354 additions and 34 deletions
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2
examples/VnTrader/CTA_setting.json
View File

@ -2,7 +2,7 @@
{
"name": "double ema",
"className": "DoubleMaStrategy",
"vtSymbol": "IF1802"
"vtSymbol": "rb1805"
},
{

11
vnpy/api/fxcm/test.py
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@ -1,5 +1,7 @@
# encoding: UTF-8
from time import sleep
from vnfxcm import FxcmApi
url = 'https://api-demo.fxcm.com:443'
@ -13,11 +15,12 @@ print 'api created'
api.connect(url, port, token, proxy)
print api.bearer
#api.getInstruments()
sleep(20)
api.getInstruments()
api.subscribe('EUR/USD')
api.subscribe('USD/JPY')
api.subscribe('GBP/USD')
#api.subscribe('EUR/USD')
#api.subscribe('USD/JPY')
#api.subscribe('GBP/USD')
#api.getModel('Summary')
#api.subscribeModel('Summary')

66
vnpy/api/fxcm/vnfxcm.py
View File

@ -38,7 +38,8 @@ class FxcmApi(object):
self.queue = Queue()
self.reqid = 0
self.active = False
self.reqThread = Thread(target=self.run)
self.reqThread = None
self.sioThread = None
#----------------------------------------------------------------------
def connect(self, url, port, token, proxy=''):
@ -48,24 +49,23 @@ class FxcmApi(object):
self.token = token
self.proxy = proxy
self.initSocketIO()
self.generateBearer()
self.generateHeaders()
self.active = True
self.reqThread = Thread(target=self.runReq)
self.reqThread.start()
self.sioThread = Thread(target=self.sio.wait)
self.sioThread = Thread(target=self.runSio)
self.sioThread.start()
#----------------------------------------------------------------------
def stop(self):
"""停止"""
self.active = False
self.reqThread.join()
self.sio._close()
self.sioThread.join()
if self.active:
self.active = False
self.reqThread.join()
self.sio._close()
self.sioThread.join()
#----------------------------------------------------------------------
def initSocketIO(self):
@ -100,14 +100,22 @@ class FxcmApi(object):
}
#----------------------------------------------------------------------
def run(self):
"""连续运行"""
def runReq(self):
"""处理主动请求"""
while self.active:
try:
d = self.queue.get(timeout=1)
self.processReq(d)
except Empty:
pass
#----------------------------------------------------------------------
def runSio(self):
"""处理回调数据"""
self.initSocketIO()
self.generateBearer()
self.generateHeaders()
self.sio.wait()
#----------------------------------------------------------------------
def sendReq(self, method, uri, params, callback):
@ -155,21 +163,6 @@ class FxcmApi(object):
else:
self.onError(u'HTTP请求失败，错误代码%s' %resp.status_code)
#----------------------------------------------------------------------
def onConnect(self):
"""连接回调"""
print 'onConnect'
#----------------------------------------------------------------------
def onDisconnect(self):
"""断开回调"""
print 'onClose'
#----------------------------------------------------------------------
def onError(self, error, reqid):
"""错误回调"""
print 'onError', error
#----------------------------------------------------------------------
def getInstruments(self):
"""查询合约代码"""
@ -292,6 +285,21 @@ class FxcmApi(object):
reqid = self.sendReq(self.METHOD_POST, uri, params, self.onDeleteOrder)
return reqid
#----------------------------------------------------------------------
def onConnect(self):
"""连接回调"""
print 'onConnect'
#----------------------------------------------------------------------
def onDisconnect(self):
"""断开回调"""
print 'onClose'
#----------------------------------------------------------------------
def onError(self, error, reqid):
"""错误回调"""
print 'onError', error
#----------------------------------------------------------------------
def onGetInstruments(self, data, reqid):
"""查询合约代码回调"""
@ -303,7 +311,7 @@ class FxcmApi(object):
print data, reqid
#----------------------------------------------------------------------
def onSubscribe(self, data, reqid):
def onSubscribe(self, data, reqid):
"""订阅行情回调"""
print data, reqid

7
vnpy/trader/gateway/fxcmGateway/FXCM_connect.json Normal file
View File

@ -0,0 +1,7 @@
{
"account": "70934551",
"url": "https://api-demo.fxcm.com:443",
"port": 443,
"token": "48055b5d9afac0a300143ac067ce04cd2430a434",
"proxy": "https://localhost:1080"
}

10
vnpy/trader/gateway/fxcmGateway/__init__.py Normal file
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@ -0,0 +1,10 @@
# encoding: UTF-8
from vnpy.trader import vtConstant
from fxcmGateway import FxcmGateway
gatewayClass = FxcmGateway
gatewayName = 'FXCM'
gatewayDisplayName = u'福汇'
gatewayType = vtConstant.GATEWAYTYPE_INTERNATIONAL
gatewayQryEnabled = False

290
vnpy/trader/gateway/fxcmGateway/fxcmGateway.py Normal file
View File

@ -0,0 +1,290 @@
# encoding: UTF-8
import os
import json
from datetime import datetime
from vnpy.api.fxcm import FxcmApi
from vnpy.trader.vtGateway import *
from vnpy.trader.vtConstant import *
from vnpy.trader.vtFunction import getJsonPath
# 价格类型映射
priceTypeMap = {}
priceTypeMap[PRICETYPE_LIMITPRICE] = 'limit'
priceTypeMap[PRICETYPE_MARKETPRICE] = 'market'
priceTypeMapReverse = {v: k for k, v in priceTypeMap.items()}
# 方向类型映射
directionMap = {}
directionMap[DIRECTION_LONG] = 'buy'
directionMap[DIRECTION_SHORT] = 'sell'
directionMapReverse = {v: k for k, v in directionMap.items()}
########################################################################
class FxcmGateway(VtGateway):
"""FXCM接口"""
#----------------------------------------------------------------------
def __init__(self, eventEngine, gatewayName='FXCM'):
"""Constructor"""
super(FxcmGateway, self).__init__(eventEngine, gatewayName)
self.api = Api(self)
self.qryEnabled = False # 是否要启动循环查询
self.fileName = self.gatewayName + '_connect.json'
self.filePath = getJsonPath(self.fileName, __file__)
#----------------------------------------------------------------------
def connect(self):
"""连接"""
# 载入json文件
try:
f = file(self.filePath)
except IOError:
log = VtLogData()
log.gatewayName = self.gatewayName
log.logContent = u'读取连接配置出错，请检查'
self.onLog(log)
return
# 解析json文件
setting = json.load(f)
try:
account = str(setting['account'])
port = int(setting['port'])
url = str(setting['url'])
token = str(setting['token'])
proxy = str(setting['proxy'])
except KeyError:
log = VtLogData()
log.gatewayName = self.gatewayName
log.logContent = u'连接配置缺少字段，请检查'
self.onLog(log)
return
# 初始化接口
self.api.init(account, url, port, token, proxy)
#----------------------------------------------------------------------
def subscribe(self, subscribeReq):
"""订阅行情"""
self.api.subscribe(subscribeReq.symbol)
#----------------------------------------------------------------------
def sendOrder(self, orderReq):
"""发单"""
return self.api.sendOrder(orderReq)
#----------------------------------------------------------------------
def cancelOrder(self, cancelOrderReq):
"""撤单"""
self.api.cancelOrder(cancelOrderReq)
#----------------------------------------------------------------------
def qryAccount(self):
"""查询账户资金"""
pass
#----------------------------------------------------------------------
def qryPosition(self):
"""查询持仓"""
pass
#----------------------------------------------------------------------
def close(self):
"""关闭"""
self.api.stop()
#----------------------------------------------------------------------
def initQuery(self):
"""初始化连续查询"""
pass
#----------------------------------------------------------------------
def query(self, event):
"""注册到事件处理引擎上的查询函数"""
pass
#----------------------------------------------------------------------
def startQuery(self):
"""启动连续查询"""
pass
#----------------------------------------------------------------------
def setQryEnabled(self, qryEnabled):
"""设置是否要启动循环查询"""
pass
########################################################################
class Api(FxcmApi):
"""FXCM的API实现"""
#----------------------------------------------------------------------
def __init__(self, gateway):
"""Constructor"""
super(Api, self).__init__()
self.gateway = gateway # gateway对象
self.gatewayName = gateway.gatewayName # gateway对象名称
self.accout = ''
self.orderDict = {} # 缓存委托数据
#----------------------------------------------------------------------
def onConnect(self):
"""连接回调"""
self.writeLog(u'服务器连接成功')
#----------------------------------------------------------------------
def onDisconnect(self):
"""断开回调"""
self.writeLog(u'服务器连接断开')
#----------------------------------------------------------------------
def onError(self, error, reqid):
"""错误回调"""
err = VtErrorData()
err.gatewayName = self.gatewayNames
err.errorID = 0
err.errorTime = datetime.now().strftime('%H:%M:%S')
err.errorMsg = error
self.gateway.onError(err)
#----------------------------------------------------------------------
def onGetInstruments(self, data, reqid):
"""查询合约代码回调"""
for d in data['data']['instrument']:
contract = VtContractData()
contract.gatewayName = self.gatewayName
contract.symbol = d['symbol']
contract.exchange = EXCHANGE_FXCM
contract.vtSymbol = '.'.join([contract.symbol, contract.exchange])
contract.name = contract.symbol
contract.productClass = PRODUCT_FOREX
contract.priceTick = 0.0001
contract.size = data['order']
self.gateway.onContract(contract)
#----------------------------------------------------------------------
def onGetTable(self, data, reqid):
"""查询表回调"""
print data, reqid
#----------------------------------------------------------------------
def onSubscribe(self, data, reqid):
"""订阅行情回调"""
symbol = data['pairs']['symbol']
self.writeLog(u'%s行情订阅成功' %symbol)
#----------------------------------------------------------------------
def onUnsubscribe(self, data, reqid):
"""退订行情回调"""
pass
#----------------------------------------------------------------------
def onSubscribeModel(self, data, reqid):
"""订阅表回调"""
pass
#----------------------------------------------------------------------
def onUnsubscribeModel(self, data, reqid):
"""退订表回调"""
pass
#----------------------------------------------------------------------
def onOpenTrade(self, data, reqid):
"""开仓回调"""
print data, reqid
#----------------------------------------------------------------------
def onCloseTrade(self, data, reqid):
"""平仓回调"""
print data, reqid
#----------------------------------------------------------------------
def onChangeOrder(self, data, reqid):
"""改单回调"""
print data, reqid
#----------------------------------------------------------------------
def onDeleteOrder(self, data, reqid):
"""撤单回调"""
print data, reqid
#----------------------------------------------------------------------
def onPriceUpdate(self, data):
"""行情推送"""
print data
#----------------------------------------------------------------------
def onModelUpdate(self, data):
"""表推送"""
print data
#----------------------------------------------------------------------
def init(self, account, url, port, token, proxy):
"""初始化"""
self.account = account
self.connect(url, port, token, proxy)
#----------------------------------------------------------------------
def writeLog(self, logContent):
"""发出日志"""
log = VtLogData()
log.gatewayName = self.gatewayName
log.logContent = logContent
self.gateway.onLog(log)
#----------------------------------------------------------------------
def qryInstruments(self):
"""查询合约"""
pass
#----------------------------------------------------------------------
def qryOrders(self):
"""查询委托"""
pass
#----------------------------------------------------------------------
def qryTrades(self):
"""查询成交"""
pass
#----------------------------------------------------------------------
def sendOrder_(self, orderReq):
"""发送委托"""
accountID = self.account
symbol = orderReq.symbol
if orderReq.direction == DIRECTION_LONG:
isBuy = True
else:
isBuy = False
amount = orderReq.volume
rate = orderReq.price
self.openTrade(accountID, symbol, isBuy, amount, limit, isInPips,
atMarket, orderType, timeInForce)
#----------------------------------------------------------------------
def cancelOrder(self, cancelOrderReq):
"""撤销委托"""
pass
#----------------------------------------------------------------------
def getTime(t):
"""把OANDA返回的时间格式转化为简单的时间字符串"""
return t[11:19]

1
vnpy/trader/language/chinese/constant.py
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@ -81,6 +81,7 @@ EXCHANGE_ICE = 'ICE' # ICE交易所
EXCHANGE_LME = 'LME' # LME交易所
EXCHANGE_OANDA = 'OANDA' # OANDA外汇做市商
EXCHANGE_FXCM = 'FXCM' # FXCM外汇做市商
EXCHANGE_OKCOIN = 'OKCOIN' # OKCOIN比特币交易所
EXCHANGE_HUOBI = 'HUOBI' # 火币比特币交易所

1
vnpy/trader/language/english/constant.py
View File

@ -77,6 +77,7 @@ EXCHANGE_ICE = 'ICE' # ICE交易所
EXCHANGE_LME = 'LME' # LME交易所
EXCHANGE_OANDA = 'OANDA' # OANDA外汇做市商
EXCHANGE_FXCM = 'FXCM' # FXCM外汇做市商
EXCHANGE_OKCOIN = 'OKCOIN' # OKCOIN比特币交易所
EXCHANGE_HUOBI = 'HUOBI' # 火币比特币交易所