From 5b7c19088257a9921a2637e727080cd4a3114710 Mon Sep 17 00:00:00 2001 From: "vn.py" Date: Fri, 26 Jan 2018 10:27:10 +0800 Subject: [PATCH] =?UTF-8?q?[Add]=E6=96=B0=E5=A2=9EfxcmGateway?= MIME-Version: 1.0 Content-Type: text/plain; charset=UTF-8 Content-Transfer-Encoding: 8bit --- examples/VnTrader/CTA_setting.json | 2 +- vnpy/api/fxcm/test.py | 11 +- vnpy/api/fxcm/vnfxcm.py | 66 ++-- .../gateway/fxcmGateway/FXCM_connect.json | 7 + vnpy/trader/gateway/fxcmGateway/__init__.py | 10 + .../trader/gateway/fxcmGateway/fxcmGateway.py | 290 ++++++++++++++++++ vnpy/trader/language/chinese/constant.py | 1 + vnpy/trader/language/english/constant.py | 1 + 8 files changed, 354 insertions(+), 34 deletions(-) create mode 100644 vnpy/trader/gateway/fxcmGateway/FXCM_connect.json create mode 100644 vnpy/trader/gateway/fxcmGateway/__init__.py create mode 100644 vnpy/trader/gateway/fxcmGateway/fxcmGateway.py diff --git a/examples/VnTrader/CTA_setting.json b/examples/VnTrader/CTA_setting.json index a3f3de1f..c1d08f4a 100644 --- a/examples/VnTrader/CTA_setting.json +++ b/examples/VnTrader/CTA_setting.json @@ -2,7 +2,7 @@ { "name": "double ema", "className": "DoubleMaStrategy", - "vtSymbol": "IF1802" + "vtSymbol": "rb1805" }, { diff --git a/vnpy/api/fxcm/test.py b/vnpy/api/fxcm/test.py index 595cd78d..953acac3 100644 --- a/vnpy/api/fxcm/test.py +++ b/vnpy/api/fxcm/test.py @@ -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') diff --git a/vnpy/api/fxcm/vnfxcm.py b/vnpy/api/fxcm/vnfxcm.py index a96b601a..f668611f 100644 --- a/vnpy/api/fxcm/vnfxcm.py +++ b/vnpy/api/fxcm/vnfxcm.py @@ -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 diff --git a/vnpy/trader/gateway/fxcmGateway/FXCM_connect.json b/vnpy/trader/gateway/fxcmGateway/FXCM_connect.json new file mode 100644 index 00000000..7e4e1561 --- /dev/null +++ b/vnpy/trader/gateway/fxcmGateway/FXCM_connect.json @@ -0,0 +1,7 @@ +{ + "account": "70934551", + "url": "https://api-demo.fxcm.com:443", + "port": 443, + "token": "48055b5d9afac0a300143ac067ce04cd2430a434", + "proxy": "https://localhost:1080" +} diff --git a/vnpy/trader/gateway/fxcmGateway/__init__.py b/vnpy/trader/gateway/fxcmGateway/__init__.py new file mode 100644 index 00000000..26e36c12 --- /dev/null +++ b/vnpy/trader/gateway/fxcmGateway/__init__.py @@ -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 diff --git a/vnpy/trader/gateway/fxcmGateway/fxcmGateway.py b/vnpy/trader/gateway/fxcmGateway/fxcmGateway.py new file mode 100644 index 00000000..a39542b2 --- /dev/null +++ b/vnpy/trader/gateway/fxcmGateway/fxcmGateway.py @@ -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] \ No newline at end of file diff --git a/vnpy/trader/language/chinese/constant.py b/vnpy/trader/language/chinese/constant.py index b4788d46..ef49b3dd 100644 --- a/vnpy/trader/language/chinese/constant.py +++ b/vnpy/trader/language/chinese/constant.py @@ -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 diff --git a/vnpy/trader/language/english/constant.py b/vnpy/trader/language/english/constant.py index 96d9131a..276cabee 100644 --- a/vnpy/trader/language/english/constant.py +++ b/vnpy/trader/language/english/constant.py @@ -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