Update tiger_gateway.py
This commit is contained in:
1122455801
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30a65dfd43
commit
63d88de2b3
@ -54,9 +54,9 @@ DIRECTION_VT2TIGER = {
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}
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DIRECTION_TIGER2VT = {
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"BUY": Direction.LONG,
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"BUY":Direction.LONG,
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"SELL": Direction.SHORT,
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"sell": Direction.SHORT,
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"sell":Direction.SHORT,
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}
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PRICETYPE_VT2TIGER = {
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@ -76,25 +76,39 @@ STATUS_TIGER2VT = {
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ORDER_STATUS.EXPIRED: Status.NOTTRADED
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}
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# "1_key": "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",
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PUSH_STATUS_TIGER2VT = {
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"Invalid":Status.REJECTED,
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"Initial":Status.SUBMITTING,
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"PendingCancel":Status.CANCELLED,
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"Cancelled":Status.CANCELLED,
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"Submitted":Status.SUBMITTING,
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"PendingSubmit":Status.SUBMITTING,
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"Filled":Status.ALLTRADED,
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"Inactive":Status.REJECTED,
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}
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# "private_key": "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",
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class TigerGateway(BaseGateway):
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""""""
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default_setting = {
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"private_key": "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",
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"tiger_id": "20150008",
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"account": "DU575568",
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"standard_account": "DU575568",
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"paper_account": "DU575568",
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"language": "Language.zh_CN",
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}
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def __init__(self, event_engine):
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"""Constructor"""
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super(TigerGateway, self).__init__(event_engine, "TIGER")
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self.private_key = ""
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self.private_key = "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"
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self.tiger_key_2005 = "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"
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self.tiger_id = ""
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self.account = ""
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self.standard_account = ""
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@ -112,19 +126,15 @@ class TigerGateway(BaseGateway):
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self.thread = Thread(target=self.query_data)
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# For query function.
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self.count = 0
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self.interval = 1
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self.query_funcs = [self.query_order]
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def connect(self, setting: dict):
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""""""
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self.private_key = setting["private_key"]
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self.private_key = self.private_key
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self.tiger_id = setting["tiger_id"]
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self.account = setting["account"]
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self.standard_account = setting["standard_account"]
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self.paper_account = setting["paper_account"]
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self.languege = setting["language"]
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self.paper_account = setting["account"]
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self.languege = Language.zh_CN
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self.get_client_config()
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self.connect_quote()
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@ -137,26 +147,12 @@ class TigerGateway(BaseGateway):
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"""
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Query all data necessary.
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"""
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sleep(2.0) # Wait 2 seconds till connection completed.
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self.query_contract()
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# self.query_trade()
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self.query_contract()
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self.query_order()
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self.query_position()
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self.query_account()
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# Start fixed interval query.
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self.event_engine.register(EVENT_TIMER, self.process_timer_event)
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def process_timer_event(self, event):
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""""""
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self.count += 1
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if self.count < self.interval:
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return
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self.count = 0
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func = self.query_funcs.pop(0)
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func()
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self.query_funcs.append(func)
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def get_client_config(self, sandbox=True):
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""""""
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@ -175,8 +171,7 @@ class TigerGateway(BaseGateway):
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"""
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self.quote_client = QuoteClient(self.client_config)
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try:
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symbol_names = self.quote_client.get_symbol_names(lang=Language.zh_CN)
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self.symbol_names =dict(symbol_names)
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self.symbol_names = dict(self.quote_client.get_symbol_names(lang=Language.zh_CN))
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except ApiException:
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self.write_log("行情接口连接失败")
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return
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@ -220,15 +215,17 @@ class TigerGateway(BaseGateway):
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self.write_log("推送接口连接成功")
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def subscribe(self, req: SubscribeRequest):
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""""""
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""""""
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symbol = convert_symbol_vt2tiger(req.symbol, req.exchange)
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self.push_client.subscribe_quote([req.symbol])
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# self.push_client.subscribe_asset()
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#self.push_client.subscribe_asset()
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# self.push_client.subscribe_position()
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# self.push_client.subscribe_order()
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#self.push_client.subscribe_order()
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def on_quote_change(self, symbol: str, data: list, trading: bool):
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symbol, exchange = convert_symbol_tiger2vt(symbol)
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name = self.symbol_names[symbol]
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data = dict(data)
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tick = self.ticks.get(symbol, None)
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if not tick:
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@ -242,33 +239,50 @@ class TigerGateway(BaseGateway):
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self.ticks[symbol] = tick
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tick.datetime = datetime.now()
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tick.open_price = data[5][1]
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tick.high_price = data[2][1]
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tick.low_price = data[4][1]
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tick.pre_close = data[3][1]
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tick.last_price = data[0][1]
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tick.volume = data[1][1]
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tick.pre_close = data.get("prev_close",0)
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tick.last_price = data.get("latest_price",0)
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tick.volume = data.get("volume", 0)
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tick.open_price = data.get("open", 0)
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tick.open_price = data.get("open", 0) #美股无
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tick.high_price = data.get("high", 0) # 美股无
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tick.low_price = data.get("low", 0) # 美股无
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tick.ask_price_1=data.get("ask_price", 0) # A股/港股无
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tick.bid_price_1=data.get("bid_price", 0) # A股/港股无
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tick.ask_volume_1=data.get("ask_size", 0) # A股/港股无
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tick.bid_volume_1=data.get("bid_size", 0) # A股/港股无
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self.on_tick(copy(tick))
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def on_asset_changed(self, account: str, data: list):
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def on_asset_changed(self, account:str, data:list):
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""""""
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print("账号", data)
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#print("账号", data)
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data = dict(data)
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account = AccountData(
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accountid=account,
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balance=data[7][1],
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balance=data["net_liquidation"],
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frozen=0.0,
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gateway_name=self.gateway_name,
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)
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self.on_account(account)
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def on_position_changed(self, account: str, data: list):
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""""""
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print("持仓", data)
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symbol = data[3][1]
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volume = data[5][1]
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def on_position_changed(self, account:str, data:list):
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""""""
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#print ("持仓", data)
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data = dict(data)
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symbol = data["origin_symbol"]
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volume = data["quantity"]
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# 判断方向
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if volume > 0:
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direction = Direction.LONG
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@ -283,38 +297,62 @@ class TigerGateway(BaseGateway):
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direction=direction,
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volume=volume,
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frozen=0.0,
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price=data[0][1],
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pnl=data[4][1],
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price=data["average_cost"],
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pnl=data["unrealized_pnl"],
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gateway_name=self.gateway_name,
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)
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self.on_position(pos)
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def on_order_changed(self, account: str, data: list):
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""""""
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print("委托", data)
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symbol = data[6][1]
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volume = data[7][1]
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if volume > 0:
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direction = Direction.LONG
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else:
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direction = Direction.SHORT
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#print("委托", data)
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data = dict(data)
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symbol = data["origin_symbol"]
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volume = data["quantity"]
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symbol, exchange = convert_symbol_tiger2vt(symbol)
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if data["order_type"] == "LMT":
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price = data["limit_price"]
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else:
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price = 0
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order = OrderData(
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symbol=symbol,
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exchange=exchange,
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orderid=data[2][1],
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direction=direction,
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price=data[8][1],
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orderid=data["order_id"],
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direction=DIRECTION_TIGER2VT[data["action"]],
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price=price,
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volume=volume,
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traded=data[4][1],
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status=None,
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time=datetime.now(),
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traded=data["filled"],
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status=PUSH_STATUS_TIGER2VT[data["status"]],
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time=time.strftime("%Y-%m-%d %H:%M:%S", time.localtime(data["order_time"] / 1000)).split(" ")[-1],
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gateway_name=self.gateway_name,
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)
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self.on_order(order)
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trade = TradeData(
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symbol=symbol,
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exchange=exchange,
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direction=DIRECTION_TIGER2VT[data["action"]],
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tradeid=data["order_id"],
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orderid=data["order_id"],
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price=data["avg_fill_price"],
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volume=data["filled"],
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time=time.strftime("%Y-%m-%d %H:%M:%S", time.localtime(data["trade_time"] / 1000)).split(" ")[-1],
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gateway_name=self.gateway_name,
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)
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self.on_trade(trade)
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def send_order(self, req: OrderRequest):
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""""""
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symbol = convert_symbol_vt2tiger(req.symbol, req.exchange)
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@ -485,8 +523,8 @@ class TigerGateway(BaseGateway):
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direction=direction,
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volume=volume,
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frozen=0.0,
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price=float(i.market_price), # market_price = 0.0
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pnl=float(i.average_cost), # 未知？？
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price=float(i.average_cost),
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pnl=float(i.unrealized_pnl),
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gateway_name=self.gateway_name,
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)
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@ -524,6 +562,7 @@ class TigerGateway(BaseGateway):
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else:
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price = 0
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order = OrderData(
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symbol=symbol,
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exchange=exchange,
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