From 63d88de2b332964120779d6c3b6d596b90f36e94 Mon Sep 17 00:00:00 2001 From: 1122455801 Date: Fri, 8 Mar 2019 15:46:56 +0800 Subject: [PATCH] Update tiger_gateway.py --- vnpy/gateway/tiger/tiger_gateway.py | 171 +++++++++++++++++----------- 1 file changed, 105 insertions(+), 66 deletions(-) diff --git a/vnpy/gateway/tiger/tiger_gateway.py b/vnpy/gateway/tiger/tiger_gateway.py index e678afa1..652d0681 100644 --- a/vnpy/gateway/tiger/tiger_gateway.py +++ b/vnpy/gateway/tiger/tiger_gateway.py @@ -54,9 +54,9 @@ DIRECTION_VT2TIGER = { } DIRECTION_TIGER2VT = { - "BUY": Direction.LONG, + "BUY":Direction.LONG, "SELL": Direction.SHORT, - "sell": Direction.SHORT, + "sell":Direction.SHORT, } PRICETYPE_VT2TIGER = { @@ -76,25 +76,39 @@ STATUS_TIGER2VT = { ORDER_STATUS.EXPIRED: Status.NOTTRADED } -# "1_key": "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", +PUSH_STATUS_TIGER2VT = { + "Invalid":Status.REJECTED, + "Initial":Status.SUBMITTING, + "PendingCancel":Status.CANCELLED, + "Cancelled":Status.CANCELLED, + "Submitted":Status.SUBMITTING, + "PendingSubmit":Status.SUBMITTING, + "Filled":Status.ALLTRADED, + "Inactive":Status.REJECTED, + + + +} + +# "private_key": "MIICXQIBAAKBgQC1amZa5YsGTklry7DAsUBOwXJCgrsZZtB21PImw/yLmrbqRfsS3vawvMigLWcCwIDnHa+hpdpeze0eHIwbZzJzUDGvRALYK9t3D8pwPVxpwX1OF8RfHCM7YQvSOvPPnHHuVQvKaR7NNm1/WmvGXC9kVJdkYQ7kCmh52siFoy1MLQIDAQABAoGAVabcmIHTt7ByncBXvUJymDxhE+HhMEcImXJEueTCca8kOUu9FNXMJvmax3VoMzZsJbIwX+OMTEJxd0wHIlEA0gECjDwFK4Q42q+ptO4QABJQVSC6I+dOt2OIY28uvT3rkenOO8KRIDt4F52PFd71ZdB1aaXixORORq1MdSLi8EkCQQDiviAB+L5R/HVxwxvqZfJ530OtFd5IipZC9YZlY1CtXWCmu89LK7UUlEuNXyGsOxyz5jLqFuNRsie5AC23tfEPAkEAzNMCa8axJWfPZIH4tGrbZ1F3I41BQdgp2zBmR7AyUMBDkli86OzmJ7QUCJA/PJxK43/IYUWm4OU5Q+SvXCr3AwJBAJTBj1Y7zwES1CpSitn5EF+MbmX71t1YrsQ3OHkD80YJ4QMCbDkw75gUwox5QSoxjd8ow3Z4laJfc1gYGeZQ41kCQQCCiQwm8cceBq3W6To+iUdw7itWngRz2Ta7uXnFwFYgvpeR4jnq3GfF7+9AkeWrVBQqLtrem0xCUfQP/+N+gudPAkBFLbt78/MpQGEDc7jyu/KE5Mp4wMMDQQwch9VLvsAZwWLysB6rZWpo3jIfp9zZ7c3zOYGNMWAZjtMmNkRJ8COH", class TigerGateway(BaseGateway): """""" default_setting = { - "private_key": "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", + "tiger_id": "20150008", "account": "DU575568", "standard_account": "DU575568", - "paper_account": "DU575568", - "language": "Language.zh_CN", + } def __init__(self, event_engine): """Constructor""" super(TigerGateway, self).__init__(event_engine, "TIGER") - self.private_key = "" + self.private_key = "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" + self.tiger_key_2005 = "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" self.tiger_id = "" self.account = "" self.standard_account = "" @@ -112,19 +126,15 @@ class TigerGateway(BaseGateway): self.thread = Thread(target=self.query_data) - # For query function. - self.count = 0 - self.interval = 1 - self.query_funcs = [self.query_order] def connect(self, setting: dict): """""" - self.private_key = setting["private_key"] + self.private_key = self.private_key self.tiger_id = setting["tiger_id"] self.account = setting["account"] self.standard_account = setting["standard_account"] - self.paper_account = setting["paper_account"] - self.languege = setting["language"] + self.paper_account = setting["account"] + self.languege = Language.zh_CN self.get_client_config() self.connect_quote() @@ -137,26 +147,12 @@ class TigerGateway(BaseGateway): """ Query all data necessary. """ - sleep(2.0) # Wait 2 seconds till connection completed. - self.query_contract() - # self.query_trade() + self.query_contract() self.query_order() self.query_position() self.query_account() - # Start fixed interval query. - self.event_engine.register(EVENT_TIMER, self.process_timer_event) - - def process_timer_event(self, event): - """""" - self.count += 1 - if self.count < self.interval: - return - self.count = 0 - func = self.query_funcs.pop(0) - func() - self.query_funcs.append(func) def get_client_config(self, sandbox=True): """""" @@ -175,8 +171,7 @@ class TigerGateway(BaseGateway): """ self.quote_client = QuoteClient(self.client_config) try: - symbol_names = self.quote_client.get_symbol_names(lang=Language.zh_CN) - self.symbol_names =dict(symbol_names) + self.symbol_names = dict(self.quote_client.get_symbol_names(lang=Language.zh_CN)) except ApiException: self.write_log("行情接口连接失败") return @@ -220,15 +215,17 @@ class TigerGateway(BaseGateway): self.write_log("推送接口连接成功") def subscribe(self, req: SubscribeRequest): - """""" + """""" + symbol = convert_symbol_vt2tiger(req.symbol, req.exchange) self.push_client.subscribe_quote([req.symbol]) - # self.push_client.subscribe_asset() + #self.push_client.subscribe_asset() # self.push_client.subscribe_position() - # self.push_client.subscribe_order() + #self.push_client.subscribe_order() def on_quote_change(self, symbol: str, data: list, trading: bool): symbol, exchange = convert_symbol_tiger2vt(symbol) name = self.symbol_names[symbol] + data = dict(data) tick = self.ticks.get(symbol, None) if not tick: @@ -242,33 +239,50 @@ class TigerGateway(BaseGateway): self.ticks[symbol] = tick tick.datetime = datetime.now() - tick.open_price = data[5][1] - tick.high_price = data[2][1] - tick.low_price = data[4][1] - tick.pre_close = data[3][1] - tick.last_price = data[0][1] - tick.volume = data[1][1] + + tick.pre_close = data.get("prev_close",0) + tick.last_price = data.get("latest_price",0) + tick.volume = data.get("volume", 0) + tick.open_price = data.get("open", 0) + + tick.open_price = data.get("open", 0) #美股无 + tick.high_price = data.get("high", 0) # 美股无 + tick.low_price = data.get("low", 0) # 美股无 + + + tick.ask_price_1=data.get("ask_price", 0) # A股/港股无 + tick.bid_price_1=data.get("bid_price", 0) # A股/港股无 + tick.ask_volume_1=data.get("ask_size", 0) # A股/港股无 + tick.bid_volume_1=data.get("bid_size", 0) # A股/港股无 self.on_tick(copy(tick)) - def on_asset_changed(self, account: str, data: list): + + + def on_asset_changed(self, account:str, data:list): """""" - print("账号", data) - + + #print("账号", data) + data = dict(data) + + account = AccountData( accountid=account, - balance=data[7][1], + balance=data["net_liquidation"], frozen=0.0, gateway_name=self.gateway_name, ) self.on_account(account) - def on_position_changed(self, account: str, data: list): - """""" - print("持仓", data) + - symbol = data[3][1] - volume = data[5][1] + def on_position_changed(self, account:str, data:list): + """""" + #print ("持仓", data) + data = dict(data) + + symbol = data["origin_symbol"] + volume = data["quantity"] # 判断方向 if volume > 0: direction = Direction.LONG @@ -283,38 +297,62 @@ class TigerGateway(BaseGateway): direction=direction, volume=volume, frozen=0.0, - price=data[0][1], - pnl=data[4][1], + price=data["average_cost"], + pnl=data["unrealized_pnl"], gateway_name=self.gateway_name, + ) self.on_position(pos) + + + def on_order_changed(self, account: str, data: list): """""" - print("委托", data) - symbol = data[6][1] - volume = data[7][1] - if volume > 0: - direction = Direction.LONG - else: - direction = Direction.SHORT + #print("委托", data) + data = dict(data) + symbol = data["origin_symbol"] + volume = data["quantity"] symbol, exchange = convert_symbol_tiger2vt(symbol) + + if data["order_type"] == "LMT": + price = data["limit_price"] + else: + price = 0 + order = OrderData( symbol=symbol, exchange=exchange, - orderid=data[2][1], - direction=direction, - price=data[8][1], + orderid=data["order_id"], + direction=DIRECTION_TIGER2VT[data["action"]], + price=price, volume=volume, - traded=data[4][1], - status=None, - time=datetime.now(), + traded=data["filled"], + status=PUSH_STATUS_TIGER2VT[data["status"]], + time=time.strftime("%Y-%m-%d %H:%M:%S", time.localtime(data["order_time"] / 1000)).split(" ")[-1], gateway_name=self.gateway_name, ) self.on_order(order) + trade = TradeData( + symbol=symbol, + exchange=exchange, + direction=DIRECTION_TIGER2VT[data["action"]], + tradeid=data["order_id"], + orderid=data["order_id"], + price=data["avg_fill_price"], + volume=data["filled"], + time=time.strftime("%Y-%m-%d %H:%M:%S", time.localtime(data["trade_time"] / 1000)).split(" ")[-1], + gateway_name=self.gateway_name, + ) + self.on_trade(trade) + + + + + def send_order(self, req: OrderRequest): """""" symbol = convert_symbol_vt2tiger(req.symbol, req.exchange) @@ -485,8 +523,8 @@ class TigerGateway(BaseGateway): direction=direction, volume=volume, frozen=0.0, - price=float(i.market_price), # market_price = 0.0 - pnl=float(i.average_cost), # 未知？？ + price=float(i.average_cost), + pnl=float(i.unrealized_pnl), gateway_name=self.gateway_name, ) @@ -524,6 +562,7 @@ class TigerGateway(BaseGateway): else: price = 0 + order = OrderData( symbol=symbol, exchange=exchange,