[Add] 增加一些用于创建VtObject的静态方法
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nanoric
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f2f4669123
commit
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@ -1,10 +1,11 @@
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# encoding: UTF-8
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import time
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from datetime import datetime
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from logging import INFO
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from vnpy.trader.vtConstant import (EMPTY_STRING, EMPTY_UNICODE,
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EMPTY_FLOAT, EMPTY_INT)
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from vnpy.trader.language import constant
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from vnpy.trader.vtConstant import (EMPTY_FLOAT, EMPTY_INT, EMPTY_STRING, EMPTY_UNICODE)
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########################################################################
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@ -105,7 +106,10 @@ class VtBarData(VtBaseData):
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########################################################################
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class VtTradeData(VtBaseData):
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"""成交数据类"""
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"""
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成交数据类
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一般来说，一个VtOrderData可能对应多个VtTradeData：一个订单可能多次部分成交
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"""
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#----------------------------------------------------------------------
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def __init__(self):
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@ -116,8 +120,8 @@ class VtTradeData(VtBaseData):
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self.symbol = EMPTY_STRING # 合约代码
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self.exchange = EMPTY_STRING # 交易所代码
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self.vtSymbol = EMPTY_STRING # 合约在vt系统中的唯一代码，通常是 合约代码.交易所代码
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self.tradeID = EMPTY_STRING # 成交编号
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self.tradeID = EMPTY_STRING # 成交编号 gateway内部自己生成的编号
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self.vtTradeID = EMPTY_STRING # 成交在vt系统中的唯一编号，通常是 Gateway名.成交编号
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self.orderID = EMPTY_STRING # 订单编号
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@ -129,7 +133,27 @@ class VtTradeData(VtBaseData):
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self.price = EMPTY_FLOAT # 成交价格
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self.volume = EMPTY_INT # 成交数量
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self.tradeTime = EMPTY_STRING # 成交时间
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#----------------------------------------------------------------------
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@staticmethod
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def createFromOrderData(order,
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tradeID,
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tradePrice,
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tradeVolume): # type: (VtOrderData, str, float, float)->VtTradeData
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trade = VtTradeData()
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trade.gatewayName = order.gatewayName
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trade.symbol = order.symbol
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trade.vtSymbol = order.vtSymbol
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trade.orderID = order.orderID
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trade.vtOrderID = order.vtOrderID
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trade.tradeID = tradeID
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trade.vtTradeID = trade.gatewayName + '.' + tradeID
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trade.direction = order.direction
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trade.price = tradePrice
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trade.volume = tradeVolume
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trade.tradeTime = datetime.now().strftime('%H:%M:%S')
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return trade
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########################################################################
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class VtOrderData(VtBaseData):
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@ -143,10 +167,10 @@ class VtOrderData(VtBaseData):
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# 代码编号相关
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self.symbol = EMPTY_STRING # 合约代码
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self.exchange = EMPTY_STRING # 交易所代码
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self.vtSymbol = EMPTY_STRING # 统一格式：f"{symbol}.{exchange}"
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self.vtSymbol = EMPTY_STRING # 索引，统一格式：f"{symbol}.{exchange}"
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self.orderID = EMPTY_STRING # 订单编号 gateway内部自己生成的编号
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self.vtOrderID = EMPTY_STRING # 统一格式：f"{gatewayName}.{orderId}"
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self.vtOrderID = EMPTY_STRING # 索引，统一格式：f"{gatewayName}.{orderId}"
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# 报单相关
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self.direction = EMPTY_UNICODE # 报单方向
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@ -163,6 +187,33 @@ class VtOrderData(VtBaseData):
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self.frontID = EMPTY_INT # 前置机编号
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self.sessionID = EMPTY_INT # 连接编号
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#----------------------------------------------------------------------
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@staticmethod
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def createFromGateway(gateway, orderId, symbol, exchange, price, volume, direction,
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offset=EMPTY_UNICODE,
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tradedVolume=EMPTY_INT,
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status=constant.STATUS_UNKNOWN,
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orderTime=EMPTY_UNICODE,
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cancelTime=EMPTY_UNICODE,
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): # type: (VtGateway, str, str, str, float, float, str, str, int, str, str, str)->VtOrderData
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vtOrder = VtOrderData()
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vtOrder.gatewayName = gateway.gatewayName
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vtOrder.symbol = symbol
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vtOrder.exchange = exchange
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vtOrder.vtSymbol = symbol + '.' + exchange
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vtOrder.orderID = orderId
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vtOrder.vtOrderID = gateway.gatewayName + '.' + orderId
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vtOrder.direction = direction
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vtOrder.offset = offset
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vtOrder.price = price
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vtOrder.totalVolume = volume
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vtOrder.tradedVolume = tradedVolume
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vtOrder.status = status
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vtOrder.orderTime = orderTime
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vtOrder.cancelTime = cancelTime
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return vtOrder
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########################################################################
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class VtPositionData(VtBaseData):
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@ -187,6 +238,29 @@ class VtPositionData(VtBaseData):
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self.ydPosition = EMPTY_INT # 昨持仓
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self.positionProfit = EMPTY_FLOAT # 持仓盈亏
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#----------------------------------------------------------------------
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@staticmethod
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def createFromGateway(gateway, exchange, symbol, direction, position,
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frozen=EMPTY_INT,
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price=EMPTY_FLOAT,
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yestordayPosition=EMPTY_INT,
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profit=EMPTY_FLOAT
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): # type: (VtGateway, str, str, str, float, int, float, int, float)->VtPositionData
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vtPosition = VtPositionData()
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vtPosition.gatewayName = gateway.gatewayName
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vtPosition.symbol = symbol
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vtPosition.exchange = exchange
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vtPosition.vtSymbol = symbol + '.' + exchange
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vtPosition.direction = direction
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vtPosition.position = position
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vtPosition.frozen = frozen
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vtPosition.price = price
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vtPosition.vtPositionName = vtPosition.vtSymbol + '.' + direction
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vtPosition.ydPosition = yestordayPosition
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vtPosition.positionProfit = profit
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return vtPosition
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########################################################################
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class VtAccountData(VtBaseData):
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