From 66cb55ef26944d9eb46d0dab634df01141e1b6aa Mon Sep 17 00:00:00 2001 From: nanoric Date: Mon, 15 Oct 2018 03:46:55 -0400 Subject: [PATCH] =?UTF-8?q?[Add]=20=E5=A2=9E=E5=8A=A0=E4=B8=80=E4=BA=9B?= =?UTF-8?q?=E7=94=A8=E4=BA=8E=E5=88=9B=E5=BB=BAVtObject=E7=9A=84=E9=9D=99?= =?UTF-8?q?=E6=80=81=E6=96=B9=E6=B3=95?= MIME-Version: 1.0 Content-Type: text/plain; charset=UTF-8 Content-Transfer-Encoding: 8bit --- vnpy/trader/vtObject.py | 90 +++++++++++++++++++++++++++++++++++++---- 1 file changed, 82 insertions(+), 8 deletions(-) diff --git a/vnpy/trader/vtObject.py b/vnpy/trader/vtObject.py index 9aa62507..1a844183 100644 --- a/vnpy/trader/vtObject.py +++ b/vnpy/trader/vtObject.py @@ -1,10 +1,11 @@ # encoding: UTF-8 import time +from datetime import datetime from logging import INFO -from vnpy.trader.vtConstant import (EMPTY_STRING, EMPTY_UNICODE, - EMPTY_FLOAT, EMPTY_INT) +from vnpy.trader.language import constant +from vnpy.trader.vtConstant import (EMPTY_FLOAT, EMPTY_INT, EMPTY_STRING, EMPTY_UNICODE) ######################################################################## @@ -105,7 +106,10 @@ class VtBarData(VtBaseData): ######################################################################## class VtTradeData(VtBaseData): - """成交数据类""" + """ + 成交数据类 + 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 + """ #---------------------------------------------------------------------- def __init__(self): @@ -116,8 +120,8 @@ class VtTradeData(VtBaseData): self.symbol = EMPTY_STRING # 合约代码 self.exchange = EMPTY_STRING # 交易所代码 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 - - self.tradeID = EMPTY_STRING # 成交编号 + + self.tradeID = EMPTY_STRING # 成交编号 gateway内部自己生成的编号 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 self.orderID = EMPTY_STRING # 订单编号 @@ -129,7 +133,27 @@ class VtTradeData(VtBaseData): self.price = EMPTY_FLOAT # 成交价格 self.volume = EMPTY_INT # 成交数量 self.tradeTime = EMPTY_STRING # 成交时间 - + + #---------------------------------------------------------------------- + @staticmethod + def createFromOrderData(order, + tradeID, + tradePrice, + tradeVolume): # type: (VtOrderData, str, float, float)->VtTradeData + trade = VtTradeData() + trade.gatewayName = order.gatewayName + trade.symbol = order.symbol + trade.vtSymbol = order.vtSymbol + trade.orderID = order.orderID + trade.vtOrderID = order.vtOrderID + trade.tradeID = tradeID + trade.vtTradeID = trade.gatewayName + '.' + tradeID + trade.direction = order.direction + trade.price = tradePrice + trade.volume = tradeVolume + trade.tradeTime = datetime.now().strftime('%H:%M:%S') + return trade + ######################################################################## class VtOrderData(VtBaseData): @@ -143,10 +167,10 @@ class VtOrderData(VtBaseData): # 代码编号相关 self.symbol = EMPTY_STRING # 合约代码 self.exchange = EMPTY_STRING # 交易所代码 - self.vtSymbol = EMPTY_STRING # 统一格式：f"{symbol}.{exchange}" + self.vtSymbol = EMPTY_STRING # 索引，统一格式：f"{symbol}.{exchange}" self.orderID = EMPTY_STRING # 订单编号 gateway内部自己生成的编号 - self.vtOrderID = EMPTY_STRING # 统一格式：f"{gatewayName}.{orderId}" + self.vtOrderID = EMPTY_STRING # 索引，统一格式：f"{gatewayName}.{orderId}" # 报单相关 self.direction = EMPTY_UNICODE # 报单方向 @@ -163,6 +187,33 @@ class VtOrderData(VtBaseData): self.frontID = EMPTY_INT # 前置机编号 self.sessionID = EMPTY_INT # 连接编号 + #---------------------------------------------------------------------- + @staticmethod + def createFromGateway(gateway, orderId, symbol, exchange, price, volume, direction, + offset=EMPTY_UNICODE, + tradedVolume=EMPTY_INT, + status=constant.STATUS_UNKNOWN, + orderTime=EMPTY_UNICODE, + cancelTime=EMPTY_UNICODE, + ): # type: (VtGateway, str, str, str, float, float, str, str, int, str, str, str)->VtOrderData + vtOrder = VtOrderData() + vtOrder.gatewayName = gateway.gatewayName + vtOrder.symbol = symbol + vtOrder.exchange = exchange + vtOrder.vtSymbol = symbol + '.' + exchange + vtOrder.orderID = orderId + vtOrder.vtOrderID = gateway.gatewayName + '.' + orderId + + vtOrder.direction = direction + vtOrder.offset = offset + vtOrder.price = price + vtOrder.totalVolume = volume + vtOrder.tradedVolume = tradedVolume + vtOrder.status = status + vtOrder.orderTime = orderTime + vtOrder.cancelTime = cancelTime + return vtOrder + ######################################################################## class VtPositionData(VtBaseData): @@ -187,6 +238,29 @@ class VtPositionData(VtBaseData): self.ydPosition = EMPTY_INT # 昨持仓 self.positionProfit = EMPTY_FLOAT # 持仓盈亏 + #---------------------------------------------------------------------- + @staticmethod + def createFromGateway(gateway, exchange, symbol, direction, position, + frozen=EMPTY_INT, + price=EMPTY_FLOAT, + yestordayPosition=EMPTY_INT, + profit=EMPTY_FLOAT + ): # type: (VtGateway, str, str, str, float, int, float, int, float)->VtPositionData + vtPosition = VtPositionData() + vtPosition.gatewayName = gateway.gatewayName + vtPosition.symbol = symbol + vtPosition.exchange = exchange + vtPosition.vtSymbol = symbol + '.' + exchange + + vtPosition.direction = direction + vtPosition.position = position + vtPosition.frozen = frozen + vtPosition.price = price + vtPosition.vtPositionName = vtPosition.vtSymbol + '.' + direction + vtPosition.ydPosition = yestordayPosition + vtPosition.positionProfit = profit + return vtPosition + ######################################################################## class VtAccountData(VtBaseData):