[Del]移除OANDA接口
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vn.py
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@ -16,8 +16,6 @@ Using the vn.py project, institutional investors and professional traders, such
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**International Financial Markets**
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- Interactive Brokers（vn.ib）
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- OANDA（vn.oanda）
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- Shanghai Zhida Futures（vn.shzd）
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45
README.md
45
README.md
@ -37,8 +37,6 @@ vn.py是基于Python的开源量化交易程序开发框架，起源于国内私
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- Interactive Brokers（ib）
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- OANDA（oanda）
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- 福汇（fxcm）
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- OKCOIN（okcoin）
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@ -125,14 +123,8 @@ sudo /home/vnpy/anaconda2/bin/conda install -c quantopian ta-lib=0.4.9
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```
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# encoding: UTF-8
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# 重载sys模块，设置默认字符串编码方式为utf8
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import sys
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reload(sys)
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sys.setdefaultencoding('utf8')
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# 判断操作系统
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import platform
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system = platform.system()
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# vn.trader模块
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from vnpy.event import EventEngine
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@ -141,18 +133,11 @@ from vnpy.trader.uiQt import createQApp
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from vnpy.trader.uiMainWindow import MainWindow
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# 加载底层接口
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from vnpy.trader.gateway import (ctpGateway, oandaGateway, ibGateway,
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tkproGateway)
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if system == 'Windows':
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from vnpy.trader.gateway import (femasGateway, xspeedGateway,
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futuGateway, secGateway)
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if system == 'Linux':
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from vnpy.trader.gateway import xtpGateway
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from vnpy.trader.gateway import ctpGateway, ibGateway
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# 加载上层应用
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from vnpy.trader.app import (riskManager, ctaStrategy, spreadTrading)
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from vnpy.trader.app import (riskManager, ctaStrategy,
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spreadTrading, algoTrading)
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#----------------------------------------------------------------------
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@ -160,37 +145,27 @@ def main():
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"""主程序入口"""
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# 创建Qt应用对象
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qApp = createQApp()
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# 创建事件引擎
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ee = EventEngine()
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# 创建主引擎
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me = MainEngine(ee)
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# 添加交易接口
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me.addGateway(ctpGateway)
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me.addGateway(tkproGateway)
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me.addGateway(oandaGateway)
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me.addGateway(ibGateway)
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if system == 'Windows':
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me.addGateway(femasGateway)
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me.addGateway(xspeedGateway)
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me.addGateway(secGateway)
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me.addGateway(futuGateway)
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if system == 'Linux':
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me.addGateway(xtpGateway)
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# 添加上层应用
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me.addApp(riskManager)
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me.addApp(ctaStrategy)
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me.addApp(spreadTrading)
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me.addApp(algoTrading)
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# 创建主窗口
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mw = MainWindow(me, ee)
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mw.showMaximized()
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# 在主线程中启动Qt事件循环
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sys.exit(qApp.exec_())
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@ -1,5 +0,0 @@
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{
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"token": "请在OANDA网站申请",
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"accountId": "请在OANDA网站申请",
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"settingName": "practice"
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}
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@ -5,9 +5,14 @@ try:
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reload # Python 2
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except NameError: # Python 3
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from importlib import reload
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import sys
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reload(sys)
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sys.setdefaultencoding('utf8')
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try:
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sys.setdefaultencoding('utf8')
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except AttributeError:
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pass
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# 判断操作系统
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import platform
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@ -20,8 +25,7 @@ from vnpy.trader.uiQt import createQApp
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from vnpy.trader.uiMainWindow import MainWindow
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# 加载底层接口
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from vnpy.trader.gateway import (ctpGateway, oandaGateway,
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ibGateway)
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from vnpy.trader.gateway import (ctpGateway, ibGateway)
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if system == 'Linux':
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from vnpy.trader.gateway import xtpGateway
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@ -48,7 +52,6 @@ def main():
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# 添加交易接口
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me.addGateway(ctpGateway)
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me.addGateway(oandaGateway)
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me.addGateway(ibGateway)
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if system == 'Windows':
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@ -12,7 +12,6 @@
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### 外盘
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* vn.ib：Interactive Brokers接口
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* vn.oanda：OANDA接口
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* vn.shzd：直达期货接口
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### 比特币
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@ -1,42 +0,0 @@
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# vn.oanda
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### 简介
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OANDA外汇交易接口，基于REST API开发，实现了以下功能：
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1. 发送、修改、撤销委托
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2. 查询委托、持仓（按照每笔成交算）、汇总持仓（按照单一货币对算）、资金、成交历史
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3. 实时行情和成交推送
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4. 获取Forex Lab中的日历、订单簿、历史持仓比、价差、交易商持仓、Autochartist
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目前该API尚处于测试阶段，如果发现bug或者需要改进的地方请在github上开issue给我。
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### 特点
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相比较于[OANDA官网](http://developer.oanda.com/rest-live/sample-code/)上贴出的一些Python API（如pyoanda、oanda-trading-environment等），vn.oanda的一些不同：
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1. 面向对象的API设计，接近CTP API的结构，对于国内用户而言更容易上手
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2. 三个独立的工作线程，分别处理：用户请求（如发送委托等）、行情推送、事件推送（如成交事件等），提供更高的性能
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3. 参考CTP API的设计，主动函数调用的结果通过异步（回调函数）的方式推送到程序中，适用于开发真正可靠的实盘交易程序（pyoanda里使用的同步阻塞工作模式在实盘应用中的风险：想象你的交易程序发送委托请求后，因为网络问题不能立即返回，因此主线程阻塞导致界面卡死或者背后的策略引擎线程卡死，对新的行情事件完全失去响应）
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### Quick Start
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1. 安装Anaconda 2.7 32位
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2. 前往[OANDA](http://www.oanda.com)注册一个fxTrade practice测试账户（注意国家不要选中国，会无法申请API token，作者测试英国可以）
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3. 在网站登陆后，进入Manage Funds，记录下自己的Account Number
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4. 回到上一个界面，左侧有个Manage API Access（在Recent Logins上方，没有的就是第一步国家选错了），进入后生成token
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5. 下载vn.oanda到本地后，打开test.py，修改token和accountId为你的信息
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6. 将test.py中想要测试的功能取消注释，开始使用吧！
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### API版本
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日期：2016-02-27
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链接：[http://developer.oanda.com/rest-live/introduction/](http://developer.oanda.com/rest-live/introduction/)
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@ -1,4 +0,0 @@
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# encoding: UTF-8
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from __future__ import absolute_import
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from .vnoanda import OandaApi
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@ -1,106 +0,0 @@
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# encoding: utf-8
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from __future__ import absolute_import
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from .vnoanda import OandaApi
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if __name__ == '__main__':
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token = ''
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accountId = ''
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api = OandaApi()
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api.DEBUG = True
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api.init('practice', token, accountId)
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# 获取交易合约列表，通过
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#api.getInstruments({'accountId': accountId})
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# 获取价格，通过
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#api.getPrices({'instruments': 'EUR_USD'})
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# 获取历史数据，失败
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#api.getPriceHisory({'instrument': 'EUR_USD',
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#'granularity': 'D',
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#'candleFormat': 'midpoint',
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#'count': '50'})
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# 查询用户的所有账户，通过
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#api.getAccounts()
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# 查询账户信息，通过
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#api.getAccountInfo()
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# 查询委托数据，通过
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#api.getOrders({})
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# 发送委托，通过
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#api.sendOrder({'instrument': 'EUR_USD',
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#'units': '10000',
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#'side': 'buy',
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#'type': 'market'})
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# 查询委托数据，通过
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#api.getOrderInfo('123')
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# 修改委托，通过
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#api.modifyOrder({'units': '10000',
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#'side': 'buy',
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#'type': 'market'}, '123')
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# 撤销委托，通过
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#api.cancelOrder('123')
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# 查询所有持仓，通过
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#api.getTrades({})
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# 查询持仓数据，通过
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#api.getTradeInfo('10125150909')
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# 修改持仓，通过
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#api.modifyTrade({'trailingStop': '150'}, '10125150909')
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# 平仓，通过
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#api.closeTrade('10125150909')
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# 查询汇总持仓，通过
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#api.getPositions()
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# 查询汇总持仓细节，通过
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#api.getPositionInfo('EUR_USD')
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# 平仓汇总持仓，通过
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#api.closePosition('EUR_USD')
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# 查询账户资金变动，通过
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#api.getTransactions({})
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# 查询资金变动信息，通过
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#api.getTransactionInfo('10135713982')
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# 查询账户变动历史，部分通过，某些情况下可能触发JSONDecodeError
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#api.getAccountHistory()
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# 查询财经日历，通过
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#api.getCalendar({'period': '604800'})
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# 查询历史持仓比，通过
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#api.getPositionRatios({'instrument': 'EUR_USD',
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#'period': '604800'})
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# 查询历史价差，通过
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#api.getSpreads({'instrument': 'EUR_USD',
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#'period': '604800'})
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# 查询交易商持仓，通过
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#api.getCommitments({'instrument': 'EUR_USD'})
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# 查询订单簿，通过
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#api.getOrderbook({'instrument': 'EUR_USD',
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#'period': '604800'})
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# 查询Autochartist，失败，OANDA服务器报错
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#api.getAutochartist({'instrument': 'EUR_USD'})
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# 阻塞
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input()
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@ -1,610 +0,0 @@
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# encoding: utf-8
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from __future__ import print_function
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import json
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import requests
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from Queue import Queue, Empty
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from threading import Thread
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API_SETTING = {}
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API_SETTING['practice'] = {'rest': 'https://api-fxpractice.oanda.com',
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'stream': 'https://stream-fxpractice.oanda.com'}
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API_SETTING['trade'] = {'rest': 'https://api-fxtrade.oanda.com',
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'stream': 'https://stream-fxtrade.oanda.com'}
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FUNCTIONCODE_GETINSTRUMENTS = 0
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FUNCTIONCODE_GETPRICES = 1
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FUNCTIONCODE_GETPRICEHISTORY = 2
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FUNCTIONCODE_GETACCOUNTS = 3
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FUNCTIONCODE_GETACCOUNTINFO = 4
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FUNCTIONCODE_GETORDERS = 5
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FUNCTIONCODE_SENDORDER = 6
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FUNCTIONCODE_GETORDERINFO = 7
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FUNCTIONCODE_MODIFYORDER = 8
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FUNCTIONCODE_CANCELORDER = 9
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FUNCTIONCODE_GETTRADES = 10
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FUNCTIONCODE_GETTRADEINFO = 11
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FUNCTIONCODE_MODIFYTRADE= 12
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FUNCTIONCODE_CLOSETRADE = 13
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FUNCTIONCODE_GETPOSITIONS = 14
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FUNCTIONCODE_GETPOSITIONINFO= 15
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FUNCTIONCODE_CLOSEPOSITION = 16
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FUNCTIONCODE_GETTRANSACTIONS = 17
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FUNCTIONCODE_GETTRANSACTIONINFO = 18
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FUNCTIONCODE_GETACCOUNTHISTORY = 19
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FUNCTIONCODE_GETCALENDAR = 20
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FUNCTIONCODE_GETPOSITIONRATIOS = 21
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FUNCTIONCODE_GETSPREADS = 22
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FUNCTIONCODE_GETCOMMIMENTS = 23
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FUNCTIONCODE_GETORDERBOOK = 24
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FUNCTIONCODE_GETAUTOCHARTIST = 25
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FUNCTIONCODE_STREAMPRICES = 26
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FUNCTIONCODE_STREAMEVENTS = 27
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########################################################################
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class OandaApi(object):
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""""""
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DEBUG = False
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#----------------------------------------------------------------------
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def __init__(self):
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"""Constructor"""
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self.token = ''
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self.accountId = ''
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self.headers = {}
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self.restDomain = ''
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self.streamDomain = ''
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self.session = None
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self.functionSetting = {}
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self.active = False # API的工作状态
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self.reqID = 0 # 请求编号
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self.reqQueue = Queue() # 请求队列
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self.reqThread = Thread(target=self.processQueue) # 请求处理线程
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self.streamPricesThread = Thread(target=self.processStreamPrices) # 实时行情线程
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self.streamEventsThread = Thread(target=self.processStreamEvents) # 实时事件线程（成交等）
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#----------------------------------------------------------------------
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def init(self, settingName, token, accountId):
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"""初始化接口"""
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self.restDomain = API_SETTING[settingName]['rest']
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self.streamDomain = API_SETTING[settingName]['stream']
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self.session = requests.Session()
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self.token = token
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self.accountId = accountId
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self.headers['Authorization'] = 'Bearer ' + self.token
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self.initFunctionSetting(FUNCTIONCODE_GETINSTRUMENTS, {'path': '/v1/instruments',
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'method': 'GET'})
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self.initFunctionSetting(FUNCTIONCODE_GETPRICES, {'path': '/v1/prices',
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'method': 'GET'})
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self.initFunctionSetting(FUNCTIONCODE_GETPRICEHISTORY, {'path': '/v1/candles',
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'method': 'GET'})
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self.initFunctionSetting(FUNCTIONCODE_GETACCOUNTS, {'path': '/v1/accounts',
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'method': 'GET'})
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self.initFunctionSetting(FUNCTIONCODE_GETACCOUNTINFO, {'path': '/v1/accounts/%s' %self.accountId,
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'method': 'GET'})
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self.initFunctionSetting(FUNCTIONCODE_GETORDERS, {'path': '/v1/accounts/%s/orders' %self.accountId,
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'method': 'GET'})
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self.initFunctionSetting(FUNCTIONCODE_SENDORDER, {'path': '/v1/accounts/%s/orders' %self.accountId,
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'method': 'POST'})
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self.initFunctionSetting(FUNCTIONCODE_GETORDERINFO, {'path': '/v1/accounts/%s/orders' %self.accountId,
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'method': 'GET'})
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self.initFunctionSetting(FUNCTIONCODE_MODIFYORDER, {'path': '/v1/accounts/%s/orders' %self.accountId,
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'method': 'PATCH'})
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self.initFunctionSetting(FUNCTIONCODE_CANCELORDER, {'path': '/v1/accounts/%s/orders' %self.accountId,
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'method': 'DELETE'})
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self.initFunctionSetting(FUNCTIONCODE_GETTRADES, {'path': '/v1/accounts/%s/trades' %self.accountId,
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'method': 'GET'})
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self.initFunctionSetting(FUNCTIONCODE_GETTRADEINFO, {'path': '/v1/accounts/%s/trades' %self.accountId,
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'method': 'GET'})
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self.initFunctionSetting(FUNCTIONCODE_MODIFYTRADE, {'path': '/v1/accounts/%s/trades' %self.accountId,
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'method': 'PATCH'})
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self.initFunctionSetting(FUNCTIONCODE_CLOSETRADE, {'path': '/v1/accounts/%s/trades' %self.accountId,
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'method': 'DELETE'})
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self.initFunctionSetting(FUNCTIONCODE_GETPOSITIONS, {'path': '/v1/accounts/%s/positions' %self.accountId,
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'method': 'GET'})
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self.initFunctionSetting(FUNCTIONCODE_GETPOSITIONINFO, {'path': '/v1/accounts/%s/positions' %self.accountId,
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'method': 'GET'})
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self.initFunctionSetting(FUNCTIONCODE_CLOSEPOSITION, {'path': '/v1/accounts/%s/positions' %self.accountId,
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'method': 'DELETE'})
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self.initFunctionSetting(FUNCTIONCODE_GETTRANSACTIONS, {'path': '/v1/accounts/%s/transactions' %self.accountId,
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'method': 'GET'})
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self.initFunctionSetting(FUNCTIONCODE_GETTRANSACTIONINFO, {'path': '/v1/accounts/%s/transactions' %self.accountId,
|
||||
'method': 'GET'})
|
||||
|
||||
self.initFunctionSetting(FUNCTIONCODE_GETACCOUNTHISTORY, {'path': '/v1/accounts/%s/alltransactions' %self.accountId,
|
||||
'method': 'GET'})
|
||||
|
||||
self.initFunctionSetting(FUNCTIONCODE_GETCALENDAR, {'path': '/labs/v1/calendar',
|
||||
'method': 'GET'})
|
||||
|
||||
self.initFunctionSetting(FUNCTIONCODE_GETPOSITIONRATIOS, {'path': '/labs/v1/historical_position_ratios',
|
||||
'method': 'GET'})
|
||||
|
||||
self.initFunctionSetting(FUNCTIONCODE_GETSPREADS, {'path': '/labs/v1/spreads',
|
||||
'method': 'GET'})
|
||||
|
||||
self.initFunctionSetting(FUNCTIONCODE_GETCOMMIMENTS, {'path': '/labs/v1/commitments',
|
||||
'method': 'GET'})
|
||||
|
||||
self.initFunctionSetting(FUNCTIONCODE_GETORDERBOOK, {'path': '/labs/v1/orderbook_data',
|
||||
'method': 'GET'})
|
||||
|
||||
self.initFunctionSetting(FUNCTIONCODE_GETAUTOCHARTIST, {'path': '/labs/v1/autochartist',
|
||||
'method': 'GET'})
|
||||
|
||||
self.initFunctionSetting(FUNCTIONCODE_GETAUTOCHARTIST, {'path': '/labs/v1/autochartist',
|
||||
'method': 'GET'})
|
||||
|
||||
self.initFunctionSetting(FUNCTIONCODE_STREAMPRICES, {'path': '/v1/prices',
|
||||
'method': 'GET'})
|
||||
|
||||
self.initFunctionSetting(FUNCTIONCODE_STREAMEVENTS, {'path': '/v1/events',
|
||||
'method': 'GET'})
|
||||
|
||||
|
||||
self.active = True
|
||||
self.reqThread.start()
|
||||
self.streamEventsThread.start()
|
||||
self.streamPricesThread.start()
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def exit(self):
|
||||
"""退出接口"""
|
||||
if self.active:
|
||||
self.active = False
|
||||
self.reqThread.join()
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def initFunctionSetting(self, code, setting):
|
||||
"""初始化API功能字典"""
|
||||
self.functionSetting[code] = setting
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def processRequest(self, req):
|
||||
"""发送请求并通过回调函数推送数据结果"""
|
||||
url = req['url']
|
||||
method = req['method']
|
||||
params = req['params']
|
||||
|
||||
stream = False
|
||||
if 'stream' in req:
|
||||
stream = req['stream']
|
||||
|
||||
if method in ['GET', 'DELETE']:
|
||||
myreq = requests.Request(method, url, headers=self.headers, params=params)
|
||||
elif method in ['POST', 'PATCH']:
|
||||
myreq = requests.Request(method, url, headers=self.headers, data=params)
|
||||
pre = myreq.prepare()
|
||||
|
||||
r = None
|
||||
error = None
|
||||
|
||||
try:
|
||||
r = self.session.send(pre, stream=stream)
|
||||
except Exception as e:
|
||||
error = e
|
||||
|
||||
return r, error
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def processQueue(self):
|
||||
"""处理请求队列中的请求"""
|
||||
while self.active:
|
||||
try:
|
||||
req = self.reqQueue.get(block=True, timeout=1) # 获取请求的阻塞为一秒
|
||||
callback = req['callback']
|
||||
reqID = req['reqID']
|
||||
|
||||
r, error = self.processRequest(req)
|
||||
|
||||
if r:
|
||||
try:
|
||||
data = r.json()
|
||||
if self.DEBUG:
|
||||
print(callback.__name__)
|
||||
callback(data, reqID)
|
||||
except Exception as e:
|
||||
self.onError(str(e), reqID)
|
||||
else:
|
||||
self.onError(error, reqID)
|
||||
except Empty:
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def sendRequest(self, code, params, callback, optional=''):
|
||||
"""发送请求"""
|
||||
setting = self.functionSetting[code]
|
||||
|
||||
url = self.restDomain + setting['path']
|
||||
if optional:
|
||||
url = url + '/' + optional
|
||||
|
||||
self.reqID += 1
|
||||
|
||||
req = {'url': url,
|
||||
'method': setting['method'],
|
||||
'params': params,
|
||||
'callback': callback,
|
||||
'reqID': self.reqID}
|
||||
self.reqQueue.put(req)
|
||||
|
||||
return self.reqID
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def onError(self, error, reqID):
|
||||
"""错误信息回调"""
|
||||
print(error, reqID)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def getInstruments(self, params):
|
||||
"""查询可交易的合约列表"""
|
||||
return self.sendRequest(FUNCTIONCODE_GETINSTRUMENTS, params, self.onGetInstruments)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def onGetInstruments(self, data, reqID):
|
||||
"""回调函数"""
|
||||
print(data, reqID)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def getPrices(self, params):
|
||||
"""查询价格"""
|
||||
return self.sendRequest(FUNCTIONCODE_GETPRICES, params, self.onGetPrices)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def onGetPrices(self, data, reqID):
|
||||
"""回调函数"""
|
||||
print(data, reqID)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def getPriceHisory(self, params):
|
||||
"""查询历史价格数据"""
|
||||
return self.sendRequest(FUNCTIONCODE_GETPRICEHISTORY, params, self.onGetPriceHistory)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def onGetPriceHistory(self, data, reqID):
|
||||
"""回调函数"""
|
||||
print(data, reqID)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def getAccounts(self):
|
||||
"""查询用户的所有账户"""
|
||||
return self.sendRequest(FUNCTIONCODE_GETACCOUNTS, {}, self.onGetAccounts)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def onGetAccounts(self, data, reqID):
|
||||
"""回调函数"""
|
||||
print(data, reqID)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def getAccountInfo(self):
|
||||
"""查询账户数据"""
|
||||
return self.sendRequest(FUNCTIONCODE_GETACCOUNTINFO, {}, self.onGetAccountInfo)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def onGetAccountInfo(self, data, reqID):
|
||||
"""回调函数"""
|
||||
print(data, reqID)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def getOrders(self, params):
|
||||
"""查询所有委托"""
|
||||
return self.sendRequest(FUNCTIONCODE_GETORDERS, params, self.onGetOrders)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def onGetOrders(self, data, reqID):
|
||||
"""回调函数"""
|
||||
print(data, reqID)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def sendOrder(self, params):
|
||||
"""发送委托"""
|
||||
return self.sendRequest(FUNCTIONCODE_SENDORDER, params, self.onSendOrder)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def onSendOrder(self, data, reqID):
|
||||
"""回调函数"""
|
||||
print(data, reqID)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def getOrderInfo(self, optional):
|
||||
"""查询委托信息"""
|
||||
return self.sendRequest(FUNCTIONCODE_GETORDERINFO, {}, self.onGetOrderInfo, optional)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def onGetOrderInfo(self, data, reqID):
|
||||
"""回调函数"""
|
||||
print(data, reqID)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def modifyOrder(self, params, optional):
|
||||
"""修改委托"""
|
||||
return self.sendRequest(FUNCTIONCODE_MODIFYORDER, params, self.onModifyOrder, optional)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def onModifyOrder(self, data, reqID):
|
||||
"""回调函数"""
|
||||
print(data, reqID)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def cancelOrder(self, optional):
|
||||
"""查询委托信息"""
|
||||
return self.sendRequest(FUNCTIONCODE_CANCELORDER, {}, self.onCancelOrder, optional)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def onCancelOrder(self, data, reqID):
|
||||
"""回调函数"""
|
||||
print(data, reqID)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def getTrades(self, params):
|
||||
"""查询所有仓位"""
|
||||
return self.sendRequest(FUNCTIONCODE_GETTRADES, params, self.onGetTrades)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def onGetTrades(self, data, reqID):
|
||||
"""回调函数"""
|
||||
print(data, reqID)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def getTradeInfo(self, optional):
|
||||
"""查询仓位信息"""
|
||||
return self.sendRequest(FUNCTIONCODE_GETTRADEINFO, {}, self.onGetTradeInfo, optional)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def onGetTradeInfo(self, data, reqID):
|
||||
"""回调函数"""
|
||||
print(data, reqID)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def modifyTrade(self, params, optional):
|
||||
"""修改仓位"""
|
||||
return self.sendRequest(FUNCTIONCODE_MODIFYTRADE, params, self.onModifyTrade, optional)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def onModifyTrade(self, data, reqID):
|
||||
"""回调函数"""
|
||||
print(data, reqID)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def closeTrade(self, optional):
|
||||
"""平仓"""
|
||||
return self.sendRequest(FUNCTIONCODE_CLOSETRADE, {}, self.onCloseTrade, optional)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def onCloseTrade(self, data, reqID):
|
||||
"""回调函数"""
|
||||
print(data, reqID)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def getPositions(self):
|
||||
"""查询所有汇总仓位"""
|
||||
return self.sendRequest(FUNCTIONCODE_GETPOSITIONS, {}, self.onGetPositions)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def onGetPositions(self, data, reqID):
|
||||
"""回调函数"""
|
||||
print(data, reqID)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def getPositionInfo(self, optional):
|
||||
"""查询汇总仓位信息"""
|
||||
return self.sendRequest(FUNCTIONCODE_GETPOSITIONINFO, {}, self.onGetPositionInfo, optional)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def onGetPositionInfo(self, data, reqID):
|
||||
"""回调函数"""
|
||||
print(data, reqID)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def closePosition(self, optional):
|
||||
"""平仓汇总仓位信息"""
|
||||
return self.sendRequest(FUNCTIONCODE_CLOSEPOSITION, {}, self.onClosePosition, optional)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def onClosePosition(self, data, reqID):
|
||||
"""回调函数"""
|
||||
print(data, reqID)
|
||||
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def getTransactions(self, params):
|
||||
"""查询所有资金变动"""
|
||||
return self.sendRequest(FUNCTIONCODE_GETTRANSACTIONS, params, self.onGetTransactions)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def onGetTransactions(self, data, reqID):
|
||||
"""回调函数"""
|
||||
print(data, reqID)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def getTransactionInfo(self, optional):
|
||||
"""查询资金变动信息"""
|
||||
return self.sendRequest(FUNCTIONCODE_GETTRANSACTIONINFO, {}, self.onGetTransactionInfo, optional)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def onGetTransactionInfo(self, data, reqID):
|
||||
"""回调函数"""
|
||||
print(data, reqID)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def getAccountHistory(self):
|
||||
"""查询账户资金变动历史"""
|
||||
return self.sendRequest(FUNCTIONCODE_GETACCOUNTHISTORY, {}, self.onGetAccountHistory)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def onGetAccountHistory(self, data, reqID):
|
||||
"""回调函数"""
|
||||
print(data, reqID)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def getCalendar(self, params):
|
||||
"""查询日历"""
|
||||
return self.sendRequest(FUNCTIONCODE_GETCALENDAR, params, self.onGetCalendar)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def onGetCalendar(self, data, reqID):
|
||||
"""回调函数"""
|
||||
print(data, reqID)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def getPositionRatios(self, params):
|
||||
"""查询持仓比例"""
|
||||
return self.sendRequest(FUNCTIONCODE_GETPOSITIONRATIOS, params, self.onGetPositionRatios)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def onGetPositionRatios(self, data, reqID):
|
||||
"""回调函数"""
|
||||
print(data, reqID)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def getSpreads(self, params):
|
||||
"""查询所有仓位"""
|
||||
return self.sendRequest(FUNCTIONCODE_GETSPREADS, params, self.onGetSpreads)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def onGetSpreads(self, data, reqID):
|
||||
"""回调函数"""
|
||||
print(data, reqID)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def getCommitments(self, params):
|
||||
"""查询交易商持仓情况"""
|
||||
return self.sendRequest(FUNCTIONCODE_GETCOMMIMENTS, params, self.onGetCommitments)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def onGetCommitments(self, data, reqID):
|
||||
"""回调函数"""
|
||||
print(data, reqID)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def getOrderbook(self, params):
|
||||
"""查询订单簿"""
|
||||
return self.sendRequest(FUNCTIONCODE_GETORDERBOOK, params, self.onGetOrderbook)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def onGetOrderbook(self, data, reqID):
|
||||
"""回调函数"""
|
||||
print(data, reqID)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def getAutochartist(self, params):
|
||||
"""查询Autochartist识别的模式"""
|
||||
return self.sendRequest(FUNCTIONCODE_GETAUTOCHARTIST, params, self.onGetAutochartist)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def onGetAutochartist(self, data, reqID):
|
||||
"""回调函数"""
|
||||
print(data, reqID)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def onPrice(self, data):
|
||||
"""行情推送"""
|
||||
print(data)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def onEvent(self, data):
|
||||
"""事件推送（成交等）"""
|
||||
print(data)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def processStreamPrices(self):
|
||||
"""获取价格推送"""
|
||||
# 首先获取所有合约的代码
|
||||
setting = self.functionSetting[FUNCTIONCODE_GETINSTRUMENTS]
|
||||
req = {'url': self.restDomain + setting['path'],
|
||||
'method': setting['method'],
|
||||
'params': {'accountId': self.accountId}}
|
||||
r, error = self.processRequest(req)
|
||||
if r:
|
||||
try:
|
||||
data = r.json()
|
||||
symbols = [d['instrument'] for d in data['instruments']]
|
||||
except Exception as e:
|
||||
self.onError(e, -1)
|
||||
return
|
||||
else:
|
||||
self.onError(error, -1)
|
||||
return
|
||||
|
||||
# 然后订阅所有的合约行情
|
||||
setting = self.functionSetting[FUNCTIONCODE_STREAMPRICES]
|
||||
params = {'accountId': self.accountId,
|
||||
'instruments': ','.join(symbols)}
|
||||
req = {'url': self.streamDomain + setting['path'],
|
||||
'method': setting['method'],
|
||||
'params': params,
|
||||
'stream': True}
|
||||
r, error = self.processRequest(req)
|
||||
|
||||
if r:
|
||||
for line in r.iter_lines():
|
||||
if line:
|
||||
try:
|
||||
msg = json.loads(line)
|
||||
|
||||
if self.DEBUG:
|
||||
print(self.onPrice.__name__)
|
||||
|
||||
self.onPrice(msg)
|
||||
except Exception as e:
|
||||
self.onError(e, -1)
|
||||
|
||||
if not self.active:
|
||||
break
|
||||
else:
|
||||
self.onError(error, -1)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def processStreamEvents(self):
|
||||
"""获取事件推送"""
|
||||
setting = self.functionSetting[FUNCTIONCODE_STREAMEVENTS]
|
||||
req = {'url': self.streamDomain + setting['path'],
|
||||
'method': setting['method'],
|
||||
'params': {},
|
||||
'stream': True}
|
||||
r, error = self.processRequest(req)
|
||||
if r:
|
||||
for line in r.iter_lines():
|
||||
if line:
|
||||
try:
|
||||
msg = json.loads(line)
|
||||
|
||||
if self.DEBUG:
|
||||
print(self.onEvent.__name__)
|
||||
|
||||
self.onEvent(msg)
|
||||
except Exception as e:
|
||||
self.onError(e, -1)
|
||||
|
||||
if not self.active:
|
||||
break
|
||||
else:
|
||||
self.onError(error, -1)
|
||||
@ -554,7 +554,7 @@ class Api(FxcmApi):
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def getTime(s):
|
||||
"""把OANDA返回的时间格式转化为简单的时间字符串"""
|
||||
"""把时间格式转化为简单的时间字符串"""
|
||||
month = s[:2]
|
||||
day = s[2:4]
|
||||
year = s[4:8]
|
||||
|
||||
@ -1,5 +0,0 @@
|
||||
{
|
||||
"token": "请在OANDA网站申请",
|
||||
"accountId": "请在OANDA网站申请",
|
||||
"settingName": "practice"
|
||||
}
|
||||
@ -1,11 +0,0 @@
|
||||
# encoding: UTF-8
|
||||
|
||||
from __future__ import absolute_import
|
||||
from vnpy.trader import vtConstant
|
||||
from .oandaGateway import OandaGateway
|
||||
|
||||
gatewayClass = OandaGateway
|
||||
gatewayName = 'OANDA'
|
||||
gatewayDisplayName = gatewayName
|
||||
gatewayType = vtConstant.GATEWAYTYPE_INTERNATIONAL
|
||||
gatewayQryEnabled = True
|
||||
@ -1,458 +0,0 @@
|
||||
# encoding: UTF-8
|
||||
|
||||
'''
|
||||
vn.oanda的gateway接入
|
||||
|
||||
由于OANDA采用的是外汇做市商的交易模式，因此和国内接口方面有若干区别，具体如下：
|
||||
|
||||
* 行情数据反映的是OANDA的报价变化，因此只有买卖价，而没有成交价
|
||||
|
||||
* OANDA的持仓管理分为单笔成交持仓（Trade数据，国内没有）
|
||||
和单一资产汇总持仓（Position数据）
|
||||
|
||||
* OANDA系统中的所有时间都采用UTC时间（世界协调时，中国是UTC+8）
|
||||
|
||||
* 由于采用的是外汇做市商的模式，用户的限价委托当价格被触及时就会立即全部成交，
|
||||
不会出现部分成交的情况，因此委托状态只有已报、成交、撤销三种
|
||||
|
||||
* 外汇市场采用24小时交易，因此OANDA的委托不像国内收盘后自动失效，需要用户指定
|
||||
失效时间，本接口中默认设置为24个小时候失效
|
||||
'''
|
||||
|
||||
|
||||
import os
|
||||
import json
|
||||
import datetime
|
||||
|
||||
from vnpy.api.oanda import OandaApi
|
||||
from vnpy.trader.vtGateway 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 OandaGateway(VtGateway):
|
||||
"""OANDA接口"""
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def __init__(self, eventEngine, gatewayName='OANDA'):
|
||||
"""Constructor"""
|
||||
super(OandaGateway, 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:
|
||||
token = str(setting['token'])
|
||||
accountId = str(setting['accountId'])
|
||||
settingName = str(setting['settingName'])
|
||||
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(settingName, token, accountId)
|
||||
log = VtLogData()
|
||||
log.gatewayName = self.gatewayName
|
||||
log.logContent = u'接口初始化成功'
|
||||
self.onLog(log)
|
||||
|
||||
# 查询信息
|
||||
self.api.qryInstruments()
|
||||
self.api.qryOrders()
|
||||
self.api.qryTrades()
|
||||
|
||||
# 初始化并启动查询
|
||||
self.initQuery()
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def subscribe(self, subscribeReq):
|
||||
"""订阅行情"""
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
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"""
|
||||
self.api.getAccountInfo()
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def qryPosition(self):
|
||||
"""查询持仓"""
|
||||
self.api.getPositions()
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def close(self):
|
||||
"""关闭"""
|
||||
self.api.exit()
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def initQuery(self):
|
||||
"""初始化连续查询"""
|
||||
if self.qryEnabled:
|
||||
# 需要循环的查询函数列表
|
||||
self.qryFunctionList = [self.qryAccount, self.qryPosition]
|
||||
|
||||
self.qryCount = 0 # 查询触发倒计时
|
||||
self.qryTrigger = 2 # 查询触发点
|
||||
self.qryNextFunction = 0 # 上次运行的查询函数索引
|
||||
|
||||
self.startQuery()
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def query(self, event):
|
||||
"""注册到事件处理引擎上的查询函数"""
|
||||
self.qryCount += 1
|
||||
|
||||
if self.qryCount > self.qryTrigger:
|
||||
# 清空倒计时
|
||||
self.qryCount = 0
|
||||
|
||||
# 执行查询函数
|
||||
function = self.qryFunctionList[self.qryNextFunction]
|
||||
function()
|
||||
|
||||
# 计算下次查询函数的索引，如果超过了列表长度，则重新设为0
|
||||
self.qryNextFunction += 1
|
||||
if self.qryNextFunction == len(self.qryFunctionList):
|
||||
self.qryNextFunction = 0
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def startQuery(self):
|
||||
"""启动连续查询"""
|
||||
self.eventEngine.register(EVENT_TIMER, self.query)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def setQryEnabled(self, qryEnabled):
|
||||
"""设置是否要启动循环查询"""
|
||||
self.qryEnabled = qryEnabled
|
||||
|
||||
|
||||
|
||||
########################################################################
|
||||
class Api(OandaApi):
|
||||
"""OANDA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.orderDict = {} # 缓存委托数据
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def onError(self, error, reqID):
|
||||
"""错误信息回调"""
|
||||
err = VtErrorData()
|
||||
err.gatewayName = self.gatewayName
|
||||
err.errorMsg = error
|
||||
self.gateway.onError(err)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def onGetInstruments(self, data, reqID):
|
||||
"""回调函数"""
|
||||
if not 'instruments' in data:
|
||||
return
|
||||
l = data['instruments']
|
||||
for d in l:
|
||||
contract = VtContractData()
|
||||
contract.gatewayName = self.gatewayName
|
||||
|
||||
contract.symbol = d['instrument']
|
||||
contract.name = d['displayName']
|
||||
contract.exchange = EXCHANGE_OANDA
|
||||
contract.vtSymbol = '.'.join([contract.symbol, contract.exchange])
|
||||
contract.priceTick = float(d['pip'])
|
||||
contract.size = 1
|
||||
contract.productClass = PRODUCT_FOREX
|
||||
self.gateway.onContract(contract)
|
||||
|
||||
self.writeLog(u'交易合约信息查询完成')
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def onGetAccountInfo(self, data, reqID):
|
||||
"""回调函数"""
|
||||
account = VtAccountData()
|
||||
account.gatewayName = self.gatewayName
|
||||
|
||||
account.accountID = str(data['accountId'])
|
||||
account.vtAccountID = '.'.join([self.gatewayName, account.accountID])
|
||||
|
||||
account.available = data['marginAvail']
|
||||
account.margin = data['marginUsed']
|
||||
account.closeProfit = data['realizedPl']
|
||||
account.positionProfit = data['unrealizedPl']
|
||||
account.balance = data['balance']
|
||||
|
||||
self.gateway.onAccount(account)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def onGetOrders(self, data, reqID):
|
||||
"""回调函数"""
|
||||
if not 'orders' in data:
|
||||
return
|
||||
l = data['orders']
|
||||
|
||||
for d in l:
|
||||
order = VtOrderData()
|
||||
order.gatewayName = self.gatewayName
|
||||
|
||||
order.symbol = d['instrument']
|
||||
order.exchange = EXCHANGE_OANDA
|
||||
order.vtSymbol = '.'.join([order.symbol, order.exchange])
|
||||
order.orderID = str(d['id'])
|
||||
|
||||
order.direction = directionMapReverse.get(d['side'], DIRECTION_UNKNOWN)
|
||||
order.offset = OFFSET_NONE
|
||||
order.status = STATUS_NOTTRADED # OANDA查询到的订单都是活动委托
|
||||
|
||||
order.price = d['price']
|
||||
order.totalVolume = d['units']
|
||||
order.orderTime = getTime(d['time'])
|
||||
|
||||
order.vtOrderID = '.'.join([self.gatewayName , order.orderID])
|
||||
|
||||
self.gateway.onOrder(order)
|
||||
|
||||
self.orderDict[order.orderID] = order
|
||||
|
||||
self.writeLog(u'委托信息查询完成')
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def onGetPositions(self, data, reqID):
|
||||
"""回调函数"""
|
||||
if not 'positions' in data:
|
||||
return
|
||||
l = data['positions']
|
||||
|
||||
for d in l:
|
||||
pos = VtPositionData()
|
||||
pos.gatewayName = self.gatewayName
|
||||
|
||||
pos.symbol = d['instrument']
|
||||
pos.exchange = EXCHANGE_OANDA
|
||||
pos.vtSymbol = '.'.join([pos.symbol, pos.exchange])
|
||||
pos.direction = directionMapReverse.get(d['side'], DIRECTION_UNKNOWN)
|
||||
pos.position = d['units']
|
||||
pos.price = d['avgPrice']
|
||||
pos.vtPositionName = '.'.join([pos.vtSymbol, pos.direction])
|
||||
|
||||
self.gateway.onPosition(pos)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def onGetTransactions(self, data, reqID):
|
||||
"""回调函数"""
|
||||
if not 'transactions' in data:
|
||||
return
|
||||
l = data['transactions']
|
||||
|
||||
for d in l:
|
||||
# 这里我们只关心委托成交
|
||||
if d['type'] == 'ORDER_FILLED':
|
||||
trade = VtTradeData()
|
||||
trade.gatewayName = self.gatewayName
|
||||
|
||||
trade.symbol = d['instrument']
|
||||
trade.exchange = EXCHANGE_OANDA
|
||||
trade.vtSymbol = '.'.join([trade.symbol, trade.exchange])
|
||||
trade.tradeID = str(d['id'])
|
||||
trade.vtTradeID = '.'.join([self.gatewayName, trade.tradeID])
|
||||
trade.orderID = str(d['orderId'])
|
||||
trade.vtOrderID = '.'.join([self.gatewayName, trade.orderID])
|
||||
trade.direction = directionMapReverse.get(d['side'], DIRECTION_UNKNOWN)
|
||||
trade.offset = OFFSET_NONE
|
||||
trade.price = d['price']
|
||||
trade.volume = d['units']
|
||||
trade.tradeTime = getTime(d['time'])
|
||||
|
||||
self.gateway.onTrade(trade)
|
||||
|
||||
self.writeLog(u'成交信息查询完成')
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def onPrice(self, data):
|
||||
"""行情推送"""
|
||||
if 'tick' not in data:
|
||||
return
|
||||
d = data['tick']
|
||||
|
||||
tick = VtTickData()
|
||||
tick.gatewayName = self.gatewayName
|
||||
|
||||
tick.symbol = d['instrument']
|
||||
tick.exchange = EXCHANGE_OANDA
|
||||
tick.vtSymbol = '.'.join([tick.symbol, tick.exchange])
|
||||
tick.bidPrice1 = d['bid']
|
||||
tick.askPrice1 = d['ask']
|
||||
tick.time = getTime(d['time']) + '.0' # 补齐毫秒部分
|
||||
tick.date = datetime.datetime.utcnow().strftime('%Y%m%d') # OANDA的时间是UTC标准时
|
||||
|
||||
# 做市商的TICK数据只有买卖的报价，因此最新价格选用中间价代替
|
||||
tick.lastPrice = (tick.bidPrice1 + tick.askPrice1)/2
|
||||
|
||||
self.gateway.onTick(tick)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def onEvent(self, data):
|
||||
"""事件推送（成交等）"""
|
||||
if 'transaction' not in data:
|
||||
return
|
||||
|
||||
d = data['transaction']
|
||||
|
||||
# 委托成交
|
||||
if d['type'] == 'ORDER_FILLED':
|
||||
# 推送成交事件
|
||||
trade = VtTradeData()
|
||||
trade.gatewayName = self.gatewayName
|
||||
|
||||
trade.symbol = d['instrument']
|
||||
trade.exchange = EXCHANGE_OANDA
|
||||
trade.vtSymbol = '.'.join([trade.symbol, trade.exchange])
|
||||
|
||||
trade.tradeID = str(d['id'])
|
||||
trade.vtTradeID = '.'.join([self.gatewayName, trade.tradeID])
|
||||
|
||||
trade.orderID = str(d['orderId'])
|
||||
trade.vtOrderID = '.'.join([self.gatewayName, trade.orderID])
|
||||
|
||||
trade.direction = directionMapReverse.get(d['side'], DIRECTION_UNKNOWN)
|
||||
trade.offset = OFFSET_NONE
|
||||
|
||||
trade.price = d['price']
|
||||
trade.volume = d['units']
|
||||
trade.tradeTime = getTime(d['time'])
|
||||
|
||||
self.gateway.onTrade(trade)
|
||||
|
||||
# 推送委托事件
|
||||
order = self.orderDict.get(str(d['orderId']), None)
|
||||
if not order:
|
||||
return
|
||||
order.status = STATUS_ALLTRADED
|
||||
self.gateway.onOrder(order)
|
||||
|
||||
# 委托下达
|
||||
elif d['type'] in ['MARKET_ORDER_CREATE', 'LIMIT_ORDER_CREATE']:
|
||||
order = VtOrderData()
|
||||
order.gatewayName = self.gatewayName
|
||||
|
||||
order.symbol = d['instrument']
|
||||
order.exchange = EXCHANGE_OANDA
|
||||
order.vtSymbol = '.'.join([order.symbol, order.exchange])
|
||||
order.orderID = str(d['id'])
|
||||
order.direction = directionMapReverse.get(d['side'], DIRECTION_UNKNOWN)
|
||||
order.offset = OFFSET_NONE
|
||||
order.status = STATUS_NOTTRADED
|
||||
order.price = d['price']
|
||||
order.totalVolume = d['units']
|
||||
order.orderTime = getTime(d['time'])
|
||||
order.vtOrderID = '.'.join([self.gatewayName , order.orderID])
|
||||
|
||||
self.gateway.onOrder(order)
|
||||
self.orderDict[order.orderID] = order
|
||||
|
||||
# 委托撤销
|
||||
elif d['type'] == 'ORDER_CANCEL':
|
||||
order = self.orderDict.get(str(d['orderId']), None)
|
||||
if not order:
|
||||
return
|
||||
order.status = STATUS_CANCELLED
|
||||
self.gateway.onOrder(order)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
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"""
|
||||
params = {'accountId': self.accountId}
|
||||
self.getInstruments(params)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def qryOrders(self):
|
||||
"""查询委托"""
|
||||
self.getOrders({})
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def qryTrades(self):
|
||||
"""查询成交"""
|
||||
# 最多查询100条记录
|
||||
self.getTransactions({'count': 100})
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def sendOrder_(self, orderReq):
|
||||
"""发送委托"""
|
||||
params = {}
|
||||
params['instrument'] = orderReq.symbol
|
||||
params['units'] = orderReq.volume
|
||||
params['side'] = directionMap.get(orderReq.direction, '')
|
||||
params['price'] = orderReq.price
|
||||
params['type'] = priceTypeMap.get(orderReq.priceType, '')
|
||||
|
||||
# 委托有效期24小时
|
||||
expire = datetime.datetime.now() + datetime.timedelta(days=1)
|
||||
params['expiry'] = expire.isoformat('T') + 'Z'
|
||||
|
||||
self.sendOrder(params)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def cancelOrder_(self, cancelOrderReq):
|
||||
"""撤销委托"""
|
||||
self.cancelOrder(cancelOrderReq.orderID)
|
||||
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
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]
|
||||
@ -80,7 +80,6 @@ EXCHANGE_CME = 'CME' # CME交易所
|
||||
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
|
||||
|
||||
@ -76,7 +76,6 @@ EXCHANGE_CME = 'CME' # CME交易所
|
||||
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
|
||||
|
||||
Loading…
Reference in New Issue
Block a user