[Mod]Use thread pool for changing sync call to async in tiger_gateway
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vn.py
parent
a30766bc72
commit
67a8e5bdd2
@ -4,13 +4,18 @@ Please install tiger-api before use.
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pip install tigeropen
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"""
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import time
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from copy import copy
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from threading import Thread
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from time import sleep
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import time
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from datetime import datetime
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from multiprocessing.dummy import Pool
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from queue import Empty, Queue
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import pandas as pd
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from pandas import DataFrame
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from datetime import datetime
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from tigeropen.tiger_open_config import TigerOpenClientConfig
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from tigeropen.common.consts import Language, Currency, Market
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@ -21,9 +26,6 @@ from tigeropen.push.push_client import PushClient
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from tigeropen.common.exceptions import ApiException
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from vnpy.trader.constant import Direction, Product, Status, PriceType, Exchange
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from vnpy.trader.event import EVENT_TIMER
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from vnpy.trader.gateway import BaseGateway
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from vnpy.trader.object import (
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TickData,
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@ -54,9 +56,9 @@ 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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@ -77,17 +79,14 @@ STATUS_TIGER2VT = {
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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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"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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@ -95,12 +94,10 @@ PUSH_STATUS_TIGER2VT = {
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class TigerGateway(BaseGateway):
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""""""
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default_setting = {
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default_setting = {
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"tiger_id": "20150008",
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"account": "DU575568",
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"standard_account": "DU575568",
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"standard_account": "DU575568"
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}
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def __init__(self, event_engine):
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@ -119,13 +116,30 @@ class TigerGateway(BaseGateway):
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self.quote_client = None
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self.push_client = None
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self.active = False
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self.queue = Queue()
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self.pool = None
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self.ticks = {}
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self.trades = set()
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self.contracts = {}
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self.symbol_names = {}
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self.thread = Thread(target=self.query_data)
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def run(self):
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""""""
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while self.active:
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try:
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func, arg = self.queue.get(timeout=1)
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if arg:
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func(arg)
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else:
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func()
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except Empty:
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pass
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def add_task(self, func, arg=None):
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""""""
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self.queue.put((func, arg))
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def connect(self, setting: dict):
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""""""
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@ -136,24 +150,19 @@ class TigerGateway(BaseGateway):
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self.paper_account = setting["account"]
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self.languege = Language.zh_CN
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# Start thread pool for REST call
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self.active = True
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self.pool = Pool(5)
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self.pool.apply_async(self.run)
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# Put connect task into quque.
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self.get_client_config()
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self.connect_quote()
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self.connect_trade()
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self.connect_push()
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self.add_task(self.connect_quote)
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self.add_task(self.connect_trade)
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self.add_task(self.connect_push)
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self.thread.start()
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def query_data(self):
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"""
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Query all data necessary.
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"""
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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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def get_client_config(self, sandbox=True):
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""""""
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self.client_config = TigerOpenClientConfig(sandbox_debug=sandbox)
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@ -178,6 +187,8 @@ class TigerGateway(BaseGateway):
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if self.symbol_names:
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self.write_log("行情接口连接成功")
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self.add_task(self.query_contract)
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def connect_trade(self):
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"""
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@ -192,6 +203,10 @@ class TigerGateway(BaseGateway):
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if data:
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self.write_log("交易接口连接成功")
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self.add_task(self.query_order)
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self.add_task(self.query_position)
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self.add_task(self.query_account)
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def connect_push(self):
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"""
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@ -218,9 +233,9 @@ class TigerGateway(BaseGateway):
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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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@ -249,7 +264,6 @@ class TigerGateway(BaseGateway):
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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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@ -304,9 +318,6 @@ class TigerGateway(BaseGateway):
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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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@ -320,7 +331,6 @@ class TigerGateway(BaseGateway):
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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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@ -349,10 +359,6 @@ class TigerGateway(BaseGateway):
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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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@ -547,6 +553,9 @@ class TigerGateway(BaseGateway):
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def close(self):
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""""""
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self.active = False
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self.queue.join()
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if self.push_client:
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self.push_client.disconnect()
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@ -562,7 +571,6 @@ 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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@ -645,27 +653,4 @@ def config_symbol_currency(symbol):
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else:
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currency = Currency.CNH
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return currency
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return currency
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