From 6a64313fbf97440f6f31a4da30e163ef63852591 Mon Sep 17 00:00:00 2001 From: "vn.py" Date: Fri, 10 May 2019 13:41:09 +0800 Subject: [PATCH] [Add] support batch order in HbdmGateway --- vnpy/gateway/hbdm/hbdm_gateway.py | 110 ++++++++++++++++++++++++++++-- vnpy/trader/engine.py | 18 ++++- 2 files changed, 122 insertions(+), 6 deletions(-) diff --git a/vnpy/gateway/hbdm/hbdm_gateway.py b/vnpy/gateway/hbdm/hbdm_gateway.py index de681d24..022f6842 100644 --- a/vnpy/gateway/hbdm/hbdm_gateway.py +++ b/vnpy/gateway/hbdm/hbdm_gateway.py @@ -12,6 +12,7 @@ import hmac from copy import copy from datetime import datetime from threading import Lock +from typing import Sequence from vnpy.event import Event from vnpy.api.rest import RestClient, Request @@ -129,6 +130,10 @@ class HbdmGateway(BaseGateway): """""" self.rest_api.cancel_order(req) + def send_orders(self, reqs: Sequence[OrderRequest]): + """""" + return self.rest_api.send_orders(reqs) + def query_account(self): """""" self.rest_api.query_account() @@ -288,8 +293,8 @@ class HbdmRestApi(RestClient): "client_order_id": int(local_orderid), "price": req.price, "volume": int(req.volume), - "direction": DIRECTION_VT2HBDM[req.direction], - "offset": OFFSET_VT2HBDM[req.offset], + "direction": DIRECTION_VT2HBDM.get(req.direction, ""), + "offset": OFFSET_VT2HBDM.get(req.offset, ""), "order_price_type": ORDERTYPE_VT2HBDM.get(req.type, ""), "lever_rate": 20 } @@ -307,6 +312,53 @@ class HbdmRestApi(RestClient): self.gateway.on_order(order) return order.vt_orderid + def send_orders(self, reqs: Sequence[OrderRequest]): + """""" + orders_data = [] + orders = [] + vt_orderids = [] + + for req in reqs: + local_orderid = self.new_local_orderid() + + order = req.create_order_data( + local_orderid, + self.gateway_name + ) + order.time = datetime.now().strftime("%H:%M:%S") + self.gateway.on_order(order) + + d = { + "contract_code": req.symbol, + "client_order_id": int(local_orderid), + "price": req.price, + "volume": int(req.volume), + "direction": DIRECTION_VT2HBDM.get(req.direction, ""), + "offset": OFFSET_VT2HBDM.get(req.offset, ""), + "order_price_type": ORDERTYPE_VT2HBDM.get(req.type, ""), + "lever_rate": 20 + } + + orders_data.append(d) + orders.append(order) + vt_orderids.append(order.vt_orderid) + + data = { + "orders_data": orders_data + } + + self.add_request( + method="POST", + path="/api/v1/contract_batchorder", + callback=self.on_send_orders, + data=data, + extra=orders, + on_error=self.on_send_orders_error, + on_failed=self.on_send_orders_failed + ) + + return vt_orderids + def cancel_order(self, req: CancelRequest): """""" buf = [i for i in req.symbol if not i.isdigit()] @@ -315,10 +367,11 @@ class HbdmRestApi(RestClient): "symbol": "".join(buf), } - if req.orderid > 1000000: - data["client_order_id"] = int(req.orderid) + orderid = int(req.orderid) + if orderid > 1000000: + data["client_order_id"] = orderid else: - data["order_id"] = int(req.orderid) + data["order_id"] = orderid self.add_request( method="POST", @@ -479,6 +532,53 @@ class HbdmRestApi(RestClient): msg = f"撤单失败，状态码：{status_code}，信息：{request.response.text}" self.gateway.write_log(msg) + def on_send_orders(self, data, request): + """""" + orders = request.extra + + errors = data.get("errors", None) + if errors: + for d in errors: + ix = d["index"] + code = d["err_code"] + msg = d["err_msg"] + + order = orders[ix] + order.status = Status.REJECTED + self.gateway.on_order(order) + + msg = f"批量委托失败，状态码：{code}，信息：{msg}" + self.gateway.write_log(msg) + + def on_send_orders_failed(self, status_code: str, request: Request): + """ + Callback when sending order failed on server. + """ + orders = request.extra + + for order in orders: + order.status = Status.REJECTED + self.gateway.on_order(order) + + msg = f"批量委托失败，状态码：{status_code}，信息：{request.response.text}" + self.gateway.write_log(msg) + + def on_send_orders_error( + self, exception_type: type, exception_value: Exception, tb, request: Request + ): + """ + Callback when sending order caused exception. + """ + orders = request.extra + + for order in orders: + order.status = Status.REJECTED + self.gateway.on_order(order) + + # Record exception if not ConnectionError + if not issubclass(exception_type, ConnectionError): + self.on_error(exception_type, exception_value, tb, request) + def check_error(self, data: dict, func: str = ""): """""" if data["status"] != "error": diff --git a/vnpy/trader/engine.py b/vnpy/trader/engine.py index 96246487..9b60bae0 100644 --- a/vnpy/trader/engine.py +++ b/vnpy/trader/engine.py @@ -8,7 +8,7 @@ from datetime import datetime from email.message import EmailMessage from queue import Empty, Queue from threading import Thread -from typing import Any +from typing import Any, Sequence from vnpy.event import Event, EventEngine from .app import BaseApp @@ -180,6 +180,22 @@ class MainEngine: if gateway: gateway.cancel_order(req) + def send_orders(self, reqs: Sequence[OrderRequest], gateway_name: str): + """ + """ + gateway = self.get_gateway(gateway_name) + if gateway: + return gateway.send_orders(reqs) + else: + return ["" for req in reqs] + + def cancel_orders(self, reqs: Sequence[CancelRequest], gateway_name: str): + """ + """ + gateway = self.get_gateway(gateway_name) + if gateway: + gateway.cancel_orders(reqs) + def query_history(self, req: HistoryRequest, gateway_name: str): """ Send cancel order request to a specific gateway.