Merge pull request #1468 from 1122455801/tiger_gateway_version_05
[Mod] tiger_gateway
This commit is contained in:
vn.py
GitHub
commit
6e985e5492
@ -4,19 +4,15 @@ 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 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 functools
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import pandas as pd
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from pandas import DataFrame
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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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from tigeropen.quote.quote_client import QuoteClient
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@ -39,7 +35,6 @@ from vnpy.trader.object import (
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CancelRequest,
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)
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PRODUCT_VT2TIGER = {
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Product.EQUITY: "STK",
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Product.OPTION: "OPT",
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@ -47,7 +42,7 @@ PRODUCT_VT2TIGER = {
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Product.WARRANT: "IOPT",
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Product.FUTURES: "FUT",
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Product.OPTION: "FOP",
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Product.FOREX: "CASH"
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Product.FOREX: "CASH",
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}
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DIRECTION_VT2TIGER = {
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@ -75,7 +70,7 @@ STATUS_TIGER2VT = {
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ORDER_STATUS.CANCELLED: Status.CANCELLED,
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ORDER_STATUS.PENDING_CANCEL: Status.CANCELLED,
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ORDER_STATUS.REJECTED: Status.REJECTED,
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ORDER_STATUS.EXPIRED: Status.NOTTRADED
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ORDER_STATUS.EXPIRED: Status.NOTTRADED,
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}
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PUSH_STATUS_TIGER2VT = {
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@ -86,26 +81,23 @@ PUSH_STATUS_TIGER2VT = {
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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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"Inactive": Status.REJECTED,
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}
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# "private_key": "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",
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class TigerGateway(BaseGateway):
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""""""
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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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"tiger_id": "",
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"account": "",
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"standard_account": "",
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}
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def __init__(self, event_engine):
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"""Constructor"""
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super(TigerGateway, self).__init__(event_engine, "TIGER")
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self.private_key = "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"
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self.tiger_key_2005 = "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"
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self.private_key = ""
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self.tiger_id = ""
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self.account = ""
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self.standard_account = ""
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@ -116,6 +108,8 @@ class TigerGateway(BaseGateway):
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self.quote_client = None
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self.push_client = None
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self.tradeid = 0
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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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@ -129,7 +123,7 @@ class TigerGateway(BaseGateway):
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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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func, arg = self.queue.get(timeout=0.1)
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if arg:
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func(arg)
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else:
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@ -156,14 +150,14 @@ class TigerGateway(BaseGateway):
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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.init_client_config()
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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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# self.thread.start()
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def get_client_config(self, sandbox=True):
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def init_client_config(self, sandbox=True):
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""""""
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self.client_config = TigerOpenClientConfig(sandbox_debug=sandbox)
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self.client_config.private_key = self.private_key
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@ -172,7 +166,6 @@ class TigerGateway(BaseGateway):
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self.client_config.standard_account = self.standard_account
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self.client_config.paper_account = self.paper_account
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self.client_config.language = self.language
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return self.client_config
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def connect_quote(self):
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"""
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@ -186,9 +179,9 @@ class TigerGateway(BaseGateway):
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return
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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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self.write_log("行情接口连接成功")
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def connect_trade(self):
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"""
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@ -202,12 +195,12 @@ class TigerGateway(BaseGateway):
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return
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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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self.write_log("交易接口连接成功")
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def connect_push(self):
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"""
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Connect to push server.
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@ -217,157 +210,127 @@ class TigerGateway(BaseGateway):
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self.push_client.connect(self.client_config.tiger_id, self.client_config.private_key)
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self.push_client.quote_changed = self.on_quote_change
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self.push_client.subscribe_asset()
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self.push_client.asset_changed = self.on_asset_changed
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self.push_client.subscribe_position()
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self.push_client.position_changed = self.on_position_changed
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self.push_client.subscribe_order()
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self.push_client.order_changed = self.on_order_changed
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self.push_client.asset_changed = self.on_asset_change
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self.push_client.position_changed = self.on_position_change
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self.push_client.order_changed = self.on_order_change
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self.write_log("推送接口连接成功")
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def subscribe(self, req: SubscribeRequest):
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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_position()
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# self.push_client.subscribe_order()
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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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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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name = self.symbol_names[symbol]
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def on_quote_change(self, tiger_symbol: str, data: list, trading: bool):
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""""""
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data = dict(data)
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symbol, exchange = convert_symbol_tiger2vt(tiger_symbol)
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tick = self.ticks.get(symbol, None)
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if not tick:
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tick = TickData(
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symbol=symbol,
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exchange=exchange,
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datetime=None,
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gateway_name=self.gateway_name,
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name=name,
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datetime=datetime.now(),
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name=self.symbol_names[symbol],
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)
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self.ticks[symbol] = tick
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tick.datetime = datetime.now()
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tick.pre_close = data.get("prev_close",0)
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tick.last_price = data.get("latest_price",0)
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tick.datetime = datetime.fromtimestamp(data["latest_time"] / 1000)
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tick.pre_close = data.get("prev_close", 0)
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tick.last_price = data.get("latest_price", 0)
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tick.volume = data.get("volume", 0)
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tick.open_price = data.get("open", 0)
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tick.open_price = data.get("open", 0) #美股无
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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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tick.bid_volume_1=data.get("bid_size", 0) # A股/港股无
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tick.open_price = data.get("open", 0)
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tick.high_price = data.get("high", 0)
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tick.low_price = data.get("low", 0)
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tick.ask_price_1 = data.get("ask_price", 0)
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tick.bid_price_1 = data.get("bid_price", 0)
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tick.ask_volume_1 = data.get("ask_size", 0)
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tick.bid_volume_1 = data.get("bid_size", 0)
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self.on_tick(copy(tick))
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def on_asset_changed(self, account:str, data:list):
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def on_asset_change(self, tiger_account: str, data: list):
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""""""
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#print("账号", data)
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data = dict(data)
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account = AccountData(
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accountid=account,
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accountid=tiger_account,
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balance=data["net_liquidation"],
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frozen=0.0,
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gateway_name=self.gateway_name,
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)
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self.on_account(account)
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def on_position_changed(self, account:str, data:list):
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def on_position_change(self, tiger_account: str, data: list):
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""""""
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#print ("持仓", data)
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data = dict(data)
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symbol = data["origin_symbol"]
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volume = data["quantity"]
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# 判断方向
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if volume > 0:
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direction = Direction.LONG
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else:
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direction = Direction.SHORT
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symbol, exchange = convert_symbol_tiger2vt(symbol)
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symbol, exchange = convert_symbol_tiger2vt(data["origin_symbol"])
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pos = PositionData(
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symbol=symbol,
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exchange=exchange,
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direction=direction,
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volume=volume,
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direction=Direction.NET,
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volume=data["quantity"],
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frozen=0.0,
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price=data["average_cost"],
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pnl=data["unrealized_pnl"],
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gateway_name=self.gateway_name,
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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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def on_order_change(self, tiger_account: str, data: list):
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""""""
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#print("委托", data)
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print("委托", data)
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data = dict(data)
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symbol = data["origin_symbol"]
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volume = data["quantity"]
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symbol, exchange = convert_symbol_tiger2vt(symbol)
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if data["order_type"] == "LMT":
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price = data["limit_price"]
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else:
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price = 0
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symbol, exchange = convert_symbol_tiger2vt(data["origin_symbol"])
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status = PUSH_STATUS_TIGER2VT[data["status"]]
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order = OrderData(
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symbol=symbol,
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exchange=exchange,
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orderid=data["order_id"],
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direction=DIRECTION_TIGER2VT[data["action"]],
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price=price,
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volume=volume,
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direction=Direction.NET,
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price=data.get("limit_price", 0),
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volume=data["quantity"],
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traded=data["filled"],
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status=PUSH_STATUS_TIGER2VT[data["status"]],
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time=time.strftime("%Y-%m-%d %H:%M:%S", time.localtime(data["order_time"] / 1000)).split(" ")[-1],
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status=status,
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time=datetime.fromtimestamp(data["order_time"] / 1000).strftime("%H:%M:%S"),
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gateway_name=self.gateway_name,
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)
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self.on_order(order)
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trade = TradeData(
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symbol=symbol,
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exchange=exchange,
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direction=DIRECTION_TIGER2VT[data["action"]],
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tradeid=data["order_id"],
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orderid=data["order_id"],
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price=data["avg_fill_price"],
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volume=data["filled"],
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time=time.strftime("%Y-%m-%d %H:%M:%S", time.localtime(data["trade_time"] / 1000)).split(" ")[-1],
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gateway_name=self.gateway_name,
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)
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self.on_trade(trade)
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if status == Status.ALLTRADED:
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self.tradeid += 1
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trade = TradeData(
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symbol=symbol,
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exchange=exchange,
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direction=Direction.NET,
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tradeid=self.tradeid,
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orderid=data["order_id"],
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price=data["avg_fill_price"],
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volume=data["filled"],
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time=datetime.fromtimestamp(data["trade_time"] / 1000).strftime("%H:%M:%S"),
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gateway_name=self.gateway_name,
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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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self.add_task(self._send_order, req)
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def _send_order(self, req: OrderRequest):
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""""""
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currency = config_symbol_currency(req.symbol)
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order_type = PRICETYPE_VT2TIGER[req.price_type]
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# first, get contract
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try:
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contract = self.trade_client.get_contracts(symbol=symbol, currency=currency)[0]
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contract = self.trade_client.get_contracts(symbol=req.symbol, currency=currency)[0]
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except ApiException:
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self.write_log("获取合约对象失败")
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return
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@ -378,10 +341,10 @@ class TigerGateway(BaseGateway):
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account=self.account,
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contract=contract,
|
||||
action=DIRECTION_VT2TIGER[req.direction],
|
||||
order_type=order_type,
|
||||
quantity=req.volume,
|
||||
limit_price=req.price
|
||||
)
|
||||
order_type=PRICETYPE_VT2TIGER[req.price_type],
|
||||
quantity=int(req.volume),
|
||||
limit_price=req.price,
|
||||
)
|
||||
except ApiException:
|
||||
self.write_log("创建订单失败")
|
||||
return
|
||||
@ -401,11 +364,15 @@ class TigerGateway(BaseGateway):
|
||||
return order.vt_orderid
|
||||
|
||||
def cancel_order(self, req: CancelRequest):
|
||||
""""""
|
||||
self.add_task(self._cancel_order, req)
|
||||
|
||||
def _cancel_order(self, req: CancelRequest):
|
||||
""""""
|
||||
try:
|
||||
data = self.trade_client.cancel_order(order_id=req.orderid)
|
||||
except ApiException:
|
||||
self.write_log("撤单失败")
|
||||
self.write_log(f"撤单失败：{req.orderid}")
|
||||
return
|
||||
|
||||
if not data:
|
||||
@ -498,7 +465,7 @@ class TigerGateway(BaseGateway):
|
||||
for i in assets:
|
||||
account = AccountData(
|
||||
accountid=self.account,
|
||||
balance=float(i.summary.net_liquidation),
|
||||
balance=i.summary.net_liquidation,
|
||||
frozen=0.0,
|
||||
gateway_name=self.gateway_name,
|
||||
)
|
||||
@ -514,22 +481,15 @@ class TigerGateway(BaseGateway):
|
||||
return
|
||||
|
||||
for i in position:
|
||||
symbol = i.contract.symbol
|
||||
symbol, exchange = convert_symbol_tiger2vt(symbol)
|
||||
volume = float(i.quantity)
|
||||
# 判断方向
|
||||
if volume > 0:
|
||||
direction = Direction.LONG
|
||||
else:
|
||||
direction = Direction.SHORT
|
||||
symbol, exchange = convert_symbol_tiger2vt(i.contract.symbol)
|
||||
|
||||
pos = PositionData(
|
||||
symbol=symbol,
|
||||
exchange=exchange,
|
||||
direction=direction,
|
||||
volume=volume,
|
||||
direction=Direction.NET,
|
||||
volume=i.quantity,
|
||||
frozen=0.0,
|
||||
price=float(i.average_cost),
|
||||
price=i.average_cost,
|
||||
pnl=float(i.unrealized_pnl),
|
||||
gateway_name=self.gateway_name,
|
||||
)
|
||||
@ -547,40 +507,28 @@ class TigerGateway(BaseGateway):
|
||||
self.process_order(data)
|
||||
self.process_deal(data)
|
||||
|
||||
def query_trade(self):
|
||||
""""""
|
||||
pass
|
||||
|
||||
def close(self):
|
||||
""""""
|
||||
self.active = False
|
||||
self.queue.join()
|
||||
|
||||
if self.push_client:
|
||||
self.push_client.disconnect()
|
||||
|
||||
def process_order(self, data):
|
||||
""""""
|
||||
for i in data:
|
||||
symbol = str(i.contract)
|
||||
symbol, exchange = convert_symbol_tiger2vt(symbol)
|
||||
time_local = time.localtime(i.order_time / 1000)
|
||||
|
||||
if i.order_type == "LMT":
|
||||
price = i.limit_price
|
||||
else:
|
||||
price = 0
|
||||
for i in data:
|
||||
symbol, exchange = convert_symbol_tiger2vt(str(i.contract))
|
||||
|
||||
order = OrderData(
|
||||
symbol=symbol,
|
||||
exchange=exchange,
|
||||
orderid=str(i.order_id),
|
||||
direction=DIRECTION_TIGER2VT[i.action],
|
||||
price=float(price),
|
||||
volume=float(i.quantity),
|
||||
traded=float(i.filled),
|
||||
direction=Direction.NET,
|
||||
price=i.limit_price if i.limit_price else 0.0,
|
||||
volume=i.quantity,
|
||||
traded=i.filled,
|
||||
status=STATUS_TIGER2VT[i.status],
|
||||
time=time.strftime("%Y-%m-%d %H:%M:%S", time_local).split(" ")[-1],
|
||||
time=datetime.fromtimestamp(i.order_time / 1000).strftime("%H:%M:%S"),
|
||||
gateway_name=self.gateway_name,
|
||||
)
|
||||
|
||||
@ -590,27 +538,27 @@ class TigerGateway(BaseGateway):
|
||||
"""
|
||||
Process trade data for both query and update.
|
||||
"""
|
||||
for i in data:
|
||||
for i in reversed(data):
|
||||
if i.status == ORDER_STATUS.PARTIALLY_FILLED or i.status == ORDER_STATUS.FILLED:
|
||||
symbol = str(i.contract)
|
||||
symbol, exchange = convert_symbol_tiger2vt(symbol)
|
||||
time_local = time.localtime(i.trade_time / 1000)
|
||||
symbol, exchange = convert_symbol_tiger2vt(str(i.contract))
|
||||
self.tradeid += 1
|
||||
|
||||
trade = TradeData(
|
||||
symbol=symbol,
|
||||
exchange=exchange,
|
||||
direction=DIRECTION_TIGER2VT[i.action],
|
||||
tradeid=i.order_id,
|
||||
direction=Direction.NET,
|
||||
tradeid=self.tradeid,
|
||||
orderid=i.order_id,
|
||||
price=float(i.avg_fill_price),
|
||||
volume=float(i.filled),
|
||||
time=time.strftime("%Y-%m-%d %H:%M:%S", time_local).split(" ")[-1],
|
||||
price=i.avg_fill_price,
|
||||
volume=i.filled,
|
||||
time=datetime.fromtimestamp(i.trade_time / 1000).strftime("%H:%M:%S"),
|
||||
gateway_name=self.gateway_name,
|
||||
)
|
||||
|
||||
self.on_trade(trade)
|
||||
|
||||
|
||||
@functools.lru_cache()
|
||||
def convert_symbol_tiger2vt(symbol):
|
||||
"""
|
||||
Convert symbol from vt to tiger.
|
||||
@ -620,7 +568,7 @@ def convert_symbol_tiger2vt(symbol):
|
||||
else:
|
||||
if len(symbol) < 6:
|
||||
exchange = Exchange.SEHK
|
||||
elif symbol.startswith("6"):
|
||||
elif symbol.startswith("6"):
|
||||
exchange = Exchange.SSE
|
||||
elif symbol.endswith(".SH"):
|
||||
exchange = Exchange.SSE
|
||||
@ -630,6 +578,7 @@ def convert_symbol_tiger2vt(symbol):
|
||||
return symbol, exchange
|
||||
|
||||
|
||||
@functools.lru_cache()
|
||||
def convert_symbol_vt2tiger(symbol, exchange):
|
||||
"""
|
||||
Convert symbol from vt to tiger.
|
||||
@ -641,6 +590,7 @@ def convert_symbol_vt2tiger(symbol, exchange):
|
||||
return symbol
|
||||
|
||||
|
||||
@functools.lru_cache()
|
||||
def config_symbol_currency(symbol):
|
||||
"""
|
||||
Config symbol to corresponding currency
|
||||
@ -652,5 +602,4 @@ def config_symbol_currency(symbol):
|
||||
currency = Currency.HKD
|
||||
else:
|
||||
currency = Currency.CNH
|
||||
|
||||
return currency
|
||||
return currency
|
||||
|
||||
Loading…
Reference in New Issue
Block a user