[Mod]complete XtpQuoteApi

tests/trader/run.py

@@ -7,8 +7,8 @@ from vnpy.trader.ui import MainWindow, create_qapp
 from vnpy.gateway.bitmex import BitmexGateway
 from vnpy.gateway.futu import FutuGateway
 from vnpy.gateway.ib import IbGateway
-# from vnpy.gateway.ctp import CtpGateway
+from vnpy.gateway.ctp import CtpGateway
-from vnpy.gateway.femas import FemasGateway
+#from vnpy.gateway.femas import FemasGateway
 from vnpy.gateway.tiger import TigerGateway
 from vnpy.gateway.oes import OesGateway
 from vnpy.gateway.okex import OkexGateway
@@ -16,6 +16,7 @@ from vnpy.gateway.huobi import HuobiGateway
 from vnpy.gateway.bitfinex import BitfinexGateway
 from vnpy.gateway.onetoken import OnetokenGateway
 from vnpy.gateway.okexf import OkexfGateway
+from vnpy.gateway.xtp import XtpGateway
 
 from vnpy.app.cta_strategy import CtaStrategyApp
 from vnpy.app.csv_loader import CsvLoaderApp
@@ -30,8 +31,9 @@ def main():
     event_engine = EventEngine()
 
     main_engine = MainEngine(event_engine)
-    # main_engine.add_gateway(CtpGateway)
+    main_engine.add_gateway(XtpGateway)
-    main_engine.add_gateway(FemasGateway)
+    main_engine.add_gateway(CtpGateway)
+    # main_engine.add_gateway(FemasGateway)
     main_engine.add_gateway(IbGateway)
     main_engine.add_gateway(FutuGateway)
     main_engine.add_gateway(BitmexGateway)

vnpy/gateway/xtp/xtp_gateway.py

@@ -1,184 +1,94 @@
 from typing import Any, Sequence
 
-from vnpy.api.xtp.vnxtp import (OrderBookStruct, XTP, XTPMarketDataStruct, XTPQuoteStaticInfo,
+from vnpy.api.xtp.vnxtp import (
-                                XTPRspInfoStruct, XTPSpecificTickerStruct, XTPTickByTickStruct,
+    OrderBookStruct,
-                                XTPTickerPriceInfo, XTP_EXCHANGE_TYPE, XTP_LOG_LEVEL,
+    XTP,
-                                XTP_PROTOCOL_TYPE)
+    XTPMarketDataStruct,
+    XTPQuoteStaticInfo,
+    XTPRspInfoStruct,
+    XTPSpecificTickerStruct,
+    XTPTickByTickStruct,
+    XTPTickerPriceInfo,
+    XTP_EXCHANGE_TYPE,
+    XTP_LOG_LEVEL,
+    XTP_PROTOCOL_TYPE,
+    XTP_TICKER_TYPE_STOCK,
+    XTP_TICKER_TYPE_INDEX,
+    XTP_TICKER_TYPE_FUND,
+    XTP_TICKER_TYPE_BOND,
+    XTP_TICKER_TYPE_OPTION,
+    XTP_PROTOCOL_TCP,
+    XTP_PROTOCOL_UDP
+)
 
 from vnpy.event import EventEngine
-from vnpy.trader.constant import Exchange
+from vnpy.trader.constant import Exchange, Product
 from vnpy.trader.gateway import BaseGateway
-from vnpy.trader.object import CancelRequest, OrderRequest, SubscribeRequest
+from vnpy.trader.object import (CancelRequest, OrderRequest, SubscribeRequest,
+                                TickData, ContractData, OrderData, TradeData,
+                                PositionData, AccountData)
+from vnpy.trader.utility import get_folder_path
 
 API = XTP.API
+
 EXCHANGE_XTP2VT = {
     XTP_EXCHANGE_TYPE.XTP_EXCHANGE_SH: Exchange.SSE,
     XTP_EXCHANGE_TYPE.XTP_EXCHANGE_SZ: Exchange.SZSE,
 }
 EXCHANGE_VT2XTP = {v: k for k, v in EXCHANGE_XTP2VT.items()}
 
+PRODUCT_XTP2VT = {
+    XTP_TICKER_TYPE_STOCK: Product.EQUITY,
+    XTP_TICKER_TYPE_INDEX: Product.INDEX,
+    XTP_TICKER_TYPE_FUND: Product.FUND,
+    XTP_TICKER_TYPE_BOND: Product.BOND,
+    XTP_TICKER_TYPE_OPTION: Product.OPTION
+}
 
-class QuoteSpi(API.QuoteSpi):
 
-    def OnDisconnected(self, reason: int) -> Any:
+symbol_name_map = {}
-        print("OnDisconnected")
-        return super().OnDisconnected(reason)
-
-    def OnError(self, error_info: XTPRspInfoStruct) -> Any:
-        return super().OnError(error_info)
-
-    def OnSubMarketData(self, ticker: XTPSpecificTickerStruct, error_info: XTPRspInfoStruct,
-                        is_last: bool) -> Any:
-        print("OnSubMarketData")
-        return super().OnSubMarketData(ticker, error_info, is_last)
-
-    def OnUnSubMarketData(self, ticker: XTPSpecificTickerStruct, error_info: XTPRspInfoStruct,
-                          is_last: bool) -> Any:
-        return super().OnUnSubMarketData(ticker, error_info, is_last)
-
-    def OnDepthMarketData(self, market_data: XTPMarketDataStruct, bid1_qty: Sequence[int],
-                          bid1_count: int, max_bid1_count: int, ask1_qty: Sequence[int],
-                          ask1_count: int, max_ask1_count: int) -> Any:
-        print("OnDepthMarketData")
-        return super().OnDepthMarketData(market_data, bid1_qty, bid1_count, max_bid1_count,
-                                         ask1_qty, ask1_count, max_ask1_count)
-
-    def OnSubOrderBook(self, ticker: XTPSpecificTickerStruct, error_info: XTPRspInfoStruct,
-                       is_last: bool) -> Any:
-        return super().OnSubOrderBook(ticker, error_info, is_last)
-
-    def OnUnSubOrderBook(self, ticker: XTPSpecificTickerStruct, error_info: XTPRspInfoStruct,
-                         is_last: bool) -> Any:
-        return super().OnUnSubOrderBook(ticker, error_info, is_last)
-
-    def OnOrderBook(self, order_book: OrderBookStruct) -> Any:
-        return super().OnOrderBook(order_book)
-
-    def OnSubTickByTick(self, ticker: XTPSpecificTickerStruct, error_info: XTPRspInfoStruct,
-                        is_last: bool) -> Any:
-        return super().OnSubTickByTick(ticker, error_info, is_last)
-
-    def OnUnSubTickByTick(self, ticker: XTPSpecificTickerStruct, error_info: XTPRspInfoStruct,
-                          is_last: bool) -> Any:
-        return super().OnUnSubTickByTick(ticker, error_info, is_last)
-
-    def OnTickByTick(self, tbt_data: XTPTickByTickStruct) -> Any:
-        return super().OnTickByTick(tbt_data)
-
-    def OnSubscribeAllMarketData(self, exchange_id: XTP_EXCHANGE_TYPE,
-                                 error_info: XTPRspInfoStruct) -> Any:
-        return super().OnSubscribeAllMarketData(exchange_id, error_info)
-
-    def OnUnSubscribeAllMarketData(self, exchange_id: XTP_EXCHANGE_TYPE,
-                                   error_info: XTPRspInfoStruct) -> Any:
-        return super().OnUnSubscribeAllMarketData(exchange_id, error_info)
-
-    def OnSubscribeAllOrderBook(self, exchange_id: XTP_EXCHANGE_TYPE,
-                                error_info: XTPRspInfoStruct) -> Any:
-        return super().OnSubscribeAllOrderBook(exchange_id, error_info)
-
-    def OnUnSubscribeAllOrderBook(self, exchange_id: XTP_EXCHANGE_TYPE,
-                                  error_info: XTPRspInfoStruct) -> Any:
-        return super().OnUnSubscribeAllOrderBook(exchange_id, error_info)
-
-    def OnSubscribeAllTickByTick(self, exchange_id: XTP_EXCHANGE_TYPE,
-                                 error_info: XTPRspInfoStruct) -> Any:
-        return super().OnSubscribeAllTickByTick(exchange_id, error_info)
-
-    def OnUnSubscribeAllTickByTick(self, exchange_id: XTP_EXCHANGE_TYPE,
-                                   error_info: XTPRspInfoStruct) -> Any:
-        return super().OnUnSubscribeAllTickByTick(exchange_id, error_info)
-
-    def OnQueryAllTickers(self, ticker_info: XTPQuoteStaticInfo, error_info: XTPRspInfoStruct,
-                          is_last: bool) -> Any:
-        return super().OnQueryAllTickers(ticker_info, error_info, is_last)
-
-    def OnQueryTickersPriceInfo(self, ticker_info: XTPTickerPriceInfo, error_info: XTPRspInfoStruct,
-                                is_last: bool) -> Any:
-        return super().OnQueryTickersPriceInfo(ticker_info, error_info, is_last)
-
-    def OnSubscribeAllOptionMarketData(self, exchange_id: XTP_EXCHANGE_TYPE,
-                                       error_info: XTPRspInfoStruct) -> Any:
-        return super().OnSubscribeAllOptionMarketData(exchange_id, error_info)
-
-    def OnUnSubscribeAllOptionMarketData(self, exchange_id: XTP_EXCHANGE_TYPE,
-                                         error_info: XTPRspInfoStruct) -> Any:
-        return super().OnUnSubscribeAllOptionMarketData(exchange_id, error_info)
-
-    def OnSubscribeAllOptionOrderBook(self, exchange_id: XTP_EXCHANGE_TYPE,
-                                      error_info: XTPRspInfoStruct) -> Any:
-        return super().OnSubscribeAllOptionOrderBook(exchange_id, error_info)
-
-    def OnUnSubscribeAllOptionOrderBook(self, exchange_id: XTP_EXCHANGE_TYPE,
-                                        error_info: XTPRspInfoStruct) -> Any:
-        return super().OnUnSubscribeAllOptionOrderBook(exchange_id, error_info)
-
-    def OnSubscribeAllOptionTickByTick(self, exchange_id: XTP_EXCHANGE_TYPE,
-                                       error_info: XTPRspInfoStruct) -> Any:
-        return super().OnSubscribeAllOptionTickByTick(exchange_id, error_info)
-
-    def OnUnSubscribeAllOptionTickByTick(self, exchange_id: XTP_EXCHANGE_TYPE,
-                                         error_info: XTPRspInfoStruct) -> Any:
-        return super().OnUnSubscribeAllOptionTickByTick(exchange_id, error_info)
 
 
 class XtpGateway(BaseGateway):
 
-    def __init__(self, event_engine: "EventEngine"):
-        self.client_id: int = 1
-        self.quote_api = API.QuoteApi.CreateQuoteApi(
-            self.client_id,  # todo: change client id
-            "log",  # todo: use vnpy temp path
-            XTP_LOG_LEVEL.XTP_LOG_LEVEL_TRACE
-        )
-        self.quote_spi = QuoteSpi()
-        super().__init__(event_engine, "XTP")
-
     default_setting = {
-        "client_id": "0",
+        "账号": "",
-        "quote_server_ip": "",
+        "密码": "",
-        "quote_server_port": "",
+        "客户号": 1,
-        "quote_server_protocol": ["TCP", "UDP"],
+        "行情地址": "",
-        "quote_userid": "",
+        "行情端口": 0,
-        "quote_password": "",
+        "交易地址": "",
+        "交易端口": 0,
+        "行情协议": ["TCP", "UDP"]
     }
 
+    def __init__(self, event_engine: EventEngine):
+        """"""
+        super().__init__(event_engine, "XTP")
+
+        self.quote_api = XtpQuoteApi(self)
+
     def connect(self, setting: dict):
-        self.client_id = int(setting['client_id'])
+        """"""
-        quote_server_ip = setting['quote_server_ip']
+        userid = setting['账号']
-        quote_server_port = int(setting['quote_server_port'])
+        password = setting['密码']
-        quote_server_protocol = setting['quote_server_protocol']
+        client_id = setting['客户号']
-        quote_userid = setting['quote_userid']
+        quote_ip = setting['行情地址']
-        quote_password = setting['quote_password']
+        quote_port = setting['行情端口']
+        trade_ip = setting['交易地址']
+        trade_port = setting['交易端口']
+        quote_protocol = setting["行情协议"]
 
-        quote_protocol = XTP_PROTOCOL_TYPE.XTP_PROTOCOL_TCP if quote_server_protocol == 'TCP' else 'UDP'
+        self.quote_api.connect(userid, password, client_id,
-
+                               quote_ip, quote_port, quote_protocol)
-        self.quote_api.RegisterSpi(self.quote_spi)
-        # self.quote_api.SetHeartBeatInterval(60)
-
-        ret = self.quote_api.Login(
-            quote_server_ip,
-            quote_server_port,
-            quote_userid,
-            quote_password,
-            quote_protocol
-        )
-        if ret == 0:
-            # login succeed
-            self.write_log("Login succeed.")
-        pass
 
     def close(self):
+        """"""
         pass
 
     def subscribe(self, req: SubscribeRequest):
-        ret = self.quote_api.SubscribeMarketData(
+        """"""
-            [req.symbol],
+        self.quote_api.subscrbie(req)
-            EXCHANGE_VT2XTP[req.exchange],
-        )
-        if ret != 0:
-            print("订阅行情失败")  # improve: return True or False, or raise with reason
-        pass
 
     def send_order(self, req: OrderRequest) -> str:
         pass
@@ -191,3 +101,268 @@ class XtpGateway(BaseGateway):
 
     def query_position(self):
         pass
+
+
+class XtpQuoteApi(API.QuoteSpi):
+
+    def __init__(self, gateway: BaseGateway):
+        """"""
+        self.gateway = gateway
+        self.gateway_name = gateway.gateway_name
+
+        self.userid = ""
+        self.password = ""
+        self.client_id = ""
+        self.server_ip = ""
+        self.server_port = ""
+        self.server_protocol = ""
+
+        self.api = None
+
+    def connect(
+        self,
+        userid: str,
+        password: str,
+        client_id: str,
+        server_ip: str,
+        server_port: str,
+        quote_protocol: str
+    ):
+        """"""
+        if self.api:
+            return
+
+        self.userid = userid
+        self.password = password
+        self.client_id = client_id
+        self.server_ip = server_ip
+        self.server_port = server_port
+
+        if quote_protocol == "CTP":
+            self.quote_protocol = XTP_PROTOCOL_TCP
+        else:
+            self.quote_protocol = XTP_PROTOCOL_UDP
+
+        # Create API object
+        path = str(get_folder_path(self.gateway_name.lower()))
+
+        self.api = API.QuoteApi.CreateQuoteApi(
+            self.client_id,
+            path,
+            XTP_LOG_LEVEL.XTP_LOG_LEVEL_TRACE
+        )
+
+        self.api.RegisterSpi(self)
+        self.gateway.write_log("行情接口初始化成功")
+
+        # Login to server
+        ret = self.api.Login(
+            self.server_ip,
+            self.server_port,
+            self.userid,
+            self.password,
+            self.quote_protocol
+        )
+
+        if not ret:
+            msg = "行情服务器登录成功"
+
+            self.query_contract()
+        else:
+            msg = f"行情服务器登录失败，原因：{ret}"
+        self.gateway.write_log(msg)
+
+    def subscrbie(self, req: SubscribeRequest):
+        """"""
+        xtp_exchange = EXCHANGE_VT2XTP.get(req.exchange, "")
+        self.api.SubscribeMarketData([req.symbol], xtp_exchange)
+
+    def query_contract(self):
+        """"""
+        for exchange_id in EXCHANGE_XTP2VT.keys():
+            self.api.QueryAllTickers(exchange_id)
+
+    def check_error(self, func_name: str, error_info: XTPRspInfoStruct):
+        """"""
+        if error_info.error_id:
+            msg = f"{func_name}发生错误, 代码：{error_info.error_id}，信息：{error_info.error_msg}"
+            self.gateway.write_log(msg)
+            return True
+        else:
+            return False
+
+    def OnDisconnected(self, reason: int) -> Any:
+        """"""
+        self.gateway.write_log("行情服务器连接断开")
+
+    def OnError(self, error_info: XTPRspInfoStruct) -> Any:
+        """"""
+        self.check_error("行情接口", error_info)
+
+    def OnSubMarketData(self, ticker: XTPSpecificTickerStruct, error_info: XTPRspInfoStruct,
+                        is_last: bool) -> Any:
+        """"""
+        self.check_error("订阅行情", error_info)
+
+    def OnUnSubMarketData(self, ticker: XTPSpecificTickerStruct, error_info: XTPRspInfoStruct,
+                          is_last: bool) -> Any:
+        """"""
+        pass
+
+    def OnDepthMarketData(self, market_data: XTPMarketDataStruct, bid1_qty: Sequence[int],
+                          bid1_count: int, max_bid1_count: int, ask1_qty: Sequence[int],
+                          ask1_count: int, max_ask1_count: int) -> Any:
+        """"""
+        timestamp = market_data.date_time
+
+        tick = TickData(
+            symbol=market_data.ticker,
+            exchange=EXCHANGE_XTP2VT[market_data.exchange_id],
+            datetime=timestamp,
+            volume=market_data.qty,
+            last_price=market_data.last_price,
+            limit_up=market_data.upper_limit_price,
+            limit_down=market_data.lower_limit_price,
+            open_price=market_data.open_price,
+            high_price=market_data.high_price,
+            low_price=market_data.low_price,
+            pre_close=market_data.pre_close_price,
+            bid_price_1=market_data.bid[0],
+            bid_price_2=market_data.bid[1],
+            bid_price_3=market_data.bid[2],
+            bid_price_4=market_data.bid[3],
+            bid_price_5=market_data.bid[4],
+            ask_price_1=market_data.ask[0],
+            ask_price_2=market_data.ask[1],
+            ask_price_3=market_data.ask[2],
+            ask_price_4=market_data.ask[3],
+            ask_price_5=market_data.ask[4],
+            bid_volume_1=market_data.bid_qty[0],
+            bid_volume_2=market_data.bid_qty[1],
+            bid_volume_3=market_data.bid_qty[2],
+            bid_volume_4=market_data.bid_qty[3],
+            bid_volume_5=market_data.bid_qty[4],
+            ask_volume_1=market_data.ask_qty[0],
+            ask_volume_2=market_data.ask_qty[1],
+            ask_volume_3=market_data.ask_qty[2],
+            ask_volume_4=market_data.ask_qty[3],
+            ask_volume_5=market_data.ask_qty[4],
+            gateway_name=self.gateway_name
+        )
+        tick.name = symbol_name_map.get(tick.vt_symbol, tick.symbol)
+
+        self.gateway.on_tick(tick)
+
+    def OnSubOrderBook(self, ticker: XTPSpecificTickerStruct, error_info: XTPRspInfoStruct,
+                       is_last: bool) -> Any:
+        """"""
+        pass
+
+    def OnUnSubOrderBook(self, ticker: XTPSpecificTickerStruct, error_info: XTPRspInfoStruct,
+                         is_last: bool) -> Any:
+        """"""
+        pass
+
+    def OnOrderBook(self, order_book: OrderBookStruct) -> Any:
+        """"""
+        pass
+
+    def OnSubTickByTick(self, ticker: XTPSpecificTickerStruct, error_info: XTPRspInfoStruct,
+                        is_last: bool) -> Any:
+        """"""
+        pass
+
+    def OnUnSubTickByTick(self, ticker: XTPSpecificTickerStruct, error_info: XTPRspInfoStruct,
+                          is_last: bool) -> Any:
+        """"""
+        pass
+
+    def OnTickByTick(self, tbt_data: XTPTickByTickStruct) -> Any:
+        """"""
+        pass
+
+    def OnSubscribeAllMarketData(self, exchange_id: XTP_EXCHANGE_TYPE,
+                                 error_info: XTPRspInfoStruct) -> Any:
+        """"""
+        pass
+
+    def OnUnSubscribeAllMarketData(self, exchange_id: XTP_EXCHANGE_TYPE,
+                                   error_info: XTPRspInfoStruct) -> Any:
+        """"""
+        pass
+
+    def OnSubscribeAllOrderBook(self, exchange_id: XTP_EXCHANGE_TYPE,
+                                error_info: XTPRspInfoStruct) -> Any:
+        """"""
+        pass
+
+    def OnUnSubscribeAllOrderBook(self, exchange_id: XTP_EXCHANGE_TYPE,
+                                  error_info: XTPRspInfoStruct) -> Any:
+        """"""
+        pass
+
+    def OnSubscribeAllTickByTick(self, exchange_id: XTP_EXCHANGE_TYPE,
+                                 error_info: XTPRspInfoStruct) -> Any:
+        """"""
+        pass
+
+    def OnUnSubscribeAllTickByTick(self, exchange_id: XTP_EXCHANGE_TYPE,
+                                   error_info: XTPRspInfoStruct) -> Any:
+        """"""
+        pass
+
+    def OnQueryAllTickers(self, ticker_info: XTPQuoteStaticInfo, error_info: XTPRspInfoStruct,
+                          is_last: bool) -> Any:
+        """"""
+        return
+        # if self.check_error("查询合约", error_info):
+        #     return
+
+        # contract = ContractData(
+        #     symbol=ticker_info.ticker,
+        #     exchange=EXCHANGE_XTP2VT[ticker_info.exchange_id],
+        #     name=ticker_info.ticker_name,
+        #     product=PRODUCT_XTP2VT[ticker_info.ticker_type],
+        #     size=1,
+        #     pricetick=ticker_info.pricetick,
+        #     min_volume=ticker_info.buy_qty_unit,
+        #     gateway_name=self.gateway_name
+        # )
+        # self.gateway.on_contract(contract)
+
+        # symbol_name_map[contract.vt_symbol] = contract.name
+
+    def OnQueryTickersPriceInfo(self, ticker_info: XTPTickerPriceInfo, error_info: XTPRspInfoStruct,
+                                is_last: bool) -> Any:
+        """"""
+        pass
+
+    def OnSubscribeAllOptionMarketData(self, exchange_id: XTP_EXCHANGE_TYPE,
+                                       error_info: XTPRspInfoStruct) -> Any:
+        """"""
+        pass
+
+    def OnUnSubscribeAllOptionMarketData(self, exchange_id: XTP_EXCHANGE_TYPE,
+                                         error_info: XTPRspInfoStruct) -> Any:
+        """"""
+        pass
+
+    def OnSubscribeAllOptionOrderBook(self, exchange_id: XTP_EXCHANGE_TYPE,
+                                      error_info: XTPRspInfoStruct) -> Any:
+        """"""
+        pass
+
+    def OnUnSubscribeAllOptionOrderBook(self, exchange_id: XTP_EXCHANGE_TYPE,
+                                        error_info: XTPRspInfoStruct) -> Any:
+        """"""
+        pass
+
+    def OnSubscribeAllOptionTickByTick(self, exchange_id: XTP_EXCHANGE_TYPE,
+                                       error_info: XTPRspInfoStruct) -> Any:
+        """"""
+        pass
+
+    def OnUnSubscribeAllOptionTickByTick(self, exchange_id: XTP_EXCHANGE_TYPE,
+                                         error_info: XTPRspInfoStruct) -> Any:
+        """"""
+        pass