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[Mod]complete test of XtpGateway

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This commit is contained in:
vn.py 2019-04-26 16:39:12 +08:00
parent fc774499c2
commit 7941af5be8
3 changed files with 133 additions and 120 deletions
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2
tests/trader/run.py
View File

@ -8,7 +8,7 @@ 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.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

6
vnpy/gateway/tiger/tiger_gateway.py
View File

@ -299,8 +299,6 @@ class TigerGateway(BaseGateway):
def on_order_change(self, tiger_account: str, data: list):
""""""
data = dict(data)
print("委托推送", data["origin_symbol"],
data["order_id"], data["filled"], data["status"])
symbol, exchange = convert_symbol_tiger2vt(data["origin_symbol"])
status = PUSH_STATUS_TIGER2VT[data["status"]]
@ -368,8 +366,6 @@ class TigerGateway(BaseGateway):
self.ID_VT2TIGER[local_id] = str(order.order_id)
self.trade_client.place_order(order)
print("发单:", order.contract.symbol,
order.order_id, order.quantity, order.status)
except: # noqa
traceback.print_exc()
@ -551,8 +547,6 @@ class TigerGateway(BaseGateway):
self.on_order(order)
self.ID_VT2TIGER = {v: k for k, v in self.ID_TIGER2VT.items()}
print("原始委托字典", self.ID_TIGER2VT)
print("原始反向字典", self.ID_VT2TIGER)
def process_deal(self, data):
"""

237
vnpy/gateway/xtp/xtp_gateway.py
View File

@ -1,19 +1,18 @@
from typing import Any, Sequence
from datetime import datetime
from threading import Thread
from vnpy.api.xtp.vnxtp import (
OrderBookStruct,
XTP,
set_async_callback_exception_handler,
AsyncDispatchException,
OrderBookStruct,
XTPMarketDataStruct,
XTPQuoteStaticInfo,
XTPRspInfoStruct,
XTPSpecificTickerStruct,
XTPTickByTickStruct,
XTPTickerPriceInfo,
XTPQueryOrderReq,
XTPQueryTraderReq,
XTPOrderInsertInfo,
XTPOrderInfo,
XTPTradeReport,
@ -29,29 +28,18 @@ from vnpy.api.xtp.vnxtp import (
XTPQueryOptionAuctionInfoRsp,
XTP_EXCHANGE_TYPE,
XTP_LOG_LEVEL,
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,
XTP_TERT_RESTART,
XTP_PROTOCOL_TYPE,
XTP_TE_RESUME_TYPE,
XTP_SIDE_BUY,
XTP_SIDE_SELL,
XTP_PRICE_LIMIT,
XTP_PRICE_BEST5_OR_CANCEL,
XTP_BUSINESS_TYPE_CASH,
XTP_ORDER_STATUS_INIT,
XTP_ORDER_STATUS_ALLTRADED,
XTP_ORDER_STATUS_PARTTRADEDQUEUEING,
XTP_ORDER_STATUS_PARTTRADEDNOTQUEUEING,
XTP_ORDER_STATUS_NOTRADEQUEUEING,
XTP_ORDER_STATUS_CANCELED,
XTP_ORDER_STATUS_REJECTED
XTP_BUSINESS_TYPE,
XTP_TICKER_TYPE,
XTP_MARKET_TYPE,
XTP_PRICE_TYPE,
XTP_ORDER_STATUS_TYPE
)
from vnpy.event import EventEngine
from vnpy.trader.event import EVENT_TIMER
from vnpy.trader.constant import Exchange, Product, Direction, OrderType, Status
from vnpy.trader.gateway import BaseGateway
from vnpy.trader.object import (CancelRequest, OrderRequest, SubscribeRequest,
@ -59,20 +47,28 @@ from vnpy.trader.object import (CancelRequest, OrderRequest, SubscribeRequest,
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()}
MARKET_XTP2VT = {
XTP_MARKET_TYPE.XTP_MKT_SH_A: Exchange.SSE,
XTP_MARKET_TYPE.XTP_MKT_SZ_A: Exchange.SZSE
}
MARKET_VT2XTP = {v: k for k, v in MARKET_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
XTP_TICKER_TYPE.XTP_TICKER_TYPE_STOCK: Product.EQUITY,
XTP_TICKER_TYPE.XTP_TICKER_TYPE_INDEX: Product.INDEX,
XTP_TICKER_TYPE.XTP_TICKER_TYPE_FUND: Product.FUND,
XTP_TICKER_TYPE.XTP_TICKER_TYPE_BOND: Product.BOND,
XTP_TICKER_TYPE.XTP_TICKER_TYPE_OPTION: Product.OPTION
}
DIRECTION_VT2XTP = {
@ -82,19 +78,19 @@ DIRECTION_VT2XTP = {
DIRECTION_XTP2VT = {v: k for k, v in DIRECTION_VT2XTP.items()}
ORDERTYPE_VT2XTP = {
OrderType.LIMIT: XTP_PRICE_LIMIT,
OrderType.MARKET: XTP_PRICE_BEST5_OR_CANCEL
OrderType.LIMIT: XTP_PRICE_TYPE.XTP_PRICE_LIMIT,
OrderType.MARKET: XTP_PRICE_TYPE.XTP_PRICE_BEST5_OR_CANCEL
}
ORDERTYPE_XTP2VT = {v: k for k, v in ORDERTYPE_VT2XTP.items()}
STATUS_XTP2VT = {
XTP_ORDER_STATUS_INIT: Status.SUBMITTING,
XTP_ORDER_STATUS_ALLTRADED: Status.ALLTRADED,
XTP_ORDER_STATUS_PARTTRADEDQUEUEING: Status.PARTTRADED,
XTP_ORDER_STATUS_PARTTRADEDNOTQUEUEING: Status.PARTTRADED,
XTP_ORDER_STATUS_NOTRADEQUEUEING: Status.NOTTRADED,
XTP_ORDER_STATUS_CANCELED: Status.CANCELLED,
XTP_ORDER_STATUS_REJECTED: Status.REJECTED,
XTP_ORDER_STATUS_TYPE.XTP_ORDER_STATUS_INIT: Status.SUBMITTING,
XTP_ORDER_STATUS_TYPE.XTP_ORDER_STATUS_ALLTRADED: Status.ALLTRADED,
XTP_ORDER_STATUS_TYPE.XTP_ORDER_STATUS_PARTTRADEDQUEUEING: Status.PARTTRADED,
XTP_ORDER_STATUS_TYPE.XTP_ORDER_STATUS_PARTTRADEDNOTQUEUEING: Status.CANCELLED,
XTP_ORDER_STATUS_TYPE.XTP_ORDER_STATUS_NOTRADEQUEUEING: Status.NOTTRADED,
XTP_ORDER_STATUS_TYPE.XTP_ORDER_STATUS_CANCELED: Status.CANCELLED,
XTP_ORDER_STATUS_TYPE.XTP_ORDER_STATUS_REJECTED: Status.REJECTED,
}
@ -111,7 +107,8 @@ class XtpGateway(BaseGateway):
"行情端口": 0,
"交易地址": "",
"交易端口": 0,
"行情协议": ["TCP", "UDP"]
"行情协议": ["TCP", "UDP"],
"授权码": ""
}
def __init__(self, event_engine: EventEngine):
@ -134,11 +131,13 @@ class XtpGateway(BaseGateway):
trader_ip = setting['交易地址']
trader_port = int(setting['交易端口'])
quote_protocol = setting["行情协议"]
software_key = setting["授权码"]
# self.quote_api.connect(userid, password, client_id,
# quote_ip, quote_port, quote_protocol)
self.quote_api.connect(userid, password, client_id,
quote_ip, quote_port, quote_protocol)
self.trader_api.connect(userid, password, client_id,
trader_ip, trader_port)
trader_ip, trader_port, software_key)
self.init_query()
def close(self):
""""""
@ -165,6 +164,23 @@ class XtpGateway(BaseGateway):
""""""
self.trader_api.query_position()
def process_timer_event(self, event):
""""""
self.count += 1
if self.count < 2:
return
self.count = 0
func = self.query_functions.pop(0)
func()
self.query_functions.append(func)
def init_query(self):
""""""
self.count = 0
self.query_functions = [self.query_account, self.query_position]
self.event_engine.register(EVENT_TIMER, self.process_timer_event)
def _async_callback_exception_handler(self, e: AsyncDispatchException):
error_str = f"发生内部错误：\n" f"位置：{e.instance}.{e.function_name}" f"详细信息：{e.what}"
print(error_str)
@ -208,9 +224,9 @@ class XtpQuoteApi(API.QuoteSpi):
self.server_port = server_port
if quote_protocol == "CTP":
self.quote_protocol = XTP_PROTOCOL_TCP
self.quote_protocol = XTP_PROTOCOL_TYPE.XTP_PROTOCOL_TCP
else:
self.quote_protocol = XTP_PROTOCOL_UDP
self.quote_protocol = XTP_PROTOCOL_TYPE.XTP_PROTOCOL_UDP
# Create API object
path = str(get_folder_path(self.gateway_name.lower()))
@ -225,6 +241,10 @@ class XtpQuoteApi(API.QuoteSpi):
self.gateway.write_log("行情接口初始化成功")
# Login to server
Thread(target=self.login).start()
def login(self):
""""""
ret = self.api.Login(
self.server_ip,
self.server_port,
@ -459,6 +479,7 @@ class XtpTraderApi(API.TraderSpi):
self.client_id = ""
self.server_ip = ""
self.server_port = ""
self.software_key = ""
self.api = None
self.session_id = 0
@ -471,6 +492,7 @@ class XtpTraderApi(API.TraderSpi):
client_id: int,
server_ip: str,
server_port: int,
software_key: str
):
""""""
if self.api:
@ -481,6 +503,7 @@ class XtpTraderApi(API.TraderSpi):
self.client_id = client_id
self.server_ip = server_ip
self.server_port = server_port
self.software_key = software_key
# Create API object
path = str(get_folder_path(self.gateway_name.lower()))
@ -492,25 +515,29 @@ class XtpTraderApi(API.TraderSpi):
)
self.api.RegisterSpi(self)
self.api.SetSoftwareKey("vnpy_test")
self.api.SubscribePublicTopic(XTP_TERT_RESTART)
self.api.SetSoftwareKey(self.software_key)
self.api.SubscribePublicTopic(XTP_TE_RESUME_TYPE.XTP_TERT_RESTART)
self.gateway.write_log("交易接口初始化成功")
# Login to server
Thread(target=self.login).start()
def login(self):
""""""
self.session_id = self.api.Login(
self.server_ip,
self.server_port,
self.userid,
self.password,
XTP_PROTOCOL_TCP
XTP_PROTOCOL_TYPE.XTP_PROTOCOL_TCP
)
if self.session_id:
msg = "交易服务器登录成功"
else:
reason = self.api.GetApiLastError()
msg = f"交易服务器登录失败，原因({reason.error_id})：{reason.error_msg}"
error = self.api.GetApiLastError()
msg = f"交易服务器登录失败，原因：{error.error_msg}"
self.gateway.write_log(msg)
@ -522,19 +549,26 @@ class XtpTraderApi(API.TraderSpi):
def send_order(self, req: OrderRequest) -> str:
""""""
if req.exchange not in MARKET_VT2XTP:
self.gateway.write_log(f"委托失败，不支持的交易所{req.exchange.value}")
return ""
if req.type not in ORDERTYPE_VT2XTP:
self.gateway.write_log(f"委托失败，不支持的委托类型{req.type.value}")
return ""
xtp_req = XTPOrderInsertInfo()
xtp_req.ticker = req.symbol
xtp_req.market = EXCHANGE_XTP2VT[req.exchange]
xtp_req.market = MARKET_VT2XTP[req.exchange]
xtp_req.price = req.price
xtp_req.quantity = req.volume
xtp_req.order_client_id = self.client_id
xtp_req.side = DIRECTION_XTP2VT.get(req.direction, "")
xtp_req.price_type = ORDERTYPE_XTP2VT.get(req.type, "")
xtp_req.business_type = XTP_BUSINESS_TYPE_CASH
xtp_req.quantity = int(req.volume)
xtp_req.side = DIRECTION_VT2XTP[req.direction]
xtp_req.price_type = ORDERTYPE_VT2XTP[req.type]
xtp_req.business_type = XTP_BUSINESS_TYPE.XTP_BUSINESS_TYPE_CASH
orderid = self.api.InsertOrder(xtp_req, self.session_id)
order = req.create_order_data(str(orderid))
order = req.create_order_data(str(orderid), self.gateway_name)
self.gateway.on_order(order)
return order.vt_orderid
@ -545,24 +579,20 @@ class XtpTraderApi(API.TraderSpi):
def query_account(self):
""""""
if not self.api:
return
self.reqid += 1
self.api.QueryAsset(self.session_id, self.reqid)
def query_position(self):
""""""
if not self.api:
return
self.reqid += 1
self.api.QueryPosition("", self.session_id, self.reqid)
def query_order(self):
""""""
self.reqid += 1
self.api.QueryOrders(XTPQueryOrderReq(), self.session_id, self.reqid)
def query_trade(self):
""""""
self.reqid += 1
self.api.QueryTrades(XTPQueryTraderReq(), self.session_id, self.reqid)
def check_error(self, func_name: str, error_info: XTPRspInfoStruct):
""""""
if error_info and error_info.error_id:
@ -583,16 +613,39 @@ class XtpTraderApi(API.TraderSpi):
def OnOrderEvent(self, order_info: XTPOrderInfo, error_info: XTPRspInfoStruct,
session_id: int) -> Any:
""""""
print("on orde event")
if self.check_error("委托下单", error_info):
return
self.check_error("委托下单", error_info)
self.updateOrder(order_info)
order = OrderData(
symbol=order_info.ticker,
exchange=MARKET_XTP2VT[order_info.market],
orderid=str(order_info.order_xtp_id),
type=ORDERTYPE_XTP2VT[order_info.price_type],
direction=DIRECTION_XTP2VT[order_info.side],
price=order_info.price,
volume=order_info.quantity,
traded=order_info.qty_traded,
status=STATUS_XTP2VT[order_info.order_status],
time=order_info.insert_time,
gateway_name=self.gateway_name
)
self.gateway.on_order(order)
def OnTradeEvent(self, trade_info: XTPTradeReport, session_id: int) -> Any:
""""""
print("on trade event")
self.updateTrade(trade_info)
trade = TradeData(
symbol=trade_info.ticker,
exchange=MARKET_XTP2VT[trade_info.market],
orderid=str(trade_info.order_xtp_id),
tradeid=str(trade_info.exec_id),
direction=DIRECTION_XTP2VT[trade_info.side],
price=trade_info.price,
volume=trade_info.quantity,
time=trade_info.trade_time,
gateway_name=self.gateway_name
)
self.gateway.on_trade(trade)
def OnCancelOrderError(self, cancel_info: XTPOrderCancelInfo, error_info: XTPRspInfoStruct,
session_id: int) -> Any:
@ -622,11 +675,11 @@ class XtpTraderApi(API.TraderSpi):
self.gateway.write_log("查询成交信息成功")
def OnQueryPosition(self, xtp_position: XTPQueryStkPositionRsp, error_info: XTPRspInfoStruct,
is_last: bool, session_id: int) -> Any:
request_id: int, is_last: bool, session_id: int) -> Any:
""""""
position = PositionData(
symbol=xtp_position.ticker,
exchange=EXCHANGE_XTP2VT[xtp_position.market],
exchange=MARKET_XTP2VT[xtp_position.market],
direction=Direction.NET,
volume=xtp_position.total_qty,
frozen=xtp_position.locked_position,
@ -638,12 +691,12 @@ class XtpTraderApi(API.TraderSpi):
self.gateway.on_position(position)
def OnQueryAsset(self, asset: XTPQueryAssetRsp, error_info: XTPRspInfoStruct,
is_last: bool, session_id: int) -> Any:
request_id: int, is_last: bool, session_id: int) -> Any:
""""""
account = AccountData(
accountid=self.userid,
balance=asset.banlance,
frozen=(asset.frozen_margin + asset.frozen_exec_cash + asset.frozen_exec_fee),
balance=asset.buying_power,
frozen=asset.withholding_amount,
gateway_name=self.gateway_name
)
self.gateway.on_account(account)
@ -686,37 +739,3 @@ class XtpTraderApi(API.TraderSpi):
is_last: bool, session_id: int) -> Any:
""""""
pass
def updateOrder(self, order_info: XTPOrderInfo):
""""""
order = OrderData(
symbol=order_info.ticker,
exchange=EXCHANGE_XTP2VT[order_info.market],
orderid=str(order_info.order_xtp_id),
type=ORDERTYPE_XTP2VT[order_info.price_type],
direction=DIRECTION_XTP2VT[order_info.side],
price=order_info.price,
volume=order_info.quantity,
traded=order_info.qty_traded,
status=STATUS_XTP2VT[order_info.order_status],
time=order_info.insert_time,
gateway_name=self.gateway_name
)
self.gateway.on_order(order)
def updateTrade(self, trade_info: XTPTradeReport):
""""""
trade = TradeData(
symbol=trade_info.ticker,
exchange=EXCHANGE_XTP2VT[trade_info.market],
orderid=str(trade_info.order_xtp_id),
tradeid=str(trade_info.exec_id),
direction=DIRECTION_XTP2VT[trade_info.side],
price=trade_info.price,
volume=trade_info.quantity,
time=trade_info.trade_time,
gateway_name=self.gateway_name
)
self.gateway.on_trade(trade)