[Add] query function for da_gateway
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vn.py
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f3e7543f7a
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@ -37,37 +37,39 @@ from vnpy.trader.utility import get_folder_path
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from vnpy.trader.event import EVENT_TIMER
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# STATUS_DA2VT = {
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# THOST_FTDC_OAS_Submitted: Status.SUBMITTING,
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# THOST_FTDC_OAS_Accepted: Status.SUBMITTING,
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# THOST_FTDC_OAS_Rejected: Status.REJECTED,
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# THOST_FTDC_OST_NoTradeQueueing: Status.NOTTRADED,
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# THOST_FTDC_OST_PartTradedQueueing: Status.PARTTRADED,
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# THOST_FTDC_OST_AllTraded: Status.ALLTRADED,
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# THOST_FTDC_OST_Canceled: Status.CANCELLED
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# }
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STATUS_DA2VT = {
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"1": Status.SUBMITTING,,
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"2": Status.NOTTRADED,
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"3": Status.PARTTRADED,
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"4": Status.ALLTRADED,
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"5": Status.CANCELLED,
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"6": Status.CANCELLED,
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"7": Status.REJECTED,
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"8": Status.SUBMITTING,
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"9": Status.SUBMITTING,
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"A": Status.SUBMITTING,
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}
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# DIRECTION_VT2DA = {
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# Direction.LONG: THOST_FTDC_D_Buy,
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# Direction.SHORT: THOST_FTDC_D_Sell
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# }
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# DIRECTION_DA2VT = {v: k for k, v in DIRECTION_VT2DA.items()}
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# DIRECTION_DA2VT[THOST_FTDC_PD_Long] = Direction.LONG
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# DIRECTION_DA2VT[THOST_FTDC_PD_Short] = Direction.SHORT
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DIRECTION_VT2DA = {
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Direction.LONG: "1",
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Direction.SHORT: "2"
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}
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DIRECTION_DA2VT = {v: k for k, v in DIRECTION_VT2DA.items()}
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# ORDERTYPE_VT2DA = {
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# OrderType.LIMIT: THOST_FTDC_OPT_LimitPrice,
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# OrderType.MARKET: THOST_FTDC_OPT_AnyPrice
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# }
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# ORDERTYPE_DA2VT = {v: k for k, v in ORDERTYPE_VT2DA.items()}
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# OFFSET_VT2DA = {
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# Offset.OPEN: THOST_FTDC_OF_Open,
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# Offset.CLOSE: THOST_FTDC_OFEN_Close,
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# Offset.CLOSETODAY: THOST_FTDC_OFEN_CloseToday,
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# Offset.CLOSEYESTERDAY: THOST_FTDC_OFEN_CloseYesterday,
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# }
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# OFFSET_DA2VT = {v: k for k, v in OFFSET_VT2DA.items()}
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ORDERTYPE_VT2DA = {
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OrderType.LIMIT: "1",
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OrderType.MARKET: "2"
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}
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ORDERTYPE_DA2VT = {v: k for k, v in ORDERTYPE_VT2DA.items()}
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OFFSET_VT2DA = {
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Offset.OPEN: "1",
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Offset.CLOSE: "2",
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Offset.CLOSETODAY: "3",
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Offset.CLOSEYESTERDAY: "4",
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}
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OFFSET_DA2VT = {v: k for k, v in OFFSET_VT2DA.items()}
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EXCHANGE_DA2VT = {
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"APEX": Exchange.APEX,
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@ -522,38 +524,75 @@ class DaFutureApi(FutureApi):
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if last:
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self.gateway.write_log("合约信息查询成功")
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def onRtnOrder(self, data: dict):
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def onRspQryOrder(self, data: dict, error: dict, reqid: int, last: bool):
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"""
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Callback of order status update.
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Callback of order query.
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"""
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symbol = data["InstrumentID"]
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exchange = symbol_exchange_map.get(symbol, "")
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if not exchange:
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self.order_data.append(data)
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return
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frontid = data["FrontID"]
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sessionid = data["SessionID"]
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order_ref = data["OrderRef"]
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orderid = f"{frontid}_{sessionid}_{order_ref}"
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order = OrderData(
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symbol=symbol,
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exchange=exchange,
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orderid=orderid,
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type=ORDERTYPE_DA2VT[data["OrderPriceType"]],
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direction=DIRECTION_DA2VT[data["Direction"]],
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offset=OFFSET_DA2VT[data["CombOffsetFlag"]],
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price=data["LimitPrice"],
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volume=data["VolumeTotalOriginal"],
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traded=data["VolumeTraded"],
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status=STATUS_DA2VT[data["OrderStatus"]],
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time=data["InsertTime"],
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symbol=data["TreatyCode"],
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exchange=EXCHANGE_DA2VT[data["ExchangeCode"]],
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orderid=data["LocalNo"],
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type=ORDERTYPE_DA2VT[data["PriceType"]],
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direction=DIRECTION_DA2VT[data["BuySale"]],
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offset=OFFSET_DA2VT[data["AddReduce"]],
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price=float(data["OrderPrice"]),
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volume=int(data["OrderNumber"]),
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traded=int(data["FilledNumber"]),
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status=STATUS_DA2VT[data["OrderState"]],
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time=data["OrderTime"],
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gateway_name=self.gateway_name
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)
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self.gateway.on_order(order)
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self.sysid_orderid_map[data["OrderSysID"]] = orderid
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def onRspQryTrade(self, data: dict, error: dict, reqid: int, last: bool):
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"""
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Callback of trade query.
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"""
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trade = TradeData(
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symbol=data["TreatyCode"],
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exchange=EXCHANGE_DA2VT[data["ExchangeCode"]],
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orderid=data["LocalNo"],
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tradeid=data["FilledNo"]
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direction=DIRECTION_DA2VT[data["BuySale"]],
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offset=OFFSET_DA2VT[data["AddReduce"]],
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price=float(data["FilledPrice"]),
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volume=int(data["FilledNumber"]),
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time=data["FilledTime"],
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gateway_name=self.gateway_name
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)
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self.gateway.on_trade(trade)
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def onRspQryCapital(self, data: dict, error: dict, reqid: int, last: bool):
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"""
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Callback of trade query.
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"""
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account = AccountData(
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accountid=data["UserId"],
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balance=float(data["TodayBalance"])
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frozen=float(data["FreezenMoney"]),
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gateway_name=self.gateway_name
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)
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self.gateway.on_account(account)
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def onRspQryPosition(self, data: dict, error: dict, reqid: int, last: bool):
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"""
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Callback of trade query.
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"""
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position = PositionData(
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symbol=data["ContCode"],
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exchange=EXCHANGE_DA2VT[data["ExchangeNo"]],
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direction=DIRECTION_DA2VT[data["Direct"]],
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volume=data["HoldVol"],
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price=data["HoldPrice"],
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gateway_name=self.gateway_name
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)
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self.gateway.on_position(position)
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def onRtnOrder(self, data: dict):
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"""
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Callback of order status update.
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"""
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pass
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def onRtnTrade(self, data: dict):
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"""
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@ -581,6 +620,18 @@ class DaFutureApi(FutureApi):
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)
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self.gateway.on_trade(trade)
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def update_trade(self, data: dict):
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""""""
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pass
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def update_account(self, data: dict):
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""""""
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pass
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def update_position(self, data: dict):
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""""""
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pass
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def connect(
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self,
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address: str,
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@ -711,22 +762,28 @@ class DaFutureApi(FutureApi):
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Query account balance data.
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"""
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self.reqid += 1
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self.reqQryTradingAccount({}, self.reqid)
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self.reqQryCapital({}, self.reqid)
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def query_order(self):
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"""
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Query account balance data.
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"""
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self.reqid += 1
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self.reqQryOrder({}, self.reqid)
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def query_trade(self):
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"""
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Query account balance data.
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"""
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self.reqid += 1
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self.reqQryTrade({}, self.reqid)
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def query_position(self):
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"""
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Query position holding data.
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"""
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if not symbol_exchange_map:
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return
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req = {
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"BrokerID": self.brokerid,
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"InvestorID": self.userid
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}
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self.reqid += 1
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self.reqQryInvestorPosition(req, self.reqid)
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self.reqQryPosition({}, self.reqid)
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def query_contract(self, exchange, page=1):
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"""
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