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[Mod]增加飞创证券接口的股票和ETF现货交易功能

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vn.py 2017-10-23 11:17:54 +08:00
parent 438948f8ac
commit 7cee25bab9
5 changed files with 244 additions and 60 deletions
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6
examples/VnTrader/SEC_connect.json Normal file
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@ -0,0 +1,6 @@
{
"accountID": "110100001088",
"password": "123456",
"mdAddress": "tcp://203.86.95.187:10915",
"tdAddress": "tcp://203.86.95.187:10910"
}

1
examples/VnTrader/data/TRADE_MARKET_110100001088stock.dat Normal file
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@ -0,0 +1 @@
o/qNWiWU4xYqVMOeeIVgnQ==

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vnpy/api/sec/vnsectd.pyd
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2
vnpy/api/sec/vnsectd/vnsectd/vnsectd.cpp
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@ -6415,7 +6415,7 @@ int TdApi::reqStockEntrustOrder(dict req)
getLong(req, "localOrderID", &myreq.localOrderID);
getString(req, "exchangeID", myreq.exchangeID);
getString(req, "accountID", myreq.accountID);
getString(req, "accountID", myreq.accountID);
getDouble(req, "entrustPrice", &myreq.entrustPrice);
getInt(req, "entrustDirection", &myreq.entrustDirection);
getInt(req, "entrustQty", &myreq.entrustQty);
getString(req, "securityID", myreq.securityID);

295
vnpy/trader/gateway/secGateway/secGateway.py
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@ -15,11 +15,17 @@ from vnpy.trader.vtFunction import getJsonPath, getTempPath
# 以下为一些VT类型和SEC类型的映射字典
# 价格类型映射
priceTypeMap = {}
priceTypeMap[PRICETYPE_LIMITPRICE] = DATA_TYPE.DFITCSEC_SOP_LimitPrice
priceTypeMap[PRICETYPE_MARKETPRICE] = DATA_TYPE.DFITCSEC_SOP_LastPrice
priceTypeMapReverse = {v: k for k, v in priceTypeMap.items()}
# 期权价格类型映射
optionPriceTypeMap = {}
optionPriceTypeMap[PRICETYPE_LIMITPRICE] = DATA_TYPE.DFITCSEC_SOP_LimitPrice
optionPriceTypeMap[PRICETYPE_MARKETPRICE] = DATA_TYPE.DFITCSEC_SOP_LastPrice
optionPriceTypeMapReverse = {v: k for k, v in optionPriceTypeMap.items()}
# 股票价格类型映射
stockPriceTypeMap = {}
stockPriceTypeMap[PRICETYPE_LIMITPRICE] = DATA_TYPE.DFITCSEC_OT_LimitPrice
stockPriceTypeMap[PRICETYPE_MARKETPRICE] = DATA_TYPE.DFITCSEC_OT_SHBESTFRTradeLeftWithdraw
stockPriceTypeMapReverse = {v: k for k, v in stockPriceTypeMap.items()}
# 方向类型映射
directionMap = {}
@ -220,7 +226,7 @@ class SecMdApi(MdApi):
if self.loginStatus:
self.reqID += 1
if len(subscribeReq.symbol) > 6:
if checkOptionSymbol(subscribeReq.symbol):
symbol = str(exchangeMap[subscribeReq.exchange] + subscribeReq.symbol)
self.subscribeSOPMarketData(symbol, self.reqID)
else:
@ -494,7 +500,6 @@ class SecMdApi(MdApi):
pass
########################################################################
class SecTdApi(TdApi):
"""SEC交易API实现"""
@ -569,6 +574,7 @@ class SecTdApi(TdApi):
self.reqSOPQryCapitalAccountInfo(req)
self.reqID += 1
req['FundsQryFlag'] = DATA_TYPE.DFITCSEC_FQF_Extend
self.reqStockQryCapitalAccountInfo(req)
#----------------------------------------------------------------------
@ -613,20 +619,22 @@ class SecTdApi(TdApi):
req['exchangeID'] = exchangeMap.get(orderReq.exchange, '')
req['entrustPrice'] = orderReq.price
req['entrustQty'] = orderReq.volume
# 下面如果由于传入的类型本接口不支持，则会返回空字符串
try:
req['orderType'] = priceTypeMap[orderReq.priceType]
req['entrustDirection'] = directionMap[orderReq.direction]
req['openCloseFlag'] = offsetMap[orderReq.offset]
except KeyError:
return ''
req['localOrderID'] = self.localID
req['accountID'] = self.accountID
req['requestID'] = self.reqID
self.reqSOPEntrustOrder(req)
req['requestID'] = self.reqID
req['entrustDirection'] = directionMap.get(orderReq.direction, '')
# 期权委托
if checkOptionSymbol(orderReq.symbol):
req['orderType'] = optionPriceTypeMap.get(orderReq.priceType, '')
req['openCloseFlag'] = offsetMap.get(orderReq.offset, '')
self.reqSOPEntrustOrder(req)
product = PRODUCT_OPTION
# 股票委托
else:
req['orderType'] = stockPriceTypeMap.get(orderReq.priceType, '')# 股票只支持限价单
self.reqStockEntrustOrder(req)
product = PRODUCT_EQUITY
# 缓存委托信息
orderID = str(self.localID)
@ -643,6 +651,7 @@ class SecTdApi(TdApi):
order.totalVolume = orderReq.volume
order.direction = orderReq.direction
order.offset = orderReq.offset
order.productClass = product
self.orderDict[str(self.localID)] = order
@ -653,13 +662,16 @@ class SecTdApi(TdApi):
def cancelOrder(self, cancelOrderReq):
"""撤单"""
self.reqID += 1
req = {}
req['localOrderID'] = int(cancelOrderReq.orderID)
req['accountID'] = self.accountID
req['requestID'] = self.reqID
self.reqSOPWithdrawOrder(req)
order = self.orderDict.get(cancelOrderReq.orderID, None)
if not order or order.productClass == PRODUCT_OPTION:
self.reqSOPWithdrawOrder(req)
else:
self.reqStockWithdrawOrder(req)
#----------------------------------------------------------------------
def close(self):
@ -743,8 +755,20 @@ class SecTdApi(TdApi):
#----------------------------------------------------------------------
def onRspStockEntrustOrder(self, data, error):
""""""
pass
"""股票发单错误"""
if error:
order = VtOrderData()
order.gatewayName = self.gatewayName
order.orderID = str(error['localOrderID'])
order.vtOrderID = '.'.join([self.gatewayName, order.orderID])
order.status = STATUS_REJECTED
self.gateway.onOrder(order)
err = VtErrorData()
err.gatewayName = self.gatewayName
err.errorID = error['errorID']
err.errorMsg = error['errorMsg'].decode('gbk')
self.gateway.onError(err)
#----------------------------------------------------------------------
def onRspStockWithdrawOrder(self, data, error):
@ -768,13 +792,44 @@ class SecTdApi(TdApi):
#----------------------------------------------------------------------
def onRspStockQryPosition(self, data, error, flag):
""""""
pass
"""股票持仓查询回报"""
if not data or not data['securityID']:
return
pos = VtPositionData()
pos.gatewayName = self.gatewayName
# 保存代码
pos.symbol = data['securityID']
pos.exchange = exchangeMap.get(data['exchangeID'], EXCHANGE_UNKNOWN)
pos.vtSymbol = '.'.join([pos.symbol, pos.exchange])
pos.direction = DIRECTION_LONG
pos.vtPositionName = '.'.join([pos.vtSymbol, pos.direction])
pos.position = data['position']
pos.price = data['avgPositionPrice']
self.gateway.onPosition(pos)
#----------------------------------------------------------------------
def onRspStockQryCapitalAccountInfo(self, data, error, flag):
""""""
pass
"""股票资金账户查询回报"""
if not data:
return
account = VtAccountData()
account.gatewayName = self.gatewayName
# 账户代码
account.accountID = data['accountID'] + '_Stock'
account.vtAccountID = '.'.join([self.gatewayName, account.accountID])
# 数值相关
account.available = data['availableFunds']
account.balance = data['totalFunds']
account.marketValue = data['totalMarket']
# 推送
self.gateway.onAccount(account)
#----------------------------------------------------------------------
def onRspStockQryAccountInfo(self, data, error):
@ -842,24 +897,25 @@ class SecTdApi(TdApi):
if not data:
return
contract = VtContractData()
contract.gatewayName = self.gatewayName
contract.symbol = data['securityID']
contract.exchange = exchangeMapReverse.get(data['exchangeID'], EXCHANGE_UNKNOWN)
contract.vtSymbol = '.'.join([contract.symbol, contract.exchange])
contract.name = data['securityName'].decode('GBK')
# 合约数值
contract.size = data['tradeUnit']
contract.priceTick = 0.001 # 50ETF的最小价格变动
# 合约类型
contract.productClass = PRODUCT_EQUITY
# 推送
self.gateway.onContract(contract)
if data['securityID'] == '510050':
contract = VtContractData()
contract.gatewayName = self.gatewayName
contract.symbol = data['securityID']
contract.exchange = exchangeMapReverse.get(data['exchangeID'], EXCHANGE_UNKNOWN)
contract.vtSymbol = '.'.join([contract.symbol, contract.exchange])
contract.name = data['securityName'].decode('GBK')
# 合约数值
contract.size = data['tradeUnit']
contract.priceTick = 0.001 # 50ETF的最小价格变动
# 合约类型
contract.productClass = PRODUCT_EQUITY
# 推送
self.gateway.onContract(contract)
if flag:
log = VtLogData()
@ -874,18 +930,128 @@ class SecTdApi(TdApi):
#----------------------------------------------------------------------
def onStockEntrustOrderRtn(self, data):
""""""
pass
"""股票报单回报"""
# 更新最大报单编号
newLocalID = data['localOrderID']
self.localID = max(self.localID, newLocalID)
# 获取报单数据对象
if newLocalID in self.orderDict:
order = self.orderDict[newLocalID]
else:
order = VtOrderData()
self.orderDict[newLocalID] = order
order.gatewayName = self.gatewayName
# 保存后续不会变化的数据
order.symbol = data['securityID']
order.exchange = exchangeMapReverse[data['exchangeID']]
order.vtSymbol = '.'.join([order.symbol, order.exchange])
order.orderID = str(newLocalID)
order.vtOrderID = '.'.join([self.gatewayName, order.orderID])
order.direction = directionMapReverse.get(data['entrustDirection'], DIRECTION_UNKNOWN)
# 价格、报单量等数值
order.price = data['entrustPrice']
order.totalVolume = data['entrustQty']
order.orderTime = data['entrustTime']
order.productClass = PRODUCT_EQUITY
# 确定委托状态
if order.totalVolume == order.tradedVolume:
order.status = STATUS_ALLTRADED
elif order.tradedVolume > 0:
order.status = STATUS_PARTTRADED
else:
order.status = STATUS_NOTTRADED
# 推送
self.gateway.onOrder(copy(order))
#----------------------------------------------------------------------
def onStockTradeRtn(self, data):
""""""
pass
"""股票成交推送"""
# 更新成交信息
trade = VtTradeData()
trade.gatewayName = self.gatewayName
# 保存代码和报单号
trade.symbol = data['securityID']
trade.exchange = exchangeMapReverse.get(data['exchangeID'], EXCHANGE_UNKNOWN)
trade.vtSymbol = '.'.join([trade.symbol, trade.exchange])
trade.tradeID = data['tradeID']
trade.vtTradeID = '.'.join([self.gatewayName, trade.tradeID])
trade.orderID = str(data['localOrderID'])
trade.vtOrderID = '.'.join([self.gatewayName, trade.orderID])
trade.direction = directionMapReverse.get(data['entrustDirection'], DIRECTION_UNKNOWN)
trade.price = data['tradePrice']
trade.volume = data['tradeQty']
trade.tradeTime = data['tradeTime']
# 推送
self.gateway.onTrade(trade)
# 获取报单数据对象
localID = data['localOrderID']
order = self.orderDict.get(localID, None)
if not order:
return
order.tradedVolume += trade.volume
order.tradedVolume = min(order.totalVolume, order.tradedVolume) # 防止成交数量超过总数量
# 确定委托状态
if order.totalVolume == order.tradedVolume:
order.status = STATUS_ALLTRADED
elif order.tradedVolume > 0:
order.status = STATUS_PARTTRADED
self.gateway.onOrder(copy(order))
#----------------------------------------------------------------------
def onStockWithdrawOrderRtn(self, data):
""""""
pass
"""股票撤单推送"""
# 更新最大报单编号
newLocalID = data['localOrderID']
self.localID = max(self.localID, int(newLocalID))
# 获取报单数据对象
if newLocalID in self.orderDict:
order = self.orderDict[newLocalID]
else:
order = VtOrderData()
self.orderDict[newLocalID] = order
order.gatewayName = self.gatewayName
# 保存后续不会变化的数据
order.symbol = data['securityID']
order.exchange = exchangeMapReverse[data['exchangeID']]
order.vtSymbol = '.'.join([order.symbol, order.exchange])
order.orderID = str(newLocalID)
order.vtOrderID = '.'.join([self.gatewayName, order.orderID])
order.direction = directionMapReverse.get(data['entrustDirection'], DIRECTION_UNKNOWN)
# 价格、报单量等数值
order.price = data['entrustPrice']
order.tradedVolume = data['tradeQty']
order.totalVolume = data['tradeQty'] + data['withdrawQty']
order.productClass = PRODUCT_OPTION
if data['withdrawQty']:
order.status = STATUS_CANCELLED
# 推送
self.gateway.onOrder(copy(order))
#----------------------------------------------------------------------
def onRspSOPUserLogin(self, data, error):
@ -922,11 +1088,11 @@ class SecTdApi(TdApi):
#----------------------------------------------------------------------
def onRspSOPEntrustOrder(self, data, error):
"""发单错误"""
"""期权发单错误"""
if error:
order = VtOrderData()
order.gatewayName = self.gatewayName
order.orderID = error['localOrderID']
order.orderID = str(error['localOrderID'])
order.vtOrderID = '.'.join([self.gatewayName, order.orderID])
order.status = STATUS_REJECTED
self.gateway.onOrder(order)
@ -974,7 +1140,7 @@ class SecTdApi(TdApi):
#----------------------------------------------------------------------
def onRspSOPQryPosition(self, data, error, flag):
"""持仓查询回报"""
"""期权持仓查询回报"""
if not data:
return
@ -999,7 +1165,7 @@ class SecTdApi(TdApi):
#----------------------------------------------------------------------
def onRspSOPQryCapitalAccountInfo(self, data, error):
"""资金账户查询回报"""
"""期权资金账户查询回报"""
if not data:
return
@ -1007,7 +1173,7 @@ class SecTdApi(TdApi):
account.gatewayName = self.gatewayName
# 账户代码
account.accountID = data['accountID']
account.accountID = data['accountID'] + '_Option'
account.vtAccountID = '.'.join([self.gatewayName, account.accountID])
# 数值相关
@ -1118,7 +1284,7 @@ class SecTdApi(TdApi):
#----------------------------------------------------------------------
def onSOPEntrustOrderRtn(self, data):
"""报单回报"""
"""期权报单回报"""
# 更新最大报单编号
newLocalID = data['localOrderID']
self.localID = max(self.localID, newLocalID)
@ -1146,6 +1312,8 @@ class SecTdApi(TdApi):
order.price = data['entrustPrice']
order.totalVolume = data['entrustQty']
order.orderTime = data['entrustTime']
order.productClass = PRODUCT_OPTION
# 确定委托状态
if order.totalVolume == order.tradedVolume:
@ -1160,6 +1328,7 @@ class SecTdApi(TdApi):
#----------------------------------------------------------------------
def onSOPTradeRtn(self, data):
"""期权成交推送"""
# 更新成交信息
trade = VtTradeData()
trade.gatewayName = self.gatewayName
@ -1204,7 +1373,7 @@ class SecTdApi(TdApi):
#----------------------------------------------------------------------
def onSOPWithdrawOrderRtn(self, data):
"""撤单推送"""
"""期权撤单推送"""
# 更新最大报单编号
newLocalID = data['localOrderID']
self.localID = max(self.localID, int(newLocalID))
@ -1232,6 +1401,8 @@ class SecTdApi(TdApi):
order.price = data['entrustPrice']
order.tradedVolume = data['tradeQty']
order.totalVolume = data['tradeQty'] + data['withdrawQty']
order.productClass = PRODUCT_OPTION
if data['withdrawQty']:
order.status = STATUS_CANCELLED
@ -1406,4 +1577,10 @@ class SecTdApi(TdApi):
#----------------------------------------------------------------------
def checkOptionSymbol(symbol):
"""检查是否为期权代码"""
if len(symbol) > 6:
return True
return False