[增强功能] 增强xtp账号信息内，包含股票实时净值权益的计算

vnpy/gateway/xtp/xtp_gateway.py

@@ -24,7 +24,7 @@ from vnpy.trader.object import (
     PositionData,
     AccountData
 )
-from vnpy.trader.utility import get_folder_path
+from vnpy.trader.utility import get_folder_path, print_dict, extract_vt_symbol
 
 # 市场id <=> Exchange
 MARKET_XTP2VT: Dict[int, Exchange] = {
@@ -299,6 +299,7 @@ class XtpMdApi(MdApi):
         tick.ask_volume_1, tick.ask_volume_2, tick.ask_volume_3, tick.ask_volume_4, tick.ask_volume_5 = data["ask_qty"][0:5]
 
         tick.name = symbol_name_map.get(tick.vt_symbol, tick.symbol)
+        self.gateway.prices.update({tick.vt_symbol: tick.last_price})
         self.gateway.on_tick(tick)
 
     def onSubOrderBook(self, data: dict, error: dict, last: bool) -> None:
@@ -363,6 +364,12 @@ class XtpMdApi(MdApi):
         )
         self.gateway.on_contract(contract)
 
+        # 更新最新价
+        pre_close_price = float(data["pre_close_price"])
+        vt_symbol = contract.vt_symbol
+        if vt_symbol not in self.gateway.prices and pre_close_price>0:
+            self.gateway.prices.update({vt_symbol: pre_close_price})
+
         # 更新 symbol <=> 中文名称映射
         symbol_name_map[contract.vt_symbol] = contract.name
 
@@ -374,8 +381,17 @@ class XtpMdApi(MdApi):
             self.gateway.write_log(f"{contract.exchange.value}合约信息查询成功")
 
     def onQueryTickersPriceInfo(self, data: dict, error: dict, last: bool) -> None:
-        """"""
+        """查询最新价"""
-        pass
+        self.gateway.write_log('最新价:{}'.format(print_dict(data)))
+        symbol = data.get('ticker')
+        exchange_id = data.get('exchange_id')
+        last_price = float(data.get('last_price', 0))
+
+        if symbol and exchange_id and last_price > 0:
+            exchange = EXCHANGE_XTP2VT[exchange_id]
+            vt_symbol = f'{symbol}.{exchange.value}'
+            self.gateway.prices.update({vt_symbol: last_price})
+            self.gateway.write_log(f'{vt_symbol} 最新价: {last_price}')
 
     def onSubscribeAllOptionMarketData(self, data: dict, error: dict) -> None:
         """"""
@@ -483,6 +499,10 @@ class XtpTdApi(TdApi):
         self.reqid: int = 0
         self.protocol: int = 0
 
+        # 证券资产
+        self.security_asset = None  # 未查询获取持仓时，是None，如果查询过，无持仓，为0
+        self.security_volumes: Dict[str, int] = {}  # vt_symbol, volume
+
         # Whether current account supports margin or option
         self.margin_trading = False
         self.option_trading = False
@@ -590,7 +610,9 @@ class XtpTdApi(TdApi):
         last: bool,
         session: int
     ) -> None:
-        """"""
+        """普通账号持仓"""
+        # self.gateway.write_log(f"------\n {print_dict(data)}")
+
         if data["market"] == 0:
             return
 
@@ -605,8 +627,35 @@ class XtpTdApi(TdApi):
             yd_volume=data["yesterday_position"],
             gateway_name=self.gateway_name
         )
+        vt_symbol = position.vt_symbol
         self.gateway.on_position(position)
 
+        # 如果持仓>0 获取持仓对应的当前最新价
+        if position.volume > 0 and vt_symbol not in self.gateway.prices:
+            req = SubscribeRequest(symbol=position.symbol, exchange=position.exchange)
+            self.gateway.subscribe(req)
+            self.security_volumes.update({vt_symbol: data["total_qty"]})
+
+    def update_security_asset(self):
+        """更新资产净值"""
+        #self.gateway.write_log(f'更新资产净值')
+        total_asset = 0
+        for vt_symbol, volume in self.security_volumes.items():
+            price = self.gateway.prices.get(vt_symbol, None)
+            # 获取不到股票的最新价，所以当前security_asset不可用
+            if price is None:
+                self.gateway.write_log(f'取不到:{vt_symbol}的价格')
+                self.security_asset = None
+                symbol, exchange = extract_vt_symbol(vt_symbol)
+                req = SubscribeRequest(symbol=symbol, exchange=exchange)
+                self.gateway.subscribe(req)
+                return
+
+            total_asset += volume * price
+            #self.gateway.write_log(f'资产净值 => {total_asset}')
+
+        self.security_asset = total_asset
+
     def onQueryAsset(
         self,
         data: dict,
@@ -616,12 +665,30 @@ class XtpTdApi(TdApi):
         session: int
     ) -> None:
         """"""
+        #  XTP_ACCOUNT_NORMAL = 0,	///<普通账户
+        #  XTP_ACCOUNT_CREDIT,	1	///<信用账户
+        #  XTP_ACCOUNT_DERIVE,	2	///<衍生品账户
+        #  XTP_ACCOUNT_UNKNOWN	3	///<未知账户类型
+        if data['account_type'] != 0:
+            return
+
+        # self.gateway.write_log(print_dict(data))
+        self.update_security_asset()
+
+        if self.security_asset is not None:
+            cash_asset = data["total_asset"]
+            balance = cash_asset + self.security_asset
+
             account = AccountData(
                 accountid=self.userid,
-            balance=data["buying_power"],
+                balance=balance,      # 总资产
+                margin=self.security_asset,    # 证券资产
                 frozen=data["withholding_amount"],
                 gateway_name=self.gateway_name
             )
+            # AccountData缺省的available 计算方法有误，这里直接取可用资金
+            account.available = cash_asset
+
             self.gateway.on_account(account)
 
         if data["account_type"] == 1:
@@ -669,7 +736,8 @@ class XtpTdApi(TdApi):
         last: bool,
         session: int
     ) -> None:
-        """"""
+        """信用账号持仓"""
+        self.gateway.write_log(f"------\n {print_dict(data)}")
         if data["debt_type"] == 1:
             symbol = data["ticker"]
             exchange = MARKET_XTP2VT[data["market"]]

vnpy/trader/gateway.py

@@ -96,6 +96,8 @@ class BaseGateway(ABC):
         self.klines = {}
         self.status = {'name': gateway_name, 'con': False}
 
+        self.prices: Dict[str, float] = {}  # vt_symbol, last_price
+
         self.query_functions = []
 
     def create_logger(self):