[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
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msincenselee
parent
fa22e74a8a
commit
83d2a40624
@ -24,7 +24,7 @@ from vnpy.trader.object import (
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PositionData,
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AccountData
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)
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from vnpy.trader.utility import get_folder_path
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from vnpy.trader.utility import get_folder_path, print_dict, extract_vt_symbol
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# 市场id <=> Exchange
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MARKET_XTP2VT: Dict[int, Exchange] = {
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@ -299,6 +299,7 @@ class XtpMdApi(MdApi):
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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]
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tick.name = symbol_name_map.get(tick.vt_symbol, tick.symbol)
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self.gateway.prices.update({tick.vt_symbol: tick.last_price})
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self.gateway.on_tick(tick)
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def onSubOrderBook(self, data: dict, error: dict, last: bool) -> None:
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@ -363,6 +364,12 @@ class XtpMdApi(MdApi):
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)
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self.gateway.on_contract(contract)
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# 更新最新价
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pre_close_price = float(data["pre_close_price"])
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vt_symbol = contract.vt_symbol
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if vt_symbol not in self.gateway.prices and pre_close_price>0:
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self.gateway.prices.update({vt_symbol: pre_close_price})
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# 更新 symbol <=> 中文名称映射
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symbol_name_map[contract.vt_symbol] = contract.name
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@ -374,8 +381,17 @@ class XtpMdApi(MdApi):
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self.gateway.write_log(f"{contract.exchange.value}合约信息查询成功")
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def onQueryTickersPriceInfo(self, data: dict, error: dict, last: bool) -> None:
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""""""
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pass
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"""查询最新价"""
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self.gateway.write_log('最新价:{}'.format(print_dict(data)))
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symbol = data.get('ticker')
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exchange_id = data.get('exchange_id')
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last_price = float(data.get('last_price', 0))
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if symbol and exchange_id and last_price > 0:
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exchange = EXCHANGE_XTP2VT[exchange_id]
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vt_symbol = f'{symbol}.{exchange.value}'
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self.gateway.prices.update({vt_symbol: last_price})
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self.gateway.write_log(f'{vt_symbol} 最新价: {last_price}')
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def onSubscribeAllOptionMarketData(self, data: dict, error: dict) -> None:
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""""""
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@ -483,6 +499,10 @@ class XtpTdApi(TdApi):
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self.reqid: int = 0
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self.protocol: int = 0
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# 证券资产
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self.security_asset = None # 未查询获取持仓时，是None，如果查询过，无持仓，为0
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self.security_volumes: Dict[str, int] = {} # vt_symbol, volume
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# Whether current account supports margin or option
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self.margin_trading = False
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self.option_trading = False
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@ -590,7 +610,9 @@ class XtpTdApi(TdApi):
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last: bool,
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session: int
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) -> None:
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""""""
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"""普通账号持仓"""
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# self.gateway.write_log(f"------\n {print_dict(data)}")
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if data["market"] == 0:
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return
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@ -605,8 +627,35 @@ class XtpTdApi(TdApi):
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yd_volume=data["yesterday_position"],
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gateway_name=self.gateway_name
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)
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vt_symbol = position.vt_symbol
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self.gateway.on_position(position)
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# 如果持仓>0 获取持仓对应的当前最新价
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if position.volume > 0 and vt_symbol not in self.gateway.prices:
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req = SubscribeRequest(symbol=position.symbol, exchange=position.exchange)
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self.gateway.subscribe(req)
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self.security_volumes.update({vt_symbol: data["total_qty"]})
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def update_security_asset(self):
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"""更新资产净值"""
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#self.gateway.write_log(f'更新资产净值')
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total_asset = 0
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for vt_symbol, volume in self.security_volumes.items():
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price = self.gateway.prices.get(vt_symbol, None)
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# 获取不到股票的最新价，所以当前security_asset不可用
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if price is None:
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self.gateway.write_log(f'取不到:{vt_symbol}的价格')
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self.security_asset = None
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symbol, exchange = extract_vt_symbol(vt_symbol)
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req = SubscribeRequest(symbol=symbol, exchange=exchange)
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self.gateway.subscribe(req)
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return
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total_asset += volume * price
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#self.gateway.write_log(f'资产净值 => {total_asset}')
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self.security_asset = total_asset
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def onQueryAsset(
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self,
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data: dict,
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@ -616,12 +665,30 @@ class XtpTdApi(TdApi):
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session: int
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) -> None:
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""""""
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# XTP_ACCOUNT_NORMAL = 0, ///<普通账户
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# XTP_ACCOUNT_CREDIT, 1 ///<信用账户
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# XTP_ACCOUNT_DERIVE, 2 ///<衍生品账户
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# XTP_ACCOUNT_UNKNOWN 3 ///<未知账户类型
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if data['account_type'] != 0:
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return
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# self.gateway.write_log(print_dict(data))
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self.update_security_asset()
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if self.security_asset is not None:
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cash_asset = data["total_asset"]
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balance = cash_asset + self.security_asset
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account = AccountData(
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accountid=self.userid,
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balance=data["buying_power"],
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balance=balance, # 总资产
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margin=self.security_asset, # 证券资产
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frozen=data["withholding_amount"],
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gateway_name=self.gateway_name
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)
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# AccountData缺省的available 计算方法有误，这里直接取可用资金
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account.available = cash_asset
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self.gateway.on_account(account)
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if data["account_type"] == 1:
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@ -669,7 +736,8 @@ class XtpTdApi(TdApi):
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last: bool,
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session: int
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) -> None:
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""""""
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"""信用账号持仓"""
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self.gateway.write_log(f"------\n {print_dict(data)}")
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if data["debt_type"] == 1:
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symbol = data["ticker"]
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exchange = MARKET_XTP2VT[data["market"]]
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@ -96,6 +96,8 @@ class BaseGateway(ABC):
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self.klines = {}
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self.status = {'name': gateway_name, 'con': False}
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self.prices: Dict[str, float] = {} # vt_symbol, last_price
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self.query_functions = []
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def create_logger(self):
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