senset/vnpy
1
0
Fork 0
Code Issues Pull Requests Packages Projects Releases Wiki Activity

Merge branch 'v2.0.1-DEV' of https://github.com/vnpy/vnpy into v2.0.1-DEV

Browse Source
This commit is contained in:
vn.py 2019-03-07 15:04:52 +08:00
commit 86f0fe557c
3 changed files with 643 additions and 8 deletions
Show Stats Download Patch File Download Diff File Expand all files Collapse all files

18
tests/trader/run.py
View File

@ -4,10 +4,11 @@ from vnpy.event import EventEngine
from vnpy.trader.engine import MainEngine
from vnpy.trader.ui import MainWindow, create_qapp
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.bitmex import BitmexGateway
#from vnpy.gateway.futu import FutuGateway
#from vnpy.gateway.ib import IbGateway
#from vnpy.gateway.ctp import CtpGateway
from vnpy.gateway.tiger import TigerGateway
from vnpy.app.cta_strategy import CtaStrategyApp
@ -19,10 +20,11 @@ def main():
event_engine = EventEngine()
main_engine = MainEngine(event_engine)
main_engine.add_gateway(CtpGateway)
main_engine.add_gateway(IbGateway)
main_engine.add_gateway(FutuGateway)
main_engine.add_gateway(BitmexGateway)
#main_engine.add_gateway(CtpGateway)
#main_engine.add_gateway(IbGateway)
#main_engine.add_gateway(FutuGateway)
#main_engine.add_gateway(BitmexGateway)
main_engine.add_gateway(TigerGateway)
main_engine.add_app(CtaStrategyApp)

1
vnpy/gateway/tiger/__init__.py Normal file
View File

@ -0,0 +1 @@
from .tiger_gateway import TigerGateway

632
vnpy/gateway/tiger/tiger_gateway.py Normal file
View File

@ -0,0 +1,632 @@
# encoding: UTF-8
"""
Please install tiger-api before use.
pip install tigeropen
"""
from copy import copy
from threading import Thread
from time import sleep
import time
import pandas as pd
from pandas import DataFrame
from datetime import datetime
from tigeropen.tiger_open_config import TigerOpenClientConfig
from tigeropen.common.consts import Language, Currency, Market
from tigeropen.quote.quote_client import QuoteClient
from tigeropen.trade.trade_client import TradeClient
from tigeropen.trade.domain.order import ORDER_STATUS
from tigeropen.push.push_client import PushClient
from tigeropen.common.exceptions import ApiException
from vnpy.trader.constant import Direction, Product, Status, PriceType, Exchange
from vnpy.trader.event import EVENT_TIMER
from vnpy.trader.gateway import BaseGateway
from vnpy.trader.object import (
TickData,
OrderData,
TradeData,
AccountData,
ContractData,
PositionData,
SubscribeRequest,
OrderRequest,
CancelRequest,
)
PRODUCT_VT2TIGER = {
Product.EQUITY: "STK",
Product.OPTION: "OPT",
Product.WARRANT: "WAR",
Product.WARRANT: "IOPT",
Product.FUTURES: "FUT",
Product.OPTION: "FOP",
Product.FOREX: "CASH"
}
DIRECTION_VT2TIGER = {
Direction.LONG: "BUY",
Direction.SHORT: "SELL",
}
DIRECTION_TIGER2VT = {
"BUY": Direction.LONG,
"SELL": Direction.SHORT,
"sell": Direction.SHORT,
}
PRICETYPE_VT2TIGER = {
PriceType.LIMIT: "LMT",
PriceType.MARKET: "MKT",
}
STATUS_TIGER2VT = {
ORDER_STATUS.PENDING_NEW: Status.SUBMITTING,
ORDER_STATUS.NEW: Status.SUBMITTING,
ORDER_STATUS.HELD: Status.SUBMITTING,
ORDER_STATUS.PARTIALLY_FILLED: Status.PARTTRADED,
ORDER_STATUS.FILLED: Status.ALLTRADED,
ORDER_STATUS.CANCELLED: Status.CANCELLED,
ORDER_STATUS.PENDING_CANCEL: Status.CANCELLED,
ORDER_STATUS.REJECTED: Status.REJECTED,
ORDER_STATUS.EXPIRED: Status.NOTTRADED
}
# "1_key": "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",
class TigerGateway(BaseGateway):
""""""
default_setting = {
"private_key": "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",
"tiger_id": "20150008",
"account": "DU575568",
"standard_account": "DU575568",
"paper_account": "DU575568",
"language": "Language.zh_CN",
}
def __init__(self, event_engine):
"""Constructor"""
super(TigerGateway, self).__init__(event_engine, "TIGER")
self.private_key = ""
self.tiger_id = ""
self.account = ""
self.standard_account = ""
self.paper_account = ""
self.language = ""
self.client_config = None
self.quote_client = None
self.push_client = None
self.ticks = {}
self.trades = set()
self.contracts = {}
self.symbol_names = {}
self.thread = Thread(target=self.query_data)
# For query function.
self.count = 0
self.interval = 1
self.query_funcs = [self.query_order]
def connect(self, setting: dict):
""""""
self.private_key = setting["private_key"]
self.tiger_id = setting["tiger_id"]
self.account = setting["account"]
self.standard_account = setting["standard_account"]
self.paper_account = setting["paper_account"]
self.languege = setting["language"]
self.get_client_config()
self.connect_quote()
self.connect_trade()
self.connect_push()
self.thread.start()
def query_data(self):
"""
Query all data necessary.
"""
sleep(2.0) # Wait 2 seconds till connection completed.
self.query_contract()
# self.query_trade()
self.query_order()
self.query_position()
self.query_account()
# Start fixed interval query.
self.event_engine.register(EVENT_TIMER, self.process_timer_event)
def process_timer_event(self, event):
""""""
self.count += 1
if self.count < self.interval:
return
self.count = 0
func = self.query_funcs.pop(0)
func()
self.query_funcs.append(func)
def get_client_config(self, sandbox=True):
""""""
self.client_config = TigerOpenClientConfig(sandbox_debug=sandbox)
self.client_config.private_key = self.private_key
self.client_config.tiger_id = self.tiger_id
self.client_config.account = self.account
self.client_config.standard_account = self.standard_account
self.client_config.paper_account = self.paper_account
self.client_config.language = self.language
return self.client_config
def connect_quote(self):
"""
Connect to market data server.
"""
self.quote_client = QuoteClient(self.client_config)
try:
symbol_names = self.quote_client.get_symbol_names(lang=Language.zh_CN)
self.symbol_names =dict(symbol_names)
except ApiException:
self.write_log("行情接口连接失败")
return
if self.symbol_names:
self.write_log("行情接口连接成功")
def connect_trade(self):
"""
Connect to trade server.
"""
self.trade_client = TradeClient(self.client_config)
try:
data = self.trade_client.get_managed_accounts()
except ApiException:
self.write_log("交易接口连接失败")
return
if data:
self.write_log("交易接口连接成功")
def connect_push(self):
"""
Connect to push server.
"""
protocol, host, port = self.client_config.socket_host_port
self.push_client = PushClient(host, port, (protocol == 'ssl'))
self.push_client.connect(self.client_config.tiger_id, self.client_config.private_key)
self.push_client.quote_changed = self.on_quote_change
self.push_client.subscribe_asset()
self.push_client.asset_changed = self.on_asset_changed
self.push_client.subscribe_position()
self.push_client.position_changed = self.on_position_changed
self.push_client.subscribe_order()
self.push_client.order_changed = self.on_order_changed
self.write_log("推送接口连接成功")
def subscribe(self, req: SubscribeRequest):
""""""
self.push_client.subscribe_quote([req.symbol])
# self.push_client.subscribe_asset()
# self.push_client.subscribe_position()
# self.push_client.subscribe_order()
def on_quote_change(self, symbol: str, data: list, trading: bool):
symbol, exchange = convert_symbol_tiger2vt(symbol)
name = self.symbol_names[symbol]
tick = self.ticks.get(symbol, None)
if not tick:
tick = TickData(
symbol=symbol,
exchange=exchange,
datetime=None,
gateway_name=self.gateway_name,
name=name,
)
self.ticks[symbol] = tick
tick.datetime = datetime.now()
tick.open_price = data[5][1]
tick.high_price = data[2][1]
tick.low_price = data[4][1]
tick.pre_close = data[3][1]
tick.last_price = data[0][1]
tick.volume = data[1][1]
self.on_tick(copy(tick))
def on_asset_changed(self, account: str, data: list):
""""""
print("账号", data)
account = AccountData(
accountid=account,
balance=data[7][1],
frozen=0.0,
gateway_name=self.gateway_name,
)
self.on_account(account)
def on_position_changed(self, account: str, data: list):
""""""
print("持仓", data)
symbol = data[3][1]
volume = data[5][1]
# 判断方向
if volume > 0:
direction = Direction.LONG
else:
direction = Direction.SHORT
symbol, exchange = convert_symbol_tiger2vt(symbol)
pos = PositionData(
symbol=symbol,
exchange=exchange,
direction=direction,
volume=volume,
frozen=0.0,
price=data[0][1],
pnl=data[4][1],
gateway_name=self.gateway_name,
)
self.on_position(pos)
def on_order_changed(self, account: str, data: list):
""""""
print("委托", data)
symbol = data[6][1]
volume = data[7][1]
if volume > 0:
direction = Direction.LONG
else:
direction = Direction.SHORT
symbol, exchange = convert_symbol_tiger2vt(symbol)
order = OrderData(
symbol=symbol,
exchange=exchange,
orderid=data[2][1],
direction=direction,
price=data[8][1],
volume=volume,
traded=data[4][1],
status=None,
time=datetime.now(),
gateway_name=self.gateway_name,
)
self.on_order(order)
def send_order(self, req: OrderRequest):
""""""
symbol = convert_symbol_vt2tiger(req.symbol, req.exchange)
currency = config_symbol_currency(req.symbol)
order_type = PRICETYPE_VT2TIGER[req.price_type]
# first, get contract
try:
contract = self.trade_client.get_contracts(symbol=symbol, currency=currency)[0]
except ApiException:
self.write_log("获取合约对象失败")
return
# second, create order
try:
order = self.trade_client.create_order(
account=self.account,
contract=contract,
action=DIRECTION_VT2TIGER[req.direction],
order_type=order_type,
quantity=req.volume,
limit_price=req.price
)
except ApiException:
self.write_log("创建订单失败")
return
# third, place order
try:
data = self.trade_client.place_order(order)
except ApiException:
self.write_log("发送订单失败")
return
if data:
orderid = order.order_id
order = req.create_order_data(orderid, self.gateway_name)
self.on_order(order)
return order.vt_orderid
def cancel_order(self, req: CancelRequest):
""""""
try:
data = self.trade_client.cancel_order(order_id=req.orderid)
except ApiException:
self.write_log("撤单失败")
return
if not data:
self.write_log('撤单成功')
def query_contract(self):
""""""
# HK Stock
try:
symbols_names_HK = self.quote_client.get_symbol_names(lang=Language.zh_CN, market=Market.HK)
contract_names_HK = DataFrame(symbols_names_HK, columns=['symbol', 'name'])
except ApiException:
self.write_log("查询合约失败")
return
contractList = list(contract_names_HK["symbol"])
i, n = 0, len(contractList)
result = pd.DataFrame()
while i < n:
i += 500
c = contractList[i - 500:i]
r = self.quote_client.get_trade_metas(c)
result = result.append(r)
pass
contract_detail_HK = result.sort_values(by="symbol", ascending=True)
contract_HK = pd.merge(contract_names_HK, contract_detail_HK, how='left', on='symbol')
for ix, row in contract_HK.iterrows():
contract = ContractData(
symbol=row["symbol"],
exchange=Exchange.SEHK,
name=row["name"],
product=Product.EQUITY,
size=1,
pricetick=row["min_tick"],
gateway_name=self.gateway_name,
)
self.on_contract(contract)
self.contracts[contract.vt_symbol] = contract
# US Stock
symbols_names_US = self.quote_client.get_symbol_names(lang=Language.zh_CN, market=Market.US)
contract_US = DataFrame(symbols_names_US, columns=['symbol', 'name'])
for ix, row in contract_US.iterrows():
contract = ContractData(
symbol=row["symbol"],
exchange=Exchange.SMART,
name=row["name"],
product=Product.EQUITY,
size=1,
pricetick=0.001,
gateway_name=self.gateway_name,
)
self.on_contract(contract)
self.contracts[contract.vt_symbol] = contract
# CN Stock
symbols_names_CN = self.quote_client.get_symbol_names(lang=Language.zh_CN, market=Market.CN)
contract_CN = DataFrame(symbols_names_CN, columns=['symbol', 'name'])
for ix, row in contract_CN.iterrows():
symbol = row["symbol"]
symbol, exchange = convert_symbol_tiger2vt(symbol)
contract = ContractData(
symbol=symbol,
exchange=exchange,
name=row["name"],
product=Product.EQUITY,
size=1,
pricetick=0.001,
gateway_name=self.gateway_name,
)
self.on_contract(contract)
self.contracts[contract.vt_symbol] = contract
self.write_log("合约查询成功")
def query_account(self):
""""""
try:
assets = self.trade_client.get_assets()
except ApiException:
self.write_log("查询资金失败")
return
for i in assets:
account = AccountData(
accountid=self.account,
balance=float(i.summary.net_liquidation),
frozen=0.0,
gateway_name=self.gateway_name,
)
self.on_account(account)
def query_position(self):
""""""
try:
position = self.trade_client.get_positions()
except ApiException:
self.write_log("查询持仓失败")
return
for i in position:
symbol = i.contract.symbol
symbol, exchange = convert_symbol_tiger2vt(symbol)
volume = float(i.quantity)
# 判断方向
if volume > 0:
direction = Direction.LONG
else:
direction = Direction.SHORT
pos = PositionData(
symbol=symbol,
exchange=exchange,
direction=direction,
volume=volume,
frozen=0.0,
price=float(i.market_price), # market_price = 0.0
pnl=float(i.average_cost), # 未知？？
gateway_name=self.gateway_name,
)
self.on_position(pos)
def query_order(self):
""""""
try:
data = self.trade_client.get_orders()
except ApiException:
self.write_log("查询委托失败")
return
self.process_order(data)
self.process_deal(data)
def query_trade(self):
""""""
pass
def close(self):
""""""
if self.push_client:
self.push_client.disconnect()
def process_order(self, data):
""""""
for i in data:
symbol = str(i.contract)
symbol, exchange = convert_symbol_tiger2vt(symbol)
time_local = time.localtime(i.order_time / 1000)
if i.order_type == "LMT":
price = i.limit_price
else:
price = 0
order = OrderData(
symbol=symbol,
exchange=exchange,
orderid=str(i.order_id),
direction=DIRECTION_TIGER2VT[i.action],
price=float(price),
volume=float(i.quantity),
traded=float(i.filled),
status=STATUS_TIGER2VT[i.status],
time=time.strftime("%Y-%m-%d %H:%M:%S", time_local).split(" ")[-1],
gateway_name=self.gateway_name,
)
self.on_order(order)
def process_deal(self, data):
"""
Process trade data for both query and update.
"""
for i in data:
if i.status == ORDER_STATUS.PARTIALLY_FILLED or i.status == ORDER_STATUS.FILLED:
symbol = str(i.contract)
symbol, exchange = convert_symbol_tiger2vt(symbol)
time_local = time.localtime(i.trade_time / 1000)
trade = TradeData(
symbol=symbol,
exchange=exchange,
direction=DIRECTION_TIGER2VT[i.action],
tradeid=i.order_id,
orderid=i.order_id,
price=float(i.avg_fill_price),
volume=float(i.filled),
time=time.strftime("%Y-%m-%d %H:%M:%S", time_local).split(" ")[-1],
gateway_name=self.gateway_name,
)
self.on_trade(trade)
def convert_symbol_tiger2vt(symbol):
"""
Convert symbol from vt to tiger.
"""
if symbol.encode("UTF-8").isalpha():
exchange = Exchange.SMART
else:
if len(symbol) < 6:
exchange = Exchange.SEHK
elif symbol.startswith("6"):
exchange = Exchange.SSE
elif symbol.endswith(".SH"):
exchange = Exchange.SSE
symbol = symbol.strip(".SH")
else:
exchange = Exchange.SZSE
return symbol, exchange
def convert_symbol_vt2tiger(symbol, exchange):
"""
Convert symbol from vt to tiger.
"""
if exchange == Exchange.SSE and symbol.startswith("0"):
symbol = symbol + ".SH"
else:
symbol = symbol
return symbol
def config_symbol_currency(symbol):
"""
Config symbol to corresponding currency
"""
if symbol.encode("UTF-8").isalpha():
currency = Currency.USD
else:
if len(symbol) < 6:
currency = Currency.HKD
else:
currency = Currency.CNH
return currency