Update tiger_gateway.py
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@ -5,7 +5,6 @@ pip install tigeropen
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"""
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from copy import copy
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from datetime import datetime
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from threading import Thread
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from time import sleep
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import time
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@ -13,7 +12,7 @@ import pandas as pd
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from pandas import DataFrame
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from tigeropen.tiger_open_config import TigerOpenClientConfig
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from tigeropen.common.consts import Language, Currency ,Market
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from tigeropen.common.consts import Language, Currency, Market
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from tigeropen.quote.quote_client import QuoteClient
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from tigeropen.trade.trade_client import TradeClient
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from tigeropen.trade.domain.order import ORDER_STATUS
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@ -35,7 +34,7 @@ from vnpy.trader.object import (
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SubscribeRequest,
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OrderRequest,
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CancelRequest,
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)
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)
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PRODUCT_VT2TIGER = {
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@ -46,18 +45,18 @@ PRODUCT_VT2TIGER = {
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Product.FUTURES: "FUT",
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Product.OPTION: "FOP",
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Product.FOREX: "CASH"
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}
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}
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DIRECTION_VT2TIGER = {
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Direction.LONG: "BUY",
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Direction.SHORT: "SELL",
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}
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}
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DIRECTION_TIGER2VT = {v: k for k, v in DIRECTION_VT2TIGER.items()}
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PRICETYPE_VT2TIGER = {
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PriceType.LIMIT: "LMT",
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PriceType.MARKET: "MKT",
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}
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}
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STATUS_TIGER2VT = {
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ORDER_STATUS.PENDING_NEW: Status.SUBMITTING,
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@ -69,7 +68,7 @@ STATUS_TIGER2VT = {
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ORDER_STATUS.PENDING_CANCEL: Status.CANCELLED,
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ORDER_STATUS.REJECTED: Status.REJECTED,
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ORDER_STATUS.EXPIRED: Status.NOTTRADED
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}
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}
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class TigerGateway(BaseGateway):
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@ -82,7 +81,7 @@ class TigerGateway(BaseGateway):
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"standard_account": "",
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"paper_account": "DU575569",
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"language": "Language.zh_CN",
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}
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}
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def __init__(self, event_engine):
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"""Constructor"""
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@ -109,7 +108,7 @@ class TigerGateway(BaseGateway):
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# For query function.
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self.count = 0
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self.interval = 1
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self.query_funcs = [self.query_account, self.query_position,self.query_order, self.query_trade]
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self.query_funcs = [self.query_account, self.query_position, self.query_order]
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def connect(self, setting: dict):
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""""""
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@ -120,7 +119,6 @@ class TigerGateway(BaseGateway):
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self.paper_account = setting["paper_account"]
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self.languege = setting["language"]
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self.get_client_config()
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self.connect_quote()
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self.connect_trade()
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@ -132,23 +130,19 @@ class TigerGateway(BaseGateway):
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"""
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Query all data necessary.
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"""
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#self.write_log("query_data")
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sleep(2.0) # Wait 2 seconds till connection completed.
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self.query_contract()
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self.query_trade() #1
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self.query_order() #2
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self.query_position() #
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# self.query_trade()
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self.query_order()
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self.query_position()
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self.query_account()
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# Start fixed interval query.
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self.event_engine.register(EVENT_TIMER, self.process_timer_event)
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def process_timer_event(self, event):
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""""""
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#self.write_log("process_time_event")
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self.count += 1
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if self.count < self.interval:
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return
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@ -157,7 +151,6 @@ class TigerGateway(BaseGateway):
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func()
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self.query_funcs.append(func)
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def get_client_config(self, sandbox=True):
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""""""
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self.client_config = TigerOpenClientConfig(sandbox_debug=sandbox)
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@ -209,35 +202,37 @@ class TigerGateway(BaseGateway):
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self.write_log("推送接口连接成功")
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##########################################################
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def subscribe(self, req: SubscribeRequest):
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""""""
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symbol = convert_symbol_vt2tiger(req.symbol, req.exchange)
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self.push_client.subscribe_quote(symbol)
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# symbol = convert_symbol_vt2tiger(req.symbol, req.exchange)
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self.push_client.subscribe_quote([req.symbol])
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data = self.push_client.on_quote_change(symbol=req.symbol)
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tick = self.ticks.get(data,None)
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def on_quote_change(*args):
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print(args)
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data = self.push_client.quote_changed = on_quote_change
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tick = self.ticks.get(data, None)
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if not tick:
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tick = TickData(
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symbol=symbol,
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exchange=None,
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symbol=req.symbol,
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exchange=req.exchange,
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datetime=None,
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gateway_name=self.gateway_name,
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)
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self.ticks[data] = tick
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self.process_quote()
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self.process_quote(data)
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contract = self.contracts.get(tick.vt_symbol, None)
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if contract:
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tick.name = contract.name
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return tick
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def process_quote(self,data):
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def process_quote(self, data):
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"""报价推送"""
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symbol,info,_= data
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symbol, info, _ = data
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volume, latest_price, high_price, prev_close, low_price, open_price, latest_time = [i[1] for i in info]
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tick = self.get_tick(symbol)
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time_local = time.localtime(latest_time/1000)
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tick = self.get_tick(symbol)
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time_local = time.localtime(latest_time / 1000)
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tick.datetime = time.strftime("%Y-%m-%d %H:%M:%S", time_local)
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tick.open_price = open_price
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tick.high_price = open_price
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@ -248,12 +243,6 @@ class TigerGateway(BaseGateway):
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self.on_tick(copy(tick))
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###########################################
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def send_order(self, req: OrderRequest):
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""""""
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symbol = convert_symbol_vt2tiger(req.symbol, req.exchange)
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@ -262,7 +251,7 @@ class TigerGateway(BaseGateway):
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# first, get contract
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try:
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contract = self.trade_client.get_contracts(symbol=symbol,currency=currency)[0]
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contract = self.trade_client.get_contracts(symbol=symbol, currency=currency)[0]
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except ApiException:
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self.write_log("获取合约对象失败")
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return
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@ -311,8 +300,8 @@ class TigerGateway(BaseGateway):
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# HK Stock
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try:
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symbols_names_HK = self.quote_client.get_symbol_names(lang=Language.zh_CN ,market=Market.HK)
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contract_names_HK = DataFrame(symbols_names_HK,columns=['symbol', 'name'])
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symbols_names_HK = self.quote_client.get_symbol_names(lang=Language.zh_CN, market=Market.HK)
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contract_names_HK = DataFrame(symbols_names_HK, columns=['symbol', 'name'])
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except ApiException:
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self.write_log("查询合约失败")
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return
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@ -341,11 +330,11 @@ class TigerGateway(BaseGateway):
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gateway_name=self.gateway_name,
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)
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self.on_contract(contract)
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self.contracts[contract.vt_symbol] = contract
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self.contracts[contract.vt_symbol] = contract
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# US Stock
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symbols_names_US = self.quote_client.get_symbol_names(lang=Language.zh_CN ,market=Market.US)
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contract_US = DataFrame(symbols_names_US,columns=['symbol', 'name'])
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symbols_names_US = self.quote_client.get_symbol_names(lang=Language.zh_CN, market=Market.US)
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contract_US = DataFrame(symbols_names_US, columns=['symbol', 'name'])
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for ix, row in contract_US.iterrows():
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contract = ContractData(
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@ -361,8 +350,8 @@ class TigerGateway(BaseGateway):
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self.contracts[contract.vt_symbol] = contract
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# CN Stock
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symbols_names_CN = self.quote_client.get_symbol_names(lang=Language.zh_CN ,market=Market.CN)
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contract_CN = DataFrame(symbols_names_CN,columns=['symbol', 'name'])
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symbols_names_CN = self.quote_client.get_symbol_names(lang=Language.zh_CN, market=Market.CN)
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contract_CN = DataFrame(symbols_names_CN, columns=['symbol', 'name'])
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for ix, row in contract_CN.iterrows():
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symbol = row["symbol"]
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@ -382,10 +371,8 @@ class TigerGateway(BaseGateway):
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self.write_log("合约查询成功")
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def query_account(self):
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""""""
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#self.write_log("query_account_##")
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try:
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assets = self.trade_client.get_assets()
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except ApiException:
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@ -404,7 +391,6 @@ class TigerGateway(BaseGateway):
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def query_position(self):
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""""""
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#self.write_log("query_position_##")
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try:
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position = self.trade_client.get_positions()
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except ApiException:
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@ -436,7 +422,6 @@ class TigerGateway(BaseGateway):
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def query_order(self):
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""""""
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#self.write_log("query_order")
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try:
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data = self.trade_client.get_orders()
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except ApiException:
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@ -445,11 +430,10 @@ class TigerGateway(BaseGateway):
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self.process_order(data)
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self.process_deal(data)
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#self.write_log("委托查询成功")
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def query_trade(self):
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""""""
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#self.write_log("query_trade")
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pass
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def close(self):
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""""""
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@ -458,13 +442,12 @@ class TigerGateway(BaseGateway):
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def process_order(self, data):
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""""""
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#self.write_log("process_order")
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for i in data:
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symbol = str(i.contract)
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symbol, exchange = convert_symbol_tiger2vt(symbol)
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time_local = time.localtime(i.order_time/1000)
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time_local = time.localtime(i.order_time / 1000)
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if i.order_type =="LMT":
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if i.order_type == "LMT":
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price = i.limit_price
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else:
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price = i.avg_fill_price
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@ -488,12 +471,11 @@ class TigerGateway(BaseGateway):
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"""
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Process trade data for both query and update.
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"""
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#self.write_log("process_deal_###")
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for i in data:
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if i.status == ORDER_STATUS.PARTIALLY_FILLED or i.status == ORDER_STATUS.FILLED:
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symbol = str(i.contract)
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symbol, exchange = convert_symbol_tiger2vt(symbol)
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time_local = time.localtime(i.trade_time/1000)
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time_local = time.localtime(i.trade_time / 1000)
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trade = TradeData(
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symbol=symbol,
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@ -510,8 +492,6 @@ class TigerGateway(BaseGateway):
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self.on_trade(trade)
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def convert_symbol_tiger2vt(symbol):
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"""
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Convert symbol from vt to tiger.
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@ -541,6 +521,7 @@ def convert_symbol_vt2tiger(symbol, exchange):
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symbol = symbol
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return symbol
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def config_symbol_currency(symbol):
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"""
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Config symbol to corresponding currency
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