From 8a2489ebf9d4e6e94673ee4e3e4ada1f7e37b1f3 Mon Sep 17 00:00:00 2001 From: "vn.py" Date: Thu, 25 Apr 2019 19:12:46 +0800 Subject: [PATCH] [Mod]add trader api of xtp --- vnpy/gateway/xtp/xtp_gateway.py | 208 ++++++++++++++++++++++++++++---- 1 file changed, 183 insertions(+), 25 deletions(-) diff --git a/vnpy/gateway/xtp/xtp_gateway.py b/vnpy/gateway/xtp/xtp_gateway.py index c3d8ac85..0ffb7cf4 100644 --- a/vnpy/gateway/xtp/xtp_gateway.py +++ b/vnpy/gateway/xtp/xtp_gateway.py @@ -9,6 +9,9 @@ from vnpy.api.xtp.vnxtp import ( XTPSpecificTickerStruct, XTPTickByTickStruct, XTPTickerPriceInfo, + XTPQueryOrderReq, + XTPQueryTraderReq, + XTPOrderInsertInfo, XTP_EXCHANGE_TYPE, XTP_LOG_LEVEL, XTP_PROTOCOL_TYPE, @@ -18,11 +21,17 @@ from vnpy.api.xtp.vnxtp import ( XTP_TICKER_TYPE_BOND, XTP_TICKER_TYPE_OPTION, XTP_PROTOCOL_TCP, - XTP_PROTOCOL_UDP + XTP_PROTOCOL_UDP, + XTP_TERT_RESTART, + XTP_SIDE_BUY, + XTP_SIDE_SELL, + XTP_PRICE_LIMIT, + XTP_PRICE_BEST5_OR_CANCEL, + XTP_BUSINESS_TYPE_CASH ) from vnpy.event import EventEngine -from vnpy.trader.constant import Exchange, Product +from vnpy.trader.constant import Exchange, Product, Direction, OrderType from vnpy.trader.gateway import BaseGateway from vnpy.trader.object import (CancelRequest, OrderRequest, SubscribeRequest, TickData, ContractData, OrderData, TradeData, @@ -45,6 +54,18 @@ PRODUCT_XTP2VT = { XTP_TICKER_TYPE_OPTION: Product.OPTION } +DIRECTION_VT2XTP = { + Direction.LONG: XTP_SIDE_BUY, + Direction.SHORT: XTP_SIDE_SELL +} +DIRECTION_XTP2VT = {v: k for k, v in DIRECTION_VT2XTP.items()} + +ORDERTYPE_VT2XTP = { + OrderType.LIMIT: XTP_PRICE_LIMIT, + OrderType.MARKET: XTP_PRICE_BEST5_OR_CANCEL +} +ORDERTYPE_XTP2VT = {v: k for k, v in ORDERTYPE_VT2XTP.items()} + symbol_name_map = {} @@ -67,6 +88,7 @@ class XtpGateway(BaseGateway): super().__init__(event_engine, "XTP") self.quote_api = XtpQuoteApi(self) + self.trader_api = XtpTraderApi(self) def connect(self, setting: dict): """""" @@ -75,38 +97,47 @@ class XtpGateway(BaseGateway): client_id = setting['客户号'] quote_ip = setting['行情地址'] quote_port = setting['行情端口'] - trade_ip = setting['交易地址'] - trade_port = setting['交易端口'] + trader_ip = setting['交易地址'] + trader_port = setting['交易端口'] quote_protocol = setting["行情协议"] self.quote_api.connect(userid, password, client_id, quote_ip, quote_port, quote_protocol) + self.trader_api.connect(userid, password, client_id, + trader_ip, trader_port) def close(self): """""" - pass + self.quote_api.close() + self.trader_api.close() def subscribe(self, req: SubscribeRequest): """""" self.quote_api.subscrbie(req) def send_order(self, req: OrderRequest) -> str: - pass + """""" + return self.trader_api.send_order(req) def cancel_order(self, req: CancelRequest): - pass + """""" + self.trader_api.cancel_order(req) def query_account(self): - pass + """""" + self.trader_api.query_account() def query_position(self): - pass + """""" + self.trader_api.query_position() class XtpQuoteApi(API.QuoteSpi): def __init__(self, gateway: BaseGateway): """""" + super().__init__() + self.gateway = gateway self.gateway_name = gateway.gateway_name @@ -166,12 +197,17 @@ class XtpQuoteApi(API.QuoteSpi): if not ret: msg = "行情服务器登录成功" - self.query_contract() else: msg = f"行情服务器登录失败，原因：{ret}" self.gateway.write_log(msg) + def close(self): + """""" + if self.api: + self.api.RegisterSpi(None) + self.api.Release() + def subscrbie(self, req: SubscribeRequest): """""" xtp_exchange = EXCHANGE_VT2XTP.get(req.exchange, "") @@ -314,23 +350,22 @@ class XtpQuoteApi(API.QuoteSpi): def OnQueryAllTickers(self, ticker_info: XTPQuoteStaticInfo, error_info: XTPRspInfoStruct, is_last: bool) -> Any: """""" - return - # if self.check_error("查询合约", error_info): - # return + if self.check_error("查询合约", error_info): + return - # contract = ContractData( - # symbol=ticker_info.ticker, - # exchange=EXCHANGE_XTP2VT[ticker_info.exchange_id], - # name=ticker_info.ticker_name, - # product=PRODUCT_XTP2VT[ticker_info.ticker_type], - # size=1, - # pricetick=ticker_info.pricetick, - # min_volume=ticker_info.buy_qty_unit, - # gateway_name=self.gateway_name - # ) - # self.gateway.on_contract(contract) + contract = ContractData( + symbol=ticker_info.ticker, + exchange=EXCHANGE_XTP2VT[ticker_info.exchange_id], + name=ticker_info.ticker_name, + product=PRODUCT_XTP2VT[ticker_info.ticker_type], + size=1, + pricetick=ticker_info.pricetick, + min_volume=ticker_info.buy_qty_unit, + gateway_name=self.gateway_name + ) + self.gateway.on_contract(contract) - # symbol_name_map[contract.vt_symbol] = contract.name + symbol_name_map[contract.vt_symbol] = contract.name def OnQueryTickersPriceInfo(self, ticker_info: XTPTickerPriceInfo, error_info: XTPRspInfoStruct, is_last: bool) -> Any: @@ -366,3 +401,126 @@ class XtpQuoteApi(API.QuoteSpi): error_info: XTPRspInfoStruct) -> Any: """""" pass + + +class XtpTraderApi(API.TraderSpi): + + def __init__(self, gateway: BaseGateway): + """""" + super().__init__() + + self.gateway = gateway + self.gateway_name = gateway.gateway_name + + self.userid = "" + self.password = "" + self.client_id = "" + self.server_ip = "" + self.server_port = "" + + self.api = None + self.session_id = 0 + + self.reqid = 0 + self.orderid = 0 + + def connect( + self, + userid: str, + password: str, + client_id: str, + server_ip: str, + server_port: str + ): + """""" + if self.api: + return + + self.userid = userid + self.password = password + self.client_id = client_id + self.server_ip = server_ip + self.server_port = server_port + + # Create API object + path = str(get_folder_path(self.gateway_name.lower())) + + self.api = API.TraderApi.CreateTraderApi( + self.client_id, + path, + XTP_LOG_LEVEL.XTP_LOG_LEVEL_TRACE + ) + + self.api.RegisterSpi(self) + self.api.SubscribePublicTopic(XTP_TERT_RESTART) + + self.gateway.write_log("交易接口初始化成功") + + # Login to server + self.session_id = self.api.Login( + self.server_ip, + self.server_port, + self.userid, + self.password, + XTP_PROTOCOL_TCP + ) + + if self.session_id: + msg = "交易服务器登录成功" + else: + reason = self.api.GetApiLastError() + msg = f"交易服务器登录失败，原因：{reason}" + + self.gateway.write_log(msg) + + def close(self): + """""" + if self.api: + self.api.RegisterSpi(None) + self.api.Release() + + def send_order(self, req: OrderRequest) -> str: + """""" + self.orderid += 1 + + xtp_req = XTPOrderInsertInfo() + xtp_req.ticker = req.symbol + xtp_req.market = EXCHANGE_XTP2VT[req.exchange] + xtp_req.price = req.price + xtp_req.quantity = req.volume + xtp_req.order_client_id = self.client_id + xtp_req.order_xtp_id = self.orderid + xtp_req.side = DIRECTION_XTP2VT.get(req.direction, "") + xtp_req.price_type = ORDERTYPE_XTP2VT.get(req.type, "") + xtp_req.business_type = XTP_BUSINESS_TYPE_CASH + + self.api.InsertOrder(xtp_req, self.session_id) + + order = req.create_order_data(str(self.orderid)) + self.gateway.on_order(order) + + return order.vt_orderid + + def cancel_order(self, req: CancelRequest): + """""" + self.api.CancelOrder(req.orderid, self.session_id) + + def query_account(self): + """""" + self.reqid += 1 + self.api.QueryAsset(self.session_id, self.reqid) + + def query_position(self): + """""" + self.reqid += 1 + self.api.QueryPosition("", self.session_id, self.reqid) + + def query_order(self): + """""" + self.reqid += 1 + self.api.QueryOrders(XTPQueryOrderReq(), self.session_id, self.reqid) + + def query_trade(self): + """""" + self.reqid += 1 + self.api.QueryTrades(XTPQueryTraderReq(), self.session_id, self.reqid)