[Mod]add trader api of xtp

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']
+        trader_ip = setting['交易地址']
-        trade_port = setting['交易端口']
+        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:
         """"""
+        if self.check_error("查询合约", error_info):
             return
-        # if self.check_error("查询合约", error_info):
-        #     return
 
-        # contract = ContractData(
+        contract = ContractData(
-        #     symbol=ticker_info.ticker,
+            symbol=ticker_info.ticker,
-        #     exchange=EXCHANGE_XTP2VT[ticker_info.exchange_id],
+            exchange=EXCHANGE_XTP2VT[ticker_info.exchange_id],
-        #     name=ticker_info.ticker_name,
+            name=ticker_info.ticker_name,
-        #     product=PRODUCT_XTP2VT[ticker_info.ticker_type],
+            product=PRODUCT_XTP2VT[ticker_info.ticker_type],
-        #     size=1,
+            size=1,
-        #     pricetick=ticker_info.pricetick,
+            pricetick=ticker_info.pricetick,
-        #     min_volume=ticker_info.buy_qty_unit,
+            min_volume=ticker_info.buy_qty_unit,
-        #     gateway_name=self.gateway_name
+            gateway_name=self.gateway_name
-        # )
+        )
-        # self.gateway.on_contract(contract)
+        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)