[Mod]add trader api of xtp
This commit is contained in:
vn.py
parent
72dd05dcb5
commit
8a2489ebf9
@ -9,6 +9,9 @@ from vnpy.api.xtp.vnxtp import (
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XTPSpecificTickerStruct,
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XTPTickByTickStruct,
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XTPTickerPriceInfo,
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XTPQueryOrderReq,
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XTPQueryTraderReq,
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XTPOrderInsertInfo,
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XTP_EXCHANGE_TYPE,
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XTP_LOG_LEVEL,
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XTP_PROTOCOL_TYPE,
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@ -18,11 +21,17 @@ from vnpy.api.xtp.vnxtp import (
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XTP_TICKER_TYPE_BOND,
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XTP_TICKER_TYPE_OPTION,
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XTP_PROTOCOL_TCP,
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XTP_PROTOCOL_UDP
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XTP_PROTOCOL_UDP,
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XTP_TERT_RESTART,
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XTP_SIDE_BUY,
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XTP_SIDE_SELL,
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XTP_PRICE_LIMIT,
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XTP_PRICE_BEST5_OR_CANCEL,
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XTP_BUSINESS_TYPE_CASH
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)
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from vnpy.event import EventEngine
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from vnpy.trader.constant import Exchange, Product
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from vnpy.trader.constant import Exchange, Product, Direction, OrderType
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from vnpy.trader.gateway import BaseGateway
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from vnpy.trader.object import (CancelRequest, OrderRequest, SubscribeRequest,
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TickData, ContractData, OrderData, TradeData,
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@ -45,6 +54,18 @@ PRODUCT_XTP2VT = {
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XTP_TICKER_TYPE_OPTION: Product.OPTION
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}
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DIRECTION_VT2XTP = {
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Direction.LONG: XTP_SIDE_BUY,
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Direction.SHORT: XTP_SIDE_SELL
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}
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DIRECTION_XTP2VT = {v: k for k, v in DIRECTION_VT2XTP.items()}
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ORDERTYPE_VT2XTP = {
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OrderType.LIMIT: XTP_PRICE_LIMIT,
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OrderType.MARKET: XTP_PRICE_BEST5_OR_CANCEL
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}
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ORDERTYPE_XTP2VT = {v: k for k, v in ORDERTYPE_VT2XTP.items()}
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symbol_name_map = {}
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@ -67,6 +88,7 @@ class XtpGateway(BaseGateway):
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super().__init__(event_engine, "XTP")
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self.quote_api = XtpQuoteApi(self)
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self.trader_api = XtpTraderApi(self)
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def connect(self, setting: dict):
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""""""
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@ -75,38 +97,47 @@ class XtpGateway(BaseGateway):
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client_id = setting['客户号']
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quote_ip = setting['行情地址']
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quote_port = setting['行情端口']
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trade_ip = setting['交易地址']
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trade_port = setting['交易端口']
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trader_ip = setting['交易地址']
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trader_port = setting['交易端口']
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quote_protocol = setting["行情协议"]
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self.quote_api.connect(userid, password, client_id,
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quote_ip, quote_port, quote_protocol)
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self.trader_api.connect(userid, password, client_id,
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trader_ip, trader_port)
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def close(self):
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""""""
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pass
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self.quote_api.close()
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self.trader_api.close()
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def subscribe(self, req: SubscribeRequest):
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""""""
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self.quote_api.subscrbie(req)
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def send_order(self, req: OrderRequest) -> str:
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pass
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""""""
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return self.trader_api.send_order(req)
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def cancel_order(self, req: CancelRequest):
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pass
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""""""
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self.trader_api.cancel_order(req)
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def query_account(self):
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pass
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""""""
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self.trader_api.query_account()
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def query_position(self):
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pass
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""""""
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self.trader_api.query_position()
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class XtpQuoteApi(API.QuoteSpi):
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def __init__(self, gateway: BaseGateway):
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""""""
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super().__init__()
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self.gateway = gateway
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self.gateway_name = gateway.gateway_name
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@ -166,12 +197,17 @@ class XtpQuoteApi(API.QuoteSpi):
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if not ret:
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msg = "行情服务器登录成功"
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self.query_contract()
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else:
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msg = f"行情服务器登录失败，原因：{ret}"
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self.gateway.write_log(msg)
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def close(self):
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""""""
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if self.api:
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self.api.RegisterSpi(None)
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self.api.Release()
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def subscrbie(self, req: SubscribeRequest):
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""""""
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xtp_exchange = EXCHANGE_VT2XTP.get(req.exchange, "")
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@ -314,23 +350,22 @@ class XtpQuoteApi(API.QuoteSpi):
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def OnQueryAllTickers(self, ticker_info: XTPQuoteStaticInfo, error_info: XTPRspInfoStruct,
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is_last: bool) -> Any:
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""""""
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return
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# if self.check_error("查询合约", error_info):
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# return
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if self.check_error("查询合约", error_info):
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return
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# contract = ContractData(
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# symbol=ticker_info.ticker,
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# exchange=EXCHANGE_XTP2VT[ticker_info.exchange_id],
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# name=ticker_info.ticker_name,
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# product=PRODUCT_XTP2VT[ticker_info.ticker_type],
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# size=1,
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# pricetick=ticker_info.pricetick,
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# min_volume=ticker_info.buy_qty_unit,
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# gateway_name=self.gateway_name
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# )
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# self.gateway.on_contract(contract)
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contract = ContractData(
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symbol=ticker_info.ticker,
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exchange=EXCHANGE_XTP2VT[ticker_info.exchange_id],
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name=ticker_info.ticker_name,
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product=PRODUCT_XTP2VT[ticker_info.ticker_type],
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size=1,
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pricetick=ticker_info.pricetick,
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min_volume=ticker_info.buy_qty_unit,
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gateway_name=self.gateway_name
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)
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self.gateway.on_contract(contract)
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# symbol_name_map[contract.vt_symbol] = contract.name
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symbol_name_map[contract.vt_symbol] = contract.name
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def OnQueryTickersPriceInfo(self, ticker_info: XTPTickerPriceInfo, error_info: XTPRspInfoStruct,
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is_last: bool) -> Any:
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@ -366,3 +401,126 @@ class XtpQuoteApi(API.QuoteSpi):
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error_info: XTPRspInfoStruct) -> Any:
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""""""
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pass
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class XtpTraderApi(API.TraderSpi):
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def __init__(self, gateway: BaseGateway):
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""""""
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super().__init__()
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self.gateway = gateway
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self.gateway_name = gateway.gateway_name
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self.userid = ""
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self.password = ""
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self.client_id = ""
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self.server_ip = ""
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self.server_port = ""
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self.api = None
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self.session_id = 0
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self.reqid = 0
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self.orderid = 0
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def connect(
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self,
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userid: str,
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password: str,
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client_id: str,
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server_ip: str,
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server_port: str
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):
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""""""
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if self.api:
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return
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self.userid = userid
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self.password = password
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self.client_id = client_id
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self.server_ip = server_ip
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self.server_port = server_port
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# Create API object
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path = str(get_folder_path(self.gateway_name.lower()))
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self.api = API.TraderApi.CreateTraderApi(
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self.client_id,
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path,
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XTP_LOG_LEVEL.XTP_LOG_LEVEL_TRACE
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)
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self.api.RegisterSpi(self)
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self.api.SubscribePublicTopic(XTP_TERT_RESTART)
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self.gateway.write_log("交易接口初始化成功")
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# Login to server
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self.session_id = self.api.Login(
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self.server_ip,
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self.server_port,
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self.userid,
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self.password,
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XTP_PROTOCOL_TCP
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)
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if self.session_id:
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msg = "交易服务器登录成功"
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else:
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reason = self.api.GetApiLastError()
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msg = f"交易服务器登录失败，原因：{reason}"
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self.gateway.write_log(msg)
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def close(self):
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""""""
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if self.api:
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self.api.RegisterSpi(None)
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self.api.Release()
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def send_order(self, req: OrderRequest) -> str:
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""""""
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self.orderid += 1
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xtp_req = XTPOrderInsertInfo()
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xtp_req.ticker = req.symbol
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xtp_req.market = EXCHANGE_XTP2VT[req.exchange]
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xtp_req.price = req.price
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xtp_req.quantity = req.volume
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xtp_req.order_client_id = self.client_id
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xtp_req.order_xtp_id = self.orderid
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xtp_req.side = DIRECTION_XTP2VT.get(req.direction, "")
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xtp_req.price_type = ORDERTYPE_XTP2VT.get(req.type, "")
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xtp_req.business_type = XTP_BUSINESS_TYPE_CASH
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self.api.InsertOrder(xtp_req, self.session_id)
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order = req.create_order_data(str(self.orderid))
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self.gateway.on_order(order)
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return order.vt_orderid
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def cancel_order(self, req: CancelRequest):
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""""""
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self.api.CancelOrder(req.orderid, self.session_id)
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def query_account(self):
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""""""
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self.reqid += 1
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self.api.QueryAsset(self.session_id, self.reqid)
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def query_position(self):
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""""""
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self.reqid += 1
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self.api.QueryPosition("", self.session_id, self.reqid)
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def query_order(self):
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""""""
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self.reqid += 1
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self.api.QueryOrders(XTPQueryOrderReq(), self.session_id, self.reqid)
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def query_trade(self):
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""""""
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self.reqid += 1
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self.api.QueryTrades(XTPQueryTraderReq(), self.session_id, self.reqid)
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