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[Mod]富途接口开发debug中

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This commit is contained in:
vn.py 2017-10-19 17:54:30 +08:00
parent 5e6141ca17
commit 8b84365bba
4 changed files with 78 additions and 73 deletions
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2
examples/VnTrader/RM_setting.json
View File

@ -5,6 +5,6 @@
"workingOrderLimit": 20,
"tradeLimit": 1000,
"orderSizeLimit": 100,
"active": true,
"active": false,
"orderFlowLimit": 50
}

3
requirements.txt
View File

@ -2,4 +2,5 @@ pymongo
websocket-client
msgpack-python
qdarkstyle
SortedContainers
SortedContainers
futuquant

2
vnpy/trader/gateway/futuGateway/Futu_connect.json
View File

@ -1,5 +1,5 @@
{
"market": "HK",
"password": "123456",
"password": "123123",
"env": 1
}

144
vnpy/trader/gateway/futuGateway/futuGateway.py
View File

@ -8,6 +8,7 @@ import json
from collections import OrderedDict
from threading import Thread
from time import sleep
import traceback
import futuquant as ft
from futuquant.open_context import (RET_ERROR, RET_OK,
@ -120,8 +121,10 @@ class FutuGateway(VtGateway):
gateway = self # 缓存Gateway对象
def on_recv_rsp(self, rsp_str):
print 'quote handler'
ret_code, content = super(QuoteHandler, self).on_recv_rsp(rsp_str)
try:
ret_code, content = super(QuoteHandler, self).on_recv_rsp(rsp_str)
except:
traceback.print_exc()
if ret_code != RET_OK:
return RET_ERROR, content
self.gateway.processQuote(content)
@ -132,8 +135,10 @@ class FutuGateway(VtGateway):
gateway = self
def on_recv_rsp(self, rsp_str):
print 'book handler'
ret_code, content = super(OrderBookHandler, self).on_recv_rsp(rsp_str)
try:
ret_code, content = super(OrderBookHandler, self).on_recv_rsp(rsp_str)
except:
traceback.print_exc()
if ret_code != RET_OK:
return RET_ERROR, content
self.gateway.processOrderBook(content)
@ -192,25 +197,26 @@ class FutuGateway(VtGateway):
ret_code, content = super(DealHandler, self).on_recv_rsp(rsp_str)
if ret_code != RET_OK:
return RET_ERROR, content
self.gateway.processTrade(content)
self.gateway.processDeal(content)
return RET_OK, content
# 只有港股实盘交易才需要解锁
if self.market == 'HK' and self.env == 0:
self.tradeCtx.unlock_trade(self.password)
# 设置回调处理对象
#self.tradeCtx.set_handler(OrderHandler())
#self.tradeCtx.set_handler(DealHandler())
self.tradeCtx.set_handler(OrderHandler())
self.tradeCtx.set_handler(DealHandler())
# 启动交易接口
self.tradeCtx.start()
# 只有港股实盘交易才需要解锁
if self.market == 'HK' and self.env == 0:
self.tradeCtx.unlock_trade(self.password)
self.writeLog(u'交易接口连接成功')
#----------------------------------------------------------------------
def subscribe(self, subscribeReq):
"""订阅行情"""
return
for data_type in ['QUOTE', 'ORDER_BOOK']:
code, data = self.quoteCtx.subscribe(subscribeReq.symbol, data_type, True)
@ -225,7 +231,8 @@ class FutuGateway(VtGateway):
code, data = self.tradeCtx.place_order(orderReq.price, orderReq.volume,
orderReq.symbol, side,
priceType, self.env)
priceType, self.env,
orderpush=True, dealpush=True)
if code:
self.writeError(code, u'委托失败：%s' %data)
@ -313,10 +320,10 @@ class FutuGateway(VtGateway):
pos.direction = DIRECTION_LONG
pos.vtPositionName = '.'.join([pos.vtSymbol, pos.direction])
pos.position = int(data['qty'])
pos.price = float(data['cost_price'])
pos.positionProfit = float(data['pl_val'])
pos.frozen = int(data['qty']) - int(data['can_sell_qty'])
pos.position = int(row['qty'])
pos.price = float(row['cost_price'])
pos.positionProfit = float(row['pl_val'])
pos.frozen = int(row['qty']) - int(row['can_sell_qty'])
self.onPosition(pos)
@ -394,11 +401,40 @@ class FutuGateway(VtGateway):
#----------------------------------------------------------------------
def processQuote(self, data):
"""报价推送"""
print 'quote-----------'
print type(data), data
for ix, row in data.iterrows():
symbol = row['code']
try:
for ix, row in data.iterrows():
symbol = row['code']
tick = self.tickDict.get(symbol, None)
if not tick:
tick = VtTickData()
tick.symbol = symbol
tick.vtSymbol = tick.symbol
tick.gatewayName = self.gatewayName
self.tickDict[symbol] = tick
tick.date = row['data_date']
tick.time = row['data_time']
tick.datetime = None
tick.openPrice = row['open_price']
tick.highPrice = row['high_price']
tick.lowPrice = row['low_price']
tick.preClosePrice = row['prev_close_price']
tick.lastPrice = row['last_price']
tick.volume = row['volume']
self.onTick(tick)
except:
traceback.print_exc()
#----------------------------------------------------------------------
def processOrderBook(self, data):
"""订单簿推送"""
try:
symbol = data['stock_code']
tick = self.tickDict.get(symbol, None)
if not tick:
tick = VtTickData()
@ -406,55 +442,25 @@ class FutuGateway(VtGateway):
tick.vtSymbol = tick.symbol
tick.gatewayName = self.gatewayName
self.tickDict[symbol] = tick
d = tick.__dict__
for i in range(5):
bidData = data['Bid'][i]
askData = data['Ask'][i]
n = i + 1
d['bidPrice%s' %n] = bidData[0]
d['bidVolume%s' %n] = bidData[1]
d['askPrice%s' %n] = askData[0]
d['askVolume%s' %n] = askData[1]
tick.date = row['data_date']
tick.time = row['data_time']
tick.datetime = None
tick.openPrice = row['open_price']
tick.highPrice = row['high_price']
tick.lowPrice = row['low_price']
tick.preClosePrice = row['prev_close_price']
tick.lastPrice = row['last_price']
tick.volume = row['volume']
self.onTick(tick)
#----------------------------------------------------------------------
def processOrderBook(self, data):
"""订单簿推送"""
print 'book-----------'
print data
symbol = data['stock_code']
tick = self.tickDict.get(symbol, None)
if not tick:
tick = VtTickData()
tick.symbol = symbol
tick.vtSymbol = tick.symbol
tick.gatewayName = self.gatewayName
self.tickDict[symbol] = tick
d = tick.__dict__
for i in range(5):
bidData = data['Bid'][i]
askData = data['Ask'][i]
n = i + 1
d['bidPrice%s' %n] = bidData[0]
d['bidVolume%s' %n] = bidData[1]
d['askPrice%s' %n] = askData[0]
d['askVolume%s' %n] = askData[1]
self.onTick(tick)
except:
traceback.print_exc()
#----------------------------------------------------------------------
def processOrder(self, data):
"""处理委托推送"""
print 'order -----------------'
print data
for ix, row in data.iterrows():
order = VtOrderData()
order.gatewayName = self.gatewayName
@ -462,22 +468,20 @@ class FutuGateway(VtGateway):
order.symbol = row['code']
order.vtSymbol = order.symbol
order.orderID = row['orderid']
order.orderID = str(row['orderid'])
order.vtOrderID = '.'.join([self.gatewayName, order.orderID])
order.price = float(row['price'])
order.totalVolume = int(row['qty'])
order.tradedVolume = int(row['dealt_qty'])
order.orderTime = row['submited_time']
order.status = statusMapReverse.get(row['status'], STATUS_UNKNOWN)
order.direction = directionMapReverse[row['order_side']]
order.status = statusMapReverse.get(str(row['status']), STATUS_UNKNOWN)
order.direction = directionMapReverse[str(row['order_side'])]
self.onOrder(order)
#----------------------------------------------------------------------
def processDeal(self, data):
"""处理成交推送"""
print 'deal -------------'
print data
for ix, row in data.iterrows():
trade = VtTradeData()
trade.gatewayName = self.gatewayName
@ -493,7 +497,7 @@ class FutuGateway(VtGateway):
trade.price = float(row['price'])
trade.volume = float(row['qty'])
trade.direction = directionMapReverse[row['orderside']]
trade.direction = directionMapReverse[str(row['order_side'])]
trade.tradeTime = row['time']
self.onTrade(trade)