diff --git a/examples/VnTrader/RM_setting.json b/examples/VnTrader/RM_setting.json index 3cd23168..f05016dc 100644 --- a/examples/VnTrader/RM_setting.json +++ b/examples/VnTrader/RM_setting.json @@ -5,6 +5,6 @@ "workingOrderLimit": 20, "tradeLimit": 1000, "orderSizeLimit": 100, - "active": true, + "active": false, "orderFlowLimit": 50 } \ No newline at end of file diff --git a/requirements.txt b/requirements.txt index 2718234a..dc8a453a 100644 --- a/requirements.txt +++ b/requirements.txt @@ -2,4 +2,5 @@ pymongo websocket-client msgpack-python qdarkstyle -SortedContainers \ No newline at end of file +SortedContainers +futuquant \ No newline at end of file diff --git a/vnpy/trader/gateway/futuGateway/Futu_connect.json b/vnpy/trader/gateway/futuGateway/Futu_connect.json index d922ddf8..e23525ac 100644 --- a/vnpy/trader/gateway/futuGateway/Futu_connect.json +++ b/vnpy/trader/gateway/futuGateway/Futu_connect.json @@ -1,5 +1,5 @@ { "market": "HK", - "password": "123456", + "password": "123123", "env": 1 } \ No newline at end of file diff --git a/vnpy/trader/gateway/futuGateway/futuGateway.py b/vnpy/trader/gateway/futuGateway/futuGateway.py index 7275a395..e45f5d03 100644 --- a/vnpy/trader/gateway/futuGateway/futuGateway.py +++ b/vnpy/trader/gateway/futuGateway/futuGateway.py @@ -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)