[Add] send/cancel order function
This commit is contained in:
vn.py
parent
bec7bb2fee
commit
8cb4abcf9d
@ -21,6 +21,7 @@ from vnpy.api.tap.vntap.ITapTrade import (
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TapAPIPositionQryReq, TapAPIPositionInfo,
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TapAPIOrderQryReq, TapAPIFillQryReq,
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TapAPIOrderInfo, TapAPIFillInfo,
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TapAPINewOrder, TapAPIOrderCancelReq,
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TAPI_SIDE_NONE, TAPI_SIDE_BUY, TAPI_SIDE_SELL,
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TAPI_ORDER_STATE_QUEUED, TAPI_ORDER_STATE_PARTFINISHED,
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TAPI_ORDER_STATE_FINISHED, TAPI_ORDER_STATE_CANCELED,
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@ -76,6 +77,7 @@ DIRECTION_TAP2VT = {
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TAPI_SIDE_BUY: Direction.LONG,
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TAPI_SIDE_SELL: Direction.SHORT,
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}
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DIRECTION_VT2TAP = {v: k for k, v in DIRECTION_TAP2VT.items()}
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STATUS_TAP2VT = {
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TAPI_ORDER_STATE_SUBMIT: Status.SUBMITTING,
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@ -93,7 +95,7 @@ ORDERTYPE_VT2TAP = {v: k for k, v in ORDERTYPE_TAP2VT.items()}
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commodity_infos = {}
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extra_infos = {}
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contract_infos = {}
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class TapGateway(BaseGateway):
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@ -216,6 +218,7 @@ class QuoteApi(ITapQuoteAPINotify):
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def OnRspSubscribeQuote(
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self, sessionID: int, errorCode: int, isLast: str, info: TapAPIQuoteWhole
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):
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print("on rsp sub quote")
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if errorCode != TAPIERROR_SUCCEED:
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self.gateway.write_log("订阅行情失败")
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else:
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@ -227,18 +230,24 @@ class QuoteApi(ITapQuoteAPINotify):
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def update_tick(self, info: TapAPIQuoteWhole):
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""""""
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symbol = info.Contract.ContractNo1
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print("--------------------------")
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print(info.Contract.ContractNo1)
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print(info.Contract.ContractNo2)
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print(info.Contract.Commodity.CommodityNo)
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symbol = info.Contract.Commodity.CommodityNo + info.Contract.ContractNo1
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exchange = EXCHANGE_TAP2VT[info.Contract.Commodity.ExchangeNo]
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extra_info = extra_infos.get((symbol, exchange), None)
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if not extra_info:
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contract_info = contract_infos.get((symbol, exchange), None)
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if not contract_info:
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print("no contract info", symbol, exchange)
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return
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tick = TickData(
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symbol=symbol,
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exchange=exchange,
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datetime=parse_datetime(info.DateTimeStamp),
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name=extra_info.name,
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name=contract_info.name,
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volume=info.QTotalQty,
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last_price=info.QLastPrice,
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last_volume=info.QLastQty,
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@ -304,16 +313,16 @@ class QuoteApi(ITapQuoteAPINotify):
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def subscribe(self, req: SubscribeRequest):
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""""""
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extra_info = extra_infos.get((req.symbol, req.exchange), None)
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if not extra_info:
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contract_info = contract_infos.get((req.symbol, req.exchange), None)
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if not contract_info:
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self.gateway.write_log(
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f"找不到匹配的合约：{req.symbol}和{req.exchange.value}")
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return
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tap_contract = TapAPIContract()
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tap_contract.Commodity.ExchangeNo = EXCHANGE_VT2TAP[req.exchange]
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tap_contract.Commodity.CommodityType = extra_info.commodity_type
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tap_contract.Commodity.CommodityNo = extra_info.commodity_no
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tap_contract.Commodity.CommodityType = contract_info.commodity_type
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tap_contract.Commodity.CommodityNo = contract_info.commodity_no
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tap_contract.ContractNo1 = req.symbol
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tap_contract.CallOrPutFlag1 = TAPI_CALLPUT_FLAG_NONE
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tap_contract.CallOrPutFlag2 = TAPI_CALLPUT_FLAG_NONE
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@ -407,12 +416,14 @@ class TradeApi(ITapTradeAPINotify):
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)
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self.gateway.on_contract(contract)
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extra_info = ExtraInfo(
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contract_info = ContractInfo(
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name=contract.name,
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exchange_no=info.ExchangeNo,
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contract_no=info.ContractNo1,
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commodity_type=info.CommodityType,
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commodity_no=info.CommodityNo,
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)
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extra_infos[(contract.symbol, contract.exchange)] = extra_info
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contract_infos[(contract.symbol, contract.exchange)] = contract_info
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if isLast == "Y":
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self.gateway.write_log("查询交易合约信息成功")
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@ -599,11 +610,35 @@ class TradeApi(ITapTradeAPINotify):
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def send_order(self, req: OrderRequest):
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""""""
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pass
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contract_info = contract_infos.get((req.symbol, req.exchange), None)
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if not contract_info:
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self.write_log(f"找不到匹配的合约：{req.symbol}和{req.exchange.value}")
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return ""
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order_req = TapAPINewOrder()
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order_req.ExchangeNo = contract_info.ExchangeNo
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order_req.CommodityNo = contract_info.CommodityNo
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order_req.ContractNo = contract_info.ContractNo
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order_req.OrderType = ORDERTYPE_VT2TAP.get(OrderRequest.type, "")
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order_req.OrderSide = DIRECTION_VT2TAP.get(OrderRequest.direction, "")
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order_req.OrderPrice = req.price
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order_req.OrderQty = req.volume
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session_id, order_id = self.api.InsertOrder(order_req)
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order = req.create_order_data(
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order_id,
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self.gateway_name
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)
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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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pass
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cancel_req = TapAPIOrderCancelReq()
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self.api.CancelOrder(cancel_req)
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def query_account(self):
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""""""
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@ -650,11 +685,13 @@ def error_to_str(err_code: int) -> str:
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@dataclass
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class ExtraInfo:
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class ContractInfo:
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""""""
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name: str
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exchange_no: str
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commodity_type: int
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commodity_no: str
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contract_no: str
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@dataclass
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