add query_account and query_positions function , debug OK

vnpy/gateway/alpaca/__init__.py

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+from .alpaca_gateway import AlpacaGateway

vnpy/gateway/alpaca/alpaca_gateway.py

@@ -0,0 +1,426 @@
+# encoding: UTF-8
+"""
+    Author: vigarbuaa
+"""
+
+import hashlib
+import hmac
+import sys
+import time
+from copy import copy
+from threading import Lock
+from datetime import datetime
+from urllib.parse import urlencode
+from vnpy.api.rest import Request, RestClient
+from vnpy.api.websocket import WebsocketClient
+
+from vnpy.trader.constant import (
+    Direction,
+    Exchange,
+    OrderType,
+    Product,
+    Status,
+    Offset,
+    Interval
+)
+from vnpy.trader.gateway import BaseGateway
+from vnpy.trader.object import (
+    TickData,
+    OrderData,
+    TradeData,
+    PositionData, AccountData,
+       ContractData,
+    OrderRequest,
+    CancelRequest,
+    SubscribeRequest,
+)
+
+REST_HOST = "https://api.alpaca.markets"
+PAPER_REST_HOST = "https://paper-api.alpaca.markets"
+KEY = ""
+SECRET = ""
+
+STATUS_ALPACA2VT = {
+    "new": Status.SUBMITTING,
+    "open": Status.NOTTRADED,
+    "part_filled": Status.PARTTRADED,
+    "filled": Status.ALLTRADED,
+    "cancelled": Status.CANCELLED,
+    "cancelling": Status.CANCELLED,
+    "failure": Status.REJECTED,
+}
+
+DIRECTION_VT2ALPACA = {Direction.LONG: "buy", Direction.SHORT: "sell"}
+DIRECTION_ALPACA2VT = {"buy": Direction.LONG, "sell": Direction.SHORT,
+                       "long": Direction.LONG, "short": Direction.SHORT}
+
+ORDERTYPE_VT2ALPACA = {
+    OrderType.LIMIT: "limit",
+    OrderType.MARKET: "market"
+}
+ORDERTYPE_ALPACA2VT = {v: k for k, v in ORDERTYPE_VT2ALPACA.items()}
+
+class AlpacaGateway(BaseGateway):
+    """
+    VN Trader Gateway for Alpaca connection.
+    """
+
+    default_setting = {
+        "key": "",
+        "secret": "",
+        "session": 3,
+        "proxy_host": "127.0.0.1",
+        "proxy_port": 1080,
+    }
+
+    def __init__(self, event_engine):
+        """Constructor"""
+        super(AlpacaGateway, self).__init__(event_engine, "ALPACA")
+
+        self.rest_api = AlpacaRestApi(self)
+        #self.ws_api = AlpacaWebsocketApi(self)
+        self.order_map = {}
+
+    def connect(self, setting: dict):
+        """"""
+        key = setting["key"]
+        secret = setting["secret"]
+        session = setting["session"]
+        proxy_host = setting["proxy_host"]
+        proxy_port = setting["proxy_port"]
+
+        self.rest_api.connect(key, secret, session, proxy_host, proxy_port)
+
+        #self.ws_api.connect(key, secret, proxy_host, proxy_port)
+
+    def subscribe(self, req: SubscribeRequest):
+        """"""
+        #self.ws_api.subscribe(req)
+        pass
+
+    def send_order(self, req: OrderRequest):
+        """"""
+        return self.rest_api.send_order(req)
+
+    def cancel_order(self, req: CancelRequest):
+        """"""
+        #self.ws_api.cancel_order(req)
+        pass
+
+    def query_account(self):
+        """"""
+        self.rest_api.query_account()
+
+    def query_position(self):
+        """"""
+        self.rest_api.query_position()
+
+    def close(self):
+        """"""
+        self.rest_api.stop()
+        self.ws_api.stop()
+
+
+class AlpacaRestApi(RestClient):
+    """
+    Alpaca REST API
+    """
+
+    def __init__(self, gateway: BaseGateway):
+        """"""
+        super(AlpacaRestApi, self).__init__()
+
+        self.gateway = gateway
+        self.gateway_name = gateway.gateway_name
+
+        self.key = ""
+        self.secret = ""
+
+        self.order_count = 1_000_000
+        self.order_count_lock = Lock()
+        self.connect_time = 0
+        print(
+            self.gateway_name,
+            self.key,
+            self.secret,
+            self.order_count,
+            self.connect_time)
+
+    def query_account(self):
+        print("call query_account")
+        path = f"/v1/account"
+        self.add_request(
+            method="GET",
+            path=path,
+            callback=self.on_query_account
+        )
+    
+    def on_query_account(self, data, request):
+        print("debug on_query_account: ", data, request)
+        account = AccountData(
+            accountid=data['id'],
+            balance=float(data['cash']),
+            frozen=float(data['cash']) - float(data['buying_power']),
+            gateway_name=self.gateway_name
+        )
+        self.gateway.on_account(account)
+    
+    def query_position(self):
+        print("call query_position")
+        path = f"/v1/positions"
+        self.add_request(
+            method="GET",
+            path=path,
+            callback=self.on_query_position
+        )
+
+    def on_query_position(self, data, request):
+        print("debug on_query_position: ", data,"!!!", request)
+        for d in data:
+            position = PositionData(
+                symbol=d['symbol'],
+                exchange=Exchange.ALPACA,
+                direction=DIRECTION_ALPACA2VT[d['side']],
+                volume=d['qty'],
+                price=d['avg_entry_price'],
+                pnl=d['unrealized_pl'],
+                gateway_name=self.gateway_name,
+            )
+            self.gateway.on_position(position)
+
+
+
+    def sign(self, request):
+        """
+        Generate Alpaca signature.
+        """
+        #msg = request.method + \
+        #    "/api/v1/{}{}{}".format(path, nonce, request.data)
+        headers = {
+            "APCA-API-KEY-ID": self.key,
+            "APCA-API-SECRET-KEY": self.secret,
+        }
+
+        request.headers = headers
+        request.allow_redirects=False
+        return request
+
+    def _new_order_id(self):
+        with self.order_count_lock:
+            self.order_count += 1
+            return self.order_count
+    
+    def connect(
+        self,
+        key: str,
+        secret: str,
+        session_num: int,
+        proxy_host: str,
+        proxy_port: int,
+    ):
+        """
+               Initialize connection to REST server.
+        """
+        self.key = key
+        self.secret = secret
+
+        self.init(PAPER_REST_HOST, proxy_host, proxy_port)
+        print("rest connect: ", PAPER_REST_HOST, proxy_host, proxy_port)
+        self.start(session_num)
+        self.connect_time = (
+            int(datetime.now().strftime("%y%m%d%H%M%S")) * self.order_count
+        )
+        print("rest client connected",self.connect_time)
+        self.gateway.write_log("ALPACA REST API启动成功")
+        self.query_account()
+        self.query_position()
+
+    def on_send_order(self, status_code: int, request: Request):
+        print("debug on send order: ", status_code, request)
+        pass
+
+    def on_failed(self, status_code: int, request: Request):
+        """
+        Callback to handle request failed.
+        """
+        msg = f"请求失败，状态码：{status_code}，信息：{request.response.text}"
+        print('debug on_failed', msg)
+        self.gateway.write_log(msg)
+
+    def on_error(
+        self, exception_type: type, exception_value: Exception, tb, request: Request
+    ):
+        """
+        Callback to handler request exception.
+        """
+        msg = f"触发异常，状态码：{exception_type}，信息：{exception_value}"
+        print('debug on_error', msg)
+        self.gateway.write_log(msg)
+
+        sys.stderr.write(
+            self.exception_detail(exception_type, exception_value, tb, request)
+        )
+
+    def send_order(self, req: OrderRequest):
+        orderid = str(self.connect_time + self._new_order_id())
+        data = {
+            "symbol": req.symbol,
+            "qty":2,
+            "side":'buy',
+            "type":'limit',
+            "time_in_force":'opg',
+            "limit_price":20.50
+#            "side": DIRECTION_VT2BITMEX[req.direction],
+#            "ordType": ORDERTYPE_VT2BITMEX[req.type],
+#            "orderQty": int(req.volume),
+#            "clOrdID": orderid,
+        }
+        order = req.create_order_data(orderid, self.gateway_name)
+        print("debug detail order: ",order)
+        self.add_request(
+            "POST",
+            "/v1/orders",
+            callback=self.on_send_order,
+            data=data,
+            extra=order,
+            on_failed=self.on_failed,
+            on_error=self.on_error,
+        )
+        self.gateway.on_order(order)
+        return order.vt_orderid
+        
+
+class AlpacaWebsocketApi(WebsocketClient):
+    """"""
+
+    def __init__(self, gateway):
+        """"""
+        super(AlpacaWebsocketApi, self).__init__()
+
+        self.gateway = gateway
+        self.gateway_name = gateway.gateway_name
+        self.order_id = 1_000_000
+        # self.date = int(datetime.now().strftime('%y%m%d%H%M%S')) * self.orderId
+        self.key = ""
+        self.secret = ""
+
+        self.callbacks = {
+            "trade": self.on_tick,
+            "orderBook10": self.on_depth,
+            "execution": self.on_trade,
+            "order": self.on_order,
+            "position": self.on_position,
+            "margin": self.on_account,
+            "instrument": self.on_contract,
+        }
+
+        self.ticks = {}
+        self.accounts = {}
+        self.orders = {}
+        self.trades = set()
+        self.tickDict = {}
+        self.bidDict = {}
+        self.askDict = {}
+        self.orderLocalDict = {}
+        self.channelDict = {}       # ChannelID : (Channel, Symbol)
+
+    def connect(
+        self, key: str, secret: str, proxy_host: str, proxy_port: int
+    ):
+        """"""
+        self.key = key
+        self.secret = secret.encode()
+
+        self.init(WEBSOCKET_HOST, proxy_host, proxy_port)
+
+        self.start()
+
+    def subscribe(self, req: SubscribeRequest):
+        pass
+
+    def send_order(self, req: OrderRequest):
+        pass
+
+    # ----------------------------------------------------------------------
+    def cancel_order(self, req: CancelRequest):
+        """"""
+        pass
+
+    def on_connected(self):
+        """"""
+        self.gateway.write_log("Websocket API连接成功")
+        self.authenticate()
+
+    def on_disconnected(self):
+        """"""
+        self.gateway.write_log("Websocket API连接断开")
+
+    # need debug 20190404
+    def on_packet(self, packet: dict):
+        """"""
+        print("debug on_packet: " , packet)
+
+    # ----------------------------------------------------------------------
+    def on_response(self, data):
+        """"""
+        pass
+    # ----------------------------------------------------------------------
+    def on_update(self, data):
+        """"""
+        pass
+
+    # ----------------------------------------------------------------------
+    def on_wallet(self, data):
+        """"""
+        pass
+
+    # ----------------------------------------------------------------------
+    def on_trade_update(self, data):
+        """"""
+        pass
+
+    def on_error(self, exception_type: type, exception_value: Exception, tb):
+        """"""
+        print("on_error: " ,type,Exception,tb)
+        pass
+
+    # debug OK , 0405
+    def authenticate(self):
+        pass
+
+    def subscribe_topic(self):
+        pass
+
+    def on_tick(self, d):
+        """"""
+        pass
+
+    def on_depth(self, d):
+        """"""
+        pass
+
+    def on_trade(self, d):
+        """"""
+        pass
+
+    def generateDateTime(self, s):
+        """生成时间"""
+        dt = datetime.fromtimestamp(s / 1000.0)
+        time = dt.strftime("%H:%M:%S.%f")
+        return time
+
+    def on_order(self, data):
+        """"""
+        pass
+
+    def on_position(self, d):
+        """"""
+        pass
+
+    def on_account(self, d):
+        """"""
+        pass
+
+    def on_contract(self, d):
+        """"""
+        pass