将IbGateway里使用的IbPy替换为vn.ib接口，测试外汇交易无问题
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chenxy123
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70723dc0cc
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@ -1,5 +1,5 @@
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<?xml version="1.0"?>
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<SubscriptionDataContainer xmlns:xsi="http://www.w3.org/2001/XMLSchema-instance" xmlns:xsd="http://www.w3.org/2001/XMLSchema" xmlns="urn:Microsoft.VisualStudio.WindowsAzure.CommonAzureTools.Authentication.CacheManagement">
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<Items />
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<TokenCache>AQAAANCMnd8BFdERjHoAwE/Cl+sBAAAAhuIZgFnYcU6wvp5DI4FozAAAAAACAAAAAAAQZgAAAAEAACAAAAAXSj17R5SUHe+A58o1bYLSOOhH9W2Ix9DlZDFBrgVA4gAAAAAOgAAAAAIAACAAAADbVSL+BIaujSBj3UmMHFYW0NN/5M1VZMBFC5NayhA3uBAAAADlsZqLyiwLiExTjbbDU1nZQAAAAA8KhP6XKTAD/Iuw37pqb7rSwSDYQgFsBJvhh4KMkHc9aX3Q+ga9NjStuUrdZVmuMzeMGwsQ+bjLejvA3cCOI9c=</TokenCache>
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<TokenCache>AQAAANCMnd8BFdERjHoAwE/Cl+sBAAAAhuIZgFnYcU6wvp5DI4FozAAAAAACAAAAAAAQZgAAAAEAACAAAADnrYSEO5qfCQPpiUFTIS3ZRFiTItrg4/VIVOH2J3epYgAAAAAOgAAAAAIAACAAAACso6CSyxkad28kFe3eIz1YgltVz/YV200C+PLOhtmmPhAAAABBWAXXnj8W8KUy+QlVKF7JQAAAAFuRLjt27YOpR9+kkpnrDzww07fBW08hBX6gGDrJVJp/hGhDL4nX/wEgsPuN/EJB4f48rrPnGlHmfb6B9a0Il60=</TokenCache>
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</SubscriptionDataContainer>
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@ -1499,15 +1499,15 @@ BOOST_PYTHON_MODULE(vnib)
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.def_readwrite("shares", &Execution::shares)
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.def_readwrite("price", &Execution::price)
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.def_readwrite("permId", &Execution::permId)
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.def_readwrite("clientId ", &Execution::clientId)
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.def_readwrite("orderId ", &Execution::orderId)
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.def_readwrite("liquidation ", &Execution::liquidation)
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.def_readwrite("cumQty ", &Execution::cumQty)
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.def_readwrite("avgPrice ", &Execution::avgPrice)
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.def_readwrite("orderRef ", &Execution::orderRef)
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.def_readwrite("evRule ", &Execution::evRule)
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.def_readwrite("evMultiplier ", &Execution::evMultiplier)
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.def_readwrite("modelCode ", &Execution::modelCode)
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.def_readwrite("clientId", &Execution::clientId)
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.def_readwrite("orderId", &Execution::orderId)
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.def_readwrite("liquidation", &Execution::liquidation)
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.def_readwrite("cumQty", &Execution::cumQty)
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.def_readwrite("avgPrice", &Execution::avgPrice)
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.def_readwrite("orderRef", &Execution::orderRef)
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.def_readwrite("evRule", &Execution::evRule)
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.def_readwrite("evMultiplier", &Execution::evMultiplier)
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.def_readwrite("modelCode", &Execution::modelCode)
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;
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class_<UnderComp>("UnderComp")
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@ -166,12 +166,14 @@ class BacktestEngineMultiTF(BacktestingEngine):
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data = self.infobar[info_symbol]
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# Update data only when Time Stamp is matched
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if data['datetime'] <= self.dt:
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if (data is not None) and (data['datetime'] <= self.dt):
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try:
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temp[info_symbol] = CtaBarData()
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temp[info_symbol].__dict__ = data
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self.infobar[info_symbol] = next(self.InfoCursor[info_symbol])
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except StopIteration:
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self.infobar[info_symbol] = None
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self.output("No more data in information database.")
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else:
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temp[info_symbol] = None
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@ -1,5 +1,6 @@
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{
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"host": "localhost",
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"port": 7496,
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"clientId": 888
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"port": 7497,
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"clientId": 888,
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"accountCode": "DU545254"
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}
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@ -1,7 +1,7 @@
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# encoding: UTF-8
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'''
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ibpy的gateway接入
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Interactive Brokers的gateway接入，已经替换为vn.ib封装。
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注意事项：
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1. ib api只能获取和操作当前连接后下的单，并且每次重启程序后，之前下的单子收不到
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@ -19,11 +19,7 @@ from copy import copy
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from PyQt4 import QtGui, QtCore
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from ib.ext.Contract import Contract
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from ib.ext.Order import Order
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from ib.ext.EWrapper import EWrapper
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from ib.ext.EClientSocket import EClientSocket
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from vnib import *
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from vtGateway import *
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@ -119,6 +115,7 @@ class IbGateway(VtGateway):
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self.host = EMPTY_STRING # 连接地址
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self.port = EMPTY_INT # 连接端口
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self.clientId = EMPTY_INT # 用户编号
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self.accountCode = EMPTY_STRING # 账户编号
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self.tickerId = 0 # 订阅行情时的代码编号
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self.tickDict = {} # tick快照字典，key为tickerId，value为VtTickData对象
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@ -135,8 +132,7 @@ class IbGateway(VtGateway):
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self.connected = False # 连接状态
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self.wrapper = IbWrapper(self) # 回调接口
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self.connection = EClientSocket(self.wrapper) # 主动接口
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self.api = IbWrapper(self) # API接口
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#----------------------------------------------------------------------
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def connect(self):
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@ -161,6 +157,7 @@ class IbGateway(VtGateway):
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self.host = str(setting['host'])
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self.port = int(setting['port'])
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self.clientId = int(setting['clientId'])
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self.accountCode = str(setting['accountCode'])
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except KeyError:
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log = VtLogData()
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log.gatewayName = self.gatewayName
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@ -169,13 +166,13 @@ class IbGateway(VtGateway):
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return
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# 发起连接
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self.connection.eConnect(self.host, self.port, self.clientId)
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self.api.eConnect(self.host, self.port, self.clientId, False)
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# 查询服务器时间
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self.connection.reqCurrentTime()
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self.api.reqCurrentTime()
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# 请求账户数据主推更新
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self.connection.reqAccountUpdates(True, '')
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self.api.reqAccountUpdates(True, self.accountCode)
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#----------------------------------------------------------------------
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def subscribe(self, subscribeReq):
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@ -186,17 +183,17 @@ class IbGateway(VtGateway):
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return
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contract = Contract()
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contract.m_localSymbol = str(subscribeReq.symbol)
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contract.m_exchange = exchangeMap.get(subscribeReq.exchange, '')
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contract.m_secType = productClassMap.get(subscribeReq.productClass, '')
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contract.m_currency = currencyMap.get(subscribeReq.currency, '')
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contract.m_expiry = subscribeReq.expiry
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contract.m_strike = subscribeReq.strikePrice
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contract.m_right = optionTypeMap.get(subscribeReq.optionType, '')
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contract.localSymbol = str(subscribeReq.symbol)
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contract.exchange = exchangeMap.get(subscribeReq.exchange, '')
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contract.secType = productClassMap.get(subscribeReq.productClass, '')
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contract.currency = currencyMap.get(subscribeReq.currency, '')
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contract.expiry = subscribeReq.expiry
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contract.strike = subscribeReq.strikePrice
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contract.right = optionTypeMap.get(subscribeReq.optionType, '')
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# 获取合约详细信息
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self.tickerId += 1
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self.connection.reqContractDetails(self.tickerId, contract)
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self.api.reqContractDetails(self.tickerId, contract)
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# 创建合约对象并保存到字典中
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ct = VtContractData()
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@ -209,7 +206,7 @@ class IbGateway(VtGateway):
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# 订阅行情
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self.tickerId += 1
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self.connection.reqMktData(self.tickerId, contract, '', False)
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self.api.reqMktData(self.tickerId, contract, '', False, TagValueList())
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# 创建Tick对象并保存到字典中
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tick = VtTickData()
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@ -229,28 +226,28 @@ class IbGateway(VtGateway):
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# 创建合约对象
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contract = Contract()
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contract.m_localSymbol = str(orderReq.symbol)
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contract.m_exchange = exchangeMap.get(orderReq.exchange, '')
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contract.m_secType = productClassMap.get(orderReq.productClass, '')
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contract.m_currency = currencyMap.get(orderReq.currency, '')
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contract.m_expiry = orderReq.expiry
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contract.m_strike = orderReq.strikePrice
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contract.m_right = optionTypeMap.get(orderReq.optionType, '')
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contract.localSymbol = str(orderReq.symbol)
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contract.exchange = exchangeMap.get(orderReq.exchange, '')
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contract.secType = productClassMap.get(orderReq.productClass, '')
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contract.currency = currencyMap.get(orderReq.currency, '')
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contract.expiry = orderReq.expiry
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contract.strike = orderReq.strikePrice
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contract.right = optionTypeMap.get(orderReq.optionType, '')
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# 创建委托对象
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order = Order()
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order.m_orderId = self.orderId
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order.m_clientId = self.clientId
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order.m_action = directionMap.get(orderReq.direction, '')
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order.m_lmtPrice = orderReq.price
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order.m_totalQuantity = orderReq.volume
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order.m_orderType = priceTypeMap.get(orderReq.priceType, '')
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order.orderId = self.orderId
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order.clientId = self.clientId
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order.action = directionMap.get(orderReq.direction, '')
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order.lmtPrice = orderReq.price
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order.totalQuantity = orderReq.volume
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order.orderType = priceTypeMap.get(orderReq.priceType, '')
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# 发送委托
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self.connection.placeOrder(self.orderId, contract, order)
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self.api.placeOrder(self.orderId, contract, order)
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# 查询下一个有效编号
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self.connection.reqIds(1)
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self.api.reqIds(1)
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# 返回委托编号
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vtOrderID = '.'.join([self.gatewayName, str(self.orderId)])
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@ -259,7 +256,7 @@ class IbGateway(VtGateway):
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#----------------------------------------------------------------------
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def cancelOrder(self, cancelOrderReq):
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"""撤单"""
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self.connection.cancelOrder(cancelOrderReq.orderID)
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self.api.cancelOrder(int(cancelOrderReq.orderID))
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#----------------------------------------------------------------------
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def qryAccount(self):
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@ -280,11 +277,11 @@ class IbGateway(VtGateway):
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#----------------------------------------------------------------------
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def close(self):
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"""关闭"""
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self.connection.eDisconnect()
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self.api.eDisconnect()
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########################################################################
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class IbWrapper(EWrapper):
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class IbWrapper(IbApi):
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"""IB回调接口的实现"""
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#----------------------------------------------------------------------
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@ -292,7 +289,7 @@ class IbWrapper(EWrapper):
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"""Constructor"""
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super(IbWrapper, self).__init__()
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self.connectionStatus = False # 连接状态
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self.apiStatus = False # 连接状态
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self.gateway = gateway # gateway对象
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self.gatewayName = gateway.gatewayName # gateway对象名称
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@ -303,10 +300,57 @@ class IbWrapper(EWrapper):
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self.contractDict = gateway.contractDict # contract字典
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self.tickProductDict = gateway.tickProductDict
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self.subscribeReqDict = gateway.subscribeReqDict
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#----------------------------------------------------------------------
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def nextValidId(self, orderId):
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""""""
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self.gateway.orderId = orderId
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#----------------------------------------------------------------------
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def currentTime(self, time):
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"""连接成功后推送当前时间"""
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dt = datetime.fromtimestamp(time)
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t = dt.strftime("%Y-%m-%d %H:%M:%S.%f")
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self.apiStatus = True
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self.gateway.connected = True
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log = VtLogData()
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log.gatewayName = self.gatewayName
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log.logContent = (u'IB接口连接成功，当前服务器时间 %s' %t)
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self.gateway.onLog(log)
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for symbol, req in self.subscribeReqDict.items():
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del self.subscribeReqDict[symbol]
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self.gateway.subscribe(req)
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#----------------------------------------------------------------------
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def connectAck(self):
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""""""
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pass
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#----------------------------------------------------------------------
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def error(self, id_, errorCode, errorString):
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"""错误推送"""
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err = VtErrorData()
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err.gatewayName = self.gatewayName
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err.errorID = errorCode
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err.errorMsg = errorString
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self.gateway.onError(err)
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#----------------------------------------------------------------------
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def accountSummary(self, reqId, account, tag, value, curency):
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""""""
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pass
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#----------------------------------------------------------------------
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def accountSummaryEnd(self, reqId):
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""""""
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pass
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#----------------------------------------------------------------------
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def tickPrice(self, tickerId, field, price, canAutoExecute):
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"""行情推送（价格相关）"""
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"""行情价格相关推送"""
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if field in tickFieldMap:
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tick = self.tickDict[tickerId]
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key = tickFieldMap[field]
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@ -324,10 +368,10 @@ class IbWrapper(EWrapper):
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self.gateway.onTick(newtick)
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else:
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print field
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#----------------------------------------------------------------------
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def tickSize(self, tickerId, field, size):
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"""行情推送（量相关）"""
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"""行情数量相关推送"""
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if field in tickFieldMap:
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tick = self.tickDict[tickerId]
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key = tickFieldMap[field]
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@ -342,34 +386,30 @@ class IbWrapper(EWrapper):
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self.gateway.onTick(newtick)
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else:
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print field
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#----------------------------------------------------------------------
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def tickOptionComputation(self, tickerId, field, impliedVol, delta, optPrice, pvDividend, gamma, vega, theta, undPrice):
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"""行情推送（期权数值）"""
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def tickOptionComputation(self, tickerId, tickType, impliedVol, delta, optPrice, pvDividend, gamma, vega, theta, undPrice):
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""""""
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pass
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#----------------------------------------------------------------------
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def tickGeneric(self, tickerId, tickType, value):
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"""行情推送（某些通用字段）"""
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""""""
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pass
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#----------------------------------------------------------------------
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def tickString(self, tickerId, tickType, value):
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"""行情推送，特殊字段相关"""
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# 参考了一些其他平台对于IB行情数据的开发建议后，
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# 发现大部分都选择使用本地电脑时间戳而非IB推送的时间戳，
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# 猜测原因可能是IB的行情质量一般（本身就是切片了的），
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# 因此这里也选择使用电脑的本地时间
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pass
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#----------------------------------------------------------------------
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def tickEFP(self, tickerId, tickType, basisPoints, formattedBasisPoints, impliedFuture, holdDays, futureExpiry, dividendImpact, dividendsToExpiry):
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"""行情推送（合约属性相关）"""
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def tickString(self, tickerId, tickType, value):
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""""""
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pass
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#----------------------------------------------------------------------
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#----------------------------------------------------------------------
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def tickEFP(self, tickerId, tickType, basisPoints, formattedBasisPoints, totalDividends, holdDays, futureLastTradeDate, dividendImpact, dividendsToLastTradeDate):
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""""""
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pass
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#----------------------------------------------------------------------
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def orderStatus(self, orderId, status, filled, remaining, avgFillPrice, permId, parentId, lastFillPrice, clientId, whyHeld):
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"""报单成交回报"""
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"""委托状态更新"""
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orderId = str(orderId)
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if orderId in self.orderDict:
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@ -386,10 +426,10 @@ class IbWrapper(EWrapper):
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newod = copy(od)
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self.gateway.onOrder(newod)
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#----------------------------------------------------------------------
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def openOrder(self, orderId, contract, order, orderState):
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"""报单信息推送"""
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"""下达委托推送"""
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orderId = str(orderId) # orderId是整数
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if orderId in self.orderDict:
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@ -398,26 +438,42 @@ class IbWrapper(EWrapper):
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od = VtOrderData() # od代表orderData
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od.orderID = orderId
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od.vtOrderID = '.'.join([self.gatewayName, orderId])
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od.symbol = contract.m_localSymbol
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od.exchange = exchangeMapReverse.get(contract.m_exchange, '')
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od.symbol = contract.localSymbol
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od.exchange = exchangeMapReverse.get(contract.exchange, '')
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od.vtSymbol = '.'.join([od.symbol, od.exchange])
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od.gatewayName = self.gatewayName
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self.orderDict[orderId] = od
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od.direction = directionMapReverse.get(order.m_action, '')
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od.price = order.m_lmtPrice
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od.totalVolume = order.m_totalQuantity
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od.direction = directionMapReverse.get(order.action, '')
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od.price = order.lmtPrice
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od.totalVolume = order.totalQuantity
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newod = copy(od)
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self.gateway.onOrder(newod)
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#----------------------------------------------------------------------
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def openOrderEnd(self):
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""" generated source for method openOrderEnd """
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""""""
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pass
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#----------------------------------------------------------------------
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def updateAccountValue(self, key, value, currency, accountName):
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def winError(self, str_, lastError):
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""""""
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pass
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#----------------------------------------------------------------------
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def connectionClosed(self):
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"""断线"""
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self.apiStatus = False
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self.gateway.connected = False
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log = VtLogData()
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log.gatewayName = self.gatewayName
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log.logContent = (u'IB接口连接断开')
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self.gateway.onLog(log)
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#----------------------------------------------------------------------
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def updateAccountValue(self, key, val, currency, accountName):
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"""更新账户数据"""
|
||||
# 仅逐个字段更新数据，这里对于没有currency的推送忽略
|
||||
if currency:
|
||||
@ -434,68 +490,62 @@ class IbWrapper(EWrapper):
|
||||
|
||||
if key in accountKeyMap:
|
||||
k = accountKeyMap[key]
|
||||
account.__setattr__(k, float(value))
|
||||
account.__setattr__(k, float(val))
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def updatePortfolio(self, contract, position, marketPrice, marketValue, averageCost, unrealizedPNL, realizedPNL, accountName):
|
||||
"""持仓更新推送"""
|
||||
"""持仓更新"""
|
||||
pos = VtPositionData()
|
||||
|
||||
pos.symbol = contract.m_localSymbol
|
||||
pos.exchange = exchangeMapReverse.get(contract.m_exchange, contract.m_exchange)
|
||||
|
||||
pos.symbol = contract.localSymbol
|
||||
pos.exchange = exchangeMapReverse.get(contract.exchange, contract.exchange)
|
||||
pos.vtSymbol = '.'.join([pos.symbol, pos.exchange])
|
||||
pos.direction = DIRECTION_NET
|
||||
pos.position = position
|
||||
pos.price = averageCost
|
||||
pos.vtPositionName = pos.vtSymbol
|
||||
pos.gatewayName = self.gatewayName
|
||||
|
||||
|
||||
self.gateway.onPosition(pos)
|
||||
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def updateAccountTime(self, timeStamp):
|
||||
"""更新账户数据的时间"""
|
||||
"""更新账户时间"""
|
||||
# 推送数据
|
||||
for account in self.accountDict.values():
|
||||
newaccount = copy(account)
|
||||
self.gateway.onAccount(newaccount)
|
||||
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def accountDownloadEnd(self, accountName):
|
||||
""" generated source for method accountDownloadEnd """
|
||||
""""""
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def nextValidId(self, orderId):
|
||||
"""下一个有效报单编号更新"""
|
||||
self.gateway.orderId = orderId
|
||||
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def contractDetails(self, reqId, contractDetails):
|
||||
"""合约查询回报"""
|
||||
symbol = contractDetails.m_summary.m_localSymbol
|
||||
exchange = exchangeMapReverse.get(contractDetails.m_summary.m_exchange, EXCHANGE_UNKNOWN)
|
||||
symbol = contractDetails.summary.localSymbol
|
||||
exchange = exchangeMapReverse.get(contractDetails.summary.exchange, EXCHANGE_UNKNOWN)
|
||||
vtSymbol = '.'.join([symbol, exchange])
|
||||
ct = self.contractDict.get(vtSymbol, None)
|
||||
|
||||
if not ct:
|
||||
return
|
||||
|
||||
ct.name = contractDetails.m_longName.decode('UTF-8')
|
||||
ct.priceTick = contractDetails.m_minTick
|
||||
ct.name = contractDetails.longName.decode('UTF-8')
|
||||
ct.priceTick = contractDetails.minTick
|
||||
|
||||
# 推送
|
||||
self.gateway.onContract(ct)
|
||||
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def bondContractDetails(self, reqId, contractDetails):
|
||||
""" generated source for method bondContractDetails """
|
||||
""""""
|
||||
pass
|
||||
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def contractDetailsEnd(self, reqId):
|
||||
""" 获取合约结束 """
|
||||
# 因为IB的合约获取是一个个合约进行的，并不会用于触发其他操作，因此无需发出日志
|
||||
""""""
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
@ -503,172 +553,168 @@ class IbWrapper(EWrapper):
|
||||
"""成交推送"""
|
||||
trade = VtTradeData()
|
||||
trade.gatewayName = self.gatewayName
|
||||
trade.tradeID = execution.m_execId
|
||||
trade.tradeID = execution.execId
|
||||
trade.vtTradeID = '.'.join([self.gatewayName, trade.tradeID])
|
||||
|
||||
trade.symbol = contract.m_localSymbol
|
||||
trade.exchange = exchangeMapReverse.get(contract.m_exchange, '')
|
||||
|
||||
trade.symbol = contract.localSymbol
|
||||
trade.exchange = exchangeMapReverse.get(contract.exchange, '')
|
||||
trade.vtSymbol = '.'.join([trade.symbol, trade.exchange])
|
||||
|
||||
trade.orderID = str(execution.m_orderId)
|
||||
trade.direction = directionMapReverse.get(execution.m_side, '')
|
||||
trade.price = execution.m_price
|
||||
trade.volume = execution.m_shares
|
||||
trade.tradeTime = execution.m_time
|
||||
|
||||
|
||||
trade.orderID = str(execution.orderId)
|
||||
trade.direction = directionMapReverse.get(execution.side, '')
|
||||
trade.price = execution.price
|
||||
trade.volume = execution.shares
|
||||
trade.tradeTime = execution.time
|
||||
|
||||
self.gateway.onTrade(trade)
|
||||
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def execDetailsEnd(self, reqId):
|
||||
""" generated source for method execDetailsEnd """
|
||||
""""""
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def updateMktDepth(self, tickerId, position, operation, side, price, size):
|
||||
""" generated source for method updateMktDepth """
|
||||
def updateMktDepth(self, id_, position, operation, side, price, size):
|
||||
""""""
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def updateMktDepthL2(self, tickerId, position, marketMaker, operation, side, price, size):
|
||||
""" generated source for method updateMktDepthL2 """
|
||||
def updateMktDepthL2(self, id_, position, marketMaker, operation, side, price, size):
|
||||
""""""
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def updateNewsBulletin(self, msgId, msgType, message, origExchange):
|
||||
""" generated source for method updateNewsBulletin """
|
||||
def updateNewsBulletin(self, msgId, msgType, newsMessage, originExch):
|
||||
""""""
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def managedAccounts(self, accountsList):
|
||||
""" generated source for method managedAccounts """
|
||||
""""""
|
||||
pass
|
||||
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def receiveFA(self, faDataType, xml):
|
||||
""" generated source for method receiveFA """
|
||||
def receiveFA(self, pFaDataType, cxml):
|
||||
""""""
|
||||
pass
|
||||
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def historicalData(self, reqId, date, open, high, low, close, volume, count, WAP, hasGaps):
|
||||
""" generated source for method historicalData """
|
||||
def historicalData(self, reqId, date, open_, high, low, close, volume, barCount, WAP, hasGaps):
|
||||
""""""
|
||||
pass
|
||||
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def scannerParameters(self, xml):
|
||||
""" generated source for method scannerParameters """
|
||||
""""""
|
||||
pass
|
||||
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def scannerData(self, reqId, rank, contractDetails, distance, benchmark, projection, legsStr):
|
||||
''' generated source for method scannerData '''
|
||||
""""""
|
||||
pass
|
||||
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def scannerDataEnd(self, reqId):
|
||||
""" generated source for method scannerDataEnd """
|
||||
""""""
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def realtimeBar(self, reqId, time, open, high, low, close, volume, wap, count):
|
||||
""" generated source for method realtimeBar """
|
||||
def realtimeBar(self, reqId, time, open_, high, low, close, volume, wap, count):
|
||||
""""""
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def currentTime(self, time):
|
||||
""" generated source for method currentTime """
|
||||
dt = datetime.fromtimestamp(time)
|
||||
t = dt.strftime("%Y-%m-%d %H:%M:%S.%f")
|
||||
|
||||
self.connectionStatus = True
|
||||
self.gateway.connected = True
|
||||
|
||||
log = VtLogData()
|
||||
log.gatewayName = self.gatewayName
|
||||
log.logContent = (u'IB接口连接成功，当前服务器时间 %s' %t)
|
||||
self.gateway.onLog(log)
|
||||
|
||||
for symbol, req in self.subscribeReqDict.items():
|
||||
del self.subscribeReqDict[symbol]
|
||||
self.gateway.subscribe(req)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def fundamentalData(self, reqId, data):
|
||||
""" generated source for method fundamentalData """
|
||||
""""""
|
||||
pass
|
||||
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def deltaNeutralValidation(self, reqId, underComp):
|
||||
""" generated source for method deltaNeutralValidation """
|
||||
""""""
|
||||
pass
|
||||
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def tickSnapshotEnd(self, reqId):
|
||||
""" generated source for method tickSnapshotEnd """
|
||||
""""""
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def marketDataType(self, reqId, marketDataType):
|
||||
""" generated source for method marketDataType """
|
||||
""""""
|
||||
pass
|
||||
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def commissionReport(self, commissionReport):
|
||||
""" generated source for method commissionReport """
|
||||
""""""
|
||||
pass
|
||||
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def position(self, account, contract, pos, avgCost):
|
||||
""" generated source for method position """
|
||||
def position(self, account, contract, position, avgCost):
|
||||
""""""
|
||||
pass
|
||||
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def positionEnd(self):
|
||||
""" generated source for method positionEnd """
|
||||
pass
|
||||
|
||||
""""""
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def accountSummary(self, reqId, account, tag, value, currency):
|
||||
""" generated source for method accountSummary """
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def accountSummaryEnd(self, reqId):
|
||||
""" generated source for method accountSummaryEnd """
|
||||
def verifyMessageAPI(self, apiData):
|
||||
""""""
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def error(self, id=None, errorCode=None, errorMsg=None):
|
||||
"""错误回报"""
|
||||
err = VtErrorData()
|
||||
err.gatewayName = self.gatewayName
|
||||
err.errorID = errorCode
|
||||
err.errorMsg = errorMsg
|
||||
self.gateway.onError(err)
|
||||
def verifyCompleted(self, isSuccessful, errorText):
|
||||
""""""
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def error_0(self, strval=None):
|
||||
"""错误回报（单一字符串）"""
|
||||
err = VtErrorData()
|
||||
err.gatewayName = self.gatewayName
|
||||
err.errorMsg = strval
|
||||
self.gateway.onError(err)
|
||||
def displayGroupList(self, reqId, groups):
|
||||
""""""
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def displayGroupUpdated(self, reqId, contractInfo):
|
||||
""""""
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def verifyAndAuthMessageAPI(self, apiData, xyzChallange):
|
||||
""""""
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def error_1(self, id=None, errorCode=None, errorMsg=None):
|
||||
"""错误回报（字符串和代码）"""
|
||||
err = VtErrorData()
|
||||
err.gatewayName = self.gatewayName
|
||||
err.errorID = errorCode
|
||||
err.errorMsg = errorMsg
|
||||
self.gateway.onError(err)
|
||||
|
||||
def verifyAndAuthCompleted(self, isSuccessful, errorText):
|
||||
""""""
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def connectionClosed(self):
|
||||
"""连接断开"""
|
||||
self.connectionStatus = False
|
||||
self.gateway.connected = False
|
||||
|
||||
log = VtLogData()
|
||||
log.gatewayName = self.gatewayName
|
||||
log.logContent = (u'IB接口连接断开')
|
||||
self.gateway.onLog(log)
|
||||
def positionMulti(self, reqId, account, modelCode, contract, pos, avgCost):
|
||||
""""""
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def positionMultiEnd(self, reqId):
|
||||
""""""
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def accountUpdateMulti(self, reqId, account, modelCode, key, value, currency):
|
||||
""""""
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def accountUpdateMultiEnd(self, reqId):
|
||||
""""""
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def securityDefinitionOptionalParameter(self, reqId, exchange, underlyingConId, tradingClass, multiplier, expirations, strikes):
|
||||
""""""
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def securityDefinitionOptionalParameterEnd(self, reqId):
|
||||
""""""
|
||||
pass
|
||||
|
||||
BIN
vn.trader/ibGateway/vnib.pyd
Normal file
BIN
vn.trader/ibGateway/vnib.pyd
Normal file
Binary file not shown.
Loading…
Reference in New Issue
Block a user