format code
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vigarbuaa
parent
17fe9bf914
commit
985c062549
@ -49,7 +49,7 @@ STATUS_ALPACA2VT = {
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"partial_fill": Status.PARTTRADED,
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"fill": Status.ALLTRADED,
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"cancelled": Status.CANCELLED,
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#"done_for_day": Status.CANCELLED,
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# "done_for_day": Status.CANCELLED,
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"expired": Status.NOTTRADED
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}
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@ -62,7 +62,8 @@ ORDERTYPE_VT2ALPACA = {
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OrderType.MARKET: "market"
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}
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ORDERTYPE_ALPACA2VT = {v: k for k, v in ORDERTYPE_VT2ALPACA.items()}
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GLOBAL_ORDER={}
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GLOBAL_ORDER = {}
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class AlpacaGateway(BaseGateway):
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"""
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@ -93,11 +94,12 @@ class AlpacaGateway(BaseGateway):
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session = setting["session"]
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proxy_host = setting["proxy_host"]
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proxy_port = setting["proxy_port"]
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env=setting['服务器']
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rest_url = REST_HOST if env == "REAL" else PAPER_REST_HOST
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websocket_url = WEBSOCKET_HOST if env == "REAL" else PAPER_WEBSOCKET_HOST
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self.rest_api.connect(key, secret, session, proxy_host, proxy_port,rest_url)
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self.ws_api.connect(key, secret, proxy_host, proxy_port,websocket_url)
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env = setting['服务器']
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rest_url = REST_HOST if env == "REAL" else PAPER_REST_HOST
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websocket_url = WEBSOCKET_HOST if env == "REAL" else PAPER_WEBSOCKET_HOST
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self.rest_api.connect(key, secret, session,
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proxy_host, proxy_port, rest_url)
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self.ws_api.connect(key, secret, proxy_host, proxy_port, websocket_url)
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self.init_query()
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def subscribe(self, req: SubscribeRequest):
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@ -124,7 +126,7 @@ class AlpacaGateway(BaseGateway):
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""""""
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self.rest_api.stop()
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self.ws_api.stop()
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def process_timer_event(self, event: Event):
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""""""
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self.count += 1
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@ -139,7 +141,6 @@ class AlpacaGateway(BaseGateway):
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self.count = 0
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self.event_engine.register(EVENT_TIMER, self.process_timer_event)
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def process_timer_event(self, event: Event):
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""""""
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self.count += 1
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@ -170,7 +171,7 @@ class AlpacaRestApi(RestClient):
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self.order_count = 1_000_000
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self.order_count_lock = Lock()
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self.connect_time = 0
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self.order_dict ={}
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self.order_dict = {}
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def query_account(self):
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path = f"/v1/account"
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@ -204,7 +205,7 @@ class AlpacaRestApi(RestClient):
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exchange=Exchange.ALPACA,
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direction=DIRECTION_ALPACA2VT[d['side']],
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volume=d['qty'],
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price=round(d['avg_entry_price'],3),
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price=round(d['avg_entry_price'], 3),
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pnl=d['unrealized_pl'],
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gateway_name=self.gateway_name,
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)
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@ -251,14 +252,14 @@ class AlpacaRestApi(RestClient):
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self.gateway.write_log("ALPACA REST API启动成功")
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self.query_account()
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self.query_position()
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#self.query_contracts()
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# self.query_contracts()
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def on_send_order(self, data, request: Request ):
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def on_send_order(self, data, request: Request):
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remote_order_id = data['id']
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order = request.extra
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self.order_dict[order.orderid]=remote_order_id
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self.order_dict[order.orderid] = remote_order_id
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self.gateway.on_order(order)
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GLOBAL_ORDER[remote_order_id]=order
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GLOBAL_ORDER[remote_order_id] = order
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def on_failed_order(self, status_code: int, request: Request):
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"""
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@ -308,7 +309,7 @@ class AlpacaRestApi(RestClient):
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"""Websocket will push a new order status"""
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pass
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def on_cancel_order_error( self, exception_type: type, exception_value: Exception, tb, request: Request):
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def on_cancel_order_error(self, exception_type: type, exception_value: Exception, tb, request: Request):
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# Record exception if not ConnectionError
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if not issubclass(exception_type, ConnectionError):
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self.on_error(exception_type, exception_value, tb, request)
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@ -327,7 +328,7 @@ class AlpacaRestApi(RestClient):
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data = raw_dict
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order = req.create_order_data(orderid, self.gateway_name)
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print("debug send_order orderBody extra: ",order)
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print("debug send_order orderBody extra: ", order)
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self.add_request(
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"POST",
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"/v1/orders",
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@ -336,20 +337,20 @@ class AlpacaRestApi(RestClient):
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extra=order,
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on_failed=self.on_failed_order,
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on_error=self.on_error_order,
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#json_str=data,
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# json_str=data,
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)
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print("debug send_order ret val : ", order.vt_orderid)
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return order.vt_orderid
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def on_query_contracts(self, data, request: Request):
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for instrument_data in data:
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for instrument_data in data:
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symbol = instrument_data['symbol']
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contract = ContractData(
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symbol=symbol,
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exchange=Exchange.ALPACA,
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exchange=Exchange.ALPACA,
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name=symbol,
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product=Product.SPOT,
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size=1,
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size=1,
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pricetick=0.01,
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gateway_name=self.gateway_name
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)
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@ -360,13 +361,13 @@ class AlpacaRestApi(RestClient):
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def on_error_query_contracts(self, exception_type: type, exception_value: Exception, tb, request: Request):
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pass
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def query_contracts(self):
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params = {"status": "active"}
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self.add_request(
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"GET",
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"/v1/assets",
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params = params,
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params=params,
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callback=self.on_query_contracts,
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on_failed=self.on_failed_query_contracts,
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on_error=self.on_error_query_contracts,
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@ -406,10 +407,10 @@ class AlpacaWebsocketApi(WebsocketClient):
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self.askDict = {}
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self.orderLocalDict = {}
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self.channelDict = {} # ChannelID : (Channel, Symbol)
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self.channels=["account_updates", "trade_updates"]
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self.channels = ["account_updates", "trade_updates"]
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def connect(
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self, key: str, secret: str, proxy_host: str, proxy_port: int,url:str
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self, key: str, secret: str, proxy_host: str, proxy_port: int, url: str
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):
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""""""
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self.key = key
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@ -419,24 +420,24 @@ class AlpacaWebsocketApi(WebsocketClient):
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def authenticate(self):
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""""""
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params={"action":"authenticate", "data": {
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"key_id":self.key,"secret_key":self.secret
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params = {"action": "authenticate", "data": {
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"key_id": self.key, "secret_key": self.secret
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}}
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self.send_packet(params)
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def on_authenticate(self):
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""""""
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params={"action":"listen", "data": {
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"streams":self.channels
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params = {"action": "listen", "data": {
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"streams": self.channels
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}}
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self.send_packet(params)
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def subscribe(self, req: SubscribeRequest):
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self.channels.append("A."+req.symbol)
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self.channels.append("Q."+req.symbol)
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self.channels.append("A." + req.symbol)
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self.channels.append("Q." + req.symbol)
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print("debug subscribe: {} ".format(self.channels))
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params={"action":"listen", "data": {
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"streams":self.channels
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params = {"action": "listen", "data": {
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"streams": self.channels
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}}
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self.send_packet(params)
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@ -450,7 +451,7 @@ class AlpacaWebsocketApi(WebsocketClient):
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def on_connected(self):
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""""""
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self.gateway.write_log("Websocket API连接成功")
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self.gateway.write_log("Websocket API连接成功")
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self.authenticate()
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def on_disconnected(self):
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@ -463,9 +464,9 @@ class AlpacaWebsocketApi(WebsocketClient):
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if "stream" in packet and "data" in packet:
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stream_ret = packet['stream']
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data_ret = packet['data']
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if(stream_ret == "authorization"):
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if(stream_ret == "authorization"):
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self.handle_auth(packet)
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elif(stream_ret == "listening"):
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elif(stream_ret == "listening"):
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self.gateway.write_log("listening {}".format(data_ret))
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else:
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self.on_data(packet)
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@ -478,19 +479,18 @@ class AlpacaWebsocketApi(WebsocketClient):
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stream_ret = data['stream']
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data_ret = data['data']
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if(stream_ret == "account_updates"):
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#handle account
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print("!!!!!!!@@@@@@@@ account_udpate is {}".format(data))
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account = AccountData(
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accountid=data_ret['id'],
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balance=float(data_ret['cash']),
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frozen=float(data_ret['cash']) - float(data_ret['cash_withdrawable']),
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frozen=float(data_ret['cash']) -
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float(data_ret['cash_withdrawable']),
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gateway_name=self.gateway_name
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)
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self.gateway.on_account(account)
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elif(stream_ret == "trade_updates"):
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d=data_ret['order']
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d = data_ret['order']
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order_id = d['id']
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order=GLOBAL_ORDER[order_id]
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order = GLOBAL_ORDER[order_id]
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local_order_id = order.orderid
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order.status = STATUS_ALPACA2VT[data_ret['event']]
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self.gateway.on_order(order)
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@ -522,7 +522,7 @@ class AlpacaWebsocketApi(WebsocketClient):
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print("authorization failed!!!")
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self.gateway.write_log("authorization failed!!!")
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else:
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print("??unhandled status: ",data)
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print("??unhandled status: ", data)
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# ----------------------------------------------------------------------
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def on_response(self, data):
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@ -540,7 +540,7 @@ class AlpacaWebsocketApi(WebsocketClient):
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""""""
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print("on_error: ", type, Exception, tb)
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sys.stderr.write(
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self.exception_detail(exception_type, exception_value, tb )
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self.exception_detail(exception_type, exception_value, tb)
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)
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def subscribe_topic(self):
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@ -578,4 +578,4 @@ class AlpacaWebsocketApi(WebsocketClient):
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def on_contract(self, d):
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""""""
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pass
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pass
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