diff --git a/vnpy/app/cta_crypto/engine.py b/vnpy/app/cta_crypto/engine.py index 07ce4560..9ad86937 100644 --- a/vnpy/app/cta_crypto/engine.py +++ b/vnpy/app/cta_crypto/engine.py @@ -799,12 +799,19 @@ class CtaEngine(BaseEngine): def get_price(self, vt_symbol: str): """查询合约的最新价格""" + price = self.main_engine.get_price(vt_symbol) + if price: + return price + tick = self.main_engine.get_tick(vt_symbol) if tick: return tick.last_price return None + def get_contract(self, vt_symbol): + return self.main_engine.get_contract(vt_symbol) + def get_account(self, vt_accountid: str = ""): """ 查询账号的资金""" # 如果启动风控，则使用风控中的最大仓位 @@ -1200,6 +1207,25 @@ class CtaEngine(BaseEngine): self.write_error(u'保存策略{}数据异常:'.format(strategy_name, str(ex))) self.write_error(traceback.format_exc()) + def get_strategy_snapshot(self, strategy_name): + """实时获取策略的K线切片（比较耗性能）""" + strategy = self.strategies.get(strategy_name, None) + if strategy is None: + return None + + try: + # 5.保存策略切片 + snapshot = strategy.get_klines_snapshot() + if not snapshot: + self.write_log(f'{strategy_name}返回得K线切片数据为空') + return None + return snapshot + + except Exception as ex: + self.write_error(u'获取策略{}切片数据异常:'.format(strategy_name, str(ex))) + self.write_error(traceback.format_exc()) + return None + def save_strategy_snapshot(self, select_name: str = 'ALL'): """ 保存策略K线切片数据 diff --git a/vnpy/app/cta_crypto/template.py b/vnpy/app/cta_crypto/template.py index 99d5dcc9..d789a674 100644 --- a/vnpy/app/cta_crypto/template.py +++ b/vnpy/app/cta_crypto/template.py @@ -601,7 +601,8 @@ class CtaFutureTemplate(CtaTemplate): def init_policy(self): self.write_log(u'init_policy(),初始化执行逻辑') - self.policy.load() + if self.policy: + self.policy.load() def init_position(self): """ @@ -1356,11 +1357,13 @@ class CtaFutureTemplate(CtaTemplate): return self.write_log(u'{} 当前 {}价格：{}' .format(self.cur_datetime, self.vt_symbol, self.cur_price)) + if hasattr(self, 'policy'): policy = getattr(self, 'policy') - op = getattr(policy, 'to_json', None) - if callable(op): - self.write_log(u'当前Policy:{}'.format(json.dumps(policy.to_json(), indent=2, ensure_ascii=False))) + if policy: + op = getattr(policy, 'to_json', None) + if callable(op): + self.write_log(u'当前Policy:{}'.format(json.dumps(policy.to_json(), indent=2, ensure_ascii=False))) def save_dist(self, dist_data): """ diff --git a/vnpy/app/cta_crypto/ui/widget.py b/vnpy/app/cta_crypto/ui/widget.py index 15f17f1b..269bb586 100644 --- a/vnpy/app/cta_crypto/ui/widget.py +++ b/vnpy/app/cta_crypto/ui/widget.py @@ -8,12 +8,14 @@ from vnpy.trader.ui.widget import ( TimeCell, BaseMonitor ) +from vnpy.trader.ui.kline.ui_snapshot import UiSnapshot from ..base import ( APP_NAME, EVENT_CTA_LOG, EVENT_CTA_STOPORDER, EVENT_CTA_STRATEGY ) + from ..engine import CtaEngine @@ -202,11 +204,11 @@ class StrategyManager(QtWidgets.QFrame): reload_button = QtWidgets.QPushButton("重载") reload_button.clicked.connect(self.reload_strategy) - save_button = QtWidgets.QPushButton("缓存") + save_button = QtWidgets.QPushButton("保存") save_button.clicked.connect(self.save_strategy) - snapshot_button = QtWidgets.QPushButton("切片") - snapshot_button.clicked.connect(self.save_snapshot) + view_button = QtWidgets.QPushButton("K线") + view_button.clicked.connect(self.view_strategy_snapshot) strategy_name = self._data["strategy_name"] vt_symbol = self._data["vt_symbol"] @@ -230,7 +232,7 @@ class StrategyManager(QtWidgets.QFrame): hbox.addWidget(remove_button) hbox.addWidget(reload_button) hbox.addWidget(save_button) - hbox.addWidget(snapshot_button) + hbox.addWidget(view_button) vbox = QtWidgets.QVBoxLayout() vbox.addWidget(label) @@ -283,13 +285,18 @@ class StrategyManager(QtWidgets.QFrame): self.cta_engine.reload_strategy(self.strategy_name) def save_strategy(self): - """保存K线缓存""" + """保存策略缓存数据""" self.cta_engine.save_strategy_data(self.strategy_name) - - def save_snapshot(self): - """ 保存切片""" self.cta_engine.save_strategy_snapshot(self.strategy_name) + def view_strategy_snapshot(self): + """实时查看策略切片""" + snapshot = self.cta_engine.get_strategy_snapshot(self.strategy_name) + if snapshot is None: + return + ui_snapshot = UiSnapshot() + ui_snapshot.show(snapshot_file="", d=snapshot) + class DataMonitor(QtWidgets.QTableWidget): """ Table monitor for parameters and variables. diff --git a/vnpy/app/cta_stock/strategies/readme.md b/vnpy/app/cta_stock/strategies/readme.md index 06492d81..4e5bb8b9 100644 --- a/vnpy/app/cta_stock/strategies/readme.md +++ b/vnpy/app/cta_stock/strategies/readme.md @@ -13,7 +13,7 @@ cythonize -i demo_strategy.py - 编译完成后，Demo文件夹下会多出2个新的文件，其中就有已加密的策略文件demo_strategy.cp37-win_amd64.pyd + 编译完成后，Demo文件夹下会多出2个新的文件，其中就有已加密的策略文件demo_strategy.cp37-win_amd64.pyd 改名=> demo_strategy.pyd diff --git a/vnpy/app/cta_strategy_pro/engine.py b/vnpy/app/cta_strategy_pro/engine.py index 2841fe2d..6eee0676 100644 --- a/vnpy/app/cta_strategy_pro/engine.py +++ b/vnpy/app/cta_strategy_pro/engine.py @@ -1108,14 +1108,23 @@ class CtaEngine(BaseEngine): if len(setting) == 0: strategies_setting = load_json(self.setting_filename) old_strategy_config = strategies_setting.get(strategy_name, {}) + self.write_log(f'使用配置文件的配置:{old_strategy_config}') else: old_strategy_config = copy(self.strategy_setting[strategy_name]) + self.write_log(f'使用已经运行的配置:{old_strategy_config}') class_name = old_strategy_config.get('class_name') + self.write_log(f'使用策略类名:{class_name}') + + # 没有配置vt_symbol时，使用配置文件/旧配置中的vt_symbol if len(vt_symbol) == 0: vt_symbol = old_strategy_config.get('vt_symbol') + self.write_log(f'使用配置文件/已运行配置的vt_symbol:{vt_symbol}') + + # 没有新配置时，使用配置文件/旧配置中的setting if len(setting) == 0: setting = old_strategy_config.get('setting') + self.write_log(f'没有新策略参数，使用配置文件/旧配置中的setting:{setting}') module_name = self.class_module_map[class_name] # 重新load class module @@ -1639,15 +1648,17 @@ class CtaEngine(BaseEngine): compare_info = '' for vt_symbol in sorted(vt_symbols): # 发送不一致得结果 - symbol_pos = compare_pos.pop(vt_symbol) + symbol_pos = compare_pos.pop(vt_symbol, None) + if symbol_pos is None: + continue d_long = { - 'account_id': self.engine_config.get('account_id', '-'), + 'account_id': self.engine_config.get('accountid', '-'), 'vt_symbol': vt_symbol, 'direction': Direction.LONG.value, 'strategy_list': symbol_pos.get('多单策略', [])} d_short = { - 'account_id': self.engine_config.get('account_id', '-'), + 'account_id': self.engine_config.get('accountid', '-'), 'vt_symbol': vt_symbol, 'direction': Direction.SHORT.value, 'strategy_list': symbol_pos.get('空单策略', [])} @@ -1693,7 +1704,7 @@ class CtaEngine(BaseEngine): # 不匹配，输入到stdErr通道 if pos_compare_result != '': msg = u'账户{}持仓不匹配: {}' \ - .format(self.engine_config.get('account_id', '-'), + .format(self.engine_config.get('accountid', '-'), pos_compare_result) try: from vnpy.trader.util_wechat import send_wx_msg diff --git a/vnpy/app/cta_strategy_pro/template.py b/vnpy/app/cta_strategy_pro/template.py index b1c0e3c2..fdfb73f8 100644 --- a/vnpy/app/cta_strategy_pro/template.py +++ b/vnpy/app/cta_strategy_pro/template.py @@ -849,6 +849,7 @@ class CtaProTemplate(CtaTemplate): for vt_orderid in list(self.active_orders.keys()): order_info = self.active_orders.get(vt_orderid) + order_grid = order_info.get('grid',None) if order_info.get('status', None) in [Status.CANCELLED, Status.REJECTED]: self.active_orders.pop(vt_orderid, None) continue @@ -863,6 +864,11 @@ class CtaProTemplate(CtaTemplate): order_info.update({'status': Status.CANCELLING}) else: order_info.update({'status': Status.CANCELLED}) + if order_grid: + if vt_orderid in order_grid.order_ids: + order_grid.order_ids.remove(vt_orderid) + if len(order_grid.order_ids) == 0: + order_grid.order_status = False if len(self.active_orders) < 1: self.entrust = 0 diff --git a/vnpy/component/cta_grid_trade.py b/vnpy/component/cta_grid_trade.py index 9b01270b..c1699d48 100644 --- a/vnpy/component/cta_grid_trade.py +++ b/vnpy/component/cta_grid_trade.py @@ -645,8 +645,8 @@ class CtaGridTrade(CtaComponent): if lots > 0: for i in range(0, lots, 1): # 做多，开仓价为下阻力线-网格高度*i，平仓价为开仓价+止盈高度，开仓数量为缺省 - open_price = int((down_line - self.grid_height * down_rate) / self.price_tick) * self.price_tick - close_price = int((open_price + self.grid_win * down_rate) / self.price_tick) * self.price_tick + open_price = int((down_line - self.grid_height * down_rate * i) / self.price_tick) * self.price_tick + close_price = int((open_price + self.grid_win * down_rate * i) / self.price_tick) * self.price_tick grid = CtaGrid(direction=Direction.LONG, open_price=open_price, @@ -686,8 +686,8 @@ class CtaGridTrade(CtaComponent): if lots > 0: # 做空，开仓价为上阻力线+网格高度*i，平仓价为开仓价-止盈高度，开仓数量为缺省 for i in range(0, lots, 1): - open_price = int((upper_line + self.grid_height * upper_rate) / self.price_tick) * self.price_tick - close_price = int((open_price - self.grid_win * upper_rate) / self.price_tick) * self.price_tick + open_price = int((upper_line + self.grid_height * upper_rate * i) / self.price_tick) * self.price_tick + close_price = int((open_price - self.grid_win * upper_rate * i) / self.price_tick) * self.price_tick grid = CtaGrid(direction=Direction.SHORT, open_price=open_price, diff --git a/vnpy/component/cta_line_bar.py b/vnpy/component/cta_line_bar.py index ab24cff7..93dc6b03 100644 --- a/vnpy/component/cta_line_bar.py +++ b/vnpy/component/cta_line_bar.py @@ -2935,7 +2935,7 @@ class CtaLineBar(object): if self.bar_len < maxLen: return - dif, dea, macd = ta.MACD(np.append(self.close_array[-maxLen:], [self.line_bar[-1].close]), + dif, dea, macd = ta.MACD(np.append(self.close_array[-maxLen:], [self.line_bar[-1].close_price]), fastperiod=self.para_macd_fast_len, slowperiod=self.para_macd_slow_len, signalperiod=self.para_macd_signal_len) @@ -4008,7 +4008,7 @@ class CtaLineBar(object): return # 3、获取前InputN周期(包含当前周期）的K线 last_bar_mid3 = (self.line_bar[-1].close_price + self.line_bar[-1].high_price + self.line_bar[-1].low_price) / 3 - bar_mid3_ema10 = ta.EMA(np.append(self.mid3_array[-ema_len * 3:], [last_bar_mid3]), ema_len)[-1] + bar_mid3_ema10 = ta.EMA(np.append(self.mid3_array[-ema_len * 4:], [last_bar_mid3]), ema_len)[-1] self._rt_yb = round(float(bar_mid3_ema10), self.round_n) @property diff --git a/vnpy/data/tdx/tdx_future_data.py b/vnpy/data/tdx/tdx_future_data.py index b622e7ac..43053caa 100644 --- a/vnpy/data/tdx/tdx_future_data.py +++ b/vnpy/data/tdx/tdx_future_data.py @@ -262,7 +262,6 @@ class TdxFutureData(object): self.symbol_exchange_dict.update({tdx_symbol: Tdx_Vn_Exchange_Map.get(str(tdx_market_id))}) self.symbol_market_dict.update({tdx_symbol: tdx_market_id}) - # ---------------------------------------------------------------------- def get_bars(self, symbol: str, diff --git a/vnpy/gateway/ctp/ctp_gateway.py b/vnpy/gateway/ctp/ctp_gateway.py index dd0bcaa3..ffbb777f 100644 --- a/vnpy/gateway/ctp/ctp_gateway.py +++ b/vnpy/gateway/ctp/ctp_gateway.py @@ -68,7 +68,8 @@ from vnpy.trader.utility import ( get_trading_date, get_underlying_symbol, round_to, - BarGenerator + BarGenerator, + print_dict ) from vnpy.trader.event import EVENT_TIMER @@ -222,6 +223,12 @@ class CtpGateway(BaseGateway): self.combiner_conf_dict = c.get_config() if len(self.combiner_conf_dict) > 0: self.write_log(u'加载的自定义价差/价比配置:{}'.format(self.combiner_conf_dict)) + + contract_dict = c.get_contracts() + for vt_symbol, contract in contract_dict.items(): + contract.gateway_name = self.gateway_name + self.on_contract(contract) + except Exception as ex: # noqa pass if not self.td_api: diff --git a/vnpy/gateway/ib/ib_gateway.py b/vnpy/gateway/ib/ib_gateway.py index 5f40aaa2..30ded967 100644 --- a/vnpy/gateway/ib/ib_gateway.py +++ b/vnpy/gateway/ib/ib_gateway.py @@ -53,19 +53,21 @@ from vnpy.trader.constant import ( ) from vnpy.trader.utility import get_file_path - +# 委托方式映射 ORDERTYPE_VT2IB = { - OrderType.LIMIT: "LMT", - OrderType.MARKET: "MKT", - OrderType.STOP: "STP" + OrderType.LIMIT: "LMT", # 限价单 + OrderType.MARKET: "MKT", # 市场价 + OrderType.STOP: "STP" # 停止价 } ORDERTYPE_IB2VT = {v: k for k, v in ORDERTYPE_VT2IB.items()} +# 买卖方向映射 DIRECTION_VT2IB = {Direction.LONG: "BUY", Direction.SHORT: "SELL"} DIRECTION_IB2VT = {v: k for k, v in DIRECTION_VT2IB.items()} DIRECTION_IB2VT["BOT"] = Direction.LONG DIRECTION_IB2VT["SLD"] = Direction.SHORT +# 交易所映射 EXCHANGE_VT2IB = { Exchange.SMART: "SMART", Exchange.NYMEX: "NYMEX", @@ -75,10 +77,13 @@ EXCHANGE_VT2IB = { Exchange.ICE: "ICE", Exchange.SEHK: "SEHK", Exchange.HKFE: "HKFE", - Exchange.CFE: "CFE" + Exchange.CFE: "CFE", + Exchange.NYSE: "NYSE", + Exchange.NASDAQ: "NASDAQ" } EXCHANGE_IB2VT = {v: k for k, v in EXCHANGE_VT2IB.items()} +# 状态映射 STATUS_IB2VT = { "ApiPending": Status.SUBMITTING, "PendingSubmit": Status.SUBMITTING, @@ -90,6 +95,7 @@ STATUS_IB2VT = { "Inactive": Status.REJECTED, } +# 品种类型映射 PRODUCT_IB2VT = { "STK": Product.EQUITY, "CASH": Product.FOREX, @@ -99,14 +105,17 @@ PRODUCT_IB2VT = { "FOT": Product.OPTION } +# 期权映射 OPTION_VT2IB = {OptionType.CALL: "CALL", OptionType.PUT: "PUT"} +# 币种映射 CURRENCY_VT2IB = { Currency.USD: "USD", Currency.CNY: "CNY", Currency.HKD: "HKD", } +# tick字段映射 TICKFIELD_IB2VT = { 0: "bid_volume_1", 1: "bid_price_1", @@ -121,6 +130,7 @@ TICKFIELD_IB2VT = { 14: "open_price", } +# 账号字段映射 ACCOUNTFIELD_IB2VT = { "NetLiquidationByCurrency": "balance", "NetLiquidation": "balance", @@ -129,12 +139,14 @@ ACCOUNTFIELD_IB2VT = { "MaintMarginReq": "margin", } +# 时间周期映射 INTERVAL_VT2IB = { Interval.MINUTE: "1 min", Interval.HOUR: "1 hour", Interval.DAILY: "1 day", } +# 合约连接符 JOIN_SYMBOL = "-" @@ -150,9 +162,9 @@ class IbGateway(BaseGateway): exchanges = list(EXCHANGE_VT2IB.keys()) - def __init__(self, event_engine): + def __init__(self, event_engine, gateway_name='IB'): """""" - super().__init__(event_engine, "IB") + super().__init__(event_engine, gateway_name) self.api = IbApi(self) @@ -483,13 +495,14 @@ class IbApi(EWrapper): self.gateway.write_log(msg) return - ib_size = contract.multiplier - if not ib_size: + try: + ib_size = int(contract.multiplier) + except ValueError: ib_size = 1 price = averageCost / ib_size pos = PositionData( - symbol=contract.conId, + symbol=generate_symbol(contract), exchange=exchange, direction=Direction.NET, volume=position, @@ -807,7 +820,7 @@ class IbClient(EClient): def generate_ib_contract(symbol: str, exchange: Exchange) -> Optional[Contract]: - """""" + """生成ib合约""" try: fields = symbol.split(JOIN_SYMBOL) @@ -831,7 +844,7 @@ def generate_ib_contract(symbol: str, exchange: Exchange) -> Optional[Contract]: def generate_symbol(ib_contract: Contract) -> str: - """""" + """生成合约代码""" fields = [ib_contract.symbol] if ib_contract.secType in ["FUT", "OPT", "FOP"]: diff --git a/vnpy/gateway/pb/pb_gateway.py b/vnpy/gateway/pb/pb_gateway.py new file mode 100644 index 00000000..9b60e42e --- /dev/null +++ b/vnpy/gateway/pb/pb_gateway.py @@ -0,0 +1,1153 @@ +# 恒投交易客户端 文件接口 +# 华富资产 李来佳 28888502 + +import os +import sys +import copy +import csv +import traceback +from typing import Any, Dict, List +from datetime import datetime, timedelta +from time import sleep +from functools import lru_cache +from collections import OrderedDict +from multiprocessing.dummy import Pool + +from vnpy.event import EventEngine +from vnpy.trader.event import EVENT_TIMER +from vnpy.trader.constant import ( + Exchange, + Product, + Direction, + OrderType, + Status, + Offset +) +from vnpy.trader.gateway import BaseGateway, LocalOrderManager +from vnpy.trader.object import ( + CancelRequest, + OrderRequest, + SubscribeRequest, + TickData, + ContractData, + OrderData, + TradeData, + PositionData, + AccountData +) +from vnpy.trader.utility import get_folder_path, print_dict, extract_vt_symbol, get_stock_exchange, append_data + +# 代码 <=> 中文名称 +symbol_name_map: Dict[str, str] = {} +# 代码 <=> 交易所 +symbol_exchange_map: Dict[str, Exchange] = {} + +# 功能<->文件对应 +PB_FILE_NAMES = { + 'send_order': 'XHPT_WT', # 通用接口_委托 + 'cancel_order': 'XHPT_CD', # 通用接口_撤单 + 'update_orders': 'XHPT_WTCX', # 通用接口_委托查询 + 'update_trades': 'XHPT_CJCX', # 通用接口_成交查询 + 'positions': 'CC_STOCK_', # 持仓明细 + 'orders': 'WT_STOCK_', # 当日委托明细 + 'trades': 'CJ_STOCK_', # 当日成交明细 + 'accounts': 'ZJ_STOCK_' # 资金 +} + +SEND_ORDER_FIELDS = OrderedDict({ + "CPBH": "C32", # 产品代码/基金代码 <-- 输入参数 --> + "ZCDYBH": "C16", # 单元编号/组合编号 + "ZHBH": "C16", # 组合编号 + "GDDM": "C20", # 股东代码 + "JYSC": "C3", # 交易市场 + "ZQDM": "C16", # 证券代码 + "WTFX": "C4", # 委托方向 + "WTJGLX": "C1", # 委托价格类型 + "WTJG": "N11.4", # 委托价格 + "WTSL": "N12", # 委托数量 + "WBZDYXH": "N9", # 第三方系统自定义号 + "WTXH": "N8", # 委托序号 <-- 输出参数 --> + "WTSBDM": "N8", # 委托失败代码 + "SBYY": "C254", # 失败原因 + "CLBZ": "C1", # 处理标志 <-- 内部自用字段 --> + "BYZD": "C2", # 备用字段 + "WTJE": "N16.2", # 委托金额 <-- 扩充参数 --> + "TSBS": "C64", # 特殊标识 + "YWBS": "C2", # 业务标识 +}) + +# 撤单csv字段格式定义 +CANCEL_ORDER_FIELDS = OrderedDict({ + "WTXH": "N8", # 委托序号 + "JYSC": "C3", # 交易市场 + "ZQDM": "C16", # 证券代码 + "CDCGBZ": "C1", # 撤单成功标志 + "SBYY": "C254", # 失败原因 + "CLBZ": "C1", # 处理标志 + "BYZD": "C2", # 备用字段 + "BYZD2": "C16", # 备用字段2 +}) +# 交易所id <=> Exchange +EXCHANGE_PB2VT: Dict[str, Exchange] = { + "1": Exchange.SSE, + "2": Exchange.SZSE, + "3": Exchange.SHFE, + "4": Exchange.CZCE, + "7": Exchange.CFFEX, + "9": Exchange.DCE, + "k": Exchange.INE +} +EXCHANGE_VT2PB: Dict[Exchange, str] = {v: k for k, v in EXCHANGE_PB2VT.items()} +EXCHANGE_NAME2VT: Dict[str, Exchange] = { + "上交所A": Exchange.SSE, + "深交所A": Exchange.SZSE +} + +# 方向 <=> Direction, Offset +DIRECTION_STOCK_PB2VT: Dict[str, Any] = { + "1": (Direction.LONG, Offset.NONE), # 买 + "2": (Direction.SHORT, Offset.NONE), # 卖 + "V": (Direction.LONG, Offset.OPEN), # 多，开 + "X": (Direction.SHORT, Offset.OPEN), # 空，开 + "Y": (Direction.LONG, Offset.CLOSE), # 多，平 + "W": (Direction.SHORT, Offset.CLOSE) # 空， 平 +} +DIRECTION_STOCK_VT2PB: Dict[Any, str] = {v: k for k, v in DIRECTION_STOCK_PB2VT.items()} +DIRECTION_STOCK_NAME2VT: Dict[str, Any] = { + "卖出": Direction.SHORT, + "买入": Direction.LONG +} +# 持仓方向 <=> Direction +POSITION_DIRECTION_PB2VT = { + "1": Direction.LONG, + "2": Direction.SHORT, +} + +# 委托单类型 +ORDERTYPE_PB2VT: Dict[str, OrderType] = { + "0": OrderType.LIMIT, # 限价单 + "a": OrderType.MARKET, # 五档即成剩撤（上交所市价） + "b": OrderType.MARKET, # 五档即成剩转（上交所市价） + "A": OrderType.MARKET, # 五档即成剩撤（深交所市价） + "C": OrderType.MARKET, # 即成剩撤（深交所市价） + "D": OrderType.MARKET, # 对手方最优（深交所市价，上交所科创板市价） + "E": OrderType.MARKET, # 本方最优（深交所市价，上交所科创板市价） +} + + +def format_dict(d, dict_define): + """根据dict格式定义进行value转换""" + + for k in dict_define.keys(): + # 原值 + v = d.get(k, '') + # 目标转换格式 + v_format = dict_define.get(k, None) + if v_format is None: + continue + if 'C' in v_format: + str_len = int(v_format.replace('C', '')) + new_v = '{}{}'.format(' ' * (str_len - len(v)), v) + d.update({k: new_v}) + continue + elif "N" in v_format: + v_format = v_format.replace('N', '') + if '.' in v_format: + int_len, float_len = v_format.split('.') + int_len = int(int_len) + float_len = int(float_len) + str_v = str(v) + new_v = '{}{}'.format(' ' * (int_len - len(str_v)), str_v) + else: + int_len = int(v_format) + str_v = str(v) + new_v = '{}{}'.format(' ' * (int_len - len(str_v)), str_v) + d.update({k: new_v}) + + return d + + +def get_pb_order_type(exchange, order_type): + """获取pb的委托类型""" + # 限价单 + if order_type == OrderType.LIMIT: + return "0" + # 市价单 + if exchange == Exchange.SSE: + return "a" + + if exchange == Exchange.SZSE: + return "C" + + return "0" + + +ORDERTYPE_NAME2VT: Dict[str, OrderType] = { + "五档即成剩撤": OrderType.MARKET, + "五档即成剩转": OrderType.MARKET, + "即成剩撤": OrderType.MARKET, + "对手方最优": OrderType.MARKET, + "本方最优": OrderType.MARKET, + "限价单": OrderType.LIMIT, +} + +STATUS_NAME2VT: Dict[str, Status] = { + "未报": Status.SUBMITTING, + "待报": Status.SUBMITTING, + "正报": Status.SUBMITTING, + "已报": Status.NOTTRADED, + "废单": Status.REJECTED, + "部成": Status.PARTTRADED, + "已成": Status.ALLTRADED, + "部撤": Status.CANCELLED, + "已撤": Status.CANCELLED, + "待撤": Status.CANCELLING, + "未审批": Status.UNKNOWN, + "审批拒绝": Status.UNKNOWN, + "未审批即撤销": Status.UNKNOWN, +} + +STOCK_CONFIG_FILE = 'tdx_stock_config.pkb2' +from pytdx.hq import TdxHq_API +# 通达信股票行情 +from vnpy.data.tdx.tdx_common import get_cache_config, get_tdx_market_code +from pytdx.config.hosts import hq_hosts +from pytdx.params import TDXParams + + +class PbGateway(BaseGateway): + default_setting: Dict[str, Any] = { + "资金账号": "", + "数据目录": "", + "产品编号": "", + "单元编号": "", + "股东代码_沪": "", + "股东代码_深": "" + } + + # 接口支持得交易所清单 + exchanges: List[Exchange] = list(EXCHANGE_VT2PB.keys()) + + def __init__(self, event_engine: EventEngine, gateway_name='PB'): + """""" + super().__init__(event_engine, gateway_name=gateway_name) + self.connect_time = datetime.now().strftime("%H%M") + self.order_manager = LocalOrderManager(self, self.connect_time, 4) + + self.md_api = PbMdApi(self) + self.td_api = PbTdApi(self) + + self.tdx_connected = False # 通达信行情API得连接状态 + + def connect(self, setting: dict) -> None: + """""" + userid = setting["资金账号"] + csv_folder = setting["数据目录"] + product_id = setting["产品编号"] + unit_id = setting["单元编号"] + holder_ids = { + Exchange.SSE: setting["股东代码_沪"], + Exchange.SZSE: setting["股东代码_深"] + } + + export_folder = os.path.abspath(os.path.join(csv_folder, "数据导出")) + self.md_api.connect() + self.td_api.connect(user_id=userid, + order_folder=csv_folder, + account_folder=export_folder, + product_id=product_id, + unit_id=unit_id, + holder_ids=holder_ids) + self.init_query() + + def close(self) -> None: + """""" + self.md_api.close() + self.td_api.close() + + def subscribe(self, req: SubscribeRequest) -> None: + """""" + self.md_api.subscribe(req) + + def send_order(self, req: OrderRequest) -> str: + """""" + return self.td_api.send_order(req) + + def cancel_order(self, req: CancelRequest) -> None: + """""" + self.td_api.cancel_order(req) + + def query_account(self) -> None: + """""" + self.td_api.query_account() + + def query_position(self) -> None: + """""" + self.td_api.query_position() + + def query_orders(self) -> None: + self.td_api.query_orders() + + def query_trades(self) -> None: + self.td_api.query_trades() + + def process_timer_event(self, event) -> None: + """""" + self.count += 1 + if self.count < 2: + return + self.count = 0 + + func = self.query_functions.pop(0) + func() + self.query_functions.append(func) + + def init_query(self) -> None: + """""" + self.count = 0 + self.query_functions = [self.query_account, self.query_position, self.query_orders, self.query_trades] + self.event_engine.register(EVENT_TIMER, self.process_timer_event) + + +class PbMdApi(object): + + def __init__(self, gateway: BaseGateway): + """""" + super().__init__() + + self.gateway: BaseGateway = gateway + self.gateway_name: str = gateway.gateway_name + + self.connect_status: bool = False + self.login_status: bool = False + + self.req_interval = 0.5 # 操作请求间隔500毫秒 + self.req_id = 0 # 操作请求编号 + self.connection_status = False # 连接状态 + + self.symbol_exchange_dict = {} # tdx合约与vn交易所的字典 + self.symbol_market_dict = {} # tdx合约与tdx市场的字典 + self.symbol_vn_dict = {} # tdx合约与vtSymbol的对应 + self.symbol_tick_dict = {} # tdx合约与最后一个Tick得字典 + self.registed_symbol_set = set() + + self.config = get_cache_config(STOCK_CONFIG_FILE) + self.symbol_dict = self.config.get('symbol_dict', {}) + self.cache_time = self.config.get('cache_time', datetime.now() - timedelta(days=7)) + self.commission_dict = {} + self.contract_dict = {} + + if len(self.symbol_dict) == 0: # or self.cache_time < datetime.now() - timedelta(days=1): + # self.cache_config() + self.gateway.write_error(f'本地没有股票信息的缓存配置文件') + + # self.queue = Queue() # 请求队列 + self.pool = None # 线程池 + # self.req_thread = None # 定时器线程 + + # copy.copy(hq_hosts) + + self.ip_list = [{'ip': "180.153.18.170", 'port': 7709}, + {'ip': "180.153.18.171", 'port': 7709}, + {'ip': "180.153.18.172", 'port': 80}, + {'ip': "202.108.253.130", 'port': 7709}, + {'ip': "202.108.253.131", 'port': 7709}, + {'ip': "202.108.253.139", 'port': 80}, + {'ip': "60.191.117.167", 'port': 7709}, + {'ip': "115.238.56.198", 'port': 7709}, + {'ip': "218.75.126.9", 'port': 7709}, + {'ip': "115.238.90.165", 'port': 7709}, + {'ip': "124.160.88.183", 'port': 7709}, + {'ip': "60.12.136.250", 'port': 7709}, + {'ip': "218.108.98.244", 'port': 7709}, + {'ip': "218.108.47.69", 'port': 7709}, + {'ip': "114.80.63.12", 'port': 7709}, + {'ip': "114.80.63.35", 'port': 7709}, + {'ip': "180.153.39.51", 'port': 7709}, + {'ip': '14.215.128.18', 'port': 7709}, + {'ip': '59.173.18.140', 'port': 7709}] + + self.best_ip = {'ip': None, 'port': None} + self.api_dict = {} # API 的连接会话对象字典 + self.last_tick_dt = {} # 记录该会话对象的最后一个tick时间 + + self.security_count = 50000 + + # 股票code name列表 + self.stock_codelist = None + + def ping(self, ip, port=7709): + """ + ping行情服务器 + :param ip: + :param port: + :param type_: + :return: + """ + apix = TdxHq_API() + __time1 = datetime.now() + try: + with apix.connect(ip, port): + if apix.get_security_count(TDXParams.MARKET_SZ) > 9000: # 0：深市 股票数量 = 9260 + _timestamp = datetime.now() - __time1 + self.gateway.write_log('服务器{}:{},耗时:{}'.format(ip, port, _timestamp)) + return _timestamp + else: + self.gateway.write_log(u'该服务器IP {}无响应'.format(ip)) + return timedelta(9, 9, 0) + except: + self.gateway.write_error(u'tdx ping服务器，异常的响应{}'.format(ip)) + return timedelta(9, 9, 0) + + def select_best_ip(self): + """ + 选择行情服务器 + :return: + """ + self.gateway.write_log(u'选择通达信股票行情服务器') + data_future = [self.ping(x.get('ip'), x.get('port')) for x in self.ip_list] + + best_future_ip = self.ip_list[data_future.index(min(data_future))] + + self.gateway.write_log(u'选取 {}:{}'.format( + best_future_ip['ip'], best_future_ip['port'])) + return best_future_ip + + def connect(self, n=3): + """ + 连接通达讯行情服务器 + :param n: + :return: + """ + if self.connection_status: + for api in self.api_dict: + if api is not None or getattr(api, "client", None) is not None: + self.gateway.write_log(u'当前已经连接,不需要重新连接') + return + + self.gateway.write_log(u'开始通达信行情服务器') + + # 选取最佳服务器 + if self.best_ip['ip'] is None and self.best_ip['port'] is None: + self.best_ip = self.select_best_ip() + + # 创建n个api连接对象实例 + for i in range(n): + try: + api = TdxHq_API(heartbeat=True, auto_retry=True, raise_exception=True) + api.connect(self.best_ip['ip'], self.best_ip['port']) + # 尝试获取市场合约统计 + c = api.get_security_count(TDXParams.MARKET_SZ) + if c is None or c < 10: + err_msg = u'该服务器IP {}/{}无响应'.format(self.best_ip['ip'], self.best_ip['port']) + self.gateway.write_error(err_msg) + else: + self.gateway.write_log(u'创建第{}个tdx连接'.format(i + 1)) + self.api_dict[i] = api + self.last_tick_dt[i] = datetime.now() + self.connection_status = True + self.security_count = c + + except Exception as ex: + self.gateway.write_error(u'连接服务器tdx[{}]异常:{},{}'.format(i, str(ex), traceback.format_exc())) + return + + # 创建连接池，每个连接都调用run方法 + self.pool = Pool(n) + self.pool.map_async(self.run, range(n)) + + # 设置上层的连接状态 + self.gateway.tdxConnected = True + + def reconnect(self, i): + """ + 重连 + :param i: + :return: + """ + try: + self.best_ip = self.select_best_ip() + api = TdxHq_API(heartbeat=True, auto_retry=True) + api.connect(self.best_ip['ip'], self.best_ip['port']) + # 尝试获取市场合约统计 + c = api.get_security_count(TDXParams.MARKET_SZ) + if c is None or c < 10: + err_msg = u'该服务器IP {}/{}无响应'.format(self.best_ip['ip'], self.best_ip['port']) + self.gateway.write_error(err_msg) + else: + self.gateway.write_log(u'重新创建第{}个tdx连接'.format(i + 1)) + self.api_dict[i] = api + + sleep(1) + except Exception as ex: + self.gateway.write_error(u'重新连接服务器tdx[{}]异常:{},{}'.format(i, str(ex), traceback.format_exc())) + return + + def close(self): + """退出API""" + self.connection_status = False + + # 设置上层的连接状态 + self.gateway.tdxConnected = False + + if self.pool is not None: + self.pool.close() + self.pool.join() + + def subscribe(self, req): + """订阅合约""" + # 这里的设计是，如果尚未登录就调用了订阅方法 + # 则先保存订阅请求，登录完成后会自动订阅 + vn_symbol = str(req.symbol) + if '.' in vn_symbol: + vn_symbol = vn_symbol.split('.')[0] + + self.gateway.write_log(u'通达信行情订阅 {}'.format(str(vn_symbol))) + + tdx_symbol = vn_symbol # [0:-2] + 'L9' + tdx_symbol = tdx_symbol.upper() + self.gateway.write_log(u'{}=>{}'.format(vn_symbol, tdx_symbol)) + self.symbol_vn_dict[tdx_symbol] = vn_symbol + + if tdx_symbol not in self.registed_symbol_set: + self.registed_symbol_set.add(tdx_symbol) + + # 查询股票信息 + self.qry_instrument(vn_symbol) + + self.check_status() + + def check_status(self): + # self.gateway.write_log(u'检查tdx接口状态') + if len(self.registed_symbol_set) == 0: + return True + + # 若还没有启动连接，就启动连接 + over_time = [((datetime.now() - dt).total_seconds() > 60) for dt in self.last_tick_dt.values()] + if not self.connection_status or len(self.api_dict) == 0 or any(over_time): + self.gateway.write_log(u'tdx还没有启动连接，就启动连接') + self.close() + self.pool = None + self.api_dict = {} + pool_cout = getattr(self.gateway, 'tdx_pool_count', 3) + self.connect(pool_cout) + + # self.gateway.write_log(u'tdx接口状态正常') + + def qry_instrument(self, symbol): + """ + 查询/更新股票信息 + :return: + """ + if not self.connection_status: + return + + api = self.api_dict.get(0) + if api is None: + self.gateway.write_log(u'取不到api连接，更新合约信息失败') + return + + # TODO： 取得股票的中文名 + market_code = get_tdx_market_code(symbol) + api.to_df(api.get_finance_info(market_code, symbol)) + + # 如果有预定的订阅合约，提前订阅 + # if len(all_contacts) > 0: + # cur_folder = os.path.dirname(__file__) + # export_file = os.path.join(cur_folder,'contracts.csv') + # if not os.path.exists(export_file): + # df = pd.DataFrame(all_contacts) + # df.to_csv(export_file) + + def run(self, i): + """ + 版本1：Pool内得线程，持续运行,每个线程从queue中获取一个请求并处理 + 版本2：Pool内线程，从订阅合约集合中，取出符合自己下标 mode n = 0的合约，并发送请求 + :param i: + :return: + """ + # 版本2： + try: + api_count = len(self.api_dict) + last_dt = datetime.now() + self.gateway.write_log(u'开始运行tdx[{}],{}'.format(i, last_dt)) + while self.connection_status: + symbols = set() + for idx, tdx_symbol in enumerate(list(self.registed_symbol_set)): + # self.gateway.write_log(u'tdx[{}], api_count:{}, idx:{}, tdx_symbol:{}'.format(i, api_count, idx, tdx_symbol)) + if idx % api_count == i: + try: + symbols.add(tdx_symbol) + self.processReq(tdx_symbol, i) + except BrokenPipeError as bex: + self.gateway.write_error(u'BrokenPipeError{},重试重连tdx[{}]'.format(str(bex), i)) + self.reconnect(i) + sleep(5) + break + except Exception as ex: + self.gateway.write_error( + u'tdx[{}] exception:{},{}'.format(i, str(ex), traceback.format_exc())) + + # api = self.api_dict.get(i,None) + # if api is None or getattr(api,'client') is None: + self.gateway.write_error(u'重试重连tdx[{}]'.format(i)) + print(u'重试重连tdx[{}]'.format(i), file=sys.stderr) + self.reconnect(i) + + # self.gateway.write_log(u'tdx[{}] sleep'.format(i)) + sleep(self.req_interval) + dt = datetime.now() + if last_dt.minute != dt.minute: + self.gateway.write_log('tdx[{}] check point. {}, process symbols:{}'.format(i, dt, symbols)) + last_dt = dt + except Exception as ex: + self.gateway.write_error(u'tdx[{}] pool.run exception:{},{}'.format(i, str(ex), traceback.format_exc())) + + self.gateway.write_error(u'tdx[{}] {}退出'.format(i, datetime.now())) + + def processReq(self, req, i): + """ + 处理行情信息ticker请求 + :param req: + :param i: + :return: + """ + symbol = req + if '.' in symbol: + symbol, exchange = symbol.split('.') + if exchange == 'SZSE': + market_code = 0 + else: + market_code = 1 + else: + market_code = get_tdx_market_code(symbol) + exchange = get_stock_exchange(symbol) + + exchange = Exchange(exchange) + + api = self.api_dict.get(i, None) + if api is None: + self.gateway.write_log(u'tdx[{}] Api is None'.format(i)) + raise Exception(u'tdx[{}] Api is None'.format(i)) + + symbol_config = self.symbol_dict.get('{}_{}'.format(symbol, market_code), {}) + decimal_point = symbol_config.get('decimal_point', 2) + + # self.gateway.write_log(u'tdx[{}] get_instrument_quote:({},{})'.format(i,self.symbol_market_dict.get(symbol),symbol)) + rt_list = api.get_security_quotes([(market_code, symbol)]) + if rt_list is None or len(rt_list) == 0: + self.gateway.write_log(u'tdx[{}]: rt_list为空'.format(i)) + return + # else: + # self.gateway.write_log(u'tdx[{}]: rt_list数据:{}'.format(i, rt_list)) + if i in self.last_tick_dt: + self.last_tick_dt[i] = datetime.now() + + # : [OrderedDict([ + # ('market', 0), + # ('code', '000001'), + # ('active1', 1385), + # ('price', 13.79), + # ('last_close', 13.69), + # ('open', 13.65), ('high', 13.81), ('low', 13.56), + # ('reversed_bytes0', 10449822), ('reversed_bytes1', -1379), + # ('vol', 193996), ('cur_vol', 96), + # ('amount', 264540864.0), + # ('s_vol', 101450), + # ('b_vol', 92546), + # ('reversed_bytes2', 0), ('reversed_bytes3', 17185), + # ('bid1', 13.79), ('ask1', 13.8), ('bid_vol1', 877), ('ask_vol1', 196), + # ('bid2', 13.78), ('ask2', 13.81), ('bid_vol2', 2586), ('ask_vol2', 1115), + # ('bid3', 13.77), ('ask3', 13.82), ('bid_vol3', 1562), ('ask_vol3', 807), + # ('bid4', 13.76), ('ask4', 13.83), ('bid_vol4', 211), ('ask_vol4', 711), + # ('bid5', 13.75), ('ask5', 13.84), ('bid_vol5', 1931), ('ask_vol5', 1084), + # ('reversed_bytes4', (385,)), ('reversed_bytes5', 1), ('reversed_bytes6', -41), ('reversed_bytes7', -29), ('reversed_bytes8', 1), ('reversed_bytes9', 0.88), + # ('active2', 1385)])] + dt = datetime.now() + for d in list(rt_list): + # 忽略成交量为0的无效单合约tick数据 + if d.get('cur_vol', 0) <= 0: + # self.gateway.write_log(u'忽略成交量为0的无效单合约tick数据:') + continue + + code = d.get('code', None) + if symbol != code and code is not None: + self.gateway.write_log(u'忽略合约{} {} 不一致的tick数据:{}'.format(symbol, d.get('code'), rt_list)) + continue + + tick = TickData( + gateway_name=self.gateway_name, + symbol=symbol, + exchange=exchange, + datetime=dt, + date=dt.strftime('%Y-%m-%d'), + time=dt.strftime('%H:%M:%S') + ) + + if decimal_point > 2: + tick.pre_close = round(d.get('last_close') / (10 ** (decimal_point - 2)), decimal_point) + tick.high_price = round(d.get('high') / (10 ** (decimal_point - 2)), decimal_point) + tick.open_price = round(d.get('open') / (10 ** (decimal_point - 2)), decimal_point) + tick.low_price = round(d.get('low') / (10 ** (decimal_point - 2)), decimal_point) + tick.last_price = round(d.get('price') / (10 ** (decimal_point - 2)), decimal_point) + + tick.bid_price_1 = round(d.get('bid1') / (10 ** (decimal_point - 2)), decimal_point) + tick.bid_volume_1 = d.get('bid_vol1') + tick.ask_price_1 = round(d.get('ask1') / (10 ** (decimal_point - 2)), decimal_point) + tick.ask_volume_1 = d.get('ask_vol1') + + if d.get('bid5'): + tick.bid_price_2 = round(d.get('bid2') / (10 ** (decimal_point - 2)), decimal_point) + tick.bid_volume_2 = d.get('bid_vol2') + tick.askPrice2 = round(d.get('ask2') / (10 ** (decimal_point - 2)), decimal_point) + tick.ask_volume_2 = d.get('ask_vol2') + + tick.bid_price_3 = round(d.get('bid3') / (10 ** (decimal_point - 2)), decimal_point) + tick.bid_volume_3 = d.get('bid_vol3') + tick.ask_price_3 = round(d.get('ask3') / (10 ** (decimal_point - 2)), decimal_point) + tick.ask_volume_3 = d.get('ask_vol3') + + tick.bid_price_4 = round(d.get('bid4') / (10 ** (decimal_point - 2)), decimal_point) + tick.bid_volume_4 = d.get('bid_vol4') + tick.ask_price_4 = round(d.get('ask4') / (10 ** (decimal_point - 2)), decimal_point) + tick.ask_volume_4 = d.get('ask_vol4') + + tick.bid_price_5 = round(d.get('bid5') / (10 ** (decimal_point - 2)), decimal_point) + tick.bid_volume_5 = d.get('bid_vol5') + tick.ask_price_5 = round(d.get('ask5') / (10 ** (decimal_point - 2)), decimal_point) + tick.ask_volume_5 = d.get('ask_vol5') + + else: + tick.pre_close = d.get('last_close') + tick.high_price = d.get('high') + tick.open_price = d.get('open') + tick.low_price = d.get('low') + tick.last_price = d.get('price') + + tick.bid_price_1 = d.get('bid1') + tick.bid_volume_1 = d.get('bid_vol1') + tick.ask_price_1 = d.get('ask1') + tick.ask_volume_1 = d.get('ask_vol1') + + if d.get('bid5'): + tick.bid_price_2 = d.get('bid2') + tick.bid_volume_2 = d.get('bid_vol2') + tick.ask_price_2 = d.get('ask2') + tick.ask_volume_2 = d.get('ask_vol2') + + tick.bid_price_3 = d.get('bid3') + tick.bid_volume_3 = d.get('bid_vol3') + tick.ask_price_3 = d.get('ask3') + tick.ask_volume_3 = d.get('ask_vol3') + + tick.bid_price_4 = d.get('bid4') + tick.bid_volume_4 = d.get('bid_vol4') + tick.ask_price_4 = d.get('ask4') + tick.ask_volume_4 = d.get('ask_vol4') + + tick.bid_price_5 = d.get('bid5') + tick.bid_volume_5 = d.get('bid_vol5') + tick.ask_price_5 = d.get('ask5') + tick.ask_volume_5 = d.get('ask_vol5') + + tick.volume = d.get('vol', 0) + tick.open_interest = d.get('amount', 0) + + # 修正毫秒 + last_tick = self.symbol_tick_dict.get(symbol, None) + if (last_tick is not None) and tick.datetime.replace(microsecond=0) == last_tick.datetime: + # 与上一个tick的时间（去除毫秒后）相同,修改为500毫秒 + tick.datetime = tick.datetime.replace(microsecond=500) + tick.time = tick.datetime.strftime('%H:%M:%S.%f')[0:12] + else: + tick.datetime = tick.datetime.replace(microsecond=0) + tick.time = tick.datetime.strftime('%H:%M:%S.%f')[0:12] + + tick.date = tick.datetime.strftime('%Y-%m-%d') + tick.trading_day = tick.datetime.strftime('%Y-%m-%d') + + # 指数没有涨停和跌停，就用昨日收盘价正负10% + tick.limit_up = tick.pre_close * 1.1 + tick.limit_down = tick.pre_close * 0.9 + + # 排除非交易时间得tick + if tick.datetime.hour not in [9, 10, 11, 13, 14, 15]: + return + elif tick.datetime.hour == 9 and tick.datetime.minute <= 25: + return + elif tick.datetime.hour == 15 and tick.datetime.minute >= 0: + return + + self.symbol_tick_dict[symbol] = tick + + self.gateway.on_tick(tick) + + +class PbTdApi(object): + + def __init__(self, gateway: BaseGateway): + """""" + super().__init__() + self._active = False + self.gateway: BaseGateway = gateway + self.gateway_name: str = gateway.gateway_name + + self.userid: str = "" # 资金账号 + self.product_id: str = "" # 产品编号（在pb客户端看到） + self.unit_id: str = "1" # 单元编号（在pb客户端设置)，缺省是1 + self.holder_ids = {} + + self.order_folder = "" # 埋单csv文件所在目录 + self.account_folder = "" # 账号导出csv所在目录 + + # 缓存了当前交易日 + self.trading_day = datetime.now().strftime('%Y-%m-%d') + self.trading_date = self.trading_day.replace('-', '') + + self.connect_status: bool = False + self.login_status: bool = False + + # 所有交易 + self.trades = {} # tradeid: trade + + # 未获取本地更新检查的orderid清单 + self.unchecked_orderids = [] + + def close(self): + pass + + def connect(self, user_id, order_folder, account_folder, product_id, unit_id="1", holder_ids={}): + """连接""" + self.userid = user_id + self.order_folder = order_folder + self.product_id = product_id + self.unit_id = unit_id + self.holder_ids = holder_ids + + if os.path.exists(self.order_folder): + self.connect_status = True + + self.account_folder = account_folder + if os.path.exists(self.account_folder): + self.login_status = True + + def get_data(self, file_path, field_names=None): + """获取文件内容""" + if not os.path.exists(file_path): + return None + + results = [] + with open(file=file_path, mode='r', encoding='gbk', ) as f: + reader = csv.DictReader(f=f, fieldnames=field_names, delimiter=",") + for row in reader: + results.append(row) + + return results + + def query_account(self): + """获取资金账号信息""" + + # 账号的文件 + accounts_csv = os.path.abspath(os.path.join(self.account_folder, + self.trading_date, + '{}{}.csv'.format( + PB_FILE_NAMES.get('accounts'), + self.trading_date))) + # csv => 所有账号资金清单 + account_list = self.get_data(accounts_csv) + if not account_list: + return + + for data in account_list: + if data["资金账户"] != self.userid: + continue + account = AccountData( + gateway_name=self.gateway_name, + accountid=self.userid, + balance=float(data["产品净值"]), + frozen=float(data["产品净值"]) - float(data["可用余额"]), + currency="人民币", + trading_day=self.trading_day + ) + self.gateway.on_account(account) + + def query_position(self): + """获取持仓信息""" + + # 持仓的文件 + positions_csv = os.path.abspath(os.path.join(self.account_folder, + self.trading_date, + '{}{}.csv'.format( + PB_FILE_NAMES.get('positions'), + self.trading_date))) + # csv => 所有持仓清单 + position_list = self.get_data(positions_csv) + if not position_list: + return + + for data in position_list: + if data["资金账户"] != self.userid: + continue + symbol = data["证券代码"] + + # symbol => Exchange + exchange = symbol_exchange_map.get(symbol, None) + if not exchange: + exchange_str = get_stock_exchange(code=symbol) + if len(exchange_str) > 0: + exchange = Exchange(exchange_str) + symbol_exchange_map.update({symbol: exchange}) + + name = symbol_name_map.get(symbol, None) + if not name: + name = data["证券名称"] + symbol_name_map.update({symbol: name}) + + position = PositionData( + gateway_name=self.gateway_name, + accountid=self.userid, + symbol=data["证券代码"], + exchange=exchange, + direction=Direction.NET, + name=name, + volume=int(data["持仓数量"]), + yd_volume=int(data["可用数量"]), + price=float(data["成本价"]), + cur_price=float(data["最新价"]), + pnl=float(data["浮动盈亏"]), + holder_id=data["股东"] + ) + self.gateway.on_position(position) + + def query_orders(self): + """获取所有委托""" + # 所有委托的文件 + orders_csv = os.path.abspath(os.path.join(self.account_folder, + self.trading_date, + '{}{}.csv'.format( + PB_FILE_NAMES.get('orders'), + self.trading_date))) + + # csv => 所有委托记录 + order_list = self.get_data(orders_csv) + if not order_list: + return + + for data in order_list: + if data["资金账户"] != self.userid: + continue + + sys_orderid = str(data["委托序号"]) + + # 检查是否存在本地order_manager缓存中 + order = self.gateway.order_manager.get_order_with_sys_orderid(sys_orderid) + order_date = data["委托日期"] + order_time = data["委托时间"] + order_status = STATUS_NAME2VT.get(data["委托状态"]) + if order is None: + local_orderid = self.gateway.order_manager.get_local_orderid(sys_orderid) + order_dt = datetime.strptime(f'{order_date} {order_time}', "%Y%m%d %H%M%S") + order = OrderData( + gateway_name=self.gateway_name, + symbol=data["证券代码"], + exchange=EXCHANGE_NAME2VT.get(data["交易市场"]), + orderid=local_orderid, + sys_orderid=sys_orderid, + accountid=self.userid, + type=ORDERTYPE_NAME2VT.get(data["价格类型"], OrderType.LIMIT), + direction=DIRECTION_STOCK_NAME2VT.get(data["委托方向"]), + offset=Offset.NONE, + price=float(data["委托价格"]), + volume=float(data["委托数量"]), + traded=float(data["成交数量"]), + status=order_status, + datetime=order_dt, + time=order_dt.strftime('%H:%M:%S') + ) + self.gateway.order_manager.on_order(order) + continue + else: + if order.status != order_status or order.traded != float(data["成交数量"]): + order.traded = float(data["成交数量"]) + order.status = order_status + self.gateway.order_manager.on_order(order) + continue + + def query_trades(self): + """获取所有成交""" + # 所有成交的文件 + trades_csv = os.path.abspath(os.path.join(self.account_folder, + self.trading_date, + '{}{}.csv'.format( + PB_FILE_NAMES.get('trades'), + self.trading_date))) + + # csv => 所有成交记录 + trade_list = self.get_data(trades_csv) + if not trade_list: + return + + for data in trade_list: + if data["资金账户"] != self.userid: + continue + + sys_orderid = str(data["委托序号"]) + sys_tradeid = str(data["成交序号"]) + + # 检查是否存在本地trades缓存中 + trade = self.trades.get(sys_tradeid, None) + + if trade is None: + local_orderid = self.gateway.order_manager.get_local_orderid(sys_orderid) + trade_date = data["成交日期"] + trade_time = data["成交时间"] + trade_dt = datetime.strptime(f'{trade_date} {trade_time}', "%Y%m%d %H%M%S") + trade = TradeData( + gateway_name=self.gateway_name, + symbol=data["证券代码"], + exchange=EXCHANGE_NAME2VT.get(data["交易市场"]), + orderid=local_orderid, + tradeid=sys_tradeid, + sys_orderid=sys_orderid, + accountid=self.userid, + direction=DIRECTION_STOCK_NAME2VT.get(data["委托方向"]), + offset=Offset.NONE, + price=float(data["成交价格"]), + volume=float(data["成交数量"]), + datetime=trade_dt, + time=trade_dt.strftime('%H:%M:%S'), + trade_amount=float(data["成交金额"]), + commission=float(data["总费用"]) + ) + self.trades[sys_tradeid] = trade + self.gateway.on_trade(copy.copy(trade)) + continue + + def check_send_order(self): + """检查更新委托文件""" + # 当日send_order的文件 + send_order_csv = os.path.abspath(os.path.join(self.order_folder, + '{}{}.csv'.format( + PB_FILE_NAMES.get('send_order'), + self.trading_date))) + # csv => 所有send_order记录 + order_list = self.get_data(send_order_csv, field_names=SEND_ORDER_FIELDS.keys()) + + # 逐一处理 + for data in order_list: + local_orderid = data.get('WBZDYXH', "").lstrip(' ') + if local_orderid is "": + continue + + if local_orderid not in self.unchecked_orderids: + continue + + # 从本地order_manager中获取order + order = self.gateway.order_manager.get_order_with_local_orderid(local_orderid) + # 判断order取不到，或者order状态不是SUBMITTING + if order is None or order.status != Status.SUBMITTING: + continue + + # 检查是否具有系统委托编号 + if order.sys_orderid == "": + sys_orderid = data.get('WTXH', '').lstrip(' ') + if len(sys_orderid) == 0: + continue + + # 委托失败标志 + if sys_orderid == "0": + err_msg = data.get('SBYY', '').lstrip(' ') + err_id = data.get('WTSBDM', '').lstrip(' ') + order.status = Status.REJECTED + self.gateway.order_manager.on_order(order) + self.gateway.write_error(msg=err_msg, error={"ErrorID": err_id, "ErrorMsg": "委托失败"}) + else: + self.gateway.order_manager.update_orderid_map(local_orderid=local_orderid, sys_orderid=sys_orderid) + order.sys_orderid = sys_orderid + order.status = Status.NOTTRADED + self.gateway.order_manager.on_order(order) + self.gateway.write_log(f'委托成功') + + # 移除检查的id + self.gateway.write_log(f'本地委托单更新检查完毕，移除{local_orderid}') + self.unchecked_orderids.remove(local_orderid) + + def send_order(self, req: OrderRequest): + """委托""" + # 创建本地orderid + local_orderid = self.gateway.order_manager.new_local_orderid() + + # req => order + order = req.create_order_data(orderid=local_orderid, gateway_name=self.gateway_name) + + csv_file = os.path.abspath(os.path.join(self.order_folder, + '{}{}.csv'.format(PB_FILE_NAMES.get('send_order'), self.trading_date))) + # 股票买卖，强制offset = Offset.NONE + order.offset = Offset.NONE + + data = { + "CPBH": self.product_id, # 产品代码/基金代码 <-- 输入参数 --> + "ZCDYBH": self.unit_id, # 单元编号/组合编号 + "ZHBH": self.unit_id, # 组合编号 + "GDDM": self.holder_ids.get(order.exchange), # 股东代码 + "JYSC": EXCHANGE_VT2PB.get(order.exchange), # 交易市场 + "ZQDM": order.symbol, # 证券代码 + "WTFX": DIRECTION_STOCK_VT2PB.get((order.direction, order.offset)), # 委托方向 + "WTJGLX": get_pb_order_type(order.exchange, order.type), # 委托价格类型 + "WTJG": round(order.price, 4), # 委托价格 + "WTSL": int(order.volume), # 委托数量 + "WBZDYXH": local_orderid # 第三方系统自定义号 + } + + # 更新所有字段得长度 + order_data = format_dict(data, SEND_ORDER_FIELDS) + + append_data(file_name=csv_file, + dict_data=order_data, + field_names=SEND_ORDER_FIELDS.keys(), + auto_header=False, + encoding='gbk') + + # 设置状态为提交中 + order.status = Status.SUBMITTING + # 添加待检查列表 + self.unchecked_orderids.append(local_orderid) + # 登记并发送on_order事件 + self.gateway.order_manager.on_order(order) + + # 添加定时检查任务 + if self.check_send_order not in self.gateway.query_functions: + self.gateway.write_log(f'添加定时检查到任务队列中') + self.gateway.query_functions.append(self.check_send_order) + + def cancel_order(self, req: CancelRequest): + """撤单""" + + # 获取订单 + order = self.gateway.order_manager.get_order_with_local_orderid(local_orderid=req.orderid) + + # 订单不存在，或者已经全部成交，已经被拒单，已经撤单 + if order is None or order.status in [Status.ALLTRADED, Status.REJECTED, Status.CANCELLING, Status.CANCELLED]: + self.gateway.write_log(f'订单{req.orderid}不存在, 撤单失败') + return False + + sys_orderid = self.gateway.order_manager.get_sys_orderid(req.orderid) + + if len(sys_orderid) == 0: + self.gateway.write_log(f'订单{req.orderid}=》系统委托id不存在，撤单失败') + return False + + data = { + "WTXH": sys_orderid, # 委托序号 + } + # 更新所有字段得长度 + cancel_data = format_dict(data, CANCEL_ORDER_FIELDS) + + csv_file = os.path.abspath(os.path.join(self.order_folder, + '{}{}.csv'.format(PB_FILE_NAMES.get('cancel_order'), self.trading_date))) + append_data(file_name=csv_file, + dict_data=cancel_data, + field_names=CANCEL_ORDER_FIELDS.keys(), + auto_header=False, + encoding='gbk') + return True diff --git a/vnpy/gateway/rohon/rohon_gateway.py b/vnpy/gateway/rohon/rohon_gateway.py index cf87503a..4b7f1187 100644 --- a/vnpy/gateway/rohon/rohon_gateway.py +++ b/vnpy/gateway/rohon/rohon_gateway.py @@ -67,7 +67,8 @@ from vnpy.trader.utility import ( get_trading_date, get_underlying_symbol, round_to, - BarGenerator + BarGenerator, + print_dict ) from vnpy.trader.event import EVENT_TIMER @@ -214,6 +215,12 @@ class RohonGateway(BaseGateway): self.combiner_conf_dict = c.get_config() if len(self.combiner_conf_dict) > 0: self.write_log(u'加载的自定义价差/价比配置:{}'.format(self.combiner_conf_dict)) + + contract_dict = c.get_contracts() + for vt_symbol, contract in contract_dict.items(): + contract.gateway_name = self.gateway_name + self.on_contract(contract) + except Exception as ex: # noqa pass diff --git a/vnpy/gateway/xtp/xtp_gateway.py b/vnpy/gateway/xtp/xtp_gateway.py index 6bef4c6c..7ef08d22 100644 --- a/vnpy/gateway/xtp/xtp_gateway.py +++ b/vnpy/gateway/xtp/xtp_gateway.py @@ -200,7 +200,7 @@ class XtpGateway(BaseGateway): def process_timer_event(self, event) -> None: """""" self.count += 1 - if self.count < 2: + if self.count < 5: return self.count = 0 @@ -371,6 +371,8 @@ class XtpMdApi(MdApi): min_volume=data["buy_qty_unit"], gateway_name=self.gateway_name ) + #if contract.symbol.startswith('1230'): + # self.gateway.write_log(msg=f'合约信息:{contract.__dict__}') self.gateway.on_contract(contract) # 更新最新价 diff --git a/vnpy/trader/constant.py b/vnpy/trader/constant.py index 17d1e02d..1a3bc789 100644 --- a/vnpy/trader/constant.py +++ b/vnpy/trader/constant.py @@ -43,6 +43,7 @@ class Status(Enum): CANCELLED = "已撤销" CANCELLING = "撤销中" REJECTED = "拒单" + UNKNOWN = "未知" class Product(Enum): @@ -95,9 +96,12 @@ class Exchange(Enum): SZSE = "SZSE" # Shenzhen Stock Exchange SGE = "SGE" # Shanghai Gold Exchange WXE = "WXE" # Wuxi Steel Exchange + CFETS = "CFETS" # China Foreign Exchange Trade System # Global SMART = "SMART" # Smart Router for US stocks + NYSE = "NYSE" # New York Stock Exchnage + NASDAQ = "NASDAQ" # Nasdaq Exchange NYMEX = "NYMEX" # New York Mercantile Exchange COMEX = "COMEX" # a division of theNew York Mercantile Exchange GLOBEX = "GLOBEX" # Globex of CME diff --git a/vnpy/trader/converter.py b/vnpy/trader/converter.py index f26868fd..71da7e00 100644 --- a/vnpy/trader/converter.py +++ b/vnpy/trader/converter.py @@ -57,10 +57,11 @@ class OffsetConverter: def get_position_holding(self, vt_symbol: str, gateway_name: str = '') -> "PositionHolding": """获取持仓信息""" - if len(gateway_name) == 0: + if gateway_name is None or len(gateway_name) == 0: contract = self.main_engine.get_contract(vt_symbol) if contract: gateway_name = contract.gateway_name + k = f'{gateway_name}.{vt_symbol}' holding = self.holdings.get(k, None) if not holding: diff --git a/vnpy/trader/gateway.py b/vnpy/trader/gateway.py index 21172eb6..5fa796f2 100644 --- a/vnpy/trader/gateway.py +++ b/vnpy/trader/gateway.py @@ -331,13 +331,15 @@ class LocalOrderManager: Management tool to support use local order id for trading. """ - def __init__(self, gateway: BaseGateway, order_prefix: str = ""): + def __init__(self, gateway: BaseGateway, order_prefix: str = "", order_rjust:int = 8): """""" self.gateway: BaseGateway = gateway # For generating local orderid self.order_prefix: str = order_prefix + self.order_rjust: int = order_rjust self.order_count: int = 0 + self.orders: Dict[str, OrderData] = {} # local_orderid: order # Map between local and system orderid @@ -362,7 +364,7 @@ class LocalOrderManager: Generate a new local orderid. """ self.order_count += 1 - local_orderid = self.order_prefix + str(self.order_count).rjust(8, "0") + local_orderid = self.order_prefix + str(self.order_count).rjust(self.order_rjust, "0") return local_orderid def get_local_orderid(self, sys_orderid: str) -> str: @@ -421,8 +423,11 @@ class LocalOrderManager: def get_order_with_local_orderid(self, local_orderid: str) -> OrderData: """""" - order = self.orders[local_orderid] - return copy(order) + order = self.orders.get(local_orderid, None) + if order: + return copy(order) + else: + return None def on_order(self, order: OrderData) -> None: """ diff --git a/vnpy/trader/ui/widget.py b/vnpy/trader/ui/widget.py index 646a737e..6cfa5e8f 100644 --- a/vnpy/trader/ui/widget.py +++ b/vnpy/trader/ui/widget.py @@ -1041,7 +1041,7 @@ class ContractManager(QtWidgets.QWidget): all_contracts = self.main_engine.get_all_contracts() if flt: contracts = [ - contract for contract in all_contracts if flt in contract.vt_symbol + contract for contract in all_contracts if flt in contract.vt_symbol.lower() ] else: contracts = all_contracts diff --git a/vnpy/trader/utility.py b/vnpy/trader/utility.py index 5140a9db..fef74bca 100644 --- a/vnpy/trader/utility.py +++ b/vnpy/trader/utility.py @@ -344,7 +344,7 @@ def get_csv_last_dt(file_name, dt_index=0, dt_format='%Y-%m-%d %H:%M:%S', line_l return None return None -def append_data(file_name: str, dict_data: dict, field_names: list = []): +def append_data(file_name: str, dict_data: dict, field_names: list = [], auto_header=True, encoding='utf8'): """ 添加数据到csv文件中 :param file_name: csv的文件全路径 @@ -354,15 +354,16 @@ def append_data(file_name: str, dict_data: dict, field_names: list = []): dict_fieldnames = sorted(list(dict_data.keys())) if len(field_names) == 0 else field_names try: - if not os.path.exists(file_name): + if not os.path.exists(file_name): # or os.path.getsize(file_name) == 0: print(u'create csv file:{}'.format(file_name)) with open(file_name, 'a', encoding='utf8', newline='\n') as csvWriteFile: writer = csv.DictWriter(f=csvWriteFile, fieldnames=dict_fieldnames, dialect='excel') - print(u'write csv header:{}'.format(dict_fieldnames)) - writer.writeheader() + if auto_header: + print(u'write csv header:{}'.format(dict_fieldnames)) + writer.writeheader() writer.writerow(dict_data) else: - with open(file_name, 'a', encoding='utf8', newline='\n') as csvWriteFile: + with open(file_name, 'a', encoding=encoding, newline='\n') as csvWriteFile: writer = csv.DictWriter(f=csvWriteFile, fieldnames=dict_fieldnames, dialect='excel', extrasaction='ignore') writer.writerow(dict_data)