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[Fix] OesGateway:修复一个BUG：多个打开多个vnpy实例时重连会导致重连的服务器混乱的问题

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[Fix] OesGateway:修复成交委托号为0的BUG

Windows version fix only. Linux not supported yet.
This commit is contained in:
nanoric 2019-03-14 07:37:23 -04:00
parent cc129b3e2c
commit 9b4f360bef
6 changed files with 570 additions and 272 deletions
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vnpy/api/oes/vnoes.pyd
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vnpy/api/oes/vnoes.pyi
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6
vnpy/gateway/oes/oes_gateway.py
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@ -69,7 +69,13 @@ class OesGateway(BaseGateway):
log_path=log_path)
f.write(content)
self.md_api.tcp_server = setting['md_tcp_server']
self.md_api.qry_server = setting['md_qry_server']
Thread(target=self._connect_md_sync, args=(config_path, username, password)).start()
self.td_api.ord_server = setting['td_ord_server']
self.td_api.rpt_server = setting['td_rpt_server']
self.td_api.qry_server = setting['td_qry_server']
Thread(target=self._connect_td_sync, args=(config_path, username, password)).start()
def _connect_td_sync(self, config_path, username, password):

45
vnpy/gateway/oes/oes_md.py
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@ -5,14 +5,15 @@ from threading import Thread
# noinspection PyUnresolvedReferences
from typing import Any, Callable, Dict
from vnpy.api.oes.vnoes import MdsApiClientEnvT, MdsApi_DestoryAll, MdsApi_InitAllByConvention, \
MdsApi_IsValidQryChannel, MdsApi_IsValidTcpChannel, MdsApi_LogoutAll, MdsApi_SetThreadPassword, \
from vnpy.api.oes.vnoes import MdsApiClientEnvT, MdsApi_DestoryAll, MdsApi_InitLogger, \
MdsApi_InitTcpChannel2, MdsApi_IsValidTcpChannel, MdsApi_LogoutAll, MdsApi_SetThreadPassword, \
MdsApi_SetThreadUsername, MdsApi_SubscribeMarketData, MdsApi_WaitOnMsg, MdsL2StockSnapshotBodyT, \
MdsMktDataRequestEntryT, MdsMktDataRequestReqT, MdsMktRspMsgBodyT, MdsStockSnapshotBodyT, \
SGeneralClientChannelT, SMsgHeadT, SPlatform_IsNegEpipe, cast, \
MdsMktDataRequestEntryT, MdsMktDataRequestReqBufT, MdsMktDataRequestReqT, MdsMktRspMsgBodyT, \
MdsStockSnapshotBodyT, SGeneralClientChannelT, SMsgHeadT, SPlatform_IsNegEpipe, cast, \
eMdsExchangeIdT, eMdsMktSubscribeFlagT, eMdsMsgTypeT, eMdsSecurityTypeT, eMdsSubscribeDataTypeT, \
eMdsSubscribeModeT, eMdsSubscribedTickExpireTypeT, eSMsgProtocolTypeT
eMdsSubscribeModeT, eMdsSubscribedTickExpireTypeT, eMdsSubscribedTickTypeT, eSMsgProtocolTypeT
from vnpy.gateway.oes.utils import create_remote_config
from vnpy.trader.constant import Exchange
from vnpy.trader.gateway import BaseGateway
from vnpy.trader.object import SubscribeRequest, TickData
@ -36,7 +37,7 @@ class OesMdMessageLoop:
self._md = md
self._th = Thread(target=self._message_loop)
self.message_handlers: Dict[int, Callable[[dict], None]] = {
self.message_handlers: Dict[eMdsMsgTypeT, Callable[[MdsMktRspMsgBodyT], int]] = {
# tick & orderbook
eMdsMsgTypeT.MDS_MSGTYPE_MARKET_DATA_SNAPSHOT_FULL_REFRESH: self.on_market_full_refresh,
eMdsMsgTypeT.MDS_MSGTYPE_L2_MARKET_DATA_SNAPSHOT: self.on_l2_market_data_snapshot,
@ -65,8 +66,9 @@ class OesMdMessageLoop:
def start(self):
""""""
self._alive = True
self._th.start()
if not self._alive: # not thread-safe
self._alive = True
self._th.start()
def stop(self):
""""""
@ -212,6 +214,9 @@ class OesMdApi:
""""""
self.gateway = gateway
self.config_path: str = ''
self.tcp_server: str = ''
self.qry_server: str = ''
self.username: str = ''
self.password: str = ''
@ -223,16 +228,32 @@ class OesMdApi:
"""Connect to trading server.
:note set config_path before calling this function
"""
MdsApi_InitLogger(self.config_path, "log")
MdsApi_SetThreadUsername(self.username)
MdsApi_SetThreadPassword(self.password)
config_path = self.config_path
if not MdsApi_InitAllByConvention(self._env, config_path):
info = MdsMktDataRequestReqBufT()
info.mktDataRequestReq.subMode = eMdsSubscribeModeT.MDS_SUB_MODE_SET
info.mktDataRequestReq.tickType = eMdsSubscribedTickTypeT.MDS_TICK_TYPE_LATEST_SIMPLIFIED
info.mktDataRequestReq.isRequireInitialMktData = True
info.mktDataRequestReq.tickExpireType = eMdsSubscribedTickExpireTypeT.MDS_TICK_EXPIRE_TYPE_TIMELY
info.mktDataRequestReq.dataTypes = (eMdsSubscribeDataTypeT.MDS_SUB_DATA_TYPE_L1_SNAPSHOT
| eMdsSubscribeDataTypeT.MDS_SUB_DATA_TYPE_L2_SNAPSHOT
| eMdsSubscribeDataTypeT.MDS_SUB_DATA_TYPE_L2_BEST_ORDERS
| eMdsSubscribeDataTypeT.MDS_SUB_DATA_TYPE_L2_TRADE
| eMdsSubscribeDataTypeT.MDS_SUB_DATA_TYPE_L2_ORDER
)
info.mktDataRequestReq.beginTime = 0
info.mktDataRequestReq.subSecurityCnt = 0
if not MdsApi_InitTcpChannel2(self._env.tcpChannel,
create_remote_config(server=self.tcp_server,
username=self.username,
password=self.password),
info):
return False
if not MdsApi_IsValidTcpChannel(self._env.tcpChannel):
return False
if not MdsApi_IsValidQryChannel(self._env.qryChannel):
return False
return True
def start(self):

95
vnpy/gateway/oes/oes_td.py
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@ -5,18 +5,21 @@ from threading import Lock, Thread
# noinspection PyUnresolvedReferences
from typing import Any, Callable, Dict
from vnpy.api.oes.vnoes import OesApiClientEnvT, OesApi_DestoryAll, OesApi_InitAllByConvention, \
OesApi_IsValidOrdChannel, OesApi_IsValidQryChannel, OesApi_IsValidRptChannel, OesApi_LogoutAll, \
OesApi_QueryCashAsset, OesApi_QueryOptHolding, OesApi_QueryOption, OesApi_QueryOrder, \
OesApi_QueryStkHolding, OesApi_QueryStock, OesApi_SendOrderCancelReq, OesApi_SendOrderReq, \
OesApi_SetThreadPassword, OesApi_SetThreadUsername, OesApi_WaitReportMsg, OesOrdCancelReqT, \
OesOrdCnfmT, OesOrdRejectT, OesOrdReqT, OesQryCashAssetFilterT, OesQryCursorT, \
OesQryOptionFilterT, OesQryOrdFilterT, OesQryStkHoldingFilterT, OesQryStockFilterT, \
OesRspMsgBodyT, OesStockBaseInfoT, OesTrdCnfmT, SGeneralClientChannelT, SMSG_PROTO_BINARY, \
SMsgHeadT, SPlatform_IsNegEpipe, cast, eOesBuySellTypeT, eOesMarketIdT, \
eOesMsgTypeT, eOesOrdStatusT, eOesOrdTypeShT, eOesOrdTypeSzT
from vnpy.api.oes.vnoes import OesApiClientEnvT, OesApiSubscribeInfoT, OesApi_DestoryAll, \
OesApi_InitLogger, OesApi_InitOrdChannel2, OesApi_InitQryChannel2, OesApi_InitRptChannel2, \
OesApi_IsValidOrdChannel, OesApi_IsValidQryChannel, OesApi_LogoutAll, OesApi_QueryCashAsset, \
OesApi_QueryOptHolding, OesApi_QueryOption, OesApi_QueryOrder, OesApi_QueryStkHolding, \
OesApi_QueryStock, OesApi_SendOrderCancelReq, OesApi_SendOrderReq, OesApi_SetThreadPassword, \
OesApi_SetThreadUsername, OesApi_WaitReportMsg, OesOrdCancelReqT, OesOrdCnfmT, OesOrdRejectT, \
OesOrdReqT, OesQryCashAssetFilterT, OesQryCursorT, OesQryOptionFilterT, OesQryOrdFilterT, \
OesQryStkHoldingFilterT, OesQryStockFilterT, OesRspMsgBodyT, OesStockBaseInfoT, OesTrdCnfmT, \
SGeneralClientChannelT, SMSG_PROTO_BINARY, SMsgHeadT, SPlatform_IsNegEpipe, cast, \
eOesBuySellTypeT, eOesMarketIdT, eOesMsgTypeT, eOesOrdStatusT, eOesOrdTypeShT, eOesOrdTypeSzT, \
eOesSubscribeReportTypeT, OesApi_SetCustomizedDriverId, OesApi_GetCustomizedDriverId, \
OesApi_InitAllByConvention
from vnpy.gateway.oes.error_code import error_to_str
from vnpy.gateway.oes.utils import create_remote_config
from vnpy.trader.constant import Direction, Exchange, Offset, PriceType, Product, Status
from vnpy.trader.gateway import BaseGateway
from vnpy.trader.object import AccountData, CancelRequest, ContractData, OrderData, OrderRequest, \
@ -125,7 +128,7 @@ class OesTdMessageLoop:
self._alive = False
self._th = Thread(target=self._message_loop)
self.message_handlers: Dict[int, Callable[[dict], None]] = {
self.message_handlers: Dict[eOesMsgTypeT, Callable[[OesRspMsgBodyT], int]] = {
eOesMsgTypeT.OESMSG_RPT_BUSINESS_REJECT: self.on_order_rejected,
eOesMsgTypeT.OESMSG_RPT_ORDER_INSERT: self.on_order_inserted,
eOesMsgTypeT.OESMSG_RPT_ORDER_REPORT: self.on_order_report,
@ -140,8 +143,9 @@ class OesTdMessageLoop:
def start(self):
""""""
self._alive = True
self._th.start()
if not self._alive: # not thread-safe
self._alive = True
self._th.start()
def stop(self):
""""""
@ -196,7 +200,11 @@ class OesTdMessageLoop:
error_string = error_to_str(error_code)
data: OesOrdRejectT = d.rptMsg.rptBody.ordRejectRsp
if not data.origClSeqNo:
i = self._td.get_order(data.clSeqNo)
try:
i = self._td.get_order(data.clSeqNo)
except KeyError: # todo: check why KeyError at startup
# maybe I should find a way to disable subscription of orders at startup
return
vt_order = i.vt_order
if vt_order == Status.ALLTRADED:
@ -255,13 +263,13 @@ class OesTdMessageLoop:
gateway_name=self.gateway.gateway_name,
symbol=data.securityId,
exchange=EXCHANGE_OES2VT[data.mktId],
orderid=data.userInfo,
tradeid=data.exchTrdNum,
orderid=str(data.clSeqNo),
tradeid=str(data.exchTrdNum),
direction=vt_order.direction,
offset=vt_order.offset,
price=data.trdPrice / 10000,
volume=data.trdQty,
time=parse_oes_datetime(data.trdDate, data.trdTime)
time=parse_oes_datetime(data.trdDate, data.trdTime).isoformat()
)
vt_order.status = STATUS_OES2VT[data.ordStatus]
vt_order.traded = data.cumQty
@ -312,8 +320,11 @@ class OesTdApi:
def __init__(self, gateway: BaseGateway):
""""""
self.config_path: str = None
self.config_path: str = ''
self.username: str = ''
self.ord_server: str = ''
self.qry_server: str = ''
self.rpt_server: str = ''
self.password: str = ''
self.gateway = gateway
@ -332,19 +343,50 @@ class OesTdApi:
"""Connect to trading server.
:note set config_path before calling this function
"""
OesApi_InitLogger(self.config_path, 'log')
OesApi_SetThreadUsername(self.username)
OesApi_SetThreadPassword(self.password)
config_path = self.config_path
if not OesApi_InitAllByConvention(self._env, config_path, -1, self._last_seq_index):
hdd_id = "" # todo: get hdd_id if necessary
OesApi_SetCustomizedDriverId(hdd_id)
OesApi_InitAllByConvention(self._env, self.config_path, -1, 0)
if (not OesApi_InitOrdChannel2(self._env.ordChannel,
create_remote_config(self.ord_server,
self.username,
self.password),
0)
or not OesApi_IsValidOrdChannel(self._env.ordChannel)):
self.gateway.write_log(_("无法初始化交易下单通道(td_ord_server)"))
return False
self._last_seq_index = max(self._last_seq_index, self._env.ordChannel.lastOutMsgSeq + 1)
if (not OesApi_InitQryChannel2(self._env.qryChannel,
create_remote_config(self.qry_server,
self.username,
self.password))
or not OesApi_IsValidQryChannel(self._env.qryChannel)):
self.gateway.write_log(_("无法初始化交易查询通道(td_qry_server)"))
return False
if not OesApi_IsValidOrdChannel(self._env.ordChannel):
return False
if not OesApi_IsValidQryChannel(self._env.qryChannel):
return False
if not OesApi_IsValidRptChannel(self._env.rptChannel):
subscribe_info = OesApiSubscribeInfoT()
subscribe_info.clEnvId = 0
subscribe_info.rptTypes = (eOesSubscribeReportTypeT.OES_SUB_RPT_TYPE_BUSINESS_REJECT
| eOesSubscribeReportTypeT.OES_SUB_RPT_TYPE_ORDER_INSERT
| eOesSubscribeReportTypeT.OES_SUB_RPT_TYPE_ORDER_REPORT
| eOesSubscribeReportTypeT.OES_SUB_RPT_TYPE_TRADE_REPORT
| eOesSubscribeReportTypeT.OES_SUB_RPT_TYPE_FUND_TRSF_REPORT
| eOesSubscribeReportTypeT.OES_SUB_RPT_TYPE_CASH_ASSET_VARIATION
| eOesSubscribeReportTypeT.OES_SUB_RPT_TYPE_HOLDING_VARIATION
)
if (not OesApi_InitRptChannel2(self._env.rptChannel,
create_remote_config(self.rpt_server,
self.username,
self.password),
subscribe_info,
0)
or not OesApi_IsValidQryChannel(self._env.qryChannel)):
self.gateway.write_log(_("无法初始化交易查询通道(td_qry_server)"))
return False
return True
@ -489,7 +531,6 @@ class OesTdApi:
""""""
f = OesQryStkHoldingFilterT()
f.mktId = eOesMarketIdT.OES_MKT_ID_UNDEFINE
f.userInfo = 0
ret = OesApi_QueryOptHolding(self._env.qryChannel,
f,
self.on_query_holding
@ -658,7 +699,7 @@ class OesTdApi:
gateway_name=self.gateway.gateway_name,
symbol=data.securityId,
exchange=EXCHANGE_OES2VT[data.mktId],
orderid=order_id if order_id else data.origClSeqNo, # generated id
orderid=str(order_id if order_id else data.origClSeqNo), # generated id
direction=Direction.NET,
offset=offset,
price=data.ordPrice / 10000,

24
vnpy/gateway/oes/utils.py
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@ -1,6 +1,30 @@
import os
from vnpy.api.oes.vnoes import SGeneralClientRemoteCfgT, SGeneralClientAddrInfoT
mydir = os.path.dirname(__file__)
config_template_path = os.path.join(mydir, "config_template.ini")
with open(config_template_path, "rt", encoding='utf-8') as f:
config_template = f.read()
def create_remote_config(server: str, username: str, password: str):
cfg = SGeneralClientRemoteCfgT()
cfg.username = username
cfg.password = password
cfg.addrCnt = 1
cfg.addrList[0].uri = server
cfg.clEnvId = 0
cfg.clusterType = 0
cfg.socketOpt.soRcvbuf = 8192
cfg.socketOpt.soSndbuf = 8192
cfg.socketOpt.connTimeoutMs = 5000
cfg.socketOpt.tcpNodelay = 1
cfg.socketOpt.quickAck = 1
cfg.socketOpt.keepalive = 1
cfg.socketOpt.keepIdle = 60
cfg.socketOpt.keepIntvl = 5
cfg.socketOpt.keepCnt = 9
return cfg