Merge pull request #1485 from 1122455801/tiger_gateway_version_06
[Mod] tiger_gateway.py
This commit is contained in:
vn.py
GitHub
commit
9cad3587a2
@ -116,6 +116,8 @@ class TigerGateway(BaseGateway):
|
||||
self.queue = Queue()
|
||||
self.pool = None
|
||||
|
||||
self.ID_TIGER2VT = {}
|
||||
self.ID_VT2TIGER = {}
|
||||
self.ticks = {}
|
||||
self.trades = set()
|
||||
self.contracts = {}
|
||||
@ -125,18 +127,14 @@ class TigerGateway(BaseGateway):
|
||||
""""""
|
||||
while self.active:
|
||||
try:
|
||||
func, arg = self.queue.get(timeout=0.1)
|
||||
print(func, arg)
|
||||
if arg:
|
||||
func(arg)
|
||||
else:
|
||||
func()
|
||||
func, args = self.queue.get(timeout=0.1)
|
||||
func(*args)
|
||||
except Empty:
|
||||
pass
|
||||
|
||||
def add_task(self, func, arg=None):
|
||||
def add_task(self, func, *args):
|
||||
""""""
|
||||
self.queue.put((func, arg))
|
||||
self.queue.put((func, [*args]))
|
||||
|
||||
def connect(self, setting: dict):
|
||||
""""""
|
||||
@ -157,9 +155,6 @@ class TigerGateway(BaseGateway):
|
||||
self.add_task(self.connect_quote)
|
||||
self.add_task(self.connect_trade)
|
||||
self.add_task(self.connect_push)
|
||||
self.write_log("行情接口连接成功")
|
||||
|
||||
# self.thread.start()
|
||||
|
||||
def init_client_config(self, sandbox=True):
|
||||
""""""
|
||||
@ -183,6 +178,7 @@ class TigerGateway(BaseGateway):
|
||||
self.write_log("查询合约失败")
|
||||
return
|
||||
|
||||
self.write_log("行情接口连接成功")
|
||||
self.write_log("合约查询成功")
|
||||
|
||||
def connect_trade(self):
|
||||
@ -256,6 +252,8 @@ class TigerGateway(BaseGateway):
|
||||
def on_asset_change(self, tiger_account: str, data: list):
|
||||
""""""
|
||||
data = dict(data)
|
||||
if "net_liquidation" not in data:
|
||||
return
|
||||
|
||||
account = AccountData(
|
||||
accountid=tiger_account,
|
||||
@ -274,7 +272,7 @@ class TigerGateway(BaseGateway):
|
||||
symbol=symbol,
|
||||
exchange=exchange,
|
||||
direction=Direction.NET,
|
||||
volume=data["quantity"],
|
||||
volume=int(data["quantity"]),
|
||||
frozen=0.0,
|
||||
price=data["average_cost"],
|
||||
pnl=data["unrealized_pnl"],
|
||||
@ -283,18 +281,16 @@ class TigerGateway(BaseGateway):
|
||||
self.on_position(pos)
|
||||
|
||||
def on_order_change(self, tiger_account: str, data: list):
|
||||
""""""
|
||||
print("委托", data)
|
||||
self.local_id += 1
|
||||
""""""
|
||||
data = dict(data)
|
||||
print("委托推送", data["origin_symbol"], data["order_id"], data["filled"], data["status"])
|
||||
symbol, exchange = convert_symbol_tiger2vt(data["origin_symbol"])
|
||||
status = PUSH_STATUS_TIGER2VT[data["status"]]
|
||||
|
||||
order = OrderData(
|
||||
symbol=symbol,
|
||||
exchange=exchange,
|
||||
# orderid=data["order_id"],
|
||||
orderid=self.local_id,
|
||||
orderid=self.ID_TIGER2VT.get(str(data["order_id"]), self.get_new_local_id()),
|
||||
direction=Direction.NET,
|
||||
price=data.get("limit_price", 0),
|
||||
volume=data["quantity"],
|
||||
@ -313,28 +309,30 @@ class TigerGateway(BaseGateway):
|
||||
exchange=exchange,
|
||||
direction=Direction.NET,
|
||||
tradeid=self.tradeid,
|
||||
orderid=data["order_id"],
|
||||
orderid=self.ID_TIGER2VT[str(data["order_id"])],
|
||||
price=data["avg_fill_price"],
|
||||
volume=data["filled"],
|
||||
time=datetime.fromtimestamp(data["trade_time"] / 1000).strftime("%H:%M:%S"),
|
||||
gateway_name=self.gateway_name,
|
||||
)
|
||||
self.on_trade(trade)
|
||||
|
||||
def get_new_local_id(self):
|
||||
self.local_id += 1
|
||||
return self.local_id
|
||||
|
||||
def send_order(self, req: OrderRequest):
|
||||
""""""
|
||||
self.local_id += 1
|
||||
order = req.create_order_data(self.local_id, self.gateway_name)
|
||||
return order.vt_orderid
|
||||
local_id = self.get_new_local_id()
|
||||
order = req.create_order_data(local_id, self.gateway_name)
|
||||
|
||||
self.on_order(order)
|
||||
self.add_task(self._send_order, req, local_id)
|
||||
return order.vt_orderid
|
||||
|
||||
self.add_task(self._send_order, req)
|
||||
|
||||
def _send_order(self, req: OrderRequest):
|
||||
def _send_order(self, req: OrderRequest, local_id):
|
||||
""""""
|
||||
currency = config_symbol_currency(req.symbol)
|
||||
|
||||
# first, get contract
|
||||
try:
|
||||
contract = self.trade_client.get_contracts(symbol=req.symbol, currency=currency)[0]
|
||||
order = self.trade_client.create_order(
|
||||
@ -345,8 +343,14 @@ class TigerGateway(BaseGateway):
|
||||
quantity=int(req.volume),
|
||||
limit_price=req.price,
|
||||
)
|
||||
self.ID_TIGER2VT[str(order.order_id)] = local_id
|
||||
self.ID_VT2TIGER[local_id] = str(order.order_id)
|
||||
|
||||
self.trade_client.place_order(order)
|
||||
print("发单:", order.contract.symbol, order.order_id, order.quantity, order.status)
|
||||
|
||||
except: # noqa
|
||||
traceback.print_exc()
|
||||
self.write_log("发单失败")
|
||||
return
|
||||
|
||||
@ -357,7 +361,8 @@ class TigerGateway(BaseGateway):
|
||||
def _cancel_order(self, req: CancelRequest):
|
||||
""""""
|
||||
try:
|
||||
data = self.trade_client.cancel_order(order_id=req.orderid)
|
||||
order_id = self.ID_VT2TIGER[req.orderid]
|
||||
data = self.trade_client.cancel_order(order_id=order_id)
|
||||
except ApiException:
|
||||
self.write_log(f"撤单失败：{req.orderid}")
|
||||
|
||||
@ -420,8 +425,7 @@ class TigerGateway(BaseGateway):
|
||||
for ix, row in contract_CN.iterrows():
|
||||
symbol = row["symbol"]
|
||||
symbol, exchange = convert_symbol_tiger2vt(symbol)
|
||||
if symbol == '600001':
|
||||
print(f"symbol: {symbol} t:{type(symbol)} l:{len(symbol)} ex:{exchange} n:{row['name']}")
|
||||
|
||||
contract = ContractData(
|
||||
symbol=symbol,
|
||||
exchange=exchange,
|
||||
@ -467,7 +471,7 @@ class TigerGateway(BaseGateway):
|
||||
symbol=symbol,
|
||||
exchange=exchange,
|
||||
direction=Direction.NET,
|
||||
volume=i.quantity,
|
||||
volume=int(i.quantity),
|
||||
frozen=0.0,
|
||||
price=i.average_cost,
|
||||
pnl=float(i.unrealized_pnl),
|
||||
@ -500,12 +504,12 @@ class TigerGateway(BaseGateway):
|
||||
""""""
|
||||
for i in data:
|
||||
symbol, exchange = convert_symbol_tiger2vt(str(i.contract))
|
||||
self.local_id += 1
|
||||
local_id = self.get_new_local_id()
|
||||
|
||||
order = OrderData(
|
||||
symbol=symbol,
|
||||
exchange=exchange,
|
||||
orderid=self.local_id,
|
||||
# orderid=str(i.order_id),
|
||||
orderid=local_id,
|
||||
direction=Direction.NET,
|
||||
price=i.limit_price if i.limit_price else 0.0,
|
||||
volume=i.quantity,
|
||||
@ -514,17 +518,20 @@ class TigerGateway(BaseGateway):
|
||||
time=datetime.fromtimestamp(i.order_time / 1000).strftime("%H:%M:%S"),
|
||||
gateway_name=self.gateway_name,
|
||||
)
|
||||
|
||||
self.ID_TIGER2VT[str(i.order_id)] = local_id
|
||||
self.on_order(order)
|
||||
|
||||
self.ID_VT2TIGER = {v: k for k, v in self.ID_TIGER2VT.items()}
|
||||
print("原始委托字典", self.ID_TIGER2VT)
|
||||
print("原始反向字典", self.ID_VT2TIGER)
|
||||
|
||||
def process_deal(self, data):
|
||||
"""
|
||||
Process trade data for both query and update.
|
||||
"""
|
||||
for i in reversed(data):
|
||||
for i in data:
|
||||
if i.status == ORDER_STATUS.PARTIALLY_FILLED or i.status == ORDER_STATUS.FILLED:
|
||||
symbol, exchange = convert_symbol_tiger2vt(str(i.contract))
|
||||
self.local_id += 1
|
||||
self.tradeid += 1
|
||||
|
||||
trade = TradeData(
|
||||
@ -532,7 +539,7 @@ class TigerGateway(BaseGateway):
|
||||
exchange=exchange,
|
||||
direction=Direction.NET,
|
||||
tradeid=self.tradeid,
|
||||
orderid=self.local_id,
|
||||
orderid=self.ID_TIGER2VT[str(i.order_id)],
|
||||
price=i.avg_fill_price,
|
||||
volume=i.filled,
|
||||
time=datetime.fromtimestamp(i.trade_time / 1000).strftime("%H:%M:%S"),
|
||||
|
||||
Loading…
Reference in New Issue
Block a user