dev
This commit is contained in:
nanoric
parent
a54699b11d
commit
a280758809
@ -114,8 +114,6 @@ class OesMdMessageLoop:
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data: MdsL2StockSnapshotBodyT = d.mktDataSnapshot.l2Stock
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symbol = str(data.SecurityID)
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tick = self.get_last_tick(symbol)
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tick.limit_up = data.HighPx / 10000
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tick.limit_down = data.LowPx / 10000
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tick.open_price = data.OpenPx / 10000
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tick.pre_close = data.ClosePx / 10000
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tick.high_price = data.HighPx / 10000
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@ -131,8 +129,6 @@ class OesMdMessageLoop:
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data: MdsStockSnapshotBodyT = d.mktDataSnapshot.stock
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symbol = data.SecurityID
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tick = self.get_last_tick(symbol)
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tick.limit_up = data.HighPx / 10000
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tick.limit_down = data.LowPx / 10000
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tick.open_price = data.OpenPx / 10000
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tick.pre_close = data.ClosePx / 10000
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tick.high_price = data.HighPx / 10000
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@ -19,30 +19,12 @@ class OesGateway(BaseGateway):
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VN Trader Gateway for BitMEX connection.
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"""
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def on_tick(self, tick: TickData):
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super().on_tick(tick)
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def on_trade(self, trade: TradeData):
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super().on_trade(trade)
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def on_order(self, order: OrderData):
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super().on_order(order)
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def on_position(self, position: PositionData):
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super().on_position(position)
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def on_account(self, account: AccountData):
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super().on_account(account)
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def on_contract(self, contract: ContractData):
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super().on_contract(contract)
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default_setting = {
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"td_ord_server": "tcp://106.15.58.119:6101",
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"td_rpt_server": "tcp://106.15.58.119:6301",
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"td_qry_server": "tcp://106.15.58.119:6401",
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"md_tcp_server": "tcp://139.196.228.232:5103",
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"md_qry_server": "tcp://139.196.228.232:5203",
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"td_ord_server": "",
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"td_rpt_server": "",
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"td_qry_server": "",
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"md_tcp_server": "",
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"md_qry_server": "",
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"username": "",
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"password": "",
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}
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@ -81,10 +63,12 @@ class OesGateway(BaseGateway):
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f.write(content)
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self.td_api.connect(str(config_path))
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self.td_api.query_account()
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self.td_api.query_contracts()
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self.td_api.query_position()
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self.td_api.init_query_orders()
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self.td_api.start()
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self.md_api.connect(str(config_path))
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@ -103,18 +87,17 @@ class OesGateway(BaseGateway):
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def cancel_order(self, req: CancelRequest):
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""""""
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return self.td_api.cancel_order(req)
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self.td_api.cancel_order(req)
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def query_account(self):
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""""""
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return self.td_api.query_account()
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self.td_api.query_account()
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def query_position(self):
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""""""
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return self.query_position()
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self.td_api.query_position()
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def close(self):
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""""""
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self.md_api.stop()
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self.td_api.stop()
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pass
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@ -89,8 +89,6 @@ STATUS_OES2VT = {
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class InternalOrder:
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order_id: int = None
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vt_order: OrderData = None
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req_data: OesOrdReqT = None
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rpt_data: OesOrdCnfmT = None
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class OrderManager:
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@ -99,9 +97,6 @@ class OrderManager:
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self.last_order_id = 100000000
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self._orders: Dict[int, InternalOrder] = {}
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# key tuple: seqNo, ordId, envId, userInfo
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self._remote_created_orders: Dict[Tuple[int, int, int, int], InternalOrder] = {}
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@staticmethod
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def hash_remote_order(data):
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key = (data.origClSeqNo, data.origClOrdId, data.origClEnvId, data.userInfo)
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@ -112,59 +107,24 @@ class OrderManager:
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key = (data.clSeqNo, data.clOrdId, data.clEnvId, data.userInfo)
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return key
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def new_local_id(self):
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id = self.last_order_id
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self.last_order_id += 1
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return id
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def new_remote_id(self):
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id = self.last_order_id
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self.last_order_id += 1
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return id
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def save_local_created(self, order_id: int, order: OrderData, oes_req: OesOrdReqT):
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def save_local_created(self, order_id: int, order: OrderData):
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print(f"saved order, id:{order_id}")
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self._orders[order_id] = InternalOrder(
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order_id=order_id,
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vt_order=order,
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req_data=oes_req
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)
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def save_remote_created(self, order_id: int, vt_order: OrderData, data: OesOrdCnfmT):
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internal_order = InternalOrder(
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order_id=order_id,
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vt_order=vt_order,
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rpt_data=data
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)
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self._orders[order_id] = internal_order
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key = self.hash_remote_order(data)
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self._remote_created_orders[key] = internal_order
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def save_remote_created(self, order_id: int, vt_order: OrderData):
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return self.save_local_created(order_id, vt_order)
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def get_from_order_id(self, id: int):
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return self._orders[id]
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def get_remote_created_order_from_oes_data(self, data):
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"""
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:return: internal_order if succeed else None, will check only remote created order
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"""
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try:
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key = self.hash_remote_order(data)
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except AttributeError:
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key = self.hash_remote_trade(data)
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try:
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return self._remote_created_orders[key]
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except KeyError:
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return None
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def get_from_oes_data(self, data):
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try:
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key = self.hash_remote_order(data)
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except AttributeError:
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key = self.hash_remote_trade(data)
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try:
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return self._remote_created_orders[key]
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except KeyError:
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order_id = key[3]
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return self._orders[order_id]
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return data.clSeqNo
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def get_order_id_from_data(self, data):
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return self.get_from_order_id(self.get_from_oes_data(data))
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class OesTdMessageLoop:
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@ -184,7 +144,7 @@ class OesTdMessageLoop:
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self.th = Thread(target=self.message_loop)
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self.message_handlers: Dict[int, Callable[[dict], None]] = {
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eOesMsgTypeT.OESMSG_RPT_BUSINESS_REJECT: self.on_reject,
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eOesMsgTypeT.OESMSG_RPT_BUSINESS_REJECT: self.on_order_rejected,
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eOesMsgTypeT.OESMSG_RPT_ORDER_INSERT: self.on_order_inserted,
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eOesMsgTypeT.OESMSG_RPT_ORDER_REPORT: self.on_order_report,
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eOesMsgTypeT.OESMSG_RPT_TRADE_REPORT: self.on_trade_report,
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@ -216,13 +176,13 @@ class OesTdMessageLoop:
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return 1
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def message_loop(self):
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rtp_channel = self.env.rptChannel
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rpt_channel = self.env.rptChannel
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timeout_ms = 1000
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is_timeout = SPlatform_IsNegEtimeout
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is_disconnected = SPlatform_IsNegEpipe
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while self.alive:
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ret = OesApi_WaitReportMsg(rtp_channel,
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ret = OesApi_WaitReportMsg(rpt_channel,
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timeout_ms,
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self.on_message)
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if ret < 0:
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@ -232,14 +192,14 @@ class OesTdMessageLoop:
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# todo: handle disconnected
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self.alive = False
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break
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pass
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return
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def on_reject(self, d: OesRspMsgBodyT):
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def on_order_rejected(self, d: OesRspMsgBodyT):
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error_code = d.rptMsg.rptHead.ordRejReason
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error_string = error_to_str(error_code)
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data: OesOrdRejectT = d.rptMsg.rptBody.ordRejectRsp
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i = self.order_manager.get_from_oes_data(data)
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if not data.origClSeqNo:
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i = self.order_manager.get_from_order_id(data.clSeqNo)
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vt_order = i.vt_order
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if vt_order == Status.ALLTRADED:
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@ -250,6 +210,8 @@ class OesTdMessageLoop:
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self.gateway.on_order(vt_order)
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self.gateway.write_log(
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f"Order: {vt_order.vt_symbol}-{vt_order.vt_orderid} Code: {error_code} Rejected: {error_string}")
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else:
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self.gateway.write_log(f"Failed to cancel Order, id: {data.origClSeqNo}")
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def on_order_inserted(self, d: OesRspMsgBodyT):
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data = d.rptMsg.rptBody.ordInsertRsp
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@ -257,7 +219,7 @@ class OesTdMessageLoop:
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i = self.order_manager.get_from_oes_data(data)
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vt_order = i.vt_order
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vt_order.status = STATUS_OES2VT[data.ordStatus]
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vt_order.volume = data.ordQty - data.canceledQty
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vt_order.volume = data.ordQty
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vt_order.traded = data.cumQty
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self.gateway.on_order(vt_order)
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@ -268,7 +230,7 @@ class OesTdMessageLoop:
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i = self.order_manager.get_from_oes_data(data)
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vt_order = i.vt_order
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vt_order.status = STATUS_OES2VT[data.ordStatus]
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vt_order.volume = data.ordQty - data.canceledQty
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vt_order.volume = data.ordQty
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vt_order.traded = data.cumQty
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self.gateway.on_order(vt_order)
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@ -279,6 +241,7 @@ class OesTdMessageLoop:
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vt_order = i.vt_order
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# vt_order.status = STATUS_OES2VT[data.ordStatus]
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trade = TradeData(
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gateway_name=self.gateway.gateway_name,
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symbol=data.securityId,
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@ -315,10 +278,10 @@ class OesTdMessageLoop:
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exchange=EXCHANGE_OES2VT[data.mktId],
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direction=Direction.NET,
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volume=data.sumHld,
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frozen=data.lockHld,
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frozen=data.lockHld, # todo: to verify
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price=data.costPrice / 10000,
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# pnl=data.costPrice - data.originalCostAmt,
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pnl=0, # todo: oes只提供日初持仓价格信息，不提供最初持仓价格信息，所以pnl只有当日的
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pnl=0,
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yd_volume=data.originalHld,
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)
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self.gateway.on_position(position)
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@ -329,7 +292,7 @@ class OesTdMessageLoop:
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balance = data.currentTotalBal
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availiable = data.currentAvailableBal
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# drawable = data.currentDrawableBal
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account_id = data.custId
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account_id = data.cashAcctId
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account = AccountData(
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gateway_name=self.gateway.gateway_name,
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accountid=account_id,
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@ -356,12 +319,19 @@ class OesTdApi:
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self)
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self.account_id = None
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self.last_seq_index = 1 # 0 has special manning for oes
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self.last_seq_index = 1000000 # 0 has special manning for oes
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def get_new_seq_index(self):
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"""note: not thread safe currently"""
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# todo: add lock
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index = self.last_seq_index
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self.last_seq_index += 1
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return index
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def connect(self, config_path: str):
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if not OesApi_InitAllByConvention(self.env, config_path, -1, self.last_seq_index):
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pass
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self.last_seq_index = self.env.ordChannel.lastOutMsgSeq + 1
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self.last_seq_index = max(self.last_seq_index, self.env.ordChannel.lastOutMsgSeq + 1)
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if not OesApi_IsValidOrdChannel(self.env.ordChannel):
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pass
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@ -383,15 +353,11 @@ class OesTdApi:
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def join(self):
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self.message_loop.join()
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def query_account(self) -> bool:
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return self.query_cash_asset()
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def query_cash_asset(self) -> bool:
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ret = OesApi_QueryCashAsset(self.env.qryChannel,
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def query_account(self):
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OesApi_QueryCashAsset(self.env.qryChannel,
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OesQryCashAssetFilterT(),
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self.on_query_asset
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)
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return ret >= 0
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def on_query_asset(self,
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session_info: SGeneralClientChannelT,
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@ -403,7 +369,7 @@ class OesTdApi:
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balance = data.currentTotalBal / 10000
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availiable = data.currentAvailableBal / 10000
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# drawable = data.currentDrawableBal
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account_id = data.custId
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account_id = data.cashAcctId
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account = AccountData(
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gateway_name=self.gateway.gateway_name,
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accountid=account_id,
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@ -469,60 +435,6 @@ class OesTdApi:
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self.gateway.on_contract(contract)
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return 1
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def query_issue(self) -> bool:
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f = OesQryIssueFilterT()
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ret = OesApi_QueryIssue(self.env.qryChannel,
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f,
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self.on_query_issue
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)
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return ret >= 0
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def on_query_issue(self,
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session_info: SGeneralClientChannelT,
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head: SMsgHeadT,
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body: Any,
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cursor: OesQryCursorT,
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):
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data = cast.toOesIssueItemT(body)
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contract = ContractData(
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gateway_name=self.gateway.gateway_name,
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symbol=data.securityId,
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exchange=EXCHANGE_OES2VT[data.mktId],
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name=data.securityName,
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product=PRODUCT_OES2VT[data.mktId],
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size=data.qtyUnit,
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pricetick=1,
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)
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self.gateway.on_contract(contract)
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return 1
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def query_etf(self) -> bool:
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f = OesQryEtfFilterT()
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ret = OesApi_QueryEtf(self.env.qryChannel,
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f,
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self.on_query_etf
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)
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return ret >= 0
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def on_query_etf(self,
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session_info: SGeneralClientChannelT,
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head: SMsgHeadT,
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body: Any,
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cursor: OesQryCursorT,
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):
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data = cast.toOesEtfItemT(body)
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contract = ContractData(
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gateway_name=self.gateway.gateway_name,
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symbol=data.securityId,
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exchange=EXCHANGE_OES2VT[data.mktId],
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name=data.securityId,
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product=PRODUCT_OES2VT[data.mktId],
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size=data.creRdmUnit, # todo: to verify! creRdmUnit : 每个篮子 (最小申购、赎回单位) 对应的ETF份数
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pricetick=1,
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)
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self.gateway.on_contract(contract)
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return 1
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def query_stock_holding(self) -> bool:
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f = OesQryStkHoldingFilterT()
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ret = OesApi_QueryStkHolding(self.env.qryChannel,
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@ -608,16 +520,14 @@ class OesTdApi:
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self.query_stock()
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# self.query_option()
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# self.query_issue()
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pass
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def query_position(self):
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self.query_stock_holding()
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self.query_option_holding()
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def send_order(self, vt_req: OrderRequest):
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seq_id = self.last_seq_index
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self.last_seq_index += 1 # note: thread un-safe here, conflict with on_query_order
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order_id = self.order_manager.new_local_id()
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seq_id = self.get_new_seq_index()
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order_id = seq_id
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oes_req = OesOrdReqT()
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oes_req.clSeqNo = seq_id
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@ -628,16 +538,16 @@ class OesTdApi:
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oes_req.securityId = vt_req.symbol
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oes_req.ordQty = int(vt_req.volume)
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oes_req.ordPrice = int(vt_req.price * 10000)
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oes_req.userInfo = order_id
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oes_req.origClOrdId = order_id
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order = vt_req.create_order_data(str(order_id), self.gateway.gateway_name)
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order.direction = Direction.NET # fix direction into NET: stock only
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self.order_manager.save_local_created(order_id, order)
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ret = OesApi_SendOrderReq(self.env.ordChannel,
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oes_req
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)
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order = vt_req.create_order_data(str(order_id), self.gateway.gateway_name)
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order.direction = Direction.NET # fix direction into NET: stock only
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if ret >= 0:
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self.order_manager.save_local_created(order_id, order, oes_req)
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self.gateway.on_order(order)
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else:
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self.gateway.write_log("Failed to send_order!")
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@ -645,40 +555,21 @@ class OesTdApi:
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return order.vt_orderid
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def cancel_order(self, vt_req: CancelRequest):
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seq_id = self.last_seq_index
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self.last_seq_index += 1 # note: thread un-safe here
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seq_id = self.get_new_seq_index()
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oes_req = OesOrdCancelReqT()
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||||
order_id = int(vt_req.orderid)
|
||||
internal_order = self.order_manager.get_from_order_id(order_id)
|
||||
if internal_order.rpt_data:
|
||||
data = internal_order.rpt_data
|
||||
# oes_req.origClSeqNo = self.local_id_to_sys_id[int(order_id)]
|
||||
oes_req.origClOrdId = data.clOrdId
|
||||
oes_req.origClSeqNo = data.clSeqNo
|
||||
oes_req.origClEnvId = data.origClEnvId
|
||||
oes_req.mktId = data.mktId
|
||||
# oes_req.invAcctId = data.invAcctId
|
||||
# oes_req.mktId = data.mktId
|
||||
# oes_req.securityId = data.securityId
|
||||
else:
|
||||
data = internal_order.req_data
|
||||
oes_req.origClSeqNo = data.clSeqNo
|
||||
oes_req.mktId = internal_order.req_data.mktId
|
||||
oes_req.origClOrdId = internal_order.order_id
|
||||
oes_req.mktId = EXCHANGE_VT2OES[vt_req.exchange]
|
||||
|
||||
oes_req.clSeqNo = seq_id
|
||||
oes_req.origClSeqNo = order_id
|
||||
oes_req.invAcctId = ""
|
||||
oes_req.securityId = vt_req.symbol
|
||||
oes_req.userInfo = order_id
|
||||
ret = OesApi_SendOrderCancelReq(self.env.ordChannel,
|
||||
OesApi_SendOrderCancelReq(self.env.ordChannel,
|
||||
oes_req)
|
||||
|
||||
if ret >= 0:
|
||||
pass
|
||||
else:
|
||||
pass
|
||||
return
|
||||
|
||||
def schedule_query_order(self, internal_order: InternalOrder) -> Thread:
|
||||
th = Thread(target=self.query_order, args=(internal_order,))
|
||||
th.start()
|
||||
@ -686,16 +577,8 @@ class OesTdApi:
|
||||
|
||||
def query_order(self, internal_order: InternalOrder) -> bool:
|
||||
f = OesQryOrdFilterT()
|
||||
if internal_order.req_data:
|
||||
f.clSeqNo = internal_order.req_data.clSeqNo
|
||||
f.mktId = internal_order.req_data.mktId
|
||||
f.invAcctId = internal_order.req_data.invAcctId
|
||||
else:
|
||||
f.clSeqNo = internal_order.rpt_data.origClSeqNo
|
||||
f.clOrdId = internal_order.rpt_data.origClOrdId
|
||||
f.clEnvId = internal_order.rpt_data.origClEnvId
|
||||
f.mktId = internal_order.rpt_data.mktId
|
||||
f.invAcctId = internal_order.rpt_data.invAcctId
|
||||
f.mktId = EXCHANGE_VT2OES[internal_order.vt_order.exchange]
|
||||
f.clSeqNo = internal_order.order_id
|
||||
ret = OesApi_QueryOrder(self.env.qryChannel,
|
||||
f,
|
||||
self.on_query_order
|
||||
@ -735,9 +618,16 @@ class OesTdApi:
|
||||
cursor: OesQryCursorT,
|
||||
):
|
||||
data: OesOrdCnfmT = cast.toOesOrdItemT(body)
|
||||
i = self.order_manager.get_remote_created_order_from_oes_data(data)
|
||||
if not i:
|
||||
order_id = self.order_manager.new_remote_id()
|
||||
try:
|
||||
i = self.order_manager.get_from_oes_data(data)
|
||||
vt_order = i.vt_order
|
||||
vt_order.status = STATUS_OES2VT[data.ordStatus]
|
||||
vt_order.volume = data.ordQty - data.canceledQty
|
||||
vt_order.traded = data.cumQty
|
||||
self.gateway.on_order(vt_order)
|
||||
except KeyError:
|
||||
# order_id = self.order_manager.new_remote_id()
|
||||
order_id = self.order_manager.get_order_id_from_data(data)
|
||||
|
||||
if data.bsType == eOesBuySellTypeT.OES_BS_TYPE_BUY:
|
||||
offset = Offset.OPEN
|
||||
@ -748,7 +638,7 @@ class OesTdApi:
|
||||
gateway_name=self.gateway.gateway_name,
|
||||
symbol=data.securityId,
|
||||
exchange=EXCHANGE_OES2VT[data.mktId],
|
||||
orderid=order_id if order_id else data.userInfo, # generated id
|
||||
orderid=order_id if order_id else data.origClSeqNo, # generated id
|
||||
direction=Direction.NET,
|
||||
offset=offset,
|
||||
price=data.ordPrice / 10000,
|
||||
@ -759,13 +649,6 @@ class OesTdApi:
|
||||
# this time should be generated automatically or by a static function
|
||||
time=datetime.utcnow().isoformat(),
|
||||
)
|
||||
self.order_manager.save_remote_created(order_id, vt_order, data)
|
||||
self.gateway.on_order(vt_order)
|
||||
return 1
|
||||
else:
|
||||
vt_order = i.vt_order
|
||||
vt_order.status = STATUS_OES2VT[data.ordStatus]
|
||||
vt_order.volume = data.ordQty - data.canceledQty
|
||||
vt_order.traded = data.cumQty
|
||||
self.order_manager.save_remote_created(order_id, vt_order)
|
||||
self.gateway.on_order(vt_order)
|
||||
return 1
|
||||
|
||||
Loading…
Reference in New Issue
Block a user