senset/vnpy
1
0
Fork 0
Code Issues Pull Requests Packages Projects Releases Wiki Activity

Merge pull request #1457 from 1122455801/tiger_gateway_version_03

Browse Source 
[Mod] tiger_gateway.py
This commit is contained in:
vn.py 2019-03-08 15:51:15 +08:00 committed by GitHub
commit a30766bc72
No known key found for this signature in database
GPG Key ID: 4AEE18F83AFDEB23
1 changed files with 105 additions and 66 deletions
Show Stats Download Patch File Download Diff File Expand all files Collapse all files

171
vnpy/gateway/tiger/tiger_gateway.py
View File

@ -54,9 +54,9 @@ DIRECTION_VT2TIGER = {
}
DIRECTION_TIGER2VT = {
"BUY": Direction.LONG,
"BUY":Direction.LONG,
"SELL": Direction.SHORT,
"sell": Direction.SHORT,
"sell":Direction.SHORT,
}
PRICETYPE_VT2TIGER = {
@ -76,25 +76,39 @@ STATUS_TIGER2VT = {
ORDER_STATUS.EXPIRED: Status.NOTTRADED
}
# "1_key": "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",
PUSH_STATUS_TIGER2VT = {
"Invalid":Status.REJECTED,
"Initial":Status.SUBMITTING,
"PendingCancel":Status.CANCELLED,
"Cancelled":Status.CANCELLED,
"Submitted":Status.SUBMITTING,
"PendingSubmit":Status.SUBMITTING,
"Filled":Status.ALLTRADED,
"Inactive":Status.REJECTED,
}
# "private_key": "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",
class TigerGateway(BaseGateway):
""""""
default_setting = {
"private_key": "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",
"tiger_id": "20150008",
"account": "DU575568",
"standard_account": "DU575568",
"paper_account": "DU575568",
"language": "Language.zh_CN",
}
def __init__(self, event_engine):
"""Constructor"""
super(TigerGateway, self).__init__(event_engine, "TIGER")
self.private_key = ""
self.private_key = "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"
self.tiger_key_2005 = "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"
self.tiger_id = ""
self.account = ""
self.standard_account = ""
@ -112,19 +126,15 @@ class TigerGateway(BaseGateway):
self.thread = Thread(target=self.query_data)
# For query function.
self.count = 0
self.interval = 1
self.query_funcs = [self.query_order]
def connect(self, setting: dict):
""""""
self.private_key = setting["private_key"]
self.private_key = self.private_key
self.tiger_id = setting["tiger_id"]
self.account = setting["account"]
self.standard_account = setting["standard_account"]
self.paper_account = setting["paper_account"]
self.languege = setting["language"]
self.paper_account = setting["account"]
self.languege = Language.zh_CN
self.get_client_config()
self.connect_quote()
@ -137,26 +147,12 @@ class TigerGateway(BaseGateway):
"""
Query all data necessary.
"""
sleep(2.0) # Wait 2 seconds till connection completed.
self.query_contract()
# self.query_trade()
self.query_contract()
self.query_order()
self.query_position()
self.query_account()
# Start fixed interval query.
self.event_engine.register(EVENT_TIMER, self.process_timer_event)
def process_timer_event(self, event):
""""""
self.count += 1
if self.count < self.interval:
return
self.count = 0
func = self.query_funcs.pop(0)
func()
self.query_funcs.append(func)
def get_client_config(self, sandbox=True):
""""""
@ -175,8 +171,7 @@ class TigerGateway(BaseGateway):
"""
self.quote_client = QuoteClient(self.client_config)
try:
symbol_names = self.quote_client.get_symbol_names(lang=Language.zh_CN)
self.symbol_names =dict(symbol_names)
self.symbol_names = dict(self.quote_client.get_symbol_names(lang=Language.zh_CN))
except ApiException:
self.write_log("行情接口连接失败")
return
@ -220,15 +215,17 @@ class TigerGateway(BaseGateway):
self.write_log("推送接口连接成功")
def subscribe(self, req: SubscribeRequest):
""""""
""""""
symbol = convert_symbol_vt2tiger(req.symbol, req.exchange)
self.push_client.subscribe_quote([req.symbol])
# self.push_client.subscribe_asset()
#self.push_client.subscribe_asset()
# self.push_client.subscribe_position()
# self.push_client.subscribe_order()
#self.push_client.subscribe_order()
def on_quote_change(self, symbol: str, data: list, trading: bool):
symbol, exchange = convert_symbol_tiger2vt(symbol)
name = self.symbol_names[symbol]
data = dict(data)
tick = self.ticks.get(symbol, None)
if not tick:
@ -242,33 +239,50 @@ class TigerGateway(BaseGateway):
self.ticks[symbol] = tick
tick.datetime = datetime.now()
tick.open_price = data[5][1]
tick.high_price = data[2][1]
tick.low_price = data[4][1]
tick.pre_close = data[3][1]
tick.last_price = data[0][1]
tick.volume = data[1][1]
tick.pre_close = data.get("prev_close",0)
tick.last_price = data.get("latest_price",0)
tick.volume = data.get("volume", 0)
tick.open_price = data.get("open", 0)
tick.open_price = data.get("open", 0) #美股无
tick.high_price = data.get("high", 0) # 美股无
tick.low_price = data.get("low", 0) # 美股无
tick.ask_price_1=data.get("ask_price", 0) # A股/港股无
tick.bid_price_1=data.get("bid_price", 0) # A股/港股无
tick.ask_volume_1=data.get("ask_size", 0) # A股/港股无
tick.bid_volume_1=data.get("bid_size", 0) # A股/港股无
self.on_tick(copy(tick))
def on_asset_changed(self, account: str, data: list):
def on_asset_changed(self, account:str, data:list):
""""""
print("账号", data)
#print("账号", data)
data = dict(data)
account = AccountData(
accountid=account,
balance=data[7][1],
balance=data["net_liquidation"],
frozen=0.0,
gateway_name=self.gateway_name,
)
self.on_account(account)
def on_position_changed(self, account: str, data: list):
""""""
print("持仓", data)
symbol = data[3][1]
volume = data[5][1]
def on_position_changed(self, account:str, data:list):
""""""
#print ("持仓", data)
data = dict(data)
symbol = data["origin_symbol"]
volume = data["quantity"]
# 判断方向
if volume > 0:
direction = Direction.LONG
@ -283,38 +297,62 @@ class TigerGateway(BaseGateway):
direction=direction,
volume=volume,
frozen=0.0,
price=data[0][1],
pnl=data[4][1],
price=data["average_cost"],
pnl=data["unrealized_pnl"],
gateway_name=self.gateway_name,
)
self.on_position(pos)
def on_order_changed(self, account: str, data: list):
""""""
print("委托", data)
symbol = data[6][1]
volume = data[7][1]
if volume > 0:
direction = Direction.LONG
else:
direction = Direction.SHORT
#print("委托", data)
data = dict(data)
symbol = data["origin_symbol"]
volume = data["quantity"]
symbol, exchange = convert_symbol_tiger2vt(symbol)
if data["order_type"] == "LMT":
price = data["limit_price"]
else:
price = 0
order = OrderData(
symbol=symbol,
exchange=exchange,
orderid=data[2][1],
direction=direction,
price=data[8][1],
orderid=data["order_id"],
direction=DIRECTION_TIGER2VT[data["action"]],
price=price,
volume=volume,
traded=data[4][1],
status=None,
time=datetime.now(),
traded=data["filled"],
status=PUSH_STATUS_TIGER2VT[data["status"]],
time=time.strftime("%Y-%m-%d %H:%M:%S", time.localtime(data["order_time"] / 1000)).split(" ")[-1],
gateway_name=self.gateway_name,
)
self.on_order(order)
trade = TradeData(
symbol=symbol,
exchange=exchange,
direction=DIRECTION_TIGER2VT[data["action"]],
tradeid=data["order_id"],
orderid=data["order_id"],
price=data["avg_fill_price"],
volume=data["filled"],
time=time.strftime("%Y-%m-%d %H:%M:%S", time.localtime(data["trade_time"] / 1000)).split(" ")[-1],
gateway_name=self.gateway_name,
)
self.on_trade(trade)
def send_order(self, req: OrderRequest):
""""""
symbol = convert_symbol_vt2tiger(req.symbol, req.exchange)
@ -485,8 +523,8 @@ class TigerGateway(BaseGateway):
direction=direction,
volume=volume,
frozen=0.0,
price=float(i.market_price), # market_price = 0.0
pnl=float(i.average_cost), # 未知？？
price=float(i.average_cost),
pnl=float(i.unrealized_pnl),
gateway_name=self.gateway_name,
)
@ -524,6 +562,7 @@ class TigerGateway(BaseGateway):
else:
price = 0
order = OrderData(
symbol=symbol,
exchange=exchange,