[Mod]完善福汇交易接口
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vn.py
parent
13b0d297a7
commit
abc59efac4
@ -159,7 +159,8 @@ class FxcmApi(object):
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if data["response"]["executed"] is True:
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callback(data, reqid)
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return
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self.onError(data["response"]["error"], reqid)
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if 'response' in data:
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self.onError(data["response"]["error"], reqid)
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else:
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self.onError(u'HTTP请求失败，错误代码%s' %resp.status_code)
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@ -71,7 +71,6 @@ class FxcmGateway(VtGateway):
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# 解析json文件
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setting = json.load(f)
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try:
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account = str(setting['account'])
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port = int(setting['port'])
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url = str(setting['url'])
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token = str(setting['token'])
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@ -84,7 +83,7 @@ class FxcmGateway(VtGateway):
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return
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# 初始化接口
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self.api.init(account, url, port, token, proxy)
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self.api.connect(url, port, token, proxy)
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#----------------------------------------------------------------------
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def subscribe(self, subscribeReq):
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@ -151,12 +150,12 @@ class Api(FxcmApi):
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self.gateway = gateway # gateway对象
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self.gatewayName = gateway.gatewayName # gateway对象名称
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self.accout = ''
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self.account = ''
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self.orderDict = {} # 缓存委托数据
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self.tradeDict = {}
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self.accountDict = {}
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self.positionDict = {}
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self.positionDict = {} # t:symbol
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#----------------------------------------------------------------------
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def onConnect(self):
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@ -201,38 +200,37 @@ class Api(FxcmApi):
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for d in data['offers']:
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self.processContracts(d)
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self.writeLog(u'合约信息查询成功')
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self.subscribeModel(self.MODEL_OFFER)
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#self.updateSubscriptions('EUR/USD')
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#self.subscribeModel(self.MODEL_OFFER)
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elif 'orders' in data:
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for d in data['orders']:
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self.processOrders(d)
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self.writeLog(u'委托查询成功')
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#self.subscribeModel(self.MODEL_ORDER)
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self.subscribeModel(self.MODEL_ORDER)
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elif 'closed_positions' in data:
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for d in data['closed_positions']:
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self.processTrades(d)
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self.writeLog(u'已平成交查询成功')
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#self.subscribeModel(self.MODEL_CLOSEDPOSITION)
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self.subscribeModel(self.MODEL_CLOSEDPOSITION)
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elif 'open_positions' in data:
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for d in data['open_positions']:
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self.processTrades(d)
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self.writeLog(u'未平成交查询成功')
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#self.subscribeModel(self.MODEL_OPENPOSITION)
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self.subscribeModel(self.MODEL_OPENPOSITION)
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elif 'summary' in data:
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for d in data['summary']:
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self.processPositions(d)
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self.writeLog(u'持仓查询成功')
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#self.subscribeModel(self.MODEL_SUMMARY)
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self.subscribeModel(self.MODEL_SUMMARY)
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elif 'accounts' in data:
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for d in data['accounts']:
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self.processAccounts(d)
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self.writeLog(u'账户查询成功')
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#self.subscribeModel(self.MODEL_ACCOUNT)
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self.subscribeModel(self.MODEL_ACCOUNT)
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#----------------------------------------------------------------------
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def processContracts(self, d):
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@ -254,29 +252,43 @@ class Api(FxcmApi):
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#----------------------------------------------------------------------
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def processOrders(self, d):
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"""处理委托"""
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order = VtOrderData()
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order.gatewayName = self.gatewayName
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if 'status' not in d:
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return
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order.symbol = d['currency']
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order.exchange = EXCHANGE_FXCM
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order.vtSymbol = '.'.join([order.symbol, order.exchange])
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order.orderID = d['orderId']
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order.vtOrderID = '.'.join([order.gatewayName, order.orderID])
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if d['isBuy']:
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order.price = d['buy']
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order.direction = DIRECTION_LONG
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if d['orderId'] not in self.orderDict:
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order = VtOrderData()
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order.gatewayName = self.gatewayName
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order.symbol = d['currency']
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order.exchange = EXCHANGE_FXCM
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order.vtSymbol = '.'.join([order.symbol, order.exchange])
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order.orderID = d['orderId']
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order.vtOrderID = '.'.join([order.gatewayName, order.orderID])
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if d['isBuy']:
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order.price = d['buy']
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order.direction = DIRECTION_LONG
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else:
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order.price = d['sell']
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order.direction = DIRECTION_SHORT
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order.offset = OFFSET_NONE
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order.totalVolume = d['amountK']
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order.status = statusMapReverse.get(d['status'], STATUS_UNKNOWN)
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if order.status == STATUS_ALLTRADED:
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order.tradedVolume = order.totalVolume
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d, t = getTime(d['time'])
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order.orderTime = t
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self.orderDict[order.orderID] = order
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else:
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order.price = d['sell']
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order.direction = DIRECTION_SHORT
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order.totalVolume = d['amountK']
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order.status = statusMapReverse.get(d['status'], STATUS_UNKNOWN)
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if order.status == STATUS_ALLTRADED:
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order.tradedVolume = order.totalVolume
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order.orderTime = d['time']
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order = self.orderDict[d['orderId']]
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order.status = statusMapReverse.get(d['status'], STATUS_UNKNOWN)
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if order.status == STATUS_ALLTRADED:
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order.tradedVolume = order.totalVolume
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self.gateway.onOrder(order)
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@ -286,6 +298,10 @@ class Api(FxcmApi):
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if 'isTotal' in d:
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return
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# 成交记录只需要推送一次
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if d['tradeId'] in self.tradeDict:
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return
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trade = VtTradeData()
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trade.gatewayName = self.gatewayName
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@ -300,16 +316,23 @@ class Api(FxcmApi):
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trade.direction = DIRECTION_LONG
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else:
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trade.direction = DIRECTION_SHORT
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trade.offset = OFFSET_NONE
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trade.price = d['open']
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trade.volume = d['amountK']
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if 'time' in d:
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trade.tradeTime = d['time']
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s = d['time']
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else:
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trade.tradeTime = d['openTime']
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s = d['openTime']
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d, t = getTime(s)
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trade.tradeTime = t
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self.gateway.onTrade(trade)
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self.tradeDict[trade.tradeID] = trade
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#----------------------------------------------------------------------
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def processAccounts(self, d):
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@ -325,10 +348,12 @@ class Api(FxcmApi):
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account.balance = d['equity']
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account.available = d['usableMargin']
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account.margin = d['usdMr']
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account.margin = d['usdMr3']
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account.positionProfit = d['grossPL']
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self.gateway.onAccount(account)
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self.account = account.accountID
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#----------------------------------------------------------------------
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def processPositions(self, d):
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@ -340,7 +365,12 @@ class Api(FxcmApi):
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position = VtPositionData()
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position.gatewayName = self.gatewayName
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position.symbol = d['currency']
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if 'currency' in d:
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position.symbol = d['currency']
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self.positionDict[d['t']] = d['currency']
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else:
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position.symbol = self.positionDict[d['t']]
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position.exchange = EXCHANGE_FXCM
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position.vtSymbol = '.'.join([position.symbol, position.exchange])
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@ -357,7 +387,12 @@ class Api(FxcmApi):
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position = VtPositionData()
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position.gatewayName = self.gatewayName
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position.symbol = d['currency']
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if 'currency' in d:
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position.symbol = d['currency']
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self.positionDict[d['t']] = d['currency']
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else:
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position.symbol = self.positionDict[d['t']]
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position.exchange = EXCHANGE_FXCM
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position.vtSymbol = '.'.join([position.symbol, position.exchange])
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@ -433,14 +468,16 @@ class Api(FxcmApi):
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tick.highPrice = rates[2]
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tick.lowPrice = rates[3]
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tick.time = data['Updated']
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t = datetime.fromtimestamp(data['Updated']/1000)
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tick.date = t.strftime('%Y%m%d')
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tick.time = t.strftime('%H:%M:%S.%f')
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tick.datetime = t
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self.gateway.onTick(tick)
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#----------------------------------------------------------------------
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def onModelUpdate(self, data):
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"""表推送"""
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print data
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if 'orderId' in data:
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self.processOrders(data)
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elif 'tradeId' in data:
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@ -449,16 +486,7 @@ class Api(FxcmApi):
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self.processPositions(data)
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elif 'accountId' in data:
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self.processAccounts(data)
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else:
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print data
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#----------------------------------------------------------------------
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def init(self, account, url, port, token, proxy):
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"""初始化"""
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self.account = account
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self.connect(url, port, token, proxy)
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#----------------------------------------------------------------------
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def writeLog(self, logContent):
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"""发出日志"""
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@ -509,10 +537,10 @@ class Api(FxcmApi):
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if orderReq.priceType == PRICETYPE_MARKETPRICE:
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reqid = self.openTrade(accountID, symbol, isBuy, amount,
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0, 'AtMarket', 'DAY')
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1, 'AtMarket', 'DAY')
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else:
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reqid = self.createEntryOrder(accountID, symbol, isBuy, rate,
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amount, 'AtMarket', 'DAY')
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amount, 'AtMarket', 'DAY', limit=1)
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return reqid
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@ -520,3 +548,19 @@ class Api(FxcmApi):
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def cancelOrder(self, cancelOrderReq):
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"""撤销委托"""
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self.deleteOrder(cancelOrderReq.orderID)
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#----------------------------------------------------------------------
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def getTime(s):
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"""把OANDA返回的时间格式转化为简单的时间字符串"""
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month = s[:2]
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day = s[2:4]
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year = s[4:8]
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hour = s[8:10]
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minute = s[10:12]
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second = s[12:]
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t = ':'.join([hour, minute, second])
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d = ''.join([year, month, day])
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return d, t
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