From abc59efac449792dcde3e105acbcd7ea33ae6b01 Mon Sep 17 00:00:00 2001 From: "vn.py" Date: Mon, 29 Jan 2018 22:07:09 +0800 Subject: [PATCH] =?UTF-8?q?[Mod]=E5=AE=8C=E5=96=84=E7=A6=8F=E6=B1=87?= =?UTF-8?q?=E4=BA=A4=E6=98=93=E6=8E=A5=E5=8F=A3?= MIME-Version: 1.0 Content-Type: text/plain; charset=UTF-8 Content-Transfer-Encoding: 8bit --- vnpy/api/fxcm/vnfxcm.py | 3 +- .../trader/gateway/fxcmGateway/fxcmGateway.py | 148 ++++++++++++------ 2 files changed, 98 insertions(+), 53 deletions(-) diff --git a/vnpy/api/fxcm/vnfxcm.py b/vnpy/api/fxcm/vnfxcm.py index ef413cc5..dc5f6146 100644 --- a/vnpy/api/fxcm/vnfxcm.py +++ b/vnpy/api/fxcm/vnfxcm.py @@ -159,7 +159,8 @@ class FxcmApi(object): if data["response"]["executed"] is True: callback(data, reqid) return - self.onError(data["response"]["error"], reqid) + if 'response' in data: + self.onError(data["response"]["error"], reqid) else: self.onError(u'HTTP请求失败，错误代码%s' %resp.status_code) diff --git a/vnpy/trader/gateway/fxcmGateway/fxcmGateway.py b/vnpy/trader/gateway/fxcmGateway/fxcmGateway.py index 0c6a5188..712b0692 100644 --- a/vnpy/trader/gateway/fxcmGateway/fxcmGateway.py +++ b/vnpy/trader/gateway/fxcmGateway/fxcmGateway.py @@ -71,7 +71,6 @@ class FxcmGateway(VtGateway): # 解析json文件 setting = json.load(f) try: - account = str(setting['account']) port = int(setting['port']) url = str(setting['url']) token = str(setting['token']) @@ -84,7 +83,7 @@ class FxcmGateway(VtGateway): return # 初始化接口 - self.api.init(account, url, port, token, proxy) + self.api.connect(url, port, token, proxy) #---------------------------------------------------------------------- def subscribe(self, subscribeReq): @@ -151,12 +150,12 @@ class Api(FxcmApi): self.gateway = gateway # gateway对象 self.gatewayName = gateway.gatewayName # gateway对象名称 - self.accout = '' + self.account = '' self.orderDict = {} # 缓存委托数据 self.tradeDict = {} self.accountDict = {} - self.positionDict = {} + self.positionDict = {} # t:symbol #---------------------------------------------------------------------- def onConnect(self): @@ -201,38 +200,37 @@ class Api(FxcmApi): for d in data['offers']: self.processContracts(d) self.writeLog(u'合约信息查询成功') - self.subscribeModel(self.MODEL_OFFER) - #self.updateSubscriptions('EUR/USD') + #self.subscribeModel(self.MODEL_OFFER) elif 'orders' in data: for d in data['orders']: self.processOrders(d) self.writeLog(u'委托查询成功') - #self.subscribeModel(self.MODEL_ORDER) + self.subscribeModel(self.MODEL_ORDER) elif 'closed_positions' in data: for d in data['closed_positions']: self.processTrades(d) self.writeLog(u'已平成交查询成功') - #self.subscribeModel(self.MODEL_CLOSEDPOSITION) + self.subscribeModel(self.MODEL_CLOSEDPOSITION) elif 'open_positions' in data: for d in data['open_positions']: self.processTrades(d) self.writeLog(u'未平成交查询成功') - #self.subscribeModel(self.MODEL_OPENPOSITION) + self.subscribeModel(self.MODEL_OPENPOSITION) elif 'summary' in data: for d in data['summary']: self.processPositions(d) self.writeLog(u'持仓查询成功') - #self.subscribeModel(self.MODEL_SUMMARY) + self.subscribeModel(self.MODEL_SUMMARY) elif 'accounts' in data: for d in data['accounts']: self.processAccounts(d) self.writeLog(u'账户查询成功') - #self.subscribeModel(self.MODEL_ACCOUNT) + self.subscribeModel(self.MODEL_ACCOUNT) #---------------------------------------------------------------------- def processContracts(self, d): @@ -254,29 +252,43 @@ class Api(FxcmApi): #---------------------------------------------------------------------- def processOrders(self, d): """处理委托""" - order = VtOrderData() - order.gatewayName = self.gatewayName + if 'status' not in d: + return - order.symbol = d['currency'] - order.exchange = EXCHANGE_FXCM - order.vtSymbol = '.'.join([order.symbol, order.exchange]) - - order.orderID = d['orderId'] - order.vtOrderID = '.'.join([order.gatewayName, order.orderID]) - - if d['isBuy']: - order.price = d['buy'] - order.direction = DIRECTION_LONG + if d['orderId'] not in self.orderDict: + order = VtOrderData() + order.gatewayName = self.gatewayName + + order.symbol = d['currency'] + order.exchange = EXCHANGE_FXCM + order.vtSymbol = '.'.join([order.symbol, order.exchange]) + + order.orderID = d['orderId'] + order.vtOrderID = '.'.join([order.gatewayName, order.orderID]) + + if d['isBuy']: + order.price = d['buy'] + order.direction = DIRECTION_LONG + else: + order.price = d['sell'] + order.direction = DIRECTION_SHORT + + order.offset = OFFSET_NONE + + order.totalVolume = d['amountK'] + order.status = statusMapReverse.get(d['status'], STATUS_UNKNOWN) + if order.status == STATUS_ALLTRADED: + order.tradedVolume = order.totalVolume + + d, t = getTime(d['time']) + order.orderTime = t + + self.orderDict[order.orderID] = order else: - order.price = d['sell'] - order.direction = DIRECTION_SHORT - - order.totalVolume = d['amountK'] - order.status = statusMapReverse.get(d['status'], STATUS_UNKNOWN) - if order.status == STATUS_ALLTRADED: - order.tradedVolume = order.totalVolume - - order.orderTime = d['time'] + order = self.orderDict[d['orderId']] + order.status = statusMapReverse.get(d['status'], STATUS_UNKNOWN) + if order.status == STATUS_ALLTRADED: + order.tradedVolume = order.totalVolume self.gateway.onOrder(order) @@ -286,6 +298,10 @@ class Api(FxcmApi): if 'isTotal' in d: return + # 成交记录只需要推送一次 + if d['tradeId'] in self.tradeDict: + return + trade = VtTradeData() trade.gatewayName = self.gatewayName @@ -300,16 +316,23 @@ class Api(FxcmApi): trade.direction = DIRECTION_LONG else: trade.direction = DIRECTION_SHORT - + trade.offset = OFFSET_NONE + trade.price = d['open'] trade.volume = d['amountK'] if 'time' in d: - trade.tradeTime = d['time'] + s = d['time'] else: - trade.tradeTime = d['openTime'] + s = d['openTime'] + + d, t = getTime(s) + + trade.tradeTime = t self.gateway.onTrade(trade) + + self.tradeDict[trade.tradeID] = trade #---------------------------------------------------------------------- def processAccounts(self, d): @@ -325,10 +348,12 @@ class Api(FxcmApi): account.balance = d['equity'] account.available = d['usableMargin'] - account.margin = d['usdMr'] + account.margin = d['usdMr3'] account.positionProfit = d['grossPL'] self.gateway.onAccount(account) + + self.account = account.accountID #---------------------------------------------------------------------- def processPositions(self, d): @@ -340,7 +365,12 @@ class Api(FxcmApi): position = VtPositionData() position.gatewayName = self.gatewayName - position.symbol = d['currency'] + if 'currency' in d: + position.symbol = d['currency'] + self.positionDict[d['t']] = d['currency'] + else: + position.symbol = self.positionDict[d['t']] + position.exchange = EXCHANGE_FXCM position.vtSymbol = '.'.join([position.symbol, position.exchange]) @@ -357,7 +387,12 @@ class Api(FxcmApi): position = VtPositionData() position.gatewayName = self.gatewayName - position.symbol = d['currency'] + if 'currency' in d: + position.symbol = d['currency'] + self.positionDict[d['t']] = d['currency'] + else: + position.symbol = self.positionDict[d['t']] + position.exchange = EXCHANGE_FXCM position.vtSymbol = '.'.join([position.symbol, position.exchange]) @@ -433,14 +468,16 @@ class Api(FxcmApi): tick.highPrice = rates[2] tick.lowPrice = rates[3] - tick.time = data['Updated'] + t = datetime.fromtimestamp(data['Updated']/1000) + tick.date = t.strftime('%Y%m%d') + tick.time = t.strftime('%H:%M:%S.%f') + tick.datetime = t self.gateway.onTick(tick) #---------------------------------------------------------------------- def onModelUpdate(self, data): """表推送""" - print data if 'orderId' in data: self.processOrders(data) elif 'tradeId' in data: @@ -449,16 +486,7 @@ class Api(FxcmApi): self.processPositions(data) elif 'accountId' in data: self.processAccounts(data) - else: - print data - - #---------------------------------------------------------------------- - def init(self, account, url, port, token, proxy): - """初始化""" - self.account = account - - self.connect(url, port, token, proxy) - + #---------------------------------------------------------------------- def writeLog(self, logContent): """发出日志""" @@ -509,10 +537,10 @@ class Api(FxcmApi): if orderReq.priceType == PRICETYPE_MARKETPRICE: reqid = self.openTrade(accountID, symbol, isBuy, amount, - 0, 'AtMarket', 'DAY') + 1, 'AtMarket', 'DAY') else: reqid = self.createEntryOrder(accountID, symbol, isBuy, rate, - amount, 'AtMarket', 'DAY') + amount, 'AtMarket', 'DAY', limit=1) return reqid @@ -520,3 +548,19 @@ class Api(FxcmApi): def cancelOrder(self, cancelOrderReq): """撤销委托""" self.deleteOrder(cancelOrderReq.orderID) + + + +#---------------------------------------------------------------------- +def getTime(s): + """把OANDA返回的时间格式转化为简单的时间字符串""" + month = s[:2] + day = s[2:4] + year = s[4:8] + hour = s[8:10] + minute = s[10:12] + second = s[12:] + + t = ':'.join([hour, minute, second]) + d = ''.join([year, month, day]) + return d, t \ No newline at end of file