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[增强功能] 加固

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This commit is contained in:
msincenselee 2020-06-17 21:58:42 +08:00
parent 0d0a7818e1
commit bb9ec7ba98
1 changed files with 26 additions and 14 deletions
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40
vnpy/gateway/ib/ib_gateway.py
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@ -14,6 +14,7 @@ from queue import Empty
from threading import Thread, Condition
from typing import Optional
import shelve
import chardet
from ibapi import comm
from ibapi.client import EClient
@ -79,7 +80,8 @@ EXCHANGE_VT2IB = {
Exchange.HKFE: "HKFE",
Exchange.CFE: "CFE",
Exchange.NYSE: "NYSE",
Exchange.NASDAQ: "NASDAQ"
Exchange.NASDAQ: "NASDAQ",
Exchange.AMEX: "AMEX"
}
EXCHANGE_IB2VT = {v: k for k, v in EXCHANGE_VT2IB.items()}
@ -176,7 +178,7 @@ class IbGateway(BaseGateway):
port = setting["TWS端口"]
clientid = setting["客户号"]
account = setting["交易账户"]
self.write_log(f'开始连接{account}')
self.api.connect(host, port, clientid, account)
def close(self):
@ -184,11 +186,13 @@ class IbGateway(BaseGateway):
Close gateway connection.
"""
self.api.close()
self.write_log(f'{self.gateway_name}断开')
def subscribe(self, req: SubscribeRequest):
"""
Subscribe tick data update.
"""
self.write_log(f'订阅行情:{req.__dict__}')
self.api.subscribe(req)
def send_order(self, req: OrderRequest):
@ -623,6 +627,7 @@ class IbApi(EWrapper):
Connect to TWS.
"""
if self.status:
self.gateway.write_log(f'已连接，不再重连')
return
self.clientid = clientid
@ -728,10 +733,12 @@ class IbApi(EWrapper):
def query_history(self, req: HistoryRequest):
""""""
self.gateway.write_log(f'查询历史数据:{req.__dict__}')
self.history_req = req
self.reqid += 1
# 转换为ib的合约
ib_contract = generate_ib_contract(req.symbol, req.exchange)
if req.end:
@ -822,21 +829,26 @@ class IbClient(EClient):
def generate_ib_contract(symbol: str, exchange: Exchange) -> Optional[Contract]:
"""生成ib合约"""
try:
fields = symbol.split(JOIN_SYMBOL)
ib_contract = Contract()
ib_contract.exchange = EXCHANGE_VT2IB[exchange]
ib_contract.secType = fields[-1]
ib_contract.currency = fields[-2]
ib_contract.symbol = fields[0]
if JOIN_SYMBOL in symbol:
fields = symbol.split(JOIN_SYMBOL)
ib_contract.exchange = EXCHANGE_VT2IB[exchange]
ib_contract.secType = fields[-1]
ib_contract.currency = fields[-2]
ib_contract.symbol = fields[0]
if ib_contract.secType in ["FUT", "OPT", "FOP"]:
ib_contract.lastTradeDateOrContractMonth = fields[1]
if ib_contract.secType in ["FUT", "OPT", "FOP"]:
ib_contract.lastTradeDateOrContractMonth = fields[1]
if ib_contract.secType in ["OPT", "FOP"]:
ib_contract.right = fields[2]
ib_contract.strike = float(fields[3])
ib_contract.multiplier = int(fields[4])
else:
ib_contract.symbol = symbol
ib_contract.exchange = EXCHANGE_VT2IB[exchange]
ib_contract.secType = "STK"
if ib_contract.secType in ["OPT", "FOP"]:
ib_contract.right = fields[2]
ib_contract.strike = float(fields[3])
ib_contract.multiplier = int(fields[4])
except IndexError:
ib_contract = None