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

[增强功能] 加固

Browse Source
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
Show Stats Download Patch File Download Diff File Expand all files Collapse all files

40
vnpy/gateway/ib/ib_gateway.py
View File

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