[Add] Start ib gateway development
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vn.py
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vnpy/gateway/ib/ib_gateway.py
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271
vnpy/gateway/ib/ib_gateway.py
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"""
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Please install ibapi from Interactive Brokers github page.
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"""
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from datetime import datetime
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from copy import copy
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from ibapi.wrapper import EWrapper
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from ibapi.client import EClient
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from vnpy.trader.gateway import Gateway
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from vnpy.trader.object import (
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TickData,
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OrderData,
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TradeData,
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ContractData,
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PositionData,
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AccountData,
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LogData,
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SubscribeRequest,
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OrderRequest,
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CancelRequest
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)
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from vnpy.trader.constant import (
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PRODUCT_EQUITY,
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PRODUCT_FOREX,
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PRODUCT_SPOT,
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PRODUCT_FUTURES,
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PRODUCT_OPTION,
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PRICETYPE_LIMIT,
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PRICETYPE_MARKET,
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DIRECTION_LONG,
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DIRECTION_SHORT,
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EXCHANGE_SMART,
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EXCHANGE_NYMEX,
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EXCHANGE_GLOBEX,
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EXCHANGE_IDEALPRO,
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EXCHANGE_HKEX,
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EXCHANGE_HKFE,
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EXCHANGE_CME,
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EXCHANGE_ICE,
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CURRENCY_CNY,
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CURRENCY_HKD,
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CURRENCY_USD,
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STATUS_SUBMITTING,
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STATUS_NOTTRADED,
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STATUS_PARTTRADED,
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STATUS_ALLTRADED,
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STATUS_CANCELLED,
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STATUS_REJECTED,
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OPTION_CALL,
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OPTION_PUT
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)
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PRICETYPE_VT2IB = {PRICETYPE_LIMIT: "LMT", PRICETYPE_MARKET: "MKT"}
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PRICETYPE_IB2VT = {v: k for k, v in PRICETYPE_VT2IB.items()}
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DIRECTION_VT2IB = {DIRECTION_LONG: "BUY", DIRECTION_SHORT: "SELL"}
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DIRECTION_IB2VT = {v: k for k, v in DIRECTION_IB2VT.items()}
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EXCHANGE_VT2IB = {
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EXCHANGE_SMART: "SMART",
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EXCHANGE_NYMEX: "NYMEX",
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EXCHANGE_GLOBEX: "GLOBEX",
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EXCHANGE_IDEALPRO: "IDEALPRO",
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EXCHANGE_CME: "CME",
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EXCHANGE_ICE: "ICE",
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EXCHANGE_HKEX: "HKEX",
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EXCHANGE_HKFE: "HKFE"
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}
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EXCHANGE_IB2VT = {v: k for k, v in EXCHANGE_VT2IB.items()}
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STATUS_IB2VT = {
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"Submitted": STATUS_NOTTRADED,
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"Filled": STATUS_ALLTRADED,
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"Cancelled": STATUS_CANCELLED,
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"PendingSubmit": STATUS_SUBMITTING,
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"PreSubmitted": STATUS_NOTTRADED
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}
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PRODUCT_VT2IB = {
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PRODUCT_EQUITY: "STK",
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PRODUCT_FOREX: "CASH",
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PRODUCT_SPOT: "CMDTY",
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PRODUCT_OPTION: "OPT",
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PRODUCT_FUTURES: "FUT"
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}
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OPTION_VT2IB = {OPTION_CALL: "CALL", OPTION_PUT: "PUT"}
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CURRENCY_VT2IB = {CURRENCY_USD: "USD", CURRENCY_CNY: "CNY", CURRENCY_HKD: "HKD"}
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TICKFIELD_IB2VT = {
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0: "bid_volume_1",
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1: "bid_price_1",
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2: "ask_price_1",
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3: "ask_volume_1",
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4: "last_price",
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5: "last_volume",
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6: "high_price",
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7: "low_price",
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8: "volume",
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9: "pre_close",
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14: "open_price"
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}
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ACCOUNTFIELD_IB2VT = {
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"NetLiquidationByCurrency": "balance",
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"NetLiquidation": "balance",
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"UnrealizedPnL": "positionProfit",
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"AvailableFunds": "available",
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"MaintMarginReq": "margin",
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}
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class IbGateway(Gateway):
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""""""
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def __init__(self, event_engine):
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""""""
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super(Gateway, self).__init__(event_engine, "IB")
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def connect(self):
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"""
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Start gateway connection.
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"""
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pass
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def close(self):
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"""
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Close gateway connection.
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"""
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pass
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def subscribe(self, req: SubscribeRequest):
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"""
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Subscribe tick data update.
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"""
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pass
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def send_order(self, req: OrderRequest):
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"""
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Send a new order.
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"""
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pass
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def cancel_order(self, req: CancelRequest):
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"""
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Cancel an existing order.
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"""
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pass
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def query_account(self):
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"""
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Query account balance.
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"""
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pass
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def query_position(self):
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"""
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Query holding positions.
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"""
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pass
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class IbApi(EWrapper):
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""""""
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def __init__(self, gateway: Gateway):
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""""""
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super(IbApi, self).__init__()
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self.gateway = gateway
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self.gateway_name = gateway.gateway_name
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self.status = False
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self.orderid = 0
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self.ticks = {}
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self.orders = {}
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self.accounts = {}
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self.contracts = {}
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def nextValidId(self, orderId: int):
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"""
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Callback of next valid orderid.
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"""
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super(IbApi, self).nextValidId(orderId)
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self.orderid = orderId
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def currentTime(self, time: int):
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"""
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Callback of current server time of IB.
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"""
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super(IbApi, self).currentTime(time)
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self.status = True
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dt = datetime.fromtimestamp(time)
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time_string = dt.strftime("%Y-%m-%d %H:%M:%S.%f")
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log = LogData(
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msg=f"IB TWS连接成功，服务器时间: {time_string}",
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gateway_name=self.gateway_name
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)
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self.gateway.on_log(log)
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def error(self, reqId: TickerId, errorCode: int, errorString: str):
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"""
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Callback of error caused by specific request.
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"""
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super(IbApi, self).error(reqId, errorCode, errorString)
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log = LogData(
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msg=f"发生错误，错误代码：{errorCode}，错误信息: {errorString}",
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gateway_name=self.gateway_name
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)
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self.gateway.on_log(log)
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def tickPrice(
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self,
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reqId: TickerId,
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tickType: TickType,
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price: float,
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attrib: TickAttrib
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):
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"""
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Callback of tick price update.
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"""
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super(IbApi, self).tickPrice(reqId, tickType, price, attrib)
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if tickType not in TICKFIELD_IB2VT:
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return
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tick = self.ticks[reqId]
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name = TICKFIELD_IB2VT[tickType]
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setattr(tick, name, price)
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# Forex and spot product of IB has no tick time and last price.
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# We need to calculate locally.
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contract = self.contracts[reqId]
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if contract.product in (PRODUCT_FOREX, PRODUCT_SPOT):
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tick.last_price = (tick.bid_price_1 + tick.ask_price_1) / 2
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tick.datetime = datetime.now()
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self.gateway.on_tick(copy(tick))
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def tickSize(self, reqId: TickerId, tickType: TickType, size: int):
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"""
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Callback of tick volume update.
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"""
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super(IbApi, self).tickSize(reqId, tickType, size)
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if tickType not in TICKFIELD_IB2VT:
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return
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tick = self.ticks[reqId]
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name = TICKFIELD_IB2VT[tickType]
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setattr(tick, name, size)
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self.gateway.on_tick(copy(tick))
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def tickString(self, reqId: TickerId, tickType: TickType, value: str):
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"""
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Callback of tick string update.
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"""
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super().tickString(reqId, tickType, value)
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if tickType != "45":
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return
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tick = self.ticks[reqId]
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tick.datetime = datetime.fromtimestamp(value)
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self.gateway.on_tick(copy(tick))
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@ -2,54 +2,64 @@
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General constant string used in VN Trader.
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General constant string used in VN Trader.
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"""
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"""
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DIRECTION_LONG = '多'
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DIRECTION_LONG = "多"
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DIRECTION_SHORT = '空'
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DIRECTION_SHORT = "空"
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DIRECTION_NET = '净'
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DIRECTION_NET = "净"
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OFFSET_OPEN = '开'
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OFFSET_OPEN = "开"
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OFFSET_CLOSE = '平'
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OFFSET_CLOSE = "平"
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OFFSET_CLOSETODAY = '平今'
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OFFSET_CLOSETODAY = "平今"
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OFFSET_CLOSEYESTERDAY = '平昨'
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OFFSET_CLOSEYESTERDAY = "平昨"
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STATUS_SUBMITTING = '提交中'
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STATUS_SUBMITTING = "提交中"
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STATUS_NOTTRADED = '未成交'
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STATUS_NOTTRADED = "未成交"
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STATUS_PARTTRADED = '部分成交'
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STATUS_PARTTRADED = "部分成交"
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STATUS_ALLTRADED = '全部成交'
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STATUS_ALLTRADED = "全部成交"
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STATUS_CANCELLED = '已撤销'
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STATUS_CANCELLED = "已撤销"
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STATUS_REJECTED = '拒单'
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STATUS_REJECTED = "拒单"
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PRODUCT_EQUITY = '股票'
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PRODUCT_EQUITY = "股票"
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PRODUCT_FUTURES = '期货'
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PRODUCT_FUTURES = "期货"
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PRODUCT_OPTION = '期权'
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PRODUCT_OPTION = "期权"
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PRODUCT_INDEX = '指数'
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PRODUCT_INDEX = "指数"
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PRODUCT_FOREX = '外汇'
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PRODUCT_FOREX = "外汇"
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PRODUCT_SPOT = '现货'
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PRODUCT_SPOT = "现货"
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PRICETYPE_LIMIT = '限价'
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PRICETYPE_LIMIT = "限价"
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PRICETYPE_MARKET = '市价'
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PRICETYPE_MARKET = "市价"
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PRICETYPE_FAK = 'FAK'
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PRICETYPE_FAK = "FAK"
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PRICETYPE_FOK = 'FOK'
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PRICETYPE_FOK = "FOK"
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OPTION_CALL = '看涨期权'
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OPTION_CALL = "看涨期权"
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OPTION_PUT = '看跌期权'
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OPTION_PUT = "看跌期权"
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EXCHANGE_SSE = 'SSE'
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EXCHANGE_SSE = "SSE"
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EXCHANGE_SZSE = 'SZSE'
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EXCHANGE_SZSE = "SZSE"
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EXCHANGE_CFFEX = 'CFFEX'
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EXCHANGE_CFFEX = "CFFEX"
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EXCHANGE_SHFE = 'SHFE'
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EXCHANGE_SHFE = "SHFE"
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EXCHANGE_CZCE = 'CZCE'
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EXCHANGE_CZCE = "CZCE"
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EXCHANGE_DCE = 'DCE'
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EXCHANGE_DCE = "DCE"
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EXCHANGE_INE = 'INE'
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EXCHANGE_INE = "INE"
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EXCHANGE_SGE = 'SGE'
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EXCHANGE_SGE = "SGE"
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CURRENCY_USD = 'USD'
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EXCHANGE_SMART = "SMART"
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CURRENCY_HKD = 'HKD'
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EXCHANGE_NYMEX = "NYMEX"
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EXCHANGE_GLOBEX = "GLOBEX"
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EXCHANGE_IDEALPRO = "IDEALPRO"
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EXCHANGE_CME = "CME"
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EXCHANGE_ICE = "ICE"
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EXCHANGE_HKEX = "HKEX"
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EXCHANGE_HKFE = "HKFE"
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INTERVAL_1M = '1分钟'
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CURRENCY_USD = "USD"
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INTERVAL_5M = '5分钟'
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CURRENCY_HKD = "HKD"
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INTERVAL_15M = '15分钟'
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CURRENCY_CNY = "CNY"
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INTERVAL_30M = '30分钟'
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INTERVAL_1H = '1小时'
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INTERVAL_1M = "1分钟"
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INTERVAL_4H = '4小时'
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INTERVAL_5M = "5分钟"
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INTERVAL_DAILY = '日线'
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INTERVAL_15M = "15分钟"
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INTERVAL_WEEKLY = '周线'
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INTERVAL_30M = "30分钟"
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INTERVAL_1H = "1小时"
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INTERVAL_4H = "4小时"
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INTERVAL_DAILY = "日线"
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INTERVAL_WEEKLY = "周线"
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@ -6,7 +6,15 @@ from datetime import datetime
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from vnpy.event import EventEngine, Event
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from vnpy.event import EventEngine, Event
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from .event import EVENT_LOG
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from .event import (
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EVENT_LOG,
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EVENT_TICK,
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EVENT_ORDER,
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EVENT_TRADE,
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EVENT_POSITION,
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EVENT_ACCOUNT,
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EVENT_CONTRACT
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)
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from .object import LogData, SubscribeRequest, OrderRequest, CancelRequest
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from .object import LogData, SubscribeRequest, OrderRequest, CancelRequest
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from .utility import Singleton, get_temp_path, check_order_active
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from .utility import Singleton, get_temp_path, check_order_active
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from .setting import SETTINGS
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from .setting import SETTINGS
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@ -31,7 +39,7 @@ class MainEngine:
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self.init_engines()
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self.init_engines()
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def init_engines:
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def init_engines(self):
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"""
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"""
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Init all engines.
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Init all engines.
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"""
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"""
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@ -47,12 +55,13 @@ class MainEngine:
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self.get_position = oms_engine.get_position
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self.get_position = oms_engine.get_position
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self.get_account = oms_engine.get_account
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self.get_account = oms_engine.get_account
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self.get_contract = oms_engine.get_contract
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self.get_contract = oms_engine.get_contract
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self.get_all_ticks = oms.get_all_ticks
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self.get_contract = oms_engine.get_contract
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self.get_all_orders = oms.get_all_orders
|
self.get_all_ticks = oms_engine.get_all_ticks
|
||||||
self.get_all_trades = oms.get_all_trades
|
self.get_all_orders = oms_engine.get_all_orders
|
||||||
self.get_all_positions = oms.get_all_positions
|
self.get_all_trades = oms_engine.get_all_trades
|
||||||
self.get_all_accounts = oms.get_all_accounts
|
self.get_all_positions = oms_engine.get_all_positions
|
||||||
self.get_all_active_orders = oms.get_all_active_orders
|
self.get_all_accounts = oms_engine.get_all_accounts
|
||||||
|
self.get_all_active_orders = oms_engine.get_all_active_orders
|
||||||
|
|
||||||
def write_log(self, msg: str):
|
def write_log(self, msg: str):
|
||||||
"""
|
"""
|
||||||
@ -172,7 +181,7 @@ class LogEngine:
|
|||||||
file_handler = logging.FileHandler(file_path, mode='w', encoding='utf8')
|
file_handler = logging.FileHandler(file_path, mode='w', encoding='utf8')
|
||||||
file_handler.setLevel(self.level)
|
file_handler.setLevel(self.level)
|
||||||
file_handler.setFormatter(self.formatter)
|
file_handler.setFormatter(self.formatter)
|
||||||
self.logger.StreamHandler(file_handler)
|
self.logger.addHandler(file_handler)
|
||||||
|
|
||||||
def register_event(self):
|
def register_event(self):
|
||||||
""""""
|
""""""
|
||||||
@ -251,7 +260,7 @@ class OmsEngine:
|
|||||||
def process_contract_event(self, event: Event):
|
def process_contract_event(self, event: Event):
|
||||||
""""""
|
""""""
|
||||||
contract = event.data
|
contract = event.data
|
||||||
self.contracts[contract.vt_symbol]] = contract
|
self.contracts[contract.vt_symbol] = contract
|
||||||
|
|
||||||
def get_tick(self, vt_symbol):
|
def get_tick(self, vt_symbol):
|
||||||
"""
|
"""
|
||||||
@ -334,5 +343,8 @@ class OmsEngine:
|
|||||||
if not vt_symbol:
|
if not vt_symbol:
|
||||||
return list(self.active_orders.values())
|
return list(self.active_orders.values())
|
||||||
else:
|
else:
|
||||||
active_orders = [order for order in self.active_orders.values() if order.vt_symbol == vt_symbol]
|
active_orders = [
|
||||||
|
order for order in self.active_orders.values()
|
||||||
|
if order.vt_symbol == vt_symbol
|
||||||
|
]
|
||||||
return active_orders
|
return active_orders
|
||||||
Loading…
Reference in New Issue
Block a user