Merge pull request #1476 from 1122455801/tiger_gateway_version_06
[Mod] tiger_gateway.py
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vn.py
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bea1facfaf
@ -9,6 +9,7 @@ from datetime import datetime
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from multiprocessing.dummy import Pool
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from queue import Empty, Queue
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import functools
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import traceback
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import pandas as pd
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from pandas import DataFrame
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@ -70,7 +71,7 @@ STATUS_TIGER2VT = {
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ORDER_STATUS.CANCELLED: Status.CANCELLED,
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ORDER_STATUS.PENDING_CANCEL: Status.CANCELLED,
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ORDER_STATUS.REJECTED: Status.REJECTED,
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ORDER_STATUS.EXPIRED: Status.NOTTRADED,
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ORDER_STATUS.EXPIRED: Status.NOTTRADED
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}
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PUSH_STATUS_TIGER2VT = {
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@ -81,7 +82,7 @@ PUSH_STATUS_TIGER2VT = {
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"Submitted": Status.SUBMITTING,
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"PendingSubmit": Status.SUBMITTING,
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"Filled": Status.ALLTRADED,
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"Inactive": Status.REJECTED,
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"Inactive": Status.REJECTED
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}
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@ -91,13 +92,13 @@ class TigerGateway(BaseGateway):
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"tiger_id": "",
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"account": "",
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"standard_account": "",
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"private_key": '',
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}
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def __init__(self, event_engine):
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"""Constructor"""
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super(TigerGateway, self).__init__(event_engine, "TIGER")
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self.private_key = ""
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self.tiger_id = ""
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self.account = ""
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self.standard_account = ""
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@ -108,6 +109,7 @@ class TigerGateway(BaseGateway):
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self.quote_client = None
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self.push_client = None
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self.local_id = 1000000
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self.tradeid = 0
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self.active = False
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@ -124,6 +126,7 @@ class TigerGateway(BaseGateway):
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while self.active:
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try:
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func, arg = self.queue.get(timeout=0.1)
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print(func, arg)
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if arg:
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func(arg)
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else:
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@ -137,7 +140,7 @@ class TigerGateway(BaseGateway):
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def connect(self, setting: dict):
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""""""
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self.private_key = self.private_key
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self.private_key = setting['private_key']
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self.tiger_id = setting["tiger_id"]
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self.account = setting["account"]
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self.standard_account = setting["standard_account"]
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@ -154,6 +157,7 @@ class TigerGateway(BaseGateway):
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self.add_task(self.connect_quote)
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self.add_task(self.connect_trade)
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self.add_task(self.connect_push)
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self.write_log("行情接口连接成功")
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# self.thread.start()
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@ -171,17 +175,15 @@ class TigerGateway(BaseGateway):
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"""
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Connect to market data server.
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"""
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self.quote_client = QuoteClient(self.client_config)
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try:
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self.quote_client = QuoteClient(self.client_config)
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self.symbol_names = dict(self.quote_client.get_symbol_names(lang=Language.zh_CN))
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self.query_contract()
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except ApiException:
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self.write_log("行情接口连接失败")
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self.write_log("查询合约失败")
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return
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if self.symbol_names:
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self.add_task(self.query_contract)
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self.write_log("行情接口连接成功")
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self.write_log("合约查询成功")
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def connect_trade(self):
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"""
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@ -189,17 +191,14 @@ class TigerGateway(BaseGateway):
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"""
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self.trade_client = TradeClient(self.client_config)
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try:
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data = self.trade_client.get_managed_accounts()
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self.add_task(self.query_order)
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self.add_task(self.query_position)
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self.add_task(self.query_account)
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except ApiException:
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self.write_log("交易接口连接失败")
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return
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if data:
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self.add_task(self.query_order)
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self.add_task(self.query_position)
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self.add_task(self.query_account)
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self.write_log("交易接口连接成功")
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self.write_log("交易接口连接成功")
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def connect_push(self):
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"""
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@ -286,6 +285,7 @@ class TigerGateway(BaseGateway):
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def on_order_change(self, tiger_account: str, data: list):
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""""""
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print("委托", data)
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self.local_id += 1
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data = dict(data)
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symbol, exchange = convert_symbol_tiger2vt(data["origin_symbol"])
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status = PUSH_STATUS_TIGER2VT[data["status"]]
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@ -293,7 +293,8 @@ class TigerGateway(BaseGateway):
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order = OrderData(
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symbol=symbol,
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exchange=exchange,
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orderid=data["order_id"],
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# orderid=data["order_id"],
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orderid=self.local_id,
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direction=Direction.NET,
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price=data.get("limit_price", 0),
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volume=data["quantity"],
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@ -322,6 +323,11 @@ class TigerGateway(BaseGateway):
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def send_order(self, req: OrderRequest):
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""""""
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self.local_id += 1
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order = req.create_order_data(self.local_id, self.gateway_name)
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return order.vt_orderid
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self.on_order(order)
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self.add_task(self._send_order, req)
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def _send_order(self, req: OrderRequest):
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@ -331,12 +337,6 @@ class TigerGateway(BaseGateway):
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# first, get contract
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try:
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contract = self.trade_client.get_contracts(symbol=req.symbol, currency=currency)[0]
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except ApiException:
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self.write_log("获取合约对象失败")
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return
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# second, create order
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try:
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order = self.trade_client.create_order(
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account=self.account,
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contract=contract,
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@ -345,24 +345,11 @@ class TigerGateway(BaseGateway):
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quantity=int(req.volume),
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limit_price=req.price,
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)
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except ApiException:
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self.write_log("创建订单失败")
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self.trade_client.place_order(order)
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except: # noqa
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self.write_log("发单失败")
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return
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# third, place order
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try:
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data = self.trade_client.place_order(order)
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except ApiException:
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self.write_log("发送订单失败")
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return
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if data:
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orderid = order.order_id
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order = req.create_order_data(orderid, self.gateway_name)
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self.on_order(order)
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return order.vt_orderid
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def cancel_order(self, req: CancelRequest):
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""""""
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self.add_task(self._cancel_order, req)
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@ -373,7 +360,6 @@ class TigerGateway(BaseGateway):
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data = self.trade_client.cancel_order(order_id=req.orderid)
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except ApiException:
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self.write_log(f"撤单失败：{req.orderid}")
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return
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if not data:
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self.write_log('撤单成功')
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@ -382,12 +368,8 @@ class TigerGateway(BaseGateway):
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""""""
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# HK Stock
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try:
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symbols_names_HK = self.quote_client.get_symbol_names(lang=Language.zh_CN, market=Market.HK)
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contract_names_HK = DataFrame(symbols_names_HK, columns=['symbol', 'name'])
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except ApiException:
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self.write_log("查询合约失败")
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return
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symbols_names_HK = self.quote_client.get_symbol_names(lang=Language.zh_CN, market=Market.HK)
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contract_names_HK = DataFrame(symbols_names_HK, columns=['symbol', 'name'])
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contractList = list(contract_names_HK["symbol"])
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i, n = 0, len(contractList)
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@ -397,7 +379,6 @@ class TigerGateway(BaseGateway):
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c = contractList[i - 500:i]
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r = self.quote_client.get_trade_metas(c)
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result = result.append(r)
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pass
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contract_detail_HK = result.sort_values(by="symbol", ascending=True)
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contract_HK = pd.merge(contract_names_HK, contract_detail_HK, how='left', on='symbol')
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@ -439,7 +420,8 @@ class TigerGateway(BaseGateway):
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for ix, row in contract_CN.iterrows():
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symbol = row["symbol"]
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symbol, exchange = convert_symbol_tiger2vt(symbol)
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if symbol == '600001':
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print(f"symbol: {symbol} t:{type(symbol)} l:{len(symbol)} ex:{exchange} n:{row['name']}")
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contract = ContractData(
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symbol=symbol,
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exchange=exchange,
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@ -451,9 +433,7 @@ class TigerGateway(BaseGateway):
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)
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self.on_contract(contract)
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self.contracts[contract.vt_symbol] = contract
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self.write_log("合约查询成功")
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def query_account(self):
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""""""
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try:
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@ -500,7 +480,9 @@ class TigerGateway(BaseGateway):
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""""""
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try:
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data = self.trade_client.get_orders()
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except ApiException:
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data = sorted(data, key=lambda x: x.order_time, reverse=False)
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except: # noqa
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traceback.print_exc()
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self.write_log("查询委托失败")
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return
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@ -518,11 +500,12 @@ class TigerGateway(BaseGateway):
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""""""
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for i in data:
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symbol, exchange = convert_symbol_tiger2vt(str(i.contract))
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self.local_id += 1
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order = OrderData(
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symbol=symbol,
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exchange=exchange,
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orderid=str(i.order_id),
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orderid=self.local_id,
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# orderid=str(i.order_id),
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direction=Direction.NET,
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price=i.limit_price if i.limit_price else 0.0,
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volume=i.quantity,
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@ -541,6 +524,7 @@ class TigerGateway(BaseGateway):
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for i in reversed(data):
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if i.status == ORDER_STATUS.PARTIALLY_FILLED or i.status == ORDER_STATUS.FILLED:
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symbol, exchange = convert_symbol_tiger2vt(str(i.contract))
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self.local_id += 1
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self.tradeid += 1
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trade = TradeData(
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@ -548,7 +532,7 @@ class TigerGateway(BaseGateway):
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exchange=exchange,
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direction=Direction.NET,
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tradeid=self.tradeid,
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orderid=i.order_id,
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orderid=self.local_id,
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price=i.avg_fill_price,
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volume=i.filled,
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time=datetime.fromtimestamp(i.trade_time / 1000).strftime("%H:%M:%S"),
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