[Add]新增用于连接TradeSim的tkproGateway
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vn.py
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c1ef3422a0
7
examples/OptionMaster/CTP_connect.json
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7
examples/OptionMaster/CTP_connect.json
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@ -0,0 +1,7 @@
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{
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"brokerID": "9999",
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"mdAddress": "tcp://180.168.146.187:10011",
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"tdAddress": "tcp://180.168.146.187:10001",
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"userID": "simnow申请",
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"password": "simnow申请"
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}
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6
examples/OptionMaster/SEC_connect.json
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6
examples/OptionMaster/SEC_connect.json
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@ -0,0 +1,6 @@
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{
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"accountID": "110100001088",
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"password": "123456",
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"mdAddress": "tcp://203.86.95.187:10915",
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"tdAddress": "tcp://203.86.95.187:10910"
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}
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@ -1,6 +0,0 @@
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{
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"accountID": "200100000085",
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"password": "332036",
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"mdAddress": "tcp://101.226.253.121:20915",
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"tdAddress": "tcp://101.226.253.121:20910"
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}
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@ -1 +1 @@
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3PhIldq+vwFT0Ap6unvLxA==
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lBUnZalf043zoNavP3G6rA==
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@ -16,7 +16,7 @@ from vnpy.trader.uiQt import createQApp
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from vnpy.trader.uiMainWindow import MainWindow
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# 加载底层接口
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from vnpy.trader.gateway import (secGateway)
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from vnpy.trader.gateway import (secGateway, ctpGateway)
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# 加载上层应用
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from vnpy.trader.app import (riskManager, optionMaster)
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@ -36,6 +36,7 @@ def main():
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# 添加交易接口
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me.addGateway(secGateway)
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me.addGateway(ctpGateway)
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# 添加上层应用
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me.addApp(riskManager)
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@ -1,7 +0,0 @@
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{
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"accessKey": "火币网站申请",
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"secretKey": "火币网站申请",
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"interval": 0.5,
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"market": "cny",
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"debug": false
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}
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@ -1,7 +0,0 @@
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{
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"host": "CNY",
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"apiKey": "OKCOIN网站申请",
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"secretKey": "OKCOIN网站申请",
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"trace": false,
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"leverage": 20
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}
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7
examples/VnTrader/TKPRO_connect.json
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7
examples/VnTrader/TKPRO_connect.json
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@ -0,0 +1,7 @@
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{
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"username": "请在quantos.org申请",
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"token": "请在quantos.org申请",
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"strategy": 625,
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"tradeAddress": "tcp://gw.quantos.org:8901",
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"dataAddress": "tcp://data.tushare.org:8910"
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}
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@ -1 +0,0 @@
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PurwJxAEvTeQ9X8HMnmMRw==
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@ -17,7 +17,7 @@ from vnpy.trader.uiMainWindow import MainWindow
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# 加载底层接口
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from vnpy.trader.gateway import (ctpGateway, oandaGateway, ibGateway,
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huobiGateway, okcoinGateway)
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tkproGateway)
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if system == 'Windows':
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from vnpy.trader.gateway import (femasGateway, xspeedGateway,
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@ -44,10 +44,9 @@ def main():
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# 添加交易接口
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me.addGateway(ctpGateway)
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me.addGateway(tkproGateway)
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me.addGateway(oandaGateway)
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me.addGateway(ibGateway)
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me.addGateway(huobiGateway)
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me.addGateway(okcoinGateway)
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if system == 'Windows':
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me.addGateway(femasGateway)
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201
vnpy/trader/gateway/tkproGateway/DataApi/LICENSE
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201
vnpy/trader/gateway/tkproGateway/DataApi/LICENSE
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@ -0,0 +1,201 @@
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Apache License
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44
vnpy/trader/gateway/tkproGateway/DataApi/README.md
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44
vnpy/trader/gateway/tkproGateway/DataApi/README.md
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# DataApi
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标准数据API定义。
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# 安装步骤
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## 1、安装Python环境
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如果本地还没有安装Python环境，强烈建议安装 [Anaconda](http://www.continuum.io/downloads "Anaconda")。
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打开上面的网址，选择相应的操作系统，确定要按照的Python版本，一般建议用Python 2.7。
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|
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下载完成以后，按照图形界面步骤完成安装。在默认情况下，Anaconda会自动设置PATH环境。
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|
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## 2、安装依赖包
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|
||||
如果Python环境不是类似Anaconda的集成开发环境，我们需要单独安装依赖包，在已经有pandas/numpy包前提下，还需要有以下几个包：
|
||||
|
||||
- pyzmq
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- msgpack_python
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- python-snappy
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可以通过单个安装完成，例如： `pip install pyzmq`
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|
||||
需要注意的是，python-snappy这个包在Windows上的安装需要比较多的编译依赖,建议从[这个网页](http://www.lfd.uci.edu/~gohlke/pythonlibs)下载编译好的包，然后安装:
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||||
|
||||
```shell
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pip install python_snappy-0.5.1-cp27-cp27m-win_amd64.whl
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```
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## 3、使用DataApi
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```python
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from .data_api import DataApi # 这里假设工作目录是项目根目录
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api = DataApi(addr="tcp://data.tushare.org:8910")
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result, msg = api.login("username", "token") # 示例账户，用户需要改为自己在www.quantos.org上注册的账户
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print(result)
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print(msg)
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|
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```
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12
vnpy/trader/gateway/tkproGateway/DataApi/__init__.py
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12
vnpy/trader/gateway/tkproGateway/DataApi/__init__.py
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# encoding: utf-8
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"""
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Core data api for fetching data from remote service.
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"""
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from __future__ import absolute_import
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from __future__ import division
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from __future__ import print_function
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from __future__ import unicode_literals
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from .data_api import DataApi
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__all__ = ['DataApi']
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578
vnpy/trader/gateway/tkproGateway/DataApi/data_api.py
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578
vnpy/trader/gateway/tkproGateway/DataApi/data_api.py
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from __future__ import absolute_import
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from __future__ import division
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from __future__ import print_function
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from __future__ import unicode_literals
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||||
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from builtins import *
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import time
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import numpy as np
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from . import jrpc_py
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# import jrpc
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from . import utils
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||||
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||||
# def set_log_dir(log_dir):
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||||
# if log_dir:
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||||
# jrpc.set_log_dir(log_dir)
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||||
class DataApiCallback(object):
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||||
"""DataApi Callback
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||||
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||||
def on_quote(quote):
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pass
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||||
def on_connection()
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||||
"""
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||||
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||||
def __init__(self):
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self.on_quote = None
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class DataApi(object):
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"""
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Abstract base class providing both historic and live data
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from various data sources.
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Current API version: 1.0
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Attributes
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----------
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Methods
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||||
-------
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||||
subscribe
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quote
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||||
daily
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||||
bar
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||||
bar_quote
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||||
|
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"""
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def __init__(self, addr="tcp://data.tushare.org:8910", use_jrpc=False):
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"""Create DataApi client.
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||||
If use_jrpc, try to load the C version of JsonRpc. If failed, use pure
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||||
Python version of JsonRpc.
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||||
"""
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self._remote = None
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# if use_jrpc:
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||||
# try:
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||||
# import jrpc
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||||
# self._remote = jrpc.JRpcClient()
|
||||
# except Exception as e:
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||||
# print "Can't load jrpc", e.message
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||||
|
||||
if not self._remote:
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||||
self._remote = jrpc_py.JRpcClient()
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||||
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||||
self._remote.on_rpc_callback = self._on_rpc_callback
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||||
self._remote.on_disconnected = self._on_disconnected
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||||
self._remote.on_connected = self._on_connected
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||||
self._remote.connect(addr)
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||||
|
||||
self._on_jsq_callback = None
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||||
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||||
self._connected = False
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||||
self._loggined = False
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||||
self._username = ""
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||||
self._password = ""
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self._data_format = "default"
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||||
self._callback = None
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||||
self._schema = []
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||||
self._schema_id = 0
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||||
self._schema_map = {}
|
||||
self._sub_hash = ""
|
||||
self._subscribed_set = set()
|
||||
self._timeout = 20
|
||||
|
||||
def login(self, username, password):
|
||||
|
||||
"""
|
||||
Login before using data api.
|
||||
|
||||
Parameters
|
||||
----------
|
||||
username : str
|
||||
username
|
||||
password : str
|
||||
password
|
||||
"""
|
||||
for i in range(3):
|
||||
if self._connected:
|
||||
break
|
||||
time.sleep(1)
|
||||
|
||||
if not self._connected:
|
||||
return (None, "-1,no connection")
|
||||
|
||||
self._username = username
|
||||
self._password = password
|
||||
return self._do_login()
|
||||
|
||||
def logout(self):
|
||||
"""
|
||||
Logout to stop using the data api or switch users.
|
||||
|
||||
"""
|
||||
self._loggined = None
|
||||
|
||||
rpc_params = {}
|
||||
|
||||
cr = self._remote.call("auth.logout", rpc_params)
|
||||
return utils.extract_result(cr)
|
||||
|
||||
def close(self):
|
||||
"""
|
||||
Close the data api.
|
||||
|
||||
"""
|
||||
|
||||
self._remote.close()
|
||||
|
||||
# def set_callback(self, callback):
|
||||
|
||||
# self._callback = callback
|
||||
|
||||
def set_timeout(self, timeout):
|
||||
"""
|
||||
Set timeout for data api.
|
||||
Default timeout is 20s.
|
||||
|
||||
Parameters
|
||||
----------
|
||||
timeout : int
|
||||
the max waiting time for the api return
|
||||
|
||||
"""
|
||||
self._timeout = timeout
|
||||
|
||||
def set_data_format(self, format):
|
||||
"""Set queried data format.
|
||||
|
||||
Available formats are:
|
||||
"" -- Don't convert data, usually the type is map
|
||||
"pandas" -- Convert table likely data to DataFrame
|
||||
"""
|
||||
self._data_format = format
|
||||
|
||||
def set_heartbeat(self, interval, timeout):
|
||||
self._remote.set_hearbeat_options(interval, timeout)
|
||||
|
||||
def quote(self, symbol, fields="", data_format="", **kwargs):
|
||||
|
||||
r, msg = self._call_rpc("jsq.query",
|
||||
self._get_format(data_format, "pandas"),
|
||||
"Quote",
|
||||
_index_column="symbol",
|
||||
symbol=str(symbol),
|
||||
fields=fields,
|
||||
**kwargs)
|
||||
return (r, msg)
|
||||
|
||||
def bar(self, symbol, start_time=200000, end_time=160000,
|
||||
trade_date=0, freq="1m", fields="", data_format="", **kwargs):
|
||||
|
||||
"""
|
||||
Query minute bars of various type, return DataFrame.
|
||||
|
||||
Parameters
|
||||
----------
|
||||
symbol : str
|
||||
support multiple securities, separated by comma.
|
||||
start_time : int (HHMMSS) or str ('HH:MM:SS')
|
||||
Default is market open time.
|
||||
end_time : int (HHMMSS) or str ('HH:MM:SS')
|
||||
Default is market close time.
|
||||
trade_date : int (YYYMMDD) or str ('YYYY-MM-DD')
|
||||
Default is current trade_date.
|
||||
fields : str, optional
|
||||
separated by comma ',', default "" (all fields included).
|
||||
freq : trade.common.MINBAR_TYPE, optional
|
||||
{'1m', '5m', '15m'}, Minute bar type, default is '1m'
|
||||
|
||||
Returns
|
||||
-------
|
||||
df : pd.DataFrame
|
||||
columns:
|
||||
symbol, code, date, time, trade_date, freq, open, high, low, close, volume, turnover, vwap, oi
|
||||
msg : str
|
||||
error code and error message joined by comma
|
||||
|
||||
Examples
|
||||
--------
|
||||
df, msg = api.bar("000001.SH,cu1709.SHF", start_time="09:56:00", end_time="13:56:00",
|
||||
trade_date="20170823", fields="open,high,low,last,volume", freq="5m")
|
||||
|
||||
"""
|
||||
|
||||
begin_time = utils.to_time_int(start_time)
|
||||
if (begin_time == -1):
|
||||
return (-1, "Begin time format error")
|
||||
end_time = utils.to_time_int(end_time)
|
||||
if (end_time == -1):
|
||||
return (-1, "End time format error")
|
||||
trade_date = utils.to_date_int(trade_date)
|
||||
if (trade_date == -1):
|
||||
return (-1, "Trade date format error")
|
||||
|
||||
return self._call_rpc("jsi.query",
|
||||
self._get_format(data_format, "pandas"),
|
||||
"Bar",
|
||||
symbol=str(symbol),
|
||||
fields=fields,
|
||||
freq=freq,
|
||||
trade_date=trade_date,
|
||||
begin_time=begin_time,
|
||||
end_time=end_time,
|
||||
**kwargs)
|
||||
|
||||
def bar_quote(self, symbol, start_time=200000, end_time=160000,
|
||||
trade_date=0, freq="1m", fields="", data_format="", **kwargs):
|
||||
"""
|
||||
Query minute bars of various type, return DataFrame.
|
||||
It will also return ask/bid informations of the last quote in this bar
|
||||
|
||||
|
||||
Parameters
|
||||
----------
|
||||
symbol : str
|
||||
support multiple securities, separated by comma.
|
||||
start_time : int (HHMMSS) or str ('HH:MM:SS')
|
||||
Default is market open time.
|
||||
end_time : int (HHMMSS) or str ('HH:MM:SS')
|
||||
Default is market close time.
|
||||
trade_date : int (YYYMMDD) or str ('YYYY-MM-DD')
|
||||
Default is current trade_date.
|
||||
fields : str, optional
|
||||
separated by comma ',', default "" (all fields included).
|
||||
freq : trade.common.MINBAR_TYPE, optional
|
||||
{'1m', '5m', '15m'}, Minute bar type, default is '1m'
|
||||
|
||||
Returns
|
||||
-------
|
||||
df : pd.DataFrame
|
||||
columns:
|
||||
symbol, code, date, time, trade_date, freq, open, high, low, close, volume, turnover, vwap, oi,
|
||||
askprice1, askprice2, askprice3, askprice4, askprice5,
|
||||
bidprice1, bidprice2, bidprice3, bidprice4, bidprice5,
|
||||
askvolume1, askvolume2, askvolume3, askvolume4, askvolume5,
|
||||
bidvolume1, bidvolume2, bidvolume3, bidvolume4, bidvolume5
|
||||
|
||||
msg : str
|
||||
error code and error message joined by comma
|
||||
|
||||
Examples
|
||||
--------
|
||||
df, msg = api.bar_quote("000001.SH,cu1709.SHF", start_time="09:56:00", end_time="13:56:00",
|
||||
trade_date="20170823", fields="open,high,low,last,volume", freq="5m")
|
||||
|
||||
"""
|
||||
begin_time = utils.to_time_int(start_time)
|
||||
if (begin_time == -1):
|
||||
return (-1, "Begin time format error")
|
||||
end_time = utils.to_time_int(end_time)
|
||||
if (end_time == -1):
|
||||
return (-1, "End time format error")
|
||||
trade_date = utils.to_date_int(trade_date)
|
||||
if (trade_date == -1):
|
||||
return (-1, "Trade date format error")
|
||||
|
||||
return self._call_rpc("jsi.bar_view",
|
||||
self._get_format(data_format, "pandas"),
|
||||
"BarQuote",
|
||||
symbol=str(symbol),
|
||||
fields=fields,
|
||||
freq=freq,
|
||||
trade_date=trade_date,
|
||||
begin_time=begin_time,
|
||||
end_time=end_time,
|
||||
**kwargs)
|
||||
|
||||
def daily(self, symbol, start_date, end_date,
|
||||
adjust_mode=None, freq="1d", fields="",
|
||||
data_format="", **kwargs):
|
||||
|
||||
"""
|
||||
Query dar bar,
|
||||
support auto-fill suspended securities data,
|
||||
support auto-adjust for splits, dividends and distributions.
|
||||
|
||||
Parameters
|
||||
----------
|
||||
symbol : str
|
||||
support multiple securities, separated by comma.
|
||||
start_date : int or str
|
||||
YYYMMDD or 'YYYY-MM-DD'
|
||||
end_date : int or str
|
||||
YYYMMDD or 'YYYY-MM-DD'
|
||||
fields : str, optional
|
||||
separated by comma ',', default "" (all fields included).
|
||||
adjust_mode : str or None, optional
|
||||
None for no adjust;
|
||||
'pre' for forward adjust;
|
||||
'post' for backward adjust.
|
||||
|
||||
Returns
|
||||
-------
|
||||
df : pd.DataFrame
|
||||
columns:
|
||||
symbol, code, trade_date, open, high, low, close, volume, turnover, vwap, oi, suspended
|
||||
msg : str
|
||||
error code and error message joined by comma
|
||||
|
||||
Examples
|
||||
--------
|
||||
df, msg = api.daily("000001.SH,cu1709.SHF",start_date=20170503, end_date=20170708,
|
||||
fields="open,high,low,last,volume", adjust_mode = "post")
|
||||
|
||||
"""
|
||||
|
||||
if adjust_mode == None:
|
||||
adjust_mode = "none"
|
||||
|
||||
begin_date = utils.to_date_int(start_date)
|
||||
if (begin_date == -1):
|
||||
return (-1, "Begin date format error")
|
||||
end_date = utils.to_date_int(end_date)
|
||||
if (end_date == -1):
|
||||
return (-1, "End date format error")
|
||||
|
||||
return self._call_rpc("jsd.query",
|
||||
self._get_format(data_format, "pandas"),
|
||||
"Daily",
|
||||
symbol=str(symbol),
|
||||
fields=fields,
|
||||
begin_date=begin_date,
|
||||
end_date=end_date,
|
||||
adjust_mode=adjust_mode,
|
||||
freq=freq,
|
||||
**kwargs)
|
||||
|
||||
def query(self, view, filter="", fields="", data_format="", **kwargs):
|
||||
"""
|
||||
Get various reference data.
|
||||
|
||||
Parameters
|
||||
----------
|
||||
view : str
|
||||
data source.
|
||||
fields : str
|
||||
Separated by ','
|
||||
filter : str
|
||||
filter expressions.
|
||||
kwargs
|
||||
|
||||
Returns
|
||||
-------
|
||||
df : pd.DataFrame
|
||||
msg : str
|
||||
error code and error message, joined by ','
|
||||
|
||||
Examples
|
||||
--------
|
||||
res3, msg3 = ds.query("lb.secDailyIndicator", fields="price_level,high_52w_adj,low_52w_adj",\
|
||||
filter="start_date=20170907&end_date=20170907",\
|
||||
data_format='pandas')
|
||||
view does not change. fileds can be any field predefined in reference data api.
|
||||
|
||||
"""
|
||||
return self._call_rpc("jset.query",
|
||||
self._get_format(data_format, "pandas"),
|
||||
"JSetData",
|
||||
view=view,
|
||||
fields=fields,
|
||||
filter=filter,
|
||||
**kwargs)
|
||||
|
||||
def subscribe(self, symbol, func=None, fields=""):
|
||||
"""Subscribe securites
|
||||
|
||||
This function adds new securities to subscribed list on the server. If
|
||||
success, return subscribed codes.
|
||||
|
||||
If securities is empty, return current subscribed codes.
|
||||
"""
|
||||
r, msg = self._check_session()
|
||||
if not r:
|
||||
return (r, msg)
|
||||
|
||||
if func:
|
||||
self._on_jsq_callback = func
|
||||
|
||||
rpc_params = {"symbol": symbol,
|
||||
"fields": fields}
|
||||
|
||||
cr = self._remote.call("jsq.subscribe", rpc_params)
|
||||
|
||||
rsp, msg = utils.extract_result(cr, data_format="", class_name="SubRsp")
|
||||
if not rsp:
|
||||
return (rsp, msg)
|
||||
|
||||
new_codes = [x.strip() for x in symbol.split(',') if x]
|
||||
|
||||
self._subscribed_set = self._subscribed_set.union(set(new_codes))
|
||||
self._schema_id = rsp['schema_id']
|
||||
self._schema = rsp['schema']
|
||||
self._sub_hash = rsp['sub_hash']
|
||||
self._make_schema_map()
|
||||
return (rsp['symbols'], msg)
|
||||
|
||||
def unsubscribe(self, symbol):
|
||||
"""Unsubscribe securities.
|
||||
|
||||
Unscribe codes and return list of subscribed code.
|
||||
"""
|
||||
assert False, "NOT IMPLEMENTED"
|
||||
|
||||
def __del__(self):
|
||||
self._remote.close()
|
||||
|
||||
def _on_disconnected(self):
|
||||
"""JsonRpc callback"""
|
||||
# print "DataApi: _on_disconnected"
|
||||
self._connected = False
|
||||
|
||||
if self._callback:
|
||||
self._callback("connection", False)
|
||||
|
||||
def _on_connected(self):
|
||||
"""JsonRpc callback"""
|
||||
self._connected = True
|
||||
|
||||
self._do_login()
|
||||
self._do_subscribe()
|
||||
|
||||
if self._callback:
|
||||
self._callback("connection", True)
|
||||
|
||||
def _check_session(self):
|
||||
if not self._connected:
|
||||
return (False, "no connection")
|
||||
elif self._loggined:
|
||||
return (True, "")
|
||||
elif self._username and self._password:
|
||||
return self._do_login()
|
||||
else:
|
||||
return (False, "no login session")
|
||||
|
||||
def _get_format(self, format, default_format):
|
||||
if format:
|
||||
return format
|
||||
elif self._data_format != "default":
|
||||
return self._data_format
|
||||
else:
|
||||
return default_format
|
||||
|
||||
def set_callback(self, callback):
|
||||
self._callback = callback
|
||||
|
||||
def _convert_quote_ind(self, quote_ind):
|
||||
"""Convert original quote_ind to a map.
|
||||
|
||||
The original quote_ind contains field index instead of field name!
|
||||
"""
|
||||
|
||||
if quote_ind['schema_id'] != self._schema_id:
|
||||
return None
|
||||
|
||||
indicators = quote_ind['indicators']
|
||||
values = quote_ind['values']
|
||||
|
||||
max_index = len(self._schema)
|
||||
|
||||
quote = {}
|
||||
for i in range(len(indicators)):
|
||||
if indicators[i] < max_index:
|
||||
quote[self._schema_map[indicators[i]]['name']] = values[i]
|
||||
else:
|
||||
quote[str(indicators[i])] = values[i]
|
||||
|
||||
return quote
|
||||
|
||||
def _on_rpc_callback(self, method, data):
|
||||
# print "_on_rpc_callback:", method, data
|
||||
|
||||
try:
|
||||
if method == "jsq.quote_ind":
|
||||
if self._on_jsq_callback:
|
||||
q = self._convert_quote_ind(data)
|
||||
if q:
|
||||
self._on_jsq_callback("quote", q)
|
||||
|
||||
elif method == ".sys.heartbeat":
|
||||
if 'sub_hash' in data:
|
||||
if self._sub_hash and self._sub_hash != data['sub_hash']:
|
||||
print("sub_hash is not same", self._sub_hash, data['sub_hash'])
|
||||
self._do_subscribe()
|
||||
|
||||
except Exception as e:
|
||||
print("Can't load jrpc", e.message)
|
||||
|
||||
def _call_rpc(self, method, data_format, data_class, **kwargs):
|
||||
|
||||
r, msg = self._check_session()
|
||||
if not r:
|
||||
return (r, msg)
|
||||
|
||||
index_column = None
|
||||
rpc_params = {}
|
||||
for key, value in kwargs.items():
|
||||
if key == '_index_column':
|
||||
index_column = value
|
||||
else:
|
||||
if isinstance(value, (int, np.integer)):
|
||||
value = int(value)
|
||||
rpc_params[key] = value
|
||||
|
||||
cr = self._remote.call(method, rpc_params, timeout=self._timeout)
|
||||
|
||||
return utils.extract_result(cr, data_format=data_format, index_column=index_column, class_name=data_class)
|
||||
|
||||
def _make_schema_map(self):
|
||||
self._schema_map = {}
|
||||
for schema in self._schema:
|
||||
self._schema_map[schema['id']] = schema
|
||||
|
||||
def _do_login(self):
|
||||
# Shouldn't check connected flag here. ZMQ is a mesageq queue!
|
||||
# if !self._connected :
|
||||
# return (False, "-1,no connection")
|
||||
|
||||
if self._username and self._password:
|
||||
rpc_params = {"username": self._username,
|
||||
"password": self._password}
|
||||
|
||||
cr = self._remote.call("auth.login", rpc_params)
|
||||
r, msg = utils.extract_result(cr, data_format="", class_name="UserInfo")
|
||||
self._loggined = r
|
||||
return (r, msg)
|
||||
else:
|
||||
self._loggined = None
|
||||
return (False, "-1,empty username or password")
|
||||
|
||||
def _do_subscribe(self):
|
||||
"""Subscribe again when reconnected or hash_code is not same"""
|
||||
if not self._subscribed_set: return
|
||||
|
||||
codes = list(self._subscribed_set)
|
||||
codes.sort()
|
||||
|
||||
# XXX subscribe with default fields!
|
||||
rpc_params = {"symbol": ",".join(codes),
|
||||
"fields": ""}
|
||||
|
||||
cr = self._remote.call("jsq.subscribe", rpc_params)
|
||||
|
||||
rsp, msg = utils.extract_result(cr, data_format="", class_name="SubRsp")
|
||||
if not rsp:
|
||||
# return (rsp, msg)
|
||||
return
|
||||
|
||||
self._schema_id = rsp['schema_id']
|
||||
self._schema = rsp['schema']
|
||||
self._sub_hash = rsp['sub_hash']
|
||||
# return (rsp.securities, msg)
|
||||
|
||||
self._make_schema_map()
|
||||
309
vnpy/trader/gateway/tkproGateway/DataApi/jrpc_py.py
Normal file
309
vnpy/trader/gateway/tkproGateway/DataApi/jrpc_py.py
Normal file
@ -0,0 +1,309 @@
|
||||
from __future__ import absolute_import
|
||||
from __future__ import division
|
||||
from __future__ import print_function
|
||||
from __future__ import unicode_literals
|
||||
|
||||
from builtins import *
|
||||
|
||||
import zmq
|
||||
import time
|
||||
import random
|
||||
|
||||
try:
|
||||
import queue
|
||||
except ImportError:
|
||||
import queue as queue
|
||||
import threading
|
||||
import msgpack
|
||||
import snappy
|
||||
import copy
|
||||
|
||||
qEmpty = copy.copy(queue.Empty)
|
||||
|
||||
|
||||
def _unpack(str):
|
||||
if str.startswith(b'S'):
|
||||
tmp = snappy.uncompress(str[1:])
|
||||
# print "SNAPPY: ", len(str), len(tmp)
|
||||
obj = msgpack.loads(tmp, encoding='utf-8')
|
||||
elif str.startswith(b'\0'):
|
||||
obj = msgpack.loads(str[1:], encoding='utf-8')
|
||||
else:
|
||||
return None
|
||||
|
||||
return obj
|
||||
|
||||
|
||||
def _pack(obj):
|
||||
# print "pack", obj
|
||||
tmp = msgpack.dumps(obj, encoding='utf-8')
|
||||
if len(tmp) > 1000:
|
||||
return b'S' + snappy.compress(tmp)
|
||||
else:
|
||||
return b'\0' + tmp
|
||||
|
||||
|
||||
class JRpcClient(object):
|
||||
def __init__(self):
|
||||
self._waiter_lock = threading.Lock()
|
||||
self._waiter_map = {}
|
||||
|
||||
self._should_close = False
|
||||
self._next_callid = 0
|
||||
self._send_lock = threading.Lock()
|
||||
self._callid_lock = threading.Lock()
|
||||
|
||||
self._last_heartbeat_rsp_time = 0
|
||||
self._connected = False
|
||||
|
||||
self.on_disconnected = None
|
||||
self.on_rpc_callback = None
|
||||
self._callback_queue = queue.Queue()
|
||||
self._call_wait_queue = queue.Queue()
|
||||
|
||||
self._ctx = zmq.Context()
|
||||
self._pull_sock = self._ctx.socket(zmq.PULL)
|
||||
self._pull_sock.bind("inproc://pull_sock")
|
||||
self._push_sock = self._ctx.socket(zmq.PUSH)
|
||||
self._push_sock.connect("inproc://pull_sock")
|
||||
|
||||
self._heartbeat_interval = 1
|
||||
self._heartbeat_timeout = 3
|
||||
|
||||
self._addr = None
|
||||
|
||||
t = threading.Thread(target=self._recv_run)
|
||||
t.setDaemon(True)
|
||||
t.start()
|
||||
self._recv_thread = t
|
||||
|
||||
t = threading.Thread(target=self._callback_run)
|
||||
t.setDaemon(True)
|
||||
t.start()
|
||||
self._callback_thread = t
|
||||
|
||||
def __del__(self):
|
||||
self.close()
|
||||
|
||||
def next_callid(self):
|
||||
self._callid_lock.acquire()
|
||||
self._next_callid += 1
|
||||
callid = self._next_callid
|
||||
self._callid_lock.release()
|
||||
return callid
|
||||
|
||||
def set_heartbeat_options(self, interval, timeout):
|
||||
self._heartbeat_interval = interval
|
||||
self._heartbeat_timeout = timeout
|
||||
|
||||
def _recv_run(self):
|
||||
|
||||
heartbeat_time = 0
|
||||
|
||||
poller = zmq.Poller()
|
||||
poller.register(self._pull_sock, zmq.POLLIN)
|
||||
|
||||
remote_sock = None
|
||||
|
||||
while not self._should_close:
|
||||
|
||||
try:
|
||||
if self._connected and time.time() - self._last_heartbeat_rsp_time > self._heartbeat_timeout:
|
||||
self._connected = False
|
||||
if self.on_disconnected: self._async_call(self.on_disconnected)
|
||||
|
||||
if remote_sock and time.time() - heartbeat_time > self._heartbeat_interval:
|
||||
self._send_hearbeat()
|
||||
heartbeat_time = time.time()
|
||||
|
||||
socks = dict(poller.poll(500))
|
||||
if self._pull_sock in socks and socks[self._pull_sock] == zmq.POLLIN:
|
||||
cmd = self._pull_sock.recv()
|
||||
if cmd == b"CONNECT":
|
||||
# print time.ctime(), "CONNECT " + self._addr
|
||||
if remote_sock:
|
||||
poller.unregister(remote_sock)
|
||||
remote_sock.close()
|
||||
remote_sock = None
|
||||
|
||||
remote_sock = self._do_connect()
|
||||
|
||||
if remote_sock:
|
||||
poller.register(remote_sock, zmq.POLLIN)
|
||||
|
||||
elif cmd.startswith(b"SEND:") and remote_sock:
|
||||
# print time.ctime(), "SEND " + cmd[5:]
|
||||
remote_sock.send(cmd[5:])
|
||||
|
||||
if remote_sock and remote_sock in socks and socks[remote_sock] == zmq.POLLIN:
|
||||
data = remote_sock.recv()
|
||||
if data:
|
||||
# if not data.find("heartbeat"):
|
||||
# print time.ctime(), "RECV", data
|
||||
self._on_data_arrived(data)
|
||||
|
||||
except zmq.error.Again as e:
|
||||
# print "RECV timeout: ", e
|
||||
pass
|
||||
except Exception as e:
|
||||
print("_recv_run:", e)
|
||||
|
||||
def _callback_run(self):
|
||||
while not self._should_close:
|
||||
try:
|
||||
r = self._callback_queue.get(timeout=1)
|
||||
if r:
|
||||
r()
|
||||
except qEmpty as e:
|
||||
pass
|
||||
except TypeError as e:
|
||||
if str(e) == "'NoneType' object is not callable":
|
||||
pass
|
||||
else:
|
||||
print("_callback_run {}".format(r), type(e), e)
|
||||
except Exception as e:
|
||||
print("_callback_run {}".format(r), type(e), e)
|
||||
|
||||
def _async_call(self, func):
|
||||
self._callback_queue.put(func)
|
||||
|
||||
def _send_request(self, json):
|
||||
|
||||
try:
|
||||
self._send_lock.acquire()
|
||||
self._push_sock.send(b"SEND:" + json)
|
||||
|
||||
finally:
|
||||
self._send_lock.release()
|
||||
|
||||
def connect(self, addr):
|
||||
self._addr = addr
|
||||
self._push_sock.send_string('CONNECT', encoding='utf-8')
|
||||
|
||||
def _do_connect(self):
|
||||
|
||||
client_id = str(random.randint(1000000, 100000000))
|
||||
|
||||
socket = self._ctx.socket(zmq.DEALER)
|
||||
identity = (client_id) + '$' + str(random.randint(1000000, 1000000000))
|
||||
identity = identity.encode('utf-8')
|
||||
socket.setsockopt(zmq.IDENTITY, identity)
|
||||
socket.setsockopt(zmq.RCVTIMEO, 500)
|
||||
socket.setsockopt(zmq.SNDTIMEO, 500)
|
||||
socket.setsockopt(zmq.LINGER, 0)
|
||||
socket.connect(self._addr)
|
||||
|
||||
return socket
|
||||
|
||||
def close(self):
|
||||
self._should_close = True
|
||||
self._callback_thread.join()
|
||||
self._recv_thread.join()
|
||||
|
||||
def _on_data_arrived(self, str):
|
||||
try:
|
||||
msg = _unpack(str)
|
||||
# print "RECV", msg
|
||||
|
||||
if not msg:
|
||||
print("wrong message format")
|
||||
return
|
||||
|
||||
if 'method' in msg and msg['method'] == '.sys.heartbeat':
|
||||
self._last_heartbeat_rsp_time = time.time()
|
||||
if not self._connected:
|
||||
self._connected = True
|
||||
if self.on_connected:
|
||||
self._async_call(self.on_connected)
|
||||
|
||||
# Let user has a chance to check message in .sys.heartbeat
|
||||
if 'result' in msg and self.on_rpc_callback:
|
||||
self._async_call(lambda: self.on_rpc_callback(msg['method'], msg['result']))
|
||||
|
||||
elif 'id' in msg and msg['id']:
|
||||
|
||||
# Call result
|
||||
id = int(msg['id'])
|
||||
|
||||
if self._waiter_lock.acquire():
|
||||
if id in self._waiter_map:
|
||||
q = self._waiter_map[id]
|
||||
if q: q.put(msg)
|
||||
self._waiter_lock.release()
|
||||
else:
|
||||
# Notification message
|
||||
if 'method' in msg and 'result' in msg and self.on_rpc_callback:
|
||||
self._async_call(lambda: self.on_rpc_callback(msg['method'], msg['result']))
|
||||
|
||||
except Exception as e:
|
||||
print("_on_data_arrived:", e)
|
||||
pass
|
||||
|
||||
def _send_hearbeat(self):
|
||||
msg = {'jsonrpc': '2.0',
|
||||
'method': '.sys.heartbeat',
|
||||
'params': {'time': time.time()},
|
||||
'id': str(self.next_callid())}
|
||||
json_str = _pack(msg)
|
||||
self._send_request(json_str)
|
||||
|
||||
def _alloc_wait_queue(self):
|
||||
self._waiter_lock.acquire()
|
||||
if self._call_wait_queue:
|
||||
q = self._call_wait_queue
|
||||
self._call_wait_queue = None
|
||||
else:
|
||||
q = queue.Queue()
|
||||
self._waiter_lock.release()
|
||||
return q
|
||||
|
||||
def _free_wait_queue(self, q):
|
||||
self._waiter_lock.acquire()
|
||||
if not self._call_wait_queue:
|
||||
self._call_wait_queue = q
|
||||
else:
|
||||
del q
|
||||
self._waiter_lock.release()
|
||||
|
||||
def call(self, method, params, timeout=6):
|
||||
# print "call", method, params, timeout
|
||||
callid = self.next_callid()
|
||||
if timeout:
|
||||
q = self._alloc_wait_queue()
|
||||
|
||||
self._waiter_lock.acquire()
|
||||
self._waiter_map[callid] = q
|
||||
self._waiter_lock.release()
|
||||
|
||||
msg = {'jsonrpc': '2.0',
|
||||
'method': method,
|
||||
'params': params,
|
||||
'id': str(callid)}
|
||||
|
||||
# print "SEND", msg
|
||||
json_str = _pack(msg)
|
||||
self._send_request(json_str)
|
||||
|
||||
if timeout:
|
||||
ret = {}
|
||||
try:
|
||||
r = q.get(timeout=timeout)
|
||||
q.task_done()
|
||||
except qEmpty:
|
||||
r = None
|
||||
|
||||
self._waiter_lock.acquire()
|
||||
self._waiter_map[callid] = None
|
||||
self._waiter_lock.release()
|
||||
self._free_wait_queue(q)
|
||||
|
||||
if r:
|
||||
if 'result' in r:
|
||||
ret['result'] = r['result']
|
||||
|
||||
if 'error' in r:
|
||||
ret['error'] = r['error']
|
||||
|
||||
return ret if ret else {'error': {'error': -1, 'message': "timeout"}}
|
||||
else:
|
||||
return {'result': True}
|
||||
137
vnpy/trader/gateway/tkproGateway/DataApi/utils.py
Normal file
137
vnpy/trader/gateway/tkproGateway/DataApi/utils.py
Normal file
@ -0,0 +1,137 @@
|
||||
from __future__ import absolute_import
|
||||
from __future__ import division
|
||||
from __future__ import print_function
|
||||
from __future__ import unicode_literals
|
||||
|
||||
from builtins import *
|
||||
from collections import namedtuple
|
||||
import datetime as dt
|
||||
import pandas as pd
|
||||
import numpy as np
|
||||
|
||||
long_nan = 9223372036854775807
|
||||
|
||||
|
||||
def is_long_nan(v):
|
||||
if v == long_nan:
|
||||
return True
|
||||
else:
|
||||
return False
|
||||
|
||||
|
||||
def to_nan(x):
|
||||
if is_long_nan(x):
|
||||
return np.nan
|
||||
else:
|
||||
return x
|
||||
|
||||
|
||||
def _to_date(row):
|
||||
date = int(row['DATE'])
|
||||
return pd.datetime(year=date // 10000, month=date // 100 % 100, day=date % 100)
|
||||
|
||||
|
||||
def _to_datetime(row):
|
||||
date = int(row['DATE'])
|
||||
time = int(row['TIME']) // 1000
|
||||
return pd.datetime(year=date // 10000, month=date / 100 % 100, day=date % 100,
|
||||
hour=time // 10000, minute=time // 100 % 100, second=time % 100)
|
||||
|
||||
|
||||
def _to_dataframe(cloumset, index_func=None, index_column=None):
|
||||
df = pd.DataFrame(cloumset)
|
||||
for col in df.columns:
|
||||
if df.dtypes.loc[col] == np.int64:
|
||||
df.loc[:, col] = df.loc[:, col].apply(to_nan)
|
||||
if index_func:
|
||||
df.index = df.apply(index_func, axis=1)
|
||||
elif index_column:
|
||||
df.index = df[index_column]
|
||||
del df.index.name
|
||||
|
||||
return df
|
||||
|
||||
|
||||
def _error_to_str(error):
|
||||
if error:
|
||||
if 'message' in error:
|
||||
return str(error['error']) + "," + error['message']
|
||||
else:
|
||||
return str(error['error']) + ","
|
||||
else:
|
||||
return ","
|
||||
|
||||
|
||||
def to_obj(class_name, data):
|
||||
try:
|
||||
if type(data) == list or type(data) == tuple:
|
||||
result = []
|
||||
for d in data:
|
||||
result.append(namedtuple(class_name, list(d.keys()))(*list(d.values())))
|
||||
return result
|
||||
|
||||
elif type(data) == dict:
|
||||
result = namedtuple(class_name, list(data.keys()))(*list(data.values()))
|
||||
return result
|
||||
else:
|
||||
return data
|
||||
except Exception as e:
|
||||
print(class_name, data, e)
|
||||
return data
|
||||
|
||||
|
||||
def to_date_int(date):
|
||||
if isinstance(date, str):
|
||||
t = dt.datetime.strptime(date, "%Y-%m-%d")
|
||||
date_int = t.year * 10000 + t.month * 100 + t.day
|
||||
return date_int
|
||||
elif isinstance(date, (int, np.integer)):
|
||||
return date
|
||||
else:
|
||||
return -1
|
||||
|
||||
|
||||
def to_time_int(time):
|
||||
if isinstance(time, str):
|
||||
t = dt.datetime.strptime(time, "%H:%M:%S")
|
||||
time_int = t.hour * 10000 + t.minute * 100 + t.second
|
||||
return time_int
|
||||
elif isinstance(time, (int, np.integer)):
|
||||
return time
|
||||
else:
|
||||
return -1
|
||||
|
||||
|
||||
def extract_result(cr, data_format="", index_column=None, class_name=""):
|
||||
"""
|
||||
format supports pandas, obj.
|
||||
"""
|
||||
|
||||
err = _error_to_str(cr['error']) if 'error' in cr else None
|
||||
if 'result' in cr:
|
||||
if data_format == "pandas":
|
||||
if index_column:
|
||||
return (_to_dataframe(cr['result'], None, index_column), err)
|
||||
# if 'TIME' in cr['result']:
|
||||
# return (_to_dataframe(cr['result'], _to_datetime), err)
|
||||
# elif 'DATE' in cr['result']:
|
||||
# return (_to_dataframe(cr['result'], _to_date), err)
|
||||
else:
|
||||
return (_to_dataframe(cr['result']), err)
|
||||
|
||||
elif data_format == "obj" and cr['result'] and class_name:
|
||||
r = cr['result']
|
||||
if type(r) == list or type(r) == tuple:
|
||||
result = []
|
||||
for d in r:
|
||||
result.append(namedtuple(class_name, list(d.keys()))(*list(d.values())))
|
||||
elif type(r) == dict:
|
||||
result = namedtuple(class_name, list(r.keys()))(*list(r.values()))
|
||||
else:
|
||||
result = r
|
||||
|
||||
return (result, err)
|
||||
else:
|
||||
return (cr['result'], err)
|
||||
else:
|
||||
return (None, err)
|
||||
7
vnpy/trader/gateway/tkproGateway/TKPRO_connect.json
Normal file
7
vnpy/trader/gateway/tkproGateway/TKPRO_connect.json
Normal file
@ -0,0 +1,7 @@
|
||||
{
|
||||
"username": "请在quantos.org申请",
|
||||
"token": "请在quantos.org申请",
|
||||
"strategy": 625,
|
||||
"tradeAddress": "tcp://gw.quantos.org:8901",
|
||||
"dataAddress": "tcp://data.tushare.org:8910"
|
||||
}
|
||||
201
vnpy/trader/gateway/tkproGateway/TradeApi/LICENSE
Normal file
201
vnpy/trader/gateway/tkproGateway/TradeApi/LICENSE
Normal file
@ -0,0 +1,201 @@
|
||||
Apache License
|
||||
Version 2.0, January 2004
|
||||
http://www.apache.org/licenses/
|
||||
|
||||
TERMS AND CONDITIONS FOR USE, REPRODUCTION, AND DISTRIBUTION
|
||||
|
||||
1. Definitions.
|
||||
|
||||
"License" shall mean the terms and conditions for use, reproduction,
|
||||
and distribution as defined by Sections 1 through 9 of this document.
|
||||
|
||||
"Licensor" shall mean the copyright owner or entity authorized by
|
||||
the copyright owner that is granting the License.
|
||||
|
||||
"Legal Entity" shall mean the union of the acting entity and all
|
||||
other entities that control, are controlled by, or are under common
|
||||
control with that entity. For the purposes of this definition,
|
||||
"control" means (i) the power, direct or indirect, to cause the
|
||||
direction or management of such entity, whether by contract or
|
||||
otherwise, or (ii) ownership of fifty percent (50%) or more of the
|
||||
outstanding shares, or (iii) beneficial ownership of such entity.
|
||||
|
||||
"You" (or "Your") shall mean an individual or Legal Entity
|
||||
exercising permissions granted by this License.
|
||||
|
||||
"Source" form shall mean the preferred form for making modifications,
|
||||
including but not limited to software source code, documentation
|
||||
source, and configuration files.
|
||||
|
||||
"Object" form shall mean any form resulting from mechanical
|
||||
transformation or translation of a Source form, including but
|
||||
not limited to compiled object code, generated documentation,
|
||||
and conversions to other media types.
|
||||
|
||||
"Work" shall mean the work of authorship, whether in Source or
|
||||
Object form, made available under the License, as indicated by a
|
||||
copyright notice that is included in or attached to the work
|
||||
(an example is provided in the Appendix below).
|
||||
|
||||
"Derivative Works" shall mean any work, whether in Source or Object
|
||||
form, that is based on (or derived from) the Work and for which the
|
||||
editorial revisions, annotations, elaborations, or other modifications
|
||||
represent, as a whole, an original work of authorship. For the purposes
|
||||
of this License, Derivative Works shall not include works that remain
|
||||
separable from, or merely link (or bind by name) to the interfaces of,
|
||||
the Work and Derivative Works thereof.
|
||||
|
||||
"Contribution" shall mean any work of authorship, including
|
||||
the original version of the Work and any modifications or additions
|
||||
to that Work or Derivative Works thereof, that is intentionally
|
||||
submitted to Licensor for inclusion in the Work by the copyright owner
|
||||
or by an individual or Legal Entity authorized to submit on behalf of
|
||||
the copyright owner. For the purposes of this definition, "submitted"
|
||||
means any form of electronic, verbal, or written communication sent
|
||||
to the Licensor or its representatives, including but not limited to
|
||||
communication on electronic mailing lists, source code control systems,
|
||||
and issue tracking systems that are managed by, or on behalf of, the
|
||||
Licensor for the purpose of discussing and improving the Work, but
|
||||
excluding communication that is conspicuously marked or otherwise
|
||||
designated in writing by the copyright owner as "Not a Contribution."
|
||||
|
||||
"Contributor" shall mean Licensor and any individual or Legal Entity
|
||||
on behalf of whom a Contribution has been received by Licensor and
|
||||
subsequently incorporated within the Work.
|
||||
|
||||
2. Grant of Copyright License. Subject to the terms and conditions of
|
||||
this License, each Contributor hereby grants to You a perpetual,
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||||
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||||
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||||
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|
||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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||||
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|
||||
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|
||||
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||||
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||||
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END OF TERMS AND CONDITIONS
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APPENDIX: How to apply the Apache License to your work.
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To apply the Apache License to your work, attach the following
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|
||||
48
vnpy/trader/gateway/tkproGateway/TradeApi/README.md
Normal file
48
vnpy/trader/gateway/tkproGateway/TradeApi/README.md
Normal file
@ -0,0 +1,48 @@
|
||||
# TradeApi
|
||||
|
||||
标准交易API定义
|
||||
|
||||
# 安装步骤
|
||||
|
||||
1、安装Python环境
|
||||
------
|
||||
|
||||
如果本地还没有安装Python环境，强烈建议安装 [Anaconda](http://www.continuum.io/downloads "Anaconda")。
|
||||
|
||||
打开上面的网址，选择相应的操作系统，确定要按照的Python版本，一般建议用Python 2.7。
|
||||
|
||||
下载完成以后，按照图形界面步骤完成安装。在默认情况下，Anaconda会自动设置PATH环境。
|
||||
|
||||
2、安装依赖包
|
||||
----------------
|
||||
|
||||
如果Python环境不是类似Anaconda的集成开发环境，我们需要单独安装依赖包，在已经有pandas/numpy包前提下，还需要有以下几个包：
|
||||
|
||||
pyzmq
|
||||
msgpack_python
|
||||
python-snappy
|
||||
|
||||
可以通过单个安装完成，例如： pip install pyzmq
|
||||
|
||||
需要注意的是，python-snappy和msgpack-python这两个包在Windows上的安装需要比较多的编译依赖,建议从[这个网页](http://www.lfd.uci.edu/~gohlke/pythonlibs)下载编译好的包，然后安装:
|
||||
|
||||
pip install msgpack_python-0.4.8-cp27-cp27m-win_amd64.whl
|
||||
|
||||
pip install python_snappy-0.5.1-cp27-cp27m-win_amd64.whl
|
||||
|
||||
|
||||
|
||||
3、使用TradeApi
|
||||
--------
|
||||
|
||||
在项目目录，验证TradeApi是否正常使用。
|
||||
|
||||
```python
|
||||
from TradeApi import TradeApi
|
||||
|
||||
api = TradeApi(addr="tcp://gw.quantos.org:8901")
|
||||
result, msg = api.login("username", "token") # 示例账户，用户需要改为自己在www.quantos.org上注册的账户
|
||||
print result
|
||||
print msg
|
||||
|
||||
```
|
||||
12
vnpy/trader/gateway/tkproGateway/TradeApi/__init__.py
Normal file
12
vnpy/trader/gateway/tkproGateway/TradeApi/__init__.py
Normal file
@ -0,0 +1,12 @@
|
||||
# encoding: utf-8
|
||||
"""
|
||||
Core trade api for simulated and live trading.
|
||||
"""
|
||||
from __future__ import absolute_import
|
||||
from __future__ import division
|
||||
from __future__ import print_function
|
||||
from __future__ import unicode_literals
|
||||
|
||||
from .trade_api import TradeApi
|
||||
|
||||
__all__ = ['TradeApi']
|
||||
341
vnpy/trader/gateway/tkproGateway/TradeApi/jrpc_py.py
Normal file
341
vnpy/trader/gateway/tkproGateway/TradeApi/jrpc_py.py
Normal file
@ -0,0 +1,341 @@
|
||||
from __future__ import absolute_import
|
||||
from __future__ import division
|
||||
from __future__ import print_function
|
||||
from __future__ import unicode_literals
|
||||
|
||||
import json
|
||||
import random
|
||||
import time
|
||||
from builtins import *
|
||||
|
||||
import zmq
|
||||
|
||||
try:
|
||||
import queue
|
||||
except ImportError:
|
||||
import queue as queue
|
||||
import threading
|
||||
import msgpack
|
||||
import snappy
|
||||
import copy
|
||||
|
||||
qEmpty = copy.copy(queue.Empty)
|
||||
|
||||
|
||||
def _unpack_msgpack_snappy(str):
|
||||
if str.startswith(b'S'):
|
||||
tmp = snappy.uncompress(str[1:])
|
||||
# print "SNAPPY: ", len(str), len(tmp)
|
||||
obj = msgpack.loads(tmp, encoding='utf-8')
|
||||
elif str.startswith(b'\0'):
|
||||
obj = msgpack.loads(str[1:], encoding='utf-8')
|
||||
else:
|
||||
return None
|
||||
|
||||
return obj
|
||||
|
||||
|
||||
def _pack_msgpack_snappy(obj):
|
||||
# print "pack", obj
|
||||
tmp = msgpack.dumps(obj, encoding='utf-8')
|
||||
if len(tmp) > 1000:
|
||||
return b'S' + snappy.compress(tmp)
|
||||
else:
|
||||
return b'\0' + tmp
|
||||
|
||||
|
||||
def _unpack_msgpack(str):
|
||||
return msgpack.loads(str, encoding='utf-8')
|
||||
|
||||
|
||||
def _pack_msgpack(obj):
|
||||
return msgpack.dumps(obj, encoding='utf-8')
|
||||
|
||||
|
||||
def _unpack_json(str):
|
||||
return json.loads(str, encoding='utf-8')
|
||||
|
||||
|
||||
def _pack_json(obj):
|
||||
return json.dumps(obj, encoding='utf-8')
|
||||
|
||||
|
||||
class JRpcClient(object):
|
||||
def __init__(self, data_format="msgpack_snappy"):
|
||||
self._waiter_lock = threading.Lock()
|
||||
self._waiter_map = {}
|
||||
|
||||
self._should_close = False
|
||||
self._next_callid = 0
|
||||
self._send_lock = threading.Lock()
|
||||
self._callid_lock = threading.Lock()
|
||||
|
||||
self._last_heartbeat_rsp_time = 0
|
||||
self._connected = False
|
||||
|
||||
self.on_disconnected = None
|
||||
self.on_rpc_callback = None
|
||||
self._callback_queue = queue.Queue()
|
||||
self._call_wait_queue = queue.Queue()
|
||||
|
||||
self._ctx = zmq.Context()
|
||||
self._pull_sock = self._ctx.socket(zmq.PULL)
|
||||
self._pull_sock.bind("inproc://pull_sock")
|
||||
self._push_sock = self._ctx.socket(zmq.PUSH)
|
||||
self._push_sock.connect("inproc://pull_sock")
|
||||
|
||||
self._heartbeat_interval = 1
|
||||
self._heartbeat_timeout = 3
|
||||
|
||||
self._addr = None
|
||||
|
||||
if data_format == "msgpack_snappy":
|
||||
self._pack = _pack_msgpack_snappy
|
||||
self._unpack = _unpack_msgpack_snappy
|
||||
|
||||
elif data_format == "msgpack":
|
||||
self._pack = _pack_msgpack
|
||||
self._unpack = _unpack_msgpack
|
||||
|
||||
elif data_format == "json":
|
||||
self._pack = _pack_json
|
||||
self._unpack = _unpack_json
|
||||
|
||||
else:
|
||||
assert False, "unknown data_format " + data_format
|
||||
|
||||
t = threading.Thread(target=self._recv_run)
|
||||
t.setDaemon(True)
|
||||
t.start()
|
||||
self._recv_thread = t
|
||||
|
||||
t = threading.Thread(target=self._callback_run)
|
||||
t.setDaemon(True)
|
||||
t.start()
|
||||
self._callback_thread = t
|
||||
|
||||
def __del__(self):
|
||||
self.close()
|
||||
|
||||
def next_callid(self):
|
||||
self._callid_lock.acquire()
|
||||
self._next_callid += 1
|
||||
callid = self._next_callid
|
||||
self._callid_lock.release()
|
||||
return callid
|
||||
|
||||
def set_heartbeat_options(self, interval, timeout):
|
||||
self._heartbeat_interval = interval
|
||||
self._heartbeat_timeout = timeout
|
||||
|
||||
def _recv_run(self):
|
||||
|
||||
heartbeat_time = 0
|
||||
|
||||
poller = zmq.Poller()
|
||||
poller.register(self._pull_sock, zmq.POLLIN)
|
||||
|
||||
remote_sock = None
|
||||
|
||||
while not self._should_close:
|
||||
|
||||
try:
|
||||
if self._connected and time.time() - self._last_heartbeat_rsp_time > self._heartbeat_timeout:
|
||||
self._connected = False
|
||||
if self.on_disconnected: self._async_call(self.on_disconnected)
|
||||
|
||||
if remote_sock and time.time() - heartbeat_time > self._heartbeat_interval:
|
||||
self._send_hearbeat()
|
||||
heartbeat_time = time.time()
|
||||
|
||||
socks = dict(poller.poll(500))
|
||||
if self._pull_sock in socks and socks[self._pull_sock] == zmq.POLLIN:
|
||||
cmd = self._pull_sock.recv()
|
||||
if cmd == b"CONNECT":
|
||||
# print time.ctime(), "CONNECT " + self._addr
|
||||
if remote_sock:
|
||||
poller.unregister(remote_sock)
|
||||
remote_sock.close()
|
||||
remote_sock = None
|
||||
|
||||
remote_sock = self._do_connect()
|
||||
|
||||
if remote_sock:
|
||||
poller.register(remote_sock, zmq.POLLIN)
|
||||
|
||||
elif cmd.startswith(b"SEND:") and remote_sock:
|
||||
# print time.ctime(), "SEND " + cmd[5:]
|
||||
remote_sock.send(cmd[5:])
|
||||
|
||||
if remote_sock and remote_sock in socks and socks[remote_sock] == zmq.POLLIN:
|
||||
data = remote_sock.recv()
|
||||
if data:
|
||||
# if not data.find("heartbeat"):
|
||||
# print time.ctime(), "RECV", data
|
||||
self._on_data_arrived(data)
|
||||
|
||||
except zmq.error.Again as e:
|
||||
# print "RECV timeout: ", e
|
||||
pass
|
||||
except Exception as e:
|
||||
print("_recv_run:", e)
|
||||
|
||||
def _callback_run(self):
|
||||
while not self._should_close:
|
||||
try:
|
||||
r = self._callback_queue.get(timeout=1)
|
||||
if r:
|
||||
r()
|
||||
except qEmpty as e:
|
||||
pass
|
||||
except TypeError as e:
|
||||
if str(e) == "'NoneType' object is not callable":
|
||||
pass
|
||||
else:
|
||||
print("_callback_run {}".format(r), type(e), e)
|
||||
except Exception as e:
|
||||
print("_callback_run {}".format(r), type(e), e)
|
||||
|
||||
def _async_call(self, func):
|
||||
self._callback_queue.put(func)
|
||||
|
||||
def _send_request(self, json):
|
||||
|
||||
try:
|
||||
self._send_lock.acquire()
|
||||
self._push_sock.send(b"SEND:" + json)
|
||||
|
||||
finally:
|
||||
self._send_lock.release()
|
||||
|
||||
def connect(self, addr):
|
||||
self._addr = addr
|
||||
self._push_sock.send_string('CONNECT', encoding='utf-8')
|
||||
|
||||
def _do_connect(self):
|
||||
|
||||
client_id = str(random.randint(1000000, 100000000))
|
||||
|
||||
socket = self._ctx.socket(zmq.DEALER)
|
||||
identity = (client_id) + '$' + str(random.randint(1000000, 1000000000))
|
||||
identity = identity.encode('utf-8')
|
||||
socket.setsockopt(zmq.IDENTITY, identity)
|
||||
socket.setsockopt(zmq.RCVTIMEO, 500)
|
||||
socket.setsockopt(zmq.SNDTIMEO, 500)
|
||||
socket.setsockopt(zmq.LINGER, 0)
|
||||
socket.connect(self._addr)
|
||||
|
||||
return socket
|
||||
|
||||
def close(self):
|
||||
self._should_close = True
|
||||
self._callback_thread.join()
|
||||
self._recv_thread.join()
|
||||
|
||||
def _on_data_arrived(self, str):
|
||||
try:
|
||||
msg = self._unpack(str)
|
||||
# print "RECV", msg
|
||||
|
||||
if not msg:
|
||||
print("wrong message format")
|
||||
return
|
||||
|
||||
if 'method' in msg and msg['method'] == '.sys.heartbeat':
|
||||
self._last_heartbeat_rsp_time = time.time()
|
||||
if not self._connected:
|
||||
self._connected = True
|
||||
if self.on_connected:
|
||||
self._async_call(self.on_connected)
|
||||
|
||||
# Let user has a chance to check message in .sys.heartbeat
|
||||
if 'result' in msg and self.on_rpc_callback:
|
||||
self._async_call(lambda: self.on_rpc_callback(msg['method'], msg['result']))
|
||||
|
||||
elif 'id' in msg and msg['id']:
|
||||
|
||||
# Call result
|
||||
id = int(msg['id'])
|
||||
|
||||
if self._waiter_lock.acquire():
|
||||
if id in self._waiter_map:
|
||||
q = self._waiter_map[id]
|
||||
if q: q.put(msg)
|
||||
self._waiter_lock.release()
|
||||
else:
|
||||
# Notification message
|
||||
if 'method' in msg and 'result' in msg and self.on_rpc_callback:
|
||||
self._async_call(lambda: self.on_rpc_callback(msg['method'], msg['result']))
|
||||
|
||||
except Exception as e:
|
||||
print("_on_data_arrived:", e)
|
||||
pass
|
||||
|
||||
def _send_hearbeat(self):
|
||||
msg = {'jsonrpc': '2.0',
|
||||
'method': '.sys.heartbeat',
|
||||
'params': {'time': time.time()},
|
||||
'id': str(self.next_callid())}
|
||||
json_str = self._pack(msg)
|
||||
self._send_request(json_str)
|
||||
|
||||
def _alloc_wait_queue(self):
|
||||
self._waiter_lock.acquire()
|
||||
if self._call_wait_queue:
|
||||
q = self._call_wait_queue
|
||||
self._call_wait_queue = None
|
||||
else:
|
||||
q = queue.Queue()
|
||||
self._waiter_lock.release()
|
||||
return q
|
||||
|
||||
def _free_wait_queue(self, q):
|
||||
self._waiter_lock.acquire()
|
||||
if not self._call_wait_queue:
|
||||
self._call_wait_queue = q
|
||||
else:
|
||||
del q
|
||||
self._waiter_lock.release()
|
||||
|
||||
def call(self, method, params, timeout=6):
|
||||
# print "call", method, params, timeout
|
||||
callid = self.next_callid()
|
||||
if timeout:
|
||||
q = self._alloc_wait_queue()
|
||||
|
||||
self._waiter_lock.acquire()
|
||||
self._waiter_map[callid] = q
|
||||
self._waiter_lock.release()
|
||||
|
||||
msg = {'jsonrpc': '2.0',
|
||||
'method': method,
|
||||
'params': params,
|
||||
'id': str(callid)}
|
||||
|
||||
# print "SEND", msg
|
||||
json_str = self._pack(msg)
|
||||
self._send_request(json_str)
|
||||
|
||||
if timeout:
|
||||
ret = {}
|
||||
try:
|
||||
r = q.get(timeout=timeout)
|
||||
q.task_done()
|
||||
except qEmpty:
|
||||
r = None
|
||||
|
||||
self._waiter_lock.acquire()
|
||||
self._waiter_map[callid] = None
|
||||
self._waiter_lock.release()
|
||||
self._free_wait_queue(q)
|
||||
|
||||
if r:
|
||||
if 'result' in r:
|
||||
ret['result'] = r['result']
|
||||
|
||||
if 'error' in r:
|
||||
ret['error'] = r['error']
|
||||
|
||||
return ret if ret else {'error': {'error': -1, 'message': "timeout"}}
|
||||
else:
|
||||
return {'result': True}
|
||||
592
vnpy/trader/gateway/tkproGateway/TradeApi/trade_api.py
Normal file
592
vnpy/trader/gateway/tkproGateway/TradeApi/trade_api.py
Normal file
@ -0,0 +1,592 @@
|
||||
from __future__ import absolute_import
|
||||
from __future__ import division
|
||||
from __future__ import print_function
|
||||
from __future__ import unicode_literals
|
||||
|
||||
import json
|
||||
from builtins import *
|
||||
|
||||
import pandas as pd
|
||||
|
||||
from . import utils
|
||||
|
||||
|
||||
class EntrustOrder(object):
|
||||
def __init__(self, security, action, price, size):
|
||||
self.security = security
|
||||
self.action = action
|
||||
self.price = price
|
||||
self.size = size
|
||||
|
||||
|
||||
def set_log_dir(log_dir):
|
||||
if log_dir:
|
||||
try:
|
||||
import jrpc
|
||||
jrpc.set_log_dir(log_dir)
|
||||
except Exception as e:
|
||||
print("Exception", e)
|
||||
|
||||
|
||||
class TradeApi(object):
|
||||
def __init__(self, addr, use_jrpc=True, prod_type="jzts"):
|
||||
"""
|
||||
use_jrpc:
|
||||
True -- Use jrcp_client of C version, for jzts only
|
||||
False -- Use pure python version
|
||||
prod_type:
|
||||
"jaqs" -- jrpc_msgpack_wth_snappy
|
||||
"jzts" -- jrpc_msgpack
|
||||
"""
|
||||
|
||||
self._remote = None
|
||||
if prod_type == "jzts":
|
||||
try:
|
||||
if use_jrpc:
|
||||
import jrpc
|
||||
self._remote = jrpc.JsonRpcClient()
|
||||
else:
|
||||
from . import jrpc_py
|
||||
self._remote = jrpc_py.JRpcClient(data_format="msgpack")
|
||||
except Exception as e:
|
||||
print("Exception", e)
|
||||
|
||||
if not self._remote:
|
||||
from . import jrpc_py
|
||||
self._remote = jrpc_py.JRpcClient(data_format="msgpack")
|
||||
|
||||
else:
|
||||
from . import jrpc_py
|
||||
self._remote = jrpc_py.JRpcClient(data_format="msgpack_snappy")
|
||||
|
||||
self._remote.on_rpc_callback = self._on_rpc_callback
|
||||
self._remote.on_disconnected = self._on_disconnected
|
||||
self._remote.on_connected = self._on_connected
|
||||
self._remote.connect(addr)
|
||||
|
||||
self._ordstatus_callback = None
|
||||
self._taskstatus_callback = None
|
||||
self._internal_order_callback = None
|
||||
self._trade_callback = None
|
||||
self._on_connection_callback = None
|
||||
self._connected = False
|
||||
self._username = ""
|
||||
self._password = ""
|
||||
self._strategy_id = 0
|
||||
self._strategy_selected = False
|
||||
self._data_format = "default"
|
||||
|
||||
def __del__(self):
|
||||
self._remote.close()
|
||||
|
||||
def _on_rpc_callback(self, method, data):
|
||||
# print "_on_rpc_callback:", method, data
|
||||
|
||||
if method == "oms.orderstatus_ind":
|
||||
if self._data_format == "obj":
|
||||
data = utils.to_obj("Order", data)
|
||||
|
||||
if self._ordstatus_callback:
|
||||
self._ordstatus_callback(data)
|
||||
|
||||
elif method == "oms.taskstatus_ind":
|
||||
if self._data_format == "obj":
|
||||
data = utils.to_obj("TaskStatus", data)
|
||||
|
||||
if self._taskstatus_callback:
|
||||
self._taskstatus_callback(data)
|
||||
|
||||
elif method == "oms.trade_ind":
|
||||
if self._data_format == "obj":
|
||||
data = utils.to_obj("Trade", data)
|
||||
|
||||
if self._trade_callback:
|
||||
self._trade_callback(data)
|
||||
|
||||
elif method == "oms.internal_order_ind":
|
||||
if self._data_format == "obj":
|
||||
data = utils.to_obj("QuoteOrder", data)
|
||||
|
||||
if self._internal_order_callback:
|
||||
self._internal_order_callback(data)
|
||||
|
||||
def _on_disconnected(self):
|
||||
print("TradeApi: _on_disconnected")
|
||||
self._connected = False
|
||||
self._strategy_selected = False
|
||||
if self._on_connection_callback:
|
||||
self._on_connection_callback(False)
|
||||
|
||||
def _on_connected(self):
|
||||
print("TradeApi: _on_connected")
|
||||
self._connected = True
|
||||
self._do_login()
|
||||
self._do_use_strategy()
|
||||
if self._on_connection_callback:
|
||||
self._on_connection_callback(True)
|
||||
|
||||
def _check_session(self):
|
||||
if not self._connected:
|
||||
return (False, "no connection")
|
||||
|
||||
if self._strategy_selected:
|
||||
return (True, "")
|
||||
|
||||
r, msg = self._do_login()
|
||||
if not r: return (r, msg)
|
||||
if self._strategy_id:
|
||||
return self._do_use_strategy()
|
||||
else:
|
||||
return (r, msg)
|
||||
|
||||
def set_data_format(self, format):
|
||||
self._data_format = format
|
||||
|
||||
def set_connection_callback(self, callback):
|
||||
self._on_connection_callback = callback
|
||||
|
||||
def set_ordstatus_callback(self, callback):
|
||||
self._ordstatus_callback = callback
|
||||
|
||||
def set_trade_callback(self, callback):
|
||||
self._trade_callback = callback
|
||||
|
||||
def set_task_callback(self, callback):
|
||||
self._taskstatus_callback = callback
|
||||
|
||||
def set_quoteorder_callback(self, callback):
|
||||
self._internal_order_callback = callback
|
||||
|
||||
def _get_format(self, format, default_format):
|
||||
if format:
|
||||
return format
|
||||
elif self._data_format != "default":
|
||||
return self._data_format
|
||||
else:
|
||||
return default_format
|
||||
|
||||
def login(self, username, password, format=""):
|
||||
self._username = username
|
||||
self._password = password
|
||||
return self._do_login(format=format)
|
||||
|
||||
def _do_login(self, format=""):
|
||||
# Shouldn't check connected flag here. ZMQ is a mesageq queue!
|
||||
# if !self._connected :
|
||||
# return (False, "-1,no connection")
|
||||
|
||||
if self._username and self._password:
|
||||
rpc_params = {"username": self._username,
|
||||
"password": self._password}
|
||||
|
||||
cr = self._remote.call("auth.login", rpc_params)
|
||||
f = self._get_format(format, "")
|
||||
if f != "obj" and f != "":
|
||||
f = ""
|
||||
return utils.extract_result(cr, format=f, class_name="UserInfo")
|
||||
else:
|
||||
return (False, "-1,empty username or password")
|
||||
|
||||
def logout(self):
|
||||
rpc_params = {}
|
||||
|
||||
cr = self._remote.call("auth.logout", rpc_params)
|
||||
return utils.extract_result(cr)
|
||||
|
||||
def close(self):
|
||||
self._remote.close()
|
||||
|
||||
def use_strategy(self, strategy_id):
|
||||
if strategy_id:
|
||||
self._strategy_id = strategy_id
|
||||
return self._do_use_strategy()
|
||||
else:
|
||||
# Query
|
||||
rpc_params = {"account_id": 0}
|
||||
|
||||
cr = self._remote.call("auth.use_strategy", rpc_params)
|
||||
r, msg = utils.extract_result(cr)
|
||||
self._strategy_selected = r
|
||||
|
||||
return (r, msg)
|
||||
|
||||
def _do_use_strategy(self):
|
||||
if self._strategy_id:
|
||||
rpc_params = {"account_id": self._strategy_id}
|
||||
|
||||
cr = self._remote.call("auth.use_strategy", rpc_params)
|
||||
r, msg = utils.extract_result(cr)
|
||||
self._strategy_selected = r
|
||||
|
||||
return (r, msg)
|
||||
else:
|
||||
return (False, "-1,no strategy_id was specified")
|
||||
|
||||
def confirm_internal_order(self, task_id, confirmed):
|
||||
"""
|
||||
return (result, message)
|
||||
if result is None, message contains error information
|
||||
"""
|
||||
|
||||
r, msg = self._check_session()
|
||||
if not r: return (None, msg)
|
||||
|
||||
rpc_params = {"task_id": task_id,
|
||||
"confirmed": confirmed}
|
||||
|
||||
cr = self._remote.call("oms.confirm_internal_order", rpc_params)
|
||||
return utils.extract_result(cr)
|
||||
|
||||
def order(self, security, price, size, algo="", algo_param={}, userdata=""):
|
||||
"""
|
||||
return (result, message)
|
||||
if result is None, message contains error information
|
||||
"""
|
||||
|
||||
r, msg = self._check_session()
|
||||
if not r: return (None, msg)
|
||||
|
||||
rpc_params = {"security": security,
|
||||
"price": price,
|
||||
"size": int(size),
|
||||
"algo": algo,
|
||||
"algo_param": json.dumps(algo_param),
|
||||
"user": self._username,
|
||||
"userdata": userdata}
|
||||
|
||||
cr = self._remote.call("oms.order", rpc_params)
|
||||
return utils.extract_result(cr)
|
||||
|
||||
def place_order(self, security, action, price, size, algo="", algo_param={}, userdata=""):
|
||||
"""
|
||||
return (result, message)
|
||||
if result is None, message contains error information
|
||||
"""
|
||||
|
||||
r, msg = self._check_session()
|
||||
if not r: return (None, msg)
|
||||
|
||||
rpc_params = {"security": security,
|
||||
"action": action,
|
||||
"price": price,
|
||||
"size": int(size),
|
||||
"algo": algo,
|
||||
"algo_param": json.dumps(algo_param),
|
||||
"user": self._username,
|
||||
"userdata": userdata}
|
||||
|
||||
cr = self._remote.call("oms.place_order", rpc_params)
|
||||
return utils.extract_result(cr)
|
||||
|
||||
def batch_order(self, orders, algo="", algo_param={}, userdata=""):
|
||||
"""
|
||||
orders format:
|
||||
[ {"security": "000001.SZ", "action": "Buy", "price": 10.0, "size" : 100}, ... ]
|
||||
return (result, message)
|
||||
if result is None, message contains error information
|
||||
"""
|
||||
|
||||
if not orders or not isinstance(orders, (list, tuple)):
|
||||
return (None, "empty order")
|
||||
|
||||
if isinstance(orders[0], EntrustOrder):
|
||||
tmp = []
|
||||
for o in orders:
|
||||
tmp.append({"security": o.security,
|
||||
"price": o.price,
|
||||
"size": int(o.size)})
|
||||
|
||||
orders = tmp
|
||||
|
||||
r, msg = self._check_session()
|
||||
if not r: return (None, msg)
|
||||
|
||||
rpc_params = {"orders": orders,
|
||||
"algo": algo,
|
||||
"algo_param": json.dumps(algo_param),
|
||||
"user": self._username,
|
||||
"userdata": userdata}
|
||||
|
||||
cr = self._remote.call("oms.batch_order", rpc_params)
|
||||
return utils.extract_result(cr)
|
||||
|
||||
def place_batch_order(self, orders, algo="", algo_param={}, userdata=""):
|
||||
"""
|
||||
orders format:
|
||||
[ {"security": "000001.SZ", "action": "Buy", "price": 10.0, "size" : 100}, ... ]
|
||||
return (result, message)
|
||||
if result is None, message contains error information
|
||||
"""
|
||||
|
||||
if not orders or not isinstance(orders, (list, tuple)):
|
||||
return (None, "empty order")
|
||||
|
||||
if isinstance(orders[0], EntrustOrder):
|
||||
tmp = []
|
||||
for o in orders:
|
||||
tmp.append({"security": o.security,
|
||||
"action": o.action,
|
||||
"price": o.price,
|
||||
"size": int(o.size)})
|
||||
|
||||
orders = tmp
|
||||
|
||||
r, msg = self._check_session()
|
||||
if not r: return (None, msg)
|
||||
|
||||
rpc_params = {"orders": orders,
|
||||
"algo": algo,
|
||||
"algo_param": json.dumps(algo_param),
|
||||
"user": self._username,
|
||||
"userdata": userdata}
|
||||
|
||||
cr = self._remote.call("oms.place_batch_order", rpc_params)
|
||||
return utils.extract_result(cr)
|
||||
|
||||
def cancel_order(self, task_id):
|
||||
"""
|
||||
return (result, message)
|
||||
if result is None, message contains error information
|
||||
"""
|
||||
|
||||
r, msg = self._check_session()
|
||||
if not r: return (None, msg)
|
||||
|
||||
rpc_params = {"task_id": task_id}
|
||||
|
||||
cr = self._remote.call("oms.cancel_order", rpc_params)
|
||||
return utils.extract_result(cr)
|
||||
|
||||
def query_account(self, format=""):
|
||||
"""
|
||||
return pd.dataframe
|
||||
"""
|
||||
r, msg = self._check_session()
|
||||
if not r: return (None, msg)
|
||||
|
||||
rpc_params = {}
|
||||
|
||||
data_format = self._get_format(format, "pandas")
|
||||
if data_format == "pandas":
|
||||
rpc_params["format"] = "columnset"
|
||||
|
||||
cr = self._remote.call("oms.query_account", rpc_params)
|
||||
|
||||
return utils.extract_result(cr, format=data_format, class_name="Account")
|
||||
|
||||
def query_position(self, mode="all", securities="", format=""):
|
||||
"""
|
||||
securities: seperate by ","
|
||||
return pd.dataframe
|
||||
"""
|
||||
|
||||
r, msg = self._check_session()
|
||||
if not r: return (None, msg)
|
||||
|
||||
rpc_params = {"mode": mode,
|
||||
"security": securities}
|
||||
|
||||
data_format = self._get_format(format, "pandas")
|
||||
if data_format == "pandas":
|
||||
rpc_params["format"] = "columnset"
|
||||
|
||||
cr = self._remote.call("oms.query_position", rpc_params)
|
||||
|
||||
return utils.extract_result(cr, format=data_format, class_name="Position")
|
||||
|
||||
def query_net_position(self, mode="all", securities="", format=""):
|
||||
"""
|
||||
securities: seperate by ","
|
||||
return pd.dataframe
|
||||
"""
|
||||
|
||||
r, msg = self._check_session()
|
||||
if not r: return (None, msg)
|
||||
|
||||
rpc_params = {"mode": mode,
|
||||
"security": securities}
|
||||
|
||||
data_format = self._get_format(format, "pandas")
|
||||
if data_format == "pandas":
|
||||
rpc_params["format"] = "columnset"
|
||||
|
||||
cr = self._remote.call("oms.query_net_position", rpc_params)
|
||||
|
||||
return utils.extract_result(cr, format=data_format, class_name="NetPosition")
|
||||
|
||||
def query_repo_contract(self, format=""):
|
||||
"""
|
||||
securities: seperate by ","
|
||||
return pd.dataframe
|
||||
"""
|
||||
|
||||
r, msg = self._check_session()
|
||||
if not r: return (None, msg)
|
||||
|
||||
rpc_params = {}
|
||||
|
||||
cr = self._remote.call("oms.query_repo_contract", rpc_params)
|
||||
|
||||
return utils.extract_result(cr, format=self._get_format(format, "pandas"), class_name="RepoContract")
|
||||
|
||||
def query_task(self, task_id=-1, format=""):
|
||||
"""
|
||||
task_id: -1 -- all
|
||||
return pd.dataframe
|
||||
"""
|
||||
|
||||
r, msg = self._check_session()
|
||||
if not r: return (None, msg)
|
||||
|
||||
rpc_params = {"task_id": task_id}
|
||||
|
||||
data_format = self._get_format(format, "pandas")
|
||||
if data_format == "pandas":
|
||||
rpc_params["format"] = "columnset"
|
||||
|
||||
cr = self._remote.call("oms.query_task", rpc_params)
|
||||
|
||||
return utils.extract_result(cr, format=data_format, class_name="Task")
|
||||
|
||||
def query_order(self, task_id=-1, format=""):
|
||||
"""
|
||||
task_id: -1 -- all
|
||||
return pd.dataframe
|
||||
"""
|
||||
|
||||
r, msg = self._check_session()
|
||||
if not r: return (None, msg)
|
||||
|
||||
rpc_params = {"task_id": task_id}
|
||||
|
||||
data_format = self._get_format(format, "pandas")
|
||||
if data_format == "pandas":
|
||||
rpc_params["format"] = "columnset"
|
||||
|
||||
cr = self._remote.call("oms.query_order", rpc_params)
|
||||
|
||||
return utils.extract_result(cr, format=data_format, class_name="Order")
|
||||
|
||||
def query_trade(self, task_id=-1, format=""):
|
||||
"""
|
||||
task_id: -1 -- all
|
||||
return pd.dataframe
|
||||
"""
|
||||
|
||||
r, msg = self._check_session()
|
||||
if not r: return (None, msg)
|
||||
|
||||
rpc_params = {"task_id": task_id}
|
||||
|
||||
data_format = self._get_format(format, "pandas")
|
||||
if data_format == "pandas":
|
||||
rpc_params["format"] = "columnset"
|
||||
|
||||
cr = self._remote.call("oms.query_trade", rpc_params)
|
||||
|
||||
return utils.extract_result(cr, format=data_format, class_name="Trade")
|
||||
|
||||
def query_portfolio(self, format=""):
|
||||
"""
|
||||
return pd.dataframe
|
||||
"""
|
||||
|
||||
r, msg = self._check_session()
|
||||
if not r: return (None, msg)
|
||||
|
||||
rpc_params = {}
|
||||
|
||||
data_format = self._get_format(format, "pandas")
|
||||
if data_format == "pandas":
|
||||
rpc_params["format"] = "columnset"
|
||||
|
||||
cr = self._remote.call("pms.query_portfolio", rpc_params)
|
||||
|
||||
return utils.extract_result(cr, index_column="security", format=data_format, class_name="NetPosition")
|
||||
|
||||
def goal_portfolio(self, positions, algo="", algo_param={}, userdata=""):
|
||||
"""
|
||||
positions format:
|
||||
[ {"security": "000001.SZ", "ref_price": 10.0, "size" : 100}, ...]
|
||||
return (result, message)
|
||||
if result is None, message contains error information
|
||||
"""
|
||||
|
||||
r, msg = self._check_session()
|
||||
if not r: return (False, msg)
|
||||
|
||||
if type(positions) is pd.core.frame.DataFrame:
|
||||
tmp = []
|
||||
for i in range(0, len(positions)):
|
||||
tmp.append({'security': positions.index[i], 'ref_price': float(positions['ref_price'][i]),
|
||||
"size": int(positions['size'][i])})
|
||||
positions = tmp
|
||||
|
||||
rpc_params = {"positions": positions,
|
||||
"algo": algo,
|
||||
"algo_param": json.dumps(algo_param),
|
||||
"user": self._username,
|
||||
"userdata": userdata}
|
||||
|
||||
cr = self._remote.call("pms.goal_portfolio", rpc_params)
|
||||
return utils.extract_result(cr)
|
||||
|
||||
def basket_order(self, orders, algo="", algo_param={}, userdata=""):
|
||||
"""
|
||||
orders format:
|
||||
[ {"security": "000001.SZ", "ref_price": 10.0, "inc_size" : 100}, ...]
|
||||
return (result, message)
|
||||
if result is None, message contains error information
|
||||
"""
|
||||
|
||||
r, msg = self._check_session()
|
||||
if not r: return (False, msg)
|
||||
|
||||
if type(orders) is pd.core.frame.DataFrame:
|
||||
tmp = []
|
||||
for i in range(0, len(orders)):
|
||||
tmp.append({'security': orders.index[i], 'ref_price': float(orders['ref_price'][i]),
|
||||
"inc_size": int(orders['inc_size'][i])})
|
||||
orders = tmp
|
||||
|
||||
rpc_params = {"orders": orders,
|
||||
"algo": algo,
|
||||
"algo_param": json.dumps(algo_param),
|
||||
"user": self._username,
|
||||
"userdata": userdata}
|
||||
|
||||
cr = self._remote.call("pms.basket_order", rpc_params)
|
||||
return utils.extract_result(cr)
|
||||
|
||||
def stop_portfolio(self):
|
||||
"""
|
||||
return (result, message)
|
||||
if result is None, message contains error information
|
||||
"""
|
||||
|
||||
r, msg = self._check_session()
|
||||
if not r: return (False, msg)
|
||||
|
||||
rpc_params = {}
|
||||
|
||||
cr = self._remote.call("pms.stop_portfolio", rpc_params)
|
||||
return utils.extract_result(cr)
|
||||
|
||||
def query_universe(self, format=""):
|
||||
|
||||
r, msg = self._check_session()
|
||||
if not r: return (None, msg)
|
||||
|
||||
rpc_params = {}
|
||||
data_format = self._get_format(format, "pandas")
|
||||
if data_format == "pandas":
|
||||
rpc_params["format"] = "columnset"
|
||||
|
||||
cr = self._remote.call("oms.query_universe", rpc_params)
|
||||
|
||||
return utils.extract_result(cr, format=data_format, class_name="UniverseItem")
|
||||
|
||||
def set_heartbeat(self, interval, timeout):
|
||||
self._remote.set_hearbeat_options(interval, timeout)
|
||||
print("heartbeat_interval =", self._remote._heartbeat_interval, ", heartbeat_timeout =",
|
||||
self._remote._heartbeat_timeout)
|
||||
95
vnpy/trader/gateway/tkproGateway/TradeApi/utils.py
Normal file
95
vnpy/trader/gateway/tkproGateway/TradeApi/utils.py
Normal file
@ -0,0 +1,95 @@
|
||||
from __future__ import absolute_import
|
||||
from __future__ import division
|
||||
from __future__ import print_function
|
||||
from __future__ import unicode_literals
|
||||
|
||||
from builtins import *
|
||||
from collections import namedtuple
|
||||
|
||||
import pandas as pd
|
||||
|
||||
|
||||
def _to_date(row):
|
||||
date = int(row['DATE'])
|
||||
return pd.datetime(year=date // 10000, month=date // 100 % 100, day=date % 100)
|
||||
|
||||
|
||||
def _to_datetime(row):
|
||||
date = int(row['DATE'])
|
||||
time = int(row['TIME']) // 1000
|
||||
return pd.datetime(year=date // 10000, month=date // 100 % 100, day=date % 100,
|
||||
hour=time // 10000, minute=time // 100 % 100, second=time % 100)
|
||||
|
||||
|
||||
def _to_dataframe(cloumset, index_func=None, index_column=None):
|
||||
df = pd.DataFrame(cloumset)
|
||||
if index_func:
|
||||
df.index = df.apply(index_func, axis=1)
|
||||
elif index_column:
|
||||
df.index = df[index_column]
|
||||
del df.index.name
|
||||
|
||||
return df
|
||||
|
||||
|
||||
def _error_to_str(error):
|
||||
if error:
|
||||
if 'message' in error:
|
||||
return str(error['error']) + "," + error['message']
|
||||
else:
|
||||
return str(error['error']) + ","
|
||||
else:
|
||||
return ","
|
||||
|
||||
|
||||
def to_obj(class_name, data):
|
||||
try:
|
||||
if isinstance(data, (list, tuple)):
|
||||
result = []
|
||||
for d in data:
|
||||
result.append(namedtuple(class_name, list(d.keys()))(*list(d.values())))
|
||||
return result
|
||||
|
||||
elif type(data) == dict:
|
||||
result = namedtuple(class_name, list(data.keys()))(*list(data.values()))
|
||||
return result
|
||||
else:
|
||||
return data
|
||||
except Exception as e:
|
||||
print(class_name, data, e)
|
||||
return data
|
||||
|
||||
|
||||
def extract_result(cr, format="", index_column=None, class_name=""):
|
||||
"""
|
||||
format supports pandas, obj.
|
||||
"""
|
||||
|
||||
err = _error_to_str(cr['error']) if 'error' in cr else None
|
||||
if 'result' in cr:
|
||||
if format == "pandas":
|
||||
if index_column:
|
||||
return (_to_dataframe(cr['result'], None, index_column), err)
|
||||
if 'TIME' in cr['result']:
|
||||
return (_to_dataframe(cr['result'], _to_datetime), err)
|
||||
elif 'DATE' in cr['result']:
|
||||
return (_to_dataframe(cr['result'], _to_date), err)
|
||||
else:
|
||||
return (_to_dataframe(cr['result']), err)
|
||||
|
||||
elif format == "obj" and cr['result'] and class_name:
|
||||
r = cr['result']
|
||||
if isinstance(r, (list, tuple)):
|
||||
result = []
|
||||
for d in r:
|
||||
result.append(namedtuple(class_name, list(d.keys()))(*list(d.values())))
|
||||
elif isinstance(r, dict):
|
||||
result = namedtuple(class_name, list(r.keys()))(*list(r.values()))
|
||||
else:
|
||||
result = r
|
||||
|
||||
return (result, err)
|
||||
else:
|
||||
return (cr['result'], err)
|
||||
else:
|
||||
return (None, err)
|
||||
10
vnpy/trader/gateway/tkproGateway/__init__.py
Normal file
10
vnpy/trader/gateway/tkproGateway/__init__.py
Normal file
@ -0,0 +1,10 @@
|
||||
# encoding: UTF-8
|
||||
|
||||
from vnpy.trader import vtConstant
|
||||
from .tkproGateway import TkproGateway
|
||||
|
||||
gatewayClass = TkproGateway
|
||||
gatewayName = 'TKPRO'
|
||||
gatewayDisplayName = 'TKPRO'
|
||||
gatewayType = vtConstant.GATEWAYTYPE_EQUITY
|
||||
gatewayQryEnabled = True
|
||||
611
vnpy/trader/gateway/tkproGateway/tkproGateway.py
Normal file
611
vnpy/trader/gateway/tkproGateway/tkproGateway.py
Normal file
@ -0,0 +1,611 @@
|
||||
# encoding: UTF-8
|
||||
|
||||
'''
|
||||
quantOS的TkPro系统接入
|
||||
'''
|
||||
|
||||
import sys
|
||||
import os
|
||||
import json
|
||||
import traceback
|
||||
from datetime import datetime
|
||||
|
||||
from vnpy.trader.vtConstant import *
|
||||
from vnpy.trader.vtObject import *
|
||||
from vnpy.trader.vtGateway import VtGateway
|
||||
from vnpy.trader.vtFunction import getJsonPath
|
||||
from vnpy.trader.vtEvent import EVENT_TIMER
|
||||
|
||||
from .DataApi import DataApi
|
||||
from .TradeApi import TradeApi
|
||||
from collections import namedtuple
|
||||
|
||||
|
||||
|
||||
# 以下为一些VT类型和TkPro类型的映射字典
|
||||
|
||||
# 动作印射
|
||||
actionMap = {}
|
||||
actionMap[(DIRECTION_LONG, OFFSET_OPEN)] = "Buy"
|
||||
actionMap[(DIRECTION_SHORT, OFFSET_OPEN)] = "Short"
|
||||
actionMap[(DIRECTION_LONG, OFFSET_CLOSE)] = "Cover"
|
||||
actionMap[(DIRECTION_SHORT, OFFSET_CLOSE)] = "Sell"
|
||||
actionMap[(DIRECTION_LONG, OFFSET_CLOSEYESTERDAY)] = "CoverYesterday"
|
||||
actionMap[(DIRECTION_SHORT, OFFSET_CLOSEYESTERDAY)] = "SellYesterday"
|
||||
actionMap[(DIRECTION_LONG, OFFSET_CLOSETODAY)] = "CoverToday"
|
||||
actionMap[(DIRECTION_SHORT, OFFSET_CLOSETODAY)] = "SellToday"
|
||||
actionMapReverse = {v: k for k, v in actionMap.items()}
|
||||
|
||||
# 交易所类型映射
|
||||
exchangeMap = {}
|
||||
exchangeMap[EXCHANGE_CFFEX] = 'CFE'
|
||||
exchangeMap[EXCHANGE_SHFE] = 'SHF'
|
||||
exchangeMap[EXCHANGE_CZCE] = 'CZC'
|
||||
exchangeMap[EXCHANGE_DCE] = 'DCE'
|
||||
exchangeMap[EXCHANGE_SSE] = 'SH'
|
||||
exchangeMap[EXCHANGE_SZSE] = 'SZ'
|
||||
exchangeMapReverse = {v:k for k,v in exchangeMap.items()}
|
||||
|
||||
|
||||
# 持仓类型映射
|
||||
sideMap = {}
|
||||
sideMap[DIRECTION_LONG] = 'Long'
|
||||
sideMap[DIRECTION_SHORT] = 'Short'
|
||||
sideMapReverse = {v:k for k,v in sideMap.items()}
|
||||
|
||||
# 产品类型映射
|
||||
productClassMapReverse = {}
|
||||
productClassMapReverse[1] = PRODUCT_EQUITY
|
||||
productClassMapReverse[3] = PRODUCT_EQUITY
|
||||
productClassMapReverse[4] = PRODUCT_EQUITY
|
||||
productClassMapReverse[5] = PRODUCT_EQUITY
|
||||
productClassMapReverse[8] = PRODUCT_BOND
|
||||
productClassMapReverse[17] = PRODUCT_BOND
|
||||
productClassMapReverse[101] = PRODUCT_FUTURES
|
||||
productClassMapReverse[102] = PRODUCT_FUTURES
|
||||
productClassMapReverse[103] = PRODUCT_FUTURES
|
||||
|
||||
# 委托状态映射
|
||||
statusMapReverse = {}
|
||||
statusMapReverse['New'] = STATUS_UNKNOWN
|
||||
statusMapReverse['Accepted'] = STATUS_NOTTRADED
|
||||
statusMapReverse['Cancelled'] = STATUS_CANCELLED
|
||||
statusMapReverse['Filled'] = STATUS_ALLTRADED
|
||||
statusMapReverse['Rejected'] = STATUS_REJECTED
|
||||
|
||||
|
||||
|
||||
########################################################################
|
||||
class TkproGateway(VtGateway):
|
||||
"""TkPro接口"""
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def __init__(self, eventengine, gatewayName='TKPRO'):
|
||||
"""Constructor"""
|
||||
super(TkproGateway, self).__init__(eventengine, gatewayName)
|
||||
|
||||
self.dataApi = TkproDataApi(self) # 行情
|
||||
self.tradeApi = TkproTradeApi(self) # 交易
|
||||
|
||||
self.qryEnabled = False # 是否要启动循环查询
|
||||
|
||||
self.fileName = self.gatewayName + '_connect.json'
|
||||
self.filePath = getJsonPath(self.fileName, __file__)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def connect(self):
|
||||
"""连接"""
|
||||
try:
|
||||
f = file(self.filePath)
|
||||
except IOError:
|
||||
log = VtLogData()
|
||||
log.gatewayName = self.gatewayName
|
||||
log.logContent = u'无法加载配置'
|
||||
self.onLog(log)
|
||||
return
|
||||
|
||||
setting = json.load(f)
|
||||
try:
|
||||
username = str(setting['username'])
|
||||
token = str(setting['token'])
|
||||
strategy = int(setting['strategy'])
|
||||
tradeAddress = str(setting['tradeAddress'])
|
||||
dataAddress = str(setting['dataAddress'])
|
||||
except KeyError:
|
||||
log = VtLogData()
|
||||
log.gatewayName = self.gatewayName
|
||||
log.logContent = u'连接配置缺少字段，请检查'
|
||||
self.onLog(log)
|
||||
return
|
||||
|
||||
# 创建行情和交易接口对象
|
||||
self.dataApi.connect(dataAddress, username, token)
|
||||
self.tradeApi.connect(tradeAddress, username, token, strategy)
|
||||
|
||||
# 初始化并启动查询
|
||||
self.initQuery()
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def subscribe(self, subscribeReq):
|
||||
"""订阅行情"""
|
||||
self.dataApi.subscribe(subscribeReq)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def sendOrder(self, orderReq):
|
||||
"""发单"""
|
||||
self.tradeApi.sendOrder(orderReq)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def cancelOrder(self, cancelOrderReq):
|
||||
"""撤单"""
|
||||
self.tradeApi.cancelOrder(cancelOrderReq)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def qryAccount(self):
|
||||
"""查询账户资金"""
|
||||
self.tradeApi.qryAccount()
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def qryPosition(self):
|
||||
"""查询持仓"""
|
||||
self.tradeApi.qryPosition()
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def close(self):
|
||||
"""关闭"""
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def initQuery(self):
|
||||
"""初始化连续查询"""
|
||||
if self.qryEnabled:
|
||||
# 需要循环的查询函数列表
|
||||
self.qryFunctionList = [self.qryPosition, self.qryAccount]
|
||||
|
||||
self.qryCount = 0 # 查询触发倒计时
|
||||
self.qryTrigger = 2 # 查询触发点
|
||||
self.qryNextFunction = 0 # 上次运行的查询函数索引
|
||||
|
||||
self.startQuery()
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def query(self, event):
|
||||
"""注册到事件处理引擎上的查询函数"""
|
||||
self.qryCount += 1
|
||||
|
||||
if self.qryCount > self.qryTrigger:
|
||||
# 清空倒计时
|
||||
self.qryCount = 0
|
||||
|
||||
# 执行查询函数
|
||||
function = self.qryFunctionList[self.qryNextFunction]
|
||||
function()
|
||||
|
||||
# 计算下次查询函数的索引，如果超过了列表长度，则重新设为0
|
||||
self.qryNextFunction += 1
|
||||
if self.qryNextFunction == len(self.qryFunctionList):
|
||||
self.qryNextFunction = 0
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def startQuery(self):
|
||||
"""启动连续查询"""
|
||||
self.eventEngine.register(EVENT_TIMER, self.query)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def setQryEnabled(self, qryEnabled):
|
||||
"""设置是否要启动循环查询"""
|
||||
self.qryEnabled = qryEnabled
|
||||
|
||||
|
||||
########################################################################
|
||||
class TkproTradeApi(object):
|
||||
"""TkPro交易API实现"""
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def __init__(self, gateway):
|
||||
"""Constructor"""
|
||||
super(TkproTradeApi, self).__init__()
|
||||
|
||||
self.gateway = gateway # gateway对象
|
||||
self.gatewayName = gateway.gatewayName # gateway对象名称
|
||||
|
||||
self.api = None
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def onOrderStatus(self, data):
|
||||
"""委托信息推送"""
|
||||
if isinstance(data, dict):
|
||||
data = namedtuple('Order', list(data.keys()))(*list(data.values()))
|
||||
|
||||
order = VtOrderData()
|
||||
order.gatewayName = self.gatewayName
|
||||
|
||||
symbol, exchange = data.security.split('.')
|
||||
order.symbol = symbol
|
||||
order.exchange = exchangeMapReverse[exchange]
|
||||
order.vtSymbol = '.'.join([order.symbol, order.exchange])
|
||||
|
||||
order.orderID = str(data.entrust_no)
|
||||
order.taskID = str(data.task_id)
|
||||
order.vtOrderID = order.orderID
|
||||
|
||||
order.direction, order.offset = actionMapReverse.get(data.entrust_action, (DIRECTION_UNKNOWN, OFFSET_UNKNOWN))
|
||||
order.totalVolume = data.entrust_size
|
||||
order.tradedVolume = data.fill_size
|
||||
order.price = data.entrust_price
|
||||
order.status = statusMapReverse.get(data.order_status)
|
||||
order.tradePrice = data.fill_price
|
||||
|
||||
t = str(data.entrust_time)
|
||||
t = t.rjust(6, '0')
|
||||
order.orderTime = '%s:%s:%s' %(t[0:2],t[2:4],t[4:])
|
||||
|
||||
self.gateway.onOrder(order)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def onTaskStatus(self, data):
|
||||
""""""
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def onTrade(self, data):
|
||||
"""成交信息推送"""
|
||||
if isinstance(data, dict):
|
||||
data = namedtuple('Trade', list(data.keys()))(*list(data.values()))
|
||||
|
||||
trade = VtTradeData()
|
||||
trade.gatewayName = self.gatewayName
|
||||
|
||||
symbol, exchange = data.security.split('.')
|
||||
trade.symbol = symbol
|
||||
trade.exchange = exchangeMapReverse[exchange]
|
||||
trade.vtSymbol = '.'.join([trade.symbol, trade.exchange])
|
||||
|
||||
trade.direction, trade.offset = actionMapReverse.get(data.entrust_action, (DIRECTION_UNKNOWN, OFFSET_UNKNOWN))
|
||||
|
||||
trade.tradeID = str(data.fill_no)
|
||||
trade.vtTradeID = str(data.fill_no)
|
||||
|
||||
trade.orderID = str(data.entrust_no)
|
||||
trade.vtOrderID = trade.orderID
|
||||
trade.taskID = str(data.task_id)
|
||||
|
||||
trade.price = data.fill_price
|
||||
trade.volume = data.fill_size
|
||||
|
||||
t = str(data.fill_time)
|
||||
t = t.rjust(6, '0')
|
||||
trade.tradeTime = '%s:%s:%s' %(t[0:2],t[2:4],t[4:])
|
||||
|
||||
self.gateway.onTrade(trade)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def onConnection(self, data):
|
||||
""""""
|
||||
self.writeLog(u'连接状态更新：%s' %data)
|
||||
|
||||
if data:
|
||||
self.qryInstrument()
|
||||
self.qryOrder()
|
||||
self.qryTrade()
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def connect(self, tradeAddress, username, token, strategy):
|
||||
"""初始化连接"""
|
||||
if self.api:
|
||||
self.writeLog(u'交易已经连接')
|
||||
return
|
||||
|
||||
self.api = TradeApi(tradeAddress)
|
||||
self.api.set_data_format('obj')
|
||||
|
||||
# 登录
|
||||
result, msg = self.api.login(username, token)
|
||||
|
||||
if not result:
|
||||
self.writeLog(u'交易登录失败，错误信息：%s' %msg)
|
||||
return
|
||||
|
||||
result, msg = self.api.use_strategy(strategy)
|
||||
|
||||
if result:
|
||||
self.writeLog(u'选定策略号：%s' %strategy)
|
||||
else:
|
||||
self.writeLog(u'选定策略号失败')
|
||||
|
||||
self.api.set_ordstatus_callback(self.onOrderStatus)
|
||||
self.api.set_trade_callback(self.onTrade)
|
||||
self.api.set_task_callback(self.onTaskStatus)
|
||||
self.api.set_connection_callback(self.onConnection)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def close(self):
|
||||
"""关闭"""
|
||||
pass
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def writeLog(self, logContent):
|
||||
"""记录日志"""
|
||||
log = VtLogData()
|
||||
log.gatewayName = self.gatewayName
|
||||
log.logContent = logContent
|
||||
self.gateway.onLog(log)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def sendOrder(self, orderReq):
|
||||
"""发单"""
|
||||
if not self.api:
|
||||
return
|
||||
|
||||
exchange = exchangeMap.get(orderReq.exchange, '')
|
||||
security = '.'.join([orderReq.symbol, exchange])
|
||||
action = actionMap.get((orderReq.direction, orderReq.offset), '')
|
||||
|
||||
taskid, msg = self.api.place_order(security, action, orderReq.price, int(orderReq.volume))
|
||||
|
||||
if taskid is 0:
|
||||
self.writeLog(u'委托失败，错误信息：%s' %msg)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def cancelOrder(self, cancelOrderReq):
|
||||
"""撤单"""
|
||||
if not self.api:
|
||||
return
|
||||
|
||||
result, msg = self.api.cancel_order(cancelOrderReq.orderID)
|
||||
if result is 0:
|
||||
self.writeLog(u'撤单失败，错误信息：%s' %msg)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def qryPosition(self):
|
||||
"""查询持仓"""
|
||||
l, msg = self.api.query_position()
|
||||
|
||||
if l is None:
|
||||
self.writeLog(u'查询持仓失败，错误信息：%s' %msg)
|
||||
return False
|
||||
|
||||
for data in l:
|
||||
position = VtPositionData()
|
||||
position.gatewayName = self.gatewayName
|
||||
|
||||
symbol, exchange = data.security.split('.')
|
||||
position.symbol = symbol
|
||||
position.exchange = exchangeMapReverse[exchange]
|
||||
position.vtSymbol = '.'.join([position.symbol, position.exchange])
|
||||
|
||||
position.direction = sideMapReverse.get(data.side, DIRECTION_UNKNOWN)
|
||||
position.vtPositionName = '.'.join([position.vtSymbol, position.direction])
|
||||
|
||||
position.price = data.cost_price
|
||||
position.ydPosition = data.pre_size
|
||||
position.tdPosition = data.today_size
|
||||
position.position = data.current_size
|
||||
position.frozen = data.frozen_size
|
||||
|
||||
position.commission = data.commission
|
||||
position.enable = data.enable_size
|
||||
position.want = data.want_size
|
||||
position.initPosition = data.init_size
|
||||
position.trading = data.trading_pnl
|
||||
position.holding = data.holding_pnl
|
||||
position.last = data.last_price
|
||||
|
||||
self.gateway.onPosition(position)
|
||||
|
||||
return True
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def qryAccount(self):
|
||||
"""查询资金"""
|
||||
l, msg = self.api.query_account()
|
||||
|
||||
if l is None:
|
||||
self.writeLog(u'查询资金失败，错误信息：%s' %msg)
|
||||
return False
|
||||
|
||||
for data in l:
|
||||
account = VtAccountData()
|
||||
account.gatewayName = self.gatewayName
|
||||
|
||||
account.accountID = '_'.join([str(data.id), data.type])
|
||||
account.vtAccountID = '.'.join([account.accountID, account.gatewayName])
|
||||
account.available = data.enable_balance
|
||||
account.balance = account.available + data.frozen_balance
|
||||
account.closeProfit = data.close_pnl
|
||||
account.commission = data.commission
|
||||
account.margin = data.margin
|
||||
account.positionProfit = data.holding_pnl
|
||||
account.preBalance = data.init_balance
|
||||
|
||||
self.gateway.onAccount(account)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def qryOrder(self):
|
||||
"""查询委托"""
|
||||
l, msg = self.api.query_order()
|
||||
|
||||
if l is None:
|
||||
self.writeLog(u'查询委托失败，错误信息：%s' %msg)
|
||||
else:
|
||||
for data in l:
|
||||
self.onOrderStatus(data)
|
||||
|
||||
self.writeLog(u'查询委托完成')
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def qryTrade(self):
|
||||
"""查询成交"""
|
||||
l, msg = self.api.query_trade()
|
||||
|
||||
if l is None:
|
||||
self.writeLog(u'查询成交失败，错误信息：%s' %msg)
|
||||
return False
|
||||
|
||||
for data in l:
|
||||
self.onTrade(data)
|
||||
|
||||
self.writeLog(u'查询成交完成')
|
||||
return True
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def qryInstrument(self):
|
||||
"""查询合约"""
|
||||
# 通过DataAPI查询所有信息
|
||||
df, msg = self.gateway.dataApi.api.query(
|
||||
view='jz.instrumentInfo',
|
||||
fields='symbol,name,inst_type,buylot,pricetick,multiplier',
|
||||
filter='inst_type=1',
|
||||
data_format='pandas'
|
||||
)
|
||||
|
||||
d = {}
|
||||
for n, row in df.iterrows():
|
||||
d[row.symbol] = row
|
||||
|
||||
# 查询所有信息
|
||||
l, msg = self.api.query_universe()
|
||||
|
||||
if l is None:
|
||||
self.writeLog(u'查询合约失败，错误信息：%s' %msg)
|
||||
return False
|
||||
|
||||
for data in l:
|
||||
row = d[data.security]
|
||||
|
||||
contract = VtContractData()
|
||||
contract.gatewayName = self.gatewayName
|
||||
|
||||
symbol, exchange = data.security.split('.')
|
||||
contract.symbol = symbol
|
||||
contract.exchange = exchangeMapReverse[exchange]
|
||||
contract.vtSymbol = '.'.join([contract.symbol, contract.exchange])
|
||||
contract.productClass = PRODUCT_EQUITY
|
||||
contract.name = unicode(row['name'])
|
||||
contract.priceTick = float(row['pricetick'])
|
||||
contract.size = int(row['multiplier'])
|
||||
|
||||
self.gateway.onContract(contract)
|
||||
|
||||
self.writeLog(u'查询合约完成')
|
||||
return True
|
||||
|
||||
|
||||
########################################################################
|
||||
class TkproDataApi(object):
|
||||
"""TkPro行情API实现"""
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def __init__(self, gateway):
|
||||
"""Constructor"""
|
||||
super(TkproDataApi, self).__init__()
|
||||
|
||||
self.gateway = gateway
|
||||
self.gatewayName = gateway.gatewayName
|
||||
|
||||
self.api = None
|
||||
|
||||
self.fields = "open,close,high,low,last,\
|
||||
volume,turnover,oi,preclose,time,date,\
|
||||
askprice1,askprice2,askprice3,askprice4,askprice5,\
|
||||
bidprice1,bidprice2,bidprice3,bidprice4,bidprice5,\
|
||||
askvolume1,askvolume2,askvolume3,askvolume4,askvolume5,\
|
||||
bidvolume1,bidvolume2,bidvolume3,bidvolume4,bidvolume5,\
|
||||
limit_up,limit_down"
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def onMarketData(self, k, data):
|
||||
"""行情推送"""
|
||||
tick = VtTickData()
|
||||
tick.gatewayName = self.gatewayName
|
||||
|
||||
try:
|
||||
l = data['symbol'].split('.')
|
||||
tick.symbol = l[0]
|
||||
tick.exchange = exchangeMapReverse[l[1]]
|
||||
tick.vtSymbol = '.'.join([tick.symbol, tick.exchange])
|
||||
|
||||
tick.openPrice = data['open']
|
||||
tick.highPrice = data['high']
|
||||
tick.lowPrice = data['low']
|
||||
tick.volume = data['volume']
|
||||
tick.turnover = data['turnover']
|
||||
tick.lastPrice = data['last']
|
||||
|
||||
tick.openInterest = data['oi']
|
||||
tick.preClosePrice = data['preclose']
|
||||
tick.date = str(data['date'])
|
||||
|
||||
t = str(data['time'])
|
||||
t = t.rjust(9, '0')
|
||||
tick.time = '%s:%s:%s.%s' %(t[0:2],t[2:4],t[4:6],t[6:])
|
||||
|
||||
tick.bidPrice1 = data['bidprice1']
|
||||
tick.askPrice1 = data['askprice1']
|
||||
tick.bidVolume1 = data['bidvolume1']
|
||||
tick.askVolume1 = data['askvolume1']
|
||||
|
||||
if 'bidprice2' in data:
|
||||
tick.bidPrice2 = data['bidprice2']
|
||||
tick.bidPrice3 = data['bidprice3']
|
||||
tick.bidPrice4 = data['bidprice4']
|
||||
tick.bidPrice5 = data['bidprice5']
|
||||
|
||||
tick.askPrice2 = data['askprice2']
|
||||
tick.askPrice3 = data['askprice3']
|
||||
tick.askPrice4 = data['askprice4']
|
||||
tick.askPrice5 = data['askprice5']
|
||||
|
||||
tick.bidVolume2 = data['bidvolume2']
|
||||
tick.bidVolume3 = data['bidvolume3']
|
||||
tick.bidVolume4 = data['bidvolume4']
|
||||
tick.bidVolume5 = data['bidvolume5']
|
||||
|
||||
tick.askVolume2 = data['askvolume2']
|
||||
tick.askVolume3 = data['askvolume3']
|
||||
tick.askVolume4 = data['askvolume4']
|
||||
tick.askVolume5 = data['askvolume5']
|
||||
|
||||
tick.upperLimit = data['limit_up']
|
||||
tick.lowerLimit = data['limit_down']
|
||||
|
||||
self.gateway.onTick(tick)
|
||||
except Exception, e:
|
||||
self.writeLog(u'行情更新失败，错误信息：%s' % str(e))
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def connect(self, dataAddress, username, token):
|
||||
"""连接"""
|
||||
if self.api:
|
||||
self.writeLog(u'行情已经连接')
|
||||
return
|
||||
|
||||
self.api = DataApi(dataAddress)
|
||||
|
||||
result, msg = self.api.login(username, token)
|
||||
|
||||
if not result:
|
||||
self.writeLog(u'行情登录失败，错误信息：%sa' %str(msg))
|
||||
return
|
||||
|
||||
self.writeLog(u'行情连接成功')
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def subscribe(self, subscribeReq):
|
||||
"""订阅行情"""
|
||||
exchange = exchangeMap.get(subscribeReq.exchange, '')
|
||||
security = '.'.join([subscribeReq.symbol, exchange])
|
||||
|
||||
subscribed, msg = self.api.subscribe(security, fields=self.fields, func=self.onMarketData)
|
||||
|
||||
if not subscribed:
|
||||
self.writeLog(u'行情订阅失败，错误信息：%s' %str(msg))
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def writeLog(self, logContent):
|
||||
"""记录日志"""
|
||||
log = VtLogData()
|
||||
log.gatewayName = self.gatewayName
|
||||
log.logContent = logContent
|
||||
self.gateway.onLog(log)
|
||||
|
||||
Loading…
Reference in New Issue
Block a user