修改IB接口中用到的代码为localSymbol，以及一些细节方面的bug，感谢Github贡献者border
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vnpy
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fadfc7c351
commit
c4b7f5b6f2
@ -1,5 +1,5 @@
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{
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"host": "localhost",
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"port": 7496,
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"clientId": 888
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"host": "localhost",
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"port": 7496,
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"clientId": 888
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}
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@ -95,7 +95,7 @@ tickFieldMap[7] = 'lowPrice'
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tickFieldMap[8] = 'volume'
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tickFieldMap[9] = 'preClosePrice'
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tickFieldMap[14] = 'openPrice'
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tickFieldMap[20] = 'openInterest'
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tickFieldMap[22] = 'openInterest'
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# Account数据Key和名称的映射
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accountKeyMap = {}
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@ -121,12 +121,15 @@ class IbGateway(VtGateway):
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self.tickerId = 0 # 订阅行情时的代码编号
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self.tickDict = {} # tick快照字典，key为tickerId，value为VtTickData对象
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self.tickProductDict = {} # tick对应的产品类型字典，key为tickerId，value为产品类型
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self.orderId = 0 # 订单编号
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self.orderDict = {} # 报单字典，key为orderId，value为VtOrderData对象
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self.accountDict = {} # 账户字典
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self.contractDict = {} # 合约字典
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self.connected = False # 连接状态
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self.wrapper = IbWrapper(self) # 回调接口
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@ -173,30 +176,31 @@ class IbGateway(VtGateway):
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#----------------------------------------------------------------------
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def subscribe(self, subscribeReq):
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"""订阅行情"""
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# 订阅行情
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self.tickerId += 1
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contract = Contract()
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contract.m_symbol = str(subscribeReq.symbol)
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contract.m_localSymbol = str(subscribeReq.symbol)
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contract.m_exchange = exchangeMap.get(subscribeReq.exchange, '')
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contract.m_secType = productClassMap.get(subscribeReq.productClass, '')
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contract.m_currency = currencyMap.get(subscribeReq.currency, '')
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contract.m_expiry = subscribeReq.expiry
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contract.m_strike = subscribeReq.strikePrice
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contract.m_right = optionTypeMap.get(subscribeReq.optionType, '')
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# 考虑设计为针对期货用代码_到期日的方式来代替单纯的代码
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if contract.m_secType == 'FUT' and not subscribeReq.expiry:
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# 期货 如果没有设置过期时间, 默认设置为下个月
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dt_obj = datetime.now()
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days = calendar.monthrange(dt_obj.year, dt_obj.month)[1]
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nextMonth = dt_obj + timedelta(days=(days - dt_obj.day + 1))
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contract.m_expiry = nextMonth.strftime('%Y%m')
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self.connection.reqMktData(self.tickerId, contract, '', False)
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# 获取合约详细信息
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self.connection.reqContractDetails(self.tickerId, contract)
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self.tickerId += 1
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self.connection.reqContractDetails(self.tickerId, contract)
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# 创建合约对象并保存到字典中
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ct = VtContractData()
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ct.gatewayName = self.gatewayName
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ct.symbol = str(subscribeReq.symbol)
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ct.exchange = subscribeReq.exchange
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ct.vtSymbol = '.'.join([ct.symbol, ct.exchange])
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ct.productClass = subscribeReq.productClass
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self.contractDict[ct.vtSymbol] = ct
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# 订阅行情
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self.tickerId += 1
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self.connection.reqMktData(self.tickerId, contract, '', False)
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# 创建Tick对象并保存到字典中
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tick = VtTickData()
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@ -204,9 +208,9 @@ class IbGateway(VtGateway):
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tick.exchange = subscribeReq.exchange
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tick.vtSymbol = '.'.join([tick.symbol, tick.exchange])
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tick.gatewayName = self.gatewayName
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tick.__setattr__('m_secType', productClassMap.get(subscribeReq.productClass, ''))
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self.tickDict[self.tickerId] = tick
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self.tickDict[self.tickerId] = tick
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self.tickProductDict[self.tickerId] = subscribeReq.productClass
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#----------------------------------------------------------------------
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def sendOrder(self, orderReq):
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"""发单"""
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@ -216,11 +220,10 @@ class IbGateway(VtGateway):
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# 创建合约对象
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contract = Contract()
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contract.m_symbol = str(orderReq.symbol)
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contract.m_localSymbol = str(orderReq.symbol)
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contract.m_exchange = exchangeMap.get(orderReq.exchange, '')
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contract.m_secType = productClassMap.get(orderReq.productClass, '')
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contract.m_currency = currencyMap.get(orderReq.currency, '')
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contract.m_expiry = orderReq.expiry
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contract.m_strike = orderReq.strikePrice
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contract.m_right = optionTypeMap.get(orderReq.optionType, '')
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@ -229,7 +232,6 @@ class IbGateway(VtGateway):
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order = Order()
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order.m_orderId = self.orderId
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order.m_clientId = self.clientId
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order.m_action = directionMap.get(orderReq.direction, '')
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order.m_lmtPrice = orderReq.price
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order.m_totalQuantity = orderReq.volume
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@ -285,6 +287,8 @@ class IbWrapper(EWrapper):
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self.tickDict = gateway.tickDict # tick快照字典，key为tickerId，value为VtTickData对象
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self.orderDict = gateway.orderDict # order字典
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self.accountDict = gateway.accountDict # account字典
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self.contractDict = gateway.contractDict # contract字典
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self.tickProductDict = gateway.tickProductDict
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#----------------------------------------------------------------------
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def tickPrice(self, tickerId, field, price, canAutoExecute):
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@ -293,12 +297,13 @@ class IbWrapper(EWrapper):
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tick = self.tickDict[tickerId]
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key = tickFieldMap[field]
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tick.__setattr__(key, price)
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# 外汇单独设置时间, tickString 没有返回外汇时间
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if tick.m_secType == 'CASH':
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dt_obj = datetime.now()
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tick.time = dt_obj.strftime('%H:%M:%S.%f')
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tick.date = dt_obj.strftime('%Y%m%d')
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if self.tickProductDict[tickerId] == PRODUCT_FOREX:
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tick.lastPrice = (tick.bidPrice1 + tick.askPrice1) / 2
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dt = datetime.now()
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tick.time = dt.strftime('%H:%M:%S.%f')
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tick.date = dt.strftime('%Y%m%d')
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# 行情数据更新
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newtick = copy(tick)
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@ -314,11 +319,9 @@ class IbWrapper(EWrapper):
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key = tickFieldMap[field]
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tick.__setattr__(key, size)
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# 外汇单独设置时间, tickString 没有返回外汇时间
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if tick.m_secType == 'CASH':
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dt_obj = datetime.now()
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tick.time = dt_obj.strftime('%H:%M:%S.%f')
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tick.date = dt_obj.strftime('%Y%m%d')
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dt = datetime.now()
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tick.time = dt.strftime('%H:%M:%S.%f')
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tick.date = dt.strftime('%Y%m%d')
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# 行情数据更新
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newtick = copy(tick)
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@ -339,17 +342,11 @@ class IbWrapper(EWrapper):
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#----------------------------------------------------------------------
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def tickString(self, tickerId, tickType, value):
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"""行情推送，特殊字段相关"""
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if tickType == 45:
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dt_obj = datetime.fromtimestamp(int(value))
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tick = self.tickDict[tickerId]
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tick.time = dt_obj.strftime('%H:%M:%S.%f')
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tick.date = dt_obj.strftime('%Y%m%d')
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# 这里使用copy的目的是为了保证推送到事件系统中的对象
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# 不会被当前的API线程修改，否则可能出现多线程数据同步错误
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newtick = copy(tick)
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self.gateway.onTick(newtick)
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# 参考了一些其他平台对于IB行情数据的开发建议后，
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# 发现大部分都选择使用本地电脑时间戳而非IB推送的时间戳，
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# 猜测原因可能是IB的行情质量一般（本身就是切片了的），
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# 因此这里也选择使用电脑的本地时间
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pass
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#----------------------------------------------------------------------
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def tickEFP(self, tickerId, tickType, basisPoints, formattedBasisPoints, impliedFuture, holdDays, futureExpiry, dividendImpact, dividendsToExpiry):
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@ -387,7 +384,7 @@ class IbWrapper(EWrapper):
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od = VtOrderData() # od代表orderData
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od.orderID = orderId
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od.vtOrderID = '.'.join([self.gatewayName, orderId])
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od.symbol = contract.m_symbol
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od.symbol = contract.m_localSymbol
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od.exchange = exchangeMapReverse.get(contract.m_exchange, '')
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od.vtSymbol = '.'.join([od.symbol, od.exchange])
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od.gatewayName = self.gatewayName
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@ -429,8 +426,8 @@ class IbWrapper(EWrapper):
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def updatePortfolio(self, contract, position, marketPrice, marketValue, averageCost, unrealizedPNL, realizedPNL, accountName):
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"""持仓更新推送"""
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pos = VtPositionData()
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pos.symbol = contract.m_symbol
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pos.symbol = contract.m_localSymbol
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pos.exchange = exchangeMapReverse.get(contract.m_exchange, contract.m_exchange)
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pos.vtSymbol = '.'.join([pos.symbol, pos.exchange])
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pos.direction = DIRECTION_NET
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@ -462,20 +459,19 @@ class IbWrapper(EWrapper):
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#----------------------------------------------------------------------
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def contractDetails(self, reqId, contractDetails):
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"""合约查询回报"""
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contract = VtContractData()
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contract.gatewayName = self.gatewayName
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contract.symbol = contractDetails.m_summary.m_symbol
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contract.exchange = contractDetails.m_summary.m_exchange
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symbol = contractDetails.m_summary.m_localSymbol
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exchange = exchangeMapReverse.get(contractDetails.m_summary.m_exchange, EXCHANGE_UNKNOWN)
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vtSymbol = '.'.join([symbol, exchange])
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ct = self.contractDict.get(vtSymbol, None)
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if not ct:
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return
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ct.name = contractDetails.m_longName.decode('UTF-8')
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ct.priceTick = contractDetails.m_minTick
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contract.vtSymbol = '.'.join([contract.symbol, contract.exchange])
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contract.name = contractDetails.m_summary.m_localSymbol.decode('UTF-8')
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# 合约类型
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contract.productClass = productClassMapReverse.get(contractDetails.m_summary.m_secType,
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PRODUCT_UNKNOWN)
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# 推送
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self.gateway.onContract(contract)
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self.gateway.onContract(ct)
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#----------------------------------------------------------------------
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def bondContractDetails(self, reqId, contractDetails):
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@ -496,7 +492,7 @@ class IbWrapper(EWrapper):
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trade.tradeID = execution.m_execId
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trade.vtTradeID = '.'.join([self.gatewayName, trade.tradeID])
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trade.symbol = contract.m_symbol
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trade.symbol = contract.m_localSymbol
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trade.exchange = exchangeMapReverse.get(contract.m_exchange, '')
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trade.vtSymbol = '.'.join([trade.symbol, trade.exchange])
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@ -566,8 +562,8 @@ class IbWrapper(EWrapper):
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#----------------------------------------------------------------------
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def currentTime(self, time):
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""" generated source for method currentTime """
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dt_obj = datetime.fromtimestamp(time)
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t = dt_obj.strftime("%Y-%m-%d %H:%M:%S.%f")
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dt = datetime.fromtimestamp(time)
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t = dt.strftime("%Y-%m-%d %H:%M:%S.%f")
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self.connectionStatus = True
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self.gateway.connected = True
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@ -650,7 +646,7 @@ class IbWrapper(EWrapper):
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#----------------------------------------------------------------------
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def connectionClosed(self):
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"""连接断开"""
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"""连接断开"""
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self.connectionStatus = False
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self.gateway.connected = False
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@ -658,5 +654,3 @@ class IbWrapper(EWrapper):
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log.gatewayName = self.gatewayName
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log.logContent = (u'IB接口连接断开')
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self.gateway.onLog(log)
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@ -619,7 +619,8 @@ class TradingWidget(QtGui.QFrame):
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signal = QtCore.pyqtSignal(type(Event()))
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directionList = [DIRECTION_LONG,
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DIRECTION_SHORT]
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DIRECTION_SHORT,
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DIRECTION_SELL]
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offsetList = [OFFSET_OPEN,
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OFFSET_CLOSE,
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