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[增强功能] 股票迅投(pb)远程接口

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msincenselee 2021-01-11 14:28:02 +08:00
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vnpy/gateway/stockrpc/__init__.py Normal file
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from .stock_rpc_gateway import StockRpcGateway

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vnpy/gateway/stockrpc/readme.md Normal file
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pb迅投rpc交易接口
- 使用vnpy rpc gateway方式,访问 主进程（使用pb gateway).
- 使用了rabbit mq 进行行情订阅

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vnpy/gateway/stockrpc/stock_rpc_gateway.py Normal file
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import traceback
import json
from uuid import uuid1
from datetime import datetime, timedelta
from threading import Thread
from vnpy.event import Event
from vnpy.rpc import RpcClient
from vnpy.trader.gateway import BaseGateway
from vnpy.trader.object import (
TickData,
SubscribeRequest,
CancelRequest,
OrderRequest
)
from vnpy.trader.event import (
EVENT_TICK,
EVENT_TRADE,
EVENT_ORDER,
EVENT_POSITION,
EVENT_ACCOUNT,
EVENT_CONTRACT,
EVENT_LOG)
from vnpy.trader.constant import Exchange
from vnpy.amqp.consumer import subscriber
from vnpy.amqp.producer import task_creator
class StockRpcGateway(BaseGateway):
"""
股票交易得RPC接口
交易使用RPC实现，
行情使用RabbitMQ订阅获取
需要启动单独得进程运行stock_tick_publisher
Cta_Stock => 行情订阅 =》StockRpcGateway =》RabbitMQ (task)=》 stock_tick_publisher =》订阅(worker)
stock_tick_publisher => restful接口获取股票行情 =》RabbitMQ(pub) => StockRpcGateway =>on_tick event
"""
default_setting = {
"主动请求地址": "tcp://127.0.0.1:2014",
"推送订阅地址": "tcp://127.0.0.1:4102",
"远程接口名称": "pb01"
}
exchanges = list(Exchange)
def __init__(self, event_engine, gateway_name='StockRPC'):
"""Constructor"""
super().__init__(event_engine, gateway_name)
self.symbol_gateway_map = {}
self.client = RpcClient()
self.client.callback = self.client_callback
self.rabbit_api = None
self.rabbit_dict = {}
# 远程RPC端，gateway_name
self.remote_gw_name = gateway_name
def connect(self, setting: dict):
""""""
req_address = setting["主动请求地址"]
pub_address = setting["推送订阅地址"]
self.remote_gw_name = setting['远程接口名称']
self.write_log(f'请求地址:{req_address},订阅地址:{pub_address},远程接口:{self.remote_gw_name}')
# 订阅事件
self.client.subscribe_topic("")
# self.client.subscribe_topic(EVENT_TRADE)
# self.client.subscribe_topic(EVENT_ORDER)
# self.client.subscribe_topic(EVENT_POSITION)
# self.client.subscribe_topic(EVENT_ACCOUNT)
# self.client.subscribe_topic(EVENT_CONTRACT)
# self.client.subscribe_topic(EVENT_LOG)
self.client.start(req_address, pub_address)
self.rabbit_dict = setting.get('rabbit', {})
self.write_log(f'激活RabbitMQ行情接口.配置：\n{self.rabbit_dict}')
self.rabbit_api = SubMdApi(gateway=self)
self.rabbit_api.connect(self.rabbit_dict)
self.write_log("服务器连接成功，开始初始化查询")
self.query_all()
def subscribe(self, req: SubscribeRequest):
"""行情订阅"""
self.write_log(f'创建订阅任务=> rabbitMQ')
host = self.rabbit_dict.get('host', 'localhost')
port = self.rabbit_dict.get('port', 5672)
user = self.rabbit_dict.get('user', 'admin')
password = self.rabbit_dict.get('password', 'admin')
exchange = 'x_work_queue'
queue_name = 'subscribe_task_queue'
routing_key = 'stock_subscribe'
task = task_creator(
host=host,
port=port,
user=user,
password=password,
exchange=exchange,
queue_name=queue_name,
routing_key=routing_key)
mission = {}
mission.update({'id': str(uuid1())})
mission.update({'action': "subscribe"})
mission.update({'vt_symbol': req.vt_symbol})
mission.update({'is_stock': True})
msg = json.dumps(mission)
self.write_log(f'[=>{host}:{port}/{exchange}/{queue_name}/{routing_key}] create task :{msg}')
task.pub(msg)
task.close()
# gateway_name = self.symbol_gateway_map.get(req.vt_symbol, "")
# self.client.subscribe(req, gateway_name)
def send_order(self, req: OrderRequest):
"""
RPC远程发单
:param req:
:return:
"""
ref = self.client.send_order(req, self.remote_gw_name)
local_ref = ref.replace(f'{self.remote_gw_name}.', f'{self.gateway_name}.')
self.write_log(f'委托返回:{ref}=> {local_ref}')
return local_ref
def cancel_order(self, req: CancelRequest):
""""""
self.write_log(f'委托撤单:{req.__dict__}')
# gateway_name = self.symbol_gateway_map.get(req.vt_symbol, "")
self.client.cancel_order(req, self.remote_gw_name)
def query_account(self):
""""""
pass
def query_position(self):
""""""
pass
def query_all(self):
""""""
contracts = self.client.get_all_contracts()
for contract in contracts:
self.symbol_gateway_map[contract.vt_symbol] = contract.gateway_name
contract.gateway_name = self.gateway_name
self.on_contract(contract)
self.write_log("合约信息查询成功")
accounts = self.client.get_all_accounts()
for account in accounts:
account.gateway_name = self.gateway_name
self.on_account(account)
self.write_log("资金信息查询成功")
positions = self.client.get_all_positions()
for position in positions:
position.gateway_name = self.gateway_name
# 更换 vt_positionid得gateway前缀
position.vt_positionid.replace(f'{position.gateway_name}.', f'{self.gateway_name}.')
# 更换 vt_accountid得gateway前缀
position.vt_accountid.replace(f'{position.gateway_name}.', f'{self.gateway_name}.')
self.on_position(position)
self.write_log("持仓信息查询成功")
orders = self.client.get_all_orders()
for order in orders:
# 更换gateway
order.gateway_name = self.gateway_name
# 更换 vt_orderid得gateway前缀
order.vt_orderid.replace(f'{order.gateway_name}.', f'{self.gateway_name}.')
# 更换 vt_accountid得gateway前缀
order.vt_accountid.replace(f'{order.gateway_name}.', f'{self.gateway_name}.')
self.on_order(order)
self.write_log("委托信息查询成功")
trades = self.client.get_all_trades()
for trade in trades:
trade.gateway_name = self.gateway_name
# 更换 vt_orderid得gateway前缀
trade.vt_orderid.replace(f'{trade.gateway_name}.', f'{self.gateway_name}.')
# 更换 vt_orderid得gateway前缀
trade.vt_orderid.replace(f'{trade.gateway_name}.', f'{self.gateway_name}.')
# 更换 vt_accountid得gateway前缀
trade.vt_accountid.replace(f'{trade.gateway_name}.', f'{self.gateway_name}.')
self.on_trade(trade)
self.write_log("成交信息查询成功")
def close(self):
""""""
self.client.stop()
self.client.join()
def client_callback(self, topic: str, event: Event):
""""""
if event is None:
print("none event", topic, event)
return
if event.type == EVENT_TICK:
return
data = event.data
if hasattr(data, "gateway_name"):
data.gateway_name = self.gateway_name
if hasattr(data, 'vt_orderid'):
data.vt_orderid = data.vt_orderid.replace(f'{data.gateway_name}.', f'{self.gateway_name}.')
if hasattr(data, 'vt_tradeid'):
data.vt_tradeid = data.vt_tradeid.replace(f'{data.gateway_name}.', f'{self.gateway_name}.')
if hasattr(data, 'vt_accountid'):
data.vt_accountid = data.vt_accountid.replace(f'{data.gateway_name}.', f'{self.gateway_name}.')
if hasattr(data, 'vt_positionid'):
data.vt_positionid = data.vt_positionid.replace(f'{data.gateway_name}.', f'{self.gateway_name}.')
self.event_engine.put(event)
class SubMdApi():
"""
RabbitMQ Subscriber 数据行情接收API
"""
def __init__(self, gateway):
self.gateway = gateway
self.gateway_name = gateway.gateway_name
self.symbol_tick_dict = {} # 合约与最后一个Tick得字典
self.registed_symbol_set = set() # 订阅的合约记录集
self.sub = None
self.setting = {}
self.connect_status = False
self.thread = None # 用线程运行所有行情接收
def connect(self, setting={}):
"""连接"""
self.setting = setting
try:
self.sub = subscriber(
host=self.setting.get('host', 'localhost'),
port=self.setting.get('port', 5672),
user=self.setting.get('user', 'admin'),
password=self.setting.get('password', 'admin'),
exchange=self.setting.get('exchange', 'x_fanout_stock_tick'))
self.sub.set_callback(self.on_message)
self.thread = Thread(target=self.sub.start)
self.thread.start()
self.connect_status = True
self.gateway.status.update({'sub_con': True, 'sub_con_time': datetime.now().strftime('%Y-%m-%d %H:%M:%S')})
except Exception as ex:
self.gateway.write_error(u'连接RabbitMQ {} 异常:{}'.format(self.setting, str(ex)))
self.gateway.write_error(traceback.format_exc())
self.connect_status = False
def on_message(self, chan, method_frame, _header_frame, body, userdata=None):
# print(" [x] %r" % body)
try:
str_tick = body.decode('utf-8')
d = json.loads(str_tick)
d.pop('rawData', None)
symbol = d.pop('symbol', None)
str_datetime = d.pop('datetime', None)
if '.' in str_datetime:
dt = datetime.strptime(str_datetime, '%Y-%m-%d %H:%M:%S.%f')
else:
dt = datetime.strptime(str_datetime, '%Y-%m-%d %H:%M:%S')
tick = TickData(gateway_name=self.gateway_name,
exchange=Exchange(d.get('exchange')),
symbol=symbol,
datetime=dt)
d.pop('gateway_name', None)
d.pop('exchange', None)
d.pop('symbol', None)
tick.__dict__.update(d)
self.symbol_tick_dict[symbol] = tick
self.gateway.on_tick(tick)
except Exception as ex:
self.gateway.write_error(u'RabbitMQ on_message 异常:{}'.format(str(ex)))
self.gateway.write_error(traceback.format_exc())
def close(self):
"""退出API"""
self.gateway.write_log(u'退出rabbit行情订阅API')
self.connection_status = False
try:
if self.sub:
self.gateway.write_log(u'关闭订阅器')
self.sub.close()
if self.thread is not None:
self.gateway.write_log(u'关闭订阅器接收线程')
self.thread.join()
except Exception as ex:
self.gateway.write_error(u'退出rabbitMQ行情api异常:{}'.format(str(ex)))