[Add] support for more exchanges
This commit is contained in:
vn.py
parent
18b4162f4f
commit
c990f553e1
@ -17,7 +17,7 @@ from vnpy.api.tap.vntap import (
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)
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from vnpy.api.tap.vntap.ITapTrade import (
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ITapTradeAPINotify, ITapTradeAPI,
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TapAPITradeLoginRspInfo,
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TapAPITradeLoginRspInfo, TapAPICommodityInfo, TapAPITradeContractInfo,
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TapAPIApplicationInfo as TapTradeAPIApplicationInfo,
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TapAPITradeLoginAuth, TapAPIAccQryReq, TapAPIFundReq,
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TapAPIAccountInfo, TapAPIFundData
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@ -29,10 +29,15 @@ from vnpy.trader.constant import Exchange, Product
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from vnpy.trader.gateway import BaseGateway
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from vnpy.trader.object import (
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CancelRequest,
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ContractData,
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OrderRequest,
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SubscribeRequest,
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TickData)
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TickData,
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ContractData,
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OrderData,
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TradeData,
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PositionData,
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AccountData
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)
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PRODUCT_TYPE_TAP2VT = {
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TAPI_COMMODITY_TYPE_SPOT: Product.SPOT,
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@ -43,15 +48,21 @@ PRODUCT_TYPE_TAP2VT = {
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}
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EXCHANGE_TAP2VT = {
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'SGX': Exchange.SGX,
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'INE': Exchange.INE,
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'APEX': Exchange.APEX,
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'NYMEX': Exchange.NYMEX,
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'LME': Exchange.LME,
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'COMEX': Exchange.COMEX,
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'CBOT': Exchange.CBOT,
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'HKEX': Exchange.HKFE,
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'CME': Exchange.CME,
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"SGX": Exchange.SGX,
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"INE": Exchange.INE,
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"APEX": Exchange.APEX,
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"NYMEX": Exchange.NYMEX,
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"LME": Exchange.LME,
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"COMEX": Exchange.COMEX,
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"CBOT": Exchange.CBOT,
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"HKEX": Exchange.HKFE,
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"CME": Exchange.CME,
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"ZCE": Exchange.CZCE,
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"DCE": Exchange.DCE,
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"TOCOM": Exchange.TOCOM,
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"KRX": Exchange.KRX,
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"ICUS": Exchange.ICE,
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"ICEU": Exchange.ICE
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}
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EXCHANGE_VT2TAP = {v: k for k, v in EXCHANGE_TAP2VT.items()}
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@ -176,62 +187,6 @@ class QuoteApi(ITapQuoteAPINotify):
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""""""
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self.gateway.write_log(f"行情服务器连接断开，原因：{reasonCode}")
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def OnRspQryCommodity(
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self,
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sessionID: int,
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errorCode: int,
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isLast: str,
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info: TapAPIQuoteCommodityInfo,
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):
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""""""
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if errorCode != TAPIERROR_SUCCEED:
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self.gateway.write_log("查询交易品种信息失败")
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return
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commodity_info = CommodityInfo(
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name=info.CommodityName,
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size=info.ContractSize, # value is 0 in sim environment
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pricetick=info.CommodityTickSize
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)
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commodity_infos[info.Commodity.CommodityNo] = commodity_info
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self.api.QryContract(info.Commodity)
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if isLast == "Y":
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self.gateway.write_log("查询交易品种信息成功")
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def OnRspQryContract(
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self, sessionID: int, errorCode: int, isLast: str, info: TapAPIQuoteContractInfo
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):
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""""""
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if errorCode != TAPIERROR_SUCCEED:
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self.gateway.write_log("查询交易合约信息失败")
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return
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if not info:
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return
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commodity_info = commodity_infos[info.Contract.Commodity.CommodityNo]
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symbol = info.Contract.Commodity.CommodityNo + info.Contract.ContractNo1
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contract = ContractData(
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symbol=symbol,
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exchange=EXCHANGE_TAP2VT[info.Contract.Commodity.ExchangeNo],
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name=symbol,
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product=Product.FUTURES,
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size=commodity_info.size,
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pricetick=commodity_info.pricetick,
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gateway_name=self.gateway.gateway_name
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)
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self.gateway.on_contract(contract)
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extra_info = ExtraInfo(
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name=contract.name,
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commodity_type=info.Contract.Commodity.CommodityType,
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commodity_no=info.Contract.Commodity.CommodityNo,
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)
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extra_infos[(contract.symbol, contract.exchange)] = extra_info
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def OnRspSubscribeQuote(
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self, sessionID: int, errorCode: int, isLast: str, info: TapAPIQuoteWhole
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):
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@ -362,13 +317,90 @@ class TradeApi(ITapTradeAPINotify):
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else:
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self.gateway.write_log("交易服务器登录成功")
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def OnAPIReady(self, code: int):
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""""""
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self.api.QryCommodity()
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def OnRspQryCommodity(
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self,
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sessionID: int,
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errorCode: int,
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isLast: str,
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info: TapAPICommodityInfo,
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):
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""""""
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if errorCode != TAPIERROR_SUCCEED:
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self.gateway.write_log("查询交易品种信息失败")
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return
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commodity_info = CommodityInfo(
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name=info.CommodityEngName,
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size=info.ContractSize,
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pricetick=info.CommodityTickSize
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)
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commodity_infos[info.CommodityNo] = commodity_info
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if isLast == "Y":
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self.gateway.write_log("查询交易品种信息成功")
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self.api.QryContract(None)
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def OnRspQryContract(
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self,
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sessionID: int,
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errorCode: int,
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isLast: str,
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info: TapAPITradeContractInfo
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):
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""""""
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if errorCode != TAPIERROR_SUCCEED:
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self.gateway.write_log("查询交易合约信息失败")
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return
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exchange = EXCHANGE_TAP2VT.get(info.ExchangeNo, None)
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commodity_info = commodity_infos.get(info.CommodityNo, None)
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if not info or not exchange or not commodity_info:
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return
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symbol = info.CommodityNo + info.ContractNo1
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if commodity_info.name:
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name = f"{commodity_info.name} {info.ContractNo1}"
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else:
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name = symbol
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contract = ContractData(
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symbol=symbol,
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exchange=exchange,
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name=name,
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product=Product.FUTURES,
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size=commodity_info.size,
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pricetick=commodity_info.pricetick,
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gateway_name=self.gateway.gateway_name
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)
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self.gateway.on_contract(contract)
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extra_info = ExtraInfo(
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name=contract.name,
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commodity_type=info.CommodityType,
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commodity_no=info.CommodityNo,
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)
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extra_infos[(contract.symbol, contract.exchange)] = extra_info
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if isLast == "Y":
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self.gateway.write_log("查询交易合约信息成功")
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def OnRspQryAccount(
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self,
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sessionID: int,
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errorCode: int,
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isLast: str,
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info: TapAPIFundData
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info: TapAPIAccountInfo
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):
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if errorCode != TAPIERROR_SUCCEED:
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self.gateway.write_log(f"查询账号信息失败")
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return
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req = TapAPIFundReq()
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req.AccountNo = info.AccountNo
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self.api.QryFund(req)
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@ -378,13 +410,26 @@ class TradeApi(ITapTradeAPINotify):
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sessionID: int,
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errorCode: int,
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isLast: str,
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info: TapAPIAccountInfo
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info: TapAPIFundData
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):
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if errorCode != TAPIERROR_SUCCEED:
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self.gateway.write_log(f"查询资金信息失败")
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return
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self.update_account(info)
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def OnRtnFund(self, info: TapAPIFundData):
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""""""
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self.update_account(info)
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def update_account(self, info: TapAPIAccountInfo):
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""""""
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account = AccountData()
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account = AccountData(
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accountid=info.AccountNo,
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balance=info.Balance,
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frozen=info.Balance - info.Available
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)
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self.gateway.on_account(account)
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def connect(self, username: str, password: str, host: str, port: int, auth_code: str):
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""""""
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@ -107,6 +107,7 @@ class Exchange(Enum):
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BMD = "BMD" # Bursa Malaysia Derivatives
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TOCOM = "TOCOM" # Tokyo Commodity Exchange
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EUNX = "EUNX" # Euronext Exchange
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KRX = "KRX" # Korean Exchange
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# CryptoCurrency
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BITMEX = "BITMEX"
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