From c990f553e1ebfe789c4ab3f613b9f7c8ecafee0e Mon Sep 17 00:00:00 2001 From: "vn.py" Date: Fri, 7 Jun 2019 18:22:45 +0800 Subject: [PATCH] [Add] support for more exchanges --- vnpy/gateway/tap/tap_gateway.py | 187 ++++++++++++++++++++------------ vnpy/trader/constant.py | 1 + 2 files changed, 117 insertions(+), 71 deletions(-) diff --git a/vnpy/gateway/tap/tap_gateway.py b/vnpy/gateway/tap/tap_gateway.py index 5313b0f6..87b321b1 100644 --- a/vnpy/gateway/tap/tap_gateway.py +++ b/vnpy/gateway/tap/tap_gateway.py @@ -17,7 +17,7 @@ from vnpy.api.tap.vntap import ( ) from vnpy.api.tap.vntap.ITapTrade import ( ITapTradeAPINotify, ITapTradeAPI, - TapAPITradeLoginRspInfo, + TapAPITradeLoginRspInfo, TapAPICommodityInfo, TapAPITradeContractInfo, TapAPIApplicationInfo as TapTradeAPIApplicationInfo, TapAPITradeLoginAuth, TapAPIAccQryReq, TapAPIFundReq, TapAPIAccountInfo, TapAPIFundData @@ -29,10 +29,15 @@ from vnpy.trader.constant import Exchange, Product from vnpy.trader.gateway import BaseGateway from vnpy.trader.object import ( CancelRequest, - ContractData, OrderRequest, SubscribeRequest, - TickData) + TickData, + ContractData, + OrderData, + TradeData, + PositionData, + AccountData +) PRODUCT_TYPE_TAP2VT = { TAPI_COMMODITY_TYPE_SPOT: Product.SPOT, @@ -43,15 +48,21 @@ PRODUCT_TYPE_TAP2VT = { } EXCHANGE_TAP2VT = { - 'SGX': Exchange.SGX, - 'INE': Exchange.INE, - 'APEX': Exchange.APEX, - 'NYMEX': Exchange.NYMEX, - 'LME': Exchange.LME, - 'COMEX': Exchange.COMEX, - 'CBOT': Exchange.CBOT, - 'HKEX': Exchange.HKFE, - 'CME': Exchange.CME, + "SGX": Exchange.SGX, + "INE": Exchange.INE, + "APEX": Exchange.APEX, + "NYMEX": Exchange.NYMEX, + "LME": Exchange.LME, + "COMEX": Exchange.COMEX, + "CBOT": Exchange.CBOT, + "HKEX": Exchange.HKFE, + "CME": Exchange.CME, + "ZCE": Exchange.CZCE, + "DCE": Exchange.DCE, + "TOCOM": Exchange.TOCOM, + "KRX": Exchange.KRX, + "ICUS": Exchange.ICE, + "ICEU": Exchange.ICE } EXCHANGE_VT2TAP = {v: k for k, v in EXCHANGE_TAP2VT.items()} @@ -176,62 +187,6 @@ class QuoteApi(ITapQuoteAPINotify): """""" self.gateway.write_log(f"行情服务器连接断开，原因：{reasonCode}") - def OnRspQryCommodity( - self, - sessionID: int, - errorCode: int, - isLast: str, - info: TapAPIQuoteCommodityInfo, - ): - """""" - if errorCode != TAPIERROR_SUCCEED: - self.gateway.write_log("查询交易品种信息失败") - return - - commodity_info = CommodityInfo( - name=info.CommodityName, - size=info.ContractSize, # value is 0 in sim environment - pricetick=info.CommodityTickSize - ) - commodity_infos[info.Commodity.CommodityNo] = commodity_info - - self.api.QryContract(info.Commodity) - - if isLast == "Y": - self.gateway.write_log("查询交易品种信息成功") - - def OnRspQryContract( - self, sessionID: int, errorCode: int, isLast: str, info: TapAPIQuoteContractInfo - ): - """""" - if errorCode != TAPIERROR_SUCCEED: - self.gateway.write_log("查询交易合约信息失败") - return - - if not info: - return - - commodity_info = commodity_infos[info.Contract.Commodity.CommodityNo] - symbol = info.Contract.Commodity.CommodityNo + info.Contract.ContractNo1 - - contract = ContractData( - symbol=symbol, - exchange=EXCHANGE_TAP2VT[info.Contract.Commodity.ExchangeNo], - name=symbol, - product=Product.FUTURES, - size=commodity_info.size, - pricetick=commodity_info.pricetick, - gateway_name=self.gateway.gateway_name - ) - self.gateway.on_contract(contract) - - extra_info = ExtraInfo( - name=contract.name, - commodity_type=info.Contract.Commodity.CommodityType, - commodity_no=info.Contract.Commodity.CommodityNo, - ) - extra_infos[(contract.symbol, contract.exchange)] = extra_info - def OnRspSubscribeQuote( self, sessionID: int, errorCode: int, isLast: str, info: TapAPIQuoteWhole ): @@ -362,13 +317,90 @@ class TradeApi(ITapTradeAPINotify): else: self.gateway.write_log("交易服务器登录成功") + def OnAPIReady(self, code: int): + """""" + self.api.QryCommodity() + + def OnRspQryCommodity( + self, + sessionID: int, + errorCode: int, + isLast: str, + info: TapAPICommodityInfo, + ): + """""" + if errorCode != TAPIERROR_SUCCEED: + self.gateway.write_log("查询交易品种信息失败") + return + + commodity_info = CommodityInfo( + name=info.CommodityEngName, + size=info.ContractSize, + pricetick=info.CommodityTickSize + ) + commodity_infos[info.CommodityNo] = commodity_info + + if isLast == "Y": + self.gateway.write_log("查询交易品种信息成功") + self.api.QryContract(None) + + def OnRspQryContract( + self, + sessionID: int, + errorCode: int, + isLast: str, + info: TapAPITradeContractInfo + ): + """""" + if errorCode != TAPIERROR_SUCCEED: + self.gateway.write_log("查询交易合约信息失败") + return + + exchange = EXCHANGE_TAP2VT.get(info.ExchangeNo, None) + commodity_info = commodity_infos.get(info.CommodityNo, None) + + if not info or not exchange or not commodity_info: + return + + symbol = info.CommodityNo + info.ContractNo1 + + if commodity_info.name: + name = f"{commodity_info.name} {info.ContractNo1}" + else: + name = symbol + + contract = ContractData( + symbol=symbol, + exchange=exchange, + name=name, + product=Product.FUTURES, + size=commodity_info.size, + pricetick=commodity_info.pricetick, + gateway_name=self.gateway.gateway_name + ) + self.gateway.on_contract(contract) + + extra_info = ExtraInfo( + name=contract.name, + commodity_type=info.CommodityType, + commodity_no=info.CommodityNo, + ) + extra_infos[(contract.symbol, contract.exchange)] = extra_info + + if isLast == "Y": + self.gateway.write_log("查询交易合约信息成功") + def OnRspQryAccount( self, sessionID: int, errorCode: int, isLast: str, - info: TapAPIFundData + info: TapAPIAccountInfo ): + if errorCode != TAPIERROR_SUCCEED: + self.gateway.write_log(f"查询账号信息失败") + return + req = TapAPIFundReq() req.AccountNo = info.AccountNo self.api.QryFund(req) @@ -378,13 +410,26 @@ class TradeApi(ITapTradeAPINotify): sessionID: int, errorCode: int, isLast: str, - info: TapAPIAccountInfo + info: TapAPIFundData ): + if errorCode != TAPIERROR_SUCCEED: + self.gateway.write_log(f"查询资金信息失败") + return + + self.update_account(info) + + def OnRtnFund(self, info: TapAPIFundData): + """""" self.update_account(info) def update_account(self, info: TapAPIAccountInfo): """""" - account = AccountData() + account = AccountData( + accountid=info.AccountNo, + balance=info.Balance, + frozen=info.Balance - info.Available + ) + self.gateway.on_account(account) def connect(self, username: str, password: str, host: str, port: int, auth_code: str): """""" diff --git a/vnpy/trader/constant.py b/vnpy/trader/constant.py index eb2eec7a..785ecabf 100644 --- a/vnpy/trader/constant.py +++ b/vnpy/trader/constant.py @@ -107,6 +107,7 @@ class Exchange(Enum): BMD = "BMD" # Bursa Malaysia Derivatives TOCOM = "TOCOM" # Tokyo Commodity Exchange EUNX = "EUNX" # Euronext Exchange + KRX = "KRX" # Korean Exchange # CryptoCurrency BITMEX = "BITMEX"