senset/vnpy
1
0
Fork 0
Code Issues Pull Requests Packages Projects Releases Wiki Activity

[Add] tap gateway comment

Browse Source
This commit is contained in:
vn.py 2019-06-09 10:22:06 +08:00
parent 4450ccd2be
commit cf6b52cae3
1 changed files with 163 additions and 54 deletions
Show Stats Download Patch File Download Diff File Expand all files Collapse all files

217
vnpy/gateway/tap/tap_gateway.py
View File

@ -3,15 +3,16 @@ from datetime import datetime
from typing import Dict, Tuple
from vnpy.api.tap.vntap import (
APIYNFLAG_NO, AsyncDispatchException, CreateTapQuoteAPI,
AsyncDispatchException, CreateTapQuoteAPI,
FreeTapQuoteAPI, ITapQuoteAPINotify,
TAPIERROR_SUCCEED, TAPI_CALLPUT_FLAG_NONE,
TAPI_COMMODITY_TYPE_FUTURES, TAPI_COMMODITY_TYPE_INDEX,
TAPI_COMMODITY_TYPE_OPTION, TAPI_COMMODITY_TYPE_SPOT,
TAPI_COMMODITY_TYPE_STOCK, TapAPIApplicationInfo, TapAPIContract,
TapAPIApplicationInfo, TapAPIContract,
TapAPIQuotLoginRspInfo, TapAPIQuoteLoginAuth, TapAPIQuoteWhole,
set_async_callback_exception_handler,
CreateITapTradeAPI, FreeITapTradeAPI
CreateITapTradeAPI, FreeITapTradeAPI,
APIYNFLAG_NO, TAPIERROR_SUCCEED, TAPI_CALLPUT_FLAG_NONE,
TAPI_COMMODITY_TYPE_FUTURES, TAPI_COMMODITY_TYPE_INDEX,
TAPI_COMMODITY_TYPE_OPTION, TAPI_COMMODITY_TYPE_SPOT,
TAPI_COMMODITY_TYPE_STOCK
)
from vnpy.api.tap.vntap.ITapTrade import (
ITapTradeAPINotify,
@ -23,12 +24,13 @@ from vnpy.api.tap.vntap.ITapTrade import (
TapAPIOrderQryReq, TapAPIFillQryReq,
TapAPIOrderInfo, TapAPIFillInfo,
TapAPINewOrder, TapAPIOrderCancelReq,
TapAPIOrderInfoNotice, TapAPIOrderActionRsp,
TAPI_SIDE_NONE, TAPI_SIDE_BUY, TAPI_SIDE_SELL,
TAPI_ORDER_STATE_QUEUED, TAPI_ORDER_STATE_PARTFINISHED,
TAPI_ORDER_STATE_FINISHED, TAPI_ORDER_STATE_CANCELED,
TAPI_ORDER_STATE_SUBMIT, TAPI_ORDER_TYPE_MARKET,
TAPI_ORDER_TYPE_LIMIT, TAPI_ORDER_STATE_FAIL,
TapAPIOrderInfoNotice
TAPI_ORDER_STATE_ACCEPT
)
from vnpy.api.tap.error_codes import error_map
@ -83,6 +85,7 @@ DIRECTION_VT2TAP = {v: k for k, v in DIRECTION_TAP2VT.items()}
STATUS_TAP2VT = {
TAPI_ORDER_STATE_SUBMIT: Status.SUBMITTING,
TAPI_ORDER_STATE_ACCEPT: Status.SUBMITTING,
TAPI_ORDER_STATE_QUEUED: Status.NOTTRADED,
TAPI_ORDER_STATE_PARTFINISHED: Status.PARTTRADED,
TAPI_ORDER_STATE_FINISHED: Status.ALLTRADED,
@ -192,7 +195,9 @@ class TapGateway(BaseGateway):
class QuoteApi(ITapQuoteAPINotify):
""""""
"""
Implementation of TAP quote api.
"""
def __init__(self, gateway: TapGateway):
""""""
@ -203,34 +208,47 @@ class QuoteApi(ITapQuoteAPINotify):
self.api = None
def OnRspLogin(self, errorCode: int, info: TapAPIQuotLoginRspInfo):
""""""
"""
Callback of login request.
"""
if errorCode != TAPIERROR_SUCCEED:
self.gateway.write_log("行情服务器登录失败")
self.gateway.write_log(f"行情服务器登录失败：{error_to_str(errorCode)}")
else:
self.gateway.write_log("行情服务器登录成功")
def OnAPIReady(self):
""""""
"""
Callback when API is ready for sending requests or queries.
"""
self.api.QryCommodity()
def OnDisconnect(self, reasonCode: int):
""""""
"""
Callback when connection to TAP server is lost.
"""
self.gateway.write_log(f"行情服务器连接断开，原因：{reasonCode}")
def OnRspSubscribeQuote(
self, sessionID: int, errorCode: int, isLast: str, info: TapAPIQuoteWhole
):
"""
Callback of subscribe market data request.
"""
if errorCode != TAPIERROR_SUCCEED:
self.gateway.write_log(f"订阅行情失败：{error_to_str(errorCode)}")
else:
self.update_tick(info)
def OnRtnQuote(self, info: TapAPIQuoteWhole):
""""""
"""
Callback of new data update.
"""
self.update_tick(info)
def update_tick(self, info: TapAPIQuoteWhole):
""""""
"""
Convert TAP quote data structure into TickData event and push it.
"""
symbol = info.Contract.Commodity.CommodityNo + info.Contract.ContractNo1
exchange = EXCHANGE_TAP2VT[info.Contract.Commodity.ExchangeNo]
@ -278,7 +296,9 @@ class QuoteApi(ITapQuoteAPINotify):
self.gateway.on_tick(tick)
def connect(self, username: str, password: str, host: str, port: int, auth_code: str):
""""""
"""
Starting connection to TAP server.
"""
# Create API object
info = TapAPIApplicationInfo()
info.AuthCode = auth_code
@ -302,13 +322,17 @@ class QuoteApi(ITapQuoteAPINotify):
self.api.Login(login_auth)
def close(self):
""""""
"""
Release TAP API resources.
"""
self.api.SetAPINotify(None)
FreeTapQuoteAPI(self.api)
self.api = None
def subscribe(self, req: SubscribeRequest):
""""""
"""
Subscribe to new market data update.
"""
contract_info = contract_infos.get((req.symbol, req.exchange), None)
if not contract_info:
self.gateway.write_log(
@ -327,7 +351,9 @@ class QuoteApi(ITapQuoteAPINotify):
class TradeApi(ITapTradeAPINotify):
""""""
"""
Implementation of TAP trade api.
"""
def __init__(self, gateway: TapGateway):
""""""
@ -337,27 +363,33 @@ class TradeApi(ITapTradeAPINotify):
self.gateway_name = gateway.gateway_name
self.api = None
self.account_no = ""
self.account_no = "" # required when sending order request
self.cancel_reqs = {} # waiting cancel order requests before OrderNo received
# for mapping relationship between TAP OrderNo and ClientOrderNo
self.sys_local_map = {}
self.local_sys_map = {}
self.sys_server_map = {}
self.cancel_reqs = {}
def OnConnect(self):
""""""
"""
Callback when connection is established with TAP server.
"""
self.gateway.write_log("交易服务器连接成功")
def OnRspLogin(self, errorCode: int, info: TapAPITradeLoginRspInfo):
""""""
"""
Callback of login request.
"""
if errorCode != TAPIERROR_SUCCEED:
error_msg = error_to_str(errorCode)
self.gateway.write_log(f"交易服务器登录失败：{error_msg}")
self.gateway.write_log(f"交易服务器登录失败：{error_to_str(errorCode)}")
else:
self.gateway.write_log("交易服务器登录成功")
def OnAPIReady(self, code: int):
""""""
"""
Callback when API is ready for sending requests or queries.
"""
self.api.QryCommodity()
def OnRspQryCommodity(
@ -367,14 +399,16 @@ class TradeApi(ITapTradeAPINotify):
isLast: str,
info: TapAPICommodityInfo,
):
""""""
"""
Callback of commodity query with size and pricetick data.
"""
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, # fixme: int instead of float
size=int(info.ContractSize),
pricetick=info.CommodityTickSize
)
commodity_infos[info.CommodityNo] = commodity_info
@ -390,7 +424,9 @@ class TradeApi(ITapTradeAPINotify):
isLast: str,
info: TapAPITradeContractInfo
):
""""""
"""
Callback of contract query with detailed contract data.
"""
if errorCode != TAPIERROR_SUCCEED:
self.gateway.write_log("查询交易合约信息失败")
return
@ -439,6 +475,9 @@ class TradeApi(ITapTradeAPINotify):
isLast: str,
info: TapAPIAccountInfo
):
"""
Callback of account number query.
"""
if errorCode != TAPIERROR_SUCCEED:
self.gateway.write_log(f"查询账号信息失败")
return
@ -454,6 +493,7 @@ class TradeApi(ITapTradeAPINotify):
isLast: str,
info: TapAPIFundData
):
"""Callback of account fund query"""
if errorCode != TAPIERROR_SUCCEED:
self.gateway.write_log(f"查询资金信息失败")
return
@ -465,7 +505,9 @@ class TradeApi(ITapTradeAPINotify):
self.query_position()
def OnRtnFund(self, info: TapAPIFundData):
""""""
"""
Callback of account fund update.
"""
self.update_account(info)
def OnRspQryPositionSummary(
@ -475,6 +517,11 @@ class TradeApi(ITapTradeAPINotify):
isLast: str,
info: TapAPIPositionSummary
):
"""
Callback of position summary query.
Position summary reflects the sum of positions on each contract.
"""
if errorCode != TAPIERROR_SUCCEED:
self.gateway.write_log(f"查询持仓信息失败")
return
@ -487,7 +534,9 @@ class TradeApi(ITapTradeAPINotify):
self.query_order()
def OnRtnPositionSummary(self, info: TapAPIPositionSummary):
""""""
"""
Callback of position summary update.
"""
self.update_position(info)
def OnRspQryOrder(
@ -497,6 +546,9 @@ class TradeApi(ITapTradeAPINotify):
isLast: str,
info: TapAPIOrderInfo
):
"""
Callback of today's order query.
"""
if errorCode != TAPIERROR_SUCCEED:
self.gateway.write_log(f"查询委托信息失败")
return
@ -509,8 +561,12 @@ class TradeApi(ITapTradeAPINotify):
self.query_trade()
def OnRtnOrder(self, info: TapAPIOrderInfoNotice):
""""""
# todo: error checking
"""
Callback of order update.
"""
if info.ErrorCode != TAPIERROR_SUCCEED:
self.gateway.write_log(f"委托下单失败：{error_to_str(info.ErrorCode)}")
if info.OrderInfo:
self.update_order(info.OrderInfo)
@ -521,6 +577,9 @@ class TradeApi(ITapTradeAPINotify):
isLast: str,
info: TapAPIFillInfo
):
"""
Callback of today's order fill (trade) query.
"""
if errorCode != TAPIERROR_SUCCEED:
self.gateway.write_log(f"查询成交信息失败")
return
@ -532,11 +591,28 @@ class TradeApi(ITapTradeAPINotify):
self.gateway.write_log(f"查询成交信息成功")
def OnRtnFill(self, info: TapAPIFillInfo):
""""""
"""
Callback of trade update.
"""
self.update_trade(info)
def OnRspOrderAction(
self,
sessionID: int,
errorCode: int,
info: TapAPIOrderActionRsp
):
"""
Callback of order action (cancel/amend) request.
"""
if errorCode != TAPIERROR_SUCCEED:
self.gateway.write_log(f"委托操作失败：{error_to_str(errorCode)}")
return
def update_account(self, info: TapAPIFundData):
""""""
"""
Convert TAP fund data structure into AccountData event and push it.
"""
self.account_no = info.AccountNo
account = AccountData(
@ -548,7 +624,9 @@ class TradeApi(ITapTradeAPINotify):
self.gateway.on_account(account)
def update_position(self, info: TapAPIPositionSummary):
""""""
"""
Convert TAP position summary structure into PositionData event and push it.
"""
position = PositionData(
symbol=info.CommodityNo + info.ContractNo,
exchange=EXCHANGE_TAP2VT.get(info.ExchangeNo, None),
@ -560,7 +638,9 @@ class TradeApi(ITapTradeAPINotify):
self.gateway.on_position(position)
def update_order(self, info: TapAPIOrderInfo):
""""""
"""
Convert TAP order data structure into OrderData event and push it.
"""
self.local_sys_map[info.ClientOrderNo] = info.OrderNo
self.sys_local_map[info.OrderNo] = info.ClientOrderNo
self.sys_server_map[info.OrderNo] = info.ServerFlag
@ -574,7 +654,7 @@ class TradeApi(ITapTradeAPINotify):
price=info.OrderPrice,
volume=info.OrderQty,
traded=info.OrderMatchQty,
status=STATUS_TAP2VT.get(info.OrderState, info.OrderState),
status=STATUS_TAP2VT.get(info.OrderState, Status.SUBMITTING),
time=info.OrderInsertTime,
gateway_name=self.gateway_name
)
@ -586,7 +666,9 @@ class TradeApi(ITapTradeAPINotify):
self.cancel_order(req)
def update_trade(self, info: TapAPIFillInfo):
""""""
"""
Convert TAP fill data structure into TradeData event and push it.
"""
orderid = self.sys_local_map[info.OrderNo]
trade = TradeData(
@ -603,7 +685,9 @@ class TradeApi(ITapTradeAPINotify):
self.gateway.on_trade(trade)
def connect(self, username: str, password: str, host: str, port: int, auth_code: str):
""""""
"""
Starting connection to TAP server.
"""
# Create API object
info = TapTradeAPIApplicationInfo()
info.AuthCode = auth_code
@ -626,7 +710,9 @@ class TradeApi(ITapTradeAPINotify):
self.api.Login(login_auth)
def send_order(self, req: OrderRequest):
""""""
"""
Send new order to TAP server.
"""
contract_info = contract_infos.get((req.symbol, req.exchange), None)
if not contract_info:
self.write_log(f"找不到匹配的合约：{req.symbol}和{req.exchange.value}")
@ -640,12 +726,12 @@ class TradeApi(ITapTradeAPINotify):
order_req.ExchangeNo = contract_info.exchange_no
order_req.CommodityNo = contract_info.commodity_no
order_req.CommodityType = contract_info.commodity_type
order_req.AccountNo = self.account_no
order_req.ContractNo = contract_info.contract_no
order_req.OrderType = ORDERTYPE_VT2TAP.get[req.type]
order_req.OrderSide = DIRECTION_VT2TAP.get[req.direction]
order_req.OrderType = ORDERTYPE_VT2TAP[req.type]
order_req.OrderSide = DIRECTION_VT2TAP[req.direction]
order_req.OrderPrice = req.price
order_req.OrderQty = int(req.volume) # verify me: force float as int
order_req.OrderQty = int(req.volume)
order_req.AccountNo = self.account_no
retv, session_id, order_id = self.api.InsertOrder(order_req)
@ -658,7 +744,12 @@ class TradeApi(ITapTradeAPINotify):
return order.vt_orderid
def cancel_order(self, req: CancelRequest):
""""""
"""
Cancel an existing order.
If LocalOrderNo/OrderNo map is not ready yet (from query or update callback),
the cancel request will be put into cancel_reqs dict waiting.
"""
order_no = self.local_sys_map.get(req.orderid, "")
if not order_no:
self.cancel_reqs[req.orderid] = req
@ -673,34 +764,46 @@ class TradeApi(ITapTradeAPINotify):
self.api.CancelOrder(cancel_req)
def query_account(self):
""""""
"""
Query account number data (and account fund data will be auto queried in callback).
"""
req = TapAPIAccQryReq()
self.api.QryAccount(req)
def query_position(self):
""""""
"""
Query position summary.
"""
req = TapAPIPositionQryReq()
self.api.QryPositionSummary(req)
def query_order(self):
""""""
"""
Query today order data.
"""
req = TapAPIOrderQryReq()
self.api.QryOrder(req)
def query_trade(self):
""""""
"""
Query today trade data.
"""
req = TapAPIFillQryReq()
self.api.QryFill(req)
def close(self):
""""""
"""
Release TAP API resources.
"""
self.api.SetAPINotify(None)
FreeITapTradeAPI(self.api)
self.api = None
def parse_datetime(dt_str: str):
""""""
"""
Convert timestamp string to datetime object.
"""
try:
dt = datetime.strptime(dt_str, "%Y-%m-%d %H:%M:%S.%f")
except ValueError:
@ -709,7 +812,9 @@ def parse_datetime(dt_str: str):
def error_to_str(err_code: int) -> str:
""""""
"""
Convert error code to error message string.
"""
try:
return error_map[err_code]
except KeyError:
@ -718,7 +823,9 @@ def error_to_str(err_code: int) -> str:
@dataclass
class ContractInfo:
""""""
"""
For storing extra info of contract from TAP trading server.
"""
name: str
exchange_no: str
commodity_type: int
@ -728,7 +835,9 @@ class ContractInfo:
@dataclass
class CommodityInfo:
""""""
"""
For storing extra info of commodity from TAP trading server.
"""
name: str
size: int
pricetick: float