From cf6b52cae34c68986533cf25c307ffaaf23e86d6 Mon Sep 17 00:00:00 2001 From: "vn.py" Date: Sun, 9 Jun 2019 10:22:06 +0800 Subject: [PATCH] [Add] tap gateway comment --- vnpy/gateway/tap/tap_gateway.py | 217 ++++++++++++++++++++++++-------- 1 file changed, 163 insertions(+), 54 deletions(-) diff --git a/vnpy/gateway/tap/tap_gateway.py b/vnpy/gateway/tap/tap_gateway.py index d0ba90ee..a4bcd7b5 100644 --- a/vnpy/gateway/tap/tap_gateway.py +++ b/vnpy/gateway/tap/tap_gateway.py @@ -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