Update tiger_gateway.py
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1122455801
parent
d0073ea6c6
commit
d73be6d77c
@ -116,6 +116,8 @@ class TigerGateway(BaseGateway):
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self.queue = Queue()
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self.pool = None
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self.ID_TIGER2VT = {}
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self.ID_VT2TIGER = {}
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self.ticks = {}
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self.trades = set()
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self.contracts = {}
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@ -125,18 +127,14 @@ class TigerGateway(BaseGateway):
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""""""
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while self.active:
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try:
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func, arg = self.queue.get(timeout=0.1)
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print(func, arg)
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if arg:
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func(arg)
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else:
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func()
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func, args = self.queue.get(timeout=0.1)
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func(*args)
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except Empty:
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pass
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def add_task(self, func, arg=None):
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def add_task(self, func, *args):
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""""""
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self.queue.put((func, arg))
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self.queue.put((func, [*args]))
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def connect(self, setting: dict):
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""""""
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@ -157,9 +155,6 @@ class TigerGateway(BaseGateway):
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self.add_task(self.connect_quote)
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self.add_task(self.connect_trade)
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self.add_task(self.connect_push)
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self.write_log("行情接口连接成功")
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# self.thread.start()
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def init_client_config(self, sandbox=True):
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""""""
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@ -183,6 +178,7 @@ class TigerGateway(BaseGateway):
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self.write_log("查询合约失败")
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return
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self.write_log("行情接口连接成功")
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self.write_log("合约查询成功")
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def connect_trade(self):
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@ -256,6 +252,8 @@ class TigerGateway(BaseGateway):
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def on_asset_change(self, tiger_account: str, data: list):
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""""""
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data = dict(data)
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if "net_liquidation" not in data:
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return
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account = AccountData(
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accountid=tiger_account,
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@ -274,7 +272,7 @@ class TigerGateway(BaseGateway):
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symbol=symbol,
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exchange=exchange,
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direction=Direction.NET,
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volume=data["quantity"],
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volume=int(data["quantity"]),
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frozen=0.0,
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price=data["average_cost"],
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pnl=data["unrealized_pnl"],
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@ -284,17 +282,15 @@ class TigerGateway(BaseGateway):
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def on_order_change(self, tiger_account: str, data: list):
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""""""
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print("委托", data)
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self.local_id += 1
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data = dict(data)
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print("委托推送", data["origin_symbol"], data["order_id"], data["filled"], data["status"])
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symbol, exchange = convert_symbol_tiger2vt(data["origin_symbol"])
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status = PUSH_STATUS_TIGER2VT[data["status"]]
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order = OrderData(
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symbol=symbol,
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exchange=exchange,
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# orderid=data["order_id"],
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orderid=self.local_id,
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orderid=self.ID_TIGER2VT.get(str(data["order_id"]), self.get_new_local_id()),
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direction=Direction.NET,
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price=data.get("limit_price", 0),
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volume=data["quantity"],
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@ -313,7 +309,7 @@ class TigerGateway(BaseGateway):
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exchange=exchange,
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direction=Direction.NET,
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tradeid=self.tradeid,
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orderid=data["order_id"],
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orderid=self.ID_TIGER2VT[str(data["order_id"])],
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price=data["avg_fill_price"],
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volume=data["filled"],
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time=datetime.fromtimestamp(data["trade_time"] / 1000).strftime("%H:%M:%S"),
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@ -321,20 +317,22 @@ class TigerGateway(BaseGateway):
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)
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self.on_trade(trade)
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def get_new_local_id(self):
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self.local_id += 1
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return self.local_id
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def send_order(self, req: OrderRequest):
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""""""
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self.local_id += 1
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order = req.create_order_data(self.local_id, self.gateway_name)
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return order.vt_orderid
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local_id = self.get_new_local_id()
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order = req.create_order_data(local_id, self.gateway_name)
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self.on_order(order)
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self.add_task(self._send_order, req, local_id)
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return order.vt_orderid
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self.add_task(self._send_order, req)
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def _send_order(self, req: OrderRequest):
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def _send_order(self, req: OrderRequest, local_id):
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""""""
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currency = config_symbol_currency(req.symbol)
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# first, get contract
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try:
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contract = self.trade_client.get_contracts(symbol=req.symbol, currency=currency)[0]
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order = self.trade_client.create_order(
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@ -345,8 +343,14 @@ class TigerGateway(BaseGateway):
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quantity=int(req.volume),
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limit_price=req.price,
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)
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self.ID_TIGER2VT[str(order.order_id)] = local_id
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self.ID_VT2TIGER[local_id] = str(order.order_id)
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self.trade_client.place_order(order)
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print("发单:", order.contract.symbol, order.order_id, order.quantity, order.status)
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except: # noqa
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traceback.print_exc()
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self.write_log("发单失败")
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return
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@ -357,7 +361,8 @@ class TigerGateway(BaseGateway):
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def _cancel_order(self, req: CancelRequest):
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""""""
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try:
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data = self.trade_client.cancel_order(order_id=req.orderid)
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order_id = self.ID_VT2TIGER[req.orderid]
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data = self.trade_client.cancel_order(order_id=order_id)
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except ApiException:
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self.write_log(f"撤单失败：{req.orderid}")
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@ -420,8 +425,7 @@ class TigerGateway(BaseGateway):
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for ix, row in contract_CN.iterrows():
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symbol = row["symbol"]
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symbol, exchange = convert_symbol_tiger2vt(symbol)
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if symbol == '600001':
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print(f"symbol: {symbol} t:{type(symbol)} l:{len(symbol)} ex:{exchange} n:{row['name']}")
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contract = ContractData(
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symbol=symbol,
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exchange=exchange,
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@ -467,7 +471,7 @@ class TigerGateway(BaseGateway):
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symbol=symbol,
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exchange=exchange,
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direction=Direction.NET,
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volume=i.quantity,
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volume=int(i.quantity),
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frozen=0.0,
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price=i.average_cost,
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pnl=float(i.unrealized_pnl),
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@ -500,12 +504,12 @@ class TigerGateway(BaseGateway):
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""""""
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for i in data:
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symbol, exchange = convert_symbol_tiger2vt(str(i.contract))
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self.local_id += 1
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local_id = self.get_new_local_id()
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order = OrderData(
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symbol=symbol,
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exchange=exchange,
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orderid=self.local_id,
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# orderid=str(i.order_id),
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orderid=local_id,
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direction=Direction.NET,
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price=i.limit_price if i.limit_price else 0.0,
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volume=i.quantity,
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@ -514,17 +518,20 @@ class TigerGateway(BaseGateway):
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time=datetime.fromtimestamp(i.order_time / 1000).strftime("%H:%M:%S"),
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gateway_name=self.gateway_name,
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)
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self.ID_TIGER2VT[str(i.order_id)] = local_id
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self.on_order(order)
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self.ID_VT2TIGER = {v: k for k, v in self.ID_TIGER2VT.items()}
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print("原始委托字典", self.ID_TIGER2VT)
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print("原始反向字典", self.ID_VT2TIGER)
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def process_deal(self, data):
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"""
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Process trade data for both query and update.
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"""
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for i in reversed(data):
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for i in data:
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if i.status == ORDER_STATUS.PARTIALLY_FILLED or i.status == ORDER_STATUS.FILLED:
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symbol, exchange = convert_symbol_tiger2vt(str(i.contract))
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self.local_id += 1
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self.tradeid += 1
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trade = TradeData(
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@ -532,7 +539,7 @@ class TigerGateway(BaseGateway):
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exchange=exchange,
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direction=Direction.NET,
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tradeid=self.tradeid,
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orderid=self.local_id,
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orderid=self.ID_TIGER2VT[str(i.order_id)],
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price=i.avg_fill_price,
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volume=i.filled,
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time=datetime.fromtimestamp(i.trade_time / 1000).strftime("%H:%M:%S"),
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