[Add] Add trader data object structure

vnpy/trader/object.py

@@ -0,0 +1,252 @@
+"""
+Basic data structure used for general trading function in VN Trader.
+"""
+
+from dataclasses import dataclass
+from datetime import datetime
+from logging import INFO
+
+
+@dataclass
+class BaseData:
+    """
+    Any data object needs a gateway_name as source or 
+    destination and should inherit base data.
+    """
+    gateway_name: str
+
+
+@dataclass
+class TickData(BaseData):
+    """
+    Tick data contains information about:
+        * last trade in market
+        * orderbook snapshot
+        * intraday market statistics.
+    """
+    symbol: str
+    exchange: str
+    datetime: datetime
+    volume: float = 0
+
+    last_price: float = 0
+    last_volume: float = 0
+
+    open_price: float = 0
+    high_price: float = 0
+    low_price: float = 0
+    pre_close: float = 0
+
+    bid_price_1: float = 0
+    bid_price_2: float = 0
+    bid_price_3: float = 0
+    bid_price_4: float = 0
+    bid_price_5: float = 0
+
+    ask_price_1: float = 0
+    ask_price_2: float = 0
+    ask_price_3: float = 0
+    ask_price_4: float = 0
+    ask_price_5: float = 0
+
+    bid_volume_1: float = 0
+    bid_volume_2: float = 0
+    bid_volume_3: float = 0
+    bid_volume_4: float = 0
+    bid_volume_5: float = 0
+
+    ask_volume_1: float = 0
+    ask_volume_2: float = 0
+    ask_volume_3: float = 0
+    ask_volume_4: float = 0
+    ask_volume_5: float = 0
+
+    def __post_init__(self):
+        """"""
+        self.vt_symbol = f"{self.symbol}.{self.exchange}"
+
+
+@dataclass
+class BarData(BaseData):
+    """
+    Candlestick bar data of a certain trading period.
+    """
+    symbol: str
+    exchange: str
+    datetime: datetime
+    inteval: str
+
+    volume: float = 0
+    open_price: float = 0
+    high_price: float = 0
+    low_price: float = 0
+    close_price: float = 0
+
+    def __post_init__(self):
+        """"""
+        self.vt_symbol = f"{self.symbol}.{self.exchange}"
+
+
+@dataclass
+class OrderData(BaseData):
+    """
+    Order data contains information for tracking lastest status 
+    of a specific order.
+    """
+    symbol: str
+    exchange: str
+    orderid: str
+
+    direction: str = ""
+    offset: str = ""
+    price: float = 0
+    volume: float = 0
+    traded: float = 0
+    status: str = ""
+    time: str = ""
+
+    def __post_init__(self):
+        """"""
+        self.vt_symbol = f"{self.symbol}.{self.exchange}"
+        self.vt_orderid = f"{self.gateway_name}.{self.orderid}"
+
+
+@dataclass
+class TradeData(BaseData):
+    """
+    Trade data contains information of a fill of an order. One order
+    can have several trade fills.
+    """
+    symbol: str
+    exchange: str
+    orderid: str
+    tradeid: str
+
+    direction: str = ""
+    offset: str = ""
+    price: float = 0
+    volume: float = 0
+    time: str = ""
+
+    def __post_init__(self):
+        """"""
+        self.vt_symbol = f"{self.symbol}.{self.exchange}"
+        self.vt_orderid = f"{self.gateway_name}.{self.orderid}"
+        self.vt_tradeid = f"{self.gateway_name}.{self.tradeid}"
+
+
+@dataclass
+class PositionData(BaseData):
+    """
+    Positon data is used for tracking each individual position holding.
+    """
+    symbol: str
+    exchange: str
+    direction: str
+
+    volume: float = 0
+    frozen: float = 0
+    price: float = 0
+    pnl: float = 0
+
+    def __post_init__(self):
+        """"""
+        self.vt_symbol = f"{self.symbol}.{self.exchange}"
+        self.vt_positionid = f"{self.vt_symbol}.{self.direction}"
+
+
+@dataclass
+class AccountData(BaseData):
+    """
+    Account data contains information about balance, frozen and
+    available.
+    """
+    accountid: str
+
+    balance: float = 0
+    frozen: float = 0
+
+    def __post_init__(self):
+        """"""
+        self.available = self.balance - self.frozen
+        self.vt_accountid = f"{self.gateway_name}.{self.accountid}"
+
+
+@dataclass
+class LogData(BaseData):
+    """
+    Log data is used for recording log messages on GUI or in log files.
+    """
+    msg: str
+    level: int = INFO
+
+    def __post_init__(self):
+        """"""
+        time = datetime
+
+
+@dataclass
+class ContractData(BaseData):
+    """
+    Contract data contains basic information about each contract traded.
+    """
+    symbol: str
+    exchange: str
+    name: str
+    product: str
+    size: int
+    pricetick: float
+
+    option_strike: float = 0
+    option_underlying: str = '' # vt_symbol of underlying contract
+    option_type: str = ''
+    option_expiry: datetime = None
+
+    def __post_init__(self):
+        """"""
+        self.vt_symbol = f"{self.symbol}.{self.exchange}"
+
+
+@dataclass
+class SubscribeRequest:
+    """
+    Request sending to specific gateway for subscribing tick data update.
+    """
+    symbol: str
+    exchange: str = ''
+
+    def __post_init__(self):
+        """"""
+        self.vt_symbol = f"{self.symbol}.{self.exchange}"
+
+
+@dataclass
+class OrderRequest:
+    """
+    Request sending to specific gateway for creating a new order.
+    """
+    symbol: str
+    direction: str
+    price_type: str
+    volume: float
+    exchange: str = ''
+    price: float = 0
+    offset: str = ''
+
+    def __post_init__(self):
+        """"""
+        self.vt_symbol = f"{self.symbol}.{self.exchange}"
+
+
+@dataclass
+class CancelRequest:
+    """
+    Request sending to specific gateway for canceling an existing order.
+    """
+    orderid: str
+    symbol: str = ''
+    exchange: str = ''
+
+    def __post_init__(self):
+        """"""
+        self.vt_symbol = f"{self.symbol}.{self.exchange}"