[Mod]add more function of XtpTraderApi
This commit is contained in:
vn.py
parent
3853b47e47
commit
e0ea44e286
@ -1,8 +1,11 @@
|
||||
from typing import Any, Sequence
|
||||
from datetime import datetime
|
||||
|
||||
from vnpy.api.xtp.vnxtp import (
|
||||
OrderBookStruct,
|
||||
XTP,
|
||||
set_async_callback_exception_handler,
|
||||
AsyncDispatchException,
|
||||
XTPMarketDataStruct,
|
||||
XTPQuoteStaticInfo,
|
||||
XTPRspInfoStruct,
|
||||
@ -12,9 +15,20 @@ from vnpy.api.xtp.vnxtp import (
|
||||
XTPQueryOrderReq,
|
||||
XTPQueryTraderReq,
|
||||
XTPOrderInsertInfo,
|
||||
XTPOrderInfo,
|
||||
XTPTradeReport,
|
||||
XTPOrderCancelInfo,
|
||||
XTPQueryStkPositionRsp,
|
||||
XTPQueryAssetRsp,
|
||||
XTPStructuredFundInfo,
|
||||
XTPFundTransferNotice,
|
||||
XTPQueryETFBaseRsp,
|
||||
XTPQueryETFComponentRsp,
|
||||
XTPQueryIPOTickerRsp,
|
||||
XTPQueryIPOQuotaRsp,
|
||||
XTPQueryOptionAuctionInfoRsp,
|
||||
XTP_EXCHANGE_TYPE,
|
||||
XTP_LOG_LEVEL,
|
||||
XTP_PROTOCOL_TYPE,
|
||||
XTP_TICKER_TYPE_STOCK,
|
||||
XTP_TICKER_TYPE_INDEX,
|
||||
XTP_TICKER_TYPE_FUND,
|
||||
@ -27,11 +41,18 @@ from vnpy.api.xtp.vnxtp import (
|
||||
XTP_SIDE_SELL,
|
||||
XTP_PRICE_LIMIT,
|
||||
XTP_PRICE_BEST5_OR_CANCEL,
|
||||
XTP_BUSINESS_TYPE_CASH
|
||||
XTP_BUSINESS_TYPE_CASH,
|
||||
XTP_ORDER_STATUS_INIT,
|
||||
XTP_ORDER_STATUS_ALLTRADED,
|
||||
XTP_ORDER_STATUS_PARTTRADEDQUEUEING,
|
||||
XTP_ORDER_STATUS_PARTTRADEDNOTQUEUEING,
|
||||
XTP_ORDER_STATUS_NOTRADEQUEUEING,
|
||||
XTP_ORDER_STATUS_CANCELED,
|
||||
XTP_ORDER_STATUS_REJECTED
|
||||
)
|
||||
|
||||
from vnpy.event import EventEngine
|
||||
from vnpy.trader.constant import Exchange, Product, Direction, OrderType
|
||||
from vnpy.trader.constant import Exchange, Product, Direction, OrderType, Status
|
||||
from vnpy.trader.gateway import BaseGateway
|
||||
from vnpy.trader.object import (CancelRequest, OrderRequest, SubscribeRequest,
|
||||
TickData, ContractData, OrderData, TradeData,
|
||||
@ -66,6 +87,16 @@ ORDERTYPE_VT2XTP = {
|
||||
}
|
||||
ORDERTYPE_XTP2VT = {v: k for k, v in ORDERTYPE_VT2XTP.items()}
|
||||
|
||||
STATUS_XTP2VT = {
|
||||
XTP_ORDER_STATUS_INIT: Status.SUBMITTING,
|
||||
XTP_ORDER_STATUS_ALLTRADED: Status.ALLTRADED,
|
||||
XTP_ORDER_STATUS_PARTTRADEDQUEUEING: Status.PARTTRADED,
|
||||
XTP_ORDER_STATUS_PARTTRADEDNOTQUEUEING: Status.PARTTRADED,
|
||||
XTP_ORDER_STATUS_NOTRADEQUEUEING: Status.NOTTRADED,
|
||||
XTP_ORDER_STATUS_CANCELED: Status.CANCELLED,
|
||||
XTP_ORDER_STATUS_REJECTED: Status.REJECTED,
|
||||
}
|
||||
|
||||
|
||||
symbol_name_map = {}
|
||||
|
||||
@ -90,6 +121,9 @@ class XtpGateway(BaseGateway):
|
||||
self.quote_api = XtpQuoteApi(self)
|
||||
self.trader_api = XtpTraderApi(self)
|
||||
|
||||
set_async_callback_exception_handler(
|
||||
self._async_callback_exception_handler)
|
||||
|
||||
def connect(self, setting: dict):
|
||||
""""""
|
||||
userid = setting['账号']
|
||||
@ -101,8 +135,8 @@ class XtpGateway(BaseGateway):
|
||||
trader_port = setting['交易端口']
|
||||
quote_protocol = setting["行情协议"]
|
||||
|
||||
self.quote_api.connect(userid, password, client_id,
|
||||
quote_ip, quote_port, quote_protocol)
|
||||
# self.quote_api.connect(userid, password, client_id,
|
||||
# quote_ip, quote_port, quote_protocol)
|
||||
self.trader_api.connect(userid, password, client_id,
|
||||
trader_ip, trader_port)
|
||||
|
||||
@ -131,6 +165,10 @@ class XtpGateway(BaseGateway):
|
||||
""""""
|
||||
self.trader_api.query_position()
|
||||
|
||||
def _async_callback_exception_handler(self, e: AsyncDispatchException):
|
||||
error_str = f"发生内部错误：\n" f"位置：{e.instance}.{e.function_name}" f"详细信息：{e.what}"
|
||||
print(error_str)
|
||||
|
||||
|
||||
class XtpQuoteApi(API.QuoteSpi):
|
||||
|
||||
@ -220,7 +258,7 @@ class XtpQuoteApi(API.QuoteSpi):
|
||||
|
||||
def check_error(self, func_name: str, error_info: XTPRspInfoStruct):
|
||||
""""""
|
||||
if error_info.error_id:
|
||||
if error_info and error_info.error_id:
|
||||
msg = f"{func_name}发生错误, 代码：{error_info.error_id}，信息：{error_info.error_msg}"
|
||||
self.gateway.write_log(msg)
|
||||
return True
|
||||
@ -249,12 +287,13 @@ class XtpQuoteApi(API.QuoteSpi):
|
||||
bid1_count: int, max_bid1_count: int, ask1_qty: Sequence[int],
|
||||
ask1_count: int, max_ask1_count: int) -> Any:
|
||||
""""""
|
||||
timestamp = market_data.date_time
|
||||
timestamp = str(market_data.data_time)
|
||||
dt = datetime.strptime(timestamp, "%Y%m%d%H%M%S%f")
|
||||
|
||||
tick = TickData(
|
||||
symbol=market_data.ticker,
|
||||
exchange=EXCHANGE_XTP2VT[market_data.exchange_id],
|
||||
datetime=timestamp,
|
||||
datetime=dt,
|
||||
volume=market_data.qty,
|
||||
last_price=market_data.last_price,
|
||||
limit_up=market_data.upper_limit_price,
|
||||
@ -359,7 +398,7 @@ class XtpQuoteApi(API.QuoteSpi):
|
||||
name=ticker_info.ticker_name,
|
||||
product=PRODUCT_XTP2VT[ticker_info.ticker_type],
|
||||
size=1,
|
||||
pricetick=ticker_info.pricetick,
|
||||
pricetick=ticker_info.price_tick,
|
||||
min_volume=ticker_info.buy_qty_unit,
|
||||
gateway_name=self.gateway_name
|
||||
)
|
||||
@ -367,6 +406,9 @@ class XtpQuoteApi(API.QuoteSpi):
|
||||
|
||||
symbol_name_map[contract.vt_symbol] = contract.name
|
||||
|
||||
if is_last:
|
||||
self.gateway.write_log(f"{contract.exchange.value}合约信息查询成功")
|
||||
|
||||
def OnQueryTickersPriceInfo(self, ticker_info: XTPTickerPriceInfo, error_info: XTPRspInfoStruct,
|
||||
is_last: bool) -> Any:
|
||||
""""""
|
||||
@ -420,9 +462,7 @@ class XtpTraderApi(API.TraderSpi):
|
||||
|
||||
self.api = None
|
||||
self.session_id = 0
|
||||
|
||||
self.reqid = 0
|
||||
self.orderid = 0
|
||||
|
||||
def connect(
|
||||
self,
|
||||
@ -452,8 +492,9 @@ class XtpTraderApi(API.TraderSpi):
|
||||
)
|
||||
|
||||
self.api.RegisterSpi(self)
|
||||
self.api.SetSoftwareKey("vnpy_test")
|
||||
self.api.SubscribePublicTopic(XTP_TERT_RESTART)
|
||||
|
||||
|
||||
self.gateway.write_log("交易接口初始化成功")
|
||||
|
||||
# Login to server
|
||||
@ -464,7 +505,7 @@ class XtpTraderApi(API.TraderSpi):
|
||||
self.password,
|
||||
XTP_PROTOCOL_TCP
|
||||
)
|
||||
|
||||
|
||||
if self.session_id:
|
||||
msg = "交易服务器登录成功"
|
||||
else:
|
||||
@ -481,29 +522,26 @@ class XtpTraderApi(API.TraderSpi):
|
||||
|
||||
def send_order(self, req: OrderRequest) -> str:
|
||||
""""""
|
||||
self.orderid += 1
|
||||
|
||||
xtp_req = XTPOrderInsertInfo()
|
||||
xtp_req.ticker = req.symbol
|
||||
xtp_req.market = EXCHANGE_XTP2VT[req.exchange]
|
||||
xtp_req.price = req.price
|
||||
xtp_req.quantity = req.volume
|
||||
xtp_req.order_client_id = self.client_id
|
||||
xtp_req.order_xtp_id = self.orderid
|
||||
xtp_req.side = DIRECTION_XTP2VT.get(req.direction, "")
|
||||
xtp_req.price_type = ORDERTYPE_XTP2VT.get(req.type, "")
|
||||
xtp_req.business_type = XTP_BUSINESS_TYPE_CASH
|
||||
|
||||
self.api.InsertOrder(xtp_req, self.session_id)
|
||||
orderid = self.api.InsertOrder(xtp_req, self.session_id)
|
||||
|
||||
order = req.create_order_data(str(self.orderid))
|
||||
order = req.create_order_data(str(orderid))
|
||||
self.gateway.on_order(order)
|
||||
|
||||
return order.vt_orderid
|
||||
|
||||
def cancel_order(self, req: CancelRequest):
|
||||
""""""
|
||||
self.api.CancelOrder(req.orderid, self.session_id)
|
||||
self.api.CancelOrder(int(req.orderid), self.session_id)
|
||||
|
||||
def query_account(self):
|
||||
""""""
|
||||
@ -524,3 +562,161 @@ class XtpTraderApi(API.TraderSpi):
|
||||
""""""
|
||||
self.reqid += 1
|
||||
self.api.QueryTrades(XTPQueryTraderReq(), self.session_id, self.reqid)
|
||||
|
||||
def check_error(self, func_name: str, error_info: XTPRspInfoStruct):
|
||||
""""""
|
||||
if error_info and error_info.error_id:
|
||||
msg = f"{func_name}发生错误, 代码：{error_info.error_id}，信息：{error_info.error_msg}"
|
||||
self.gateway.write_log(msg)
|
||||
return True
|
||||
else:
|
||||
return False
|
||||
|
||||
def OnDisconnected(self, session_id: int, reason: int) -> Any:
|
||||
""""""
|
||||
self.gateway.write_log("交易服务器连接断开")
|
||||
|
||||
def OnError(self, error_info: XTPRspInfoStruct) -> Any:
|
||||
""""""
|
||||
self.check_error("交易接口", error_info)
|
||||
|
||||
def OnOrderEvent(self, order_info: XTPOrderInfo, error_info: XTPRspInfoStruct,
|
||||
session_id: int) -> Any:
|
||||
""""""
|
||||
print("on orde event")
|
||||
if self.check_error("委托下单", error_info):
|
||||
return
|
||||
|
||||
self.updateOrder(order_info)
|
||||
|
||||
def OnTradeEvent(self, trade_info: XTPTradeReport, session_id: int) -> Any:
|
||||
""""""
|
||||
print("on trade event")
|
||||
self.updateTrade(trade_info)
|
||||
|
||||
def OnCancelOrderError(self, cancel_info: XTPOrderCancelInfo, error_info: XTPRspInfoStruct,
|
||||
session_id: int) -> Any:
|
||||
""""""
|
||||
self.check_error("委托撤单", error_info)
|
||||
|
||||
def OnQueryOrder(self, order_info: XTPOrderInfo, error_info: XTPRspInfoStruct,
|
||||
is_last: bool, session_id: int) -> Any:
|
||||
""""""
|
||||
if self.check_error("查询委托", error_info):
|
||||
return
|
||||
|
||||
self.updateOrder(order_info)
|
||||
|
||||
if is_last:
|
||||
self.gateway.write_log("查询委托信息成功")
|
||||
|
||||
def OnQueryTrade(self, trade_info: XTPTradeReport, error_info: XTPRspInfoStruct,
|
||||
is_last: bool, session_id: int) -> Any:
|
||||
""""""
|
||||
if self.check_error("查询成交", error_info):
|
||||
return
|
||||
|
||||
self.updateTrade(trade_info)
|
||||
|
||||
if is_last:
|
||||
self.gateway.write_log("查询成交信息成功")
|
||||
|
||||
def OnQueryPosition(self, xtp_position: XTPQueryStkPositionRsp, error_info: XTPRspInfoStruct,
|
||||
is_last: bool, session_id: int) -> Any:
|
||||
""""""
|
||||
position = PositionData(
|
||||
symbol=xtp_position.ticker,
|
||||
exchange=EXCHANGE_XTP2VT[xtp_position.market],
|
||||
direction=Direction.NET,
|
||||
volume=xtp_position.total_qty,
|
||||
frozen=xtp_position.locked_position,
|
||||
price=xtp_position.avg_price,
|
||||
pnl=xtp_position.unrealized_pnl,
|
||||
yd_volume=xtp_position.yesterday_position,
|
||||
gateway_name=self.gateway_name
|
||||
)
|
||||
self.gateway.on_position(position)
|
||||
|
||||
def OnQueryAsset(self, asset: XTPQueryAssetRsp, error_info: XTPRspInfoStruct,
|
||||
is_last: bool, session_id: int) -> Any:
|
||||
""""""
|
||||
account = AccountData(
|
||||
accountid=self.userid,
|
||||
balance=asset.banlance,
|
||||
frozen=(asset.frozen_margin + asset.frozen_exec_cash + asset.frozen_exec_fee),
|
||||
gateway_name=self.gateway_name
|
||||
)
|
||||
self.gateway.on_account(account)
|
||||
|
||||
def OnQueryStructuredFund(self, fund_info: XTPStructuredFundInfo, error_info: XTPRspInfoStruct,
|
||||
is_last: bool, session_id: int) -> Any:
|
||||
""""""
|
||||
pass
|
||||
|
||||
def OnQueryFundTransfer(self, fund_transfer_info: XTPFundTransferNotice, error_info: XTPRspInfoStruct,
|
||||
is_last: bool, session_id: int) -> Any:
|
||||
""""""
|
||||
pass
|
||||
|
||||
def OnFundTransfer(self, fund_transfer_info: XTPFundTransferNotice, session_id: int) -> Any:
|
||||
""""""
|
||||
pass
|
||||
|
||||
def OnQueryETF(self, etf_info: XTPQueryETFBaseRsp, error_info: XTPRspInfoStruct,
|
||||
is_last: bool, session_id: int) -> Any:
|
||||
""""""
|
||||
pass
|
||||
|
||||
def OnQueryETFBasket(self, etf_component_info: XTPQueryETFComponentRsp, error_info: XTPRspInfoStruct,
|
||||
is_last: bool, session_id: int) -> Any:
|
||||
""""""
|
||||
pass
|
||||
|
||||
def OnQueryIPOInfoList(self, ipo_info: XTPQueryIPOTickerRsp, error_info: XTPRspInfoStruct,
|
||||
is_last: bool, session_id: int) -> Any:
|
||||
""""""
|
||||
pass
|
||||
|
||||
def OnQueryIPOQuotaInfo(self, quota_info: XTPQueryIPOQuotaRsp, error_info: XTPRspInfoStruct,
|
||||
is_last: bool, session_id: int) -> Any:
|
||||
""""""
|
||||
pass
|
||||
|
||||
def OnQueryOptionAuctionInfo(self, option_info: XTPQueryOptionAuctionInfoRsp, error_info: XTPRspInfoStruct,
|
||||
is_last: bool, session_id: int) -> Any:
|
||||
""""""
|
||||
pass
|
||||
|
||||
def updateOrder(self, order_info: XTPOrderInfo):
|
||||
""""""
|
||||
order = OrderData(
|
||||
symbol=order_info.ticker,
|
||||
exchange=EXCHANGE_XTP2VT[order_info.market],
|
||||
orderid=str(order_info.order_xtp_id),
|
||||
type=ORDERTYPE_XTP2VT[order_info.price_type],
|
||||
direction=DIRECTION_XTP2VT[order_info.side],
|
||||
price=order_info.price,
|
||||
volume=order_info.quantity,
|
||||
traded=order_info.qty_traded,
|
||||
status=STATUS_XTP2VT[order_info.order_status],
|
||||
time=order_info.insert_time,
|
||||
gateway_name=self.gateway_name
|
||||
)
|
||||
|
||||
self.gateway.on_order(order)
|
||||
|
||||
def updateTrade(self, trade_info: XTPTradeReport):
|
||||
""""""
|
||||
trade = TradeData(
|
||||
symbol=trade_info.ticker,
|
||||
exchange=EXCHANGE_XTP2VT[trade_info.market],
|
||||
orderid=str(trade_info.order_xtp_id),
|
||||
tradeid=str(trade_info.exec_id),
|
||||
direction=DIRECTION_XTP2VT[trade_info.side],
|
||||
price=trade_info.price,
|
||||
volume=trade_info.quantity,
|
||||
time=trade_info.trade_time,
|
||||
gateway_name=self.gateway_name
|
||||
)
|
||||
|
||||
self.gateway.on_trade(trade)
|
||||
Loading…
Reference in New Issue
Block a user