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