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[Mod] add support for option

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vn.py 2019-09-02 16:56:48 +08:00
parent fa6c9e9975
commit e43315f279
1 changed files with 27 additions and 35 deletions
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34
vnpy/gateway/da/da_gateway.py
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@ -33,8 +33,6 @@ from vnpy.trader.object import (
CancelRequest,
SubscribeRequest,
)
from vnpy.trader.utility import get_folder_path
from vnpy.trader.event import EVENT_TIMER
STATUS_DA2VT = {
@ -73,15 +71,7 @@ OFFSET_DA2VT = {v: k for k, v in OFFSET_VT2DA.items()}
EXCHANGE_DA2VT = {
"APEX": Exchange.APEX,
# "SGXQ": Exchange.SGX,
# "NYMEX": Exchange.NYMEX,
# "LME": Exchange.LME,
# "CME_CBT": Exchange.CBOT,
# "HKEX": Exchange.HKFE,
"CME": Exchange.CME,
# "TOCOM": Exchange.TOCOM,
# "KRX": Exchange.KRX,
# "ICE": Exchange.ICE
"CME": Exchange.CME
}
EXCHANGE_VT2DA = {v: k for k, v in EXCHANGE_DA2VT.items()}
@ -90,10 +80,10 @@ PRODUCT_DA2VT = {
"O": Product.OPTION,
}
# OPTIONTYPE_DA2VT = {
# THOST_FTDC_CP_CallOptions: OptionType.CALL,
# THOST_FTDC_CP_PutOptions: OptionType.PUT
# }
OPTIONTYPE_DA2VT = {
"R": OptionType.CALL,
"F": OptionType.PUT
}
symbol_name_map = {}
@ -278,8 +268,7 @@ class DaMarketApi(MarketApi):
# If not connected, then start connection first.
if not self.connect_status:
# path = get_folder_path(self.gateway_name.lower())
self.createMarketApi(True, "market_log.txt")
self.createMarketApi(False, "market_log.txt")
self.registerNameServer(address)
self.init()
@ -325,7 +314,7 @@ class DaMarketApi(MarketApi):
"MarketTrcode": da_code,
}
self.reqid += 1
i = self.reqMarketData(da_req, self.reqid)
self.reqMarketData(da_req, self.reqid)
self.subscribed[req.symbol] = req
@ -448,6 +437,11 @@ class DaFutureApi(FutureApi):
gateway_name=self.gateway_name
)
if product == Product.OPTION:
contract.option_type = OPTIONTYPE_DA2VT[data["OptionType"]]
contract.option_strike = to_float(data["OptionStrikePrice"])
contract.option_expiry = datetime.strptime(data["LastTradeDay"], "%Y%m%d")
symbol_name_map[contract.vt_symbol] = contract.name
symbol_currency_map[contract.symbol] = data["CommodityFCurrencyNo"]
@ -639,8 +633,7 @@ class DaFutureApi(FutureApi):
self.auth_code = auth_code
if not self.connect_status:
#path = get_folder_path(self.gateway_name.lower())
self.createFutureApi(True, "future_log.txt")
self.createFutureApi(False, "future_log.txt")
self.registerNameServer(address)
self.init()
@ -831,4 +824,3 @@ def to_float(data: str) -> float:
return 0.0
else:
return float(data)