[Mod] add support for option
This commit is contained in:
vn.py
parent
fa6c9e9975
commit
e43315f279
@ -7,7 +7,7 @@ from copy import copy
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import wmi
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from vnpy.api.da import (
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MarketApi,
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MarketApi,
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FutureApi,
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DAF_SUB_Append,
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DAF_TYPE_Future
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@ -33,8 +33,6 @@ from vnpy.trader.object import (
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CancelRequest,
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SubscribeRequest,
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)
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from vnpy.trader.utility import get_folder_path
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from vnpy.trader.event import EVENT_TIMER
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STATUS_DA2VT = {
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@ -73,15 +71,7 @@ OFFSET_DA2VT = {v: k for k, v in OFFSET_VT2DA.items()}
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EXCHANGE_DA2VT = {
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"APEX": Exchange.APEX,
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# "SGXQ": Exchange.SGX,
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# "NYMEX": Exchange.NYMEX,
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# "LME": Exchange.LME,
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# "CME_CBT": Exchange.CBOT,
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# "HKEX": Exchange.HKFE,
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"CME": Exchange.CME,
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# "TOCOM": Exchange.TOCOM,
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# "KRX": Exchange.KRX,
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# "ICE": Exchange.ICE
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"CME": Exchange.CME
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}
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EXCHANGE_VT2DA = {v: k for k, v in EXCHANGE_DA2VT.items()}
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@ -90,10 +80,10 @@ PRODUCT_DA2VT = {
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"O": Product.OPTION,
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}
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# OPTIONTYPE_DA2VT = {
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# THOST_FTDC_CP_CallOptions: OptionType.CALL,
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# THOST_FTDC_CP_PutOptions: OptionType.PUT
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# }
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OPTIONTYPE_DA2VT = {
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"R": OptionType.CALL,
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"F": OptionType.PUT
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}
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symbol_name_map = {}
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@ -278,8 +268,7 @@ class DaMarketApi(MarketApi):
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# If not connected, then start connection first.
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if not self.connect_status:
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# path = get_folder_path(self.gateway_name.lower())
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self.createMarketApi(True, "market_log.txt")
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self.createMarketApi(False, "market_log.txt")
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self.registerNameServer(address)
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self.init()
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@ -315,9 +304,9 @@ class DaMarketApi(MarketApi):
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if not da_exchange:
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self.gateway.write_log(f"不支持的交易所{req.exchange.value}")
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return
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da_code = f"{da_exchange},{req.symbol}"
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da_req = {
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"MarketType": DAF_TYPE_Future,
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"SubscMode": DAF_SUB_Append,
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@ -325,7 +314,7 @@ class DaMarketApi(MarketApi):
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"MarketTrcode": da_code,
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}
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self.reqid += 1
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i = self.reqMarketData(da_req, self.reqid)
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self.reqMarketData(da_req, self.reqid)
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self.subscribed[req.symbol] = req
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@ -382,7 +371,7 @@ class DaFutureApi(FutureApi):
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# 查询可交易合约
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for exchange in EXCHANGE_DA2VT.values():
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self.query_contract(exchange)
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# 查询账户信息
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self.query_account()
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self.query_position()
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@ -392,7 +381,7 @@ class DaFutureApi(FutureApi):
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else:
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self.login_failed = True
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self.gateway.write_error("交易服务器登录失败", error)
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def onRspNeedVerify(self, firstLogin: bool, hasSetQA: bool):
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""""""
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print("on rsp need verify", firstLogin, hasSetQA)
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@ -410,7 +399,7 @@ class DaFutureApi(FutureApi):
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order.time = data["OrderTime"]
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self.order_info[order.orderid] = (data["OrderNo"], data["SystemNo"])
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self.gateway.on_order(copy(order))
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def onRspOrderCancel(self, data: dict, error: dict, reqid: int, last: bool):
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@ -448,6 +437,11 @@ class DaFutureApi(FutureApi):
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gateway_name=self.gateway_name
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)
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if product == Product.OPTION:
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contract.option_type = OPTIONTYPE_DA2VT[data["OptionType"]]
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contract.option_strike = to_float(data["OptionStrikePrice"])
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contract.option_expiry = datetime.strptime(data["LastTradeDay"], "%Y%m%d")
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symbol_name_map[contract.vt_symbol] = contract.name
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symbol_currency_map[contract.symbol] = data["CommodityFCurrencyNo"]
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@ -539,7 +533,7 @@ class DaFutureApi(FutureApi):
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volume=data["BuyHoldNumber"],
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price=data["BuyHoldOpenPrice"],
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gateway_name=self.gateway_name
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)
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)
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self.gateway.on_position(long_position)
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short_position = PositionData(
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@ -567,7 +561,7 @@ class DaFutureApi(FutureApi):
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return
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order.traded = data["FilledNumber"]
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if data["IsCanceled"] == "1":
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order.status = Status.CANCELLED
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elif order.traded == order.volume:
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@ -584,7 +578,7 @@ class DaFutureApi(FutureApi):
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Callback of trade status update.
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"""
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self.update_trade(data)
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def onRtnCapital(self, data: dict, error: dict, reqid: int, last: bool):
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"""
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Callback of capital status update.
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@ -611,7 +605,7 @@ class DaFutureApi(FutureApi):
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volume=data["BuyHoldNumber"],
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price=data["BuyHoldOpenPrice"],
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gateway_name=self.gateway_name
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)
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)
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self.gateway.on_position(long_position)
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short_position = PositionData(
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@ -637,10 +631,9 @@ class DaFutureApi(FutureApi):
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self.userid = userid
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self.password = password
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self.auth_code = auth_code
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if not self.connect_status:
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#path = get_folder_path(self.gateway_name.lower())
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self.createFutureApi(True, "future_log.txt")
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self.createFutureApi(False, "future_log.txt")
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self.registerNameServer(address)
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self.init()
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@ -691,7 +684,7 @@ class DaFutureApi(FutureApi):
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currency = symbol_currency_map[req.symbol]
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account_no = currency_account_map[currency]
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da_req = {
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"UserId": self.userid,
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"AccountNo": account_no,
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@ -746,7 +739,7 @@ class DaFutureApi(FutureApi):
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"""
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self.reqid += 1
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self.reqQryCapital({}, self.reqid)
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def query_order(self):
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"""
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Query account balance data.
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@ -771,7 +764,7 @@ class DaFutureApi(FutureApi):
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self.reqid += 1
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self.reqQryTotalPosition(da_req, self.reqid)
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def query_contract(self, exchange, page=1):
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"""
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Query contract data.
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@ -831,4 +824,3 @@ def to_float(data: str) -> float:
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return 0.0
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else:
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return float(data)
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