[Mod]修改HuobiGateway的委托查询机制

vnpy/trader/gateway/huobiGateway/huobiGateway.py

@@ -6,7 +6,7 @@ vn.sec的gateway接入
 
 import os
 import json
-from datetime import datetime
+from datetime import datetime, timedelta
 from copy import copy
 from math import pow
 
@@ -338,8 +338,6 @@ class HuobiTradeApi(TradeApi):
         self.connectionStatus = False       # 连接状态
         self.accountid = ''
 
-        self.todayDate = datetime.now().strftime('%Y-%m-%d')
-        
         self.orderDict = {}                 # 缓存委托数据的字典
         self.symbols = []                   # 所有交易代码的字符串集合
 
@@ -354,7 +352,7 @@ class HuobiTradeApi(TradeApi):
         self.orderLocalDict = {}    # 交易所委托编号和本地委托编号映射
         self.cancelReqDict = {}     # 撤单请求字典
 
-        self.activeOrderSet = set() # 活动委托集合
+        #self.activeOrderSet = set() # 活动委托集合
 
     #----------------------------------------------------------------------
     def connect(self, exchange, accessKey, secretKey, symbols=''):
@@ -382,10 +380,17 @@ class HuobiTradeApi(TradeApi):
         if not self.accountid:
             return
         
-        #states = 'pre-submitted,submitting,submitted,partial-filled,partial-canceled,filled,canceled'
+        now = datetime.now()
-        states = 'pre-submitted,submitting,submitted,partial-filled'
+        oneday = timedelta(1)
+        todayDate = now.strftime('%Y-%m-%d')
+        yesterdayDate = (now - oneday).strftime('%Y-%m-%d')
+
+        statesAll = 'pre-submitted,submitting,submitted,partial-filled,partial-canceled,filled,canceled'
+        statesActive = 'submitted,partial-filled'
+        
         for symbol in self.symbols:
-            self.getOrders(symbol, states, startDate=self.todayDate)
+            self.getOrders(symbol, statesAll, startDate=todayDate)         # 查询今日所有状态的委托
+            self.getOrders(symbol, statesActive, endDate=yesterdayDate)    # 查询昨日往前所有未结束的委托
 
     #----------------------------------------------------------------------
     def qryTrade(self):
@@ -393,8 +398,11 @@ class HuobiTradeApi(TradeApi):
         if not self.accountid:
             return
         
+        now = datetime.now()
+        todayDate = now.strftime('%Y-%m-%d')
+        
         for symbol in self.symbols:
-            self.getMatchResults(symbol, startDate=self.todayDate, size=50)
+            self.getMatchResults(symbol, startDate=todayDate, size=50)     # 只查询今日最新50笔成交
 
     #----------------------------------------------------------------------
     def sendOrder(self, orderReq):
@@ -522,21 +530,31 @@ class HuobiTradeApi(TradeApi):
     def onGetOrders(self, data, reqid):
         """查询委托回调"""
         # 比对寻找已结束的委托号
+        """
         newset = set([d['id'] for d in data])
 
+        print '-'*50
+        print [d['id'] for d in data]
+        print self.activeOrderSet
+
         for id_ in self.activeOrderSet:
             if id_ not in newset:
+                print 'finished:', id_
                 self.getOrder(id_)
 
-        self.activeOrderSet = newset        
+        #self.activeOrderSet = newset
+        """
 
         # 推送数据
-        qryOrderID = None
+        #qryOrderID = None
 
         data.reverse()
 
         for d in data:
             orderID = d['id']
+
+            #self.activeOrderSet.add(orderID)
+
             strOrderID = str(orderID)
             updated = False
 
@@ -654,18 +672,23 @@ class HuobiTradeApi(TradeApi):
     #----------------------------------------------------------------------
     def onGetOrder(self, data, reqid):
         """查询单一委托回调"""
-        orderID = data['id']
+        #orderID = data['id']
-        strOrderID = str(orderID)
+        #strOrderID = str(orderID)
-        localid = self.orderLocalDict[strOrderID]
+        #localid = self.orderLocalDict[strOrderID]
-        order = self.orderDict[orderID]
+        #order = self.orderDict[orderID]
 
-        order.tradedVolume = float(data['field-amount'])
+        #order.tradedVolume = float(data['field-amount'])
-        order.status = statusMapReverse.get(data['state'], STATUS_UNKNOWN)
+        #order.status = statusMapReverse.get(data['state'], STATUS_UNKNOWN)
 
-        if data['canceled-at']:
+        #if data['canceled-at']:
-            order.cancelTime = datetime.fromtimestamp(data['canceled-at']/1000).strftime('%H:%M:%S')
+            #order.cancelTime = datetime.fromtimestamp(data['canceled-at']/1000).strftime('%H:%M:%S')
 
-        self.gateway.onOrder(order)
+        ## 完成的委托则从集合中移除
+        #if order.status in [STATUS_ALLTRADED, STATUS_CANCELLED]:
+            #self.activeOrderSet.remove(orderID)
+
+        #self.gateway.onOrder(order)
+        pass
 
     #----------------------------------------------------------------------
     def onGetMatchResult(self, data, reqid):
@@ -680,6 +703,8 @@ class HuobiTradeApi(TradeApi):
         self.localOrderDict[localid] = data
         self.orderLocalDict[data] = localid
 
+        #self.activeOrderSet.add(data)
+
         if localid in self.cancelReqDict:
             req = self.cancelReqDict[localid]
             self.cancelOrder(req)