[Add]LocalOrderManager and use it for async order id map in HuobiGateway
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vn.py
parent
81454e7dfb
commit
f16a879905
@ -27,8 +27,8 @@ class CsvLoaderWidget(QtWidgets.QWidget):
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self.setFixedWidth(300)
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self.setWindowFlags(
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(self.windowFlags() | QtCore.Qt.CustomizeWindowHint) &
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~QtCore.Qt.WindowMaximizeButtonHint)
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(self.windowFlags() | QtCore.Qt.CustomizeWindowHint)
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& ~QtCore.Qt.WindowMaximizeButtonHint)
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file_button = QtWidgets.QPushButton("选择文件")
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file_button.clicked.connect(self.select_file)
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@ -24,7 +24,7 @@ from vnpy.trader.constant import (
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Status,
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OrderType
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)
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from vnpy.trader.gateway import BaseGateway
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from vnpy.trader.gateway import BaseGateway, LocalOrderManager
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from vnpy.trader.object import (
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TickData,
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OrderData,
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@ -81,12 +81,7 @@ class HuobiGateway(BaseGateway):
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"""Constructor"""
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super(HuobiGateway, self).__init__(event_engine, "HUOBI")
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self.order_count = 100000
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self.local_huobi_map = {} # local orderid: huobi orderid
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self.huobi_local_map = {} # huobi orderid: local orderid
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self.local_order_map = {} # local orderid: order
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self.huobi_order_data = {} # huobi orderid: data
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self.order_manager = LocalOrderManager(self)
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self.rest_api = HuobiRestApi(self)
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self.trade_ws_api = HuobiTradeWebsocketApi(self)
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@ -147,49 +142,6 @@ class HuobiGateway(BaseGateway):
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self.count = 0
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self.event_engine.register(EVENT_TIMER, self.process_timer_event)
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def get_local_orderid(self, huobi_orderid: str):
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""""""
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local_orderid = self.huobi_local_map.get(huobi_orderid, None)
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if not local_orderid:
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local_orderid = self.new_local_orderid()
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self.update_orderid_map(local_orderid, huobi_orderid)
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return local_orderid
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def get_huobi_orderid(self, local_orderid: str):
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""""""
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huobi_orderid = self.local_huobi_map.get(local_orderid, "")
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return huobi_orderid
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def new_local_orderid(self):
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""""""
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self.order_count += 1
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return str(self.order_count)
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def update_orderid_map(self, local_orderid: str, huobi_orderid: str):
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""""""
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self.huobi_local_map[huobi_orderid] = local_orderid
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self.local_huobi_map[local_orderid] = huobi_orderid
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if huobi_orderid in self.huobi_order_data:
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data = self.huobi_order_data.pop(huobi_orderid)
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self.trade_ws_api.on_order(data)
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def on_order(self, order: OrderData):
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""""""
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self.local_order_map[order.orderid] = order
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super().on_order(copy(order))
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def get_order(self, huobi_orderid: str):
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""""""
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local_orderid = self.huobi_local_map.get(huobi_orderid, None)
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if not local_orderid:
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return None
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else:
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return self.local_order_map[local_orderid]
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class HuobiRestApi(RestClient):
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"""
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@ -202,6 +154,7 @@ class HuobiRestApi(RestClient):
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self.gateway = gateway
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self.gateway_name = gateway.gateway_name
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self.order_manager = gateway.order_manager
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self.host = ""
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self.key = ""
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@ -300,7 +253,7 @@ class HuobiRestApi(RestClient):
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(req.direction, req.type), ""
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)
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local_orderid = self.gateway.new_local_orderid()
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local_orderid = self.order_manager.new_local_orderid()
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order = req.create_order_data(
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local_orderid,
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self.gateway_name
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@ -324,19 +277,14 @@ class HuobiRestApi(RestClient):
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extra=order,
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)
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self.gateway.on_order(order)
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self.order_manager.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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local_id = req.orderid
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huobi_orderid = self.gateway.get_huobi_orderid(local_id)
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sys_orderid = self.order_manager.get_sys_orderid(req.orderid)
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if not huobi_orderid:
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self.cancel_requests[local_id] = req
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return
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path = f"/v1/order/orders/{huobi_orderid}/submitcancel"
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path = f"/v1/order/orders/{sys_orderid}/submitcancel"
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self.add_request(
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method="POST",
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path=path,
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@ -344,9 +292,6 @@ class HuobiRestApi(RestClient):
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extra=req
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)
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if local_id in self.cancel_requests:
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self.cancel_requests.pop(local_id)
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def on_query_account(self, data, request):
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""""""
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if self.check_error(data, "查询账户"):
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@ -387,8 +332,8 @@ class HuobiRestApi(RestClient):
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return
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for d in data["data"]:
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huobi_orderid = d["id"]
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local_orderid = self.gateway.get_local_orderid(huobi_orderid)
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sys_orderid = d["id"]
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local_orderid = self.order_manager.get_local_orderid(sys_orderid)
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direction, order_type = ORDERTYPE_HUOBI2VT[d["type"]]
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dt = datetime.fromtimestamp(d["created-at"] / 1000)
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@ -408,7 +353,7 @@ class HuobiRestApi(RestClient):
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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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self.order_manager.on_order(order)
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self.gateway.write_log("委托信息查询成功")
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@ -446,15 +391,11 @@ class HuobiRestApi(RestClient):
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if self.check_error(data, "委托"):
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order.status = Status.REJECTED
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self.gateway.on_order(order)
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self.order_manager.on_order(order)
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return
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huobi_orderid = str(data["data"])
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self.gateway.update_orderid_map(order.orderid, huobi_orderid)
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req = self.cancel_requests.get(order.orderid, None)
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if req:
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self.cancel_order(req)
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sys_orderid = data["data"]
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self.order_manager.update_orderid_map(order.orderid, sys_orderid)
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def on_cancel_order(self, data, request):
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""""""
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@ -463,12 +404,11 @@ class HuobiRestApi(RestClient):
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cancel_request = request.extra
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local_orderid = cancel_request.orderid
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huobi_orderid = self.gateway.get_huobi_orderid(local_orderid)
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order = self.gateway.get_order(huobi_orderid)
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order = self.order_manager.get_order_with_local_orderid(local_orderid)
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order.status = Status.CANCELLED
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self.gateway.on_order(copy(order))
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self.order_manager.on_order(order)
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self.gateway.write_log(f"委托撤单成功：{order.orderid}")
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def check_error(self, data: dict, func: str = ""):
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@ -562,6 +502,9 @@ class HuobiTradeWebsocketApi(HuobiWebsocketApiBase):
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""""""
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super().__init__(gateway)
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self.order_manager = gateway.order_manager
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self.order_manager.push_data_callback = self.on_data
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self.req_id = 0
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def connect(self, key, secret, proxy_host, proxy_port):
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@ -599,30 +542,36 @@ class HuobiTradeWebsocketApi(HuobiWebsocketApiBase):
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def on_order(self, data: dict):
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""""""
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huobi_orderid = str(data["order-id"])
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order = self.gateway.get_order(huobi_orderid)
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sys_orderid = str(data["order-id"])
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order = self.order_manager.get_order_with_sys_orderid(sys_orderid)
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if not order:
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self.gateway.huobi_order_data[huobi_orderid] = data
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self.order_manager.add_push_data(sys_orderid, data)
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return
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traded_volume = float(data["filled-amount"])
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# Push order event
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order.traded += traded_volume
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order.status = STATUS_HUOBI2VT.get(data["order-state"], None)
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self.gateway.on_order(order)
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self.order_manager.on_order(order)
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if traded_volume:
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trade = TradeData(
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symbol=order.symbol,
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exchange=Exchange.HUOBI,
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orderid=order.orderid,
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tradeid=str(data["seq-id"]),
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direction=order.direction,
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price=float(data["price"]),
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volume=float(data["filled-amount"]),
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time=datetime.now().strftime("%H:%M:%S"),
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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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# Push trade event
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if not traded_volume:
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return
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trade = TradeData(
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symbol=order.symbol,
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exchange=Exchange.HUOBI,
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orderid=order.orderid,
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tradeid=str(data["seq-id"]),
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direction=order.direction,
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price=float(data["price"]),
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volume=float(data["filled-amount"]),
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time=datetime.now().strftime("%H:%M:%S"),
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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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class HuobiDataWebsocketApi(HuobiWebsocketApiBase):
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@ -4,6 +4,7 @@
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from abc import ABC, abstractmethod
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from typing import Any
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from copy import copy
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from vnpy.event import Event, EventEngine
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from .event import (
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@ -227,3 +228,124 @@ class BaseGateway(ABC):
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Return default setting dict.
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"""
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return self.default_setting
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class LocalOrderManager:
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"""
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Management tool to support use local order id for trading.
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"""
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def __init__(self, gateway: BaseGateway):
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""""""
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self.gateway = gateway
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# For generating local orderid
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self.order_prefix = ""
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self.order_count = 0
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self.orders = {} # local_orderid:order
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# Map between local and system orderid
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self.local_sys_orderid_map = {}
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self.sys_local_orderid_map = {}
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# Push order data buf
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self.push_data_buf = {} # sys_orderid:data
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# Callback for processing push order data
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self.push_data_callback = None
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# Cancel request buf
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self.cancel_request_buf = {} # local_orderid:req
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def new_local_orderid(self):
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"""
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Generate a new local orderid.
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"""
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self.order_count += 1
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local_orderid = str(self.order_count).rjust(8, "0")
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return local_orderid
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def get_local_orderid(self, sys_orderid: str):
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"""
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Get local orderid with sys orderid.
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"""
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local_orderid = self.sys_local_orderid_map.get(sys_orderid, "")
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if not local_orderid:
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local_orderid = self.new_local_orderid()
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self.update_orderid_map(local_orderid, sys_orderid)
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return local_orderid
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def get_sys_orderid(self, local_orderid: str):
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"""
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Get sys orderid with local orderid.
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"""
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sys_orderid = self.local_sys_orderid_map.get(local_orderid, "")
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return sys_orderid
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def update_orderid_map(self, local_orderid: str, sys_orderid: str):
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"""
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Update orderid map.
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"""
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self.sys_local_orderid_map[sys_orderid] = local_orderid
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self.local_sys_orderid_map[local_orderid] = sys_orderid
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self.check_cancel_request(local_orderid)
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self.check_push_data(sys_orderid)
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def check_push_data(self, sys_orderid: str):
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"""
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Check if any order push data waiting.
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"""
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if sys_orderid not in self.push_data_buf:
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return
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data = self.push_data_buf.pop(sys_orderid)
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if self.push_data_callback:
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self.push_data_callback(data)
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def add_push_data(self, sys_orderid: str, data: dict):
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"""
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Add push data into buf.
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"""
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self.push_data_buf[sys_orderid] = data
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def get_order_with_sys_orderid(self, sys_orderid: str):
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""""""
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local_orderid = self.sys_local_orderid_map.get(sys_orderid, None)
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if not local_orderid:
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return None
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else:
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return self.get_order_with_local_orderid(local_orderid)
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def get_order_with_local_orderid(self, local_orderid: str):
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""""""
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order = self.orders[local_orderid]
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return copy(order)
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def on_order(self, order: OrderData):
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"""
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Keep an order buf before pushing it to gateway.
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"""
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self.orders[order.orderid] = copy(order)
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self.gateway.on_order(order)
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def cancel_order(self, req: CancelRequest):
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"""
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"""
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sys_orderid = self.get_sys_orderid(req.orderid)
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if not sys_orderid:
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self.cancel_request_buf[req.orderid] = req
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return
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self.gateway.cancel_order(req)
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def check_cancel_request(self, local_orderid: str):
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"""
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"""
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if local_orderid not in self.cancel_request_buf:
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return
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req = self.cancel_request_buf.pop(local_orderid)
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self.gateway.cancel_order(req)
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