diff --git a/examples/vn_trader/run.py b/examples/vn_trader/run.py index aaab4352..43d4fca1 100644 --- a/examples/vn_trader/run.py +++ b/examples/vn_trader/run.py @@ -3,31 +3,32 @@ from vnpy.event import EventEngine from vnpy.trader.engine import MainEngine from vnpy.trader.ui import MainWindow, create_qapp -from vnpy.gateway.binance import BinanceGateway -from vnpy.gateway.bitmex import BitmexGateway -from vnpy.gateway.futu import FutuGateway -from vnpy.gateway.ib import IbGateway -from vnpy.gateway.ctp import CtpGateway +# from vnpy.gateway.binance import BinanceGateway +# from vnpy.gateway.bitmex import BitmexGateway +# from vnpy.gateway.futu import FutuGateway +# from vnpy.gateway.ib import IbGateway +# from vnpy.gateway.ctp import CtpGateway # from vnpy.gateway.ctptest import CtptestGateway # from vnpy.gateway.femas import FemasGateway from vnpy.gateway.tiger import TigerGateway # from vnpy.gateway.oes import OesGateway -from vnpy.gateway.okex import OkexGateway -from vnpy.gateway.huobi import HuobiGateway -from vnpy.gateway.bitfinex import BitfinexGateway -from vnpy.gateway.onetoken import OnetokenGateway -from vnpy.gateway.okexf import OkexfGateway +# from vnpy.gateway.okex import OkexGateway +# from vnpy.gateway.huobi import HuobiGateway +# from vnpy.gateway.bitfinex import BitfinexGateway +# from vnpy.gateway.onetoken import OnetokenGateway +# from vnpy.gateway.okexf import OkexfGateway # from vnpy.gateway.xtp import XtpGateway from vnpy.gateway.hbdm import HbdmGateway # from vnpy.gateway.tap import TapGateway from vnpy.gateway.tora import ToraGateway +from vnpy.gateway.alpaca import AlpacaGateway -from vnpy.app.cta_strategy import CtaStrategyApp -from vnpy.app.csv_loader import CsvLoaderApp -from vnpy.app.algo_trading import AlgoTradingApp -from vnpy.app.cta_backtester import CtaBacktesterApp -from vnpy.app.data_recorder import DataRecorderApp -from vnpy.app.risk_manager import RiskManagerApp +# from vnpy.app.cta_strategy import CtaStrategyApp +# from vnpy.app.csv_loader import CsvLoaderApp +# from vnpy.app.algo_trading import AlgoTradingApp +# from vnpy.app.cta_backtester import CtaBacktesterApp +# from vnpy.app.data_recorder import DataRecorderApp +# from vnpy.app.risk_manager import RiskManagerApp def main(): @@ -38,31 +39,32 @@ def main(): main_engine = MainEngine(event_engine) - main_engine.add_gateway(BinanceGateway) - main_engine.add_gateway(CtpGateway) + # main_engine.add_gateway(BinanceGateway) + # main_engine.add_gateway(CtpGateway) # main_engine.add_gateway(CtptestGateway) # main_engine.add_gateway(FemasGateway) - main_engine.add_gateway(IbGateway) - main_engine.add_gateway(FutuGateway) - main_engine.add_gateway(BitmexGateway) - main_engine.add_gateway(TigerGateway) + # main_engine.add_gateway(IbGateway) + # main_engine.add_gateway(FutuGateway) + # main_engine.add_gateway(BitmexGateway) + # main_engine.add_gateway(TigerGateway) # main_engine.add_gateway(OesGateway) - main_engine.add_gateway(OkexGateway) - main_engine.add_gateway(HuobiGateway) - main_engine.add_gateway(BitfinexGateway) - main_engine.add_gateway(OnetokenGateway) - main_engine.add_gateway(OkexfGateway) - main_engine.add_gateway(HbdmGateway) + # main_engine.add_gateway(OkexGateway) + # main_engine.add_gateway(HuobiGateway) + # main_engine.add_gateway(BitfinexGateway) + # main_engine.add_gateway(OnetokenGateway) + # main_engine.add_gateway(OkexfGateway) + # main_engine.add_gateway(HbdmGateway) # main_engine.add_gateway(XtpGateway) # main_engine.add_gateway(TapGateway) main_engine.add_gateway(ToraGateway) + main_engine.add_gateway(AlpacaGateway) - main_engine.add_app(CtaStrategyApp) - main_engine.add_app(CtaBacktesterApp) - main_engine.add_app(CsvLoaderApp) - main_engine.add_app(AlgoTradingApp) - main_engine.add_app(DataRecorderApp) - main_engine.add_app(RiskManagerApp) + # main_engine.add_app(CtaStrategyApp) + # main_engine.add_app(CtaBacktesterApp) + # main_engine.add_app(CsvLoaderApp) + # main_engine.add_app(AlgoTradingApp) + # main_engine.add_app(DataRecorderApp) + # main_engine.add_app(RiskManagerApp) main_window = MainWindow(main_engine, event_engine) main_window.showMaximized() diff --git a/vnpy/api/rest/rest_client.py b/vnpy/api/rest/rest_client.py index 646c894e..c2083688 100644 --- a/vnpy/api/rest/rest_client.py +++ b/vnpy/api/rest/rest_client.py @@ -256,11 +256,14 @@ class RestClient(object): proxies=self.proxies, ) request.response = response - status_code = response.status_code - if status_code // 100 == 2: # 2xx都算成功，尽管交易所都用200 - jsonBody = response.json() - request.callback(jsonBody, request) + if status_code // 100 == 2: # 2xx codes are all successful + if status_code == 204: + json_body = None + else: + json_body = response.json() + + request.callback(json_body, request) request.status = RequestStatus.success else: request.status = RequestStatus.failed diff --git a/vnpy/gateway/alpaca/__init__.py b/vnpy/gateway/alpaca/__init__.py new file mode 100644 index 00000000..16a9a0b9 --- /dev/null +++ b/vnpy/gateway/alpaca/__init__.py @@ -0,0 +1 @@ +from .alpaca_gateway import AlpacaGateway diff --git a/vnpy/gateway/alpaca/alpaca_gateway.py b/vnpy/gateway/alpaca/alpaca_gateway.py new file mode 100644 index 00000000..036708c3 --- /dev/null +++ b/vnpy/gateway/alpaca/alpaca_gateway.py @@ -0,0 +1,651 @@ +# encoding: UTF-8 +""" +Author: vigarbuaa +""" + +import sys +import json +from threading import Lock +from datetime import datetime +from vnpy.api.rest import Request, RestClient +from vnpy.api.websocket import WebsocketClient +from vnpy.event import Event +from vnpy.trader.event import EVENT_TIMER + +from vnpy.trader.constant import ( + Direction, + Exchange, + OrderType, + Product, + Status +) +from vnpy.trader.gateway import BaseGateway +from vnpy.trader.object import ( + TickData, + OrderData, + TradeData, + PositionData, + AccountData, + ContractData, + OrderRequest, + CancelRequest, + SubscribeRequest, +) + + +REST_HOST = "https://api.alpaca.markets" # Live trading +WEBSOCKET_HOST = "wss://api.alpaca.markets/stream" +PAPER_REST_HOST = "https://paper-api.alpaca.markets" # Paper Trading +PAPER_WEBSOCKET_HOST = "wss://paper-api.alpaca.markets/stream" + +DATA_REST_HOST = "https://data.alpaca.markets" + + +STATUS_ALPACA2VT = { + "new": Status.NOTTRADED, + "partially_filled": Status.PARTTRADED, + "filled": Status.ALLTRADED, + "canceled": Status.CANCELLED, + "expired": Status.CANCELLED, + "rejected": Status.REJECTED +} + +DIRECTION_VT2ALPACA = { + Direction.LONG: "buy", + Direction.SHORT: "sell" +} +DIRECTION_ALPACA2VT = { + "buy": Direction.LONG, + "sell": Direction.SHORT, + "long": Direction.LONG, + "short": Direction.SHORT +} + +ORDERTYPE_VT2ALPACA = { + OrderType.LIMIT: "limit", + OrderType.MARKET: "market" +} +ORDERTYPE_ALPACA2VT = {v: k for k, v in ORDERTYPE_VT2ALPACA.items()} + +LOCAL_SYS_MAP = {} + + +class AlpacaGateway(BaseGateway): + """ + VN Trader Gateway for Alpaca connection. + """ + + default_setting = { + "KEY ID": "", + "Secret Key": "", + "会话数": 10, + "服务器": ["REAL", "PAPER"] + } + + exchanges = [Exchange.SMART] + + def __init__(self, event_engine): + """Constructor""" + super().__init__(event_engine, "ALPACA") + + self.rest_api = AlpacaRestApi(self) + self.ws_api = AlpacaWebsocketApi(self) + self.data_rest_api = AlpacaDataRestApi(self) + + def connect(self, setting: dict): + """""" + key = setting["KEY ID"] + secret = setting["Secret Key"] + session = setting["会话数"] + server = setting["服务器"] + + rest_url = REST_HOST if server == "REAL" else PAPER_REST_HOST + websocket_url = WEBSOCKET_HOST if server == "REAL" else PAPER_WEBSOCKET_HOST + + self.rest_api.connect(key, secret, session, rest_url) + self.data_rest_api.connect(key, secret, session) + self.ws_api.connect(key, secret, websocket_url) + + self.init_query() + + def subscribe(self, req: SubscribeRequest): + """""" + self.data_rest_api.subscribe(req) + + def send_order(self, req: OrderRequest): + """""" + return self.rest_api.send_order(req) + + def cancel_order(self, req: CancelRequest): + """""" + self.rest_api.cancel_order(req) + + def query_account(self): + """""" + self.rest_api.query_account() + + def query_position(self): + """""" + self.rest_api.query_position() + + def close(self): + """""" + self.rest_api.stop() + self.data_rest_api.stop() + self.ws_api.stop() + + def init_query(self): + """""" + self.count = 0 + self.event_engine.register(EVENT_TIMER, self.process_timer_event) + + def process_timer_event(self, event: Event): + """""" + self.data_rest_api.query_bar() + + self.count += 1 + if self.count < 5: + return + self.count = 0 + + self.query_account() + self.query_position() + + +class AlpacaRestApi(RestClient): + """ + Alpaca REST API + """ + + def __init__(self, gateway: AlpacaGateway): + """""" + super().__init__() + + self.gateway = gateway + self.gateway_name = gateway.gateway_name + + self.key = "" + self.secret = "" + + self.order_count = 1_000_000 + self.order_count_lock = Lock() + + self.connect_time = 0 + + self.cancel_reqs = {} + + def sign(self, request): + """ + Generate Alpaca signature. + """ + headers = { + "APCA-API-KEY-ID": self.key, + "APCA-API-SECRET-KEY": self.secret, + "Content-Type": "application/json" + } + + request.headers = headers + request.allow_redirects = False + request.data = json.dumps(request.data) + return request + + def connect( + self, + key: str, + secret: str, + session_num: int, + url: str, + ): + """ + Initialize connection to REST server. + """ + self.key = key + self.secret = secret + + self.connect_time = ( + int(datetime.now().strftime("%y%m%d%H%M%S")) * self.order_count + ) + + self.init(url) + self.start(session_num) + + self.gateway.write_log("REST API启动成功") + self.query_contract() + self.query_account() + self.query_position() + self.query_order() + + def query_contract(self): + """""" + params = {"status": "active"} + + self.add_request( + "GET", + "/v2/assets", + params=params, + callback=self.on_query_contract + ) + + def query_account(self): + """""" + self.add_request( + method="GET", + path="/v2/account", + callback=self.on_query_account + ) + + def query_position(self): + """""" + self.add_request( + method="GET", + path="/v2/positions", + callback=self.on_query_position + ) + + def query_order(self): + """""" + params = { + "status": "open" + } + + self.add_request( + method="GET", + path="/v2/orders", + params=params, + callback=self.on_query_order + ) + + def _new_order_id(self): + """""" + with self.order_count_lock: + self.order_count += 1 + return self.order_count + + def send_order(self, req: OrderRequest): + """""" + local_orderid = str(self.connect_time + self._new_order_id()) + + data = { + "symbol": req.symbol, + "qty": str(req.volume), + "side": DIRECTION_VT2ALPACA[req.direction], + "type": ORDERTYPE_VT2ALPACA[req.type], + "time_in_force": "day", + "client_order_id": local_orderid + } + + if data["type"] == "limit": + data["limit_price"] = str(req.price) + + order = req.create_order_data(local_orderid, self.gateway_name) + self.gateway.on_order(order) + + self.add_request( + "POST", + "/v2/orders", + callback=self.on_send_order, + data=data, + extra=order, + on_failed=self.on_send_order_failed, + on_error=self.on_send_order_error, + ) + + return order.vt_orderid + + def cancel_order(self, req: CancelRequest): + """""" + sys_orderid = LOCAL_SYS_MAP.get(req.orderid, None) + if not sys_orderid: + self.cancel_reqs[req.orderid] = req + return + + path = f"/v2/orders/{sys_orderid}" + + self.add_request( + "DELETE", + path, + callback=self.on_cancel_order, + extra=req + ) + + def on_query_contract(self, data, request: Request): + """""" + for d in data: + symbol = d["symbol"] + + contract = ContractData( + symbol=symbol, + exchange=Exchange.SMART, + name=symbol, + product=Product.SPOT, + size=1, + pricetick=0.01, + gateway_name=self.gateway_name + ) + self.gateway.on_contract(contract) + + self.gateway.write_log("合约信息查询成功") + + def on_query_account(self, data, request): + """""" + account = AccountData( + accountid=data["id"], + balance=float(data["equity"]), + gateway_name=self.gateway_name + ) + self.gateway.on_account(account) + + def on_query_position(self, data, request): + """""" + for d in data: + position = PositionData( + symbol=d["symbol"], + exchange=Exchange.SMART, + direction=DIRECTION_ALPACA2VT[d["side"]], + volume=int(d["qty"]), + price=float(d["avg_entry_price"]), + pnl=float(d["unrealized_pl"]), + gateway_name=self.gateway_name, + ) + self.gateway.on_position(position) + + def update_order(self, d: dict): + """""" + sys_orderid = d["id"] + local_orderid = d["client_order_id"] + LOCAL_SYS_MAP[local_orderid] = sys_orderid + + direction = DIRECTION_ALPACA2VT[d["side"]] + order_type = ORDERTYPE_ALPACA2VT[d["type"]] + + order = OrderData( + orderid=local_orderid, + symbol=d["symbol"], + exchange=Exchange.SMART, + price=float(d["limit_price"]), + volume=float(d["qty"]), + type=order_type, + direction=direction, + traded=float(d["filled_qty"]), + status=STATUS_ALPACA2VT.get(d["status"], Status.SUBMITTING), + time=d["created_at"], + gateway_name=self.gateway_name, + ) + self.gateway.on_order(order) + + def on_query_order(self, data, request): + """""" + for d in data: + self.update_order(d) + + self.gateway.write_log("委托信息查询成功") + + def on_send_order(self, data, request: Request): + """""" + self.update_order(data) + + order = request.extra + if order.orderid in self.cancel_reqs: + req = self.cancel_reqs.pop(order.orderid) + self.cancel_order(req) + + def on_send_order_failed(self, status_code: int, request: Request): + """ + Callback to handle request failed. + """ + order = request.extra + order.status = Status.REJECTED + self.gateway.on_order(order) + + msg = f"请求失败，状态码：{status_code}，信息：{request.response.text}" + self.gateway.write_log(msg) + + def on_send_order_error( + self, exception_type: type, exception_value: Exception, tb, request: Request + ): + """ + Callback to handler request exception. + """ + order = request.extra + order.status = Status.REJECTED + self.gateway.on_order(order) + + msg = f"触发异常，状态码：{exception_type}，信息：{exception_value}" + self.gateway.write_log(msg) + + sys.stderr.write( + self.exception_detail(exception_type, exception_value, tb, request) + ) + + def on_cancel_order(self, data, request): + """""" + req = request.extra + msg = f"撤单成功，委托号：{req.orderid}" + self.gateway.write_log(msg) + + +class AlpacaWebsocketApi(WebsocketClient): + """""" + + def __init__(self, gateway: AlpacaGateway): + """""" + super().__init__() + + self.gateway = gateway + self.gateway_name = gateway.gateway_name + + self.trade_count = 0 + + self.key = "" + self.secret = "" + + def connect( + self, key: str, secret: str, url: str + ): + """""" + self.key = key + self.secret = secret + + self.init(url) + self.start() + + def authenticate(self): + """""" + params = { + "action": "authenticate", + "data": { + "key_id": self.key, + "secret_key": self.secret + } + } + self.send_packet(params) + + def on_authenticate(self, data): + """""" + if data["status"] == "authorized": + self.gateway.write_log("Websocket API登录成功") + else: + self.gateway.write_log("Websocket API登录失败") + return + + params = { + "action": "listen", + "data": { + "streams": ["trade_updates", "account_updates"] + } + } + self.send_packet(params) + + def on_connected(self): + """""" + self.gateway.write_log("Websocket API连接成功") + self.authenticate() + + def on_disconnected(self): + """""" + self.gateway.write_log("Websocket API连接断开") + + def on_packet(self, packet: dict): + """""" + stream = packet["stream"] + data = packet["data"] + + if stream == "authorization": + self.on_authenticate(data) + elif stream == "listening": + streams = data["streams"] + + if "trade_updates" in streams: + self.gateway.write_log("委托成交推送订阅成功") + + if "account_updates" in streams: + self.gateway.write_log("资金变化推送订阅成功") + + elif stream == "trade_updates": + self.on_order(data) + elif stream == "account_updates": + self.on_account(data) + + def on_order(self, data): + """""" + # Update order + d = data["order"] + sys_orderid = d["id"] + local_orderid = d["client_order_id"] + LOCAL_SYS_MAP[local_orderid] = sys_orderid + + direction = DIRECTION_ALPACA2VT[d["side"]] + order_type = ORDERTYPE_ALPACA2VT[d["type"]] + + order = OrderData( + orderid=local_orderid, + symbol=d["symbol"], + exchange=Exchange.SMART, + price=float(d["limit_price"]), + volume=float(d["qty"]), + type=order_type, + direction=direction, + traded=float(d["filled_qty"]), + status=STATUS_ALPACA2VT.get(d["status"], Status.SUBMITTING), + time=d["created_at"], + gateway_name=self.gateway_name, + ) + self.gateway.on_order(order) + + # Update Trade + event = data.get("event", "") + if event != "fill": + return + + self.trade_count += 1 + + trade = TradeData( + symbol=order.symbol, + exchange=order.exchange, + orderid=order.orderid, + tradeid=str(self.trade_count), + direction=order.direction, + price=float(data["price"]), + volume=int(data["qty"]), + time=data["timestamp"], + gateway_name=self.gateway_name + ) + self.gateway.on_trade(trade) + + def on_account(self, data): + """""" + account = AccountData( + accountid=data["id"], + balance=float(data["equity"]), + gateway_name=self.gateway_name + ) + self.gateway.on_account(account) + + +class AlpacaDataRestApi(RestClient): + """ + Alpaca Market Data REST API + """ + + def __init__(self, gateway: AlpacaGateway): + """""" + super().__init__() + + self.gateway = gateway + self.gateway_name = gateway.gateway_name + + self.key = "" + self.secret = "" + + self.symbols = set() + + def sign(self, request): + """ + Generate Alpaca signature. + """ + headers = { + "APCA-API-KEY-ID": self.key, + "APCA-API-SECRET-KEY": self.secret, + "Content-Type": "application/json" + } + + request.headers = headers + request.allow_redirects = False + return request + + def connect( + self, + key: str, + secret: str, + session_num: int + ): + """ + Initialize connection to REST server. + """ + self.key = key + self.secret = secret + + self.init(DATA_REST_HOST) + self.start(session_num) + + self.gateway.write_log("行情REST API启动成功") + + def subscribe(self, req: SubscribeRequest): + """""" + self.symbols.add(req.symbol) + + def query_bar(self): + """""" + if not self._active or not self.symbols: + return + + params = { + "symbols": ",".join(list(self.symbols)), + "limit": 1 + } + + self.add_request( + method="GET", + path="/v1/bars/1Min", + params=params, + callback=self.on_query_bar + ) + + def on_query_bar(self, data, request): + """""" + for symbol, buf in data.items(): + d = buf[0] + + tick = TickData( + symbol=symbol, + exchange=Exchange.SMART, + datetime=datetime.now(), + name=symbol, + open_price=d["o"], + high_price=d["h"], + low_price=d["l"], + last_price=d["c"], + gateway_name=self.gateway_name + ) + + self.gateway.on_tick(tick)