vn.py
GitHub
commit
f2c5882e03
@ -3,30 +3,31 @@ from vnpy.event import EventEngine
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from vnpy.trader.engine import MainEngine
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from vnpy.trader.ui import MainWindow, create_qapp
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from vnpy.gateway.binance import BinanceGateway
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from vnpy.gateway.bitmex import BitmexGateway
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from vnpy.gateway.futu import FutuGateway
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from vnpy.gateway.ib import IbGateway
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from vnpy.gateway.ctp import CtpGateway
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# from vnpy.gateway.binance import BinanceGateway
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# from vnpy.gateway.bitmex import BitmexGateway
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# from vnpy.gateway.futu import FutuGateway
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# from vnpy.gateway.ib import IbGateway
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# from vnpy.gateway.ctp import CtpGateway
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# from vnpy.gateway.ctptest import CtptestGateway
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from vnpy.gateway.femas import FemasGateway
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from vnpy.gateway.tiger import TigerGateway
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# from vnpy.gateway.femas import FemasGateway
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# from vnpy.gateway.tiger import TigerGateway
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# from vnpy.gateway.oes import OesGateway
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from vnpy.gateway.okex import OkexGateway
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from vnpy.gateway.huobi import HuobiGateway
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from vnpy.gateway.bitfinex import BitfinexGateway
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from vnpy.gateway.onetoken import OnetokenGateway
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from vnpy.gateway.okexf import OkexfGateway
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# from vnpy.gateway.okex import OkexGateway
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# from vnpy.gateway.huobi import HuobiGateway
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# from vnpy.gateway.bitfinex import BitfinexGateway
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# from vnpy.gateway.onetoken import OnetokenGateway
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# from vnpy.gateway.okexf import OkexfGateway
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# from vnpy.gateway.xtp import XtpGateway
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from vnpy.gateway.hbdm import HbdmGateway
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from vnpy.gateway.tap import TapGateway
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# from vnpy.gateway.hbdm import HbdmGateway
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# from vnpy.gateway.tap import TapGateway
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from vnpy.gateway.alpaca import AlpacaGateway
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from vnpy.app.cta_strategy import CtaStrategyApp
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from vnpy.app.csv_loader import CsvLoaderApp
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from vnpy.app.algo_trading import AlgoTradingApp
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from vnpy.app.cta_backtester import CtaBacktesterApp
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from vnpy.app.data_recorder import DataRecorderApp
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from vnpy.app.risk_manager import RiskManagerApp
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# from vnpy.app.cta_strategy import CtaStrategyApp
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# from vnpy.app.csv_loader import CsvLoaderApp
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# from vnpy.app.algo_trading import AlgoTradingApp
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# from vnpy.app.cta_backtester import CtaBacktesterApp
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# from vnpy.app.data_recorder import DataRecorderApp
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# from vnpy.app.risk_manager import RiskManagerApp
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def main():
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@ -37,30 +38,31 @@ def main():
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main_engine = MainEngine(event_engine)
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main_engine.add_gateway(BinanceGateway)
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main_engine.add_gateway(CtpGateway)
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# main_engine.add_gateway(BinanceGateway)
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# main_engine.add_gateway(CtpGateway)
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# main_engine.add_gateway(CtptestGateway)
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main_engine.add_gateway(FemasGateway)
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main_engine.add_gateway(IbGateway)
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main_engine.add_gateway(FutuGateway)
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main_engine.add_gateway(BitmexGateway)
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main_engine.add_gateway(TigerGateway)
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# main_engine.add_gateway(FemasGateway)
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# main_engine.add_gateway(IbGateway)
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# main_engine.add_gateway(FutuGateway)
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# main_engine.add_gateway(BitmexGateway)
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# main_engine.add_gateway(TigerGateway)
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# main_engine.add_gateway(OesGateway)
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main_engine.add_gateway(OkexGateway)
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main_engine.add_gateway(HuobiGateway)
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main_engine.add_gateway(BitfinexGateway)
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main_engine.add_gateway(OnetokenGateway)
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main_engine.add_gateway(OkexfGateway)
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main_engine.add_gateway(HbdmGateway)
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# main_engine.add_gateway(OkexGateway)
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# main_engine.add_gateway(HuobiGateway)
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# main_engine.add_gateway(BitfinexGateway)
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# main_engine.add_gateway(OnetokenGateway)
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# main_engine.add_gateway(OkexfGateway)
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# main_engine.add_gateway(HbdmGateway)
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# main_engine.add_gateway(XtpGateway)
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main_engine.add_gateway(TapGateway)
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# main_engine.add_gateway(TapGateway)
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main_engine.add_gateway(AlpacaGateway)
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main_engine.add_app(CtaStrategyApp)
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main_engine.add_app(CtaBacktesterApp)
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main_engine.add_app(CsvLoaderApp)
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main_engine.add_app(AlgoTradingApp)
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main_engine.add_app(DataRecorderApp)
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main_engine.add_app(RiskManagerApp)
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# main_engine.add_app(CtaStrategyApp)
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# main_engine.add_app(CtaBacktesterApp)
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# main_engine.add_app(CsvLoaderApp)
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# main_engine.add_app(AlgoTradingApp)
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# main_engine.add_app(DataRecorderApp)
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# main_engine.add_app(RiskManagerApp)
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main_window = MainWindow(main_engine, event_engine)
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main_window.showMaximized()
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@ -256,11 +256,14 @@ class RestClient(object):
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proxies=self.proxies,
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)
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request.response = response
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status_code = response.status_code
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if status_code // 100 == 2: # 2xx都算成功，尽管交易所都用200
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jsonBody = response.json()
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request.callback(jsonBody, request)
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if status_code // 100 == 2: # 2xx codes are all successful
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if status_code == 204:
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json_body = None
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else:
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json_body = response.json()
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request.callback(json_body, request)
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request.status = RequestStatus.success
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else:
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request.status = RequestStatus.failed
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1
vnpy/gateway/alpaca/__init__.py
Normal file
1
vnpy/gateway/alpaca/__init__.py
Normal file
@ -0,0 +1 @@
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from .alpaca_gateway import AlpacaGateway
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651
vnpy/gateway/alpaca/alpaca_gateway.py
Normal file
651
vnpy/gateway/alpaca/alpaca_gateway.py
Normal file
@ -0,0 +1,651 @@
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# encoding: UTF-8
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"""
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Author: vigarbuaa
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"""
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import sys
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import json
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from threading import Lock
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from datetime import datetime
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from vnpy.api.rest import Request, RestClient
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from vnpy.api.websocket import WebsocketClient
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from vnpy.event import Event
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from vnpy.trader.event import EVENT_TIMER
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from vnpy.trader.constant import (
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Direction,
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Exchange,
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OrderType,
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Product,
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Status
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)
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from vnpy.trader.gateway import BaseGateway
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from vnpy.trader.object import (
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TickData,
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OrderData,
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TradeData,
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PositionData,
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AccountData,
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ContractData,
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OrderRequest,
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CancelRequest,
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SubscribeRequest,
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)
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REST_HOST = "https://api.alpaca.markets" # Live trading
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WEBSOCKET_HOST = "wss://api.alpaca.markets/stream"
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PAPER_REST_HOST = "https://paper-api.alpaca.markets" # Paper Trading
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PAPER_WEBSOCKET_HOST = "wss://paper-api.alpaca.markets/stream"
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DATA_REST_HOST = "https://data.alpaca.markets"
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STATUS_ALPACA2VT = {
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"new": Status.NOTTRADED,
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"partially_filled": Status.PARTTRADED,
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"filled": Status.ALLTRADED,
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"canceled": Status.CANCELLED,
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"expired": Status.CANCELLED,
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"rejected": Status.REJECTED
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}
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DIRECTION_VT2ALPACA = {
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Direction.LONG: "buy",
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Direction.SHORT: "sell"
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}
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DIRECTION_ALPACA2VT = {
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"buy": Direction.LONG,
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"sell": Direction.SHORT,
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"long": Direction.LONG,
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"short": Direction.SHORT
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}
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ORDERTYPE_VT2ALPACA = {
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OrderType.LIMIT: "limit",
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OrderType.MARKET: "market"
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}
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ORDERTYPE_ALPACA2VT = {v: k for k, v in ORDERTYPE_VT2ALPACA.items()}
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LOCAL_SYS_MAP = {}
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class AlpacaGateway(BaseGateway):
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"""
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VN Trader Gateway for Alpaca connection.
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"""
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default_setting = {
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"KEY ID": "",
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"Secret Key": "",
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"会话数": 10,
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"服务器": ["REAL", "PAPER"]
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}
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exchanges = [Exchange.SMART]
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def __init__(self, event_engine):
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"""Constructor"""
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super().__init__(event_engine, "ALPACA")
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self.rest_api = AlpacaRestApi(self)
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self.ws_api = AlpacaWebsocketApi(self)
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self.data_rest_api = AlpacaDataRestApi(self)
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def connect(self, setting: dict):
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""""""
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key = setting["KEY ID"]
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secret = setting["Secret Key"]
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session = setting["会话数"]
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server = setting["服务器"]
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rest_url = REST_HOST if server == "REAL" else PAPER_REST_HOST
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websocket_url = WEBSOCKET_HOST if server == "REAL" else PAPER_WEBSOCKET_HOST
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self.rest_api.connect(key, secret, session, rest_url)
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self.data_rest_api.connect(key, secret, session)
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self.ws_api.connect(key, secret, websocket_url)
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self.init_query()
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def subscribe(self, req: SubscribeRequest):
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""""""
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self.data_rest_api.subscribe(req)
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def send_order(self, req: OrderRequest):
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""""""
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return self.rest_api.send_order(req)
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def cancel_order(self, req: CancelRequest):
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""""""
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self.rest_api.cancel_order(req)
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def query_account(self):
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""""""
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self.rest_api.query_account()
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def query_position(self):
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""""""
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self.rest_api.query_position()
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def close(self):
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""""""
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self.rest_api.stop()
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self.data_rest_api.stop()
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self.ws_api.stop()
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def init_query(self):
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""""""
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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 process_timer_event(self, event: Event):
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""""""
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self.data_rest_api.query_bar()
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self.count += 1
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if self.count < 5:
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return
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self.count = 0
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self.query_account()
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self.query_position()
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class AlpacaRestApi(RestClient):
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"""
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Alpaca REST API
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"""
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def __init__(self, gateway: AlpacaGateway):
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""""""
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super().__init__()
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self.gateway = gateway
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self.gateway_name = gateway.gateway_name
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self.key = ""
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self.secret = ""
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self.order_count = 1_000_000
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self.order_count_lock = Lock()
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self.connect_time = 0
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self.cancel_reqs = {}
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def sign(self, request):
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"""
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Generate Alpaca signature.
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"""
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headers = {
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"APCA-API-KEY-ID": self.key,
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"APCA-API-SECRET-KEY": self.secret,
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"Content-Type": "application/json"
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}
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request.headers = headers
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request.allow_redirects = False
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request.data = json.dumps(request.data)
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return request
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def connect(
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self,
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key: str,
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secret: str,
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session_num: int,
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url: str,
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):
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"""
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Initialize connection to REST server.
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"""
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self.key = key
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self.secret = secret
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self.connect_time = (
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int(datetime.now().strftime("%y%m%d%H%M%S")) * self.order_count
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)
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self.init(url)
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self.start(session_num)
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self.gateway.write_log("REST API启动成功")
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self.query_contract()
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self.query_account()
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self.query_position()
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self.query_order()
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def query_contract(self):
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""""""
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params = {"status": "active"}
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self.add_request(
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"GET",
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"/v2/assets",
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params=params,
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callback=self.on_query_contract
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)
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def query_account(self):
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""""""
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self.add_request(
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method="GET",
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path="/v2/account",
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callback=self.on_query_account
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)
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def query_position(self):
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""""""
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self.add_request(
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method="GET",
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path="/v2/positions",
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callback=self.on_query_position
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)
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def query_order(self):
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""""""
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params = {
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"status": "open"
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}
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self.add_request(
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method="GET",
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path="/v2/orders",
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params=params,
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callback=self.on_query_order
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)
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def _new_order_id(self):
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""""""
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with self.order_count_lock:
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self.order_count += 1
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return self.order_count
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def send_order(self, req: OrderRequest):
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""""""
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local_orderid = str(self.connect_time + self._new_order_id())
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data = {
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"symbol": req.symbol,
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"qty": str(req.volume),
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"side": DIRECTION_VT2ALPACA[req.direction],
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"type": ORDERTYPE_VT2ALPACA[req.type],
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"time_in_force": "day",
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"client_order_id": local_orderid
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}
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if data["type"] == "limit":
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data["limit_price"] = str(req.price)
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order = req.create_order_data(local_orderid, self.gateway_name)
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self.gateway.on_order(order)
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self.add_request(
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"POST",
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"/v2/orders",
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callback=self.on_send_order,
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data=data,
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extra=order,
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on_failed=self.on_send_order_failed,
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on_error=self.on_send_order_error,
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)
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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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sys_orderid = LOCAL_SYS_MAP.get(req.orderid, None)
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if not sys_orderid:
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self.cancel_reqs[req.orderid] = req
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return
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path = f"/v2/orders/{sys_orderid}"
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self.add_request(
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"DELETE",
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path,
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callback=self.on_cancel_order,
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extra=req
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)
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def on_query_contract(self, data, request: Request):
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""""""
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for d in data:
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symbol = d["symbol"]
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contract = ContractData(
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symbol=symbol,
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exchange=Exchange.SMART,
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name=symbol,
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product=Product.SPOT,
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size=1,
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pricetick=0.01,
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gateway_name=self.gateway_name
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)
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self.gateway.on_contract(contract)
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self.gateway.write_log("合约信息查询成功")
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def on_query_account(self, data, request):
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""""""
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account = AccountData(
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accountid=data["id"],
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balance=float(data["equity"]),
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gateway_name=self.gateway_name
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)
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self.gateway.on_account(account)
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def on_query_position(self, data, request):
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""""""
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for d in data:
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position = PositionData(
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symbol=d["symbol"],
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exchange=Exchange.SMART,
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direction=DIRECTION_ALPACA2VT[d["side"]],
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volume=int(d["qty"]),
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price=float(d["avg_entry_price"]),
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pnl=float(d["unrealized_pl"]),
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gateway_name=self.gateway_name,
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)
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self.gateway.on_position(position)
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def update_order(self, d: dict):
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""""""
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sys_orderid = d["id"]
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local_orderid = d["client_order_id"]
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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)
|
||||
Loading…
Reference in New Issue
Block a user