[Add] New gateway for Futu Securities

2019-01-11 23:54:01 +08:00 · 2019-01-11 23:54:01 +08:00 · f3b2f506ed
commit f3b2f506ed
parent 857b0c243c
8 changed files with 532 additions and 7 deletions
--- a/requirements.txt
+++ b/requirements.txt
@ -1,2 +1,3 @@
 PyQt5
 qdarkstyle
+futu-api
--- a/tests/trader/run.py
+++ b/tests/trader/run.py
@ -2,6 +2,7 @@ from vnpy.event import EventEngine
 from vnpy.trader.engine import MainEngine
 from vnpy.trader.ui import MainWindow, create_qapp
 from vnpy.gateway.ib import IbGateway
+from vnpy.gateway.futu import FutuGateway

 import os
 import logging
@ -16,6 +17,7 @@ def main():

    main_engine = MainEngine(event_engine)
    main_engine.add_gateway(IbGateway)
+    main_engine.add_gateway(FutuGateway)

    main_window = MainWindow(main_engine, event_engine)
    main_window.showMaximized()
--- a/vnpy/gateway/futu/init.py
+++ b/vnpy/gateway/futu/init.py
@ -0,0 +1 @@
+from .futu_gateway import FutuGateway
--- a/vnpy/gateway/futu/futu_gateway.py
+++ b/vnpy/gateway/futu/futu_gateway.py
@ -0,0 +1,517 @@
+# encoding: UTF-8
+"""
+Please install futu-api before use.
+"""
+
+from threading import Thread
+from time import sleep
+from datetime import datetime
+from copy import copy
+
+from futu import (
+    OpenQuoteContext,
+    OpenHKTradeContext,
+    OpenUSTradeContext,
+    RET_ERROR,
+    RET_OK,
+    TrdEnv,
+    TrdSide,
+    OrderType,
+    OrderStatus,
+    ModifyOrderOp,
+    StockQuoteHandlerBase,
+    OrderBookHandlerBase,
+    TradeOrderHandlerBase,
+    TradeDealHandlerBase
+)
+
+from vnpy.trader.gateway import BaseGateway
+from vnpy.trader.constant import (
+    PRODUCT_EQUITY,
+    PRODUCT_INDEX,
+    PRODUCT_ETF,
+    PRODUCT_WARRANT,
+    PRODUCT_BOND,
+    DIRECTION_LONG,
+    DIRECTION_SHORT,
+    STATUS_SUBMITTING,
+    STATUS_NOTTRADED,
+    STATUS_PARTTRADED,
+    STATUS_ALLTRADED,
+    STATUS_CANCELLED,
+    STATUS_REJECTED,
+    EXCHANGE_SEHK,
+    EXCHANGE_HKFE,
+    EXCHANGE_SMART
+)
+from vnpy.trader.object import (
+    TickData,
+    OrderData,
+    TradeData,
+    ContractData,
+    PositionData,
+    AccountData,
+    SubscribeRequest,
+    OrderRequest,
+    CancelRequest
+)
+from vnpy.trader.event import EVENT_TIMER
+
+EXCHANGE_VT2FUTU = {
+    EXCHANGE_SMART: "US",
+    EXCHANGE_SEHK: "HK",
+    EXCHANGE_HKFE: "HK_FUTURE"
+}
+EXCHANGE_FUTU2VT = {v: k for k, v in EXCHANGE_VT2FUTU.items()}
+
+PRODUCT_VT2FUTU = {
+    PRODUCT_EQUITY: "STOCK",
+    PRODUCT_INDEX: "IDX",
+    PRODUCT_ETF: "ETF",
+    PRODUCT_WARRANT: "WARRANT",
+    PRODUCT_BOND: "BOND"
+}
+
+DIRECTION_VT2FUTU = {DIRECTION_LONG: TrdSide.BUY, DIRECTION_SHORT: TrdSide.SELL}
+DIRECTION_FUTU2VT = {v: k for k, v in DIRECTION_VT2FUTU.items()}
+
+STATUS_FUTU2VT = {
+    OrderStatus.NONE: STATUS_SUBMITTING,
+    OrderStatus.SUBMITTED: STATUS_NOTTRADED,
+    OrderStatus.FILLED_PART: STATUS_PARTTRADED,
+    OrderStatus.FILLED_ALL: STATUS_ALLTRADED,
+    OrderStatus.CANCELLED_ALL: STATUS_CANCELLED,
+    OrderStatus.CANCELLED_PART: STATUS_CANCELLED,
+    OrderStatus.SUBMIT_FAILED: STATUS_REJECTED,
+    OrderStatus.FAILED: STATUS_REJECTED,
+    OrderStatus.DISABLED: STATUS_CANCELLED,
+}
+
+
+class FutuGateway(BaseGateway):
+    """"""
+
+    default_setting = {
+        "password": "123123",
+        "market": "HK",
+        "env": "REAL",
+        "host": "127.0.0.1",
+        "port": 11111
+    }
+
+    def __init__(self, event_engine):
+        """Constructor"""
+        super(FutuGateway, self).__init__(event_engine, "FUTU")
+
+        self.quote_ctx = None
+        self.trade_ctx = None
+
+        self.host = ""
+        self.ip = 0
+        self.market = ""
+        self.password = ""
+        self.env = TrdEnv.SIMULATE
+
+        self.ticks = {}
+        self.trades = set()
+        self.thread = Thread(target=self.query_data)
+
+        # For query function.
+        self.count = 0
+        self.interval = 1
+        self.query_funcs = [self.query_account, self.query_position]
+
+    def connect(self, setting: dict):
+        """"""
+        self.host = setting["host"]
+        self.port = setting["port"]
+        self.market = setting["market"]
+        self.password = setting["password"]
+        self.env = setting["env"]
+
+        self.connect_quote()
+        self.connect_trade()
+
+        self.thread.start()
+
+    def query_data(self):
+        """
+        Query all data necessary.
+        """
+        sleep(2.0) # Wait 2 seconds till connection completed.
+
+        self.query_contract()
+        self.query_trade()
+        self.query_order()
+        self.query_position()
+        self.query_account()
+
+        # Start fixed interval query.
+        self.event_engine.register(EVENT_TIMER, self.process_timer_event)
+
+    def process_timer_event(self, event):
+        """"""
+        self.count += 1
+        if self.count < self.interval:
+            return
+        self.count = 0
+        func = self.query_funcs.pop(0)
+        func()
+        self.query_funcs.append(func)
+
+    def connect_quote(self):
+        """
+        Connect to market data server.
+        """
+        self.quote_ctx = OpenQuoteContext(self.host, self.port)
+
+        class QuoteHandler(StockQuoteHandlerBase):
+            gateway = self
+
+            def on_recv_rsp(self, rsp_str):
+                ret_code, content = super(QuoteHandler, self).on_recv_rsp(rsp_str)
+                if ret_code != RET_OK:
+                    return RET_ERROR, content
+                self.gateway.process_quote(content)
+                return RET_OK, content
+
+        class OrderBookHandler(OrderBookHandlerBase):
+            gateway = self
+
+            def on_recv_rsp(self, rsp_str):
+                ret_code, content = super(OrderBookHandler, self).on_recv_rsp(rsp_str)
+                if ret_code != RET_OK:
+                    return RET_ERROR, content
+                self.gateway.process_orderbook(content)
+                return RET_OK, content
+
+        self.quote_ctx.set_handler(QuoteHandler())
+        self.quote_ctx.set_handler(OrderBookHandler())
+        self.quote_ctx.start()
+
+        self.write_log("行情接口连接成功")
+
+    def connect_trade(self):
+        """
+        Connect to trade server.
+        """
+        # Initialize context according to market.
+        if self.market == "US":
+            self.trade_ctx = OpenUSTradeContext(self.host, self.port)
+        else:
+            self.trade_ctx = OpenHKTradeContext(self.host, self.port)
+
+        # Implement handlers.
+        class OrderHandler(TradeOrderHandlerBase):
+            gateway = self
+
+            def on_recv_rsp(self, rsp_str):
+                ret_code, content = super(OrderHandler, self).on_recv_rsp(rsp_str)
+                if ret_code != RET_OK:
+                    return RET_ERROR, content
+                self.gateway.process_order(content)
+                return RET_OK, content
+
+        class DealHandler(TradeDealHandlerBase):
+            gateway = self
+
+            def on_recv_rsp(self, rsp_str):
+                ret_code, content = super(DealHandler, self).on_recv_rsp(rsp_str)
+                if ret_code != RET_OK:
+                    return RET_ERROR, content
+                self.gateway.process_deal(content)
+                return RET_OK, content
+
+        # Unlock to allow trading.
+        code, data = self.trade_ctx.unlock_trade(self.password)
+        if code == RET_OK:
+            self.write_log("交易接口解锁成功")
+        else:
+            self.write_log(f"交易接口解锁失败，原因：{data}")
+
+        # Start context.
+        self.trade_ctx.set_handler(OrderHandler())
+        self.trade_ctx.set_handler(DealHandler())
+        self.trade_ctx.start()
+        self.write_log("交易接口连接成功")
+
+    def subscribe(self, req):
+        """"""
+        for data_type in ["QUOTE", "ORDER_BOOK"]:
+            futu_symbol = convert_symbol_vt2futu(req.symbol, req.exchange)
+            code, data = self.quote_ctx.subscribe(futu_symbol, data_type, True)
+
+            if code:
+                self.write_log(f"订阅行情失败：{data}")
+
+    def send_order(self, req):
+        """"""
+        side = DIRECTION_VT2FUTU[req.direction]
+        price_type = OrderType.NORMAL # Only limit order is supported.
+
+        # Set price adjustment mode to inside adjustment.
+        if req.direction == DIRECTION_LONG:
+            adjust_limit = 0.05
+        else:
+            adjust_limit = -0.05
+
+        futu_symbol = convert_symbol_vt2futu(req.symbol, req.exchange)
+        code, data = self.trade_ctx.place_order(
+            eq.price,
+            req.volume,
+            futu_symbol,
+            side,
+            price_type,
+            trd_env=self.env,
+            adjust_limit=adjust_limit
+        )
+
+        if code:
+            self.write_log(f"委托失败：{data}")
+            return ""
+
+        for ix, row in data.iterrows():
+            orderid = str(row["order_id"])
+
+        vt_orderid = f"{self.gateway_name}.{orderid}"
+        return vt_orderid
+
+    def cancel_order(self, req):
+        """"""
+        code, data = self.trade_ctx.modify_order(
+            ModifyOrderOp.CANCEL,
+            req.orderid,
+            0,
+            0,
+            trd_env=self.env)
+
+        if code:
+            self.write_log(f"撤单失败：{data}")
+
+    def query_contract(self):
+        """"""
+        for product, futu_product in PRODUCT_VT2FUTU.items():
+            code, data = self.quote_ctx.get_stock_basicinfo(self.market, futu_product)
+
+            if code:
+                self.write_log(f"查询合约信息失败：{data}")
+                return
+
+            for ix, row in data.iterrows():
+                symbol, exchange = convert_symbol_futu2vt(row["code"])
+                contract = ContractData(
+                    symbol=symbol,
+                    exchange=exchange,
+                    name=row["name"],
+                    product=product,
+                    size=int(row["lot_size"]),
+                    pricetick=0.001,
+                    gateway_name=self.gateway_name
+                )
+                self.on_contract(contract)
+
+        self.write_log("合约信息查询成功")
+
+    def query_account(self):
+        """"""
+        code, data = self.trade_ctx.accinfo_query(trd_env=self.env, acc_id=0)
+
+        if code:
+            self.write_log(f"查询账户资金失败：{data}")
+            return
+
+        for ix, row in data.iterrows():
+            account = AccountData(
+                accountid=f"{self.gateway_name}_{self.market}",
+                balance=float(row["total_assets"]),
+                frozen=(
+                    float(row["total_assets"]) -
+                    float(row["avl_withdrawal_cash"])
+                ),
+                gateway_name=self.gateway_name
+            )
+            self.on_account(account)
+
+    def query_position(self):
+        """"""
+        code, data = self.trade_ctx.position_list_query(trd_env=self.env, acc_id=0)
+
+        if code:
+            self.write_log(f"查询持仓失败：{data}")
+            return
+
+        for ix, row in data.iterrows():
+            symbol, exchange = convert_symbol_futu2vt(row["code"])
+            pos = PositionData(
+                symbol=symbol,
+                exchange=exchange,
+                direction=DIRECTION_LONG,
+                volume=float(row["qty"]),
+                frozen=(float(row["qty"]) - float(row["can_sell_qty"])),
+                price=float(row["pl_val"]),
+                pnl=float(row["cost_price"]),
+                gateway_name=self.gateway_name
+            )
+
+            self.on_position(pos)
+
+    def query_order(self):
+        """"""
+        code, data = self.trade_ctx.order_list_query("", trd_env=self.env)
+
+        if code:
+            self.write_log(f"查询委托失败：{data}")
+            return
+
+        self.process_order(data)
+        self.write_log("委托查询成功")
+
+    def query_trade(self):
+        """"""
+        code, data = self.trade_ctx.deal_list_query("", trd_env=self.env)
+
+        if code:
+            self.write_log(f"查询成交失败：{data}")
+            return
+
+        self.process_deal(data)
+        self.write_log("成交查询成功")
+
+    def close(self):
+        """"""
+        if self.quote_ctx:
+            self.quote_ctx.close()
+
+        if self.trade_ctx:
+            self.trade_ctx.close()
+
+    def get_tick(self, code):
+        """
+        Get tick buffer.
+        """
+        tick = self.ticks.get(code, None)
+        symbol, exchange = convert_symbol_futu2vt(code)
+        if not tick:
+            tick = TickData(
+                symbol=symbol,
+                exchange=exchange,
+                datatime=datetime.now(),
+                gateway_name=self.gateway_name
+            )
+            self.ticks[code] = tick
+        return tick
+
+    def process_quote(self, data):
+        """报价推送"""
+        for ix, row in data.iterrows():
+            symbol = row["code"]
+
+            tick = self.get_tick(symbol)
+
+            date = row["data_date"].replace("-", "")
+            time = row["data_time"]
+            tick.datetime = datetime.strptime(
+                f"{date} {time}",
+                "%Y%m%d %H:%M:%S"
+            )
+            tick.open_price = row["open_price"]
+            tick.high_price = row["high_price"]
+            tick.low_price = row["low_price"]
+            tick.pre_close = row["prev_close_price"]
+            tick.last_price = row["last_price"]
+            tick.volume = row["volume"]
+
+            if "price_spread" in row:
+                spread = row["price_spread"]
+                tick.limit_up = tick.last_price + spread * 10
+                tick.limit_down = tick.last_price - spread * 10
+
+            self.on_tick(copy(tick))
+
+    def process_orderbook(self, data):
+        """"""
+        symbol = data["code"]
+        tick = self.get_tick(symbol)
+
+        d = tick.__dict__
+        for i in range(5):
+            bid_data = data["Bid"][i]
+            ask_data = data["Ask"][i]
+            n = i + 1
+
+            d["bid_price%s" % n] = bidData[0]
+            d["bid_volume%s" % n] = bidData[1]
+            d["ask_price%s" % n] = askData[0]
+            d["ask_volume%s" % n] = askData[1]
+
+        if tick.datetime:
+            self.on_tick(copy(tick))
+
+    def process_order(self, data):
+        """
+        Process order data for both query and update.
+        """
+        for ix, row in data.iterrows():
+            # Ignore order with status DELETED
+            if row["order_status"] == OrderStatus.DELETED:
+                continue
+
+            symbol, exchange = convert_symbol_futu2vt(row["code"])
+            order = OrderData(
+                symbol=symbol,
+                exchange=exchange,
+                orderid=str(row["order_id"]),
+                direction=DIRECTION_FUTU2VT[row["trd_side"]],
+                price=float(row["price"]),
+                volume=float(row["qty"]),
+                traded=float(row["dealt_qty"]),
+                status=STATUS_FUTU2VT[row["order_status"]],
+                time=row["create_time"].split(" ")[-1],
+                gateway_name=self.gateway_name
+            )
+
+            self.on_order(order)
+
+    def process_deal(self, data):
+        """
+        Process trade data for both query and update.
+        """
+        for ix, row in data.iterrows():
+            tradeid = str(row["deal_id"])
+            if tradeid in self.trades:
+                continue
+            self.trades.add(tradeID)
+
+            symbol, exchange = convert_symbol_futu2vt(row["code"])
+            trade = TradeData(
+                symbol=symbol,
+                exchange=exchange,
+                direction=DIRECTION_FUTU2VT[row["trd_side"]],
+                tradeid=tradeid,
+                orderid=row["order_id"],
+                price=float(row["price"]),
+                volume=float(row["qty"]),
+                time=row["create_time"].split(" ")[-1],
+                gateway_name=self.gateway_name
+            )
+
+            self.on_trade(trade)
+
+
+def convert_symbol_futu2vt(code):
+    """
+    Convert symbol from futu to vt.
+    """
+    code_list = code.split(".")
+    futu_exchange = code_list[0]
+    futu_symbol = ".".join(code_list[1:])
+    exchange = EXCHANGE_FUTU2VT[futu_exchange]
+    return futu_symbol, exchange
+
+
+def convert_symbol_vt2futu(symbol, exchange):
+    """
+    Convert symbol from vt to futu.
+    """
+    futu_exchange = EXCHANGE_VT2FUTU[exchange]
+    return f"{futu_exchange}.{symbol}"
--- a/vnpy/gateway/ib/ib_gateway.py
+++ b/vnpy/gateway/ib/ib_gateway.py
@ -25,7 +25,6 @@ from vnpy.trader.object import (
    ContractData,
    PositionData,
    AccountData,
-    LogData,
    SubscribeRequest,
    OrderRequest,
    CancelRequest
@ -45,7 +44,7 @@ from vnpy.trader.constant import (
    EXCHANGE_NYMEX,
    EXCHANGE_GLOBEX,
    EXCHANGE_IDEALPRO,
-    EXCHANGE_HKEX,
+    EXCHANGE_SEHK,
    EXCHANGE_HKFE,
    EXCHANGE_CME,
    EXCHANGE_ICE,
@ -77,7 +76,7 @@ EXCHANGE_VT2IB = {
    EXCHANGE_IDEALPRO: "IDEALPRO",
    EXCHANGE_CME: "CME",
    EXCHANGE_ICE: "ICE",
-    EXCHANGE_HKEX: "SEHK",
+    EXCHANGE_SEHK: "SEHK",
    EXCHANGE_HKFE: "HKFE"
 }
 EXCHANGE_IB2VT = {v: k for k, v in EXCHANGE_VT2IB.items()}
--- a/vnpy/trader/constant.py
+++ b/vnpy/trader/constant.py
@ -24,6 +24,9 @@ PRODUCT_OPTION = "期权"
 PRODUCT_INDEX = "指数"
 PRODUCT_FOREX = "外汇"
 PRODUCT_SPOT = "现货"
+PRODUCT_ETF = "ETF"
+PRODUCT_BOND = "债券"
+PRODUCT_WARRANT = "权证"

 PRICETYPE_LIMIT = "限价"
 PRICETYPE_MARKET = "市价"
@ -48,7 +51,7 @@ EXCHANGE_GLOBEX = "GLOBEX"
 EXCHANGE_IDEALPRO = "IDEALPRO"
 EXCHANGE_CME = "CME"
 EXCHANGE_ICE = "ICE"
-EXCHANGE_HKEX = "HKEX"
+EXCHANGE_SEHK = "SEHK"
 EXCHANGE_HKFE = "HKFE"

 CURRENCY_USD = "USD"
--- a/vnpy/trader/object.py
+++ b/vnpy/trader/object.py
@ -35,6 +35,8 @@ class TickData(BaseData):
    volume: float = 0
    last_price: float = 0
    last_volume: float = 0
+    limit_up: float = 0
+    limit_down: float = 0

    open_price: float = 0
    high_price: float = 0
--- a/vnpy/trader/ui/widget.py
+++ b/vnpy/trader/ui/widget.py
@ -12,7 +12,7 @@ from ..constant import (DIRECTION_LONG, DIRECTION_SHORT, DIRECTION_NET,
                        OFFSET_OPEN, OFFSET_CLOSE, OFFSET_CLOSETODAY, OFFSET_CLOSEYESTERDAY,
                        PRICETYPE_LIMIT, PRICETYPE_MARKET, PRICETYPE_FAK, PRICETYPE_FOK,
                        EXCHANGE_CFFEX, EXCHANGE_SHFE, EXCHANGE_DCE, EXCHANGE_CZCE, EXCHANGE_SSE,
-                        EXCHANGE_SZSE, EXCHANGE_SGE, EXCHANGE_HKEX, EXCHANGE_HKFE, EXCHANGE_SMART,
+                        EXCHANGE_SZSE, EXCHANGE_SGE, EXCHANGE_SEHK, EXCHANGE_HKFE, EXCHANGE_SMART,
                        EXCHANGE_ICE, EXCHANGE_CME, EXCHANGE_NYMEX, EXCHANGE_GLOBEX, EXCHANGE_IDEALPRO)
 from ..engine import MainEngine
 from ..event import (EVENT_TICK, EVENT_ORDER, EVENT_TRADE, EVENT_ACCOUNT,
@ -692,7 +692,7 @@ class TradingWidget(QtWidgets.QWidget):
            EXCHANGE_CZCE,
            EXCHANGE_SSE,
            EXCHANGE_SZSE,
-            EXCHANGE_HKEX,
+            EXCHANGE_SEHK,
            EXCHANGE_HKFE,
            EXCHANGE_SMART,
            EXCHANGE_ICE,