[Add] da_gateway for Direct Access Futures

examples/vn_trader/run.py

@@ -11,21 +11,22 @@ from vnpy.trader.ui import MainWindow, create_qapp
 # from vnpy.gateway.ctp import CtpGateway
 # from vnpy.gateway.ctptest import CtptestGateway
 # from vnpy.gateway.mini import MiniGateway
-from vnpy.gateway.sopt import SoptGateway
+# from vnpy.gateway.sopt import SoptGateway
 # from vnpy.gateway.minitest import MinitestGateway
 # 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.okex import OkexGateway
 # from vnpy.gateway.huobi import HuobiGateway
-from vnpy.gateway.bitfinex import BitfinexGateway
+# from vnpy.gateway.bitfinex import BitfinexGateway
 # from vnpy.gateway.onetoken import OnetokenGateway
-from vnpy.gateway.okexf import OkexfGateway
+# 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.gateway.da import DaGateway
 
 from vnpy.app.cta_strategy import CtaStrategyApp
 # from vnpy.app.csv_loader import CsvLoaderApp
@@ -49,7 +50,7 @@ def main():
     # main_engine.add_gateway(CtpGateway)
     # main_engine.add_gateway(CtptestGateway)
     # main_engine.add_gateway(MiniGateway)
-    main_engine.add_gateway(SoptGateway)
+    #
     # main_engine.add_gateway(MinitestGateway)
     # main_engine.add_gateway(FemasGateway)
     # main_engine.add_gateway(IbGateway)
@@ -67,6 +68,7 @@ def main():
     # main_engine.add_gateway(TapGateway)
     # main_engine.add_gateway(ToraGateway)
     # main_engine.add_gateway(AlpacaGateway)
+    main_engine.add_gateway(DaGateway)
 
     main_engine.add_app(CtaStrategyApp)
     main_engine.add_app(CtaBacktesterApp)

vnpy/api/da/Config/Live.ini

@@ -1,2 +0,0 @@
-[A]
-LocalID=13499

vnpy/api/da/Config/Option.ini

@@ -1,5 +0,0 @@
-[Generel]
-SUB=HKEX,00001.HK;
-SHOW=
-ApiLog=1
-Stock=1

vnpy/api/da/__init__.py

@@ -0,0 +1,4 @@
+from .vndamarket import MarketApi
+from .vndafuture import FutureApi
+from .vndastock import StockApi
+from .da_constant import *

vnpy/api/da/da_constant.py

@@ -0,0 +1,15 @@
+DA_STR_SIZE = 256
+MAX_BROKER = 4096
+DAAPI_VERSION = "1.12"
+OS_NAME = "Windows"
+OS_NAME = "Linux"
+MAX_SUB_COUNT = 20
+DAF_TYPE_Stock = 'S'
+DAF_TYPE_Future = 'D'
+DAF_TYPE_Unknown = 0
+DAF_SUB_Append = '1'
+DAF_SUB_Replace = '2'
+DAF_SUB_Unsubcribe = '3'
+DAF_SUB_UnsubcribeAll = '4'
+DAF_Market_Full = 'Z'
+DAF_Market_Fill = 'Y'

vnpy/api/da/vnda/vndamarket/vndamarket.h

@@ -20,16 +20,12 @@ using namespace std;
 class MarketApi : public IMarketEvent
 {
 private:
-	CMarketApi* api;            //API¶ÔÏó
-	
-public:
-	MarketApi()
-	{
-	};
+	CMarketApi *api; //API¶ÔÏó
 
-	~MarketApi()
-	{
-	};
+public:
+	MarketApi(){};
+
+	~MarketApi(){};
 
 	//-------------------------------------------------------------------------------------
 	//API回调函数
@@ -39,7 +35,7 @@ public:
 	void OnFrontDisconnected(int iReason);
 	void OnHeartBeatWarning(int iTimeLapse);
 
-	void OnRspRawData(const char* rawData);
+	void OnRspRawData(const char *rawData);
 	void OnRspUserLogin(CMarketRspInfoField *pRspInfo, int iRequestID, bool bIsLast);
 	void OnRspTradeDate(CMarketRspTradeDateField *pRspTradeDate, CMarketRspInfoField *pRspInfo, int iRequestID, bool bIsLast);
 	void OnRspBrokerData(CMarketRspBrokerDataField *pRspBrokerData, CMarketRspInfoField *pRspInfo, int iRequestID, bool bIsLast);
@@ -49,24 +45,25 @@ public:
 	//Python回调函数
 	//-------------------------------------------------------------------------------------
 
-	virtual void onFrontConnected() {};
+	virtual void onFrontConnected(){};
 
-	virtual void onFrontDisconnected(int reqid) {};
+	virtual void onFrontDisconnected(int reqid){};
 
-	virtual void onHeartBeatWarning(int reqid) {};
+	virtual void onHeartBeatWarning(int reqid){};
 
-	virtual void onRspRawData(string data) {};
+	virtual void onRspRawData(string data){};
 
-	virtual void onRspUserLogin(const dict &error, int reqid, bool last) {};
+	virtual void onRspUserLogin(const dict &error, int reqid, bool last){};
 
-	virtual void onRspTradeDate(const dict &data, const dict &error, int reqid, bool last) {};
+	virtual void onRspTradeDate(const dict &data, const dict &error, int reqid, bool last){};
 
-	virtual void onRspBrokerData(const dict &data, const dict &error, int reqid, bool last) {};
+	virtual void onRspBrokerData(const dict &data, const dict &error, int reqid, bool last){};
 
-	virtual void onRspMarketData(const dict &data, const dict &error, int reqid, bool last) {};
+	virtual void onRspMarketData(const dict &data, const dict &error, int reqid, bool last){};
 
 	//-------------------------------------------------------------------------------------
 	//req:主动函数的请求字典
+
 	//-------------------------------------------------------------------------------------
 
 	string getVersion();

vnpy/gateway/da/__init__.py

@@ -0,0 +1 @@
+from .da_gateway import DaGateway

vnpy/gateway/da/da_gateway.py

@@ -0,0 +1,773 @@
+"""
+"""
+
+from datetime import datetime
+from threading import Thread
+
+import wmi
+
+from vnpy.api.da import (
+    MarketApi, 
+    FutureApi,
+    DAF_SUB_Append,
+    DAF_TYPE_Future
+)
+from vnpy.trader.constant import (
+    Direction,
+    Offset,
+    Exchange,
+    OrderType,
+    Product,
+    Status,
+    OptionType
+)
+from vnpy.trader.gateway import BaseGateway
+from vnpy.trader.object import (
+    TickData,
+    OrderData,
+    TradeData,
+    PositionData,
+    AccountData,
+    ContractData,
+    OrderRequest,
+    CancelRequest,
+    SubscribeRequest,
+)
+from vnpy.trader.utility import get_folder_path
+from vnpy.trader.event import EVENT_TIMER
+
+
+# STATUS_DA2VT = {
+#     THOST_FTDC_OAS_Submitted: Status.SUBMITTING,
+#     THOST_FTDC_OAS_Accepted: Status.SUBMITTING,
+#     THOST_FTDC_OAS_Rejected: Status.REJECTED,
+#     THOST_FTDC_OST_NoTradeQueueing: Status.NOTTRADED,
+#     THOST_FTDC_OST_PartTradedQueueing: Status.PARTTRADED,
+#     THOST_FTDC_OST_AllTraded: Status.ALLTRADED,
+#     THOST_FTDC_OST_Canceled: Status.CANCELLED
+# }
+
+# DIRECTION_VT2DA = {
+#     Direction.LONG: THOST_FTDC_D_Buy,
+#     Direction.SHORT: THOST_FTDC_D_Sell
+# }
+# DIRECTION_DA2VT = {v: k for k, v in DIRECTION_VT2DA.items()}
+# DIRECTION_DA2VT[THOST_FTDC_PD_Long] = Direction.LONG
+# DIRECTION_DA2VT[THOST_FTDC_PD_Short] = Direction.SHORT
+
+# ORDERTYPE_VT2DA = {
+#     OrderType.LIMIT: THOST_FTDC_OPT_LimitPrice,
+#     OrderType.MARKET: THOST_FTDC_OPT_AnyPrice
+# }
+# ORDERTYPE_DA2VT = {v: k for k, v in ORDERTYPE_VT2DA.items()}
+
+# OFFSET_VT2DA = {
+#     Offset.OPEN: THOST_FTDC_OF_Open,
+#     Offset.CLOSE: THOST_FTDC_OFEN_Close,
+#     Offset.CLOSETODAY: THOST_FTDC_OFEN_CloseToday,
+#     Offset.CLOSEYESTERDAY: THOST_FTDC_OFEN_CloseYesterday,
+# }
+# OFFSET_DA2VT = {v: k for k, v in OFFSET_VT2DA.items()}
+
+EXCHANGE_DA2VT = {
+    "APEX": Exchange.APEX,
+    # "SGXQ": Exchange.SGX,
+    # "NYMEX": Exchange.NYMEX,
+    # "LME": Exchange.LME,
+    # "CME_CBT": Exchange.CBOT,
+    # "HKEX": Exchange.HKFE,
+    # "CME": Exchange.CME,
+    # "TOCOM": Exchange.TOCOM,
+    # "KRX": Exchange.KRX,
+    # "ICE": Exchange.ICE
+}
+EXCHANGE_VT2DA = {v: k for k, v in EXCHANGE_DA2VT.items()}
+
+PRODUCT_DA2VT = {
+    "F": Product.FUTURES,
+    "O": Product.OPTION,
+}
+
+# OPTIONTYPE_DA2VT = {
+#     THOST_FTDC_CP_CallOptions: OptionType.CALL,
+#     THOST_FTDC_CP_PutOptions: OptionType.PUT
+# }
+
+
+symbol_exchange_map = {}
+symbol_name_map = {}
+symbol_size_map = {}
+
+
+class DaGateway(BaseGateway):
+    """
+    VN Trader Gateway for DA .
+    """
+
+    default_setting = {
+        "用户名": "",
+        "密码": "",
+        "交易服务器": "",
+        "行情服务器": "",
+        "授权码": ""
+    }
+
+    exchanges = list(EXCHANGE_DA2VT.values())
+
+    def __init__(self, event_engine):
+        """Constructor"""
+        super().__init__(event_engine, "DA")
+
+        self.future_api = DaFutureApi(self)
+        self.market_api = DaMarketApi(self)
+
+    def connect(self, setting: dict):
+        """"""
+        userid = setting["用户名"]
+        password = setting["密码"]
+        future_address = setting["交易服务器"]
+        market_address = setting["行情服务器"]
+        auth_code = setting["授权码"]
+        
+        if not future_address.startswith("tcp://"):
+            future_address = "tcp://" + future_address
+        if not market_address.startswith("tcp://"):
+            market_address = "tcp://" + market_address
+
+        self.future_api.connect(future_address, userid, password, auth_code)
+        self.market_api.connect(market_address, userid, password, auth_code)
+
+    def subscribe(self, req: SubscribeRequest):
+        """"""
+        self.market_api.subscribe(req)
+
+    def send_order(self, req: OrderRequest):
+        """"""
+        return self.future_api.send_order(req)
+
+    def cancel_order(self, req: CancelRequest):
+        """"""
+        self.future_api.cancel_order(req)
+
+    def query_account(self):
+        """"""
+        pass
+
+    def query_position(self):
+        """"""
+        pass
+
+    def close(self):
+        """"""
+        self.future_api.close()
+        self.market_api.close()
+
+    def write_error(self, msg: str, error: dict):
+        """"""
+        error_id = error["ErrorID"]
+        error_msg = error["ErrorMsg"]
+        msg = f"{msg}，代码：{error_id}，信息：{error_msg}"
+        self.write_log(msg)
+
+
+class DaMarketApi(MarketApi):
+    """"""
+
+    def __init__(self, gateway):
+        """Constructor"""
+        super().__init__()
+
+        self.gateway = gateway
+        self.gateway_name = gateway.gateway_name
+
+        self.reqid = 0
+
+        self.connect_status = False
+        self.login_status = False
+        self.subscribed = {}
+        self.mac_address = get_mac_address()
+
+        self.userid = ""
+        self.password = ""
+        self.auth_code = ""
+
+    def onFrontConnected(self):
+        """
+        Callback when front server is connected.
+        """
+        self.gateway.write_log("行情服务器连接成功")
+        self.login()
+
+    def onFrontDisconnected(self, reason: int):
+        """
+        Callback when front server is disconnected.
+        """
+        self.login_status = False
+        self.gateway.write_log(f"行情服务器连接断开，原因{reason}")
+
+    def onRspUserLogin(self, error: dict, reqid: int, last: bool):
+        """
+        Callback when user is logged in.
+        """
+        if not error["ErrorID"]:
+            self.login_status = True
+            self.gateway.write_log("行情服务器登录成功")
+
+            for req in self.subscribed.values():
+                self.subscribe(req)
+        else:
+            self.gateway.write_error("行情服务器登录失败", error)
+
+    def onRspMarketData(self, data: dict, error: dict, reqid: int, last: bool):
+        """
+        Callback of tick data update.
+        """
+        print('on rsp', data, error)
+        symbol = data["TreatyCode"]
+        exchange = EXCHANGE_DA2VT.get(data["ExchangeCode"], None)
+        if not exchange:
+            return
+
+        timestamp = f"{data['TradeDay']} {data['Time']}"
+
+        tick = TickData(
+            symbol=symbol,
+            exchange=exchange,
+            datetime=datetime.strptime(timestamp, "%Y%m%d %H:%M:%S.%f"),
+            name=symbol_name_map[symbol],
+            volume=int(data["FilledNum"]),
+            open_interest=int(data["HoldNum"]),
+            limit_up=float(data["LimitUpPrice"]),
+            limit_down=float(data["LimitDownPrice"]),
+            last_price=float(data["CurrPrice"]),
+            open_price=float(data["Open"]),
+            high_price=float(data["High"]),
+            low_price=float(data["Low"]),
+            pre_close=float(data["PreSettlementPrice"]),
+            bid_price_1=float(data["BuyPrice"]),
+            bid_price_2=float(data["BuyPrice2"]),
+            bid_price_3=float(data["BuyPrice3"]),
+            bid_price_4=float(data["BuyPrice4"]),
+            bid_price_5=float(data["BuyPrice5"]),
+            ask_price_1=float(data["SalePrice"]),
+            ask_price_2=float(data["SalePrice2"]),
+            ask_price_3=float(data["SalePrice3"]),
+            ask_price_4=float(data["SalePrice4"]),
+            ask_price_5=float(data["SalePrice5"]),
+            bid_volume_1=int(data["BuyNumber"]),
+            bid_volume_2=int(data["BuyNumber2"]),
+            bid_volume_3=int(data["BuyNumber3"]),
+            bid_volume_4=int(data["BuyNumber4"]),
+            bid_volume_5=int(data["BuyNumber5"]),
+            ask_volume_1=int(data["SaleNumber"]),
+            ask_volume_2=int(data["SaleNumber2"]),
+            ask_volume_3=int(data["SaleNumber3"]),
+            ask_volume_4=int(data["SaleNumber4"]),
+            ask_volume_5=int(data["SaleNumber5"]),
+            gateway_name=self.gateway_name
+        )
+        self.gateway.on_tick(tick)
+
+    def connect(self, address: str, userid: str, password: str, auth_code: str):
+        """
+        Start connection to server.
+        """
+        self.userid = userid
+        self.password = password
+        self.auth_code = auth_code
+
+        # If not connected, then start connection first.
+        if not self.connect_status:
+            # path = get_folder_path(self.gateway_name.lower())
+            self.createMarketApi(True, "market_log.txt")
+
+            self.registerNameServer(address)
+            self.init()
+
+            self.connect_status = True
+        # If already connected, then login immediately.
+        elif not self.login_status:
+            self.login()
+
+    def login(self):
+        """
+        Login onto server.
+        """
+        req = {
+            "UserId": self.userid,
+            "UserPwd": self.password,
+            "AuthorCode": self.auth_code,
+            "MacAddress": self.mac_address,
+            "ComputerName": "Dev Server",
+            "SoftwareName": "vn.py",
+            "SoftwareVersion": "2.0",
+        }
+
+        self.reqid += 1
+        self.reqUserLogin(req, self.reqid)
+
+    def subscribe(self, req: SubscribeRequest):
+        """
+        Subscribe to tick data update.
+        """
+        if self.login_status:
+            da_exchange = EXCHANGE_VT2DA.get(req.exchange, "")
+            if not da_exchange:
+                self.gateway.write_log(f"不支持的交易所{req.exchange.value}")
+                return
+            
+            da_code = f"{da_exchange},{req.symbol}"
+            
+            da_req = {
+                "MarketType": DAF_TYPE_Future,
+                "SubscMode": DAF_SUB_Append,
+                "MarketCount": 1,
+                "MarketTrcode": da_code,
+            }
+            self.reqid += 1
+            i = self.reqMarketData(da_req, self.reqid)
+            print(i, da_req)
+
+        self.subscribed[req.symbol] = req
+
+    def close(self):
+        """
+        Close the connection.
+        """
+        if self.connect_status:
+            self.exit()
+
+
+class DaFutureApi(FutureApi):
+    """"""
+
+    def __init__(self, gateway):
+        """Constructor"""
+        super().__init__()
+
+        self.gateway = gateway
+        self.gateway_name = gateway.gateway_name
+
+        self.reqid = 0
+        self.order_ref = 0
+
+        self.connect_status = False
+        self.login_status = False
+        self.auth_staus = False
+        self.login_failed = False
+
+        self.userid = ""
+        self.password = ""
+        self.auth_code = ""
+        self.mac_address = get_mac_address()
+
+    def onFrontConnected(self):
+        """"""
+        self.gateway.write_log("交易服务器连接成功")
+        self.login()
+
+    def onFrontDisconnected(self, reason: int):
+        """"""
+        self.login_status = False
+        self.gateway.write_log(f"交易服务器连接断开，原因{reason}")
+
+    def onRspUserLogin(self, error: dict, reqid: int, last: bool):
+        """"""
+        if not error["ErrorID"]:
+            self.login_status = True
+            self.gateway.write_log("交易服务器登录成功")
+
+            # 查询可交易合约
+            for exchange in EXCHANGE_DA2VT.values():
+                self.query_contract(exchange)
+        else:
+            self.login_failed = True
+            self.gateway.write_error("交易服务器登录失败", error)
+    
+    def onRspNeedVerify(self, firstLogin: bool, hasSetQA: bool):
+        """"""
+        print("on rsp need verify", firstLogin, hasSetQA)
+
+    def onRspOrderInsert(self, data: dict, error: dict, reqid: int, last: bool):
+        """"""
+        order_ref = data["OrderRef"]
+        orderid = f"{self.frontid}_{self.sessionid}_{order_ref}"
+
+        symbol = data["InstrumentID"]
+        exchange = symbol_exchange_map[symbol]
+
+        order = OrderData(
+            symbol=symbol,
+            exchange=exchange,
+            orderid=orderid,
+            direction=DIRECTION_DA2VT[data["Direction"]],
+            offset=OFFSET_DA2VT.get(data["CombOffsetFlag"], Offset.NONE),
+            price=data["LimitPrice"],
+            volume=data["VolumeTotalOriginal"],
+            status=Status.REJECTED,
+            gateway_name=self.gateway_name
+        )
+        self.gateway.on_order(order)
+
+        self.gateway.write_error("交易委托失败", error)
+
+    def onRspOrderAction(self, data: dict, error: dict, reqid: int, last: bool):
+        """"""
+        self.gateway.write_error("交易撤单失败", error)
+
+    def onRspQueryMaxOrderVolume(self, data: dict, error: dict, reqid: int, last: bool):
+        """"""
+        pass
+
+    def onRspSettlementInfoConfirm(self, data: dict, error: dict, reqid: int, last: bool):
+        """
+        Callback of settlment info confimation.
+        """
+        self.gateway.write_log("结算信息确认成功")
+
+        self.reqid += 1
+        self.reqQryInstrument({}, self.reqid)
+
+    def onRspQryInvestorPosition(self, data: dict, error: dict, reqid: int, last: bool):
+        """"""
+        if not data:
+            return
+
+        # Get buffered position object
+        key = f"{data['InstrumentID'], data['PosiDirection']}"
+        position = self.positions.get(key, None)
+        if not position:
+            position = PositionData(
+                symbol=data["InstrumentID"],
+                exchange=symbol_exchange_map[data["InstrumentID"]],
+                direction=DIRECTION_DA2VT[data["PosiDirection"]],
+                gateway_name=self.gateway_name
+            )
+            self.positions[key] = position
+
+        # For SHFE position data update
+        if position.exchange == Exchange.SHFE:
+            if data["YdPosition"] and not data["TodayPosition"]:
+                position.yd_volume = data["Position"]
+        # For other exchange position data update
+        else:
+            position.yd_volume = data["Position"] - data["TodayPosition"]
+
+        # Get contract size (spread contract has no size value)
+        size = symbol_size_map.get(position.symbol, 0)
+
+        # Calculate previous position cost
+        cost = position.price * position.volume * size
+
+        # Update new position volume
+        position.volume += data["Position"]
+        position.pnl += data["PositionProfit"]
+
+        # Calculate average position price
+        if position.volume and size:
+            cost += data["PositionCost"]
+            position.price = cost / (position.volume * size)
+
+        # Get frozen volume
+        if position.direction == Direction.LONG:
+            position.frozen += data["ShortFrozen"]
+        else:
+            position.frozen += data["LongFrozen"]
+
+        if last:
+            for position in self.positions.values():
+                self.gateway.on_position(position)
+
+            self.positions.clear()
+
+    def onRspQryTradingAccount(self, data: dict, error: dict, reqid: int, last: bool):
+        """"""
+        if "AccountID" not in data:
+            return
+
+        account = AccountData(
+            accountid=data["AccountID"],
+            balance=data["Balance"],
+            frozen=data["FrozenMargin"] + data["FrozenCash"] + data["FrozenCommission"],
+            gateway_name=self.gateway_name
+        )
+        account.available = data["Available"]
+
+        self.gateway.on_account(account)
+
+    def onRspQryExchange(self, data: dict, error: dict, reqid: int, last: bool):
+        """
+        Callback of instrument query.
+        """
+        print(data)
+
+    def onRspQryInstrument(self, data: dict, error: dict, reqid: int, last: bool):
+        """
+        Callback of instrument query.
+        """
+        product = PRODUCT_DA2VT.get(data["CommodityType"], None)
+        if product:
+            contract = ContractData(
+                symbol=data["CommodityCode"],
+                exchange=EXCHANGE_DA2VT[data["ExchangeNo"]],
+                name=data["ContractFName"],
+                product=product,
+                size=data["ProductDot"] / data["UpperTick"],
+                pricetick=data["UpperTick"],
+                gateway_name=self.gateway_name
+            )
+
+            self.gateway.on_contract(contract)
+
+        if last:
+            self.gateway.write_log("合约信息查询成功")
+
+    def onRtnOrder(self, data: dict):
+        """
+        Callback of order status update.
+        """
+        symbol = data["InstrumentID"]
+        exchange = symbol_exchange_map.get(symbol, "")
+        if not exchange:
+            self.order_data.append(data)
+            return
+
+        frontid = data["FrontID"]
+        sessionid = data["SessionID"]
+        order_ref = data["OrderRef"]
+        orderid = f"{frontid}_{sessionid}_{order_ref}"
+
+        order = OrderData(
+            symbol=symbol,
+            exchange=exchange,
+            orderid=orderid,
+            type=ORDERTYPE_DA2VT[data["OrderPriceType"]],
+            direction=DIRECTION_DA2VT[data["Direction"]],
+            offset=OFFSET_DA2VT[data["CombOffsetFlag"]],
+            price=data["LimitPrice"],
+            volume=data["VolumeTotalOriginal"],
+            traded=data["VolumeTraded"],
+            status=STATUS_DA2VT[data["OrderStatus"]],
+            time=data["InsertTime"],
+            gateway_name=self.gateway_name
+        )
+        self.gateway.on_order(order)
+
+        self.sysid_orderid_map[data["OrderSysID"]] = orderid
+
+    def onRtnTrade(self, data: dict):
+        """
+        Callback of trade status update.
+        """
+        symbol = data["InstrumentID"]
+        exchange = symbol_exchange_map.get(symbol, "")
+        if not exchange:
+            self.trade_data.append(data)
+            return
+
+        orderid = self.sysid_orderid_map[data["OrderSysID"]]
+
+        trade = TradeData(
+            symbol=symbol,
+            exchange=exchange,
+            orderid=orderid,
+            tradeid=data["TradeID"],
+            direction=DIRECTION_DA2VT[data["Direction"]],
+            offset=OFFSET_DA2VT[data["OffsetFlag"]],
+            price=data["Price"],
+            volume=data["Volume"],
+            time=data["TradeTime"],
+            gateway_name=self.gateway_name
+        )
+        self.gateway.on_trade(trade)
+
+    def connect(
+        self,
+        address: str,
+        userid: str,
+        password: str,
+        auth_code: str
+    ):
+        """
+        Start connection to server.
+        """
+        self.userid = userid
+        self.password = password
+        self.auth_code = auth_code
+        
+        if not self.connect_status:
+            #path = get_folder_path(self.gateway_name.lower())
+            self.createFutureApi(True, "future_log.txt")
+
+            self.registerNameServer(address)
+            self.init()
+
+            self.connect_status = True
+        else:
+            self.login()
+
+    def authenticate(self):
+        """
+        Authenticate with auth_code and appid.
+        """
+        req = {
+            "UserID": self.userid,
+            "BrokerID": self.brokerid,
+            "AuthCode": self.auth_code,
+            "AppID": self.appid
+        }
+
+        if self.product_info:
+            req["UserProductInfo"] = self.product_info
+
+        self.reqid += 1
+        self.reqAuthenticate(req, self.reqid)
+
+    def login(self):
+        """
+        Login onto server.
+        """
+        req = {
+            "UserId": self.userid,
+            "UserPwd": self.password,
+            "AuthorCode": self.auth_code,
+            "MacAddress": self.mac_address,
+            "ComputerName": "Dev Server",
+            "SoftwareName": "vn.py",
+            "SoftwareVersion": "2.0",
+        }
+
+        self.reqid += 1
+        n = self.reqUserLogin(req, self.reqid)
+        print("login", n)
+
+    def send_order(self, req: OrderRequest):
+        """
+        Send new order.
+        """
+        self.order_ref += 1
+
+        da_req = {
+            "InstrumentID": req.symbol,
+            "ExchangeID": req.exchange.value,
+            "LimitPrice": req.price,
+            "VolumeTotalOriginal": int(req.volume),
+            "OrderPriceType": ORDERTYPE_VT2DA.get(req.type, ""),
+            "Direction": DIRECTION_VT2DA.get(req.direction, ""),
+            "CombOffsetFlag": OFFSET_VT2DA.get(req.offset, ""),
+            "OrderRef": str(self.order_ref),
+            "InvestorID": self.userid,
+            "UserID": self.userid,
+            "BrokerID": self.brokerid,
+            "CombHedgeFlag": THOST_FTDC_HF_Speculation,
+            "ContingentCondition": THOST_FTDC_CC_Immediately,
+            "ForceCloseReason": THOST_FTDC_FCC_NotForceClose,
+            "IsAutoSuspend": 0,
+            "TimeCondition": THOST_FTDC_TC_GFD,
+            "VolumeCondition": THOST_FTDC_VC_AV,
+            "MinVolume": 1
+        }
+
+        if req.type == OrderType.FAK:
+            da_req["OrderPriceType"] = THOST_FTDC_OPT_LimitPrice
+            da_req["TimeCondition"] = THOST_FTDC_TC_IOC
+            da_req["VolumeCondition"] = THOST_FTDC_VC_AV
+        elif req.type == OrderType.FOK:
+            da_req["OrderPriceType"] = THOST_FTDC_OPT_LimitPrice
+            da_req["TimeCondition"] = THOST_FTDC_TC_IOC
+            da_req["VolumeCondition"] = THOST_FTDC_VC_CV
+
+        self.reqid += 1
+        self.reqOrderInsert(da_req, self.reqid)
+
+        orderid = f"{self.frontid}_{self.sessionid}_{self.order_ref}"
+        order = req.create_order_data(orderid, self.gateway_name)
+        self.gateway.on_order(order)
+
+        return order.vt_orderid
+
+    def cancel_order(self, req: CancelRequest):
+        """
+        Cancel existing order.
+        """
+        frontid, sessionid, order_ref = req.orderid.split("_")
+
+        da_req = {
+            "InstrumentID": req.symbol,
+            "ExchangeID": req.exchange.value,
+            "OrderRef": order_ref,
+            "FrontID": int(frontid),
+            "SessionID": int(sessionid),
+            "ActionFlag": THOST_FTDC_AF_Delete,
+            "BrokerID": self.brokerid,
+            "InvestorID": self.userid
+        }
+
+        self.reqid += 1
+        self.reqOrderAction(da_req, self.reqid)
+
+    def query_account(self):
+        """
+        Query account balance data.
+        """
+        self.reqid += 1
+        self.reqQryTradingAccount({}, self.reqid)
+
+    def query_position(self):
+        """
+        Query position holding data.
+        """
+        if not symbol_exchange_map:
+            return
+
+        req = {
+            "BrokerID": self.brokerid,
+            "InvestorID": self.userid
+        }
+
+        self.reqid += 1
+        self.reqQryInvestorPosition(req, self.reqid)
+    
+    def query_contract(self, exchange, page=1):
+        """
+        Query contract data.
+        """
+        da_exchange = EXCHANGE_VT2DA[exchange]
+
+        req = {
+            "PageIndex": page,
+            "ExchangeNo": da_exchange
+        }
+
+        self.reqid += 1
+        self.reqQryInstrument(req, self.reqid)
+
+    def close(self):
+        """"""
+        if self.connect_status:
+            self.exit()
+
+
+def get_network_interface():
+    """"""
+    c = wmi.WMI()
+    interfaces = c.Win32_NetworkAdapterConfiguration(IPEnabled=1)
+    if not interfaces:
+        return None
+
+    # Use interface with default ip gateway
+    for interface in interfaces:
+        if interface.DefaultIPGateway:
+            return interface
+
+    # Otherwise use last one
+    return interface
+
+
+def get_mac_address():
+    """"""
+    interface = get_network_interface()
+    if not interface:
+        return ""
+
+    return interface.MACAddress