[Mod] complete function test of da gateway
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vn.py
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795eab7228
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@ -2,7 +2,7 @@
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"""
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from datetime import datetime
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from threading import Thread
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from copy import copy
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import wmi
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@ -38,7 +38,7 @@ from vnpy.trader.event import EVENT_TIMER
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STATUS_DA2VT = {
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"1": Status.SUBMITTING,,
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"1": Status.SUBMITTING,
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"2": Status.NOTTRADED,
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"3": Status.PARTTRADED,
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"4": Status.ALLTRADED,
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@ -78,7 +78,7 @@ EXCHANGE_DA2VT = {
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# "LME": Exchange.LME,
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# "CME_CBT": Exchange.CBOT,
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# "HKEX": Exchange.HKFE,
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# "CME": Exchange.CME,
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"CME": Exchange.CME,
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# "TOCOM": Exchange.TOCOM,
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# "KRX": Exchange.KRX,
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# "ICE": Exchange.ICE
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@ -96,9 +96,10 @@ PRODUCT_DA2VT = {
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# }
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symbol_exchange_map = {}
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symbol_name_map = {}
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symbol_size_map = {}
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symbol_currency_map = {}
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currency_account_map = {}
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account_currency_map = {}
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class DaGateway(BaseGateway):
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@ -130,7 +131,7 @@ class DaGateway(BaseGateway):
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future_address = setting["交易服务器"]
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market_address = setting["行情服务器"]
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auth_code = setting["授权码"]
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if not future_address.startswith("tcp://"):
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future_address = "tcp://" + future_address
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if not market_address.startswith("tcp://"):
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@ -224,50 +225,47 @@ class DaMarketApi(MarketApi):
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"""
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Callback of tick data update.
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"""
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print('on rsp', data, error)
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symbol = data["TreatyCode"]
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exchange = EXCHANGE_DA2VT.get(data["ExchangeCode"], None)
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if not exchange:
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return
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timestamp = f"{data['TradeDay']} {data['Time']}"
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tick = TickData(
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symbol=symbol,
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exchange=exchange,
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datetime=datetime.strptime(timestamp, "%Y%m%d %H:%M:%S.%f"),
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name=symbol_name_map[symbol],
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volume=int(data["FilledNum"]),
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open_interest=int(data["HoldNum"]),
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limit_up=float(data["LimitUpPrice"]),
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limit_down=float(data["LimitDownPrice"]),
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last_price=float(data["CurrPrice"]),
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open_price=float(data["Open"]),
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high_price=float(data["High"]),
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low_price=float(data["Low"]),
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pre_close=float(data["PreSettlementPrice"]),
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bid_price_1=float(data["BuyPrice"]),
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bid_price_2=float(data["BuyPrice2"]),
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bid_price_3=float(data["BuyPrice3"]),
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bid_price_4=float(data["BuyPrice4"]),
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bid_price_5=float(data["BuyPrice5"]),
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ask_price_1=float(data["SalePrice"]),
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ask_price_2=float(data["SalePrice2"]),
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ask_price_3=float(data["SalePrice3"]),
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ask_price_4=float(data["SalePrice4"]),
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ask_price_5=float(data["SalePrice5"]),
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bid_volume_1=int(data["BuyNumber"]),
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bid_volume_2=int(data["BuyNumber2"]),
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bid_volume_3=int(data["BuyNumber3"]),
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bid_volume_4=int(data["BuyNumber4"]),
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bid_volume_5=int(data["BuyNumber5"]),
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ask_volume_1=int(data["SaleNumber"]),
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ask_volume_2=int(data["SaleNumber2"]),
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ask_volume_3=int(data["SaleNumber3"]),
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ask_volume_4=int(data["SaleNumber4"]),
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ask_volume_5=int(data["SaleNumber5"]),
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datetime=datetime.strptime(data['Time'], "%Y-%m-%d %H:%M:%S"),
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volume=to_int(data["FilledNum"]),
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open_interest=to_int(data["HoldNum"]),
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limit_up=to_float(data["LimitUpPrice"]),
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limit_down=to_float(data["LimitDownPrice"]),
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last_price=to_float(data["CurrPrice"]),
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open_price=to_float(data["Open"]),
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high_price=to_float(data["High"]),
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low_price=to_float(data["Low"]),
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pre_close=to_float(data["PreSettlementPrice"]),
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bid_price_1=to_float(data["BuyPrice"]),
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bid_price_2=to_float(data["BuyPrice2"]),
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bid_price_3=to_float(data["BuyPrice3"]),
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bid_price_4=to_float(data["BuyPrice4"]),
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bid_price_5=to_float(data["BuyPrice5"]),
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ask_price_1=to_float(data["SalePrice"]),
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ask_price_2=to_float(data["SalePrice2"]),
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ask_price_3=to_float(data["SalePrice3"]),
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ask_price_4=to_float(data["SalePrice4"]),
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ask_price_5=to_float(data["SalePrice5"]),
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bid_volume_1=to_int(data["BuyNumber"]),
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bid_volume_2=to_int(data["BuyNumber2"]),
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bid_volume_3=to_int(data["BuyNumber3"]),
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bid_volume_4=to_int(data["BuyNumber4"]),
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bid_volume_5=to_int(data["BuyNumber5"]),
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ask_volume_1=to_int(data["SaleNumber"]),
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ask_volume_2=to_int(data["SaleNumber2"]),
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ask_volume_3=to_int(data["SaleNumber3"]),
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ask_volume_4=to_int(data["SaleNumber4"]),
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ask_volume_5=to_int(data["SaleNumber5"]),
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gateway_name=self.gateway_name
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)
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tick.name = symbol_name_map[tick.vt_symbol]
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self.gateway.on_tick(tick)
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def connect(self, address: str, userid: str, password: str, auth_code: str):
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@ -328,7 +326,6 @@ class DaMarketApi(MarketApi):
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}
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self.reqid += 1
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i = self.reqMarketData(da_req, self.reqid)
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print(i, da_req)
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self.subscribed[req.symbol] = req
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@ -351,7 +348,7 @@ class DaFutureApi(FutureApi):
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self.gateway_name = gateway.gateway_name
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self.reqid = 0
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self.order_ref = 0
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self.local_no = int(datetime.now().strftime("%Y%m%d") + "000000")
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self.connect_status = False
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self.login_status = False
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@ -363,6 +360,9 @@ class DaFutureApi(FutureApi):
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self.auth_code = ""
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self.mac_address = get_mac_address()
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self.orders = {}
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self.order_info = {}
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def onFrontConnected(self):
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""""""
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self.gateway.write_log("交易服务器连接成功")
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@ -382,6 +382,13 @@ class DaFutureApi(FutureApi):
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# 查询可交易合约
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for exchange in EXCHANGE_DA2VT.values():
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self.query_contract(exchange)
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# 查询账户信息
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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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self.query_trade()
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else:
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self.login_failed = True
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self.gateway.write_error("交易服务器登录失败", error)
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@ -392,30 +399,25 @@ class DaFutureApi(FutureApi):
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def onRspOrderInsert(self, data: dict, error: dict, reqid: int, last: bool):
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""""""
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order_ref = data["OrderRef"]
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orderid = f"{self.frontid}_{self.sessionid}_{order_ref}"
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errorid = error["ErrorID"]
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orderid = data["LocalNo"]
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order = self.orders[orderid]
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symbol = data["InstrumentID"]
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exchange = symbol_exchange_map[symbol]
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if errorid:
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order.status = Status.REJECTED
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self.gateway.write_error("交易委托失败", error)
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else:
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order.time = data["OrderTime"]
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order = OrderData(
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symbol=symbol,
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exchange=exchange,
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orderid=orderid,
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direction=DIRECTION_DA2VT[data["Direction"]],
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offset=OFFSET_DA2VT.get(data["CombOffsetFlag"], Offset.NONE),
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price=data["LimitPrice"],
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volume=data["VolumeTotalOriginal"],
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status=Status.REJECTED,
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gateway_name=self.gateway_name
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)
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self.gateway.on_order(order)
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self.order_info[order.orderid] = (data["OrderNo"], data["SystemNo"])
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self.gateway.on_order(copy(order))
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self.gateway.write_error("交易委托失败", error)
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def onRspOrderAction(self, data: dict, error: dict, reqid: int, last: bool):
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def onRspOrderCancel(self, data: dict, error: dict, reqid: int, last: bool):
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""""""
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self.gateway.write_error("交易撤单失败", error)
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errorid = error["ErrorID"]
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if errorid:
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self.gateway.write_error("交易撤单失败", error)
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def onRspQueryMaxOrderVolume(self, data: dict, error: dict, reqid: int, last: bool):
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""""""
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@ -430,79 +432,6 @@ class DaFutureApi(FutureApi):
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self.reqid += 1
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self.reqQryInstrument({}, self.reqid)
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def onRspQryInvestorPosition(self, data: dict, error: dict, reqid: int, last: bool):
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""""""
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if not data:
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return
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# Get buffered position object
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key = f"{data['InstrumentID'], data['PosiDirection']}"
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position = self.positions.get(key, None)
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if not position:
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position = PositionData(
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symbol=data["InstrumentID"],
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exchange=symbol_exchange_map[data["InstrumentID"]],
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direction=DIRECTION_DA2VT[data["PosiDirection"]],
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gateway_name=self.gateway_name
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)
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self.positions[key] = position
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# For SHFE position data update
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if position.exchange == Exchange.SHFE:
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if data["YdPosition"] and not data["TodayPosition"]:
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position.yd_volume = data["Position"]
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# For other exchange position data update
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else:
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position.yd_volume = data["Position"] - data["TodayPosition"]
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# Get contract size (spread contract has no size value)
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size = symbol_size_map.get(position.symbol, 0)
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# Calculate previous position cost
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cost = position.price * position.volume * size
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# Update new position volume
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position.volume += data["Position"]
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position.pnl += data["PositionProfit"]
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# Calculate average position price
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if position.volume and size:
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cost += data["PositionCost"]
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position.price = cost / (position.volume * size)
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# Get frozen volume
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if position.direction == Direction.LONG:
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position.frozen += data["ShortFrozen"]
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else:
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position.frozen += data["LongFrozen"]
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if last:
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for position in self.positions.values():
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self.gateway.on_position(position)
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self.positions.clear()
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def onRspQryTradingAccount(self, data: dict, error: dict, reqid: int, last: bool):
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""""""
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if "AccountID" not in data:
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return
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account = AccountData(
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accountid=data["AccountID"],
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balance=data["Balance"],
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frozen=data["FrozenMargin"] + data["FrozenCash"] + data["FrozenCommission"],
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gateway_name=self.gateway_name
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)
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account.available = data["Available"]
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self.gateway.on_account(account)
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def onRspQryExchange(self, data: dict, error: dict, reqid: int, last: bool):
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"""
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Callback of instrument query.
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"""
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print(data)
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def onRspQryInstrument(self, data: dict, error: dict, reqid: int, last: bool):
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"""
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Callback of instrument query.
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@ -519,6 +448,9 @@ class DaFutureApi(FutureApi):
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gateway_name=self.gateway_name
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)
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symbol_name_map[contract.vt_symbol] = contract.name
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symbol_currency_map[contract.symbol] = data["CommodityFCurrencyNo"]
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self.gateway.on_contract(contract)
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if last:
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@ -542,17 +474,32 @@ class DaFutureApi(FutureApi):
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time=data["OrderTime"],
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gateway_name=self.gateway_name
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)
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self.gateway.on_order(order)
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self.local_no = max(self.local_no, int(data["LocalNo"]))
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self.orders[order.orderid] = order
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self.order_info[order.orderid] = (data["OrderNo"], data["SystemNo"])
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self.gateway.on_order(copy(order))
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if last:
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self.gateway.write_log("委托信息查询成功")
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def onRspQryTrade(self, data: dict, error: dict, reqid: int, last: bool):
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"""
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Callback of trade query.
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"""
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self.update_trade(data)
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if last:
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self.gateway.write_log("成交信息查询成功")
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def update_trade(self, data: dict):
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""""""
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trade = TradeData(
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symbol=data["TreatyCode"],
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exchange=EXCHANGE_DA2VT[data["ExchangeCode"]],
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orderid=data["LocalNo"],
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tradeid=data["FilledNo"]
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tradeid=data["FilledNo"],
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direction=DIRECTION_DA2VT[data["BuySale"]],
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offset=OFFSET_DA2VT[data["AddReduce"]],
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price=float(data["FilledPrice"]),
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@ -567,70 +514,115 @@ class DaFutureApi(FutureApi):
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Callback of trade query.
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"""
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account = AccountData(
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accountid=data["UserId"],
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balance=float(data["TodayBalance"])
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accountid=data["CurrencyNo"],
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balance=float(data["TodayBalance"]),
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frozen=float(data["FreezenMoney"]),
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gateway_name=self.gateway_name
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)
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currency_account_map[data["CurrencyNo"]] = data["AccountNo"]
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account_currency_map[data["AccountNo"]] = data["CurrencyNo"]
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self.gateway.on_account(account)
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def onRspQryPosition(self, data: dict, error: dict, reqid: int, last: bool):
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"""
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Callback of trade query.
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"""
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position = PositionData(
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symbol=data["ContCode"],
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exchange=EXCHANGE_DA2VT[data["ExchangeNo"]],
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direction=DIRECTION_DA2VT[data["Direct"]],
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volume=data["HoldVol"],
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price=data["HoldPrice"],
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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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if last:
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self.gateway.write_log("资金信息查询成功")
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def onRtnOrder(self, data: dict):
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def onRspQryTotalPosition(self, data: dict, error: dict, reqid: int, last: bool):
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"""
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Callback of position query.
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"""
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if data["TreatyCode"]:
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long_position = PositionData(
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symbol=data["TreatyCode"],
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exchange=EXCHANGE_DA2VT[data["ExchangeNo"]],
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direction=Direction.LONG,
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volume=data["BuyHoldNumber"],
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price=data["BuyHoldOpenPrice"],
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gateway_name=self.gateway_name
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)
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self.gateway.on_position(long_position)
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short_position = PositionData(
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symbol=data["TreatyCode"],
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exchange=EXCHANGE_DA2VT[data["ExchangeNo"]],
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direction=Direction.SHORT,
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volume=data["SaleHoldNumber"],
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price=data["SaleHoldOpenPrice"],
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gateway_name=self.gateway_name
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)
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self.gateway.on_position(short_position)
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if last:
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self.gateway.write_log("持仓信息查询成功")
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def onRtnOrder(self, data: dict, error: dict, reqid: int, last: bool):
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"""
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Callback of order status update.
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"""
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pass
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orderid = data["LocalOrderNo"]
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self.local_no = max(self.local_no, int(orderid))
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def onRtnTrade(self, data: dict):
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order = self.orders.get(orderid, None)
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if not order:
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return
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order.traded = data["FilledNumber"]
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if data["IsCanceled"] == "1":
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order.status = Status.CANCELLED
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elif order.traded == order.volume:
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order.status = Status.ALLTRADED
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elif order.traded > 0:
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order.status = Status.PARTTRADED
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else:
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order.status = Status.NOTTRADED
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self.gateway.on_order(copy(order))
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def onRtnTrade(self, data: dict, error: dict, reqid: int, last: bool):
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"""
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Callback of trade status update.
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"""
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symbol = data["InstrumentID"]
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exchange = symbol_exchange_map.get(symbol, "")
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if not exchange:
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self.trade_data.append(data)
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return
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self.update_trade(data)
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def onRtnCapital(self, data: dict, error: dict, reqid: int, last: bool):
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"""
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Callback of capital status update.
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"""
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currency = account_currency_map[data["AccountNo"]]
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orderid = self.sysid_orderid_map[data["OrderSysID"]]
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trade = TradeData(
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symbol=symbol,
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exchange=exchange,
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orderid=orderid,
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tradeid=data["TradeID"],
|
||||
direction=DIRECTION_DA2VT[data["Direction"]],
|
||||
offset=OFFSET_DA2VT[data["OffsetFlag"]],
|
||||
price=data["Price"],
|
||||
volume=data["Volume"],
|
||||
time=data["TradeTime"],
|
||||
account = AccountData(
|
||||
accountid=currency,
|
||||
balance=data["TodayTotal"],
|
||||
frozen=data["FrozenDeposit"],
|
||||
gateway_name=self.gateway_name
|
||||
)
|
||||
self.gateway.on_trade(trade)
|
||||
|
||||
def update_trade(self, data: dict):
|
||||
""""""
|
||||
pass
|
||||
self.gateway.on_account(account)
|
||||
|
||||
def update_account(self, data: dict):
|
||||
""""""
|
||||
pass
|
||||
def onRtnPosition(self, data: dict, error: dict, reqid: int, last: bool):
|
||||
"""
|
||||
Callback of position status update.
|
||||
"""
|
||||
long_position = PositionData(
|
||||
symbol=data["TreatyCode"],
|
||||
exchange=EXCHANGE_DA2VT[data["ExchangeNo"]],
|
||||
direction=Direction.LONG,
|
||||
volume=data["BuyHoldNumber"],
|
||||
price=data["BuyHoldOpenPrice"],
|
||||
gateway_name=self.gateway_name
|
||||
)
|
||||
self.gateway.on_position(long_position)
|
||||
|
||||
def update_position(self, data: dict):
|
||||
""""""
|
||||
pass
|
||||
short_position = PositionData(
|
||||
symbol=data["TreatyCode"],
|
||||
exchange=EXCHANGE_DA2VT[data["ExchangeNo"]],
|
||||
direction=Direction.SHORT,
|
||||
volume=data["SaleHoldNumber"],
|
||||
price=data["SaleHoldOpenPrice"],
|
||||
gateway_name=self.gateway_name
|
||||
)
|
||||
self.gateway.on_position(short_position)
|
||||
|
||||
def connect(
|
||||
self,
|
||||
@ -689,50 +681,36 @@ class DaFutureApi(FutureApi):
|
||||
}
|
||||
|
||||
self.reqid += 1
|
||||
n = self.reqUserLogin(req, self.reqid)
|
||||
print("login", n)
|
||||
self.reqUserLogin(req, self.reqid)
|
||||
|
||||
def send_order(self, req: OrderRequest):
|
||||
"""
|
||||
Send new order.
|
||||
"""
|
||||
self.order_ref += 1
|
||||
self.local_no += 1
|
||||
|
||||
currency = symbol_currency_map[req.symbol]
|
||||
account_no = currency_account_map[currency]
|
||||
|
||||
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
|
||||
"UserId": self.userid,
|
||||
"AccountNo": account_no,
|
||||
"LocalNo": str(self.local_no),
|
||||
"TradePwd": self.password,
|
||||
"ExchangeCode": EXCHANGE_VT2DA[req.exchange],
|
||||
"TreatyCode": req.symbol,
|
||||
"BuySale": DIRECTION_VT2DA[req.direction],
|
||||
"OrderPrice": str(req.price),
|
||||
"OrderNumber": str(int(req.volume)),
|
||||
"PriceType": ORDERTYPE_VT2DA[req.type]
|
||||
}
|
||||
|
||||
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)
|
||||
order = req.create_order_data(str(self.local_no), self.gateway_name)
|
||||
|
||||
self.orders[order.orderid] = order
|
||||
self.gateway.on_order(order)
|
||||
|
||||
return order.vt_orderid
|
||||
@ -741,21 +719,26 @@ class DaFutureApi(FutureApi):
|
||||
"""
|
||||
Cancel existing order.
|
||||
"""
|
||||
frontid, sessionid, order_ref = req.orderid.split("_")
|
||||
order = self.orders[req.orderid]
|
||||
|
||||
currency = symbol_currency_map[req.symbol]
|
||||
account_no = currency_account_map[currency]
|
||||
order_no, system_no = self.order_info[order.orderid]
|
||||
|
||||
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
|
||||
"UserId": self.userid,
|
||||
"LocalNo": req.orderid,
|
||||
"AccountNo": account_no,
|
||||
"TradePwd": self.password,
|
||||
"ExchangeCode": EXCHANGE_VT2DA[req.exchange],
|
||||
"TreatyCode": req.symbol,
|
||||
"BuySale": DIRECTION_VT2DA[order.direction],
|
||||
"OrderNo": order_no,
|
||||
"SystemNo": system_no
|
||||
}
|
||||
|
||||
self.reqid += 1
|
||||
self.reqOrderAction(da_req, self.reqid)
|
||||
self.reqOrderCancel(da_req, self.reqid)
|
||||
|
||||
def query_account(self):
|
||||
"""
|
||||
@ -775,15 +758,19 @@ class DaFutureApi(FutureApi):
|
||||
"""
|
||||
Query account balance data.
|
||||
"""
|
||||
da_req = {"UserId": self.userid}
|
||||
|
||||
self.reqid += 1
|
||||
self.reqQryTrade({}, self.reqid)
|
||||
self.reqQryTrade(da_req, self.reqid)
|
||||
|
||||
def query_position(self):
|
||||
"""
|
||||
Query position holding data.
|
||||
"""
|
||||
da_req = {"AccountNo": self.userid}
|
||||
|
||||
self.reqid += 1
|
||||
self.reqQryPosition({}, self.reqid)
|
||||
self.reqQryTotalPosition(da_req, self.reqid)
|
||||
|
||||
def query_contract(self, exchange, page=1):
|
||||
"""
|
||||
@ -827,4 +814,21 @@ def get_mac_address():
|
||||
if not interface:
|
||||
return ""
|
||||
|
||||
return interface.MACAddress
|
||||
return interface.MACAddress
|
||||
|
||||
|
||||
def to_int(data: str) -> int:
|
||||
""""""
|
||||
if not data:
|
||||
return 0
|
||||
else:
|
||||
return int(data)
|
||||
|
||||
|
||||
def to_float(data: str) -> float:
|
||||
""""""
|
||||
if not data:
|
||||
return 0.0
|
||||
else:
|
||||
return float(data)
|
||||
|
||||
Loading…
Reference in New Issue
Block a user