[Mod] complete function test of da gateway

vnpy/gateway/da/da_gateway.py

@@ -2,7 +2,7 @@
 """
 
 from datetime import datetime
-from threading import Thread
+from copy import copy
 
 import wmi
 
@@ -38,7 +38,7 @@ from vnpy.trader.event import EVENT_TIMER
 
 
 STATUS_DA2VT = {
-    "1": Status.SUBMITTING,,
+    "1": Status.SUBMITTING,
     "2": Status.NOTTRADED,
     "3": Status.PARTTRADED,
     "4": Status.ALLTRADED,
@@ -78,7 +78,7 @@ EXCHANGE_DA2VT = {
     # "LME": Exchange.LME,
     # "CME_CBT": Exchange.CBOT,
     # "HKEX": Exchange.HKFE,
-    # "CME": Exchange.CME,
+    "CME": Exchange.CME,
     # "TOCOM": Exchange.TOCOM,
     # "KRX": Exchange.KRX,
     # "ICE": Exchange.ICE
@@ -96,9 +96,10 @@ PRODUCT_DA2VT = {
 # }
 
 
-symbol_exchange_map = {}
 symbol_name_map = {}
-symbol_size_map = {}
+symbol_currency_map = {}
+currency_account_map = {}
+account_currency_map = {}
 
 
 class DaGateway(BaseGateway):
@@ -130,7 +131,7 @@ class DaGateway(BaseGateway):
         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://"):
@@ -224,50 +225,47 @@ class DaMarketApi(MarketApi):
         """
         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"),
+            datetime=datetime.strptime(data['Time'], "%Y-%m-%d %H:%M:%S"),
-            name=symbol_name_map[symbol],
+            volume=to_int(data["FilledNum"]),
-            volume=int(data["FilledNum"]),
+            open_interest=to_int(data["HoldNum"]),
-            open_interest=int(data["HoldNum"]),
+            limit_up=to_float(data["LimitUpPrice"]),
-            limit_up=float(data["LimitUpPrice"]),
+            limit_down=to_float(data["LimitDownPrice"]),
-            limit_down=float(data["LimitDownPrice"]),
+            last_price=to_float(data["CurrPrice"]),
-            last_price=float(data["CurrPrice"]),
+            open_price=to_float(data["Open"]),
-            open_price=float(data["Open"]),
+            high_price=to_float(data["High"]),
-            high_price=float(data["High"]),
+            low_price=to_float(data["Low"]),
-            low_price=float(data["Low"]),
+            pre_close=to_float(data["PreSettlementPrice"]),
-            pre_close=float(data["PreSettlementPrice"]),
+            bid_price_1=to_float(data["BuyPrice"]),
-            bid_price_1=float(data["BuyPrice"]),
+            bid_price_2=to_float(data["BuyPrice2"]),
-            bid_price_2=float(data["BuyPrice2"]),
+            bid_price_3=to_float(data["BuyPrice3"]),
-            bid_price_3=float(data["BuyPrice3"]),
+            bid_price_4=to_float(data["BuyPrice4"]),
-            bid_price_4=float(data["BuyPrice4"]),
+            bid_price_5=to_float(data["BuyPrice5"]),
-            bid_price_5=float(data["BuyPrice5"]),
+            ask_price_1=to_float(data["SalePrice"]),
-            ask_price_1=float(data["SalePrice"]),
+            ask_price_2=to_float(data["SalePrice2"]),
-            ask_price_2=float(data["SalePrice2"]),
+            ask_price_3=to_float(data["SalePrice3"]),
-            ask_price_3=float(data["SalePrice3"]),
+            ask_price_4=to_float(data["SalePrice4"]),
-            ask_price_4=float(data["SalePrice4"]),
+            ask_price_5=to_float(data["SalePrice5"]),
-            ask_price_5=float(data["SalePrice5"]),
+            bid_volume_1=to_int(data["BuyNumber"]),
-            bid_volume_1=int(data["BuyNumber"]),
+            bid_volume_2=to_int(data["BuyNumber2"]),
-            bid_volume_2=int(data["BuyNumber2"]),
+            bid_volume_3=to_int(data["BuyNumber3"]),
-            bid_volume_3=int(data["BuyNumber3"]),
+            bid_volume_4=to_int(data["BuyNumber4"]),
-            bid_volume_4=int(data["BuyNumber4"]),
+            bid_volume_5=to_int(data["BuyNumber5"]),
-            bid_volume_5=int(data["BuyNumber5"]),
+            ask_volume_1=to_int(data["SaleNumber"]),
-            ask_volume_1=int(data["SaleNumber"]),
+            ask_volume_2=to_int(data["SaleNumber2"]),
-            ask_volume_2=int(data["SaleNumber2"]),
+            ask_volume_3=to_int(data["SaleNumber3"]),
-            ask_volume_3=int(data["SaleNumber3"]),
+            ask_volume_4=to_int(data["SaleNumber4"]),
-            ask_volume_4=int(data["SaleNumber4"]),
+            ask_volume_5=to_int(data["SaleNumber5"]),
-            ask_volume_5=int(data["SaleNumber5"]),
             gateway_name=self.gateway_name
         )
+        tick.name = symbol_name_map[tick.vt_symbol]
         self.gateway.on_tick(tick)
 
     def connect(self, address: str, userid: str, password: str, auth_code: str):
@@ -328,7 +326,6 @@ class DaMarketApi(MarketApi):
             }
             self.reqid += 1
             i = self.reqMarketData(da_req, self.reqid)
-            print(i, da_req)
 
         self.subscribed[req.symbol] = req
 
@@ -351,7 +348,7 @@ class DaFutureApi(FutureApi):
         self.gateway_name = gateway.gateway_name
 
         self.reqid = 0
-        self.order_ref = 0
+        self.local_no = int(datetime.now().strftime("%Y%m%d") + "000000")
 
         self.connect_status = False
         self.login_status = False
@@ -363,6 +360,9 @@ class DaFutureApi(FutureApi):
         self.auth_code = ""
         self.mac_address = get_mac_address()
 
+        self.orders = {}
+        self.order_info = {}
+
     def onFrontConnected(self):
         """"""
         self.gateway.write_log("交易服务器连接成功")
@@ -382,6 +382,13 @@ class DaFutureApi(FutureApi):
             # 查询可交易合约
             for exchange in EXCHANGE_DA2VT.values():
                 self.query_contract(exchange)
+            
+            # 查询账户信息
+            self.query_account()
+            self.query_position()
+            self.query_order()
+            self.query_trade()
+
         else:
             self.login_failed = True
             self.gateway.write_error("交易服务器登录失败", error)
@@ -392,30 +399,25 @@ class DaFutureApi(FutureApi):
 
     def onRspOrderInsert(self, data: dict, error: dict, reqid: int, last: bool):
         """"""
-        order_ref = data["OrderRef"]
+        errorid = error["ErrorID"]
-        orderid = f"{self.frontid}_{self.sessionid}_{order_ref}"
+        orderid = data["LocalNo"]
+        order = self.orders[orderid]
 
-        symbol = data["InstrumentID"]
+        if errorid:
-        exchange = symbol_exchange_map[symbol]
+            order.status = Status.REJECTED
+            self.gateway.write_error("交易委托失败", error)
+        else:
+            order.time = data["OrderTime"]
 
-        order = OrderData(
+            self.order_info[order.orderid] = (data["OrderNo"], data["SystemNo"])
-            symbol=symbol,
+        
-            exchange=exchange,
+        self.gateway.on_order(copy(order))
-            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 onRspOrderCancel(self, data: dict, error: dict, reqid: int, last: bool):
-
-    def onRspOrderAction(self, data: dict, error: dict, reqid: int, last: bool):
         """"""
-        self.gateway.write_error("交易撤单失败", error)
+        errorid = error["ErrorID"]
+        if errorid:
+            self.gateway.write_error("交易撤单失败", error)
 
     def onRspQueryMaxOrderVolume(self, data: dict, error: dict, reqid: int, last: bool):
         """"""
@@ -430,79 +432,6 @@ class DaFutureApi(FutureApi):
         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.
@@ -519,6 +448,9 @@ class DaFutureApi(FutureApi):
                 gateway_name=self.gateway_name
             )
 
+            symbol_name_map[contract.vt_symbol] = contract.name
+            symbol_currency_map[contract.symbol] = data["CommodityFCurrencyNo"]
+            
             self.gateway.on_contract(contract)
 
         if last:
@@ -542,17 +474,32 @@ class DaFutureApi(FutureApi):
             time=data["OrderTime"],
             gateway_name=self.gateway_name
         )
-        self.gateway.on_order(order)
+
+        self.local_no = max(self.local_no, int(data["LocalNo"]))
+        self.orders[order.orderid] = order
+        self.order_info[order.orderid] = (data["OrderNo"], data["SystemNo"])
+
+        self.gateway.on_order(copy(order))
+
+        if last:
+            self.gateway.write_log("委托信息查询成功")
 
     def onRspQryTrade(self, data: dict, error: dict, reqid: int, last: bool):
         """
         Callback of trade query.
         """
+        self.update_trade(data)
+
+        if last:
+            self.gateway.write_log("成交信息查询成功")
+
+    def update_trade(self, data: dict):
+        """"""
         trade = TradeData(
             symbol=data["TreatyCode"],
             exchange=EXCHANGE_DA2VT[data["ExchangeCode"]],
             orderid=data["LocalNo"],
-            tradeid=data["FilledNo"]
+            tradeid=data["FilledNo"],
             direction=DIRECTION_DA2VT[data["BuySale"]],
             offset=OFFSET_DA2VT[data["AddReduce"]],
             price=float(data["FilledPrice"]),
@@ -567,70 +514,115 @@ class DaFutureApi(FutureApi):
         Callback of trade query.
         """
         account = AccountData(
-            accountid=data["UserId"],
+            accountid=data["CurrencyNo"],
-            balance=float(data["TodayBalance"])
+            balance=float(data["TodayBalance"]),
             frozen=float(data["FreezenMoney"]),
             gateway_name=self.gateway_name
         )
+
+        currency_account_map[data["CurrencyNo"]] = data["AccountNo"]
+        account_currency_map[data["AccountNo"]] = data["CurrencyNo"]
         self.gateway.on_account(account)
 
-    def onRspQryPosition(self, data: dict, error: dict, reqid: int, last: bool):
+        if last:
-        """
+            self.gateway.write_log("资金信息查询成功")
-        Callback of trade query.
-        """
-        position = PositionData(
-            symbol=data["ContCode"],
-            exchange=EXCHANGE_DA2VT[data["ExchangeNo"]],
-            direction=DIRECTION_DA2VT[data["Direct"]],
-            volume=data["HoldVol"],
-            price=data["HoldPrice"],
-            gateway_name=self.gateway_name
-        )   
-        self.gateway.on_position(position)
 
-    def onRtnOrder(self, data: dict):
+    def onRspQryTotalPosition(self, data: dict, error: dict, reqid: int, last: bool):
+        """
+        Callback of position query.
+        """
+        if data["TreatyCode"]:
+            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)
+
+            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)
+
+        if last:
+            self.gateway.write_log("持仓信息查询成功")
+
+    def onRtnOrder(self, data: dict, error: dict, reqid: int, last: bool):
         """
         Callback of order status update.
         """
-        pass
+        orderid = data["LocalOrderNo"]
+        self.local_no = max(self.local_no, int(orderid))
 
-    def onRtnTrade(self, data: dict):
+        order = self.orders.get(orderid, None)
+        if not order:
+            return
+
+        order.traded = data["FilledNumber"]
+        
+        if data["IsCanceled"] == "1":
+            order.status = Status.CANCELLED
+        elif order.traded == order.volume:
+            order.status = Status.ALLTRADED
+        elif order.traded > 0:
+            order.status = Status.PARTTRADED
+        else:
+            order.status = Status.NOTTRADED
+
+        self.gateway.on_order(copy(order))
+
+    def onRtnTrade(self, data: dict, error: dict, reqid: int, last: bool):
         """
         Callback of trade status update.
         """
-        symbol = data["InstrumentID"]
+        self.update_trade(data)
-        exchange = symbol_exchange_map.get(symbol, "")
+    
-        if not exchange:
+    def onRtnCapital(self, data: dict, error: dict, reqid: int, last: bool):
-            self.trade_data.append(data)
+        """
-            return
+        Callback of capital status update.
+        """
+        currency = account_currency_map[data["AccountNo"]]
 
-        orderid = self.sysid_orderid_map[data["OrderSysID"]]
+        account = AccountData(
-
+            accountid=currency,
-        trade = TradeData(
+            balance=data["TodayTotal"],
-            symbol=symbol,
+            frozen=data["FrozenDeposit"],
-            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 update_trade(self, data: dict):
+        self.gateway.on_account(account)
-        """"""
-        pass
 
-    def update_account(self, data: dict):
+    def onRtnPosition(self, data: dict, error: dict, reqid: int, last: bool):
-        """"""
+        """
-        pass
+        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):
+        short_position = PositionData(
-        """"""
+            symbol=data["TreatyCode"],
-        pass
+            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)
+        self.reqUserLogin(req, self.reqid)
-        print("login", n)
 
     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,
+            "UserId": self.userid,
-            "ExchangeID": req.exchange.value,
+            "AccountNo": account_no,
-            "LimitPrice": req.price,
+            "LocalNo": str(self.local_no),
-            "VolumeTotalOriginal": int(req.volume),
+            "TradePwd": self.password,
-            "OrderPriceType": ORDERTYPE_VT2DA.get(req.type, ""),
+            "ExchangeCode": EXCHANGE_VT2DA[req.exchange],
-            "Direction": DIRECTION_VT2DA.get(req.direction, ""),
+            "TreatyCode": req.symbol,
-            "CombOffsetFlag": OFFSET_VT2DA.get(req.offset, ""),
+            "BuySale": DIRECTION_VT2DA[req.direction],
-            "OrderRef": str(self.order_ref),
+            "OrderPrice": str(req.price),
-            "InvestorID": self.userid,
+            "OrderNumber": str(int(req.volume)),
-            "UserID": self.userid,
+            "PriceType": ORDERTYPE_VT2DA[req.type]
-            "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(str(self.local_no), self.gateway_name)
-        order = req.create_order_data(orderid, 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,
+            "UserId": self.userid,
-            "ExchangeID": req.exchange.value,
+            "LocalNo": req.orderid,
-            "OrderRef": order_ref,
+            "AccountNo": account_no,
-            "FrontID": int(frontid),
+            "TradePwd": self.password,
-            "SessionID": int(sessionid),
+            "ExchangeCode": EXCHANGE_VT2DA[req.exchange],
-            "ActionFlag": THOST_FTDC_AF_Delete,
+            "TreatyCode": req.symbol,
-            "BrokerID": self.brokerid,
+            "BuySale": DIRECTION_VT2DA[order.direction],
-            "InvestorID": self.userid
+            "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)
+