[Mod] complete function test of da gateway
This commit is contained in:
vn.py
parent
795eab7228
commit
fa6c9e9975
Binary file not shown.
@ -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):
|
||||
@ -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"),
|
||||
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"]),
|
||||
datetime=datetime.strptime(data['Time'], "%Y-%m-%d %H:%M:%S"),
|
||||
volume=to_int(data["FilledNum"]),
|
||||
open_interest=to_int(data["HoldNum"]),
|
||||
limit_up=to_float(data["LimitUpPrice"]),
|
||||
limit_down=to_float(data["LimitDownPrice"]),
|
||||
last_price=to_float(data["CurrPrice"]),
|
||||
open_price=to_float(data["Open"]),
|
||||
high_price=to_float(data["High"]),
|
||||
low_price=to_float(data["Low"]),
|
||||
pre_close=to_float(data["PreSettlementPrice"]),
|
||||
bid_price_1=to_float(data["BuyPrice"]),
|
||||
bid_price_2=to_float(data["BuyPrice2"]),
|
||||
bid_price_3=to_float(data["BuyPrice3"]),
|
||||
bid_price_4=to_float(data["BuyPrice4"]),
|
||||
bid_price_5=to_float(data["BuyPrice5"]),
|
||||
ask_price_1=to_float(data["SalePrice"]),
|
||||
ask_price_2=to_float(data["SalePrice2"]),
|
||||
ask_price_3=to_float(data["SalePrice3"]),
|
||||
ask_price_4=to_float(data["SalePrice4"]),
|
||||
ask_price_5=to_float(data["SalePrice5"]),
|
||||
bid_volume_1=to_int(data["BuyNumber"]),
|
||||
bid_volume_2=to_int(data["BuyNumber2"]),
|
||||
bid_volume_3=to_int(data["BuyNumber3"]),
|
||||
bid_volume_4=to_int(data["BuyNumber4"]),
|
||||
bid_volume_5=to_int(data["BuyNumber5"]),
|
||||
ask_volume_1=to_int(data["SaleNumber"]),
|
||||
ask_volume_2=to_int(data["SaleNumber2"]),
|
||||
ask_volume_3=to_int(data["SaleNumber3"]),
|
||||
ask_volume_4=to_int(data["SaleNumber4"]),
|
||||
ask_volume_5=to_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)
|
||||
@ -392,29 +399,24 @@ class DaFutureApi(FutureApi):
|
||||
|
||||
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)
|
||||
errorid = error["ErrorID"]
|
||||
orderid = data["LocalNo"]
|
||||
order = self.orders[orderid]
|
||||
|
||||
if errorid:
|
||||
order.status = Status.REJECTED
|
||||
self.gateway.write_error("交易委托失败", error)
|
||||
else:
|
||||
order.time = data["OrderTime"]
|
||||
|
||||
def onRspOrderAction(self, data: dict, error: dict, reqid: int, last: bool):
|
||||
self.order_info[order.orderid] = (data["OrderNo"], data["SystemNo"])
|
||||
|
||||
self.gateway.on_order(copy(order))
|
||||
|
||||
def onRspOrderCancel(self, data: dict, error: dict, reqid: int, last: bool):
|
||||
""""""
|
||||
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"],
|
||||
balance=float(data["TodayBalance"])
|
||||
accountid=data["CurrencyNo"],
|
||||
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")
|
||||
|
||||
def onRspQryTotalPosition(self, data: dict, error: dict, reqid: int, last: bool):
|
||||
"""
|
||||
Callback of trade query.
|
||||
Callback of position query.
|
||||
"""
|
||||
position = PositionData(
|
||||
symbol=data["ContCode"],
|
||||
if data["TreatyCode"]:
|
||||
long_position = PositionData(
|
||||
symbol=data["TreatyCode"],
|
||||
exchange=EXCHANGE_DA2VT[data["ExchangeNo"]],
|
||||
direction=DIRECTION_DA2VT[data["Direct"]],
|
||||
volume=data["HoldVol"],
|
||||
price=data["HoldPrice"],
|
||||
direction=Direction.LONG,
|
||||
volume=data["BuyHoldNumber"],
|
||||
price=data["BuyHoldOpenPrice"],
|
||||
gateway_name=self.gateway_name
|
||||
)
|
||||
self.gateway.on_position(position)
|
||||
self.gateway.on_position(long_position)
|
||||
|
||||
def onRtnOrder(self, data: dict):
|
||||
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"]
|
||||
exchange = symbol_exchange_map.get(symbol, "")
|
||||
if not exchange:
|
||||
self.trade_data.append(data)
|
||||
return
|
||||
self.update_trade(data)
|
||||
|
||||
orderid = self.sysid_orderid_map[data["OrderSysID"]]
|
||||
def onRtnCapital(self, data: dict, error: dict, reqid: int, last: bool):
|
||||
"""
|
||||
Callback of capital status update.
|
||||
"""
|
||||
currency = account_currency_map[data["AccountNo"]]
|
||||
|
||||
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"],
|
||||
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):
|
||||
"""
|
||||
@ -828,3 +815,20 @@ def get_mac_address():
|
||||
return ""
|
||||
|
||||
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