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Merge pull request #1736 from vnpy/xtp-margin

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Xtp margin
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vn.py 2019-05-23 09:43:32 +08:00 committed by GitHub
commit fa8e85311c
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GPG Key ID: 4AEE18F83AFDEB23
3 changed files with 83 additions and 12 deletions
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4
vnpy/gateway/hbdm/hbdm_gateway.py
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@ -84,7 +84,7 @@ INTERVAL_VT2HBDM = {
CONTRACT_TYPE_MAP = {
"this_week": "CW",
"next_week": "NW",
"this_quarter": "CQ"
"quarter": "CQ"
}
@ -654,7 +654,7 @@ class HbdmRestApi(RestClient):
)
self.gateway.on_contract(contract)
symbol_type_map[contract.symbol] = d['contract_type']
symbol_type_map[contract.symbol] = d["contract_type"]
self.gateway.write_log("合约信息查询成功")

89
vnpy/gateway/xtp/xtp_gateway.py
View File

@ -17,6 +17,7 @@ from vnpy.api.xtp.vnxtp import (
XTPOrderInfo,
XTPTradeReport,
XTPOrderCancelInfo,
XTPCrdDebtInfo,
XTPQueryStkPositionRsp,
XTPQueryAssetRsp,
XTPStructuredFundInfo,
@ -32,6 +33,11 @@ from vnpy.api.xtp.vnxtp import (
XTP_TE_RESUME_TYPE,
XTP_SIDE_BUY,
XTP_SIDE_SELL,
XTP_SIDE_MARGIN_TRADE,
XTP_SIDE_SHORT_SELL,
XTP_SIDE_REPAY_MARGIN,
XTP_SIDE_REPAY_STOCK,
XTP_ACCOUNT_TYPE,
XTP_BUSINESS_TYPE,
XTP_TICKER_TYPE,
XTP_MARKET_TYPE,
@ -40,7 +46,7 @@ from vnpy.api.xtp.vnxtp import (
)
from vnpy.event import EventEngine
from vnpy.trader.event import EVENT_TIMER
from vnpy.trader.constant import Exchange, Product, Direction, OrderType, Status
from vnpy.trader.constant import Exchange, Product, Direction, OrderType, Status, Offset
from vnpy.trader.gateway import BaseGateway
from vnpy.trader.object import (CancelRequest, OrderRequest, SubscribeRequest,
TickData, ContractData, OrderData, TradeData,
@ -71,9 +77,17 @@ PRODUCT_XTP2VT = {
XTP_TICKER_TYPE.XTP_TICKER_TYPE_OPTION: Product.OPTION
}
# DIRECTION_VT2XTP = {
# Direction.LONG: XTP_SIDE_BUY,
# Direction.SHORT: XTP_SIDE_SELL
# }
DIRECTION_VT2XTP = {
Direction.LONG: XTP_SIDE_BUY,
Direction.SHORT: XTP_SIDE_SELL
(Direction.LONG, Offset.OPEN): XTP_SIDE_MARGIN_TRADE,
(Direction.SHORT, Offset.CLOSE): XTP_SIDE_REPAY_MARGIN,
(Direction.SHORT, Offset.OPEN): XTP_SIDE_SHORT_SELL,
(Direction.LONG, Offset.CLOSE): XTP_SIDE_REPAY_STOCK,
(Direction.SHORT, Offset.NONE): XTP_SIDE_BUY,
(Direction.LONG, Offset.NONE): XTP_SIDE_SELL,
}
DIRECTION_XTP2VT = {v: k for k, v in DIRECTION_VT2XTP.items()}
@ -95,6 +109,7 @@ STATUS_XTP2VT = {
symbol_name_map = {}
symbol_exchange_map = {}
class XtpGateway(BaseGateway):
@ -291,6 +306,8 @@ class XtpQuoteApi(API.QuoteSpi):
""""""
self.gateway.write_log("行情服务器连接断开")
self.login()
def OnError(self, error_info: XTPRspInfoStruct) -> Any:
""""""
self.check_error("行情接口", error_info)
@ -428,6 +445,9 @@ class XtpQuoteApi(API.QuoteSpi):
symbol_name_map[contract.vt_symbol] = contract.name
if contract.product != Product.INDEX:
symbol_exchange_map[contract.symbol] = contract.exchange
if is_last:
self.gateway.write_log(f"{contract.exchange.value}合约信息查询成功")
@ -487,6 +507,13 @@ class XtpTraderApi(API.TraderSpi):
self.session_id = 0
self.reqid = 0
# Whether current account supports margin or option
self.margin_trading = False
self.option_trading = False
#
self.short_positions = {}
def connect(
self,
userid: str,
@ -564,9 +591,13 @@ class XtpTraderApi(API.TraderSpi):
xtp_req.market = MARKET_VT2XTP[req.exchange]
xtp_req.price = req.price
xtp_req.quantity = int(req.volume)
xtp_req.side = DIRECTION_VT2XTP[req.direction]
xtp_req.side = DIRECTION_VT2XTP.get((req.direction, req.offset), "")
xtp_req.price_type = ORDERTYPE_VT2XTP[req.type]
xtp_req.business_type = XTP_BUSINESS_TYPE.XTP_BUSINESS_TYPE_CASH
if req.offset == Offset.NONE:
xtp_req.business_type = XTP_BUSINESS_TYPE.XTP_BUSINESS_TYPE_CASH
else:
xtp_req.business_type = XTP_BUSINESS_TYPE.XTP_BUSINESS_TYPE_MARGIN
orderid = self.api.InsertOrder(xtp_req, self.session_id)
@ -595,6 +626,10 @@ class XtpTraderApi(API.TraderSpi):
self.reqid += 1
self.api.QueryPosition("", self.session_id, self.reqid)
if self.margin_trading:
self.reqid += 1
self.api.QueryCreditDebtInfo(self.session_id, self.reqid)
def check_error(self, func_name: str, error_info: XTPRspInfoStruct):
""""""
if error_info and error_info.error_id:
@ -608,6 +643,8 @@ class XtpTraderApi(API.TraderSpi):
""""""
self.gateway.write_log("交易服务器连接断开")
self.login()
def OnError(self, error_info: XTPRspInfoStruct) -> Any:
""""""
self.check_error("交易接口", error_info)
@ -617,12 +654,15 @@ class XtpTraderApi(API.TraderSpi):
""""""
self.check_error("委托下单", error_info)
direction, offset = DIRECTION_XTP2VT[order_info.side]
order = OrderData(
symbol=order_info.ticker,
exchange=MARKET_XTP2VT[order_info.market],
orderid=str(order_info.order_xtp_id),
type=ORDERTYPE_XTP2VT[order_info.price_type],
direction=DIRECTION_XTP2VT[order_info.side],
direction=direction,
offset=offset,
price=order_info.price,
volume=order_info.quantity,
traded=order_info.qty_traded,
@ -635,12 +675,15 @@ class XtpTraderApi(API.TraderSpi):
def OnTradeEvent(self, trade_info: XTPTradeReport, session_id: int) -> Any:
""""""
direction, offset = DIRECTION_XTP2VT[trade_info.side]
trade = TradeData(
symbol=trade_info.ticker,
exchange=MARKET_XTP2VT[trade_info.market],
orderid=str(trade_info.order_xtp_id),
tradeid=str(trade_info.exec_id),
direction=DIRECTION_XTP2VT[trade_info.side],
direction=direction,
offset=offset,
price=trade_info.price,
volume=trade_info.quantity,
time=trade_info.trade_time,
@ -682,7 +725,7 @@ class XtpTraderApi(API.TraderSpi):
position = PositionData(
symbol=xtp_position.ticker,
exchange=MARKET_XTP2VT[xtp_position.market],
direction=Direction.NET,
direction=Direction.LONG,
volume=xtp_position.total_qty,
frozen=xtp_position.locked_position,
price=xtp_position.avg_price,
@ -703,6 +746,11 @@ class XtpTraderApi(API.TraderSpi):
)
self.gateway.on_account(account)
if asset.account_type == XTP_ACCOUNT_TYPE.XTP_ACCOUNT_CREDIT:
self.margin_trading = True
elif asset.account_type == XTP_ACCOUNT_TYPE.XTP_ACCOUNT_DERIVE:
self.option_trading = True
def OnQueryStructuredFund(self, fund_info: XTPStructuredFundInfo, error_info: XTPRspInfoStruct,
is_last: bool, session_id: int) -> Any:
""""""
@ -741,3 +789,28 @@ class XtpTraderApi(API.TraderSpi):
is_last: bool, session_id: int) -> Any:
""""""
pass
def OnQueryCreditDebtInfo(self, debt_info: XTPCrdDebtInfo, error_info: XTPRspInfoStruct,
request_id: int, is_last: bool, session_id: int) -> Any:
""""""
if debt_info.debt_type == 1:
symbol = debt_info.ticker
exchange = MARKET_XTP2VT[debt_info.market]
position = self.short_positions.get(symbol, None)
if not position:
position = PositionData(
symbol=symbol,
exchange=exchange,
direction=Direction.SHORT,
gateway_name=self.gateway_name
)
self.short_positions[symbol] = position
position.volume += debt_info.remain_qty
if is_last:
for position in self.short_positions.values():
self.gateway.on_position(position)
self.short_positions.clear()

2
vnpy/trader/database/database_sql.py
View File

@ -311,8 +311,6 @@ def init_models(db: Database, driver: Driver):
else:
for c in chunked(dicts, 50):
DbTickData.insert_many(c).on_conflict_replace().execute()
DbTickData.insert_many(
c).on_conflict_replace().execute()
db.connect()
db.create_tables([DbBarData, DbTickData])