# encoding: UTF-8 ''' Interactive Brokers的gateway接入，已经替换为vn.ib封装。 注意事项： 1. ib api只能获取和操作当前连接后下的单，并且每次重启程序后，之前下的单子收不到 2. ib api的成交也只会推送当前连接后的成交 3. ib api的持仓和账户更新可以订阅成主推模式，因此qryAccount和qryPosition就用不到了 4. 目前只支持股票和期货交易，ib api里期权合约的确定是基于Contract对象的多个字段，比较复杂暂时没做 5. 海外市场的交易规则和国内有很多细节上的不同，所以一些字段类型的映射可能不合理，如果发现问题欢迎指出 ''' import os import json import calendar from datetime import datetime, timedelta from copy import copy from vnib import * from vtGateway import * from language import text # 以下为一些VT类型和CTP类型的映射字典 # 价格类型映射 priceTypeMap = {} priceTypeMap[PRICETYPE_LIMITPRICE] = 'LMT' priceTypeMap[PRICETYPE_MARKETPRICE] = 'MKT' priceTypeMapReverse = {v: k for k, v in priceTypeMap.items()} # 方向类型映射 directionMap = {} directionMap[DIRECTION_LONG] = 'BUY' #directionMap[DIRECTION_SHORT] = 'SSHORT' # SSHORT在IB系统中代表对股票的融券做空（而不是国内常见的卖出） directionMap[DIRECTION_SHORT] = 'SELL' # 出于和国内的统一性考虑，这里选择把IB里的SELL印射为vt的SHORT directionMapReverse = {v: k for k, v in directionMap.items()} directionMapReverse['BOT'] = DIRECTION_LONG directionMapReverse['SLD'] = DIRECTION_SHORT # 交易所类型映射 exchangeMap = {} exchangeMap[EXCHANGE_SMART] = 'SMART' exchangeMap[EXCHANGE_NYMEX] = 'NYMEX' exchangeMap[EXCHANGE_GLOBEX] = 'GLOBEX' exchangeMap[EXCHANGE_IDEALPRO] = 'IDEALPRO' exchangeMap[EXCHANGE_HKEX] = 'HKEX' exchangeMap[EXCHANGE_HKFE] = 'HKFE' exchangeMapReverse = {v:k for k,v in exchangeMap.items()} # 报单状态映射 orderStatusMap = {} orderStatusMap[STATUS_NOTTRADED] = 'Submitted' orderStatusMap[STATUS_ALLTRADED] = 'Filled' orderStatusMap[STATUS_CANCELLED] = 'Cancelled' orderStatusMapReverse = {v:k for k,v in orderStatusMap.items()} orderStatusMapReverse['PendingSubmit'] = STATUS_UNKNOWN # 这里未来视乎需求可以拓展vt订单的状态类型 orderStatusMapReverse['PendingCancel'] = STATUS_UNKNOWN orderStatusMapReverse['PreSubmitted'] = STATUS_UNKNOWN orderStatusMapReverse['Inactive'] = STATUS_UNKNOWN # 合约类型映射 productClassMap = {} productClassMap[PRODUCT_EQUITY] = 'STK' productClassMap[PRODUCT_FUTURES] = 'FUT' productClassMap[PRODUCT_OPTION] = 'OPT' productClassMap[PRODUCT_FOREX] = 'CASH' productClassMap[PRODUCT_INDEX] = 'IND' productClassMapReverse = {v:k for k,v in productClassMap.items()} # 期权类型映射 optionTypeMap = {} optionTypeMap[OPTION_CALL] = 'CALL' optionTypeMap[OPTION_PUT] = 'PUT' optionTypeMap = {v:k for k,v in optionTypeMap.items()} # 货币类型映射 currencyMap = {} currencyMap[CURRENCY_USD] = 'USD' currencyMap[CURRENCY_CNY] = 'CNY' currencyMap[CURRENCY_HKD] = 'HKD' currencyMap = {v:k for k,v in currencyMap.items()} # Tick数据的Field和名称映射 tickFieldMap = {} tickFieldMap[0] = 'bidVolume1' tickFieldMap[1] = 'bidPrice1' tickFieldMap[2] = 'askPrice1' tickFieldMap[3] = 'askVolume1' tickFieldMap[4] = 'lastPrice' tickFieldMap[5] = 'lastVolume' tickFieldMap[6] = 'highPrice' tickFieldMap[7] = 'lowPrice' tickFieldMap[8] = 'volume' tickFieldMap[9] = 'preClosePrice' tickFieldMap[14] = 'openPrice' tickFieldMap[22] = 'openInterest' # Account数据Key和名称的映射 accountKeyMap = {} accountKeyMap['NetLiquidationByCurrency'] = 'balance' accountKeyMap['NetLiquidation'] = 'balance' accountKeyMap['UnrealizedPnL'] = 'positionProfit' accountKeyMap['AvailableFunds'] = 'available' accountKeyMap['MaintMarginReq'] = 'margin' ######################################################################## class IbGateway(VtGateway): """IB接口""" #---------------------------------------------------------------------- def __init__(self, eventEngine, gatewayName='IB'): """Constructor""" super(IbGateway, self).__init__(eventEngine, gatewayName) self.host = EMPTY_STRING # 连接地址 self.port = EMPTY_INT # 连接端口 self.clientId = EMPTY_INT # 用户编号 self.accountCode = EMPTY_STRING # 账户编号 self.tickerId = 0 # 订阅行情时的代码编号 self.tickDict = {} # tick快照字典，key为tickerId，value为VtTickData对象 self.tickProductDict = {} # tick对应的产品类型字典，key为tickerId，value为产品类型 self.orderId = 0 # 订单编号 self.orderDict = {} # 报单字典，key为orderId，value为VtOrderData对象 self.accountDict = {} # 账户字典 self.contractDict = {} # 合约字典 self.subscribeReqDict = {} # 用来保存订阅请求的字典 self.connected = False # 连接状态 self.api = IbWrapper(self) # API接口 #---------------------------------------------------------------------- def connect(self): """连接""" # 载入json文件 fileName = self.gatewayName + '_connect.json' path = os.path.abspath(os.path.dirname(__file__)) fileName = os.path.join(path, fileName) try: f = file(fileName) except IOError: log = VtLogData() log.gatewayName = self.gatewayName log.logContent = text.LOADING_ERROR self.onLog(log) return # 解析json文件 setting = json.load(f) try: self.host = str(setting['host']) self.port = int(setting['port']) self.clientId = int(setting['clientId']) self.accountCode = str(setting['accountCode']) except KeyError: log = VtLogData() log.gatewayName = self.gatewayName log.logContent = text.CONFIG_KEY_MISSING self.onLog(log) return # 发起连接 self.api.eConnect(self.host, self.port, self.clientId, False) # 查询服务器时间 self.api.reqCurrentTime() #---------------------------------------------------------------------- def subscribe(self, subscribeReq): """订阅行情""" # 如果尚未连接行情，则将订阅请求缓存下来后直接返回 if not self.connected: self.subscribeReqDict[subscribeReq.symbol] = subscribeReq return contract = Contract() contract.localSymbol = str(subscribeReq.symbol) contract.exchange = exchangeMap.get(subscribeReq.exchange, '') contract.secType = productClassMap.get(subscribeReq.productClass, '') contract.currency = currencyMap.get(subscribeReq.currency, '') contract.expiry = subscribeReq.expiry contract.strike = subscribeReq.strikePrice contract.right = optionTypeMap.get(subscribeReq.optionType, '') # 获取合约详细信息 self.tickerId += 1 self.api.reqContractDetails(self.tickerId, contract) # 创建合约对象并保存到字典中 ct = VtContractData() ct.gatewayName = self.gatewayName ct.symbol = str(subscribeReq.symbol) ct.exchange = subscribeReq.exchange ct.vtSymbol = '.'.join([ct.symbol, ct.exchange]) ct.productClass = subscribeReq.productClass self.contractDict[ct.vtSymbol] = ct # 订阅行情 self.tickerId += 1 self.api.reqMktData(self.tickerId, contract, '', False, TagValueList()) # 创建Tick对象并保存到字典中 tick = VtTickData() tick.symbol = subscribeReq.symbol tick.exchange = subscribeReq.exchange tick.vtSymbol = '.'.join([tick.symbol, tick.exchange]) tick.gatewayName = self.gatewayName self.tickDict[self.tickerId] = tick self.tickProductDict[self.tickerId] = subscribeReq.productClass #---------------------------------------------------------------------- def sendOrder(self, orderReq): """发单""" # 增加报单号1，最后再次进行查询 # 这里双重设计的目的是为了防止某些情况下，连续发单时，nextOrderId的回调推送速度慢导致没有更新 self.orderId += 1 # 创建合约对象 contract = Contract() contract.localSymbol = str(orderReq.symbol) contract.exchange = exchangeMap.get(orderReq.exchange, '') contract.secType = productClassMap.get(orderReq.productClass, '') contract.currency = currencyMap.get(orderReq.currency, '') contract.expiry = orderReq.expiry contract.strike = orderReq.strikePrice contract.right = optionTypeMap.get(orderReq.optionType, '') contract.lastTradeDateOrContractMonth = str(orderReq.lastTradeDateOrContractMonth) contract.multiplier = str(orderReq.multiplier) # 创建委托对象 order = Order() order.orderId = self.orderId order.clientId = self.clientId order.action = directionMap.get(orderReq.direction, '') order.lmtPrice = orderReq.price order.totalQuantity = orderReq.volume order.orderType = priceTypeMap.get(orderReq.priceType, '') # 发送委托 self.api.placeOrder(self.orderId, contract, order) # 查询下一个有效编号 self.api.reqIds(1) # 返回委托编号 vtOrderID = '.'.join([self.gatewayName, str(self.orderId)]) return vtOrderID #---------------------------------------------------------------------- def cancelOrder(self, cancelOrderReq): """撤单""" self.api.cancelOrder(int(cancelOrderReq.orderID)) #---------------------------------------------------------------------- def qryAccount(self): """查询账户资金""" log = VtLogData() log.gatewayName = self.gatewayName log.logContent = text.NONEED_TO_QRYACCOUNT self.onLog(log) #---------------------------------------------------------------------- def qryPosition(self): """查询持仓""" log = VtLogData() log.gatewayName = self.gatewayName log.logContent = text.NONEED_TO_QRYPOSITION self.onLog(log) #---------------------------------------------------------------------- def close(self): """关闭""" self.api.eDisconnect() ######################################################################## class IbWrapper(IbApi): """IB回调接口的实现""" #---------------------------------------------------------------------- def __init__(self, gateway): """Constructor""" super(IbWrapper, self).__init__() self.apiStatus = False # 连接状态 self.gateway = gateway # gateway对象 self.gatewayName = gateway.gatewayName # gateway对象名称 self.tickDict = gateway.tickDict # tick快照字典，key为tickerId，value为VtTickData对象 self.orderDict = gateway.orderDict # order字典 self.accountDict = gateway.accountDict # account字典 self.contractDict = gateway.contractDict # contract字典 self.tickProductDict = gateway.tickProductDict self.subscribeReqDict = gateway.subscribeReqDict #---------------------------------------------------------------------- def nextValidId(self, orderId): """""" self.gateway.orderId = orderId #---------------------------------------------------------------------- def currentTime(self, time): """连接成功后推送当前时间""" dt = datetime.fromtimestamp(time) t = dt.strftime("%Y-%m-%d %H:%M:%S.%f") self.apiStatus = True self.gateway.connected = True log = VtLogData() log.gatewayName = self.gatewayName log.logContent = text.API_CONNECTED.format(time=t) self.gateway.onLog(log) for symbol, req in self.subscribeReqDict.items(): del self.subscribeReqDict[symbol] self.gateway.subscribe(req) #---------------------------------------------------------------------- def connectAck(self): """""" pass #---------------------------------------------------------------------- def error(self, id_, errorCode, errorString): """错误推送""" err = VtErrorData() err.gatewayName = self.gatewayName err.errorID = errorCode err.errorMsg = errorString.decode('GBK') self.gateway.onError(err) #---------------------------------------------------------------------- def accountSummary(self, reqId, account, tag, value, curency): """""" pass #---------------------------------------------------------------------- def accountSummaryEnd(self, reqId): """""" pass #---------------------------------------------------------------------- def tickPrice(self, tickerId, field, price, canAutoExecute): """行情价格相关推送""" if field in tickFieldMap: # 对于股票、期货等行情，有新价格推送时仅更新tick缓存 # 只有当发生成交后，tickString更新最新成交价时才推送新的tick # 即bid/ask的价格变动并不会触发新的tick推送 tick = self.tickDict[tickerId] key = tickFieldMap[field] tick.__setattr__(key, price) # IB的外汇行情没有成交价和时间，通过本地计算生成，同时立即推送 if self.tickProductDict[tickerId] == PRODUCT_FOREX: tick.lastPrice = (tick.bidPrice1 + tick.askPrice1) / 2 dt = datetime.now() tick.time = dt.strftime('%H:%M:%S.%f') tick.date = dt.strftime('%Y%m%d') # 行情数据更新 newtick = copy(tick) self.gateway.onTick(newtick) else: print(field) #---------------------------------------------------------------------- def tickSize(self, tickerId, field, size): """行情数量相关推送""" if field in tickFieldMap: tick = self.tickDict[tickerId] key = tickFieldMap[field] tick.__setattr__(key, size) else: print(field) #---------------------------------------------------------------------- def tickOptionComputation(self, tickerId, tickType, impliedVol, delta, optPrice, pvDividend, gamma, vega, theta, undPrice): """""" pass #---------------------------------------------------------------------- def tickGeneric(self, tickerId, tickType, value): """""" pass #---------------------------------------------------------------------- def tickString(self, tickerId, tickType, value): """行情补充信息相关推送""" # 如果是最新成交时间戳更新 if tickType == '45': tick = self.tickDict[tickerId] dt = datetime.fromtimestamp(value) tick.time = dt.strftime('%H:%M:%S.%f') tick.date = dt.strftime('%Y%m%d') newtick = copy(tick) self.gateway.onTick(newtick) #---------------------------------------------------------------------- def tickEFP(self, tickerId, tickType, basisPoints, formattedBasisPoints, totalDividends, holdDays, futureLastTradeDate, dividendImpact, dividendsToLastTradeDate): """""" pass #---------------------------------------------------------------------- def orderStatus(self, orderId, status, filled, remaining, avgFillPrice, permId, parentId, lastFillPrice, clientId, whyHeld): """委托状态更新""" orderId = str(orderId) if orderId in self.orderDict: od = self.orderDict[orderId] else: od = VtOrderData() # od代表orderData od.orderID = orderId od.vtOrderID = '.'.join([self.gatewayName, orderId]) od.gatewayName = self.gatewayName self.orderDict[orderId] = od od.status = orderStatusMapReverse.get(status, STATUS_UNKNOWN) od.tradedVolume = filled newod = copy(od) self.gateway.onOrder(newod) #---------------------------------------------------------------------- def openOrder(self, orderId, contract, order, orderState): """下达委托推送""" orderId = str(orderId) # orderId是整数 if orderId in self.orderDict: od = self.orderDict[orderId] else: od = VtOrderData() # od代表orderData od.orderID = orderId od.vtOrderID = '.'.join([self.gatewayName, orderId]) od.symbol = contract.localSymbol od.exchange = exchangeMapReverse.get(contract.exchange, '') od.vtSymbol = '.'.join([od.symbol, od.exchange]) od.gatewayName = self.gatewayName self.orderDict[orderId] = od od.direction = directionMapReverse.get(order.action, '') od.price = order.lmtPrice od.totalVolume = order.totalQuantity newod = copy(od) self.gateway.onOrder(newod) #---------------------------------------------------------------------- def openOrderEnd(self): """""" pass #---------------------------------------------------------------------- def winError(self, str_, lastError): """""" pass #---------------------------------------------------------------------- def connectionClosed(self): """断线""" self.apiStatus = False self.gateway.connected = False log = VtLogData() log.gatewayName = self.gatewayName log.logContent = text.API_DISCONNECTED self.gateway.onLog(log) #---------------------------------------------------------------------- def updateAccountValue(self, key, val, currency, accountName): """更新账户数据""" # 仅逐个字段更新数据，这里对于没有currency的推送忽略 if currency: name = '.'.join([accountName, currency]) if name in self.accountDict: account = self.accountDict[name] else: account = VtAccountData() account.accountID = name account.vtAccountID = name account.gatewayName = self.gatewayName self.accountDict[name] = account if key in accountKeyMap: k = accountKeyMap[key] account.__setattr__(k, float(val)) #---------------------------------------------------------------------- def updatePortfolio(self, contract, position, marketPrice, marketValue, averageCost, unrealizedPNL, realizedPNL, accountName): """持仓更新""" pos = VtPositionData() pos.symbol = contract.localSymbol pos.exchange = exchangeMapReverse.get(contract.exchange, contract.exchange) pos.vtSymbol = '.'.join([pos.symbol, pos.exchange]) pos.direction = DIRECTION_NET pos.position = position pos.price = averageCost pos.vtPositionName = pos.vtSymbol pos.gatewayName = self.gatewayName self.gateway.onPosition(pos) #---------------------------------------------------------------------- def updateAccountTime(self, timeStamp): """更新账户时间""" # 推送数据 for account in self.accountDict.values(): newaccount = copy(account) self.gateway.onAccount(newaccount) #---------------------------------------------------------------------- def accountDownloadEnd(self, accountName): """""" pass #---------------------------------------------------------------------- def contractDetails(self, reqId, contractDetails): """合约查询回报""" symbol = contractDetails.summary.localSymbol exchange = exchangeMapReverse.get(contractDetails.summary.exchange, EXCHANGE_UNKNOWN) vtSymbol = '.'.join([symbol, exchange]) ct = self.contractDict.get(vtSymbol, None) if not ct: return ct.name = contractDetails.longName.decode('UTF-8') ct.priceTick = contractDetails.minTick # 推送 self.gateway.onContract(ct) #---------------------------------------------------------------------- def bondContractDetails(self, reqId, contractDetails): """""" pass #---------------------------------------------------------------------- def contractDetailsEnd(self, reqId): """""" pass #---------------------------------------------------------------------- def execDetails(self, reqId, contract, execution): """成交推送""" trade = VtTradeData() trade.gatewayName = self.gatewayName trade.tradeID = execution.execId trade.vtTradeID = '.'.join([self.gatewayName, trade.tradeID]) trade.symbol = contract.localSymbol trade.exchange = exchangeMapReverse.get(contract.exchange, '') trade.vtSymbol = '.'.join([trade.symbol, trade.exchange]) trade.orderID = str(execution.orderId) trade.vtOrderID = '.'.join([self.gatewayName, trade.orderID]) trade.direction = directionMapReverse.get(execution.side, '') trade.price = execution.price trade.volume = execution.shares trade.tradeTime = execution.time self.gateway.onTrade(trade) #---------------------------------------------------------------------- def execDetailsEnd(self, reqId): """""" pass #---------------------------------------------------------------------- def updateMktDepth(self, id_, position, operation, side, price, size): """""" pass #---------------------------------------------------------------------- def updateMktDepthL2(self, id_, position, marketMaker, operation, side, price, size): """""" pass #---------------------------------------------------------------------- def updateNewsBulletin(self, msgId, msgType, newsMessage, originExch): """""" pass #---------------------------------------------------------------------- def managedAccounts(self, accountsList): """推送管理账户的信息""" l = accountsList.split(',') # 请求账户数据主推更新 for account in l: self.reqAccountUpdates(True, account) #---------------------------------------------------------------------- def receiveFA(self, pFaDataType, cxml): """""" pass #---------------------------------------------------------------------- def historicalData(self, reqId, date, open_, high, low, close, volume, barCount, WAP, hasGaps): """""" pass #---------------------------------------------------------------------- def scannerParameters(self, xml): """""" pass #---------------------------------------------------------------------- def scannerData(self, reqId, rank, contractDetails, distance, benchmark, projection, legsStr): """""" pass #---------------------------------------------------------------------- def scannerDataEnd(self, reqId): """""" pass #---------------------------------------------------------------------- def realtimeBar(self, reqId, time, open_, high, low, close, volume, wap, count): """""" pass #---------------------------------------------------------------------- def fundamentalData(self, reqId, data): """""" pass #---------------------------------------------------------------------- def deltaNeutralValidation(self, reqId, underComp): """""" pass #---------------------------------------------------------------------- def tickSnapshotEnd(self, reqId): """""" pass #---------------------------------------------------------------------- def marketDataType(self, reqId, marketDataType): """""" pass #---------------------------------------------------------------------- def commissionReport(self, commissionReport): """""" pass #---------------------------------------------------------------------- def position(self, account, contract, position, avgCost): """""" pass #---------------------------------------------------------------------- def positionEnd(self): """""" pass #---------------------------------------------------------------------- def verifyMessageAPI(self, apiData): """""" pass #---------------------------------------------------------------------- def verifyCompleted(self, isSuccessful, errorText): """""" pass #---------------------------------------------------------------------- def displayGroupList(self, reqId, groups): """""" pass #---------------------------------------------------------------------- def displayGroupUpdated(self, reqId, contractInfo): """""" pass #---------------------------------------------------------------------- def verifyAndAuthMessageAPI(self, apiData, xyzChallange): """""" pass #---------------------------------------------------------------------- def verifyAndAuthCompleted(self, isSuccessful, errorText): """""" pass #---------------------------------------------------------------------- def positionMulti(self, reqId, account, modelCode, contract, pos, avgCost): """""" pass #---------------------------------------------------------------------- def positionMultiEnd(self, reqId): """""" pass #---------------------------------------------------------------------- def accountUpdateMulti(self, reqId, account, modelCode, key, value, currency): """""" pass #---------------------------------------------------------------------- def accountUpdateMultiEnd(self, reqId): """""" pass #---------------------------------------------------------------------- def securityDefinitionOptionalParameter(self, reqId, exchange, underlyingConId, tradingClass, multiplier, expirations, strikes): """""" pass #---------------------------------------------------------------------- def securityDefinitionOptionalParameterEnd(self, reqId): """""" pass #---------------------------------------------------------------------- def softDollarTiers(self, reqId, tiers): """""" pass