3373038763
1. 股票、期货的tick推送基于成交变化（last price/last time）的更新 2. 外汇的tick推送基于bid-ask价格变动（last price/last time使用本地时间） 3. 连接成功后会自动订阅所有可交易账户的数据更新（而不只是当前账户）
731 lines
27 KiB
Python
731 lines
27 KiB
Python
# 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 PyQt4 import QtGui, QtCore
|
||
|
||
from vnib import *
|
||
from vtGateway import *
|
||
|
||
|
||
# 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'
|
||
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'
|
||
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 = {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 = u'读取连接配置出错，请检查'
|
||
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 = u'连接配置缺少字段，请检查'
|
||
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, '')
|
||
|
||
# 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 = u'IB接口账户信息提供主推更新，无需查询'
|
||
self.onLog(log)
|
||
|
||
#----------------------------------------------------------------------
|
||
def qryPosition(self):
|
||
"""查询持仓"""
|
||
log = VtLogData()
|
||
log.gatewayName = self.gatewayName
|
||
log.logContent = u'IB接口持仓信息提供主推更新，无需查询'
|
||
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 = (u'IB接口连接成功，当前服务器时间 %s' %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 = (u'IB接口连接断开')
|
||
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
|
||
|