433 lines
11 KiB
Python
433 lines
11 KiB
Python
"""
|
||
Basic data structure used for general trading function in VN Trader.
|
||
"""
|
||
|
||
from dataclasses import dataclass
|
||
from datetime import datetime
|
||
from logging import INFO
|
||
|
||
from .constant import (
|
||
Color, Direction,
|
||
Exchange, Interval,
|
||
Offset, Status,
|
||
Product, OptionType,
|
||
OrderType)
|
||
|
||
ACTIVE_STATUSES = set([Status.SUBMITTING, Status.NOTTRADED, Status.PARTTRADED, Status.CANCELLING])
|
||
|
||
|
||
@dataclass
|
||
class BaseData:
|
||
"""
|
||
Any data object needs a gateway_name as source
|
||
and should inherit base data.
|
||
"""
|
||
|
||
gateway_name: str
|
||
|
||
|
||
@dataclass
|
||
class TickData(BaseData):
|
||
"""
|
||
Tick data contains information about:
|
||
* last trade in market
|
||
* orderbook snapshot
|
||
* intraday market statistics.
|
||
"""
|
||
|
||
symbol: str
|
||
exchange: Exchange
|
||
datetime: datetime
|
||
date: str = "" # '%Y-%m-%d'
|
||
time: str = "" # '%H:%M:%S.%f'
|
||
trading_day: str = "" # '%Y-%m-%d'
|
||
|
||
name: str = ""
|
||
volume: float = 0 # 当前交易日累计成交量
|
||
open_interest: float = 0
|
||
last_price: float = 0
|
||
last_volume: float = 0 # 当前切片的成交量
|
||
limit_up: float = 0
|
||
limit_down: float = 0
|
||
|
||
open_price: float = 0
|
||
high_price: float = 0
|
||
low_price: float = 0
|
||
pre_close: float = 0
|
||
|
||
bid_price_1: float = 0
|
||
bid_price_2: float = 0
|
||
bid_price_3: float = 0
|
||
bid_price_4: float = 0
|
||
bid_price_5: float = 0
|
||
|
||
ask_price_1: float = 0
|
||
ask_price_2: float = 0
|
||
ask_price_3: float = 0
|
||
ask_price_4: float = 0
|
||
ask_price_5: float = 0
|
||
|
||
bid_volume_1: float = 0
|
||
bid_volume_2: float = 0
|
||
bid_volume_3: float = 0
|
||
bid_volume_4: float = 0
|
||
bid_volume_5: float = 0
|
||
|
||
ask_volume_1: float = 0
|
||
ask_volume_2: float = 0
|
||
ask_volume_3: float = 0
|
||
ask_volume_4: float = 0
|
||
ask_volume_5: float = 0
|
||
|
||
def __post_init__(self):
|
||
""""""
|
||
self.vt_symbol = f"{self.symbol}.{self.exchange.value}"
|
||
|
||
|
||
@dataclass
|
||
class BarData(BaseData):
|
||
"""
|
||
Candlestick bar data of a certain trading period.
|
||
"""
|
||
|
||
symbol: str
|
||
exchange: Exchange
|
||
datetime: datetime # bar的开始时间
|
||
trading_day: str = "" # '%Y-%m-%d'
|
||
|
||
interval: Interval = None # constant.py Internal 1m, 1h, 1d, 1w .etc
|
||
interval_num: int = 1 # 5 for 5m, 5h etc
|
||
volume: float = 0
|
||
open_interest: float = 0
|
||
open_price: float = 0
|
||
high_price: float = 0
|
||
low_price: float = 0
|
||
close_price: float = 0
|
||
|
||
def __post_init__(self):
|
||
""""""
|
||
self.vt_symbol = f"{self.symbol}.{self.exchange.value}"
|
||
|
||
|
||
@dataclass
|
||
class RenkoBarData(BarData):
|
||
"""
|
||
Renko bar data of a certain trading period.
|
||
"""
|
||
color: Color = Color.EQUAL # bar的颜色
|
||
seconds: int = 0 # 当前Bar的秒数（针对RenkoBar)
|
||
high_seconds: int = -1 # 当前Bar的上限秒数
|
||
low_seconds: int = -1 # 当前bar的下限秒数
|
||
height: float = 3 # 当前Bar的高度限制（针对RenkoBar和RangeBar类）
|
||
up_band: float = 0 # 高位区域的基线
|
||
down_band: float = 0 # 低位区域的基线
|
||
low_time = None # 最后一次进入低位区域的时间
|
||
high_time = None # 最后一次进入高位区域的时间
|
||
|
||
|
||
@dataclass
|
||
class OrderData(BaseData):
|
||
"""
|
||
Order data contains information for tracking lastest status
|
||
of a specific order.
|
||
"""
|
||
|
||
symbol: str
|
||
exchange: Exchange
|
||
orderid: str
|
||
name: str = ""
|
||
sys_orderid: str = ""
|
||
accountid: str = ""
|
||
type: OrderType = OrderType.LIMIT
|
||
direction: Direction = ""
|
||
offset: Offset = Offset.NONE
|
||
price: float = 0
|
||
volume: float = 0
|
||
traded: float = 0
|
||
status: Status = Status.SUBMITTING
|
||
datetime: datetime = None
|
||
time: str = ""
|
||
cancel_time: str = ""
|
||
|
||
def __post_init__(self):
|
||
""""""
|
||
self.vt_symbol = f"{self.symbol}.{self.exchange.value}"
|
||
self.vt_orderid = f"{self.gateway_name}.{self.orderid}"
|
||
self.vt_accountid = f"{self.gateway_name}.{self.accountid}"
|
||
if len(self.name) == 0:
|
||
self.name = self.vt_symbol
|
||
|
||
def is_active(self) -> bool:
|
||
"""
|
||
Check if the order is active.
|
||
"""
|
||
if self.status in ACTIVE_STATUSES:
|
||
return True
|
||
else:
|
||
return False
|
||
|
||
def create_cancel_request(self) -> "CancelRequest":
|
||
"""
|
||
Create cancel request object from order.
|
||
"""
|
||
req = CancelRequest(
|
||
orderid=self.orderid, symbol=self.symbol, exchange=self.exchange
|
||
)
|
||
return req
|
||
|
||
|
||
@dataclass
|
||
class TradeData(BaseData):
|
||
"""
|
||
Trade data contains information of a fill of an order. One order
|
||
can have several trade fills.
|
||
"""
|
||
|
||
symbol: str
|
||
exchange: Exchange
|
||
orderid: str
|
||
tradeid: str
|
||
name: str = ""
|
||
sys_orderid: str = ""
|
||
accountid: str = ""
|
||
|
||
direction: Direction = ""
|
||
|
||
offset: Offset = Offset.NONE
|
||
price: float = 0
|
||
volume: float = 0
|
||
time: str = ""
|
||
datetime: datetime = None
|
||
strategy_name: str = "" # 策略名
|
||
|
||
# 股票使用
|
||
trade_amount: float = 0 # 成交金额
|
||
commission: float = 0 # 手续费(印花税+佣金+过户费）
|
||
holder_id: str = "" # 股东代码
|
||
comment: str = "" # 备注
|
||
|
||
def __post_init__(self):
|
||
""""""
|
||
self.vt_symbol = f"{self.symbol}.{self.exchange.value}"
|
||
self.vt_orderid = f"{self.gateway_name}.{self.orderid}"
|
||
self.vt_tradeid = f"{self.gateway_name}.{self.tradeid}"
|
||
self.vt_accountid = f"{self.gateway_name}.{self.accountid}"
|
||
if len(self.name) == 0:
|
||
self.name = self.vt_symbol
|
||
|
||
@dataclass
|
||
class PositionData(BaseData):
|
||
"""
|
||
Positon data is used for tracking each individual position holding.
|
||
"""
|
||
|
||
symbol: str
|
||
exchange: Exchange
|
||
direction: Direction
|
||
accountid: str = "" # 账号id
|
||
name: str = ""
|
||
volume: float = 0
|
||
frozen: float = 0
|
||
price: float = 0
|
||
pnl: float = 0
|
||
yd_volume: float = 0
|
||
cur_price: float = 0 # 当前价
|
||
|
||
# 股票相关
|
||
holder_id: str = "" # 股东代码
|
||
|
||
def __post_init__(self):
|
||
""""""
|
||
self.vt_symbol = f"{self.symbol}.{self.exchange.value}"
|
||
self.vt_positionid = f"{self.gateway_name}.{self.vt_symbol}.{self.direction.value}"
|
||
self.vt_accountid = f"{self.gateway_name}.{self.accountid}"
|
||
if self.name == "":
|
||
self.name = self.vt_symbol
|
||
|
||
|
||
@dataclass
|
||
class AccountData(BaseData):
|
||
"""
|
||
Account data contains information about balance, frozen and
|
||
available.
|
||
"""
|
||
|
||
accountid: str
|
||
pre_balance: float = 0 # 昨净值
|
||
balance: float = 0 # 当前净值
|
||
frozen: float = 0 # 冻结资金
|
||
currency: str = "" # 币种
|
||
commission: float = 0 # 手续费
|
||
margin: float = 0 # 使用保证金
|
||
close_profit: float = 0 # 平仓盈亏
|
||
holding_profit: float = 0 # 持仓盈亏
|
||
trading_day: str = "" # 当前交易日
|
||
|
||
def __post_init__(self):
|
||
""""""
|
||
self.available = self.balance - self.frozen
|
||
self.vt_accountid = f"{self.gateway_name}.{self.accountid}"
|
||
|
||
|
||
@dataclass
|
||
class FundsFlowData(BaseData):
|
||
"""历史资金流水数据类(股票专用）"""
|
||
|
||
# 账号代码相关
|
||
accountid: str # 账户代码
|
||
exchange: Exchange = None
|
||
|
||
currency: str = "" # 币种
|
||
trade_date: str = "" # 成交日期
|
||
trade_price: float = 0 # 成交价格
|
||
trade_volume: float = 0 # 成交数量
|
||
trade_amount: float = 0 # 发生金额( 正数代表卖出，或者转入资金，获取分红等，负数代表买入股票或者出金)
|
||
fund_remain: float = 0 # 资金余额
|
||
contract_id: str = "" # 合同编号
|
||
business_name: str = "" # 业务名称
|
||
symbol: str = "" # 合约代码（证券代码）
|
||
holder_id: str = "" # 股东代码
|
||
direction: str = "" # 买卖类别：转,买，卖..
|
||
comment: str = "" # 备注
|
||
|
||
def __post_init__(self):
|
||
if self.exchange:
|
||
self.vt_symbol = f"{self.symbol}.{self.exchange.value}"
|
||
else:
|
||
self.vt_symbol = self.symbol
|
||
|
||
self.vt_accountid = f"{self.gateway_name}.{self.accountid}"
|
||
|
||
|
||
@dataclass
|
||
class LogData(BaseData):
|
||
"""
|
||
Log data is used for recording log messages on GUI or in log files.
|
||
"""
|
||
|
||
msg: str
|
||
level: int = INFO
|
||
additional_info: str = ""
|
||
|
||
def __post_init__(self):
|
||
""""""
|
||
self.time = datetime.now()
|
||
|
||
|
||
@dataclass
|
||
class ContractData(BaseData):
|
||
"""
|
||
Contract data contains basic information about each contract traded.
|
||
"""
|
||
|
||
symbol: str
|
||
exchange: Exchange
|
||
name: str
|
||
product: Product
|
||
size: int
|
||
pricetick: float
|
||
margin_rate: float = 0.1 # 保证金比率
|
||
|
||
min_volume: float = 1 # minimum trading volume of the contract
|
||
stop_supported: bool = False # whether server supports stop order
|
||
net_position: bool = False # whether gateway uses net position volume
|
||
history_data: bool = False # whether gateway provides bar history data
|
||
|
||
option_strike: float = 0
|
||
option_underlying: str = "" # vt_symbol of underlying contract
|
||
option_type: OptionType = None
|
||
option_expiry: datetime = None
|
||
option_index: str = "" # vt_symbol mapping cur option
|
||
|
||
def __post_init__(self):
|
||
""""""
|
||
self.vt_symbol = f"{self.symbol}.{self.exchange.value}"
|
||
|
||
|
||
@dataclass
|
||
class SubscribeRequest:
|
||
"""
|
||
Request sending to specific gateway for subscribing tick/bar data update.
|
||
"""
|
||
|
||
symbol: str
|
||
exchange: Exchange
|
||
is_bar: bool = False
|
||
|
||
def __post_init__(self):
|
||
""""""
|
||
self.vt_symbol = f"{self.symbol}.{self.exchange.value}"
|
||
|
||
def __eq__(self, other):
|
||
return self.vt_symbol == other.vt_symbol
|
||
|
||
|
||
@dataclass
|
||
class OrderRequest:
|
||
"""
|
||
Request sending to specific gateway for creating a new order.
|
||
"""
|
||
|
||
symbol: str
|
||
exchange: Exchange
|
||
direction: Direction
|
||
type: OrderType
|
||
volume: float
|
||
price: float = 0
|
||
offset: Offset = Offset.NONE
|
||
strategy_name: str = ""
|
||
|
||
def __post_init__(self):
|
||
""""""
|
||
self.vt_symbol = f"{self.symbol}.{self.exchange.value}"
|
||
|
||
def create_order_data(self, orderid: str, gateway_name: str) -> OrderData:
|
||
"""
|
||
Create order data from request.
|
||
"""
|
||
order = OrderData(
|
||
symbol=self.symbol,
|
||
exchange=self.exchange,
|
||
orderid=orderid,
|
||
type=self.type,
|
||
direction=self.direction,
|
||
offset=self.offset,
|
||
price=self.price,
|
||
volume=self.volume,
|
||
gateway_name=gateway_name,
|
||
)
|
||
return order
|
||
|
||
|
||
@dataclass
|
||
class CancelRequest:
|
||
"""
|
||
Request sending to specific gateway for canceling an existing order.
|
||
"""
|
||
|
||
orderid: str
|
||
symbol: str
|
||
exchange: Exchange
|
||
|
||
def __post_init__(self):
|
||
""""""
|
||
self.vt_symbol = f"{self.symbol}.{self.exchange.value}"
|
||
|
||
|
||
@dataclass
|
||
class HistoryRequest:
|
||
"""
|
||
Request sending to specific gateway for querying history data.
|
||
"""
|
||
|
||
symbol: str
|
||
exchange: Exchange
|
||
start: datetime
|
||
end: datetime = None
|
||
interval: Interval = None
|
||
interval_num: int = 1
|
||
|
||
def __post_init__(self):
|
||
""""""
|
||
self.vt_symbol = f"{self.symbol}.{self.exchange.value}"
|