725 lines
27 KiB
Python
725 lines
27 KiB
Python
# encoding: UTF-8
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'''
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Interactive Brokers的gateway接入，已经替换为vn.ib封装。
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注意事项：
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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
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2. ib api的成交也只会推送当前连接后的成交
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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
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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
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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
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'''
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import os
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import json
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import calendar
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from datetime import datetime, timedelta
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from copy import copy
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from PyQt4 import QtGui, QtCore
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from vnib import *
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from vtGateway import *
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# 以下为一些VT类型和CTP类型的映射字典
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# 价格类型映射
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priceTypeMap = {}
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priceTypeMap[PRICETYPE_LIMITPRICE] = 'LMT'
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priceTypeMap[PRICETYPE_MARKETPRICE] = 'MKT'
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priceTypeMapReverse = {v: k for k, v in priceTypeMap.items()}
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# 方向类型映射
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directionMap = {}
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directionMap[DIRECTION_LONG] = 'BUY'
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#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）
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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
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directionMapReverse = {v: k for k, v in directionMap.items()}
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directionMapReverse['BOT'] = DIRECTION_LONG
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directionMapReverse['SLD'] = DIRECTION_SHORT
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# 交易所类型映射
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exchangeMap = {}
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exchangeMap[EXCHANGE_SMART] = 'SMART'
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exchangeMap[EXCHANGE_NYMEX] = 'NYMEX'
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exchangeMap[EXCHANGE_GLOBEX] = 'GLOBEX'
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exchangeMap[EXCHANGE_IDEALPRO] = 'IDEALPRO'
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exchangeMapReverse = {v:k for k,v in exchangeMap.items()}
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# 报单状态映射
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orderStatusMap = {}
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orderStatusMap[STATUS_NOTTRADED] = 'Submitted'
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orderStatusMap[STATUS_ALLTRADED] = 'Filled'
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orderStatusMap[STATUS_CANCELLED] = 'Cancelled'
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orderStatusMapReverse = {v:k for k,v in orderStatusMap.items()}
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orderStatusMapReverse['PendingSubmit'] = STATUS_UNKNOWN # 这里未来视乎需求可以拓展vt订单的状态类型
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orderStatusMapReverse['PendingCancel'] = STATUS_UNKNOWN
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orderStatusMapReverse['PreSubmitted'] = STATUS_UNKNOWN
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orderStatusMapReverse['Inactive'] = STATUS_UNKNOWN
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# 合约类型映射
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productClassMap = {}
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productClassMap[PRODUCT_EQUITY] = 'STK'
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productClassMap[PRODUCT_FUTURES] = 'FUT'
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productClassMap[PRODUCT_OPTION] = 'OPT'
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productClassMap[PRODUCT_FOREX] = 'CASH'
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productClassMapReverse = {v:k for k,v in productClassMap.items()}
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# 期权类型映射
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optionTypeMap = {}
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optionTypeMap[OPTION_CALL] = 'CALL'
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optionTypeMap[OPTION_PUT] = 'PUT'
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optionTypeMap = {v:k for k,v in optionTypeMap.items()}
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# 货币类型映射
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currencyMap = {}
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currencyMap[CURRENCY_USD] = 'USD'
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currencyMap[CURRENCY_CNY] = 'CNY'
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currencyMap = {v:k for k,v in currencyMap.items()}
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# Tick数据的Field和名称映射
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tickFieldMap = {}
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tickFieldMap[0] = 'bidVolume1'
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tickFieldMap[1] = 'bidPrice1'
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tickFieldMap[2] = 'askPrice1'
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tickFieldMap[3] = 'askVolume1'
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tickFieldMap[4] = 'lastPrice'
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tickFieldMap[5] = 'lastVolume'
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tickFieldMap[6] = 'highPrice'
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tickFieldMap[7] = 'lowPrice'
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tickFieldMap[8] = 'volume'
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tickFieldMap[9] = 'preClosePrice'
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tickFieldMap[14] = 'openPrice'
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tickFieldMap[22] = 'openInterest'
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# Account数据Key和名称的映射
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accountKeyMap = {}
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accountKeyMap['NetLiquidationByCurrency'] = 'balance'
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accountKeyMap['NetLiquidation'] = 'balance'
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accountKeyMap['UnrealizedPnL'] = 'positionProfit'
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accountKeyMap['AvailableFunds'] = 'available'
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accountKeyMap['MaintMarginReq'] = 'margin'
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########################################################################
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class IbGateway(VtGateway):
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"""IB接口"""
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#----------------------------------------------------------------------
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def __init__(self, eventEngine, gatewayName='IB'):
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"""Constructor"""
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super(IbGateway, self).__init__(eventEngine, gatewayName)
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self.host = EMPTY_STRING # 连接地址
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self.port = EMPTY_INT # 连接端口
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self.clientId = EMPTY_INT # 用户编号
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self.accountCode = EMPTY_STRING # 账户编号
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self.tickerId = 0 # 订阅行情时的代码编号
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self.tickDict = {} # tick快照字典，key为tickerId，value为VtTickData对象
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self.tickProductDict = {} # tick对应的产品类型字典，key为tickerId，value为产品类型
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self.orderId = 0 # 订单编号
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self.orderDict = {} # 报单字典，key为orderId，value为VtOrderData对象
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self.accountDict = {} # 账户字典
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self.contractDict = {} # 合约字典
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self.subscribeReqDict = {} # 用来保存订阅请求的字典
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self.connected = False # 连接状态
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self.api = IbWrapper(self) # API接口
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#----------------------------------------------------------------------
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def connect(self):
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"""连接"""
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# 载入json文件
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fileName = self.gatewayName + '_connect.json'
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path = os.path.abspath(os.path.dirname(__file__))
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fileName = os.path.join(path, fileName)
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try:
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f = file(fileName)
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except IOError:
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log = VtLogData()
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log.gatewayName = self.gatewayName
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log.logContent = u'读取连接配置出错，请检查'
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self.onLog(log)
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return
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# 解析json文件
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setting = json.load(f)
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try:
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self.host = str(setting['host'])
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self.port = int(setting['port'])
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self.clientId = int(setting['clientId'])
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self.accountCode = str(setting['accountCode'])
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except KeyError:
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log = VtLogData()
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log.gatewayName = self.gatewayName
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log.logContent = u'连接配置缺少字段，请检查'
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self.onLog(log)
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return
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# 发起连接
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self.api.eConnect(self.host, self.port, self.clientId, False)
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# 查询服务器时间
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self.api.reqCurrentTime()
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# 请求账户数据主推更新
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self.api.reqAccountUpdates(True, self.accountCode)
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#----------------------------------------------------------------------
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def subscribe(self, subscribeReq):
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"""订阅行情"""
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# 如果尚未连接行情，则将订阅请求缓存下来后直接返回
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if not self.connected:
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self.subscribeReqDict[subscribeReq.symbol] = subscribeReq
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return
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contract = Contract()
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contract.localSymbol = str(subscribeReq.symbol)
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contract.exchange = exchangeMap.get(subscribeReq.exchange, '')
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contract.secType = productClassMap.get(subscribeReq.productClass, '')
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contract.currency = currencyMap.get(subscribeReq.currency, '')
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contract.expiry = subscribeReq.expiry
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contract.strike = subscribeReq.strikePrice
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contract.right = optionTypeMap.get(subscribeReq.optionType, '')
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# 获取合约详细信息
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self.tickerId += 1
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self.api.reqContractDetails(self.tickerId, contract)
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# 创建合约对象并保存到字典中
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ct = VtContractData()
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ct.gatewayName = self.gatewayName
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ct.symbol = str(subscribeReq.symbol)
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ct.exchange = subscribeReq.exchange
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ct.vtSymbol = '.'.join([ct.symbol, ct.exchange])
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ct.productClass = subscribeReq.productClass
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self.contractDict[ct.vtSymbol] = ct
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# 订阅行情
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self.tickerId += 1
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self.api.reqMktData(self.tickerId, contract, '', False, TagValueList())
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# 创建Tick对象并保存到字典中
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tick = VtTickData()
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tick.symbol = subscribeReq.symbol
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tick.exchange = subscribeReq.exchange
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tick.vtSymbol = '.'.join([tick.symbol, tick.exchange])
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tick.gatewayName = self.gatewayName
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self.tickDict[self.tickerId] = tick
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self.tickProductDict[self.tickerId] = subscribeReq.productClass
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#----------------------------------------------------------------------
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def sendOrder(self, orderReq):
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"""发单"""
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# 增加报单号1，最后再次进行查询
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# 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
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self.orderId += 1
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# 创建合约对象
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contract = Contract()
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contract.localSymbol = str(orderReq.symbol)
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contract.exchange = exchangeMap.get(orderReq.exchange, '')
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contract.secType = productClassMap.get(orderReq.productClass, '')
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contract.currency = currencyMap.get(orderReq.currency, '')
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contract.expiry = orderReq.expiry
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contract.strike = orderReq.strikePrice
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contract.right = optionTypeMap.get(orderReq.optionType, '')
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# 创建委托对象
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order = Order()
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order.orderId = self.orderId
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order.clientId = self.clientId
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order.action = directionMap.get(orderReq.direction, '')
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order.lmtPrice = orderReq.price
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order.totalQuantity = orderReq.volume
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order.orderType = priceTypeMap.get(orderReq.priceType, '')
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# 发送委托
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self.api.placeOrder(self.orderId, contract, order)
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# 查询下一个有效编号
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self.api.reqIds(1)
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# 返回委托编号
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vtOrderID = '.'.join([self.gatewayName, str(self.orderId)])
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return vtOrderID
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#----------------------------------------------------------------------
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def cancelOrder(self, cancelOrderReq):
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"""撤单"""
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self.api.cancelOrder(int(cancelOrderReq.orderID))
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#----------------------------------------------------------------------
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def qryAccount(self):
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"""查询账户资金"""
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log = VtLogData()
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log.gatewayName = self.gatewayName
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log.logContent = u'IB接口账户信息提供主推更新，无需查询'
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self.onLog(log)
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#----------------------------------------------------------------------
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def qryPosition(self):
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"""查询持仓"""
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log = VtLogData()
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log.gatewayName = self.gatewayName
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log.logContent = u'IB接口持仓信息提供主推更新，无需查询'
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self.onLog(log)
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#----------------------------------------------------------------------
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def close(self):
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"""关闭"""
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self.api.eDisconnect()
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########################################################################
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class IbWrapper(IbApi):
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"""IB回调接口的实现"""
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#----------------------------------------------------------------------
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def __init__(self, gateway):
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"""Constructor"""
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super(IbWrapper, self).__init__()
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self.apiStatus = False # 连接状态
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self.gateway = gateway # gateway对象
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self.gatewayName = gateway.gatewayName # gateway对象名称
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self.tickDict = gateway.tickDict # tick快照字典，key为tickerId，value为VtTickData对象
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self.orderDict = gateway.orderDict # order字典
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self.accountDict = gateway.accountDict # account字典
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self.contractDict = gateway.contractDict # contract字典
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self.tickProductDict = gateway.tickProductDict
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self.subscribeReqDict = gateway.subscribeReqDict
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#----------------------------------------------------------------------
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def nextValidId(self, orderId):
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""""""
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self.gateway.orderId = orderId
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#----------------------------------------------------------------------
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def currentTime(self, time):
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"""连接成功后推送当前时间"""
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dt = datetime.fromtimestamp(time)
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t = dt.strftime("%Y-%m-%d %H:%M:%S.%f")
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self.apiStatus = True
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self.gateway.connected = True
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log = VtLogData()
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log.gatewayName = self.gatewayName
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log.logContent = (u'IB接口连接成功，当前服务器时间 %s' %t)
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self.gateway.onLog(log)
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for symbol, req in self.subscribeReqDict.items():
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del self.subscribeReqDict[symbol]
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self.gateway.subscribe(req)
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#----------------------------------------------------------------------
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def connectAck(self):
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""""""
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pass
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#----------------------------------------------------------------------
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def error(self, id_, errorCode, errorString):
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"""错误推送"""
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err = VtErrorData()
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err.gatewayName = self.gatewayName
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err.errorID = errorCode
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err.errorMsg = errorString
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self.gateway.onError(err)
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#----------------------------------------------------------------------
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def accountSummary(self, reqId, account, tag, value, curency):
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""""""
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pass
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#----------------------------------------------------------------------
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def accountSummaryEnd(self, reqId):
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""""""
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pass
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#----------------------------------------------------------------------
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def tickPrice(self, tickerId, field, price, canAutoExecute):
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"""行情价格相关推送"""
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if field in tickFieldMap:
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tick = self.tickDict[tickerId]
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key = tickFieldMap[field]
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tick.__setattr__(key, price)
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if self.tickProductDict[tickerId] == PRODUCT_FOREX:
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tick.lastPrice = (tick.bidPrice1 + tick.askPrice1) / 2
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dt = datetime.now()
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tick.time = dt.strftime('%H:%M:%S.%f')
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tick.date = dt.strftime('%Y%m%d')
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# 行情数据更新
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newtick = copy(tick)
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self.gateway.onTick(newtick)
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else:
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print field
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#----------------------------------------------------------------------
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def tickSize(self, tickerId, field, size):
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"""行情数量相关推送"""
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if field in tickFieldMap:
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tick = self.tickDict[tickerId]
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key = tickFieldMap[field]
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tick.__setattr__(key, size)
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dt = datetime.now()
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tick.time = dt.strftime('%H:%M:%S.%f')
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tick.date = dt.strftime('%Y%m%d')
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# 行情数据更新
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newtick = copy(tick)
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self.gateway.onTick(newtick)
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else:
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print field
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#----------------------------------------------------------------------
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def tickOptionComputation(self, tickerId, tickType, impliedVol, delta, optPrice, pvDividend, gamma, vega, theta, undPrice):
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""""""
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pass
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#----------------------------------------------------------------------
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def tickGeneric(self, tickerId, tickType, value):
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""""""
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pass
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#----------------------------------------------------------------------
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def tickString(self, tickerId, tickType, value):
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""""""
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pass
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#----------------------------------------------------------------------
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def tickEFP(self, tickerId, tickType, basisPoints, formattedBasisPoints, totalDividends, holdDays, futureLastTradeDate, dividendImpact, dividendsToLastTradeDate):
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""""""
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pass
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#----------------------------------------------------------------------
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def orderStatus(self, orderId, status, filled, remaining, avgFillPrice, permId, parentId, lastFillPrice, clientId, whyHeld):
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"""委托状态更新"""
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orderId = str(orderId)
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if orderId in self.orderDict:
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od = self.orderDict[orderId]
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else:
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od = VtOrderData() # od代表orderData
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od.orderID = orderId
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od.vtOrderID = '.'.join([self.gatewayName, orderId])
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od.gatewayName = self.gatewayName
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self.orderDict[orderId] = od
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od.status = orderStatusMapReverse.get(status, STATUS_UNKNOWN)
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od.tradedVolume = filled
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newod = copy(od)
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self.gateway.onOrder(newod)
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#----------------------------------------------------------------------
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def openOrder(self, orderId, contract, order, orderState):
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"""下达委托推送"""
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orderId = str(orderId) # orderId是整数
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if orderId in self.orderDict:
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od = self.orderDict[orderId]
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else:
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od = VtOrderData() # od代表orderData
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od.orderID = orderId
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od.vtOrderID = '.'.join([self.gatewayName, orderId])
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od.symbol = contract.localSymbol
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od.exchange = exchangeMapReverse.get(contract.exchange, '')
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od.vtSymbol = '.'.join([od.symbol, od.exchange])
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od.gatewayName = self.gatewayName
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self.orderDict[orderId] = od
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od.direction = directionMapReverse.get(order.action, '')
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od.price = order.lmtPrice
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od.totalVolume = order.totalQuantity
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newod = copy(od)
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self.gateway.onOrder(newod)
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#----------------------------------------------------------------------
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def openOrderEnd(self):
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""""""
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pass
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#----------------------------------------------------------------------
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def winError(self, str_, lastError):
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""""""
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pass
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#----------------------------------------------------------------------
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def connectionClosed(self):
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"""断线"""
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self.apiStatus = False
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self.gateway.connected = False
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log = VtLogData()
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log.gatewayName = self.gatewayName
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log.logContent = (u'IB接口连接断开')
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self.gateway.onLog(log)
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#----------------------------------------------------------------------
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def updateAccountValue(self, key, val, currency, accountName):
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"""更新账户数据"""
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# 仅逐个字段更新数据，这里对于没有currency的推送忽略
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||
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.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):
|
||
""""""
|
||
pass
|
||
|
||
#----------------------------------------------------------------------
|
||
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
|
||
|