343 lines
13 KiB
Python
343 lines
13 KiB
Python
# encoding: UTF-8
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from __future__ import absolute_import
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import json
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from collections import defaultdict
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from . import jrpc_server
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from vnpy.event import Event
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from vnpy.trader.vtFunction import getJsonPath
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from vnpy.trader.vtObject import VtLogData, VtOrderReq, VtCancelOrderReq
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from vnpy.trader.vtConstant import *
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from vnpy.trader.vtEvent import EVENT_ACCOUNT
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EVENT_JS_LOG = 'eJsLog'
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ACTION_MAP = {}
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ACTION_MAP['Buy'] = (DIRECTION_LONG, OFFSET_OPEN)
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ACTION_MAP['Sell'] = (DIRECTION_SHORT, OFFSET_CLOSE)
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ACTION_MAP['Short'] = (DIRECTION_SHORT, OFFSET_OPEN)
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ACTION_MAP['Cover'] = (DIRECTION_LONG, OFFSET_CLOSE)
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ACTION_MAP['CoverYesterday'] = (DIRECTION_LONG, OFFSET_CLOSEYESTERDAY)
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ACTION_MAP['SellYesterday'] = (DIRECTION_SHORT, OFFSET_CLOSEYESTERDAY)
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ACTION_MAP_REVERSE = {v:k for k,v in ACTION_MAP.items()}
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STATUS_MAP_REVERSE = {}
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STATUS_MAP_REVERSE[STATUS_NOTTRADED] = 'Accepted'
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STATUS_MAP_REVERSE[STATUS_PARTTRADED] = 'Accepted'
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STATUS_MAP_REVERSE[STATUS_ALLTRADED] = 'Filled'
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STATUS_MAP_REVERSE[STATUS_CANCELLED] = 'Cancelled'
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STATUS_MAP_REVERSE[STATUS_REJECTED] = 'Rejected'
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STATUS_MAP_REVERSE[STATUS_UNKNOWN] = 'New'
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EXCHANGE_MAP = {}
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EXCHANGE_MAP['SH'] = EXCHANGE_SSE
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EXCHANGE_MAP['SZ'] = EXCHANGE_SZSE
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EXCHANGE_MAP['CFE'] = EXCHANGE_CFFEX
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EXCHANGE_MAP['SHF'] = EXCHANGE_SHFE
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EXCHANGE_MAP['DCE'] = EXCHANGE_DCE
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EXCHANGE_MAP['CZC'] = EXCHANGE_CZCE
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EXCHANGE_MAP_REVERSE = {v:k for k, v in EXCHANGE_MAP.items()}
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########################################################################
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class JsEngine(object):
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"""JAQS服务引擎"""
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settingFileName = 'JS_setting.json'
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settingFilePath = getJsonPath(settingFileName, __file__)
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#----------------------------------------------------------------------
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def __init__(self, mainEngine, eventEngine):
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"""Constructor"""
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self.mainEngine = mainEngine
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self.eventEngine = eventEngine
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self.server = None # RPC服务器
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self.cbDict = {} # 回调函数字典
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self.account = None # 账户对象
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# 注册日志事件类型
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self.mainEngine.registerLogEvent(EVENT_JS_LOG)
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# 初始化
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self.initCallback()
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self.initServer()
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self.registerEvent()
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#----------------------------------------------------------------------
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def registerEvent(self):
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"""注册事件监听"""
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self.eventEngine.register(EVENT_ACCOUNT, self.processAccountEvent)
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#----------------------------------------------------------------------
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def initCallback(self):
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"""初始化回调函数映射"""
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self.cbDict['.sys.heartbeat'] = self.onHeartbeat
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self.cbDict['auth.login'] = self.onLogin
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self.cbDict['auth.use_strategy'] = self.onUseStrategy
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self.cbDict['oms.query_position'] = self.onQueryPosition
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self.cbDict['oms.query_order'] = self.onQueryOrder
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self.cbDict['oms.place_order'] = self.onPlaceOrder
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self.cbDict['oms.cancel_order'] = self.onCancelOrder
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self.cbDict['oms.query_account'] = self.onQueryAccount
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self.cbDict['oms.query_universe'] = self.onQueryUniverse
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#----------------------------------------------------------------------
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def initServer(self):
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"""初始化"""
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with open(self.settingFilePath) as f:
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setting = json.load(f)
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host = setting['host']
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port = setting['port']
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addr = "tcp://%s:%s" %(host, port)
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# 初始化RPC服务器
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self.server = jrpc_server.JRpcServer()
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self.server.on_call = self.onCall
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self.server.listen(addr)
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self.writeLog(u'Jaqs服务器启动成功')
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#----------------------------------------------------------------------
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def onCall(self, clientId, req):
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"""RPC服务回调函数"""
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method = req['method']
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cb = self.cbDict.get(method, None)
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if not cb:
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self.writeLog(u'无法找到方法%s对应的回调函数' %method)
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return
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self.writeLog(u'收到请求：%s' %req)
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cb(clientId, req)
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#----------------------------------------------------------------------
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def onHeartbeat(self, clientId, req):
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"""心跳"""
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pass
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#----------------------------------------------------------------------
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def onLogin(self, clientId, req):
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"""登录"""
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params = req['params']
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result = {
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'username': params['username'],
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'name': params['username'],
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'strategies': [1],
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'broker_strategies': [1]
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}
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error = [0, '']
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self.server.send_rsp(clientId, req, result, error)
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self.writeLog(u'发出响应：%s' %result)
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#----------------------------------------------------------------------
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def onUseStrategy(self, clientId, req):
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"""使用策略"""
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result = req['params']['account_id']
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error = [0, '']
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self.server.send_rsp(clientId, req, result, error)
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self.writeLog(u'发出响应：%s' %result)
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#----------------------------------------------------------------------
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def onQueryPosition(self, clientId, req):
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"""查询持仓"""
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l = self.mainEngine.getAllPositionDetails()
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result = defaultdict(list)
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for detail in l:
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security = self.converSymbol(detail.vtSymbol)
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# 多头
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if detail.longPos:
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result['security'].append(security)
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result['side'].append('Long')
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result['cost_price'].append(0)
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result['float_pnl'].append(0)
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result['close_pnl'].append(0)
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result['trading_pnl'].append(0)
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result['holding_pnl'].append(0)
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result['commission'].append(0)
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result['init_size'].append(0)
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result['current_size'].append(detail.longPos)
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result['enable_size'].append(detail.longPos-detail.longPosFrozen)
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result['frozen_size'].append(detail.longPosFrozen)
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result['uncome_size'].append(0)
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result['pre_size'].append(detail.longYd)
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result['today_size'].append(detail.longTd)
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# 空头
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if detail.shortPos:
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result['security'].append(security)
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result['side'].append('Short')
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result['cost_price'].append(0)
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result['float_pnl'].append(0)
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result['close_pnl'].append(0)
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result['trading_pnl'].append(0)
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result['holding_pnl'].append(0)
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result['commission'].append(0)
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result['init_size'].append(0)
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result['current_size'].append(detail.shortPos)
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result['enable_size'].append(detail.shortPos-detail.shortPosFrozen)
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result['frozen_size'].append(detail.shortPosFrozen)
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result['uncome_size'].append(0)
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result['pre_size'].append(detail.shortYd)
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result['today_size'].append(detail.shortTd)
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error = [0, '']
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self.server.send_rsp(clientId, req, result, error)
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self.writeLog(u'发出响应：%s' %result)
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#----------------------------------------------------------------------
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def onQueryOrder(self, clientId, req):
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"""查询委托"""
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l = self.mainEngine.getAllOrders()
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result = defaultdict(list)
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for order in l:
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result['task_id'].append(order.vtOrderID)
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result['entrust_no'].append(order.vtOrderID)
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result['entrust_price'].append(order.price)
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result['entrust_size'].append(order.totalVolume)
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result['sub_seq'].append(0)
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result['sub_total'].append(0)
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result['batch_no'].append(0)
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result['fill_price'].append(order.price)
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result['fill_size'].append(order.tradedVolume)
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result['algo'].append('')
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result['entrust_action'].append(ACTION_MAP_REVERSE[(order.direction, order.offset)])
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result['order_status'].append(STATUS_MAP_REVERSE[order.status])
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result['security'].append(self.converSymbol(order.vtSymbol))
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hh, mm, ss = order.orderTime.split(':')
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result['entrust_time'].append(int(hh)*10000000+
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int(mm)*100000+
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int(ss)*1000)
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error = [0, '']
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self.server.send_rsp(clientId, req, result, error)
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self.writeLog(u'发出响应：%s' %result)
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#----------------------------------------------------------------------
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def onPlaceOrder(self, clientId, req):
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"""委托"""
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params = req['params']
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s, e = params['security'].split('.')
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contract = self.mainEngine.getContract(s)
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if not contract:
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vtOrderID = ''
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error = [-1, u'委托失败，找不到合约%s' %params['security']]
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else:
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vor = VtOrderReq()
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vor.symbol = s
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vor.exchange = EXCHANGE_MAP[e]
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vor.direction, vor.offset = ACTION_MAP[params['action']]
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vor.price = float(params['price'])
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vor.volume = int(params['size'])
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vor.priceType = PRICETYPE_LIMITPRICE
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vtOrderID = self.mainEngine.sendOrder(vor, contract.gatewayName)
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error = [0, '']
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self.server.send_rsp(clientId, req, vtOrderID, error)
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self.writeLog(u'发出响应：%s' %vtOrderID)
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#----------------------------------------------------------------------
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def onCancelOrder(self, clientId, req):
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"""撤单"""
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params = req['params']
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vtOrderID = params['task_id']
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gatewayName, orderID = vtOrderID.split('.')
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vcor = VtCancelOrderReq()
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vcor.orderID = vtOrderID
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self.mainEngine.cancelOrder(vcor, gatewayName)
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error = [0, '']
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self.server.send_rsp(clientId, req, 'successful', error)
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self.writeLog(u'发出响应：%s' %result)
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#----------------------------------------------------------------------
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def onQueryAccount(self, clientId, req):
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"""查询账户"""
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params = req['params']
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account = self.account
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result = defaultdict(list)
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result['id'].append(account.accountID)
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result['init_balance'].append(account.preBalance)
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result['enable_balance'].append(account.available)
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result['margin'].append(account.margin)
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result['float_pnl'].append(0.0)
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result['close_pnl'].append(account.closeProfit)
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result['holding_pnl'].append(0.0)
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result['trading_pnl'].append(0.0)
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result['type'].append('BA')
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error = [0, '']
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self.server.send_rsp(clientId, req, result, error)
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self.writeLog(u'发出响应：%s' %result)
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#----------------------------------------------------------------------
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def onQueryUniverse(self, clientId, req):
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"""查询账户"""
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params = req['params']
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l = self.mainEngine.getAllContracts()
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result = defaultdict(list)
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for contract in l:
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result['ba_id'].append(1000)
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result['security'].append(self.converSymbol(contract.vtSymbol))
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error = [0, '']
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self.server.send_rsp(clientId, req, result, error)
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self.writeLog(u'发出响应：%s' %result)
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#----------------------------------------------------------------------
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def writeLog(self, content):
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"""发出日志事件"""
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log = VtLogData()
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log.logContent = content
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log.gatewayName = 'JAQS_SERVICE'
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event = Event(type_=EVENT_JS_LOG)
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event.dict_['data'] = log
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self.eventEngine.put(event)
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#----------------------------------------------------------------------
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def converSymbol(self, vtSymbol):
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"""转换合约代码"""
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contract = self.mainEngine.getContract(vtSymbol)
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if not contract:
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return ''
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e = EXCHANGE_MAP_REVERSE.get(contract.exchange, contract.exchange)
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return '.'.join([contract.symbol, e])
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#----------------------------------------------------------------------
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def processAccountEvent(self, event):
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"""账户资金更新"""
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self.account = event.dict_['data']
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