def _trade_api(self, **kwargs):
# 确保已经正确登录了融资融券账号
self._ensure_margin_flags()
url = 'https://trade.gf.com.cn/entry'
resq = self.client.post(url, params=kwargs)
if len(resq.text) == 0:
self.client.reset()
resq = self.client.post(url, params=kwargs)
data = resq.json()
logger.debug('_trade_api() return: %s' % data)
trade_status = data.pop('success', False)
if trade_status == False:
logger.error(data)
error_info = data.get('error_info', data)
raise TraderAPIError(error_info)
df = pd.DataFrame(data['data'])
df.rename(columns=RENAME_DICT, inplace=True)
if 'symbol' in df.columns:
df['symbol'] = df['symbol'].apply(code_to_symbols)
# 去字段的并集，提高效率
cols = list(set(FLOAT_COLUMNS).intersection(set(df.columns)))
for col in cols:
df[col] = pd.to_numeric(df[col], errors='ignore')
return df
def portfolio(self):
logger.debug('call mystock_403 and mystock_405')
p = self._worker.apply_async(self._trade_api,
kwds={'request_id': 'mystock_403'})
b = self._worker.apply_async(self._trade_api,
kwds={'request_id': 'mystock_405'})
p = p.get().copy()
p.set_index('symbol', inplace=True)
p = p[[
'symbol_name', 'current_amount', 'enable_amount', 'lasttrade',
'market_value'
]]
b = b.get().copy()
money_type = b['money_type'].iloc[0]
current_amount = b['enable_balance'].iloc[0]
p.loc['cash', 'symbol_name'] = money_type
p.loc['cash', 'current_amount'] = current_amount
p.loc['cash', 'enable_amount'] = current_amount
p.loc['cash', 'lasttrade'] = 1.0
p.loc['cash', 'market_value'] = current_amount
p['weight'] = p['market_value'] / b['asset_balance'].iloc[0]
p['weight'] = p['weight'].round(4)
p = p.dropna(axis=0)
return p
def pre_login(self):
'''
初始化session，以及需要的headers
:return:
'''
# session
gfheader = {
'Accept': '*/*',
'Accept-Encoding': 'gzip, deflate',
'Accept-Language': 'zh-Hans-CN, zh-Hans; q=0.5',
'Connection': 'Keep-Alive',
'Content-Type': 'application/x-www-form-urlencoded',
'User-Agent':
'Mozilla/5.0 (Windows NT 10.0; WOW64; Trident/7.0; rv:11.0) like Gecko',
'X-Requested-With': 'XMLHttpRequest'
}
session = requests.session()
session.headers.update(gfheader)
resq = session.get('https://trade.gf.com.cn/')
resq.raise_for_status()
logger.debug('get trade home pages sucess.')
self._expire_at = 0
self._session = session
return
def _ensure_margin_flags(self):
'''确保已经登录了融资融券账户'''
if self.client.margin_flags == False:
margin_login_params = {
'classname': 'com.gf.etrade.control.RZRQUF2Control',
'method': 'ValidataLogin'
}
r = self.client.post(url='https://trade.gf.com.cn/entry',
params=margin_login_params)
data = r.json()
logger.debug('ensure_margin_flags: %s' % data)
trade_status = data.pop('success', False)
if trade_status == False:
logger.error(data)
error_info = data.get('error_info', data)
raise TraderAPIError(error_info)
stockholders = data.get('stockholders', [])
self._exchange_stock_account = {}
for holders in stockholders:
self._exchange_stock_account[
holders['exchange_type']] = holders['stock_account']
# 将session 设置为已经登录信用账户的状态
self.client.margin_flags = True
return
def request(self, method, url, **kwargs):
'''
调用session的各类http方法
'''
logger.debug('Call params: %s' % kwargs)
with self:
resq = self.session.request(method=method, url=url, **kwargs)
resq.raise_for_status()
logger.debug('return: %s' % resq.text)
self._expire_at = time.time() + _TIMEOUT
return resq
def order(self, symbol, amount=0, volume=0, weight=0, portfolio=None):
symbol = symbol.lower()
logger.info(
'order: symbol(%s), amount(%.2f), volume(%.2f), weight(%.4f)' %
(symbol, amount, volume, weight))
if amount == 0 and volume == 0 and weight == 0:
return 0
if portfolio is None:
portfolio = self.portfolio
if amount != 0:
if symbol in portfolio.index:
volume = portfolio.loc[symbol, 'lasttrade'] * amount
target_volume = portfolio.loc[symbol, 'market_value'] + volume
target_weight = target_volume / portfolio['market_value'].sum()
weight = target_weight - portfolio.loc[symbol, 'weight']
else:
lasttrade = self.hq(symbol).loc[symbol, 'lasttrade']
target_volume = amount * lasttrade
target_weight = target_volume / portfolio['market_value'].sum()
weight = target_weight
elif volume != 0:
if symbol in portfolio.index:
target_volume = portfolio.loc[symbol, 'market_value'] + volume
target_weight = target_volume / portfolio['market_value'].sum()
weight = target_weight - portfolio.loc[symbol, 'weight']
else:
target_volume = volume
target_weight = target_volume / portfolio['market_value'].sum()
weight = target_weight
else:
if symbol in portfolio.index:
target_weight = portfolio.loc[symbol, 'weight'] + weight
else:
target_weight = weight
if target_weight > 1 or target_weight < 0:
raise AttributeError(
'order: symbol(%s), amount(%.2f), volume(%.2f), weight(%.4f)' %
(symbol, amount, volume, weight))
if weight > 0.001 or weight < -0.001:
logger.debug('target_weight: %s' % round(target_weight, 4))
self._trade_api(symbol=symbol,
target_percent=round(target_weight, 4),
portfolio=portfolio)
else:
logger.info('权重变化过小，无需下单: %s' % weight)
return 0
def request(self, method, url, **kwargs):
with self:
params = kwargs.get('params', {})
params.update({'dse_sessionId': self._dse_sessionId})
kwargs['params'] = params
logger.debug('Call params: %s' % kwargs)
resq = self._session.request(method=method, url=url, **kwargs)
resq.raise_for_status()
logger.debug('return: %s' % resq.text)
self._expire_at = time.time() + TIMEOUT
return resq
def keepalive(self, now=0):
'''
自动保持连接的函数
'''
if now == 0:
now = time.time()
logger.debug('keepalive checking. now: %s, expire_at: %s' %
(now, self.expire_at))
if now + 60 > self.expire_at:
self.portfolio
logger.info('Reflash the expire time, expire_at timestamp is: %s' %
self.expire_at)
return
def login(self):
self.pre_login()
login_params = {
"function_id": 200,
"login_type": "stock",
"version": 200,
"identity_type": "",
"remember_me": "",
"input_content": 1,
"content_type": 0,
"loginPasswordType": "B64",
"disk_serial_id": self.disk_serial_id,
"cpuid": self.cpuid,
"machinecode": self.machinecode,
"mac_addr": self.mac_address,
"account_content": self._account,
"password": urllib.parse.unquote(self._password),
"validateCode": self.vcode
}
logger.debug('login_params is: %s' % login_params)
r = self._session.post(
'https://jy.yongjinbao.com.cn/winner_gj/gjzq/exchange.action',
params=login_params)
r.raise_for_status()
logger.debug('Login respone: %s' % r.text)
returnJson = r.json()['returnJson']
data = demjson.decode(returnJson)
error_msg = dict()
if data['msg_no'] != '0':
if 'msg_info' in data.keys() and data['msg_info'] != '':
error_msg['error_info'] = data['msg_info']
else:
error_msg = data[data['error_grids']][1]
if error_msg['error_info'].find('验证码') != -1:
logger.warning('vcode error : %s' % error_msg['error_info'])
raise VerifyCodeError(error_msg['error_info'])
else:
logger.error('login Failed :%s' % error_msg['error_info'])
raise LoginFailedError(error_msg['error_info'])
return
def vcode(self):
r = self._session.get(
'https://jy.yongjinbao.com.cn/winner_gj/gjzq/user/extraCode.jsp',
params={'randomStamp': random.random()})
r.raise_for_status()
# 通过内存保存数据
img_buffer = BytesIO(r.content)
img = Image.open(img_buffer)
code = pytesseract.image_to_string(img)
img.close()
img_buffer.close()
if self.code_rule.findall(code) == []:
raise VerifyCodeError('Wrong verify code: %s' % code)
else:
logger.debug('Verify Code is: %s' % code)
return code
def post_login(self):
if self.margin_flags == True:
margin_login_params = {
'classname': 'com.gf.etrade.control.RZRQUF2Control',
'method': 'ValidataLogin',
'dse_sessionId': self._dse_sessionId
}
r = self._session.post(url='https://trade.gf.com.cn/entry',
params=margin_login_params)
data = r.json()
logger.debug('ensure_margin_flags: %s' % data)
trade_status = data.pop('success', False)
if trade_status == False:
logger.error(data)
error_info = data.get('error_info', data)
raise TraderAPIError(error_info)
def portfolio(self):
url = 'https://xueqiu.com/p/' + self.portfolio_code
r = self.client.get(url)
r.raise_for_status()
# 查找持仓的字符串段
html = r.text
pos_start = html.find('SNB.cubeInfo = ') + len('SNB.cubeInfo = ')
pos_end = html.find('SNB.cubePieData')
json_data = to_text(html[pos_start:pos_end - 2])
logger.debug(json_data)
p_info = json.decode(json_data, encoding='utf-8')
# 修复雪球持仓错误
positions = p_info['last_success_rebalancing']['holdings']
logger.debug(p_info)
df = pd.DataFrame(positions)
df.rename(columns=_RENAME_DICT, inplace=True)
df['symbol'] = df['symbol'].str.lower()
df = df.set_index('symbol')
hq = self.hq(df.index)
df['lasttrade'] = hq['lasttrade']
df.loc['cash', 'symbol_name'] = '人民币'
df.loc['cash',
'current_amount'] = p_info['view_rebalancing']['cash_value']
df.loc['cash', 'lasttrade'] = 1.0
df['current_amount'] = df['current_amount'] * _BASE_MULTIPE
df['enable_amount'] = df['current_amount']
df['market_value'] = df['current_amount'] * df['lasttrade']
net_value = df['market_value'].sum()
df['weight'] = (df['market_value'] / net_value).round(4)
return df[[
'symbol_name', 'current_amount', 'enable_amount', 'lasttrade',
'market_value', 'weight'
]]
def _trade_api(self, **kwargs):
'''
底层交易接口
'''
logger.debug('call params: %s' % kwargs)
r = self.client.get(
url=
'https://jy.yongjinbao.com.cn/winner_gj/gjzq/stock/exchange.action',
params=kwargs)
logger.debug('return: %s' % r.text)
# 解析返回的结果数据
returnJson = r.json()['returnJson']
if returnJson is None:
return None
data = demjson.decode(returnJson)
if data['msg_no'] != '0':
error_msg = data[data['error_grids']][1]
logger.error('error no: %s,error info: %s' % (error_msg.get(
'error_no', ''), error_msg.get('error_info', '')))
raise TraderAPIError(error_msg.get('error_info', ''))
data = data['Func%s' % data['function_id']]
df = pd.DataFrame(data[1:])
# 替换表头的命名
df.rename(columns=RENAME_DICT, inplace=True)
# 生成symbol
if 'symbol' in df.columns:
df['symbol'] = df['symbol'].apply(code_to_symbols)
# FLOAT_COLUMNS和 df.columns取交集，以减少调用时间
cols = list(set(FLOAT_COLUMNS).intersection(set(df.columns)))
for col in cols:
df[col] = pd.to_numeric(df[col], errors='ignore')
return df
def login(self):
# 无论是否登录，都重新创建一个session对象
# self.pre_login()
login_params = {
"authtype": 2,
"disknum": self.disknum,
"loginType": 2,
"origin": "web",
'mac': self.mac_address,
'username': self._account,
'password': self._password,
'tmp_yzm': self.vcode
}
resq = self._session.post(url='https://trade.gf.com.cn/login',
params=login_params)
resq.raise_for_status()
logger.debug('login resq: %s' % resq.json())
data = resq.json()
if data['success'] == True:
v = resq.headers
self._dse_sessionId = v['Set-Cookie'][-32:]
# 等待服务器准备就绪
time.sleep(0.1)
logger.info('Login success: %s' % self._dse_sessionId)
return
elif data['success'] == False and 'error_info' not in data.keys():
logger.warning('当前系统无法登陆')
raise TraderAPIError(data)
elif data['error_info'].find('验证码') != -1:
self.dse_sessionId = None
logger.warning('VerifyCode Error: %s' % data)
raise VerifyCodeError(data['error_info'])
else:
self.dse_sessionId = None
logger.warning('API Login Error: %s' % data)
raise TraderAPIError(data['error_info'])
def vcode(self):
# 获取校验码
r = self._session.get('https://trade.gf.com.cn/yzm.jpgx')
r.raise_for_status()
# 通过内存保存图片，进行识别
img_buffer = BytesIO(r.content)
img = Image.open(img_buffer)
if hasattr(img, "width"):
width, height = img.width, img.height
else:
width, height = img.size
for x in range(width):
for y in range(height):
if img.getpixel((x, y)) < (100, 100, 100):
img.putpixel((x, y), (256, 256, 256))
gray = img.convert('L')
two = gray.point(lambda x: 0 if 68 < x < 90 else 256)
min_res = two.filter(ImageFilter.MinFilter)
med_res = min_res.filter(ImageFilter.MedianFilter)
for _ in range(1):
med_res = med_res.filter(ImageFilter.MedianFilter)
# 通过tesseract-ocr的工具进行校验码识别
vcode = pytesseract.image_to_string(med_res)
img.close()
img_buffer.close()
vcode = vcode.replace(' ', '')
if self.code_rule.findall(vcode) != []:
logger.debug('vcode is: %s' % vcode)
return vcode
else:
raise VerifyCodeError('verify code error: %s' % vcode)
def __new__(cls, account, password):
'''
创建loginSession类时，如果同一券商的账号密码都一样时，只创建一次
'''
logger.debug('LoginType: %s, account: %s, password: %s' %
(type(cls), account, password))
# cls, account, password 是用MD5进行创建关键字
m = hashlib.md5()
m.update(str(type(cls)).encode('utf-8'))
m.update(account.encode('utf-8'))
m.update(password.encode('utf-8'))
keyword = m.hexdigest()
obj = cls._objects.get(keyword, None)
logger.debug('keyword: %s, obj: %s' % (keyword, obj))
if obj is None:
# 如果没有缓存过此对象，就创建，并进行缓存
logger.debug('缓存内没有对象，重新创建一个对象')
obj = super(LoginSession, cls).__new__(cls)
cls._objects[keyword] = obj
return obj
def orderlist(self):
order_col = [
'order_no', 'symbol', 'symbol_name', 'trade_side', 'order_price',
'order_amount', 'business_price', 'business_amount',
'order_status', 'order_time'
]
p = {"cube_symbol": self.portfolio_code, 'count': 5, 'page': 1}
resq = self.client.get(
url='https://xueqiu.com/cubes/rebalancing/history.json',
params=p,
headers={})
logger.debug(resq.text)
resq.raise_for_status()
data = resq.json()['list']
logger.debug('get_entrust raw data: %s' % data)
order_list = []
for xq_orders in data:
status = xq_orders['status'] # 调仓状态
if status == 'pending':
status = "已报"
elif status == 'canceled':
status = "已撤"
elif status == 'failed':
status = "废单"
elif status == 'success':
status = "已成"
else:
raise TraderAPIError('Unkown order status. %s' % status)
for order in xq_orders['rebalancing_histories']:
prev_target_volume = order['prev_target_volume'] if order[
'prev_target_volume'] is not None else 0.0
target_volume = order['target_volume'] if order[
'target_volume'] else 0.0
# 实际上应该是这里通常说得amount
volume = abs(target_volume -
prev_target_volume) * _BASE_MULTIPE
price = order['price'] if order['price'] else 0.0
if volume > 0:
order_list.append({
'order_no':
order['id'],
'symbol':
order['stock_symbol'].lower(),
'symbol_name':
order['stock_name'],
'trade_side':
"买入" if target_volume > prev_target_volume else "卖出",
'order_status':
status,
'order_time':
time.strftime(
"%Y-%m-%d %H:%M:%S",
time.localtime(order['updated_at'] / 1000)),
'business_amount':
volume * price if status == '已成' else 0,
'business_price':
price if status == '已成' else 0,
'order_amount':
volume * price,
'order_price':
price,
})
df = pd.DataFrame(order_list, columns=order_col)
df = df.set_index('order_no')
df[['order_price', 'order_amount', 'business_amount', 'business_price']] = \
df[['order_price', 'order_amount', 'business_amount', 'business_price']].round(3)
return df
def cancel(self, order_no=0):
portfolio = self.portfolio
comment = '撤单\n 来自vxTrader'
stock_infos = self._worker.imap(
self._get_stock_info,
portfolio.loc[portfolio.index != 'cash'].index)
holdings = []
for stock in stock_infos:
holding = {
"code":
stock['code'],
"flag":
stock['flag'],
"type":
stock['type'],
"stock_id":
stock['stock_id'],
"ind_id":
stock['ind_id'],
"ind_name":
stock['ind_name'],
"ind_color":
stock['ind_color'],
"textname":
stock['name'],
"segment_name":
stock['ind_name'],
# 注意此处雪球接受的是持仓百分比，例如：30.33
"weight":
round(portfolio.loc[stock['code'].lower(), 'weight'] * 100, 2),
"proactive":
True,
"price":
str(stock['current'])
}
holdings.append(holding)
params = {
# 注意此处雪球接受的是持仓百分比，例如：30.33
'cash': round(portfolio.loc['cash', 'weight'] * 100, 2),
'holdings': str(json.encode(holdings)),
'cube_symbol': self.portfolio_code,
'segment': 1,
'comment': comment
}
self.client.headers.update(
referer='https://xueqiu.com/p/update?action=holdings&symbol=%s' %
self.portfolio_code)
logger.debug(self.client.session.headers)
try:
r = self.client.post(
url='https://xueqiu.com/cubes/rebalancing/create.json',
params=params)
r.raise_for_status()
except Exception as err:
logger.warning('order failed: %s' % err)
raise TraderAPIError(str(err))
logger.debug('order success:%s %s' % (holdings, r.json()))
return r.json()['id']
def _trade_api(self, symbol, target_percent, portfolio=None, comment=None):
# 目标的持仓比例应该大于0
if target_percent < 0:
raise TraderAPIError('wrong target_percent: %s' % target_percent)
# symbol 转换成小写
symbol = symbol.lower()
if comment is None:
comment = '将股票( %s )的仓位调整至 %.2f%% . \n 来自vxTrader' % (
symbol, target_percent * 100)
# 如果没有穿portfolio，就更新一下
if portfolio is None:
portfolio = self.portfolio
portfolio.loc[symbol, 'weight'] = target_percent
market_weight = portfolio.loc[portfolio.index != 'cash',
'weight'].sum()
if market_weight > 1.0:
raise TraderAPIError(
'wrong target_percent: %s, market_weight is: %s' %
(target_percent, market_weight))
portfolio.loc['cash', 'weight'] = 1.0 - market_weight
stock_infos = self._worker.imap(
self._get_stock_info,
portfolio.loc[portfolio.index != 'cash'].index)
holdings = []
for stock in stock_infos:
proactive = (stock['code'].lower() == symbol)
holding = {
"code":
stock['code'],
"flag":
stock['flag'],
"type":
stock['type'],
"stock_id":
stock['stock_id'],
"ind_id":
stock['ind_id'],
"ind_name":
stock['ind_name'],
"ind_color":
stock['ind_color'],
"textname":
stock['name'],
"segment_name":
stock['ind_name'],
# 注意此处雪球接受的是持仓百分比，例如：30.33
"weight":
round(portfolio.loc[stock['code'].lower(), 'weight'] * 100, 2),
"proactive":
proactive,
"price":
str(stock['current'])
}
holdings.append(holding)
params = {
# 注意此处雪球接受的是持仓百分比，例如：30.33
'cash': round(portfolio.loc['cash', 'weight'] * 100, 2),
'holdings': str(json.encode(holdings)),
'cube_symbol': self.portfolio_code,
'segment': 1,
'comment': comment
}
self.client.headers.update(
referer='https://xueqiu.com/p/update?action=holdings&symbol=%s' %
self.portfolio_code)
logger.debug(self.client.session.headers)
try:
r = self.client.post(
url='https://xueqiu.com/cubes/rebalancing/create.json',
params=params)
r.raise_for_status()
except Exception as err:
logger.warning('order failed: %s' % err)
raise TraderAPIError(str(err))
logger.debug('order success:%s %s' % (holdings, r.json()))
return r.json()['id']
def order(self, symbol, amount=0, volume=0, wait=10):
'''
按数量下单
:return: order_no, left
'''
logger.debug(
'order_amount: symbol: %s, amount: %s, volume: %s, wait: %s' %
(symbol, amount, volume, wait))
if (amount == 0 and volume == 0):
raise AttributeError('order_amount amount and volume can not be 0')
# 下单
try:
hq = self.hq(symbol)
logger.debug('hq: %s' % hq.loc[symbol])
price = hq.loc[symbol, 'lasttrade']
amount = amount if amount else round(volume,
2) // price // 100 * 100
if amount == 0:
return 0, 0
if amount > 0 or volume > 0:
price = hq.loc[symbol, 'ask']
order_no = self.buy(symbol, price, amount=amount)
logger.info('buy order send,order_no: %s' % order_no)
elif amount < 0 or volume < 0:
price = hq.loc[symbol, 'bid']
order_no = self.sell(symbol, price, amount=-amount)
logger.info('sell order send,order_no: %s' % order_no)
except TraderError as err:
logger.debug('Order Error: %s' % err)
raise err
# 每隔2秒检查一下成交状态.
# 如果是已成交,则返回order_no, 0
# 如果是已报、部成, 则再等2秒钟。
# 如果是其他状态,就报警
time.sleep(5)
for i in range(int((wait + 1) / 2)):
logger.info('Check Order Status %s times.' % i)
orderlist = self.orderlist
if order_no in orderlist.index:
status = orderlist.loc[order_no, 'order_status']
else:
# 如果记录的订单号不在orderlist里面，则认为已经成交了。
status = '已成'
if status in ('已成'):
logger.info('Order Success. %s' % orderlist.loc[order_no])
return order_no, 0
elif status in ('已报', '部成', '正常'):
logger.info('Order not Complete. %s' % orderlist.loc[order_no])
time.sleep(5)
elif status in ('未报'):
logger.info('Not Allow to Send Order. %s' %
orderlist.loc[order_no])
self.cancel(order_no)
return order_no, amount
else:
logger.error('Order Status Invaild. %s' %
orderlist.loc[order_no])
raise TraderAPIError('Order Status Invaild. %s' %
orderlist.loc[order_no])
# 等待了足够时间,仍未全部成交,则撤单
try:
logger.warning('Cancel order: %s' % order_no)
self.cancel(order_no)
time.sleep(0.3)
orderlist = self.orderlist
status = orderlist.loc[order_no, 'order_status']
if status in ('已撤', '部撤'):
orderlist['left'] = orderlist['order_amount'] - orderlist[
'business_amount']
left = orderlist.loc[order_no, 'left']
if amount < 0:
left = -left
return order_no, left
else:
raise TraderAPIError('Order Status Invaild. %s' %
orderlist.loc[order_no])
except TraderError as err:
logger.warning(err)
logger.warning('Order Status Invaild. %s' %
orderlist.loc[order_no])
