def context_setting(self):
"""
API trading and quote context setting
:returns: trade context, quote context
"""
if self.unlock_password == "":
raise Exception("请先配置交易解锁密码! password: {}".format(
self.unlock_password))
quote_ctx = ft.OpenQuoteContext(host=self.api_svr_ip,
port=self.api_svr_port)
if 'HK.' in self.stock:
trade_ctx = ft.OpenHKTradeContext(host=self.api_svr_ip,
port=self.api_svr_port)
if self.trade_env == ft.TrdEnv.REAL:
ret_code, ret_data = trade_ctx.unlock_trade(
self.unlock_password)
if ret_code == ft.RET_OK:
print('解锁交易成功!')
else:
raise Exception("请求交易解锁失败: {}".format(ret_data))
else:
print('解锁交易成功!')
elif 'US.' in self.stock:
if self.trade_env != 0:
raise Exception("美股交易接口不支持仿真环境 trade_env: {}".format(
self.trade_env))
trade_ctx = ft.OpenUSTradeContext(host=self.api_svr_ip,
port=self.api_svr_port)
else:
raise Exception("stock输入错误 stock: {}".format(self.stock))
return quote_ctx, trade_ctx
def open_api(self):
SQLog.info("open_api,quote already open=", self.is_open())
if self._quote_ctx is None:
self._quote_ctx = futu.OpenQuoteContext(self.ApiIP, self.ApiPort)
if self._trade_ctx is None:
if self.Market == futu.Market.HK:
self._trade_ctx = futu.OpenHKTradeContext(
self.ApiIP, self.ApiPort)
elif self.Market == futu.Market.US:
self._trade_ctx = futu.OpenUSTradeContext(
self.ApiIP, self.ApiPort)
else:
raise Exception("open_api failed,Market parameter wrong.")
if self.EnvType == futu.TrdEnv.REAL:
ret, data = self._trade_ctx.unlock_trade(
self.TradePassword, self.TradePasswordMd5)
if futu.RET_OK != ret:
raise Exception(
"open_api failed,unlock_trade failed,data=" +
str(data))
ret, data = self._trade_ctx.get_acc_list()
SQLog.debug("open_api,get_acc_list,ret=", ret, "data=\n", data)
self._trade_ctx.set_handler(TradeOrderHanbler(self))
self._trade_ctx.set_handler(TradeDealHandler())
self._trade_ctx.start()
super().open_api()
if self.AveVolaStockCodes and self._frame:
self._frame.load_savequote_data(
self.AveVolaStockCodes.split(','))
return True
def context_setting(api_svr_ip, api_svr_port, unlock_password):
quote_ctx = ft.OpenQuoteContext(host=api_svr_ip, port=api_svr_port)
hk_trade_ctx = ft.OpenHKTradeContext(host=api_svr_ip,
port=api_svr_port)
ret_code, ret_data = hk_trade_ctx.unlock_trade(unlock_password)
if ret_code != ft.RET_OK:
hk_trade_ctx = None
hkcc_trade_ctx = ft.OpenHKCCTradeContext(host=api_svr_ip,
port=api_svr_port)
ret_code, ret_data = hkcc_trade_ctx.unlock_trade(unlock_password)
if ret_code != ft.RET_OK:
hkcc_trade_ctx = None
us_trade_ctx = ft.OpenUSTradeContext(host=api_svr_ip,
port=api_svr_port)
ret_code, ret_data = us_trade_ctx.unlock_trade(unlock_password)
if ret_code != ft.RET_OK:
us_trade_ctx = None
return quote_ctx, hk_trade_ctx, hkcc_trade_ctx, us_trade_ctx
def __init__(self, password):
"""
https://futunnopen.github.io/futuquant/api/Market_API_Python_Doc.html
"""
self.quote_ctx = ft.OpenQuoteContext(host="127.0.0.1", port=11111)
self.USTrade_ctx = ft.OpenUSTradeContext(host='127.0.0.1', port=11111)
self.HKTrade_ctx = ft.OpenHKTradeContext(host='127.0.0.1', port=11111)
self.quote_ctx.start()
self.USTrade_ctx.start()
self.HKTrade_ctx.start()
self.password = password
def establish_connections(user_connection_type,
unlock_trade=True,
user_host='127.0.0.1',
user_port=11111,
user_is_encrypt=None,
user_security_firm=SecurityFirm.FUTUINC):
'''
Ingest: Pass in connection criterias
Output: Initialized instance/object of either trade/quote
'''
#Validate connection type
connection_type_choices = ['trade', 'quote']
assert user_connection_type in connection_type_choices, \
f'connection type must be in {[choice for choice in connection_type_choices]}'
try:
#Intialized trading API
if user_connection_type == 'trade':
trader = ft.OpenUSTradeContext(host=user_host,
port=user_port,
is_encrypt=user_is_encrypt,
security_firm=user_security_firm)
#If user wants to unlock account, ask for password to unlock
if unlock_trade == True:
user_pass = getpass.getpass()
#Log in first in order to pull account info
trader.unlock_trade(password=user_pass, is_unlock=True)
return trader
#Initialize quote API
elif user_connection_type == 'quote':
quoter = ft.OpenQuoteContext(host=user_host,
port=user_port,
is_encrypt=user_is_encrypt)
return quoter
except Exception as e:
raise e
def _process_init_api(self):
if type(self._quote_ctx) != int or type(self._trade_ctx) != int:
return
# 创建futu api对象
if self._quote_ctx == 0:
self._quote_ctx = ft.OpenQuoteContext(self._api_ip, self._api_port)
if self._trade_ctx == 0:
if self._market == MARKET_HK:
self._trade_ctx = ft.OpenHKTradeContext(
self._api_ip, self._api_port)
elif self._market == MARKET_US:
self._trade_ctx = ft.OpenUSTradeContext(
self._api_ip, self._api_port)
else:
raise Exception("error param!")
if self._env_type == ft.TrdEnv.REAL:
ret, _ = self._trade_ctx.unlock_trade(self._trade_password)
if 0 != ret:
raise Exception("error param!")
# 开始futu api异步数据推送
self._quote_ctx.start()
self._trade_ctx.start()
# 市场状态检查
self._check_market_event = FutuMarketEvent(self._market,
self._quote_ctx,
self._event_engine)
#定阅行情数据
self._futu_data_event = FutuDataEvent(self, self._quote_ctx,
self._event_engine,
self._tiny_strate.symbol_pools)
# 启动事件
self._tiny_strate.on_start()
# 一个简单的追涨杀跌策略
import time
import futu as ft
list = []
quote_ctx = ft.OpenQuoteContext(host="10.0.30.140", port=11111)
code = 'US.AAPL' # 选择标的
LENGTH = 12 # 样本容量
quote_ctx.subscribe(code, [
ft.SubType.QUOTE, ft.SubType.TICKER, ft.SubType.K_DAY,
ft.SubType.ORDER_BOOK, ft.SubType.RT_DATA, ft.SubType.BROKER
])
# 实例化美股交易上下文对象
trade_us_ctx = ft.OpenUSTradeContext(host="10.0.30.140", port=11111)
trade_us_ctx.unlock_trade(password='******')
def doTicker():
print("开始执行追涨杀跌策略购买AAPL")
last = quote_ctx.get_stock_quote(code) #获取最新报价
last_price = last[1].last_price
if len(list) < LENGTH:
list.append(last_price) #累加最近（=逐笔）
else:
pMax = max(list) # 取出最高价
pMin = min(list) # 取出最低价
if last_price > pMax: # 最新价是周期内的新高(追涨)
account = trade_us_ctx.accinfo_query(trd_env=ft.TrdEnv.SIMULATE)
print("buy " + str(account))
if account[1].power > last_price: # 资产足够(买1股)
trade_us_ctx.place_order(price=last_price,
import futu as ft
import pandas as pd
import numpy as np
import configparser
config = configparser.ConfigParser()
config.read('futu.config')
pwd_unlock = config['DEFAULT']['Password']
trd_ctx = ft.OpenUSTradeContext(host='127.0.0.1', port=11111)
trd_ctx.unlock_trade(pwd_unlock)
deal_list = trd_ctx.history_deal_list_query(start=config['US']['StartDate'],
end=config['US']['EndDate'])
print(pd.DataFrame.to_csv(deal_list[1]))
trd_ctx.close()
