def current(symbols, fields=''):
# type: (GmSymbols, Text) -> List[Any]
"""
查询当前行情快照，返回tick数据
"""
symbols = load_to_list(symbols)
fields = load_to_list(fields)
symbols_str = ','.join(symbols)
fields_str = ','.join(fields)
ticks = Ticks()
status, data = py_gmi_current(symbols_str, fields_str)
if c_status_fail(status, 'py_gmi_current'):
return []
ticks.ParseFromString(data)
ticks = [
protobuf_to_dict(tick, including_default_value_fields=False)
for tick in ticks.data
]
if not fields:
return ticks
return ticks
def get_history_instruments(self, symbols, fields=None, start_date=None, end_date=None):
"""
返回指定的symbols的标的日指标数据
"""
self._init_addr()
symbols = load_to_list(symbols)
start_date = utils.to_datestr(start_date)
end_date = utils.to_datestr(end_date)
if not start_date:
start_date = ''
if not end_date:
end_date = ''
req = GetHistoryInstrumentsReq(symbols=','.join(symbols),
fields=fields,
start_date=start_date, end_date=end_date)
resp = self.stub.GetHistoryInstruments(req, metadata=[
(str('authorization'), context.token),
(str('sdk-lang'), context.sdk_lang),
(str('sdk-version'), context.sdk_version),
(str('sdk-arch'), context.sdk_arch),
(str('sdk-os'), context.sdk_os),
])
result = [protobuf_to_dict(res_order, including_default_value_fields=True) for res_order in resp.data]
for info in result:
created_at_val = info.get('created_at', None)
if isinstance(created_at_val, Datetime):
info['trade_date'] = utils.utc_datetime2beijing_datetime(created_at_val)
info.pop('created_at')
return result
def subscribe(symbols,
frequency='1d',
count=1,
wait_group=False,
wait_group_timeout='10s',
unsubscribe_previous=False):
# type:(GmSymbols, Text, int, bool, Text, bool) ->NoReturn
"""
订阅行情，可以指定symbol， 数据滑窗大小，以及是否需要等待全部代码的数据到齐再触发事件。
wait_group: 是否等待全部相同频度订阅的symbol到齐再触发on_bar事件。
一个 frequency, 只能有一个 wait_group_timeout 也就是说如果后面调用该函数时, 相同的frequency, 但是 wait_group_timeout 不同,
则 wait_group_timeout 被忽略.
同时要注意, 一个symbol与frequency组合, 只能有一种wait_group, 即wait_group要么为true, 要么为false
"""
frequency = adjust_frequency(frequency)
symbols = load_to_list(symbols)
symbols_str = ','.join(symbols)
status = py_gmi_subscribe(symbols_str, frequency, unsubscribe_previous)
if c_status_fail(status, 'py_gmi_subscribe'):
return
if unsubscribe_previous:
_unsubscribe_all()
if frequency == DATA_TYPE_TICK:
if context.max_tick_data_count < count:
context.max_tick_data_count = count
for sy in symbols:
context.tick_data_cache[sy] = collections.deque(maxlen=count)
context.tick_sub_symbols.add(sy)
return
# 处理订阅bar的情况
context._set_onbar_waitgroup_timeout_check()
wait_group_timeoutint = load_to_second(wait_group_timeout)
if context.max_bar_data_count < count:
context.max_bar_data_count = count
for sy in symbols:
context.bar_data_cache["{}_{}".format(
sy, frequency)] = collections.deque(maxlen=count)
barsubinfo = BarSubInfo(sy, frequency)
if barsubinfo not in context.bar_sub_infos:
context.bar_sub_infos.add(barsubinfo)
if wait_group:
if frequency not in context.bar_waitgroup_frequency2Info:
context.bar_waitgroup_frequency2Info[
frequency] = BarWaitgroupInfo(frequency,
wait_group_timeoutint)
context.bar_waitgroup_frequency2Info[frequency].add_one_symbol(
sy)
else:
gmsdklogger.debug("symbol=%s frequency=%s 已订阅过", sy, frequency)
continue
def order_cancel(wait_cancel_orders):
# type: (Union[Dict[Text,Any], List[Dict[Text, Any]]]) ->NoReturn
"""
撤销委托. 传入单个字典. 或者list字典. 每个字典包含key: cl_ord_id, account_id
"""
wait_cancel_orders = load_to_list(wait_cancel_orders)
orders = Orders()
for wait_cancel_order in wait_cancel_orders:
order = orders.data.add()
order.cl_ord_id = wait_cancel_order.get('cl_ord_id')
order.account_id = wait_cancel_order.get('account_id')
req = orders.SerializeToString()
py_gmi_cancel_order(req)
def unsubscribe(symbols, frequency='1d'):
# type: (GmSymbols, Text) ->NoReturn
"""
unsubscribe - 取消行情订阅
取消行情订阅，默认取消所有已订阅行情
"""
symbols = load_to_list(symbols)
symbols_str = ','.join(symbols)
frequency = adjust_frequency(frequency)
status = py_gmi_unsubscribe(symbols_str, frequency)
if c_status_fail(status, 'py_gmi_unsubscribe'):
return
if symbols_str == '*':
_unsubscribe_all()
return
if frequency == DATA_TYPE_TICK:
for sy in symbols:
if sy in list(six.iterkeys(context.tick_data_cache)):
del context.tick_data_cache[sy]
context.tick_sub_symbols.remove(sy)
return
# 处理bar的退订
for sy in symbols:
k = sy + "_" + frequency
if k in list(six.iterkeys(context.bar_data_cache)):
del context.bar_data_cache[k]
context.bar_sub_infos.remove(BarSubInfo(sy, frequency))
barwaitgroupinfo = context.bar_waitgroup_frequency2Info.get(
frequency, None)
if barwaitgroupinfo:
barwaitgroupinfo.remove_one_symbol(sy)
# 处理已全部退订的 frequency
for frequency in list(six.iterkeys(context.bar_waitgroup_frequency2Info)):
if len(context.bar_waitgroup_frequency2Info[frequency]) == 0:
gmsdklogger.debug('frequency=%s 已全部取消订阅', frequency)
del context.bar_waitgroup_frequency2Info[frequency]