def _get_account_info(self, account_id, account_name):
# 资金信息
req = GetCashReq()
req.account_id = account_id
req = req.SerializeToString()
status, result = py_gmi_get_cash(req)
if c_status_fail(status, 'py_gmi_get_cash'):
return
cashes = Cashes()
cashes.ParseFromString(result)
cashes = [protobuf_to_dict(cash) for cash in cashes.data]
cash = cashes[0]
# 持仓信息
req = GetPositionsReq()
req.account_id = account_id
req = req.SerializeToString()
status, result = py_gmi_get_positions(req)
if c_status_fail(status, 'py_gmi_get_positions'):
return
positions = Positions()
positions.ParseFromString(result)
positions = [protobuf_to_dict(position, including_default_value_fields=True) for position in positions.data]
positions_infos = {'{}.{}'.format(position['symbol'], position['side']): position for position in positions}
account = Account(account_id, account_name, cash, positions_infos)
self.inside_accounts[account_id] = account
def order_batch(order_infos, combine=False, account=''):
"""
批量委托接口
"""
orders = Orders()
for order_info in order_infos:
order_info['account_id'] = get_account_id(account)
order = orders.data.add()
[setattr(order, k, order_info[k]) for k in order_info]
if context.is_backtest_model():
order.created_at.seconds = datetime2timestamp(context.now)
req = orders.SerializeToString()
status, result = py_gmi_place_order(req)
if c_status_fail(status, 'py_gmi_place_order'):
return []
if not result:
return []
res = Orders()
res.ParseFromString(result)
return [
protobuf_to_dict(res_order, including_default_value_fields=True)
for res_order in res.data
]
def get_orders():
# type: () ->List[Dict[Text, Any]]
"""
查询日内全部委托
"""
all_orders = []
for account in six.itervalues(context.accounts):
req = GetOrdersReq()
req.account_id = account.id
req = req.SerializeToString()
status, result = py_gmi_get_orders(req)
if c_status_fail(status, 'py_gmi_get_orders'):
return []
if not result:
return []
res = Orders()
res.ParseFromString(result)
all_orders.extend([
protobuf_to_dict(res_order, including_default_value_fields=True)
for res_order in res.data
])
return all_orders
def _inner_place_order(o):
# type: (Order) ->List[Dict[Text, Any]]
"""
下单并返回order的信息. 同步调用, 在下单返回的order 的 client_order_id 将会有值.
下单出错的话, 返回空的list
"""
# 在回测模式且wait_group=True时, 设置这个created_at, 也就是通知c底层要根据这个时间设置price
if context.is_backtest_model() and context.has_wait_group:
o.created_at.seconds = datetime2timestamp(context.now)
orders = Orders()
orders.data.extend([o])
req = orders.SerializeToString()
status, result = py_gmi_place_order(req)
if c_status_fail(status, 'py_gmi_place_order'):
return []
if not result:
return []
res = Orders()
res.ParseFromString(result)
return [
protobuf_to_dict(res_order, including_default_value_fields=True)
for res_order in res.data
]
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 _set_accounts(self):
status, data = py_gmi_get_accounts()
if c_status_fail(status, 'py_gmi_get_accounts'):
return
accounts = Accounts()
accounts.ParseFromString(data)
for account in accounts.data: # type: PbAccount
self._get_account_info(account.account_id, account.account_name)
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 get_parameters():
# type: () ->List[Dict[Text, Any]]
req = GetParametersReq()
req.owner_id = context.strategy_id
req = req.SerializeToString()
status, result = py_gmi_get_parameters(req)
if c_status_fail(status, 'py_gmi_get_parameters'):
return []
req = Parameters()
req.ParseFromString(result)
return [protobuf_to_dict(parameters) for parameters in req.parameters]
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]
def get_execution_reports():
# type: () -> List[Dict[Text, Any]]
"""
返回执行回报
"""
reports = []
for account in six.itervalues(context.accounts):
req = GetExecrptsReq()
req.account_id = account.id
req = req.SerializeToString()
status, result = py_gmi_get_execution_reports(req)
if c_status_fail(status, 'py_gmi_get_execution_reports'):
return []
res = ExecRpts()
res.ParseFromString(result)
reports.extend([
protobuf_to_dict(res_order, including_default_value_fields=True)
for res_order in res.data
])
return reports
def order_close_all():
# type: () ->List[Dict[Text, Any]]
"""
平当前所有可平持仓
"""
req = CloseAllPositionsReq()
for account in six.itervalues(context.accounts):
req.account_ids.extend([account.id])
req = req.SerializeToString()
status, result = py_gmi_close_all_positions(req)
if c_status_fail(status, 'py_gmi_close_all_positions'):
return []
if not result:
return []
res = Orders()
res.ParseFromString(result)
return [
protobuf_to_dict(res_order, including_default_value_fields=True)
for res_order in res.data
]