def trade_apis(): account = client_config.account openapi_client = TradeClient(client_config, logger=logger) # stock contract = openapi_client.get_contracts('AAPL')[0] # 或者本地构造合约对象 # contract = stock_contract(symbol='AAPL', currency='USD') # option # contract = option_contract(identifier='AAPL 190118P00160000') # future # contract = future_contract('CHF', 'USD', '20190617', multiplier=125000, exchange='GLOBEX') order = openapi_client.create_order(account, contract, 'BUY', 'LMT', 100, limit_price=5.0) # 或者本地构造订单对象 # order = limit_order(account=account, contract=contract, action='BUY', quantity=100, limit_price=5.0) openapi_client.place_order(order) order_id = order.order_id # you can operate order via id too new_order = openapi_client.get_order(order_id=order.order_id) assert order.order_id == new_order.order_id openapi_client.modify_order(new_order, quantity=150) new_order = openapi_client.get_order(order_id=order_id) assert new_order.quantity == 150 openapi_client.cancel_order(order_id=order_id) new_order = openapi_client.get_order(order_id=order_id) assert new_order.status == OrderStatus.CANCELLED or new_order.status == OrderStatus.PENDING_CANCEL
def trade_apis(): account = client_config.account openapi_client = TradeClient(client_config, logger=logger) # stock contract = openapi_client.get_contracts('AAPL')[0] # option # contract = option_contract(identifier='AAPL 190118P00160000') # future # contract = future_contract('CHF', 'USD', '20190617', multiplier=125000) # contract.exchange = 'GLOBEX' order = openapi_client.create_order(account, contract, 'BUY', 'LMT', 100, limit_price=0.1) order_id = order.order_id # you can operate order via id too openapi_client.place_order(order) new_order = openapi_client.get_order(order_id=order.order_id) assert order.order_id == new_order.order_id openapi_client.modify_order(new_order, quantity=150) new_order = openapi_client.get_order(order_id=order_id) assert new_order.quantity == 150 openapi_client.cancel_order(order_id=order_id) new_order = openapi_client.get_order(order_id=order_id) assert new_order.status == ORDER_STATUS.CANCELLED or new_order.status == ORDER_STATUS.PENDING_CANCEL
def trade_apis(): account = client_config.account openapi_client = TradeClient(client_config, logger=logger) # 通过请求获取合约 contract = openapi_client.get_contracts('AAPL')[0] # contract = openapi_client.get_contract('AAPL', SecurityType.STK, currency=Currency.USD) # 本地构造合约 # stock 股票 # contract = stock_contract(symbol='AAPL', currency='USD') # option 期权 # contract = option_contract(identifier='AAPL 190118P00160000') # contract = option_contract_by_symbol('AAPL', '20200110', strike=280.0, put_call='PUT', currency='USD') # future 期货 # contract = future_contract('CHF', 'USD', '20190617', multiplier=125000, exchange='GLOBEX') # war 港股窝轮 # contract = war_contract_by_symbol('02318', '20200326', 107.08, 'CALL', local_symbol='12616', currency='HKD') # iopt 港股牛熊证 # contract = iopt_contract_by_symbol('02318', '20200420', 87.4, 'CALL', local_symbol='63379', currency='HKD') order = openapi_client.create_order(account, contract, 'BUY', 'LMT', 100, limit_price=5.0) # 或者本地构造订单对象 # order = limit_order(account=account, contract=contract, action='BUY', quantity=100, limit_price=5.0) openapi_client.place_order(order) new_order = openapi_client.get_order(id=order.id) assert order.order_id == new_order.order_id openapi_client.modify_order(new_order, quantity=150) new_order = openapi_client.get_order(id=order.id) assert new_order.quantity == 150 openapi_client.cancel_order(id=order.id) new_order = openapi_client.get_order(id=order.id) assert new_order.status == OrderStatus.CANCELLED or new_order.status == OrderStatus.PENDING_CANCEL # 预览订单 (下单前后保证金要求, 佣金等预览) result = openapi_client.preview_order(order) print(result) # 限价单 + 附加订单 (仅主订单为限价单时支持附加订单) stop_loss_order_leg = order_leg('LOSS', 8.0, time_in_force='GTC') # 附加止损 profit_taker_order_leg = order_leg('PROFIT', 12.0, time_in_force='GTC') # 附加止盈 main_order = openapi_client.create_order(account, contract, 'BUY', 'LMT', quantity=100, limit_price=10.0, order_legs=[stop_loss_order_leg, profit_taker_order_leg]) # 本地构造限价单 + 附加订单 # main_order = limit_order_with_legs(account, contract, 'BUY', 100, limit_price=10.0, # order_legs=[stop_loss_order_leg]) openapi_client.place_order(main_order) print(main_order) # 查询主订单所关联的附加订单 order_legs = openapi_client.get_open_orders(account, parent_id=main_order.order_id) print(order_legs)
def trade_apis(): account = client_config.account openapi_client = TradeClient(client_config, logger=logger) contract = openapi_client.get_contracts('AAPL')[0] order = openapi_client.create_order(account, contract, 'BUY', 'LMT', 100, limit_price=5.0) order_id = order.order_id # you can operate order via id too openapi_client.place_order(order) new_order = openapi_client.get_order(order_id=order.order_id) assert order.order_id == new_order.order_id openapi_client.modify_order(new_order, quantity=150) new_order = openapi_client.get_order(order_id=order_id) assert new_order.quantity == 150 openapi_client.cancel_order(order_id=order_id) new_order = openapi_client.get_order(order_id=order_id) assert new_order.status == ORDER_STATUS.CANCELLED or new_order.status == ORDER_STATUS.PENDING_CANCEL
class TigerGateway(BaseGateway): """""" default_setting = { "tiger_id": "", "account": "", "standard_account": "", "private_key": '', } def __init__(self, event_engine): """Constructor""" super(TigerGateway, self).__init__(event_engine, "TIGER") self.tiger_id = "" self.account = "" self.standard_account = "" self.paper_account = "" self.language = "" self.client_config = None self.quote_client = None self.push_client = None self.local_id = 1000000 self.tradeid = 0 self.active = False self.queue = Queue() self.pool = None self.ID_TIGER2VT = {} self.ID_VT2TIGER = {} self.ticks = {} self.trades = set() self.contracts = {} self.symbol_names = {} def run(self): """""" while self.active: try: func, args = self.queue.get(timeout=0.1) func(*args) except Empty: pass def add_task(self, func, *args): """""" self.queue.put((func, [*args])) def connect(self, setting: dict): """""" self.private_key = setting['private_key'] self.tiger_id = setting["tiger_id"] self.account = setting["account"] self.standard_account = setting["standard_account"] self.paper_account = setting["account"] self.languege = Language.zh_CN # Start thread pool for REST call self.active = True self.pool = Pool(5) self.pool.apply_async(self.run) # Put connect task into quque. self.init_client_config() self.add_task(self.connect_quote) self.add_task(self.connect_trade) self.add_task(self.connect_push) def init_client_config(self, sandbox=True): """""" self.client_config = TigerOpenClientConfig(sandbox_debug=sandbox) self.client_config.private_key = self.private_key self.client_config.tiger_id = self.tiger_id self.client_config.account = self.account self.client_config.standard_account = self.standard_account self.client_config.paper_account = self.paper_account self.client_config.language = self.language def connect_quote(self): """ Connect to market data server. """ try: self.quote_client = QuoteClient(self.client_config) self.symbol_names = dict( self.quote_client.get_symbol_names(lang=Language.zh_CN)) self.query_contract() except ApiException: self.write_log("查询合约失败") return self.write_log("行情接口连接成功") self.write_log("合约查询成功") def connect_trade(self): """ Connect to trade server. """ self.trade_client = TradeClient(self.client_config) try: self.add_task(self.query_order) self.add_task(self.query_position) self.add_task(self.query_account) except ApiException: self.write_log("交易接口连接失败") return self.write_log("交易接口连接成功") def connect_push(self): """ Connect to push server. """ protocol, host, port = self.client_config.socket_host_port self.push_client = PushClient(host, port, (protocol == 'ssl')) self.push_client.connect( self.client_config.tiger_id, self.client_config.private_key) self.push_client.quote_changed = self.on_quote_change self.push_client.asset_changed = self.on_asset_change self.push_client.position_changed = self.on_position_change self.push_client.order_changed = self.on_order_change self.write_log("推送接口连接成功") def subscribe(self, req: SubscribeRequest): """""" self.push_client.subscribe_quote([req.symbol]) self.push_client.subscribe_asset() self.push_client.subscribe_position() self.push_client.subscribe_order() def on_quote_change(self, tiger_symbol: str, data: list, trading: bool): """""" data = dict(data) symbol, exchange = convert_symbol_tiger2vt(tiger_symbol) tick = self.ticks.get(symbol, None) if not tick: tick = TickData( symbol=symbol, exchange=exchange, gateway_name=self.gateway_name, datetime=datetime.now(), name=self.symbol_names[symbol], ) self.ticks[symbol] = tick tick.datetime = datetime.fromtimestamp(data["latest_time"] / 1000) tick.pre_close = data.get("prev_close", 0) tick.last_price = data.get("latest_price", 0) tick.volume = data.get("volume", 0) tick.open_price = data.get("open", 0) tick.open_price = data.get("open", 0) tick.high_price = data.get("high", 0) tick.low_price = data.get("low", 0) tick.ask_price_1 = data.get("ask_price", 0) tick.bid_price_1 = data.get("bid_price", 0) tick.ask_volume_1 = data.get("ask_size", 0) tick.bid_volume_1 = data.get("bid_size", 0) self.on_tick(copy(tick)) def on_asset_change(self, tiger_account: str, data: list): """""" data = dict(data) if "net_liquidation" not in data: return account = AccountData( accountid=tiger_account, balance=data["net_liquidation"], frozen=0.0, gateway_name=self.gateway_name, ) self.on_account(account) def on_position_change(self, tiger_account: str, data: list): """""" data = dict(data) symbol, exchange = convert_symbol_tiger2vt(data["origin_symbol"]) pos = PositionData( symbol=symbol, exchange=exchange, direction=Direction.NET, volume=int(data["quantity"]), frozen=0.0, price=data["average_cost"], pnl=data["unrealized_pnl"], gateway_name=self.gateway_name, ) self.on_position(pos) def on_order_change(self, tiger_account: str, data: list): """""" data = dict(data) print("委托推送", data["origin_symbol"], data["order_id"], data["filled"], data["status"]) symbol, exchange = convert_symbol_tiger2vt(data["origin_symbol"]) status = PUSH_STATUS_TIGER2VT[data["status"]] order = OrderData( symbol=symbol, exchange=exchange, orderid=self.ID_TIGER2VT.get( str(data["order_id"]), self.get_new_local_id()), direction=Direction.NET, price=data.get("limit_price", 0), volume=data["quantity"], traded=data["filled"], status=status, time=datetime.fromtimestamp( data["order_time"] / 1000).strftime("%H:%M:%S"), gateway_name=self.gateway_name, ) self.on_order(order) if status == Status.ALLTRADED: self.tradeid += 1 trade = TradeData( symbol=symbol, exchange=exchange, direction=Direction.NET, tradeid=self.tradeid, orderid=self.ID_TIGER2VT[str(data["order_id"])], price=data["avg_fill_price"], volume=data["filled"], time=datetime.fromtimestamp( data["trade_time"] / 1000).strftime("%H:%M:%S"), gateway_name=self.gateway_name, ) self.on_trade(trade) def get_new_local_id(self): self.local_id += 1 return self.local_id def send_order(self, req: OrderRequest): """""" local_id = self.get_new_local_id() order = req.create_order_data(local_id, self.gateway_name) self.on_order(order) self.add_task(self._send_order, req, local_id) return order.vt_orderid def _send_order(self, req: OrderRequest, local_id): """""" currency = config_symbol_currency(req.symbol) try: contract = self.trade_client.get_contracts( symbol=req.symbol, currency=currency)[0] order = self.trade_client.create_order( account=self.account, contract=contract, action=DIRECTION_VT2TIGER[req.direction], order_type=ORDERTYPE_VT2TIGER[req.type], quantity=int(req.volume), limit_price=req.price, ) self.ID_TIGER2VT[str(order.order_id)] = local_id self.ID_VT2TIGER[local_id] = str(order.order_id) self.trade_client.place_order(order) print("发单:", order.contract.symbol, order.order_id, order.quantity, order.status) except: # noqa traceback.print_exc() self.write_log("发单失败") return def cancel_order(self, req: CancelRequest): """""" self.add_task(self._cancel_order, req) def _cancel_order(self, req: CancelRequest): """""" try: order_id = self.ID_VT2TIGER[req.orderid] data = self.trade_client.cancel_order(order_id=order_id) except ApiException: self.write_log(f"撤单失败:{req.orderid}") if not data: self.write_log('撤单成功') def query_contract(self): """""" # HK Stock symbols_names_HK = self.quote_client.get_symbol_names( lang=Language.zh_CN, market=Market.HK) contract_names_HK = DataFrame( symbols_names_HK, columns=['symbol', 'name']) contractList = list(contract_names_HK["symbol"]) i, n = 0, len(contractList) result = pd.DataFrame() while i < n: i += 500 c = contractList[i - 500:i] r = self.quote_client.get_trade_metas(c) result = result.append(r) contract_detail_HK = result.sort_values(by="symbol", ascending=True) contract_HK = pd.merge( contract_names_HK, contract_detail_HK, how='left', on='symbol') for ix, row in contract_HK.iterrows(): contract = ContractData( symbol=row["symbol"], exchange=Exchange.SEHK, name=row["name"], product=Product.EQUITY, size=1, pricetick=row["min_tick"], net_position=True, gateway_name=self.gateway_name, ) self.on_contract(contract) self.contracts[contract.vt_symbol] = contract # US Stock symbols_names_US = self.quote_client.get_symbol_names( lang=Language.zh_CN, market=Market.US) contract_US = DataFrame(symbols_names_US, columns=['symbol', 'name']) for ix, row in contract_US.iterrows(): contract = ContractData( symbol=row["symbol"], exchange=Exchange.SMART, name=row["name"], product=Product.EQUITY, size=1, pricetick=0.001, gateway_name=self.gateway_name, ) self.on_contract(contract) self.contracts[contract.vt_symbol] = contract # CN Stock symbols_names_CN = self.quote_client.get_symbol_names( lang=Language.zh_CN, market=Market.CN) contract_CN = DataFrame(symbols_names_CN, columns=['symbol', 'name']) for ix, row in contract_CN.iterrows(): symbol = row["symbol"] symbol, exchange = convert_symbol_tiger2vt(symbol) contract = ContractData( symbol=symbol, exchange=exchange, name=row["name"], product=Product.EQUITY, size=1, pricetick=0.001, gateway_name=self.gateway_name, ) self.on_contract(contract) self.contracts[contract.vt_symbol] = contract def query_account(self): """""" try: assets = self.trade_client.get_assets() except ApiException: self.write_log("查询资金失败") return for i in assets: account = AccountData( accountid=self.account, balance=i.summary.net_liquidation, frozen=0.0, gateway_name=self.gateway_name, ) self.on_account(account) def query_position(self): """""" try: position = self.trade_client.get_positions() except ApiException: self.write_log("查询持仓失败") return for i in position: symbol, exchange = convert_symbol_tiger2vt(i.contract.symbol) pos = PositionData( symbol=symbol, exchange=exchange, direction=Direction.NET, volume=int(i.quantity), frozen=0.0, price=i.average_cost, pnl=float(i.unrealized_pnl), gateway_name=self.gateway_name, ) self.on_position(pos) def query_order(self): """""" try: data = self.trade_client.get_orders() data = sorted(data, key=lambda x: x.order_time, reverse=False) except: # noqa traceback.print_exc() self.write_log("查询委托失败") return self.process_order(data) self.process_deal(data) def close(self): """""" self.active = False if self.push_client: self.push_client.disconnect() def process_order(self, data): """""" for i in data: symbol, exchange = convert_symbol_tiger2vt(str(i.contract)) local_id = self.get_new_local_id() order = OrderData( symbol=symbol, exchange=exchange, orderid=local_id, direction=Direction.NET, price=i.limit_price if i.limit_price else 0.0, volume=i.quantity, traded=i.filled, status=STATUS_TIGER2VT[i.status], time=datetime.fromtimestamp( i.order_time / 1000).strftime("%H:%M:%S"), gateway_name=self.gateway_name, ) self.ID_TIGER2VT[str(i.order_id)] = local_id self.on_order(order) self.ID_VT2TIGER = {v: k for k, v in self.ID_TIGER2VT.items()} print("原始委托字典", self.ID_TIGER2VT) print("原始反向字典", self.ID_VT2TIGER) def process_deal(self, data): """ Process trade data for both query and update. """ for i in data: if i.status == ORDER_STATUS.PARTIALLY_FILLED or i.status == ORDER_STATUS.FILLED: symbol, exchange = convert_symbol_tiger2vt(str(i.contract)) self.tradeid += 1 trade = TradeData( symbol=symbol, exchange=exchange, direction=Direction.NET, tradeid=self.tradeid, orderid=self.ID_TIGER2VT[str(i.order_id)], price=i.avg_fill_price, volume=i.filled, time=datetime.fromtimestamp( i.trade_time / 1000).strftime("%H:%M:%S"), gateway_name=self.gateway_name, ) self.on_trade(trade)
class TigerGateway(BaseGateway): """""" default_setting = { "tiger_id": "", "account": "", " server ": [" standard ", " global ", " simulation "], "private_key": "", } exchanges = [Exchange.SEHK, Exchange.SMART, Exchange.SSE, Exchange.SZSE] def __init__(self, event_engine): """Constructor""" super(TigerGateway, self).__init__(event_engine, "TIGER") self.tiger_id = "" self.account = "" self.server = "" self.language = "" self.client_config = None self.quote_client = None self.push_client = None self.local_id = 1000000 self.tradeid = 0 self.active = False self.queue = Queue() self.pool = None self.ID_TIGER2VT = {} self.ID_VT2TIGER = {} self.ticks = {} self.trades = set() self.contracts = {} self.symbol_names = {} self.push_connected = False self.subscribed_symbols = set() def run(self): """""" while self.active: try: func, args = self.queue.get(timeout=0.1) func(*args) except Empty: pass def add_task(self, func, *args): """""" self.queue.put((func, [*args])) def connect(self, setting: dict): """""" self.private_key = setting["private_key"] self.tiger_id = setting["tiger_id"] self.server = setting[" server "] self.account = setting["account"] self.languege = Language.zh_CN # Start thread pool for REST call self.active = True self.pool = Pool(5) self.pool.apply_async(self.run) # Put connect task into quque. self.init_client_config() self.add_task(self.connect_quote) self.add_task(self.connect_trade) self.add_task(self.connect_push) def init_client_config(self, sandbox=False): """""" self.client_config = TigerOpenClientConfig(sandbox_debug=sandbox) self.client_config.private_key = self.private_key self.client_config.tiger_id = self.tiger_id self.client_config.account = self.account self.client_config.language = self.language def connect_quote(self): """ Connect to market data server. """ try: self.quote_client = QuoteClient(self.client_config) self.symbol_names = dict( self.quote_client.get_symbol_names(lang=Language.zh_CN)) self.query_contract() except ApiException: self.write_log(" queries contract failure ") return self.write_log(" quotes interfacing success ") self.write_log(" contract query succeeds ") def connect_trade(self): """ Connect to trade server. """ self.trade_client = TradeClient(self.client_config) try: self.add_task(self.query_order) self.add_task(self.query_position) self.add_task(self.query_account) except ApiException: self.write_log(" transaction interface connection failure ") return self.write_log(" successful transaction interface ") def connect_push(self): """ Connect to push server. """ protocol, host, port = self.client_config.socket_host_port self.push_client = PushClient(host, port, (protocol == "ssl")) self.push_client.quote_changed = self.on_quote_change self.push_client.asset_changed = self.on_asset_change self.push_client.position_changed = self.on_position_change self.push_client.order_changed = self.on_order_change self.push_client.connect_callback = self.on_push_connected self.push_client.connect(self.client_config.tiger_id, self.client_config.private_key) def subscribe(self, req: SubscribeRequest): """""" self.subscribed_symbols.add(req.symbol) if self.push_connected: self.push_client.subscribe_quote([req.symbol]) def on_push_connected(self): """""" self.push_connected = True self.write_log(" push interfacing success ") self.push_client.subscribe_asset() self.push_client.subscribe_position() self.push_client.subscribe_order() self.push_client.subscribe_quote(list(self.subscribed_symbols)) def on_quote_change(self, tiger_symbol: str, data: list, trading: bool): """""" data = dict(data) symbol, exchange = convert_symbol_tiger2vt(tiger_symbol) tick = self.ticks.get(symbol, None) if not tick: tick = TickData( symbol=symbol, exchange=exchange, gateway_name=self.gateway_name, datetime=datetime.now(), name=self.symbol_names[symbol], ) self.ticks[symbol] = tick tick.datetime = datetime.fromtimestamp(int(data["timestamp"]) / 1000) tick.pre_close = data.get("prev_close", tick.pre_close) tick.last_price = data.get("latest_price", tick.last_price) tick.volume = data.get("volume", tick.volume) tick.open_price = data.get("open", tick.open_price) tick.high_price = data.get("high", tick.high_price) tick.low_price = data.get("low", tick.low_price) tick.ask_price_1 = data.get("ask_price", tick.ask_price_1) tick.bid_price_1 = data.get("bid_price", tick.bid_price_1) tick.ask_volume_1 = data.get("ask_size", tick.ask_volume_1) tick.bid_volume_1 = data.get("bid_size", tick.bid_volume_1) self.on_tick(copy(tick)) def on_asset_change(self, tiger_account: str, data: list): """""" data = dict(data) if "net_liquidation" not in data: return account = AccountData( accountid=tiger_account, balance=data["net_liquidation"], frozen=0.0, gateway_name=self.gateway_name, ) self.on_account(account) def on_position_change(self, tiger_account: str, data: list): """""" data = dict(data) symbol, exchange = convert_symbol_tiger2vt(data["origin_symbol"]) pos = PositionData( symbol=symbol, exchange=exchange, direction=Direction.NET, volume=int(data["quantity"]), frozen=0.0, price=data["average_cost"], pnl=data["unrealized_pnl"], gateway_name=self.gateway_name, ) self.on_position(pos) def on_order_change(self, tiger_account: str, data: list): """""" data = dict(data) symbol, exchange = convert_symbol_tiger2vt(data["origin_symbol"]) status = STATUS_TIGER2VT[data["status"]] order = OrderData( symbol=symbol, exchange=exchange, orderid=self.ID_TIGER2VT.get(str(data["order_id"]), self.get_new_local_id()), direction=Direction.NET, price=data.get("limit_price", 0), volume=data["quantity"], traded=data["filled"], status=status, time=datetime.fromtimestamp(data["order_time"] / 1000).strftime("%H:%M:%S"), gateway_name=self.gateway_name, ) self.ID_TIGER2VT[str(data["order_id"])] = order.orderid self.on_order(order) if status == Status.ALLTRADED: self.tradeid += 1 trade = TradeData( symbol=symbol, exchange=exchange, direction=Direction.NET, tradeid=self.tradeid, orderid=self.ID_TIGER2VT[str(data["order_id"])], price=data["avg_fill_price"], volume=data["filled"], time=datetime.fromtimestamp(data["trade_time"] / 1000).strftime("%H:%M:%S"), gateway_name=self.gateway_name, ) self.on_trade(trade) def get_new_local_id(self): self.local_id += 1 return self.local_id def send_order(self, req: OrderRequest): """""" local_id = self.get_new_local_id() order = req.create_order_data(local_id, self.gateway_name) self.on_order(order) self.add_task(self._send_order, req, local_id) return order.vt_orderid def _send_order(self, req: OrderRequest, local_id): """""" currency = config_symbol_currency(req.symbol) try: contract = self.trade_client.get_contracts(symbol=req.symbol, currency=currency)[0] order = self.trade_client.create_order( account=self.account, contract=contract, action=DIRECTION_VT2TIGER[req.direction], order_type=ORDERTYPE_VT2TIGER[req.type], quantity=int(req.volume), limit_price=req.price, ) self.ID_TIGER2VT[str(order.order_id)] = local_id self.ID_VT2TIGER[local_id] = str(order.order_id) self.trade_client.place_order(order) except: # noqa traceback.print_exc() self.write_log(" billed failure ") return def cancel_order(self, req: CancelRequest): """""" self.add_task(self._cancel_order, req) def _cancel_order(self, req: CancelRequest): """""" try: order_id = self.ID_VT2TIGER[req.orderid] data = self.trade_client.cancel_order(order_id=order_id) except ApiException: self.write_log(f" withdrawals failure :{req.orderid}") if not data: self.write_log(" withdrawals success ") def query_contract(self): """""" # HK Stock symbols_names_HK = self.quote_client.get_symbol_names( lang=Language.zh_CN, market=Market.HK) contract_names_HK = DataFrame(symbols_names_HK, columns=["symbol", "name"]) contractList = list(contract_names_HK["symbol"]) i, n = 0, len(contractList) result = pd.DataFrame() while i < n: i += 50 c = contractList[i - 50:i] r = self.quote_client.get_trade_metas(c) result = result.append(r) contract_detail_HK = result.sort_values(by="symbol", ascending=True) contract_HK = pd.merge(contract_names_HK, contract_detail_HK, how="left", on="symbol") for ix, row in contract_HK.iterrows(): contract = ContractData( symbol=row["symbol"], exchange=Exchange.SEHK, name=row["name"], product=Product.EQUITY, size=1, min_volume=row["lot_size"], pricetick=row["min_tick"], net_position=True, gateway_name=self.gateway_name, ) self.on_contract(contract) self.contracts[contract.vt_symbol] = contract # US Stock symbols_names_US = self.quote_client.get_symbol_names( lang=Language.zh_CN, market=Market.US) contract_US = DataFrame(symbols_names_US, columns=["symbol", "name"]) for ix, row in contract_US.iterrows(): contract = ContractData( symbol=row["symbol"], exchange=Exchange.SMART, name=row["name"], product=Product.EQUITY, size=1, min_volume=100, pricetick=0.001, gateway_name=self.gateway_name, ) self.on_contract(contract) self.contracts[contract.vt_symbol] = contract # CN Stock symbols_names_CN = self.quote_client.get_symbol_names( lang=Language.zh_CN, market=Market.CN) contract_CN = DataFrame(symbols_names_CN, columns=["symbol", "name"]) for ix, row in contract_CN.iterrows(): symbol = row["symbol"] symbol, exchange = convert_symbol_tiger2vt(symbol) contract = ContractData( symbol=symbol, exchange=exchange, name=row["name"], product=Product.EQUITY, size=1, min_volume=100, pricetick=0.001, gateway_name=self.gateway_name, ) self.on_contract(contract) self.contracts[contract.vt_symbol] = contract def query_account(self): """""" try: assets = self.trade_client.get_assets() except ApiException: self.write_log(" queries funds fail ") return for i in assets: account = AccountData( accountid=self.account, balance=i.summary.net_liquidation, frozen=0.0, gateway_name=self.gateway_name, ) self.on_account(account) def query_position(self): """""" try: position = self.trade_client.get_positions() except ApiException: self.write_log(" queries positions fail ") return for i in position: symbol, exchange = convert_symbol_tiger2vt(i.contract.symbol) pos = PositionData( symbol=symbol, exchange=exchange, direction=Direction.NET, volume=int(i.quantity), frozen=0.0, price=i.average_cost, pnl=float(i.unrealized_pnl), gateway_name=self.gateway_name, ) self.on_position(pos) def query_order(self): """""" try: data = self.trade_client.get_orders() data = sorted(data, key=lambda x: x.order_time, reverse=False) except: # noqa traceback.print_exc() self.write_log(" inquiry commission failed ") return self.process_order(data) self.process_deal(data) def close(self): """""" self.active = False if self.push_client: self.push_client.disconnect() def process_order(self, data): """""" for i in data: symbol, exchange = convert_symbol_tiger2vt(str(i.contract)) local_id = self.get_new_local_id() order = OrderData( symbol=symbol, exchange=exchange, orderid=local_id, direction=Direction.NET, price=i.limit_price if i.limit_price else 0.0, volume=i.quantity, traded=i.filled, status=STATUS_TIGER2VT[i.status], time=datetime.fromtimestamp(i.order_time / 1000).strftime("%H:%M:%S"), gateway_name=self.gateway_name, ) self.ID_TIGER2VT[str(i.order_id)] = local_id self.on_order(order) self.ID_VT2TIGER = {v: k for k, v in self.ID_TIGER2VT.items()} def process_deal(self, data): """ Process trade data for both query and update. """ for i in data: if i.status == OrderStatus.PARTIALLY_FILLED or i.status == OrderStatus.FILLED: symbol, exchange = convert_symbol_tiger2vt(str(i.contract)) self.tradeid += 1 trade = TradeData( symbol=symbol, exchange=exchange, direction=Direction.NET, tradeid=self.tradeid, orderid=self.ID_TIGER2VT[str(i.order_id)], price=i.avg_fill_price, volume=i.filled, time=datetime.fromtimestamp(i.trade_time / 1000).strftime("%H:%M:%S"), gateway_name=self.gateway_name, ) self.on_trade(trade)
def trade_apis(): account = client_config.account openapi_client = TradeClient(client_config, logger=logger) # stock contract = openapi_client.get_contracts('AAPL')[0] # 或者本地构造合约对象 # contract = stock_contract(symbol='AAPL', currency='USD') # option # contract = option_contract(identifier='AAPL 190118P00160000') # future # contract = future_contract('CHF', 'USD', '20190617', multiplier=125000, exchange='GLOBEX') order = openapi_client.create_order(account, contract, 'BUY', 'LMT', 100, limit_price=5.0) # 或者本地构造订单对象 # order = limit_order(account=account, contract=contract, action='BUY', quantity=100, limit_price=5.0) openapi_client.place_order(order) order_id = order.order_id # you can operate order via id too new_order = openapi_client.get_order(order_id=order.order_id) assert order.order_id == new_order.order_id openapi_client.modify_order(new_order, quantity=150) new_order = openapi_client.get_order(order_id=order_id) assert new_order.quantity == 150 openapi_client.cancel_order(order_id=order_id) new_order = openapi_client.get_order(order_id=order_id) assert new_order.status == OrderStatus.CANCELLED or new_order.status == OrderStatus.PENDING_CANCEL # 预览订单 (下单前后保证金要求, 佣金等预览) result = openapi_client.preview_order(order) print(result) # 限价单 + 附加订单 (仅主订单为限价单时支持附加订单) stop_loss_order_leg = order_leg('LOSS', 8.0, time_in_force='GTC') # 附加止损 profit_taker_order_leg = order_leg('PROFIT', 12.0, time_in_force='GTC') # 附加止盈 main_order = openapi_client.create_order( account, contract, 'BUY', 'LMT', quantity=100, limit_price=10.0, order_legs=[stop_loss_order_leg, profit_taker_order_leg]) # 本地构造限价单 + 附加订单 # main_order = limit_order_with_legs(account, contract, 'BUY', 100, limit_price=10.0, # order_legs=[stop_loss_order_leg]) openapi_client.place_order(main_order) print(main_order) # 查询主订单所关联的附加订单 order_legs = openapi_client.get_open_orders(account, parent_id=main_order.order_id) print(order_legs)
class TigerGateway(BaseGateway): """""" default_setting = { "tiger_id": "", "account": "", "服务器": ["标准", "环球", "仿真"], "private_key": "", } # 在 VNTRADER 中展示的交易所列表 exchanges = [ Exchange.SEHK, Exchange.SMART, Exchange.SSE, Exchange.SZSE, Exchange.CFE, Exchange.ECBOT, Exchange.CMECRYPTO, Exchange.CFE, Exchange.GLOBEX, Exchange.NYMEX, Exchange.SGX, Exchange.HKFE ] def __init__(self, event_engine): """Constructor""" super(TigerGateway, self).__init__(event_engine, "TIGER") self.tiger_id = "" self.account = "" self.server = "" self.language = "" self.client_config = None self.quote_client = None self.push_client = None self.local_id = 1000000 self.tradeid = 0 self.active = False self.queue = Queue() self.pool = None self.ID_TIGER2VT = {} self.ID_VT2TIGER = {} self.ticks = {} self.trades = set() self.contracts = {} self.symbol_names = {} # {symbol NQ1909: (exchange, trading_contract)} self.vt_tiger_symbol_map = {} self.push_connected = False self.subscribed_symbols = set() def run(self): """""" while self.active: try: func, args = self.queue.get(timeout=0.1) func(*args) except Empty: pass except Exception: self.write_log('方法%s调用失败,参数为%s' % (func.__name__, args)) def add_task(self, func, *args): """""" self.queue.put((func, [*args])) def connect(self, setting: dict): """""" self.private_key = setting["private_key"] self.tiger_id = setting["tiger_id"] self.server = setting["服务器"] self.account = setting["account"] self.languege = Language.zh_CN # Start thread pool for REST call self.active = True self.pool = Pool(5) self.pool.apply_async(self.run) # Put connect task into quque. self.init_client_config() self.add_task(self.connect_quote) self.add_task(self.connect_trade) self.add_task(self.connect_push) def init_client_config(self, sandbox=SANDBOX): """""" self.client_config = TigerOpenClientConfig(sandbox_debug=sandbox) self.client_config.private_key = self.private_key self.client_config.tiger_id = self.tiger_id self.client_config.account = self.account self.client_config.language = self.language def connect_quote(self): """ Connect to market data server. """ try: self.quote_client = QuoteClient(self.client_config) self.symbol_names = dict( self.quote_client.get_symbol_names(lang=Language.zh_CN)) self.query_contract() except ApiException: self.write_log("查询合约失败") return self.write_log("行情接口连接成功") def connect_trade(self): """ Connect to trade server. """ self.write_log('查询交易接口') self.trade_client = TradeClient(self.client_config) try: self.add_task(self.query_order) self.add_task(self.query_position) self.add_task(self.query_account) except ApiException: self.write_log("交易接口连接失败") return self.write_log("交易接口连接成功") def connect_push(self): """ Connect to push server. """ protocol, host, port = self.client_config.socket_host_port self.push_client = PushClient(host, port, (protocol == "ssl")) self.push_client.quote_changed = self.on_quote_change self.push_client.asset_changed = self.on_asset_change self.push_client.position_changed = self.on_position_change self.push_client.order_changed = self.on_order_change self.push_client.connect_callback = self.on_push_connected self.push_client.disconnect_callback = self.on_disconnected self.push_client.connect(self.client_config.tiger_id, self.client_config.private_key) def subscribe(self, req: SubscribeRequest): """""" self.subscribed_symbols.add(req.symbol) if self.push_connected: self.push_client.subscribe_quote(symbols=[req.symbol], quote_key_type=QuoteKeyType.ALL) def on_push_connected(self): """""" self.push_connected = True self.write_log("推送接口连接成功") self.push_client.subscribe_asset(account=self.account) self.push_client.subscribe_position(account=self.account) self.push_client.subscribe_order(account=self.account) self.push_client.subscribe_quote(list(self.subscribed_symbols)) def on_disconnected(self): self.write_log('推送接口断开链接') self.push_connected = False def on_quote_change(self, tiger_symbol: str, data: list, trading: bool): """""" data = dict(data) symbol, exchange = self.get_vt_symbol_exchange(tiger_symbol) # 如果只推送了时间戳,或只推送了timeline,不向策略中推送新的tick事件 if 'latest_price' not in data and 'bid_price' not in data: return tick = self.ticks.get(symbol, None) if not tick: tick = TickData( symbol=symbol, exchange=exchange, gateway_name=self.gateway_name, datetime=datetime.now(), name=symbol, ) self.ticks[symbol] = tick # 本地止损单的设计依赖于limit up 与limit down(张跌停价格)。目前API中没有提供。 # 所以这里用high low 来代替 limit up 与limit down tick.datetime = datetime.fromtimestamp(int(data["timestamp"]) / 1000) tick.volume = data.get("volume", tick.volume) tick.ask_volume_1 = data.get("ask_size", tick.ask_volume_1) tick.bid_volume_1 = data.get("bid_size", tick.bid_volume_1) tick.pre_close = data.get("prev_close", tick.pre_close) tick.last_price = data.get("latest_price", tick.last_price) tick.open_price = data.get("open", tick.open_price) tick.high_price = data.get("high", tick.high_price) tick.low_price = data.get("low", tick.low_price) tick.ask_price_1 = data.get("ask_price", tick.ask_price_1) tick.bid_price_1 = data.get("bid_price", tick.bid_price_1) tick.limit_down = tick.low_price tick.limit_up = tick.high_price self.on_tick(copy(tick)) def on_asset_change(self, tiger_account: str, data: list): """""" data = dict(data) if "net_liquidation" not in data: return segment = data.get('segment') # 环球账户, 只推送summary的信息,含股票期货 if segment == 'summary' or segment is None: account = tiger_account # 标准账户有『子账户』的概念, 分别推送股票与期货账户的信息 elif segment == 'S': account = 'Security' elif segment == 'C': account = 'Commodity' account = AccountData( accountid=account, balance=round(data["net_liquidation"], 2), frozen=0.0, gateway_name=self.gateway_name, ) self.on_account(account) def on_position_change(self, tiger_account: str, data: list): """""" if tiger_account != self.account: return data = dict(data) # 处理标准与环球账户的差异, 环球的账户的期货信息要从originsymbol中获取,标准的从symbol中获取 origin_symbol = data.get("origin_symbol") if origin_symbol: symbol = origin_symbol2symbol(origin_symbol) else: symbol = data.get('symbol') symbol, exchange = self.get_vt_symbol_exchange(symbol) pos = PositionData( symbol=symbol, exchange=exchange, direction=Direction.NET, volume=int(data["quantity"]), frozen=0.0, price=round(data["average_cost"], 2), pnl=round(data["unrealized_pnl"], 2), gateway_name=self.gateway_name, ) self.on_position(pos) def on_order_change(self, tiger_account: str, data: list): """""" # 处理订阅了多个账户的情况 if tiger_account != self.account: return data = dict(data) origin_symbol = data.get("origin_symbol") if origin_symbol: symbol = origin_symbol2symbol(origin_symbol) else: symbol = data.get('symbol') symbol, exchange = self.get_vt_symbol_exchange(symbol) status = STATUS_TIGER2VT[data["status"]] order_time = data.get('order_time') order = OrderData( symbol=symbol, exchange=exchange, orderid=self.ID_TIGER2VT.get(str(data["id"]), self.get_new_local_id()), direction=DIRECTION_TIGER2VT[data.get('action')], price=data.get("limit_price", 0), volume=data["quantity"], traded=data["filled"], status=status, time=datetime.fromtimestamp(order_time / 1000).strftime("%H:%M:%S") if order_time else datetime.now().strftime("%H:%M:%S"), gateway_name=self.gateway_name, ) self.ID_TIGER2VT[str(data["id"])] = order.orderid self.on_order(order) if status == Status.ALLTRADED: self.tradeid += 1 trade = TradeData( symbol=symbol, exchange=exchange, direction=DIRECTION_TIGER2VT[data.get('action')], tradeid=self.tradeid, orderid=self.ID_TIGER2VT[str(data["id"])], price=data["avg_fill_price"], volume=data["filled"], time=datetime.fromtimestamp(order_time / 1000).strftime("%H:%M:%S") if order_time else datetime.now().strftime("%H:%M:%S"), gateway_name=self.gateway_name, ) self.on_trade(trade) def get_new_local_id(self): self.local_id += 1 return self.local_id def send_order(self, req: OrderRequest): """""" local_id = self.get_new_local_id() order = req.create_order_data(local_id, self.gateway_name) self.on_order(order) self.add_task(self._send_order, req, local_id) return order.vt_orderid def _send_order(self, req: OrderRequest, local_id): """""" try: # 主要处理一些API层面的校验带来的异常,如下单价格错误。 contract = self.get_trading_contract(req.symbol) order = self.trade_client.create_order( account=self.account, contract=contract, action=DIRECTION_VT2TIGER[req.direction], order_type=ORDERTYPE_VT2TIGER[req.type], quantity=int(req.volume), limit_price=round(req.price, 2), ) self.trade_client.place_order(order) self.ID_TIGER2VT[str(order.id)] = local_id self.ID_VT2TIGER[local_id] = str(order.id) except Exception: # 一些订单会在API层面被拒掉,不会推送订单的回报,这里模拟一个订单回报。 # 目前gateway 只实现了mkt 和limit 两种类型的订单,使用其他类型的订单也会出现异常。 # 这时本地的订单已经存在了, 所以返回一个状态为rejected的虚拟订单 symbol = contract2symbol(order.contract) symbol, exchange = self.get_vt_symbol_exchange(symbol) mock_order = OrderData( symbol=symbol, exchange=exchange, orderid=local_id, direction=DIRECTION_TIGER2VT[order.action], price=order.limit_price, volume=order.quantity, traded=0, status=Status.REJECTED, time=datetime.now().strftime("%H:%M:%S"), gateway_name=self.gateway_name, ) self.on_order(mock_order) self.write_log("发单失败") traceback.print_exc() def cancel_order(self, req: CancelRequest): """""" self.add_task(self._cancel_order, req) def _cancel_order(self, req: CancelRequest): """""" try: id = self.ID_VT2TIGER[req.orderid] data = self.trade_client.cancel_order(id=id) if not data: self.write_log("撤单成功") except ApiException: self.write_log(f"撤单请求提交失败:{req.orderid}") traceback.print_exc() except Exception: self.write_log('撤单失败,id:%s' % (req.orderid)) def query_contract(self): """""" self.write_log('开始查询合约信息') # HK Stock # 查询的速度太慢了, 注释掉了 try: symbols_names_HK = self.quote_client.get_symbol_names( lang=Language.zh_CN, market=Market.HK) contract_names_HK = DataFrame(symbols_names_HK, columns=["symbol", "name"]) contractList = list(contract_names_HK["symbol"]) i, n = 0, len(contractList) result = DataFrame() while i < n: i += 50 c = contractList[i - 50:i] r = self.quote_client.get_trade_metas(c) result = result.append(r) sleep(0.1) except: self.write_log('查询港股合约失败') contract_detail_HK = result.sort_values(by="symbol", ascending=True) contract_HK = merge(contract_names_HK, contract_detail_HK, how="left", on="symbol") for ix, row in contract_HK.iterrows(): contract = ContractData( symbol=row["symbol"], exchange=Exchange.SEHK, name=row["name"], product=Product.EQUITY, size=1, min_volume=row["lot_size"], pricetick=row["min_tick"], net_position=True, gateway_name=self.gateway_name, ) self.on_contract(contract) self.contracts[contract.vt_symbol] = contract self.vt_tiger_symbol_map.update({ contract.symbol: (Exchange.SEHK, stock_contract(contract.symbol, currency='HKD')) }) # US Stock symbols_names_US = self.quote_client.get_symbol_names( lang=Language.zh_CN, market=Market.US) contract_US = DataFrame(symbols_names_US, columns=["symbol", "name"]) for ix, row in contract_US.iterrows(): contract = ContractData( symbol=row["symbol"], exchange=Exchange.SMART, name=row["name"], product=Product.EQUITY, size=1, min_volume=1, pricetick=0.001, gateway_name=self.gateway_name, ) self.on_contract(contract) self.vt_tiger_symbol_map.update({ contract.symbol: (Exchange.SMART, stock_contract(contract.symbol, currency='USD')) }) self.contracts[contract.vt_symbol] = contract self.write_log('初始化美股合约完成') # Future contracts exchanges = self.quote_client.get_future_exchanges( sec_type=SecurityType.FUT, lang=Language.zh_CN) exchanges_list = exchanges['code'] contract_futures = DataFrame() for e in exchanges_list: exchange_contract = self.quote_client.get_future_contracts( e, lang=Language.zh_CN) if len(exchange_contract) != 0: contract_futures = contract_futures.append(exchange_contract) for ix, row in contract_futures.iterrows(): contract = ContractData( # symbol 用于查询存储数据 NQ1909 symbol=row.loc['contract_code'], exchange=config_future_exchange(row.loc['exchange']), name=row.loc['name'], product=Product.FUTURES, size=1, min_volume=1, pricetick=0.001, gateway_name=self.gateway_name) self.on_contract(contract) self.vt_tiger_symbol_map.update({ contract.symbol: (contract.exchange, future_contract( symbol=row.type, currency=row.currency, expiry=row.last_trading_date, exchange=row.exchange, multiplier=row.multiplier, )) }) self.contracts[contract.vt_symbol] = contract self.write_log('初始化期货合约完成') def query_account(self): self.write_log('开始查询账户信息') try: assets = self.trade_client.get_assets(segment=True) except ApiException: self.write_log("查询资金失败") return for i in assets: account = AccountData( accountid=self.account, balance=round(i.summary.net_liquidation, 2), frozen=0.0, gateway_name=self.gateway_name, ) # 下面两个账户仅作vntrader 展示使用。 # 环球账户的资产信息可以通过 summary 获取,标准账户需要区分股票和期货Segment, 且没有合并的summary信息。 sec_account = AccountData( accountid='Security', balance=round(i.segments.get('S').net_liquidation, 2), frozen=0.0, gateway_name=self.gateway_name, ) com_account = AccountData( accountid='Commodity', balance=round(i.segments.get('C').net_liquidation, 2), frozen=0.0, gateway_name=self.gateway_name, ) self.on_account(account) self.on_account(sec_account) self.on_account(com_account) self.write_log('账户信息查询完成') def query_position(self): """""" self.write_log('开始查询持仓信息') try: # 分别查询股票和期货的持仓 stock_position = self.trade_client.get_positions( sec_type=SecurityType.STK) future_position = self.trade_client.get_positions( sec_type=SecurityType.FUT) positions = stock_position + future_position except ApiException: self.write_log("查询持仓失败") return for i in positions: try: # 标准账户里面的symbol 是origin symbol symbol, exchange = self.get_vt_symbol_exchange( contract2symbol(i.contract)) pos = PositionData( symbol=symbol, exchange=exchange, direction=Direction.NET, volume=int(i.quantity), frozen=0.0, price=i.average_cost, pnl=float(i.unrealized_pnl), gateway_name=self.gateway_name, ) self.on_position(pos) except: self.write_log('处理持仓失败,symbol: %s' % (i.contract.symbol)) self.write_log('持仓信息查询完成') def query_order(self): self.write_log('开始查询历史订单信息') try: # 需要分别查询股票和期货的订单 stock_data = self.trade_client.get_orders( account=self.account, sec_type=SecurityType.STK) future_data = self.trade_client.get_orders( account=self.account, sec_type=SecurityType.FUT) data = stock_data + future_data data = sorted(data, key=lambda x: x.order_time, reverse=False) except: traceback.print_exc() self.write_log("查询订单失败") return self.process_order(data) self.process_deal(data) self.write_log('历史订单处理完成') def close(self): """""" self.active = False if self.push_client: # 退出前先进行退订操作,避免下次打开时的订阅异常 try: self.push_client.unsubscribe_asset() self.push_client.unsubscribe_position() self.push_client.unsubscribe_order() self.push_client.unsubscribe_quote( symbols=self.subscribed_symbols) self.push_client.disconnect() except: pass def process_order(self, data): """""" for i in data: try: symbol = contract2symbol(i.contract) symbol, exchange = self.get_vt_symbol_exchange(symbol) local_id = self.get_new_local_id() order = OrderData( symbol=symbol, exchange=exchange, orderid=local_id, direction=DIRECTION_TIGER2VT[i.action], price=i.limit_price if i.limit_price else 0.0, volume=i.quantity, traded=i.filled, status=STATUS_TIGER2VT[i.status], time=datetime.fromtimestamp(i.order_time / 1000).strftime("%H:%M:%S"), gateway_name=self.gateway_name, ) self.ID_TIGER2VT[str(i.id)] = local_id self.on_order(order) except: pass self.ID_VT2TIGER = {v: k for k, v in self.ID_TIGER2VT.items()} def process_deal(self, data): """ Process trade data for both query and update. """ for i in data: if i.status == OrderStatus.PARTIALLY_FILLED or i.status == OrderStatus.FILLED: try: symbol = contract2symbol(i.contract) symbol, exchange = self.get_vt_symbol_exchange(symbol) self.tradeid += 1 trade = TradeData( symbol=symbol, exchange=exchange, direction=DIRECTION_TIGER2VT[i.action], tradeid=self.tradeid, orderid=self.ID_TIGER2VT[str(i.id)], price=i.avg_fill_price, volume=i.filled, time=datetime.fromtimestamp(i.trade_time / 1000).strftime("%H:%M:%S"), gateway_name=self.gateway_name, ) self.on_trade(trade) except: pass def get_vt_symbol_exchange(self, symbol): try: exchange = self.vt_tiger_symbol_map.get(symbol)[0] except: self.write_log('can not get symbol %s' % (symbol)) return symbol, exchange def get_trading_contract(self, symbol): """用于下单时获取交易合约 :param symbol: :return: """ try: return self.vt_tiger_symbol_map.get(symbol)[1] except: self.write_log('cannot get traidng contract for symbol %s' % (symbol))