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)