def cancelOrder(self,
orderId=None,
originOrderId=None,
reqId=None,
sync=False):
RpcClientApiService.cancelOrder(orderId=orderId,
originOrderId=originOrderId,
reqId=reqId,
sync=sync)
def unsubscribe(self, unifiedSymbol, gatewayId=None):
if unifiedSymbol in ClientTradeCacheService.mixContractDict:
self.subscribedUnifiedSymbolSet.add(unifiedSymbol)
RpcClientApiService.unsubscribe(
ClientTradeCacheService.mixContractDict[unifiedSymbol],
gatewayId,
sync=True)
else:
logger.error("策略%s退订行情错误,未能找到合约%s", self.strategyId, unifiedSymbol)
def unsubscribe(self, unifiedSymbol, gatewayId=None):
logger.info("策略%s取消订阅合约%s", self.strategyId, unifiedSymbol)
contract = ClientTradeCacheService.getContractByUnifiedSymbol(
unifiedSymbol)
if contract is not None:
if unifiedSymbol in self.subscribedUnifiedSymbolSet:
self.subscribedUnifiedSymbolSet.remove(unifiedSymbol)
RpcClientApiService.unsubscribe(contract, gatewayId, sync=True)
else:
logger.error("策略%s退订行情错误,未能找到合约%s", self.strategyId, unifiedSymbol)
def submitOrder(self,
unifiedSymbol,
orderPriceType,
direction,
offsetFlag,
accountId,
price,
volume,
originOrderId=None,
sync=True):
if self.initSwitch and self.tradingSwitch:
submitOrderReq = SubmitOrderReqField()
submitOrderReq.contract.CopyFrom(
ClientTradeCacheService.getContractByUnifiedSymbol(
unifiedSymbol))
submitOrderReq.direction = direction
submitOrderReq.offsetFlag = offsetFlag
submitOrderReq.orderPriceType = orderPriceType
submitOrderReq.timeCondition = TimeConditionEnum.TC_GFD
submitOrderReq.price = price
submitOrderReq.minVolume = 1
submitOrderReq.stopPrice = 0.0
submitOrderReq.volumeCondition = VolumeConditionEnum.VC_AV
submitOrderReq.contingentCondition = ContingentConditionEnum.CC_Immediately
submitOrderReq.hedgeFlag = HedgeFlagEnum.HF_Speculation
submitOrderReq.forceCloseReason = ForceCloseReasonEnum.FCR_NotForceClose
submitOrderReq.volume = volume
account = ClientTradeCacheService.getAccountByAccountId(accountId)
submitOrderReq.gatewayId = account.gatewayId
submitOrderReq.accountCode = account.code
submitOrderReq.currency = account.currency
if originOrderId is None:
submitOrderReq.originOrderId = str(uuid.uuid4())
else:
submitOrderReq.originOrderId = originOrderId
self.originOrderIdSet.add(submitOrderReq.originOrderId)
logger.info("策略%s提交定单 %s", MessageToJson(submitOrderReq),
self.strategyId)
if sync:
orderId = RpcClientApiService.submitOrder(submitOrderReq,
sync=True)
return orderId
else:
RpcClientApiService.submitOrder(submitOrderReq, sync=False)
return None
else:
logger.error("策略尚未初始化或未处于交易状态")
return None
def subscribe(self, unifiedSymbol, gatewayId=None):
if unifiedSymbol in ClientTradeCacheService.mixContractDict:
self.subscribedUnifiedSymbolSet.add(unifiedSymbol)
contract = ClientTradeCacheService.mixContractDict[unifiedSymbol]
if gatewayId is not None:
contract.gatewayId = gatewayId
else:
contract.gatewayId = ""
RpcClientApiService.subscribe(
ClientTradeCacheService.mixContractDict[unifiedSymbol],
None,
sync=True)
else:
logger.error("策略%s订阅行情错误,未能找到合约%s", self.strategyId, unifiedSymbol)
def subscribe(self, unifiedSymbol, gatewayId=None):
logger.info("策略%s订阅合约%s", self.strategyId, unifiedSymbol)
contract = ClientTradeCacheService.getContractByUnifiedSymbol(
unifiedSymbol)
if contract is not None:
self.subscribedUnifiedSymbolSet.add(unifiedSymbol)
if gatewayId is not None:
contract.gatewayId = gatewayId
else:
contract.gatewayId = ""
RpcClientApiService.subscribe(contract, None, sync=True)
else:
logger.error("策略%s订阅行情错误,未能找到合约%s", self.strategyId, unifiedSymbol)
def submitOrder(self,
unifiedSymbol,
priceType,
direction,
offset,
accountId,
price,
volume,
originOrderId=None):
if self.initSwitch and self.tradingSwitch:
submitOrderReq = SubmitOrderReqField()
submitOrderReq.contract.CopyFrom(
ClientTradeCacheService.mixContractDict[unifiedSymbol])
submitOrderReq.price = price
submitOrderReq.priceType = priceType
submitOrderReq.volume = volume
submitOrderReq.direction = direction
submitOrderReq.offset = offset
account = ClientTradeCacheService.accountDict[accountId]
submitOrderReq.gatewayId = account.gateway.gatewayId
submitOrderReq.accountCode = account.code
submitOrderReq.currency = account.currency
if originOrderId is None:
submitOrderReq.originOrderId = str(uuid.uuid4())
else:
submitOrderReq.originOrderId = originOrderId
self.originOrderIdSet.add(submitOrderReq.originOrderId)
logger.warning("策略%s提交定单 \n %s", submitOrderReq, self.strategyId)
orderId = RpcClientApiService.submitOrder(submitOrderReq,
sync=True)
return orderId
else:
logger.error("策略尚未初始化或未处于交易状态")
return None
def onWsConnected():
from xyz.redtorch.client.service.rpc.RpcClientApiService import RpcClientApiService
for contract in RpcClientApiService.subscribedContractDict.values():
RpcClientApiService.subscribe(contract)
time.sleep(5)
startDatetime = '2020-06-15 00:00:00.000000'
startTimestamp = int(
time.mktime(time.strptime(startDatetime, "%Y-%m-%d %H:%M:%S.%f")) *
1000)
endDatetime = '2020-06-23 00:00:00.000000'
endTimestamp = int(
time.mktime(time.strptime(endDatetime, "%Y-%m-%d %H:%M:%S.%f")) * 1000)
print(startDatetime)
print(endTimestamp)
barList = RpcClientApiService.queryDBBarList(startTimestamp,
endTimestamp,
"IC2009@CFFEX@FUTURES",
BarCycleEnum.B_1Min,
MarketDataDBTypeEnum.MDDT_MIX,
reqId=None,
timeoutSeconds=None)
print(len(barList))
demoStrategyId = "TEST-STRATEGY-ID-000"
strategyDemo = StrategyDemo({"strategyId": demoStrategyId})
StrategyEngine.addStrategy(strategyDemo)
strategyDemo.initStrategy()
strategyDemo.startTrading()
while True:
if __name__ == "__main__":
loginResult = HttpClient.login(Config.username, Config.password,
Config.baseUrl)
if loginResult:
operatorId = loginResult['resultVo']['voData']['operatorId']
nodeId = loginResult['resultVo']['voData']['recentlyNodeId']
logging.warning("登录成功,操作者ID:%s,节点ID:%s", operatorId, nodeId)
Config.operatorId = operatorId
Config.nodeId = nodeId
WebSocketClientHandler.connect(loginResult['cookie'])
time.sleep(2)
logging.info("获取账户列表")
RpcClientApiService.getAccountList(sync=True)
logging.info("获取持仓列表")
RpcClientApiService.getPositionList(sync=True)
logging.info("获取混合合约列表")
RpcClientApiService.getMixContractList(sync=True)
logging.info("获取委托列表")
RpcClientApiService.getOrderList(sync=True)
logging.info("获取成交列表")
RpcClientApiService.getTradeList(sync=True)
logging.info("获取Tick列表")
RpcClientApiService.getTickList(sync=True)
demoStrategyId = "TEST-STRATEGY-ID-000"
strategyDemo = StrategyDemo(demoStrategyId)
StrategyEngine.addStrategy(strategyDemo)
def autoConnectAndUpdateTask(interval):
try:
from xyz.redtorch.client.web.socket.WebSocketClientHandler import WebSocketClientHandler
if not WebSocketClientHandler.connected and not WebSocketClientHandler.connecting:
loginResult = HttpClient.login(RtConfig.username,
RtConfig.password,
RtConfig.baseUrl)
if loginResult:
operatorId = loginResult['resultVo']['voData'][
'operatorId']
nodeId = loginResult['resultVo']['voData'][
'recentlyNodeId']
logging.warning("登录成功,操作者ID:%s,节点ID:%s", operatorId,
nodeId)
RtConfig.operatorId = operatorId
RtConfig.nodeId = nodeId
WebSocketClientHandler.connect(loginResult['cookie'])
time.sleep(2)
from xyz.redtorch.client.service.rpc.RpcClientApiService import RpcClientApiService
logging.info("获取账户列表")
RpcClientApiService.getAccountList(sync=True)
logging.info("获取持仓列表")
RpcClientApiService.getPositionList(sync=True)
logging.info("获取混合合约列表")
RpcClientApiService.getMixContractList(sync=True)
logging.info("获取委托列表")
RpcClientApiService.getOrderList(sync=True)
logging.info("获取成交列表")
RpcClientApiService.getTradeList(sync=True)
logging.info("获取Tick列表")
RpcClientApiService.getTickList(sync=True)
except:
logging.error("定时更新最新净值发生错误", exc_info=True)
t = Timer(interval, RtConfig.autoConnectAndUpdateTask, (interval, ))
t.start()
# Config.baseUrl = "http://" + Config.host + ":" + str(Config.port)
loginResult = HttpClient.login(Config.username, Config.password,
Config.baseUrl)
if loginResult:
operatorId = loginResult['resultVo']['voData']['operatorId']
nodeId = loginResult['resultVo']['voData']['recentlyNodeId']
logging.warning("登录成功,操作者ID:%s,节点ID:%s", operatorId, nodeId)
Config.operatorId = operatorId
Config.nodeId = nodeId
WebSocketClientHandler.connect(loginResult['cookie'])
time.sleep(2)
logging.info("获取账户列表")
RpcClientApiService.getAccountList(sync=True)
logging.info("获取持仓列表")
RpcClientApiService.getPositionList(sync=True)
logging.info("获取混合合约列表")
RpcClientApiService.getMixContractList(sync=True)
logging.info("获取委托列表")
RpcClientApiService.getOrderList(sync=True)
logging.info("获取成交列表")
RpcClientApiService.getTradeList(sync=True)
logging.info("获取Tick列表")
RpcClientApiService.getTickList(sync=True)
startDatetime = '2020-06-15 00:00:00.000000'
startTimestamp = int(
time.mktime(time.strptime(startDatetime, "%Y-%m-%d %H:%M:%S.%f")) *
1000)