def start(self, host=ct.FUTU_HOST, port=ct.FUTU_PORT):
with self.lock:
if self.quote_ctx is None:
self.quote_ctx = OpenQuoteContext(host, port)
else:
self.quote_ctx.start()
self.sub_dict = self.get_subscribed_dict()
logger.debug("self.sub_dict:%s" % self.sub_dict)
self._status = True
def context_setting(self):
"""
API trading and quote context setting
:returns: trade context, quote context
"""
if self.unlock_password == "":
raise Exception("请先配置交易解锁密码! password: {}".format(self.unlock_password))
quote_ctx = OpenQuoteContext(host=self.api_svr_ip, port=self.api_svr_port)
if 'HK.' in self.stock:
trade_ctx = OpenHKTradeContext(host=self.api_svr_ip, port=self.api_svr_port)
if self.trade_env == 0:
ret_code, ret_data = trade_ctx.unlock_trade(self.unlock_password)
if ret_code == 0:
print('解锁交易成功!')
else:
print("请求交易解锁失败, 请确认解锁密码! password: {}".format(self.unlock_password))
elif 'US.' in self.stock:
if self.trade_env != 0:
raise Exception("美股交易接口不支持仿真环境 trade_env: {}".format(self.trade_env))
trade_ctx = OpenUSTradeContext(host=self.api_svr_ip, port=self.api_svr_port)
else:
raise Exception("stock输入错误 stock: {}".format(self.stock))
return quote_ctx, trade_ctx
def connectQuote(self):
"""连接行情功能"""
self.quoteCtx = OpenQuoteContext(self.host, self.port)
# 继承实现处理器类
class QuoteHandler(StockQuoteHandlerBase):
"""报价处理器"""
gateway = self # 缓存Gateway对象
def on_recv_rsp(self, rsp_str):
ret_code, content = super(QuoteHandler, self).on_recv_rsp(rsp_str)
if ret_code != RET_OK:
return RET_ERROR, content
self.gateway.processQuote(content)
return RET_OK, content
class OrderBookHandler(OrderBookHandlerBase):
"""订单簿处理器"""
gateway = self
def on_recv_rsp(self, rsp_str):
ret_code, content = super(OrderBookHandler, self).on_recv_rsp(rsp_str)
if ret_code != RET_OK:
return RET_ERROR, content
self.gateway.processOrderBook(content)
return RET_OK, content
# 设置回调处理对象
self.quoteCtx.set_handler(QuoteHandler())
self.quoteCtx.set_handler(OrderBookHandler())
# 启动行情
self.quoteCtx.start()
self.writeLog(u'行情接口连接成功')
def connectQuote(self):
"""连接行情功能"""
self.quoteCtx = OpenQuoteContext(self.host, self.port)
# 继承实现处理器类
class QuoteHandler(StockQuoteHandlerBase):
"""报价处理器"""
gateway = self # 缓存Gateway对象
def on_recv_rsp(self, rsp_str):
ret_code, content = super(QuoteHandler,
self).on_recv_rsp(rsp_str)
if ret_code != RET_OK:
return RET_ERROR, content
self.gateway.processQuote(content)
return RET_OK, content
class OrderBookHandler(OrderBookHandlerBase):
"""订单簿处理器"""
gateway = self
def on_recv_rsp(self, rsp_str):
ret_code, content = super(OrderBookHandler,
self).on_recv_rsp(rsp_str)
if ret_code != RET_OK:
return RET_ERROR, content
self.gateway.processOrderBook(content)
return RET_OK, content
# 设置回调处理对象
self.quoteCtx.set_handler(QuoteHandler())
self.quoteCtx.set_handler(OrderBookHandler())
# 启动行情
self.quoteCtx.start()
self.writeLog(u'行情接口连接成功')
def _init_quote_context(self):
self._quote_context = OpenQuoteContext(
str(self._mod_config.api_svr.ip),
int(self._mod_config.api_svr.port))
return self._quote_context
sell_4_order_num=a['Ask'][3][2],
buy_5_price=a['Bid'][4][0], buy_5_volume=a['Bid'][4][1],
buy_5_order_num=a['Bid'][4][2],
sell_5_price=a['Ask'][4][0], sell_5_volume=a['Ask'][4][1],
sell_5_order_num=a['Ask'][4][2],
buy_6_price=a['Bid'][5][0], buy_6_volume=a['Bid'][5][1],
buy_6_order_num=a['Bid'][5][2],
sell_6_price=a['Ask'][5][0], sell_6_volume=a['Ask'][5][1],
sell_6_order_num=a['Ask'][5][2],
buy_7_price=a['Bid'][6][0], buy_7_volume=a['Bid'][6][1],
buy_7_order_num=a['Bid'][6][2],
sell_7_price=a['Ask'][6][0], sell_7_volume=a['Ask'][6][1],
sell_7_order_num=a['Ask'][6][2],
buy_8_price=a['Bid'][7][0], buy_8_volume=a['Bid'][7][1],
buy_8_order_num=a['Bid'][7][2],
sell_8_price=a['Ask'][7][0], sell_8_volume=a['Ask'][7][1],
sell_8_order_num=a['Ask'][7][2],
buy_9_price=a['Bid'][8][0], buy_9_volume=a['Bid'][8][1],
buy_9_order_num=a['Bid'][8][2],
sell_9_price=a['Ask'][8][0], sell_9_volume=a['Ask'][8][1],
sell_9_order_num=a['Ask'][8][2],
buy_10_price=a['Bid'][9][0], buy_10_volume=a['Bid'][9][1],
buy_10_order_num=a['Bid'][9][2],
sell_10_price=a['Ask'][9][0], sell_10_volume=a['Ask'][9][1],
sell_10_order_num=a['Ask'][9][2])
return quote_dict
quote_ctx = OpenQuoteContext(host='127.0.0.1', port=11111)
x=get_quote(code_list=['HK.00700'],quote_ctx=quote_ctx)
print(x)
quote_ctx.close()
class Subscriber:
def __init__(self):
self._status = False
self.sub_dict = None
self.quote_ctx = None
self.lock = Lock()
def __del__(self):
if self.quote_ctx is not None:
self.quote_ctx.close()
def start(self, host=ct.FUTU_HOST, port=ct.FUTU_PORT):
with self.lock:
if self.quote_ctx is None:
self.quote_ctx = OpenQuoteContext(host, port)
else:
self.quote_ctx.start()
self.sub_dict = self.get_subscribed_dict()
logger.debug("self.sub_dict:%s" % self.sub_dict)
self._status = True
def stop(self):
self.quote_ctx.stop()
self._status = False
logger.debug("stop success")
def close(self):
self.quote_ctx.close()
logger.debug("close success")
def status(self):
with self.lock:
return self._status
def get_order_book_data(self, code):
ret, data = self.quote_ctx.get_order_book(code)
return ret, data
def get_tick_data(self, code):
ret, data = self.quote_ctx.get_rt_ticker(code)
return ret, data
def get_quote_data(self, code):
ret, data = self.quote_ctx.get_stock_quote(code)
return ret, data
def subscribe(self, code_list, dtype, callback=None):
if dtype in self.sub_dict and set(code_list).issubset(
set(self.sub_dict[dtype])):
return 0
if callback is not None: self.quote_ctx.set_handler(callback)
ret, msg = self.quote_ctx.subscribe(code_list, dtype)
if 0 == ret:
if dtype not in self.sub_dict: self.sub_dict[dtype] = list()
self.sub_dict[dtype].extend(code_list)
else:
logger.error("%s subscrbe failed, msg:%s, dtype:%s" %
(code, msg, dtype))
return ret
def unsubscribe(self, code_list, subtype):
'''
code_list – 取消订阅的股票代码列表
subtype_list – 取消订阅的类型，参见SubType
'''
ret, msg = self.quote_ctx.unsubscribe(code_list, subtype)
if 0 == ret:
if subtype in self.sub_dict and code in self.sub_dict[subtype]:
self.sub_dict[subtype].remove(code)
else:
logger.error(msg)
return ret
def get_subscribed_dict(self):
ret, data = self.quote_ctx.query_subscription()
if 0 != ret:
logger.error(msg)
return None
return data['sub_dict'] if 'sub_dict' in data else dict()
class FutuGateway(VtGateway):
"""富途接口"""
#----------------------------------------------------------------------
def __init__(self, eventEngine, gatewayName='FUTU'):
"""Constructor"""
super(FutuGateway, self).__init__(eventEngine, gatewayName)
self.quoteCtx = None
self.tradeCtx = None
self.host = ''
self.ip = 0
self.market = ''
self.password = ''
self.env = TrdEnv.SIMULATE # 默认仿真交易
self.fileName = self.gatewayName + '_connect.json'
self.filePath = getJsonPath(self.fileName, __file__)
self.tickDict = {}
self.tradeSet = set() # 保存成交编号的集合，防止重复推送
self.qryEnabled = True
self.qryThread = Thread(target=self.qryData)
#----------------------------------------------------------------------
def writeLog(self, content):
"""输出日志"""
log = VtLogData()
log.gatewayName = self.gatewayName
log.logContent = content
self.onLog(log)
#----------------------------------------------------------------------
def writeError(self, code, msg):
"""输出错误"""
error = VtErrorData()
error.gatewayName = self.gatewayName
error.errorID = code
error.errorMsg = msg
self.onError(error)
#----------------------------------------------------------------------
def connect(self):
"""连接"""
# 载入配置
try:
f = open(self.filePath)
setting = json.load(f)
self.host = setting['host']
self.port = setting['port']
self.market = setting['market']
self.password = setting['password']
self.env = setting['env']
except:
self.writeLog(u'载入配置文件出错')
return
self.connectQuote()
self.connectTrade()
self.qryThread.start()
#----------------------------------------------------------------------
def qryData(self):
"""初始化时查询数据"""
# 等待2秒保证行情和交易接口启动完成
sleep(2.0)
# 查询合约、成交、委托、持仓、账户
self.qryContract()
self.qryTrade()
self.qryOrder()
self.qryPosition()
self.qryAccount()
# 启动循环查询
self.initQuery()
#----------------------------------------------------------------------
def connectQuote(self):
"""连接行情功能"""
self.quoteCtx = OpenQuoteContext(self.host, self.port)
# 继承实现处理器类
class QuoteHandler(StockQuoteHandlerBase):
"""报价处理器"""
gateway = self # 缓存Gateway对象
def on_recv_rsp(self, rsp_str):
ret_code, content = super(QuoteHandler,
self).on_recv_rsp(rsp_str)
if ret_code != RET_OK:
return RET_ERROR, content
self.gateway.processQuote(content)
return RET_OK, content
class OrderBookHandler(OrderBookHandlerBase):
"""订单簿处理器"""
gateway = self
def on_recv_rsp(self, rsp_str):
ret_code, content = super(OrderBookHandler,
self).on_recv_rsp(rsp_str)
if ret_code != RET_OK:
return RET_ERROR, content
self.gateway.processOrderBook(content)
return RET_OK, content
# 设置回调处理对象
self.quoteCtx.set_handler(QuoteHandler())
self.quoteCtx.set_handler(OrderBookHandler())
# 启动行情
self.quoteCtx.start()
self.writeLog(u'行情接口连接成功')
#----------------------------------------------------------------------
def connectTrade(self):
"""连接交易功能"""
# 连接交易接口
if self.market == 'US':
self.tradeCtx = OpenUSTradeContext(self.host, self.port)
else:
self.tradeCtx = OpenHKTradeContext(self.host, self.port)
# 继承实现处理器类
class OrderHandler(TradeOrderHandlerBase):
"""委托处理器"""
gateway = self # 缓存Gateway对象
def on_recv_rsp(self, rsp_str):
ret_code, content = super(OrderHandler,
self).on_recv_rsp(rsp_str)
if ret_code != RET_OK:
return RET_ERROR, content
self.gateway.processOrder(content)
return RET_OK, content
class DealHandler(TradeDealHandlerBase):
"""订单簿处理器"""
gateway = self
def on_recv_rsp(self, rsp_str):
ret_code, content = super(DealHandler,
self).on_recv_rsp(rsp_str)
if ret_code != RET_OK:
return RET_ERROR, content
self.gateway.processDeal(content)
return RET_OK, content
# 只有港股实盘交易才需要解锁
code, data = self.tradeCtx.unlock_trade(self.password)
if code == RET_OK:
self.writeLog(u'交易接口解锁成功')
else:
self.writeLog(u'交易接口解锁失败，原因：%s' % data)
# 设置回调处理对象
self.tradeCtx.set_handler(OrderHandler())
self.tradeCtx.set_handler(DealHandler())
# 启动交易接口
self.tradeCtx.start()
self.writeLog(u'交易接口连接成功')
#----------------------------------------------------------------------
def subscribe(self, subscribeReq):
"""订阅行情"""
for data_type in ['QUOTE', 'ORDER_BOOK']:
code, data = self.quoteCtx.subscribe(subscribeReq.symbol,
data_type, True)
if code:
self.writeError(code, u'订阅行情失败：%s' % data)
#----------------------------------------------------------------------
def sendOrder(self, orderReq):
"""发单"""
side = directionMap[orderReq.direction]
priceType = OrderType.NORMAL # 只支持限价单
# 设置价格调整模式为向内调整（即买入调整后价格比原始价格低）
if orderReq.direction == DIRECTION_LONG:
adjustLimit = 0.05
else:
adjustLimit = -0.05
code, data = self.tradeCtx.place_order(orderReq.price,
orderReq.volume,
orderReq.symbol,
side,
priceType,
trd_env=self.env,
adjust_limit=adjustLimit)
if code:
self.writeError(code, u'委托失败：%s' % data)
return ''
for ix, row in data.iterrows():
orderID = str(row['order_id'])
vtOrderID = '.'.join([self.gatewayName, orderID])
return vtOrderID
#----------------------------------------------------------------------
def cancelOrder(self, cancelOrderReq):
"""撤单"""
code, data = self.tradeCtx.modify_order(ModifyOrderOp.CANCEL,
cancelOrderReq.orderID,
0,
0,
trd_env=self.env)
if code:
self.writeError(code, u'撤单失败：%s' % data)
return
#----------------------------------------------------------------------
def qryContract(self):
"""查询合约"""
for vtProductClass, product in productMap.items():
code, data = self.quoteCtx.get_stock_basicinfo(
self.market, product)
if code:
self.writeError(code, u'查询合约信息失败：%s' % data)
return
for ix, row in data.iterrows():
contract = VtContractData()
contract.gatewayName = self.gatewayName
contract.symbol = row['code']
contract.vtSymbol = contract.symbol
contract.name = row['name']
contract.productClass = vtProductClass
contract.size = int(row['lot_size'])
contract.priceTick = 0.001
self.onContract(contract)
self.writeLog(u'合约信息查询成功')
#----------------------------------------------------------------------
def qryAccount(self):
"""查询账户资金"""
code, data = self.tradeCtx.accinfo_query(trd_env=self.env, acc_id=0)
if code:
self.writeError(code, u'查询账户资金失败：%s' % data)
return
for ix, row in data.iterrows():
account = VtAccountData()
account.gatewayName = self.gatewayName
account.accountID = '%s_%s' % (self.gatewayName, self.market)
account.vtAccountID = '.'.join(
[self.gatewayName, account.accountID])
account.balance = float(row['total_assets'])
account.available = float(row['avl_withdrawal_cash'])
self.onAccount(account)
#----------------------------------------------------------------------
def qryPosition(self):
"""查询持仓"""
code, data = self.tradeCtx.position_list_query(trd_env=self.env,
acc_id=0)
if code:
self.writeError(code, u'查询持仓失败：%s' % data)
return
for ix, row in data.iterrows():
pos = VtPositionData()
pos.gatewayName = self.gatewayName
pos.symbol = row['code']
pos.vtSymbol = pos.symbol
pos.direction = DIRECTION_LONG
pos.vtPositionName = '.'.join([pos.vtSymbol, pos.direction])
pos.position = float(row['qty'])
pos.price = float(row['cost_price'])
pos.positionProfit = float(row['pl_val'])
pos.frozen = float(row['qty']) - float(row['can_sell_qty'])
if pos.price < 0: pos.price = 0
if pos.positionProfit > 100000000: pos.positionProfit = 0
self.onPosition(pos)
#----------------------------------------------------------------------
def qryOrder(self):
"""查询委托"""
code, data = self.tradeCtx.order_list_query("", trd_env=self.env)
if code:
self.writeError(code, u'查询委托失败：%s' % data)
return
self.processOrder(data)
self.writeLog(u'委托查询成功')
#----------------------------------------------------------------------
def qryTrade(self):
"""查询成交"""
code, data = self.tradeCtx.deal_list_query(self.env)
if code:
self.writeError(code, u'查询成交失败：%s' % data)
return
self.processDeal(data)
self.writeLog(u'成交查询成功')
#----------------------------------------------------------------------
def close(self):
"""关闭"""
if self.quoteCtx:
self.quoteCtx.close()
if self.tradeCtx:
self.tradeCtx.close()
#----------------------------------------------------------------------
def initQuery(self):
"""初始化连续查询"""
if self.qryEnabled:
# 需要循环的查询函数列表
self.qryFunctionList = [self.qryAccount, self.qryPosition]
self.qryCount = 0 # 查询触发倒计时
self.qryTrigger = 2 # 查询触发点
self.qryNextFunction = 0 # 上次运行的查询函数索引
self.startQuery()
#----------------------------------------------------------------------
def query(self, event):
"""注册到事件处理引擎上的查询函数"""
self.qryCount += 1
if self.qryCount > self.qryTrigger:
# 清空倒计时
self.qryCount = 0
# 执行查询函数
function = self.qryFunctionList[self.qryNextFunction]
function()
# 计算下次查询函数的索引，如果超过了列表长度，则重新设为0
self.qryNextFunction += 1
if self.qryNextFunction == len(self.qryFunctionList):
self.qryNextFunction = 0
#----------------------------------------------------------------------
def startQuery(self):
"""启动连续查询"""
self.eventEngine.register(EVENT_TIMER, self.query)
#----------------------------------------------------------------------
def setQryEnabled(self, qryEnabled):
"""设置是否要启动循环查询"""
self.qryEnabled = qryEnabled
#----------------------------------------------------------------------
def processQuote(self, data):
"""报价推送"""
for ix, row in data.iterrows():
symbol = row['code']
tick = self.tickDict.get(symbol, None)
if not tick:
tick = VtTickData()
tick.symbol = symbol
tick.vtSymbol = tick.symbol
tick.gatewayName = self.gatewayName
self.tickDict[symbol] = tick
tick.date = row['data_date'].replace('-', '')
tick.time = row['data_time']
tick.datetime = datetime.strptime(' '.join([tick.date, tick.time]),
'%Y%m%d %H:%M:%S')
tick.openPrice = row['open_price']
tick.highPrice = row['high_price']
tick.lowPrice = row['low_price']
tick.preClosePrice = row['prev_close_price']
tick.lastPrice = row['last_price']
tick.volume = row['volume']
if 'price_spread' in row:
spread = row['price_spread']
tick.upperLimit = tick.lastPrice + spread * 10
tick.lowerLimit = tick.lastPrice - spread * 10
newTick = copy(tick)
self.onTick(newTick)
#----------------------------------------------------------------------
def processOrderBook(self, data):
"""订单簿推送"""
symbol = data['code']
tick = self.tickDict.get(symbol, None)
if not tick:
tick = VtTickData()
tick.symbol = symbol
tick.vtSymbol = tick.symbol
tick.gatewayName = self.gatewayName
self.tickDict[symbol] = tick
d = tick.__dict__
for i in range(5):
bidData = data['Bid'][i]
askData = data['Ask'][i]
n = i + 1
d['bidPrice%s' % n] = bidData[0]
d['bidVolume%s' % n] = bidData[1]
d['askPrice%s' % n] = askData[0]
d['askVolume%s' % n] = askData[1]
if tick.datetime:
newTick = copy(tick)
self.onTick(newTick)
#----------------------------------------------------------------------
def processOrder(self, data):
"""处理委托推送"""
for ix, row in data.iterrows():
# 如果状态是已经删除，则直接忽略
if row['order_status'] == OrderStatus.DELETED:
continue
print(row['order_status'])
order = VtOrderData()
order.gatewayName = self.gatewayName
order.symbol = row['code']
order.vtSymbol = order.symbol
order.orderID = str(row['order_id'])
order.vtOrderID = '.'.join([self.gatewayName, order.orderID])
order.price = float(row['price'])
order.totalVolume = float(row['qty'])
order.tradedVolume = float(row['dealt_qty'])
order.orderTime = row['create_time'].split(' ')[-1]
order.status = statusMapReverse.get(row['order_status'],
STATUS_UNKNOWN)
order.direction = directionMapReverse[row['trd_side']]
self.onOrder(order)
#----------------------------------------------------------------------
def processDeal(self, data):
"""处理成交推送"""
for ix, row in data.iterrows():
tradeID = str(row['deal_id'])
if tradeID in self.tradeSet:
continue
self.tradeSet.add(tradeID)
trade = VtTradeData()
trade.gatewayName = self.gatewayName
trade.symbol = row['code']
trade.vtSymbol = trade.symbol
trade.tradeID = tradeID
trade.vtTradeID = '.'.join([self.gatewayName, trade.tradeID])
trade.orderID = row['order_id']
trade.vtOrderID = '.'.join([self.gatewayName, trade.orderID])
trade.price = float(row['price'])
trade.volume = float(row['qty'])
trade.direction = directionMapReverse[row['trd_side']]
trade.tradeTime = row['create_time'].split(' ')[-1]
self.onTrade(trade)
class FutuGateway(VtGateway):
"""富途接口"""
#----------------------------------------------------------------------
def __init__(self, eventEngine, gatewayName='FUTU'):
"""Constructor"""
super(FutuGateway, self).__init__(eventEngine, gatewayName)
self.quoteCtx = None
self.tradeCtx = None
self.host = ''
self.ip = 0
self.market = ''
self.password = ''
self.env = TrdEnv.SIMULATE # 默认仿真交易
self.fileName = self.gatewayName + '_connect.json'
self.filePath = getJsonPath(self.fileName, __file__)
self.tickDict = {}
self.tradeSet = set() # 保存成交编号的集合，防止重复推送
self.qryEnabled = True
self.qryThread = Thread(target=self.qryData)
#----------------------------------------------------------------------
def writeLog(self, content):
"""输出日志"""
log = VtLogData()
log.gatewayName = self.gatewayName
log.logContent = content
self.onLog(log)
#----------------------------------------------------------------------
def writeError(self, code, msg):
"""输出错误"""
error = VtErrorData()
error.gatewayName = self.gatewayName
error.errorID = code
error.errorMsg = msg
self.onError(error)
#----------------------------------------------------------------------
def connect(self):
"""连接"""
# 载入配置
try:
f = open(self.filePath)
setting = json.load(f)
self.host = setting['host']
self.port = setting['port']
self.market = setting['market']
self.password = setting['password']
self.env = setting['env']
except:
self.writeLog(u'载入配置文件出错')
return
self.connectQuote()
self.connectTrade()
self.qryThread.start()
#----------------------------------------------------------------------
def qryData(self):
"""初始化时查询数据"""
# 等待2秒保证行情和交易接口启动完成
sleep(2.0)
# 查询合约、成交、委托、持仓、账户
self.qryContract()
self.qryTrade()
self.qryOrder()
self.qryPosition()
self.qryAccount()
# 启动循环查询
self.initQuery()
#----------------------------------------------------------------------
def connectQuote(self):
"""连接行情功能"""
self.quoteCtx = OpenQuoteContext(self.host, self.port)
# 继承实现处理器类
class QuoteHandler(StockQuoteHandlerBase):
"""报价处理器"""
gateway = self # 缓存Gateway对象
def on_recv_rsp(self, rsp_str):
ret_code, content = super(QuoteHandler, self).on_recv_rsp(rsp_str)
if ret_code != RET_OK:
return RET_ERROR, content
self.gateway.processQuote(content)
return RET_OK, content
class OrderBookHandler(OrderBookHandlerBase):
"""订单簿处理器"""
gateway = self
def on_recv_rsp(self, rsp_str):
ret_code, content = super(OrderBookHandler, self).on_recv_rsp(rsp_str)
if ret_code != RET_OK:
return RET_ERROR, content
self.gateway.processOrderBook(content)
return RET_OK, content
# 设置回调处理对象
self.quoteCtx.set_handler(QuoteHandler())
self.quoteCtx.set_handler(OrderBookHandler())
# 启动行情
self.quoteCtx.start()
self.writeLog(u'行情接口连接成功')
#----------------------------------------------------------------------
def connectTrade(self):
"""连接交易功能"""
# 连接交易接口
if self.market == 'US':
self.tradeCtx = OpenUSTradeContext(self.host, self.port)
else:
self.tradeCtx = OpenHKTradeContext(self.host, self.port)
# 继承实现处理器类
class OrderHandler(TradeOrderHandlerBase):
"""委托处理器"""
gateway = self # 缓存Gateway对象
def on_recv_rsp(self, rsp_str):
ret_code, content = super(OrderHandler, self).on_recv_rsp(rsp_str)
if ret_code != RET_OK:
return RET_ERROR, content
self.gateway.processOrder(content)
return RET_OK, content
class DealHandler(TradeDealHandlerBase):
"""订单簿处理器"""
gateway = self
def on_recv_rsp(self, rsp_str):
ret_code, content = super(DealHandler, self).on_recv_rsp(rsp_str)
if ret_code != RET_OK:
return RET_ERROR, content
self.gateway.processDeal(content)
return RET_OK, content
# 只有港股实盘交易才需要解锁
code, data = self.tradeCtx.unlock_trade(self.password)
if code == RET_OK:
self.writeLog(u'交易接口解锁成功')
else:
self.writeLog(u'交易接口解锁失败，原因：%s' %data)
# 设置回调处理对象
self.tradeCtx.set_handler(OrderHandler())
self.tradeCtx.set_handler(DealHandler())
# 启动交易接口
self.tradeCtx.start()
self.writeLog(u'交易接口连接成功')
#----------------------------------------------------------------------
def subscribe(self, subscribeReq):
"""订阅行情"""
for data_type in ['QUOTE', 'ORDER_BOOK']:
code, data = self.quoteCtx.subscribe(subscribeReq.symbol, data_type, True)
if code:
self.writeError(code, u'订阅行情失败：%s' %data)
#----------------------------------------------------------------------
def sendOrder(self, orderReq):
"""发单"""
side = directionMap[orderReq.direction]
priceType = OrderType.NORMAL # 只支持限价单
# 设置价格调整模式为向内调整（即买入调整后价格比原始价格低）
if orderReq.direction == DIRECTION_LONG:
adjustLimit = 0.05
else:
adjustLimit = -0.05
code, data = self.tradeCtx.place_order(orderReq.price, orderReq.volume,
orderReq.symbol, side, priceType,
trd_env=self.env,
adjust_limit=adjustLimit)
if code:
self.writeError(code, u'委托失败：%s' %data)
return ''
for ix, row in data.iterrows():
orderID = str(row['order_id'])
vtOrderID = '.'.join([self.gatewayName, orderID])
return vtOrderID
#----------------------------------------------------------------------
def cancelOrder(self, cancelOrderReq):
"""撤单"""
code, data = self.tradeCtx.modify_order(ModifyOrderOp.CANCEL, cancelOrderReq.orderID,
0, 0, trd_env=self.env)
if code:
self.writeError(code, u'撤单失败：%s' %data)
return
#----------------------------------------------------------------------
def qryContract(self):
"""查询合约"""
for vtProductClass, product in productMap.items():
code, data = self.quoteCtx.get_stock_basicinfo(self.market, product)
if code:
self.writeError(code, u'查询合约信息失败：%s' %data)
return
for ix, row in data.iterrows():
contract = VtContractData()
contract.gatewayName = self.gatewayName
contract.symbol = row['code']
contract.vtSymbol = contract.symbol
contract.name = row['name']
contract.productClass = vtProductClass
contract.size = int(row['lot_size'])
contract.priceTick = 0.001
self.onContract(contract)
self.writeLog(u'合约信息查询成功')
#----------------------------------------------------------------------
def qryAccount(self):
"""查询账户资金"""
code, data = self.tradeCtx.accinfo_query(trd_env=self.env, acc_id=0)
if code:
self.writeError(code, u'查询账户资金失败：%s' %data)
return
for ix, row in data.iterrows():
account = VtAccountData()
account.gatewayName = self.gatewayName
account.accountID = '%s_%s' %(self.gatewayName, self.market)
account.vtAccountID = '.'.join([self.gatewayName, account.accountID])
account.balance = float(row['total_assets'])
account.available = float(row['avl_withdrawal_cash'])
self.onAccount(account)
#----------------------------------------------------------------------
def qryPosition(self):
"""查询持仓"""
code, data = self.tradeCtx.position_list_query(trd_env=self.env, acc_id=0)
if code:
self.writeError(code, u'查询持仓失败：%s' %data)
return
for ix, row in data.iterrows():
pos = VtPositionData()
pos.gatewayName = self.gatewayName
pos.symbol = row['code']
pos.vtSymbol = pos.symbol
pos.direction = DIRECTION_LONG
pos.vtPositionName = '.'.join([pos.vtSymbol, pos.direction])
pos.position = float(row['qty'])
pos.price = float(row['cost_price'])
pos.positionProfit = float(row['pl_val'])
pos.frozen = float(row['qty']) - float(row['can_sell_qty'])
if pos.price < 0: pos.price = 0
if pos.positionProfit > 100000000: pos.positionProfit = 0
self.onPosition(pos)
#----------------------------------------------------------------------
def qryOrder(self):
"""查询委托"""
code, data = self.tradeCtx.order_list_query("", trd_env=self.env)
if code:
self.writeError(code, u'查询委托失败：%s' %data)
return
self.processOrder(data)
self.writeLog(u'委托查询成功')
#----------------------------------------------------------------------
def qryTrade(self):
"""查询成交"""
code, data = self.tradeCtx.deal_list_query(self.env)
if code:
self.writeError(code, u'查询成交失败：%s' %data)
return
self.processDeal(data)
self.writeLog(u'成交查询成功')
#----------------------------------------------------------------------
def close(self):
"""关闭"""
if self.quoteCtx:
self.quoteCtx.close()
if self.tradeCtx:
self.tradeCtx.close()
#----------------------------------------------------------------------
def initQuery(self):
"""初始化连续查询"""
if self.qryEnabled:
# 需要循环的查询函数列表
self.qryFunctionList = [self.qryAccount, self.qryPosition]
self.qryCount = 0 # 查询触发倒计时
self.qryTrigger = 2 # 查询触发点
self.qryNextFunction = 0 # 上次运行的查询函数索引
self.startQuery()
#----------------------------------------------------------------------
def query(self, event):
"""注册到事件处理引擎上的查询函数"""
self.qryCount += 1
if self.qryCount > self.qryTrigger:
# 清空倒计时
self.qryCount = 0
# 执行查询函数
function = self.qryFunctionList[self.qryNextFunction]
function()
# 计算下次查询函数的索引，如果超过了列表长度，则重新设为0
self.qryNextFunction += 1
if self.qryNextFunction == len(self.qryFunctionList):
self.qryNextFunction = 0
#----------------------------------------------------------------------
def startQuery(self):
"""启动连续查询"""
self.eventEngine.register(EVENT_TIMER, self.query)
#----------------------------------------------------------------------
def setQryEnabled(self, qryEnabled):
"""设置是否要启动循环查询"""
self.qryEnabled = qryEnabled
#----------------------------------------------------------------------
def processQuote(self, data):
"""报价推送"""
for ix, row in data.iterrows():
symbol = row['code']
tick = self.tickDict.get(symbol, None)
if not tick:
tick = VtTickData()
tick.symbol = symbol
tick.vtSymbol = tick.symbol
tick.gatewayName = self.gatewayName
self.tickDict[symbol] = tick
tick.date = row['data_date'].replace('-', '')
tick.time = row['data_time']
tick.datetime = datetime.strptime(' '.join([tick.date, tick.time]), '%Y%m%d %H:%M:%S')
tick.openPrice = row['open_price']
tick.highPrice = row['high_price']
tick.lowPrice = row['low_price']
tick.preClosePrice = row['prev_close_price']
tick.lastPrice = row['last_price']
tick.volume = row['volume']
if 'price_spread' in row:
spread = row['price_spread']
tick.upperLimit = tick.lastPrice + spread * 10
tick.lowerLimit = tick.lastPrice - spread * 10
newTick = copy(tick)
self.onTick(newTick)
#----------------------------------------------------------------------
def processOrderBook(self, data):
"""订单簿推送"""
symbol = data['code']
tick = self.tickDict.get(symbol, None)
if not tick:
tick = VtTickData()
tick.symbol = symbol
tick.vtSymbol = tick.symbol
tick.gatewayName = self.gatewayName
self.tickDict[symbol] = tick
d = tick.__dict__
for i in range(5):
bidData = data['Bid'][i]
askData = data['Ask'][i]
n = i + 1
d['bidPrice%s' %n] = bidData[0]
d['bidVolume%s' %n] = bidData[1]
d['askPrice%s' %n] = askData[0]
d['askVolume%s' %n] = askData[1]
if tick.datetime:
newTick = copy(tick)
self.onTick(newTick)
#----------------------------------------------------------------------
def processOrder(self, data):
"""处理委托推送"""
for ix, row in data.iterrows():
# 如果状态是已经删除，则直接忽略
if row['order_status'] == OrderStatus.DELETED:
continue
print(row['order_status'])
order = VtOrderData()
order.gatewayName = self.gatewayName
order.symbol = row['code']
order.vtSymbol = order.symbol
order.orderID = str(row['order_id'])
order.vtOrderID = '.'.join([self.gatewayName, order.orderID])
order.price = float(row['price'])
order.totalVolume = float(row['qty'])
order.tradedVolume = float(row['dealt_qty'])
order.orderTime = row['create_time'].split(' ')[-1]
order.status = statusMapReverse.get(row['order_status'], STATUS_UNKNOWN)
order.direction = directionMapReverse[row['trd_side']]
self.onOrder(order)
#----------------------------------------------------------------------
def processDeal(self, data):
"""处理成交推送"""
for ix, row in data.iterrows():
tradeID = str(row['deal_id'])
if tradeID in self.tradeSet:
continue
self.tradeSet.add(tradeID)
trade = VtTradeData()
trade.gatewayName = self.gatewayName
trade.symbol = row['code']
trade.vtSymbol = trade.symbol
trade.tradeID = tradeID
trade.vtTradeID = '.'.join([self.gatewayName, trade.tradeID])
trade.orderID = row['order_id']
trade.vtOrderID = '.'.join([self.gatewayName, trade.orderID])
trade.price = float(row['price'])
trade.volume = float(row['qty'])
trade.direction = directionMapReverse[row['trd_side']]
trade.tradeTime = row['create_time'].split(' ')[-1]
self.onTrade(trade)