def parse_order(item):
contract_fields = {}
order_fields = {}
for key, value in item.items():
if value is None:
continue
if isinstance(value, six.string_types):
value = get_string(value)
tag = ORDER_FIELD_MAPPINGS[
key] if key in ORDER_FIELD_MAPPINGS else key
if tag in CONTRACT_FIELDS:
contract_fields[tag] = value
else:
order_fields[tag] = value
contract_id = contract_fields.get('contract_id')
symbol = contract_fields.get('symbol')
currency = contract_fields.get('currency')
sec_type = contract_fields.get('sec_type')
exchange = contract_fields.get('exchange')
origin_symbol = contract_fields.get('origin_symbol')
local_symbol = contract_fields.get('local_symbol')
expiry = contract_fields.get('expiry')
strike = contract_fields.get('strike')
put_call = contract_fields.get('right')
multiplier = contract_fields.get('multiplier')
contract = Contract(symbol,
currency,
contract_id=contract_id,
sec_type=sec_type,
exchange=exchange,
origin_symbol=origin_symbol,
local_symbol=local_symbol,
expiry=expiry,
strike=strike,
put_call=put_call,
multiplier=multiplier)
account = order_fields.get('account')
action = order_fields.get('action')
order_type = order_fields.get('order_type')
quantity = order_fields.get('quantity')
limit_price = order_fields.get('limit_price')
aux_price = order_fields.get('aux_price')
trail_stop_price = order_fields.get('trail_stop_price')
trailing_percent = order_fields.get('trailing_percent')
percent_offset = order_fields.get('percent_offset')
time_in_force = order_fields.get('time_in_force')
outside_rth = order_fields.get('outside_rth')
filled = order_fields.get('filled')
avg_fill_price = order_fields.get('avg_fill_price')
commission = order_fields.get('commission')
realized_pnl = order_fields.get('realized_pnl')
id = order_fields.get('id')
order_id = order_fields.get('order_id')
parent_id = order_fields.get('parent_id')
status = get_order_status(order_fields.get('status'))
order = Order(account,
contract,
action,
order_type,
quantity,
limit_price=limit_price,
aux_price=aux_price,
trail_stop_price=trail_stop_price,
trailing_percent=trailing_percent,
percent_offset=percent_offset,
time_in_force=time_in_force,
outside_rth=outside_rth,
filled=filled,
avg_fill_price=avg_fill_price,
commission=commission,
realized_pnl=realized_pnl,
id=id,
order_id=order_id,
parent_id=parent_id)
if 'order_time' in order_fields:
order.order_time = order_fields.get('order_time')
if 'trade_time' in order_fields:
order.trade_time = order_fields.get('trade_time')
if 'reason' in order_fields:
order.reason = order_fields.get('reason')
order.status = status
return order
def on_message(self, headers, body):
"""
Called by the STOMP connection when a MESSAGE frame is received.
:param dict headers: a dictionary containing all headers sent by the server as key/value pairs.
:param body: the frame's payload - the message body.
"""
try:
response_type = headers.get('ret-type')
if response_type == str(ResponseType.GET_SUB_SYMBOLS_END.value):
if self.subscribed_symbols:
data = json.loads(body)
limit = data.get('limit')
symbols = data.get('subscribedSymbols')
used = data.get('used')
symbol_focus_keys = data.get('symbolFocusKeys')
focus_keys = dict()
for sym, keys in symbol_focus_keys.items():
keys = set(
QUOTE_KEYS_MAPPINGS.get(key, key) for key in keys)
focus_keys[sym] = list(keys)
self.subscribed_symbols(symbols, focus_keys, limit, used)
elif response_type == str(ResponseType.GET_QUOTE_CHANGE_END.value):
if self.quote_changed:
data = json.loads(body)
hour_trading = False
if 'hourTradingLatestPrice' in data:
hour_trading = True
if 'symbol' in data:
symbol = data.get('symbol')
offset = data.get('offset', 0)
items = []
# 期货行情推送的价格都乘了 10 的 offset 次方变成了整数, 需要除回去变为正常单位的价格
if offset:
for key, value in data.items():
if (key == 'latestTime' or key == 'hourTradingLatestTime') and \
isinstance(value, six.string_types):
continue
if key in QUOTE_KEYS_MAPPINGS:
key = QUOTE_KEYS_MAPPINGS.get(key)
if key in PRICE_FIELDS:
value /= 10**offset
elif key == 'minute':
minute_item = dict()
for m_key, m_value in value.items():
if m_key in {'p', 'h', 'l'}:
m_value /= 10**offset
minute_item[m_key] = m_value
value = minute_item
items.append((key, value))
else:
for key, value in data.items():
if (key == 'latestTime' or key == 'hourTradingLatestTime') and \
isinstance(value, six.string_types):
continue
if key in QUOTE_KEYS_MAPPINGS:
key = QUOTE_KEYS_MAPPINGS.get(key)
items.append((key, value))
if items:
self.quote_changed(symbol, items, hour_trading)
elif response_type == str(ResponseType.SUBSCRIBE_ASSET.value):
if self.asset_changed:
data = json.loads(body)
if 'account' in data:
account = data.get('account')
items = []
for key, value in data.items():
if key in ASSET_KEYS_MAPPINGS:
items.append(
(ASSET_KEYS_MAPPINGS.get(key), value))
if items:
self.asset_changed(account, items)
elif response_type == str(ResponseType.SUBSCRIBE_POSITION.value):
if self.position_changed:
data = json.loads(body)
if 'account' in data:
account = data.get('account')
items = []
for key, value in data.items():
if key in POSITION_KEYS_MAPPINGS:
items.append(
(POSITION_KEYS_MAPPINGS.get(key), value))
if items:
self.position_changed(account, items)
elif response_type == str(
ResponseType.SUBSCRIBE_ORDER_STATUS.value):
if self.order_changed:
data = json.loads(body)
if 'account' in data:
account = data.get('account')
items = []
for key, value in data.items():
if key in ORDER_KEYS_MAPPINGS:
if key == 'status':
value = get_order_status(value)
# 部分成交 (服务端推送 'Submitted' 状态)
if value == OrderStatus.HELD and data.get(
'filledQuantity'):
value = OrderStatus.PARTIALLY_FILLED
items.append(
(ORDER_KEYS_MAPPINGS.get(key), value))
if items:
self.order_changed(account, items)
except Exception as e:
logging.error(e, exc_info=True)
def on_message(self, headers, body):
"""
Called by the STOMP connection when a MESSAGE frame is received.
:param dict headers: a dictionary containing all headers sent by the server as key/value pairs.
:param body: the frame's payload - the message body.
"""
try:
response_type = headers.get('ret-type')
if response_type == str(ResponseType.GET_SUB_SYMBOLS_END.value):
if self.subscribed_symbols:
data = json.loads(body)
limit = data.get('limit')
symbols = data.get('subscribedSymbols')
used = data.get('used')
symbol_focus_keys = data.get('symbolFocusKeys')
focus_keys = dict()
for sym, keys in symbol_focus_keys.items():
keys = [
QUOTE_KEYS_MAPPINGS.get(key, key) for key in keys
]
focus_keys[sym] = keys
self.subscribed_symbols(symbols, focus_keys, limit, used)
elif response_type == str(ResponseType.GET_QUOTE_CHANGE_END.value):
if self.quote_changed:
data = json.loads(body)
hour_trading = False
if 'hourTradingLatestPrice' in data:
hour_trading = True
if 'symbol' in data:
symbol = data.get('symbol')
items = []
for key, value in data.items():
if key.startswith('hourTrading'):
key = key[11:]
if key == 'latestTime' and isinstance(
value, six.string_types):
continue
if key in QUOTE_KEYS_MAPPINGS:
items.append(
(QUOTE_KEYS_MAPPINGS.get(key), value))
if items:
self.quote_changed(symbol, items, hour_trading)
elif response_type == str(ResponseType.SUBSCRIBE_ASSET.value):
if self.asset_changed:
data = json.loads(body)
if 'account' in data:
account = data.get('account')
items = []
for key, value in data.items():
if key in ASSET_KEYS_MAPPINGS:
items.append(
(ASSET_KEYS_MAPPINGS.get(key), value))
if items:
self.asset_changed(account, items)
elif response_type == str(ResponseType.SUBSCRIBE_POSITION.value):
if self.position_changed:
data = json.loads(body)
if 'account' in data:
account = data.get('account')
items = []
for key, value in data.items():
if key in POSITION_KEYS_MAPPINGS:
items.append(
(POSITION_KEYS_MAPPINGS.get(key), value))
if items:
self.position_changed(account, items)
elif response_type == str(
ResponseType.SUBSCRIBE_ORDER_STATUS.value):
if self.order_changed:
data = json.loads(body)
if 'account' in data:
account = data.get('account')
items = []
for key, value in data.items():
if key in ORDER_KEYS_MAPPINGS:
if key == 'status':
value = get_order_status(value)
items.append(
(ORDER_KEYS_MAPPINGS.get(key), value))
if items:
self.order_changed(account, items)
except Exception as e:
logging.error(e, exc_info=True)