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(BaseGateway):
""""""
default_setting = {
"密码": "",
"地址": "127.0.0.1",
"端口": 11111,
"市场": ["HK", "US"],
"环境": [TrdEnv.REAL, TrdEnv.SIMULATE],
}
exchanges = list(EXCHANGE_FUTU2VT.values())
def __init__(self, event_engine):
"""Constructor"""
super(FutuGateway, self).__init__(event_engine, "FUTU")
self.quote_ctx = None
self.trade_ctx = None
self.host = ""
self.port = 0
self.market = ""
self.password = ""
self.env = TrdEnv.SIMULATE
self.ticks = {}
self.trades = set()
self.contracts = {}
self.thread = Thread(target=self.query_data)
# For query function.
self.count = 0
self.interval = 1
self.query_funcs = [self.query_account, self.query_position]
def connect(self, setting: dict):
""""""
self.host = setting["地址"]
self.port = setting["端口"]
self.market = setting["市场"]
self.password = setting["密码"]
self.env = setting["环境"]
self.connect_quote()
self.connect_trade()
self.thread.start()
def query_data(self):
"""
Query all data necessary.
"""
sleep(2.0) # Wait 2 seconds till connection completed.
self.query_contract()
self.query_trade()
self.query_order()
self.query_position()
self.query_account()
# Start fixed interval query.
self.event_engine.register(EVENT_TIMER, self.process_timer_event)
def process_timer_event(self, event):
""""""
self.count += 1
if self.count < self.interval:
return
self.count = 0
func = self.query_funcs.pop(0)
func()
self.query_funcs.append(func)
def connect_quote(self):
"""
Connect to market data server.
"""
self.quote_ctx = OpenQuoteContext(self.host, self.port)
class QuoteHandler(StockQuoteHandlerBase):
gateway = self
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.process_quote(content)
return RET_OK, content
class OrderBookHandler(OrderBookHandlerBase):
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.process_orderbook(content)
return RET_OK, content
self.quote_ctx.set_handler(QuoteHandler())
self.quote_ctx.set_handler(OrderBookHandler())
self.quote_ctx.start()
self.write_log("行情接口连接成功")
def connect_trade(self):
"""
Connect to trade server.
"""
# Initialize context according to market.
if self.market == "US":
self.trade_ctx = OpenUSTradeContext(self.host, self.port)
else:
self.trade_ctx = OpenHKTradeContext(self.host, self.port)
# Implement handlers.
class OrderHandler(TradeOrderHandlerBase):
gateway = self
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.process_order(content)
return RET_OK, content
class DealHandler(TradeDealHandlerBase):
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.process_deal(content)
return RET_OK, content
# Unlock to allow trading.
code, data = self.trade_ctx.unlock_trade(self.password)
if code == RET_OK:
self.write_log("交易接口解锁成功")
else:
self.write_log(f"交易接口解锁失败，原因：{data}")
# Start context.
self.trade_ctx.set_handler(OrderHandler())
self.trade_ctx.set_handler(DealHandler())
self.trade_ctx.start()
self.write_log("交易接口连接成功")
def subscribe(self, req: SubscribeRequest):
""""""
for data_type in ["QUOTE", "ORDER_BOOK"]:
futu_symbol = convert_symbol_vt2futu(req.symbol, req.exchange)
code, data = self.quote_ctx.subscribe(futu_symbol, data_type, True)
if code:
self.write_log(f"订阅行情失败：{data}")
def send_order(self, req: OrderRequest):
""""""
side = DIRECTION_VT2FUTU[req.direction]
futu_order_type = OrderType.NORMAL # Only limit order is supported.
# Set price adjustment mode to inside adjustment.
if req.direction is Direction.LONG:
adjust_limit = 0.05
else:
adjust_limit = -0.05
futu_symbol = convert_symbol_vt2futu(req.symbol, req.exchange)
code, data = self.trade_ctx.place_order(
req.price,
req.volume,
futu_symbol,
side,
futu_order_type,
trd_env=self.env,
adjust_limit=adjust_limit,
)
if code:
self.write_log(f"委托失败：{data}")
return ""
for ix, row in data.iterrows():
orderid = str(row["order_id"])
order = req.create_order_data(orderid, self.gateway_name)
self.on_order(order)
return order.vt_orderid
def cancel_order(self, req: CancelRequest):
""""""
code, data = self.trade_ctx.modify_order(ModifyOrderOp.CANCEL,
req.orderid,
0,
0,
trd_env=self.env)
if code:
self.write_log(f"撤单失败：{data}")
def query_contract(self):
""""""
for product, futu_product in PRODUCT_VT2FUTU.items():
code, data = self.quote_ctx.get_stock_basicinfo(
self.market, futu_product)
if code:
self.write_log(f"查询合约信息失败：{data}")
return
for ix, row in data.iterrows():
symbol, exchange = convert_symbol_futu2vt(row["code"])
contract = ContractData(
symbol=symbol,
exchange=exchange,
name=row["name"],
product=product,
size=1,
pricetick=0.001,
net_position=True,
gateway_name=self.gateway_name,
)
self.on_contract(contract)
self.contracts[contract.vt_symbol] = contract
self.write_log("合约信息查询成功")
def query_account(self):
""""""
code, data = self.trade_ctx.accinfo_query(trd_env=self.env, acc_id=0)
if code:
self.write_log(f"查询账户资金失败：{data}")
return
for ix, row in data.iterrows():
account = AccountData(
accountid=f"{self.gateway_name}_{self.market}",
balance=float(row["total_assets"]),
frozen=(float(row["total_assets"]) -
float(row["avl_withdrawal_cash"])),
gateway_name=self.gateway_name,
)
self.on_account(account)
def query_position(self):
""""""
code, data = self.trade_ctx.position_list_query(trd_env=self.env,
acc_id=0)
if code:
self.write_log(f"查询持仓失败：{data}")
return
for ix, row in data.iterrows():
symbol, exchange = convert_symbol_futu2vt(row["code"])
pos = PositionData(
symbol=symbol,
exchange=exchange,
direction=Direction.NET,
volume=row["qty"],
frozen=(float(row["qty"]) - float(row["can_sell_qty"])),
price=float(row["cost_price"]),
pnl=float(row["pl_val"]),
gateway_name=self.gateway_name,
)
self.on_position(pos)
def query_order(self):
""""""
code, data = self.trade_ctx.order_list_query("", trd_env=self.env)
if code:
self.write_log(f"查询委托失败：{data}")
return
self.process_order(data)
self.write_log("委托查询成功")
def query_trade(self):
""""""
code, data = self.trade_ctx.deal_list_query("", trd_env=self.env)
if code:
self.write_log(f"查询成交失败：{data}")
return
self.process_deal(data)
self.write_log("成交查询成功")
def close(self):
""""""
if self.quote_ctx:
self.quote_ctx.close()
if self.trade_ctx:
self.trade_ctx.close()
def get_tick(self, code):
"""
Get tick buffer.
"""
tick = self.ticks.get(code, None)
symbol, exchange = convert_symbol_futu2vt(code)
if not tick:
tick = TickData(
symbol=symbol,
exchange=exchange,
datetime=datetime.now(CHINA_TZ),
gateway_name=self.gateway_name,
)
self.ticks[code] = tick
contract = self.contracts.get(tick.vt_symbol, None)
if contract:
tick.name = contract.name
return tick
def process_quote(self, data):
"""报价推送"""
for ix, row in data.iterrows():
symbol = row["code"]
date = row["data_date"].replace("-", "")
time = row["data_time"]
dt = datetime.strptime(f"{date} {time}", "%Y%m%d %H:%M:%S")
dt = CHINA_TZ.localize(dt)
tick = self.get_tick(symbol)
tick.datetime = dt
tick.open_price = row["open_price"]
tick.high_price = row["high_price"]
tick.low_price = row["low_price"]
tick.pre_close = row["prev_close_price"]
tick.last_price = row["last_price"]
tick.volume = row["volume"]
if "price_spread" in row:
spread = row["price_spread"]
tick.limit_up = tick.last_price + spread * 10
tick.limit_down = tick.last_price - spread * 10
self.on_tick(copy(tick))
def process_orderbook(self, data):
""""""
symbol = data["code"]
tick = self.get_tick(symbol)
d = tick.__dict__
for i in range(5):
bid_data = data["Bid"][i]
ask_data = data["Ask"][i]
n = i + 1
d["bid_price_%s" % n] = bid_data[0]
d["bid_volume_%s" % n] = bid_data[1]
d["ask_price_%s" % n] = ask_data[0]
d["ask_volume_%s" % n] = ask_data[1]
if tick.datetime:
self.on_tick(copy(tick))
def process_order(self, data):
"""
Process order data for both query and update.
"""
for ix, row in data.iterrows():
# Ignore order with status DELETED
if row["order_status"] == OrderStatus.DELETED:
continue
symbol, exchange = convert_symbol_futu2vt(row["code"])
order = OrderData(
symbol=symbol,
exchange=exchange,
orderid=str(row["order_id"]),
direction=DIRECTION_FUTU2VT[row["trd_side"]],
price=float(row["price"]),
volume=row["qty"],
traded=row["dealt_qty"],
status=STATUS_FUTU2VT[row["order_status"]],
datetime=generate_datetime(row["create_time"]),
gateway_name=self.gateway_name,
)
self.on_order(order)
def process_deal(self, data):
"""
Process trade data for both query and update.
"""
for ix, row in data.iterrows():
tradeid = str(row["deal_id"])
if tradeid in self.trades:
continue
self.trades.add(tradeid)
symbol, exchange = convert_symbol_futu2vt(row["code"])
trade = TradeData(
symbol=symbol,
exchange=exchange,
direction=DIRECTION_FUTU2VT[row["trd_side"]],
tradeid=tradeid,
orderid=row["order_id"],
price=float(row["price"]),
volume=row["qty"],
datetime=generate_datetime(row["create_time"]),
gateway_name=self.gateway_name,
)
self.on_trade(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("", trd_env=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("", trd_env=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(BaseGateway):
""""""
default_setting = {
"password": "",
"host": "127.0.0.1",
"port": 11111,
"market": ["HK", "US"],
"env": [TrdEnv.REAL, TrdEnv.SIMULATE],
}
def __init__(self, event_engine):
"""Constructor"""
super(FutuGateway, self).__init__(event_engine, "FUTU")
self.quote_ctx = None
self.trade_ctx = None
self.host = ""
self.port = 0
self.market = ""
self.password = ""
self.env = TrdEnv.SIMULATE
self.ticks = {}
self.trades = set()
self.contracts = {}
self.thread = Thread(target=self.query_data)
# For query function.
self.count = 0
self.interval = 1
self.query_funcs = [self.query_account, self.query_position]
def connect(self, setting: dict):
""""""
self.host = setting["host"]
self.port = setting["port"]
self.market = setting["market"]
self.password = setting["password"]
self.env = setting["env"]
self.connect_quote()
self.connect_trade()
self.thread.start()
def query_data(self):
"""
Query all data necessary.
"""
sleep(2.0) # Wait 2 seconds till connection completed.
self.query_contract()
self.query_trade()
self.query_order()
self.query_position()
self.query_account()
# Start fixed interval query.
self.event_engine.register(EVENT_TIMER, self.process_timer_event)
def process_timer_event(self, event):
""""""
self.count += 1
if self.count < self.interval:
return
self.count = 0
func = self.query_funcs.pop(0)
func()
self.query_funcs.append(func)
def connect_quote(self):
"""
Connect to market data server.
"""
self.quote_ctx = OpenQuoteContext(self.host, self.port)
class QuoteHandler(StockQuoteHandlerBase):
gateway = self
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.process_quote(content)
return RET_OK, content
class OrderBookHandler(OrderBookHandlerBase):
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.process_orderbook(content)
return RET_OK, content
self.quote_ctx.set_handler(QuoteHandler())
self.quote_ctx.set_handler(OrderBookHandler())
self.quote_ctx.start()
self.write_log("行情接口连接成功")
def connect_trade(self):
"""
Connect to trade server.
"""
# Initialize context according to market.
if self.market == "US":
self.trade_ctx = OpenUSTradeContext(self.host, self.port)
else:
self.trade_ctx = OpenHKTradeContext(self.host, self.port)
# Implement handlers.
class OrderHandler(TradeOrderHandlerBase):
gateway = self
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.process_order(content)
return RET_OK, content
class DealHandler(TradeDealHandlerBase):
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.process_deal(content)
return RET_OK, content
# Unlock to allow trading.
code, data = self.trade_ctx.unlock_trade(self.password)
if code == RET_OK:
self.write_log("交易接口解锁成功")
else:
self.write_log(f"交易接口解锁失败，原因：{data}")
# Start context.
self.trade_ctx.set_handler(OrderHandler())
self.trade_ctx.set_handler(DealHandler())
self.trade_ctx.start()
self.write_log("交易接口连接成功")
def subscribe(self, req: SubscribeRequest):
""""""
for data_type in ["QUOTE", "ORDER_BOOK"]:
futu_symbol = convert_symbol_vt2futu(req.symbol, req.exchange)
code, data = self.quote_ctx.subscribe(futu_symbol, data_type, True)
if code:
self.write_log(f"订阅行情失败：{data}")
def send_order(self, req: OrderRequest):
""""""
side = DIRECTION_VT2FUTU[req.direction]
price_type = OrderType.NORMAL # Only limit order is supported.
# Set price adjustment mode to inside adjustment.
if req.direction is Direction.LONG:
adjust_limit = 0.05
else:
adjust_limit = -0.05
futu_symbol = convert_symbol_vt2futu(req.symbol, req.exchange)
code, data = self.trade_ctx.place_order(
req.price,
req.volume,
futu_symbol,
side,
price_type,
trd_env=self.env,
adjust_limit=adjust_limit,
)
if code:
self.write_log(f"委托失败：{data}")
return ""
for ix, row in data.iterrows():
orderid = str(row["order_id"])
order = req.create_order_data(orderid, self.gateway_name)
self.on_order(order)
return order.vt_orderid
def cancel_order(self, req: CancelRequest):
""""""
code, data = self.trade_ctx.modify_order(
ModifyOrderOp.CANCEL, req.orderid, 0, 0, trd_env=self.env
)
if code:
self.write_log(f"撤单失败：{data}")
def query_contract(self):
""""""
for product, futu_product in PRODUCT_VT2FUTU.items():
code, data = self.quote_ctx.get_stock_basicinfo(
self.market, futu_product
)
if code:
self.write_log(f"查询合约信息失败：{data}")
return
for ix, row in data.iterrows():
symbol, exchange = convert_symbol_futu2vt(row["code"])
contract = ContractData(
symbol=symbol,
exchange=exchange,
name=row["name"],
product=product,
size=1,
pricetick=0.001,
gateway_name=self.gateway_name,
)
self.on_contract(contract)
self.contracts[contract.vt_symbol] = contract
self.write_log("合约信息查询成功")
def query_account(self):
""""""
code, data = self.trade_ctx.accinfo_query(trd_env=self.env, acc_id=0)
if code:
self.write_log(f"查询账户资金失败：{data}")
return
for ix, row in data.iterrows():
account = AccountData(
accountid=f"{self.gateway_name}_{self.market}",
balance=float(row["total_assets"]),
frozen=(float(row["total_assets"]) - float(row["avl_withdrawal_cash"])),
gateway_name=self.gateway_name,
)
self.on_account(account)
def query_position(self):
""""""
code, data = self.trade_ctx.position_list_query(
trd_env=self.env, acc_id=0
)
if code:
self.write_log(f"查询持仓失败：{data}")
return
for ix, row in data.iterrows():
symbol, exchange = convert_symbol_futu2vt(row["code"])
pos = PositionData(
symbol=symbol,
exchange=exchange,
direction=Direction.LONG,
volume=float(row["qty"]),
frozen=(float(row["qty"]) - float(row["can_sell_qty"])),
price=float(row["pl_val"]),
pnl=float(row["cost_price"]),
gateway_name=self.gateway_name,
)
self.on_position(pos)
def query_order(self):
""""""
code, data = self.trade_ctx.order_list_query("", trd_env=self.env)
if code:
self.write_log(f"查询委托失败：{data}")
return
self.process_order(data)
self.write_log("委托查询成功")
def query_trade(self):
""""""
code, data = self.trade_ctx.deal_list_query("", trd_env=self.env)
if code:
self.write_log(f"查询成交失败：{data}")
return
self.process_deal(data)
self.write_log("成交查询成功")
def close(self):
""""""
if self.quote_ctx:
self.quote_ctx.close()
if self.trade_ctx:
self.trade_ctx.close()
def get_tick(self, code):
"""
Get tick buffer.
"""
tick = self.ticks.get(code, None)
symbol, exchange = convert_symbol_futu2vt(code)
if not tick:
tick = TickData(
symbol=symbol,
exchange=exchange,
datetime=datetime.now(),
gateway_name=self.gateway_name,
)
self.ticks[code] = tick
contract = self.contracts.get(tick.vt_symbol, None)
if contract:
tick.name = contract.name
return tick
def process_quote(self, data):
"""报价推送"""
for ix, row in data.iterrows():
symbol = row["code"]
tick = self.get_tick(symbol)
date = row["data_date"].replace("-", "")
time = row["data_time"]
tick.datetime = datetime.strptime(
f"{date} {time}", "%Y%m%d %H:%M:%S")
tick.open_price = row["open_price"]
tick.high_price = row["high_price"]
tick.low_price = row["low_price"]
tick.pre_close = row["prev_close_price"]
tick.last_price = row["last_price"]
tick.volume = row["volume"]
if "price_spread" in row:
spread = row["price_spread"]
tick.limit_up = tick.last_price + spread * 10
tick.limit_down = tick.last_price - spread * 10
self.on_tick(copy(tick))
def process_orderbook(self, data):
""""""
symbol = data["code"]
tick = self.get_tick(symbol)
d = tick.__dict__
for i in range(5):
bid_data = data["Bid"][i]
ask_data = data["Ask"][i]
n = i + 1
d["bid_price_%s" % n] = bid_data[0]
d["bid_volume_%s" % n] = bid_data[1]
d["ask_price_%s" % n] = ask_data[0]
d["ask_volume_%s" % n] = ask_data[1]
if tick.datetime:
self.on_tick(copy(tick))
def process_order(self, data):
"""
Process order data for both query and update.
"""
for ix, row in data.iterrows():
# Ignore order with status DELETED
if row["order_status"] == OrderStatus.DELETED:
continue
symbol, exchange = convert_symbol_futu2vt(row["code"])
order = OrderData(
symbol=symbol,
exchange=exchange,
orderid=str(row["order_id"]),
direction=DIRECTION_FUTU2VT[row["trd_side"]],
price=float(row["price"]),
volume=float(row["qty"]),
traded=float(row["dealt_qty"]),
status=STATUS_FUTU2VT[row["order_status"]],
time=row["create_time"].split(" ")[-1],
gateway_name=self.gateway_name,
)
self.on_order(order)
def process_deal(self, data):
"""
Process trade data for both query and update.
"""
for ix, row in data.iterrows():
tradeid = str(row["deal_id"])
if tradeid in self.trades:
continue
self.trades.add(tradeid)
symbol, exchange = convert_symbol_futu2vt(row["code"])
trade = TradeData(
symbol=symbol,
exchange=exchange,
direction=DIRECTION_FUTU2VT[row["trd_side"]],
tradeid=tradeid,
orderid=row["order_id"],
price=float(row["price"]),
volume=float(row["qty"]),
time=row["create_time"].split(" ")[-1],
gateway_name=self.gateway_name,
)
self.on_trade(trade)
class FutuAPI:
# DATA_PATH = "/Users/joseph/Dropbox/code/stat-arb/data"
DATA_PATH = "/home/atabet/projects/data"
HK_EQUITY_AM_START = timer(9, 30, 0)
HK_EQUITY_AM_END = timer(12, 0, 0)
HK_EQUITY_PM_START = timer(13, 0, 0)
HK_EQUITY_PM_END = timer(16, 0, 0)
def __init__(self):
self.subscribe_data = dict()
self.broker_queue = dict()
def __enter__(self):
self.quote_ctx = OpenQuoteContext(host='127.0.0.1', port=11111)
self.connect_quote()
return self
def __exit__(self, type, value, trace):
self.quote_ctx.close() # 结束后记得关闭当条连接，防止连接条数用尽
print("Close quote context!")
def subscribe(self, codes: List[str], sub_types: List[SubType],
sub_push: bool):
ret_sub, err_message = self.quote_ctx.subscribe(
codes, sub_types, subscribe_push=sub_push)
if ret_sub == RET_ERROR:
raise ValueError(f"subscribe error: {err_message}")
def get_global_state(self) -> dict:
"""
获取全局市场状态
https://openapi.futunn.com/futu-api-doc/quote/get-global-state.html
:return: (0, {'market_sz': 'CLOSED', 'market_us': 'PRE_MARKET_BEGIN', 'market_sh': 'CLOSED',
'market_hk': 'CLOSED', 'market_hkfuture': 'FUTURE_DAY_OPEN', 'market_usfuture': 'FUTURE_OPEN',
'server_ver': '217', 'trd_logined': True, 'timestamp': '1602491044', 'qot_logined': True,
'local_timestamp': 1602491044.555623, 'program_status_type': 'READY', 'program_status_desc': ''})
"""
ret, data = self.quote_ctx.get_global_state()
if ret == RET_OK:
return data
raise ValueError(f"get_global_state error: {data}")
def get_capital_distribution(self, code: str = "HK.00700"):
"""
获取资金分布
:param code: 股票代号
:return:
"""
ret, data = self.quote_ctx.get_capital_distribution(code)
if ret == RET_OK:
return data
else:
print('error:', data)
def get_capital_flow(self, code: str = "HK.00700"):
"""
获取资金流向
:param code: 股票代号
:return:
"""
ret, data = self.quote_ctx.get_capital_flow(code)
if ret == RET_OK:
return data
else:
print('error:', data)
def get_broker_queue(self, code: str = "HK.00700"):
"""
获取实时经纪队列
:param code:
:return:
"""
# 如果通过推送获取数据，直接在缓存里提取最新的copy
if code in self.broker_queue:
return self.broker_queue[code]
# 否则通过富途服务器获取。先订阅经纪队列类型。订阅成功后FutuOpenD将持续收到服务器的推送，False代表暂时不需要推送给脚本
if (code not in self.subscribe_data):
ret_sub, err_message = self.quote_ctx.subscribe(
[code], [SubType.BROKER], subscribe_push=False)
if ret_sub != RET_OK:
print(f"获取实时经纪队列(get_broker_queue)失败, {err_message}")
self.subscribe_data[code] = dict()
self.subscribe_data[code][SubType.BROKER] = True
elif (SubType.BROKER not in self.subscribe_data[code]):
ret_sub, err_message = self.quote_ctx.subscribe(
[code], [SubType.BROKER], subscribe_push=False)
if ret_sub != RET_OK:
print(f"获取实时经纪队列(get_broker_queue)失败, {err_message}")
self.subscribe_data[code][SubType.BROKER] = True
ret, bid_frame_table, ask_frame_table = self.quote_ctx.get_broker_queue(
code) # 获取一次经纪队列数据
if ret == RET_OK:
return bid_frame_table, ask_frame_table
else:
print('error:', bid_frame_table)
def process_broker_queue(self, data: pd.DataFrame):
bid_broker, ask_broker = data
codes = list(bid_broker["code"].unique())
assert len(codes) == 1, f"broker_queue pushback 不是合法的数据：{codes}"
code = codes[0]
self.broker_queue[code] = (bid_broker, ask_broker)
def connect_quote(self):
class BrokerQueueHandler(BrokerHandlerBase):
api = self
def on_recv_rsp(self, rsp_pb):
ret_code, err_or_stock_code, data = super(
BrokerQueueHandler, self).on_recv_rsp(rsp_pb)
if ret_code != RET_OK:
print(
"BrokerTest: error, msg: {}".format(err_or_stock_code))
return RET_ERROR, data
api.process_broker_queue(data) # BrokerQueueHandler自己的处理逻辑
return RET_OK, data
self.quote_ctx.set_handler(BrokerQueueHandler())
self.quote_ctx.start()
def get_history_kl_quota(self, get_detail: bool = False):
"""
获取历史 K 线额度使用明细
接口限制
------
我们会根据您账户的资产和交易的情况，下发历史 K 线额度。因此，30 天内您只能获取有限只股票的历史 K 线数据。具体规则参见 API 用户额度 。
您当日消耗的历史 K 线额度，会在 30 天后自动释放。
https://openapi.futunn.com/futu-api-doc/quote/get-history-kl-quota.html
:param get_detail: 设置True代表需要返回详细的拉取历史K 线的记录
:return: 例子 (1, 99, [{'code': 'HK.00700', 'request_time': '2020-03-27 19:15:57'}])
"""
ret, data = self.quote_ctx.get_history_kl_quota(get_detail=get_detail)
if ret == RET_OK:
return data
else:
print('error:', data)
def request_history_kline(self,
code: str,
start: str,
end: str,
ktype: KLType = KLType.K_DAY,
autype: AuType = AuType.QFQ,
fields: List[KL_FIELD] = [KL_FIELD.ALL],
max_count: int = 500,
extended_time: bool = False):
"""
获取历史 K 线
接口限制
-------
我们会根据您账户的资产和交易的情况，下发历史 K 线额度。因此，30 天内您只能获取有限只股票的历史 K 线数据。具体规则参见 API 用户额度 。您当日消耗的
历史 K 线额度，会在 30 天后自动释放。
每 30 秒内最多请求 60 次历史 K 线接口。注意：如果您是分页获取数据，此限频规则仅适用于每只股票的首页，后续页请求不受限频规则的限制。
分 K 提供最近 2 年数据，日 K 及以上提供最近 10 年的数据。
美股盘前和盘后 K 线仅支持 60 分钟及以下级别。由于美股盘前和盘后时段为非常规交易时段，此时段的 K 线数据可能不足 2 年。
https://openapi.futunn.com/futu-api-doc/quote/request-history-kline.html
:param code: 'HK.00700'
:param start: '2019-09-11'
:param end: '2019-09-18'
:param ktype: KLType.K_DAY,
:param autype: AuType.QFQ,
:param fields: [KL_FIELD.ALL],
:param max_count: 500,
:param extended_time: False
:return:
"""
ret, data, page_req_key = self.quote_ctx.request_history_kline(
code=code,
start=start,
end=end,
ktype=ktype,
autype=autype,
fields=fields,
max_count=max_count,
extended_time=extended_time,
) # 每页max_count个，请求第一页
if ret == RET_OK:
yield data
else:
print('error:', data)
return
while page_req_key != None: # 请求后面的所有结果
print('*************************************')
ret, data, page_req_key = self.quote_ctx.request_history_kline(
code=code,
start=start,
end=end,
ktype=ktype,
autype=autype,
fields=fields,
max_count=max_count,
extended_time=extended_time,
page_req_key=page_req_key) # 请求翻页后的数据
if ret == RET_OK:
yield data
else:
print('error:', data)
return
def get_rehab(self, code: str = "HK.00700"):
"""
获取复权因子
接口限制
------
每 30 秒内最多请求 60 次获取复权因子接口。
https://openapi.futunn.com/futu-api-doc/quote/get-rehab.html
:param market:
:param security:
:return:
"""
ret, data = self.quote_ctx.get_rehab(code)
if ret == RET_OK:
return data
else:
print('error:', data)
def get_cur_kline(self,
code_list: List[str] = ["00700.HK"],
ktype_list: List[SubType] = [SubType.K_1M],
num: int = 1000,
autype=AuType.QFQ):
"""
获取实时 K 线
:param code_list: 股票代码列表
:param ktype_list: K 线类型列表
:param num: K 线数据个数，最多 1000 根
:param autype: 复权类型
:return:
"""
ret_sub, err_message = self.quote_ctx.subscribe(code_list,
ktype_list,
subscribe_push=False)
# 先订阅K 线类型。订阅成功后FutuOpenD将持续收到服务器的推送，False代表暂时不需要推送给脚本
if ret_sub == RET_OK: # 订阅成功
ret_data = []
for code, ktype in zip(code_list, ktype_list):
ret, data = self.quote_ctx.get_cur_kline(
code, num, ktype, autype) # 获取港股00700最近2个K线数据
if ret == RET_OK:
ret_data.append(data)
else:
print('error:', data)
ret_data.append(None)
return ret_data
else:
print('subscription failed', err_message)
def record_cur_kline(self,
code_list: List[str] = ["00700.HK"],
ktype_list: List[SubType] = [SubType.K_1M],
record_time: int = 28800): # 3600*8
"""
记录实时 K 线 (非futu原有api)
:param market: 市场
:param security: 股票代码
:param ktype: K 线类型
:return:
"""
handler = CurKlineHandler()
self.quote_ctx.set_handler(handler) # 设置实时摆盘回调
self.quote_ctx.subscribe(code_list,
ktype_list) # 订阅K线数据类型，FutuOpenD开始持续收到服务器的推送
time.sleep(record_time) # 设置脚本接收FutuOpenD的推送持续时间
self.quote_ctx.unsubscribe(code_list, ktype_list) # 反订阅K线数据类型（1分钟后生效）
def query_subscription(self, is_all_conn: bool = True):
"""
:param is_all_conn: 是否返回所有连接的订阅状态。True：返回所有连接的订阅状态；False：只返回当前连接的订阅状态
:return:
"""
ret, data = self.quote_ctx.query_subscription(is_all_conn=is_all_conn)
if ret == RET_OK:
return data
else:
print('error:', data)
def get_owner_plate(self, code_list: List):
"""
获取股票所属板块
:param code_list:
:return:
"""
ret, data = self.quote_ctx.get_owner_plate(code_list)
if ret == RET_OK:
return data
else:
print('error:', data)
def get_plate_list(self, market: Market, plate_class: Plate):
"""
获取板块列表
:param market:
:param plate_class:
:return:
"""
ret, data = self.quote_ctx.get_plate_list(market, plate_class)
if ret == RET_OK:
return data
else:
print('error:', data)
def get_plate_stock(self,
plate_code: str,
sort_field: SortField = SortField.CODE,
ascend: bool = True):
"""
获取板块内股票列表
:param plate_code:
:param sort_field:
:param ascend:
:return:
"""
ret, data = self.quote_ctx.get_plate_stock(plate_code)
if ret == RET_OK:
return data
else:
raise ValueError(f'error: {data}')
def get_stock_filter(self,
market: Market,
filter_list: List[Union[SimpleFilter,
AccumulateFilter,
FinancialFilter]],
plate_code: str = None,
begin: int = 0,
num: int = 200):
"""
条件选股
:param market:
:param filter_list:
:param plate_code:
:param begin:
:param num:
:return:
"""
ret, ls = self.quote_ctx.get_stock_filter(market,
filter_list,
plate_code=plate_code,
begin=begin,
num=num) # 对香港市场的股票做简单筛选
if ret == RET_OK:
# last_page, all_count, ret_list = ls
# print(len(ret_list), all_count, ret_list)
# for item in ret_list:
# print(item.stock_code) # 取其中的股票代码
return ls
else:
raise ValueError(f'error: {ls}')
def save_history_kline(self,
code: str,
start: str = None,
end: str = None,
ktype: KLType = KLType.K_DAY,
autype: AuType = AuType.QFQ,
fields: List[KL_FIELD] = [KL_FIELD.ALL],
max_count: int = 5000,
extended_time: bool = False):
# 检查开始和结束时间
now = datetime.now()
if end is None:
end_dt = now
end = datetime.strftime(end_dt, "%Y-%m-%d")
else:
end_dt = datetime.strptime(end, "%Y-%m-%d")
if start is None:
start_dt = now - relativedelta(months=25)
start = datetime.strftime(start_dt, "%Y-%m-%d")
else:
start_dt = datetime.strptime(start, "%Y-%m-%d")
assert start_dt < end_dt, "start>=end, invalid time input!"
history_kline = self.request_history_kline(
code=code,
start=start,
end=end,
ktype=ktype,
max_count=max_count,
fields=fields, # [KL_FIELD.DATE_TIME, KL_FIELD.CLOSE]
)
for n, kl in enumerate(history_kline):
if "klines" not in locals():
klines = kl
else:
klines = klines.append(kl, ignore_index=True)
dts = list(set([t.split(" ")[0] for t in klines["time_key"]]))
dts.sort()
if len(dts) == 0:
print(f"No data available for {code}")
break
if len(dts) > 1:
for dt in dts[:-1]:
df = klines[(klines["time_key"] >= f"{dt} 00:00:00")
& (klines["time_key"] <= f"{dt} 23:59:59")]
if not os.path.exists(
f"{self.DATA_PATH}/k_line/{str(ktype)}/{code}"):
os.mkdir(
f"{self.DATA_PATH}/k_line/{str(ktype)}/{code}")
df.to_csv(
f"{self.DATA_PATH}/k_line/{str(ktype)}/{code}/{dt}.csv",
index=False)
print(f"{code}/{dt}.csv saved.")
klines = klines[klines["time_key"] >= f"{dts[-1]} 00:00:00"]
if not klines.empty:
klines.to_csv(
f"{self.DATA_PATH}/k_line/{str(ktype)}/{code}/{dts[-1]}.csv",
index=False)
print(f"{code}/{dts[-1]}.csv saved.")
def is_hk_equity_market_time(self, cur_datetime: datetime) -> bool:
"""If current datetime is within market open time"""
return (self.HK_EQUITY_AM_START <= cur_datetime.time() <=
self.HK_EQUITY_AM_END or self.HK_EQUITY_PM_START <=
cur_datetime.time() <= self.HK_EQUITY_PM_END)
def next_hk_equity_market_time(self, cur_datetime: datetime) -> datetime:
"""Return next market open time"""
if cur_datetime.time() < self.HK_EQUITY_AM_START:
return datetime(
cur_datetime.year,
cur_datetime.month,
cur_datetime.day,
self.HK_EQUITY_AM_START.hour,
self.HK_EQUITY_AM_START.minute,
self.HK_EQUITY_AM_START.second,
)
elif cur_datetime.time() < self.HK_EQUITY_PM_START:
return datetime(
cur_datetime.year,
cur_datetime.month,
cur_datetime.day,
self.HK_EQUITY_PM_START.hour,
self.HK_EQUITY_PM_START.minute,
self.HK_EQUITY_PM_START.second,
)
else:
return None
def get_stock_basicinfo(self) -> pd.DataFrame:
"""stock info"""
ret_code, data = self.quote_ctx.get_stock_basicinfo(
Market.HK, SecurityType.STOCK)
if ret_code:
print(f"Fail to get stock basicinfo: {data}")
return
return data
