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 on_quote_change(self, tiger_symbol: str, data: list, trading: bool):
""""""
data = dict(data)
symbol, exchange = convert_symbol_tiger2vt(tiger_symbol)
tick = self.ticks.get(symbol, None)
if not tick:
tick = TickData(
symbol=symbol,
exchange=exchange,
gateway_name=self.gateway_name,
datetime=datetime.now(),
name=self.symbol_names[symbol],
)
self.ticks[symbol] = tick
tick.datetime = datetime.fromtimestamp(data["latest_time"] / 1000)
tick.pre_close = data.get("prev_close", 0)
tick.last_price = data.get("latest_price", 0)
tick.volume = data.get("volume", 0)
tick.open_price = data.get("open", 0)
tick.open_price = data.get("open", 0)
tick.high_price = data.get("high", 0)
tick.low_price = data.get("low", 0)
tick.ask_price_1 = data.get("ask_price", 0)
tick.bid_price_1 = data.get("bid_price", 0)
tick.ask_volume_1 = data.get("ask_size", 0)
tick.bid_volume_1 = data.get("bid_size", 0)
self.on_tick(copy(tick))
def OnRtnDepthMarketData(self, data: dict) -> None:
"""
Callback of tick data update.
"""
current_date = data["TradingDay"]
current_time = data["UpdateTime"]
dt = datetime.strptime(f'{current_date}-{current_time}',
"%Y%m%d-%H:%M:%S")
dt = CHINA_TZ.localize(dt)
tick = TickData(symbol=data["SecurityID"],
exchange=EXCHANGE_TORA2VT[bytes.decode(
data["ExchangeID"])],
datetime=dt,
name=data["SecurityName"],
volume=0,
open_interest=data["OpenInterest"],
last_price=data["LastPrice"],
last_volume=data["Volume"],
limit_up=data["UpperLimitPrice"],
limit_down=data["LowerLimitPrice"],
open_price=data["OpenPrice"],
high_price=data["HighestPrice"],
low_price=data["LowestPrice"],
pre_close=data["PreClosePrice"],
bid_price_1=data["BidPrice1"],
ask_price_1=data["AskPrice1"],
bid_volume_1=data["BidVolume1"],
ask_volume_1=data["AskVolume1"],
gateway_name=self.gateway_name)
if data["BidVolume2"] or data["AskVolume2"]:
tick.bid_price_2 = data["BidPrice2"]
tick.bid_price_3 = data["BidPrice3"]
tick.bid_price_4 = data["BidPrice4"]
tick.bid_price_5 = data["BidPrice5"]
tick.ask_price_2 = data["AskPrice2"]
tick.ask_price_3 = data["AskPrice3"]
tick.ask_price_4 = data["AskPrice4"]
tick.ask_price_5 = data["AskPrice5"]
tick.bid_volume_2 = data["BidVolume2"]
tick.bid_volume_3 = data["BidVolume3"]
tick.bid_volume_4 = data["BidVolume4"]
tick.bid_volume_5 = data["BidVolume5"]
tick.ask_volume_2 = data["AskVolume2"]
tick.ask_volume_3 = data["AskVolume3"]
tick.ask_volume_4 = data["AskVolume4"]
tick.ask_volume_5 = data["AskVolume5"]
self.gateway.on_tick(tick)
def to_tick(self):
"""
Generate TickData object from DbTickData.
"""
tick = TickData(
symbol=self.symbol,
exchange=Exchange(self.exchange),
datetime=self.datetime,
name=self.name,
volume=self.volume,
open_interest=self.open_interest,
last_price=self.last_price,
last_volume=self.last_volume,
limit_up=self.limit_up,
limit_down=self.limit_down,
open_price=self.open_price,
high_price=self.high_price,
low_price=self.low_price,
pre_close=self.pre_close,
bid_price_1=self.bid_price_1,
ask_price_1=self.ask_price_1,
bid_volume_1=self.bid_volume_1,
ask_volume_1=self.ask_volume_1,
gateway_name="DB",
)
if self.bid_price_2:
tick.bid_price_2 = self.bid_price_2
tick.bid_price_3 = self.bid_price_3
tick.bid_price_4 = self.bid_price_4
tick.bid_price_5 = self.bid_price_5
tick.ask_price_2 = self.ask_price_2
tick.ask_price_3 = self.ask_price_3
tick.ask_price_4 = self.ask_price_4
tick.ask_price_5 = self.ask_price_5
tick.bid_volume_2 = self.bid_volume_2
tick.bid_volume_3 = self.bid_volume_3
tick.bid_volume_4 = self.bid_volume_4
tick.bid_volume_5 = self.bid_volume_5
tick.ask_volume_2 = self.ask_volume_2
tick.ask_volume_3 = self.ask_volume_3
tick.ask_volume_4 = self.ask_volume_4
tick.ask_volume_5 = self.ask_volume_5
return tick
def onMarketData(self, mk_type: int, symbol: str, data: dict) -> None:
""""""
timestamp = f"{self.date}{str(data['nTime'])}"
dt = datetime.strptime(timestamp, "%Y%m%d%H%M%S%f")
dt = CHINA_TZ.localize(dt)
tick = TickData(
symbol=symbol,
exchange=MK_GTJA2VT[mk_type],
datetime=dt,
volume=data["iVolume"],
last_price=data["uMatch"] / 10000,
limit_up=data["uHighLimited"] / 10000,
limit_down=data["uLowLimited"] / 10000,
open_price=data["uOpen"] / 10000,
high_price=data["uHigh"] / 10000,
low_price=data["uLow"] / 10000,
pre_close=data["uPreClose"] / 10000,
gateway_name=self.gateway_name
)
tick.bid_price_1, tick.bid_price_2, tick.bid_price_3, tick.bid_price_4, tick.bid_price_5 = data["bid"][0:5]
tick.ask_price_1, tick.ask_price_2, tick.ask_price_3, tick.ask_price_4, tick.ask_price_5 = data["ask"][0:5]
tick.bid_volume_1, tick.bid_volume_2, tick.bid_volume_3, tick.bid_volume_4, tick.bid_volume_5 = data["bid_qty"][0:5]
tick.ask_volume_1, tick.ask_volume_2, tick.ask_volume_3, tick.ask_volume_4, tick.ask_volume_5 = data["ask_qty"][0:5]
pricetick = symbol_pricetick_map.get(tick.vt_symbol, 0)
if pricetick:
tick.bid_price_1 = round_to(tick.bid_price_1 / 10000, pricetick)
tick.bid_price_2 = round_to(tick.bid_price_2 / 10000, pricetick)
tick.bid_price_3 = round_to(tick.bid_price_3 / 10000, pricetick)
tick.bid_price_4 = round_to(tick.bid_price_4 / 10000, pricetick)
tick.bid_price_5 = round_to(tick.bid_price_5 / 10000, pricetick)
tick.ask_price_1 = round_to(tick.ask_price_1 / 10000, pricetick)
tick.ask_price_2 = round_to(tick.ask_price_2 / 10000, pricetick)
tick.ask_price_3 = round_to(tick.ask_price_3 / 10000, pricetick)
tick.ask_price_4 = round_to(tick.ask_price_4 / 10000, pricetick)
tick.ask_price_5 = round_to(tick.ask_price_5 / 10000, pricetick)
tick.name = symbol_name_map.get(tick.vt_symbol, tick.symbol)
self.gateway.on_tick(tick)
def onRtnDepthMarketData(self, data: dict) -> None:
"""
Callback of tick data update.
"""
symbol = data["InstrumentID"]
exchange = EXCHANGE_UFT2VT[data["ExchangeID"]]
if not exchange:
return
timestamp = f"{data['TradingDay']} {data['UpdateTime']}000"
tick = TickData(symbol=symbol,
exchange=exchange,
datetime=datetime.strptime(timestamp,
"%Y%m%d %H%M%S%f"),
name=symbol_name_map[symbol],
volume=data["TradeVolume"],
open_interest=data["OpenInterest"],
last_price=data["LastPrice"],
limit_up=data["UpperLimitPrice"],
limit_down=data["LowerLimitPrice"],
open_price=adjust_price(data["OpenPrice"]),
high_price=adjust_price(data["HighestPrice"]),
low_price=adjust_price(data["LowestPrice"]),
pre_close=adjust_price(data["PreClosePrice"]),
bid_price_1=adjust_price(data["BidPrice1"]),
ask_price_1=adjust_price(data["AskPrice1"]),
bid_volume_1=data["BidVolume1"],
ask_volume_1=data["AskVolume1"],
gateway_name=self.gateway_name)
if data["BidVolume2"] or data["AskVolume2"]:
tick.bid_price_2 = adjust_price(data["BidPrice2"])
tick.bid_price_3 = adjust_price(data["BidPrice3"])
tick.bid_price_4 = adjust_price(data["BidPrice4"])
tick.bid_price_5 = adjust_price(data["BidPrice5"])
tick.ask_price_2 = adjust_price(data["AskPrice2"])
tick.ask_price_3 = adjust_price(data["AskPrice3"])
tick.ask_price_4 = adjust_price(data["AskPrice4"])
tick.ask_price_5 = adjust_price(data["AskPrice5"])
tick.bid_volume_2 = adjust_price(data["BidVolume2"])
tick.bid_volume_3 = adjust_price(data["BidVolume3"])
tick.bid_volume_4 = adjust_price(data["BidVolume4"])
tick.bid_volume_5 = adjust_price(data["BidVolume5"])
tick.ask_volume_2 = adjust_price(data["AskVolume2"])
tick.ask_volume_3 = adjust_price(data["AskVolume3"])
tick.ask_volume_4 = adjust_price(data["AskVolume4"])
tick.ask_volume_5 = adjust_price(data["AskVolume5"])
self.gateway.on_tick(tick)
def onRtnDepthMarketData(self, data: dict):
"""
Callback of tick data update.
"""
symbol = data["InstrumentID"]
exchange = symbol_exchange_map.get(symbol, "")
if not exchange:
return
timestamp = f"{data['TradingDay']} {data['UpdateTime']}.{int(data['UpdateMillisec']/100)}"
dt = datetime.strptime(timestamp, "%Y%m%d %H:%M:%S.%f")
dt = CHINA_TZ.localize(dt)
tick = TickData(symbol=symbol,
exchange=exchange,
datetime=dt,
name=symbol_name_map[symbol],
volume=data["Volume"],
open_interest=data["OpenInterest"],
last_price=data["LastPrice"],
limit_up=data["UpperLimitPrice"],
limit_down=data["LowerLimitPrice"],
open_price=adjust_price(data["OpenPrice"]),
high_price=adjust_price(data["HighestPrice"]),
low_price=adjust_price(data["LowestPrice"]),
pre_close=adjust_price(data["PreClosePrice"]),
bid_price_1=adjust_price(data["BidPrice1"]),
ask_price_1=adjust_price(data["AskPrice1"]),
bid_volume_1=data["BidVolume1"],
ask_volume_1=data["AskVolume1"],
gateway_name=self.gateway_name)
if data["BidVolume2"] or data["AskVolume2"]:
tick.bid_price_2 = adjust_price(data["BidPrice2"])
tick.bid_price_3 = adjust_price(data["BidPrice3"])
tick.bid_price_4 = adjust_price(data["BidPrice4"])
tick.bid_price_5 = adjust_price(data["BidPrice5"])
tick.ask_price_2 = adjust_price(data["AskPrice2"])
tick.ask_price_3 = adjust_price(data["AskPrice3"])
tick.ask_price_4 = adjust_price(data["AskPrice4"])
tick.ask_price_5 = adjust_price(data["AskPrice5"])
tick.bid_volume_2 = adjust_price(data["BidVolume2"])
tick.bid_volume_3 = adjust_price(data["BidVolume3"])
tick.bid_volume_4 = adjust_price(data["BidVolume4"])
tick.bid_volume_5 = adjust_price(data["BidVolume5"])
tick.ask_volume_2 = adjust_price(data["AskVolume2"])
tick.ask_volume_3 = adjust_price(data["AskVolume3"])
tick.ask_volume_4 = adjust_price(data["AskVolume4"])
tick.ask_volume_5 = adjust_price(data["AskVolume5"])
self.gateway.on_tick(tick)
def getContractSnapshot(self, contract):
snapshot = self.api.quote.snapshots([contract])[0]
code = snapshot.code
exchange = Exchange.TSE if snapshot.exchange in ["TSE", "OTC"] else Exchange.TFE
symbol = f"{code}.{exchange.value}"
tick = self.ticks.get(symbol, None)
if tick is None:
self.code2contract[symbol] = contract
if exchange == Exchange.TFE:
name = f"{contract['name']}{contract['delivery_month']}"
else:
name = f"{contract['name']}"
tick = TickData(
symbol=code,
exchange=exchange,
name=name,
datetime=datetime.fromtimestamp(snapshot.ts / 1000000000 - 8 * 60 * 60),
gateway_name=self.gateway_name,
)
tick.volume = snapshot.total_volume
tick.last_price = snapshot.close
tick.limit_up = contract.limit_up
tick.open_interest = 0
tick.limit_down = contract.limit_down
tick.open_price = snapshot.open
tick.high_price = snapshot.high
tick.low_price = snapshot.low
tick.pre_close = contract.reference
tick.bid_price_1 = snapshot.buy_price
tick.bid_volume_1 = snapshot.buy_volume
tick.ask_price_1 = snapshot.sell_price
tick.ask_volume_1 = snapshot.sell_volume
self.ticks[symbol] = tick
self.on_tick(copy(tick))
def quote_stock_MKT(self, code, data):
"""
QUT/idcdmzpcr01/TSE/2330
{'AskPrice': [248.0, 248.5, 249.0, 249.5, 250.0], 'AskVolume': [355, 632, 630, 301, 429],
'BidPrice': [247.5, 247.0, 246.5, 246.0, 245.5], 'BidVolume': [397, 389, 509, 703, 434],
'Date': '2019/05/17', 'Time': '09:53:00.706928'}
MKT/idcdmzpcr01/TSE/2330
{'Close': [248.0], 'Time': '09:53:00.706928',
'VolSum': [7023], 'Volume': [1]}
"""
tick = self.ticks.get(code, None)
if tick is None:
contract = self.code2contract[code]
tick = TickData(
symbol=code,
exchange=Exchange.TSE,
name=f"{contract['name']}{contract['delivery_month']}",
datetime=datetime.now(),
gateway_name=self.gateway_name,
low_price=99999
)
self.ticks[code] = tick
tick.datetime = datetime.combine(datetime.today(),
datetime.strptime('{}'.format(data['Time']), "%H:%M:%S.%f").time())
tick.volume = data["VolSum"][0]
tick.last_price = data["Close"][0]
tick.limit_up = 0
tick.open_interest = 0
tick.limit_down = 0
tick.open_price = data["Close"][0] if tick.open_price == 0 else tick.open_price
tick.high_price = data["Close"][0] if data["Close"][0] > tick.high_price else tick.high_price
tick.low_price = data["Close"][0] if data["Close"][0] < tick.low_price else tick.low_price
tick.pre_close = tick.open_price
return tick
def qute_stock_QUT(self, code, data):
tick = self.ticks.get(code, None)
if tick is None:
contract = self.code2contract[code]
tick = TickData(
symbol=code,
exchange=Exchange.TSE,
name=f"{contract['name']}{contract['delivery_month']}",
datetime=datetime.now(),
gateway_name=self.gateway_name,
)
self.ticks[code] = tick
tick.bid_price_1 = data["BidPrice"][0]
tick.bid_price_2 = data["BidPrice"][1]
tick.bid_price_3 = data["BidPrice"][2]
tick.bid_price_4 = data["BidPrice"][3]
tick.bid_price_5 = data["BidPrice"][4]
tick.ask_price_1 = data["AskPrice"][0]
tick.ask_price_2 = data["AskPrice"][1]
tick.ask_price_3 = data["AskPrice"][2]
tick.ask_price_4 = data["AskPrice"][3]
tick.ask_price_5 = data["AskPrice"][4]
tick.bid_volume_1 = data["BidVolume"][0]
tick.bid_volume_2 = data["BidVolume"][1]
tick.bid_volume_3 = data["BidVolume"][2]
tick.bid_volume_4 = data["BidVolume"][3]
tick.bid_volume_5 = data["BidVolume"][4]
tick.ask_volume_1 = data["AskVolume"][0]
tick.ask_volume_2 = data["AskVolume"][1]
tick.ask_volume_3 = data["AskVolume"][2]
tick.ask_volume_4 = data["AskVolume"][3]
tick.ask_volume_5 = data["AskVolume"][4]
return tick
def qutote_futures_L(self, data):
code = data.get('Code', None)
if code is None:
return
tick = self.ticks.get(code, None)
if tick is None:
contract = self.code2contract.get(code, None)
tick = TickData(
symbol=code,
exchange=Exchange.TFE,
name=f"{contract['name']}{contract['delivery_month']}",
datetime=datetime.now(),
gateway_name=self.gateway_name,
)
self.ticks[code] = tick
tick.datetime = datetime.strptime('{} {}'.format(
data['Date'], data['Time']), "%Y/%m/%d %H:%M:%S.%f")
tick.volume = data["VolSum"][0]
tick.last_price = data["Close"][0]
tick.limit_up = 0
tick.open_interest = 0
tick.limit_down = 0
tick.open_price = data["Open"]
tick.high_price = data["High"][0]
tick.low_price = data["Low"][0]
tick.pre_close = data["Close"][0] - data["DiffPrice"][0]
return tick
def quote_futures_Q(self, data):
code = data.get('Code', None)
if code is None:
return
tick = self.ticks.get(code, None)
if tick is None:
contract = self.code2contract[code]
tick = TickData(
symbol=data['Code'],
exchange=Exchange.TFE,
name=f"{contract['name']}{contract['delivery_month']}",
datetime=datetime.now(),
gateway_name=self.gateway_name,
)
self.ticks[code] = tick
tick.bid_price_1 = data["BidPrice"][0]
tick.bid_price_2 = data["BidPrice"][1]
tick.bid_price_3 = data["BidPrice"][2]
tick.bid_price_4 = data["BidPrice"][3]
tick.bid_price_5 = data["BidPrice"][4]
tick.ask_price_1 = data["AskPrice"][0]
tick.ask_price_2 = data["AskPrice"][1]
tick.ask_price_3 = data["AskPrice"][2]
tick.ask_price_4 = data["AskPrice"][3]
tick.ask_price_5 = data["AskPrice"][4]
tick.bid_volume_1 = data["BidVolume"][0]
tick.bid_volume_2 = data["BidVolume"][1]
tick.bid_volume_3 = data["BidVolume"][2]
tick.bid_volume_4 = data["BidVolume"][3]
tick.bid_volume_5 = data["BidVolume"][4]
tick.ask_volume_1 = data["AskVolume"][0]
tick.ask_volume_2 = data["AskVolume"][1]
tick.ask_volume_3 = data["AskVolume"][2]
tick.ask_volume_4 = data["AskVolume"][3]
tick.ask_volume_5 = data["AskVolume"][4]
return tick
def on_data_update(self, data):
""""""
channel_id = data[0]
channel, symbol = self.channels[channel_id]
symbol = str(symbol.replace("t", ""))
# Get the Tick object
if symbol in self.ticks:
tick = self.ticks[symbol]
else:
tick = TickData(
symbol=symbol,
exchange=Exchange.BITFINEX,
name=symbol,
datetime=datetime.now(UTC_TZ),
gateway_name=self.gateway_name,
)
self.ticks[symbol] = tick
l_data1 = data[1]
# Update general quote
if channel == "ticker":
tick.volume = float(l_data1[-3])
tick.high_price = float(l_data1[-2])
tick.low_price = float(l_data1[-1])
tick.last_price = float(l_data1[-4])
tick.open_price = float(tick.last_price - l_data1[4])
# Update deep quote
elif channel == "book":
bid = self.bids.setdefault(symbol, {})
ask = self.asks.setdefault(symbol, {})
if len(l_data1) > 3:
for price, count, amount in l_data1:
price = float(price)
count = int(count)
amount = float(amount)
if amount > 0:
bid[price] = amount
else:
ask[price] = -amount
else:
price, count, amount = l_data1
price = float(price)
count = int(count)
amount = float(amount)
if not count:
if price in bid:
del bid[price]
elif price in ask:
del ask[price]
else:
if amount > 0:
bid[price] = amount
else:
ask[price] = -amount
try:
# BID
bid_keys = bid.keys()
bidPriceList = sorted(bid_keys, reverse=True)
tick.bid_price_1 = bidPriceList[0]
tick.bid_price_2 = bidPriceList[1]
tick.bid_price_3 = bidPriceList[2]
tick.bid_price_4 = bidPriceList[3]
tick.bid_price_5 = bidPriceList[4]
tick.bid_volume_1 = bid[tick.bid_price_1]
tick.bid_volume_2 = bid[tick.bid_price_2]
tick.bid_volume_3 = bid[tick.bid_price_3]
tick.bid_volume_4 = bid[tick.bid_price_4]
tick.bid_volume_5 = bid[tick.bid_price_5]
# ASK
ask_keys = ask.keys()
askPriceList = sorted(ask_keys)
tick.ask_price_1 = askPriceList[0]
tick.ask_price_2 = askPriceList[1]
tick.ask_price_3 = askPriceList[2]
tick.ask_price_4 = askPriceList[3]
tick.ask_price_5 = askPriceList[4]
tick.ask_volume_1 = ask[tick.ask_price_1]
tick.ask_volume_2 = ask[tick.ask_price_2]
tick.ask_volume_3 = ask[tick.ask_price_3]
tick.ask_volume_4 = ask[tick.ask_price_4]
tick.ask_volume_5 = ask[tick.ask_price_5]
except IndexError:
return
dt = datetime.now(UTC_TZ)
tick.datetime = dt
self.gateway.on_tick(copy(tick))
def update_strategy(self, dt, closed_pnl=0, hold_pnl=0):
"""
更新资金曲线
:param dt:
:param closed_pnl: 策略提供的平仓盈亏
:param hold_pnl: 策略提供的持仓盈亏
:return:
"""
# 获取当前bar的平仓权益
open_interest = 0
if len(self.kline.line_bar) > 0:
open_interest = self.kline.line_bar[-1].open_interest
if closed_pnl != 0:
self.write_log(u'策略平仓收益:{}->{}'.format(open_interest,
open_interest + closed_pnl))
open_interest += closed_pnl
tick = TickData(gateway_name='Fund',
symbol=self.symbol,
exchange=Exchange.LOCAL,
datetime=dt)
tick.last_price = open_interest + hold_pnl
tick.volume = 1
tick.ask_price1 = open_interest + hold_pnl
tick.ask_volume1 = 1
tick.bid_price1 = open_interest + hold_pnl
tick.bid_volume1 = 1
tick.datetime = dt
tick.open_interest = open_interest
tick.date = tick.datetime.strftime('%Y-%m-%d')
tick.time = tick.datetime.strftime('%H:%M:%S')
tick.trading_day = get_trading_date(dt)
if self.inited:
self.kline.on_tick(tick)
self.closed_profit = open_interest
self.holding_profit = hold_pnl
def update_account(self, dt, balance):
"""
更新资金曲线
:param dt:
:param balance: 账号级别，直接使用账号得的balance；
:return:
"""
tick = TickData(gateway_name='Fund',
symbol=self.symbol,
exchange=Exchange.LOCAL,
datetime=dt)
tick.last_price = balance
tick.volume = 1
tick.ask_price_1 = balance
tick.ask_volume_1 = 1
tick.bid_price_1 = balance
tick.bid_volume_1 = 1
tick.date = tick.datetime.strftime('%Y-%m-%d')
tick.time = tick.datetime.strftime('%H:%M:%S')
tick.trading_day = get_trading_date(dt)
tick.open_interest = balance
if self.inited:
self.kline.on_tick(tick)
# 如果是从账号更新，无法更新持仓盈亏
self.closed_profit = balance
self.holding_profit = 0
