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 onDepthMarketData(self, data: dict) -> None:
""""""
timestamp = str(data["data_time"])
dt = datetime.strptime(timestamp, "%Y%m%d%H%M%S%f")
tick = TickData(symbol=data["ticker"],
exchange=EXCHANGE_XTP2VT[data["exchange_id"]],
datetime=dt,
volume=data["qty"],
last_price=data["last_price"],
limit_up=data["upper_limit_price"],
limit_down=data["lower_limit_price"],
open_price=data["open_price"],
high_price=data["high_price"],
low_price=data["low_price"],
pre_close=data["pre_close_price"],
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]
tick.name = symbol_name_map.get(tick.vt_symbol, tick.symbol)
self.gateway.on_tick(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(int(data["timestamp"]) / 1000)
tick.pre_close = data.get("prev_close", tick.pre_close)
tick.last_price = data.get("latest_price", tick.last_price)
tick.volume = data.get("volume", tick.volume)
tick.open_price = data.get("open", tick.open_price)
tick.high_price = data.get("high", tick.high_price)
tick.low_price = data.get("low", tick.low_price)
tick.ask_price_1 = data.get("ask_price", tick.ask_price_1)
tick.bid_price_1 = data.get("bid_price", tick.bid_price_1)
tick.ask_volume_1 = data.get("ask_size", tick.ask_volume_1)
tick.bid_volume_1 = data.get("bid_size", tick.bid_volume_1)
self.on_tick(copy(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 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
def onStockMarketData(self, data: dict) -> None:
""""""
timestamp = str(data["tradingDay"]) + str(data["updateTime"])
dt = datetime.strptime(timestamp, "%Y%m%d%H:%M:%S.%f")
dt = CHINA_TZ.localize(dt)
tick = TickData(symbol=data["securityID"],
exchange=EXCHANGE_SEC2VT[data["exchangeID"]],
datetime=dt,
volume=data["tradeQty"],
last_price=data["latestPrice"],
limit_up=data["upperLimitPrice"],
limit_down=data["lowerLimitPrice"],
open_price=data["openPrice"],
high_price=data["highestPrice"],
low_price=data["lowestPrice"],
pre_close=data["preClosePrice"],
gateway_name=self.gateway_name)
tick.bid_price_1 = data["bidPrice1"]
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_1 = data["askPrice1"]
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_1 = data["bidQty1"]
tick.bid_volume_2 = data["bidQty2"]
tick.bid_volume_3 = data["bidQty3"]
tick.bid_volume_4 = data["bidQty4"]
tick.bid_volume_5 = data["bidQty5"]
tick.ask_volume_1 = data["askQty1"]
tick.ask_volume_2 = data["askQty2"]
tick.ask_volume_3 = data["askQty3"]
tick.ask_volume_4 = data["askQty4"]
tick.ask_volume_5 = data["askQty5"]
tick.name = symbol_name_map.get(tick.vt_symbol, tick.symbol)
self.gateway.on_tick(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 onRtnStockData(self, head: dict, data: dict) -> None:
""""""
#print(data)
timestamp = f"{head['tradeDate']} {head['updateTime']}"
tick = TickData(symbol=data["SecurityID"],
exchange=EXCHANGE_OES2VT[head["exchId"]],
datetime=datetime.strptime(timestamp,
"%Y%m%d %H%M%S%f"),
volume=data["TotalVolumeTraded"],
pre_close=data["PrevClosePx"],
last_price=data["TradePx"] / 10000,
open_price=data["OpenPx"] / 10000,
high_price=data["HighPx"] / 10000,
low_price=data["LowPx"] / 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)
#宽睿priceTick最小报价单位 (单位精确到元后四位, 即1元 = 10000)已在OesTdApi登录获取证券信息时已转换成原始报价单位
#宽睿的价格22.22显示为222200,round_to函数为去除小数后两位，不适用，用round函数替换
ipricetick = get_digits(pricetick)
if pricetick:
tick.bid_price_1 = round(tick.bid_price_1 / 10000, ipricetick)
tick.bid_price_2 = round(tick.bid_price_2 / 10000, ipricetick)
tick.bid_price_3 = round(tick.bid_price_3 / 10000, ipricetick)
tick.bid_price_4 = round(tick.bid_price_4 / 10000, ipricetick)
tick.bid_price_5 = round(tick.bid_price_5 / 10000, ipricetick)
tick.ask_price_1 = round(tick.ask_price_1 / 10000, ipricetick)
tick.ask_price_2 = round(tick.ask_price_2 / 10000, ipricetick)
tick.ask_price_3 = round(tick.ask_price_3 / 10000, ipricetick)
tick.ask_price_4 = round(tick.ask_price_4 / 10000, ipricetick)
tick.ask_price_5 = round(tick.ask_price_5 / 10000, ipricetick)
tick.name = SYMBOL_NAME_MAP.get(tick.vt_symbol, "")
self.gateway.on_tick(tick)
def onRtnOptionData(self, head: dict, data: dict) -> None:
""""""
timestamp = f"{head['tradeDate']} {head['updateTime']}"
tick = TickData(symbol=data["SecurityID"],
exchange=EXCHANGE_OES2VT[head["exchId"]],
datetime=datetime.strptime(timestamp,
"%Y%m%d %H%M%S%f"),
volume=data["TotalVolumeTraded"],
pre_close=data["PrevClosePx"],
last_price=data["TradePx"] / 10000,
open_price=data["OpenPx"] / 10000,
high_price=data["HighPx"] / 10000,
low_price=data["LowPx"] / 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, "")
self.gateway.on_tick(tick)
def on_quote_change(self, tiger_symbol: str, data: list, trading: bool):
""""""
data = dict(data)
symbol, exchange = self.get_vt_symbol_exchange(tiger_symbol)
# 如果只推送了时间戳，或只推送了timeline，不向策略中推送新的tick事件
if 'latest_price' not in data and 'bid_price' not in data:
return
tick = self.ticks.get(symbol, None)
if not tick:
tick = TickData(
symbol=symbol,
exchange=exchange,
gateway_name=self.gateway_name,
datetime=datetime.now(),
name=symbol,
)
self.ticks[symbol] = tick
# 本地止损单的设计依赖于limit up 与limit down（张跌停价格）。目前API中没有提供。
# 所以这里用high low 来代替 limit up 与limit down
tick.datetime = datetime.fromtimestamp(int(data["timestamp"]) / 1000)
tick.volume = data.get("volume", tick.volume)
tick.ask_volume_1 = data.get("ask_size", tick.ask_volume_1)
tick.bid_volume_1 = data.get("bid_size", tick.bid_volume_1)
tick.pre_close = data.get("prev_close", tick.pre_close)
tick.last_price = data.get("latest_price", tick.last_price)
tick.open_price = data.get("open", tick.open_price)
tick.high_price = data.get("high", tick.high_price)
tick.low_price = data.get("low", tick.low_price)
tick.ask_price_1 = data.get("ask_price", tick.ask_price_1)
tick.bid_price_1 = data.get("bid_price", tick.bid_price_1)
tick.limit_down = tick.low_price
tick.limit_up = tick.high_price
self.on_tick(copy(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 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))
