def connect(
self,
key: str,
secret: str,
session_number: int,
proxy_host: str,
proxy_port: int,
):
"""
Initialize connection to REST server.
"""
self.key = key
self.secret = secret
self.connect_time = int(datetime.now().strftime("%y%m%d%H%M%S"))
self.init(REST_HOST_TRADE, proxy_host, proxy_port)
self.start(session_number)
self.gateway.write_log("ZB 交易 REST API 启动成功")
self.query_account()
# 指定要查询的交易对
self.query_order(symbol="usdt_qc")
# 测试接口
req = OrderRequest(symbol="usdt_qc", exchange=Exchange.ZB, direction=Direction.LONG, type=OrderType.LIMIT,
volume=0.01)
# 价格
req.price = 6.9
req.offset = Offset.NONE
self.send_order(req)
def send_order(self, req: OrderRequest):
""""""
req.offset = Offset.NONE
order_id = self._new_order_id()
symbol = req.symbol
vol = int(req.volume)
direction = req.direction
data = {
"instrument": symbol,
# positive for long , negative for short
"units": vol if direction is Direction.LONG else -vol,
"clientExtensions": {
"id": order_id,
}
}
order = req.create_order_data(order_id, self.gateway_name)
order.time = parse_time(datetime.now().isoformat())
# Only add price for limit order.
data["type"] = ORDER_TYPE_VT2OANDA[req.type]
data["price"] = str(req.price)
self.gateway.orders[order.orderid] = order
self.add_request(
"POST",
f"/v3/accounts/{self.gateway.account_id}/orders",
callback=self.on_send_order,
data={'order': data},
extra=order,
on_failed=self.on_send_order_failed,
on_error=self.on_send_order_error,
)
self.gateway.on_order(order)
return order.vt_orderid
def send_order(self, req: OrderRequest) -> str:
""""""
cmd = ORDERTYPE_VT2MT.get((req.direction, req.type), None)
if req.type == OrderType.FOK or req.type == OrderType.FAK or req.type == OrderType.RFQ:
self.write_log(f"不支持的委托类型：{req.type.value}")
return ""
local_id = self.new_orderid()
mt5_req = {
"type": FUNCTION_SENDORDER,
"symbol": req.symbol.replace('-', '.'),
"cmd": cmd,
"price": req.price,
"volume": req.volume,
"comment": local_id,
}
packet = self.client.send_request(mt5_req)
result = packet["data"]["result"]
comment = packet["data"]["comment"]
order = req.create_order_data(local_id, self.gateway_name)
if result:
order.status = Status.SUBMITTING
else:
order.status = Status.REJECTED
self.write_log(f"委托{local_id}拒单，原因{comment}")
self.on_order(order)
self.orders[local_id] = order
return order.vt_orderid
def send_order(self, req: OrderRequest):
""""""
huobi_type = ORDERTYPE_VT2HUOBI.get((req.direction, req.type), "")
local_orderid = self.order_manager.new_local_orderid()
order = req.create_order_data(local_orderid, self.gateway_name)
order.time = datetime.now().strftime("%H:%M:%S")
data = {
"account-id": self.account_id,
"amount": str(req.volume),
"symbol": req.symbol,
"type": huobi_type,
"price": str(req.price),
"source": "api"
}
self.add_request(method="POST",
path="/v1/order/orders/place",
callback=self.on_send_order,
data=data,
extra=order,
on_error=self.on_send_order_error,
on_failed=self.on_send_order_failed)
self.order_manager.on_order(order)
return order.vt_orderid
def send_order(self, req: OrderRequest):
""""""
local_orderid = self.order_manager.new_local_orderid()
order = req.create_order_data(
local_orderid,
self.gateway_name
)
order.datetime = datetime.now(UTC_TZ)
data = {
"amount": req.volume,
"price": req.price
}
if req.direction == Direction.LONG:
if req.type == OrderType.LIMIT:
path = f"/buy/{req.symbol}/"
elif req.type == OrderType.MARKET:
path = f"/buy/market/{req.symbol}/"
else:
if req.type == OrderType.LIMIT:
path = f"/sell/{req.symbol}/"
elif req.type == OrderType.MARKET:
path = f"/sell/market/{req.symbol}/"
self.add_request(
method="POST",
path=path,
data=data,
callback=self.on_send_order,
extra=order,
)
self.order_manager.on_order(order)
return order.vt_orderid
def send_order(self, vt_req: OrderRequest):
""""""
seq_id = self._get_new_seq_index()
order_id = seq_id
oes_req = OesOrdReqT()
oes_req.clSeqNo = seq_id
oes_req.mktId = EXCHANGE_VT2OES[vt_req.exchange]
oes_req.ordType = ORDER_TYPE_VT2OES[(vt_req.exchange, vt_req.type)]
oes_req.bsType = BUY_SELL_TYPE_VT2OES[(vt_req.exchange, vt_req.offset, vt_req.direction)]
oes_req.invAcctId = ""
oes_req.securityId = vt_req.symbol
oes_req.ordQty = int(vt_req.volume)
oes_req.ordPrice = int(vt_req.price * 10000)
oes_req.origClOrdId = order_id
order = vt_req.create_order_data(str(order_id), self.gateway.gateway_name)
order.direction = Direction.NET # fix direction into NET: stock only
self._order_manager.save_order(order_id, order)
ret = OesApi_SendOrderReq(self._env.ordChannel,
oes_req
)
if ret >= 0:
order.status = Status.SUBMITTING
else:
order.status = Status.REJECTED
self.gateway.write_log(_("下单失败")) # todo: can I stringify error?
if is_disconnected(ret):
self.gateway.write_log(_("下单时连接发现连接已断开，正在尝试重连"))
self._schedule_reconnect_ord_channel()
self.gateway.on_order(order)
return order.vt_orderid
def send_order(self, req: OrderRequest):
"""
Send a new order.
"""
if not self.status:
return ""
if req.exchange not in EXCHANGE_VT2IB:
self.gateway.write_log(f"不支持的交易所：{req.exchange}")
return ""
if req.type not in ORDERTYPE_VT2IB:
self.gateway.write_log(f"不支持的价格类型：{req.type}")
return ""
self.orderid += 1
ib_contract = Contract()
ib_contract.conId = str(req.symbol)
ib_contract.exchange = EXCHANGE_VT2IB[req.exchange]
ib_order = Order()
ib_order.orderId = self.orderid
ib_order.clientId = self.clientid
ib_order.action = DIRECTION_VT2IB[req.direction]
ib_order.orderType = ORDERTYPE_VT2IB[req.type]
ib_order.lmtPrice = req.price
ib_order.totalQuantity = req.volume
self.client.placeOrder(self.orderid, ib_contract, ib_order)
self.client.reqIds(1)
order = req.create_order_data(str(self.orderid), self.gateway_name)
self.gateway.on_order(order)
return order.vt_orderid
def send_order(self, req: OrderRequest):
""""""
orderid = "NKD8FYX4-" + str(self.connect_time + self._new_order_id())
order = req.create_order_data(orderid, self.gateway_name)
self.gateway.on_order(order)
data = {"security": Security.SIGNED}
params = {
"symbol": req.symbol.upper(),
"timeInForce": "GTC",
"side": DIRECTION_VT2BINANCE[req.direction],
"type": ORDERTYPE_VT2BINANCE[req.type],
"price": str(req.price),
"quantity": str(req.volume),
"newClientOrderId": orderid,
"newOrderRespType": "ACK"
}
self.add_request(method="POST",
path="/api/v3/order",
callback=self.on_send_order,
data=data,
params=params,
extra=order,
on_error=self.on_send_order_error,
on_failed=self.on_send_order_failed)
return order.vt_orderid
def send_order(self, req: OrderRequest):
""""""
self.order_count += 1
orderid = str(self.connect_time + self.order_count)
data = {
"symbol": req.symbol,
"side": DIRECTION_VT2BITMEX[req.direction],
"ordType": PRICETYPE_VT2BITMEX[req.price_type],
"price": req.price,
"orderQty": int(req.volume),
"clOrdID": orderid,
}
# Only add price for limit order.
if req.price_type == PriceType.LIMIT:
data["price"] = req.price
order = req.create_order_data(orderid, self.gateway_name)
self.add_request(
"POST",
"/order",
callback=self.on_send_order,
data=data,
extra=order,
on_failed=self.on_send_order_failed,
on_error=self.on_send_order_error,
)
self.gateway.on_order(order)
return order.vt_orderid
def send_order(self, req: OrderRequest) -> str:
""""""
orderid = "328hhn6c-" + str(self.connect_time + self._new_order_id())
order = req.create_order_data(orderid, self.gateway_name)
self.gateway.on_order(order)
data = {"security": Security.SIGNED}
params = {
"symbol": req.symbol,
"timeInForce": "GTC",
"side": DIRECTION_VT2BINANCES[req.direction],
"type": ORDERTYPE_VT2BINANCES[req.type],
"price": float(req.price),
"quantity": float(req.volume),
"newClientOrderId": orderid,
}
if req.offset == Offset.CLOSE:
params["reduceOnly"] = True
self.add_request(method="POST",
path="/fapi/v1/order",
callback=self.on_send_order,
data=data,
params=params,
extra=order,
on_error=self.on_send_order_error,
on_failed=self.on_send_order_failed)
return order.vt_orderid
def send_order(self, req: OrderRequest) -> str:
""""""
orderid = self.new_orderid()
order = req.create_order_data(orderid, self.gateway_name)
data = {
"symbol": req.symbol,
"side": DIRECTION_VT2BYBIT[req.direction],
"qty": int(req.volume),
"order_link_id": orderid,
"time_in_force": "GoodTillCancel",
"reduce_only": False,
"close_on_trigger": False
}
data["order_type"] = ORDER_TYPE_VT2BYBIT[req.type]
data["price"] = req.price
if self.usdt_base:
path = "/private/linear/order/create"
else:
path = "/v2/private/order/create"
self.add_request(
"POST",
path,
callback=self.on_send_order,
data=data,
extra=order,
on_failed=self.on_send_order_failed,
on_error=self.on_send_order_error,
)
self.gateway.on_order(order)
return order.vt_orderid
def send_order(self, req: OrderRequest):
""""""
self.order_count += 1
orderid = str(self.connect_time + self.order_count)
data = {
"symbol": req.symbol,
"side": DIRECTION_VT2BITMEX[req.direction],
"ordType": PRICETYPE_VT2BITMEX[req.price_type],
"price": req.price,
"orderQty": int(req.volume),
"clOrdID": orderid,
}
# Only add price for limit order.
if req.price_type == PriceType.LIMIT:
data["price"] = req.price
order = req.create_order_data(orderid, self.gateway_name)
self.add_request(
"POST",
"/order",
callback=self.on_send_order,
data=data,
extra=order,
on_failed=self.on_send_order_failed,
on_error=self.on_send_order_error,
)
self.gateway.on_order(order)
return order.vt_orderid
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 send_order(self, req: OrderRequest):
""""""
orderid = f"a{self.connect_time}{self._new_order_id()}"
data = {
"client_oid": orderid,
"type": ORDERTYPE_VT2OKEX[req.type],
"side": DIRECTION_VT2OKEX[req.direction],
"instrument_id": req.symbol
}
if req.type == OrderType.MARKET:
if req.direction == Direction.LONG:
data["notional"] = req.volume
else:
data["size"] = req.volume
else:
data["price"] = req.price
data["size"] = req.volume
order = req.create_order_data(orderid, self.gateway_name)
self.add_request(
"POST",
"/api/spot/v3/orders",
callback=self.on_send_order,
data=data,
extra=order,
on_failed=self.on_send_order_failed,
on_error=self.on_send_order_error,
)
self.gateway.on_order(order)
return order.vt_orderid
def send_order(self, req: OrderRequest) -> str:
""""""
if self.usdt_base:
path = "/linear-swap-api/v1/swap_cross_order"
else:
path = "/swap-api/v1/swap_order"
local_orderid = self.new_local_orderid()
order = req.create_order_data(local_orderid, self.gateway_name)
order.datetime = datetime.now(CHINA_TZ)
data = {
"contract_code": req.symbol,
"client_order_id": int(local_orderid),
"price": req.price,
"volume": int(req.volume),
"direction": DIRECTION_VT2HUOBIS.get(req.direction, ""),
"offset": OFFSET_VT2HUOBIS.get(req.offset, ""),
"order_price_type": ORDERTYPE_VT2HUOBIS.get(req.type, ""),
"lever_rate": 20
}
self.add_request(method="POST",
path=path,
callback=self.on_send_order,
data=data,
extra=order,
on_error=self.on_send_order_error,
on_failed=self.on_send_order_failed)
self.gateway.on_order(order)
return order.vt_orderid
def send_order(self, req: OrderRequest):
""""""
local_orderid = self.new_local_orderid()
order = req.create_order_data(local_orderid, self.gateway_name)
order.time = datetime.now().strftime("%H:%M:%S")
data = {
"contract_code": req.symbol,
"client_order_id": int(local_orderid),
"price": req.price,
"volume": int(req.volume),
"direction": DIRECTION_VT2HBDM.get(req.direction, ""),
"offset": OFFSET_VT2HBDM.get(req.offset, ""),
"order_price_type": ORDERTYPE_VT2HBDM.get(req.type, ""),
"lever_rate": 20
}
self.add_request(method="POST",
path="/api/v1/contract_order",
callback=self.on_send_order,
data=data,
extra=order,
on_error=self.on_send_order_error,
on_failed=self.on_send_order_failed)
self.gateway.on_order(order)
return order.vt_orderid
def send_order(self, req: OrderRequest):
"""
Send new order.
"""
self.local_no += 1
currency = symbol_currency_map[req.symbol]
account_no = currency_account_map[currency]
da_req = {
"UserId": self.userid,
"AccountNo": account_no,
"LocalNo": str(self.local_no),
"TradePwd": self.password,
"ExchangeCode": EXCHANGE_VT2DA[req.exchange],
"TreatyCode": req.symbol,
"BuySale": DIRECTION_VT2DA[req.direction],
"OrderPrice": str(req.price),
"OrderNumber": str(int(req.volume)),
"PriceType": ORDERTYPE_VT2DA[req.type]
}
self.reqid += 1
self.reqOrderInsert(da_req, self.reqid)
order = req.create_order_data(str(self.local_no), self.gateway_name)
self.orders[order.orderid] = order
self.gateway.on_order(order)
return order.vt_orderid
def send_order(self) -> None:
""""""
symbol = self.symbol_line.text()
contract = self.contracts.get(symbol, None)
if not contract:
return
price_text = self.price_line.text()
volume_text = self.volume_line.text()
if not price_text or not volume_text:
return
price = float(price_text)
volume = int(volume_text)
direction = Direction(self.direction_combo.currentText())
offset = Offset(self.offset_combo.currentText())
req = OrderRequest(symbol=contract.symbol,
exchange=contract.exchange,
direction=direction,
type=OrderType.LIMIT,
offset=offset,
volume=volume,
price=price)
self.main_engine.send_order(req, contract.gateway_name)
def send_order(self, req: OrderRequest):
""""""
order_id = self.order_manager.new_local_orderid()
symbol = req.symbol
data = {
"symbol": symbol,
"side": DIRECTION_VT2BYBIT[req.direction],
"qty": int(req.volume),
"order_link_id": order_id,
"time_in_force": "GoodTillCancel"
}
order = req.create_order_data(order_id, self.gateway_name)
# Only add price for limit order.
data["order_type"] = ORDER_TYPE_VT2BYBIT[req.type]
data["price"] = req.price
self.add_request(
"POST",
"/open-api/order/create",
callback=self.on_send_order,
data=data,
extra=order,
on_failed=self.on_send_order_failed,
on_error=self.on_send_order_error,
)
self.order_manager.on_order(order)
return order.vt_orderid
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 send_order(self, req: OrderRequest):
""""""
local_orderid = self.order_manager.new_local_orderid()
order = req.create_order_data(local_orderid, self.gateway_name)
order.datetime = datetime.now(UTC_TZ)
if req.direction == Direction.SHORT:
volume = -int(req.volume)
else:
volume = int(req.volume)
request_body = {
"contract": req.symbol,
"size": volume,
"price": str(req.price),
"close": False,
"tif": "gtc",
"text": f"t-{local_orderid}"
}
data = json.dumps(request_body)
self.add_request(method="POST",
path="/api/v4/futures/orders",
callback=self.on_send_order,
data=data,
extra=order,
on_error=self.on_send_order_error,
on_failed=self.on_send_order_failed)
self.order_manager.on_order(order)
return order.vt_orderid
def send_order(self, req: OrderRequest):
"""
Send a new order.
"""
if not self.status:
return ""
if req.exchange not in EXCHANGE_VT2IB:
self.gateway.write_log(f"不支持的交易所：{req.exchange}")
return ""
if req.type not in ORDERTYPE_VT2IB:
self.gateway.write_log(f"不支持的价格类型：{req.type}")
return ""
self.orderid += 1
ib_contract = Contract()
ib_contract.conId = str(req.symbol)
ib_contract.exchange = EXCHANGE_VT2IB[req.exchange]
ib_order = Order()
ib_order.orderId = self.orderid
ib_order.clientId = self.clientid
ib_order.action = DIRECTION_VT2IB[req.direction]
ib_order.orderType = ORDERTYPE_VT2IB[req.type]
ib_order.lmtPrice = req.price
ib_order.totalQuantity = req.volume
self.client.placeOrder(self.orderid, ib_contract, ib_order)
self.client.reqIds(1)
order = req.create_order_data(str(self.orderid), self.gateway_name)
self.gateway.on_order(order)
return order.vt_orderid
def send_order(self, req: OrderRequest):
""""""
local_orderid = str(self.connect_time + self._new_order_id())
data = {
"symbol": req.symbol,
"qty": str(req.volume),
"side": DIRECTION_VT2ALPACA[req.direction],
"type": ORDERTYPE_VT2ALPACA[req.type],
"time_in_force": "day",
"client_order_id": local_orderid
}
if data["type"] == "limit":
data["limit_price"] = str(req.price)
order = req.create_order_data(local_orderid, self.gateway_name)
self.gateway.on_order(order)
self.add_request(
"POST",
"/v2/orders",
callback=self.on_send_order,
data=data,
extra=order,
on_failed=self.on_send_order_failed,
on_error=self.on_send_order_error,
)
return order.vt_orderid
def send_order(self, req: OrderRequest) -> str:
""""""
local_orderid = self.order_manager.new_local_orderid()
order = req.create_order_data(local_orderid, self.gateway_name)
order.datetime = datetime.now(CHINA_TZ)
data = {
"channelType": "I",
"exchangeCode": EXCHANGE_VT2KAISA[req.exchange],
"accountCode": self.user_id,
"productCode": req.symbol,
"price": req.price,
"qty": int(req.volume),
"bsFlag": DIRECTION_VT2KAISA[req.direction],
"orderType": ORDERTYPE_VT2KAISA[req.type],
}
self.add_request(method="POST",
path="/v1/order/orders/place",
callback=self.on_send_order,
data=data,
extra=order,
on_error=self.on_send_order_error,
on_failed=self.on_send_order_failed)
self.order_manager.on_order(order)
return order.vt_orderid
def send_order(self, req: OrderRequest):
""""""
# Need both offset and direction for sending order.
if (req.offset, req.direction) not in TYPE_VT2OKEXS:
return ""
orderid = f"a{self.connect_time}{self._new_order_id()}"
data = {
"client_oid": orderid,
"type": TYPE_VT2OKEXS[(req.offset, req.direction)],
"instrument_id": req.symbol,
"price": str(req.price),
"size": str(int(req.volume)),
}
if req.type == OrderType.MARKET:
data["match_price"] = "1"
else:
data["match_price"] = "0"
order = req.create_order_data(orderid, self.gateway_name)
self.add_request(
"POST",
"/api/swap/v3/order",
callback=self.on_send_order,
data=data,
extra=order,
on_failed=self.on_send_order_failed,
on_error=self.on_send_order_error,
)
self.gateway.on_order(order)
return order.vt_orderid
def send_order(self, req: OrderRequest):
""""""
orderid = str(self.connect_time + self._new_order_id())
data = {
"contract": self.exchange + "/" + req.symbol,
"price": float(req.price),
"bs": DIRECTION_VT2ONETOKEN[req.direction],
"amount": float(req.volume),
"client_oid": orderid
}
if req.offset == Offset.CLOSE:
data["options"] = {"close": True}
data = json.dumps(data)
order = req.create_order_data(orderid, self.gateway_name)
self.add_request(method="POST",
path="/v1/trade/{}/{}/orders".format(
self.exchange, self.account),
callback=self.on_send_order,
data=data,
params={},
extra=order,
on_failed=self.on_send_order_failed,
on_error=self.on_send_order_error)
self.gateway.on_order(order)
return order.vt_orderid
def send_order(self, req: OrderRequest):
""""""
orderid = str(uuid.uuid1())
order = req.create_order_data(orderid, self.gateway_name)
self.gateway.on_order(order)
data = {
"size": req.volume,
"product_id": req.symbol,
"side": DIRECTION_VT2COINBASE[req.direction],
"type": ORDERTYPE_VT2COINBASE[req.type],
"client_oid": orderid,
}
if req.type == OrderType.LIMIT:
data["price"] = req.price
self.add_request(
"POST",
"/orders",
callback=self.on_send_order,
data=json.dumps(data),
params={},
extra=order,
on_failed=self.on_send_order_failed,
on_error=self.on_send_order_error,
)
return order.vt_orderid
def send_order(self, req: OrderRequest) -> str:
"""
Send new order.
"""
if req.offset not in OFFSET_VT2KSGOLD:
self.gateway.write_log("请选择开平方向")
return ""
self.order_ref += 1
ksgold_req = {
"SeatID": self.seat_no,
"ClientID": self.userid,
"TradeCode": self.trade_code,
"InstID": req.symbol,
"BuyOrSell": DIRECTION_VT2KSGOLD.get(req.direction, ""),
"OffsetFlag": OFFSET_VT2KSGOLD.get(req.offset, ""),
"Amount": int(req.volume),
"Price": req.price,
"MarketID": symbol_market_map[req.symbol],
"OrderRef": str(self.order_ref),
"SessionID": self.sessionid,
}
self.reqid += 1
self.reqOrderInsert(ksgold_req, self.reqid)
orderid = f"{self.frontid}_{self.sessionid}_{self.order_ref}"
order = req.create_order_data(orderid, self.gateway_name)
self.gateway.on_order(order)
return order.vt_orderid
def send_order(self, req: OrderRequest):
orderid = self._gen_unqiue_cid()
if req.direction == Direction.LONG:
amount = req.volume
else:
amount = -req.volume
order_type = ORDERTYPE_VT2BITFINEX[req.type]
if self.margin:
order_type = order_type.replace("EXCHANGE ", "")
o = {
"cid": orderid,
"type": order_type,
"symbol": "t" + req.symbol,
"amount": str(amount),
"price": str(req.price),
}
request = [0, "on", None, o]
order = req.create_order_data(orderid, self.gateway_name)
self.send_packet(request)
self.gateway.on_order(order)
return order.vt_orderid
def send_order(self, req: OrderRequest):
""""""
self.reqid += 1
order_ref = self._get_new_order_id()
opt, tc, vc = ORDER_TYPE_VT2TORA[req.type]
info = CTORATstpSPInputOrderField()
info.ShareholderID = self.shareholder_ids[req.exchange]
info.SecurityID = req.symbol
info.ExchangeID = EXCHANGE_VT2TORA[req.exchange]
info.OrderRef = order_ref
info.OrderPriceType = opt
info.Direction = DIRECTION_VT2TORA[req.direction]
info.CombOffsetFlag = OFFSET_VT2TORA[req.offset]
info.CombHedgeFlag = TORA_TSTP_SP_HF_Speculation
info.LimitPrice = req.price
info.VolumeTotalOriginal = int(req.volume)
info.TimeCondition = tc
info.VolumeCondition = vc
order_id = f"{self.frontid}_{self.sessionid}_{order_ref}"
self.orders[order_id] = OrderInfo(
order_ref,
EXCHANGE_VT2TORA[req.exchange],
self.sessionid,
self.frontid,
)
self.gateway.on_order(
req.create_order_data(order_id, self.gateway.gateway_name)
)
self.api.ReqOrderInsert(info, self.reqid)
return f"{self.gateway_name}.{order_id}"
def send_order(
self,
vt_symbol: str,
price: float,
volume: float,
direction: Direction,
offset: Offset,
order_type: OrderType
) -> str:
""""""
contract = self.get_contract(vt_symbol)
if not contract:
return ""
req = OrderRequest(
symbol=contract.symbol,
exchange=contract.exchange,
direction=direction,
type=order_type,
volume=volume,
price=price,
offset=offset
)
vt_orderid = self.main_engine.send_order(req, contract.gateway_name)
return vt_orderid
def send_order(self, vt_req: OrderRequest):
""""""
seq_id = self._get_new_seq_index()
order_id = seq_id
oes_req = OesOrdReqT()
oes_req.clSeqNo = seq_id
oes_req.mktId = EXCHANGE_VT2OES[vt_req.exchange]
oes_req.ordType = ORDER_TYPE_VT2OES[(vt_req.exchange, vt_req.type)]
oes_req.bsType = BUY_SELL_TYPE_VT2OES[(vt_req.exchange, vt_req.offset, vt_req.direction)]
oes_req.invAcctId = ""
oes_req.securityId = vt_req.symbol
oes_req.ordQty = int(vt_req.volume)
oes_req.ordPrice = int(vt_req.price * 10000)
oes_req.origClOrdId = order_id
order = vt_req.create_order_data(str(order_id), self.gateway.gateway_name)
order.direction = Direction.NET # fix direction into NET: stock only
self._order_manager.save_order(order_id, order)
ret = OesApi_SendOrderReq(self._env.ordChannel,
oes_req
)
if ret >= 0:
order.status = Status.SUBMITTING
else:
order.status = Status.REJECTED
self.gateway.write_log(_("下单失败")) # todo: can I stringify error?
if is_disconnected(ret):
self.gateway.write_log(_("下单时连接发现连接已断开，正在尝试重连"))
self._schedule_reconnect_ord_channel()
self.gateway.on_order(order)
return order.vt_orderid
def send_order(self, req: OrderRequest) -> str:
""""""
huobi_type = ORDERTYPE_VT2HUOBI.get((req.direction, req.type), "")
orderid = self.new_orderid()
order = req.create_order_data(orderid, self.gateway_name)
order.datetime = datetime.now(CHINA_TZ)
data = {
"account-id": self.account_id,
"amount": str(req.volume),
"symbol": req.symbol,
"type": huobi_type,
"price": str(req.price),
"source": "api",
"client-order-id": orderid
}
self.add_request(method="POST",
path="/v1/order/orders/place",
callback=self.on_send_order,
data=data,
extra=order,
on_error=self.on_send_order_error,
on_failed=self.on_send_order_failed)
self.gateway.on_order(order)
return order.vt_orderid
def send_order(self, req: OrderRequest):
"""
Send new order to TAP server.
"""
contract_info = contract_infos.get((req.symbol, req.exchange), None)
if not contract_info:
self.write_log(f"找不到匹配的合约：{req.symbol}和{req.exchange.value}")
return ""
if req.type not in ORDERTYPE_VT2TAP:
self.write_log(f"不支持的委托类型: {req.type.value}")
return ""
order_req = TapAPINewOrder()
order_req.ExchangeNo = contract_info.exchange_no
order_req.CommodityNo = contract_info.commodity_no
order_req.CommodityType = contract_info.commodity_type
order_req.ContractNo = contract_info.contract_no
order_req.OrderType = ORDERTYPE_VT2TAP[req.type]
order_req.OrderSide = DIRECTION_VT2TAP[req.direction]
order_req.OrderPrice = req.price
order_req.OrderQty = int(req.volume)
order_req.AccountNo = self.account_no
retv, session_id, order_id = self.api.InsertOrder(order_req)
order = req.create_order_data(order_id, self.gateway_name)
self.gateway.on_order(order)
return order.vt_orderid
def send_order(self, req: OrderRequest):
""""""
local_id = self.get_new_local_id()
order = req.create_order_data(local_id, self.gateway_name)
self.on_order(order)
self.add_task(self._send_order, req, local_id)
return order.vt_orderid
def send_order(self, req: OrderRequest):
"""
Send new order.
"""
self.order_ref += 1
ctp_req = {
"InstrumentID": req.symbol,
"LimitPrice": req.price,
"VolumeTotalOriginal": int(req.volume),
"OrderPriceType": ORDERTYPE_VT2CTP.get(req.type, ""),
"Direction": DIRECTION_VT2CTP.get(req.direction, ""),
"CombOffsetFlag": OFFSET_VT2CTP.get(req.offset, ""),
"OrderRef": str(self.order_ref),
"InvestorID": self.userid,
"UserID": self.userid,
"BrokerID": self.brokerid,
"CombHedgeFlag": THOST_FTDC_HF_Speculation,
"ContingentCondition": THOST_FTDC_CC_Immediately,
"ForceCloseReason": THOST_FTDC_FCC_NotForceClose,
"IsAutoSuspend": 0,
"TimeCondition": THOST_FTDC_TC_GFD,
"VolumeCondition": THOST_FTDC_VC_AV,
"MinVolume": 1
}
if req.type == OrderType.FAK:
ctp_req["OrderPriceType"] = THOST_FTDC_OPT_LimitPrice
ctp_req["TimeCondition"] = THOST_FTDC_TC_IOC
ctp_req["VolumeCondition"] = THOST_FTDC_VC_AV
elif req.type == OrderType.FOK:
ctp_req["OrderPriceType"] = THOST_FTDC_OPT_LimitPrice
ctp_req["TimeCondition"] = THOST_FTDC_TC_IOC
ctp_req["VolumeCondition"] = THOST_FTDC_VC_CV
self.reqid += 1
self.reqOrderInsert(ctp_req, self.reqid)
orderid = f"{self.frontid}_{self.sessionid}_{self.order_ref}"
order = req.create_order_data(orderid, self.gateway_name)
self.gateway.on_order(order)
return order.vt_orderid
def update_order_request(self, req: OrderRequest, vt_orderid: str):
""""""
gateway_name, orderid = vt_orderid.split(".")
order = req.create_order_data(orderid, gateway_name)
self.update_order(order)