def sell(self, symbol, price=0, amount=0, volume=0):
symbol = symbol.lower()
if amount == 0 and volume == 0:
raise TraderAPIError('do you want to sell amount/volume 0 ?')
if volume == 0:
hq = self.hq(symbol)
price = hq.loc[symbol, 'lasttrade']
volume = price * amount
portfolio = self.portfolio
# 计算一下当前持有该证券的市值
current_market_value = 0
if symbol in portfolio.index:
current_market_value = portfolio.loc[symbol, 'market_value']
target_volume = current_market_value - volume
if target_volume < 0:
raise TraderAPIError('Not enough %s for sell' % symbol)
target_percent = target_volume / portfolio['market_value'].sum()
return self._trade_api(symbol=symbol,
target_percent=target_percent,
portfolio=portfolio)
def _trade_api(self, **kwargs):
# 确保已经正确登录了融资融券账号
self._ensure_margin_flags()
url = 'https://trade.gf.com.cn/entry'
resq = self.client.post(url, params=kwargs)
if len(resq.text) == 0:
self.client.reset()
resq = self.client.post(url, params=kwargs)
data = resq.json()
logger.debug('_trade_api() return: %s' % data)
trade_status = data.pop('success', False)
if trade_status == False:
logger.error(data)
error_info = data.get('error_info', data)
raise TraderAPIError(error_info)
df = pd.DataFrame(data['data'])
df.rename(columns=RENAME_DICT, inplace=True)
if 'symbol' in df.columns:
df['symbol'] = df['symbol'].apply(code_to_symbols)
# 去字段的并集，提高效率
cols = list(set(FLOAT_COLUMNS).intersection(set(df.columns)))
for col in cols:
df[col] = pd.to_numeric(df[col], errors='ignore')
return df
def _ensure_margin_flags(self):
'''确保已经登录了融资融券账户'''
if self.client.margin_flags == False:
margin_login_params = {
'classname': 'com.gf.etrade.control.RZRQUF2Control',
'method': 'ValidataLogin'
}
r = self.client.post(url='https://trade.gf.com.cn/entry',
params=margin_login_params)
data = r.json()
logger.debug('ensure_margin_flags: %s' % data)
trade_status = data.pop('success', False)
if trade_status == False:
logger.error(data)
error_info = data.get('error_info', data)
raise TraderAPIError(error_info)
stockholders = data.get('stockholders', [])
self._exchange_stock_account = {}
for holders in stockholders:
self._exchange_stock_account[
holders['exchange_type']] = holders['stock_account']
# 将session 设置为已经登录信用账户的状态
self.client.margin_flags = True
return
def login(self):
self.pre_login()
login_params = {
'username': '',
'areacode': '86',
'telephone': self._account,
'remember_me': '0',
'password': self._password
}
# 提交登录信息
r = self._session.post(url='https://xueqiu.com/user/login',
data=login_params)
r.raise_for_status()
login_info = r.json()
# 错误检查，并处理
if 'error_description' in login_info.keys():
self._expire_at = 0
logger.warning('Login Error: %s' % login_info['error_description'])
raise TraderAPIError('Login Error: %s' %
login_info['error_description'])
# 登录成功
logger.info('Login Success. uid: %s, expire_at: %s' %
(login_info['uid'], login_info['expires_in']))
return
def buy(self, symbol, price=0, amount=0, volume=0):
symbol = symbol.lower()
if amount == 0 and volume == 0:
raise TraderAPIError('do you want to buy amount/volume 0 ?')
if volume == 0:
hq = self.hq(symbol)
price = hq.loc[symbol, 'lasttrade']
volume = price * amount
portfolio = self.portfolio
net_asset = portfolio['market_value'].sum()
# 计算交易股票的持仓目标比例
if symbol in portfolio.index:
target_percent = (portfolio.loc[symbol, 'market_value'] +
volume) / net_asset
else:
target_percent = volume / net_asset
return self._trade_api(symbol=symbol,
target_percent=target_percent,
portfolio=portfolio)
def login(self):
# 无论是否登录，都重新创建一个session对象
# self.pre_login()
login_params = {
"authtype": 2,
"disknum": self.disknum,
"loginType": 2,
"origin": "web",
'mac': self.mac_address,
'username': self._account,
'password': self._password,
'tmp_yzm': self.vcode
}
resq = self._session.post(url='https://trade.gf.com.cn/login',
params=login_params)
resq.raise_for_status()
logger.debug('login resq: %s' % resq.json())
data = resq.json()
if data['success'] == True:
v = resq.headers
self._dse_sessionId = v['Set-Cookie'][-32:]
# 等待服务器准备就绪
time.sleep(0.1)
logger.info('Login success: %s' % self._dse_sessionId)
return
elif data['success'] == False and 'error_info' not in data.keys():
logger.warning('当前系统无法登陆')
raise TraderAPIError(data)
elif data['error_info'].find('验证码') != -1:
self.dse_sessionId = None
logger.warning('VerifyCode Error: %s' % data)
raise VerifyCodeError(data['error_info'])
else:
self.dse_sessionId = None
logger.warning('API Login Error: %s' % data)
raise TraderAPIError(data['error_info'])
def post_login(self):
if self.margin_flags == True:
margin_login_params = {
'classname': 'com.gf.etrade.control.RZRQUF2Control',
'method': 'ValidataLogin',
'dse_sessionId': self._dse_sessionId
}
r = self._session.post(url='https://trade.gf.com.cn/entry',
params=margin_login_params)
data = r.json()
logger.debug('ensure_margin_flags: %s' % data)
trade_status = data.pop('success', False)
if trade_status == False:
logger.error(data)
error_info = data.get('error_info', data)
raise TraderAPIError(error_info)
def _trade_api(self, **kwargs):
url = 'https://trade.gf.com.cn/entry'
resq = self.client.post(url, params=kwargs)
data = resq.json()
if data.get('success', False) == False:
logger.error(data)
error_info = data.get('error_info', data)
raise TraderAPIError(error_info)
df = pd.DataFrame(data['data'])
df.rename(columns=RENAME_DICT, inplace=True)
if 'symbol' in df.columns:
df['symbol'] = df['symbol'].apply(code_to_symbols)
# 去字段的并集，提高效率
cols = list(set(FLOAT_COLUMNS).intersection(set(df.columns)))
for col in cols:
df[col] = pd.to_numeric(df[col], errors='ignore')
return df
def _trade_api(self, **kwargs):
'''
底层交易接口
'''
logger.debug('call params: %s' % kwargs)
r = self.client.get(
url=
'https://jy.yongjinbao.com.cn/winner_gj/gjzq/stock/exchange.action',
params=kwargs)
logger.debug('return: %s' % r.text)
# 解析返回的结果数据
returnJson = r.json()['returnJson']
if returnJson is None:
return None
data = demjson.decode(returnJson)
if data['msg_no'] != '0':
error_msg = data[data['error_grids']][1]
logger.error('error no: %s,error info: %s' % (error_msg.get(
'error_no', ''), error_msg.get('error_info', '')))
raise TraderAPIError(error_msg.get('error_info', ''))
data = data['Func%s' % data['function_id']]
df = pd.DataFrame(data[1:])
# 替换表头的命名
df.rename(columns=RENAME_DICT, inplace=True)
# 生成symbol
if 'symbol' in df.columns:
df['symbol'] = df['symbol'].apply(code_to_symbols)
# FLOAT_COLUMNS和 df.columns取交集，以减少调用时间
cols = list(set(FLOAT_COLUMNS).intersection(set(df.columns)))
for col in cols:
df[col] = pd.to_numeric(df[col], errors='ignore')
return df
def order(self, symbol, amount=0, volume=0, wait=10):
'''
按数量下单
:return: order_no, left
'''
logger.debug(
'order_amount: symbol: %s, amount: %s, volume: %s, wait: %s' %
(symbol, amount, volume, wait))
if (amount == 0 and volume == 0):
raise AttributeError('order_amount amount and volume can not be 0')
# 下单
try:
hq = self.hq(symbol)
logger.debug('hq: %s' % hq.loc[symbol])
price = hq.loc[symbol, 'lasttrade']
amount = amount if amount else round(volume,
2) // price // 100 * 100
if amount == 0:
return 0, 0
if amount > 0 or volume > 0:
price = hq.loc[symbol, 'ask']
order_no = self.buy(symbol, price, amount=amount)
logger.info('buy order send,order_no: %s' % order_no)
elif amount < 0 or volume < 0:
price = hq.loc[symbol, 'bid']
order_no = self.sell(symbol, price, amount=-amount)
logger.info('sell order send,order_no: %s' % order_no)
except TraderError as err:
logger.debug('Order Error: %s' % err)
raise err
# 每隔2秒检查一下成交状态.
# 如果是已成交,则返回order_no, 0
# 如果是已报、部成, 则再等2秒钟。
# 如果是其他状态,就报警
time.sleep(5)
for i in range(int((wait + 1) / 2)):
logger.info('Check Order Status %s times.' % i)
orderlist = self.orderlist
if order_no in orderlist.index:
status = orderlist.loc[order_no, 'order_status']
else:
# 如果记录的订单号不在orderlist里面，则认为已经成交了。
status = '已成'
if status in ('已成'):
logger.info('Order Success. %s' % orderlist.loc[order_no])
return order_no, 0
elif status in ('已报', '部成', '正常'):
logger.info('Order not Complete. %s' % orderlist.loc[order_no])
time.sleep(5)
elif status in ('未报'):
logger.info('Not Allow to Send Order. %s' %
orderlist.loc[order_no])
self.cancel(order_no)
return order_no, amount
else:
logger.error('Order Status Invaild. %s' %
orderlist.loc[order_no])
raise TraderAPIError('Order Status Invaild. %s' %
orderlist.loc[order_no])
# 等待了足够时间,仍未全部成交,则撤单
try:
logger.warning('Cancel order: %s' % order_no)
self.cancel(order_no)
time.sleep(0.3)
orderlist = self.orderlist
status = orderlist.loc[order_no, 'order_status']
if status in ('已撤', '部撤'):
orderlist['left'] = orderlist['order_amount'] - orderlist[
'business_amount']
left = orderlist.loc[order_no, 'left']
if amount < 0:
left = -left
return order_no, left
else:
raise TraderAPIError('Order Status Invaild. %s' %
orderlist.loc[order_no])
except TraderError as err:
logger.warning(err)
logger.warning('Order Status Invaild. %s' %
orderlist.loc[order_no])
def _trade_api(self, symbol, target_percent, portfolio=None, comment=None):
# 目标的持仓比例应该大于0
if target_percent < 0:
raise TraderAPIError('wrong target_percent: %s' % target_percent)
# symbol 转换成小写
symbol = symbol.lower()
if comment is None:
comment = '将股票( %s )的仓位调整至 %.2f%% . \n 来自vxTrader' % (
symbol, target_percent * 100)
# 如果没有穿portfolio，就更新一下
if portfolio is None:
portfolio = self.portfolio
portfolio.loc[symbol, 'weight'] = target_percent
market_weight = portfolio.loc[portfolio.index != 'cash',
'weight'].sum()
if market_weight > 1.0:
raise TraderAPIError(
'wrong target_percent: %s, market_weight is: %s' %
(target_percent, market_weight))
portfolio.loc['cash', 'weight'] = 1.0 - market_weight
stock_infos = self._worker.imap(
self._get_stock_info,
portfolio.loc[portfolio.index != 'cash'].index)
holdings = []
for stock in stock_infos:
proactive = (stock['code'].lower() == symbol)
holding = {
"code":
stock['code'],
"flag":
stock['flag'],
"type":
stock['type'],
"stock_id":
stock['stock_id'],
"ind_id":
stock['ind_id'],
"ind_name":
stock['ind_name'],
"ind_color":
stock['ind_color'],
"textname":
stock['name'],
"segment_name":
stock['ind_name'],
# 注意此处雪球接受的是持仓百分比，例如：30.33
"weight":
round(portfolio.loc[stock['code'].lower(), 'weight'] * 100, 2),
"proactive":
proactive,
"price":
str(stock['current'])
}
holdings.append(holding)
params = {
# 注意此处雪球接受的是持仓百分比，例如：30.33
'cash': round(portfolio.loc['cash', 'weight'] * 100, 2),
'holdings': str(json.encode(holdings)),
'cube_symbol': self.portfolio_code,
'segment': 1,
'comment': comment
}
self.client.headers.update(
referer='https://xueqiu.com/p/update?action=holdings&symbol=%s' %
self.portfolio_code)
logger.debug(self.client.session.headers)
try:
r = self.client.post(
url='https://xueqiu.com/cubes/rebalancing/create.json',
params=params)
r.raise_for_status()
except Exception as err:
logger.warning('order failed: %s' % err)
raise TraderAPIError(str(err))
logger.debug('order success:%s %s' % (holdings, r.json()))
return r.json()['id']
def cancel(self, order_no=0):
portfolio = self.portfolio
comment = '撤单\n 来自vxTrader'
stock_infos = self._worker.imap(
self._get_stock_info,
portfolio.loc[portfolio.index != 'cash'].index)
holdings = []
for stock in stock_infos:
holding = {
"code":
stock['code'],
"flag":
stock['flag'],
"type":
stock['type'],
"stock_id":
stock['stock_id'],
"ind_id":
stock['ind_id'],
"ind_name":
stock['ind_name'],
"ind_color":
stock['ind_color'],
"textname":
stock['name'],
"segment_name":
stock['ind_name'],
# 注意此处雪球接受的是持仓百分比，例如：30.33
"weight":
round(portfolio.loc[stock['code'].lower(), 'weight'] * 100, 2),
"proactive":
True,
"price":
str(stock['current'])
}
holdings.append(holding)
params = {
# 注意此处雪球接受的是持仓百分比，例如：30.33
'cash': round(portfolio.loc['cash', 'weight'] * 100, 2),
'holdings': str(json.encode(holdings)),
'cube_symbol': self.portfolio_code,
'segment': 1,
'comment': comment
}
self.client.headers.update(
referer='https://xueqiu.com/p/update?action=holdings&symbol=%s' %
self.portfolio_code)
logger.debug(self.client.session.headers)
try:
r = self.client.post(
url='https://xueqiu.com/cubes/rebalancing/create.json',
params=params)
r.raise_for_status()
except Exception as err:
logger.warning('order failed: %s' % err)
raise TraderAPIError(str(err))
logger.debug('order success:%s %s' % (holdings, r.json()))
return r.json()['id']
def orderlist(self):
order_col = [
'order_no', 'symbol', 'symbol_name', 'trade_side', 'order_price',
'order_amount', 'business_price', 'business_amount',
'order_status', 'order_time'
]
p = {"cube_symbol": self.portfolio_code, 'count': 5, 'page': 1}
resq = self.client.get(
url='https://xueqiu.com/cubes/rebalancing/history.json',
params=p,
headers={})
logger.debug(resq.text)
resq.raise_for_status()
data = resq.json()['list']
logger.debug('get_entrust raw data: %s' % data)
order_list = []
for xq_orders in data:
status = xq_orders['status'] # 调仓状态
if status == 'pending':
status = "已报"
elif status == 'canceled':
status = "已撤"
elif status == 'failed':
status = "废单"
elif status == 'success':
status = "已成"
else:
raise TraderAPIError('Unkown order status. %s' % status)
for order in xq_orders['rebalancing_histories']:
prev_target_volume = order['prev_target_volume'] if order[
'prev_target_volume'] is not None else 0.0
target_volume = order['target_volume'] if order[
'target_volume'] else 0.0
# 实际上应该是这里通常说得amount
volume = abs(target_volume -
prev_target_volume) * _BASE_MULTIPE
price = order['price'] if order['price'] else 0.0
if volume > 0:
order_list.append({
'order_no':
order['id'],
'symbol':
order['stock_symbol'].lower(),
'symbol_name':
order['stock_name'],
'trade_side':
"买入" if target_volume > prev_target_volume else "卖出",
'order_status':
status,
'order_time':
time.strftime(
"%Y-%m-%d %H:%M:%S",
time.localtime(order['updated_at'] / 1000)),
'business_amount':
volume * price if status == '已成' else 0,
'business_price':
price if status == '已成' else 0,
'order_amount':
volume * price,
'order_price':
price,
})
df = pd.DataFrame(order_list, columns=order_col)
df = df.set_index('order_no')
df[['order_price', 'order_amount', 'business_amount', 'business_price']] = \
df[['order_price', 'order_amount', 'business_amount', 'business_price']].round(3)
return df