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 __init__(self, host, port, trd_env, market, unlock_path=ct.FUTU_PATH):
if market != ct.CN_MARKET_SYMBOL and market != ct.US_MARKET_SYMBOL and market != ct.HK_MARKET_SYMBOL:
raise Exception("not supported market:%s" % market)
if ct.CN_MARKET_SYMBOL == market:
self.trd_ctx = OpenCNTradeContext(host, port)
elif ct.US_MARKET_SYMBOL == market:
self.trd_ctx = OpenUSTradeContext(host, port)
else:
self.trd_ctx = OpenHKTradeContext(host, port)
self.trd_env = trd_env
self.acc_id = self.get_acc_id()
self.unlock_pwd = self.get_unlock_pwd(fpath=unlock_path)
if self.trd_env == TrdEnv.REAL:
self.trd_ctx.unlock_trade(password_md5=self.unlock_pwd)
self._status = True
self._lock = threading.Lock()
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 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 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')
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 FutuTrader:
ORDER_SCHEMA = [
'order_id', 'order_type', 'order_status', 'code', 'stock_name',
'trd_side', 'qty', 'price', 'create_time', 'dealt_qty',
'dealt_avg_price', 'updated_time', 'last_err_msg'
]
DEAL_SCHEMA = [
'trd_side', 'deal_id', 'order_id', 'code', 'stock_name', 'qty',
'price', 'create_time', 'dealt_qty', 'counter_broker_id',
'counter_broker_name'
]
def __init__(self, host, port, trd_env, market, unlock_path=ct.FUTU_PATH):
if market != ct.CN_MARKET_SYMBOL and market != ct.US_MARKET_SYMBOL and market != ct.HK_MARKET_SYMBOL:
raise Exception("not supported market:%s" % market)
if ct.CN_MARKET_SYMBOL == market:
self.trd_ctx = OpenCNTradeContext(host, port)
elif ct.US_MARKET_SYMBOL == market:
self.trd_ctx = OpenUSTradeContext(host, port)
else:
self.trd_ctx = OpenHKTradeContext(host, port)
self.trd_env = trd_env
self.acc_id = self.get_acc_id()
self.unlock_pwd = self.get_unlock_pwd(fpath=unlock_path)
if self.trd_env == TrdEnv.REAL:
self.trd_ctx.unlock_trade(password_md5=self.unlock_pwd)
self._status = True
self._lock = threading.Lock()
def __del__(self):
if self.trd_ctx is not None:
self.trd_ctx.close()
def start(self):
if self.trd_ctx is not None:
self.trd_ctx.start()
def get_acc_id(self):
ret, data = self.trd_ctx.get_acc_list()
if ret != 0: raise Exception("get accid failed")
return data.loc[data.trd_env == self.trd_env, 'acc_id'].values[0]
def get_unlock_pwd(self, fpath=ct.FUTU_PATH):
with open(fpath) as f:
infos = json.load(f)
return infos['unlock_pwd']
def get_cash(self):
ret, data = self.trd_ctx.accinfo_query(trd_env=self.trd_env)
if ret != 0: raise Exception("get cash failed")
return data['cash'].values[0]
def set_handler(self, mclass):
with self._lock:
self.trd_ctx.set_handler(mclass)
def get_shares(self):
mshares = dict()
ret, data = self.trd_ctx.position_list_query(trd_env=self.trd_env)
if ret != 0: raise Exception("get shares failed")
for index, code in data.code.iteritems():
mshares[code] = data.loc[index, 'qty']
return mshares
def get_order(self, id_="", filter_list=list()):
orders = list()
ret, data = self.trd_ctx.order_list_query(
trd_env=TrdEnv.SIMULATE,
order_id=id_,
status_filter_list=filter_list)
if ret != 0:
raise Exception(
"get opend order failed. order_id:%s, filter_list:%s" %
(id_, filter_list))
if data.empty: return orders
data = data[self.ORDER_SCHEMA]
for mdict in data.to_dict("records"):
orders.append(MOrder(mdict))
return orders if id_ != "" else orders[0]
def trade(self, order):
code = order.getInstrument()
price = order.getLimitPrice()
quantity = order.getQuantity()
type_ = OrderType.NORMAL
direction = TrdSide.BUY if order.isBuy() else TrdSide.SELL
ret, data = self.trd_ctx.place_order(price,
quantity,
code,
trd_side=direction,
order_type=type_,
adjust_limit=0,
trd_env=self.trd_env,
acc_id=self.acc_id)
if ret != 0:
logger.error("trade failed, ret:%s, data:%s" % (ret, data))
#logger.info("trade %s success, ret:%s, data:%s" % (code, ret, data))
return ret, data
def get_history_orders(self,
code="",
start="",
end="",
status_filter_list=["FILLED_ALL"]):
orders = list()
ret, data = self.trd_ctx.history_order_list_query(status_filter_list,
code,
start,
end,
trd_env=self.trd_env,
acc_id=self.acc_id)
if ret != 0:
raise Exception(
"get history orders failed.code:%s, start:%s, end:%s, ret:%s, msg:%s"
% (code, start, end, ret, data))
if data.empty: return orders
return data
#data = data[self.ORDER_SCHEMA]
#for mdict in data.to_dict("records"):
# orders.append(MOrder(mdict))
#return orders
def get_history_deals(self, code="", start="", end=""):
deals = list()
ret, data = self.trd_ctx.history_deal_list_query(code,
start,
end,
trd_env=self.trd_env,
acc_id=self.acc_id)
if ret != 0:
raise Exception(
"get history deals failed.code:%s, start:%s, end:%s" %
(code, start, end))
if data.empty: return deals
return data
#data = data[self.DEAL_SCHEMA]
#for mdict in data.to_dict("records"):
# deals.append(MDeal(mdict))
#return deals
def buy(self, code, price, quantity):
ret, data = self.trd_ctx.place_order(code=code,
price=price,
qty=quantity,
trd_side=TrdSide.BUY,
order_type=OrderType.NORMAL,
trd_env=self.trd_env)
return ret, data
def modify(self, order, operation):
id_ = order.getId()
price = order.getLimitPrice()
quantity = order.getQuantity()
type_ = order.getOrderType()
side = order.getOrderDirection()
ret, data = self.trd_ctx.modify_order(operation,
id_,
quantity,
price,
adjust_limit=0,
trd_env=self.trd_env,
acc_id=self.acc_id)
return ret, data
def close(self):
with self._lock:
self.trd_ctx.close()
self._status = False
def status(self):
with self._lock:
return self._status
from futu import OpenQuoteContext, OpenHKTradeContext, TrdSide, TrdEnv
quote_ctx = OpenQuoteContext(host='127.0.0.1', port=11111) # 创建行情对象
print(quote_ctx.get_market_snapshot('HK.00700')) # 获取港股 HK.00700 的快照数据
quote_ctx.close() # 关闭对象，防止连接条数用尽
trd_ctx = OpenHKTradeContext(host='127.0.0.1', port=11111) # 创建交易对象
print(
trd_ctx.place_order(price=500.0,
qty=100,
code="HK.00700",
trd_side=TrdSide.BUY,
trd_env=TrdEnv.SIMULATE))
# 模拟交易，下单（如果是真实环境交易，在此之前需要先解锁交易密码）
trd_ctx.close() # 关闭对象，防止连接条数用尽
