chore(vendor): vendor vnpy_qmt 0.3.3 源码自行维护
vnpy_qmt 是唯一券商交易 gateway（关键路径），社区包断更有风险。 按 vnpy_v4.4.0 同一套约定 vendor 源码、sys.path 引用、不 pip install。 - vnpy_qmt_v0.3.3/vnpy_qmt/ (5文件587行) + LICENSE(Apache-2.0) + README - run_web.py 加 if-exists 路径块，import 方式不变 (from vnpy_qmt import QmtGateway) Mac 验证: py_compile 全过 + import 解析到 vendor 副本(仅卡 xtquant Win-only，符合预期) VPS 生产切换(Part B: rsync+pip uninstall+重启+实证) 待确认
This commit is contained in:
@@ -15,6 +15,12 @@ if os.path.exists(vnpy_dir):
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sys.path.insert(0, vnpy_dir)
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print(f"Added vnpy_v4.4.0 to Python path: {vnpy_dir}")
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# 添加 vnpy_qmt_v0.3.3（vendor 源码，自行维护）到 Python 路径
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qmt_dir = os.path.join(project_dir, "vnpy_qmt_v0.3.3")
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if os.path.exists(qmt_dir):
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sys.path.insert(0, qmt_dir)
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print(f"Added vnpy_qmt_v0.3.3 to Python path: {qmt_dir}")
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if __name__ == "__main__":
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import uvicorn
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|
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@@ -0,0 +1,201 @@
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@@ -0,0 +1,39 @@
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# vnpy_qmt v0.3.3（vendored，自行维护）
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||||
|
||||
本目录是 **vnpy-qmt 0.3.3** 的源码 vendor 副本，纳入本仓库自行维护。
|
||||
|
||||
## 来源
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||||
- PyPI：`vnpy-qmt==0.3.3`（wheel：`vnpy_qmt-0.3.3-py3-none-any.whl`）
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||||
- 上游：社区项目 `ruyisee/vnpy_qmt`（vnpy 的 miniQMT/xtquant 交易 Gateway）
|
||||
- License：**Apache License 2.0**（见 `LICENSE`，vnpy 生态统一协议）
|
||||
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||||
## 为什么 vendor（不 pip install）
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||||
`vnpy_qmt` 是本项目**唯一的券商交易 Gateway**（brain → vnpy_qmt → xtquant → miniQMT 下单链路的关键一环）。
|
||||
社区包存在断更/失效风险，关键路径依赖外部仓库不可控。vendor 源码后，我们能自主修 bug、跟进 vnpy 接口变更。
|
||||
|
||||
与同目录的 `vnpy_v4.4.0/` 采用**同一套约定**：源码 vendor、`sys.path` 引用、不 pip install。
|
||||
|
||||
## 如何引用
|
||||
`run_web.py` 启动时把本目录加入 `sys.path`（与 `vnpy_v4.4.0` 同样的 if-exists 块）：
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||||
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```python
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qmt_dir = os.path.join(project_dir, "vnpy_qmt_v0.3.3")
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if os.path.exists(qmt_dir):
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sys.path.insert(0, qmt_dir)
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||||
```
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业务代码 import 方式**不变**：
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||||
```python
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from vnpy_qmt import QmtGateway
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```
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||||
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||||
## 维护注意
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||||
- vnpy 接口兼容性已验证（对 `vnpy_v4.4.0` 零漂移，2026-07 真机实证）。后续若升级 vnpy，需重新核对 `BaseGateway`/`OrderData`/`Status` 枚举/`ZoneInfo` 等 import。
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||||
- `xtquant` 是国金 QMT 官方库（行情 `xtdata` + 交易 `xttrader`），**仅 Windows + miniQMT 进程常驻**可用——本目录不包含 xtquant，Mac/NAS 无法完整 import（会卡在 `from xtquant import ...`），属正常。
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- 文件清单：`vnpy_qmt/__init__.py`（导出 QmtGateway）/ `qmt_gateway.py`（主 Gateway）/ `td.py`（交易）/ `md.py`（行情）/ `utils.py`。
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||||
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||||
## 升级方法
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```
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||||
pip download vnpy-qmt==<新版本> --no-deps -d /tmp/dl
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||||
# 解压 wheel，用 vnpy_qmt/ 覆盖本目录，更新本 README 版本号，diff 核对接口变更
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||||
```
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@@ -0,0 +1,7 @@
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# -*- coding:utf-8 -*-
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||||
"""
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@FileName :__init__.py.py
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@Time :2022/11/8 16:48
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@Author :fsksf
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"""
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from vnpy_qmt.qmt_gateway import QmtGateway
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@@ -0,0 +1,150 @@
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# -*- coding:utf-8 -*-
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||||
"""
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||||
@FileName :md.py
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||||
@Time :2022/11/8 17:14
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||||
@Author :fsksf
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||||
"""
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from vnpy.trader.object import (
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CancelRequest, OrderRequest, SubscribeRequest, TickData,
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ContractData
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||||
)
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import xtquant.xtdata
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import xtquant.xttrader
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import xtquant.xttype
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from vnpy_qmt.utils import (
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From_VN_Exchange_map, TO_VN_Exchange_map, to_vn_contract,
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TO_VN_Product, to_vn_product, timestamp_to_datetime,
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||||
to_qmt_code
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||||
)
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||||
from vnpy.trader.utility import ZoneInfo
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ZONE_INFO = ZoneInfo("Asia/Shanghai")
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||||
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class MD:
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def __init__(self, gateway):
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self.gateway = gateway
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self.th = None
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self.limit_ups = {}
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self.limit_downs = {}
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def close(self) -> None:
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pass
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def subscribe(self, req: SubscribeRequest) -> None:
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return xtquant.xtdata.subscribe_quote(
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||||
stock_code=f'{req.symbol}.{From_VN_Exchange_map[req.exchange]}',
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||||
period='tick',
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||||
callback=self.on_tick
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||||
)
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||||
|
||||
def connect(self, setting: dict) -> None:
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||||
self.get_contract()
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||||
return
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def get_contract(self):
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self.write_log('开始获取标的信息')
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||||
contract_ids = set()
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bk = ['上期所', '上证A股', '上证B股', '中金所', '创业板', '大商所',
|
||||
'沪市ETF', '沪市指数', '沪深A股',
|
||||
'沪深B股', '沪深ETF', '沪深指数', '深市ETF',
|
||||
'深市基金', '深市指数', '深证A股', '深证B股', '科创板', '科创板CDR',
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||||
]
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||||
for sector in bk:
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||||
print(sector)
|
||||
stock_list = xtquant.xtdata.get_stock_list_in_sector(sector_name=sector)
|
||||
for symbol in stock_list:
|
||||
if symbol in contract_ids:
|
||||
continue
|
||||
contract_ids.add(symbol)
|
||||
info = xtquant.xtdata.get_instrument_detail(symbol)
|
||||
contract_type = xtquant.xtdata.get_instrument_type(symbol)
|
||||
if info is None or contract_type is None:
|
||||
continue
|
||||
try:
|
||||
exchange = TO_VN_Exchange_map[info['ExchangeID']]
|
||||
except KeyError:
|
||||
|
||||
print('本gateway不支持的标的', symbol)
|
||||
continue
|
||||
if exchange not in self.gateway.exchanges:
|
||||
continue
|
||||
product = to_vn_product(contract_type)
|
||||
if product not in self.gateway.TRADE_TYPE:
|
||||
continue
|
||||
|
||||
c = ContractData(
|
||||
gateway_name=self.gateway.gateway_name,
|
||||
symbol=info['InstrumentID'],
|
||||
exchange=exchange,
|
||||
name=info['InstrumentName'],
|
||||
product=product,
|
||||
pricetick=info['PriceTick'],
|
||||
size=100,
|
||||
min_volume=100
|
||||
)
|
||||
self.limit_ups[c.vt_symbol] = info['UpStopPrice']
|
||||
self.limit_downs[c.vt_symbol] = info['DownStopPrice']
|
||||
self.gateway.on_contract(c)
|
||||
self.write_log('获取标的信息完成')
|
||||
|
||||
def on_tick(self, datas):
|
||||
for code, data_list in datas.items():
|
||||
symbol, suffix = code.rsplit('.')
|
||||
exchange = TO_VN_Exchange_map[suffix]
|
||||
for data in data_list:
|
||||
ask_price = data['askPrice']
|
||||
ask_vol = data['askVol']
|
||||
bid_price = data['bidPrice']
|
||||
bid_vol = data['bidVol']
|
||||
dt = timestamp_to_datetime(data['time'])
|
||||
dt = dt.replace(tzinfo=ZONE_INFO)
|
||||
tick = TickData(
|
||||
gateway_name=self.gateway.gateway_name,
|
||||
symbol=symbol,
|
||||
exchange=exchange,
|
||||
datetime=dt,
|
||||
last_price=data['lastPrice'],
|
||||
volume=data['volume'],
|
||||
open_price=data['open'],
|
||||
high_price=data['high'],
|
||||
low_price=data['low'],
|
||||
pre_close=data['lastClose'],
|
||||
limit_down=0,
|
||||
limit_up=0,
|
||||
ask_price_1=ask_price[0],
|
||||
ask_price_2=ask_price[1],
|
||||
ask_price_3=ask_price[2],
|
||||
ask_price_4=ask_price[3],
|
||||
ask_price_5=ask_price[4],
|
||||
|
||||
ask_volume_1=ask_vol[0],
|
||||
ask_volume_2=ask_vol[1],
|
||||
ask_volume_3=ask_vol[2],
|
||||
ask_volume_4=ask_vol[3],
|
||||
ask_volume_5=ask_vol[4],
|
||||
|
||||
bid_price_1=bid_price[0],
|
||||
bid_price_2=bid_price[1],
|
||||
bid_price_3=bid_price[2],
|
||||
bid_price_4=bid_price[3],
|
||||
bid_price_5=bid_price[4],
|
||||
|
||||
bid_volume_1=bid_vol[0],
|
||||
bid_volume_2=bid_vol[1],
|
||||
bid_volume_3=bid_vol[2],
|
||||
bid_volume_4=bid_vol[3],
|
||||
bid_volume_5=bid_vol[4],
|
||||
)
|
||||
contract = self.gateway.get_contract(tick.vt_symbol)
|
||||
if contract:
|
||||
tick.name = contract.name
|
||||
tick.limit_up = self.limit_ups.get(tick.vt_symbol, None)
|
||||
tick.limit_down = self.limit_downs.get(tick.vt_symbol, None)
|
||||
self.gateway.on_tick(tick)
|
||||
|
||||
def write_log(self, msg):
|
||||
self.gateway.write_log(f"[ md ] {msg}")
|
||||
@@ -0,0 +1,118 @@
|
||||
# -*- coding:utf-8 -*-
|
||||
"""
|
||||
@FileName :qmt_gateway.py
|
||||
@Time :2022/11/8 16:49
|
||||
@Author :fsksf
|
||||
"""
|
||||
from typing import Dict, List
|
||||
from vnpy.event import Event, EventEngine
|
||||
from vnpy.trader.event import (
|
||||
EVENT_TIMER,
|
||||
EVENT_TICK
|
||||
)
|
||||
from vnpy.trader.constant import (
|
||||
Product, Direction, OrderType, Exchange
|
||||
|
||||
)
|
||||
from vnpy.trader.gateway import BaseGateway
|
||||
from vnpy.trader.object import (
|
||||
OrderRequest,
|
||||
CancelRequest,
|
||||
SubscribeRequest,
|
||||
ContractData,
|
||||
)
|
||||
|
||||
from vnpy_qmt.md import MD
|
||||
from vnpy_qmt.td import TD
|
||||
|
||||
|
||||
class QmtGateway(BaseGateway):
|
||||
|
||||
default_name = "QMT"
|
||||
|
||||
default_setting: Dict[str, str] = {
|
||||
"交易账号": "",
|
||||
"mini路径": ""
|
||||
}
|
||||
|
||||
TRADE_TYPE = (Product.ETF, Product.EQUITY, Product.BOND, Product.INDEX)
|
||||
exchanges = (Exchange.SSE, Exchange.SZSE)
|
||||
|
||||
def __init__(self, event_engine: EventEngine, gateway_name: str = 'QMT'):
|
||||
super(QmtGateway, self).__init__(event_engine, gateway_name)
|
||||
self.contracts: Dict[str, ContractData] = {}
|
||||
self.md = MD(self)
|
||||
self.td = TD(self)
|
||||
self.count = -1
|
||||
self.event_engine.register(EVENT_TIMER, self.process_timer_event)
|
||||
|
||||
def connect(self, setting: dict) -> None:
|
||||
self.md.connect(setting)
|
||||
self.td.connect(setting)
|
||||
|
||||
def close(self) -> None:
|
||||
self.md.close()
|
||||
|
||||
def subscribe(self, req: SubscribeRequest) -> None:
|
||||
return self.md.subscribe(req)
|
||||
|
||||
def send_order(self, req: OrderRequest) -> str:
|
||||
return self.td.send_order(req)
|
||||
|
||||
def cancel_order(self, req: CancelRequest) -> None:
|
||||
return self.td.cancel_order(req.orderid)
|
||||
|
||||
def query_account(self) -> None:
|
||||
self.td.query_account()
|
||||
|
||||
def query_position(self) -> None:
|
||||
self.td.query_position()
|
||||
|
||||
def query_order(self):
|
||||
self.td.query_order()
|
||||
|
||||
def query_trade(self):
|
||||
self.td.query_trade()
|
||||
|
||||
def on_contract(self, contract):
|
||||
self.contracts[contract.vt_symbol] = contract
|
||||
super(QmtGateway, self).on_contract(contract)
|
||||
|
||||
def get_contract(self, vt_symbol):
|
||||
return self.contracts.get(vt_symbol)
|
||||
|
||||
def process_timer_event(self, event) -> None:
|
||||
if not self.td.inited:
|
||||
return
|
||||
if self.count == -1:
|
||||
self.query_trade()
|
||||
self.count += 1
|
||||
|
||||
if self.count % 5 == 0:
|
||||
self.query_order()
|
||||
|
||||
if self.count % 7 == 0:
|
||||
self.query_account()
|
||||
self.query_position()
|
||||
if self.count < 21:
|
||||
return
|
||||
self.count = 0
|
||||
|
||||
def write_log(self, msg):
|
||||
super(QmtGateway, self).write_log(f"[QMT] {msg}")
|
||||
|
||||
|
||||
if __name__ == '__main__':
|
||||
qmt = QmtGateway(None)
|
||||
qmt.subscribe(SubscribeRequest(symbol='000001', exchange=Exchange.SZSE))
|
||||
qmt.md.get_contract()
|
||||
|
||||
import threading
|
||||
import time
|
||||
|
||||
def slp():
|
||||
while True:
|
||||
time.sleep(0.1)
|
||||
t = threading.Thread(target=slp)
|
||||
t.start()
|
||||
t.join()
|
||||
@@ -0,0 +1,227 @@
|
||||
# -*- coding:utf-8 -*-
|
||||
"""
|
||||
@FileName :td.py
|
||||
@Time :2022/11/8 17:14
|
||||
@Author :fsksf
|
||||
"""
|
||||
import os
|
||||
import random
|
||||
from typing import Dict
|
||||
import datetime
|
||||
|
||||
from xtquant.xttrader import XtQuantTraderCallback, XtQuantTrader
|
||||
from xtquant.xttype import (
|
||||
XtTrade, XtAsset, XtOrder, XtOrderError, XtCreditOrder, XtOrderResponse,
|
||||
XtPosition, XtCreditDeal, XtCancelError, XtCancelOrderResponse, StockAccount
|
||||
)
|
||||
from vnpy.trader.constant import Direction, Status, Product
|
||||
from vnpy.trader.object import (
|
||||
AccountData, TradeData, OrderData, OrderRequest, PositionData
|
||||
)
|
||||
from vnpy_qmt.utils import (to_vn_product, to_vn_contract, to_qmt_code,
|
||||
From_VN_Trade_Type, from_vn_price_type, TO_VN_Trade_Type,
|
||||
timestamp_to_datetime, TO_VN_ORDER_STATUS)
|
||||
|
||||
|
||||
class TD(XtQuantTraderCallback):
|
||||
|
||||
def __init__(self, gateway, *args, **kwargs):
|
||||
super(TD, self).__init__(*args, **kwargs)
|
||||
self.gateway = gateway
|
||||
self.count = 0
|
||||
self.session_id = int(datetime.datetime.now().strftime('%H%M%S'))
|
||||
|
||||
self.trader: XtQuantTrader = None
|
||||
self.account = None
|
||||
self.mini_path = None
|
||||
self.inited = False
|
||||
self.orders: Dict[str, OrderData] = {}
|
||||
self.traders: Dict[str, TradeData] = {}
|
||||
|
||||
def connect(self, settings: dict):
|
||||
account = settings['交易账号']
|
||||
self.mini_path = path = settings['mini路径']
|
||||
acc = StockAccount(account)
|
||||
self.account = acc
|
||||
self.trader = XtQuantTrader(path=path, session=self.session_id)
|
||||
self.trader.register_callback(self)
|
||||
self.trader.start()
|
||||
self.write_log('连接QMT')
|
||||
cnn_msg = self.trader.connect()
|
||||
if cnn_msg == 0:
|
||||
self.write_log('连接成功')
|
||||
else:
|
||||
self.write_log(f'连接失败：{cnn_msg}')
|
||||
sub_msg = self.trader.subscribe(account=acc)
|
||||
if sub_msg == 0:
|
||||
self.write_log(f'订阅账户成功： {sub_msg}')
|
||||
self.inited = True
|
||||
else:
|
||||
self.write_log(f'订阅账户【失败】： {sub_msg}')
|
||||
|
||||
def get_order_remark(self):
|
||||
self.count += 1
|
||||
mark = f'{str(self.session_id)}#{self.count}'
|
||||
return mark
|
||||
|
||||
def send_order(self, req: OrderRequest):
|
||||
vn_oid = self.get_order_remark()
|
||||
seq = self.trader.order_stock_async(
|
||||
account=self.account,
|
||||
stock_code=to_qmt_code(symbol=req.symbol, exchange=req.exchange),
|
||||
order_type=From_VN_Trade_Type[req.direction],
|
||||
price_type=from_vn_price_type(req),
|
||||
order_volume=int(req.volume),
|
||||
price=req.price,
|
||||
order_remark=vn_oid,
|
||||
)
|
||||
order = OrderData(gateway_name=self.gateway.gateway_name,
|
||||
symbol=req.symbol,
|
||||
exchange=req.exchange,
|
||||
orderid=vn_oid,
|
||||
type=req.type,
|
||||
direction=req.direction,
|
||||
offset=req.offset,
|
||||
volume=req.volume,
|
||||
price=req.price,
|
||||
status=Status.SUBMITTING)
|
||||
self.orders[order.orderid] = order
|
||||
return order.vt_orderid
|
||||
|
||||
def cancel_order(self, order_id):
|
||||
order = self.orders.get(order_id)
|
||||
if order is None:
|
||||
return
|
||||
return self.trader.cancel_order_stock_async(account=self.account, order_id=order.reference)
|
||||
|
||||
def query_account(self):
|
||||
return self.trader.query_stock_asset_async(self.account, callback=self.on_stock_asset)
|
||||
|
||||
def query_position(self):
|
||||
return self.trader.query_stock_positions_async(self.account, callback=self.on_stock_positions_callback)
|
||||
|
||||
def query_order(self):
|
||||
self.trader.query_stock_orders_async(self.account, callback=self.on_stock_order_callback)
|
||||
|
||||
def query_trade(self):
|
||||
self.trader.query_stock_trades_async(self.account, callback=self.on_stock_trade_callback)
|
||||
|
||||
def on_disconnected(self):
|
||||
pass
|
||||
|
||||
def on_stock_asset(self, asset: XtAsset):
|
||||
account = AccountData(
|
||||
accountid=asset.account_id,
|
||||
frozen=asset.frozen_cash,
|
||||
balance=asset.total_asset,
|
||||
gateway_name=self.gateway.gateway_name
|
||||
)
|
||||
self.gateway.on_account(account)
|
||||
|
||||
def on_stock_order_callback(self, order_list):
|
||||
for order in order_list:
|
||||
self.on_stock_order(order)
|
||||
|
||||
def on_stock_positions_callback(self, pos_list):
|
||||
for pos in pos_list:
|
||||
self.on_stock_position(pos)
|
||||
|
||||
def on_stock_trade_callback(self, trade_list):
|
||||
for trade in trade_list:
|
||||
self.on_stock_trade(trade)
|
||||
|
||||
def on_stock_order(self, order: XtOrder):
|
||||
symbol, exchange = to_vn_contract(order.stock_code)
|
||||
remark_id = order.order_remark
|
||||
vn_order = OrderData(
|
||||
orderid=remark_id,
|
||||
symbol=symbol,
|
||||
exchange=exchange,
|
||||
price=order.price,
|
||||
volume=order.order_volume,
|
||||
traded=order.traded_volume,
|
||||
gateway_name=self.gateway.gateway_name,
|
||||
status=TO_VN_ORDER_STATUS[order.order_status],
|
||||
direction=TO_VN_Trade_Type[order.order_type],
|
||||
datetime=timestamp_to_datetime(order.order_time),
|
||||
reference=order.order_id
|
||||
)
|
||||
old_order = self.orders.get(vn_order.orderid, None)
|
||||
if old_order == vn_order:
|
||||
return
|
||||
if vn_order.status == Status.REJECTED:
|
||||
self.write_log(f'【拒单】 {order.status_msg}')
|
||||
self.orders[vn_order.orderid] = vn_order
|
||||
self.gateway.on_order(vn_order)
|
||||
|
||||
def on_stock_position(self, position: XtPosition):
|
||||
try:
|
||||
symbol, exchange = to_vn_contract(position.stock_code)
|
||||
except Exception as e:
|
||||
print(f"on_stock_position 无法解析的代码： {position.stock_code}")
|
||||
return
|
||||
# TODO ETF相关字段处理
|
||||
position_ = PositionData(
|
||||
gateway_name=self.gateway.gateway_name,
|
||||
symbol=symbol,
|
||||
exchange=exchange,
|
||||
direction=Direction.LONG,
|
||||
volume=position.volume,
|
||||
yd_volume=position.yesterday_volume,
|
||||
price=position.open_price,
|
||||
pnl=position.market_value - position.volume * position.open_price
|
||||
)
|
||||
contract = self.gateway.get_contract(position_.vt_symbol)
|
||||
if contract:
|
||||
position_.product = contract.product
|
||||
position_.__post_init__()
|
||||
self.gateway.on_position(position_)
|
||||
|
||||
def on_stock_trade(self, trade: XtTrade):
|
||||
symbol, exchange = to_vn_contract(trade.stock_code)
|
||||
vn_oid = trade.order_remark
|
||||
if vn_oid is None:
|
||||
return
|
||||
order = self.orders.get(vn_oid)
|
||||
if order is None:
|
||||
return
|
||||
trd_typ = TO_VN_Trade_Type[trade.order_type]
|
||||
trade_ = TradeData(
|
||||
gateway_name=self.gateway.gateway_name,
|
||||
symbol=symbol,
|
||||
exchange=exchange,
|
||||
orderid=vn_oid,
|
||||
tradeid=trade.traded_id,
|
||||
price=trade.traded_price,
|
||||
datetime=timestamp_to_datetime(trade.traded_time),
|
||||
volume=trade.traded_volume,
|
||||
direction=trd_typ
|
||||
)
|
||||
|
||||
self.gateway.on_trade(trade_)
|
||||
|
||||
def on_cancel_error(self, cancel_error: XtCancelError):
|
||||
self.write_log(cancel_error.error_msg)
|
||||
|
||||
def on_order_error(self, order_error: XtOrderError):
|
||||
self.write_log(f'订单错误：{order_error.error_msg}')
|
||||
vn_oid = order_error.order_remark
|
||||
old_order = self.orders.get(vn_oid)
|
||||
if old_order:
|
||||
old_order.status = Status.REJECTED
|
||||
self.gateway.on_order(old_order)
|
||||
|
||||
def on_order_stock_async_response(self, response: XtOrderResponse):
|
||||
self.write_log(f'下单成功 {response.order_id} {response.order_remark} {response.strategy_name}')
|
||||
old_order = self.orders.get(response.order_remark)
|
||||
if old_order:
|
||||
if response.error_msg:
|
||||
old_order.status = Status.REJECTED
|
||||
self.write_log(f'下单失败 {response.order_remark} 原因： {response.error_msg}')
|
||||
self.gateway.on_order(old_order)
|
||||
|
||||
def on_cancel_order_stock_async_response(self, response: XtCancelOrderResponse):
|
||||
self.write_log(f'撤单结果： {response.cancel_result}')
|
||||
|
||||
def write_log(self, msg):
|
||||
self.gateway.write_log(f'[ td ] {msg}')
|
||||
@@ -0,0 +1,88 @@
|
||||
# -*- coding:utf-8 -*-
|
||||
"""
|
||||
@FileName :utils.py
|
||||
@Time :2022/11/8 17:07
|
||||
@Author :fsksf
|
||||
"""
|
||||
import datetime
|
||||
from vnpy.trader.object import OrderRequest
|
||||
from vnpy.trader.constant import Exchange, Product, OrderType, Direction, Status
|
||||
from xtquant import xtconstant
|
||||
|
||||
From_VN_Exchange_map = {
|
||||
Exchange.CFFEX: 'CFF',
|
||||
Exchange.SSE: 'SH',
|
||||
Exchange.SZSE: 'SZ',
|
||||
Exchange.SHFE: 'SHF',
|
||||
Exchange.CZCE: 'CZC',
|
||||
Exchange.DCE: 'DCE',
|
||||
}
|
||||
|
||||
TO_VN_Exchange_map = {v: k for k, v in From_VN_Exchange_map.items()}
|
||||
|
||||
|
||||
From_VN_Trade_Type = {
|
||||
Direction.LONG: xtconstant.STOCK_BUY,
|
||||
Direction.SHORT: xtconstant.STOCK_SELL,
|
||||
}
|
||||
|
||||
|
||||
TO_VN_Trade_Type = {v: k for k, v in From_VN_Trade_Type.items()}
|
||||
|
||||
|
||||
TO_VN_ORDER_STATUS = {
|
||||
xtconstant.ORDER_UNREPORTED: Status.SUBMITTING,
|
||||
xtconstant.ORDER_WAIT_REPORTING: Status.SUBMITTING,
|
||||
xtconstant.ORDER_REPORTED: Status.NOTTRADED,
|
||||
xtconstant.ORDER_REPORTED_CANCEL: Status.NOTTRADED,
|
||||
xtconstant.ORDER_PARTSUCC_CANCEL: Status.PARTTRADED,
|
||||
xtconstant.ORDER_PART_CANCEL: Status.CANCELLED,
|
||||
xtconstant.ORDER_CANCELED: Status.CANCELLED,
|
||||
xtconstant.ORDER_PART_SUCC: Status.PARTTRADED,
|
||||
xtconstant.ORDER_SUCCEEDED: Status.ALLTRADED,
|
||||
xtconstant.ORDER_JUNK: Status.REJECTED,
|
||||
xtconstant.ORDER_UNKNOWN: Status.REJECTED
|
||||
}
|
||||
|
||||
|
||||
def from_vn_price_type(req: OrderRequest):
|
||||
if req.type == OrderType.LIMIT:
|
||||
return xtconstant.FIX_PRICE
|
||||
elif req.type == OrderType.MARKET:
|
||||
return xtconstant.LATEST_PRICE
|
||||
|
||||
|
||||
def to_vn_contract(symbol):
|
||||
code, suffix = symbol.rsplit('.')
|
||||
exchange = TO_VN_Exchange_map[suffix]
|
||||
return code, exchange
|
||||
|
||||
|
||||
TO_VN_Product = {
|
||||
'index': Product.INDEX,
|
||||
'stock': Product.EQUITY,
|
||||
'fund': Product.FUND,
|
||||
'etf': Product.ETF,
|
||||
}
|
||||
|
||||
|
||||
def to_vn_product(dic: dict):
|
||||
if dic.get('etf'):
|
||||
return Product.ETF
|
||||
for k, v in dic.items():
|
||||
if v:
|
||||
break
|
||||
return TO_VN_Product[k]
|
||||
|
||||
|
||||
def to_qmt_code(symbol, exchange):
|
||||
suffix = From_VN_Exchange_map[exchange]
|
||||
return f'{symbol}.{suffix}'
|
||||
|
||||
|
||||
def timestamp_to_datetime(tint):
|
||||
st = len(str(tint))
|
||||
if st != 10:
|
||||
p = st - 10
|
||||
tint = tint / 10**p
|
||||
return datetime.datetime.fromtimestamp(tint)
|
||||
Reference in New Issue
Block a user