# -*- 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}')