claude_dev
70d72f35bb
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
150 lines
5.5 KiB
Python
150 lines
5.5 KiB
Python
# -*- coding:utf-8 -*-
|
|
"""
|
|
@FileName :md.py
|
|
@Time :2022/11/8 17:14
|
|
@Author :fsksf
|
|
"""
|
|
|
|
from vnpy.trader.object import (
|
|
CancelRequest, OrderRequest, SubscribeRequest, TickData,
|
|
ContractData
|
|
)
|
|
import xtquant.xtdata
|
|
import xtquant.xttrader
|
|
import xtquant.xttype
|
|
from vnpy_qmt.utils import (
|
|
From_VN_Exchange_map, TO_VN_Exchange_map, to_vn_contract,
|
|
TO_VN_Product, to_vn_product, timestamp_to_datetime,
|
|
to_qmt_code
|
|
)
|
|
from vnpy.trader.utility import ZoneInfo
|
|
|
|
ZONE_INFO = ZoneInfo("Asia/Shanghai")
|
|
|
|
|
|
class MD:
|
|
|
|
def __init__(self, gateway):
|
|
self.gateway = gateway
|
|
self.th = None
|
|
self.limit_ups = {}
|
|
self.limit_downs = {}
|
|
|
|
def close(self) -> None:
|
|
pass
|
|
|
|
def subscribe(self, req: SubscribeRequest) -> None:
|
|
|
|
return xtquant.xtdata.subscribe_quote(
|
|
stock_code=f'{req.symbol}.{From_VN_Exchange_map[req.exchange]}',
|
|
period='tick',
|
|
callback=self.on_tick
|
|
)
|
|
|
|
def connect(self, setting: dict) -> None:
|
|
self.get_contract()
|
|
return
|
|
|
|
def get_contract(self):
|
|
self.write_log('开始获取标的信息')
|
|
contract_ids = set()
|
|
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',
|
|
]
|
|
for sector in bk:
|
|
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}") |