wehub-resource-sync
428 lines
10 KiB
Python
428 lines
10 KiB
Python
"""
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Basic data structure used for general trading function in the trading platform.
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"""
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from dataclasses import dataclass, field
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from datetime import datetime as Datetime
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from .constant import Direction, Exchange, Interval, Offset, Status, Product, OptionType, OrderType
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INFO: int = 20
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ACTIVE_STATUSES = set([Status.SUBMITTING, Status.NOTTRADED, Status.PARTTRADED])
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@dataclass
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class BaseData:
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"""
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Any data object needs a gateway_name as source
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and should inherit base data.
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"""
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gateway_name: str
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extra: dict | None = field(default=None, init=False)
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@dataclass
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class TickData(BaseData):
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"""
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Tick data contains information about:
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* last trade in market
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* orderbook snapshot
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* intraday market statistics.
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"""
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symbol: str
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exchange: Exchange
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datetime: Datetime
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name: str = ""
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volume: float = 0
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turnover: float = 0
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open_interest: float = 0
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last_price: float = 0
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last_volume: float = 0
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limit_up: float = 0
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limit_down: float = 0
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open_price: float = 0
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high_price: float = 0
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low_price: float = 0
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pre_close: float = 0
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bid_price_1: float = 0
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bid_price_2: float = 0
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bid_price_3: float = 0
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bid_price_4: float = 0
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bid_price_5: float = 0
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ask_price_1: float = 0
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ask_price_2: float = 0
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ask_price_3: float = 0
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ask_price_4: float = 0
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ask_price_5: float = 0
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bid_volume_1: float = 0
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bid_volume_2: float = 0
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bid_volume_3: float = 0
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bid_volume_4: float = 0
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bid_volume_5: float = 0
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ask_volume_1: float = 0
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ask_volume_2: float = 0
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ask_volume_3: float = 0
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ask_volume_4: float = 0
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ask_volume_5: float = 0
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localtime: Datetime | None = None
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def __post_init__(self) -> None:
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""""""
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self.vt_symbol: str = f"{self.symbol}.{self.exchange.value}"
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@dataclass
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class BarData(BaseData):
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"""
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Candlestick bar data of a certain trading period.
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"""
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symbol: str
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exchange: Exchange
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datetime: Datetime
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interval: Interval | None = None
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volume: float = 0
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turnover: float = 0
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open_interest: float = 0
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open_price: float = 0
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high_price: float = 0
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low_price: float = 0
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close_price: float = 0
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def __post_init__(self) -> None:
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""""""
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self.vt_symbol: str = f"{self.symbol}.{self.exchange.value}"
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@dataclass
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class OrderData(BaseData):
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"""
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Order data contains information for tracking lastest status
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of a specific order.
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"""
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symbol: str
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exchange: Exchange
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orderid: str
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type: OrderType = OrderType.LIMIT
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direction: Direction | None = None
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offset: Offset = Offset.NONE
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price: float = 0
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volume: float = 0
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traded: float = 0
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status: Status = Status.SUBMITTING
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datetime: Datetime | None = None
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reference: str = ""
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def __post_init__(self) -> None:
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""""""
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self.vt_symbol: str = f"{self.symbol}.{self.exchange.value}"
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self.vt_orderid: str = f"{self.gateway_name}.{self.orderid}"
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def is_active(self) -> bool:
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"""
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Check if the order is active.
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"""
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return self.status in ACTIVE_STATUSES
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def create_cancel_request(self) -> "CancelRequest":
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"""
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Create cancel request object from order.
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"""
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req: CancelRequest = CancelRequest(
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orderid=self.orderid, symbol=self.symbol, exchange=self.exchange
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)
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return req
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@dataclass
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class TradeData(BaseData):
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"""
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Trade data contains information of a fill of an order. One order
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can have several trade fills.
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"""
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symbol: str
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exchange: Exchange
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orderid: str
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tradeid: str
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direction: Direction | None = None
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offset: Offset = Offset.NONE
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price: float = 0
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volume: float = 0
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datetime: Datetime | None = None
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def __post_init__(self) -> None:
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""""""
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self.vt_symbol: str = f"{self.symbol}.{self.exchange.value}"
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self.vt_orderid: str = f"{self.gateway_name}.{self.orderid}"
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self.vt_tradeid: str = f"{self.gateway_name}.{self.tradeid}"
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@dataclass
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class PositionData(BaseData):
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"""
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Position data is used for tracking each individual position holding.
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"""
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symbol: str
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exchange: Exchange
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direction: Direction
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volume: float = 0
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frozen: float = 0
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price: float = 0
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pnl: float = 0
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yd_volume: float = 0
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def __post_init__(self) -> None:
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""""""
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self.vt_symbol: str = f"{self.symbol}.{self.exchange.value}"
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self.vt_positionid: str = f"{self.gateway_name}.{self.vt_symbol}.{self.direction.value}"
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@dataclass
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class AccountData(BaseData):
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"""
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Account data contains information about balance, frozen and
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available.
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"""
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accountid: str
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balance: float = 0
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frozen: float = 0
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def __post_init__(self) -> None:
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""""""
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self.available: float = self.balance - self.frozen
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self.vt_accountid: str = f"{self.gateway_name}.{self.accountid}"
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@dataclass
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class LogData(BaseData):
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"""
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Log data is used for recording log messages on GUI or in log files.
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"""
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msg: str
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level: int = INFO
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def __post_init__(self) -> None:
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""""""
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self.time: Datetime = Datetime.now()
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@dataclass
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class ContractData(BaseData):
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"""
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Contract data contains basic information about each contract traded.
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"""
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symbol: str
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exchange: Exchange
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name: str
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product: Product
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size: float
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pricetick: float
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min_volume: float = 1 # minimum order volume
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max_volume: float | None = None # maximum order volume
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stop_supported: bool = False # whether server supports stop order
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net_position: bool = False # whether gateway uses net position volume
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history_data: bool = False # whether gateway provides bar history data
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option_strike: float | None = None
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option_underlying: str | None = None # vt_symbol of underlying contract
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option_type: OptionType | None = None
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option_listed: Datetime | None = None
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option_expiry: Datetime | None = None
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option_portfolio: str | None = None
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option_index: str | None = None # for identifying options with same strike price
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def __post_init__(self) -> None:
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""""""
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self.vt_symbol: str = f"{self.symbol}.{self.exchange.value}"
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@dataclass
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class QuoteData(BaseData):
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"""
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Quote data contains information for tracking lastest status
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of a specific quote.
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"""
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symbol: str
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exchange: Exchange
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quoteid: str
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bid_price: float = 0.0
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bid_volume: int = 0
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ask_price: float = 0.0
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ask_volume: int = 0
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bid_offset: Offset = Offset.NONE
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ask_offset: Offset = Offset.NONE
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status: Status = Status.SUBMITTING
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datetime: Datetime | None = None
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reference: str = ""
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def __post_init__(self) -> None:
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""""""
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self.vt_symbol: str = f"{self.symbol}.{self.exchange.value}"
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self.vt_quoteid: str = f"{self.gateway_name}.{self.quoteid}"
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def is_active(self) -> bool:
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"""
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Check if the quote is active.
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"""
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return self.status in ACTIVE_STATUSES
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def create_cancel_request(self) -> "CancelRequest":
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"""
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Create cancel request object from quote.
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"""
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req: CancelRequest = CancelRequest(
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orderid=self.quoteid, symbol=self.symbol, exchange=self.exchange
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)
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return req
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@dataclass
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class SubscribeRequest:
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"""
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Request sending to specific gateway for subscribing tick data update.
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"""
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symbol: str
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exchange: Exchange
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def __post_init__(self) -> None:
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""""""
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self.vt_symbol: str = f"{self.symbol}.{self.exchange.value}"
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@dataclass
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class OrderRequest:
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"""
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Request sending to specific gateway for creating a new order.
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"""
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symbol: str
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exchange: Exchange
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direction: Direction
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type: OrderType
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volume: float
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price: float = 0
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offset: Offset = Offset.NONE
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reference: str = ""
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def __post_init__(self) -> None:
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""""""
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self.vt_symbol: str = f"{self.symbol}.{self.exchange.value}"
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def create_order_data(self, orderid: str, gateway_name: str) -> OrderData:
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"""
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Create order data from request.
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"""
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order: OrderData = OrderData(
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symbol=self.symbol,
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exchange=self.exchange,
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orderid=orderid,
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type=self.type,
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direction=self.direction,
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offset=self.offset,
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price=self.price,
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volume=self.volume,
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reference=self.reference,
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gateway_name=gateway_name,
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)
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return order
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@dataclass
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class CancelRequest:
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"""
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Request sending to specific gateway for canceling an existing order.
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"""
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orderid: str
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symbol: str
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exchange: Exchange
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def __post_init__(self) -> None:
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""""""
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self.vt_symbol: str = f"{self.symbol}.{self.exchange.value}"
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@dataclass
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class HistoryRequest:
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"""
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Request sending to specific gateway for querying history data.
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"""
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symbol: str
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exchange: Exchange
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start: Datetime
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end: Datetime | None = None
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interval: Interval | None = None
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def __post_init__(self) -> None:
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""""""
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self.vt_symbol: str = f"{self.symbol}.{self.exchange.value}"
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@dataclass
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class QuoteRequest:
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"""
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Request sending to specific gateway for creating a new quote.
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"""
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symbol: str
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exchange: Exchange
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bid_price: float
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bid_volume: int
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ask_price: float
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ask_volume: int
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bid_offset: Offset = Offset.NONE
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ask_offset: Offset = Offset.NONE
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reference: str = ""
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def __post_init__(self) -> None:
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""""""
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self.vt_symbol: str = f"{self.symbol}.{self.exchange.value}"
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def create_quote_data(self, quoteid: str, gateway_name: str) -> QuoteData:
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"""
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Create quote data from request.
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"""
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quote: QuoteData = QuoteData(
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symbol=self.symbol,
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exchange=self.exchange,
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quoteid=quoteid,
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bid_price=self.bid_price,
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bid_volume=self.bid_volume,
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ask_price=self.ask_price,
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ask_volume=self.ask_volume,
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bid_offset=self.bid_offset,
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ask_offset=self.ask_offset,
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reference=self.reference,
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gateway_name=gateway_name,
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)
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return quote
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