httptrading 1.0.6__py3-none-any.whl → 1.0.8__py3-none-any.whl

httptrading/__init__.py

@@ -3,5 +3,6 @@ from httptrading.broker.futu_sec import *
 from httptrading.broker.longbridge import *
 from httptrading.broker.tiger import *
 from httptrading.broker.interactive_brokers import *
+from httptrading.broker.moomoo_sec import *
 from httptrading.http_server import *
 from httptrading.model import HtGlobalConfig

httptrading/broker/interactive_brokers.py

@@ -107,7 +107,7 @@ class InteractiveBrokers(SecuritiesBroker):
             ib_socket = self._client
             if ib_socket:
                 try:
-                    ib_dt = await ib_socket.reqCurrentTimeAsync()
+                    ib_dt = await asyncio.wait_for(ib_socket.reqCurrentTimeAsync(), 2)
                     now = TimeTools.utc_now()
                     if TimeTools.timedelta(ib_dt, seconds=self.timeout) <= now:
                         raise TimeoutError

httptrading/broker/longbridge.py

@@ -124,13 +124,13 @@ class LongBridge(SecuritiesBroker):
         # https://open.longportapp.com/zh-CN/docs/trade/trade-definition#orderstatus
         from longport.openapi import OrderStatus, PushOrderChanged, OrderDetail
 
-        canceled_endings = {OrderStatus.Canceled, }
-        bad_endings = {
+        canceled_endings = [OrderStatus.Canceled, ]
+        bad_endings = [
             OrderStatus.Rejected,
             OrderStatus.Expired,
             OrderStatus.PartialWithdrawal,
-        }
-        pending_cancel_sets = {OrderStatus.PendingCancel, }
+        ]
+        pending_cancel_sets = [OrderStatus.PendingCancel, ]
 
         if isinstance(lp_order, PushOrderChanged):
             status = lp_order.status
@@ -146,7 +146,7 @@ class LongBridge(SecuritiesBroker):
         return reason, is_canceled, is_pending_cancel
 
     def _when_create_client(self):
-        from longport.openapi import PushOrderChanged, TopicType, OrderStatus
+        from longport.openapi import PushOrderChanged, TopicType
 
         def _on_order_changed(event: PushOrderChanged):
             reason, is_canceled, is_pending_cancel = self._order_status(event)

httptrading/broker/moomoo_sec.py

@@ -0,0 +1,395 @@
+"""
+接入moomoo的API文档
+https://openapi.moomoo.com/moomoo-api-doc/
+"""
+from datetime import datetime
+from httptrading.broker.base import *
+from httptrading.broker.futu_sec import Futu
+from httptrading.model import *
+from httptrading.tool.time import *
+
+
+@broker_register(name='moomoo', display='moomoo', detect_pkg=DetectPkg('moomoo-api', 'moomoo'))
+class Moomoo(Futu):
+    def _on_init(self):
+        from moomoo import SysConfig, OpenQuoteContext, OpenSecTradeContext, SecurityFirm, TrdMarket, TrdEnv
+
+        config_dict = self.broker_args
+        self._trd_env: str = config_dict.get('trade_env', TrdEnv.REAL) or TrdEnv.REAL
+        pk_path = config_dict.get('pk_path', '')
+        self._unlock_pin = config_dict.get('unlock_pin', '')
+        if pk_path:
+            SysConfig.enable_proto_encrypt(is_encrypt=True)
+            SysConfig.set_init_rsa_file(pk_path)
+        if self._trade_client is None:
+            SysConfig.set_all_thread_daemon(True)
+            host = config_dict.get('host', '127.0.0.1')
+            port = config_dict.get('port', 11111)
+            trade_ctx = OpenSecTradeContext(
+                filter_trdmarket=TrdMarket.US,
+                host=host,
+                port=port,
+                security_firm=SecurityFirm.FUTUINC,
+            )
+            trade_ctx.set_sync_query_connect_timeout(6.0)
+            self._trade_client = trade_ctx
+            self._when_create_client()
+        if self._quote_client is None:
+            SysConfig.set_all_thread_daemon(True)
+            host = config_dict.get('host', '127.0.0.1')
+            port = config_dict.get('port', 11111)
+            quote_ctx = OpenQuoteContext(host=host, port=port)
+            quote_ctx.set_sync_query_connect_timeout(6.0)
+            self._quote_client = quote_ctx
+
+    def _when_create_client(self):
+        from moomoo import TradeOrderHandlerBase, RET_OK, OpenSecTradeContext
+
+        client: OpenSecTradeContext = self._trade_client
+
+        def _on_recv_rsp(content):
+            for _futu_order in self._df_to_list(content):
+                try:
+                    _order = self._build_order(_futu_order)
+                    self.dump_order(_order)
+                except Exception as _ex:
+                    print(f'[{self.__class__.__name__}]_on_recv_rsp: {_ex}\norder: {_futu_order}')
+
+        class TradeOrderHandler(TradeOrderHandlerBase):
+            def on_recv_rsp(self, rsp_pb):
+                ret, content = super().on_recv_rsp(rsp_pb)
+                if ret == RET_OK:
+                    _on_recv_rsp(content)
+                return ret, content
+
+        client.set_handler(TradeOrderHandler())
+
+    async def start(self):
+        from moomoo import RET_OK, OpenSecTradeContext
+
+        client: OpenSecTradeContext = self._trade_client
+        if HtGlobalConfig.DUMP_ACTIVE_ORDERS:
+            try:
+                ret, data = client.order_list_query(
+                    refresh_cache=True,
+                    trd_env=self._trd_env,
+                )
+            except Exception as e:
+                print(f'[{self.__class__.__name__}]DUMP_ACTIVE_ORDERS: {e}')
+            else:
+                if ret == RET_OK:
+                    futu_orders = self._df_to_list(data)
+                    for futu_order in futu_orders:
+                        try:
+                            order = self._build_order(futu_order)
+                            await self.call_sync(lambda : self.dump_order(order))
+                        except Exception as ex:
+                            print(f'[{self.__class__.__name__}]DUMP_ACTIVE_ORDERS: {ex}\norder: {futu_order}')
+
+    def _positions(self):
+        result = list()
+        from moomoo import RET_OK
+        with self._position_bucket:
+            resp, data = self._trade_client.position_list_query(
+                trd_env=self._trd_env,
+                refresh_cache=True,
+            )
+        if resp != RET_OK:
+            raise Exception(f'返回失败: {resp}')
+        positions = self._df_to_list(data)
+        for d in positions:
+            code = d.get('code')
+            currency = d.get('currency')
+            if not code or not currency:
+                continue
+            contract = self.code_to_contract(code)
+            if not contract:
+                continue
+            qty = int(d['qty'])
+            position = Position(
+                broker=self.broker_name,
+                broker_display=self.broker_display,
+                contract=contract,
+                unit=Unit.Share,
+                currency=currency,
+                qty=qty,
+            )
+            result.append(position)
+        return result
+
+    def _cash(self) -> Cash:
+        from moomoo import RET_OK, Currency
+        with self._assets_bucket:
+            resp, data = self._trade_client.accinfo_query(
+                trd_env=self._trd_env,
+                refresh_cache=True,
+                currency=Currency.USD,
+            )
+        if resp != RET_OK:
+            raise Exception(f'可用资金信息获取失败: {data}')
+        assets = self._df_to_list(data)
+        if len(assets) == 1:
+            cash = Cash(
+                currency='USD',
+                amount=assets[0]['cash'],
+            )
+            return cash
+        else:
+            raise Exception(f'可用资金信息获取不到记录')
+
+    def _market_status(self) -> dict[TradeType, dict[str, MarketStatus] | str]:
+        # 各个市场的状态定义见:
+        # https://openapi.futunn.com/futu-api-doc/qa/quote.html#2090
+        from moomoo import RET_OK
+        sec_result = dict()
+        region_map = {
+            'market_sh': 'CN',
+            'market_hk': 'HK',
+            'market_us': 'US',
+        }
+        status_map = {
+            'CLOSED': UnifiedStatus.CLOSED,
+            'PRE_MARKET_BEGIN': UnifiedStatus.PRE_HOURS,
+            'MORNING': UnifiedStatus.RTH,
+            'AFTERNOON': UnifiedStatus.RTH,
+            'AFTER_HOURS_BEGIN': UnifiedStatus.AFTER_HOURS,
+            'AFTER_HOURS_END': UnifiedStatus.CLOSED, # 根据文档, 盘后收盘时段跟夜盘时段重合
+            'OVERNIGHT': UnifiedStatus.OVERNIGHT,
+            # 这些映射是A股港股市场的映射
+            'REST': UnifiedStatus.REST,
+            'HK_CAS': UnifiedStatus.CLOSED,
+        }
+        client = self._quote_client
+        with self._market_status_bucket:
+            ret, data = client.get_global_state()
+        if ret != RET_OK:
+            raise Exception(f'市场状态接口调用失败: {data}')
+        for k, origin_status in data.items():
+            if k not in region_map:
+                continue
+            region = region_map[k]
+            unified_status = status_map.get(origin_status, UnifiedStatus.UNKNOWN)
+            sec_result[region] = MarketStatus(
+                region=region,
+                origin_status=origin_status,
+                unified_status=unified_status,
+            )
+        return {
+            TradeType.Securities: sec_result,
+        }
+
+    def _quote(self, contract: Contract):
+        from moomoo import RET_OK
+        tz = self.contract_to_tz(contract)
+        code = self.contract_to_code(contract)
+        currency = self.contract_to_currency(contract)
+        with self._snapshot_bucket:
+            ret, data = self._quote_client.get_market_snapshot([code, ])
+        if ret != RET_OK:
+            raise ValueError(f'快照接口调用失败: {data}')
+        table = self._df_to_list(data)
+        if len(table) != 1:
+            raise ValueError(f'快照接口调用无数据: {data}')
+        d = table[0]
+        """
+        格式：yyyy-MM-dd HH:mm:ss
+        港股和 A 股市场默认是北京时间，美股市场默认是美东时间
+        """
+        update_time: str = d['update_time']
+        update_dt = datetime.strptime(update_time, '%Y-%m-%d %H:%M:%S')
+        update_dt = TimeTools.from_params(
+            year=update_dt.year,
+            month=update_dt.month,
+            day=update_dt.day,
+            hour=update_dt.hour,
+            minute=update_dt.minute,
+            second=update_dt.second,
+            tz=tz,
+        )
+        is_tradable = d['sec_status'] == 'NORMAL'
+        return Quote(
+            contract=contract,
+            currency=currency,
+            is_tradable=is_tradable,
+            latest=d['last_price'],
+            pre_close=d['prev_close_price'],
+            open_price=d['open_price'],
+            high_price=d['high_price'],
+            low_price=d['low_price'],
+            time=update_dt,
+        )
+
+    def _try_unlock(self):
+        from moomoo import RET_OK, TrdEnv
+        if self._trd_env != TrdEnv.REAL:
+            return
+        if not self._unlock_pin:
+            return
+        with self._unlock_bucket:
+            ret, data = self._trade_client.unlock_trade(password_md5=self._unlock_pin)
+        if ret != RET_OK:
+            raise Exception(f'解锁交易失败: {data}')
+
+    def _place_order(
+            self,
+            contract: Contract,
+            order_type: OrderType,
+            time_in_force: TimeInForce,
+            lifecycle: Lifecycle,
+            direction: str,
+            qty: int,
+            price: float = None,
+            full_args: dict = None,
+            **kwargs
+    ) -> str:
+        from moomoo import RET_OK, TrdSide, OrderType as FutuOrderType, TimeInForce as FutuTimeInForce, Session
+        if contract.trade_type != TradeType.Securities:
+            raise Exception(f'不支持的下单品种: {contract.trade_type}')
+        if contract.region == 'US' and order_type == OrderType.Market and lifecycle != Lifecycle.RTH:
+            raise Exception(f'交易时段不支持市价单')
+        code = self.contract_to_code(contract)
+        assert qty > 0
+        assert price > 0
+
+        def _map_trade_side():
+            match direction:
+                case 'BUY':
+                    return TrdSide.BUY
+                case 'SELL':
+                    return TrdSide.SELL
+                case _:
+                    raise Exception(f'不支持的买卖方向: {direction}')
+
+        def _map_order_type():
+            match order_type:
+                case OrderType.Market:
+                    return FutuOrderType.MARKET
+                case OrderType.Limit:
+                    return FutuOrderType.NORMAL
+                case _:
+                    raise Exception(f'不支持的订单类型: {order_type}')
+
+        def _map_time_in_force():
+            match time_in_force:
+                case TimeInForce.DAY:
+                    return FutuTimeInForce.DAY
+                case TimeInForce.GTC:
+                    return FutuTimeInForce.GTC
+                case _:
+                    raise Exception(f'不支持的订单有效期: {time_in_force}')
+
+        def _map_lifecycle():
+            match lifecycle:
+                case Lifecycle.RTH:
+                    return Session.RTH
+                case Lifecycle.ETH:
+                    return Session.ETH
+                case Lifecycle.OVERNIGHT:
+                    return Session.OVERNIGHT
+                case _:
+                    raise Exception(f'不支持的交易时段: {lifecycle}')
+
+        self._try_unlock()
+        with self._place_order_bucket:
+            ret, data = self._trade_client.place_order(
+                code=code,
+                price=price or 10.0, # 富途必须要填充这个字段
+                qty=qty,
+                trd_side=_map_trade_side(),
+                order_type=_map_order_type(),
+                time_in_force=_map_time_in_force(),
+                trd_env=self._trd_env,
+                session=_map_lifecycle(),
+            )
+        if ret != RET_OK:
+            raise Exception(f'下单失败: {data}')
+        orders = self._df_to_list(data)
+        assert len(orders) == 1
+        order_id = orders[0]['order_id']
+        assert order_id
+        return order_id
+
+    @classmethod
+    def _build_order(cls, futu_order: dict) -> Order:
+        from moomoo import OrderStatus
+        """
+        富途证券的状态定义
+        NONE = "N/A"                                # 未知状态
+        UNSUBMITTED = "UNSUBMITTED"                 # 未提交
+        WAITING_SUBMIT = "WAITING_SUBMIT"           # 等待提交
+        SUBMITTING = "SUBMITTING"                   # 提交中
+        SUBMIT_FAILED = "SUBMIT_FAILED"             # 提交失败，下单失败
+        TIMEOUT = "TIMEOUT"                         # 处理超时，结果未知
+        SUBMITTED = "SUBMITTED"                     # 已提交，等待成交
+        FILLED_PART = "FILLED_PART"                 # 部分成交
+        FILLED_ALL = "FILLED_ALL"                   # 全部已成
+        CANCELLING_PART = "CANCELLING_PART"         # 正在撤单_部分(部分已成交，正在撤销剩余部分)
+        CANCELLING_ALL = "CANCELLING_ALL"           # 正在撤单_全部
+        CANCELLED_PART = "CANCELLED_PART"           # 部分成交，剩余部分已撤单
+        CANCELLED_ALL = "CANCELLED_ALL"             # 全部已撤单，无成交
+        FAILED = "FAILED"                           # 下单失败，服务拒绝
+        DISABLED = "DISABLED"                       # 已失效
+        DELETED = "DELETED"                         # 已删除，无成交的订单才能删除
+        FILL_CANCELLED = "FILL_CANCELLED"           # 成交被撤销，一般遇不到，意思是已经成交的订单被回滚撤销，成交无效变为废单
+        """
+        canceled_endings = {OrderStatus.CANCELLED_ALL, OrderStatus.CANCELLED_PART, }
+        bad_endings = {
+            OrderStatus.SUBMIT_FAILED,
+            OrderStatus.FAILED,
+            OrderStatus.DISABLED,
+            OrderStatus.DELETED,
+            OrderStatus.FILL_CANCELLED,  # 不清楚对于成交数量有何影响.
+        }
+        pending_cancel_sets = {OrderStatus.CANCELLING_PART, OrderStatus.CANCELLING_ALL, }
+
+        order_id = futu_order['order_id']
+        reason = ''
+        order_status: str = futu_order['order_status']
+        if order_status in bad_endings:
+            reason = order_status
+        is_canceled = order_status in canceled_endings
+        is_pending_cancel = order_status in pending_cancel_sets
+        return Order(
+            order_id=order_id,
+            currency=futu_order['currency'],
+            qty=int(futu_order['qty']),
+            filled_qty=int(futu_order['dealt_qty']),
+            avg_price=futu_order['dealt_avg_price'] or 0.0,
+            error_reason=reason,
+            is_canceled=is_canceled,
+            is_pending_cancel=is_pending_cancel,
+        )
+
+    def _order(self, order_id: str) -> Order:
+        from moomoo import RET_OK
+
+        with self._refresh_order_bucket:
+            ret, data = self._trade_client.order_list_query(
+                order_id=order_id,
+                refresh_cache=True,
+                trd_env=self._trd_env,
+            )
+        if ret != RET_OK:
+            raise Exception(f'调用获取订单失败, 订单: {order_id}')
+        orders = self._df_to_list(data)
+        if len(orders) != 1:
+            raise Exception(f'找不到订单(未完成), 订单: {order_id}')
+        futu_order = orders[0]
+        return self._build_order(futu_order)
+
+    def _cancel_order(self, order_id: str):
+        from moomoo import RET_OK, ModifyOrderOp
+        self._try_unlock()
+        with self._cancel_order_bucket:
+            ret, data = self._trade_client.modify_order(
+                modify_order_op=ModifyOrderOp.CANCEL,
+                order_id=order_id,
+                qty=100,
+                price=10.0,
+                trd_env=self._trd_env,
+            )
+        if ret != RET_OK:
+            raise Exception(f'撤单失败, 订单: {order_id}, 原因: {data}')
+
+
+__all__ = ['Moomoo', ]

httptrading/model.py

@@ -7,6 +7,9 @@ from dataclasses import dataclass, field
 class TradeType(enum.Enum):
     Securities = enum.auto()
     Cryptocurrencies = enum.auto()
+    Indexes = enum.auto()   # 指数
+    Currencies = enum.auto()  # 货币对
+    Yields = enum.auto()  # 利率
 
 
 class Unit(enum.Enum):

{httptrading-1.0.6.dist-info → httptrading-1.0.8.dist-info}/METADATA

@@ -1,6 +1,6 @@
 Metadata-Version: 2.4
 Name: httptrading
-Version: 1.0.6
+Version: 1.0.8
 Summary: 统一交易通道的接口服务
 Author-email: songwei <github@songwei.name>
 License: MIT

{httptrading-1.0.6.dist-info → httptrading-1.0.8.dist-info}/RECORD

@@ -1,18 +1,19 @@
-httptrading/__init__.py,sha256=H2kepS94z3YQWMyvM7R3WVbP4iDYgwGssLcYG24dnPQ,306
+httptrading/__init__.py,sha256=UCsukrBlPmdDKkxN7WQQN0uRLdeAUOu6GXoKW8LVUM0,351
 httptrading/http_server.py,sha256=jj6mVhKly5C6fT1Ew6AMu4rG-7rlofs5FSvcCeIMJmk,9124
-httptrading/model.py,sha256=2oWz3VIIMEiIEX6Jg4itBYdZtJbKEgTMzudvVk1cIJ8,7717
+httptrading/model.py,sha256=EaQoKeMJ_gluRFxWoUjSDwAYzX0cSU0UsdzPtCN8T1U,7834
 httptrading/broker/__init__.py,sha256=47DEQpj8HBSa-_TImW-5JCeuQeRkm5NMpJWZG3hSuFU,0
 httptrading/broker/base.py,sha256=P149UlFyy277y40qHPH9DdvbEy-j1x26QDllXV6XPMg,5664
 httptrading/broker/futu_sec.py,sha256=ztK_vpKAs7qNIfNXcqv_FBWs4gvxoMdaWNjGfb7vodE,20081
-httptrading/broker/interactive_brokers.py,sha256=Myl9dvPKRJ6EQ5nDFYzCLdkGc2k-wpzP6ISlImXkcaY,13218
-httptrading/broker/longbridge.py,sha256=x_QqfiloCJ7bQl47zc6lXmApbRjA782LVOkdfqeYVpI,16282
+httptrading/broker/interactive_brokers.py,sha256=iOqR-9t3l1YPlTUlnQ2_bTWmesSQC6DHCfUJLD4rD9o,13239
+httptrading/broker/longbridge.py,sha256=le3KvXb7LzYz0m170E5VH6ip1Mxuy7AbzSQ6HaA7r-A,16269
+httptrading/broker/moomoo_sec.py,sha256=Wsv-pNcHDyoOzsMkVn-faxU4oen3mqbevsxOs7uKWhw,16118
 httptrading/broker/tiger.py,sha256=tJpkZEayInOlxo2FSKVIHp7nXWBsVC4i6qrSsciNYeA,16226
 httptrading/tool/__init__.py,sha256=47DEQpj8HBSa-_TImW-5JCeuQeRkm5NMpJWZG3hSuFU,0
 httptrading/tool/leaky_bucket.py,sha256=Bvab3Fkn16hhZ1-WLCFcPkbFH_bHHhQ9boLv8HrmGSE,2817
 httptrading/tool/locate.py,sha256=vSIzd09FWKmckkgY3mWtFXQm2Z0VIKv4FCXHT44e61s,2748
 httptrading/tool/time.py,sha256=7eVmZ_td72JLjsBRLjMOHklxltNbOxeN97uSLi7wvIA,2188
-httptrading-1.0.6.dist-info/licenses/LICENSE,sha256=KfMSrfnpo-TOqpCTJqnbcZNl0w7ErxadsMQf8uas_tY,1093
-httptrading-1.0.6.dist-info/METADATA,sha256=wtg2mMM7OJ4IsILR9IEt48Zn645wVyTITqkoC6sqWvs,17519
-httptrading-1.0.6.dist-info/WHEEL,sha256=_zCd3N1l69ArxyTb8rzEoP9TpbYXkqRFSNOD5OuxnTs,91
-httptrading-1.0.6.dist-info/top_level.txt,sha256=rsLGrGN6QubO9ILQRktwrWtxfGsGAmWUnQq7XksKu-4,12
-httptrading-1.0.6.dist-info/RECORD,,
+httptrading-1.0.8.dist-info/licenses/LICENSE,sha256=KfMSrfnpo-TOqpCTJqnbcZNl0w7ErxadsMQf8uas_tY,1093
+httptrading-1.0.8.dist-info/METADATA,sha256=n68WI85Maif_xIyFYKnYNKB6fcyeOrIzyhY1Zc9NTbQ,17519
+httptrading-1.0.8.dist-info/WHEEL,sha256=_zCd3N1l69ArxyTb8rzEoP9TpbYXkqRFSNOD5OuxnTs,91
+httptrading-1.0.8.dist-info/top_level.txt,sha256=rsLGrGN6QubO9ILQRktwrWtxfGsGAmWUnQq7XksKu-4,12
+httptrading-1.0.8.dist-info/RECORD,,