# encoding=utf-8
'''
广发证券的交易接口分为：
1. gfTrader ——普通的证券交易接口
2. gfMarginTrader —— 融资融券证券交易接口
'''
import re
import time
import uuid
from io import BytesIO
import pandas as pd
import pytesseract
import requests
from PIL import Image, ImageFilter
from vxUtils.decorator import retry
from vxTrader import logger
from vxTrader.TraderException import VerifyCodeError, TraderAPIError
from vxTrader.broker.WebTrader import LoginSession, WebTrader, BrokerFactory
from vxTrader.util import code_to_symbols
FLOAT_COLUMNS = [
'order_amount', 'order_price', 'lasttrade', 'current_amount', 'enable_amount', 'market_value',
'enable_balance', 'current_balance', 'net_balance', 'asset_balance', 'business_price', 'business_amount',
'order_amount', 'order_price', 'fund_balance']
RENAME_DICT = {
'last_price': 'lasttrade',
'entrust_no': 'order_no',
'stock_name': 'symbol_name',
'stock_code': 'symbol',
'entrust_bs': 'trade_side',
'entrust_price': 'order_price',
'entrust_amount': 'order_amount',
'entrust_status': 'order_status',
'report_time': 'order_time'
}
TIMEOUT = 600
class gfLoginSession(LoginSession):
'''
广发证券登录session管理
'''
def __init__(self, account, password):
# 初始化父类
super(gfLoginSession, self).__init__(account=account, password=password)
# TODO 从系统中读取磁盘编号
self.disknum = "S2ZWJ9AF517295"
self.mac_address = ("".join(c + "-" if i % 2 else c for i, c in \
enumerate(hex(uuid.getnode())[2:].zfill(12)))[:-1]).upper()
# 校验码的正则表达式
self.code_rule = re.compile("^[A-Za-z0-9]{5}$")
# 交易用的sessionId
self._dse_sessionId = None
# 融资融券标志
self.margin_flags = False
def pre_login(self):
'''
初始化session，以及需要的headers
:return:
'''
# session
gfheader = {'Accept': '*/*',
'Accept-Encoding': 'gzip, deflate',
'Accept-Language': 'zh-Hans-CN, zh-Hans; q=0.5',
'Connection': 'Keep-Alive',
'Content-Type': 'application/x-www-form-urlencoded',
'User-Agent': 'Mozilla/5.0 (Windows NT 10.0; WOW64; Trident/7.0; rv:11.0) like Gecko',
'X-Requested-With': 'XMLHttpRequest'}
session = requests.session()
session.headers.update(gfheader)
resq = session.get('https://trade.gf.com.cn/')
resq.raise_for_status()
logger.debug('get trade home pages sucess.')
self._expire_at = 0
self._session = session
return
@property
@retry(10, VerifyCodeError)
def vcode(self):
# 获取校验码
r = self._session.get('https://trade.gf.com.cn/yzm.jpgx')
r.raise_for_status()
# 通过内存保存图片，进行识别
img_buffer = BytesIO(r.content)
img = Image.open(img_buffer)
if hasattr(img, "width"):
width, height = img.width, img.height
else:
width, height = img.size
for x in range(width):
for y in range(height):
if img.getpixel((x, y)) < (100, 100, 100):
img.putpixel((x, y), (256, 256, 256))
gray = img.convert('L')
two = gray.point(lambda x: 0 if 68 < x < 90 else 256)
min_res = two.filter(ImageFilter.MinFilter)
med_res = min_res.filter(ImageFilter.MedianFilter)
for _ in range(1):
med_res = med_res.filter(ImageFilter.MedianFilter)
# 通过tesseract-ocr的工具进行校验码识别
vcode = pytesseract.image_to_string(med_res)
img.close()
img_buffer.close()
vcode = vcode.replace(' ', '')
if self.code_rule.findall(vcode) != []:
logger.debug('vcode is: %s' % vcode)
return vcode
else:
raise VerifyCodeError('verify code error: %s' % vcode)
@retry(10, VerifyCodeError)
def login(self):
# 无论是否登录，都重新创建一个session对象
# self.pre_login()
login_params = {
"authtype": 2,
"disknum": self.disknum,
"loginType": 2,
"origin": "web",
'mac': self.mac_address,
'username': self._account,
'password': self._password,
'tmp_yzm': self.vcode
}
resq = self._session.post(
url='https://trade.gf.com.cn/login',
params=login_params
)
resq.raise_for_status()
logger.debug('login resq: %s' % resq.json())
data = resq.json()
if data['success'] == True:
v = resq.headers
self._dse_sessionId = v['Set-Cookie'][-32:]
# 等待服务器准备就绪
time.sleep(0.1)
logger.info('Login success: %s' % self._dse_sessionId)
return
elif data['success'] == False and 'error_info' not in data.keys():
logger.warning('当前系统无法登陆')
raise TraderAPIError(data)
elif data['error_info'].find('验证码') != -1:
self.dse_sessionId = None
logger.warning('VerifyCode Error: %s' % data)
raise VerifyCodeError(data['error_info'])
else:
self.dse_sessionId = None
logger.warning('API Login Error: %s' % data)
raise TraderAPIError(data['error_info'])
def post_login(self):
if self.margin_flags == True:
margin_login_params = {
'classname': 'com.gf.etrade.control.RZRQUF2Control',
'method': 'ValidataLogin',
'dse_sessionId': self._dse_sessionId
}
r = self._session.post(
url='https://trade.gf.com.cn/entry',
params=margin_login_params)
data = r.json()
logger.debug('ensure_margin_flags: %s' % data)
trade_status = data.pop('success', False)
if trade_status == False:
logger.error(data)
error_info = data.get('error_info', data)
raise TraderAPIError(error_info)
def request(self, method, url, **kwargs):
with self:
params = kwargs.get('params', {})
params.update({'dse_sessionId': self._dse_sessionId})
kwargs['params'] = params
logger.debug('Call params: %s' % kwargs)
r = self._session.request(method=method, url=url, **kwargs)
r.raise_for_status()
logger.debug('return: %s' % r.text)
self._expire_at = time.time() + TIMEOUT
return r
def logout(self):
url = 'https://trade.gf.com.cn/entry'
params = {
'classname': 'com.gf.etrade.control.AuthenticateControl',
'method': 'logout'
}
if self._session:
self._session.get(url, params=params)
self._session = None
self._expire_at = 0
@BrokerFactory('gf', '广发证券')
class gfTrader(WebTrader):
def __init__(self, account, password, **kwargs):
super(gfTrader, self).__init__(account=account, password=password, **kwargs)
self.client = gfLoginSession(account=account, password=password)
@property
def exchange_stock_account(self):
if self._exchange_stock_account:
return self._exchange_stock_account
account_params = {
'classname': 'com.gf.etrade.control.FrameWorkControl',
'method': 'getMainJS'
}
url = 'https://trade.gf.com.cn/entry'
resq = self.client.get(url, params=account_params)
resq.raise_for_status()
jslist = resq.text.split(';')
jsholder = jslist[11]
jsholder = re.findall(r'\[(.*)\]', jsholder)
jsholder = eval(jsholder[0])
self._exchange_stock_account = dict()
for holder in jsholder:
if isinstance(holder, dict):
self._exchange_stock_account[holder['exchange_type']] = holder['stock_account']
return self._exchange_stock_account
@property
def portfolio(self):
# 异步提交持仓和余额
balance = self._trade_api(
classname='com.gf.etrade.control.StockUF2Control',
method='queryAssert'
)
position = self._trade_api(
classname='com.gf.etrade.control.StockUF2Control',
method='queryCC'
)
# 处理持仓
if position.shape[0] > 0:
position = position[
['symbol', 'symbol_name', 'current_amount', 'enable_amount', 'lasttrade', 'market_value']]
else:
position = pd.DataFrame([], columns=['order_no', 'symbol', 'symbol_name', 'trade_side', 'order_price', \
'order_amount', 'business_price', 'business_amount', 'order_status',
'order_time'])
position = position.set_index('symbol')
# 处理现金
asset_balance = balance['asset_balance'].iloc[0]
position.loc['cash', 'symbol_name'] = balance['money_type_dict'].iloc[0]
position.loc['cash', 'current_amount'] = balance['fund_balance'].iloc[0]
position.loc['cash', 'enable_amount'] = balance['enable_balance'].iloc[0]
position.loc['cash', 'lasttrade'] = 1.0
position.loc['cash', 'market_value'] = balance['fund_balance'].iloc[0]
# 计算仓位
position['weight'] = position['market_value'] / asset_balance
position['weight'] = position['weight'].round(4)
position = position.dropna(axis=0)
return position
def _trade_api(self, **kwargs):
url = 'https://trade.gf.com.cn/entry'
resq = self.client.post(url, params=kwargs)
if len(resq.text) == 0:
self.client.reset()
resq = self.client.post(url, params=kwargs)
data = resq.json()
logger.debug('_trade_api() return: %s' % data)
trade_status = data.pop('success', False)
if trade_status == False:
logger.error(data)
error_info = data.get('error_info', data)
raise TraderAPIError(error_info)
df = pd.DataFrame(data['data'])
df.rename(columns=RENAME_DICT, inplace=True)
if 'symbol' in df.columns:
df['symbol'] = df['symbol'].apply(code_to_symbols)
# 去字段的并集，提高效率
cols = list(set(FLOAT_COLUMNS).intersection(set(df.columns)))
for col in cols:
df[col] = pd.to_numeric(df[col], errors='ignore')
return df
@property
def orderlist(self):
orderlist = self._trade_api(
classname='com.gf.etrade.control.StockUF2Control',
method='queryDRWT',
action_in=0,
query_direction=0,
limit=50,
request_num=100
)
# 如果是空的orderlist，处理一下columns
if orderlist.shape[0] == 0:
orderlist = pd.DataFrame([], columns=['order_no', 'symbol', 'symbol_name', 'trade_side', 'order_price', \
'order_amount', 'business_price', 'business_amount', 'order_status',
'order_time'])
else:
orderlist['trade_side'] = orderlist['entrust_bs_dict']
orderlist['order_status'] = orderlist['entrust_status_dict']
orderlist = orderlist[['order_no', 'symbol', 'symbol_name', 'trade_side', 'order_price', \
'order_amount', 'business_price', 'business_amount', 'order_status', 'order_time']]
orderlist.dropna(axis=0, inplace=True)
orderlist.set_index('order_no', inplace=True)
return orderlist
def cancel(self, order_no):
df = self._trade_api(
entrust_no=order_no,
classname='com.gf.etrade.control.StockUF2Control',
method='cancel',
exchange_type=1,
batch_flag=0
)
return df['order_no'].iloc[0]
def buy(self, symbol, price=0, amount=0, volume=0):
symbol = symbol.lower()
if symbol[:2] not in ['sz', 'sh']:
raise ValueError('symbol(%s) is not support' % symbol)
if price == 0:
hq = self.hq(symbol)
price = hq.loc[symbol, 'ask']
if amount == 0:
if volume == 0:
raise ValueError('amount and volume both is 0' % symbol)
else:
amount = volume // price // 100 * 100
exchange_type = '1' if symbol[:2] == 'sh' else '2'
df = self._trade_api(
entrust_amount=amount,
entrust_prop=0, # 委托方式
classname='com.gf.etrade.control.StockUF2Control',
method='entrust',
entrust_bs=1,
stock_account=self.exchange_stock_account[exchange_type],
exchange_type=exchange_type,
stock_code=symbol[2:],
entrust_price=price
)
return df['order_no'].iloc[0]
def sell(self, symbol, price=0, amount=0, volume=0):
symbol = symbol.lower()
if symbol[:2] not in ['sz', 'sh']:
raise ValueError('symbol(%s) is not support' % symbol)
if price == 0:
hq = self.hq(symbol)
price = hq.loc[symbol, 'bid']
if amount == 0:
if volume == 0:
raise ValueError('amount and volume both is 0' % symbol)
else:
amount = volume // price // 100 * 100
exchange_type = '1' if symbol[:2] == 'sh' else '2'
df = self._trade_api(
entrust_amount=amount,
entrust_prop=0, # 委托方式
classname='com.gf.etrade.control.StockUF2Control',
method='entrust',
entrust_bs=2, # 1 买入， 2 卖出
stock_account=self.exchange_stock_account[exchange_type],
exchange_type=exchange_type,
stock_code=symbol[2:],
entrust_price=price
)
return df['order_no'].iloc[0]
def subscribe(self, symbol, volume):
# 转换成交易所sz或者sh开头的symbol
symbol = code_to_symbols(symbol[2:])
exchange_type = '1' if symbol[:2] == 'sh' else '2'
df = self._trade_api(
entrust_amount=volume,
classname='com.gf.etrade.control.StockUF2Control',
method='CNJJSS',
entrust_bs=1, # 1 买入， 2 卖出
stock_account=self.exchange_stock_account[exchange_type],
exchange_type=exchange_type,
stock_code=symbol[2:],
entrust_price=0,
)
return df['order_no'].iloc[0]
def redemption(self, symbol, amount):
# 转换成交易所sz或者sh开头的symbol
symbol = code_to_symbols(symbol[2:])
exchange_type = '1' if symbol[:2] == 'sh' else '2'
df = self._trade_api(
entrust_amount=amount,
classname='com.gf.etrade.control.StockUF2Control',
method='CNJJSS',
entrust_bs=2, # 1 买入， 2 卖出
stock_account=self.exchange_stock_account[exchange_type],
exchange_type=exchange_type,
stock_code=symbol[2:],
entrust_price=0,
)
return df['order_no'].iloc[0]
def merge(self, symbol, amount):
# 转换成交易所sz或者sh开头的symbol
symbol = code_to_symbols(symbol[2:])
exchange_type = '1' if symbol[:2] == 'sh' else '2'
df = self._trade_api(
classname='com.gf.etrade.control.SHLOFFundControl',
method='assetSecuprtTrade',
entrust_bs='',
entrust_amount=amount,
stock_account=self.exchange_stock_account[exchange_type],
exchange_type=exchange_type,
stock_code=symbol[2:],
entrust_prop='LFM',
entrust_price=1
)
return df['order_no'].iloc[0]
def split(self, symbol, amount):
# 转换成交易所sz或者sh开头的symbol
symbol = code_to_symbols(symbol[2:])
exchange_type = '1' if symbol[:2] == 'sh' else '2'
df = self._trade_api(
classname='com.gf.etrade.control.SHLOFFundControl',
method='doDZJYEntrust',
entrust_bs='',
entrust_amount=amount,
stock_account=self.exchange_stock_account[exchange_type],
exchange_type=exchange_type,
stock_code=symbol[2:],
entrust_prop='LFP',
entrust_price=1
)
return df['order_no'].iloc[0]
def ipo_limit(self):
df = self._trade_api(
classname='com.gf.etrade.control.StockUF2Control',
method='querySecuSubequity',
limit=50
)
if df.shape[0] == 0:
df = pd.DataFrame([], columns=['exchange_type', 'exchange_stock_account', 'amount_limits', \
'accountno', 'init_date'])
else:
df = df[['exchange_type', 'stock_account', 'enable_amount', 'client_id', 'init_date']]
rename = {
'stock_account': 'exchange_stock_account',
'enable_amount': 'amount_limits',
'client_id': 'accountno'
}
df.rename(columns=rename, inplace=True)
df.set_index('exchange_type', inplace=True)
return df
def ipo_list(self):
df = self._trade_api(
classname='com.gf.etrade.control.StockUF2Control',
method='queryNewStkcode',
request_num=50,
query_direction=1
)
if df.shape[0] == 0:
df = pd.DataFrame([], columns=['symbol', 'symbol_name', 'exchange_type', 'subscribe_type', \
'max_buy_amount', 'buy_unit', 'money_type', 'ipo_price', \
'ipo_date', 'ipo_status'])
else:
df = df[['symbol', 'symbol_name', 'exchange_type', 'stock_type_dict', \
'high_amount', 'buy_unit', 'money_type_dict', 'lasttrade', 'issue_date', 'stkcode_status_dict']]
rename = {
'stock_type_dict': 'subscribe_type',
'high_amount': 'max_buy_amount',
'money_type_dict': 'money_type',
'lasttrade': 'ipo_price',
'issue_date': 'ipo_date',
'stkcode_status_dict': 'ipo_status'
}
df.rename(columns=rename, inplace=True)
df.set_index('symbol', inplace=True)
return df
@BrokerFactory('gfmargin', '广发证券融资融券')
class gfMarginTrader(WebTrader):
def __init__(self, account, password, **kwargs):
super(gfMarginTrader, self).__init__(account=account, password=password, **kwargs)
self.client = gfLoginSession(account=account, password=password)
def _ensure_margin_flags(self):
'''确保已经登录了融资融券账户'''
if self.client.margin_flags == False:
margin_login_params = {
'classname': 'com.gf.etrade.control.RZRQUF2Control',
'method': 'ValidataLogin'
}
r = self.client.post(
url='https://trade.gf.com.cn/entry',
params=margin_login_params)
data = r.json()
logger.debug('ensure_margin_flags: %s' % data)
trade_status = data.pop('success', False)
if trade_status == False:
logger.error(data)
error_info = data.get('error_info', data)
raise TraderAPIError(error_info)
stockholders = data.get('stockholders', [])
self._exchange_stock_account = {}
for holders in stockholders:
self._exchange_stock_account[holders['exchange_type']] = holders['stock_account']
# 将session 设置为已经登录信用账户的状态
self.client.margin_flags = True
return
@property
def exchange_stock_account(self):
self._ensure_margin_flags()
return self._exchange_stock_account
def _trade_api(self, **kwargs):
# 确保已经正确登录了融资融券账号
self._ensure_margin_flags()
url = 'https://trade.gf.com.cn/entry'
resq = self.client.post(url, params=kwargs)
if len(resq.text) == 0:
self.client.reset()
resq = self.client.post(url, params=kwargs)
data = resq.json()
logger.debug('_trade_api() return: %s' % data)
trade_status = data.pop('success', False)
if trade_status == False:
logger.error(data)
error_info = data.get('error_info', data)
raise TraderAPIError(error_info)
df = pd.DataFrame(data['data'])
df.rename(columns=RENAME_DICT, inplace=True)
if 'symbol' in df.columns:
df['symbol'] = df['symbol'].apply(code_to_symbols)
# 去字段的并集，提高效率
cols = list(set(FLOAT_COLUMNS).intersection(set(df.columns)))
for col in cols:
df[col] = pd.to_numeric(df[col], errors='ignore')
return df
def test(self):
print(self._trade_api(
classname='com.gf.etrade.control.RZRQUF2Control',
method='queryCC',
request_num=500,
start=0,
limit=50
))
# print(self._trade_api(
# classname='com.gf.etrade.control.RZRQUF2Control',
# method='queryAssert'
# ))
