Quantaxis Differential Information Flow for Finance Intergration
QIFI 协议 作为qatrader/ qapms的标准协议, 支持股票/期货市场
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源于快期的 DIFF协议 (Differential Information Flow for Finance)
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名称 QIFI 为 Quantaxis Differential Information Flow for Finance Intergration
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核心字段
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'accounts'
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'events'
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'trades'
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'orders'
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'positions'
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'broker_name'
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此协议是QUANTAXIS 未来1年以内的稳定版本, 不会更改
此协议目前也是我们内部实盘在用, 兼容风控系统的一个协议, 稳定运行半年左右
交易的协议参见交易协议
主要目的是把 策略 / 背后的账户实现解耦
策略无需关心背后的账户情况, 仅需相应的申请资源即可(如 申请模拟账户/ 申请回测账户/ 申请实盘账户/) 策略在申请完毕后, 可以直接去读取相应字段, 如 策略想获取持仓的时候 即可直接get('positions') 即为持仓字段
{
"account_cookie" : "100010", // 账户号(兼容QUANTAXIS QAAccount)
"password" : "100010",
"ping_gap" : 5,
"portfolio" : "default",
"broker_name" : "QUANTAXIS", // 接入商名称
"capital_password" : null, // 资金密码 (实盘用)
"bank_password" : null, // 银行密码(实盘用)
"bankid" : "SIM", // 银行id
"investor_name" : "", // 开户人名称
"money" : 0.0, // 当前可用现金
"pub_host" : "localhost",
"settlement" : {},
"taskid" : null,
"trade_host" : "127.0.0.1",
"updatetime" : "2019-09-06 21:19:48.346640",
"wsuri" : "ws://www.yutiansut.com:7988",
"bankname" : "模拟银行",
"trading_day" : "20190909",
"status" : 200
"eventmq_ip: "192.168.2.126:5672",
"accounts" : {
"user_id" : "100010", // 用户号 兼容diff协议, ==> 实盘则为具体账户号
"currency" : "CNY", // 货币属性 兼容diff协议
"pre_balance" : 0.0, // 上一个交易日的结算权益
"deposit" : 1000000.0, // 今日转入资金
"withdraw" : 0.0, // 今日转出资金
"WithdrawQuota" : 3.95252516672997e-322, // 当前可取字段(QIFI 独有)
"close_profit" : 0.0, // 平仓盈亏
"commission" : 6.84, // 手续费
"premium" : 0.0, // 附加费
"static_balance" : 1000000.0, // 静态权益(一般= pre_balance)
"position_profit" : -80.0, // 持仓盈亏
"float_profit" : -80.0, // 浮动盈亏
"balance" : 999913.16, // 当前权益
"margin" : 5472.0, // 保证金
"frozen_margin" : 5472.0, // 冻结保证金
"frozen_commission" : 0.0, // 冻结手续费
"frozen_premium" : 0.0, // 冻结附加费用
"available" : 988969.16, // 可用资金
"risk_ratio" : 0.00547247522974895 // 风险度
},
"banks" : { // 银行内容(支持多银行 id识别)
"SIM" : {
"id" : "SIM",
"name" : "模拟银行",
"bank_account" : "",
"fetch_amount" : 0.0,
"qry_count" : 0
}
},
"event" : { // 事件 time+ 内容
"2019-09-06 21:01:36" : "登录成功",
"2019-09-06 21:12:53" : "下单成功",
"2019-09-06 21:14:25" : "下单成功",
"2019-09-06 21:14:37" : "下单成功",
"2019-09-06 21:14:57" : "成交通知,合约:SHFE.rb2001,手数:1",
"2019-09-06 21:16:50" : "成交通知,合约:SHFE.rb2001,手数:1"
},
"orders" : { // 多段order 订单
"QAOTG_5oAYRUI3" : {
"seqno" : 8,
"user_id" : "100010",
"order_id" : "QAOTG_5oAYRUI3",
"exchange_id" : "SHFE",
"instrument_id" : "rb2001",
"direction" : "SELL",
"offset" : "OPEN",
"volume_orign" : 1,
"price_type" : "LIMIT",
"limit_price" : 3426.0,
"time_condition" : "GFD",
"volume_condition" : "ANY",
"insert_date_time" : NumberLong(1567775573528050636),
"exchange_order_id" : "QAOTG_5oAYRUI3",
"status" : "FINISHED",
"volume_left" : 0,
"last_msg" : ""
},
"QAOTG_xyVXjgcZ" : {
"seqno" : 3,
"user_id" : "100010",
"order_id" : "QAOTG_xyVXjgcZ",
"exchange_id" : "SHFE",
"instrument_id" : "rb2001",
"direction" : "SELL",
"offset" : "OPEN",
"volume_orign" : 1,
"price_type" : "LIMIT",
"limit_price" : 3480.0,
"time_condition" : "GFD",
"volume_condition" : "ANY",
"insert_date_time" : NumberLong(1567775665377198042),
"exchange_order_id" : "QAOTG_xyVXjgcZ",
"status" : "ALIVE",
"volume_left" : 1,
"last_msg" : ""
},
},
"positions" : {
"SHFE_rb2001" : {
"user_id" : "100010",
"exchange_id" : "SHFE",
"instrument_id" : "rb2001",
"volume_long_today" : 1,
"volume_long_his" : 0,
"volume_long" : 1,
"volume_long_frozen_today" : 0,
"volume_long_frozen_his" : 0,
"volume_long_frozen" : 0,
"volume_short_today" : 1,
"volume_short_his" : 0,
"volume_short" : 1,
"volume_short_frozen_today" : 0,
"volume_short_frozen_his" : 0,
"volume_short_frozen" : 0,
"volume_long_yd" : 0,
"volume_short_yd" : 0,
"pos_long_his" : 0,
"pos_long_today" : 1,
"pos_short_his" : 0,
"pos_short_today" : 1,
"open_price_long" : 3434.0,
"open_price_short" : 3426.0,
"open_cost_long" : 34340.0,
"open_cost_short" : 34260.0,
"position_price_long" : 3434.0,
"position_price_short" : 3426.0,
"position_cost_long" : 34340.0,
"position_cost_short" : 34260.0,
"last_price" : 3432.0,
"float_profit_long" : -20.0,
"float_profit_short" : -60.0,
"float_profit" : -80.0,
"position_profit_long" : -20.0,
"position_profit_short" : -60.0,
"position_profit" : -80.0,
"margin_long" : 2736.0,
"margin_short" : 2736.0,
"margin" : 5472.0
}
},
"trades" : {
"6" : {
"seqno" : 7,
"user_id" : "100010",
"trade_id" : "6",
"exchange_id" : "SHFE",
"instrument_id" : "rb2001",
"order_id" : "QAOTG_5oAYRUI3",
"exchange_trade_id" : "6",
"direction" : "SELL",
"offset" : "OPEN",
"volume" : 1,
"price" : 3426.0,
"trade_date_time" : NumberLong(1567775697237747424),
"commission" : 3.42
},
"11" : {
"seqno" : 12,
"user_id" : "100010",
"trade_id" : "11",
"exchange_id" : "SHFE",
"instrument_id" : "rb2001",
"order_id" : "QAOTG_P4kEw2FJ",
"exchange_trade_id" : "11",
"direction" : "BUY",
"offset" : "OPEN",
"volume" : 1,
"price" : 3434.0,
"trade_date_time" : NumberLong(1567775810195972480),
"commission" : 3.42
}
},
"transfers" : {},
}