2017-12-04 06:55:48 +00:00
|
|
|
|
# encoding: UTF-8
|
|
|
|
|
|
|
|
|
|
|
|
'''
|
|
|
|
|
|
quantOS的TkPro系统接入
|
|
|
|
|
|
'''
|
|
|
|
|
|
|
|
|
|
|
|
import sys
|
|
|
|
|
|
import os
|
|
|
|
|
|
import json
|
|
|
|
|
|
import traceback
|
|
|
|
|
|
from datetime import datetime
|
|
|
|
|
|
|
|
|
|
|
|
from vnpy.trader.vtConstant import *
|
|
|
|
|
|
from vnpy.trader.vtObject import *
|
|
|
|
|
|
from vnpy.trader.vtGateway import VtGateway
|
|
|
|
|
|
from vnpy.trader.vtFunction import getJsonPath
|
|
|
|
|
|
from vnpy.trader.vtEvent import EVENT_TIMER
|
|
|
|
|
|
|
|
|
|
|
|
from .DataApi import DataApi
|
|
|
|
|
|
from .TradeApi import TradeApi
|
|
|
|
|
|
from collections import namedtuple
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
# 以下为一些VT类型和TkPro类型的映射字典
|
|
|
|
|
|
|
|
|
|
|
|
# 动作印射
|
|
|
|
|
|
actionMap = {}
|
|
|
|
|
|
actionMap[(DIRECTION_LONG, OFFSET_OPEN)] = "Buy"
|
|
|
|
|
|
actionMap[(DIRECTION_SHORT, OFFSET_OPEN)] = "Short"
|
|
|
|
|
|
actionMap[(DIRECTION_LONG, OFFSET_CLOSE)] = "Cover"
|
|
|
|
|
|
actionMap[(DIRECTION_SHORT, OFFSET_CLOSE)] = "Sell"
|
|
|
|
|
|
actionMap[(DIRECTION_LONG, OFFSET_CLOSEYESTERDAY)] = "CoverYesterday"
|
|
|
|
|
|
actionMap[(DIRECTION_SHORT, OFFSET_CLOSEYESTERDAY)] = "SellYesterday"
|
|
|
|
|
|
actionMap[(DIRECTION_LONG, OFFSET_CLOSETODAY)] = "CoverToday"
|
|
|
|
|
|
actionMap[(DIRECTION_SHORT, OFFSET_CLOSETODAY)] = "SellToday"
|
|
|
|
|
|
actionMapReverse = {v: k for k, v in actionMap.items()}
|
|
|
|
|
|
|
|
|
|
|
|
# 交易所类型映射
|
|
|
|
|
|
exchangeMap = {}
|
|
|
|
|
|
exchangeMap[EXCHANGE_CFFEX] = 'CFE'
|
|
|
|
|
|
exchangeMap[EXCHANGE_SHFE] = 'SHF'
|
|
|
|
|
|
exchangeMap[EXCHANGE_CZCE] = 'CZC'
|
|
|
|
|
|
exchangeMap[EXCHANGE_DCE] = 'DCE'
|
|
|
|
|
|
exchangeMap[EXCHANGE_SSE] = 'SH'
|
|
|
|
|
|
exchangeMap[EXCHANGE_SZSE] = 'SZ'
|
|
|
|
|
|
exchangeMapReverse = {v:k for k,v in exchangeMap.items()}
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
# 持仓类型映射
|
|
|
|
|
|
sideMap = {}
|
|
|
|
|
|
sideMap[DIRECTION_LONG] = 'Long'
|
|
|
|
|
|
sideMap[DIRECTION_SHORT] = 'Short'
|
|
|
|
|
|
sideMapReverse = {v:k for k,v in sideMap.items()}
|
|
|
|
|
|
|
|
|
|
|
|
# 产品类型映射
|
|
|
|
|
|
productClassMapReverse = {}
|
|
|
|
|
|
productClassMapReverse[1] = PRODUCT_EQUITY
|
|
|
|
|
|
productClassMapReverse[3] = PRODUCT_EQUITY
|
|
|
|
|
|
productClassMapReverse[4] = PRODUCT_EQUITY
|
|
|
|
|
|
productClassMapReverse[5] = PRODUCT_EQUITY
|
|
|
|
|
|
productClassMapReverse[8] = PRODUCT_BOND
|
|
|
|
|
|
productClassMapReverse[17] = PRODUCT_BOND
|
|
|
|
|
|
productClassMapReverse[101] = PRODUCT_FUTURES
|
|
|
|
|
|
productClassMapReverse[102] = PRODUCT_FUTURES
|
|
|
|
|
|
productClassMapReverse[103] = PRODUCT_FUTURES
|
|
|
|
|
|
|
|
|
|
|
|
# 委托状态映射
|
|
|
|
|
|
statusMapReverse = {}
|
|
|
|
|
|
statusMapReverse['New'] = STATUS_UNKNOWN
|
|
|
|
|
|
statusMapReverse['Accepted'] = STATUS_NOTTRADED
|
|
|
|
|
|
statusMapReverse['Cancelled'] = STATUS_CANCELLED
|
|
|
|
|
|
statusMapReverse['Filled'] = STATUS_ALLTRADED
|
|
|
|
|
|
statusMapReverse['Rejected'] = STATUS_REJECTED
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
########################################################################
|
|
|
|
|
|
class TkproGateway(VtGateway):
|
|
|
|
|
|
"""TkPro接口"""
|
|
|
|
|
|
|
|
|
|
|
|
#----------------------------------------------------------------------
|
|
|
|
|
|
def __init__(self, eventengine, gatewayName='TKPRO'):
|
|
|
|
|
|
"""Constructor"""
|
|
|
|
|
|
super(TkproGateway, self).__init__(eventengine, gatewayName)
|
|
|
|
|
|
|
|
|
|
|
|
self.dataApi = TkproDataApi(self) # 行情
|
|
|
|
|
|
self.tradeApi = TkproTradeApi(self) # 交易
|
|
|
|
|
|
|
|
|
|
|
|
self.qryEnabled = False # 是否要启动循环查询
|
|
|
|
|
|
|
|
|
|
|
|
self.fileName = self.gatewayName + '_connect.json'
|
|
|
|
|
|
self.filePath = getJsonPath(self.fileName, __file__)
|
|
|
|
|
|
|
|
|
|
|
|
#----------------------------------------------------------------------
|
|
|
|
|
|
def connect(self):
|
|
|
|
|
|
"""连接"""
|
|
|
|
|
|
try:
|
2018-08-28 15:15:32 +00:00
|
|
|
|
f = open(self.filePath)
|
2017-12-04 06:55:48 +00:00
|
|
|
|
except IOError:
|
|
|
|
|
|
log = VtLogData()
|
|
|
|
|
|
log.gatewayName = self.gatewayName
|
|
|
|
|
|
log.logContent = u'无法加载配置'
|
|
|
|
|
|
self.onLog(log)
|
|
|
|
|
|
return
|
|
|
|
|
|
|
|
|
|
|
|
setting = json.load(f)
|
2018-08-28 15:15:32 +00:00
|
|
|
|
f.close()
|
2017-12-04 06:55:48 +00:00
|
|
|
|
try:
|
|
|
|
|
|
username = str(setting['username'])
|
|
|
|
|
|
token = str(setting['token'])
|
|
|
|
|
|
strategy = int(setting['strategy'])
|
|
|
|
|
|
tradeAddress = str(setting['tradeAddress'])
|
|
|
|
|
|
dataAddress = str(setting['dataAddress'])
|
|
|
|
|
|
except KeyError:
|
|
|
|
|
|
log = VtLogData()
|
|
|
|
|
|
log.gatewayName = self.gatewayName
|
|
|
|
|
|
log.logContent = u'连接配置缺少字段，请检查'
|
|
|
|
|
|
self.onLog(log)
|
|
|
|
|
|
return
|
|
|
|
|
|
|
|
|
|
|
|
# 创建行情和交易接口对象
|
|
|
|
|
|
self.dataApi.connect(dataAddress, username, token)
|
|
|
|
|
|
self.tradeApi.connect(tradeAddress, username, token, strategy)
|
|
|
|
|
|
|
|
|
|
|
|
# 初始化并启动查询
|
|
|
|
|
|
self.initQuery()
|
|
|
|
|
|
|
|
|
|
|
|
#----------------------------------------------------------------------
|
|
|
|
|
|
def subscribe(self, subscribeReq):
|
|
|
|
|
|
"""订阅行情"""
|
|
|
|
|
|
self.dataApi.subscribe(subscribeReq)
|
|
|
|
|
|
|
|
|
|
|
|
#----------------------------------------------------------------------
|
|
|
|
|
|
def sendOrder(self, orderReq):
|
|
|
|
|
|
"""发单"""
|
|
|
|
|
|
self.tradeApi.sendOrder(orderReq)
|
|
|
|
|
|
|
|
|
|
|
|
#----------------------------------------------------------------------
|
|
|
|
|
|
def cancelOrder(self, cancelOrderReq):
|
|
|
|
|
|
"""撤单"""
|
|
|
|
|
|
self.tradeApi.cancelOrder(cancelOrderReq)
|
|
|
|
|
|
|
|
|
|
|
|
#----------------------------------------------------------------------
|
|
|
|
|
|
def qryAccount(self):
|
|
|
|
|
|
"""查询账户资金"""
|
|
|
|
|
|
self.tradeApi.qryAccount()
|
|
|
|
|
|
|
|
|
|
|
|
#----------------------------------------------------------------------
|
|
|
|
|
|
def qryPosition(self):
|
|
|
|
|
|
"""查询持仓"""
|
|
|
|
|
|
self.tradeApi.qryPosition()
|
|
|
|
|
|
|
|
|
|
|
|
#----------------------------------------------------------------------
|
|
|
|
|
|
def close(self):
|
|
|
|
|
|
"""关闭"""
|
|
|
|
|
|
pass
|
|
|
|
|
|
|
|
|
|
|
|
#----------------------------------------------------------------------
|
|
|
|
|
|
def initQuery(self):
|
|
|
|
|
|
"""初始化连续查询"""
|
|
|
|
|
|
if self.qryEnabled:
|
|
|
|
|
|
# 需要循环的查询函数列表
|
|
|
|
|
|
self.qryFunctionList = [self.qryPosition, self.qryAccount]
|
|
|
|
|
|
|
|
|
|
|
|
self.qryCount = 0 # 查询触发倒计时
|
|
|
|
|
|
self.qryTrigger = 2 # 查询触发点
|
|
|
|
|
|
self.qryNextFunction = 0 # 上次运行的查询函数索引
|
|
|
|
|
|
|
|
|
|
|
|
self.startQuery()
|
|
|
|
|
|
|
|
|
|
|
|
#----------------------------------------------------------------------
|
|
|
|
|
|
def query(self, event):
|
|
|
|
|
|
"""注册到事件处理引擎上的查询函数"""
|
|
|
|
|
|
self.qryCount += 1
|
|
|
|
|
|
|
|
|
|
|
|
if self.qryCount > self.qryTrigger:
|
|
|
|
|
|
# 清空倒计时
|
|
|
|
|
|
self.qryCount = 0
|
|
|
|
|
|
|
|
|
|
|
|
# 执行查询函数
|
|
|
|
|
|
function = self.qryFunctionList[self.qryNextFunction]
|
|
|
|
|
|
function()
|
|
|
|
|
|
|
|
|
|
|
|
# 计算下次查询函数的索引，如果超过了列表长度，则重新设为0
|
|
|
|
|
|
self.qryNextFunction += 1
|
|
|
|
|
|
if self.qryNextFunction == len(self.qryFunctionList):
|
|
|
|
|
|
self.qryNextFunction = 0
|
|
|
|
|
|
|
|
|
|
|
|
#----------------------------------------------------------------------
|
|
|
|
|
|
def startQuery(self):
|
|
|
|
|
|
"""启动连续查询"""
|
|
|
|
|
|
self.eventEngine.register(EVENT_TIMER, self.query)
|
|
|
|
|
|
|
|
|
|
|
|
#----------------------------------------------------------------------
|
|
|
|
|
|
def setQryEnabled(self, qryEnabled):
|
|
|
|
|
|
"""设置是否要启动循环查询"""
|
|
|
|
|
|
self.qryEnabled = qryEnabled
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
########################################################################
|
|
|
|
|
|
class TkproTradeApi(object):
|
|
|
|
|
|
"""TkPro交易API实现"""
|
|
|
|
|
|
|
|
|
|
|
|
#----------------------------------------------------------------------
|
|
|
|
|
|
def __init__(self, gateway):
|
|
|
|
|
|
"""Constructor"""
|
|
|
|
|
|
super(TkproTradeApi, self).__init__()
|
|
|
|
|
|
|
|
|
|
|
|
self.gateway = gateway # gateway对象
|
|
|
|
|
|
self.gatewayName = gateway.gatewayName # gateway对象名称
|
|
|
|
|
|
|
|
|
|
|
|
self.api = None
|
|
|
|
|
|
|
|
|
|
|
|
#----------------------------------------------------------------------
|
|
|
|
|
|
def onOrderStatus(self, data):
|
|
|
|
|
|
"""委托信息推送"""
|
|
|
|
|
|
if isinstance(data, dict):
|
|
|
|
|
|
data = namedtuple('Order', list(data.keys()))(*list(data.values()))
|
|
|
|
|
|
|
|
|
|
|
|
order = VtOrderData()
|
|
|
|
|
|
order.gatewayName = self.gatewayName
|
|
|
|
|
|
|
|
|
|
|
|
symbol, exchange = data.security.split('.')
|
|
|
|
|
|
order.symbol = symbol
|
|
|
|
|
|
order.exchange = exchangeMapReverse[exchange]
|
|
|
|
|
|
order.vtSymbol = '.'.join([order.symbol, order.exchange])
|
|
|
|
|
|
|
|
|
|
|
|
order.orderID = str(data.entrust_no)
|
|
|
|
|
|
order.taskID = str(data.task_id)
|
|
|
|
|
|
order.vtOrderID = order.orderID
|
|
|
|
|
|
|
|
|
|
|
|
order.direction, order.offset = actionMapReverse.get(data.entrust_action, (DIRECTION_UNKNOWN, OFFSET_UNKNOWN))
|
|
|
|
|
|
order.totalVolume = data.entrust_size
|
|
|
|
|
|
order.tradedVolume = data.fill_size
|
|
|
|
|
|
order.price = data.entrust_price
|
|
|
|
|
|
order.status = statusMapReverse.get(data.order_status)
|
|
|
|
|
|
order.tradePrice = data.fill_price
|
|
|
|
|
|
|
|
|
|
|
|
t = str(data.entrust_time)
|
|
|
|
|
|
t = t.rjust(6, '0')
|
|
|
|
|
|
order.orderTime = '%s:%s:%s' %(t[0:2],t[2:4],t[4:])
|
|
|
|
|
|
|
|
|
|
|
|
self.gateway.onOrder(order)
|
|
|
|
|
|
|
|
|
|
|
|
#----------------------------------------------------------------------
|
|
|
|
|
|
def onTaskStatus(self, data):
|
|
|
|
|
|
""""""
|
|
|
|
|
|
pass
|
|
|
|
|
|
|
|
|
|
|
|
#----------------------------------------------------------------------
|
|
|
|
|
|
def onTrade(self, data):
|
|
|
|
|
|
"""成交信息推送"""
|
|
|
|
|
|
if isinstance(data, dict):
|
|
|
|
|
|
data = namedtuple('Trade', list(data.keys()))(*list(data.values()))
|
|
|
|
|
|
|
|
|
|
|
|
trade = VtTradeData()
|
|
|
|
|
|
trade.gatewayName = self.gatewayName
|
|
|
|
|
|
|
|
|
|
|
|
symbol, exchange = data.security.split('.')
|
|
|
|
|
|
trade.symbol = symbol
|
|
|
|
|
|
trade.exchange = exchangeMapReverse[exchange]
|
|
|
|
|
|
trade.vtSymbol = '.'.join([trade.symbol, trade.exchange])
|
|
|
|
|
|
|
|
|
|
|
|
trade.direction, trade.offset = actionMapReverse.get(data.entrust_action, (DIRECTION_UNKNOWN, OFFSET_UNKNOWN))
|
|
|
|
|
|
|
|
|
|
|
|
trade.tradeID = str(data.fill_no)
|
|
|
|
|
|
trade.vtTradeID = str(data.fill_no)
|
|
|
|
|
|
|
|
|
|
|
|
trade.orderID = str(data.entrust_no)
|
|
|
|
|
|
trade.vtOrderID = trade.orderID
|
|
|
|
|
|
trade.taskID = str(data.task_id)
|
|
|
|
|
|
|
|
|
|
|
|
trade.price = data.fill_price
|
|
|
|
|
|
trade.volume = data.fill_size
|
|
|
|
|
|
|
|
|
|
|
|
t = str(data.fill_time)
|
|
|
|
|
|
t = t.rjust(6, '0')
|
|
|
|
|
|
trade.tradeTime = '%s:%s:%s' %(t[0:2],t[2:4],t[4:])
|
|
|
|
|
|
|
|
|
|
|
|
self.gateway.onTrade(trade)
|
|
|
|
|
|
|
|
|
|
|
|
#----------------------------------------------------------------------
|
|
|
|
|
|
def onConnection(self, data):
|
|
|
|
|
|
""""""
|
|
|
|
|
|
self.writeLog(u'连接状态更新：%s' %data)
|
|
|
|
|
|
|
|
|
|
|
|
if data:
|
|
|
|
|
|
self.qryInstrument()
|
|
|
|
|
|
self.qryOrder()
|
|
|
|
|
|
self.qryTrade()
|
|
|
|
|
|
|
|
|
|
|
|
#----------------------------------------------------------------------
|
|
|
|
|
|
def connect(self, tradeAddress, username, token, strategy):
|
|
|
|
|
|
"""初始化连接"""
|
|
|
|
|
|
if self.api:
|
|
|
|
|
|
self.writeLog(u'交易已经连接')
|
|
|
|
|
|
return
|
|
|
|
|
|
|
|
|
|
|
|
self.api = TradeApi(tradeAddress)
|
|
|
|
|
|
self.api.set_data_format('obj')
|
|
|
|
|
|
|
|
|
|
|
|
# 登录
|
|
|
|
|
|
result, msg = self.api.login(username, token)
|
|
|
|
|
|
|
|
|
|
|
|
if not result:
|
|
|
|
|
|
self.writeLog(u'交易登录失败，错误信息：%s' %msg)
|
|
|
|
|
|
return
|
|
|
|
|
|
|
|
|
|
|
|
result, msg = self.api.use_strategy(strategy)
|
|
|
|
|
|
|
|
|
|
|
|
if result:
|
|
|
|
|
|
self.writeLog(u'选定策略号：%s' %strategy)
|
|
|
|
|
|
else:
|
|
|
|
|
|
self.writeLog(u'选定策略号失败')
|
|
|
|
|
|
|
|
|
|
|
|
self.api.set_ordstatus_callback(self.onOrderStatus)
|
|
|
|
|
|
self.api.set_trade_callback(self.onTrade)
|
|
|
|
|
|
self.api.set_task_callback(self.onTaskStatus)
|
|
|
|
|
|
self.api.set_connection_callback(self.onConnection)
|
|
|
|
|
|
|
|
|
|
|
|
#----------------------------------------------------------------------
|
|
|
|
|
|
def close(self):
|
|
|
|
|
|
"""关闭"""
|
|
|
|
|
|
pass
|
|
|
|
|
|
|
|
|
|
|
|
#----------------------------------------------------------------------
|
|
|
|
|
|
def writeLog(self, logContent):
|
|
|
|
|
|
"""记录日志"""
|
|
|
|
|
|
log = VtLogData()
|
|
|
|
|
|
log.gatewayName = self.gatewayName
|
|
|
|
|
|
log.logContent = logContent
|
|
|
|
|
|
self.gateway.onLog(log)
|
|
|
|
|
|
|
|
|
|
|
|
#----------------------------------------------------------------------
|
|
|
|
|
|
def sendOrder(self, orderReq):
|
|
|
|
|
|
"""发单"""
|
|
|
|
|
|
if not self.api:
|
|
|
|
|
|
return
|
|
|
|
|
|
|
|
|
|
|
|
exchange = exchangeMap.get(orderReq.exchange, '')
|
|
|
|
|
|
security = '.'.join([orderReq.symbol, exchange])
|
|
|
|
|
|
action = actionMap.get((orderReq.direction, orderReq.offset), '')
|
|
|
|
|
|
|
|
|
|
|
|
taskid, msg = self.api.place_order(security, action, orderReq.price, int(orderReq.volume))
|
|
|
|
|
|
|
|
|
|
|
|
if taskid is 0:
|
|
|
|
|
|
self.writeLog(u'委托失败，错误信息：%s' %msg)
|
|
|
|
|
|
|
|
|
|
|
|
#----------------------------------------------------------------------
|
|
|
|
|
|
def cancelOrder(self, cancelOrderReq):
|
|
|
|
|
|
"""撤单"""
|
|
|
|
|
|
if not self.api:
|
|
|
|
|
|
return
|
|
|
|
|
|
|
|
|
|
|
|
result, msg = self.api.cancel_order(cancelOrderReq.orderID)
|
|
|
|
|
|
if result is 0:
|
|
|
|
|
|
self.writeLog(u'撤单失败，错误信息：%s' %msg)
|
|
|
|
|
|
|
|
|
|
|
|
#----------------------------------------------------------------------
|
|
|
|
|
|
def qryPosition(self):
|
|
|
|
|
|
"""查询持仓"""
|
|
|
|
|
|
l, msg = self.api.query_position()
|
|
|
|
|
|
|
|
|
|
|
|
if l is None:
|
|
|
|
|
|
self.writeLog(u'查询持仓失败，错误信息：%s' %msg)
|
|
|
|
|
|
return False
|
|
|
|
|
|
|
|
|
|
|
|
for data in l:
|
|
|
|
|
|
position = VtPositionData()
|
|
|
|
|
|
position.gatewayName = self.gatewayName
|
|
|
|
|
|
|
|
|
|
|
|
symbol, exchange = data.security.split('.')
|
|
|
|
|
|
position.symbol = symbol
|
|
|
|
|
|
position.exchange = exchangeMapReverse[exchange]
|
|
|
|
|
|
position.vtSymbol = '.'.join([position.symbol, position.exchange])
|
|
|
|
|
|
|
|
|
|
|
|
position.direction = sideMapReverse.get(data.side, DIRECTION_UNKNOWN)
|
|
|
|
|
|
position.vtPositionName = '.'.join([position.vtSymbol, position.direction])
|
|
|
|
|
|
|
|
|
|
|
|
position.price = data.cost_price
|
|
|
|
|
|
position.ydPosition = data.pre_size
|
|
|
|
|
|
position.tdPosition = data.today_size
|
|
|
|
|
|
position.position = data.current_size
|
|
|
|
|
|
position.frozen = data.frozen_size
|
|
|
|
|
|
|
|
|
|
|
|
position.commission = data.commission
|
|
|
|
|
|
position.enable = data.enable_size
|
|
|
|
|
|
position.want = data.want_size
|
|
|
|
|
|
position.initPosition = data.init_size
|
|
|
|
|
|
position.trading = data.trading_pnl
|
|
|
|
|
|
position.holding = data.holding_pnl
|
|
|
|
|
|
position.last = data.last_price
|
|
|
|
|
|
|
|
|
|
|
|
self.gateway.onPosition(position)
|
|
|
|
|
|
|
|
|
|
|
|
return True
|
|
|
|
|
|
|
|
|
|
|
|
#----------------------------------------------------------------------
|
|
|
|
|
|
def qryAccount(self):
|
|
|
|
|
|
"""查询资金"""
|
|
|
|
|
|
l, msg = self.api.query_account()
|
|
|
|
|
|
|
|
|
|
|
|
if l is None:
|
|
|
|
|
|
self.writeLog(u'查询资金失败，错误信息：%s' %msg)
|
|
|
|
|
|
return False
|
|
|
|
|
|
|
|
|
|
|
|
for data in l:
|
|
|
|
|
|
account = VtAccountData()
|
|
|
|
|
|
account.gatewayName = self.gatewayName
|
|
|
|
|
|
|
|
|
|
|
|
account.accountID = '_'.join([str(data.id), data.type])
|
|
|
|
|
|
account.vtAccountID = '.'.join([account.accountID, account.gatewayName])
|
|
|
|
|
|
account.available = data.enable_balance
|
|
|
|
|
|
account.balance = account.available + data.frozen_balance
|
|
|
|
|
|
account.closeProfit = data.close_pnl
|
|
|
|
|
|
account.commission = data.commission
|
|
|
|
|
|
account.margin = data.margin
|
|
|
|
|
|
account.positionProfit = data.holding_pnl
|
|
|
|
|
|
account.preBalance = data.init_balance
|
|
|
|
|
|
|
|
|
|
|
|
self.gateway.onAccount(account)
|
|
|
|
|
|
|
|
|
|
|
|
#----------------------------------------------------------------------
|
|
|
|
|
|
def qryOrder(self):
|
|
|
|
|
|
"""查询委托"""
|
|
|
|
|
|
l, msg = self.api.query_order()
|
|
|
|
|
|
|
|
|
|
|
|
if l is None:
|
|
|
|
|
|
self.writeLog(u'查询委托失败，错误信息：%s' %msg)
|
|
|
|
|
|
else:
|
|
|
|
|
|
for data in l:
|
|
|
|
|
|
self.onOrderStatus(data)
|
|
|
|
|
|
|
|
|
|
|
|
self.writeLog(u'查询委托完成')
|
|
|
|
|
|
|
|
|
|
|
|
#----------------------------------------------------------------------
|
|
|
|
|
|
def qryTrade(self):
|
|
|
|
|
|
"""查询成交"""
|
|
|
|
|
|
l, msg = self.api.query_trade()
|
|
|
|
|
|
|
|
|
|
|
|
if l is None:
|
|
|
|
|
|
self.writeLog(u'查询成交失败，错误信息：%s' %msg)
|
|
|
|
|
|
return False
|
|
|
|
|
|
|
|
|
|
|
|
for data in l:
|
|
|
|
|
|
self.onTrade(data)
|
|
|
|
|
|
|
|
|
|
|
|
self.writeLog(u'查询成交完成')
|
|
|
|
|
|
return True
|
|
|
|
|
|
|
|
|
|
|
|
#----------------------------------------------------------------------
|
|
|
|
|
|
def qryInstrument(self):
|
|
|
|
|
|
"""查询合约"""
|
|
|
|
|
|
# 通过DataAPI查询所有信息
|
|
|
|
|
|
df, msg = self.gateway.dataApi.api.query(
|
|
|
|
|
|
view='jz.instrumentInfo',
|
|
|
|
|
|
fields='symbol,name,inst_type,buylot,pricetick,multiplier',
|
|
|
|
|
|
filter='inst_type=1',
|
|
|
|
|
|
data_format='pandas'
|
|
|
|
|
|
)
|
|
|
|
|
|
|
|
|
|
|
|
d = {}
|
|
|
|
|
|
for n, row in df.iterrows():
|
|
|
|
|
|
d[row.symbol] = row
|
|
|
|
|
|
|
|
|
|
|
|
# 查询所有信息
|
|
|
|
|
|
l, msg = self.api.query_universe()
|
|
|
|
|
|
|
|
|
|
|
|
if l is None:
|
|
|
|
|
|
self.writeLog(u'查询合约失败，错误信息：%s' %msg)
|
|
|
|
|
|
return False
|
|
|
|
|
|
|
|
|
|
|
|
for data in l:
|
|
|
|
|
|
row = d[data.security]
|
|
|
|
|
|
|
|
|
|
|
|
contract = VtContractData()
|
|
|
|
|
|
contract.gatewayName = self.gatewayName
|
|
|
|
|
|
|
|
|
|
|
|
symbol, exchange = data.security.split('.')
|
|
|
|
|
|
contract.symbol = symbol
|
|
|
|
|
|
contract.exchange = exchangeMapReverse[exchange]
|
|
|
|
|
|
contract.vtSymbol = '.'.join([contract.symbol, contract.exchange])
|
|
|
|
|
|
contract.productClass = PRODUCT_EQUITY
|
|
|
|
|
|
contract.name = unicode(row['name'])
|
|
|
|
|
|
contract.priceTick = float(row['pricetick'])
|
|
|
|
|
|
contract.size = int(row['multiplier'])
|
|
|
|
|
|
|
|
|
|
|
|
self.gateway.onContract(contract)
|
|
|
|
|
|
|
|
|
|
|
|
self.writeLog(u'查询合约完成')
|
|
|
|
|
|
return True
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
########################################################################
|
|
|
|
|
|
class TkproDataApi(object):
|
|
|
|
|
|
"""TkPro行情API实现"""
|
|
|
|
|
|
|
|
|
|
|
|
#----------------------------------------------------------------------
|
|
|
|
|
|
def __init__(self, gateway):
|
|
|
|
|
|
"""Constructor"""
|
|
|
|
|
|
super(TkproDataApi, self).__init__()
|
|
|
|
|
|
|
|
|
|
|
|
self.gateway = gateway
|
|
|
|
|
|
self.gatewayName = gateway.gatewayName
|
|
|
|
|
|
|
|
|
|
|
|
self.api = None
|
|
|
|
|
|
|
|
|
|
|
|
self.fields = "open,close,high,low,last,\
|
|
|
|
|
|
volume,turnover,oi,preclose,time,date,\
|
|
|
|
|
|
askprice1,askprice2,askprice3,askprice4,askprice5,\
|
|
|
|
|
|
bidprice1,bidprice2,bidprice3,bidprice4,bidprice5,\
|
|
|
|
|
|
askvolume1,askvolume2,askvolume3,askvolume4,askvolume5,\
|
|
|
|
|
|
bidvolume1,bidvolume2,bidvolume3,bidvolume4,bidvolume5,\
|
|
|
|
|
|
limit_up,limit_down"
|
|
|
|
|
|
|
|
|
|
|
|
#----------------------------------------------------------------------
|
|
|
|
|
|
def onMarketData(self, k, data):
|
|
|
|
|
|
"""行情推送"""
|
|
|
|
|
|
tick = VtTickData()
|
|
|
|
|
|
tick.gatewayName = self.gatewayName
|
|
|
|
|
|
|
|
|
|
|
|
try:
|
|
|
|
|
|
l = data['symbol'].split('.')
|
|
|
|
|
|
tick.symbol = l[0]
|
|
|
|
|
|
tick.exchange = exchangeMapReverse[l[1]]
|
|
|
|
|
|
tick.vtSymbol = '.'.join([tick.symbol, tick.exchange])
|
|
|
|
|
|
|
|
|
|
|
|
tick.openPrice = data['open']
|
|
|
|
|
|
tick.highPrice = data['high']
|
|
|
|
|
|
tick.lowPrice = data['low']
|
|
|
|
|
|
tick.volume = data['volume']
|
|
|
|
|
|
tick.turnover = data['turnover']
|
|
|
|
|
|
tick.lastPrice = data['last']
|
|
|
|
|
|
|
|
|
|
|
|
tick.openInterest = data['oi']
|
|
|
|
|
|
tick.preClosePrice = data['preclose']
|
|
|
|
|
|
tick.date = str(data['date'])
|
|
|
|
|
|
|
|
|
|
|
|
t = str(data['time'])
|
|
|
|
|
|
t = t.rjust(9, '0')
|
|
|
|
|
|
tick.time = '%s:%s:%s.%s' %(t[0:2],t[2:4],t[4:6],t[6:])
|
|
|
|
|
|
|
|
|
|
|
|
tick.bidPrice1 = data['bidprice1']
|
|
|
|
|
|
tick.askPrice1 = data['askprice1']
|
|
|
|
|
|
tick.bidVolume1 = data['bidvolume1']
|
|
|
|
|
|
tick.askVolume1 = data['askvolume1']
|
|
|
|
|
|
|
|
|
|
|
|
if 'bidprice2' in data:
|
|
|
|
|
|
tick.bidPrice2 = data['bidprice2']
|
|
|
|
|
|
tick.bidPrice3 = data['bidprice3']
|
|
|
|
|
|
tick.bidPrice4 = data['bidprice4']
|
|
|
|
|
|
tick.bidPrice5 = data['bidprice5']
|
|
|
|
|
|
|
|
|
|
|
|
tick.askPrice2 = data['askprice2']
|
|
|
|
|
|
tick.askPrice3 = data['askprice3']
|
|
|
|
|
|
tick.askPrice4 = data['askprice4']
|
|
|
|
|
|
tick.askPrice5 = data['askprice5']
|
|
|
|
|
|
|
|
|
|
|
|
tick.bidVolume2 = data['bidvolume2']
|
|
|
|
|
|
tick.bidVolume3 = data['bidvolume3']
|
|
|
|
|
|
tick.bidVolume4 = data['bidvolume4']
|
|
|
|
|
|
tick.bidVolume5 = data['bidvolume5']
|
|
|
|
|
|
|
|
|
|
|
|
tick.askVolume2 = data['askvolume2']
|
|
|
|
|
|
tick.askVolume3 = data['askvolume3']
|
|
|
|
|
|
tick.askVolume4 = data['askvolume4']
|
|
|
|
|
|
tick.askVolume5 = data['askvolume5']
|
|
|
|
|
|
|
|
|
|
|
|
tick.upperLimit = data['limit_up']
|
|
|
|
|
|
tick.lowerLimit = data['limit_down']
|
|
|
|
|
|
|
|
|
|
|
|
self.gateway.onTick(tick)
|
2018-05-14 14:02:15 +00:00
|
|
|
|
except Exception as e:
|
2017-12-04 06:55:48 +00:00
|
|
|
|
self.writeLog(u'行情更新失败，错误信息：%s' % str(e))
|
|
|
|
|
|
|
|
|
|
|
|
#----------------------------------------------------------------------
|
|
|
|
|
|
def connect(self, dataAddress, username, token):
|
|
|
|
|
|
"""连接"""
|
|
|
|
|
|
if self.api:
|
|
|
|
|
|
self.writeLog(u'行情已经连接')
|
|
|
|
|
|
return
|
|
|
|
|
|
|
|
|
|
|
|
self.api = DataApi(dataAddress)
|
|
|
|
|
|
|
|
|
|
|
|
result, msg = self.api.login(username, token)
|
|
|
|
|
|
|
|
|
|
|
|
if not result:
|
|
|
|
|
|
self.writeLog(u'行情登录失败，错误信息：%sa' %str(msg))
|
|
|
|
|
|
return
|
|
|
|
|
|
|
|
|
|
|
|
self.writeLog(u'行情连接成功')
|
|
|
|
|
|
|
|
|
|
|
|
#----------------------------------------------------------------------
|
|
|
|
|
|
def subscribe(self, subscribeReq):
|
|
|
|
|
|
"""订阅行情"""
|
|
|
|
|
|
exchange = exchangeMap.get(subscribeReq.exchange, '')
|
|
|
|
|
|
security = '.'.join([subscribeReq.symbol, exchange])
|
|
|
|
|
|
|
|
|
|
|
|
subscribed, msg = self.api.subscribe(security, fields=self.fields, func=self.onMarketData)
|
|
|
|
|
|
|
|
|
|
|
|
if not subscribed:
|
|
|
|
|
|
self.writeLog(u'行情订阅失败，错误信息：%s' %str(msg))
|
|
|
|
|
|
|
|
|
|
|
|
#----------------------------------------------------------------------
|
|
|
|
|
|
def writeLog(self, logContent):
|
|
|
|
|
|
"""记录日志"""
|
|
|
|
|
|
log = VtLogData()
|
|
|
|
|
|
log.gatewayName = self.gatewayName
|
|
|
|
|
|
log.logContent = logContent
|
|
|
|
|
|
self.gateway.onLog(log)
|
|
|
|
|
|
|
