vnpy/vn.trader/vtGateway.py

# encoding: UTF-8

import time

from datetime import datetime

from eventEngine import *

from vtConstant import *

import logging


########################################################################
class VtGateway(object):
    """交易接口"""

    # ----------------------------------------------------------------------
    def __init__(self, eventEngine, gatewayName):
        """Constructor"""
        self.eventEngine = eventEngine
        self.gatewayName = gatewayName
        
    # ----------------------------------------------------------------------
    def onTick(self, tick):
        """市场行情推送"""
        # 通用事件
        event1 = Event(type_=EVENT_TICK)
        event1.dict_['data'] = tick
        self.eventEngine.put(event1)
        
        # 特定合约代码的事件
        event2 = Event(type_=EVENT_TICK+tick.vtSymbol)
        event2.dict_['data'] = tick
        self.eventEngine.put(event2)
    
    # ----------------------------------------------------------------------
    def onTrade(self, trade):
        """成交信息推送"""
        # 通用事件
        event1 = Event(type_=EVENT_TRADE)
        event1.dict_['data'] = trade
        self.eventEngine.put(event1)
        
        # 特定合约的成交事件
        event2 = Event(type_=EVENT_TRADE+trade.vtSymbol)
        event2.dict_['data'] = trade
        self.eventEngine.put(event2)        
    
    # ----------------------------------------------------------------------
    def onOrder(self, order):
        """订单变化推送"""
        # 通用事件
        event1 = Event(type_=EVENT_ORDER)
        event1.dict_['data'] = order
        self.eventEngine.put(event1)
        
        # 特定订单编号的事件
        event2 = Event(type_=EVENT_ORDER+order.vtOrderID)
        event2.dict_['data'] = order
        self.eventEngine.put(event2)
    
    # ----------------------------------------------------------------------
    def onPosition(self, position):
        """持仓信息推送"""
        # 通用事件
        event1 = Event(type_=EVENT_POSITION)
        event1.dict_['data'] = position
        self.eventEngine.put(event1)
        
        # 特定合约代码的事件
        event2 = Event(type_=EVENT_POSITION+position.vtSymbol)
        event2.dict_['data'] = position
        self.eventEngine.put(event2)
    
    # ----------------------------------------------------------------------
    def onAccount(self, account):
        """账户信息推送"""
        # 通用事件
        event1 = Event(type_=EVENT_ACCOUNT)
        event1.dict_['data'] = account
        self.eventEngine.put(event1)
        
        # 特定合约代码的事件
        event2 = Event(type_=EVENT_ACCOUNT+account.vtAccountID)
        event2.dict_['data'] = account
        self.eventEngine.put(event2)
    
    # ----------------------------------------------------------------------
    def onError(self, error):
        """错误信息推送"""
        # 通用事件
        event1 = Event(type_=EVENT_ERROR)
        event1.dict_['data'] = error
        self.eventEngine.put(event1)

        logMsg = u'{0}:[{1}]:{2}'.format(error.gatewayName, error.errorID,error.errorMsg )
        # 写入本地log日志
        logging.info(logMsg)
        
    # ----------------------------------------------------------------------
    def onLog(self, log):
        """日志推送"""
        # 通用事件
        event1 = Event(type_=EVENT_LOG)
        event1.dict_['data'] = log
        self.eventEngine.put(event1)

        # 写入本地log日志
        logging.info(log.logContent)

        
    # ----------------------------------------------------------------------
    def onContract(self, contract):
        """合约基础信息推送"""
        # 通用事件
        event1 = Event(type_=EVENT_CONTRACT)
        event1.dict_['data'] = contract
        self.eventEngine.put(event1)        
    
    # ----------------------------------------------------------------------
    def connect(self):
        """连接"""
        pass
    
    # ----------------------------------------------------------------------
    def subscribe(self, subscribeReq):
        """订阅行情"""
        pass
    
    # ----------------------------------------------------------------------
    def sendOrder(self, orderReq):
        """发单"""
        pass
    
    # ----------------------------------------------------------------------
    def cancelOrder(self, cancelOrderReq):
        """撤单"""
        pass
    
    # ----------------------------------------------------------------------
    def qryAccount(self):
        """查询账户资金"""
        pass
    
    # ----------------------------------------------------------------------
    def qryPosition(self):
        """查询持仓"""
        pass
    
    # ----------------------------------------------------------------------
    def close(self):
        """关闭"""
        pass


########################################################################
class VtBaseData(object):
    """回调函数推送数据的基础类，其他数据类继承于此"""

    # ----------------------------------------------------------------------
    def __init__(self):
        """Constructor"""
        self.gatewayName = EMPTY_STRING         # Gateway名称        
        self.rawData = None                     # 原始数据
        
        
########################################################################
class VtTickData(VtBaseData):
    """Tick行情数据类"""

    # ----------------------------------------------------------------------
    def __init__(self):
        """Constructor"""
        super(VtTickData, self).__init__()
        
        # 代码相关
        self.symbol = EMPTY_STRING              # 合约代码
        self.exchange = EMPTY_STRING            # 交易所代码
        self.vtSymbol = EMPTY_STRING            # 合约在vt系统中的唯一代码，通常是 合约代码.交易所代码
        
        # 成交数据
        self.lastPrice = EMPTY_FLOAT            # 最新成交价
        self.lastVolume = EMPTY_INT             # 最新成交量
        self.volume = EMPTY_INT                 # 今天总成交量
        self.openInterest = EMPTY_INT           # 持仓量
        self.time = EMPTY_STRING                # 时间 11:20:56.5
        self.date = EMPTY_STRING                # 日期 20151009
        self.tradingDay = EMPTY_STRING          # 交易日期
        
        # 常规行情
        self.openPrice = EMPTY_FLOAT            # 今日开盘价
        self.highPrice = EMPTY_FLOAT            # 今日最高价
        self.lowPrice = EMPTY_FLOAT             # 今日最低价
        self.preClosePrice = EMPTY_FLOAT
        
        self.upperLimit = EMPTY_FLOAT           # 涨停价
        self.lowerLimit = EMPTY_FLOAT           # 跌停价
        
        # 五档行情
        self.bidPrice1 = EMPTY_FLOAT
        self.bidPrice2 = EMPTY_FLOAT
        self.bidPrice3 = EMPTY_FLOAT
        self.bidPrice4 = EMPTY_FLOAT
        self.bidPrice5 = EMPTY_FLOAT
        
        self.askPrice1 = EMPTY_FLOAT
        self.askPrice2 = EMPTY_FLOAT
        self.askPrice3 = EMPTY_FLOAT
        self.askPrice4 = EMPTY_FLOAT
        self.askPrice5 = EMPTY_FLOAT        
        
        self.bidVolume1 = EMPTY_INT
        self.bidVolume2 = EMPTY_INT
        self.bidVolume3 = EMPTY_INT
        self.bidVolume4 = EMPTY_INT
        self.bidVolume5 = EMPTY_INT
        
        self.askVolume1 = EMPTY_INT
        self.askVolume2 = EMPTY_INT
        self.askVolume3 = EMPTY_INT
        self.askVolume4 = EMPTY_INT
        self.askVolume5 = EMPTY_INT         
    
    
########################################################################
class VtTradeData(VtBaseData):
    """成交数据类"""

    # ----------------------------------------------------------------------
    def __init__(self):
        """Constructor"""
        super(VtTradeData, self).__init__()
        
        # 代码编号相关
        self.symbol = EMPTY_STRING              # 合约代码
        self.exchange = EMPTY_STRING            # 交易所代码
        self.vtSymbol = EMPTY_STRING            # 合约在vt系统中的唯一代码，通常是 合约代码.交易所代码
        
        self.tradeID = EMPTY_STRING             # 成交编号
        self.vtTradeID = EMPTY_STRING           # 成交在vt系统中的唯一编号，通常是 Gateway名.成交编号
        
        self.orderID = EMPTY_STRING             # 订单编号
        self.vtOrderID = EMPTY_STRING           # 订单在vt系统中的唯一编号，通常是 Gateway名.订单编号
        
        # 成交相关
        self.direction = EMPTY_UNICODE          # 成交方向
        self.offset = EMPTY_UNICODE             # 成交开平仓
        self.price = EMPTY_FLOAT                # 成交价格
        self.volume = EMPTY_INT                 # 成交数量
        self.tradeTime = EMPTY_STRING           # 成交时间
   

########################################################################
class VtOrderData(VtBaseData):
    """订单数据类"""

    # ----------------------------------------------------------------------
    def __init__(self):
        """Constructor"""
        super(VtOrderData, self).__init__()
        
        # 代码编号相关
        self.symbol = EMPTY_STRING              # 合约代码
        self.exchange = EMPTY_STRING            # 交易所代码
        self.vtSymbol = EMPTY_STRING            # 合约在vt系统中的唯一代码，通常是 合约代码.交易所代码
        
        self.orderID = EMPTY_STRING             # 订单编号
        self.vtOrderID = EMPTY_STRING           # 订单在vt系统中的唯一编号，通常是 Gateway名.订单编号
        
        # 报单相关
        self.direction = EMPTY_UNICODE          # 报单方向
        self.offset = EMPTY_UNICODE             # 报单开平仓
        self.price = EMPTY_FLOAT                # 报单价格
        self.totalVolume = EMPTY_INT            # 报单总数量
        self.tradedVolume = EMPTY_INT           # 报单成交数量
        self.status = EMPTY_UNICODE             # 报单状态
        
        self.orderTime = EMPTY_STRING           # 发单时间
        self.updateTime = EMPTY_STRING          # 最后更新时间
        self.cancelTime = EMPTY_STRING          # 撤单时间
        
        # CTP/LTS相关
        self.frontID = EMPTY_INT                # 前置机编号
        self.sessionID = EMPTY_INT              # 连接编号

    
########################################################################
class VtPositionData(VtBaseData):
    """持仓数据类"""

    # ----------------------------------------------------------------------
    def __init__(self):
        """Constructor"""
        super(VtPositionData, self).__init__()
        
        # 代码编号相关
        self.symbol = EMPTY_STRING              # 合约代码
        self.exchange = EMPTY_STRING            # 交易所代码
        self.vtSymbol = EMPTY_STRING            # 合约在vt系统中的唯一代码，合约代码.交易所代码  
        
        # 持仓相关
        self.direction = EMPTY_STRING           # 持仓方向
        self.position = EMPTY_INT               # 持仓量
        self.frozen = EMPTY_INT                 # 冻结数量
        self.price = EMPTY_FLOAT                # 持仓均价
        self.vtPositionName = EMPTY_STRING      # 持仓在vt系统中的唯一代码，通常是vtSymbol.方向
        
        # 20151020添加
        self.ydPosition = EMPTY_INT             # 昨持仓


########################################################################
class VtAccountData(VtBaseData):
    """账户数据类"""

    # ----------------------------------------------------------------------
    def __init__(self):
        """Constructor"""
        super(VtAccountData, self).__init__()
        
        # 账号代码相关
        self.accountID = EMPTY_STRING           # 账户代码
        self.vtAccountID = EMPTY_STRING         # 账户在vt中的唯一代码，通常是 Gateway名.账户代码
        
        # 数值相关
        self.preBalance = EMPTY_FLOAT           # 昨日账户结算净值
        self.balance = EMPTY_FLOAT              # 账户净值
        self.available = EMPTY_FLOAT            # 可用资金
        self.commission = EMPTY_FLOAT           # 今日手续费
        self.margin = EMPTY_FLOAT               # 保证金占用
        self.closeProfit = EMPTY_FLOAT          # 平仓盈亏
        self.positionProfit = EMPTY_FLOAT       # 持仓盈亏
        

########################################################################
class VtErrorData(VtBaseData):
    """错误数据类"""

    # ----------------------------------------------------------------------
    def __init__(self):
        """Constructor"""
        super(VtErrorData, self).__init__()
        
        self.errorID = EMPTY_STRING             # 错误代码
        self.errorMsg = EMPTY_UNICODE           # 错误信息
        self.additionalInfo = EMPTY_UNICODE     # 补充信息

        self.errorTime = time.strftime('%X', time.localtime())    # 错误生成时间


########################################################################
class VtLogData(VtBaseData):
    """日志数据类"""

    # ----------------------------------------------------------------------
    def __init__(self):
        """Constructor"""
        super(VtLogData, self).__init__()
        
        #self.logTime = time.strftime('%X:%f', time.localtime())    # 日志生成时间
        self.logTime = datetime.now().strftime('%X:%f')
        self.logContent = EMPTY_UNICODE                         # 日志信息


########################################################################
class VtContractData(VtBaseData):
    """合约详细信息类"""

    # ----------------------------------------------------------------------
    def __init__(self):
        """Constructor"""
        super(VtContractData, self).__init__()
        
        self.symbol = EMPTY_STRING              # 代码
        self.exchange = EMPTY_STRING            # 交易所代码
        self.vtSymbol = EMPTY_STRING            # 合约在vt系统中的唯一代码，通常是 合约代码.交易所代码
        self.name = EMPTY_UNICODE               # 合约中文名
        
        self.productClass = EMPTY_UNICODE       # 合约类型
        self.size = EMPTY_INT                   # 合约大小
        self.priceTick = EMPTY_FLOAT            # 合约最小价格TICK
        
        # 期权相关
        self.strikePrice = EMPTY_FLOAT          # 期权行权价
        self.underlyingSymbol = EMPTY_STRING    # 标的物合约代码
        self.optionType = EMPTY_UNICODE         # 期权类型


########################################################################
class VtSubscribeReq(object):
    """订阅行情时传入的对象类"""

    # ----------------------------------------------------------------------
    def __init__(self):
        """Constructor"""
        self.symbol = EMPTY_STRING              # 代码
        self.exchange = EMPTY_STRING            # 交易所
        
        # 以下为IB相关
        self.productClass = EMPTY_UNICODE       # 合约类型
        self.currency = EMPTY_STRING            # 合约货币
        self.expiry = EMPTY_STRING              # 到期日
        self.strikePrice = EMPTY_FLOAT          # 行权价
        self.optionType = EMPTY_UNICODE         # 期权类型


########################################################################
class VtOrderReq(object):
    """发单时传入的对象类"""

    # ----------------------------------------------------------------------
    def __init__(self):
        """Constructor"""
        self.symbol = EMPTY_STRING              # 代码
        self.exchange = EMPTY_STRING            # 交易所
        self.price = EMPTY_FLOAT                # 价格
        self.volume = EMPTY_INT                 # 数量
    
        self.priceType = EMPTY_STRING           # 价格类型
        self.direction = EMPTY_STRING           # 买卖
        self.offset = EMPTY_STRING              # 开平

        # 以下为IB相关
        self.productClass = EMPTY_UNICODE       # 合约类型
        self.currency = EMPTY_STRING            # 合约货币
        self.expiry = EMPTY_STRING              # 到期日
        self.strikePrice = EMPTY_FLOAT          # 行权价
        self.optionType = EMPTY_UNICODE         # 期权类型        


########################################################################
class VtCancelOrderReq(object):
    """撤单时传入的对象类"""

    # ----------------------------------------------------------------------
    def __init__(self):
        """Constructor"""
        self.symbol = EMPTY_STRING              # 代码
        self.exchange = EMPTY_STRING            # 交易所
        
        # 以下字段主要和CTP、LTS类接口相关
        self.orderID = EMPTY_STRING             # 报单号
        self.frontID = EMPTY_STRING             # 前置机号
        self.sessionID = EMPTY_STRING           # 会话号