792 lines
29 KiB
Python
792 lines
29 KiB
Python
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# encoding: UTF-8
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'''
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vn.ksgold的gateway接入
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金仕达黄金接口在用户登录后，并不提供之前的Order和Trade数据主动推送，
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而是需要用户自行查询，因此API里做了初始化后的查询设计。
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'''
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import os
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import json
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import time
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from vnksgoldtd import TdApi
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from ksgoldDataType import *
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from vtGateway import *
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# 以下类型映射参考的是原生API里的Constant.h
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# 方向类型映射
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directionMap = {}
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directionMap[DIRECTION_LONG] = '0'
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directionMap[DIRECTION_SHORT] = '1'
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directionMapReverse = {v: k for k, v in directionMap.items()}
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# 开平类型映射
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offsetMap = {}
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offsetMap[OFFSET_OPEN] = '0'
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offsetMap[OFFSET_CLOSE] = '1'
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offsetMapReverse = {v:k for k,v in offsetMap.items()}
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########################################################################
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class KsgoldGateway(VtGateway):
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"""金仕达黄金接口"""
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#----------------------------------------------------------------------
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def __init__(self, eventEngine, gatewayName='KSGOLD'):
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"""Constructor"""
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super(KsgoldGateway, self).__init__(eventEngine, gatewayName)
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self.tdApi = KsgoldTdApi(self) # 黄金接口只有交易API
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self.tdConnected = False # 交易API连接状态
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self.qryEnabled = False # 是否要启动循环查询
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self.orderInited = False # 委托初始化查询
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self.tradeInited = False # 成交初始化查询
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#----------------------------------------------------------------------
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def connect(self):
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"""连接"""
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# 载入json文件
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fileName = self.gatewayName + '_connect.json'
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fileName = os.getcwd() + '/ksgoldGateway/' + fileName
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try:
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f = file(fileName)
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except IOError:
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log = VtLogData()
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log.gatewayName = self.gatewayName
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log.logContent = u'读取连接配置出错，请检查'
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self.onLog(log)
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return
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# 解析json文件
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setting = json.load(f)
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try:
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accountID = str(setting['accountID'])
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password = str(setting['password'])
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address = str(setting['address'])
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except KeyError:
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log = VtLogData()
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log.gatewayName = self.gatewayName
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log.logContent = u'连接配置缺少字段，请检查'
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self.onLog(log)
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return
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# 创建行情和交易接口对象
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self.tdApi.connect(accountID, password, address)
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# 初始化并启动查询
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self.initQuery()
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#----------------------------------------------------------------------
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def subscribe(self, subscribeReq):
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"""订阅行情"""
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self.tdApi.subscribe(subscribeReq)
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#----------------------------------------------------------------------
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def sendOrder(self, orderReq):
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"""发单"""
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return self.tdApi.sendOrder(orderReq)
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#----------------------------------------------------------------------
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def cancelOrder(self, cancelOrderReq):
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"""撤单"""
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self.tdApi.cancelOrder(cancelOrderReq)
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#----------------------------------------------------------------------
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def qryAccount(self):
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"""查询账户资金"""
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self.tdApi.qryAccount()
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#----------------------------------------------------------------------
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def qryPosition(self):
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"""查询持仓"""
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self.tdApi.qryPosition()
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#----------------------------------------------------------------------
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def close(self):
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"""关闭"""
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if self.tdConnected:
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self.tdApi.close()
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#----------------------------------------------------------------------
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def initQuery(self):
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"""初始化连续查询"""
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# 需要循环的查询函数列表
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self.qryFunctionList = [self.qryAccount, self.qryPosition]
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self.qryCount = 0 # 查询触发倒计时
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self.qryTrigger = 2 # 查询触发点
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self.qryNextFunction = 0 # 上次运行的查询函数索引
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#----------------------------------------------------------------------
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def query(self, event):
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"""注册到事件处理引擎上的查询函数"""
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self.qryCount += 1
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if self.qryCount > self.qryTrigger:
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# 清空倒计时
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self.qryCount = 0
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# 如果尚未完成委托查询则先查询委托
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if not self.orderInited:
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self.tdApi.getOrder()
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# 然后如果未完成成交查询则再查询成交
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elif not self.tradeInited:
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self.tdApi.getTrade()
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else:
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# 执行查询函数
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function = self.qryFunctionList[self.qryNextFunction]
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function()
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# 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
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self.qryNextFunction += 1
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if self.qryNextFunction == len(self.qryFunctionList):
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self.qryNextFunction = 0
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#----------------------------------------------------------------------
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def startQuery(self):
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"""启动连续查询"""
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if self.qryEnabled:
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self.eventEngine.register(EVENT_TIMER, self.query)
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#----------------------------------------------------------------------
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def setQryEnabled(self, qryEnabled):
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"""设置是否要启动循环查询"""
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self.qryEnabled = qryEnabled
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########################################################################
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class KsgoldTdApi(TdApi):
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"""金仕达黄金交易API实现"""
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#----------------------------------------------------------------------
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def __init__(self, gateway):
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"""API对象的初始化函数"""
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super(KsgoldTdApi, self).__init__()
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self.gateway = gateway # gateway对象
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self.gatewayName = gateway.gatewayName # gateway对象名称
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self.reqID = EMPTY_INT # 操作请求编号
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self.orderRef = EMPTY_INT # 订单编号
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self.connectionStatus = False # 连接状态
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self.loginStatus = False # 登录状态
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self.accountID = EMPTY_STRING # 账号
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self.password = EMPTY_STRING # 密码
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self.memberID = EMPTY_STRING # 会员代码（应该是银行）
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self.address = EMPTY_STRING # 服务器地址
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self.seatID = EMPTY_STRING; # 席位号
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self.tradeCode = EMPTY_STRING # 交易编码
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self.subscribedSymbols = set() # 已订阅合约代码
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self.orderDict = {} # 委托字典，用于缓存委托对象，key为整数
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# 循环登录相关
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self.loginThread = None
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#----------------------------------------------------------------------
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def onFrontConnected(self):
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"""服务器连接"""
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self.connectionStatus = True
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log = VtLogData()
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log.gatewayName = self.gatewayName
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log.logContent = u'交易服务器连接成功'
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self.gateway.onLog(log)
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self.login()
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#----------------------------------------------------------------------
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def onFrontDisconnected(self, n):
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"""服务器断开"""
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self.connectionStatus = False
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self.loginStatus = False
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self.gateway.tdConnected = False
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log = VtLogData()
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log.gatewayName = self.gatewayName
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log.logContent = u'交易服务器连接断开'
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self.gateway.onLog(log)
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#----------------------------------------------------------------------
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def onRspUserLogin(self, data, error, n, last):
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"""登陆回报"""
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# 如果登录成功，推送日志信息
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if error['ErrorID'] == 0:
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self.seatID = str(data['SeatNo'])
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self.tradeCode = str(data['tradeCode'])
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self.loginStatus = True
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self.gateway.tdConnected = True
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log = VtLogData()
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log.gatewayName = self.gatewayName
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log.logContent = u'交易服务器登录完成'
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self.gateway.onLog(log)
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# 重新订阅之前订阅的合约
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for subscribeReq in self.subscribedSymbols:
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self.subscribe(subscribeReq)
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# 查询合约信息
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self.reqID += 1
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self.reqQryInstrument({}, self.reqID)
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# 启动查询
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self.gateway.startQuery()
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# 否则，推送错误信息
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else:
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err = VtErrorData()
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err.gatewayName = self.gatewayName
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err.errorID = error['ErrorID']
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err.errorMsg = error['ErrorMsg'].decode('gbk')
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self.gateway.onError(err)
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if error['ErrorID'] == -8:
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self.login()
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#----------------------------------------------------------------------
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def onRspUserLogout(self, data, error, n, last):
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"""登出回报"""
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# 如果登出成功，推送日志信息
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if error['ErrorID'] == 0:
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self.loginStatus = False
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self.gateway.tdConnected = False
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log = VtLogData()
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log.gatewayName = self.gatewayName
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log.logContent = u'交易服务器登出完成'
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self.gateway.onLog(log)
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# 否则，推送错误信息
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else:
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err = VtErrorData()
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err.gatewayName = self.gatewayName
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err.errorID = error['ErrorID']
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err.errorMsg = error['ErrorMsg'].decode('gbk')
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self.gateway.onError(err)
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#----------------------------------------------------------------------
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def onNtyMktStatus(self, data, error, n, last):
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"""更新市场状态"""
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pass
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#----------------------------------------------------------------------
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def onRspOrderInsert(self, data, error, n, last):
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"""发单错误（柜台）"""
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if error['ErrorID']:
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err = VtErrorData()
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err.gatewayName = self.gatewayName
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err.errorID = error['ErrorID']
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err.errorMsg = error['ErrorMsg'].decode('gbk')
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self.gateway.onError(err)
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#----------------------------------------------------------------------
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def onRspOrderAction(self, data, error, n, last):
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"""撤单错误（柜台）"""
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if error['ErrorID']:
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err = VtErrorData()
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err.gatewayName = self.gatewayName
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err.errorID = error['ErrorID']
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err.errorMsg = error['ErrorMsg'].decode('gbk')
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self.gateway.onError(err)
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#----------------------------------------------------------------------
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def onRspQryOrder(self, data, error, n, last):
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""""""
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if not self.gateway.orderInited:
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self.gateway.orderInited = True
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log = VtLogData()
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log.gatewayName = self.gatewayName
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log.logContent = u'委托查询完成'
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self.gateway.onLog(log)
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# 更新最大报单编号
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newref = data['localOrderNo']
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self.orderRef = max(self.orderRef, int(newref))
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# 创建报单数据对象
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order = VtOrderData()
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order.gatewayName = self.gatewayName
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# 保存代码和报单号
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order.symbol = data['instID']
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order.exchange = EXCHANGE_SGE
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order.vtSymbol = order.symbol
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order.orderID = data['localOrderNo']
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# 方向
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if data['buyOrSell'] == '0':
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order.direction = DIRECTION_LONG
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elif data['buyOrSell'] == '1':
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order.direction = DIRECTION_SHORT
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else:
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order.direction = DIRECTION_UNKNOWN
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# 开平
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if data['offsetFlag'] == '0':
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order.offset = OFFSET_OPEN
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elif data['offsetFlag'] == '1':
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order.offset = OFFSET_CLOSE
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else:
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order.offset = OFFSET_UNKNOWN
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# 状态
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if data['status'] == '5':
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order.status = STATUS_ALLTRADED
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elif data['status'] == '6':
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order.status = STATUS_PARTTRADED
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elif data['status'] == '3':
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order.status = STATUS_NOTTRADED
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elif data['status'] == '4' or data['status'] == '7': # 全部撤销和部成部撤
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order.status = STATUS_CANCELLED
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else:
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order.status = STATUS_UNKNOWN
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|||
|
|
# CTP的报单号一致性维护需要基于frontID, sessionID, orderID三个字段
|
|||
|
|
# 但在本接口设计中，已经考虑了CTP的OrderRef的自增性，避免重复
|
|||
|
|
# 唯一可能出现OrderRef重复的情况是多处登录并在非常接近的时间内（几乎同时发单）
|
|||
|
|
# 考虑到VtTrader的应用场景，认为以上情况不会构成问题
|
|||
|
|
order.vtOrderID = '.'.join([self.gatewayName, order.orderID])
|
|||
|
|
|
|||
|
|
# 价格、报单量等数值
|
|||
|
|
order.price = data['price']
|
|||
|
|
order.totalVolume = data['amount']
|
|||
|
|
order.tradedVolume = data['matchQty']
|
|||
|
|
order.orderTime = data['entrustTime']
|
|||
|
|
order.cancelTime = data['cancelTime']
|
|||
|
|
|
|||
|
|
# 推送
|
|||
|
|
self.gateway.onOrder(order)
|
|||
|
|
|
|||
|
|
#----------------------------------------------------------------------
|
|||
|
|
def onRspQryTrade(self, data, error, n, last):
|
|||
|
|
""""""
|
|||
|
|
if not self.gateway.tradeInited:
|
|||
|
|
self.gateway.tradeInited = True
|
|||
|
|
|
|||
|
|
log = VtLogData()
|
|||
|
|
log.gatewayName = self.gatewayName
|
|||
|
|
log.logContent = u'成交查询完成'
|
|||
|
|
self.gateway.onLog(log)
|
|||
|
|
|
|||
|
|
# 创建报单数据对象
|
|||
|
|
trade = VtTradeData()
|
|||
|
|
trade.gatewayName = self.gatewayName
|
|||
|
|
|
|||
|
|
# 保存代码和报单号
|
|||
|
|
trade.symbol = data['instID']
|
|||
|
|
trade.exchange = EXCHANGE_SGE
|
|||
|
|
trade.vtSymbol = trade.symbol
|
|||
|
|
|
|||
|
|
trade.tradeID = data['matchNo']
|
|||
|
|
trade.vtTradeID = '.'.join([self.gatewayName, trade.tradeID])
|
|||
|
|
|
|||
|
|
trade.orderID = data['localOrderNo']
|
|||
|
|
trade.vtOrderID = '.'.join([self.gatewayName, trade.orderID])
|
|||
|
|
|
|||
|
|
# 方向
|
|||
|
|
trade.direction = directionMapReverse.get(data['buyOrSell'], '')
|
|||
|
|
|
|||
|
|
# 开平
|
|||
|
|
trade.offset = offsetMapReverse.get(data['offSetFlag'], '')
|
|||
|
|
|
|||
|
|
# 价格、报单量等数值
|
|||
|
|
trade.price = data['price']
|
|||
|
|
trade.volume = data['volume']
|
|||
|
|
trade.tradeTime = data['matchTime']
|
|||
|
|
|
|||
|
|
# 推送
|
|||
|
|
self.gateway.onTrade(trade)
|
|||
|
|
|
|||
|
|
#----------------------------------------------------------------------
|
|||
|
|
def onRspQryInvestorPosition(self, data, error, n, last):
|
|||
|
|
"""持仓查询回报"""
|
|||
|
|
# 过滤一些空的数据
|
|||
|
|
if data['instID']:
|
|||
|
|
# 黄金API推送的持仓数据把多空仓放在了一条中，需要分离
|
|||
|
|
longPos = VtPositionData()
|
|||
|
|
longPos.gatewayName = self.gatewayName
|
|||
|
|
longPos.symbol = data['instID']
|
|||
|
|
longPos.vtSymbol = longPos.symbol
|
|||
|
|
longPos.direction = DIRECTION_LONG
|
|||
|
|
longPos.frozen = data['longPosiFrozen']
|
|||
|
|
longPos.position = data['longPosiVol']
|
|||
|
|
longPos.ydPosition = data['lastLong']
|
|||
|
|
longPos.price = data['longPosiAvgPrice']
|
|||
|
|
longPos.vtPositionName = '.'.join([longPos.vtSymbol, longPos.direction])
|
|||
|
|
self.gateway.onPosition(longPos)
|
|||
|
|
|
|||
|
|
shortPos = VtPositionData()
|
|||
|
|
shortPos.gatewayName = self.gatewayName
|
|||
|
|
shortPos.symbol = data['instID']
|
|||
|
|
shortPos.vtSymbol = shortPos.symbol
|
|||
|
|
shortPos.direction = DIRECTION_SHORT
|
|||
|
|
shortPos.frozen = data['shortPosiFrozen']
|
|||
|
|
shortPos.position = data['shortPosiVol']
|
|||
|
|
shortPos.ydPosition = data['lastShort']
|
|||
|
|
shortPos.price = data['shortPosiAvgPrice']
|
|||
|
|
shortPos.vtPositionName = '.'.join([shortPos.vtSymbol, shortPos.direction])
|
|||
|
|
self.gateway.onPosition(shortPos)
|
|||
|
|
|
|||
|
|
#----------------------------------------------------------------------
|
|||
|
|
def onRspQryTradingAccount(self, data, error, n, last):
|
|||
|
|
"""资金账户查询回报"""
|
|||
|
|
account = VtAccountData()
|
|||
|
|
account.gatewayName = self.gatewayName
|
|||
|
|
|
|||
|
|
# 账户代码
|
|||
|
|
account.accountID = 'sge_account' # API不提供该字段，自行定义
|
|||
|
|
account.vtAccountID = '.'.join([self.gatewayName, account.accountID])
|
|||
|
|
|
|||
|
|
# 数值相关
|
|||
|
|
account.available = data['availCap']
|
|||
|
|
account.commission = data['totalFee']
|
|||
|
|
account.margin = data['posiMargin']
|
|||
|
|
|
|||
|
|
# 推送
|
|||
|
|
self.gateway.onAccount(account)
|
|||
|
|
|
|||
|
|
#----------------------------------------------------------------------
|
|||
|
|
def onRspQryInstrument(self, data, error, n, last):
|
|||
|
|
"""合约查询回报"""
|
|||
|
|
contract = VtContractData()
|
|||
|
|
contract.gatewayName = self.gatewayName
|
|||
|
|
|
|||
|
|
contract.symbol = data['instID']
|
|||
|
|
contract.exchange = EXCHANGE_SGE # 交易所只有金交所
|
|||
|
|
|
|||
|
|
# 合约类型分为现货、延期、未知
|
|||
|
|
if data['marketID'] == '00':
|
|||
|
|
contract.productClass = PRODUCT_SPOT
|
|||
|
|
elif data['marketID'] == '10':
|
|||
|
|
contract.productClass = PRODUCT_DEFER
|
|||
|
|
else:
|
|||
|
|
contract.productclass = PRODUCT_UNKNOWN
|
|||
|
|
|
|||
|
|
contract.vtSymbol = contract.symbol
|
|||
|
|
contract.name = data['name'].decode('GBK')
|
|||
|
|
|
|||
|
|
# 合约数值
|
|||
|
|
contract.size = data['unit']
|
|||
|
|
contract.priceTick = data['tick']
|
|||
|
|
|
|||
|
|
# 推送，考虑到只对T+D类带杠杆的产品感兴趣，API里默认过滤了现货
|
|||
|
|
if data['marketID'] == '10':
|
|||
|
|
self.gateway.onContract(contract)
|
|||
|
|
|
|||
|
|
if last:
|
|||
|
|
log = VtLogData()
|
|||
|
|
log.gatewayName = self.gatewayName
|
|||
|
|
log.logContent = u'交易合约信息获取完成'
|
|||
|
|
self.gateway.onLog(log)
|
|||
|
|
|
|||
|
|
#----------------------------------------------------------------------
|
|||
|
|
def onRtnDepthMarketData(self, data):
|
|||
|
|
"""行情推送"""
|
|||
|
|
tick = VtTickData()
|
|||
|
|
tick.gatewayName = self.gatewayName
|
|||
|
|
|
|||
|
|
tick.symbol = data['InstID']
|
|||
|
|
tick.vtSymbol = tick.symbol
|
|||
|
|
|
|||
|
|
tick.lastPrice = data['Last']
|
|||
|
|
tick.volume = data['Volume']
|
|||
|
|
tick.openInterest = data['OpenInt']
|
|||
|
|
tick.time = data['QuoteTime']
|
|||
|
|
tick.date = data['QuoteDate']
|
|||
|
|
|
|||
|
|
tick.openPrice = data['Open']
|
|||
|
|
tick.highPrice = data['High']
|
|||
|
|
tick.lowPrice = data['Low']
|
|||
|
|
tick.preClosePrice = data['PreClose']
|
|||
|
|
|
|||
|
|
tick.upperLimit = data['highLimit']
|
|||
|
|
tick.lowerLimit = data['lowLimit']
|
|||
|
|
|
|||
|
|
# CTP只有一档行情
|
|||
|
|
tick.bidPrice1 = data['Bid1']
|
|||
|
|
tick.bidPrice2 = data['Bid2']
|
|||
|
|
tick.bidPrice3 = data['Bid3']
|
|||
|
|
tick.bidPrice4 = data['Bid4']
|
|||
|
|
tick.bidPrice5 = data['Bid5']
|
|||
|
|
|
|||
|
|
tick.askPrice1 = data['Ask1']
|
|||
|
|
tick.askPrice2 = data['Ask2']
|
|||
|
|
tick.askPrice3 = data['Ask3']
|
|||
|
|
tick.askPrice4 = data['Ask4']
|
|||
|
|
tick.askPrice5 = data['Ask5']
|
|||
|
|
|
|||
|
|
tick.bidVolume1 = data['BidLot1']
|
|||
|
|
tick.bidVolume2 = data['BidLot2']
|
|||
|
|
tick.bidVolume3 = data['BidLot3']
|
|||
|
|
tick.bidVolume4 = data['BidLot4']
|
|||
|
|
tick.bidVolume5 = data['BidLot5']
|
|||
|
|
|
|||
|
|
tick.askVolume1 = data['AskLot1']
|
|||
|
|
tick.askVolume2 = data['AskLot2']
|
|||
|
|
tick.askVolume3 = data['AskLot3']
|
|||
|
|
tick.askVolume4 = data['AskLot4']
|
|||
|
|
tick.askVolume5 = data['AskLot5']
|
|||
|
|
|
|||
|
|
self.gateway.onTick(tick)
|
|||
|
|
|
|||
|
|
#----------------------------------------------------------------------
|
|||
|
|
def onRtnOrder(self, data):
|
|||
|
|
"""报单回报"""
|
|||
|
|
# 更新最大报单编号
|
|||
|
|
newref = data['localOrderNo']
|
|||
|
|
self.orderRef = max(self.orderRef, int(newref))
|
|||
|
|
|
|||
|
|
# 创建报单数据对象
|
|||
|
|
order = self.orderDict.get(int(newref), VtOrderData())
|
|||
|
|
order.gatewayName = self.gatewayName
|
|||
|
|
order.exchange = EXCHANGE_SGE
|
|||
|
|
order.orderID = data['localOrderNo']
|
|||
|
|
|
|||
|
|
# 状态
|
|||
|
|
if data['status'] == '5':
|
|||
|
|
order.status = STATUS_ALLTRADED
|
|||
|
|
elif data['status'] == '6':
|
|||
|
|
order.status = STATUS_PARTTRADED
|
|||
|
|
elif data['status'] == '3':
|
|||
|
|
order.status = STATUS_NOTTRADED
|
|||
|
|
elif data['status'] == '4' or data['status'] == '7': # 全部撤销和部成部撤
|
|||
|
|
order.status = STATUS_CANCELLED
|
|||
|
|
else:
|
|||
|
|
order.status = STATUS_UNKNOWN
|
|||
|
|
|
|||
|
|
# 推送
|
|||
|
|
self.gateway.onOrder(order)
|
|||
|
|
|
|||
|
|
#----------------------------------------------------------------------
|
|||
|
|
def onForceLogout(self, data):
|
|||
|
|
"""强制登出推送"""
|
|||
|
|
self.gateway.onLog(u'被强制登出')
|
|||
|
|
|
|||
|
|
#----------------------------------------------------------------------
|
|||
|
|
def onRtnTrade(self, data):
|
|||
|
|
"""成交回报"""
|
|||
|
|
# 创建报单数据对象
|
|||
|
|
trade = VtTradeData()
|
|||
|
|
trade.gatewayName = self.gatewayName
|
|||
|
|
|
|||
|
|
# 保存代码和报单号
|
|||
|
|
trade.symbol = data['instID']
|
|||
|
|
trade.exchange = EXCHANGE_SGE
|
|||
|
|
trade.vtSymbol = trade.symbol
|
|||
|
|
|
|||
|
|
trade.tradeID = data['matchNo']
|
|||
|
|
trade.vtTradeID = '.'.join([self.gatewayName, trade.tradeID])
|
|||
|
|
|
|||
|
|
trade.orderID = data['localOrderNo']
|
|||
|
|
trade.vtOrderID = '.'.join([self.gatewayName, trade.orderID])
|
|||
|
|
|
|||
|
|
# 方向
|
|||
|
|
trade.direction = directionMapReverse.get(data['buyOrSell'], '')
|
|||
|
|
|
|||
|
|
# 开平
|
|||
|
|
trade.offset = offsetMapReverse.get(data['offSetFlag'], '')
|
|||
|
|
|
|||
|
|
# 价格、报单量等数值
|
|||
|
|
trade.price = data['price']
|
|||
|
|
trade.volume = data['volume']
|
|||
|
|
trade.tradeTime = data['matchTime']
|
|||
|
|
|
|||
|
|
# 推送
|
|||
|
|
self.gateway.onTrade(trade)
|
|||
|
|
|
|||
|
|
# 计算还原Order状态，并推送
|
|||
|
|
order = self.orderDict.get(int(trade.orderID), None)
|
|||
|
|
if order:
|
|||
|
|
order.tradedVolume = order.tradedVolume + trade.volume
|
|||
|
|
|
|||
|
|
if order.tradedVolume == order.totalVolume:
|
|||
|
|
order.status = STATUS_ALLTRADED
|
|||
|
|
else:
|
|||
|
|
order.status = STATUS_PARTTRADED
|
|||
|
|
|
|||
|
|
self.gateway.onOrder(order)
|
|||
|
|
|
|||
|
|
#----------------------------------------------------------------------
|
|||
|
|
def onErrRtnOrderInsert(self, data, error):
|
|||
|
|
"""发单错误回报（交易所）"""
|
|||
|
|
if error['ErrorID']:
|
|||
|
|
err = VtErrorData()
|
|||
|
|
err.gatewayName = self.gatewayName
|
|||
|
|
err.errorID = error['ErrorID']
|
|||
|
|
err.errorMsg = error['ErrorMsg'].decode('gbk')
|
|||
|
|
self.gateway.onError(err)
|
|||
|
|
|
|||
|
|
#----------------------------------------------------------------------
|
|||
|
|
def onErrRtnOrderAction(self, data, error):
|
|||
|
|
"""撤单错误回报（交易所）"""
|
|||
|
|
if error['ErrorID']:
|
|||
|
|
err = VtErrorData()
|
|||
|
|
err.gatewayName = self.gatewayName
|
|||
|
|
err.errorID = error['ErrorID']
|
|||
|
|
err.errorMsg = error['ErrorMsg'].decode('gbk')
|
|||
|
|
self.gateway.onError(err)
|
|||
|
|
|
|||
|
|
#----------------------------------------------------------------------
|
|||
|
|
def onRspQryClientStorage(self, data, error, n, last):
|
|||
|
|
""""""
|
|||
|
|
pass
|
|||
|
|
|
|||
|
|
#----------------------------------------------------------------------
|
|||
|
|
def onRspSubMarketData(self, data, error, n, last):
|
|||
|
|
""""""
|
|||
|
|
pass
|
|||
|
|
|
|||
|
|
#----------------------------------------------------------------------
|
|||
|
|
def connect(self, accountID, password, address):
|
|||
|
|
"""初始化连接"""
|
|||
|
|
self.accountID = accountID
|
|||
|
|
self.password = password
|
|||
|
|
self.address = address
|
|||
|
|
|
|||
|
|
# 如果尚未建立服务器连接，则进行连接
|
|||
|
|
if not self.connectionStatus:
|
|||
|
|
self.createGoldTraderApi()
|
|||
|
|
|
|||
|
|
# 注册服务器地址
|
|||
|
|
self.registerFront(self.address)
|
|||
|
|
|
|||
|
|
# 初始化连接，成功会调用onFrontConnected
|
|||
|
|
self.init(False)
|
|||
|
|
self.connectionStatus = True
|
|||
|
|
|
|||
|
|
# 金仕达接口第一次连接不会调用onFrontConnected（只有断线重连才会），直接登录
|
|||
|
|
self.login()
|
|||
|
|
|
|||
|
|
# 若已经连接但尚未登录，则进行登录
|
|||
|
|
else:
|
|||
|
|
if not self.loginStatus:
|
|||
|
|
self.login()
|
|||
|
|
|
|||
|
|
#----------------------------------------------------------------------
|
|||
|
|
def login(self):
|
|||
|
|
"""连接服务器"""
|
|||
|
|
# 如果填入了用户名密码等，则登录
|
|||
|
|
if self.accountID and self.password:
|
|||
|
|
req = {}
|
|||
|
|
req['accountID'] = self.accountID
|
|||
|
|
req['password'] = self.password
|
|||
|
|
req['loginType'] = 1
|
|||
|
|
self.reqID += 1
|
|||
|
|
self.reqUserLogin(req, self.reqID)
|
|||
|
|
|
|||
|
|
#----------------------------------------------------------------------
|
|||
|
|
def qryAccount(self):
|
|||
|
|
"""查询账户"""
|
|||
|
|
self.reqID += 1
|
|||
|
|
self.reqQryTradingAccount({}, self.reqID)
|
|||
|
|
|
|||
|
|
#----------------------------------------------------------------------
|
|||
|
|
def qryPosition(self):
|
|||
|
|
"""查询持仓"""
|
|||
|
|
self.reqID += 1
|
|||
|
|
self.reqQryInvestorPosition({}, self.reqID)
|
|||
|
|
|
|||
|
|
#----------------------------------------------------------------------
|
|||
|
|
def getTrade(self):
|
|||
|
|
"""查询成交"""
|
|||
|
|
self.reqID += 1
|
|||
|
|
self.reqQryTrade({}, self.reqID)
|
|||
|
|
|
|||
|
|
#----------------------------------------------------------------------
|
|||
|
|
def getOrder(self):
|
|||
|
|
"""查询委托"""
|
|||
|
|
self.reqID += 1
|
|||
|
|
self.reqQryOrder({}, self.reqID)
|
|||
|
|
|
|||
|
|
#----------------------------------------------------------------------
|
|||
|
|
def sendOrder(self, orderReq):
|
|||
|
|
"""发单"""
|
|||
|
|
self.reqID += 1
|
|||
|
|
self.orderRef += 1
|
|||
|
|
|
|||
|
|
req = {}
|
|||
|
|
|
|||
|
|
req['instID'] = orderReq.symbol
|
|||
|
|
req['marketID'] = '10'
|
|||
|
|
|
|||
|
|
req['price'] = orderReq.price
|
|||
|
|
req['amount'] = orderReq.volume
|
|||
|
|
|
|||
|
|
# 下面如果由于传入的类型本接口不支持，则会返回空字符串
|
|||
|
|
try:
|
|||
|
|
req['buyOrSell'] = directionMap[orderReq.direction]
|
|||
|
|
req['offsetFlag'] = offsetMap[orderReq.offset]
|
|||
|
|
except KeyError:
|
|||
|
|
return ''
|
|||
|
|
|
|||
|
|
strOrderID = generateStrLocalID(self.orderRef)
|
|||
|
|
req['LocalOrderNo'] = strOrderID
|
|||
|
|
req['seatID'] = self.seatID
|
|||
|
|
req['tradeCode'] = self.tradeCode
|
|||
|
|
|
|||
|
|
self.reqOrderInsert(req, self.reqID)
|
|||
|
|
|
|||
|
|
# 返回订单号（字符串），便于某些算法进行动态管理
|
|||
|
|
vtOrderID = '.'.join([self.gatewayName, strOrderID])
|
|||
|
|
|
|||
|
|
# 保存请求到本地，用于在收到回报时查询
|
|||
|
|
# 金仕达黄金API的onRtnOrder只推送很有限的几个数据，因此整个数据需要自己还原
|
|||
|
|
order = VtOrderData()
|
|||
|
|
order.gatewayName = self.gatewayName
|
|||
|
|
order.symbol = orderReq.symbol
|
|||
|
|
order.vtSymbol = orderReq.symbol
|
|||
|
|
order.exchange = EXCHANGE_SGE
|
|||
|
|
order.orderID = strOrderID
|
|||
|
|
order.vtOrderID = strOrderID
|
|||
|
|
order.direction = orderReq.direction
|
|||
|
|
order.offset = orderReq.offset
|
|||
|
|
order.price = orderReq.price
|
|||
|
|
order.totalVolume = orderReq.volume
|
|||
|
|
order.orderTime = time.strftime('%H:%M:%S') # 保存委托时间
|
|||
|
|
self.orderDict[self.orderRef] = order
|
|||
|
|
|
|||
|
|
return vtOrderID
|
|||
|
|
|
|||
|
|
#----------------------------------------------------------------------
|
|||
|
|
def cancelOrder(self, cancelOrderReq):
|
|||
|
|
"""撤单"""
|
|||
|
|
self.reqID += 1
|
|||
|
|
|
|||
|
|
req = {}
|
|||
|
|
req['localOrderNo'] = cancelOrderReq.orderID
|
|||
|
|
req['marketID'] = '10' # API默认只允许交易T+D延期
|
|||
|
|
|
|||
|
|
self.reqOrderAction(req, self.reqID)
|
|||
|
|
|
|||
|
|
#----------------------------------------------------------------------
|
|||
|
|
def subscribe(self, subscribeReq):
|
|||
|
|
"""订阅行情"""
|
|||
|
|
# 黄金API的订阅传入的参数不是具体交易合约代码，而是类型代码
|
|||
|
|
# 考虑到只希望交易T+D，这里直接传入'10'
|
|||
|
|
self.subscribeMarketData('10')
|
|||
|
|
|
|||
|
|
#----------------------------------------------------------------------
|
|||
|
|
def close(self):
|
|||
|
|
"""关闭"""
|
|||
|
|
self.exit()
|
|||
|
|
|
|||
|
|
|
|||
|
|
#----------------------------------------------------------------------
|
|||
|
|
def generateStrLocalID(localID):
|
|||
|
|
"""把整数的本地委托号转化为字符串"""
|
|||
|
|
return str(localID).rjust(12, '0')
|
|||
|
|
|