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[Fix]解决CTP接口夜盘时间戳的日期获取问题

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vn.py 2017-10-09 19:19:03 +08:00
parent 01e0934107
commit 1d08252d8c
1 changed files with 43 additions and 7 deletions
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50
vnpy/trader/gateway/ctpGateway/ctpGateway.py
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@ -11,7 +11,7 @@ vtSymbol直接使用symbol
import os
import json
from copy import copy
from datetime import datetime
from datetime import datetime, timedelta
from vnpy.api.ctp import MdApi, TdApi, defineDict
from vnpy.trader.vtGateway import *
@ -74,6 +74,12 @@ statusMap[STATUS_NOTTRADED] = defineDict["THOST_FTDC_OST_NoTradeQueueing"]
statusMap[STATUS_CANCELLED] = defineDict["THOST_FTDC_OST_Canceled"]
statusMapReverse = {v:k for k,v in statusMap.items()}
# 全局字典, key:symbol, value:exchange
symbolExchangeDict = {}
# 夜盘交易时间段分隔判断
NIGHT_TRADING = datetime(1900, 1, 1, 20).time()
########################################################################
class CtpGateway(VtGateway):
@ -214,7 +220,6 @@ class CtpGateway(VtGateway):
self.qryEnabled = qryEnabled
########################################################################
class CtpMdApi(MdApi):
"""CTP行情API实现"""
@ -239,6 +244,10 @@ class CtpMdApi(MdApi):
self.brokerID = EMPTY_STRING # 经纪商代码
self.address = EMPTY_STRING # 服务器地址
self.tradingDt = None # 交易日datetime对象
self.tradingDate = EMPTY_STRING # 交易日期字符串
self.tickTime = None # 最新行情time对象
#----------------------------------------------------------------------
def onFrontConnected(self):
"""服务器连接"""
@ -286,6 +295,10 @@ class CtpMdApi(MdApi):
for subscribeReq in self.subscribedSymbols:
self.subscribe(subscribeReq)
# 获取交易日
self.tradingDate = data['TradingDay']
self.tradingDt = datetime.strptime(self.tradingDate, '%Y%m%d')
# 否则，推送错误信息
else:
err = VtErrorData()
@ -332,17 +345,16 @@ class CtpMdApi(MdApi):
tick.gatewayName = self.gatewayName
tick.symbol = data['InstrumentID']
tick.exchange = exchangeMapReverse.get(data['ExchangeID'], u'未知')
tick.vtSymbol = tick.symbol #'.'.join([tick.symbol, EXCHANGE_UNKNOWN])
tick.exchange = symbolExchangeDict.get(tick.symbol, EXCHANGE_UNKNOWN)
tick.vtSymbol = tick.symbol #'.'.join([tick.symbol, tick.exchange])
tick.lastPrice = data['LastPrice']
tick.volume = data['Volume']
tick.openInterest = data['OpenInterest']
tick.time = '.'.join([data['UpdateTime'], str(data['UpdateMillisec']/100)])
# 这里由于交易所夜盘时段的交易日数据有误，所以选择本地获取
#tick.date = data['TradingDay']
tick.date = datetime.now().strftime('%Y%m%d')
# 上期所和郑商所可以直接使用，大商所需要转换
tick.date = data['ActionDay']
tick.openPrice = data['OpenPrice']
tick.highPrice = data['HighestPrice']
@ -358,6 +370,21 @@ class CtpMdApi(MdApi):
tick.askPrice1 = data['AskPrice1']
tick.askVolume1 = data['AskVolume1']
# 大商所日期转换
if tick.exchange is EXCHANGE_DCE:
newTime = datetime.strptime(tick.time, '%H:%M:%S.%f').time() # 最新tick时间戳
# 如果新tick的时间小于夜盘分隔，且上一个tick的时间大于夜盘分隔，则意味着越过了12点
if (self.tickTime and
newTime < NIGHT_TRADING and
self.tickTime > NIGHT_TRADING):
self.tradingDt += timedelta(1) # 日期加1
self.tradingDate = self.tradingDt.strftime('%Y%m%d') # 生成新的日期字符串
tick.date = self.tradingDate # 使用本地维护的日期
self.tickTime = newTime # 更新上一个tick时间
self.gateway.onTick(tick)
#----------------------------------------------------------------------
@ -816,6 +843,9 @@ class CtpTdApi(TdApi):
# 推送
self.gateway.onContract(contract)
# 缓存合约代码和交易所映射
symbolExchangeDict[contract.symbol] = contract.exchange
if last:
self.writeLog(text.CONTRACT_DATA_RECEIVED)
@ -1457,3 +1487,9 @@ class CtpTdApi(TdApi):
log.gatewayName = self.gatewayName
log.logContent = content
self.gateway.onLog(log)