[Fix]解决CTP接口夜盘时间戳的日期获取问题

vnpy/trader/gateway/ctpGateway/ctpGateway.py

@@ -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.exchange = symbolExchangeDict.get(tick.symbol, EXCHANGE_UNKNOWN)
-        tick.vtSymbol = tick.symbol #'.'.join([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
+        # 上期所和郑商所可以直接使用，大商所需要转换
-        #tick.date = data['TradingDay']
+        tick.date = data['ActionDay']
-        tick.date = datetime.now().strftime('%Y%m%d')   
         
         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)
         
     #---------------------------------------------------------------------- 
@@ -817,6 +844,9 @@ 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)        
+
+
+
+
+
+