[增强功能] CTP支持（一档、五档）行情
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msincenselee
parent
aafedafca3
commit
1d7fbcfe1b
@ -251,6 +251,7 @@ class CtpGateway(BaseGateway):
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self.td_api = None
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self.md_api = None
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self.l2_md_api = None
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self.tdx_api = None
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self.rabbit_api = None
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self.tq_api = None
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@ -269,6 +270,7 @@ class CtpGateway(BaseGateway):
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brokerid = setting["经纪商代码"]
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td_address = setting["交易服务器"]
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md_address = setting["行情服务器"]
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md_address_level2 = setting.get("行情服务器_五档", None)
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appid = setting["产品名称"]
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auth_code = setting["授权编码"]
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product_info = setting["产品信息"]
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@ -285,6 +287,12 @@ class CtpGateway(BaseGateway):
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and (not md_address.startswith("ssl://"))
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):
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md_address = "tcp://" + md_address
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if md_address_level2:
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if (
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(not md_address_level2.startswith("tcp://"))
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and (not md_address_level2.startswith("ssl://"))
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):
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md_address_level2 = "tcp://" + md_address_level2
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# 获取自定义价差/价比合约的配置
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try:
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@ -309,6 +317,11 @@ class CtpGateway(BaseGateway):
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self.md_api = CtpMdApi(self)
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self.md_api.connect(md_address, userid, password, brokerid)
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if not self.l2_md_api and md_address_level2:
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self.write_log(f'激活五档行情配置:{md_address_level2}')
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self.l2_md_api = CtpMdApi(gateway=self, level2=True)
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self.l2_md_api.connect(md_address_level2, userid, password, brokerid)
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if rabbit_dict:
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self.write_log(f'激活RabbitMQ行情接口')
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self.rabbit_api = SubMdApi(gateway=self)
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@ -440,6 +453,9 @@ class CtpGateway(BaseGateway):
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if self.tq_api and req.exchange in [Exchange.SHFE, Exchange.INE]:
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self.write_log(f'使用天勤接口订阅{req.symbol}')
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self.tq_api.subscribe(req)
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if self.l2_md_api and req.exchange in [Exchange.SHFE, Exchange.INE]:
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self.write_log(f'使用五档行情接口订阅:{req.symbol}')
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self.l2_md_api.subscribe(req)
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else:
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self.write_log(f'使用CTP接口订阅{req.symbol}')
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self.md_api.subscribe(req)
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@ -496,6 +512,12 @@ class CtpGateway(BaseGateway):
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self.md_api = None
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tmp1.close()
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if self.l2_md_api:
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self.write_log('断开五档行情API')
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tmp1 = self.l2_md_api
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self.l2_md_api = None
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tmp1.close()
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if self.td_api:
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self.write_log('断开交易API')
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tmp2 = self.td_api
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@ -549,13 +571,17 @@ class CtpGateway(BaseGateway):
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class CtpMdApi(MdApi):
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""""""
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def __init__(self, gateway):
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def __init__(self, gateway, level2=False):
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"""Constructor"""
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super(CtpMdApi, self).__init__()
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self.gateway = gateway
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self.gateway_name = gateway.gateway_name
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self.level2 = level2 # 5档行情
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if self.level2:
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self.name = "L2_"
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else:
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self.name = ""
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self.reqid = 0
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self.connect_status = False
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@ -570,17 +596,19 @@ class CtpMdApi(MdApi):
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"""
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Callback when front server is connected.
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"""
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self.gateway.write_log("行情服务器连接成功")
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self.gateway.write_log(f"{self.name}行情服务器连接成功")
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self.login()
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self.gateway.status.update({'md_con': True, 'md_con_time': datetime.now().strftime('%Y-%m-%d %H:%M:%S')})
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self.gateway.status.update(
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{f'{self.name}md_con': True, f'{self.name}md_con_time': datetime.now().strftime('%Y-%m-%d %H:%M:%S')})
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def onFrontDisconnected(self, reason: int):
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"""
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Callback when front server is disconnected.
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"""
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self.login_status = False
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self.gateway.write_log(f"行情服务器连接断开，原因{reason}")
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self.gateway.status.update({'md_con': False, 'md_dis_con_time': datetime.now().strftime('%Y-%m-%d %H:%M:%S')})
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self.gateway.write_log(f"{self.name}行情服务器连接断开，原因{reason}")
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self.gateway.status.update(
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{f'{self.name}md_con': False, f'{self.name}md_dis_con_time': datetime.now().strftime('%Y-%m-%d %H:%M:%S')})
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def onRspUserLogin(self, data: dict, error: dict, reqid: int, last: bool):
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"""
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@ -588,25 +616,25 @@ class CtpMdApi(MdApi):
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"""
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if not error["ErrorID"]:
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self.login_status = True
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self.gateway.write_log("行情服务器登录成功")
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self.gateway.write_log(f"{self.name}行情服务器登录成功")
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for symbol in self.subscribed:
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self.subscribeMarketData(symbol)
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else:
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self.gateway.write_error("行情服务器登录失败", error)
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self.gateway.write_error(f"{self.name}行情服务器登录失败", error)
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def onRspError(self, error: dict, reqid: int, last: bool):
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"""
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Callback when error occured.
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"""
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self.gateway.write_error("行情接口报错", error)
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self.gateway.write_error(f"{self.name}行情接口报错", error)
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def onRspSubMarketData(self, data: dict, error: dict, reqid: int, last: bool):
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""""""
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if not error or not error["ErrorID"]:
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return
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self.gateway.write_error("行情订阅失败", error)
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self.gateway.write_error(f"{self.name}行情订阅失败", error)
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def onRtnDepthMarketData(self, data: dict):
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"""
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@ -719,7 +747,7 @@ class CtpMdApi(MdApi):
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Subscribe to tick data update.
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"""
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if self.login_status:
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self.gateway.write_log(f'订阅:{req.exchange} {req.symbol}')
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self.gateway.write_log(f'{self.name}订阅:{req.exchange} {req.symbol}')
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self.subscribeMarketData(req.symbol)
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self.subscribed.add(req.symbol)
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