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创建通联数据历史数据模块，等待zed的代码。

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vn.trader模块开发进行中。
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WOLF 2015-08-14 16:11:53 +08:00
parent c3d6e0aa3b
commit 1e793c15f9
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vn.datayes/README.md Normal file
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To be completed.

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vn.trader/ctpGateway.py Normal file
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# encoding: UTF-8
from vnctpmd import MdApi
from vnctptd import TdApi
from gateway import *
import os
########################################################################
class CtpGateway(VtGateway):
"""CTP接口"""
#----------------------------------------------------------------------
def __init__(self, eventEngine):
"""Constructor"""
super(CtpGateway, self).__init__(eventEngine)
self.mdApi = None # 行情API
self.tdApi = None # 交易API
self.mdConnected = False # 行情API连接状态
self.tdConnected = False # 交易API连接状态
########################################################################
class CtpMdApi(MdApi):
"""CTP行情API实现"""
#----------------------------------------------------------------------
def __init__(self, gateway, userID, password, brokerID, address):
"""Constructor"""
super(CtpMdApi, self).__init__()
self.gateway = gateway # gateway对象
self.gatewayName = gateway.gatewayName # gateway对象名称
self.reqID = EMPTY_INT # 操作请求编号
self.connectionStatus = False # 连接状态
self.loginStatus = False # 登录状态
self.userID = userID # 账号
self.password = password # 密码
self.brokerID = brokerID # 经纪商代码
self.address = address # 服务器地址
self.subscribedSymbols = set() # 已订阅合约代码
#----------------------------------------------------------------------
def onFrontConnected(self):
"""服务器连接"""
self.connectionStatus = True
log = VtLogData()
log.gatewayName = self.gatewayName
log.logContent = u'行情服务器连接成功'
self.gateway.onLog(log)
self.login()
#----------------------------------------------------------------------
def onFrontDisconnected(self, n):
"""服务器断开"""
self.connectionStatus = False
self.loginStatus = False
self.gateway.mdConnected = False
log = VtLogData()
log.gatewayName = self.gatewayName
log.logContent = u'行情服务器连接断开'
self.gateway.onLog(log)
#----------------------------------------------------------------------
def onHeartBeatWarning(self, n):
"""心跳报警"""
# 因为API的心跳报警比较常被触发，且与API工作关系不大，因此选择忽略
pass
#----------------------------------------------------------------------
def onRspError(self, error, n, last):
"""错误回报"""
err = VtErrorData()
err.gatewayName = self.gatewayName
err.errorID = error['ErrorID']
err.errorMsg = error['ErrorMsg'].decode('gbk')
self.gateway.onError(err)
#----------------------------------------------------------------------
def onRspUserLogin(self, data, error, n, last):
"""登陆回报"""
# 如果登录成功，推送日志信息
if error['ErrorID'] == 0:
self.loginStatus = True
self.gateway.mdConnected = True
log = VtLogData()
log.logContent = u'行情服务器登录完成'
self.gateway.onLog(log)
# 重新订阅之前订阅的合约
for subscribeReq in self.subscribedSymbols:
self.subscribe(subscribeReq)
# 否则，推送错误信息
else:
err = VtErrorData()
err.gatewayName = self.gatewayName
err.errorID = error['ErrorID']
err.errorMsg = error['ErrorMsg'].decode('gbk')
self.gateway.onError(err)
#----------------------------------------------------------------------
def onRspUserLogout(self, data, error, n, last):
"""登出回报"""
# 如果登出成功，推送日志信息
if error['ErrorID'] == 0:
self.loginStatus = False
self.gateway.tdConnected = False
log = VtLogData()
log.gatewayName = self.gatewayName
log.logContent = u'行情服务器登出完成'
self.gateway.onLog(log)
# 否则，推送错误信息
else:
err = VtErrorData()
err.gatewayName = self.gatewayName
err.errorID = error['ErrorID']
err.errorMsg = error['ErrorMsg'].decode('gbk')
self.gateway.onError(err)
#----------------------------------------------------------------------
def onRspSubMarketData(self, data, error, n, last):
"""订阅合约回报"""
# 通常不在乎订阅错误，选择忽略
pass
#----------------------------------------------------------------------
def onRspUnSubMarketData(self, data, error, n, last):
"""退订合约回报"""
# 同上
pass
#----------------------------------------------------------------------
def onRtnDepthMarketData(self, data):
"""行情推送"""
tick = VtTickData()
tick.symbol = data['InstrumentID']
tick.vtSymbol = '.'.join([self.gatewayName, tick.symbol])
tick.lastPrice = data['LastPrice']
tick.volume = data['Volume']
tick.openInterest = data['OpenInterest']
tick.tickTime = '.'.join([data['UpdateTime'], str(data['UpdateMillisec']/100]))
# CTP只有一档行情
tick.bidPrice1 = data['BidPrice1']
tick.bidVolume1 = data['BidVolume1']
tick.askPrice1 = data['AskPrice1']
tick.askVolume1 = data['AskVolume1']
self.gateway.onTick(tick)
#----------------------------------------------------------------------
def onRspSubForQuoteRsp(self, data, error, n, last):
"""订阅期权询价"""
pass
#----------------------------------------------------------------------
def onRspUnSubForQuoteRsp(self, data, error, n, last):
"""退订期权询价"""
pass
#----------------------------------------------------------------------
def onRtnForQuoteRsp(self, data):
"""期权询价推送"""
pass
#----------------------------------------------------------------------
def connect(self):
"""初始化连接"""
# 如果尚未建立服务器连接，则进行连接
if not self.connectionStatus:
# 创建C++环境中的API对象，这里传入的参数是需要用来保存.con文件的文件夹路径
path = os.getcwd() + '\\temp\\' + self.gatewayName + '\\'
if not os.path.exists(path):
os.makedirs(path)
self.createFtdcMdApi(path)
# 注册服务器地址
self.registerFront(self.address)
# 初始化连接，成功会调用onFrontConnected
self.init()
# 若已经连接但尚未登录，则进行登录
else:
if not self.loginStatus:
self.login()
#----------------------------------------------------------------------
def subscribe(self, subscribeReq):
"""订阅合约"""
self.subscribeMarketData(subscribeReq.symbol)
self.subscribedSymbols.add(subscribeReq)
#----------------------------------------------------------------------
def login(self):
"""登录"""
# 如果填入了用户名密码等，则登录
if self.userID and self.password and self.brokerID:
req = {}
req['UserID'] = self.userID
req['Password'] = self.password
req['BrokerID'] = self.brokerID
self.reqID += 1
self.reqUserLogin(req, self.reqID)
########################################################################
class CtpTdApi(TdApi):
"""CTP交易API实现"""
#----------------------------------------------------------------------
def __init__(self, gateway, userID, password, brokerID, address):
"""API对象的初始化函数"""
super(CtpTdApi, self).__init__()
self.gateway = gateway # gateway对象
self.gatewayName = gateway.gatewayName # gateway对象名称
self.reqID = EMPTY_INT # 操作请求编号
self.orderRef = EMPTY_INT # 订单编号
self.connectionStatus = False # 连接状态
self.loginStatus = False # 登录状态
self.userID = userID # 账号
self.password = password # 密码
self.brokerID = brokerID # 经纪商代码
self.address = address # 服务器地址
#----------------------------------------------------------------------
def onFrontConnected(self):
"""服务器连接"""
self.connectionStatus = True
log = VtLogData()
log.gatewayName = self.gatewayName
log.logContent = u'交易服务器连接成功'
self.gateway.onLog(log)
self.login()
#----------------------------------------------------------------------
def onFrontDisconnected(self, n):
"""服务器断开"""
self.connectionStatus = False
self.loginStatus = False
self.gateway.tdConnected = False
log = VtLogData()
log.gatewayName = self.gatewayName
log.logContent = u'交易服务器连接断开'
self.gateway.onLog(log)
#----------------------------------------------------------------------
def onHeartBeatWarning(self, n):
""""""
pass
#----------------------------------------------------------------------
def onRspAuthenticate(self, data, error, n, last):
""""""
pass
#----------------------------------------------------------------------
def onRspUserLogin(self, data, error, n, last):
"""登陆回报"""
# 如果登录成功，推送日志信息
if error['ErrorID'] == 0:
self.loginStatus = True
self.gateway.mdConnected = True
log = VtLogData()
log.gatewayName = self.gatewayName
log.logContent = u'交易服务器登录完成'
self.gateway.onLog(log)
# 确认结算信息
req = {}
req['BrokerID'] = self.brokerID
req['InvestorID'] = self.userID
self.reqID += 1
self.reqSettlementInfoConfirm(req, self.reqID)
# 否则，推送错误信息
else:
err = VtErrorData()
err.gatewayName = self.gateway
err.errorID = error['ErrorID']
err.errorMsg = error['ErrorMsg'].decode('gbk')
self.gateway.onError(err)
#----------------------------------------------------------------------
def onRspUserLogout(self, data, error, n, last):
"""登出回报"""
# 如果登出成功，推送日志信息
if error['ErrorID'] == 0:
self.loginStatus = False
self.gateway.tdConnected = False
log = VtLogData()
log.gatewayName = self.gatewayName
log.logContent = u'交易服务器登出完成'
self.gateway.onLog(log)
# 否则，推送错误信息
else:
err = VtErrorData()
err.gatewayName = self.gatewayName
err.errorID = error['ErrorID']
err.errorMsg = error['ErrorMsg'].decode('gbk')
self.gateway.onError(err)
#----------------------------------------------------------------------
def onRspUserPasswordUpdate(self, data, error, n, last):
""""""
pass
#----------------------------------------------------------------------
def onRspTradingAccountPasswordUpdate(self, data, error, n, last):
""""""
pass
#----------------------------------------------------------------------
def onRspOrderInsert(self, data, error, n, last):
"""发单错误（柜台）"""
err = VtErrorData()
err.gatewayName = self.gatewayName
err.errorID = error['ErrorID']
err.errorMsg = error['ErrorMsg'].decode('gbk')
self.gateway.onError(err)
#----------------------------------------------------------------------
def onRspParkedOrderInsert(self, data, error, n, last):
""""""
pass
#----------------------------------------------------------------------
def onRspParkedOrderAction(self, data, error, n, last):
""""""
pass
#----------------------------------------------------------------------
def onRspOrderAction(self, data, error, n, last):
"""撤单错误（柜台）"""
err = VtErrorData()
err.gatewayName = self.gatewayName
err.errorID = error['ErrorID']
err.errorMsg = error['ErrorMsg'].decode('gbk')
self.gateway.onError(err)
#----------------------------------------------------------------------
def onRspQueryMaxOrderVolume(self, data, error, n, last):
""""""
pass
#----------------------------------------------------------------------
def onRspSettlementInfoConfirm(self, data, error, n, last):
"""确认结算信息回报"""
log = VtLogData()
log.gatewayName = self.gatewayName
log.logContent = u'结算信息确认完成'
self.gateway.onLog(log)
# 查询合约代码
self.reqID += 1
self.reqQryInstrument({}, self.reqID)
#----------------------------------------------------------------------
def onRspRemoveParkedOrder(self, data, error, n, last):
""""""
pass
#----------------------------------------------------------------------
def onRspRemoveParkedOrderAction(self, data, error, n, last):
""""""
pass
#----------------------------------------------------------------------
def onRspExecOrderInsert(self, data, error, n, last):
""""""
pass
#----------------------------------------------------------------------
def onRspExecOrderAction(self, data, error, n, last):
""""""
pass
#----------------------------------------------------------------------
def onRspForQuoteInsert(self, data, error, n, last):
""""""
pass
#----------------------------------------------------------------------
def onRspQuoteInsert(self, data, error, n, last):
""""""
pass
#----------------------------------------------------------------------
def onRspQuoteAction(self, data, error, n, last):
""""""
pass
#----------------------------------------------------------------------
def onRspQryOrder(self, data, error, n, last):
""""""
pass
#----------------------------------------------------------------------
def onRspQryTrade(self, data, error, n, last):
""""""
pass
#----------------------------------------------------------------------
def onRspQryInvestorPosition(self, data, error, n, last):
"""持仓查询回报"""
if error['ErrorID'] == 0:
event = Event(type_=EVENT_POSITION)
event.dict_['data'] = data
self.__eventEngine.put(event)
else:
event = Event(type_=EVENT_LOG)
log = u'持仓查询回报，错误代码：' + unicode(error['ErrorID']) + u',' + u'错误信息：' + error['ErrorMsg'].decode('gbk')
event.dict_['log'] = log
self.__eventEngine.put(event)
#----------------------------------------------------------------------
def onRspQryTradingAccount(self, data, error, n, last):
"""资金账户查询回报"""
if error['ErrorID'] == 0:
event = Event(type_=EVENT_ACCOUNT)
event.dict_['data'] = data
self.__eventEngine.put(event)
else:
event = Event(type_=EVENT_LOG)
log = u'账户查询回报，错误代码：' + unicode(error['ErrorID']) + u',' + u'错误信息：' + error['ErrorMsg'].decode('gbk')
event.dict_['log'] = log
self.__eventEngine.put(event)
#----------------------------------------------------------------------
def onRspQryInvestor(self, data, error, n, last):
"""投资者查询回报"""
pass
#----------------------------------------------------------------------
def onRspQryTradingCode(self, data, error, n, last):
""""""
pass
#----------------------------------------------------------------------
def onRspQryInstrumentMarginRate(self, data, error, n, last):
""""""
pass
#----------------------------------------------------------------------
def onRspQryInstrumentCommissionRate(self, data, error, n, last):
""""""
pass
#----------------------------------------------------------------------
def onRspQryExchange(self, data, error, n, last):
""""""
pass
#----------------------------------------------------------------------
def onRspQryProduct(self, data, error, n, last):
""""""
pass
#----------------------------------------------------------------------
def onRspQryInstrument(self, data, error, n, last):
"""
合约查询回报
由于该回报的推送速度极快，因此不适合全部存入队列中处理，
选择先储存在一个本地字典中，全部收集完毕后再推送到队列中
（由于耗时过长目前使用其他进程读取）
"""
if error['ErrorID'] == 0:
event = Event(type_=EVENT_INSTRUMENT)
event.dict_['data'] = data
event.dict_['last'] = last
self.__eventEngine.put(event)
else:
event = Event(type_=EVENT_LOG)
log = u'合约投资者回报，错误代码：' + unicode(error['ErrorID']) + u',' + u'错误信息：' + error['ErrorMsg'].decode('gbk')
event.dict_['log'] = log
self.__eventEngine.put(event)
#----------------------------------------------------------------------
def onRspQryDepthMarketData(self, data, error, n, last):
""""""
pass
#----------------------------------------------------------------------
def onRspQrySettlementInfo(self, data, error, n, last):
"""查询结算信息回报"""
pass
#----------------------------------------------------------------------
def onRspQryTransferBank(self, data, error, n, last):
""""""
pass
#----------------------------------------------------------------------
def onRspQryInvestorPositionDetail(self, data, error, n, last):
""""""
pass
#----------------------------------------------------------------------
def onRspQryNotice(self, data, error, n, last):
""""""
pass
#----------------------------------------------------------------------
def onRspQrySettlementInfoConfirm(self, data, error, n, last):
""""""
pass
#----------------------------------------------------------------------
def onRspQryInvestorPositionCombineDetail(self, data, error, n, last):
""""""
pass
#----------------------------------------------------------------------
def onRspQryCFMMCTradingAccountKey(self, data, error, n, last):
""""""
pass
#----------------------------------------------------------------------
def onRspQryEWarrantOffset(self, data, error, n, last):
""""""
pass
#----------------------------------------------------------------------
def onRspQryInvestorProductGroupMargin(self, data, error, n, last):
""""""
pass
#----------------------------------------------------------------------
def onRspQryExchangeMarginRate(self, data, error, n, last):
""""""
pass
#----------------------------------------------------------------------
def onRspQryExchangeMarginRateAdjust(self, data, error, n, last):
""""""
pass
#----------------------------------------------------------------------
def onRspQryExchangeRate(self, data, error, n, last):
""""""
pass
#----------------------------------------------------------------------
def onRspQrySecAgentACIDMap(self, data, error, n, last):
""""""
pass
#----------------------------------------------------------------------
def onRspQryOptionInstrTradeCost(self, data, error, n, last):
""""""
pass
#----------------------------------------------------------------------
def onRspQryOptionInstrCommRate(self, data, error, n, last):
""""""
pass
#----------------------------------------------------------------------
def onRspQryExecOrder(self, data, error, n, last):
""""""
pass
#----------------------------------------------------------------------
def onRspQryForQuote(self, data, error, n, last):
""""""
pass
#----------------------------------------------------------------------
def onRspQryQuote(self, data, error, n, last):
""""""
pass
#----------------------------------------------------------------------
def onRspQryTransferSerial(self, data, error, n, last):
""""""
pass
#----------------------------------------------------------------------
def onRspQryAccountregister(self, data, error, n, last):
""""""
pass
#----------------------------------------------------------------------
def onRspError(self, error, n, last):
"""错误回报"""
err = VtErrorData()
err.gatewayName = self.gatewayName
err.errorID = error['ErrorID']
err.errorMsg = error['ErrorMsg'].decode('gbk')
self.gateway.onError(err)
#----------------------------------------------------------------------
def onRtnOrder(self, data):
"""报单回报"""
# 更新最大报单编号
newref = data['OrderRef']
self.orderRef = max(self.orderRef, int(newref))
# 创建报单数据对象
order = VtOrderData()
order.gatewayName = self.gatewayName
# 保存代码和报单号
order.symbol = data['InstrumentID']
order.vtSymbol = '.'.join([self.gatewayName, order.symbol])
order.orderID = data['OrderRef']
order.vtOrderID = '.'.join([self.gatewayName, order.orderID])
# 方向
if data['Direction'] == '0':
order.direction = DIRECTION_LONG
elif data['Direction'] == '1':
order.direction = DIRECTION_SHORT
else:
order.direction = DIRECTION_UNKNOWN
# 多空
if data['']
#----------------------------------------------------------------------
def onRtnTrade(self, data):
"""成交回报"""
# 常规成交事件
event1 = Event(type_=EVENT_TRADE)
event1.dict_['data'] = data
self.__eventEngine.put(event1)
# 特定合约成交事件
event2 = Event(type_=(EVENT_TRADE_CONTRACT+data['InstrumentID']))
event2.dict_['data'] = data
self.__eventEngine.put(event2)
#----------------------------------------------------------------------
def onErrRtnOrderInsert(self, data, error):
"""发单错误回报（交易所）"""
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）"""
err = VtErrorData()
err.gatewayName = self.gatewayName
err.errorID = error['ErrorID']
err.errorMsg = error['ErrorMsg'].decode('gbk')
self.gateway.onError(err)
#----------------------------------------------------------------------
def onRtnInstrumentStatus(self, data):
""""""
pass
#----------------------------------------------------------------------
def onRtnTradingNotice(self, data):
""""""
pass
#----------------------------------------------------------------------
def onRtnErrorConditionalOrder(self, data):
""""""
pass
#----------------------------------------------------------------------
def onRtnExecOrder(self, data):
""""""
pass
#----------------------------------------------------------------------
def onErrRtnExecOrderInsert(self, data, error):
""""""
pass
#----------------------------------------------------------------------
def onErrRtnExecOrderAction(self, data, error):
""""""
pass
#----------------------------------------------------------------------
def onErrRtnForQuoteInsert(self, data, error):
""""""
pass
#----------------------------------------------------------------------
def onRtnQuote(self, data):
""""""
pass
#----------------------------------------------------------------------
def onErrRtnQuoteInsert(self, data, error):
""""""
pass
#----------------------------------------------------------------------
def onErrRtnQuoteAction(self, data, error):
""""""
pass
#----------------------------------------------------------------------
def onRtnForQuoteRsp(self, data):
""""""
pass
#----------------------------------------------------------------------
def onRspQryContractBank(self, data, error, n, last):
""""""
pass
#----------------------------------------------------------------------
def onRspQryParkedOrder(self, data, error, n, last):
""""""
pass
#----------------------------------------------------------------------
def onRspQryParkedOrderAction(self, data, error, n, last):
""""""
pass
#----------------------------------------------------------------------
def onRspQryTradingNotice(self, data, error, n, last):
""""""
pass
#----------------------------------------------------------------------
def onRspQryBrokerTradingParams(self, data, error, n, last):
""""""
pass
#----------------------------------------------------------------------
def onRspQryBrokerTradingAlgos(self, data, error, n, last):
""""""
pass
#----------------------------------------------------------------------
def onRtnFromBankToFutureByBank(self, data):
""""""
pass
#----------------------------------------------------------------------
def onRtnFromFutureToBankByBank(self, data):
""""""
pass
#----------------------------------------------------------------------
def onRtnRepealFromBankToFutureByBank(self, data):
""""""
pass
#----------------------------------------------------------------------
def onRtnRepealFromFutureToBankByBank(self, data):
""""""
pass
#----------------------------------------------------------------------
def onRtnFromBankToFutureByFuture(self, data):
""""""
pass
#----------------------------------------------------------------------
def onRtnFromFutureToBankByFuture(self, data):
""""""
pass
#----------------------------------------------------------------------
def onRtnRepealFromBankToFutureByFutureManual(self, data):
""""""
pass
#----------------------------------------------------------------------
def onRtnRepealFromFutureToBankByFutureManual(self, data):
""""""
pass
#----------------------------------------------------------------------
def onRtnQueryBankBalanceByFuture(self, data):
""""""
pass
#----------------------------------------------------------------------
def onErrRtnBankToFutureByFuture(self, data, error):
""""""
pass
#----------------------------------------------------------------------
def onErrRtnFutureToBankByFuture(self, data, error):
""""""
pass
#----------------------------------------------------------------------
def onErrRtnRepealBankToFutureByFutureManual(self, data, error):
""""""
pass
#----------------------------------------------------------------------
def onErrRtnRepealFutureToBankByFutureManual(self, data, error):
""""""
pass
#----------------------------------------------------------------------
def onErrRtnQueryBankBalanceByFuture(self, data, error):
""""""
pass
#----------------------------------------------------------------------
def onRtnRepealFromBankToFutureByFuture(self, data):
""""""
pass
#----------------------------------------------------------------------
def onRtnRepealFromFutureToBankByFuture(self, data):
""""""
pass
#----------------------------------------------------------------------
def onRspFromBankToFutureByFuture(self, data, error, n, last):
""""""
pass
#----------------------------------------------------------------------
def onRspFromFutureToBankByFuture(self, data, error, n, last):
""""""
pass
#----------------------------------------------------------------------
def onRspQueryBankAccountMoneyByFuture(self, data, error, n, last):
""""""
pass
#----------------------------------------------------------------------
def onRtnOpenAccountByBank(self, data):
""""""
pass
#----------------------------------------------------------------------
def onRtnCancelAccountByBank(self, data):
""""""
pass
#----------------------------------------------------------------------
def onRtnChangeAccountByBank(self, data):
""""""
pass
#----------------------------------------------------------------------
def login(self, address, userid, password, brokerid):
"""连接服务器"""
self.__userid = userid
self.__password = password
self.__brokerid = brokerid
# 数据重传模式设为从本日开始
self.subscribePrivateTopic(0)
self.subscribePublicTopic(0)
# 注册服务器地址
self.registerFront(address)
# 初始化连接，成功会调用onFrontConnected
self.init()
#----------------------------------------------------------------------
def getInstrument(self):
"""查询合约"""
self.__reqid = self.__reqid + 1
self.reqQryInstrument({}, self.__reqid)
#----------------------------------------------------------------------
def getAccount(self):
"""查询账户"""
self.__reqid = self.__reqid + 1
self.reqQryTradingAccount({}, self.__reqid)
#----------------------------------------------------------------------
def getInvestor(self):
"""查询投资者"""
self.__reqid = self.__reqid + 1
self.reqQryInvestor({}, self.__reqid)
#----------------------------------------------------------------------
def getPosition(self):
"""查询持仓"""
self.__reqid = self.__reqid + 1
req = {}
req['BrokerID'] = self.__brokerid
req['InvestorID'] = self.__userid
self.reqQryInvestorPosition(req, self.__reqid)
#----------------------------------------------------------------------
def sendOrder(self, instrumentid, exchangeid, price, pricetype, volume, direction, offset):
"""发单"""
self.__reqid = self.__reqid + 1
req = {}
req['InstrumentID'] = instrumentid
req['OrderPriceType'] = pricetype
req['LimitPrice'] = price
req['VolumeTotalOriginal'] = volume
req['Direction'] = direction
req['CombOffsetFlag'] = offset
self.__orderref = self.__orderref + 1
req['OrderRef'] = str(self.__orderref)
req['InvestorID'] = self.__userid
req['UserID'] = self.__userid
req['BrokerID'] = self.__brokerid
req['CombHedgeFlag'] = defineDict['THOST_FTDC_HF_Speculation'] # 投机单
req['ContingentCondition'] = defineDict['THOST_FTDC_CC_Immediately'] # 立即发单
req['ForceCloseReason'] = defineDict['THOST_FTDC_FCC_NotForceClose'] # 非强平
req['IsAutoSuspend'] = 0 # 非自动挂起
req['TimeCondition'] = defineDict['THOST_FTDC_TC_GFD'] # 今日有效
req['VolumeCondition'] = defineDict['THOST_FTDC_VC_AV'] # 任意成交量
req['MinVolume'] = 1 # 最小成交量为1
self.reqOrderInsert(req, self.__reqid)
# 返回订单号，便于某些算法进行动态管理
return self.__orderref
#----------------------------------------------------------------------
def cancelOrder(self, instrumentid, exchangeid, orderref, frontid, sessionid):
"""撤单"""
self.__reqid = self.__reqid + 1
req = {}
req['InstrumentID'] = instrumentid
req['ExchangeID'] = exchangeid
req['OrderRef'] = orderref
req['FrontID'] = frontid
req['SessionID'] = sessionid
req['ActionFlag'] = defineDict['THOST_FTDC_AF_Delete']
req['BrokerID'] = self.__brokerid
req['InvestorID'] = self.__userid
self.reqOrderAction(req, self.__reqid)
#----------------------------------------------------------------------
def getSettlement(self):
"""查询结算信息"""
self.__reqid = self.__reqid + 1
req = {}
req['BrokerID'] = self.__brokerid
req['InvestorID'] = self.__userid
self.reqQrySettlementInfo(req, self.__reqid)
#----------------------------------------------------------------------
def confirmSettlement(self):
"""确认结算信息"""
self.__reqid = self.__reqid + 1
req = {}
req['BrokerID'] = self.__brokerid
req['InvestorID'] = self.__userid
self.reqSettlementInfoConfirm(req, self.__reqid)

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# encoding: UTF-8
# 系统模块
from Queue import Queue, Empty
from threading import Thread
# 第三方模块
from PyQt4.QtCore import QTimer
# 自己开发的模块
from eventType import *
########################################################################
class EventEngine:
"""
事件驱动引擎
事件驱动引擎中所有的变量都设置为了私有，这是为了防止不小心
从外部修改了这些变量的值或状态，导致bug。
变量说明
__queue：私有变量，事件队列
__active：私有变量，事件引擎开关
__thread：私有变量，事件处理线程
__timer：私有变量，计时器
__handlers：私有变量，事件处理函数字典
方法说明
__run: 私有方法，事件处理线程连续运行用
__process: 私有方法，处理事件，调用注册在引擎中的监听函数
__onTimer：私有方法，计时器固定事件间隔触发后，向事件队列中存入计时器事件
start: 公共方法，启动引擎
stop：公共方法，停止引擎
register：公共方法，向引擎中注册监听函数
unregister：公共方法，向引擎中注销监听函数
put：公共方法，向事件队列中存入新的事件
事件监听函数必须定义为输入参数仅为一个event对象，即：
函数
def func(event)
...
对象方法
def method(self, event)
...
"""
#----------------------------------------------------------------------
def __init__(self):
"""初始化事件引擎"""
# 事件队列
self.__queue = Queue()
# 事件引擎开关
self.__active = False
# 事件处理线程
self.__thread = Thread(target = self.__run)
# 计时器，用于触发计时器事件
self.__timer = QTimer()
self.__timer.timeout.connect(self.__onTimer)
# 这里的__handlers是一个字典，用来保存对应的事件调用关系
# 其中每个键对应的值是一个列表，列表中保存了对该事件进行监听的函数功能
self.__handlers = {}
#----------------------------------------------------------------------
def __run(self):
"""引擎运行"""
while self.__active == True:
try:
event = self.__queue.get(block = True, timeout = 1) # 获取事件的阻塞时间设为1秒
self.__process(event)
except Empty:
pass
#----------------------------------------------------------------------
def __process(self, event):
"""处理事件"""
# 检查是否存在对该事件进行监听的处理函数
if event.type_ in self.__handlers:
# 若存在，则按顺序将事件传递给处理函数执行
[handler(event) for handler in self.__handlers[event.type_]]
# 以上语句为Python列表解析方式的写法，对应的常规循环写法为：
#for handler in self.__handlers[event.type_]:
#handler(event)
#----------------------------------------------------------------------
def __onTimer(self):
"""向事件队列中存入计时器事件"""
# 创建计时器事件
event = Event(type_=EVENT_TIMER)
# 向队列中存入计时器事件
self.put(event)
#----------------------------------------------------------------------
def start(self):
"""引擎启动"""
# 将引擎设为启动
self.__active = True
# 启动事件处理线程
self.__thread.start()
# 启动计时器，计时器事件间隔默认设定为1秒
self.__timer.start(1000)
#----------------------------------------------------------------------
def stop(self):
"""停止引擎"""
# 将引擎设为停止
self.__active = False
# 停止计时器
self.__timer.stop()
# 等待事件处理线程退出
self.__thread.join()
#----------------------------------------------------------------------
def register(self, type_, handler):
"""注册事件处理函数监听"""
# 尝试获取该事件类型对应的处理函数列表，若无则创建
try:
handlerList = self.__handlers[type_]
except KeyError:
handlerList = []
self.__handlers[type_] = handlerList
# 若要注册的处理器不在该事件的处理器列表中，则注册该事件
if handler not in handlerList:
handlerList.append(handler)
#----------------------------------------------------------------------
def unregister(self, type_, handler):
"""注销事件处理函数监听"""
# 尝试获取该事件类型对应的处理函数列表，若无则忽略该次注销请求
try:
handlerList = self.handlers[type_]
# 如果该函数存在于列表中，则移除
if handler in handlerList:
handlerList.remove(handler)
# 如果函数列表为空，则从引擎中移除该事件类型
if not handlerList:
del self.handlers[type_]
except KeyError:
pass
#----------------------------------------------------------------------
def put(self, event):
"""向事件队列中存入事件"""
self.__queue.put(event)
########################################################################
class Event:
"""事件对象"""
#----------------------------------------------------------------------
def __init__(self, type_=None):
"""Constructor"""
self.type_ = type_ # 事件类型
self.dict_ = {} # 字典用于保存具体的事件数据
#----------------------------------------------------------------------
def test():
"""测试函数"""
import sys
from datetime import datetime
from PyQt4.QtCore import QCoreApplication
def simpletest(event):
print u'处理每秒触发的计时器事件：%s' % str(datetime.now())
app = QCoreApplication(sys.argv)
ee = EventEngine()
ee.register(EVENT_TIMER, simpletest)
ee.start()
app.exec_()
# 直接运行脚本可以进行测试
if __name__ == '__main__':
test()

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# encoding: UTF-8
'''
本文件仅用于存放对于事件类型常量的定义。
由于python中不存在真正的常量概念，因此选择使用全大写的变量名来代替常量。
这里设计的命名规则以EVENT_前缀开头。
常量的内容通常选择一个能够代表真实意义的字符串（便于理解）。
建议将所有的常量定义放在该文件中，便于检查是否存在重复的现象。
'''
# 系统相关
EVENT_TIMER = 'eTimer' # 计时器事件，每隔1秒发送一次
EVENT_LOG = 'eLog' # 日志事件，全局通用
# Gateway相关
EVENT_TICK = 'eTick.' # TICK行情事件，可后接具体的vtSymbol
EVENT_TRADE = 'eTrade.' # 成交回报事件
EVENT_ORDER = 'eOrder.' # 报单回报事件
EVENT_POSITION = 'ePosition.' # 持仓回报事件
EVENT_ACCOUNT = 'eAccount.' # 账户回报事件
EVENT_ERROR = 'eError.' # 错误回报事件
#----------------------------------------------------------------------
def test():
"""检查是否存在内容重复的常量定义"""
check_dict = {}
global_dict = globals()
for key, value in global_dict.items():
if '__' not in key: # 不检查python内置对象
if value in check_dict:
check_dict[value].append(key)
else:
check_dict[value] = [key]
for key, value in check_dict.items():
if len(value)>1:
print u'存在重复的常量定义:' + str(key)
for name in value:
print name
print ''
print u'测试完毕'
# 直接运行脚本可以进行测试
if __name__ == '__main__':
test()

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# encoding: UTF-8
from eventEngine import *
# 默认空值
EMPTY_STRING = ''
EMPTY_UNICODE = u''
EMPTY_INT = 0
EMPTY_FLOAT = 0.0
# 方向常量
DIRECTION_NONE = 'none'
DIRECTION_LONG = 'long'
DIRECTION_SHORT = 'short'
DIRECTION_UNKNOWN = 'unknown'
# 开平常量
OFFSET_NONE = 'none'
OFFSET_OPEN = 'open'
OFFSET_CLOSE = 'close'
OFFSET_UNKNOWN = 'unknown'
########################################################################
class VtGateway(object):
"""交易接口"""
#----------------------------------------------------------------------
def __init__(self, eventEngine):
"""Constructor"""
self.eventEngine = eventEngine
#----------------------------------------------------------------------
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"""
# 因为成交通常都是事后才会知道成交编号，因此只需要推送通用事件
event1 = Event(type_=EVENT_TRADE)
event1.dict_['data'] = trade
self.eventEngine.put(event1)
#----------------------------------------------------------------------
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.vtPositionName)
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)
#----------------------------------------------------------------------
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)
#----------------------------------------------------------------------
def connect(self):
"""连接"""
pass
#----------------------------------------------------------------------
def subscribe(self):
"""订阅行情"""
pass
#----------------------------------------------------------------------
def sendOrder(self):
"""发单"""
pass
#----------------------------------------------------------------------
def cancelOrder(self):
"""撤单"""
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.vtSymbol = EMPTY_STRING # 合约在vt系统中的唯一代码，通常是 Gateway名.合约代码
# 成交数据
self.lastPrice = EMPTY_FLOAT # 最新成交价
self.volume = EMPTY_INT # 最新成交量
self.openInterest = EMPTY_INT # 持仓量
self.tickTime = EMPTY_STRING # 更新时间
# 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.vtSymbol = EMPTY_STRING # 合约在vt系统中的唯一代码，通常是 Gateway名.合约代码
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_STRING # 成交方向
self.offset = EMPTY_STRING # 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.vtSymbol = EMPTY_STRING # 合约在vt系统中的唯一代码，通常是 Gateway名.合约代码
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_STRING # 报单方向
self.offset = EMPTY_STRING # 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_STRING # 报单状态
self.orderTime = EMPTY_STRING # 发单时间
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.vtSymbol = EMPTY_STRING # 合约在vt系统中的唯一代码，通常是 Gateway名.合约代码
# 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
########################################################################
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
# 代码相关
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
########################################################################
class VtLogData(VtBaseData):
"""日志数据类"""
#----------------------------------------------------------------------
def __init__(self):
"""Constructor"""
super(VtLogData, self).__init__()
self.logContent = EMPTY_UNICODE # 日志信息
########################################################################
class VtContractData(VtBaseData):
"""合约详细信息类"""
#----------------------------------------------------------------------
def __init__(self):
"""Constructor"""
super(VtBaseData, self).__init__()
self.priceTick = EMPTY_FLOAT
########################################################################
class VtSubscribeReq:
"""订阅行情时传入的对象类"""
#----------------------------------------------------------------------
def __init__(self):
"""Constructor"""
self.symbol = EMPTY_STRING
self.exchange = EMPTY_STRING

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{
"1": 1,
"b": 2,
"c": "_____"
}

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