之前修改的CTP的上期所持仓依旧有所问题，基于持仓数据缓存的模式进行了修复，同时修复回测引擎中的一个tick回测相关的bug。

vn.ctp/vnctptd/Visual Studio 2013/settings/Windows Azure Subscriptions.xml

@@ -1,5 +0,0 @@
-<?xml version="1.0"?>
-<SubscriptionDataContainer xmlns:xsi="http://www.w3.org/2001/XMLSchema-instance" xmlns:xsd="http://www.w3.org/2001/XMLSchema" xmlns="urn:Microsoft.VisualStudio.WindowsAzure.CommonAzureTools.Authentication.CacheManagement">
-  <Items />
-  <TokenCache>AQAAANCMnd8BFdERjHoAwE/Cl+sBAAAAhE4p+D02F0WYPy8qCmMXxAAAAAACAAAAAAAQZgAAAAEAACAAAABqqZf7eO/8AqQFqurp2lQDI7ZnZtjWpYLxdEZZGWoeTgAAAAAOgAAAAAIAACAAAACO1demA+YL03Dkjrvv0fYv1k0mGB4XD5t7YYCfD7RdCBAAAACmf9hwg57+FQ2Y5W5BmkdtQAAAAO2Nz3wpQbXLHeGtVRYjAqDcPS8ZJZJVEQ17yhmhHxf12PU4Ru3qr5bEI9j6zaanFd0dF00D4aUwUNKJ5o5raII=</TokenCache>
-</SubscriptionDataContainer>

vn.trader/ctaAlgo/ctaBacktesting.py

@@ -174,6 +174,7 @@ class BacktestingEngine(object):
     def newTick(self, tick):
         """新的Tick"""
         self.tick = tick
+        self.dt = tick.datetime
         self.crossLimitOrder()
         self.crossStopOrder()
         self.strategy.onTick(tick)

vn.trader/ctpGateway/ctpGateway.py

@@ -17,6 +17,7 @@ from vnctptd import TdApi
 from ctpDataType import *
 from vtGateway import *
 
+
 # 以下为一些VT类型和CTP类型的映射字典
 # 价格类型映射
 priceTypeMap = {}
@@ -437,7 +438,7 @@ class CtpTdApi(TdApi):
         self.frontID = EMPTY_INT            # 前置机编号
         self.sessionID = EMPTY_INT          # 会话编号
         
-        self.posDict = {}                   # 缓存持仓数据的字典
+        self.posBufferDict = {}             # 缓存持仓数据的字典
         
     #----------------------------------------------------------------------
     def onFrontConnected(self):
@@ -627,44 +628,18 @@ class CtpTdApi(TdApi):
     #----------------------------------------------------------------------
     def onRspQryInvestorPosition(self, data, error, n, last):
         """持仓查询回报"""
-        # 获取缓存字典中的持仓对象，若无则创建并初始化
+        # 获取缓存字典中的持仓缓存，若无则创建并初始化
         positionName = '.'.join([data['InstrumentID'], data['PosiDirection']])
         
-        if positionName in self.posDict:
+        if positionName in self.posBufferDict:
-            pos = self.posDict[positionName]
+            posBuffer = self.posBufferDict[positionName]
         else:
-            pos = VtPositionData()
+            posBuffer = PositionBuffer(data, self.gatewayName)
-            self.posDict[positionName] = pos
+            self.posBufferDict[positionName] = posBuffer
-            
-            pos.gatewayName = self.gatewayName
         
-            # 保存代码
+        # 更新持仓缓存，并获取VT系统中持仓对象的返回值
-            pos.symbol = data['InstrumentID']
+        pos = posBuffer.updateBuffer(data)
-            pos.vtSymbol = pos.symbol       # 这里因为data中没有ExchangeID这个字段
+        self.gateway.onPosition(pos)
-            
-            # 方向
-            pos.direction = posiDirectionMapReverse.get(data['PosiDirection'], '')
-            
-            # VT系统持仓名
-            pos.vtPositionName = '.'.join([pos.vtSymbol, pos.direction])            
-        
-        # 持仓冻结数量
-        if pos.direction == DIRECTION_NET or pos.direction == DIRECTION_LONG:
-            pos.frozen = data['LongFrozen']
-        elif pos.direction == DIRECTION_SHORT:   
-            pos.frozen = data['ShortFrozen']
-        
-        # 持仓量
-        pos.position = data['Position']
-        pos.ydPosition = data['Position'] - data['TodayPosition']        
-        
-        # 持仓均价
-        if pos.position:
-            pos.price = data['PositionCost'] / pos.position
-
-        # 推送
-        newpos = copy(pos)
-        self.gateway.onPosition(newpos)
     
     #----------------------------------------------------------------------
     def onRspQryTradingAccount(self, data, error, n, last):
@@ -1255,12 +1230,9 @@ class CtpTdApi(TdApi):
         req['VolumeTotalOriginal'] = 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['OrderPriceType'] = priceTypeMap.get(orderReq.priceType, '')
-            req['OrderPriceType'] = priceTypeMap[orderReq.priceType]
+        req['Direction'] = directionMap.get(orderReq.direction, '')
-            req['Direction'] = directionMap[orderReq.direction]
+        req['CombOffsetFlag'] = offsetMap.get(orderReq.offset, '')
-            req['CombOffsetFlag'] = offsetMap[orderReq.offset]
-        except KeyError:
-            return ''
             
         req['OrderRef'] = str(self.orderRef)
         req['InvestorID'] = self.userID
@@ -1275,6 +1247,16 @@ class CtpTdApi(TdApi):
         req['VolumeCondition'] = defineDict['THOST_FTDC_VC_AV']              # 任意成交量
         req['MinVolume'] = 1                                                 # 最小成交量为1
         
+        # 判断FAK和FOK
+        if orderReq.priceType == PRICETYPE_FAK:
+            req['OrderPriceType'] = defineDict["THOST_FTDC_OPT_LimitPrice"]
+            req['TimeCondition'] = defineDict['THOST_FTDC_TC_IOC']
+            req['VolumeCondition'] = defineDict['THOST_FTDC_VC_AV']
+        if orderReq.priceType == PRICETYPE_FOK:
+            req['OrderPriceType'] = defineDict["THOST_FTDC_OPT_LimitPrice"]
+            req['TimeCondition'] = defineDict['THOST_FTDC_TC_IOC']
+            req['VolumeCondition'] = defineDict['THOST_FTDC_VC_CV']        
+        
         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
@@ -1306,6 +1288,55 @@ class CtpTdApi(TdApi):
         self.exit()
 
 
+########################################################################
+class PositionBuffer(object):
+    """用来缓存持仓的数据，处理上期所的数据返回分今昨的问题"""
+
+    #----------------------------------------------------------------------
+    def __init__(self, data, gatewayName):
+        """Constructor"""
+        self.symbol = data['InstrumentID']
+        self.direction = posiDirectionMapReverse.get(data['PosiDirection'], '')
+        
+        self.todayPosition = EMPTY_INT
+        self.ydPosition = EMPTY_INT
+        self.todayPositionCost = EMPTY_FLOAT
+        self.ydPositionCost = EMPTY_FLOAT
+        
+        # 通过提前创建持仓数据对象并重复使用的方式来降低开销
+        pos = VtPositionData()
+        pos.symbol = self.symbol
+        pos.vtSymbol = self.symbol
+        pos.gatewayName = gatewayName
+        pos.direction = self.direction
+        pos.vtPositionName = '.'.join([pos.vtSymbol, pos.direction]) 
+        self.pos = pos
+        
+    #----------------------------------------------------------------------
+    def updateBuffer(self, data):
+        """更新缓存，返回更新后的持仓数据"""
+        # 昨仓和今仓的数据更新是分在两条记录里的，因此需要判断检查该条记录对应仓位
+        if data['TodayPosition']:
+            self.todayPosition = data['Position']
+            self.todayPositionCost = data['PositionCost']
+        elif data['YdPosition']:
+            self.ydPosition = data['Position']
+            self.ydPositionCost = data['PositionCost']
+            
+        # 持仓的昨仓和今仓相加后为总持仓
+        self.pos.position = self.todayPosition + self.ydPosition
+        self.pos.ydPosition = self.ydPosition
+        
+        # 如果手头还有持仓，则通过加权平均方式计算持仓均价
+        if self.todayPosition or self.ydPosition:
+            self.pos.price = ((self.todayPositionCost + self.ydPositionCost)/
+                              (self.todayPosition + self.ydPosition))
+        # 否则价格为0
+        else:
+            self.pos.price = 0
+            
+        return copy(self.pos)
+
 #----------------------------------------------------------------------
 def test():
     """测试"""