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[Mod]simplify usage of ctp api and gateway

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This commit is contained in:
vn.py 2019-02-18 11:15:51 +08:00
parent cc236a918d
commit 37f2a0c9b6
9 changed files with 31 additions and 498 deletions
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1
.gitignore vendored
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@ -10,6 +10,7 @@
*.wpr
*.wpu
.vs
x64
# Temp
build

22
vnpy/api/ctp/vnctp/vnctp.h
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@ -103,35 +103,35 @@ void getString(const pybind11::dict &d, const char *key, string_literal<size> &v
if (d.contains(key))
{
object o = d[key];
std::string s = o.cast<std::string>();
string s = o.cast<string>();
const char *buf = s.c_str();
strcpy(value, buf);
}
};
//将GBK编码的字符串转换为UTF8
inline std::string toUtf(const std::string &gb2312)
inline string toUtf(const string &gb2312)
{
#ifdef _MSC_VER
const static std::locale loc("zh-CN");
const static locale loc("zh-CN");
#else
const static std::locale loc("zh_CN.GB18030");
const static locale loc("zh_CN.GB18030");
#endif
std::vector<wchar_t> wstr(gb2312.size());
vector<wchar_t> wstr(gb2312.size());
wchar_t* wstrEnd = nullptr;
const char* gbEnd = nullptr;
std::mbstate_t state = {};
int res = std::use_facet<std::codecvt<wchar_t, char, mbstate_t> >
mbstate_t state = {};
int res = use_facet<codecvt<wchar_t, char, mbstate_t> >
(loc).in(state,
gb2312.data(), gb2312.data() + gb2312.size(), gbEnd,
wstr.data(), wstr.data() + wstr.size(), wstrEnd);
if (std::codecvt_base::ok == res)
if (codecvt_base::ok == res)
{
std::wstring_convert<std::codecvt_utf8<wchar_t>> cutf8;
return cutf8.to_bytes(std::wstring(wstr.data(), wstrEnd));
wstring_convert<codecvt_utf8<wchar_t>> cutf8;
return cutf8.to_bytes(wstring(wstr.data(), wstrEnd));
}
return std::string();
return string();
}

4
vnpy/api/ctp/vnctp/vnctpmd/vnctpmd.cpp
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@ -563,7 +563,9 @@ int MdApi::join()
int MdApi::exit()
{
//该函数在原生API里没有，用于安全退出API用，原生的join似乎不太稳定
this->active = false;
//this->task_thread.join();
this->api->RegisterSpi(NULL);
this->api->Release();
this->api = NULL;

2
vnpy/api/ctp/vnctp/vnctpmd/vnctpmd.vcxproj
View File

@ -23,7 +23,7 @@
<ProjectGuid>{F00054FF-282F-4826-848E-D58BFB9E9D9F}</ProjectGuid>
<Keyword>Win32Proj</Keyword>
<RootNamespace>vnctpmd</RootNamespace>
<WindowsTargetPlatformVersion>10.0.17763.0</WindowsTargetPlatformVersion>
<WindowsTargetPlatformVersion>10.0.17134.0</WindowsTargetPlatformVersion>
</PropertyGroup>
<Import Project="$(VCTargetsPath)\Microsoft.Cpp.Default.props" />
<PropertyGroup Condition="'$(Configuration)|$(Platform)'=='Debug|Win32'" Label="Configuration">

4
vnpy/api/ctp/vnctp/vnctptd/vnctptd.cpp
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@ -7914,7 +7914,9 @@ int TdApi::join()
int TdApi::exit()
{
//该函数在原生API里没有，用于安全退出API用，原生的join似乎不太稳定
this->active = false;
//this->task_thread.join();
this->api->RegisterSpi(NULL);
this->api->Release();
this->api = NULL;

2
vnpy/api/ctp/vnctp/vnctptd/vnctptd.vcxproj
View File

@ -23,7 +23,7 @@
<ProjectGuid>{016732E6-5789-4F7C-9A1C-C46A249080CF}</ProjectGuid>
<Keyword>Win32Proj</Keyword>
<RootNamespace>vnctptd</RootNamespace>
<WindowsTargetPlatformVersion>10.0.17763.0</WindowsTargetPlatformVersion>
<WindowsTargetPlatformVersion>10.0.17134.0</WindowsTargetPlatformVersion>
</PropertyGroup>
<Import Project="$(VCTargetsPath)\Microsoft.Cpp.Default.props" />
<PropertyGroup Condition="'$(Configuration)|$(Platform)'=='Debug|Win32'" Label="Configuration">

BIN
vnpy/api/ctp/vnctpmd.pyd
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vnpy/api/ctp/vnctptd.pyd
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494
vnpy/gateway/ctp/ctp_gateway.py
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@ -2,7 +2,6 @@
"""
"""
from copy import copy
from datetime import datetime
from vnpy.api.ctp import *
@ -212,11 +211,7 @@ class CtpMdApi(MdApi):
self.connect_status = False
self.login_status = False
self.gateway.write_log(f"行情连接断开，原因{reason}")
def onHeartBeatWarning(self, n: int):
""""""
pass
def onRspUserLogin(self, data: dict, error: dict, reqid: int, last: bool):
"""
Callback when user is logged in.
@ -230,10 +225,6 @@ class CtpMdApi(MdApi):
else:
self.gateway.write_error("行情登录失败", error)
def onRspUserLogout(self, data: dict, error: dict, reqid: int, last: bool):
""""""
pass
def onRspError(self, error: dict, reqid: int, last: bool):
"""
Callback when error occured.
@ -246,19 +237,7 @@ class CtpMdApi(MdApi):
return
self.gateway.write_error("行情订阅失败", error)
def onRspUnSubMarketData(self, data: dict, error: dict, reqid: int, last: bool):
""""""
pass
def onRspSubForQuoteRsp(self, data: dict, error: dict, reqid: int, last: bool):
""""""
pass
def onRspUnSubForQuoteRsp(self, data: dict, error: dict, reqid: int, last: bool):
""""""
pass
def onRtnDepthMarketData(self, data: dict):
"""
Callback of tick data update.
@ -274,7 +253,7 @@ class CtpMdApi(MdApi):
symbol=symbol,
exchange=exchange,
datetime=datetime.strptime(timestamp, "%Y%m%d %H:%M:%S.%f"),
name = symbol_name_map[symbol],
name=symbol_name_map[symbol],
volume=data["Volume"],
last_price=data["LastPrice"],
limit_up=data["UpperLimitPrice"],
@ -289,11 +268,7 @@ class CtpMdApi(MdApi):
ask_volume_1=data["AskVolume1"],
gateway_name=self.gateway_name
)
self.gateway.on_tick(tick)
def onRtnForQuoteRsp(self, data: dict):
""""""
pass
self.gateway.on_tick(tick)
def connect(self, address: str, userid: str, password: str, brokerid: int):
"""
@ -343,9 +318,6 @@ class CtpMdApi(MdApi):
self.exit()
class CtpTdApi(TdApi):
""""""
@ -394,10 +366,6 @@ class CtpTdApi(TdApi):
self.login_status = False
self.gateway.write_log(f"交易连接断开，原因{reason}")
def onHeartBeatWarning(self, n: int):
""""""
pass
def onRspAuthenticate(self, data: dict, error: dict, reqid: int, last: bool):
""""""
if not error['ErrorID']:
@ -427,30 +395,6 @@ class CtpTdApi(TdApi):
self.gateway.write_error("交易登录失败", error)
def onRspUserLogout(self, data: dict, error: dict, reqid: int, last: bool):
""""""
pass
def onRspUserPasswordUpdate(self, data: dict, error: dict, reqid: int, last: bool):
""""""
pass
def onRspTradingAccountPasswordUpdate(self, data: dict, error: dict, reqid: int, last: bool):
""""""
pass
def onRspUserAuthMethod(self, data: dict, error: dict, reqid: int, last: bool):
""""""
pass
def onRspGenUserCaptcha(self, data: dict, error: dict, reqid: int, last: bool):
""""""
pass
def onRspGenUserText(self, data: dict, error: dict, reqid: int, last: bool):
""""""
pass
def onRspOrderInsert(self, data: dict, error: dict, reqid: int, last: bool):
""""""
order_ref = data["OrderRef"]
@ -474,14 +418,6 @@ class CtpTdApi(TdApi):
self.gateway.write_error("交易委托失败", error)
def onRspParkedOrderInsert(self, data: dict, error: dict, reqid: int, last: bool):
""""""
pass
def onRspParkedOrderAction(self, data: dict, error: dict, reqid: int, last: bool):
""""""
pass
def onRspOrderAction(self, data: dict, error: dict, reqid: int, last: bool):
""""""
self.gateway.write_error("交易撤单失败", error)
@ -498,58 +434,6 @@ class CtpTdApi(TdApi):
self.reqid += 1
self.reqQryInstrument({}, self.reqid)
def onRspRemoveParkedOrder(self, data: dict, error: dict, reqid: int, last: bool):
""""""
pass
def onRspRemoveParkedOrderAction(self, data: dict, error: dict, reqid: int, last: bool):
""""""
pass
def onRspExecOrderInsert(self, data: dict, error: dict, reqid: int, last: bool):
""""""
pass
def onRspExecOrderAction(self, data: dict, error: dict, reqid: int, last: bool):
""""""
pass
def onRspForQuoteInsert(self, data: dict, error: dict, reqid: int, last: bool):
""""""
pass
def onRspQuoteInsert(self, data: dict, error: dict, reqid: int, last: bool):
""""""
pass
def onRspQuoteAction(self, data: dict, error: dict, reqid: int, last: bool):
""""""
pass
def onRspBatchOrderAction(self, data: dict, error: dict, reqid: int, last: bool):
""""""
pass
def onRspOptionSelfCloseInsert(self, data: dict, error: dict, reqid: int, last: bool):
""""""
pass
def onRspOptionSelfCloseAction(self, data: dict, error: dict, reqid: int, last: bool):
""""""
pass
def onRspCombActionInsert(self, data: dict, error: dict, reqid: int, last: bool):
""""""
pass
def onRspQryOrder(self, data: dict, error: dict, reqid: int, last: bool):
""""""
pass
def onRspQryTrade(self, data: dict, error: dict, reqid: int, last: bool):
""""""
pass
def onRspQryInvestorPosition(self, data: dict, error: dict, reqid: int, last: bool):
""""""
@ -612,39 +496,19 @@ class CtpTdApi(TdApi):
self.gateway.on_account(account)
def onRspQryInvestor(self, data: dict, error: dict, reqid: int, last: bool):
""""""
pass
def onRspQryTradingCode(self, data: dict, error: dict, reqid: int, last: bool):
""""""
pass
def onRspQryInstrumentMarginRate(self, data: dict, error: dict, reqid: int, last: bool):
""""""
pass
def onRspQryInstrumentCommissionRate(self, data: dict, error: dict, reqid: int, last: bool):
""""""
pass
def onRspQryExchange(self, data: dict, error: dict, reqid: int, last: bool):
""""""
pass
def onRspQryProduct(self, data: dict, error: dict, reqid: int, last: bool):
""""""
pass
def onRspQryInstrument(self, data: dict, error: dict, reqid: int, last: bool):
"""
Callback of instrument query.
"""
product = PRODUCT_CTP2VT.get(data["ProductClass"], None)
if not product:
return
contract = ContractData(
symbol=data["InstrumentID"],
exchange=EXCHANGE_CTP2VT[data["ExchangeID"]],
name=data["InstrumentName"],
product=PRODUCT_CTP2VT[data["ProductClass"]],
product=product,
size=data["VolumeMultiple"],
pricetick=data["PriceTick"],
option_underlying=data["UnderlyingInstrID"],
@ -671,142 +535,6 @@ class CtpTdApi(TdApi):
self.onRtnTrade(data)
self.trade_data.clear()
def onRspQryDepthMarketData(self, data: dict, error: dict, reqid: int, last: bool):
""""""
pass
def onRspQrySettlementInfo(self, data: dict, error: dict, reqid: int, last: bool):
""""""
pass
def onRspQryTransferBank(self, data: dict, error: dict, reqid: int, last: bool):
""""""
pass
def onRspQryInvestorPositionDetail(self, data: dict, error: dict, reqid: int, last: bool):
""""""
pass
def onRspQryNotice(self, data: dict, error: dict, reqid: int, last: bool):
""""""
pass
def onRspQrySettlementInfoConfirm(self, data: dict, error: dict, reqid: int, last: bool):
""""""
pass
def onRspQryInvestorPositionCombineDetail(self, data: dict, error: dict, reqid: int, last: bool):
""""""
pass
def onRspQryCFMMCTradingAccountKey(self, data: dict, error: dict, reqid: int, last: bool):
""""""
pass
def onRspQryEWarrantOffset(self, data: dict, error: dict, reqid: int, last: bool):
""""""
pass
def onRspQryInvestorProductGroupMargin(self, data: dict, error: dict, reqid: int, last: bool):
""""""
pass
def onRspQryExchangeMarginRate(self, data: dict, error: dict, reqid: int, last: bool):
""""""
pass
def onRspQryExchangeMarginRateAdjust(self, data: dict, error: dict, reqid: int, last: bool):
""""""
pass
def onRspQryExchangeRate(self, data: dict, error: dict, reqid: int, last: bool):
""""""
pass
def onRspQrySecAgentACIDMap(self, data: dict, error: dict, reqid: int, last: bool):
""""""
pass
def onRspQryProductExchRate(self, data: dict, error: dict, reqid: int, last: bool):
""""""
pass
def onRspQryProductGroup(self, data: dict, error: dict, reqid: int, last: bool):
""""""
pass
def onRspQryMMInstrumentCommissionRate(self, data: dict, error: dict, reqid: int, last: bool):
""""""
pass
def onRspQryMMOptionInstrCommRate(self, data: dict, error: dict, reqid: int, last: bool):
""""""
pass
def onRspQryInstrumentOrderCommRate(self, data: dict, error: dict, reqid: int, last: bool):
""""""
pass
def onRspQrySecAgentTradingAccount(self, data: dict, error: dict, reqid: int, last: bool):
""""""
pass
def onRspQrySecAgentCheckMode(self, data: dict, error: dict, reqid: int, last: bool):
""""""
pass
def onRspQrySecAgentTradeInfo(self, data: dict, error: dict, reqid: int, last: bool):
""""""
pass
def onRspQryOptionInstrTradeCost(self, data: dict, error: dict, reqid: int, last: bool):
""""""
pass
def onRspQryOptionInstrCommRate(self, data: dict, error: dict, reqid: int, last: bool):
""""""
pass
def onRspQryExecOrder(self, data: dict, error: dict, reqid: int, last: bool):
""""""
pass
def onRspQryForQuote(self, data: dict, error: dict, reqid: int, last: bool):
""""""
pass
def onRspQryQuote(self, data: dict, error: dict, reqid: int, last: bool):
""""""
pass
def onRspQryOptionSelfClose(self, data: dict, error: dict, reqid: int, last: bool):
""""""
pass
def onRspQryInvestUnit(self, data: dict, error: dict, reqid: int, last: bool):
""""""
pass
def onRspQryCombInstrumentGuard(self, data: dict, error: dict, reqid: int, last: bool):
""""""
pass
def onRspQryCombAction(self, data: dict, error: dict, reqid: int, last: bool):
""""""
pass
def onRspQryTransferSerial(self, data: dict, error: dict, reqid: int, last: bool):
""""""
pass
def onRspQryAccountregister(self, data: dict, error: dict, reqid: int, last: bool):
""""""
pass
def onRspError(self, error: dict, reqid: int, last: bool):
""""""
pass
def onRtnOrder(self, data: dict):
"""
Callback of order status update.
@ -865,206 +593,6 @@ class CtpTdApi(TdApi):
)
self.gateway.on_trade(trade)
def onErrRtnOrderInsert(self, data: dict, error: dict):
""""""
pass
def onErrRtnOrderAction(self, data: dict, error: dict):
""""""
pass
def onRtnInstrumentStatus(self, data: dict):
""""""
pass
def onRtnBulletin(self, data: dict):
""""""
pass
def onRtnTradingNotice(self, data: dict):
""""""
pass
def onRtnErrorConditionalOrder(self, data: dict):
""""""
pass
def onRtnExecOrder(self, data: dict):
""""""
pass
def onErrRtnExecOrderInsert(self, data: dict, error: dict):
""""""
pass
def onErrRtnExecOrderAction(self, data: dict, error: dict):
""""""
pass
def onErrRtnForQuoteInsert(self, data: dict, error: dict):
""""""
pass
def onRtnQuote(self, data: dict):
""""""
pass
def onErrRtnQuoteInsert(self, data: dict, error: dict):
""""""
pass
def onErrRtnQuoteAction(self, data: dict, error: dict):
""""""
pass
def onRtnForQuoteRsp(self, data: dict):
""""""
pass
def onRtnCFMMCTradingAccountToken(self, data: dict):
""""""
pass
def onErrRtnBatchOrderAction(self, data: dict, error: dict):
""""""
pass
def onRtnOptionSelfClose(self, data: dict):
""""""
pass
def onErrRtnOptionSelfCloseInsert(self, data: dict, error: dict):
""""""
pass
def onErrRtnOptionSelfCloseAction(self, data: dict, error: dict):
""""""
pass
def onRtnCombAction(self, data: dict):
""""""
pass
def onErrRtnCombActionInsert(self, data: dict, error: dict):
""""""
pass
def onRspQryContractBank(self, data: dict, error: dict, reqid: int, last: bool):
""""""
pass
def onRspQryParkedOrder(self, data: dict, error: dict, reqid: int, last: bool):
""""""
pass
def onRspQryParkedOrderAction(self, data: dict, error: dict, reqid: int, last: bool):
""""""
pass
def onRspQryTradingNotice(self, data: dict, error: dict, reqid: int, last: bool):
""""""
pass
def onRspQryBrokerTradingParams(self, data: dict, error: dict, reqid: int, last: bool):
""""""
pass
def onRspQryBrokerTradingAlgos(self, data: dict, error: dict, reqid: int, last: bool):
""""""
pass
def onRspQueryCFMMCTradingAccountToken(self, data: dict, error: dict, reqid: int, last: bool):
""""""
pass
def onRtnFromBankToFutureByBank(self, data: dict):
""""""
pass
def onRtnFromFutureToBankByBank(self, data: dict):
""""""
pass
def onRtnRepealFromBankToFutureByBank(self, data: dict):
""""""
pass
def onRtnRepealFromFutureToBankByBank(self, data: dict):
""""""
pass
def onRtnFromBankToFutureByFuture(self, data: dict):
""""""
pass
def onRtnFromFutureToBankByFuture(self, data: dict):
""""""
pass
def onRtnRepealFromBankToFutureByFutureManual(self, data: dict):
""""""
pass
def onRtnRepealFromFutureToBankByFutureManual(self, data: dict):
""""""
pass
def onRtnQueryBankBalanceByFuture(self, data: dict):
""""""
pass
def onErrRtnBankToFutureByFuture(self, data: dict, error: dict):
""""""
pass
def onErrRtnFutureToBankByFuture(self, data: dict, error: dict):
""""""
pass
def onErrRtnRepealBankToFutureByFutureManual(self, data: dict, error: dict):
""""""
pass
def onErrRtnRepealFutureToBankByFutureManual(self, data: dict, error: dict):
""""""
pass
def onErrRtnQueryBankBalanceByFuture(self, data: dict, error: dict):
""""""
pass
def onRtnRepealFromBankToFutureByFuture(self, data: dict):
""""""
pass
def onRtnRepealFromFutureToBankByFuture(self, data: dict):
""""""
pass
def onRspFromBankToFutureByFuture(self, data: dict, error: dict, reqid: int, last: bool):
""""""
pass
def onRspFromFutureToBankByFuture(self, data: dict, error: dict, reqid: int, last: bool):
""""""
pass
def onRspQueryBankAccountMoneyByFuture(self, data: dict, error: dict, reqid: int, last: bool):
""""""
pass
def onRtnOpenAccountByBank(self, data: dict):
""""""
pass
def onRtnCancelAccountByBank(self, data: dict):
""""""
pass
def onRtnChangeAccountByBank(self, data: dict):
""""""
pass
def connect(self, address: str, userid: str, password: str, brokerid: int, auth_code: str, product_info: str):
"""
Start connection to server.
@ -1107,11 +635,11 @@ class CtpTdApi(TdApi):
"""
if self.login_failed:
return
req = {
"UserID": self.userid,
"Password": self.password,
"BrokerID": self.brokerid,
"BrokerID": self.brokerid
}
self.reqid += 1