From 3c7745c7c13e2f2a598831d22ee4f7c68642f133 Mon Sep 17 00:00:00 2001 From: chenxy123 Date: Tue, 25 Oct 2016 22:31:23 +0800 Subject: [PATCH] =?UTF-8?q?=E5=AE=8C=E6=88=90vn.trader=E7=9A=84=E7=9B=B4?= =?UTF-8?q?=E8=BE=BE=E6=9C=9F=E8=B4=A7=E6=8E=A5=E5=85=A5=EF=BC=8C=E6=84=9F?= =?UTF-8?q?=E8=B0=A2=E9=87=8F=E8=A1=8D=E6=8A=95=E8=B5=84=EF=BC=81?= MIME-Version: 1.0 Content-Type: text/plain; charset=UTF-8 Content-Transfer-Encoding: 8bit --- vn.trader/shzdGateway/shzdGateway.py | 148 +++++++++++++++++---------- vn.trader/uiBasicWidget.py | 1 + vn.trader/uiMainWindow.py | 2 +- vn.trader/vtEngine.py | 1 + 4 files changed, 96 insertions(+), 56 deletions(-) diff --git a/vn.trader/shzdGateway/shzdGateway.py b/vn.trader/shzdGateway/shzdGateway.py index 9f4f0708..cd3352e8 100644 --- a/vn.trader/shzdGateway/shzdGateway.py +++ b/vn.trader/shzdGateway/shzdGateway.py @@ -2,6 +2,11 @@ ''' vn.shzd的gateway接入 + +1. 期权合约数量太多，为了方便起见默认接口只接收期货合约数据 +2. 直达接口的撤单操作也被视作一个独立的委托，但是在vn.trader中选择忽略 +3. 持仓全部平光后，再次查询时会没有该合约的推送（和CTP不同），为了避免最后平仓 + 不更新的情况，使用缓存机制来处理 ''' @@ -201,7 +206,7 @@ class ShzdGatewayApi(ShzdApi): self.accountNoList = [] # 账号列表 self.tradeCallbacks = {} # 交易回调函数映射 - self.marketCallbacks = {} # 行情回调函数映射 + self.marketCallbacks = {} # 行情回调函数映射 # 委托相关 self.localNo = EMPTY_INT # 本地委托号 @@ -210,6 +215,13 @@ class ShzdGatewayApi(ShzdApi): self.localNoDict = {} # key为str(localNo)，value为(SystemNo, OrderNo) self.cancelDict = {} # key为等待撤单的str(localNo)，value为CancelOrderReq + # 委托号前缀 + n = datetime.now() + self.orderPrefix = n.strftime("%H%M%S.") + + # 持仓缓存 + self.posDict = {} # key为vtPositionName，value为VtPositionData + self.initCallbacks() #---------------------------------------------------------------------- @@ -260,13 +272,12 @@ class ShzdGatewayApi(ShzdApi): #---------------------------------------------------------------------- def onMarketData(self, data): """行情推送""" - printDict(data) tick = VtTickData() tick.gatewayName = self.gatewayName tick.symbol = data['307'] tick.exchange = exchangeMapReverse.get(data['306'], EXCHANGE_UNKNOWN) - tick.vtSymbol = '.'.join([tick.symbol, EXCHANGE_UNKNOWN]) + tick.vtSymbol = '.'.join([tick.symbol, tick.exchange]) tick.volume = int(data['513']) tick.openInterest = int(data['514']) @@ -284,9 +295,29 @@ class ShzdGatewayApi(ShzdApi): # 可以实现5档深度 tick.bidPrice1 = float(data['500']) + tick.bidPrice2 = float(data['515']) + tick.bidPrice3 = float(data['516']) + tick.bidPrice4 = float(data['517']) + tick.bidPrice5 = float(data['518']) + tick.bidVolume1 = int(data['501']) + tick.bidVolume2 = int(data['519']) + tick.bidVolume3 = int(data['520']) + tick.bidVolume4 = int(data['521']) + tick.bidVolume5 = int(data['522']) + tick.askPrice1 = float(data['502']) + tick.askPrice2 = float(data['523']) + tick.askPrice3 = float(data['524']) + tick.askPrice4 = float(data['525']) + tick.askPrice5 = float(data['526']) + tick.askVolume1 = int(data['503']) + tick.askVolume2 = int(data['527']) + tick.askVolume3 = int(data['528']) + tick.askVolume4 = int(data['529']) + tick.askVolume5 = int(data['530']) + except ValueError: pass @@ -304,7 +335,7 @@ class ShzdGatewayApi(ShzdApi): if '410' in data and data['410'] == '1': self.gateway.writeLog(u'登录成功') - self.qryContract() + #self.qryContract() self.qryOrder() self.qryTrade() @@ -329,7 +360,8 @@ class ShzdGatewayApi(ShzdApi): order.orderTime = data['346'] self.orderDict[order.orderID] = order - self.localNoDict[order.orderID] = (order['300'], order['301']) + self.localNoDict[order.orderID] = (data['300'], data['301']) + self.orderNoDict[data['301']] = order.orderID # 委托查询 if '315' in data: @@ -396,10 +428,18 @@ class ShzdGatewayApi(ShzdApi): #---------------------------------------------------------------------- def onOrder(self, data): """委托变化推送""" - orderID = self.orderNoDict[data['301']] - order = self.orderDict[orderID] - order.tradedVolume = int(data['315']) - self.gateway.onOrder(copy(order)) + orderID = self.orderNoDict.get(data['301'], None) + if orderID: + order = self.orderDict[orderID] + order.tradedVolume = int(data['315']) + + if order.tradedVolume > 0: + if order.tradedVolume < order.totalVolume: + order.status = STATUS_PARTTRADED + else: + order.status = STATUS_ALLTRADED + + self.gateway.onOrder(copy(order)) #---------------------------------------------------------------------- def onQryOrder(self, data): @@ -427,9 +467,11 @@ class ShzdGatewayApi(ShzdApi): order.totalVolume = int(data['309']) order.status = orderStatusMapReverse.get(data['405'], STATUS_UNKNOWN) order.orderTime = data['346'] + order.cancelTime = data['326'] self.orderDict[order.orderID] = order self.localNoDict[order.orderID] = (data['300'], data['301']) + self.orderNoDict[data['301']] = order.orderID order.tradedVolume = int(data['315']) @@ -448,20 +490,36 @@ class ShzdGatewayApi(ShzdApi): pos.exchange = exchangeMapReverse.get(data['306'], EXCHANGE_UNKNOWN) pos.vtSymbol = '.'.join([pos.symbol, pos.exchange]) - longPos = copy(pos) - longPos.direction = DIRECTION_LONG + # 多头仓位 + longPosName = '.'.join([pos.vtSymbol, DIRECTION_LONG]) + try: + longPos = self.posDict[longPosName] + except KeyError: + longPos = copy(pos) + longPos.direction = DIRECTION_LONG + longPos.vtPositionName = longPosName + self.posDict[longPosName] = longPos + longPos.position = int(data['442']) longPos.price = float(data['443']) - longPos.vtPositionName = '.'.join([longPos.vtSymbol, longPos.direction]) - shortPos = copy(pos) - shortPos.direction = DIRECTION_SHORT + # 空头仓位 + shortPosName = '.'.join([pos.vtSymbol, DIRECTION_SHORT]) + try: + shortPos = self.posDict[shortPosName] + except KeyError: + shortPos = copy(pos) + shortPos.direction = DIRECTION_SHORT + shortPos.vtPositionName = shortPosName + self.posDict[shortPosName] = shortPos + shortPos.position = int(data['445']) shortPos.price = float(data['446']) - shortPos.vtPositionName = '.'.join([shortPos.vtSymbol, shortPos.direction]) - - self.gateway.onPosition(longPos) - self.gateway.onPosition(shortPos) + + # 所有持仓数据推送完成后才向事件引擎中更新持仓数据 + if '410' in data and data['410'] == '1': + for pos in self.posDict.values(): + self.gateway.onPosition(pos) #---------------------------------------------------------------------- def onQryAccount(self, data): @@ -473,7 +531,8 @@ class ShzdGatewayApi(ShzdApi): account.accountID = data['11'] account.vtAccountID = '.'.join([self.gatewayName, account.accountID]) account.preBalance = float(data['218']) - account.available = float(data['203']) + account.balance = float(data['203']) + account.available = float(data['201']) account.commission = float(data['221']) account.margin = float(data['212']) account.closeProfit = float(data['205']) @@ -497,7 +556,9 @@ class ShzdGatewayApi(ShzdApi): contract.size = float(data['336']) contract.priceTick = float(data['337']) - self.gateway.onContract(contract) + # 期权合约数量太多，为了方便起见默认接口只接收期货合约数据 + if contract.productClass == PRODUCT_FUTURES: + self.gateway.onContract(contract) if '410' in data and data['410'] == '1': self.gateway.writeLog(u'合约查询完成') @@ -565,7 +626,7 @@ class ShzdGatewayApi(ShzdApi): req['401'] = priceTypeMap.get(orderReq.priceType, '') self.localNo += 1 - req['305'] = str(self.localNo) + req['305'] = self.orderPrefix + str(self.localNo).rjust(10, '0') self.shzdSendInfoToTrade(req) @@ -583,6 +644,7 @@ class ShzdGatewayApi(ShzdApi): order = self.orderDict[cancelReq.orderID] req = {} + req['msgtype'] = 'C' req['12'] = self.userId req['11'] = self.accountNo req['300'] = systemNo @@ -590,9 +652,11 @@ class ShzdGatewayApi(ShzdApi): req['306'] = exchangeMap.get(order.exchange, '') req['307'] = order.symbol req['308'] = directionMap.get(order.direction, '') - req['309'] = str(order.volume) - req['310'] = 0 - req['315'] = 0 + req['309'] = str(order.totalVolume) + req['310'] = str(order.price) + req['315'] = str(order.tradedVolume) + + self.shzdSendInfoToTrade(req) else: self.cancelSet.add(cancelReq) @@ -613,6 +677,11 @@ class ShzdGatewayApi(ShzdApi): req['12'] = self.userId req['11'] = self.accountNo self.shzdSendInfoToTrade(req) + + # 清空持仓数据 + for pos in self.posDict.values(): + pos.price = 0 + pos.position = 0 #---------------------------------------------------------------------- def qryContract(self): @@ -650,34 +719,3 @@ def printDict(d): for k in l: print k, ':', d[k] - - -if __name__ == '__main__': - - api = TestApi() - - # 初始化连接 - api.initShZdServer() - - # 注册前置机地址 - print api.registerFront('222.73.119.230', 7003) - print api.registerMarket('222.73.119.230', 9003) - - # 登录 - sleep(1) - data = {} - data['msgtype'] = 'A' - data['12'] = 'demo000604' - data['16'] = '888888' - api.shzdSendInfoToTrade(data) - - # 订阅行情 - sleep(1) - data = {} - data['msgtype'] = 'MA' - data['11'] = '00010337' - data['201'] = '+' - data['307'] = "CME,6J1609" - api.shzdSendInfoToMarket(data) - - raw_input() \ No newline at end of file diff --git a/vn.trader/uiBasicWidget.py b/vn.trader/uiBasicWidget.py index acddf75a..9cf52a50 100644 --- a/vn.trader/uiBasicWidget.py +++ b/vn.trader/uiBasicWidget.py @@ -625,6 +625,7 @@ class TradingWidget(QtGui.QFrame): EXCHANGE_HKEX, EXCHANGE_SMART, EXCHANGE_ICE, + EXCHANGE_CME, EXCHANGE_NYMEX, EXCHANGE_GLOBEX, EXCHANGE_IDEALPRO] diff --git a/vn.trader/uiMainWindow.py b/vn.trader/uiMainWindow.py index c0dbbe77..f8804b1f 100644 --- a/vn.trader/uiMainWindow.py +++ b/vn.trader/uiMainWindow.py @@ -122,7 +122,7 @@ class MainWindow(QtGui.QMainWindow): rmAction = QtGui.QAction(u'风险管理', self) rmAction.triggered.connect(self.openRm) - restoreAction = QtGui.QAction(u'还原窗口', self) + restoreAction = QtGui.QAction(u'还原', self) restoreAction.triggered.connect(self.restoreWindow) # 创建菜单 diff --git a/vn.trader/vtEngine.py b/vn.trader/vtEngine.py index 57f5f3f4..11b83270 100644 --- a/vn.trader/vtEngine.py +++ b/vn.trader/vtEngine.py @@ -118,6 +118,7 @@ class MainEngine(object): try: from shzdGateway.shzdGateway import ShzdGateway self.addGateway(ShzdGateway, 'SHZD') + self.gatewayDict['SHZD'].setQryEnabled(True) except Exception, e: print e