完成vn.trader的直达期货接入，感谢量衍投资！
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chenxy123
parent
d3518ae929
commit
3c7745c7c1
@ -2,6 +2,11 @@
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'''
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vn.shzd的gateway接入
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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
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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
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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
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不更新的情况，使用缓存机制来处理
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'''
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@ -210,6 +215,13 @@ class ShzdGatewayApi(ShzdApi):
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self.localNoDict = {} # key为str(localNo)，value为(SystemNo, OrderNo)
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self.cancelDict = {} # key为等待撤单的str(localNo)，value为CancelOrderReq
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# 委托号前缀
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n = datetime.now()
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self.orderPrefix = n.strftime("%H%M%S.")
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# 持仓缓存
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self.posDict = {} # key为vtPositionName，value为VtPositionData
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self.initCallbacks()
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#----------------------------------------------------------------------
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@ -260,13 +272,12 @@ class ShzdGatewayApi(ShzdApi):
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#----------------------------------------------------------------------
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def onMarketData(self, data):
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"""行情推送"""
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printDict(data)
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tick = VtTickData()
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tick.gatewayName = self.gatewayName
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tick.symbol = data['307']
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tick.exchange = exchangeMapReverse.get(data['306'], EXCHANGE_UNKNOWN)
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tick.vtSymbol = '.'.join([tick.symbol, EXCHANGE_UNKNOWN])
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tick.vtSymbol = '.'.join([tick.symbol, tick.exchange])
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tick.volume = int(data['513'])
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tick.openInterest = int(data['514'])
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@ -284,9 +295,29 @@ class ShzdGatewayApi(ShzdApi):
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# 可以实现5档深度
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tick.bidPrice1 = float(data['500'])
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tick.bidPrice2 = float(data['515'])
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tick.bidPrice3 = float(data['516'])
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tick.bidPrice4 = float(data['517'])
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tick.bidPrice5 = float(data['518'])
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tick.bidVolume1 = int(data['501'])
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tick.bidVolume2 = int(data['519'])
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tick.bidVolume3 = int(data['520'])
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tick.bidVolume4 = int(data['521'])
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tick.bidVolume5 = int(data['522'])
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tick.askPrice1 = float(data['502'])
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tick.askPrice2 = float(data['523'])
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tick.askPrice3 = float(data['524'])
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tick.askPrice4 = float(data['525'])
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tick.askPrice5 = float(data['526'])
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tick.askVolume1 = int(data['503'])
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tick.askVolume2 = int(data['527'])
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tick.askVolume3 = int(data['528'])
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tick.askVolume4 = int(data['529'])
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tick.askVolume5 = int(data['530'])
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except ValueError:
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pass
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@ -304,7 +335,7 @@ class ShzdGatewayApi(ShzdApi):
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if '410' in data and data['410'] == '1':
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self.gateway.writeLog(u'登录成功')
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self.qryContract()
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#self.qryContract()
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self.qryOrder()
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self.qryTrade()
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@ -329,7 +360,8 @@ class ShzdGatewayApi(ShzdApi):
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order.orderTime = data['346']
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self.orderDict[order.orderID] = order
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self.localNoDict[order.orderID] = (order['300'], order['301'])
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self.localNoDict[order.orderID] = (data['300'], data['301'])
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self.orderNoDict[data['301']] = order.orderID
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# 委托查询
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if '315' in data:
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@ -396,9 +428,17 @@ class ShzdGatewayApi(ShzdApi):
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#----------------------------------------------------------------------
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def onOrder(self, data):
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"""委托变化推送"""
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orderID = self.orderNoDict[data['301']]
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orderID = self.orderNoDict.get(data['301'], None)
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if orderID:
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order = self.orderDict[orderID]
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order.tradedVolume = int(data['315'])
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if order.tradedVolume > 0:
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if order.tradedVolume < order.totalVolume:
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order.status = STATUS_PARTTRADED
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else:
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order.status = STATUS_ALLTRADED
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self.gateway.onOrder(copy(order))
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#----------------------------------------------------------------------
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@ -427,9 +467,11 @@ class ShzdGatewayApi(ShzdApi):
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order.totalVolume = int(data['309'])
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order.status = orderStatusMapReverse.get(data['405'], STATUS_UNKNOWN)
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order.orderTime = data['346']
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order.cancelTime = data['326']
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self.orderDict[order.orderID] = order
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self.localNoDict[order.orderID] = (data['300'], data['301'])
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self.orderNoDict[data['301']] = order.orderID
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order.tradedVolume = int(data['315'])
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@ -448,20 +490,36 @@ class ShzdGatewayApi(ShzdApi):
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pos.exchange = exchangeMapReverse.get(data['306'], EXCHANGE_UNKNOWN)
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pos.vtSymbol = '.'.join([pos.symbol, pos.exchange])
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# 多头仓位
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longPosName = '.'.join([pos.vtSymbol, DIRECTION_LONG])
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try:
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longPos = self.posDict[longPosName]
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except KeyError:
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longPos = copy(pos)
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longPos.direction = DIRECTION_LONG
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longPos.vtPositionName = longPosName
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self.posDict[longPosName] = longPos
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longPos.position = int(data['442'])
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longPos.price = float(data['443'])
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longPos.vtPositionName = '.'.join([longPos.vtSymbol, longPos.direction])
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# 空头仓位
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shortPosName = '.'.join([pos.vtSymbol, DIRECTION_SHORT])
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try:
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shortPos = self.posDict[shortPosName]
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except KeyError:
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shortPos = copy(pos)
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shortPos.direction = DIRECTION_SHORT
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shortPos.vtPositionName = shortPosName
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self.posDict[shortPosName] = shortPos
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shortPos.position = int(data['445'])
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shortPos.price = float(data['446'])
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shortPos.vtPositionName = '.'.join([shortPos.vtSymbol, shortPos.direction])
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self.gateway.onPosition(longPos)
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self.gateway.onPosition(shortPos)
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# 所有持仓数据推送完成后才向事件引擎中更新持仓数据
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if '410' in data and data['410'] == '1':
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for pos in self.posDict.values():
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self.gateway.onPosition(pos)
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#----------------------------------------------------------------------
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def onQryAccount(self, data):
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@ -473,7 +531,8 @@ class ShzdGatewayApi(ShzdApi):
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account.accountID = data['11']
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account.vtAccountID = '.'.join([self.gatewayName, account.accountID])
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account.preBalance = float(data['218'])
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account.available = float(data['203'])
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account.balance = float(data['203'])
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account.available = float(data['201'])
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account.commission = float(data['221'])
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account.margin = float(data['212'])
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account.closeProfit = float(data['205'])
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@ -497,6 +556,8 @@ class ShzdGatewayApi(ShzdApi):
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contract.size = float(data['336'])
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contract.priceTick = float(data['337'])
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# 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
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if contract.productClass == PRODUCT_FUTURES:
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self.gateway.onContract(contract)
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if '410' in data and data['410'] == '1':
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@ -565,7 +626,7 @@ class ShzdGatewayApi(ShzdApi):
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req['401'] = priceTypeMap.get(orderReq.priceType, '')
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self.localNo += 1
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req['305'] = str(self.localNo)
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req['305'] = self.orderPrefix + str(self.localNo).rjust(10, '0')
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self.shzdSendInfoToTrade(req)
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@ -583,6 +644,7 @@ class ShzdGatewayApi(ShzdApi):
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order = self.orderDict[cancelReq.orderID]
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req = {}
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req['msgtype'] = 'C'
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req['12'] = self.userId
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req['11'] = self.accountNo
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req['300'] = systemNo
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@ -590,9 +652,11 @@ class ShzdGatewayApi(ShzdApi):
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req['306'] = exchangeMap.get(order.exchange, '')
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req['307'] = order.symbol
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req['308'] = directionMap.get(order.direction, '')
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req['309'] = str(order.volume)
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req['310'] = 0
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req['315'] = 0
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req['309'] = str(order.totalVolume)
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req['310'] = str(order.price)
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req['315'] = str(order.tradedVolume)
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self.shzdSendInfoToTrade(req)
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else:
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self.cancelSet.add(cancelReq)
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@ -614,6 +678,11 @@ class ShzdGatewayApi(ShzdApi):
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req['11'] = self.accountNo
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self.shzdSendInfoToTrade(req)
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# 清空持仓数据
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for pos in self.posDict.values():
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pos.price = 0
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pos.position = 0
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#----------------------------------------------------------------------
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def qryContract(self):
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"""合约查询"""
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@ -650,34 +719,3 @@ def printDict(d):
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for k in l:
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print k, ':', d[k]
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if __name__ == '__main__':
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api = TestApi()
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# 初始化连接
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api.initShZdServer()
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# 注册前置机地址
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print api.registerFront('222.73.119.230', 7003)
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print api.registerMarket('222.73.119.230', 9003)
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# 登录
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sleep(1)
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data = {}
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data['msgtype'] = 'A'
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data['12'] = 'demo000604'
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data['16'] = '888888'
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api.shzdSendInfoToTrade(data)
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# 订阅行情
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sleep(1)
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data = {}
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data['msgtype'] = 'MA'
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data['11'] = '00010337'
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data['201'] = '+'
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data['307'] = "CME,6J1609"
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api.shzdSendInfoToMarket(data)
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raw_input()
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@ -625,6 +625,7 @@ class TradingWidget(QtGui.QFrame):
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EXCHANGE_HKEX,
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EXCHANGE_SMART,
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EXCHANGE_ICE,
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EXCHANGE_CME,
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EXCHANGE_NYMEX,
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EXCHANGE_GLOBEX,
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EXCHANGE_IDEALPRO]
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@ -122,7 +122,7 @@ class MainWindow(QtGui.QMainWindow):
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rmAction = QtGui.QAction(u'风险管理', self)
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rmAction.triggered.connect(self.openRm)
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restoreAction = QtGui.QAction(u'还原窗口', self)
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restoreAction = QtGui.QAction(u'还原', self)
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restoreAction.triggered.connect(self.restoreWindow)
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# 创建菜单
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@ -118,6 +118,7 @@ class MainEngine(object):
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try:
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from shzdGateway.shzdGateway import ShzdGateway
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self.addGateway(ShzdGateway, 'SHZD')
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self.gatewayDict['SHZD'].setQryEnabled(True)
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except Exception, e:
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print e
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