From 438948f8ac0d9752c765f020fbae062b4c2acd8e Mon Sep 17 00:00:00 2001 From: "vn.py" Date: Mon, 23 Oct 2017 10:07:43 +0800 Subject: [PATCH] =?UTF-8?q?[Mod]=E5=A2=9E=E5=8A=A0=E5=AF=8C=E9=80=94?= =?UTF-8?q?=E8=AF=81=E5=88=B8=E6=8E=A5=E5=8F=A3=E7=9A=84=E6=88=90=E4=BA=A4?= =?UTF-8?q?=E9=87=8D=E5=A4=8D=E6=8E=A8=E9=80=81=E8=BF=87=E6=BB=A4=E5=8A=9F?= =?UTF-8?q?=E8=83=BD?= MIME-Version: 1.0 Content-Type: text/plain; charset=UTF-8 Content-Transfer-Encoding: 8bit --- examples/VnTrader/run.py | 3 +- .../trader/gateway/futuGateway/futuGateway.py | 8 +- vnpy/trader/gateway/secGateway/secGateway.py | 188 +++++++++++++++--- 3 files changed, 164 insertions(+), 35 deletions(-) diff --git a/examples/VnTrader/run.py b/examples/VnTrader/run.py index 78d67aea..b771eff9 100644 --- a/examples/VnTrader/run.py +++ b/examples/VnTrader/run.py @@ -21,7 +21,7 @@ from vnpy.trader.gateway import (ctpGateway, oandaGateway, ibGateway, if system == 'Windows': from vnpy.trader.gateway import (femasGateway, xspeedGateway, - futuGateway) + futuGateway, secGateway) if system == 'Linux': from vnpy.trader.gateway import xtpGateway @@ -52,6 +52,7 @@ def main(): if system == 'Windows': me.addGateway(femasGateway) me.addGateway(xspeedGateway) + me.addGateway(secGateway) me.addGateway(futuGateway) if system == 'Linux': diff --git a/vnpy/trader/gateway/futuGateway/futuGateway.py b/vnpy/trader/gateway/futuGateway/futuGateway.py index d482a182..71635890 100644 --- a/vnpy/trader/gateway/futuGateway/futuGateway.py +++ b/vnpy/trader/gateway/futuGateway/futuGateway.py @@ -70,6 +70,7 @@ class FutuGateway(VtGateway): self.filePath = getJsonPath(self.fileName, __file__) self.tickDict = {} + self.tradeSet = set() # 保存成交编号的集合，防止重复推送 self.qryEnabled = True self.qryThread = Thread(target=self.qryData) @@ -477,13 +478,18 @@ class FutuGateway(VtGateway): def processDeal(self, data): """处理成交推送""" for ix, row in data.iterrows(): + tradeID = row['dealid'] + if tradeID in self.tradeSet: + continue + self.tradeSet.add(tradeID) + trade = VtTradeData() trade.gatewayName = self.gatewayName trade.symbol = row['code'] trade.vtSymbol = trade.symbol - trade.tradeID = row['dealid'] + trade.tradeID = tradeID trade.vtTradeID = '.'.join([self.gatewayName, trade.tradeID]) trade.orderID = row['orderid'] diff --git a/vnpy/trader/gateway/secGateway/secGateway.py b/vnpy/trader/gateway/secGateway/secGateway.py index 149773a8..f5350233 100644 --- a/vnpy/trader/gateway/secGateway/secGateway.py +++ b/vnpy/trader/gateway/secGateway/secGateway.py @@ -202,7 +202,7 @@ class SecMdApi(MdApi): #---------------------------------------------------------------------- def connect(self, accountID, password, address): """初始化连接""" - self.accountID = accountID # 账号 + self.accountID = accountID # 账号 self.password = password # 密码 self.address = address # 服务器地址 @@ -213,35 +213,38 @@ class SecMdApi(MdApi): # 初始化连接，成功会调用onFrontConnected self.init(self.address) - - # 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""" - # 这里的设计是，如果尚未登录就调用了订阅方法 - # 则先保存订阅请求，登录完成后会自动订阅 if self.loginStatus: self.reqID += 1 - symbol = str(exchangeMap[subscribeReq.exchange] + subscribeReq.symbol) - self.subscribeSOPMarketData(symbol, self.reqID) + + if len(subscribeReq.symbol) > 6: + symbol = str(exchangeMap[subscribeReq.exchange] + subscribeReq.symbol) + self.subscribeSOPMarketData(symbol, self.reqID) + else: + symbol = str(exchangeMap[subscribeReq.exchange] + subscribeReq.symbol) + self.subscribeStockMarketData(symbol, self.reqID) 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.accountID and self.password: + # 登录期权 self.reqID += 1 req = {} req['accountID'] = self.accountID req['password'] = self.password req['requestID'] = self.reqID self.reqSOPUserLogin(req) + + # 登录股票 + self.reqID += 1 + req['requestID'] = self.reqID + self.reqStockUserLogin(req) #---------------------------------------------------------------------- def close(self): @@ -292,8 +295,20 @@ class SecMdApi(MdApi): #---------------------------------------------------------------------- def onRspStockUserLogin(self, data, error): - """""" - pass + """股票登录回报""" + # 如果登录成功，推送日志信息 + if not error: + log = VtLogData() + log.gatewayName = self.gatewayName + log.logContent = u'股票行情服务器登录完成' + 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 onRspStockUserLogout(self, data, error): @@ -302,7 +317,7 @@ class SecMdApi(MdApi): #---------------------------------------------------------------------- def onRspSOPUserLogin(self, data, error): - """登陆回报""" + """期权登录回报""" # 如果登录成功，推送日志信息 if not error: self.loginStatus = True @@ -310,7 +325,7 @@ class SecMdApi(MdApi): log = VtLogData() log.gatewayName = self.gatewayName - log.logContent = u'行情服务器登录完成' + log.logContent = u'期权行情服务器登录完成' self.gateway.onLog(log) # 重新订阅之前订阅的合约 @@ -342,7 +357,7 @@ class SecMdApi(MdApi): #---------------------------------------------------------------------- def onRspStockSubMarketData(self, data, error): """""" - pass + pass #---------------------------------------------------------------------- def onRspStockUnSubMarketData(self, data, error): @@ -366,8 +381,52 @@ class SecMdApi(MdApi): #---------------------------------------------------------------------- def onStockMarketData(self, data): - """""" - pass + """股票行情推送""" + tick = VtTickData() + tick.gatewayName = self.gatewayName + + tick.symbol = data['securityID'] + tick.exchange = exchangeMapReverse.get(data['exchangeID'], u'未知') + tick.vtSymbol = '.'.join([tick.symbol, tick.exchange]) + + tick.lastPrice = data['latestPrice'] + tick.volume = data['tradeQty'] + tick.time = data['updateTime'] + tick.date = data['tradingDay'] + + tick.openPrice = data['openPrice'] + tick.highPrice = data['highestPrice'] + tick.lowPrice = data['lowestPrice'] + tick.preClosePrice = data['preClosePrice'] + + tick.upperLimit = data['upperLimitPrice'] + tick.lowerLimit = data['lowerLimitPrice'] + + tick.bidPrice1 = data['bidPrice1'] + tick.bidPrice2 = data['bidPrice2'] + tick.bidPrice3 = data['bidPrice3'] + tick.bidPrice4 = data['bidPrice4'] + tick.bidPrice5 = data['bidPrice5'] + + tick.askPrice1 = data['askPrice1'] + tick.askPrice2 = data['askPrice2'] + tick.askPrice3 = data['askPrice3'] + tick.askPrice4 = data['askPrice4'] + tick.askPrice5 = data['askPrice5'] + + tick.bidVolume1 = data['bidQty1'] + tick.bidVolume2 = data['bidQty2'] + tick.bidVolume3 = data['bidQty3'] + tick.bidVolume4 = data['bidQty4'] + tick.bidVolume5 = data['bidQty5'] + + tick.askVolume1 = data['askQty1'] + tick.askVolume2 = data['askQty2'] + tick.askVolume3 = data['askQty3'] + tick.askVolume4 = data['askQty4'] + tick.askVolume5 = data['askQty5'] + + self.gateway.onTick(tick) #---------------------------------------------------------------------- def onSOPMarketData(self, data): @@ -452,7 +511,8 @@ class SecTdApi(TdApi): self.localID = EMPTY_INT # 订单编号 self.connectionStatus = False # 连接状态 - self.loginStatus = False # 登录状态 + self.optionLoginStatus = False # 期权登录状态 + self.stockLoginStatus = False # 股票登录状态 self.accountID = EMPTY_STRING # 账号 self.password = EMPTY_STRING # 密码 @@ -494,6 +554,10 @@ class SecTdApi(TdApi): req['password'] = self.password req['requestID'] = self.reqID self.reqSOPUserLogin(req) + + self.reqID += 1 + req['requestID'] = self.reqID + self.reqStockUserLogin(req) #---------------------------------------------------------------------- def qryAccount(self): @@ -504,6 +568,9 @@ class SecTdApi(TdApi): req['accountID'] = self.accountID self.reqSOPQryCapitalAccountInfo(req) + self.reqID += 1 + self.reqStockQryCapitalAccountInfo(req) + #---------------------------------------------------------------------- def qryPosition(self): """查询持仓""" @@ -512,16 +579,28 @@ class SecTdApi(TdApi): req['requestID'] = self.reqID req['accountID'] = self.accountID self.reqSOPQryPosition(req) + + self.reqID += 1 + self.reqStockQryPosition(req) #---------------------------------------------------------------------- - def qryContracts(self): - """查询合约""" - # 查询期货合约代码 + def qryOptionContracts(self): + """查询期权合约""" self.reqID += 1 req = {} req['requestID'] = self.reqID req['accountID'] = self.accountID - self.reqSOPQryContactInfo(req) + self.reqSOPQryContactInfo(req) + + #---------------------------------------------------------------------- + def qryStockContracts(self): + """查询股票合约""" + self.reqID += 1 + req = {} + req['exchangeID'] = 'SH' + req['requestID'] = self.reqID + req['accountID'] = self.accountID + i = self.reqStockQryStockStaticInfo(req) #---------------------------------------------------------------------- def sendOrder(self, orderReq): @@ -632,8 +711,25 @@ class SecTdApi(TdApi): #---------------------------------------------------------------------- def onRspStockUserLogin(self, data, error): - """""" - pass + """股票登录回报""" + # 如果登录成功，推送日志信息 + if not error: + self.stockLoginStatus = True + self.gateway.tdConnected = True + + log = VtLogData() + log.gatewayName = self.gatewayName + log.logContent = u'股票交易服务器登录完成' + self.gateway.onLog(log) + + self.qryStockContracts() + # 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 onRspStockUserLogout(self, data, error): @@ -739,11 +835,37 @@ class SecTdApi(TdApi): def onRspStockQryStockInfo(self, data, error, flag): """""" pass - + #---------------------------------------------------------------------- def onRspStockQryStockStaticInfo(self, data, error, flag): - """""" - pass + """股票合约查询回报""" + if not data: + return + + contract = VtContractData() + contract.gatewayName = self.gatewayName + + contract.symbol = data['securityID'] + contract.exchange = exchangeMapReverse.get(data['exchangeID'], EXCHANGE_UNKNOWN) + contract.vtSymbol = '.'.join([contract.symbol, contract.exchange]) + + contract.name = data['securityName'].decode('GBK') + + # 合约数值 + contract.size = data['tradeUnit'] + contract.priceTick = 0.001 # 50ETF的最小价格变动 + + # 合约类型 + contract.productClass = PRODUCT_EQUITY + + # 推送 + self.gateway.onContract(contract) + + if flag: + log = VtLogData() + log.gatewayName = self.gatewayName + log.logContent = u'股票交易合约信息获取完成' + self.gateway.onLog(log) #---------------------------------------------------------------------- def onRspStockQryTradeTime(self, data, error): @@ -767,18 +889,18 @@ class SecTdApi(TdApi): #---------------------------------------------------------------------- def onRspSOPUserLogin(self, data, error): - """登陆回报""" + """期权登录回报""" # 如果登录成功，推送日志信息 if not error: - self.loginStatus = True + self.optionLoginStatus = True self.gateway.tdConnected = True log = VtLogData() log.gatewayName = self.gatewayName - log.logContent = u'交易服务器登录完成' + log.logContent = u'期权交易服务器登录完成' self.gateway.onLog(log) - self.qryContracts() + #self.qryOptionContracts() # 否则，推送错误信息 else: @@ -956,7 +1078,7 @@ class SecTdApi(TdApi): if flag: log = VtLogData() log.gatewayName = self.gatewayName - log.logContent = u'交易合约信息获取完成' + log.logContent = u'期权交易合约信息获取完成' self.gateway.onLog(log) #----------------------------------------------------------------------