[Mod]增加富途证券接口的成交重复推送过滤功能

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':

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']

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):
-        """"""
+        """股票登录回报"""
-        pass
+        # 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):
-        """"""
+        """股票行情推送"""
-        pass
+        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):
+    def qryOptionContracts(self):
-        """查询合约"""
+        """查询期权合约"""
-        # 查询期货合约代码
         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):
-        """"""
+        """股票登录回报"""
-        pass
+        # 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):
-        """"""
+        """股票合约查询回报"""        
-        pass
+        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)
     
     #----------------------------------------------------------------------