[Mod]增加富途证券接口的成交重复推送过滤功能
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vn.py
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49a1dfdff1
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438948f8ac
@ -21,7 +21,7 @@ from vnpy.trader.gateway import (ctpGateway, oandaGateway, ibGateway,
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if system == 'Windows':
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from vnpy.trader.gateway import (femasGateway, xspeedGateway,
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futuGateway)
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futuGateway, secGateway)
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if system == 'Linux':
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from vnpy.trader.gateway import xtpGateway
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@ -52,6 +52,7 @@ def main():
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if system == 'Windows':
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me.addGateway(femasGateway)
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me.addGateway(xspeedGateway)
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me.addGateway(secGateway)
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me.addGateway(futuGateway)
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if system == 'Linux':
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@ -70,6 +70,7 @@ class FutuGateway(VtGateway):
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self.filePath = getJsonPath(self.fileName, __file__)
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self.tickDict = {}
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self.tradeSet = set() # 保存成交编号的集合，防止重复推送
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self.qryEnabled = True
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self.qryThread = Thread(target=self.qryData)
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@ -477,13 +478,18 @@ class FutuGateway(VtGateway):
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def processDeal(self, data):
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"""处理成交推送"""
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for ix, row in data.iterrows():
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tradeID = row['dealid']
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if tradeID in self.tradeSet:
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continue
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self.tradeSet.add(tradeID)
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trade = VtTradeData()
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trade.gatewayName = self.gatewayName
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trade.symbol = row['code']
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trade.vtSymbol = trade.symbol
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trade.tradeID = row['dealid']
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trade.tradeID = tradeID
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trade.vtTradeID = '.'.join([self.gatewayName, trade.tradeID])
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trade.orderID = row['orderid']
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@ -214,28 +214,26 @@ class SecMdApi(MdApi):
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# 初始化连接，成功会调用onFrontConnected
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self.init(self.address)
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# 若已经连接但尚未登录，则进行登录
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else:
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if not self.loginStatus:
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self.login()
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#----------------------------------------------------------------------
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def subscribe(self, subscribeReq):
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"""订阅合约"""
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# 这里的设计是，如果尚未登录就调用了订阅方法
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# 则先保存订阅请求，登录完成后会自动订阅
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if self.loginStatus:
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self.reqID += 1
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if len(subscribeReq.symbol) > 6:
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symbol = str(exchangeMap[subscribeReq.exchange] + subscribeReq.symbol)
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self.subscribeSOPMarketData(symbol, self.reqID)
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else:
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symbol = str(exchangeMap[subscribeReq.exchange] + subscribeReq.symbol)
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self.subscribeStockMarketData(symbol, self.reqID)
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self.subscribedSymbols.add(subscribeReq)
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#----------------------------------------------------------------------
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def login(self):
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"""登录"""
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# 如果填入了用户名密码等，则登录
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if self.accountID and self.password:
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# 登录期权
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self.reqID += 1
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req = {}
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req['accountID'] = self.accountID
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@ -243,6 +241,11 @@ class SecMdApi(MdApi):
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req['requestID'] = self.reqID
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self.reqSOPUserLogin(req)
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# 登录股票
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self.reqID += 1
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req['requestID'] = self.reqID
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self.reqStockUserLogin(req)
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#----------------------------------------------------------------------
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def close(self):
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"""关闭"""
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@ -292,8 +295,20 @@ class SecMdApi(MdApi):
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#----------------------------------------------------------------------
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def onRspStockUserLogin(self, data, error):
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""""""
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pass
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"""股票登录回报"""
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# 如果登录成功，推送日志信息
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if not error:
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log = VtLogData()
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log.gatewayName = self.gatewayName
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log.logContent = u'股票行情服务器登录完成'
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self.gateway.onLog(log)
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# 否则，推送错误信息
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else:
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err = VtErrorData()
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err.gatewayName = self.gatewayName
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err.errorID = error['errorID']
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err.errorMsg = error['errorMsg'].decode('gbk')
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self.gateway.onError(err)
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#----------------------------------------------------------------------
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def onRspStockUserLogout(self, data, error):
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@ -302,7 +317,7 @@ class SecMdApi(MdApi):
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#----------------------------------------------------------------------
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def onRspSOPUserLogin(self, data, error):
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"""登陆回报"""
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"""期权登录回报"""
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# 如果登录成功，推送日志信息
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if not error:
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self.loginStatus = True
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@ -310,7 +325,7 @@ class SecMdApi(MdApi):
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log = VtLogData()
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log.gatewayName = self.gatewayName
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log.logContent = u'行情服务器登录完成'
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log.logContent = u'期权行情服务器登录完成'
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self.gateway.onLog(log)
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# 重新订阅之前订阅的合约
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@ -366,8 +381,52 @@ class SecMdApi(MdApi):
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#----------------------------------------------------------------------
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def onStockMarketData(self, data):
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""""""
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pass
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"""股票行情推送"""
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tick = VtTickData()
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tick.gatewayName = self.gatewayName
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tick.symbol = data['securityID']
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tick.exchange = exchangeMapReverse.get(data['exchangeID'], u'未知')
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tick.vtSymbol = '.'.join([tick.symbol, tick.exchange])
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tick.lastPrice = data['latestPrice']
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tick.volume = data['tradeQty']
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tick.time = data['updateTime']
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tick.date = data['tradingDay']
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tick.openPrice = data['openPrice']
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tick.highPrice = data['highestPrice']
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tick.lowPrice = data['lowestPrice']
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tick.preClosePrice = data['preClosePrice']
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tick.upperLimit = data['upperLimitPrice']
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tick.lowerLimit = data['lowerLimitPrice']
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tick.bidPrice1 = data['bidPrice1']
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tick.bidPrice2 = data['bidPrice2']
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tick.bidPrice3 = data['bidPrice3']
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tick.bidPrice4 = data['bidPrice4']
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tick.bidPrice5 = data['bidPrice5']
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tick.askPrice1 = data['askPrice1']
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tick.askPrice2 = data['askPrice2']
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tick.askPrice3 = data['askPrice3']
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tick.askPrice4 = data['askPrice4']
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tick.askPrice5 = data['askPrice5']
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tick.bidVolume1 = data['bidQty1']
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tick.bidVolume2 = data['bidQty2']
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tick.bidVolume3 = data['bidQty3']
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tick.bidVolume4 = data['bidQty4']
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tick.bidVolume5 = data['bidQty5']
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tick.askVolume1 = data['askQty1']
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tick.askVolume2 = data['askQty2']
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tick.askVolume3 = data['askQty3']
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tick.askVolume4 = data['askQty4']
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tick.askVolume5 = data['askQty5']
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self.gateway.onTick(tick)
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#----------------------------------------------------------------------
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def onSOPMarketData(self, data):
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@ -452,7 +511,8 @@ class SecTdApi(TdApi):
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self.localID = EMPTY_INT # 订单编号
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self.connectionStatus = False # 连接状态
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self.loginStatus = False # 登录状态
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self.optionLoginStatus = False # 期权登录状态
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self.stockLoginStatus = False # 股票登录状态
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self.accountID = EMPTY_STRING # 账号
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self.password = EMPTY_STRING # 密码
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@ -495,6 +555,10 @@ class SecTdApi(TdApi):
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req['requestID'] = self.reqID
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self.reqSOPUserLogin(req)
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self.reqID += 1
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req['requestID'] = self.reqID
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self.reqStockUserLogin(req)
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#----------------------------------------------------------------------
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def qryAccount(self):
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"""查询账户"""
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@ -504,6 +568,9 @@ class SecTdApi(TdApi):
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req['accountID'] = self.accountID
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self.reqSOPQryCapitalAccountInfo(req)
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self.reqID += 1
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self.reqStockQryCapitalAccountInfo(req)
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#----------------------------------------------------------------------
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def qryPosition(self):
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"""查询持仓"""
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@ -513,16 +580,28 @@ class SecTdApi(TdApi):
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req['accountID'] = self.accountID
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self.reqSOPQryPosition(req)
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self.reqID += 1
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self.reqStockQryPosition(req)
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#----------------------------------------------------------------------
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def qryContracts(self):
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"""查询合约"""
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# 查询期货合约代码
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def qryOptionContracts(self):
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"""查询期权合约"""
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self.reqID += 1
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req = {}
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req['requestID'] = self.reqID
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req['accountID'] = self.accountID
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self.reqSOPQryContactInfo(req)
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#----------------------------------------------------------------------
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def qryStockContracts(self):
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"""查询股票合约"""
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self.reqID += 1
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req = {}
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req['exchangeID'] = 'SH'
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req['requestID'] = self.reqID
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req['accountID'] = self.accountID
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i = self.reqStockQryStockStaticInfo(req)
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#----------------------------------------------------------------------
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def sendOrder(self, orderReq):
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"""发单"""
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@ -632,8 +711,25 @@ class SecTdApi(TdApi):
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#----------------------------------------------------------------------
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def onRspStockUserLogin(self, data, error):
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""""""
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pass
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"""股票登录回报"""
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# 如果登录成功，推送日志信息
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if not error:
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self.stockLoginStatus = True
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self.gateway.tdConnected = True
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log = VtLogData()
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log.gatewayName = self.gatewayName
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log.logContent = u'股票交易服务器登录完成'
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self.gateway.onLog(log)
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self.qryStockContracts()
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# 否则，推送错误信息
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else:
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err = VtErrorData()
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err.gatewayName = self.gatewayName
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err.errorID = error['errorID']
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err.errorMsg = error['errorMsg'].decode('gbk')
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self.gateway.onError(err)
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#----------------------------------------------------------------------
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def onRspStockUserLogout(self, data, error):
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@ -742,8 +838,34 @@ class SecTdApi(TdApi):
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#----------------------------------------------------------------------
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def onRspStockQryStockStaticInfo(self, data, error, flag):
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""""""
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pass
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"""股票合约查询回报"""
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if not data:
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return
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contract = VtContractData()
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contract.gatewayName = self.gatewayName
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contract.symbol = data['securityID']
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contract.exchange = exchangeMapReverse.get(data['exchangeID'], EXCHANGE_UNKNOWN)
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contract.vtSymbol = '.'.join([contract.symbol, contract.exchange])
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contract.name = data['securityName'].decode('GBK')
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# 合约数值
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contract.size = data['tradeUnit']
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contract.priceTick = 0.001 # 50ETF的最小价格变动
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# 合约类型
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contract.productClass = PRODUCT_EQUITY
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# 推送
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self.gateway.onContract(contract)
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if flag:
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log = VtLogData()
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log.gatewayName = self.gatewayName
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log.logContent = u'股票交易合约信息获取完成'
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self.gateway.onLog(log)
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#----------------------------------------------------------------------
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def onRspStockQryTradeTime(self, data, error):
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@ -767,18 +889,18 @@ class SecTdApi(TdApi):
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#----------------------------------------------------------------------
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def onRspSOPUserLogin(self, data, error):
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"""登陆回报"""
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"""期权登录回报"""
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# 如果登录成功，推送日志信息
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if not error:
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self.loginStatus = True
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self.optionLoginStatus = True
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self.gateway.tdConnected = True
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log = VtLogData()
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log.gatewayName = self.gatewayName
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log.logContent = u'交易服务器登录完成'
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log.logContent = u'期权交易服务器登录完成'
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self.gateway.onLog(log)
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self.qryContracts()
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#self.qryOptionContracts()
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# 否则，推送错误信息
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else:
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@ -956,7 +1078,7 @@ class SecTdApi(TdApi):
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if flag:
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log = VtLogData()
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log.gatewayName = self.gatewayName
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log.logContent = u'交易合约信息获取完成'
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log.logContent = u'期权交易合约信息获取完成'
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self.gateway.onLog(log)
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#----------------------------------------------------------------------
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