[Mod]增加富途证券接口的成交重复推送过滤功能
This commit is contained in:
vn.py
parent
49a1dfdff1
commit
438948f8ac
@ -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':
|
||||
|
||||
@ -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']
|
||||
|
||||
@ -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
|
||||
|
||||
@ -214,28 +214,26 @@ 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
|
||||
@ -243,6 +241,11 @@ class SecMdApi(MdApi):
|
||||
req['requestID'] = self.reqID
|
||||
self.reqSOPUserLogin(req)
|
||||
|
||||
# 登录股票
|
||||
self.reqID += 1
|
||||
req['requestID'] = self.reqID
|
||||
self.reqStockUserLogin(req)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def close(self):
|
||||
"""关闭"""
|
||||
@ -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
|
||||
@ -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
|
||||
@ -495,6 +555,10 @@ class SecTdApi(TdApi):
|
||||
req['requestID'] = self.reqID
|
||||
self.reqSOPUserLogin(req)
|
||||
|
||||
self.reqID += 1
|
||||
req['requestID'] = self.reqID
|
||||
self.reqStockUserLogin(req)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
def qryAccount(self):
|
||||
"""查询账户"""
|
||||
@ -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"""
|
||||
@ -513,16 +580,28 @@ class SecTdApi(TdApi):
|
||||
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)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
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):
|
||||
"""发单"""
|
||||
@ -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):
|
||||
@ -742,8 +838,34 @@ class SecTdApi(TdApi):
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
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)
|
||||
|
||||
#----------------------------------------------------------------------
|
||||
|
||||
Loading…
Reference in New Issue
Block a user