diff --git a/vn.trader/ctaAlgo/ctaEngine.py b/vn.trader/ctaAlgo/ctaEngine.py index 59410dec..641cae11 100644 --- a/vn.trader/ctaAlgo/ctaEngine.py +++ b/vn.trader/ctaAlgo/ctaEngine.py @@ -68,6 +68,9 @@ class CtaEngine(object): req.price = price req.volume = volume + req.productClass = strategy.productClass + req.currency = strategy.currency + # 设计为CTA引擎发出的委托只允许使用限价单 req.priceType = PRICETYPE_LIMITPRICE @@ -87,8 +90,9 @@ class CtaEngine(object): vtOrderID = self.mainEngine.sendOrder(req, contract.gatewayName) # 发单 self.orderStrategyDict[vtOrderID] = strategy # 保存vtOrderID和策略的映射关系 - - #self.writeCtaLog(u'发送委托：' + str(req.__dict__)) + + self.writeCtaLog(u'策略%s发送委托，%s，%s，%s@%s' + %(strategy.name, vtSymbol, req.direction, volume, price)) return vtOrderID @@ -319,6 +323,11 @@ class CtaEngine(object): req = VtSubscribeReq() req.symbol = contract.symbol req.exchange = contract.exchange + + # 对于IB接口订阅行情时所需的货币和产品类型，从策略属性中获取 + req.currency = strategy.currency + req.productClass = strategy.productClass + self.mainEngine.subscribe(req, contract.gatewayName) else: self.writeCtaLog(u'%s的交易合约%s无法找到' %(name, strategy.vtSymbol)) diff --git a/vn.trader/ctaAlgo/ctaTemplate.py b/vn.trader/ctaAlgo/ctaTemplate.py index c69650da..6689b08f 100644 --- a/vn.trader/ctaAlgo/ctaTemplate.py +++ b/vn.trader/ctaAlgo/ctaTemplate.py @@ -23,6 +23,8 @@ class CtaTemplate(object): # 策略的基本参数 name = EMPTY_UNICODE # 策略实例名称 vtSymbol = EMPTY_STRING # 交易的合约vt系统代码 + productClass = EMPTY_STRING # 产品类型（只有IB接口需要） + currency = EMPTY_STRING # 货币（只有IB接口需要） # 策略的基本变量，由引擎管理 inited = False # 是否进行了初始化 diff --git a/vn.trader/dataRecorder/DR_setting.json b/vn.trader/dataRecorder/DR_setting.json index d886d595..38c4dd35 100644 --- a/vn.trader/dataRecorder/DR_setting.json +++ b/vn.trader/dataRecorder/DR_setting.json @@ -8,7 +8,9 @@ ["IH1606", "SGIT"], ["IH1606", "SGIT"], ["IC1606", "SGIT"], - ["IC1606", "SGIT"] + ["IC1606", "SGIT"], + ["600036", "LTS", "SZSE"], + ["EUR.USD", "IB", "IDEALPRO", "USD", "外汇"] ], "bar": diff --git a/vn.trader/dataRecorder/drEngine.py b/vn.trader/dataRecorder/drEngine.py index 06ea803c..7a7f35ae 100644 --- a/vn.trader/dataRecorder/drEngine.py +++ b/vn.trader/dataRecorder/drEngine.py @@ -60,20 +60,39 @@ class DrEngine(object): if 'tick' in setting: l = setting['tick'] - for symbol, gatewayName in l: + for setting in l: + symbol = setting[0] drTick = DrTickData() # 该tick实例可以用于缓存部分数据（目前未使用） self.tickDict[symbol] = drTick req = VtSubscribeReq() - req.symbol = symbol - self.mainEngine.subscribe(req, gatewayName) + req.symbol = setting[0] + + # 针对LTS和IB接口，订阅行情需要交易所代码 + if len(setting)>=3: + req.exchange = setting[2] + + # 针对IB接口，订阅行情需要货币和产品类型 + if len(setting)>=5: + req.currency = setting[3] + req.productClass = setting[4] + + self.mainEngine.subscribe(req, setting[1]) if 'bar' in setting: l = setting['bar'] - for symbol, gatewayName in l: + for setting in l: + symbol = setting[0] bar = DrBarData() self.barDict[symbol] = bar + + if len(setting)>=3: + req.exchange = setting[2] + + if len(setting)>=5: + req.currency = setting[3] + req.productClass = setting[4] req = VtSubscribeReq() req.symbol = symbol diff --git a/vn.trader/dataRecorder/uiDrWidget.py b/vn.trader/dataRecorder/uiDrWidget.py index 26883175..cf900459 100644 --- a/vn.trader/dataRecorder/uiDrWidget.py +++ b/vn.trader/dataRecorder/uiDrWidget.py @@ -124,18 +124,18 @@ class DrEngineManager(QtGui.QWidget): if 'tick' in setting: l = setting['tick'] - for symbol, gatewayName in l: + for setting in l: self.tickTable.insertRow(0) - self.tickTable.setItem(0, 0, TableCell(symbol)) - self.tickTable.setItem(0, 1, TableCell(gatewayName)) + self.tickTable.setItem(0, 0, TableCell(setting[0])) + self.tickTable.setItem(0, 1, TableCell(setting[1])) if 'bar' in setting: l = setting['bar'] - for symbol, gatewayName in l: + for setting in l: self.barTable.insertRow(0) - self.barTable.setItem(0, 0, TableCell(symbol)) - self.barTable.setItem(0, 1, TableCell(gatewayName)) + self.barTable.setItem(0, 0, TableCell(setting[0])) + self.barTable.setItem(0, 1, TableCell(setting[1])) if 'active' in setting: d = setting['active'] diff --git a/vn.trader/ibGateway/ibGateway.py b/vn.trader/ibGateway/ibGateway.py index f7ef6540..1cf90b79 100644 --- a/vn.trader/ibGateway/ibGateway.py +++ b/vn.trader/ibGateway/ibGateway.py @@ -37,8 +37,9 @@ priceTypeMapReverse = {v: k for k, v in priceTypeMap.items()} # 方向类型映射 directionMap = {} directionMap[DIRECTION_LONG] = 'BUY' -directionMap[DIRECTION_SHORT] = 'SSHORT' -directionMap[DIRECTION_SELL] = 'SELL' +#directionMap[DIRECTION_SHORT] = 'SSHORT' # SSHORT在IB系统中代表对股票的融券做空（而不是国内常见的卖出） +directionMap[DIRECTION_SHORT] = 'SELL' # 出于和国内的统一性考虑，这里选择把IB里的SELL印射为vt的SHORT + directionMapReverse = {v: k for k, v in directionMap.items()} directionMapReverse['BOT'] = DIRECTION_LONG directionMapReverse['SLD'] = DIRECTION_SHORT @@ -130,6 +131,8 @@ class IbGateway(VtGateway): self.contractDict = {} # 合约字典 + self.subscribeReqDict = {} # 用来保存订阅请求的字典 + self.connected = False # 连接状态 self.wrapper = IbWrapper(self) # 回调接口 @@ -176,6 +179,11 @@ class IbGateway(VtGateway): #---------------------------------------------------------------------- def subscribe(self, subscribeReq): """订阅行情""" + # 如果尚未连接行情，则将订阅请求缓存下来后直接返回 + if not self.connected: + self.subscribeReqDict[subscribeReq.symbol] = subscribeReq + return + contract = Contract() contract.m_localSymbol = str(subscribeReq.symbol) contract.m_exchange = exchangeMap.get(subscribeReq.exchange, '') @@ -289,6 +297,7 @@ class IbWrapper(EWrapper): self.accountDict = gateway.accountDict # account字典 self.contractDict = gateway.contractDict # contract字典 self.tickProductDict = gateway.tickProductDict + self.subscribeReqDict = gateway.subscribeReqDict #---------------------------------------------------------------------- def tickPrice(self, tickerId, field, price, canAutoExecute): @@ -572,6 +581,10 @@ class IbWrapper(EWrapper): log.gatewayName = self.gatewayName log.logContent = (u'IB接口连接成功，当前服务器时间 %s' %t) self.gateway.onLog(log) + + for symbol, req in self.subscribeReqDict.items(): + del self.subscribeReqDict[symbol] + self.gateway.subscribe(req) #---------------------------------------------------------------------- def fundamentalData(self, reqId, data): diff --git a/vn.trader/uiBasicWidget.py b/vn.trader/uiBasicWidget.py index f60bb07f..7fe68f35 100644 --- a/vn.trader/uiBasicWidget.py +++ b/vn.trader/uiBasicWidget.py @@ -619,8 +619,7 @@ class TradingWidget(QtGui.QFrame): signal = QtCore.pyqtSignal(type(Event())) directionList = [DIRECTION_LONG, - DIRECTION_SHORT, - DIRECTION_SELL] + DIRECTION_SHORT] offsetList = [OFFSET_OPEN, OFFSET_CLOSE,