增加CTA模块和行情记录模块对IB接口的兼容，感谢border的贡献

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    
         
@@ -88,7 +91,8 @@ 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))

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

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":

vn.trader/dataRecorder/drEngine.py

@@ -60,21 +60,40 @@ 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
+                    req.symbol = setting[0]
-                    self.mainEngine.subscribe(req, gatewayName)
+                    
+                    # 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
                     self.mainEngine.subscribe(req, gatewayName)      

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, 0, TableCell(setting[0]))
-                    self.tickTable.setItem(0, 1, TableCell(gatewayName))
+                    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, 0, TableCell(setting[0]))
-                    self.barTable.setItem(0, 1, TableCell(gatewayName)) 
+                    self.barTable.setItem(0, 1, TableCell(setting[1])) 
     
             if 'active' in setting:
                 d = setting['active']

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_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_SELL] = 'SELL'
+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):
@@ -573,6 +582,10 @@ class IbWrapper(EWrapper):
         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):
         """ generated source for method fundamentalData """

vn.trader/uiBasicWidget.py

@@ -619,8 +619,7 @@ class TradingWidget(QtGui.QFrame):
     signal = QtCore.pyqtSignal(type(Event()))
     
     directionList = [DIRECTION_LONG,
-                     DIRECTION_SHORT,
+                     DIRECTION_SHORT]
-                     DIRECTION_SELL]
 
     offsetList = [OFFSET_OPEN,
                   OFFSET_CLOSE,