[bug fix] 自定义合约symbol与exchange映射
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msincenselee
parent
dffff72bd8
commit
4d15d355c6
@ -295,6 +295,7 @@ class CtpGateway(BaseGateway):
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contract_dict = c.get_contracts()
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for vt_symbol, contract in contract_dict.items():
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contract.gateway_name = self.gateway_name
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symbol_exchange_map[contract.symbol] = contract.exchange
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self.on_contract(contract)
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except Exception as ex: # noqa
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@ -248,6 +248,8 @@ class RohonGateway(BaseGateway):
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self.tdx_api = None
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self.rabbit_api = None
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self.tq_api = None
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# 是否输出debug信息
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self.debug = False
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self.subscribed_symbols = set() # 已订阅合约代码
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@ -268,6 +270,8 @@ class RohonGateway(BaseGateway):
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product_info = setting["产品信息"]
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rabbit_dict = setting.get('rabbit', None)
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tq_dict = setting.get('tq', None)
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self.debug = setting.get('debug',False)
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if not td_address.startswith("tcp://"):
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td_address = "tcp://" + td_address
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if not md_address.startswith("tcp://"):
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@ -284,6 +288,7 @@ class RohonGateway(BaseGateway):
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contract_dict = c.get_contracts()
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for vt_symbol, contract in contract_dict.items():
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contract.gateway_name = self.gateway_name
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symbol_exchange_map[contract.symbol] = contract.exchange
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self.on_contract(contract)
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except Exception as ex: # noqa
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@ -373,6 +378,7 @@ class RohonGateway(BaseGateway):
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# 增加映射（ leg1 对应的合成器列表映射)
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leg1_symbol = setting.get('leg1_symbol')
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leg1_exchange = Exchange(setting.get('leg1_exchange'))
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combiner_list = self.tick_combiner_map.get(leg1_symbol, [])
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if combiner not in combiner_list:
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self.write_log(u'添加Leg1:{}与合成器得映射'.format(leg1_symbol))
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@ -381,6 +387,7 @@ class RohonGateway(BaseGateway):
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# 增加映射（ leg2 对应的合成器列表映射)
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leg2_symbol = setting.get('leg2_symbol')
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leg2_exchange = Exchange(setting.get('leg2_exchange'))
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combiner_list = self.tick_combiner_map.get(leg2_symbol, [])
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if combiner not in combiner_list:
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self.write_log(u'添加Leg2:{}与合成器得映射'.format(leg2_symbol))
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@ -390,14 +397,14 @@ class RohonGateway(BaseGateway):
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self.write_log(u'订阅leg1:{}'.format(leg1_symbol))
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leg1_req = SubscribeRequest(
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symbol=leg1_symbol,
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exchange=symbol_exchange_map.get(leg1_symbol, Exchange.LOCAL)
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exchange=leg1_exchange
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)
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self.subscribe(leg1_req)
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self.write_log(u'订阅leg2:{}'.format(leg2_symbol))
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leg2_req = SubscribeRequest(
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symbol=leg2_symbol,
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exchange=symbol_exchange_map.get(leg1_symbol, Exchange.LOCAL)
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exchange=leg2_exchange
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)
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self.subscribe(leg2_req)
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@ -636,6 +643,10 @@ class RohonMdApi(MdApi):
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gateway_name=self.gateway_name
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)
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# 处理一下标准套利合约的last_price
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if '&' in symbol:
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tick.last_price = (tick.ask_price_1 + tick.bid_price_1)/2
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if data["BidVolume2"] or data["AskVolume2"]:
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tick.bid_price_2 = adjust_price(data["BidPrice2"])
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tick.bid_price_3 = adjust_price(data["BidPrice3"])
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@ -908,6 +919,9 @@ class RohonTdApi(TdApi):
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def onRspQryTradingAccount(self, data: dict, error: dict, reqid: int, last: bool):
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""""""
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if self.gateway.debug:
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print(f'onRspQryTradingAccount')
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if "AccountID" not in data:
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return
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if len(self.accountid)== 0:
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@ -941,6 +955,9 @@ class RohonTdApi(TdApi):
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"""
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Callback of instrument query.
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"""
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#if self.gateway.debug:
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# print(f'onRspQryInstrument')
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product = PRODUCT_ROHON2VT.get(data["ProductClass"], None)
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if product:
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contract = ContractData(
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@ -1025,6 +1042,9 @@ class RohonTdApi(TdApi):
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"""
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Callback of order status update.
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"""
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#if self.gateway.debug:
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# print(f'onRtnOrder')
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symbol = data["InstrumentID"]
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exchange = symbol_exchange_map.get(symbol, "")
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if not exchange:
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@ -1070,6 +1090,9 @@ class RohonTdApi(TdApi):
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"""
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Callback of trade status update.
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"""
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if self.gateway.debug:
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print(f'onRtnTrade')
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symbol = data["InstrumentID"]
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exchange = symbol_exchange_map.get(symbol, "")
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if not exchange:
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@ -1176,6 +1199,9 @@ class RohonTdApi(TdApi):
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"""
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Send new order.
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"""
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if self.gateway.debug:
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print(f'send_order:{req.__dict__}')
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if req.offset not in OFFSET_VT2ROHON:
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self.gateway.write_log("请选择开平方向")
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return ""
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@ -1247,6 +1273,8 @@ class RohonTdApi(TdApi):
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"""
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Query account balance data.
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"""
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if self.gateway.debug:
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print(f'query_account')
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self.reqid += 1
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self.reqQryTradingAccount({}, self.reqid)
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@ -1254,6 +1282,9 @@ class RohonTdApi(TdApi):
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"""
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Query position holding data.
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"""
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if self.gateway.debug:
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print(f'query_position')
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if not symbol_exchange_map:
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return
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@ -1267,6 +1298,9 @@ class RohonTdApi(TdApi):
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def close(self):
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""""""
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if self.gateway.debug:
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print(f'td close')
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if self.connect_status:
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self.exit()
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@ -1708,7 +1742,7 @@ class SubMdApi():
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tick = TickData(gateway_name=self.gateway_name,
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exchange=Exchange(d.get('exchange')),
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symbol=d.get('symbol'),
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symbol=symbol,
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datetime=dt)
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d.pop('exchange', None)
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d.pop('symbol', None)
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@ -2190,7 +2224,7 @@ class TickCombiner(object):
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ratio_tick.date = tick.date
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ratio_tick.time = tick.time
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# 比率tick
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# 比率tick = (腿1 * 腿1 手数 / 腿2价格 * 腿2手数) 百分比
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ratio_tick.ask_price_1 = 100 * self.last_leg1_tick.ask_price_1 * self.leg1_ratio \
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/ (self.last_leg2_tick.bid_price_1 * self.leg2_ratio) # noqa
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ratio_tick.ask_price_1 = round_to(
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