From 4d15d355c6a8a697df789a32000ae674cb9ff6a2 Mon Sep 17 00:00:00 2001 From: msincenselee Date: Wed, 12 Aug 2020 10:31:17 +0800 Subject: [PATCH] =?UTF-8?q?[bug=20fix]=20=E8=87=AA=E5=AE=9A=E4=B9=89?= =?UTF-8?q?=E5=90=88=E7=BA=A6symbol=E4=B8=8Eexchange=E6=98=A0=E5=B0=84?= MIME-Version: 1.0 Content-Type: text/plain; charset=UTF-8 Content-Transfer-Encoding: 8bit --- vnpy/gateway/ctp/ctp_gateway.py | 1 + vnpy/gateway/rohon/rohon_gateway.py | 42 ++++++++++++++++++++++++++--- 2 files changed, 39 insertions(+), 4 deletions(-) diff --git a/vnpy/gateway/ctp/ctp_gateway.py b/vnpy/gateway/ctp/ctp_gateway.py index 74628c47..75c9ee5a 100644 --- a/vnpy/gateway/ctp/ctp_gateway.py +++ b/vnpy/gateway/ctp/ctp_gateway.py @@ -295,6 +295,7 @@ class CtpGateway(BaseGateway): contract_dict = c.get_contracts() for vt_symbol, contract in contract_dict.items(): contract.gateway_name = self.gateway_name + symbol_exchange_map[contract.symbol] = contract.exchange self.on_contract(contract) except Exception as ex: # noqa diff --git a/vnpy/gateway/rohon/rohon_gateway.py b/vnpy/gateway/rohon/rohon_gateway.py index 4572421e..b0952edc 100644 --- a/vnpy/gateway/rohon/rohon_gateway.py +++ b/vnpy/gateway/rohon/rohon_gateway.py @@ -248,6 +248,8 @@ class RohonGateway(BaseGateway): self.tdx_api = None self.rabbit_api = None self.tq_api = None + # 是否输出debug信息 + self.debug = False self.subscribed_symbols = set() # 已订阅合约代码 @@ -268,6 +270,8 @@ class RohonGateway(BaseGateway): product_info = setting["产品信息"] rabbit_dict = setting.get('rabbit', None) tq_dict = setting.get('tq', None) + self.debug = setting.get('debug',False) + if not td_address.startswith("tcp://"): td_address = "tcp://" + td_address if not md_address.startswith("tcp://"): @@ -284,6 +288,7 @@ class RohonGateway(BaseGateway): contract_dict = c.get_contracts() for vt_symbol, contract in contract_dict.items(): contract.gateway_name = self.gateway_name + symbol_exchange_map[contract.symbol] = contract.exchange self.on_contract(contract) except Exception as ex: # noqa @@ -373,6 +378,7 @@ class RohonGateway(BaseGateway): # 增加映射（ leg1 对应的合成器列表映射) leg1_symbol = setting.get('leg1_symbol') + leg1_exchange = Exchange(setting.get('leg1_exchange')) combiner_list = self.tick_combiner_map.get(leg1_symbol, []) if combiner not in combiner_list: self.write_log(u'添加Leg1:{}与合成器得映射'.format(leg1_symbol)) @@ -381,6 +387,7 @@ class RohonGateway(BaseGateway): # 增加映射（ leg2 对应的合成器列表映射) leg2_symbol = setting.get('leg2_symbol') + leg2_exchange = Exchange(setting.get('leg2_exchange')) combiner_list = self.tick_combiner_map.get(leg2_symbol, []) if combiner not in combiner_list: self.write_log(u'添加Leg2:{}与合成器得映射'.format(leg2_symbol)) @@ -390,14 +397,14 @@ class RohonGateway(BaseGateway): self.write_log(u'订阅leg1:{}'.format(leg1_symbol)) leg1_req = SubscribeRequest( symbol=leg1_symbol, - exchange=symbol_exchange_map.get(leg1_symbol, Exchange.LOCAL) + exchange=leg1_exchange ) self.subscribe(leg1_req) self.write_log(u'订阅leg2:{}'.format(leg2_symbol)) leg2_req = SubscribeRequest( symbol=leg2_symbol, - exchange=symbol_exchange_map.get(leg1_symbol, Exchange.LOCAL) + exchange=leg2_exchange ) self.subscribe(leg2_req) @@ -636,6 +643,10 @@ class RohonMdApi(MdApi): gateway_name=self.gateway_name ) + # 处理一下标准套利合约的last_price + if '&' in symbol: + tick.last_price = (tick.ask_price_1 + tick.bid_price_1)/2 + if data["BidVolume2"] or data["AskVolume2"]: tick.bid_price_2 = adjust_price(data["BidPrice2"]) tick.bid_price_3 = adjust_price(data["BidPrice3"]) @@ -908,6 +919,9 @@ class RohonTdApi(TdApi): def onRspQryTradingAccount(self, data: dict, error: dict, reqid: int, last: bool): """""" + if self.gateway.debug: + print(f'onRspQryTradingAccount') + if "AccountID" not in data: return if len(self.accountid)== 0: @@ -941,6 +955,9 @@ class RohonTdApi(TdApi): """ Callback of instrument query. """ + #if self.gateway.debug: + # print(f'onRspQryInstrument') + product = PRODUCT_ROHON2VT.get(data["ProductClass"], None) if product: contract = ContractData( @@ -1025,6 +1042,9 @@ class RohonTdApi(TdApi): """ Callback of order status update. """ + #if self.gateway.debug: + # print(f'onRtnOrder') + symbol = data["InstrumentID"] exchange = symbol_exchange_map.get(symbol, "") if not exchange: @@ -1070,6 +1090,9 @@ class RohonTdApi(TdApi): """ Callback of trade status update. """ + if self.gateway.debug: + print(f'onRtnTrade') + symbol = data["InstrumentID"] exchange = symbol_exchange_map.get(symbol, "") if not exchange: @@ -1176,6 +1199,9 @@ class RohonTdApi(TdApi): """ Send new order. """ + if self.gateway.debug: + print(f'send_order:{req.__dict__}') + if req.offset not in OFFSET_VT2ROHON: self.gateway.write_log("请选择开平方向") return "" @@ -1247,6 +1273,8 @@ class RohonTdApi(TdApi): """ Query account balance data. """ + if self.gateway.debug: + print(f'query_account') self.reqid += 1 self.reqQryTradingAccount({}, self.reqid) @@ -1254,6 +1282,9 @@ class RohonTdApi(TdApi): """ Query position holding data. """ + if self.gateway.debug: + print(f'query_position') + if not symbol_exchange_map: return @@ -1267,6 +1298,9 @@ class RohonTdApi(TdApi): def close(self): """""" + if self.gateway.debug: + print(f'td close') + if self.connect_status: self.exit() @@ -1708,7 +1742,7 @@ class SubMdApi(): tick = TickData(gateway_name=self.gateway_name, exchange=Exchange(d.get('exchange')), - symbol=d.get('symbol'), + symbol=symbol, datetime=dt) d.pop('exchange', None) d.pop('symbol', None) @@ -2190,7 +2224,7 @@ class TickCombiner(object): ratio_tick.date = tick.date ratio_tick.time = tick.time - # 比率tick + # 比率tick = (腿1 * 腿1 手数 / 腿2价格 * 腿2手数) 百分比 ratio_tick.ask_price_1 = 100 * self.last_leg1_tick.ask_price_1 * self.leg1_ratio \ / (self.last_leg2_tick.bid_price_1 * self.leg2_ratio) # noqa ratio_tick.ask_price_1 = round_to(