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Merge remote-tracking branch 'vnpy/master'

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msincenselee 2015-09-10 17:00:02 +08:00
commit 4ed22c2c33
4 changed files with 292 additions and 130 deletions
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6
.gitignore vendored
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@ -32,4 +32,8 @@ Release/
# word文档
*.doc
*.docx
*.docx
# 其他文件
*.dump
*.vssettings

321
vn.trader/ctpGateway.py
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@ -27,6 +27,7 @@ class CtpGateway(VtGateway):
########################################################################
class CtpMdApi(MdApi):
"""CTP行情API实现"""
@ -224,6 +225,7 @@ class CtpMdApi(MdApi):
self.reqUserLogin(req, self.reqID)
########################################################################
class CtpTdApi(TdApi):
"""CTP交易API实现"""
@ -433,28 +435,63 @@ class CtpTdApi(TdApi):
#----------------------------------------------------------------------
def onRspQryInvestorPosition(self, data, error, n, last):
"""持仓查询回报"""
if error['ErrorID'] == 0:
event = Event(type_=EVENT_POSITION)
event.dict_['data'] = data
self.__eventEngine.put(event)
else:
event = Event(type_=EVENT_LOG)
log = u'持仓查询回报，错误代码：' + unicode(error['ErrorID']) + u',' + u'错误信息：' + error['ErrorMsg'].decode('gbk')
event.dict_['log'] = log
self.__eventEngine.put(event)
pos = VtPositionData()
pos.gatewayName = self.gatewayName
# 保存代码
pos.symbol = data['InstrumentID']
pos.vtSymbol = '.'.join([self.gatewayName, pos.symbol])
# 方向和持仓冻结数量
if data['PosiDirection'] == '1':
pos.direction = DIRECTION_NET
pos.frozen = data['LongFrozen']
if data['PosiDirection'] == '2':
pos.direction = DIRECTION_LONG
pos.frozen = data['LongFrozen']
elif data['PosiDirection'] == '3':
pos.direction = DIRECTION_SHORT
pos.frozen = data['ShortFrozen']
# 持仓量
pos.position = data['Position']
# 持仓均价
if pos.position:
pos.price = data['PositionCost'] / pos.position
# VT系统持仓名
pos.vtPositionName = '.'.join([pos.vtSymbol, pos.direction])
# 推送
self.gateway.onPosition(pos)
#----------------------------------------------------------------------
def onRspQryTradingAccount(self, data, error, n, last):
"""资金账户查询回报"""
if error['ErrorID'] == 0:
event = Event(type_=EVENT_ACCOUNT)
event.dict_['data'] = data
self.__eventEngine.put(event)
else:
event = Event(type_=EVENT_LOG)
log = u'账户查询回报，错误代码：' + unicode(error['ErrorID']) + u',' + u'错误信息：' + error['ErrorMsg'].decode('gbk')
event.dict_['log'] = log
self.__eventEngine.put(event)
account = VtAccountData()
account.gatewayName = self.gatewayName
# 账户代码
account.accountID = data['AccountID']
account.vtAccountID = '.'.join([self.gatewayName, account.accountID])
# 数值相关
account.preBalance = data['PreBalance']
account.available = data['Available']
account.commission = data['Commission']
account.margin = data['CurrMargin']
account.closeProfit = data['CloseProfit']
account.positionProfit = data['PositionProfit']
# 这里的balance和快期中的账户不确定是否一样，需要测试
account.balance = (data['PreBalance'] - data['PreCredit'] - data['PreMortgage'] +
data['Mortgage'] - data['Withdraw'] + data['Deposit'] +
data['ClostProfit'] + data['PositionProfit'] + data['CashIn'] -
data['Commission'])
# 推送
self.gateway.onAccount(account)
#----------------------------------------------------------------------
def onRspQryInvestor(self, data, error, n, last):
@ -488,22 +525,35 @@ class CtpTdApi(TdApi):
#----------------------------------------------------------------------
def onRspQryInstrument(self, data, error, n, last):
"""
合约查询回报
由于该回报的推送速度极快，因此不适合全部存入队列中处理，
选择先储存在一个本地字典中，全部收集完毕后再推送到队列中
（由于耗时过长目前使用其他进程读取）
"""
if error['ErrorID'] == 0:
event = Event(type_=EVENT_INSTRUMENT)
event.dict_['data'] = data
event.dict_['last'] = last
self.__eventEngine.put(event)
else:
event = Event(type_=EVENT_LOG)
log = u'合约投资者回报，错误代码：' + unicode(error['ErrorID']) + u',' + u'错误信息：' + error['ErrorMsg'].decode('gbk')
event.dict_['log'] = log
self.__eventEngine.put(event)
"""合约查询回报"""
contract = VtContractData()
contract.gatewayName = self.gatewayName
contract.symbol = data['InstrumentID']
contract.vtSymbol = '.'.join([self.gatewayName, contract.symbol])
# 合约数值
contract.size = data['VolumeMultiple']
contract.priceTick = data['PriceTick']
contract.strikePrice = data['StrikePrice']
contract.underlyingSymbol = data['UnderlyingInstrID']
# 合约类型
if data['ProductClass'] == '1':
contract.productClass == PRODUCT_FUTURES
elif data['ProductClass'] == '2':
contract.productClass = PRODUCT_OPTION
elif data['ProductClass'] == '3':
contract.productClass = PRODUCT_COMBINATION
# 期权类型
if data['OptionType'] == '1':
contract.optionType = OPTION_CALL
elif data['OptionType'] == '2':
contract.optionType = OPTION_PUT
# 推送
self.gateway.onContract(contract)
#----------------------------------------------------------------------
def onRspQryDepthMarketData(self, data, error, n, last):
@ -645,21 +695,78 @@ class CtpTdApi(TdApi):
else:
order.direction = DIRECTION_UNKNOWN
# 多空
if data['']
# 开平
if data['CombOffsetFlag'] == '0':
order.offset = OFFSET_OPEN
elif data['CombOffsetFlag'] == '1':
order.offset = OFFSET_CLOSE
else:
order.offset = OFFSET_UNKNOWN
# 状态
if data['OrderStatus'] == '0':
order.status = STATUS_ALLTRADED
elif data['OrderStatus'] == '1':
order.status = STATUS_PARTTRADED
elif data['OrderStatus'] == '3':
order.status = STATUS_NOTTRADED
elif data['OrderStatus'] == '5':
order.status = STATUS_CANCELLED
else:
order.status = STATUS_UNKNOWN
# 价格、报单量等数值
order.price = data['LimitPrice']
order.totalVolume = data['VolumeTotalOriginal']
order.tradedVolume = data['VolumeTraded']
order.orderTime = data['InsertTime']
order.cancelTime = data['CancelTime']
order.frontID = data['FrontID']
order.sessionID = data['SessionID']
# 推送
self.gateway.onOrder(order)
#----------------------------------------------------------------------
def onRtnTrade(self, data):
"""成交回报"""
# 常规成交事件
event1 = Event(type_=EVENT_TRADE)
event1.dict_['data'] = data
self.__eventEngine.put(event1)
# 创建报单数据对象
trade = VtTradeData()
order.gatewayName = self.gatewayName
# 特定合约成交事件
event2 = Event(type_=(EVENT_TRADE_CONTRACT+data['InstrumentID']))
event2.dict_['data'] = data
self.__eventEngine.put(event2)
# 保存代码和报单号
trade.symbol = data['InstrumentID']
trade.vtSymbol = '.'.join([self.gatewayName, trade.symbol])
trade.tradeID = data['TradeID']
trade.vtTradeID = '.'.join([self.gatewayName, trade.tradeID])
trade.orderID = data['OrderRef']
trade.vtOrderID = '.'.join([self.gatewayName, trade.orderID])
# 方向
if data['Direction'] == '0':
trade.direction = DIRECTION_LONG
elif data['Direction'] == '1':
trade.direction = DIRECTION_SHORT
else:
trade.direction = DIRECTION_UNKNOWN
# 开平
if data['OffsetFlag'] == '0':
trade.offset = OFFSET_OPEN
elif data['OffsetFlag'] == '1':
trade.offset = OFFSET_CLOSE
else:
trade.offset = OFFSET_UNKNOW
# 价格、报单量等数值
trade.price = data['Price']
trade.volume = data['Volume']
trade.tradeTime = data['TradeTime']
# 推送
self.gateway.onTrade(trade)
#----------------------------------------------------------------------
def onErrRtnOrderInsert(self, data, error):
@ -875,53 +982,60 @@ class CtpTdApi(TdApi):
pass
#----------------------------------------------------------------------
def login(self, address, userid, password, brokerid):
"""连接服务器"""
self.__userid = userid
self.__password = password
self.__brokerid = brokerid
# 数据重传模式设为从本日开始
self.subscribePrivateTopic(0)
self.subscribePublicTopic(0)
# 注册服务器地址
self.registerFront(address)
# 初始化连接，成功会调用onFrontConnected
self.init()
def connect(self):
"""初始化连接"""
# 如果尚未建立服务器连接，则进行连接
if not self.connectionStatus:
# 创建C++环境中的API对象，这里传入的参数是需要用来保存.con文件的文件夹路径
path = os.getcwd() + '\\temp\\' + self.gatewayName + '\\'
if not os.path.exists(path):
os.makedirs(path)
self.createFtdcTraderApi(path)
# 注册服务器地址
self.registerFront(self.address)
# 初始化连接，成功会调用onFrontConnected
self.init()
# 若已经连接但尚未登录，则进行登录
else:
if not self.loginStatus:
self.login()
#----------------------------------------------------------------------
def getInstrument(self):
"""查询合约"""
self.__reqid = self.__reqid + 1
self.reqQryInstrument({}, self.__reqid)
def login(self):
"""连接服务器"""
# 如果填入了用户名密码等，则登录
if self.userID and self.password and self.brokerID:
req = {}
req['UserID'] = self.userID
req['Password'] = self.password
req['BrokerID'] = self.brokerID
self.reqID += 1
self.reqUserLogin(req, self.reqID)
#----------------------------------------------------------------------
def getAccount(self):
"""查询账户"""
self.__reqid = self.__reqid + 1
self.reqQryTradingAccount({}, self.__reqid)
#----------------------------------------------------------------------
def getInvestor(self):
"""查询投资者"""
self.__reqid = self.__reqid + 1
self.reqQryInvestor({}, self.__reqid)
self.reqID += 1
self.reqQryTradingAccount({}, self.reqID)
#----------------------------------------------------------------------
def getPosition(self):
"""查询持仓"""
self.__reqid = self.__reqid + 1
self.reqID += 1
req = {}
req['BrokerID'] = self.__brokerid
req['InvestorID'] = self.__userid
self.reqQryInvestorPosition(req, self.__reqid)
req['BrokerID'] = self.brokerID
req['InvestorID'] = self.userID
self.reqQryInvestorPosition(req, self.reqID)
#----------------------------------------------------------------------
def sendOrder(self, instrumentid, exchangeid, price, pricetype, volume, direction, offset):
def sendOrder(self, orderReq):
"""发单"""
self.__reqid = self.__reqid + 1
self.reqID += 1
self.orderRef += 1
req = {}
req['InstrumentID'] = instrumentid
@ -931,12 +1045,14 @@ class CtpTdApi(TdApi):
req['Direction'] = direction
req['CombOffsetFlag'] = offset
self.__orderref = self.__orderref + 1
req['OrderRef'] = str(self.__orderref)
req['InvestorID'] = self.__userid
req['UserID'] = self.__userid
req['BrokerID'] = self.__brokerid
req['OrderRef'] = str(self.orderRef)
req['InvestorID'] = self.userID
req['UserID'] = self.userID
req['BrokerID'] = self.brokerID
req['CombHedgeFlag'] = defineDict['THOST_FTDC_HF_Speculation'] # 投机单
req['ContingentCondition'] = defineDict['THOST_FTDC_CC_Immediately'] # 立即发单
req['ForceCloseReason'] = defineDict['THOST_FTDC_FCC_NotForceClose'] # 非强平
@ -945,47 +1061,28 @@ class CtpTdApi(TdApi):
req['VolumeCondition'] = defineDict['THOST_FTDC_VC_AV'] # 任意成交量
req['MinVolume'] = 1 # 最小成交量为1
self.reqOrderInsert(req, self.__reqid)
self.reqOrderInsert(req, self.reqID)
# 返回订单号，便于某些算法进行动态管理
return self.__orderref
return self.orderRef
#----------------------------------------------------------------------
def cancelOrder(self, instrumentid, exchangeid, orderref, frontid, sessionid):
def cancelOrder(self, cancelOrderReq):
"""撤单"""
self.__reqid = self.__reqid + 1
self.reqID += 1
self.orderRef += 1
req = {}
req['InstrumentID'] = instrumentid
req['ExchangeID'] = exchangeid
req['OrderRef'] = orderref
req['FrontID'] = frontid
req['SessionID'] = sessionid
req['ActionFlag'] = defineDict['THOST_FTDC_AF_Delete']
req['BrokerID'] = self.__brokerid
req['InvestorID'] = self.__userid
req['BrokerID'] = self.brokerID
req['InvestorID'] = self.userID
self.reqOrderAction(req, self.__reqid)
#----------------------------------------------------------------------
def getSettlement(self):
"""查询结算信息"""
self.__reqid = self.__reqid + 1
req = {}
req['BrokerID'] = self.__brokerid
req['InvestorID'] = self.__userid
self.reqQrySettlementInfo(req, self.__reqid)
#----------------------------------------------------------------------
def confirmSettlement(self):
"""确认结算信息"""
self.__reqid = self.__reqid + 1
req = {}
req['BrokerID'] = self.__brokerid
req['InvestorID'] = self.__userid
self.reqSettlementInfoConfirm(req, self.__reqid)
self.reqOrderAction(req, self.reqID)

1
vn.trader/eventType.py
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@ -21,6 +21,7 @@ EVENT_TRADE = 'eTrade.' # 成交回报事件
EVENT_ORDER = 'eOrder.' # 报单回报事件
EVENT_POSITION = 'ePosition.' # 持仓回报事件
EVENT_ACCOUNT = 'eAccount.' # 账户回报事件
EVENT_CONTRACT = 'eContract.' # 合约基础信息回报事件
EVENT_ERROR = 'eError.' # 错误回报事件

94
vn.trader/gateway.py
View File

@ -9,16 +9,36 @@ EMPTY_INT = 0
EMPTY_FLOAT = 0.0
# 方向常量
DIRECTION_NONE = 'none'
DIRECTION_LONG = 'long'
DIRECTION_SHORT = 'short'
DIRECTION_UNKNOWN = 'unknown'
DIRECTION_NONE = u'无方向'
DIRECTION_LONG = u'多'
DIRECTION_SHORT = u'空'
DIRECTION_UNKNOWN = u'未知'
DIRECTION_NET = u'净'
# 开平常量
OFFSET_NONE = 'none'
OFFSET_OPEN = 'open'
OFFSET_CLOSE = 'close'
OFFSET_UNKNOWN = 'unknown'
OFFSET_NONE = u'无开平'
OFFSET_OPEN = u'开仓'
OFFSET_CLOSE = u'平仓'
OFFSET_UNKNOWN = u'未知'
# 状态常量
STATUS_NOTTRADED = u'未成交'
STATUS_PARTTRADED = u'部分成交'
STATUS_ALLTRADED = u'全部成交'
STATUS_CANCELLED = u'已撤销'
STATUS_UNKNOWN = u'未知'
# 合约类型常量
PRODUCT_EQUITY = u'股票'
PRODUCT_FUTURES = u'期货'
PRODUCT_OPTION = u'期权'
PRODUCT_INDEX = u'指数'
PRODUCT_COMBINATION = u'组合'
# 期权类型
OPTION_CALL = u'看涨期权'
OPTION_PUT = u'看跌期权'
########################################################################
@ -105,6 +125,14 @@ class VtGateway(object):
event1 = Event(type_=EVENT_LOG)
event1.dict_['data'] = log
self.eventEngine.put(event1)
#----------------------------------------------------------------------
def onContract(self, contract):
"""合约基础信息推送"""
# 通用事件
event1 = Event(type_=EVENT_CONTRACT)
event1.dict_['data'] = contract
self.eventEngine.put(event1)
#----------------------------------------------------------------------
def connect(self):
@ -208,8 +236,8 @@ class VtTradeData(VtBaseData):
self.vtOrderID = EMPTY_STRING # 订单在vt系统中的唯一编号，通常是 Gateway名.订单编号
# 成交相关
self.direction = EMPTY_STRING # 成交方向
self.offset = EMPTY_STRING # 成交开平仓
self.direction = EMPTY_UNICODE # 成交方向
self.offset = EMPTY_UNICODE # 成交开平仓
self.price = EMPTY_FLOAT # 成交价格
self.volume = EMPTY_INT # 成交数量
self.tradeTime = EMPTY_STRING # 成交时间
@ -232,12 +260,12 @@ class VtOrderData(VtBaseData):
self.vtOrderID = EMPTY_STRING # 订单在vt系统中的唯一编号，通常是 Gateway名.订单编号
# 报单相关
self.direction = EMPTY_STRING # 报单方向
self.offset = EMPTY_STRING # 报单开平仓
self.direction = EMPTY_UNICODE # 报单方向
self.offset = EMPTY_UNICODE # 报单开平仓
self.price = EMPTY_FLOAT # 报单价格
self.totalVolume = EMPTY_INT # 报单总数量
self.tradedVolume = EMPTY_INT # 报单成交数量
self.status = EMPTY_STRING # 报单状态
self.status = EMPTY_UNICODE # 报单状态
self.orderTime = EMPTY_STRING # 发单时间
self.cancelTime = EMPTY_STRING # 撤单时间
@ -281,7 +309,7 @@ class VtAccountData(VtBaseData):
self.accountID = EMPTY_STRING # 账户代码
self.vtAccountID = EMPTY_STRING # 账户在vt中的唯一代码，通常是 Gateway名.账户代码
# 代码相关
# 数值相关
self.preBalance = EMPTY_FLOAT # 昨日账户结算净值
self.balance = EMPTY_FLOAT # 账户净值
self.available = EMPTY_FLOAT # 可用资金
@ -325,7 +353,17 @@ class VtContractData(VtBaseData):
"""Constructor"""
super(VtBaseData, self).__init__()
self.symbol = EMPTY_STRING
self.vtSymbol = EMPTY_STRING
self.productClass = EMPTY_STRING
self.size = EMPTY_INT
self.priceTick = EMPTY_FLOAT
# 期权相关
self.strikePrice = EMPTY_FLOAT
self.underlyingSymbol = EMPTY_STRING
self.optionType = EMPTY_UNICODE
########################################################################
@ -337,12 +375,34 @@ class VtSubscribeReq:
"""Constructor"""
self.symbol = EMPTY_STRING
self.exchange = EMPTY_STRING
########################################################################
class VtOrderReq:
"""发单时传入的对象类"""
#----------------------------------------------------------------------
def __init__(self):
"""Constructor"""
self.symbol = EMPTY_STRING
########################################################################
class VtCancelOrderReq:
"""撤单时传入的对象类"""
#----------------------------------------------------------------------
def __init__(self):
"""Constructor"""
self.symbol = EMPTY_STRING
self.exchange = EMPTY_STRING
self.