From 629d19c0730d64064a4a706f436941b6df8fb61e Mon Sep 17 00:00:00 2001 From: WOLF Date: Wed, 9 Sep 2015 09:20:02 +0800 Subject: [PATCH 1/2] =?UTF-8?q?=E5=AE=8C=E6=88=90=E9=83=A8=E5=88=86ctpTdGa?= =?UTF-8?q?teway=E7=9A=84=E5=B0=81=E8=A3=85?= MIME-Version: 1.0 Content-Type: text/plain; charset=UTF-8 Content-Transfer-Encoding: 8bit --- vn.trader/ctpGateway.py | 321 ++++++++++++++++++++++++++-------------- vn.trader/eventType.py | 1 + vn.trader/gateway.py | 94 +++++++++--- 3 files changed, 287 insertions(+), 129 deletions(-) diff --git a/vn.trader/ctpGateway.py b/vn.trader/ctpGateway.py index a4fd81e7..3a1b971b 100644 --- a/vn.trader/ctpGateway.py +++ b/vn.trader/ctpGateway.py @@ -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) \ No newline at end of file + self.reqOrderAction(req, self.reqID) \ No newline at end of file diff --git a/vn.trader/eventType.py b/vn.trader/eventType.py index 12f212b1..dd101f1a 100644 --- a/vn.trader/eventType.py +++ b/vn.trader/eventType.py @@ -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 diff --git a/vn.trader/gateway.py b/vn.trader/gateway.py index d2d1019f..2d747d3f 100644 --- a/vn.trader/gateway.py +++ b/vn.trader/gateway.py @@ -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. + + + From 88b9e5247d1d36b214a578fac84d0ef6c613c964 Mon Sep 17 00:00:00 2001 From: WOLF Date: Wed, 9 Sep 2015 09:24:43 +0800 Subject: [PATCH 2/2] =?UTF-8?q?=E6=B7=BB=E5=8A=A0=E9=83=A8=E5=88=86?= =?UTF-8?q?=E5=BF=BD=E7=95=A5?= MIME-Version: 1.0 Content-Type: text/plain; charset=UTF-8 Content-Transfer-Encoding: 8bit --- .gitignore | 6 +++++- 1 file changed, 5 insertions(+), 1 deletion(-) diff --git a/.gitignore b/.gitignore index 3a0d5e11..23140e65 100644 --- a/.gitignore +++ b/.gitignore @@ -32,4 +32,8 @@ Release/ # word文档 *.doc -*.docx \ No newline at end of file +*.docx + +# 其他文件 +*.dump +*.vssettings \ No newline at end of file