Merge remote-tracking branch 'refs/remotes/vnpy/master'

Conflicts:
	vn.trader/ContractData.vt
	vn.trader/ctaEngine.py
	vn.trader/ctaStrategies.py
	vn.trader/ltsGateway.py
	vn.trader/uiBasicWidget.py
	vn.trader/uiMainWindow.py
	vn.trader/vtConstant.py
	vn.trader/vtEngine.py

vn.trader/CTA_setting.json

@@ -1,14 +1,10 @@
 {
-    "Test1": {
+    "DR_IF1512": {
-        "strategyClassName": "TestStrategy", 
+        "strategyClassName": "DataRecorder", 
-        "vtSymbol": "IF1511"
-    }, 
-    "Test3": {
-        "strategyClassName": "TestStrategy", 
         "vtSymbol": "IF1512"
     }, 
-    "Test2": {
+    "DR_IH1512": {
-        "strategyClassName": "TestStrategy", 
+        "strategyClassName": "DataRecorder", 
-        "vtSymbol": "IH1511"
+        "vtSymbol": "IH1512"
     }
 }

vn.trader/ctaDataRecorder.py

@@ -0,0 +1,106 @@
+# encoding: UTF-8
+
+from ctaStrategyTemplate import *
+from ctaObject import CtaBarData
+
+
+########################################################################
+class DataRecorder(CtaStrategyTemplate):
+    """
+    纯粹用来记录历史数据的工具（基于CTA策略），
+    建议运行在实际交易程序外的一个vn.trader实例中，
+    本工具会记录Tick和1分钟K线数据。
+    """
+
+    #----------------------------------------------------------------------
+    def __init__(self, ctaEngine, name, setting=None):
+        """Constructor"""
+        super(DataRecorder, self).__init__(ctaEngine, name, setting)
+        
+        self.strategyClassName = 'DataRecorder'
+        
+        self.author = u'用Python的交易员'
+        self.tickDbName = 'VtTrader_Tick_Db'
+        self.barDbName = 'VtTrader_1Min_Db'
+        
+        self.paramList.append('author')
+        
+        # 数据记录相关
+        self.bar = None         # K线数据对象
+        self.barMinute = -1     # 当前的分钟，初始化设为-1
+        
+    #----------------------------------------------------------------------
+    def init(self):
+        """初始化"""
+        self.writeCtaLog(u'数据记录工具%s初始化' %self.name)
+        
+    #----------------------------------------------------------------------
+    def start(self):
+        """启动策略（必须由用户继承实现）"""
+        self.writeCtaLog(u'数据记录工具%s启动' %self.name)
+    
+    #----------------------------------------------------------------------
+    def stop(self):
+        """停止策略（必须由用户继承实现）"""
+        self.writeCtaLog(u'数据记录工具%s停止' %self.name)
+        
+    #----------------------------------------------------------------------
+    def onTick(self, tick):
+        """收到行情TICK推送"""
+        # 收到Tick后，首先插入到数据库里
+        self.insertTick(tick)
+        
+        # 计算K线
+        tickMinute = tick.datetime.minute
+        
+        if tickMinute != self.barMinute:    # 如果分钟变了，则把旧的K线插入数据库，并生成新的K线
+            if self.bar:
+                self.onBar(self.bar)
+            
+            bar = CtaBarData()              # 创建新的K线，目的在于防止之前K线对象在插入Mongo中被再次修改，导致出错
+            bar.vtSymbol = tick.vtSymbol
+            bar.symbol = tick.symbol
+            bar.exchange = tick.exchange
+            
+            bar.open = tick.lastPrice
+            bar.high = tick.lastPrice
+            bar.low = tick.lastPrice
+            bar.close = tick.lastPrice
+            
+            bar.date = tick.date
+            bar.time = tick.time
+            bar.datetime = tick.datetime    # K线的时间设为第一个Tick的时间
+            
+            bar.volume = tick.volume
+            bar.openInterest = tick.openInterest
+            
+            self.bar = bar                  # 这种写法为了减少一层访问，加快速度
+            self.barMinute = tickMinute     # 更新当前的分钟
+            
+        else:                               # 否则继续累加新的K线
+            bar = self.bar                  # 写法同样为了加快速度
+            
+            bar.high = max(bar.high, tick.lastPrice)
+            bar.low = min(bar.low, tick.lastPrice)
+            bar.close = tick.lastPrice
+            
+            bar.volume = bar.volume + tick.volume   # 成交量是累加的
+            bar.openInterest = tick.openInterest    # 持仓量直接更新
+        
+    #----------------------------------------------------------------------
+    def onOrder(self, order):
+        """收到委托变化推送"""
+        pass
+    
+    #----------------------------------------------------------------------
+    def onTrade(self, trade):
+        """收到成交推送"""
+        pass
+    
+    #----------------------------------------------------------------------
+    def onBar(self, bar):
+        """收到Bar推送"""
+        self.insertBar(bar)   
+        
+        
+    

vn.trader/ctaEngine.py

@@ -10,100 +10,10 @@ from vtConstant import *
 from vtGateway import VtSubscribeReq, VtOrderReq, VtCancelOrderReq, VtLogData
 
 from ctaConstant import *
+from ctaObject import *
 from ctaStrategies import strategyClassDict
 
 
-########################################################################
-class StopOrder(object):
-    """本地停止单"""
-
-    # ----------------------------------------------------------------------
-    def __init__(self):
-        """Constructor"""
-        self.vtSymbol = EMPTY_STRING
-        self.orderType = EMPTY_UNICODE
-        self.price = EMPTY_FLOAT
-        self.volume = EMPTY_INT
-        
-        self.strategy = None             # 下停止单的策略对象
-        self.stopOrderID = EMPTY_STRING  # 停止单的本地编号 
-        self.status = EMPTY_STRING       # 停止单状态
-
-
-########################################################################
-class CtaBarData(object):
-    """K线数据"""
-
-    # ----------------------------------------------------------------------
-    def __init__(self):
-        """Constructor"""
-        self.vtSymbol = EMPTY_STRING        # vt系统代码
-        self.symbol = EMPTY_STRING          # 代码
-        self.exchange = EMPTY_STRING        # 交易所
-    
-        self.open = EMPTY_FLOAT             # OHLC
-        self.high = EMPTY_FLOAT
-        self.low = EMPTY_FLOAT
-        self.close = EMPTY_FLOAT
-        
-        self.date = EMPTY_STRING            # bar开始的时间，日期
-        self.time = EMPTY_STRING            # 时间
-        self.datetime = None                # python的datetime时间对象
-        
-        self.volume = EMPTY_INT             # 成交量
-        self.openInterest = EMPTY_INT       # 持仓量
-
-
-########################################################################
-class CtaTickData(object):
-    """Tick数据"""
-
-    # ----------------------------------------------------------------------
-    def __init__(self):
-        """Constructor"""       
-        self.vtSymbol = EMPTY_STRING            # vt系统代码
-        self.symbol = EMPTY_STRING              # 合约代码
-        self.exchange = EMPTY_STRING            # 交易所代码
-
-        # 成交数据
-        self.lastPrice = EMPTY_FLOAT            # 最新成交价
-        self.volume = EMPTY_INT                 # 最新成交量
-        self.openInterest = EMPTY_INT           # 持仓量
-        
-        self.upperLimit = EMPTY_FLOAT           # 涨停价
-        self.lowerLimit = EMPTY_FLOAT           # 跌停价
-        
-        # tick的时间
-        self.date = EMPTY_STRING            # 日期
-        self.time = EMPTY_STRING            # 时间
-        self.datetime = None                # python的datetime时间对象
-        
-        # 五档行情
-        self.bidPrice1 = EMPTY_FLOAT
-        self.bidPrice2 = EMPTY_FLOAT
-        self.bidPrice3 = EMPTY_FLOAT
-        self.bidPrice4 = EMPTY_FLOAT
-        self.bidPrice5 = EMPTY_FLOAT
-        
-        self.askPrice1 = EMPTY_FLOAT
-        self.askPrice2 = EMPTY_FLOAT
-        self.askPrice3 = EMPTY_FLOAT
-        self.askPrice4 = EMPTY_FLOAT
-        self.askPrice5 = EMPTY_FLOAT        
-        
-        self.bidVolume1 = EMPTY_INT
-        self.bidVolume2 = EMPTY_INT
-        self.bidVolume3 = EMPTY_INT
-        self.bidVolume4 = EMPTY_INT
-        self.bidVolume5 = EMPTY_INT
-        
-        self.askVolume1 = EMPTY_INT
-        self.askVolume2 = EMPTY_INT
-        self.askVolume3 = EMPTY_INT
-        self.askVolume4 = EMPTY_INT
-        self.askVolume5 = EMPTY_INT    
-
-
 ########################################################################
 class CtaEngine(object):
     """CTA策略引擎"""
@@ -174,8 +84,10 @@ class CtaEngine(object):
             req.direction = DIRECTION_LONG
             req.offset = OFFSET_CLOSE
 
+
         # 3.调用主引擎的发单接口进行发单，保存OrderID与策略映射关系
-        vtOrderID = self.mainEngine.sendOrder(req)  # 发单
+        vtOrderID = self.mainEngine.sendOrder(req, contract.gatewayName)    # 发单
+
         self.orderDict[vtOrderID] = strategy        # 保存vtOrderID和策略的映射关系
 
         return vtOrderID
@@ -308,7 +220,7 @@ class CtaEngine(object):
             
             l = self.tickStrategyDict[tick.vtSymbol]
             for strategy in l:
-                strategy.onTick(tick)
+                strategy.onTick(ctaTick)
     
     # ----------------------------------------------------------------------
 
@@ -434,7 +346,8 @@ class CtaEngine(object):
 
                 # 5.调用主引擎的订阅接口
                 self.mainEngine.subscribe(req, contract.gatewayName)
-
+            else:
+                self.writeCtaLog(u'%s的交易合约%s无法找到' %(name, strategy.vtSymbol))
         else:
             self.writeCtaLog(u'存在策略对象重名：' + name)
 

vn.trader/ctaObject.py

@@ -0,0 +1,95 @@
+# encoding: UTF-8
+
+from vtConstant import EMPTY_UNICODE, EMPTY_STRING, EMPTY_FLOAT, EMPTY_INT
+
+
+########################################################################
+class StopOrder(object):
+    """本地停止单"""
+
+    #----------------------------------------------------------------------
+    def __init__(self):
+        """Constructor"""
+        self.vtSymbol = EMPTY_STRING
+        self.orderType = EMPTY_UNICODE
+        self.price = EMPTY_FLOAT
+        self.volume = EMPTY_INT
+        
+        self.strategy = None             # 下停止单的策略对象
+        self.stopOrderID = EMPTY_STRING  # 停止单的本地编号 
+        self.status = EMPTY_STRING       # 停止单状态
+
+
+########################################################################
+class CtaBarData(object):
+    """K线数据"""
+
+    #----------------------------------------------------------------------
+    def __init__(self):
+        """Constructor"""
+        self.vtSymbol = EMPTY_STRING        # vt系统代码
+        self.symbol = EMPTY_STRING          # 代码
+        self.exchange = EMPTY_STRING        # 交易所
+    
+        self.open = EMPTY_FLOAT             # OHLC
+        self.high = EMPTY_FLOAT
+        self.low = EMPTY_FLOAT
+        self.close = EMPTY_FLOAT
+        
+        self.date = EMPTY_STRING            # bar开始的时间，日期
+        self.time = EMPTY_STRING            # 时间
+        self.datetime = None                # python的datetime时间对象
+        
+        self.volume = EMPTY_INT             # 成交量
+        self.openInterest = EMPTY_INT       # 持仓量
+
+
+########################################################################
+class CtaTickData(object):
+    """Tick数据"""
+
+    #----------------------------------------------------------------------
+    def __init__(self):
+        """Constructor"""       
+        self.vtSymbol = EMPTY_STRING            # vt系统代码
+        self.symbol = EMPTY_STRING              # 合约代码
+        self.exchange = EMPTY_STRING            # 交易所代码
+
+        # 成交数据
+        self.lastPrice = EMPTY_FLOAT            # 最新成交价
+        self.volume = EMPTY_INT                 # 最新成交量
+        self.openInterest = EMPTY_INT           # 持仓量
+        
+        self.upperLimit = EMPTY_FLOAT           # 涨停价
+        self.lowerLimit = EMPTY_FLOAT           # 跌停价
+        
+        # tick的时间
+        self.date = EMPTY_STRING            # 日期
+        self.time = EMPTY_STRING            # 时间
+        self.datetime = None                # python的datetime时间对象
+        
+        # 五档行情
+        self.bidPrice1 = EMPTY_FLOAT
+        self.bidPrice2 = EMPTY_FLOAT
+        self.bidPrice3 = EMPTY_FLOAT
+        self.bidPrice4 = EMPTY_FLOAT
+        self.bidPrice5 = EMPTY_FLOAT
+        
+        self.askPrice1 = EMPTY_FLOAT
+        self.askPrice2 = EMPTY_FLOAT
+        self.askPrice3 = EMPTY_FLOAT
+        self.askPrice4 = EMPTY_FLOAT
+        self.askPrice5 = EMPTY_FLOAT        
+        
+        self.bidVolume1 = EMPTY_INT
+        self.bidVolume2 = EMPTY_INT
+        self.bidVolume3 = EMPTY_INT
+        self.bidVolume4 = EMPTY_INT
+        self.bidVolume5 = EMPTY_INT
+        
+        self.askVolume1 = EMPTY_INT
+        self.askVolume2 = EMPTY_INT
+        self.askVolume3 = EMPTY_INT
+        self.askVolume4 = EMPTY_INT
+        self.askVolume5 = EMPTY_INT    
+

vn.trader/ctaStrategies.py

@@ -2,10 +2,18 @@
 
 '''
 在本文件中引入所有希望在系统中使用的策略类
-当作配置文件，每次增加删除策略时，需要维护此字典
+
+
+这个字典中保存了需要运行的策略的名称和策略类的映射关系，
+用户的策略类写好后，先在该文件中引入，并设置好名称，然后
+在CTA_setting.json中写入具体每个策略对象的类和合约设置。
+
 '''
 
 from ctaStrategyTemplate import TestStrategy
+from ctaDataRecorder import DataRecorder
 
 strategyClassDict = {}
-strategyClassDict[u'TestStrategy'] = TestStrategy
+
+strategyClassDict['TestStrategy'] = TestStrategy
+strategyClassDict['DataRecorder'] = DataRecorder

vn.trader/ctaStrategyTemplate.py

@@ -190,7 +190,7 @@ class TestStrategy(CtaStrategyTemplate):
         self.lastPrice = EMPTY_FLOAT    # 最新价
         
         # 参数和变量列表设置
-        self.paramList.append(u'author')
+        self.paramList.append('author')
         
         self.varList.append('pos')
         self.varList.append('lastPrice')

vn.trader/ctpGateway.py

@@ -640,6 +640,7 @@ class CtpTdApi(TdApi):
         
         # 持仓量
         pos.position = data['Position']
+        pos.ydPosition = data['YdPosition']        
         
         # 持仓均价
         if pos.position:

vn.trader/eventType.py

@@ -30,6 +30,13 @@ EVENT_CTA_LOG = 'eCtaLog'               # CTA相关的日志事件
 # Wind接口相关
 EVENT_WIND_CONNECTREQ = 'eWindConnectReq'   # Wind接口请求连接事件
 
+# 20151020后更新
+# LTS Gateway相关
+EVENT_LTS_SF = 'eLtsSf.'                # SF基金查询推送事件
+
+# 分级A算法相关
+EVENT_FUNDA_DATA = 'eFaData.'           # 分级A基金更新事件
+EVENT_FUNDA_LOG = 'eFaLog'              # 分级A算法日志事件
 
 # ----------------------------------------------------------------------
 def test():

vn.trader/ltsGateway.py

@@ -321,7 +321,7 @@ class  LtsMdApi(MdApi):
         tick.lastPrice = data['LastPrice']
         tick.volume = data['Volume']
         tick.openInterest = data['OpenInterest']
-        tick.tickTime = '.'.join([data['UpdateTime'], str(data['UpdateMillisec']/100)])
+        tick.time = '.'.join([data['UpdateTime'], str(data['UpdateMillisec']/100)])
         tick.date = data['TradingDay']
         
         tick.openPrice = data['OpenPrice']
@@ -392,8 +392,8 @@ class  LtsMdApi(MdApi):
         """订阅合约"""
         req = {}
         req['InstrumentID'] = str(subscribeReq.symbol)
-        req['ExchangeID'] = str(subscribeReq.exchange)
 
+        req['ExchangeID'] = exchangeMap.get(str(subscribeReq.exchange), '')
 
         # 这里的设计是，如果尚未登录就调用了订阅方法
         # 则先保存订阅请求，登录完成后会自动订阅
@@ -582,7 +582,7 @@ class LtsTdApi(TdApi):
         
         # 保存代码和报单号
         order.symbol = data['InstrumentID']
-        order.exchange = exchangeMapReverse[data['ExchangeID']]
+        order.exchange = exchangeMapReverse.get(data['ExchangeID'], '')
         order.vtSymbol = '.'.join([order.symbol, order.exchange])
         
         order.orderID = data['OrderRef']
@@ -616,7 +616,7 @@ class LtsTdApi(TdApi):
             order.status = STATUS_UNKNOWN
             
         # 价格、报单量等数值
-        order.price = data['LimitPrice']
+        order.price = float(data['LimitPrice'])
         order.totalVolume = data['VolumeTotalOriginal']
         order.tradedVolume = data['VolumeTraded']
         order.orderTime = data['InsertTime']
@@ -639,7 +639,7 @@ class LtsTdApi(TdApi):
         
         # 保存代码和报单号
         trade.symbol = data['InstrumentID']
-        trade.exchange = exchangeMapReverse[data['ExchangeID']]
+        trade.exchange = exchangeMapReverse.get(data['ExchangeID'], '')
         trade.vtSymbol = '.'.join([trade.symbol, trade.exchange])
         
         trade.tradeID = data['TradeID']
@@ -655,7 +655,7 @@ class LtsTdApi(TdApi):
         trade.offset = offsetMapReverse.get(data['OffsetFlag'], '')
             
         # 价格、报单量等数值
-        trade.price = data['Price']
+        trade.price = float(data['Price'])
         trade.volume = data['Volume']
         trade.tradeTime = data['TradeTime']
         
@@ -772,10 +772,10 @@ class LtsTdApi(TdApi):
         
         req = {}
         
-        req['InstrumentID'] = orderReq.symbol
+        req['InstrumentID'] = str(orderReq.symbol)
         req['LimitPrice'] = str(orderReq.price)     # LTS里的价格是字符串
-        req['VolumeTotalOriginal'] = orderReq.volume
+        req['VolumeTotalOriginal'] = int(orderReq.volume)
-        req['ExchangeID'] = orderReq.exchange
+        req['ExchangeID'] = exchangeMap.get(orderReq.exchange, '')
         
         # 下面如果由于传入的类型本接口不支持，则会返回空字符串
         try:
@@ -1071,7 +1071,17 @@ class LtsQryApi(QryApi):
     # ----------------------------------------------------------------------
     def onRspQrySFInstrument(self, data, error, n, last):
         """SF合约查询回报"""
-        pass
+        event1 = Event(type_=EVENT_LTS_SF)
+        event1.dict_['data'] = data
+        self.gateway.eventEngine.put(event1)
+        
+        symbol = data['InstrumentID']
+        exchange = exchangeMapReverse[data['ExchangeID']]
+        vtSymbol = '.'.join([symbol, exchange])
+
+        event2 = Event(type_=EVENT_LTS_SF + vtSymbol)
+        event2.dict_['data'] = data
+        self.gateway.eventEngine.put(event2)    
     
     # ----------------------------------------------------------------------
     def onRspQryInstrumentUnitMargin(self, data, error, n, last):
@@ -1141,11 +1151,12 @@ class LtsQryApi(QryApi):
         
         # 保存代码
         pos.symbol = data['InstrumentID']
-        pos.exchange = data['ExchangeID']
+        pos.exchange = exchangeMapReverse.get(data['ExchangeID'], '')
         pos.vtSymbol = '.'.join([pos.symbol, pos.exchange])     
         
         # 方向和持仓冻结数量
         pos.direction = posiDirectionMapReverse.get(data['PosiDirection'], '')
+
         if pos.direction == DIRECTION_NET or pos.direction == DIRECTION_LONG:
             pos.frozen = data['LongFrozen']
         elif pos.direction == DIRECTION_SHORT:   
@@ -1153,6 +1164,7 @@ class LtsQryApi(QryApi):
         
         # 持仓量
         pos.position = data['Position']
+        pos.ydPosition = data['YdPosition']
         
         # 持仓均价
         if pos.position:

vn.trader/uiBasicWidget.py

@@ -473,6 +473,7 @@ class PositionMonitor(BasicMonitor):
         d['vtSymbol'] = {'chinese':u'名称', 'cellType':NameCell}
         d['direction'] = {'chinese':u'方向', 'cellType':DirectionCell}
         d['position'] = {'chinese':u'持仓量', 'cellType':BasicCell}
+        d['ydPosition'] = {'chinese':u'昨持仓', 'cellType':BasicCell}
         d['frozen'] = {'chinese':u'冻结量', 'cellType':BasicCell}
         d['price'] = {'chinese':u'价格', 'cellType':BasicCell}
         d['gatewayName'] = {'chinese':u'接口', 'cellType':BasicCell}
@@ -761,7 +762,7 @@ class TradingWidget(QtGui.QFrame):
         """合约变化"""
 
         # 读取组件数据
-        symbol = unicode(self.lineSymbol.text())
+        symbol = str(self.lineSymbol.text())
         exchange = unicode(self.comboExchange.currentText())
         currency = unicode(self.comboCurrency.currentText())
         productClass = unicode(self.comboProductClass.currentText())           
@@ -923,7 +924,8 @@ class TradingWidget(QtGui.QFrame):
     def sendOrder(self):
         """发单"""
 
-        symbol = unicode(self.lineSymbol.text())
+        symbol = str(self.lineSymbol.text())
+
         exchange = unicode(self.comboExchange.currentText())
         currency = unicode(self.comboCurrency.currentText())
         productClass = unicode(self.comboProductClass.currentText())           

vn.trader/uiMainWindow.py

@@ -6,6 +6,7 @@ from uiBasicWidget import *
 
 from uiCtaWidget import CtaEngineManager
 
+
 ########################################################################
 class MainWindow(QtGui.QMainWindow):
     """主窗口"""
@@ -19,6 +20,8 @@ class MainWindow(QtGui.QMainWindow):
         self.eventEngine = eventEngine
         self.dataEngine = dataEngine
         
+        self.widgetDict = {}    # 用来保存子窗口的字典
+        
         self.initUi()
         
     # ----------------------------------------------------------------------
@@ -92,6 +95,9 @@ class MainWindow(QtGui.QMainWindow):
         connectIbAction = QtGui.QAction(u'连接IB', self)
         connectIbAction.triggered.connect(self.connectIb) 
         
+        connectDbAction = QtGui.QAction(u'连接数据库', self)
+        connectDbAction.triggered.connect(self.mainEngine.dbConnect)
+        
 
         testAction = QtGui.QAction(u'测试', self)
         testAction.triggered.connect(self.testSubscribe)
@@ -124,13 +130,22 @@ class MainWindow(QtGui.QMainWindow):
 
         sysMenu.addAction(connectIbAction)
 
+        sysMenu.addSeparator()
+        sysMenu.addAction(connectDbAction)
+        sysMenu.addSeparator()
+
         sysMenu.addAction(testAction)
         sysMenu.addAction(exitAction)
         
         functionMenu = menubar.addMenu(u'功能')
         functionMenu.addAction(contractAction)
 
-        functionMenu.addAction(ctaAction)
+        
+        # 算法相关
+        algoMenu = menubar.addMenu(u'算法')
+        algoMenu.addAction(ctaAction)
+        
+        # 帮助
 
         helpMenu = menubar.addMenu(u'帮助')
         helpMenu.addAction(aboutAction)        
@@ -201,53 +216,57 @@ class MainWindow(QtGui.QMainWindow):
     # ----------------------------------------------------------------------
     def testSubscribe(self):
         """测试订阅"""
-        req = VtSubscribeReq()
+        api = self.mainEngine.gatewayDict['LTS'].qryApi
-        req.symbol = 'GOOG'
+        api.reqID += 1
-        req.productClass = PRODUCT_EQUITY
+        api.reqQryOFInstrument({}, api.reqID)
-        req.exchange = EXCHANGE_SMART
-        req.currency = CURRENCY_USD
-        self.mainEngine.subscribe(req, 'IB')
         
-        req.symbol = 'AAPL'
+        #req = VtSubscribeReq()
-        self.mainEngine.subscribe(req, 'IB')
+        #req.symbol = 'GOOG'
+        #req.productClass = PRODUCT_EQUITY
+        #req.exchange = EXCHANGE_SMART
+        #req.currency = CURRENCY_USD
+        #self.mainEngine.subscribe(req, 'IB')
         
-        req.symbol = 'YHOO'
+        #req.symbol = 'AAPL'
-        self.mainEngine.subscribe(req, 'IB')
+        #self.mainEngine.subscribe(req, 'IB')
         
-        req.symbol = 'MSFT'
+        #req.symbol = 'YHOO'
-        self.mainEngine.subscribe(req, 'IB')
+        #self.mainEngine.subscribe(req, 'IB')
         
-        req.symbol = 'GE'
+        #req.symbol = 'MSFT'
-        self.mainEngine.subscribe(req, 'IB')        
+        #self.mainEngine.subscribe(req, 'IB')
+        
+
+        #req.symbol = 'GE'
+        #self.mainEngine.subscribe(req, 'IB')        
         
     # ----------------------------------------------------------------------
     def openAbout(self):
         """打开关于"""
         try:
-            self.aboutW.show()
+            self.widgetDict['aboutW'].show()
-        except AttributeError:
+        except KeyError:
-            self.aboutW = AboutWidget(self)
+            self.widgetDict['aboutW'] = AboutWidget(self)
-            self.aboutW.show()
+            self.widgetDict['aboutW'].show()
     
     # ----------------------------------------------------------------------
     def openContract(self):
         """打开合约查询"""
         try:
-            self.contractM.show()
-        except AttributeError:
-            self.contractM = ContractMonitor(self.mainEngine.dataEngine)
-            self.contractM.show()
 
+            self.widgetDict['contractM'].show()
+        except KeyError:
+            self.widgetDict['contractM'] = ContractMonitor(self.mainEngine.dataEngine)
+            self.widgetDict['contractM'].show()
 
     # ----------------------------------------------------------------------
     def openCta(self):
         """打开CTA组件"""
         try:
-            self.ctaM.show()
+            self.widgetDict['ctaM'].show()
-        except AttributeError:
+        except KeyError:
-            self.ctaM = CtaEngineManager(self.mainEngine.ctaEngine, self.eventEngine)
+            self.widgetDict['ctaM'] = CtaEngineManager(self.mainEngine.ctaEngine, self.eventEngine)
-            self.ctaM.show()
+            self.widgetDict['ctaM'].show()
-
     
     # ----------------------------------------------------------------------
     def closeEvent(self, event):
@@ -257,6 +276,8 @@ class MainWindow(QtGui.QMainWindow):
                                            QtGui.QMessageBox.No, QtGui.QMessageBox.No)
 
         if reply == QtGui.QMessageBox.Yes: 
+            for widget in self.widgetDict.values():
+                widget.close()
             self.mainEngine.exit()
             event.accept()
         else:

vn.trader/vtConstant.py

@@ -49,18 +49,20 @@ OPTION_CALL = u'看涨期权'
 OPTION_PUT = u'看跌期权'
 
 # 交易所类型
-EXCHANGE_SSE = u'SSE'       # 上交所
+
-EXCHANGE_SZSE = u'SZSE'     # 深交所
+EXCHANGE_SSE = 'SSE'       # 上交所
-EXCHANGE_CFFEX = u'CFFEX'   # 中金所
+EXCHANGE_SZSE = 'SZSE'     # 深交所
-EXCHANGE_SHFE = u'SHFE'     # 上期所
+EXCHANGE_CFFEX = 'CFFEX'   # 中金所
-EXCHANGE_CZCE = u'CZCE'     # 郑商所
+EXCHANGE_SHFE = 'SHFE'     # 上期所
-EXCHANGE_DCE = u'DCE'       # 大商所
+EXCHANGE_CZCE = 'CZCE'     # 郑商所
+EXCHANGE_DCE = 'DCE'       # 大商所
+
 EXCHANGE_UNKNOWN = 'UNKNOWN'# 未知交易所
 EXCHANGE_NONE = ''          # 空交易所
 
-EXCHANGE_SMART = u'SMART'       # IB智能路由（股票、期权）
+EXCHANGE_SMART = 'SMART'       # IB智能路由（股票、期权）
-EXCHANGE_GLOBEX = u'GLOBEX'     # CME电子交易平台
+EXCHANGE_GLOBEX = 'GLOBEX'     # CME电子交易平台
-EXCHANGE_IDEALPRO = u'IDEALPRO' # IB外汇ECN
+EXCHANGE_IDEALPRO = 'IDEALPRO' # IB外汇ECN
 
 # 货币类型
 CURRENCY_USD = 'USD'            # 美元

vn.trader/vtEngine.py

@@ -7,10 +7,6 @@ from pymongo import MongoClient
 from pymongo.errors import ConnectionFailure
 
 from eventEngine import *
-from ctpGateway import CtpGateway
-from ltsGateway import LtsGateway
-#from windGateway import WindGateway
-from ibGateway import IbGateway
 from vtGateway import *
 import uiBasicWidget
 from ctaEngine import CtaEngine
@@ -35,22 +31,44 @@ class MainEngine(object):
         self.gatewayDict = OrderedDict()
         
         # 创建我们想要接入的接口对象
-        self.addGateway(CtpGateway, 'CTP')
-        self.gatewayDict['CTP'].setQryEnabled(True)
 
-        self.addGateway(CtpGateway, 'CTP_Prod')
+        try:
-        self.gatewayDict['CTP_Prod'].setQryEnabled(True)
+            from ctpGateway import CtpGateway
 
-        self.addGateway(CtpGateway, 'CTP_Post')
+            self.addGateway(CtpGateway, 'CTP')
-        self.gatewayDict['CTP_Post'].setQryEnabled(True)
+            self.gatewayDict['CTP'].setQryEnabled(True)
 
-        self.addGateway(CtpGateway, 'CTP_Test')
+            self.addGateway(CtpGateway, 'CTP_Prod')
-        self.gatewayDict['CTP_Test'].setQryEnabled(True)
+            self.gatewayDict['CTP_Prod'].setQryEnabled(True)
 
-        self.addGateway(LtsGateway, 'LTS')
+            self.addGateway(CtpGateway, 'CTP_Post')
-        self.gatewayDict['LTS'].setQryEnabled(True)
+            self.gatewayDict['CTP_Post'].setQryEnabled(True)
+
+            self.addGateway(CtpGateway, 'CTP_Test')
+            self.gatewayDict['CTP_Test'].setQryEnabled(True)
+        except Exception, e:
+            print e
+
+        try:
+            from ltsGateway import LtsGateway
+            self.addGateway(LtsGateway, 'LTS')
+            self.gatewayDict['LTS'].setQryEnabled(True)
+        except Exception, e:
+            print e
+        
+
+        try:
+            from windGateway import WindGateway
+            self.addGateway(WindGateway, 'Wind') 
+        except Exception, e:
+            print e
+        
+        try:
+            from ibGateway import IbGateway
+            self.addGateway(IbGateway, 'IB')
+        except Exception, e:
+            print e
         
-        #self.addGateway(WindGateway, 'Wind')    # 没有Wind的请注释掉这一行
 
         # MongoDB数据库相关
         self.dbClient = None    # MongoDB客户端对象

vn.trader/vtGateway.py

@@ -33,11 +33,16 @@ class VtGateway(object):
     # ----------------------------------------------------------------------
     def onTrade(self, trade):
         """成交信息推送"""
-        # 因为成交通常都是事后才会知道成交编号，因此只需要推送通用事件
+        # 通用事件
         event1 = Event(type_=EVENT_TRADE)
         event1.dict_['data'] = trade
         self.eventEngine.put(event1)
         
+        # 特定合约的成交事件
+        event2 = Event(type_=EVENT_TRADE+trade.vtSymbol)
+        event2.dict_['data'] = trade
+        self.eventEngine.put(event2)        
+    
     # ----------------------------------------------------------------------
     def onOrder(self, order):
         """订单变化推送"""
@@ -60,7 +65,7 @@ class VtGateway(object):
         self.eventEngine.put(event1)
         
         # 特定合约代码的事件
-        event2 = Event(type_=EVENT_POSITION+position.vtPositionName)
+        event2 = Event(type_=EVENT_POSITION+position.vtSymbol)
         event2.dict_['data'] = position
         self.eventEngine.put(event2)
     
@@ -287,6 +292,9 @@ class VtPositionData(VtBaseData):
         self.price = EMPTY_FLOAT                # 持仓均价
         self.vtPositionName = EMPTY_STRING      # 持仓在vt系统中的唯一代码，通常是vtSymbol.方向
         
+        # 20151020添加
+        self.ydPosition = EMPTY_INT             # 昨持仓
+
 
 ########################################################################
 class VtAccountData(VtBaseData):
@@ -363,7 +371,7 @@ class VtContractData(VtBaseData):
 
 
 ########################################################################
-class VtSubscribeReq:
+class VtSubscribeReq(object):
     """订阅行情时传入的对象类"""
 
     # ----------------------------------------------------------------------
@@ -381,7 +389,7 @@ class VtSubscribeReq:
 
 
 ########################################################################
-class VtOrderReq:
+class VtOrderReq(object):
     """发单时传入的对象类"""
 
     # ----------------------------------------------------------------------
@@ -405,7 +413,7 @@ class VtOrderReq:
 
 
 ########################################################################
-class VtCancelOrderReq:
+class VtCancelOrderReq(object):
     """撤单时传入的对象类"""
 
     # ----------------------------------------------------------------------

vn.trader/windGateway.py

@@ -3,7 +3,8 @@
 '''
 Wind Python API的gateway接入
 '''
-from threading import Thread
+
+from copy import copy
 
 try:
     from WindPy import w
@@ -166,7 +167,8 @@ class WindGateway(VtGateway):
             value = values[n][0]
             d[key] = value
         
-        self.onTick(tick)
+        newtick = copy(tick)
+        self.onTick(newtick)
     
     # ----------------------------------------------------------------------
     def wConnect(self, event):