From 766fe6f266f9b0a15e47d14e28c1484824322012 Mon Sep 17 00:00:00 2001 From: msincenselee Date: Wed, 10 Oct 2018 18:35:13 +0800 Subject: [PATCH] =?UTF-8?q?=E6=9B=B4=E6=96=B0=E5=A4=9C=E7=9B=98=E6=97=A5?= =?UTF-8?q?=E6=9C=9F=E9=94=99=E8=AF=AF=E9=97=AE=E9=A2=98?= MIME-Version: 1.0 Content-Type: text/plain; charset=UTF-8 Content-Transfer-Encoding: 8bit --- vnpy/trader/gateway/ctpGateway/ctpGateway.py | 68 ++++++++++++-------- 1 file changed, 40 insertions(+), 28 deletions(-) diff --git a/vnpy/trader/gateway/ctpGateway/ctpGateway.py b/vnpy/trader/gateway/ctpGateway/ctpGateway.py index 15731757..f5a74651 100644 --- a/vnpy/trader/gateway/ctpGateway/ctpGateway.py +++ b/vnpy/trader/gateway/ctpGateway/ctpGateway.py @@ -49,6 +49,7 @@ exchangeMap[EXCHANGE_SHFE] = 'SHFE' exchangeMap[EXCHANGE_CZCE] = 'CZCE' exchangeMap[EXCHANGE_DCE] = 'DCE' exchangeMap[EXCHANGE_SSE] = 'SSE' +exchangeMap[EXCHANGE_SZSE] = 'SZSE' exchangeMap[EXCHANGE_INE] = 'INE' exchangeMap[EXCHANGE_UNKNOWN] = '' exchangeMapReverse = {v:k for k,v in exchangeMap.items()} @@ -66,6 +67,8 @@ productClassMap[PRODUCT_FUTURES] = defineDict["THOST_FTDC_PC_Futures"] productClassMap[PRODUCT_OPTION] = defineDict["THOST_FTDC_PC_Options"] productClassMap[PRODUCT_COMBINATION] = defineDict["THOST_FTDC_PC_Combination"] productClassMapReverse = {v:k for k,v in productClassMap.items()} +productClassMapReverse[defineDict["THOST_FTDC_PC_ETFOption"]] = PRODUCT_OPTION +productClassMapReverse[defineDict["THOST_FTDC_PC_Stock"]] = PRODUCT_EQUITY # 委托状态映射 statusMap = {} @@ -75,6 +78,12 @@ statusMap[STATUS_NOTTRADED] = defineDict["THOST_FTDC_OST_NoTradeQueueing"] statusMap[STATUS_CANCELLED] = defineDict["THOST_FTDC_OST_Canceled"] statusMapReverse = {v:k for k,v in statusMap.items()} +# 全局字典, key:symbol, value:exchange +symbolExchangeDict = {} + +# 夜盘交易时间段分隔判断 +NIGHT_TRADING = datetime(1900, 1, 1, 20).time() + ######################################################################## class CtpGateway(VtGateway): @@ -407,37 +416,40 @@ class CtpMdApi(MdApi): #tick.time = '.'.join([data['UpdateTime'], str(data['UpdateMillisec']/100)]) # =》 Python 3 tick.time = '.'.join([data['UpdateTime'], str(data['UpdateMillisec'])]) - # 上期所和郑商所可以直接使用，大商所需要转换 - tick.date = data['ActionDay'] - # 大商所日期转换 - if tick.exchange is EXCHANGE_DCE: - tick.date = datetime.now().strftime('%Y%m%d') - #tick.date = data['TradingDay'] + # 取当前时间 + dt = datetime.now() - # add by Incense Lee - tick.tradingDay = data['TradingDay'] - if len(tick.tradingDay) == 8: - tradingDay = tick.tradingDay - tick.tradingDay = "{}-{}-{}".format(tradingDay[:4], tradingDay[4:6], tradingDay[6:]) - # 先根据交易日期，生成时间 - tick.datetime = datetime.strptime(tick.date + ' ' + tick.time, '%Y%m%d %H:%M:%S.%f') - # 修正时间 + # 不处理开盘前的tick数据 + if dt.hour in [8,20] and dt.minute < 59: + return + if tick.exchange is EXCHANGE_CFFEX and dt.hour ==9 and dt.minute < 14: + return + + # 日期，取系统时间的日期 + tick.date = dt.strftime('%Y-%m-%d') + # 生成dateteime + tick.datetime = datetime.strptime(tick.date + ' ' + tick.time, '%Y-%m-%d %H:%M:%S.%f') + # 生成TradingDay + + # 正常日盘时间 + tick.tradingDay = tick.date + + # 修正夜盘的tradingDay if tick.datetime.hour >= 20: - if tick.datetime.isoweekday() == 1: - # 交易日是星期一，实际时间应该是星期五 - tick.datetime = tick.datetime - timedelta(days=3) - tick.date = tick.datetime.strftime('%Y-%m-%d') - else: - # 第二天 - tick.datetime = tick.datetime - timedelta(days=1) - tick.date = tick.datetime.strftime('%Y-%m-%d') - elif tick.datetime.hour < 8 and tick.datetime.isoweekday() == 1: - # 如果交易日是星期一，并且时间是早上8点前 => 星期六 - tick.datetime = tick.datetime + timedelta(days=2) - tick.date = tick.datetime.strftime('%Y-%m-%d') - - tick.date = tick.datetime.strftime('%Y-%m-%d') + # 周一~周四晚上20点之后的tick，交易日属于第二天 + if tick.datetime.isoweekday() in [1,2,3,4]: + trading_day = tick.datetime + timedelta(days=1) + tick.tradingDay = trading_day.strftime('%Y-%m-%d') + # 周五晚上20点之后的tick，交易日属于下周一 + elif tick.datetime.isoweekday() == 5: + trading_day = tick.datetime + timedelta(days=3) + tick.tradingDay = trading_day.strftime('%Y-%m-%d') + elif tick.datetime.hour < 3: + # 周六凌晨的tick，交易日属于下周一 + if tick.datetime.isoweekday() == 6: + trading_day = tick.datetime + timedelta(days=2) + tick.tradingDay = trading_day.strftime('%Y-%m-%d') tick.openPrice = data['OpenPrice'] tick.highPrice = data['HighestPrice']