更新vn.trader的sgitGateway到4.2

vn.sgit/vnsgitmd/Visual Studio 2013/settings/Windows Azure Subscriptions.xml

@@ -1,5 +1,5 @@
 <?xml version="1.0"?>
 <SubscriptionDataContainer xmlns:xsi="http://www.w3.org/2001/XMLSchema-instance" xmlns:xsd="http://www.w3.org/2001/XMLSchema" xmlns="urn:Microsoft.VisualStudio.WindowsAzure.CommonAzureTools.Authentication.CacheManagement">
   <Items />
-  <TokenCache>AQAAANCMnd8BFdERjHoAwE/Cl+sBAAAAyRIhRmRN8UK7w5RuPHePCQAAAAACAAAAAAAQZgAAAAEAACAAAABFO31YXsl8WF8pKTWr5xBDKD0AZb+tPSx33O4FZl8hZQAAAAAOgAAAAAIAACAAAABt/+k5eJ9O9v/YxziNgRFdHc+/L9n2kcV3asrYOuZNERAAAAB5G3vScnxx5Ec2YGSdSe2FQAAAADXYvHo0Ax/45HaG4TeEwCh2AkfBjXfb1wavNGJj6w1vk5IWO+9HBNQlZjaywxQhWWgj/dcZNbcRqAtcxuQ797w=</TokenCache>
+  <TokenCache>AQAAANCMnd8BFdERjHoAwE/Cl+sBAAAAyRIhRmRN8UK7w5RuPHePCQAAAAACAAAAAAAQZgAAAAEAACAAAAA4BSxVDbH++UX3oThosNMT9yqFPcmotQ8ff79/mW7J3wAAAAAOgAAAAAIAACAAAAATGyEmER6rC9FMAm6aNGZSGgioEhEiMnqKhfDYCJt/FBAAAAAC/PuVYn12KtocN5oar+s7QAAAABP1BfhQWso4PMIJ/oVXcJ7+/vYSbxXdLs+scw7bC0DVt2dJj1hb37eUaWma4A0gA3PC5j8jOZmDBmLFVIjTuHc=</TokenCache>
 </SubscriptionDataContainer>

vn.sgit/vnsgittd/Visual Studio 2013/settings/Windows Azure Subscriptions.xml

@@ -1,5 +1,5 @@
 <?xml version="1.0"?>
 <SubscriptionDataContainer xmlns:xsi="http://www.w3.org/2001/XMLSchema-instance" xmlns:xsd="http://www.w3.org/2001/XMLSchema" xmlns="urn:Microsoft.VisualStudio.WindowsAzure.CommonAzureTools.Authentication.CacheManagement">
   <Items />
-  <TokenCache>AQAAANCMnd8BFdERjHoAwE/Cl+sBAAAAyRIhRmRN8UK7w5RuPHePCQAAAAACAAAAAAAQZgAAAAEAACAAAACi9LGH0YLpPwJNmH+FKrR3DSUZTQ1NweW6EvxztVGBeQAAAAAOgAAAAAIAACAAAAAI4Wa/3s0nKSnzhjFD9Sbut7wMNFG75JaNp3DIbdID3BAAAADLMR9q2kIT7ExPj7/M6gXAQAAAAIjuMzUOlck2ayVs/fPECO0POw61Fb9cD/M19aJOyU3kiYaNn6NA5fvopGypoPCaw53oNs3qtDFcqSJWncdjyxo=</TokenCache>
+  <TokenCache>AQAAANCMnd8BFdERjHoAwE/Cl+sBAAAAyRIhRmRN8UK7w5RuPHePCQAAAAACAAAAAAAQZgAAAAEAACAAAACBGRHYDE/IpSZctTwsV21zKG8xoT8kIl8DQ/Wj46SYVQAAAAAOgAAAAAIAACAAAAD6jJn06gG4MaqNHh13iCXJ7zvYJ0JX7YRn4uOLg4h+FhAAAAAdDGfK9dZ+LxZcoxiEf2c+QAAAAJR1JCrFXxIO19zv06+EKmeChap3+XEkMALe0JTeC2L5JdHIf3avCN4mn6Rg8orJg2Z1h6NS4YUYcv0aKyXawBg=</TokenCache>
 </SubscriptionDataContainer>

vn.trader/ctpGateway/ctpGateway.py

@@ -64,6 +64,13 @@ 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()}
 
+# 委托状态映射
+statusMap = {}
+statusMap[STATUS_ALLTRADED] = defineDict["THOST_FTDC_OST_AllTraded"]
+statusMap[STATUS_PARTTRADED] = defineDict["THOST_FTDC_OST_PartTradedQueueing"]
+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()}
 
 
 ########################################################################
@@ -88,7 +95,8 @@ class CtpGateway(VtGateway):
         """连接"""
         # 载入json文件
         fileName = self.gatewayName + '_connect.json'
-        fileName = os.getcwd() + '/ctpGateway/' + fileName
+        path = os.path.abspath(os.path.dirname(__file__))
+        fileName = os.path.join(path, fileName)
         
         try:
             f = file(fileName)
@@ -938,34 +946,15 @@ class CtpTdApi(TdApi):
         order.vtSymbol = order.symbol #'.'.join([order.symbol, order.exchange])
         
         order.orderID = data['OrderRef']
+        # CTP的报单号一致性维护需要基于frontID, sessionID, orderID三个字段
+        # 但在本接口设计中，已经考虑了CTP的OrderRef的自增性，避免重复
+        # 唯一可能出现OrderRef重复的情况是多处登录并在非常接近的时间内（几乎同时发单）
+        # 考虑到VtTrader的应用场景，认为以上情况不会构成问题
+        order.vtOrderID = '.'.join([self.gatewayName, order.orderID])        
         
-        # 方向
+        order.direction = directionMapReverse.get(data['Direction'], DIRECTION_UNKNOWN)
-        if data['Direction'] == '0':
+        order.offset = offsetMapReverse.get(data['CombOffsetFlag'], OFFSET_UNKNOWN)
-            order.direction = DIRECTION_LONG
+        order.status = statusMapReverse.get(data['OrderStatus'], STATUS_UNKNOWN)            
-        elif data['Direction'] == '1':
-            order.direction = DIRECTION_SHORT
-        else:
-            order.direction = DIRECTION_UNKNOWN
-            
-        # 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']
@@ -976,12 +965,6 @@ class CtpTdApi(TdApi):
         order.frontID = data['FrontID']
         order.sessionID = data['SessionID']
         
-        # CTP的报单号一致性维护需要基于frontID, sessionID, orderID三个字段
-        # 但在本接口设计中，已经考虑了CTP的OrderRef的自增性，避免重复
-        # 唯一可能出现OrderRef重复的情况是多处登录并在非常接近的时间内（几乎同时发单）
-        # 考虑到VtTrader的应用场景，认为以上情况不会构成问题
-        order.vtOrderID = '.'.join([self.gatewayName, order.orderID])
-        
         # 推送
         self.gateway.onOrder(order)
         
@@ -1260,7 +1243,6 @@ class CtpTdApi(TdApi):
         """"""
         pass
         
-
     #----------------------------------------------------------------------
     def connect(self, userID, password, brokerID, address):
         """初始化连接"""

vn.trader/sgitGateway/SGIT_connect.json

@@ -1,7 +1,7 @@
 {
-    "brokerID": "0017", 
+    "brokerID": "9999", 
-    "tdAddress": "tcp://140.206.81.6:17776", 
+    "tdAddress": "tcp://180.168.146.187:10000", 
-    "password": "请联系招金投资申请", 
+    "password": "simnow申请", 
-    "mdAddress": "tcp://140.206.81.6:17777", 
+    "mdAddress": "tcp://180.168.212.228:41213", 
-    "userID": "请联系招金投资申请"
+    "userID": "simnow申请"
 }

vn.trader/sgitGateway/sgitGateway_4.1/SGIT_connect.json

@@ -0,0 +1,7 @@
+{
+    "brokerID": "0017", 
+    "tdAddress": "tcp://140.206.81.6:17776", 
+    "password": "请联系招金投资申请", 
+    "mdAddress": "tcp://140.206.81.6:17777", 
+    "userID": "请联系招金投资申请"
+}

vn.trader/sgitGateway/sgitGateway_4.1/sgitGateway.py

@@ -0,0 +1,936 @@
+# encoding: UTF-8
+
+'''
+vn.sgit的gateway接入
+
+飞鼠接口的委托数据更新是分散在多个推送里的：
+1. 下单后，通过onRtnOrder通知是否成功，没有ErrorID说明委托到了交易所
+2. 后续的成交状态，通过onRtnTrade通知，用户自行累加
+3. 撤单的确认，通过onRspOrderAction通知
+
+为了获取实时的委托状态，需要用户自行把这三个数据合并起来，
+因此在TdApi中维护了一个委托数据的缓存字典，对vn.trader系统中推送的是本地委托号，
+在Gateway中和委托系统号对应起来
+
+飞鼠的撤单需要使用：交易所代码+交易所的系统委托号，撤单时从缓存中
+获取委托的系统编号
+'''
+
+
+import os
+import json
+
+from vnsgitmd import MdApi
+from vnsgittd import TdApi
+from sgitDataType import *
+from vtGateway import *
+
+# 以下为一些VT类型和SGIT类型的映射字典
+# 价格类型映射
+priceTypeMap = {}
+priceTypeMap[PRICETYPE_LIMITPRICE] = defineDict["Sgit_FTDC_OPT_LimitPrice"]
+priceTypeMap[PRICETYPE_MARKETPRICE] = defineDict["Sgit_FTDC_OPT_AnyPrice"]
+priceTypeMapReverse = {v: k for k, v in priceTypeMap.items()} 
+
+# 方向类型映射
+directionMap = {}
+directionMap[DIRECTION_LONG] = defineDict['Sgit_FTDC_D_Buy']
+directionMap[DIRECTION_SHORT] = defineDict['Sgit_FTDC_D_Sell']
+directionMapReverse = {v: k for k, v in directionMap.items()}
+
+# 开平类型映射
+offsetMap = {}
+offsetMap[OFFSET_OPEN] = defineDict['Sgit_FTDC_OF_Open']
+offsetMap[OFFSET_CLOSE] = defineDict['Sgit_FTDC_OF_Close']
+offsetMap[OFFSET_CLOSETODAY] = defineDict['Sgit_FTDC_OF_CloseToday']
+offsetMap[OFFSET_CLOSEYESTERDAY] = defineDict['Sgit_FTDC_OF_CloseYesterday']
+offsetMapReverse = {v:k for k,v in offsetMap.items()}
+
+# 交易所类型映射
+exchangeMap = {}
+exchangeMap[EXCHANGE_CFFEX] = defineDict['Sgit_FTDC_EIDT_CFFEX']
+exchangeMap[EXCHANGE_SHFE] = defineDict['Sgit_FTDC_EIDT_SHFE']
+exchangeMap[EXCHANGE_CZCE] = defineDict['Sgit_FTDC_EIDT_CZCE']
+exchangeMap[EXCHANGE_DCE] = defineDict['Sgit_FTDC_EIDT_DCE']
+exchangeMap[EXCHANGE_SGE] = defineDict['Sgit_FTDC_EIDT_GOLD']
+exchangeMap[EXCHANGE_UNKNOWN] = ''
+exchangeMapReverse = {v:k for k,v in exchangeMap.items()}
+
+# 持仓类型映射
+posiDirectionMap = {}
+posiDirectionMap[DIRECTION_NET] = defineDict["Sgit_FTDC_PD_Net"]
+posiDirectionMap[DIRECTION_LONG] = defineDict["Sgit_FTDC_PD_Long"]
+posiDirectionMap[DIRECTION_SHORT] = defineDict["Sgit_FTDC_PD_Short"]
+posiDirectionMapReverse = {v:k for k,v in posiDirectionMap.items()}
+
+# 委托状态类型映射
+orderStatusMap = {}
+orderStatusMap[STATUS_ALLTRADED] = defineDict["Sgit_FTDC_OST_AllTraded"]
+orderStatusMap[STATUS_PARTTRADED] = defineDict["Sgit_FTDC_OST_PartTradedQueueing"]
+orderStatusMap[STATUS_NOTTRADED] = defineDict["Sgit_FTDC_OST_NoTradeQueueing"]
+orderStatusMap[STATUS_CANCELLED] = defineDict["Sgit_FTDC_OST_Canceled"]
+orderStatusMapReverse = {v:k for k,v in orderStatusMap.items()}
+
+
+########################################################################
+class SgitGateway(VtGateway):
+    """SGIT接口"""
+
+    #----------------------------------------------------------------------
+    def __init__(self, eventEngine, gatewayName='SGIT'):
+        """Constructor"""
+        super(SgitGateway, self).__init__(eventEngine, gatewayName)
+        
+        self.mdApi = SgitMdApi(self)     # 行情API
+        self.tdApi = SgitTdApi(self)     # 交易API
+        
+        self.mdConnected = False        # 行情API连接状态，登录完成后为True
+        self.tdConnected = False        # 交易API连接状态
+        
+        self.qryEnabled = False         # 是否要启动循环查询
+        
+    #----------------------------------------------------------------------
+    def connect(self):
+        """连接"""
+        # 载入json文件
+        fileName = self.gatewayName + '_connect.json'
+        path = os.path.abspath(os.path.dirname(__file__))
+        fileName = os.path.join(path, fileName)
+        
+        try:
+            f = file(fileName)
+        except IOError:
+            log = VtLogData()
+            log.gatewayName = self.gatewayName
+            log.logContent = u'读取连接配置出错，请检查'
+            self.onLog(log)
+            return
+        
+        # 解析json文件
+        setting = json.load(f)
+        try:
+            userID = str(setting['userID'])
+            password = str(setting['password'])
+            brokerID = str(setting['brokerID'])
+            tdAddress = str(setting['tdAddress'])
+            mdAddress = str(setting['mdAddress'])
+        except KeyError:
+            log = VtLogData()
+            log.gatewayName = self.gatewayName
+            log.logContent = u'连接配置缺少字段，请检查'
+            self.onLog(log)
+            return            
+        
+        # 创建行情和交易接口对象
+        self.mdApi.connect(userID, password, brokerID, mdAddress)
+        self.tdApi.connect(userID, password, brokerID, tdAddress)
+        
+        # 初始化并启动查询
+        self.initQuery()
+    
+    #----------------------------------------------------------------------
+    def subscribe(self, subscribeReq):
+        """订阅行情"""
+        self.mdApi.subscribe(subscribeReq)
+        
+    #----------------------------------------------------------------------
+    def sendOrder(self, orderReq):
+        """发单"""
+        return self.tdApi.sendOrder(orderReq)
+        
+    #----------------------------------------------------------------------
+    def cancelOrder(self, cancelOrderReq):
+        """撤单"""
+        self.tdApi.cancelOrder(cancelOrderReq)
+        
+    #----------------------------------------------------------------------
+    def qryAccount(self):
+        """查询账户资金"""
+        self.tdApi.qryAccount()
+        
+    #----------------------------------------------------------------------
+    def qryPosition(self):
+        """查询持仓"""
+        self.tdApi.qryPosition()
+        
+    #----------------------------------------------------------------------
+    def close(self):
+        """关闭"""
+        if self.mdConnected:
+            self.mdApi.close()
+        if self.tdConnected:
+            self.tdApi.close()
+        
+    #----------------------------------------------------------------------
+    def initQuery(self):
+        """初始化连续查询"""
+        if self.qryEnabled:
+            # 需要循环的查询函数列表
+            # 飞鼠柜台的资金是主动推送的，因此无需查询
+            self.qryFunctionList = [self.qryPosition]
+            
+            self.qryCount = 0           # 查询触发倒计时
+            self.qryTrigger = 2         # 查询触发点
+            self.qryNextFunction = 0    # 上次运行的查询函数索引
+            
+            self.startQuery()
+    
+    #----------------------------------------------------------------------
+    def query(self, event):
+        """注册到事件处理引擎上的查询函数"""
+        self.qryCount += 1
+        
+        if self.qryCount > self.qryTrigger:
+            # 清空倒计时
+            self.qryCount = 0
+            
+            # 执行查询函数
+            function = self.qryFunctionList[self.qryNextFunction]
+            function()
+            
+            # 计算下次查询函数的索引，如果超过了列表长度，则重新设为0
+            self.qryNextFunction += 1
+            if self.qryNextFunction == len(self.qryFunctionList):
+                self.qryNextFunction = 0
+    
+    #----------------------------------------------------------------------
+    def startQuery(self):
+        """启动连续查询"""
+        self.eventEngine.register(EVENT_TIMER, self.query)
+    
+    #----------------------------------------------------------------------
+    def setQryEnabled(self, qryEnabled):
+        """设置是否要启动循环查询"""
+        self.qryEnabled = qryEnabled
+    
+
+
+########################################################################
+class SgitMdApi(MdApi):
+    """SGIT行情API实现"""
+
+    #----------------------------------------------------------------------
+    def __init__(self, gateway):
+        """Constructor"""
+        super(SgitMdApi, self).__init__()
+        
+        self.gateway = gateway                  # gateway对象
+        self.gatewayName = gateway.gatewayName  # gateway对象名称
+        
+        self.reqID = EMPTY_INT              # 操作请求编号
+        
+        self.connectionStatus = False       # 连接状态
+        self.loginStatus = False            # 登录状态
+        
+        self.subscribedSymbols = set()      # 已订阅合约代码        
+        
+        self.userID = EMPTY_STRING          # 账号
+        self.password = EMPTY_STRING        # 密码
+        self.brokerID = EMPTY_STRING        # 经纪商代码
+        self.address = EMPTY_STRING         # 服务器地址
+        
+    #----------------------------------------------------------------------
+    def connect(self, userID, password, brokerID, address):
+        """初始化连接"""
+        self.userID = userID                # 账号
+        self.password = password            # 密码
+        self.brokerID = brokerID            # 经纪商代码
+        self.address = address              # 服务器地址
+        
+        # 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.createFtdcMdApi(path)
+            
+            # 订阅数据流
+            self.subscribeMarketTopic(0)             
+            
+            # 注册服务器地址
+            self.registerFront(self.address)
+            
+            # 初始化连接，成功会调用onFrontConnected
+            self.init(False)
+            
+        # 若已经连接但尚未登录，则进行登录
+        else:
+            if not self.loginStatus:
+                self.login()
+        
+    #----------------------------------------------------------------------
+    def subscribe(self, subscribeReq):
+        """订阅合约"""
+        # 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
+        if self.loginStatus:
+            self.subQuot({'ContractID': str(subscribeReq.symbol)})
+        self.subscribedSymbols.add(subscribeReq)   
+        
+    #----------------------------------------------------------------------
+    def login(self):
+        """登录"""
+        # 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 close(self):
+        """关闭"""
+        self.exit()
+
+    #----------------------------------------------------------------------
+    def onFrontConnected(self):
+        """服务器连接"""
+        self.connectionStatus = True
+    
+        log = VtLogData()
+        log.gatewayName = self.gatewayName
+        log.logContent = u'行情服务器连接成功'
+        self.gateway.onLog(log)
+        self.login()
+    
+    #----------------------------------------------------------------------
+    def onFrontDisconnected(self, msg):
+        """服务器断开"""
+        self.connectionStatus = False
+        self.loginStatus = False
+        self.gateway.mdConnected = False
+    
+        log = VtLogData()
+        log.gatewayName = self.gatewayName
+        log.logContent = u'行情服务器连接断开'
+        self.gateway.onLog(log)       
+    
+    #----------------------------------------------------------------------
+    def onRspUserLogin(self, data, error, i, last):
+        """登陆回报"""
+        # 如果登录成功，推送日志信息
+        if error['ErrorID'] == 0:
+            self.loginStatus = True
+            self.gateway.mdConnected = True
+            
+            log = VtLogData()
+            log.gatewayName = self.gatewayName
+            log.logContent = u'行情服务器登录完成'
+            self.gateway.onLog(log)
+            
+            # 调用ready
+            self.ready()
+            
+            # 重新订阅之前订阅的合约
+            for subscribeReq in self.subscribedSymbols:
+                self.subscribe(subscribeReq)
+                
+        # 否则，推送错误信息
+        else:
+            err = VtErrorData()
+            err.gatewayName = self.gatewayName
+            err.errorID = error['ErrorID']
+            err.errorMsg = error['ErrorMsg'].decode('gbk')
+            self.gateway.onError(err)
+    
+    #----------------------------------------------------------------------
+    def onRspUserLogout(self, data, error, i, last):
+        """登出回报"""
+        # 如果登出成功，推送日志信息
+        if error['ErrorID'] == 0:
+            self.loginStatus = False
+            self.gateway.tdConnected = False
+            
+            log = VtLogData()
+            log.gatewayName = self.gatewayName
+            log.logContent = u'交易服务器登出完成'
+            self.gateway.onLog(log)
+                
+        # 否则，推送错误信息
+        else:
+            err = VtErrorData()
+            err.gatewayName = self.gatewayName
+            err.errorID = error['ErrorID']
+            err.errorMsg = error['ErrorMsg'].decode('gbk')
+            self.gateway.onError(err)
+    
+    #----------------------------------------------------------------------
+    def onRtnDepthMarketData(self, data):
+        """行情推送"""
+        tick = VtTickData()
+        tick.gatewayName = self.gatewayName
+    
+        tick.symbol = data['InstrumentID']
+        tick.exchange = exchangeMapReverse.get(data['ExchangeID'], u'未知')
+        tick.vtSymbol = tick.symbol #'.'.join([tick.symbol, EXCHANGE_UNKNOWN])
+    
+        tick.lastPrice = data['LastPrice']
+        tick.volume = data['Volume']
+        tick.openInterest = data['OpenInterest']
+        tick.time = '.'.join([data['UpdateTime'], str(data['UpdateMillisec']/100)])
+        tick.date = data['TradingDay']
+    
+        tick.openPrice = data['OpenPrice']
+        tick.highPrice = data['HighestPrice']
+        tick.lowPrice = data['LowestPrice']
+        tick.preClosePrice = data['PreClosePrice']
+    
+        tick.upperLimit = data['UpperLimitPrice']
+        tick.lowerLimit = data['LowerLimitPrice']
+    
+        # SGIT只有一档行情
+        tick.bidPrice1 = data['BidPrice1']
+        tick.bidVolume1 = data['BidVolume1']
+        tick.askPrice1 = data['AskPrice1']
+        tick.askVolume1 = data['AskVolume1']
+
+        tick.bidPrice2 = data['BidPrice2']
+        tick.bidVolume2 = data['BidVolume2']
+        tick.askPrice2 = data['AskPrice2']
+        tick.askVolume2 = data['AskVolume2']
+
+        tick.bidPrice3 = data['BidPrice3']
+        tick.bidVolume3 = data['BidVolume3']
+        tick.askPrice3 = data['AskPrice3']
+        tick.askVolume3 = data['AskVolume3']
+
+        tick.bidPrice4 = data['BidPrice4']
+        tick.bidVolume4 = data['BidVolume4']
+        tick.askPrice4 = data['AskPrice4']
+        tick.askVolume4 = data['AskVolume4']
+
+        tick.bidPrice5 = data['BidPrice5']
+        tick.bidVolume5 = data['BidVolume5']
+        tick.askPrice5 = data['AskPrice5']
+        tick.askVolume5 = data['AskVolume5']
+    
+        self.gateway.onTick(tick)
+
+
+########################################################################
+class SgitTdApi(TdApi):
+    """SGIT交易API实现"""
+    
+    #----------------------------------------------------------------------
+    def __init__(self, gateway):
+        """API对象的初始化函数"""
+        super(SgitTdApi, self).__init__()
+        
+        self.gateway = gateway                  # gateway对象
+        self.gatewayName = gateway.gatewayName  # gateway对象名称
+        
+        self.reqID = EMPTY_INT              # 操作请求编号
+        self.orderRef = EMPTY_INT           # 订单编号
+        
+        self.connectionStatus = False       # 连接状态
+        self.loginStatus = False            # 登录状态
+        
+        self.userID = EMPTY_STRING          # 账号
+        self.password = EMPTY_STRING        # 密码
+        self.brokerID = EMPTY_STRING        # 经纪商代码
+        self.address = EMPTY_STRING         # 服务器地址
+        self.investorID = EMPTY_STRING      # 投资者代码
+        
+        self.frontID = EMPTY_INT            # 前置机编号
+        self.sessionID = EMPTY_INT          # 会话编号
+        
+        self.localID = 0                    # 本地委托代码
+        self.orderDict = {}                 # 缓存委托对象的字典
+        self.localSysDict = {}              # key为本地委托代码，value为交易所系统代码
+        self.cancelReqDict = {}             # key为本地委托代码，value为撤单请求
+       
+    #----------------------------------------------------------------------
+    def connect(self, userID, password, brokerID, address):
+        """初始化连接"""
+        self.userID = userID                # 账号
+        self.password = password            # 密码
+        self.brokerID = brokerID            # 经纪商代码
+        self.address = address              # 服务器地址
+        
+        # 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)
+            
+            # 订阅数据流
+            self.subscribePrivateTopic(0)            
+            self.subscribePublicTopic(0)
+            
+            # 注册服务器地址
+            self.registerFront(self.address)
+
+            # 初始化连接，成功会调用onFrontConnected
+            self.init(False)
+            
+        # 若已经连接但尚未登录，则进行登录
+        else:
+            if not self.loginStatus:
+                self.login()    
+    
+    #----------------------------------------------------------------------
+    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 qryAccount(self):
+        """查询账户"""
+        self.reqID += 1
+        self.reqQryTradingAccount({}, self.reqID)
+        
+    #----------------------------------------------------------------------
+    def qryPosition(self):
+        """查询持仓"""
+        self.reqID += 1
+        req = {}
+        req['BrokerID'] = self.brokerID
+        req['InvestorID'] = self.userID
+        self.reqQryInvestorPosition(req, self.reqID)
+        
+    #----------------------------------------------------------------------
+    def sendOrder(self, orderReq):
+        """发单"""
+        self.reqID += 1
+        self.localID += 1
+        strID = str(self.localID).rjust(12, '0')
+        
+        req = {}
+        
+        req['InstrumentID'] = orderReq.symbol
+        req['LimitPrice'] = orderReq.price
+        req['VolumeTotalOriginal'] = orderReq.volume
+        
+        # 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:
+            req['OrderPriceType'] = priceTypeMap[orderReq.priceType]
+            req['Direction'] = directionMap[orderReq.direction]
+            req['CombOffsetFlag'] = offsetMap[orderReq.offset]
+        except KeyError:
+            return ''
+            
+        req['OrderRef'] = strID
+        req['InvestorID'] = self.investorID
+        req['UserID'] = self.userID
+        req['BrokerID'] = self.brokerID
+        
+        req['CombHedgeFlag'] = defineDict['Sgit_FTDC_HF_Speculation']       # 投机单
+        req['ContingentCondition'] = defineDict['Sgit_FTDC_CC_Immediately'] # 立即发单
+        req['ForceCloseReason'] = defineDict['Sgit_FTDC_FCC_NotForceClose'] # 非强平
+        req['IsAutoSuspend'] = 0                                             # 非自动挂起
+        req['TimeCondition'] = defineDict['Sgit_FTDC_TC_GFD']               # 今日有效
+        req['VolumeCondition'] = defineDict['Sgit_FTDC_VC_AV']              # 任意成交量
+        req['MinVolume'] = 1                                                 # 最小成交量为1
+        
+        self.reqOrderInsert(req, self.reqID)
+        
+        # 返回订单号（字符串），便于某些算法进行动态管理
+        vtOrderID = '.'.join([self.gatewayName, strID])
+        return vtOrderID
+    
+    #----------------------------------------------------------------------
+    def cancelOrder(self, cancelOrderReq):
+        """撤单"""
+        # 如果OrderSysID的数据尚未返回，则把撤单请求缓存下来后直接返回
+        # 若已经返回，则获取strID对应的OrderSysID，并撤单
+        strID = cancelOrderReq.orderID
+        
+        if strID not in self.localSysDict:
+            self.cancelReqDict[strID] = cancelOrderReq
+            return
+        
+        sysID = self.localSysDict[strID]
+        
+        self.reqID += 1
+
+        req = {}
+        req['InstrumentID'] = cancelOrderReq.symbol
+        req['ExchangeID'] = exchangeMap[cancelOrderReq.exchange]
+        req['OrderSysID'] = sysID
+        req['ActionFlag'] = defineDict['Sgit_FTDC_AF_Delete']
+        req['BrokerID'] = self.brokerID
+        req['InvestorID'] = self.userID
+        req['UserID'] = self.userID
+        
+        self.reqOrderAction(req, self.reqID)
+        
+    #----------------------------------------------------------------------
+    def close(self):
+        """关闭"""
+        self.exit()
+        
+    #----------------------------------------------------------------------
+    def onFrontConnected(self):
+        """服务器连接"""
+        self.connectionStatus = True
+    
+        log = VtLogData()
+        log.gatewayName = self.gatewayName
+        log.logContent = u'交易服务器连接成功'
+        self.gateway.onLog(log)
+        self.login()
+        
+    #----------------------------------------------------------------------
+    def onFrontDisconnected(self, msg):
+        """服务器断开"""
+        self.connectionStatus = False
+        self.loginStatus = False
+        self.gateway.mdConnected = False
+    
+        log = VtLogData()
+        log.gatewayName = self.gatewayName
+        log.logContent = u'交易服务器连接断开'
+        self.gateway.onLog(log)   
+        
+    #----------------------------------------------------------------------
+    def onRspUserLogin(self, data, error, n, last):
+        '''登陆回报'''
+        # 如果登录成功，推送日志信息
+        if error['ErrorID'] == 0:
+            self.loginStatus = True
+            self.gateway.mdConnected = True
+            
+            log = VtLogData()
+            log.gatewayName = self.gatewayName
+            log.logContent = u'交易服务器登录完成'
+            self.gateway.onLog(log)
+            
+            # 调用ready
+            self.ready()
+            
+            # 查询投资者代码
+            self.reqID += 1
+            self.reqQryInvestor({}, self.reqID)                
+            
+        # 否则，推送错误信息
+        else:
+            err = VtErrorData()
+            err.gatewayName = self.gatewayName
+            err.errorID = error['ErrorID']
+            err.errorMsg = error['ErrorMsg'].decode('gbk')
+            self.gateway.onError(err)
+        
+    #----------------------------------------------------------------------
+    def onRspUserLogout(self, data, error, n, last):
+        """登出回报"""
+        # 如果登出成功，推送日志信息
+        if error['ErrorID'] == 0:
+            self.loginStatus = False
+            self.gateway.tdConnected = False
+            
+            log = VtLogData()
+            log.gatewayName = self.gatewayName
+            log.logContent = u'交易服务器登出完成'
+            self.gateway.onLog(log)
+                
+        # 否则，推送错误信息
+        else:
+            err = VtErrorData()
+            err.gatewayName = self.gatewayName
+            err.errorID = error['ErrorID']
+            err.errorMsg = error['ErrorMsg'].decode('gbk')
+            self.gateway.onError(err)
+        
+    #----------------------------------------------------------------------
+    def onRspUserPasswordUpdate(self, data, error, n, last):
+        """"""
+        pass
+        
+    #----------------------------------------------------------------------
+    def onRspOrderInsert(self, data, error, n, last):
+        """发单错误（柜台）"""
+        if error['ErrorID'] != 0:
+            err = VtErrorData()
+            err.gatewayName = self.gatewayName
+            err.errorID = error['ErrorID']
+            err.errorMsg = error['ErrorMsg'].decode('gbk')
+            self.gateway.onError(err)
+        
+    #----------------------------------------------------------------------
+    def onRspOrderAction(self, data, error, n, last):
+        """撤单错误（柜台）"""
+        # 获取委托对象
+        sysID = data['OrderSysID']
+        strID = data['OrderRef']
+        
+        if sysID in self.orderDict:
+            order = self.orderDict[sysID]
+        else:
+            self.localSysDict[strID] = sysID
+            
+            order = VtOrderData()
+            self.orderDict[sysID] = order
+            
+            order.gatewayName = self.gatewayName
+            order.orderID = strID
+            order.vtOrderID = '.'.join([self.gatewayName, order.orderID])
+        
+        # 推送错误信息
+        if error['ErrorID'] != 0:
+            err = VtErrorData()
+            err.gatewayName = self.gatewayName
+            err.errorID = error['ErrorID']
+            err.errorMsg = error['ErrorMsg'].decode('gbk')
+            self.gateway.onError(err)
+        else:
+            order.status = STATUS_CANCELLED
+            
+        self.gateway.onOrder(order)
+        
+    #----------------------------------------------------------------------
+    def onRspQryOrder(self, data, error, n, last):
+        """"""
+        pass
+    
+    #----------------------------------------------------------------------
+    def onRspQryTradingAccount(self, data, error, n, last):
+        """资金账户查询回报"""
+        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['CloseProfit'] + data['PositionProfit'] + data['CashIn'] -
+                           data['Commission'])
+    
+        # 推送
+        self.gateway.onAccount(account)
+        
+    #----------------------------------------------------------------------
+    def onRspQryInvestor(self, data, error, n, last):
+        """"""
+        self.investorID = data['InvestorID']
+        
+        if last:
+            log = VtLogData()
+            log.gatewayName = self.gatewayName
+            log.logContent = u'投资者编码获取完成'
+            self.gateway.onLog(log)        
+    
+            # 查询合约
+            self.reqID += 1
+            self.reqQryInstrument({}, self.reqID)              
+        
+    #----------------------------------------------------------------------
+    def onRspQryInstrument(self, data, error, n, last):
+        """合约查询回报"""
+        contract = VtContractData()
+        contract.gatewayName = self.gatewayName
+
+        contract.symbol = data['InstrumentID']
+        contract.exchange = exchangeMapReverse[data['ExchangeID']]
+        contract.vtSymbol = contract.symbol #'.'.join([contract.symbol, contract.exchange])
+        contract.name = data['InstrumentName'].decode('GBK')
+        
+        # 合约数值
+        contract.size = data['VolumeMultiple']
+        contract.priceTick = data['PriceTick']
+        
+        # 合约类型
+        if contract.exchange == EXCHANGE_SGE:
+            if '(' in contract.symbol:
+                contract.productClass = PRODUCT_DEFER
+            else:
+                contract.productClass = PRODUCT_SPOT
+        else:
+            contract.productClass = PRODUCT_FUTURES
+        
+        # 推送
+        self.gateway.onContract(contract)
+        
+        if last:
+            log = VtLogData()
+            log.gatewayName = self.gatewayName
+            log.logContent = u'交易合约信息获取完成'
+            self.gateway.onLog(log)
+        
+    #----------------------------------------------------------------------
+    def onRtnOrder(self, data, error):
+        """报单回报"""    
+        # 获取委托对象
+        sysID = data['OrderSysID']
+        strID = data['OrderRef']
+        
+        newID = int(strID)
+        if newID > self.localID:
+            self.localID = newID
+        
+        if sysID in self.orderDict:
+            order = self.orderDict[sysID]
+        else:
+            self.localSysDict[strID] = sysID
+            
+            order = VtOrderData()
+            self.orderDict[sysID] = order
+            
+            order.gatewayName = self.gatewayName
+            order.orderID = strID
+            order.vtOrderID = '.'.join([self.gatewayName, order.orderID])
+            
+        order.symbol = data['InstrumentID']
+        order.exchange = exchangeMapReverse[data['ExchangeID']]
+        order.vtSymbol = order.symbol
+        order.direction = directionMapReverse.get(data['Direction'], DIRECTION_UNKNOWN)
+        order.offset = offsetMapReverse.get(data['CombOffsetFlag'], OFFSET_UNKNOWN)
+        order.totalVolume = data['VolumeTotalOriginal']
+        order.price = data['LimitPrice']
+
+        # 推送错误信息
+        if error['ErrorID'] == 0:
+            # 如果没有错误信息，则认为委托有效未成交
+            if not order.status:
+                order.status = STATUS_NOTTRADED
+        else:
+            # 如果有错误信息，委托被自动撤单
+            order.status = STATUS_CANCELLED
+            
+            err = VtErrorData()
+            err.gatewayName = self.gatewayName
+            err.errorID = error['ErrorID']
+            err.errorMsg = error['ErrorMsg'].decode('gbk')
+            self.gateway.onError(err)       
+            
+        # 推送
+        self.gateway.onOrder(order)
+        
+        # 检查是否有待撤单请求
+        if strID in self.cancelReqDict:
+            req = self.cancelReqDict.pop(strID)
+            self.cancelOrder(req)
+        
+    #----------------------------------------------------------------------
+    def onRtnTrade(self, data):
+        """成交回报"""
+        # 更新委托
+        sysID = data['OrderSysID']
+        strID = data['OrderRef']
+        
+        if sysID in self.orderDict:
+            order = self.orderDict[sysID]
+        else:
+            self.localSysDict[strID] = sysID
+    
+            order = VtOrderData()
+            self.orderDict[sysID] = order
+    
+            order.gatewayName = self.gatewayName
+            order.orderID = strID
+            order.vtOrderID = '.'.join([self.gatewayName, order.orderID])
+    
+        order.tradedVolume += data['Volume']
+    
+        if order.tradedVolume == order.totalVolume:
+            order.status = STATUS_ALLTRADED
+        else:
+            order.status = STATUS_PARTTRADED        
+
+        # 更新成交
+        trade = VtTradeData()
+        trade.gatewayName = self.gatewayName
+        
+        trade.symbol = data['InstrumentID']
+        trade.exchange = exchangeMapReverse[data['ExchangeID']]
+        trade.vtSymbol = trade.symbol 
+        
+        trade.tradeID = data['TradeID']
+        trade.vtTradeID = '.'.join([self.gatewayName, trade.tradeID])
+        
+        trade.orderID = order.orderID
+        trade.vtOrderID = '.'.join([self.gatewayName, trade.orderID])
+        
+        # 方向
+        trade.direction = directionMapReverse.get(data['Direction'], '')
+            
+        # 开平
+        trade.offset = offsetMapReverse.get(data['OffsetFlag'], '')
+            
+        # 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)
+        self.gateway.onOrder(order)
+        
+    #----------------------------------------------------------------------
+    def onRtnInstrumentStatus(self, data):
+        """"""
+        pass
+        
+    #----------------------------------------------------------------------
+    def onRspQryInvestorPositionDetail(self, data, error, n, last):
+        """"""
+        pass
+        
+    #----------------------------------------------------------------------
+    def onRspQryInvestorPosition(self, data, error, n, last):
+        """持仓查询回报"""
+        # 过滤空数据的情况
+        if not data['InstrumentID']:
+            return 
+        
+        pos = VtPositionData()
+        pos.gatewayName = self.gatewayName
+        
+        # 保存代码
+        pos.symbol = data['InstrumentID']
+        pos.vtSymbol = pos.symbol       # 这里因为data中没有ExchangeID这个字段
+        
+        # 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:   
+            pos.frozen = data['ShortFrozen']
+        
+        # 持仓量
+        pos.position = data['TodayPosition']
+        pos.ydPosition = data['YdPosition']        
+        
+        # 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 print_dict(d):
+    """"""
+    l = d.keys()
+    l.sort()
+    for k in l:
+        print k, ':', d[k]
+