From 7cee25bab91cd3d8bf7f011cf35fc598c7018110 Mon Sep 17 00:00:00 2001 From: "vn.py" Date: Mon, 23 Oct 2017 11:17:54 +0800 Subject: [PATCH] =?UTF-8?q?[Mod]=E5=A2=9E=E5=8A=A0=E9=A3=9E=E5=88=9B?= =?UTF-8?q?=E8=AF=81=E5=88=B8=E6=8E=A5=E5=8F=A3=E7=9A=84=E8=82=A1=E7=A5=A8?= =?UTF-8?q?=E5=92=8CETF=E7=8E=B0=E8=B4=A7=E4=BA=A4=E6=98=93=E5=8A=9F?= =?UTF-8?q?=E8=83=BD?= MIME-Version: 1.0 Content-Type: text/plain; charset=UTF-8 Content-Transfer-Encoding: 8bit --- examples/VnTrader/SEC_connect.json | 6 + .../data/TRADE_MARKET_110100001088stock.dat | 1 + vnpy/api/sec/vnsectd.pyd | Bin 574976 -> 574976 bytes vnpy/api/sec/vnsectd/vnsectd/vnsectd.cpp | 2 +- vnpy/trader/gateway/secGateway/secGateway.py | 295 ++++++++++++++---- 5 files changed, 244 insertions(+), 60 deletions(-) create mode 100644 examples/VnTrader/SEC_connect.json create mode 100644 examples/VnTrader/data/TRADE_MARKET_110100001088stock.dat diff --git a/examples/VnTrader/SEC_connect.json b/examples/VnTrader/SEC_connect.json new file mode 100644 index 00000000..205c28db --- /dev/null +++ b/examples/VnTrader/SEC_connect.json @@ -0,0 +1,6 @@ +{ + "accountID": "110100001088", + "password": "123456", + "mdAddress": "tcp://203.86.95.187:10915", + "tdAddress": "tcp://203.86.95.187:10910" +} \ No newline at end of file diff --git a/examples/VnTrader/data/TRADE_MARKET_110100001088stock.dat b/examples/VnTrader/data/TRADE_MARKET_110100001088stock.dat new file mode 100644 index 00000000..ee0abefc --- /dev/null +++ b/examples/VnTrader/data/TRADE_MARKET_110100001088stock.dat @@ -0,0 +1 @@ +o/qNWiWU4xYqVMOeeIVgnQ== \ No newline at end of file diff --git a/vnpy/api/sec/vnsectd.pyd b/vnpy/api/sec/vnsectd.pyd index 155de25793f680be304c6b4a58df8753203c54ca..5fabff6e270eb1b0d1aed3bbf93710d6040a2f1b 100644 GIT binary patch delta 135 zcmZqZQEuo_-k`w9d@b&6vod45G9w5xZC7SwJ`_9MGmcqc`u%oh4w3!;85p` 6: + if checkOptionSymbol(subscribeReq.symbol): symbol = str(exchangeMap[subscribeReq.exchange] + subscribeReq.symbol) self.subscribeSOPMarketData(symbol, self.reqID) else: @@ -494,7 +500,6 @@ class SecMdApi(MdApi): pass - ######################################################################## class SecTdApi(TdApi): """SEC交易API实现""" @@ -569,6 +574,7 @@ class SecTdApi(TdApi): self.reqSOPQryCapitalAccountInfo(req) self.reqID += 1 + req['FundsQryFlag'] = DATA_TYPE.DFITCSEC_FQF_Extend self.reqStockQryCapitalAccountInfo(req) #---------------------------------------------------------------------- @@ -613,20 +619,22 @@ class SecTdApi(TdApi): req['exchangeID'] = exchangeMap.get(orderReq.exchange, '') req['entrustPrice'] = orderReq.price req['entrustQty'] = 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['orderType'] = priceTypeMap[orderReq.priceType] - req['entrustDirection'] = directionMap[orderReq.direction] - req['openCloseFlag'] = offsetMap[orderReq.offset] - except KeyError: - return '' - req['localOrderID'] = self.localID req['accountID'] = self.accountID - req['requestID'] = self.reqID - - self.reqSOPEntrustOrder(req) + req['requestID'] = self.reqID + req['entrustDirection'] = directionMap.get(orderReq.direction, '') + + # 期权委托 + if checkOptionSymbol(orderReq.symbol): + req['orderType'] = optionPriceTypeMap.get(orderReq.priceType, '') + req['openCloseFlag'] = offsetMap.get(orderReq.offset, '') + self.reqSOPEntrustOrder(req) + product = PRODUCT_OPTION + # 股票委托 + else: + req['orderType'] = stockPriceTypeMap.get(orderReq.priceType, '')# 股票只支持限价单 + self.reqStockEntrustOrder(req) + product = PRODUCT_EQUITY # 缓存委托信息 orderID = str(self.localID) @@ -643,6 +651,7 @@ class SecTdApi(TdApi): order.totalVolume = orderReq.volume order.direction = orderReq.direction order.offset = orderReq.offset + order.productClass = product self.orderDict[str(self.localID)] = order @@ -653,13 +662,16 @@ class SecTdApi(TdApi): def cancelOrder(self, cancelOrderReq): """撤单""" self.reqID += 1 - req = {} req['localOrderID'] = int(cancelOrderReq.orderID) req['accountID'] = self.accountID req['requestID'] = self.reqID - self.reqSOPWithdrawOrder(req) + order = self.orderDict.get(cancelOrderReq.orderID, None) + if not order or order.productClass == PRODUCT_OPTION: + self.reqSOPWithdrawOrder(req) + else: + self.reqStockWithdrawOrder(req) #---------------------------------------------------------------------- def close(self): @@ -743,8 +755,20 @@ class SecTdApi(TdApi): #---------------------------------------------------------------------- def onRspStockEntrustOrder(self, data, error): - """""" - pass + """股票发单错误""" + if error: + order = VtOrderData() + order.gatewayName = self.gatewayName + order.orderID = str(error['localOrderID']) + order.vtOrderID = '.'.join([self.gatewayName, order.orderID]) + order.status = STATUS_REJECTED + self.gateway.onOrder(order) + + err = VtErrorData() + err.gatewayName = self.gatewayName + err.errorID = error['errorID'] + err.errorMsg = error['errorMsg'].decode('gbk') + self.gateway.onError(err) #---------------------------------------------------------------------- def onRspStockWithdrawOrder(self, data, error): @@ -768,13 +792,44 @@ class SecTdApi(TdApi): #---------------------------------------------------------------------- def onRspStockQryPosition(self, data, error, flag): - """""" - pass + """股票持仓查询回报""" + if not data or not data['securityID']: + return + + pos = VtPositionData() + pos.gatewayName = self.gatewayName + + # 保存代码 + pos.symbol = data['securityID'] + pos.exchange = exchangeMap.get(data['exchangeID'], EXCHANGE_UNKNOWN) + pos.vtSymbol = '.'.join([pos.symbol, pos.exchange]) + pos.direction = DIRECTION_LONG + pos.vtPositionName = '.'.join([pos.vtSymbol, pos.direction]) + pos.position = data['position'] + pos.price = data['avgPositionPrice'] + + self.gateway.onPosition(pos) #---------------------------------------------------------------------- def onRspStockQryCapitalAccountInfo(self, data, error, flag): - """""" - pass + """股票资金账户查询回报""" + if not data: + return + + account = VtAccountData() + account.gatewayName = self.gatewayName + + # 账户代码 + account.accountID = data['accountID'] + '_Stock' + account.vtAccountID = '.'.join([self.gatewayName, account.accountID]) + + # 数值相关 + account.available = data['availableFunds'] + account.balance = data['totalFunds'] + account.marketValue = data['totalMarket'] + + # 推送 + self.gateway.onAccount(account) #---------------------------------------------------------------------- def onRspStockQryAccountInfo(self, data, error): @@ -842,24 +897,25 @@ class SecTdApi(TdApi): if not data: return - contract = VtContractData() - contract.gatewayName = self.gatewayName - - contract.symbol = data['securityID'] - contract.exchange = exchangeMapReverse.get(data['exchangeID'], EXCHANGE_UNKNOWN) - contract.vtSymbol = '.'.join([contract.symbol, contract.exchange]) - - contract.name = data['securityName'].decode('GBK') - - # 合约数值 - contract.size = data['tradeUnit'] - contract.priceTick = 0.001 # 50ETF的最小价格变动 - - # 合约类型 - contract.productClass = PRODUCT_EQUITY - - # 推送 - self.gateway.onContract(contract) + if data['securityID'] == '510050': + contract = VtContractData() + contract.gatewayName = self.gatewayName + + contract.symbol = data['securityID'] + contract.exchange = exchangeMapReverse.get(data['exchangeID'], EXCHANGE_UNKNOWN) + contract.vtSymbol = '.'.join([contract.symbol, contract.exchange]) + + contract.name = data['securityName'].decode('GBK') + + # 合约数值 + contract.size = data['tradeUnit'] + contract.priceTick = 0.001 # 50ETF的最小价格变动 + + # 合约类型 + contract.productClass = PRODUCT_EQUITY + + # 推送 + self.gateway.onContract(contract) if flag: log = VtLogData() @@ -874,18 +930,128 @@ class SecTdApi(TdApi): #---------------------------------------------------------------------- def onStockEntrustOrderRtn(self, data): - """""" - pass - + """股票报单回报""" + # 更新最大报单编号 + newLocalID = data['localOrderID'] + self.localID = max(self.localID, newLocalID) + + # 获取报单数据对象 + if newLocalID in self.orderDict: + order = self.orderDict[newLocalID] + else: + order = VtOrderData() + self.orderDict[newLocalID] = order + order.gatewayName = self.gatewayName + + # 保存后续不会变化的数据 + order.symbol = data['securityID'] + order.exchange = exchangeMapReverse[data['exchangeID']] + order.vtSymbol = '.'.join([order.symbol, order.exchange]) + + order.orderID = str(newLocalID) + order.vtOrderID = '.'.join([self.gatewayName, order.orderID]) + + order.direction = directionMapReverse.get(data['entrustDirection'], DIRECTION_UNKNOWN) + + # 价格、报单量等数值 + order.price = data['entrustPrice'] + order.totalVolume = data['entrustQty'] + order.orderTime = data['entrustTime'] + + order.productClass = PRODUCT_EQUITY + + # 确定委托状态 + if order.totalVolume == order.tradedVolume: + order.status = STATUS_ALLTRADED + elif order.tradedVolume > 0: + order.status = STATUS_PARTTRADED + else: + order.status = STATUS_NOTTRADED + + # 推送 + self.gateway.onOrder(copy(order)) + #---------------------------------------------------------------------- def onStockTradeRtn(self, data): - """""" - pass + """股票成交推送""" + # 更新成交信息 + trade = VtTradeData() + trade.gatewayName = self.gatewayName + + # 保存代码和报单号 + trade.symbol = data['securityID'] + trade.exchange = exchangeMapReverse.get(data['exchangeID'], EXCHANGE_UNKNOWN) + trade.vtSymbol = '.'.join([trade.symbol, trade.exchange]) + + trade.tradeID = data['tradeID'] + trade.vtTradeID = '.'.join([self.gatewayName, trade.tradeID]) + + trade.orderID = str(data['localOrderID']) + trade.vtOrderID = '.'.join([self.gatewayName, trade.orderID]) + + trade.direction = directionMapReverse.get(data['entrustDirection'], DIRECTION_UNKNOWN) + + trade.price = data['tradePrice'] + trade.volume = data['tradeQty'] + trade.tradeTime = data['tradeTime'] + + # 推送 + self.gateway.onTrade(trade) + + # 获取报单数据对象 + localID = data['localOrderID'] + order = self.orderDict.get(localID, None) + if not order: + return + + order.tradedVolume += trade.volume + order.tradedVolume = min(order.totalVolume, order.tradedVolume) # 防止成交数量超过总数量 + + # 确定委托状态 + if order.totalVolume == order.tradedVolume: + order.status = STATUS_ALLTRADED + elif order.tradedVolume > 0: + order.status = STATUS_PARTTRADED + + self.gateway.onOrder(copy(order)) #---------------------------------------------------------------------- def onStockWithdrawOrderRtn(self, data): - """""" - pass + """股票撤单推送""" + # 更新最大报单编号 + newLocalID = data['localOrderID'] + self.localID = max(self.localID, int(newLocalID)) + + # 获取报单数据对象 + if newLocalID in self.orderDict: + order = self.orderDict[newLocalID] + else: + order = VtOrderData() + self.orderDict[newLocalID] = order + order.gatewayName = self.gatewayName + + # 保存后续不会变化的数据 + order.symbol = data['securityID'] + order.exchange = exchangeMapReverse[data['exchangeID']] + order.vtSymbol = '.'.join([order.symbol, order.exchange]) + + order.orderID = str(newLocalID) + order.vtOrderID = '.'.join([self.gatewayName, order.orderID]) + + order.direction = directionMapReverse.get(data['entrustDirection'], DIRECTION_UNKNOWN) + + # 价格、报单量等数值 + order.price = data['entrustPrice'] + order.tradedVolume = data['tradeQty'] + order.totalVolume = data['tradeQty'] + data['withdrawQty'] + + order.productClass = PRODUCT_OPTION + + if data['withdrawQty']: + order.status = STATUS_CANCELLED + + # 推送 + self.gateway.onOrder(copy(order)) #---------------------------------------------------------------------- def onRspSOPUserLogin(self, data, error): @@ -922,11 +1088,11 @@ class SecTdApi(TdApi): #---------------------------------------------------------------------- def onRspSOPEntrustOrder(self, data, error): - """发单错误""" + """期权发单错误""" if error: order = VtOrderData() order.gatewayName = self.gatewayName - order.orderID = error['localOrderID'] + order.orderID = str(error['localOrderID']) order.vtOrderID = '.'.join([self.gatewayName, order.orderID]) order.status = STATUS_REJECTED self.gateway.onOrder(order) @@ -974,7 +1140,7 @@ class SecTdApi(TdApi): #---------------------------------------------------------------------- def onRspSOPQryPosition(self, data, error, flag): - """持仓查询回报""" + """期权持仓查询回报""" if not data: return @@ -999,7 +1165,7 @@ class SecTdApi(TdApi): #---------------------------------------------------------------------- def onRspSOPQryCapitalAccountInfo(self, data, error): - """资金账户查询回报""" + """期权资金账户查询回报""" if not data: return @@ -1007,7 +1173,7 @@ class SecTdApi(TdApi): account.gatewayName = self.gatewayName # 账户代码 - account.accountID = data['accountID'] + account.accountID = data['accountID'] + '_Option' account.vtAccountID = '.'.join([self.gatewayName, account.accountID]) # 数值相关 @@ -1118,7 +1284,7 @@ class SecTdApi(TdApi): #---------------------------------------------------------------------- def onSOPEntrustOrderRtn(self, data): - """报单回报""" + """期权报单回报""" # 更新最大报单编号 newLocalID = data['localOrderID'] self.localID = max(self.localID, newLocalID) @@ -1146,6 +1312,8 @@ class SecTdApi(TdApi): order.price = data['entrustPrice'] order.totalVolume = data['entrustQty'] order.orderTime = data['entrustTime'] + + order.productClass = PRODUCT_OPTION # 确定委托状态 if order.totalVolume == order.tradedVolume: @@ -1160,6 +1328,7 @@ class SecTdApi(TdApi): #---------------------------------------------------------------------- def onSOPTradeRtn(self, data): + """期权成交推送""" # 更新成交信息 trade = VtTradeData() trade.gatewayName = self.gatewayName @@ -1204,7 +1373,7 @@ class SecTdApi(TdApi): #---------------------------------------------------------------------- def onSOPWithdrawOrderRtn(self, data): - """撤单推送""" + """期权撤单推送""" # 更新最大报单编号 newLocalID = data['localOrderID'] self.localID = max(self.localID, int(newLocalID)) @@ -1232,6 +1401,8 @@ class SecTdApi(TdApi): order.price = data['entrustPrice'] order.tradedVolume = data['tradeQty'] order.totalVolume = data['tradeQty'] + data['withdrawQty'] + + order.productClass = PRODUCT_OPTION if data['withdrawQty']: order.status = STATUS_CANCELLED @@ -1406,4 +1577,10 @@ class SecTdApi(TdApi): +#---------------------------------------------------------------------- +def checkOptionSymbol(symbol): + """检查是否为期权代码""" + if len(symbol) > 6: + return True + return False \ No newline at end of file