Merge pull request #1201 from Gwill/refine_ctp_gateway

优化 ctp 股票期权 tick 数据获取

.travis.yml

@@ -4,6 +4,15 @@ cache: pip
 python:
     - 2.7
     - 3.6
+before_install:
+    - sudo apt install build-essential
+    - wget http://prdownloads.sourceforge.net/ta-lib/ta-lib-0.4.0-src.tar.gz
+    - tar -xzf ta-lib-0.4.0-src.tar.gz
+    - cd ta-lib/
+    - ./configure --prefix=/usr
+    - make
+    - sudo make install
+    - cd ..
 install:
     - pip install -r requirements.txt
     - pip install flake8  # pytest  # add another testing frameworks later

vnpy/trader/gateway/ctpGateway/ctpGateway.py

@@ -376,9 +376,33 @@ class CtpMdApi(MdApi):
         tick.askVolume1 = data['AskVolume1']
         
         # 大商所日期转换
-        if tick.exchange is EXCHANGE_DCE:
+        if tick.exchange == EXCHANGE_DCE:
             tick.date = datetime.now().strftime('%Y%m%d')
-        
+
+        # 上交所，SEE，股票期权相关
+        if tick.exchange == EXCHANGE_SSE:
+            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']
+
+            tick.date = data['TradingDay']
+
         self.gateway.onTick(tick)
         
     #----------------------------------------------------------------------